# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001364924-26-000103
**Filing Date:** 2026-4
**Character Count:** 1878408
**Document Hash:** e8b53ec9a8ea84d92fdc67907b0ca78b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001364924-26-000103.hdr.sgml**: 20260422

**ACCESSION NUMBER**: 0001364924-26-000103

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 56

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260422

**DATE AS OF CHANGE**: 20260422

**EFFECTIVENESS DATE**: 20260422

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 26881842

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Strategic Advisers Core Income Fund (Series ID: S000029150)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000089632 | Strategic Advisers Core Income Fund | FPCIX           |

### Strategic Advisers Income Opportunities Fund (Series ID: S000029151)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000089633 | Strategic Advisers Income Opportunities Fund | FPIOX           |

### Strategic Advisers International Fund (Series ID: S000029152)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000089634 | Strategic Advisers International Fund | FILFX           |

### Strategic Advisers Fidelity International Fund (Series ID: S000029153)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000089635 | Strategic Advisers Fidelity International Fund | FUSIX           |

### Strategic Advisers Emerging Markets Fund (Series ID: S000030092)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000092425 | Strategic Advisers Emerging Markets Fund | FSAMX           |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-21991</u>

<u>Fidelity Rutland Square Trust II</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, Massachusetts 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;February 28 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;February 28, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® International Fund<br> **Strategic Advisers® International Fund : FILFX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® International Fund for the period March 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® International Fund  | $21  | 0.18% |

---

**What affected the Fund's performance this period?**

• International equities posted a strong gain for the 12 months ending February 28, 2026, rising amid increasingly attractive valuations versus U.S. stocks, a weakening U.S. dollar and resilient economic growth in some regions. Moves by some foreign central banks toward monetary easing also contributed to a favorable backdrop. Market returns were further aided by a generally weaker U.S. dollar.

• Against this backdrop, the Overseas mandate from sub-adviser FIAM® (+20%) was the biggest detractor from performance versus the benchmark for the fiscal year. It's quality-focused style was out of favor during much of the reporting period, while security selection also hurt.

• Artisan International Value Fund (+25%) further pressured relative performance due to picks among financial companies and within consumer-related sectors. Sizable out-of-benchmark exposure to the U.S. - which lagged international markets - further hampered Artisan's result.

• Fidelity® SAI International Low Volatility Index Fund (+29%) was another negative, as its emphasis on stocks exhibiting relatively low volatility could not keep pace in an up-trending market environment.

• In contrast, Fidelity® SAI International Value Index Fund (+48%) and sub-adviser Arrowstreet Capital (+43%) led the way in terms of relative contributors this period. Both were aided by the general tailwind of value approaches outpacing growth stocks/strategies. SAI International Value Index benefited from investment choices in Europe and the U.K., especially in the financials and industrials sectors. For Arrowstreet, stock selection in the Europe ex U.K. region provided a major boost, as did picks among financial and materials companies.

• Security selection by sub-adviser Wellington (+41%) helped as well.

• Notable changes in positioning include funding the International Equity Value mandate from sub-adviser FIAM.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

February 29, 2016 through February 28, 2026.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Strategic Advisers® International Fund<br>| $10000 | $11433<br>| $13781<br>| $12875<br>| $13178<br>| $16998<br>| $17049<br>| $16146<br>| $18562<br>| $20337<br>| $27271<br>|
| MSCI EAFE Index<br>| $10000 | $11598<br>| $13961<br>| $13147<br>| $13101<br>| $16073<br>| $16560<br>| $16073<br>| $18429<br>| $20093<br>| $27126<br>|
|  | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img126063_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Strategic Advisers® International Fund | 34.10% | 9.92% | 10.55% |
| MSCI EAFE Index | 35.01%<br>| 11.03%<br>| 10.49% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $28142554512<br>|
| Number of Holdings | 1055<br>|
| Total Advisory Fee | $44878616<br>|
| Portfolio Turnover | 45%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| **MARKET SECTORS**<br> **(% of Fund's net assets)** |  |
| Financials | 14.7 |
| Industrials | 11.5 |
| Information Technology | 7.1 |
| Health Care | 6.4 |
| Materials | 4.8 |
| Consumer Discretionary | 4.7 |
| Consumer Staples | 3.9 |
| Energy | 1.8 |
| Utilities | 1.8 |
| Communication Services | 1.6 |
| Real Estate | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 59.0 |
| International Equity Funds | 37.6 |
| Preferred Stocks | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1557_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 59.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 37.6&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.3 |

---

---

| | |
|:---|:---|
| United States | 46.3 |
| Japan | 12.3 |
| United Kingdom | 8.2 |
| France | 6.7 |
| Germany | 5.0 |
| Netherlands | 3.1 |
| Australia | 2.2 |
| Italy | 2.0 |
| Switzerland | 1.7 |
| Others | 12.5 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1557_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 46.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 12.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;France - 6.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 5.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 3.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Australia - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 2.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Switzerland - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 12.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity SAI International Value Index Fund | 7.1<br>|
| Fidelity SAI International Low Volatility Index Fund | 5.1<br>|
| Fidelity Advisor International Discovery Fund - Class Z | 3.8<br>|
| Artisan International Value Fund Investor Class | 3.6<br>|
| iShares MSCI Eurozone ETF | 3.4<br>|
| Fidelity Diversified International Fund | 2.4<br>|
| State Street Institutional U.S. Government Money Market Fund Premier Class | 2.3<br>|
| Fidelity SAI Japan Stock Index Fund | 1.8<br>|
| ASML Holding NV | 1.6<br>|
| WCM Focused International Growth Fund Investor Class | 1.4<br>|
|  | 32.5 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since March 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 29, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Management fee

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1557_20260228_2.jpg)<br>| ![](img126063_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912763.101 1557-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® Income Opportunities Fund<br> **Strategic Advisers® Income Opportunities Fund : FPIOX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® Income Opportunities Fund for the period March 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® Income Opportunities Fund  | $16  | 0.16% |

---

**What affected the Fund's performance this period?**

• High-yield bonds gained ground for the 12 months ending February 28, 2026, extending a historically fast rebound that began in early April. The advance was bolstered by resilient corporate fundamentals, falling yields, historically compressed spreads, a steady economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, Fidelity® Capital & Income Fund (+14%) and the High Income mandate from sub-adviser FIAM® (+11%) notably contributed to performance versus the benchmark for the fiscal year. The strong showing by the former's sizable leveraged equity sleeve, along with security selection, fueled it's result.

• FIAM, meanwhile, benefited from a favorable settlement resulting from the financial restructuring of oil and gas company Mesquite Energy, an investment that had been previously marked down. Meanwhile, the recovery of another holding, EchoStar, also had a major impact on FIAM's performance. Bonds issued by this telecom provider rallied following sales of wireless spectrum that it controlled.

• Sub-adviser T. Rowe Price (+8%) was a more-modest relative contributor, aided by security selection among automotive and wireless communications issuers.

• In contrast, Artisan High Income Fund (+6%) was the largest relative detractor, as leveraged loans issued by auto parts and cable TV companies worked against its performance.

• NYLI MacKay High Yield Corporate Bond (+5%) - one of the more defensively positioned managers - underperformed because its higher-quality bond holdings failed to keep pace in an up-trending market.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

February 29, 2016 through February 28, 2026.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Strategic Advisers® Income Opportunities Fund<br>| $10000 | $11908<br>| $12462<br>| $12862<br>| $13579<br>| $14672<br>| $14909<br>| $14125<br>| $15579<br>| $17118<br>| $18548<br>|
| ICE® BofA® US High Yield Constrained Index<br>| $10000 | $12230<br>| $12733<br>| $13276<br>| $14055<br>| $15259<br>| $15382<br>| $14534<br>| $16129<br>| $17752<br>| $18998<br>|
| Bloomberg U.S. Universal Bond Index<br>| $10000 | $10320<br>| $10421<br>| $10753<br>| $11964<br>| $12219<br>| $11885<br>| $10780<br>| $11217<br>| $11924<br>| $12703<br>|
|  | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img126064_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Strategic Advisers® Income Opportunities Fund | 8.35% | 4.80% | 6.37% |
| ICE® BofA® US High Yield Constrained Index | 7.02%<br>| 4.48%<br>| 6.63% |
| Bloomberg U.S. Universal Bond Index | 6.53%<br>| 0.78%<br>| 2.42% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $1760544499<br>|
| Number of Holdings | 1416<br>|
| Total Advisory Fee | $2541515<br>|
| Portfolio Turnover | 41%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| Fixed-Income Funds | 50.9 |
| Corporate Bonds | 41.2 |
| Bank Loan Obligations | 2.5 |
| U.S. Treasury Obligations | 1.6 |
| Common Stocks | 1.1 |
| Preferred Securities | 0.9 |
| Preferred Stocks | 0.2 |
| Municipal Securities | 0.1 |
| Asset-Backed Securities | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.5 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1977_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Fixed-Income Funds - 50.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Corporate Bonds - 41.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Bank Loan Obligations - 2.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Securities - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Municipal Securities - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Asset-Backed Securities - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.5 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Artisan High Income Fund Investor Shares | 13.1<br>|
| Fidelity Capital & Income Fund | 11.9<br>|
| BlackRock High Yield Portfolio Class K | 11.7<br>|
| Eaton Vance Income Fund of Boston Class A | 5.9<br>|
| Vanguard High-Yield Corporate Fund Admiral Shares | 4.4<br>|
| NYLI MacKay High Yield Corporate Bond Fund Class A | 3.9<br>|
| US Treasury Notes | 1.6<br>|
| TransDigm Inc | 0.8<br>|
| State Street Institutional U.S. Government Money Market Fund Premier Class | 0.7<br>|
| Mesquite Energy Inc | 0.6<br>|
|  | 54.6 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since March 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 29, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Management fee The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1977_20260228_2.jpg)<br>| ![](img126064_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912769.101 1977-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® Fidelity® International Fund<br> **Strategic Advisers® Fidelity® International Fund : FUSIX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® Fidelity® International Fund for the period March 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® Fidelity® International Fund  | $16  | 0.13% |

---

**What affected the Fund's performance this period?**

• International equities posted a strong gain for the 12 months ending February 28, 2026, rising amid increasingly attractive valuations versus U.S. stocks, a weakening U.S. dollar and resilient economic growth in some regions. Moves by some foreign central banks toward monetary easing also contributed to a favorable backdrop. Market returns were further aided by a generally weaker U.S. dollar.

• Against this backdrop, the Overseas mandate from sub-adviser FIAM® (+20%) was the biggest detractor from performance versus the benchmark for the fiscal year. It's quality-focused style was out of favor during much of the reporting period, while security selection also hurt.

• The International Capital Appreciation strategy from FIAM (+20%) further pressured relative performance due to picks in the financials, industrials and information technology sectors.

• Several other funds were notable relative detractors for the reporting period, including Fidelity® SAI International Low Volatility Index Fund (+29%), Fidelity Advisor® International Growth Fund (+20%) and Fidelity® SAI International Quality Index Fund (+18%).

• In contrast, Fidelity® SAI® International Value Index Fund (+48%) was the top relative contributor this period, aided by the general tailwind of value approaches outpacing growth stocks/strategies the past 12 months, along with investment choices in Europe and the U.K., especially in the financials and industrials sectors.

• The International Equity Value mandate from FIAM (+43%) also helped thanks to having an in-favor investment style, along with security selection in the Europe ex U.K. region and Japan.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

February 29, 2016 through February 28, 2026.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Strategic Advisers® Fidelity® International Fund<br>| $10000 | $11111<br>| $13556<br>| $12688<br>| $13335<br>| $16715<br>| $16981<br>| $16063<br>| $18619<br>| $20493<br>| $27405<br>|
| MSCI EAFE Index<br>| $10000 | $11598<br>| $13961<br>| $13147<br>| $13101<br>| $16073<br>| $16560<br>| $16073<br>| $18429<br>| $20093<br>| $27126<br>|
|  | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img126065_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Strategic Advisers® Fidelity® International Fund | 33.73% | 10.39% | 10.61% |
| MSCI EAFE Index | 35.01%<br>| 11.03%<br>| 10.49% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $68342652262<br>|
| Number of Holdings | 298<br>|
| Total Advisory Fee | $71356763<br>|
| Portfolio Turnover | 34%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| **MARKET SECTORS**<br> **(% of Fund's net assets)** |  |
| Financials | 13.4 |
| Industrials | 9.5 |
| Information Technology | 4.6 |
| Health Care | 4.1 |
| Materials | 3.5 |
| Consumer Discretionary | 3.3 |
| Consumer Staples | 2.3 |
| Energy | 1.7 |
| Utilities | 1.5 |
| Communication Services | 1.0 |
| Real Estate | 0.3 |

---

---

| | |
|:---|:---|
| International Equity Funds | 49.2 |
| Common Stocks | 45.2 |
| Preferred Stocks | 0.0 |
| Domestic Equity Funds | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1848_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| International Equity Funds - 49.2&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 45.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Preferred Stocks - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.6 |

---

---

| | |
|:---|:---|
| United States | 60.1 |
| Japan | 9.5 |
| United Kingdom | 6.1 |
| Germany | 4.8 |
| France | 3.8 |
| Spain | 2.2 |
| Netherlands | 2.1 |
| Australia | 1.8 |
| Italy | 1.8 |
| Others | 7.8 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1848_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 60.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Japan - 9.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;United Kingdom - 6.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Spain - 2.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Netherlands - 2.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Australia - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Italy - 1.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 7.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity SAI International Value Index Fund | 15.8<br>|
| Fidelity Advisor International Discovery Fund - Class Z | 7.1<br>|
| Fidelity Diversified International Fund | 6.8<br>|
| Fidelity SAI International Index Fund | 5.9<br>|
| Fidelity SAI International Low Volatility Index Fund | 5.9<br>|
| State Street Institutional U.S. Government Money Market Fund Premier Class | 4.8<br>|
| Fidelity Advisor International Growth Fund - Class Z | 2.4<br>|
| Fidelity SAI International Quality Index Fund | 1.8<br>|
| ASML Holding NV | 1.1<br>|
| Fidelity SAI International Small Cap Index Fund | 1.1<br>|
|  | 52.7 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since March 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 29, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Management feeOperating expenses

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1848_20260228_2.jpg)<br>| ![](img126065_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912767.101 1848-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® Emerging Markets Fund<br> **Strategic Advisers® Emerging Markets Fund : FSAMX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® Emerging Markets Fund for the period March 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® Emerging Markets Fund  | $37  | 0.30% |

---

**What affected the Fund's performance this period?**

• International equities posted a strong gain for the 12 months ending February 28, 2026, rising amid increasingly attractive valuations versus U.S. stocks, a weakening U.S. dollar and resilient economic growth in some regions. Moves by some foreign central banks toward monetary easing also contributed to a favorable backdrop. Market returns were further aided by a generally weaker U.S. dollar.

• Against this backdrop, sub-adviser Schroders (+59%), along with two mandates from sub-adviser FIAM® - Select Emerging Markets (+58%) and Concentrated Emerging Markets (+61%) - notably contributed to performance versus the benchmark for the fiscal year.

• Schroders was propelled by security selection in China and Taiwan, along with a sizable underweight in India.

• FIAM Select Emerging Markets also was aided by stock picks in China and Taiwan this period, along with investment choices gold mining and information technology companies.

• FIAM Concentrated Emerging Markets benefited from stock selection China and South Africa, in addition to out-of-benchmark exposure to the U.S. equity market.

• In contrast, Fidelity® SAI Emerging Markets Low Volatility Index Fund (+20%) was the biggest relative detractors the past 12 months. Here, an emphasis on stocks exhibiting relatively low volatility could not keep pace in a strongly up-trending market environment. Adverse positioning in China and India also hurt.

• Artisan Developing World Fund (-8%) - a comparatively small position in the portfolio - also struggled, as its aggressive-growth approach was out of favor during the latter half of the period.

• Notable changes in positioning include adding the Fidelity® SAI® Emerging Markets Momentum Index Fund.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

February 29, 2016 through February 28, 2026.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Strategic Advisers® Emerging Markets Fund<br>| $10000 | $12940<br>| $16853<br>| $14918<br>| $15186<br>| $20869<br>| $18340<br>| $15529<br>| $17168<br>| $18725<br>| $28447<br>|
| MSCI Emerging Markets Index<br>| $10000 | $12950<br>| $16908<br>| $15242<br>| $14959<br>| $20354<br>| $18181<br>| $15406<br>| $16756<br>| $18441<br>| $27648<br>|
|  | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img126066_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Strategic Advisers® Emerging Markets Fund | 51.92% | 6.39% | 11.02% |
| MSCI Emerging Markets Index | 49.92%<br>| 6.32%<br>| 10.70% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15141007610<br>|
| Number of Holdings | 874<br>|
| Total Advisory Fee | $38802546<br>|
| Portfolio Turnover | 48%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| **MARKET SECTORS**<br> **(% of Fund's net assets)** |  |
| Information Technology | 25.2 |
| Financials | 14.7 |
| Consumer Discretionary | 6.8 |
| Industrials | 6.3 |
| Communication Services | 5.3 |
| Materials | 4.9 |
| Energy | 2.4 |
| Health Care | 1.7 |
| Consumer Staples | 1.4 |
| Real Estate | 0.6 |
| Utilities | 0.6 |

---

---

| | |
|:---|:---|
| Common Stocks | 69.5 |
| International Equity Funds | 26.3 |
| Preferred Stocks | 0.4 |
| Domestic Equity Funds | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 3.8 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2261_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 69.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 26.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Preferred Stocks - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 3.8 |

---

---

| | |
|:---|:---|
| United States | 30.6 |
| China | 16.9 |
| Taiwan | 15.8 |
| Korea (South) | 12.5 |
| India | 6.7 |
| Brazil | 3.3 |
| South Africa | 2.4 |
| Mexico | 1.9 |
| United Arab Emirates | 1.2 |
| Others | 8.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img2261_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 30.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;China - 16.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Taiwan - 15.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Korea (South) - 12.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;India - 6.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Brazil - 3.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;South Africa - 2.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Mexico - 1.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Arab Emirates - 1.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 8.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity SAI Emerging Markets Value Index Fund | 14.1<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 9.8<br>|
| Samsung Electronics Co Ltd | 5.7<br>|
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 5.3<br>|
| Goldman Sachs Emerging Markets Equity Fund Institutional Class | 3.6<br>|
| Tencent Holdings Ltd | 3.2<br>|
| State Street Institutional U.S. Government Money Market Fund Premier Class | 2.4<br>|
| SK Hynix Inc | 2.3<br>|
| Brandes Emerging Markets Value Fund Class A | 1.2<br>|
| MediaTek Inc | 1.1<br>|
|  | 48.7 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since March 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 29, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund's sub-subadvisory agreement with T. Rowe Price Singapore Private Ltd. was terminated during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img2261_20260228_2.jpg)<br>| ![](img126066_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912770.101 2261-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF FEBRUARY 28, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Strategic Advisers® Core Income Fund<br> **Strategic Advisers® Core Income Fund : FPCIX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Strategic Advisers® Core Income Fund for the period March 1, 2025 to February 28, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Strategic Advisers® Core Income Fund  | $6  | 0.06% |

---

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds achieved a strong gain for the 12 months ending February 28, 2026, navigating uncertainty related to U.S. trade policy and geopolitical events but buoyed by attractive yields, stable consumer inflation and three policy interest-rate cuts by the Federal Reserve since September.

• Against this backdrop, PIMCO Income Fund (+10%) and PIMCO Mortgage Opportunities (+7.5%) notably contributed to performance versus the benchmark for the fiscal year. Both strategies benefited from favorable yield-curve positioning, along with overweight allocations to government-agency mortgage-backed securities, which was one of the best-performing segments of the investment-grade fixed-income market.

• All eight of the Fund's sub-advised mandates contributed something to relative performance, led by the PGIM and JPMorgan Core Plus strategies (+7% each), along with the Fixed-Income Securitized strategy from FIAM® (+8%). Advantageous yield-curve positioning, as well as stakes in asset-backed securities and international bonds, fueled PGIM's result, while agency MBS holdings helped FIAM.

• For JPMorgan, active interest rate and credit management during periods of increased volatility bolstered this strategy. Positioning in high-yield corporate credit and emerging-markets debt - two other strong-performing sectors - provided a further boost.

• There were no material relative detractors this period year, although the Fund's exposure to long-term U.S. Treasury holdings hurt slightly as these securities trailed the broader investment-grade bond market amid rising yields.

• Notable changes in positioning include increased allocations to core managers seeking to add value through MBS and other securitized products, in addition to adding to U.S. Treasury holdings.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

February 29, 2016 through February 28, 2026.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Strategic Advisers® Core Income Fund<br>| $10000 | $10460<br>| $10621<br>| $10950<br>| $12182<br>| $12620<br>| $12360<br>| $11110<br>| $11530<br>| $12301<br>| $13155<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10142<br>| $10193<br>| $10516<br>| $11744<br>| $11907<br>| $11592<br>| $10465<br>| $10813<br>| $11441<br>| $12158<br>|
|  | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img126067_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Strategic Advisers® Core Income Fund | 6.94% | 0.83% | 2.78% |
| Bloomberg U.S. Aggregate Bond Index | 6.26%<br>| 0.42%<br>| 1.97% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of February 28, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $45087841592<br>|
| Number of Holdings | 10993<br>|
| Total Advisory Fee | $24750231<br>|
| Portfolio Turnover | 211%<br>|

---

**What did the Fund invest in?** (as of February 28, 2026)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 31.4 |
| AAA | 4.4 |
| AA | 1.4 |
| A | 6.0 |
| BBB | 7.9 |
| BB | 1.3 |
| B | 0.2 |
| CCC,CC,C | 0.0 |
| D | 0.0 |
| Not Rated | 4.4 |
| Equities | 44.7 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1976_20260228_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 31.4 |
| &nbsp;&nbsp;AAA - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 6.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 7.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;CCC,CC,C - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;D - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 4.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Equities - 44.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (1.7)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| Fixed-Income Funds | 44.7 |
| U.S. Government Agency - Mortgage Securities | 17.0 |
| U.S. Treasury Obligations | 14.4 |
| Corporate Bonds | 14.1 |
| CMOs and Other Mortgage Related Securities | 5.3 |
| Asset-Backed Securities | 4.7 |
| Foreign Government and Government Agency Obligations | 1.1 |
| Preferred Securities | 0.2 |
| Municipal Securities | 0.1 |
| Bank Loan Obligations | 0.1 |
| Others | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1976_20260228_AA.jpg) <br>|

---

---

| |
|:---|
| Fixed-Income Funds - 44.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 17.0 |
| U.S. Treasury Obligations - 14.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 14.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 5.3 |
| Asset-Backed Securities - 4.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 1.1 |
| Preferred Securities - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Municipal Securities - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Bank Loan Obligations - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Others - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - (1.7)% |

---

---

| | |
|:---|:---|
| United States | 93.5 |
| Grand Cayman (UK Overseas Ter) | 1.6 |
| United Kingdom | 1.1 |
| Ireland | 0.5 |
| Canada | 0.4 |
| Germany | 0.3 |
| France | 0.3 |
| Mexico | 0.3 |
| Bailiwick Of Jersey | 0.3 |
| Others | 1.7 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1976_20260228_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 93.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 1.6&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;United Kingdom - 1.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Canada - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Germany - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;France - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Mexico - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 1.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 8.5<br>|
| Fidelity SAI Total Bond Fund | 7.0<br>|
| Uniform Mortgage Backed Securities | 6.1<br>|
| US Treasury Bonds | 5.2<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.8<br>|
| PIMCO Mortgage Opportunities and Bond Fund Institutional Class | 4.7<br>|
| iShares 7-10 Year Treasury Bond ETF | 3.8<br>|
| BofA Securities, Inc | 3.8<br>|
| Voya Intermediate Bond Fund Class I | 3.3<br>|
| American Funds The Bond Fund of America Class F-2 | 3.3<br>|
|  | 50.5 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since March 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 29, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Management fee The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img1976_20260228_2.jpg)<br>| ![](img126067_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912768.101 1976-TSRA-0426 <br>|

---

Item 2.

<u>Code of Ethics</u>

As of the end of the period, February 28, 2026, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

<u>Audit Committee Financial Expert</u>

The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.

Item 4.

<u>Principal Accountant Fees and Services</u>

<u>Fees and Services</u>

The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Strategic Advisers Core Income Fund, Strategic Advisers Emerging Markets Fund, Strategic Advisers Fidelity International Fund, Strategic Advisers Income Opportunities Fund, and Strategic Advisers International Fund (the "Funds"):

**<u>Services Billed by PwC</u>**

**<u>February 28, 2026 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Strategic Advisers Core Income Fund | &nbsp;&nbsp;$44600  | &nbsp;&nbsp;$1300  | &nbsp;&nbsp;$10000  | &nbsp;&nbsp;$2300  |
| &nbsp;&nbsp;Strategic Advisers Emerging Markets Fund | &nbsp;&nbsp;$30300  | &nbsp;&nbsp;$900  | &nbsp;&nbsp;$12100  | &nbsp;&nbsp;$1600  |
| &nbsp;&nbsp;Strategic Advisers Fidelity International Fund | &nbsp;&nbsp;$42400  | &nbsp;&nbsp;$1200  | &nbsp;&nbsp;$15400  | &nbsp;&nbsp;$2300  |
| &nbsp;&nbsp;Strategic Advisers Income Opportunities Fund  | &nbsp;&nbsp;$25900  | &nbsp;&nbsp;$800  | &nbsp;&nbsp;$6900  | &nbsp;&nbsp;$1400  |
| &nbsp;&nbsp;Strategic Advisers International Fund  | &nbsp;&nbsp;$43000  | &nbsp;&nbsp;$1200  | &nbsp;&nbsp;$12800  | &nbsp;&nbsp;$2300  |

---

**<u>February 28, 2025 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Strategic Advisers Core Income Fund | &nbsp;&nbsp;$45600  | &nbsp;&nbsp;$4000  | &nbsp;&nbsp;$12600  | &nbsp;&nbsp;$8900  |
| &nbsp;&nbsp;Strategic Advisers Emerging Markets Fund | &nbsp;&nbsp;$30500  | &nbsp;&nbsp;$2700  | &nbsp;&nbsp;$6900  | &nbsp;&nbsp;$6000  |
| &nbsp;&nbsp;Strategic Advisers Fidelity International Fund | &nbsp;&nbsp;$43200  | &nbsp;&nbsp;$3800  | &nbsp;&nbsp;$10200  | &nbsp;&nbsp;$8500  |
| &nbsp;&nbsp;Strategic Advisers Income Opportunities Fund  | &nbsp;&nbsp;$26100  | &nbsp;&nbsp;$2400  | &nbsp;&nbsp;$6900  | &nbsp;&nbsp;$5400  |
| &nbsp;&nbsp;Strategic Advisers International Fund  | &nbsp;&nbsp;$43500  | &nbsp;&nbsp;$3800  | &nbsp;&nbsp;$10200  | &nbsp;&nbsp;$8600  |

---

<sup>A</sup> Amounts may reflect rounding.

The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC ("Strategic Advisers") and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) ("Fund Service Providers"):

**<u>Services Billed by PwC</u>**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;**<u>February 28, 2026</u><sup>A</sup>** | &nbsp;&nbsp;**<u>February 28, 2025</u><sup>A</sup>** |
| &nbsp;&nbsp;Audit-Related Fees | &nbsp;&nbsp;$9428700  | &nbsp;&nbsp;$9845100  |
| &nbsp;&nbsp;Tax Fees | &nbsp;&nbsp;$1000  | &nbsp;&nbsp;$1000  |
| &nbsp;&nbsp;All Other Fees | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$35000  |

---

<sup>A</sup> Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**<u>Billed By</u>** | &nbsp;&nbsp;**<u>February 28, 2026</u><sup>A</sup>** | &nbsp;&nbsp;**<u>February 28, 2025</u><sup>A</sup>** |
| &nbsp;&nbsp;PwC | &nbsp;&nbsp;$14778600  | &nbsp;&nbsp;$14913500  |

---

<sup>A</sup> Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Advisers's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's(s') last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the "PCAOB") has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a "foreign issuer," as defined in 17 CFR 240.3b-4.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Strategic Advisers® International Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**February 28, 2026**

![](img126032_1.jpg)

![](img126032_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SIT-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® International Fund](#Sub_Sec_Fund_1557_SIT-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1557_SIT-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SIT-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SIT-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SIT-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SIT-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SIT-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SIT-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

The MSCI indexes are the exclusive property of MSCI Inc. ("MSCI"). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by Fidelity. The financial products referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial products or any index on which such financial products are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any relevant financial products. No purchaser, seller or holder of this product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this product without first contacting MSCI to determine whether MSCI's permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® International Fund**

**Schedule of Investments February 28, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 59.0%** | &nbsp;&nbsp;**Common Stocks - 59.0%** | &nbsp;&nbsp;**Common Stocks - 59.0%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 2.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telstra Group Ltd  | 2939164 | 10834778 |
| Interactive Media & Services - 0.0% |  |  |
| REA Group Ltd  | 4593 | 543864 |
| TOTAL COMMUNICATION SERVICES |  | 11378642 |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| Wesfarmers Ltd  | 104177 | 5901956 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Aristocrat Leisure Ltd  | 386843 | 13236271 |
| TOTAL CONSUMER DISCRETIONARY |  | 19138227 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Woolworths Group Ltd  | 329627 | 8444846 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Santos Ltd  | 2640384 | 12702238 |
| Whitehaven Coal Ltd  | 2284570 | 12697609 |
| Woodside Energy Group Ltd  | 102419 | 2091087 |
| TOTAL ENERGY |  | 27490934 |
| Financials - 0.6% |  |  |
| Banks - 0.4% |  |  |
| ANZ Group Holdings Ltd  | 1832683 | 52159441 |
| Commonwealth Bank of Australia  | 203898 | 25338063 |
| National Australia Bank Ltd  | 328176 | 11437782 |
| Westpac Banking Corp  | 125798 | 3808357 |
|  |  | 92743643 |
| Capital Markets - 0.1% |  |  |
| Macquarie Group Ltd  | 263072 | 39966699 |
| Financial Services - 0.0% |  |  |
| Challenger Ltd  | 521446 | 3313807 |
| Insurance - 0.1% |  |  |
| Insurance Australia Group Ltd  | 765396 | 3627662 |
| Medibank Pvt Ltd  | 1336813 | 4166882 |
| QBE Insurance Group Ltd  | 702896 | 10915551 |
| Steadfast Group Ltd  | 1792436 | 5612583 |
|  |  | 24322678 |
| TOTAL FINANCIALS |  | 160346827 |
| Health Care - 0.1% |  |  |
| Biotechnology - 0.0% |  |  |
| CSL Ltd  | 68264 | 7146330 |
| Health Care Providers & Services - 0.1% |  |  |
| Sonic Healthcare Ltd  | 745960 | 12659293 |
| Health Care Technology - 0.0% |  |  |
| Pro Medicus Ltd  | 6250 | 578216 |
| TOTAL HEALTH CARE |  | 20383839 |
| Industrials - 0.2% |  |  |
| Commercial Services & Supplies - 0.2% |  |  |
| Brambles Ltd  | 1180901 | 21076936 |
| Passenger Airlines - 0.0% |  |  |
| Qantas Airways Ltd  | 1912618 | 13543090 |
| Trading Companies & Distributors - 0.0% |  |  |
| SGH Ltd  | 180750 | 6007055 |
| Transportation Infrastructure - 0.0% |  |  |
| Transurban Group unit  | 720837 | 7356186 |
| TOTAL INDUSTRIALS |  | 47983267 |
| Materials - 1.1% |  |  |
| Containers & Packaging - 0.0% |  |  |
| Orora Ltd  | 776760 | 1182952 |
| Metals & Mining - 1.1% |  |  |
| BHP Group Ltd  | 639036 | 25929071 |
| BHP Group Ltd (United Kingdom) (b) | 130389 | 5334821 |
| BlueScope Steel Ltd  | 38095 | 759089 |
| Capricorn Metals Ltd (c) | 114709 | 1201633 |
| Evolution Mining Ltd  | 717717 | 8468456 |
| Glencore PLC  | 14960408 | 108098153 |
| Northern Star Resources Ltd  | 1652673 | 35613057 |
| Rio Tinto Ltd  | 383779 | 45700555 |
| Rio Tinto PLC  | 420694 | 41678017 |
| Rio Tinto PLC ADR  | 255690 | 25400245 |
| South32 Ltd  | 191704 | 628000 |
| Vault Minerals Ltd (c) | 1632710 | 6832078 |
|  |  | 305643175 |
| TOTAL MATERIALS |  | 306826127 |
| Real Estate - 0.1% |  |  |
| Diversified REITs - 0.1% |  |  |
| GPT Group/The unit  | 3111920 | 11205865 |
| Stockland unit  | 1976167 | 7186394 |
|  |  | 18392259 |
| Industrial REITs - 0.0% |  |  |
| Goodman Group unit  | 163311 | 3363414 |
| Retail REITs - 0.0% |  |  |
| Scentre Group unit  | 2748247 | 7471118 |
| TOTAL REAL ESTATE |  | 29226791 |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Apa Group unit  | 237507 | 1555001 |
| TOTAL AUSTRALIA |  | 632774501 |
| AUSTRIA - 0.2%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| OMV AG  | 12967 | 839635 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| BAWAG Group AG (f)(g) | 196866 | 30705427 |
| Erste Group Bank AG  | 212839 | 25325100 |
| Erste Group Bank AG (Czech Republic)  | 3426 | 408282 |
|  |  | 56438809 |
| Insurance - 0.0% |  |  |
| UNIQA Insurance Group AG  | 85501 | 1691208 |
| Vienna Insurance Group AG Wiener Versicherung Gruppe (Czech Republic)  | 4727 | 365562 |
|  |  | 2056770 |
| TOTAL FINANCIALS |  | 58495579 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| voestalpine AG  | 23466 | 1345889 |
| TOTAL AUSTRIA |  | 60681103 |
| BELGIUM - 0.9%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Proximus SADP  | 285238 | 2354205 |
| Consumer Discretionary - 0.0% |  |  |
| Distributors - 0.0% |  |  |
| D'ieteren Group  | 4858 | 1052754 |
| Consumer Staples - 0.3% |  |  |
| Beverages - 0.3% |  |  |
| Anheuser-Busch InBev SA/NV  | 899061 | 73107375 |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| KBC Group NV  | 633019 | 85867559 |
| Health Care - 0.3% |  |  |
| Pharmaceuticals - 0.3% |  |  |
| UCB SA  | 236869 | 70614837 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Syensqo SA  | 173982 | 9943766 |
| Real Estate - 0.0% |  |  |
| Industrial REITs - 0.0% |  |  |
| Warehouses De Pauw CVA  | 183430 | 5643933 |
| TOTAL BELGIUM |  | 248584429 |
| BRAZIL - 0.3%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| MercadoLibre Inc (c) | 1233 | 2167096 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Petroleo Brasileiro SA - Petrobras ADR (PN)  | 445942 | 6867507 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Banco Bradesco SA ADR  | 1078689 | 4411839 |
| Itau Unibanco Holding SA ADR  | 389089 | 3521255 |
| NU Holdings Ltd/Cayman Islands Class A (c) | 142500 | 2134650 |
|  |  | 10067744 |
| Capital Markets - 0.0% |  |  |
| B3 SA - Brasil Bolsa Balcao  | 1265400 | 4418348 |
| Banco BTG Pactual SA unit  | 322900 | 3858549 |
|  |  | 8276897 |
| TOTAL FINANCIALS |  | 18344641 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Embraer SA  | 71900 | 1296205 |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| ERO Copper Corp (United States) (c) | 59647 | 2038734 |
| Wheaton Precious Metals Corp  | 204036 | 33247376 |
| Wheaton Precious Metals Corp (United States)  | 34799 | 5694856 |
| TOTAL MATERIALS |  | 40980966 |
| Utilities - 0.0% |  |  |
| Water Utilities - 0.0% |  |  |
| Cia de Saneamento Basico do Estado de Sao Paulo SABESP  | 87975 | 2640880 |
| TOTAL BRAZIL |  | 72297295 |
| CANADA - 1.2%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Alimentation Couche-Tard Inc  | 17895 | 1085993 |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| CES Energy Solutions Corp  | 82931 | 1023224 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Cameco Corp  | 16784 | 1985706 |
| Cameco Corp (United States)  | 12085 | 1430864 |
| Canadian Natural Resources Ltd  | 172700 | 7554715 |
| Peyto Exploration & Development Corp (b) | 66256 | 1283784 |
|  |  | 12255069 |
| TOTAL ENERGY |  | 13278293 |
| Financials - 0.1% |  |  |
| Banks - 0.0% |  |  |
| National Bank of Canada  | 40137 | 5601613 |
| Toronto Dominion Bank  | 72748 | 7086804 |
|  |  | 12688417 |
| Capital Markets - 0.0% |  |  |
| Brookfield Asset Management Ltd Class A (United States) (b) | 38425 | 1796369 |
| Brookfield Corp Class A  | 153504 | 6731871 |
|  |  | 8528240 |
| Insurance - 0.1% |  |  |
| Definity Financial Corp  | 172954 | 8657527 |
| Intact Financial Corp  | 21302 | 4112665 |
|  |  | 12770192 |
| TOTAL FINANCIALS |  | 33986849 |
| Industrials - 0.2% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| MDA Space Ltd (c) | 24596 | 713149 |
| Commercial Services & Supplies - 0.0% |  |  |
| BOYD GROUP INC  | 3267 | 570243 |
| Element Fleet Management Corp  | 317534 | 7563271 |
| RB Global Inc  | 32781 | 3302252 |
|  |  | 11435766 |
| Construction & Engineering - 0.0% |  |  |
| WSP Global Inc  | 16016 | 2713110 |
| Ground Transportation - 0.2% |  |  |
| Canadian National Railway Co  | 44700 | 5016113 |
| Canadian Pacific Kansas City Ltd  | 314908 | 27574218 |
|  |  | 32590331 |
| Professional Services - 0.0% |  |  |
| Thomson Reuters Corp  | 14800 | 1424936 |
| Trading Companies & Distributors - 0.0% |  |  |
| Toromont Industries Ltd (b) | 21665 | 3362399 |
| TOTAL INDUSTRIALS |  | 52239691 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Celestica Inc (United States) (c) | 6887 | 1912038 |
| IT Services - 0.0% |  |  |
| Shopify Inc Class A (United States) (c) | 72648 | 8770793 |
| Software - 0.0% |  |  |
| Constellation Software Inc/Canada  | 1425 | 2633291 |
| Constellation Software Inc/Canada warrants 3/31/2040 (c)(d) | 6340 | 0 |
|  |  | 2633291 |
| TOTAL INFORMATION TECHNOLOGY |  | 13316122 |
| Materials - 0.9% |  |  |
| Chemicals - 0.0% |  |  |
| Methanex Corp (b) | 63831 | 3220446 |
| Containers & Packaging - 0.1% |  |  |
| CCL Industries Inc Class B  | 95493 | 6642261 |
| Metals & Mining - 0.8% |  |  |
| Agnico Eagle Mines Ltd/CA  | 114236 | 28694462 |
| Agnico Eagle Mines Ltd/CA (United States) (b) | 57198 | 14391017 |
| Americas Gold & Silver Corp (United States) (c) | 91409 | 894894 |
| Barrick Mining Corp  | 399453 | 20267690 |
| Barrick Mining Corp (United States) (b) | 739053 | 37499549 |
| Capstone Copper Corp (c) | 1623 | 16788 |
| First Majestic Silver Corp (United States) (b) | 427292 | 13677617 |
| Franco-Nevada Corp  | 256341 | 71645059 |
| Hemlo Mining Corp (c) | 162934 | 867198 |
| K92 Mining Inc (c) | 67827 | 1634949 |
| Lundin Gold Inc  | 38900 | 3666561 |
| OR Royalties Inc (United States)  | 30417 | 1441462 |
| Steppe Gold Ltd (c) | 289649 | 386468 |
| Teck Resources Ltd Class B (United States)  | 141368 | 8325162 |
| Wesdome Gold Mines Ltd (c) | 14137 | 277961 |
|  |  | 203686837 |
| TOTAL MATERIALS |  | 213549544 |
| TOTAL CANADA |  | 327456492 |
| CHILE - 0.2%  |  |  |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Antofagasta PLC  | 594333 | 34184668 |
| Lundin Mining Corp  | 278091 | 8860258 |
| Lundin Mining Corp (Sweden)  | 30769 | 987051 |
| TOTAL CHILE |  | 44031977 |
| CHINA - 0.9%  |  |  |
| Communication Services - 0.1% |  |  |
| Interactive Media & Services - 0.1% |  |  |
| Tencent Holdings Ltd  | 491000 | 32304772 |
| Consumer Discretionary - 0.3% |  |  |
| Automobile Components - 0.0% |  |  |
| FAWER Automotive Parts Co Ltd A Shares (China)  | 1270908 | 1030335 |
| Fuyao Glass Industry Group Co Ltd A Shares (China)  | 131700 | 1159879 |
|  |  | 2190214 |
| Broadline Retail - 0.3% |  |  |
| Alibaba Group Holding Ltd  | 364760 | 6600967 |
| Prosus NV Class N  | 969681 | 49842031 |
|  |  | 56442998 |
| Specialty Retail - 0.0% |  |  |
| Beijing Caishikou Department Store Co Ltd A Shares (China)  | 1055938 | 3818387 |
| TOTAL CONSUMER DISCRETIONARY |  | 62451599 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Agricultural Bank of China Ltd H Shares  | 1717000 | 1165384 |
| BOC Hong Kong Holdings Ltd  | 3756000 | 21556408 |
|  |  | 22721792 |
| Capital Markets - 0.0% |  |  |
| China Galaxy Securities Co Ltd H Shares  | 1108500 | 1404151 |
| GF Securities Co Ltd A Shares (China)  | 1230128 | 3737988 |
| Orient Securities Co Ltd/China H Shares (f)(g) | 226000 | 178237 |
|  |  | 5320376 |
| Insurance - 0.0% |  |  |
| Ping An Insurance Group Co of China Ltd H Shares  | 252000 | 2179963 |
| TOTAL FINANCIALS |  | 30222131 |
| Health Care - 0.0% |  |  |
| Biotechnology - 0.0% |  |  |
| Acrobiosystems Co Ltd A Shares (China)  | 85400 | 599451 |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Edan Instruments Inc A Shares (China)  | 82000 | 175043 |
| Sinocare Inc A Shares (China)  | 287200 | 746246 |
|  |  | 921289 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Wuxi Biologics Cayman Inc (c)(f)(g) | 786000 | 4040816 |
| Pharmaceuticals - 0.0% |  |  |
| Porton Pharma Solutions Ltd A Shares (China) (c) | 341000 | 1169450 |
| Shenzhen Hepalink Pharmaceutical Group Co Ltd A Shares (China)  | 17700 | 31022 |
| Shijiazhuang Yiling Pharmaceutical Co Ltd A Shares (China)  | 170300 | 434056 |
| Sino Biopharmaceutical Ltd  | 3125000 | 2416628 |
| Zhejiang Medicine Co Ltd A Shares (China)  | 102700 | 243939 |
|  |  | 4295095 |
| TOTAL HEALTH CARE |  | 9856651 |
| Industrials - 0.2% |  |  |
| Electrical Equipment - 0.0% |  |  |
| Goldwind Science & Technology Co Ltd A Shares (China)  | 1091700 | 4528720 |
| GoodWe Technologies Co Ltd A Shares (China) (c) | 50936 | 646894 |
| TBEA Co Ltd A Shares (China)  | 815930 | 3609594 |
| Zhuhai CosMX Battery Co Ltd A Shares (China)  | 234985 | 641067 |
|  |  | 9426275 |
| Machinery - 0.2% |  |  |
| Airtac International Group  | 24158 | 928087 |
| China CSSC Holdings Ltd A Shares (China)  | 600905 | 3307597 |
| CIMC Enric Holdings Ltd  | 184000 | 300575 |
| Haitian International Holdings Ltd  | 85000 | 275098 |
| Hefei Meiya Optoelectronic Technology Inc A Shares (China)  | 140262 | 409443 |
| Suzhou Hailu Heavy Industry Co Ltd A Shares (China)  | 1105400 | 2124343 |
| Weichai Power Co Ltd A Shares (China)  | 918000 | 3729183 |
| Yangzijiang Shipbuildling (Holdings) Ltd  | 5023740 | 17236962 |
|  |  | 28311288 |
| Marine Transportation - 0.0% |  |  |
| SITC International Holdings Co Ltd  | 1660500 | 7084833 |
| TOTAL INDUSTRIALS |  | 44822396 |
| Information Technology - 0.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Aoshikang Technology Co Ltd A Shares (China)  | 42000 | 299466 |
| Luxshare Precision Industry Co Ltd A Shares (China)  | 542456 | 3972201 |
| Ningbo Sunrise Elc Technology Co Ltd A Shares (China)  | 60300 | 227195 |
| Quectel Wireless Solutions Co Ltd A Shares (China)  | 43572 | 548986 |
| Raytron Technology Co Ltd A Shares (China)  | 137528 | 2342400 |
| Shennan Circuits Co Ltd A Shares (China)  | 7700 | 320498 |
| VSTECS Holdings Ltd  | 134000 | 136168 |
|  |  | 7846914 |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| All Winner Technology Co Ltd A Shares (China)  | 752060 | 4675839 |
| Piotech Inc A Shares (China)  | 60988 | 3284968 |
| Trina Solar Co Ltd A Shares (China) (c) | 1681741 | 4681175 |
| Union Semiconductor Hefei Co Ltd A Shares (China)  | 358350 | 996955 |
| Wuxi Taiji Industry Ltd Co A Shares (China)  | 294260 | 475402 |
| Yangling Metron New Material Inc A Shares (China)  | 104900 | 290922 |
|  |  | 14405261 |
| Software - 0.0% |  |  |
| Sangfor Technologies Inc A Shares (China)  | 42813 | 818404 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Anker Innovations Technology Co Ltd A Shares (China)  | 133662 | 1885986 |
| Shenzhen Longsys Electronics Co Ltd (China) (c) | 111500 | 4742433 |
|  |  | 6628419 |
| TOTAL INFORMATION TECHNOLOGY |  | 29698998 |
| Materials - 0.1% |  |  |
| Chemicals - 0.0% |  |  |
| Jiangsu Eastern Shenghong Co Ltd A Shares (China) (c) | 245000 | 465122 |
| Qinghai Salt Lake Industry Co Ltd A Shares (China) (c) | 813700 | 4532289 |
| Rongsheng Petrochemical Co Ltd A Shares (China)  | 931200 | 2118153 |
| Xinjiang Zhongtai Chemical Co Ltd A Shares (China) (c) | 655800 | 720039 |
|  |  | 7835603 |
| Metals & Mining - 0.1% |  |  |
| Aluminum Corp of China Ltd A Shares (China)  | 392200 | 784606 |
| Baoshan Iron & Steel Co Ltd A Shares (China)  | 38100 | 39999 |
| Jiangxi Copper Co Ltd A Shares (China)  | 945900 | 8005021 |
| Pengxin International Mining Co Ltd A Shares (China) (c) | 2145700 | 3222523 |
| Sansteel Minguang Co Ltd Fujian A Shares (China) (c) | 1982400 | 1338327 |
| Shanxi Taigang Stainless Steel Co Ltd A Shares (China) (c) | 160300 | 123646 |
| Sinomine Resource Group Co Ltd A Shares (China)  | 113200 | 1502027 |
| Tongling Nonferrous Metals Group Co Ltd A Shares (China)  | 5968000 | 6900679 |
| Western Mining Co Ltd A Shares (China)  | 358600 | 1811771 |
| Zhaojin International Gold Co Ltd A Shares (China) (c) | 1747000 | 5171051 |
|  |  | 28899650 |
| Paper & Forest Products - 0.0% |  |  |
| Zhongfu Straits Pingtan Development Co Ltd A Shares (China) (c) | 696300 | 1200062 |
| TOTAL MATERIALS |  | 37935315 |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| China Resources Gas Group Ltd  | 425100 | 1139990 |
| TOTAL CHINA |  | 248431852 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Ivanhoe Mines Ltd Class A (c) | 78301 | 895492 |
| COTE D'IVOIRE - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Endeavour Mining PLC  | 9802 | 705301 |
| Endeavour Mining PLC (United Kingdom)  | 19247 | 1372132 |
| TOTAL COTE D'IVOIRE |  | 2077433 |
| CZECH REPUBLIC - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| CSG NV  | 33343 | 1254041 |
| DENMARK - 0.7%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Pandora A/S  | 7881 | 623141 |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Carlsberg AS Series B  | 62924 | 9783490 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Danske Bank A/S  | 284869 | 14870526 |
| Insurance - 0.0% |  |  |
| Tryg A/S  | 18348 | 454377 |
| TOTAL FINANCIALS |  | 15324903 |
| Health Care - 0.2% |  |  |
| Biotechnology - 0.0% |  |  |
| Genmab A/S (c) | 6074 | 1788347 |
| Genmab A/S ADR (c) | 38964 | 1147100 |
|  |  | 2935447 |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Coloplast AS Series B  | 122377 | 9482110 |
| Pharmaceuticals - 0.2% |  |  |
| Novo Nordisk A/S Series B  | 1426684 | 53962247 |
| TOTAL HEALTH CARE |  | 66379804 |
| Industrials - 0.3% |  |  |
| Air Freight & Logistics - 0.3% |  |  |
| DSV A/S  | 225392 | 58294107 |
| Building Products - 0.0% |  |  |
| ROCKWOOL A/S Series B  | 100383 | 3326469 |
| Electrical Equipment - 0.0% |  |  |
| Vestas Wind Systems A/S  | 249396 | 6375637 |
| Machinery - 0.0% |  |  |
| FLSmidth & Co A/S  | 11174 | 990421 |
| TOTAL INDUSTRIALS |  | 68986634 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Novonesis Novozymes B Series B  | 376410 | 22351502 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Orsted AS (c)(f)(g) | 178125 | 4225244 |
| TOTAL DENMARK |  | 187674718 |
| FINLAND - 0.3%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Neste Oyj  | 40831 | 1021848 |
| Financials - 0.1% |  |  |
| Banks - 0.0% |  |  |
| Nordea Bank Abp  | 295522 | 5718509 |
| Insurance - 0.1% |  |  |
| Mandatum Holding Oy  | 613090 | 4949286 |
| Sampo Oyj A Shares  | 1288826 | 14284184 |
|  |  | 19233470 |
| TOTAL FINANCIALS |  | 24951979 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Orion Oyj B Shares  | 10865 | 869138 |
| Industrials - 0.0% |  |  |
| Machinery - 0.0% |  |  |
| Kone Oyj B Shares  | 33170 | 2509179 |
| Metso Oyj  | 374675 | 7838286 |
| Valmet Oyj  | 18583 | 625135 |
| Wartsila OYJ Abp  | 50374 | 2196359 |
| TOTAL INDUSTRIALS |  | 13168959 |
| Information Technology - 0.2% |  |  |
| Communications Equipment - 0.2% |  |  |
| Nokia Oyj  | 3247810 | 24927007 |
| Nokia Oyj (Sweden) (b) | 26319 | 202212 |
| TOTAL INFORMATION TECHNOLOGY |  | 25129219 |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Stora Enso Oyj R Shares  | 455555 | 6192955 |
| UPM-Kymmene Oyj  | 213500 | 6806288 |
| TOTAL MATERIALS |  | 12999243 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Fortum Oyj  | 132700 | 3106175 |
| TOTAL FINLAND |  | 81246561 |
| FRANCE - 6.7%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |
| Orange SA  | 2049313 | 44147444 |
| Entertainment - 0.0% |  |  |
| Vivendi SE  | 462300 | 1200897 |
| Media - 0.0% |  |  |
| Canal+ SA  | 320200 | 1332095 |
| JCDecaux SE  | 426838 | 8846330 |
|  |  | 10178425 |
| TOTAL COMMUNICATION SERVICES |  | 55526766 |
| Consumer Discretionary - 0.8% |  |  |
| Automobile Components - 0.1% |  |  |
| Cie Generale des Etablissements Michelin SCA Series B  | 362607 | 14664264 |
| Valeo SE  | 179308 | 2603886 |
|  |  | 17268150 |
| Automobiles - 0.0% |  |  |
| Renault SA  | 115276 | 4373707 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Accor SA  | 239420 | 13935589 |
| FDJ UNITED (b) | 76500 | 2319468 |
| Sodexo SA  | 78900 | 4318756 |
|  |  | 20573813 |
| Textiles, Apparel & Luxury Goods - 0.6% |  |  |
| Hermes International SCA  | 9418 | 22801904 |
| Kering SA  | 289624 | 97122164 |
| LVMH Moet Hennessy Louis Vuitton SE  | 95460 | 61000916 |
|  |  | 180924984 |
| TOTAL CONSUMER DISCRETIONARY |  | 223140654 |
| Consumer Staples - 0.4% |  |  |
| Beverages - 0.2% |  |  |
| Pernod Ricard SA  | 439271 | 40536147 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Carrefour SA  | 1182117 | 22419245 |
| Food Products - 0.1% |  |  |
| Danone SA  | 338426 | 29104301 |
| Danone SA ADR  | 23463 | 402390 |
|  |  | 29506691 |
| Personal Care Products - 0.0% |  |  |
| L'Oreal SA  | 29478 | 13811806 |
| TOTAL CONSUMER STAPLES |  | 106273889 |
| Energy - 0.5% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Vallourec SACA  | 485510 | 11335889 |
| Oil, Gas & Consumable Fuels - 0.5% |  |  |
| Bollore SE  | 323922 | 1896890 |
| North Atlantic Energies  | 3524 | 161478 |
| TotalEnergies SE  | 1708212 | 135799520 |
|  |  | 137857888 |
| TOTAL ENERGY |  | 149193777 |
| Financials - 1.3% |  |  |
| Banks - 1.0% |  |  |
| BNP Paribas SA  | 1170005 | 131370151 |
| BNP Paribas SA ADR  | 23208 | 1301505 |
| Credit Agricole SA  | 1357819 | 29998260 |
| Societe Generale SA Series A  | 1256386 | 108879152 |
|  |  | 271549068 |
| Capital Markets - 0.0% |  |  |
| Amundi SA (f)(g) | 148250 | 14197706 |
| Financial Services - 0.1% |  |  |
| Edenred SE  | 899657 | 20835480 |
| Wendel SE  | 1950 | 204721 |
| Worldline SA/France (b)(c)(f)(g) | 1220297 | 2255857 |
|  |  | 23296058 |
| Insurance - 0.2% |  |  |
| AXA SA  | 1136737 | 55588829 |
| SCOR SE  | 14475 | 528503 |
|  |  | 56117332 |
| TOTAL FINANCIALS |  | 365160164 |
| Health Care - 0.1% |  |  |
| Health Care Equipment & Supplies - 0.1% |  |  |
| EssilorLuxottica SA  | 92904 | 24590485 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Sartorius Stedim Biotech  | 10724 | 2320148 |
| TOTAL HEALTH CARE |  | 26910633 |
| Industrials - 2.3% |  |  |
| Aerospace & Defense - 0.9% |  |  |
| Airbus SE  | 336960 | 73171853 |
| Airbus SE (Spain) (b) | 521 | 113482 |
| Airbus SE ADR  | 5694 | 308444 |
| Dassault Aviation SA  | 20216 | 8088215 |
| Safran SA  | 359427 | 144755183 |
| Safran SA ADR  | 53308 | 5362785 |
| Thales SA  | 66084 | 20057630 |
|  |  | 251857592 |
| Building Products - 0.3% |  |  |
| Cie de Saint-Gobain SA  | 932553 | 94506550 |
| Construction & Engineering - 0.3% |  |  |
| Bouygues SA  | 452965 | 28195571 |
| Vinci SA  | 358985 | 59586536 |
|  |  | 87782107 |
| Electrical Equipment - 0.4% |  |  |
| Legrand SA  | 592103 | 107245923 |
| Nexans SA  | 14900 | 2153194 |
|  |  | 109399117 |
| Ground Transportation - 0.0% |  |  |
| Ayvens SA (f)(g) | 764318 | 9753676 |
| Machinery - 0.2% |  |  |
| Alstom SA (c) | 1999830 | 66528101 |
| Manitou BF SA  | 9503 | 264437 |
|  |  | 66792538 |
| Professional Services - 0.1% |  |  |
| Bureau Veritas SA  | 352552 | 12255650 |
| Teleperformance SE  | 33600 | 2043846 |
|  |  | 14299496 |
| Trading Companies & Distributors - 0.1% |  |  |
| Rexel SA  | 415813 | 18115139 |
| Transportation Infrastructure - 0.0% |  |  |
| Getlink SE Series A  | 91671 | 1995226 |
| TOTAL INDUSTRIALS |  | 654501441 |
| Information Technology - 0.2% |  |  |
| IT Services - 0.2% |  |  |
| Alten SA  | 38 | 2853 |
| Capgemini SE  | 346910 | 43841410 |
|  |  | 43844263 |
| Software - 0.0% |  |  |
| Dassault Systemes SE  | 673906 | 14757704 |
| TOTAL INFORMATION TECHNOLOGY |  | 58601967 |
| Materials - 0.3% |  |  |
| Chemicals - 0.3% |  |  |
| Air Liquide SA  | 406863 | 85553260 |
| Air Liquide SA ADR  | 1787 | 75054 |
| Arkema SA  | 44675 | 3270215 |
|  |  | 88898529 |
| Construction Materials - 0.0% |  |  |
| Vicat SACA  | 1134 | 95403 |
| TOTAL MATERIALS |  | 88993932 |
| Real Estate - 0.2% |  |  |
| Office REITs - 0.0% |  |  |
| Gecina SA  | 72842 | 6752200 |
| Retail REITs - 0.2% |  |  |
| Klepierre SA  | 252344 | 10620804 |
| Unibail-Rodamco-Westfield unit  | 204565 | 25657941 |
|  |  | 36278745 |
| TOTAL REAL ESTATE |  | 43030945 |
| Utilities - 0.4% |  |  |
| Multi-Utilities - 0.4% |  |  |
| Engie SA  | 2465420 | 84226354 |
| Veolia Environnement SA  | 495676 | 20990254 |
| TOTAL UTILITIES |  | 105216608 |
| TOTAL FRANCE |  | 1876550776 |
| GEORGIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Georgia Capital PLC (c) | 75897 | 3810027 |
| GERMANY - 4.9%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| Deutsche Telekom AG  | 2891145 | 116108833 |
| Entertainment - 0.0% |  |  |
| CTS Eventim AG & Co KGaA  | 95337 | 7755966 |
| Interactive Media & Services - 0.0% |  |  |
| Scout24 SE (f)(g) | 7170 | 612107 |
| TOTAL COMMUNICATION SERVICES |  | 124476906 |
| Consumer Discretionary - 0.3% |  |  |
| Automobile Components - 0.0% |  |  |
| Aumovio SE  | 80709 | 4033971 |
| Continental AG  | 47195 | 4077582 |
|  |  | 8111553 |
| Automobiles - 0.1% |  |  |
| Bayerische Motoren Werke AG  | 150861 | 15946904 |
| Mercedes-Benz Group AG  | 84415 | 5840558 |
| Volkswagen AG  | 3171 | 378912 |
|  |  | 22166374 |
| Specialty Retail - 0.0% |  |  |
| Zalando SE (c)(f)(g) | 376913 | 9241228 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Adidas AG  | 194710 | 36125546 |
| Adidas AG ADR  | 5319 | 495943 |
|  |  | 36621489 |
| TOTAL CONSUMER DISCRETIONARY |  | 76140644 |
| Consumer Staples - 0.1% |  |  |
| Personal Care Products - 0.1% |  |  |
| Beiersdorf AG  | 114415 | 14473030 |
| Financials - 1.0% |  |  |
| Banks - 0.0% |  |  |
| Commerzbank AG  | 126100 | 5162842 |
| Capital Markets - 0.3% |  |  |
| Deutsche Bank AG  | 598943 | 21440106 |
| Deutsche Boerse AG  | 221698 | 60588528 |
| flatexDEGIRO SE  | 24706 | 899716 |
|  |  | 82928350 |
| Insurance - 0.7% |  |  |
| Allianz SE  | 264315 | 118697830 |
| Hannover Rueck SE  | 88890 | 27077359 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen  | 56223 | 36692447 |
| Talanx AG  | 83377 | 10541454 |
|  |  | 193009090 |
| TOTAL FINANCIALS |  | 281100282 |
| Health Care - 0.2% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Siemens Healthineers AG (f)(g) | 166308 | 8248809 |
| Health Care Providers & Services - 0.1% |  |  |
| Fresenius SE & Co KGaA  | 589560 | 35458167 |
| Pharmaceuticals - 0.1% |  |  |
| Bayer AG  | 207825 | 10283356 |
| Merck KGaA  | 100420 | 15215211 |
|  |  | 25498567 |
| TOTAL HEALTH CARE |  | 69205543 |
| Industrials - 1.4% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| MTU Aero Engines AG  | 51374 | 22181066 |
| Rheinmetall AG  | 30381 | 59716638 |
|  |  | 81897704 |
| Air Freight & Logistics - 0.1% |  |  |
| Deutsche Post AG  | 670558 | 39485924 |
| Electrical Equipment - 0.3% |  |  |
| Siemens Energy AG  | 398297 | 78335986 |
| Industrial Conglomerates - 0.6% |  |  |
| Siemens AG  | 491033 | 141979178 |
| Machinery - 0.1% |  |  |
| Daimler Truck Holding AG  | 192041 | 9764180 |
| Gea Group Ag  | 58480 | 4553688 |
| KION Group AG  | 103555 | 7096914 |
| Knorr-Bremse AG  | 54972 | 7242473 |
| Krones AG  | 10550 | 1657962 |
| RENK Group AG  | 13787 | 927431 |
|  |  | 31242648 |
| Passenger Airlines - 0.0% |  |  |
| Deutsche Lufthansa AG  | 166641 | 1789455 |
| Trading Companies & Distributors - 0.0% |  |  |
| Brenntag SE  | 76100 | 4702803 |
| TOTAL INDUSTRIALS |  | 379433698 |
| Information Technology - 0.8% |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| Infineon Technologies AG  | 1485250 | 80047290 |
| Software - 0.5% |  |  |
| Nemetschek SE  | 5615 | 449832 |
| SAP SE  | 764990 | 153680671 |
|  |  | 154130503 |
| TOTAL INFORMATION TECHNOLOGY |  | 234177793 |
| Materials - 0.4% |  |  |
| Chemicals - 0.2% |  |  |
| BASF SE  | 182464 | 10451565 |
| LANXESS AG  | 722597 | 16325050 |
| Symrise AG  | 288476 | 26352148 |
|  |  | 53128763 |
| Construction Materials - 0.2% |  |  |
| Heidelberg Materials AG  | 204197 | 45493570 |
| TOTAL MATERIALS |  | 98622333 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| LEG Immobilien SE  | 121905 | 10198241 |
| Vonovia SE  | 91500 | 3102538 |
| TOTAL REAL ESTATE |  | 13300779 |
| Utilities - 0.3% |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| RWE AG  | 472070 | 30367657 |
| Multi-Utilities - 0.2% |  |  |
| E.ON SE  | 2679006 | 62297305 |
| TOTAL UTILITIES |  | 92664962 |
| TOTAL GERMANY |  | 1383595970 |
| GREECE - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Eurobank SA  | 1616951 | 7489510 |
| National Bank of Greece SA  | 638148 | 10394382 |
| TOTAL GREECE |  | 17883892 |
| GUATEMALA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Millicom International Cellular SA  | 21366 | 1557368 |
| HONG KONG - 1.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| HKT Trust & HKT Ltd unit  | 373000 | 588340 |
| PCCW Ltd  | 465000 | 353056 |
| TOTAL COMMUNICATION SERVICES |  | 941396 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Melco Resorts & Entertainment Ltd ADR (c) | 609821 | 3622337 |
| Household Durables - 0.0% |  |  |
| Man Wah Holdings Ltd  | 552000 | 359843 |
| Specialty Retail - 0.0% |  |  |
| Emperor Watch & Jewellery Ltd  | 23580000 | 1054912 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Yue Yuen Industrial Holdings Ltd  | 254000 | 603556 |
| TOTAL CONSUMER DISCRETIONARY |  | 5640648 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| WH Group Ltd (f)(g) | 840500 | 1057152 |
| Financials - 0.9% |  |  |
| Capital Markets - 0.2% |  |  |
| Futu Holdings Ltd Class A ADR (c) | 49846 | 7419079 |
| Hong Kong Exchanges & Clearing Ltd  | 1059105 | 56582640 |
| Hong Kong Exchanges & Clearing Ltd ADR  | 21314 | 1149464 |
|  |  | 65151183 |
| Insurance - 0.7% |  |  |
| AIA Group Ltd  | 11091322 | 122354296 |
| AIA Group Ltd ADR  | 68328 | 3018048 |
| Prudential PLC  | 3726212 | 57072501 |
| Prudential PLC (Hong Kong)  | 7500 | 115327 |
| Prudential PLC ADR (b) | 16630 | 511373 |
|  |  | 183071545 |
| TOTAL FINANCIALS |  | 248222728 |
| Industrials - 0.1% |  |  |
| Ground Transportation - 0.0% |  |  |
| MTR Corp Ltd  | 132500 | 632404 |
| Industrial Conglomerates - 0.0% |  |  |
| Swire Pacific Ltd A Shares  | 33500 | 360332 |
| Machinery - 0.1% |  |  |
| Techtronic Industries Co Ltd  | 944500 | 15296821 |
| Techtronic Industries Co Ltd ADR  | 50318 | 4080790 |
|  |  | 19377611 |
| TOTAL INDUSTRIALS |  | 20370347 |
| Information Technology - 0.0% |  |  |
| Communications Equipment - 0.0% |  |  |
| VTech Holdings Ltd  | 56700 | 467825 |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Cowell e Holdings Inc (c) | 40000 | 143365 |
| TOTAL INFORMATION TECHNOLOGY |  | 611190 |
| Real Estate - 0.2% |  |  |
| Real Estate Management & Development - 0.2% |  |  |
| CK Asset Holdings Ltd  | 2897800 | 18438593 |
| Henderson Land Development Co Ltd  | 146000 | 661380 |
| Hongkong Land Holdings Ltd (Singapore)  | 1047500 | 9081825 |
| Hysan Development Co Ltd  | 18000 | 50203 |
| Sun Hung Kai Properties Ltd  | 855000 | 15955978 |
| Wharf Real Estate Investment Co Ltd  | 278000 | 1026945 |
|  |  | 45214924 |
| Retail REITs - 0.0% |  |  |
| Link REIT  | 633700 | 3139582 |
| TOTAL REAL ESTATE |  | 48354506 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| CLP Holdings Ltd  | 325000 | 3082420 |
| Power Assets Holdings Ltd  | 123500 | 1001620 |
| TOTAL UTILITIES |  | 4084040 |
| TOTAL HONG KONG |  | 329282007 |
| INDIA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Bharti Airtel Ltd  | 109536 | 2261676 |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Eicher Motors Ltd  | 27887 | 2454364 |
| Mahindra & Mahindra Ltd  | 53049 | 1980165 |
|  |  | 4434529 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Indian Hotels Co Ltd/The  | 130561 | 956862 |
| TOTAL CONSUMER DISCRETIONARY |  | 5391391 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Reliance Industries Ltd  | 153396 | 2349217 |
| Reliance Industries Ltd GDR (f) | 40800 | 2501040 |
| TOTAL ENERGY |  | 4850257 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| HDFC Bank Ltd  | 1285805 | 12541321 |
| HDFC Bank Ltd ADR  | 57328 | 1825897 |
| ICICI Bank Ltd  | 125478 | 1907254 |
| ICICI Bank Ltd ADR  | 62276 | 1900041 |
|  |  | 18174513 |
| Consumer Finance - 0.0% |  |  |
| Bajaj Finance Ltd  | 188061 | 2057747 |
| TOTAL FINANCIALS |  | 20232260 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Apollo Hospitals Enterprise Ltd  | 7664 | 658602 |
| Max Healthcare Institute Ltd  | 75926 | 910900 |
| TOTAL HEALTH CARE |  | 1569502 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Bharat Electronics Ltd  | 292036 | 1426859 |
| Hindustan Aeronautics Ltd (g) | 24131 | 1037492 |
| TOTAL INDUSTRIALS |  | 2464351 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| Lodha Developers Ltd (f)(g) | 60327 | 655022 |
| TOTAL INDIA |  | 37424459 |
| INDONESIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Bank Central Asia Tbk PT  | 344000 | 146884 |
| Bank Mandiri Persero Tbk PT  | 13005800 | 4082157 |
| TOTAL FINANCIALS |  | 4229041 |
| Industrials - 0.0% |  |  |
| Industrial Conglomerates - 0.0% |  |  |
| Jardine Matheson Holdings Ltd (Singapore)  | 16200 | 1336500 |
| Jardine Matheson Holdings Ltd ADR  | 999 | 82217 |
| TOTAL INDUSTRIALS |  | 1418717 |
| TOTAL INDONESIA |  | 5647758 |
| IRELAND - 0.7%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Cairn Homes PLC  | 121444 | 342875 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Kerry Group PLC Class A  | 106440 | 9470444 |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| AIB Group PLC  | 6863860 | 71776482 |
| AIB Group PLC (United Kingdom)  | 16482 | 173698 |
| AIB Group PLC ADR (b) | 4580 | 94897 |
| Bank of Ireland Group PLC  | 1899019 | 37102570 |
| TOTAL FINANCIALS |  | 109147647 |
| Industrials - 0.3% |  |  |
| Building Products - 0.2% |  |  |
| Kingspan Group PLC  | 474965 | 47338793 |
| Trading Companies & Distributors - 0.1% |  |  |
| AerCap Holdings NV  | 154750 | 23125840 |
| TOTAL INDUSTRIALS |  | 70464633 |
| TOTAL IRELAND |  | 189425599 |
| ISRAEL - 0.3%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Bank Hapoalim BM  | 206442 | 5205533 |
| Bank Leumi Le-Israel BM  | 770777 | 18643228 |
| Israel Discount Bank Ltd Class A  | 52366 | 633721 |
| Mizrahi Tefahot Bank Ltd  | 14778 | 1106722 |
|  |  | 25589204 |
| Insurance - 0.0% |  |  |
| Phoenix Financial Ltd  | 108183 | 5525532 |
| TOTAL FINANCIALS |  | 31114736 |
| Health Care - 0.1% |  |  |
| Pharmaceuticals - 0.1% |  |  |
| Teva Pharmaceutical Industries Ltd ADR (c) | 417920 | 14150771 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Elbit Systems Ltd  | 1279 | 979440 |
| Elbit Systems Ltd (United States)  | 1402 | 1078194 |
| TOTAL INDUSTRIALS |  | 2057634 |
| Information Technology - 0.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Next Vision Stabilized Systems Ltd  | 25720 | 2938513 |
| IT Services - 0.0% |  |  |
| Wix.com Ltd (c) | 63754 | 4492107 |
| Software - 0.1% |  |  |
| Check Point Software Technologies Ltd (c) | 114328 | 17385859 |
| Nice Ltd (c) | 4188 | 474603 |
|  |  | 17860462 |
| TOTAL INFORMATION TECHNOLOGY |  | 25291082 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| ICL Group Ltd  | 6358 | 30058 |
| TOTAL ISRAEL |  | 72644281 |
| ITALY - 2.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Infrastrutture Wireless Italiane SpA (b)(f)(g) | 39913 | 424215 |
| Telecom Italia SpA/Milano (c) | 12335936 | 9273342 |
| TOTAL COMMUNICATION SERVICES |  | 9697557 |
| Consumer Discretionary - 0.1% |  |  |
| Automobile Components - 0.1% |  |  |
| Pirelli & C SpA (f)(g) | 1505140 | 11335990 |
| Automobiles - 0.0% |  |  |
| Ferrari NV (Italy)  | 15188 | 5767890 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Lottomatica Group Spa  | 45322 | 1099967 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Brunello Cucinelli SpA  | 7565 | 736021 |
| Moncler SpA  | 100185 | 6918045 |
|  |  | 7654066 |
| TOTAL CONSUMER DISCRETIONARY |  | 25857913 |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Coca-Cola HBC AG  | 89589 | 5807335 |
| Davide Campari-Milano NV  | 1256776 | 9471372 |
| TOTAL CONSUMER STAPLES |  | 15278707 |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Saipem SpA (b) | 486364 | 2052210 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Eni SpA  | 514929 | 12026035 |
| TOTAL ENERGY |  | 14078245 |
| Financials - 1.3% |  |  |
| Banks - 1.1% |  |  |
| Banco BPM SpA  | 110312 | 1633870 |
| BPER Banca SPA (b) | 1203165 | 17074134 |
| FinecoBank Banca Fineco SpA  | 1068000 | 25226356 |
| Intesa Sanpaolo SpA  | 14217160 | 97551745 |
| UniCredit SpA  | 1703102 | 145014642 |
|  |  | 286500747 |
| Capital Markets - 0.0% |  |  |
| Azimut Holding SpA  | 33041 | 1369957 |
| Banca Generali SpA  | 18782 | 1217276 |
|  |  | 2587233 |
| Financial Services - 0.0% |  |  |
| Banca Mediolanum SpA  | 21549 | 464432 |
| Poste Italiane SpA (b)(f)(g) | 450810 | 12118404 |
|  |  | 12582836 |
| Insurance - 0.2% |  |  |
| Generali  | 1496293 | 63931596 |
| Unipol Assicurazioni SpA  | 33883 | 847165 |
|  |  | 64778761 |
| TOTAL FINANCIALS |  | 366449577 |
| Health Care - 0.1% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| GVS SpA (c)(f)(g) | 5800 | 27413 |
| Pharmaceuticals - 0.1% |  |  |
| Recordati Industria Chimica e Farmaceutica SpA  | 349620 | 20002834 |
| TOTAL HEALTH CARE |  | 20030247 |
| Industrials - 0.3% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Leonardo SpA  | 37718 | 2541103 |
| Building Products - 0.0% |  |  |
| Carel Industries SpA (f)(g) | 8035 | 220264 |
| Electrical Equipment - 0.2% |  |  |
| Prysmian SpA  | 369900 | 44554793 |
| Machinery - 0.0% |  |  |
| Interpump Group SpA  | 37700 | 1741761 |
| Passenger Airlines - 0.1% |  |  |
| Ryanair Holdings PLC  | 216478 | 6995505 |
| Ryanair Holdings PLC ADR  | 436417 | 29453783 |
| Wizz Air Holdings Plc (c)(f)(g) | 245664 | 4039043 |
|  |  | 40488331 |
| TOTAL INDUSTRIALS |  | 89546252 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| Enel SpA  | 2063116 | 24808861 |
| Gas Utilities - 0.0% |  |  |
| Italgas SpA  | 192360 | 2486581 |
| TOTAL UTILITIES |  | 27295442 |
| TOTAL ITALY |  | 568233940 |
| JAPAN - 12.3%  |  |  |
| Communication Services - 0.5% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Internet Initiative Japan Inc  | 36300 | 529513 |
| NTT Inc  | 6743600 | 6597497 |
|  |  | 7127010 |
| Entertainment - 0.3% |  |  |
| Capcom Co Ltd  | 811425 | 18427808 |
| Konami Group Corp  | 52150 | 6956005 |
| Nexon Co Ltd  | 40400 | 859145 |
| Nintendo Co Ltd  | 601230 | 34005226 |
| Toho Co Ltd/Tokyo (b) | 256000 | 2565492 |
|  |  | 62813676 |
| Interactive Media & Services - 0.0% |  |  |
| LY Corp  | 2754420 | 6808196 |
| Media - 0.0% |  |  |
| Zenrin Co Ltd  | 130000 | 858258 |
| Wireless Telecommunication Services - 0.2% |  |  |
| KDDI Corp  | 2632042 | 45211947 |
| SoftBank Group Corp  | 446976 | 11445249 |
|  |  | 56657196 |
| TOTAL COMMUNICATION SERVICES |  | 134264336 |
| Consumer Discretionary - 1.7% |  |  |
| Automobile Components - 0.2% |  |  |
| Aisin Corp  | 62300 | 1108845 |
| Asti Corp  | 12000 | 202401 |
| Bridgestone Corp  | 73600 | 1776711 |
| Denso Corp  | 473400 | 6792307 |
| FCC Co Ltd  | 14400 | 356392 |
| JTEKT Corp  | 72300 | 994927 |
| Koito Manufacturing Co Ltd  | 272100 | 4915276 |
| Sumitomo Electric Industries Ltd  | 423190 | 27964066 |
| Sumitomo Rubber Industries Ltd  | 200900 | 3578288 |
| Toyoda Gosei Co Ltd  | 111100 | 3621875 |
| TPR Co Ltd  | 17500 | 158006 |
|  |  | 51469094 |
| Automobiles - 0.6% |  |  |
| Honda Motor Co Ltd  | 720794 | 7220511 |
| Isuzu Motors Ltd  | 1008055 | 18839103 |
| Suzuki Motor Corp  | 1480800 | 22477741 |
| Toyota Motor Corp  | 3887770 | 94194312 |
|  |  | 142731667 |
| Broadline Retail - 0.1% |  |  |
| Isetan Mitsukoshi Holdings Ltd  | 420400 | 8291435 |
| Pan Pacific International Holdings Corp  | 2446690 | 16351034 |
| Rakuten Group Inc (c) | 1012800 | 5370600 |
| Ryohin Keikaku Co Ltd  | 460880 | 10615601 |
|  |  | 40628670 |
| Diversified Consumer Services - 0.0% |  |  |
| Global Kids Co Corp  | 15500 | 83473 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Food & Life Cos Ltd  | 70300 | 4530910 |
| Oriental Land Co Ltd/Japan  | 104000 | 1873698 |
| Zensho Holdings Co Ltd  | 9200 | 584937 |
|  |  | 6989545 |
| Household Durables - 0.4% |  |  |
| Panasonic Holdings Corp  | 3023250 | 48753126 |
| Sony Group Corp  | 2946785 | 67741465 |
| Sumitomo Forestry Co Ltd  | 205300 | 2228307 |
|  |  | 118722898 |
| Leisure Products - 0.1% |  |  |
| Bandai Namco Holdings Inc  | 72400 | 1967570 |
| GLOBERIDE Inc  | 81800 | 1239846 |
| Shimano Inc  | 117900 | 12586509 |
|  |  | 15793925 |
| Specialty Retail - 0.2% |  |  |
| ABC-Mart Inc (b) | 6800 | 114237 |
| Fast Retailing Co Ltd  | 127830 | 56505010 |
| Haruyama Holdings Inc (b) | 49500 | 248506 |
| Nitori Holdings Co Ltd (b) | 446000 | 8934480 |
| Sanrio Co Ltd (b) | 47000 | 1723318 |
| United Arrows Ltd  | 40000 | 685685 |
|  |  | 68211236 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |
| Asics Corp  | 710500 | 21811142 |
| Gunze Ltd  | 27400 | 832536 |
|  |  | 22643678 |
| TOTAL CONSUMER DISCRETIONARY |  | 467274186 |
| Consumer Staples - 0.7% |  |  |
| Beverages - 0.1% |  |  |
| Asahi Group Holdings Ltd (b) | 839080 | 9131473 |
| Kirin Holdings Co Ltd  | 156300 | 2709340 |
| Suntory Beverage & Food Ltd  | 109900 | 3460304 |
|  |  | 15301117 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| MatsukiyoCocokara & Co  | 32800 | 543778 |
| Okuwa Co Ltd (b) | 221300 | 1252708 |
| Seven & i Holdings Co Ltd (b) | 1351400 | 19058188 |
| Sugi Holdings Co Ltd (b) | 249000 | 5724138 |
| Sundrug Co Ltd  | 35700 | 965168 |
| Tsuruha Holdings Inc (b) | 925910 | 15563755 |
|  |  | 43107735 |
| Food Products - 0.3% |  |  |
| Ajinomoto Co Inc  | 1871090 | 59524062 |
| Ezaki Glico Co Ltd  | 145500 | 5651734 |
| Kikkoman Corp (b) | 69400 | 666603 |
| NH Foods Ltd  | 6700 | 306715 |
| Nisshin Seifun Group Inc  | 144500 | 2020863 |
| Nissin Foods Holdings Co Ltd (b) | 211000 | 4453341 |
| Toyo Suisan Kaisha Ltd  | 239000 | 18816668 |
|  |  | 91439986 |
| Household Products - 0.0% |  |  |
| Lion Corp  | 105100 | 1237321 |
| Unicharm Corp  | 2047700 | 14023726 |
|  |  | 15261047 |
| Personal Care Products - 0.1% |  |  |
| Kao Corp  | 188500 | 8049215 |
| Kose Holdings Corp  | 26900 | 1074002 |
| Rohto Pharmaceutical Co Ltd  | 561900 | 8786603 |
|  |  | 17909820 |
| TOTAL CONSUMER STAPLES |  | 183019705 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| ENEOS Holdings Inc  | 267900 | 2552654 |
| Idemitsu Kosan Co Ltd  | 80500 | 768581 |
| Inpex Corp  | 2035640 | 49533711 |
| Japan Petroleum Exploration Co Ltd  | 66600 | 1017136 |
| San-Ai Obbli Co Ltd  | 55400 | 910651 |
| TOTAL ENERGY |  | 54782733 |
| Financials - 2.3% |  |  |
| Banks - 1.5% |  |  |
| Chiba Bank Ltd/The (b) | 2480780 | 36965870 |
| Fukuoka Financial Group Inc  | 104300 | 4570326 |
| Hachijuni Nagano Bank Ltd  | 300900 | 4006798 |
| Hokuhoku Financial Group Inc  | 79100 | 3166229 |
| Japan Post Bank Co Ltd  | 612200 | 11999771 |
| Keiyo Bank Ltd/The  | 191700 | 2764437 |
| Kyoto Financial Group Inc  | 150100 | 3726428 |
| Kyushu Financial Group Inc  | 352700 | 3021885 |
| Mitsubishi UFJ Financial Group Inc  | 4508290 | 83691925 |
| Mizuho Financial Group Inc  | 2039636 | 90996344 |
| Rakuten Bank Ltd (c) | 45900 | 1870211 |
| Resona Holdings Inc  | 3561100 | 43451904 |
| SBI Shinsei Bank Ltd (b)(c) | 255700 | 3074982 |
| Sumitomo Mitsui Financial Group Inc  | 2633001 | 99357837 |
| Sumitomo Mitsui Trust Group Inc  | 247600 | 8633540 |
|  |  | 401298487 |
| Capital Markets - 0.1% |  |  |
| Japan Exchange Group Inc  | 549600 | 7479469 |
| Nomura Holdings Inc  | 2030200 | 18848509 |
| SBI Holdings Inc  | 646700 | 13872795 |
|  |  | 40200773 |
| Financial Services - 0.2% |  |  |
| GMO Payment Gateway Inc  | 104335 | 5405657 |
| ORIX Corp  | 1423760 | 49972695 |
| Sony Financial Group Inc (c) | 4959300 | 5077912 |
|  |  | 60456264 |
| Insurance - 0.5% |  |  |
| Dai-ichi Life Holdings Inc  | 620000 | 6395927 |
| Japan Post Holdings Co Ltd  | 1533600 | 19994298 |
| Japan Post Insurance Co Ltd  | 36300 | 1185942 |
| MS&AD Insurance Group Holdings Inc  | 77600 | 2162434 |
| Sompo Holdings Inc  | 1211920 | 48082460 |
| T&D Holdings Inc  | 400300 | 10801807 |
| Tokio Marine Holdings Inc  | 1542180 | 64049265 |
|  |  | 152672133 |
| TOTAL FINANCIALS |  | 654627657 |
| Health Care - 0.9% |  |  |
| Health Care Equipment & Supplies - 0.3% |  |  |
| Asahi Intecc Co Ltd  | 56500 | 1217808 |
| Hoya Corp  | 331000 | 59909167 |
| Olympus Corp  | 942400 | 9220934 |
| Sysmex Corp  | 48700 | 459770 |
| Terumo Corp  | 1013700 | 13715853 |
|  |  | 84523532 |
| Health Care Providers & Services - 0.0% |  |  |
| Suzuken Co Ltd/Aichi Japan  | 47200 | 1996627 |
| Health Care Technology - 0.0% |  |  |
| M3 Inc (b) | 944685 | 10342715 |
| Pharmaceuticals - 0.6% |  |  |
| Astellas Pharma Inc  | 811900 | 13511245 |
| Chugai Pharmaceutical Co Ltd  | 686580 | 46296333 |
| Daiichi Sankyo Co Ltd  | 1097517 | 21615622 |
| Eisai Co Ltd  | 24500 | 824830 |
| Kyowa Kirin Co Ltd  | 22100 | 408277 |
| Nippon Shinyaku Co Ltd  | 19300 | 635733 |
| Otsuka Holdings Co Ltd  | 308900 | 21184766 |
| Otsuka Holdings Co Ltd ADR  | 5278 | 180560 |
| Shionogi & Co Ltd  | 13900 | 328211 |
| Sumitomo Pharma Co Ltd (c) | 349600 | 5650372 |
| Takeda Pharmaceutical Co Ltd  | 1228580 | 45982321 |
| Takeda Pharmaceutical Co Ltd ADR  | 20917 | 392194 |
|  |  | 157010464 |
| TOTAL HEALTH CARE |  | 253873338 |
| Industrials - 3.0% |  |  |
| Air Freight & Logistics - 0.0% |  |  |
| NIPPON EXPRESS HOLDINGS INC  | 32000 | 788909 |
| Building Products - 0.1% |  |  |
| Agc Inc  | 19200 | 852022 |
| Daikin Industries Ltd  | 152840 | 19419088 |
| Sekisui Jushi Corp  | 88600 | 1409294 |
| TOTO Ltd  | 24800 | 970783 |
|  |  | 22651187 |
| Commercial Services & Supplies - 0.0% |  |  |
| Dai Nippon Printing Co Ltd  | 255600 | 5319375 |
| Japan Elevator Service Holdings Co Ltd  | 67600 | 702340 |
| Secom Co Ltd  | 6800 | 263822 |
|  |  | 6285537 |
| Construction & Engineering - 0.2% |  |  |
| Kajima Corp  | 262200 | 11991371 |
| Obayashi Corp  | 303700 | 8587963 |
| Penta-Ocean Construction Co Ltd  | 43000 | 587458 |
| Shimizu Corp  | 270200 | 6043663 |
| Taisei Corp  | 117100 | 15251907 |
|  |  | 42462362 |
| Electrical Equipment - 0.3% |  |  |
| Fuji Electric Co Ltd  | 96800 | 8622214 |
| Fujikura Ltd  | 58300 | 9991992 |
| Hirakawa Hewtech Corp  | 201575 | 5679442 |
| Idec Corp/Japan  | 10800 | 228566 |
| Mitsubishi Electric Corp  | 1645070 | 62616338 |
| NIDEC CORP  | 84300 | 1329021 |
|  |  | 88467573 |
| Ground Transportation - 0.1% |  |  |
| Central Japan Railway Co  | 265300 | 7828274 |
| East Japan Railway Co  | 244400 | 6040944 |
| Hankyu Hanshin Holdings Inc  | 23600 | 688362 |
| Seibu Holdings Inc  | 19800 | 588301 |
| Tokyo Metro Co Ltd (b) | 25500 | 273018 |
| Tokyu Corp  | 87000 | 1112813 |
| West Japan Railway Co  | 30300 | 650762 |
|  |  | 17182474 |
| Industrial Conglomerates - 0.6% |  |  |
| Hikari Tsushin Inc  | 19880 | 5627988 |
| Hitachi Ltd  | 5064387 | 165794416 |
| Sekisui Chemical Co Ltd  | 81900 | 1599034 |
|  |  | 173021438 |
| Machinery - 1.1% |  |  |
| Daifuku Co Ltd  | 118900 | 4927614 |
| Ebara Corp  | 537570 | 18881289 |
| FANUC Corp  | 1219086 | 55200376 |
| Fuji Corp/Aichi  | 900 | 35102 |
| Hirata Corp  | 25800 | 504716 |
| Hitachi Construction Machinery Co Ltd (b) | 165100 | 7429051 |
| Hoshizaki Corp  | 256020 | 9010251 |
| IHI Corp  | 461300 | 12710748 |
| Kawasaki Heavy Industries Ltd  | 177962 | 20802973 |
| Komatsu Ltd  | 337100 | 16180929 |
| Kubota Corp  | 268675 | 5464168 |
| Kurita Water Industries Ltd  | 27500 | 1534323 |
| Makita Corp  | 83900 | 3253062 |
| MINEBEA MITSUMI Inc  | 466800 | 10055487 |
| MISUMI Group Inc  | 487662 | 9830372 |
| Mitsubishi Heavy Industries Ltd  | 1772787 | 56512719 |
| NSK Ltd  | 68400 | 616921 |
| Organo Corp  | 10300 | 1144335 |
| OSG Corp  | 19900 | 372922 |
| Rheon Automatic Machinery Co Ltd  | 311000 | 3226203 |
| Sansei Technologies Inc  | 2800 | 47604 |
| SMC Corp  | 117757 | 56329458 |
| Sodick Co Ltd  | 5500 | 53568 |
| Sumitomo Heavy Industries Ltd  | 171530 | 6780359 |
| THK Co Ltd  | 24800 | 895192 |
| Tsubakimoto Chain Co  | 69680 | 1193571 |
| Yaskawa Electric Corp (b) | 324500 | 11459786 |
|  |  | 314453099 |
| Passenger Airlines - 0.0% |  |  |
| ANA Holdings Inc  | 15300 | 333403 |
| Japan Airlines Co Ltd  | 46500 | 961176 |
|  |  | 1294579 |
| Professional Services - 0.1% |  |  |
| BayCurrent Inc (b) | 46600 | 1344303 |
| Densan Co Ltd (b) | 79800 | 1934127 |
| Recruit Holdings Co Ltd  | 599321 | 26079627 |
|  |  | 29358057 |
| Trading Companies & Distributors - 0.5% |  |  |
| ITOCHU Corp  | 2696300 | 39039256 |
| Marubeni Corp  | 642828 | 24730962 |
| Mitsubishi Corp  | 82900 | 2797505 |
| Mitsui & Co Ltd  | 856523 | 32206340 |
| MonotaRO Co Ltd  | 129100 | 1716394 |
| Ochi Holdings Co Ltd  | 4900 | 50109 |
| Sumitomo Corp  | 730770 | 31030801 |
| Toyota Tsusho Corp  | 155900 | 6976142 |
|  |  | 138547509 |
| TOTAL INDUSTRIALS |  | 834512724 |
| Information Technology - 2.3% |  |  |
| Electronic Equipment, Instruments & Components - 0.4% |  |  |
| Alps Alpine Co Ltd  | 25900 | 388836 |
| Enplas Corp  | 2800 | 255498 |
| Hirose Electric Co Ltd  | 54490 | 8142184 |
| Ibiden Co Ltd (b) | 198760 | 12138278 |
| Keyence Corp  | 136678 | 57816724 |
| Kyocera Corp  | 510500 | 9033822 |
| Murata Manufacturing Co Ltd  | 109200 | 2855573 |
| Nagano Keiki Co Ltd  | 34400 | 686172 |
| Seikoh Giken Co Ltd  | 3200 | 443428 |
| Shimadzu Corp  | 383400 | 10701762 |
| TDK Corp  | 389700 | 6020245 |
| Yokogawa Electric Corp  | 43900 | 1755550 |
|  |  | 110238072 |
| IT Services - 0.2% |  |  |
| BIPROGY Inc  | 22000 | 668741 |
| Fujitsu Ltd  | 1108900 | 24720618 |
| Fujitsu Ltd ADR  | 242 | 5353 |
| NEC Corp  | 443260 | 12301661 |
| Nomura Research Institute Ltd  | 396613 | 10881540 |
| Obic Co Ltd  | 121500 | 3267698 |
| Otsuka Corp  | 32900 | 663414 |
| Suzuyo Shinwart Corp  | 14700 | 284276 |
| TIS Inc  | 115100 | 2376220 |
|  |  | 55169521 |
| Semiconductors & Semiconductor Equipment - 1.5% |  |  |
| Advantest Corp  | 480803 | 82666158 |
| Disco Corp  | 81349 | 39113055 |
| Kioxia Holdings Corp (c) | 213580 | 29007984 |
| Kokusai Electric Corp  | 109622 | 4537487 |
| Lasertec Corp  | 217400 | 46872103 |
| Renesas Electronics Corp  | 6072160 | 114513694 |
| SUMCO Corp  | 416310 | 4871812 |
| Tokyo Electron Ltd  | 311806 | 87734351 |
| Tokyo Electron Ltd ADR  | 654 | 92456 |
| Torex Semiconductor Ltd (b) | 72300 | 813904 |
| Ulvac Inc  | 42100 | 2825267 |
|  |  | 413048271 |
| Software - 0.0% |  |  |
| Cybozu Inc (b) | 46900 | 670322 |
| Justsystems Corp  | 9000 | 226202 |
| Oracle Corp Japan  | 4000 | 241591 |
| Rakus Co Ltd  | 156000 | 871878 |
| Sansan Inc (c) | 351946 | 2645821 |
| Trend Micro Inc/Japan  | 11000 | 366279 |
|  |  | 5022093 |
| Technology Hardware, Storage & Peripherals - 0.2% |  |  |
| Brother Industries Ltd  | 177800 | 3679759 |
| Canon Inc  | 350800 | 10697081 |
| FUJIFILM Holdings Corp  | 1584320 | 32579986 |
| MCJ Co Ltd  | 82900 | 1216705 |
| Ricoh Co Ltd  | 152300 | 1433618 |
| Riso Kagaku Corp  | 162100 | 1335912 |
| Seiko Epson Corp  | 417100 | 5655616 |
|  |  | 56598677 |
| TOTAL INFORMATION TECHNOLOGY |  | 640076634 |
| Materials - 0.4% |  |  |
| Chemicals - 0.4% |  |  |
| Asahi Kasei Corp  | 1163670 | 13744369 |
| Ishihara Chemical Co Ltd  | 48300 | 895699 |
| Kuraray Co Ltd  | 434410 | 5133696 |
| Mitsubishi Chemical Group Corp  | 765600 | 5689359 |
| Nippon Paint Holdings Co Ltd  | 94600 | 700874 |
| Nippon Sanso Holdings Corp  | 70400 | 2701676 |
| Nitto Denko Corp  | 626200 | 14583866 |
| NOF Corp  | 73300 | 1472900 |
| Shin-Etsu Chemical Co Ltd  | 1510481 | 59469994 |
| Sumitomo Bakelite Co Ltd  | 40400 | 1557120 |
| Tokyo Ohka Kogyo Co Ltd  | 40600 | 2397029 |
| Toray Industries Inc  | 645214 | 5536367 |
|  |  | 113882949 |
| Metals & Mining - 0.0% |  |  |
| JFE Holdings Inc  | 49600 | 698907 |
| JX Advanced Metals Corp  | 308600 | 8218662 |
| UACJ Corp  | 74500 | 1319070 |
|  |  | 10236639 |
| TOTAL MATERIALS |  | 124119588 |
| Real Estate - 0.2% |  |  |
| Real Estate Management & Development - 0.2% |  |  |
| Hulic Co Ltd  | 734560 | 9732044 |
| Mitsubishi Estate Co Ltd  | 425750 | 14389322 |
| Mitsui Fudosan Co Ltd  | 1061000 | 14311763 |
| Sumitomo Realty & Development Co Ltd  | 783600 | 26533966 |
| TOTAL REAL ESTATE |  | 64967095 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.0% |  |  |
| Chubu Electric Power Co Inc  | 66200 | 1118064 |
| Kansai Electric Power Co Inc/The  | 676700 | 12232729 |
| Okinawa Electric Power Co Inc/The  | 21500 | 163833 |
| Tokyo Electric Power Co Holdings Inc (c) | 453600 | 2034396 |
|  |  | 15549022 |
| Gas Utilities - 0.1% |  |  |
| Osaka Gas Co Ltd  | 277790 | 11590816 |
| Tokyo Gas Co Ltd  | 160770 | 7881760 |
|  |  | 19472576 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| EF-ON INC  | 179500 | 412643 |
| Electric Power Development Co Ltd  | 215600 | 5149605 |
|  |  | 5562248 |
| TOTAL UTILITIES |  | 40583846 |
| TOTAL JAPAN |  | 3452101842 |
| KOREA (SOUTH) - 0.6%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| KT Corp  | 164067 | 7292923 |
| Consumer Staples - 0.0% |  |  |
| Tobacco - 0.0% |  |  |
| KT&G Corp  | 14147 | 1602255 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| HD Hyundai Co Ltd  | 12983 | 2637025 |
| Financials - 0.1% |  |  |
| Banks - 0.0% |  |  |
| Shinhan Financial Group Co Ltd  | 143151 | 9617271 |
| Insurance - 0.1% |  |  |
| Samsung Fire & Marine Insurance Co Ltd  | 51648 | 19008278 |
| TOTAL FINANCIALS |  | 28625549 |
| Health Care - 0.0% |  |  |
| Life Sciences Tools & Services - 0.0% |  |  |
| Samsung Biologics Co Ltd (c)(f)(g) | 2244 | 2770563 |
| Industrials - 0.0% |  |  |
| Industrial Conglomerates - 0.0% |  |  |
| SK Square Co Ltd (c) | 15413 | 6903356 |
| Information Technology - 0.5% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| SK Hynix Inc  | 20536 | 15130198 |
| Technology Hardware, Storage & Peripherals - 0.4% |  |  |
| Samsung Electronics Co Ltd  | 646504 | 97194681 |
| TOTAL INFORMATION TECHNOLOGY |  | 112324879 |
| TOTAL KOREA (SOUTH) |  | 162156550 |
| LUXEMBOURG - 0.2%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| CVC Capital Partners PLC (f)(g) | 320364 | 4576574 |
| Health Care - 0.0% |  |  |
| Life Sciences Tools & Services - 0.0% |  |  |
| Eurofins Scientific SE  | 131686 | 10605708 |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| ArcelorMittal SA  | 437805 | 28700381 |
| ArcelorMittal SA rights (c)(e) | 473946 | 70673 |
| TOTAL MATERIALS |  | 28771054 |
| TOTAL LUXEMBOURG |  | 43953336 |
| MACAU - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Galaxy Entertainment Group Ltd  | 2211000 | 11801948 |
| Galaxy Entertainment Group Ltd ADR (b) | 3612 | 96007 |
| Sands China Ltd  | 7200000 | 16298796 |
| TOTAL MACAU |  | 28196751 |
| MEXICO - 0.0%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Arca Continental SAB de CV  | 55700 | 670392 |
| Industrials - 0.0% |  |  |
| Transportation Infrastructure - 0.0% |  |  |
| Grupo Aeroportuario del Centro Norte SAB de CV Series B  | 50800 | 776040 |
| Grupo Aeroportuario del Sureste SAB de CV Class B ADR  | 2610 | 938739 |
| TOTAL INDUSTRIALS |  | 1714779 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Fresnillo PLC  | 22047 | 1259774 |
| Grupo Mexico SAB de CV Series B  | 275301 | 3501288 |
| TOTAL MATERIALS |  | 4761062 |
| TOTAL MEXICO |  | 7146233 |
| NETHERLANDS - 3.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Koninklijke KPN NV  | 2070941 | 11772509 |
| Consumer Staples - 0.2% |  |  |
| Beverages - 0.1% |  |  |
| Heineken NV  | 424731 | 39338094 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Koninklijke Ahold Delhaize NV  | 300556 | 14834071 |
| Food Products - 0.0% |  |  |
| Magnum Ice Cream Co NV/The (United Kingdom)  | 241545 | 3824838 |
| TOTAL CONSUMER STAPLES |  | 57997003 |
| Financials - 0.5% |  |  |
| Banks - 0.3% |  |  |
| ABN AMRO Bank NV depository receipt (f)(g) | 166824 | 5590302 |
| ING Groep NV  | 2663365 | 76845895 |
|  |  | 82436197 |
| Capital Markets - 0.1% |  |  |
| Euronext NV (f) | 179582 | 29707173 |
| Financial Services - 0.0% |  |  |
| Adyen NV (c)(f)(g) | 8639 | 10145021 |
| EXOR NV  | 29400 | 2582847 |
|  |  | 12727868 |
| Insurance - 0.1% |  |  |
| ASR Nederland NV  | 81106 | 5888093 |
| NN Group NV  | 187845 | 15381665 |
|  |  | 21269758 |
| TOTAL FINANCIALS |  | 146140996 |
| Health Care - 0.4% |  |  |
| Biotechnology - 0.2% |  |  |
| Argenx SE (c) | 49120 | 38000668 |
| Argenx SE ADR (c) | 18591 | 14257810 |
|  |  | 52258478 |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Koninklijke Philips NV  | 1737976 | 55694033 |
| TOTAL HEALTH CARE |  | 107952511 |
| Industrials - 0.1% |  |  |
| Professional Services - 0.1% |  |  |
| Arcadis NV  | 130955 | 4629714 |
| Wolters Kluwer NV  | 132023 | 10665550 |
|  |  | 15295264 |
| Trading Companies & Distributors - 0.0% |  |  |
| IMCD NV  | 35836 | 3446787 |
| TOTAL INDUSTRIALS |  | 18742051 |
| Information Technology - 1.8% |  |  |
| Semiconductors & Semiconductor Equipment - 1.8% |  |  |
| ASM International NV  | 64192 | 54171547 |
| ASML Holding NV  | 293273 | 426538597 |
| ASML Holding NV (Italy)  | 578 | 842505 |
| ASML Holding NV depository receipt  | 9416 | 13658473 |
| BE Semiconductor Industries NV  | 89097 | 19939466 |
| TOTAL INFORMATION TECHNOLOGY |  | 515150588 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Akzo Nobel NV  | 213007 | 14963500 |
| TOTAL NETHERLANDS |  | 872719158 |
| NEW ZEALAND - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Fisher & Paykel Healthcare Corp Ltd (Australia)  | 33103 | 811800 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Xero Ltd (c) | 10489 | 620598 |
| TOTAL NEW ZEALAND |  | 1432398 |
| NORWAY - 0.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telenor ASA  | 59648 | 1105975 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Aker BP ASA  | 709784 | 21364511 |
| Equinor ASA  | 199936 | 5990918 |
| Equinor ASA ADR (b) | 93277 | 2782453 |
| TOTAL ENERGY |  | 30137882 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| DNB Bank ASA  | 857568 | 27192742 |
| Insurance - 0.0% |  |  |
| Gjensidige Forsikring ASA  | 24983 | 705219 |
| Storebrand ASA A Shares  | 131888 | 2499524 |
|  |  | 3204743 |
| TOTAL FINANCIALS |  | 30397485 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Kongsberg Gruppen ASA  | 43086 | 1748218 |
| TOTAL NORWAY |  | 63389560 |
| PERU - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Credicorp Ltd  | 3375 | 1169033 |
| PORTUGAL - 0.2%  |  |  |
| Consumer Staples - 0.2% |  |  |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| Jeronimo Martins SGPS SA  | 1061460 | 27918963 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Galp Energia SGPS SA  | 628144 | 13523156 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Banco Comercial Portugues SA  | 711402 | 749472 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| EDP SA  | 2366965 | 12630375 |
| TOTAL PORTUGAL |  | 54821966 |
| RUSSIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Gazprom PJSC (c)(d) | 3670010 | 1 |
| Gazprom PJSC ADR (c)(d) | 33845 | 0 |
| LUKOIL PJSC (c)(d) | 35755 | 0 |
| Rosneft Oil Co PJSC (c)(d) | 420640 | 0 |
| TOTAL ENERGY |  | 1 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Sberbank of Russia PJSC (c)(d) | 1813540 | 0 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Phosagro Pjsc (c)(d) | 3751 | 0 |
| TOTAL RUSSIA |  | 1 |
| SAUDI ARABIA - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Al Babtain Power & Telecommunication Co  | 5598 | 93948 |
| Electrical Equipment - 0.0% |  |  |
| Electrical Industries Co  | 190002 | 746149 |
| TOTAL SAUDI ARABIA |  | 840097 |
| SINGAPORE - 0.6%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Singapore Telecommunications Ltd  | 10495505 | 41819389 |
| Consumer Discretionary - 0.1% |  |  |
| Broadline Retail - 0.1% |  |  |
| Sea Ltd Class A ADR (c) | 191381 | 20755269 |
| Financials - 0.4% |  |  |
| Banks - 0.4% |  |  |
| DBS Group Holdings Ltd  | 1174175 | 53023066 |
| Oversea-Chinese Banking Corp Ltd  | 346600 | 5872115 |
| United Overseas Bank Ltd  | 1333810 | 38917209 |
|  |  | 97812390 |
| Capital Markets - 0.0% |  |  |
| Singapore Exchange Ltd  | 82600 | 1188489 |
| TOTAL FINANCIALS |  | 99000879 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Singapore Technologies Engineering Ltd  | 152700 | 1203588 |
| Ground Transportation - 0.0% |  |  |
| Grab Holdings Ltd Class A (c) | 1559155 | 6579635 |
| Industrial Conglomerates - 0.0% |  |  |
| Keppel Ltd  | 139900 | 1446669 |
| Passenger Airlines - 0.0% |  |  |
| Singapore Airlines Ltd  | 147400 | 836692 |
| TOTAL INDUSTRIALS |  | 10066584 |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| STMicroelectronics NV (Italy)  | 28 | 940 |
| TOTAL SINGAPORE |  | 171643061 |
| SOUTH AFRICA - 0.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| MTN Group Ltd  | 157439 | 2047829 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Bid Corp Ltd  | 61084 | 1621340 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Thungela Resources Ltd (United Kingdom)  | 20300 | 138975 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capitec Bank Holdings Ltd  | 5295 | 1577800 |
| Financial Services - 0.0% |  |  |
| FirstRand Ltd  | 385396 | 2401632 |
| TOTAL FINANCIALS |  | 3979432 |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Anglo American PLC  | 563328 | 28105885 |
| Anglo American PLC (South Africa)  | 26531 | 1333862 |
| Gold Fields Ltd  | 72236 | 4233464 |
| Valterra Platinum Ltd (United Kingdom)  | 15200 | 1765745 |
| TOTAL MATERIALS |  | 35438956 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Scatec ASA (c)(f)(g) | 4483 | 57804 |
| TOTAL SOUTH AFRICA |  | 43284336 |
| SPAIN - 1.7%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Cellnex Telecom SA (f)(g) | 247318 | 9399506 |
| Consumer Discretionary - 0.2% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Amadeus IT Group SA Class A  | 326625 | 20202400 |
| Specialty Retail - 0.1% |  |  |
| Industria de Diseno Textil SA  | 438642 | 29291361 |
| TOTAL CONSUMER DISCRETIONARY |  | 49493761 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Repsol SA  | 110326 | 2496742 |
| Financials - 1.2% |  |  |
| Banks - 1.2% |  |  |
| Banco Bilbao Vizcaya Argentaria SA  | 1872225 | 43363733 |
| Banco Bilbao Vizcaya Argentaria SA ADR  | 98 | 2267 |
| Banco de Sabadell SA  | 526284 | 1994918 |
| Banco Santander SA  | 12472435 | 157303136 |
| Banco Santander SA (United Kingdom)  | 16163 | 207365 |
| Bankinter SA  | 1451204 | 24306477 |
| CaixaBank SA  | 7132510 | 87910160 |
|  |  | 315088056 |
| Insurance - 0.0% |  |  |
| Mapfre SA (b) | 1272068 | 5937149 |
| TOTAL FINANCIALS |  | 321025205 |
| Health Care - 0.0% |  |  |
| Biotechnology - 0.0% |  |  |
| Grifols SA Class A  | 27459 | 344896 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| ACS Actividades de Construccion y Servicios SA  | 17585 | 2277316 |
| Transportation Infrastructure - 0.0% |  |  |
| Aena SME SA (f)(g) | 153080 | 4824052 |
| TOTAL INDUSTRIALS |  | 7101368 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Indra Sistemas SA (b) | 97320 | 7215830 |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Iberdrola SA  | 2971125 | 70128241 |
| TOTAL SPAIN |  | 467205549 |
| SWEDEN - 1.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telia Co AB  | 1415605 | 7269645 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Tele2 AB B Shares  | 51684 | 1092351 |
| TOTAL COMMUNICATION SERVICES |  | 8361996 |
| Consumer Discretionary - 0.1% |  |  |
| Automobile Components - 0.0% |  |  |
| Autoliv Inc depository receipt  | 39858 | 4750676 |
| Household Durables - 0.1% |  |  |
| Electrolux AB B Shares (c) | 1903787 | 16107410 |
| Specialty Retail - 0.0% |  |  |
| H & M Hennes & Mauritz AB B Shares  | 241319 | 5144867 |
| TOTAL CONSUMER DISCRETIONARY |  | 26002953 |
| Consumer Staples - 0.0% |  |  |
| Household Products - 0.0% |  |  |
| Essity AB B Shares  | 262900 | 8366694 |
| Financials - 0.3% |  |  |
| Banks - 0.1% |  |  |
| Skandinaviska Enskilda Banken AB A Shares  | 989613 | 21134896 |
| Swedbank AB A1 Shares  | 170846 | 6582064 |
|  |  | 27716960 |
| Capital Markets - 0.0% |  |  |
| EQT AB  | 324850 | 10079145 |
| Financial Services - 0.2% |  |  |
| Investor AB B Shares  | 840540 | 35171472 |
| L E Lundbergforetagen AB B Shares  | 1920 | 126120 |
|  |  | 35297592 |
| TOTAL FINANCIALS |  | 73093697 |
| Health Care - 0.0% |  |  |
| Biotechnology - 0.0% |  |  |
| Swedish Orphan Biovitrum AB B Shares (c) | 72161 | 3160580 |
| Life Sciences Tools & Services - 0.0% |  |  |
| AddLife AB B Shares  | 198700 | 3393985 |
| TOTAL HEALTH CARE |  | 6554565 |
| Industrials - 0.6% |  |  |
| Building Products - 0.2% |  |  |
| Assa Abloy AB B Shares  | 1481912 | 63077751 |
| Construction & Engineering - 0.0% |  |  |
| Sweco AB B Shares  | 30984 | 496288 |
| Machinery - 0.4% |  |  |
| Alfa Laval AB  | 27536 | 1631858 |
| Atlas Copco AB A Shares  | 1884483 | 40543265 |
| Indutrade AB  | 534810 | 13909942 |
| Sandvik AB  | 682110 | 30061415 |
| Trelleborg AB B Shares  | 19252 | 844071 |
| Volvo AB B Shares  | 411998 | 16030191 |
|  |  | 103020742 |
| Trading Companies & Distributors - 0.0% |  |  |
| Beijer Ref AB B Shares  | 87914 | 1379438 |
| TOTAL INDUSTRIALS |  | 167974219 |
| Information Technology - 0.2% |  |  |
| Communications Equipment - 0.1% |  |  |
| Telefonaktiebolaget LM Ericsson B Shares  | 884167 | 10220959 |
| Telefonaktiebolaget LM Ericsson Class B ADR (b) | 1856849 | 21539448 |
|  |  | 31760407 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Hexagon AB B Shares  | 1920353 | 21846391 |
| TOTAL INFORMATION TECHNOLOGY |  | 53606798 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.0% |  |  |
| Boliden AB (c) | 97600 | 7756019 |
| Paper & Forest Products - 0.1% |  |  |
| Svenska Cellulosa AB SCA B Shares  | 845715 | 11508717 |
| TOTAL MATERIALS |  | 19264736 |
| TOTAL SWEDEN |  | 363225658 |
| SWITZERLAND - 1.7%  |  |  |
| Consumer Discretionary - 0.3% |  |  |
| Automobile Components - 0.0% |  |  |
| Garrett Motion Inc  | 81885 | 1667178 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |
| Cie Financiere Richemont SA Series A  | 394591 | 80440424 |
| Swatch Group AG/The  | 24176 | 6185227 |
|  |  | 86625651 |
| TOTAL CONSUMER DISCRETIONARY |  | 88292829 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Chocoladefabriken Lindt & Spruengli AG  | 297 | 4890447 |
| Financials - 0.7% |  |  |
| Capital Markets - 0.5% |  |  |
| Julius Baer Group Ltd  | 214718 | 18320220 |
| Partners Group Holding AG  | 2710 | 3022116 |
| UBS Group AG  | 2610389 | 108679914 |
| UBS Group AG (United States) (b) | 291890 | 12093003 |
|  |  | 142115253 |
| Insurance - 0.2% |  |  |
| Swiss Life Holding AG  | 3040 | 3485018 |
| Zurich Insurance Group AG  | 69964 | 52775590 |
|  |  | 56260608 |
| TOTAL FINANCIALS |  | 198375861 |
| Health Care - 0.4% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Sonova Holding AG  | 16743 | 4396712 |
| Straumann Holding AG  | 4153 | 497220 |
|  |  | 4893932 |
| Health Care Providers & Services - 0.0% |  |  |
| Galenica AG (f)(g) | 11233 | 1404033 |
| Life Sciences Tools & Services - 0.1% |  |  |
| Lonza Group AG  | 48502 | 33735227 |
| Pharmaceuticals - 0.3% |  |  |
| Galderma Group AG  | 140566 | 26526213 |
| Sandoz Group AG  | 362327 | 32054995 |
|  |  | 58581208 |
| TOTAL HEALTH CARE |  | 98614400 |
| Industrials - 0.2% |  |  |
| Building Products - 0.0% |  |  |
| Geberit AG  | 1048 | 883272 |
| Electrical Equipment - 0.2% |  |  |
| ABB Ltd  | 287680 | 26793440 |
| ABB Ltd (Sweden)  | 32158 | 3005061 |
|  |  | 29798501 |
| Machinery - 0.0% |  |  |
| Schindler Holding AG  | 98 | 35880 |
| Schindler Holding AG participation certificate  | 23115 | 8826903 |
| VAT Group AG (f)(g) | 5897 | 4173958 |
|  |  | 13036741 |
| Professional Services - 0.0% |  |  |
| SGS SA  | 8868 | 1118809 |
| TOTAL INDUSTRIALS |  | 44837323 |
| Information Technology - 0.1% |  |  |
| Software - 0.0% |  |  |
| Temenos AG  | 5332 | 495855 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Logitech International SA  | 117270 | 10804977 |
| Logitech International SA (United States) (b) | 81580 | 7501281 |
|  |  | 18306258 |
| TOTAL INFORMATION TECHNOLOGY |  | 18802113 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| DSM-Firmenich AG  | 24130 | 1723358 |
| Givaudan SA  | 413 | 1660917 |
| Sika AG  | 67089 | 13857445 |
| TOTAL MATERIALS |  | 17241720 |
| TOTAL SWITZERLAND |  | 471054693 |
| TAIWAN - 0.6%  |  |  |
| Information Technology - 0.6% |  |  |
| Communications Equipment - 0.0% |  |  |
| Accton Technology Corp  | 77000 | 3436842 |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Hon Hai Precision Industry Co Ltd  | 822000 | 6368233 |
| Semiconductors & Semiconductor Equipment - 0.6% |  |  |
| ASE Technology Holding Co Ltd  | 236000 | 2829647 |
| Taiwan Semiconductor Manufacturing Co Ltd  | 1005645 | 62440340 |
| Taiwan Semiconductor Manufacturing Co Ltd ADR  | 221240 | 82872080 |
|  |  | 148142067 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |
| Asia Vital Components Co Ltd  | 38000 | 2138303 |
| TOTAL TAIWAN |  | 160085445 |
| THAILAND - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Advanced Info Service PCL  | 246200 | 3010167 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Fabrinet (b)(c) | 4216 | 2300376 |
| TOTAL THAILAND |  | 5310543 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Emirates NBD Bank PJSC  | 278466 | 2501839 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| Aldar Properties PJSC  | 392198 | 1153194 |
| Emaar Development PJSC  | 207876 | 1095111 |
| Emaar Properties PJSC  | 415752 | 1833676 |
| TOTAL REAL ESTATE |  | 4081981 |
| TOTAL UNITED ARAB EMIRATES |  | 6583820 |
| UNITED KINGDOM - 8.2%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| BT Group PLC  | 6830762 | 19957473 |
| Zegona Communications plc  | 39634 | 900005 |
|  |  | 20857478 |
| Interactive Media & Services - 0.0% |  |  |
| Autotrader Group PLC (f)(g) | 59913 | 396861 |
| Media - 0.0% |  |  |
| Informa PLC  | 423218 | 4780671 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Vodafone Group PLC  | 4799365 | 7390210 |
| Vodafone Group PLC ADR  | 1486337 | 22830137 |
|  |  | 30220347 |
| TOTAL COMMUNICATION SERVICES |  | 56255357 |
| Consumer Discretionary - 0.6% |  |  |
| Broadline Retail - 0.1% |  |  |
| Next PLC  | 128993 | 23502819 |
| Distributors - 0.0% |  |  |
| Inchcape PLC  | 964713 | 11551348 |
| Diversified Consumer Services - 0.0% |  |  |
| Pearson PLC  | 473700 | 6096191 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |
| Compass Group PLC  | 1583486 | 48491851 |
| InterContinental Hotels Group PLC  | 156353 | 21498538 |
| Trainline PLC (c)(f)(g) | 210835 | 554909 |
|  |  | 70545298 |
| Household Durables - 0.1% |  |  |
| Barratt Redrow PLC  | 1951925 | 9556342 |
| Berkeley Group Holdings PLC  | 225584 | 13145318 |
| Persimmon PLC  | 372762 | 7565432 |
|  |  | 30267092 |
| Leisure Products - 0.0% |  |  |
| Games Workshop Group PLC  | 25763 | 6211320 |
| Specialty Retail - 0.1% |  |  |
| JD Sports Fashion PLC  | 472700 | 522240 |
| Kingfisher PLC  | 2237286 | 11253617 |
| WH Smith PLC  | 1332776 | 12348295 |
|  |  | 24124152 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Burberry Group PLC (c) | 437967 | 6864331 |
| TOTAL CONSUMER DISCRETIONARY |  | 179162551 |
| Consumer Staples - 1.6% |  |  |
| Beverages - 0.3% |  |  |
| Coca-Cola Europacific Partners PLC  | 22279 | 2460270 |
| Diageo PLC  | 3122639 | 70029965 |
|  |  | 72490235 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| J Sainsbury PLC  | 949579 | 4466153 |
| Marks & Spencer Group PLC  | 1743891 | 9323004 |
| Tesco PLC  | 6955902 | 45029254 |
|  |  | 58818411 |
| Food Products - 0.0% |  |  |
| Associated British Foods PLC  | 52886 | 1409043 |
| Household Products - 0.3% |  |  |
| Reckitt Benckiser Group PLC  | 972115 | 85642290 |
| Personal Care Products - 0.3% |  |  |
| Unilever PLC  | 957245 | 70526007 |
| Tobacco - 0.6% |  |  |
| British American Tobacco PLC  | 2043007 | 127576374 |
| Imperial Brands PLC  | 869793 | 38957042 |
|  |  | 166533416 |
| TOTAL CONSUMER STAPLES |  | 455419402 |
| Financials - 2.4% |  |  |
| Banks - 1.7% |  |  |
| Barclays PLC  | 16526179 | 100309183 |
| Barclays PLC ADR  | 4819 | 117005 |
| HSBC Holdings PLC  | 4608676 | 86140810 |
| Lloyds Banking Group PLC  | 76958872 | 105127077 |
| Lloyds Banking Group PLC ADR (b) | 996726 | 5531829 |
| NatWest Group PLC  | 13241987 | 109940484 |
| Shawbrook Group PLC (f)(g) | 1210114 | 6425391 |
| Standard Chartered PLC  | 2571526 | 63432872 |
|  |  | 477024651 |
| Capital Markets - 0.3% |  |  |
| 3i Group PLC  | 626985 | 28011104 |
| AJ Bell PLC  | 218151 | 1277098 |
| Bridgepoint Group PLC (f)(g) | 888285 | 3016685 |
| ICG PLC  | 214254 | 4847935 |
| London Stock Exchange Group PLC  | 431727 | 51548976 |
| London Stock Exchange Group PLC ADR  | 348 | 10423 |
| Quilter PLC (f)(g) | 401539 | 1060622 |
| St James's Place PLC  | 82600 | 1502765 |
|  |  | 91275608 |
| Financial Services - 0.0% |  |  |
| Klarna Group PLC (b) | 41392 | 561276 |
| M&G PLC  | 112846 | 483147 |
| Paragon Banking Group PLC  | 163887 | 1889477 |
| Wise PLC Class A (c) | 681649 | 7898175 |
|  |  | 10832075 |
| Insurance - 0.4% |  |  |
| Admiral Group PLC  | 349515 | 13961148 |
| Aviva PLC  | 4582321 | 42363004 |
| Beazley PLC  | 686973 | 11729875 |
| Hiscox Ltd  | 1048149 | 21866088 |
| Legal & General Group PLC  | 2651920 | 9695882 |
|  |  | 99615997 |
| TOTAL FINANCIALS |  | 678748331 |
| Health Care - 1.1% |  |  |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Convatec Group PLC (f)(g) | 995000 | 3438097 |
| Smith & Nephew PLC  | 2022235 | 37330535 |
| Smith & Nephew PLC ADR  | 11392 | 420365 |
|  |  | 41188997 |
| Pharmaceuticals - 1.0% |  |  |
| Astrazeneca PLC  | 1034859 | 216753042 |
| Astrazeneca PLC (Sweden)  | 52648 | 10984371 |
| Astrazeneca PLC (United States)  | 172372 | 35930943 |
| Hikma Pharmaceuticals PLC  | 165081 | 2923274 |
|  |  | 266591630 |
| TOTAL HEALTH CARE |  | 307780627 |
| Industrials - 1.5% |  |  |
| Aerospace & Defense - 0.9% |  |  |
| Babcock International Group PLC  | 690354 | 12578407 |
| BAE Systems PLC  | 2214585 | 63238695 |
| Melrose Industries PLC  | 1377035 | 10499897 |
| Rolls-Royce Holdings PLC  | 8032660 | 144443933 |
|  |  | 230760932 |
| Construction & Engineering - 0.0% |  |  |
| Costain Group PLC  | 24639 | 61960 |
| Industrial Conglomerates - 0.1% |  |  |
| CK Hutchison Holdings Ltd  | 1814300 | 14938582 |
| DCC PLC  | 142610 | 9964967 |
| Smiths Group PLC  | 328864 | 12170095 |
|  |  | 37073644 |
| Machinery - 0.1% |  |  |
| IMI PLC  | 515478 | 20006897 |
| Rotork PLC  | 327232 | 1701356 |
| Spirax Group PLC  | 104624 | 11145776 |
| Weir Group PLC/The  | 126383 | 5998672 |
|  |  | 38852701 |
| Passenger Airlines - 0.0% |  |  |
| easyJet PLC  | 606290 | 3791190 |
| International Consolidated Airlines Group SA  | 67386 | 384774 |
| International Consolidated Airlines Group SA (Spain)  | 52951 | 301947 |
|  |  | 4477911 |
| Professional Services - 0.3% |  |  |
| Intertek Group PLC  | 50734 | 3228510 |
| RELX PLC  | 1103017 | 38532104 |
| RELX PLC (Netherlands)  | 1168860 | 40632698 |
|  |  | 82393312 |
| Trading Companies & Distributors - 0.1% |  |  |
| Ashtead Group PLC  | 97700 | 7012499 |
| Bunzl PLC  | 264915 | 7816539 |
| Diploma PLC  | 155936 | 11925851 |
|  |  | 26754889 |
| TOTAL INDUSTRIALS |  | 420375349 |
| Information Technology - 0.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Halma PLC  | 376388 | 21222892 |
| Software - 0.0% |  |  |
| Sage Group PLC/The  | 579253 | 6415220 |
| Sage Group PLC/The ADR  | 1754 | 77456 |
|  |  | 6492676 |
| TOTAL INFORMATION TECHNOLOGY |  | 27715568 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Croda International PLC  | 187830 | 7831814 |
| Metals & Mining - 0.0% |  |  |
| Hill & Smith PLC  | 19586 | 628203 |
| TOTAL MATERIALS |  | 8460017 |
| Real Estate - 0.1% |  |  |
| Industrial REITs - 0.1% |  |  |
| Segro PLC  | 1914795 | 21706943 |
| Utilities - 0.6% |  |  |
| Electric Utilities - 0.2% |  |  |
| SSE PLC  | 1857527 | 67141037 |
| Multi-Utilities - 0.4% |  |  |
| National Grid PLC  | 4903586 | 91729582 |
| TOTAL UTILITIES |  | 158870619 |
| TOTAL UNITED KINGDOM |  | 2314494764 |
| UNITED STATES - 5.4%  |  |  |
| Communication Services - 0.1% |  |  |
| Entertainment - 0.1% |  |  |
| Spotify Technology SA (b)(c) | 59910 | 30850055 |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Carnival Corp  | 1098142 | 34646381 |
| Carnival PLC ADR  | 25247 | 794523 |
|  |  | 35440904 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Samsonite Group SA (f)(g) | 320100 | 787218 |
| TOTAL CONSUMER DISCRETIONARY |  | 36228122 |
| Consumer Staples - 0.3% |  |  |
| Food Products - 0.3% |  |  |
| Nestle SA  | 626207 | 68419655 |
| Tobacco - 0.0% |  |  |
| Philip Morris International Inc  | 32769 | 6122232 |
| TOTAL CONSUMER STAPLES |  | 74541887 |
| Energy - 0.9% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Tenaris SA  | 610652 | 16691506 |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |
| BP PLC  | 8710448 | 56455978 |
| Shell PLC  | 3559673 | 149089338 |
| Shell PLC ADR  | 433816 | 36227974 |
| Shell PLC rights (c)(e) | 3154910 | 1173627 |
|  |  | 242946917 |
| TOTAL ENERGY |  | 259638423 |
| Financials - 0.1% |  |  |
| Capital Markets - 0.0% |  |  |
| Moody's Corp  | 3122 | 1491036 |
| S&P Global Inc  | 3509 | 1550557 |
|  |  | 3041593 |
| Financial Services - 0.0% |  |  |
| Mastercard Inc Class A  | 13202 | 6828207 |
| Visa Inc Class A  | 5288 | 1692900 |
|  |  | 8521107 |
| Insurance - 0.1% |  |  |
| Aegon Ltd  | 128566 | 978432 |
| Aon PLC  | 13923 | 4670749 |
| Willis Towers Watson PLC  | 69943 | 21344505 |
|  |  | 26993686 |
| TOTAL FINANCIALS |  | 38556386 |
| Health Care - 2.5% |  |  |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Alcon AG  | 554368 | 48208422 |
| Alcon AG (United States)  | 59019 | 5145276 |
| Boston Scientific Corp (c) | 184 | 14140 |
|  |  | 53367838 |
| Life Sciences Tools & Services - 0.1% |  |  |
| Agilent Technologies Inc  | 129332 | 15698318 |
| QIAGEN NV (Germany)  | 276242 | 13696061 |
| Waters Corp (c) | 35718 | 11407615 |
|  |  | 40801994 |
| Pharmaceuticals - 2.2% |  |  |
| GSK PLC  | 3914906 | 116324656 |
| Haleon PLC  | 8297562 | 45544803 |
| Haleon PLC ADR  | 14209 | 157294 |
| Novartis AG  | 510066 | 85763438 |
| Roche Holding AG ADR (b) | 38664 | 2302441 |
| Roche Holding AG non-voting shares  | 624588 | 297242339 |
| Sanofi SA  | 643590 | 62943978 |
|  |  | 610278949 |
| TOTAL HEALTH CARE |  | 704448781 |
| Industrials - 0.8% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Cirrus Aircraft Ltd  | 24400 | 193368 |
| HEICO Corp  | 4800 | 1533408 |
| TransDigm Group Inc  | 450 | 586256 |
|  |  | 2313032 |
| Commercial Services & Supplies - 0.1% |  |  |
| Waste Connections Inc  | 96528 | 16610841 |
| Construction & Engineering - 0.1% |  |  |
| Ferrovial SE  | 230709 | 17217779 |
| Electrical Equipment - 0.5% |  |  |
| Schneider Electric SE  | 468718 | 153181651 |
| Marine Transportation - 0.0% |  |  |
| AP Moller - Maersk A/S Series A  | 281 | 688768 |
| AP Moller - Maersk A/S Series B  | 404 | 1003073 |
|  |  | 1691841 |
| Professional Services - 0.1% |  |  |
| Experian PLC  | 704328 | 26510341 |
| Trading Companies & Distributors - 0.0% |  |  |
| Ferguson Enterprises Inc (United Kingdom)  | 12100 | 3153690 |
| TOTAL INDUSTRIALS |  | 220679175 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| Broadcom Inc  | 20829 | 6655906 |
| Software - 0.1% |  |  |
| Cadence Design Systems Inc (c) | 14298 | 4309417 |
| Palo Alto Networks Inc (c) | 34661 | 5161716 |
| Synopsys Inc (c) | 4700 | 1945800 |
|  |  | 11416933 |
| TOTAL INFORMATION TECHNOLOGY |  | 18072839 |
| Materials - 0.5% |  |  |
| Chemicals - 0.1% |  |  |
| Linde PLC  | 44538 | 22628867 |
| Construction Materials - 0.3% |  |  |
| Amrize Ltd  | 46830 | 2996121 |
| CRH PLC  | 385533 | 46256250 |
| CRH PLC (United Kingdom)  | 15761 | 1873396 |
| Holcim AG  | 369354 | 33955183 |
| James Hardie Industries PLC depository receipt (c) | 134270 | 3269832 |
|  |  | 88350782 |
| Containers & Packaging - 0.1% |  |  |
| Smurfit Westrock PLC (b) | 714643 | 33595367 |
| Metals & Mining - 0.0% |  |  |
| Royal Gold Inc  | 480 | 143899 |
| TOTAL MATERIALS |  | 144718915 |
| TOTAL UNITED STATES |  | 1527734583 |
| ZAMBIA - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| First Quantum Minerals Ltd (c) | 156213 | 4677057 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $10,206,354,384) |  | <br> **16616688405** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**International Equity Funds - 37.6%** | &nbsp;&nbsp;**International Equity Funds - 37.6%** | &nbsp;&nbsp;**International Equity Funds - 37.6%** |
|  | Shares | Value ($)<br>|
| Artisan International Value Fund Investor Class  | 17655016 | 1025932962 |
| Brandes International Small Cap Equity Fund Class A  | 1293188 | 36390321 |
| Fidelity Advisor International Discovery Fund - Class Z (h) | 17252464 | 1058783740 |
| Fidelity Advisor International Growth Fund - Class Z (h) | 12319508 | 303552685 |
| Fidelity Advisor International Small Cap Fund - Class Z (h) | 1123920 | 45271492 |
| Fidelity Advisor International Small Cap Opportunities Fund - Class Z (h) | 3060265 | 70998150 |
| Fidelity Advisor Japan Fund - Class Z (h) | 15737535 | 364638687 |
| Fidelity Diversified International Fund (h) | 12764141 | 678414090 |
| Fidelity Japan Smaller Companies Fund (h) | 5949751 | 117269586 |
| Fidelity SAI International Index Fund (h) | 7362756 | 141438550 |
| Fidelity SAI International Low Volatility Index Fund (h) | 99624192 | 1430603395 |
| Fidelity SAI International Momentum Index Fund (h) | 5147037 | 103815738 |
| Fidelity SAI International Quality Index Fund (h) | 18508279 | 277809271 |
| Fidelity SAI International Small Cap Index Fund (h) | 12337588 | 142005635 |
| Fidelity SAI International Value Index Fund (h) | 139817696 | 1996596694 |
| Fidelity SAI Japan Stock Index Fund (h) | 36962866 | 502325349 |
| iShares MSCI Australia ETF (b) | 5157569 | 155191251 |
| iShares MSCI Eurozone ETF (b) | 13894645 | 952894754 |
| iShares MSCI India ETF (b) | 97921 | 5118331 |
| JOHCM International Select Fund Investor Shares  | 4427184 | 137906786 |
| Oakmark International Fund Investor Class  | 5367091 | 183232502 |
| Oakmark International Small Cap Fund Investor Class  | 1062677 | 24122758 |
| Oberweis International Opportunities Fund Investor Class  | 709999 | 18928563 |
| T. Rowe Price International Discovery Fund  | 683034 | 56623533 |
| Transamerica International Small Cap Value Class I  | 4783191 | 92650401 |
| Victory Trivalent International Small-Cap Fund Class I  | 4830053 | 110608203 |
| WCM Focused International Growth Fund Investor Class  | 14761322 | 395308216 |
| WCM International Small Cap Growth Fund Institutional Class  | 122636 | 3247406 |
| WisdomTree Europe Hedged Equity ETF  | 419228 | 23522883 |
| WisdomTree Japan Hedged Equity Fund (b) | 465136 | 78877763 |
| WisdomTree Japan SmallCap Dividend ETF (b) | 384316 | 43381590 |
| <br> **TOTAL INTERNATIONAL EQUITY FUNDS**<br> (Cost $6,902,336,646) |  | **10577461285** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.1%** |
|  | Shares | Value ($)<br>|
| GERMANY - 0.1%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Automobiles - 0.1% |  |  |
| Porsche Automobil Holding SE  | 36714 | 1552346 |
| Volkswagen AG  | 100485 | 11947730 |
| TOTAL CONSUMER DISCRETIONARY |  | 13500076 |
| Consumer Staples - 0.0% |  |  |
| Household Products - 0.0% |  |  |
| Henkel AG & Co KGaA  | 76900 | 7558154 |
| TOTAL GERMANY |  | 21058230 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $18,086,700) |  | <br> **21058230** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** |
|  | Yield (%) (i) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/12/2026 (j) | 3.58 | 3720000 | 3716248 |
| US Treasury Bills 0% 5/14/2026 (j) | 3.63 | 9110000 | 9043682 |
| US Treasury Bills 0% 5/21/2026 (j) | 3.62 | 770000 | 763865 |
| US Treasury Bills 0% 5/28/2026 (j) | 3.63 | 5060000 | 5016184 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $18,537,937) |  |  | **18539979** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (k) | 3.70 | 47246805 | 47256254 |
| Fidelity Securities Lending Cash Central Fund (k)(l) | 3.69 | 371603144 | 371640304 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (m) | 3.63 | 634652313 | 634652313 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $1,053,548,871) |  |  | **1053548871** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.5%**<br> (Cost $18,198,864,538)<br>| <br>**28287296770** |
| **NET OTHER ASSETS (LIABILITIES) - (0.5)%**  | **(144742258)** |
| **NET ASSETS - 100.0%** | **28142554512** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| ICE MSCI EAFE Index Contracts (United States) | 3964 | 3/2026 | 627322820 | 33856471 |
| The notional amount of long futures as a percentage of Net Assets is 2.2%. | The notional amount of long futures as a percentage of Net Assets is 2.2%. | The notional amount of long futures as a percentage of Net Assets is 2.2%. | The notional amount of long futures as a percentage of Net Assets is 2.2%. | The notional amount of long futures as a percentage of Net Assets is 2.2%. |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security or a portion of the security is on loan at period end.

(c) Non-income producing.

(d) Level 3 security.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $204,166,419 or 0.7% of net assets.

(g) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $172,995,698 or 0.6% of net assets.

(h) Affiliated fund.

(i) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $18,117,406.

(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(l) Investment made with cash collateral received from securities on loan.

(m) The rate quoted is the annualized seven-day yield of the fund at period end.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 8410217 | 916860830 | 878015694 | 1754085 | 901 | - | 47256254 | 47246805 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | 213999375 | 3688439402 | 3530791191 | 1550085 | (7282) | - | 371640304 | 371603144 | 1.0% |
| Total | 222409592 | 4605300232 | 4408806885 | 3304170 | (6381) | - | 418896558 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Advisor International Discovery Fund - Class Z | 959771179 | - | 101000000 | 71774612 | 30131821 | 169880740 | 1058783740 | 17252464 |
| Fidelity Advisor International Growth Fund - Class Z | 135861684 | 138826881 | - | 9826880 | - | 28864120 | 303552685 | 12319508 |
| Fidelity Advisor International Small Cap Fund - Class Z | 34409016 | 1476682 | - | 1476684 | - | 9385794 | 45271492 | 1123920 |
| Fidelity Advisor International Small Cap Opportunities Fund - Class Z | 54950005 | 7178648 | - | 7178647 | - | 8869497 | 70998150 | 3060265 |
| Fidelity Advisor Japan Fund - Class Z | 272476835 | - | 12999999 | 32269997 | 3049364 | 102112487 | 364638687 | 15737535 |
| Fidelity Diversified International Fund | 580302211 | 61947215 | 70000000 | 61947214 | 4772269 | 101392395 | 678414090 | 12764141 |
| Fidelity Japan Smaller Companies Fund | 93232593 | - | - | 17587463 | - | 24036993 | 117269586 | 5949751 |
| Fidelity SAI International Index Fund | 1027770245 | 69119315 | 1013321149 | 4075948 | 96644641 | (38774502) | 141438550 | 7362756 |
| Fidelity SAI International Low Volatility Index Fund | 1218600717 | 33547099 | 129000000 | 33547101 | 16378246 | 291077333 | 1430603395 | 99624192 |
| Fidelity SAI International Momentum Index Fund | 155840688 | 2381712 | 82000000 | 2381711 | 2559144 | 25034194 | 103815738 | 5147037 |
| Fidelity SAI International Quality Index Fund | 550817550 | 5203961 | 312415659 | 5203962 | (3231793) | 37435212 | 277809271 | 18508279 |
| Fidelity SAI International Small Cap Index Fund | 100102796 | 4565258 | - | 4565258 | - | 37337581 | 142005635 | 12337588 |
| Fidelity SAI International Value Index Fund | 683842608 | 937076007 | 15000000 | 114642508 | 671860 | 390006219 | 1996596694 | 139817696 |
| Fidelity SAI Japan Stock Index Fund | 570164196 | 26479788 | 262000000 | 26479788 | 36747735 | 130933630 | 502325349 | 36962866 |
|  | 6438142323 | 1287802566 | 1997736807 | 392957773 | 187723287 | 1317591693 | 7233523062 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 546679330 | 192121623 | 354557707 | - |
| Consumer Discretionary | 1317353364 | 524706795 | 792646569 | - |
| Consumer Staples | 1055023014 | 348526689 | 706496325 | - |
| Energy | 580975433 | 336133828 | 244841604 | 1 |
| Financials | 4156459218 | 1533814506 | 2622644712 | - |
| Health Care | 1793728154 | 697671956 | 1096056198 | - |
| Industrials | 3185503509 | 1173724224 | 2011779285 | - |
| Information Technology | 1942798979 | 736377798 | 1206421181 | - |
| Materials | 1283000182 | 781173707 | 501826475 | - |
| Real Estate | 230967995 | 227865457 | 3102538 | - |
| Utilities | 524199227 | 134807241 | 389391986 | - |
|  **International Equity Funds** | 10577461285 | 10577461285 | - | - |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 13500076 | - | 13500076 | - |
| Consumer Staples | 7558154 | 7558154 | - | - |
|  **U.S. Treasury Obligations** | 18539979 | - | 18539979 | - |
|  **Money Market Funds** | 1053548871 | 1053548871 | - | - |
| **Total Investments in Securities:** | 28287296770 | 18325492134 | 9961804635 | 1 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 33856471 | 33856471 | - | - |
| Total Assets | 33856471 | 33856471 | - | - |
| **Total Derivative Instruments:** | 33856471 | 33856471 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 33856471 | - |
| **Total Equity Risk**  | 33856471 | - |
| **Total Value of Derivatives** | 33856471 | - |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of February 28, 2026** | **As of February 28, 2026** | **As of February 28, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $358,658,271) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $12,844,983,379) | $20634877150 |  |
| Fidelity Central Funds (cost $418,896,558) | 418896558 |  |
| Other affiliated issuers (cost $4,934,984,601) | 7233523062 |  |
| Total Investment in Securities (cost $18,198,864,538) |  | $28287296770 |
| Segregated cash with brokers for derivative instruments |  | 573194 |
| Foreign currency held at value (cost $57,013,721) |  | 57013552 |
| Receivable for investments sold |  | 190213036 |
| Receivable for fund shares sold |  | 17481458 |
| Dividends receivable |  | 19477186 |
| Reclaims receivable |  | 54222693 |
| Interest receivable |  | 470 |
| Distributions receivable from Fidelity Central Funds |  | 256847 |
| Other receivables |  | 640226 |
| **Total assets** |  | 28627175432 |
| **Liabilities** |  |  |
| Payable to custodian bank  | $93931 |  |
| Payable for investments purchased |  |  |
| Regular delivery | 78838827 |  |
| Delayed delivery | 1244300 |  |
| Payable for fund shares redeemed | 24107817 |  |
| Accrued management fee | 4082731 |  |
| Payable for daily variation margin on futures contracts | 1617739 |  |
| Other payables and accrued expenses | 2906840 |  |
| Collateral on securities loaned | 371728735 |  |
| **Total liabilities** |  | 484620920 |
| **Net Assets**  |  | $28142554512 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $17331448646 |
| Total accumulated earnings (loss) |  | 10811105866 |
| **Net Assets** |  | $28142554512 |
| **Net Asset Value**, offering price and redemption price per share ($28,142,554,512 ÷ 1,819,612,058 shares) |  | $15.47 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $522899114 |
| Affiliated issuers |  | 205148347 |
| Interest  |  | 192182 |
| Income from Fidelity Central Funds (including $1,550,085 from security lending)  |  | 3304170 |
| Security lending |  | 1103 |
| Income before foreign taxes withheld |  | $731544916 |
| Less foreign taxes withheld |  | (19663272) |
| **Total income** |  | 711881644 |
| **Expenses** |  |  |
| Management fee | $108945810 |  |
| Custodian fees and expenses | 1026445 |  |
| Independent trustees' fees and expenses | 116200 |  |
| Registration fees | 213248 |  |
| Audit fees | 131427 |  |
| Legal | 61775 |  |
| Miscellaneous | 112770 |  |
| Total expenses before reductions | 110607675 |  |
| Expense reductions | (64093309) |  |
| Total expenses after reductions |  | 46514366 |
| **Net Investment income (loss)** |  | 665367278 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers (net of foreign taxes of $646,951)  | 1488505795 |  |
| Fidelity Central Funds | (6381) |  |
| Other affiliated issuers | 187723287 |  |
| Foreign currency transactions | 2763680 |  |
| Futures contracts | 100424822 |  |
| Capital gain distributions from underlying funds: |  |  |
| Unaffiliated issuers | 84872119 |  |
| Affiliated issuers | 187809426 |  |
| Total net realized gain (loss) |  | 2052092748 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers (net of increase in deferred foreign taxes of $515,107)  | 3494625249 |  |
| Affiliated issuers  | 1317591693 |  |
| Assets and liabilities in foreign currencies | 5560518 |  |
| Futures contracts | 27693717 |  |
| Total change in net unrealized appreciation (depreciation) |  | 4845471177 |
| **Net gain (loss)** |  | 6897563925 |
| **Net increase (decrease) in net assets resulting from operations** |  | $7562931203 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **February 28, 2026** | **Year ended**<br> **February 28, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $665367278 | $562862909 |
| &nbsp;&nbsp;Net realized gain (loss) | 2052092748<br>| 556498261<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 4845471177 | 926118130<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 7562931203<br>| 2045479300<br>|
| Distributions to shareholders | (1857022856)<br>| (874745180)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 4321074232 | 7420588766 |
| Reinvestment of distributions | 1848393499<br>| 870867403<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (8113383609) | (4461634206) |
| **Net increase (decrease) in net assets resulting from share transactions** | (1943915878)<br>| 3829821963<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 3761992469<br>| 5000556083<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 24380562043 | 19380005960<br>|
| &nbsp;&nbsp;End of period | $28142554512 | $24380562043 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 313350883 | 606164506 |
| Issued in reinvestment of distributions | 133448654<br>| 75204053<br>|
| &nbsp;&nbsp;Redeemed | (592886962) | (363411874) |
| &nbsp;&nbsp;Net increase (decrease) | (146087425) | 317956685 |

---

**Financial Highlights** 

**Strategic Advisers® International Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended February 28,** | **2026**  | **2025**  | **2024** A  | **2023**  | **2022**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $12.40 | $11.76 | $10.48 | $11.55 | $12.55 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | .36  | .31  | .29  | .22  | .24  |
| Net realized and unrealized gain (loss)  | 3.74  | .78  | 1.27  | (.83)  | (.12)  |
| Total from investment operations  | 4.10  | 1.09  | 1.56  | (.61)  | .12  |
| Distributions from net investment income  | (.41)  | (.29)  | (.28)  | (.23)  | (.26)  |
| Distributions from net realized gain  | (.62)  | (.16)  | -  | (.22)  | (.86)  |
| Total distributions  | (1.03)  | (.45)  | (.28)  | (.46) D | (1.12)  |
| Net asset value, end of period  | $15.47 | $12.40 | $11.76 | $10.48 | $11.55 |
| **Total Return** E | 34.10% <br>| 9.56%  | 14.97%  | (5.30)%  | .30%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |  |
| Expenses before reductions  | .44%  | .42%  | .41%  | .41%  | .41%  |
| Expenses net of fee waivers, if any  | .18% <br>| .17%  | .16%  | .16%  | .16%  |
| Expenses net of all reductions, if any  | .18%  | .16%  | .16%  | .16%  | .16%  |
| Net investment income (loss)  | 2.62%  | 2.51%  | 2.66%  | 2.16%  | 1.83%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $28142555 | $24380562 | $19380006 | $15546881 | $22658482 |
| Portfolio turnover rate H | 45% <br>| 33%  | 27%  | 25%  | 29%  |

---

A*For the year ended February 29.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total distributions per share do not sum due to rounding.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended February 28, 2026

**1. Organization.**

Strategic Advisers International Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in reclaims receivable. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign taxes withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2026, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets and Liabilities.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency contracts, certain foreign taxes, passive foreign investment companies (PFIC) and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $10201615983 |
| **Gross unrealized depreciation**  | <u>(306052311)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$9895563672</u> |
| **Tax Cost**  | <u>$18391733098</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$40224444</u> |
| **Undistributed long-term capital gain**  | <u>$872700274</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$9899816637</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **February 28, 2026** | **February 28, 2025** |
| **Ordinary Income**  | $743882333 | $563140141 |
| **Long-term Capital Gains**  | <u>1113140523</u> | <u>311605039</u> |
| **Total**  | <u>$1857022856</u> | <u>$874745180</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers International Fund** | 10985100358 | 14152444739 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .43% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Advisers.** Arrowstreet Capital, Limited Partnership, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), J.P. Morgan Investment Management Inc., Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley LLC, T. Rowe Price Associates, Inc., Wellington Management Company LLP and William Blair Investment Management, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

Fidelity Diversifying Solutions LLC (an affiliate of the investment adviser), FIL Investment Advisors and Geode Capital Management, LLC, have been retained to serve as a sub-adviser for the Fund. As of the date of this report, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Strategic Advisers International Fund** | $316831 |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers International Fund** | 728 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Strategic Advisers International Fund** | 220437436 | 78960875 | 4867702 |

---

**Prior Fiscal Year Affiliated Exchanges In-Kind.** During the prior period, the Fund redeemed shares of Fidelity Overseas Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized gain of $290,265,042 on the Fund's redemptions of Fidelity Overseas Fund, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net gain on the exchanges for federal income tax purposes.

---

| | | | |
|:---|:---|:---|:---|
| **Fund Name** | **Value of Investments ($)** | **Net realized gain (loss)**<br> **($)** | **Shares redeemed** |
| **Fidelity Overseas Fund** | 829303289 | 290265042 | 12202990 |

---

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers International Fund** | 134230 |

---

**6. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2027 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers International Fund** | 32327 |

---

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral or, for non-cash collateral, loan fees received from the borrower as compensation for the securities loaned, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Strategic Advisers International Fund** | 168588 | - | - |

---

At period end, the value of any non-cash collateral is presented below. Non-cash collateral is held by a third-party bank for the benefit of a fund and the borrower. A fund is not permitted to sell or re-pledge non-cash collateral except in the event of borrower default, and therefore it is not included in the Schedule of Investments or Statement of Assets and Liabilities.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers International Fund** | 821801 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2028. During the period, this waiver reduced the Fund's management fee by $63,518,099. Expense reductions also include certain voluntary fee discount arrangements, which are currently in effect for the Fund. During the period, these voluntary arrangements amounted to $549,095.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $26,115.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

---

| | |
|:---|:---|
| **Fund**  | **Strategic Advisers International Fund** |
| Fidelity Japan Fund | 36% |
| Fidelity Japan Smaller Companies Fund | 27% |
| Fidelity SAI International Low Volatility Index Fund | 19% |
| Fidelity SAI International Value Index Fund | 15% |
| Fidelity SAI International Quality Index Fund | 16% |
| Fidelity SAI International Small Cap Index Fund | 13% |
| Fidelity SAI Japan Stock Index Fund | 76% |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers International Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2026, the related statement of operations for the year ended February 28, 2026, the statement of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2026 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2026, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2026 and the financial highlights for each of the five years in the period ended February 28, 2026 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

April 14, 2026

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2026, $1,875,333,003, or, if subsequently determined to be different, the net capital gain of such year.

A total of 1.67% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $5,647,401 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 1% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The fund designates 75.59%, and 74.11% of the dividends distributed in April and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $.0403 and $.0185 for the dividend paid April 14, 2025.

The fund will notify shareholders in the first quarter of 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers International Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Arrowstreet Capital, Limited Partnership, Causeway Capital Management LLC, FIAM LLC, Fidelity Diversifying Solutions LLC, FIL Investment Advisors, Geode Capital Management, LLC, J.P. Morgan Investment Management Inc., Massachusetts Financial Services Company, Thompson, Siegel & Walmsley, LLC, T. Rowe Price Associates, Inc., Wellington Management Company LLP and William Blair Investment Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, FIL Investment Advisors (UK) Limited, and T. Rowe Price International Ltd. (each a Sub-Sub-Adviser and collectively, the Sub-Sub-Advisers) (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers and Sub-Sub-Advisers, as applicable, are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2025 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year, and the factors may have been weighed differently by different Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.

**Nature, Extent, and Quality of Services Provided**. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management.

<u>Investment Performance</u>. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses**. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board noted that the Sub-Sub-Advisers are compensated by the applicable Sub-Advisers and the Fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Wealth Services managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, and custodial, legal, and audit fees.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar Categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the funds and classes in the total peer group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparisons exclude performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024.

<u>Fees Charged to Other Clients</u>. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale**. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

**Board Approval of Amended Sub-Advisory Agreements**

**Strategic Advisers International Fund**

In December 2025, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, Massachusetts Financial Services Company (the Sub-Adviser) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided.** The Board considered the backgrounds of the investment personnel that provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2025 meeting and in materials provided at its June 2025 meeting related to the annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements.

The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2025 meeting and that the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.

**Investment Performance.** The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses.** The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee.

The Board also considered that the Amended Sub-Advisory Agreement will result in a slight decrease the fund's management fee at current asset levels. Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

**Costs of the Services and Profitability.** Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

**Potential Fall-Out Benefits.** The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

**Possible Economies of Scale.** The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended Sub-Advisory Agreement will continue to provide for breakpoints with respect to the mandate that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreement because the fund is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img126032_4.jpg)<br>

1.912865.115 SIT-ANN-0426

**Strategic Advisers® Income Opportunities Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**February 28, 2026**

![](img126033_1.jpg)

![](img126033_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SRQ-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® Income Opportunities Fund](#Sub_Sec_Fund_1977_SRQ-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1977_SRQ-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SRQ-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SRQ-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SRQ-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SRQ-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SRQ-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SRQ-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® Income Opportunities Fund**

**Schedule of Investments February 28, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |
| Sculptor Clo Xxviii Ltd Series 2025-28A Class AR, CME Term SOFR 3 month Index + 1.06%, 4.7276% 1/20/2035 (d)(g)(h)<br> (Cost $1,000,000) | 1000000 | **1000005** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 2.5%** | &nbsp;&nbsp;**Bank Loan Obligations - 2.5%** | &nbsp;&nbsp;**Bank Loan Obligations - 2.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Xplore Inc /NB 1LN, term loan CME Term SOFR 3 month Index + 1.5%, 6% 10/24/2031 (f)(g)(h) | 375657 | 237604 |
| Xplore Inc /NB Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.5%, 5.2875% 10/24/2029 (f)(g)(h) | 110437 | 99393 |
| TOTAL CANADA |  | 336997 |
| COLOMBIA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Canacol Energy Ltd Tranche DIP 1LN, term loan CME Term SOFR 3 month Index + 9%, 13% 6/30/2026 (b)(f)(g)(h) | 65635 | 65634 |
| FINLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| Ahlstrom Holding 3 Oy Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 8.1836% 5/23/2030 (f)(g)(h) | 84001 | 83956 |
| FRANCE - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Altice France SA Tranche B13 1LN, term loan CME Term SOFR 1 month Index + 5.375%, 9.0472% 5/14/2029 (f)(g)(h) | 34097 | 33918 |
| Altice France SA Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 6.875%, 10.5472% 5/31/2031 (f)(g)(h) | 895512 | 896408 |
| TOTAL FRANCE |  | 930326 |
| LUXEMBOURG - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.6722% 10/31/2027 (f)(g)(h) | 439967 | 323375 |
| NETHERLANDS - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Enstall Group BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.9336% 8/30/2028 (f)(g)(h) | 459164 | 192849 |
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (f)(g)(h)(i) | 170000 | 152150 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (f)(g)(h) | 268887 | 240401 |
| TOTAL SWITZERLAND |  | 392551 |
| UNITED KINGDOM - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Connect Finco SARL Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.173% 9/27/2029 (f)(g)(h) | 171631 | 171283 |
| UNITED STATES - 2.4%  |  |  |
| Communication Services - 0.4% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| Cablevision Lightpath LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 11/30/2027 (f)(g)(h)(i) | 171903 | 171652 |
| Connect Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 10/3/2031 (f)(g)(h) | 60829 | 43189 |
| Connect Holdings LLC Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.9224% 4/3/2031 (f)(g)(h) | 595000 | 538475 |
| Level 3 Financing Inc Tranche B4 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 3/29/2032 (f)(g)(h) | 227000 | 227341 |
| Zayo Group Holdings Inc Tranche EXCH TL 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.2875% 3/11/2030 (f)(g)(h) | 329945 | 317159 |
|  |  | 1297816 |
| Interactive Media & Services - 0.0% |  |  |
| Main Street Sports Group LLC Tranche EXIT 1LN, term loan 0% 1/2/2028 (f)(i) | 574030 | 86105 |
| Media - 0.3% |  |  |
| CMG Media Corp Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.2719% 6/18/2029 (f)(g)(h) | 325647 | 307247 |
| CSC Holdings LLC Tranche B-5 1LN, term loan Prime Rate FEDERAL RESERVE STATISTICAL RELEASE + 1.5%, 8.25% 4/15/2027 (f)(g)(h) | 1274011 | 1098835 |
| EW Scripps Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.35%, 7.1317% 11/30/2029 (f)(g)(h) | 427646 | 413961 |
| Radiate Holdco LLC 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 6/26/2029 (f)(g)(h) | 138424 | 138078 |
| Radiate Holdco LLC Tranche FIFO 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.2875% 9/25/2029 (f)(g)(h) | 3279814 | 2839762 |
| Townsquare Media Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.5865% 2/19/2030 (f)(g)(h) | 490547 | 363005 |
|  |  | 5160888 |
| TOTAL COMMUNICATION SERVICES |  | 6544809 |
| Consumer Discretionary - 0.3% |  |  |
| Automobile Components - 0.0% |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 5/6/2030 (f)(g)(h) | 272715 | 271693 |
| First Brands Group LLC 2LN, term loan CME Term SOFR 3 month Index + 8.5%, 0% 3/30/2028 (f)(g)(h)(i)(k) | 537263 | 263 |
| Hertz Corp/The Tranche B-EXIT 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 0% 6/30/2028 (f)(g)(h)(i) | 240 | 184 |
| Tenneco Inc Tranche A 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.5172% 11/17/2028 (f)(g)(h) | 502102 | 493420 |
|  |  | 765560 |
| Broadline Retail - 0.0% |  |  |
| Saks Global Enterprises LLC Tranche SECOND OUT ROLL-UP DIP 1LN, term loan CME Term SOFR 1 month Index + 12.5%, 16.1556% 7/15/2026 (f)(g)(h) | 62105 | 18632 |
| Distributors - 0.0% |  |  |
| Solenis Holdings Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6719% 6/20/2031 (f)(g)(h) | 198496 | 194403 |
| Diversified Consumer Services - 0.0% |  |  |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (f)(g)(h) | 310000 | 308838 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |
| Horizon US Finco LP Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 10/31/2031 (f)(g)(h) | 527189 | 514009 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (f)(g)(h) | 544690 | 505815 |
| Sizzling Platter LLC 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.673% 7/2/2032 (f)(g)(h) | 441190 | 399277 |
| Sizzling Platter LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 5% 7/2/2032 (f)(g)(h)(j) | 18810 | 17023 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (f)(g)(h) | 1300144 | 1249438 |
| United PF Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 8.5%, 12.4285% 12/30/2026 (f)(g)(h) | 139349 | 134820 |
|  |  | 2820382 |
| Household Durables - 0.0% |  |  |
| TGP Holdings III LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 6/29/2028 (f)(g)(h) | 524611 | 485386 |
| Weber-Stephen Products LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4108% 10/1/2032 (f)(g)(h) | 425000 | 424894 |
|  |  | 910280 |
| Specialty Retail - 0.1% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (f)(g)(h) | 629665 | 518215 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 2/19/2033 (f)(g)(h)(i) | 150000 | 142734 |
| SGUS LLC 1LN, term loan 16.1597% 7/15/2026 (f)(g) | 63330 | 18999 |
| SGUS LLC Tranche FIRST OUT DIP FINAL 1LN, term loan CME Term SOFR 1 month Index + 10%, 14.6597% 7/15/2026 (f)(g)(h) | 172392 | 158601 |
| SGUS LLC Tranche FIRST OUT DIP FINAL, term loan 14.677% 7/7/2026 (f)(g) | 71910 | 66157 |
| SGUS LLC Tranche THIRD OUT 1LN, term loan CME Term SOFR 1 month Index + 8%, 13.6597% 7/15/2026 (b)(f)(g)(h) | 149141 | 15163 |
| Staples Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.75%, 9.4136% 9/4/2029 (f)(g)(h) | 188245 | 168008 |
| White Cap Supply Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 10/31/2029 (f)(g)(h) | 40000 | 39492 |
|  |  | 1127369 |
| TOTAL CONSUMER DISCRETIONARY |  | 6145464 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (f)(g)(h) | 264338 | 259051 |
| Food Products - 0.0% |  |  |
| Del Monte Foods Corp II Inc 1LN, term loan CME Term SOFR 3 month Index + 8.15%, 0% (b)(f)(g)(h)(k) | 4468 | 0 |
| Del Monte Foods Corp II Inc Tranche FLFO B 1LN, term loan CME Term SOFR 3 month Index + 8%, 0% (b)(f)(g)(h)(k) | 1292 | 0 |
| Del Monte Foods Corp II Inc Tranche TLA DIP, term loan CME Term SOFR 3 month Index + 1%, 13.2597% 3/30/2026 (b)(f)(g)(h) | 11315 | 11315 |
| Del Monte Foods Corp II Inc Tranche TLB DIP ROLLUP, term loan CME Term SOFR 3 month Index + 9.5%, 13.2643% 3/30/2026 (b)(f)(g)(h) | 15080 | 7464 |
|  |  | 18779 |
| TOTAL CONSUMER STAPLES |  | 277830 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Hilcorp Energy I LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4172% 2/11/2030 (f)(g)(h) | 99250 | 99126 |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (f)(g)(h)(k) | 2623543 | 1245186 |
| TOTAL ENERGY |  | 1344312 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.0% |  |  |
| Focus Financial Partners LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 9/15/2031 (f)(g)(h) | 75000 | 70594 |
| Pegasus Merger Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7719% 11/17/2028 (f)(g)(h) | 40000 | 39383 |
|  |  | 109977 |
| Financial Services - 0.0% |  |  |
| MPH Acquisition Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4168% 12/31/2030 (f)(g)(h) | 197930 | 194862 |
| MPH Acquisition Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4.6%, 8.5285% 12/31/2030 (f)(g)(h) | 99498 | 81439 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1556% 2/20/2032 (f)(g)(h) | 1525 | 1521 |
|  |  | 277822 |
| Insurance - 0.2% |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 11/6/2030 (f)(g)(h) | 296258 | 286407 |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (f)(g)(h) | 575000 | 564460 |
| Asurion LLC Tranche B4 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.0375% 1/20/2029 (f)(g)(h) | 1996170 | 1994933 |
| CRC Insurance Group LLC 2LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4219% 5/6/2032 (f)(g)(h) | 1160000 | 1149363 |
|  |  | 3995163 |
| TOTAL FINANCIALS |  | 4382962 |
| Health Care - 0.2% |  |  |
| Health Care Equipment & Supplies - 0.1% |  |  |
| Hopper Merger Sub Inc 2LN, term loan 0% 1/5/2034 (b)(f)(g)(i) | 1730000 | 1712701 |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.6719% 6/28/2029 (b)(f)(g)(h) | 126027 | 98301 |
| ModivCare Inc Tranche EXIT 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6898% 12/29/2030 (f)(g)(h) | 54906 | 50513 |
| Team Public Choices LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 0% 1/31/2033 (f)(g)(h)(i) | 145000 | 135695 |
|  |  | 284509 |
| Pharmaceuticals - 0.1% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (f)(g)(h) | 1585297 | 1542145 |
| TOTAL HEALTH CARE |  | 3539355 |
| Industrials - 0.2% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| OneSky Flight LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4097% 2/4/2033 (f)(g)(h) | 190000 | 189288 |
| PAC Aviation International Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 0% 10/28/2030 (f)(g)(h)(i) | 50000 | 49406 |
|  |  | 238694 |
| Building Products - 0.0% |  |  |
| Cornerstone Building Brands Inc 1LN, term loan CME Term SOFR 1 month Index + 5.625%, 9.2847% 8/1/2028 (f)(g)(h) | 59692 | 42978 |
| Cornerstone Building Brands Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.0097% 4/12/2028 (f)(g)(h) | 763824 | 557867 |
| CP Atlas Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.25%, 8.923% 7/8/2030 (f)(g)(h) | 139613 | 134785 |
|  |  | 735630 |
| Commercial Services & Supplies - 0.2% |  |  |
| Allied Universal Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 8/20/2032 (f)(g)(h) | 186563 | 186447 |
| Artera Services LLC 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1719% 2/15/2031 (f)(g)(h) | 159696 | 130302 |
| Brand Industrial Services Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1636% 8/1/2030 (f)(g)(h) | 224600 | 191472 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (f)(g)(h) | 1859425 | 1436406 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (b)(f)(g)(h) | 316334 | 322528 |
| Neptune Bidco US Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7602% 2/3/2033 (f)(g)(h) | 615000 | 578254 |
|  |  | 2845409 |
| Electrical Equipment - 0.0% |  |  |
| GrafTech Global Enterprises Inc Tranche NEW $1LN, term loan CME Term SOFR 1 month Index + 6%, 3.75% 12/21/2029 (f)(g)(h)(j) | 73940 | 71228 |
| GrafTech Global Enterprises Inc Tranche NEW $1LN, term loan CME Term SOFR 1 month Index + 6%, 9.6701% 12/21/2029 (f)(g)(h) | 129394 | 124650 |
|  |  | 195878 |
| Machinery - 0.0% |  |  |
| Columbus McKinnon Corp/NY Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1602% 2/3/2033 (f)(g)(h) | 120000 | 119550 |
| Passenger Airlines - 0.0% |  |  |
| Vista Management Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4108% 4/1/2031 (f)(g)(h) | 74250 | 74296 |
| TOTAL INDUSTRIALS |  | 4209457 |
| Information Technology - 0.6% |  |  |
| Communications Equipment - 0.1% |  |  |
| Vantor Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 0% 2/26/2033 (f)(g)(h)(i) | 875000 | 861875 |
| Viasat Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.2915% 5/30/2030 (f)(g)(h) | 74241 | 74147 |
|  |  | 936022 |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Bingo Holdings I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 8.4219% 6/30/2032 (f)(g)(h) | 249375 | 243141 |
| Resilience Parent LLC Tranche 2L, term loan CME Term SOFR 1 month Index + 5.25%, 8.9269% 1/23/2034 (b)(f)(g)(h) | 1010000 | 999900 |
|  |  | 1243041 |
| IT Services - 0.2% |  |  |
| Constant Contact Inc 2LN, term loan CME Term SOFR 3 month Index + 7.5%, 11.4338% 2/12/2029 (f)(g)(h) | 35000 | 28514 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (f)(g)(h) | 297840 | 257075 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (f) | 1750000 | 1834876 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (f)(g)(h) | 1069934 | 1072159 |
|  |  | 3192624 |
| Software - 0.2% |  |  |
| Central Parent LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 7/6/2029 (f)(g)(h) | 159980 | 99987 |
| Ellucian Holdings Inc 2LN, term loan CME Term SOFR 1 month Index + 4.75%, 8.423% 11/22/2032 (f)(g)(h) | 877039 | 841957 |
| McAfee Corp 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 3/1/2029 (f)(g)(h) | 303775 | 263525 |
| Polaris Newco LLC Tranche PIK TERM 2LN, term loan CME Term SOFR 1 month Index + 9%, 12.7727% 6/4/2029 (f)(g)(h) | 155000 | 116250 |
| Project Alpha Intermediate Holding Inc 2LN, term loan CME Term SOFR 3 month Index + 5%, 8.6719% 5/9/2033 (f)(g)(h) | 870713 | 648681 |
| Skillsoft US LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 9.0375% 7/14/2028 (f)(g)(h) | 387288 | 188803 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (f) | 284725 | 322391 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (f)(g)(h) | 527487 | 546419 |
|  |  | 3028013 |
| TOTAL INFORMATION TECHNOLOGY |  | 8399700 |
| Materials - 0.3% |  |  |
| Chemicals - 0.3% |  |  |
| Advancion Holdings LLC 2LN, term loan CME Term SOFR 1 month Index + 7.75%, 11.5227% 11/24/2028 (f)(g)(h) | 50000 | 44750 |
| Advancion Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7727% 11/24/2027 (f)(g)(h) | 100000 | 95750 |
| American Rock Salt Co LLC 1LN, term loan 2% 6/12/2028 (f)(g)(j) | 12103 | 12125 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.7875% 6/9/2028 (f)(g)(h) | 58769 | 52819 |
| American Rock Salt Co LLC 1LN, term loan CME Term SOFR 3 month Index + 7%, 10.7875% 6/12/2028 (f)(g)(h) | 23744 | 23788 |
| Discovery Purchaser Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 7.4192% 10/4/2029 (f)(g)(h) | 746000 | 730804 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (f)(g)(h) | 945066 | 841780 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (f)(g)(h) | 516624 | 506199 |
| Hexion Inc 2LN, term loan CME Term SOFR 1 month Index + 7.4375%, 11.2105% 3/15/2030 (f)(g)(h) | 138618 | 130069 |
| Iris Holding Inc 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.5168% 6/28/2028 (f)(g)(h) | 322104 | 313897 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (f)(g)(h) | 533451 | 525892 |
| TPC Group Inc 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.3856% 12/16/2031 (f)(g)(h) | 262065 | 234003 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (f)(g)(h) | 514030 | 399659 |
| Venator Finance Sarl Tranche EXIT 1LN, term loan CME Term SOFR 3 month Index + 8%, 8.75% 10/12/2028 (b)(f)(g)(h) | 507130 | 40570 |
|  |  | 3952105 |
| Construction Materials - 0.0% |  |  |
| Quikrete Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 2/10/2032 (f)(g)(h) | 124063 | 123936 |
| Containers & Packaging - 0.0% |  |  |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (f)(g)(h) | 570000 | 564659 |
| Paper & Forest Products - 0.0% |  |  |
| LABL Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 0% 10/30/2028 (f)(g)(h)(i) | 24935 | 11462 |
| Treasure Holdco Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9227% 11/4/2031 (f)(g)(h) | 70946 | 70946 |
|  |  | 82408 |
| TOTAL MATERIALS |  | 4723108 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.0% |  |  |
| Heritage Power LLC 1LN, term loan 0% 7/20/2028 (b)(f)(g)(i) | 186835 | 184033 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| MRP Buyer LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 6/4/2032 (f)(g)(h) | 478978 | 478581 |
| MRP Buyer LLC Tranche DD 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 5.4615% 6/4/2032 (f)(g)(h)(j) | 61022 | 60971 |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (f)(g)(h) | 380180 | 381605 |
|  |  | 921157 |
| TOTAL UTILITIES |  | 1105190 |
| TOTAL UNITED STATES |  | 40672187 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $46,524,384) |  | <br> **43169158** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 1.1%** | &nbsp;&nbsp;**Common Stocks - 1.1%** | &nbsp;&nbsp;**Common Stocks - 1.1%** |
|  | Shares | Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Stonepeak Falcon Holdings Inc (b) | 22163 | 24314 |
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (b) | 20547 | 373401 |
| Altice France Holding SA rights (b)(c)(d) | 539 | 6063 |
| TOTAL FRANCE |  | 379464 |
| JAMAICA - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Wireless Telecommunication Services - 0.1% |  |  |
| Digicel Ltd (b)(c) | 136455 | 2199655 |
| UNITED STATES - 1.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Xplore Inc (b)(c) | 1605 | 0 |
| Media - 0.0% |  |  |
| Main Street Sports Group (b)(c) | 77366 | 14545 |
| Main Street Sports Group warrants 6/30/2026 (b)(c) | 144700 | 1 |
|  |  | 14546 |
| TOTAL COMMUNICATION SERVICES |  | 14546 |
| Energy - 0.6% |  |  |
| Oil, Gas & Consumable Fuels - 0.6% |  |  |
| Expand Energy Corp  | 1939 | 209257 |
| Mesquite Energy Inc (b)(c) | 112776 | 9636690 |
| TOTAL ENERGY |  | 9845947 |
| Health Care - 0.0% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Bausch + Lomb Corp (United States) (c) | 26155 | 478637 |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (b)(c) | 18393 | 155237 |
| Cano Health LLC warrants 6/28/2029 (b)(c) | 938 | 1304 |
| ModivCare Inc (b) | 7123 | 40066 |
|  |  | 196607 |
| TOTAL HEALTH CARE |  | 675244 |
| Information Technology - 0.1% |  |  |
| IT Services - 0.1% |  |  |
| GTT Communications Inc (b)(c) | 24499 | 963056 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| TPC Group Inc (b)(c)(e) | 90050 | 1844224 |
| Venator Materials PLC (c) | 1499 | 37490 |
| TOTAL MATERIALS |  | 1881714 |
| Utilities - 0.2% |  |  |
| Electric Utilities - 0.1% |  |  |
| Heritage Power LLC (b)(c) | 25111 | 1760909 |
| Heritage Power LLC (b)(c)(d) | 1104 | 77418 |
| Heritage Power LLC (b)(c) | 28900 | 14450 |
|  |  | 1852777 |
| Gas Utilities - 0.1% |  |  |
| Ferrellgas Partners LP Class B (c) | 5047 | 893369 |
| TOTAL UTILITIES |  | 2746146 |
| TOTAL UNITED STATES |  | 16126653 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $11,584,178) |  | <br> **18730086** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.4%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.4%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CAMEROON - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Golar LNG Ltd 2.75% 12/15/2030 (d) | 329000 | 346602 |
| GHANA - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Kosmos Energy Ltd 3.125% 3/15/2030  | 432000 | 288792 |
| UNITED STATES - 0.4%  |  |  |
| Communication Services - 0.2% |  |  |
| Media - 0.2% |  |  |
| Cable One Inc 1.125% 3/15/2028  | 400000 | 306000 |
| EchoStar Corp 3.875% 11/30/2030 pay-in-kind (g) | 599641 | 2118232 |
| TOTAL COMMUNICATION SERVICES |  | 2424232 |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Rivian Automotive Inc 4.625% 3/15/2029  | 320000 | 348348 |
| Financials - 0.1% |  |  |
| Financial Services - 0.1% |  |  |
| Redfin Corp 0.5% 4/1/2027  | 1214000 | 1159370 |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| MKS Inc 1.25% 6/1/2030  | 155000 | 269623 |
| ON Semiconductor Corp 0% 5/1/2027 (l) | 248000 | 333932 |
| Wolfspeed Inc 2.5% 6/15/2031  | 99000 | 167372 |
| Wolfspeed Inc 2.5% 6/15/2031 (d) | 54000 | 91293 |
|  |  | 862220 |
| Software - 0.1% |  |  |
| Riot Platforms Inc 0.75% 1/15/2030  | 575000 | 779988 |
| Terawulf Inc 0% 5/1/2032 (d)(l) | 478000 | 524174 |
|  |  | 1304162 |
| TOTAL INFORMATION TECHNOLOGY |  | 2166382 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| PG&E Corp 4.25% 12/1/2027  | 439000 | 469203 |
| TOTAL UNITED STATES |  | 6567535 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $5,185,125) |  | <br> **7202929** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Preferred Stocks - 0.2%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.2%** | &nbsp;&nbsp;**Convertible Preferred Stocks - 0.2%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 0.2%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Whirlpool Corp Series A, 8.5%  | 8646 | 424605 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.1% |  |  |
| Ares Management Corp 6.75% Series B  | 12911 | 488294 |
| Financial Services - 0.1% |  |  |
| Acrisure Holdings Inc Series A-2 (b) | 16926 | 476975 |
| TOTAL FINANCIALS |  | 965269 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Boeing Co Series A, 6%  | 7330 | 532451 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Oracle Corp Series D 6.5%  | 11198 | 513652 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Southern Co/The 7.125%  | 10500 | 559125 |
| TOTAL UNITED STATES |  | 2995102 |
| <br> **TOTAL CONVERTIBLE PREFERRED STOCKS**<br> (Cost $2,876,671) |  | <br> **2995102** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 50.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 50.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 50.9%** |
|  | Shares | Value ($)<br>|
| Artisan High Income Fund Investor Shares  | 25362975 | 231056706 |
| BlackRock High Yield Portfolio Class K  | 28590113 | 205562916 |
| Eaton Vance Income Fund of Boston Class A  | 19995313 | 105175345 |
| Fidelity Capital & Income Fund (s) | 18905124 | 208901616 |
| NYLI MacKay High Yield Corporate Bond Fund Class A  | 13124554 | 68247683 |
| Vanguard High-Yield Corporate Fund Admiral Shares  | 14018427 | 77802270 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $822,680,572) |  | **896746536** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Puerto Rico - 0.1%  |  |  |
| Other - 0.1% |  |  |
| Puerto Rico Comwlth Gen. Oblig. 0% 11/1/2043 (g)<br>(Cost $1,591,685)<br>| 2612329 | **1782914** |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $1,591,685) |  | <br> **1782914** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 40.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 40.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 40.8%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 40.8%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Coronado Finance Pty Ltd 9.25% 10/1/2029 (d) |  | 250000 | 231740 |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| Mineral Resources Ltd 7% 4/1/2031 (d) |  | 570000 | 599646 |
| Mineral Resources Ltd 8% 11/1/2027 (d) |  | 95000 | 97086 |
| Mineral Resources Ltd 8.5% 5/1/2030 (d) |  | 505000 | 522431 |
| Mineral Resources Ltd 9.25% 10/1/2028 (d) |  | 465000 | 487019 |
| TOTAL MATERIALS |  |  | 1706182 |
| TOTAL AUSTRALIA |  |  | 1937922 |
| AUSTRIA - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Industrial Conglomerates - 0.0% |  |  |  |
| Benteler International AG 7.25% 6/15/2031 (q) | EUR | 170000 | 214527 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Aston Martin Capital Holdings Ltd 10% 3/31/2029 (d) |  | 452000 | 364990 |
| BRAZIL - 0.1%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Ambipar Lux Sarl 9.875% (d)(k) |  | 1175000 | 220313 |
| Passenger Airlines - 0.0% |  |  |  |
| Azul Secured Finance LLP 9.875% 2/15/2031 (d) |  | 140000 | 140645 |
| TOTAL INDUSTRIALS |  |  | 360958 |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (d) |  | 417000 | 419085 |
| Samarco Mineracao SA 9% 6/30/2031 pay-in-kind (d)(g) |  | 529634 | 532113 |
| TOTAL MATERIALS |  |  | 951198 |
| TOTAL BRAZIL |  |  | 1312156 |
| CAMEROON - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Golar LNG Ltd 7.5% 10/2/2030 (d) |  | 450000 | 450594 |
| Golar LNG Ltd 7.75% 9/19/2029 (d)(q) |  | 400000 | 403192 |
| TOTAL CAMEROON |  |  | 853786 |
| CANADA - 1.5%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.625% 10/15/2055 (g) |  | 245000 | 252991 |
| TELUS Corp 7% 10/15/2055 (g) |  | 130000 | 137183 |
|  |  |  | 390174 |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| Rogers Communications Inc 7% 4/15/2055 (g) |  | 1778000 | 1859472 |
| Rogers Communications Inc 7.125% 4/15/2055 (g) |  | 108000 | 114413 |
|  |  |  | 1973885 |
| TOTAL COMMUNICATION SERVICES |  |  | 2364059 |
| Consumer Discretionary - 0.3% |  |  |  |
| Distributors - 0.0% |  |  |  |
| RB Global Holdings Inc 6.75% 3/15/2028 (d) |  | 215000 | 218470 |
| RB Global Holdings Inc 7.75% 3/15/2031 (d) |  | 500000 | 519833 |
|  |  |  | 738303 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (d) |  | 1384000 | 1329065 |
| 1011778 BC ULC / New Red Finance Inc 5.625% 9/15/2029 (d) |  | 385000 | 391804 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (d) |  | 99000 | 101818 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (d) |  | 365000 | 352811 |
|  |  |  | 2175498 |
| Household Durables - 0.1% |  |  |  |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 4.875% 2/15/2030 (d) |  | 629000 | 591204 |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 5% 6/15/2029 (d) |  | 175000 | 169524 |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 6.25% 9/15/2027 (d) |  | 563000 | 562379 |
| Empire Communities Corp 9.75% 5/1/2029 (d) |  | 350000 | 361452 |
|  |  |  | 1684559 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 4598360 |
| Consumer Staples - 0.0% |  |  |  |
| Household Products - 0.0% |  |  |  |
| Kronos Acquisition Holdings Inc 10.75% 6/30/2032 (d) |  | 545000 | 238438 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Precision Drilling Corp 6.875% 1/15/2029 (d) |  | 275000 | 278565 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (g) |  | 1057000 | 1121941 |
| South Bow Canadian Infrastructure Holdings Ltd 7.625% 3/1/2055 (g) |  | 35000 | 36472 |
| Vermilion Energy Inc 6.875% 5/1/2030 (d) |  | 925000 | 935231 |
|  |  |  | 2093644 |
| TOTAL ENERGY |  |  | 2372209 |
| Financials - 0.2% |  |  |  |
| Consumer Finance - 0.1% |  |  |  |
| goeasy Ltd 6.875% 2/15/2031 (d) |  | 405000 | 349334 |
| goeasy Ltd 6.875% 5/15/2030 (d) |  | 210000 | 184572 |
| goeasy Ltd 7.375% 10/1/2030 (d) |  | 245000 | 217199 |
| goeasy Ltd 7.625% 7/1/2029 (d) |  | 275000 | 257806 |
| goeasy Ltd 9.25% 12/1/2028 (d) |  | 35000 | 34628 |
|  |  |  | 1043539 |
| Insurance - 0.1% |  |  |  |
| Jones Deslauriers Insurance Management Inc 6.875% 10/1/2033 (d) |  | 535000 | 491232 |
| Jones Deslauriers Insurance Management Inc 7.25% 10/1/2033 (d) | CAD | 410000 | 305451 |
| Jones Deslauriers Insurance Management Inc 8.5% 3/15/2030 (d) |  | 820000 | 850790 |
|  |  |  | 1647473 |
| TOTAL FINANCIALS |  |  | 2691012 |
| Health Care - 0.1% |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Bausch Health Cos Inc 11% 9/30/2028 (d) |  | 240000 | 250946 |
| Bausch Health Cos Inc 4.875% 6/1/2028 (d) |  | 377000 | 350848 |
| Bausch Health Cos Inc 5% 1/30/2028 (d) |  | 750000 | 652500 |
| Bausch Health Cos Inc 5% 2/15/2029 (d) |  | 25000 | 18875 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (d) |  | 863000 | 604100 |
| Bausch Health Cos Inc 5.25% 2/15/2031 (d) |  | 25000 | 16458 |
| Bausch Health Cos Inc 6.25% 2/15/2029 (d) |  | 160000 | 126400 |
| Bausch Health Cos Inc 7% 1/15/2028 (d) |  | 25000 | 22563 |
| TOTAL HEALTH CARE |  |  | 2042690 |
| Industrials - 0.1% |  |  |  |
| Aerospace & Defense - 0.1% |  |  |  |
| Bombardier Inc 6% 2/15/2028 (d) |  | 333000 | 333000 |
| Bombardier Inc 6.75% 6/15/2033 (d) |  | 45000 | 47418 |
| Bombardier Inc 7% 6/1/2032 (d) |  | 130000 | 136941 |
| Bombardier Inc 7.25% 7/1/2031 (d) |  | 420000 | 446844 |
| Bombardier Inc 7.45% 5/1/2034 (d) |  | 200000 | 225315 |
| Bombardier Inc 7.5% 2/1/2029 (d) |  | 190000 | 197522 |
| Bombardier Inc 8.75% 11/15/2030 (d) |  | 180000 | 192842 |
|  |  |  | 1579882 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (d) |  | 365000 | 380225 |
| Machinery - 0.0% |  |  |  |
| New Flyer Holdings Inc 9.25% 7/1/2030 (d) |  | 140000 | 151118 |
| TOTAL INDUSTRIALS |  |  | 2111225 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Dye & Durham Ltd 8.625% 4/15/2029 (d) |  | 946000 | 788409 |
| Materials - 0.4% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 896000 | 899509 |
| Methanex Corp 5.25% 12/15/2029  |  | 475000 | 479017 |
| Methanex Corp 5.65% 12/1/2044  |  | 1087000 | 989565 |
|  |  |  | 2368091 |
| Containers & Packaging - 0.0% |  |  |  |
| Cascades Inc/Cascades USA Inc 5.375% 1/15/2028 (d) |  | 565000 | 563761 |
| Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC 9.5% 5/15/2030 (d) |  | 250000 | 238666 |
|  |  |  | 802427 |
| Metals & Mining - 0.3% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (d) |  | 430000 | 444377 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (d) |  | 630000 | 670059 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (d) |  | 965000 | 964373 |
| Hudbay Minerals Inc 6.125% 4/1/2029 (d) |  | 1274000 | 1284085 |
| New Gold Inc 6.875% 4/1/2032 (d) |  | 350000 | 371956 |
| Taseko Mines Ltd 8.25% 5/1/2030 (d) |  | 170000 | 179968 |
|  |  |  | 3914818 |
| TOTAL MATERIALS |  |  | 7085336 |
| Real Estate - 0.1% |  |  |  |
| Real Estate Management & Development - 0.1% |  |  |  |
| Mattamy Group Corp 4.625% 3/1/2030 (d) |  | 950000 | 927459 |
| Mattamy Group Corp 6% 12/15/2033 (d) |  | 200000 | 196857 |
| TOTAL REAL ESTATE |  |  | 1124316 |
| Utilities - 0.1% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Superior Plus LP / Superior General Partner Inc 4.5% 3/15/2029 (d) |  | 215000 | 208896 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| TransAlta Corp 5.875% 2/1/2034  |  | 420000 | 422625 |
| TransAlta Corp 6.5% 3/15/2040  |  | 280000 | 282723 |
|  |  |  | 705348 |
| TOTAL UTILITIES |  |  | 914244 |
| TOTAL CANADA |  |  | 26330298 |
| COLOMBIA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Canacol Energy Ltd 5.75% (d)(k) |  | 1800000 | 531000 |
| Gran Tierra Energy Inc 9.75% 4/15/2031 (d)(o) |  | 462000 | 371910 |
| TOTAL ENERGY |  |  | 902910 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (d) |  | 412000 | 387280 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (d) |  | 185000 | 193134 |
| TOTAL UTILITIES |  |  | 580414 |
| TOTAL COLOMBIA |  |  | 1483324 |
| FINLAND - 0.1%  |  |  |  |
| Consumer Discretionary - 0.1% |  |  |  |
| Leisure Products - 0.1% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (d) |  | 707000 | 737681 |
| Materials - 0.0% |  |  |  |
| Paper & Forest Products - 0.0% |  |  |  |
| Ahlstrom Holding 3 Oy 4.875% 2/4/2028 (d) |  | 350000 | 348089 |
| TOTAL FINLAND |  |  | 1085770 |
| FRANCE - 0.4%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Altice France SA 6.5% 10/15/2031 (d) |  | 459637 | 441833 |
| Altice France SA 6.5% 4/15/2032 (d) |  | 1096049 | 1049694 |
| Altice France SA 6.875% 10/15/2030 (d) |  | 102896 | 99749 |
| Altice France SA 6.875% 7/15/2032 (d) |  | 864930 | 830353 |
| TOTAL COMMUNICATION SERVICES |  |  | 2421629 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Forvia SE 6.75% 9/15/2033 (d) |  | 245000 | 251763 |
| Consumer Staples - 0.1% |  |  |  |
| Personal Care Products - 0.1% |  |  |  |
| Opal Bidco SAS 6.5% 3/31/2032 (d) |  | 1285000 | 1323549 |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (d) |  | 755000 | 801643 |
| Viridien 10% 10/15/2030 (d) |  | 223000 | 239127 |
| TOTAL ENERGY |  |  | 1040770 |
| Financials - 0.1% |  |  |  |
| Financial Services - 0.1% |  |  |  |
| Iliad Holding SAS 7% 10/15/2028 (d) |  | 625000 | 632858 |
| Iliad Holding SAS 7% 4/15/2032 (d) |  | 465000 | 477315 |
| Iliad Holding SAS 8.5% 4/15/2031 (d) |  | 680000 | 728604 |
| TOTAL FINANCIALS |  |  | 1838777 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| SPCM SA 3.375% 3/15/2030 (d) |  | 200000 | 188989 |
| TOTAL FRANCE |  |  | 7065477 |
| GERMANY - 0.2%  |  |  |  |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.1% |  |  |  |
| ZF North America Capital Inc 6.75% 4/23/2030 (d)(o) |  | 305000 | 308402 |
| ZF North America Capital Inc 6.875% 4/23/2032 (d)(o) |  | 140000 | 140462 |
| ZF North America Capital Inc 7.125% 4/14/2030 (d) |  | 85000 | 87178 |
| ZF North America Capital Inc 7.5% 3/24/2031 (d) |  | 960000 | 989389 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1525431 |
| Industrials - 0.1% |  |  |  |
| Machinery - 0.1% |  |  |  |
| TK Elevator US Newco Inc 5.25% 7/15/2027 (d)(o) |  | 1236000 | 1235498 |
| TOTAL GERMANY |  |  | 2760929 |
| GHANA - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Kosmos Energy Gta Holdings 11.25% 1/29/2031 (d)(q) |  | 200000 | 203562 |
| Kosmos Energy Ltd 7.5% 3/1/2028 (d) |  | 100000 | 86375 |
| Kosmos Energy Ltd 7.75% 5/1/2027 (d) |  | 86000 | 84340 |
| Kosmos Energy Ltd 8.75% 10/1/2031 (d) |  | 225000 | 168750 |
| Tullow Oil PLC 10.25% 5/15/2026 (d) |  | 705000 | 624912 |
| TOTAL GHANA |  |  | 1167939 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (d) |  | 715000 | 736951 |
| GREECE - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Danaos Corp 6.875% 10/15/2032 (d) |  | 258000 | 266063 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (d) |  | 140000 | 130276 |
| Millicom International Cellular SA 5.125% 1/15/2028 (d) |  | 130500 | 129808 |
| Millicom International Cellular SA 7.375% 4/2/2032 (d) |  | 100000 | 103206 |
| TOTAL GUATEMALA |  |  | 363290 |
| IRELAND - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Virgin Media O2 Vendor Financing Notes VI DAC 8.5% 3/15/2033 (d) |  | 275000 | 252400 |
| Financials - 0.2% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (g) |  | 256000 | 265390 |
| Financial Services - 0.2% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (d) |  | 495000 | 502831 |
| GGAM Finance Ltd 6.875% 4/15/2029 (d) |  | 285000 | 293571 |
| GGAM Finance Ltd 8% 2/15/2027 (d) |  | 625000 | 631406 |
| GGAM Finance Ltd 8% 6/15/2028 (d) |  | 770000 | 809534 |
|  |  |  | 2237342 |
| TOTAL FINANCIALS |  |  | 2502732 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (d) |  | 141000 | 139755 |
| TOTAL IRELAND |  |  | 2894887 |
| ISRAEL - 0.1%  |  |  |  |
| Health Care - 0.1% |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 3.15% 10/1/2026  |  | 70000 | 69487 |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 365000 | 387320 |
| Teva Pharmaceutical Finance Netherlands III BV 7.875% 9/15/2029  |  | 435000 | 475705 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 245000 | 254227 |
| TOTAL ISRAEL |  |  | 1186739 |
| ITALY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 4.95% 6/1/2042 (d)(g) |  | 200000 | 177295 |
| JAMAICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Digicel Group Holdings Ltd 0% 12/31/2030 (b)(d)(r) |  | 34870 | 1430 |
| Digicel Group Holdings Ltd 0% 12/31/2030 (b)(d)(r) |  | 24622 | 122 |
| TOTAL JAMAICA |  |  | 1552 |
| JAPAN - 0.1%  |  |  |  |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobiles - 0.1% |  |  |  |
| Nissan Motor Co Ltd 7.5% 7/17/2030 (d) |  | 595000 | 627400 |
| Nissan Motor Co Ltd 7.75% 7/17/2032 (d) |  | 680000 | 727049 |
| Nissan Motor Co Ltd 8.125% 7/17/2035 (d) |  | 415000 | 453464 |
| TOTAL JAPAN |  |  | 1807913 |
| LUXEMBOURG - 0.2%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Media - 0.1% |  |  |  |
| Altice Financing SA 5.75% 8/15/2029 (d) |  | 1026000 | 711752 |
| Altice Financing SA 9.625% 7/15/2027 (d) |  | 855000 | 639284 |
|  |  |  | 1351036 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Altice France Lux 3 / Altice Holdings 1 10% 1/15/2033 (d) |  | 144000 | 135319 |
| TOTAL COMMUNICATION SERVICES |  |  | 1486355 |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (d) |  | 945000 | 1006709 |
| Industrials - 0.0% |  |  |  |
| Electrical Equipment - 0.0% |  |  |  |
| Albion Financing 1 SARL / Aggreko Holdings Inc 7% 5/21/2030 (d) |  | 817000 | 855548 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Herens Holdco Sarl 4.75% 5/15/2028 (d) |  | 1124000 | 989140 |
| TOTAL LUXEMBOURG |  |  | 4337752 |
| MACAU - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Wynn Macau Ltd 5.625% 8/26/2028 (d) |  | 700000 | 698999 |
| MAURITIUS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Axian Telecom Holding & Management PLC 7.25% 7/11/2030 (d) |  | 249000 | 252312 |
| NETHERLANDS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| VZ Secured Financing BV 5% 1/15/2032 (d) |  | 265000 | 235437 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Trivium Packaging Finance BV 8.25% 7/15/2030 (d) |  | 215000 | 230314 |
| TOTAL NETHERLANDS |  |  | 465751 |
| NIGERIA - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| IHS Holding Ltd 5.625% 11/29/2026 (d) |  | 408000 | 405989 |
| IHS Holding Ltd 6.25% 11/29/2028 (d) |  | 90000 | 90253 |
| IHS Holding Ltd 7.875% 5/29/2030 (d) |  | 175000 | 182656 |
| IHS Holding Ltd 8.25% 11/29/2031 (d) |  | 260000 | 276918 |
| TOTAL NIGERIA |  |  | 955816 |
| NORWAY - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.1% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (d) |  | 1335000 | 1402891 |
| TGS ASA 8.5% 1/15/2030 (d) |  | 225000 | 237662 |
| TOTAL NORWAY |  |  | 1640553 |
| PANAMA - 0.2%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (d) |  | 1885000 | 1907632 |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (d) |  | 1097000 | 1132957 |
| TOTAL PANAMA |  |  | 3040589 |
| PERU - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Volcan Cia Minera SAA 8.5% 10/28/2032 (d) |  | 250000 | 261571 |
| SOUTH AFRICA - 0.1%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Liquid Telecommunications Financing Plc 5.5% 9/4/2026 (d) |  | 1025000 | 989279 |
| SWITZERLAND - 0.2%  |  |  |  |
| Industrials - 0.1% |  |  |  |
| Aerospace & Defense - 0.1% |  |  |  |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 6.375% 2/1/2030 (d) |  | 740000 | 688411 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 7.875% 5/1/2027 (d) |  | 875000 | 877180 |
| VistaJet Malta Finance PLC / Vista Management Holding Inc 9.5% 6/1/2028 (d) |  | 514000 | 530045 |
| TOTAL INDUSTRIALS |  |  | 2095636 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Consolidated Energy Finance SA 12% 2/15/2031 (d) |  | 425000 | 367625 |
| Consolidated Energy Finance SA 5.625% 10/15/2028 (d) |  | 100000 | 84000 |
| Consolidated Energy Finance SA 6.5% 5/15/2026 (d) |  | 1070000 | 1062411 |
| TOTAL MATERIALS |  |  | 1514036 |
| TOTAL SWITZERLAND |  |  | 3609672 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (d) |  | 170000 | 175677 |
| TURKEY - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Eldorado Gold Corp 6.25% 9/1/2029 (d) |  | 400000 | 401586 |
| UNITED KINGDOM - 0.5%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Connect Finco Sarl / Connect US Finco LLC 9% 9/15/2029 (d) |  | 790000 | 838238 |
| Virgin Media Finance PLC 5% 7/15/2030 (d) |  | 395000 | 328601 |
|  |  |  | 1166839 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 5.5% 5/15/2029 (d) |  | 625000 | 606832 |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (d) |  | 47000 | 41437 |
| Vmed O2 UK Financing I PLC 4.75% 7/15/2031 (d) |  | 1455000 | 1295100 |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (d) |  | 185000 | 175379 |
| Vmed O2 UK Financing I PLC 7.75% 4/15/2032 (d) |  | 210000 | 209941 |
| Zegona Finance PLC 8.625% 7/15/2029 (d) |  | 341000 | 360081 |
|  |  |  | 2081938 |
| TOTAL COMMUNICATION SERVICES |  |  | 3855609 |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Macquarie Airfinance Holdings Ltd 6.4% 3/26/2029 (d) |  | 285000 | 300565 |
| Macquarie Airfinance Holdings Ltd 6.5% 3/26/2031 (d) |  | 260000 | 280586 |
|  |  |  | 581151 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| Brightstar Lottery PLC/ Brightstar Global Solutions Corp 5.75% 1/15/2033 (d) |  | 215000 | 213663 |
| Motion Finco Sarl 8.375% 2/15/2032 (d) |  | 645000 | 513847 |
|  |  |  | 727510 |
| Household Durables - 0.0% |  |  |  |
| Miller Homes Group Finco PLC 7% 5/15/2029 (q) | GBP | 415000 | 566598 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (d) |  | 325000 | 332128 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2207387 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Iceland Bondco PLC 10.875% 12/15/2027 (d) | GBP | 96221 | 137157 |
| Iceland Bondco PLC 3 month EURIBOR + 5.5%, 7.484% 12/15/2027 (d)(g)(h) | EUR | 100000 | 119401 |
| TOTAL CONSUMER STAPLES |  |  | 256558 |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (d) |  | 1155000 | 1241679 |
| Harbour Energy PLC 5.5% 10/15/2026 (d) |  | 60000 | 59550 |
| TOTAL ENERGY |  |  | 1301229 |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| Jerrold Finco PLC 7.5% 6/15/2031 (d) | GBP | 245000 | 340867 |
| Utilities - 0.1% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (d) |  | 880000 | 877410 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (d) |  | 235000 | 242050 |
| TOTAL UTILITIES |  |  | 1119460 |
| TOTAL UNITED KINGDOM |  |  | 9081110 |
| UNITED STATES - 36.3%  |  |  |  |
| Communication Services - 4.8% |  |  |  |
| Diversified Telecommunication Services - 1.4% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (d) |  | 1210000 | 1270006 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (d)(o) |  | 472000 | 483069 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (d) |  | 515000 | 514594 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (d) |  | 475000 | 474649 |
| Cipher Compute LLC 7.125% 11/15/2030 (d)(o) |  | 1496000 | 1559347 |
| Connect Holdings LLC 10.5% 4/3/2031 (d) |  | 950000 | 918685 |
| Flash Compute LLC 7.25% 12/31/2030 (d) |  | 1570000 | 1607082 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (d) |  | 750000 | 750432 |
| Frontier Communications Holdings LLC 5.875% 11/1/2029  |  | 550000 | 555805 |
| Frontier Communications Holdings LLC 6% 1/15/2030 (d) |  | 1670000 | 1688293 |
| Frontier Communications Holdings LLC 6.75% 5/1/2029 (d) |  | 300000 | 301143 |
| Frontier Communications Holdings LLC 8.75% 5/15/2030 (d) |  | 920000 | 948411 |
| Level 3 Financing Inc 3.625% 1/15/2029 (d) |  | 237000 | 222780 |
| Level 3 Financing Inc 3.75% 7/15/2029 (d) |  | 170000 | 157580 |
| Level 3 Financing Inc 4.25% 7/1/2028 (d) |  | 37000 | 35669 |
| Level 3 Financing Inc 6.875% 6/30/2033 (d) |  | 2080000 | 2154204 |
| Level 3 Financing Inc 7% 3/31/2034 (d) |  | 3385000 | 3518858 |
| Level 3 Financing Inc 8.5% 1/15/2036 (d) |  | 1475000 | 1535769 |
| Lumen Technologies Inc 4.5% 1/15/2029 (d) |  | 45000 | 42836 |
| Lumen Technologies Inc 5.375% 6/15/2029 (d) |  | 125000 | 120000 |
| SV RNO Property Owner 1 LLC 5.875% 3/1/2031 (d) |  | 1325000 | 1330936 |
| Uniti Services LLC 7.5% 10/15/2033 (d) |  | 1310000 | 1362966 |
| WULF Compute LLC 7.75% 10/15/2030 (d)(o) |  | 2125000 | 2250405 |
| Zayo Group Holdings Inc 9.25% 3/9/2030 pay-in-kind (d)(g) |  | 516941 | 504008 |
|  |  |  | 24307527 |
| Entertainment - 0.1% |  |  |  |
| Cinemark USA Inc 5.25% 7/15/2028 (d) |  | 590000 | 590106 |
| Cinemark USA Inc 7% 8/1/2032 (d) |  | 1395000 | 1452925 |
| Playtika Holding Corp 4.25% 3/15/2029 (d) |  | 510000 | 398022 |
|  |  |  | 2441053 |
| Interactive Media & Services - 0.0% |  |  |  |
| Snap Inc 6.875% 3/1/2033 (d)(o) |  | 415000 | 413348 |
| Snap Inc 6.875% 3/15/2034 (d)(o) |  | 220000 | 219329 |
|  |  |  | 632677 |
| Media - 3.3% |  |  |  |
| Advantage Sales & Marketing Inc 6.5% 11/15/2028 (d) |  | 394000 | 323080 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (d)(o) |  | 570000 | 496528 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (d) |  | 520000 | 484692 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 500000 | 457577 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 6/1/2033 (d) |  | 1525000 | 1362004 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (d)(o) |  | 1015000 | 943875 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 3/1/2030 (d) |  | 250000 | 241691 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (d) |  | 900000 | 898060 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (d) |  | 77000 | 76983 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.375% 6/1/2029 (d) |  | 165000 | 164607 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (d) |  | 1350000 | 1380302 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7.375% 2/1/2036 (d)(o) |  | 625000 | 634401 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7.375% 3/1/2031 (d) |  | 1835000 | 1893303 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 735000 | 697903 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (d) |  | 975000 | 1030586 |
| Clear Channel Outdoor Holdings Inc 7.5% 3/15/2033 (d) |  | 845000 | 912195 |
| Clear Channel Outdoor Holdings Inc 7.5% 6/1/2029 (d) |  | 1320000 | 1329398 |
| Clear Channel Outdoor Holdings Inc 7.75% 4/15/2028 (d) |  | 1435000 | 1446389 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (d) |  | 270000 | 284527 |
| CMG Media Corp 8.875% 6/18/2029 (d) |  | 1515000 | 1322161 |
| CSC Holdings LLC 11.25% 5/15/2028 (d) |  | 520000 | 411981 |
| CSC Holdings LLC 11.75% 1/31/2029 (d) |  | 1280000 | 912081 |
| CSC Holdings LLC 3.375% 2/15/2031 (d) |  | 1067000 | 636028 |
| CSC Holdings LLC 4.125% 12/1/2030 (d) |  | 1512000 | 922426 |
| CSC Holdings LLC 4.5% 11/15/2031 (d) |  | 375000 | 225056 |
| CSC Holdings LLC 4.625% 12/1/2030 (d) |  | 1005000 | 371966 |
| CSC Holdings LLC 5.375% 2/1/2028 (d) |  | 811000 | 583347 |
| CSC Holdings LLC 5.5% 4/15/2027 (d) |  | 1000000 | 847837 |
| CSC Holdings LLC 5.75% 1/15/2030 (d) |  | 1545000 | 596932 |
| CSC Holdings LLC 6.5% 2/1/2029 (d) |  | 710000 | 448334 |
| CSC Holdings LLC 7.5% 4/1/2028 (d) |  | 970000 | 545625 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 10% 2/15/2031 (d) |  | 1445000 | 1477906 |
| Discovery Communications LLC 6.35% 6/1/2040  |  | 125000 | 101763 |
| Discovery Global Holdings Inc 4.279% 3/15/2032  |  | 615000 | 564263 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 1682000 | 1206835 |
| Discovery Global Holdings Inc 5.141% 3/15/2052  |  | 1225000 | 814625 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 938000 | 837665 |
| DISH DBS Corp 5.25% 12/1/2026 (d) |  | 755000 | 733355 |
| DISH DBS Corp 5.75% 12/1/2028 (d) |  | 1397000 | 1352024 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 965000 | 931074 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 2184000 | 2156947 |
| DISH Network Corp 11.75% 11/15/2027 (d) |  | 1143000 | 1183320 |
| EchoStar Corp 10.75% 11/30/2029  |  | 3685000 | 4024831 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (g) |  | 1998308 | 2023794 |
| EW Scripps Co/The 9.875% 8/15/2030 (d) |  | 1185000 | 1189908 |
| Getty Images Inc 10.5% 11/15/2030 (d) |  | 585000 | 517818 |
| Getty Images Inc 11.25% 2/21/2030 (d) |  | 390000 | 345116 |
| Gray Media Inc 5.375% 11/15/2031 (d) |  | 743000 | 584952 |
| Gray Media Inc 7.25% 8/15/2033 (d) |  | 115000 | 118749 |
| Gray Media Inc 9.625% 7/15/2032 (d) |  | 1015000 | 1054571 |
| iHeartCommunications Inc 7.75% 8/15/2030 (d) |  | 320000 | 254493 |
| iHeartCommunications Inc 9.125% 5/1/2029 (d) |  | 765000 | 679680 |
| Lamar Media Corp 4.875% 1/15/2029  |  | 842000 | 841332 |
| Lamar Media Corp 5.375% 11/1/2033 (d) |  | 395000 | 396032 |
| Midcontinent Communications 8% 8/15/2032 (d) |  | 740000 | 697038 |
| News Corp 3.875% 5/15/2029 (d) |  | 75000 | 73168 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 7.375% 2/15/2031 (d) |  | 130000 | 136668 |
| Radiate Holdco LLC / Radiate Finance Inc 6% 3/25/2030 pay-in-kind (d)(g) |  | 744104 | 546916 |
| Sinclair Television Group Inc 8.125% 2/15/2033 (d) |  | 410000 | 426913 |
| Sirius XM Radio LLC 4% 7/15/2028 (d) |  | 1027000 | 1002602 |
| Sirius XM Radio LLC 5.875% 4/15/2032 (d) |  | 1745000 | 1740860 |
| Stagwell Global LLC 5.625% 8/15/2029 (d) |  | 1280000 | 1179828 |
| Univision Communications Inc 8% 8/15/2028 (d) |  | 400000 | 410881 |
| Univision Communications Inc 8.5% 7/31/2031 (d)(o) |  | 3078000 | 3150044 |
| Univision Communications Inc 9.375% 8/1/2032 (d) |  | 1745000 | 1846500 |
|  |  |  | 57484346 |
| TOTAL COMMUNICATION SERVICES |  |  | 84865603 |
| Consumer Discretionary - 5.7% |  |  |  |
| Automobile Components - 0.5% |  |  |  |
| Adient Global Holdings Ltd 7% 4/15/2028 (d) |  | 200000 | 203941 |
| Adient Global Holdings Ltd 8.25% 4/15/2031 (d) |  | 1440000 | 1506505 |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (d)(o) |  | 350000 | 356204 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (d)(o) |  | 650000 | 660622 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (d) |  | 1690000 | 1754262 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (d) |  | 380000 | 398035 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (d) |  | 125000 | 127857 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (d)(p) |  | 280000 | 280790 |
| Dana Financing Luxembourg Sarl 8.5% 7/15/2031 (q) | EUR | 701000 | 878953 |
| Garrett Motion Holdings Inc / Garrett LX I Sarl 7.75% 5/31/2032 (d) |  | 215000 | 227216 |
| Hertz Corp/The 12.625% 7/15/2029 (d) |  | 75000 | 69157 |
| Hertz Corp/The 4.625% 12/1/2026 (d) |  | 38000 | 34616 |
| JB Poindexter & Co Inc 8.75% 12/15/2031 (d) |  | 175000 | 181188 |
| Nesco Holdings II Inc 5.5% 4/15/2029 (d) |  | 346000 | 344217 |
| Patrick Industries Inc 4.75% 5/1/2029 (d) |  | 125000 | 124668 |
| Patrick Industries Inc 6.375% 11/1/2032 (d) |  | 175000 | 179746 |
| Phinia Inc 6.625% 10/15/2032 (d) |  | 55000 | 57099 |
| Phinia Inc 6.75% 4/15/2029 (d) |  | 140000 | 144696 |
| Tenneco Inc 8% 11/17/2028 (d) |  | 525000 | 525003 |
|  |  |  | 8054775 |
| Automobiles - 0.3% |  |  |  |
| Ford Motor Co 4.75% 1/15/2043  |  | 213000 | 171330 |
| Nissan Motor Acceptance Co LLC 5.625% 9/29/2028 (d) |  | 215000 | 216385 |
| Nissan Motor Acceptance Co LLC 6.125% 9/30/2030 (d) |  | 1025000 | 1027373 |
| Nissan Motor Acceptance Co LLC 7.05% 9/15/2028 (d) |  | 320000 | 332515 |
| PM General Purchaser LLC 9.5% 10/1/2028 (d) |  | 570000 | 533321 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (d) |  | 3385000 | 3201808 |
|  |  |  | 5482732 |
| Broadline Retail - 0.3% |  |  |  |
| GrubHub Holdings Inc 13% 7/31/2030 pay-in-kind (d) |  | 75320 | 50375 |
| LSF9 Atlantis Holdings LLC / Victra Finance Corp 8.75% 9/15/2029 (d) |  | 835000 | 877496 |
| Match Group Holdings II LLC 3.625% 10/1/2031 (d) |  | 445000 | 403789 |
| Match Group Holdings II LLC 4.125% 8/1/2030 (d) |  | 1674000 | 1590837 |
| Match Group Holdings II LLC 5.625% 2/15/2029 (d) |  | 215000 | 214632 |
| Match Group Holdings II LLC 6.125% 9/15/2033 (d) |  | 747000 | 744954 |
| Saks Global Enterprises LLC 11% (d)(k) |  | 1 | 0 |
| Saks Global Enterprises LLC 11% (b)(d)(k) |  | 140686 | 0 |
| Wayfair LLC 6.75% 11/15/2032 (d)(o) |  | 475000 | 484118 |
| Wayfair LLC 7.25% 10/31/2029 (d) |  | 664000 | 686205 |
| Wayfair LLC 7.75% 9/15/2030 (d) |  | 875000 | 920159 |
|  |  |  | 5972565 |
| Distributors - 0.1% |  |  |  |
| Velocity Vehicle Group LLC 8% 6/1/2029 (d) |  | 150000 | 142235 |
| Windsor Holdings III LLC 8.5% 6/15/2030 (d) |  | 1475000 | 1546747 |
|  |  |  | 1688982 |
| Diversified Consumer Services - 0.2% |  |  |  |
| Covista Inc 5.5% 3/1/2028 (d) |  | 162000 | 162000 |
| Service Corp International/US 3.375% 8/15/2030  |  | 275000 | 258464 |
| Service Corp International/US 4% 5/15/2031  |  | 125000 | 119470 |
| Service Corp International/US 5.75% 10/15/2032 (o) |  | 85000 | 86658 |
| Sotheby's 7.375% 10/15/2027 (d) |  | 1090000 | 1083358 |
| Sotheby's/Bidfair Holdings Inc 5.875% 6/1/2029 (d) |  | 30000 | 28863 |
| StoneMor Inc 8.5% 5/15/2029 (d) |  | 745000 | 722668 |
| TKC Holdings Inc 12% 2/15/2031 (d) |  | 405000 | 425688 |
| TKC Holdings Inc 8.5% 8/15/2030 (d) |  | 535000 | 547460 |
|  |  |  | 3434629 |
| Hotels, Restaurants & Leisure - 2.2% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (d)(o) |  | 135000 | 137398 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (d) |  | 175000 | 161197 |
| Boyd Gaming Corp 4.75% 6/15/2031 (d) |  | 500000 | 489119 |
| Brinker International Inc 8.25% 7/15/2030 (d) |  | 350000 | 368685 |
| Caesars Entertainment Inc 4.625% 10/15/2029 (d) |  | 1300000 | 1271799 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (d) |  | 440000 | 447127 |
| Caesars Entertainment Inc 7% 2/15/2030 (d) |  | 1285000 | 1317432 |
| Carnival Corp 4% 8/1/2028 (d) |  | 450000 | 446653 |
| Carnival Corp 5.75% 8/1/2032 (d) |  | 510000 | 529277 |
| Carnival Corp 5.875% 6/15/2031 (d) |  | 480000 | 501611 |
| Carnival Corp 6.125% 2/15/2033 (d) |  | 1150000 | 1190477 |
| Churchill Downs Inc 5.75% 4/1/2030 (d) |  | 1065000 | 1073523 |
| Churchill Downs Inc 6.75% 5/1/2031 (d) |  | 915000 | 942547 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (d) |  | 1580000 | 1490129 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (d) |  | 1265000 | 1178648 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (d) |  | 135000 | 136441 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (d) |  | 250000 | 255915 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (d) |  | 555000 | 571224 |
| Hilton Domestic Operating Co Inc 6.125% 4/1/2032 (d)(o) |  | 1345000 | 1390529 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (d)(o) |  | 255000 | 260158 |
| Jacobs Entertainment Inc 6.75% 2/15/2029 (d) |  | 250000 | 244115 |
| Jacobs Entertainment Inc 6.75% 2/15/2029 (d) |  | 125000 | 122878 |
| Life Time Inc 6% 11/15/2031 (d)(o) |  | 685000 | 705556 |
| Light & Wonder International Inc 6.25% 10/1/2033 (d) |  | 1055000 | 1059558 |
| Light & Wonder International Inc 7.25% 11/15/2029 (d) |  | 1515000 | 1552896 |
| Light & Wonder International Inc 7.5% 9/1/2031 (d) |  | 345000 | 359662 |
| Lindblad Expeditions LLC 7% 9/15/2030 (d) |  | 200000 | 209807 |
| MajorDrive Holdings IV LLC 6.375% 6/1/2029 (d) |  | 419000 | 310360 |
| MGM Resorts International 4.75% 10/15/2028  |  | 551000 | 551321 |
| MGM Resorts International 5.5% 4/15/2027  |  | 337000 | 340051 |
| MGM Resorts International 6.125% 9/15/2029  |  | 185000 | 190111 |
| MGM Resorts International 6.5% 4/15/2032  |  | 755000 | 776082 |
| Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp 4.875% 5/1/2029 (d) |  | 1215000 | 1193698 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (d) |  | 200000 | 212022 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 8.25% 4/15/2030 (d) |  | 130000 | 135468 |
| NCL Corp Ltd 6.25% 3/1/2030 (d) |  | 225000 | 230346 |
| NCL Corp Ltd 6.25% 9/15/2033 (d) |  | 350000 | 353283 |
| NCL Corp Ltd 6.75% 2/1/2032 (d) |  | 1195000 | 1230575 |
| NCL Corp Ltd 7.75% 2/15/2029 (d) |  | 1245000 | 1330046 |
| NCL Finance Ltd 6.125% 3/15/2028 (d) |  | 425000 | 436277 |
| Penn Entertainment Inc 4.125% 7/1/2029 (d) |  | 175000 | 165160 |
| Penn Entertainment Inc 5.625% 1/15/2027 (d) |  | 575000 | 575300 |
| Rivers Enterprise Borrower LLC / Rivers Enterprise Finance Corp 6.625% 2/1/2033 (d) |  | 435000 | 446422 |
| Rivers Enterprise Borrower LLC 6.25% 10/15/2030 (d) |  | 535000 | 546650 |
| Royal Caribbean Cruises Ltd 4.25% 7/1/2026 (d) |  | 160000 | 159966 |
| Royal Caribbean Cruises Ltd 5.375% 7/15/2027 (d) |  | 142000 | 143083 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (d) |  | 1169000 | 1209256 |
| SeaWorld Parks & Entertainment Inc 5.25% 8/15/2029 (d) |  | 1240000 | 1202812 |
| Six Flags Entertainment Corp / Canada's Wonderland Co / Magnum Management Corp 5.25% 7/15/2029  |  | 397000 | 381845 |
| Six Flags Entertainment Corp /Six Flags Theme Parks Inc/ Canada's Wonderland Co 6.625% 5/1/2032 (d) |  | 385000 | 391425 |
| Six Flags Entertainment Corp 7.25% 5/15/2031 (d) |  | 1790000 | 1756859 |
| Six Flags Entertainment Corp/Canada's Wonderland Co/Millennium Operations LLC 8.625% 1/15/2032 (d) |  | 630000 | 637871 |
| Viking Cruises Ltd 5.875% 10/15/2033 (d) |  | 645000 | 658003 |
| Viking Cruises Ltd 7% 2/15/2029 (d) |  | 250000 | 250376 |
| Viking Cruises Ltd 9.125% 7/15/2031 (d) |  | 130000 | 138313 |
| Viking Ocean Cruises Ship VII Ltd 5.625% 2/15/2029 (d) |  | 475000 | 474610 |
| Voyager Parent LLC 9.25% 7/1/2032 (d) |  | 1875000 | 2002164 |
| Wyndham Hotels & Resorts Inc 5.625% 3/1/2033 (d) |  | 665000 | 669175 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 5.125% 10/1/2029 (d) |  | 400000 | 402282 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (d) |  | 175000 | 178717 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (d) |  | 205000 | 221388 |
| Yum! Brands Inc 4.625% 1/31/2032 (o) |  | 285000 | 280200 |
| Yum! Brands Inc 6.875% 11/15/2037  |  | 870000 | 971138 |
|  |  |  | 39567016 |
| Household Durables - 0.8% |  |  |  |
| Ashton Woods USA LLC / Ashton Woods Finance Co 4.625% 4/1/2030 (d) |  | 622000 | 594140 |
| Ashton Woods USA LLC / Ashton Woods Finance Co 4.625% 8/1/2029 (d) |  | 175000 | 170516 |
| Ashton Woods USA LLC / Ashton Woods Finance Co 6.875% 8/1/2033 (d) |  | 420000 | 423927 |
| Beazer Homes USA Inc 5.875% 10/15/2027  |  | 225000 | 224642 |
| Beazer Homes USA Inc 7.25% 10/15/2029  |  | 900000 | 918229 |
| Beazer Homes USA Inc 7.5% 3/15/2031 (d) |  | 583000 | 599834 |
| Century Communities Inc 6.625% 9/15/2033 (d) |  | 255000 | 259109 |
| Dream Finders Homes Inc 6.875% 9/15/2030 (d) |  | 405000 | 414106 |
| KB Home 4.8% 11/15/2029  |  | 725000 | 723951 |
| LGI Homes Inc 4% 7/15/2029 (d) |  | 110000 | 102194 |
| LGI Homes Inc 7% 11/15/2032 (d)(o) |  | 1175000 | 1151900 |
| LGI Homes Inc 8.75% 12/15/2028 (d) |  | 25000 | 26084 |
| M/I Homes Inc 4.95% 2/1/2028  |  | 385000 | 383679 |
| New Home Co Inc/The 8.5% 11/1/2030 (d)(o) |  | 460000 | 479006 |
| New Home Co Inc/The 9.25% 10/1/2029 (d) |  | 30000 | 31595 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 1225000 | 1228802 |
| Newell Brands Inc 6.625% 5/15/2032  |  | 305000 | 305026 |
| Newell Brands Inc 7% 4/1/2046 (m) |  | 225000 | 200297 |
| Newell Brands Inc 8.5% 6/1/2028 (d) |  | 906000 | 953657 |
| STL Holding Co LLC 8.75% 2/15/2029 (d) |  | 300000 | 314522 |
| SWF Holdings I Corp 6.5% 10/6/2029 (b)(d) |  | 20960 | 8383 |
| TopBuild Corp 4.125% 2/15/2032 (d) |  | 495000 | 470449 |
| TopBuild Corp 5.625% 1/31/2034 (d)(o) |  | 400000 | 403421 |
| Tri Pointe Homes Inc 5.7% 6/15/2028  |  | 455000 | 462025 |
| Whirlpool Corp 5.75% 3/1/2034 (o) |  | 60000 | 56973 |
| Whirlpool Corp 6.125% 6/15/2030 (o) |  | 565000 | 567536 |
| Whirlpool Corp 6.5% 6/15/2033 (o) |  | 1784000 | 1780335 |
|  |  |  | 13254338 |
| Specialty Retail - 1.2% |  |  |  |
| Advance Auto Parts Inc 7% 8/1/2030 (d) |  | 1145000 | 1174627 |
| Advance Auto Parts Inc 7.375% 8/1/2033 (d) |  | 1195000 | 1224642 |
| Arko Corp 5.125% 11/15/2029 (d) |  | 430000 | 383556 |
| Bath & Body Works Inc 6.625% 10/1/2030 (d) |  | 1075000 | 1101049 |
| Carvana Co 4.875% 9/1/2029 (d) |  | 242000 | 220220 |
| Carvana Co 5.5% 4/15/2027 (d) |  | 220000 | 215600 |
| Carvana Co 5.875% 10/1/2028 (d) |  | 160000 | 153600 |
| Carvana Co 9% 6/1/2030 pay-in-kind (d)(g) |  | 1674996 | 1743771 |
| Carvana Co 9% 6/1/2031 pay-in-kind (d)(g) |  | 3852044 | 4224664 |
| Champions Financing Inc 8.75% 2/15/2029 (d)(o) |  | 525000 | 497744 |
| Gap Inc/The 3.875% 10/1/2031 (d) |  | 625000 | 581659 |
| LBM Acquisition LLC 6.25% 1/15/2029 (d) |  | 530000 | 404084 |
| LBM Acquisition LLC 9.5% 6/15/2031 (d) |  | 650000 | 606255 |
| LCM Investments Holdings II LLC 4.875% 5/1/2029 (d) |  | 425000 | 418803 |
| Lithia Motors Inc 3.875% 6/1/2029 (d) |  | 25000 | 24166 |
| Lithia Motors Inc 4.625% 12/15/2027 (d) |  | 200000 | 199534 |
| Lithia Motors Inc 5.5% 10/1/2030 (d) |  | 175000 | 176099 |
| Mavis Tire Express Services Topco Corp 6.5% 5/15/2029 (d) |  | 775000 | 774272 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (d)(p) |  | 425000 | 413400 |
| Michaels Cos Inc/The 11% 3/15/2034 (d)(p) |  | 425000 | 397232 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (d) |  | 345000 | 346552 |
| Park River Holdings Inc 8% 3/15/2031 (d) |  | 255000 | 256635 |
| Park River Holdings Inc 8.75% 12/31/2030 (d) |  | 299270 | 287325 |
| Petco Health & Wellness Co Inc 8.25% 2/1/2031 (d) |  | 520000 | 507850 |
| PetSmart LLC / PetSmart Finance Corp 7.5% 9/15/2032 (d) |  | 860000 | 870217 |
| Sally Holdings LLC / Sally Capital Inc 6.75% 3/1/2032  |  | 200000 | 207633 |
| Staples Inc 10.75% 9/1/2029 (d) |  | 1010000 | 926740 |
| Staples Inc 12.75% 1/15/2030 (d) |  | 403925 | 283939 |
| Valvoline Inc 3.625% 6/15/2031 (d) |  | 250000 | 232183 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (d) |  | 1251000 | 1305369 |
| White Cap Supply Holdings LLC 7.375% 11/15/2030 (d) |  | 100000 | 101534 |
|  |  |  | 20260954 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |  |
| Kontoor Brands Inc 4.125% 11/15/2029 (d) |  | 225000 | 214393 |
| Under Armour Inc 7.25% 7/15/2030 (d) |  | 410000 | 423465 |
| Wolverine World Wide Inc 4% 8/15/2029 (d) |  | 845000 | 798479 |
|  |  |  | 1436337 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 99152328 |
| Consumer Staples - 0.8% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Primo Water Holdings Inc / Triton Water Holdings Inc 6.25% 4/1/2029 (d) |  | 415000 | 414925 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (d) |  | 100000 | 100673 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (d)(o) |  | 1420000 | 1412939 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.25% 3/15/2033 (d)(o) |  | 245000 | 252639 |
| Albertsons Cos Inc 5.625% 3/31/2032 (d) |  | 1090000 | 1094291 |
| C&S Group Enterprises LLC 5% 12/15/2028 (d) |  | 295000 | 278887 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (d) |  | 492000 | 516250 |
| Performance Food Group Inc 5.625% 3/1/2034 (d) |  | 325000 | 326087 |
| Performance Food Group Inc 6.125% 9/15/2032 (d)(o) |  | 663000 | 680568 |
| US Foods Inc 5.75% 4/15/2033 (d)(o) |  | 155000 | 158104 |
| US Foods Inc 6.875% 9/15/2028 (d) |  | 95000 | 97949 |
| US Foods Inc 7.25% 1/15/2032 (d)(o) |  | 200000 | 209461 |
|  |  |  | 5127848 |
| Food Products - 0.5% |  |  |  |
| B&G Foods Inc 5.25% 9/15/2027  |  | 765000 | 742014 |
| B&G Foods Inc 8% 9/15/2028 (d) |  | 275000 | 266772 |
| Chobani Holdco II LLC 9.5% 10/1/2029 pay-in-kind (d)(g) |  | 1043858 | 1116041 |
| Chobani LLC / Chobani Finance Corp Inc 7.625% 7/1/2029 (d) |  | 610000 | 634531 |
| Darling Ingredients Inc 6% 6/15/2030 (d) |  | 895000 | 906420 |
| Lamb Weston Holdings Inc 4.125% 1/31/2030 (d) |  | 945000 | 916014 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (d) |  | 385000 | 367528 |
| Post Holdings Inc 4.5% 9/15/2031 (d) |  | 275000 | 263097 |
| Post Holdings Inc 4.625% 4/15/2030 (d)(o) |  | 459000 | 449292 |
| Post Holdings Inc 6.25% 10/15/2034 (d)(o) |  | 300000 | 306399 |
| Post Holdings Inc 6.25% 2/15/2032 (d)(o) |  | 600000 | 617218 |
| Post Holdings Inc 6.375% 3/1/2033 (d)(o) |  | 720000 | 732875 |
| Post Holdings Inc 6.5% 3/15/2036 (d) |  | 405000 | 412001 |
|  |  |  | 7730202 |
| Household Products - 0.0% |  |  |  |
| Energizer Holdings Inc 4.75% 6/15/2028 (d) |  | 209000 | 207001 |
| Energizer Holdings Inc 6% 9/15/2033 (d) |  | 325000 | 317293 |
| Resideo Funding Inc 6.5% 7/15/2032 (d) |  | 72000 | 73506 |
|  |  |  | 597800 |
| TOTAL CONSUMER STAPLES |  |  | 13870775 |
| Energy - 4.5% |  |  |  |
| Energy Equipment & Services - 0.6% |  |  |  |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (d) |  | 645000 | 653052 |
| Diamond Foreign Asset Co / Diamond Finance LLC 8.5% 10/1/2030 (d) |  | 160000 | 170076 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (d) |  | 275000 | 283586 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (d) |  | 270000 | 282121 |
| Nabors Industries Inc 7.625% 11/15/2032 (d) |  | 220000 | 226640 |
| Nabors Industries Inc 8.875% 8/15/2031 (d) |  | 425000 | 440292 |
| Nabors Industries Inc 9.125% 1/31/2030 (d) |  | 540000 | 567826 |
| Noble Finance II LLC 8% 4/15/2030 (d) |  | 315000 | 327858 |
| SESI LLC 7.875% 9/30/2030 (d) |  | 110000 | 112314 |
| Star Holding LLC 8.75% 8/1/2031 (d) |  | 165000 | 166215 |
| Tidewater Inc 9.125% 7/15/2030 (d) |  | 125000 | 135225 |
| Transocean Aquila Ltd 8% 9/30/2028 (d) |  | 25308 | 25965 |
| Transocean International Ltd 6.8% 3/15/2038  |  | 190000 | 184094 |
| Transocean International Ltd 7.875% 10/15/2032 (d) |  | 555000 | 595916 |
| Transocean International Ltd 8.25% 5/15/2029 (d) |  | 1305000 | 1358727 |
| Transocean International Ltd 8.5% 5/15/2031 (d) |  | 970000 | 1025809 |
| Transocean International Ltd 8.75% 2/15/2030 (d) |  | 1904000 | 1992061 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (d) |  | 255000 | 259323 |
| Valaris Ltd 8.375% 4/30/2030 (d) |  | 725000 | 760317 |
| WBI Operating LLC 6.25% 10/15/2030 (d) |  | 545000 | 555486 |
| WBI Operating LLC 6.5% 10/15/2033 (d)(o) |  | 545000 | 553856 |
| Weatherford International Ltd 6.75% 10/15/2033 (d) |  | 185000 | 193418 |
|  |  |  | 10870177 |
| Oil, Gas & Consumable Fuels - 3.9% |  |  |  |
| Aethon United BR LP / Aethon United Finance Corp 7.5% 10/1/2029 (d) |  | 1117000 | 1175075 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.375% 6/15/2029 (d) |  | 321000 | 321064 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 1/15/2028 (d) |  | 465000 | 464832 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (d) |  | 135000 | 137045 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 7/1/2034 (d) |  | 500000 | 507816 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 6.625% 2/1/2032 (d) |  | 140000 | 145516 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 10/15/2032 (d) |  | 210000 | 218168 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 7/15/2033 (d) |  | 475000 | 492901 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 9% 11/1/2027 (d) |  | 365000 | 437544 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 7% 7/15/2029 (d) |  | 50000 | 52095 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 7.25% 7/15/2032 (d) |  | 45000 | 47597 |
| California Resources Corp 7% 1/15/2034 (d) |  | 25000 | 25457 |
| California Resources Corp 8.25% 6/15/2029 (d) |  | 819000 | 859794 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 2/15/2031 (d) |  | 245000 | 261006 |
| Calumet Specialty Products Partners LP / Calumet Finance Corp 9.75% 7/15/2028 (d) |  | 612000 | 635990 |
| CITGO Petroleum Corp 8.375% 1/15/2029 (d) |  | 132000 | 136880 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (d) |  | 110000 | 107279 |
| CNX Resources Corp 5.875% 3/1/2034 (d) |  | 380000 | 380695 |
| CNX Resources Corp 7.25% 3/1/2032 (d)(o) |  | 635000 | 665858 |
| CNX Resources Corp 7.375% 1/15/2031 (d)(o) |  | 130000 | 134828 |
| Comstock Resources Inc 5.875% 1/15/2030 (d) |  | 1495000 | 1440797 |
| Comstock Resources Inc 6.75% 3/1/2029 (d) |  | 1990000 | 1982307 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (d) |  | 650000 | 701191 |
| Crescent Energy Finance LLC 7.375% 1/15/2033 (d) |  | 2531000 | 2514460 |
| Crescent Energy Finance LLC 7.625% 4/1/2032 (d) |  | 1360000 | 1375520 |
| Crescent Energy Finance LLC 7.875% 4/15/2032 (d) |  | 180000 | 183372 |
| Crescent Energy Finance LLC 8.375% 1/15/2034 (d) |  | 145000 | 149879 |
| Crescent Energy Finance LLC 9.25% 2/15/2028 (d) |  | 671000 | 690507 |
| Crescent Energy Finance LLC 9.75% 10/15/2030 (d) |  | 50000 | 53812 |
| CVR Energy Inc 7.5% 2/15/2031 (d) |  | 310000 | 308950 |
| CVR Energy Inc 7.875% 2/15/2034 (d) |  | 140000 | 137201 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (d) |  | 255000 | 263007 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.125% 6/1/2028 (d) |  | 685000 | 688357 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (d) |  | 50000 | 51714 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (d) |  | 305000 | 318468 |
| Energy Transfer LP 6.5% 2/15/2056 (g) |  | 281000 | 283933 |
| Energy Transfer LP 6.75% 2/15/2056 (g) |  | 26000 | 26575 |
| Energy Transfer LP 7.375% 2/1/2031 (d) |  | 95000 | 98612 |
| Expand Energy Corp 5.375% 3/15/2030  |  | 195000 | 197961 |
| Expand Energy Corp 5.875% 2/1/2029 (d) |  | 40000 | 40020 |
| Expand Energy Corp 6.75% 4/15/2029 (d) |  | 40000 | 40116 |
| Genesis Energy LP / Genesis Energy Finance Corp 6.75% 3/15/2034 (p) |  | 140000 | 141614 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 500000 | 528638 |
| Global Partners LP / GLP Finance Corp 6.875% 1/15/2029  |  | 278000 | 280734 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (d) |  | 210000 | 217279 |
| Global Partners LP / GLP Finance Corp 8.25% 1/15/2032 (d)(o) |  | 505000 | 533522 |
| Gulfport Energy Operating Corp 6.75% 9/1/2029 (d) |  | 580000 | 600627 |
| Harvest Midstream I LP 7.5% 5/15/2032 (d) |  | 115000 | 119368 |
| Harvest Midstream I LP 7.5% 9/1/2028 (d) |  | 710000 | 717912 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (d) |  | 120000 | 120905 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (d) |  | 305000 | 310060 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (d) |  | 90000 | 93128 |
| Hilcorp Energy I LP / Hilcorp Finance Co 5.75% 2/1/2029 (d) |  | 305000 | 305740 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 2/1/2031 (d) |  | 1010000 | 983808 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6.25% 11/1/2028 (d) |  | 700000 | 705013 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6.25% 4/15/2032 (d) |  | 625000 | 608188 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6.875% 5/15/2034 (d) |  | 125000 | 122379 |
| Hilcorp Energy I LP / Hilcorp Finance Co 7.25% 2/15/2035 (d) |  | 1725000 | 1708496 |
| Hilcorp Energy I LP / Hilcorp Finance Co 8.375% 11/1/2033 (d) |  | 1540000 | 1624985 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (d) |  | 305000 | 315211 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (d) |  | 120000 | 126638 |
| Kinetik Holdings LP 5.875% 6/15/2030 (d) |  | 1580000 | 1597791 |
| Kinetik Holdings LP 6.625% 12/15/2028 (d) |  | 340000 | 350513 |
| Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp 6.875% 12/1/2032 (d) |  | 640000 | 668965 |
| Matador Resources Co 6% 4/15/2034 (d) |  | 837000 | 835990 |
| Matador Resources Co 6.5% 4/15/2032 (d) |  | 690000 | 704670 |
| Moss Creek Resources Holdings Inc 8.25% 9/1/2031 (d) |  | 415000 | 408960 |
| NGL Energy Operating LLC / NGL Energy Finance Corp 8.125% 2/15/2029 (d) |  | 545000 | 564820 |
| NGL Energy Operating LLC / NGL Energy Finance Corp 8.375% 2/15/2032 (d) |  | 1575000 | 1652021 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (d) |  | 800000 | 802773 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (d) |  | 280000 | 297186 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (d) |  | 825000 | 854272 |
| Permian Resources Operating LLC 7% 1/15/2032 (d) |  | 640000 | 670400 |
| Permian Resources Operating LLC 8% 4/15/2027 (d) |  | 100000 | 100616 |
| Permian Resources Operating LLC 9.875% 7/15/2031 (d) |  | 442000 | 472914 |
| Prairie Acquiror LP 9% 8/1/2029 (d) |  | 125000 | 130436 |
| Range Resources Corp 4.75% 2/15/2030 (d) |  | 435000 | 430653 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (d) |  | 280000 | 275586 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (d)(o) |  | 560000 | 589917 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (d)(o) |  | 355000 | 365629 |
| Rockies Express Pipeline LLC 7.5% 7/15/2038 (d) |  | 200000 | 217886 |
| SM Energy Co 6.75% 8/1/2029 (d) |  | 120000 | 122695 |
| SM Energy Co 8.375% 7/1/2028 (d) |  | 670000 | 692488 |
| SM Energy Co 8.625% 11/1/2030 (d) |  | 1260000 | 1333518 |
| SM Energy Co 8.75% 7/1/2031 (d) |  | 565000 | 593182 |
| SM Energy Co 9.625% 6/15/2033 (d) |  | 890000 | 984105 |
| Sunoco LP / Sunoco Finance Corp 4.5% 4/30/2030  |  | 200000 | 195745 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 595000 | 586246 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 195000 | 195074 |
| Sunoco LP 4.5% 10/1/2029 (d) |  | 430000 | 422477 |
| Sunoco LP 4.625% 5/1/2030 (d) |  | 1350000 | 1320906 |
| Sunoco LP 5.375% 7/15/2031 (d)(p) |  | 450000 | 451051 |
| Sunoco LP 5.625% 3/15/2031 (d) |  | 235000 | 237020 |
| Sunoco LP 5.625% 7/15/2034 (d)(p) |  | 425000 | 424934 |
| Sunoco LP 5.875% 3/15/2034 (d) |  | 250000 | 250999 |
| Sunoco LP 6.25% 7/1/2033 (d)(o) |  | 495000 | 509813 |
| Sunoco LP 6.625% 8/15/2032 (d)(o) |  | 185000 | 191493 |
| Sunoco LP 7% 5/1/2029 (d) |  | 635000 | 658572 |
| Sunoco LP 7.25% 5/1/2032 (d) |  | 1374000 | 1451746 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (d)(o) |  | 253000 | 252753 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (d) |  | 1750000 | 1773452 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (d) |  | 2965000 | 2996521 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (d) |  | 355000 | 364835 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 7.375% 2/15/2029 (d) |  | 1045000 | 1083367 |
| Talos Production Inc 9% 2/1/2029 (d)(o) |  | 95000 | 98938 |
| Talos Production Inc 9.375% 2/1/2031 (d)(o) |  | 100000 | 106401 |
| Venture Global Calcasieu Pass LLC 4.125% 8/15/2031 (d) |  | 350000 | 328272 |
| Venture Global Calcasieu Pass LLC 6.25% 1/15/2030 (d) |  | 305000 | 314951 |
| Venture Global LNG Inc 7% 1/15/2030 (d) |  | 60000 | 60861 |
| Venture Global LNG Inc 8.125% 6/1/2028 (d) |  | 45000 | 46174 |
| Venture Global LNG Inc 8.375% 6/1/2031 (d) |  | 328000 | 335884 |
| Venture Global LNG Inc 9.5% 2/1/2029 (d) |  | 840000 | 900945 |
| Venture Global LNG Inc 9.875% 2/1/2032 (d) |  | 750000 | 794579 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (d) |  | 654000 | 679380 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (d) |  | 1845000 | 1941714 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (d)(o) |  | 329000 | 345437 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (d) |  | 1535000 | 1635100 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (d) |  | 720000 | 798717 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (d)(o) |  | 1265000 | 1434797 |
|  |  |  | 67825584 |
| TOTAL ENERGY |  |  | 78695761 |
| Financials - 4.7% |  |  |  |
| Banks - 0.1% |  |  |  |
| HAT Holdings I LLC / HAT Holdings II LLC 8% 6/15/2027 (d) |  | 588000 | 611589 |
| Western Alliance Bancorp 3% 6/15/2031 (g)(o) |  | 564000 | 556882 |
|  |  |  | 1168471 |
| Capital Markets - 0.5% |  |  |  |
| Broadstreet Partners Group LLC 5.875% 4/15/2029 (d) |  | 400000 | 387399 |
| Focus Financial Partners LLC 6.75% 9/15/2031 (d) |  | 504000 | 501348 |
| Hightower Holding LLC 6.75% 4/15/2029 (d) |  | 100000 | 99152 |
| Hightower Holding LLC 9.125% 1/31/2030 (d) |  | 350000 | 362001 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (d) |  | 1955000 | 1966673 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (d) |  | 2380000 | 2442319 |
| Jane Street Group / JSG Finance Inc 7.125% 4/30/2031 (d) |  | 1677000 | 1744736 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (d)(o) |  | 440000 | 418359 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (d)(o) |  | 610000 | 593982 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (d)(o) |  | 127000 | 132184 |
|  |  |  | 8648153 |
| Consumer Finance - 1.1% |  |  |  |
| Ally Financial Inc 6.646% 1/17/2040 (g) |  | 386000 | 385095 |
| Ally Financial Inc 6.7% 2/14/2033 (o) |  | 708000 | 738292 |
| Bread Financial Holdings Inc 6.75% 5/15/2031 (d) |  | 90000 | 91695 |
| Bread Financial Holdings Inc 8.375% 6/15/2035 (d)(g) |  | 100000 | 101940 |
| Cobra AcquisitionCo LLC 12.25% 11/1/2029 (d) |  | 495000 | 499950 |
| Cobra AcquisitionCo LLC 6.375% 11/1/2029 (d) |  | 745000 | 644474 |
| Encore Capital Group Inc 6.625% 4/15/2031 (d) |  | 275000 | 278781 |
| Encore Capital Group Inc 8.5% 5/15/2030 (d)(o) |  | 530000 | 566991 |
| Ford Motor Credit Co LLC 2.7% 8/10/2026  |  | 475000 | 471738 |
| Ford Motor Credit Co LLC 5.8% 3/8/2029  |  | 400000 | 412049 |
| LFS Topco LLC 8.75% 7/15/2030 (d)(o) |  | 534000 | 516626 |
| Navient Corp 11.5% 3/15/2031  |  | 1160000 | 1226509 |
| Navient Corp 4.875% 3/15/2028  |  | 290000 | 277133 |
| Navient Corp 5% 3/15/2027  |  | 615000 | 605693 |
| Navient Corp 5.5% 3/15/2029 (o) |  | 130000 | 121428 |
| Navient Corp 5.625% 8/1/2033 (o) |  | 1688000 | 1386587 |
| Navient Corp 6.75% 6/15/2026  |  | 425000 | 425863 |
| Navient Corp 7.875% 6/15/2032 (o) |  | 1030000 | 961215 |
| Navient Corp 9.375% 7/25/2030  |  | 1805000 | 1838609 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 1100000 | 1064266 |
| OneMain Finance Corp 4% 9/15/2030  |  | 125000 | 115397 |
| OneMain Finance Corp 5.375% 11/15/2029  |  | 125000 | 123582 |
| OneMain Finance Corp 6.125% 5/15/2030 (o) |  | 690000 | 692710 |
| OneMain Finance Corp 6.5% 3/15/2033  |  | 135000 | 133770 |
| OneMain Finance Corp 6.625% 1/15/2028  |  | 71000 | 72466 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 290000 | 296054 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 475000 | 478687 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 893000 | 886314 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 520000 | 531675 |
| OneMain Finance Corp 7.125% 9/15/2032 (o) |  | 360000 | 368157 |
| OneMain Finance Corp 7.5% 5/15/2031  |  | 1125000 | 1163073 |
| PRA Group Inc 5% 10/1/2029 (d) |  | 225000 | 207688 |
| PRA Group Inc 8.875% 1/31/2030 (d) |  | 372000 | 378510 |
| PROG Holdings Inc 6% 11/15/2029 (d) |  | 990000 | 972002 |
| SLM Corp 6.5% 1/31/2030  |  | 220000 | 223409 |
|  |  |  | 19258428 |
| Financial Services - 1.6% |  |  |  |
| Azorra Finance Ltd 6.25% 2/15/2034 (d) |  | 125000 | 122919 |
| Azorra Finance Ltd 7.25% 1/15/2031 (d) |  | 150000 | 156368 |
| Azorra Finance Ltd 7.75% 4/15/2030 (d) |  | 185000 | 194338 |
| Block Inc 3.5% 6/1/2031  |  | 720000 | 676075 |
| Block Inc 5.625% 8/15/2030 (d) |  | 470000 | 476162 |
| Block Inc 6% 8/15/2033 (d) |  | 335000 | 340422 |
| Block Inc 6.5% 5/15/2032 (o) |  | 646000 | 664578 |
| Burford Capital Global Finance LLC 7.5% 7/15/2033 (d) |  | 240000 | 224477 |
| Clue Opco LLC 9.5% 10/15/2031 (d)(o) |  | 1045000 | 1082150 |
| Freedom Funding Center LLC 12% 10/1/2037 pay-in-kind (d)(g) |  | 243000 | 253328 |
| Freedom Mortgage Corp 12.25% 10/1/2030 (d) |  | 275000 | 299084 |
| Freedom Mortgage Corp 6.625% 1/15/2027 (d) |  | 535000 | 534405 |
| Freedom Mortgage Holdings LLC 6.875% 5/1/2031 (d) |  | 450000 | 434024 |
| Freedom Mortgage Holdings LLC 9.125% 5/15/2031 (d) |  | 125000 | 129390 |
| Freedom Mortgage Holdings LLC 9.25% 2/1/2029 (d) |  | 185000 | 193229 |
| HA Sustainable Infrastructure Capital Inc 6% 3/15/2036 (p) |  | 282000 | 280298 |
| HA Sustainable Infrastructure Capital Inc 6.375% 7/1/2034  |  | 1155000 | 1194356 |
| HA Sustainable Infrastructure Capital Inc 7.125% 11/15/2056 (g) |  | 516000 | 515858 |
| HA Sustainable Infrastructure Capital Inc 8% 6/1/2056 (g) |  | 1113000 | 1172612 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (d) |  | 198000 | 195030 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 4.375% 2/1/2029  |  | 1210000 | 1030445 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 240000 | 236393 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 55000 | 52317 |
| ION Platform Finance US Inc 7.875% 9/30/2032 (d) |  | 105000 | 84022 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (d) |  | 130000 | 136200 |
| LD Holdings Group LLC 6.125% 4/1/2028 (d) |  | 75000 | 66757 |
| Midcap Financial Issuer Trust 5.625% 1/15/2030 (d) |  | 775000 | 752970 |
| Midcap Financial Issuer Trust 6.5% 5/1/2028 (d) |  | 1580000 | 1568264 |
| MPH Acquisition Holdings LLC 11.5% 12/31/2030 pay-in-kind (d)(g) |  | 270479 | 240726 |
| MPH Acquisition Holdings LLC 5.75% 12/31/2030 (d) |  | 625506 | 458565 |
| NCR Atleos Corp 9.5% 4/1/2029 (d) |  | 602000 | 646489 |
| NFE Financing LLC 12% (d)(k) |  | 1342820 | 485429 |
| P&L Development LLC / PLD Finance Corp 12% 5/15/2029 pay-in-kind (d)(g) |  | 56256 | 56266 |
| PennyMac Financial Services Inc 4.25% 2/15/2029 (d) |  | 640000 | 615271 |
| PennyMac Financial Services Inc 5.75% 9/15/2031 (d) |  | 150000 | 145628 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (d) |  | 125000 | 123582 |
| PennyMac Financial Services Inc 6.875% 2/15/2033 (d) |  | 501000 | 501555 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (d) |  | 665000 | 668804 |
| PennyMac Financial Services Inc 7.125% 11/15/2030 (d) |  | 975000 | 1002324 |
| PennyMac Financial Services Inc 7.875% 12/15/2029 (d) |  | 852000 | 894544 |
| Rocket Cos Inc 6.125% 8/1/2030 (d) |  | 1390000 | 1426076 |
| Rocket Cos Inc 6.375% 8/1/2033 (d) |  | 940000 | 971509 |
| Rocket Cos Inc 6.5% 8/1/2029 (d) |  | 125000 | 128421 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 2.875% 10/15/2026 (d) |  | 425000 | 419789 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.625% 3/1/2029 (d) |  | 150000 | 144521 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.875% 3/1/2031 (d) |  | 575000 | 540394 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 4% 10/15/2033 (d) |  | 675000 | 621174 |
| Scientific Games Holdings LP/Scientific Games US FinCo Inc 6.625% 3/1/2030 (d) |  | 655000 | 593588 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 5.5% 5/15/2033 (d) | EUR | 620000 | 725125 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (d) |  | 680000 | 665586 |
| United Wholesale Mortgage LLC 5.5% 4/15/2029 (d) |  | 435000 | 426619 |
| United Wholesale Mortgage LLC 5.75% 6/15/2027 (d) |  | 75000 | 74674 |
| UWM Holdings LLC 6.25% 3/15/2031 (d) |  | 720000 | 695644 |
| UWM Holdings LLC 6.625% 2/1/2030 (d) |  | 730000 | 724483 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (d)(o) |  | 160000 | 158146 |
| WEX Inc 6.5% 3/15/2033 (d) |  | 279000 | 280405 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (d) |  | 1067000 | 1123375 |
|  |  |  | 28625183 |
| Insurance - 1.2% |  |  |  |
| Acrisure LLC / Acrisure Finance Inc 4.25% 2/15/2029 (d) |  | 100000 | 95147 |
| Acrisure LLC / Acrisure Finance Inc 7.5% 11/6/2030 (d) |  | 1155000 | 1175393 |
| Acrisure LLC / Acrisure Finance Inc 8.25% 2/1/2029 (d) |  | 1523000 | 1523375 |
| Acrisure LLC / Acrisure Finance Inc 8.5% 6/15/2029 (d) |  | 1240000 | 1237152 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7% 1/15/2031 (d) |  | 2850000 | 2901728 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.375% 10/1/2032 (d) |  | 2520000 | 2491716 |
| AmWINS Group Inc 4.875% 6/30/2029 (d) |  | 475000 | 461171 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (d) |  | 400000 | 387528 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (d) |  | 2870000 | 3014384 |
| Asurion LLC and Asurion Co-Issuer Inc 8.375% 2/1/2034 (d) |  | 2432000 | 2420245 |
| HUB International Ltd 5.625% 12/1/2029 (d) |  | 150000 | 147670 |
| HUB International Ltd 7.25% 6/15/2030 (d) |  | 1895000 | 1954606 |
| HUB International Ltd 7.375% 1/31/2032 (d) |  | 1350000 | 1374063 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (d) |  | 1175000 | 1195382 |
| Ryan Specialty LLC 4.375% 2/1/2030 (d) |  | 260000 | 252910 |
| Ryan Specialty LLC 5.875% 8/1/2032 (d) |  | 100000 | 100755 |
| USI Inc/NY 7.5% 1/15/2032 (d) |  | 555000 | 569314 |
|  |  |  | 21302539 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.2% |  |  |  |
| Apollo Commercial Real Estate Finance Inc 4.625% 6/15/2029 (d) |  | 890000 | 885531 |
| EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM 7.375% 9/30/2030 (d) |  | 255000 | 257536 |
| Rithm Capital Corp 8% 4/1/2029 (d) |  | 130000 | 130825 |
| Rithm Capital Corp 8% 7/15/2030 (d) |  | 480000 | 482213 |
| Starwood Property Trust Inc 3.625% 7/15/2026 (d) |  | 190000 | 188846 |
| Starwood Property Trust Inc 4.375% 1/15/2027 (d) |  | 225000 | 223106 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (d) |  | 210000 | 211010 |
| Starwood Property Trust Inc 5.75% 1/15/2031 (d) |  | 200000 | 202090 |
| Starwood Property Trust Inc 6% 4/15/2030 (d) |  | 180000 | 184170 |
| Starwood Property Trust Inc 6.5% 10/15/2030 (d)(o) |  | 465000 | 484603 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (d) |  | 645000 | 670816 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (d) |  | 410000 | 429621 |
|  |  |  | 4350367 |
| TOTAL FINANCIALS |  |  | 83353141 |
| Health Care - 3.2% |  |  |  |
| Biotechnology - 0.1% |  |  |  |
| BioMarin Pharmaceutical Inc5.5% 2/15/2034 (d)(o) |  | 480000 | 484219 |
| Emergent BioSolutions Inc 3.875% 8/15/2028 (d) |  | 572000 | 500142 |
|  |  |  | 984361 |
| Health Care Equipment & Supplies - 0.4% |  |  |  |
| AdaptHealth LLC 4.625% 8/1/2029 (d) |  | 1088000 | 1043920 |
| AdaptHealth LLC 5.125% 3/1/2030 (d)(o) |  | 534000 | 514545 |
| Bausch + Lomb Corp 8.375% 10/1/2028 (d) |  | 615000 | 637294 |
| Medline Borrower LP 5.25% 10/1/2029 (d) |  | 1010000 | 1009920 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (d) |  | 3035000 | 3132035 |
| Sotera Health Holdings LLC 7.375% 6/1/2031 (d) |  | 119000 | 125214 |
|  |  |  | 6462928 |
| Health Care Providers & Services - 2.1% |  |  |  |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (d)(o) |  | 565000 | 583277 |
| Accendra Health Inc 6.625% 4/1/2030 (d) |  | 685000 | 329580 |
| AMN Healthcare Inc 4% 4/15/2029 (d) |  | 575000 | 547634 |
| AMN Healthcare Inc 6.5% 1/15/2031 (d) |  | 75000 | 75306 |
| CHS/Community Health Systems Inc 10.875% 1/15/2032 (d) |  | 1197000 | 1297220 |
| CHS/Community Health Systems Inc 4.75% 2/15/2031 (d) |  | 1230000 | 1128514 |
| CHS/Community Health Systems Inc 5.25% 5/15/2030 (d) |  | 1690000 | 1623806 |
| CHS/Community Health Systems Inc 6% 1/15/2029 (d) |  | 125000 | 124523 |
| CHS/Community Health Systems Inc 6.125% 4/1/2030 (d) |  | 1145000 | 1012307 |
| CHS/Community Health Systems Inc 9.75% 1/15/2034 (d) |  | 775000 | 816710 |
| Concentra Health Services Inc 6.875% 7/15/2032 (d) |  | 360000 | 375891 |
| CVS Health Corp 6.75% 12/10/2054 (g)(o) |  | 206000 | 214276 |
| CVS Health Corp 7% 3/10/2055 (g)(o) |  | 2731000 | 2872537 |
| DaVita Inc 3.75% 2/15/2031 (d) |  | 2475000 | 2312870 |
| DaVita Inc 4.625% 6/1/2030 (d) |  | 1245000 | 1218763 |
| DaVita Inc 6.75% 7/15/2033 (d) |  | 460000 | 477610 |
| DaVita Inc 6.875% 9/1/2032 (d) |  | 1140000 | 1184558 |
| Global Medical Response Inc 7.375% 10/1/2032 (d) |  | 125000 | 130859 |
| LifePoint Health Inc 10% 6/1/2032 (d) |  | 1827000 | 1905568 |
| LifePoint Health Inc 11% 10/15/2030 (d) |  | 2200000 | 2389469 |
| LifePoint Health Inc 5.375% 1/15/2029 (d) |  | 1500000 | 1465945 |
| LifePoint Health Inc 8.375% 2/15/2032 (d) |  | 225000 | 243593 |
| LifePoint Health Inc 9.875% 8/15/2030 (d) |  | 945000 | 1008284 |
| Molina Healthcare Inc 6.25% 1/15/2033 (d) |  | 903000 | 888296 |
| Molina Healthcare Inc 6.5% 2/15/2031 (d) |  | 1105000 | 1108530 |
| National Mentor Holdings Inc 10.5% 12/15/2030 (d) |  | 435000 | 433396 |
| Pediatrix Medical Group Inc 5.375% 2/15/2030 (d) |  | 225000 | 223545 |
| Prime Healthcare Services Inc 9.375% 9/1/2029 (d) |  | 575000 | 600606 |
| Radiology Partners Inc 8.5% 7/15/2032 (d) |  | 130000 | 133858 |
| Radiology Partners Inc 9.781% 2/15/2030 pay-in-kind (d)(g) |  | 23079 | 21579 |
| Star Parent Inc 9% 10/1/2030 (d) |  | 328000 | 332909 |
| Surgery Center Holdings Inc 7.25% 4/15/2032 (d) |  | 240000 | 239709 |
| TEAM Services Holding Inc 9% 2/15/2033 (d)(o) |  | 570000 | 557551 |
| Tenet Healthcare Corp 4.25% 6/1/2029  |  | 1500000 | 1476011 |
| Tenet Healthcare Corp 4.375% 1/15/2030  |  | 2010000 | 1973374 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (d) |  | 255000 | 258170 |
| Tenet Healthcare Corp 6% 11/15/2033 (d)(o) |  | 690000 | 713067 |
| Tenet Healthcare Corp 6.125% 10/1/2028 (o) |  | 919000 | 921121 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 1975000 | 2014408 |
| Tenet Healthcare Corp 6.75% 5/15/2031  |  | 540000 | 560668 |
| Tenet Healthcare Corp 6.875% 11/15/2031  |  | 1175000 | 1284804 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (d) |  | 698000 | 698218 |
|  |  |  | 37778920 |
| Health Care Technology - 0.2% |  |  |  |
| AthenaHealth Group Inc 6.5% 2/15/2030 (d) |  | 1575000 | 1480917 |
| IQVIA Inc 6.25% 6/1/2032 (d) |  | 1590000 | 1635596 |
| IQVIA Inc 6.5% 5/15/2030 (d)(o) |  | 185000 | 190219 |
|  |  |  | 3306732 |
| Pharmaceuticals - 0.4% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (d) |  | 3653000 | 3777687 |
| Amneal Pharmaceuticals LLC 6.875% 8/1/2032 (d) |  | 260000 | 273346 |
| Bausch Health Americas Inc 8.5% 1/31/2027 (d) |  | 165000 | 163515 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (d) |  | 185000 | 181608 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (d)(o) |  | 2325000 | 2066008 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 6.75% 5/15/2034 (d) |  | 225000 | 218250 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 7.875% 5/15/2034 (d) |  | 580000 | 540538 |
| Perrigo Finance Unlimited Co 6.125% 9/30/2032  |  | 310000 | 303327 |
|  |  |  | 7524279 |
| TOTAL HEALTH CARE |  |  | 56057220 |
| Industrials - 4.5% |  |  |  |
| Aerospace & Defense - 1.0% |  |  |  |
| ATI Inc 5.125% 10/1/2031  |  | 245000 | 246164 |
| ATI Inc 7.25% 8/15/2030  |  | 424000 | 444128 |
| Axon Enterprise Inc 6.125% 3/15/2030 (d)(o) |  | 770000 | 793582 |
| Axon Enterprise Inc 6.25% 3/15/2033 (d) |  | 645000 | 668555 |
| Carpenter Technology Corp 5.625% 3/1/2034 (d) |  | 360000 | 367084 |
| OneSky Flight LLC 8.875% 12/15/2029 (d)(o) |  | 215000 | 228819 |
| TransDigm Inc 4.625% 1/15/2029  |  | 175000 | 174479 |
| TransDigm Inc 6% 1/15/2033 (d) |  | 1165000 | 1185608 |
| TransDigm Inc 6.125% 7/31/2034 (d) |  | 1525000 | 1548997 |
| TransDigm Inc 6.25% 1/31/2034 (d) |  | 415000 | 429317 |
| TransDigm Inc 6.375% 3/1/2029 (d) |  | 600000 | 615750 |
| TransDigm Inc 6.375% 5/31/2033 (d) |  | 1940000 | 1980028 |
| TransDigm Inc 6.625% 3/1/2032 (d) |  | 1730000 | 1792266 |
| TransDigm Inc 6.75% 1/31/2034 (d) |  | 1505000 | 1561861 |
| TransDigm Inc 6.75% 8/15/2028 (d) |  | 110000 | 111925 |
| TransDigm Inc 6.875% 12/15/2030 (d) |  | 1191000 | 1239537 |
| TransDigm Inc 7.125% 12/1/2031 (d) |  | 1554000 | 1628733 |
|  |  |  | 15016833 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (d) |  | 535000 | 558070 |
| Stonepeak Nile Parent LLC 7.25% 3/15/2032 (d) |  | 245000 | 259999 |
|  |  |  | 818069 |
| Building Products - 0.7% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (d) |  | 285000 | 287172 |
| Advanced Drainage Systems Inc 6.375% 6/15/2030 (d) |  | 820000 | 834332 |
| AmeriTex HoldCo Intermediate LLC 7.625% 8/15/2033 (d)(o) |  | 250000 | 261756 |
| Builders FirstSource Inc 4.25% 2/1/2032 (d)(o) |  | 260000 | 247967 |
| Builders FirstSource Inc 5% 3/1/2030 (d) |  | 70000 | 69482 |
| Builders FirstSource Inc 6.375% 3/1/2034 (d) |  | 534000 | 550029 |
| Builders FirstSource Inc 6.375% 6/15/2032 (d) |  | 349000 | 358594 |
| Builders FirstSource Inc 6.75% 5/15/2035 (d) |  | 834000 | 870333 |
| Camelot Return Merger Sub Inc 8.75% 8/1/2028 (d) |  | 205000 | 154777 |
| Cornerstone Building Brands Inc 6.125% 1/15/2029 (d) |  | 555000 | 276999 |
| Cornerstone Building Brands Inc 9.5% 8/15/2029 (d)(o) |  | 140000 | 101762 |
| CP Atlas Buyer Inc 9.75% 7/15/2030 (d) |  | 765000 | 765726 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (d) |  | 895000 | 926321 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.75% 7/15/2031 (d) |  | 175000 | 182474 |
| Griffon Corp 5.75% 3/1/2028  |  | 150000 | 149922 |
| JH North America Holdings Inc 6.125% 7/31/2032 (d) |  | 125000 | 128294 |
| Masterbrand Inc 7% 7/15/2032 (d)(o) |  | 25000 | 25160 |
| Miter Brands Acquisition Holdco Inc / MIWD Borrower LLC 6.75% 4/1/2032 (d)(o) |  | 1069000 | 1077874 |
| MIWD Holdco II LLC / MIWD Finance Corp 5.5% 2/1/2030 (d) |  | 140000 | 131194 |
| New Enterprise Stone & Lime Co Inc 5.25% 7/15/2028 (d) |  | 990000 | 990146 |
| Shea Homes LP / Shea Homes Funding Corp 4.75% 2/15/2028  |  | 600000 | 596906 |
| Shea Homes LP / Shea Homes Funding Corp 4.75% 4/1/2029  |  | 175000 | 172792 |
| Standard Building Solutions Inc 5.875% 3/15/2034 (d)(o) |  | 260000 | 259366 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (d) |  | 775000 | 789455 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (d) |  | 1110000 | 1142564 |
| Standard Industries Inc/NY 3.375% 1/15/2031 (d) |  | 100000 | 92305 |
| Standard Industries Inc/NY 4.375% 7/15/2030 (d) |  | 620000 | 598139 |
| Standard Industries Inc/NY 4.75% 1/15/2028 (d) |  | 125000 | 124610 |
|  |  |  | 12166451 |
| Commercial Services & Supplies - 1.3% |  |  |  |
| ACCO Brands Corp 4.25% 3/15/2029 (d) |  | 785000 | 722172 |
| ADT Security Corp/The 5.875% 10/15/2033 (d)(o) |  | 255000 | 259173 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6% 6/1/2029 (d) |  | 1255000 | 1241733 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (d)(o) |  | 1205000 | 1254227 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (d) |  | 2047000 | 2162673 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (d) |  | 585000 | 580632 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (d) |  | 490000 | 485347 |
| Artera Services LLC 8.5% 2/15/2031 (d) |  | 1640000 | 1370987 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (d) |  | 1025000 | 957217 |
| Clean Harbors Inc 5.75% 10/15/2033 (d) |  | 125000 | 127955 |
| Clean Harbors Inc 6.375% 2/1/2031 (d) |  | 95000 | 97538 |
| CoreCivic Inc 4.75% 10/15/2027  |  | 115000 | 115028 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 130000 | 135000 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 380000 | 408001 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 300000 | 312155 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (d) |  | 230000 | 230827 |
| GFL Environmental Inc 3.5% 9/1/2028 (d) |  | 90000 | 88001 |
| GFL Environmental Inc 4% 8/1/2028 (d) |  | 275000 | 270744 |
| GFL Environmental Inc 4.375% 8/15/2029 (d) |  | 455000 | 446913 |
| GFL Environmental Inc 4.75% 6/15/2029 (d) |  | 110000 | 109287 |
| GFL Environmental Inc 6.75% 1/15/2031 (d) |  | 85000 | 89152 |
| Madison IAQ LLC 4.125% 6/30/2028 (d) |  | 940000 | 927672 |
| Madison IAQ LLC 5.875% 6/30/2029 (d) |  | 965000 | 962689 |
| Neptune Bidco US Inc 10.375% 5/15/2031 (d) |  | 1940000 | 1958050 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (d) |  | 1700000 | 1704250 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (d) |  | 1295000 | 1267534 |
| OT Midco Inc 10% 2/15/2030 (d) |  | 420000 | 178319 |
| Reworld Holding Corp 4.875% 12/1/2029 (d) |  | 720000 | 693881 |
| Sabre Financial Borrower LLC 11.125% 6/15/2029 (d) |  | 535000 | 515489 |
| Veritiv Operating Co 10.5% 11/30/2030 (d) |  | 305000 | 326341 |
| VT Topco Inc 8.5% 8/15/2030 (d) |  | 220000 | 218553 |
| Waste Pro USA Inc 7% 2/1/2033 (d) |  | 190000 | 197742 |
| Williams Scotsman Inc 6.625% 4/15/2030 (d)(o) |  | 240000 | 248651 |
| Williams Scotsman Inc 6.625% 6/15/2029 (d) |  | 440000 | 454497 |
| Williams Scotsman Inc 7.375% 10/1/2031 (d) |  | 706000 | 739148 |
|  |  |  | 21857578 |
| Construction & Engineering - 0.1% |  |  |  |
| AECOM 6% 8/1/2033 (d) |  | 595000 | 607948 |
| Amsted Industries Inc 4.625% 5/15/2030 (d) |  | 415000 | 410622 |
| Amsted Industries Inc 6.375% 3/15/2033 (d) |  | 295000 | 306576 |
| Arcosa Inc 6.875% 8/15/2032 (d) |  | 265000 | 278020 |
| Maxim Crane Works Holdings Capital LLC 11.5% 9/1/2028 (d) |  | 430000 | 453745 |
| Railworks Holdings LP / Railworks Rally Inc 8.25% 11/15/2028 (d) |  | 565000 | 570605 |
|  |  |  | 2627516 |
| Electrical Equipment - 0.2% |  |  |  |
| Sensata Technologies BV 4% 4/15/2029 (d) |  | 204000 | 199677 |
| Sensata Technologies BV 5.875% 9/1/2030 (d) |  | 1255000 | 1269503 |
| WESCO Distribution Inc 5.25% 4/15/2031 (d) |  | 400000 | 399292 |
| WESCO Distribution Inc 5.5% 4/15/2034 (d) |  | 515000 | 518997 |
| WESCO Distribution Inc 6.375% 3/15/2029 (d) |  | 140000 | 143924 |
| WESCO Distribution Inc 6.375% 3/15/2033 (d)(o) |  | 285000 | 297147 |
| WESCO Distribution Inc 6.625% 3/15/2032 (d) |  | 140000 | 145638 |
| WESCO Distribution Inc 7.25% 6/15/2028 (d) |  | 215000 | 216568 |
|  |  |  | 3190746 |
| Ground Transportation - 0.2% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 4.75% 4/1/2028 (d) |  | 350000 | 341993 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.375% 3/1/2029 (d) |  | 150000 | 143612 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8% 2/15/2031 (d) |  | 200000 | 198250 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.25% 1/15/2030 (d) |  | 820000 | 827175 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8.375% 6/15/2032 (d)(o) |  | 240000 | 236007 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (d)(o) |  | 1185000 | 1221422 |
| RXO Inc 6.375% 5/15/2031 (d) |  | 50000 | 48672 |
| Watco Cos LLC / Watco Finance Corp 7.125% 8/1/2032 (d) |  | 630000 | 662888 |
| XPO Inc 6.25% 6/1/2028 (d) |  | 250000 | 254019 |
| XPO Inc 7.125% 2/1/2032 (d)(o) |  | 260000 | 272476 |
| XPO Inc 7.125% 6/1/2031 (d) |  | 90000 | 93520 |
|  |  |  | 4300034 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.75% 6/15/2029 (d) |  | 110000 | 108933 |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 7% 7/15/2031 (d) |  | 155000 | 163439 |
|  |  |  | 272372 |
| Machinery - 0.3% |  |  |  |
| Allison Transmission Inc 5.875% 12/1/2033 (d) |  | 195000 | 199138 |
| Beach Acquisition Bidco LLC 10% 7/15/2033 pay-in-kind (d)(g) |  | 490132 | 541597 |
| Chart Industries Inc 7.5% 1/1/2030 (d) |  | 325000 | 337614 |
| Chart Industries Inc 9.5% 1/1/2031 (d) |  | 220000 | 231421 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (d)(o) |  | 380000 | 390663 |
| Enpro Inc 6.125% 6/1/2033 (d) |  | 760000 | 784356 |
| Lsf12 Helix Parent LLC 7.125% 2/1/2033 (d) |  | 125000 | 125484 |
| Mueller Water Products Inc 4% 6/15/2029 (d) |  | 875000 | 850006 |
| Stevens Holding Co Inc 6.125% 10/1/2026 (d) |  | 370000 | 367873 |
| Terex Corp 5% 5/15/2029 (d) |  | 360000 | 359405 |
| Terex Corp 6.25% 10/15/2032 (d) |  | 165000 | 169928 |
| Titan International Inc 7% 4/30/2028  |  | 365000 | 366158 |
| Trinity Industries Inc 7.75% 7/15/2028 (d) |  | 190000 | 195478 |
|  |  |  | 4919121 |
| Passenger Airlines - 0.2% |  |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (d) |  | 145000 | 147780 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (d) |  | 20834 | 20862 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.75% 4/20/2029 (d) |  | 1465000 | 1481564 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (d) |  | 367000 | 372962 |
| United Airlines Holdings Inc 4.875% 3/1/2029  |  | 665000 | 669574 |
| United Airlines Holdings Inc 5.375% 3/1/2031  |  | 595000 | 605764 |
| United Airlines Inc 4.625% 4/15/2029 (d) |  | 330000 | 329751 |
|  |  |  | 3628257 |
| Professional Services - 0.0% |  |  |  |
| CACI International Inc 6.375% 6/15/2033 (d) |  | 410000 | 422092 |
| ION Platform Finance US Inc / ION Platform Finance SARL 4.625% 5/1/2028 (d) |  | 120000 | 111052 |
| ION Platform Finance US Inc / ION Platform Finance SARL 5% 5/1/2028 (d) |  | 160000 | 148211 |
|  |  |  | 681355 |
| Trading Companies & Distributors - 0.5% |  |  |  |
| Alta Equipment Group Inc 9% 6/1/2029 (d) |  | 110000 | 103863 |
| Dcli Bidco LLC 7.75% 11/15/2029 (d) |  | 260000 | 266671 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (d)(o) |  | 125000 | 131212 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (d)(o) |  | 175000 | 185173 |
| Herc Holdings Inc 5.75% 3/15/2031 (d)(o) |  | 335000 | 339597 |
| Herc Holdings Inc 6% 3/15/2034 (d) |  | 255000 | 256360 |
| Herc Holdings Inc 6.625% 6/15/2029 (d) |  | 330000 | 340724 |
| Herc Holdings Inc 7% 6/15/2030 (d)(o) |  | 1434000 | 1502713 |
| Herc Holdings Inc 7.25% 6/15/2033 (d)(o) |  | 534000 | 564474 |
| QXO Building Products Inc 6.75% 4/30/2032 (d)(o) |  | 790000 | 818216 |
| Synergy Infrastructure Holdings LLC 7.875% 12/1/2030 (d) |  | 120000 | 125001 |
| United Rentals North America Inc 3.75% 1/15/2032  |  | 150000 | 141559 |
| United Rentals North America Inc 3.875% 11/15/2027  |  | 80000 | 79534 |
| United Rentals North America Inc 3.875% 2/15/2031  |  | 1015000 | 977895 |
| United Rentals North America Inc 4% 7/15/2030  |  | 627000 | 610056 |
| United Rentals North America Inc 4.875% 1/15/2028  |  | 470000 | 469727 |
| United Rentals North America Inc 5.375% 11/15/2033 (d) |  | 875000 | 882134 |
| United Rentals North America Inc 6.125% 3/15/2034 (d) |  | 700000 | 733307 |
|  |  |  | 8528216 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Beacon Mobility Corp 7.25% 8/1/2030 (d) |  | 129000 | 135118 |
| Star Leasing Co LLC 7.625% 2/15/2030 (d) |  | 385000 | 366121 |
|  |  |  | 501239 |
| TOTAL INDUSTRIALS |  |  | 78507787 |
| Information Technology - 1.7% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |  |
| Coherent Corp 5% 12/15/2029 (d)(o) |  | 295000 | 295159 |
| Lightning Power LLC 7.25% 8/15/2032 (d) |  | 118000 | 125276 |
| Sensata Technologies Inc 3.75% 2/15/2031 (d) |  | 270000 | 254544 |
| Sensata Technologies Inc 4.375% 2/15/2030 (d) |  | 75000 | 73569 |
| Sensata Technologies Inc 6.625% 7/15/2032 (d)(o) |  | 185000 | 193656 |
| Zebra Technologies Corp 6.5% 6/1/2032 (d) |  | 120000 | 122997 |
|  |  |  | 1065201 |
| IT Services - 0.3% |  |  |  |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d) |  | 1306000 | 1283638 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (d)(o) |  | 310000 | 304307 |
| CoreWeave Inc 9% 2/1/2031 (d) |  | 1410000 | 1360462 |
| CoreWeave Inc 9.25% 6/1/2030 (d) |  | 1110000 | 1087189 |
| Fortress Intermediate 3 Inc 7.5% 6/1/2031 (d) |  | 910000 | 889674 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (d) |  | 605000 | 565993 |
| Sabre GLBL Inc 10.75% 11/15/2029 (d) |  | 71000 | 51788 |
|  |  |  | 5543051 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |  |
| Amkor Technology Inc 5.875% 10/1/2033 (d) |  | 135000 | 137759 |
| Entegris Inc 3.625% 5/1/2029 (d)(o) |  | 265000 | 254351 |
| Entegris Inc 4.375% 4/15/2028 (d) |  | 150000 | 148718 |
| Entegris Inc 4.75% 4/15/2029 (d) |  | 250000 | 250208 |
| Entegris Inc 5.95% 6/15/2030 (d)(o) |  | 3225000 | 3288645 |
| ON Semiconductor Corp 3.875% 9/1/2028 (d) |  | 10000 | 9789 |
| Qnity Electronics Inc 5.75% 8/15/2032 (d) |  | 675000 | 690638 |
| Qnity Electronics Inc 6.25% 8/15/2033 (d) |  | 295000 | 306298 |
| Wolfspeed Inc 7% 6/15/2031 pay-in-kind (g) |  | 129378 | 95858 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (d)(g) |  | 672532 | 718802 |
|  |  |  | 5901066 |
| Software - 1.0% |  |  |  |
| Clarivate Science Holdings Corp 4.875% 7/1/2029 (d) |  | 200000 | 164073 |
| Cloud Software Group Inc 8.25% 6/30/2032 (d) |  | 1080000 | 1080905 |
| Cloud Software Group Inc 9% 9/30/2029 (d) |  | 5140000 | 5033340 |
| Crowdstrike Holdings Inc 3% 2/15/2029  |  | 225000 | 213663 |
| Gen Digital Inc 6.25% 4/1/2033 (d) |  | 190000 | 189086 |
| Gen Digital Inc 6.75% 9/30/2027 (d) |  | 125000 | 125951 |
| Gen Digital Inc 7.125% 9/30/2030 (d) |  | 905000 | 919141 |
| McAfee Corp 7.375% 2/15/2030 (d) |  | 3355000 | 2745043 |
| NCR Voyix Corp 5.125% 4/15/2029 (d) |  | 533000 | 522960 |
| Oracle Corp 3.6% 4/1/2040  |  | 1666000 | 1258990 |
| Oracle Corp 4.55% 2/4/2029  |  | 140000 | 140266 |
| Oracle Corp 4.95% 2/4/2031  |  | 140000 | 139713 |
| Oracle Corp 5.35% 5/4/2033  |  | 140000 | 140472 |
| Oracle Corp 5.7% 2/4/2036  |  | 140000 | 140078 |
| Oracle Corp 6.55% 2/4/2046  |  | 195000 | 190018 |
| Oracle Corp 6.7% 2/4/2056  |  | 140000 | 135766 |
| Oracle Corp 6.85% 2/4/2066  |  | 28000 | 26824 |
| Oracle Corp U.S. SOFR Averages Index + 1.11%, 4.777% 2/4/2029 (g)(h) |  | 140000 | 139800 |
| Rackspace Finance LLC 3.5% 5/15/2028 (d) |  | 396625 | 161376 |
| SS&C Technologies Inc 5.5% 9/30/2027 (d) |  | 275000 | 274586 |
| SS&C Technologies Inc 6.5% 6/1/2032 (d) |  | 410000 | 417894 |
| UKG Inc 6.875% 2/1/2031 (d) |  | 1410000 | 1367910 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (d) |  | 1715000 | 1953234 |
|  |  |  | 17481089 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.75% 12/1/2034 (d) |  | 230000 | 235296 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (d) |  | 325000 | 334475 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (d) |  | 85000 | 89689 |
| Seagate Data Storage Technology Pte Ltd 8.5% 7/15/2031 (d) |  | 105000 | 110452 |
|  |  |  | 769912 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 30760319 |
| Materials - 3.1% |  |  |  |
| Chemicals - 1.5% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (d)(g) |  | 560274 | 484637 |
| Ashland Inc 3.375% 9/1/2031 (d) |  | 250000 | 230312 |
| Ashland Inc 6.875% 5/15/2043  |  | 275000 | 289760 |
| Avient Corp 6.25% 11/1/2031 (d) |  | 420000 | 433729 |
| Avient Corp 7.125% 8/1/2030 (d) |  | 1500000 | 1545705 |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/2031 (d) |  | 500000 | 525635 |
| Celanese US Holdings LLC 6.5% 4/15/2030 (o) |  | 185000 | 189546 |
| Celanese US Holdings LLC 6.75% 4/15/2033 (o) |  | 635000 | 651066 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (g)(o) |  | 255000 | 268825 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 750000 | 772577 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (g) |  | 420000 | 447794 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (g)(o) |  | 1925000 | 2068117 |
| Celanese US Holdings LLC 7.375% 2/15/2034 (o) |  | 820000 | 842399 |
| Chemours Co/The 4.625% 11/15/2029 (d)(o) |  | 380000 | 359940 |
| Chemours Co/The 5.75% 11/15/2028 (d)(o) |  | 545000 | 548169 |
| Chemours Co/The 7.875% 3/15/2034 (d)(p) |  | 540000 | 539326 |
| Chemours Co/The 8% 1/15/2033 (d)(o) |  | 440000 | 447500 |
| CompoSecure Holdings LLC 5.625% 2/1/2033 (d)(o) |  | 695000 | 691525 |
| CVR Partners LP / CVR Nitrogen Finance Corp 6.125% 6/15/2028 (d) |  | 1807000 | 1802191 |
| GPD Cos Inc 12.5% 12/31/2029 pay-in-kind (d) |  | 244144 | 128597 |
| GrafTech Finance Inc 4.625% 12/23/2029 (d) |  | 510000 | 247350 |
| Iris Holding Inc 10% 12/15/2028 (d) |  | 175000 | 159841 |
| Mativ Holdings Inc 8% 10/1/2029 (d) |  | 340000 | 335550 |
| Methanex US Operations Inc 6.25% 3/15/2032 (d) |  | 490000 | 507151 |
| Olin Corp 5% 2/1/2030 (o) |  | 950000 | 923846 |
| Olin Corp 6.625% 4/1/2033 (d)(o) |  | 445000 | 434530 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (d) |  | 1255000 | 1226884 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (d)(o) |  | 725000 | 713697 |
| Olympus Water US Holding Corp 7.25% 2/15/2033 (d)(o) |  | 716000 | 712755 |
| Olympus Water US Holding Corp 7.25% 6/15/2031 (d)(o) |  | 405000 | 414374 |
| Perimeter Holdings LLC 6.25% 1/15/2034 (d) |  | 490000 | 492234 |
| Scotts Miracle-Gro Co/The 4% 4/1/2031  |  | 775000 | 732730 |
| Scotts Miracle-Gro Co/The 4.375% 2/1/2032  |  | 150000 | 142550 |
| SK Invictus Intermediate II Sarl 5% 10/30/2029 (d) |  | 275000 | 270859 |
| Solstice Advanced Materials Inc 5.625% 9/30/2033 (d) |  | 395000 | 399274 |
| Tronox Inc 4.625% 3/15/2029 (d)(o) |  | 750000 | 579887 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (d) |  | 1305000 | 1250107 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (d)(o) |  | 1465000 | 1482034 |
| WR Grace Holdings LLC 7% 8/1/2033 (d) |  | 1531000 | 1558788 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (d) |  | 310000 | 318238 |
|  |  |  | 26170029 |
| Construction Materials - 0.4% |  |  |  |
| Brundage-Bone Concrete Pumping Holdings Inc 7.5% 2/1/2032 (d) |  | 80000 | 81493 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (d) |  | 3380000 | 3512828 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (d) |  | 2280000 | 2369960 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (d) |  | 645000 | 645870 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (d) |  | 300000 | 318715 |
|  |  |  | 6928866 |
| Containers & Packaging - 0.4% |  |  |  |
| Ardagh Group SA 12% 12/1/2030 pay-in-kind (d)(m) |  | 300000 | 289500 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (d) |  | 950000 | 906714 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (d) |  | 185000 | 189350 |
| Ball Corp 5.5% 9/15/2033  |  | 90000 | 92617 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (d) |  | 610000 | 614606 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (d)(o) |  | 140000 | 142146 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (d)(o) |  | 665000 | 662070 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (d) |  | 325000 | 333914 |
| Graphic Packaging International LLC 3.5% 3/15/2028 (d) |  | 250000 | 243048 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (d)(o) |  | 580000 | 548899 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (d)(o) |  | 565000 | 572336 |
| Mauser Packaging Solutions Holding Co 7.875% 4/15/2030 (d) |  | 405000 | 414619 |
| Sealed Air Corp/Sealed Air Corp US 6.125% 2/1/2028 (d) |  | 185000 | 187570 |
| Trident TPI Holdings Inc 12.75% 12/31/2028 (d) |  | 1295000 | 1328535 |
| TriMas Corp 4.125% 4/15/2029 (d) |  | 255000 | 246141 |
|  |  |  | 6772065 |
| Metals & Mining - 0.8% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (d) |  | 1150000 | 1215811 |
| Alumina Pty Ltd 6.375% 9/15/2032 (d) |  | 330000 | 342619 |
| Arsenal AIC Parent LLC 11.5% 10/1/2031 (d) |  | 1105000 | 1218623 |
| Arsenal AIC Parent LLC 8% 10/1/2030 (d) |  | 1105000 | 1167190 |
| Big Riv Stl LLC / Brs Fin Corp 6.625% 1/31/2029 (d) |  | 440000 | 442357 |
| Century Aluminum Co 6.875% 8/1/2032 (d) |  | 345000 | 356853 |
| Cleveland-Cliffs Inc 6.75% 4/15/2030 (d) |  | 330000 | 334896 |
| Cleveland-Cliffs Inc 6.875% 11/1/2029 (d) |  | 210000 | 216302 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (d) |  | 765000 | 776954 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (d)(o) |  | 835000 | 856904 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (d) |  | 1215000 | 1268153 |
| Cleveland-Cliffs Inc 7.625% 1/15/2034 (d)(o) |  | 310000 | 318144 |
| Coeur Mining Inc 5.125% 2/15/2029 (d) |  | 105000 | 104671 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 120000 | 114102 |
| Commercial Metals Co 4.125% 1/15/2030  |  | 140000 | 136849 |
| Commercial Metals Co 5.75% 11/15/2033 (d) |  | 480000 | 489737 |
| Commercial Metals Co 6% 12/15/2035 (d)(o) |  | 534000 | 546948 |
| Constellium SE 6.375% 8/15/2032 (d) |  | 565000 | 588045 |
| Hecla Mining Co 7.25% 2/15/2028  |  | 962000 | 962948 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (d) |  | 255000 | 257840 |
| Novelis Corp 3.875% 8/15/2031 (d)(o) |  | 80000 | 73112 |
| Novelis Corp 4.75% 1/30/2030 (d) |  | 1175000 | 1138698 |
| Novelis Corp 6.375% 8/15/2033 (d) |  | 115000 | 116252 |
| Novelis Corp 6.875% 1/30/2030 (d) |  | 760000 | 784531 |
| Roller Bearing Co of America Inc 4.375% 10/15/2029 (d) |  | 225000 | 221740 |
|  |  |  | 14050279 |
| Paper & Forest Products - 0.0% |  |  |  |
| LABL Inc 10.5% (d)(k) |  | 560000 | 32199 |
| LABL Inc 5.875% (d)(k) |  | 180000 | 72225 |
| LABL Inc 8.625% (d)(k) |  | 175000 | 70219 |
| LABL Inc 9.5% (d)(k) |  | 145000 | 58181 |
| Magnera Corp 7.25% 11/15/2031 (d) |  | 300000 | 293633 |
|  |  |  | 526457 |
| TOTAL MATERIALS |  |  | 54447696 |
| Real Estate - 1.2% |  |  |  |
| Diversified REITs - 0.2% |  |  |  |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC 6% 1/15/2030 (d) |  | 995000 | 940256 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 4.75% 4/15/2028 (d) |  | 555000 | 553658 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 6.5% 2/15/2029 (d) |  | 1085000 | 1055252 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (d) |  | 870000 | 882360 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (d) |  | 527000 | 534487 |
|  |  |  | 3966013 |
| Health Care REITs - 0.3% |  |  |  |
| CTR Partnership LP / CareTrust Capital Corp 3.875% 6/30/2028 (d) |  | 120000 | 117363 |
| Diversified Healthcare Trust 4.375% 3/1/2031  |  | 400000 | 361810 |
| Diversified Healthcare Trust 4.75% 2/15/2028  |  | 25000 | 24446 |
| Diversified Healthcare Trust 7.25% 10/15/2030 (d) |  | 100000 | 103989 |
| MPT Operating Partnership LP / MPT Finance Corp 0.993% 10/15/2026  | EUR | 115000 | 133173 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 1210000 | 925698 |
| MPT Operating Partnership LP / MPT Finance Corp 4.625% 8/1/2029  |  | 275000 | 237598 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 1342000 | 1315165 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (d) |  | 665000 | 711735 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 522000 | 471354 |
|  |  |  | 4402331 |
| Hotel & Resort REITs - 0.2% |  |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (d) |  | 50000 | 49112 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 5.875% 10/1/2028 (d) |  | 100000 | 99991 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (d) |  | 605000 | 626400 |
| RHP Hotel Properties LP / RHP Finance Corp 4.5% 2/15/2029 (d) |  | 340000 | 335328 |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (d)(p) |  | 675000 | 679925 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (d) |  | 495000 | 512215 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (d)(o) |  | 760000 | 789480 |
| RHP Hotel Properties LP / RHP Finance Corp 7.25% 7/15/2028 (d) |  | 100000 | 102684 |
|  |  |  | 3195135 |
| Real Estate Management & Development - 0.5% |  |  |  |
| Anywhere Real Estate Group LLC / Anywhere Co-Issuer Corp 7% 4/15/2030 (d) |  | 85200 | 86124 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.25% 4/15/2030 (d) |  | 53000 | 50132 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 5.75% 1/15/2029 (d) |  | 91000 | 89704 |
| Anywhere Real Estate Group LLC / Realogy Co-Issuer Corp 9.75% 4/15/2030 (d) |  | 100000 | 107751 |
| Brandywine Operating Partnership LP 6.125% 1/15/2031  |  | 275000 | 260954 |
| Brandywine Operating Partnership LP 8.875% 4/12/2029  |  | 50000 | 53116 |
| Cushman & Wakefield US Borrower LLC 6.75% 5/15/2028 (d) |  | 835000 | 837132 |
| Five Point Operating Co LP 8% 10/1/2030 (d) |  | 195000 | 201934 |
| Forestar Group Inc 6.5% 3/15/2033 (d)(o) |  | 1170000 | 1197847 |
| Greystar Real Estate Partners LLC 7.75% 9/1/2030 (d) |  | 50000 | 52246 |
| Howard Hughes Corp/The 4.125% 2/1/2029 (d) |  | 1005000 | 973087 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (d) |  | 1043000 | 992010 |
| Howard Hughes Corp/The 5.875% 3/1/2032 (d) |  | 905000 | 904546 |
| Howard Hughes Corp/The 6.125% 3/1/2034 (d) |  | 1252000 | 1249408 |
| Hunt Cos Inc 5.25% 4/15/2029 (d) |  | 650000 | 619978 |
| Kennedy-Wilson Inc 4.75% 2/1/2030  |  | 260000 | 252178 |
| Taylor Morrison Communities Inc 5.125% 8/1/2030 (d) |  | 263000 | 265292 |
| Taylor Morrison Communities Inc 5.75% 1/15/2028 (d) |  | 175000 | 178498 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (d) |  | 325000 | 335820 |
| Weekley Homes LLC / Weekley Finance Corp 6.75% 1/15/2034 (d) |  | 300000 | 301740 |
|  |  |  | 9009497 |
| Specialized REITs - 0.0% |  |  |  |
| Millrose Properties Inc 6.25% 9/15/2032 (d) |  | 415000 | 420205 |
| Millrose Properties Inc 6.375% 8/1/2030 (d) |  | 545000 | 559116 |
| SBA Communications Corp 3.125% 2/1/2029  |  | 200000 | 192294 |
|  |  |  | 1171615 |
| TOTAL REAL ESTATE |  |  | 21744591 |
| Utilities - 2.1% |  |  |  |
| Electric Utilities - 1.3% |  |  |  |
| Clearway Energy Operating LLC 3.75% 1/15/2032 (d) |  | 60000 | 55802 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (d) |  | 390000 | 369464 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (d) |  | 120000 | 119608 |
| Clearway Energy Operating LLC 5.75% 1/15/2034 (d) |  | 270000 | 273558 |
| Edison International 4.8% 3/15/2031  |  | 282000 | 281831 |
| Edison International 6.25% 3/15/2030  |  | 208000 | 219999 |
| Edison International 7.875% 6/15/2054 (g) |  | 186000 | 193633 |
| Edison International 8.125% 6/15/2053 (g) |  | 241000 | 250516 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (d) |  | 195000 | 198757 |
| NRG Energy Inc 3.375% 2/15/2029 (d) |  | 350000 | 337327 |
| NRG Energy Inc 3.625% 2/15/2031 (d) |  | 715000 | 674907 |
| NRG Energy Inc 3.875% 2/15/2032 (d) |  | 625000 | 586372 |
| NRG Energy Inc 5.25% 6/15/2029 (d) |  | 1037000 | 1040619 |
| NRG Energy Inc 5.75% 1/15/2034 (d)(o) |  | 410000 | 415606 |
| NRG Energy Inc 5.75% 7/15/2029 (d) |  | 760000 | 761313 |
| NRG Energy Inc 6% 1/15/2036 (d) |  | 1105000 | 1124524 |
| NRG Energy Inc 6% 2/1/2033 (d) |  | 215000 | 220206 |
| NRG Energy Inc 6.25% 11/1/2034 (d)(o) |  | 985000 | 1018656 |
| Pacific Gas and Electric Co 5.2% 5/1/2036  |  | 100000 | 100332 |
| Pacific Gas and Electric Co 6% 5/1/2056  |  | 100000 | 98767 |
| PacifiCorp 7.375% 9/15/2055 (g) |  | 381000 | 385866 |
| PG&E Corp 5% 7/1/2028  |  | 335000 | 334114 |
| PG&E Corp 5.25% 7/1/2030  |  | 1020000 | 1020845 |
| PG&E Corp 6.85% 9/15/2056 (g) |  | 1384000 | 1381759 |
| PG&E Corp 7.375% 3/15/2055 (g) |  | 1459000 | 1510035 |
| Vistra Operations Co LLC 4.375% 5/1/2029 (d) |  | 850000 | 840507 |
| Vistra Operations Co LLC 5% 7/31/2027 (d) |  | 1287000 | 1285144 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (d) |  | 662000 | 661770 |
| Vistra Operations Co LLC 6.875% 4/15/2032 (d) |  | 225000 | 236705 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (d) |  | 2565000 | 2710590 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (d)(o) |  | 290000 | 301005 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (d)(o) |  | 1800000 | 1866332 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (d) |  | 1105000 | 1170030 |
| XPLR Infrastructure Operating Partners LP 8.625% 3/15/2033 (d) |  | 785000 | 830918 |
|  |  |  | 22877417 |
| Gas Utilities - 0.1% |  |  |  |
| AmeriGas Partners LP / AmeriGas Finance Corp 5.75% 5/20/2027  |  | 140000 | 141154 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.375% 6/1/2028 (d) |  | 905000 | 935394 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.5% 6/1/2030 (d) |  | 240000 | 256889 |
| Suburban Propane Partners LP/Suburban Energy Finance Corp 5% 6/1/2031 (d) |  | 205000 | 197428 |
|  |  |  | 1530865 |
| Independent Power and Renewable Electricity Producers - 0.7% |  |  |  |
| AES Corp/The 6.95% 7/15/2055 (g) |  | 504000 | 487000 |
| AES Corp/The 7.6% 1/15/2055 (g) |  | 115000 | 115607 |
| Alpha Generation LLC 6.25% 1/15/2034 (d) |  | 255000 | 258954 |
| Alpha Generation LLC 6.75% 10/15/2032 (d)(o) |  | 825000 | 857190 |
| Calpine LLC 5.125% 3/15/2028 (d) |  | 2289000 | 2288152 |
| Constellation Energy Generation LLC 5% 2/1/2031 (d) |  | 1710000 | 1735880 |
| Sunnova Energy Corp 5.875% (b)(d)(k) |  | 595000 | 1487 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (d) |  | 1285000 | 1307609 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (d) |  | 1285000 | 1321196 |
| Talen Energy Supply LLC 8.625% 6/1/2030 (d) |  | 2365000 | 2488458 |
| TerraForm Power Operating LLC 5% 1/31/2028 (d) |  | 626000 | 626796 |
| VoltaGrid LLC 7.375% 11/1/2030 (d) |  | 565000 | 589968 |
|  |  |  | 12078297 |
| TOTAL UTILITIES |  |  | 36486579 |
| TOTAL UNITED STATES |  |  | 637941800 |
| ZAMBIA - 0.1%  |  |  |  |
| Materials - 0.1% |  |  |  |
| Metals & Mining - 0.1% |  |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (d) |  | 270000 | 270868 |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (d) |  | 590000 | 617330 |
| First Quantum Minerals Ltd 8% 3/1/2033 (d) |  | 600000 | 639372 |
| First Quantum Minerals Ltd 8.625% 6/1/2031 (d) |  | 410000 | 429807 |
| TOTAL ZAMBIA |  |  | 1957377 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $709,385,243) |  |  | <br> **717821652** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| JAMAICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel Ltd (b)(c) | 19744 | 248182 |
| UNITED STATES - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Strategy Inc 11.25% (m) | 2823 | 282300 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $582,194) |  | <br> **530482** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.9%** | &nbsp;&nbsp;**Preferred Securities - 0.9%** | &nbsp;&nbsp;**Preferred Securities - 0.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| BNP Paribas SA 7.45% (d)(g)(n) | 180000 | 192535 |
| UNITED STATES - 0.9%  |  |  |
| Energy - 0.3% |  |  |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |
| Energy Transfer LP 6.625% (g)(n) | 245000 | 248701 |
| Energy Transfer LP Series G, 7.125% (g)(n) | 117000 | 123764 |
| Mesquite Energy Inc 7.25% (b)(k)(n) | 3242000 | 324 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (g)(h)(n)(o) | 781000 | 782764 |
| Sunoco LP 7.875% (d)(g)(n) | 488000 | 521880 |
| Venture Global LNG Inc 9% (d)(g)(n) | 3445000 | 3143101 |
| TOTAL ENERGY |  | 4820534 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Bank of America Corp 6.25% (g)(n) | 240000 | 248368 |
| Bank of America Corp 6.625% (g)(n) | 75000 | 78908 |
| BW Real Estate Inc 9.5% (d)(g)(n)(o) | 325000 | 345216 |
| Citigroup Inc 6.5% (g)(n) | 420000 | 427610 |
| Citigroup Inc 6.625% (g)(n) | 434000 | 455089 |
| Citigroup Inc 6.75% (g)(n) | 150000 | 153840 |
| Citigroup Inc 6.875% (g)(n) | 125000 | 128482 |
| Citigroup Inc 6.95% (g)(n) | 105000 | 108236 |
|  |  | 1945749 |
| Capital Markets - 0.0% |  |  |
| Goldman Sachs Group Inc/The 6.85% (g)(n) | 130000 | 136602 |
| Consumer Finance - 0.0% |  |  |
| Ally Financial Inc 4.7% (g)(n) | 318000 | 301072 |
| Ally Financial Inc 4.7% (g)(n)(o) | 260000 | 259708 |
|  |  | 560780 |
| Insurance - 0.0% |  |  |
| Alliant Holdings LP 10.5% (b)(g)(n) | 90489 | 91390 |
| TOTAL FINANCIALS |  | 2734521 |
| Industrials - 0.0% |  |  |
| Trading Companies & Distributors - 0.0% |  |  |
| Air Lease Corp 4.125% (g)(n) | 859000 | 859189 |
| Aircastle Ltd 5.25% (d)(g)(n) | 467000 | 478030 |
| TOTAL INDUSTRIALS |  | 1337219 |
| Utilities - 0.4% |  |  |
| Electric Utilities - 0.1% |  |  |
| NRG Energy Inc 10.25% (d)(g)(n) | 1041000 | 1195278 |
| Independent Power and Renewable Electricity Producers - 0.3% |  |  |
| Vistra Corp 7% (d)(g)(n) | 1225000 | 1257571 |
| Vistra Corp 8% (d)(g)(n) | 2055000 | 2150713 |
| Vistra Corp 8.875% (d)(g)(n) | 2275000 | 2530944 |
|  |  | 5939228 |
| TOTAL UTILITIES |  | 7134506 |
| TOTAL UNITED STATES |  | 16026780 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $18,697,523) |  | <br> **16219315** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 1.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 1.6%** |
|  | Yield (%) (t) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 2/15/2046  | 4.57 | 699000 | 703915 |
| US Treasury Notes 2.625% 5/31/2027 (u)(v) | 3.21 | 1530000 | 1513983 |
| US Treasury Notes 3.375% 11/30/2027  | 3.57 | 1215000 | 1214241 |
| US Treasury Notes 3.375% 12/31/2027  | 3.44 to 3.49 | 3500000 | 3498086 |
| US Treasury Notes 3.5% 10/31/2027  | 3.49 | 1490000 | 1491688 |
| US Treasury Notes 3.5% 9/30/2027  | 3.50 to 3.60 | 1975000 | 1977160 |
| US Treasury Notes 3.625% 8/31/2027  | 3.50 | 1980000 | 1985182 |
| US Treasury Notes 3.75% 5/31/2030  | 3.67 to 3.80 | 1416000 | 1430768 |
| US Treasury Notes 3.75% 6/30/2027  | 3.76 | 875000 | 878281 |
| US Treasury Notes 4% 2/15/2034  | 3.87 to 4.44 | 7546000 | 7645336 |
| US Treasury Notes 4% 5/31/2030  | 3.95 | 1700000 | 1734664 |
| US Treasury Notes 4.125% 2/28/2027 (u) | 3.81 | 2000000 | 2011563 |
| US Treasury Notes 4.25% 5/15/2035  | 4.27 | 1225000 | 1256438 |
| US Treasury Notes 4.625% 2/15/2035  | 4.38 | 1000000 | 1055156 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $28,098,788) |  |  | **28396461** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** | &nbsp;&nbsp;**Money Market Funds - 2.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (w) | 3.70 | 11088641 | 11090858 |
| Fidelity Securities Lending Cash Central Fund (w)(x) | 3.69 | 25000125 | 25002626 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (y) | 3.63 | 13243455 | 13243455 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $49,336,792) |  |  | **49336939** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.3%**<br> (Cost $1,697,543,155)<br>| <br>**1783931579** |
| **NET OTHER ASSETS (LIABILITIES) - (1.3)%**  | **(23387080)** |
| **NET ASSETS - 100.0%** | **1760544499** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 66 | 6/2026 | 7509563 | 49841 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 10 | 6/2026 | 2092344 | 3020 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 99 | 6/2026 | 10901602 | 41685 |
| CBOT US Treasury Long Bond Contracts (United States) | 5 | 6/2026 | 592031 | 4712 |
| TOTAL LONG |  |  |  | 99258 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT US Treasury Ultra Bond Contracts (United States) | (2) | 6/2026 | (243125) | (2854) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **96404** |
| The notional amount of long futures as a percentage of Net Assets is 1.1%. | The notional amount of long futures as a percentage of Net Assets is 1.1%. | The notional amount of long futures as a percentage of Net Assets is 1.1%. | The notional amount of long futures as a percentage of Net Assets is 1.1%. | The notional amount of long futures as a percentage of Net Assets is 1.1%. |
| The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| USD | 297825 | CAD | 410000 | HSBC Bank USA NA | 4/2026 | (3442) |
| USD | 2000310 | EUR | 1676783 | Deutsche Bank AG | 5/2026 | 11297 |
| USD | 1013550 | GBP | 756491 | HSBC Bank USA NA | 4/2026 | (6114) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **1741** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 11297 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (9556) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| Whirlpool Corp 4.75% 2/26/2029 |  | 12/2030 | ICE | (0.01%) | Quarterly | 519000 | 30471 | (28937) | 1534 |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| Carvana Co 5.5% 4/15/2027 | Caa1 | 12/2030 | JPMorgan Chase Bank NA | 0.05% | Quarterly | 27000 | 2568 | (1967) | 601 |
| Carvana Co 5.5% 4/15/2027 | Caa1 | 12/2030 | Goldman Sachs International | 0.05% | Quarterly | 27000 | 2568 | (2024) | 544 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly | 18146700 | 1317910 | (1336396) | (18486) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | 1323046 | (1340387) | (17341) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **(1353517)** | **(1369324)** | **(15807)** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| USD | - | United States Dollar |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Level 3 security.

(c) Non-income producing.

(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $630,530,146 or 35.8% of net assets.

(e) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,844,224 or 0.1% of net assets.

(f) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(i) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(j) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $98,557 and $94,335, respectively.

(k) Non-income producing - Security is in default.

(l) Zero coupon bond which is issued at a discount.

(m) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(n) Security is perpetual in nature with no stated maturity date.

(o) Security or a portion of the security is on loan at period end.

(p) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(q) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $2,266,832 or 0.1% of net assets.

(r) Principal Only Strips represent the right to receive the monthly principal payments.

(s) Affiliated fund.

(t) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(u) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,461,284.

(v) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $602,625.

(w) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(x) Investment made with cash collateral received from securities on loan.

(y) The rate quoted is the annualized seven-day yield of the fund at period end.

---

| | | |
|:---|:---|:---|
| Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: | Additional information on each restricted holding is as follows: |
| Security | Acquisition Date | Acquisition Cost ($)<br>|
| TPC Group Inc | 12/16/2022 | 975145 |

---

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 3381011 | 83317350 | 75607189 | 214483 | (313) | (1) | 11090858 | 11088641 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 85583359 | 60580811 | 38219 | 78 | - | 25002626 | 25000125 | 0.1% |
| Total | 3381011 | 168900709 | 136188000 | 252702 | (235) | (1) | 36093484 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Capital & Income Fund | 177581108 | 66279676 | 53289066 | 10148476 | 1402738 | 16927160 | 208901616 | 18905124 |
|  | 177581108 | 66279676 | 53289066 | 10148476 | 1402738 | 16927160 | 208901616 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 1000005 | - | 1000005 | - |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 8306790 | - | 8306790 | - |
| Consumer Discretionary | 6145464 | - | 6130301 | 15163 |
| Consumer Staples | 277830 | - | 259051 | 18779 |
| Energy | 1409946 | - | 1344312 | 65634 |
| Financials | 4382962 | - | 4382962 | - |
| Health Care | 3539355 | - | 1728353 | 1811002 |
| Industrials | 4209457 | - | 3886929 | 322528 |
| Information Technology | 8399700 | - | 7399800 | 999900 |
| Materials | 5199615 | - | 5159045 | 40570 |
| Utilities | 1298039 | - | 1114006 | 184033 |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 2593665 | - | - | 2593665 |
| Energy | 9845947 | 209257 | - | 9636690 |
| Financials | 24314 | - | - | 24314 |
| Health Care | 675244 | 478637 | - | 196607 |
| Information Technology | 963056 | - | - | 963056 |
| Materials | 1881714 | 37490 | - | 1844224 |
| Utilities | 2746146 | 893369 | - | 1852777 |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 2424232 | - | 2424232 | - |
| Consumer Discretionary | 348348 | - | 348348 | - |
| Energy | 635394 | - | 635394 | - |
| Financials | 1159370 | - | 1159370 | - |
| Information Technology | 2166382 | - | 2166382 | - |
| Utilities | 469203 | - | 469203 | - |
|  **Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 424605 | - | 424605 | - |
| Financials | 965269 | - | 488294 | 476975 |
| Industrials | 532451 | - | 532451 | - |
| Information Technology | 513652 | - | 513652 | - |
| Utilities | 559125 | - | 559125 | - |
|  **Fixed-Income Funds** | 896746536 | 896746536 | - | - |
|  **Municipal Securities** |  |  |  |  |
| Other | 1782914 | - | 1782914 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 101083930 | - | 101082378 | 1552 |
| Consumer Discretionary | 111344852 | - | 111336469 | 8383 |
| Consumer Staples | 15689320 | - | 15689320 | - |
| Energy | 89213606 | - | 89213606 | - |
| Financials | 91640775 | - | 91640775 | - |
| Health Care | 59286649 | - | 59286649 | - |
| Industrials | 85786997 | - | 85786997 | - |
| Information Technology | 31724405 | - | 31724405 | - |
| Materials | 70081514 | - | 70081514 | - |
| Real Estate | 22868907 | - | 22868907 | - |
| Utilities | 39100697 | - | 39099210 | 1487 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Communication Services | 248182 | - | - | 248182 |
| Information Technology | 282300 | 282300 | - | - |
|  **Preferred Securities** |  |  |  |  |
| Energy | 4820534 | - | 4820210 | 324 |
| Financials | 2927056 | - | 2835666 | 91390 |
| Industrials | 1337219 | - | 1337219 | - |
| Utilities | 7134506 | - | 7134506 | - |
|  **U.S. Treasury Obligations** | 28396461 | - | 28396461 | - |
|  **Money Market Funds** | 49336939 | 49336939 | - | - |
| **Total Investments in Securities:** | 1783931579 | 947984528 | 814549816 | 21397235 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 99258 | 99258 | - | - |
| Forward Foreign Currency Contracts | 11297 | - | 11297 | - |
| Swaps | 1353517 | - | 1353517 | - |
| Total Assets | 1464072 | 99258 | 1364814 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (2854) | (2854) | - | - |
| Forward Foreign Currency Contracts | (9556) | - | (9556) | - |
| Swaps | - | - | - | - |
| Total Liabilities | (12410) | (2854) | (9556) | - |
| **Total Derivative Instruments:** | 1451662 | 96404 | 1355258 | - |

---

The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value. Beginning balances have been updated to conform to current period presentation, as applicable.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Beginning Balance ($)** | **Net Realized Gain (Loss) on Investment Securities ($)** | **Net Unrealized Gain (Loss) on Investment Securities ($)** | **Cost of Purchases ($)** | **Proceeds of Sales ($)** | **Amortization/**<br> **Accretion ($)** | **Transfers into Level 3 ($)** | **Transfers out of Level 3 ($)** | **Ending Balance ($)** | **The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 28, 2026 ($)** |
| **Common Stocks** | 14339170 | 2842618 | 3386174 | 1372081 | (4154160) | - | - | (674550) | 17111333 | 3306314 |
| **Bank Loan Obligations** | 292067 | 2544 | 315127 | 3273219 | (1140890) | 41755 | 673787 | - | 3457609 | (513349) |
| **Convertible Preferred Stocks** | - | - | 69397 | 407578 | - | - | - | - | 476975 | 69397 |
| **Non-Convertible Preferred Stocks** | 219751 | - | 28431 | - | - | - | - | - | 248182 | 28431 |
| **Preferred Securities** | 91273 | - | (48188) | - | - | - | 48629 | - | 91714 | (48188) |
| **Non-Convertible Corporate Bonds** | 297079 | (130615) | (401880) | 157873 | (420154) | 4136 | 504983 | - | 11422 | (398369) |
| <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. | <br> The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in net gain (loss) on the Fund's Statement of Operations. |  |  |  |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)(b)  | 1353517 | -- |
| **Total Credit Risk**  | 1353517 | -- |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (c)  | 11297 | (9556) |
| **Total Foreign Exchange Risk**  | 11297 | (9556) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (d)  | 99258 | (2854) |
| **Total Interest Rate Risk**  | 99258 | (2854) |
| **Total Value of Derivatives** | 1464072 | (12410) |

---

(a)For centrally cleared swaps, reflects gross value as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(d)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of February 28, 2026** | **As of February 28, 2026** | **As of February 28, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $24,029,009) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,504,817,953) | $1538936479 |  |
| Fidelity Central Funds (cost $36,093,340) | 36093484 |  |
| Other affiliated issuers (cost $156,631,862) | 208901616 |  |
| Total Investment in Securities (cost $1,697,543,155) |  | $1783931579 |
| Segregated cash with brokers for derivative instruments |  | 22200 |
| Cash |  | 893893 |
| Foreign currency held at value (cost $3,589) |  | 3590 |
| Receivable for investments sold |  | 6993076 |
| Unrealized appreciation on forward foreign currency contracts |  | 11297 |
| Receivable for fund shares sold |  | 1139741 |
| Dividends receivable |  | 3992024 |
| Interest receivable |  | 12989593 |
| Distributions receivable from Fidelity Central Funds |  | 44570 |
| Receivable for daily variation margin on futures contracts |  | 55422 |
| Receivable for daily variation margin on centrally cleared swaps |  | 1622 |
| Bi-lateral OTC swaps, at value |  | 5136 |
| Other receivables |  | 56923 |
| **Total assets** |  | 1810140666 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $17875633 |  |
| Delayed delivery | 4064179 |  |
| Unrealized depreciation on forward foreign currency contracts | 9556 |  |
| Payable for fund shares redeemed | 2148967 |  |
| Distributions payable | 64539 |  |
| Accrued management fee | 218091 |  |
| Payable for daily variation margin on centrally cleared swaps | 86184 |  |
| Other payables and accrued expenses | 126470 |  |
| Collateral on securities loaned | 25002548 |  |
| **Total liabilities** |  | 49596167 |
| **Net Assets**  |  | $1760544499 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $1909943633 |
| Total accumulated earnings (loss) |  | (149399134) |
| **Net Assets** |  | $1760544499 |
| **Net Asset Value**, offering price and redemption price per share ($1,760,544,499 ÷ 195,875,306 shares) |  | $8.99 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $46809792 |
| Affiliated issuers |  | 10148476 |
| Interest  |  | 57796118 |
| Income from Fidelity Central Funds (including $38,219 from security lending)  |  | 252702 |
| **Total income** |  | 115007088 |
| **Expenses** |  |  |
| Management fee | $6861528 |  |
| Custodian fees and expenses | 45144 |  |
| Independent trustees' fees and expenses | 7857 |  |
| Registration fees | 49102 |  |
| Audit fees | 45461 |  |
| Legal | 15546 |  |
| Miscellaneous | 7415 |  |
| Total expenses before reductions | 7032053 |  |
| Expense reductions | (4337804) |  |
| Total expenses after reductions |  | 2694249 |
| **Net Investment income (loss)** |  | 112312839 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 5219436 |  |
| Fidelity Central Funds | (235) |  |
| Other affiliated issuers | 1402738 |  |
| Forward foreign currency contracts | (508976) |  |
| Foreign currency transactions | 56695 |  |
| Futures contracts | 566615 |  |
| Swaps | 539676 |  |
| Capital gain distributions from underlying funds: |  |  |
| Unaffiliated issuers | 754613 |  |
| Total net realized gain (loss) |  | 8030562 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 11745806 |  |
| Fidelity Central Funds  | (1) |  |
| Other affiliated issuers  | 16927160 |  |
| Forward foreign currency contracts | (1619) |  |
| Assets and liabilities in foreign currencies | 476 |  |
| Futures contracts | (189087) |  |
| Swaps | (35228) |  |
| Total change in net unrealized appreciation (depreciation) |  | 28447507 |
| **Net gain (loss)** |  | 36478069 |
| **Net increase (decrease) in net assets resulting from operations** |  | $148790908 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **February 28, 2026** | **Year ended**<br> **February 28, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $112312839 | $89330591 |
| &nbsp;&nbsp;Net realized gain (loss) | 8030562<br>| (29106252)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 28447507 | 67296637<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 148790908<br>| 127520976<br>|
| Distributions to shareholders | (109780210)<br>| (85395840)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 865491155 | 500191753 |
| Reinvestment of distributions | 109341358<br>| 84916571<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (697684550) | (615787969) |
| **Net increase (decrease) in net assets resulting from share transactions** | 277147963<br>| (30679645)<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 316158661<br>| 11445491<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 1444385838 | 1432940347<br>|
| &nbsp;&nbsp;End of period | $1760544499 | $1444385838 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 98463982 | 57121737 |
| Issued in reinvestment of distributions | 12268536<br>| 9742901<br>|
| &nbsp;&nbsp;Redeemed | (78306102) | (70643391) |
| &nbsp;&nbsp;Net increase (decrease) | 32426416 | (3778753) |

---

**Financial Highlights** 

**Strategic Advisers® Income Opportunities Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended February 28,** | **2026**  | **2025**  | **2024** A  | **2023**  | **2022**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $8.84 | $8.57 | $8.27 | $9.25 | $9.58 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | .578  | .578  | .537  | .508  | .440  |
| Net realized and unrealized gain (loss)  | .138  | .245  | .285  | (1.000)  | (.279)  |
| Total from investment operations  | .716  | .823  | .822  | (.492)  | .161  |
| Distributions from net investment income  | (.562)  | (.553)  | (.522)  | (.488)  | (.461)  |
| Distributions from net realized gain  | (.004)  | -  | -  | -  | (.030)  |
| Total distributions  | (.566)  | (.553)  | (.522)  | (.488)  | (.491)  |
| Net asset value, end of period  | $8.99 | $8.84 | $8.57 | $8.27 | $9.25 |
| **Total Return** D | 8.35% <br>| 9.88%  | 10.29%  | (5.25)%  | 1.61%  |
| **Ratios to Average Net Assets** C,E,F |  |  |  |  |  |
| Expenses before reductions  | .41%  | .43%  | .43%  | .42%  | .38%  |
| Expenses net of fee waivers, if any  | .16% <br>| .18%  | .18%  | .17%  | .13%  |
| Expenses net of all reductions, if any  | .16%  | .18%  | .18%  | .17%  | .13%  |
| Net investment income (loss)  | 6.50%  | 6.64%  | 6.44%  | 5.96%  | 4.57%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $1760544 | $1444386 | $1432940 | $1647800 | $4158412 |
| Portfolio turnover rate G | 41% <br>| 55%  | 26%  | 21%  | 33%  |

---

A*For the year ended February 29.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended February 28, 2026

**1. Organization.**

Strategic Advisers Income Opportunities Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Asset Type** | **Fair Value** | **Valuation Technique(s)** | **Unobservable Input** | **Amount or Range/Weighted Average** | **Impact to Valuation from an Increase in InputA** |
| Bank Loan Obligations | $3457609  | Market approach | Transaction price | $99.00  | Increase |
|  |  |  | Evaluated bid | $100.00  | Increase |
|  |  | Recovery value | Recovery value | $0.00 - $100.00 / $79.93 | Increase |
|  |  | Indicative market price | Evaluated bid | $8.00 - $101.96 / $89.55 | Increase |
| Common Stocks | $17111333  | Market comparable | Enterprise value/Revenue multiple (EV/R) | 0.3 | Increase |
|  |  |  | Enterprise value/EBITDA multiple (EV/EBITDA) | 3.8 - 7.3 / 5.2 | Increase |
|  |  | Market approach | Transaction price | $0.19 - $70.13 / $66.87 | Increase |
|  |  | Recovery value | Recovery value | $0.00  | Increase |
|  |  | Black scholes | Discount rate | 3.5% | Increase |
|  |  |  | Volatility | 48.2% | Increase |
|  |  |  | Term | 0.3 | Increase |
|  |  | Discounted cash flow | Discount rate | 8.7% - 25.0% / 8.7% | Decrease |
|  |  |  | Term | 0.5 - 3.0 / 1.6 | Increase |
|  |  |  | Probability rate | 5.0% - 30.0% / 18.0% | Increase |
| Convertible Preferred Stocks | $476975  | Market comparable | Enterprise value/EBITDA multiple (EV/EBITDA) | 18.0 | Increase |
| Preferred Securities | $91714  | Discounted cash flow | Yield | 10.2% | Decrease |
|  |  | Indicative market price | Evaluated bid | $0.01  | Increase |
| Non-Convertible Preferred Stocks | $248182  | Market comparable | Enterprise value/EBITDA multiple (EV/EBITDA) | 3.8 | Increase |
|  |  | Discounted cash flow | Discount rate | 11.7% | Decrease |
|  |  |  | Term | 0.3 | Increase |
| Non-Convertible Corporate Bonds | $11422  | Market approach | Expected distribution | $0.50 - $4.10 / $3.82 | Increase |
|  |  | Recovery value | Recovery value | $0.00  | Increase |
|  |  | Indicative market price | Evaluated bid | $0.25 - $40.00 / $34.01 | Increase |

---

*A Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.* 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2026, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to short-term gain distributions from the underlying funds, futures contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, defaulted bonds, market discount, equity-debt classifications, certain conversion ratio adjustments, capital loss carryforwards and losses deferred due to wash sales and offsetting positions.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $118689950 |
| **Gross unrealized depreciation**  | <u>(26618111)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$92071839</u> |
| **Tax Cost**  | <u>$1692796139</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$1776824</u> |
| **Capital loss carryforward**  | <u>$(243241130)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$92072096</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(40904700) |
| Long-term | <u>(202336430)</u> |
| **Total capital loss carryforward** | <u>$(243241130)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **February 28, 2026** | **February 28, 2025** |
| **Ordinary Income**  | $109780210 | $85395840 |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Strategic Advisers Income Opportunities Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>539676</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(35228)</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>539676</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(35228)</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | <u>(508976)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1619)</u> |
| **Total Foreign Exchange Risk** | <u>(508976)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1619)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 566615 | (189087) |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>566615</u> | <u>(189087)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>597315</u> | <u>(225934)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts". The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers Income Opportunities Fund** | 912294633 | 656821001 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .75% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .40% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Adviser.** FIAM LLC (an affiliate of the investment adviser), PGIM, Inc. and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Strategic Advisers Income Opportunities Fund** | $56923 |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Income Opportunities Fund** | 36 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2027 unless extended or renewed.

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Income Opportunities Fund** | 2162 |
| <br> Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.<br>|  |

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**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral or, for non-cash collateral, loan fees received from the borrower as compensation for the securities loaned, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

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| | |
|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** |
| **Strategic Advisers Income Opportunities Fund** | 4047 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2028. During the period, this waiver reduced the Fund's management fee by $4,320,013.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $17,791.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

On March 20, 2026, the Board of Directors of Mesquite Energy, Inc. (the "Company") authorized the Company to enter into a plan of liquidation and approved the first distribution to stockholders of $56.2534 per each outstanding share of common stock of the Company. The Fund received this first liquidation distribution on March 30, 2026.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Income Opportunities Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Income Opportunities Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2026, the related statement of operations for the year ended February 28, 2026, the statement of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2026 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2026, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2026 and the financial highlights for each of the five years in the period ended February 28, 2026 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian, issuers of privately offered securities, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

April 15, 2026

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 1.35% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $68,661,826 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in the first quarter of 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers Income Opportunities Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, PGIM, Inc., and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (each a Sub-Sub-Adviser and collectively, the Sub-Sub-Advisers) (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers and Sub-Sub-Advisers, as applicable, are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2025 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year, and the factors may have been weighed differently by different Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.

**Nature, Extent, and Quality of Services Provided**. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management.

<u>Investment Performance</u>. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses**. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board noted that the Sub-Sub-Advisers are compensated by the applicable Sub-Advisers and the Fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Wealth Services managed account program.

In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, and custodial, legal, and audit fees.

<u>Comparisons of Management Fees and Total Expense Ratios.</u> Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar Categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the funds and classes in the total peer group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparisons exclude performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and above the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, the fund's management fee was below the median of the asset-sized peer group for the 12-month period ended December 31, 2024. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024.

<u>Fees Charged to Other Clients</u>. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale**. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

**Board Approval of Amended Sub-Advisory Agreements**

**Strategic Advisers Income Opportunities Fund**

In December 2025, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, PGIM, Inc. (the Sub-Adviser) and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided.** The Board considered the backgrounds of the investment personnel that provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2025 meeting and in materials provided at its June 2025 meeting related to the annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements.

The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2025 meeting and that the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.

**Investment Performance.** The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) in the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses.** The Board noted that the Amended Sub-Advisory Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee.

The Board also considered that the Amended Sub-Advisory Agreement will result in a slight decrease the fund's management fee at current asset levels. Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

**Costs of the Services and Profitability.** Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.

**Potential Fall-Out Benefits.** The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

**Possible Economies of Scale.** The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended Sub-Advisory Agreement will continue to provide for breakpoints with respect to the mandate that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreement because the fund is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img126033_4.jpg)<br>

1.912881.115 SRQ-ANN-0426

**Strategic Advisers® Fidelity® International Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**February 28, 2026**

![](img126034_1.jpg)

![](img126034_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SIL-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® Fidelity® International Fund](#Sub_Sec_Fund_1848_SIL-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1848_SIL-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SIL-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SIL-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SIL-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SIL-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SIL-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SIL-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

The MSCI indexes are the exclusive property of MSCI Inc. ("MSCI"). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by Fidelity. The financial products referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial products or any index on which such financial products are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any relevant financial products. No purchaser, seller or holder of this product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this product without first contacting MSCI to determine whether MSCI's permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® Fidelity® International Fund**

**Schedule of Investments February 28, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 45.2%** | &nbsp;&nbsp;**Common Stocks - 45.2%** | &nbsp;&nbsp;**Common Stocks - 45.2%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 1.8%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Aristocrat Leisure Ltd  | 1321140 | 45204301 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Whitehaven Coal Ltd  | 7596020 | 42218577 |
| Financials - 0.3% |  |  |
| Banks - 0.2% |  |  |
| ANZ Group Holdings Ltd  | 3064240 | 87210416 |
| Capital Markets - 0.1% |  |  |
| Macquarie Group Ltd  | 534133 | 81147110 |
| Insurance - 0.0% |  |  |
| Steadfast Group Ltd  | 7504280 | 23497852 |
| TOTAL FINANCIALS |  | 191855378 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Sonic Healthcare Ltd  | 2048580 | 34765369 |
| Industrials - 0.2% |  |  |
| Commercial Services & Supplies - 0.1% |  |  |
| Brambles Ltd  | 4119200 | 73520231 |
| Passenger Airlines - 0.1% |  |  |
| Qantas Airways Ltd  | 7084710 | 50166247 |
| Trading Companies & Distributors - 0.0% |  |  |
| SGH Ltd  | 881710 | 29302799 |
| TOTAL INDUSTRIALS |  | 152989277 |
| Materials - 1.0% |  |  |
| Metals & Mining - 1.0% |  |  |
| Glencore PLC  | 35249340 | 254698170 |
| Northern Star Resources Ltd  | 3043847 | 65591135 |
| Rio Tinto Ltd  | 1013750 | 120717750 |
| Rio Tinto PLC  | 2350300 | 232843453 |
| Vault Minerals Ltd (d) | 7717790 | 32295108 |
| TOTAL MATERIALS |  | 706145616 |
| Real Estate - 0.1% |  |  |
| Diversified REITs - 0.1% |  |  |
| GPT Group/The unit  | 15180240 | 54663270 |
| TOTAL AUSTRALIA |  | 1227841788 |
| AUSTRIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Erste Group Bank AG  | 424969 | 50565837 |
| BELGIUM - 0.9%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev SA/NV  | 1187370 | 96551296 |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| KBC Group NV  | 2113970 | 286755125 |
| Health Care - 0.3% |  |  |
| Pharmaceuticals - 0.3% |  |  |
| UCB SA  | 772789 | 230382063 |
| Real Estate - 0.0% |  |  |
| Industrial REITs - 0.0% |  |  |
| Warehouses De Pauw CVA  | 693333 | 21333069 |
| TOTAL BELGIUM |  | 635021553 |
| BRAZIL - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Wheaton Precious Metals Corp  | 433135 | 70578730 |
| CANADA - 0.5%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Cameco Corp  | 421633 | 49883167 |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Brookfield Asset Management Ltd Class A (United States) (c) | 965029 | 45115105 |
| Industrials - 0.0% |  |  |
| Professional Services - 0.0% |  |  |
| Thomson Reuters Corp  | 366900 | 35324934 |
| Information Technology - 0.2% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Celestica Inc (United States) (d) | 170036 | 47207095 |
| IT Services - 0.1% |  |  |
| Shopify Inc Class A (United States) (d) | 510585 | 61642927 |
| TOTAL INFORMATION TECHNOLOGY |  | 108850022 |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Franco-Nevada Corp  | 416105 | 116297695 |
| TOTAL CANADA |  | 355470923 |
| CHILE - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Antofagasta PLC  | 879200 | 50569563 |
| CHINA - 0.2%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Broadline Retail - 0.2% |  |  |
| Prosus NV Class N  | 2087160 | 107280942 |
| Industrials - 0.0% |  |  |
| Machinery - 0.0% |  |  |
| Yangzijiang Shipbuildling (Holdings) Ltd  | 15060330 | 51673517 |
| TOTAL CHINA |  | 158954459 |
| DENMARK - 0.6%  |  |  |
| Industrials - 0.5% |  |  |
| Air Freight & Logistics - 0.5% |  |  |
| DSV A/S  | 1218030 | 315024364 |
| Electrical Equipment - 0.0% |  |  |
| Vestas Wind Systems A/S  | 741800 | 18963606 |
| TOTAL INDUSTRIALS |  | 333987970 |
| Materials - 0.1% |  |  |
| Chemicals - 0.1% |  |  |
| Novonesis Novozymes B Series B  | 842600 | 50034205 |
| TOTAL DENMARK |  | 384022175 |
| FINLAND - 0.4%  |  |  |
| Financials - 0.1% |  |  |
| Insurance - 0.1% |  |  |
| Mandatum Holding Oy  | 1119100 | 9034148 |
| Sampo Oyj A Shares  | 6111600 | 67735455 |
| TOTAL FINANCIALS |  | 76769603 |
| Information Technology - 0.2% |  |  |
| Communications Equipment - 0.2% |  |  |
| Nokia Oyj  | 15431170 | 118434539 |
| Materials - 0.0% |  |  |
| Paper & Forest Products - 0.0% |  |  |
| UPM-Kymmene Oyj  | 1041480 | 33201932 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| Fortum Oyj  | 1773900 | 41522557 |
| TOTAL FINLAND |  | 269928631 |
| FRANCE - 3.8%  |  |  |
| Communication Services - 0.3% |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |
| Orange SA  | 7785120 | 167711399 |
| Entertainment - 0.0% |  |  |
| Vivendi SE  | 6185285 | 16067247 |
| Media - 0.0% |  |  |
| Canal+ SA  | 4533100 | 18858582 |
| TOTAL COMMUNICATION SERVICES |  | 202637228 |
| Consumer Discretionary - 0.4% |  |  |
| Automobile Components - 0.0% |  |  |
| Cie Generale des Etablissements Michelin SCA Series B  | 981875 | 39708206 |
| Textiles, Apparel & Luxury Goods - 0.4% |  |  |
| Hermes International SCA  | 50969 | 123400964 |
| LVMH Moet Hennessy Louis Vuitton SE  | 191212 | 122188426 |
|  |  | 245589390 |
| TOTAL CONSUMER DISCRETIONARY |  | 285297596 |
| Consumer Staples - 0.3% |  |  |
| Beverages - 0.0% |  |  |
| Pernod Ricard SA  | 355820 | 32835246 |
| Food Products - 0.3% |  |  |
| Danone SA  | 1898400 | 163260520 |
| TOTAL CONSUMER STAPLES |  | 196095766 |
| Energy - 0.3% |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| Vallourec SACA  | 2368340 | 55296987 |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| TotalEnergies SE  | 2050358 | 162999459 |
| TOTAL ENERGY |  | 218296446 |
| Financials - 0.8% |  |  |
| Banks - 0.4% |  |  |
| BNP Paribas SA  | 2303740 | 258667844 |
| Capital Markets - 0.0% |  |  |
| Amundi SA (f)(g) | 286570 | 27444430 |
| Insurance - 0.4% |  |  |
| AXA SA  | 4964180 | 242758836 |
| TOTAL FINANCIALS |  | 528871110 |
| Industrials - 1.2% |  |  |
| Aerospace & Defense - 0.7% |  |  |
| Airbus SE  | 520740 | 113080219 |
| Dassault Aviation SA  | 75072 | 30035538 |
| Safran SA  | 863600 | 347805192 |
| Thales SA  | 57420 | 17427957 |
|  |  | 508348906 |
| Building Products - 0.2% |  |  |
| Cie de Saint-Gobain SA  | 1176360 | 119214377 |
| Electrical Equipment - 0.3% |  |  |
| Legrand SA  | 1113147 | 201621130 |
| TOTAL INDUSTRIALS |  | 829184413 |
| Materials - 0.4% |  |  |
| Chemicals - 0.4% |  |  |
| Air Liquide SA  | 1382048 | 290610625 |
| Real Estate - 0.1% |  |  |
| Retail REITs - 0.1% |  |  |
| Unibail-Rodamco-Westfield unit  | 378320 | 47451482 |
| Utilities - 0.0% |  |  |
| Multi-Utilities - 0.0% |  |  |
| Engie SA  | 860000 | 29380253 |
| TOTAL FRANCE |  | 2627824919 |
| GERMANY - 4.8%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |
| Deutsche Telekom AG  | 3850847 | 154650614 |
| Consumer Discretionary - 0.2% |  |  |
| Automobiles - 0.2% |  |  |
| Bayerische Motoren Werke AG  | 1000310 | 105738705 |
| Financials - 1.4% |  |  |
| Banks - 0.1% |  |  |
| Commerzbank AG  | 2221447 | 90951460 |
| Capital Markets - 0.2% |  |  |
| Deutsche Bank AG  | 1854500 | 66384743 |
| Deutsche Boerse AG  | 254480 | 69547621 |
|  |  | 135932364 |
| Insurance - 1.1% |  |  |
| Allianz SE  | 712305 | 319879908 |
| Hannover Rueck SE  | 624470 | 190223852 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen  | 296947 | 193794570 |
|  |  | 703898330 |
| TOTAL FINANCIALS |  | 930782154 |
| Health Care - 0.4% |  |  |
| Health Care Providers & Services - 0.3% |  |  |
| Fresenius SE & Co KGaA  | 3976477 | 239159005 |
| Pharmaceuticals - 0.1% |  |  |
| Bayer AG  | 1008100 | 49881636 |
| TOTAL HEALTH CARE |  | 289040641 |
| Industrials - 1.6% |  |  |
| Aerospace & Defense - 0.5% |  |  |
| Rheinmetall AG  | 176960 | 347831089 |
| Air Freight & Logistics - 0.2% |  |  |
| Deutsche Post AG  | 2637598 | 155315415 |
| Electrical Equipment - 0.5% |  |  |
| Siemens Energy AG  | 1625538 | 319706457 |
| Industrial Conglomerates - 0.4% |  |  |
| Siemens AG  | 958922 | 277266411 |
| Machinery - 0.0% |  |  |
| Daimler Truck Holding AG  | 317300 | 16132880 |
| TOTAL INDUSTRIALS |  | 1116252252 |
| Information Technology - 0.3% |  |  |
| Software - 0.3% |  |  |
| SAP SE  | 858224 | 172410672 |
| Materials - 0.4% |  |  |
| Chemicals - 0.1% |  |  |
| BASF SE  | 820900 | 47021275 |
| Construction Materials - 0.3% |  |  |
| Heidelberg Materials AG  | 941285 | 209711286 |
| TOTAL MATERIALS |  | 256732561 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| LEG Immobilien SE  | 594656 | 49747303 |
| Vonovia SE  | 1223274 | 41478185 |
| TOTAL REAL ESTATE |  | 91225488 |
| Utilities - 0.3% |  |  |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| RWE AG  | 2279410 | 146631517 |
| Multi-Utilities - 0.1% |  |  |
| E.ON SE  | 1736550 | 40381539 |
| TOTAL UTILITIES |  | 187013056 |
| TOTAL GERMANY |  | 3303846143 |
| HONG KONG - 0.6%  |  |  |
| Financials - 0.6% |  |  |
| Capital Markets - 0.0% |  |  |
| Futu Holdings Ltd Class A ADR (d) | 216800 | 32268512 |
| Insurance - 0.6% |  |  |
| AIA Group Ltd  | 19162390 | 211390557 |
| Prudential PLC  | 8995901 | 137785656 |
|  |  | 349176213 |
| TOTAL FINANCIALS |  | 381444725 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| CK Asset Holdings Ltd  | 7251800 | 46142930 |
| TOTAL HONG KONG |  | 427587655 |
| INDIA - 0.2%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Reliance Industries Ltd GDR (g) | 541000 | 33163300 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| HDFC Bank Ltd ADR  | 1432256 | 45617353 |
| ICICI Bank Ltd ADR  | 1566603 | 47797058 |
| TOTAL FINANCIALS |  | 93414411 |
| TOTAL INDIA |  | 126577711 |
| INDONESIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Bank Central Asia Tbk PT  | 4602300 | 1965135 |
| IRELAND - 0.3%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| AIB Group PLC  | 4098380 | 42857415 |
| Industrials - 0.2% |  |  |
| Building Products - 0.2% |  |  |
| Kingspan Group PLC  | 1712316 | 170663043 |
| TOTAL IRELAND |  | 213520458 |
| ISRAEL - 0.4%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Bank Hapoalim BM  | 2174965 | 54842778 |
| Bank Leumi Le-Israel BM  | 2172988 | 52559312 |
| TOTAL FINANCIALS |  | 107402090 |
| Health Care - 0.1% |  |  |
| Pharmaceuticals - 0.1% |  |  |
| Teva Pharmaceutical Industries Ltd ADR (d) | 2812050 | 95216013 |
| Information Technology - 0.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Next Vision Stabilized Systems Ltd  | 605031 | 69124878 |
| TOTAL ISRAEL |  | 271742981 |
| ITALY - 1.8%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telecom Italia SpA/Milano (d) | 42500680 | 31949203 |
| Consumer Discretionary - 0.1% |  |  |
| Automobile Components - 0.1% |  |  |
| Pirelli & C SpA (f)(g) | 7342220 | 55298065 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Lottomatica Group Spa  | 37600 | 912554 |
| TOTAL CONSUMER DISCRETIONARY |  | 56210619 |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Coca-Cola HBC AG  | 408640 | 26488848 |
| Davide Campari-Milano NV  | 3923550 | 29568833 |
| TOTAL CONSUMER STAPLES |  | 56057681 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Eni SpA  | 3399000 | 79382778 |
| Financials - 1.1% |  |  |
| Banks - 1.1% |  |  |
| BPER Banca SPA (c) | 3572500 | 50697405 |
| FinecoBank Banca Fineco SpA  | 2340200 | 55275954 |
| Intesa Sanpaolo SpA  | 45602250 | 312902087 |
| UniCredit SpA  | 3427264 | 291822485 |
| TOTAL FINANCIALS |  | 710697931 |
| Health Care - 0.1% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| GVS SpA (d)(f)(g) | 45027 | 212816 |
| Pharmaceuticals - 0.1% |  |  |
| Recordati Industria Chimica e Farmaceutica SpA  | 1782950 | 102008046 |
| TOTAL HEALTH CARE |  | 102220862 |
| Industrials - 0.3% |  |  |
| Electrical Equipment - 0.2% |  |  |
| Prysmian SpA  | 940905 | 113332866 |
| Machinery - 0.0% |  |  |
| Interpump Group SpA  | 223200 | 10311964 |
| Passenger Airlines - 0.1% |  |  |
| Ryanair Holdings PLC ADR  | 871650 | 58827659 |
| TOTAL INDUSTRIALS |  | 182472489 |
| TOTAL ITALY |  | 1218991563 |
| JAPAN - 9.5%  |  |  |
| Communication Services - 0.3% |  |  |
| Entertainment - 0.2% |  |  |
| Capcom Co Ltd  | 429900 | 9763212 |
| Konami Group Corp  | 207560 | 27685300 |
| Nintendo Co Ltd  | 2010770 | 113728005 |
|  |  | 151176517 |
| Interactive Media & Services - 0.1% |  |  |
| LY Corp  | 16699800 | 41277478 |
| TOTAL COMMUNICATION SERVICES |  | 192453995 |
| Consumer Discretionary - 1.4% |  |  |
| Automobile Components - 0.1% |  |  |
| Sumitomo Electric Industries Ltd  | 1074120 | 70977012 |
| Automobiles - 0.7% |  |  |
| Isuzu Motors Ltd  | 2150970 | 40198546 |
| Toyota Motor Corp  | 15843460 | 383861138 |
|  |  | 424059684 |
| Broadline Retail - 0.1% |  |  |
| Pan Pacific International Holdings Corp  | 6941500 | 46389491 |
| Ryohin Keikaku Co Ltd  | 2008700 | 46267050 |
|  |  | 92656541 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Food & Life Cos Ltd  | 398200 | 25664412 |
| Household Durables - 0.3% |  |  |
| Panasonic Holdings Corp  | 11769360 | 189793463 |
| Sumitomo Forestry Co Ltd  | 2729000 | 29620305 |
|  |  | 219413768 |
| Specialty Retail - 0.2% |  |  |
| Fast Retailing Co Ltd  | 270170 | 119423911 |
| TOTAL CONSUMER DISCRETIONARY |  | 952195328 |
| Consumer Staples - 0.4% |  |  |
| Beverages - 0.0% |  |  |
| Asahi Group Holdings Ltd  | 3461890 | 37674780 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Tsuruha Holdings Inc (c) | 3482400 | 58536164 |
| Food Products - 0.3% |  |  |
| Ajinomoto Co Inc  | 6314220 | 200871162 |
| TOTAL CONSUMER STAPLES |  | 297082106 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Inpex Corp  | 3894980 | 94777473 |
| Financials - 2.3% |  |  |
| Banks - 1.7% |  |  |
| Chiba Bank Ltd/The (c) | 5484320 | 81721337 |
| Mitsubishi UFJ Financial Group Inc  | 23076800 | 428397867 |
| Mizuho Financial Group Inc  | 5962480 | 266010150 |
| Sumitomo Mitsui Financial Group Inc  | 9532136 | 359700741 |
|  |  | 1135830095 |
| Financial Services - 0.2% |  |  |
| ORIX Corp  | 4622450 | 162243836 |
| Sony Financial Group Inc (d) | 1903200 | 1948718 |
|  |  | 164192554 |
| Insurance - 0.4% |  |  |
| Tokio Marine Holdings Inc  | 6242605 | 259265622 |
| TOTAL FINANCIALS |  | 1559288271 |
| Health Care - 0.5% |  |  |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Hoya Corp  | 874500 | 158279656 |
| Pharmaceuticals - 0.3% |  |  |
| Chugai Pharmaceutical Co Ltd  | 1336500 | 90120669 |
| Takeda Pharmaceutical Co Ltd  | 3028300 | 113340817 |
|  |  | 203461486 |
| TOTAL HEALTH CARE |  | 361741142 |
| Industrials - 2.7% |  |  |
| Building Products - 0.1% |  |  |
| Daikin Industries Ltd  | 280700 | 35664341 |
| Electrical Equipment - 0.1% |  |  |
| Mitsubishi Electric Corp  | 1184000 | 45066620 |
| Industrial Conglomerates - 0.8% |  |  |
| Hikari Tsushin Inc  | 96980 | 27454845 |
| Hitachi Ltd  | 15341203 | 502229746 |
|  |  | 529684591 |
| Machinery - 1.0% |  |  |
| Ebara Corp  | 2820820 | 99076803 |
| Hoshizaki Corp  | 1226940 | 43180368 |
| Kawasaki Heavy Industries Ltd  | 816340 | 95426547 |
| MINEBEA MITSUMI Inc  | 3294200 | 70961411 |
| Mitsubishi Heavy Industries Ltd  | 10943226 | 348847017 |
| Sumitomo Heavy Industries Ltd  | 836730 | 33074852 |
|  |  | 690566998 |
| Professional Services - 0.0% |  |  |
| BayCurrent Inc (c) | 243100 | 7012874 |
| Trading Companies & Distributors - 0.7% |  |  |
| ITOCHU Corp  | 12445500 | 180196217 |
| Marubeni Corp  | 2203650 | 84779107 |
| Mitsui & Co Ltd  | 2811100 | 105700888 |
| Sumitomo Corp  | 1807990 | 76772962 |
| Toyota Tsusho Corp  | 760500 | 34030506 |
|  |  | 481479680 |
| TOTAL INDUSTRIALS |  | 1789475104 |
| Information Technology - 1.4% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Ibiden Co Ltd (c) | 566300 | 34583953 |
| IT Services - 0.1% |  |  |
| Fujitsu Ltd  | 963300 | 21474768 |
| NEC Corp  | 1967670 | 54608151 |
| TIS Inc  | 1054500 | 21769974 |
|  |  | 97852893 |
| Semiconductors & Semiconductor Equipment - 1.0% |  |  |
| Advantest Corp  | 1142847 | 196493721 |
| Disco Corp  | 241621 | 116172730 |
| Kioxia Holdings Corp (d) | 160900 | 21853098 |
| Renesas Electronics Corp  | 8592790 | 162049768 |
| SUMCO Corp  | 2030800 | 23765165 |
| Tokyo Electron Ltd  | 465315 | 130927915 |
|  |  | 651262397 |
| Technology Hardware, Storage & Peripherals - 0.2% |  |  |
| FUJIFILM Holdings Corp  | 7572070 | 155712188 |
| TOTAL INFORMATION TECHNOLOGY |  | 939411431 |
| Materials - 0.2% |  |  |
| Chemicals - 0.2% |  |  |
| Asahi Kasei Corp  | 2788170 | 32931704 |
| Kuraray Co Ltd  | 2119070 | 25042383 |
| Shin-Etsu Chemical Co Ltd  | 2696500 | 106165413 |
| TOTAL MATERIALS |  | 164139500 |
| Real Estate - 0.1% |  |  |
| Real Estate Management & Development - 0.1% |  |  |
| Hulic Co Ltd  | 3583240 | 47473657 |
| Mitsubishi Estate Co Ltd  | 772920 | 26122830 |
| TOTAL REAL ESTATE |  | 73596487 |
| Utilities - 0.1% |  |  |
| Gas Utilities - 0.1% |  |  |
| Osaka Gas Co Ltd  | 719000 | 30000345 |
| Tokyo Gas Co Ltd  | 626200 | 30699498 |
| TOTAL UTILITIES |  | 60699843 |
| TOTAL JAPAN |  | 6484860680 |
| KOREA (SOUTH) - 0.1%  |  |  |
| Information Technology - 0.1% |  |  |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Samsung Electronics Co Ltd  | 329460 | 49530644 |
| NETHERLANDS - 2.1%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Koninklijke Ahold Delhaize NV  | 1031800 | 50924934 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| ING Groep NV  | 3863820 | 111482544 |
| Insurance - 0.0% |  |  |
| NN Group NV  | 397560 | 32554153 |
| TOTAL FINANCIALS |  | 144036697 |
| Health Care - 0.2% |  |  |
| Biotechnology - 0.2% |  |  |
| Argenx SE (d) | 108633 | 84041666 |
| Argenx SE ADR (d) | 43748 | 33551216 |
| TOTAL HEALTH CARE |  | 117592882 |
| Information Technology - 1.6% |  |  |
| Semiconductors & Semiconductor Equipment - 1.6% |  |  |
| ASM International NV  | 337061 | 284445346 |
| ASML Holding NV  | 520972 | 757705844 |
| BE Semiconductor Industries NV  | 228940 | 51235636 |
| TOTAL INFORMATION TECHNOLOGY |  | 1093386826 |
| TOTAL NETHERLANDS |  | 1405941339 |
| PORTUGAL - 0.1%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Jeronimo Martins SGPS SA  | 946230 | 24888135 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Galp Energia SGPS SA  | 1835900 | 39524636 |
| TOTAL PORTUGAL |  | 64412771 |
| SINGAPORE - 0.5%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |
| Singapore Telecommunications Ltd  | 35508740 | 141484742 |
| Consumer Discretionary - 0.1% |  |  |
| Broadline Retail - 0.1% |  |  |
| Sea Ltd Class A ADR (d) | 531900 | 57684554 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| United Overseas Bank Ltd  | 5323723 | 155332799 |
| TOTAL SINGAPORE |  | 354502095 |
| SOUTH AFRICA - 0.1%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Thungela Resources Ltd (United Kingdom)  | 258200 | 1767653 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Anglo American PLC  | 1199207 | 59831528 |
| Valterra Platinum Ltd (United Kingdom)  | 202045 | 23471048 |
| TOTAL MATERIALS |  | 83302576 |
| TOTAL SOUTH AFRICA |  | 85070229 |
| SPAIN - 2.2%  |  |  |
| Financials - 1.7% |  |  |
| Banks - 1.7% |  |  |
| Banco Santander SA  | 58088867 | 732620450 |
| Bankinter SA  | 7430875 | 124461062 |
| CaixaBank SA  | 24237669 | 298735978 |
| TOTAL FINANCIALS |  | 1155817490 |
| Industrials - 0.0% |  |  |
| Transportation Infrastructure - 0.0% |  |  |
| Aena SME SA (f)(g) | 746730 | 23531905 |
| Utilities - 0.5% |  |  |
| Electric Utilities - 0.5% |  |  |
| Iberdrola SA  | 15160517 | 357837653 |
| TOTAL SPAIN |  | 1537187048 |
| SWEDEN - 0.9%  |  |  |
| Financials - 0.5% |  |  |
| Capital Markets - 0.1% |  |  |
| EQT AB  | 1584640 | 49166740 |
| Financial Services - 0.4% |  |  |
| Investor AB B Shares  | 6257440 | 261835700 |
| TOTAL FINANCIALS |  | 311002440 |
| Health Care - 0.0% |  |  |
| Life Sciences Tools & Services - 0.0% |  |  |
| AddLife AB B Shares  | 1001600 | 17108280 |
| Industrials - 0.4% |  |  |
| Building Products - 0.3% |  |  |
| Assa Abloy AB B Shares  | 4313635 | 183610360 |
| Machinery - 0.1% |  |  |
| Indutrade AB  | 2685019 | 69835002 |
| TOTAL INDUSTRIALS |  | 253445362 |
| TOTAL SWEDEN |  | 581556082 |
| SWITZERLAND - 1.2%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Cie Financiere Richemont SA Series A  | 604280 | 123187147 |
| Financials - 1.0% |  |  |
| Capital Markets - 0.4% |  |  |
| Partners Group Holding AG  | 15590 | 17385531 |
| UBS Group AG  | 4743913 | 197506218 |
| UBS Group AG (United States) (c) | 911987 | 37783621 |
|  |  | 252675370 |
| Insurance - 0.6% |  |  |
| Swiss Life Holding AG  | 40590 | 46531867 |
| Zurich Insurance Group AG  | 476811 | 359670431 |
|  |  | 406202298 |
| TOTAL FINANCIALS |  | 658877668 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Galderma Group AG  | 130570 | 24639868 |
| TOTAL SWITZERLAND |  | 806704683 |
| TAIWAN - 0.5%  |  |  |
| Information Technology - 0.5% |  |  |
| Semiconductors & Semiconductor Equipment - 0.5% |  |  |
| Taiwan Semiconductor Manufacturing Co Ltd  | 5987965 | 371791808 |
| UNITED KINGDOM - 6.1%  |  |  |
| Consumer Discretionary - 0.6% |  |  |
| Hotels, Restaurants & Leisure - 0.5% |  |  |
| Compass Group PLC  | 3971994 | 121636277 |
| InterContinental Hotels Group PLC  | 920846 | 126616325 |
|  |  | 248252602 |
| Household Durables - 0.1% |  |  |
| Barratt Redrow PLC  | 15750119 | 77110303 |
| Leisure Products - 0.0% |  |  |
| Games Workshop Group PLC  | 114370 | 27573988 |
| Specialty Retail - 0.0% |  |  |
| JD Sports Fashion PLC  | 6660900 | 7358985 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Burberry Group PLC (d) | 1800330 | 28216877 |
| TOTAL CONSUMER DISCRETIONARY |  | 388512755 |
| Consumer Staples - 1.2% |  |  |
| Beverages - 0.1% |  |  |
| Diageo PLC  | 3370473 | 75588022 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Tesco PLC  | 2841202 | 18392611 |
| Personal Care Products - 0.1% |  |  |
| Unilever PLC  | 1330353 | 98015121 |
| Tobacco - 1.0% |  |  |
| British American Tobacco PLC  | 6632310 | 414157201 |
| Imperial Brands PLC  | 4484086 | 200837129 |
|  |  | 614994330 |
| TOTAL CONSUMER STAPLES |  | 806990084 |
| Financials - 1.9% |  |  |
| Banks - 1.5% |  |  |
| Barclays PLC  | 4153850 | 25212682 |
| HSBC Holdings PLC  | 15031570 | 280955229 |
| Lloyds Banking Group PLC  | 217520187 | 297136130 |
| NatWest Group PLC  | 28647000 | 237839310 |
| Standard Chartered PLC  | 6257870 | 154365409 |
|  |  | 995508760 |
| Capital Markets - 0.1% |  |  |
| 3i Group PLC  | 1634849 | 73038311 |
| London Stock Exchange Group PLC  | 182452 | 21785095 |
| St James's Place PLC  | 1104300 | 20090834 |
|  |  | 114914240 |
| Insurance - 0.3% |  |  |
| Admiral Group PLC  | 1040940 | 41579667 |
| Aviva PLC  | 10803787 | 99879703 |
| Beazley PLC  | 3239900 | 55320403 |
|  |  | 196779773 |
| TOTAL FINANCIALS |  | 1307202773 |
| Health Care - 0.6% |  |  |
| Pharmaceuticals - 0.6% |  |  |
| Astrazeneca PLC  | 1905539 | 399118501 |
| Industrials - 1.2% |  |  |
| Aerospace & Defense - 1.0% |  |  |
| BAE Systems PLC  | 9107854 | 260079788 |
| Rolls-Royce Holdings PLC  | 23755872 | 427179986 |
|  |  | 687259774 |
| Professional Services - 0.1% |  |  |
| Intertek Group PLC  | 253237 | 16114998 |
| RELX PLC  | 2361259 | 82486742 |
|  |  | 98601740 |
| Trading Companies & Distributors - 0.1% |  |  |
| Diploma PLC  | 570218 | 43609780 |
| TOTAL INDUSTRIALS |  | 829471294 |
| Information Technology - 0.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Halma PLC  | 1631700 | 92004507 |
| Utilities - 0.5% |  |  |
| Electric Utilities - 0.3% |  |  |
| SSE PLC  | 5522588 | 199616096 |
| Multi-Utilities - 0.2% |  |  |
| National Grid PLC  | 6768581 | 126617358 |
| TOTAL UTILITIES |  | 326233454 |
| TOTAL UNITED KINGDOM |  | 4149533368 |
| UNITED STATES - 5.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Entertainment - 0.0% |  |  |
| Spotify Technology SA (c)(d) | 97380 | 50144856 |
| Consumer Staples - 0.1% |  |  |
| Food Products - 0.1% |  |  |
| Nestle SA  | 647850 | 70784378 |
| Energy - 0.9% |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |
| BP PLC  | 5852510 | 37932512 |
| Shell PLC  | 8483005 | 355292636 |
| Shell PLC ADR (c) | 2397900 | 200248629 |
| Shell PLC rights (d)(e) | 6026605 | 2241897 |
| TOTAL ENERGY |  | 595715674 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.1% |  |  |
| Moody's Corp  | 87356 | 41720352 |
| S&P Global Inc  | 92484 | 40866830 |
|  |  | 82587182 |
| Financial Services - 0.1% |  |  |
| Mastercard Inc Class A  | 79643 | 41192156 |
| Visa Inc Class A  | 132433 | 42397101 |
|  |  | 83589257 |
| TOTAL FINANCIALS |  | 166176439 |
| Health Care - 1.9% |  |  |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Alcon AG  | 1775862 | 154430817 |
| Boston Scientific Corp (d) | 18319 | 1407815 |
|  |  | 155838632 |
| Pharmaceuticals - 1.7% |  |  |
| GSK PLC  | 14097665 | 418887715 |
| Roche Holding AG non-voting shares  | 1460789 | 695191613 |
|  |  | 1114079328 |
| TOTAL HEALTH CARE |  | 1269917960 |
| Industrials - 1.2% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| HEICO Corp  | 82087 | 26223513 |
| TransDigm Group Inc  | 22285 | 29032675 |
|  |  | 55256188 |
| Commercial Services & Supplies - 0.2% |  |  |
| Waste Connections Inc  | 755412 | 129993665 |
| Construction & Engineering - 0.1% |  |  |
| Ferrovial SE  | 1076907 | 80369414 |
| Electrical Equipment - 0.7% |  |  |
| Schneider Electric SE  | 1508152 | 492878902 |
| Trading Companies & Distributors - 0.1% |  |  |
| Ferguson Enterprises Inc (United Kingdom)  | 161800 | 42170825 |
| TOTAL INDUSTRIALS |  | 800668994 |
| Information Technology - 0.1% |  |  |
| Software - 0.1% |  |  |
| Cadence Design Systems Inc (d) | 131400 | 39603960 |
| Synopsys Inc (d) | 101500 | 42021000 |
| TOTAL INFORMATION TECHNOLOGY |  | 81624960 |
| Materials - 0.9% |  |  |
| Chemicals - 0.1% |  |  |
| Linde PLC  | 104900 | 53297592 |
| Construction Materials - 0.8% |  |  |
| Amrize Ltd  | 626570 | 40087115 |
| CRH PLC  | 1916500 | 229941670 |
| CRH PLC (United Kingdom)  | 389070 | 46245922 |
| Holcim AG  | 2378193 | 218630309 |
|  |  | 534905016 |
| TOTAL MATERIALS |  | 588202608 |
| TOTAL UNITED STATES |  | 3623235869 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $21,667,693,465) |  | <br> **30909336840** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** |
|  | Shares | Value ($)<br>|
| Fidelity SAI Inflation-Focused Fund (b)<br>(Cost $1,196)<br>| 15 | **1505** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**International Equity Funds - 49.2%** | &nbsp;&nbsp;**International Equity Funds - 49.2%** | &nbsp;&nbsp;**International Equity Funds - 49.2%** |
|  | Shares | Value ($)<br>|
| Fidelity Advisor International Discovery Fund - Class Z (b) | 77600033 | 4762314048 |
| Fidelity Advisor International Growth Fund - Class Z (b) | 66948272 | 1649605414 |
| Fidelity Advisor International Real Estate Fund - Class Z (b) | 8370922 | 96684154 |
| Fidelity Advisor International Small Cap Opportunities Fund - Class Z (b) | 6979896 | 161933577 |
| Fidelity Advisor Japan Fund - Class Z (b) | 9715552 | 225109330 |
| Fidelity Diversified International Fund (b) | 87892894 | 4671507333 |
| Fidelity Japan Smaller Companies Fund (b) | 3117355 | 61443064 |
| Fidelity Pacific Basin Fund (b) | 3631096 | 160421842 |
| Fidelity SAI International Index Fund (b) | 211655056 | 4065893625 |
| Fidelity SAI International Low Volatility Index Fund (b) | 278801367 | 4003587627 |
| Fidelity SAI International Momentum Index Fund (b) | 36166863 | 729485629 |
| Fidelity SAI International Quality Index Fund (b) | 80127934 | 1202720296 |
| Fidelity SAI International Small Cap Index Fund (b) | 65149924 | 749875630 |
| Fidelity SAI International Value Index Fund (b) | 754885701 | 10779767809 |
| Fidelity SAI Japan Stock Index Fund (b) | 11561545 | 157121402 |
| iShares MSCI India ETF (c) | 2307335 | 120604400 |
| <br> **TOTAL INTERNATIONAL EQUITY FUNDS**<br> (Cost $24,510,799,583) |  | **33598075180** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| GERMANY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Porsche Automobil Holding SE <br>(Cost $14,233,150)<br>| 296500 | **12536649** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** |
|  | Yield (%) (h) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/12/2026 (i) | 3.57 to 3.58 | 5340000 | 5334614 |
| US Treasury Bills 0% 3/26/2026 (i) | 3.55 to 3.56 | 1040000 | 1037482 |
| US Treasury Bills 0% 3/5/2026 (i) | 3.59 to 3.67 | 17190000 | 17184771 |
| US Treasury Bills 0% 4/16/2026 (i) | 3.58 to 3.59 | 2570000 | 2558364 |
| US Treasury Bills 0% 4/2/2026 (i) | 3.51 to 3.58 | 44720000 | 44580406 |
| US Treasury Bills 0% 4/9/2026 (i) | 3.55 to 3.58 | 8780000 | 8746427 |
| US Treasury Bills 0% 5/14/2026 (i) | 3.62 to 3.64 | 17120000 | 16995371 |
| US Treasury Bills 0% 5/21/2026 (i) | 3.63 | 2720000 | 2698330 |
| US Treasury Bills 0% 5/28/2026 (i) | 3.63 | 9880000 | 9794447 |
| US Treasury Bills 0% 5/7/2026 (i) | 3.62 to 3.64 | 1110000 | 1102674 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $110,026,683) |  |  | **110032886** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.9%** | &nbsp;&nbsp;**Money Market Funds - 5.9%** | &nbsp;&nbsp;**Money Market Funds - 5.9%** | &nbsp;&nbsp;**Money Market Funds - 5.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (j) | 3.70 | 435633666 | 435720793 |
| Fidelity Securities Lending Cash Central Fund (j)(k) | 3.69 | 345635248 | 345669811 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (l) | 3.63 | 3225712867 | 3225712867 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $4,007,103,471) |  |  | **4007103471** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.4%**<br> (Cost $50,309,857,548)<br>| <br>**68637086531** |
| **NET OTHER ASSETS (LIABILITIES) - (0.4)%**  | **(294434269)** |
| **NET ASSETS - 100.0%** | **68342652262** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| CME E-Mini Nikkei 225 Index Contracts (United States) | 250 | 3/2026 | 73393750 | 10205545 |
| ICE MSCI EAFE Index Contracts (United States) | 20192 | 3/2026 | 3195484960 | 186140678 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **196346223** |
| The notional amount of long futures as a percentage of Net Assets is 4.8%. | The notional amount of long futures as a percentage of Net Assets is 4.8%. | The notional amount of long futures as a percentage of Net Assets is 4.8%. | The notional amount of long futures as a percentage of Net Assets is 4.8%. | The notional amount of long futures as a percentage of Net Assets is 4.8%. |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Affiliated fund.

(c) Security or a portion of the security is on loan at period end.

(d) Non-income producing.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $106,487,216 or 0.2% of net assets.

(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $139,650,516 or 0.2% of net assets.

(h) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $96,880,888.

(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(k) Investment made with cash collateral received from securities on loan.

(l) The rate quoted is the annualized seven-day yield of the fund at period end.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 139844539 | 5239574564 | 4943710023 | 14196114 | 11713 | - | 435720793 | 435633666 | 0.7% |
| Fidelity Securities Lending Cash Central Fund | 191564836 | 3469639212 | 3315526814 | 943031 | (7423) | - | 345669811 | 345635248 | 1.0% |
| Total | 331409375 | 8709213776 | 8259236837 | 15139145 | 4290 | - | 781390604 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Advisor International Discovery Fund - Class Z | 3650923038 | 291792339 | 15000000 | 291792338 | (2015905) | 836614576 | 4762314048 | 77600033 |
| Fidelity Advisor International Growth Fund - Class Z | 848881853 | 636402508 | - | 53402509 | - | 164321053 | 1649605414 | 66948272 |
| Fidelity Advisor International Real Estate Fund - Class Z | 74382620 | 1779607 | - | 2683666 | - | 20521927 | 96684154 | 8370922 |
| Fidelity Advisor International Small Cap Opportunities Fund - Class Z | 125330748 | 16373155 | - | 16373155 | - | 20229674 | 161933577 | 6979896 |
| Fidelity Advisor Japan Fund - Class Z | 162346867 | - | - | 19227077 | - | 62762463 | 225109330 | 9715552 |
| Fidelity Diversified International Fund | 3477320392 | 512049644 | 10000000 | 412049645 | (1170561) | 693307858 | 4671507333 | 87892894 |
| Fidelity Japan Smaller Companies Fund | 48848950 | - | - | 9214901 | - | 12594114 | 61443064 | 3117355 |
| Fidelity Pacific Basin Fund | 116412953 | - | - | 11525100 | - | 44008889 | 160421842 | 3631096 |
| Fidelity SAI Inflation-Focused Fund | 1246 | 88 | - | 87 | - | 171 | 1505 | 15 |
| Fidelity SAI International Index Fund | 4255393719 | 854142903 | 2031490495 | 131081973 | 131268772 | 856578726 | 4065893625 | 211655056 |
| Fidelity SAI International Low Volatility Index Fund | 2822208723 | 404729772 | - | 90729771 | - | 776649132 | 4003587627 | 278801367 |
| Fidelity SAI International Momentum Index Fund | 450064544 | 95735653 | - | 16735653 | - | 183685432 | 729485629 | 36166863 |
| Fidelity SAI International Quality Index Fund | 974706347 | 148529523 | 75000000 | 22529523 | (7352419) | 161836845 | 1202720296 | 80127934 |
| Fidelity SAI International Small Cap Index Fund | 528603301 | 24107324 | - | 24107324 | - | 197165005 | 749875630 | 65149924 |
| Fidelity SAI International Value Index Fund | 6616002102 | 1436963064 | - | 618963067 | - | 2726802643 | 10779767809 | 754885701 |
| Fidelity SAI Japan Stock Index Fund | 110823663 | 6820763 | - | 6820763 | - | 39476976 | 157121402 | 11561545 |
|  | 24262251066 | 4429426343 | 2131490495 | 1727236552 | 120729887 | 6796555484 | 33477472285 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 773320638 | 270122683 | 503197955 | - |
| Consumer Discretionary | 2121311947 | 839179542 | 1282132405 | - |
| Consumer Staples | 1599374380 | 526967977 | 1072406403 | - |
| Energy | 1154729704 | 682121778 | 472607926 | - |
| Financials | 8906230596 | 2508762537 | 6397468059 | - |
| Health Care | 2941743581 | 1430874228 | 1510869353 | - |
| Industrials | 6569140554 | 2471023897 | 4098116657 | - |
| Information Technology | 3096570287 | 1089890055 | 2006680232 | - |
| Materials | 2409815611 | 990303552 | 1419512059 | - |
| Real Estate | 334412726 | 292934541 | 41478185 | - |
| Utilities | 1002686816 | 142603939 | 860082877 | - |
|  **Domestic Equity Funds** | 1505 | 1505 | - | - |
|  **International Equity Funds** | 33598075180 | 33598075180 | - | - |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Consumer Discretionary | 12536649 | - | 12536649 | - |
|  **U.S. Treasury Obligations** | 110032886 | - | 110032886 | - |
|  **Money Market Funds** | 4007103471 | 4007103471 | - | - |
| **Total Investments in Securities:** | 68637086531 | 48849964885 | 19787121646 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 196346223 | 196346223 | - | - |
| Total Assets | 196346223 | 196346223 | - | - |
| **Total Derivative Instruments:** | 196346223 | 196346223 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 196346223 | - |
| **Total Equity Risk**  | 196346223 | - |
| **Total Value of Derivatives** | 196346223 | - |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of February 28, 2026** | **As of February 28, 2026** | **As of February 28, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $330,649,607) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $25,140,984,028) | $34378223642 |  |
| Fidelity Central Funds (cost $781,390,604) | 781390604 |  |
| Other affiliated issuers (cost $24,387,482,916) | 33477472285 |  |
| Total Investment in Securities (cost $50,309,857,548) |  | $68637086531 |
| Foreign currency held at value (cost $240,185,338) |  | 239772533 |
| Receivable for investments sold |  | 101132761 |
| Receivable for fund shares sold |  | 101599302 |
| Dividends receivable |  | 62590945 |
| Interest receivable |  | 1422 |
| Distributions receivable from Fidelity Central Funds |  | 1223834 |
| Other receivables |  | 1496116 |
| **Total assets** |  | 69144903444 |
| **Liabilities** |  |  |
| Payable to custodian bank  | $995 |  |
| Payable for investments purchased |  |  |
| Regular delivery | 382918735 |  |
| Delayed delivery | 2241897 |  |
| Payable for fund shares redeemed | 55122956 |  |
| Accrued management fee | 7044485 |  |
| Payable for daily variation margin on futures contracts | 7995394 |  |
| Other payables and accrued expenses | 1249486 |  |
| Collateral on securities loaned | 345677234 |  |
| **Total liabilities** |  | 802251182 |
| **Net Assets**  |  | $68342652262 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $49136196679 |
| Total accumulated earnings (loss) |  | 19206455583 |
| **Net Assets** |  | $68342652262 |
| **Net Asset Value**, offering price and redemption price per share ($68,342,652,262 ÷ 4,140,657,084 shares) |  | $16.51 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $739160418 |
| Affiliated issuers |  | 865657401 |
| Interest  |  | 3791045 |
| Income from Fidelity Central Funds (including $943,031 from security lending)  |  | 15139145 |
| Income before foreign taxes withheld |  | $1623748009 |
| Less foreign taxes withheld |  | (35947007) |
| **Total income** |  | 1587801002 |
| **Expenses** |  |  |
| Management fee | $211070193 |  |
| Custodian fees and expenses | 1316540 |  |
| Independent trustees' fees and expenses | 248762 |  |
| Registration fees | 833534 |  |
| Audit fees | 107499 |  |
| Legal | 77995 |  |
| Miscellaneous | 218324 |  |
| Total expenses before reductions | 213872847 |  |
| Expense reductions | (139713430) |  |
| Total expenses after reductions |  | 74159417 |
| **Net Investment income (loss)** |  | 1513641585 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 11502902 |  |
| Fidelity Central Funds | 4290 |  |
| Other affiliated issuers | 120729887 |  |
| Foreign currency transactions | 9959226 |  |
| Futures contracts | 499324991 |  |
| Capital gain distributions from underlying funds: |  |  |
| Affiliated issuers | 861579151 |  |
| Total net realized gain (loss) |  | 1503100447 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 6613670850 |  |
| Affiliated issuers  | 6796555484 |  |
| Assets and liabilities in foreign currencies | 2595045 |  |
| Futures contracts | 164646546 |  |
| Total change in net unrealized appreciation (depreciation) |  | 13577467925 |
| **Net gain (loss)** |  | 15080568372 |
| **Net increase (decrease) in net assets resulting from operations** |  | $16594209957 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **February 28, 2026** | **Year ended**<br> **February 28, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1513641585 | $1034778099 |
| &nbsp;&nbsp;Net realized gain (loss) | 1503100447<br>| 1248040754<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 13577467925 | 1543698433<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 16594209957<br>| 3826517286<br>|
| Distributions to shareholders | (1840174762)<br>| (1440029686)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 20379364389 | 20046129240 |
| Reinvestment of distributions | 1833930536<br>| 1434502784<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (16174213437) | (7501663735) |
| **Net increase (decrease) in net assets resulting from share transactions** | 6039081488<br>| 13978968289<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 20793116683<br>| 16365455889<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 47549535579 | 31184079690<br>|
| &nbsp;&nbsp;End of period | $68342652262 | $47549535579 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 1410870071 | 1606466664 |
| Issued in reinvestment of distributions | 122285078<br>| 121178880<br>|
| &nbsp;&nbsp;Redeemed | (1130994746) | (599718456) |
| &nbsp;&nbsp;Net increase (decrease) | 402160403 | 1127927088 |

---

**Financial Highlights** 

**Strategic Advisers® Fidelity® International Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended February 28,** | **2026**  | **2025**  | **2024** A  | **2023**  | **2022**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $12.72 | $11.95 | $10.56 | $11.66 | $12.16 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | .39  | .32  | .32  | .21  | .27  |
| Net realized and unrealized gain (loss)  | 3.85  | .85  | 1.35  | (.84)  | (.03)  |
| Total from investment operations  | 4.24  | 1.17  | 1.67  | (.63)  | .24  |
| Distributions from net investment income  | (.41)  | (.30)  | (.28)  | (.21)  | (.25)  |
| Distributions from net realized gain  | (.05)  | (.10)  | -  | (.26)  | (.49)  |
| Total distributions  | (.45) D | (.40)  | (.28)  | (.47)  | (.74)  |
| Net asset value, end of period  | $16.51 | $12.72 | $11.95 | $10.56 | $11.66 |
| **Total Return** E | 33.73% <br>| 10.06%  | 15.91%  | (5.41)%  | 1.59%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |  |
| Expenses before reductions  | .38%  | .37%  | .33%  | .32%  | .30%  |
| Expenses net of fee waivers, if any  | .13% <br>| .12%  | .08%  | .07%  | .05%  |
| Expenses net of all reductions, if any  | .13%  | .12%  | .08%  | .07%  | .05%  |
| Net investment income (loss)  | 2.71%  | 2.58%  | 2.85%  | 2.02%  | 2.09%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $68342652 | $47549536 | $31184080 | $20329685 | $24586628 |
| Portfolio turnover rate H | 34% <br>| 40% I | 16%  | 16%  | 17%  |

---

A*For the year ended February 29.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total distributions per share do not sum due to rounding.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

I*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements**

For the period ended February 28, 2026

**1. Organization.**

Strategic Advisers Fidelity International Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign taxes withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2026, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, passive foreign investment companies (PFIC) and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $18268069435 |
| **Gross unrealized depreciation**  | <u>(311052342)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$17957017093</u> |
| **Tax Cost**  | <u>$50680069438</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$77980230</u> |
| **Undistributed long-term capital gain**  | <u>$1169243434</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$17959231920</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **February 28, 2026** | **February 28, 2025** |
| **Ordinary Income**  | $1657157201 | $1074449525 |
| **Long-term Capital Gains**  | <u>183017561</u> | <u>365580161</u> |
| **Total**  | <u>$1840174762</u> | <u>$1440029686</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers Fidelity International Fund** | 23546302292 | 18180430218 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .38% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Advisers.** FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

Fidelity Diversifying Solutions LLC (an affiliate of the investment adviser), FIL Investment Advisors and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Strategic Advisers Fidelity International Fund** | $124091 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Strategic Advisers Fidelity International Fund** | 714826507 | 520753757 | 2665946 |

---

**Prior Fiscal Year Affiliated Exchanges In-Kind.** During the prior period, the Fund redeemed shares of Fidelity Overseas Fund and Fidelity International Capital Appreciation Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized gain of $1,534,099,341 on the Fund's redemptions of Fidelity Overseas Fund and Fidelity International Capital Appreciation Fund, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net gain on the exchanges for federal income tax purposes.

---

| | | | |
|:---|:---|:---|:---|
|  | **Value of Investments ($)** | **Net realized gain (loss) ($)** | **Shares redeemed ($)** |
| **Fidelity Overseas Fund** | 4181757673 | 853603460 | 61496436 |
| **Fidelity International Capital Appreciation Fund** | 2203307882 | 680495881 | 73272627 |

---

**6. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2027 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Fidelity International Fund** | 67243 |

---

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral or, for non-cash collateral, loan fees received from the borrower as compensation for the securities loaned, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

---

| | |
|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** |
| **Strategic Advisers Fidelity International Fund** | 102942 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2028. During the period, this waiver reduced the Fund's management fee by $139,713,430.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

---

| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Fidelity International Fund** |
| **Fidelity Diversified International Fund** | 32% |
| **Fidelity International Discovery Fund** | 38% |
| **Fidelity International Growth Fund** | 20% |
| **Fidelity International Real Estate Fund** | 26% |
| **Fidelity Japan Fund** | 22% |
| **Fidelity Japan Smaller Companies Fund** | 14% |
| **Fidelity Pacific Basin Fund** | 14% |
| **Fidelity SAI International Index Fund** | 48% |
| **Fidelity SAI International Low Volatility Index Fund** | 54% |
| **Fidelity SAI International Momentum Index Fund** | 66% |
| **Fidelity SAI International Quality Index Fund** | 71% |
| **Fidelity SAI International Small Cap Index Fund** | 70% |
| **Fidelity SAI International Value Index Fund** | 82% |
| **Fidelity SAI Japan Stock Index Fund** | 24% |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity International Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2026, the related statement of operations for the year ended February 28, 2026, the statement of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2026 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2026, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2026 and the financial highlights for each of the five years in the period ended February 28, 2026 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

April 14, 2026

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2026, $1,450,884,937, or, if subsequently determined to be different, the net capital gain of such year.

A total of 2.49% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $31,698,406 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 1% and 0% of the dividends distributed in April and December respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 52.59% and 71.40% of the dividends distributed in April and December respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.0272 and $0.0135 for the dividend paid April 14, 2025.

The fund will notify shareholders in the first quarter of 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers Fidelity International Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, Fidelity Diversifying Solutions LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (each a Sub-Sub-Adviser and collectively, the Sub-Sub-Advisers) (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers and Sub-Sub-Advisers, as applicable, are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2025 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year, and the factors may have been weighed differently by different Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.

**Nature, Extent, and Quality of Services Provided**. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management.

<u>Investment Performance</u>. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses**. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board noted that the Sub-Sub-Advisers are compensated by the applicable Sub-Advisers and the Fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Wealth Services managed account program.

In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, and custodial, legal, and audit fees.

<u>Comparisons of Management Fees and Total Expense Ratios.</u> Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar Categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the funds and classes in the total peer group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparisons exclude performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024.

<u>Fees Charged to Other Clients</u>. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale**. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img126034_4.jpg)<br>

1.912839.115 SIL-ANN-0426

**Strategic Advisers® Emerging Markets Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**February 28, 2026**

![](img126035_1.jpg)

![](img126035_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SAE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® Emerging Markets Fund](#Sub_Sec_Fund_2261_SAE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements2261_SAE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SAE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SAE-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SAE-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SAE-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SAE-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SAE-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® Emerging Markets Fund**

**Schedule of Investments February 28, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 69.5%** | &nbsp;&nbsp;**Common Stocks - 69.5%** | &nbsp;&nbsp;**Common Stocks - 69.5%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 0.7%  |  |  |
| Materials - 0.7% |  |  |
| Metals & Mining - 0.7% |  |  |
| Anglogold Ashanti Plc  | 701309 | 89606251 |
| Anglogold Ashanti Plc (South Africa)  | 120135 | 15369279 |
| TOTAL AUSTRALIA |  | 104975530 |
| AUSTRIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Raiffeisen Bank International AG  | 17898 | 893726 |
| BRAZIL - 3.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Unifique Telecomunicacoes S/A  | 32900 | 33885 |
| Wireless Telecommunication Services - 0.0% |  |  |
| TIM SA/Brazil  | 1068100 | 5812931 |
| TOTAL COMMUNICATION SERVICES |  | 5846816 |
| Consumer Discretionary - 0.4% |  |  |
| Automobile Components - 0.0% |  |  |
| Mahle Metal Leve SA  | 15500 | 109300 |
| Broadline Retail - 0.2% |  |  |
| MercadoLibre Inc (c) | 13328 | 23425026 |
| Diversified Consumer Services - 0.0% |  |  |
| Cogna Educacao SA  | 4881110 | 3332466 |
| Ser Educacional SA (e)(f) | 37664 | 90808 |
|  |  | 3423274 |
| Household Durables - 0.1% |  |  |
| Construtora Tenda S/A  | 297100 | 1753681 |
| Cury Construtora e Incorporadora SA  | 115400 | 874757 |
| Cyrela Brazil Realty SA Empreendimentos e Participacoes  | 823200 | 4931333 |
| Cyrela Brazil Realty SA Empreendimentos e Participacoes  | 138322 | 786518 |
|  |  | 8346289 |
| Specialty Retail - 0.1% |  |  |
| C&A MODAS SA  | 167100 | 421784 |
| Grupo SBF SA  | 151000 | 372897 |
| Lojas Renner SA  | 358077 | 1088236 |
| Ultrapar Participacoes SA  | 483800 | 2434807 |
| Vibra Energia SA  | 2782811 | 16241433 |
|  |  | 20559157 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Alpargatas SA  | 130800 | 392158 |
| GUARARAPES CONFECCOES SA  | 111962 | 219053 |
|  |  | 611211 |
| TOTAL CONSUMER DISCRETIONARY |  | 56474257 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Raia Drogasil SA  | 1198686 | 5864244 |
| Energy - 0.5% |  |  |
| Oil, Gas & Consumable Fuels - 0.5% |  |  |
| Petroleo Brasileiro SA - Petrobras ADR  | 582168 | 9681454 |
| PRIO SA/Brazil (c) | 5368019 | 57057126 |
| TOTAL ENERGY |  | 66738580 |
| Financials - 1.5% |  |  |
| Banks - 1.0% |  |  |
| Banco ABC Brasil SA  | 37900 | 200570 |
| Banco Bradesco SA ADR  | 1605577 | 6566810 |
| Banco do Brasil SA  | 1114400 | 5858399 |
| Banco do Estado do Rio Grande do Sul SA Series B  | 181900 | 659261 |
| Inter & Co Inc Class A  | 146927 | 1279734 |
| Itau Unibanco Holding SA  | 3334237 | 30425360 |
| Itau Unibanco Holding SA ADR  | 2050036 | 18552826 |
| Itausa SA  | 9636210 | 26823118 |
| NU Holdings Ltd/Cayman Islands Class A (c) | 2955923 | 44279727 |
|  |  | 134645805 |
| Capital Markets - 0.4% |  |  |
| Banco BTG Pactual SA unit  | 4518435 | 53993822 |
| XP Inc Class A  | 175900 | 3787127 |
|  |  | 57780949 |
| Financial Services - 0.1% |  |  |
| Pagseguro Digital Ltd Class A (d) | 509501 | 5405806 |
| StoneCo Ltd Class A (c)(d) | 611133 | 10267034 |
|  |  | 15672840 |
| TOTAL FINANCIALS |  | 208099594 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Fleury SA  | 530300 | 1739909 |
| Profarma Distribuidora de Produtos Farmaceuticos SA  | 12200 | 21299 |
| TOTAL HEALTH CARE |  | 1761208 |
| Industrials - 0.2% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA  | 26122 | 111183 |
| Electrical Equipment - 0.0% |  |  |
| WEG SA  | 683054 | 6622020 |
| Ground Transportation - 0.2% |  |  |
| Localiza Rent a Car SA  | 1400191 | 13863981 |
| Movida Participacoes SA  | 799100 | 2308528 |
|  |  | 16172509 |
| TOTAL INDUSTRIALS |  | 22905712 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| TOTVS SA  | 1022000 | 7543642 |
| Materials - 0.4% |  |  |
| Metals & Mining - 0.3% |  |  |
| CSN Mineracao SA  | 205900 | 218491 |
| Gerdau SA  | 1126710 | 4613215 |
| Gerdau SA ADR  | 570708 | 2305660 |
| Vale SA  | 23700 | 409000 |
| Vale SA ADR  | 2344859 | 40284678 |
|  |  | 47831044 |
| Paper & Forest Products - 0.1% |  |  |
| Eucatex SA Industria e Comercio  | 6879 | 29118 |
| Suzano SA  | 742185 | 8396904 |
|  |  | 8426022 |
| TOTAL MATERIALS |  | 56257066 |
| Utilities - 0.3% |  |  |
| Electric Utilities - 0.3% |  |  |
| Axia Energia  | 1969850 | 23542907 |
| Axia Energia Series C  | 356180 | 4101993 |
| Equatorial SA  | 2521577 | 20712690 |
|  |  | 48357590 |
| Water Utilities - 0.0% |  |  |
| Cia De Sanena Do Parana  | 554576 | 929251 |
| TOTAL UTILITIES |  | 49286841 |
| TOTAL BRAZIL |  | 480777960 |
| CANADA - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Cameco Corp  | 87400 | 10340246 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Torex Gold Resources Inc  | 73009 | 4448354 |
| TOTAL CANADA |  | 14788600 |
| CHILE - 0.4%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| Falabella SA  | 686589 | 5097966 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Banco de Chile  | 49679417 | 10246465 |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Latam Airlines Group SA  | 142042052 | 3997333 |
| Materials - 0.3% |  |  |
| Metals & Mining - 0.3% |  |  |
| Antofagasta PLC  | 772042 | 44406082 |
| TOTAL CHILE |  | 63747846 |
| CHINA - 16.9%  |  |  |
| Communication Services - 4.1% |  |  |
| Entertainment - 0.6% |  |  |
| 37 Interactive Entertainment Network Technology Group Co Ltd A Shares (China)  | 499700 | 1785111 |
| FriendTimes Inc (c)(f) | 11932 | 747 |
| G-bits Network Technology Xiamen Co Ltd A Shares (China)  | 131797 | 8063058 |
| Giant Network Group Co Ltd A Shares (China)  | 421000 | 2277434 |
| iQIYI Inc Class A ADR (c) | 207010 | 331216 |
| Netease Inc  | 940750 | 21190576 |
| Netease Inc ADR  | 48485 | 5574321 |
| Perfect World Co Ltd/China A Shares (China)  | 954700 | 3005449 |
| Tencent Music Entertainment Group A Shares  | 464028 | 3378831 |
| Tencent Music Entertainment Group Class A ADR  | 2459304 | 35905839 |
| XD Inc (f) | 345265 | 3261380 |
| Zhejiang Century Huatong Group Co Ltd A Shares (China) (c) | 1000040 | 2684485 |
|  |  | 87458447 |
| Interactive Media & Services - 3.5% |  |  |
| Autohome Inc Class A ADR  | 136290 | 2614042 |
| Baidu Inc A Shares (c) | 933731 | 14503960 |
| Baidu Inc Class A ADR (c)(d) | 40355 | 5021776 |
| Bilibili Inc Z Shares (c) | 204840 | 5718041 |
| Hello Group Inc Class A ADR  | 106578 | 689560 |
| JOYY Inc Class A ADR  | 80799 | 4821276 |
| Kuaishou Technology B Shares (e)(f) | 1520200 | 12212666 |
| Tencent Holdings Ltd  | 7037922 | 463051864 |
| Tongdao Liepin Group (f) | 345863 | 143236 |
| Weibo Corp Class A ADR (d) | 233218 | 2315855 |
|  |  | 511092276 |
| Media - 0.0% |  |  |
| Focus Media Information Technology Co Ltd A Shares (China)  | 2622300 | 2703284 |
| TOTAL COMMUNICATION SERVICES |  | 601254007 |
| Consumer Discretionary - 4.0% |  |  |
| Automobile Components - 0.2% |  |  |
| Autel Intelligent Technology Corp Ltd A Shares (China)  | 65970 | 352926 |
| Changchun Faway Automobile Components Co Ltd A Shares (China)  | 347900 | 549380 |
| Changzhou Xingyu Automotive Lighting Systems Co Ltd A Shares  | 203395 | 4525985 |
| Fuyao Glass Industry Group Co Ltd A Shares (China)  | 974628 | 8583525 |
| Hesai Group ADR (c) | 249275 | 6717961 |
| Huayu Automotive Systems Co Ltd A Shares (China)  | 813000 | 2291460 |
| Minth Group Ltd  | 94000 | 527229 |
| Shentong Technology Group Co Ltd A Shares (China)  | 108400 | 227131 |
| Shenzhen VMAX New Energy Group Co Ltd A Shares (China)  | 38351 | 170723 |
|  |  | 23946320 |
| Automobiles - 0.4% |  |  |
| BAIC Foton Motor Co Ltd A Shares (China) (c) | 2512700 | 1172413 |
| BAIC Motor Corp Ltd H Shares (c)(e)(f) | 848500 | 197391 |
| BYD Co Ltd H Shares  | 4194270 | 50562370 |
| Dongfeng Motor Group Co Ltd H Shares (c) | 2018000 | 2530432 |
| Geely Automobile Holdings Ltd  | 1723000 | 3556823 |
| Loncin Motor Co Ltd A Shares (China)  | 2493450 | 5726260 |
| Niu Technologies ADR (c) | 8307 | 30071 |
| SAIC Motor Corp Ltd A Shares (China)  | 90503 | 189103 |
| Yadea Group Holdings Ltd (e)(f) | 550000 | 802145 |
| Zhejiang Taotao Vehicles Co Ltd (China)  | 59100 | 1844990 |
|  |  | 66611998 |
| Broadline Retail - 2.1% |  |  |
| Alibaba Group Holding Ltd  | 7733902 | 139958425 |
| Alibaba Group Holding Ltd ADR  | 672841 | 96963117 |
| JD.com Inc A Shares  | 788200 | 10463901 |
| JD.com Inc ADR  | 91692 | 2432589 |
| PDD Holdings Inc Class A ADR (c) | 384639 | 39898603 |
| Prosus NV Class N  | 42579 | 2188579 |
| Vipshop Holdings Ltd Class A ADR  | 510578 | 8894269 |
|  |  | 300799483 |
| Distributors - 0.0% |  |  |
| Sinomach Automobile Co Ltd A Shares (China)  | 336900 | 328146 |
| Diversified Consumer Services - 0.1% |  |  |
| China New Higher Education Group Ltd (e)(f) | 172885 | 19447 |
| New Oriental Education & Technology Group Inc  | 274800 | 1511316 |
| New Oriental Education & Technology Group Inc ADR  | 134283 | 7338566 |
| Shanghai Action Education Technology Co Ltd A Shares (China)  | 38200 | 260006 |
| TAL Education Group Class A ADR (c) | 505549 | 5323431 |
|  |  | 14452766 |
| Hotels, Restaurants & Leisure - 0.8% |  |  |
| Atour Lifestyle Holdings Ltd ADR  | 275106 | 10803413 |
| H World Group Ltd ADR  | 766416 | 41999597 |
| Luckin Coffee Inc ADR (c) | 98300 | 3438534 |
| Meituan B Shares (c)(e)(f) | 2421101 | 24930092 |
| Shangri-La Asia Ltd  | 10888000 | 7083866 |
| Trip.com Group Ltd  | 61073 | 3169576 |
| Trip.com Group Ltd ADR  | 110090 | 5792936 |
| Xiabuxiabu Catering Management China Holdings Co Ltd (c)(e)(f) | 80000 | 7567 |
| Yum China Holdings Inc (d) | 329499 | 18092790 |
|  |  | 115318371 |
| Household Durables - 0.3% |  |  |
| Haier Smart Home Co Ltd A Shares (China)  | 6236967 | 23372029 |
| Haier Smart Home Co Ltd H Shares  | 769800 | 2625235 |
| Healthcare Co Ltd A Shares (China) (c) | 491300 | 679118 |
| Midea Group Co Ltd A Shares  | 1148483 | 13169156 |
| Midea Group Co Ltd A Shares (China)  | 178500 | 2046782 |
| TCL Electronics Holdings Ltd  | 112000 | 175801 |
| Viomi Technology Co Ltd Class A ADR  | 63369 | 80478 |
|  |  | 42148599 |
| Specialty Retail - 0.0% |  |  |
| Grand Baoxin Auto Group Ltd (c)(g) | 209460 | 2302 |
| Pop Mart International Group Ltd (e)(f) | 139000 | 4082905 |
| Zhongsheng Group Holdings Ltd  | 454500 | 601864 |
|  |  | 4687071 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |
| ANTA Sports Products Ltd  | 20600 | 223947 |
| Bosideng International Holdings Ltd  | 2584000 | 1605215 |
| Cabbeen Fashion Ltd  | 48447 | 8855 |
| CECEP COSTIN New Materials Group Ltd (c)(g) | 741000 | 1 |
| Li Ning Co Ltd  | 596500 | 1717051 |
| Luolai Lifestyle Technology Co Ltd A Shares (China)  | 132100 | 197239 |
| Shenzhou International Group Holdings Ltd  | 1498000 | 12130060 |
| Zhejiang Semir Garment Co Ltd A Shares (China)  | 99900 | 80698 |
|  |  | 15963066 |
| TOTAL CONSUMER DISCRETIONARY |  | 584255820 |
| Consumer Staples - 0.3% |  |  |
| Beverages - 0.3% |  |  |
| China Foods Ltd  | 206000 | 106115 |
| China Resources Beer Holdings Co Ltd  | 297000 | 1047780 |
| China Resources Beverage Holdings Co Ltd  | 81200 | 104206 |
| Eastroc Beverage Group Co Ltd A Shares  | 205821 | 7249442 |
| Eastroc Beverage Group Co Ltd A Shares (China)  | 303567 | 10692258 |
| Kweichow Moutai Co Ltd A Shares (China)  | 89236 | 18932105 |
| Tsingtao Brewery Co Ltd H Shares  | 96000 | 650357 |
|  |  | 38782263 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| JD Health International Inc (c)(e)(f) | 190250 | 1380051 |
| Yifeng Pharmacy Chain Co Ltd A Shares (China)  | 151700 | 537504 |
|  |  | 1917555 |
| Food Products - 0.0% |  |  |
| China Mengniu Dairy Co Ltd  | 696000 | 1439436 |
| Muyuan Foods Co Ltd H Shares  | 210300 | 1097815 |
|  |  | 2537251 |
| Household Products - 0.0% |  |  |
| Opple Lighting Co Ltd A Shares (China)  | 37800 | 103068 |
| Personal Care Products - 0.0% |  |  |
| Chlitina Holding Ltd  | 23000 | 80294 |
| Mao Geping Cosmetics Co LTD H Shares  | 411645 | 4130446 |
|  |  | 4210740 |
| TOTAL CONSUMER STAPLES |  | 47550877 |
| Energy - 0.3% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Anton Oilfield Services Group/Hong Kong  | 428000 | 67838 |
| China Oilfield Services Ltd H Shares  | 966000 | 1245870 |
| Sinopec Oilfield Service Corp H Shares (c) | 1306000 | 166935 |
|  |  | 1480643 |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |
| China Petroleum & Chemical Corp H Shares  | 43862000 | 30555500 |
| PetroChina Co Ltd H Shares  | 8373129 | 10210350 |
|  |  | 40765850 |
| TOTAL ENERGY |  | 42246493 |
| Financials - 2.6% |  |  |
| Banks - 1.2% |  |  |
| Agricultural Bank of China Ltd H Shares  | 19064980 | 12940032 |
| Bank of Chengdu Co Ltd A Shares (China)  | 2759329 | 6505840 |
| China Construction Bank Corp H Shares  | 122232343 | 124358433 |
| China Merchants Bank Co Ltd A Shares (China)  | 98700 | 557672 |
| China Merchants Bank Co Ltd H Shares  | 2771270 | 17300512 |
| China Minsheng Banking Corp Ltd H Shares  | 3978500 | 2059581 |
| Industrial & Commercial Bank of China Ltd H Shares  | 12998248 | 10716402 |
| Postal Savings Bank of China Co Ltd H Shares (e)(f) | 5385000 | 3393416 |
|  |  | 177831888 |
| Capital Markets - 0.0% |  |  |
| China Galaxy Securities Co Ltd H Shares  | 2334500 | 2957141 |
| China International Capital Corp Ltd H Shares (e)(f) | 788000 | 2040658 |
| Huatai Securities Co Ltd H Shares (e)(f) | 344000 | 737827 |
|  |  | 5735626 |
| Consumer Finance - 0.0% |  |  |
| Qfin Holdings Inc Class A ADR  | 132939 | 1935591 |
| Insurance - 1.4% |  |  |
| China Life Insurance Co Ltd H Shares  | 17403932 | 70252853 |
| China Pacific Insurance Group Co Ltd H Shares  | 2827661 | 12990022 |
| China Taiping Insurance Holdings Co Ltd  | 1492634 | 4361481 |
| New China Life Insurance Co Ltd H Shares  | 1200600 | 8478814 |
| People's Insurance Co Group of China Ltd/The H Shares  | 9356587 | 7666197 |
| PICC Property & Casualty Co Ltd H Shares  | 12589766 | 26053674 |
| Ping An Insurance Group Co of China Ltd H Shares  | 9603388 | 83075500 |
| Sunshine Insurance Group Co Ltd H Shares  | 901500 | 451706 |
|  |  | 213330247 |
| TOTAL FINANCIALS |  | 398833352 |
| Health Care - 0.9% |  |  |
| Biotechnology - 0.1% |  |  |
| 3SBio Inc (e)(f) | 565500 | 1585892 |
| Acrobiosystems Co Ltd A Shares (China)  | 85300 | 598749 |
| HBM Holdings Ltd (c)(e)(f) | 367000 | 569963 |
| Innovent Biologics Inc (c)(e)(f) | 1284585 | 13973233 |
| Mabwell Shanghai Bioscience Co Ltd A Shares (China) (c) | 134087 | 682928 |
|  |  | 17410765 |
| Health Care Equipment & Supplies - 0.1% |  |  |
| APT Medical Inc A Shares (China)  | 252759 | 9075177 |
| Edan Instruments Inc A Shares (China)  | 562600 | 1200966 |
| Shandong Weigao Group Medical Polymer Co Ltd H Shares  | 485600 | 315936 |
| Shenzhen Mindray Bio-Medical Electronics Co Ltd A Shares (China)  | 24100 | 653331 |
|  |  | 11245410 |
| Health Care Providers & Services - 0.0% |  |  |
| Hygeia Healthcare Holdings Co Ltd (c)(e)(f) | 216800 | 368012 |
| Sinopharm Group Co Ltd H Shares  | 216000 | 583664 |
|  |  | 951676 |
| Health Care Technology - 0.0% |  |  |
| Medlive Technology Co Ltd (e)(f) | 280500 | 322327 |
| Life Sciences Tools & Services - 0.3% |  |  |
| GemPharmatech Co Ltd (China)  | 70900 | 176676 |
| Wuxi Apptec Co Ltd H Shares (e)(f) | 2958552 | 45001878 |
|  |  | 45178554 |
| Pharmaceuticals - 0.4% |  |  |
| China Resources Pharmaceutical Group Ltd (e)(f) | 1905500 | 1108217 |
| Consun Pharmaceutical Group Ltd  | 1868693 | 4299470 |
| Hansoh Pharmaceutical Group Co Ltd (e)(f) | 10520606 | 47012858 |
| Jiangsu Hengrui Pharmaceuticals Co Ltd A Shares  | 543600 | 4483103 |
| Jianmin Pharmaceutical Group Co Ltd A Shares (China)  | 87900 | 421031 |
| Sino Biopharmaceutical Ltd  | 1107000 | 856066 |
| Yabao Pharmaceutical Group Co Ltd A Shares (China)  | 415100 | 409762 |
|  |  | 58590507 |
| TOTAL HEALTH CARE |  | 133699239 |
| Industrials - 2.6% |  |  |
| Air Freight & Logistics - 0.0% |  |  |
| J&T Global Express Ltd B Shares (c) | 297400 | 390405 |
| Building Products - 0.0% |  |  |
| Guangdong Dongpeng Holdings Co Ltd A Shares (China)  | 144100 | 151701 |
| Commercial Services & Supplies - 0.0% |  |  |
| China Everbright Environment Group Ltd  | 854000 | 558898 |
| Construction & Engineering - 0.0% |  |  |
| Changjiang & Jinggong Steel Building Group Co Ltd A Shares (China)  | 954300 | 641469 |
| China Railway Group Ltd H Shares  | 6805000 | 4497003 |
|  |  | 5138472 |
| Electrical Equipment - 1.3% |  |  |
| Contemporary Amperex Technology Co Ltd A Shares  | 778212 | 38808475 |
| Contemporary Amperex Technology Co Ltd A Shares (China)  | 1519424 | 75771807 |
| Harbin Electric Co Ltd H Shares  | 950000 | 3421914 |
| Sieyuan Electric Co Ltd A Shares (China)  | 1957565 | 61205661 |
| Sungrow Power Supply Co Ltd A Shares  | 324900 | 6845535 |
|  |  | 186053392 |
| Ground Transportation - 0.1% |  |  |
| Full Truck Alliance Co Ltd ADR  | 2255835 | 21159732 |
| Industrial Conglomerates - 0.0% |  |  |
| CITIC Ltd  | 2748000 | 4397699 |
| Machinery - 1.1% |  |  |
| Airtac International Group  | 222000 | 8528662 |
| Guangdong Lyric Robot Automation Co Ltd A Shares (China) (c) | 43625 | 380070 |
| Huaming Power Equipment Co Ltd A Shares (China)  | 2800415 | 13719918 |
| Neway Valve Suzhou Co Ltd A Shares (China)  | 961600 | 7851856 |
| Sany Heavy Equipment International Holdings Co Ltd  | 1867000 | 3758628 |
| Sany Heavy Industry Co Ltd A Shares (China)  | 5904900 | 19932116 |
| Shenzhen Inovance Technology Co Ltd A Shares  | 79700 | 847412 |
| Shenzhen Inovance Technology Co Ltd A Shares (China)  | 5925804 | 63006274 |
| Sinotruk Hong Kong Ltd  | 827572 | 4353972 |
| UBTech Robotics Corp Ltd H Shares (c) | 303039 | 4706296 |
| Weichai Power Co Ltd H Shares  | 5228847 | 21801901 |
| Yutong Bus Co Ltd A Shares (China)  | 868500 | 3759844 |
| Zhuzhou CRRC Times Electric Co Ltd H Shares  | 388100 | 2201585 |
|  |  | 154848534 |
| Marine Transportation - 0.0% |  |  |
| COSCO SHIPPING Holdings Co Ltd H Shares  | 3024800 | 5869119 |
| Passenger Airlines - 0.0% |  |  |
| Spring Airlines Co Ltd A Shares (China)  | 43700 | 350456 |
| Professional Services - 0.1% |  |  |
| Kanzhun Ltd ADR  | 1264034 | 20325667 |
| TOTAL INDUSTRIALS |  | 399244075 |
| Information Technology - 0.8% |  |  |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |
| BOE Technology Group Co Ltd A Shares (China)  | 23397700 | 15284141 |
| Foxconn Industrial Internet Co Ltd A Shares  | 1045700 | 8492825 |
| Luxshare Precision Industry Co Ltd A Shares (China)  | 1066993 | 7813185 |
| OPT Machine Vision Tech Co Ltd A Shares (China)  | 8998 | 153504 |
| WUS Printed Circuit Kunshan Co Ltd A Shares  | 1563900 | 19063609 |
|  |  | 50807264 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Advanced Micro-Fabrication Equipment Inc China A Shares (China)  | 85737 | 4408739 |
| Anji Microelectronics Technology Shanghai Co Ltd A Shares (China)  | 229400 | 8980056 |
| Montage Technology Co Ltd A Shares  | 858723 | 20478282 |
| Montage Technology Co Ltd A Shares (China)  | 472000 | 11255956 |
| NAURA Technology Group Co Ltd A Shares (China)  | 111395 | 7664558 |
| Xinyi Solar Holdings Ltd  | 1754000 | 775729 |
|  |  | 53563320 |
| Software - 0.0% |  |  |
| Fujian Fuxin Software Development JSC Ltd A Shares (China)  | 50518 | 639375 |
| Pony AI Inc ADR (c) | 419007 | 6008560 |
|  |  | 6647935 |
| Technology Hardware, Storage & Peripherals - 0.1% |  |  |
| Lenovo Group Ltd  | 4394000 | 5423614 |
| Xiaomi Corp B Shares (c)(e)(f) | 2152460 | 9520138 |
|  |  | 14943752 |
| TOTAL INFORMATION TECHNOLOGY |  | 125962271 |
| Materials - 1.3% |  |  |
| Chemicals - 0.0% |  |  |
| Anhui Huilong Agricultural Means of Production Co Ltd A Shares (China)  | 311200 | 304929 |
| Asia - Potash International Investment Guangzhou Co Ltd A Shares (China) (c) | 401100 | 3304388 |
| Fufeng Group Ltd  | 522000 | 543124 |
| Sunresin New Materials Co Ltd A Shares  | 134147 | 1461334 |
|  |  | 5613775 |
| Construction Materials - 0.1% |  |  |
| Anhui Conch Cement Co Ltd H Shares  | 3058643 | 9578540 |
| Asia Cement China Holdings Corp (c) | 23814 | 7184 |
| China National Building Material Co Ltd H Shares  | 2000000 | 1738375 |
| Keshun Waterproof Technologies Co Ltd A Shares (China)  | 86200 | 94267 |
|  |  | 11418366 |
| Metals & Mining - 1.2% |  |  |
| Aluminum Corp of China Ltd H Shares  | 1828000 | 3303924 |
| Baoshan Iron & Steel Co Ltd A Shares (China)  | 774186 | 812770 |
| China Hongqiao Group Ltd  | 2389000 | 10828277 |
| Chuangxin Industries Holdings Ltd H Shares  | 3000341 | 9089153 |
| CMOC Group Ltd H Shares  | 3525000 | 10885804 |
| JCHX Mining Management Co Ltd A Shares (China)  | 833600 | 9415103 |
| Jiangxi Copper Co Ltd H Shares  | 521000 | 3036736 |
| MMG Ltd (c) | 15861411 | 21916539 |
| Nanshan Aluminium International Holdings Ltd H Shares  | 96400 | 755339 |
| Zijin Mining Group Co Ltd A Shares (China)  | 6353425 | 36639054 |
| Zijin Mining Group Co Ltd H Shares  | 13947143 | 80223616 |
|  |  | 186906315 |
| Paper & Forest Products - 0.0% |  |  |
| Lee & Man Paper Manufacturing Ltd  | 605000 | 299274 |
| TOTAL MATERIALS |  | 204237730 |
| Real Estate - 0.0% |  |  |
| Real Estate Management & Development - 0.0% |  |  |
| China Overseas Land & Investment Ltd  | 959500 | 1759954 |
| KE Holdings Inc A Shares  | 109635 | 604035 |
| TOTAL REAL ESTATE |  | 2363989 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| China Longyuan Power Group Corp Ltd H Shares  | 555000 | 537024 |
| TOTAL CHINA |  | 2540184877 |
| COLOMBIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Grupo Cibest SA ADR  | 16151 | 1096330 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Aris Mining Corp (c) | 276687 | 6267826 |
| TOTAL COLOMBIA |  | 7364156 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Ivanhoe Mines Ltd Class A (c)(d) | 509111 | 5822464 |
| COTE D'IVOIRE - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Endeavour Mining PLC  | 194284 | 13979674 |
| CZECH REPUBLIC - 0.1%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Komercni Banka AS  | 24560 | 1407145 |
| Moneta Money Bank AS (e)(f) | 23705 | 227708 |
| TOTAL FINANCIALS |  | 1634853 |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| CSG NV  | 390096 | 14671638 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| CEZ AS  | 2372 | 134745 |
| TOTAL CZECH REPUBLIC |  | 16441236 |
| FRANCE - 0.1%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Hermes International SCA  | 2500 | 6052746 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Gaztransport Et Technigaz SA  | 72950 | 16601681 |
| TOTAL FRANCE |  | 22654427 |
| GEORGIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| TBC Bank Group PLC  | 91369 | 5922718 |
| GERMANY - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Biotechnology - 0.0% |  |  |
| BioNTech SE ADR (c) | 42200 | 4651706 |
| GREECE - 0.8%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| StealthGas Inc (c) | 9173 | 82098 |
| Financials - 0.8% |  |  |
| Banks - 0.8% |  |  |
| Eurobank SA  | 10677298 | 49455878 |
| National Bank of Greece SA  | 3608322 | 58773633 |
| Optima bank SA  | 658146 | 7605567 |
| Piraeus Bank SA  | 851902 | 8173652 |
| TOTAL FINANCIALS |  | 124008730 |
| TOTAL GREECE |  | 124090828 |
| HONG KONG - 0.6%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Household Durables - 0.0% |  |  |
| Skyworth Group Ltd (c) | 2109457 | 1892833 |
| Financials - 0.4% |  |  |
| Capital Markets - 0.0% |  |  |
| Futu Holdings Ltd Class A ADR (c) | 33971 | 5056244 |
| Hong Kong Exchanges & Clearing Ltd  | 25100 | 1340966 |
|  |  | 6397210 |
| Insurance - 0.4% |  |  |
| AIA Group Ltd  | 4318072 | 47634959 |
| TOTAL FINANCIALS |  | 54032169 |
| Industrials - 0.0% |  |  |
| Electrical Equipment - 0.0% |  |  |
| China High Speed Transmission Equipment Group Co Ltd (c) | 378 | 99 |
| Machinery - 0.0% |  |  |
| Techtronic Industries Co Ltd  | 298500 | 4834411 |
| TOTAL INDUSTRIALS |  | 4834510 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Cowell e Holdings Inc (c) | 173000 | 620053 |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Zijin Gold International Co Ltd  | 1120182 | 33476308 |
| Real Estate - 0.0% |  |  |
| Retail REITs - 0.0% |  |  |
| Link REIT  | 13800 | 68370 |
| TOTAL HONG KONG |  | 94924243 |
| HUNGARY - 0.9%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| MOL Hungarian Oil & Gas PLC Class A  | 191651 | 2120169 |
| Financials - 0.7% |  |  |
| Banks - 0.7% |  |  |
| OTP Bank Nyrt  | 780601 | 96219461 |
| Health Care - 0.2% |  |  |
| Pharmaceuticals - 0.2% |  |  |
| Richter Gedeon Nyrt  | 964410 | 36107449 |
| TOTAL HUNGARY |  | 134447079 |
| INDIA - 6.7%  |  |  |
| Communication Services - 0.3% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Indus Towers Ltd (c) | 97092 | 485316 |
| Media - 0.0% |  |  |
| Affle 3i Ltd (c) | 71483 | 1081626 |
| Jagran Prakashan Ltd  | 30888 | 21499 |
| TV Today Network Ltd  | 17460 | 23989 |
|  |  | 1127114 |
| Wireless Telecommunication Services - 0.3% |  |  |
| Bharti Airtel Ltd  | 2485062 | 51311041 |
| TOTAL COMMUNICATION SERVICES |  | 52923471 |
| Consumer Discretionary - 0.6% |  |  |
| Automobile Components - 0.0% |  |  |
| FIEM Industries Ltd  | 3461 | 82763 |
| Automobiles - 0.5% |  |  |
| Bajaj Auto Ltd  | 25156 | 2756279 |
| Eicher Motors Ltd  | 84227 | 7412905 |
| Hero MotoCorp Ltd  | 38513 | 2416134 |
| Mahindra & Mahindra Ltd  | 1316281 | 49132943 |
| Maruti Suzuki India Ltd  | 10818 | 1765857 |
| Tata Motors Passenger Vehicles Limited  | 344594 | 1448728 |
| TVS Motor Co Ltd  | 86322 | 3670086 |
|  |  | 68602932 |
| Broadline Retail - 0.0% |  |  |
| Meesho  | 1429256 | 2512351 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| EIH Associated Hotels  | 582 | 2107 |
| Eternal Ltd (c) | 5947303 | 16093925 |
| MakeMyTrip Ltd (c)(d) | 187536 | 10590158 |
|  |  | 26686190 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Arvind Ltd  | 18400 | 71090 |
| Kewal Kiran Clothing Ltd  | 9162 | 51041 |
| Page Industries Ltd  | 101 | 35632 |
| Sutlej Textiles and Industries Ltd (c) | 10103 | 3485 |
|  |  | 161248 |
| TOTAL CONSUMER DISCRETIONARY |  | 98045484 |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Radico Khaitan Ltd  | 44595 | 1298158 |
| Varun Beverages Ltd  | 2036275 | 10098933 |
|  |  | 11397091 |
| Food Products - 0.0% |  |  |
| Bombay Burmah Trading Co  | 3316 | 61724 |
| Tata Consumer Products Ltd  | 471395 | 5909464 |
|  |  | 5971188 |
| Personal Care Products - 0.0% |  |  |
| Emami Ltd  | 30144 | 153209 |
| TOTAL CONSUMER STAPLES |  | 17521488 |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Bharat Petroleum Corp Ltd  | 3026571 | 12815633 |
| Coal India Ltd  | 2838443 | 13430189 |
| Hindustan Petroleum Corp Ltd  | 473467 | 2282361 |
| Indian Oil Corp Ltd  | 5279517 | 10874354 |
| Oil & Natural Gas Corp Ltd  | 2654541 | 8157543 |
| Petronet LNG Ltd  | 619400 | 2200840 |
| Reliance Industries Ltd  | 2535816 | 38835316 |
| Reliance Industries Ltd GDR (e) | 233700 | 14325810 |
| TOTAL ENERGY |  | 102922046 |
| Financials - 2.7% |  |  |
| Banks - 1.9% |  |  |
| Axis Bank Ltd  | 2185619 | 33232013 |
| Bank of Baroda  | 997112 | 3527036 |
| Bank of India  | 2249318 | 4350752 |
| Canara Bank  | 4993388 | 8633656 |
| Federal Bank Ltd  | 93194 | 307022 |
| HDFC Bank Ltd  | 9055634 | 88325688 |
| HDFC Bank Ltd ADR  | 769552 | 24510232 |
| ICICI Bank Ltd  | 3546978 | 53913742 |
| ICICI Bank Ltd ADR  | 50270 | 1533738 |
| Indian Bank  | 28114 | 305953 |
| Karur Vysya Bank Ltd/The  | 888881 | 3185701 |
| Kotak Mahindra Bank Ltd  | 1663200 | 7587161 |
| Punjab National Bank  | 211848 | 301280 |
| South Indian Bank Ltd/The  | 5639533 | 2549708 |
| State Bank of India  | 3616211 | 47744935 |
| Union Bank of India Ltd  | 2300186 | 5111777 |
|  |  | 285120394 |
| Capital Markets - 0.2% |  |  |
| 360 ONE WAM Ltd  | 891700 | 10812047 |
| Aditya Birla Sun Life Asset Management Co Ltd  | 23059 | 226392 |
| BSE Ltd  | 86950 | 2586136 |
| HDFC Asset Management Co Ltd (e)(f) | 323786 | 9600063 |
| Multi Commodity Exchange of India Ltd  | 23995 | 644409 |
| Nahar Capital and Financial Services Ltd  | 1596 | 4184 |
| SMC Global Securities Ltd  | 122496 | 103429 |
| VLS Finance Ltd  | 20450 | 56586 |
|  |  | 24033246 |
| Consumer Finance - 0.3% |  |  |
| Bajaj Finance Ltd  | 3535832 | 38688763 |
| Five-Star Business Finance Ltd  | 319843 | 1465908 |
| Muthoot Finance Ltd  | 98496 | 3629062 |
| Repco Home Finance Ltd  | 6303 | 26374 |
|  |  | 43810107 |
| Financial Services - 0.1% |  |  |
| IIFL Finance Ltd  | 267196 | 1456680 |
| LIC Housing Finance Ltd  | 338510 | 1999997 |
| Power Finance Corp Ltd  | 381368 | 1733853 |
| PTC India Financial Services Ltd (c) | 109546 | 37010 |
| REC Ltd  | 1810011 | 6956303 |
|  |  | 12183843 |
| Insurance - 0.2% |  |  |
| HDFC Life Insurance Co Ltd (e)(f) | 648947 | 5100056 |
| PB Fintech Ltd (c) | 867218 | 14116816 |
| SBI Life Insurance Co Ltd (e)(f) | 499463 | 11179296 |
|  |  | 30396168 |
| TOTAL FINANCIALS |  | 395543758 |
| Health Care - 0.3% |  |  |
| Health Care Providers & Services - 0.2% |  |  |
| Apollo Hospitals Enterprise Ltd  | 97772 | 8401988 |
| Max Healthcare Institute Ltd  | 1070426 | 12842125 |
| Narayana Hrudayalaya Ltd (f) | 72823 | 1464908 |
|  |  | 22709021 |
| Pharmaceuticals - 0.1% |  |  |
| Alembic Pharmaceuticals Ltd  | 15281 | 119405 |
| Alkem Laboratories Ltd  | 45029 | 2790040 |
| Aurobindo Pharma Ltd  | 211190 | 2831738 |
| Dr Reddy's Laboratories Ltd  | 48117 | 682462 |
| Glenmark Pharmaceuticals Ltd  | 139509 | 3275090 |
| Lupin Ltd  | 426250 | 10780237 |
| Natco Pharma Ltd  | 92217 | 1001533 |
| Venus Remedies Ltd (c) | 3967 | 29306 |
| Zydus Lifesciences Ltd  | 67890 | 687500 |
|  |  | 22197311 |
| TOTAL HEALTH CARE |  | 44906332 |
| Industrials - 0.8% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Bharat Electronics Ltd  | 279100 | 1363655 |
| Hindustan Aeronautics Ltd (f) | 251199 | 10800091 |
|  |  | 12163746 |
| Air Freight & Logistics - 0.0% |  |  |
| Transport Corp of India Ltd  | 11277 | 124457 |
| Construction & Engineering - 0.6% |  |  |
| Larsen & Toubro Ltd  | 1682118 | 79068806 |
| Electrical Equipment - 0.0% |  |  |
| Polycab India Ltd  | 43173 | 4084304 |
| Industrial Conglomerates - 0.0% |  |  |
| Nava Ltd  | 261705 | 1712554 |
| Machinery - 0.1% |  |  |
| Ashok Leyland Ltd  | 3828966 | 8880701 |
| Cummins India Ltd  | 49983 | 2689956 |
| NRB Bearings Ltd  | 41260 | 122873 |
| Tata Motors Ltd /new (c) | 344594 | 1913086 |
|  |  | 13606616 |
| Professional Services - 0.0% |  |  |
| Computer Age Management Services Ltd  | 740500 | 5512847 |
| eClerx Services Ltd  | 4953 | 172637 |
|  |  | 5685484 |
| Transportation Infrastructure - 0.0% |  |  |
| Adani Ports & Special Economic Zone Ltd  | 178674 | 2985850 |
| Gujarat Pipavav Port Ltd  | 1059090 | 2058091 |
|  |  | 5043941 |
| TOTAL INDUSTRIALS |  | 121489908 |
| Information Technology - 0.5% |  |  |
| IT Services - 0.5% |  |  |
| HCL Technologies Ltd  | 542326 | 8276971 |
| Infosys Ltd  | 495186 | 7073308 |
| Infosys Ltd ADR (d) | 874879 | 12633253 |
| Persistent Systems Ltd  | 62698 | 3260376 |
| Tata Consultancy Services Ltd  | 1153313 | 33419556 |
| Tech Mahindra Ltd  | 222151 | 3314069 |
|  |  | 67977533 |
| Software - 0.0% |  |  |
| Nucleus Software Exports Ltd  | 26676 | 232096 |
| TOTAL INFORMATION TECHNOLOGY |  | 68209629 |
| Materials - 0.5% |  |  |
| Chemicals - 0.0% |  |  |
| Andhra Sugars Ltd/The  | 48522 | 39359 |
| Chambal Fertilisers and Chemicals Ltd  | 335897 | 1702237 |
| GHCL Ltd  | 19449 | 102398 |
| Grauer & Weil India Ltd  | 8985 | 6171 |
| Mayur Uniquoters Ltd  | 8046 | 47016 |
| Tamilnadu Petroproducts Ltd  | 29740 | 30702 |
| UPL Ltd  | 274982 | 1925723 |
|  |  | 3853606 |
| Construction Materials - 0.1% |  |  |
| JK Cement Ltd  | 262352 | 16303140 |
| NCL Industries Ltd  | 10163 | 20743 |
|  |  | 16323883 |
| Metals & Mining - 0.4% |  |  |
| APL Apollo Tubes Ltd  | 37574 | 922496 |
| Hindalco Industries Ltd  | 2524023 | 25643166 |
| Hindustan Zinc Ltd  | 682478 | 4527508 |
| National Aluminium Co Ltd  | 1552837 | 6049815 |
| NMDC Ltd  | 248528 | 223197 |
| Tata Steel Ltd  | 2681912 | 6256528 |
| Vedanta Ltd  | 1280234 | 10104927 |
|  |  | 53727637 |
| Paper & Forest Products - 0.0% |  |  |
| Seshasayee Paper & Boards Ltd  | 7482 | 22348 |
| TOTAL MATERIALS |  | 73927474 |
| Utilities - 0.2% |  |  |
| Gas Utilities - 0.0% |  |  |
| GAIL India Ltd  | 94403 | 175837 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| NTPC Ltd  | 5964826 | 25027929 |
| TOTAL UTILITIES |  | 25203766 |
| TOTAL INDIA |  | 1000693356 |
| INDONESIA - 0.7%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telkom Indonesia Persero Tbk PT  | 15619905 | 3298208 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Indosat Tbk PT  | 2420300 | 333486 |
| TOTAL COMMUNICATION SERVICES |  | 3631694 |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Gajah Tunggal Tbk PT  | 2163273 | 143874 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Hartadinata Abadi PT  | 552743 | 106823 |
| TOTAL CONSUMER DISCRETIONARY |  | 250697 |
| Consumer Staples - 0.1% |  |  |
| Food Products - 0.1% |  |  |
| Astra Agro Lestari Tbk PT  | 61551 | 27535 |
| Charoen Pokphand Indonesia Tbk PT  | 96900 | 24564 |
| Dharma Satya Nusantara Tbk PT  | 7610237 | 626432 |
| Eagle High Plantations Tbk PT (c) | 5369800 | 43561 |
| Indofood CBP Sukses Makmur Tbk PT  | 3725200 | 1744278 |
| Indofood Sukses Makmur Tbk PT  | 9521300 | 3663131 |
| Japfa Comfeed Indonesia Tbk PT  | 3740300 | 530982 |
| Nusantara Sawit Sejahtera Tbk  | 1218900 | 81066 |
| Perusahaan Perkebunan London Sumatra Indonesia Tbk PT  | 466264 | 32679 |
| Triputra Agro Persada PT  | 990800 | 96036 |
| Ultrajaya Milk Industry & Trading Co Tbk PT  | 694200 | 68116 |
|  |  | 6938380 |
| Household Products - 0.0% |  |  |
| Unilever Indonesia Tbk PT  | 1630500 | 231470 |
| Personal Care Products - 0.0% |  |  |
| Industri Jamu Dan Farmasi Sido Muncul Tbk PT  | 2051900 | 66092 |
| Tobacco - 0.0% |  |  |
| Gudang Garam Tbk PT  | 347200 | 358280 |
| Hanjaya Mandala Sampoerna Tbk PT  | 2116200 | 114235 |
|  |  | 472515 |
| TOTAL CONSUMER STAPLES |  | 7708457 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Alamtri Resources Indonesia Tbk PT  | 3172714 | 442836 |
| Baramulti Suksessarana Tbk PT  | 28475 | 6658 |
| Bukit Asam Persero Tbk PT  | 507208 | 78660 |
| United Tractors Tbk PT  | 1114700 | 1901606 |
| TOTAL ENERGY |  | 2429760 |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Bank Central Asia Tbk PT  | 141228365 | 60303064 |
| Bank Danamon Indonesia Tbk PT  | 355601 | 60239 |
| Bank Rakyat Indonesia Persero Tbk PT  | 97838069 | 22768819 |
| TOTAL FINANCIALS |  | 83132122 |
| Industrials - 0.0% |  |  |
| Building Products - 0.0% |  |  |
| Mulia Industrindo PT  | 2922063 | 53683 |
| Commercial Services & Supplies - 0.0% |  |  |
| Jasuindo Tiga Perkasa Tbk  | 5821200 | 206598 |
| Ground Transportation - 0.0% |  |  |
| Adi Sarana Armada Tbk PT  | 1084700 | 76993 |
| Industrial Conglomerates - 0.0% |  |  |
| Astra International Tbk PT  | 14972900 | 5961474 |
| TOTAL INDUSTRIALS |  | 6298748 |
| Materials - 0.0% |  |  |
| Construction Materials - 0.0% |  |  |
| Semen Indonesia Persero Tbk PT  | 985500 | 171647 |
| Metals & Mining - 0.0% |  |  |
| Aneka Tambang Tbk  | 11749200 | 3048555 |
| TOTAL MATERIALS |  | 3220202 |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Perusahaan Gas Negara Tbk PT Class B  | 14825000 | 2113436 |
| TOTAL INDONESIA |  | 108785116 |
| ITALY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Brunello Cucinelli SpA (d) | 35000 | 3405253 |
| JAPAN - 0.2%  |  |  |
| Industrials - 0.2% |  |  |
| Machinery - 0.2% |  |  |
| Komatsu Ltd  | 596400 | 28627428 |
| KAZAKHSTAN - 0.1%  |  |  |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| NAC Kazatomprom JSC GDR (f) | 94402 | 7740964 |
| Financials - 0.1% |  |  |
| Consumer Finance - 0.1% |  |  |
| Kaspi.KZ JSC ADR (c) | 202799 | 14315581 |
| TOTAL KAZAKHSTAN |  | 22056545 |
| KOREA (SOUTH) - 12.1%  |  |  |
| Communication Services - 0.3% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| KT Corp  | 182383 | 8107086 |
| LG Uplus Corp  | 394404 | 4529916 |
|  |  | 12637002 |
| Entertainment - 0.1% |  |  |
| Com2uSCorp (c) | 2100 | 52351 |
| DoubleDown Interactive Co Ltd ADR (c) | 2346 | 21442 |
| Gravity Co Ltd ADR (c) | 279 | 18141 |
| HYBE Co Ltd  | 68576 | 18452587 |
| Mgame Corp  | 27821 | 105096 |
| NCSoft Corp  | 1070 | 171636 |
|  |  | 18821253 |
| Interactive Media & Services - 0.1% |  |  |
| Kakao Corp  | 108647 | 4700231 |
| NAVER Corp  | 20739 | 3665127 |
| SOOP Co Ltd  | 720 | 35447 |
| Webtoon Entertainment Inc (c)(d) | 796433 | 8959871 |
|  |  | 17360676 |
| TOTAL COMMUNICATION SERVICES |  | 48818931 |
| Consumer Discretionary - 0.9% |  |  |
| Automobile Components - 0.2% |  |  |
| Hankook Tire & Technology Co Ltd  | 58856 | 2979419 |
| Hyundai Mobis Co Ltd  | 79164 | 28420496 |
| Korea Fuel-Tech Corp  | 22654 | 135445 |
| PHA Co Ltd  | 10325 | 97437 |
| Seoyon Co Ltd  | 15754 | 124275 |
| SJG Sejong  | 64835 | 451569 |
| Yoosung Enterprise Co Ltd  | 12624 | 19898 |
|  |  | 32228539 |
| Automobiles - 0.7% |  |  |
| Hyundai Motor Co  | 54061 | 25302146 |
| Kia Corp  | 458009 | 65358070 |
|  |  | 90660216 |
| Broadline Retail - 0.0% |  |  |
| SAVEZONE I&C CORP  | 11337 | 25428 |
| Shinsegae Inc  | 3185 | 815005 |
|  |  | 840433 |
| Diversified Consumer Services - 0.0% |  |  |
| Multicampus CO Ltd  | 955 | 19232 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| DoubleUGames Co Ltd  | 4925 | 181258 |
| Shinsegae Food Co Ltd  | 1420 | 51176 |
|  |  | 232434 |
| Household Durables - 0.0% |  |  |
| LG Electronics Inc  | 45288 | 4582010 |
| Specialty Retail - 0.0% |  |  |
| LOTTE Himart Co Ltd  | 3717 | 22172 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| F&F Holdings Co Ltd  | 2557 | 38087 |
| Youngone Corp  | 27685 | 1862866 |
|  |  | 1900953 |
| TOTAL CONSUMER DISCRETIONARY |  | 130485989 |
| Consumer Staples - 0.2% |  |  |
| Food Products - 0.0% |  |  |
| Dongwon Industries Co Ltd  | 3619 | 107810 |
| Maeil Dairies Co Ltd (c) | 1869 | 51914 |
|  |  | 159724 |
| Personal Care Products - 0.1% |  |  |
| APR Corp/Korea  | 61594 | 13366011 |
| Tobacco - 0.1% |  |  |
| KT&G Corp  | 139968 | 15852439 |
| TOTAL CONSUMER STAPLES |  | 29378174 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| HD Hyundai Co Ltd  | 23866 | 4847512 |
| Financials - 1.1% |  |  |
| Banks - 0.8% |  |  |
| BNK Financial Group Inc  | 60117 | 831990 |
| Hana Financial Group Inc  | 396368 | 33524264 |
| KB Financial Group Inc  | 332775 | 36741866 |
| Shinhan Financial Group Co Ltd  | 433594 | 29130017 |
| Woori Financial Group Inc  | 876764 | 21917882 |
|  |  | 122146019 |
| Capital Markets - 0.1% |  |  |
| KIWOOM Securities Co Ltd  | 9850 | 3187391 |
| Korea Investment Holdings Co Ltd  | 68578 | 12310020 |
| Samsung Securities Co Ltd  | 43290 | 3210497 |
|  |  | 18707908 |
| Insurance - 0.2% |  |  |
| DB Insurance Co Ltd  | 24092 | 3063195 |
| Samsung Fire & Marine Insurance Co Ltd  | 60337 | 22206134 |
|  |  | 25269329 |
| TOTAL FINANCIALS |  | 166123256 |
| Health Care - 0.2% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| InBody Co Ltd  | 3615 | 80329 |
| Rayence Co Ltd  | 12372 | 50086 |
|  |  | 130415 |
| Life Sciences Tools & Services - 0.2% |  |  |
| Samsung Biologics Co Ltd (c)(e)(f) | 25098 | 30987337 |
| TOTAL HEALTH CARE |  | 31117752 |
| Industrials - 1.2% |  |  |
| Aerospace & Defense - 0.6% |  |  |
| Hanwha Aerospace Co Ltd  | 54877 | 45537758 |
| Korea Aerospace Industries Ltd  | 256778 | 34146011 |
|  |  | 79683769 |
| Air Freight & Logistics - 0.0% |  |  |
| Hyundai Glovis Co Ltd  | 31789 | 6390559 |
| Construction & Engineering - 0.0% |  |  |
| Samsung E&A Co Ltd  | 85428 | 2159310 |
| Electrical Equipment - 0.2% |  |  |
| Dongyang E&P Inc  | 21665 | 496462 |
| Doosan Enerbility Co Ltd (c) | 74245 | 5480420 |
| HD Hyundai Electric Co Ltd  | 5096 | 3715627 |
| Hyosung Heavy Industries Corp  | 2950 | 5782908 |
| LS Electric Co Ltd  | 35981 | 19663524 |
| WONIK PNE Co Ltd (c) | 22664 | 62322 |
|  |  | 35201263 |
| Industrial Conglomerates - 0.3% |  |  |
| AK Holdings Inc  | 1601 | 9483 |
| CJ Corp  | 16704 | 2534459 |
| GS Holdings Corp  | 33491 | 1597711 |
| Hanwha Corp (c) | 48279 | 4579545 |
| Samsung C&T Corp  | 78191 | 19030850 |
| SK Square Co Ltd (c) | 37818 | 16938371 |
|  |  | 44690419 |
| Machinery - 0.1% |  |  |
| DYPNF Co Ltd (c) | 4363 | 45323 |
| HD Hyundai Heavy Industries Co Ltd  | 4199 | 1758234 |
| HD Korea Shipbuilding & Offshore Engineering Co Ltd  | 20375 | 6366834 |
| Samsung Heavy Industries Co Ltd (c) | 473476 | 9518312 |
| TK Corp  | 13532 | 264517 |
| TYM Corp  | 33028 | 168571 |
|  |  | 18121791 |
| Trading Companies & Distributors - 0.0% |  |  |
| HS Hyosung Corp  | 663 | 30616 |
| LX INTERNATIONAL CORP  | 52094 | 1541029 |
|  |  | 1571645 |
| TOTAL INDUSTRIALS |  | 187818756 |
| Information Technology - 8.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.1% |  |  |
| Amotech Co Ltd (c) | 3877 | 35483 |
| LG Innotek Co Ltd  | 18055 | 3999462 |
| MAKUS Inc  | 1579 | 35580 |
| Samsung Electro-Mechanics Co Ltd  | 41489 | 12921377 |
| Segyung Hitech Co Ltd  | 35908 | 118939 |
|  |  | 17110841 |
| Semiconductors & Semiconductor Equipment - 2.3% |  |  |
| DB HiTek Co Ltd  | 2137 | 142014 |
| DIT Corp  | 3907 | 62129 |
| Eugene Technology Co Ltd  | 12690 | 1180809 |
| NEPES Corp (c) | 3272 | 42556 |
| SK Hynix Inc  | 453628 | 334217063 |
|  |  | 335644571 |
| Technology Hardware, Storage & Peripherals - 5.7% |  |  |
| Samsung Electronics Co Ltd  | 5665989 | 851818384 |
| TOTAL INFORMATION TECHNOLOGY |  | 1204573796 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| ENF Technology Co Ltd  | 3366 | 136502 |
| LG Chem Ltd  | 8125 | 2355555 |
| Purit Co Ltd  | 4872 | 33493 |
| Taekwang Industrial Co Ltd (c) | 98 | 98607 |
|  |  | 2624157 |
| Metals & Mining - 0.0% |  |  |
| KG Chemical Corp (c) | 20798 | 78566 |
| SeAH Steel Corp  | 332 | 30616 |
|  |  | 109182 |
| TOTAL MATERIALS |  | 2733339 |
| Utilities - 0.1% |  |  |
| Electric Utilities - 0.1% |  |  |
| Korea Electric Power Corp  | 377958 | 15175023 |
| TOTAL KOREA (SOUTH) |  | 1821072528 |
| KUWAIT - 0.1%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Kuwait Telecommunications Co  | 186614 | 398540 |
| Mobile Telecommunications Co KSCP  | 1909607 | 3374656 |
| National Mobile Telecommunications Co KSC  | 1531 | 8156 |
| TOTAL COMMUNICATION SERVICES |  | 3781352 |
| Consumer Discretionary - 0.0% |  |  |
| Specialty Retail - 0.0% |  |  |
| Ali Alghanim Sons Automotive Co KSCC  | 238574 | 906223 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| National Bank of Kuwait SAKP  | 1652637 | 5081307 |
| Capital Markets - 0.0% |  |  |
| Boursa Kuwait Securities Co KPSC  | 17513 | 177014 |
| Kuwait Investment Co SAK  | 683641 | 488157 |
|  |  | 665171 |
| TOTAL FINANCIALS |  | 5746478 |
| Industrials - 0.0% |  |  |
| Air Freight & Logistics - 0.0% |  |  |
| Agility Public Warehousing Co KSCC  | 338975 | 152522 |
| Passenger Airlines - 0.0% |  |  |
| Jazeera Airways Co KSCP  | 53900 | 334788 |
| TOTAL INDUSTRIALS |  | 487310 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Boubyan Petrochemicals Co KSCP  | 56898 | 103704 |
| TOTAL KUWAIT |  | 11025067 |
| MACAU - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Galaxy Entertainment Group Ltd  | 894000 | 4772022 |
| MALAYSIA - 0.3%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Media Prima Bhd  | 235000 | 18421 |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Sports Toto Bhd  | 70230 | 24547 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Nestle Malaysia Bhd  | 13800 | 389776 |
| SD Guthrie Bhd  | 1617100 | 2389701 |
| Three-A Resources BHD  | 93000 | 16611 |
| TOTAL CONSUMER STAPLES |  | 2796088 |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| AMMB Holdings Bhd  | 2160400 | 3570129 |
| CIMB Group Holdings Bhd  | 17272821 | 35690949 |
| Hong Leong Bank Bhd  | 237700 | 1422168 |
| Hong Leong Financial Group Bhd  | 42634 | 233385 |
| RHB Bank Bhd  | 1377300 | 2973354 |
|  |  | 43889985 |
| Capital Markets - 0.0% |  |  |
| Kenanga Investment Bank Bhd  | 106300 | 23905 |
| TOTAL FINANCIALS |  | 43913890 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Mitrajaya Holdings Bhd  | 179300 | 31335 |
| Sunway Construction Group Bhd  | 195800 | 354765 |
|  |  | 386100 |
| Industrial Conglomerates - 0.0% |  |  |
| Sime Darby Bhd  | 2273900 | 1425936 |
| Professional Services - 0.0% |  |  |
| Zetrix Ai Bhd  | 8033800 | 1693065 |
| Trading Companies & Distributors - 0.0% |  |  |
| Engtex Group Bhd  | 272525 | 39222 |
| Transportation Infrastructure - 0.0% |  |  |
| Westports Holdings Bhd  | 109200 | 172598 |
| TOTAL INDUSTRIALS |  | 3716921 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Ann Joo Resources Bhd (c) | 500 | 64 |
| Press Metal Aluminium Holdings Bhd  | 1173700 | 2150728 |
|  |  | 2150792 |
| Paper & Forest Products - 0.0% |  |  |
| Evergreen Fibreboard Bhd (c) | 265100 | 9538 |
| TOTAL MATERIALS |  | 2160330 |
| TOTAL MALAYSIA |  | 52630197 |
| MEXICO - 1.9%  |  |  |
| Communication Services - 0.3% |  |  |
| Wireless Telecommunication Services - 0.3% |  |  |
| America Movil SAB de CV ADR  | 1521600 | 39592032 |
| America Movil SAB de CV Series B  | 7471210 | 9713180 |
| TOTAL COMMUNICATION SERVICES |  | 49305212 |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| El Puerto de Liverpool SAB de CV Series C (d) | 297663 | 1855770 |
| Consumer Staples - 0.6% |  |  |
| Beverages - 0.3% |  |  |
| Fomento Economico Mexicano SAB de CV ADR (d) | 365099 | 41007920 |
| Consumer Staples Distribution & Retail - 0.3% |  |  |
| BBB Foods Inc Class A (c)(d) | 258954 | 9438873 |
| Grupo Comercial Chedraui SA de CV (d) | 594600 | 3813008 |
| Wal-Mart de Mexico SAB de CV Series V  | 8070036 | 26119139 |
|  |  | 39371020 |
| Food Products - 0.0% |  |  |
| Gruma SAB de CV Series B  | 417927 | 7492206 |
| TOTAL CONSUMER STAPLES |  | 87871146 |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Grupo Financiero Banorte SAB de CV  | 4319313 | 49255016 |
| Consumer Finance - 0.0% |  |  |
| Gentera SAB de CV  | 561900 | 1635911 |
| TOTAL FINANCIALS |  | 50890927 |
| Industrials - 0.1% |  |  |
| Transportation Infrastructure - 0.1% |  |  |
| Grupo Aeroportuario del Centro Norte SAB de CV Series B  | 373826 | 5710712 |
| Grupo Aeroportuario del Pacifico SAB de CV Series B (d) | 159480 | 4161556 |
| Promotora y Operadora de Infraestructura SAB de CV  | 18043 | 297277 |
| TOTAL INDUSTRIALS |  | 10169545 |
| Materials - 0.5% |  |  |
| Construction Materials - 0.2% |  |  |
| Cemex SAB de CV ADR  | 2481830 | 31047693 |
| Metals & Mining - 0.3% |  |  |
| Grupo Mexico SAB de CV Series B  | 2405457 | 30592687 |
| Industrias Penoles SAB de CV (c) | 57288 | 3637931 |
| Southern Copper Corp (d) | 13017 | 2841611 |
| Ternium SA ADR  | 50330 | 2187845 |
|  |  | 39260074 |
| TOTAL MATERIALS |  | 70307767 |
| Real Estate - 0.1% |  |  |
| Diversified REITs - 0.0% |  |  |
| Concentradora Fibra Danhos SA de CV (d) | 24930 | 39649 |
| Fibra Uno Administracion SA de CV  | 1810800 | 3145926 |
|  |  | 3185575 |
| Industrial REITs - 0.1% |  |  |
| Prologis Property Mexico SA de CV (d) | 1719294 | 8443728 |
| Real Estate Management & Development - 0.0% |  |  |
| Corp Inmobiliaria Vesta SAB de CV ADR  | 168475 | 6188087 |
| TOTAL REAL ESTATE |  | 17817390 |
| TOTAL MEXICO |  | 288217757 |
| NETHERLANDS - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |
| BE Semiconductor Industries NV  | 28400 | 6355779 |
| NIGERIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Guaranty Trust Holding Co PLC (United Kingdom)  | 14117520 | 1256459 |
| PANAMA - 0.0%  |  |  |
| Industrials - 0.0% |  |  |
| Passenger Airlines - 0.0% |  |  |
| Copa Holdings SA Class A  | 3400 | 471274 |
| PERU - 0.7%  |  |  |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Credicorp Ltd  | 267001 | 92483806 |
| Intercorp Financial Services Inc (United States) (f) | 7904 | 382396 |
| TOTAL FINANCIALS |  | 92866202 |
| Industrials - 0.0% |  |  |
| Trading Companies & Distributors - 0.0% |  |  |
| Ferreycorp Saa  | 32934 | 40737 |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Cia de Minas Buenaventura SAA ADR  | 398968 | 17422933 |
| TOTAL PERU |  | 110329872 |
| PHILIPPINES - 0.2%  |  |  |
| Industrials - 0.1% |  |  |
| Transportation Infrastructure - 0.1% |  |  |
| International Container Terminal Services Inc  | 1268037 | 15781911 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| OceanaGold Philippines Inc  | 93500 | 63128 |
| Real Estate - 0.1% |  |  |
| Real Estate Management & Development - 0.1% |  |  |
| Ayala Land Inc  | 25370453 | 9191317 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Aboitiz Power Corp  | 56300 | 43233 |
| TOTAL PHILIPPINES |  | 25079589 |
| POLAND - 0.7%  |  |  |
| Consumer Discretionary - 0.2% |  |  |
| Broadline Retail - 0.0% |  |  |
| Allegro.eu SA (c)(e)(f) | 850786 | 6608613 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Rainbow Tours SA  | 584 | 25873 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| LPP SA  | 2792 | 16151194 |
| TOTAL CONSUMER DISCRETIONARY |  | 22785680 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Dino Polska SA (c)(e)(f) | 489300 | 5504907 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| ORLEN SA  | 254779 | 8175688 |
| Financials - 0.5% |  |  |
| Banks - 0.4% |  |  |
| Bank Polska Kasa Opieki SA  | 286232 | 18120056 |
| Powszechna Kasa Oszczednosci Bank Polski SA  | 1367122 | 35376097 |
|  |  | 53496153 |
| Capital Markets - 0.0% |  |  |
| XTB SA (e)(f) | 38552 | 959174 |
| Insurance - 0.1% |  |  |
| Powszechny Zaklad Ubezpieczen SA  | 941412 | 17821000 |
| TOTAL FINANCIALS |  | 72276327 |
| Information Technology - 0.0% |  |  |
| Software - 0.0% |  |  |
| Asseco Poland SA  | 825 | 40706 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| KGHM Polska Miedz SA (c) | 18042 | 1694049 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| Tauron Polska Energia SA (c) | 164847 | 542547 |
| TOTAL POLAND |  | 111019904 |
| QATAR - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Ooredoo QPSC  | 482261 | 1794737 |
| Wireless Telecommunication Services - 0.0% |  |  |
| Vodafone Qatar PQSC (c) | 352878 | 258092 |
| TOTAL COMMUNICATION SERVICES |  | 2052829 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Commercial Bank PSQC/The  | 106885 | 142376 |
| Doha Bank QPSC (c) | 933222 | 756112 |
| Qatar National Bank QPSC  | 211900 | 1123228 |
|  |  | 2021716 |
| Financial Services - 0.0% |  |  |
| Salam International Investment Ltd  | 159347 | 34837 |
| TOTAL FINANCIALS |  | 2056553 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Estithmar Holding QPSC  | 22883 | 23794 |
| Marine Transportation - 0.0% |  |  |
| Qatar Navigation QSC  | 1814 | 5570 |
| TOTAL INDUSTRIALS |  | 29364 |
| TOTAL QATAR |  | 4138746 |
| RUSSIA - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| Ozon Holdings PLC ADR (c)(d)(g) | 52200 | 0 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| Gazprom PJSC (Russia) (c)(g) | 1235592 | 12 |
| LUKOIL PJSC (c)(g) | 165638 | 0 |
| LUKOIL PJSC ADR (c)(g) | 200700 | 2 |
| Rosneft Oil Co PJSC (c)(g) | 634013 | 0 |
| TOTAL ENERGY |  | 14 |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Sberbank of Russia PJSC (c)(g) | 2908251 | 0 |
| Sberbank of Russia PJSC (Russia) (c)(g) | 328709 | 3 |
| Sberbank of Russia PJSC ADR (c)(g) | 1288149 | 14 |
| TOTAL FINANCIALS |  | 17 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Phosagro Pjsc (c)(g) | 18583 | 0 |
| Phosagro Pjsc GDR (c)(f)(g) | 359 | 0 |
| Phosagro Pjsc GDR (c)(f)(g) | 1 | 0 |
|  |  | 0 |
| Metals & Mining - 0.0% |  |  |
| Novolipetsk Steel PJSC (c)(g) | 355140 | 0 |
| Novolipetsk Steel PJSC GDR (c)(f)(g) | 56576 | 1 |
| Polyus PJSC (c)(g) | 24680 | 0 |
|  |  | 1 |
| TOTAL MATERIALS |  | 1 |
| TOTAL RUSSIA |  | 32 |
| SAUDI ARABIA - 0.9%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Saudi Telecom Co  | 418337 | 4664175 |
| Wireless Telecommunication Services - 0.1% |  |  |
| Etihad Etisalat Co  | 450728 | 7726628 |
| TOTAL COMMUNICATION SERVICES |  | 12390803 |
| Consumer Staples - 0.0% |  |  |
| Personal Care Products - 0.0% |  |  |
| Al Majed for Oud Co  | 9786 | 433089 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Saudi Arabian Oil Co (e)(f) | 4045700 | 26921718 |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Al Rajhi Bank  | 2398183 | 64575564 |
| Arab National Bank  | 1243862 | 6831309 |
| Banque Saudi Fransi  | 358476 | 1898989 |
| Riyad Bank  | 568631 | 4211408 |
| Saudi Awwal Bank  | 46033 | 419966 |
| Saudi National Bank/The  | 1634977 | 18167864 |
| TOTAL FINANCIALS |  | 96105100 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Al Babtain Power & Telecommunication Co  | 33106 | 555606 |
| Electrical Equipment - 0.0% |  |  |
| Electrical Industries Co  | 138062 | 542177 |
| TOTAL INDUSTRIALS |  | 1097783 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| SABIC Agri-Nutrients Co  | 7957 | 262624 |
| Construction Materials - 0.0% |  |  |
| Arabian Cement Co/Saudi Arabia  | 42338 | 252049 |
| Tabuk Cement Co  | 27542 | 61165 |
|  |  | 313214 |
| TOTAL MATERIALS |  | 575838 |
| TOTAL SAUDI ARABIA |  | 137524331 |
| SINGAPORE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Entertainment - 0.0% |  |  |
| IGG Inc  | 421000 | 170049 |
| SLOVENIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Nova Ljubljanska Banka dd GDR (f) | 186290 | 9707304 |
| SOUTH AFRICA - 2.4%  |  |  |
| Communication Services - 0.2% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Telkom SA SOC Ltd  | 171526 | 694201 |
| Wireless Telecommunication Services - 0.2% |  |  |
| MTN Group Ltd  | 2260367 | 29400880 |
| TOTAL COMMUNICATION SERVICES |  | 30095081 |
| Consumer Discretionary - 0.5% |  |  |
| Broadline Retail - 0.3% |  |  |
| Naspers Ltd Class N  | 909284 | 50602282 |
| Specialty Retail - 0.2% |  |  |
| Foschini Group Ltd  | 1418626 | 7725544 |
| Lewis Group Ltd  | 7250 | 41044 |
| Pepkor Holdings Ltd (e)(f) | 9827222 | 16361631 |
| Super Group Ltd/South Africa  | 70708 | 76521 |
|  |  | 24204740 |
| TOTAL CONSUMER DISCRETIONARY |  | 74807022 |
| Consumer Staples - 0.1% |  |  |
| Consumer Staples Distribution & Retail - 0.1% |  |  |
| Bid Corp Ltd  | 171226 | 4544817 |
| Shoprite Holdings Ltd  | 869817 | 14470126 |
|  |  | 19014943 |
| Food Products - 0.0% |  |  |
| Astral Foods Ltd  | 11540 | 201959 |
| Premier Group Ltd  | 2238 | 25478 |
|  |  | 227437 |
| TOTAL CONSUMER STAPLES |  | 19242380 |
| Financials - 0.8% |  |  |
| Banks - 0.4% |  |  |
| Capitec Bank Holdings Ltd  | 138981 | 41413469 |
| Nedbank Group Ltd  | 80158 | 1595181 |
| Standard Bank Group Ltd  | 947518 | 19082549 |
|  |  | 62091199 |
| Capital Markets - 0.0% |  |  |
| Alexander Forbes Group Holdings Ltd  | 888 | 460 |
| Investec Ltd  | 124433 | 1076039 |
| Jse Limited  | 2422 | 25407 |
|  |  | 1101906 |
| Financial Services - 0.3% |  |  |
| FirstRand Ltd  | 7072741 | 44074453 |
| Insurance - 0.1% |  |  |
| Old Mutual Ltd  | 6079321 | 6292289 |
| OUTsurance Group Ltd  | 321175 | 1490748 |
|  |  | 7783037 |
| TOTAL FINANCIALS |  | 115050595 |
| Materials - 0.8% |  |  |
| Chemicals - 0.1% |  |  |
| Omnia Holdings Ltd  | 11344 | 63676 |
| Sasol Ltd (c) | 2151056 | 19599668 |
|  |  | 19663344 |
| Construction Materials - 0.0% |  |  |
| PPC Ltd  | 129429 | 53777 |
| Metals & Mining - 0.7% |  |  |
| African Rainbow Minerals Ltd  | 8564 | 134892 |
| Gold Fields Ltd  | 385594 | 22598127 |
| Gold Fields Ltd ADR (d) | 247618 | 14569843 |
| Harmony Gold Mining Co Ltd  | 101577 | 2311358 |
| Harmony Gold Mining Co Ltd ADR  | 246570 | 5609468 |
| Impala Platinum Holdings Ltd  | 1385379 | 30777143 |
| Kumba Iron Ore Ltd (d) | 40021 | 925048 |
| Northam Platinum Holdings Ltd  | 76509 | 2094347 |
| Pan African Resources PLC  | 458685 | 1107719 |
| Pan African Resources PLC (South Africa)  | 641213 | 1548455 |
| Sibanye Stillwater Ltd (c) | 952054 | 4229224 |
| Sibanye Stillwater Ltd ADR (c) | 221531 | 3923314 |
| Valterra Platinum Ltd  | 84966 | 9976034 |
|  |  | 99804972 |
| TOTAL MATERIALS |  | 119522093 |
| Real Estate - 0.0% |  |  |
| Diversified REITs - 0.0% |  |  |
| Growthpoint Properties Ltd  | 2489780 | 2958710 |
| TOTAL SOUTH AFRICA |  | 361675881 |
| SWEDEN - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| VEF AB (c) | 8121300 | 1880180 |
| TAIWAN - 15.8%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Chunghwa Telecom Co Ltd  | 849000 | 3635592 |
| Entertainment - 0.0% |  |  |
| International Games System Co Ltd  | 116000 | 2570299 |
| TOTAL COMMUNICATION SERVICES |  | 6205891 |
| Consumer Discretionary - 0.2% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Gourmet Master Co Ltd  | 44000 | 100440 |
| Kuang Hong Arts Management Inc  | 41000 | 188883 |
| Lion Travel Service Co Ltd  | 180000 | 1007142 |
| Wowprime Corp  | 56685 | 395779 |
|  |  | 1692244 |
| Household Durables - 0.0% |  |  |
| FY Group Ltd  | 11000 | 16237 |
| Shane Global Holding Inc  | 16000 | 28312 |
| Ya Horng Electronic Co Ltd  | 13000 | 22339 |
|  |  | 66888 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Eclat Textile Co Ltd  | 1364106 | 18396252 |
| King Chou Marine Technology Co Ltd  | 16000 | 27086 |
| Pou Chen Corp  | 1089000 | 1078029 |
|  |  | 19501367 |
| TOTAL CONSUMER DISCRETIONARY |  | 21260499 |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| Uni-President Enterprises Corp  | 1964391 | 4540533 |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Chang Hwa Commercial Bank Ltd  | 499550 | 344012 |
| CTBC Financial Holding Co Ltd  | 7010934 | 12494779 |
| First Financial Holding Co Ltd  | 124000 | 118204 |
|  |  | 12956995 |
| Financial Services - 0.0% |  |  |
| Chailease Holding Co Ltd  | 332000 | 1100810 |
| Yuanta Financial Holding Co Ltd  | 267140 | 418603 |
|  |  | 1519413 |
| Insurance - 0.0% |  |  |
| KGI Financial Holding Co Ltd  | 4119000 | 2882486 |
| TOTAL FINANCIALS |  | 17358894 |
| Health Care - 0.0% |  |  |
| Pharmaceuticals - 0.0% |  |  |
| Cenra Inc  | 20000 | 21807 |
| Sinphar Pharmaceutical Co Ltd  | 40000 | 39214 |
| TOTAL HEALTH CARE |  | 61021 |
| Industrials - 0.5% |  |  |
| Air Freight & Logistics - 0.0% |  |  |
| Dimerco Express Corp  | 162558 | 406836 |
| Commercial Services & Supplies - 0.0% |  |  |
| L&K Engineering Co Ltd  | 178000 | 3319837 |
| Construction & Engineering - 0.0% |  |  |
| Kedge Construction Co Ltd  | 15000 | 41892 |
| United Integrated Services Co Ltd  | 10000 | 360263 |
|  |  | 402155 |
| Electrical Equipment - 0.1% |  |  |
| Ablerex Electronics Co Ltd  | 56000 | 126583 |
| Bizlink Holding Inc  | 314613 | 14142840 |
|  |  | 14269423 |
| Machinery - 0.2% |  |  |
| Hiwin Technologies Corp  | 1909515 | 14002055 |
| Kinik Co  | 521000 | 8703819 |
| Value Valves Co Ltd  | 6000 | 15801 |
|  |  | 22721675 |
| Marine Transportation - 0.1% |  |  |
| Evergreen Marine Corp Taiwan Ltd  | 2140000 | 13440668 |
| Yang Ming Marine Transport Corp  | 658000 | 1204145 |
|  |  | 14644813 |
| Passenger Airlines - 0.1% |  |  |
| China Airlines Ltd  | 4085000 | 2734968 |
| Eva Airways Corp  | 7334000 | 8885162 |
|  |  | 11620130 |
| TOTAL INDUSTRIALS |  | 67384869 |
| Information Technology - 15.0% |  |  |
| Communications Equipment - 0.3% |  |  |
| Accton Technology Corp  | 961878 | 42932768 |
| Zyxel Group Corp  | 158000 | 173535 |
|  |  | 43106303 |
| Electronic Equipment, Instruments & Components - 2.4% |  |  |
| AVer Information Inc  | 16000 | 17522 |
| Chroma ATE Inc  | 676045 | 29743738 |
| Chunghwa Precision Test Tech Co Ltd  | 4000 | 478225 |
| Delta Electronics Inc  | 1970917 | 89855619 |
| E Ink Holdings Inc  | 2520000 | 15023911 |
| Elite Material Co Ltd  | 610749 | 47510922 |
| General Interface Solution GIS Holding Ltd (c) | 68000 | 103520 |
| Gold Circuit Electronics Ltd  | 489000 | 12877447 |
| Hon Hai Precision Industry Co Ltd  | 12052788 | 93375869 |
| Innolux Corp  | 3248000 | 2775183 |
| Lotes Co Ltd  | 12000 | 679079 |
| Primax Electronics Ltd  | 69917 | 182338 |
| Simplo Technology Co Ltd  | 73000 | 775011 |
| Sirtec International Co Ltd  | 1000 | 811 |
| Taiwan Surface Mounting Technology Corp  | 410000 | 1326755 |
| Unimicron Technology Corp  | 1633184 | 25071035 |
| WT Microelectronics Co Ltd  | 374000 | 2193968 |
| Yageo Corp  | 4267512 | 40544493 |
| Zhen Ding Technology Holding Ltd  | 441000 | 2938500 |
|  |  | 365473946 |
| Semiconductors & Semiconductor Equipment - 11.9% |  |  |
| ADATA Technology Co Ltd  | 196000 | 1784034 |
| Advanced Analog Technology Inc  | 33000 | 49238 |
| Alchip Technologies Ltd  | 20000 | 2225340 |
| ASE Technology Holding Co Ltd  | 3831452 | 45939226 |
| ASPEED Technology Inc  | 88000 | 27298349 |
| eGalax_eMPIA Technology Inc  | 293826 | 417798 |
| eMemory Technology Inc  | 77000 | 6210865 |
| Everlight Electronics Co Ltd  | 16000 | 29942 |
| FocalTech Systems Co Ltd (g) | 195000 | 327010 |
| Global Mixed Mode Technology Inc  | 5000 | 39612 |
| Global Unichip Corp  | 57000 | 5033795 |
| Grand Process Technology Corp  | 39000 | 2213225 |
| Himax Technologies Inc ADR  | 5217 | 37979 |
| ITE Technology Inc  | 98000 | 384301 |
| Jentech Precision Industrial Co Ltd  | 27000 | 2685711 |
| King Yuan Electronics Co Ltd  | 318000 | 3315246 |
| Macroblock Inc  | 39000 | 73733 |
| MediaTek Inc  | 2511803 | 155756451 |
| MPI Corp  | 36000 | 3380093 |
| Nanya Technology Corp (c) | 384000 | 3495250 |
| Niko Semiconductor Co Ltd  | 16266 | 26188 |
| Novatek Microelectronics Corp  | 528000 | 6615571 |
| Phison Electronics Corp  | 51000 | 3073073 |
| Pixart Imaging Inc  | 114000 | 748709 |
| Radiant Opto-Electronics Corp  | 128000 | 497864 |
| Raydium Semiconductor Corp  | 62572 | 464811 |
| Realtek Semiconductor Corp  | 464000 | 7122872 |
| Silicon Motion Technology Corp ADR  | 50086 | 6472614 |
| Sinopower Semiconductor Inc  | 16000 | 74476 |
| Sitronix Technology Corp  | 51000 | 323567 |
| Sonix Technology Co Ltd  | 94000 | 131713 |
| Sunplus Technology Co Ltd (c) | 31000 | 22879 |
| Taiwan Semiconductor Manufacturing Co Ltd  | 23732418 | 1473542113 |
| Taiwan Semiconductor Manufacturing Co Ltd ADR  | 98591 | 36930217 |
|  |  | 1796743865 |
| Technology Hardware, Storage & Peripherals - 0.4% |  |  |
| Asia Vital Components Co Ltd  | 163760 | 9214959 |
| Asustek Computer Inc  | 418000 | 7089715 |
| Compal Electronics Inc  | 2493000 | 2515573 |
| Ennoconn Corp  | 9000 | 81776 |
| King Slide Works Co Ltd  | 18000 | 1976981 |
| Lite-On Technology Corp  | 436000 | 2404770 |
| Pegatron Corp  | 2008000 | 4705350 |
| Quanta Computer Inc  | 775000 | 7202464 |
| Wistron Corp  | 1203000 | 5216094 |
| Wiwynn Corp  | 117000 | 14920615 |
|  |  | 55328297 |
| TOTAL INFORMATION TECHNOLOGY |  | 2260652411 |
| TOTAL TAIWAN |  | 2377464118 |
| THAILAND - 0.3%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Thai Stanley Electric PCL depository receipt  | 2439 | 16244 |
| Specialty Retail - 0.0% |  |  |
| Com7 Pcl  | 2375600 | 1842084 |
| Index Livingmall PCL depository receipt  | 197986 | 93642 |
|  |  | 1935726 |
| TOTAL CONSUMER DISCRETIONARY |  | 1951970 |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Haad Thip PCL depository receipt  | 168600 | 87337 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Bangkok Bank PCL depository receipt  | 1674600 | 9563755 |
| Kasikornbank PCL  | 1821626 | 11780786 |
| Kasikornbank PCL depository receipt  | 443460 | 2867936 |
| Kiatnakin Phatra Bank PCL  | 816200 | 2041813 |
| Krung Thai Bank PCL depository receipt  | 5009300 | 5520223 |
| TOTAL FINANCIALS |  | 31774513 |
| Industrials - 0.1% |  |  |
| Trading Companies & Distributors - 0.0% |  |  |
| Asia Green Energy PCL depository receipt (c) | 1236571 | 46948 |
| Transportation Infrastructure - 0.1% |  |  |
| Airports of Thailand PCL  | 8156862 | 14303378 |
| TOTAL INDUSTRIALS |  | 14350326 |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Delta Electronics Thailand PCL depository receipt  | 112600 | 1010792 |
| TOTAL THAILAND |  | 49174938 |
| TURKEY - 0.6%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobiles - 0.0% |  |  |
| Ford Otomotiv Sanayi AS  | 1768024 | 4664132 |
| Specialty Retail - 0.0% |  |  |
| Dogus Otomotiv Servis ve Ticaret AS  | 343682 | 1713169 |
| TOTAL CONSUMER DISCRETIONARY |  | 6377301 |
| Consumer Staples - 0.0% |  |  |
| Beverages - 0.0% |  |  |
| Anadolu Efes Biracilik Ve Malt Sanayii AS  | 3187221 | 1374740 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| Migros Ticaret AS  | 114020 | 1675238 |
| Sok Marketler Ticaret AS (c) | 216455 | 314085 |
|  |  | 1989323 |
| TOTAL CONSUMER STAPLES |  | 3364063 |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| Akbank TAS  | 5830493 | 11963831 |
| Yapi ve Kredi Bankasi AS (c) | 18565000 | 18297093 |
|  |  | 30260924 |
| Insurance - 0.0% |  |  |
| Agesa Hayat ve Emeklilik AS  | 79910 | 410518 |
| TOTAL FINANCIALS |  | 30671442 |
| Industrials - 0.4% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Aselsan Elektronik Sanayi Ve Ticaret AS  | 1386600 | 10162635 |
| Construction & Engineering - 0.0% |  |  |
| Enka Insaat ve Sanayi AS  | 793467 | 1836746 |
| Electrical Equipment - 0.3% |  |  |
| Astor Transformator Enerji Turizm Insaat Ve Petrol Sanayi Ticaret AS  | 6414300 | 27447727 |
| Industrial Conglomerates - 0.0% |  |  |
| AG Anadolu Grubu Holding AS Class A  | 2558066 | 1966847 |
| Passenger Airlines - 0.0% |  |  |
| Turk Hava Yollari AO  | 613455 | 4293654 |
| Transportation Infrastructure - 0.0% |  |  |
| TAV Havalimanlari Holding AS (c) | 503721 | 3542809 |
| TOTAL INDUSTRIALS |  | 49250418 |
| Real Estate - 0.0% |  |  |
| Residential REITs - 0.0% |  |  |
| Emlak Konut Gayrimenkul Yatirim Ortakligi AS  | 10079223 | 5437192 |
| TOTAL TURKEY |  | 95100416 |
| UNITED ARAB EMIRATES - 1.2%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Emirates Telecommunications Group Co PJSC  | 401647 | 2217613 |
| Interactive Media & Services - 0.0% |  |  |
| Yalla Group Ltd ADR (c) | 37355 | 264473 |
| TOTAL COMMUNICATION SERVICES |  | 2482086 |
| Consumer Discretionary - 0.0% |  |  |
| Specialty Retail - 0.0% |  |  |
| Abu Dhabi National Oil Co for Distribution PJSC  | 596758 | 649877 |
| Energy - 0.5% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| ADNOC Drilling Co PJSC  | 20243329 | 28217924 |
| Oil, Gas & Consumable Fuels - 0.3% |  |  |
| Adnoc Gas PLC  | 44930098 | 41590050 |
| TOTAL ENERGY |  | 69807974 |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| Abu Dhabi Commercial Bank PJSC  | 6567144 | 27104969 |
| Emirates NBD Bank PJSC  | 564335 | 5070188 |
| First Abu Dhabi Bank PJSC  | 1405218 | 7506126 |
| TOTAL FINANCIALS |  | 39681283 |
| Industrials - 0.0% |  |  |
| Construction & Engineering - 0.0% |  |  |
| Orascom Construction PLC (f) | 22953 | 238424 |
| Passenger Airlines - 0.0% |  |  |
| Air Arabia PJSC  | 100378 | 147845 |
| TOTAL INDUSTRIALS |  | 386269 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Presight AI Holding PLC (c) | 2923700 | 2881473 |
| Real Estate - 0.4% |  |  |
| Real Estate Management & Development - 0.4% |  |  |
| Aldar Properties PJSC  | 1713200 | 5037383 |
| Deyaar Development PJSC  | 363388 | 101902 |
| Emaar Development PJSC  | 3313600 | 17456381 |
| Emaar Properties PJSC  | 10118070 | 44625783 |
| Tecom Group Pjsc  | 36802 | 37573 |
| TOTAL REAL ESTATE |  | 67259022 |
| TOTAL UNITED ARAB EMIRATES |  | 183147984 |
| UNITED KINGDOM - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Investec PLC  | 290091 | 2509842 |
| UNITED STATES - 0.5%  |  |  |
| Consumer Staples - 0.0% |  |  |
| Food Products - 0.0% |  |  |
| JBS NV depository receipt  | 422648 | 7066256 |
| Health Care - 0.1% |  |  |
| Biotechnology - 0.1% |  |  |
| BeOne Medicines Ltd A Shares (China) (c) | 3194 | 120016 |
| BeOne Medicines Ltd H Shares (c) | 378227 | 9296860 |
| Legend Biotech Corp ADR (c)(d) | 84010 | 1596190 |
| TOTAL HEALTH CARE |  | 11013066 |
| Information Technology - 0.4% |  |  |
| IT Services - 0.0% |  |  |
| Cognizant Technology Solutions Corp Class A  | 71519 | 4607969 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| NVIDIA Corp  | 164700 | 29183193 |
| Software - 0.1% |  |  |
| Synopsys Inc (c) | 24600 | 10184400 |
| TOTAL INFORMATION TECHNOLOGY |  | 43975562 |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Aura Minerals Inc (d) | 49663 | 4194040 |
| Freeport-McMoRan Inc  | 29867 | 2033345 |
| TOTAL MATERIALS |  | 6227385 |
| TOTAL UNITED STATES |  | 68282269 |
| ZAMBIA - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| First Quantum Minerals Ltd (c) | 80703 | 2416268 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $5,672,487,585) |  | <br> **10524657574** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 0.0%** |
|  | Shares | Value ($)<br>|
| Fidelity SAI Inflation-Focused Fund (b)<br>(Cost $1,196)<br>| 15 | **1505** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**International Equity Funds - 26.3%** | &nbsp;&nbsp;**International Equity Funds - 26.3%** | &nbsp;&nbsp;**International Equity Funds - 26.3%** |
|  | Shares | Value ($)<br>|
| Artisan Developing World Fund Investor Shares  | 2089564 | 43295772 |
| Brandes Emerging Markets Value Fund Class A  | 13439188 | 188954985 |
| Fidelity Advisor China Region Fund - Class Z (b) | 665916 | 41633073 |
| Fidelity SAI Emerging Markets Index Fund (b) | 1880454 | 37853542 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund (b) | 66506645 | 806060539 |
| Fidelity SAI Emerging Markets Momentum Index Fund (b) | 8920337 | 108828107 |
| Fidelity SAI Emerging Markets Value Index Fund (b) | 108301812 | 2132462687 |
| Goldman Sachs Emerging Markets Equity Fund Institutional Class  | 15540924 | 545797260 |
| iShares MSCI South Korea ETF (d) | 348771 | 52793466 |
| Lazard Emerging Markets Equity Portfolio Open Shares  | 842137 | 25095695 |
| <br> **TOTAL INTERNATIONAL EQUITY FUNDS**<br> (Cost $2,695,400,290) |  | **3982775126** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.4%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.4%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.4%** |
|  | Shares | Value ($)<br>|
| KOREA (SOUTH) - 0.4%  |  |  |
| Information Technology - 0.4% |  |  |
| Technology Hardware, Storage & Peripherals - 0.4% |  |  |
| Samsung Electronics Co Ltd  | 574590 | 57376009 |
| RUSSIA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Sberbank of Russia PJSC (c)(g) | 145250 | 1 |
| Sberbank of Russia PJSC (c)(g) | 128031 | 0 |
| TOTAL RUSSIA |  | 1 |
| <br> **TOTAL NON-CONVERTIBLE PREFERRED STOCKS**<br> (Cost $20,406,943) |  | <br> **57376010** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.1%** |
|  | Yield (%) (h) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/19/2026 (i) | 3.56 | 4070000 | 4063022 |
| US Treasury Bills 0% 3/5/2026 (i) | 3.59 | 2900000 | 2899118 |
| US Treasury Bills 0% 4/30/2026 (i) | 3.62 | 6410000 | 6371840 |
| US Treasury Bills 0% 5/28/2026 (i) | 3.63 | 1360000 | 1348223 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $14,681,410) |  |  | **14682203** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.6%** | &nbsp;&nbsp;**Money Market Funds - 3.6%** | &nbsp;&nbsp;**Money Market Funds - 3.6%** | &nbsp;&nbsp;**Money Market Funds - 3.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (j) | 3.70 | 76020305 | 76035509 |
| Fidelity Securities Lending Cash Central Fund (j)(k) | 3.69 | 105299423 | 105309953 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (l) | 3.63 | 360018134 | 360018134 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $541,363,596) |  |  | **541363596** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.9%**<br> (Cost $8,944,341,020)<br>| <br>**15120856014** |
| **NET OTHER ASSETS (LIABILITIES) - 0.1%**  | **20151596** |
| **NET ASSETS - 100.0%** | **15141007610** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| ICE MSCI Emerging Markets Index Contracts (United States) | 4927 | 3/2026 | 395071495 | 31000874 |
| The notional amount of long futures as a percentage of Net Assets is 2.6%. | The notional amount of long futures as a percentage of Net Assets is 2.6%. | The notional amount of long futures as a percentage of Net Assets is 2.6%. | The notional amount of long futures as a percentage of Net Assets is 2.6%. | The notional amount of long futures as a percentage of Net Assets is 2.6%. |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Affiliated fund.

(c) Non-income producing.

(d) Security or a portion of the security is on loan at period end.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $297,133,804 or 2.0% of net assets.

(f) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $316,547,445 or 2.1% of net assets.

(g) Level 3 security.

(h) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $12,096,990.

(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(k) Investment made with cash collateral received from securities on loan.

(l) The rate quoted is the annualized seven-day yield of the fund at period end.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 127747816 | 1298922281 | 1350628135 | 3839205 | (6453) | - | 76035509 | 76020305 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | 256660138 | 1883737696 | 2035092551 | 2179189 | 4670 | - | 105309953 | 105299423 | 0.3% |
| Total | 384407954 | 3182659977 | 3385720686 | 6018394 | (1783) | - | 181345462 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Advisor China Region Fund - Class Z | - | 37335933 | - | 727768 | - | 4297140 | 41633073 | 665916 |
| Fidelity SAI Emerging Markets Index Fund | 637651368 | 131340414 | 842463201 | 9787737 | 138231014 | (26906053) | 37853542 | 1880454 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 761840119 | 62300661 | 104000000 | 62300662 | 3528636 | 82391123 | 806060539 | 66506645 |
| Fidelity SAI Emerging Markets Momentum Index Fund | - | 88118655 | - | 118655 | - | 20709452 | 108828107 | 8920337 |
| Fidelity SAI Emerging Markets Value Index Fund | 1572047158 | 78484866 | 263500000 | 78484866 | 51966419 | 693464244 | 2132462687 | 108301812 |
| Fidelity SAI Inflation-Focused Fund | 1247 | 87 | - | 87 | - | 171 | 1505 | 15 |
|  | 2971539892 | 397580616 | 1209963201 | 151419775 | 193726069 | 773956077 | 3126839453 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 818976643 | 269295612 | 549681031 | - |
| Consumer Discretionary | 1021351956 | 713758372 | 307591281 | 2303 |
| Consumer Staples | 238929039 | 219686659 | 19242380 | - |
| Energy | 360974943 | 360974929 | - | 14 |
| Financials | 2173848121 | 1636272009 | 537576095 | 17 |
| Health Care | 263317773 | 262635311 | 682462 | - |
| Industrials | 953054835 | 919592996 | 33461839 | - |
| Information Technology | 3721826114 | 2187074013 | 1534425091 | 327010 |
| Materials | 774245545 | 664564516 | 109681028 | 1 |
| Real Estate | 105095990 | 101533245 | 3562745 | - |
| Utilities | 93036615 | 77861592 | 15175023 | - |
|  **Domestic Equity Funds** | 1505 | 1505 | - | - |
|  **International Equity Funds** | 3982775126 | 3982775126 | - | - |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Financials | 1 | - | - | 1 |
| Information Technology | 57376009 | 57376009 | - | - |
|  **U.S. Treasury Obligations** | 14682203 | - | 14682203 | - |
|  **Money Market Funds** | 541363596 | 541363596 | - | - |
| **Total Investments in Securities:** | 15120856014 | 11994765490 | 3125761178 | 329346 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 31000874 | 31000874 | - | - |
| Total Assets | 31000874 | 31000874 | - | - |
| **Total Derivative Instruments:** | 31000874 | 31000874 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 31000874 | - |
| **Total Equity Risk**  | 31000874 | - |
| **Total Value of Derivatives** | 31000874 | - |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of February 28, 2026** | **As of February 28, 2026** | **As of February 28, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $101,287,995) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $6,579,937,390) | $11812671099 |  |
| Fidelity Central Funds (cost $181,345,462) | 181345462 |  |
| Other affiliated issuers (cost $2,183,058,168) | 3126839453 |  |
| Total Investment in Securities (cost $8,944,341,020) |  | $15120856014 |
| Foreign currency held at value (cost $41,366,041) |  | 41356418 |
| Receivable for investments sold |  | 133462508 |
| Receivable for fund shares sold |  | 9628711 |
| Dividends receivable |  | 12388162 |
| Interest receivable |  | 13 |
| Distributions receivable from Fidelity Central Funds |  | 440779 |
| Other receivables |  | 557529 |
| **Total assets** |  | 15318690134 |
| **Liabilities** |  |  |
| Payable to custodian bank  | $1478740 |  |
| Payable for investments purchased  | 31530681 |  |
| Payable for fund shares redeemed | 14266011 |  |
| Accrued management fee | 3737066 |  |
| Payable for daily variation margin on futures contracts | 1045837 |  |
| Deferred taxes | 19746610 |  |
| Other payables and accrued expenses | 622866 |  |
| Collateral on securities loaned | 105254713 |  |
| **Total liabilities** |  | 177682524 |
| **Net Assets**  |  | $15141007610 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $8659590930 |
| Total accumulated earnings (loss) |  | 6481416680 |
| **Net Assets** |  | $15141007610 |
| **Net Asset Value**, offering price and redemption price per share ($15,141,007,610 ÷ 911,161,812 shares) |  | $16.62 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $255757050 |
| Affiliated issuers |  | 117443938 |
| Interest  |  | 608091 |
| Income from Fidelity Central Funds (including $2,179,189 from security lending)  |  | 6018394 |
| Income before foreign taxes withheld |  | $379827473 |
| Less foreign taxes withheld |  | (25451189) |
| **Total income** |  | 354376284 |
| **Expenses** |  |  |
| Management fee | $73464441 |  |
| Custodian fees and expenses | 1933347 |  |
| Independent trustees' fees and expenses | 62814 |  |
| Registration fees | (88502) |  |
| Audit fees | 152075 |  |
| Legal | 16118 |  |
| Miscellaneous | 56928 |  |
| Total expenses before reductions | 75597221 |  |
| Expense reductions | (34669995) |  |
| Total expenses after reductions |  | 40927226 |
| **Net Investment income (loss)** |  | 313449058 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers (net of foreign taxes of $951,167)  | 757890334 |  |
| Fidelity Central Funds | (1783) |  |
| Other affiliated issuers | 193726069 |  |
| Foreign currency transactions | (6561844) |  |
| Futures contracts | 96249373 |  |
| Capital gain distributions from underlying funds: |  |  |
| Affiliated issuers | 33975837 |  |
| Total net realized gain (loss) |  | 1075277986 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers (net of increase in deferred foreign taxes of $19,746,610)  | 3726926416 |  |
| Affiliated issuers  | 773956077 |  |
| Assets and liabilities in foreign currencies | (135556) |  |
| Futures contracts | 30708186 |  |
| Total change in net unrealized appreciation (depreciation) |  | 4531455123 |
| **Net gain (loss)** |  | 5606733109 |
| **Net increase (decrease) in net assets resulting from operations** |  | $5920182167 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **February 28, 2026** | **Year ended**<br> **February 28, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $313449058 | $274583297 |
| &nbsp;&nbsp;Net realized gain (loss) | 1075277986<br>| 134396555<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 4531455123 | 511926735<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 5920182167<br>| 920906587<br>|
| Distributions to shareholders | (347907924)<br>| (286823147)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 2421872066 | 4594215046 |
| Reinvestment of distributions | 345994110<br>| 285131248<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (5690183491) | (2454362729) |
| **Net increase (decrease) in net assets resulting from share transactions** | (2922317315)<br>| 2424983565<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 2649956928<br>| 3059067005<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 12491050682 | 9431983677<br>|
| &nbsp;&nbsp;End of period | $15141007610 | $12491050682 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 183743222 | 407400695 |
| Issued in reinvestment of distributions | 23994044<br>| 25918469<br>|
| &nbsp;&nbsp;Redeemed | (412058236) | (213520042) |
| &nbsp;&nbsp;Net increase (decrease) | (204320970) | 219799122 |

---

**Financial Highlights** 

**Strategic Advisers® Emerging Markets Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended February 28,** | **2026**  | **2025**  | **2024** A  | **2023**  | **2022**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $11.20 | $10.53 | $9.77 | $11.84 | $13.88 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | .30  | .28  | .26  | .26  | .24  |
| Net realized and unrealized gain (loss)  | 5.46  | .67  | .77  | (2.08)  | (1.90)  |
| Total from investment operations  | 5.76  | .95  | 1.03  | (1.82)  | (1.66)  |
| Distributions from net investment income  | (.34)  | (.28)  | (.27)  | (.25)  | (.25)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.13)  |
| Total distributions  | (.34)  | (.28)  | (.27)  | (.25)  | (.38)  |
| Net asset value, end of period  | $16.62 | $11.20 | $10.53 | $9.77 | $11.84 |
| **Total Return** D | 51.92% <br>| 9.07%  | 10.55%  | (15.33)%  | (12.12)%  |
| **Ratios to Average Net Assets** C,E,F |  |  |  |  |  |
| Expenses before reductions  | .55%  | .55%  | .56%  | .57%  | .58%  |
| Expenses net of fee waivers, if any  | .30% <br>| .29%  | .30%  | .32%  | .33%  |
| Expenses net of all reductions, if any  | .30%  | .29%  | .30%  | .32%  | .33%  |
| Net investment income (loss)  | 2.27%  | 2.44%  | 2.55%  | 2.59%  | 1.78%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $15141008 | $12491051 | $9431984 | $7478310 | $9757932 |
| Portfolio turnover rate G | 48% <br>| 54% H | 40%  | 39%  | 31%  |

---

A*For the year ended February 29.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

H*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements**

For the period ended February 28, 2026

**1. Organization.**

Strategic Advisers Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2026, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Deferred taxes on the Statement of Assets and Liabilities.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), partnerships, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $6217875113 |
| **Gross unrealized depreciation**  | <u>(205957877)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$6011917236</u> |
| **Tax Cost**  | <u>$9108938778</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$51200227</u> |
| **Undistributed long-term capital gain**  | <u>$438602645</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$6011616516</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **February 28, 2026** | **February 28, 2025** |
| **Ordinary Income**  | $347907924 | $286823147 |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers Emerging Markets Fund** | 6425694574 | 9248605369 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .53% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Advisers.** Acadian Asset Management LLC, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), FIL Investment Advisors, Schroder Investment Management North America, Inc. and T. Rowe Price Associates, Inc. (through March 18, 2025) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

Fidelity Diversifying Solutions LLC (an affiliate of the investment adviser) and Geode Capital Management, LLC (Geode) have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Strategic Advisers Emerging Markets Fund** | $83676 |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Emerging Markets Fund** | 2828 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Strategic Advisers Emerging Markets Fund** | 51361214 | 54826525 | (66387) |

---

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Emerging Markets Fund** | 2075 |

---

**Prior Fiscal Year Affiliated Exchange In-Kind**. During the prior period, the Fund redeemed shares of Fidelity Emerging Markets Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized gain of $226,245,972 on the Fund's redemptions of Fidelity Emerging Markets Fund, which is included in "Net Realized gain (loss)" in the accompanying Statement of Changes in Net Assets. The Fund recognized a net gain on the exchanges for federal income tax purposes.

---

| | | | |
|:---|:---|:---|:---|
|  | **Value of Investments ($)** | **Net realized gain (loss) ($)** | **Shares redeemed ($)** |
| **Fidelity Emerging Markets Fund** | 897424883 | 226245972 | 22207990 |

---

**6. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2027 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Emerging Markets Fund** | 17252 |

---

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral or, for non-cash collateral, loan fees received from the borrower as compensation for the securities loaned, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

---

| | |
|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** |
| **Strategic Advisers Emerging Markets Fund** | 234591 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2028. During the period, this waiver reduced the Fund's management fee by $34,601,336. Expense reductions also include certain voluntary fee discount arrangements, which are currently in effect for the Fund. During the period, these voluntary arrangements amounted to $60,559.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8,100.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

---

| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Emerging Markets Fund** |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 30% |
| Fidelity SAI Emerging Markets Value Index Fund | 20% |
| Fidelity SAI Emerging Markets Momentum Index Fund | 28% |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Emerging Markets Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2026, the related statement of operations for the year ended February 28, 2026, the statement of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2026 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2026, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2026 and the financial highlights for each of the five years in the period ended February 28, 2026 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

April 15, 2026

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2026,

$449,115,949, or, if subsequently determined to be different, the net capital gain of such year.

A total of 2.63% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $5,048,466 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 40.75% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.4018 and $0.068 for the dividend paid December 31, 2025.

The fund will notify shareholders in the first quarter of 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers Emerging Markets Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Acadian Asset Management LLC, Causeway Capital Management LLC, FIAM LLC, Fidelity Diversifying Solutions LLC, FIL Investment Advisors, Geode Capital Management, LLC, Schroder Investment Management North America, Inc., and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, FIL Investment Advisors (UK) Limited, and Schroder Investment Management North America Limited (each a Sub-Sub-Adviser and collectively, the Sub-Sub-Advisers) (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers and Sub-Sub-Advisers, as applicable, are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2025 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year, and the factors may have been weighed differently by different Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.

**Nature, Extent, and Quality of Services Provided**. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management.

<u>Investment Performance</u>. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses**. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board noted that the Sub-Sub-Advisers are compensated by the applicable Sub-Advisers and the Fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Wealth Services managed account program.

In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, and custodial, legal, and audit fees.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar Categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the funds and classes in the total peer group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparisons exclude performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024.

<u>Fees Charged to Other Clients</u>. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale**. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img126035_4.jpg)<br>

1.918359.115 SAE-ANN-0426

**Strategic Advisers® Core Income Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**Annual Report**

**February 28, 2026**

![](img126036_1.jpg)

![](img126036_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SSC-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Strategic Advisers® Core Income Fund](#Sub_Sec_Fund_1976_SSC-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1976_SSC-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SSC-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SSC-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SSC-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SSC-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SSC-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SSC-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Strategic Advisers® Core Income Fund**

**Schedule of Investments February 28, 2026**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Panorama Auto Trust Series 2025-4 Class C, 1 month Australian Financial Market Rate + 1.5%, 5.2925% 4/20/2034 (f)(g)(q) | AUD | 500000 | 356287 |
| BAILIWICK OF JERSEY - 0.3%  |  |  |  |
| 37 Capital Clo II Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.29%, 4.9622% 7/15/2034 (f)(g)(o) |  | 4250000 | 4255959 |
| Agl Clo 20 Ltd Series 2024-20A Class A1R, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (f)(g)(o) |  | 16000000 | 16050192 |
| AGL Clo Ltd Series 2025-24A Class CR, CME Term SOFR 3 month Index + 2.15%, 5.821% 3/31/2038 (f)(g)(o) |  | 250000 | 251067 |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0192% 7/20/2037 (f)(g)(o) |  | 4828000 | 4834581 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2037 (f)(g)(o) |  | 1080000 | 1081817 |
| Ares Lxx Clo Ltd / Ares Lxx Clo LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2039 (f)(g)(o) |  | 3139000 | 3140736 |
| Atlas Senior Loan Fund XXIII Ltd Series 2024-23A Class B, CME Term SOFR 3 month Index + 2%, 5.6676% 7/20/2037 (f)(g)(o) |  | 14000000 | 14071904 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/18/2038 (f)(g)(o) |  | 3748000 | 3762014 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (f)(g)(o) |  | 3750000 | 3765026 |
| Benefit Street Partners Clo Xxix Series 2025-29A Class AR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (f)(g)(o) |  | 500000 | 500400 |
| Benefit Street Partners Clo Xxvii Ltd Series 2024-27A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (f)(g)(o) |  | 720000 | 721031 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (f)(g)(o) |  | 4323000 | 4333475 |
| Capital Four US Clo II Ltd / Cap Four US Clo II LLC Series 2023-1A Class AR, CME Term SOFR 3 month Index + 1.9%, 5.5676% 1/20/2037 (f)(g)(o) |  | 250000 | 250214 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 7/18/2037 (f)(g)(o) |  | 8569000 | 8577569 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.0022% 1/15/2038 (f)(g)(o) |  | 3440000 | 3454383 |
| Golub Capital Partners Clo Ltd Series 2025-70A Class CR, CME Term SOFR 3 month Index + 1.75%, 5.418% 10/25/2037 (f)(g)(o) |  | 250000 | 250615 |
| Halseypoint Clo 7 Ltd / Halseypoint Clo 7 LLC Series 2025-7A Class A1R, CME Term SOFR 3 month Index + 1.45%, 5.1176% 7/20/2038 (f)(g)(o) |  | 420000 | 421660 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (f)(g)(o) |  | 3484000 | 3495912 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.1776% 7/20/2037 (f)(g)(o) |  | 4204000 | 4215754 |
| Kennedy Lewis CLO LTD / Kennedy Lewis CLO LLC Series 2026-13A Class A1R, CME Term SOFR 3 month Index + 1.14%, 4.7958% 1/20/2038 (f)(g)(o) |  | 250000 | 250081 |
| Midocean Credit Clo Xii Ltd Series 2025-12A Class A1RR, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/18/2038 (f)(g)(o) |  | 250000 | 250875 |
| Ocp CLO Aegis Ltd Series 2026-39A Class AR, CME Term SOFR 3 month Index + 1.09%, 1.09% 4/16/2038 (f)(g)(o) |  | 2458000 | 2458000 |
| OCP CLO Ltd Series 2024-36A Class B1, CME Term SOFR 3 month Index + 1.7%, 5.3711% 10/16/2037 (f)(g)(o) |  | 1238000 | 1240991 |
| OCP CLO Ltd Series 2026-31A Class AR, CME Term SOFR 3 month Index + 1.15%, 0% 4/20/2039 (f)(g)(o) |  | 250000 | 249998 |
| OCP CLO Series 2024-37A Class A1, CME Term SOFR 3 month Index + 1.36%, 5.0322% 10/15/2037 (f)(g)(o) |  | 250000 | 251089 |
| OCP CLO Series 2024-37A Class B1, CME Term SOFR 3 month Index + 1.68%, 5.3522% 10/15/2037 (f)(g)(o) |  | 250000 | 250656 |
| Park Blue CLO Ltd Series 2026-4A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9119% 1/25/2039 (f)(g)(o) |  | 24500000 | 24514578 |
| Regatta XXVII Funding Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.53%, 5.198% 4/26/2037 (f)(g)(o) |  | 250000 | 250485 |
| Renew 2023-1 Series 2023-1A Class A, 5.9% 11/20/2058 (o) |  | 2420261 | 2537128 |
| Silver Point CLO Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.26%, 5.0088% 1/18/2039 (f)(g)(o) |  | 250000 | 250843 |
| Unity-Peace Park CLO Ltd Series 2026-1A Class DR, CME Term SOFR 3 month Index + 2.85%, 6.5131% 4/20/2035 (f)(g)(o) |  | 500000 | 495490 |
| Valley Stream Park Clo Ltd Series 2024-1A Class E1RR, CME Term SOFR 3 month Index + 5.25%, 8.9176% 1/20/2037 (f)(g)(o) |  | 1000000 | 937288 |
| Vantage Data Centers Jersey Borrower Spv Ltd Series 2024-1X Class A2, 6.172% 5/28/2039 (q) | GBP | 330000 | 455361 |
| Vantage Data Centers Jersey Borrower Spv Ltd Series 2025-1X Class B, 6.338% 5/28/2039 (q) | GBP | 135000 | 183429 |
| Verdelite Static CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.13%, 4.7976% 7/20/2032 (f)(g)(o) |  | 2856055 | 2855955 |
| Wildwood Park CLO Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (f)(g)(o) |  | 250000 | 250779 |
| TOTAL BAILIWICK OF JERSEY |  |  | 115117335 |
| BERMUDA - 0.0%  |  |  |  |
| RR Ltd Series 2026-25A Class A1A2, CME Term SOFR 3 month Index + 1.18%, 4.8491% 4/15/2041 (f)(g)(o) |  | 2328000 | 2327988 |
| Symphony CLO 40 Ltd Series 2024-40A Class AR, CME Term SOFR 3 month Index + 1.31%, 4.9769% 1/5/2038 (f)(g)(o) |  | 420000 | 420273 |
| TOTAL BERMUDA |  |  | 2748261 |
| CANADA - 0.0%  |  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (o) |  | 693533 | 700823 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (o) |  | 1501468 | 1520332 |
| TOTAL CANADA |  |  | 2221155 |
| GERMANY - 0.0%  |  |  |  |
| Bmo Mortgage Trust Series 2025-1X Class A2, 4.292% 6/28/2050 (q) | EUR | 294000 | 347771 |
| SC Germany Consumer Series 2024-2 Class C, 1 month EURIBOR + 1.4%, 3.368% 5/14/2038 (f)(g)(q) | EUR | 100000 | 118731 |
| SC Germany Consumer Series 2024-2 Class D, 1 month EURIBOR + 1.7%, 3.689% 5/14/2038 (f)(g)(q) | EUR | 100000 | 118614 |
| TOTAL GERMANY |  |  | 585116 |
| GRAND CAYMAN (UK OVERSEAS TER) - 1.6%  |  |  |  |
| 1988 CLO 2 Ltd Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.2%, 4.8722% 4/15/2038 (f)(g)(o) |  | 250000 | 249869 |
| 1988 Clo 5 Ltd / 1988 Clo 5 LLC Series 2024-5A Class A1, CME Term SOFR 3 month Index + 1.54%, 5.2122% 7/15/2037 (f)(g)(o) |  | 250000 | 250687 |
| 1988 CLO Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9222% 10/15/2038 (f)(g)(o) |  | 250000 | 249625 |
| ACREC LLC Series 2026-FL4 Class A, CME Term SOFR 1 month Index + 1.45%, 5.1141% 1/18/2043 (f)(g)(o) |  | 300000 | 300376 |
| AGL CLO 35 Ltd Series 2024-35A Class A1, CME Term SOFR 3 month Index + 1.34%, 5.0097% 1/21/2038 (f)(g)(o) |  | 250000 | 250848 |
| AGL CLO 37 Ltd Series 2025-37A Class A1, CME Term SOFR 3 month Index + 1.24%, 4.9092% 4/22/2038 (f)(g)(o) |  | 250000 | 250334 |
| AGL CLO Ltd Series 2025-42A Class A1, CME Term SOFR 3 month Index + 1.3%, 4.9692% 7/22/2038 (f)(g)(o) |  | 250000 | 249999 |
| AGL CLO Ltd Series 2025-44A Class C, CME Term SOFR 3 month Index + 1.8%, 5.7533% 10/22/2037 (f)(g)(o) |  | 250000 | 248267 |
| AGL CLO Ltd Series 2026-15A Class A1R, CME Term SOFR 3 month Index + 1.2%, 4.8712% 1/20/2039 (f)(g)(o) |  | 3200000 | 3196800 |
| Agl Core Clo 2 Ltd / Agl Core 2 LLC Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.46%, 5.1276% 7/20/2037 (f)(g)(o) |  | 250000 | 250636 |
| AGL Core CLO 38 Ltd Series 2025-38A Class A1, CME Term SOFR 3 month Index + 1.24%, 4.9092% 1/22/2038 (f)(g)(o) |  | 270000 | 270790 |
| Aimco CDO Series 2024-10A Class ARR, CME Term SOFR 3 month Index + 1.41%, 5.0792% 7/22/2037 (f)(g)(o) |  | 2821000 | 2824724 |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/17/2037 (f)(g)(o) |  | 4867000 | 4882341 |
| Aimco Clo 23 Ltd Series 2025-23A Class A, CME Term SOFR 3 month Index + 1.13%, 4.7976% 4/20/2038 (f)(g)(o) |  | 385650 | 385552 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/20/2038 (f)(g)(o) |  | 4673000 | 4688178 |
| Ammc Cdo Series 2024-24A Class AR, CME Term SOFR 3 month Index + 1.2%, 4.8676% 1/20/2035 (f)(g)(o) |  | 5200000 | 5209412 |
| Ammc Clo 27 Ltd Series 2025-27A Class A2R, CME Term SOFR 3 month Index + 1.35%, 5.0176% 1/20/2037 (f)(g)(o) |  | 4820000 | 4821152 |
| Anchorage Cap Clo 7 Ltd / Anchorage Cap Clo 7 LLC Series 2024-7A Class BR3, CME Term SOFR 3 month Index + 2.05%, 5.7213% 4/28/2037 (f)(g)(o) |  | 700000 | 701165 |
| Anchorage Capital CLO 15 Ltd Series 2025-15A Class A1R2, CME Term SOFR 3 month Index + 1.41%, 5.0776% 7/20/2038 (f)(g)(o) |  | 470000 | 472301 |
| Anchorage Capital CLO 8 Ltd Series 2025-8A Class A1R3, CME Term SOFR 3 month Index + 1.29%, 4.9601% 10/27/2038 (f)(g)(o) |  | 250000 | 250253 |
| Anchorage Capital CLO Ltd Series 2024-29A Class A1, CME Term SOFR 3 month Index + 1.6%, 5.2676% 7/20/2037 (f)(g)(o) |  | 250000 | 250611 |
| Anchorage Capital CLO Ltd Series 2025-32A Class D, CME Term SOFR 3 month Index + 3.95%, 7.6222% 7/15/2037 (f)(g)(o) |  | 250000 | 250985 |
| Anchorage Capital Clo Ltd Series 2026-22A Class AR4, CME Term SOFR 3 month Index + 1.23%, 4.8092% 1/20/2039 (f)(g)(o) |  | 2300000 | 2301341 |
| Apidos CLO Series 2021-37A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0608% 10/22/2034 (f)(g)(o) |  | 1650000 | 1652114 |
| Apidos CLO Series 2021-37A Class D, CME Term SOFR 3 month Index + 3.3116%, 6.9808% 10/22/2034 (f)(g)(o) |  | 250000 | 250607 |
| Arbor Realty Collateralized Loan Obligation Ltd Series 2025-BTR1 Class A, CME Term SOFR 1 month Index + 1.925%, 5.602% 1/20/2041 (f)(g)(o) |  | 408000 | 409786 |
| ARCLO Series 2022-FL1 Class A, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1082% 1/15/2037 (f)(g)(o) |  | 91851 | 91851 |
| AREIT Ltd Series 2025-CRE10 Class A, CME Term SOFR 1 month Index + 1.3879%, 5.0476% 12/17/2029 (f)(g)(o) |  | 133000 | 133000 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (f)(g)(o) |  | 5230000 | 5249293 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.0422% 10/15/2037 (f)(g)(o) |  | 4228000 | 4233902 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.9122% 4/15/2038 (f)(g)(o) |  | 3511000 | 3508268 |
| Ares Lxii Clo Ltd Series 2025-62A Class BR, CME Term SOFR 3 month Index + 1.5%, 5.168% 1/25/2034 (f)(g)(o) |  | 5100000 | 5104809 |
| Ares Xxvii Clo Ltd Series 2024-2A Class BR3, CME Term SOFR 3 month Index + 1.65%, 5.3213% 10/28/2034 (f)(g)(o) |  | 3900000 | 3903674 |
| Atlantic Ave Ltd / Atlantic Ave LLC Series 2025-4A Class A, CME Term SOFR 3 month Index + 1.38%, 5.2664% 10/15/2038 (f)(g)(o) |  | 3500000 | 3506384 |
| Atlas Senior Loan Fund Xv Ltd Series 2024-15A Class A1R, CME Term SOFR 3 month Index + 1.22%, 4.891% 10/23/2032 (f)(g)(o) |  | 2832294 | 2836599 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 4.9322% 1/15/2038 (f)(g)(o) |  | 3908000 | 3920861 |
| Bain Cap Cr CLO Ltd / Bain Cap Cr CLO LLC Series 2026-4A Class A1RR, CME Term SOFR 3 month Index + 1%, 0% 10/20/2034 (f)(g)(o) |  | 2000000 | 2000098 |
| Bain Capital Credit Clo Ltd Series 2025-3A Class ARR, CME Term SOFR 3 month Index + 1.03%, 4.6997% 10/21/2034 (f)(g)(o) |  | 1000000 | 1000812 |
| Bain Capital Credit CLO Series 2024-2A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 7/15/2037 (f)(g)(o) |  | 380000 | 380741 |
| Bain Capital Credit CLO Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.21%, 4.881% 10/23/2034 (f)(g)(o) |  | 7300000 | 7300000 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (f)(g)(o) |  | 1560000 | 1563947 |
| Barings Ln Partners Clo Ltd 2 / Barings Ln Partners Clo 2 LLC Series 2025-2A Class CR, CME Term SOFR 3 month Index + 1.65%, 5.3176% 1/20/2034 (f)(g)(o) |  | 4500000 | 4499982 |
| Bbam US Clo I Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.2%, 4.8722% 3/30/2038 (f)(g)(o) |  | 250000 | 249621 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 6.6722% 3/30/2038 (f)(g)(o) |  | 125000 | 122881 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.918% 7/24/2035 (f)(g)(o) |  | 2541206 | 2543819 |
| Benefit Str Partners Clo Xxxiii Ltd / Benefit Str Partners Clo Xxxiii LLC Series 2026-33A Class AR, CME Term SOFR 3 month Index + 1.19%, 4.8542% 1/25/2039 (f)(g)(o) |  | 3102000 | 3107494 |
| Benefit Street Partners CLO 42 Ltd Series 2025-42A Class A, CME Term SOFR 3 month Index + 1.3%, 5.3707% 10/25/2038 (f)(g)(o) |  | 250000 | 250676 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (f)(g)(o) |  | 3210000 | 3216279 |
| Benefit Street Partners Clo Xxv Ltd Series 2025-25A Class A1R, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2035 (f)(g)(o) |  | 320000 | 320062 |
| Benefit Street Partners Clo Xxxvii Ltd Series 2024-37A Class A, CME Term SOFR 3 month Index + 1.35%, 5.018% 1/25/2038 (f)(g)(o) |  | 560000 | 561714 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0638% 1/15/2035 (f)(g)(o) |  | 4844000 | 4852283 |
| BETHP Series 2021-1A Class D, CME Term SOFR 3 month Index + 3.2116%, 6.8838% 10/15/2036 (f)(g)(o) |  | 250000 | 244850 |
| Birch Grove Clo 4 Ltd Series 2024-4A Class A1R, CME Term SOFR 3 month Index + 1.48%, 5.1522% 7/15/2037 (f)(g)(o) |  | 240000 | 240464 |
| Birch Grove Clo Ltd / Birch Grove Clo LLC Series 2024-19A Class A1RR, CME Term SOFR 3 month Index + 1.59%, 5.2576% 7/17/2037 (f)(g)(o) |  | 700000 | 701610 |
| Birch Grove CLO Ltd Series 2025-13A Class A1, CME Term SOFR 3 month Index + 1.31%, 5.4668% 10/23/2038 (f)(g)(o) |  | 250000 | 250440 |
| Birch Grove Clo Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.26%, 4.9276% 1/19/2038 (f)(g)(o) |  | 339000 | 339632 |
| Birch Grove Clo Series 2025-6A Class A1R, CME Term SOFR 3 month Index + 1.38%, 5.0476% 7/20/2037 (f)(g)(o) |  | 250000 | 251007 |
| Bluemountain Clo Ltd / Bluemountain Clo LLC Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.19%, 4.858% 10/25/2030 (f)(g)(o) |  | 54614 | 54733 |
| Bluemountain Clo Ltd / Bluemountain Clo LLC Series 2024-3A Class BR, CME Term SOFR 3 month Index + 1.85%, 5.518% 10/25/2030 (f)(g)(o) |  | 780000 | 784089 |
| Bluemountain CLO Ltd Series 2018-2A Class B, CME Term SOFR 3 month Index + 1.9616%, 5.6141% 8/15/2031 (f)(g)(o) |  | 500000 | 501583 |
| Bluemountain CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.2%, 4.8525% 11/15/2030 (f)(g)(o) |  | 136942 | 137021 |
| Bluemountain Clo Ltd Series 2025-4A Class CR2, CME Term SOFR 3 month Index + 1.3%, 4.9676% 4/20/2030 (f)(g)(o) |  | 1000000 | 1001000 |
| Brant Point CLO Ltd Series 2026-9A Class A1, CME Term SOFR 3 month Index + 1.26%, 4.9231% 1/20/2039 (f)(g)(o) |  | 500000 | 500143 |
| Bridge Street Clo VI Ltd Series 2025-2A Class A1, CME Term SOFR 3 month Index + 1.28%, 5.0671% 1/15/2039 (f)(g)(o) |  | 370000 | 371588 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 4.7376% 7/18/2034 (f)(g)(o) |  | 280000 | 280258 |
| BXMT Ltd Series 2025-FL5 Class A, CME Term SOFR 1 month Index + 1.6388%, 5.3029% 10/18/2042 (f)(g)(o) |  | 628000 | 629368 |
| Canyon Capital Clo Ltd Series 2018-1A Class AR, CME Term SOFR 3 month Index + 1.3316%, 5.0038% 7/15/2031 (f)(g)(o) |  | 60177 | 60231 |
| Canyon Capital CLO Ltd Series 2025-2A Class AR2, CME Term SOFR 3 month Index + 1.01%, 4.6822% 10/15/2034 (f)(g)(o) |  | 710000 | 710508 |
| Canyon Clo Ltd Series 2025-4A Class AR, CME Term SOFR 3 month Index + 1.1%, 4.7722% 10/15/2034 (f)(g)(o) |  | 5700000 | 5702126 |
| Carlyle US Clo Ltd / Carlyle US Clo LLC Series 2024-6A Class B, CME Term SOFR 3 month Index + 1.7%, 5.368% 10/25/2037 (f)(g)(o) |  | 1890000 | 1898639 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (f)(g)(o) |  | 3508000 | 3512866 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.078% 7/25/2037 (f)(g)(o) |  | 5360000 | 5366319 |
| Carlyle US CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.4%, 5.0697% 10/21/2037 (f)(g)(o) |  | 340000 | 341074 |
| Carlyle US CLO Ltd Series 2024-3A Class BR2, CME Term SOFR 3 month Index + 1.78%, 5.4497% 10/21/2037 (f)(g)(o) |  | 250000 | 250809 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 9.418% 10/25/2037 (f)(g)(o) |  | 150000 | 143772 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (f)(g)(o) |  | 3635000 | 3642655 |
| CARLYLE US CLO LTD Series 2026-3A Class CR3, CME Term SOFR 3 month Index + 1.75%, 5.4213% 4/20/2039 (f)(g)(o) |  | 260000 | 260000 |
| Carval Clo Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.42%, 5.0892% 10/22/2037 (f)(g)(o) |  | 250000 | 250408 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 4.868% 1/25/2038 (f)(g)(o) |  | 3215000 | 3211785 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0197% 7/20/2038 (f)(g)(o) |  | 4739000 | 4755117 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (f)(g)(o) |  | 4327000 | 4343088 |
| Cifc Fdg Ltd / Cifc Fdg LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (f)(g)(o) |  | 100000 | 100348 |
| Cifc Fdg Ltd / Cifc Fdg LLC Series 2024-1A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.3676% 1/18/2038 (f)(g)(o) |  | 500000 | 501663 |
| Cifc Funding 2014-Iii Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8522% 3/31/2038 (f)(g)(o) |  | 250000 | 250109 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (f)(g)(o) |  | 2185000 | 2189545 |
| Cifc Funding Ltd Series 2024-1A Class A1R2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (f)(g)(o) |  | 294000 | 294408 |
| CIFC Funding Ltd Series 2024-1A Class BR, CME Term SOFR 3 month Index + 1.75%, 5.418% 7/25/2037 (f)(g)(o) |  | 250000 | 250574 |
| CIFC Funding Ltd Series 2024-2A Class A1R, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (f)(g)(o) |  | 28750000 | 28845393 |
| Cifc Funding Ltd Series 2024-4A Class A1R, CME Term SOFR 3 month Index + 1.3%, 4.9722% 1/15/2040 (f)(g)(o) |  | 680000 | 680938 |
| CIFC Funding Ltd Series 2024-6A Class A1R, CME Term SOFR 3 month Index + 1.45%, 5.1211% 7/16/2037 (f)(g)(o) |  | 310000 | 310191 |
| CIFC Funding Ltd Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 0.97%, 4.6376% 4/19/2035 (f)(g)(o) |  | 995000 | 995045 |
| CIFC Funding Ltd Series 2025-2A Class D1RR, CME Term SOFR 3 month Index + 2.6%, 6.7429% 10/17/2038 (f)(g)(o) |  | 550000 | 534640 |
| CIFC Funding Ltd Series 2025-4A Class AR, CME Term SOFR 3 month Index + 1.22%, 4.8876% 1/17/2038 (f)(g)(o) |  | 2500000 | 2502588 |
| CIFC Funding Ltd Series 2025-4RA Class A1A2, CME Term SOFR 3 month Index + 0.99%, 4.6576% 1/17/2035 (f)(g)(o) |  | 4300000 | 4298899 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9422% 10/15/2038 (f)(g)(o) |  | 3307000 | 3311355 |
| CIFC Funding Ltd Series 2026-3A Class A1R, CME Term SOFR 3 month Index + 1.2%, 4.8631% 1/20/2039 (f)(g)(o) |  | 20000000 | 20048620 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.6676% 4/18/2035 (f)(g)(o) |  | 3981000 | 3981947 |
| Crown Point Clo 7 Ltd Series 2024-7A Class AR, CME Term SOFR 3 month Index + 1.23%, 4.8976% 10/20/2031 (f)(g)(o) |  | 43121 | 43133 |
| Diameter Cap Clo 10 Ltd / Diameter Cap Clo 10 LLC Series 2025-10A Class A, CME Term SOFR 3 month Index + 1.31%, 4.9776% 4/20/2038 (f)(g)(o) |  | 574000 | 576558 |
| Diameter Capital CLO 8 Ltd Series 2024-8A Class A1A, CME Term SOFR 3 month Index + 1.4%, 5.0676% 10/20/2037 (f)(g)(o) |  | 1100000 | 1102406 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 4.9456% 8/20/2034 (f)(g)(o) |  | 250000 | 250470 |
| Dryden 40 Senior Loan Fund Series 2024-40A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.8025% 8/15/2031 (f)(g)(o) |  | 99834 | 99932 |
| Dryden 45 Senior Loan Fund Series 2024-45A Class BRR, CME Term SOFR 3 month Index + 1.65%, 5.3222% 10/15/2030 (f)(g)(o) |  | 4000000 | 4006408 |
| Dryden 54 Senior Loan Fund Series 2024-54A Class AR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 10/19/2029 (f)(g)(o) |  | 4479 | 4479 |
| Dryden 55 Clo Ltd Series 2018-55A Class A1, CME Term SOFR 3 month Index + 1.2816%, 4.9538% 4/15/2031 (f)(g)(o) |  | 38383 | 38439 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 4.9697% 4/20/2035 (f)(g)(o) |  | 4007000 | 4007000 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/18/2037 (f)(g)(o) |  | 5321000 | 5327864 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 7/15/2037 (f)(g)(o) |  | 5727000 | 5732824 |
| Dryden CLO Ltd Series 2025-80A Class CRR, CME Term SOFR 3 month Index + 1.85%, 5.5176% 1/17/2033 (f)(g)(o) |  | 250000 | 250056 |
| E3 2019-1 Series 2019-1 Class A, 3.1% 9/20/2055 (o) |  | 109042 | 97466 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (f)(g)(o) |  | 3921000 | 3932689 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 10/15/2037 (f)(g)(o) |  | 6200000 | 6209071 |
| Elevation CLO Ltd Series 2024-3A Class A1R2, CME Term SOFR 3 month Index + 1.3%, 4.968% 1/25/2035 (f)(g)(o) |  | 12500000 | 12494038 |
| Elevation CLO Ltd Series 2026-19A Class A1, CME Term SOFR 3 month Index + 1.28%, 4.9423% 3/31/2038 (f)(g)(o) |  | 500000 | 500235 |
| Elm CLO Ltd Series 2025-14A Class A, CME Term SOFR 3 month Index + 1.3%, 4.9692% 1/22/2038 (f)(g)(o) |  | 250000 | 250000 |
| Elmwood Clo 30 Ltd / Elmwood Clo 30 LLC Series 2024-6A Class A, CME Term SOFR 3 month Index + 1.43%, 5.0976% 7/17/2037 (f)(g)(o) |  | 250000 | 250601 |
| Elmwood Clo 36 Ltd / Elmwood Clo 36 LLC Series 2024-12RA Class AR, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (f)(g)(o) |  | 500000 | 501006 |
| Elmwood CLO 38 Ltd Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8192% 4/22/2038 (f)(g)(o) |  | 250000 | 250292 |
| Elmwood Clo II Ltd Series 2024-2A Class A1RR, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (f)(g)(o) |  | 22750000 | 22849167 |
| Elmwood Clo III Ltd Series 2024-3A Class A1RR, CME Term SOFR 3 month Index + 1.38%, 5.0476% 7/18/2037 (f)(g)(o) |  | 12000000 | 12026580 |
| Elmwood Clo III Ltd Series 2024-3A Class ERR, CME Term SOFR 3 month Index + 5.95%, 9.6176% 7/18/2037 (f)(g)(o) |  | 400000 | 384221 |
| Elmwood Clo VI Ltd Series 2024-3A Class ARR, CME Term SOFR 3 month Index + 1.38%, 5.0476% 7/18/2037 (f)(g)(o) |  | 250000 | 250278 |
| Elmwood Clo X Ltd Series 2025-3A Class CR2, CME Term SOFR 3 month Index + 1.95%, 5.6176% 7/20/2038 (f)(g)(o) |  | 250000 | 251236 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (f)(g)(o) |  | 3505000 | 3505000 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.8956% 11/20/2038 (f)(g)(o) |  | 8080000 | 8090350 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (f)(g)(o) |  | 3139000 | 3145118 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 4.9592% 10/22/2038 (f)(g)(o) |  | 3345000 | 3354386 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/19/2037 (f)(g)(o) |  | 6432000 | 6452717 |
| Flatiron Clo Ltd Series 2024-1A Class A2R, CME Term SOFR 3 month Index + 1.58%, 5.2476% 10/19/2037 (f)(g)(o) |  | 250000 | 250605 |
| Galaxy Xxii Clo Ltd Series 2026-22A Class AR4, CME Term SOFR 3 month Index + 1.02%, 4.6832% 4/16/2034 (f)(g)(o) |  | 1030000 | 1031094 |
| Gcbsl Series 2025-48A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 4/17/2038 (f)(g)(o) |  | 250000 | 250534 |
| Generate Clo 4 Ltd / Generate Clo 4 LLC Series 2024-4A Class ARR, CME Term SOFR 3 month Index + 1.43%, 5.0976% 7/20/2037 (f)(g)(o) |  | 750000 | 751652 |
| Generate Clo 7 Ltd / Generate Clo 7 LLC Series 2024-7A Class A1R, CME Term SOFR 3 month Index + 1.62%, 5.2892% 4/22/2037 (f)(g)(o) |  | 250000 | 250397 |
| Generate CLO Ltd Series 2025-12A Class CR, CME Term SOFR 3 month Index + 2%, 5.6676% 7/20/2038 (f)(g)(o) |  | 250000 | 250941 |
| Goldentree Ln Mgmt Us Clo 11 Ltd Series 2024-11A Class AR, CME Term SOFR 3 month Index + 1.08%, 4.7476% 10/20/2034 (f)(g)(o) |  | 250000 | 250031 |
| Golub Cap Partners Clo 77b Ltd Series 2025-77A Class A1, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2038 (f)(g)(o) |  | 515422 | 516091 |
| Golub Capital Partners Clo 53b Ltd Series 2025-53A Class AR, CME Term SOFR 3 month Index + 0.98%, 4.6476% 7/20/2034 (f)(g)(o) |  | 5200000 | 5202579 |
| Golub Capital Partners Clo 81 B Ltd Series 2025-81A Class A1, CME Term SOFR 3 month Index + 1.31%, 4.9776% 7/20/2038 (f)(g)(o) |  | 420000 | 421389 |
| Goodgreen 2017-2 Trust Series 2017-2A Class A, 3.26% 10/15/2053 (o) |  | 105285 | 97367 |
| Goodgreen 2018-1 Series 2018-1A Class A, 3.93% 10/15/2053 (g)(o) |  | 92960 | 88537 |
| Gracie Point International Funding LLC Series 2023-2A Class A, U.S. 90-Day Avg. SOFR Index + 2.25%, 6.4467% 3/1/2027 (f)(g)(o) |  | 86051 | 86055 |
| Greywolf Clo II Ltd Series 2021-1A Class A1SR, CME Term SOFR 3 month Index + 1.4%, 5.0722% 4/15/2034 (f)(g)(o) |  | 35000000 | 35034545 |
| Gt Loan Financing I Ltd Series 2025-1A Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.0769% 4/28/2039 (f)(g)(o) |  | 810000 | 809595 |
| Ha Cr Partners Xvi Ltd / Oha Cr Partners Xvi LLC Series 2024-16A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/18/2037 (f)(g)(o) |  | 280000 | 281210 |
| Halseypoint Clo 6 Ltd / Halseypoint Clo 6 LLC Series 2025-6A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0176% 1/20/2038 (f)(g)(o) |  | 250000 | 250631 |
| Hero Funding Trust Series 2017-1A Class A, 3.5% 9/21/2043 (o) |  | 46049 | 41789 |
| Hero Funding Trust Series 2017-1A Class A2, 4.46% 9/20/2047 (o) |  | 40937 | 39620 |
| Hero Funding Trust Series 2017-3A Class A1, 3.19% 9/20/2048 (o) |  | 44795 | 41536 |
| Hero Funding Trust Series 2017-3A Class A2, 3.95% 9/20/2048 (o) |  | 36974 | 35090 |
| Honey Hill Park CLO Ltd Series 2026-1A Class A1, CME Term SOFR 3 month Index + 1.15%, 0% 4/24/2039 (f)(g)(o) |  | 250000 | 249999 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (o) |  | 2322107 | 2304643 |
| Icg US Clo Ltd Series 2025-1A Class A2R3, CME Term SOFR 3 month Index + 1.6%, 5.2706% 4/29/2034 (f)(g)(o) |  | 5150000 | 5153976 |
| Invesco Clo Ltd Series 2025-2A Class BR, CME Term SOFR 3 month Index + 1.6%, 5.2722% 7/15/2034 (f)(g)(o) |  | 2500000 | 2500083 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (f)(g)(o) |  | 4340000 | 4339067 |
| Jamestown Clo Xviii Ltd / Jamestown Clo Xviii LLC Series 2024-18A Class A1R, CME Term SOFR 3 month Index + 1.27%, 4.938% 7/25/2035 (f)(g)(o) |  | 11700000 | 11697251 |
| Kennedy Lewis CLO 16 Ltd Series 2024-16A Class B, CME Term SOFR 3 month Index + 1.85%, 5.5176% 7/20/2037 (f)(g)(o) |  | 500000 | 500877 |
| Kkr Clo 35 Ltd Series 2025-35A Class AR, CME Term SOFR 3 month Index + 1.2%, 4.8676% 1/20/2038 (f)(g)(o) |  | 250000 | 249738 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (f)(g)(o) |  | 2529000 | 2529000 |
| Lcm 31 Ltd Series 2024-31A Class AR, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/20/2034 (f)(g)(o) |  | 4500000 | 4502754 |
| Lcm 35 Ltd Series 2025-35A Class BR, CME Term SOFR 3 month Index + 1.65%, 5.3222% 10/15/2034 (f)(g)(o) |  | 4000000 | 4002912 |
| Madison Park Funding Ltd Series 2024-57A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9501% 7/27/2034 (f)(g)(o) |  | 250000 | 250063 |
| Madison Park Funding Lxxi Ltd Series 2025-71A Class A1, CME Term SOFR 3 month Index + 1.14%, 4.811% 4/23/2038 (f)(g)(o) |  | 2880000 | 2872800 |
| Madison Park Funding Xxxi Ltd Series 2024-31A Class B1R, CME Term SOFR 3 month Index + 1.8%, 5.471% 7/23/2037 (f)(g)(o) |  | 600000 | 601372 |
| Madison Park Funding Xxxix Ltd Series 2024-39A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9192% 10/22/2034 (f)(g)(o) |  | 5300000 | 5296407 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class B, CME Term SOFR 3 month Index + 2.05%, 5.718% 4/25/2037 (f)(g)(o) |  | 270000 | 270589 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (f)(g)(o) |  | 4233000 | 4236065 |
| Madison Pk Fdg Xxx Ltd / Madison Pk Fdg Xxx LLC Series 2024-30A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0311% 7/16/2037 (f)(g)(o) |  | 950000 | 951295 |
| Madison Pk Fdg Xxxvii LLC Series 2024-37A Class AR2, CME Term SOFR 3 month Index + 1.53%, 5.2022% 4/15/2037 (f)(g)(o) |  | 5600000 | 5607448 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 4.988% 7/25/2038 (f)(g)(o) |  | 3400000 | 3414389 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (f)(g)(o) |  | 2446000 | 2446570 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 4.958% 1/25/2038 (f)(g)(o) |  | 2869000 | 2878301 |
| Magnetite Xxiii Ltd Series 2026-23A Class AR2, CME Term SOFR 3 month Index + 0.99%, 4.6371% 1/25/2035 (f)(g)(o) |  | 5200000 | 5204482 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.818% 1/25/2038 (f)(g)(o) |  | 3261000 | 3264440 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 4.9122% 1/15/2038 (f)(g)(o) |  | 5256000 | 5266738 |
| Marble Point Clo Xviii Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.21%, 4.8822% 3/15/2038 (f)(g)(o) |  | 750000 | 750174 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 4.8422% 4/15/2038 (f)(g)(o) |  | 4173000 | 4173000 |
| Neuberger Berman Clo Xvii Ltd / Neuberger Berman Clo Xvii LLC Series 2024-17A Class AR3, CME Term SOFR 3 month Index + 1.4%, 5.0692% 7/22/2038 (f)(g)(o) |  | 250000 | 250250 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/18/2038 (f)(g)(o) |  | 4828000 | 4833557 |
| Neuberger Berman Loan Advisers CLO 36R Ltd Series 2025-36RA Class A, CME Term SOFR 3 month Index + 1.27%, 4.9376% 7/20/2039 (f)(g)(o) |  | 690000 | 692829 |
| New Mtn Clo 7 Ltd / LLC Series 2025-7A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8676% 3/31/2038 (f)(g)(o) |  | 250000 | 250161 |
| Northwoods Capital Xii-B Ltd Series 2024-12BA Class AR, CME Term SOFR 3 month Index + 1.19%, 4.9132% 6/15/2031 (f)(g)(o) |  | 5373313 | 5371712 |
| Oaktree CLO 2025-31 Ltd Series 2025-31A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9922% 7/15/2038 (f)(g)(o) |  | 500000 | 501360 |
| Oaktree Clo Ltd Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.97%, 4.6422% 1/15/2035 (f)(g)(o) |  | 250000 | 250004 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (f)(g)(o) |  | 2909000 | 2912360 |
| OCP CLO Ltd / OCP CLO LLC Series 2024-13A Class AR2, CME Term SOFR 3 month Index + 1.34%, 5.0097% 11/26/2037 (f)(g)(o) |  | 860000 | 863148 |
| OCP CLO Ltd / OCP CLO LLC Series 2024-38A Class A, CME Term SOFR 3 month Index + 1.33%, 4.9997% 1/21/2038 (f)(g)(o) |  | 250000 | 250751 |
| OCP CLO Ltd Series 2024-17A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/20/2037 (f)(g)(o) |  | 250000 | 250744 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (f)(g)(o) |  | 3770000 | 3778671 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (f)(g)(o) |  | 2260000 | 2263862 |
| OCP CLO Series 2024-12A Class BAR3, CME Term SOFR 3 month Index + 1.68%, 5.3476% 10/18/2037 (f)(g)(o) |  | 250000 | 250513 |
| OCP CLO Series 2024-12A Class XR3, CME Term SOFR 3 month Index + 1.2%, 4.8676% 10/18/2037 (f)(g)(o) |  | 187500 | 187508 |
| Octagon 75 Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8692% 1/22/2038 (f)(g)(o) |  | 250000 | 250000 |
| Octagon Investment Partners 40 Ltd Series 2025-1A Class A1RR, CME Term SOFR 3 month Index + 1.04%, 4.7076% 1/20/2035 (f)(g)(o) |  | 6300000 | 6299861 |
| Octagon Investment Partners 40 Ltd Series 2025-1A Class BRR, CME Term SOFR 3 month Index + 1.55%, 5.2176% 1/20/2035 (f)(g)(o) |  | 5850000 | 5852855 |
| Octagon Investment Partners 41 Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.09%, 4.7622% 10/15/2033 (f)(g)(o) |  | 4250000 | 4251594 |
| Octagon Investment Partners 45 Ltd Series 2025-1A Class A1RR, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2035 (f)(g)(o) |  | 11000000 | 11005819 |
| Octagon Investment Partnrs 51 Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.5%, 5.1676% 7/20/2034 (f)(g)(o) |  | 4200000 | 4202457 |
| OFSI BSL XIV CLO Ltd Series 2024-14A Class A, CME Term SOFR 3 month Index + 1.46%, 5.1276% 7/20/2037 (f)(g)(o) |  | 10000000 | 10009200 |
| Oha Cr Fdg 17 LLC Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.48%, 5.1476% 4/20/2037 (f)(g)(o) |  | 250000 | 250060 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 4.9592% 1/22/2038 (f)(g)(o) |  | 5150000 | 5164157 |
| Oha Cr Fdg 7 Ltd / Oha Cr Fdg 7 LLC Series 2025-7A Class A1R2, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/19/2038 (f)(g)(o) |  | 470000 | 470687 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 4.8976% 4/20/2038 (f)(g)(o) |  | 2310000 | 2313939 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 4.9976% 7/20/2038 (f)(g)(o) |  | 440000 | 440884 |
| Oha Credit Funding 5 Ltd Series 2024-5A Class B1R, CME Term SOFR 3 month Index + 1.7%, 5.3676% 10/18/2037 (f)(g)(o) |  | 250000 | 250557 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 4.9976% 10/20/2037 (f)(g)(o) |  | 4087000 | 4104533 |
| OHA Credit Funding 9 Ltd Series 2024-9A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/19/2037 (f)(g)(o) |  | 270000 | 271126 |
| OHA Credit Funding 9 Ltd Series 2024-9A Class B1R, CME Term SOFR 3 month Index + 1.7%, 5.3676% 10/19/2037 (f)(g)(o) |  | 250000 | 250660 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (f)(g)(o) |  | 3159000 | 3156707 |
| Oha Credit Partners Xi Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.46%, 5.1276% 4/20/2037 (f)(g)(o) |  | 750000 | 751320 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (f)(g)(o) |  | 9030000 | 9030000 |
| Oha Loan Funding 2013-2 Ltd Series 2025-2A Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.3488% 10/20/2038 (f)(g)(o) |  | 1180000 | 1181784 |
| OHA Loan Funding Ltd Series 2024-1A Class A1R2, CME Term SOFR 3 month Index + 1.46%, 5.1276% 7/20/2037 (f)(g)(o) |  | 250000 | 250737 |
| OHA Loan Funding Ltd Series 2025-1A Class A1R4, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/19/2038 (f)(g)(o) |  | 250000 | 250346 |
| Orchard Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (f)(g)(o) |  | 730000 | 732754 |
| Ozlm Funding II Ltd Series 2025-2A Class AR4, CME Term SOFR 3 month Index + 1.2%, 4.8668% 7/30/2037 (f)(g)(o) |  | 250000 | 250039 |
| Palmer Square Clo 2021-4 Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9922% 7/15/2038 (f)(g)(o) |  | 480000 | 481543 |
| Palmer Square Clo 2021-4 Ltd Series 2025-4A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.3722% 7/15/2038 (f)(g)(o) |  | 1260000 | 1266238 |
| Palmer Square CLO Ltd Series 2025-1A Class A1AR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2038 (f)(g)(o) |  | 3000000 | 3003591 |
| Palmer Square CLO Ltd Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.25%, 4.9025% 8/14/2038 (f)(g)(o) |  | 1100000 | 1103280 |
| Palmer Square CLO Ltd Series 2025-4A Class A, CME Term SOFR 3 month Index + 1.27%, 5.2268% 10/20/2038 (f)(g)(o) |  | 250000 | 250582 |
| Palmer Square CLO Ltd Series 2026-1A Class A, CME Term SOFR 3 month Index + 1.19%, 0% 4/20/2039 (c)(f)(g)(o) |  | 2730000 | 2731239 |
| Palmer Square LLC Series 2024-2A Class B, CME Term SOFR 3 month Index + 1.65%, 5.3176% 7/20/2037 (f)(g)(o) |  | 250000 | 250742 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (f)(g)(o) |  | 3017481 | 3019325 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2033 (f)(g)(o) |  | 1895125 | 1895125 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.4525% 2/15/2033 (f)(g)(o) |  | 3108960 | 3106927 |
| Palmer Square Loan Funding Ltd Series 2026-3A Class A2R, CME Term SOFR 3 month Index + 1.15%, 4.8103% 8/8/2032 (f)(g)(o) |  | 855000 | 855159 |
| Park Avenue Institutional Advisers CLO Ltd Series 2025-1A Class A2R2, CME Term SOFR 3 month Index + 1.55%, 5.2025% 2/14/2034 (f)(g)(o) |  | 2000000 | 1997368 |
| Park Avenue Institutional Advisers CLO Ltd Series 2025-2A Class BR, CME Term SOFR 3 month Index + 1.6%, 5.2722% 7/15/2034 (f)(g)(o) |  | 4950000 | 4953425 |
| Park Blue CLO Ltd Series 2025-7A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.888% 4/25/2038 (f)(g)(o) |  | 500000 | 500471 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/20/2038 (f)(g)(o) |  | 5651000 | 5645389 |
| PFP Ltd Series 2024-11 Class A, CME Term SOFR 1 month Index + 1.8324%, 5.5005% 9/17/2039 (f)(g)(o) |  | 2835632 | 2841792 |
| PFP Ltd Series 2026-13 Class A, CME Term SOFR 1 month Index + 1.5%, 5.2501% 8/18/2043 (f)(g)(o) |  | 134000 | 134545 |
| Pikes Peak Clo 2 Series 2024-2A Class ARR, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/11/2034 (f)(g)(o) |  | 5000000 | 5001560 |
| Pikes Peak Clo 4 Series 2024-4A Class ARR, CME Term SOFR 3 month Index + 1.21%, 4.8822% 7/15/2034 (f)(g)(o) |  | 11300000 | 11305548 |
| Pikes Peak Clo 6 / Pikes Peak Clo 6 LLC Series 2025-6A Class DRR, CME Term SOFR 3 month Index + 2.5%, 6.1553% 5/18/2034 (f)(g)(o) |  | 935000 | 929350 |
| Point Au Roche Pk Clo Ltd / PT Au Roche Pk Clo LLC Series 2026-1A Class D1R, CME Term SOFR 3 month Index + 2.45%, 6.1093% 1/20/2039 (f)(g)(o) |  | 300000 | 283710 |
| Rad Clo 18 Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.4%, 5.0722% 7/15/2037 (f)(g)(o) |  | 250000 | 250250 |
| Rad Clo 21 Ltd Series 2025-21A Class A1R, CME Term SOFR 3 month Index + 1.07%, 4.738% 1/25/2037 (f)(g)(o) |  | 3000000 | 2999925 |
| Regata Xii Funding Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (f)(g)(o) |  | 1320000 | 1323633 |
| Regatta 30 Fdg Ltd / Regatta 30 Fdg LLC Series 2024-4A Class A1, CME Term SOFR 3 month Index + 1.32%, 4.988% 1/25/2038 (f)(g)(o) |  | 250000 | 250437 |
| Regatta 32 Funding Ltd Series 2025-4A Class A1, CME Term SOFR 3 month Index + 1.34%, 5.008% 7/25/2038 (f)(g)(o) |  | 5150000 | 5167448 |
| Regatta IX Funding Ltd Series 2024-1A Class B1R, CME Term SOFR 3 month Index + 2%, 5.6676% 4/17/2037 (f)(g)(o) |  | 1250000 | 1252341 |
| Regatta Xix Fdg Ltd / Regatta Xix Fdg LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.24%, 4.9076% 10/20/2038 (f)(g)(o) |  | 250000 | 250321 |
| Regatta Xvi Funding Ltd Series 2026-2A Class BR2, CME Term SOFR 3 month Index + 1.45%, 5.1005% 4/15/2039 (f)(g)(o) |  | 470000 | 469478 |
| Regatta Xvi Funding Ltd Series 2026-2A Class CR2, CME Term SOFR 3 month Index + 1.8%, 5.4505% 4/15/2039 (f)(g)(o) |  | 440000 | 440270 |
| Regatta Xviii Funding Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (f)(g)(o) |  | 1085039 | 1082869 |
| Regatta Xxix Fdg Ltd / Regatta Xxix Fdg LLC Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.38%, 5.0522% 9/6/2037 (f)(g)(o) |  | 26000000 | 26074984 |
| Renew 2017-2 Series 2017-2A Class A, 3.22% 9/22/2053 (o) |  | 233028 | 216121 |
| Rockford Tower Clo Ltd Series 2018-1A Class A, CME Term SOFR 3 month Index + 1.3616%, 5.0172% 5/20/2031 (f)(g)(o) |  | 62047 | 62069 |
| Rockford Tower Clo Ltd Series 2018-1A Class B, CME Term SOFR 3 month Index + 1.9816%, 5.6372% 5/20/2031 (f)(g)(o) |  | 1750000 | 1754311 |
| Rockford Tower Clo Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.3676% 7/20/2035 (f)(g)(o) |  | 3055000 | 3061913 |
| Rockford Tower Clo Ltd Series 2025-2A Class BR, CME Term SOFR 3 month Index + 1.7%, 5.3676% 7/20/2034 (f)(g)(o) |  | 5080000 | 5084648 |
| Rr 32 Ltd / Rr 32 LLC Series 2024-32RA Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0322% 10/15/2039 (f)(g)(o) |  | 250000 | 250798 |
| Rr 32 Ltd / Rr 32 LLC Series 2024-32RA Class A2R, CME Term SOFR 3 month Index + 1.7%, 5.3722% 10/15/2039 (f)(g)(o) |  | 250000 | 250598 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0222% 10/15/2039 (f)(g)(o) |  | 2273000 | 2273000 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.0122% 1/15/2037 (f)(g)(o) |  | 7731000 | 7742712 |
| RR Ltd Series 2026-44A Class A1A, CME Term SOFR 3 month Index + 1.17%, 0% 4/15/2041 (c)(f)(g)(o) |  | 3519000 | 3519172 |
| Sagard-Halseypoint Clo 8 Ltd Series 2024-8A Class A1, CME Term SOFR 3 month Index + 1.39%, 5.0568% 1/30/2038 (f)(g)(o) |  | 250000 | 250461 |
| Sandstone Peak II Ltd Series 2025-1A Class BR, CME Term SOFR 3 month Index + 1.75%, 5.4176% 7/20/2038 (f)(g)(o) |  | 310000 | 311803 |
| Sandstone Peak III Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.63%, 5.298% 4/25/2037 (f)(g)(o) |  | 2000000 | 2001128 |
| Sandstone Peak Ltd Series 2024-1A Class A2R, CME Term SOFR 3 month Index + 1.68%, 5.3522% 10/15/2034 (f)(g)(o) |  | 250000 | 250000 |
| Sandstone Peak Ltd Series 2024-1A Class B1R, CME Term SOFR 3 month Index + 1.83%, 5.5022% 10/15/2034 (f)(g)(o) |  | 250000 | 250000 |
| Sculptor Clo Xxxv Ltd Series 2025-35A Class A1, CME Term SOFR 3 month Index + 1.25%, 4.9201% 4/27/2038 (f)(g)(o) |  | 330000 | 330301 |
| Sculptor CLO XXXVI LTD Series 2026-36A Class A1, CME Term SOFR 3 month Index + 1.25%, 4.9161% 1/30/2039 (f)(g)(o) |  | 500000 | 500617 |
| Signal Peak Clo 5 Ltd / Signal Peak Clo 5 LLC Series 2024-5A Class A1R, CME Term SOFR 3 month Index + 1.55%, 5.218% 4/25/2037 (f)(g)(o) |  | 250000 | 250549 |
| Silver Point Clo 8 Ltd Series 2025-8A Class A1, CME Term SOFR 3 month Index + 1.21%, 4.8822% 4/15/2038 (f)(g)(o) |  | 250000 | 250326 |
| Silver Point Clo Ltd Series 2025-12A Class A1, CME Term SOFR 3 month Index + 1.31%, 5.2885% 10/15/2038 (f)(g)(o) |  | 270000 | 269837 |
| Silver Point SCF CLO V Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/20/2038 (f)(g)(o) |  | 550000 | 550115 |
| Sixth Str Clo IX Ltd/Llc Series 2024-9A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.0497% 7/21/2037 (f)(g)(o) |  | 250000 | 250285 |
| Sixth Str Clo Xvi Ltd / Sixth Str Clo Xvi LLC Series 2026-16A Class A1R2, CME Term SOFR 3 month Index + 1.17%, 4.832% 1/21/2039 (f)(g)(o) |  | 750000 | 750448 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/17/2038 (f)(g)(o) |  | 2160000 | 2168186 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/17/2038 (f)(g)(o) |  | 3554000 | 3566613 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/17/2038 (f)(g)(o) |  | 3776000 | 3790073 |
| Slam Ltd Series 2024-1A Class A, 5.335% 9/15/2049 (o) |  | 3365675 | 3438346 |
| Sound Point Clo Vii-R Ltd Series 2021-3RA Class A1R, CME Term SOFR 3 month Index + 1.3316%, 5.0026% 10/23/2031 (f)(g)(o) |  | 1915534 | 1916731 |
| Sycamore Tree CLO Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.39%, 5.0576% 1/20/2038 (f)(g)(o) |  | 480000 | 481187 |
| Sycamore Tree CLO Ltd Series 2025-7A Class D1, CME Term SOFR 3 month Index + 3%, 6.6676% 8/28/2038 (f)(g)(o) |  | 250000 | 248600 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (f)(g)(o) |  | 4315000 | 4320907 |
| Symphony Clo Ltd Series 2024-22A Class A1AR, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/18/2033 (f)(g)(o) |  | 3395366 | 3395953 |
| Symphony Clo Xxi Ltd Series 2025-21A Class AR2, CME Term SOFR 3 month Index + 0.9%, 4.5722% 7/15/2032 (f)(g)(o) |  | 161831 | 161883 |
| Symphony Clo Xxv Ltd / Symphony Clo Xxv LLC Series 2025-25A Class BR, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2034 (f)(g)(o) |  | 5125000 | 5129295 |
| TCW CLO Ltd / TCW CLO LLC Series 2024-2A Class C, CME Term SOFR 3 month Index + 2.15%, 5.8176% 7/17/2037 (f)(g)(o) |  | 300000 | 300405 |
| TCW CLO Ltd Series 2025-2A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9376% 1/20/2038 (f)(g)(o) |  | 250000 | 251001 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (g)(o) |  | 832586 | 832994 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (o) |  | 3468059 | 3442600 |
| Trestles Clo III Ltd Series 2024-3A Class A1R, CME Term SOFR 3 month Index + 1.39%, 5.0576% 10/20/2037 (f)(g)(o) |  | 280000 | 281234 |
| Trestles Clo IV Ltd / Trestles Clo IV LLC Series 2025-4A Class AR1, CME Term SOFR 3 month Index + 1.28%, 5.0706% 10/30/2038 (f)(g)(o) |  | 250000 | 250035 |
| Trestles Clo IX Ltd Series 2025-9A Class A1, CME Term SOFR 3 month Index + 1.26%, 5.1299% 1/15/2039 (f)(g)(o) |  | 360000 | 360721 |
| TRESTLES CLO Ltd Series 2024-1A Class A1RR, CME Term SOFR 3 month Index + 1.46%, 5.128% 7/25/2037 (f)(g)(o) |  | 530000 | 531287 |
| Trimaran Cavu Ltd / Trimaran Cavu LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.19%, 4.8576% 1/20/2037 (f)(g)(o) |  | 16000000 | 15996608 |
| Trimaran CAVU Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.38%, 5.048% 1/25/2038 (f)(g)(o) |  | 350000 | 350602 |
| Trinitas CLO XXXV LLC Series 2026-35A Class D1, CME Term SOFR 3 month Index + 2.5%, 0% 1/22/2039 (c)(f)(g)(o) |  | 285000 | 284957 |
| Voya CLO Ltd Series 2018-1A Class A1R, CME Term SOFR 3 month Index + 1.3316%, 4.9992% 1/20/2031 (f)(g)(o) |  | 1375 | 1374 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (f)(g)(o) |  | 4109000 | 4120205 |
| Voya CLO Ltd Series 2024-2A Class AR, CME Term SOFR 3 month Index + 1.2%, 4.8676% 7/20/2032 (f)(g)(o) |  | 288553 | 288780 |
| Voya Clo Ltd Series 2025-3A Class A3R4, CME Term SOFR 3 month Index + 1.45%, 5.1176% 10/20/2031 (f)(g)(o) |  | 250000 | 250248 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (f)(g)(o) |  | 1927000 | 1930216 |
| Wellesley Park CLO Ltd Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.2%, 5.1075% 1/24/2039 (f)(g)(o) |  | 250000 | 250746 |
| Wellfleet CLO Ltd Series 2024-1A Class A1RN, CME Term SOFR 3 month Index + 1.42%, 5.0922% 7/15/2037 (f)(g)(o) |  | 7750000 | 7758913 |
| Wellfleet CLO Ltd Series 2025-1A Class BRR, CME Term SOFR 3 month Index + 1.8%, 5.4722% 4/15/2033 (f)(g)(o) |  | 250000 | 250197 |
| Wellington Management Clo 5 Ltd Series 2025-5A Class A, CME Term SOFR 3 month Index + 1.29%, 5.2511% 10/18/2038 (f)(g)(o) |  | 250000 | 250750 |
| Whitebox Clo II Ltd / Whitebox Clo II LLC Series 2024-2A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.048% 10/24/2037 (f)(g)(o) |  | 911000 | 914656 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  |  | 730106876 |
| IRELAND - 0.3%  |  |  |  |
| AlbaCore Euro CLO IV DAC Series 2024-4A Class AR, 3 month EURIBOR + 0.99%, 3.006% 7/15/2035 (f)(g)(o) | EUR | 999835 | 1182549 |
| Arbour CLO DAC Series 2024-11A Class AR, 3 month EURIBOR + 1.33%, 3.314% 5/15/2038 (f)(g)(o) | EUR | 1000000 | 1182174 |
| Arbour Clo VI Dac Series 2024-6A Class AR, 3 month EURIBOR + 1.15%, 3.134% 11/15/2037 (f)(g)(o) | EUR | 9400000 | 11145726 |
| Arbour Clo VII DAC Series 2024-7A Class BR, 3 month EURIBOR + 2.05%, 4.15% 12/15/2038 (f)(g)(o) | EUR | 5450000 | 6458994 |
| Arbour CLO XII DAC Series 2025-12A Class AR, 3 month EURIBOR + 1.35%, 3.366% 7/15/2038 (f)(g)(o) | EUR | 6200000 | 7343678 |
| Aurium CLO II DAC Series 2021-2A Class A1RR, 3 month EURIBOR + 0.93%, 2.965% 6/22/2034 (f)(g)(o) | EUR | 1000000 | 1181017 |
| Avoca CLO XXV DAC Series 2021-25A Class A, 3 month EURIBOR + 0.96%, 2.976% 10/15/2034 (f)(g)(o) | EUR | 5000000 | 5910275 |
| BlueMountain Fuji Eur CLO V DAC Series 2019-5A Class A, 3 month EURIBOR + 0.91%, 2.926% 1/15/2033 (f)(g)(o) | EUR | 576640 | 680346 |
| CVC Cordatus Loan Fund XXI DAC Series 2021-21A Class A1E, 3 month EURIBOR + 0.96%, 2.995% 9/22/2034 (f)(g)(o) | EUR | 8000000 | 9463926 |
| CVC Cordatus Loan Fund XXIX DAC Series 2025-29A Class BR, 3 month EURIBOR + 1.95%, 3.934% 8/15/2038 (f)(g)(o) | EUR | 2750000 | 3262232 |
| Fortuna Consumer Loan Series 2024-2 Class E, 1 month EURIBOR + 4.1%, 6.051% 10/18/2034 (f) | EUR | 78067 | 93889 |
| Grosvenor Place Clo Dac Series 2024-2A Class A, 3 month EURIBOR + 1.24%, 3.256% 1/15/2039 (f)(g)(o) | EUR | 10000000 | 11856163 |
| Harvest CLO XXV DAC Series 2021-25A Class AR, 3 month EURIBOR + 0.95%, 2.983% 10/21/2034 (f)(g)(o) | EUR | 3500000 | 4129417 |
| Hayfin Emerald CLO V DAC Series 2024-5A Class AR, 3 month EURIBOR + 1.21%, 3.194% 11/17/2037 (f)(g)(o) | EUR | 10000000 | 11821743 |
| Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.9%, 2.93% 4/25/2034 (f)(g)(o) | EUR | 1621879 | 1916412 |
| Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.65%, 2.666% 7/15/2031 (f)(g)(o) | EUR | 4168772 | 4917993 |
| Invesco Euro CLO VII DAC Series 2022-7A Class A, 3 month EURIBOR + 0.99%, 3.006% 1/15/2035 (f)(g)(o) | EUR | 1934000 | 2277719 |
| Palmer Square European CLO 2021-1 DAC Series 2025-1A Class BR, 3 month EURIBOR + 1.95%, 3.966% 4/15/2039 (f)(g)(o) | EUR | 3450000 | 4090849 |
| Palmer Square European Loan Funding DAC Series 2024-2A Class A, 3 month EURIBOR + 0.99%, 2.974% 5/15/2034 (f)(g)(o) | EUR | 3425562 | 4047636 |
| Providus CLO II DAC Series 2024-2A Class ARR, 3 month EURIBOR + 1.16%, 3.176% 10/15/2038 (f)(g)(o) | EUR | 9500000 | 11264309 |
| Rockford Tower Europe CLO Series 2025-1A Class A1RR, 3 month EURIBOR + 1.26%, 3.271% 8/29/2036 (f)(g)(o) | EUR | 1000000 | 1183318 |
| Secucor Finance DAC Series 2025-1 Class D, 1 month EURIBOR + 3.4%, 5.321% 9/20/2036 (f)(g)(q) | EUR | 200000 | 235434 |
| Secucor Finance DAC Series 2025-1 Class E, 1 month EURIBOR + 4.5%, 6.421% 9/20/2036 (f)(g)(q) | EUR | 100000 | 117691 |
| Secucor Finance DAC Series 2025-1 Class F, 1 month EURIBOR + 6.2%, 8.121% 9/20/2036 (f)(g)(q) | EUR | 200000 | 241196 |
| SILK Finance Series 2025-6 Class C, 3 month EURIBOR + 1.7%, 3.696% 12/25/2039 (f)(g)(q) | EUR | 100000 | 118955 |
| Taurs Series 2025-UK2X Class C, SONIA Overnight Deposit Rates SWAP + 2.5%, 6.245% 2/18/2035 (f)(g)(q) | GBP | 138065 | 186365 |
| Taurs Series 2025-UK2X Class D, SONIA Overnight Deposit Rates SWAP + 3.2%, 6.945% 2/18/2035 (f)(g)(q) | GBP | 304574 | 411811 |
| Trinitas Euro Clo VI Da Series 2025-6A Class AR, 3 month EURIBOR + 1.3%, 3.316% 1/15/2039 (f)(g)(o) | EUR | 15000000 | 17776109 |
| UK Logistics DAC Series 2025-1X Class D, SONIA Overnight Deposit Rates SWAP + 4%, 7.7452% 5/17/2035 (f)(g)(q) | GBP | 376886 | 508777 |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (o) |  | 1199674 | 1222564 |
| Voya Euro Clo II DC Series 2021-2A Class AR, 3 month EURIBOR + 0.96%, 2.976% 7/15/2035 (f)(g)(o) | EUR | 8100000 | 9547157 |
| Voya Euro CLO III DAC Series 2026-3A Class AR, 3 month EURIBOR + 1.25%, 0% 3/16/2038 (f)(g)(o) | EUR | 16750000 | 19791800 |
| TOTAL IRELAND |  |  | 155568224 |
| ITALY - 0.0%  |  |  |  |
| Asset-Backed European Securitisation Transaction Twenty-Four Srl Series 2025-R Class D, 1 month EURIBOR + 1.6%, 3.664% 8/16/2040 (f)(g)(q) | EUR | 100000 | 119164 |
| Auto ABS Italian Stella Loans SRL Series 2025-1 Class C, 1 month EURIBOR + 1.25%, 3.178% 12/28/2040 (f)(g)(q) | EUR | 95873 | 113536 |
| Golden Bar Securitisation Srl Series 2024-1 Class B, 3 month EURIBOR + 1.5%, 3.535% 9/22/2043 (f)(g)(q) | EUR | 61073 | 72874 |
| TOTAL ITALY |  |  | 305574 |
| LUXEMBOURG - 0.0%  |  |  |  |
| SC Austria Sarl Series 2025-1 Class D, 3 month EURIBOR + 1.8%, 3.793% 7/25/2041 (f)(g)(q) | EUR | 100000 | 119128 |
| SC Germany SA Compartment Consumer Series 2025-2 Class D, 1 month EURIBOR + 1.5%, 3.468% 12/15/2038 (f)(g)(q) | EUR | 100000 | 118727 |
| TOTAL LUXEMBOURG |  |  | 237855 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/18/2037 (f)(g)(o) |  | 4144000 | 4151472 |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/20/2038 (f)(g)(o) |  | 4331000 | 4336007 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.168% 7/27/2037 (f)(g)(o) |  | 4720000 | 4730729 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 1/20/2038 (f)(g)(o) |  | 2189000 | 2195951 |
| TOTAL MULTI-NATIONAL |  |  | 15414159 |
| NETHERLANDS - 0.0%  |  |  |  |
| BNPP AM Euro CLO 2019 BV Series 2021-1A Class AR, 3 month EURIBOR + 0.82%, 2.847% 7/22/2032 (f)(g)(o) | EUR | 244967 | 288310 |
| Dryden 73 Euro CLO 2019 BV Series 2019-73A Class A1, 3 month EURIBOR + 0.94%, 2.956% 1/15/2034 (f)(g)(o) | EUR | 2561196 | 3026306 |
| Hill FL BV Series 2025-1FL Class E, 1 month EURIBOR + 2.64%, 4.591% 10/18/2032 (f)(g)(q) | EUR | 218000 | 258330 |
| Hill Series 2024-2FL Class D, 1 month EURIBOR + 1.95%, 3.901% 10/18/2032 (f)(g)(q) | EUR | 83359 | 97431 |
| Mila BV Series 2025-1 Class D, 1 month EURIBOR + 1.35%, 3.294% 10/12/2042 (f)(g)(q) | EUR | 100000 | 118098 |
| Mila BV Series 2025-1 Class E, 1 month EURIBOR + 2.72%, 4.664% 10/12/2042 (f)(g)(q) | EUR | 100000 | 118731 |
| TOTAL NETHERLANDS |  |  | 3907206 |
| SPAIN - 0.0%  |  |  |  |
| AutoNoria Spain 2025-1 FT Series 2025-SP Class D, 1 month EURIBOR + 1.5%, 3.46% 4/30/2043 (f)(g)(q) | EUR | 100000 | 118426 |
| AutoNoria Spain 2025-1 FT Series 2025-SP Class E, 1 month EURIBOR + 3%, 4.96% 4/30/2043 (f)(g)(q) | EUR | 100000 | 119062 |
| Bbva Consumer Fondo de Titulizacion Series 2026-1 Class D, 3 month EURIBOR + 2.5%, 4.511% 5/20/2039 (f)(g)(q) | EUR | 100000 | 118313 |
| Bbva Consumer Fondo de Titulizacion Series 2026-1 Class E, 3 month EURIBOR + 3.5%, 5.511% 5/20/2039 (f)(g)(q) | EUR | 100000 | 118314 |
| Bbva Consumer Fondo de Titulizacion Series 2026-1 Class F, 3 month EURIBOR + 5.1%, 7.111% 5/20/2039 (f)(g)(q) | EUR | 200000 | 236308 |
| Fondo DE Titulizacion Santander Consumo 9 Series 2025-9 Class F, 3 month EURIBOR + 4.87%, 6.9% 10/25/2040 (f)(g)(q) | EUR | 405000 | 483120 |
| FTA Consumo Santander Series 2024-7 Class B, 3 month EURIBOR + 1.3%, 3.333% 7/20/2038 (f)(g)(q) | EUR | 63944 | 75779 |
| FTA Consumo Santander Series 2024-7 Class C, 3 month EURIBOR + 1.65%, 3.683% 7/20/2038 (f)(g)(q) | EUR | 63944 | 75722 |
| Fta Consumo Santander Series 2025-8 Class C, 3 month EURIBOR + 1.5%, 3.529% 1/21/2040 (f)(g)(q) | EUR | 100000 | 118524 |
| TOTAL SPAIN |  |  | 1463568 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Asimi Funding PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.75%, 5.4829% 5/16/2032 (f)(g)(q) | GBP | 64881 | 87875 |
| Asimi Funding PLC Series 2025-2 Class E, SONIA Overnight Deposit Rates SWAP + 2.8%, 6.5325% 12/16/2032 (f)(g)(q) | GBP | 89979 | 121404 |
| Asimi Funding PLC Series 2025-2 Class F, SONIA Overnight Deposit Rates SWAP + 4.8%, 8.5325% 12/16/2032 (f)(g)(q) | GBP | 89979 | 121791 |
| Cardiff Auto Receivables Securitisation 2024-1 Series 2024-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.9%, 5.6291% 8/20/2031 (f)(g)(q) | GBP | 100000 | 135516 |
| Cardiff Auto Receivables Securitisation 2024-1 Series 2024-1 Class D, SONIA Overnight Deposit Rates SWAP + 2.6%, 6.3333% 8/20/2031 (f)(g)(q) | GBP | 100000 | 135904 |
| Dowson PLC Series 2024-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.95%, 7.6831% 8/20/2031 (f)(g)(q) | GBP | 372000 | 505403 |
| Dowson PLC Series 2024-1 Class F, SONIA Overnight Deposit Rates SWAP + 6.95%, 10.6831% 8/20/2031 (f)(g)(q) | GBP | 544000 | 741069 |
| Hermitage 2025 PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 1.7%, 5.4291% 4/21/2033 (f)(g)(q) | GBP | 100000 | 135201 |
| London Cards No3 PLC Series 2025-3X Class C, SONIA Overnight Deposit Rates SWAP + 2%, 5.7329% 12/15/2035 (f)(q) | GBP | 118000 | 160462 |
| Newday Funding Master Issuer PLC Series 2024-2X Class D, SONIA Overnight Deposit Rates SWAP + 2.65%, 6.3829% 7/15/2032 (f)(g)(q) | GBP | 100000 | 136676 |
| NewDay Funding Series 2025-2X Class C, SONIA Overnight Deposit Rates SWAP + 0%, 5.233% 7/15/2033 (f)(q) | GBP | 100000 | 134638 |
| Pavillion Consumer PLC Series 2025-1X Class C, SONIA Overnight Deposit Rates SWAP + 1.6%, 5.3334% 1/25/2036 (f)(g)(q) | GBP | 100000 | 134730 |
| TOTAL UNITED KINGDOM |  |  | 2550669 |
| UNITED STATES - 2.5%  |  |  |  |
| 37 Capital Clo 1 Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.28%, 4.9522% 10/15/2034 (f)(g)(o) |  | 11500000 | 11513984 |
| A10 Issuer LLC Series 2025-FL6 Class A, CME Term SOFR 1 month Index + 1.465%, 5.1452% 5/15/2042 (f)(g)(o) |  | 375000 | 375234 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (o) |  | 3409073 | 3512851 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (o) |  | 3064264 | 3157546 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (o) |  | 2007233 | 2065809 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (o) |  | 2106306 | 2050464 |
| ACC Trust Series 2022-1 Class C, 3.24% 10/20/2025 (o) |  | 231904 | 29215 |
| Accelarated LLC Series 2021-1H Class D, 3.58% 10/20/2040 (o) |  | 59511 | 55300 |
| Accelerated LLC Series 2024-1A Class D, 7.85% 8/22/2044 (o) |  | 1840145 | 1860180 |
| Accredited Mortgage Loan Trust Series 2006-1 Class M1, CME Term SOFR 1 month Index + 0.4445%, 1.5112% 4/25/2036 (f)(g) |  | 889428 | 857430 |
| ACE Securities Corp Mortgage Loan Trust Series 2007-D1 Class A4, 6.93% 2/25/2038 (o)(p) |  | 468236 | 408231 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (o) |  | 288142 | 291003 |
| ACRES 2025-FL3 LLC Series 2025-FL3 Class A, CME Term SOFR 1 month Index + 1.619%, 5.2831% 8/18/2040 (f)(g)(o) |  | 478000 | 479793 |
| Affirm Asset Securitization Trust Series 2024-B Class B, 4.88% 9/15/2029 (o) |  | 1000000 | 1002071 |
| Affirm Asset Securitization Trust Series 2024-B Class C, 5.06% 9/15/2029 (o) |  | 1000000 | 1001822 |
| Affirm Asset Securitization Trust Series 2025-X1 Class C, 5.34% 4/15/2030 (o) |  | 100000 | 100259 |
| Affirm Asset Securitization Trust Series 2025-X2 Class A, 4.45% 10/15/2030 (o) |  | 486902 | 487459 |
| Affirm Asset Securitization Trust Series 2025-X2 Class B, 4.56% 10/15/2030 (o) |  | 100000 | 100154 |
| Affirm Master Trust Series 2025-1A Class A, 4.99% 2/15/2033 (o) |  | 1491000 | 1505113 |
| Affirm Master Trust Series 2025-1A Class B, 5.13% 2/15/2033 (o) |  | 156000 | 157296 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (o) |  | 3300000 | 3323534 |
| Affirm Master Trust Series 2025-2A Class C, 5.26% 7/15/2033 (o) |  | 9400000 | 9477413 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (o) |  | 15500000 | 15615311 |
| Affirm Master Trust Series 2025-3A Class B, 4.75% 10/16/2034 (o) |  | 5700000 | 5749469 |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (o) |  | 5093000 | 5122114 |
| ALLO Issuer LLC Series 2025-1A Class B, 6.163% 4/20/2055 (o) |  | 3260000 | 3328696 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  |  | 2009614 | 2022618 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (o) |  | 2746822 | 2824612 |
| American Credit Acceptance Receivables Trust Series 2023-2 Class D, 6.47% 8/13/2029 (o) |  | 929636 | 940867 |
| American Credit Acceptance Receivables Trust Series 2023-3 Class D, 6.82% 10/12/2029 (o) |  | 2180000 | 2231492 |
| American Credit Acceptance Receivables Trust Series 2025-1 Class D, 5.54% 8/12/2031 (o) |  | 2850000 | 2905915 |
| American Credit Acceptance Receivables Trust Series 2026-1 Class D, 5.1% 1/12/2033 (o) |  | 3700000 | 3736476 |
| Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, CME Term SOFR 1 month Index + 1.3145%, 4.9882% 11/25/2034 (f)(g) |  | 3108480 | 2984361 |
| Amsr 2021-Sfr3 Trust Series 2021-SFR3 Class E2, 2.427% 10/17/2038 (o) |  | 3178896 | 3123493 |
| Amsr 2022-Sfr1 Trust Series 2022-SFR1 Class F, 6.021% 3/17/2039 (o) |  | 373005 | 371613 |
| Amsr 2023-Sfr2 Trust Series 2023-SFR2 Class E1, 3.95% 6/17/2040 (o) |  | 2650000 | 2569018 |
| Amsr 2023-Sfr2 Trust Series 2023-SFR2 Class E2, 3.95% 6/17/2040 (o) |  | 3100000 | 2991474 |
| AMSR Trust Series 2021-SFR1 Class B, 2.153% 6/17/2038 (o) |  | 4000000 | 3796155 |
| AMSR Trust Series 2021-SFR2 Class D, 2.278% 8/17/2038 (o) |  | 1150000 | 1136139 |
| AMSR Trust Series 2021-SFR2 Class F1, 3.275% 8/17/2038 (o) |  | 380318 | 376210 |
| AMSR Trust Series 2021-SFR4 Class F1, 3.158% 12/17/2038 (o) |  | 2500000 | 2439601 |
| AMSR Trust Series 2022-SFR3 Class D, 4% 10/17/2039 (o) |  | 2115000 | 2085222 |
| AMSR Trust Series 2022-SFR3 Class F, 4% 10/17/2039 (o) |  | 2400000 | 2322986 |
| AMSR Trust Series 2023-SFR1 Class F, 4% 4/17/2040 (o) |  | 4644946 | 4445852 |
| AMSR Trust Series 2024-SFR2G Class G1, 4.5% 8/19/2028  |  | 2500000 | 2187250 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (o) |  | 528241 | 524654 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (o) |  | 112274 | 111721 |
| Aqua Finance Trust 2019-A Series 2019-A Class B, 3.47% 7/16/2040 (o) |  | 213838 | 210239 |
| Aqua Finance Trust Series 2020-AA Class B, 2.79% 7/17/2046 (o) |  | 1105702 | 1067244 |
| Aqua Finance Trust Series 2020-AA Class C, 3.97% 7/17/2046 (o) |  | 81128 | 79063 |
| Aqua Finance Trust Series 2020-AA Class D, 7.15% 7/17/2046 (o) |  | 981393 | 1003480 |
| Arbor Realty Commercial Real Estate Notes LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.354%, 5.0212% 1/20/2043 (f)(g)(o) |  | 405000 | 406141 |
| Areit Series 2025-CRE11 Class A, CME Term SOFR 1 month Index + 1.55%, 5.2097% 7/25/2043 (f)(g)(o) |  | 870000 | 871633 |
| Argent Securities Inc Series 2005-W1 Class A2, CME Term SOFR 1 month Index + 0.5945%, 4.2682% 5/25/2035 (f) |  | 415681 | 354811 |
| Argent Securities Inc Series 2005-W5 Class A2D, CME Term SOFR 1 month Index + 0.7545%, 4.4282% 1/25/2036 (f)(g) |  | 2057251 | 1957142 |
| Argent Securities, Inc. Series 2006-M1 Class A2C, CME Term SOFR 1 month Index + 0.4145%, 4.0882% 7/25/2036 (f) |  | 145350 | 39218 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (o) |  | 246505 | 248100 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (o) |  | 280802 | 281752 |
| Asset Backed Securities Corp Long Beach Home Equity Loan Trust 2000-LB1 Series 2004-HE9 Class M1, CME Term SOFR 1 month Index + 1.0895%, 4.7632% 12/25/2034 (f) |  | 843383 | 804062 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (o) |  | 992271 | 994198 |
| AutoNation Finance Trust Series 2026-1A Class A3, 4.03% 8/12/2030 (o) |  | 860000 | 864804 |
| Avis Budget Rental Car Funding AESOP LLC Series 2021-2A Class C, 2.35% 2/20/2028 (o) |  | 2435000 | 2390904 |
| Bank of America Auto Trust Series 2023-1A Class A3, 5.53% 2/15/2028 (o) |  | 1013642 | 1021345 |
| BARC Series 2026-CES1 Class A1A, 4.974% 1/25/2056 (o) |  | 490000 | 491119 |
| Bastion Funding I LLC Series 2023-1A Class A2, 7.119% 4/25/2038 (o) |  | 1022562 | 1031867 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-EC1 Class M4, CME Term SOFR 1 month Index + 1.0595%, 4.7332% 12/25/2035 (f) |  | 592778 | 586534 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-HE5 Class M2, CME Term SOFR 1 month Index + 0.5945%, 4.2682% 6/25/2036 (f) |  | 205901 | 205777 |
| Bear Stearns Asset Backed Securities Trust Series 2003-SD2 Class 2A, 5.9919% 6/25/2043 (g) |  | 2607 | 2575 |
| Bear Stearns Asset Backed Securities Trust Series 2005-2 Class M5, CME Term SOFR 1 month Index + 5.3645%, 9.0371% 6/25/2035 (f) |  | 600000 | 613397 |
| Bear Stearns Structured Products Trust Series 2007-EMX1 Class M1, CME Term SOFR 1 month Index + 2.1145%, 5.7882% 3/25/2037 (f)(o) |  | 41767 | 41694 |
| Bear Stearns Structured Products Trust Series 2007-EMX1 Class M3, CME Term SOFR 1 month Index + 2.1145%, 5.7882% 3/25/2037 (f)(o) |  | 1615045 | 1464078 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (o) |  | 1403464 | 1425956 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (o) |  | 5962297 | 5720011 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (o)(p) |  | 378260 | 379168 |
| BMW Vehicle Lease Trust Series 2025-1 Class A3, 4.43% 6/26/2028  |  | 4600000 | 4637913 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (o) |  | 839380 | 846871 |
| Bonds LLC Series 2024-FL13 Class A, CME Term SOFR 1 month Index + 1.5762%, 5.2422% 9/19/2039 (f)(g)(o) |  | 262000 | 262819 |
| Bonds LLC Series 2025-FL14 Class AS, CME Term SOFR 1 month Index + 1.5714%, 5.2386% 10/17/2042 (f)(g)(o) |  | 3150000 | 3149999 |
| Bravo Residential Funding Trust Series 2024-CES2 Class A1A, 5.549% 9/25/2054 (o) |  | 353852 | 356536 |
| Bridge Trust Series 2025-SFR1 Class E, 4.35% 9/17/2042 (o) |  | 1592538 | 1509735 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-1 Class E, 8.43% 10/15/2030 (o) |  | 1995000 | 2081390 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-3 Class E, 7.7% 4/15/2031 (o) |  | 5000000 | 5182356 |
| Bridgecrest Lending Auto Securitization Trust Series 2024-4 Class E, 7.47% 8/15/2031 (o) |  | 1500000 | 1551906 |
| Bridgecrest Lending Auto Securitization Trust Series 2025-1 Class E, 7.46% 2/17/2032 (o) |  | 1900000 | 1962662 |
| Bridgecrest Lending Auto Securitization Trust Series 2026-1 Class E, 6.63% 2/15/2033 (o) |  | 2138000 | 2159071 |
| BSPDF Issuer LLC Series 2025-FL2 Class A, CME Term SOFR 1 month Index + 1.524%, 5.1837% 12/15/2042 (f)(g)(o) |  | 105000 | 105099 |
| BSPDF Issuer LLC Series 2026-FL3 Class A, CME Term SOFR 1 month Index + 1.45%, 5.1% 9/18/2043 (f)(g)(o) |  | 300000 | 300000 |
| Business Jet Securities LLC Series 2022-1A Class C, 6.413% 6/15/2037 (o) |  | 174232 | 174320 |
| Business Jet Securities LLC Series 2024-1A Class C, 9.132% 5/15/2039 (o) |  | 921504 | 957999 |
| BXG Receivables Note Trust Series 2020-A Class B, 2.49% 2/28/2036 (o) |  | 642390 | 628409 |
| BXG Receivables Note Trust Series 2022-A Class A, 4.12% 9/28/2037 (o) |  | 1859547 | 1851569 |
| BXG Receivables Note Trust Series 2023-A Class C, 7.38% 11/15/2038 (o) |  | 330349 | 338833 |
| C-Bass Trust Series 2006-MH1 Class B2, 6.75% 10/25/2036 (o)(p) |  | 1068895 | 914487 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  |  | 1893638 | 1915418 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  |  | 2023162 | 2048192 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  |  | 600000 | 606427 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  |  | 1500000 | 1507498 |
| Carmax Auto Owner Trust Series 2025-4 Class B, 4.42% 7/15/2031  |  | 400000 | 407049 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  |  | 71646 | 71727 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  |  | 700000 | 705673 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  |  | 1160000 | 1160165 |
| Carmax Select Receivables Trust Series 2026-A Class A3, 3.99% 5/17/2032  |  | 395000 | 396104 |
| Carmax Series 2026-1 Class A3, 4.04% 3/17/2031  |  | 2000000 | 2016095 |
| CarNow Auto Receivables Trust Series 2022-1A Class E, 8.29% 8/15/2028 (o) |  | 351000 | 10298 |
| Carrington Mortgage Loan Trust Series 2005-FRE1 Class M2, CME Term SOFR 1 month Index + 0.8495%, 4.5232% 12/25/2035 (f) |  | 6571110 | 6412764 |
| Cars Mti-1 L P / Cars Mti-2 L L C / Cars Mti-3 L L C / Cars Mti-4 L P / Cars Mti-5 L P / (Cars Mti-7 L L C) Series 2020-1A Class A3, 3.1% 12/15/2050 (o) |  | 165297 | 160110 |
| CARS-DB4 LP Series 2020-1A Class A6, 3.81% 2/15/2050 (o) |  | 135691 | 129742 |
| CARS-DB4 LP Series 2020-1A Class B2, 4.52% 2/15/2050 (o) |  | 262127 | 258933 |
| CARS-DB4 LP Series 2020-1A Class B3, 4.95% 2/15/2050 (o) |  | 292260 | 276855 |
| Carvana Auto Receivables Series 2023-P3 Class A4, 5.71% 7/10/2029 (o) |  | 1418000 | 1453383 |
| Carvana Auto Receivables Trust 2023-P1 Series 2023-P1 Class A3, 5.98% 12/10/2027 (o) |  | 24404 | 24422 |
| Carvana Auto Receivables Trust Series 2022-P1 Class A4, 3.52% 2/10/2028  |  | 1272319 | 1270482 |
| Carvana Auto Receivables Trust Series 2024-N3 Class D, 5.38% 12/10/2030 (o) |  | 3000000 | 3033645 |
| Cascade MH Asset Trust Series 2019-MH1 Class B, 5% 11/25/2044 (l)(o) |  | 497340 | 472893 |
| Cascade MH Asset Trust Series 2024-MH1 Class B1, 7.504% 11/25/2056 (g)(o) |  | 2123000 | 2270566 |
| Cascade MH Asset Trust Series 2024-MH1 Class B2, 8.3482% 11/25/2056 (g)(o) |  | 1450000 | 1487101 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (o) |  | 832330 | 828177 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (o) |  | 1173732 | 1162014 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (o) |  | 2927377 | 2890803 |
| Castlelake Aircraft Structured Trust Series 2025-2A Class A, 5.465% 8/15/2050 (o) |  | 1912483 | 1944428 |
| Castlelake Aircraft Structured Trust Series 2026-1A Class A, 5.073% 3/15/2051 (o) |  | 1500000 | 1508250 |
| Centex Home Equity Loan Trust Series 2001-B Class A6, 6.36% 7/25/2032  |  | 258 | 249 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (o) |  | 1661843 | 1677521 |
| CIT Mortgage Loan Trust Series 2007-1 Class 1M2, CME Term SOFR 1 month Index + 2.7395%, 5.5382% 10/25/2037 (f)(o) |  | 700000 | 706027 |
| CIT Mortgage Loan Trust Series 2007-1 Class 2M2, CME Term SOFR 1 month Index + 2.7395%, 5.5382% 10/25/2037 (f)(o) |  | 1938000 | 1922933 |
| Citizens Auto Receivables Trust Series 2023-1 Class A3, 5.84% 1/18/2028 (o) |  | 4724547 | 4748336 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (o) |  | 1781912 | 1791087 |
| Cldcd Series 2024-1A Class A2, 5.781% 11/22/2049 (o) |  | 5270000 | 5290885 |
| Clover CLOLLC Series 2024-1A Class A1RR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/20/2037 (f)(g)(o) |  | 350000 | 350727 |
| CNSL Series 2025-4A Class B, 5.766% 12/20/2055 (o) |  | 1506000 | 1528849 |
| College Avenue Student Loans LLC Series 2021-C Class B, 2.72% 7/26/2055 (o) |  | 279940 | 262777 |
| College Avenue Student Loans LLC Series 2023-B Class A1A, 6.5% 6/25/2054 (o) |  | 240132 | 252362 |
| College Avenue Student Loans LLC Series 2024-A Class A1B, U.S. 30-Day Avg. SOFR Index + 1.75%, 5.4172% 6/25/2054 (f)(g)(o) |  | 302736 | 306955 |
| Compass Datacenters Issuer II LLC Series 2025-2A Class A1, 4.926% 11/25/2050 (o) |  | 457000 | 460505 |
| Compass Datacenters Issuer III LLC / Ltd (Partnership) Series 2025-3A Class A2, 5.286% 7/25/2050 (o) |  | 757000 | 767876 |
| Compass Datacenters Issuer III LLC / Ltd (Partnership) Series 2026-1A Class A21, 4.897% 2/25/2056 (o) |  | 474000 | 477769 |
| Compass Datacenters Issuer III LLC / Ltd (Partnership) Series 2026-1A Class A22, 5.289% 2/25/2056 (o) |  | 381000 | 382017 |
| Compass Datacenters Issuer III LLC / Ltd (Partnership) Series 2026-1A Class A23, 5.436% 2/25/2056 (o) |  | 355000 | 356554 |
| Concord Music Royalties LLC Series 2024-1A Class A, 5.644% 10/20/2074 (o) |  | 163000 | 164464 |
| Conseco Finance Corp Series 1998-4 Class M1, 6.83% 4/1/2030  |  | 176743 | 179906 |
| Consolidated Communications LLC / Fidium Fiber Fin Holdco LLC Series 2025-1A Class A2, 6% 5/20/2055 (o) |  | 1600000 | 1640515 |
| COOF Securitization Trust 2014-1 Ltd Series 2014-1 Class A, 3.1819% 6/25/2040 (g)(o)(t) |  | 24938 | 1575 |
| Coopr Residential Mortgage Trust 2025-Ces2 Series 2025-CES2 Class A1A, 5.502% 6/25/2060 (g)(o) |  | 5462318 | 5551885 |
| COOPR Residential Mortgage Trust Series 2026-CES1 Class A1A, 4.874% 1/1/2061 (o) |  | 4769778 | 4787451 |
| COOPR Residential Mortgage Trust Series 2026-CES1 Class A2, 5.158% 1/1/2061 (o) |  | 1759000 | 1772643 |
| Corevest American Finance Trust Series 2018-1 Class E, 5.9664% 6/15/2051 (g)(o) |  | 3034000 | 3015673 |
| Corevest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/2052 (o) |  | 1467550 | 1460809 |
| Countrywide Asset Bd Ctf 06-11 Tr Series 2006-11 Class 1AF4, 6.3% 12/25/2035 (Ambac Assurance Corp Insured) (g) |  | 830824 | 813206 |
| CPS Auto Receivables Trust Series 2023-D Class C, 7.17% 1/15/2030 (o) |  | 2254278 | 2276961 |
| Credit Acceptance Auto Loan Trust Series 2022-3A Class D, 9% 4/18/2033 (o) |  | 292000 | 294636 |
| Credit Acceptance Auto Loan Trust Series 2023-1A Class C, 7.71% 7/15/2033 (o) |  | 1008000 | 1024899 |
| Credit Acceptance Auto Loan Trust Series 2023-2A Class C, 7.15% 9/15/2033 (o) |  | 658000 | 669137 |
| Credit Acceptance Auto Loan Trust Series 2023-3A Class C, 7.62% 12/15/2033 (o) |  | 4000000 | 4116420 |
| Credit Acceptance Auto Loan Trust Series 2023-5A Class C, 7.3% 4/17/2034 (o) |  | 2550000 | 2632504 |
| Credit Acceptance Auto Loan Trust Series 2024-3A Class C, 5.39% 1/16/2035 (o) |  | 3000000 | 3045421 |
| Cross Mtg Trust Series 2025-CES1 Class A1A, 5.296% 11/25/2060 (o) |  | 93064 | 94071 |
| CWABS Asset Backed Certificates Trust Series 2006-14 Class M1, CME Term SOFR 1 month Index + 0.5495%, 4.2232% 2/25/2037 (f) |  | 369119 | 396287 |
| CWABS Asset Backed Notes Trust Series 2007-SEA2 Class 2A1, CME Term SOFR 1 month Index + 1.6145%, 5.2882% 6/25/2047 (f)(g)(o) |  | 71681 | 60724 |
| CWABS Inc Asset-Backed Certificates Series 2004-1 Class 3A, CME Term SOFR 1 month Index + 0.6745%, 4.3482% 4/25/2034 (f)(g) |  | 8675 | 8323 |
| CWABS Inc Asset-Backed Certificates Series 2004-6 Class M1, CME Term SOFR 1 month Index + 1.0145%, 4.6882% 10/25/2034 (f)(g) |  | 1581 | 1577 |
| CWABS Inc Asset-Backed Certificates Series 2005-3 Class MF3, 5.682% 8/25/2035 (g) |  | 1179789 | 931612 |
| DataBank Issuer II LLC Series 2025-1A Class A2, 5.18% 9/27/2055 (o) |  | 2575000 | 2570310 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (o) |  | 6727040 | 6702301 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (o) |  | 1378800 | 1357917 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (o) |  | 3316688 | 3351040 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (o) |  | 2194500 | 2225554 |
| Deephaven Residential Mtg Tr 2025-Ces1 Series 2025-CES1 Class A1A, 5.224% 10/25/2055 (o) |  | 314161 | 317466 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (o) |  | 1420786 | 1424653 |
| Dell Equipment Finance Trust Series 2025-2 Class A2, 4.1% 2/22/2028 (o) |  | 4200000 | 4209238 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (o) |  | 1700000 | 1711751 |
| Dewolf Park CLO Ltd Series 2026-1A Class AR2, CME Term SOFR 3 month Index + 1.21%, 4.8748% 1/22/2039 (f)(g)(o) |  | 15000000 | 15026865 |
| Dext Abs LLC Series 2025-2 Class A2, 4.1% 4/17/2028 (o) |  | 1275000 | 1274864 |
| Diamond Infrastructure Funding LLC Series 2021-1A Class A, 1.76% 4/15/2049 (o) |  | 1200000 | 1171188 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (o) |  | 1389467 | 1403876 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (o) |  | 793097 | 796121 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (o) |  | 979000 | 999303 |
| DLLMT LLC Series 2026-1A Class A2, 4.03% 7/20/2028 (o) |  | 955000 | 956334 |
| DLLMT LLC Series 2026-1A Class A3, 4.2% 12/20/2029 (o) |  | 485000 | 488378 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (o) |  | 1196160 | 1170140 |
| Drive Auto Receivables Trust Series 2024-2 Class D, 4.94% 5/17/2032  |  | 2200000 | 2224448 |
| DT Auto Owner Trust Series 2023-2A Class E, 11.06% 4/15/2030 (o) |  | 800000 | 845693 |
| DT Auto Owner Trust Series 2023-3A Class D, 7.12% 5/15/2029 (o) |  | 3936000 | 4065524 |
| DT Auto Owner Trust Series 2023-3A Class E, 10.21% 5/15/2030 (o) |  | 950000 | 1009740 |
| Dwight 2025-Fl1 Issuer LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.662%, 5.3261% 6/18/2042 (f)(g)(o) |  | 419000 | 420624 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.1822% 7/15/2037 (f)(g)(o) |  | 4460000 | 4468175 |
| ECMC Group Student Loan Trust Series 2021-1A Class A1B, U.S. 30-Day Avg. SOFR Index + 0.6845%, 4.3517% 11/25/2070 (f)(g)(o) |  | 459472 | 455388 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (o) |  | 1700000 | 1714934 |
| Elara HGV Timeshare Issuer LLC Series 2019-A Class C, 3.45% 1/25/2034 (o) |  | 12658 | 12639 |
| Elara HGV Timeshare Issuer LLC Series 2021-A Class D, 3.32% 8/27/2035 (o) |  | 176458 | 169120 |
| ELFI Graduate Loan Program LLC Series 2023-A Class A, 6.37% 2/4/2048 (o) |  | 456539 | 480483 |
| Elfi Graduate Loan Program LLC Series 2024-A Class A, 5.56% 8/25/2049 (o) |  | 902931 | 927412 |
| Enterprise Fleet Financing 2025-2 LLC Series 2025-2 Class A4, 4.58% 12/22/2031 (o) |  | 960000 | 981391 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (o) |  | 1806803 | 1827849 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (o) |  | 3400000 | 3437649 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (o) |  | 373473 | 374400 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (o) |  | 1900000 | 1928218 |
| Equity One Mortgage Pass-Through Trust 2002-5 Series 2003-3 Class M2, 5.459% 12/25/2033 (g) |  | 836576 | 773952 |
| Exeter Automobile Receivables Trust Series 2023-4A Class D, 6.95% 12/17/2029  |  | 1205000 | 1236366 |
| Exeter Automobile Receivables Trust Series 2023-4A Class E, 9.57% 2/18/2031 (o) |  | 1015000 | 1094837 |
| Exeter Automobile Receivables Trust Series 2023-5A Class D, 7.13% 2/15/2030  |  | 1467000 | 1513516 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A3, 4.39% 9/17/2029  |  | 1500000 | 1508130 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  |  | 1380000 | 1383362 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  |  | 291970 | 292708 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  |  | 475000 | 479839 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  |  | 370000 | 372972 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  |  | 615000 | 618486 |
| FHF Issuer Trust Series 2023-2A Class C, 7.97% 12/17/2029 (o) |  | 3000000 | 3068532 |
| FIGRE Trust 2024-HE6 Series 2024-HE6 Class A, 5.724% 12/25/2054 (o) |  | 6061927 | 6151872 |
| Figre Trust Series 2024-SL1 Class A1, 5.748% 7/25/2053 (o) |  | 1028303 | 1043095 |
| FIGRE Trust Series 2025-HE6 Class A, 5.044% 9/25/2055 (o) |  | 5570158 | 5606813 |
| FIGRE Trust Series 2025-HE7 Class A, 5.15% 11/25/2055 (o) |  | 234551 | 236823 |
| FIGRE Trust Series 2025-HE8 Class A, 5.206% 11/25/2055 (o) |  | 3207729 | 3244505 |
| FIGRE Trust Series 2026-HE1 Class A, 4.982% 1/25/2056 (o) |  | 478071 | 480378 |
| Finance of America Structured Securities Trust Series 2025-S2 Class A1, 3.5% 7/25/2075 (o) |  | 16222158 | 15907812 |
| First Frankin Mortgage Loan Trust Series 2006-FF13 Class A1, CME Term SOFR 1 month Index + 0.3545%, 4.0282% 10/25/2036 (f) |  | 32408 | 20084 |
| FirstKey Homes Trust Series 2021-SFR1 Class C, 1.888% 8/17/2038 (o) |  | 1100000 | 1085731 |
| FirstKey Homes Trust Series 2021-SFR1 Class E2, 2.489% 8/17/2038 (o) |  | 292000 | 288184 |
| FirstKey Homes Trust Series 2021-SFR1 Class F1, 3.238% 8/17/2038 (o) |  | 300000 | 296862 |
| FirstKey Homes Trust Series 2021-SFR1 Class F2, 3.452% 8/17/2038 (o) |  | 1500000 | 1484984 |
| FirstKey Homes Trust Series 2021-SFR2 Class E2, 2.358% 9/17/2038 (o) |  | 1763000 | 1738045 |
| FirstKey Homes Trust Series 2021-SFR2 Class F2, 3.157% 9/17/2038 (o) |  | 2400000 | 2364191 |
| FirstKey Homes Trust Series 2021-SFR3 Class F2, 3.832% 12/17/2038 (o) |  | 3000000 | 2944754 |
| Firstkey Homes Trust Series 2022-SFR1 Class E1, 5% 5/19/2039 (o) |  | 1826000 | 1812443 |
| Firstkey Homes Trust Series 2022-SFR1 Class F1, 0% 5/19/2039 (o)(s) |  | 2000000 | 1872588 |
| Firstkey Homes Trust Series 2022-SFR1 Class F2, 0% 5/19/2039 (o)(s) |  | 900000 | 841180 |
| Firstkey Homes Trust Series 2022-SFR3 Class E1, 3.5% 7/17/2038 (o) |  | 3500000 | 3477097 |
| Firstkey Homes Trust Series 2022-SFR3 Class E2, 3.5% 7/17/2038 (o) |  | 229000 | 227029 |
| Firstkey Homes Trust Series 2022-SFR3 Class F1, 0% 7/17/2038 (o)(s) |  | 2000000 | 1957931 |
| Flagship Credit Auto Trust Series 2024-1 Class A2, 5.64% 3/15/2028 (o) |  | 95348 | 95467 |
| Flatiron CLO Ltd Series 2026-2A Class D1R, CME Term SOFR 3 month Index + 2.35%, 5.9432% 1/15/2039 (f)(g)(o) |  | 250000 | 250138 |
| Fmc Gmsr Issuer Tr Series 2021-GT1 Class B, 4.36% 7/25/2026 (o) |  | 234042 | 229767 |
| Fmc Gmsr Issuer Tr Series 2021-GT2 Class A, 3.85% 10/25/2026 (o) |  | 4000000 | 3897930 |
| Fmc Gmsr Issuer Tr Series 2021-GT2 Class B, 4.44% 10/25/2026 (o) |  | 661257 | 649416 |
| Fmc Gmsr Issuer Tr Series 2022-GT1 Class A, 6.19% 4/25/2027 (o) |  | 4292553 | 4325389 |
| Fmc Gmsr Issuer Tr Series 2022-GT1 Class B, 7.17% 4/25/2027 (o) |  | 675797 | 682182 |
| Fna 8 LLC Series 2025-1 Class A, 5.623% 3/15/2045 (g)(o) |  | 492265 | 497245 |
| Ford Auto Securitization Trust II Series 2024-AA Class A2, 5.053% 7/15/2028 (o) | CAD | 2094888 | 1547928 |
| Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/2033 (o) |  | 1190000 | 1185999 |
| Ford Credit Auto Owner Trust Series 2026-1 Class A, 4.32% 8/15/2038 (g)(o) |  | 4900000 | 4980915 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (o) |  | 1800000 | 1803595 |
| Foundation Finance Trust 2025-2 Series 2025-2A Class D, 5.68% 4/15/2052 (o) |  | 100000 | 101115 |
| Foundation Finance Trust Series 2023-2A Class A, 6.53% 6/15/2049 (o) |  | 177955 | 186313 |
| Foundation Finance Trust Series 2023-2A Class B, 6.97% 6/15/2049 (o) |  | 1637137 | 1714874 |
| Foundation Finance Trust Series 2024-2A Class B, 4.93% 3/15/2050 (o) |  | 81095 | 81709 |
| Foundation Finance Trust Series 2025-1A Class A, 4.95% 4/15/2050 (o) |  | 191509 | 194667 |
| FRTKL Series 2021-SFR1 Class F, 3.171% 9/17/2038 (o) |  | 128000 | 125687 |
| FS Rialto Issuer LLC Series 2024-FL9 Class A, CME Term SOFR 1 month Index + 1.6306%, 5.2967% 10/19/2039 (f)(g)(o) |  | 245000 | 245605 |
| FS Rialto Issuer LLC Series 2025-FL10 Class A, CME Term SOFR 1 month Index + 1.3851%, 5.0511% 8/19/2042 (f)(g)(o) |  | 110000 | 110235 |
| GE Mortgage Services LLC Series 1999-HE1 Class A6, 6.7% 4/25/2029  |  | 1623 | 1630 |
| Genesis Sales Fin Master Tr Series 2024-B Class A, 5.87% 12/20/2032 (o) |  | 7400000 | 7502689 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (o) |  | 7008826 | 7165795 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (o) |  | 4718538 | 4850318 |
| Gls Auto Receivables Issuer Tr 2023-2 Series 2023-2A Class C, 5.69% 3/15/2029 (o) |  | 240666 | 241593 |
| GLS Auto Receivables Issuer Trust Series 2022-1A Class D, 3.97% 1/18/2028 (o) |  | 1795270 | 1794568 |
| Gls Auto Receivables Trust 2023-3 Series 2023-3A Class D, 6.44% 5/15/2029 (o) |  | 1407000 | 1443796 |
| Gls Auto Receivables Trust 2023-3 Series 2023-3A Class E, 9.27% 8/15/2030 (o) |  | 1000000 | 1067246 |
| GLS Auto Select Receivables Trust Series 2023-1A Class B, 6.09% 3/15/2029 (o) |  | 175000 | 178674 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (o) |  | 3610000 | 3667016 |
| Goldman Home Improvement Trust 2022-Grn1 Issuer Trust Series 2022-GRN1 Class A, 4.5% 6/25/2052 (o) |  | 130519 | 130499 |
| Goodgreen 2023-1 Series 2023-1A Class A, 5.9% 1/17/2061 (o) |  | 528049 | 536843 |
| Goodleap Home Improvement Solutions Trust 2025-2 Series 2025-2A Class A, 5.32% 6/20/2049 (o) |  | 1211263 | 1232994 |
| Goodleap Home Improvement Solutions Trust 2025-2 Series 2025-2A Class B, 5.98% 6/20/2049 (o) |  | 1031531 | 1054192 |
| Goodleap Home Improvement Solutions Trust Series 2024-1A Class A, 5.35% 10/20/2046 (o) |  | 918871 | 936880 |
| Goodleap Home Improvement Solutions Trust Series 2025-1A Class A, 5.38% 2/20/2049 (o) |  | 2068522 | 2109512 |
| Goodleap Home Improvement Solutions Trust Series 2025-1A Class B, 6.27% 2/20/2049 (o) |  | 27140 | 27928 |
| GoodLeap Home Improvement Solutions Trust Series 2025-3A Class A, 5% 10/20/2049 (o) |  | 1061112 | 1069795 |
| Goodleap Sustainable Home Solution Trust Series 2023-4C Class A, 6.48% 3/20/2057 (o) |  | 1435194 | 1431548 |
| Goodleap Sustainable Home Solution Trust Series 2024-1GS Class A, 6.25% 6/20/2057 (o) |  | 2484863 | 2446551 |
| Gracie Point International Funding LLC Series 2024-1A Class A, U.S. 90-Day Avg. SOFR Index + 1.7%, 5.8902% 3/1/2028 (f)(g)(o) |  | 318000 | 318011 |
| Granite Park Equipment Leasing LLC Series 2023-1A Class E, 7% 6/20/2035 (o) |  | 1587000 | 1597159 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (o) |  | 4267312 | 4280472 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (f)(g)(o) |  | 4445000 | 4438333 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class C, 5.26% 6/25/2060 (o) |  | 133000 | 134816 |
| Greensky Home Improvement Issuer Trust Series 2025-2A Class D, 5.56% 6/25/2060 (o) |  | 106000 | 107477 |
| Greensky Home Improvement Series 2025-3A Class A3, 4.52% 12/27/2060 (o) |  | 3798427 | 3825393 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class A3, 5.55% 6/25/2059 (o) |  | 500000 | 513225 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class A4, 5.67% 6/25/2059 (o) |  | 663815 | 681000 |
| Greensky Home Improvement Trust 2024-1 Series 2024-1 Class B, 5.87% 6/25/2059 (o) |  | 77146 | 79053 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (o) |  | 640116 | 641386 |
| Greensky Home Improvement Trust Series 2024-2 Class A3, 5.15% 10/27/2059 (o) |  | 3500000 | 3571383 |
| Greensky Home Improvement Trust Series 2024-2 Class A4, 5.15% 10/27/2059 (o) |  | 111593 | 113670 |
| Greensky Home Improvement Trust Series 2024-2 Class B, 5.26% 10/27/2059 (o) |  | 678395 | 689153 |
| Greensky Home Improvement Trust Series 2024-2 Class C, 5.55% 10/27/2059 (o) |  | 894980 | 910941 |
| Greensky Home Improvement Trust Series 2024-2 Class D, 6.43% 10/27/2059 (o) |  | 594267 | 610985 |
| Greensky Home Impt Issuer Trust Series 2025-1A Class A3, 5.32% 3/25/2060 (o) |  | 3900000 | 4013000 |
| Greensky Home Impt Issuer Trust Series 2025-1A Class A4, 5.22% 3/25/2060 (o) |  | 6002671 | 6118363 |
| Greystone CRE Notes Series 2025-FL4 Class A, CME Term SOFR 1 month Index + 1.4811%, 5.1407% 1/15/2043 (f)(g)(o) |  | 250000 | 250704 |
| Gs Mortgage-Backed Securities Trust Series 2024-HE2 Class A1, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 1/25/2055 (f)(g)(o) |  | 2453822 | 2465824 |
| GS Mortgage-Backed Securities Trust Series 2026-CES1 Class A1, 4.899% 5/25/2056 (o) |  | 2132862 | 2144035 |
| GS Mortgage-Backed Securities Trust Series 2026-CES1 Class A2, 5.272% 5/25/2056 (o) |  | 104000 | 105217 |
| GSAA Home Equity Trust Series 2006-18 Class AF3A, 5.7723% 11/25/2036  |  | 42839 | 11993 |
| Hero Fdg 2017-2 Series 2017-2A Class A2, 4.07% 9/20/2048 (o) |  | 41864 | 40220 |
| Hero Funding Trust 2016-3 Series 2016-3A Class A1, 3.08% 9/20/2042 (o) |  | 11010 | 10443 |
| Hero Funding Trust Series 2015-3A Class A, 4.28% 9/20/2041 (o) |  | 24346 | 24166 |
| Hertz Vehicle Financing LLC Series 2023-3A Class A, 5.94% 2/25/2028 (o) |  | 1197000 | 1213638 |
| Hilton Grand Vacations Trust Series 2020-AA Class C, 6.42% 2/25/2039 (o) |  | 39951 | 40260 |
| Hilton Grand Vacations Trust Series 2023-1A Class C, 6.94% 1/25/2038 (o) |  | 1403586 | 1453617 |
| Hilton Grand Vacations Trust Series 2024-1B Class D, 8.85% 9/15/2039 (o) |  | 929575 | 964792 |
| Hilton Grand Vacations Trust Series 2025-3EXT Class D, 7.38% 10/25/2044 (o) |  | 1543167 | 1579452 |
| Hinnt 2024-A LLC Series 2024-A Class E, 8% 3/15/2043 (o) |  | 734456 | 727636 |
| Home Partners of America Trust Series 2019-2 Class E, 3.32% 10/19/2039 (o) |  | 269944 | 263024 |
| Home Partners of America Trust Series 2021-3 Class E2, 3.347% 1/17/2041 (o) |  | 387516 | 362827 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (o) |  | 1616724 | 1600563 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (o) |  | 1143235 | 1149434 |
| HSI Asset Securitization Corp Trust Series 2007-HE1 Class 1A1, CME Term SOFR 1 month Index + 0.2545%, 3.9282% 1/25/2037 (f)(g) |  | 2145196 | 1685017 |
| Huntington Bank Auto Credit-Linked Notes Series 2024-1 Class B2, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0615% 5/20/2032 (f)(g)(o) |  | 138210 | 138618 |
| Huntington Bank Auto Credit-Linked Notes Series 2024-2 Class B2, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0115% 10/20/2032 (f)(g)(o) |  | 305035 | 306047 |
| Huntington Bank Auto Credit-Linked Notes Series 2025-2 Class B2, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8615% 9/20/2033 (f)(g)(o) |  | 286859 | 287648 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (o) |  | 3866638 | 3881417 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (o) |  | 2920353 | 2930928 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/2028  |  | 615508 | 619383 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  |  | 2941980 | 2966388 |
| Incref LLC Series 2025-FL1 Class A, CME Term SOFR 1 month Index + 1.7284%, 5.3944% 10/19/2042 (f)(g)(o) |  | 201000 | 201565 |
| J P Morgan Mortgage Trust Series 2024-HE2 Class A1, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8615% 10/20/2054 (f)(g)(o) |  | 416285 | 416710 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (o) |  | 3796650 | 3904624 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (o) |  | 2079550 | 2156425 |
| Jersey Mike's Funding Series 2026-1A Class A2II, 5.481% 2/15/2056 (o) |  | 1368000 | 1397345 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  |  | 1225605 | 1227641 |
| Jonah Energy Abs I LLC Series 2022-1 Class A1, 7.2% 12/10/2037 (o) |  | 256741 | 261825 |
| JP Morgan Mortgage Trust Series 2026-CES1 Class A1B, 4.959% 6/25/2056 (o) |  | 493247 | 494868 |
| Kgs-Alpha Sba Coof Tr Ser 2012-2 Series 2012-2 Class A, 1.1564% 8/25/2038 (g)(o)(t) |  | 32063 | 457 |
| KGS-Alpha SBA COOF Trust Series 2012-4 Class A, 1.0187% 9/25/2037 (g)(o)(t) |  | 34892 | 583 |
| KGS-Alpha SBA COOF Trust Series 2013-2 Class A, 1.5932% 3/25/2039 (g)(o)(t) |  | 27548 | 638 |
| Kubota Credit Owner Trust Series 2026-1A Class A3, 3.87% 5/15/2030 (o) |  | 700000 | 702379 |
| Lending Funding Trust 2020-2 Series 2020-2A Class A, 2.32% 4/21/2031 (o) |  | 2328198 | 2304476 |
| Lending Funding Trust 2020-2 Series 2020-2A Class D, 6.77% 4/21/2031 (o) |  | 3455000 | 3492483 |
| Lendmark Fdg Trust Series 2024-2A Class B, 4.86% 2/21/2034 (o) |  | 100000 | 100631 |
| Lendmark Funding Trust 2021-2 Series 2021-2A Class D, 4.46% 4/20/2032 (o) |  | 3000000 | 2816118 |
| Lendmark Funding Trust Series 2021-1A Class A, 1.9% 11/20/2031 (o) |  | 4200000 | 4115813 |
| Lendmark Funding Trust Series 2021-1A Class D, 5.05% 11/20/2031 (o) |  | 3000000 | 2879060 |
| Lendmark Funding Trust Series 2024-1A Class B, 5.88% 6/21/2032 (o) |  | 520000 | 526612 |
| Lendmark Funding Trust Series 2024-1A Class D, 7.21% 6/21/2032 (o) |  | 100000 | 101761 |
| Lendmark Funding Trust Series 2025-1A Class A, 4.94% 9/20/2034 (o) |  | 509000 | 516563 |
| Lendmark Funding Trust Series 2025-1A Class B, 5.33% 9/20/2034 (o) |  | 558000 | 568311 |
| Lendmark Funding Trust Series 2025-1A Class E, 8.91% 9/20/2034 (o) |  | 4065000 | 4235973 |
| Lendmark Funding Trust Series 2025-3A Class A, 4.51% 5/21/2035 (o) |  | 696000 | 701148 |
| Lendmark Funding Trust Series 2025-3A Class B, 4.83% 5/21/2035 (o) |  | 115000 | 115936 |
| Lendmark Funding Trust Series 2025-3A Class D, 5.64% 5/21/2035 (o) |  | 2620000 | 2658731 |
| Lightpath Fiber Issuer LLC Series 2026-1A Class A2, 5.597% 3/25/2056 (o) |  | 3770000 | 3820218 |
| LMRE Trust Series 2025-SFR1 Class A, 4.5% 12/17/2042 (o) |  | 258000 | 254206 |
| Loancore Issuer LLC Series 2025-CRE8 Class A, CME Term SOFR 1 month Index + 1.385%, 5.0447% 8/17/2042 (f)(g)(o) |  | 143000 | 143268 |
| LoanCore Issuer LLC Series 2025-CRE9 Class A, CME Term SOFR 1 month Index + 1.45%, 5.1141% 8/18/2042 (f)(g)(o) |  | 300000 | 300376 |
| LoanCore Issuer LLC Series 2025-CRE9 Class AS, CME Term SOFR 1 month Index + 1.7%, 5.3641% 8/18/2042 (f)(g)(o) |  | 2100000 | 2103920 |
| Lyra Music Assets Delaware LP Series 2024-2A Class A2, 5.76% 12/22/2064 (o) |  | 351438 | 356483 |
| Lyra Music Assets Delaware LP Series 2025-1A Class A2, 5.604% 9/20/2065 (o) |  | 239876 | 243291 |
| M&T Bank RV Trust Series 2026-1A Class A, 4.35% 1/15/2046 (o) |  | 306000 | 308760 |
| Madison Park Funding Lxxiii Ltd Series 2025-73A Class B, CME Term SOFR 3 month Index + 1.7%, 5.663% 10/17/2038 (f)(g)(o) |  | 250000 | 251869 |
| Mariner Finance Issuance Trust Series 2021-AA Class E, 5.4% 3/20/2036 (o) |  | 4500000 | 4405466 |
| Mariner Finance Issuance Trust Series 2021-BA Class E, 4.68% 11/20/2036 (o) |  | 3000000 | 2851467 |
| Mariner Finance Issuance Trust Series 2024-AA Class A, 5.13% 9/22/2036 (o) |  | 279000 | 282855 |
| Mariner Finance Issuance Trust Series 2024-BA Class A, 4.91% 11/20/2038 (o) |  | 792000 | 809778 |
| Mariner Finance Issuance Trust Series 2024-BA Class D, 6.36% 11/20/2038 (o) |  | 100000 | 103784 |
| Mariner Finance Issuance Trust Series 2024-BA Class E, 8.8% 11/20/2038 (o) |  | 4000000 | 4247589 |
| Mariner Finance Issuance Trust Series 2025-AA Class A, 4.98% 5/20/2038 (o) |  | 9763000 | 9936347 |
| Mariner Finance Issuance Trust Series 2025-AA Class B, 5.33% 5/20/2038 (o) |  | 104000 | 105856 |
| Mariner Finance Issuance Trust Series 2025-AA Class C, 5.69% 5/20/2038 (o) |  | 107000 | 109164 |
| Mariner Finance Issuance Trust Series 2025-BA Class A, 4.59% 11/22/2038 (o) |  | 595000 | 600679 |
| Marlette Funding Trust 2023-2 Series 2023-2A Class C, 6.96% 6/15/2033 (o) |  | 60538 | 60720 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (o) |  | 444982 | 445638 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class C, 5.26% 7/16/2035 (o) |  | 4065000 | 4101897 |
| Mast USA LLC Series 2026-1A Class A, 5.134% 2/15/2051 (o) |  | 2000000 | 2015800 |
| MASTR Asset Backed Securities Trust Series 2005-WF1 Class M7, CME Term SOFR 1 month Index + 1.8395%, 5.5132% 6/25/2035 (f)(g) |  | 1816559 | 1824020 |
| MASTR Asset Backed Securities Trust Series 2007-NCW Class A1, CME Term SOFR 1 month Index + 0.4145%, 4.0882% 5/25/2037 (Assured Guaranty Inc Insured) (f)(g)(o) |  | 970744 | 885863 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  |  | 1500000 | 1511452 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  |  | 6175284 | 6187284 |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A3, 4.51% 11/15/2027  |  | 1092650 | 1094637 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (o) |  | 1417353 | 1421959 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (o) |  | 2053015 | 2064538 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (o) |  | 3130000 | 3156232 |
| Merchants Fleet Funding LLC Series 2025-1A Class B, 4.91% 1/20/2039 (o) |  | 200000 | 202488 |
| MetroNet Infrastructure Issuer LLC Series 2025-4A Class A2, 5.163% 12/20/2055 (o) |  | 4000000 | 4065288 |
| MF1 LLC Series 2024-FL14 Class A, CME Term SOFR 1 month Index + 1.737%, 5.3967% 3/19/2039 (f)(g)(o) |  | 100000 | 100249 |
| MF1 LLC Series 2025-FL19 Class A, CME Term SOFR 1 month Index + 1.4881%, 5.1522% 5/18/2042 (f)(g)(o) |  | 289000 | 290271 |
| MF1 LLC Series 2026-FL21 Class A, CME Term SOFR 1 month Index + 1.35%, 5.0141% 2/18/2041 (f)(g)(o) |  | 359000 | 359562 |
| MFA Trust Series 2024-NPL1 Class A1, 6.33% 9/25/2054 (o) |  | 474776 | 478183 |
| Mid-State Capital Corp Trust Series 2005-1 Class M1, 6.106% 1/15/2040  |  | 4846 | 4844 |
| Mid-State Capital Corp Trust Series 2006-1 Class A, 5.787% 10/15/2040 (o) |  | 12099 | 12179 |
| Mid-State Capital Corp Trust Series 2006-1 Class M1, 6.083% 10/15/2040 (o) |  | 14680 | 14785 |
| Mission Lane Credit Card Master Trust Series 2025-B Class A, 5.06% 9/15/2031 (o) |  | 2620000 | 2638628 |
| Morgan Stanley ABS Capital I Inc Series 2006-HE4 Class A4, CME Term SOFR 1 month Index + 0.5945%, 4.2682% 6/25/2036 (f) |  | 3115675 | 1569695 |
| Morgan Stanley ABS Capital I Inc Series 2007-NC3 Class A2D, CME Term SOFR 1 month Index + 0.3745%, 4.0482% 5/25/2037 (f)(g) |  | 1691310 | 1298859 |
| Morgan Stanley ABS Capital I Inc Trust Series 2006-HE8 Class A2FP, CME Term SOFR 1 month Index + 0.07%, 3.8582% 10/25/2036 (f)(g) |  | 119047 | 51179 |
| Morgan Stanley Mortgage Loan Trust Series 2006-12XS Class A4, 6.5119% 10/25/2036 (p) |  | 74268 | 16395 |
| Morgan Stanley Mortgage Loan Trust Series 2006-16AX Class 2A3, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 11/25/2036 (f) |  | 40045 | 10646 |
| Morgan Stanley Mortgage Loan Trust Series 2007-3XS Class 2A4S, 6.4631% 1/25/2047 (p) |  | 784215 | 277130 |
| Mosaic Solar Loans Trust Series 2023-4A Class A, 6.4% 5/20/2053 (o) |  | 168494 | 169590 |
| MVW 2022-2 LLC Series 2022-2A Class D, 9% 10/21/2041 (o) |  | 166028 | 169194 |
| Navient Private Education Loan Trust Series 2020-CA Class A2A, 2.15% 11/15/2068 (o) |  | 532677 | 515678 |
| Navient Private Education Refi Loan Trust Series 2019-FA Class A2, 2.6% 8/15/2068 (o) |  | 1297723 | 1261462 |
| Navient Private Education Refi Loan Trust Series 2024-A Class A, 5.66% 10/15/2072 (o) |  | 470290 | 484837 |
| Navient Refinance Loan Trust Series 2025-B Class A, 4.72% 9/15/2055 (o) |  | 540063 | 545772 |
| Navient Refinance Loan Trust Series 2025-C Class A, 4.8% 10/15/2055 (o) |  | 371701 | 376680 |
| Navient Student Loan Trust Series 2015-1 Class A2, U.S. 30-Day Avg. SOFR Index + 0.7145%, 4.3817% 4/25/2040 (f)(g) |  | 1506282 | 1468996 |
| Navient Student Loan Trust Series 2023-BA Class A1A, 6.48% 3/15/2072 (o) |  | 76616 | 79542 |
| Navient Student Loan Trust Series 2023-BA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.7%, 5.3582% 3/15/2072 (f)(g)(o) |  | 106580 | 107539 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (o) |  | 4942786 | 4996697 |
| Nelnet Student Loan Trust Series 2021-A Class A1, CME Term SOFR 1 month Index + 0.9145%, 4.5817% 4/20/2062 (f)(g)(o) |  | 669653 | 668499 |
| Nelnet Student Loan Trust Series 2021-A Class A2, CME Term SOFR 1 month Index + 1.1445%, 4.8117% 4/20/2062 (f)(g)(o) |  | 410000 | 410194 |
| Nelnet Student Loan Trust Series 2021-A Class B1, 2.85% 4/20/2062 (o) |  | 142000 | 130527 |
| Nelnet Student Loan Trust Series 2023-PL1A Class A1A, U.S. 30-Day Avg. SOFR Index + 2.25%, 5.9172% 11/25/2053 (f)(g)(o) |  | 75744 | 76747 |
| Nelnet Student Loan Trust Series 2025-AA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.8074% 3/15/2057 (f)(g)(o) |  | 855069 | 855066 |
| Nelnet Student Loan Trust Series 2025-BA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0574% 5/17/2055 (f)(g)(o) |  | 1488611 | 1500263 |
| Nelnet Student Loan Trust Series 2025-BA Class B, 4.98% 5/17/2055 (o) |  | 630000 | 634057 |
| Nelnet Student Loan Trust Series 2025-BA Class C, 5.38% 5/17/2055 (o) |  | 260000 | 263783 |
| Nelnet Student Loan Trust Series 2025-BA Class D, 6.04% 5/17/2055 (o) |  | 222000 | 224823 |
| Nelnet Student Loan Trust Series 2025-CA Class A1A, 4.67% 6/22/2065 (o) |  | 6769238 | 6817103 |
| Nelnet Student Loan Trust Series 2025-CA Class A1B, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0115% 6/22/2065 (f)(g)(o) |  | 6069445 | 6126722 |
| Nelnet Student Loan Trust Series 2025-CA Class D, 5.82% 6/22/2065 (o) |  | 370000 | 370288 |
| New Century Home Equity Loan Trust Series 2003-5 Class AI6, 4.845% 11/25/2033 (p) |  | 4476 | 4420 |
| New Residential Mortgage Loan Trust Series 2022-SFR1 Class F, 4.443% 2/17/2039 (o) |  | 2100000 | 2063869 |
| Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, CME Term SOFR 1 month Index + 0.3445%, 4.0182% 4/25/2037 (f) |  | 473751 | 472137 |
| Newrez LLC / Newres Gmsr Excess Owner LLC Series 2021-GNT1 Class A, 3.474% 11/25/2026 (o) |  | 1380118 | 1360872 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  |  | 1200000 | 1202111 |
| Nissan Auto Receivables Owner Trust Series 2023-B Class A3, 5.93% 3/15/2028  |  | 2162092 | 2177513 |
| Nissan Auto Receivables Owner Trust Series 2024-B Class A3, 4.34% 3/15/2029  |  | 1000000 | 1004377 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (o) |  | 700000 | 706497 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/17/2038 (f)(g)(o) |  | 4223000 | 4228127 |
| OCP CLO Ltd Series 2025-8RA Class B1R2, CME Term SOFR 3 month Index + 1.55%, 5.2176% 10/17/2038 (f)(g)(o) |  | 250000 | 251579 |
| Octane Receivables Trust Series 2023-2A Class C, 6.24% 6/20/2031 (o) |  | 2589000 | 2626897 |
| OHS Issuer LLC Series 2026-1 Class A2, 5.98% 2/25/2061 (o) |  | 717000 | 718566 |
| OnDeck Asset Securitization Trust IV LLC Series 2025-2A Class A, 4.84% 11/17/2032 (o) |  | 1500000 | 1513449 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class C, 5.2% 7/14/2038 (o) |  | 3500000 | 3569230 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class D, 5.79% 7/14/2038 (o) |  | 156000 | 161230 |
| OneMain Financial Issuance Trust Series 2020-2A Class B, 2.21% 9/14/2035 (o) |  | 1050000 | 1019421 |
| OneMain Financial Issuance Trust Series 2023-2A Class B, 6.17% 9/15/2036 (o) |  | 5714000 | 5902065 |
| OneMain Financial Issuance Trust Series 2023-2A Class C, 6.74% 9/15/2036 (o) |  | 1300000 | 1350157 |
| OneMain Financial Issuance Trust Series 2023-2A Class D, 7.52% 9/15/2036 (o) |  | 2400000 | 2506117 |
| OneMain Financial Issuance Trust Series 2024-1A Class A, 5.79% 5/14/2041 (o) |  | 777000 | 826983 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (o) |  | 13002 | 13006 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (o) |  | 1200000 | 1207031 |
| Oportun Issuance Trust Series 2021-B Class B, 1.96% 5/8/2031 (o) |  | 28631 | 28184 |
| Oportun Issuance Trust Series 2021-B Class C, 3.65% 5/8/2031 (o) |  | 458571 | 454819 |
| Oportun Issuance Trust Series 2021-C Class A, 2.18% 10/8/2031 (o) |  | 1405440 | 1383693 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (o) |  | 3900000 | 3912136 |
| Option One Mortgage Loan Trust 2007-FXD1 Series 2007-FXD1 Class 3A4, 5.86% 1/25/2037 (Ambac Assurance Corp Insured) (p) |  | 71560 | 70603 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (o) |  | 1460000 | 1464672 |
| Owl Rock Clo Xviii LLC Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.7%, 5.368% 7/24/2036 (f)(g)(o) |  | 250000 | 250564 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (o) |  | 1972092 | 2012624 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (o) |  | 1975000 | 1979774 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (o) |  | 920000 | 929609 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (o) |  | 1248150 | 1255567 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (o) |  | 2250000 | 2289712 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (o) |  | 762375 | 782425 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (o) |  | 5842100 | 5659338 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (o) |  | 4030950 | 3857389 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (o) |  | 2165000 | 2199608 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2II, 5.649% 12/6/2055 (o) |  | 518000 | 520413 |
| Pmt Credit Risk Transfer Trust 2024-3r Series 2024-3R Class A, U.S. 30-Day Avg. SOFR Index + 3.1%, 6.7682% 9/27/2028 (f)(g)(o) |  | 4079827 | 4124273 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (o) |  | 4731733 | 4773441 |
| PowerPay Issuance Trust Series 2025-1A Class A, 5.23% 11/18/2041 (o) |  | 3312767 | 3346104 |
| PRET 2025-NPL6 LLC Series 2025-NPL6 Class A1, 5.7437% 6/25/2055 (o) |  | 2748283 | 2756878 |
| Pret 2025-NPL7 LLC Series 2025-NPL7 Class A1, 5.6571% 7/25/2055 (g)(o) |  | 1837472 | 1843943 |
| Pret LLC Series 2025-NPL3 Class A1, 6.7076% 4/25/2055 (o) |  | 3270444 | 3280849 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (f)(g)(o) |  | 1366595 | 1362675 |
| Progress Residential 2025-Sfr3 Tr Series 2025-SFR3 Class C, 3.39% 7/17/2042 (o) |  | 694000 | 656281 |
| Progress Residential Trust Series 2021-SFR10 Class E1, 3.567% 12/17/2040 (o) |  | 5474882 | 5333319 |
| Progress Residential Trust Series 2021-SFR11 Class E1, 3.378% 1/17/2039 (o) |  | 4000000 | 3842544 |
| Progress Residential Trust Series 2021-SFR3 Class E2, 2.688% 5/17/2026 (o) |  | 281728 | 280186 |
| Progress Residential Trust Series 2021-SFR3 Class F, 3.436% 5/17/2026 (o) |  | 1500000 | 1493118 |
| Progress Residential Trust Series 2021-SFR8 Class E1, 2.382% 10/17/2038 (o) |  | 722000 | 711873 |
| Progress Residential Trust Series 2021-SFR8 Class F, 3.181% 10/17/2038 (o) |  | 4000000 | 3949089 |
| Progress Residential Trust Series 2022-SFR1 Class E1, 3.93% 2/17/2041 (o) |  | 479000 | 468133 |
| Progress Residential Trust Series 2022-SFR1 Class F, 4.88% 2/17/2041 (o) |  | 4000000 | 3977987 |
| Progress Residential Trust Series 2022-SFR2 Class E2, 4.8% 4/17/2027 (o) |  | 643616 | 634161 |
| Progress Residential Trust Series 2022-SFR3 Class D, 4.45% 4/17/2039 (o) |  | 4705000 | 4674083 |
| Progress Residential Trust Series 2022-SFR3 Class E2, 5.6% 4/17/2039 (o) |  | 588000 | 588188 |
| Progress Residential Trust Series 2022-SFR3 Class F, 6.6% 4/17/2039 (o) |  | 2169037 | 2176006 |
| Progress Residential Trust Series 2023-SFR1 Class E1, 6.15% 3/17/2040 (o) |  | 1822000 | 1825599 |
| Progress Residential Trust Series 2023-SFR2 Class D, 4.5% 10/17/2040 (o) |  | 2550000 | 2520880 |
| Progress Residential Trust Series 2023-SFR2 Class E1, 4.75% 10/17/2040 (o) |  | 3231000 | 3198132 |
| Progress Residential Trust Series 2024-SFR2 Class E1, 3.4% 4/17/2041 (g)(o) |  | 100000 | 95379 |
| Progress Residential Trust Series 2025-SFR2 Class E1, 3.725% 4/17/2042 (g)(o) |  | 3384580 | 3187535 |
| Progress Residential Trust Series 2026-SFR1 Class D, 4% 2/17/2043 (o) |  | 2470000 | 2350525 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (g)(o) |  | 1028308 | 1022026 |
| QTS Issuer ABS II LLC Series 2025-1A Class A2, 5.044% 10/5/2055 (o) |  | 662000 | 660178 |
| QTS Issuer ABS II LLC Series 2026-1A Class B, 6.729% 1/5/2056 (o) |  | 107000 | 109602 |
| QTS Issuer ABS II LLC Series 2026-2A Class A2, 5.848% 1/5/2056 (o) |  | 236000 | 241231 |
| Rckt Mortgage Trust 2024-Ces3 Series 2024-CES3 Class A1A, 6.591% 5/25/2044 (g)(o) |  | 570217 | 577955 |
| RCKT Mortgage Trust Series 2024-CES1 Class A1A, 6.025% 2/25/2044 (o) |  | 923638 | 930999 |
| RCKT Mortgage Trust Series 2024-CES2 Class B1, 8.005% 4/25/2044 (g)(o) |  | 914000 | 935783 |
| RCKT Mortgage Trust Series 2024-CES2 Class B2, 9.5861% 4/25/2044 (g)(o) |  | 100000 | 102250 |
| RCKT Mortgage Trust Series 2025-CES7 Class A1A, 5.377% 7/25/2055 (o) |  | 3565453 | 3600461 |
| RCKT Mortgage Trust Series 2025-CES9 Class A1A, 4.795% 9/25/2055 (o) |  | 5843076 | 5865507 |
| RCKT Mortgage Trust Series 2026-CES2 Class A1A, 4.762% 2/25/2056 (o) |  | 3300000 | 3302964 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (o) |  | 430303 | 431324 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (o) |  | 907617 | 908529 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (o) |  | 2244911 | 2255186 |
| Reach Abs Trust Series 2026-1A Class B, 4.37% 2/15/2033 (o) |  | 1100000 | 1102113 |
| Regional Management Issuance Trust Series 2021-2 Class A, 1.9% 8/15/2033 (o) |  | 520000 | 506276 |
| Regional Management Issuance Trust Series 2022-1 Class A, 3.07% 3/15/2032 (o) |  | 316 | 316 |
| Regional Management Issuance Trust Series 2024-1 Class D, 7.46% 7/15/2036 (o) |  | 100000 | 102672 |
| Regional Management Issuance Trust Series 2024-2 Class A, 5.11% 12/15/2033 (o) |  | 125000 | 125781 |
| Regional Management Issuance Trust Series 2025-2 Class A, 4.59% 11/16/2037 (o) |  | 833000 | 834985 |
| Renew 2017-1 Series 2017-1A Class A, 3.67% 9/20/2052 (o) |  | 21116 | 20078 |
| Renew 2017-1 Series 2017-1A Class B, 5.75% 9/20/2052 (o) |  | 2140 | 2138 |
| Republic Fin Issuance Tr 2024-A Series 2024-A Class B, 6.47% 8/20/2032 (o) |  | 280000 | 286593 |
| Republic Finance Issuance Trust Series 2024-B Class A, 5.42% 11/20/2037 (o) |  | 2996000 | 3060504 |
| Republic Finance Issuance Trust Series 2024-B Class B, 5.86% 11/20/2037 (o) |  | 210000 | 216050 |
| Republic Finance Issuance Trust Series 2025-A Class A, 4.59% 11/20/2034 (o) |  | 743000 | 750151 |
| Retained Vantage Data Ctrs Issuer LLC / Vantage Data Ctrs CDA Qc4 Ltd Partnership Series 2025-1A Class A2A, 5.091% 8/15/2050 (o) |  | 546000 | 545810 |
| Saluda Grade Alternative Mortgage Trust Series 2025-LOC4 Class A1A, 5.4172% 6/25/2055 (g)(o) |  | 5089954 | 5101611 |
| Santander Drive Auto Receivables Trust Series 2022-6 Class D, 5.69% 2/18/2031  |  | 3300000 | 3337590 |
| Santander Drive Auto Receivables Trust Series 2023-2 Class C, 5.47% 12/16/2030  |  | 740000 | 751196 |
| Santander Drive Auto Receivables Trust Series 2023-6 Class C, 6.4% 3/17/2031  |  | 500000 | 517438 |
| Santander Drive Auto Receivables Trust Series 2024-2 Class D, 6.28% 8/15/2031  |  | 1000000 | 1038363 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class D, 5.47% 5/15/2031  |  | 8100000 | 8311694 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class A3, 3.93% 7/15/2030  |  | 1045000 | 1047198 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class D, 4.75% 4/15/2032  |  | 3331000 | 3345794 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (o) |  | 2105000 | 2033977 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (o) |  | 2078393 | 2087662 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (o) |  | 1953436 | 1957155 |
| SCCU Auto Receivables Trust Series 2023-1A Class A4, 5.7% 8/15/2029 (o) |  | 500000 | 511242 |
| Scf Equipment Leasing Series 2023-1A Class B, 6.37% 5/20/2032 (o) |  | 2500000 | 2564137 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (o) |  | 2325634 | 2337951 |
| Securitized Asset Backed LLC Trust Series 2006-CB5 Class A3, CME Term SOFR 1 month Index + 0.3945%, 4.0682% 6/25/2036 (f)(g) |  | 1869399 | 1288027 |
| Service Experts Issuer LLC Series 2024-1A Class A, 6.39% 11/20/2035 (o) |  | 137444 | 141206 |
| Sesac Finance LLC Series 2024-1 Class A2, 6.421% 1/25/2054 (o) |  | 51940 | 53155 |
| Sesac Finance LLC Series 2025-1 Class A2, 5.5% 7/25/2055 (o) |  | 557000 | 558263 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (o) |  | 1451726 | 1468142 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (o) |  | 700000 | 700489 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (o) |  | 800000 | 802475 |
| Sierra Timeshare 2022-1 Receivables Funding LLC Series 2022-1A Class D, 6% 10/20/2038 (o) |  | 73610 | 73627 |
| Sierra Timeshare Receivables Funding LLC Series 2023-1A Class D, 9.8% 1/20/2040 (o) |  | 521599 | 551125 |
| Sierra Timeshare Receivables Funding LLC Series 2023-2A Class D, 9.72% 4/20/2040 (o) |  | 336756 | 355601 |
| Sierra Timeshare Receivables Funding LLC Series 2023-3A Class D, 9.44% 9/20/2040 (o) |  | 258828 | 273544 |
| Sierra Timeshare Receivables Funding LLC Series 2025-2A Class D, 6.79% 4/20/2044 (o) |  | 1132910 | 1155243 |
| Sierra Timeshare Receivables Funding LLC Series 2025-3A Class D, 6.54% 8/22/2044 (o) |  | 1805881 | 1826761 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (o) |  | 2263721 | 2339468 |
| Smb Private Ed Ln Tr 2023-B Series 2023-B Class A1B, U.S. 30-Day Avg. SOFR Index + 1.8%, 5.4582% 10/16/2056 (f)(g)(o) |  | 816188 | 832365 |
| SMB Private Education Loan Trust Series 2017-B Class B, 3.5% 12/16/2041 (o) |  | 500000 | 494779 |
| SMB Private Education Loan Trust Series 2018-B Class A2B, CME Term SOFR 1 month Index + 0.8345%, 4.4941% 1/15/2037 (f)(g)(o) |  | 159565 | 159443 |
| SMB Private Education Loan Trust Series 2018-C Class A2B, CME Term SOFR 1 month Index + 0.8645%, 4.5241% 11/15/2035 (f)(g)(o) |  | 263273 | 263106 |
| SMB Private Education Loan Trust Series 2021-A Class B, 2.31% 1/15/2053 (o) |  | 320054 | 313487 |
| SMB Private Education Loan Trust Series 2024-A Class A1A, 5.24% 3/15/2056 (o) |  | 9069733 | 9383362 |
| SMB Private Education Loan Trust Series 2024-A Class A1B, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1082% 3/15/2056 (f)(g)(o) |  | 10384505 | 10525214 |
| SMB Private Education Loan Trust Series 2024-A Class B, 5.88% 3/15/2056 (o) |  | 156000 | 162039 |
| SMB Private Education Loan Trust Series 2024-C Class A1B, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7582% 6/17/2052 (f)(g)(o) |  | 131976 | 131754 |
| SMB Private Education Loan Trust Series 2024-E Class A1A, 5.09% 10/16/2056 (o) |  | 1579009 | 1615740 |
| SMB Private Education Loan Trust Series 2025-C Class A1A, 4.96% 3/15/2055 (o) |  | 20907759 | 21214630 |
| SMB Private Education Loan Trust Series 2025-C Class A1B, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8582% 3/15/2055 (f)(g)(o) |  | 2354477 | 2354466 |
| SMB Private Education Loan Trust Series 2025-C Class B, 5.1% 3/15/2055 (o) |  | 1100000 | 1111123 |
| SMB Private Education Loan Trust Series 2025-C Class C, 4.78% 3/15/2055 (o) |  | 1100000 | 1093141 |
| SMB Private Education Loan Trust Series 2025-C Class D, 5.26% 3/15/2055 (l)(o) |  | 2100000 | 2043321 |
| SMB Private Education Loan Trust Series 2025-C Class R, 0% 3/15/2055 (o) |  | 1370 | 15110 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (o) |  | 1132668 | 1135857 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class A, 4.8% 2/27/2034 (o) |  | 984827 | 989817 |
| SoFi Consumer Loan Program Trust Series 2025-1 Class B, 5.12% 2/27/2034 (o) |  | 239000 | 243177 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class A, 4.06% 12/26/2035 (o) |  | 5600000 | 5603275 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class B, 4.44% 12/26/2035 (o) |  | 650000 | 654801 |
| SoFi Professional Loan Program Trust Series 2024-1A Class A, 6.06% 2/12/2031 (o) |  | 93048 | 93638 |
| SoFi Professional Loan Program Trust Series 2024-1A, 0% 2/12/2031 (o) |  | 10000 | 272714 |
| Sothebyu0027s Artfi Master Trust Series 2026-1A Class A1, 4.8% 6/20/2033 (o) |  | 3900000 | 3923678 |
| Soundview Home Loan Trust Series 2005-OPT3 Class M4, CME Term SOFR 1 month Index + 1.1345%, 4.8082% 11/25/2035 (f)(g) |  | 45000 | 38873 |
| Soundview Home Loan Trust Series 2007-NS1 Class M1, CME Term SOFR 1 month Index + 0.6395%, 4.3132% 1/25/2037 (f) |  | 31423 | 33247 |
| Soundview Home Loan Trust Series 2007-OPT1 Class 2A1, CME Term SOFR 1 month Index + 0.1945%, 3.8682% 6/25/2037 (f)(g) |  | 19024 | 12714 |
| Star Trust Series 2025-SFR5 Class D, CME Term SOFR 1 month Index + 2.45%, 6.11% 2/17/2042 (f)(g)(o) |  | 1083333 | 1084149 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (o) |  | 1465000 | 1387807 |
| Stream Innovations Issuer Trust Series 2024-2A Class A, 5.21% 2/15/2045 (o) |  | 3343780 | 3406438 |
| Stream Innovations Issuer Trust Series 2024-2A Class C, 9.05% 2/15/2045 (o) |  | 1018546 | 1078180 |
| Stream Innovations Issuer Trust Series 2025-1A Class A, 5.05% 9/15/2045 (o) |  | 3591640 | 3653374 |
| Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2 Series 2007-GEL2 Class M1, CME Term SOFR 1 month Index + 1.1645%, 4.8382% 5/25/2037 (f)(o) |  | 84527 | 71448 |
| STWD LLC Series 2025-FL4 Class AS, CME Term SOFR 1 month Index + 1.7%, 5.366% 11/19/2042 (f)(g)(o) |  | 1035000 | 1036293 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (o) |  | 4349938 | 4505493 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (o) |  | 8343388 | 8437307 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (o) |  | 5227825 | 5355468 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (o) |  | 5233750 | 5233645 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (o) |  | 5233750 | 5221438 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (o) |  | 2616875 | 2613669 |
| Summit Issuer LLC Series 2025-1A Class A2, 5.208% 11/20/2055 (o) |  | 488000 | 495860 |
| Sunrun Artemis Issuer LLC Series 2024-2A Class A1, 6.25% 7/30/2059 (o) |  | 4857618 | 4926682 |
| SVC ABS LLC Series 2026-1A Class B, 5.795% 3/20/2056 (o) |  | 2700000 | 2710291 |
| Switch Abs Issuer LLC Series 2024-2A Class A2, 5.436% 6/25/2054 (o) |  | 2665000 | 2673072 |
| Switch Abs Issuer LLC Series 2025-1A Class A2, 5.036% 3/25/2055 (o) |  | 3470000 | 3446649 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (o) |  | 5420415 | 5481851 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.6482% 9/25/2034 (f)(g) |  | 2963 | 3188 |
| Terwin Mortgage Trust Series 2005-10HE Class M5, CME Term SOFR 1 month Index + 1.1345%, 4.8082% 6/25/2036 (f) |  | 172992 | 163074 |
| Tesla Sustainable Energy Trust Series 2024-1A Class A2, 5.08% 6/21/2050 (o) |  | 2975738 | 2990031 |
| Towd Point Mortgage Trust 2025-CES1 Series 2025-CES1 Class A1, 5.705% 2/25/2055 (o) |  | 2999062 | 3034135 |
| Towd Point Mortgage Trust 2025-CES2 Series 2025-CES2 Class A1, 5.348% 7/25/2065 (o) |  | 3392145 | 3419632 |
| TOWD Point Mortgage Trust Series 2024-CES1 Class A1A, 5.848% 1/25/2064 (o) |  | 533890 | 536795 |
| TOWD Point Mortgage Trust Series 2024-CES2 Class A1A, 6.125% 2/25/2064 (o) |  | 405243 | 408174 |
| TOWD Point Mortgage Trust Series 2024-CES3 Class A1, 6.29% 5/25/2064 (o) |  | 1203794 | 1217624 |
| Towd Point Mortgage Trust Series 2024-CES5 Class A1, 5.167% 9/25/2064 (o) |  | 3331199 | 3341525 |
| Towd Point Mortgage Trust Series 2024-CES5 Class A2, 5.202% 9/25/2064 (o) |  | 3000000 | 3009046 |
| Towd Point Mortgage Trust Series 2024-CES6 Class A1, 5.725% 11/25/2064 (o) |  | 7960809 | 8034945 |
| Towd Point Mortgage Trust Series 2025-CRM1 Class A1, 5.799% 1/25/2065 (o) |  | 3068609 | 3104327 |
| Towd Point Mortgage Trust Series 2025-HE2 Class A1A, 5.0172% 9/25/2065 (g)(o) |  | 4199261 | 4213321 |
| Towd Point Mortgage Trust Series 2026-CES1 Class A1, 4.961% 1/25/2066 (o) |  | 2884583 | 2894136 |
| Towd Point Mortgage Trust Series 2026-CES2 Class A1A, 4.72% 2/25/2066 (o) |  | 3750000 | 3766118 |
| Toyota Auto Receivables 2022-D Owner Trust Series 2022-D Class A3, 5.3% 9/15/2027  |  | 1235128 | 1240363 |
| Tricon American Homes Series 2019-SFR1 Class F, 3.745% 3/17/2038 (o) |  | 204000 | 203484 |
| Tricon American Homes Series 2020-SFR1 Class E, 3.544% 7/17/2038 (o) |  | 800000 | 794284 |
| Truist Bank Series 2025-1 Class B, 4.728% 9/26/2033 (o) |  | 375442 | 377584 |
| Upg HI Issuer Trust Series 2025-2 Class A, 5% 9/25/2047 (o) |  | 223804 | 225478 |
| Upgrade Master Pass-Thru Trust Series 2025-ST4 Series 2025-ST4 Class A, 5.495% 8/16/2032 (o) |  | 213518 | 215158 |
| Upgrade Master Pass-Thru Trust Series 2025-ST5 Class B, 5.254% 9/15/2032 (o) |  | 145000 | 145865 |
| Upgrade Master Pass-Thru Trust Series 2025-ST7 Class A, 4.546% 11/15/2032 (o) |  | 438738 | 439214 |
| Upgrade Master Pass-Thru Trust Series 2025-ST7 Class B, 4.979% 11/15/2032 (o) |  | 194000 | 194858 |
| Upgrade Master Pass-Thru Trust Series Series 2025-ST8 Class C, 5.25% 12/15/2033 (o) |  | 216000 | 217336 |
| UPX HIL Issuer Trust Series 2025-1 Class A, 5.16% 1/25/2047 (o) |  | 647741 | 653100 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (o) |  | 2293333 | 2311190 |
| Vantage Data Centers Issuer LLC Series 2021-1A Class A2, 2.165% 10/15/2046 (o) |  | 3175000 | 3120459 |
| VB-S1 Issuer LLC Series 2026-1A Class C2, 4.693% 3/15/2056 (o) |  | 3728000 | 3749727 |
| VB-S1 Issuer LLC Series 2026-1A Class D, 5.193% 3/15/2056 (o) |  | 226000 | 227559 |
| VCAT Asset Securitization LLC Series 2026-NPL1 Class A1, 5.101% 1/25/2056 (g)(o) |  | 871054 | 868627 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (o)(p) |  | 1300000 | 1299999 |
| Verdant Receivables 2023-1 LLC Series 2023-1A Class A2, 6.24% 1/13/2031 (o) |  | 1075745 | 1093585 |
| Vericrest Opportunity Loan Transferee Series 2021-NP11 Class A1, 5.8678% 8/25/2051 (o)(p) |  | 521532 | 521649 |
| Versus Securitization Trust Series 2026-R1 Class A1, 4.832% 10/25/2067 (g)(o) |  | 238277 | 239506 |
| Vista Point Securitization Trust Series 2024-CES3 Class A1, 5.679% 1/25/2055 (o)(p) |  | 4433156 | 4463445 |
| Vista Point Securitization Trust Series 2025-CES3 Class A1, 5.297% 11/25/2055 (o) |  | 143058 | 144284 |
| Volt C LLC Series 2021-NPL9 Class A1, 5.9918% 5/25/2051 (g)(o) |  | 138407 | 138436 |
| VOLT XCV LLC Series 2021-NPL4 Class A1, 6.2396% 3/27/2051 (o)(p) |  | 11590 | 11594 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE1 Class 2A3, CME Term SOFR 1 month Index + 0.2645%, 4.0882% 1/25/2037 (f)(g) |  | 1520743 | 691404 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A2, CME Term SOFR 1 month Index + 0.4945%, 4.1682% 4/25/2037 (f) |  | 2274881 | 827848 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A3, CME Term SOFR 1 month Index + 0.25%, 4.2882% 4/25/2037 (f)(g) |  | 2578519 | 887394 |
| WaMu Asset-Backed Certificates WaMu Trust Series 2007-HE2 Class 2A4, CME Term SOFR 1 month Index + 0.36%, 4.5082% 4/25/2037 (f)(g) |  | 1179853 | 402126 |
| Washington Mutural Asset-Backed Certificates Wmabs Series 2007-He1 Trust Series 2007-HE1 Class 2A1, CME Term SOFR 1 month Index + 0.2345%, 3.9082% 11/25/2036 (f) |  | 16479 | 5202 |
| Washington Mutural Asset-Backed Certificates Wmabs Series 2007-He1 Trust Series 2007-HE1 Class 2A2, CME Term SOFR 1 month Index + 0.4545%, 3.8533% 11/25/2036 (f)(g) |  | 146495 | 46444 |
| Western Funding Auto Loan Trust Series 2025-1 Class C, 5.34% 11/15/2035 (o) |  | 1855000 | 1892357 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (o) |  | 3563597 | 3648873 |
| Westlake Automobile Receivable Tr Series 2023-4A Class D, 7.19% 7/16/2029 (o) |  | 2100000 | 2180094 |
| Westlake Automobile Receivables Trust Series 2023-3A Class C, 6.02% 9/15/2028 (o) |  | 1900000 | 1916643 |
| Westlake Automobile Receivables Trust Series 2023-3A Class D, 6.47% 3/15/2029 (o) |  | 2169000 | 2223316 |
| Westlake Automobile Receivables Trust Series 2026-1A Class A3, 4.01% 7/16/2029 (o) |  | 2000000 | 2003595 |
| Wheels Fleet Lease Funding LLC Series 2023-2A Class A, 6.46% 8/18/2038 (o) |  | 4187659 | 4233616 |
| Wheels Fleet Lease Funding LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (o) |  | 1887510 | 1908576 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (o) |  | 3282874 | 3316852 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (o) |  | 4410000 | 4428867 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (o) |  | 374262 | 383672 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (o) |  | 3583891 | 3623230 |
| Wingstop Funding LLC Series 2020-1A Class A2, 2.841% 12/5/2050 (o) |  | 3694735 | 3595373 |
| World Financial Network Credit Card Master Trust Series 2024-A Class A, 5.47% 2/15/2031  |  | 800000 | 814506 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  |  | 1171324 | 1174186 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  |  | 841435 | 846015 |
| World Omni Auto Receivables Trust Series 2022-D Class A3, 5.61% 2/15/2028  |  | 648028 | 650078 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  |  | 645000 | 648399 |
| TOTAL UNITED STATES |  |  | 1092406148 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $2,093,924,097) |  |  | <br> **2122988433** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/20/2030 (f)(g)(j) |  | 219611 | 219244 |
| Great Canadian Gaming Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4446% 11/1/2029 (f)(g)(j) |  | 229834 | 223946 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 443190 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Open Text Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 1/31/2030 (f)(g)(j) |  | 145326 | 141179 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Balcan Innovations Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.4169% 10/18/2031 (f)(g)(j) |  | 133937 | 90183 |
| TOTAL CANADA |  |  | 674552 |
| HONG KONG - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Fugue Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.5724% 1/9/2032 (f)(g)(j) |  | 151742 | 150414 |
| IRELAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Financing BV Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 6.6037% 11/30/2030 (f)(g)(j) |  | 281831 | 276899 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Avolon TLB Borrower 1 US LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4172% 6/22/2030 (f)(g)(j) |  | 784116 | 786430 |
| TOTAL IRELAND |  |  | 1063329 |
| NETHERLANDS - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Ziggo BV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.9213% 1/15/2033 (f)(g)(j) |  | 247972 | 241358 |
| Ziggo Financing Partnership Tranche I 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.7056% 4/30/2028 (f)(g)(j) |  | 5583 | 5499 |
| TOTAL COMMUNICATION SERVICES |  |  | 246857 |
| Consumer Discretionary - 0.0% |  |  |  |
| Specialty Retail - 0.0% |  |  |  |
| Peer Holding III BV Tranche B5B 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.1719% 7/1/2031 (f)(g)(j) |  | 447680 | 446897 |
| TOTAL NETHERLANDS |  |  | 693754 |
| SWEDEN - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Verisure Holding AB Tranche B 1LN, term loan 3 month EURIBOR + 2.25%, 4.281% 11/3/2032 (f)(g)(j) | EUR | 875000 | 1035585 |
| SWITZERLAND - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (f)(g)(j)(k) |  | 80000 | 71600 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (f)(g)(j) |  | 332462 | 297241 |
| TOTAL SWITZERLAND |  |  | 368841 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| City Football Group Ltd Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.1836% 7/18/2030 (f)(g)(j) |  | 360156 | 357793 |
| Entain Holdings Gibraltar Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 10/31/2029 (f)(g)(j) |  | 121257 | 120737 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 478530 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Sophos Intermediate II Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 3/5/2027 (f)(g)(j)(k) |  | 99271 | 92105 |
| TOTAL UNITED KINGDOM |  |  | 570635 |
| UNITED STATES - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Uniti Services LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 10/6/2032 (f)(g)(j) |  | 230000 | 230000 |
| Zayo Group Holdings Inc Tranche EXCH TL 1LN, term loan CME Term SOFR 1 month Index + 3%, 7.2875% 3/11/2030 (f)(g)(j) |  | 56511 | 54322 |
|  |  |  | 284322 |
| Entertainment - 0.0% |  |  |  |
| Showtime Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4016% 8/16/2031 (f)(g)(j) |  | 181651 | 179607 |
| Interactive Media & Services - 0.0% |  |  |  |
| Delivery Hero Finco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.6393% 12/12/2029 (f)(g)(j) |  | 537816 | 535934 |
| Main Street Sports Group LLC Tranche EXIT 1LN, term loan 0% 1/2/2028 (j)(k) |  | 251449 | 37717 |
|  |  |  | 573651 |
| Media - 0.0% |  |  |  |
| Advantage Sales & Marketing Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.1633% 10/28/2027 (f)(g)(j) |  | 212929 | 174335 |
| Charter Comm Operating LLC Tranche B5 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9108% 12/15/2031 (f)(g)(j) |  | 384675 | 384291 |
| EOC Borrower LLC Tranche A 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 6.2896% 3/24/2028 (f)(g)(j) |  | 103944 | 103749 |
|  |  |  | 662375 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Gogo Intermediate Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 4/30/2028 (f)(g)(j) |  | 180676 | 148605 |
| TOTAL COMMUNICATION SERVICES |  |  | 1848560 |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 1/28/2032 (f)(g)(j) |  | 718200 | 715808 |
| Tenneco Inc Tranche A 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.5172% 11/17/2028 (f)(g)(j) |  | 1852029 | 1820008 |
|  |  |  | 2535816 |
| Broadline Retail - 0.0% |  |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/23/2032 (f)(g)(j) |  | 256921 | 256279 |
| Red Ventures LLC Tranche B5 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 0% 3/4/2030 (f)(g)(j)(k) |  | 235918 | 191936 |
| StubHub Holdco Sub LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 8.423% 3/15/2030 (f)(g)(j) |  | 135174 | 130555 |
|  |  |  | 578770 |
| Diversified Consumer Services - 0.0% |  |  |  |
| KUEHG Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.4219% 6/12/2030 (f)(g)(j) |  | 114296 | 109344 |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (f)(g)(j) |  | 135000 | 134494 |
|  |  |  | 243838 |
| Hotels, Restaurants & Leisure - 0.1% |  |  |  |
| Dave & Buster's Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9375% 11/1/2031 (f)(g)(j) |  | 228471 | 203910 |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/29/2029 (f)(g)(j) |  | 372101 | 369667 |
| Hilton Worldwide Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.4237% 11/8/2030 (f)(g)(j) |  | 934016 | 937034 |
| KFC Holding Co Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 0% 3/15/2028 (f)(g)(j)(k) |  | 401228 | 401854 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (f)(g)(j) |  | 217608 | 202077 |
| Raising Cane's Restaurants LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.6708% 11/3/2032 (f)(g)(j) |  | 248826 | 248410 |
| Station Casinos LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 5.673% 3/14/2031 (f)(g)(j) |  | 92875 | 92843 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (f)(g)(j) |  | 126953 | 122002 |
| Voyager Parent LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 7/1/2032 (f)(g)(j)(k) |  | 380550 | 378826 |
|  |  |  | 2956623 |
| Specialty Retail - 0.0% |  |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (f)(g)(j) |  | 138942 | 114349 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 6/6/2031 (f)(g)(j) |  | 64669 | 55804 |
| Michaels Cos Inc/The 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.1836% 4/15/2028 (f)(g)(j) |  | 381954 | 381159 |
| Peer USA LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.9219% 9/29/2032 (f)(g)(j) |  | 367348 | 366316 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2031 (f)(g)(j) |  | 63259 | 62855 |
|  |  |  | 980483 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 7295530 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Celsius Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.9853% 4/1/2032 (f)(g)(j) |  | 139721 | 140384 |
| Naked Juice LLC Tranche EXCH FLSO FL20 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.0219% 1/24/2029 (f)(g)(j) |  | 384310 | 234548 |
| Naked Juice LLC Tranche EXCH FLTO FL30 PIK 1LN, term loan CME Term SOFR 1 month Index + 6%, 9.7719% 1/24/2030 (f)(g)(j) |  | 81092 | 17075 |
| Naked Juice LLC Tranche NEW $$ FLFO 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.1719% 1/24/2029 (f)(g)(j) |  | 1175629 | 1168647 |
| Primo Brands Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 3/31/2028 (f)(g)(j) |  | 46440 | 46390 |
|  |  |  | 1607044 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (f)(g)(j) |  | 603867 | 591790 |
| United Natural Foods Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 8.423% 5/1/2031 (f)(g)(j) |  | 173979 | 175357 |
|  |  |  | 767147 |
| Food Products - 0.0% |  |  |  |
| BCPE North Star US Holdco 2 Inc 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.7875% 6/9/2028 (f)(g)(j) |  | 230112 | 228913 |
| Personal Care Products - 0.0% |  |  |  |
| Opal LLC Tranche B 1LN, term loan CME Term SOFR 6 month Index + 3%, 6.6856% 4/23/2032 (f)(g)(j) |  | 172771 | 172512 |
| TOTAL CONSUMER STAPLES |  |  | 2775616 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (f)(g)(j)(m) |  | 343350 | 162961 |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| GC Ferry Acquisition I Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1719% 8/16/2032 (f)(g)(j) |  | 293619 | 286353 |
| GC Ferry Acquisition I Inc Tranche B-DD 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 3.5% 8/16/2032 (f)(g)(j) |  | 50130 | 48889 |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4132% 2/3/2032 (f)(g)(j) |  | 79600 | 78356 |
| Hudson River Trading LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 0% 3/18/2030 (f)(g)(j)(k) |  | 340335 | 335938 |
| Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2%, 5.6727% 12/15/2031 (f)(g)(j) |  | 261318 | 252731 |
| Pegasus Merger Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5%, 8.7719% 11/17/2028 (f)(g)(j) |  | 3016482 | 2969968 |
|  |  |  | 3972235 |
| Consumer Finance - 0.0% |  |  |  |
| Blackhawk Network Holdings Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 3/12/2029 (f)(g)(j)(k) |  | 223408 | 221230 |
| Financial Services - 0.0% |  |  |  |
| HDI Aerospace Intermediate Holding III Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/11/2032 (f)(g)(j)(k) |  | 233238 | 233821 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 7/31/2031 (f)(g)(j) |  | 173253 | 162155 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 7/31/2031 (f)(g)(j) |  | 109725 | 104732 |
| Priority Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 7/30/2032 (f)(g)(j) |  | 337097 | 328812 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/20/2032 (f)(g)(j)(k) |  | 40000 | 39900 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1556% 2/20/2032 (f)(g)(j) |  | 258700 | 258053 |
|  |  |  | 1127473 |
| Insurance - 0.0% |  |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 11/6/2030 (f)(g)(j) |  | 4950 | 4785 |
| Asurion LLC Tranche B14 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.427% 2/23/2033 (f)(g)(j) |  | 311640 | 305929 |
| Asurion LLC Tranche B4 2LN, term loan CME Term SOFR 1 month Index + 5.25%, 9.0375% 1/20/2029 (f)(g)(j) |  | 56923 | 56887 |
|  |  |  | 367601 |
| TOTAL FINANCIALS |  |  | 5688539 |
| Health Care - 0.0% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/15/2031 (f)(g)(j) |  | 437800 | 437581 |
| CPI Buyer LLC 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 5/27/2032 (f)(g)(j)(k) |  | 171597 | 170204 |
| Hopper Merger Sub Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 0% 1/14/2033 (f)(g)(j)(k) |  | 207447 | 204854 |
| QuidelOrtho Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 8/23/2032 (f)(g)(j) |  | 315025 | 314631 |
|  |  |  | 1127270 |
| Health Care Providers & Services - 0.0% |  |  |  |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.6719% 6/28/2029 (f)(g)(j)(l) |  | 62295 | 48590 |
| Heartland Dental LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 8/25/2032 (f)(g)(j) |  | 348545 | 347474 |
| ModivCare Inc Tranche EXIT 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6898% 12/29/2030 (f)(g)(j) |  | 511308 | 470404 |
| Pediatric Associates Holding Co LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 7.1785% 12/29/2028 (f)(g)(j) |  | 102725 | 98950 |
| Star Parent Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6719% 9/27/2030 (f)(g)(j) |  | 81264 | 78565 |
| TTF Lower Intermediate LLC 1LN, term loan CME Term SOFR 6 month Index + 3.75%, 7.3761% 7/18/2031 (f)(g)(j) |  | 409894 | 299223 |
|  |  |  | 1343206 |
| Pharmaceuticals - 0.0% |  |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (f)(g)(j) |  | 258800 | 251756 |
| Jazz Financing Lux Sarl Tranche B2 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 5/5/2028 (f)(g)(j) |  | 223094 | 223683 |
|  |  |  | 475439 |
| TOTAL HEALTH CARE |  |  | 2945915 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| TransDigm Group Inc Tranche M 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 8/19/2032 (f)(g)(j) |  | 348644 | 348443 |
| TransDigm Inc Tranche I 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 0% 8/24/2028 (f)(g)(j)(k) |  | 72970 | 72885 |
| TransDigm Inc Tranche J 1LN, term loan CME Term SOFR 3 month Index + 2.5%, 6.173% 2/28/2031 (f)(g)(j) |  | 179231 | 179186 |
| TransDigm Inc Tranche N 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1596% 2/13/2033 (f)(g)(j) |  | 15000 | 15011 |
|  |  |  | 615525 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| ABG Intermediate Holdings 2 LLC Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 2.25%, 5.923% 12/21/2028 (f)(g)(j) |  | 172959 | 172311 |
| Action Environmental Group Inc/The Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 0% 10/24/2030 (f)(g)(j)(k) |  | 143000 | 142821 |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (f)(g)(j) |  | 350936 | 271098 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (f)(g)(j)(l) |  | 60208 | 61386 |
| Ensemble RCM LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6599% 2/9/2033 (f)(g)(j) |  | 439580 | 422361 |
| Kelso Industries LLC 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 9.423% 12/30/2029 (f)(g)(j)(l) |  | 210539 | 210540 |
| Kelso Industries LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 5.75%, 0% 12/30/2029 (f)(g)(j)(k)(l) |  | 18064 | 18064 |
|  |  |  | 1298581 |
| Ground Transportation - 0.0% |  |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4219% 4/10/2031 (f)(g)(j) |  | 241938 | 241528 |
| Machinery - 0.0% |  |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 9/13/2032 (f)(g)(j) |  | 20000 | 20025 |
| Cleanova US Holdings LLC 1LN, term loan CME Term SOFR 1 month Index + 4.75%, 0% 6/14/2032 (f)(g)(j)(k) |  | 122249 | 121943 |
| Oregon Tool Lux LP 2LN, term loan CME Term SOFR 3 month Index + 4%, 7.9132% 10/15/2029 (f)(g)(j) |  | 310736 | 205475 |
|  |  |  | 347443 |
| Marine Transportation - 0.0% |  |  |  |
| Pelican Products Inc 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.1836% 12/29/2028 (f)(g)(j) |  | 393580 | 353565 |
| Passenger Airlines - 0.0% |  |  |  |
| SkyMiles IP Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.5%, 5.1676% 10/20/2028 (f)(g)(j) |  | 372640 | 374317 |
| Professional Services - 0.0% |  |  |  |
| Cast & Crew LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.4168% 12/29/2028 (f)(g)(j) |  | 84041 | 35927 |
| DTI Holdco Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 4/26/2029 (f)(g)(j) |  | 102827 | 88111 |
| Ingenovis Health Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.75%, 8.1844% 3/6/2028 (f)(g)(j) |  | 110795 | 30377 |
| Ingenovis Health Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 8.0227% 3/6/2028 (f)(g)(j) |  | 180686 | 42461 |
| Secretariat Advisors LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.6719% 2/28/2032 (f)(g)(j) |  | 128231 | 125560 |
| Secretariat Advisors LLC Tranche DD 1LN, term loan CME Term SOFR 3 month Index + 4%, 4% 2/28/2032 (f)(g)(j) |  | 15566 | 15242 |
|  |  |  | 337678 |
| TOTAL INDUSTRIALS |  |  | 3568637 |
| Information Technology - 0.0% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Lsf12 Crown US Commercial Bidco LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1995% 12/2/2031 (f)(g)(j) |  | 103086 | 102983 |
| TCP Sunbelt Acquisition Co Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.25%, 7.9227% 10/24/2031 (f)(g)(j) |  | 173250 | 172926 |
|  |  |  | 275909 |
| IT Services - 0.0% |  |  |  |
| Arches Buyer Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 7.023% 12/6/2027 (f)(g)(j) |  | 107013 | 106501 |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (f)(g)(j) |  | 152333 | 131483 |
| Peraton Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.5168% 2/1/2028 (f)(g)(j) |  | 228749 | 195223 |
| Plano HoldCo Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.1719% 10/2/2031 (f)(g)(j) |  | 74438 | 63272 |
| Sabre GLBL Inc Tranche B-1 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 0% 12/17/2027 (f)(g)(j)(k) |  | 23320 | 16208 |
| Sabre GLBL Inc Tranche B-2 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.5302% 12/17/2027 (f)(g)(j) |  | 15617 | 15226 |
| Sabre GLBL Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 6%, 9.773% 11/15/2029 (f)(g)(j) |  | 92432 | 63855 |
| Sabre GLBL Inc Tranche B1 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 0% 7/30/2029 (f)(g)(j)(k) |  | 38937 | 27061 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (j) |  | 523045 | 548412 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (f)(g)(j) |  | 674033 | 675435 |
|  |  |  | 1842676 |
| Software - 0.0% |  |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 12/11/2028 (f)(g)(j) |  | 223100 | 211945 |
| Barracuda Networks Inc 1LN, term loan CME Term SOFR 3 month Index + 4%, 8.1668% 8/15/2029 (f)(g)(j) |  | 110868 | 73173 |
| Cloud Software Group Inc Tranche B2 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 3/21/2031 (f)(g)(j) |  | 171910 | 159275 |
| Cloudera Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.523% 10/8/2028 (f)(g)(j) |  | 369736 | 324972 |
| Darktrace Finco US LLC 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.8981% 10/9/2031 (f)(g)(j) |  | 235105 | 222762 |
| EagleView Technology Corp 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 0% 8/14/2028 (f)(g)(j)(k) |  | 241273 | 218955 |
| Genesys Cloud Services Holdings II LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2032 (f)(g)(j) |  | 121594 | 111563 |
| McAfee Corp 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 3/1/2029 (f)(g)(j) |  | 191995 | 166556 |
| MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4.25%, 7.923% 5/3/2028 (f)(g)(j) |  | 488630 | 395384 |
| Planview Parent Inc 1LN, term loan CME Term SOFR 3 month Index + 3.5%, 7.1719% 12/17/2027 (f)(g)(j) |  | 626689 | 491255 |
| Project Alpha Intermediate Holding Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 10/26/2030 (f)(g)(j) |  | 674532 | 547214 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/31/2028 (f)(g)(j) |  | 532677 | 509122 |
| Quartz Acquireco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.25%, 5.9219% 6/28/2030 (f)(g)(j) |  | 283048 | 251205 |
| Renaissance Holdings Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.6668% 4/5/2030 (f)(g)(j) |  | 559907 | 418250 |
| SonarSource Financing LLC 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1676% 12/19/2030 (f)(g)(j) |  | 245725 | 228524 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (j) |  | 84750 | 95961 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (f)(g)(j) |  | 24875 | 25768 |
|  |  |  | 4451884 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Xerox Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.6973% 11/19/2029 (f)(g)(j) |  | 651054 | 416675 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 6987144 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/15/2032 (f)(g)(j) |  | 185000 | 184353 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (f)(g)(j) |  | 207624 | 184933 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (f)(g)(j) |  | 175049 | 171517 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (f)(g)(j) |  | 262741 | 259018 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (f)(g)(j) |  | 219521 | 170677 |
|  |  |  | 970498 |
| Containers & Packaging - 0.0% |  |  |  |
| BradyPlus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.1898% 12/29/2032 (f)(g)(j) |  | 1463948 | 1450231 |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 6.848% 4/13/2029 (f)(g)(j) |  | 100000 | 99102 |
|  |  |  | 1549333 |
| TOTAL MATERIALS |  |  | 2519831 |
| Real Estate - 0.0% |  |  |  |
| Health Care REITs - 0.0% |  |  |  |
| Healthpeak OP LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 0.85%, 6.2896% 2/22/2027 (f)(g)(j)(l) |  | 225641 | 222820 |
| Healthpeak OP LLC Tranche DD 1LN, term loan CME Term SOFR 1 month Index + 0.85%, 6.2896% 8/20/2027 (f)(g)(j)(l) |  | 225641 | 222821 |
| TOTAL REAL ESTATE |  |  | 445641 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.5203% 4/16/2031 (f)(g)(j) |  | 19899 | 19933 |
| Vistra Operations Co LLC Tranche B-3 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 12/20/2030 (f)(g)(j) |  | 278551 | 279055 |
| WEC US Holdings Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2%, 0% 1/27/2031 (f)(g)(j)(k) |  | 183053 | 182449 |
|  |  |  | 481437 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Alpha Generation LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 1.75%, 5.423% 9/30/2031 (f)(g)(j) |  | 425665 | 423937 |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (f)(g)(j) |  | 66702 | 66952 |
|  |  |  | 490889 |
| TOTAL UTILITIES |  |  | 972326 |
| TOTAL UNITED STATES |  |  | 35210700 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $41,387,670) |  |  | <br> **39767810** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA 4.65% 9/13/2028  | 750000 | 761853 |
| Capital One NA ICE IBA - USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (f)(g) | 3503000 | 3653515 |
| Regions Banks 6.45% 6/26/2037  | 2533000 | 2777085 |
| Truist Bank 4.136% 10/23/2029 (g) | 250000 | 250318 |
| TOTAL UNITED STATES |  | 7442771 |
| <br> **TOTAL BANK NOTES**<br> (Cost $6,887,139) |  | <br> **7442771** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.3%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Household Capital 2025-1 RMBS Series 1 Class A, 3 month Australia Bank Bill Rate + 1.9%, 5.6306% 7/21/2087 (f)(g)(q) | AUD | 262117 | 186248 |
| IRELAND - 0.0%  |  |  |  |
| Kinbane DAC Series 2025-RPL2A Class A, 1 month EURIBOR + 1.1%, 3.067% 8/24/2075 (f)(g)(o) | EUR | 2204369 | 2612963 |
| KINBN Series 2024-RPL2A Class A, 1 month EURIBOR + 1.1%, 3.042% 1/24/2063 (f)(o) | EUR | 1918657 | 2274033 |
| TOTAL IRELAND |  |  | 4886996 |
| ITALY - 0.0%  |  |  |  |
| Miltonia Mortgage Finance Srl Series 2024-1 Class B, 3 month EURIBOR + 1.3%, 3.338% 4/28/2062 (f)(q) | EUR | 100000 | 118389 |
| SPAIN - 0.0%  |  |  |  |
| Lugo Funding Dac Series 2024-1A Class A, 3 month EURIBOR + 0%, 3.041% 5/26/2066 (f)(g)(o) | EUR | 2682170 | 3169252 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Atlas Funding PLC Series 2025-2 Class E, SONIA Overnight Deposit Rates SWAP + 3.07%, 6.7982% 7/20/2067 (f)(q) | GBP | 100000 | 135900 |
| Atlas Funding PLC Series 2025-2 Class X1, SONIA Overnight Deposit Rates SWAP + 2.97%, 6.7031% 7/20/2067 (f)(g)(q) | GBP | 108000 | 145530 |
| Bletchley Park Funding PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 1.88%, 5.6084% 1/27/2070 (f)(g)(q) | GBP | 100000 | 135877 |
| Bletchley Park Funding PLC Series 2025-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.38%, 7.1084% 1/27/2070 (f)(g)(q) | GBP | 100000 | 136261 |
| Braccan Mortgage Funding Series 2024-1 Class X, SONIA Overnight Deposit Rates SWAP + 4.34%, 8.0698% 2/15/2067 (f)(g)(q) | GBP | 221153 | 299825 |
| Castell PLC Series 2025-1 Class X1, SONIA Overnight Deposit Rates SWAP + 4.15%, 7.8835% 1/27/2062 (f)(g)(q) | GBP | 46200 | 62294 |
| Cheshire PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.35%, 5.0868% 6/28/2048 (f)(q) | GBP | 100000 | 134904 |
| East One PLC Series 2025-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.9%, 5.6278% 2/25/2058 (f)(q) | GBP | 100000 | 135086 |
| Edenbrook Mortgage Funding PLC Series 2024-1 Class C, SONIA Overnight Deposit Rates SWAP + 1.95%, 5.7143% 3/22/2057 (f)(q) | GBP | 99231 | 135721 |
| Elstree PLC Series 2025-252-1ST Class E, SONIA Overnight Deposit Rates SWAP + 2.88%, 6.6082% 10/21/2065 (f)(q) | GBP | 100000 | 135775 |
| Meridian Funding PLC Series 2025-1 Class D, SONIA Overnight Deposit Rates SWAP + 2.05%, 5.7793% 2/20/2068 (f)(g)(q) | GBP | 100000 | 135426 |
| Meridian Funding PLC Series 2025-1 Class E, SONIA Overnight Deposit Rates SWAP + 3.25%, 6.9793% 2/20/2068 (f)(g)(q) | GBP | 100000 | 135089 |
| Towd Point Mortgage Trust Series 2024-GR6A Class A1, SONIA Overnight Deposit Rates SWAP + 0.925%, 4.6589% 7/20/2053 (f)(g)(o) | GBP | 312176 | 421360 |
| TOTAL UNITED KINGDOM |  |  | 2149048 |
| UNITED STATES - 2.3%  |  |  |  |
| A&D Mortgage Trust Series 2023-NQM5 Class A1, 7.049% 11/25/2068 (o) |  | 255959 | 258720 |
| A&D Mortgage Trust Series 2024-NQM5 Class A1, 5.699% 11/25/2069 (o) |  | 555302 | 560721 |
| A&D Mortgage Trust Series 2024-NQM5 Class M1, 6.516% 11/25/2069 (o) |  | 638000 | 652023 |
| A&D Mortgage Trust Series 2026-NQM1 Class A1, 4.912% 2/25/2071 (g)(o) |  | 917239 | 919605 |
| Abl 2025-Rtl1 Series 2025-RTL1 Class A1, 6.04% 6/25/2030 (o)(p) |  | 675000 | 681883 |
| ACRA Trust Series 2024-NQM1 Class A1, 5.608% 10/25/2064 (o) |  | 3315345 | 3344278 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (o) |  | 1206636 | 1089571 |
| Alternative Loan Trust Series 2004-22CB Class 1A1, 6% 10/25/2034  |  | 4639 | 4761 |
| Alternative Loan Trust Series 2004-J13 Class B, CME Term SOFR 1 month Index + 2.7395%, 6.4132% 2/25/2035 (f) |  | 849398 | 789466 |
| Alternative Loan Trust Series 2005-11CB Class 2A6, 5.5% 6/25/2025  |  | 18084 | 14572 |
| Alternative Loan Trust Series 2005-23CB Class A2, 5.5% 7/25/2035  |  | 3155 | 2551 |
| Alternative Loan Trust Series 2005-29CB Class A6, 5.5% 7/25/2035  |  | 76450 | 42183 |
| Alternative Loan Trust Series 2005-31 Class 1A1, CME Term SOFR 1 month Index + 0.6745%, 4.3482% 8/25/2035 (f) |  | 1030728 | 992426 |
| Alternative Loan Trust Series 2005-42CB Class A1, CME Term SOFR 1 month Index + 0.7945%, 4.4682% 10/25/2035 (f)(g) |  | 1086622 | 575404 |
| Alternative Loan Trust Series 2005-42CB Class A2, CME Term SOFR 1 month Index + 0.7645%, 4.4382% 10/25/2035 (f)(g) |  | 822784 | 434226 |
| Alternative Loan Trust Series 2005-54CB Class 1A11, 5.5% 11/25/2035  |  | 12794 | 9676 |
| Alternative Loan Trust Series 2005-55CW Class 2A3, CME Term SOFR 1 month Index + 0.4645%, 4.1371% 11/25/2035 (f)(g) |  | 134151 | 97048 |
| Alternative Loan Trust Series 2005-59 Class 1A1, CME Term SOFR 1 month Index + 0.66%, 4.4417% 11/20/2035 (f)(g) |  | 23359 | 22379 |
| Alternative Loan Trust Series 2005-86CB Class A11, 5.5% 2/25/2036  |  | 8155 | 4575 |
| Alternative Loan Trust Series 2006-28CB Class A14, 6.25% 10/25/2036  |  | 45400 | 20716 |
| Alternative Loan Trust Series 2006-J4 Class 2A1, 6% 7/25/2036  |  | 223444 | 122305 |
| Alternative Loan Trust Series 2006-OC1 Class 1A1, CME Term SOFR 1 month Index + 0.5745%, 4.2482% 3/25/2036 (f) |  | 38851 | 39019 |
| Alternative Loan Trust Series 2007-OA10 Class 2A1, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 9/25/2047 (f)(g) |  | 4465998 | 631476 |
| Alternative Loan Trust Series 2007-OH3 Class A1B, CME Term SOFR 1 month Index + 0.5545%, 4.2282% 9/25/2047 (f) |  | 1445893 | 1313124 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1, 4.694% 2/25/2071 (o) |  | 600000 | 600000 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class AFCF, 4.631% 2/25/2071 (g)(o) |  | 1200000 | 1200000 |
| Angel Oak Mortgage Trust Series 2021-2 Class A1, 0.985% 4/25/2066 (o) |  | 340442 | 299303 |
| Angel Oak Mortgage Trust Series 2021-6 Class A1, 1.458% 9/25/2066 (o) |  | 2655159 | 2295005 |
| Angel Oak Mortgage Trust Series 2023-1 Class A1, 4.75% 9/26/2067 (o) |  | 886447 | 883889 |
| Angel Oak Mortgage Trust Series 2023-7 Class A1, 4.8% 11/25/2067 (o) |  | 406764 | 406448 |
| Angel Oak Mortgage Trust Series 2024-1 Class A1, 5.21% 8/25/2068 (o) |  | 61342 | 61827 |
| Angel Oak Mortgage Trust Series 2024-10 Class A1, 5.348% 10/25/2069 (o) |  | 492495 | 495702 |
| Angel Oak Mortgage Trust Series 2024-11 Class A1, 5.7% 8/25/2069 (o) |  | 954919 | 966217 |
| Angel Oak Mortgage Trust Series 2024-4 Class A1, 6.197% 1/25/2069 (o) |  | 306971 | 310221 |
| Angel Oak Mortgage Trust Series 2025-1 Class A1, 5.691% 1/25/2070 (o) |  | 522676 | 528724 |
| Angel Oak Mortgage Trust Series 2025-2 Class A1, 5.637% 2/25/2070 (o) |  | 1264500 | 1278625 |
| Angel Oak Mortgage Trust Series 2025-8 Class A1, 5.41% 7/25/2070 (o)(p) |  | 593301 | 599702 |
| Angel Oak Mtg Tr 2024-8 Series 2024-8 Class A1, 5.338% 5/27/2069 (o) |  | 1771484 | 1781616 |
| Atlx Trust Series 2024-RPL2 Class A1, 3.85% 4/25/2063 (o) |  | 10445661 | 10258928 |
| ATXL Trust Series 2024-RPL1 Class A1, 3.85% 4/25/2064 (o) |  | 2622511 | 2578543 |
| Banc of America Alternative Loan Trust Series 2004-6 Class 4A1, 5% 5/25/2048  |  | 263 | 233 |
| Banc of America Alternative Loan Trust Series 2006-7 Class A4, 6.4983% 10/25/2036 (p) |  | 65511 | 17150 |
| Banc of America Funding Trust Series 2005-5 Class 3A5, 5.5% 8/25/2035  |  | 12923 | 12729 |
| Banc of America Funding Trust Series 2005-7 Class 30PO, 0% 11/25/2035 (l)(s) |  | 488 | 450 |
| Banc of America Funding Trust Series 2007-1 Class 1A6, 5.75% 1/25/2037  |  | 901 | 786 |
| Banc of America Funding Trust Series 2007-3 Class TA8, CME Term SOFR 1 month Index + 0.2945%, 3.9682% 4/25/2037 (f)(g) |  | 1132275 | 912851 |
| Banc of America Funding Trust Series 2015-R3 Class 1A2, 3.3128% 3/27/2036 (g)(o) |  | 282290 | 243318 |
| Bank of America Mortgage Trust Series 2003-8 Class 1CB1, 5.5% 10/25/2033  |  | 127880 | 129088 |
| Bank of America Mortgage Trust Series 2004-F Class 1A1, 5.8161% 7/25/2034 (g) |  | 1007 | 971 |
| Barclays Mortgage Loan Trust 2026-NQM2 Series 2026-NQM2 Class A1, 4.696% 12/25/2065 (g)(o) |  | 2300000 | 2299128 |
| Barclays Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.664% 1/25/2065 (o) |  | 2533342 | 2560449 |
| Barclays Mortgage Loan Trust Series 2025-NQM3 Class A1, 5.64% 5/25/2065 (g)(o) |  | 563316 | 571283 |
| Barclays Mortgage Loan Trust Series 2025-NQM3 Class B1, 7.6015% 5/25/2065 (g)(o) |  | 111000 | 116158 |
| BCAP LLC Trust Series 2010-RR4 Class 31A6, 6.0046% 1/26/2037 (g)(o) |  | 2428265 | 1857915 |
| Bear Stearns Alt-A Trust Series 2007-1 Class 21A1, 4.6292% 1/25/2047 (g) |  | 179148 | 85922 |
| Bear Stearns ARM Trust Series 2003-7 Class 3A, 6.8325% 10/25/2033 (g) |  | 234 | 234 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-AC2 Class 1A1, CME Term SOFR 1 month Index + 0.4645%, 4.1382% 3/25/2036 (f)(g) |  | 122681 | 30347 |
| Bear Stearns Asset Backed Securities I Trust Series 2006-IM1 Class A3, CME Term SOFR 1 month Index + 0.6745%, 4.3482% 4/25/2036 (f) |  | 573592 | 562927 |
| Bear Stearns Trust Series 2004-8 Class M2, CME Term SOFR 1 month Index + 1.8395%, 5.5132% 9/25/2034 (f) |  | 952806 | 935069 |
| Binom Securitization Trust Series 2022-INV1 Class A1, 4.441% 8/25/2057 (o) |  | 687232 | 678681 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (g)(o) |  | 3208265 | 3054878 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (g)(o) |  | 1420261 | 1435723 |
| BRAVO Residential Funding Trust 2025-NQM4 Series 2025-NQM4 Class A2, 5.816% 2/25/2065 (g)(o) |  | 6225520 | 6297733 |
| Bravo Residential Funding Trust 2025-Nqm6 Series 2025-NQM6 Class A1, 5.333% 6/25/2065 (o) |  | 3032726 | 3060072 |
| Bravo Residential Funding Trust Series 2021-NQM1 Class B1, 3.172% 2/25/2049 (o) |  | 491388 | 437584 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (o) |  | 5686856 | 5314278 |
| Bravo Residential Funding Trust Series 2023-NQM6 Class A2, 6.956% 9/25/2063 (o) |  | 602263 | 605268 |
| Bravo Residential Funding Trust Series 2023-NQM6 Class B1, 7.9647% 9/25/2063 (g)(o) |  | 231000 | 232833 |
| BRAVO Residential Funding Trust Series 2024-NQM1 Class B1, 8.042% 12/1/2063 (o) |  | 100000 | 102168 |
| Bravo Residential Funding Trust Series 2024-NQM3 Class B1, 8.1% 3/25/2064 (o) |  | 150000 | 153964 |
| Bravo Residential Funding Trust Series 2025-NQM2 Class A1, 5.678% 11/25/2064 (g)(o) |  | 4162405 | 4210233 |
| Bravo Residential Funding Trust Series 2025-NQM2 Class A1, 5.79% 6/25/2070 (g)(o) |  | 445927 | 452645 |
| CAFL Issuer LLC Series 2024-RTL1 Class A1, 6.749% 11/28/2031 (o)(p) |  | 1307000 | 1317011 |
| Cascade MH Asset Trust Series 2022-MH1 Class M, 4.25% 8/25/2054 (o)(p) |  | 396968 | 322179 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (g)(o) |  | 1306365 | 1294402 |
| CFMT LLC Series 2024-HB14 Class M3, 3% 6/25/2034 (g)(o) |  | 104000 | 100487 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (g)(o) |  | 638405 | 636845 |
| CFMT LLC Series 2024-HB15 Class M2, 4% 8/25/2034 (o) |  | 121000 | 118722 |
| CFMT LLC Series 2024-R1 Class A1, 4% 10/25/2054 (o) |  | 264452 | 261194 |
| CFMT LLC Series 2024-R1 Class A2, 4% 10/25/2054 (o) |  | 150000 | 145162 |
| Chase Home Lending Mortgage Trust Series 2024-7 Class A11, U.S. 30-Day Avg. SOFR Index + 1.3%, 4.9672% 6/25/2055 (f)(g)(o) |  | 3175901 | 3197531 |
| Chase Home Lending Mortgage Trust Series 2024-RPL2 Class A1A, 3.25% 8/25/2064 (g)(o) |  | 3393153 | 3061808 |
| Chase Home Lending Mortgage Trust Series 2024-RPL3 Class A1A, 3.25% 9/25/2064 (o) |  | 1842534 | 1677179 |
| Chase Home Lending Mortgage Trust Series 2024-RPL4 Class A1A, 3.375% 12/25/2064 (o) |  | 10043177 | 9192013 |
| Chase Mortgage Finance Trust Series Series 2007-A1 Class 3A1, 5.5825% 2/25/2037 (g) |  | 293531 | 284669 |
| Chase Mortgage Finance Trust Series Series 2007-A2 Class 2A1, 6.1567% 6/25/2035 (g) |  | 5201 | 5111 |
| Chase Mortgage Finance Trust Series Series 2007-S5 Class 1A10, 6% 7/25/2037  |  | 2466875 | 1033375 |
| CHL Mortgage Pass-Through Trust Series 2006-17 Class A6, 6% 12/25/2036  |  | 14022 | 5912 |
| CHL Mortgage Pass-Through Trust Series 2007-16 Class A1, 6.5% 10/25/2037  |  | 214906 | 82743 |
| CHL Mortgage Pass-Through Trust Series 2007-3 Class A17, 6% 4/25/2037  |  | 965469 | 427445 |
| CHL Mortgage Pass-Through Trust Series 2007-4 Class 1A47, 6% 5/25/2037  |  | 733955 | 301751 |
| CHL Mortgage Pass-Through Trust Series 2007-8 Class 1A12, 5.875% 1/25/2038  |  | 844310 | 349831 |
| CHL Mortgage Pass-Through Trust Series 2007-8 Class 1A24, 6% 1/25/2038  |  | 261187 | 110523 |
| CHL Mortgage Pass-Through Trust Series 2007-9 Class A1, 5.75% 7/25/2037  |  | 51808 | 22729 |
| CHL Mortgage Pass-Through Trust Series 2007-9 Class A11, 5.75% 7/25/2037  |  | 28339 | 12433 |
| CHL Mortgage Pass-Through Trust Series 2007-J1 Class 2A1, 6% 2/25/2037  |  | 279080 | 96579 |
| CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/2051 (o) |  | 4077424 | 3719388 |
| CIM Trust Series 2021-R1 Class A2, 2.4% 8/25/2056 (o) |  | 3203055 | 3016649 |
| Cim Trust Series 2021-R3 Class A1A, 1.951% 6/25/2057 (o) |  | 835730 | 783133 |
| CIM Trust Series 2021-R4 Class A1A, 2% 5/1/2061 (o) |  | 4517822 | 4232782 |
| CIM Trust Series 2021-R5 Class A1A, 2% 8/25/2061 (g)(o) |  | 4812625 | 4323850 |
| CIM Trust Series 2024-R1 Class A1, 4.75% 6/25/2064 (o) |  | 6575556 | 6619721 |
| CIM Trust Series 2025-I1 Class A1, 5.655% 10/25/2069 (o) |  | 3969999 | 4016940 |
| CIM Trust Series 2025-I1 Class M1, 6.441% 10/25/2069 (g)(o) |  | 690000 | 701570 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (o) |  | 4820035 | 4807178 |
| Citigroup Mortgage Loan Trust Series 2004-HYB4 Class AA, CME Term SOFR 1 month Index + 0.4445%, 4.1182% 12/25/2034 (f)(g) |  | 416 | 393 |
| Citigroup Mortgage Loan Trust Series 2004-UST1 Class A3, 6.4093% 8/25/2034 (g) |  | 670 | 633 |
| Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/2035  |  | 745048 | 723123 |
| Citigroup Mortgage Loan Trust Series 2007-6 Class 2A1, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 5/25/2037 (f)(g) |  | 64936 | 62933 |
| Citigroup Mortgage Loan Trust Series 2009-12 Class 5A2, 15.1071% 7/25/2037 (g)(o) |  | 353306 | 152923 |
| Citigroup Mortgage Loan Trust Series 2024-1 Class A11, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 7/25/2054 (f)(g)(o) |  | 3726069 | 3750097 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class A1, 4.1% 2/25/2063 (o) |  | 6574196 | 6376498 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class A2, 4.2318% 2/25/2063 (g)(o) |  | 593449 | 536661 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B1, 4.2326% 2/25/2063 (g)(o) |  | 179547 | 159906 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B2, 0% 2/25/2063 (g)(o) |  | 64822 | 54047 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B3, 0% 2/25/2063 (g)(o)(s) |  | 164547 | 29249 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class B4, 0% 2/25/2063 (g)(o)(s) |  | 298036 | 34482 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class M1, 4.2318% 2/25/2063 (g)(o) |  | 398943 | 355167 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class M2, 3.7418% 2/25/2063 (g)(o) |  | 304204 | 268421 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class SA, 0% 2/25/2063 (g)(l)(o) |  | 8300 | 8056 |
| Citigroup Mortgage Loan Trust Series 2024-RP2 Class X, 0% 2/25/2063 (g)(l)(o)(t) |  | 8578114 | 5146 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class A1, 4.0171% 1/25/2064 (g)(o) |  | 8488200 | 8099161 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class A2, 4.0171% 1/25/2064 (g)(o) |  | 404415 | 316927 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B1, 4.0171% 1/25/2064 (g)(o) |  | 161766 | 105564 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B2, 4.0171% 1/25/2064 (g)(o) |  | 102463 | 58513 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B3, 3.0516% 1/25/2064 (g)(l)(o) |  | 129413 | 61457 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class B4, 0% 1/25/2064 (g)(l)(o) |  | 120322 | 44179 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class M1, 4.0171% 1/25/2064 (g)(o) |  | 345112 | 266875 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class M2, 4.0171% 1/25/2064 (g)(o) |  | 215665 | 156618 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class SA, 0% 1/25/2064 (g)(o) |  | 11143 | 9887 |
| Citigroup Mortgage Loan Trust Series 2025-RP1 Class X, 0% 1/25/2064 (g)(l)(o) |  | 9967549 | 997 |
| CitiMortgage Alternative Loan Trust Series 2007-A6 Class 1A21, 5.5% 6/25/2037  |  | 125944 | 107084 |
| Colt Mortgage Loan Trust Series 2022-1 Class B2, 4.094% 12/27/2066 (g)(o) |  | 152000 | 135444 |
| COLT 2023-2 Mortgage Loan Trust Series 2023-2 Class B1, 7.924% 7/25/2068 (g)(o) |  | 1738000 | 1747639 |
| Colt 2023-3 Mortgage Loan Trust Series 2023-3 Class B1, 7.8123% 9/25/2068 (g)(o) |  | 1283000 | 1295210 |
| COLT Mortgage Loan Trust Series 2021-5 Class A1, 1.726% 11/26/2066 (o) |  | 312065 | 289955 |
| COLT Mortgage Loan Trust Series 2024-3 Class A1, 6.393% 6/25/2069 (o) |  | 1392112 | 1410794 |
| COLT Mortgage Loan Trust Series 2024-6 Class A1, 5.39% 11/25/2069 (o) |  | 699784 | 704557 |
| COLT Mortgage Loan Trust Series 2024-INV2 Class A1, 6.421% 5/25/2069 (o)(p) |  | 708508 | 717929 |
| COLT Mortgage Loan Trust Series 2025-11 Class A1, 5.053% 11/25/2070 (g)(o) |  | 501302 | 504391 |
| COLT Mortgage Loan Trust Series 2025-12 Class B1, 6.861% 1/26/2071 (o) |  | 100000 | 100372 |
| COLT Mortgage Loan Trust Series 2025-7 Class A1, 5.47% 6/25/2070 (o)(p) |  | 609981 | 617179 |
| COLT Mortgage Loan Trust Series 2025-8 Class A1, 5.48% 8/25/2070 (o) |  | 340384 | 344450 |
| Connecticut Avenue Securities Trust Series 2019-R07 Class 1B1, U.S. 30-Day Avg. SOFR Index + 3.5145%, 7.1817% 10/25/2039 (f)(g)(o) |  | 2693129 | 2731894 |
| Connecticut Avenue Securities Trust Series 2022-R03 Class 1B1, U.S. 30-Day Avg. SOFR Index + 6.25%, 9.9172% 3/25/2042 (f)(g)(o) |  | 130000 | 137076 |
| Connecticut Avenue Securities Trust Series 2022-R08 Class 1B1, U.S. 30-Day Avg. SOFR Index + 5.6%, 9.2672% 7/25/2042 (f)(g)(o) |  | 1500000 | 1590552 |
| Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1, U.S. 30-Day Avg. SOFR Index + 2.4%, 6.0672% 12/25/2042 (f)(g)(o) |  | 556545 | 570869 |
| Connecticut Avenue Securities Trust Series 2023-R06 Class 1M2, U.S. 30-Day Avg. SOFR Index + 2.7%, 6.3672% 7/25/2043 (f)(g)(o) |  | 2500000 | 2565551 |
| Connecticut Avenue Securities Trust Series 2024-R05 Class 2M2, U.S. 30-Day Avg. SOFR Index + 1.7%, 5.3672% 7/25/2044 (f)(g)(o) |  | 250000 | 250871 |
| Countrywide Home Loans Inc Series 2003-J3 Class 2A1, 6.25% 12/25/2033  |  | 273 | 279 |
| Countrywide Home Loans Inc Series 2004-3 Class A25, 5.75% 4/25/2034  |  | 1466 | 1431 |
| Countrywide Home Loans Inc Series 2004-5 Class 2A9, 5.25% 5/25/2034  |  | 1608 | 1575 |
| Countrywide Home Loans Inc Series 2005-22 Class 2A1, 4.7895% 11/25/2035 (g) |  | 3623 | 3050 |
| Countrywide Home Loans Inc Series 2005-R1 Class 1AF2, CME Term SOFR 1 month Index + 0.4745%, 4.1482% 3/25/2035 (f)(g)(o) |  | 799084 | 778082 |
| Countrywide Home Loans Inc Series 2005-R2 Class 1AF1, CME Term SOFR 1 month Index + 0.34%, 4.1282% 6/25/2035 (f)(g)(o) |  | 28456 | 27292 |
| Countrywide Home Loans Inc Series 2006-OA2 Class A5, CME Term SOFR 1 month Index + 0.5745%, 4.2417% 5/20/2046 (f)(g) |  | 521481 | 472518 |
| Countrywide Home Loans Inc Series 2007-11 Class A1, 6% 8/25/2037  |  | 1419942 | 571597 |
| Credit Suisse Mortgage Trust Series 2021-RP11 Class PT, 3.7204% 10/25/2061 (g)(o) |  | 6619183 | 5635622 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (g)(o) |  | 1100000 | 1100366 |
| Cross Mortgage Trust Series 2023-H2 Class A1A, 7.135% 11/25/2068 (o)(p) |  | 59419 | 59996 |
| Cross Mortgage Trust Series 2024-H2 Class A1, 6.093% 4/25/2069 (o) |  | 561139 | 566140 |
| Cross Mortgage Trust Series 2024-H3 Class A1, 6.272% 6/25/2069 (o) |  | 711006 | 719180 |
| Cross Mortgage Trust Series 2024-H4 Class A1, 6.147% 7/25/2069 (g)(o) |  | 1535286 | 1553968 |
| Cross Mortgage Trust Series 2024-H7 Class A1, 5.585% 11/25/2069 (g)(o) |  | 1218208 | 1229414 |
| Cross Mortgage Trust Series 2025-H1 Class A1, 5.735% 2/25/2070 (g)(o) |  | 1265418 | 1280911 |
| Cross Mortgage Trust Series 2025-H1 Class M1, 6.48% 2/25/2070 (o) |  | 162000 | 164696 |
| Cross Mortgage Trust Series 2025-H10 Class A1, 4.968% 1/25/2071 (g)(o) |  | 4431078 | 4446299 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (g)(o) |  | 2591453 | 2624712 |
| Cross Mortgage Trust Series 2025-H8 Class A1A, 5.003% 11/25/2070 (o) |  | 383009 | 384616 |
| CSMC 2021-RPL4 Trust Series 2021-RPL4 Class A1, 4.1534% 12/27/2060 (g)(o) |  | 3345729 | 3343052 |
| CSMC Mortgage-Backed Trust Series 2006-4 Class 4A1, 7% 5/25/2036  |  | 345738 | 84822 |
| CSMC Mortgage-Backed Trust Series 2006-6 Class 1A8, 6% 7/25/2036  |  | 1911296 | 835356 |
| CSMC Series 2014-10R Class 5A2, 10.0997% 5/27/2036 (g)(l)(o) |  | 196043 | 64432 |
| CSMC Trust Series 2005-10 Class 10A4, 6% 11/25/2035  |  | 5851 | 1332 |
| CSMC Trust Series 2005-10 Class 6A13, 5.5% 11/25/2035  |  | 5007 | 1712 |
| CSMC Trust Series 2005-12 Class 2A1, 6.5% 1/25/2036  |  | 1740294 | 867673 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3031% 5/27/2037 (f)(g)(o) |  | 33695 | 33572 |
| CSMC Trust Series 2015-6R Class 5A2, CME Term SOFR 1 month Index + 0.2945%, 3.4437% 3/27/2036 (f)(g)(o) |  | 55005 | 47737 |
| CSMC Trust Series 2021-NQM8 Class A1, 2.841% 10/25/2066 (g)(o) |  | 7265562 | 6765465 |
| CSMC Trust Series 2021-RP11 Class CERT, 3.7778% 10/27/2061 (o) |  | 279987 | 223381 |
| CSMC Trust Series 2021-RPL2 Class A1, 2% 1/25/2060 (o) |  | 5390100 | 4848977 |
| CSMC Trust Series 2022-NQM3 Class A1B, 4.265% 3/25/2067 (o) |  | 146000 | 148326 |
| CSMC Trust Series 2022-NQM6 Class PT, 9.515% 12/25/2067 (g)(o) |  | 465836 | 467434 |
| CSMC Trust Series 2022-RPL1 Class A1, 4.15% 4/25/2061 (g)(o) |  | 5580327 | 5385535 |
| CSMC Trust Series 2022-RPL1 Class PT, 4.5544% 4/25/2061 (g)(o) |  | 7167017 | 6557360 |
| CSMCM Trust Series 2022-RPL1 Class CERT, 4.231% 4/25/2061 (o) |  | 301253 | 254789 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OA17 Class 1A1D, CME Term SOFR 1 month Index + 0.4045%, 4.0717% 12/20/2046 (f) |  | 819420 | 755762 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OC10 Class 2A3, CME Term SOFR 1 month Index + 0.46%, 4.2482% 11/25/2036 (f)(g) |  | 2195602 | 1992833 |
| CWALT, Inc. Alternative Loan Trust Series 2006-OC7 Class 2A3, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 7/25/2046 (f) |  | 556725 | 518227 |
| Deephaven Residential Mortgage Trust Series 2022-2 Class M1, 4.303% 3/25/2067 (g)(o) |  | 100000 | 90684 |
| Deephaven Residential Mortgage Trust Series 2022-3 Class M1, 5.2801% 7/25/2067 (g)(o) |  | 200000 | 199215 |
| Deephaven Residential Mortgage Trust Series 2024-1 Class A1, 5.735% 7/25/2069 (o) |  | 537382 | 542879 |
| Deephaven Residential Mortgage Trust Series 2025-INV1 Class A1, 5.087% 11/25/2060 (g)(o) |  | 448550 | 451985 |
| Deephaven Residential Mortgage Trust Series 2025-INV1 Class B1, 6.68% 11/25/2060 (o) |  | 100000 | 102380 |
| Deephaven Residential Mortgage Trust Series 2026-INV1 Class A1, 4.797% 12/25/2070 (g)(o) |  | 1103461 | 1106654 |
| Deephaven Residential Mortgage Trust Series 2026-INV1 Class B1, 6.57% 12/25/2070 (o) |  | 100000 | 100839 |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1 Class CWA1, 6% 6/25/2035 (g)(o) |  | 60886 | 30318 |
| Easy Street Mortgage Loan Trust Series 2025-RTL2 Class A1, 5.606% 10/25/2040 (g)(o) |  | 173000 | 173724 |
| Efmt 2025-Nqm2 Series 2025-NQM2 Class A1, 5.596% 6/25/2070 (o) |  | 5026501 | 5090945 |
| EFMT 2026-INV2 Series 2026-INV2 Class A1, 4.682% 2/25/2071 (g)(o) |  | 1875000 | 1876689 |
| EFMT Series 2024-NQM1 Class A1A, 5.708% 11/25/2069 (o) |  | 994334 | 1002424 |
| EFMT Series 2025-INV1 Class A1, 5.626% 3/25/2070 (g)(o) |  | 348324 | 352466 |
| EFMT Series 2025-INV2 Class A1, 5.387% 5/26/2070 (o) |  | 1110881 | 1121631 |
| EFMT Series 2025-INV3 Class A1, 5.444% 7/25/2070 (o) |  | 4222477 | 4274460 |
| EFMT Series 2025-NQM5 Class A1, 0% 11/25/2070 (g)(o) |  | 365794 | 367892 |
| EFMT Series 2025-NQM6 Class A1A, 5.001% 12/25/2070 (o) |  | 380687 | 383044 |
| EFMT Series 2026-NQM1 Class A1, 4.771% 2/25/2071 (g)(o) |  | 1898754 | 1902116 |
| EFMT Series 2026-NQM1 Class A1LC, 4.959% 2/25/2071 (o) |  | 266101 | 268137 |
| EFMT Series 2026-NQM1 Class B1, 6.535% 2/25/2071 (o) |  | 100000 | 100717 |
| Ellington Financial Mortgage Trust Series 2022-4 Class B2, 5.8835% 9/25/2067 (g)(o) |  | 111000 | 108366 |
| Fannie Mae Guaranteed REMIC Series 1999-47 Class JZ, 8% 9/18/2029  |  | 485 | 495 |
| Fannie Mae Guaranteed REMIC Series 2000-8 Class Z, 7.5% 2/20/2030  |  | 639 | 663 |
| Fannie Mae Guaranteed REMIC Series 2001-14 Class Z, 6% 5/25/2031  |  | 377 | 384 |
| Fannie Mae Guaranteed REMIC Series 2001-16 Class Z, 6% 5/25/2031  |  | 418 | 427 |
| Fannie Mae Guaranteed REMIC Series 2001-36 Class ST, 8.3855% - U.S. 30-Day Avg. SOFR Index 4.7183% 11/25/2030 (g)(t) |  | 929 | 79 |
| Fannie Mae Guaranteed REMIC Series 2001-72 Class SB, 7.3855% - U.S. 30-Day Avg. SOFR Index 3.7183% 12/25/2031 (g)(t) |  | 2366 | 179 |
| Fannie Mae Guaranteed REMIC Series 2001-81 Class HE, 6.5% 1/25/2032  |  | 4371 | 4552 |
| Fannie Mae Guaranteed REMIC Series 2001-T12 Class IO, 0.4969% 8/25/2041 (g)(t) |  | 139618 | 697 |
| Fannie Mae Guaranteed REMIC Series 2001-W3 Class A, 7% 9/25/2041 (g) |  | 2226 | 2215 |
| Fannie Mae Guaranteed REMIC Series 2002-19 Class SC, U.S. 30-Day Avg. SOFR Index x 13.9747%, 7.5728% 3/17/2032 (f)(g) |  | 6 | 5 |
| Fannie Mae Guaranteed REMIC Series 2002-56 Class PE, 6% 9/25/2032  |  | 5853 | 6086 |
| Fannie Mae Guaranteed REMIC Series 2002-86 Class PG, 6% 12/25/2032  |  | 4167 | 4325 |
| Fannie Mae Guaranteed REMIC Series 2002-T16 Class A2, 7% 7/25/2042  |  | 7883 | 8269 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class A2, 7% 12/25/2041  |  | 4175 | 4301 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class A4, 9.5% 12/25/2041  |  | 7282 | 7991 |
| Fannie Mae Guaranteed REMIC Series 2002-T4 Class IO, 0.3986% 12/25/2041 (g)(t) |  | 354610 | 1897 |
| Fannie Mae Guaranteed REMIC Series 2002-W10 Class IO, 0.8972% 8/25/2042 (g)(t) |  | 29536 | 404 |
| Fannie Mae Guaranteed REMIC Series 2002-W7 Class IO1, 0.8621% 6/25/2029 (g)(t) |  | 52473 | 894 |
| Fannie Mae Guaranteed REMIC Series 2003-130 Class HZ, 6% 1/25/2034  |  | 105381 | 110420 |
| Fannie Mae Guaranteed REMIC Series 2003-47 Class PE, 5.75% 6/25/2033  |  | 3511 | 3640 |
| Fannie Mae Guaranteed REMIC Series 2003-64 Class SX, U.S. 30-Day Avg. SOFR Index x 13.4638%, 4.2607% 7/25/2033 (f)(g) |  | 222 | 224 |
| Fannie Mae Guaranteed REMIC Series 2003-W3 Class 2A5, 5.356% 6/25/2042  |  | 151 | 155 |
| Fannie Mae Guaranteed REMIC Series 2003-W6 Class 1A41, 5.398% 10/25/2042  |  | 1675 | 1693 |
| Fannie Mae Guaranteed REMIC Series 2004-72 Class F, U.S. 30-Day Avg. SOFR Index + 0.6145%, 4.2817% 9/25/2034 (f)(g) |  | 434 | 435 |
| Fannie Mae Guaranteed REMIC Series 2004-T1 Class 1A1, 6% 1/25/2044  |  | 2752 | 2826 |
| Fannie Mae Guaranteed REMIC Series 2004-T2 Class 1A3, 7% 11/25/2043  |  | 2106 | 2158 |
| Fannie Mae Guaranteed REMIC Series 2004-T2 Class 1A4, 7.5% 11/25/2043  |  | 2207 | 2232 |
| Fannie Mae Guaranteed REMIC Series 2004-T3 Class 1IO4, 0.6147% 2/25/2044 (g)(t) |  | 52119 | 233 |
| Fannie Mae Guaranteed REMIC Series 2004-W11 Class 1IO1, 0.3447% 5/25/2044 (g)(t) |  | 175643 | 1395 |
| Fannie Mae Guaranteed REMIC Series 2004-W2 Class 1A, 6% 2/25/2044  |  | 1648 | 1688 |
| Fannie Mae Guaranteed REMIC Series 2004-W2 Class 2A2, 7% 2/25/2044  |  | 387 | 404 |
| Fannie Mae Guaranteed REMIC Series 2004-W8 Class 3A, 7.5% 6/25/2044  |  | 758 | 783 |
| Fannie Mae Guaranteed REMIC Series 2004-W9 Class 1A3, 6.05% 2/25/2044  |  | 3666 | 3800 |
| Fannie Mae Guaranteed REMIC Series 2005-19 Class PB, 5.5% 3/25/2035  |  | 19377 | 19995 |
| Fannie Mae Guaranteed REMIC Series 2005-51 Class MO, 0% 6/25/2035 (s) |  | 469 | 360 |
| Fannie Mae Guaranteed REMIC Series 2005-53 Class CS, 6.5855% - U.S. 30-Day Avg. SOFR Index 2.9183% 6/25/2035 (g)(t) |  | 2557 | 169 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class WS, 6.6355% - U.S. 30-Day Avg. SOFR Index 2.9683% 8/25/2035 (g)(t) |  | 949 | 53 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  |  | 111669 | 113478 |
| Fannie Mae Guaranteed REMIC Series 2005-84 Class XM, 5.75% 10/25/2035  |  | 575 | 597 |
| Fannie Mae Guaranteed REMIC Series 2005-W4 Class 1A1, 6% 8/25/2045  |  | 1518 | 1563 |
| Fannie Mae Guaranteed REMIC Series 2006-20 Class IB, 6.4755% - U.S. 30-Day Avg. SOFR Index 2.8083% 4/25/2036 (g)(t) |  | 2472 | 233 |
| Fannie Mae Guaranteed REMIC Series 2006-27 Class OB, 0% 4/25/2036 (s) |  | 10735 | 9101 |
| Fannie Mae Guaranteed REMIC Series 2006-77 Class PC, 6.5% 8/25/2036  |  | 1073 | 1120 |
| Fannie Mae Guaranteed REMIC Series 2006-9 Class KZ, 6% 3/25/2036  |  | 2547 | 2657 |
| Fannie Mae Guaranteed REMIC Series 2007-54 Class IB, 6.2955% - U.S. 30-Day Avg. SOFR Index 2.6283% 6/25/2037 (g)(t) |  | 41990 | 3898 |
| Fannie Mae Guaranteed REMIC Series 2007-71 Class GZ, 6% 7/25/2047  |  | 1560 | 1642 |
| Fannie Mae Guaranteed REMIC Series 2008-62 Class SM, 6.0855% - U.S. 30-Day Avg. SOFR Index 2.4183% 7/25/2038 (g)(t) |  | 8456 | 849 |
| Fannie Mae Guaranteed REMIC Series 2008-91 Class SI, 5.8855% - U.S. 30-Day Avg. SOFR Index 2.2183% 3/25/2038 (g)(t) |  | 4202 | 151 |
| Fannie Mae Guaranteed REMIC Series 2009-112 Class ST, 6.1355% - U.S. 30-Day Avg. SOFR Index 2.4683% 1/25/2040 (g)(t) |  | 4565 | 425 |
| Fannie Mae Guaranteed REMIC Series 2009-112 Class SW, 6.1355% - U.S. 30-Day Avg. SOFR Index 2.4683% 1/25/2040 (g)(t) |  | 3001 | 243 |
| Fannie Mae Guaranteed REMIC Series 2009-52 Class PI, 5% 7/25/2039 (t) |  | 2553 | 341 |
| Fannie Mae Guaranteed REMIC Series 2010-10 Class NT, 5% 2/25/2040  |  | 11178 | 11459 |
| Fannie Mae Guaranteed REMIC Series 2010-129 Class PZ, 4.5% 11/25/2040  |  | 37139 | 35380 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  |  | 389551 | 377698 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  |  | 471451 | 468147 |
| Fannie Mae Guaranteed REMIC Series 2010-70 Class SA, U.S. 30-Day Avg. SOFR Index x 91.2217%, 6% 4/25/2038 (f)(g)(t) |  | 8895 | 1641 |
| Fannie Mae Guaranteed REMIC Series 2011-126 Class KB, 4% 12/25/2041  |  | 135017 | 133498 |
| Fannie Mae Guaranteed REMIC Series 2011-19 Class ZY, 6.5% 7/25/2036  |  | 2143 | 2280 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  |  | 206623 | 206430 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (t) |  | 43362 | 633 |
| Fannie Mae Guaranteed REMIC Series 2012-148 Class IE, 3% 1/25/2033 (t) |  | 44679 | 2924 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  |  | 265790 | 250151 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  |  | 367456 | 348939 |
| Fannie Mae Guaranteed REMIC Series 2012-46 Class KI, 3.5% 5/25/2027 (t) |  | 1843 | 20 |
| Fannie Mae Guaranteed REMIC Series 2013-13 Class IK, 2.5% 3/25/2028 (t) |  | 17509 | 260 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (g)(t) |  | 60610 | 7035 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  |  | 3282888 | 3125406 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (t) |  | 284583 | 39382 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  |  | 252379 | 244481 |
| Fannie Mae Guaranteed REMIC Series 2016-33 Class JA, 3% 7/25/2045  |  | 161959 | 155906 |
| Fannie Mae Guaranteed REMIC Series 2016-38, 3% 1/25/2046  |  | 132437 | 126120 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (t) |  | 178818 | 23301 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  |  | 9983473 | 9338045 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  |  | 1923729 | 1796182 |
| Fannie Mae Guaranteed REMIC Series 2019-20 Class H, 3.5% 5/25/2049  |  | 154376 | 144014 |
| Fannie Mae Guaranteed REMIC Series 2019-51 Class AF, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.5391% 9/25/2049 (f)(g) |  | 567293 | 565123 |
| Fannie Mae Guaranteed REMIC Series 2020-46 Class KB, 1.25% 6/25/2050  |  | 5748098 | 4589041 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  |  | 324722 | 296611 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  |  | 194141 | 169849 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  |  | 206316 | 180501 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  |  | 237596 | 202661 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  |  | 170533 | 155861 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  |  | 2735753 | 2492319 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  |  | 1807687 | 1657812 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  |  | 268266 | 244047 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  |  | 883772 | 841485 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  |  | 757728 | 717716 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  |  | 556996 | 537404 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  |  | 1572718 | 1521617 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  |  | 2566627 | 2358731 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  |  | 7025558 | 6431918 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  |  | 194742 | 177576 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  |  | 742980 | 739017 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  |  | 2649079 | 2441309 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (f)(g) |  | 2581008 | 2572816 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (f)(g) |  | 2867498 | 2851108 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (f)(g) |  | 5461900 | 5444566 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (f)(g) |  | 1806753 | 1800395 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (f)(g) |  | 6423858 | 6403453 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  |  | 1249228 | 1189736 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  |  | 2592715 | 2416389 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  |  | 890217 | 848300 |
| Fannie Mae Guaranteed REMIC Series 2023-35 Class FC, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 8/25/2053 (f)(g) |  | 716373 | 720530 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (f)(g) |  | 3357055 | 3397993 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (f)(g) |  | 405208 | 410071 |
| Fannie Mae Guaranteed REMIC Series 2023-68 Class FB, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 1/25/2054 (f)(g) |  | 735288 | 738641 |
| Fannie Mae Guaranteed REMIC Series 2024-38 Class AF, U.S. 30-Day Avg. SOFR Index + 0.78%, 4.8047% 12/25/2047 (f)(g) |  | 1653738 | 1661625 |
| Fannie Mae Guaranteed REMIC Series 2024-38 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.8247% 1/25/2051 (f)(g) |  | 665501 | 669263 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (f)(g) |  | 1492618 | 1512431 |
| Fannie Mae Guaranteed REMIC Series 2024-54 Class FC, U.S. 30-Day Avg. SOFR Index + 0.97%, 4.6372% 8/25/2054 (f)(g) |  | 2106659 | 2121391 |
| Fannie Mae Guaranteed REMIC Series 2024-63 Class FH, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 9/25/2054 (f)(g) |  | 524590 | 527643 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (f)(g) |  | 4077449 | 4106849 |
| Fannie Mae Guaranteed REMIC Series 2024-76 Class QF, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (f)(g) |  | 37103176 | 37329765 |
| Fannie Mae Guaranteed REMIC Series 2024-88 Class FC, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 12/25/2054 (f)(g) |  | 432030 | 436817 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (f)(g) |  | 5816049 | 5858683 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (f)(g) |  | 1305810 | 1313284 |
| Fannie Mae Guaranteed REMIC Series 2024-95 Class FC, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 12/25/2054 (f)(g) |  | 154078 | 155579 |
| Fannie Mae Guaranteed REMIC Series 2024-96 Class FA, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 12/25/2054 (f)(g) |  | 741112 | 748142 |
| Fannie Mae Guaranteed REMIC Series 2025-4 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2053 (f)(g) |  | 6704534 | 6759362 |
| Fannie Mae Guaranteed REMIC Series 2025-42 Class FA, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 6/25/2055 (f)(g) |  | 366522 | 370804 |
| Fannie Mae Guaranteed REMIC Series 2025-42 Class FE, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.2172% 6/25/2055 (f)(g) |  | 681685 | 690602 |
| Fannie Mae Guaranteed REMIC Series 2025-63 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 8/25/2055 (f)(g) |  | 355172 | 359101 |
| Fannie Mae Guaranteed REMIC Series 2025-66 Class FK, U.S. 30-Day Avg. SOFR Index + 1.18%, 4.8472% 8/25/2055 (f)(g) |  | 6651013 | 6696330 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-11 Class E, 7% 3/18/2027  |  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-42 Class EG, 8% 7/18/2027  |  | 81 | 82 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-63 Class ZA, 6.5% 9/18/2027  |  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates Series 2002-T19 Class A1, 6.5% 7/25/2042  |  | 6328 | 6560 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-22 Class Z, 6% 4/25/2033  |  | 3101 | 3204 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-25 Class KP, 5% 4/25/2033  |  | 11083 | 11279 |
| Fannie Mae Mortgage pass-thru certificates Series 2003-W4 Class 2A, 5.0477% 10/25/2042 (g) |  | 1156 | 1177 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (t) |  | 153487 | 4551 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  |  | 991870 | 948295 |
| Fannie Mae Mortgage pass-thru certificates Series 2022-R04 Class 1B1, U.S. 30-Day Avg. SOFR Index + 5.25%, 8.9172% 3/25/2042 (f)(g)(o) |  | 240000 | 250134 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) |  | 2456346 | 2476362 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-1 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) |  | 6742696 | 6793577 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-1 Class FX, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 2/25/2055 (f)(g) |  | 531860 | 536833 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-13 Class FB, U.S. 30-Day Avg. SOFR Index + 1.3%, 4.9672% 3/25/2055 (f)(g) |  | 536969 | 541572 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class FH, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 8/25/2054 (f)(g) |  | 266130 | 268725 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class FM, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.5672% 9/25/2054 (f)(g) |  | 7862321 | 7904531 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-18 Class MA, 0.5% 9/25/2054  |  | 5466185 | 4960486 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-2 Class FG, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 2/25/2055 (f)(g) |  | 962148 | 973760 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 8/25/2054 (f)(g) |  | 2168281 | 2197075 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-35 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 5/25/2055 (f)(g) |  | 616928 | 624724 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (f)(g) |  | 1305796 | 1315085 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (f)(g) |  | 1715139 | 1733343 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (f)(g) |  | 1984502 | 2004932 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) |  | 2888738 | 2916026 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) |  | 1327026 | 1338050 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-9 Class FG, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 3/25/2055 (f)(g) |  | 283539 | 286132 |
| Fannie Mae Series 2007-10 Class Z, 6% 2/25/2037  |  | 451 | 470 |
| Fannie Mae Series 2007-109 Class YI, 6.3355% - U.S. 30-Day Avg. SOFR Index 2.6683% 12/25/2037 (g)(t) |  | 20454 | 1966 |
| Fannie Mae Series 2010-35 Class SB, 6.3055% - U.S. 30-Day Avg. SOFR Index 2.6383% 4/25/2040 (g)(t) |  | 4312 | 422 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  |  | 971306 | 960357 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  |  | 2439716 | 2456203 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  |  | 455693 | 433876 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2001-313 Class 1, 0% 6/25/2031 (s) |  | 4497 | 4076 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-380 Class S36, 7.7855% - U.S. 30-Day Avg. SOFR Index 4.1183% 7/25/2037 (g)(t) |  | 1591 | 236 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-383 Class 68, 6.5% 9/25/2037 (t) |  | 963 | 199 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-383 Class 69, 6.5% 10/25/2037 (g)(t) |  | 1317 | 272 |
| First Frankin Mortgage Loan Trust Series 2004-8F Class 2A3, 6% 9/25/2034  |  | 374 | 382 |
| First Frankin Mortgage Loan Trust Series 2005-5F Class 8A1, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 6/25/2035 (f)(g) |  | 197 | 191 |
| First Frankin Mortgage Loan Trust Series 2005-5F Class 8A3, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 6/25/2035 (f)(g) |  | 114 | 111 |
| First Frankin Mortgage Loan Trust Series 2005-RP3 Class 2A1, 4.3394% 9/25/2035 (g)(o) |  | 335912 | 296340 |
| First Frankin Mortgage Loan Trust Series 2006-2F Class 3A6, 6% 2/25/2036  |  | 1534767 | 641634 |
| First Horizon Asset Securities Inc Series 2004-AA3 Class A1, 4.7768% 9/25/2034 (g) |  | 676 | 674 |
| First Horizon Asset Securities Inc Series 2004-AR6 Class 2A1, 4.3364% 12/25/2034 (g) |  | 1030 | 1012 |
| First Horizon Asset Securities Inc Series 2005-AA12 Class 2A1, 4.7705% 2/25/2036 (g) |  | 838 | 508 |
| Freddie Mac Gold Pool Series 1997-186 Class PO, 0% 8/1/2027 (s) |  | 265 | 257 |
| Freddie Mac Gold Pool Series 2012-262 Class 35, 3.5% 7/15/2042  |  | 39024 | 37687 |
| Freddie Mac Gold Pool Series 2012-279 Class 35, 3.5% 9/15/2042  |  | 10216 | 9809 |
| Freddie Mac Gold Pool Series 2014-323 Class 300, 3% 1/15/2044  |  | 38724 | 35880 |
| Freddie Mac Gold Pool Series 2014-334 Class 300, 3% 8/15/2044  |  | 37907 | 35229 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2036 Class PG, 6.5% 1/15/2028  |  | 274 | 277 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  |  | 323819 | 324107 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  |  | 688333 | 629652 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  |  | 152991 | 139075 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  |  | 703014 | 643692 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2148 Class ZA, 6% 4/15/2029  |  | 73 | 75 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2201 Class C, 8% 11/15/2029  |  | 107 | 110 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2293 Class ZA, 6% 3/15/2031  |  | 356 | 363 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2310 Class Z, 6% 4/15/2031  |  | 68 | 68 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2325 Class JO, 0% 6/15/2031 (s) |  | 492 | 444 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2330 Class PE, 6.5% 6/15/2031  |  | 1021 | 1063 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2410 Class QB, 6.25% 2/15/2032  |  | 2324 | 2376 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2427 Class GE, 6% 3/15/2032  |  | 5395 | 5593 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2430 Class WF, 6.5% 3/15/2032  |  | 3701 | 3871 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2466 Class DH, 6.5% 6/15/2032  |  | 404 | 423 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2530 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3273% 6/15/2029 (g)(t) |  | 1592 | 90 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2534 Class SI, U.S. 30-Day Avg. SOFR Index x 20.7624%, 11.2511% 2/15/2032 (f)(g) |  | 246 | 283 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2543 Class YX, 6% 12/15/2032  |  | 2332 | 2426 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2557 Class HL, 5.3% 1/15/2033  |  | 1244 | 1268 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2586 Class IO, 6.5% 3/15/2033 (t) |  | 2084 | 297 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2594 Class IV, 7% 3/15/2032 (t) |  | 611 | 82 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2610 Class UI, 6.5% 5/15/2033 (t) |  | 1880 | 259 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2643 Class SA, U.S. 30-Day Avg. SOFR Index x 44.7559%, 20.9776% 3/15/2032 (f)(g) |  | 70 | 86 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2656 Class AC, 6% 8/15/2033  |  | 884 | 913 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2699 Class W, 5.5% 11/15/2033  |  | 2145 | 2216 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2733 Class SB, 7.907% - U.S. 30-Day Avg. SOFR Index 4.6146% 10/15/2033 (g) |  | 2476 | 2493 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2764 Class S, U.S. 30-Day Avg. SOFR Index x 13.4638%, 4.3183% 7/15/2033 (f)(g) |  | 295 | 291 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2845 Class QH, 5% 8/15/2034  |  | 1651 | 1690 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2912 Class EH, 5.5% 1/15/2035  |  | 9007 | 9325 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  |  | 226971 | 231807 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2980 Class QB, 6.5% 5/15/2035  |  | 350 | 367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2995 Class FT, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0227% 5/15/2029 (f)(g) |  | 461 | 460 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  |  | 131974 | 134100 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3184 Class YO, 0% 3/15/2036 (s) |  | 5272 | 4524 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3187 Class Z, 5% 7/15/2036  |  | 10410 | 10643 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3201 Class IN, 6.1355% - U.S. 30-Day Avg. SOFR Index 2.4282% 8/15/2036 (g)(t) |  | 2053 | 158 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3202 Class HI, 6.5355% - U.S. 30-Day Avg. SOFR Index 2.8773% 8/15/2036 (g)(t) |  | 7705 | 654 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  |  | 166846 | 171739 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3274 Class B, 6% 2/15/2037  |  | 1306 | 1376 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3305 Class IW, 6.3355% - U.S. 30-Day Avg. SOFR Index 2.6773% 4/15/2037 (g)(t) |  | 2923 | 278 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-76 Class 2A, 2.1224% 10/25/2037 (g) |  | 4884 | 4534 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3409 Class DB, 6% 1/15/2038  |  | 4038 | 4214 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3546 Class A, 6.0738% 2/15/2039 (g) |  | 777 | 787 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3592 Class BZ, 5% 10/15/2039  |  | 25394 | 25967 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3605 Class NC, 5.5% 6/15/2037  |  | 6599 | 6881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3609 Class SA, 6.2255% - U.S. 30-Day Avg. SOFR Index 2.5673% 12/15/2039 (g)(t) |  | 3949 | 236 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2009-3610 Class CA, 4.5% 12/15/2039  |  | 2094 | 2111 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3648 Class CY, 4.5% 3/15/2030  |  | 2599 | 2617 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3653 Class HJ, 5% 4/15/2040  |  | 1035 | 1062 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2010-3677 Class PB, 4.5% 5/15/2040  |  | 14272 | 14387 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3855 Class AM, 6.5% 11/15/2036  |  | 962 | 986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-3980 Class EP, 5% 1/15/2042  |  | 1113980 | 1153286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4030 Class IL, 3.5% 4/15/2027 (t) |  | 253 | 1 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4060 Class TB, 2.5% 6/15/2027  |  | 26624 | 26351 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  |  | 288798 | 275010 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4146 Class KI, 3% 12/15/2032 (t) |  | 43653 | 2859 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (t) |  | 103977 | 6341 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (t) |  | 4 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (t) |  | 73465 | 1784 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  |  | 62116 | 62020 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  |  | 349450 | 341267 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4765 Class PZ, 3% 1/15/2048  |  | 1906303 | 1606199 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4796 Class CZ, 4% 5/15/2048  |  | 276313 | 269385 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4830 Class WZ, 4% 9/15/2048  |  | 280135 | 272778 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4960 Class PB, 1.5% 10/25/2049  |  | 1585530 | 1345029 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  |  | 617915 | 590653 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  |  | 1442203 | 1236904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  |  | 698490 | 634795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  |  | 969435 | 871926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  |  | 190860 | 177422 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  |  | 1303874 | 1194653 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  |  | 704231 | 641024 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  |  | 608473 | 553850 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  |  | 667222 | 619640 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  |  | 510999 | 465001 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  |  | 225981 | 203075 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  |  | 2801682 | 2551265 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  |  | 511001 | 465002 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  |  | 505964 | 470194 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  |  | 2491681 | 2323549 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  |  | 337670 | 320806 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  |  | 542274 | 504481 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  |  | 1281620 | 1211307 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  |  | 1281620 | 1211307 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2172% 7/25/2052 (f)(g) |  | 393367 | 390025 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (f)(g) |  | 1230931 | 1221828 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4172% 9/25/2052 (f)(g) |  | 2107993 | 2098624 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (f)(g) |  | 1349196 | 1332907 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.3172% 9/25/2052 (f)(g) |  | 644637 | 640485 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (f)(g) |  | 2526754 | 2543988 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (f)(g) |  | 1277792 | 1296463 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (f)(g) |  | 1780562 | 1796986 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5426 Class AF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.7003% 3/15/2050 (f)(g) |  | 1858661 | 1854753 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5426 Class CF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.7003% 12/15/2050 (f)(g) |  | 1596668 | 1596741 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5442 Class FB, U.S. 30-Day Avg. SOFR Index + 0.97%, 4.6372% 8/25/2054 (f)(g) |  | 4795332 | 4833875 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (f)(g) |  | 1000021 | 1004102 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5468 Class WF, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (f)(g) |  | 558850 | 562125 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5473 Class BF, U.S. 30-Day Avg. SOFR Index + 1.3%, 4.9672% 11/25/2054 (f)(g) |  | 790597 | 797261 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (f)(g) |  | 7864123 | 7909279 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5478 Class FD, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2054 (f)(g) |  | 362613 | 366012 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5479 Class FB, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 12/25/2054 (f)(g) |  | 297633 | 300437 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5482 Class FB, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 12/25/2054 (f)(g) |  | 626145 | 633552 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5495 Class AF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 1/25/2055 (f)(g) |  | 2555763 | 2572128 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5498 Class FC, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 1/25/2055 (f)(g) |  | 4027540 | 4054785 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) |  | 2054823 | 2071550 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class FW, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (f)(g) |  | 1426121 | 1440830 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) |  | 3284388 | 3307954 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) |  | 1092320 | 1098114 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class DF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 10/25/2054 (f)(g) |  | 464571 | 468356 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FA, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (f)(g) |  | 8151963 | 8211008 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (f)(g) |  | 1998763 | 2014911 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5502 Class EF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (f)(g) |  | 368009 | 371303 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5503 Class FB, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 2/25/2055 (f)(g) |  | 380988 | 384802 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5508 Class FE, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 2/25/2055 (f)(g) |  | 500357 | 507412 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5508 Class FG, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (f)(g) |  | 793446 | 800830 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) |  | 1307702 | 1318677 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5510 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 2/25/2055 (f)(g) |  | 3930258 | 3969683 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5510 Class FM, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (f)(g) |  | 5945018 | 5987833 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5513 Class FD, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 1/25/2055 (f)(g) |  | 3039607 | 3075387 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5513 Class MF, U.S. 30-Day Avg. SOFR Index + 0.94%, 4.6072% 11/25/2054 (f)(g) |  | 15731865 | 15822049 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5515 Class FB, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 3/25/2055 (f)(g) |  | 384833 | 388719 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5516 Class FC, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 3/25/2055 (f)(g) |  | 7297897 | 7376578 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (f)(g) |  | 2277835 | 2290723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5539 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 5/25/2055 (f)(g) |  | 508825 | 514839 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 6/25/2055 (f)(g) |  | 389180 | 393726 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FG, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 6/25/2055 (f)(g) |  | 393642 | 398295 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FH, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 6/25/2055 (f)(g) |  | 503602 | 509712 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5543 Class FM, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 6/25/2055 (f)(g) |  | 521394 | 527556 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5560 Class FB, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 6/25/2055 (f)(g) |  | 9900011 | 9976670 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5563 Class FA, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 8/25/2055 (f)(g) |  | 884964 | 894272 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5564 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 8/25/2055 (f)(g) |  | 8023896 | 8090026 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5564 Class PF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 8/25/2055 (f)(g) |  | 5148143 | 5195564 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5570 Class FA, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 5/25/2055 (f)(g) |  | 563898 | 569665 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5574 Class FB, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 9/25/2055 (f)(g) |  | 432805 | 437451 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5584 Class DF, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.5672% 10/25/2055 (f)(g) |  | 6012404 | 6050353 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5607 Class FA, U.S. 30-Day Avg. SOFR Index + 0.9%, 4.5672% 12/25/2055 (f)(g) |  | 9447156 | 9486343 |
| Freddie Mac Non Gold Pool Series 1998-2022 Class PE, 6.5% 1/15/2028  |  | 35 | 35 |
| Freddie Mac Non Gold Pool Series 1998-2091 Class PG, 6% 11/15/2028  |  | 1040 | 1060 |
| Freddie Mac Non Gold Pool Series 1999-2116 Class ZA, 6% 1/15/2029  |  | 263 | 268 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-4 Class MT, 3.5% 6/25/2057  |  | 226393 | 210374 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 Class HT, 3% 3/25/2058  |  | 1850142 | 1639161 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3 Class M55D, 4% 10/25/2058  |  | 275913 | 266989 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4 Class MB, 3% 2/25/2059  |  | 1256223 | 997273 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1 Class BXS, 10.5362% 9/25/2060 (g)(o) |  | 302218 | 248169 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-2 Class BXS, 13.0872% 11/25/2060 (g)(l)(o) |  | 142143 | 105682 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1 Class MTU, 3.25% 11/25/2061  |  | 750690 | 668504 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1 Class MT, 3% 10/25/2062  |  | 4850604 | 4193671 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2 Class MT, 3.5% 5/25/2064  |  | 3132094 | 2801512 |
| Freddie Mac STACR REMIC Trust Series 2020-DNA6 Class B1, U.S. 30-Day Avg. SOFR Index + 3%, 6.6672% 12/25/2050 (f)(g)(o) |  | 3910000 | 4187368 |
| Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M2, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 10/25/2041 (f)(g)(o) |  | 1378043 | 1381797 |
| Freddie Mac STACR REMIC Trust Series 2022-DNA3 Class M1B, U.S. 30-Day Avg. SOFR Index + 2.9%, 6.5672% 4/25/2042 (f)(g)(o) |  | 12945000 | 13235582 |
| GAEA Mortgage Loan Trust Series 2025-A Class A, 6.75% 2/25/2030 (g)(o) |  | 99805 | 98435 |
| GCAT 2021-NQM4 Trust Series 2021-NQM4 Class A1, 1.093% 8/25/2066 (o) |  | 508740 | 437343 |
| GCAT 2023-NQM4 Trust Series 2023-NQM4 Class A1, 4.25% 5/25/2067 (o) |  | 224243 | 218569 |
| Gcat 2025-Inv2 Tr Series 2025-INV2 Class A1, 6% 5/25/2055 (o) |  | 6555301 | 6675139 |
| GCAT Trust Series 2021-NQM3 Class B1, 3.471% 5/25/2066 (o) |  | 100000 | 78672 |
| GCAT Trust Series 2024-NQM2 Class A1, 6.085% 6/25/2059 (o) |  | 791383 | 800344 |
| GCAT Trust Series 2025-NQM4 Class A1, 5.529% 6/25/2070 (o) |  | 429765 | 435412 |
| Ginnie Mae HECM MBS REMICS Series 2021-140 Class JI, 3% 8/20/2051 (t) |  | 45928 | 7868 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1769% 12/20/2060 (f)(g)(h) |  | 154488 | 153371 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3469% 9/20/2061 (f)(g)(h) |  | 368154 | 368480 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H11 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 2/20/2062 (f)(g) |  | 16873 | 16924 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H18, CME Term SOFR 1 month Index + 0.6345%, 4.3169% 8/20/2062 (f)(g)(h) |  | 64479 | 64492 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (f)(g)(h) |  | 215 | 216 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (h) |  | 164 | 158 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 4.3969% 8/20/2063 (f)(g)(h) |  | 57943 | 58056 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H20 Class FB, CME Term SOFR 1 month Index + 1.1145%, 4.7969% 8/20/2063 (f)(g) |  | 4259 | 4299 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H23 Class FA, CME Term SOFR 1 month Index + 1.4145%, 5.0969% 9/20/2063 (f)(g) |  | 5440 | 5488 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H02 Class HA, 2.5% 1/20/2065  |  | 2004 | 1922 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (h) |  | 1371 | 1302 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H23 Class FB, CME Term SOFR 1 month Index + 0.6345%, 4.3169% 9/20/2065 (f)(g) |  | 29610 | 29624 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H16 Class FD, CME Term SOFR 12 month Index + 1.0951%, 5.1607% 6/20/2066 (f)(g) |  | 42715 | 43228 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H16 Class FE, CME Term SOFR 12 month Index + 1.0951%, 5.1607% 6/20/2066 (f)(g) |  | 342857 | 346626 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H17 Class FC, CME Term SOFR 1 month Index + 0.9445%, 4.6269% 8/20/2066 (f)(g) |  | 34846 | 34994 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H24 Class KF, CME Term SOFR 12 month Index + 0.9651%, 4.5442% 11/20/2066 (f)(g) |  | 186034 | 187580 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  |  | 468444 | 439016 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (f)(g)(h) |  | 116452 | 116323 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H08 Class XI, 2.2733% 3/20/2067 (g)(t) |  | 135756 | 5675 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H11 Class XI, 2.2427% 5/20/2067 (g)(t) |  | 438211 | 15502 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H14 Class AI, 2.2963% 6/20/2067 (g)(t) |  | 176024 | 7514 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H14 Class XI, 1.8677% 6/20/2067 (g)(t) |  | 193348 | 5029 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H23 Class FA, CME Term SOFR 1 month Index + 0.5945%, 4.2769% 10/20/2067 (f)(g) |  | 163617 | 163606 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H24 Class FQ, CME Term SOFR 12 month Index + 0.9151%, 4.5271% 11/20/2067 (f)(g) |  | 403588 | 406724 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H09 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2069 (f)(g) |  | 132677 | 132706 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H16 Class EF, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 10/20/2069 (f)(g) |  | 8183066 | 8206912 |
| Ginnie Mae Mortgage pass-thru certificates Series 2019-H20 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 11/20/2069 (f)(g) |  | 494553 | 494672 |
| Ginnie Mae Mortgage pass-thru certificates Series 2020-H08 Class FC, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 2/20/2070 (f)(g) |  | 259920 | 260599 |
| Ginnie Mae Mortgage pass-thru certificates Series 2024-H04 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3615% 2/20/2074 (f)(g) |  | 270727 | 271682 |
| Ginnie Mae Multifamily REMICS Series 2007-16 Class KU, 6.5355% - CME Term SOFR 1 month Index 2.8683% 4/20/2037 (g)(t) |  | 6314 | 527 |
| Ginnie Mae REMIC pass-thru certificates Series 2003-18 Class PG, 5.5% 3/20/2033  |  | 4724 | 4884 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-105 Class SN, 5.9855% - CME Term SOFR 1 month Index 2.3183% 12/20/2034 (g)(t) |  | 8392 | 630 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-19 Class KE, 5% 3/16/2034  |  | 20159 | 20659 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-90 Class SI, 5.9855% - CME Term SOFR 1 month Index 2.3183% 10/20/2034 (g)(t) |  | 3747 | 280 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-26 Class S, 6.3855% - CME Term SOFR 1 month Index 2.7183% 6/20/2036 (g)(t) |  | 6797 | 659 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-33 Class PK, 6% 7/20/2036  |  | 2084 | 2187 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-22 Class PK, 5.5% 4/20/2037  |  | 10411 | 10854 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-24 Class SA, 6.3955% - CME Term SOFR 1 month Index 2.7283% 5/20/2037 (g)(t) |  | 9571 | 903 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-7 Class EI, 6.0855% - CME Term SOFR 1 month Index 2.4183% 2/20/2037 (g)(t) |  | 9961 | 910 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-9 Class CI, 6.0855% - CME Term SOFR 1 month Index 2.4183% 3/20/2037 (g)(t) |  | 6526 | 596 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-40 Class SA, 6.2855% - CME Term SOFR 1 month Index 2.6259% 5/16/2038 (g)(t) |  | 5687 | 371 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-49 Class PH, 5.25% 6/20/2038  |  | 11108 | 11512 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-50 Class SA, 6.1155% - CME Term SOFR 1 month Index 2.4483% 6/20/2038 (g)(t) |  | 15704 | 1746 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-55 Class PL, 5.5% 6/20/2038  |  | 10389 | 10891 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-106 Class XL, 6.6355% - CME Term SOFR 1 month Index 2.9683% 6/20/2037 (g)(t) |  | 2953 | 241 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-16 Class SJ, 6.6855% - CME Term SOFR 1 month Index 3.0183% 5/20/2037 (g)(t) |  | 10278 | 1168 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-72 Class SM, 6.1355% - CME Term SOFR 1 month Index 2.4759% 8/16/2039 (g)(t) |  | 3484 | 275 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-81 Class A, 5.75% 9/20/2036  |  | 1043 | 1071 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  |  | 1176293 | 1171236 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  |  | 712071 | 708818 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  |  | 157718 | 156995 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3183% 7/20/2041 (g)(t) |  | 52299 | 5556 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  |  | 174109 | 172590 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-60 Class W, 4.0592% 2/20/2029 (g) |  | 1755 | 1752 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-157 Class GA, 3% 1/20/2045  |  | 5291 | 5187 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-H04 Class FL, CME Term SOFR 1 month Index + 0.5845%, 4.4192% 2/20/2065 (f)(g) |  | 24962 | 24955 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  |  | 205525 | 195832 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  |  | 2148681 | 1997158 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.2817% 10/20/2049 (f)(g) |  | 181997 | 180776 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2317% 2/20/2049 (f)(g) |  | 803905 | 800020 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-125 Class HA, 1.5% 4/20/2051  |  | 627177 | 557791 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-155 Class PD, 1.25% 9/20/2051  |  | 641465 | 569510 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-175 Class PB, 1% 3/20/2050  |  | 275850 | 223488 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-215 Class LG, 1.75% 12/20/2051  |  | 998192 | 846360 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-58 Class IY, 3% 2/20/2051 (t) |  | 1489759 | 254332 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-78 Class IP, 3% 5/20/2051 (t) |  | 506082 | 85331 |
| Ginnie Mae REMIC pass-thru certificates Series 2021-H10 Class AF, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1615% 6/20/2071 (f)(g) |  | 674082 | 685168 |
| Ginnie Mae REMIC pass-thru certificates Series 2022-22 Class UH, 3% 12/20/2050  |  | 565453 | 524789 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-9 Class FE, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9115% 1/20/2055 (f)(g) |  | 390974 | 394553 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-RPL1 Class PT, 3.5636% 1/25/2064 (g)(o) |  | 9028225 | 7784236 |
| Ginnie Mae REMIC pass-thru certificates Series 2025-RPL1 Class SA, 0% 1/25/2064 (o)(r)(t) |  | 8849 | 8746 |
| Ginnie Mae Series 2021-97 Class LI, 3% 8/20/2050 (t) |  | 1767900 | 300087 |
| GMACM Home Equity Loan Trust Series 2003-J10 Class A1, 4.75% 1/25/19 (l) |  | 319 | 175 |
| GMACM Home Equity Loan Trust Series 2005-AR6 Class 2A1, 3.8523% 11/19/2035 (g)(l) |  | 1509002 | 571512 |
| GS Mortgage-Backed Securities Corp Trust Series 2025-NQM6 Class A1, 5.021% 2/25/2066 (o)(p) |  | 585251 | 588700 |
| GS Mortgage-Backed Securities Trust 2025-NQM2 Series 2025-NQM2 Class A1, 5.648% 6/25/2065 (g)(o) |  | 3211349 | 3257557 |
| Gs Mortgage-Backed Securities Trust 2025-Pj6 Series 2025-PJ6 Class A5, 5.5% 11/25/2055 (g)(o) |  | 3128365 | 3159360 |
| Gs Mortgage-Backed Securities Trust 2025-Rpl3 Series 2025-RPL3 Class A1, 4.1% 7/25/2065 (o) |  | 1822383 | 1798857 |
| GS Mortgage-Backed Securities Trust 2026-DSC1 Series 2026-DSC1 Class A1, 4.725% 5/25/2066 (g)(o) |  | 2300000 | 2299501 |
| GS Mortgage-Backed Securities Trust Series 2022-NQM1 Class A4, 4% 5/25/2062 (g)(o) |  | 63456 | 59906 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (o)(p) |  | 6148853 | 6088149 |
| GS Mortgage-Backed Securities Trust Series 2025-DSC2 Class A1, 5.038% 1/25/2066 (o) |  | 151185 | 152220 |
| GS Mortgage-Backed Securities Trust Series 2025-NQM5 Class A1, 5.013% 7/25/2065 (o) |  | 268136 | 269606 |
| GSAMP Trust Series 2004-6F Class 2A4, 5.5% 5/25/2034  |  | 843 | 839 |
| GSAMP Trust Series 2004-6F Class 3A4, 6.5% 5/25/2034  |  | 1159 | 1185 |
| HarborView Mortgage Loan Trust Series 2005-1 Class 1A, CME Term SOFR 1 month Index + 0.7545%, 4.4205% 3/19/2035 (f)(g) |  | 74787 | 36827 |
| Home Equity Asset Trust Series 2005-11 Class 1A1, 6.5% 12/25/2035  |  | 189176 | 79696 |
| Home Re 2022-1 Ltd Series 2022-1 Class M1C, U.S. 30-Day Avg. SOFR Index + 5.5%, 9.1672% 10/25/2034 (f)(g)(o) |  | 382561 | 392859 |
| Homes Series 2025-NQM1 Class M1, 6.52% 1/25/2070 (g)(o) |  | 600000 | 610400 |
| Homes Trust Series 2024-NQM2 Class A1, 5.717% 10/25/2069 (o) |  | 4390644 | 4439475 |
| Homes Trust Series 2025-NQM2 Class A1, 5.425% 2/25/2070 (o) |  | 1996039 | 2014598 |
| HOMES Trust Series 2025-NQM5 Class A1, 5.027% 9/25/2070 (g)(o) |  | 428330 | 430712 |
| Impac CMB Trust Series 2004-10 Class 3A1, CME Term SOFR 1 month Index + 0.8145%, 4.4882% 3/25/2035 (f)(g) |  | 1775 | 1736 |
| Impac CMB Trust Series 2004-10 Class 3A2, CME Term SOFR 1 month Index + 0.9145%, 4.5882% 3/25/2035 (f) |  | 1160 | 1135 |
| Impac CMB Trust Series 2007-A Class A, CME Term SOFR 1 month Index + 0.6145%, 4.2882% 5/25/2037 (Assured Guaranty Inc Insured) (f)(g)(o) |  | 127650 | 122374 |
| Impac Secd Assets Corp Series 2006-3 Class A1, CME Term SOFR 1 month Index + 0.4545%, 4.1282% 11/25/2036 (f) |  | 251438 | 225425 |
| Indymac Index Mortgage Loan Trust Series 2003-A8 Class A1, 3.75% 10/25/18  |  | 232 | 213 |
| IndyMac INDX Mortgage Loan Trust 2006-AR41 Series 2006-AR41 Class A3, CME Term SOFR 1 month Index + 0.4745%, 4.1482% 2/25/2037 (f)(g) |  | 26631 | 25364 |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR35 Class 2A1A, CME Term SOFR 1 month Index + 0.4545%, 4.1282% 1/25/2037 (f)(g) |  | 19941 | 18793 |
| JP Morgan Mortgage Trust Series 2024-VIS2 Class B1, 7.6909% 11/25/2064 (g)(o) |  | 201000 | 206461 |
| JP Morgan Mortgage Trust Series 2025-VIS1 Class M1, 6.412% 8/25/2055 (o) |  | 220000 | 223805 |
| JP Morgan Mortgage Trust Series 2026-NQM1 Class A1LC, 4.925% 6/25/2066 (o) |  | 341000 | 343721 |
| JP Morgan Seasoned Mortgage Trust Series 2024-1 Class A3, 4.3332% 1/25/2063 (g)(o) |  | 3065840 | 3001850 |
| JPMorgan Mortgage Trust Series 2004-S1 Class 3A1, 5.5% 9/25/2034  |  | 447 | 437 |
| JPMorgan Mortgage Trust Series 2004-S2 Class 4A5, 6% 11/25/2034  |  | 4536 | 4320 |
| JPMorgan Mortgage Trust Series 2004-S2 Class 5A1, 5.5% 12/25/19  |  | 463 | 457 |
| JPMorgan Mortgage Trust Series 2006-A2 Class 4A1, 6.4504% 8/25/2034 (g) |  | 1248 | 1256 |
| JPMorgan Mortgage Trust Series 2006-A2 Class 5A3, 6.3055% 11/25/2033 (g) |  | 491 | 477 |
| JPMorgan Mortgage Trust Series 2023-HE3 Class A1, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2615% 5/20/2054 (f)(g)(o) |  | 173336 | 173937 |
| JPMorgan Mortgage Trust Series 2024-VIS1 Class A1, 5.99% 7/25/2064 (o) |  | 729943 | 737282 |
| JPMorgan Mortgage Trust Series 2024-VIS1 Class B2, 8.0504% 7/25/2064 (g)(o) |  | 163000 | 165673 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (g)(o) |  | 1457728 | 1475987 |
| Legacy Mortgage Asset Trust 2025-PR1 Series 2025-PR1 Class A1, 6% 1/25/2061 (o) |  | 7743105 | 7776940 |
| LHOME Mortgage Trust Series 2023-RTL4 Class A1, 7.628% 11/25/2028 (o)(p) |  | 1751481 | 1756081 |
| LHOME Mortgage Trust Series 2024-RTL4 Class A1, 5.921% 7/25/2039 (o)(p) |  | 1650000 | 1657050 |
| loanDepot GMSR Master Trust Series 2025-GT2 Class A, CME Term SOFR 1 month Index + 3.15%, 6.8141% 7/16/2030 (f)(g)(o) |  | 1900000 | 1922132 |
| MASTR Adjustable Rate Mortgages Trust Series 2004-13 Class 2A1, 6.2579% 4/21/2034 (g) |  | 313 | 308 |
| MASTR Alternative Loan Trust Series 2004-6 Class 6A1, 6.5% 7/25/2034  |  | 5776 | 5906 |
| MASTR Alternative Loan Trust Series 2004-6 Class 7A1, 6% 7/25/2034  |  | 4339 | 4372 |
| MASTR Resecuritization Trust Series 2005-PO Class 3PO, 0% 5/28/2035 (o)(s) |  | 208 | 162 |
| MASTR Specialized Loan Trust Series 2005-1 Class 1A3, 7% 8/25/2034 (o) |  | 925465 | 627645 |
| Merrill Lynch Mortgage Investors Trust Series 2004-C Class A2, CME Term SOFR 6 month Index + 1.0283%, 4.6326% 7/25/2029 (f)(g) |  | 442 | 431 |
| Merrill Lynch Mortgage Investors Trust Series 2004-D Class A3, 6.1079% 9/25/2029 (g) |  | 258 | 248 |
| Merrill Lynch Mortgage Investors Trust Series 2006-A2 Class 1A, CME Term SOFR 1 month Index + 0.4745%, 4.1482% 2/25/2036 (f) |  | 5043070 | 2664714 |
| Merrill Lynch Mortgage Investors Trust Series 2006-AF2 Class AV1, CME Term SOFR 1 month Index + 0.4345%, 4.1082% 9/25/2037 (f)(g) |  | 25491 | 13066 |
| MFA Trust Series 2024-NQM3 Class M1, 6.671% 12/25/2069 (g)(o) |  | 1470588 | 1510861 |
| MFRA Trust Series 2022-NQM1 Class M1, 4.3006% 12/25/2066 (g)(o) |  | 171000 | 161725 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (g)(o) |  | 3332394 | 3225482 |
| Morgan Stanley Capital I Trust Series 2004-3 Class 4A, 5.6309% 4/25/2034 (g) |  | 2222 | 2195 |
| Morgan Stanley Mortgage Loan Trust Series 2004-7AR Class 2A6, 5.3811% 9/25/2034 (g) |  | 551 | 541 |
| Morgan Stanley Resecuritization Trust Series 2015-R2 Class 1B, 12 month Average U.S. Treasury Maturity + 0.71%, 4.0133% 12/27/2046 (f)(g)(o) |  | 890447 | 818973 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (g)(o) |  | 1168083 | 1182048 |
| Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2 Series 2026-NQM2 Class A1, 4.734% 1/26/2071 (g)(o) |  | 428571 | 428835 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2014-1A Class B3, 5.8843% 6/25/2044 (g)(o) |  | 585474 | 587741 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2023-NQM1 Class B1, 7.3335% 9/25/2068 (g)(o) |  | 100000 | 100426 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2024-RPL1 Class A1, 4% 6/25/2064 (o) |  | 4996168 | 4918277 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-DSC2 Class A1, 5.443% 7/25/2070 (g)(o) |  | 1194683 | 1209744 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.738% 11/25/2069 (g)(o) |  | 466399 | 472125 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM1 Class M1, 6.496% 11/25/2069 (g)(o) |  | 128000 | 130143 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM10 Class A1, 5.119% 11/25/2070 (g)(o) |  | 4488250 | 4522965 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM3 Class A1, 5.261% 8/25/2070 (o) |  | 891572 | 898678 |
| Morgan Stanley Residential Mortgage Loan Trust Series 2025-NQM5 Class A1, 5.439% 7/25/2070 (o) |  | 3180647 | 3216828 |
| NACC Reperforming Loan REMIC Trust Series 2004-R2 Class A1, 6.5% 10/25/2034 (g)(o) |  | 1574 | 1371 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (o) |  | 1240789 | 1186450 |
| New Residential Mortgage Loan Trust Series 2024-NQM3 Class B1, 7.1444% 11/25/2064 (g)(o) |  | 259000 | 269716 |
| New Residential Mortgage Loan Trust Series 2024-RTL2 Class A1, 5.443% 9/25/2039 (o) |  | 2000000 | 2017751 |
| New Residential Mortgage Loan Trust Series 2025-NQM1 Class A1, 5.643% 1/25/2065 (g)(o) |  | 1180227 | 1203824 |
| New Residential Mortgage Loan Trust Series 2025-NQM1 Class M1, 6.472% 1/25/2065 (g)(o) |  | 322972 | 336271 |
| New Residential Mortgage Loan Trust Series 2025-NQM4 Class A1, 5.35% 7/25/2065 (o) |  | 402477 | 408879 |
| New Residential Mortgage Loan Trust Series 2025-NQM4 Class B1, 7.02% 7/25/2065 (g)(o) |  | 125000 | 130526 |
| New Residential Mortgage Loan Trust Series 2025-NQM5 Class A1, 5.109% 8/25/2065 (g)(o) |  | 253846 | 256403 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (g)(o) |  | 2721725 | 2731603 |
| NLT Trust Series 2025-INV1 Class A1, 5.506% 2/25/2070 (g)(o) |  | 5925421 | 5989167 |
| NLT Trust Series 2025-INV1 Class A2, 5.708% 2/25/2070 (o) |  | 664450 | 671046 |
| NLT Trust Series 2025-INV1 Class A3, 5.86% 2/25/2070 (o) |  | 1140114 | 1150865 |
| NLT Trust Series 2025-INV1 Class AIOS, 0.3988% 2/25/2070 (g)(o) |  | 9078019 | 62421 |
| NLT Trust Series 2025-INV1 Class B1, 6.5926% 2/25/2070 (g)(o) |  | 364000 | 363423 |
| NLT Trust Series 2025-INV1 Class B2, 6.5926% 2/25/2070 (g)(o) |  | 286000 | 279975 |
| NLT Trust Series 2025-INV1 Class B3, 6.5926% 2/25/2070 (g)(o) |  | 178987 | 165758 |
| NLT Trust Series 2025-INV1 Class M1, 6.314% 2/25/2070 (g)(o) |  | 519000 | 526519 |
| NLT Trust Series 2025-INV1 Class XS, 0.9008% 2/25/2070 (g)(o) |  | 9078019 | 152510 |
| NMLT Trust Series 2021-INV3 Class PT, 2.2769% 11/25/2056 (o) |  | 4541031 | 4368189 |
| Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1 Class 1A3, 6.408% 5/25/2036  |  | 2733034 | 508708 |
| Nrm Fht1 Excess Owner LLC Series 2025-FHT1 Class A, 6.545% 3/25/2032 (o)(p) |  | 3857344 | 3928401 |
| NRZT Series 2025-NQM6 Class A1, 5.085% 10/25/2065 (g)(o) |  | 605428 | 609037 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (o) |  | 2371305 | 2255393 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (o) |  | 1205907 | 1158434 |
| Nymt Loan Trust Series 2024-INV1 Class A1, 5.379% 6/25/2069 (o) |  | 2884344 | 2903662 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (o) |  | 6296757 | 6166327 |
| NYMT Loan Trust Series 2025-INV2 Class A1, 5% 10/25/2060 (g)(o) |  | 6694969 | 6733444 |
| NYMT Loan Trust Series 2026-INV1 Class A1, 4.766% 2/25/2061 (g)(o) |  | 420141 | 421094 |
| NYMT Loan Trust Series 2026-INV1 Class A1LC, 4.945% 2/25/2061 (o) |  | 167000 | 168488 |
| NYMT Loan Trust Series 2026-INV1 Class B1, 6.472% 2/25/2061 (o) |  | 320000 | 322706 |
| NYMT Trust Series 2024-RR1 Class A, 7.375% 5/25/2064 (o) |  | 310597 | 313172 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (o)(p) |  | 3191588 | 3214401 |
| OBX Trust Series 2021-NQM3 Class A1, 1.054% 7/25/2061 (o) |  | 9483430 | 8052535 |
| OBX Trust Series 2022-NQM7 Class A1, 5.11% 8/25/2062 (o)(p) |  | 3494541 | 3486966 |
| OBX Trust Series 2023-NQM8 Class A2, 7.248% 9/25/2063 (o) |  | 584516 | 589105 |
| OBX Trust Series 2024-HYB2 Class A1, 3.6947% 4/25/2053 (g)(o) |  | 345190 | 346818 |
| OBX Trust Series 2024-NQM2 Class A1, 5.878% 12/25/2063 (o) |  | 717390 | 721471 |
| OBX Trust Series 2024-NQM8 Class A1, 6.233% 5/25/2064 (o) |  | 1392041 | 1408675 |
| OBX Trust Series 2024-NQM9 Class A1, 6.03% 1/25/2064 (g)(o) |  | 2720280 | 2749917 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (o)(p) |  | 3418155 | 3455194 |
| OBX Trust Series 2025-NQM13 Class A1, 5.441% 5/25/2065 (o) |  | 5002091 | 5059294 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (g)(o) |  | 1786830 | 1792462 |
| OBX Trust Series 2025-NQM3 Class A1, 5.648% 12/1/2064 (g)(o) |  | 285013 | 288244 |
| OBX Trust Series 2025-NQM8 Class A1, 5.472% 3/25/2065 (g)(o) |  | 2220917 | 2245544 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (o) |  | 47500 | 47437 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (o) |  | 175560 | 173299 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (g)(o) |  | 1490941 | 1468054 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (g)(o) |  | 1172359 | 1136367 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (o) |  | 410230 | 410230 |
| Onslow Bay Mortgage Loan Trust Series 2021-NQM4 Class A2, 2.162% 10/25/2061 (g)(o) |  | 6499997 | 5743545 |
| OSS Mortgage Trust Series 2024-H6 Class A1, 5.129% 9/25/2069 (o) |  | 5828084 | 5846373 |
| PHH Mortgage Trust Series 2008-CIM2 Class 5A1, 6% 7/25/2038 (l) |  | 1140 | 997 |
| PMT Credit Risk Transfer Trust Series 2024-1R Class A, U.S. 30-Day Avg. SOFR Index + 3.5%, 7.1672% 5/25/2033 (f)(g)(o) |  | 6638800 | 6699808 |
| PMT Credit Risk Transfer Trust Series 2024-2R Class A, U.S. 30-Day Avg. SOFR Index + 3.35%, 7.0182% 3/29/2027 (f)(g)(o) |  | 4595677 | 4633760 |
| Pmt Loan Trust Series 2024-INV1 Class A3, 5.5% 10/25/2059 (o) |  | 4103371 | 4153701 |
| Preston Ridge Partners Mortgage Series 2025-RCF1 Class A1, 4.845% 1/25/2056 (g)(o) |  | 2600773 | 2623504 |
| Pret 2024-Rpl2 Tr Series 2024-RPL2 Class A1, 4.075% 6/25/2064 (g)(o) |  | 5158753 | 4995963 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (o)(p) |  | 2047121 | 2018859 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (o) |  | 1600593 | 1556424 |
| PRET Trust Series 2025-RPL1 Class A1, 4% 7/25/2069 (o) |  | 1989848 | 1956299 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (o) |  | 2734923 | 2687112 |
| Prime Mortgage Trust Series 2004-CL1 Class 1A1, 6% 2/25/2034  |  | 619 | 621 |
| PRKCM Trust Series 2023-AFC1 Class B1, 7.3795% 2/25/2058 (g)(o) |  | 757000 | 755290 |
| PRKCM Trust Series 2023-AFC3 Class A2, 6.987% 9/25/2058 (o) |  | 508739 | 511324 |
| PRMP Trust Series 2024-NQM3 Class A1, 5.228% 8/25/2069 (o) |  | 6352994 | 6379975 |
| PRPM Trust Series 2025-NQM5 Class A1A, 5.176% 10/25/2070 (o) |  | 381017 | 385195 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (g)(o) |  | 408115 | 410176 |
| Prpm 2025-Rpl2 LLC Series 2025-RPL2 Class A1, 3.75% 4/25/2055 (o) |  | 4684920 | 4595295 |
| PRPM LLC Series 2024-HOME1 Class A1, 6.431% 5/25/2059 (g)(o) |  | 1818512 | 1844702 |
| PRPM LLC Series 2024-NQM1 Class A1, 6.265% 12/25/2068 (o) |  | 303455 | 306478 |
| PRPM LLC Series 2024-NQM1 Class B1, 7.3864% 12/25/2068 (g)(o) |  | 224000 | 226562 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (o) |  | 938918 | 931780 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (o) |  | 3525641 | 3499315 |
| PRPM LLC Series 2024-RCF5 Class A1, 4% 8/25/2054 (o) |  | 1221294 | 1212118 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (g)(o) |  | 237546 | 235377 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (g)(o) |  | 312991 | 310441 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (g)(o) |  | 2815010 | 2757703 |
| PRPM LLC Series 2024-RPL3 Class A1, 4% 11/25/2054 (o) |  | 7585001 | 7477092 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (o) |  | 2023392 | 2026671 |
| PRPM LLC Series 2025-RPL1 Class A1, 4% 3/25/2055 (o) |  | 3037614 | 2994959 |
| PRPM LLC Series 2025-RPL1 Class A2, 4% 3/25/2055 (o) |  | 621000 | 605199 |
| PRPM LLC Series 2025-RPL1 Class A3, 4% 3/25/2055 (o) |  | 366000 | 354486 |
| PRPM LLC Series 2025-RPL1 Class M1A, 4% 3/25/2055 (o) |  | 357000 | 341728 |
| PRPM LLC Series 2025-RPL1 Class M1B, 4% 3/25/2055 (o) |  | 126000 | 119266 |
| PRPM Trust Series 2022-INV1 Class A2, 4.4121% 4/25/2067 (g)(o) |  | 572812 | 567751 |
| PRPM Trust Series 2024-NQM2 Class A1, 6.327% 6/25/2069 (g)(o) |  | 1993553 | 2025046 |
| PRPM Trust Series 2025-NQM1 Class A1, 5.802% 11/25/2069 (g)(o) |  | 1270106 | 1286002 |
| PRPM Trust Series 2025-NQM1 Class M1A, 6.645% 11/25/2069 (o)(p) |  | 662810 | 678225 |
| PRPM Trust Series 2025-NQM2 Class A1, 5.688% 4/25/2070 (o) |  | 1474918 | 1493825 |
| PRPM Trust Series 2025-NQM3 Class A1, 5.606% 5/25/2070 (g)(o) |  | 885908 | 897729 |
| PRPM Trust Series 2025-RCF1 Class A1, 4.5% 2/25/2055 (g)(o) |  | 796102 | 796355 |
| Radnor Re Ltd Series 2022-1 Class M1B, U.S. 30-Day Avg. SOFR Index + 6.75%, 10.4172% 9/25/2032 (f)(g)(o) |  | 242510 | 249950 |
| Rain City Mortgage Trust Series 2024-RTL1 Class A1, 6.53% 9/25/2029 (o) |  | 338000 | 341344 |
| Rckt Mortgage Trust 2025-Ces6 Series 2025-CES6 Class A1A, 5.472% 6/25/2055 (o) |  | 6003164 | 6065832 |
| RCKT Mortgage Trust Series 2024-CES9 Class A1A, 5.582% 12/25/2044 (o)(p) |  | 2440618 | 2463756 |
| RCKT Mortgage Trust Series 2025-CES1 Class A1A, 5.653% 1/25/2045 (o) |  | 2764803 | 2794656 |
| RCKT Trust Series 2024-CES7 Class A1A, 5.158% 10/25/2044 (g)(o) |  | 2352028 | 2359956 |
| Residential Accredit Loans Inc Trust Series 2007-QS8 Class A5, 6% 6/25/2037  |  | 673090 | 552800 |
| Residential Accredit Loans, Inc. Trust Series 2005-QS5 Class A4, 5.75% 4/25/2035  |  | 14733 | 13612 |
| Residential Accredit Loans, Inc. Trust Series 2006-QA10 Class A2, CME Term SOFR 1 month Index + 0.4745%, 4.1482% 12/25/2036 (f) |  | 86329 | 75519 |
| Residential Accredit Loans, Inc. Trust Series 2006-QS4 Class A4, 6% 4/25/2036  |  | 1112297 | 915488 |
| Residential Accredit Loans, Inc. Trust Series 2007-QS3 Class A5, 6.25% 2/25/2037  |  | 1799209 | 1477541 |
| Residential Asset Securitization Trust Series 2006-A14C Class 1A2, 6.25% 12/25/2036  |  | 918579 | 635748 |
| Residential Asset Securitization Trust Series 2007-A9 Class A1, CME Term SOFR 1 month Index + 0.6645%, 4.3382% 9/25/2037 (f)(g) |  | 2959151 | 705801 |
| Residential Asset Securitization Trust Series 2007-A9 Class A2, 6.3355% - CME Term SOFR 1 month Index 2.6618% 9/25/2037 (g)(t) |  | 2959140 | 415176 |
| Residential Mortgage Loan Trust Series 2019-2 Class B2, 6.037% 5/25/2059 (o) |  | 540000 | 536042 |
| Residential Mortgage Loan Trust Series 2019-3 Class B2, 5.664% 9/25/2059 (g)(o) |  | 136000 | 135232 |
| RFMSI Trust Series 2006-SA4 Class 2A1, 5.4298% 11/25/2036 (g) |  | 58929 | 49484 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (o) |  | 474972 | 450958 |
| Roc Mortgage Trus Series 2025-RTL1 Class A1, 5.625% 2/25/2040 (o)(p) |  | 1700000 | 1711090 |
| Rocket Mortgage Trust Series 2024-CES5 Class A1A, 5.846% 8/25/2044 (o)(p) |  | 926444 | 935346 |
| Rocket Mortgage Trust Series 2024-CES8 Class A1A, 5.4896% 11/25/2044 (o)(p) |  | 2568532 | 2587781 |
| Saco I, Inc. Series 1997-2 Class 1A5, 7% 8/25/2036 (l)(o) |  | 207 | 189 |
| Saluda Grade Alternative Mortgage Trust Series 2024-RTL4 Class A1, 7.5% 2/25/2030 (g)(o) |  | 16541 | 16552 |
| Saluda Grade Alternative Mortgage Trust Series 2024-RTL5 Class A1, 7.762% 4/25/2030 (o)(p) |  | 233000 | 233867 |
| Santander Mortgage Asset Receivable Trust 2025-Nqm2 Series 2025-NQM2 Class A1, 5.732% 2/25/2065 (g)(o) |  | 256755 | 260193 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM1 Class A1, 4.947% 11/25/2065 (g)(o) |  | 215573 | 216554 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM1 Class A1, 5.545% 1/25/2065 (g)(o) |  | 1658890 | 1675373 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM5 Class A1, 5.067% 8/25/2065 (g)(o) |  | 5883080 | 5917491 |
| Santander Mortgage Asset Receivable Trust Series 2025-NQM6 Class A1, 5.138% 11/25/2065 (g)(o) |  | 306319 | 308532 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class B1, 7.2196% 5/25/2065 (g)(o) |  | 1000000 | 1017956 |
| Seasoned Loans Structured Transaction Series 2018-1 Series 2025-1 Class A1, 3% 5/25/2035  |  | 4106405 | 3845112 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (f)(g) |  | 480 | 451 |
| Sequoia Mortgage Trust Series 2004-8 Class A2, CME Term SOFR 6 month Index + 1.1683%, 4.7627% 9/20/2034 (f)(g) |  | 2517 | 2375 |
| Sequoia Mortgage Trust Series 2007-3 Class 2AA1, 4.3874% 7/20/2037 (g) |  | 353925 | 278675 |
| Sequoia Mortgage Trust Series 2024-HYB1 Class A1A, 4.4749% 11/25/2063 (g)(o) |  | 6160717 | 6236861 |
| Sequoia Mortgage Trust Series 2025-2 Class A5, 5.5% 3/25/2055 (g)(o) |  | 1365773 | 1375206 |
| Sg Residential Mortgage Trust 2021-1 Series 2021-1 Class A1, 1.16% 7/25/2061 (o) |  | 452185 | 384018 |
| SG Residential Mortgage Trust 2026-1 Series 2026-1 Class A1, 4.782% 1/25/2066 (g)(o) |  | 833000 | 833649 |
| SG Residential Mortgage Trust Series 2022-2 Class B1, 5.2585% 8/25/2062 (g)(o) |  | 104000 | 103143 |
| SG Residential Mortgage Trust Series 2022-2 Class M1, 5.2663% 8/25/2062 (g)(o) |  | 485000 | 483063 |
| SGR Residential Mortgage Trust Series 2025-1 Class A1, 5.098% 12/25/2065 (g)(o) |  | 494355 | 497114 |
| SGR Residential Mortgage Trust Series 2025-1 Class ALCF, 5.231% 12/25/2065 (o) |  | 433000 | 437746 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-14 Class 1A, 5.23% 10/25/2034 (g) |  | 444 | 435 |
| Structured Adjustable Rate Mortgage Loan Trust Series 2007-6 Class 3A1, 4.2627% 7/25/2037 (g) |  | 1267070 | 795560 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-26A Class 3A5, 5.4758% 9/25/2033 (g) |  | 5284 | 5085 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-37A Class 1A, 5.5029% 12/25/2033 (g) |  | 9969 | 9544 |
| Structured Asset Securities Corp Mortgage Loan Trust Series 2003-37A Class 2A, 5.4370% 12/25/2033 (g) |  | 758 | 715 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.4282% 9/25/2043 (f)(g) |  | 665671 | 647238 |
| TMX 10Y Canadian Bond Contracts (Canada) (f)(g) |  | 575 | 575 |
| Toorak Mortgage Corp Ltd Series 2021-INV1 Class B1, 3.287% 7/25/2056 (o) |  | 100000 | 86682 |
| Toorak Mortgage Trust Series 2024-2 Class A1, 6.329% 10/25/2031 (o) |  | 252000 | 252808 |
| Towd Point Mortgage Trust Series 2016-1 Class B2, 4.3696% 2/25/2055 (g)(o) |  | 500000 | 495872 |
| Towd Point Mortgage Trust Series 2017-FRE2 Class M6, 4% 11/25/2047 (o)(p) |  | 30023 | 29882 |
| Towd Point Mortgage Trust Series 2021-R1 Class A1, 2.9181% 11/30/2060 (g)(o) |  | 983029 | 909319 |
| Towd Point Mortgage Trust Series 2021-R1 Class A2C, 3.3072% 11/30/2060 (g)(o) |  | 877659 | 797396 |
| Towd Point Mortgage Trust Series 2021-SJ2 Class A2, 2.5% 12/25/2061 (o) |  | 1500000 | 1413532 |
| Towd Point Mortgage Trust Series 2024-3 Class A1A, 5.0373% 7/25/2065 (g)(o) |  | 2898573 | 2959317 |
| Towd Point Mortgage Trust Series 2024-4 Class A1A, 4.593% 10/27/2064 (g)(o) |  | 10983138 | 11179598 |
| Towd Point Mortgage Trust Series 2024-5 Class A1A, 4.5964% 10/25/2064 (g)(o) |  | 12733736 | 13019288 |
| TRK Trust Series 2021-INV2 Class B1, 4.104% 11/25/2056 (o) |  | 148000 | 128938 |
| Vendee Mortgage Trust Series 1996-2 Class 1Z, 6.75% 6/15/2026  |  | 308 | 308 |
| Vendee Mortgage Trust Series 1998-1 Class 2E, 7% 3/15/2028  |  | 2899 | 2921 |
| Vendee Mortgage Trust Series 1999-1 Class 2Z, 6.5% 1/15/2029  |  | 543 | 547 |
| Versus Securitization Trust Series 2026-1 Class A1FC, 4.743% 1/25/2071 (o)(p) |  | 396241 | 396812 |
| Versus Securitization Trust Series 2026-1 Class A1LC, 5.02% 1/25/2071 (o) |  | 136477 | 137997 |
| Versus Securitization Trust Series 2026-R1 Class A1FC, 4.675% 10/25/2067 (g)(o) |  | 5431157 | 5447934 |
| Versus Securitization Trust Series 2026-R1 Class A1LC, 4.943% 10/25/2067 (o) |  | 362000 | 365294 |
| Verus Securitization Tr 2021-8 Series 2021-8 Class A1, 2.824% 11/25/2066 (o) |  | 287357 | 269999 |
| Verus Securitization Trust 2026-2 Series 2026-2 Class A1FC, 4.507% 2/25/2071 (o)(p) |  | 3500000 | 3501267 |
| Verus Securitization Trust 2026-2 Series 2026-2 Class A1LC, 4.751% 2/25/2071 (o) |  | 564684 | 568292 |
| Verus Securitization Trust Series 2021-3 Class B1, 3.203% 6/25/2066 (o) |  | 100000 | 79778 |
| Verus Securitization Trust Series 2022-3 Class B1, 4.0459% 2/25/2067 (g)(o) |  | 158000 | 135354 |
| Verus Securitization Trust Series 2023-2 Class A1, 6.193% 3/25/2068 (g)(o) |  | 228151 | 227691 |
| Verus Securitization Trust Series 2023-2 Class B1, 7.3816% 3/25/2068 (g)(o) |  | 676000 | 674037 |
| Verus Securitization Trust Series 2023-3 Class B1, 7.6883% 3/25/2068 (g)(o) |  | 1210000 | 1207564 |
| Verus Securitization Trust Series 2024-4 Class A1, 6.218% 6/25/2069 (o)(p) |  | 907703 | 918236 |
| Verus Securitization Trust Series 2024-5 Class A1, 6.192% 6/25/2069 (o) |  | 2321555 | 2350849 |
| Verus Securitization Trust Series 2024-7 Class B1, 6.496% 9/25/2069 (o) |  | 299000 | 303024 |
| Verus Securitization Trust Series 2024-R1 Class A1, 5.218% 9/25/2069 (g)(o) |  | 7256181 | 7323447 |
| Verus Securitization Trust Series 2025-12 Class A1LC, 5.11% 12/25/2070 (o) |  | 248422 | 251668 |
| Verus Securitization Trust Series 2025-2 Class A1, 5.307% 3/25/2070 (o) |  | 3334314 | 3358731 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (o) |  | 835406 | 844105 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (g)(o) |  | 2484759 | 2510221 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (o)(p) |  | 3615667 | 3654956 |
| Visio Trust Series 2022-1 Class B1, 6.001% 8/25/2057 (g)(o) |  | 200000 | 199706 |
| Vista Point Securitization Trust Series 2020-2 Class B2, 5.16% 4/25/2065 (o) |  | 357200 | 351437 |
| Wachovia Mortgage Loan Trust Series 2006-AMN1 Class A2, CME Term SOFR 1 month Index + 0.4145%, 4.0882% 8/25/2036 (f) |  | 2585390 | 851723 |
| WaMu Mortgage MSC Pass Through Certificates Series 2004-RA1 Class 2A, 7% 3/25/2034  |  | 1940 | 1968 |
| WaMu Mortgage MSC Pass Through Certificates Series 2005-4 Class CB7, 5.5% 6/25/2035  |  | 5660 | 5316 |
| WaMu Mortgage MSC Pass Through Certificates Series 2005-AR1 Class A1A, 4.3082% 12/25/2035 (g) |  | 397033 | 346444 |
| WaMu Mortgage MSC Pass Through Certificates Series 2006-2 Class 3CB, 6% 3/25/2036  |  | 1004642 | 811343 |
| WaMu Mortgage Pass Through Certificates Series 2003-AR8 Class A, 5.2296% 8/25/2033 (g) |  | 1236 | 1183 |
| WaMu Mortgage Pass Through Certificates Series 2003-AR9 Class 1A6, 5.4179% 9/25/2033 (g) |  | 945 | 889 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR11 Class A, 0% 10/25/2034 (g) |  | 2446 | 2264 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR3 Class A1, 5.3576% 6/25/2034 (g) |  | 363 | 340 |
| WaMu Mortgage Pass Through Certificates Series 2004-AR3 Class A2, 5.3576% 6/25/2034 (g) |  | 3353 | 3103 |
| WaMu Mortgage Pass Through Certificates Series 2004-S2 Class 2A4, 5.5% 6/25/2034  |  | 2709 | 2562 |
| WaMu Mortgage Pass Through Certificates Series 2005-AR2 Class 2A1B, CME Term SOFR 1 month Index + 0.8545%, 4.5282% 1/25/2045 (f) |  | 611568 | 608563 |
| WaMu Mortgage Pass Through Certificates Series 2005-AR2 Class 2A21, CME Term SOFR 1 month Index + 0.7745%, 4.4482% 1/25/2045 (f)(g) |  | 290 | 288 |
| WaMu Mortgage Pass Through Certificates Series 2006-4 Class 3A1, 7% 5/25/2036 (p) |  | 145873 | 133864 |
| WaMu Mortgage Pass Through Certificates Series 2006-7 Class A1A, 6.586% 9/25/2036 (p) |  | 614371 | 164990 |
| WaMu Mortgage Pass Through Certificates Series 2006-7 Class A1B, CME Term SOFR 1 month Index + 0.2745%, 3.9482% 9/25/2036 (f) |  | 1904448 | 514542 |
| WaMu Mortgage Pass Through Certificates Series 2006-8 Class A4, 6.5% 10/25/2036 (p) |  | 230984 | 80640 |
| WaMu Mortgage Pass Through Certificates Series 2007-HY3 Class 4A1, 4.9519% 3/25/2037 (g) |  | 1071 | 991 |
| WaMu Mortgage Pass Through Certificates Series 2007-HY4 Class 1A1, 3.6668% 4/25/2037 (g) |  | 969613 | 891216 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA1 Class 2A, 12 month Average U.S. Treasury Maturity + 0.72%, 4.6351% 12/25/2046 (f)(g) |  | 12061 | 10766 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA2 Class 2A, 12 month Average U.S. Treasury Maturity + 0.7%, 4.6151% 1/25/2047 (f)(g) |  | 500018 | 427731 |
| WaMu Mortgage Pass Through Certificates Series 2007-OA5 Class 1A, 12 month Average U.S. Treasury Maturity + 0.75%, 4.6651% 6/25/2047 (f)(g) |  | 231763 | 186932 |
| WaMu Mortgage Pass Through Certificates Series 2007-OC2 Class A3, CME Term SOFR 1 month Index + 0.7345%, 4.4082% 6/25/2037 (f) |  | 32272 | 31080 |
| Wells Fargo Mortgage Backed Securities Trust Series 2004-K Class 1A2, 6.49% 7/25/2034 (g) |  | 578 | 579 |
| Wells Fargo Mortgage Backed Securities Trust Series 2004-U Class A1, 6.6893% 10/25/2034 (g) |  | 1387 | 1366 |
| TOTAL UNITED STATES |  |  | 1031023925 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $1,033,421,037) |  |  | <br> **1041533858** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 3.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 3.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| BX Commercial Mortgage Trust Series 2024-PURE Class A, Canadian Overnight Repo Rate + 1.9%, 4.1751% 11/15/2041 (f)(g)(o) | CAD | 68106 | 50272 |
| IRELAND - 0.0%  |  |  |  |
| Caister Finance Dac Series 2025-1A Class C, SONIA Overnight Deposit Rates SWAP + 2.84%, 6.5842% 8/17/2035 (f)(g)(o) | GBP | 1500000 | 2024452 |
| DBMS DAC Series 2025-1X Class C, SONIA Overnight Deposit Rates SWAP + 1.8%, 5.5365% 2/18/2036 (f)(g)(q) | GBP | 100000 | 135027 |
| Last Mile Logistics Pan Euro Finance DAC Series 2021-1X Class E, 3 month EURIBOR + 2.7%, 4.699% 8/17/2033 (f)(g)(q) | EUR | 174710 | 206151 |
| Sirius Logistics Series 2026-1A Class C, SONIA Overnight Deposit Rates SWAP + 1.75%, 5.4972% 11/17/2035 (f)(g)(o) | GBP | 1500000 | 2021239 |
| Taurs Series 2025-UK2X Class B, SONIA Overnight Deposit Rates SWAP + 2%, 5.7296% 2/18/2035 (f)(g)(q) | GBP | 111616 | 150667 |
| Taurus 2025-4 UK DAC Series 2025-UK4 Class B, SONIA Overnight Deposit Rates SWAP + 1.6%, 5.3286% 8/18/2035 (f)(g)(q) | GBP | 100000 | 134757 |
| Taurus 2025-4 UK DAC Series 2025-UK4 Class C, SONIA Overnight Deposit Rates SWAP + 1.95%, 5.6786% 8/18/2035 (f)(g)(q) | GBP | 100000 | 134756 |
| Thunder Logistics Series 2024-1X Class B, 3 month EURIBOR + 2.05%, 4.049% 11/17/2036 (f)(g)(q) | EUR | 62708 | 74223 |
| UK Logistics DAC Series 2025-2X Class B, SONIA Overnight Deposit Rates SWAP + 1.65%, 5.3952% 8/17/2035 (f)(g)(q) | GBP | 130911 | 176411 |
| UK Logistics Series 2024-1X Class A, SONIA Overnight Deposit Rates SWAP + 1.65%, 5.3952% 5/17/2034 (f)(g)(q) | GBP | 60989 | 82344 |
| TOTAL IRELAND |  |  | 5140027 |
| LUXEMBOURG - 0.0%  |  |  |  |
| SV Vanir Logistics Finance Sarl Series 2025-1X Class C, 3 month EURIBOR + 1.9%, 0% 7/23/2037 (f)(g)(q) | EUR | 100000 | 118229 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Sage AR Funding No 1 PLC Series 2025-1X Class C, SONIA Overnight Deposit Rates SWAP + 2.4%, 6.1444% 5/17/2037 (f)(g)(q) | GBP | 117497 | 159218 |
| Sage AR Funding No 1 PLC Series 2025-1X Class D, SONIA Overnight Deposit Rates SWAP + 3.9%, 7.6444% 5/17/2037 (f)(g)(q) | GBP | 101960 | 138138 |
| Sage AR Funding Series 2026-1X Class C, SONIA Overnight Deposit Rates SWAP + 1.75%, 5.4792% 5/18/2038 (f)(q) | GBP | 417000 | 561970 |
| Sage AR Funding Series 2026-1X, SONIA Overnight Deposit Rates SWAP + 0%, 6.2292% 5/18/2038 (f)(g)(q) | GBP | 178000 | 239882 |
| Together Asset Backed Securitisation PLC Series 2025-CRE1 Class B, SONIA Overnight Deposit Rates SWAP + 1.5%, 5.2325% 1/15/2057 (f)(g)(q) | GBP | 100000 | 135742 |
| UK Logistics Dac Series 2024-2A Class C, SONIA Overnight Deposit Rates SWAP + 2.1%, 5.8452% 2/17/2035 (f)(g)(o) | GBP | 1530768 | 2081151 |
| TOTAL UNITED KINGDOM |  |  | 3316101 |
| UNITED STATES - 3.0%  |  |  |  |
| 1345 Trust Series 2025-AOA Class A, CME Term SOFR 1 month Index + 1.6%, 5.2597% 6/15/2042 (f)(g)(o) |  | 397000 | 397833 |
| 1345 Trust Series 2025-AOA Class E, CME Term SOFR 1 month Index + 4.5%, 8.1597% 6/15/2042 (f)(g)(o) |  | 346000 | 347140 |
| 20 Times Square Trust Series 2018-20TS Class F, 3.0999% 5/15/2035 (g)(o) |  | 3016196 | 2714576 |
| 2023-MIC Trust/THE Series 2023-MIC Class A, 8.4366% 12/5/2038 (g)(o) |  | 82000 | 88713 |
| 245 Park Avenue Trust Series 2017-245P Class E, 3.6574% 6/5/2037 (g)(o) |  | 1008000 | 970888 |
| 280 Park Avenue Mortgage Trust Series 2017-280P Class A, CME Term SOFR 1 month Index + 0.88%, 4.849% 9/15/2034 (f)(g)(o) |  | 104000 | 103610 |
| 280 Park Avenue Mortgage Trust Series 2017-280P Class E, CME Term SOFR 1 month Index + 2.4189%, 6.0879% 9/15/2034 (f)(o) |  | 154796 | 152861 |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A4, 2.253% 11/15/2054  |  | 4200000 | 3797295 |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A5, 2.522% 11/15/2054  |  | 1000000 | 901932 |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (f)(g)(o) |  | 5703000 | 5731612 |
| ALA Trust Series 2025-OANA Class D, CME Term SOFR 1 month Index + 3.0907%, 6.7507% 6/15/2040 (f)(g)(o) |  | 254000 | 255270 |
| AOA Mortgage Trust Series 2025-1301 Class A, 5.0587% 8/11/2042 (g)(o) |  | 155000 | 158720 |
| AOA Mortgage Trust Series 2025-1301 Class E, 7.237% 8/11/2042 (g)(o) |  | 108000 | 113130 |
| AOA Mortgage Trust Series 2025-1301 Class F, 8.1033% 8/11/2042 (g)(o) |  | 937000 | 990539 |
| Arbor Multifamily Mortgage Securities Trust Series 2021-MF3 Class A5, 2.5747% 10/15/2054 (o) |  | 440000 | 404253 |
| Ares Commercial Mortgage Trust Series 2024-IND Class A, CME Term SOFR 1 month Index + 1.6916%, 5.3513% 7/15/2041 (f)(g)(o) |  | 430000 | 430398 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class A, CME Term SOFR 1 month Index + 1.25%, 4.95% 2/15/2043 (f)(g)(o) |  | 540000 | 540168 |
| Ares Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.443%, 5.1027% 10/15/2034 (f)(g)(o) |  | 680000 | 680192 |
| Atrium Hotel Portfolio Trust Series 2017-ATRM Class A, CME Term SOFR 1 month Index + 1.227%, 4.887% 12/15/2036 (f)(g)(o) |  | 2312062 | 2286051 |
| Atrium Hotel Portfolio Trust Series 2024-ATRM Class A, 5.5895% 11/10/2029 (g)(o) |  | 410000 | 421428 |
| Atrium Hotel Portfolio Trust Series 2024-ATRM Class E, 9.5201% 11/10/2029 (g)(o) |  | 84000 | 86671 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class A, CME Term SOFR 1 month Index + 1.65%, 5.3097% 8/15/2042 (f)(g)(o) |  | 209000 | 209423 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class F, CME Term SOFR 1 month Index + 5.5%, 9.1597% 8/15/2042 (f)(g)(o) |  | 447000 | 445827 |
| Atrium Hotel Portfolio Trust Series 2025-ATRM Class G, CME Term SOFR 1 month Index + 6.75%, 10.4097% 8/15/2042 (f)(g)(o) |  | 83000 | 82787 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (o) |  | 3623131 | 3505478 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (o) |  | 752000 | 717661 |
| BAMLL Re-REMIC Trust Series 2024-FRR2 Class C, 1.2152% 7/27/2050 (g)(o) |  | 6500000 | 6128783 |
| BAMLL Re-REMIC Trust Series 2024-FRR2 Class D, 1.2131% 7/27/2050 (g)(o) |  | 4000000 | 3714647 |
| BAMLL Re-REMIC Trust Series 2024-FRR3 Class D, 0.5525% 1/27/2050 (g)(o) |  | 3000000 | 2820637 |
| Bamll Series 2024-BHP Class A, CME Term SOFR 1 month Index + 2.35%, 6.0097% 8/15/2039 (f)(g)(o) |  | 280000 | 281202 |
| BAMLL Trust Series 2025-ASHF Class A, CME Term SOFR 1 month Index + 1.85%, 5.531% 2/15/2042 (f)(g)(o) |  | 746000 | 746092 |
| BAMLL Trust Series 2025-ASHF Class E, CME Term SOFR 1 month Index + 5.25%, 8.931% 2/15/2042 (f)(g)(o) |  | 300000 | 300076 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  |  | 56182 | 55987 |
| BANK Series 2019-BN19 Class A3, 3.183% 8/15/2061  |  | 292553 | 280877 |
| BANK Series 2019-BN21 Class A4, 2.6% 10/17/2052  |  | 3698123 | 3539417 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  |  | 838000 | 802676 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  |  | 306196 | 299999 |
| BANK Series 2020-BN25 Class XB, 0.4361% 1/15/2063 (g)(t) |  | 5200000 | 86732 |
| BANK Series 2020-BN28 Class A3, 1.584% 3/15/2063  |  | 8715000 | 7878218 |
| BANK Series 2021-BN31 Class XB, 0.8674% 2/15/2054 (g)(t) |  | 7000000 | 238031 |
| BANK Series 2021-BN32 Class A4, 2.349% 4/15/2054  |  | 20000000 | 18560288 |
| BANK Series 2021-BN33 Class A4, 2.27% 5/15/2064  |  | 9000000 | 8277964 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (g)(t) |  | 13144922 | 472313 |
| BANK Series 2021-BN34 Class XB, 0.5094% 6/15/2063 (g)(t) |  | 171794000 | 3978388 |
| BANK Series 2021-BN35 Class C, 2.902% 6/15/2064  |  | 123000 | 106307 |
| BANK Series 2022-BNK44 Class A5, 5.7432% 11/15/2055 (g) |  | 1700000 | 1834798 |
| BANK Series 2023-BNK46 Class A4, 5.745% 8/15/2056  |  | 2500000 | 2691493 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (g)(t) |  | 8800000 | 251726 |
| BANK5 Series 2026-5YR20 Class A3, 5.104% 2/15/2059  |  | 2900000 | 3010111 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (o) |  | 4796000 | 4802574 |
| Bay 2025-Livn Mortgage Trust Series 2025-LIVN Class A, CME Term SOFR 1 month Index + 1.8%, 5.46% 5/15/2035 (f)(g)(o) |  | 1123000 | 1122464 |
| Bayview Commercial Asset Trust Series 2005-3A Class A2, CME Term SOFR 1 month Index + 0.7145%, 4.4462% 11/25/2035 (f)(g)(o) |  | 9439 | 9367 |
| Bayview Commercial Asset Trust Series 2005-4A Class A2, CME Term SOFR 1 month Index + 0.6995%, 4.4312% 1/25/2036 (f)(g)(o) |  | 22479 | 21626 |
| Bayview Commercial Asset Trust Series 2005-4A Class M1, CME Term SOFR 1 month Index + 0.7895%, 4.5212% 1/25/2036 (f)(g)(o) |  | 7354 | 7082 |
| Bayview Commercial Asset Trust Series 2006-4A Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.1932% 12/25/2036 (f)(g)(o) |  | 47559 | 45767 |
| Bayview Commercial Asset Trust Series 2007-1 Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.1932% 3/25/2037 (f)(g)(o) |  | 11875 | 11446 |
| Bayview Commercial Asset Trust Series 2007-2A Class A1, CME Term SOFR 1 month Index + 0.3845%, 4.1932% 7/25/2037 (f)(g)(o) |  | 40542 | 38280 |
| Bayview Commercial Asset Trust Series 2007-2A Class A2, CME Term SOFR 1 month Index + 0.4345%, 4.2682% 7/25/2037 (f)(g)(o) |  | 37444 | 34638 |
| Bayview Commercial Asset Trust Series 2007-2A Class M1, CME Term SOFR 1 month Index + 0.4845%, 4.3432% 7/25/2037 (f)(g)(o) |  | 12745 | 11588 |
| Bayview Commercial Asset Trust Series 2007-3 Class A2, CME Term SOFR 1 month Index + 0.5495%, 4.2232% 7/25/2037 (f)(g)(o) |  | 13406 | 12836 |
| Bayview Commercial Asset Trust Series 2007-3 Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.2532% 7/25/2037 (f)(g)(o) |  | 7105 | 6583 |
| Bayview Commercial Asset Trust Series 2007-3 Class M2, CME Term SOFR 1 month Index + 0.6245%, 4.2982% 7/25/2037 (f)(g)(o) |  | 7599 | 6972 |
| Bayview Commercial Asset Trust Series 2007-3 Class M3, CME Term SOFR 1 month Index + 0.6695%, 4.3432% 7/25/2037 (f)(g)(o) |  | 12171 | 11392 |
| Bayview Commercial Asset Trust Series 2007-3 Class M4, CME Term SOFR 1 month Index + 0.8645%, 4.5382% 7/25/2037 (f)(g)(o) |  | 19214 | 17954 |
| Bayview Commercial Asset Trust Series 2007-3 Class M5, CME Term SOFR 1 month Index + 1.0145%, 4.6882% 7/25/2037 (f)(g)(l)(o) |  | 14929 | 14812 |
| BBCCRE Trust Series 2015-GTP Class A, 3.966% 8/10/2033 (o) |  | 274000 | 259398 |
| BBCMS Mortgage Trust Series 2016-ETC Class E, 3.6089% 8/14/2036 (g)(o) |  | 4500000 | 4305450 |
| BBCMS Mortgage Trust Series 2018-TALL Class A, CME Term SOFR 1 month Index + 0.872%, 4.579% 3/15/2037 (f)(g)(o) |  | 525000 | 504336 |
| BBCMS Mortgage Trust Series 2019-C4 Class A4, 2.661% 8/15/2052  |  | 3471290 | 3341854 |
| BBCMS Mortgage Trust Series 2021-C9 Class A4, 2.021% 2/15/2054  |  | 9754302 | 8890686 |
| BBCMS Mortgage Trust Series 2022-C17 Class A5, 4.441% 9/15/2055  |  | 18000 | 18067 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2961% 9/15/2056 (g) |  | 1600000 | 1721553 |
| BBCMS Mortgage Trust Series 2024-5C29 Class XB, 0.9934% 9/15/2057 (g)(t) |  | 147436000 | 4939327 |
| BBCMS Mortgage Trust Series 2024-C26 Class A5, 5.829% 5/15/2057  |  | 26000 | 28215 |
| BBCMS Mortgage Trust Series 2024-C30 Class A5, 5.532% 11/15/2057  |  | 13000 | 13902 |
| BBCMS Mortgage Trust Series 2025-C35 Class AS, 5.843% 7/15/2058  |  | 101000 | 107681 |
| BBCMS Mortgage Trust Series 2025-C35 Class D, 4.5% 7/15/2058 (o) |  | 111000 | 88128 |
| BBCMS Mortgage Trust Series 2025-C39 Class A5, 5.2969% 12/15/2058  |  | 11000 | 11556 |
| Benchmark Mortgage Trust Series 2018-B2 Class A4, 3.6147% 2/15/2051  |  | 3500000 | 3469585 |
| Benchmark Mortgage Trust Series 2018-B4 Class A2, 3.976% 7/15/2051  |  | 1329750 | 1322268 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  |  | 949000 | 948597 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  |  | 2373000 | 2341566 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0157% 8/15/2052 (g)(t) |  | 34477112 | 823631 |
| Benchmark Mortgage Trust Series 2019-B13 Class A4, 2.952% 8/15/2057  |  | 7629000 | 7315095 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (g)(t) |  | 19577334 | 372138 |
| Benchmark Mortgage Trust Series 2020-B16 Class A4, 2.483% 2/15/2053  |  | 3200000 | 3022501 |
| Benchmark Mortgage Trust Series 2020-B18 Class A4, 1.672% 7/15/2053  |  | 10000000 | 9039020 |
| Benchmark Mortgage Trust Series 2020-B19 Class A3, 1.787% 9/15/2053  |  | 5800000 | 5675050 |
| Benchmark Mortgage Trust Series 2020-B19 Class A4, 1.546% 9/15/2053  |  | 12500000 | 11541530 |
| Benchmark Mortgage Trust Series 2020-B19 Class A5, 1.85% 9/15/2053  |  | 1900000 | 1717383 |
| Benchmark Mortgage Trust Series 2020-B21 Class A5, 1.9775% 12/17/2053  |  | 69000 | 62301 |
| Benchmark Mortgage Trust Series 2020-B22 Class A4, 1.685% 1/15/2054  |  | 3175000 | 2893320 |
| Benchmark Mortgage Trust Series 2021-B23 Class A4A1, 1.823% 2/15/2054  |  | 2000000 | 1783723 |
| Benchmark Mortgage Trust Series 2021-B24 Class A4, 2.2638% 3/15/2054  |  | 5800000 | 5326839 |
| Benchmark Mortgage Trust Series 2021-B26 Class A4, 2.295% 6/15/2054  |  | 8800000 | 8101565 |
| Benchmark Mortgage Trust Series 2023-V2 Class A3, 5.8118% 5/15/2055  |  | 13000000 | 13436704 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  |  | 4400000 | 4598280 |
| Benchmark Mortgage Trust Series 2025-V14 Class A4, 5.6599% 4/15/2057  |  | 11710000 | 12350639 |
| Benchmark Mortgage Trust Series 2025-V18 Class XB, 0.4196% 10/15/2058 (g)(o)(t) |  | 28892000 | 554726 |
| Benchmark Mortgage Trust Series 2025-V19 Class A3, 5.249% 1/15/2058 (g) |  | 10600000 | 11074080 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  |  | 3000000 | 3129496 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class A, CME Term SOFR 1 month Index + 1.4925%, 5.1522% 11/15/2041 (f)(g)(o) |  | 210000 | 210066 |
| BFLD Commercial Mortgage Trust Series 2024-UNIV Class E, CME Term SOFR 1 month Index + 3.6395%, 7.2992% 11/15/2041 (f)(g)(o) |  | 134000 | 134335 |
| BFLD Commercial Mortgage Trust Series 2025-5MW Class A, 4.6742% 10/10/2042 (g)(o) |  | 161000 | 162816 |
| BFLD Commercial Mortgage Trust Series 2025-5MW Class E, 7.9126% 10/10/2042 (g)(o) |  | 15000 | 15826 |
| BFLD Commercial Mortgage Trust Series 2025-660F Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 11/15/2042 (f)(g)(o) |  | 614000 | 615151 |
| BFLD Commercial Mortgage Trust Series 2025-660F Class D, CME Term SOFR 1 month Index + 2.75%, 6.4097% 11/15/2042 (f)(g)(o) |  | 68000 | 68170 |
| BFLD Trust Series 2024-VICT Class A, CME Term SOFR 1 month Index + 1.89%, 5.5497% 7/15/2041 (f)(g)(o) |  | 2906000 | 2909646 |
| BFLD Trust Series 2024-WRHS Class A, CME Term SOFR 1 month Index + 1.4921%, 5.1518% 7/15/2039 (f)(g)(o) |  | 834297 | 834558 |
| BFLD Trust Series 2025-EWEST Class A, CME Term SOFR 1 month Index + 1.55%, 5.2097% 6/15/2042 (f)(g)(o) |  | 734000 | 735084 |
| BHMS Commercial Mortgage Trust Series 2025-ATLS Class A, CME Term SOFR 1 month Index + 1.85%, 5.5097% 8/15/2042 (f)(g)(o) |  | 625000 | 628911 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 9/15/2026 (f)(g)(o) |  | 8921000 | 8865908 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (f)(g)(o) |  | 2569968 | 2569968 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 5B13, 2.1595% 5/25/2052 (g)(o) |  | 4000000 | 3634013 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 5D1, 0% 5/25/2052 (o)(s) |  | 4000000 | 3122298 |
| BMD2 Re-Remic Trust Series 2019-FRR1 Class 6C, 0% 5/25/2052 (o)(s) |  | 4200000 | 3358360 |
| BMO Mortgage Trust Series 2022-C1 Class A4, 3.119% 2/17/2055  |  | 6200000 | 5807388 |
| BMO Mortgage Trust Series 2023-5C1 Class A3, 6.534% 8/15/2056  |  | 10000000 | 10478316 |
| BMO Mortgage Trust Series 2023-C5 Class A2, 6.5176% 6/15/2056  |  | 8500000 | 8753023 |
| BMO Mortgage Trust Series 2025-5C12 Class A3, 5.18% 10/15/2058  |  | 17950000 | 18640167 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (g)(t) |  | 5700000 | 191878 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  |  | 3200000 | 3267047 |
| BMO Mortgage Trust Series 2025-5C13 Class A3, 5.227% 12/15/2058  |  | 2300000 | 2395518 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (g) |  | 6700000 | 7070665 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (f)(g)(o) |  | 4040000 | 4041263 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3012% 6/15/2041 (f)(g)(o) |  | 1590000 | 1590994 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5009% 6/15/2041 (f)(g)(o) |  | 1060000 | 1060994 |
| BMP Series 2024-MF23 Class D, CME Term SOFR 1 month Index + 2.3905%, 6.0501% 6/15/2041 (f)(g)(o) |  | 1463000 | 1464372 |
| BMP Series 2024-MF23 Class E, CME Term SOFR 1 month Index + 3.3891%, 7.0487% 6/15/2041 (f)(g)(o) |  | 124000 | 124154 |
| BOCA Commercial Mortgage Trust Series 2025-BOCA Class A, CME Term SOFR 1 month Index + 1.6%, 5.2597% 12/15/2042 (f)(g)(o) |  | 6570000 | 6596704 |
| Bpr Coml Mtg Trust Series 2025-STAR Class A, 5.112% 11/5/2042 (g)(o) |  | 190000 | 194249 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (g)(o) |  | 100000 | 102876 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class B, 5.9909% 11/5/2039 (g)(o) |  | 500000 | 516713 |
| BPR Trust Series 2023-STON Class A, 7.497% 12/5/2039 (o) |  | 304000 | 314034 |
| BPR Trust Series 2024-PMDW Class A, 5.358% 11/5/2041 (g)(o) |  | 40000 | 41228 |
| Brck Trust Series 2025-830B Class A, 4.9556% 12/10/2042 (g)(o) |  | 242000 | 245165 |
| Brck Trust Series 2025-830B Class E, 7.5058% 12/10/2042 (g)(o) |  | 388000 | 399953 |
| Brck Trust Series 2025-830B Class F, 8.4001% 12/10/2042 (g)(o) |  | 194000 | 201377 |
| Bres Coml Mtg Trust Series 2025-ATCAP Class A, CME Term SOFR 1 month Index + 1.4938%, 5.1534% 11/15/2042 (f)(g)(o) |  | 393000 | 394240 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class A, 5.5479% 6/15/2044 (g)(o) |  | 384000 | 403098 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class C, 6.4441% 6/15/2044 (g)(o) |  | 344000 | 362719 |
| BSTN Commercial Mortgage Trust Series 2025-1C Class D, 6.9407% 6/15/2044 (g)(o) |  | 335000 | 353229 |
| BWAY Mortgage Trust Series 2013-1515 Class F, 3.927% 3/10/2033 (g)(o) |  | 146276 | 125109 |
| Bway Trust Series 2025-1535 Class A, 6.5193% 5/5/2042 (g)(o) |  | 62000 | 63797 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (f)(g)(o) |  | 3220918 | 3220918 |
| BX Commercial Mortgage Trust 2024-KING Series 2024-KING Class A, CME Term SOFR 1 month Index + 1.541%, 5.2007% 5/15/2034 (f)(g)(o) |  | 167791 | 167896 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (f)(g)(o) |  | 12253222 | 12257052 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class D, CME Term SOFR 1 month Index + 2.6898%, 6.3495% 3/15/2041 (f)(g)(o) |  | 681100 | 681525 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (f)(g)(o) |  | 7448065 | 7457375 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (g)(o) |  | 6139424 | 6143261 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 4.7063% 4/15/2034 (f)(g)(o) |  | 2920073 | 2905472 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.0063% 4/15/2034 (f)(g)(o) |  | 4464000 | 4424940 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.3063% 4/15/2034 (f)(g)(o) |  | 2952000 | 2922480 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.6063% 4/15/2034 (f)(g)(o) |  | 3099000 | 3064136 |
| BX Commercial Mortgage Trust Series 2021-CIP Class E, CME Term SOFR 1 month Index + 2.9345%, 6.5945% 12/15/2038 (f)(g)(o) |  | 4380025 | 4378656 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (f)(g)(o) |  | 8126000 | 8110764 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.6733% 10/15/2036 (f)(g)(o) |  | 1201000 | 1198001 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.8731% 10/15/2036 (f)(g)(o) |  | 1607000 | 1601985 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.0728% 10/15/2036 (f)(g)(o) |  | 1560000 | 1555131 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.722% 10/15/2036 (f)(g)(o) |  | 5425000 | 5411454 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (f)(g)(o) |  | 138915 | 138872 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (f)(g)(o) |  | 2014929 | 2014929 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (f)(g)(o) |  | 697200 | 697200 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.2998% 12/9/2040 (f)(g)(o) |  | 378000 | 378000 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class D, CME Term SOFR 1 month Index + 3.5888%, 7.2485% 12/9/2040 (f)(g)(o) |  | 210000 | 210000 |
| BX Commercial Mortgage Trust Series 2024-AIR2 Class A, CME Term SOFR 1 month Index + 1.4923%, 5.1523% 10/15/2041 (f)(g)(o) |  | 6109978 | 6111887 |
| BX Commercial Mortgage Trust Series 2024-AIRC Class A, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 8/15/2041 (f)(g)(o) |  | 4708307 | 4720625 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (f)(g)(o) |  | 1345559 | 1345979 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class B, CME Term SOFR 1 month Index + 1.6423%, 5.302% 12/15/2039 (f)(g)(o) |  | 113698 | 113769 |
| BX Commercial Mortgage Trust Series 2024-MF Class A, CME Term SOFR 1 month Index + 1.4416%, 5.1013% 2/15/2039 (f)(g)(o) |  | 115109 | 115109 |
| BX Commercial Mortgage Trust Series 2024-MF Class E, CME Term SOFR 1 month Index + 3.7383%, 7.398% 2/15/2039 (f)(g)(o) |  | 154069 | 154262 |
| BX Commercial Mortgage Trust Series 2024-PALM Class A, CME Term SOFR 1 month Index + 1.541%, 5.2007% 6/15/2037 (f)(g)(o) |  | 605769 | 605769 |
| BX Commercial Mortgage Trust Series 2024-PALM Class D, CME Term SOFR 1 month Index + 2.64%, 6.2997% 6/15/2037 (f)(g)(o) |  | 2116437 | 2113696 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class A, CME Term SOFR 1 month Index + 1.38%, 5.0397% 8/15/2042 (f)(g)(o) |  | 316234 | 316334 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class B, CME Term SOFR 1 month Index + 1.55%, 5.2097% 8/15/2042 (f)(g)(o) |  | 95828 | 95828 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class C, CME Term SOFR 1 month Index + 1.9%, 5.5597% 8/15/2042 (f)(g)(o) |  | 95828 | 95948 |
| BX Commercial Mortgage Trust Series 2025-BCAT Class E, CME Term SOFR 1 month Index + 3.5%, 7.1597% 8/15/2042 (f)(g)(o) |  | 259695 | 258893 |
| BX Commercial Mortgage Trust Series 2025-COPT Class A, CME Term SOFR 1 month Index + 1.75%, 5.4097% 8/15/2042 (f)(g)(o) |  | 1595000 | 1598224 |
| Bx Commercial Mortgage Trust Series 2025-JDI Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 11/15/2042 (f)(g)(o) |  | 841186 | 842238 |
| Bx Commercial Mortgage Trust Series 2025-JDI Class E, CME Term SOFR 1 month Index + 3.4%, 7.0597% 11/15/2042 (f)(g)(o) |  | 152943 | 153325 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (f)(g)(o) |  | 7274000 | 7278575 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class B, CME Term SOFR 1 month Index + 1.45%, 5.12% 3/15/2043 (f)(g)(o) |  | 853000 | 854071 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class E, CME Term SOFR 1 month Index + 3%, 6.67% 3/15/2043 (f)(g)(o) |  | 250000 | 250784 |
| BX Trust 2019-OC11 Series 2019-OC11 Class E, 3.944% 12/9/2041 (g)(o) |  | 4140000 | 3876188 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (f)(g)(o) |  | 1559000 | 1558039 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class E, CME Term SOFR 1 month Index + 2.8894%, 6.5696% 6/15/2041 (f)(g)(o) |  | 220000 | 217663 |
| BX Trust 2024 VLT4 Series 2024-VLT4 Class F, CME Term SOFR 1 month Index + 3.9379%, 7.5975% 6/15/2041 (f)(g)(o) |  | 390000 | 389519 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (f)(g)(o) |  | 7402681 | 7404995 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.3512% 4/15/2041 (f)(g)(o) |  | 1159276 | 1160000 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6008% 4/15/2041 (f)(g)(o) |  | 962498 | 963100 |
| BX Trust 2024-CNY Series 2024-CNYN Class D, CME Term SOFR 1 month Index + 2.6901%, 6.3497% 4/15/2041 (f)(g)(o) |  | 1071581 | 1072921 |
| BX Trust 2024-CNY Series 2024-CNYN Class E, CME Term SOFR 1 month Index + 3.6886%, 7.3483% 4/15/2041 (f)(g)(o) |  | 104805 | 104477 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (f)(g)(o) |  | 14392327 | 14374337 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (f)(g)(o) |  | 1425959 | 1422394 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2029% 3/15/2030 (f)(g)(o) |  | 2009616 | 2004602 |
| BX Trust 2025-ROIC Series 2025-ROIC Class E, CME Term SOFR 1 month Index + 2.9413%, 6.6009% 3/15/2030 (f)(g)(o) |  | 707611 | 707611 |
| BX Trust Series 2020-VIV3 Class B, 3.5439% 3/9/2044 (g)(o) |  | 2635000 | 2535192 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 11/15/2038 (f)(g)(o) |  | 522937 | 522773 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.4104% 10/15/2026 (f)(g)(o) |  | 1575697 | 1575204 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.463% 10/15/2038 (f)(g)(o) |  | 381667 | 381548 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.5997% 4/15/2037 (f)(g)(o) |  | 2788100 | 2788971 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 5.9497% 4/15/2037 (f)(g)(o) |  | 629300 | 630085 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.4987% 4/15/2037 (f)(g)(o) |  | 526399 | 527386 |
| BX Trust Series 2022-LBA6 Class A, CME Term SOFR 1 month Index + 1%, 4.6597% 1/15/2039 (f)(g)(o) |  | 6750000 | 6753687 |
| BX Trust Series 2024-BRBK Class A, CME Term SOFR 1 month Index + 2.8796%, 6.5437% 10/15/2041 (f)(g)(o) |  | 460000 | 462130 |
| BX Trust Series 2024-BRBK Class B, CME Term SOFR 1 month Index + 3.9266%, 7.5907% 10/15/2041 (f)(g)(o) |  | 559000 | 561592 |
| BX Trust Series 2024-VLT4 Class A, CME Term SOFR 1 month Index + 1.4914%, 5.1716% 6/15/2041 (f)(g)(o) |  | 899000 | 896753 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (f)(g)(o) |  | 5850020 | 5850021 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4512% 2/15/2039 (f)(g)(o) |  | 684900 | 684900 |
| BX Trust Series 2024-XL4 Class D, CME Term SOFR 1 month Index + 3.1396%, 6.7993% 2/15/2039 (f)(g)(o) |  | 311681 | 311681 |
| BX Trust Series 2024-XL4 Class E, CME Term SOFR 1 month Index + 4.1881%, 7.8477% 2/15/2039 (f)(g)(o) |  | 167828 | 167791 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (f)(g)(o) |  | 1907500 | 1907500 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.6005% 3/15/2041 (f)(g)(o) |  | 2532600 | 2532600 |
| BX Trust Series 2025-ARIA Class A, 5.0311% 12/13/2042 (g)(o) |  | 6720000 | 6899820 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (f)(g)(o) |  | 4905000 | 4898370 |
| BX Trust Series 2025-LIFE Class A, 5.8836% 6/13/2047 (g)(o) |  | 689000 | 711629 |
| BX Trust Series 2025-LUNR Class A, 5.1597% 6/15/2040 (g)(o) |  | 71449 | 71538 |
| BX Trust Series 2025-OMG Class A, CME Term SOFR 1 month Index + 1.35%, 5.01% 10/15/2042 (f)(g)(o) |  | 250000 | 250000 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (f)(g)(o) |  | 1915000 | 1915000 |
| BX Trust Series 2025-TAIL Class E, CME Term SOFR 1 month Index + 3.3%, 6.9597% 6/15/2035 (f)(g)(o) |  | 897000 | 896446 |
| BX Trust Series 2025-VLT6 Class A, CME Term SOFR 1 month Index + 1.4432%, 5.1029% 3/15/2042 (f)(g)(o) |  | 275000 | 274312 |
| BX Trust Series 2025-VLT6 Class B, CME Term SOFR 1 month Index + 1.8926%, 5.5522% 3/15/2042 (f)(g)(o) |  | 3300000 | 3289688 |
| BX Trust Series 2025-VLT7 Class B, CME Term SOFR 1 month Index + 2%, 5.6597% 7/15/2044 (f)(g)(o) |  | 1175000 | 1175367 |
| BX Trust Series 2025-VOLT Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 12/15/2044 (f)(g)(o) |  | 777000 | 777728 |
| CALI Mortgage Trust Series 2024-SUN Class A, CME Term SOFR 1 month Index + 1.8911%, 5.5592% 7/15/2041 (f)(g)(o) |  | 320000 | 320100 |
| CAMB Commercial Mortgage Trust Series 2021-CX2 Class A, 2.7% 11/10/2046 (o) |  | 4000000 | 3507901 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.283% 11/15/2050  |  | 3909496 | 3849479 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  |  | 2662262 | 2624250 |
| CD Mortgage Trust Series 2017-CD5 Class A4, 3.431% 8/15/2050  |  | 1000000 | 987561 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (g)(o) |  | 4049000 | 4150792 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (o) |  | 16305412 | 13817880 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (o) |  | 6351247 | 5181378 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (o) |  | 8295863 | 6784221 |
| CF Series 2019-CF2 Class A4, 2.6236% 11/15/2052  |  | 705725 | 675306 |
| CFCRE Commercial Mortgage Trust Series 2011-C2 Class D, 5.0801% 12/15/2047 (g)(o) |  | 27089 | 26751 |
| CFCRE Commercial Mortgage Trust Series 2016-C6 Class A2, 2.95% 11/10/2049  |  | 527091 | 524679 |
| CFMT Trust Series 2021-FRR1 Class AK99, 0% 9/29/2029 (o) |  | 5353696 | 4316758 |
| CFMT Trust Series 2021-FRR1 Class BK58, 2.3782% 9/29/2029 (g)(o) |  | 327366 | 315497 |
| CFMT Trust Series 2021-FRR1 Class BK98, 0% 8/29/2029 (o) |  | 2368616 | 1898359 |
| CFMT Trust Series 2021-FRR1 Class BK99, 0% 9/29/2029 (l)(o) |  | 447606 | 329697 |
| CFSP Mortgage Trust Series 2024-AHP1 Class A, 6.5% 4/15/2037  |  | 563547 | 543603 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  |  | 856433 | 847237 |
| CHI Commercial Mortgage Trust Series 2025-110W Class A, 5.1022% 12/13/2040 (g)(o) |  | 332000 | 338252 |
| CHI Commercial Mortgage Trust Series 2025-110W Class D, 6.6286% 12/13/2040 (g)(o) |  | 214000 | 218388 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 10/15/2037 (f)(g)(o) |  | 926000 | 928930 |
| Cip Commercial Mortgage Trust Series 2025-SBAY Class E, CME Term SOFR 1 month Index + 3.75%, 7.4097% 10/15/2037 (f)(g)(o) |  | 527000 | 527632 |
| Citigroup Commercial Mortgage Trust Series 2016-C2 Class A3, 2.575% 8/10/2049  |  | 1179777 | 1174262 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.5388% 12/10/2049 (g)(t) |  | 11820969 | 24069 |
| COMM Mortgage Trust Series 2016-COR1 Class A3, 2.826% 10/10/2049  |  | 6782723 | 6748224 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  |  | 4000000 | 3963649 |
| COMM Mortgage Trust Series 2017-COR2 Class A3, 3.51% 9/10/2050  |  | 11380000 | 11248614 |
| COMM Mortgage Trust Series 2017-COR2 Class ASB, 3.317% 9/10/2050  |  | 327667 | 325991 |
| COMM Mortgage Trust Series 2018-HOME Class A, 3.8151% 4/10/2033 (g)(o) |  | 699201 | 690042 |
| COMM Mortgage Trust Series 2024-277P Class A, 6.338% 8/10/2044 (o) |  | 1800000 | 1901648 |
| COMM Mortgage Trust Series 2024-277P Class X, 0.661% 8/10/2044 (g)(o)(t) |  | 5900000 | 135787 |
| COMM Mortgage Trust Series 2024-CBM Class A2, 5.867% 12/10/2041 (g)(o) |  | 110000 | 112536 |
| COMM Mortgage Trust Series 2024-WCL1 Class A, CME Term SOFR 1 month Index + 1.841%, 5.5007% 6/15/2041 (f)(g)(o) |  | 400000 | 400124 |
| COMM Mortgage Trust Series 2024-WCL1 Class B, CME Term SOFR 1 month Index + 2.59%, 6.2497% 6/15/2041 (f)(g)(o) |  | 237000 | 237221 |
| Comm Mortgage Trust Series 2025-167G Class A, 5.5027% 8/10/2040 (o) |  | 160000 | 162770 |
| Comm Mortgage Trust Series 2025-167G Class E, 8.2011% 8/10/2040 (g)(o) |  | 125000 | 126979 |
| Comm Mortgage Trust Series 2025-167G Class F, 9.1586% 8/10/2040 (g)(o) |  | 108000 | 109669 |
| COMM Mortgage Trust Series 2025-SBX Class B, 5.5488% 8/10/2041 (g)(o) |  | 74000 | 74500 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  |  | 3181000 | 3201155 |
| Cone Trust Series 2024-DFW1 Class A, CME Term SOFR 1 month Index + 1.6417%, 5.3014% 8/15/2041 (f)(g)(o) |  | 320000 | 319915 |
| Cone Trust Series 2024-DFW1 Class D, CME Term SOFR 1 month Index + 3.0397%, 6.6994% 8/15/2041 (f)(g)(o) |  | 43000 | 42957 |
| Cone Trust Series 2024-DFW1 Class E, CME Term SOFR 1 month Index + 3.8885%, 7.5481% 8/15/2041 (f)(g)(o) |  | 315000 | 314775 |
| Credit Suisse Commercial Mortgage Trust Series 2021-SOP2 Class A, CME Term SOFR 1 month Index + 1.1814%, 4.841% 6/15/2034 (f)(o) |  | 97725 | 95917 |
| CRSNT Trust Series 2026-MOON Class A, CME Term SOFR 1 month Index + 1.4%, 5.0681% 2/15/2031 (f)(g)(o) |  | 700000 | 697375 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  |  | 336733 | 335771 |
| CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/2049  |  | 1188110 | 1184191 |
| CSAIL Commercial Mortgage Trust Series 2021-C20 Class A2, 2.4862% 3/15/2054  |  | 14714127 | 13823730 |
| CSMC Series 2022-LION Class A, CME Term SOFR 1 month Index + 3.4395%, 7.0995% 2/15/2027 (f)(g)(o) |  | 146000 | 144250 |
| CSMC Trust Series 2014-USA Class A2, 3.953% 9/15/2037 (o) |  | 5001000 | 4707308 |
| CSMC Trust Series 2014-USA Class D, 4.3733% 9/15/2037 (o) |  | 3944000 | 3401159 |
| CSMC Trust Series 2016-NXSR Class A4, 3.7948% 12/15/2049  |  | 1803239 | 1794608 |
| CSMC Trust Series 2021-ADV Class A, CME Term SOFR 1 month Index + 1.5145%, 5.1955% 7/15/2038 (f)(g)(o) |  | 500000 | 446682 |
| CSMC Trust Series 2021-BHAR Class A, CME Term SOFR 1 month Index + 1.2645%, 4.9245% 11/15/2038 (f)(g)(o) |  | 228000 | 226005 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class A, 4.5605% 11/10/2042 (g)(o) |  | 110000 | 110756 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class D, 5.6289% 11/10/2042 (g)(o) |  | 200000 | 201993 |
| Cstl Coml Mtg Trust Series 2025-GATE2 Class E, 6.3548% 11/10/2042 (g)(o) |  | 5495000 | 5570830 |
| Cstl Commercial Mortgage Trust Series 2024-GATE Class A, 4.7644% 11/10/2041 (g)(o) |  | 440000 | 446259 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (g)(o) |  | 1100000 | 1113388 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class E, 6.3428% 2/10/2043 (g)(o) |  | 1011000 | 1024529 |
| DBC Mortgage Trust Series 2025-DBC Class A, CME Term SOFR 1 month Index + 1.35%, 5.01% 11/15/2042 (f)(g)(o) |  | 1000000 | 1000938 |
| DBC Mortgage Trust Series 2025-DBC Class C, CME Term SOFR 1 month Index + 2.05%, 5.71% 11/15/2042 (f)(g)(o) |  | 251000 | 250894 |
| DBGS Mortgage Trust Series 2024-SBL Class A, CME Term SOFR 1 month Index + 1.8821%, 5.5421% 8/15/2034 (f)(g)(o) |  | 812000 | 812000 |
| DBSG Mortgage Trust Series 2024-ALTA Class A, 5.9456% 6/10/2037 (g)(o) |  | 121211 | 122967 |
| DBWF Mortgage Trust Series 2016-85T Class A, 3.791% 12/10/2036 (o) |  | 1390000 | 1374298 |
| DC Commercial Mortgage Trust Series 2024-HLTN Class A, 5.727% 4/13/2040 (g)(o) |  | 30000 | 30448 |
| DC Commercial Mortgage Trust Series 2024-HLTN Class F, 10.305% 4/13/2040 (g)(o) |  | 88000 | 87971 |
| DGWD Trust Series 2025-INFL Class A, CME Term SOFR 1 month Index + 1.6%, 5.2597% 8/15/2035 (f)(g)(o) |  | 100000 | 100325 |
| DK Trust Series 2024-SPBX Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 3/15/2034 (f)(g)(o) |  | 197000 | 197000 |
| DK Trust Series 2024-SPBX Class E, CME Term SOFR 1 month Index + 4%, 7.6597% 3/15/2034 (f)(g)(o) |  | 559000 | 560191 |
| DK Trust Series 2025-LXP Class A, CME Term SOFR 1 month Index + 1.593%, 5.2571% 8/15/2037 (f)(g)(o) |  | 394000 | 395650 |
| DK Trust Series 2025-LXP Class D, CME Term SOFR 1 month Index + 2.891%, 6.5551% 8/15/2037 (f)(g)(o) |  | 84000 | 84228 |
| DOLP Trust Series 2021-NYC Class A, 2.956% 5/10/2041 (o) |  | 8810000 | 8024943 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (g)(o) |  | 1752000 | 1807040 |
| Durst Commercial Mortgage Trust Series 2025-151 Class A, 5.3169% 8/10/2042 (g)(o) |  | 137000 | 141005 |
| Durst Commercial Mortgage Trust Series 2025-151 Class D, 7.0175% 8/10/2042 (g)(o) |  | 52000 | 54225 |
| Elm Trust Series 2024-ELM Class A10, 5.9942% 6/10/2039 (g)(o) |  | 460000 | 462106 |
| Elm Trust Series 2024-ELM Class A15, 5.9942% 6/10/2039 (g)(o) |  | 460000 | 461559 |
| Elm Trust Series 2024-ELM Class E10, 8.0455% 6/10/2039 (g)(o) |  | 514000 | 515291 |
| Elm Trust Series 2024-ELM Class XP10, 0.2423% 6/10/2039 (g)(o)(t) |  | 2414000 | 1416 |
| Elm Trust Series 2024-ELM Class XP15, 1.6132% 6/10/2039 (g)(o)(t) |  | 2185000 | 8535 |
| ELP Series 2025-ELP Class A, 4.7573% 11/13/2042 (o) |  | 2195000 | 2212300 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (g)(o) |  | 705000 | 722803 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (f)(g)(o) |  | 5262000 | 5268578 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (f)(g)(o) |  | 1555000 | 1557913 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.5097% 10/15/2042 (f)(g)(o) |  | 580000 | 581453 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (f)(g)(o) |  | 8647000 | 8649702 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (f)(g)(o) |  | 785000 | 786472 |
| Extended Stay America Trust Series 2026-ESH2 Class C, CME Term SOFR 1 month Index + 1.6%, 5.2597% 2/15/2043 (f)(g)(o) |  | 404000 | 405010 |
| Fannie Mae Guaranteed REMIC Series 2015-M10 Class A2, 3.092% 4/25/2027  |  | 110867 | 110084 |
| Fannie Mae Guaranteed REMIC Series 2016-M6 Class A2, 2.488% 5/25/2026  |  | 110156 | 109665 |
| Fannie Mae Guaranteed REMIC Series 2016-M7 Class A2, 2.4994% 9/25/2026  |  | 93168 | 92636 |
| Fannie Mae Guaranteed REMIC Series 2017-M1 Class A2, 2.4199% 10/25/2026 (g) |  | 193272 | 191347 |
| Fannie Mae Guaranteed REMIC Series 2017-M3 Class A2, 2.4777% 12/25/2026 (g) |  | 282820 | 279828 |
| Fannie Mae Guaranteed REMIC Series 2017-M5 Class A2, 3.019% 4/25/2029 (g) |  | 391311 | 384831 |
| Fannie Mae Guaranteed REMIC Series 2017-M8 Class A2, 3.061% 5/25/2027  |  | 189838 | 188234 |
| Fannie Mae Guaranteed REMIC Series 2017-T1 Class A, 2.898% 6/25/2027  |  | 2877832 | 2839593 |
| Fannie Mae Guaranteed REMIC Series 2018-M10 Class A2, 3.3527% 7/25/2028 (g) |  | 560865 | 557440 |
| Fannie Mae Guaranteed REMIC Series 2018-M14 Class A2, 3.5773% 8/25/2028 (g) |  | 962759 | 961114 |
| Fannie Mae Guaranteed REMIC Series 2018-M2 Class A2, 2.928% 1/25/2028 (g) |  | 671678 | 661506 |
| Fannie Mae Guaranteed REMIC Series 2018-M3 Class A2, 3.074% 2/25/2030 (g) |  | 696993 | 682143 |
| Fannie Mae Guaranteed REMIC Series 2018-M4 Class A2, 3.0667% 3/25/2028 (g) |  | 199948 | 197773 |
| Fannie Mae Guaranteed REMIC Series 2018-M7 Class A2, 3.0337% 3/25/2028 (g) |  | 742581 | 734552 |
| Fannie Mae Guaranteed REMIC Series 2019-M12 Class A2, 2.885% 6/25/2029 (g) |  | 777157 | 759117 |
| Fannie Mae Guaranteed REMIC Series 2019-M7 Class A2, 3.143% 4/25/2029  |  | 454125 | 447067 |
| Fannie Mae Guaranteed REMIC Series 2020-M50 Class A2, 1.2% 10/25/2030  |  | 138791 | 134328 |
| Fannie Mae Guaranteed REMIC Series 2020-M50 Class X1, 1.822% 10/25/2030 (g)(t) |  | 2271705 | 73654 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.8072% 10/25/2031 (g) |  | 200000 | 180510 |
| Fannie Mae Guaranteed REMIC Series 2022-M2S Class A2, 3.759% 8/25/2032 (g) |  | 408423 | 404197 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.497% 4/25/2033 (g) |  | 600000 | 617188 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.4759% 3/25/2033 (g) |  | 800000 | 821672 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  |  | 3300000 | 3342052 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.7513% 9/25/2030 (g) |  | 553442 | 553744 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-M38 Class X2, 1.9743% 11/25/2028 (g)(t) |  | 869200 | 30905 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  |  | 9400000 | 9669480 |
| Fannie Mae Series 2022-M10 Class A2, 1.9248% 1/25/2032 (g) |  | 8613235 | 7759680 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class A, CME Term SOFR 1 month Index + 1.45%, 5.1097% 12/15/2039 (f)(g)(o) |  | 1930000 | 1929397 |
| Fontainebleau Miami Beach Beach Mtg Tr Series 2024-FBLU Class G, CME Term SOFR 1 month Index + 5.65%, 9.3097% 12/15/2039 (f)(g)(o) |  | 137000 | 138134 |
| Freddie Mac Mscr Trust Mn12 Series 2025-MN12 Class M2, U.S. 30-Day Avg. SOFR Index + 2.75%, 6.4172% 11/25/2045 (f)(g)(o) |  | 4000000 | 3999994 |
| Freddie Mac MSCR Trust Series 2023-MN7 Class M2, U.S. 30-Day Avg. SOFR Index + 5.7%, 9.3672% 9/25/2043 (f)(g)(o) |  | 1030000 | 1104292 |
| Freddie Mac MSCR Trust Series 2025-MN11 Class M2, U.S. 30-Day Avg. SOFR Index + 2.65%, 6.3172% 7/25/2045 (f)(g)(o) |  | 1875000 | 1874005 |
| Freddie Mac Multifamily Structured Credit Risk Series 2021-MN1 Class M2, U.S. 30-Day Avg. SOFR Index + 3.75%, 7.4172% 1/25/2051 (f)(g)(o) |  | 4893281 | 5077577 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K152 Class A2, 3.08% 1/25/2031  |  | 258704 | 250729 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-KS06 Class A2, 2.72% 7/25/2026  |  | 242567 | 241602 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  |  | 194050 | 192854 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  |  | 300000 | 297752 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  |  | 1161345 | 1152444 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  |  | 5976848 | 5936711 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  |  | 2100000 | 2083805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  |  | 3300000 | 3283875 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  |  | 3600000 | 3580498 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  |  | 8262115 | 8242652 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  |  | 1600000 | 1606202 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  |  | 5300000 | 5316768 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  |  | 1200000 | 1206075 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  |  | 1500000 | 1512988 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-W5FX Class AFX, 3.3361% 4/25/2028 (g) |  | 289920 | 287237 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K095 Class X1, 0.9378% 6/25/2029 (g)(t) |  | 13280407 | 351807 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KJ26 Class A2, 2.606% 7/25/2027  |  | 173250 | 171581 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KL05 Class X1P, 0.8924% 6/25/2029 (g)(t) |  | 5143082 | 138380 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-KS11 Class AFX2, 2.654% 6/25/2029  |  | 1462765 | 1408882 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-1515 Class A2, 1.94% 2/25/2035  |  | 1053190 | 881891 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K106 Class X1, 1.3140% 1/25/2030 (g)(t) |  | 56391851 | 2579042 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  |  | 3100000 | 2998867 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-KX04 Class XFX, 1.4432% 1/25/2034 (g)(t) |  | 3402147 | 118495 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-Q014 Class X, 2.7695% 10/25/2055 (g)(t) |  | 598248 | 86288 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-1520 Class X3, 3.0926% 4/25/2039 (g)(t) |  | 130186 | 29858 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K128 Class X3, 2.7803% 4/25/2031 (g)(t) |  | 375930 | 44377 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  |  | 1200000 | 1097295 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K741 Class X1, 0.5378% 12/25/2027 (g)(t) |  | 130913318 | 1123105 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  |  | 1200000 | 1151728 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  |  | 9000000 | 8223900 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K142 Class AM, 2.4% 3/25/2032  |  | 643616 | 589424 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K145 Class A2, 2.58% 5/25/2032  |  | 546050 | 505641 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K146 Class A2, 2.92% 6/25/2032  |  | 394946 | 372698 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K146 Class AM, 2.92% 7/25/2032  |  | 380318 | 357364 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K-153 Class A2, 3.82% 12/25/2032  |  | 731382 | 724054 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  |  | 2200000 | 2253798 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (f)(g) |  | 4885322 | 4877039 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-P015 Class A1, 4.2961% 11/25/2032 (g) |  | 61891 | 62528 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-Q029 Class A, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2292% 8/25/2027 (f)(g) |  | 1970690 | 1970255 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (g) |  | 2600000 | 2654203 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (g) |  | 1700000 | 1731622 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (g) |  | 2200000 | 2247901 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.2092% 3/25/2030 (f)(g) |  | 3696859 | 3696857 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  |  | 7200000 | 7369736 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (g) |  | 4800000 | 4901057 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (g) |  | 700000 | 715284 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (g) |  | 1700000 | 1725393 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (g) |  | 15297529 | 15291157 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (f)(g) |  | 8997968 | 8997963 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  |  | 2900000 | 2970638 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  |  | 6300000 | 6423254 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (g) |  | 3800000 | 3835748 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (f)(g) |  | 5039515 | 5039512 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (f)(g) |  | 6599373 | 6599368 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (f)(g) |  | 7800000 | 7801169 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (f)(g) |  | 6100000 | 6101904 |
| FREMF Mortgage Trust Series 2016-K55 Class B, 4.1753% 4/25/2049 (g)(o) |  | 292553 | 291677 |
| FREMF Mortgage Trust Series 2016-K56 Class B, 3.9323% 6/25/2049 (g)(o) |  | 103827 | 103385 |
| FREMF Mortgage Trust Series 2016-K58 Class C, 3.7372% 9/25/2049 (g)(o) |  | 3090000 | 3066207 |
| FREMF Mortgage Trust Series 2016-K59 Class B, 3.5633% 11/25/2049 (g)(o) |  | 137909 | 136935 |
| FREMF Mortgage Trust Series 2017-K61 Class C, 3.7009% 12/25/2049 (g)(o) |  | 156369 | 154404 |
| FREMF Mortgage Trust Series 2017-K63 Class B, 3.88% 2/25/2050 (g)(o) |  | 347991 | 345508 |
| FREMF Mortgage Trust Series 2017-K63 Class C, 3.88% 2/25/2050 (g)(o) |  | 146276 | 144824 |
| FREMF Mortgage Trust Series 2017-K68 Class B, 3.8399% 10/25/2049 (g)(o) |  | 275672 | 273060 |
| FREMF Mortgage Trust Series 2018-K74 Class B, 4.094% 2/25/2051 (g)(o) |  | 292553 | 290090 |
| FREMF Mortgage Trust Series 2018-K85 Class C, 4.3196% 12/25/2050 (g)(o) |  | 1000000 | 993188 |
| FREMF Mortgage Trust Series 2018-KHG1 Class C, 3.8999% 12/25/2027 (g)(o) |  | 971831 | 932223 |
| FREMF Mortgage Trust Series 2018-KSW4 Class B, U.S. 30-Day Avg. SOFR Index + 2.45%, 6.2437% 10/25/2028 (f)(g)(o) |  | 3949698 | 3931591 |
| FREMF Mortgage Trust Series 2018-KW06 Class C, 0% 6/25/2028 (o) |  | 365011 | 308401 |
| FREMF Mortgage Trust Series 2018-KW06 Class X2A, 0.1% 6/25/2028 (o)(t) |  | 2944618 | 4919 |
| FREMF Mortgage Trust Series 2018-KW06 Class X2B, 0.1% 6/25/2028 (o)(t) |  | 486684 | 916 |
| FREMF Mortgage Trust Series 2018-KW07 Class C, 0% 10/25/2031 (o)(s) |  | 380318 | 309924 |
| FREMF Mortgage Trust Series 2018-KW07 Class X2A, 0.1% 10/25/2031 (o)(t) |  | 2916177 | 5535 |
| FREMF Mortgage Trust Series 2018-KW07 Class X2B, 0.1% 10/25/2031 (o)(t) |  | 495949 | 1062 |
| FREMF Mortgage Trust Series 2019-K736 Class B, 3.7413% 7/25/2026 (g)(o) |  | 905000 | 900813 |
| FREMF Mortgage Trust Series 2019-K98 Class B, 3.7385% 10/25/2052 (g)(o) |  | 321808 | 315909 |
| FREMF Mortgage Trust Series 2019-KBF3 Class C, U.S. 30-Day Avg. SOFR Index + 4.75%, 8.5437% 1/25/2029 (f)(g)(o) |  | 252453 | 244224 |
| FREMF Mortgage Trust Series 2019-KL05 Class BHG, 4.3706% 2/25/2029 (g)(o) |  | 105465 | 99677 |
| FREMF Mortgage Trust Series 2019-KL05 Class CHG, 4.37% 2/25/2029 (o) |  | 339771 | 311314 |
| FREMF Mortgage Trust Series 2019-KW10 Class B, 3.6322% 10/25/2032 (g)(o) |  | 268271 | 252807 |
| FS Series 2026-ORL Class A, CME Term SOFR 1 month Index + 1.35%, 5.023% 2/15/2041 (f)(g)(o) |  | 500000 | 500000 |
| FS Series 2026-ORL Class E, CME Term SOFR 1 month Index + 3.25%, 6.923% 2/15/2041 (f)(g)(o) |  | 265000 | 265218 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 1B, 0% 11/29/2050 (o)(s) |  | 5000000 | 4634575 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 1D, 0% 11/29/2050 (o)(s) |  | 5000000 | 4588859 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 2B, 0% 11/29/2050 (o)(s) |  | 3400000 | 3104446 |
| GAM Re-Remic Trust Series 2021-FRR1 Class 2C, 0% 11/29/2050 (o)(s) |  | 4500000 | 4041205 |
| GAM Re-Remic Trust Series 2022-FRR3 Class BK89, 0% 1/27/2052 (o)(s) |  | 6000000 | 5077506 |
| GGP Trust Series 2026-TY Class A, 4.6698% 3/5/2043 (g)(o) |  | 144000 | 145639 |
| Ginnie Mae Multifamily REMICS Series 2021-2 Class AH, 1.5% 6/16/2063  |  | 3868794 | 2922109 |
| Ginnie Mae Multifamily REMICS Series 2021-21 Class AH, 1.4% 6/16/2063  |  | 2634496 | 2035750 |
| Ginnie Mae Multifamily REMICS Series 2021-31 Class B, 1.25% 1/16/2061  |  | 2861909 | 2120637 |
| Ginnie Mae Multifamily REMICS Series 2021-36 Class IO, 1.2875% 3/16/2063 (g)(t) |  | 12827448 | 1060181 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-118 Class BA, 3.7504% 5/16/2065 (g) |  | 1365159 | 1256868 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-119 Class AD, 2.25% 4/16/2065  |  | 95507 | 77932 |
| Ginnie Mae REMIC pass-thru certificates Series 2023-50 Class AC, 3.25% 9/16/2063 (g) |  | 53137 | 48600 |
| Ginnie Mae Series 2025-126 Class AD, 5% 5/16/2065  |  | 152209 | 150970 |
| Ginnie Mae Series 2025-128 Class AD, 5% 10/16/2056  |  | 352592 | 358314 |
| Ginnie Mae Series 2025-128 Class AG, 4.75% 7/16/2066  |  | 350229 | 350254 |
| Ginnie Mae Series 2025-129 Class AB, 4.75% 9/16/2054  |  | 111140 | 111912 |
| Ginnie Mae Series 2025-130 Class AL, 4.75% 8/16/2056  |  | 111196 | 111895 |
| Ginnie Mae Series 2025-88 Class AT, 5% 6/16/2058  |  | 168897 | 171109 |
| GS Mortgage Securities Corp II Series 2019-GC40 Class A3, 2.904% 7/10/2052  |  | 1619230 | 1569440 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 0.839% 10/10/2048 (g)(t) |  | 400332 | 14 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  |  | 461935 | 456680 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  |  | 700000 | 700173 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A4, 3.968% 2/10/2052  |  | 909839 | 904873 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  |  | 1300000 | 1252654 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  |  | 697649 | 682759 |
| GS Mortgage Securities Trust Series 2020-GSA2 Class A4, 1.721% 12/12/2053  |  | 4940000 | 4482591 |
| GS Mortgage Securities Trust Series 2023-FUN Class A, CME Term SOFR 1 month Index + 2.0913%, 5.7509% 3/15/2028 (f)(g)(o) |  | 100000 | 100156 |
| GS Mortgage Securities Trust Series 2023-FUN Class B, CME Term SOFR 1 month Index + 2.7903%, 6.4499% 3/15/2028 (f)(g)(o) |  | 1400000 | 1402188 |
| GS Mortgage Securities Trust Series 2023-SHIP Class A, 4.3223% 9/10/2038 (g)(o) |  | 4140000 | 4134857 |
| GS Mortgage Securities Trust Series 2023-SHIP Class E, 7.4336% 9/10/2038 (g)(o) |  | 74000 | 74202 |
| GS Mortgage Securities Trust Series 2024-RVR Class A, 5.3716% 8/10/2041 (g)(o) |  | 7700000 | 7849435 |
| GS Mortgage Securities Trust Series 2024-RVR Class E, 7.7194% 8/10/2041 (g)(o) |  | 438000 | 452744 |
| GS Mortgage Securities Trust Series 2025-800D Class A, CME Term SOFR 1 month Index + 2.65%, 6.3141% 11/25/2041 (f)(g)(o) |  | 467000 | 467445 |
| GSAT Trust Series 2025-BMF Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 7/15/2040 (f)(g)(o) |  | 169000 | 169000 |
| GWT Commercial Mortgage Trust Series 2024-WLF2 Class A, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 5/15/2041 (f)(g)(o) |  | 561000 | 561351 |
| Harvest Commercial Capital Loan Trust Series 2024-1 Class A, 6.1635% 10/25/2056  |  | 1508573 | 1560592 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (f)(g)(o) |  | 920000 | 918275 |
| HIH Trust Series 2024-61P Class A, CME Term SOFR 1 month Index + 1.842%, 5.5017% 10/15/2041 (f)(g)(o) |  | 170585 | 171003 |
| HIH Trust Series 2024-61P Class C, CME Term SOFR 1 month Index + 2.841%, 6.5007% 10/15/2041 (f)(g)(o) |  | 189538 | 189657 |
| HIH Trust Series 2024-61P Class D, CME Term SOFR 1 month Index + 3.64%, 7.2997% 10/15/2041 (f)(g)(o) |  | 66338 | 66463 |
| Hilt Commercial Mortgage Trust Series 2024-ORL Class A, CME Term SOFR 1 month Index + 1.5412%, 5.2009% 5/15/2037 (f)(g)(o) |  | 492000 | 491693 |
| Hilt Commercial Mortgage Trust Series 2024-ORL Class D, CME Term SOFR 1 month Index + 3.1889%, 6.8485% 5/15/2037 (f)(g)(o) |  | 255000 | 255159 |
| HLTM Commercial Mortgage Trust Series 2024-DPLO Class A, CME Term SOFR 1 month Index + 1.6415%, 5.3012% 6/15/2041 (f)(g)(o) |  | 1601000 | 1601495 |
| HONO Mortgage Trust Series 2021-LULU Class A, CME Term SOFR 1 month Index + 1.2645%, 4.9245% 10/15/2036 (f)(g)(o) |  | 651409 | 644922 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class A, 5.8756% 5/10/2039 (g)(o) |  | 100000 | 101134 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class D, 8.1977% 5/10/2039 (g)(o) |  | 1503605 | 1529913 |
| Htl Commercial Mortgage Trust Series 2024-T53 Class E, 10.2602% 5/10/2039 (g)(o) |  | 2073000 | 2135275 |
| ILPT Commercial Mortgage Trust Series 2025-LPF2 Class A, 5.292% 7/13/2042 (g)(o) |  | 753000 | 775374 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (o) |  | 2700000 | 2682121 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (g)(o) |  | 2199000 | 2244530 |
| Investment Mortgage Trust Series 2024-IND Class A, CME Term SOFR 1 month Index + 1.7419%, 5.4016% 11/15/2041 (f)(g)(o) |  | 1500000 | 1486875 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2025-BHR5 Class A, CME Term SOFR 1 month Index + 1.693%, 5.353% 3/15/2040 (f)(g)(o) |  | 173552 | 173552 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class A5, 3.4898% 7/15/2050  |  | 5000000 | 4915205 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  |  | 39180 | 38973 |
| JPMCC Commercial Mortgage Securities Trust Series 2019-COR4 Class A3, 3.7629% 3/10/2052  |  | 5400000 | 5340151 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  |  | 31469 | 31358 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class A4, 3.414% 3/15/2050  |  | 2966193 | 2932560 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-NINE Class B, 2.8541% 9/6/2038 (g)(o) |  | 300000 | 296954 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-AON Class A, 4.1283% 7/5/2031 (o) |  | 1700000 | 1487500 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A, CME Term SOFR 1 month Index + 1.257%, 4.917% 6/15/2035 (f)(g)(o) |  | 484543 | 314953 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (o) |  | 2700000 | 2575125 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (o) |  | 919000 | 625334 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (l)(o) |  | 1414000 | 815434 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (g)(o)(t) |  | 10000000 | 219511 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.2745% 9/15/2029 (f)(g)(o) |  | 2433272 | 2385317 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-2NU Class A, 1.9739% 1/5/2040 (o) |  | 5725000 | 5313560 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2022-NLP Class A, CME Term SOFR 1 month Index + 0.8465%, 4.5062% 4/15/2037 (f)(g)(o) |  | 4649411 | 4608729 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class A, 5.1741% 11/9/2039 (g)(o) |  | 2410000 | 2432955 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class D, 6.4821% 11/9/2039 (g)(o) |  | 670000 | 675205 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class E, 7.2542% 11/9/2039 (g)(o) |  | 1227000 | 1236035 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-IGLG Class F, 8.2159% 11/9/2039 (g)(o) |  | 1051000 | 1058744 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2024-OMNI Class A, 5.7972% 10/5/2039 (g)(o) |  | 1110000 | 1128408 |
| JW Commercial Mortgage Trust Series 2024-MRCO Class A, CME Term SOFR 1 month Index + 1.6212%, 5.2808% 6/15/2039 (f)(g)(o) |  | 1338000 | 1340518 |
| JW Commercial Mortgage Trust Series 2024-MRCO Class D, CME Term SOFR 1 month Index + 3.1889%, 6.8485% 6/15/2039 (f)(g)(o) |  | 307000 | 307192 |
| KSL Commercial Mortgage Trust Series 2024-HT2 Class A, CME Term SOFR 1 month Index + 1.5424%, 5.202% 12/15/2039 (f)(g)(o) |  | 523319 | 523155 |
| KSL Commercial Mortgage Trust Series 2025-MAK, CME Term SOFR 1 month Index + 4.0895%, 5.5523% 6/15/2042 (f)(g)(o) |  | 97000 | 97375 |
| KSL Commercial Mortgage Trust Series 2025-MAK, CME Term SOFR 1 month Index + 4.0895%, 7.7697% 6/15/2042 (f)(g)(o) |  | 1035000 | 1031695 |
| LBA Trust Series 2024-7IND Class A, CME Term SOFR 1 month Index + 1.443%, 5.1027% 10/15/2041 (f)(g)(o) |  | 553950 | 554106 |
| LBA Trust Series 2024-7IND Class D, CME Term SOFR 1 month Index + 2.641%, 6.3007% 10/15/2041 (f)(g)(o) |  | 141328 | 141457 |
| LEXT Series 2026-450 Class A, CME Term SOFR 1 month Index + 1.35%, 5% 3/15/2043 (f)(g)(o) |  | 263000 | 262918 |
| LEXT Series 2026-450 Class E, CME Term SOFR 1 month Index + 3.7%, 7.35% 3/15/2043 (f)(g)(o) |  | 650000 | 649998 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 4.9549% 5/15/2039 (f)(g)(o) |  | 12656000 | 12228861 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4536% 5/15/2039 (f)(g)(o) |  | 6596000 | 6201113 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.7528% 5/15/2039 (f)(g)(o) |  | 3893000 | 3544684 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.2016% 5/15/2039 (f)(g)(o) |  | 3460000 | 2927247 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.8745% 3/15/2038 (f)(g)(o) |  | 112353 | 111511 |
| LQR Trust Series 2025-CALI Class E, CME Term SOFR 1 month Index + 3.95%, 7.6097% 1/15/2043 (f)(g) |  | 451000 | 450574 |
| LV Trust Series 2024-SHOW Class A, 5.2744% 10/10/2041 (g)(o) |  | 22005 | 22513 |
| MAC Trust Series 2025-801B Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2040 (f)(g)(o) |  | 191000 | 191158 |
| MAD Commercial Mortgage Trust Series 2025-11MD Class C, 5.8183% 10/15/2042 (g)(o) |  | 2065000 | 2109461 |
| MCR Mortgage Trust Series 2024-HF1 Class A, CME Term SOFR 1 month Index + 1.793%, 5.4527% 12/15/2041 (f)(g)(o) |  | 1030545 | 1030867 |
| MCR Mortgage Trust Series 2024-HTL Class B, CME Term SOFR 1 month Index + 2.4075%, 6.0675% 2/15/2037 (f)(g)(o) |  | 396401 | 396524 |
| MCR Mortgage Trust Series 2024-HTL Class E, CME Term SOFR 1 month Index + 4.6543%, 8.3143% 2/15/2037 (f)(g)(o) |  | 98294 | 97706 |
| MCR Mortgage Trust Series 2024-TWA Class A, 5.924% 6/12/2039 (o) |  | 170000 | 172078 |
| MCR Mortgage Trust Series 2024-TWA Class D, 7.402% 6/12/2039 (o) |  | 240000 | 242681 |
| MCR Mortgage Trust Series 2024-TWA Class E, 8.725% 6/12/2039 (o) |  | 78000 | 78888 |
| MCR Mortgage Trust Series 2024-TWA Class XA, 0.92% 6/12/2039 (o)(t) |  | 783000 | 5263 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class E, CME Term SOFR 1 month Index + 2.2154%, 5.8754% 4/15/2038 (f)(g)(o) |  | 74131 | 74131 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class F, CME Term SOFR 1 month Index + 2.7154%, 6.3754% 4/15/2038 (f)(g)(o) |  | 571063 | 571063 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (f)(g)(o) |  | 200000 | 199850 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (f)(g)(o) |  | 1200000 | 1200997 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 Class A3, 3.459% 12/15/2049  |  | 8677804 | 8624684 |
| Morgan Stanley Capital I Inc Series 2021-230P Class B, CME Term SOFR 1 month Index + 1.5634%, 5.223% 12/15/2038 (f)(g)(o) |  | 30000 | 28649 |
| Morgan Stanley Capital I Trust Series 2014-150E Class A, 3.912% 9/9/2032 (o) |  | 520000 | 490434 |
| Morgan Stanley Capital I Trust Series 2016-UB11 Class A4, 2.782% 8/15/2049  |  | 13840000 | 13728517 |
| Morgan Stanley Capital I Trust Series 2016-UB12 Class A3, 3.337% 12/15/2049  |  | 1812074 | 1799197 |
| Morgan Stanley Capital I Trust Series 2017-ASHF Class B, CME Term SOFR 1 month Index + 1.25%, 5.207% 11/15/2034 (f)(g)(o) |  | 890000 | 883830 |
| Morgan Stanley Capital I Trust Series 2017-ASHF Class G, CME Term SOFR 1 month Index + 7.197%, 10.857% 11/15/2034 (f)(o) |  | 14000 | 13846 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 4.557% 8/15/2033 (f)(g)(o) |  | 4512912 | 3671074 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  |  | 3837000 | 3862918 |
| Morgan Stanley Capital I Trust Series 2019-H6 Class D, 3% 6/15/2052 (o) |  | 17000 | 14212 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 4.7245% 12/15/2036 (f)(g)(o) |  | 5200000 | 3986268 |
| Morgan Stanley Capital I Trust Series 2019-PLND Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 5/15/2036 (f)(g)(l)(o) |  | 400000 | 120000 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A3, 2.196% 6/15/2054 (g) |  | 7000000 | 6437379 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (g)(t) |  | 11207287 | 413048 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (g)(o) |  | 11956887 | 11805029 |
| MRCD Mortgage Trust Series 2019-PARK Class E, 2.7175% 12/15/2036 (o) |  | 600000 | 452250 |
| MRCD Mortgage Trust Series 2019-PARK Class F, 2.7175% 12/15/2036 (l)(o) |  | 1228000 | 827365 |
| Msbam Series 2025-5C2 Class A3, 5.107% 11/15/2058  |  | 2700000 | 2798718 |
| MSCR Series 2021-MN3 Class M1, U.S. 30-Day Avg. SOFR Index + 2.3%, 5.9672% 11/25/2051 (f)(g)(o) |  | 52576 | 52619 |
| MSCR Series 2021-MN3 Class M2, U.S. 30-Day Avg. SOFR Index + 4%, 7.6672% 11/25/2051 (f)(g)(o) |  | 6605728 | 6836418 |
| MSCR Series 2022-MN4 Class M2, U.S. 30-Day Avg. SOFR Index + 6.5%, 10.1672% 5/25/2052 (f)(g)(o) |  | 182845 | 201206 |
| MSSG Trust Series 2017-237P Class A, 3.397% 9/13/2039 (o) |  | 1750000 | 1669592 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XA, 0.9069% 12/15/2056 (g)(t) |  | 2166853 | 119597 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.0109% 12/15/2056 (g)(o)(t) |  | 1400000 | 253737 |
| MTN Commercial Mortgage Trust Series 2022-LPFL Class A, CME Term SOFR 1 month Index + 1.3969%, 5.0569% 3/15/2039 (f)(g)(o) |  | 100000 | 100000 |
| MTN Commercial Mortgage Trust Series 2022-LPFL Class E, CME Term SOFR 1 month Index + 4.2891%, 7.9491% 3/15/2039 (f)(g)(o) |  | 3600000 | 3606486 |
| Multi-family1 Series 2021-W10 Class A, CME Term SOFR 1 month Index + 1.0703%, 4.7303% 12/15/2034 (f)(g)(o) |  | 480000 | 478733 |
| Multi-family1 Series 2021-W10 Class B, CME Term SOFR 1 month Index + 1.3703%, 5.0303% 12/15/2034 (f)(g)(o) |  | 400000 | 398452 |
| Multifamily Conn Ave Securities Trust Series 2019-01 Class M10, U.S. 30-Day Avg. SOFR Index + 3.3645%, 7.0317% 10/25/2049 (f)(g)(o) |  | 3449952 | 3502722 |
| Multifamily Conn Ave Securities Trust Series 2020-01 Class M10, U.S. 30-Day Avg. SOFR Index + 3.8645%, 7.5317% 3/25/2050 (f)(g)(o) |  | 4012776 | 4072213 |
| Multifamily Conn Ave Securities Trust Series 2023-01 Class M10, U.S. 30-Day Avg. SOFR Index + 6.5%, 10.1672% 11/25/2053 (f)(g)(o) |  | 3525000 | 4049415 |
| NCMF Trust Series 2025-MFS Class A, 4.883% 6/10/2033 (g)(o) |  | 1466000 | 1479228 |
| NCMF Trust Series 2025-MFS Class E, 7.529% 6/10/2033 (g)(o) |  | 980000 | 998490 |
| NCMF Trust Series 2025-MFS Class F, 8.437% 6/10/2033 (g)(o) |  | 842000 | 858375 |
| NJ Trust Series 2023-GSP Class A, 6.4808% 1/6/2029 (g)(o) |  | 143000 | 150752 |
| NRTH Commercial Mortgage Trust Series 2025-PARK Class A, CME Term SOFR 1 month Index + 1.3933%, 5.0529% 10/15/2040 (f)(g)(o) |  | 135000 | 135253 |
| NW Re-Remic Trust Series 2021-FRR1 Class BK88, 2.6011% 12/18/2051 (g)(o) |  | 267686 | 234517 |
| NY Commercial Mortgage Trust Series 2025-299P Class B, 5.9278% 2/10/2047 (g)(o) |  | 61000 | 64829 |
| Nyc Coml Mtg Trust Series 2025-11X Class A, CME Term SOFR 1 month Index + 1.743%, 5.4027% 10/15/2040 (f)(g)(o) |  | 773000 | 774601 |
| NYC Commercial Mortgage Trust Series 2025-1155 Class A, 5.8329% 6/10/2042 (o) |  | 3162000 | 3258401 |
| NYC Commercial Mortgage Trust Series 2025-28L Class A, 4.6682% 11/5/2038 (g)(o) |  | 414000 | 417190 |
| NYC Commercial Mortgage Trust Series 2025-300P Class E, 7.388% 7/13/2042 (g)(o) |  | 450000 | 466070 |
| NYC Commercial Mortgage Trust Series 2025-77C Class A, CME Term SOFR 1 month Index + 0%, 4.7897% 1/10/2036 (f)(g)(o) |  | 900000 | 912767 |
| NYC Trust Series 2024-3ELV Class A, CME Term SOFR 1 month Index + 1.9909%, 5.6506% 8/15/2029 (f)(g)(o) |  | 100000 | 100356 |
| NYC Trust Series 2024-3ELV Class C, CME Term SOFR 1 month Index + 2.8397%, 6.4994% 8/15/2029 (f)(g)(o) |  | 562937 | 563636 |
| NYC Trust Series 2024-3ELV Class D, CME Term SOFR 1 month Index + 3.8383%, 7.4979% 8/15/2029 (f)(g)(o) |  | 526000 | 526987 |
| One Bryant Park Trust Series 2019-OBP Class A, 2.5164% 9/15/2054 (o) |  | 4690000 | 4406188 |
| One Market Plaza Trust Series 2017-1MKT Class A, 3.6139% 2/10/2032 (o) |  | 3652239 | 3548966 |
| One Market Plaza Trust Series 2017-1MKT Class D, 4.1455% 2/10/2032 (o) |  | 100000 | 93204 |
| One New York Plaza Trust Series 2020-1NYP Class A, CME Term SOFR 1 month Index + 1.0645%, 4.7245% 1/15/2036 (f)(g)(o) |  | 293556 | 286402 |
| One New York Plaza Trust Series 2020-1NYP Class AJ, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 1/15/2036 (f)(g)(o) |  | 17000 | 16543 |
| One New York Plaza Trust Series 2020-1NYP Class B, CME Term SOFR 1 month Index + 1.6145%, 5.2745% 1/15/2036 (f)(g)(o) |  | 100000 | 96375 |
| ONNI Commerical Mortgage Trust Series 2024-APT Class A, 5.753% 7/15/2039 (g)(o) |  | 100000 | 102247 |
| ORL Mortgage Trust Series 2024-GLKS Class A, CME Term SOFR 1 month Index + 1.4925%, 5.1522% 12/15/2039 (f)(g)(o) |  | 280000 | 279913 |
| Penn Commercial Mortgage Trust Series 2025-P11 Class A, 5.344% 8/10/2042 (g)(o) |  | 94000 | 97624 |
| Penn Commercial Mortgage Trust Series 2025-P11 Class C, 6.508% 8/10/2042 (g)(o) |  | 142000 | 150144 |
| PGA Trust Series 2024-RSR2 Class A, CME Term SOFR 1 month Index + 1.8909%, 5.5506% 6/15/2039 (f)(g)(o) |  | 120000 | 119888 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (f)(g)(o) |  | 8599000 | 8599000 |
| Plym Commercial Mortgage Trust Series 2026-IND Class B, CME Term SOFR 1 month Index + 1.45%, 5.1% 3/15/2043 (f)(g)(o) |  | 907000 | 907568 |
| Plym Commercial Mortgage Trust Series 2026-IND Class C, CME Term SOFR 1 month Index + 1.65%, 5.3% 3/15/2043 (f)(g)(o) |  | 1006000 | 1006629 |
| Plym Commercial Mortgage Trust Series 2026-IND Class D, CME Term SOFR 1 month Index + 2.15%, 5.8% 3/15/2043 (f)(g)(o) |  | 192000 | 191915 |
| PRM5 Trust Series 2025-PRM5 Class D, 5.812% 3/10/2033 (g)(o) |  | 35000 | 35173 |
| Prm7 Trust Series 2025-PRM7 Class E, 6.6184% 11/10/2042 (g)(o) |  | 1110000 | 1122257 |
| RFM Reremic Trust Series 2022-FRR1 Class BK55, 0% 3/28/2049 (o)(s) |  | 4000000 | 3960020 |
| RFM Reremic Trust Series 2022-FRR1 Class BK64, 1.6496% 3/1/2050 (g)(o) |  | 4000000 | 3815076 |
| RFM Reremic Trust Series 2022-FRR1 Class CK64, 0% 3/1/2050 (o)(s) |  | 5000000 | 4648839 |
| ROCK Trust Series 2024-CNTR Class A, 5.3883% 11/13/2041 (o) |  | 8141372 | 8427484 |
| ROCK Trust Series 2024-CNTR Class D, 7.1091% 11/13/2041 (o) |  | 4500000 | 4752443 |
| SBALR Commercial Mortgage Trust Series 2020-RR1 Class A3, 2.825% 2/13/2053 (o) |  | 938844 | 816895 |
| SBALR Commercial Mortgage Trust Series 2020-RR1 Class XA, 1.2496% 2/13/2053 (g)(o)(t) |  | 1554589 | 56284 |
| SCG Commercial Mortgage Trust Series 2025-DLFN Class E, CME Term SOFR 1 month Index + 2.95%, 6.6097% 3/15/2035 (f)(g)(o) |  | 199000 | 199249 |
| SCG Mortgage Trust Series 2024-MSP Class A, CME Term SOFR 1 month Index + 1.741%, 5.4007% 4/15/2041 (f)(g)(o) |  | 229000 | 229000 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (f)(g)(o) |  | 2604000 | 2610495 |
| SCG Trust Series 2025-FLWR Class E, CME Term SOFR 1 month Index + 2.75%, 6.4097% 8/15/2042 (f)(g)(o) |  | 23000 | 22986 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (o) |  | 4436000 | 4453390 |
| Sdal Tr Series 2025-DAL Class A, CME Term SOFR 1 month Index + 2.4413%, 6.101% 4/15/2042 (f)(g)(o) |  | 122000 | 122257 |
| Seasoned Loans Structured Transaction Series 2018-1 Series 2024-2 Class VF, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2034 (f)(g)(o) |  | 2681369 | 2724029 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class A, CME Term SOFR 1 month Index + 1.5423%, 5.2019% 11/15/2034 (f)(g)(o) |  | 17040 | 17050 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class E, CME Term SOFR 1 month Index + 4.1885%, 7.8481% 11/15/2034 (f)(g)(o) |  | 135100 | 135101 |
| SELF Commercial Mortgage Trust Series 2024-STRG Class F, CME Term SOFR 1 month Index + 5.187%, 8.8467% 11/15/2034 (f)(g)(o) |  | 108500 | 108142 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class A2A, 3.659% 1/5/2043 (g)(o) |  | 8132000 | 7224099 |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class A2B, 4.144% 1/5/2043 (g)(o) |  | 4000000 | 3599245 |
| SG Commercial Mortgage Securities Trust Series 2019-PREZ Class E, 3.4771% 9/15/2039 (g)(o) |  | 72000 | 62199 |
| Shops at Crystals Trust Series 2016-CSTL Class C, 3.7311% 7/5/2036 (g)(o) |  | 1681000 | 1674890 |
| SHR Trust Series 2024-LXRY Class A, CME Term SOFR 1 month Index + 1.95%, 5.6097% 10/15/2041 (f)(g)(o) |  | 498000 | 498623 |
| SHR Trust Series 2024-LXRY Class B, CME Term SOFR 1 month Index + 2.45%, 6.1097% 10/15/2041 (f)(g)(o) |  | 847000 | 848818 |
| SHR Trust Series 2024-LXRY Class D, CME Term SOFR 1 month Index + 3.6%, 7.2597% 10/15/2041 (f)(g)(o) |  | 101000 | 101927 |
| SLG Commercial Mortgage Trust Series 2026-PAT Class A, 4.9279% 2/15/2039 (g)(o) |  | 533000 | 540657 |
| SMRT Trust Series 2022-MINI Class D, CME Term SOFR 1 month Index + 1.95%, 5.61% 1/15/2039 (f)(g)(o) |  | 1820000 | 1818293 |
| SMRT Trust Series 2022-MINI Class F, CME Term SOFR 1 month Index + 3.35%, 7.01% 1/15/2039 (f)(g)(o) |  | 2500000 | 2496956 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (f)(g)(o) |  | 8862360 | 8859591 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (f)(g)(o) |  | 3552494 | 3551384 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.1031% 11/15/2038 (f)(g)(o) |  | 2206153 | 2205464 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.3523% 11/15/2038 (f)(g)(o) |  | 1449518 | 1450058 |
| SREIT Trust Series 2021-MFP2 Class C, CME Term SOFR 1 month Index + 1.4852%, 5.1452% 11/15/2036 (f)(g)(o) |  | 235000 | 234927 |
| SUMIT Mortgage Trust Series 2022-BVUE Class A, 2.789% 2/12/2041 (o) |  | 340000 | 311156 |
| SWCH Commercial Mortgage Trust Series 2025-DATA Class A, CME Term SOFR 1 month Index + 1.4429%, 5.1026% 2/15/2042 (f)(g)(o) |  | 4650000 | 4609190 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (f)(g)(o) |  | 5942000 | 5949433 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.2521% 12/15/2039 (f)(g)(o) |  | 1306000 | 1309265 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.6515% 12/15/2039 (f)(g)(o) |  | 962000 | 966811 |
| Texas Coml Mortgage Trust Series 2025-TWR Class B, CME Term SOFR 1 month Index + 1.5927%, 5.2524% 4/15/2042 (f)(g)(o) |  | 3300000 | 3300000 |
| The Baha Trust Series 2024-MAR Class A, 6.1707% 12/10/2041 (g)(o) |  | 4302000 | 4491500 |
| The Baha Trust Series 2024-MAR Class B, 7.0694% 12/10/2041 (g)(o) |  | 337000 | 354546 |
| The Baha Trust Series 2024-MAR Class C, 7.7663% 12/10/2041 (g)(o) |  | 827000 | 872195 |
| The Baha Trust Series 2024-MAR Class D, 9.2042% 12/10/2041 (g)(o) |  | 127000 | 135195 |
| THPT Mortgage Trust Series 2023-THL Class A, 6.994% 12/10/2034 (g)(o) |  | 87594 | 89128 |
| TYSN Mortgage Trust Series 2023-CRNR Class A, 6.5797% 12/10/2033 (g)(o) |  | 100000 | 105390 |
| UBS Commercial Mortgage Trust Series 2017-C4 Class AS, 3.836% 10/15/2050  |  | 1690000 | 1649404 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9635% 12/15/2050 (g)(t) |  | 12878094 | 183579 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class A2, 4.1519% 8/15/2051  |  | 75170 | 75039 |
| UBS Commercial Mortgage Trust Series 2018-C13 Class A3, 4.0694% 10/15/2051  |  | 3925650 | 3912011 |
| UBS Commercial Mortgage Trust Series 2019-C17 Class A3, 2.6686% 10/15/2052  |  | 1064954 | 1025059 |
| UNIV Trust Series 2025-APTS Class A, CME Term SOFR 1 month Index + 1.65%, 5.3302% 11/15/2042 (f)(g)(o) |  | 757000 | 756676 |
| UNIV Trust Series 2025-APTS Class B, CME Term SOFR 1 month Index + 2.25%, 5.9302% 11/15/2042 (f)(g)(o) |  | 100000 | 99958 |
| VEGAS Trust Series 2024-GCS Class C, 6.2165% 7/10/2036 (g)(o) |  | 490000 | 504206 |
| VEGAS Trust Series 2024-GCS Class D, 6.2165% 7/10/2036 (g)(o) |  | 813000 | 827916 |
| Velocity Commercial Capital Loan Trust Series 2020-1 Class AFX, 2.61% 2/25/2050 (o) |  | 121281 | 113139 |
| Velocity Commercial Capital Loan Trust Series 2022-1 Class M4, 5.2% 2/25/2052 (g)(o) |  | 70855 | 61120 |
| Velocity Commercial Capital Loan Trust Series 2022-1 Class M5, 9.6271% 1/25/2053 (g)(o) |  | 116867 | 113139 |
| Velocity Commercial Capital Loan Trust Series 2022-4 Class M4, 7.5248% 8/25/2052 (g)(o) |  | 65020 | 63441 |
| Velocity Commercial Capital Loan Trust Series 2023-1 Class A, 6.55% 1/25/2054 (o) |  | 218281 | 223992 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class A, 5.49% 10/25/2054 (g)(o) |  | 163724 | 165289 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class M2, 5.96% 10/25/2054 (g)(o) |  | 93790 | 94112 |
| Velocity Commercial Capital Loan Trust Series 2024-5 Class M3, 6.76% 10/25/2054 (g)(o) |  | 78735 | 79369 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M2, 6.55% 12/25/2054 (g)(o) |  | 171584 | 174035 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M3, 6.92% 12/25/2054 (g)(o) |  | 430606 | 436854 |
| Velocity Commercial Capital Loan Trust Series 2024-6 Class M4, 9.67% 12/25/2054 (g)(o) |  | 194396 | 198474 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class A, 6.03% 2/25/2055 (o) |  | 1244814 | 1274085 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class M3, 7.33% 2/25/2055 (g)(o) |  | 160794 | 164138 |
| Velocity Commercial Capital Loan Trust Series 2025-1 Class M4, 10.15% 2/25/2055 (g)(o) |  | 160794 | 163948 |
| Velocity Commercial Capital Loan Trust Series 2025-3 Class A, 5.87% 6/25/2055 (o) |  | 1672882 | 1699247 |
| Velocity Commercial Capital Loan Trust Series 2025-3 Class M3, 7.38% 6/25/2055 (g)(o) |  | 186848 | 190999 |
| Velocity Commercial Capital Loan Trust Series 2025-5 Class M3, 6.7% 12/25/2055 (o) |  | 187969 | 189369 |
| Velocity Commercial Capital Loan Trust Series 2025-MC1 Class A1, 8.163% 5/25/2055 (o) |  | 184840 | 183933 |
| Velocity Commercial Capital Loan Trust Series 2026-1 Class A, 5.1% 2/25/2056 (g)(o) |  | 747120 | 750942 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (o) |  | 3760000 | 3266598 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (o) |  | 300000 | 249389 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (g)(o) |  | 8700000 | 147312 |
| WBHT Commercial Mortgage Trust Series 2025-WBM Class A, CME Term SOFR 1 month Index + 1.7423%, 5.4019% 6/15/2042 (f)(g)(o) |  | 2945000 | 2955435 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C34 Class A4, 3.096% 6/15/2049  |  | 4649715 | 4633900 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4, 2.931% 7/15/2048  |  | 1500000 | 1491003 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 4.8285% 7/15/2048 (f)(g)(o) |  | 1900000 | 1900326 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C38 Class AS, 3.665% 7/15/2050  |  | 1110000 | 1087824 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8156% 12/15/2050 (g)(t) |  | 28587120 | 356273 |
| Wells Fargo Commercial Mortgage Trust Series 2018-1745 Class A, 3.7487% 6/15/2036 (g)(o) |  | 5400000 | 5114831 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (g)(t) |  | 10902744 | 160907 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C49 Class D, 3% 3/15/2052 (o) |  | 21000 | 17367 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C50 Class XA, 1.4116% 5/15/2052 (g)(t) |  | 8831291 | 292402 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class ASB, 3.063% 12/15/2052  |  | 1970794 | 1942721 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C59 Class A4, 2.343% 4/15/2054  |  | 5000000 | 4627693 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class A3, 2.406% 11/15/2054  |  | 7300000 | 6603248 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (f)(g)(o) |  | 4470000 | 4467938 |
| Wells Fargo Commercial Mortgage Trust Series 2022-ONL Class A, 3.862% 12/15/2039 (o) |  | 900000 | 868624 |
| Wells Fargo Commercial Mortgage Trust Series 2024-1CHI Class A, 5.4844% 7/15/2035 (g)(o) |  | 137000 | 138153 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  |  | 1900000 | 2001874 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class B, 6.2153% 7/15/2043 (o) |  | 415000 | 427788 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class C, 6.4319% 7/15/2043 (o) |  | 264000 | 271115 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class D, 7.0816% 7/15/2043 (o) |  | 110000 | 113660 |
| Wells Fargo Commercial Mortgage Trust Series 2024-BPRC Class X, 0.091% 7/15/2043 (g)(o)(t) |  | 3278000 | 27258 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (f)(g)(o) |  | 6587000 | 6578424 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 5.9503% 10/15/2041 (f)(g)(o) |  | 4700000 | 4701635 |
| Wells Fargo Commercial Mortgage Trust Series 2026-5C8 Class A3, 5.034% 3/15/2059  |  | 2300000 | 2378950 |
| West Trust Series 2025-ROSE Class A, 5.275% 4/10/2035 (g)(o) |  | 156000 | 159796 |
| WF-RBS Commercial Mortgage Trust Series 2013-C11 Class D, 4.0678% 3/15/2045 (g)(o) |  | 177415 | 159670 |
| WHARF Series 2025-DC Class A, 5.5278% 7/15/2040 (g)(o) |  | 352000 | 365353 |
| WHARF Series 2025-DC Class E, 7.9816% 7/15/2040 (g)(o) |  | 198000 | 203646 |
| TOTAL UNITED STATES |  |  | 1326268758 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $1,346,102,144) |  |  | <br> **1334893387** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (l) | 1584 | 28786 |
| JAMAICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel Ltd (l)(n) | 104255 | 1680591 |
| LUXEMBOURG - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Ardagh Holdings SA (l)(o) | 61576 | 527497 |
| UNITED STATES - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Main Street Sports Group (l)(n) | 34138 | 6418 |
| Main Street Sports Group warrants 6/30/2026 (l)(n) | 63385 | 1 |
| TOTAL COMMUNICATION SERVICES |  | 6419 |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (l)(n) | 9092 | 76736 |
| Cano Health LLC warrants 6/28/2029 (l)(n) | 279 | 388 |
| ModivCare Inc (l) | 74160 | 417150 |
| TOTAL HEALTH CARE |  | 494274 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Incora Top Holdco LLC (l)(n) | 3391 | 19803 |
| TOTAL UNITED STATES |  | 520496 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $2,490,278) |  | <br> **2757370** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 0.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GERMANY - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Vonovia SE 0.875% 5/20/2032 (q) | EUR | 100000 | 121809 |
| ITALY - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Davide Campari-Milano NV 2.375% 1/17/2029 (q) | EUR | 800000 | 933713 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $999,000) |  |  | <br> **1055522** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** | &nbsp;&nbsp;**Fixed-Income Funds - 44.7%** |
|  | Shares | Value ($)<br>|
| American Funds The Bond Fund of America Class F-2  | 128600134 | 1487903546 |
| Baird Aggregate Bond Fund Class Institutional  | 116707739 | 1174079859 |
| Baird Core Plus Bond Fund Class Institutional  | 109494502 | 1140932706 |
| Columbia Mortgage Opportunities Fund Institutional 2 Class  | 58860756 | 509734150 |
| DoubleLine Total Return Bond Fund Class N  | 151316072 | 1366384131 |
| Eaton Vance Total Return Bond ETF (w) | 3439515 | 178889174 |
| Fidelity SAI Long-Term Treasury Bond Index Fund (x) | 140060 | 977617 |
| Fidelity SAI Total Bond Fund (x) | 334535294 | 3101142177 |
| Fidelity SAI U.S. Treasury Bond Index Fund (x) | 114680 | 1029823 |
| Fidelity U.S. Bond Index Fund (x) | 37243094 | 398128676 |
| iShares 1-5 Year Investment Grade Corporate Bond ETF  | 995261 | 52977743 |
| iShares 7-10 Year Treasury Bond ETF (w) | 16973444 | 1663227778 |
| iShares Broad USD High Yield Corporate Bond ETF  | 22267 | 832563 |
| iShares Core US Aggregate Bond ETF  | 10391 | 1053647 |
| iShares iBoxx $ Investment Grade Corporate Bond ETF (w) | 1892 | 211299 |
| John Hancock Bond Fund Class R6  | 59008632 | 819629902 |
| JPMorgan Core Bond Fund Class R6  | 70461876 | 746191265 |
| NYLI MacKay U.S. Infrastructure Bond Class A  | 48297173 | 374786060 |
| PIMCO Income Fund Institutional Class  | 115018174 | 1276701726 |
| PIMCO Mortgage Opportunities and Bond Fund Institutional Class  | 223108384 | 2119529644 |
| SPDR DoubleLine Total Return Tactical ETF (w) | 13815794 | 562993606 |
| State Street SPDR Portfolio Long Term Treasury ETF (w) | 21299820 | 584893057 |
| T. Rowe Price Emerging Markets Bond Fund I Class  | 31029473 | 309363851 |
| TCW Emerging Markets Income Fund Class N  | 36866800 | 336962552 |
| The Hartford Total Return Bond Fund Class I  | 43656313 | 404694024 |
| Voya Intermediate Bond Fund Class I  | 167379480 | 1498046342 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $20,988,033,602) |  | **20111296918** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ARGENTINA - 0.0%  |  |  |  |
| Argentine Republic 0.125% 7/9/2030  | EUR | 1560936 | 1549298 |
| Argentine Republic 0.75% 7/9/2030 (p) |  | 4292929 | 3634150 |
| Argentine Republic 1% 7/9/2029  |  | 5777546 | 5096893 |
| Argentine Republic 3.5% 7/9/2041 (p) |  | 700000 | 488974 |
| Argentine Republic 4.125% 7/9/2035 (p) |  | 2310000 | 1737409 |
| TOTAL ARGENTINA |  |  | 12506724 |
| AUSTRALIA - 0.2%  |  |  |  |
| Australian Commonwealth 1.75% 11/21/2032 (q) | AUD | 205000 | 123313 |
| Australian Commonwealth 2.75% 6/21/2035 (q) | AUD | 22200000 | 13565652 |
| New South Wales Treasury Corp 1.75% 3/20/2034 (q) | AUD | 9100000 | 5080110 |
| New South Wales Treasury Corp 2% 3/8/2033  | AUD | 1200000 | 708812 |
| New South Wales Treasury Corp 4.75% 2/20/2037 (q) | AUD | 7055000 | 4784467 |
| New South Wales Treasury Corp 5.25% 2/24/2038 (q) | AUD | 2825000 | 1981099 |
| Queensland Treasury Corp 1.5% 8/20/2032 (o)(q) | AUD | 9100000 | 5285529 |
| Queensland Treasury Corp 4.5% 8/22/2035 (o)(q) | AUD | 2200000 | 1483967 |
| Queensland Treasury Corp 5% 7/21/2037 (o)(q) | AUD | 5255000 | 3612832 |
| Queensland Treasury Corp 5.25% 8/13/2038 (o)(q) | AUD | 4185000 | 2912615 |
| Treasury Corp of Victoria 2% 11/20/2037  | AUD | 5130000 | 2553892 |
| Treasury Corp of Victoria 2.25% 9/15/2033 (q) | AUD | 4300000 | 2532137 |
| TOTAL AUSTRALIA |  |  | 44624425 |
| BAHAMAS (NASSAU) - 0.0%  |  |  |  |
| Commonwealth of the Bahamas 8.25% 6/24/2036 (o) |  | 391000 | 437579 |
| BENIN - 0.0%  |  |  |  |
| Republic of Benin 7.96% 2/13/2038 (o) |  | 400000 | 419403 |
| BRAZIL - 0.1%  |  |  |  |
| Brazil Minas SPE via State of Minas Gerais 5.333% 2/15/2028 (q) |  | 796000 | 800139 |
| Brazilian Federative Republic Treasury Bills 0% 4/1/2026 (r) | BRL | 171800000 | 33088359 |
| Federative Republic of Brazil 6% 10/20/2033  |  | 700000 | 715575 |
| Federative Republic of Brazil 6.25% 5/22/2036  |  | 5000000 | 5047500 |
| Federative Republic of Brazil 6.625% 3/15/2035  |  | 985000 | 1034250 |
| Federative Republic of Brazil 7.125% 5/13/2054  |  | 488000 | 497008 |
| TOTAL BRAZIL |  |  | 41182831 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 220000 | 150164 |
| Canadian Government 3% 6/1/2034  | CAD | 220000 | 161123 |
| Province of Quebec 4.45% 9/1/2034  | CAD | 8000000 | 6288568 |
| Province of Quebec 7.5% 9/15/2029  |  | 1315000 | 1483142 |
| TOTAL CANADA |  |  | 8082997 |
| COLOMBIA - 0.1%  |  |  |  |
| Colombian Republic 11.75% 1/24/2035  | COP | 18565400000 | 4406066 |
| Colombian Republic 12.75% 11/28/2040  | COP | 3982900000 | 989802 |
| Colombian Republic 3.75% 9/19/2028  | EUR | 5310000 | 6224290 |
| Colombian Republic 4.5% 3/15/2029  |  | 1700000 | 1654950 |
| Colombian Republic 5.375% 1/21/2029  |  | 1700000 | 1696600 |
| Colombian Republic 6.125% 1/21/2031  |  | 211000 | 210473 |
| Colombian Republic 7.375% 4/25/2030  |  | 4145000 | 4353908 |
| Colombian Republic 7.75% 11/7/2036  |  | 980000 | 1020376 |
| Colombian Republic 8% 11/14/2035  |  | 1409000 | 1503755 |
| Colombian Republic 8.75% 11/14/2053  |  | 788000 | 865460 |
| TOTAL COLOMBIA |  |  | 22925680 |
| COSTA RICA - 0.0%  |  |  |  |
| Republic of Costa Rica 7.3% 11/13/2054 (o) |  | 285000 | 325552 |
| COTE D'IVOIRE - 0.0%  |  |  |  |
| Cote d'Ivoire Treasury Bill 4.875% 1/30/2032 (q) | EUR | 1930000 | 2226440 |
| Cote d'Ivoire Treasury Bill 5.25% 3/22/2030 (q) | EUR | 2973000 | 3559004 |
| Cote d'Ivoire Treasury Bill 5.875% 10/17/2031 (q) | EUR | 4472000 | 5389798 |
| Cote d'Ivoire Treasury Bill 6.125% 6/15/2033 (q) |  | 950000 | 940975 |
| Cote d'Ivoire Treasury Bill 6.75% 2/25/2041 (o) |  | 3081000 | 2939274 |
| Cote d'Ivoire Treasury Bill 8.075% 4/1/2036 (o) |  | 480000 | 517507 |
| TOTAL COTE D'IVOIRE |  |  | 15572998 |
| DOMINICAN REPUBLIC - 0.0%  |  |  |  |
| Dominican Republic 5.5% 2/22/2029 (o) |  | 2662000 | 2706589 |
| Dominican Republic 5.5% 2/22/2029 (q) |  | 161000 | 163697 |
| Dominican Republic 5.95% 1/25/2027 (o) |  | 1100000 | 1111303 |
| Dominican Republic 6% 2/22/2033 (q) |  | 157000 | 160140 |
| Dominican Republic 6% 7/19/2028 (o) |  | 1429000 | 1469012 |
| Dominican Republic 6.4% 6/5/2049 (q) |  | 450000 | 450900 |
| Dominican Republic 7.45% 4/30/2044 (q) |  | 100000 | 111100 |
| TOTAL DOMINICAN REPUBLIC |  |  | 6172741 |
| ECUADOR - 0.0%  |  |  |  |
| Republic of Ecuador 5% 7/31/2040 (o)(p) |  | 481734 | 393099 |
| Republic of Ecuador 6.9% 7/31/2030 (p)(q) |  | 1062900 | 1049539 |
| Republic of Ecuador 6.9% 7/31/2035 (o)(p) |  | 1249573 | 1133797 |
| Republic of Ecuador 8.75% 1/29/2034 (o) |  | 6443000 | 6500987 |
| Republic of Ecuador 9.25% 1/29/2039 (o) |  | 908000 | 923436 |
| TOTAL ECUADOR |  |  | 10000858 |
| EGYPT - 0.0%  |  |  |  |
| Arab Republic of Egypt 7.3% 9/30/2033 (q) |  | 200000 | 200700 |
| Arab Republic of Egypt 7.6003% 3/1/2029 (q) |  | 300000 | 314532 |
| Arab Republic of Egypt 7.625% 5/29/2032 (q) |  | 350000 | 358838 |
| Arab Republic of Egypt 8.5% 1/31/2047 (q) |  | 300000 | 286500 |
| Arab Republic of Egypt 8.7002% 3/1/2049 (q) |  | 500000 | 485780 |
| Arab Republic of Egypt 8.875% 5/29/2050 (q) |  | 300000 | 293250 |
| Arab Republic of Egypt 9.45% 2/4/2033 (o) |  | 200000 | 224376 |
| TOTAL EGYPT |  |  | 2163976 |
| EL SALVADOR - 0.0%  |  |  |  |
| El Salvador Republic 9.65% 11/21/2054 (o) |  | 823000 | 935247 |
| GUATEMALA - 0.0%  |  |  |  |
| Republic of Guatemala 3.7% 10/7/2033 (q) |  | 947000 | 860444 |
| Republic of Guatemala 6.25% 8/15/2036 (q) |  | 979000 | 1037434 |
| Republic of Guatemala 6.25% 8/15/2036 (o) |  | 669000 | 708931 |
| TOTAL GUATEMALA |  |  | 2606809 |
| HONDURAS - 0.0%  |  |  |  |
| Honduras Government 8.625% 11/27/2034 (o) |  | 400000 | 464623 |
| HUNGARY - 0.0%  |  |  |  |
| Hungary Government 1.75% 6/5/2035 (q) | EUR | 1370000 | 1341574 |
| Hungary Government 2.125% 9/22/2031 (o) |  | 780000 | 681720 |
| Hungary Government 7.625% 3/29/2041  |  | 170000 | 202140 |
| TOTAL HUNGARY |  |  | 2225434 |
| INDONESIA - 0.0%  |  |  |  |
| Indonesia Government 2.85% 2/14/2030  |  | 1430000 | 1357428 |
| Indonesia Government 3.05% 3/12/2051  |  | 1180000 | 780570 |
| Indonesia Government 3.4% 9/18/2029  |  | 420000 | 409709 |
| Indonesia Government 3.5% 1/11/2028  |  | 6300000 | 6253160 |
| TOTAL INDONESIA |  |  | 8800867 |
| ISRAEL - 0.0%  |  |  |  |
| Israel Government 5.375% 2/19/2030  |  | 4461000 | 4617363 |
| Israel Government 5.5% 3/12/2034  |  | 200000 | 207936 |
| Israel Government 5.5% 9/18/2033  |  | 2685000 | 2954927 |
| TOTAL ISRAEL |  |  | 7780226 |
| ITALY - 0.0%  |  |  |  |
| Cassa Depositi e Prestiti SpA 4.375% 10/1/2030 (o) |  | 1200000 | 1212129 |
| Cassa Depositi e Prestiti SpA 5.75% 5/5/2026 (o) |  | 1200000 | 1203229 |
| Cassa Depositi e Prestiti SpA 5.875% 4/30/2029 (o) |  | 2200000 | 2325807 |
| TOTAL ITALY |  |  | 4741165 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.1% 9/20/2028  | JPY | 114850000 | 713796 |
| Japan Government 0.2% 3/1/2026  | JPY | 378350000 | 2422677 |
| Japan Government 1.6% 3/20/2044  | JPY | 530000000 | 2794697 |
| Japan Government 1.8% 3/20/2054  | JPY | 430000000 | 1980068 |
| Japan Government Treasury Bills 0% 3/2/2026 (r) | JPY | 300000000 | 1921045 |
| Japan Government Treasury Bills 0% 5/18/2026 (r) | JPY | 78450000 | 501549 |
| TOTAL JAPAN |  |  | 10333832 |
| JORDAN - 0.0%  |  |  |  |
| Jordan Government 5.75% 11/12/2032 (o) |  | 918000 | 902394 |
| Jordan Government 5.85% 7/7/2030 (q) |  | 200000 | 201100 |
| Jordan Government 7.375% 10/10/2047 (q) |  | 400000 | 395200 |
| TOTAL JORDAN |  |  | 1498694 |
| KENYA - 0.0%  |  |  |  |
| Republic of Kenya 7.875% 10/9/2033 (o) |  | 320000 | 318800 |
| Republic of Kenya 8.8% 10/9/2038 (o) |  | 452000 | 447254 |
| Republic of Kenya 9.5% 3/5/2036 (o) |  | 532000 | 558999 |
| TOTAL KENYA |  |  | 1325053 |
| KUWAIT - 0.0%  |  |  |  |
| State of Kuwait 4.016% 10/9/2028 (o) |  | 3100000 | 3109897 |
| State of Kuwait 4.136% 10/9/2030 (o) |  | 3100000 | 3107502 |
| State of Kuwait 4.652% 10/9/2035 (o) |  | 2400000 | 2406504 |
| TOTAL KUWAIT |  |  | 8623903 |
| MEXICO - 0.1%  |  |  |  |
| United Mexican States 2.659% 5/24/2031  |  | 2470000 | 2225470 |
| United Mexican States 4.28% 8/14/2041  |  | 400000 | 326800 |
| United Mexican States 4.5% 1/31/2050  |  | 2340000 | 1815606 |
| United Mexican States 4.5% 4/22/2029  |  | 2920000 | 2938907 |
| United Mexican States 4.75% 3/22/2031  |  | 4100000 | 4089750 |
| United Mexican States 4.75% 3/8/2044  |  | 206000 | 171969 |
| United Mexican States 5.375% 3/22/2033  |  | 4085000 | 4099706 |
| United Mexican States 5.625% 9/22/2035  |  | 2211000 | 2206025 |
| United Mexican States 5.85% 7/2/2032  |  | 4875000 | 5070000 |
| United Mexican States 6% 5/13/2030  |  | 4310000 | 4534120 |
| United Mexican States 6.05% 1/11/2040  |  | 1600000 | 1610256 |
| United Mexican States 6.35% 2/9/2035  |  | 1200000 | 1266600 |
| United Mexican States 6.875% 5/13/2037  |  | 11400000 | 12346200 |
| TOTAL MEXICO |  |  | 42701409 |
| MULTI-NATIONAL - 0.1%  |  |  |  |
| European Union 2.875% 10/5/2029 (q) | EUR | 19500000 | 23510319 |
| European Union 3.375% 12/12/2035 (q) | EUR | 1000000 | 1222377 |
| European Union 3.75% 10/12/2045 (q) | EUR | 400000 | 478743 |
| European Union 4% 4/4/2044 (q) | EUR | 815000 | 1014720 |
| TOTAL MULTI-NATIONAL |  |  | 26226159 |
| NIGERIA - 0.0%  |  |  |  |
| Republic of Nigeria 6.125% 9/28/2028 (o) |  | 300000 | 302439 |
| Republic of Nigeria 6.5% 11/28/2027 (q) |  | 300000 | 304593 |
| Republic of Nigeria 9.1297% 1/13/2046 (o) |  | 560000 | 609280 |
| TOTAL NIGERIA |  |  | 1216312 |
| PAKISTAN - 0.0%  |  |  |  |
| Islamic Republic of Pakistan 7.375% 4/8/2031 (o) |  | 700000 | 691250 |
| Islamic Republic of Pakistan 8.875% 4/8/2051 (o) |  | 600000 | 592500 |
| TOTAL PAKISTAN |  |  | 1283750 |
| PANAMA - 0.0%  |  |  |  |
| Panamanian Republic 3.16% 1/23/2030  |  | 650000 | 617500 |
| Panamanian Republic 3.875% 3/17/2028  |  | 1220000 | 1210469 |
| Panamanian Republic 4.3% 4/29/2053  |  | 615000 | 477701 |
| Panamanian Republic 4.5% 4/16/2050  |  | 400000 | 320475 |
| Panamanian Republic 5.662% 2/23/2038  |  | 213000 | 213911 |
| TOTAL PANAMA |  |  | 2840056 |
| PARAGUAY - 0.0%  |  |  |  |
| Republic of Paraguay 5.4% 3/30/2050 (q) |  | 1019000 | 961936 |
| Republic of Paraguay 5.6% 3/13/2048 (q) |  | 400000 | 388676 |
| TOTAL PARAGUAY |  |  | 1350612 |
| PERU - 0.0%  |  |  |  |
| Peruvian Republic 1.862% 12/1/2032  |  | 2350000 | 1978113 |
| Peruvian Republic 2.783% 1/23/2031  |  | 772000 | 716416 |
| Peruvian Republic 2.844% 6/20/2030  |  | 800000 | 758400 |
| Peruvian Republic 3.55% 3/10/2051  |  | 1000000 | 721750 |
| Peruvian Republic 5.375% 2/8/2035  |  | 800000 | 826000 |
| Peruvian Republic 5.875% 8/8/2054  |  | 2600000 | 2625350 |
| TOTAL PERU |  |  | 7626029 |
| PHILIPPINES - 0.0%  |  |  |  |
| Philippine Republic 3% 2/1/2028  |  | 1130000 | 1112666 |
| Philippine Republic 3.2% 7/6/2046  |  | 1180000 | 857860 |
| Philippine Republic 5.5% 2/4/2035  |  | 2790000 | 2943450 |
| TOTAL PHILIPPINES |  |  | 4913976 |
| POLAND - 0.0%  |  |  |  |
| Republic of Poland 5.125% 9/18/2034  |  | 200000 | 207799 |
| Republic of Poland 5.375% 2/12/2035  |  | 285000 | 298438 |
| Republic of Poland 5.5% 3/18/2054  |  | 370000 | 362097 |
| TOTAL POLAND |  |  | 868334 |
| ROMANIA - 0.1%  |  |  |  |
| Romanian Republic 4.625% 3/4/2033 (o) | EUR | 3345000 | 3942571 |
| Romanian Republic 5.375% 6/7/2033 (o) | EUR | 11400000 | 13958536 |
| Romanian Republic 5.625% 5/30/2037 (o) | EUR | 1800000 | 2162952 |
| Romanian Republic 5.75% 3/24/2035 (q) |  | 502000 | 507522 |
| Romanian Republic 5.75% 9/16/2030 (o) |  | 3270000 | 3395274 |
| Romanian Republic 5.875% 7/11/2032 (q) | EUR | 650000 | 822187 |
| Romanian Republic 6% 9/24/2044 (o) | EUR | 646000 | 762214 |
| Romanian Republic 6.625% 5/16/2036 (q) |  | 2010000 | 2142660 |
| TOTAL ROMANIA |  |  | 27693916 |
| SAUDI ARABIA - 0.1%  |  |  |  |
| Kingdom of Saudi Arabia 3.625% 3/4/2028 (q) |  | 8800000 | 8726344 |
| Kingdom of Saudi Arabia 4.125% 1/12/2029 (o) |  | 6500000 | 6506110 |
| Kingdom of Saudi Arabia 5.125% 1/13/2028 (o) |  | 18400000 | 18745000 |
| TOTAL SAUDI ARABIA |  |  | 33977454 |
| SERBIA - 0.0%  |  |  |  |
| Republic of Serbia 1.5% 6/26/2029 (q) | EUR | 3203000 | 3549259 |
| Republic of Serbia 1.5% 6/26/2029 (o) | EUR | 1790000 | 1983507 |
| Republic of Serbia 1.65% 3/3/2033 (o) | EUR | 671000 | 682320 |
| Republic of Serbia 1.65% 3/3/2033 (q) | EUR | 183000 | 186086 |
| Republic of Serbia 6.25% 5/26/2028 (q) |  | 1308000 | 1361955 |
| Republic of Serbia 6.25% 5/26/2028 (o) |  | 995000 | 1036044 |
| TOTAL SERBIA |  |  | 8799171 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| South African Republic 5.875% 4/20/2032  |  | 690000 | 712856 |
| South African Republic 7.1% 11/19/2036 (o) |  | 10537000 | 11329910 |
| South African Republic 7.25% 12/11/2055 (o) |  | 389000 | 389000 |
| South African Republic 7.3% 4/20/2052  |  | 500000 | 504750 |
| South African Republic 7.95% 11/19/2054 (o) |  | 483000 | 521640 |
| TOTAL SOUTH AFRICA |  |  | 13458156 |
| SURINAME - 0.0%  |  |  |  |
| Republic of Suriname 7.7% 11/6/2030 (o) |  | 479000 | 493222 |
| Republic of Suriname 8.5% 11/6/2035 (o) |  | 663000 | 708084 |
| TOTAL SURINAME |  |  | 1201306 |
| TURKEY - 0.0%  |  |  |  |
| Istanbul Metropolitan Municipality 10.5% 12/6/2028 (o) |  | 600000 | 660264 |
| Turkish Republic 36% 8/12/2026  | TRY | 189963800 | 4378109 |
| Turkish Republic 7.625% 5/15/2034  |  | 400000 | 428400 |
| TOTAL TURKEY |  |  | 5466773 |
| UNITED KINGDOM - 0.3%  |  |  |  |
| United Kingdom of Great Britain and Northern Ireland 0.5% 10/22/2061 (q) | GBP | 1900000 | 681870 |
| United Kingdom of Great Britain and Northern Ireland 3.75% 10/22/2053 (q) | GBP | 2700000 | 2938214 |
| United Kingdom of Great Britain and Northern Ireland 4.375% 7/31/2054 (q) | GBP | 12865000 | 15597697 |
| United Kingdom of Great Britain and Northern Ireland 4.5% 3/7/2035 (q) | GBP | 50000000 | 68707643 |
| TOTAL UNITED KINGDOM |  |  | 87925424 |
| URUGUAY - 0.0%  |  |  |  |
| Uruguay Republic 4.375% 10/27/2027  |  | 100000 | 100700 |
| Uruguay Republic 5.1% 6/18/2050  |  | 990000 | 951390 |
| TOTAL URUGUAY |  |  | 1052090 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $463,431,577) |  |  | <br> **482352544** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Arizona - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Salt River Proj AZ Agric & Pwr 4.839% 1/1/2041  | 750000 | 751916 |
| Other - 0.0% |  |  |
| Maricopa Cnty AZ Ind Dev Au Ed Series 2024, 7.375% 10/1/2029 (o) | 4950000 | 5341009 |
| TOTAL ARIZONA |  | 6092925 |
| California - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University CA Revs 4.858% 5/15/2112  | 499000 | 433361 |
| University CA Revs Series 2015 AQ, 4.767% 5/15/2115  | 1565000 | 1333625 |
| University CA Revs Series 2015 J, 4.131% 5/15/2045  | 1750000 | 1632234 |
| TOTAL EDUCATION |  | 3399220 |
| General Obligations - 0.0% |  |  |
| State of California 7.5% 4/1/2034  | 205000 | 242054 |
| State of California 7.55% 4/1/2039  | 290000 | 358291 |
| State of California Gen. Oblig. 4.6% 4/1/2038 (Pre-refunded to 4/1/2028 at 100)  | 1180000 | 1205722 |
| TOTAL GENERAL OBLIGATIONS |  | 1806067 |
| Health Care - 0.0% |  |  |
| Univ CA Regts Med Ctr Pooled Rev Series 2022 Q, 4.563% 5/15/2053  | 875000 | 789939 |
| Tobacco Bonds - 0.0% |  |  |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Series 2021 B 1, 3.85% 6/1/2050  | 70000 | 65055 |
| Transportation - 0.0% |  |  |
| Bay Area Toll Auth CA Bridge Rev 6.263% 4/1/2049  | 3565000 | 3870089 |
| Bay Area Toll Auth CA Bridge Rev 7.043% 4/1/2050  | 540000 | 630977 |
| Los Angeles CA Dept Arpts Rev Series 2021 C, 2.063% 5/15/2034  | 500000 | 426719 |
| Los Angeles CA Dept Arpts Rev Series 2021 C, 2.163% 5/15/2035  | 500000 | 419430 |
| TOTAL TRANSPORTATION |  | 5347215 |
| TOTAL CALIFORNIA |  | 11407496 |
| Colorado - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| Regional Transn Dist CO Sales 5.844% 11/1/2050  | 45000 | 46812 |
| Florida - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| State of Florida Series 2024A, 5.526% 7/1/2034  | 1500000 | 1615337 |
| Georgia - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| Georgia Mun Elec Auth Pwr Rev Series 2010 A, 6.637% 4/1/2057  | 207000 | 228579 |
| Illinois - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| Illinois St Gen. Oblig. 5.1% 6/1/2033  | 2159559 | 2236231 |
| Louisiana - 0.0%  |  |  |
| Other - 0.0% |  |  |
| Louisiana Local Government Environmental Facilities & Community Development Auth Series ELL Class A2, 4.145% 2/1/2033  | 720000 | 725319 |
| Massachusetts - 0.0%  |  |  |
| Special Tax - 0.0% |  |  |
| Massachusetts St Transn Fd Rev 5.731% 6/1/2040  | 150000 | 159335 |
| Michigan - 0.0%  |  |  |
| Education - 0.0% |  |  |
| Michigan St Univ Revs Series 2022A, 4.165% 8/15/2122  | 3660000 | 2756306 |
| University MI Univ Revs 2.437% 4/1/2040  | 570000 | 446713 |
| University MI Univ Revs 3.504% 4/1/2052  | 1080000 | 825211 |
| University MI Univ Revs 4.454% 4/1/2122  | 4790000 | 3926792 |
| TOTAL EDUCATION |  | 7955022 |
| Health Care - 0.0% |  |  |
| Michigan Fin Auth Rev (Trinity Health Proj.) Series 2019 T, 3.384% 12/1/2040  | 545000 | 474469 |
| TOTAL MICHIGAN |  | 8429491 |
| Minnesota - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University MN Series 2022, 4.048% 4/1/2052  | 1060000 | 902886 |
| New Jersey - 0.0%  |  |  |
| Transportation - 0.0% |  |  |
| New Jersey Turnpike Authority 7.102% 1/1/2041  | 855000 | 1019611 |
| New Jersey Turnpike Authority 7.414% 1/1/2040  | 2220000 | 2718759 |
| TOTAL NEW JERSEY |  | 3738370 |
| New Jersey,New York - 0.0%  |  |  |
| Transportation - 0.0% |  |  |
| Port Auth NY & NJ 4.926% 10/1/2051  | 70000 | 67523 |
| Port Auth NY & NJ 4.96% 8/1/2046  | 280000 | 273176 |
| Port Auth NY & NJ 5.647% 11/1/2040  | 240000 | 261564 |
| Port Auth NY & NJ Series 174, 4.458% 10/1/2062  | 515000 | 452948 |
| TOTAL NEW JERSEY,NEW YORK |  | 1055211 |
| New York - 0.1%  |  |  |
| Education - 0.0% |  |  |
| NY St Dorm Auth Revs Non St Supported Debt Series 2025B, 5.228% 7/1/2035  | 5630000 | 6074027 |
| Other - 0.0% |  |  |
| New York City Transitional Finance Authority 2.69% 5/1/2033 (Escrowed to Maturity)  | 530000 | 482273 |
| Special Tax - 0.1% |  |  |
| New York City Transitional Finance Authority Series FISCAL 2025C SUB C 2, 4.375% 5/1/2037  | 6565000 | 6469232 |
| New York NY City Transitional Fin Auth Rev Series FISCAL 2021 SUB E 3, 1.97% 2/1/2033  | 2015000 | 1757835 |
| New York NY City Transitional Fin Auth Rev Series FISCAL 2023 F SUBF 3, 5.15% 2/1/2036  | 540000 | 562186 |
| New York St Dorm Auth St Pers Income Tax Rev (New York State Pit Proj.) 5.628% 3/15/2039  | 990000 | 1028779 |
| TOTAL SPECIAL TAX |  | 9818032 |
| Transportation - 0.0% |  |  |
| Metropolitan Transn Auth NY Rv 6.668% 11/15/2039  | 380000 | 421873 |
| Metropolitan Transn Auth NY Rv Series 2010E, 6.814% 11/15/2040  | 15000 | 17171 |
| TOTAL TRANSPORTATION |  | 439044 |
| Water & Sewer - 0.0% |  |  |
| New York NY Cty Muni Wtr Fin Auth 5.882% 6/15/2044  | 320000 | 333222 |
| New York NY Cty Muni Wtr Fin Auth 6.011% 6/15/2042  | 70000 | 74096 |
| TOTAL WATER & SEWER |  | 407318 |
| TOTAL NEW YORK |  | 17220694 |
| Ohio - 0.0%  |  |  |
| Education - 0.0% |  |  |
| Ohio St Univ Gen Rcpts 4.8% 6/1/2111  | 1503000 | 1304075 |
| Electric Utilities - 0.0% |  |  |
| American Mun Pwr Rev 8.084% 2/15/2050  | 435000 | 560835 |
| Escrowed/Pre-Refunded - 0.0% |  |  |
| JobsOhio Beverage System 2.833% 1/1/2038 (Escrowed to Maturity)  | 320000 | 279626 |
| Special Tax - 0.0% |  |  |
| JobsOhio Beverage System 2.833% 1/1/2038  | 5000 | 4329 |
| TOTAL OHIO |  | 2148865 |
| Texas - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| San Antonio TX Elec & Gas Rev 5.808% 2/1/2041  | 230000 | 242427 |
| General Obligations - 0.0% |  |  |
| Texas State Gen. Oblig. 5.517% 4/1/2039  | 318685 | 335705 |
| Industrial Development - 0.0% |  |  |
| Port of Beaumont Navigation District Series 2024 B, 10% 7/1/2026 (o) | 325000 | 325706 |
| Transportation - 0.0% |  |  |
| Dallas Fort Worth International Airport 4.087% 11/1/2051  | 1010000 | 863713 |
| Texas Private Activity Bd Surface Transn Corp Rev 3.922% 12/31/2049  | 390000 | 324888 |
| TOTAL TRANSPORTATION |  | 1188601 |
| TOTAL TEXAS |  | 2092439 |
| Virginia - 0.0%  |  |  |
| Education - 0.0% |  |  |
| University VA Univ Revs (University VA Univ Revs Proj.) 2.584% 11/1/2051  | 1520000 | 974072 |
| Other - 0.0% |  |  |
| Williamsburg Economic Development Authority Series 2025, 4.957% 11/1/2035  | 885000 | 915741 |
| TOTAL VIRGINIA |  | 1889813 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $64,100,064) |  | <br> **59989803** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.1%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 14.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| ANGOLA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Sonangol Finance Ltd 10% 1/29/2031 (o) |  | 310000 | 307567 |
| AUSTRALIA - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NBN Co Ltd 4% 10/1/2027 (o) |  | 7200000 | 7216060 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Santos Finance Ltd 3.649% 4/29/2031 (o) |  | 4800000 | 4573003 |
| Santos Finance Ltd 4.125% 9/14/2027 (q) |  | 6300000 | 6290327 |
| Woodside Finance Ltd 5.4% 5/19/2030  |  | 500000 | 518730 |
| TOTAL ENERGY |  |  | 11382060 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Australia & New Zealand Banking Group Ltd 5.1454% 8/18/2036 (g)(q) | GBP | 400000 | 543879 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (g)(o) |  | 3419000 | 3332044 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (g)(q) | EUR | 500000 | 594268 |
| Commonwealth Bank of Australia 6.4% 3/5/2046  | AUD | 360000 | 257057 |
| National Australia Bank Ltd 2.332% 8/21/2030 (o) |  | 450000 | 413573 |
| National Australia Bank Ltd 3.612% 1/22/2036 (g)(q) | EUR | 300000 | 356432 |
| Westpac Banking Corp 2.963% 11/16/2040  |  | 142000 | 110463 |
| Westpac Banking Corp 3.133% 11/18/2041  |  | 140000 | 108578 |
| Westpac Banking Corp 4.11% 7/24/2034 (g) |  | 4937000 | 4894550 |
| Westpac Banking Corp 6.085% 2/12/2041 (g) | AUD | 330000 | 235791 |
|  |  |  | 10846635 |
| Capital Markets - 0.0% |  |  |  |
| Macquarie Bank Ltd 3 month Australia Bank Bill Rate + 1.32%, 5.3068% 8/20/2036 (f)(g) | AUD | 400000 | 284296 |
| Macquarie Group Ltd 2.691% 6/23/2032 (g)(o) |  | 166000 | 152669 |
|  |  |  | 436965 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (q) | EUR | 465000 | 522111 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (g)(q) | GBP | 325000 | 417191 |
| TOTAL FINANCIALS |  |  | 12222902 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| CSL Finance PLC 5.106% 4/3/2034 (o) |  | 640000 | 662674 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Pacific National Finance Pty Ltd 3.7% 9/24/2029  | AUD | 570000 | 376053 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Sydney Airport Finance Co Pty Ltd 1.75% 4/26/2028 (q) | EUR | 1500000 | 1743753 |
| Sydney Airport Finance Co Pty Ltd 5.9% 4/19/2034 (q) | AUD | 620000 | 449986 |
|  |  |  | 2193739 |
| TOTAL INDUSTRIALS |  |  | 2569792 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Dyno Nobel Ltd 5.4% 11/8/2032  | AUD | 620000 | 434477 |
| Containers & Packaging - 0.0% |  |  |  |
| Amcor UK Finance PLC 3.75% 2/20/2033  | EUR | 1105000 | 1317623 |
| Metals & Mining - 0.1% |  |  |  |
| BHP Billiton Finance USA Ltd 4.9% 2/28/2033  |  | 103000 | 105992 |
| BHP Billiton Finance USA Ltd 5% 2/21/2030  |  | 1330000 | 1378983 |
| BHP Billiton Finance USA Ltd 5.125% 2/21/2032  |  | 3269000 | 3420168 |
| BHP Billiton Finance USA Ltd 5.25% 9/8/2033  |  | 3170000 | 3326778 |
| BHP Billiton Finance USA Ltd 5.3% 2/21/2035  |  | 355000 | 372297 |
| Fortescue Treasury Pty Ltd 4.375% 4/1/2031 (o) |  | 76000 | 73633 |
| Fortescue Treasury Pty Ltd 6.125% 4/15/2032 (o) |  | 150000 | 157121 |
| Glencore Funding LLC 2.5% 9/1/2030 (o) |  | 80000 | 74168 |
| Glencore Funding LLC 2.625% 9/23/2031 (o) |  | 260000 | 237143 |
| Glencore Funding LLC 2.85% 4/27/2031 (o) |  | 269000 | 251029 |
| Glencore Funding LLC 3.875% 10/27/2027 (o) |  | 137000 | 136708 |
| Glencore Funding LLC 5.186% 4/1/2030 (o) |  | 390000 | 403552 |
| Glencore Funding LLC 5.634% 4/4/2034 (o) |  | 2325000 | 2458945 |
| Glencore Funding LLC 5.7% 5/8/2033 (o) |  | 321000 | 341312 |
| Glencore Funding LLC 6.125% 10/6/2028 (o) |  | 1250000 | 1309536 |
| Mineral Resources Ltd 7% 4/1/2031 (o) |  | 530000 | 557565 |
| Mineral Resources Ltd 8% 11/1/2027 (o) |  | 530000 | 541642 |
| Mineral Resources Ltd 9.25% 10/1/2028 (o) |  | 775000 | 811698 |
| Rio Tinto Finance USA Ltd 5.2% 11/2/2040  |  | 162000 | 164524 |
| Rio Tinto Finance USA PLC 5% 3/9/2033  |  | 240000 | 249270 |
| Rio Tinto Finance USA PLC 5.25% 3/14/2035  |  | 540000 | 563484 |
|  |  |  | 16935548 |
| TOTAL MATERIALS |  |  | 18687648 |
| Real Estate - 0.0% |  |  |  |
| Retail REITs - 0.0% |  |  |  |
| Vicinity Centres Trust 5.836% 3/3/2036 (q) | AUD | 280000 | 199726 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Ausgrid Finance Pty Ltd 5.946% 12/10/2035 (q) | AUD | 930000 | 666447 |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 800000 | 591296 |
| TOTAL UTILITIES |  |  | 1257743 |
| TOTAL AUSTRALIA |  |  | 54198605 |
| AUSTRIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| ams-OSRAM AG 12.25% 3/30/2029 (o) |  | 3900000 | 4154920 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Mondi Finance PLC 3.375% 5/23/2031 (q) | EUR | 135000 | 159900 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (q) | EUR | 150000 | 183783 |
| TOTAL AUSTRIA |  |  | 4498603 |
| BAILIWICK OF JERSEY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Deepocean Ltd 6% 4/8/2031 (q) | EUR | 200000 | 245739 |
| BELGIUM - 0.1%  |  |  |  |
| Consumer Staples - 0.1% |  |  |  |
| Beverages - 0.1% |  |  |  |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 4.7% 2/1/2036  |  | 11575000 | 11604890 |
| Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 4.9% 2/1/2046  |  | 3125000 | 2939360 |
| Anheuser-Busch InBev Finance Inc 4.7% 2/1/2036  |  | 96000 | 96247 |
| Anheuser-Busch InBev Finance Inc 4.9% 2/1/2046  |  | 212000 | 198746 |
| Anheuser-Busch InBev Worldwide Inc 4.95% 1/15/2042  |  | 417000 | 404773 |
| Anheuser-Busch InBev Worldwide Inc 5.45% 1/23/2039  |  | 100000 | 104945 |
| Anheuser-Busch InBev Worldwide Inc 5.8% 1/23/2059  |  | 244000 | 253247 |
|  |  |  | 15602208 |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (q) | EUR | 400000 | 492223 |
| TOTAL CONSUMER STAPLES |  |  | 16094431 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (q) | EUR | 500000 | 606927 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| KBC Group NV 4.932% 10/16/2030 (g)(o) |  | 8910000 | 9138077 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| UCB SA 4.25% 3/20/2030 (q) | EUR | 2100000 | 2576034 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Syensqo Finance America LLC 5.65% 6/4/2029 (o) |  | 2000000 | 2077443 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (q) | EUR | 300000 | 358294 |
| TOTAL BELGIUM |  |  | 30851206 |
| BERMUDA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Triton Container International Ltd / TAL International Container Corp 5.15% 2/15/2033  |  | 235000 | 234977 |
| BRAZIL - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| MV24 Capital BV 6.748% 6/1/2034 (o) |  | 138806 | 141286 |
| Petrobras Global Finance BV 6.625% 1/16/2034  | GBP | 400000 | 558466 |
| TOTAL ENERGY |  |  | 699752 |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Yinson Bergenia Production BV 8.498% 1/31/2045 (o) |  | 603860 | 642432 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Braskem Netherlands Finance BV 4.5% 1/10/2028 (o) |  | 245000 | 111475 |
| Braskem Netherlands Finance BV 4.5% 1/31/2030 (o) |  | 1080000 | 454896 |
| Braskem Netherlands Finance BV 8.5% 1/12/2031 (o) |  | 4393000 | 1864390 |
|  |  |  | 2430761 |
| Metals & Mining - 0.0% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (o) |  | 315000 | 316575 |
| Samarco Mineracao SA 9.0494% 6/30/2031 pay-in-kind (p)(q) |  | 365000 | 366708 |
|  |  |  | 683283 |
| TOTAL MATERIALS |  |  | 3114044 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| FS Luxembourg Sarl 8.625% 6/25/2033 (o) |  | 200000 | 198030 |
| FS Luxembourg Sarl 8.875% 2/12/2031 (o) |  | 335000 | 346725 |
| TOTAL UTILITIES |  |  | 544755 |
| TOTAL BRAZIL |  |  | 5000983 |
| CANADA - 0.4%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.375% 6/9/2056 (g) |  | 160000 | 162363 |
| TELUS Corp 6.625% 10/15/2055 (g) |  | 100000 | 103262 |
| TELUS Corp 6.625% 6/9/2056 (g) |  | 205000 | 206657 |
| TELUS Corp 7% 10/15/2055 (g) |  | 150000 | 158288 |
|  |  |  | 630570 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 5.3% 2/15/2034  |  | 2725000 | 2784810 |
| Rogers Communications Inc 5.45% 10/1/2043  |  | 22000 | 21093 |
| Rogers Communications Inc 7.5% 8/15/2038  |  | 180000 | 211335 |
|  |  |  | 3017238 |
| TOTAL COMMUNICATION SERVICES |  |  | 3647808 |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| RB Global Holdings Inc 7.75% 3/15/2031 (o) |  | 514000 | 534388 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (o) |  | 5525000 | 5305695 |
| 1011778 BC ULC / New Red Finance Inc 4.375% 1/15/2028 (o) |  | 280000 | 278784 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (o) |  | 280000 | 287970 |
| Great Canadian Gaming Corp/Raptor LLC 8.75% 11/15/2029 (o) |  | 188000 | 191082 |
| Ontario Gaming GTA LP/OTG Co-Issuer Inc 8% 8/1/2030 (o) |  | 167000 | 161423 |
|  |  |  | 6224954 |
| Household Durables - 0.0% |  |  |  |
| Brookfield Residential Properties Inc / Brookfield Residential US LLC 4.875% 2/15/2030 (o) |  | 500000 | 469956 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (o) |  | 409000 | 411622 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 7640920 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Alimentation Couche-Tard Inc 5.267% 2/12/2034 (o) |  | 2645000 | 2743894 |
| Energy - 0.1% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Canadian Natural Resources Ltd 3.85% 6/1/2027  |  | 3200000 | 3199580 |
| Canadian Natural Resources Ltd 5% 12/15/2029  |  | 10920000 | 11269940 |
| Canadian Natural Resources Ltd 5.4% 12/15/2034  |  | 4100000 | 4246671 |
| Canadian Natural Resources Ltd 6.25% 3/15/2038  |  | 195000 | 210555 |
| Cenovus Energy Inc 2.65% 1/15/2032  |  | 1050000 | 954376 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 3710000 | 2687999 |
| Cenovus Energy Inc 4.65% 3/20/2031  |  | 983000 | 995474 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 1199000 | 1195060 |
| Cenovus Energy Inc 5.4% 3/20/2036  |  | 757000 | 771091 |
| Enbridge Inc 3.125% 11/15/2029  |  | 194000 | 187599 |
| Enbridge Inc 3.4% 8/1/2051  |  | 100000 | 69691 |
| Enbridge Inc 3.7% 7/15/2027  |  | 161000 | 160653 |
| Enbridge Inc 4.6% 6/20/2028  |  | 4400000 | 4459117 |
| Enbridge Inc 4.9% 6/20/2030  |  | 3500000 | 3605561 |
| Enbridge Inc 5.3% 4/5/2029  |  | 800000 | 829173 |
| Enbridge Inc 5.5% 12/1/2046  |  | 98000 | 96831 |
| Enbridge Inc 5.7% 3/8/2033  |  | 100000 | 106283 |
| Enbridge Inc 8.5% 1/15/2084 (g) |  | 3910000 | 4512605 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (g) |  | 48000 | 50949 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  |  | 535000 | 540778 |
| South Bow USA Infrastructure Holdings LLC 5.026% 10/1/2029  |  | 4320000 | 4417215 |
| Suncor Energy Inc 3.75% 3/4/2051  |  | 695000 | 507587 |
| Suncor Energy Inc 6.8% 5/15/2038  |  | 191000 | 216230 |
| Suncor Energy Inc 6.85% 6/1/2039  |  | 100000 | 112486 |
| TransCanada PipeLines Ltd 4.25% 5/15/2028  |  | 131000 | 131760 |
| TransCanada PipeLines Ltd 4.625% 3/1/2034  |  | 835000 | 830255 |
| TransCanada PipeLines Ltd 6.1% 6/1/2040  |  | 61000 | 65749 |
| Transcanada Trust 5.5% 9/15/2079 (g) |  | 1695000 | 1713408 |
| TOTAL ENERGY |  |  | 48144676 |
| Financials - 0.2% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Montreal 4.35% 9/22/2031 (g) |  | 100000 | 100645 |
| Bank of Montreal 5.511% 6/4/2031  |  | 250000 | 264956 |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (g)(q) | EUR | 760000 | 905612 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (g) |  | 300000 | 301068 |
| Bank of Nova Scotia/The 4.74% 11/10/2032 (g) |  | 475000 | 483523 |
| Bank of Nova Scotia/The 4.813% 2/2/2034 (g) |  | 403000 | 407645 |
| Canadian Imperial Bank of Commerce 4.58% 9/8/2031 (g) |  | 4500000 | 4566589 |
| Canadian Imperial Bank of Commerce 4.631% 9/11/2030 (g) |  | 275000 | 279936 |
| Canadian Imperial Bank of Commerce 4.857% 3/30/2029 (g) |  | 142000 | 144564 |
| Canadian Imperial Bank of Commerce 5.245% 1/13/2031 (g) |  | 100000 | 103913 |
| Royal Bank of Canada 3.125% 9/27/2031 (g)(q) | EUR | 435000 | 517424 |
| Royal Bank of Canada 4.24% 8/3/2027  |  | 414000 | 416596 |
| Royal Bank of Canada 4.498% 8/6/2029 (g) |  | 11500000 | 11637057 |
| Royal Bank of Canada 4.522% 10/18/2028 (g) |  | 493000 | 497977 |
| Royal Bank of Canada 4.65% 10/18/2030 (g) |  | 3805000 | 3881609 |
| Royal Bank of Canada 5.153% 2/4/2031 (g) |  | 236000 | 244753 |
| Toronto Dominion Bank 2% 9/10/2031  |  | 180000 | 162387 |
| Toronto Dominion Bank 3.357% 9/22/2032 (q) | EUR | 435000 | 514778 |
| Toronto Dominion Bank 4.108% 6/8/2027  |  | 142000 | 142525 |
| Toronto Dominion Bank 4.456% 6/8/2032  |  | 305000 | 307847 |
| Toronto Dominion Bank 4.568% 12/17/2026  |  | 11000000 | 11061837 |
| Toronto Dominion Bank 4.861% 1/31/2028  |  | 322000 | 328039 |
| Toronto Dominion Bank 4.928% 10/15/2035  |  | 1845000 | 1860150 |
| Toronto Dominion Bank 5.146% 9/10/2034 (g) |  | 365000 | 372240 |
| Toronto Dominion Bank 6.35% 10/31/2085 (g) |  | 1885000 | 1915504 |
|  |  |  | 41419174 |
| Capital Markets - 0.0% |  |  |  |
| Brookfield Finance Inc 2.724% 4/15/2031  |  | 100000 | 92139 |
| Brookfield Finance Inc 4.7% 9/20/2047  |  | 44000 | 37938 |
| Brookfield Finance Inc 5.675% 1/15/2035  |  | 100000 | 103311 |
| Brookfield Finance Inc 6.35% 1/5/2034  |  | 141000 | 152837 |
| CI Financial Corp 7.5% 5/30/2029 (o) |  | 2000000 | 2135898 |
|  |  |  | 2522123 |
| Insurance - 0.1% |  |  |  |
| Fairfax Financial Holdings Ltd 2.75% 3/29/2028 (q) | EUR | 2100000 | 2479828 |
| Fairfax Financial Holdings Ltd 3.375% 3/3/2031  |  | 4695000 | 4475261 |
| Fairfax Financial Holdings Ltd 4.85% 4/17/2028  |  | 1850000 | 1877416 |
| Fairfax Financial Holdings Ltd 5.625% 8/16/2032  |  | 6757000 | 7078973 |
| Fairfax Financial Holdings Ltd 5.75% 5/20/2035  |  | 5560000 | 5798752 |
| Fairfax Financial Holdings Ltd 6% 12/7/2033  |  | 3200000 | 3420525 |
|  |  |  | 25130755 |
| TOTAL FINANCIALS |  |  | 69072052 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Bausch Health Cos Inc 4.875% 6/1/2028 (o) |  | 316000 | 294079 |
| Bausch Health Cos Inc 5% 1/30/2028 (o) |  | 25000 | 21749 |
| Bausch Health Cos Inc 5% 2/15/2029 (o) |  | 400000 | 302000 |
| Bausch Health Cos Inc 5.25% 1/30/2030 (o) |  | 825000 | 577500 |
| Bausch Health Cos Inc 5.25% 2/15/2031 (o) |  | 4796000 | 3157303 |
| Bausch Health Cos Inc 6.25% 2/15/2029 (o) |  | 100000 | 79000 |
| Bausch Health Cos Inc 7% 1/15/2028 (o) |  | 375000 | 338438 |
| TOTAL HEALTH CARE |  |  | 4770069 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Bombardier Inc 6% 2/15/2028 (o) |  | 1340000 | 1340000 |
| Bombardier Inc 6.75% 6/15/2033 (o) |  | 355000 | 374079 |
| Bombardier Inc 8.75% 11/15/2030 (o) |  | 355000 | 380326 |
|  |  |  | 2094405 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Garda World Security Corp 8.375% 11/15/2032 (o) |  | 100000 | 102419 |
| Northriver Midstream Finance LP 6.75% 7/15/2032 (o) |  | 270000 | 277639 |
| Wrangler Holdco Corp 6.625% 4/1/2032 (o) |  | 880000 | 916706 |
|  |  |  | 1296764 |
| Ground Transportation - 0.0% |  |  |  |
| Canadian National Railway Co 6.25% 8/1/2034  |  | 100000 | 111741 |
| Canadian Pacific Railway Co 2.875% 11/15/2029  |  | 265000 | 255818 |
| Canadian Pacific Railway Co 3% 12/2/2041  |  | 105000 | 80383 |
| Canadian Pacific Railway Co 3.1% 12/2/2051  |  | 248000 | 169329 |
| Canadian Pacific Railway Co 4.8% 9/15/2035  |  | 100000 | 101632 |
| Canadian Pacific Railway Co 7.125% 10/15/2031  |  | 145000 | 166031 |
|  |  |  | 884934 |
| Passenger Airlines - 0.0% |  |  |  |
| Air Canada 2017-1 Class AA Pass Through Trust Series 1AA, 3.3% 7/15/2031 (o) |  | 360360 | 348974 |
| TOTAL INDUSTRIALS |  |  | 4625077 |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| CGI Inc 1.45% 9/14/2026  |  | 109000 | 107500 |
| Software - 0.0% |  |  |  |
| Open Text Corp 3.875% 2/15/2028 (o) |  | 490000 | 467089 |
| Open Text Corp 6.9% 12/1/2027 (o) |  | 970000 | 995430 |
| Open Text Holdings Inc 4.125% 2/15/2030 (o) |  | 100000 | 90121 |
|  |  |  | 1552640 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 1660140 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 250000 | 250979 |
| Methanex Corp 5.25% 12/15/2029  |  | 50000 | 50423 |
| NOVA Chemicals Corp 4.25% 5/15/2029 (o) |  | 27000 | 26494 |
| NOVA Chemicals Corp 5.25% 6/1/2027 (o) |  | 129000 | 129686 |
| NOVA Chemicals Corp 9% 2/15/2030 (o) |  | 300000 | 318707 |
| Nutrien Ltd 2.95% 5/13/2030  |  | 120000 | 114451 |
| Nutrien Ltd 4.125% 3/15/2035  |  | 105000 | 98823 |
| Nutrien Ltd 4.5% 3/12/2027  |  | 137000 | 137823 |
| Nutrien Ltd 4.9% 3/27/2028  |  | 3135000 | 3191811 |
| Nutrien Ltd 4.9% 6/1/2043  |  | 1325000 | 1224188 |
| Nutrien Ltd 5.2% 6/21/2027  |  | 5775000 | 5865149 |
|  |  |  | 11408534 |
| Metals & Mining - 0.1% |  |  |  |
| Barrick North America Finance LLC 5.7% 5/30/2041  |  | 2830000 | 2941697 |
| Barrick North America Finance LLC 5.75% 5/1/2043  |  | 475000 | 493572 |
| Barrick PD Australia Finance Pty Ltd 5.95% 10/15/2039  |  | 1340000 | 1436668 |
| Capstone Copper Corp 6.75% 3/31/2033 (o) |  | 585000 | 604560 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (o) |  | 1560000 | 1659194 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (o) |  | 190000 | 189877 |
| Kinross Gold Corp 6.25% 7/15/2033  |  | 5585000 | 6142538 |
| New Gold Inc 6.875% 4/1/2032 (o) |  | 550000 | 584503 |
| Rio Tinto Alcan Inc 5.75% 6/1/2035  |  | 151000 | 162858 |
|  |  |  | 14215467 |
| TOTAL MATERIALS |  |  | 25624001 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Mattamy Group Corp 4.625% 3/1/2030 (o) |  | 1500000 | 1464408 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Emera Inc 6.75% 6/15/2076 (g) |  | 193000 | 193966 |
| Fortis Inc/Canada 3.055% 10/4/2026  |  | 301000 | 299118 |
|  |  |  | 493084 |
| Gas Utilities - 0.0% |  |  |  |
| Superior Plus LP / Superior General Partner Inc 4.5% 3/15/2029 (o) |  | 216000 | 209868 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Emera US Finance LP 2.639% 6/15/2031  |  | 1335000 | 1224926 |
| TransAlta Corp 5.875% 2/1/2034  |  | 130000 | 130812 |
| TransAlta Corp 6.5% 3/15/2040  |  | 160000 | 161556 |
|  |  |  | 1517294 |
| Multi-Utilities - 0.0% |  |  |  |
| Algonquin Power & Utilities Corp 5.365% 6/15/2026 (p) |  | 3670000 | 3682325 |
| TOTAL UTILITIES |  |  | 5902571 |
| TOTAL CANADA |  |  | 175295616 |
| CHILE - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Corp Nacional del Cobre de Chile 5.125% 2/2/2033 (q) |  | 350000 | 357565 |
| COLOMBIA - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Grupo Nutresa SA 9% 5/12/2035 (o) |  | 350000 | 401104 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Ecopetrol SA 6.875% 4/29/2030  |  | 1534000 | 1541670 |
| Ecopetrol SA 8.375% 1/19/2036  |  | 140000 | 143850 |
| Ecopetrol SA 8.625% 1/19/2029  |  | 3555000 | 3793565 |
| Ecopetrol SA 8.875% 1/13/2033  |  | 647000 | 687049 |
| TOTAL ENERGY |  |  | 6166134 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (o) |  | 290000 | 272600 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (o) |  | 80000 | 83517 |
| TOTAL UTILITIES |  |  | 356117 |
| TOTAL COLOMBIA |  |  | 6923355 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (o) |  | 130000 | 135342 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (q) | EUR | 175000 | 171420 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EPH Financing International AS 6.651% 11/13/2028 (q) | EUR | 200000 | 255538 |
| TOTAL CZECH REPUBLIC |  |  | 426958 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (q) | EUR | 215000 | 255795 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (q) | EUR | 150000 | 185386 |
| TOTAL CONSUMER STAPLES |  |  | 441181 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (g)(q) | EUR | 405000 | 496111 |
| Danske Bank A/S 4.613% 10/2/2030 (g)(o) |  | 412000 | 417399 |
| Danske Bank A/S 5.705% 3/1/2030 (g)(o) |  | 400000 | 417459 |
| Jyske Bank A/S 5.125% 5/1/2035 (g)(q) | EUR | 159000 | 198636 |
| TOTAL FINANCIALS |  |  | 1529605 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 (o) |  | 130000 | 134945 |
| GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 (o) |  | 40000 | 42449 |
| TOTAL HEALTH CARE |  |  | 177394 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Orsted AS 5.125% 3/14/3024 (g)(q) | EUR | 100000 | 121853 |
| TOTAL DENMARK |  |  | 2270033 |
| EL SALVADOR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Comision Ejecutiva Hidroelectrica del Rio Lempa 8.65% 1/24/2033 (o) |  | 150000 | 159150 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (o) |  | 365000 | 380840 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Nordea Bank Abp 5.375% 9/22/2027 (o) |  | 400000 | 409405 |
| Nordea Bank Abp U.S. SOFR Index + 0.74%, 4.4279% 3/19/2027 (f)(g)(o) |  | 200000 | 200999 |
| TOTAL FINANCIALS |  |  | 610404 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Mehilainen Yhtiot Oy 5.125% 6/30/2032 (q) | EUR | 200000 | 241214 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (q) | EUR | 200000 | 229648 |
| Citycon Treasury BV 5.375% 7/8/2031 (q) | EUR | 300000 | 342975 |
| TOTAL REAL ESTATE |  |  | 572623 |
| TOTAL FINLAND |  |  | 1805081 |
| FRANCE - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Altice France SA 6.5% 4/15/2032 (o) |  | 254947 | 244165 |
| Altice France SA 6.875% 7/15/2032 (o) |  | 240487 | 230873 |
| Altice France SA 9.5% 11/1/2029 (o) |  | 43391 | 44056 |
| Orange SA 4.75% 1/13/2033 (o) |  | 250000 | 252916 |
| Orange SA 5% 1/13/2036 (o) |  | 250000 | 251099 |
|  |  |  | 1023109 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (q) | EUR | 300000 | 354994 |
| TOTAL COMMUNICATION SERVICES |  |  | 1378103 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Forvia SE 5.625% 6/15/2030 (q) | EUR | 100000 | 123843 |
| Kapla Holding SAS 5% 4/30/2031 (q) | EUR | 150000 | 180966 |
| Valeo SE 4.625% 3/23/2032 (q) | EUR | 100000 | 120167 |
|  |  |  | 424976 |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (g)(q) | EUR | 500000 | 609372 |
| RCI Banque SA 5.5% 10/9/2034 (g)(q) | EUR | 400000 | 499841 |
| Renault SA 3.875% 9/30/2030 (q) | EUR | 100000 | 120141 |
|  |  |  | 1229354 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Betclic Everest Group SAS 5.125% 12/10/2031 (q) | EUR | 200000 | 240814 |
| Elior Group SA 5.625% 3/15/2030 (c)(q) | EUR | 139000 | 170425 |
|  |  |  | 411239 |
| Specialty Retail - 0.0% |  |  |  |
| Goldstory SAS 6.75% 2/1/2030 (q) | EUR | 282000 | 332479 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2398048 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Pernod Ricard SA 3.75% 2/4/2037 (q) | EUR | 300000 | 353195 |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Picard Groupe SAS 6.375% 7/1/2029 (q) | EUR | 100000 | 122984 |
| Personal Care Products - 0.0% |  |  |  |
| Opal Bidco SAS 5.5% 3/31/2032 (q) | EUR | 100000 | 121148 |
| TOTAL CONSUMER STAPLES |  |  | 597327 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (o) |  | 265000 | 281371 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| TotalEnergies Capital International SA 3.127% 5/29/2050  |  | 347000 | 237670 |
| TotalEnergies Capital International SA 3.386% 6/29/2060  |  | 200000 | 132763 |
| TotalEnergies Capital International SA 3.461% 7/12/2049  |  | 500000 | 366952 |
| TotalEnergies Capital SA 3.883% 10/11/2028  |  | 100000 | 100544 |
| TotalEnergies Capital SA 5.275% 9/10/2054  |  | 330000 | 316966 |
| TotalEnergies Capital SA 5.488% 4/5/2054  |  | 450000 | 444786 |
| TotalEnergies Capital SA 5.638% 4/5/2064  |  | 1020000 | 1010459 |
| TotalEnergies Capital USA LLC 4.248% 1/13/2031  |  | 160000 | 161434 |
| TotalEnergies Capital USA LLC 4.569% 1/13/2033  |  | 163000 | 165033 |
| TotalEnergies Capital USA LLC 4.857% 1/13/2036  |  | 100000 | 101053 |
|  |  |  | 3037660 |
| TOTAL ENERGY |  |  | 3319031 |
| Financials - 0.3% |  |  |  |
| Banks - 0.3% |  |  |  |
| Banque Federative du Credit Mutuel SA 5.79% 7/13/2028 (o) |  | 1800000 | 1869516 |
| Banque Federative du Credit Mutuel SA U.S. SOFR Averages Index + 1.07%, 4.7422% 2/16/2028 (f)(g)(o) |  | 2000000 | 2017804 |
| BNP Paribas SA 1.904% 9/30/2028 (g)(o) |  | 400000 | 386659 |
| BNP Paribas SA 2.159% 9/15/2029 (g)(o) |  | 6450000 | 6135470 |
| BNP Paribas SA 2.871% 4/19/2032 (g)(o) |  | 1500000 | 1388203 |
| BNP Paribas SA 3.052% 1/13/2031 (g)(o) |  | 6950000 | 6636623 |
| BNP Paribas SA 3.132% 1/20/2033 (g)(o) |  | 3670000 | 3391131 |
| BNP Paribas SA 3.739% 4/20/2034 (g)(q) | EUR | 1500000 | 1790624 |
| BNP Paribas SA 3.945% 2/18/2037 (g)(q) | EUR | 400000 | 476206 |
| BNP Paribas SA 5.176% 1/9/2030 (g)(o) |  | 1920000 | 1974792 |
| BNP Paribas SA 5.497% 5/20/2030 (g)(o) |  | 285000 | 295920 |
| BNP Paribas SA 5.738% 2/20/2035 (g)(o) |  | 900000 | 953318 |
| BNP Paribas SA 5.786% 1/13/2033 (g)(o) |  | 17320000 | 18344432 |
| BNP Paribas SA 5.906% 11/19/2035 (g)(o) |  | 1130000 | 1180415 |
| BPCE SA 2.045% 10/19/2027 (g)(o) |  | 2670000 | 2637562 |
| BPCE SA 3.116% 10/19/2032 (g)(o) |  | 500000 | 454063 |
| BPCE SA 3.875% 1/11/2029 (q) | EUR | 6500000 | 7909938 |
| BPCE SA 4.75% 7/19/2027 (o) |  | 250000 | 252922 |
| BPCE SA 5.125% 1/18/2028 (o) |  | 541000 | 552511 |
| BPCE SA 5.281% 5/30/2029 (o) |  | 2000000 | 2068880 |
| BPCE SA 5.417% 1/13/2037 (g)(o) |  | 8530000 | 8588718 |
| BPCE SA 5.716% 1/18/2030 (g)(o) |  | 400000 | 415563 |
| BPCE SA 5.876% 1/14/2031 (g)(o) |  | 9300000 | 9777828 |
| BPCE SA 5.936% 5/30/2035 (g)(o) |  | 1305000 | 1377187 |
| BPCE SA 6.293% 1/14/2036 (g)(o) |  | 450000 | 484719 |
| BPCE SA 6.612% 10/19/2027 (g)(o) |  | 1055000 | 1071895 |
| BPCE SA 6.714% 10/19/2029 (g)(o) |  | 1540000 | 1635433 |
| BPCE SA 7.003% 10/19/2034 (g)(o) |  | 1731000 | 1945379 |
| Credit Agricole SA 4% 1/10/2033 (g)(o) |  | 261000 | 259170 |
| Credit Agricole SA 4.631% 9/11/2028 (g)(o) |  | 290000 | 292476 |
| Credit Agricole SA 5.862% 1/9/2036 (g)(o) |  | 945000 | 1004422 |
| Credit Agricole SA 6.316% 10/3/2029 (g)(o) |  | 3655000 | 3847027 |
| Credit Agricole SA U.S. SOFR Index + 0.87%, 4.5663% 3/11/2027 (f)(g)(o) |  | 250000 | 251335 |
| Credit Agricole SA U.S. SOFR Index + 1.21%, 4.9063% 9/11/2028 (f)(g)(o) |  | 8400000 | 8458749 |
| Societe Generale SA 1.792% 6/9/2027 (g)(o) |  | 1500000 | 1490717 |
| Societe Generale SA 2.797% 1/19/2028 (g)(o) |  | 3156000 | 3121978 |
| Societe Generale SA 2.889% 6/9/2032 (g)(o) |  | 210000 | 192894 |
| Societe Generale SA 3.337% 1/21/2033 (g)(o) |  | 1105000 | 1026198 |
| Societe Generale SA 5.4% 4/10/2037 (g)(o) |  | 1360000 | 1368208 |
| Societe Generale SA 5.5% 4/13/2029 (g)(o) |  | 4316000 | 4428758 |
| Societe Generale SA 5.512% 5/22/2031 (g)(o) |  | 1050000 | 1092921 |
| Societe Generale SA 6.066% 1/19/2035 (g)(o) |  | 1052000 | 1122250 |
| Societe Generale SA 6.1% 4/13/2033 (g)(o) |  | 1520000 | 1621998 |
|  |  |  | 115592812 |
| Financial Services - 0.0% |  |  |  |
| Iliad Holding SAS 6.875% 4/15/2031 (q) | EUR | 201000 | 252854 |
| Iliad Holding SAS 7% 10/15/2028 (o) |  | 450000 | 455657 |
| Iliad Holding SAS 7% 4/15/2032 (o) |  | 120000 | 123178 |
| Worldline SA/France 0.875% 6/30/2027 (q) | EUR | 100000 | 110450 |
| Worldline SA/France 4.125% 9/12/2028 (q) | EUR | 200000 | 217057 |
| Worldline SA/France 5.25% 11/27/2029 (q) | EUR | 100000 | 104454 |
| Worldline SA/France 5.5% 6/10/2030 (q) | EUR | 100000 | 104426 |
|  |  |  | 1368076 |
| TOTAL FINANCIALS |  |  | 116960888 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| IPD 3 BV 5.5% 6/15/2031 (q) | EUR | 100000 | 112143 |
| Paprec Holding SA 4.125% 7/15/2030 (q) | EUR | 100000 | 119514 |
|  |  |  | 231657 |
| Machinery - 0.0% |  |  |  |
| Loxam SAS 4.25% 2/15/2031 (q) | EUR | 148000 | 177499 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement SAS 0.625% 9/16/2028 (q) | EUR | 300000 | 334062 |
| TOTAL INDUSTRIALS |  |  | 743218 |
| Information Technology - 0.0% |  |  |  |
| IT Services - 0.0% |  |  |  |
| Atos SE 9% 12/18/2029 (p)(q) | EUR | 248918 | 330105 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| New Immo Holding SA 4.95% 11/14/2030 (q) | EUR | 100000 | 120858 |
| New Immo Holding SA 5.875% 4/17/2028 (q) | EUR | 100000 | 122769 |
| TOTAL REAL ESTATE |  |  | 243627 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 2% 12/9/2049 (q) | EUR | 1600000 | 1166075 |
| Electricite de France SA 4.75% 6/17/2044 (q) | EUR | 1200000 | 1460448 |
| Electricite de France SA 5.5% 1/25/2035 (q) | GBP | 300000 | 405264 |
| Electricite de France SA 5.636% 8/28/2035 (q) | AUD | 510000 | 358176 |
| Electricite de France SA 6% 4/22/2064 (o) |  | 8200000 | 8179163 |
| Electricite de France SA 6.125% 6/2/2034 (q) | GBP | 200000 | 283440 |
| Electricite de France SA 6.9% 5/23/2053 (o) |  | 390000 | 437019 |
|  |  |  | 12289585 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 4.25% 9/6/2034 (q) | EUR | 400000 | 499994 |
| Veolia Environnement SA 3.324% 6/17/2032 (q) | EUR | 300000 | 357056 |
|  |  |  | 857050 |
| Water Utilities - 0.0% |  |  |  |
| Suez SACA 2.875% 5/24/2034 (q) | EUR | 1500000 | 1673297 |
| TOTAL UTILITIES |  |  | 14819932 |
| TOTAL FRANCE |  |  | 140790279 |
| GERMANY - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Deutsche Telekom International Finance BV 8.75% 6/15/2030 (g) |  | 2300000 | 2698833 |
| Consumer Discretionary - 0.1% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| IHO Verwaltungs GmbH 7% 11/15/2031 pay-in-kind (g)(q) | EUR | 100000 | 127998 |
| Mahle GmbH 6.5% 5/2/2031 (q) | EUR | 200000 | 248745 |
| Robert Bosch GmbH 4.375% 6/2/2043 (q) | EUR | 600000 | 712325 |
| Schaeffler AG 5.375% 4/1/2031 (q) | EUR | 300000 | 376598 |
| ZF Europe Finance BV 4.75% 1/31/2029 (q) | EUR | 100000 | 120061 |
| ZF Europe Finance BV 5.5% 2/17/2032 (q) | EUR | 300000 | 354710 |
| ZF Europe Finance BV 6.125% 3/13/2029 (q) | EUR | 100000 | 123840 |
| ZF Europe Finance BV 7% 6/12/2030 (q) | EUR | 400000 | 507834 |
| ZF North America Capital Inc 6.75% 4/23/2030 (o) |  | 170000 | 171896 |
| ZF North America Capital Inc 6.875% 4/14/2028 (o) |  | 400000 | 413444 |
| ZF North America Capital Inc 6.875% 4/23/2032 (o) |  | 135000 | 135445 |
|  |  |  | 3292896 |
| Automobiles - 0.1% |  |  |  |
| BMW US Capital LLC 5.05% 3/21/2030 (o) |  | 8300000 | 8571732 |
| BMW US Capital LLC U.S. SOFR Averages Index + 0.92%, 4.6075% 3/21/2028 (f)(g)(o) |  | 3000000 | 3022650 |
| Mercedes-Benz Finance North America LLC 4.75% 3/31/2028 (o) |  | 10000000 | 10169053 |
| Mercedes-Benz Finance North America LLC 4.8% 8/1/2029 (o) |  | 4000000 | 4096975 |
| Mercedes-Benz Finance North America LLC 4.9% 11/15/2027 (o) |  | 2100000 | 2136802 |
| Volkswagen Group of America Finance LLC 4.450% 9/11/2027 (o) |  | 4200000 | 4222346 |
| Volkswagen Group of America Finance LLC 4.75% 11/13/2028 (o) |  | 3941000 | 3991381 |
| Volkswagen Group of America Finance LLC 5.05% 3/27/2028 (o) |  | 6778000 | 6888192 |
| Volkswagen Group of America Finance LLC 5.35% 3/27/2030 (o) |  | 11923000 | 12359233 |
| Volkswagen Group of America Finance LLC 5.65% 3/25/2032 (o) |  | 2855000 | 2987070 |
| Volkswagen Group of America Finance LLC 5.65% 9/12/2028 (o) |  | 4113000 | 4251649 |
|  |  |  | 62697083 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 65989979 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (q) | EUR | 205000 | 254296 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (q) | EUR | 400000 | 477355 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (g)(q) | EUR | 200000 | 240514 |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 3.706% 10/15/2035 (g)(q) | EUR | 200000 | 237501 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (q) | EUR | 300000 | 358678 |
|  |  |  | 836693 |
| Capital Markets - 0.1% |  |  |  |
| Deutsche Bank AG/New York NY 3.742% 1/7/2033 (g) |  | 4860000 | 4558862 |
| Deutsche Bank AG/New York NY 4.469% 12/10/2031 (g) |  | 4345000 | 4369911 |
| Deutsche Bank AG/New York NY 4.725% 2/6/2032 (g) |  | 385000 | 388290 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (g) |  | 1950000 | 1986016 |
| Deutsche Bank AG/New York NY 5.297% 5/9/2031 (g) |  | 151000 | 155930 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (g) |  | 945000 | 965784 |
| Deutsche Bank AG/New York NY 5.414% 5/10/2029  |  | 375000 | 391002 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (g) |  | 267000 | 279245 |
| Deutsche Bank AG/New York NY 6.819% 11/20/2029 (g) |  | 1059000 | 1127840 |
| Deutsche Bank AG/New York NY 7.079% 2/10/2034 (g) |  | 2110000 | 2320876 |
| Deutsche Bank AG/New York NY 7.146% 7/13/2027 (g) |  | 3400000 | 3438443 |
|  |  |  | 19982199 |
| Financial Services - 0.0% |  |  |  |
| KfW 1.125% 9/15/2032 (q) | EUR | 900000 | 972912 |
| KfW 2.625% 1/10/2034 (q) | EUR | 610000 | 718077 |
| KfW 2.625% 11/15/2032 (q) | EUR | 135000 | 160177 |
|  |  |  | 1851166 |
| Insurance - 0.0% |  |  |  |
| Allianz SE 5.6% 9/3/2054 (g)(o) |  | 800000 | 818007 |
| TOTAL FINANCIALS |  |  | 23488065 |
| Health Care - 0.1% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Sartorius Finance BV 4.875% 9/14/2035 (q) | EUR | 1000000 | 1262526 |
| Health Care Providers & Services - 0.0% |  |  |  |
| Fresenius Medical Care US Finance III Inc 1.875% 12/1/2026 (o) |  | 660000 | 649503 |
| Nidda Healthcare Holding GmbH 3 month EURIBOR + 3.25%, 5.234% 10/15/2032 (f)(g)(q) | EUR | 100000 | 118810 |
| Nidda Healthcare Holding GmbH 5.375% 10/23/2030 (q) | EUR | 100000 | 122360 |
|  |  |  | 890673 |
| Pharmaceuticals - 0.1% |  |  |  |
| Bayer AG 5.375% 3/25/2082 (g)(q) | EUR | 200000 | 243691 |
| Bayer AG 7% 9/25/2083 (g)(q) | EUR | 100000 | 130970 |
| Bayer US Finance II LLC 4.375% 12/15/2028 (o) |  | 19800000 | 19870976 |
| Bayer US Finance II LLC 4.4% 7/15/2044 (o) |  | 3031000 | 2488222 |
| Bayer US Finance II LLC 4.625% 6/25/2038 (o) |  | 570000 | 528979 |
| Bayer US Finance II LLC 4.875% 6/25/2048 (o) |  | 1400000 | 1201054 |
| Bayer US Finance LLC 6.125% 11/21/2026 (o) |  | 5400000 | 5469931 |
| Bayer US Finance LLC 6.375% 11/21/2030 (o) |  | 1740000 | 1874140 |
| Bayer US Finance LLC 6.5% 11/21/2033 (o) |  | 1106000 | 1212225 |
| EMD Finance LLC 4.375% 10/15/2030 (o) |  | 5200000 | 5244455 |
| Gruenenthal GmbH 4.625% 11/15/2031 (q) | EUR | 100000 | 120604 |
|  |  |  | 38385247 |
| TOTAL HEALTH CARE |  |  | 40538446 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| APCOA GmbH 6% 4/15/2031 (q) | EUR | 235000 | 280320 |
| Electrical Equipment - 0.0% |  |  |  |
| Dynamo Newco II GmbH 6.25% 10/15/2031 (q) | EUR | 150000 | 179883 |
| Machinery - 0.0% |  |  |  |
| Daimler Truck Finance North America LLC 5.125% 9/25/2027 (o) |  | 7852000 | 7987267 |
| Daimler Truck Finance North America LLC U.S. SOFR Index + 0.96%, 4.6473% 9/25/2027 (f)(g)(o) |  | 3000000 | 3012269 |
|  |  |  | 10999536 |
| Passenger Airlines - 0.0% |  |  |  |
| Deutsche Lufthansa AG 5.25% 1/15/2055 (g)(q) | EUR | 200000 | 244364 |
| TOTAL INDUSTRIALS |  |  | 11704103 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Infineon Technologies AG 3.5% 2/16/2034 (q) | EUR | 300000 | 357050 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Progroup AG 5.375% 4/15/2031 (q) | EUR | 311000 | 377948 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| alstria Sarl 5.5% 3/20/2031 (q) | EUR | 200000 | 243878 |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (l) | EUR | 100000 | 118160 |
| Accentro Real Estate AG 10% 12/30/2027 pay-in-kind  | EUR | 203315 | 257239 |
| Accentro Real Estate AG 5.625% 12/30/2034 pay-in-kind (g)(q) | EUR | 805793 | 257074 |
| Sirius Real Estate Ltd 4% 1/22/2032 (q) | EUR | 300000 | 358244 |
| Vonovia SE 5.717% 9/3/2035 (q) | AUD | 1580000 | 1097759 |
|  |  |  | 2088476 |
| TOTAL REAL ESTATE |  |  | 2332354 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (q) | EUR | 400000 | 476573 |
| Amprion GmbH 3.625% 5/21/2031 (q) | EUR | 200000 | 242856 |
| Amprion GmbH 3.875% 6/5/2036 (q) | EUR | 100000 | 119965 |
| Amprion GmbH 4.58% 1/15/2046 (q) | EUR | 900000 | 1085772 |
| EnBW International Finance BV 3.75% 11/20/2035 (q) | EUR | 850000 | 1022562 |
| EnBW International Finance BV 5.7923% 2/26/2036 (q) | AUD | 1600000 | 1135418 |
|  |  |  | 4083146 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (o) |  | 185000 | 185465 |
| RWE Finance US LLC 5.875% 4/16/2034 (o) |  | 881000 | 935263 |
|  |  |  | 1120728 |
| TOTAL UTILITIES |  |  | 5203874 |
| TOTAL GERMANY |  |  | 153422303 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (o) |  | 370000 | 381359 |
| GREECE - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Marine Transportation - 0.0% |  |  |  |
| Danaos Corp 6.875% 10/15/2032 (o) |  | 100000 | 103125 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Public Power Corp SA 4.25% 10/31/2030 (q) | EUR | 100000 | 119289 |
| TOTAL GREECE |  |  | 222414 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (o) |  | 95000 | 88402 |
| Millicom International Cellular SA 5.125% 1/15/2028 (o) |  | 247500 | 246188 |
| TOTAL GUATEMALA |  |  | 334590 |
| HONG KONG - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Melco Resorts Finance Ltd 5.75% 7/21/2028 (q) |  | 1150000 | 1149371 |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (g)(q) |  | 375000 | 362260 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| MTR Corp Ltd 5.582% 1/29/2038 (q) | AUD | 300000 | 215689 |
| TOTAL HONG KONG |  |  | 1727320 |
| INDIA - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Consumer Finance - 0.0% |  |  |  |
| Muthoot Finance Ltd 5.75% 8/4/2030 (q) |  | 200000 | 199818 |
| Financial Services - 0.0% |  |  |  |
| Indian Railway Finance Corp Ltd 3.57% 1/21/2032 (o) |  | 1010000 | 969358 |
| Power Finance Corp Ltd 1.841% 9/21/2028 (q) | EUR | 2400000 | 2746028 |
| Power Finance Corp Ltd 6.15% 12/6/2028 (o) |  | 3050000 | 3187464 |
| Vedanta Resources Finance II PLC 10.875% 9/17/2029 (q) |  | 400000 | 427639 |
|  |  |  | 7330489 |
| TOTAL FINANCIALS |  |  | 7530307 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Biocon Biologics Global PLC 6.67% 10/9/2029 (q) |  | 800000 | 808413 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| IRB Infrastructure Developers Ltd 7.11% 3/11/2032 (q) |  | 900000 | 936000 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Continuum Energy Aura Pte Ltd 9.5% 2/24/2027 (q) |  | 900000 | 913419 |
| Greenko Wind Projects Mauritius Ltd 7.25% 9/27/2028 (q) |  | 400000 | 408500 |
| India Clean Energy Holdings 4.5% 4/18/2027 (q) |  | 1150000 | 1132750 |
| India Cleantech Energy 4.7% 8/10/2026 (q) |  | 1038100 | 1031612 |
|  |  |  | 3486281 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Clean Renewable Power Mauritius Pte Ltd 4.25% 3/25/2027 (q) |  | 1078000 | 1057788 |
| Continuum Green Energy India Pvt / Co-Issuers 7.5% 6/26/2033 (q) |  | 846675 | 884775 |
| ReNew Pvt Ltd 5.875% 3/5/2027 (q) |  | 900000 | 898173 |
|  |  |  | 2840736 |
| TOTAL UTILITIES |  |  | 6327017 |
| TOTAL INDIA |  |  | 15601737 |
| INDONESIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Medco Laurel Tree Pte Ltd 6.95% 11/12/2028 (q) |  | 1150000 | 1155037 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Garuda Indonesia Persero Tbk PT 6.5% 12/28/2031 pay-in-kind (g)(q) |  | 230908 | 214767 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT 6.53% 11/15/2028 (o) |  | 1750000 | 1849103 |
| Nickel Industries Ltd 9% 9/30/2030 (q) |  | 285000 | 297172 |
| TOTAL MATERIALS |  |  | 2146275 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 1.875% 11/5/2031 (o) | EUR | 1500000 | 1595160 |
| Star Energy Geothermal Wayang Windu Ltd 6.75% 4/24/2033 (q) |  | 573750 | 588811 |
| TOTAL UTILITIES |  |  | 2183971 |
| TOTAL INDONESIA |  |  | 5700050 |
| IRELAND - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Virgin Media O2 Vendor Financing Notes V DAC 7.875% 3/15/2032 (q) | GBP | 100000 | 128560 |
| Virgin Media O2 Vendor Financing Notes VI DAC 8.5% 3/15/2033 (o) |  | 373000 | 342346 |
| TOTAL COMMUNICATION SERVICES |  |  | 470906 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Flutter Treasury DAC 4% 6/4/2031 (q) | EUR | 120000 | 140742 |
| Flutter Treasury DAC 6.125% 6/4/2031 (q) | GBP | 540000 | 731168 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 871910 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| AIB Group PLC 5.32% 5/15/2031 (g)(o) |  | 200000 | 207759 |
| AIB Group PLC 6.608% 9/13/2029 (g)(o) |  | 400000 | 423380 |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (g)(o) |  | 665000 | 691919 |
|  |  |  | 1323058 |
| Consumer Finance - 0.1% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 11600000 | 11487738 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 11894000 | 11570711 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 4790000 | 4476257 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  |  | 150000 | 136912 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.65% 7/21/2027  |  | 4098000 | 4083099 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.75% 1/15/2033  |  | 242000 | 242474 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.875% 4/1/2028  |  | 216000 | 219623 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5% 11/15/2035  |  | 286000 | 285581 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  |  | 150000 | 154015 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.15% 9/30/2030  |  | 221000 | 237234 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (g) |  | 567000 | 587798 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.95% 3/10/2055 (g) |  | 150000 | 158531 |
|  |  |  | 33639973 |
| Financial Services - 0.0% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (o) |  | 260000 | 264113 |
| GGAM Finance Ltd 6.875% 4/15/2029 (o) |  | 145000 | 149361 |
| GGAM Finance Ltd 8% 2/15/2027 (o) |  | 165000 | 166691 |
|  |  |  | 580165 |
| TOTAL FINANCIALS |  |  | 35543196 |
| Industrials - 0.1% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| SMBC Aviation Capital Finance DAC 5.1% 4/1/2030 (o) |  | 2000000 | 2059951 |
| SMBC Aviation Capital Finance DAC 5.7% 7/25/2033 (o) |  | 2365000 | 2499665 |
|  |  |  | 4559616 |
| Professional Services - 0.0% |  |  |  |
| Cedacri SpA 3 month EURIBOR + 4.625%, 6.609% 5/15/2028 (f)(g)(q) | EUR | 100000 | 113232 |
| Transportation Infrastructure - 0.1% |  |  |  |
| Avolon Holdings Funding Ltd 2.528% 11/18/2027 (o) |  | 7750000 | 7545854 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (o) |  | 3477000 | 3477216 |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (o) |  | 200000 | 198233 |
| Avolon Holdings Funding Ltd 4.95% 10/15/2032 (o) |  | 210000 | 210503 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (o) |  | 2033000 | 2081901 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (o) |  | 1953000 | 2019995 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (o) |  | 2325000 | 2429679 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (o) |  | 848000 | 882205 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (o) |  | 6970000 | 7264445 |
| DAA Finance PLC 1.554% 6/7/2028 (q) | EUR | 3200000 | 3693477 |
|  |  |  | 29803508 |
| TOTAL INDUSTRIALS |  |  | 34476356 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 3.489% 11/24/2031  | EUR | 100000 | 119719 |
| TOTAL IRELAND |  |  | 71482087 |
| ISRAEL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Mizrahi Tefahot Bank Ltd 5.049% 1/28/2031 (o)(q) |  | 5800000 | 5818859 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 742000 | 769944 |
| TOTAL ISRAEL |  |  | 6588803 |
| ITALY - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telecom Italia Capital SA 7.721% 6/4/2038  |  | 164000 | 187401 |
| Consumer Discretionary - 0.0% |  |  |  |
| Diversified Consumer Services - 0.0% |  |  |  |
| Multiversity SpA 7.125% 5/17/2031 (q) | EUR | 282000 | 345549 |
| Specialty Retail - 0.0% |  |  |  |
| Bubbles Bidco SPA 6.5% 9/30/2031 (q) | EUR | 200000 | 243821 |
| Duomo Bidco SpA 3 month EURIBOR + 3.25%, 5.31% 1/15/2032 (f)(g)(q) | EUR | 100000 | 118094 |
|  |  |  | 361915 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 707464 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Eni SpA 5.95% 5/15/2054 (o) |  | 1560000 | 1600391 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 4.95% 6/1/2042 (g)(o) |  | 468000 | 414870 |
| UniCredit SpA 1.982% 6/3/2027 (g)(o) |  | 200000 | 198915 |
| UniCredit SpA 3.127% 6/3/2032 (g)(o) |  | 2515000 | 2356325 |
| TOTAL FINANCIALS |  |  | 2970110 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Gruppo San Donato SPA 6.5% 10/31/2031 (q) | EUR | 200000 | 240538 |
| Kedrion SpA 6.5% 9/1/2029 (o) |  | 414000 | 401267 |
|  |  |  | 641805 |
| Pharmaceuticals - 0.0% |  |  |  |
| Dolcetto Holdco SpA 5.625% 7/14/2032 (q) | EUR | 282000 | 340520 |
| TOTAL HEALTH CARE |  |  | 982325 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Fibercop SpA 4.75% 6/30/2030 (q) | EUR | 100000 | 121780 |
| Fibercop SpA 6.375% 11/15/2033 (o) |  | 275000 | 279032 |
|  |  |  | 400812 |
| IT Services - 0.0% |  |  |  |
| Almaviva-The Italian Innovation Co SpA 5% 10/30/2030 (q) | EUR | 100000 | 114563 |
| Engineering - Ingegneria Informatica - SpA 11.125% 5/15/2028 (q) | EUR | 100000 | 119396 |
|  |  |  | 233959 |
| Software - 0.0% |  |  |  |
| TeamSystem SpA 5% 7/1/2031 (q) | EUR | 100000 | 110743 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 745514 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Itelyum Regeneration Spa 5.75% 4/15/2030 (q) | EUR | 100000 | 120806 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Enel Finance International NV 2.5% 7/12/2031 (o)(p) |  | 5974000 | 5443275 |
| Enel Finance International NV 4.375% 9/30/2030 (o) |  | 283000 | 284446 |
| Enel Finance International NV 5% 9/30/2035 (o) |  | 1600000 | 1598338 |
| Enel Finance International NV 5.125% 6/26/2029 (o) |  | 7130000 | 7345553 |
| Enel Finance International NV 5.5% 6/26/2034 (o) |  | 660000 | 688550 |
| Enel Finance International NV 5.75% 9/30/2055 (o) |  | 590000 | 578349 |
| Enel Finance International NV 7.5% 10/14/2032 (o) |  | 217000 | 251203 |
| Enel SpA 3.375% (g)(q)(v) | EUR | 335000 | 396539 |
|  |  |  | 16586253 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5% 5/28/2030 (o) |  | 3930000 | 4041515 |
| Snam SpA 5.75% 5/28/2035 (o) |  | 5491000 | 5802864 |
|  |  |  | 9844379 |
| TOTAL UTILITIES |  |  | 26430632 |
| TOTAL ITALY |  |  | 33744643 |
| JAMAICA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Digicel Group Holdings Ltd 0% 12/31/2030 (l)(o)(s) |  | 151934 | 6229 |
| Digicel International Finance Ltd / Difl US LLC 8.625% 8/1/2032 (o) |  | 3680000 | 3830025 |
| TOTAL JAMAICA |  |  | 3836254 |
| JAPAN - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NTT Finance Corp 2.906% 3/16/2029 (o) | EUR | 1400000 | 1663341 |
| NTT Finance Corp 3.678% 7/16/2033 (q) | EUR | 170000 | 204574 |
| NTT Finance Corp 4.091% 7/16/2037 (o) | EUR | 5500000 | 6668565 |
| NTT Finance Corp 4.567% 7/16/2027 (o) |  | 1162000 | 1172541 |
| NTT Finance Corp 4.62% 7/16/2028 (o) |  | 1170000 | 1187676 |
| NTT Finance Corp 4.876% 7/16/2030 (o) |  | 2480000 | 2544290 |
| NTT Finance Corp 5.136% 7/2/2031 (o) |  | 250000 | 259723 |
| NTT Finance Corp 5.502% 7/16/2035 (o) |  | 700000 | 731331 |
| NTT Finance Corp U.S. SOFR Index + 1.31%, 4.9742% 7/16/2030 (f)(g)(o) |  | 1200000 | 1219660 |
|  |  |  | 15651701 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| SoftBank Corp 4.699% 7/9/2030 (o) |  | 600000 | 608670 |
| SoftBank Group Corp 5.25% 10/10/2029 (q) | EUR | 302000 | 362852 |
|  |  |  | 971522 |
| TOTAL COMMUNICATION SERVICES |  |  | 16623223 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Honda Motor Co Ltd 2.534% 3/10/2027  |  | 141000 | 139179 |
| Nissan Motor Co Ltd 6.375% 7/17/2033 (q) | EUR | 370000 | 463015 |
|  |  |  | 602194 |
| Broadline Retail - 0.0% |  |  |  |
| Rakuten Group Inc 9.75% 4/15/2029 (q) |  | 900000 | 998930 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1601124 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 5.21% 6/15/2030 (o) |  | 705000 | 736210 |
| Japan Tobacco Inc 5.856% 6/15/2035 (o) |  | 735000 | 795412 |
| TOTAL CONSUMER STAPLES |  |  | 1531622 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (g) |  | 465000 | 460715 |
| Mitsubishi UFJ Financial Group Inc 4.05% 9/11/2028  |  | 235000 | 236303 |
| Mitsubishi UFJ Financial Group Inc 4.08% 4/19/2028 (g) |  | 200000 | 200353 |
| Mitsubishi UFJ Financial Group Inc 4.505% 1/14/2032 (g) |  | 200000 | 201930 |
| Mitsubishi UFJ Financial Group Inc 5.159% 4/24/2031 (g) |  | 275000 | 285303 |
| Mitsubishi UFJ Financial Group Inc 5.188% 9/12/2036 (g) |  | 303000 | 310357 |
| Mitsubishi UFJ Financial Group Inc 5.197% 1/16/2031 (g) |  | 11700000 | 12105554 |
| Mitsubishi UFJ Financial Group Inc 5.422% 2/22/2029 (g) |  | 2350000 | 2414855 |
| Mitsubishi UFJ Financial Group Inc 5.475% 2/22/2031 (g) |  | 400000 | 419321 |
| Mizuho Financial Group Inc 2.201% 7/10/2031 (g) |  | 200000 | 183960 |
| Mizuho Financial Group Inc 5.382% 7/10/2030 (g) |  | 3232000 | 3361137 |
| Mizuho Financial Group Inc 5.748% 7/6/2034 (g) |  | 429000 | 458501 |
| Mizuho Financial Group Inc 5.778% 7/6/2029 (g) |  | 1765000 | 1835587 |
| Norinchukin Bank/The 5.094% 10/16/2029 (o) |  | 10000000 | 10282235 |
| Sumitomo Mitsui Financial Group Inc 2.472% 1/14/2029  |  | 267000 | 256778 |
| Sumitomo Mitsui Financial Group Inc 3.04% 7/16/2029  |  | 200000 | 193810 |
| Sumitomo Mitsui Financial Group Inc 3.544% 1/17/2028  |  | 177000 | 176143 |
| Sumitomo Mitsui Financial Group Inc 4.954% 7/8/2033 (g) |  | 9060000 | 9313370 |
| Sumitomo Mitsui Financial Group Inc 5.046% 1/15/2037 (g) |  | 1000000 | 1012104 |
| Sumitomo Mitsui Financial Group Inc 5.24% 4/15/2030  |  | 10000000 | 10436732 |
| Sumitomo Mitsui Financial Group Inc 5.316% 7/9/2029  |  | 6100000 | 6345146 |
| Sumitomo Mitsui Financial Group Inc 5.424% 7/9/2031  |  | 1882000 | 1984963 |
| Sumitomo Mitsui Financial Group Inc 5.52% 1/13/2028  |  | 200000 | 206190 |
| Sumitomo Mitsui Financial Group Inc 5.57% 1/15/2047 (g) |  | 225000 | 229160 |
| Sumitomo Mitsui Financial Group Inc 5.632% 1/15/2035  |  | 200000 | 213510 |
| Sumitomo Mitsui Financial Group Inc 5.716% 9/14/2028  |  | 405000 | 422268 |
| Sumitomo Mitsui Financial Group Inc 5.766% 1/13/2033  |  | 400000 | 429823 |
| Sumitomo Mitsui Trust Bank Ltd 5.65% 3/9/2026 (o) |  | 1820000 | 1820578 |
|  |  |  | 65796686 |
| Capital Markets - 0.0% |  |  |  |
| Nomura Holdings Inc 2.608% 7/14/2031  |  | 1155000 | 1053156 |
| Nomura Holdings Inc 4.904% 7/1/2030  |  | 5700000 | 5831985 |
| Nomura Holdings Inc 5.043% 6/10/2036 (g) |  | 335000 | 335683 |
| Nomura Holdings Inc U.S. SOFR Index + 1.25%, 4.9373% 7/2/2027 (f)(g) |  | 3000000 | 3024160 |
|  |  |  | 10244984 |
| TOTAL FINANCIALS |  |  | 76041670 |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Takeda Pharmaceutical Co Ltd 2.05% 3/31/2030  |  | 1600000 | 1477408 |
| Takeda Pharmaceutical Co Ltd 3.025% 7/9/2040  |  | 2260000 | 1764867 |
| Takeda Pharmaceutical Co Ltd 3.175% 7/9/2050  |  | 308000 | 211277 |
| Takeda Pharmaceutical Co Ltd 5.65% 7/5/2044  |  | 292000 | 298495 |
| TOTAL HEALTH CARE |  |  | 3752047 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Kioxia Holdings Corp 6.25% 7/24/2030 (o) |  | 400000 | 415425 |
| TOTAL JAPAN |  |  | 99965111 |
| KAZAKHSTAN - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| KazMunayGas National Co JSC 3.5% 4/14/2033 (o) |  | 870000 | 797407 |
| KazMunayGas National Co JSC 5.375% 4/24/2030 (q) |  | 200000 | 205116 |
| TOTAL KAZAKHSTAN |  |  | 1002523 |
| KOREA (SOUTH) - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Korea National Oil Corp 4.875% 4/3/2029 (o) |  | 300000 | 308440 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Export-Import Bank of Korea 5.125% 1/11/2033  |  | 515000 | 547082 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Kraton Corp 5% 7/15/2027 (o) |  | 3000000 | 3046170 |
| TOTAL KOREA (SOUTH) |  |  | 3901692 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Media - 0.0% |  |  |  |
| Altice Financing SA 9.625% 7/15/2027 (o) |  | 832000 | 622087 |
| Summer BC Holdco B SARL 3 month EURIBOR + 4.25%, 6.234% 2/15/2030 (f)(g)(q) | EUR | 311000 | 319332 |
|  |  |  | 941419 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Intelsat Jackson Holdings SA 9.75% (l)(m)(o) |  | 5500000 | 1 |
| TOTAL COMMUNICATION SERVICES |  |  | 941420 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Essendi SA 5.625% 5/15/2032 (q) | EUR | 302000 | 368456 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (o) |  | 65000 | 69245 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Garfunkelux Holdco 3 SA 9% 9/1/2028 (q) | EUR | 132512 | 156384 |
| ION Platform Finance SARL 6.5% 9/30/2030 (q) | EUR | 104000 | 103315 |
| ION Platform Finance SARL 6.875% 9/30/2032 (q) | EUR | 200000 | 191566 |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 3716100 | 818977 |
| Vivion Investments Sarl 5.625% 6/8/2030 (q) | EUR | 100000 | 116120 |
| Vivion Investments Sarl 8.25% 2/28/2029 pay-in-kind (g)(q) | EUR | 100000 | 118757 |
| Vivion Investments Sarl 8.25% 8/31/2028 pay-in-kind (g)(q) | EUR | 38773 | 46055 |
| TOTAL FINANCIALS |  |  | 1551174 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Ephios Subco 3 Sarl 7.875% 1/31/2031 (q) | EUR | 235000 | 296438 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Luna 2 5SARL 5.5% 7/1/2032 (q) | EUR | 200000 | 239944 |
| Electrical Equipment - 0.0% |  |  |  |
| Albion Financing 1 SARL / Aggreko Holdings Inc 5.375% 5/21/2030 (q) | EUR | 235000 | 288545 |
| TOTAL INDUSTRIALS |  |  | 528489 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Finance PLC 7.5% 4/15/2029 (o) |  | 450000 | 401701 |
| Maxam Prill Sarl 6% 7/15/2030 (q) | EUR | 282000 | 343438 |
| TOTAL MATERIALS |  |  | 745139 |
| Real Estate - 0.0% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| Stoneweg Ereit Lux Finco Sarl 4.125% 2/22/2033 (q) | EUR | 525000 | 623335 |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (q) | EUR | 200000 | 246929 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Adler Financing Sarl 8.25% 12/31/2028 pay-in-kind (g) | EUR | 258290 | 339400 |
| AXA Logistics Europe Master SCA 3.375% 5/13/2031 (q) | EUR | 100000 | 119185 |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (q) | EUR | 680000 | 773633 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (q) | EUR | 500000 | 587786 |
| Logicor Financing Sarl 0.875% 1/14/2031 (q) | EUR | 400000 | 420786 |
| Logicor Financing Sarl 3.75% 7/14/2032 (q) | EUR | 230000 | 274073 |
| Logicor Financing Sarl 4.25% 7/18/2029 (q) | EUR | 280000 | 343704 |
| P3 Group Sarl 3.75% 4/2/2033 (q) | EUR | 300000 | 355307 |
| P3 Group Sarl 4% 4/19/2032 (q) | EUR | 165000 | 199827 |
|  |  |  | 3413701 |
| TOTAL REAL ESTATE |  |  | 4283965 |
| TOTAL LUXEMBOURG |  |  | 8784326 |
| MACAU - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| MGM China Holdings Ltd 7.125% 6/26/2031 (q) |  | 450000 | 475963 |
| Sands China Ltd 5.4% 8/8/2028 (p) |  | 1379000 | 1408288 |
| SJM International Ltd 6.5% 1/15/2031 (q) |  | 400000 | 398326 |
| Studio City Finance Ltd 5% 1/15/2029 (q) |  | 900000 | 870750 |
| Wynn Macau Ltd 5.625% 8/26/2028 (q) |  | 500000 | 499285 |
| TOTAL MACAU |  |  | 3652612 |
| MAURITIUS - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Flourishing Trade & Investment Ltd 11.035% 4/2/2028 (l)(o) |  | 1269992 | 1319268 |
| Resurgent Trade And Investments Ltd 9.51% 12/5/2027 (l)(o) |  | 1115000 | 1120575 |
| TOTAL MAURITIUS |  |  | 2439843 |
| MEXICO - 0.2%  |  |  |  |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Petroleos Mexicanos 10% 2/7/2033  |  | 1628000 | 1907130 |
| Petroleos Mexicanos 2.75% 4/21/2027 (q) | EUR | 339000 | 396681 |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 5032000 | 4926328 |
| Petroleos Mexicanos 6.5% 1/23/2029  |  | 990000 | 1011780 |
| Petroleos Mexicanos 6.625% 6/15/2038  |  | 147000 | 137693 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 12020000 | 12054858 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 11150000 | 9271225 |
| Petroleos Mexicanos 6.84% 1/23/2030  |  | 1050000 | 1076250 |
| Petroleos Mexicanos 7.5% 3/20/2026 (l)(o) |  | 1392000 | 1392000 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 25840000 | 23467889 |
| Petroleos Mexicanos 8.75% 6/2/2029  |  | 2598000 | 2795136 |
| TOTAL ENERGY |  |  | 58436970 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Nacional de Comercio Exterior SNC/Cayman Islands 5.875% 5/7/2030 (o) |  | 200000 | 207193 |
| Capital Markets - 0.0% |  |  |  |
| Eagle Funding Luxco Sarl 5.5% 8/17/2030 (o) |  | 13300000 | 13566000 |
| TOTAL FINANCIALS |  |  | 13773193 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Mexico City Airport Trust 4.25% 10/31/2026 (o) |  | 4270000 | 4266243 |
| Mexico City Airport Trust 5.5% 10/31/2046 (o) |  | 1092000 | 961189 |
| Mexico City Airport Trust 5.5% 7/31/2047 (o) |  | 3767000 | 3295737 |
| TOTAL INDUSTRIALS |  |  | 8523169 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Southern Copper Corp 5.875% 4/23/2045  |  | 455000 | 474770 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Comision Federal de Electricidad 4.688% 5/15/2029 (o) |  | 2277000 | 2272530 |
| Comision Federal de Electricidad 6.5% 1/28/2051 (o) |  | 200000 | 202350 |
|  |  |  | 2474880 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple 7.25% 1/31/2041 (o) |  | 354602 | 369643 |
| Saavi Energia Sarl 8.875% 2/10/2035 (o) |  | 470000 | 516302 |
|  |  |  | 885945 |
| TOTAL UTILITIES |  |  | 3360825 |
| TOTAL MEXICO |  |  | 84568927 |
| MOROCCO - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| OCP SA 3.75% 6/23/2031 (o) |  | 269000 | 253667 |
| OCP SA 6.75% 5/2/2034 (o) |  | 2395000 | 2599461 |
| OCP SA 7.5% 5/2/2054 (o) |  | 290000 | 325369 |
| TOTAL MOROCCO |  |  | 3178497 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Corp Andina de Fomento 5% 1/24/2029  |  | 745000 | 771450 |
| European Investment Bank 2.875% 1/12/2033 (q) | EUR | 70000 | 84135 |
| European Investment Bank 2.875% 6/18/2035 (q) | EUR | 395000 | 469215 |
| TOTAL MULTI-NATIONAL |  |  | 1324800 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (q) | EUR | 200000 | 240266 |
| Media - 0.0% |  |  |  |
| Sunrise FinCo I BV 4.625% 5/15/2032 (q) | EUR | 200000 | 238908 |
| VZ Secured Financing BV 5% 1/15/2032 (o) |  | 2051000 | 1822197 |
| VZ Secured Financing BV 5.25% 1/15/2033 (q) | EUR | 300000 | 346857 |
|  |  |  | 2407962 |
| TOTAL COMMUNICATION SERVICES |  |  | 2648228 |
| Consumer Discretionary - 0.0% |  |  |  |
| Distributors - 0.0% |  |  |  |
| Boels Topholding BV 5.75% 5/15/2030 (q) | EUR | 102000 | 124342 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (q) | EUR | 200000 | 253399 |
| Food Products - 0.0% |  |  |  |
| JDE Peet's NV 0.5% 1/16/2029 (q) | EUR | 5000000 | 5533055 |
| TOTAL CONSUMER STAPLES |  |  | 5786454 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| ABN AMRO Bank NV 2.47% 12/13/2029 (g)(o) |  | 1000000 | 956588 |
| ABN AMRO Bank NV 4.988% 12/3/2028 (g)(o) |  | 1100000 | 1118551 |
| ABN AMRO Bank NV 6.339% 9/18/2027 (g)(o) |  | 3400000 | 3442513 |
| Cooperatieve Rabobank UA 3.649% 4/6/2028 (g)(o) |  | 665000 | 663020 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (g)(o) |  | 628000 | 667944 |
| Cooperatieve Rabobank UA/NY U.S. SOFR Averages Index + 0.62%, 4.3701% 8/28/2026 (f)(g) |  | 6350000 | 6361875 |
| ING Groep NV 1.726% 4/1/2027 (g) |  | 5935000 | 5923756 |
| ING Groep NV 3% 8/17/2031 (g)(q) | EUR | 400000 | 470796 |
| ING Groep NV 4.017% 3/28/2028 (g) |  | 694000 | 694506 |
| ING Groep NV 4.858% 3/25/2029 (g) |  | 3900000 | 3967778 |
| ING Groep NV 5.335% 3/19/2030 (g) |  | 200000 | 207189 |
|  |  |  | 24474516 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (g)(q) |  | 495000 | 501646 |
| TOTAL FINANCIALS |  |  | 24976162 |
| Industrials - 0.0% |  |  |  |
| Trading Companies & Distributors - 0.0% |  |  |  |
| IMCD NV 2.125% 3/31/2027 (q) | EUR | 4400000 | 5174382 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.5% 5/11/2031  |  | 100000 | 91589 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 1461000 | 1486318 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 4212000 | 4302552 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 5880459 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Trivium Packaging Finance BV 12.25% 1/15/2031 (o) |  | 200000 | 220216 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Tennet Netherlands BV 4.75% 10/28/2042 (q) | EUR | 915000 | 1201085 |
| TOTAL NETHERLANDS |  |  | 46011328 |
| NEW ZEALAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| ASB Bank Ltd 2.375% 10/22/2031 (o) |  | 200000 | 181709 |
| NORWAY - 0.1%  |  |  |  |
| Energy - 0.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (o) |  | 215000 | 225934 |
| TGS ASA 8.5% 1/15/2030 (o) |  | 290000 | 306320 |
|  |  |  | 532254 |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |  |
| Aker BP ASA 3.1% 7/15/2031 (o) |  | 7295000 | 6811391 |
| Aker BP ASA 5.8% 10/1/2054 (o) |  | 180000 | 169062 |
| Equinor ASA 3.7% 4/6/2050  |  | 920000 | 712895 |
| Equinor ASA 3.95% 5/15/2043  |  | 300000 | 255220 |
| Var Energi ASA 5% 5/18/2027 (o) |  | 5410000 | 5459766 |
| Var Energi ASA 5.875% 5/22/2030 (o) |  | 2700000 | 2834877 |
| Var Energi ASA 6.5% 5/22/2035 (o) |  | 8640000 | 9324932 |
| Var Energi ASA 7.862% 11/15/2083 (g)(q) | EUR | 100000 | 130434 |
|  |  |  | 25698577 |
| TOTAL ENERGY |  |  | 26230831 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| DNB Bank ASA 4.853% 11/5/2030 (g)(o) |  | 900000 | 924569 |
| TOTAL NORWAY |  |  | 27155400 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (o) |  | 315000 | 318782 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (o) |  | 295000 | 304669 |
| TOTAL PANAMA |  |  | 623451 |
| PARAGUAY - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Bioceanico Sovereign Certificate Ltd 0% 6/5/2034 (o)(s) |  | 103364 | 85373 |
| PERU - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Peru LNG Srl 5.375% 3/22/2030 (o) |  | 150020 | 145781 |
| POLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (q) | EUR | 875000 | 1027769 |
| GTC Finance DAC 6.5% 10/15/2030 (q) | EUR | 485000 | 535826 |
| TOTAL POLAND |  |  | 1563595 |
| PORTUGAL - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| EDP SA 4.375% 12/2/2055 (g)(q) | EUR | 100000 | 118991 |
| QATAR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Nakilat Inc 6.067% 12/31/2033 (o) |  | 468411 | 494178 |
| SAUDI ARABIA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Saudi Arabian Oil Co 4.375% 2/2/2031 (o) |  | 5600000 | 5591040 |
| Saudi Arabian Oil Co 5.25% 7/17/2034 (o) |  | 3000000 | 3107820 |
| TOTAL ENERGY |  |  | 8698860 |
| Industrials - 0.0% |  |  |  |
| Construction & Engineering - 0.0% |  |  |  |
| Greensaif Pipelines Bidco Sarl 6.1027% 8/23/2042 (o) |  | 3525000 | 3690539 |
| TOTAL SAUDI ARABIA |  |  | 12389399 |
| SINGAPORE - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Puma International Financing SA 7.75% 4/25/2029 (q) |  | 900000 | 933140 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GLP Pte Ltd 9.75% 5/20/2028 (q) |  | 200000 | 199658 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Project Infinity 12.85% 9/13/2027 (l) |  | 488206 | 487620 |
| TOTAL SINGAPORE |  |  | 1620418 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Sasol Financing USA LLC 4.375% 9/18/2026  |  | 810000 | 803228 |
| Metals & Mining - 0.0% |  |  |  |
| Anglo American Capital PLC 2.625% 9/10/2030 (o) |  | 1035000 | 963585 |
| TOTAL MATERIALS |  |  | 1766813 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Eskom Holdings 6.35% 8/10/2028 (o) |  | 1298000 | 1339380 |
| Eskom Holdings 6.35% 8/10/2028 (q) |  | 213000 | 219790 |
| Eskom Holdings 8.45% 8/10/2028 (q) |  | 3699000 | 3966032 |
| Eskom Holdings 8.45% 8/10/2028 (o) |  | 671000 | 719439 |
| TOTAL UTILITIES |  |  | 6244641 |
| TOTAL SOUTH AFRICA |  |  | 8011454 |
| SPAIN - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Cellnex Telecom SA 1.75% 10/23/2030 (q) | EUR | 5500000 | 6138536 |
| Telefonica Emisiones SA 4.665% 3/6/2038  |  | 150000 | 139458 |
| TOTAL COMMUNICATION SERVICES |  |  | 6277994 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Cirsa Finance International Sarl 3 month EURIBOR + 3%, 5.1% 10/15/2032 (f)(g)(q) | EUR | 100000 | 119322 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Repsol E&P Capital Markets US LLC 4.805% 9/16/2028 (o) |  | 235000 | 238403 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 5.381% 3/13/2029  |  | 1800000 | 1872860 |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (g) |  | 600000 | 641710 |
| Banco Santander SA 2.958% 3/25/2031  |  | 200000 | 187147 |
| Banco Santander SA 3.306% 6/27/2029  |  | 200000 | 195384 |
| Banco Santander SA 3.49% 5/28/2030  |  | 1000000 | 971808 |
| Banco Santander SA 4.175% 3/24/2028 (g) |  | 8000000 | 8002844 |
| Banco Santander SA 4.25% 4/11/2027  |  | 400000 | 401048 |
| Banco Santander SA 4.551% 11/6/2030  |  | 800000 | 806389 |
| Banco Santander SA 5.127% 11/6/2035  |  | 1200000 | 1207547 |
| Banco Santander SA 5.365% 7/15/2028 (g) |  | 4000000 | 4070966 |
| Banco Santander SA 5.439% 7/15/2031  |  | 3800000 | 4019364 |
| Banco Santander SA 5.538% 3/14/2030 (g) |  | 2000000 | 2077958 |
| Banco Santander SA 5.552% 3/14/2028 (g) |  | 8400000 | 8525326 |
| Banco Santander SA 5.588% 8/8/2028  |  | 1400000 | 1451139 |
| CaixaBank SA 3.625% 9/19/2032 (g)(q) | EUR | 200000 | 240730 |
| CaixaBank SA 5.581% 7/3/2036 (g)(o) |  | 4340000 | 4502910 |
| CaixaBank SA 5.673% 3/15/2030 (g)(o) |  | 400000 | 417127 |
| CaixaBank SA 6.037% 6/15/2035 (g)(o) |  | 3330000 | 3573456 |
| CaixaBank SA 6.684% 9/13/2027 (g)(o) |  | 265000 | 268765 |
| TOTAL FINANCIALS |  |  | 43434478 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Grifols SA 7.5% 5/1/2030 (q) | EUR | 973000 | 1202433 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Abertis Infraestructuras SA 3.375% 11/27/2026 (q) | GBP | 500000 | 669927 |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Cellnex Finance Co SA 3.875% 1/19/2036 (q) | EUR | 100000 | 117695 |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Redexis SA 4.375% 5/30/2031 (q) | EUR | 800000 | 980564 |
| TOTAL SPAIN |  |  | 53040816 |
| SWEDEN - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Dometic Group AB 5% 9/11/2030 (q) | EUR | 100000 | 120091 |
| Leisure Products - 0.0% |  |  |  |
| Asmodee Group AB 5.75% 12/15/2029 (o) | EUR | 1120000 | 1388900 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1508991 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Svenska Handelsbanken AB 5.5% 6/15/2028 (o) |  | 943000 | 975024 |
| Financial Services - 0.0% |  |  |  |
| Intrum Investments And Financing AB 8% 9/11/2027 (q) | EUR | 100000 | 119422 |
| TOTAL FINANCIALS |  |  | 1094446 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (q) | EUR | 400000 | 451810 |
| TOTAL SWEDEN |  |  | 3055247 |
| SWITZERLAND - 0.2%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Allwyn Entertainment Financing UK PLC 4.125% 2/15/2031 (q) | EUR | 294000 | 344023 |
| Financials - 0.2% |  |  |  |
| Capital Markets - 0.2% |  |  |  |
| UBS Group AG 3.091% 5/14/2032 (g)(o) |  | 9800000 | 9170521 |
| UBS Group AG 3.126% 8/13/2030 (g)(o) |  | 2640000 | 2551410 |
| UBS Group AG 3.869% 1/12/2029 (g)(o) |  | 6800000 | 6778236 |
| UBS Group AG 4.194% 4/1/2031 (g)(o) |  | 21240000 | 21179379 |
| UBS Group AG 4.282% 1/9/2028 (o) |  | 430000 | 431091 |
| UBS Group AG 4.55% 4/17/2026  |  | 3490000 | 3492201 |
| UBS Group AG 4.588% 8/10/2032 (g)(o) |  | 14300000 | 14358949 |
| UBS Group AG 4.75% 3/17/2032 (g)(q) | EUR | 1575000 | 1994376 |
| UBS Group AG 4.751% 5/12/2028 (g)(o) |  | 937000 | 944533 |
| UBS Group AG 5.01% 3/23/2037 (g)(o) |  | 620000 | 617983 |
| UBS Group AG 5.617% 9/13/2030 (g)(o) |  | 330000 | 345494 |
| UBS Group AG 6.246% 9/22/2029 (g)(o) |  | 10600000 | 11158377 |
|  |  |  | 73022550 |
| Insurance - 0.0% |  |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (g)(o) |  | 1200000 | 1212314 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (g)(q) |  | 545000 | 498852 |
|  |  |  | 1711166 |
| TOTAL FINANCIALS |  |  | 74733716 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (q) | EUR | 100000 | 120273 |
| TOTAL SWITZERLAND |  |  | 75198012 |
| TAIWAN - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| TSMC Arizona Corp 2.5% 10/25/2031  |  | 702000 | 650445 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (o) |  | 95000 | 98172 |
| TRINIDAD & TOBAGO - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Trinidad Generation UnLtd 7.75% 6/16/2033 (o) |  | 277000 | 291470 |
| TURKEY - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| TC Ziraat Bankasi AS 7.25% 2/4/2030 (o) |  | 207000 | 214918 |
| UNITED ARAB EMIRATES - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Adnoc Murban Rsc Ltd 4.25% 9/11/2029 (o) |  | 3800000 | 3827313 |
| Galaxy Pipeline Assets Bidco Ltd 2.16% 3/31/2034 (q) |  | 251708 | 229117 |
| TOTAL ENERGY |  |  | 4056430 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| DP World Ltd/United Arab Emirates 2.375% 9/25/2026 (o) | EUR | 1430000 | 1683880 |
| Utilities - 0.0% |  |  |  |
| Multi-Utilities - 0.0% |  |  |  |
| Abu Dhabi National Energy Co PJSC 4.375% 10/9/2031 (o) |  | 11000000 | 11004620 |
| TOTAL UNITED ARAB EMIRATES |  |  | 16744930 |
| UNITED KINGDOM - 0.8%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| BT Finance PLC 3.375% 11/17/2032 (q) | EUR | 275000 | 325363 |
| Virgin Media Finance PLC 5% 7/15/2030 (o) |  | 30000 | 24957 |
|  |  |  | 350320 |
| Media - 0.0% |  |  |  |
| RELX Capital Inc 5.25% 3/27/2035  |  | 3400000 | 3500963 |
| Virgin Media Secured Finance PLC 4.25% 1/15/2030 (q) | GBP | 2800000 | 3484011 |
|  |  |  | 6984974 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 4% 1/31/2029 (q) | GBP | 1470000 | 1911540 |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (o) |  | 215000 | 189556 |
| Vmed O2 UK Financing I PLC 5.625% 4/15/2032 (q) | EUR | 257000 | 294853 |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (o) |  | 200000 | 189598 |
| Vmed O2 UK Financing I PLC 7.75% 4/15/2032 (o) |  | 200000 | 199944 |
| Vodafone Group PLC 4.25% 9/17/2050  |  | 100000 | 80300 |
| Vodafone Group PLC 5.75% 6/28/2054  |  | 119000 | 117385 |
| Vodafone Group PLC 7.875% 2/15/2030  |  | 179000 | 204186 |
|  |  |  | 3187362 |
| TOTAL COMMUNICATION SERVICES |  |  | 10522656 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| BCP V Modular Services Finance II PLC 6.125% 11/30/2028 (q) | GBP | 100000 | 129864 |
| BCP V Modular Services Finance II PLC 6.5% 7/10/2031 (q) | EUR | 302000 | 334422 |
| EC Finance PLC 3.25% 10/15/2026 (q) | EUR | 245000 | 286019 |
|  |  |  | 750305 |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (q) | GBP | 498000 | 581438 |
| Marks & Spencer PLC 5.125% 8/18/2032 (q) | GBP | 200000 | 273166 |
|  |  |  | 854604 |
| Diversified Consumer Services - 0.0% |  |  |  |
| WPP Finance 2013 3.625% 6/9/2031 (q) | EUR | 1300000 | 1515862 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Deuce Finco PLC 7% 11/20/2031 (q) | GBP | 100000 | 137270 |
| Entain PLC 4.875% 11/30/2031 (q) | EUR | 100000 | 118648 |
| IHG Finance LLC 3.375% 9/10/2030 (q) | EUR | 250000 | 298735 |
| Whitbread Group PLC 2.375% 5/31/2027 (q) | GBP | 195000 | 255950 |
|  |  |  | 810603 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (q) | GBP | 660000 | 779278 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (o) |  | 200000 | 204387 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 4915039 |
| Consumer Staples - 0.2% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Bellis Acquisition Co PLC 8% 7/1/2031 (o) | EUR | 4300000 | 4835921 |
| Bellis Acquisition Co PLC 8% 7/1/2031 (q) | EUR | 366000 | 411616 |
| Boots Group Finco LP 5.375% 8/31/2032 (o) | EUR | 475000 | 584303 |
| Boots Group Finco LP 7.375% 8/31/2032 (o) | GBP | 550000 | 772886 |
| Boots Group Finco LP 7.375% 8/31/2032 (q) | GBP | 100000 | 140525 |
| Froneri Lux FinCo SARL 4.75% 8/1/2032 (q) | EUR | 116000 | 134857 |
| Froneri Lux FinCo SARL 4.75% 8/1/2032 (q) | EUR | 100000 | 116256 |
| Market Bidco Finco PLC 6.75% 1/31/2031 (q) | EUR | 100000 | 115918 |
| Ocado Group PLC 10.5% 8/8/2029 (q) | GBP | 100000 | 137025 |
|  |  |  | 7249307 |
| Tobacco - 0.2% |  |  |  |
| BAT Capital Corp 2.259% 3/25/2028  |  | 1008000 | 975066 |
| BAT Capital Corp 3.557% 8/15/2027  |  | 2939000 | 2923950 |
| BAT Capital Corp 4.39% 8/15/2037  |  | 9056000 | 8458305 |
| BAT Capital Corp 4.625% 3/22/2033  |  | 600000 | 602523 |
| BAT Capital Corp 4.7% 4/2/2027  |  | 425000 | 427882 |
| BAT Capital Corp 4.758% 9/6/2049  |  | 71000 | 61191 |
| BAT Capital Corp 5.625% 8/15/2035  |  | 3775000 | 3981040 |
| BAT Capital Corp 5.65% 3/16/2052  |  | 1595000 | 1531212 |
| BAT Capital Corp 5.834% 2/20/2031  |  | 1290000 | 1379662 |
| BAT Capital Corp 6.343% 8/2/2030  |  | 1270000 | 1380908 |
| BAT Capital Corp 7.079% 8/2/2043  |  | 513000 | 583166 |
| BAT International Finance PLC 4.125% 4/12/2032 (q) | EUR | 825000 | 1010378 |
| BAT International Finance PLC 4.448% 3/16/2028  |  | 8700000 | 8782266 |
| BAT International Finance PLC 5.931% 2/2/2029  |  | 395000 | 416106 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (q) | EUR | 850000 | 1005536 |
| Imperial Brands Finance PLC 5.875% 7/1/2034 (o) |  | 2400000 | 2540134 |
| Reynolds American Inc 5.7% 8/15/2035  |  | 1189000 | 1254651 |
| Reynolds American Inc 8.125% 5/1/2040  |  | 24000 | 29233 |
|  |  |  | 37343209 |
| TOTAL CONSUMER STAPLES |  |  | 44592516 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| CD&R Firefly Bidco PLC 8.625% 4/30/2029 (q) | GBP | 282000 | 397867 |
| OEG Finance PLC 7.25% 9/27/2029 (q) | EUR | 257000 | 318876 |
|  |  |  | 716743 |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 11% 11/30/2028 (o) | EUR | 3800000 | 4829950 |
| EG Global Finance PLC 12% 11/30/2028 (o) |  | 2500000 | 2687617 |
| Ithaca Energy North Sea PLC 5.5% 10/1/2031 (q) | EUR | 100000 | 121122 |
|  |  |  | 7638689 |
| TOTAL ENERGY |  |  | 8355432 |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Barclays PLC 2.667% 3/10/2032 (g) |  | 8625000 | 7932948 |
| Barclays PLC 2.894% 11/24/2032 (g) |  | 4600000 | 4216187 |
| Barclays PLC 3.543% 8/14/2031 (g)(q) | EUR | 550000 | 658627 |
| Barclays PLC 4.219% 5/24/2030 (g) |  | 4186000 | 4186915 |
| Barclays PLC 4.476% 11/11/2029 (g) |  | 5200000 | 5240245 |
| Barclays PLC 4.521% 2/24/2032 (g) |  | 1561000 | 1564455 |
| Barclays PLC 4.837% 9/10/2028 (g) |  | 295000 | 298131 |
| Barclays PLC 4.942% 9/10/2030 (g) |  | 2650000 | 2711519 |
| Barclays PLC 5.086% 2/25/2029 (g) |  | 1600000 | 1630045 |
| Barclays PLC 5.088% 6/20/2030 (g) |  | 13438000 | 13705711 |
| Barclays PLC 5.2% 5/12/2026  |  | 1701000 | 1704722 |
| Barclays PLC 5.207% 2/24/2037 (g) |  | 630000 | 629405 |
| Barclays PLC 5.501% 8/9/2028 (g) |  | 445000 | 453702 |
| Barclays PLC 5.69% 3/12/2030 (g) |  | 300000 | 312750 |
| Barclays PLC 5.86% 8/11/2046 (g) |  | 1390000 | 1435332 |
| Barclays PLC 6.496% 9/13/2027 (g) |  | 600000 | 607665 |
| Barclays PLC 6.692% 9/13/2034 (g) |  | 2900000 | 3228003 |
| Barclays PLC 7.385% 11/2/2028 (g) |  | 620000 | 652922 |
| Barclays PLC 7.437% 11/2/2033 (g) |  | 500000 | 573881 |
| HSBC Holdings PLC 2.013% 9/22/2028 (g) |  | 3185000 | 3089609 |
| HSBC Holdings PLC 2.206% 8/17/2029 (g) |  | 3380000 | 3231889 |
| HSBC Holdings PLC 2.804% 5/24/2032 (g) |  | 5336000 | 4928495 |
| HSBC Holdings PLC 2.848% 6/4/2031 (g) |  | 486000 | 458934 |
| HSBC Holdings PLC 2.871% 11/22/2032 (g) |  | 353000 | 324750 |
| HSBC Holdings PLC 3.973% 5/22/2030 (g) |  | 2078000 | 2066767 |
| HSBC Holdings PLC 4.619% 11/6/2031 (g) |  | 950000 | 960885 |
| HSBC Holdings PLC 4.762% 3/29/2033 (g) |  | 200000 | 200286 |
| HSBC Holdings PLC 4.856% 5/23/2033 (g)(q) | EUR | 900000 | 1148303 |
| HSBC Holdings PLC 5.13% 11/19/2028 (g) |  | 817000 | 831824 |
| HSBC Holdings PLC 5.13% 3/3/2031 (g) |  | 861000 | 888403 |
| HSBC Holdings PLC 5.133% 11/6/2036 (g) |  | 1347000 | 1360571 |
| HSBC Holdings PLC 5.21% 8/11/2028 (g) |  | 358000 | 363633 |
| HSBC Holdings PLC 5.24% 5/13/2031 (g) |  | 4000000 | 4143863 |
| HSBC Holdings PLC 5.286% 11/19/2030 (g) |  | 2320000 | 2404985 |
| HSBC Holdings PLC 5.597% 5/17/2028 (g) |  | 5600000 | 5702426 |
| HSBC Holdings PLC 5.733% 5/17/2032 (g) |  | 645000 | 683899 |
| HSBC Holdings PLC 5.887% 8/14/2027 (g) |  | 2285000 | 2304429 |
| HSBC Holdings PLC 6.161% 3/9/2029 (g) |  | 24500000 | 25474000 |
| HSBC Holdings PLC 6.8% 6/1/2038  |  | 129000 | 145030 |
| HSBC Holdings PLC 7.39% 11/3/2028 (g) |  | 800000 | 842936 |
| HSBC Holdings PLC 8.201% 11/16/2034 (g)(q) | GBP | 550000 | 820174 |
| HSBC Holdings PLC U.S. SOFR Index + 1.03%, 4.7838% 3/3/2029 (f)(g) |  | 5000000 | 5035715 |
| Lloyds Banking Group PLC 1.627% 5/11/2027 (g) |  | 520000 | 517518 |
| Lloyds Banking Group PLC 4.375% 3/22/2028  |  | 400000 | 403232 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (g)(q) | EUR | 605000 | 764727 |
| Lloyds Banking Group PLC 4.943% 11/4/2036 (g) |  | 1337000 | 1329377 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (g) |  | 10050000 | 10235656 |
| Lloyds Banking Group PLC 5.462% 1/5/2028 (g) |  | 200000 | 202464 |
| Lloyds Banking Group PLC 5.679% 1/5/2035 (g) |  | 400000 | 423858 |
| Lloyds Banking Group PLC 5.871% 3/6/2029 (g) |  | 1365000 | 1414850 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (g) |  | 1000000 | 1008485 |
| Lloyds Banking Group PLC U.S. SOFR Averages Index + 1.06%, 4.7227% 11/26/2028 (f)(g) |  | 10050000 | 10120250 |
| NatWest Group PLC 3.073% 5/22/2028 (g) |  | 6312000 | 6247729 |
| NatWest Group PLC 3.632% 9/3/2034 (g)(q) | EUR | 650000 | 771750 |
| NatWest Group PLC 5.076% 1/27/2030 (g) |  | 400000 | 410470 |
| NatWest Group PLC 5.115% 5/23/2031 (g) |  | 745000 | 768333 |
| NatWest Group PLC 5.808% 9/13/2029 (g) |  | 200000 | 208377 |
| NatWest Group PLC 5.847% 3/2/2027 (g) |  | 700000 | 700000 |
| NatWest Markets PLC 5.022% 3/21/2030 (o) |  | 940000 | 972349 |
| NatWest Markets PLC 5.41% 5/17/2029 (o) |  | 1750000 | 1822381 |
| Santander UK Group Holdings PLC 1.673% 6/14/2027 (g) |  | 1065000 | 1057612 |
| Santander UK Group Holdings PLC 2.896% 3/15/2032 (g) |  | 204000 | 189379 |
| Santander UK Group Holdings PLC 4.32% 9/22/2029 (g) |  | 470000 | 471633 |
| Santander UK Group Holdings PLC 4.858% 9/11/2030 (g) |  | 9595000 | 9781079 |
| Santander UK Group Holdings PLC 5.694% 4/15/2031 (g) |  | 255000 | 267739 |
| Santander UK Group Holdings PLC 6.534% 1/10/2029 (g) |  | 200000 | 208663 |
| Standard Chartered Bank/New York 4.853% 12/3/2027  |  | 13800000 | 14057818 |
| Standard Chartered PLC 3.864% 3/17/2033 (g)(q) | EUR | 245000 | 294758 |
| Standard Chartered PLC 5.005% 10/15/2030 (g)(o) |  | 5900000 | 6039419 |
| Standard Chartered PLC 5.243% 1/13/2037 (g)(o) |  | 390000 | 392479 |
| Standard Chartered PLC 5.688% 5/14/2028 (g)(o) |  | 340000 | 346537 |
| Standard Chartered PLC 5.905% 5/14/2035 (g)(o) |  | 665000 | 707272 |
| Standard Chartered PLC 6.187% 7/6/2027 (g)(o) |  | 700000 | 704939 |
| Standard Chartered PLC 6.301% 1/9/2029 (g)(o) |  | 297000 | 308379 |
| Standard Chartered PLC 7.767% 11/16/2028 (g)(o) |  | 641000 | 679210 |
| Virgin Money UK PLC 7.625% 8/23/2029 (g)(q) | GBP | 245000 | 356295 |
|  |  |  | 193339988 |
| Capital Markets - 0.0% |  |  |  |
| Marex Group PLC 6.404% 11/4/2029  |  | 5900000 | 6176466 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (q) | EUR | 375000 | 447974 |
| Financial Services - 0.0% |  |  |  |
| LSEG US Finance Corp 4.875% 3/28/2027 (o) |  | 300000 | 302740 |
| Nationwide Building Society 2.972% 2/16/2028 (g)(o) |  | 210000 | 207920 |
| Nationwide Building Society 4% 7/30/2035 (g)(q) | EUR | 170000 | 205192 |
| Nationwide Building Society 5.127% 7/29/2029 (o) |  | 297000 | 306908 |
| Nationwide Building Society 6.557% 10/18/2027 (g)(o) |  | 955000 | 970135 |
|  |  |  | 1992895 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (q) | GBP | 400000 | 626330 |
| Ardonagh Finco Ltd 6.875% 2/15/2031 (q) | EUR | 235000 | 280953 |
|  |  |  | 907283 |
| TOTAL FINANCIALS |  |  | 202864606 |
| Health Care - 0.0% |  |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Smith & Nephew PLC 5.15% 3/20/2027  |  | 250000 | 252894 |
| Health Care Providers & Services - 0.0% |  |  |  |
| 180 Medical Inc 3.875% 10/15/2029 (o) |  | 270000 | 264450 |
| Pharmaceuticals - 0.0% |  |  |  |
| Astrazeneca Finance LLC 4.875% 3/3/2028  |  | 194000 | 198292 |
| Astrazeneca Finance LLC 4.9% 2/26/2031  |  | 184000 | 191399 |
| Astrazeneca PLC 4% 1/17/2029  |  | 187000 | 188283 |
| Astrazeneca PLC 6.45% 9/15/2037  |  | 163000 | 186964 |
|  |  |  | 764938 |
| TOTAL HEALTH CARE |  |  | 1282282 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (o) |  | 2985000 | 2915777 |
| Rolls-Royce PLC 5.75% 10/15/2027 (o) |  | 800000 | 818242 |
|  |  |  | 3734019 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| AA Bond Co Ltd 5.5% 7/31/2050 (q) | GBP | 460000 | 625050 |
| Amber Finco PLC 6.625% 7/15/2029 (q) | EUR | 135000 | 166502 |
| Biffa Group Holdings Ltd 5.25% 6/15/2031 (q) | EUR | 200000 | 238807 |
|  |  |  | 1030359 |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (q) | EUR | 660000 | 665481 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Smiths Group PLC 3.625% 11/13/2033 (q) | EUR | 810000 | 956872 |
| Machinery - 0.0% |  |  |  |
| Weir Group Inc 5.35% 5/6/2030 (o) |  | 5300000 | 5487239 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Edge Finco PLC 8.125% 8/15/2031 (q) | GBP | 200000 | 288746 |
| Heathrow Finance PLC 6.625% 3/1/2031 (q) | GBP | 282000 | 388209 |
| Heathrow Funding Ltd 6% 3/5/2032 (q) | GBP | 465000 | 652409 |
|  |  |  | 1329364 |
| TOTAL INDUSTRIALS |  |  | 13203334 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| INEOS Quattro Finance 2 Plc 9.625% 3/15/2029 (o) |  | 225000 | 193500 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (q) | GBP | 300000 | 411894 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (q) | EUR | 780000 | 917084 |
| TOTAL REAL ESTATE |  |  | 1328978 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (q) | EUR | 300000 | 358042 |
| NGG Finance PLC 2.125% 9/5/2082 (g)(q) | EUR | 440000 | 512626 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (q) | EUR | 430000 | 514136 |
| Yorkshire Power Finance Ltd 7.25% 8/4/2028  | GBP | 4419000 | 6317186 |
|  |  |  | 7701990 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 5.625% 2/15/2032 (q) | EUR | 257000 | 309897 |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (o) |  | 505000 | 503514 |
| ContourGlobal Power Holdings SA 4.375% 7/31/2031 (q) | EUR | 200000 | 233102 |
| ContourGlobal Power Holdings SA 5% 2/28/2030 (q) | EUR | 100000 | 121188 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (o) |  | 200000 | 206000 |
|  |  |  | 1373701 |
| Multi-Utilities - 0.0% |  |  |  |
| National Grid PLC 5.602% 6/12/2028  |  | 1409000 | 1458005 |
| Water Utilities - 0.1% |  |  |  |
| Anglian Water Osprey Financing PLC 6.375% 8/18/2033 (q) | GBP | 200000 | 271988 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (q) | GBP | 565000 | 793662 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (q) | GBP | 150000 | 213498 |
| DWR Cymru Financing UK PLC 2.375% 3/31/2034 (q) | GBP | 1145000 | 1206906 |
| DWR Cymru Financing UK PLC 6.25% 9/8/2037 (q) | GBP | 460000 | 642714 |
| Northumbrian Water Finance PLC 5.375% 7/22/2032 (q) | GBP | 375000 | 512355 |
| Northumbrian Water Finance PLC 5.625% 4/29/2033 (q) | GBP | 190000 | 261299 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (q) | EUR | 425000 | 509663 |
| Severn Trent Utilities Finance PLC 4% 3/5/2034 (q) | EUR | 750000 | 915030 |
| South West Water Finance PLC 5.25% 9/15/2031 (q) | GBP | 340000 | 464250 |
| South West Water Finance PLC 5.75% 12/11/2032 (q) | GBP | 125000 | 175244 |
| SW Finance I PLC 6.875% 8/7/2032 (q) | GBP | 650000 | 924437 |
| Thames Water Super Senior Issuer PLC 9.75% 10/10/2027 (o) | GBP | 65272 | 100873 |
| United Utilities Water Finance PLC 3.75% 5/23/2034 (q) | EUR | 395000 | 473394 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (q) | GBP | 320000 | 447192 |
| Yorkshire Water Finance PLC 2.75% 4/18/2041 (q) | GBP | 500000 | 447102 |
| Yorkshire Water Finance PLC 5.5% 4/28/2035 (q) | GBP | 134000 | 176805 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (q) | GBP | 330000 | 457546 |
| Yorkshire Water Finance PLC 6.375% 11/18/2034 (q) | GBP | 1160000 | 1640519 |
|  |  |  | 10634477 |
| TOTAL UTILITIES |  |  | 21168173 |
| TOTAL UNITED KINGDOM |  |  | 308426516 |
| UNITED STATES - 10.9%  |  |  |  |
| Communication Services - 0.7% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (o) |  | 840000 | 881657 |
| AT&T Inc 1.65% 2/1/2028  |  | 4120000 | 3950895 |
| AT&T Inc 2.55% 12/1/2033  |  | 5588000 | 4846321 |
| AT&T Inc 3.5% 6/1/2041  |  | 5306000 | 4258198 |
| AT&T Inc 3.5% 9/15/2053  |  | 3113000 | 2123589 |
| AT&T Inc 3.55% 9/15/2055  |  | 2735000 | 1851651 |
| AT&T Inc 3.65% 6/1/2051  |  | 50000 | 35827 |
| AT&T Inc 3.65% 9/15/2059  |  | 6725000 | 4526516 |
| AT&T Inc 3.8% 12/1/2057  |  | 2637000 | 1850002 |
| AT&T Inc 3.85% 6/1/2060  |  | 244000 | 170395 |
| AT&T Inc 4.3% 2/15/2030  |  | 3709000 | 3744199 |
| AT&T Inc 4.35% 3/1/2029  |  | 150000 | 151688 |
| AT&T Inc 4.4% 4/30/2031  |  | 7000000 | 7064615 |
| AT&T Inc 4.5% 5/15/2035  |  | 1980000 | 1929629 |
| AT&T Inc 4.75% 4/30/2033  |  | 1700000 | 1723209 |
| AT&T Inc 4.75% 5/15/2046  |  | 5130000 | 4513192 |
| AT&T Inc 4.9% 11/1/2035  |  | 2105000 | 2109131 |
| AT&T Inc 5.125% 4/30/2036  |  | 650000 | 659577 |
| AT&T Inc 5.7% 11/1/2054  |  | 1455000 | 1411687 |
| AT&T Inc 6% 4/30/2056  |  | 725000 | 731257 |
| AT&T Inc 6.05% 8/15/2056  |  | 731000 | 744048 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (o) |  | 926000 | 947716 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (o) |  | 195000 | 194846 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (o) |  | 175000 | 174871 |
| Cipher Compute LLC 7.125% 11/15/2030 (o) |  | 395000 | 411726 |
| Comcast Corp 1.5% 2/15/2031  |  | 100000 | 88302 |
| Comcast Corp 1.95% 1/15/2031  |  | 119000 | 107585 |
| Comcast Corp 2.65% 8/15/2062  |  | 100000 | 51901 |
| Comcast Corp 2.887% 11/1/2051  |  | 1104000 | 666417 |
| Comcast Corp 2.937% 11/1/2056  |  | 2185000 | 1274230 |
| Comcast Corp 2.987% 11/1/2063  |  | 34000 | 18946 |
| Comcast Corp 3.15% 2/15/2028  |  | 200000 | 197695 |
| Comcast Corp 3.25% 11/1/2039  |  | 174000 | 138904 |
| Comcast Corp 3.45% 2/1/2050  |  | 370000 | 254557 |
| Comcast Corp 3.55% 5/1/2028  |  | 268000 | 266712 |
| Comcast Corp 3.75% 4/1/2040  |  | 4161000 | 3510169 |
| Comcast Corp 3.9% 3/1/2038  |  | 621000 | 552257 |
| Comcast Corp 3.969% 11/1/2047  |  | 296000 | 228051 |
| Comcast Corp 3.999% 11/1/2049  |  | 3000 | 2268 |
| Comcast Corp 4% 3/1/2048  |  | 150000 | 115621 |
| Comcast Corp 4.15% 10/15/2028  |  | 343000 | 345454 |
| Comcast Corp 4.2% 8/15/2034  |  | 145000 | 140679 |
| Comcast Corp 4.25% 10/15/2030  |  | 435000 | 438814 |
| Comcast Corp 4.95% 5/15/2032  |  | 211000 | 218216 |
| Comcast Corp 5.3% 6/1/2034  |  | 240000 | 250753 |
| Comcast Corp 5.35% 5/15/2053  |  | 2467000 | 2272341 |
| Comcast Corp 5.65% 6/15/2035  |  | 100000 | 106661 |
| Comcast Corp 6.05% 5/15/2055  |  | 381000 | 390127 |
| Connect Holdings LLC 10.5% 4/3/2031 (o) |  | 5950000 | 5753871 |
| Flash Compute LLC 7.25% 12/31/2030 (o) |  | 320000 | 327558 |
| Frontier Communications Holdings LLC 5% 5/1/2028 (o) |  | 4196000 | 4198417 |
| Frontier Communications Holdings LLC 5.875% 11/1/2029  |  | 3597720 | 3635694 |
| Frontier Communications Holdings LLC 6.75% 5/1/2029 (o) |  | 100000 | 100380 |
| Frontier Communications Holdings LLC 8.625% 3/15/2031 (o) |  | 1220000 | 1274582 |
| Level 3 Financing Inc 6.875% 6/30/2033 (o) |  | 1650000 | 1708864 |
| Level 3 Financing Inc 7% 3/31/2034 (o) |  | 2541000 | 2641483 |
| Level 3 Financing Inc 8.5% 1/15/2036 (o) |  | 1480000 | 1540974 |
| Sprint Capital Corp 6.875% 11/15/2028  |  | 304000 | 326116 |
| Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 5.152% 9/20/2029 (o) |  | 5694750 | 5734195 |
| SV RNO Property Owner 1 LLC 5.875% 3/1/2031 (o) |  | 3750000 | 3766799 |
| Uniti Services LLC 7.5% 10/15/2033 (o) |  | 60000 | 62426 |
| Verizon Communications Inc 2.1% 3/22/2028  |  | 3752000 | 3625548 |
| Verizon Communications Inc 2.355% 3/15/2032  |  | 1560000 | 1393066 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 100000 | 92525 |
| Verizon Communications Inc 2.65% 11/20/2040  |  | 1266000 | 922503 |
| Verizon Communications Inc 3.875% 2/8/2029  |  | 100000 | 100122 |
| Verizon Communications Inc 3.875% 3/1/2052  |  | 521000 | 393170 |
| Verizon Communications Inc 4% 3/22/2050  |  | 161000 | 126809 |
| Verizon Communications Inc 4.125% 3/16/2027  |  | 117000 | 117417 |
| Verizon Communications Inc 4.5% 8/10/2033  |  | 241000 | 240390 |
| Verizon Communications Inc 4.75% 11/1/2041  |  | 356000 | 332708 |
| Verizon Communications Inc 4.78% 2/15/2035  |  | 600000 | 597406 |
| Verizon Communications Inc 4.812% 3/15/2039  |  | 1435000 | 1385507 |
| Verizon Communications Inc 5.401% 7/2/2037  |  | 2232000 | 2297089 |
| Verizon Communications Inc 5.5% 2/23/2054  |  | 50000 | 48772 |
| Verizon Communications Inc 5.875% 11/30/2045  |  | 87000 | 87946 |
| Verizon Communications Inc 5.875% 11/30/2055  |  | 1156000 | 1163739 |
| Verizon Communications Inc 6% 11/30/2065  |  | 1155000 | 1159440 |
| Verizon Communications Inc 7.75% 12/1/2030  |  | 300000 | 345900 |
| WULF Compute LLC 7.75% 10/15/2030 (o) |  | 965000 | 1021949 |
| Zayo Group Holdings Inc 9.25% 3/9/2030 pay-in-kind (g)(o) |  | 572544 | 558220 |
|  |  |  | 109724687 |
| Entertainment - 0.0% |  |  |  |
| Cinemark USA Inc 5.25% 7/15/2028 (o) |  | 204000 | 204037 |
| Live Nation Entertainment Inc 4.75% 10/15/2027 (o) |  | 562000 | 561641 |
| Live Nation Entertainment Inc 6.5% 5/15/2027 (o) |  | 433000 | 435052 |
| NBCUniversal Media LLC 5.95% 4/1/2041  |  | 100000 | 103899 |
| Netflix Inc 5.375% 11/15/2029 (o) |  | 518000 | 540424 |
| ROBLOX Corp 3.875% 5/1/2030 (o) |  | 280000 | 267377 |
| Take-Two Interactive Software Inc 3.7% 4/14/2027  |  | 180000 | 179519 |
| Take-Two Interactive Software Inc 5.4% 6/12/2029  |  | 209000 | 216626 |
| Take-Two Interactive Software Inc 5.6% 6/12/2034  |  | 836000 | 871134 |
| Walt Disney Co/The 3.75% 3/14/2029  |  | 14000 | 14006 |
| Walt Disney Co/The 4.625% 3/14/2036  |  | 14000 | 13956 |
| Walt Disney Co/The 7.75% 12/1/2045  |  | 274000 | 352741 |
|  |  |  | 3760412 |
| Interactive Media & Services - 0.1% |  |  |  |
| Alphabet Inc 3.7% 2/15/2029  |  | 441000 | 441427 |
| Alphabet Inc 4% 5/15/2030  |  | 100000 | 100689 |
| Alphabet Inc 4.1% 11/15/2030  |  | 1655000 | 1670013 |
| Alphabet Inc 4.375% 11/6/2064  | EUR | 290000 | 331082 |
| Alphabet Inc 4.4% 2/15/2033  |  | 575000 | 580069 |
| Alphabet Inc 4.7% 11/15/2035  |  | 1665000 | 1685909 |
| Alphabet Inc 4.8% 2/15/2036  |  | 1999000 | 2031834 |
| Alphabet Inc 5.5% 2/15/2046  |  | 232000 | 236245 |
| Alphabet Inc 5.65% 2/15/2056  |  | 4980000 | 5095824 |
| Alphabet Inc 5.7% 11/15/2075  |  | 1817000 | 1815805 |
| Alphabet Inc 5.75% 2/15/2066  |  | 2681000 | 2730235 |
| Meta Platforms Inc 4.6% 11/15/2032  |  | 2215000 | 2252152 |
| Meta Platforms Inc 4.65% 8/15/2062  |  | 1930000 | 1568325 |
| Meta Platforms Inc 4.875% 11/15/2035  |  | 6718000 | 6784893 |
| Meta Platforms Inc 5.4% 8/15/2054  |  | 860000 | 811955 |
| Meta Platforms Inc 5.5% 11/15/2045  |  | 1255000 | 1239890 |
| Meta Platforms Inc 5.6% 5/15/2053  |  | 2633000 | 2563542 |
| Meta Platforms Inc 5.625% 11/15/2055  |  | 6755000 | 6611965 |
| Snap Inc 6.875% 3/1/2033 (o) |  | 530000 | 527890 |
| Snap Inc 6.875% 3/15/2034 (o) |  | 160000 | 159512 |
|  |  |  | 39239256 |
| Media - 0.3% |  |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 1/15/2034 (o) |  | 100000 | 87110 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.25% 2/1/2031 (o) |  | 1630000 | 1519324 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 2286000 | 2092043 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 8/15/2030 (o) |  | 1089000 | 1038718 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 2/1/2032 (o) |  | 1185000 | 1101963 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.75% 3/1/2030 (o) |  | 2560000 | 2474914 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (o) |  | 260000 | 259439 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5.125% 5/1/2027 (o) |  | 62000 | 61986 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (o) |  | 503000 | 514290 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.25% 1/15/2029  |  | 5888000 | 5558382 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 788000 | 687490 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  |  | 1640000 | 1490790 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 3/1/2042  |  | 408000 | 288113 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.5% 6/1/2041  |  | 8610000 | 6202592 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.85% 4/1/2061  |  | 515000 | 311428 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.9% 6/1/2052  |  | 580000 | 381659 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.95% 6/30/2062  |  | 761000 | 465182 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  |  | 712000 | 476150 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  |  | 141000 | 107422 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  |  | 2360000 | 2396832 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.125% 7/1/2049  |  | 53000 | 42065 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 720000 | 580730 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 26133000 | 21781593 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.85% 12/1/2035  |  | 455000 | 457908 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 4171000 | 4371543 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 3015000 | 2862827 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 6266000 | 6664056 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.65% 2/1/2034  |  | 3450000 | 3664140 |
| Clear Channel Outdoor Holdings Inc 7.125% 2/15/2031 (o) |  | 625000 | 660632 |
| Clear Channel Outdoor Holdings Inc 7.875% 4/1/2030 (o) |  | 100000 | 105380 |
| Cox Communications Inc 1.8% 10/1/2030 (o) |  | 1840000 | 1627470 |
| Cox Communications Inc 5.45% 9/15/2028 (o) |  | 2525000 | 2605138 |
| Cox Enterprises Inc 7.375% 7/15/2027 (o) |  | 1945000 | 2017143 |
| CSC Holdings LLC 11.75% 1/31/2029 (o) |  | 2219000 | 1581178 |
| CSC Holdings LLC 5.375% 2/1/2028 (o) |  | 399000 | 286998 |
| CSC Holdings LLC 5.5% 4/15/2027 (o) |  | 1117000 | 947034 |
| CSC Holdings LLC 5.75% 1/15/2030 (o) |  | 286000 | 110500 |
| CSC Holdings LLC 6.5% 2/1/2029 (o) |  | 3048000 | 1924679 |
| Directv Financing LLC / Directv Financing Co-Obligor Inc 10% 2/15/2031 (o) |  | 100000 | 102277 |
| Directv Financing LLC 8.875% 2/1/2030 (o) |  | 31000 | 31011 |
| Discovery Communications LLC 3.95% 3/20/2028  |  | 3108000 | 3088886 |
| Discovery Communications LLC 5% 9/20/2037  |  | 100000 | 79473 |
| Discovery Global Holdings Inc 3.755% 3/15/2027  |  | 8213000 | 8187458 |
| Discovery Global Holdings Inc 4.279% 3/15/2032  |  | 350000 | 321125 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 975000 | 699563 |
| Discovery Global Holdings Inc 5.141% 3/15/2052  |  | 174000 | 115709 |
| DISH DBS Corp 5.125% 6/1/2029  |  | 975000 | 870707 |
| DISH DBS Corp 5.25% 12/1/2026 (o) |  | 526000 | 510920 |
| DISH DBS Corp 5.75% 12/1/2028 (o) |  | 53000 | 51294 |
| DISH DBS Corp 7.375% 7/1/2028  |  | 225000 | 217090 |
| DISH DBS Corp 7.75% 7/1/2026  |  | 2500000 | 2469032 |
| DISH Network Corp 11.75% 11/15/2027 (o) |  | 5358000 | 5547009 |
| EchoStar Corp 10.75% 11/30/2029  |  | 4804600 | 5247680 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (g) |  | 505000 | 511441 |
| Fox Corp 6.5% 10/13/2033  |  | 102000 | 111953 |
| Getty Images Inc 10.5% 11/15/2030 (o) |  | 415000 | 367341 |
| Gray Media Inc 10.5% 7/15/2029 (o) |  | 257000 | 275523 |
| Gray Media Inc 4.75% 10/15/2030 (o) |  | 61000 | 49514 |
| Gray Media Inc 5.375% 11/15/2031 (o) |  | 63000 | 49599 |
| Gray Media Inc 7.25% 8/15/2033 (o) |  | 220000 | 227172 |
| Gray Media Inc 9.625% 7/15/2032 (o) |  | 100000 | 103899 |
| iHeartCommunications Inc 10.875% 5/1/2030 (o) |  | 133088 | 98727 |
| iHeartCommunications Inc 7.75% 8/15/2030 (o) |  | 113030 | 89892 |
| iHeartCommunications Inc 9.125% 5/1/2029 (o) |  | 465193 | 413310 |
| Lamar Media Corp 3.75% 2/15/2028  |  | 27000 | 26549 |
| Lamar Media Corp 4% 2/15/2030  |  | 172000 | 166588 |
| Lamar Media Corp 4.875% 1/15/2029  |  | 250000 | 249802 |
| Lamar Media Corp 5.375% 11/1/2033 (o) |  | 130000 | 130340 |
| Nexstar Media Inc 4.75% 11/1/2028 (o) |  | 221000 | 219917 |
| Nexstar Media Inc 5.625% 7/15/2027 (o) |  | 984000 | 984093 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 4.25% 1/15/2029 (o) |  | 280000 | 274734 |
| Outfront Media Capital LLC / Outfront Media Capital Corp 7.375% 2/15/2031 (o) |  | 80000 | 84103 |
| Paramount Global 2.9% 1/15/2027  |  | 1157000 | 1136329 |
| Paramount Global 3.375% 2/15/2028  |  | 190000 | 183618 |
| Paramount Global 3.7% 10/4/2026  |  | 273000 | 269193 |
| Paramount Global 4.6% 1/15/2045  |  | 76000 | 47332 |
| Paramount Global 4.9% 8/15/2044  |  | 43000 | 27628 |
| Paramount Global 6.25% 2/28/2057 (g) |  | 100000 | 77530 |
| Scripps Escrow II Inc 3.875% 1/15/2029 (o) |  | 247000 | 232992 |
| Sinclair Television Group Inc 4.375% 12/31/2032 (o) |  | 118000 | 94590 |
| Sinclair Television Group Inc 8.125% 2/15/2033 (o) |  | 260000 | 270725 |
| Sirius XM Radio LLC 4% 7/15/2028 (o) |  | 713000 | 696062 |
| Sirius XM Radio LLC 4.125% 7/1/2030 (o) |  | 720000 | 678658 |
| Sirius XM Radio LLC 5% 8/1/2027 (o) |  | 450000 | 449734 |
| Sirius XM Radio LLC 5.5% 7/1/2029 (o) |  | 798000 | 798806 |
| Stagwell Global LLC 5.625% 8/15/2029 (o) |  | 380000 | 350261 |
| TEGNA Inc 4.625% 3/15/2028  |  | 266000 | 265247 |
| TEGNA Inc 5% 9/15/2029  |  | 605000 | 604427 |
| Time Warner Cable LLC 5.5% 9/1/2041  |  | 5200000 | 4651298 |
| Time Warner Cable LLC 5.875% 11/15/2040  |  | 930000 | 872347 |
| Time Warner Cable LLC 6.55% 5/1/2037  |  | 8522000 | 8772642 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 6393000 | 6918488 |
| Univision Communications Inc 7.375% 6/30/2030 (o) |  | 270000 | 270005 |
| Univision Communications Inc 8% 8/15/2028 (o) |  | 1610000 | 1653798 |
| Univision Communications Inc 8.5% 7/31/2031 (o) |  | 350000 | 358192 |
| Univision Communications Inc 9.375% 8/1/2032 (o) |  | 225000 | 238087 |
| Versant Media Group Inc 7.25% 1/30/2031 (o) |  | 12000 | 12280 |
|  |  |  | 141710841 |
| Wireless Telecommunication Services - 0.1% |  |  |  |
| T-Mobile USA Inc 2.05% 2/15/2028  |  | 378000 | 365100 |
| T-Mobile USA Inc 2.625% 4/15/2026  |  | 3800000 | 3793069 |
| T-Mobile USA Inc 3% 2/15/2041  |  | 3650000 | 2776989 |
| T-Mobile USA Inc 3.375% 4/15/2029  |  | 2445000 | 2400668 |
| T-Mobile USA Inc 3.4% 10/15/2052  |  | 520000 | 354631 |
| T-Mobile USA Inc 3.6% 11/15/2060  |  | 1136000 | 764436 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 19558000 | 19407646 |
| T-Mobile USA Inc 4.7% 1/15/2035  |  | 445000 | 442580 |
| T-Mobile USA Inc 4.85% 1/15/2029  |  | 600000 | 614683 |
| T-Mobile USA Inc 4.95% 3/15/2028  |  | 800000 | 816410 |
| T-Mobile USA Inc 5.05% 7/15/2033  |  | 315000 | 324931 |
| T-Mobile USA Inc 5.75% 1/15/2034  |  | 216000 | 230900 |
| T-Mobile USA Inc 6.7% 12/15/2033  |  | 202000 | 228597 |
|  |  |  | 32520640 |
| TOTAL COMMUNICATION SERVICES |  |  | 326955836 |
| Consumer Discretionary - 0.5% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Adient Global Holdings Ltd 7% 4/15/2028 (o) |  | 548000 | 558797 |
| Adient Global Holdings Ltd 7.5% 2/15/2033 (o) |  | 135000 | 141684 |
| American Axle & Manufacturing Inc 5% 10/1/2029  |  | 270000 | 263758 |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (o) |  | 100000 | 101772 |
| American Axle & Manufacturing Inc 6.875% 7/1/2028  |  | 216000 | 216198 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (o) |  | 185000 | 188023 |
| Aptiv Swiss Holdings Ltd 5.15% 9/13/2034  |  | 225000 | 230952 |
| Aptiv Swiss Holdings Ltd 6.875% 12/15/2054 (g) |  | 245000 | 255429 |
| Clarios Global LP / Clarios US Finance Co 4.75% 6/15/2031 (q) | EUR | 100000 | 120571 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (o) |  | 65000 | 67471 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (o) |  | 530000 | 555154 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (o) |  | 205000 | 209686 |
| Cooper-Standard Automotive Inc 13.5% 3/31/2027 pay-in-kind (g)(o) |  | 202568 | 207084 |
| Cooper-Standard Automotive Inc 5.625% 5/15/2027 pay-in-kind (g)(o) |  | 143968 | 145879 |
| Cooper-Standard Automotive Inc 9.25% 3/1/2031 (o) |  | 410000 | 411157 |
| Goodyear Tire & Rubber Co/The 5% 7/15/2029  |  | 380000 | 372458 |
| Goodyear Tire & Rubber Co/The 5.25% 4/30/2031  |  | 517000 | 495898 |
| Goodyear Tire & Rubber Co/The 5.25% 7/15/2031  |  | 127000 | 121171 |
| Goodyear Tire & Rubber Co/The 5.625% 4/30/2033  |  | 100000 | 95216 |
| Hertz Corp/The 4.625% 12/1/2026 (o) |  | 149000 | 135732 |
| Patrick Industries Inc 6.375% 11/1/2032 (o) |  | 250000 | 256781 |
| Phinia Inc 6.75% 4/15/2029 (o) |  | 540000 | 558111 |
| Tenneco Inc 8% 11/17/2028 (o) |  | 3475000 | 3475017 |
|  |  |  | 9183999 |
| Automobiles - 0.1% |  |  |  |
| American Honda Finance Corp 3.5% 2/15/2028  |  | 307000 | 305032 |
| American Honda Finance Corp 4.8% 3/5/2030  |  | 181000 | 185361 |
| American Honda Finance Corp U.S. SOFR Index + 0.73%, 4.4011% 8/13/2027 (f)(g) |  | 10100000 | 10144440 |
| Ford Motor Co 3.25% 2/12/2032  |  | 1675000 | 1507673 |
| Ford Motor Co 4.75% 1/15/2043  |  | 686000 | 551796 |
| Ford Motor Co 9.625% 4/22/2030  |  | 481000 | 561948 |
| General Motors Co 5.35% 4/15/2028  |  | 3301000 | 3382391 |
| General Motors Co 5.4% 4/1/2048  |  | 144000 | 132572 |
| General Motors Co 5.95% 4/1/2049  |  | 10000 | 9852 |
| General Motors Co 6.25% 10/2/2043  |  | 712000 | 729831 |
| General Motors Co 6.25% 4/15/2035  |  | 132000 | 141701 |
| General Motors Co 6.6% 4/1/2036  |  | 775000 | 850436 |
| General Motors Co 6.75% 4/1/2046  |  | 465000 | 502821 |
| General Motors Financial Co Inc 2.4% 10/15/2028  |  | 2200000 | 2108941 |
| General Motors Financial Co Inc 2.4% 4/10/2028  |  | 1895000 | 1833499 |
| General Motors Financial Co Inc 4.3% 4/6/2029  |  | 148000 | 148647 |
| General Motors Financial Co Inc 5.05% 4/4/2028  |  | 4804000 | 4897764 |
| General Motors Financial Co Inc 5.4% 5/8/2027  |  | 1194000 | 1212741 |
| General Motors Financial Co Inc 5.45% 9/6/2034  |  | 100000 | 102630 |
| General Motors Financial Co Inc 5.6% 6/18/2031  |  | 167000 | 175471 |
| General Motors Financial Co Inc 5.65% 1/17/2029  |  | 118000 | 122378 |
| General Motors Financial Co Inc 5.85% 4/6/2030  |  | 2471000 | 2611391 |
| General Motors Financial Co Inc 5.95% 4/4/2034  |  | 275000 | 291746 |
| General Motors Financial Co Inc 6.4% 1/9/2033  |  | 291000 | 316717 |
| Hyundai Capital America 1.5% 6/15/2026 (o) |  | 367000 | 364251 |
| Hyundai Capital America 2.1% 9/15/2028 (o) |  | 1595000 | 1519536 |
| Hyundai Capital America 3% 2/10/2027 (o) |  | 252000 | 249787 |
| Hyundai Capital America 4.55% 9/26/2029 (o) |  | 2700000 | 2738457 |
| Hyundai Capital America 4.8% 1/10/2033 (o) |  | 2720000 | 2745463 |
| Hyundai Capital America 4.875% 11/1/2027 (o) |  | 4000000 | 4056566 |
| Hyundai Capital America 5.4% 6/23/2032 (o) |  | 620000 | 650927 |
| Hyundai Capital America U.S. SOFR Index + 1.04%, 4.7276% 6/24/2027 (f)(g)(o) |  | 3300000 | 3321582 |
| Hyundai Capital America U.S. SOFR Index + 1.04%, 4.7279% 3/19/2027 (f)(g)(o) |  | 250000 | 251265 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (o) |  | 20000 | 18711 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (o) |  | 40000 | 39912 |
| Nissan Motor Acceptance Co LLC 5.625% 9/29/2028 (o) |  | 68000 | 68438 |
| Nissan Motor Acceptance Co LLC 6.125% 9/30/2030 (o) |  | 200000 | 200463 |
| Nissan Motor Acceptance Co LLC 7.05% 9/15/2028 (o) |  | 200000 | 207822 |
| Nissan Motor Acceptance Co LLC U.S. SOFR Averages Index + 2.05%, 5.7398% 9/13/2027 (f)(g)(o) |  | 8800000 | 8734001 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (o) |  | 125000 | 118235 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (o) |  | 340000 | 348319 |
| Thor Industries Inc 4% 10/15/2029 (o) |  | 200000 | 191980 |
|  |  |  | 58653494 |
| Broadline Retail - 0.0% |  |  |  |
| Amazon.com Inc 3.1% 5/12/2051  |  | 76000 | 51610 |
| Amazon.com Inc 3.45% 4/13/2029  |  | 115000 | 114130 |
| Amazon.com Inc 3.9% 11/20/2028  |  | 251000 | 252368 |
| Amazon.com Inc 3.95% 4/13/2052  |  | 1279000 | 1011266 |
| Amazon.com Inc 4.1% 11/20/2030  |  | 204000 | 205499 |
| Amazon.com Inc 4.65% 11/20/2035  |  | 308000 | 309762 |
| Amazon.com Inc 4.65% 12/1/2029  |  | 173000 | 178211 |
| Amazon.com Inc 4.95% 12/5/2044  |  | 493000 | 477913 |
| Amazon.com Inc 5.45% 11/20/2055  |  | 306000 | 301440 |
| Kohl's Corp 5.125% 5/1/2031  |  | 100000 | 84631 |
| Macy's Retail Holdings LLC 7.375% 8/1/2033 (o) |  | 125000 | 130954 |
| Match Group Holdings II LLC 3.625% 10/1/2031 (o) |  | 200000 | 181479 |
| Match Group Holdings II LLC 4.125% 8/1/2030 (o) |  | 110000 | 104535 |
| Match Group Holdings II LLC 4.625% 6/1/2028 (o) |  | 100000 | 98788 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 453000 | 436166 |
| Shutterfly Finance LLC 8.5% 10/1/2027 pay-in-kind (g)(o) |  | 41774 | 39073 |
| Shutterfly Finance LLC 9.75% 10/1/2027 (o) |  | 4660 | 4637 |
| Wayfair LLC 6.75% 11/15/2032 (o) |  | 80000 | 81535 |
| Wayfair LLC 7.25% 10/31/2029 (o) |  | 540000 | 558059 |
| Wayfair LLC 7.75% 9/15/2030 (o) |  | 510000 | 536321 |
|  |  |  | 5158377 |
| Distributors - 0.0% |  |  |  |
| American Builders & Contractors Supply Co Inc 3.875% 11/15/2029 (o) |  | 80000 | 77225 |
| American Builders & Contractors Supply Co Inc 4% 1/15/2028 (o) |  | 282000 | 277892 |
| Genuine Parts Co 4.95% 8/15/2029  |  | 765000 | 774960 |
|  |  |  | 1130077 |
| Diversified Consumer Services - 0.1% |  |  |  |
| California Institute of Technology 3.65% 9/1/2119  |  | 535000 | 354036 |
| Covista Inc 5.5% 3/1/2028 (o) |  | 445000 | 445000 |
| ERAC USA Finance LLC 3.3% 12/1/2026 (o) |  | 8865000 | 8824816 |
| Grand Canyon University 5.125% 10/1/2028  |  | 280000 | 280863 |
| Massachusetts Institute of Technology 2.989% 7/1/2050  |  | 865000 | 601440 |
| Massachusetts Institute of Technology 3.959% 7/1/2038  |  | 2125000 | 2016390 |
| Massachusetts Institute of Technology 5.6% 7/1/2111  |  | 400000 | 412493 |
| President and Fellows of Harvard College 3.15% 7/15/2046  |  | 315000 | 238210 |
| President and Fellows of Harvard College 3.3% 7/15/2056  |  | 190000 | 133890 |
| Service Corp International/US 3.375% 8/15/2030  |  | 100000 | 93987 |
| Service Corp International/US 4% 5/15/2031  |  | 255000 | 243718 |
| Service Corp International/US 5.125% 6/1/2029  |  | 600000 | 601816 |
| Service Corp International/US 5.75% 10/15/2032  |  | 910000 | 927753 |
| Sotheby's 7.375% 10/15/2027 (o) |  | 480000 | 477075 |
| TKC Holdings Inc 12% 2/15/2031 (o) |  | 80000 | 84086 |
| TKC Holdings Inc 8.5% 8/15/2030 (o) |  | 255000 | 260939 |
| Trustees of the University of Pennsylvania/The 2.396% 10/1/2050  |  | 495000 | 303877 |
| Trustees of the University of Pennsylvania/The 3.61% 2/15/2119  |  | 285000 | 188257 |
| University of Southern California 3.841% 10/1/2047  |  | 815000 | 676548 |
| University of Southern California 4.976% 10/1/2053  |  | 572000 | 545561 |
| Washington University/The 3.524% 4/15/2054  |  | 2930000 | 2212786 |
| Washington University/The 4.349% 4/15/2122  |  | 2340000 | 1833661 |
| Yale University 2.402% 4/15/2050  |  | 2140000 | 1326172 |
|  |  |  | 23083374 |
| Hotels, Restaurants & Leisure - 0.2% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (o) |  | 125000 | 127221 |
| Aramark Services Inc 5% 2/1/2028 (o) |  | 1490000 | 1490401 |
| BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc 9.5% 7/1/2032 (o) |  | 305000 | 280943 |
| Boyd Gaming Corp 4.75% 12/1/2027  |  | 165000 | 164779 |
| Boyne USA Inc 4.75% 5/15/2029 (o) |  | 325000 | 322684 |
| Brinker International Inc 8.25% 7/15/2030 (o) |  | 1475000 | 1553745 |
| Caesars Entertainment Inc 4.625% 10/15/2029 (o) |  | 2675000 | 2616972 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (o) |  | 1679000 | 1706195 |
| Caesars Entertainment Inc 7% 2/15/2030 (o) |  | 2625000 | 2691252 |
| Carnival Corp 4% 8/1/2028 (o) |  | 675000 | 669979 |
| Carnival Corp 5.125% 5/1/2029 (o) |  | 1040000 | 1053850 |
| Carnival Corp 5.75% 3/15/2030 (o) |  | 850000 | 879085 |
| Carnival Corp 5.75% 8/1/2032 (o) |  | 1390000 | 1442541 |
| Carnival Corp 5.875% 6/15/2031 (o) |  | 865000 | 903944 |
| Carnival Corp 6.125% 2/15/2033 (o) |  | 720000 | 745342 |
| Churchill Downs Inc 4.75% 1/15/2028 (o) |  | 170000 | 169448 |
| Churchill Downs Inc 5.5% 4/1/2027 (o) |  | 340000 | 340167 |
| Churchill Downs Inc 6.75% 5/1/2031 (o) |  | 280000 | 288430 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 4.625% 1/15/2029 (o) |  | 725000 | 704969 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (o) |  | 425000 | 400826 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (o) |  | 462000 | 430463 |
| Hilton Domestic Operating Co Inc 3.75% 5/1/2029 (o) |  | 355000 | 345640 |
| Hilton Domestic Operating Co Inc 4% 5/1/2031 (o) |  | 911000 | 874743 |
| Hilton Domestic Operating Co Inc 4.875% 1/15/2030  |  | 73000 | 73056 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (o) |  | 110000 | 111174 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (o) |  | 270000 | 276388 |
| Hilton Domestic Operating Co Inc 5.875% 3/15/2033 (o) |  | 1205000 | 1240226 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (o) |  | 345000 | 353182 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 4.875% 7/1/2031 (o) |  | 100000 | 94095 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (o) |  | 130000 | 126875 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (o) |  | 275000 | 280563 |
| Hyatt Hotels Corp 5.05% 3/30/2028  |  | 5900000 | 6019709 |
| Hyatt Hotels Corp 5.25% 6/30/2029  |  | 1900000 | 1962984 |
| Hyatt Hotels Corp 5.75% 1/30/2027  |  | 1245000 | 1261952 |
| Hyatt Hotels Corp 5.75% 4/23/2030  |  | 3300000 | 3467383 |
| Jacobs Entertainment Inc 6.75% 2/15/2029 (o) |  | 775000 | 756757 |
| Las Vegas Sands Corp 5.625% 6/15/2028  |  | 1760000 | 1803135 |
| Las Vegas Sands Corp 5.9% 6/1/2027  |  | 1000000 | 1017492 |
| Las Vegas Sands Corp 6% 8/15/2029  |  | 2860000 | 2992841 |
| Life Time Inc 6% 11/15/2031 (o) |  | 285000 | 293553 |
| Light & Wonder International Inc 7.5% 9/1/2031 (o) |  | 100000 | 104250 |
| Marriott International Inc/MD 3.125% 6/15/2026  |  | 1390000 | 1386874 |
| Marriott International Inc/MD 4.5% 5/1/2033  |  | 127000 | 126582 |
| Marriott International Inc/MD 4.8% 3/15/2030  |  | 3400000 | 3491480 |
| Marriott International Inc/MD 4.9% 4/15/2029  |  | 925000 | 948541 |
| Marriott International Inc/MD 5.1% 5/1/2038  |  | 191000 | 188912 |
| Marriott International Inc/MD 5.5% 4/15/2037  |  | 2350000 | 2428517 |
| McDonald's Corp 3.5% 5/21/2032 (q) | EUR | 210000 | 252189 |
| McDonald's Corp 4.45% 3/1/2047  |  | 129000 | 112880 |
| McDonald's Corp 4.7% 12/9/2035  |  | 2880000 | 2912687 |
| McDonald's Corp 4.875% 7/15/2040  |  | 108000 | 105796 |
| McDonald's Corp 5.15% 9/9/2052  |  | 589000 | 555219 |
| McDonald's Corp 6.3% 10/15/2037  |  | 74000 | 83572 |
| MGM Resorts International 4.625% 9/1/2026  |  | 630000 | 629549 |
| MGM Resorts International 5.5% 4/15/2027  |  | 2225000 | 2245143 |
| MGM Resorts International 6.125% 9/15/2029  |  | 420000 | 431606 |
| MGM Resorts International 6.5% 4/15/2032  |  | 1860000 | 1911936 |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC 11.875% 4/15/2031 (o) |  | 100000 | 106011 |
| NCL Corp Ltd 5.875% 1/15/2031 (o) |  | 130000 | 131339 |
| NCL Corp Ltd 6.25% 9/15/2033 (o) |  | 100000 | 100938 |
| Papa John's International Inc 3.875% 9/15/2029 (o) |  | 430000 | 406846 |
| Resorts World Las Vegas LLC / RWLV Capital Inc 4.625% 4/16/2029 (q) |  | 400000 | 364590 |
| Royal Caribbean Cruises Ltd 3.7% 3/15/2028  |  | 189000 | 187895 |
| Royal Caribbean Cruises Ltd 4.75% 5/15/2033  |  | 760000 | 765259 |
| Royal Caribbean Cruises Ltd 5.5% 4/1/2028 (o) |  | 3845000 | 3929225 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (o) |  | 1230000 | 1268311 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (o) |  | 770000 | 796516 |
| Royal Caribbean Cruises Ltd 6.25% 3/15/2032 (o) |  | 9929000 | 10354425 |
| Six Flags Entertainment Corp / Canada's Wonderland Co / Magnum Management Corp 5.25% 7/15/2029  |  | 281000 | 270274 |
| Six Flags Entertainment Corp / Canada's Wonderland Co / Magnum Management Corp 6.5% 10/1/2028  |  | 160000 | 160133 |
| Six Flags Entertainment Corp /Six Flags Theme Parks Inc/ Canada's Wonderland Co 6.625% 5/1/2032 (o) |  | 165000 | 167754 |
| Six Flags Entertainment Corp 7.25% 5/15/2031 (o) |  | 275000 | 269908 |
| Six Flags Entertainment Corp/Canada's Wonderland Co/Millennium Operations LLC 8.625% 1/15/2032 (o) |  | 5000 | 5061 |
| Starbucks Corp 4.45% 8/15/2049  |  | 37000 | 31582 |
| Station Casinos LLC 4.5% 2/15/2028 (o) |  | 442000 | 440214 |
| Vail Resorts Inc 6.5% 5/15/2032 (o) |  | 500000 | 517845 |
| Viking Cruises Ltd 5.875% 10/15/2033 (o) |  | 925000 | 943648 |
| VOC Escrow Ltd 5% 2/15/2028 (o) |  | 1400000 | 1398808 |
| Voyager Parent LLC 9.25% 7/1/2032 (o) |  | 1468000 | 1567561 |
| Wyndham Hotels & Resorts Inc 4.375% 8/15/2028 (o) |  | 255000 | 253198 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 5.125% 10/1/2029 (o) |  | 920000 | 925250 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (o) |  | 265000 | 270627 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (o) |  | 1170000 | 1263530 |
| Yum! Brands Inc 3.625% 3/15/2031  |  | 490000 | 465148 |
| Yum! Brands Inc 4.625% 1/31/2032  |  | 520000 | 511242 |
| Yum! Brands Inc 5.375% 4/1/2032  |  | 100000 | 101654 |
|  |  |  | 88225509 |
| Household Durables - 0.0% |  |  |  |
| Century Communities Inc 3.875% 8/15/2029 (o) |  | 235000 | 224041 |
| Century Communities Inc 6.625% 9/15/2033 (o) |  | 130000 | 132095 |
| LGI Homes Inc 4% 7/15/2029 (o) |  | 30000 | 27871 |
| LGI Homes Inc 7% 11/15/2032 (o) |  | 435000 | 426449 |
| LGI Homes Inc 8.75% 12/15/2028 (o) |  | 95000 | 99119 |
| Newell Brands Inc 6.375% 5/15/2030  |  | 710000 | 712204 |
| Newell Brands Inc 6.625% 5/15/2032  |  | 360000 | 360031 |
| Newell Brands Inc 6.625% 9/15/2029  |  | 331000 | 336158 |
| Newell Brands Inc 6.875% 4/1/2036 (p) |  | 271000 | 273504 |
| Newell Brands Inc 8.5% 6/1/2028 (o) |  | 465000 | 489460 |
| PulteGroup Inc 4.25% 3/1/2031  |  | 201000 | 200815 |
| PulteGroup Inc 4.9% 3/1/2036  |  | 176000 | 176186 |
| Somnigroup International Inc 3.875% 10/15/2031 (o) |  | 135000 | 126725 |
| Somnigroup International Inc 4% 4/15/2029 (o) |  | 1006000 | 977664 |
| SWF Holdings I Corp 6.5% 10/6/2029 (l)(o) |  | 712640 | 285056 |
| Toll Brothers Finance Corp 4.875% 3/15/2027  |  | 6350000 | 6386401 |
| TopBuild Corp 4.125% 2/15/2032 (o) |  | 530000 | 503713 |
| TopBuild Corp 5.625% 1/31/2034 (o) |  | 1672000 | 1686299 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 315000 | 316413 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 430000 | 429117 |
|  |  |  | 14169321 |
| Specialty Retail - 0.1% |  |  |  |
| Asbury Automotive Group Inc 4.5% 3/1/2028  |  | 118000 | 117302 |
| Asbury Automotive Group Inc 4.625% 11/15/2029 (o) |  | 410000 | 403613 |
| Asbury Automotive Group Inc 4.75% 3/1/2030  |  | 36000 | 35433 |
| Asbury Automotive Group Inc 5% 2/15/2032 (o) |  | 215000 | 209091 |
| AutoNation Inc 3.8% 11/15/2027  |  | 1075000 | 1071032 |
| AutoNation Inc 4.75% 6/1/2030  |  | 953000 | 966721 |
| AutoZone Inc 1.65% 1/15/2031  |  | 505000 | 447656 |
| AutoZone Inc 3.75% 4/18/2029  |  | 1400000 | 1388041 |
| AutoZone Inc 4% 4/15/2030  |  | 6924000 | 6894056 |
| AutoZone Inc 6.25% 11/1/2028  |  | 440000 | 464738 |
| Bath & Body Works Inc 6.625% 10/1/2030 (o) |  | 330000 | 337997 |
| Bath & Body Works Inc 6.75% 7/1/2036  |  | 200000 | 200695 |
| Bath & Body Works Inc 6.875% 11/1/2035  |  | 182000 | 185443 |
| Bath & Body Works Inc 7.5% 6/15/2029  |  | 617000 | 627984 |
| Carvana Co 9% 6/1/2030 pay-in-kind (g)(o) |  | 2875000 | 2993048 |
| Carvana Co 9% 6/1/2031 pay-in-kind (g)(o) |  | 3091000 | 3390001 |
| Gap Inc/The 3.625% 10/1/2029 (o) |  | 378000 | 359571 |
| Gap Inc/The 3.875% 10/1/2031 (o) |  | 1225000 | 1140052 |
| Group 1 Automotive Inc 4% 8/15/2028 (o) |  | 150000 | 147221 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (o) |  | 370000 | 379283 |
| Home Depot Inc/The 3.625% 4/15/2052  |  | 400000 | 297449 |
| Home Depot Inc/The 4.95% 6/25/2034  |  | 750000 | 775172 |
| Home Depot Inc/The 5.4% 9/15/2040  |  | 545000 | 565599 |
| LBM Acquisition LLC 9.5% 6/15/2031 (o) |  | 130000 | 121251 |
| LCM Investments Holdings II LLC 8.25% 8/1/2031 (o) |  | 100000 | 105111 |
| Lithia Motors Inc 3.875% 6/1/2029 (o) |  | 1795000 | 1735098 |
| Lithia Motors Inc 4.375% 1/15/2031 (o) |  | 53000 | 50978 |
| Lithia Motors Inc 4.625% 12/15/2027 (o) |  | 11000 | 10974 |
| Lowe's Cos Inc 2.625% 4/1/2031  |  | 338000 | 313503 |
| Lowe's Cos Inc 3.1% 5/3/2027  |  | 200000 | 198160 |
| Lowe's Cos Inc 3.35% 4/1/2027  |  | 428000 | 425709 |
| Lowe's Cos Inc 3.7% 4/15/2046  |  | 65000 | 50219 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 1904000 | 1844470 |
| Lowe's Cos Inc 4.5% 10/15/2032  |  | 106000 | 106466 |
| Lowe's Cos Inc 4.85% 10/15/2035  |  | 156000 | 156100 |
| Lowe's Cos Inc 5% 4/15/2040  |  | 124000 | 122302 |
| Lowe's Cos Inc 5.125% 4/15/2050  |  | 274000 | 251327 |
| Michaels Cos Inc/The 11% 3/15/2034 (c)(o) |  | 143000 | 133657 |
| Michaels Cos Inc/The 5.25% 5/1/2028 (o) |  | 643000 | 642713 |
| Michaels Cos Inc/The 7.875% 5/1/2029 (o) |  | 465000 | 467093 |
| Michaels Cos Inc/The 8.5% 3/15/2033 (c)(o) |  | 545000 | 530124 |
| O'Reilly Automotive Inc 1.75% 3/15/2031  |  | 770000 | 683914 |
| Penske Automotive Group Inc 3.75% 6/15/2029  |  | 312000 | 301743 |
| Petco Health & Wellness Co Inc 8.25% 2/1/2031 (o) |  | 135000 | 131846 |
| Sally Holdings LLC / Sally Capital Inc 6.75% 3/1/2032  |  | 645000 | 669615 |
| Sonic Automotive Inc 4.625% 11/15/2029 (o) |  | 298000 | 293020 |
| Sonic Automotive Inc 4.875% 11/15/2031 (o) |  | 100000 | 96620 |
| Upbound Group Inc 6.375% 2/15/2029 (o) |  | 300000 | 296981 |
| Wand NewCo 3 Inc 7.625% 1/30/2032 (o) |  | 515000 | 537382 |
|  |  |  | 33673574 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Levi Strauss & Co 3.5% 3/1/2031 (o) |  | 170000 | 159517 |
| NIKE Inc 3.625% 5/1/2043  |  | 107000 | 86703 |
| Tapestry Inc 3.05% 3/15/2032  |  | 14311000 | 13298600 |
| VF Corp 4.25% 3/7/2029  | EUR | 200000 | 241528 |
|  |  |  | 13786348 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 247064073 |
| Consumer Staples - 0.3% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Coca-Cola Co/The 2% 3/5/2031  |  | 320000 | 293528 |
| Coca-Cola Co/The 5.3% 5/13/2054  |  | 218000 | 216603 |
| Constellation Brands Inc 2.25% 8/1/2031  |  | 3460000 | 3111379 |
| Constellation Brands Inc 3.7% 12/6/2026  |  | 1200000 | 1197750 |
| Constellation Brands Inc 4.65% 11/15/2028  |  | 292000 | 296446 |
| Constellation Brands Inc 4.9% 5/1/2033  |  | 100000 | 101863 |
| Keurig Dr Pepper Inc 3.2% 5/1/2030  |  | 125000 | 119754 |
| Keurig Dr Pepper Inc 3.95% 4/15/2029  |  | 100000 | 99438 |
| Keurig Dr Pepper Inc 4.35% 5/15/2028  |  | 125000 | 125752 |
| Keurig Dr Pepper Inc 5.3% 3/15/2034  |  | 106000 | 109066 |
| PepsiCo Inc 3.6% 8/13/2042  |  | 580000 | 482321 |
| PepsiCo Inc 4% 3/5/2042  |  | 284000 | 248916 |
| PepsiCo Inc 4.05% 7/28/2055  | EUR | 200000 | 228214 |
| PepsiCo Inc 4.1% 1/15/2029  |  | 135000 | 136438 |
| PepsiCo Inc 4.45% 2/7/2028  |  | 100000 | 101539 |
| PepsiCo Inc 4.6% 2/7/2030  |  | 191000 | 196388 |
| PepsiCo Inc 5% 2/7/2035  |  | 113000 | 117026 |
| Pepsico Singapore Financing I Pte Ltd 4.55% 2/16/2029  |  | 184000 | 188033 |
| Pepsico Singapore Financing I Pte Ltd 4.7% 2/16/2034  |  | 142000 | 144432 |
|  |  |  | 7514886 |
| Consumer Staples Distribution & Retail - 0.1% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (o) |  | 609000 | 587211 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (o) |  | 579000 | 574222 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (o) |  | 384000 | 386584 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (o) |  | 430000 | 427862 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (o) |  | 1110000 | 1129670 |
| Albertsons Cos Inc 5.625% 3/31/2032 (o) |  | 1558000 | 1564133 |
| Aramark International Finance Sarl 4.375% 4/15/2033 (q) | EUR | 100000 | 118491 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (o) |  | 370000 | 388237 |
| Kroger Co/The 2.65% 10/15/2026  |  | 430000 | 426845 |
| Kroger Co/The 5.4% 7/15/2040  |  | 214000 | 217433 |
| Mars Inc 4.8% 3/1/2030 (o) |  | 5860000 | 6024049 |
| Mars Inc 5% 3/1/2032 (o) |  | 18060000 | 18707706 |
| Mars Inc 5.2% 3/1/2035 (o) |  | 9843000 | 10192057 |
| Mars Inc 5.65% 5/1/2045 (o) |  | 305000 | 312132 |
| Performance Food Group Inc 4.25% 8/1/2029 (o) |  | 485000 | 475848 |
| Performance Food Group Inc 5.625% 3/1/2034 (o) |  | 155000 | 155519 |
| Performance Food Group Inc 6.125% 9/15/2032 (o) |  | 370000 | 379804 |
| Sysco Corp 5.75% 1/17/2029  |  | 107000 | 112236 |
| Sysco Corp 5.95% 4/1/2030  |  | 239000 | 254409 |
| Target Corp 3.625% 4/15/2046  |  | 124000 | 97550 |
| Target Corp 4.5% 9/15/2034  |  | 214000 | 213904 |
| US Foods Inc 4.625% 6/1/2030 (o) |  | 55000 | 54453 |
| US Foods Inc 4.75% 2/15/2029 (o) |  | 100000 | 99579 |
| US Foods Inc 5.75% 4/15/2033 (o) |  | 595000 | 606917 |
| US Foods Inc 7.25% 1/15/2032 (o) |  | 110000 | 115203 |
| Walmart Inc 3.625% 12/15/2047  |  | 192000 | 153051 |
| Walmart Inc 5.25% 9/1/2035  |  | 324000 | 346112 |
|  |  |  | 44121217 |
| Food Products - 0.1% |  |  |  |
| Archer-Daniels-Midland Co 2.9% 3/1/2032  |  | 483000 | 449298 |
| B&G Foods Inc 5.25% 9/15/2027  |  | 2200000 | 2133895 |
| Bunge Ltd Finance Corp 2.75% 5/14/2031  |  | 310000 | 288428 |
| Bunge Ltd Finance Corp 3.2% 4/21/2031  |  | 200000 | 190173 |
| Campbell's Company/The 4.55% 3/21/2031  |  | 199000 | 199343 |
| Campbell's Company/The 5.3% 3/20/2026  |  | 200000 | 200103 |
| Chobani LLC / Chobani Finance Corp Inc 7.625% 7/1/2029 (o) |  | 100000 | 104021 |
| Conagra Brands Inc 5.3% 11/1/2038  |  | 100000 | 96335 |
| Darling Ingredients Inc 5.25% 4/15/2027 (o) |  | 282000 | 281920 |
| Darling Ingredients Inc 6% 6/15/2030 (o) |  | 465000 | 470933 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (o) |  | 105000 | 108154 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (o) |  | 245000 | 249089 |
| General Mills Inc 4.875% 1/30/2030  |  | 103000 | 105668 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3% 5/15/2032  |  | 3375000 | 3073121 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3.625% 1/15/2032  |  | 1030000 | 974790 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 4.375% 2/2/2052  |  | 1080000 | 853850 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 5.5% 1/15/2036  |  | 2040000 | 2093427 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 5.95% 4/20/2035  |  | 1275000 | 1351846 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 6.25% 3/1/2056  |  | 994000 | 1014990 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 6.375% 4/15/2066  |  | 210000 | 213750 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 6.5% 12/1/2052  |  | 2606000 | 2753630 |
| JM Smucker Co 3.375% 12/15/2027  |  | 293000 | 290511 |
| Kraft Heinz Foods Co 4.375% 6/1/2046  |  | 219000 | 179755 |
| Kraft Heinz Foods Co 5% 7/15/2035  |  | 43000 | 43159 |
| Kraft Heinz Foods Co 5.2% 7/15/2045  |  | 70000 | 64102 |
| Lamb Weston Holdings Inc 4.125% 1/31/2030 (o) |  | 570000 | 552516 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (o) |  | 1238000 | 1181819 |
| Lamb Weston Holdings Inc 4.875% 5/15/2028 (o) |  | 125000 | 125020 |
| Mondelez International Inc 4.625% 7/3/2031  | CAD | 4100000 | 3145060 |
| Pilgrim's Pride Corp 3.5% 3/1/2032  |  | 3345000 | 3133365 |
| Pilgrim's Pride Corp 4.25% 4/15/2031  |  | 3070000 | 3009012 |
| Post Holdings Inc 4.625% 4/15/2030 (o) |  | 456000 | 446355 |
| Post Holdings Inc 6.25% 2/15/2032 (o) |  | 115000 | 118300 |
| Tyson Foods Inc 3.55% 6/2/2027  |  | 744000 | 740537 |
| Tyson Foods Inc 4.35% 3/1/2029  |  | 1290000 | 1302209 |
| Tyson Foods Inc 4.95% 2/20/2036  |  | 23000 | 23147 |
|  |  |  | 31561631 |
| Household Products - 0.0% |  |  |  |
| Central Garden & Pet Co 4.125% 10/15/2030  |  | 231000 | 222917 |
| Central Garden & Pet Co 4.125% 4/30/2031 (o) |  | 21000 | 20046 |
| Central Garden & Pet Co 5.125% 2/1/2028  |  | 15000 | 14985 |
| Colgate-Palmolive Co 3.7% 8/1/2047  |  | 203000 | 164920 |
| Energizer Holdings Inc 4.375% 3/31/2029 (o) |  | 233000 | 226335 |
| Energizer Holdings Inc 4.75% 6/15/2028 (o) |  | 165000 | 163422 |
| Procter & Gamble Co/The 1.2% 10/29/2030  |  | 160000 | 142381 |
| Procter & Gamble Co/The 4.6% 5/1/2035  |  | 61000 | 62401 |
| Resideo Funding Inc 6.5% 7/15/2032 (o) |  | 355000 | 362427 |
| Spectrum Brands Inc 3.875% 3/15/2031 (o) |  | 254000 | 221946 |
|  |  |  | 1601780 |
| Personal Care Products - 0.0% |  |  |  |
| BellRing Brands Inc 7% 3/15/2030 (o) |  | 240000 | 244816 |
| Edgewell Personal Care Co 5.5% 6/1/2028 (o) |  | 348000 | 347677 |
| Estee Lauder Cos Inc/The 2.375% 12/1/2029  |  | 130000 | 122864 |
| Estee Lauder Cos Inc/The 4.375% 5/15/2028  |  | 100000 | 101082 |
| Kenvue Inc 5.05% 3/22/2028  |  | 407000 | 416734 |
| Kenvue Inc 5.1% 3/22/2043  |  | 140000 | 137630 |
|  |  |  | 1370803 |
| Tobacco - 0.1% |  |  |  |
| Altria Group Inc 2.45% 2/4/2032  |  | 157000 | 140902 |
| Altria Group Inc 3.4% 2/4/2041  |  | 1524000 | 1195178 |
| Altria Group Inc 4.25% 8/9/2042  |  | 490000 | 415960 |
| Altria Group Inc 4.5% 8/6/2030  |  | 390000 | 396796 |
| Altria Group Inc 5.625% 2/6/2035  |  | 600000 | 630758 |
| Altria Group Inc 6.2% 2/14/2059  |  | 86000 | 86637 |
| Philip Morris International Inc 1.75% 11/1/2030  |  | 164000 | 147834 |
| Philip Morris International Inc 2.1% 5/1/2030  |  | 2600000 | 2406822 |
| Philip Morris International Inc 2.75% 6/6/2029  | EUR | 2600000 | 3073395 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 860000 | 1016540 |
| Philip Morris International Inc 3.75% 1/15/2031  | EUR | 2400000 | 2921389 |
| Philip Morris International Inc 3.875% 8/21/2042  |  | 974000 | 817569 |
| Philip Morris International Inc 4% 10/29/2030  |  | 1675000 | 1672671 |
| Philip Morris International Inc 4.375% 11/1/2027  |  | 181000 | 182799 |
| Philip Morris International Inc 4.375% 11/15/2041  |  | 442000 | 399288 |
| Philip Morris International Inc 4.75% 11/1/2031  |  | 3000000 | 3085293 |
| Philip Morris International Inc 4.875% 2/15/2028  |  | 412000 | 420065 |
| Philip Morris International Inc 4.875% 4/30/2035  |  | 125000 | 126945 |
| Philip Morris International Inc 5.125% 2/13/2031  |  | 1240000 | 1293586 |
| Philip Morris International Inc 5.125% 2/15/2030  |  | 7455000 | 7745652 |
| Philip Morris International Inc 5.25% 2/13/2034  |  | 962000 | 1007658 |
| Philip Morris International Inc 5.25% 9/7/2028  |  | 485000 | 501563 |
| Philip Morris International Inc 5.375% 2/15/2033  |  | 1452000 | 1533170 |
| Philip Morris International Inc 5.625% 11/17/2029  |  | 6384000 | 6742583 |
|  |  |  | 37961053 |
| TOTAL CONSUMER STAPLES |  |  | 124131370 |
| Energy - 1.1% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.25% 4/1/2028 (o) |  | 265000 | 265207 |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (o) |  | 975000 | 1014626 |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (o) |  | 130000 | 131623 |
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc 4.08% 12/15/2047  |  | 56000 | 45508 |
| Baker Hughes Holdings LLC 5.125% 9/15/2040  |  | 26000 | 25850 |
| Diamond Foreign Asset Co / Diamond Finance LLC 8.5% 10/1/2030 (o) |  | 250000 | 265745 |
| Halliburton Co 4.75% 8/1/2043  |  | 7000 | 6351 |
| Halliburton Co 6.7% 9/15/2038  |  | 100000 | 114132 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (o) |  | 190000 | 195932 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (o) |  | 155000 | 161958 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (o) |  | 450000 | 466619 |
| Noble Finance II LLC 8% 4/15/2030 (o) |  | 280000 | 291430 |
| Nustar Logistics LP 5.625% 4/28/2027  |  | 68000 | 68651 |
| Nustar Logistics LP 6.375% 10/1/2030  |  | 194000 | 204251 |
| Schlumberger Holdings Corp 3.9% 5/17/2028 (o) |  | 172000 | 172098 |
| SESI LLC 7.875% 9/30/2030 (o) |  | 135000 | 137840 |
| Transocean International Ltd 7.875% 10/15/2032 (o) |  | 25000 | 26843 |
| Transocean International Ltd 8.25% 5/15/2029 (o) |  | 840000 | 874583 |
| Transocean International Ltd 8.5% 5/15/2031 (o) |  | 830000 | 877754 |
| Transocean International Ltd 8.75% 2/15/2030 (o) |  | 122500 | 128166 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (o) |  | 156000 | 158645 |
| USA Compression Partners LP / USA Compression Finance Corp 7.125% 3/15/2029 (o) |  | 100000 | 103333 |
| Valaris Ltd 8.375% 4/30/2030 (o) |  | 455000 | 477164 |
| WBI Operating LLC 6.25% 10/15/2030 (o) |  | 170000 | 173271 |
| WBI Operating LLC 6.5% 10/15/2033 (o) |  | 170000 | 172762 |
|  |  |  | 6560342 |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.375% 6/15/2029 (o) |  | 210000 | 210042 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 1/15/2028 (o) |  | 465000 | 464832 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (o) |  | 170000 | 172576 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 7/1/2034 (o) |  | 1040000 | 1056257 |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 6.625% 2/1/2032 (o) |  | 615000 | 639231 |
| Antero Resources Corp 5.375% 3/1/2030 (o) |  | 3238000 | 3288853 |
| APA Corp 4.25% 1/15/2030  |  | 205000 | 203631 |
| APA Corp 5.25% 2/1/2042  |  | 73000 | 64304 |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp 6.625% 10/15/2032 (o) |  | 790000 | 820729 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 6.625% 7/15/2026 (o) |  | 215000 | 215406 |
| Blue Racer Midstream LLC / Blue Racer Finance Corp 7% 7/15/2029 (o) |  | 240000 | 250057 |
| Buckeye Partners LP 4.125% 12/1/2027  |  | 379000 | 376698 |
| Buckeye Partners LP 4.5% 3/1/2028 (o) |  | 150000 | 149672 |
| Buckeye Partners LP 6.875% 7/1/2029 (o) |  | 220000 | 228256 |
| Burlington Resources LLC 7.2% 8/15/2031  |  | 515000 | 590905 |
| California Resources Corp 8.25% 6/15/2029 (o) |  | 185000 | 194215 |
| Cheniere Corpus Christi Holdings LLC 2.742% 12/31/2039  |  | 1499000 | 1303674 |
| Cheniere Energy Inc 4.625% 10/15/2028  |  | 895000 | 894680 |
| Cheniere Energy Inc 5.65% 4/15/2034  |  | 1482000 | 1558409 |
| Cheniere Energy Partners LP 3.25% 1/31/2032  |  | 3580000 | 3337805 |
| Cheniere Energy Partners LP 4.5% 10/1/2029  |  | 8713000 | 8764792 |
| Cheniere Energy Partners LP 5.75% 8/15/2034  |  | 3160000 | 3339244 |
| Chord Energy Corp 6% 10/1/2030 (o) |  | 155000 | 158333 |
| Chord Energy Corp 6.75% 3/15/2033 (o) |  | 185000 | 192140 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (o) |  | 230000 | 224311 |
| CNX Resources Corp 5.875% 3/1/2034 (o) |  | 250000 | 250457 |
| CNX Resources Corp 7.25% 3/1/2032 (o) |  | 836000 | 876626 |
| Columbia Pipelines Holding Co LLC 5.097% 10/1/2031 (o) |  | 236000 | 242784 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (o) |  | 957000 | 1022298 |
| Columbia Pipelines Operating Co LLC 5.962% 2/15/2055 (o) |  | 160000 | 162489 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (o) |  | 6190000 | 6706611 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (o) |  | 971000 | 1049172 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (o) |  | 1389000 | 1514808 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (o) |  | 831000 | 922219 |
| Comstock Resources Inc 6.75% 3/1/2029 (o) |  | 496000 | 494082 |
| ConocoPhillips 4.875% 10/1/2047  |  | 164000 | 150173 |
| ConocoPhillips 5.9% 5/15/2038  |  | 143000 | 154742 |
| ConocoPhillips Co 3.8% 3/15/2052  |  | 390000 | 294770 |
| ConocoPhillips Co 5.05% 9/15/2033  |  | 1057000 | 1100254 |
| ConocoPhillips Co 5.3% 5/15/2053  |  | 100000 | 94856 |
| ConocoPhillips Co 5.55% 3/15/2054  |  | 1170000 | 1154138 |
| ConocoPhillips Co 6.95% 4/15/2029  |  | 100000 | 109071 |
| Coterra Energy Inc 3.9% 5/15/2027  |  | 100000 | 99884 |
| Coterra Energy Inc 5.4% 2/15/2035  |  | 7700000 | 7940510 |
| Coterra Energy Inc 5.9% 2/15/2055  |  | 1098000 | 1092142 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/2031 (o) |  | 165000 | 164550 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (o) |  | 365000 | 393746 |
| Crescent Energy Finance LLC 7.625% 4/1/2032 (o) |  | 1065000 | 1077154 |
| Crescent Energy Finance LLC 7.875% 4/15/2032 (o) |  | 435000 | 443150 |
| Crescent Energy Finance LLC 8.375% 1/15/2034 (o) |  | 265000 | 273917 |
| Crescent Energy Finance LLC 9.25% 2/15/2028 (o) |  | 1279000 | 1316183 |
| Crescent Energy Finance LLC 9.75% 10/15/2030 (o) |  | 925000 | 995522 |
| CVR Energy Inc 7.5% 2/15/2031 (o) |  | 428000 | 426549 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (o) |  | 155000 | 159867 |
| DCP Midstream Operating LP 5.6% 4/1/2044  |  | 3773000 | 3737726 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (o) |  | 205000 | 212032 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (o) |  | 310000 | 323688 |
| Devon Energy Corp 5.25% 10/15/2027  |  | 10000 | 9999 |
| Devon Energy Corp 5.6% 7/15/2041  |  | 102000 | 102144 |
| Diamondback Energy Inc 3.125% 3/24/2031  |  | 4744000 | 4500573 |
| Diamondback Energy Inc 3.25% 12/1/2026  |  | 4003000 | 3985165 |
| Diamondback Energy Inc 3.5% 12/1/2029  |  | 4296000 | 4205349 |
| Diamondback Energy Inc 4.25% 3/15/2052  |  | 100000 | 80115 |
| Diamondback Energy Inc 5.2% 4/18/2027  |  | 460000 | 465905 |
| Diamondback Energy Inc 5.4% 4/18/2034  |  | 1925000 | 2001776 |
| Diamondback Energy Inc 5.55% 4/1/2035  |  | 5275000 | 5519635 |
| Diamondback Energy Inc 6.25% 3/15/2033  |  | 3900000 | 4265327 |
| DT Midstream Inc 4.125% 6/15/2029 (o) |  | 192000 | 190650 |
| DT Midstream Inc 4.375% 6/15/2031 (o) |  | 148000 | 145897 |
| DT Midstream Inc 5.8% 12/15/2034 (o) |  | 7125000 | 7511766 |
| Energy Transfer LP 3.9% 7/15/2026  |  | 955000 | 953759 |
| Energy Transfer LP 4% 10/1/2027  |  | 835000 | 835938 |
| Energy Transfer LP 4.15% 9/15/2029  |  | 100000 | 100281 |
| Energy Transfer LP 4.55% 1/15/2031  |  | 1670000 | 1686004 |
| Energy Transfer LP 4.95% 5/15/2028  |  | 400000 | 407438 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 2250000 | 2294958 |
| Energy Transfer LP 5% 5/15/2050  |  | 1498000 | 1280364 |
| Energy Transfer LP 5.2% 4/1/2030  |  | 5700000 | 5927598 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 170000 | 175578 |
| Energy Transfer LP 5.25% 7/1/2029  |  | 4850000 | 5028987 |
| Energy Transfer LP 5.3% 4/15/2047  |  | 225000 | 205618 |
| Energy Transfer LP 5.35% 5/15/2045  |  | 3295000 | 3042743 |
| Energy Transfer LP 5.4% 10/1/2047  |  | 5190000 | 4789152 |
| Energy Transfer LP 5.55% 2/15/2028  |  | 1350000 | 1389644 |
| Energy Transfer LP 5.6% 9/1/2034  |  | 115000 | 120153 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 2762000 | 2869758 |
| Energy Transfer LP 6% 6/15/2048  |  | 670000 | 660823 |
| Energy Transfer LP 6.05% 9/1/2054  |  | 131000 | 128097 |
| Energy Transfer LP 6.125% 12/15/2045  |  | 2964000 | 2996213 |
| Energy Transfer LP 6.2% 4/1/2055  |  | 100000 | 99981 |
| Energy Transfer LP 6.3% 1/15/2056  |  | 1395000 | 1411678 |
| Energy Transfer LP 6.4% 12/1/2030  |  | 170000 | 185141 |
| Energy Transfer LP 6.5% 2/15/2056 (g) |  | 1550000 | 1566176 |
| Energy Transfer LP 6.55% 12/1/2033  |  | 1065000 | 1179504 |
| Energy Transfer LP 6.625% 10/15/2036  |  | 900000 | 1005039 |
| Energy Transfer LP 6.75% 2/15/2056 (g) |  | 65000 | 66439 |
| Energy Transfer LP 7.375% 2/1/2031 (o) |  | 637000 | 661217 |
| Energy Transfer LP 7.5% 7/1/2038  |  | 100000 | 117694 |
| Enterprise Products Operating LLC 2.8% 1/31/2030  |  | 258000 | 247237 |
| Enterprise Products Operating LLC 3.3% 2/15/2053  |  | 190000 | 129556 |
| Enterprise Products Operating LLC 4.3% 6/20/2028  |  | 198000 | 200115 |
| Enterprise Products Operating LLC 4.85% 3/15/2044  |  | 147000 | 137155 |
| Enterprise Products Operating LLC 4.9% 5/15/2046  |  | 100000 | 92526 |
| Enterprise Products Operating LLC 5.2% 1/15/2036  |  | 474000 | 488674 |
| Enterprise Products Operating LLC 5.55% 2/16/2055  |  | 1385000 | 1370645 |
| Enterprise Products Operating LLC 5.95% 2/1/2041  |  | 100000 | 106985 |
| EOG Resources Inc 3.9% 4/1/2035  |  | 100000 | 94322 |
| EOG Resources Inc 4.4% 1/15/2031  |  | 100000 | 101172 |
| EOG Resources Inc 4.4% 7/15/2028  |  | 5200000 | 5268999 |
| EQT Corp 3.125% 5/15/2026 (o) |  | 444000 | 442680 |
| EQT Corp 3.625% 5/15/2031 (o) |  | 2534000 | 2424305 |
| EQT Corp 3.9% 10/1/2027  |  | 3174000 | 3168027 |
| EQT Corp 4.5% 1/15/2029  |  | 3499000 | 3529362 |
| EQT Corp 4.75% 1/15/2031  |  | 11007000 | 11162937 |
| EQT Corp 5% 1/15/2029  |  | 1746000 | 1779520 |
| EQT Corp 5.5% 7/15/2028  |  | 101000 | 103669 |
| EQT Corp 5.7% 4/1/2028  |  | 1687000 | 1744237 |
| EQT Corp 6.375% 4/1/2029  |  | 1358000 | 1403533 |
| EQT Corp 6.5% 7/1/2027  |  | 785000 | 801194 |
| EQT Corp 7% 2/1/2030 (p) |  | 2388000 | 2614741 |
| EQT Corp 7.5% 6/1/2030  |  | 4587000 | 5095316 |
| Expand Energy Corp 4.75% 2/1/2032  |  | 6289000 | 6278622 |
| Expand Energy Corp 5.375% 2/1/2029  |  | 3191000 | 3187042 |
| Expand Energy Corp 5.375% 3/15/2030  |  | 1139000 | 1156293 |
| Expand Energy Corp 5.7% 1/15/2035  |  | 8511000 | 8912212 |
| Expand Energy Corp 5.875% 2/1/2029 (o) |  | 1575000 | 1575777 |
| Expand Energy Corp 6.75% 4/15/2029 (o) |  | 1690000 | 1694917 |
| Exxon Mobil Corp 3.567% 3/6/2045  |  | 10000 | 8030 |
| Exxon Mobil Corp 4.114% 3/1/2046  |  | 193000 | 164851 |
| Exxon Mobil Corp 4.227% 3/19/2040  |  | 490000 | 457009 |
| Exxon Mobil Corp 4.327% 3/19/2050  |  | 145000 | 124168 |
| Flex Intermediate Holdco LLC 3.363% 6/30/2031 (o) |  | 4800000 | 4470840 |
| Genesis Energy LP / Genesis Energy Finance Corp 7.75% 2/1/2028  |  | 293000 | 293461 |
| Genesis Energy LP / Genesis Energy Finance Corp 8% 5/15/2033  |  | 100000 | 105727 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (o) |  | 45000 | 46560 |
| Global Partners LP / GLP Finance Corp 8.25% 1/15/2032 (o) |  | 85000 | 89801 |
| Gulfport Energy Operating Corp 6.75% 9/1/2029 (o) |  | 345000 | 357269 |
| Harvest Midstream I LP 7.5% 5/15/2032 (o) |  | 630000 | 653929 |
| Hess Corp 4.3% 4/1/2027  |  | 840000 | 843357 |
| Hess Corp 5.6% 2/15/2041  |  | 460000 | 483914 |
| Hess Corp 5.8% 4/1/2047  |  | 4517000 | 4737067 |
| Hess Corp 6% 1/15/2040  |  | 261000 | 286024 |
| Hess Corp 7.125% 3/15/2033  |  | 1335000 | 1560403 |
| Hess Corp 7.3% 8/15/2031  |  | 1849000 | 2136069 |
| Hess Corp 7.875% 10/1/2029  |  | 5583000 | 6325215 |
| Hess Midstream Operations LP 5.125% 6/15/2028 (o) |  | 290000 | 290234 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (o) |  | 455000 | 458432 |
| Hess Midstream Operations LP 5.875% 3/1/2028 (o) |  | 285000 | 289728 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (o) |  | 235000 | 243167 |
| Hilcorp Energy I LP / Hilcorp Finance Co 5.75% 2/1/2029 (o) |  | 620000 | 621504 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 2/1/2031 (o) |  | 150000 | 146110 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 4/15/2030 (o) |  | 965000 | 950468 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6.25% 4/15/2032 (o) |  | 2075000 | 2019186 |
| Hilcorp Energy I LP / Hilcorp Finance Co 7.25% 2/15/2035 (o) |  | 100000 | 99043 |
| Hilcorp Energy I LP / Hilcorp Finance Co 8.375% 11/1/2033 (o) |  | 125000 | 131898 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (o) |  | 275000 | 284207 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (o) |  | 405000 | 427403 |
| ITT Holdings LLC 6.5% 8/1/2029 (o) |  | 100000 | 97149 |
| Kinder Morgan Energy Partners LP 5% 8/15/2042  |  | 113000 | 106558 |
| Kinder Morgan Energy Partners LP 5.8% 3/15/2035  |  | 181000 | 193169 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  |  | 173000 | 192113 |
| Kinder Morgan Energy Partners LP 7.75% 3/15/2032  |  | 114000 | 133572 |
| Kinder Morgan Inc 3.25% 8/1/2050  |  | 351000 | 236481 |
| Kinder Morgan Inc 5.05% 2/15/2046  |  | 200000 | 184162 |
| Kinder Morgan Inc 5.15% 6/1/2030  |  | 390000 | 405885 |
| Kinder Morgan Inc 5.45% 8/1/2052  |  | 100000 | 94884 |
| Kinetik Holdings LP 5.875% 6/15/2030 (o) |  | 1280000 | 1294413 |
| Kinetik Holdings LP 6.625% 12/15/2028 (o) |  | 800000 | 824736 |
| Marathon Petroleum Corp 3.8% 4/1/2028  |  | 5590000 | 5574852 |
| Marathon Petroleum Corp 5.15% 3/1/2030  |  | 159000 | 164796 |
| Matador Resources Co 6% 4/15/2034 (o) |  | 65000 | 64921 |
| Matador Resources Co 6.25% 4/15/2033 (o) |  | 340000 | 346032 |
| Matador Resources Co 6.5% 4/15/2032 (o) |  | 900000 | 919135 |
| MPLX LP 2.65% 8/15/2030  |  | 2470000 | 2314542 |
| MPLX LP 4.125% 3/1/2027  |  | 2471000 | 2472473 |
| MPLX LP 4.25% 12/1/2027  |  | 4250000 | 4268939 |
| MPLX LP 4.5% 4/15/2038  |  | 1125000 | 1043844 |
| MPLX LP 4.7% 4/15/2048  |  | 2335000 | 1969490 |
| MPLX LP 4.8% 2/15/2029  |  | 1505000 | 1534109 |
| MPLX LP 4.8% 2/15/2031  |  | 3800000 | 3879291 |
| MPLX LP 4.95% 3/14/2052  |  | 806000 | 692113 |
| MPLX LP 4.95% 9/1/2032  |  | 104000 | 105881 |
| MPLX LP 5% 1/15/2033  |  | 4020000 | 4085353 |
| MPLX LP 5.2% 12/1/2047  |  | 1795000 | 1628008 |
| MPLX LP 5.2% 3/1/2047  |  | 1610000 | 1467385 |
| MPLX LP 5.4% 4/1/2035  |  | 221000 | 226214 |
| MPLX LP 5.5% 6/1/2034  |  | 6600000 | 6841360 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (o) |  | 340000 | 319896 |
| NGL Energy Operating LLC / NGL Energy Finance Corp 8.125% 2/15/2029 (o) |  | 295000 | 305729 |
| NGPL PipeCo LLC 3.25% 7/15/2031 (o) |  | 1320000 | 1238029 |
| Northern Oil & Gas Inc 7.875% 10/15/2033 (o) |  | 248000 | 253536 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (o) |  | 185000 | 193027 |
| Northwest Pipeline LLC 4% 4/1/2027  |  | 3175000 | 3176183 |
| Occidental Petroleum Corp 3.5% 8/15/2029  |  | 195000 | 190413 |
| Occidental Petroleum Corp 6.2% 3/15/2040  |  | 161000 | 167806 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 4300000 | 4683792 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 6475000 | 6879092 |
| Occidental Petroleum Corp 6.625% 9/1/2030  |  | 420000 | 454535 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 9226000 | 10505185 |
| ONEOK Inc 3.1% 3/15/2030  |  | 3705000 | 3550768 |
| ONEOK Inc 3.4% 9/1/2029  |  | 2600000 | 2542369 |
| ONEOK Inc 3.95% 3/1/2050  |  | 305000 | 224913 |
| ONEOK Inc 4% 7/13/2027  |  | 200000 | 200157 |
| ONEOK Inc 4.2% 10/3/2047  |  | 795000 | 624409 |
| ONEOK Inc 4.25% 9/15/2046  |  | 190000 | 151424 |
| ONEOK Inc 4.25% 9/24/2027  |  | 1667000 | 1674974 |
| ONEOK Inc 4.4% 10/15/2029  |  | 1743000 | 1757717 |
| ONEOK Inc 4.75% 10/15/2031  |  | 3880000 | 3935686 |
| ONEOK Inc 4.95% 10/15/2032  |  | 1075000 | 1093688 |
| ONEOK Inc 5.375% 6/1/2029  |  | 4115000 | 4262499 |
| ONEOK Inc 5.45% 6/1/2047  |  | 168000 | 158643 |
| ONEOK Inc 5.6% 4/1/2044  |  | 630000 | 604879 |
| ONEOK Inc 5.7% 11/1/2054  |  | 2330000 | 2195419 |
| ONEOK Inc 6.05% 9/1/2033  |  | 4345000 | 4665352 |
| ONEOK Inc 6.1% 11/15/2032  |  | 186000 | 200779 |
| ONEOK Inc 6.25% 10/15/2055  |  | 3645000 | 3693838 |
| ONEOK Inc 6.35% 1/15/2031  |  | 100000 | 108338 |
| ONEOK Inc 6.5% 9/1/2030 (o) |  | 5241000 | 5657340 |
| ONEOK Partners LP 6.65% 10/1/2036  |  | 542000 | 602500 |
| ONEOK Partners LP 6.85% 10/15/2037  |  | 100000 | 112269 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 3000000 | 2630832 |
| Ovintiv Inc 6.25% 7/15/2033  |  | 617000 | 665840 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (o) |  | 330000 | 331144 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (o) |  | 330000 | 350255 |
| Permian Resources Operating LLC 5.875% 7/1/2029 (o) |  | 540000 | 540675 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (o) |  | 355000 | 367596 |
| Permian Resources Operating LLC 7% 1/15/2032 (o) |  | 520000 | 544700 |
| Permian Resources Operating LLC 8% 4/15/2027 (o) |  | 1275000 | 1282850 |
| Permian Resources Operating LLC 9.875% 7/15/2031 (o) |  | 68000 | 72756 |
| Phillips 66 2.15% 12/15/2030  |  | 385000 | 351089 |
| Phillips 66 Co 3.75% 3/1/2028  |  | 695000 | 694375 |
| Phillips 66 Co 4.9% 10/1/2046  |  | 212000 | 189672 |
| Pioneer Natural Resources Co 1.9% 8/15/2030  |  | 2470000 | 2265222 |
| Pioneer Natural Resources Co 2.15% 1/15/2031  |  | 285000 | 262308 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 2689000 | 2637034 |
| Plains All American Pipeline LP / PAA Finance Corp 6.65% 1/15/2037  |  | 108000 | 119427 |
| Range Resources Corp 4.75% 2/15/2030 (o) |  | 24000 | 23759 |
| Rockies Express Pipeline LLC 4.8% 5/15/2030 (o) |  | 115000 | 113187 |
| Rockies Express Pipeline LLC 4.95% 7/15/2029 (o) |  | 270000 | 270021 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (o) |  | 650000 | 684726 |
| Rockies Express Pipeline LLC 7.5% 7/15/2038 (o) |  | 145000 | 157967 |
| Sabine Pass Liquefaction LLC 4.2% 3/15/2028  |  | 300000 | 301216 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 12026000 | 12160143 |
| Sabine Pass Liquefaction LLC 5% 3/15/2027  |  | 2788000 | 2801092 |
| Sabine Pass Liquefaction LLC 5.9% 9/15/2037  |  | 1188261 | 1264713 |
| Shell Finance US Inc 3.75% 9/12/2046  |  | 65000 | 51579 |
| Shell Finance US Inc 4% 5/10/2046  |  | 87000 | 71958 |
| Shell International Finance BV 2.875% 11/26/2041  |  | 165000 | 124329 |
| Shell International Finance BV 3.625% 8/21/2042  |  | 343000 | 280287 |
| SM Energy Co 5% 10/15/2026 (o) |  | 650000 | 649716 |
| SM Energy Co 6.625% 1/15/2027  |  | 107000 | 107078 |
| SM Energy Co 6.75% 8/1/2029 (o) |  | 390000 | 398758 |
| SM Energy Co 8.375% 7/1/2028 (o) |  | 834000 | 861992 |
| SM Energy Co 8.625% 11/1/2030 (o) |  | 770000 | 814928 |
| SM Energy Co 8.75% 7/1/2031 (o) |  | 823000 | 864051 |
| Sunoco LP / Sunoco Finance Corp 4.5% 4/30/2030  |  | 125000 | 122341 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 445000 | 438453 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 230000 | 230087 |
| Sunoco LP / Sunoco Finance Corp 6% 4/15/2027  |  | 44000 | 44019 |
| Sunoco LP 5.375% 7/15/2031 (c)(o) |  | 215000 | 215502 |
| Sunoco LP 5.625% 3/15/2031 (o) |  | 654000 | 659622 |
| Sunoco LP 5.625% 7/15/2034 (c)(o) |  | 520000 | 519919 |
| Sunoco LP 5.875% 3/15/2034 (o) |  | 130000 | 130519 |
| Sunoco LP 6.25% 7/1/2033 (o) |  | 125000 | 128741 |
| Sunoco LP 6.625% 8/15/2032 (o) |  | 905000 | 936763 |
| Sunoco LP 7.25% 5/1/2032 (o) |  | 425000 | 449048 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 5.5% 1/15/2028 (o) |  | 275000 | 274732 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (o) |  | 2667000 | 2702741 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (o) |  | 170000 | 171807 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (o) |  | 105000 | 107909 |
| Targa Resources Corp 4.2% 2/1/2033  |  | 3990000 | 3874865 |
| Targa Resources Corp 4.35% 1/15/2029  |  | 7466000 | 7526789 |
| Targa Resources Corp 4.35% 4/15/2031  |  | 1848000 | 1848148 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 3518000 | 3612756 |
| Targa Resources Corp 4.95% 4/15/2052  |  | 610000 | 528645 |
| Targa Resources Corp 5.5% 2/15/2035  |  | 580000 | 600167 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 4258000 | 4427350 |
| Targa Resources Corp 6.125% 3/15/2033  |  | 1175000 | 1271283 |
| Targa Resources Corp 6.15% 3/1/2029  |  | 2500000 | 2645124 |
| Targa Resources Corp 6.5% 3/30/2034  |  | 3350000 | 3710549 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp 4.875% 2/1/2031  |  | 1703000 | 1724787 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 3285000 | 3178589 |
| Transcontinental Gas Pipe Line Co LLC 4.6% 3/15/2048  |  | 350000 | 306263 |
| Transcontinental Gas Pipe Line Co LLC 5.1% 3/15/2036 (o) |  | 48000 | 48939 |
| Venture Global Calcasieu Pass LLC 3.875% 11/1/2033 (o) |  | 826000 | 735155 |
| Venture Global Calcasieu Pass LLC 3.875% 8/15/2029 (o) |  | 4500000 | 4311135 |
| Venture Global Calcasieu Pass LLC 4.125% 8/15/2031 (o) |  | 150000 | 140688 |
| Venture Global Calcasieu Pass LLC 6.25% 1/15/2030 (o) |  | 2175000 | 2245962 |
| Venture Global LNG Inc 7% 1/15/2030 (o) |  | 2010000 | 2038852 |
| Venture Global LNG Inc 8.125% 6/1/2028 (o) |  | 960000 | 985042 |
| Venture Global LNG Inc 8.375% 6/1/2031 (o) |  | 416000 | 425999 |
| Venture Global LNG Inc 9.5% 2/1/2029 (o) |  | 30000 | 32176 |
| Venture Global LNG Inc 9.875% 2/1/2032 (o) |  | 1344000 | 1423886 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (o) |  | 7582000 | 7876243 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (o) |  | 1244000 | 1309209 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (o) |  | 540000 | 566979 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (o) |  | 1106000 | 1178123 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (o) |  | 789000 | 875261 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (o) |  | 948000 | 1075247 |
| Viper Energy Partners LLC 4.9% 8/1/2030  |  | 1070000 | 1091668 |
| Viper Energy Partners LLC 5.7% 8/1/2035  |  | 981000 | 1017630 |
| Western Gas Partners LP 4.05% 2/1/2030 (p) |  | 162000 | 160030 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 1931000 | 1931519 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 1465000 | 1486506 |
| Williams Cos Inc/The 2.6% 3/15/2031  |  | 306000 | 283150 |
| Williams Cos Inc/The 3.5% 10/15/2051  |  | 151000 | 106561 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 11542000 | 11183805 |
| Williams Cos Inc/The 3.75% 6/15/2027  |  | 2835000 | 2828761 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 7545000 | 7637347 |
| Williams Cos Inc/The 4.8% 11/15/2029  |  | 7785000 | 7979335 |
| Williams Cos Inc/The 4.9% 1/15/2045  |  | 1643000 | 1499530 |
| Williams Cos Inc/The 5.1% 9/15/2045  |  | 105000 | 98273 |
| Williams Cos Inc/The 5.15% 3/15/2034  |  | 100000 | 102596 |
| Williams Cos Inc/The 5.3% 8/15/2052  |  | 1511000 | 1411774 |
| Williams Cos Inc/The 5.3% 9/30/2035  |  | 106000 | 108842 |
| Williams Cos Inc/The 5.4% 3/2/2026  |  | 4500000 | 4500000 |
| Williams Cos Inc/The 5.8% 11/15/2043  |  | 400000 | 403600 |
| Williams Cos Inc/The 5.8% 11/15/2054  |  | 700000 | 696266 |
| Williams Cos Inc/The 6.3% 4/15/2040  |  | 3550000 | 3870444 |
|  |  |  | 493350712 |
| TOTAL ENERGY |  |  | 499911054 |
| Financials - 4.0% |  |  |  |
| Banks - 1.9% |  |  |  |
| Bank of America Corp 1.658% 3/11/2027 (g) |  | 2305000 | 2303703 |
| Bank of America Corp 1.734% 7/22/2027 (g) |  | 155000 | 153609 |
| Bank of America Corp 1.898% 7/23/2031 (g) |  | 718000 | 651994 |
| Bank of America Corp 1.922% 10/24/2031 (g) |  | 455000 | 410554 |
| Bank of America Corp 2.087% 6/14/2029 (g) |  | 8877000 | 8507390 |
| Bank of America Corp 2.299% 7/21/2032 (g) |  | 4210000 | 3798227 |
| Bank of America Corp 2.482% 9/21/2036 (g) |  | 296000 | 261918 |
| Bank of America Corp 2.496% 2/13/2031 (g) |  | 16862000 | 15837307 |
| Bank of America Corp 2.572% 10/20/2032 (g) |  | 520000 | 473735 |
| Bank of America Corp 2.651% 3/11/2032 (g) |  | 22866000 | 21200582 |
| Bank of America Corp 2.676% 6/19/2041 (g) |  | 8213000 | 6104454 |
| Bank of America Corp 2.687% 4/22/2032 (g) |  | 5863000 | 5428678 |
| Bank of America Corp 2.972% 2/4/2033 (g) |  | 5590000 | 5167388 |
| Bank of America Corp 3.419% 12/20/2028 (g) |  | 7921000 | 7839080 |
| Bank of America Corp 3.483% 3/13/2052 (g) |  | 117000 | 85546 |
| Bank of America Corp 3.559% 4/23/2027 (g) |  | 1736000 | 1734740 |
| Bank of America Corp 3.593% 7/21/2028 (g) |  | 720000 | 715788 |
| Bank of America Corp 3.824% 1/20/2028 (g) |  | 525000 | 524337 |
| Bank of America Corp 3.846% 3/8/2037 (g) |  | 1140000 | 1078881 |
| Bank of America Corp 3.97% 3/5/2029 (g) |  | 250000 | 249820 |
| Bank of America Corp 3.974% 2/7/2030 (g) |  | 145000 | 144871 |
| Bank of America Corp 4.078% 4/23/2040 (g) |  | 1149000 | 1032555 |
| Bank of America Corp 4.25% 10/22/2026  |  | 10727000 | 10743320 |
| Bank of America Corp 4.33% 3/15/2050 (g) |  | 145000 | 123073 |
| Bank of America Corp 4.376% 4/27/2028 (g) |  | 1302000 | 1307957 |
| Bank of America Corp 4.456% 2/6/2032 (g) |  | 25867000 | 26060608 |
| Bank of America Corp 4.571% 4/27/2033 (g) |  | 1359000 | 1364529 |
| Bank of America Corp 4.623% 5/9/2029 (g) |  | 9788000 | 9926922 |
| Bank of America Corp 4.875% 4/1/2044  |  | 361000 | 347734 |
| Bank of America Corp 5.045% 2/6/2037 (g) |  | 789000 | 800380 |
| Bank of America Corp 5.162% 1/24/2031 (g) |  | 3370000 | 3497861 |
| Bank of America Corp 5.202% 4/25/2029 (g) |  | 136000 | 139338 |
| Bank of America Corp 5.425% 8/15/2035 (g) |  | 700000 | 717090 |
| Bank of America Corp 5.468% 1/23/2035 (g) |  | 1822000 | 1909449 |
| Bank of America Corp 5.518% 10/25/2035 (g) |  | 1490000 | 1529066 |
| Bank of America Corp 5.819% 9/15/2029 (g) |  | 48699000 | 50788887 |
| Bank of America Corp 6.11% 1/29/2037  |  | 136000 | 146854 |
| Bank of America Corp 6.204% 11/10/2028 (g) |  | 8241000 | 8534136 |
| Bank of America Corp 7.75% 5/14/2038  |  | 268000 | 328719 |
| Citibank NA 5.803% 9/29/2028  |  | 500000 | 523661 |
| Citibank NA U.S. SOFR Averages Index + 0.59%, 4.2585% 4/30/2026 (f)(g) |  | 300000 | 300116 |
| Citigroup Inc 0% 12/11/2030 (g)(l) |  | 1732000 | 1699866 |
| Citigroup Inc 1.462% 6/9/2027 (g) |  | 360000 | 357461 |
| Citigroup Inc 2.52% 11/3/2032 (g) |  | 195000 | 176400 |
| Citigroup Inc 2.561% 5/1/2032 (g) |  | 2516000 | 2302991 |
| Citigroup Inc 2.572% 6/3/2031 (g) |  | 5801000 | 5422310 |
| Citigroup Inc 2.666% 1/29/2031 (g) |  | 13513000 | 12749396 |
| Citigroup Inc 2.904% 11/3/2042 (g) |  | 495000 | 369042 |
| Citigroup Inc 2.976% 11/5/2030 (g) |  | 1525000 | 1461433 |
| Citigroup Inc 3.057% 1/25/2033 (g) |  | 1551000 | 1434216 |
| Citigroup Inc 3.07% 2/24/2028 (g) |  | 400000 | 396137 |
| Citigroup Inc 3.52% 10/27/2028 (g) |  | 3031000 | 3007901 |
| Citigroup Inc 3.668% 7/24/2028 (g) |  | 163000 | 162228 |
| Citigroup Inc 3.887% 1/10/2028 (g) |  | 2750000 | 2746183 |
| Citigroup Inc 3.98% 3/20/2030 (g) |  | 23285000 | 23205886 |
| Citigroup Inc 4.075% 4/23/2029 (g) |  | 30785000 | 30830659 |
| Citigroup Inc 4.113% 4/29/2036 (g) | EUR | 768000 | 931118 |
| Citigroup Inc 4.296% 7/23/2036 (g) | EUR | 235000 | 282108 |
| Citigroup Inc 4.412% 3/31/2031 (g) |  | 15729000 | 15810987 |
| Citigroup Inc 4.45% 9/29/2027  |  | 4630000 | 4657955 |
| Citigroup Inc 4.503% 9/11/2031 (g) |  | 4397000 | 4430565 |
| Citigroup Inc 4.542% 9/19/2030 (g) |  | 13829000 | 13992181 |
| Citigroup Inc 4.6% 3/9/2026  |  | 3500000 | 3500333 |
| Citigroup Inc 4.658% 5/24/2028 (g) |  | 100000 | 100733 |
| Citigroup Inc 4.75% 5/18/2046  |  | 141000 | 125627 |
| Citigroup Inc 4.786% 3/4/2029 (g) |  | 100000 | 101503 |
| Citigroup Inc 4.952% 5/7/2031 (g) |  | 4000000 | 4102318 |
| Citigroup Inc 5.174% 2/13/2030 (g) |  | 665000 | 685204 |
| Citigroup Inc 5.174% 9/11/2036 (g) |  | 2626000 | 2671842 |
| Citigroup Inc 5.316% 3/26/2041 (g) |  | 244000 | 244859 |
| Citigroup Inc 5.333% 3/27/2036 (g) |  | 638000 | 657662 |
| Citigroup Inc 5.411% 9/19/2039 (g) |  | 167000 | 168198 |
| Citigroup Inc 5.592% 11/19/2034 (g) |  | 252000 | 260001 |
| Citigroup Inc 5.827% 2/13/2035 (g) |  | 1208000 | 1256880 |
| Citigroup Inc 6.02% 1/24/2036 (g) |  | 1200000 | 1259337 |
| Citigroup Inc 6.27% 11/17/2033 (g) |  | 935000 | 1026015 |
| Citigroup Inc 6.625% 1/15/2028  |  | 112000 | 117600 |
| Citigroup Inc 8.125% 7/15/2039  |  | 266000 | 341881 |
| Citizens Financial Group Inc 2.638% 9/30/2032  |  | 9574000 | 8418960 |
| Citizens Financial Group Inc 5.299% 1/29/2036 (g) |  | 43000 | 43592 |
| Fifth Third Bancorp 4.337% 4/25/2033 (g) |  | 2272000 | 2244872 |
| Fifth Third Bancorp 4.566% 4/29/2032 (g) |  | 565000 | 568348 |
| Fifth Third Bancorp 6.339% 7/27/2029 (g) |  | 2815000 | 2960106 |
| Fifth Third Bancorp 8.25% 3/1/2038  |  | 182000 | 225346 |
| Fifth Third Financial Corp 5.982% 1/30/2030 (g) |  | 5095000 | 5340656 |
| First Citizens BancShares Inc/NC 5.6% 9/5/2035 (g) |  | 100000 | 100421 |
| First Horizon Corp 5.514% 3/7/2031 (g) |  | 1365000 | 1413212 |
| HSBC USA Inc 4.65% 6/3/2028  |  | 409000 | 415896 |
| Huntington Bancshares Inc/OH 4.623% 1/28/2032 (g) |  | 1570000 | 1584903 |
| Huntington Bancshares Inc/OH 5.605% 1/28/2041 (g) |  | 100000 | 100484 |
| Huntington Bancshares Inc/OH 5.709% 2/2/2035 (g) |  | 3769000 | 3970149 |
| Huntington Bancshares Inc/OH 6.208% 8/21/2029 (g) |  | 1030000 | 1081740 |
| JPMorgan Chase & Co 1.764% 11/19/2031 (g) |  | 1110000 | 994259 |
| JPMorgan Chase & Co 1.953% 2/4/2032 (g) |  | 3520000 | 3159299 |
| JPMorgan Chase & Co 2.069% 6/1/2029 (g) |  | 2035000 | 1951920 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (g) |  | 3080000 | 2890080 |
| JPMorgan Chase & Co 2.525% 11/19/2041 (g) |  | 10730000 | 7845997 |
| JPMorgan Chase & Co 2.545% 11/8/2032 (g) |  | 340000 | 309660 |
| JPMorgan Chase & Co 2.58% 4/22/2032 (g) |  | 6675000 | 6160451 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (g) |  | 8065000 | 7710904 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (g) |  | 5386000 | 5125151 |
| JPMorgan Chase & Co 3.509% 1/23/2029 (g) |  | 9550000 | 9468594 |
| JPMorgan Chase & Co 3.882% 7/24/2038 (g) |  | 4300000 | 3894862 |
| JPMorgan Chase & Co 3.897% 1/23/2049 (g) |  | 182000 | 146435 |
| JPMorgan Chase & Co 4.347% 1/22/2032 (g) |  | 15404000 | 15483092 |
| JPMorgan Chase & Co 4.505% 10/22/2028 (g) |  | 2979000 | 3005184 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (g) |  | 652000 | 658837 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (g) |  | 39347000 | 40074347 |
| JPMorgan Chase & Co 4.851% 7/25/2028 (g) |  | 1000000 | 1011586 |
| JPMorgan Chase & Co 4.915% 1/24/2029 (g) |  | 9500000 | 9673472 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (g) |  | 2056000 | 2117946 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (g) |  | 3632000 | 3766629 |
| JPMorgan Chase & Co 5.14% 1/24/2031 (g) |  | 600000 | 622613 |
| JPMorgan Chase & Co 5.193% 2/5/2037 (g) |  | 1882000 | 1901172 |
| JPMorgan Chase & Co 5.502% 1/24/2036 (g) |  | 560000 | 589035 |
| JPMorgan Chase & Co 5.534% 11/29/2045 (g) |  | 386000 | 394467 |
| JPMorgan Chase & Co 5.571% 4/22/2028 (g) |  | 500000 | 508965 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (g) |  | 6577000 | 6954900 |
| JPMorgan Chase & Co 5.576% 7/23/2036 (g) |  | 297000 | 308879 |
| JPMorgan Chase & Co 5.581% 4/22/2030 (g) |  | 300000 | 313323 |
| JPMorgan Chase & Co 5.766% 4/22/2035 (g) |  | 4735000 | 5071817 |
| JPMorgan Chase & Co 6.087% 10/23/2029 (g) |  | 29400000 | 30887888 |
| JPMorgan Chase & Co 6.254% 10/23/2034 (g) |  | 100000 | 109964 |
| JPMorgan Chase & Co U.S. SOFR Index + 0.92%, 4.5865% 4/22/2028 (f)(g) |  | 500000 | 502648 |
| JPMorgan Chase & Co U.S. SOFR Index + 0.93%, 4.5965% 7/22/2028 (f)(g) |  | 4000000 | 4020804 |
| KeyCorp 4.789% 6/1/2033 (g) |  | 500000 | 502525 |
| KeyCorp 5.121% 4/4/2031 (g) |  | 1025000 | 1051508 |
| KeyCorp 6.401% 3/6/2035 (g) |  | 3225000 | 3517024 |
| M&T Bank Corp 5 year U.S. Treasury Index + 1.43%, 5.4% 7/30/2035 (f)(g) |  | 100000 | 101433 |
| M&T Bank Corp 5.385% 1/16/2036 (g) |  | 876000 | 900696 |
| M&T Bank Corp 6.082% 3/13/2032 (g) |  | 712000 | 761758 |
| Morgan Stanley Bank NA 5.016% 1/12/2029 (g) |  | 1000000 | 1019266 |
| Morgan Stanley Bank NA U.S. SOFR Index + 0.9%, 4.5653% 1/12/2029 (f)(g) |  | 6000000 | 6031443 |
| Morgan Stanley Private Bank NA 4.204% 11/17/2028 (g) |  | 9675000 | 9710996 |
| Morgan Stanley Private Bank NA 4.213% 2/8/2030 (g) |  | 6925000 | 6957935 |
| Morgan Stanley Private Bank NA 4.465% 11/19/2031 (g) |  | 7387000 | 7432466 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (g) |  | 1430000 | 1456164 |
| PNC Bank NA 4.429% 7/21/2028 (g) |  | 1063000 | 1070365 |
| PNC Financial Services Group Inc/The 2.55% 1/22/2030  |  | 427000 | 404987 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (g) |  | 512000 | 523496 |
| PNC Financial Services Group Inc/The 5.373% 7/21/2036 (g) |  | 340000 | 352505 |
| PNC Financial Services Group Inc/The 5.401% 7/23/2035 (g) |  | 110000 | 114579 |
| PNC Financial Services Group Inc/The 5.423% 1/25/2041 (g) |  | 895000 | 904809 |
| PNC Financial Services Group Inc/The 5.492% 5/14/2030 (g) |  | 100000 | 104436 |
| PNC Financial Services Group Inc/The 5.676% 1/22/2035 (g) |  | 349000 | 370412 |
| PNC Financial Services Group Inc/The 5.939% 8/18/2034 (g) |  | 300000 | 324135 |
| PNC Financial Services Group Inc/The 6.037% 10/28/2033 (g) |  | 815000 | 885038 |
| PNC Financial Services Group Inc/The 6.615% 10/20/2027 (g) |  | 2340000 | 2378752 |
| PNC Financial Services Group Inc/The 6.875% 10/20/2034 (g) |  | 865000 | 983712 |
| Santander Holdings USA Inc 5.353% 9/6/2030 (g) |  | 1282000 | 1319027 |
| Santander Holdings USA Inc 5.473% 3/20/2029 (g) |  | 7900000 | 8075696 |
| Truist Financial Corp 1.125% 8/3/2027  |  | 100000 | 96373 |
| Truist Financial Corp 4.123% 6/6/2028 (g) |  | 100000 | 100223 |
| Truist Financial Corp 4.597% 1/27/2032 (g) |  | 176000 | 177862 |
| Truist Financial Corp 4.964% 10/23/2036 (g) |  | 307000 | 306561 |
| Truist Financial Corp 5.122% 1/26/2034 (g) |  | 1035000 | 1061605 |
| Truist Financial Corp 5.435% 1/24/2030 (g) |  | 2380000 | 2469870 |
| Truist Financial Corp 5.711% 1/24/2035 (g) |  | 585000 | 620711 |
| Truist Financial Corp 5.867% 6/8/2034 (g) |  | 1078000 | 1153296 |
| Truist Financial Corp 6.047% 6/8/2027 (g) |  | 194000 | 194969 |
| Truist Financial Corp 7.161% 10/30/2029 (g) |  | 2395000 | 2578318 |
| US Bancorp 4.481% 1/26/2032 (g) |  | 404000 | 408475 |
| US Bancorp 4.548% 7/22/2028 (g) |  | 200000 | 201714 |
| US Bancorp 4.839% 2/1/2034 (g) |  | 213000 | 216139 |
| US Bancorp 4.967% 7/22/2033 (g) |  | 127000 | 129315 |
| US Bancorp 5.083% 5/15/2031 (g) |  | 520000 | 537940 |
| US Bancorp 5.1% 7/23/2030 (g) |  | 425000 | 439809 |
| US Bancorp 5.384% 1/23/2030 (g) |  | 905000 | 938810 |
| US Bancorp 5.678% 1/23/2035 (g) |  | 1690000 | 1794072 |
| US Bancorp 5.775% 6/12/2029 (g) |  | 106000 | 110240 |
| US Bancorp 5.836% 6/12/2034 (g) |  | 915000 | 982768 |
| Wells Fargo & Co 2.393% 6/2/2028 (g) |  | 169000 | 165673 |
| Wells Fargo & Co 2.572% 2/11/2031 (g) |  | 20169000 | 18982984 |
| Wells Fargo & Co 2.879% 10/30/2030 (g) |  | 4015000 | 3842781 |
| Wells Fargo & Co 3.068% 4/30/2041 (g) |  | 410000 | 320081 |
| Wells Fargo & Co 3.35% 3/2/2033 (g) |  | 6278000 | 5895458 |
| Wells Fargo & Co 3.584% 5/22/2028 (g) |  | 905000 | 900215 |
| Wells Fargo & Co 4.15% 1/24/2029  |  | 317000 | 318938 |
| Wells Fargo & Co 4.3% 7/22/2027  |  | 22132000 | 22211044 |
| Wells Fargo & Co 4.478% 4/4/2031 (g) |  | 15730000 | 15892450 |
| Wells Fargo & Co 4.65% 11/4/2044  |  | 1335000 | 1171542 |
| Wells Fargo & Co 4.892% 9/15/2036 (g) |  | 1874000 | 1879449 |
| Wells Fargo & Co 4.897% 7/25/2033 (g) |  | 534000 | 544569 |
| Wells Fargo & Co 4.96% 1/23/2037 (g) |  | 775000 | 777947 |
| Wells Fargo & Co 5.013% 4/4/2051 (g) |  | 131000 | 119845 |
| Wells Fargo & Co 5.15% 4/23/2031 (g) |  | 8980000 | 9296410 |
| Wells Fargo & Co 5.198% 1/23/2030 (g) |  | 1000000 | 1030944 |
| Wells Fargo & Co 5.211% 12/3/2035 (g) |  | 8647000 | 8878781 |
| Wells Fargo & Co 5.244% 1/24/2031 (g) |  | 750000 | 778102 |
| Wells Fargo & Co 5.375% 11/2/2043  |  | 453000 | 442037 |
| Wells Fargo & Co 5.375% 2/7/2035  |  | 202000 | 212410 |
| Wells Fargo & Co 5.389% 4/24/2034 (g) |  | 635000 | 661737 |
| Wells Fargo & Co 5.433% 1/23/2047 (g) |  | 251000 | 248496 |
| Wells Fargo & Co 5.499% 1/23/2035 (g) |  | 1955000 | 2047875 |
| Wells Fargo & Co 5.557% 7/25/2034 (g) |  | 3510000 | 3693475 |
| Wells Fargo & Co 5.574% 7/25/2029 (g) |  | 10556000 | 10920733 |
| Wells Fargo & Co 5.605% 4/23/2036 (g) |  | 6233000 | 6555432 |
| Wells Fargo & Co 5.707% 4/22/2028 (g) |  | 6355000 | 6471350 |
| Wells Fargo & Co 6.303% 10/23/2029 (g) |  | 45125000 | 47589805 |
| Wells Fargo & Co 6.491% 10/23/2034 (g) |  | 699000 | 776167 |
| Wells Fargo & Co U.S. SOFR Index + 1.07%, 4.7365% 4/22/2028 (f)(g) |  | 800000 | 804944 |
| Wells Fargo Bank NA 5.95% 8/26/2036  |  | 250000 | 268980 |
|  |  |  | 797420625 |
| Capital Markets - 1.0% |  |  |  |
| Athene Global Funding 5.339% 1/15/2027 (o) |  | 7937000 | 8019246 |
| Athene Global Funding 5.583% 1/9/2029 (o) |  | 5920000 | 6051695 |
| Bank of New York Mellon Corp/The 3.3% 8/23/2029  |  | 100000 | 97726 |
| Bank of New York Mellon Corp/The 4.543% 2/1/2029 (g) |  | 133000 | 134558 |
| Bank of New York Mellon Corp/The 4.967% 4/26/2034 (g) |  | 101000 | 103622 |
| Bank of New York Mellon Corp/The 4.975% 3/14/2030 (g) |  | 200000 | 205854 |
| Bank of New York Mellon Corp/The 5.606% 7/21/2039 (g) |  | 120000 | 126195 |
| Bank of New York Mellon Corp/The 5.802% 10/25/2028 (g) |  | 100000 | 103090 |
| Bank of New York Mellon Corp/The 6.317% 10/25/2029 (g) |  | 175000 | 185210 |
| Bank of New York Mellon Corp/The 6.474% 10/25/2034 (g) |  | 610000 | 683833 |
| BGC Group Inc 6.15% 4/2/2030  |  | 10600000 | 11040153 |
| BGC Group Inc 6.6% 6/10/2029  |  | 3000000 | 3151996 |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (q) | GBP | 335000 | 451323 |
| Blue Owl Finance LLC 6.25% 4/18/2034  |  | 100000 | 99905 |
| Cantor Fitzgerald LP 7.2% 12/12/2028 (o) |  | 5689000 | 6040379 |
| Charles Schwab Corp/The 1.65% 3/11/2031  |  | 142000 | 125908 |
| Charles Schwab Corp/The 3.3% 4/1/2027  |  | 135000 | 134244 |
| Charles Schwab Corp/The 4.914% 11/14/2036 (g) |  | 1260000 | 1260378 |
| Charles Schwab Corp/The 5.853% 5/19/2034 (g) |  | 135000 | 145157 |
| Charles Schwab Corp/The 6.196% 11/17/2029 (g) |  | 227000 | 240251 |
| Citadel Finance LLC 4.75% 2/14/2029 (o) |  | 455000 | 452855 |
| Citadel Finance LLC 5.15% 2/14/2031 (o) |  | 285000 | 283850 |
| Citadel Finance LLC 5.9% 2/10/2030 (o) |  | 1750000 | 1795486 |
| DTE Electric Securitization Funding II LLC 6.09% 9/1/2038  |  | 300000 | 331833 |
| Goldman Sachs Group Inc/The 1.431% 3/9/2027 (g) |  | 9480000 | 9474211 |
| Goldman Sachs Group Inc/The 1.948% 10/21/2027 (g) |  | 900000 | 887885 |
| Goldman Sachs Group Inc/The 1.992% 1/27/2032 (g) |  | 8828000 | 7899047 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (g) |  | 10590000 | 9551689 |
| Goldman Sachs Group Inc/The 2.615% 4/22/2032 (g) |  | 1832000 | 1682490 |
| Goldman Sachs Group Inc/The 2.64% 2/24/2028 (g) |  | 1165000 | 1149055 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (g) |  | 1479000 | 1372298 |
| Goldman Sachs Group Inc/The 3.21% 4/22/2042 (g) |  | 141000 | 108837 |
| Goldman Sachs Group Inc/The 3.436% 2/24/2043 (g) |  | 42000 | 32969 |
| Goldman Sachs Group Inc/The 3.5% 11/16/2026  |  | 752000 | 750467 |
| Goldman Sachs Group Inc/The 3.5094% 8/17/2033 (g)(q) | EUR | 1180000 | 1401211 |
| Goldman Sachs Group Inc/The 3.615% 3/15/2028 (g) |  | 269000 | 267767 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (g) |  | 667000 | 663870 |
| Goldman Sachs Group Inc/The 3.814% 4/23/2029 (g) |  | 7810000 | 7764808 |
| Goldman Sachs Group Inc/The 4.017% 10/31/2038 (g) |  | 3493000 | 3156045 |
| Goldman Sachs Group Inc/The 4.148% 1/21/2029 (g) |  | 149000 | 149062 |
| Goldman Sachs Group Inc/The 4.153% 10/21/2029 (g) |  | 450000 | 450141 |
| Goldman Sachs Group Inc/The 4.223% 5/1/2029 (g) |  | 1117000 | 1120303 |
| Goldman Sachs Group Inc/The 4.369% 10/21/2031 (g) |  | 2145000 | 2146385 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (g) |  | 1080000 | 1005626 |
| Goldman Sachs Group Inc/The 4.516% 1/21/2032 (g) |  | 369000 | 371279 |
| Goldman Sachs Group Inc/The 4.692% 10/23/2030 (g) |  | 7135000 | 7251158 |
| Goldman Sachs Group Inc/The 4.937% 4/23/2028 (g) |  | 100000 | 100944 |
| Goldman Sachs Group Inc/The 4.939% 10/21/2036 (g) |  | 2342000 | 2333670 |
| Goldman Sachs Group Inc/The 5.016% 10/23/2035 (g) |  | 4065000 | 4107138 |
| Goldman Sachs Group Inc/The 5.065% 1/21/2037 (g) |  | 3902000 | 3929445 |
| Goldman Sachs Group Inc/The 5.207% 1/28/2031 (g) |  | 1010000 | 1046577 |
| Goldman Sachs Group Inc/The 5.218% 4/23/2031 (g) |  | 1060000 | 1097321 |
| Goldman Sachs Group Inc/The 5.33% 7/23/2035 (g) |  | 2380000 | 2456723 |
| Goldman Sachs Group Inc/The 5.387% 2/2/2041 (g) |  | 217000 | 215364 |
| Goldman Sachs Group Inc/The 5.536% 1/28/2036 (g) |  | 504000 | 527120 |
| Goldman Sachs Group Inc/The 5.541% 1/21/2047 (g) |  | 330000 | 328453 |
| Goldman Sachs Group Inc/The 5.561% 11/19/2045 (g) |  | 250000 | 250755 |
| Goldman Sachs Group Inc/The 5.727% 4/25/2030 (g) |  | 1645000 | 1718680 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (g) |  | 38750000 | 41021238 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 50954000 | 57236055 |
| GS Finance Corp 0% 1/15/2031 (g)(l) |  | 3670000 | 3581946 |
| GS Finance Corp 0% 2/17/2031 (g) |  | 990000 | 990000 |
| GS Finance Corp 7.35% 2/17/2031 (g) |  | 2057000 | 2057000 |
| Hightower Holding LLC 6.75% 4/15/2029 (o) |  | 350000 | 347032 |
| Intercontinental Exchange Inc 3% 9/15/2060  |  | 184000 | 110276 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  |  | 100000 | 99328 |
| Intercontinental Exchange Inc 3.95% 12/1/2028  |  | 4100000 | 4104470 |
| Intercontinental Exchange Inc 4% 9/15/2027  |  | 121000 | 121349 |
| Intercontinental Exchange Inc 4.2% 3/15/2031  |  | 3000000 | 3017796 |
| Intercontinental Exchange Inc 4.35% 6/15/2029  |  | 100000 | 101230 |
| Intercontinental Exchange Inc 4.6% 3/15/2033  |  | 100000 | 101242 |
| Intercontinental Exchange Inc 5.25% 6/15/2031  |  | 100000 | 104945 |
| Jane Street Group / JSG Finance Inc 4.5% 11/15/2029 (o) |  | 65000 | 63425 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (o) |  | 1160000 | 1166926 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (o) |  | 175000 | 179582 |
| Jane Street Group / JSG Finance Inc 7.125% 4/30/2031 (o) |  | 100000 | 104039 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (o) |  | 85000 | 80820 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (o) |  | 60000 | 58424 |
| Jefferies Financial Group Inc 2.625% 10/15/2031  |  | 5636000 | 5009560 |
| Jefferies Financial Group Inc 2.75% 10/15/2032  |  | 1355000 | 1183333 |
| Jefferies Financial Group Inc 5.5% 2/15/2036  |  | 1055000 | 1037587 |
| Jefferies Financial Group Inc 5.875% 7/21/2028  |  | 2330000 | 2405494 |
| Jefferies Financial Group Inc 6.25% 1/15/2036  |  | 100000 | 104080 |
| LPL Holdings Inc 5.2% 3/15/2030  |  | 10200000 | 10414351 |
| LPL Holdings Inc 5.7% 5/20/2027  |  | 100000 | 101663 |
| Morgan Stanley 1.794% 2/13/2032 (g) |  | 7747000 | 6859094 |
| Morgan Stanley 1.928% 4/28/2032 (g) |  | 5373000 | 4768384 |
| Morgan Stanley 2.239% 7/21/2032 (g) |  | 930000 | 833928 |
| Morgan Stanley 2.475% 1/21/2028 (g) |  | 400000 | 394677 |
| Morgan Stanley 2.484% 9/16/2036 (g) |  | 230000 | 203630 |
| Morgan Stanley 2.511% 10/20/2032 (g) |  | 3820000 | 3461993 |
| Morgan Stanley 2.699% 1/22/2031 (g) |  | 30572000 | 28927786 |
| Morgan Stanley 2.943% 1/21/2033 (g) |  | 4424000 | 4074848 |
| Morgan Stanley 3.217% 4/22/2042 (g) |  | 594000 | 469840 |
| Morgan Stanley 3.622% 4/1/2031 (g) |  | 13084000 | 12793446 |
| Morgan Stanley 3.79% 3/21/2030 (g) | EUR | 100000 | 121160 |
| Morgan Stanley 3.955% 3/21/2035 (g) | EUR | 300000 | 361652 |
| Morgan Stanley 3.981% 1/23/2037 (g) | EUR | 873000 | 1045541 |
| Morgan Stanley 4.133% 10/18/2029 (g) |  | 1465000 | 1467270 |
| Morgan Stanley 4.35% 9/8/2026  |  | 2070000 | 2074720 |
| Morgan Stanley 4.431% 1/23/2030 (g) |  | 4461000 | 4502692 |
| Morgan Stanley 4.457% 4/22/2039 (g) |  | 158000 | 149502 |
| Morgan Stanley 4.493% 1/16/2032 (g) |  | 1150000 | 1156668 |
| Morgan Stanley 4.654% 10/18/2030 (g) |  | 40360000 | 41018801 |
| Morgan Stanley 4.892% 10/22/2036 (g) |  | 690000 | 686459 |
| Morgan Stanley 4.994% 4/12/2029 (g) |  | 181000 | 184299 |
| Morgan Stanley 5.042% 7/19/2030 (g) |  | 5761000 | 5927747 |
| Morgan Stanley 5.073% 1/30/2037 (g) |  | 4801000 | 4841925 |
| Morgan Stanley 5.123% 2/1/2029 (g) |  | 5851000 | 5972303 |
| Morgan Stanley 5.164% 4/20/2029 (g) |  | 100000 | 102270 |
| Morgan Stanley 5.173% 1/16/2030 (g) |  | 2000000 | 2055939 |
| Morgan Stanley 5.192% 4/17/2031 (g) |  | 6644000 | 6882612 |
| Morgan Stanley 5.23% 1/15/2031 (g) |  | 2059000 | 2132265 |
| Morgan Stanley 5.314% 1/18/2041 (g) |  | 295000 | 293501 |
| Morgan Stanley 5.32% 7/19/2035 (g) |  | 550000 | 569498 |
| Morgan Stanley 5.424% 7/21/2034 (g) |  | 265000 | 276774 |
| Morgan Stanley 5.449% 7/20/2029 (g) |  | 2058000 | 2122154 |
| Morgan Stanley 5.587% 1/18/2036 (g) |  | 1000000 | 1051261 |
| Morgan Stanley 5.652% 4/13/2028 (g) |  | 400000 | 407077 |
| Morgan Stanley 5.664% 4/17/2036 (g) |  | 2962000 | 3130229 |
| Morgan Stanley 5.831% 4/19/2035 (g) |  | 1383000 | 1477891 |
| Morgan Stanley 5.948% 1/19/2038 (g) |  | 1366000 | 1439402 |
| Morgan Stanley 6.296% 10/18/2028 (g) |  | 152000 | 157459 |
| Morgan Stanley 6.375% 7/24/2042  |  | 164000 | 183340 |
| Morgan Stanley 6.407% 11/1/2029 (g) |  | 22800000 | 24140851 |
| MSCI Inc 4% 11/15/2029 (o) |  | 200000 | 196125 |
| MSCI Inc 5.15% 3/15/2036  |  | 1006000 | 996862 |
| MSCI Inc 5.25% 9/1/2035  |  | 3775000 | 3779763 |
| Nasdaq Inc 5.35% 6/28/2028  |  | 100000 | 102968 |
| Nasdaq Inc 5.55% 2/15/2034  |  | 101000 | 106447 |
| Nuveen LLC 5.55% 1/15/2030 (o) |  | 200000 | 208759 |
| Raymond James Financial Inc 4.95% 7/15/2046  |  | 100000 | 92311 |
| S&P Global Inc 2.9% 3/1/2032  |  | 415000 | 385997 |
| S&P Global Inc 3.25% 12/1/2049  |  | 315000 | 223812 |
| S&P Global Inc 4.25% 1/15/2031 (o) |  | 159000 | 159730 |
| S&P Global Inc 4.25% 5/1/2029  |  | 247000 | 249308 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (o) |  | 4200000 | 4272119 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (o) |  | 12900000 | 13232022 |
| State Street Bank & Trust Co 4.782% 11/23/2029  |  | 4550000 | 4702663 |
| State Street Corp 3.031% 11/1/2034 (g) |  | 148000 | 141435 |
| State Street Corp 5.159% 5/18/2034 (g) |  | 101000 | 105035 |
| State Street Corp 5.82% 11/4/2028 (g) |  | 147000 | 151565 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (o) |  | 275000 | 286226 |
|  |  |  | 461050766 |
| Consumer Finance - 0.3% |  |  |  |
| Ally Financial Inc 5.543% 1/17/2031 (g) |  | 8200000 | 8430199 |
| Ally Financial Inc 5.548% 7/31/2033 (g) |  | 5612000 | 5662060 |
| Ally Financial Inc 6.646% 1/17/2040 (g) |  | 100000 | 99766 |
| Ally Financial Inc 6.7% 2/14/2033  |  | 285000 | 297194 |
| Ally Financial Inc 6.992% 6/13/2029 (g) |  | 47000 | 49505 |
| American Express Co 3.3% 5/3/2027  |  | 100000 | 99520 |
| American Express Co 4.05% 5/3/2029  |  | 163000 | 164397 |
| American Express Co 4.456% 2/10/2032 (g) |  | 220000 | 222156 |
| American Express Co 4.804% 10/24/2036 (g) |  | 227000 | 224817 |
| American Express Co 4.918% 7/20/2033 (g) |  | 425000 | 435358 |
| American Express Co 5.016% 4/25/2031 (g) |  | 1148000 | 1186144 |
| American Express Co 5.043% 5/1/2034 (g) |  | 158000 | 162429 |
| American Express Co 5.085% 1/30/2031 (g) |  | 11600000 | 11984740 |
| American Express Co 5.667% 4/25/2036 (g) |  | 2085000 | 2208054 |
| American Express Co U.S. SOFR Index + 0.93%, 4.5976% 7/26/2028 (f)(g) |  | 3700000 | 3716798 |
| Capital One Financial Corp 3.8% 1/31/2028  |  | 267000 | 266241 |
| Capital One Financial Corp 4.722% 1/30/2032 (g) |  | 2900000 | 2919924 |
| Capital One Financial Corp 5.247% 7/26/2030 (g) |  | 6880000 | 7109349 |
| Capital One Financial Corp 5.7% 2/1/2030 (g) |  | 26000 | 27077 |
| Capital One Financial Corp 6.183% 1/30/2036 (g) |  | 83000 | 86314 |
| Capital One Financial Corp 7.624% 10/30/2031 (g) |  | 4095000 | 4615676 |
| Capital One Financial Corp 7.964% 11/2/2034 (g) |  | 250000 | 294280 |
| Credit Acceptance Corp 6.625% 3/15/2030 (o) |  | 100000 | 99478 |
| FirstCash Inc 5.625% 1/1/2030 (o) |  | 100000 | 99495 |
| Ford Motor Credit Co LLC 2.7% 8/10/2026  |  | 1100000 | 1092445 |
| Ford Motor Credit Co LLC 2.9% 2/10/2029  |  | 2625000 | 2501940 |
| Ford Motor Credit Co LLC 2.9% 2/16/2028  |  | 275000 | 266743 |
| Ford Motor Credit Co LLC 3.625% 6/17/2031  |  | 8245000 | 7685878 |
| Ford Motor Credit Co LLC 4% 11/13/2030  |  | 765000 | 733142 |
| Ford Motor Credit Co LLC 4.125% 8/17/2027  |  | 185000 | 184303 |
| Ford Motor Credit Co LLC 4.271% 1/9/2027  |  | 85000 | 84984 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 400000 | 489424 |
| Ford Motor Credit Co LLC 4.542% 8/1/2026  |  | 200000 | 199960 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  |  | 1700000 | 1710841 |
| Ford Motor Credit Co LLC 5.113% 5/3/2029  |  | 200000 | 201943 |
| Ford Motor Credit Co LLC 5.125% 11/5/2026  |  | 7500000 | 7543293 |
| Ford Motor Credit Co LLC 5.303% 9/6/2029  |  | 4800000 | 4872807 |
| Ford Motor Credit Co LLC 5.753% 4/6/2033  |  | 1967000 | 2004411 |
| Ford Motor Credit Co LLC 5.8% 3/8/2029  |  | 1285000 | 1323707 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  |  | 1700000 | 1727858 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  |  | 12575000 | 13005653 |
| Ford Motor Credit Co LLC 5.918% 3/20/2028  |  | 1374000 | 1410600 |
| Ford Motor Credit Co LLC 6.05% 3/5/2031  |  | 200000 | 208124 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 100000 | 139510 |
| Ford Motor Credit Co LLC 6.798% 11/7/2028  |  | 3215000 | 3388693 |
| Ford Motor Credit Co LLC U.S. SOFR Index + 1.45%, 5.1156% 11/5/2026 (f)(g) |  | 4800000 | 4813876 |
| John Deere Capital Corp 2.8% 9/8/2027  |  | 100000 | 98757 |
| John Deere Capital Corp 4.5% 1/16/2029  |  | 122000 | 124653 |
| John Deere Capital Corp 4.85% 3/5/2027  |  | 100000 | 101158 |
| John Deere Capital Corp 4.9% 3/7/2031  |  | 363000 | 377991 |
| John Deere Capital Corp 5.1% 4/11/2034  |  | 128000 | 133757 |
| Navient Corp 6.75% 6/15/2026  |  | 120000 | 120244 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 850000 | 822387 |
| OneMain Finance Corp 4% 9/15/2030  |  | 425000 | 392350 |
| OneMain Finance Corp 5.375% 11/15/2029  |  | 104000 | 102821 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 45000 | 45176 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 1430000 | 1459853 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 60000 | 60466 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 160000 | 158802 |
| OneMain Finance Corp 7.125% 11/15/2031  |  | 60000 | 61347 |
| OneMain Finance Corp 7.5% 5/15/2031  |  | 465000 | 480737 |
| OneMain Finance Corp 7.875% 3/15/2030  |  | 215000 | 224880 |
| PRA Group Inc 5% 10/1/2029 (o) |  | 135000 | 124613 |
| Stellantis Financial Services US Corp 4.95% 9/15/2028 (o) |  | 5900000 | 5948560 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (o) |  | 6498000 | 6570053 |
| Synchrony Financial 2.875% 10/28/2031  |  | 906000 | 813487 |
| Synchrony Financial 3.95% 12/1/2027  |  | 20000 | 19908 |
| Synchrony Financial 4.947% 2/25/2032 (g) |  | 1712000 | 1701895 |
| Synchrony Financial 5.15% 3/19/2029  |  | 523000 | 531482 |
| Synchrony Financial 5.45% 3/6/2031 (g) |  | 183000 | 186916 |
| Toyota Motor Credit Corp 1.65% 1/10/2031  |  | 117000 | 104747 |
| Toyota Motor Credit Corp 3.65% 1/8/2029  |  | 100000 | 99876 |
| Toyota Motor Credit Corp 4.5% 5/14/2027  |  | 10800000 | 10904519 |
| Toyota Motor Credit Corp 4.55% 9/20/2027  |  | 100000 | 101259 |
| Toyota Motor Credit Corp 4.625% 1/12/2028  |  | 118000 | 119994 |
| Toyota Motor Credit Corp 5% 3/19/2027  |  | 221000 | 224017 |
| Toyota Motor Credit Corp 5.1% 3/21/2031  |  | 193000 | 201954 |
|  |  |  | 138469765 |
| Financial Services - 0.3% |  |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5.75% 10/1/2031 (o) |  | 1700000 | 1791628 |
| Aon Corp / Aon Global Holdings PLC 2.85% 5/28/2027  |  | 100000 | 98599 |
| Aon Corp / Aon Global Holdings PLC 5.35% 2/28/2033  |  | 101000 | 105689 |
| AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust 6.088% 12/15/2044 (o) |  | 1379770 | 1416991 |
| Aviation Capital Group LLC 5.125% 4/10/2030 (o) |  | 10600000 | 10890480 |
| Aviation Capital Group LLC 5.375% 7/15/2029 (o) |  | 3800000 | 3925323 |
| Block Inc 2.75% 6/1/2026  |  | 210000 | 209124 |
| Block Inc 3.5% 6/1/2031  |  | 435000 | 408462 |
| Block Inc 5.625% 8/15/2030 (o) |  | 120000 | 121573 |
| Block Inc 6% 8/15/2033 (o) |  | 95000 | 96537 |
| Block Inc 6.5% 5/15/2032  |  | 1345000 | 1383681 |
| BP Capital Markets America Inc 2.772% 11/10/2050  |  | 250000 | 158623 |
| BP Capital Markets America Inc 2.939% 6/4/2051  |  | 186000 | 121556 |
| BP Capital Markets America Inc 3% 2/24/2050  |  | 278000 | 185926 |
| BP Capital Markets America Inc 3.001% 3/17/2052  |  | 373000 | 244734 |
| BP Capital Markets America Inc 3.588% 4/14/2027  |  | 145000 | 144800 |
| BP Capital Markets America Inc 4.812% 2/13/2033  |  | 2409000 | 2469222 |
| BP Capital Markets America Inc 4.868% 11/25/2029  |  | 342000 | 353240 |
| BP Capital Markets America Inc 4.893% 9/11/2033  |  | 658000 | 676330 |
| BP Capital Markets America Inc 4.97% 10/17/2029  |  | 275000 | 284804 |
| BP Capital Markets America Inc 5.227% 11/17/2034  |  | 445000 | 465800 |
| Clue Opco LLC 9.5% 10/15/2031 (o) |  | 6357000 | 6582991 |
| Consumers 2023 Securitization Funding LLC 5.21% 9/1/2031  |  | 473000 | 489655 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 139000 | 138271 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 6908000 | 6560333 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 701000 | 597092 |
| Corebridge Financial Inc 6.05% 9/15/2033  |  | 2074000 | 2212838 |
| Corebridge Financial Inc 6.375% 9/15/2054 (g) |  | 157000 | 157047 |
| Corebridge Financial Inc 6.875% 12/15/2052 (g) |  | 470000 | 480236 |
| CRH SMW Finance DAC 5.125% 1/9/2030  |  | 2175000 | 2251167 |
| CRH SMW Finance DAC 5.2% 5/21/2029  |  | 1165000 | 1207672 |
| CrossCountry Intermediate HoldCo LLC 6.5% 10/1/2030 (o) |  | 130000 | 129484 |
| CrossCountry Intermediate HoldCo LLC 6.75% 12/1/2032 (o) |  | 130000 | 128669 |
| DH Europe Finance II Sarl 3.25% 11/15/2039  |  | 100000 | 82842 |
| Essent Group Ltd 6.25% 7/1/2029  |  | 3000000 | 3156946 |
| Fidelity National Information Services Inc 4.5% 8/15/2046  |  | 58000 | 48982 |
| Fiserv Inc 2.65% 6/1/2030  |  | 114000 | 105746 |
| Fiserv Inc 3.5% 7/1/2029  |  | 7580000 | 7363127 |
| Fiserv Inc 4.2% 10/1/2028  |  | 700000 | 700174 |
| Fiserv Inc 4.55% 2/15/2031  |  | 1865000 | 1859126 |
| Fiserv Inc 5.15% 8/12/2034  |  | 105000 | 104693 |
| Fiserv Inc 5.25% 8/11/2035  |  | 2600000 | 2601081 |
| Fiserv Inc 5.45% 3/15/2034  |  | 1333000 | 1359095 |
| Fiserv Inc 5.45% 3/2/2028  |  | 1412000 | 1444331 |
| Fiserv Inc 5.625% 8/21/2033  |  | 970000 | 1003990 |
| Freedom Mortgage Holdings LLC 6.875% 5/1/2031 (o) |  | 580000 | 559408 |
| Global Payments Inc 2.9% 5/15/2030  |  | 466000 | 433767 |
| Global Payments Inc 4.5% 11/15/2028  |  | 3335000 | 3342671 |
| Global Payments Inc 4.875% 11/15/2030  |  | 1835000 | 1832848 |
| Global Payments Inc 5.55% 11/15/2035  |  | 545000 | 542117 |
| Global Payments Inc 5.95% 8/15/2052  |  | 16000 | 15245 |
| Greystone Commercial Capital Trust Series 2021-2 1 month U.S. LIBOR + 2.27%, 7.2302% 5/31/2026 (f)(g)(l)(o) |  | 7691819 | 6845719 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (o) |  | 130000 | 128050 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 5.25% 5/15/2027  |  | 278000 | 273821 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9% 6/15/2030  |  | 1270000 | 1208047 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 9.75% 1/15/2029  |  | 190000 | 187786 |
| ILFC E-Capital Trust I CME Term SOFR 3 month Index + 1.8116%, 6.35% 12/21/2065 (f)(g)(o) |  | 156000 | 135523 |
| ION Platform Finance US Inc 7.875% 9/30/2032 (o) |  | 200000 | 160042 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 750000 | 683175 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 2958000 | 2993972 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 3183000 | 3255048 |
| Jefferson Capital Holdin 8.25% 5/15/2030 (o) |  | 100000 | 104769 |
| Mastercard Inc 2.95% 6/1/2029  |  | 148000 | 144260 |
| Mastercard Inc 4.875% 5/9/2034  |  | 145000 | 149572 |
| National Rural Utilities Cooperative Finance Corp 5.15% 6/15/2029  |  | 4000000 | 4146201 |
| NCR Atleos Corp 9.5% 4/1/2029 (o) |  | 1482000 | 1591523 |
| NFE Financing LLC 12% (m)(o) |  | 88505 | 31995 |
| PayPal Holdings Inc 4.45% 3/6/2028  |  | 327000 | 330704 |
| PayPal Holdings Inc 5.1% 4/1/2035  |  | 55000 | 55695 |
| PennyMac Financial Services Inc 4.25% 2/15/2029 (o) |  | 2325000 | 2235164 |
| PennyMac Financial Services Inc 5.75% 9/15/2031 (o) |  | 1250000 | 1213568 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (o) |  | 255000 | 252108 |
| PennyMac Financial Services Inc 6.875% 2/15/2033 (o) |  | 100000 | 100111 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (o) |  | 185000 | 186058 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.25% 7/1/2029 (o) |  | 350000 | 361235 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.35% 3/30/2029 (o) |  | 300000 | 309976 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 5.55% 5/1/2028 (o) |  | 3375000 | 3473754 |
| Penske Truck Leasing Co Lp / PTL Finance Corp 6.05% 8/1/2028 (o) |  | 2105000 | 2194403 |
| Pine Street Trust II 5.568% 2/15/2049 (o) |  | 7800000 | 7432369 |
| PRA Group Europe Holding II Sarl 6.25% 9/30/2032 (q) | EUR | 100000 | 113434 |
| Private Export Funding Corp 1.4% 7/15/2028  |  | 2010000 | 1910313 |
| Radian Group Inc 6.2% 5/15/2029  |  | 250000 | 262461 |
| Raven Acquisition Holdings LLC 6.875% 11/15/2031 (o) |  | 210000 | 202134 |
| Rocket Cos Inc 6.125% 8/1/2030 (o) |  | 440000 | 451420 |
| Rocket Cos Inc 6.375% 8/1/2033 (o) |  | 810000 | 837151 |
| Rocket Cos Inc 6.5% 8/1/2029 (o) |  | 275000 | 282526 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 2.875% 10/15/2026 (o) |  | 428000 | 422753 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.625% 3/1/2029 (o) |  | 285000 | 274589 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.875% 3/1/2031 (o) |  | 81000 | 76125 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 4% 10/15/2033 (o) |  | 17000 | 15644 |
| Sammons Financial Group Inc 6.875% 4/15/2034 (o) |  | 5700000 | 6197293 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 5.5% 5/15/2033 (q) | EUR | 282000 | 329815 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (o) |  | 600000 | 587281 |
| United Wholesale Mortgage LLC 5.5% 4/15/2029 (o) |  | 100000 | 98073 |
| UWM Holdings LLC 6.25% 3/15/2031 (o) |  | 161000 | 155554 |
| UWM Holdings LLC 6.625% 2/1/2030 (o) |  | 305000 | 302695 |
| Visa Inc 2.7% 4/15/2040  |  | 178000 | 139192 |
| Visa Inc 4.7% 2/12/2036  |  | 151000 | 152609 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (o) |  | 120000 | 118610 |
| WEX Inc 6.5% 3/15/2033 (o) |  | 170000 | 170856 |
| Windstream Services LLC / Windstream Escrow Finance Corp 8.25% 10/1/2031 (o) |  | 405000 | 426398 |
|  |  |  | 126756340 |
| Insurance - 0.5% |  |  |  |
| Acrisure LLC / Acrisure Finance Inc 4.25% 2/15/2029 (o) |  | 100000 | 95147 |
| Acrisure LLC / Acrisure Finance Inc 6.75% 7/1/2032 (o) |  | 60000 | 58845 |
| Acrisure LLC / Acrisure Finance Inc 8.25% 2/1/2029 (o) |  | 210000 | 210052 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.25% 10/15/2027 (o) |  | 340000 | 335771 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (o) |  | 203000 | 204114 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.75% 4/15/2028 (o) |  | 100000 | 101151 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7% 1/15/2031 (o) |  | 47000 | 47852 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 7.375% 10/1/2032 (o) |  | 181000 | 178969 |
| American International Group Inc 4.5% 7/16/2044  |  | 14000 | 12386 |
| American International Group Inc 4.85% 5/7/2030  |  | 242000 | 248296 |
| Aon Global Ltd 4.6% 6/14/2044  |  | 129000 | 113293 |
| Aon North America Inc 5.3% 3/1/2031  |  | 109000 | 113772 |
| Aon North America Inc 5.45% 3/1/2034  |  | 100000 | 104335 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (o) |  | 370000 | 358463 |
| Arch Capital Finance LLC 4.011% 12/15/2026  |  | 8495000 | 8494153 |
| Arthur J Gallagher & Co 3.5% 5/20/2051  |  | 104000 | 72251 |
| Arthur J Gallagher & Co 4.6% 12/15/2027  |  | 8800000 | 8898818 |
| Arthur J Gallagher & Co 4.85% 12/15/2029  |  | 4455000 | 4564238 |
| Arthur J Gallagher & Co 5.45% 7/15/2034  |  | 162000 | 168012 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (o) |  | 990000 | 1039805 |
| Asurion LLC and Asurion Co-Issuer Inc 8.375% 2/1/2034 (o) |  | 1185000 | 1179272 |
| Athene Holding Ltd 6.875% 6/28/2055 (g) |  | 335000 | 322653 |
| Baylor Scott & White Holdings 1.777% 11/15/2030  |  | 870000 | 788796 |
| Baylor Scott & White Holdings 2.839% 11/15/2050  |  | 120000 | 78888 |
| Berkshire Hathaway Fin Corp 2.5% 1/15/2051  |  | 355000 | 214203 |
| Berkshire Hathaway Fin Corp 3.85% 3/15/2052  |  | 448000 | 348176 |
| Berkshire Hathaway Fin Corp 4.2% 8/15/2048  |  | 195000 | 164352 |
| Berkshire Hathaway Fin Corp 4.3% 5/15/2043  |  | 100000 | 90645 |
| Brown & Brown Inc 2.375% 3/15/2031  |  | 130000 | 116798 |
| Brown & Brown Inc 4.6% 12/23/2026  |  | 2100000 | 2110274 |
| Brown & Brown Inc 4.9% 6/23/2030  |  | 100000 | 101656 |
| Brown & Brown Inc 5.25% 6/23/2032  |  | 325000 | 331117 |
| Brown & Brown Inc 5.55% 6/23/2035  |  | 405000 | 413204 |
| Chubb INA Holdings LLC 1.55% 3/15/2028  | EUR | 4600000 | 5342358 |
| Chubb INA Holdings LLC 4.15% 3/13/2043  |  | 100000 | 87691 |
| Chubb INA Holdings LLC 6% 5/11/2037  |  | 238000 | 260997 |
| CNA Financial Corp 3.9% 5/1/2029  |  | 1400000 | 1390184 |
| CNA Financial Corp 5.125% 2/15/2034  |  | 115000 | 116696 |
| CNO Global Funding 4.875% 12/10/2027 (o) |  | 3500000 | 3533731 |
| CNO Global Funding 4.95% 9/9/2029 (o) |  | 3915000 | 3985162 |
| CNO Global Funding 5.875% 6/4/2027 (o) |  | 450000 | 458765 |
| Corebridge Global Funding 4.65% 8/20/2027 (o) |  | 1100000 | 1110285 |
| Corebridge Global Funding 4.9% 8/21/2032 (o) |  | 380000 | 382816 |
| Equitable Financial Life Global Funding 4.875% 11/19/2027 (o) |  | 8400000 | 8530769 |
| Everest Reinsurance Holdings Inc 3.5% 10/15/2050  |  | 2100000 | 1468441 |
| F&G Global Funding 5.875% 6/10/2027 (o) |  | 3000000 | 3046686 |
| Farmers Exchange Capital II 6.151% 11/1/2053 (g)(o) |  | 1000000 | 986440 |
| Farmers Exchange Capital III 5.454% 10/15/2054 (g)(o) |  | 3335000 | 3141565 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (o) |  | 12846000 | 12184073 |
| Guardian Life Global Funding 4.179% 9/26/2029 (o) |  | 190000 | 190935 |
| Guardian Life Global Funding 5.737% 10/2/2028 (o) |  | 200000 | 209068 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029  |  | 147000 | 141432 |
| HUB International Ltd 7.25% 6/15/2030 (o) |  | 330000 | 340380 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (o) |  | 6100000 | 6286199 |
| Liberty Mutual Group Inc 4.125% 12/15/2051 (g)(o) |  | 100000 | 99250 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (o) |  | 9380000 | 9440594 |
| Lincoln National Corp 3.05% 1/15/2030  |  | 313000 | 297577 |
| Lincoln National Corp 3.4% 1/15/2031  |  | 2550000 | 2399203 |
| Lincoln National Corp 6.3% 10/9/2037  |  | 110000 | 115037 |
| Markel Group Inc 3.5% 11/1/2027  |  | 169000 | 167417 |
| Markel Group Inc 4.3% 11/1/2047  |  | 900000 | 737222 |
| Marsh & McLennan Cos Inc 4.55% 11/8/2027  |  | 284000 | 286613 |
| Marsh & McLennan Cos Inc 4.65% 3/15/2030  |  | 5500000 | 5609718 |
| Marsh & McLennan Cos Inc 4.95% 3/15/2036  |  | 2422000 | 2443533 |
| Marsh & McLennan Cos Inc 5.15% 3/15/2034  |  | 111000 | 114548 |
| Marsh & McLennan Cos Inc 5.35% 11/15/2044  |  | 100000 | 97095 |
| Marsh & McLennan Cos Inc 5.75% 11/1/2032  |  | 121000 | 129519 |
| MassMutual Global Funding II 4.3% 10/22/2027 (o) |  | 11000000 | 11098998 |
| MassMutual Global Funding II 4.45% 3/27/2028 (o) |  | 3500000 | 3543772 |
| MetLife Inc 10.75% 8/1/2069  |  | 100000 | 132471 |
| MetLife Inc 4.721% 12/15/2044 (g) |  | 296000 | 266210 |
| MetLife Inc 5% 7/15/2052  |  | 270000 | 243642 |
| MetLife Inc 5.85% 3/15/2056 (g) |  | 268000 | 266109 |
| MetLife Inc 6.35% 3/15/2055 (g) |  | 100000 | 103865 |
| Metropolitan Life Global Funding I 2.4% 1/11/2032 (o) |  | 1960000 | 1762582 |
| Metropolitan Life Global Funding I 4.3% 8/25/2029 (o) |  | 2000000 | 2016905 |
| Metropolitan Life Global Funding I 5.15% 3/28/2033 (o) |  | 920000 | 956564 |
| Mutual of Omaha Cos Global Funding 4.75% 10/15/2029 (o) |  | 1600000 | 1628887 |
| Mutual of Omaha Cos Global Funding 5% 4/1/2030 (o) |  | 2100000 | 2159502 |
| Mutual of Omaha Cos Global Funding 5.35% 4/9/2027 (o) |  | 3250000 | 3294183 |
| New York Life Global Funding 3% 1/10/2028 (o) |  | 107000 | 105613 |
| New York Life Global Funding 5% 6/6/2029 (o) |  | 3500000 | 3616902 |
| New York Life Insurance Co 5.875% 5/15/2033 (o) |  | 1004000 | 1074824 |
| NLG Global Funding 4.35% 9/15/2030 (o) |  | 5400000 | 5396559 |
| Northwestern Mutual Global Funding 4.49% 3/21/2028 (o) |  | 4800000 | 4853428 |
| Northwestern Mutual Global Funding 5.16% 5/28/2031 (o) |  | 280000 | 292128 |
| Pacific Life Global Funding II 4.5% 8/28/2029 (o) |  | 5100000 | 5171649 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (o) |  | 290000 | 295030 |
| Pricoa Global Funding I 4.4% 8/27/2027 (o) |  | 6200000 | 6257216 |
| Principal Financial Group Inc 4.111% 2/15/2028 (o) |  | 388000 | 388027 |
| Principal Life Global Funding II 4.8% 1/9/2028 (o) |  | 11500000 | 11670586 |
| Principal Life Global Funding II 4.95% 11/27/2029 (o) |  | 7500000 | 7679971 |
| Progressive Corp/The 3.7% 1/26/2045  |  | 167000 | 131922 |
| Protective Life Global Funding 4.772% 12/9/2029 (o) |  | 12700000 | 12948794 |
| Protective Life Global Funding 5.215% 6/12/2029 (o) |  | 3000000 | 3096899 |
| Protective Life Global Funding 5.467% 12/8/2028 (o) |  | 333000 | 344872 |
| Prudential Financial Inc 3.905% 12/7/2047  |  | 231000 | 178026 |
| Prudential Financial Inc 4.5% 9/15/2047 (g) |  | 100000 | 98516 |
| Prudential Financial Inc 5.125% 3/1/2052 (g) |  | 148000 | 145440 |
| Prudential Financial Inc 6.625% 12/1/2037  |  | 100000 | 113865 |
| RGA Global Funding 5.448% 5/24/2029 (o) |  | 2000000 | 2076141 |
| Ryan Specialty LLC 4.375% 2/1/2030 (o) |  | 165000 | 160500 |
| Ryan Specialty LLC 5.875% 8/1/2032 (o) |  | 275000 | 277078 |
| Teachers Insurance & Annuity Association of America 3.3% 5/15/2050 (o) |  | 1220000 | 848221 |
| Teachers Insurance & Annuity Association of America 4.27% 5/15/2047 (o) |  | 43000 | 36037 |
| Travelers Companies Inc/The 5.35% 11/1/2040  |  | 207000 | 211084 |
| Unum Group 4% 6/15/2029  |  | 1000000 | 991970 |
| Unum Group 4.046% 8/15/2041 (o) |  | 165000 | 136893 |
| Unum Group 4.125% 6/15/2051  |  | 1500000 | 1113557 |
| Unum Group 5.75% 8/15/2042  |  | 2123000 | 2096657 |
| Western-Southern Global Funding 4.5% 7/16/2028 (o) |  | 9600000 | 9683220 |
| Willis North America Inc 4.65% 6/15/2027  |  | 100000 | 100656 |
|  |  |  | 215877727 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Arbor Realty SR Inc 9% 10/15/2027 (o) |  | 3000000 | 2998012 |
| Arbor Realty Trust Inc 4.5% 3/15/2027 (o) |  | 877000 | 840498 |
| Arbor Realty Trust Inc 4.5% 9/1/2026 (o) |  | 570000 | 562152 |
| Arbor Realty Trust Inc 5% 4/30/2026  |  | 146000 | 145780 |
| Great Ajax Operating Partnership LP 9.875% 9/1/2027 (o) |  | 672000 | 656182 |
| Starwood Property Trust Inc 5.25% 10/15/2028 (o) |  | 1855000 | 1863919 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (o) |  | 245000 | 254806 |
| Starwood Property Trust Inc 7.25% 4/1/2029 (o) |  | 435000 | 455817 |
|  |  |  | 7777166 |
| TOTAL FINANCIALS |  |  | 1747352389 |
| Health Care - 0.9% |  |  |  |
| Biotechnology - 0.1% |  |  |  |
| AbbVie Inc 3.2% 11/21/2029  |  | 2143000 | 2093239 |
| AbbVie Inc 4.05% 11/21/2039  |  | 8968000 | 8117697 |
| AbbVie Inc 4.25% 11/14/2028  |  | 118000 | 119454 |
| AbbVie Inc 4.25% 11/21/2049  |  | 515000 | 433308 |
| AbbVie Inc 4.65% 3/15/2028  |  | 100000 | 101760 |
| AbbVie Inc 4.7% 5/14/2045  |  | 4915000 | 4512833 |
| AbbVie Inc 4.75% 3/15/2036  |  | 2245000 | 2256760 |
| AbbVie Inc 4.875% 11/14/2048  |  | 228000 | 210674 |
| AbbVie Inc 5.05% 3/15/2034  |  | 1760000 | 1827182 |
| AbbVie Inc 5.2% 3/15/2035  |  | 320000 | 333876 |
| AbbVie Inc 5.35% 3/15/2044  |  | 213000 | 213557 |
| AbbVie Inc 5.4% 3/15/2054  |  | 235000 | 230789 |
| Amgen Inc 2.3% 2/25/2031  |  | 100000 | 91917 |
| Amgen Inc 2.45% 2/21/2030  |  | 2000000 | 1886748 |
| Amgen Inc 3.15% 2/21/2040  |  | 155000 | 124721 |
| Amgen Inc 3.2% 11/2/2027  |  | 1000000 | 991089 |
| Amgen Inc 3.35% 2/22/2032  |  | 305000 | 290708 |
| Amgen Inc 4.05% 8/18/2029  |  | 259000 | 260346 |
| Amgen Inc 4.2% 2/19/2031  |  | 145000 | 145429 |
| Amgen Inc 4.663% 6/15/2051  |  | 475000 | 414695 |
| Amgen Inc 4.85% 2/19/2036  |  | 95000 | 95514 |
| Amgen Inc 4.875% 3/1/2053  |  | 1724000 | 1540777 |
| Amgen Inc 5.15% 3/2/2028  |  | 3970000 | 4065602 |
| Amgen Inc 5.25% 3/2/2030  |  | 4630000 | 4831650 |
| Amgen Inc 5.5% 2/19/2046  |  | 191000 | 190042 |
| Amgen Inc 5.6% 3/2/2043  |  | 3512000 | 3589365 |
| Amgen Inc 5.65% 2/19/2056  |  | 50000 | 49904 |
| Amgen Inc 5.65% 3/2/2053  |  | 1480000 | 1477363 |
| Baxalta Inc 5.25% 6/23/2045  |  | 163000 | 158409 |
| Biogen Inc 2.25% 5/1/2030  |  | 790000 | 732794 |
| Biogen Inc 3.15% 5/1/2050  |  | 147000 | 96730 |
| Gilead Sciences Inc 1.65% 10/1/2030  |  | 172000 | 155501 |
| Gilead Sciences Inc 4.5% 2/1/2045  |  | 190000 | 169976 |
| Gilead Sciences Inc 4.8% 11/15/2029  |  | 308000 | 317466 |
| Gilead Sciences Inc 5.1% 6/15/2035  |  | 146000 | 151146 |
| Gilead Sciences Inc 5.65% 12/1/2041  |  | 360000 | 377276 |
|  |  |  | 42656297 |
| Health Care Equipment & Supplies - 0.1% |  |  |  |
| Abbott Laboratories 4% 3/15/2031 (c) |  | 729000 | 728423 |
| Abbott Laboratories 4.3% 3/15/2033 (c) |  | 729000 | 728274 |
| Abbott Laboratories 4.65% 3/15/2036 (c) |  | 2714000 | 2714818 |
| Abbott Laboratories 4.75% 3/15/2038 (c) |  | 729000 | 726835 |
| Abbott Laboratories 5.5% 3/15/2056 (c) |  | 729000 | 731506 |
| Abbott Laboratories 5.6% 3/15/2066 (c) |  | 729000 | 729329 |
| AdaptHealth LLC 4.625% 8/1/2029 (o) |  | 143000 | 137206 |
| Avantor Funding Inc 3.875% 11/1/2029 (o) |  | 135000 | 128878 |
| Avantor Funding Inc 4.625% 7/15/2028 (o) |  | 913000 | 904677 |
| Bausch + Lomb Corp 8.375% 10/1/2028 (o) |  | 69000 | 71501 |
| Baxter International Inc 1.73% 4/1/2031  |  | 138000 | 118949 |
| Baxter International Inc 5.65% 12/15/2035  |  | 927000 | 942646 |
| Becton Dickinson & Co 2.823% 5/20/2030  |  | 187000 | 177861 |
| Becton Dickinson & Co 3.7% 6/6/2027  |  | 231000 | 230173 |
| Becton Dickinson & Co 4.874% 2/8/2029  |  | 1250000 | 1280810 |
| GE HealthCare Technologies Inc 4.8% 1/15/2031  |  | 100000 | 102477 |
| GE HealthCare Technologies Inc 5.5% 6/15/2035  |  | 100000 | 104728 |
| GE HealthCare Technologies Inc 5.65% 11/15/2027  |  | 100000 | 102747 |
| Hologic Inc 3.25% 2/15/2029 (o) |  | 601000 | 597882 |
| Hologic Inc 4.625% 2/1/2028 (o) |  | 33000 | 32969 |
| Insulet Corp 6.5% 4/1/2033 (o) |  | 120000 | 124809 |
| Medline Borrower LP 3.875% 4/1/2029 (o) |  | 8202000 | 8066761 |
| Medline Borrower LP 5.25% 10/1/2029 (o) |  | 203000 | 202984 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (o) |  | 350000 | 361190 |
| Medtronic Inc 4.375% 3/15/2035  |  | 129000 | 127721 |
| Solventum Corp 5.45% 3/13/2031  |  | 208000 | 218184 |
| Stryker Corp 3.375% 9/11/2032  | EUR | 2300000 | 2752608 |
| Stryker Corp 4.25% 9/11/2029  |  | 2200000 | 2226900 |
| Stryker Corp 4.625% 3/15/2046  |  | 115000 | 104220 |
| Stryker Corp 5.2% 2/10/2035  |  | 1750000 | 1817025 |
| Teleflex Inc 4.25% 6/1/2028 (o) |  | 260000 | 256058 |
| Zimmer Biomet Holdings Inc 5.5% 2/19/2035  |  | 855000 | 894793 |
|  |  |  | 28445942 |
| Health Care Providers & Services - 0.6% |  |  |  |
| Acadia Healthcare Co Inc 5% 4/15/2029 (o) |  | 215000 | 210582 |
| Acadia Healthcare Co Inc 7.375% 3/15/2033 (o) |  | 100000 | 103235 |
| Accendra Health Inc 4.5% 3/31/2029 (o) |  | 255000 | 161679 |
| Accendra Health Inc 6.625% 4/1/2030 (o) |  | 134000 | 64472 |
| Aetna Inc 4.5% 5/15/2042  |  | 6000 | 5214 |
| Aetna Inc 4.75% 3/15/2044  |  | 95000 | 83663 |
| AHS Hospital Corp 2.78% 7/1/2051  |  | 315000 | 201872 |
| Ascension Health 2.532% 11/15/2029  |  | 295000 | 281271 |
| Ascension Health 3.106% 11/15/2039  |  | 610000 | 498007 |
| BayCare Health System Inc 3.831% 11/15/2050  |  | 2320000 | 1841702 |
| Cardinal Health Inc 3.41% 6/15/2027  |  | 100000 | 99405 |
| Cardinal Health Inc 4.5% 11/15/2044  |  | 100000 | 87133 |
| Cardinal Health Inc 4.5% 9/15/2030  |  | 2900000 | 2941952 |
| Cencora Inc 2.7% 3/15/2031  |  | 5980000 | 5572632 |
| Cencora Inc 4.6% 2/13/2033  |  | 714000 | 719227 |
| Cencora Inc 4.9% 2/13/2036  |  | 3701000 | 3726981 |
| Cencora Inc 5.125% 2/15/2034  |  | 250000 | 259328 |
| Cencora Inc 5.65% 2/13/2056  |  | 47000 | 47260 |
| Centene Corp 2.45% 7/15/2028  |  | 9865000 | 9298043 |
| Centene Corp 2.5% 3/1/2031  |  | 4070000 | 3532283 |
| Centene Corp 2.625% 8/1/2031  |  | 11006000 | 9535316 |
| Centene Corp 3% 10/15/2030  |  | 1673000 | 1506715 |
| Centene Corp 3.375% 2/15/2030  |  | 6720000 | 6231415 |
| Centene Corp 4.25% 12/15/2027  |  | 5569000 | 5535277 |
| Centene Corp 4.625% 12/15/2029  |  | 11062000 | 10793927 |
| Children's Health System of Texas 2.511% 8/15/2050  |  | 360000 | 222424 |
| Children's Hospital Corp/The 4.115% 1/1/2047  |  | 265000 | 227691 |
| CHS/Community Health Systems Inc 10.875% 1/15/2032 (o) |  | 160000 | 173396 |
| Cigna Group/The 2.375% 3/15/2031  |  | 1938000 | 1776276 |
| Cigna Group/The 2.4% 3/15/2030  |  | 1800000 | 1693345 |
| Cigna Group/The 3.2% 3/15/2040  |  | 2554000 | 2041201 |
| Cigna Group/The 3.4% 3/15/2051  |  | 200000 | 140844 |
| Cigna Group/The 4.375% 10/15/2028  |  | 3850000 | 3889938 |
| Cigna Group/The 4.8% 7/15/2046  |  | 100000 | 89733 |
| Cigna Group/The 5.25% 1/15/2036  |  | 3160000 | 3245605 |
| Cigna Group/The 5.4% 3/15/2033  |  | 128000 | 134697 |
| CommonSpirit Health 5.205% 12/1/2031  |  | 9840000 | 10258223 |
| CVS Health Corp 1.3% 8/21/2027  |  | 400000 | 385126 |
| CVS Health Corp 1.75% 8/21/2030  |  | 1275000 | 1146118 |
| CVS Health Corp 1.875% 2/28/2031  |  | 2692000 | 2399793 |
| CVS Health Corp 4.3% 3/25/2028  |  | 542000 | 545183 |
| CVS Health Corp 4.78% 3/25/2038  |  | 1650000 | 1576567 |
| CVS Health Corp 4.875% 7/20/2035  |  | 62000 | 61622 |
| CVS Health Corp 5% 1/30/2029  |  | 1480000 | 1518991 |
| CVS Health Corp 5.05% 3/25/2048  |  | 1445000 | 1288510 |
| CVS Health Corp 5.125% 2/21/2030  |  | 2746000 | 2832289 |
| CVS Health Corp 5.125% 7/20/2045  |  | 1500000 | 1372738 |
| CVS Health Corp 5.3% 6/1/2033  |  | 100000 | 103675 |
| CVS Health Corp 5.45% 9/15/2035  |  | 254000 | 262343 |
| CVS Health Corp 5.55% 6/1/2031  |  | 147000 | 155101 |
| CVS Health Corp 5.875% 6/1/2053  |  | 370000 | 362797 |
| CVS Health Corp 6% 6/1/2044  |  | 214000 | 217291 |
| CVS Health Corp 6.25% 6/1/2027  |  | 100000 | 102812 |
| CVS Health Corp 6.75% 12/10/2054 (g) |  | 655000 | 681315 |
| CVS Health Corp 7% 3/10/2055 (g) |  | 1690000 | 1777586 |
| CVS Health Corp equipment trust certificate 5.773% 1/10/2033 (o) |  | 6394 | 6560 |
| DaVita Inc 3.75% 2/15/2031 (o) |  | 1961000 | 1832540 |
| DaVita Inc 4.625% 6/1/2030 (o) |  | 887000 | 868308 |
| DaVita Inc 6.75% 7/15/2033 (o) |  | 495000 | 513950 |
| DaVita Inc 6.875% 9/1/2032 (o) |  | 130000 | 135081 |
| Elevance Health Inc 3.6% 3/15/2051  |  | 100000 | 72006 |
| Elevance Health Inc 3.65% 12/1/2027  |  | 1260000 | 1255075 |
| Elevance Health Inc 4.101% 3/1/2028  |  | 2001000 | 2006742 |
| Elevance Health Inc 4.375% 12/1/2047  |  | 100000 | 83663 |
| Elevance Health Inc 4.625% 5/15/2042  |  | 1770000 | 1610672 |
| Elevance Health Inc 4.65% 1/15/2043  |  | 100000 | 90380 |
| Elevance Health Inc 4.95% 11/1/2031  |  | 7265000 | 7473731 |
| Elevance Health Inc 5% 1/15/2036  |  | 840000 | 844685 |
| Elevance Health Inc 5.2% 2/15/2035  |  | 2590000 | 2663032 |
| Elevance Health Inc 5.65% 6/15/2054  |  | 139000 | 135726 |
| Elevance Health Inc 5.85% 1/15/2036  |  | 143000 | 152158 |
| Encompass Health Corp 4.625% 4/1/2031  |  | 46000 | 45160 |
| Encompass Health Corp 4.75% 2/1/2030  |  | 406000 | 403866 |
| HCA Inc 2.375% 7/15/2031  |  | 775000 | 699931 |
| HCA Inc 3.5% 7/15/2051  |  | 553000 | 381728 |
| HCA Inc 3.5% 9/1/2030  |  | 2744000 | 2658291 |
| HCA Inc 4.125% 6/15/2029  |  | 8390000 | 8398231 |
| HCA Inc 4.5% 2/15/2027  |  | 709000 | 710189 |
| HCA Inc 4.6% 11/15/2032  |  | 1192000 | 1193939 |
| HCA Inc 5.2% 6/1/2028  |  | 3210000 | 3290384 |
| HCA Inc 5.25% 3/1/2030  |  | 405000 | 420339 |
| HCA Inc 5.25% 6/15/2049  |  | 700000 | 641744 |
| HCA Inc 5.45% 4/1/2031  |  | 1567000 | 1640948 |
| HCA Inc 5.45% 9/15/2034  |  | 378000 | 392482 |
| HCA Inc 5.5% 6/15/2047  |  | 90000 | 85802 |
| HCA Inc 5.6% 4/1/2034  |  | 510000 | 535544 |
| HCA Inc 5.625% 9/1/2028  |  | 5149000 | 5313255 |
| HCA Inc 5.75% 3/1/2035  |  | 415000 | 439308 |
| HCA Inc 5.9% 6/1/2053  |  | 100000 | 98471 |
| HCA Inc 5.95% 9/15/2054  |  | 350000 | 348357 |
| HCA Inc 6% 4/1/2054  |  | 354000 | 354273 |
| HCA Inc 7.75% 7/15/2036  |  | 2675000 | 3189462 |
| HealthEquity Inc 4.5% 10/1/2029 (o) |  | 260000 | 253245 |
| Humana Inc 5.375% 4/15/2031  |  | 200000 | 206115 |
| Humana Inc 5.55% 5/1/2035  |  | 2650000 | 2696597 |
| Icon Investments Six DAC 5.809% 5/8/2027  |  | 800000 | 807152 |
| Kaiser Foundation Hospitals 2.81% 6/1/2041  |  | 5570000 | 4229283 |
| Kaiser Foundation Hospitals 3.002% 6/1/2051  |  | 975000 | 659963 |
| LifePoint Health Inc 11% 10/15/2030 (o) |  | 100000 | 108612 |
| Memorial Sloan-Kettering Cancer Center 2.955% 1/1/2050  |  | 290000 | 197219 |
| Memorial Sloan-Kettering Cancer Center 5% 7/1/2042  |  | 350000 | 344263 |
| Methodist Hospital/The 2.705% 12/1/2050  |  | 820000 | 523203 |
| ModivCare Inc 10% 10/1/2029 pay-in-kind (l)(m)(o)(p) |  | 1115100 | 11151 |
| Molina Healthcare Inc 3.875% 11/15/2030 (o) |  | 100000 | 91093 |
| Molina Healthcare Inc 3.875% 5/15/2032 (o) |  | 155000 | 136894 |
| Molina Healthcare Inc 6.25% 1/15/2033 (o) |  | 1430000 | 1406714 |
| Molina Healthcare Inc 6.5% 2/15/2031 (o) |  | 275000 | 275879 |
| New York and Presbyterian Hospital/The 4.024% 8/1/2045  |  | 600000 | 511016 |
| NYU Langone Hospitals 4.368% 7/1/2047  |  | 810000 | 715643 |
| OhioHealth Corp 2.297% 11/15/2031  |  | 8505000 | 7765017 |
| Orlando Health Obligated Group 5.475% 10/1/2035  |  | 1745000 | 1856149 |
| PeaceHealth Obligated Group 4.335% 11/15/2028  |  | 815000 | 820709 |
| Piedmont Healthcare Inc 2.719% 1/1/2042  |  | 1780000 | 1299673 |
| Piedmont Healthcare Inc 2.864% 1/1/2052  |  | 1055000 | 679163 |
| Providence St Joseph Health Obligated Group 2.532% 10/1/2029  |  | 2405000 | 2276767 |
| Providence St Joseph Health Obligated Group 2.746% 10/1/2026  |  | 180000 | 178783 |
| Quest Diagnostics Inc 4.625% 12/15/2029  |  | 4830000 | 4938858 |
| Quest Diagnostics Inc 6.4% 11/30/2033  |  | 150000 | 167705 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 8620000 | 7971837 |
| Sentara Health 2.927% 11/1/2051  |  | 565000 | 376082 |
| Stanford Health Care 3.027% 8/15/2051  |  | 680000 | 464138 |
| Star Parent Inc 9% 10/1/2030 (o) |  | 541000 | 549096 |
| Sutter Health 4.091% 8/15/2048  |  | 780000 | 644263 |
| Tenet Healthcare Corp 4.25% 6/1/2029  |  | 1673000 | 1646245 |
| Tenet Healthcare Corp 4.375% 1/15/2030  |  | 440000 | 431982 |
| Tenet Healthcare Corp 4.625% 6/15/2028  |  | 3374000 | 3369379 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 2545000 | 2546482 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (o) |  | 260000 | 263232 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 848000 | 864920 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 2792000 | 2844595 |
| UnitedHealth Group Inc 2.75% 5/15/2040  |  | 955000 | 720657 |
| UnitedHealth Group Inc 3.05% 5/15/2041  |  | 2030000 | 1558078 |
| UnitedHealth Group Inc 3.25% 5/15/2051  |  | 3742000 | 2562500 |
| UnitedHealth Group Inc 3.5% 8/15/2039  |  | 1025000 | 860396 |
| UnitedHealth Group Inc 3.75% 10/15/2047  |  | 32000 | 24590 |
| UnitedHealth Group Inc 3.875% 8/15/2059  |  | 23000 | 16696 |
| UnitedHealth Group Inc 3.95% 10/15/2042  |  | 17000 | 14242 |
| UnitedHealth Group Inc 4.25% 4/15/2047  |  | 770000 | 640433 |
| UnitedHealth Group Inc 4.25% 6/15/2048  |  | 575000 | 474937 |
| UnitedHealth Group Inc 4.4% 6/15/2028  |  | 5000000 | 5062383 |
| UnitedHealth Group Inc 4.5% 4/15/2033  |  | 4285000 | 4279678 |
| UnitedHealth Group Inc 4.625% 11/15/2041  |  | 110000 | 101324 |
| UnitedHealth Group Inc 4.8% 1/15/2030  |  | 6450000 | 6634624 |
| UnitedHealth Group Inc 5.05% 4/15/2053  |  | 195000 | 177269 |
| UnitedHealth Group Inc 5.5% 7/15/2044  |  | 4505000 | 4487186 |
| UnitedHealth Group Inc 5.625% 7/15/2054  |  | 880000 | 868207 |
| UnitedHealth Group Inc 5.7% 10/15/2040  |  | 656000 | 686570 |
| UnitedHealth Group Inc 5.75% 7/15/2064  |  | 105000 | 103434 |
| UnitedHealth Group Inc 5.8% 3/15/2036  |  | 820000 | 880070 |
| UnitedHealth Group Inc 5.875% 2/15/2053  |  | 43000 | 43731 |
| UnitedHealth Group Inc 6.875% 2/15/2038  |  | 48000 | 55685 |
| UPMC 5.035% 5/15/2033  |  | 800000 | 823337 |
| UPMC 5.377% 5/15/2043  |  | 655000 | 655249 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (o) |  | 130000 | 130041 |
|  |  |  | 241998268 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 5% 10/15/2026 (o) |  | 470000 | 469491 |
| IQVIA Inc 5.7% 5/15/2028  |  | 3150000 | 3243870 |
| IQVIA Inc 6.25% 6/1/2032 (o) |  | 1510000 | 1553301 |
| IQVIA Inc 6.5% 5/15/2030 (o) |  | 85000 | 87398 |
|  |  |  | 5354060 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Agilent Technologies Inc 2.3% 3/12/2031  |  | 1245000 | 1136934 |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (o) |  | 557000 | 536088 |
| Charles River Laboratories International Inc 4.25% 5/1/2028 (o) |  | 175000 | 172672 |
| Illumina Inc 4.65% 9/9/2026  |  | 4500000 | 4514988 |
| Thermo Fisher Scientific Inc 2.8% 10/15/2041  |  | 620000 | 466450 |
| Thermo Fisher Scientific Inc 4.55% 6/15/2033  |  | 251000 | 253851 |
| Thermo Fisher Scientific Inc 4.902% 2/12/2036  |  | 236000 | 240092 |
|  |  |  | 7321075 |
| Pharmaceuticals - 0.1% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (o) |  | 1590000 | 1644271 |
| Bristol-Myers Squibb Co 2.35% 11/13/2040  |  | 407000 | 294220 |
| Bristol-Myers Squibb Co 3.4% 7/26/2029  |  | 270000 | 266221 |
| Bristol-Myers Squibb Co 3.7% 3/15/2052  |  | 290000 | 216648 |
| Bristol-Myers Squibb Co 3.9% 3/15/2062  |  | 260000 | 191942 |
| Bristol-Myers Squibb Co 4.125% 6/15/2039  |  | 300000 | 275760 |
| Bristol-Myers Squibb Co 4.35% 11/15/2047  |  | 77000 | 65956 |
| Bristol-Myers Squibb Co 4.9% 2/22/2029  |  | 220000 | 227264 |
| Bristol-Myers Squibb Co 5.1% 2/22/2031  |  | 100000 | 104586 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  |  | 143000 | 149672 |
| Bristol-Myers Squibb Co 5.5% 2/22/2044  |  | 298000 | 304701 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  |  | 489000 | 485122 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (g) |  | 1693000 | 1760046 |
| Eli Lilly & Co 3.375% 3/15/2029  |  | 134000 | 132760 |
| Eli Lilly & Co 4% 10/15/2028  |  | 4400000 | 4441200 |
| Eli Lilly & Co 4.2% 8/14/2029  |  | 294000 | 298047 |
| Eli Lilly & Co 4.6% 8/14/2034  |  | 3266000 | 3316270 |
| Eli Lilly & Co 4.7% 2/27/2033  |  | 172000 | 176929 |
| Eli Lilly & Co 4.7% 2/9/2034  |  | 3179000 | 3252556 |
| Eli Lilly & Co 4.95% 2/27/2063  |  | 320000 | 290884 |
| Eli Lilly & Co 5.05% 8/14/2054  |  | 332000 | 314093 |
| Eli Lilly & Co 5.1% 2/9/2064  |  | 58000 | 53954 |
| Endo Finance Holdings LP 8.5% 4/15/2031 (o) |  | 100000 | 106279 |
| Haleon US Capital LLC 3.375% 3/24/2027  |  | 250000 | 248790 |
| Haleon US Capital LLC 3.625% 3/24/2032  |  | 1305000 | 1257397 |
| Jazz Securities DAC 4.375% 1/15/2029 (o) |  | 95000 | 93659 |
| Johnson & Johnson 2.1% 9/1/2040  |  | 10000 | 7216 |
| Johnson & Johnson 3.4% 1/15/2038  |  | 181000 | 161405 |
| Johnson & Johnson 3.625% 3/3/2037  |  | 100000 | 92157 |
| Johnson & Johnson 4.5% 12/5/2043  |  | 136000 | 128935 |
| Johnson & Johnson 4.8% 6/1/2029  |  | 243000 | 251579 |
| Johnson & Johnson 5.85% 7/15/2038  |  | 43000 | 47991 |
| Merck & Co Inc 2.9% 12/10/2061  |  | 140000 | 83031 |
| Merck & Co Inc 3.4% 3/7/2029  |  | 352000 | 348769 |
| Merck & Co Inc 3.6% 9/15/2042  |  | 109000 | 89843 |
| Merck & Co Inc 4% 3/7/2049  |  | 200000 | 162851 |
| Merck & Co Inc 4.15% 3/15/2031  |  | 170000 | 171157 |
| Merck & Co Inc 5.5% 3/15/2046  |  | 209000 | 211468 |
| Merck & Co Inc 5.55% 12/4/2055  |  | 1620000 | 1624493 |
| Merck & Co Inc 6.5% 12/1/2033 (p) |  | 100000 | 114088 |
| Merck & Co Inc 6.55% 9/15/2037  |  | 223000 | 258019 |
| Mylan Inc 5.2% 4/15/2048  |  | 910000 | 757779 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (o) |  | 690000 | 677349 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (o) |  | 875000 | 777530 |
| Perrigo Finance Unlimited Co 4.9% 6/15/2030 (p) |  | 200000 | 193526 |
| Perrigo Finance Unlimited Co 6.125% 9/30/2032  |  | 270000 | 264189 |
| Pfizer Inc 2.625% 4/1/2030  |  | 53000 | 50435 |
| Pfizer Inc 3.9% 3/15/2039  |  | 86000 | 77473 |
| Pfizer Inc 4.2% 11/15/2030  |  | 15000 | 15153 |
| Pfizer Inc 4.2% 9/15/2048  |  | 114000 | 95942 |
| Pfizer Inc 4.3% 6/15/2043  |  | 117000 | 104371 |
| Pfizer Inc 4.4% 5/15/2044  |  | 280000 | 254478 |
| Pfizer Inc 4.875% 11/15/2035  |  | 738000 | 751907 |
| Pfizer Inc 5.6% 9/15/2040  |  | 251000 | 264602 |
| Pfizer Inc 7.2% 3/15/2039  |  | 238000 | 287510 |
| Pfizer Investment Enterprises Pte Ltd 4.45% 5/19/2028  |  | 499000 | 506346 |
| Pfizer Investment Enterprises Pte Ltd 4.65% 5/19/2030  |  | 442000 | 453169 |
| Pfizer Investment Enterprises Pte Ltd 5.3% 5/19/2053  |  | 475000 | 454801 |
| Roche Holdings Inc 4.79% 3/8/2029 (o) |  | 250000 | 257234 |
| Royalty Pharma PLC 1.75% 9/2/2027  |  | 290000 | 280700 |
| Royalty Pharma PLC 4.450% 3/25/2031  |  | 8100000 | 8150985 |
| Royalty Pharma PLC 5.4% 9/2/2034  |  | 100000 | 103487 |
| Takeda US Financing Inc 5.2% 7/7/2035  |  | 200000 | 205719 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 4915000 | 4909434 |
| Utah Acquisition Sub Inc 5.25% 6/15/2046  |  | 695000 | 585514 |
| Viatris Inc 2.3% 6/22/2027  |  | 120000 | 117038 |
| Viatris Inc 3.85% 6/22/2040  |  | 12410000 | 9770230 |
| Wyeth LLC 6.5% 2/1/2034  |  | 225000 | 254743 |
| Zoetis Inc 2% 5/15/2030  |  | 173000 | 159809 |
| Zoetis Inc 3% 9/12/2027  |  | 112000 | 110673 |
| Zoetis Inc 4.15% 8/17/2028  |  | 6100000 | 6146428 |
| Zoetis Inc 5% 8/17/2035  |  | 495000 | 504951 |
| Zoetis Inc 5.6% 11/16/2032  |  | 141000 | 151208 |
|  |  |  | 61416942 |
| TOTAL HEALTH CARE |  |  | 387192584 |
| Industrials - 0.5% |  |  |  |
| Aerospace & Defense - 0.3% |  |  |  |
| ATI Inc 4.875% 10/1/2029  |  | 70000 | 69909 |
| ATI Inc 5.875% 12/1/2027  |  | 348000 | 348133 |
| Axon Enterprise Inc 6.125% 3/15/2030 (o) |  | 345000 | 355566 |
| Axon Enterprise Inc 6.25% 3/15/2033 (o) |  | 145000 | 150295 |
| Boeing Co 2.25% 6/15/2026  |  | 810000 | 805378 |
| Boeing Co 3.25% 2/1/2035  |  | 3280000 | 2924021 |
| Boeing Co 3.375% 6/15/2046  |  | 1375000 | 988026 |
| Boeing Co 3.55% 3/1/2038  |  | 1335000 | 1147477 |
| Boeing Co 3.6% 5/1/2034  |  | 1235000 | 1139124 |
| Boeing Co 3.625% 2/1/2031  |  | 500000 | 485671 |
| Boeing Co 3.75% 2/1/2050  |  | 646000 | 479660 |
| Boeing Co 3.9% 5/1/2049  |  | 1785000 | 1364571 |
| Boeing Co 5.04% 5/1/2027  |  | 4200000 | 4244162 |
| Boeing Co 5.15% 5/1/2030  |  | 10838000 | 11225346 |
| Boeing Co 5.705% 5/1/2040  |  | 3235000 | 3365808 |
| Boeing Co 5.805% 5/1/2050  |  | 1395000 | 1400636 |
| Boeing Co 5.93% 5/1/2060  |  | 5583000 | 5599298 |
| Boeing Co 6.259% 5/1/2027  |  | 524000 | 536805 |
| Boeing Co 6.298% 5/1/2029  |  | 3871000 | 4125123 |
| Boeing Co 6.388% 5/1/2031  |  | 1417000 | 1548882 |
| Boeing Co 6.528% 5/1/2034  |  | 1517000 | 1700825 |
| Boeing Co 7.008% 5/1/2064  |  | 2743000 | 3180453 |
| BWX Technologies Inc 4.125% 4/15/2029 (o) |  | 442000 | 432691 |
| BWX Technologies Inc 4.125% 6/30/2028 (o) |  | 220000 | 217889 |
| Carpenter Technology Corp 5.625% 3/1/2034 (o) |  | 180000 | 183542 |
| HEICO Corp 5.25% 8/1/2028  |  | 1220000 | 1255705 |
| Howmet Aerospace Inc 3.9% 4/15/2029 (c) |  | 102000 | 102101 |
| Howmet Aerospace Inc 4.75% 4/15/2036 (c) |  | 102000 | 102319 |
| Howmet Aerospace Inc 4.85% 10/15/2031  |  | 4900000 | 5086653 |
| Huntington Ingalls Industries Inc 5.353% 1/15/2030  |  | 5600000 | 5810751 |
| L3Harris Technologies Inc 5.25% 6/1/2031  |  | 107000 | 112122 |
| L3Harris Technologies Inc 5.35% 6/1/2034  |  | 37000 | 38607 |
| L3Harris Technologies Inc 5.4% 1/15/2027  |  | 3030000 | 3070165 |
| L3Harris Technologies Inc 5.6% 7/31/2053  |  | 120000 | 120796 |
| Lockheed Martin Corp 4.09% 9/15/2052  |  | 235000 | 190567 |
| Lockheed Martin Corp 4.15% 6/15/2053  |  | 290000 | 237109 |
| Lockheed Martin Corp 4.7% 5/15/2046  |  | 350000 | 322766 |
| Lockheed Martin Corp 6.15% 9/1/2036  |  | 262000 | 294610 |
| Moog Inc 4.25% 12/15/2027 (o) |  | 360000 | 359000 |
| Northrop Grumman Corp 4.03% 10/15/2047  |  | 98000 | 80397 |
| Northrop Grumman Corp 4.75% 6/1/2043  |  | 645000 | 606252 |
| Northrop Grumman Corp 4.95% 3/15/2053  |  | 74000 | 68028 |
| RTX Corp 1.9% 9/1/2031  |  | 210000 | 186915 |
| RTX Corp 3.03% 3/15/2052  |  | 200000 | 132976 |
| RTX Corp 3.125% 5/4/2027  |  | 351000 | 348246 |
| RTX Corp 3.125% 7/1/2050  |  | 187000 | 128518 |
| RTX Corp 3.75% 11/1/2046  |  | 130000 | 103088 |
| RTX Corp 4.05% 5/4/2047  |  | 110000 | 90864 |
| RTX Corp 4.5% 6/1/2042  |  | 138000 | 127165 |
| RTX Corp 4.8% 12/15/2043  |  | 100000 | 93636 |
| RTX Corp 5.15% 2/27/2033  |  | 186000 | 194651 |
| RTX Corp 5.375% 2/27/2053  |  | 126000 | 122908 |
| RTX Corp 6.1% 3/15/2034  |  | 138000 | 152578 |
| RTX Corp 6.4% 3/15/2054  |  | 100000 | 111746 |
| RTX Corp 7.5% 9/15/2029  |  | 100000 | 111759 |
| Textron Inc 2.45% 3/15/2031  |  | 3245000 | 2977394 |
| Textron Inc 3% 6/1/2030  |  | 550000 | 526538 |
| Textron Inc 4.95% 3/15/2036  |  | 925000 | 929738 |
| TransDigm Inc 6% 1/15/2033 (o) |  | 615000 | 625879 |
| TransDigm Inc 6.125% 7/31/2034 (o) |  | 65000 | 66023 |
| TransDigm Inc 6.25% 1/31/2034 (o) |  | 40000 | 41379 |
| TransDigm Inc 6.375% 3/1/2029 (o) |  | 830000 | 851788 |
| TransDigm Inc 6.375% 5/31/2033 (o) |  | 630000 | 642999 |
| TransDigm Inc 6.625% 3/1/2032 (o) |  | 610000 | 631955 |
| TransDigm Inc 6.75% 1/31/2034 (o) |  | 220000 | 228312 |
| TransDigm Inc 6.75% 8/15/2028 (o) |  | 100000 | 101750 |
| TransDigm Inc 7.125% 12/1/2031 (o) |  | 100000 | 104809 |
|  |  |  | 75510853 |
| Air Freight & Logistics - 0.0% |  |  |  |
| FedEx Corp 2.4% 5/15/2031  |  | 116000 | 106652 |
| FedEx Corp 4.1% 2/1/2045  |  | 110000 | 90950 |
| FedEx Corp 4.75% 11/15/2045  |  | 100000 | 89681 |
| GXO Logistics Inc 6.25% 5/6/2029  |  | 800000 | 844599 |
| Rand Parent LLC 8.5% 2/15/2030 (o) |  | 290000 | 302505 |
| United Parcel Service Inc 3.75% 11/15/2047  |  | 244000 | 192142 |
| United Parcel Service Inc 5.3% 4/1/2050  |  | 186000 | 180700 |
|  |  |  | 1807229 |
| Building Products - 0.0% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (o) |  | 135000 | 136029 |
| Builders FirstSource Inc 4.25% 2/1/2032 (o) |  | 975000 | 929877 |
| Builders FirstSource Inc 5% 3/1/2030 (o) |  | 210000 | 208446 |
| Builders FirstSource Inc 6.375% 3/1/2034 (o) |  | 100000 | 103001 |
| Builders FirstSource Inc 6.75% 5/15/2035 (o) |  | 190000 | 198277 |
| Carlisle Cos Inc 2.2% 3/1/2032  |  | 1890000 | 1671299 |
| Carlisle Cos Inc 5.25% 9/15/2035  |  | 1200000 | 1238401 |
| Carrier Global Corp 2.7% 2/15/2031  |  | 167000 | 156471 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 2541000 | 2749128 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 392000 | 431380 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.375% 12/15/2030 (q) | EUR | 200000 | 245175 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (o) |  | 1697000 | 1756387 |
| Griffon Corp 5.75% 3/1/2028  |  | 431000 | 430775 |
| JELD-WEN Inc 4.875% 12/15/2027 (o) |  | 1077000 | 881461 |
| JH North America Holdings Inc 6.125% 7/31/2032 (o) |  | 310000 | 318170 |
| Masterbrand Inc 7% 7/15/2032 (o) |  | 320000 | 322059 |
| Miter Brands Acquisition Holdco Inc / MIWD Borrower LLC 6.75% 4/1/2032 (o) |  | 515000 | 519275 |
| Owens Corning 3.95% 8/15/2029  |  | 1305000 | 1299622 |
| Standard Building Solutions Inc 5.875% 3/15/2034 (o) |  | 65000 | 64841 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (o) |  | 190000 | 193544 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (o) |  | 235000 | 241894 |
| Standard Industries Inc/NY 3.375% 1/15/2031 (o) |  | 412000 | 380300 |
| Standard Industries Inc/NY 4.375% 7/15/2030 (o) |  | 896000 | 864407 |
| Standard Industries Inc/NY 4.75% 1/15/2028 (o) |  | 3618000 | 3606699 |
|  |  |  | 18946918 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| ACCO Brands Corp 4.25% 3/15/2029 (o) |  | 462000 | 425023 |
| ADT Security Corp/The 4.125% 8/1/2029 (o) |  | 373000 | 363911 |
| ADT Security Corp/The 4.875% 7/15/2032 (o) |  | 263000 | 255130 |
| Advocate Health & Hospitals Corp 3.387% 10/15/2049  |  | 510000 | 378459 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6% 6/1/2029 (o) |  | 775000 | 766808 |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (o) |  | 805000 | 837886 |
| Allied Universal Holdco LLC 7.875% 2/15/2031 (o) |  | 100000 | 105651 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (o) |  | 1030000 | 1022309 |
| Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl 4.625% 6/1/2028 (o) |  | 520000 | 515062 |
| Artera Services LLC 8.5% 2/15/2031 (o) |  | 645000 | 539199 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (o) |  | 160000 | 149419 |
| Clean Harbors Inc 5.125% 7/15/2029 (o) |  | 85000 | 84967 |
| Clean Harbors Inc 5.75% 10/15/2033 (o) |  | 130000 | 133073 |
| Clean Harbors Inc 6.375% 2/1/2031 (o) |  | 220000 | 225879 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 175000 | 181730 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 100000 | 107368 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 315000 | 327763 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (o) |  | 105000 | 105378 |
| GFL Environmental Inc 4% 8/1/2028 (o) |  | 345000 | 339661 |
| GFL Environmental Inc 4.75% 6/15/2029 (o) |  | 513000 | 509675 |
| GFL Environmental Inc 6.75% 1/15/2031 (o) |  | 997000 | 1045703 |
| Neptune Bidco US Inc 10.375% 5/15/2031 (o) |  | 91000 | 91846 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (o) |  | 260000 | 260650 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (o) |  | 130000 | 127243 |
| Prime Security Services Borrower LLC / Prime Finance Inc 3.375% 8/31/2027 (o) |  | 525000 | 516671 |
| Republic Services Inc 5% 11/15/2029  |  | 100000 | 103680 |
| Rollins Inc 5.25% 2/24/2035  |  | 2660000 | 2734239 |
| VT Topco Inc 8.5% 8/15/2030 (o) |  | 734000 | 729172 |
| Waste Management Inc 2% 6/1/2029  |  | 276000 | 260619 |
| Waste Management Inc 4.625% 2/15/2030  |  | 220000 | 225241 |
| Waste Pro USA Inc 7% 2/1/2033 (o) |  | 100000 | 104075 |
| Williams Scotsman Inc 4.625% 8/15/2028 (o) |  | 120000 | 119322 |
| Williams Scotsman Inc 6.625% 4/15/2030 (o) |  | 240000 | 248651 |
| Williams Scotsman Inc 6.625% 6/15/2029 (o) |  | 800000 | 826358 |
| Williams Scotsman Inc 7.375% 10/1/2031 (o) |  | 260000 | 272208 |
|  |  |  | 15040029 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (o) |  | 695000 | 710125 |
| Dycom Industries Inc 4.5% 4/15/2029 (o) |  | 492000 | 484448 |
| MasTec Inc 5.9% 6/15/2029  |  | 610000 | 640250 |
| MasTec Inc 6.625% 8/15/2029 (o) |  | 43000 | 43439 |
| Maxim Crane Works Holdings Capital LLC 11.5% 9/1/2028 (o) |  | 900000 | 949700 |
| Quanta Services Inc 4.5% 1/15/2031  |  | 415000 | 419906 |
| Quanta Services Inc 4.75% 8/9/2027  |  | 1040000 | 1051307 |
| Quanta Services Inc 5.25% 8/9/2034  |  | 479000 | 496312 |
|  |  |  | 4795487 |
| Electrical Equipment - 0.0% |  |  |  |
| EnerSys 4.375% 12/15/2027 (o) |  | 31000 | 30871 |
| EnerSys 6.625% 1/15/2032 (o) |  | 230000 | 237241 |
| Regal Rexnord Corp 6.05% 4/15/2028  |  | 500000 | 518461 |
| Regal Rexnord Corp 6.4% 4/15/2033  |  | 49000 | 53279 |
| Sensata Technologies BV 4% 4/15/2029 (o) |  | 105000 | 102775 |
| Vertiv Group Corp 4.125% 11/15/2028 (o) |  | 195000 | 194212 |
| Vertiv Holdings Co 4.85% 3/15/2036  |  | 40000 | 39846 |
| Vertiv Holdings Co 5.65% 3/15/2046  |  | 50000 | 49659 |
| Vertiv Holdings Co 5.8% 3/15/2056  |  | 25000 | 25042 |
| Vertiv Holdings Co 5.95% 3/15/2066  |  | 45000 | 44817 |
| WESCO Distribution Inc 5.25% 4/15/2031 (o) |  | 855000 | 853487 |
| WESCO Distribution Inc 5.5% 4/15/2034 (o) |  | 460000 | 463570 |
| WESCO Distribution Inc 6.375% 3/15/2029 (o) |  | 840000 | 863544 |
| WESCO Distribution Inc 6.375% 3/15/2033 (o) |  | 285000 | 297147 |
| WESCO Distribution Inc 6.625% 3/15/2032 (o) |  | 1070000 | 1113088 |
| WESCO Distribution Inc 7.25% 6/15/2028 (o) |  | 1025000 | 1032477 |
|  |  |  | 5919516 |
| Ground Transportation - 0.1% |  |  |  |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.375% 3/1/2029 (o) |  | 68000 | 65104 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 5.75% 7/15/2027 (o) |  | 328000 | 327562 |
| Avis Budget Car Rental LLC / Avis Budget Finance Inc 8% 2/15/2031 (o) |  | 235000 | 232944 |
| Burlington Northern Santa Fe LLC 3.55% 2/15/2050  |  | 325000 | 242746 |
| Burlington Northern Santa Fe LLC 4.15% 4/1/2045  |  | 154000 | 131516 |
| Burlington Northern Santa Fe LLC 4.375% 9/1/2042  |  | 73000 | 65721 |
| Burlington Northern Santa Fe LLC 4.45% 1/15/2053  |  | 100000 | 85560 |
| Burlington Northern Santa Fe LLC 4.9% 4/1/2044  |  | 100000 | 95250 |
| Burlington Northern Santa Fe LLC 5.2% 4/15/2054  |  | 1082000 | 1034498 |
| Burlington Northern Santa Fe LLC 5.4% 6/1/2041  |  | 117000 | 120414 |
| Burlington Northern Santa Fe LLC 5.5% 3/15/2055  |  | 885000 | 883888 |
| CSX Corp 3.35% 9/15/2049  |  | 113000 | 81325 |
| CSX Corp 4.75% 5/30/2042  |  | 225000 | 211888 |
| CSX Corp 6.15% 5/1/2037  |  | 1575000 | 1749175 |
| Fedex Freight Holding Co Inc 4.65% 3/15/2031 (o) |  | 1850000 | 1860160 |
| Fedex Freight Holding Co Inc 5.25% 3/15/2036 (o) |  | 1135000 | 1131489 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (o) |  | 560000 | 577212 |
| Norfolk Southern Corp 3.942% 11/1/2047  |  | 126000 | 100916 |
| Norfolk Southern Corp 3.95% 10/1/2042  |  | 100000 | 84631 |
| Norfolk Southern Corp 4.05% 8/15/2052  |  | 167000 | 131525 |
| Norfolk Southern Corp 5.55% 3/15/2034  |  | 100000 | 106444 |
| Uber Technologies Inc 4.15% 1/15/2031  |  | 2356000 | 2346774 |
| Uber Technologies Inc 4.8% 9/15/2034  |  | 4265000 | 4277365 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 2938000 | 2924576 |
| Uber Technologies Inc 5.35% 9/15/2054  |  | 90000 | 85824 |
| Union Pacific Corp 2.4% 2/5/2030  |  | 244000 | 230717 |
| Union Pacific Corp 3.5% 2/14/2053  |  | 190000 | 137271 |
| Union Pacific Corp 3.6% 9/15/2037  |  | 1148000 | 1036555 |
| Union Pacific Corp 3.7% 3/1/2029  |  | 421000 | 420050 |
| Union Pacific Corp 3.95% 8/15/2059  |  | 110000 | 83330 |
| Union Pacific Corp 3.95% 9/10/2028  |  | 110000 | 110503 |
| Union Pacific Corp 4.05% 11/15/2045  |  | 163000 | 135975 |
| XPO Inc 6.25% 6/1/2028 (o) |  | 213000 | 216424 |
| XPO Inc 7.125% 2/1/2032 (o) |  | 850000 | 890786 |
| XPO Inc 7.125% 6/1/2031 (o) |  | 940000 | 976767 |
|  |  |  | 23192885 |
| Industrial Conglomerates - 0.0% |  |  |  |
| 3M Co 3.05% 4/15/2030  |  | 100000 | 96354 |
| 3M Co 3.875% 6/15/2044  |  | 354000 | 290884 |
| 3M Co 4.8% 3/15/2030  |  | 100000 | 102819 |
| Honeywell International Inc 1.1% 3/1/2027  |  | 102000 | 99374 |
| Honeywell International Inc 4.5% 1/15/2034  |  | 100000 | 100558 |
| Honeywell International Inc 4.65% 7/30/2027  |  | 100000 | 101246 |
| Honeywell International Inc 4.95% 9/1/2031  |  | 100000 | 104504 |
| Honeywell International Inc 5.25% 3/1/2054  |  | 330000 | 317508 |
| Honeywell International Inc 5.7% 3/15/2037  |  | 118000 | 127724 |
|  |  |  | 1340971 |
| Machinery - 0.1% |  |  |  |
| Allison Transmission Inc 3.75% 1/30/2031 (o) |  | 366000 | 348160 |
| Allison Transmission Inc 4.75% 10/1/2027 (o) |  | 7000 | 6992 |
| Allison Transmission Inc 5.875% 12/1/2033 (o) |  | 255000 | 260411 |
| Allison Transmission Inc 5.875% 6/1/2029 (o) |  | 361000 | 364755 |
| Beach Acquisition Bidco LLC 5.3% 7/15/2032 (q) | EUR | 100000 | 121219 |
| Caterpillar Financial Services Corp 4.4% 10/15/2027  |  | 4000000 | 4045191 |
| Caterpillar Financial Services Corp 4.85% 2/27/2029  |  | 189000 | 195100 |
| Caterpillar Inc 3.803% 8/15/2042  |  | 72000 | 61547 |
| Caterpillar Inc 5.2% 5/15/2035  |  | 124000 | 129904 |
| Chart Industries Inc 7.5% 1/1/2030 (o) |  | 959000 | 996221 |
| Columbus McKinnon Corp/NY 7.125% 2/1/2033 (o) |  | 5000 | 5139 |
| Eaton Corp 4.15% 11/2/2042  |  | 73000 | 64679 |
| Enpro Inc 6.125% 6/1/2033 (o) |  | 185000 | 190929 |
| Esab Corp 6.25% 4/15/2029 (o) |  | 443000 | 454101 |
| Flowserve Corp 2.8% 1/15/2032  |  | 405000 | 368044 |
| IDEX Corp 4.95% 9/1/2029  |  | 2190000 | 2249151 |
| Oregon Tool Lux LP 7.875% 10/15/2029 (l)(o) |  | 298350 | 128291 |
| Parker-Hannifin Corp 4.25% 9/15/2027  |  | 100000 | 100629 |
| Pentair Finance Sarl 4.5% 7/1/2029  |  | 9495000 | 9586743 |
| Terex Corp 5% 5/15/2029 (o) |  | 200000 | 199669 |
| Terex Corp 6.25% 10/15/2032 (o) |  | 265000 | 272915 |
| Trinity Industries Inc 7.75% 7/15/2028 (o) |  | 325000 | 334370 |
| Wabash National Corp 4.5% 10/15/2028 (o) |  | 295000 | 271745 |
| Westinghouse Air Brake Technologies Corp 3.45% 11/15/2026  |  | 1490000 | 1484588 |
| Westinghouse Air Brake Technologies Corp 4.7% 9/15/2028 (p) |  | 10335000 | 10496239 |
|  |  |  | 32736732 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (o) |  | 80000 | 81534 |
| American Airlines 2017-2 Class AA Pass Through Trust equipment trust certificate 3.35% 4/15/2031  |  | 297042 | 290248 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.5% 4/20/2026 (o) |  | 45169 | 45230 |
| American Airlines Inc/AAdvantage Loyalty IP Ltd 5.75% 4/20/2029 (o) |  | 2515520 | 2543962 |
| Delta Air Lines 2020-1 Class A Pass Through Trust equipment trust certificate 2% 12/10/2029  |  | 204696 | 196239 |
| JetBlue 2020-1 Class A Pass Through Trust 4% 5/15/2034  |  | 134563 | 128735 |
| JetBlue Airways Corp / JetBlue Loyalty LP 9.875% 9/20/2031 (o) |  | 355000 | 360767 |
| JetBlue Airways Corp equipment trust certificate 2.75% 11/15/2033  |  | 1295216 | 1174703 |
| Southwest Airlines Co 4.375% 11/15/2028  |  | 1035000 | 1043862 |
| Southwest Airlines Co 5.125% 6/15/2027  |  | 5340000 | 5402624 |
| Spirit Airlines Pass Through Trust 2015-1A equipment trust certificate 4.1% 10/1/2029  |  | 466662 | 449750 |
| United Airlines 2014-2 Class B Pass Through Trust equipment trust certificate 3.75% 3/3/2028  |  | 141165 | 140876 |
| United Airlines 2018-1 Class AA Pass Through Trust 3.5% 9/1/2031  |  | 743631 | 733062 |
| United Airlines 2019-2 Class AA Pass Through Trust 2.7% 11/1/2033  |  | 365681 | 342706 |
| United Airlines 2023-1 Class A Pass Through Trust equipment trust certificate 5.8% 7/15/2037  |  | 2149082 | 2280279 |
| United Airlines 2024-1 Class A Pass Through Trust equipment trust certificate 5.45% 8/15/2038  |  | 578883 | 605344 |
| United Airlines Holdings Inc 4.875% 3/1/2029  |  | 1075000 | 1082393 |
| United Airlines Holdings Inc 5.375% 3/1/2031  |  | 1675000 | 1705305 |
| United Airlines Inc 4.625% 4/15/2029 (o) |  | 905000 | 904317 |
|  |  |  | 19511936 |
| Professional Services - 0.0% |  |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (o) |  | 185000 | 193849 |
| Booz Allen Hamilton Inc 3.875% 9/1/2028 (o) |  | 466000 | 458870 |
| CACI International Inc 6.375% 6/15/2033 (o) |  | 240000 | 247078 |
| Equifax Inc 2.35% 9/15/2031  |  | 250000 | 223950 |
| Equifax Inc 4.8% 9/15/2029  |  | 4000000 | 4072094 |
| ION Platform Finance US Inc / ION Platform Finance SARL 8.75% 5/1/2029 (o) |  | 283000 | 262305 |
| Jacobs Solutions Inc 4.75% 3/3/2031  |  | 3250000 | 3254946 |
| Leidos Inc 4.1% 3/15/2029 (c) |  | 170000 | 170435 |
| Leidos Inc 5% 3/15/2036 (c) |  | 192000 | 191550 |
| Leidos Inc 5.4% 3/15/2032  |  | 987000 | 1029693 |
| Paychex Inc 5.1% 4/15/2030  |  | 440000 | 449352 |
| Paychex Inc 5.35% 4/15/2032  |  | 613000 | 628664 |
| Paychex Inc 5.6% 4/15/2035  |  | 480000 | 492070 |
| Science Applications International Corp 5.875% 11/1/2033 (o) |  | 310000 | 308089 |
| TriNet Group Inc 7.125% 8/15/2031 (o) |  | 265000 | 257090 |
| Verisk Analytics Inc 4.45% 3/15/2031  |  | 1155000 | 1160626 |
|  |  |  | 13400661 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 3.125% 12/1/2030  |  | 123000 | 115688 |
| Air Lease Corp 5.3% 6/25/2026  |  | 3000000 | 3010557 |
| Air Lease Corp 5.85% 12/15/2027  |  | 970000 | 998988 |
| Alta Equipment Group Inc 9% 6/1/2029 (o) |  | 1020000 | 963092 |
| Dcli Bidco LLC 7.75% 11/15/2029 (o) |  | 1075000 | 1102581 |
| EquipmentShare.com Inc 9% 5/15/2028 (o) |  | 100000 | 104742 |
| Ferguson Enterprises Inc 5% 10/3/2034  |  | 840000 | 853361 |
| FTAI Aviation Investors LLC 5.875% 4/15/2033 (o) |  | 180000 | 182541 |
| FTAI Aviation Investors LLC 7% 5/1/2031 (o) |  | 100000 | 104988 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (o) |  | 230000 | 241432 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (o) |  | 140000 | 148138 |
| GATX Corp 6.05% 3/15/2034  |  | 141000 | 153092 |
| Herc Holdings Inc 5.75% 3/15/2031 (o) |  | 1720000 | 1743600 |
| Herc Holdings Inc 6% 3/15/2034 (o) |  | 265000 | 266413 |
| Herc Holdings Inc 6.625% 6/15/2029 (o) |  | 150000 | 154874 |
| Herc Holdings Inc 7% 6/15/2030 (o) |  | 1356000 | 1420976 |
| Herc Holdings Inc 7.25% 6/15/2033 (o) |  | 595000 | 628955 |
| QXO Building Products Inc 6.75% 4/30/2032 (o) |  | 180000 | 186429 |
| United Rentals North America Inc 3.75% 1/15/2032  |  | 1085000 | 1023941 |
| United Rentals North America Inc 3.875% 2/15/2031  |  | 300000 | 289033 |
| United Rentals North America Inc 4% 7/15/2030  |  | 195000 | 189730 |
| United Rentals North America Inc 4.875% 1/15/2028  |  | 1800000 | 1798953 |
| United Rentals North America Inc 5.375% 11/15/2033 (o) |  | 655000 | 660341 |
| United Rentals North America Inc 6.125% 3/15/2034 (o) |  | 1180000 | 1236147 |
|  |  |  | 17578592 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Star Leasing Co LLC 7.625% 2/15/2030 (o) |  | 3060000 | 2909943 |
| TOTAL INDUSTRIALS |  |  | 232691752 |
| Information Technology - 0.8% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| Cisco Systems Inc 4.55% 2/24/2028  |  | 200000 | 203141 |
| Cisco Systems Inc 5.05% 2/26/2034  |  | 230000 | 238723 |
| Cisco Systems Inc 5.1% 2/24/2035  |  | 100000 | 103789 |
| Cisco Systems Inc 5.5% 1/15/2040  |  | 198000 | 207876 |
| Motorola Solutions Inc 4.6% 2/23/2028  |  | 1075000 | 1086629 |
| Motorola Solutions Inc 5.4% 4/15/2034  |  | 1875000 | 1959792 |
| Motorola Solutions Inc 5.6% 6/1/2032  |  | 128000 | 135940 |
| Viasat Inc 5.625% 4/15/2027 (o) |  | 100000 | 99815 |
|  |  |  | 4035705 |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Amphenol Corp 2.8% 2/15/2030  |  | 1225000 | 1172322 |
| Amphenol Corp 4.625% 2/15/2036  |  | 67000 | 66590 |
| Amphenol Corp 5.05% 4/5/2027  |  | 100000 | 101305 |
| Amphenol Corp 5.25% 4/5/2034  |  | 112000 | 117324 |
| Arrow Electronics Inc 5.15% 8/21/2029  |  | 4000000 | 4103873 |
| Coherent Corp 5% 12/15/2029 (o) |  | 883000 | 883476 |
| Corning Inc 5.35% 11/15/2048  |  | 146000 | 145080 |
| Corning Inc 5.75% 8/15/2040  |  | 266000 | 282303 |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  |  | 2377000 | 2385507 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  |  | 4798000 | 4821297 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 3136000 | 3165336 |
| Dell International LLC / EMC Corp 5% 4/1/2030  |  | 1750000 | 1799804 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  |  | 5100000 | 5118763 |
| Dell International LLC / EMC Corp 5.4% 4/15/2034  |  | 113000 | 116988 |
| Dell International LLC / EMC Corp 8.1% 7/15/2036  |  | 190000 | 231038 |
| Dell International LLC / EMC Corp 8.35% 7/15/2046  |  | 125000 | 159844 |
| Imola Merger Corp 4.75% 5/15/2029 (o) |  | 677000 | 665528 |
| Insight Enterprises Inc 6.625% 5/15/2032 (o) |  | 410000 | 411027 |
| Lightning Power LLC 7.25% 8/15/2032 (o) |  | 295000 | 313190 |
| Sensata Technologies Inc 3.75% 2/15/2031 (o) |  | 156000 | 147070 |
| Sensata Technologies Inc 4.375% 2/15/2030 (o) |  | 225000 | 220706 |
| Sensata Technologies Inc 6.625% 7/15/2032 (o) |  | 600000 | 628073 |
| TD SYNNEX Corp 1.75% 8/9/2026  |  | 6930000 | 6854875 |
| TD SYNNEX Corp 4.3% 1/17/2029  |  | 3305000 | 3305801 |
| TD SYNNEX Corp 6.1% 4/12/2034  |  | 300000 | 317989 |
| TTM Technologies Inc 4% 3/1/2029 (o) |  | 265000 | 257170 |
|  |  |  | 37792279 |
| IT Services - 0.3% |  |  |  |
| Accenture Capital Inc 4.25% 10/4/2031  |  | 3330000 | 3342514 |
| ASGN Inc 4.625% 5/15/2028 (o) |  | 70000 | 67879 |
| Beignet Investor LLC 6.581% 5/30/2049 (o) |  | 83420000 | 88602202 |
| CDW LLC / CDW Finance Corp 3.276% 12/1/2028  |  | 740000 | 722332 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  |  | 5670000 | 5758331 |
| Cogent Communications Group LLC / Cogent Finance Inc 6.5% 7/1/2032 (o) |  | 100000 | 88592 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o) |  | 320000 | 314124 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o) |  | 75000 | 73716 |
| CoreWeave Inc 9% 2/1/2031 (o) |  | 985000 | 950393 |
| CoreWeave Inc 9.25% 6/1/2030 (o) |  | 1380000 | 1351641 |
| Gartner Inc 3.625% 6/15/2029 (o) |  | 4548000 | 4309757 |
| Gartner Inc 3.75% 10/1/2030 (o) |  | 5515000 | 5099753 |
| Gartner Inc 4.5% 7/1/2028 (o) |  | 2754000 | 2715069 |
| Gartner Inc 4.95% 3/20/2031  |  | 3300000 | 3254041 |
| Genpact Luxembourg SARL/Genpact USA Inc 1.75% 4/10/2026  |  | 960000 | 956987 |
| Genpact Luxembourg SARL/Genpact USA Inc 6% 6/4/2029  |  | 2875000 | 2985208 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (o) |  | 465000 | 435019 |
| IBM Corporation 4.25% 5/15/2049  |  | 225000 | 182459 |
| IBM Corporation 4.65% 2/10/2028  |  | 100000 | 101566 |
| IBM Corporation 4.95% 2/3/2036  |  | 364000 | 364709 |
| IBM Corporation 5.6% 11/30/2039  |  | 221000 | 230016 |
| IBM Corporation 6.22% 8/1/2027  |  | 272000 | 281135 |
|  |  |  | 122187443 |
| Semiconductors & Semiconductor Equipment - 0.2% |  |  |  |
| Amkor Technology Inc 5.875% 10/1/2033 (o) |  | 185000 | 188781 |
| Analog Devices Inc 4.25% 6/15/2028  |  | 95000 | 96080 |
| Broadcom Inc 1.95% 2/15/2028  |  | 1620000 | 1566074 |
| Broadcom Inc 2.45% 2/15/2031  |  | 15073000 | 13932626 |
| Broadcom Inc 2.6% 2/15/2033  |  | 6229000 | 5544967 |
| Broadcom Inc 3.137% 11/15/2035 (o) |  | 4483000 | 3919731 |
| Broadcom Inc 3.187% 11/15/2036 (o) |  | 3757000 | 3241067 |
| Broadcom Inc 3.419% 4/15/2033  |  | 5107000 | 4783463 |
| Broadcom Inc 3.469% 4/15/2034  |  | 3677000 | 3402364 |
| Broadcom Inc 3.5% 2/15/2041  |  | 11980000 | 9924049 |
| Broadcom Inc 4% 4/15/2029 (o) |  | 2785000 | 2793285 |
| Broadcom Inc 4.2% 10/15/2030  |  | 1000000 | 1005608 |
| Broadcom Inc 4.35% 2/15/2030  |  | 8740000 | 8848498 |
| Broadcom Inc 4.6% 7/15/2030  |  | 1400000 | 1431461 |
| Broadcom Inc 4.8% 10/15/2034  |  | 216000 | 218402 |
| Broadcom Inc 4.8% 2/15/2036  |  | 758000 | 759871 |
| Broadcom Inc 4.9% 7/15/2032  |  | 4755000 | 4897514 |
| Broadcom Inc 5.05% 4/15/2030  |  | 720000 | 746310 |
| Broadcom Inc 5.05% 7/12/2027  |  | 237000 | 240930 |
| Broadcom Inc 5.05% 7/12/2029  |  | 6747000 | 6981023 |
| Broadcom Inc 5.15% 11/15/2031  |  | 470000 | 492137 |
| Broadcom Inc 5.2% 4/15/2032  |  | 10000 | 10460 |
| Entegris Inc 3.625% 5/1/2029 (o) |  | 329000 | 315779 |
| Entegris Inc 4.375% 4/15/2028 (o) |  | 245000 | 242905 |
| Entegris Inc 4.75% 4/15/2029 (o) |  | 100000 | 100083 |
| Entegris Inc 5.95% 6/15/2030 (o) |  | 838000 | 854539 |
| Foundry JV Holdco LLC 5.5% 1/25/2031 (o) |  | 2675000 | 2791439 |
| Foundry JV Holdco LLC 6.15% 1/25/2032 (o) |  | 1600000 | 1716272 |
| Foundry JV Holdco LLC 6.25% 1/25/2035 (o) |  | 1125000 | 1211270 |
| Intel Corp 1.6% 8/12/2028  |  | 2000000 | 1892098 |
| Intel Corp 2% 8/12/2031  |  | 1166000 | 1033307 |
| Intel Corp 2.8% 8/12/2041  |  | 390000 | 277717 |
| Intel Corp 3.15% 5/11/2027  |  | 228000 | 225786 |
| Intel Corp 3.25% 11/15/2049  |  | 1355000 | 887111 |
| Intel Corp 3.75% 8/5/2027  |  | 280000 | 279091 |
| Intel Corp 3.9% 3/25/2030  |  | 100000 | 98849 |
| Intel Corp 4.1% 5/11/2047  |  | 400000 | 308952 |
| Intel Corp 4.25% 12/15/2042  |  | 105000 | 86866 |
| Intel Corp 4.9% 7/29/2045  |  | 123000 | 107836 |
| Intel Corp 4.9% 8/5/2052  |  | 215000 | 181432 |
| Intel Corp 5.125% 2/10/2030  |  | 100000 | 103228 |
| Intel Corp 5.15% 2/21/2034  |  | 148000 | 151378 |
| Intel Corp 5.6% 2/21/2054  |  | 155000 | 146381 |
| Intel Corp 5.625% 2/10/2043  |  | 97000 | 95057 |
| Intel Corp 5.7% 2/10/2053  |  | 170000 | 161456 |
| KLA Corp 3.3% 3/1/2050  |  | 252000 | 178944 |
| KLA Corp 4.65% 7/15/2032  |  | 130000 | 133322 |
| KLA Corp 4.7% 2/1/2034  |  | 23000 | 23351 |
| Marvell Technology Inc 4.75% 7/15/2030  |  | 145000 | 147826 |
| Marvell Technology Inc 5.45% 7/15/2035  |  | 613000 | 638154 |
| Marvell Technology Inc 5.75% 2/15/2029  |  | 1467000 | 1533012 |
| Micron Technology Inc 6.05% 11/1/2035  |  | 1075000 | 1167752 |
| MKS Inc 4.25% 2/15/2034 (q) | EUR | 200000 | 236337 |
| ON Semiconductor Corp 3.875% 9/1/2028 (o) |  | 321000 | 314230 |
| Qnity Electronics Inc 5.75% 8/15/2032 (o) |  | 850000 | 869692 |
| Qnity Electronics Inc 6.25% 8/15/2033 (o) |  | 205000 | 212851 |
| QUALCOMM Inc 4.3% 5/20/2047  |  | 292000 | 247942 |
| QUALCOMM Inc 4.75% 5/20/2032  |  | 213000 | 218945 |
| QUALCOMM Inc 5% 5/20/2035  |  | 66000 | 67715 |
| Synaptics Inc 4% 6/15/2029 (o) |  | 290000 | 279776 |
| Texas Instruments Inc 3.875% 3/15/2039  |  | 165000 | 149097 |
| Texas Instruments Inc 4.5% 5/23/2030  |  | 283000 | 288866 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (g)(o) |  | 59286 | 63364 |
|  |  |  | 95064709 |
| Software - 0.3% |  |  |  |
| AppLovin Corp 5.125% 12/1/2029  |  | 3800000 | 3880740 |
| AppLovin Corp 5.375% 12/1/2031  |  | 10403000 | 10722130 |
| AppLovin Corp 5.95% 12/1/2054  |  | 972000 | 934003 |
| Clarivate Science Holdings Corp 3.875% 7/1/2028 (o) |  | 492000 | 460174 |
| Cloud Software Group Inc 6.5% 3/31/2029 (o) |  | 270000 | 264783 |
| Cloud Software Group Inc 8.25% 6/30/2032 (o) |  | 312000 | 312261 |
| Cloud Software Group Inc 9% 9/30/2029 (o) |  | 525000 | 514106 |
| Crowdstrike Holdings Inc 3% 2/15/2029  |  | 200000 | 189922 |
| Elastic NV 4.125% 7/15/2029 (o) |  | 780000 | 736927 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (o) |  | 140000 | 137286 |
| Fair Isaac Corp 4% 6/15/2028 (o) |  | 500000 | 489503 |
| Fair Isaac Corp 6% 5/15/2033 (o) |  | 435000 | 439687 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 410000 | 478016 |
| Gen Digital Inc 6.25% 4/1/2033 (o) |  | 565000 | 562284 |
| Gen Digital Inc 6.75% 9/30/2027 (o) |  | 100000 | 100761 |
| Intuit Inc 1.35% 7/15/2027  |  | 200000 | 193464 |
| Intuit Inc 1.65% 7/15/2030  |  | 110000 | 99305 |
| Microsoft Corp 2.525% 6/1/2050  |  | 266000 | 165620 |
| Microsoft Corp 2.675% 6/1/2060  |  | 465000 | 269216 |
| Microsoft Corp 2.921% 3/17/2052  |  | 1533000 | 1021270 |
| Microsoft Corp 4% 2/12/2055  |  | 17000 | 13755 |
| Microsoft Corp 5.2% 6/1/2039  |  | 325000 | 344351 |
| NCR Voyix Corp 5% 10/1/2028 (o) |  | 422000 | 414659 |
| NCR Voyix Corp 5.125% 4/15/2029 (o) |  | 245000 | 240385 |
| Oracle Corp 2.3% 3/25/2028  |  | 1500000 | 1437770 |
| Oracle Corp 2.95% 4/1/2030  |  | 2380000 | 2214885 |
| Oracle Corp 3.6% 4/1/2040  |  | 90000 | 68013 |
| Oracle Corp 3.6% 4/1/2050  |  | 540000 | 337785 |
| Oracle Corp 3.65% 3/25/2041  |  | 255000 | 189391 |
| Oracle Corp 3.8% 11/15/2037  |  | 1130000 | 929332 |
| Oracle Corp 3.9% 5/15/2035  |  | 106000 | 93018 |
| Oracle Corp 3.95% 3/25/2051  |  | 252000 | 166813 |
| Oracle Corp 4% 11/15/2047  |  | 214000 | 147560 |
| Oracle Corp 4% 7/15/2046  |  | 415000 | 289505 |
| Oracle Corp 4.1% 3/25/2061  |  | 429000 | 274609 |
| Oracle Corp 4.125% 5/15/2045  |  | 1025000 | 740322 |
| Oracle Corp 4.2% 9/27/2029  |  | 8000000 | 7901739 |
| Oracle Corp 4.375% 5/15/2055  |  | 2243000 | 1550377 |
| Oracle Corp 4.45% 9/26/2030  |  | 1988000 | 1949738 |
| Oracle Corp 4.7% 9/27/2034  |  | 271000 | 254675 |
| Oracle Corp 4.8% 8/3/2028  |  | 13720000 | 13868066 |
| Oracle Corp 4.8% 9/26/2032  |  | 2982000 | 2913787 |
| Oracle Corp 4.95% 2/4/2031  |  | 203000 | 202584 |
| Oracle Corp 5.2% 9/26/2035  |  | 5640000 | 5450230 |
| Oracle Corp 5.25% 2/3/2032  |  | 287000 | 288115 |
| Oracle Corp 5.35% 5/4/2033  |  | 135000 | 135455 |
| Oracle Corp 5.375% 9/27/2054  |  | 31000 | 25097 |
| Oracle Corp 5.7% 2/4/2036  |  | 7219000 | 7223043 |
| Oracle Corp 5.875% 9/26/2045  |  | 1800000 | 1630917 |
| Oracle Corp 5.95% 9/26/2055  |  | 4850000 | 4267969 |
| Oracle Corp 6% 8/3/2055  |  | 2973000 | 2618941 |
| Oracle Corp 6.1% 9/26/2065  |  | 3028000 | 2623836 |
| Oracle Corp 6.125% 8/3/2065  |  | 1326000 | 1152142 |
| Oracle Corp 6.55% 2/4/2046  |  | 2657000 | 2589118 |
| Oracle Corp 6.7% 2/4/2056  |  | 6118000 | 5932993 |
| Oracle Corp 6.85% 2/4/2066  |  | 2640000 | 2529155 |
| RingCentral Inc 8.5% 8/15/2030 (o) |  | 378000 | 396914 |
| Roper Technologies Inc 1.75% 2/15/2031  |  | 200000 | 175691 |
| Roper Technologies Inc 4.45% 9/15/2030  |  | 385000 | 387300 |
| Roper Technologies Inc 4.75% 2/15/2032  |  | 160000 | 161419 |
| Roper Technologies Inc 4.9% 10/15/2034  |  | 630000 | 626200 |
| Salesforce Inc 1.95% 7/15/2031  |  | 121000 | 107601 |
| Salesforce Inc 2.7% 7/15/2041  |  | 580000 | 411953 |
| Servicenow Inc 1.4% 9/1/2030  |  | 1005000 | 890268 |
| SS&C Technologies Inc 5.5% 9/30/2027 (o) |  | 976000 | 974532 |
| Synopsys Inc 4.65% 4/1/2028  |  | 226000 | 228878 |
| Synopsys Inc 4.85% 4/1/2030  |  | 7150000 | 7321394 |
| Synopsys Inc 5% 4/1/2032  |  | 3700000 | 3814943 |
| Synopsys Inc 5.7% 4/1/2055  |  | 750000 | 749566 |
| UKG Inc 6.875% 2/1/2031 (o) |  | 415000 | 402612 |
| VMware LLC 1.8% 8/15/2028  |  | 2360000 | 2244254 |
| Workday Inc 3.5% 4/1/2027  |  | 405000 | 402807 |
| Workday Inc 3.7% 4/1/2029  |  | 1110000 | 1091998 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (o) |  | 2745000 | 3126313 |
|  |  |  | 118496231 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Apple Inc 1.2% 2/8/2028  |  | 47000 | 44962 |
| Apple Inc 1.25% 8/20/2030  |  | 673000 | 604128 |
| Apple Inc 2.65% 2/8/2051  |  | 639000 | 403229 |
| Apple Inc 2.7% 8/5/2051  |  | 972000 | 618183 |
| Apple Inc 2.8% 2/8/2061  |  | 312000 | 185693 |
| Apple Inc 2.95% 9/11/2049  |  | 100000 | 68298 |
| Apple Inc 3.45% 2/9/2045  |  | 493000 | 390425 |
| Apple Inc 3.75% 11/13/2047  |  | 29000 | 23303 |
| Apple Inc 3.85% 8/4/2046  |  | 314000 | 259184 |
| Apple Inc 3.95% 8/8/2052  |  | 115000 | 92646 |
| Hewlett Packard Enterprise Co 4.85% 10/15/2031  |  | 195000 | 197749 |
| Hewlett Packard Enterprise Co 6.2% 10/15/2035 (g) |  | 100000 | 108401 |
| Hewlett Packard Enterprise Co 6.35% 10/15/2045 (g) |  | 38000 | 39032 |
| HP Inc 6% 9/15/2041  |  | 116000 | 116339 |
| Seagate Data Storage Technology Pte Ltd 3.125% 7/15/2029 (o) |  | 64000 | 57040 |
| Seagate Data Storage Technology Pte Ltd 4.091% 6/1/2029 (o) |  | 106000 | 103961 |
| Seagate Data Storage Technology Pte Ltd 4.125% 1/15/2031 (o) |  | 106000 | 100957 |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (o) |  | 125000 | 128644 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (o) |  | 888000 | 936982 |
| Seagate Data Storage Technology Pte Ltd 8.5% 7/15/2031 (o) |  | 12000 | 12623 |
| Seagate Data Storage Technology Pte Ltd 9.625% 12/1/2032 (o) |  | 115000 | 128991 |
| Xerox Corp 10.25% 10/15/2030 (o) |  | 100000 | 72000 |
| Xerox Holdings Corp 8.875% 11/30/2029 (o) |  | 180000 | 51353 |
|  |  |  | 4744123 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 382320490 |
| Materials - 0.3% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (g)(o) |  | 158015 | 136683 |
| Avient Corp 7.125% 8/1/2030 (o) |  | 342000 | 352421 |
| Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/2031 (o) |  | 360000 | 378457 |
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.75% 6/15/2027 (o) |  | 240000 | 239588 |
| Axalta Coating Systems LLC 3.375% 2/15/2029 (o) |  | 385000 | 371359 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 190000 | 194668 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 335000 | 343476 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (g) |  | 2810000 | 2957089 |
| Celanese US Holdings LLC 6.879% 7/15/2032 (g) |  | 400000 | 421687 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 700000 | 721072 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (g) |  | 3406000 | 3631396 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (g) |  | 1991000 | 2139023 |
| Celanese US Holdings LLC 7.375% 2/15/2034  |  | 1000000 | 1027315 |
| CF Industries Inc 4.95% 6/1/2043  |  | 422000 | 387555 |
| CF Industries Inc 5.3% 11/26/2035  |  | 1640000 | 1668313 |
| Chemours Co/The 4.625% 11/15/2029 (o) |  | 410000 | 388356 |
| Chemours Co/The 5.75% 11/15/2028 (o) |  | 403000 | 405344 |
| Chemours Co/The 7.875% 3/15/2034 (c)(o) |  | 95000 | 94881 |
| Dow Chemical Co/The 4.25% 10/1/2034  |  | 101000 | 93385 |
| Dow Chemical Co/The 4.375% 11/15/2042  |  | 187000 | 147997 |
| Dow Chemical Co/The 5.55% 11/30/2048  |  | 110000 | 96921 |
| DuPont de Nemours Inc 4.725% 11/15/2028 (o) |  | 2423000 | 2456933 |
| DuPont de Nemours Inc 5.319% 11/15/2038  |  | 101000 | 102536 |
| Ecolab Inc 1.3% 1/30/2031  |  | 176000 | 155002 |
| EIDP Inc 4.8% 5/15/2033  |  | 255000 | 258123 |
| Element Solutions Inc 3.875% 9/1/2028 (o) |  | 186000 | 182837 |
| FMC Corp 8.45% 11/1/2055 (g) |  | 100000 | 65777 |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (o) |  | 3430000 | 3127895 |
| LSB Industries Inc 6.25% 10/15/2028 (o) |  | 120000 | 120628 |
| LYB International Finance BV 5.25% 7/15/2043  |  | 118000 | 103362 |
| LYB International Finance II BV 3.5% 3/2/2027  |  | 105000 | 104598 |
| LYB International Finance III LLC 3.8% 10/1/2060  |  | 100000 | 63181 |
| LYB International Finance III LLC 5.875% 1/15/2036  |  | 100000 | 101099 |
| Methanex US Operations Inc 6.25% 3/15/2032 (o) |  | 215000 | 222526 |
| Olin Corp 6.625% 4/1/2033 (o) |  | 260000 | 253883 |
| Olympus Water US Holding Corp 6.125% 2/15/2033 (q) | EUR | 100000 | 119344 |
| Olympus Water US Holding Corp 6.25% 10/1/2029 (o) |  | 200000 | 195520 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (o) |  | 125000 | 123051 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (o) |  | 190000 | 189525 |
| Scotts Miracle-Gro Co/The 4% 4/1/2031  |  | 2921000 | 2761685 |
| Scotts Miracle-Gro Co/The 4.375% 2/1/2032  |  | 625000 | 593959 |
| Scotts Miracle-Gro Co/The 4.5% 10/15/2029  |  | 585000 | 578627 |
| Scotts Miracle-Gro Co/The 5.25% 12/15/2026  |  | 59000 | 58943 |
| Sherwin-Williams Co/The 3.45% 6/1/2027  |  | 102000 | 101494 |
| Solstice Advanced Materials Inc 5.625% 9/30/2033 (o) |  | 1050000 | 1061362 |
| Westlake Corp 2.875% 8/15/2041  |  | 107000 | 75735 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (o) |  | 95000 | 91004 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (o) |  | 385000 | 389476 |
| WR Grace Holdings LLC 7% 8/1/2033 (o) |  | 90000 | 91634 |
| WR Grace Holdings LLC 7.375% 3/1/2031 (o) |  | 195000 | 200182 |
|  |  |  | 30146907 |
| Construction Materials - 0.0% |  |  |  |
| Amrize Finance US LLC 4.7% 4/7/2028  |  | 3000000 | 3046443 |
| Amrize Finance US LLC 4.95% 4/7/2030  |  | 8000000 | 8230641 |
| Global Infrastructure Solutions Inc 5.625% 6/1/2029 (o) |  | 598000 | 597857 |
| Knife River Corp 7.75% 5/1/2031 (o) |  | 357000 | 372181 |
| Martin Marietta Materials Inc 2.4% 7/15/2031  |  | 1100000 | 1000586 |
| Martin Marietta Materials Inc 5.15% 12/1/2034  |  | 1445000 | 1491572 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (o) |  | 2380000 | 2473530 |
| Quikrete Holdings Inc 6.75% 3/1/2033 (o) |  | 240000 | 249469 |
| Smyrna Ready Mix Concrete LLC 6% 11/1/2028 (o) |  | 565000 | 565762 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (o) |  | 225000 | 239036 |
| VM Consolidated Inc 5.5% 4/15/2029 (o) |  | 175000 | 171775 |
|  |  |  | 18438852 |
| Containers & Packaging - 0.1% |  |  |  |
| Amcor Flexibles North America Inc 5.1% 3/17/2030  |  | 500000 | 517496 |
| Amcor Flexibles North America Inc 5.5% 3/17/2035  |  | 65000 | 68451 |
| Ardagh Group SA 12% 12/1/2030 pay-in-kind (o)(p) |  | 834000 | 804810 |
| Ardagh Group SA 12% 12/1/2030 pay-in-kind (g)(q) | EUR | 113000 | 128921 |
| Ardagh Group SA 9.5% 12/1/2030 (o) |  | 198000 | 214746 |
| Ardagh Group SA 9.5% 12/1/2030 (q) |  | 83000 | 90020 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3% 9/1/2029 (q) | EUR | 100000 | 114090 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (o) |  | 280000 | 270665 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (o) |  | 210000 | 200432 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (o) |  | 200000 | 204703 |
| Ball Corp 2.875% 8/15/2030  |  | 60000 | 55803 |
| Ball Corp 3.125% 9/15/2031  |  | 410000 | 380624 |
| Ball Corp 5.5% 9/15/2033  |  | 1405000 | 1445853 |
| Ball Corp 6% 6/15/2029  |  | 2234000 | 2303212 |
| Berry Global Inc 4.875% 7/15/2026 (o) |  | 1794000 | 1794332 |
| Berry Global Inc 5.5% 4/15/2028  |  | 4810000 | 4962260 |
| Berry Global Inc 5.65% 1/15/2034  |  | 2000000 | 2112807 |
| Berry Global Inc 5.8% 6/15/2031  |  | 6820000 | 7262612 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (o) |  | 1005000 | 1012588 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (o) |  | 300000 | 304599 |
| Clydesdale Acquisition Holdings Inc 8.75% 4/15/2030 (o) |  | 1935000 | 1926471 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (o) |  | 440000 | 452068 |
| Graphic Packaging International LLC 3.5% 3/1/2029 (o) |  | 175000 | 167363 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (o) |  | 160000 | 151420 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (o) |  | 455000 | 460908 |
| International Paper Co 4.4% 8/15/2047  |  | 100000 | 83210 |
| Mauser Packaging Solutions Holding Co 7.875% 4/15/2030 (o) |  | 442000 | 452498 |
| Mauser Packaging Solutions Holding Co 9.25% 4/15/2030 (o) |  | 100000 | 98531 |
| Owens-Brockway Glass Container Inc 6.625% 5/13/2027 (o) |  | 251000 | 251179 |
| Packaging Corp of America 3.05% 10/1/2051  |  | 108000 | 71308 |
| Sealed Air Corp 1.573% 10/15/2026 (o) |  | 2750000 | 2711720 |
| Sealed Air Corp 4% 12/1/2027 (o) |  | 244000 | 243317 |
| Sealed Air Corp 6.5% 7/15/2032 (o) |  | 260000 | 267782 |
| Sealed Air Corp/Sealed Air Corp US 6.125% 2/1/2028 (o) |  | 325000 | 329515 |
| Sealed Air Corp/Sealed Air Corp US 7.25% 2/15/2031 (o) |  | 145000 | 150536 |
| Sonoco Products Co 3.125% 5/1/2030  |  | 802000 | 766551 |
| TriMas Corp 4.125% 4/15/2029 (o) |  | 266000 | 256759 |
| WRKCo Inc 4.2% 6/1/2032  |  | 144000 | 141486 |
|  |  |  | 33231646 |
| Metals & Mining - 0.1% |  |  |  |
| Alcoa Nederland Holding BV 4.125% 3/31/2029 (o) |  | 110000 | 108175 |
| Alumina Pty Ltd 6.375% 9/15/2032 (o) |  | 575000 | 596987 |
| Arsenal AIC Parent LLC 11.5% 10/1/2031 (o) |  | 995000 | 1097312 |
| Big Riv Stl LLC / Brs Fin Corp 6.625% 1/31/2029 (o) |  | 162000 | 162868 |
| Cleveland-Cliffs Inc 4.625% 3/1/2029 (o) |  | 194000 | 189867 |
| Cleveland-Cliffs Inc 6.75% 4/15/2030 (o) |  | 325000 | 329821 |
| Cleveland-Cliffs Inc 6.875% 11/1/2029 (o) |  | 1040000 | 1071217 |
| Cleveland-Cliffs Inc 7.375% 5/1/2033 (o) |  | 510000 | 523378 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (o) |  | 180000 | 187874 |
| Cleveland-Cliffs Inc 7.625% 1/15/2034 (o) |  | 130000 | 133415 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 235000 | 223450 |
| Commercial Metals Co 4.375% 3/15/2032  |  | 110000 | 105369 |
| Commercial Metals Co 5.75% 11/15/2033 (o) |  | 575000 | 586664 |
| Commercial Metals Co 6% 12/15/2035 (o) |  | 385000 | 394335 |
| Freeport-McMoRan Inc 4.125% 3/1/2028  |  | 960000 | 960048 |
| Freeport-McMoRan Inc 4.375% 8/1/2028  |  | 6105000 | 6111873 |
| Freeport-McMoRan Inc 4.625% 8/1/2030  |  | 824000 | 833712 |
| Freeport-McMoRan Inc 5.25% 9/1/2029  |  | 305000 | 309677 |
| Hecla Mining Co 7.25% 2/15/2028  |  | 429000 | 429423 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (o) |  | 155000 | 156726 |
| Newmont Corp / Newcrest Finance Pty Ltd 5.35% 3/15/2034  |  | 11260000 | 11897236 |
| Novelis Corp 3.875% 8/15/2031 (o) |  | 162000 | 148052 |
| Novelis Corp 4.75% 1/30/2030 (o) |  | 375000 | 363414 |
| Novelis Corp 6.375% 8/15/2033 (o) |  | 275000 | 277993 |
| Novelis Corp 6.875% 1/30/2030 (o) |  | 820000 | 846468 |
| Nucor Corp 2.7% 6/1/2030  |  | 1090000 | 1034034 |
| Reliance Inc 2.15% 8/15/2030  |  | 2150000 | 1967910 |
| Steel Dynamics Inc 3.45% 4/15/2030  |  | 8400000 | 8171578 |
| United States Steel Corp 6.875% 3/1/2029  |  | 167000 | 166705 |
|  |  |  | 39385581 |
| Paper & Forest Products - 0.0% |  |  |  |
| Magnera Corp 4.75% 11/15/2029 (o) |  | 100000 | 92918 |
| TOTAL MATERIALS |  |  | 121295904 |
| Real Estate - 0.7% |  |  |  |
| Diversified REITs - 0.1% |  |  |  |
| American Assets Trust LP 3.375% 2/1/2031  |  | 2240000 | 2062735 |
| Broadstone Net Lease LLC 5% 11/1/2032  |  | 1465000 | 1480931 |
| Equinix Asia Financing Corp Pte Ltd 4.4% 3/15/2031 (c) |  | 150000 | 149887 |
| Equinix Europe 2 Financing Corp LLC 4.7% 3/15/2033 (c) |  | 192000 | 192711 |
| GLP Capital LP / GLP Financing II Inc 3.25% 1/15/2032  |  | 2890000 | 2635857 |
| GLP Capital LP / GLP Financing II Inc 4% 1/15/2031  |  | 1472000 | 1418625 |
| GLP Capital LP / GLP Financing II Inc 5.25% 2/15/2033  |  | 1345000 | 1354833 |
| GLP Capital LP / GLP Financing II Inc 5.3% 1/15/2029  |  | 83000 | 84726 |
| GLP Capital LP / GLP Financing II Inc 5.625% 3/1/2036  |  | 335000 | 334961 |
| GLP Capital LP / GLP Financing II Inc 5.75% 6/1/2028  |  | 2800000 | 2869712 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 1374000 | 1197031 |
| Store Capital LLC 2.75% 11/18/2030  |  | 1957000 | 1800024 |
| Store Capital LLC 4.625% 3/15/2029  |  | 2475000 | 2486425 |
| Store Capital LLC 5.4% 4/30/2030  |  | 1091000 | 1121545 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 4.75% 4/15/2028 (o) |  | 100000 | 99758 |
| Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC 8.625% 6/15/2032 (o) |  | 485000 | 491891 |
| Vici Properties LP / Vici Note Co Inc 3.875% 2/15/2029 (o) |  | 2490000 | 2454447 |
| Vici Properties LP / Vici Note Co Inc 4.125% 8/15/2030 (o) |  | 305000 | 297903 |
| Vici Properties LP / Vici Note Co Inc 4.5% 1/15/2028 (o) |  | 94000 | 94354 |
| VICI Properties LP 4.75% 2/15/2028  |  | 5671000 | 5727375 |
| VICI Properties LP 4.75% 4/1/2028  |  | 1384000 | 1397598 |
| VICI Properties LP 4.95% 2/15/2030  |  | 7365000 | 7486661 |
| VICI Properties LP 5.125% 11/15/2031  |  | 1235000 | 1257401 |
| VICI Properties LP 5.125% 5/15/2032  |  | 5918000 | 6002819 |
| VICI Properties LP 5.75% 4/1/2034  |  | 855000 | 888235 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 1762000 | 1748231 |
| Vornado Realty LP 3.4% 6/1/2031  |  | 6373000 | 5826351 |
| WP Carey Inc 2.25% 4/1/2033  |  | 3969000 | 3387866 |
| WP Carey Inc 2.4% 2/1/2031  |  | 2070000 | 1888873 |
| WP Carey Inc 3.75% 5/10/2035  | EUR | 1255000 | 1467951 |
|  |  |  | 59707717 |
| Health Care REITs - 0.2% |  |  |  |
| Alexandria Real Estate Equities Inc 1.875% 2/1/2033  |  | 1145000 | 952810 |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  |  | 158000 | 135795 |
| Alexandria Real Estate Equities Inc 2.75% 12/15/2029  |  | 1990000 | 1888292 |
| Alexandria Real Estate Equities Inc 2.95% 3/15/2034  |  | 1105000 | 961598 |
| Alexandria Real Estate Equities Inc 3.375% 8/15/2031  |  | 190000 | 178919 |
| Alexandria Real Estate Equities Inc 4.5% 7/30/2029  |  | 118000 | 118919 |
| Alexandria Real Estate Equities Inc 4.7% 7/1/2030  |  | 1600000 | 1624504 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  |  | 126000 | 128566 |
| Alexandria Real Estate Equities Inc 5.15% 4/15/2053  |  | 31000 | 28130 |
| Alexandria Real Estate Equities Inc 5.25% 3/15/2036  |  | 4849000 | 4852054 |
| Alexandria Real Estate Equities Inc 5.5% 10/1/2035  |  | 4230000 | 4352502 |
| Diversified Healthcare Trust 4.375% 3/1/2031  |  | 325000 | 293971 |
| Diversified Healthcare Trust 4.75% 2/15/2028  |  | 2292000 | 2241245 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 1715000 | 1642527 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 2311000 | 2301643 |
| Healthcare Realty Holdings LP 3.625% 1/15/2028  |  | 1692000 | 1678098 |
| Healthpeak OP LLC 3% 1/15/2030  |  | 1625000 | 1554710 |
| MPT Operating Partnership LP / MPT Finance Corp 0.993% 10/15/2026  | EUR | 100000 | 115803 |
| MPT Operating Partnership LP / MPT Finance Corp 3.5% 3/15/2031  |  | 1075000 | 822418 |
| MPT Operating Partnership LP / MPT Finance Corp 5% 10/15/2027  |  | 1375000 | 1347505 |
| MPT Operating Partnership LP / MPT Finance Corp 7% 2/15/2032 (q) | EUR | 100000 | 124468 |
| MPT Operating Partnership LP / MPT Finance Corp 8.5% 2/15/2032 (o) |  | 75000 | 80270 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 5599000 | 5055769 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 2682000 | 2531017 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 7647000 | 7451608 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 7569000 | 7641935 |
| Ventas Realty LP 3% 1/15/2030  |  | 158000 | 151473 |
| Ventas Realty LP 3.85% 4/1/2027  |  | 500000 | 499051 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 13000000 | 13282473 |
| Ventas Realty LP 5.625% 7/1/2034  |  | 233000 | 245631 |
| Welltower OP LLC 2.7% 2/15/2027  |  | 2590000 | 2561315 |
| Welltower OP LLC 2.75% 1/15/2031  |  | 8865000 | 8334052 |
| Welltower OP LLC 3.1% 1/15/2030  |  | 249000 | 240766 |
| Welltower OP LLC 4.5% 7/1/2030  |  | 2300000 | 2342343 |
|  |  |  | 77762180 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (o) |  | 1100000 | 1080477 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (o) |  | 210000 | 217428 |
| RHP Hotel Properties LP / RHP Finance Corp 4.5% 2/15/2029 (o) |  | 100000 | 98626 |
| RHP Hotel Properties LP / RHP Finance Corp 4.75% 10/15/2027  |  | 223000 | 222949 |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (c)(o) |  | 120000 | 120876 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (o) |  | 1995000 | 2064380 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (o) |  | 135000 | 140237 |
| RHP Hotel Properties LP / RHP Finance Corp 7.25% 7/15/2028 (o) |  | 374000 | 384038 |
| RLJ Lodging Trust LP 4% 9/15/2029 (o) |  | 100000 | 95664 |
| Service Properties Trust 4.375% 2/15/2030  |  | 100000 | 88570 |
|  |  |  | 4513245 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 894000 | 829029 |
| LXP Industrial Trust 6.75% 11/15/2028  |  | 113000 | 119713 |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 265000 | 313101 |
| Prologis LP 1.75% 2/1/2031  |  | 181000 | 161995 |
| Prologis LP 1.75% 7/1/2030  |  | 143000 | 130014 |
| Prologis LP 2.125% 10/15/2050  |  | 43000 | 23621 |
| Prologis LP 3% 4/15/2050  |  | 150000 | 101019 |
| Prologis LP 4.75% 6/15/2033  |  | 165000 | 168551 |
| Prologis LP 4.875% 6/15/2028  |  | 293000 | 299916 |
| Prologis LP 5.125% 1/15/2034  |  | 198000 | 205233 |
|  |  |  | 2352192 |
| Office REITs - 0.0% |  |  |  |
| Boston Properties LP 4.5% 12/1/2028  |  | 101000 | 101850 |
| Boston Properties LP 5.75% 1/15/2035  |  | 100000 | 101875 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 600000 | 566437 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 1775000 | 1773690 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 6209000 | 5734032 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 490000 | 425086 |
| COPT Defense Properties LP 4.5% 10/15/2030  |  | 916000 | 919999 |
| Cousins Properties LP 4.875% 3/1/2033  |  | 81000 | 80219 |
| Hudson Pacific Properties LP 3.25% 1/15/2030  |  | 426000 | 354112 |
| Hudson Pacific Properties LP 3.95% 11/1/2027  |  | 815000 | 775035 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 10503000 | 9347670 |
| Hudson Pacific Properties LP 5.95% 2/15/2028  |  | 400000 | 384301 |
|  |  |  | 20564306 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 5608000 | 5497027 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 1707000 | 1610311 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 6570000 | 6933315 |
| Brandywine Operating Partnership LP 8.875% 4/12/2029  |  | 4381000 | 4654037 |
| Cushman & Wakefield US Borrower LLC 8.875% 9/1/2031 (o) |  | 100000 | 105821 |
| Essex Portfolio LP 1.7% 3/1/2028  |  | 515000 | 493392 |
| Essex Portfolio LP 3.625% 5/1/2027  |  | 100000 | 99706 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 525000 | 547580 |
| Extra Space Storage LP 2.2% 10/15/2030  |  | 2162000 | 1976375 |
| Extra Space Storage LP 3.9% 4/1/2029  |  | 610000 | 606909 |
| Extra Space Storage LP 5.5% 7/1/2030  |  | 973000 | 1017959 |
| Five Point Operating Co LP 8% 10/1/2030 (o) |  | 370000 | 383157 |
| Host Hotels & Resorts LP 2.9% 12/15/2031  |  | 840000 | 767247 |
| Host Hotels & Resorts LP 3.5% 9/15/2030  |  | 1750000 | 1676359 |
| Host Hotels & Resorts LP 5.7% 7/1/2034  |  | 750000 | 781921 |
| Howard Hughes Corp/The 4.125% 2/1/2029 (o) |  | 300000 | 290473 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (o) |  | 455000 | 432756 |
| Howard Hughes Corp/The 5.875% 3/1/2032 (o) |  | 300000 | 299850 |
| Howard Hughes Corp/The 6.125% 3/1/2034 (o) |  | 300000 | 299379 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 4140000 | 3786567 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 3497000 | 3476657 |
| Taylor Morrison Communities Inc 5.125% 8/1/2030 (o) |  | 1250000 | 1260893 |
| Taylor Morrison Communities Inc 5.75% 1/15/2028 (o) |  | 135000 | 137699 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (o) |  | 335000 | 346153 |
|  |  |  | 37481543 |
| Residential REITs - 0.1% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 704000 | 634591 |
| American Homes 4 Rent LP 3.375% 7/15/2051  |  | 1089000 | 735156 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 2835000 | 2690948 |
| American Homes 4 Rent LP 4.95% 6/15/2030  |  | 116000 | 118369 |
| AvalonBay Communities Inc 3.9% 10/15/2046  |  | 186000 | 151810 |
| Camden Property Trust 3.15% 7/1/2029  |  | 146000 | 142131 |
| ERP Operating LP 3.5% 3/1/2028  |  | 100000 | 99336 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  |  | 1731000 | 1525585 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 4260000 | 4146242 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  |  | 1870000 | 1883079 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 1550000 | 1480478 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 11527000 | 10578355 |
| UDR Inc 5.125% 9/1/2034  |  | 515000 | 526031 |
|  |  |  | 24712111 |
| Retail REITs - 0.2% |  |  |  |
| Brixmor Operating Partnership LP 2.25% 4/1/2028  |  | 3700000 | 3571354 |
| Brixmor Operating Partnership LP 2.5% 8/16/2031  |  | 4020000 | 3654679 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 12288000 | 12177926 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 6724000 | 6735500 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  |  | 2625000 | 2624370 |
| Brixmor Operating Partnership LP 5.75% 2/15/2035  |  | 145000 | 153709 |
| Kimco Realty OP LLC 1.9% 3/1/2028  |  | 3540000 | 3411898 |
| Kimco Realty OP LLC 3.2% 4/1/2032  |  | 1340000 | 1258858 |
| Kimco Realty OP LLC 4.6% 2/1/2033  |  | 3535000 | 3573117 |
| Kimco Realty OP LLC 4.85% 3/1/2035  |  | 18000 | 18205 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 10799000 | 11009836 |
| NNN REIT Inc 3.5% 4/15/2051  |  | 310000 | 223494 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.75% 3/15/2033  |  | 1338000 | 1340354 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  |  | 1063000 | 1125326 |
| Realty Income Corp 2.7% 2/15/2032  |  | 7532000 | 6897373 |
| Realty Income Corp 2.85% 12/15/2032  |  | 580000 | 528453 |
| Realty Income Corp 3.1% 12/15/2029  |  | 6235000 | 6052126 |
| Realty Income Corp 3.2% 2/15/2031  |  | 157000 | 150093 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 215000 | 256146 |
| Realty Income Corp 3.4% 1/15/2028  |  | 3460000 | 3431107 |
| Realty Income Corp 3.4% 1/15/2030  |  | 1460000 | 1427916 |
| Realty Income Corp 3.65% 1/15/2028  |  | 153000 | 152497 |
| Realty Income Corp 4.5% 2/1/2033  |  | 101000 | 101207 |
| Regency Centers LP 3.7% 6/15/2030  |  | 177000 | 174654 |
| Regency Centers LP 4.5% 3/15/2033  |  | 45000 | 45015 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 1975000 | 1877637 |
| Simon Property Group LP 3.25% 9/13/2049  |  | 168000 | 118135 |
| Simon Property Group LP 4.375% 10/1/2030  |  | 132000 | 133687 |
| Simon Property Group LP 4.75% 9/26/2034  |  | 141000 | 141973 |
| Simon Property Group LP 6.25% 1/15/2034  |  | 244000 | 270091 |
|  |  |  | 72636736 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 2.7% 4/15/2031  |  | 2270000 | 2107830 |
| American Tower Corp 2.9% 1/15/2030  |  | 1255000 | 1199203 |
| American Tower Corp 3.625% 5/30/2032  | EUR | 420000 | 505696 |
| American Tower Corp 4.7% 12/15/2032  |  | 833000 | 842585 |
| American Tower Corp 4.9% 3/15/2030  |  | 1235000 | 1269119 |
| American Tower Corp 5.35% 3/15/2035  |  | 285000 | 295936 |
| American Tower Corp 5.45% 2/15/2034  |  | 755000 | 790344 |
| Crown Castle Inc 2.1% 4/1/2031  |  | 1000000 | 892110 |
| Crown Castle Inc 2.5% 7/15/2031  |  | 134000 | 121114 |
| Crown Castle Inc 2.9% 3/15/2027  |  | 125000 | 123637 |
| Crown Castle Inc 3.3% 7/1/2030  |  | 100000 | 95779 |
| Crown Castle Inc 3.65% 9/1/2027  |  | 473000 | 470657 |
| CubeSmart LP 2.25% 12/15/2028  |  | 865000 | 824423 |
| Equinix Inc 2.5% 5/15/2031  |  | 714000 | 651646 |
| Equinix Inc 3.4% 2/15/2052  |  | 245000 | 169243 |
| Equinix Inc 3.9% 4/15/2032  |  | 1022000 | 989804 |
| Iron Mountain Inc 4.5% 2/15/2031 (o) |  | 44000 | 42439 |
| Iron Mountain Inc 4.75% 1/15/2034 (q) | EUR | 200000 | 234415 |
| Iron Mountain Inc 4.875% 9/15/2027 (o) |  | 601000 | 600790 |
| Iron Mountain Inc 4.875% 9/15/2029 (o) |  | 238000 | 235837 |
| Iron Mountain Inc 5% 7/15/2028 (o) |  | 395000 | 394235 |
| Iron Mountain Inc 5.25% 3/15/2028 (o) |  | 248000 | 247736 |
| Iron Mountain Inc 5.25% 7/15/2030 (o) |  | 185000 | 184074 |
| Iron Mountain Inc 6.25% 1/15/2033 (o) |  | 60000 | 61308 |
| Millrose Properties Inc 6.375% 8/1/2030 (o) |  | 315000 | 323159 |
| Public Storage Operating Co 4.375% 7/1/2030  |  | 165000 | 167683 |
| Public Storage Operating Co 5.1% 8/1/2033  |  | 171000 | 178509 |
| SBA Communications Corp 3.125% 2/1/2029  |  | 1006000 | 967240 |
| SBA Communications Corp 3.875% 2/15/2027  |  | 230000 | 228591 |
| Weyerhaeuser Co 4% 11/15/2029  |  | 1485000 | 1478111 |
|  |  |  | 16693253 |
| TOTAL REAL ESTATE |  |  | 316423283 |
| Utilities - 1.1% |  |  |  |
| Electric Utilities - 0.8% |  |  |  |
| AEP Texas Inc 2.1% 7/1/2030  |  | 1303000 | 1200559 |
| AEP Texas Inc 3.45% 5/15/2051  |  | 517000 | 356528 |
| AEP Texas Inc 5.4% 6/1/2033  |  | 1165000 | 1211796 |
| AEP Texas Inc 5.45% 5/15/2029  |  | 2500000 | 2606753 |
| AEP Texas Inc 5.7% 5/15/2034  |  | 1385000 | 1467079 |
| AEP Transmission Co LLC 2.75% 8/15/2051  |  | 388000 | 240320 |
| AEP Transmission Co LLC 3.15% 9/15/2049  |  | 359000 | 246307 |
| AEP Transmission Co LLC 3.65% 4/1/2050  |  | 58000 | 43646 |
| AEP Transmission Co LLC 5.15% 4/1/2034  |  | 2000000 | 2067242 |
| AEP Transmission Co LLC 5.375% 6/15/2035  |  | 545000 | 569537 |
| Alabama Power Co 3.85% 12/1/2042  |  | 700000 | 587970 |
| Alabama Power Co 4.1% 1/15/2042  |  | 225000 | 197168 |
| Alabama Power Co 4.3% 7/15/2048  |  | 10000 | 8390 |
| Alabama Power Co 5.5% 3/15/2041  |  | 36000 | 37242 |
| Alabama Power Co 5.85% 11/15/2033  |  | 125000 | 135300 |
| Alabama Power Co 6.125% 5/15/2038  |  | 835000 | 928287 |
| Alliant Energy Corp 5.75% 4/1/2056 (g) |  | 1756000 | 1750326 |
| Alliant Energy Finance LLC 1.4% 3/15/2026 (o) |  | 2300000 | 2295593 |
| Alliant Energy Finance LLC 5.4% 6/6/2027 (Alliant Energy Corp Insured) (o) |  | 2150000 | 2177894 |
| Ameren Missouri Securitization Funding I LLC 4.85% 10/1/2041  |  | 5106483 | 5207801 |
| American Electric Power Co Inc 5.8% 3/15/2056 (g) |  | 3210000 | 3225610 |
| American Electric Power Co Inc 6.05% 3/15/2056 (g) |  | 1650000 | 1655800 |
| Appalachian Power Co 5.65% 4/1/2034  |  | 1000000 | 1055687 |
| Arizona Public Service Co 2.2% 12/15/2031  |  | 2440000 | 2172616 |
| Arizona Public Service Co 3.5% 12/1/2049  |  | 1100000 | 792492 |
| Arizona Public Service Co 3.75% 5/15/2046  |  | 825000 | 640857 |
| Arizona Public Service Co 4.25% 3/1/2049  |  | 29000 | 23591 |
| Arizona Public Service Co 4.7% 1/15/2044  |  | 4000 | 3524 |
| Arizona Public Service Co 5.7% 8/15/2034  |  | 1275000 | 1351700 |
| Arizona Public Service Co 6.35% 12/15/2032  |  | 4385000 | 4815715 |
| Atlantic City Electric Co 2.3% 3/15/2031  |  | 425000 | 390356 |
| Baltimore Gas and Electric Co 2.9% 6/15/2050  |  | 214000 | 139500 |
| Baltimore Gas and Electric Co 3.2% 9/15/2049  |  | 183000 | 126718 |
| Baltimore Gas and Electric Co 3.5% 8/15/2046  |  | 100000 | 75668 |
| Baltimore Gas and Electric Co 3.75% 8/15/2047  |  | 96000 | 74713 |
| Baltimore Gas and Electric Co 4.25% 9/15/2048  |  | 40000 | 33733 |
| Baltimore Gas and Electric Co 5.3% 6/1/2034  |  | 100000 | 104700 |
| Baltimore Gas and Electric Co 5.4% 6/1/2053  |  | 145000 | 141443 |
| Baltimore Gas and Electric Co 5.45% 6/1/2035  |  | 590000 | 619195 |
| CenterPoint Energy Houston Electric LLC 2.9% 7/1/2050  |  | 58000 | 37996 |
| Clearway Energy Operating LLC 3.75% 1/15/2032 (o) |  | 165000 | 153456 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (o) |  | 225000 | 213152 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (o) |  | 60000 | 59804 |
| Clearway Energy Operating LLC 5.75% 1/15/2034 (o) |  | 170000 | 172240 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 4448000 | 4235363 |
| Commonwealth Edison Co 3.125% 3/15/2051  |  | 100000 | 67372 |
| Commonwealth Edison Co 3.7% 3/1/2045  |  | 1319000 | 1049053 |
| Commonwealth Edison Co 3.7% 8/15/2028  |  | 250000 | 249716 |
| Commonwealth Edison Co 3.8% 10/1/2042  |  | 100000 | 82305 |
| Commonwealth Edison Co 4% 3/1/2048  |  | 8000 | 6505 |
| Commonwealth Edison Co 4.35% 11/15/2045  |  | 415000 | 359920 |
| Commonwealth Edison Co 4.9% 2/1/2033  |  | 945000 | 972439 |
| Commonwealth Edison Co 5.3% 2/1/2053  |  | 95000 | 90836 |
| Connecticut Light and Power Co/The 4% 4/1/2048  |  | 69000 | 56001 |
| Consolidated Edison Co of New York Inc 3.7% 11/15/2059  |  | 100000 | 70886 |
| Consolidated Edison Co of New York Inc 3.875% 6/15/2047  |  | 37000 | 29232 |
| Consolidated Edison Co of New York Inc 4.125% 5/15/2049  |  | 20000 | 16158 |
| Consolidated Edison Co of New York Inc 4.5% 5/15/2058  |  | 123000 | 102295 |
| Consolidated Edison Co of New York Inc 4.625% 12/1/2054  |  | 150000 | 129025 |
| Consolidated Edison Co of New York Inc 4.65% 12/1/2048  |  | 139000 | 122159 |
| Consolidated Edison Co of New York Inc 5.5% 12/1/2039  |  | 86000 | 89539 |
| Consolidated Edison Co of New York Inc 6.2% 6/15/2036  |  | 1447000 | 1601534 |
| Dominion Energy South Carolina Inc 5.45% 2/1/2041  |  | 285000 | 290851 |
| DPL LLC/Ohio 4.35% 4/15/2029  |  | 1990000 | 1960031 |
| DTE Electric Co 3.65% 3/1/2052  |  | 45000 | 33881 |
| DTE Electric Co 3.95% 6/15/2042  |  | 11000 | 9257 |
| DTE Electric Co 4% 4/1/2043  |  | 142000 | 120528 |
| DTE Electric Co 4.25% 5/14/2027  |  | 553000 | 556804 |
| DTE Electric Co 4.85% 3/1/2036  |  | 85000 | 85575 |
| DTE Electric Co 5.2% 4/1/2033  |  | 700000 | 733426 |
| DTE Electric Co 5.55% 3/1/2056  |  | 90000 | 89841 |
| Duke Energy Carolinas LLC 2.95% 12/1/2026  |  | 370000 | 367634 |
| Duke Energy Carolinas LLC 3.2% 8/15/2049  |  | 351000 | 246570 |
| Duke Energy Carolinas LLC 3.45% 4/15/2051  |  | 410000 | 292277 |
| Duke Energy Carolinas LLC 3.7% 12/1/2047  |  | 1047000 | 805923 |
| Duke Energy Carolinas LLC 4.25% 12/15/2041  |  | 2545000 | 2267890 |
| Duke Energy Carolinas LLC 6.1% 6/1/2037  |  | 775000 | 847447 |
| Duke Energy Corp 3.75% 4/1/2031  | EUR | 300000 | 363485 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 430000 | 514741 |
| Duke Energy Corp 5.8% 6/15/2054  |  | 912000 | 904302 |
| Duke Energy Florida LLC 2.4% 12/15/2031  |  | 1010000 | 924094 |
| Duke Energy Florida LLC 4.2% 7/15/2048  |  | 91000 | 75183 |
| Duke Energy Florida LLC 5.875% 11/15/2033  |  | 1465000 | 1589810 |
| Duke Energy Florida LLC 6.2% 11/15/2053  |  | 120000 | 130253 |
| Duke Energy Florida LLC 6.35% 9/15/2037  |  | 2263000 | 2526360 |
| Duke Energy Indiana LLC 2.75% 4/1/2050  |  | 298000 | 188536 |
| Duke Energy Indiana LLC 3.25% 10/1/2049  |  | 125000 | 87856 |
| Duke Energy Indiana LLC 3.75% 5/15/2046  |  | 450000 | 356076 |
| Duke Energy Indiana LLC 5.4% 4/1/2053  |  | 436000 | 421997 |
| Duke Energy Ohio Inc 4.3% 2/1/2049  |  | 43000 | 35893 |
| Duke Energy Ohio Inc 5.25% 4/1/2033  |  | 1543000 | 1616285 |
| Duke Energy Progress LLC 2.5% 8/15/2050  |  | 543000 | 324701 |
| Duke Energy Progress LLC 3.7% 10/15/2046  |  | 5000 | 3921 |
| Duke Energy Progress LLC 4% 4/1/2052  |  | 83000 | 65415 |
| Duke Energy Progress LLC 4.1% 5/15/2042  |  | 8000 | 6910 |
| Duke Energy Progress LLC 5.55% 3/15/2055  |  | 66000 | 65820 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (o) |  | 470000 | 435053 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (o) |  | 4273000 | 3874746 |
| Edison International 4.125% 3/15/2028  |  | 4200000 | 4178699 |
| Edison International 5.25% 11/15/2028  |  | 94000 | 95803 |
| Edison International 5.25% 3/15/2032  |  | 7400000 | 7535783 |
| Edison International 5.45% 6/15/2029  |  | 1500000 | 1541758 |
| Edison International 6.25% 3/15/2030  |  | 9050000 | 9572073 |
| Edison International 6.95% 11/15/2029  |  | 173000 | 186146 |
| Edison International 7.875% 6/15/2054 (g) |  | 166000 | 172812 |
| Edison International 8.125% 6/15/2053 (g) |  | 514000 | 534295 |
| Entergy Arkansas LLC 2.65% 6/15/2051  |  | 130000 | 78625 |
| Entergy Corp 5.875% 6/15/2056 (g) |  | 252000 | 253212 |
| Entergy Corp 6.1% 6/15/2056 (g) |  | 2485000 | 2505598 |
| Entergy Corp 7.125% 12/1/2054 (g) |  | 1246000 | 1303571 |
| Entergy Louisiana LLC 1.6% 12/15/2030  |  | 218000 | 194359 |
| Entergy Louisiana LLC 2.4% 10/1/2026  |  | 1070000 | 1061025 |
| Entergy Louisiana LLC 2.9% 3/15/2051  |  | 118000 | 75489 |
| Entergy Louisiana LLC 3.05% 6/1/2031  |  | 129000 | 122466 |
| Entergy Louisiana LLC 3.1% 6/15/2041  |  | 127000 | 98119 |
| Entergy Louisiana LLC 4.2% 4/1/2050  |  | 40000 | 32353 |
| Entergy Louisiana LLC 5.15% 9/15/2034  |  | 121000 | 125140 |
| Entergy Louisiana LLC 5.7% 3/15/2054  |  | 250000 | 250825 |
| Entergy Mississippi LLC 3.5% 6/1/2051  |  | 96000 | 68675 |
| Entergy Mississippi LLC 3.85% 6/1/2049  |  | 14000 | 10938 |
| Entergy Mississippi LLC 5% 9/1/2033  |  | 323000 | 332645 |
| Entergy Tex Inc 1.75% 3/15/2031  |  | 3109000 | 2778298 |
| Entergy Tex Inc 3.55% 9/30/2049  |  | 22000 | 15997 |
| Entergy Tex Inc 4.5% 3/30/2039  |  | 201000 | 190026 |
| Entergy Tex Inc 5.25% 4/15/2035  |  | 31000 | 32171 |
| Entergy Tex Inc 5.55% 9/15/2054  |  | 293000 | 285654 |
| Entergy Texas Restoration Funding II LLC 3.697% 12/15/2036  |  | 85000 | 82289 |
| Evergy Metro Inc 4.2% 6/15/2047  |  | 21000 | 17357 |
| Evergy Metro Inc 5.125% 8/15/2035  |  | 4725000 | 4817783 |
| Evergy Missouri West Storm Funding I LLC 5.104% 12/1/2040  |  | 192415 | 200427 |
| Eversource Energy 3.375% 3/1/2032  |  | 170000 | 159399 |
| Eversource Energy 5.95% 2/1/2029  |  | 2000000 | 2098125 |
| Eversource Energy 6.1% 8/15/2056 (g) |  | 135000 | 135616 |
| Eversource Energy 6.35% 8/15/2056 (g) |  | 95000 | 95605 |
| Exelon Corp 4.95% 3/15/2036  |  | 178000 | 176960 |
| Fells Point Funding Trust 3.046% 1/31/2027 (o) |  | 500000 | 495497 |
| FirstEnergy Corp 3.4% 3/1/2050  |  | 2169000 | 1519502 |
| FirstEnergy Corp 3.9% 7/15/2027 (p) |  | 6855000 | 6883301 |
| FirstEnergy Corp 4.85% 7/15/2047 (p) |  | 1097000 | 977826 |
| FirstEnergy Pennsylvania Electric Co 4.3% 1/15/2029 (o) |  | 2755000 | 2771340 |
| FirstEnergy Transmission LLC 4.55% 4/1/2049 (o) |  | 1099000 | 951493 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033  |  | 1176000 | 1185890 |
| FirstEnergy Transmission LLC 5% 1/15/2035  |  | 1824000 | 1849537 |
| FirstEnergy Transmission LLC 5.45% 7/15/2044 (o) |  | 430000 | 422767 |
| Florida Power & Light Co 2.875% 12/4/2051  |  | 151000 | 97736 |
| Florida Power & Light Co 3.15% 10/1/2049  |  | 24000 | 16908 |
| Florida Power & Light Co 3.7% 12/1/2047  |  | 284000 | 220921 |
| Florida Power & Light Co 3.8% 12/15/2042  |  | 1280000 | 1066446 |
| Florida Power & Light Co 3.95% 3/1/2048  |  | 19000 | 15379 |
| Florida Power & Light Co 4.4% 5/15/2028  |  | 100000 | 101276 |
| Florida Power & Light Co 4.8% 5/15/2033  |  | 100000 | 102568 |
| Florida Power & Light Co 4.95% 6/1/2035  |  | 127000 | 130105 |
| Florida Power & Light Co 5.15% 6/15/2029  |  | 1025000 | 1067238 |
| Florida Power & Light Co 5.25% 2/1/2041  |  | 615000 | 624559 |
| Florida Power & Light Co 5.3% 4/1/2053  |  | 35000 | 34072 |
| Florida Power & Light Co 5.6% 2/15/2066  |  | 310000 | 308212 |
| Florida Power & Light Co 5.8% 3/15/2065  |  | 213000 | 218840 |
| Georgia Power Co 3.7% 1/30/2050  |  | 356000 | 271342 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (o) |  | 95000 | 96830 |
| Interstate Power and Light Co 5.45% 9/30/2054  |  | 2165000 | 2079039 |
| ITC Holdings Corp 2.95% 5/14/2030 (o) |  | 262000 | 249322 |
| ITC Holdings Corp 4.95% 9/22/2027 (o) |  | 456000 | 461700 |
| ITC Holdings Corp 5.4% 6/1/2033 (o) |  | 637000 | 660844 |
| ITC Holdings Corp 5.65% 5/9/2034 (o) |  | 1235000 | 1301619 |
| Jersey Central Power & Light Co 2.75% 3/1/2032 (o) |  | 3750000 | 3426498 |
| Jersey Central Power & Light Co 4.15% 1/15/2029 (o) |  | 4900000 | 4920399 |
| Jersey Central Power & Light Co 5.1% 1/15/2035  |  | 1050000 | 1078409 |
| Kentucky Utilities Co 5.125% 11/1/2040  |  | 35000 | 34921 |
| Louisville Gas and Electric Co 5.125% 11/15/2040  |  | 345000 | 345222 |
| MidAmerican Energy Co 3.65% 8/1/2048  |  | 58000 | 44481 |
| MidAmerican Energy Co 4.25% 5/1/2046  |  | 100000 | 85778 |
| MidAmerican Energy Co 5.85% 9/15/2054  |  | 193000 | 201088 |
| Nevada Power Co 5.375% 9/15/2040  |  | 18000 | 18251 |
| Nevada Power Co 6% 3/15/2054  |  | 110000 | 113806 |
| Nevada Power Co 6.25% 5/15/2055 (g) |  | 258000 | 262109 |
| Nevada Power Co 6.65% 4/1/2036  |  | 1550000 | 1762991 |
| NextEra Energy Capital Holdings Inc 2.25% 6/1/2030  |  | 970000 | 900088 |
| NextEra Energy Capital Holdings Inc 2.75% 11/1/2029  |  | 1660000 | 1592244 |
| NextEra Energy Capital Holdings Inc 3% 1/15/2052  |  | 100000 | 64234 |
| NextEra Energy Capital Holdings Inc 3.83% 6/12/2030  | CAD | 12100000 | 9019562 |
| NextEra Energy Capital Holdings Inc 4.685% 9/1/2027  |  | 183000 | 185075 |
| NextEra Energy Capital Holdings Inc 4.9% 2/28/2028  |  | 100000 | 101802 |
| NextEra Energy Capital Holdings Inc 5.25% 2/28/2053  |  | 81000 | 75596 |
| NextEra Energy Capital Holdings Inc 6.375% 8/15/2055 (g) |  | 551000 | 572316 |
| NextEra Energy Capital Holdings Inc 6.5% 8/15/2055 (g) |  | 265000 | 280933 |
| NextEra Energy Capital Holdings Inc 6.7% 9/1/2054 (g) |  | 154000 | 159905 |
| NextEra Energy Capital Holdings Inc 6.75% 6/15/2054 (g) |  | 371000 | 394711 |
| Niagara Mohawk Power Corp 4.647% 10/3/2030 (o) |  | 4000000 | 4062609 |
| Northern States Power Co/MN 2.9% 3/1/2050  |  | 182000 | 121600 |
| Northern States Power Co/MN 4.5% 6/1/2052  |  | 78000 | 67269 |
| Northern States Power Co/MN 5.35% 11/1/2039  |  | 100000 | 102867 |
| Northern States Power Co/MN 6.25% 6/1/2036  |  | 83000 | 92722 |
| NRG Energy Inc 2.45% 12/2/2027 (o) |  | 106000 | 102697 |
| NRG Energy Inc 3.375% 2/15/2029 (o) |  | 188000 | 181193 |
| NRG Energy Inc 3.625% 2/15/2031 (o) |  | 823000 | 776852 |
| NRG Energy Inc 3.875% 2/15/2032 (o) |  | 889000 | 834056 |
| NRG Energy Inc 4.45% 6/15/2029 (o) |  | 263000 | 263210 |
| NRG Energy Inc 4.734% 10/15/2030 (o) |  | 210000 | 211969 |
| NRG Energy Inc 5.25% 6/15/2029 (o) |  | 497000 | 498734 |
| NRG Energy Inc 5.407% 10/15/2035 (o) |  | 803000 | 811564 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 585000 | 584959 |
| NRG Energy Inc 5.75% 1/15/2034 (o) |  | 845000 | 856554 |
| NRG Energy Inc 6% 1/15/2036 (o) |  | 455000 | 463039 |
| NRG Energy Inc 6% 2/1/2033 (o) |  | 100000 | 102420 |
| NRG Energy Inc 6.25% 11/1/2034 (o) |  | 435000 | 449863 |
| NRG Energy Inc 7% 3/15/2033 (o) |  | 1170000 | 1302039 |
| NSTAR Electric Co 1.95% 8/15/2031  |  | 235000 | 209357 |
| NSTAR Electric Co 3.25% 5/15/2029  |  | 194000 | 190209 |
| NSTAR Electric Co 5.4% 6/1/2034  |  | 100000 | 104578 |
| Ohio Edison Co 6.875% 7/15/2036  |  | 1650000 | 1908045 |
| Ohio Power Co 2.9% 10/1/2051  |  | 227000 | 142620 |
| Ohio Power Co 4.15% 4/1/2048  |  | 129000 | 104936 |
| Oncor Electric Delivery Co LLC 3.1% 9/15/2049  |  | 54000 | 36411 |
| Oncor Electric Delivery Co LLC 3.7% 5/15/2050  |  | 100000 | 75741 |
| Oncor Electric Delivery Co LLC 4.65% 11/1/2029  |  | 2305000 | 2358081 |
| Oncor Electric Delivery Co LLC 4.95% 9/15/2052  |  | 190000 | 173457 |
| Oncor Electric Delivery Co LLC 5.3% 6/1/2042  |  | 55000 | 54739 |
| Oncor Electric Delivery Co LLC 5.35% 10/1/2052  |  | 16000 | 15301 |
| Oncor Electric Delivery Co LLC 5.35% 4/1/2035 (o) |  | 1745000 | 1817229 |
| Pacific Gas and Electric Co 3.25% 6/1/2031  |  | 710000 | 669298 |
| Pacific Gas and Electric Co 3.3% 8/1/2040  |  | 2035000 | 1580103 |
| Pacific Gas and Electric Co 3.5% 8/1/2050  |  | 1029000 | 710565 |
| Pacific Gas and Electric Co 3.75% 8/15/2042  |  | 1862000 | 1447114 |
| Pacific Gas and Electric Co 3.95% 12/1/2047  |  | 216000 | 164450 |
| Pacific Gas and Electric Co 4% 12/1/2046  |  | 1045000 | 806153 |
| Pacific Gas and Electric Co 4.2% 6/1/2041  |  | 263000 | 221839 |
| Pacific Gas and Electric Co 4.45% 4/15/2042  |  | 87000 | 74387 |
| Pacific Gas and Electric Co 4.5% 7/1/2040  |  | 5420000 | 4811691 |
| Pacific Gas and Electric Co 4.55% 7/1/2030  |  | 4952000 | 4975406 |
| Pacific Gas and Electric Co 4.6% 6/15/2043  |  | 57000 | 48767 |
| Pacific Gas and Electric Co 4.65% 8/1/2028  |  | 2319000 | 2346227 |
| Pacific Gas and Electric Co 4.75% 2/15/2044  |  | 1505000 | 1307260 |
| Pacific Gas and Electric Co 4.95% 7/1/2050  |  | 6344000 | 5492335 |
| Pacific Gas and Electric Co 5% 6/4/2028  |  | 11819000 | 12039958 |
| Pacific Gas and Electric Co 5.2% 5/1/2036  |  | 95000 | 95315 |
| Pacific Gas and Electric Co 5.25% 3/1/2052  |  | 398000 | 354476 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  |  | 776000 | 755165 |
| Pacific Gas and Electric Co 6% 5/1/2056  |  | 320000 | 316057 |
| Pacific Gas and Electric Co 6% 8/15/2035  |  | 11600000 | 12359907 |
| Pacific Gas and Electric Co 6.1% 1/15/2029  |  | 649000 | 681606 |
| Pacific Gas and Electric Co 6.1% 10/15/2055  |  | 1685000 | 1688477 |
| Pacific Gas and Electric Co 6.15% 3/1/2055  |  | 761000 | 766323 |
| Pacific Gas and Electric Co 6.4% 6/15/2033  |  | 812000 | 884703 |
| Pacific Gas and Electric Co 6.75% 1/15/2053  |  | 1600000 | 1728905 |
| PacifiCorp 2.9% 6/15/2052  |  | 1000000 | 600080 |
| PacifiCorp 3.5% 6/15/2029  |  | 182000 | 178355 |
| PacifiCorp 4.125% 1/15/2049  |  | 836000 | 637317 |
| PacifiCorp 5.25% 6/15/2035  |  | 1020000 | 1033199 |
| PacifiCorp 5.75% 4/1/2037  |  | 1165000 | 1190738 |
| PacifiCorp 5.8% 1/15/2055  |  | 137000 | 130499 |
| PacifiCorp 6.35% 7/15/2038  |  | 295000 | 314280 |
| Palomino Funding Trust I 7.233% 5/17/2028 (o) |  | 300000 | 317138 |
| PECO Energy Co 2.8% 6/15/2050  |  | 21000 | 13379 |
| PECO Energy Co 3.05% 3/15/2051  |  | 117000 | 78029 |
| PECO Energy Co 3.7% 9/15/2047  |  | 66000 | 51210 |
| PECO Energy Co 4.875% 9/15/2035  |  | 100000 | 101364 |
| PG&E Corp 5% 7/1/2028  |  | 542000 | 540567 |
| PG&E Corp 5.25% 7/1/2030  |  | 1737000 | 1738438 |
| PG&E Corp 6.85% 9/15/2056 (g) |  | 938000 | 936481 |
| PG&E Corp 7.375% 3/15/2055 (g) |  | 3235000 | 3348158 |
| PG&E Recovery Funding LLC 4.838% 6/1/2035  |  | 2950816 | 3026713 |
| PG&E Recovery Funding LLC 5.231% 6/1/2042  |  | 345000 | 355453 |
| PG&E Recovery Funding LLC 5.529% 6/1/2051  |  | 415000 | 429100 |
| PG&E Recovery Funding LLC 5.536% 7/15/2049  |  | 119000 | 122077 |
| PG&E Wildfire Recovery Funding LLC 4.263% 6/1/2038  |  | 31000 | 30740 |
| PG&E Wildfire Recovery Funding LLC 5.099% 6/1/2054  |  | 85000 | 81419 |
| PG&E Wildfire Recovery Funding LLC 5.212% 12/1/2049  |  | 23000 | 22853 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  |  | 1188000 | 1230824 |
| Pinnacle West Capital Corp U.S. SOFR Index + 0.82%, 4.5211% 6/10/2026 (f)(g) |  | 4100000 | 4104513 |
| PPL Electric Utilities Corp 4.125% 6/15/2044  |  | 1990000 | 1699774 |
| PPL Electric Utilities Corp 4.85% 2/15/2034  |  | 460000 | 470786 |
| PPL Electric Utilities Corp 5.25% 5/15/2053  |  | 76000 | 73215 |
| PPL Electric Utilities Corp 6.25% 5/15/2039  |  | 350000 | 389273 |
| Public Service Co of Colorado 1.875% 6/15/2031  |  | 192000 | 170964 |
| Public Service Co of Colorado 2.7% 1/15/2051  |  | 198000 | 121324 |
| Public Service Co of Colorado 4.05% 9/15/2049  |  | 77000 | 61291 |
| Public Service Co of Colorado 5.25% 4/1/2053  |  | 937000 | 882020 |
| Public Service Co of Colorado 5.35% 5/15/2034  |  | 3825000 | 3992852 |
| Public Service Co of New Hampshire 4.4% 7/1/2028  |  | 2650000 | 2685765 |
| Public Service Co of New Hampshire 5.35% 10/1/2033  |  | 2875000 | 3033924 |
| Public Service Co of Oklahoma 3.15% 8/15/2051  |  | 70000 | 46912 |
| Public Service Co of Oklahoma 5.2% 1/15/2035  |  | 1155000 | 1179581 |
| Public Service Co of Oklahoma 5.25% 1/15/2033  |  | 113000 | 117044 |
| Public Service Co of Oklahoma 5.45% 1/15/2036  |  | 3580000 | 3709322 |
| Public Service Electric and Gas Co 3.6% 12/1/2047  |  | 410000 | 311866 |
| Public Service Electric and Gas Co 3.65% 9/1/2028  |  | 960000 | 957571 |
| Public Service Electric and Gas Co 3.65% 9/1/2042  |  | 625000 | 511318 |
| Public Service Electric and Gas Co 3.95% 5/1/2042  |  | 505000 | 435566 |
| Public Service Electric and Gas Co 4.65% 3/15/2033  |  | 2890000 | 2924203 |
| Public Service Electric and Gas Co 5.45% 8/1/2053  |  | 163000 | 160955 |
| Public Service Electric and Gas Co 5.8% 5/1/2037  |  | 49000 | 53150 |
| Puget Sound Energy Inc 2.893% 9/15/2051  |  | 38000 | 24879 |
| Puget Sound Energy Inc 5.448% 6/1/2053  |  | 15000 | 14680 |
| Puget Sound Energy Inc 5.685% 6/15/2054  |  | 931000 | 940836 |
| Puget Sound Energy Inc 5.764% 7/15/2040  |  | 26000 | 26837 |
| SCE Recovery Funding LLC 4.697% 6/15/2042  |  | 27261 | 27474 |
| SCE Recovery Funding LLC 5.112% 12/14/2049  |  | 9000 | 8843 |
| Sierra Pacific Power Co 6.2% 12/15/2055 (g) |  | 325000 | 323178 |
| Sigeco Securitization I LLC 5.026% 11/15/2038  |  | 18941 | 19520 |
| Sigeco Securitization I LLC 5.172% 5/15/2043  |  | 8000 | 8126 |
| Southern California Edison Co 2.5% 6/1/2031  |  | 190000 | 173661 |
| Southern California Edison Co 2.95% 2/1/2051  |  | 257000 | 161169 |
| Southern California Edison Co 3.6% 2/1/2045  |  | 2937000 | 2181253 |
| Southern California Edison Co 3.65% 3/1/2028  |  | 3929000 | 3903081 |
| Southern California Edison Co 3.9% 12/1/2041  |  | 595000 | 482611 |
| Southern California Edison Co 4.125% 3/1/2048  |  | 1139000 | 891460 |
| Southern California Edison Co 4.4% 9/6/2026  |  | 900000 | 901407 |
| Southern California Edison Co 4.65% 10/1/2043  |  | 550000 | 476762 |
| Southern California Edison Co 4.7% 6/1/2027  |  | 486000 | 489584 |
| Southern California Edison Co 4.9% 6/1/2026  |  | 2295000 | 2296303 |
| Southern California Edison Co 5.2% 6/1/2034  |  | 180000 | 182986 |
| Southern California Edison Co 5.25% 3/15/2030  |  | 3400000 | 3513929 |
| Southern California Edison Co 5.3% 3/1/2028  |  | 3420000 | 3499403 |
| Southern California Edison Co 5.45% 3/1/2035  |  | 601000 | 618385 |
| Southern California Edison Co 5.45% 6/1/2031  |  | 240000 | 251425 |
| Southern California Edison Co 5.45% 6/1/2052  |  | 100000 | 91705 |
| Southern California Edison Co 5.55% 1/15/2037  |  | 430000 | 438592 |
| Southern California Edison Co 5.65% 10/1/2028  |  | 500000 | 518697 |
| Southern California Edison Co 5.7% 3/1/2053  |  | 458000 | 436175 |
| Southern California Edison Co 5.75% 4/15/2054  |  | 75000 | 72184 |
| Southern California Edison Co 5.85% 11/1/2027  |  | 2500000 | 2568978 |
| Southern California Edison Co 5.875% 12/1/2053  |  | 630000 | 618965 |
| Southern California Edison Co 5.95% 2/1/2038  |  | 100000 | 104331 |
| Southern California Edison Co 6.05% 3/15/2039  |  | 182000 | 190437 |
| Southern Co/The 1.875% 9/15/2081 (g) | EUR | 450000 | 520105 |
| Southern Co/The 3.75% 9/15/2051 (g) |  | 3000000 | 2977119 |
| Southern Co/The 5.2% 6/15/2033  |  | 174000 | 180220 |
| Southern Co/The 5.5% 3/15/2029  |  | 320000 | 333535 |
| Southern Co/The 5.7% 10/15/2032  |  | 1203000 | 1287683 |
| Southwestern Electric Power Co 3.25% 11/1/2051  |  | 100000 | 66503 |
| Southwestern Electric Power Co 3.9% 4/1/2045  |  | 36000 | 28352 |
| Southwestern Electric Power Co 5.3% 4/1/2033  |  | 1926000 | 1997010 |
| Southwestern Public Service Co 4.5% 8/15/2041  |  | 35000 | 31564 |
| Southwestern Public Service Co 5.15% 6/1/2052  |  | 3000000 | 2547701 |
| Swepco Storm Recovery Funding LLC 4.88% 9/1/2041  |  | 8315341 | 8448840 |
| Tucson Electric Power Co 3.25% 5/15/2032  |  | 1200000 | 1126504 |
| Tucson Electric Power Co 5.5% 4/15/2053  |  | 63000 | 61245 |
| Union Electric Co 2.95% 3/15/2030  |  | 100000 | 96140 |
| Union Electric Co 3.9% 4/1/2052  |  | 38000 | 29562 |
| Union Electric Co 4% 4/1/2048  |  | 59000 | 47548 |
| Union Electric Co 4.8% 3/15/2036  |  | 96000 | 96213 |
| Union Electric Co 5.25% 1/15/2054  |  | 275000 | 262062 |
| Union Electric Co 5.45% 3/15/2053  |  | 240000 | 236450 |
| Union Electric Co 5.55% 3/15/2056  |  | 96000 | 95482 |
| Virginia Electric and Power Co 2.45% 12/15/2050  |  | 135000 | 78188 |
| Virginia Electric and Power Co 3.8% 4/1/2028  |  | 229000 | 228903 |
| Virginia Electric and Power Co 3.8% 9/15/2047  |  | 140000 | 108670 |
| Virginia Electric and Power Co 4.95% 3/15/2036  |  | 1065000 | 1063262 |
| Virginia Electric and Power Co 5% 1/15/2034  |  | 125000 | 127530 |
| Virginia Electric and Power Co 5.05% 8/15/2034  |  | 672000 | 685343 |
| Virginia Electric and Power Co 5.7% 8/15/2053  |  | 250000 | 247974 |
| Virginia Electric and Power Co 6% 1/15/2036  |  | 470000 | 507684 |
| Virginia Electric and Power Co 6.35% 11/30/2037  |  | 100000 | 111001 |
| Vistra Operations Co LLC 3.7% 1/30/2027 (o) |  | 2900000 | 2886602 |
| Vistra Operations Co LLC 4.3% 10/15/2028 (o) |  | 1617000 | 1618667 |
| Vistra Operations Co LLC 4.3% 7/15/2029 (o) |  | 2146000 | 2147067 |
| Vistra Operations Co LLC 4.375% 5/1/2029 (o) |  | 1101000 | 1088704 |
| Vistra Operations Co LLC 4.6% 10/15/2030 (o) |  | 91000 | 91576 |
| Vistra Operations Co LLC 4.7% 1/31/2031 (o) |  | 670000 | 673833 |
| Vistra Operations Co LLC 5% 7/31/2027 (o) |  | 398000 | 397426 |
| Vistra Operations Co LLC 5.05% 12/30/2026 (o) |  | 1140000 | 1152374 |
| Vistra Operations Co LLC 5.35% 1/31/2036 (o) |  | 470000 | 473254 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (o) |  | 5864000 | 5861964 |
| Vistra Operations Co LLC 5.7% 12/30/2034 (o) |  | 305000 | 316080 |
| Vistra Operations Co LLC 6% 4/15/2034 (o) |  | 2702000 | 2864439 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (o) |  | 1105000 | 1167720 |
| Wisconsin Public Service Corp 4.55% 12/1/2029  |  | 2450000 | 2500337 |
| Wisconsin Public Service Corp 4.752% 11/1/2044  |  | 30000 | 27526 |
| Xcel Energy Inc 1.75% 3/15/2027  |  | 2540000 | 2484658 |
| Xcel Energy Inc 4% 6/15/2028  |  | 1700000 | 1703021 |
| Xcel Energy Inc 5.75% 12/3/2056 (g) |  | 335000 | 334998 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (o) |  | 125000 | 129744 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (o) |  | 150000 | 155528 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (o) |  | 220000 | 232947 |
|  |  |  | 365604079 |
| Gas Utilities - 0.0% |  |  |  |
| AmeriGas Partners LP / AmeriGas Finance Corp 5.75% 5/20/2027  |  | 414000 | 417412 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.375% 6/1/2028 (o) |  | 268000 | 277001 |
| AmeriGas Partners LP / AmeriGas Finance Corp 9.5% 6/1/2030 (o) |  | 327000 | 350011 |
| Atmos Energy Corp 2.85% 2/15/2052  |  | 27000 | 17397 |
| Atmos Energy Corp 5.5% 6/15/2041  |  | 57000 | 58966 |
| Atmos Energy Corp 5.75% 10/15/2052  |  | 77000 | 79048 |
| Boston Gas Co 3.757% 3/16/2032 (o) |  | 320000 | 307113 |
| Brooklyn Union Gas Co/The 4.273% 3/15/2048 (o) |  | 29000 | 23707 |
| Cameron LNG LLC 3.302% 1/15/2035 (o) |  | 458000 | 408640 |
| Cameron LNG LLC 3.402% 1/15/2038 (o) |  | 697000 | 620830 |
| CenterPoint Energy Resources Corp 1.75% 10/1/2030  |  | 75000 | 67635 |
| CenterPoint Energy Resources Corp 5.25% 3/1/2028  |  | 3110000 | 3193641 |
| CenterPoint Energy Resources Corp 5.4% 7/1/2034  |  | 34000 | 35488 |
| East Ohio Gas Co/The 2% 6/15/2030 (o) |  | 1960000 | 1790940 |
| Eastern Energy Gas Holdings LLC 5.65% 10/15/2054  |  | 1580000 | 1560809 |
| Eastern Energy Gas Holdings LLC 5.8% 1/15/2035  |  | 100000 | 107260 |
| Ferrellgas LP / Ferrellgas Finance Corp 5.875% 4/1/2029 (o) |  | 1124000 | 1086578 |
| Ferrellgas LP / Ferrellgas Finance Corp 9.25% 1/15/2031 (o) |  | 878000 | 910959 |
| KeySpan Gas East Corp 5.994% 3/6/2033 (o) |  | 2860000 | 3055520 |
| National Fuel Gas Co 5.5% 3/15/2030  |  | 3800000 | 3954475 |
| Piedmont Natural Gas Co Inc 2.5% 3/15/2031  |  | 147000 | 135495 |
| Piedmont Natural Gas Co Inc 3.35% 6/1/2050  |  | 83000 | 57843 |
| Piedmont Natural Gas Co Inc 5.05% 5/15/2052  |  | 45000 | 41196 |
| Piedmont Natural Gas Co Inc 5.1% 2/15/2035  |  | 2190000 | 2243481 |
| Southern California Gas Co 5.05% 9/1/2034  |  | 1360000 | 1396467 |
| Southern Co Gas Capital Corp 3.15% 9/30/2051  |  | 827000 | 548791 |
| Southern Co Gas Capital Corp 5.75% 9/15/2033  |  | 1400000 | 1494841 |
| Spire Inc 4.6% 9/1/2031  |  | 132000 | 133064 |
| Suburban Propane Partners LP/Suburban Energy Finance Corp 6.5% 12/15/2035 (o) |  | 655000 | 648341 |
|  |  |  | 25022949 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 3600000 | 3338259 |
| AES Corp/The 3.95% 7/15/2030 (o) |  | 9327000 | 9165549 |
| AES Corp/The 5.45% 6/1/2028  |  | 2600000 | 2660057 |
| AES Corp/The 5.8% 3/15/2032  |  | 2500000 | 2611542 |
| AES Corp/The 6.95% 7/15/2055 (g) |  | 100000 | 96627 |
| Alpha Generation LLC 6.25% 1/15/2034 (o) |  | 170000 | 172636 |
| Alpha Generation LLC 6.75% 10/15/2032 (o) |  | 245000 | 254560 |
| Calpine LLC 5.125% 3/15/2028 (o) |  | 4340000 | 4338392 |
| Constellation Energy Generation LLC 3.75% 3/1/2031 (o) |  | 350000 | 340368 |
| Constellation Energy Generation LLC 3.9% 1/8/2028  |  | 2435000 | 2436024 |
| Constellation Energy Generation LLC 4.625% 2/1/2029 (o) |  | 1200000 | 1200222 |
| Constellation Energy Generation LLC 5% 2/1/2031 (o) |  | 3365000 | 3415927 |
| Constellation Energy Generation LLC 5.6% 6/15/2042  |  | 100000 | 101565 |
| Constellation Energy Generation LLC 5.75% 10/1/2041  |  | 935000 | 972186 |
| Constellation Energy Generation LLC 6.25% 10/1/2039  |  | 245000 | 268636 |
| Southern Power Co 5.15% 9/15/2041  |  | 150000 | 146712 |
| Sunnova Energy Corp 5.875% (l)(m)(o) |  | 210000 | 525 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (o) |  | 415000 | 422302 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (o) |  | 300000 | 308450 |
| TerraForm Power Operating LLC 5% 1/31/2028 (o) |  | 130000 | 130165 |
| VoltaGrid LLC 7.375% 11/1/2030 (o) |  | 849000 | 886518 |
|  |  |  | 33267222 |
| Multi-Utilities - 0.2% |  |  |  |
| Ameren Corp 3.5% 1/15/2031  |  | 119000 | 115460 |
| Ameren Illinois Co 3.25% 3/15/2050  |  | 115000 | 80176 |
| Ameren Illinois Co 3.7% 12/1/2047  |  | 130000 | 100831 |
| Ameren Illinois Co 3.85% 9/1/2032  |  | 125000 | 121809 |
| Ameren Illinois Co 4.15% 3/15/2046  |  | 1135000 | 958923 |
| Ameren Illinois Co 4.95% 6/1/2033  |  | 1419000 | 1464789 |
| Berkshire Hathaway Energy Co 2.85% 5/15/2051  |  | 80000 | 50513 |
| Berkshire Hathaway Energy Co 4.45% 1/15/2049  |  | 160000 | 134909 |
| Berkshire Hathaway Energy Co 5.15% 11/15/2043  |  | 90000 | 87456 |
| Black Hills Corp 4.55% 1/31/2031  |  | 6000000 | 6060037 |
| CenterPoint Energy Inc 5.95% 4/1/2056 (g) |  | 1600000 | 1615461 |
| CenterPoint Energy Inc 6.7% 5/15/2055 (g) |  | 133000 | 137483 |
| CenterPoint Energy Inc 7% 2/15/2055 (g) |  | 276000 | 290079 |
| CMS Energy Corp 3.75% 12/1/2050 (g) |  | 144000 | 134040 |
| Consumers Energy Co 3.95% 5/15/2043  |  | 225000 | 190530 |
| Consumers Energy Co 4.35% 4/15/2049  |  | 14000 | 11978 |
| Consumers Energy Co 4.35% 8/31/2064  |  | 14000 | 11198 |
| Consumers Energy Co 4.625% 5/15/2033  |  | 279000 | 282779 |
| Consumers Energy Co 5.05% 5/15/2035  |  | 30000 | 30904 |
| Dominion Energy Inc 4.9% 8/1/2041  |  | 1000 | 931 |
| Dominion Energy Inc 5% 6/15/2030  |  | 3800000 | 3917577 |
| Dominion Energy Inc 6% 2/15/2056 (g) |  | 1134000 | 1150730 |
| Dominion Energy Inc 6.2% 2/15/2056 (g) |  | 2210000 | 2249906 |
| Dominion Energy Inc 6.625% 5/15/2055 (g) |  | 995000 | 1032857 |
| Dominion Energy Inc 6.875% 2/1/2055 (g) |  | 591000 | 618839 |
| Dominion Energy Inc 7% 6/1/2054 (g) |  | 736000 | 798988 |
| Dominion Energy Inc 7% 6/15/2038  |  | 150000 | 170768 |
| DTE Energy Co 4.875% 6/1/2028  |  | 280000 | 285392 |
| DTE Energy Co 4.95% 7/1/2027  |  | 5105000 | 5165807 |
| DTE Energy Co 5.1% 3/1/2029  |  | 300000 | 308661 |
| DTE Energy Co 5.2% 4/1/2030  |  | 3900000 | 4055236 |
| DTE Energy Co 5.85% 6/1/2034  |  | 800000 | 860478 |
| NiSource Inc 2.95% 9/1/2029  |  | 11346000 | 10956120 |
| NiSource Inc 4.8% 2/15/2044  |  | 53000 | 48257 |
| NiSource Inc 5.2% 7/1/2029  |  | 3060000 | 3168674 |
| NiSource Inc 5.25% 3/30/2028  |  | 130000 | 133295 |
| NiSource Inc 5.75% 7/15/2056 (g) |  | 100000 | 100618 |
| NiSource Inc 5.95% 6/15/2041  |  | 640000 | 671628 |
| NiSource Inc 6.375% 3/31/2055 (g) |  | 112000 | 116970 |
| NiSource Inc 6.95% 11/30/2054 (g) |  | 375000 | 391811 |
| Public Service Enterprise Group Inc 5.2% 4/1/2029  |  | 300000 | 310053 |
| Puget Energy Inc 2.379% 6/15/2028  |  | 815000 | 785418 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 5379000 | 5309150 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 5488000 | 5363861 |
| San Diego Gas & Electric Co 1.7% 10/1/2030  |  | 5475000 | 4930863 |
| San Diego Gas & Electric Co 2.95% 8/15/2051  |  | 80000 | 52401 |
| San Diego Gas & Electric Co 3% 3/15/2032  |  | 311000 | 288989 |
| San Diego Gas & Electric Co 3.32% 4/15/2050  |  | 139000 | 97288 |
| San Diego Gas & Electric Co 3.75% 6/1/2047  |  | 1210000 | 942406 |
| San Diego Gas & Electric Co 4.1% 6/15/2049  |  | 925000 | 743357 |
| San Diego Gas & Electric Co 4.5% 8/15/2040  |  | 7000 | 6466 |
| San Diego Gas & Electric Co 4.95% 8/15/2028  |  | 942000 | 966651 |
| San Diego Gas & Electric Co 5.35% 4/1/2053  |  | 336000 | 319625 |
| San Diego Gas & Electric Co 5.4% 4/15/2035  |  | 56000 | 58358 |
| Sempra 3.4% 2/1/2028  |  | 437000 | 432227 |
| Sempra 4% 2/1/2048  |  | 965000 | 749024 |
| Sempra 4.125% 4/1/2052 (g) |  | 3845000 | 3795120 |
| Sempra 6.375% 4/1/2056 (g) |  | 539000 | 551894 |
| Sempra 6.55% 4/1/2055 (g) |  | 239000 | 243990 |
| Sempra 6.625% 4/1/2055 (g) |  | 434000 | 441147 |
| WEC Energy Group Inc 1.8% 10/15/2030  |  | 291000 | 261749 |
| WEC Energy Group Inc 4.75% 1/15/2028  |  | 4080000 | 4142098 |
| WEC Energy Group Inc 5.6% 9/12/2026  |  | 97000 | 97706 |
| WEC Energy Group Inc 5.625% 5/15/2056 (g) |  | 3000000 | 3018927 |
|  |  |  | 81991666 |
| Water Utilities - 0.0% |  |  |  |
| American Water Capital Corp 2.3% 6/1/2031  |  | 138000 | 126244 |
| TOTAL UTILITIES |  |  | 506012160 |
| TOTAL UNITED STATES |  |  | 4891350895 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (o) |  | 200000 | 200642 |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (o) |  | 1705000 | 1783979 |
| First Quantum Minerals Ltd 8% 3/1/2033 (o) |  | 1335000 | 1422603 |
| TOTAL ZAMBIA |  |  | 3407224 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $6,334,799,331) |  |  | <br> **6376240672** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** | &nbsp;&nbsp;**Non-Convertible Preferred Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| JAMAICA - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |
| Digicel Ltd (l)(n)<br>(Cost $111,017)<br>| 6735 | **84659** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** | &nbsp;&nbsp;**Preferred Securities - 0.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Enbridge Inc 8.25% 1/15/2084 (g) |  | 765000 | 831897 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Nova Scotia/The CME Term SOFR 3 month Index + 2.9096%, 6.5593% (f)(g)(v) |  | 12927000 | 13029168 |
| TOTAL CANADA |  |  | 13861065 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (g)(q)(v) | EUR | 195000 | 216675 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (g)(q)(v) | EUR | 320000 | 344155 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 6.875% (g)(o)(v) |  | 200000 | 203923 |
| BNP Paribas SA 7.375% (g)(o)(v) |  | 250000 | 271372 |
| BNP Paribas SA 7.45% (g)(o)(v) |  | 200000 | 213928 |
| Credit Agricole SA 5.875% (g)(q)(v) | EUR | 100000 | 124443 |
|  |  |  | 813666 |
| Insurance - 0.0% |  |  |  |
| BNP Paribas Cardif SA 6% (g)(q)(v) | EUR | 100000 | 121899 |
| TOTAL FINANCIALS |  |  | 935565 |
| Industrials - 0.0% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| Air France-KLM 5.75% (g)(q)(v) | EUR | 200000 | 248639 |
| Transportation Infrastructure - 0.0% |  |  |  |
| La Poste SA 5% (g)(q)(v) | EUR | 100000 | 126867 |
| TOTAL INDUSTRIALS |  |  | 375506 |
| Real Estate - 0.0% |  |  |  |
| Retail REITs - 0.0% |  |  |  |
| Unibail-Rodamco-Westfield SE 4.75% (g)(q)(v) | EUR | 100000 | 123428 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 4.375% (g)(q)(v) | EUR | 100000 | 120134 |
| Electricite de France SA 5.625% (g)(q)(v) | EUR | 200000 | 256727 |
| Electricite de France SA 9.125% (g)(o)(v) |  | 570000 | 688888 |
|  |  |  | 1065749 |
| Multi-Utilities - 0.0% |  |  |  |
| Veolia Environnement SA 4.322% (g)(q)(v) | EUR | 100000 | 119807 |
| TOTAL UTILITIES |  |  | 1185556 |
| TOTAL FRANCE |  |  | 2620055 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.875% (g)(q)(v) | EUR | 400000 | 483011 |
| Volkswagen International Finance NV 4.375% (g)(q)(v) | EUR | 100000 | 121510 |
| Volkswagen International Finance NV 5.994% (g)(q)(v) | EUR | 100000 | 126960 |
| Volkswagen International Finance NV 7.875% (g)(q)(v) | EUR | 700000 | 996092 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1727573 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Wintershall Dea Finance 2 BV 6.117% (g)(q)(v) | EUR | 100000 | 126488 |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Deutsche Bank AG 4.625% (g)(q)(v) | EUR | 200000 | 244713 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aroundtown Finance Sarl 5.125% (g)(q)(v) | EUR | 100000 | 114465 |
| Aroundtown Finance Sarl 5.25% (g)(q)(v) | EUR | 225000 | 264153 |
| Aroundtown Finance Sarl 7.875% (g)(v) |  | 750000 | 786674 |
| Grand City Properties SA 1.5% (g)(q)(v) | EUR | 500000 | 594315 |
| TOTAL REAL ESTATE |  |  | 1759607 |
| TOTAL GERMANY |  |  | 3858381 |
| ITALY - 0.0%  |  |  |  |
| Industrials - 0.0% |  |  |  |
| Electrical Equipment - 0.0% |  |  |  |
| Prysmian SpA 5.25% (g)(q)(v) | EUR | 100000 | 126770 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Enel SpA 4.5% (g)(q)(v) | EUR | 535000 | 633459 |
| TOTAL ITALY |  |  | 760229 |
| JAPAN - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Rakuten Group Inc 4.25% (g)(q)(v) | EUR | 200000 | 242010 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Vivion Investments Sarl 8.125% (g)(q)(v) | EUR | 100000 | 113876 |
| PHILIPPINES - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| San Miguel Global Power Holdings Corp 8.375% (g)(q)(v) |  | 300000 | 306901 |
| SINGAPORE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| United Overseas Bank Ltd 3% (g)(q)(v) | SGD | 500000 | 395857 |
| SPAIN - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Telefonica Emisiones SA 4.381% (g)(q)(v) | EUR | 100000 | 118370 |
| Telefonica Europe BV 6.75% (g)(q)(v) | EUR | 100000 | 134396 |
| TOTAL COMMUNICATION SERVICES |  |  | 252766 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Santander SA 9.625% (g)(v) |  | 1000000 | 1112780 |
| TOTAL SPAIN |  |  | 1365546 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.625% (g)(q)(v) | EUR | 185000 | 218923 |
| Heimstaden Bostad AB 6.25% (g)(q)(v) | EUR | 135000 | 179167 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (f)(g)(m)(q)(v) | EUR | 625000 | 556643 |
| TOTAL SWEDEN |  |  | 954733 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (f)(g)(l)(m)(q)(v) |  | 2750000 | 660000 |
| UBS Group AG 7.125% (g)(q)(v) | AUD | 290000 | 206637 |
| UBS Group AG 9.25% (g)(o)(v) |  | 200000 | 239418 |
| UBS Group AG 9.25% (g)(o)(v) |  | 200000 | 223534 |
| TOTAL SWITZERLAND |  |  | 1329589 |
| THAILAND - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Thaioil Treasury Center Co Ltd 6.1% (g)(q)(v) |  | 400000 | 405235 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 7.625% (g)(v) |  | 315000 | 339556 |
| Barclays PLC 8.875% (g)(q)(v) | GBP | 300000 | 433416 |
| HSBC Holdings PLC 7.05% (g)(v) |  | 250000 | 266088 |
| NatWest Group PLC 8.125% (g)(v) |  | 290000 | 330998 |
| Standard Chartered PLC 7% (g)(q)(v) |  | 400000 | 421709 |
| TOTAL FINANCIALS |  |  | 1791767 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 5 year UK Government Bond + 4.135%, 7.884% (f)(g)(q)(v) | GBP | 215000 | 211339 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (g)(q)(v) | GBP | 390000 | 542087 |
| TOTAL UNITED KINGDOM |  |  | 2545193 |
| UNITED STATES - 0.2%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP 6.5% (g)(v) |  | 3770000 | 3856817 |
| Energy Transfer LP Series G, 7.125% (g)(v) |  | 2890000 | 3057083 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (f)(g)(v) |  | 330000 | 330745 |
| Sunoco LP 7.875% (g)(o)(v) |  | 1635000 | 1748513 |
| Venture Global LNG Inc 9% (g)(o)(v) |  | 6030000 | 5501567 |
| TOTAL ENERGY |  |  | 14494725 |
| Financials - 0.2% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of America Corp 6.25% (g)(v) |  | 1695000 | 1754096 |
| Bank of America Corp 6.625% (g)(v) |  | 653000 | 687034 |
| BW Real Estate Inc 9.5% (g)(o)(v) |  | 125000 | 132775 |
| Citigroup Inc 6.5% (g)(v) |  | 290000 | 295255 |
| Citigroup Inc 6.625% (g)(v) |  | 2560000 | 2684396 |
| Citigroup Inc 6.75% (g)(v) |  | 1385000 | 1420455 |
| Citigroup Inc 6.875% (g)(v) |  | 250000 | 256964 |
| Citigroup Inc 6.95% (g)(v) |  | 623000 | 642200 |
| Citigroup Inc 7.125% (g)(v) |  | 1540000 | 1596053 |
| JPMorgan Chase & Co 6.5% (g)(v) |  | 245000 | 259243 |
| US Bancorp 3.7% (g)(v) |  | 4850000 | 4827767 |
| Wells Fargo & Co 6.85% (g)(v) |  | 930000 | 994271 |
| Wells Fargo & Co 7.625% (g)(v) |  | 160000 | 173320 |
|  |  |  | 15723829 |
| Capital Markets - 0.1% |  |  |  |
| Bank of New York Mellon Corp/The 5.625% (g)(v) |  | 265000 | 264948 |
| Charles Schwab Corp/The 4% (g)(v) |  | 220000 | 210043 |
| Goldman Sachs Group Inc/The 3.65% (g)(v) |  | 1750000 | 1746520 |
| Goldman Sachs Group Inc/The 4.125% (g)(v) |  | 2505000 | 2522416 |
| Goldman Sachs Group Inc/The 6.85% (g)(v) |  | 1160000 | 1218909 |
| Goldman Sachs Group Inc/The 7.5% (g)(v) |  | 490000 | 532898 |
| State Street Corp 6.7% (g)(v) |  | 178000 | 188874 |
|  |  |  | 6684608 |
| Consumer Finance - 0.0% |  |  |  |
| Ally Financial Inc 4.7% (g)(v) |  | 695000 | 694221 |
| Ally Financial Inc 4.7% (g)(v) |  | 45000 | 42603 |
| American Express Co 3.55% (g)(v) |  | 770000 | 770934 |
|  |  |  | 1507758 |
| TOTAL FINANCIALS |  |  | 23916195 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| Incora Top Holdco LLC 6% 1/31/2033 (l) |  | 74485 | 17675 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| NRG Energy Inc 10.25% (g)(o)(v) |  | 2925000 | 3358491 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Vistra Corp 7% (g)(o)(v) |  | 2575000 | 2643465 |
| Vistra Corp 8.875% (g)(o)(v) |  | 1775000 | 1974692 |
|  |  |  | 4618157 |
| TOTAL UTILITIES |  |  | 7976648 |
| TOTAL UNITED STATES |  |  | 46405243 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $76,643,098) |  |  | <br> **75724743** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Repurchase Agreements - 4.7%** | &nbsp;&nbsp;**Repurchase Agreements - 4.7%** | &nbsp;&nbsp;**Repurchase Agreements - 4.7%** |
|  | Maturity<br> Amount ($)<br>| Value ($)<br>|
| Australia and New Zealand Banking Group 3.69%, dated 3/2/2026 due 3/3/2026 (u) | 200020500 | 200000000 |
| BofA Securities 3.7%, dated 3/2/2026 due 3/3/2026 (u) | 411842324 | 411800000 |
| BofA Securities 3.73%, dated 3/2/2026 due 3/3/2026 (u) | 75007771 | 75000000 |
| Repurchase Agreements\*  | 1426052220 | 1423800000 |
| <br> **TOTAL REPURCHASE AGREEMENTS**<br> (Cost $2,110,600,000) |  | **2110600000** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.8%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 23.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 23.8%  |  |  |
| Fannie Mae 2% 11/1/2051  | 637787 | 533918 |
| Fannie Mae 2% 3/1/2052  | 3541901 | 2961754 |
| Fannie Mae 2% 5/1/2052  | 598761 | 504055 |
| Fannie Mae 2.5% 3/1/2050  | 171055 | 150906 |
| Fannie Mae 2.5% 4/1/2052  | 1192303 | 1051490 |
| Fannie Mae 2.5% 4/1/2052  | 496506 | 436627 |
| Fannie Mae 2.5% 6/1/2052  | 1552621 | 1370224 |
| Fannie Mae 3% 11/1/2036  | 483280 | 469933 |
| Fannie Mae 3% 12/1/2051  | 2213602 | 2022420 |
| Fannie Mae 3.5% 12/1/2036  | 90841 | 89760 |
| Fannie Mae 3.5% 5/1/2036  | 69103 | 68431 |
| Fannie Mae 3.5% 7/1/2047  | 2662616 | 2550684 |
| Fannie Mae 4% 12/1/2054  | 11542864 | 11319551 |
| Fannie Mae 4.5% 10/1/2054  | 14931765 | 14806739 |
| Fannie Mae 6% 12/1/2054  | 863519 | 906605 |
| Fannie Mae 6.5% 7/1/2054  | 459822 | 485794 |
| Fannie Mae 7% 6/1/2054  | 64528 | 68971 |
| Fannie Mae 7% 7/1/2054  | 59184 | 63430 |
| Fannie Mae 7% 8/1/2054  | 50584 | 53908 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (f)(g) | 912 | 942 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.595%, 6.585% 5/1/2035 (f)(g) | 1032 | 1064 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.587% 2/1/2035 (f)(g) | 17225 | 17911 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (f)(g) | 5425 | 5677 |
| Fannie Mae Mortgage pass-thru certificates 1.3332% 10/1/2032 (g) | 3499497 | 2992286 |
| Fannie Mae Mortgage pass-thru certificates 1.4557% 11/1/2032 (g) | 5207470 | 4488597 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 2488031 | 2275915 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 3525282 | 3219227 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 838959 | 726073 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 5307084 | 4225911 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 72310 | 65953 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2050  | 2295531 | 1827880 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2051  | 1381149 | 1096757 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 2622228 | 2404406 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 2509848 | 2301362 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 1341785 | 1230326 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 29004 | 26595 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 12135 | 11127 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 512256 | 443964 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 8780031 | 7533852 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  | 4217347 | 3358178 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 1793230 | 1644271 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 12283 | 11263 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1785891 | 1546679 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2041  | 3541786 | 3036967 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  | 10225607 | 8142420 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 39953 | 36546 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 37892 | 34662 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 535021 | 462696 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 24855434 | 19752984 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 252320 | 230808 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 46697 | 42715 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 13462 | 12294 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 547123 | 472862 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 1830431 | 1454671 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 48295 | 44102 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 48285 | 44093 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 4338396 | 3961748 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 282041 | 257555 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 760192 | 604136 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 51828 | 47328 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1272212 | 1011045 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 513730 | 412925 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 7/1/2051  | 294331 | 233909 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2050  | 6182170 | 4938177 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 213317 | 169526 |
| Fannie Mae Mortgage pass-thru certificates 1.56% 10/1/2035  | 3138130 | 2543101 |
| Fannie Mae Mortgage pass-thru certificates 1.565% 1/1/2033 (g) | 4727463 | 4090148 |
| Fannie Mae Mortgage pass-thru certificates 1.73% 11/1/2031  | 4261789 | 3813105 |
| Fannie Mae Mortgage pass-thru certificates 1.82% 4/1/2032  | 995511 | 887398 |
| Fannie Mae Mortgage pass-thru certificates 1.93% 1/1/2032  | 6000000 | 5387945 |
| Fannie Mae Mortgage pass-thru certificates 1.96% 9/1/2033  | 248670 | 215707 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2041  | 1253860 | 1126369 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 16698219 | 13983998 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 73187 | 61634 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 12509280 | 10534590 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 4813000 | 4044205 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2036  | 1011043 | 945153 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1393803 | 1242432 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 295861 | 264032 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 33569 | 29943 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 18794308 | 15733505 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 2954918 | 2500465 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 562565 | 470947 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 27138 | 22854 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 7214105 | 6023449 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 6731896 | 5681834 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 3056564 | 2567375 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 823123 | 691643 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 155633 | 130870 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 66804 | 56237 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 86508 | 80694 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 8666073 | 7793703 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 2529158 | 2255985 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 2023178 | 1804358 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 5620005 | 4704742 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 2029738 | 1707424 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 816473 | 686821 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 581044 | 491137 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 359319 | 300801 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 11856970 | 9900031 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 4427066 | 3736519 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2784774 | 2341694 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 631786 | 530869 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 143230 | 120441 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 57832 | 48811 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 40074 | 33823 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 3336357 | 3118925 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 111038 | 103454 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2036  | 1075045 | 1004984 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 3611620 | 3246149 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 493938 | 445381 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 698874 | 622686 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 269495 | 240203 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 4494744 | 3762739 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 1813684 | 1526246 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 1369007 | 1146054 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 367041 | 307151 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 293761 | 247113 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 15706 | 13276 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 14166226 | 11828154 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 2225477 | 1869995 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 1789954 | 1510752 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 1555396 | 1307920 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 357578 | 299232 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 680238 | 669830 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 640264 | 598538 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 150100 | 140318 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 135379 | 126133 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 103763 | 97001 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 102855 | 96184 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 53404 | 50124 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2037  | 470734 | 440056 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 6936404 | 6227297 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 641536 | 571039 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 2109771 | 1765519 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 185353 | 156036 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 32413 | 27205 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 32119 | 27049 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 23655 | 19914 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1053030 | 886472 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1033705 | 866650 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 995663 | 839734 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 442423 | 371753 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 27667 | 23343 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 131392 | 122459 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 170550 | 159328 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 1838712 | 1649869 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 30513694 | 25515688 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 465788 | 392114 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 157384 | 132491 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 41955 | 35214 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 31529 | 26542 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 24590 | 20700 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 20252 | 17049 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 25659724 | 21384609 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3008862 | 2532949 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2748376 | 2312806 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1923872 | 1617768 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 682285 | 574581 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 674335 | 566200 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 662961 | 559550 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 614440 | 517254 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 61175 | 51595 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 41985 | 35423 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 155852 | 140372 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 9616192 | 8041103 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 2089017 | 1746846 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 602607 | 503903 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 410854 | 343558 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 27982 | 23643 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 14499019 | 12083366 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 519106 | 434079 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 8204286 | 7661919 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 154199 | 144246 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2041  | 10226447 | 9165415 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 3000173 | 2694748 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 14473115 | 12102484 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 1059507 | 890931 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2051  | 70553 | 59394 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 171741 | 160549 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2040  | 831201 | 749319 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 9631808 | 8625322 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 112736 | 101523 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2050  | 5040972 | 4226311 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 74478 | 69577 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2040  | 510477 | 460187 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 1620360 | 1450159 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050 (d)(e) | 10508489 | 8803665 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 2091028 | 1760942 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 1726112 | 1453631 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 3087211 | 2581540 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 2169973 | 1817931 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1004607 | 839115 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 365882 | 308010 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 97402 | 81691 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 19592 | 16432 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2031  | 312203 | 300678 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2040  | 2056007 | 1852623 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  | 655730 | 584394 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2042  | 275689 | 245853 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 13268687 | 11116068 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 5845705 | 4897339 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 111321 | 93224 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 6754162 | 5641529 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 186721 | 156137 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 160647 | 135589 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2040  | 244024 | 219791 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 444096 | 396257 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 5732593 | 4802577 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2051  | 51092 | 42724 |
| Fannie Mae Mortgage pass-thru certificates 2.02% 1/1/2032  | 3994130 | 3620366 |
| Fannie Mae Mortgage pass-thru certificates 2.07% 5/1/2032  | 443451 | 396608 |
| Fannie Mae Mortgage pass-thru certificates 2.11% 1/1/2032  | 4902827 | 4466818 |
| Fannie Mae Mortgage pass-thru certificates 2.14% 8/1/2036  | 353734 | 295182 |
| Fannie Mae Mortgage pass-thru certificates 2.2% 10/1/2026  | 162557 | 160530 |
| Fannie Mae Mortgage pass-thru certificates 2.25% 4/1/2033  | 1272605 | 1141133 |
| Fannie Mae Mortgage pass-thru certificates 2.39% 3/1/2032  | 218910 | 202248 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 489951 | 476405 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 14586696 | 12740904 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 6350745 | 5622541 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 287552 | 252513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 17731284 | 15454332 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 16055628 | 14119289 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 3368172 | 2964069 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 802129 | 695364 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 720775 | 632272 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 419878 | 363991 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 474998 | 462028 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 317886 | 297362 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2035  | 409958 | 395388 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 312085 | 294664 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2043  | 481336 | 437508 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2043  | 253644 | 230563 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2046  | 217606 | 193538 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 11847399 | 10366747 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 10585936 | 9372106 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 351921 | 311239 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 20972456 | 18279291 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1722507 | 1515846 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 896947 | 781767 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 780487 | 683920 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 506715 | 450513 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 245568 | 240859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 68437 | 67279 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 310550 | 302066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 116987 | 113401 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 30569 | 29622 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 4749 | 4611 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1857991 | 1705147 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1180263 | 1084111 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 329866 | 303691 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2049  | 491775 | 432466 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 919508 | 804591 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 468586 | 419249 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2050  | 400600 | 356293 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 33614907 | 29298269 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 6942161 | 6089738 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 4443176 | 3918428 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 3582376 | 3139140 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 3105289 | 2721081 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1699820 | 1489507 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 368237 | 326013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 868337 | 844040 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 214715 | 208062 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 2208390 | 2145021 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2049  | 762531 | 670568 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 15419077 | 13487230 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 3910391 | 3426571 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 2223906 | 1957089 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1544524 | 1359217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 850896 | 741629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2034  | 742207 | 664391 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 261301 | 254251 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 172695 | 165667 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2036  | 3630599 | 3482864 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2036  | 967704 | 924697 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 320180 | 295547 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 181987 | 165783 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 127735 | 116191 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 5876746 | 5133106 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 4302440 | 3815826 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 13854 | 12166 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 7624535 | 6645435 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 3681264 | 3276410 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 3236956 | 2835446 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1201252 | 1062385 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2036  | 2642506 | 2532500 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 100134 | 92859 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 196954 | 182891 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 458047 | 416189 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 145476 | 133636 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 58829 | 53396 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 2861203 | 2510772 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 557603 | 491924 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 6739165 | 5886395 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 583256 | 514737 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 518015 | 454570 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2051  | 38273 | 33789 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 2563700 | 2248905 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1988170 | 1741559 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1842422 | 1625980 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 1515847 | 1333507 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 942912 | 831552 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 536059 | 472749 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2062  | 957875 | 804637 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2030  | 219897 | 215325 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 462972 | 451484 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 470533 | 457674 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 5144358 | 4859993 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 300674 | 277338 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 577821 | 522488 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 42054 | 39066 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 6188 | 5574 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 5426 | 4940 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 14636308 | 12770517 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 3975229 | 3535562 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 2265943 | 1977088 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 1775021 | 1538208 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 570898 | 503830 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 12027911 | 10539735 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 4715439 | 4146748 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3750998 | 3300965 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 2182938 | 1912850 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1715301 | 1509505 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1475787 | 1285352 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1406755 | 1245450 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 196108 | 172703 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 593310 | 578585 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 577652 | 562926 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 523328 | 510344 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 513243 | 500330 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 503764 | 490928 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 416270 | 405926 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 1150609 | 1102350 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2037  | 424602 | 405599 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 71955 | 66717 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 3648804 | 3362651 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 231134 | 213170 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 174397 | 161634 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2043  | 214277 | 195020 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 4413060 | 3909798 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2046  | 96418 | 85754 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 4320592 | 3784668 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 2359618 | 2066932 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2050  | 596226 | 526556 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 14382817 | 12612265 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 7065298 | 6164636 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 3153259 | 2751291 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2974168 | 2624772 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2813918 | 2481589 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2809677 | 2479605 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 2149790 | 1897239 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 5519223 | 4857044 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 3918877 | 3441354 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 4448113 | 3881081 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 468129 | 407429 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2028  | 47470 | 46821 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 745792 | 726786 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 473044 | 460987 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 460496 | 449070 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2036  | 678081 | 647522 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2037  | 705287 | 673281 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2041  | 2101287 | 1934958 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2043  | 154025 | 138658 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2043  | 11460 | 10493 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 17878133 | 15599084 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 6549913 | 5780450 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 2998351 | 2632996 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 40747 | 40190 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2028  | 39354 | 38816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2036  | 106283 | 101659 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2037  | 178507 | 170351 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 210350 | 194699 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 209473 | 192934 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 182143 | 168196 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2046  | 232478 | 206765 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 4249981 | 3722816 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 3670914 | 3249991 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 1113283 | 965799 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 574589 | 508704 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  | 4616458 | 4027966 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2051  | 743295 | 648542 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2053  | 1090313 | 948121 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 88556 | 87279 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 28427 | 28028 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2028  | 26613 | 26249 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 392623 | 382619 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 8073453 | 7072027 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050  | 5608753 | 4913046 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 4603106 | 4037894 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 3684852 | 3232391 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 3558864 | 3121873 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 2716028 | 2390167 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 2145118 | 1871665 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2035  | 3021426 | 2888092 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 1584717 | 1456903 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2046  | 503162 | 447511 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 13398243 | 11677716 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 474584 | 417348 |
| Fannie Mae Mortgage pass-thru certificates 2.51% 10/1/2030  | 737087 | 696301 |
| Fannie Mae Mortgage pass-thru certificates 2.6% 9/1/2027  | 306087 | 300836 |
| Fannie Mae Mortgage pass-thru certificates 2.6% 9/1/2028  | 351632 | 342249 |
| Fannie Mae Mortgage pass-thru certificates 2.61% 6/1/2026  | 296122 | 294547 |
| Fannie Mae Mortgage pass-thru certificates 2.62% 5/1/2026  | 142468 | 141828 |
| Fannie Mae Mortgage pass-thru certificates 2.66% 8/1/2029  | 637662 | 617473 |
| Fannie Mae Mortgage pass-thru certificates 2.67% 4/1/2034  | 585106 | 530995 |
| Fannie Mae Mortgage pass-thru certificates 2.69% 12/1/2028  | 439953 | 430130 |
| Fannie Mae Mortgage pass-thru certificates 2.73% 7/1/2028  | 277313 | 271582 |
| Fannie Mae Mortgage pass-thru certificates 2.78% 4/1/2026  | 204787 | 204079 |
| Fannie Mae Mortgage pass-thru certificates 2.81% 5/1/2026  | 117021 | 116533 |
| Fannie Mae Mortgage pass-thru certificates 2.83% 10/1/2027  | 595000 | 582548 |
| Fannie Mae Mortgage pass-thru certificates 2.83% 4/1/2030  | 628884 | 608234 |
| Fannie Mae Mortgage pass-thru certificates 2.835% 8/1/2029  | 465159 | 449932 |
| Fannie Mae Mortgage pass-thru certificates 2.84% 11/1/2031  | 130917 | 123030 |
| Fannie Mae Mortgage pass-thru certificates 2.87% 8/1/2031  | 214211 | 205428 |
| Fannie Mae Mortgage pass-thru certificates 2.9% 5/1/2029  | 96904 | 94331 |
| Fannie Mae Mortgage pass-thru certificates 2.97% 4/1/2028  | 171412 | 169042 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2030  | 350693 | 346156 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2032  | 31078 | 30535 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 133864 | 131268 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2041  | 204582 | 197654 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2042  | 280635 | 268237 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 738514 | 693309 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 506015 | 474702 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 227263 | 213849 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 211488 | 199102 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 193710 | 182336 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 152086 | 143083 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 140650 | 131883 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 134556 | 126499 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 109694 | 103376 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 48533 | 45596 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 41061 | 38549 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2044  | 5492 | 5137 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2047  | 1905233 | 1763904 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2050  | 564483 | 515907 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 1317763 | 1201893 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 12994541 | 11782905 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 3771517 | 3426925 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 679939 | 615265 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 240802 | 219102 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2027  | 53818 | 53400 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 187751 | 176303 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 133382 | 125123 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 98773 | 92743 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 340227 | 318884 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2043  | 239940 | 224656 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 4918449 | 4533620 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 4150586 | 3784330 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 1814934 | 1661020 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2028  | 6186 | 6122 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 56629 | 55510 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 41436 | 40668 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 148264 | 146082 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 428934 | 403618 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 103031 | 97019 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2043  | 7570 | 7103 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 1497068 | 1386485 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 893341 | 827353 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 772572 | 717678 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1954767 | 1799990 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 531519 | 487109 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 260244 | 237361 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 3332650 | 3069814 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 2772392 | 2537281 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 2220597 | 2019096 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 2075738 | 1902301 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 1283377 | 1173739 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 38808 | 35663 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 32830 | 30169 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 13145 | 13002 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 324970 | 319543 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 270805 | 266294 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 186660 | 182399 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2035  | 125234 | 122649 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 275707 | 259083 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 273941 | 256944 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 251746 | 236318 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 159757 | 150230 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 90276 | 84959 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2045  | 587964 | 551416 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 133598 | 123688 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2046  | 100556 | 93097 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2047  | 358411 | 336683 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 652177 | 596054 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 398465 | 364175 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 2393910 | 2183415 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 3233623 | 2932114 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2854793 | 2605557 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1595967 | 1455136 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 1160645 | 1062217 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 900926 | 824805 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2027  | 27815 | 27653 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 250829 | 247585 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 236724 | 233239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 103111 | 101642 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 908410 | 852190 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 271668 | 255824 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 55250 | 52171 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 37049 | 34869 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 12936 | 12184 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2044  | 542993 | 509645 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  | 250183 | 232552 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2045  | 14801 | 13756 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 1186756 | 1092789 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 5003780 | 4552855 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (d)(e) | 4026758 | 3681496 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2372290 | 2168885 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1845531 | 1673450 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 615749 | 560259 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 124594 | 122425 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 39830 | 38605 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 1380456 | 1282800 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 19133722 | 17558932 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 14282023 | 12950340 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 3568889 | 3277385 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 2879480 | 2651485 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 2094169 | 1905449 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1406983 | 1284587 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1149188 | 1041318 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1095364 | 996311 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 877022 | 810047 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 671072 | 608500 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 658264 | 606554 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2061  | 291577 | 260199 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2027  | 101695 | 101034 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 17867 | 17481 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 478246 | 448795 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 397320 | 372176 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 192038 | 179992 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 5028 | 4742 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 4482190 | 4205525 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 9668336 | 8899782 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2051  | 2835241 | 2590370 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 4792732 | 4342853 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 3655781 | 3341185 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 3039068 | 2796537 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 1500586 | 1378019 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2027  | 934 | 927 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2030  | 154865 | 152783 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2037  | 350565 | 340919 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 233594 | 217990 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 209004 | 196004 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 106125 | 99519 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 37059 | 34873 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 459986 | 426008 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 293331 | 270105 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  | 230967 | 211019 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 3844346 | 3513523 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 1804199 | 1640483 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 638144 | 587217 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2030  | 71778 | 70778 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 164774 | 154447 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 70956 | 66849 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 8337 | 7908 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 5688759 | 5231216 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 3646998 | 3322901 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 1792320 | 1644804 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 9239783 | 8447547 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2052  | 624893 | 565455 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2062  | 576032 | 513501 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2063  | 2466329 | 2188579 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 449590 | 441214 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 294835 | 290726 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 13220 | 12842 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 52701 | 51008 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 287401 | 270185 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 493424 | 461756 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 260841 | 244413 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 205159 | 192440 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 194330 | 182034 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2898104 | 2665011 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2727065 | 2508581 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 1939876 | 1782640 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 1759662 | 1618684 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 2191068 | 2010049 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 2537479 | 2308809 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2028  | 45053 | 44611 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2042  | 22051 | 21043 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 259734 | 243200 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 201062 | 188396 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 48790 | 45765 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 30862 | 28909 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2048  | 289203 | 268654 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 4558433 | 4177556 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 3513950 | 3197284 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 1235178 | 1133517 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 611413 | 558034 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 9105746 | 8373377 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 87721 | 86087 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 71422 | 70078 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 512411 | 503850 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 389521 | 366647 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 162645 | 153736 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 136572 | 128494 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 132067 | 124322 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 88545 | 83398 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2042  | 68176 | 63754 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 43304 | 40519 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 151310 | 140133 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 4034777 | 3719088 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 386014 | 357621 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 6606666 | 6011294 |
| Fannie Mae Mortgage pass-thru certificates 3.09% 5/1/2032  | 693906 | 664529 |
| Fannie Mae Mortgage pass-thru certificates 3.09% 5/1/2032  | 182845 | 174475 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 3/1/2027  | 367683 | 364927 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 5/1/2032  | 336436 | 321782 |
| Fannie Mae Mortgage pass-thru certificates 3.13% 7/1/2036  | 302555 | 290353 |
| Fannie Mae Mortgage pass-thru certificates 3.16% 8/1/2033  | 429760 | 402361 |
| Fannie Mae Mortgage pass-thru certificates 3.17% 1/1/2029  | 492542 | 485243 |
| Fannie Mae Mortgage pass-thru certificates 3.19% 11/1/2027  | 250000 | 247910 |
| Fannie Mae Mortgage pass-thru certificates 3.26% 5/1/2032  | 429906 | 414131 |
| Fannie Mae Mortgage pass-thru certificates 3.27% 12/1/2028  | 236701 | 234862 |
| Fannie Mae Mortgage pass-thru certificates 3.32% 3/1/2029  | 887233 | 877506 |
| Fannie Mae Mortgage pass-thru certificates 3.35% 1/1/2029  | 239052 | 236734 |
| Fannie Mae Mortgage pass-thru certificates 3.42% 5/1/2030  | 374862 | 369147 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2031  | 205606 | 204554 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 5761 | 5606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 466226 | 451294 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 54256 | 52333 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2044  | 228686 | 220540 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 451662 | 432997 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 262446 | 251649 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2046  | 248978 | 238835 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 1462569 | 1400627 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 293031 | 280072 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 155084 | 148419 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 122094 | 116695 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 82525 | 78978 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 901724 | 871986 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 191340 | 184074 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 1207678 | 1168093 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 1134615 | 1083371 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 10323055 | 9756826 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 280655 | 266664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2032  | 6788 | 6672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  | 322563 | 312966 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  | 255295 | 247820 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2041  | 191628 | 186586 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 390180 | 379357 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 102863 | 99343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 13117 | 12740 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 13052 | 12640 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 993173 | 953301 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 161751 | 155365 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 40875 | 39092 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 174964 | 168429 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 13888 | 13369 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2032  | 5730 | 5631 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2034  | 91305 | 90209 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 252996 | 244832 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 52908 | 51174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 8077 | 7804 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 721730 | 692852 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 23907 | 22931 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 664824 | 635006 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 241833 | 230986 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2049  | 822351 | 780842 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2052  | 93000 | 87754 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2029  | 55062 | 54819 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2030  | 275605 | 274192 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2030  | 1309 | 1299 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 9983 | 9692 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 1189331 | 1153553 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 596756 | 578917 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 16013 | 15451 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 118743 | 113890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 101916 | 97727 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 2180630 | 2088278 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1247132 | 1192366 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 388351 | 369113 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 372387 | 356034 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 209457 | 200259 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 199868 | 191403 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 344115 | 328897 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2042  | 311129 | 301630 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 1625862 | 1578036 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 163700 | 157176 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 65487 | 62673 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 7053368 | 6657227 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 664196 | 629840 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2031  | 297934 | 296412 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2033  | 183720 | 182431 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2033  | 6875 | 6752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  | 632687 | 612391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  | 426156 | 412513 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2042  | 235552 | 227859 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2046  | 276189 | 267757 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 142217 | 136016 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2050  | 2095409 | 1989642 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 2306585 | 2180787 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 21629 | 20395 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2053  | 37788 | 35645 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2061  | 3837646 | 3598965 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 33478 | 32436 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 5800 | 5614 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 316522 | 306157 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 29312 | 28255 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 4376 | 4208 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 599374 | 571743 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 28460 | 27077 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 1542877 | 1457284 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2053  | 337374 | 320766 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2029  | 62548 | 62272 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2032  | 18492 | 18191 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 589333 | 571219 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 239021 | 230872 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 94614 | 91636 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 3367 | 3268 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 15901 | 15213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 2208263 | 2111981 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 2183299 | 2077188 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 41203 | 39200 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 11419713 | 10786195 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 7788310 | 7368416 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 2299418 | 2171856 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 320776 | 304585 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 314691 | 299397 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2056  | 507192 | 476240 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  | 9256 | 9099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  | 9172 | 9040 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2032  | 2242 | 2202 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2037  | 260629 | 256277 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2039  | 83688 | 81736 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 250890 | 243054 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 10731 | 10398 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 627874 | 605910 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 41087 | 39566 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 14563 | 14032 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 970797 | 932741 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 569194 | 546253 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2045  | 6748 | 6476 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 51401 | 49433 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 14988 | 14340 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 11939 | 11422 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2046  | 4967 | 4752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1185628 | 1135045 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 820007 | 783229 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 10000060 | 9445298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2052  | 2438549 | 2303269 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2062  | 4749141 | 4426314 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 22702 | 22318 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 21430 | 21094 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2032  | 18692 | 18361 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 415362 | 411281 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 140779 | 139396 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 14523 | 14059 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 4106 | 3979 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 3455 | 3348 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 401303 | 384433 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 136481 | 130743 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 120301 | 115056 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 99767 | 95947 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 2725426 | 2638603 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 316361 | 302171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2049  | 71096 | 67551 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 3391223 | 3231706 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 2619640 | 2480043 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 11710305 | 11060666 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 493513 | 470299 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2032  | 28622 | 28115 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 530700 | 525487 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 1425212 | 1378375 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 742197 | 718752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 491724 | 475873 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 561535 | 544258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 118371 | 114798 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 65851 | 63446 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 7905 | 7639 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 4243 | 4103 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 14122 | 13595 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2045  | 209766 | 201363 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 205990 | 197266 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 41306 | 39492 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2056  | 704058 | 658816 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 37091 | 35899 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 19479 | 18860 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 400835 | 383859 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 657660 | 631657 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 429337 | 410081 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 115326 | 111019 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2048  | 132465 | 126110 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 479106 | 453275 |
| Fannie Mae Mortgage pass-thru certificates 3.53% 12/1/2026 (g) | 269 | 267 |
| Fannie Mae Mortgage pass-thru certificates 3.55% 8/1/2028  | 206187 | 205883 |
| Fannie Mae Mortgage pass-thru certificates 3.67% 7/1/2033  | 2000000 | 1962151 |
| Fannie Mae Mortgage pass-thru certificates 3.71% 9/1/2030  | 733284 | 728561 |
| Fannie Mae Mortgage pass-thru certificates 3.75% 7/1/2033  | 4000000 | 3931278 |
| Fannie Mae Mortgage pass-thru certificates 3.75% 9/1/2034  | 389300 | 379109 |
| Fannie Mae Mortgage pass-thru certificates 3.77% 9/1/2032  | 2000000 | 1979448 |
| Fannie Mae Mortgage pass-thru certificates 3.81% 12/1/2028  | 468084 | 469088 |
| Fannie Mae Mortgage pass-thru certificates 3.83% 9/1/2032  | 6000000 | 5959217 |
| Fannie Mae Mortgage pass-thru certificates 3.84% 10/1/2027  | 130994 | 131129 |
| Fannie Mae Mortgage pass-thru certificates 3.88% 12/1/2028  | 8465 | 8527 |
| Fannie Mae Mortgage pass-thru certificates 3.895% 2/1/2033  | 559653 | 556887 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2038  | 110353 | 111356 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 640480 | 638422 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 423105 | 421885 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 373064 | 371887 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 264582 | 263630 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 256316 | 255557 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 135638 | 135133 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3025 | 3018 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 333487 | 331949 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 47987 | 47765 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 44307 | 44113 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 11602 | 11563 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 306615 | 303534 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 59128 | 58352 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 40083 | 39628 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 280732 | 276879 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2047  | 121953 | 120737 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 894925 | 880408 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 368954 | 362739 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 129054 | 126880 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 66591 | 65531 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 27530 | 27110 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 23090 | 22694 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 4926839 | 4846918 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 76648 | 75788 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2054  | 5728471 | 5572892 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2031  | 5000000 | 5024170 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 345637 | 344655 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 80258 | 79993 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 202059 | 201269 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 88779 | 88395 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2044  | 52459 | 52000 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 1143615 | 1132674 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 551705 | 547549 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 52810 | 52203 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 1439958 | 1424699 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 2736100 | 2698557 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2047  | 1308856 | 1287625 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 797781 | 785339 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 633049 | 624759 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2048  | 87136 | 85940 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2051  | 127506 | 124401 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1369544 | 1365217 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7084 | 7072 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 213912 | 212980 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 124178 | 123672 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 51517 | 50858 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  | 84017 | 82943 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2047  | 28314 | 27828 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 1720301 | 1689707 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 738414 | 726436 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 622574 | 607417 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 102780 | 101658 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 18358 | 18157 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2038  | 455096 | 453886 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2039  | 229664 | 228877 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 88530 | 88243 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 223036 | 221984 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 132383 | 131829 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 80176 | 79863 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 33512 | 33356 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 2542 | 2531 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 1861 | 1853 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 79037 | 78530 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 39147 | 38999 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 509043 | 504542 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 349359 | 345860 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 349011 | 345133 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 216645 | 214418 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 164735 | 163032 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 73511 | 72682 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 56320 | 55607 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 25904 | 25611 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 811993 | 798060 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 133263 | 131101 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 84859 | 83563 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 63905 | 62808 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 14590 | 14339 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2048  | 64486 | 63440 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 1045695 | 1025464 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 59251 | 58587 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2052  | 639922 | 626342 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 115337 | 116385 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 44735 | 45086 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2038  | 42708 | 43043 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 528766 | 527093 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 141255 | 140770 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 239470 | 238163 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2043  | 410150 | 408278 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 752680 | 742352 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 89606 | 88068 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 78871 | 78109 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 14888 | 14656 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 4927 | 4852 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2051  | 651633 | 642896 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 50680 | 50111 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2053  | 6535473 | 6366146 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 856430 | 854546 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 323588 | 322804 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 103514 | 103268 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 209166 | 208367 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 97338 | 96796 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 1204968 | 1194411 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 1928729 | 1919825 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 601524 | 595448 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 194010 | 191772 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 328254 | 323955 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 287532 | 283766 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 67103 | 65952 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 58018 | 57421 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2049  | 1535597 | 1508288 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2052  | 1080239 | 1057989 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 252290 | 250911 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 102271 | 101831 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 63948 | 63677 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 51454 | 51233 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 40069 | 39877 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 23113 | 22988 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 17947 | 17859 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 6223793 | 6168721 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 137367 | 135740 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 86529 | 85531 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 451661 | 445181 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 108758 | 107062 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 102879 | 101274 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 24172 | 23750 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2050  | 263303 | 259772 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 9202757 | 8970507 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 1134671 | 1114847 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 208024 | 205430 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 147748 | 143728 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2053  | 485108 | 471933 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2039  | 213038 | 212393 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2040  | 1420282 | 1429200 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2042  | 2976 | 2959 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 186212 | 184064 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2046  | 147654 | 145904 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 464309 | 457648 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 110197 | 109235 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 2311961 | 2274458 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 180534 | 177719 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2050  | 2205082 | 2165178 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 22426170 | 21840672 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 8274792 | 8127634 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 150311 | 146792 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 85042 | 82706 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 513003 | 511656 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 424222 | 423256 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 170249 | 169763 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2042  | 32534 | 32257 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2043  | 97720 | 97336 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 96545 | 95645 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 68457 | 67668 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 22590 | 22315 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 16664 | 16462 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  | 1627294 | 1600897 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2047  | 78402 | 77130 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 21908765 | 21328809 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 88813 | 86373 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2053  | 345413 | 336032 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2037  | 2829614 | 2823692 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 54357 | 54305 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 100263 | 99674 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 21761 | 21582 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 31560 | 31250 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  | 120455 | 119287 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2045  | 28243 | 27953 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 1303898 | 1290896 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 254185 | 250379 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2049  | 15531 | 15279 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 6646159 | 6473964 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 2475754 | 2418573 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 719313 | 699552 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 669153 | 651398 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2053  | 626020 | 611365 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 108315 | 107971 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 58771 | 58363 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 22943 | 22772 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 17639 | 17504 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 282874 | 278286 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 233087 | 229452 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 259215 | 254929 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2048  | 33876 | 33273 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2050  | 291575 | 287028 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 2718344 | 2645367 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 295233 | 287307 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2059  | 282272 | 272312 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2038  | 311454 | 311080 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 96659 | 96357 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 156048 | 154655 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2044  | 70587 | 70031 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2045  | 56712 | 56098 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 1559774 | 1543246 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 187713 | 186657 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 92539 | 91038 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2048  | 153369 | 150642 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 77283 | 76440 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 472897 | 460039 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 130890 | 129380 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 83273 | 81194 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2053  | 26536 | 25815 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2062  | 1184413 | 1135590 |
| Fannie Mae Mortgage pass-thru certificates 4.11% 4/1/2033  | 3436169 | 3453774 |
| Fannie Mae Mortgage pass-thru certificates 4.24% 3/1/2033  | 5268292 | 5343692 |
| Fannie Mae Mortgage pass-thru certificates 4.3% 12/1/2032  | 43200000 | 43743119 |
| Fannie Mae Mortgage pass-thru certificates 4.32% 3/1/2030  | 1900000 | 1928824 |
| Fannie Mae Mortgage pass-thru certificates 4.32% 7/1/2033  | 506035 | 514812 |
| Fannie Mae Mortgage pass-thru certificates 4.33% 1/1/2033  | 730685 | 745172 |
| Fannie Mae Mortgage pass-thru certificates 4.37% 10/1/2030  | 2492789 | 2534860 |
| Fannie Mae Mortgage pass-thru certificates 4.37% 5/1/2033  | 487100 | 497033 |
| Fannie Mae Mortgage pass-thru certificates 4.45% 10/1/2033  | 2000000 | 2049085 |
| Fannie Mae Mortgage pass-thru certificates 4.48% 4/1/2033  | 446114 | 458360 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  | 81975 | 83371 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2041  | 75529 | 76817 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 210371 | 213693 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 37079 | 37693 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 48386 | 48721 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 31853 | 32054 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 148384 | 149043 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2055  | 8353401 | 8275625 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 6601 | 6712 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 52922 | 53827 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 52527 | 53413 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 44083 | 44835 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 43158 | 43891 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2041  | 17134 | 17426 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  | 858534 | 873095 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  | 154432 | 156970 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2042  | 81967 | 83323 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 1222375 | 1242030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 123711 | 125582 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 3210 | 3229 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2046  | 68967 | 69468 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 40948 | 40976 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 5251554 | 5214146 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 2927989 | 2907132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2030  | 1189 | 1197 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 63324 | 64398 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 40289 | 40976 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 19681 | 20016 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 17390 | 17686 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 14092 | 14332 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 252046 | 256345 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 97733 | 99383 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2041  | 22191 | 22558 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 1018955 | 1036307 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 43242 | 43860 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 16218 | 16459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 351726 | 355815 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 59574 | 60266 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 4195 | 4244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 79857 | 80661 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2046  | 102513 | 103257 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2046  | 86417 | 87044 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 291318 | 292611 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 693932 | 689640 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 196851 | 200167 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 10853 | 11035 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 320766 | 326244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 188777 | 191978 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 101408 | 103132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 47530 | 48342 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 42139 | 42859 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 30624 | 31071 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 9404 | 9556 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 4238 | 4308 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2045  | 7167 | 7239 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 114795 | 115628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 10664136 | 10574843 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 4282230 | 4267785 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2061  | 186617 | 184121 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2038  | 58929 | 59396 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2039  | 189156 | 192308 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 603413 | 613690 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 329427 | 335046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 250908 | 255170 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 21437 | 21803 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2042  | 11377 | 11566 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 590726 | 600306 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2044  | 7661 | 7781 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 398000 | 404410 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 54496 | 54874 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 934052 | 936739 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 66511 | 66806 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2051  | 525263 | 525625 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2053  | 2094339 | 2078766 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 768629 | 781780 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 12628 | 12838 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2042  | 13612 | 13837 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 5582 | 5673 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 366342 | 370601 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 795213 | 808697 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 702911 | 714760 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 10600 | 10694 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 13642 | 13720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 25676 | 25726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2050  | 1102839 | 1108424 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2053  | 50126 | 49753 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 19843 | 20175 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 69898 | 71080 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 59457 | 60468 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 13428 | 13656 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 911 | 926 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2042  | 174422 | 177371 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 131123 | 132647 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2046  | 114262 | 115269 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 20389 | 20505 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 891481 | 908533 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 7732 | 7862 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 17797 | 18099 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2042  | 8939 | 9087 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 22459 | 22811 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2044  | 1735 | 1762 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2045  | 81132 | 82024 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 118248 | 118773 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2048  | 63091 | 63214 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2049  | 106952 | 106993 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 105205 | 106961 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 8475 | 8618 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 20186 | 20513 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2042  | 7636 | 7763 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 242047 | 245917 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 350650 | 354508 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 376774 | 380095 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 26975 | 27213 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 58279 | 58538 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2052  | 13434168 | 13351068 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2053  | 2411495 | 2405621 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2053  | 710981 | 709250 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 549 | 549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 68693 | 69857 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  | 97042 | 98649 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  | 39108 | 39771 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  | 17780 | 18083 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2042  | 13128 | 13344 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2044  | 19971 | 20284 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 155532 | 157341 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 221066 | 222047 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 1509098 | 1521929 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 29419 | 29457 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 26345 | 26379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2048  | 1315 | 1317 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2052  | 4120337 | 4102575 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2052  | 3594823 | 3572586 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 151670 | 154216 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 137765 | 140123 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 76085 | 77381 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 54758 | 55681 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 46395 | 47188 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 36160 | 36777 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 3572 | 3632 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2042  | 6283 | 6389 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2043  | 192040 | 195188 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 109665 | 111454 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 21644 | 21991 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 7216 | 7330 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 1882 | 1912 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2048  | 1499827 | 1512578 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2050  | 435830 | 437901 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 3424406 | 3397659 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 1202958 | 1195516 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 513306 | 510131 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2052  | 334157 | 333239 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2053  | 3640202 | 3616547 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 18304 | 18616 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 11759 | 11960 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 16160 | 16430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 812592 | 826423 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 76527 | 77822 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 92047 | 93469 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2044  | 7706 | 7825 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 131061 | 130857 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 999668 | 1004418 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  | 6203677 | 6159487 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2052  | 155968 | 154857 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2053  | 669946 | 675014 |
| Fannie Mae Mortgage pass-thru certificates 4.51% 10/1/2033  | 3050000 | 3137459 |
| Fannie Mae Mortgage pass-thru certificates 4.51% 7/1/2033  | 2938829 | 3023664 |
| Fannie Mae Mortgage pass-thru certificates 4.55% 9/1/2033  | 3115000 | 3212320 |
| Fannie Mae Mortgage pass-thru certificates 4.7% 9/1/2033  | 3907344 | 4027500 |
| Fannie Mae Mortgage pass-thru certificates 4.73% 10/1/2032  | 536805 | 554295 |
| Fannie Mae Mortgage pass-thru certificates 4.8% 12/1/2030  | 1981165 | 2045536 |
| Fannie Mae Mortgage pass-thru certificates 4.81% 9/1/2029  | 2914187 | 3000090 |
| Fannie Mae Mortgage pass-thru certificates 4.83% 2/1/2034  | 2429000 | 2556125 |
| Fannie Mae Mortgage pass-thru certificates 4.88% 12/1/2032  | 234042 | 244224 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2030  | 1838 | 1861 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2042  | 226960 | 234996 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2048  | 138217 | 142135 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2049  | 38877 | 39857 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2053  | 44176 | 44697 |
| Fannie Mae Mortgage pass-thru certificates 5% 1/1/2054  | 4126847 | 4163853 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2033  | 53549 | 54919 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2039  | 6309 | 6523 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 186998 | 193601 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2048  | 22817 | 23455 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 5550784 | 5656067 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 2068141 | 2106075 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 2021742 | 2046189 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 336141 | 342675 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2054  | 7992037 | 8035981 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2033  | 28651 | 29376 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 303885 | 311904 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2374281 | 2419315 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1498898 | 1525454 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 936606 | 956712 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 29424 | 29770 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2053  | 1732260 | 1747252 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2033  | 17131 | 17565 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2034  | 373160 | 375822 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 1645853 | 1676042 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2054  | 4908078 | 4955157 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2030  | 67742 | 68616 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 525640 | 539523 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 768962 | 790485 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2041  | 52349 | 54216 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2041  | 38096 | 39438 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  | 534936 | 541238 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2053  | 38502 | 38916 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2054  | 3691633 | 3717353 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2056  | 120475 | 121357 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 173319 | 177387 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2035  | 401797 | 413346 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 140005 | 145142 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 100704 | 104388 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 74206 | 76916 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2050  | 836875 | 859025 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2054  | 28664 | 28858 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 72737 | 75319 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 14315 | 14814 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 1114554 | 1126290 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2033  | 2741 | 2812 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2039  | 40138 | 41314 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2040  | 21851 | 22618 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2042  | 305058 | 315680 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 59672 | 61521 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2048  | 144782 | 148886 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 9334487 | 9421108 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2053  | 421722 | 425899 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2031  | 19906 | 20273 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2035  | 33160 | 34075 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 5566753 | 5712207 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 622227 | 638491 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 191018 | 196292 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 7148 | 7396 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2040  | 69401 | 71824 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 97184 | 100703 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 36295 | 37560 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 25316 | 26119 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 10922 | 11306 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 20737 | 21477 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2047  | 33405 | 34352 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2048  | 17639 | 18117 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 8441392 | 8564571 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 6006299 | 6062036 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 5485810 | 5536717 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2053  | 1414770 | 1432320 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2029  | 19667 | 19885 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 35042 | 35893 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 19776 | 20245 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 17523 | 17948 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 667692 | 686493 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 315203 | 323970 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 30786 | 31612 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2036  | 44966 | 46171 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2036  | 4996 | 5128 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2037  | 23250 | 23930 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 8896 | 9201 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 34379 | 35589 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 21728 | 22483 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 18119 | 18781 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 14116 | 14609 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  | 14529908 | 14714687 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  | 65669 | 66863 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  | 53996 | 55257 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2052  | 42925 | 43873 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 2160052 | 2193597 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2053  | 1213066 | 1220980 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2054  | 1824357 | 1835015 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2033  | 71498 | 73230 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2033  | 7966 | 8168 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 14631 | 15126 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 2846 | 2948 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2048  | 63228 | 64941 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 6296626 | 6435732 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 1055271 | 1068691 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 7040550 | 7101484 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 3723796 | 3771153 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2053  | 2573256 | 2626888 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2033  | 56223 | 57647 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2033  | 34548 | 35432 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 11089 | 11437 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 316606 | 324985 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2048  | 31593 | 32429 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 1982359 | 2007569 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 935028 | 946334 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 441800 | 448661 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2052  | 39200 | 39674 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2053  | 3977907 | 4017307 |
| Fannie Mae Mortgage pass-thru certificates 5.1% 6/1/2029  | 2526505 | 2614987 |
| Fannie Mae Mortgage pass-thru certificates 5.17% 8/1/2028  | 2336246 | 2406001 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (g) | 127083 | 129813 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  | 186232 | 195886 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2040  | 123484 | 129791 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 2716756 | 2780903 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2052  | 90259 | 92052 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 2950969 | 3058455 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 607900 | 618986 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 2284805 | 2339288 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 557312 | 576871 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2036  | 2319 | 2431 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 20159061 | 20635045 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2052  | 1305260 | 1337302 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 1594709 | 1627655 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 429720 | 438254 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2054  | 2700138 | 2756931 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2037  | 26901 | 28171 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2052  | 2869023 | 2934074 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 6454754 | 6599999 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 3020949 | 3092042 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2042  | 82732 | 86648 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 1288792 | 1328485 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 62038 | 63247 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2037  | 84304 | 88221 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2053  | 458895 | 470877 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 14653964 | 14930129 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 368363 | 376370 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  | 1908347 | 1958773 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  | 147792 | 150619 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 5578599 | 5715112 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 957853 | 976838 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  | 79977 | 83729 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2037  | 42052 | 44089 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 3271525 | 3374329 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 202225 | 207127 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2038  | 37040 | 38808 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 2112751 | 2159335 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 1527834 | 1566438 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 1467798 | 1515298 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 335795 | 347397 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 3284669 | 3365047 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 3241488 | 3302577 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 20455 | 20879 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 10505221 | 10716463 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 2479115 | 2559343 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 1811307 | 1863697 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 542208 | 559035 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 6635579 | 6819211 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2037  | 68007 | 70934 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2052  | 1727730 | 1770144 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 3662180 | 3738349 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1953801 | 2003597 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1143410 | 1182913 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1116535 | 1144992 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 714227 | 730644 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 1636787 | 1697300 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2034  | 1843 | 1917 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2039  | 162158 | 170232 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2048  | 369530 | 388126 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2053  | 2908597 | 2969092 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 1557741 | 1594887 |
| Fannie Mae Mortgage pass-thru certificates 5.81% 6/1/2031  | 261000 | 273724 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2037  | 124850 | 132125 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 26116 | 27711 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 26224 | 27883 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 2260 | 2405 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2053  | 1892490 | 1973907 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2054  | 156979 | 162017 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 50484 | 52601 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 21197 | 22091 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 2588720 | 2712425 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 2126215 | 2227154 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 944055 | 988283 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 9635 | 10114 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 26626 | 28200 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 129244 | 134114 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2052  | 32488 | 33987 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 455969 | 479527 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 335707 | 347159 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 1893644 | 1982211 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 3777228 | 3944390 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 161711 | 169662 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2052  | 2819033 | 2912560 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 4180683 | 4330804 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1745473 | 1796728 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1114840 | 1145626 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 675423 | 695193 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 662770 | 682170 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 208595 | 215630 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 9133789 | 9535295 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1774963 | 1855760 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 695756 | 728297 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 261173 | 273470 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 164118 | 169627 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 126580 | 130187 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2039  | 118588 | 126005 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2052  | 5135876 | 5319911 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 33039 | 34571 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2040  | 142559 | 151827 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2054  | 95129 | 98344 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 2741500 | 2865439 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 460620 | 483603 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 24718 | 25882 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 24694 | 25839 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 24606 | 25740 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 32549 | 34059 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 8801 | 9201 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 70280 | 73643 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 9571 | 10181 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 1325937 | 1370756 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 1009811 | 1040711 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1465797 | 1533437 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 921 | 966 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 280241 | 289889 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 2368361 | 2495489 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 36501 | 38765 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2053  | 748897 | 772316 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 3275630 | 3373813 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 2131663 | 2230030 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 17898 | 18800 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 45839 | 48424 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2037  | 2890 | 3076 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 3183520 | 3324457 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 1682355 | 1754731 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 720076 | 742390 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 3700082 | 3810988 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 648660 | 665853 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 334490 | 343601 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 45083 | 47237 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 21787 | 22984 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2037  | 38234 | 40096 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 499677 | 530938 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 4116 | 4379 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 1940021 | 2009490 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 643894 | 682365 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 2108406 | 2193182 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 824040 | 859234 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 799552 | 836948 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 4206495 | 4371687 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 3781638 | 3953781 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1901914 | 1958328 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 698520 | 731627 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 25984 | 26692 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 4274034 | 4410005 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 4027879 | 4208714 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 577967 | 593530 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 514838 | 536504 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 40840 | 42704 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 20177 | 21093 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 11733 | 12355 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 196736 | 205861 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 4262922 | 4389366 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 1057527 | 1107980 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 172608 | 178270 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 3553502 | 3686388 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 3489002 | 3652458 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 1346136 | 1406532 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 380649 | 393159 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2036  | 58719 | 61813 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 2026 | 2154 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 325219 | 337475 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 2628355 | 2725495 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 1263591 | 1313608 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 98186 | 101069 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 4894611 | 5039792 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1542660 | 1615293 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 18676 | 19613 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2055  | 221286 | 228421 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2055  | 104205 | 107011 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 4701437 | 4974630 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 2852198 | 2980500 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 209715 | 219935 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 16216 | 16998 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 936027 | 993635 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2052  | 83837 | 87792 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 1729941 | 1827627 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2052  | 51933 | 54383 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 344471 | 364703 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 611 | 652 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2053  | 24640 | 25828 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  | 603739 | 632076 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 1036017 | 1081164 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 2137499 | 2265046 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 2556721 | 2705288 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 563763 | 590180 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2055  | 2904462 | 3015146 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2053  | 1549753 | 1633753 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 1609340 | 1703360 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 1345401 | 1404030 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 823792 | 855338 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 1320733 | 1401606 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 6431639 | 6807382 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1584566 | 1651884 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1343295 | 1397845 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 1125649 | 1189212 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 993280 | 1055654 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2053  | 790064 | 826838 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 653868 | 692272 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 3160698 | 3357449 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 2482078 | 2639687 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 2199561 | 2327202 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (g) | 33261 | 34811 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 1538929 | 1635980 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 870311 | 927440 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 787283 | 840992 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 500729 | 532502 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 436905 | 464322 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 562436 | 599356 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 22944 | 24491 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 983854 | 1050051 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 123866 | 131413 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 45950 | 48676 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 28250 | 29839 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 15991 | 16945 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  | 31778 | 33929 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 937756 | 997261 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 219591 | 231881 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 102573 | 109274 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 69406 | 73433 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 52078 | 55032 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 51843 | 54759 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 19951 | 21109 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 732527 | 780383 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 223330 | 238356 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2053  | 441406 | 467691 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2054  | 9190 | 9707 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2033  | 1159 | 1217 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2054  | 238244 | 256005 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2054  | 19624 | 21020 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 45649 | 49067 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 24094 | 25724 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 21781 | 23164 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 18214 | 19578 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 14062 | 14935 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 596519 | 634184 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 44105 | 46790 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 482234 | 516526 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 472392 | 504655 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 328793 | 351660 |
| Fannie Mae Mortgage pass-thru certificates 8% 12/1/2036  | 6045 | 6344 |
| Fannie Mae Mortgage pass-thru certificates Series 1000, 2.5% 9/1/2051  | 713144 | 624909 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 2003683 | 1832860 |
| Freddie Mac Gold Pool 1.5% 1/1/2037  | 937457 | 854897 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 2997795 | 2387076 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 1575583 | 1444703 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 59967 | 54985 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 3013677 | 2399723 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 228174 | 183187 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 2676287 | 2453975 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 318235 | 290209 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 313511 | 271512 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 152658 | 122560 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 33390 | 26838 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 45090 | 41246 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 1840157 | 1591282 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 1494344 | 1187577 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 687709 | 629079 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 300940 | 275284 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 547483 | 473103 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 54235 | 43593 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 48983 | 44731 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1231957 | 1063074 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 38798514 | 30833757 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 3575953 | 3275555 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 50163 | 45808 |
| Freddie Mac Gold Pool 1.5% 5/1/2051  | 1192211 | 947468 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 50913 | 46493 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 905915 | 719944 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 871710 | 692761 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 133319 | 107159 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 1316358 | 1208657 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 69536 | 63423 |
| Freddie Mac Gold Pool 1.5% 9/1/2036  | 1811455 | 1652208 |
| Freddie Mac Gold Pool 2% 1/1/2032  | 482084 | 464511 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 770321 | 644627 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 408454 | 341807 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 375097 | 313892 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 176993 | 148832 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 125406 | 105453 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 780099 | 658417 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 375854 | 316053 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 134107 | 113231 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 41026 | 34255 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 34324 | 30616 |
| Freddie Mac Gold Pool 2% 10/1/2050  | 2533737 | 2121098 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 4429232 | 3721737 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 228435 | 192089 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 1538534 | 1371808 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 20686490 | 17317530 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 1974074 | 1668619 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 17576 | 14714 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15440 | 13051 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 4086819 | 3412308 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2338761 | 1962261 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1185812 | 997140 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 849990 | 714219 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 326550 | 274593 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 190207 | 159944 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 218006 | 203799 |
| Freddie Mac Gold Pool 2% 12/1/2050  | 745100 | 623754 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 6262284 | 5228723 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 3442574 | 2894833 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 24965 | 21070 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 17977 | 15173 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 2756893 | 2570333 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 139651 | 130550 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 122211 | 114246 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 761402 | 677796 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 1311314 | 1097346 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 15072017 | 12560899 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 5618464 | 4721010 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 5474719 | 4596804 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 1384844 | 1161042 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 206443 | 173855 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 108782 | 101659 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 13878 | 12952 |
| Freddie Mac Gold Pool 2% 3/1/2037  | 340110 | 319007 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 363417 | 327419 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 4076908 | 3409129 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 3401047 | 2843971 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1509214 | 1264370 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 304560 | 256388 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 286010 | 240772 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 245482 | 206654 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 33757 | 28418 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 21091 | 17755 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 1833582 | 1533249 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 1028548 | 923372 |
| Freddie Mac Gold Pool 2% 4/1/2051  | 5669108 | 4740533 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 9623410 | 8020073 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 1160547 | 973718 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 40104 | 33723 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 314565 | 293967 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 187227 | 175025 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 5587515 | 5006212 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 22775496 | 19044972 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 8787112 | 7394504 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 833035 | 701274 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 233993 | 196251 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 24499 | 20692 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 17197712 | 16157546 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 1864510 | 1738921 |
| Freddie Mac Gold Pool 2% 6/1/2036  | 745540 | 696953 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 35890146 | 30090012 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 3030452 | 2552071 |
| Freddie Mac Gold Pool 2% 6/1/2052  | 71221 | 59556 |
| Freddie Mac Gold Pool 2% 7/1/2035  | 2017114 | 1887549 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 5900603 | 5288370 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 32931 | 29466 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 628427 | 524904 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 451885 | 380410 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 179962 | 150316 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 244008 | 205490 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 15260 | 12851 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 1716720 | 1433919 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 628351 | 526019 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 24724401 | 20713287 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 2085034 | 1754591 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 20943 | 17533 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 5369415 | 4483217 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 234475 | 197168 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 232428 | 195447 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 40036 | 33666 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 349495 | 322587 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 1812406 | 1662907 |
| Freddie Mac Gold Pool 2.5% 1/1/2043  | 106651 | 97348 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 5897484 | 5151220 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 8335897 | 7265447 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 7282798 | 6422686 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 836796 | 736400 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 675305 | 594284 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 141057 | 122767 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 39038 | 38082 |
| Freddie Mac Gold Pool 2.5% 10/1/2035  | 3234948 | 3114432 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 878798 | 807241 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 4239616 | 3753483 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 3683658 | 3231344 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 507344 | 447426 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 402999 | 391985 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 835151 | 809271 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 463796 | 426797 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 154602 | 142535 |
| Freddie Mac Gold Pool 2.5% 11/1/2046  | 403640 | 359430 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3228377 | 2851135 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 925331 | 809686 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 220108 | 194663 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 471790 | 411206 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 402644 | 349051 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 1178766 | 1042498 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 4756482 | 4145681 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 2987521 | 2617885 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 341072 | 295675 |
| Freddie Mac Gold Pool 2.5% 2/1/2043  | 107908 | 98203 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  | 344195 | 302684 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 9279415 | 8197997 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 5658055 | 4942088 |
| Freddie Mac Gold Pool 2.5% 2/1/2052  | 2342193 | 2058988 |
| Freddie Mac Gold Pool 2.5% 3/1/2028  | 67537 | 66772 |
| Freddie Mac Gold Pool 2.5% 3/1/2030  | 72668 | 71272 |
| Freddie Mac Gold Pool 2.5% 3/1/2032  | 1570528 | 1526563 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 13199661 | 11529384 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 486867 | 427541 |
| Freddie Mac Gold Pool 2.5% 4/1/2037  | 47684 | 45565 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 308535 | 283221 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  | 17502948 | 15271727 |
| Freddie Mac Gold Pool 2.5% 4/1/2051  | 3660696 | 3224929 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 11309573 | 9843124 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 2704987 | 2385523 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 438905 | 387070 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 528514 | 487315 |
| Freddie Mac Gold Pool 2.5% 5/1/2050  | 2699487 | 2364644 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2522669 | 2201087 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 434712 | 387176 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 448752 | 438361 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 868201 | 799069 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 369444 | 340001 |
| Freddie Mac Gold Pool 2.5% 6/1/2051  | 1481331 | 1292496 |
| Freddie Mac Gold Pool 2.5% 6/1/2051  | 365278 | 322366 |
| Freddie Mac Gold Pool 2.5% 7/1/2030  | 142595 | 139721 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 218016 | 212746 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 505219 | 490534 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 4661659 | 4127132 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 2729793 | 2410812 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 968398 | 848278 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 2543004 | 2237902 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1753211 | 1529717 |
| Freddie Mac Gold Pool 2.5% 7/1/2052  | 2957793 | 2564105 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 368059 | 359038 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 125745 | 115774 |
| Freddie Mac Gold Pool 2.5% 8/1/2051  | 4665707 | 4113220 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 272511 | 251675 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 242517 | 237746 |
| Freddie Mac Gold Pool 3% 1/1/2036  | 337109 | 330045 |
| Freddie Mac Gold Pool 3% 1/1/2037  | 923822 | 899258 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 242702 | 228200 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 117596 | 110607 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 86343 | 81353 |
| Freddie Mac Gold Pool 3% 1/1/2047  | 3967096 | 3677084 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1374381 | 1250526 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1232377 | 1125170 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1137157 | 1034680 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 573545 | 521859 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 338612 | 308098 |
| Freddie Mac Gold Pool 3% 10/1/2028  | 65548 | 64946 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 269250 | 253040 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 46922 | 44128 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 5471622 | 5014444 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 1931551 | 1770161 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1534042 | 1404907 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 527680 | 486888 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 67919 | 64603 |
| Freddie Mac Gold Pool 3% 11/1/2046  | 720126 | 667707 |
| Freddie Mac Gold Pool 3% 11/1/2048  | 2351076 | 2172266 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 6486786 | 5979248 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 5145764 | 4743150 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 698318 | 639970 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 176917 | 161361 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2306802 | 2121267 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 1373976 | 1250158 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 592338 | 540069 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 62366 | 61448 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 213800 | 210228 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 158817 | 155957 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 438073 | 412306 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 56069 | 52935 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 6998920 | 6509140 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 322161 | 298610 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 1447059 | 1319820 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 4635740 | 4217981 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 73927 | 72874 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 311117 | 293820 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 133098 | 126128 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 61902 | 58511 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 50394 | 47459 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 46670 | 44210 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 29411 | 27734 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 11236101 | 10346433 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 3561594 | 3279589 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 2191661 | 2018127 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 6769184 | 6138012 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 6508253 | 5921749 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 1553073 | 1430102 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 243694 | 221733 |
| Freddie Mac Gold Pool 3% 3/1/2032  | 219108 | 215410 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 257639 | 252763 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 354061 | 332856 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 72719 | 68514 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 85173 | 79087 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 2406252 | 2199184 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 12451425 | 11434400 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 6576299 | 5979553 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 690920 | 635781 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 580364 | 528064 |
| Freddie Mac Gold Pool 3% 4/1/2029  | 175716 | 173918 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 24326 | 23950 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 8425 | 8302 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 477125 | 467447 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 249538 | 242282 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 29827 | 28116 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 562864 | 525689 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 5356 | 4990 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 11865 | 11042 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 10790 | 10042 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 2423084 | 2214567 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 13926070 | 12618873 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 1328650 | 1224694 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 192019 | 178702 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 29242 | 27214 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 565511 | 516669 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 3065395 | 2787235 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 2679263 | 2427769 |
| Freddie Mac Gold Pool 3% 6/1/2029  | 39364 | 38969 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 91749 | 90436 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 35353 | 34854 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 21019 | 20711 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 12147 | 11982 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 11487 | 11307 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 8886 | 8746 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 7749 | 7644 |
| Freddie Mac Gold Pool 3% 6/1/2042  | 196104 | 184921 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 565897 | 527652 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 210266 | 196493 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 190265 | 177069 |
| Freddie Mac Gold Pool 3% 6/1/2048  | 7825834 | 7318685 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 2185527 | 2011795 |
| Freddie Mac Gold Pool 3% 6/1/2051  | 2770190 | 2524011 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1858429 | 1690954 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 1853391 | 1679419 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 39439 | 38769 |
| Freddie Mac Gold Pool 3% 7/1/2037  | 130465 | 126630 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 527619 | 490596 |
| Freddie Mac Gold Pool 3% 7/1/2050  | 1610651 | 1481610 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 5945953 | 5443568 |
| Freddie Mac Gold Pool 3% 8/1/2029  | 61900 | 61211 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 53732 | 52820 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 35207 | 34602 |
| Freddie Mac Gold Pool 3% 8/1/2043  | 229376 | 215136 |
| Freddie Mac Gold Pool 3% 8/1/2046  | 34802 | 32378 |
| Freddie Mac Gold Pool 3% 8/1/2049  | 400030 | 366606 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 1789049 | 1637889 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 742681 | 683412 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 22087 | 20386 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 1421204 | 1295795 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 530269 | 483974 |
| Freddie Mac Gold Pool 3.05% 10/1/2032  | 6301000 | 5954000 |
| Freddie Mac Gold Pool 3.19% 7/1/2033  | 5941532 | 5647241 |
| Freddie Mac Gold Pool 3.5% 1/1/2032  | 57579 | 57226 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 8825 | 8515 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 1292299 | 1253846 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 650051 | 629544 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 307843 | 295492 |
| Freddie Mac Gold Pool 3.5% 1/1/2047  | 1929904 | 1837315 |
| Freddie Mac Gold Pool 3.5% 1/1/2047  | 89581 | 85719 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 798228 | 762178 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 2359953 | 2229475 |
| Freddie Mac Gold Pool 3.5% 1/1/2053  | 26582 | 25083 |
| Freddie Mac Gold Pool 3.5% 10/1/2032  | 15166 | 14926 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 3937840 | 3896778 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 129451 | 125366 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 54432 | 53129 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  | 371515 | 356921 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  | 182202 | 175004 |
| Freddie Mac Gold Pool 3.5% 10/1/2045  | 6686 | 6429 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 580426 | 555041 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 6363 | 6126 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 3181171 | 3009664 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 2692033 | 2562880 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 368458 | 364546 |
| Freddie Mac Gold Pool 3.5% 11/1/2042  | 409300 | 396637 |
| Freddie Mac Gold Pool 3.5% 11/1/2044  | 680527 | 653709 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 841015 | 809495 |
| Freddie Mac Gold Pool 3.5% 11/1/2046  | 923040 | 883536 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 408885 | 388575 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 39667 | 38161 |
| Freddie Mac Gold Pool 3.5% 11/1/2052  | 4975911 | 4696758 |
| Freddie Mac Gold Pool 3.5% 11/1/2052  | 2792570 | 2635904 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 58984 | 58542 |
| Freddie Mac Gold Pool 3.5% 12/1/2042  | 81279 | 79418 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 412364 | 395992 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 42293 | 40583 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 1958402 | 1877646 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 744670 | 712799 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 191352 | 183462 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 751386 | 718289 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 9512 | 9151 |
| Freddie Mac Gold Pool 3.5% 12/1/2052  | 42510 | 40125 |
| Freddie Mac Gold Pool 3.5% 2/1/2029  | 60888 | 60681 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 1502708 | 1491654 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 418082 | 412239 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 1408588 | 1364001 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 40430 | 39340 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 7561294 | 7146550 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 517755 | 491945 |
| Freddie Mac Gold Pool 3.5% 2/1/2053  | 315425 | 299799 |
| Freddie Mac Gold Pool 3.5% 2/1/2053  | 26439 | 24939 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 1529495 | 1519919 |
| Freddie Mac Gold Pool 3.5% 3/1/2042  | 306686 | 297436 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 4333098 | 4174778 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 450866 | 433827 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 19128 | 18315 |
| Freddie Mac Gold Pool 3.5% 3/1/2047  | 262479 | 252347 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 55597 | 53096 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 3221165 | 3059580 |
| Freddie Mac Gold Pool 3.5% 3/1/2052 (e) | 2663316 | 2529382 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 2439394 | 2312452 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 620490 | 586650 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 571363 | 540023 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 91206 | 86004 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 202023 | 196152 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 181777 | 176852 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 1427380 | 1379554 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 182178 | 176397 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 19218 | 18782 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 5381 | 5199 |
| Freddie Mac Gold Pool 3.5% 4/1/2045  | 67185 | 64620 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1464677 | 1404738 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 926420 | 880816 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1479569 | 1408123 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 619934 | 584574 |
| Freddie Mac Gold Pool 3.5% 5/1/2033  | 282825 | 280830 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 177813 | 176376 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 68816 | 68244 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  | 31848 | 31455 |
| Freddie Mac Gold Pool 3.5% 5/1/2043  | 136926 | 132347 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 356947 | 343335 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 4987121 | 4809526 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 1214469 | 1167426 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 306593 | 294046 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 83340 | 79800 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 11770 | 11332 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 634493 | 602863 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 2415057 | 2293155 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 1286042 | 1222334 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 1460704 | 1451283 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 290534 | 282016 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 21688 | 20970 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 432447 | 416299 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 133041 | 128340 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 70500 | 67989 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 5242 | 5015 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 22557 | 21606 |
| Freddie Mac Gold Pool 3.5% 6/1/2046  | 8826 | 8498 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 248752 | 237517 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 2410777 | 2395080 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 460611 | 457670 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 141309 | 140857 |
| Freddie Mac Gold Pool 3.5% 7/1/2043  | 55396 | 53531 |
| Freddie Mac Gold Pool 3.5% 7/1/2044  | 38114 | 36750 |
| Freddie Mac Gold Pool 3.5% 7/1/2045  | 267254 | 256882 |
| Freddie Mac Gold Pool 3.5% 7/1/2045  | 12673 | 12261 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 401308 | 384885 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 13863 | 13348 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 11906 | 11464 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 10420 | 9977 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 9234 | 8839 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 96916 | 93297 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 4929008 | 4666349 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 10739605 | 10137104 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 402964 | 383380 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 138366 | 137217 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 116353 | 115359 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 279921 | 271368 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 157168 | 151021 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 119701 | 114578 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 35645 | 34342 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 150583 | 144958 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 17795 | 17131 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 11613 | 11180 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 8414502 | 8031844 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 3709049 | 3533422 |
| Freddie Mac Gold Pool 3.5% 8/1/2052  | 291710 | 277624 |
| Freddie Mac Gold Pool 3.5% 9/1/2032  | 4984 | 4906 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1945325 | 1883465 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1917669 | 1858786 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 48527 | 47418 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 1747883 | 1675808 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 962553 | 924666 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 101726 | 97373 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 5454 | 5250 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 110834 | 105744 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 2792202 | 2635557 |
| Freddie Mac Gold Pool 3.55% 11/1/2032  | 429443 | 419607 |
| Freddie Mac Gold Pool 3.85% 9/1/2032  | 509042 | 503866 |
| Freddie Mac Gold Pool 4% 1/1/2032  | 25420 | 25449 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 851862 | 864241 |
| Freddie Mac Gold Pool 4% 1/1/2038  | 144113 | 145622 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 161658 | 160639 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 140442 | 139561 |
| Freddie Mac Gold Pool 4% 1/1/2046  | 57268 | 56639 |
| Freddie Mac Gold Pool 4% 1/1/2048  | 174639 | 171839 |
| Freddie Mac Gold Pool 4% 1/1/2050  | 182486 | 179525 |
| Freddie Mac Gold Pool 4% 1/1/2053  | 5486552 | 5337544 |
| Freddie Mac Gold Pool 4% 1/1/2053  | 718982 | 699456 |
| Freddie Mac Gold Pool 4% 10/1/2039  | 135610 | 135419 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 194137 | 193689 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 151567 | 151285 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 63511 | 63315 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 15838 | 15831 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 13441 | 13357 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 11172 | 11104 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 72723 | 72256 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 49455 | 49016 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 9797791 | 9531693 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 6018809 | 5853464 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 1243728 | 1223553 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 649124 | 632103 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 231754 | 225605 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 111144 | 108195 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 137638 | 137363 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1609769 | 1605559 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 2901 | 2906 |
| Freddie Mac Gold Pool 4% 11/1/2045  | 219988 | 218017 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 32909 | 32550 |
| Freddie Mac Gold Pool 4% 11/1/2053  | 894604 | 870307 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 137180 | 136921 |
| Freddie Mac Gold Pool 4% 12/1/2043  | 130619 | 129808 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 239932 | 237744 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 14195 | 14067 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 1511141 | 1486915 |
| Freddie Mac Gold Pool 4% 12/1/2052  | 220093 | 214115 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 137790 | 137291 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 45574 | 45466 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 26387 | 26220 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 48051 | 47750 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 34195 | 33922 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 883284 | 877037 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 675756 | 670855 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 57905 | 57303 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 18400 | 18282 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 13143 | 13006 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 31812 | 31362 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 15647 | 15446 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13528 | 13376 |
| Freddie Mac Gold Pool 4% 3/1/2052  | 1177474 | 1151382 |
| Freddie Mac Gold Pool 4% 3/1/2053  | 684336 | 665751 |
| Freddie Mac Gold Pool 4% 3/1/2053  | 224380 | 219759 |
| Freddie Mac Gold Pool 4% 4/1/2038  | 95558 | 95179 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 9557 | 9504 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 1646647 | 1640036 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 42507 | 42310 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 21086 | 21075 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 145407 | 143894 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 731813 | 711937 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 224540 | 218441 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 18414 | 18177 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 16391 | 16181 |
| Freddie Mac Gold Pool 4% 5/1/2037  | 2268732 | 2292483 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 1289392 | 1300875 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5702 | 5671 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 127981 | 127621 |
| Freddie Mac Gold Pool 4% 5/1/2046  | 135527 | 134117 |
| Freddie Mac Gold Pool 4% 5/1/2052  | 3015667 | 2935649 |
| Freddie Mac Gold Pool 4% 5/1/2052  | 40958 | 39923 |
| Freddie Mac Gold Pool 4% 6/1/2042  | 4922 | 4887 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 192362 | 191243 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 48138 | 47755 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 2149555 | 2124498 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 1969885 | 1942614 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 1543436 | 1516953 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 150449 | 146527 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 89684 | 87220 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 83251 | 81172 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 19037 | 18823 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 304764 | 303284 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 27243 | 27051 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 211160 | 210199 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 989195 | 979210 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 125462 | 123412 |
| Freddie Mac Gold Pool 4% 7/1/2049  | 5920024 | 5823993 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 1083598 | 1054744 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 21607 | 21364 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 12665 | 12572 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 12398 | 12351 |
| Freddie Mac Gold Pool 4% 8/1/2045  | 224651 | 223079 |
| Freddie Mac Gold Pool 4% 8/1/2046  | 334057 | 330888 |
| Freddie Mac Gold Pool 4% 8/1/2046  | 12583 | 12436 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 7613165 | 7411158 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 6466870 | 6293973 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 5535356 | 5388482 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 2337387 | 2274637 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 814707 | 792326 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 799500 | 777536 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 86529 | 84423 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 16751 | 16557 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 88238 | 88068 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 107857 | 107565 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 170849 | 170218 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 94372 | 94205 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 1912 | 1916 |
| Freddie Mac Gold Pool 4% 9/1/2046  | 24403 | 24118 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 27158 | 26862 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 924648 | 899825 |
| Freddie Mac Gold Pool 4% 9/1/2052  | 244849 | 238582 |
| Freddie Mac Gold Pool 4.17% 10/1/2034  | 585106 | 586185 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 425908 | 433678 |
| Freddie Mac Gold Pool 4.5% 1/1/2049  | 338954 | 342153 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 8979 | 9144 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 222176 | 226242 |
| Freddie Mac Gold Pool 4.5% 10/1/2042  | 2514701 | 2552583 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  | 777353 | 791225 |
| Freddie Mac Gold Pool 4.5% 10/1/2044  | 205894 | 209495 |
| Freddie Mac Gold Pool 4.5% 10/1/2046  | 221657 | 223524 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 81502 | 81654 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 8804 | 8889 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 10969512 | 10891374 |
| Freddie Mac Gold Pool 4.5% 11/1/2052  | 2116323 | 2101248 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 429472 | 437310 |
| Freddie Mac Gold Pool 4.5% 12/1/2043  | 50784 | 51582 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 87404 | 88686 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 57306 | 58293 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 216079 | 220000 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 148241 | 150897 |
| Freddie Mac Gold Pool 4.5% 12/1/2047  | 81239 | 81568 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 3791425 | 3809150 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 126512 | 128828 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 98147 | 99937 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 51490 | 52423 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 46149 | 46991 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 22548 | 22960 |
| Freddie Mac Gold Pool 4.5% 2/1/2042  | 20977 | 21357 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 61792 | 62856 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 39594 | 40216 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 132044 | 134459 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 106203 | 108141 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 42129 | 42899 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 61902 | 62975 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 42714 | 43455 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 40950 | 41670 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 38195 | 38855 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 23166 | 23564 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 300739 | 306234 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 200008 | 203665 |
| Freddie Mac Gold Pool 4.5% 4/1/2044  | 1477370 | 1502943 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 314741 | 317786 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 52843 | 52995 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 134384 | 136832 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 5828 | 5935 |
| Freddie Mac Gold Pool 4.5% 5/1/2044  | 59817 | 60864 |
| Freddie Mac Gold Pool 4.5% 5/1/2053  | 2942205 | 2928602 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 91314 | 92956 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 168945 | 169893 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 129175 | 130182 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 66468 | 67685 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 21255 | 21622 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 234943 | 237436 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 151033 | 151881 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 103703 | 104512 |
| Freddie Mac Gold Pool 4.5% 7/1/2052  | 538849 | 535516 |
| Freddie Mac Gold Pool 4.5% 7/1/2052  | 293430 | 291615 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 11334196 | 11264086 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 10493850 | 10419100 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 3878765 | 3860833 |
| Freddie Mac Gold Pool 4.5% 8/1/2052  | 464793 | 461918 |
| Freddie Mac Gold Pool 4.5% 8/1/2054  | 3616576 | 3593916 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 42997 | 43768 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 790421 | 804890 |
| Freddie Mac Gold Pool 4.5% 9/1/2042  | 521519 | 531030 |
| Freddie Mac Gold Pool 4.5% 9/1/2042  | 12997 | 13205 |
| Freddie Mac Gold Pool 4.5% 9/1/2044  | 121751 | 123867 |
| Freddie Mac Gold Pool 4.5% 9/1/2046  | 149872 | 151135 |
| Freddie Mac Gold Pool 4.5% 9/1/2053  | 3911032 | 3895395 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 5344 | 5491 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 11789 | 12205 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 12115 | 12566 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 801421 | 815245 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 38542 | 38949 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 33877 | 34276 |
| Freddie Mac Gold Pool 5% 1/1/2055  | 21121438 | 21234934 |
| Freddie Mac Gold Pool 5% 1/1/2056  | 566805 | 570338 |
| Freddie Mac Gold Pool 5% 1/1/2056  | 236657 | 238180 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 89393 | 91822 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 4669193 | 4757755 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 21131 | 21509 |
| Freddie Mac Gold Pool 5% 10/1/2053  | 8872060 | 8946073 |
| Freddie Mac Gold Pool 5% 10/1/2053  | 302577 | 305196 |
| Freddie Mac Gold Pool 5% 10/1/2054  | 531555 | 534660 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 686515 | 706932 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 2827736 | 2861046 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 778699 | 792983 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 555413 | 567336 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 455967 | 464829 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 349250 | 356038 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 23334636 | 23529298 |
| Freddie Mac Gold Pool 5% 11/1/2053  | 5927228 | 5978527 |
| Freddie Mac Gold Pool 5% 11/1/2054  | 71494719 | 71912406 |
| Freddie Mac Gold Pool 5% 12/1/2047  | 104867 | 107963 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1319875 | 1344084 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 552860 | 562655 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 468417 | 476789 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 392334 | 399531 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 234670 | 238828 |
| Freddie Mac Gold Pool 5% 12/1/2053  | 1093628 | 1104460 |
| Freddie Mac Gold Pool 5% 2/1/2034  | 107847 | 110670 |
| Freddie Mac Gold Pool 5% 2/1/2038  | 130138 | 134638 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 27253 | 28281 |
| Freddie Mac Gold Pool 5% 2/1/2055  | 11516431 | 11580113 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 56081 | 58001 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 55704 | 57750 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 55298 | 57378 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 6768 | 6846 |
| Freddie Mac Gold Pool 5% 3/1/2053  | 998629 | 1012889 |
| Freddie Mac Gold Pool 5% 3/1/2053  | 938023 | 948487 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 18442 | 19114 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 22820 | 23683 |
| Freddie Mac Gold Pool 5% 4/1/2053  | 7333645 | 7406282 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 49205 | 51060 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 47353 | 49053 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 6903 | 7152 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 234224 | 242853 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 61223 | 63541 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 2522639 | 2559450 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1287190 | 1315626 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 4972 | 5063 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 108379 | 111456 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 11105 | 11490 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 44760 | 46448 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 40375 | 41768 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 25349 | 26284 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 25263 | 26219 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 25057 | 25990 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 21423 | 21935 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 12100 | 12465 |
| Freddie Mac Gold Pool 5% 7/1/2052  | 74573 | 76220 |
| Freddie Mac Gold Pool 5% 7/1/2053  | 37749 | 38100 |
| Freddie Mac Gold Pool 5% 8/1/2039  | 248463 | 257173 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 87730 | 90908 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 47545 | 49199 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 2111637 | 2138491 |
| Freddie Mac Gold Pool 5% 8/1/2052  | 183659 | 186499 |
| Freddie Mac Gold Pool 5% 8/1/2053  | 8822353 | 8898708 |
| Freddie Mac Gold Pool 5% 9/1/2038  | 43726 | 45227 |
| Freddie Mac Gold Pool 5% 9/1/2038  | 29211 | 30210 |
| Freddie Mac Gold Pool 5% 9/1/2040  | 56888 | 58963 |
| Freddie Mac Gold Pool 5% 9/1/2043  | 22879 | 23642 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 7320091 | 7399548 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 7304 | 7434 |
| Freddie Mac Gold Pool 5% 9/1/2053  | 5185582 | 5230462 |
| Freddie Mac Gold Pool 5.5% 1/1/2053  | 2060307 | 2107023 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 2795486 | 2859745 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 2191028 | 2265382 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 7118471 | 7351059 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 3334321 | 3435712 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 4351196 | 4430478 |
| Freddie Mac Gold Pool 5.5% 11/1/2052  | 21352227 | 21856383 |
| Freddie Mac Gold Pool 5.5% 11/1/2053  | 3255412 | 3320069 |
| Freddie Mac Gold Pool 5.5% 12/1/2038  | 14858 | 15616 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  | 741201 | 758007 |
| Freddie Mac Gold Pool 5.5% 12/1/2052  | 696575 | 711955 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 16364833 | 16647671 |
| Freddie Mac Gold Pool 5.5% 2/1/2053  | 2151422 | 2200203 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 519215 | 530015 |
| Freddie Mac Gold Pool 5.5% 2/1/2055  | 32241900 | 32790328 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (d)(i) | 10551986 | 10939628 |
| Freddie Mac Gold Pool 5.5% 3/1/2053  | 231064 | 236520 |
| Freddie Mac Gold Pool 5.5% 4/1/2054  | 1425768 | 1454420 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 3046227 | 3141952 |
| Freddie Mac Gold Pool 5.5% 6/1/2041  | 50884 | 53342 |
| Freddie Mac Gold Pool 5.5% 6/1/2054  | 7035654 | 7165279 |
| Freddie Mac Gold Pool 5.5% 7/1/2054  | 9297494 | 9466902 |
| Freddie Mac Gold Pool 5.5% 8/1/2053  | 1677094 | 1714361 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 4363039 | 4510709 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 1315700 | 1346766 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 6877669 | 7106257 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 534482 | 552238 |
| Freddie Mac Gold Pool 6% 1/1/2053  | 6788208 | 6979374 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 2799291 | 2930216 |
| Freddie Mac Gold Pool 6% 10/1/2055  | 768693 | 793475 |
| Freddie Mac Gold Pool 6% 11/1/2038  | 429692 | 445884 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 1848908 | 1903027 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 1161309 | 1196572 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 826218 | 858922 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 816240 | 840132 |
| Freddie Mac Gold Pool 6% 11/1/2054  | 109097 | 112162 |
| Freddie Mac Gold Pool 6% 11/1/2055  | 189787 | 196255 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1313839 | 1357429 |
| Freddie Mac Gold Pool 6% 12/1/2053  | 77707 | 79936 |
| Freddie Mac Gold Pool 6% 12/1/2055  | 4162818 | 4363045 |
| Freddie Mac Gold Pool 6% 2/1/2028  | 1035 | 1048 |
| Freddie Mac Gold Pool 6% 2/1/2038  | 17489 | 18644 |
| Freddie Mac Gold Pool 6% 2/1/2040  | 794543 | 827960 |
| Freddie Mac Gold Pool 6% 2/1/2054  | 575558 | 592405 |
| Freddie Mac Gold Pool 6% 2/1/2054  | 305812 | 314429 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1518051 | 1593796 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 701972 | 735024 |
| Freddie Mac Gold Pool 6% 3/1/2054  | 57136 | 59067 |
| Freddie Mac Gold Pool 6% 4/1/2053  | 1028388 | 1057044 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 4638757 | 4852816 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 72315 | 75358 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 6739898 | 7059341 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 1090505 | 1138101 |
| Freddie Mac Gold Pool 6% 6/1/2054  | 20501 | 21078 |
| Freddie Mac Gold Pool 6% 6/1/2055  | 149969 | 154823 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 983 | 1044 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 6871795 | 7117864 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 20616 | 21854 |
| Freddie Mac Gold Pool 6% 8/1/2052  | 1191363 | 1239173 |
| Freddie Mac Gold Pool 6% 8/1/2053  | 7173021 | 7394749 |
| Freddie Mac Gold Pool 6% 8/1/2055 (i) | 6217244 | 6512401 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 3566611 | 3733703 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 2702419 | 2780184 |
| Freddie Mac Gold Pool 6% 9/1/2038  | 30403 | 32410 |
| Freddie Mac Gold Pool 6% 9/1/2052  | 1851714 | 1918356 |
| Freddie Mac Gold Pool 6% 9/1/2054 (i) | 14958649 | 15662951 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 13920505 | 14528077 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 1282021 | 1342783 |
| Freddie Mac Gold Pool 6.5% 1/1/2054 (i) | 3613034 | 3822699 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 830243 | 877139 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 800618 | 845827 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 791817 | 837766 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 318855 | 337582 |
| Freddie Mac Gold Pool 6.5% 2/1/2053  | 113320 | 118843 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 229 | 229 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 3055816 | 3234340 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 946330 | 1005165 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  | 42754 | 44709 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 175402 | 188715 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 530759 | 561767 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 397886 | 420354 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 1133827 | 1204318 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1972899 | 2097318 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1919587 | 2045593 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1588211 | 1688990 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 1066689 | 1136708 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 614106 | 653266 |
| Freddie Mac Gold Pool 7% 10/1/2053  | 23188 | 24420 |
| Freddie Mac Gold Pool 7% 11/1/2053  | 87394 | 93301 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 223226 | 235720 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 81539 | 86125 |
| Freddie Mac Gold Pool 7% 2/1/2054  | 1021705 | 1085819 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 43370 | 46329 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 1827378 | 1950329 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 1799249 | 1913982 |
| Freddie Mac Gold Pool 7% 7/1/2054  | 17362 | 18508 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 803756 | 858337 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 267206 | 287209 |
| Freddie Mac Gold Pool 7% 9/1/2054  | 1034023 | 1099232 |
| Freddie Mac Gold Pool 7% 9/1/2055  | 5830612 | 6224734 |
| Freddie Mac Gold Pool 7.5% 1/1/2032  | 1083 | 1126 |
| Freddie Mac Gold Pool 7.5% 12/1/2036  | 1116 | 1155 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 1256695 | 1313508 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 2222335 | 2323497 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 379253 | 392014 |
| Freddie Mac Manufactured Housing participation certificates 6% 5/1/2055  | 810638 | 837913 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 960657 | 1017980 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 847931 | 900648 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 274919 | 293386 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 1945104 | 2067856 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.8107%, 6.555% 10/1/2037 (f)(g) | 1029 | 1073 |
| Freddie Mac Non Gold Pool 2% 2/1/2052  | 332956 | 279564 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 382414 | 381509 |
| Freddie Mac Non Gold Pool 4.5% 10/1/2053  | 3778668 | 3751752 |
| Freddie Mac Non Gold Pool 5% 5/1/2053  | 1014308 | 1030060 |
| Freddie Mac Non Gold Pool 5% 5/1/2053  | 564999 | 570948 |
| Freddie Mac Non Gold Pool 5% 7/1/2053  | 5489597 | 5593720 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 3910045 | 4041467 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 1947455 | 2010477 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 2863588 | 2956257 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 4060767 | 4197255 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1633196 | 1672779 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  | 1398750 | 1442158 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 1425981 | 1490002 |
| Freddie Mac Non Gold Pool 6% 4/1/2054  | 491798 | 508268 |
| Freddie Mac Non Gold Pool 6% 4/1/2054  | 295990 | 305903 |
| Freddie Mac Non Gold Pool 6% 5/1/2054  | 828313 | 856053 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 597086 | 623519 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 519731 | 541928 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 330729 | 344957 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 889593 | 919386 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 434461 | 449011 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 1602884 | 1673845 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 1003269 | 1046431 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 1584565 | 1647287 |
| Freddie Mac Non Gold Pool 6% 9/1/2055  | 126275 | 129741 |
| Freddie Mac Non Gold Pool 6% 9/1/2055  | 51445 | 52831 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 1483946 | 1568205 |
| Freddie Mac Non Gold Pool 6.5% 9/1/2053  | 268023 | 280477 |
| Ginnie Mae 6.5% 6/20/2053  | 1193361 | 1275446 |
| Ginnie Mae 6.5% 7/20/2053  | 1439563 | 1538583 |
| Ginnie Mae I & II 6.5% 8/20/2055  | 2673711 | 2871658 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.574%, 5.172% 3/20/2072 (f)(g)(h) | 575085 | 599614 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.644%, 5.212% 4/20/2072 (f)(g)(h) | 982986 | 1028801 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.656%, 5.22% 3/20/2072 (f)(g)(h) | 590918 | 618352 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.689%, 5.259% 3/20/2072 (f)(g)(h) | 1387597 | 1453371 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.694%, 5.3% 3/20/2072 (f)(g)(h) | 356031 | 372898 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.702%, 5.28% 2/20/2072 (f)(g)(h) | 1052658 | 1102095 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.73%, 5.336% 3/20/2072 (f)(g)(h) | 382433 | 400350 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.741%, 5.316% 3/20/2072 (f)(g)(h) | 894552 | 940230 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.742%, 5.332% 4/20/2072 (f)(g)(h) | 599785 | 631480 |
| Ginnie Mae I Pool 1 year U.S. Treasury Index + 1.759%, 5.381% 3/20/2072 (f)(g)(h) | 983892 | 1034473 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 1961568 | 1725993 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 3036466 | 2671800 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 2033407 | 1787297 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 1612749 | 1419065 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1722856 | 1514334 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1526741 | 1341955 |
| Ginnie Mae I Pool 2.832% 7/20/2071 (g)(h) | 2685437 | 2455940 |
| Ginnie Mae I Pool 2.893% 8/20/2071 (g)(h) | 1094989 | 1002049 |
| Ginnie Mae I Pool 2.955% 5/20/2071 (g)(h) | 1387765 | 1271188 |
| Ginnie Mae I Pool 2.964% 6/20/2071 (g) | 618948 | 567412 |
| Ginnie Mae I Pool 3% 10/20/2054  | 5461804 | 5020491 |
| Ginnie Mae I Pool 3% 11/15/2042  | 142461 | 133422 |
| Ginnie Mae I Pool 3% 12/15/2042  | 41880 | 39197 |
| Ginnie Mae I Pool 3% 12/20/2042  | 366730 | 343095 |
| Ginnie Mae I Pool 3% 2/20/2050  | 1144516 | 1051055 |
| Ginnie Mae I Pool 3% 2/20/2052  | 290218 | 263526 |
| Ginnie Mae I Pool 3% 3/15/2045  | 142739 | 132606 |
| Ginnie Mae I Pool 3% 3/20/2043  | 238760 | 223462 |
| Ginnie Mae I Pool 3% 3/20/2043  | 99304 | 93002 |
| Ginnie Mae I Pool 3% 3/20/2053  | 326199 | 301142 |
| Ginnie Mae I Pool 3% 4/15/2043  | 131320 | 122906 |
| Ginnie Mae I Pool 3% 4/20/2053  | 1833404 | 1693716 |
| Ginnie Mae I Pool 3% 7/20/2052  | 8274697 | 7595114 |
| Ginnie Mae I Pool 3% 8/15/2045  | 297584 | 275510 |
| Ginnie Mae I Pool 3.042% 7/20/2071 (g)(h) | 1339926 | 1232651 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 283847 | 271717 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 9919 | 9506 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 6095134 | 5777651 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 64208 | 61733 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 26524 | 25426 |
| Ginnie Mae I Pool 3.5% 11/15/2043  | 287764 | 273944 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 65394 | 62617 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 30008 | 28677 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 23408 | 22443 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 7044 | 6740 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 158978 | 151672 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 68100 | 65307 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 58457 | 56082 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 43092 | 41317 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 30385 | 29177 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 830584 | 794332 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1391817 | 1331425 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 44973 | 43184 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 29814 | 28649 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 15058 | 14429 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 8091 | 7753 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 299214 | 285464 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 354001 | 338550 |
| Ginnie Mae I Pool 3.5% 3/20/2052  | 366292 | 340453 |
| Ginnie Mae I Pool 3.5% 4/20/2053  | 5291386 | 5037679 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 104857 | 100616 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 78368 | 75184 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 62386 | 59586 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 74200 | 71094 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 49106 | 47051 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 37348 | 35785 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 36053 | 34544 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 31966 | 30628 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 19891 | 19020 |
| Ginnie Mae I Pool 3.5% 5/20/2053  | 1468614 | 1391314 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 169506 | 162411 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 48026 | 46016 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 46817 | 44857 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 44523 | 42659 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 43038 | 41236 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 31191 | 29807 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 25218 | 24163 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 16904 | 16212 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 169973 | 161845 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 4842916 | 4644763 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 42251 | 40311 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 9108747 | 8639985 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 5299934 | 5023871 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 457834 | 435940 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 9035255 | 8564628 |
| Ginnie Mae I Pool 3.75% 6/20/2046  | 28385 | 27419 |
| Ginnie Mae I Pool 3.75% 7/20/2046  | 51406 | 49737 |
| Ginnie Mae I Pool 4% 1/15/2042  | 13470 | 13234 |
| Ginnie Mae I Pool 4% 1/15/2043  | 46827 | 45947 |
| Ginnie Mae I Pool 4% 1/15/2047  | 19366 | 18901 |
| Ginnie Mae I Pool 4% 1/15/2047  | 18673 | 18225 |
| Ginnie Mae I Pool 4% 1/15/2047  | 14362 | 14017 |
| Ginnie Mae I Pool 4% 1/15/2047  | 6841 | 6677 |
| Ginnie Mae I Pool 4% 1/20/2048  | 90579 | 88460 |
| Ginnie Mae I Pool 4% 10/15/2040  | 85475 | 84162 |
| Ginnie Mae I Pool 4% 10/15/2040  | 8140 | 8015 |
| Ginnie Mae I Pool 4% 10/15/2041  | 248391 | 244065 |
| Ginnie Mae I Pool 4% 10/15/2041  | 93996 | 92476 |
| Ginnie Mae I Pool 4% 10/15/2041  | 91460 | 89945 |
| Ginnie Mae I Pool 4% 10/15/2041  | 54128 | 53199 |
| Ginnie Mae I Pool 4% 10/15/2041  | 32814 | 32214 |
| Ginnie Mae I Pool 4% 10/15/2041  | 9609 | 9458 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6940 | 6813 |
| Ginnie Mae I Pool 4% 10/20/2052  | 16449763 | 15951969 |
| Ginnie Mae I Pool 4% 11/15/2041  | 243429 | 239342 |
| Ginnie Mae I Pool 4% 11/15/2042  | 16411 | 16109 |
| Ginnie Mae I Pool 4% 11/20/2042  | 32012 | 31359 |
| Ginnie Mae I Pool 4% 11/20/2052  | 2364868 | 2294043 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1499205 | 1474813 |
| Ginnie Mae I Pool 4% 12/15/2040  | 43376 | 42643 |
| Ginnie Mae I Pool 4% 12/15/2041  | 104460 | 102740 |
| Ginnie Mae I Pool 4% 12/15/2041  | 78520 | 77143 |
| Ginnie Mae I Pool 4% 12/15/2041  | 38973 | 38304 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5295 | 5206 |
| Ginnie Mae I Pool 4% 12/15/2042  | 13651 | 13408 |
| Ginnie Mae I Pool 4% 12/15/2046  | 3704 | 3621 |
| Ginnie Mae I Pool 4% 12/20/2043  | 246933 | 241641 |
| Ginnie Mae I Pool 4% 12/20/2047  | 89889 | 87787 |
| Ginnie Mae I Pool 4% 12/20/2052  | 1185728 | 1150587 |
| Ginnie Mae I Pool 4% 2/15/2041  | 33515 | 32990 |
| Ginnie Mae I Pool 4% 2/15/2042  | 25955 | 25503 |
| Ginnie Mae I Pool 4% 3/15/2041  | 15180 | 14944 |
| Ginnie Mae I Pool 4% 3/15/2042  | 125786 | 123548 |
| Ginnie Mae I Pool 4% 3/15/2042  | 25063 | 24598 |
| Ginnie Mae I Pool 4% 4/15/2042  | 28576 | 28032 |
| Ginnie Mae I Pool 4% 4/15/2043  | 9407 | 9242 |
| Ginnie Mae I Pool 4% 4/15/2046  | 1862745 | 1821533 |
| Ginnie Mae I Pool 4% 4/20/2047  | 1429598 | 1397952 |
| Ginnie Mae I Pool 4% 4/20/2047  | 1275868 | 1247625 |
| Ginnie Mae I Pool 4% 4/20/2048  | 299436 | 292620 |
| Ginnie Mae I Pool 4% 4/20/2048  | 263926 | 257919 |
| Ginnie Mae I Pool 4% 4/20/2052  | 238470 | 231179 |
| Ginnie Mae I Pool 4% 5/15/2042  | 1639 | 1631 |
| Ginnie Mae I Pool 4% 5/20/2049  | 610381 | 593245 |
| Ginnie Mae I Pool 4% 6/15/2041  | 26581 | 26141 |
| Ginnie Mae I Pool 4% 6/15/2041  | 16172 | 15885 |
| Ginnie Mae I Pool 4% 6/20/2046  | 23027 | 22524 |
| Ginnie Mae I Pool 4% 6/20/2049  | 169706 | 164942 |
| Ginnie Mae I Pool 4% 7/15/2041  | 9356 | 9199 |
| Ginnie Mae I Pool 4% 7/15/2046  | 87832 | 85915 |
| Ginnie Mae I Pool 4% 7/15/2046  | 12999 | 12716 |
| Ginnie Mae I Pool 4% 7/15/2046  | 10441 | 10213 |
| Ginnie Mae I Pool 4% 8/15/2040  | 63626 | 62661 |
| Ginnie Mae I Pool 4% 8/15/2041  | 218326 | 214661 |
| Ginnie Mae I Pool 4% 8/15/2041  | 10536 | 10374 |
| Ginnie Mae I Pool 4% 8/15/2043  | 14763 | 14451 |
| Ginnie Mae I Pool 4% 8/15/2046  | 54666 | 53473 |
| Ginnie Mae I Pool 4% 8/20/2052  | 654098 | 634304 |
| Ginnie Mae I Pool 4% 9/15/2041  | 114783 | 112842 |
| Ginnie Mae I Pool 4% 9/15/2041  | 11260 | 11053 |
| Ginnie Mae I Pool 4% 9/15/2041  | 1379 | 1358 |
| Ginnie Mae I Pool 4.5% 1/15/2040  | 15516 | 15708 |
| Ginnie Mae I Pool 4.5% 1/20/2053  | 405680 | 403751 |
| Ginnie Mae I Pool 4.5% 10/20/2048  | 101856 | 102231 |
| Ginnie Mae I Pool 4.5% 10/20/2052  | 11170771 | 11135092 |
| Ginnie Mae I Pool 4.5% 11/20/2047  | 87228 | 87686 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1247 | 1261 |
| Ginnie Mae I Pool 4.5% 2/20/2049  | 51162 | 51351 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 19007 | 19242 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 305245 | 309033 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 244197 | 247217 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 21058 | 21318 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 7890 | 7988 |
| Ginnie Mae I Pool 4.5% 3/20/2048  | 47844 | 48095 |
| Ginnie Mae I Pool 4.5% 3/20/2048  | 35825 | 36013 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 17465 | 17681 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 3170 | 3209 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 36948 | 37405 |
| Ginnie Mae I Pool 4.5% 4/20/2048  | 117478 | 118057 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 7478416 | 7440509 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 7367 | 7457 |
| Ginnie Mae I Pool 4.5% 5/15/2046  | 10567 | 10645 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 55239 | 55921 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 49975 | 50593 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 41440 | 41952 |
| Ginnie Mae I Pool 4.5% 6/20/2049  | 98211 | 98512 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 100751 | 101996 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 31312 | 31699 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 29275 | 29637 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 24807 | 25114 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8486 | 8591 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2877 | 2912 |
| Ginnie Mae I Pool 4.5% 7/20/2048  | 175028 | 175892 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 148102 | 148555 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 119166 | 119531 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 73607 | 73832 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 71908 | 72127 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 67153 | 67358 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 44143 | 44278 |
| Ginnie Mae I Pool 4.5% 7/20/2049  | 19126 | 19184 |
| Ginnie Mae I Pool 4.5% 7/20/2052  | 2713876 | 2706904 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 56094 | 56788 |
| Ginnie Mae I Pool 4.5% 8/20/2049  | 220041 | 220714 |
| Ginnie Mae I Pool 4.5% 8/20/2052  | 15898459 | 15857618 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 36598 | 37051 |
| Ginnie Mae I Pool 4.5% 9/20/2052  | 769558 | 767581 |
| Ginnie Mae I Pool 5% 1/20/2035  | 731096 | 748056 |
| Ginnie Mae I Pool 5% 10/15/2039  | 26002 | 26932 |
| Ginnie Mae I Pool 5% 10/20/2038  | 9445 | 9704 |
| Ginnie Mae I Pool 5% 11/20/2052  | 4662298 | 4716657 |
| Ginnie Mae I Pool 5% 12/15/2039  | 33206 | 34401 |
| Ginnie Mae I Pool 5% 12/20/2048  | 67176 | 68463 |
| Ginnie Mae I Pool 5% 2/20/2049  | 61259 | 62433 |
| Ginnie Mae I Pool 5% 4/15/2040  | 230824 | 239112 |
| Ginnie Mae I Pool 5% 4/15/2041  | 17879 | 18510 |
| Ginnie Mae I Pool 5% 4/15/2041  | 9675 | 10020 |
| Ginnie Mae I Pool 5% 4/15/2041  | 6203 | 6421 |
| Ginnie Mae I Pool 5% 4/15/2049  | 63878 | 65282 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2226245 | 2295525 |
| Ginnie Mae I Pool 5% 4/20/2048  | 37293 | 38077 |
| Ginnie Mae I Pool 5% 5/15/2040  | 30555 | 31631 |
| Ginnie Mae I Pool 5% 6/15/2040  | 17868 | 18511 |
| Ginnie Mae I Pool 5% 6/20/2048  | 78992 | 80653 |
| Ginnie Mae I Pool 5% 6/20/2049  | 102460 | 104424 |
| Ginnie Mae I Pool 5% 6/20/2063  | 530881 | 534416 |
| Ginnie Mae I Pool 5% 7/15/2039  | 19251 | 19919 |
| Ginnie Mae I Pool 5% 7/15/2040  | 18145 | 18804 |
| Ginnie Mae I Pool 5% 7/20/2049  | 25439 | 25927 |
| Ginnie Mae I Pool 5% 8/15/2039  | 24822 | 25699 |
| Ginnie Mae I Pool 5% 8/15/2040  | 50572 | 52396 |
| Ginnie Mae I Pool 5% 8/15/2040  | 47387 | 49111 |
| Ginnie Mae I Pool 5% 8/20/2048  | 55710 | 56882 |
| Ginnie Mae I Pool 5% 8/20/2052  | 2596956 | 2628858 |
| Ginnie Mae I Pool 5% 9/15/2039  | 21951 | 22730 |
| Ginnie Mae I Pool 5% 9/15/2040  | 28825 | 29863 |
| Ginnie Mae I Pool 5% 9/15/2040  | 18682 | 19333 |
| Ginnie Mae I Pool 5% 9/15/2041  | 28689 | 29707 |
| Ginnie Mae I Pool 5% 9/20/2052  | 3098253 | 3134377 |
| Ginnie Mae I Pool 5.5% 1/15/2037  | 514 | 526 |
| Ginnie Mae I Pool 5.5% 11/20/2052  | 1025120 | 1046857 |
| Ginnie Mae I Pool 5.5% 5/20/2053  | 4844620 | 4943942 |
| Ginnie Mae I Pool 5.5% 6/15/2036  | 3831 | 4004 |
| Ginnie Mae I Pool 5.5% 6/20/2063  | 362573 | 369072 |
| Ginnie Mae I Pool 5.5% 7/20/2053  | 2624977 | 2730513 |
| Ginnie Mae I Pool 5.5% 7/20/2053  | 1991098 | 2071150 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 24631 | 25800 |
| Ginnie Mae I Pool 5.5% 9/20/2052  | 1310525 | 1339133 |
| Ginnie Mae I Pool 5.5% 9/20/2054  | 13980312 | 14203581 |
| Ginnie Mae I Pool 6% 10/20/2033  | 2455 | 2555 |
| Ginnie Mae I Pool 6% 11/20/2032  | 3462 | 3585 |
| Ginnie Mae I Pool 6% 12/20/2052  | 5391038 | 5543014 |
| Ginnie Mae I Pool 6% 3/20/2035  | 2631 | 2749 |
| Ginnie Mae I Pool 6% 4/20/2036  | 225 | 226 |
| Ginnie Mae I Pool 6% 6/20/2053  | 791461 | 833930 |
| Ginnie Mae I Pool 6% 6/20/2053  | 676563 | 694578 |
| Ginnie Mae I Pool 6% 6/20/2063  | 605537 | 620242 |
| Ginnie Mae I Pool 6% 7/20/2053  | 1100987 | 1143206 |
| Ginnie Mae I Pool 6% 8/15/2036  | 31894 | 33508 |
| Ginnie Mae I Pool 6% 9/20/2054  | 778648 | 796827 |
| Ginnie Mae I Pool 7% 6/20/2032  | 2486 | 2569 |
| Ginnie Mae I Pool 7% 8/20/2055  | 2236708 | 2283199 |
| Ginnie Mae I Pool 7% 8/20/2055  | 1385917 | 1412991 |
| Ginnie Mae II Pool 2% 1/20/2051  | 23408409 | 19843453 |
| Ginnie Mae II Pool 2% 10/20/2050  | 24231170 | 20536369 |
| Ginnie Mae II Pool 2% 10/20/2051  | 357646 | 303067 |
| Ginnie Mae II Pool 2% 11/20/2050  | 7127283 | 6041842 |
| Ginnie Mae II Pool 2% 12/20/2050  | 27080691 | 22950122 |
| Ginnie Mae II Pool 2% 12/20/2051  | 7528032 | 6379207 |
| Ginnie Mae II Pool 2% 2/20/2051  | 1262726 | 1070076 |
| Ginnie Mae II Pool 2% 2/20/2052  | 12690038 | 10753458 |
| Ginnie Mae II Pool 2% 3/1/2056 (c) | 75971000 | 64349709 |
| Ginnie Mae II Pool 2% 3/20/2051  | 3429719 | 2907394 |
| Ginnie Mae II Pool 2% 4/1/2056 (c) | 29475000 | 24969661 |
| Ginnie Mae II Pool 2% 4/20/2051  | 541916 | 459216 |
| Ginnie Mae II Pool 2% 4/20/2052  | 5246190 | 4447228 |
| Ginnie Mae II Pool 2% 5/20/2051  | 1645042 | 1393998 |
| Ginnie Mae II Pool 2% 7/20/2051  | 2436807 | 2064935 |
| Ginnie Mae II Pool 2% 8/20/2051  | 39271 | 33278 |
| Ginnie Mae II Pool 2% 9/20/2050  | 5854975 | 4974277 |
| Ginnie Mae II Pool 2% 9/20/2051  | 4388490 | 3718778 |
| Ginnie Mae II Pool 2.5% 1/20/2051  | 13719882 | 12132209 |
| Ginnie Mae II Pool 2.5% 11/20/2049  | 236920 | 210170 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 2205528 | 1946857 |
| Ginnie Mae II Pool 2.5% 12/20/2046  | 347571 | 310878 |
| Ginnie Mae II Pool 2.5% 12/20/2050  | 747679 | 660573 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 9275183 | 8187361 |
| Ginnie Mae II Pool 2.5% 3/1/2056 (c) | 81943000 | 72293409 |
| Ginnie Mae II Pool 2.5% 3/20/2051  | 11022249 | 9729526 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 17290846 | 15264272 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (c) | 18100000 | 15967134 |
| Ginnie Mae II Pool 2.5% 4/20/2051  | 1144677 | 1010426 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 21889034 | 19323530 |
| Ginnie Mae II Pool 2.5% 5/20/2051  | 867047 | 765357 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 2609621 | 2303557 |
| Ginnie Mae II Pool 2.5% 6/20/2052  | 2225659 | 1965496 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 57642 | 50927 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 4897672 | 4323258 |
| Ginnie Mae II Pool 2.5% 7/20/2054  | 668877 | 590952 |
| Ginnie Mae II Pool 2.5% 8/20/2046  | 99481 | 89167 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 9702270 | 8564358 |
| Ginnie Mae II Pool 3% 1/20/2043  | 2849156 | 2676245 |
| Ginnie Mae II Pool 3% 1/20/2044  | 724565 | 679152 |
| Ginnie Mae II Pool 3% 1/20/2055  | 8948016 | 8226416 |
| Ginnie Mae II Pool 3% 10/20/2046  | 2294313 | 2132772 |
| Ginnie Mae II Pool 3% 10/20/2051  | 127601 | 117061 |
| Ginnie Mae II Pool 3% 12/20/2042  | 981637 | 922038 |
| Ginnie Mae II Pool 3% 12/20/2046  | 1442654 | 1339274 |
| Ginnie Mae II Pool 3% 12/20/2049  | 838381 | 771491 |
| Ginnie Mae II Pool 3% 12/20/2051  | 176214 | 161660 |
| Ginnie Mae II Pool 3% 2/20/2043  | 345008 | 323978 |
| Ginnie Mae II Pool 3% 2/20/2047  | 417049 | 387163 |
| Ginnie Mae II Pool 3% 2/20/2052  | 1470531 | 1349070 |
| Ginnie Mae II Pool 3% 3/1/2056 (c) | 7987000 | 7323502 |
| Ginnie Mae II Pool 3% 3/20/2045  | 120975 | 112657 |
| Ginnie Mae II Pool 3% 3/20/2050  | 1391491 | 1280037 |
| Ginnie Mae II Pool 3% 4/20/2043  | 189865 | 178182 |
| Ginnie Mae II Pool 3% 4/20/2045  | 61633 | 57379 |
| Ginnie Mae II Pool 3% 4/20/2046  | 329807 | 306585 |
| Ginnie Mae II Pool 3% 4/20/2052  | 12525095 | 11492521 |
| Ginnie Mae II Pool 3% 5/20/2045  | 68654 | 63898 |
| Ginnie Mae II Pool 3% 5/20/2046  | 483974 | 449898 |
| Ginnie Mae II Pool 3% 5/20/2051  | 1892113 | 1736540 |
| Ginnie Mae II Pool 3% 5/20/2052  | 23994716 | 22016582 |
| Ginnie Mae II Pool 3% 6/20/2045  | 65985 | 61382 |
| Ginnie Mae II Pool 3% 6/20/2050  | 17949 | 16494 |
| Ginnie Mae II Pool 3% 6/20/2051  | 2556620 | 2346650 |
| Ginnie Mae II Pool 3% 7/20/2045  | 70776 | 65821 |
| Ginnie Mae II Pool 3% 7/20/2046  | 625062 | 581052 |
| Ginnie Mae II Pool 3% 7/20/2049  | 548461 | 506588 |
| Ginnie Mae II Pool 3% 7/20/2051  | 5940338 | 5455255 |
| Ginnie Mae II Pool 3% 8/20/2042  | 109664 | 103099 |
| Ginnie Mae II Pool 3% 8/20/2045  | 243484 | 226424 |
| Ginnie Mae II Pool 3% 8/20/2051  | 755198 | 692822 |
| Ginnie Mae II Pool 3% 9/20/2042  | 289281 | 271925 |
| Ginnie Mae II Pool 3% 9/20/2045  | 233979 | 217521 |
| Ginnie Mae II Pool 3% 9/20/2046  | 761719 | 708087 |
| Ginnie Mae II Pool 3% 9/20/2049  | 509258 | 469582 |
| Ginnie Mae II Pool 3% 9/20/2051  | 1135105 | 1041349 |
| Ginnie Mae II Pool 3.5% 1/20/2048  | 168169 | 161183 |
| Ginnie Mae II Pool 3.5% 1/20/2052  | 16700594 | 15824172 |
| Ginnie Mae II Pool 3.5% 10/20/2040  | 100747 | 97257 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 318802 | 307241 |
| Ginnie Mae II Pool 3.5% 10/20/2042  | 62888 | 60484 |
| Ginnie Mae II Pool 3.5% 10/20/2044  | 889595 | 851058 |
| Ginnie Mae II Pool 3.5% 10/20/2045  | 75764 | 72309 |
| Ginnie Mae II Pool 3.5% 10/20/2049  | 1104368 | 1054695 |
| Ginnie Mae II Pool 3.5% 10/20/2051  | 3932191 | 3736895 |
| Ginnie Mae II Pool 3.5% 11/20/2042  | 165666 | 159302 |
| Ginnie Mae II Pool 3.5% 11/20/2046  | 89099 | 85620 |
| Ginnie Mae II Pool 3.5% 11/20/2047  | 239389 | 229445 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 1159750 | 1117833 |
| Ginnie Mae II Pool 3.5% 12/20/2042  | 1903698 | 1830549 |
| Ginnie Mae II Pool 3.5% 12/20/2046  | 823739 | 791579 |
| Ginnie Mae II Pool 3.5% 12/20/2047  | 849822 | 814520 |
| Ginnie Mae II Pool 3.5% 12/20/2051  | 12356146 | 11742466 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 186642 | 179398 |
| Ginnie Mae II Pool 3.5% 2/20/2052  | 30862 | 29242 |
| Ginnie Mae II Pool 3.5% 3/1/2056 (c) | 25934000 | 24331362 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 150650 | 144776 |
| Ginnie Mae II Pool 3.5% 3/20/2046  | 853986 | 814602 |
| Ginnie Mae II Pool 3.5% 3/20/2052  | 10368107 | 9831294 |
| Ginnie Mae II Pool 3.5% 4/1/2056 (c) | 25300000 | 23657478 |
| Ginnie Mae II Pool 3.5% 4/20/2045  | 1004525 | 959949 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 471365 | 452962 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 50243 | 48187 |
| Ginnie Mae II Pool 3.5% 4/20/2052  | 1978664 | 1875599 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 230288 | 220259 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 73297 | 70229 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 18309 | 17543 |
| Ginnie Mae II Pool 3.5% 6/20/2042  | 111202 | 107035 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 107897 | 103629 |
| Ginnie Mae II Pool 3.5% 6/20/2052  | 1089724 | 1032962 |
| Ginnie Mae II Pool 3.5% 7/20/2046  | 1363753 | 1310511 |
| Ginnie Mae II Pool 3.5% 7/20/2047  | 2325142 | 2231460 |
| Ginnie Mae II Pool 3.5% 7/20/2050  | 26329 | 25129 |
| Ginnie Mae II Pool 3.5% 8/20/2042  | 172969 | 166425 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 240205 | 231869 |
| Ginnie Mae II Pool 3.5% 9/20/2046  | 93614 | 89959 |
| Ginnie Mae II Pool 4% 1/20/2041  | 2050962 | 2024879 |
| Ginnie Mae II Pool 4% 1/20/2046  | 117250 | 114909 |
| Ginnie Mae II Pool 4% 1/20/2047  | 125722 | 123685 |
| Ginnie Mae II Pool 4% 10/20/2040  | 774319 | 764585 |
| Ginnie Mae II Pool 4% 10/20/2041  | 1261602 | 1244554 |
| Ginnie Mae II Pool 4% 10/20/2042  | 217820 | 214604 |
| Ginnie Mae II Pool 4% 10/20/2043  | 186150 | 183082 |
| Ginnie Mae II Pool 4% 10/20/2044  | 1640237 | 1610690 |
| Ginnie Mae II Pool 4% 10/20/2045  | 6800 | 6666 |
| Ginnie Mae II Pool 4% 10/20/2046  | 129286 | 127272 |
| Ginnie Mae II Pool 4% 10/20/2047  | 57567 | 56491 |
| Ginnie Mae II Pool 4% 11/20/2040  | 797348 | 787266 |
| Ginnie Mae II Pool 4% 11/20/2041  | 130999 | 129202 |
| Ginnie Mae II Pool 4% 11/20/2042  | 13324 | 13126 |
| Ginnie Mae II Pool 4% 11/20/2044  | 739681 | 726195 |
| Ginnie Mae II Pool 4% 11/20/2046  | 300879 | 296193 |
| Ginnie Mae II Pool 4% 11/20/2047  | 95666 | 93877 |
| Ginnie Mae II Pool 4% 12/20/2040  | 10177 | 10049 |
| Ginnie Mae II Pool 4% 12/20/2041  | 409551 | 403887 |
| Ginnie Mae II Pool 4% 12/20/2042  | 778272 | 766686 |
| Ginnie Mae II Pool 4% 12/20/2044  | 61434 | 60314 |
| Ginnie Mae II Pool 4% 12/20/2045  | 452990 | 444041 |
| Ginnie Mae II Pool 4% 2/20/2041  | 9944 | 9816 |
| Ginnie Mae II Pool 4% 2/20/2042  | 72844 | 71828 |
| Ginnie Mae II Pool 4% 2/20/2043  | 95216 | 93819 |
| Ginnie Mae II Pool 4% 2/20/2047  | 209673 | 206080 |
| Ginnie Mae II Pool 4% 2/20/2049  | 2658155 | 2600974 |
| Ginnie Mae II Pool 4% 3/1/2056 (c) | 28694000 | 27598919 |
| Ginnie Mae II Pool 4% 3/20/2041  | 361518 | 356881 |
| Ginnie Mae II Pool 4% 3/20/2047  | 393830 | 387081 |
| Ginnie Mae II Pool 4% 3/20/2049  | 5344260 | 5224287 |
| Ginnie Mae II Pool 4% 3/20/2052  | 599689 | 583603 |
| Ginnie Mae II Pool 4% 4/20/2043  | 95292 | 93916 |
| Ginnie Mae II Pool 4% 4/20/2049  | 1463780 | 1430919 |
| Ginnie Mae II Pool 4% 4/20/2052  | 4527914 | 4403627 |
| Ginnie Mae II Pool 4% 5/20/2040  | 62756 | 62017 |
| Ginnie Mae II Pool 4% 5/20/2046  | 69670 | 68263 |
| Ginnie Mae II Pool 4% 5/20/2049  | 1431991 | 1399844 |
| Ginnie Mae II Pool 4% 6/20/2045  | 3561998 | 3494685 |
| Ginnie Mae II Pool 4% 6/20/2046  | 190780 | 186886 |
| Ginnie Mae II Pool 4% 6/20/2047  | 408100 | 401107 |
| Ginnie Mae II Pool 4% 6/20/2052  | 5883042 | 5710528 |
| Ginnie Mae II Pool 4% 7/20/2044  | 341661 | 335618 |
| Ginnie Mae II Pool 4% 7/20/2045  | 270036 | 264818 |
| Ginnie Mae II Pool 4% 7/20/2047  | 1003488 | 984723 |
| Ginnie Mae II Pool 4% 8/20/2043  | 51568 | 50742 |
| Ginnie Mae II Pool 4% 8/20/2044  | 592887 | 582336 |
| Ginnie Mae II Pool 4% 8/20/2045  | 1115108 | 1093327 |
| Ginnie Mae II Pool 4% 8/20/2048  | 3031379 | 2969959 |
| Ginnie Mae II Pool 4% 9/20/2040  | 53040 | 52372 |
| Ginnie Mae II Pool 4% 9/20/2045  | 5648 | 5537 |
| Ginnie Mae II Pool 4% 9/20/2047  | 2223662 | 2182081 |
| Ginnie Mae II Pool 4% 9/20/2048  | 355369 | 348168 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 159278 | 161030 |
| Ginnie Mae II Pool 4.5% 1/20/2047  | 111337 | 112686 |
| Ginnie Mae II Pool 4.5% 1/20/2048  | 183718 | 185715 |
| Ginnie Mae II Pool 4.5% 1/20/2049  | 884547 | 891673 |
| Ginnie Mae II Pool 4.5% 10/20/2041  | 931509 | 942462 |
| Ginnie Mae II Pool 4.5% 10/20/2043  | 593515 | 600431 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 550191 | 556226 |
| Ginnie Mae II Pool 4.5% 11/20/2046  | 295522 | 298928 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 14885246 | 14737695 |
| Ginnie Mae II Pool 4.5% 11/20/2055  | 5745115 | 5680086 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 89241 | 90287 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 407877 | 412674 |
| Ginnie Mae II Pool 4.5% 2/20/2048  | 354208 | 358168 |
| Ginnie Mae II Pool 4.5% 3/1/2056 (c) | 81296000 | 80311920 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 1513561 | 1531361 |
| Ginnie Mae II Pool 4.5% 3/20/2047  | 97974 | 99162 |
| Ginnie Mae II Pool 4.5% 3/20/2048  | 30090 | 30418 |
| Ginnie Mae II Pool 4.5% 3/20/2049  | 65718 | 66247 |
| Ginnie Mae II Pool 4.5% 4/1/2056 (c) | 48770000 | 48120588 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 328910 | 332778 |
| Ginnie Mae II Pool 4.5% 4/20/2048  | 574796 | 580684 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 17103 | 17304 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 1018236 | 1030212 |
| Ginnie Mae II Pool 4.5% 5/20/2044  | 180030 | 182128 |
| Ginnie Mae II Pool 4.5% 5/20/2045  | 114485 | 115733 |
| Ginnie Mae II Pool 4.5% 5/20/2052  | 8695760 | 8673422 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 669954 | 677834 |
| Ginnie Mae II Pool 4.5% 6/20/2045  | 51846 | 52444 |
| Ginnie Mae II Pool 4.5% 7/20/2046  | 233675 | 236206 |
| Ginnie Mae II Pool 4.5% 8/20/2041  | 71109 | 71945 |
| Ginnie Mae II Pool 4.5% 8/20/2047  | 179519 | 181526 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 248742 | 251666 |
| Ginnie Mae II Pool 4.5% 9/20/2044  | 523629 | 529674 |
| Ginnie Mae II Pool 5% 1/20/2035  | 205003 | 209819 |
| Ginnie Mae II Pool 5% 1/20/2055  | 9825423 | 9872431 |
| Ginnie Mae II Pool 5% 10/20/2037  | 6362 | 6538 |
| Ginnie Mae II Pool 5% 10/20/2040  | 167031 | 171947 |
| Ginnie Mae II Pool 5% 11/20/2054  | 23792831 | 23906666 |
| Ginnie Mae II Pool 5% 12/20/2035  | 24251 | 24852 |
| Ginnie Mae II Pool 5% 12/20/2036  | 23876 | 24511 |
| Ginnie Mae II Pool 5% 2/20/2036  | 19517 | 20013 |
| Ginnie Mae II Pool 5% 3/1/2056 (c) | 98860000 | 99207552 |
| Ginnie Mae II Pool 5% 3/20/2036  | 13492 | 13830 |
| Ginnie Mae II Pool 5% 3/20/2042  | 132727 | 136609 |
| Ginnie Mae II Pool 5% 4/1/2056 (c) | 72055000 | 72209803 |
| Ginnie Mae II Pool 5% 5/20/2035  | 29459 | 30163 |
| Ginnie Mae II Pool 5% 6/20/2034  | 14725 | 15057 |
| Ginnie Mae II Pool 5% 6/20/2038  | 49240 | 50609 |
| Ginnie Mae II Pool 5% 6/20/2048  | 1838518 | 1884084 |
| Ginnie Mae II Pool 5% 6/20/2055  | 44176 | 44374 |
| Ginnie Mae II Pool 5% 8/20/2035  | 19212 | 19683 |
| Ginnie Mae II Pool 5% 8/20/2045  | 371438 | 382967 |
| Ginnie Mae II Pool 5% 9/20/2046  | 155454 | 160033 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 2147301 | 2179581 |
| Ginnie Mae II Pool 5.5% 2/20/2054  | 8173157 | 8327310 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (c) | 251135000 | 254368589 |
| Ginnie Mae II Pool 5.5% 3/20/2041  | 38882 | 40621 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (c) | 172825000 | 174867999 |
| Ginnie Mae II Pool 5.5% 4/20/2055  | 1726716 | 1750380 |
| Ginnie Mae II Pool 5.5% 5/20/2055  | 3462386 | 3509567 |
| Ginnie Mae II Pool 5.5% 8/20/2053  | 60040 | 61215 |
| Ginnie Mae II Pool 5.5% 8/20/2054  | 4968544 | 5055657 |
| Ginnie Mae II Pool 6% 12/20/2054  | 6294542 | 6438057 |
| Ginnie Mae II Pool 6% 3/1/2056 (c) | 199249000 | 203290846 |
| Ginnie Mae II Pool 6% 4/1/2056 (c) | 101475000 | 103462114 |
| Ginnie Mae II Pool 6% 5/20/2055  | 4297821 | 4383724 |
| Ginnie Mae II Pool 6% 6/20/2054  | 366202 | 374952 |
| Ginnie Mae II Pool 6% 7/20/2054  | 3028221 | 3099630 |
| Ginnie Mae II Pool 6% 8/20/2053  | 24364 | 25013 |
| Ginnie Mae II Pool 6% 8/20/2054  | 4566989 | 4673971 |
| Ginnie Mae II Pool 6% 9/20/2038  | 1007 | 1064 |
| Ginnie Mae II Pool 6.5% 10/20/2039  | 2321 | 2478 |
| Ginnie Mae II Pool 6.5% 10/20/2039  | 1014 | 1078 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (c) | 32447000 | 33720431 |
| Ginnie Mae II Pool 6.5% 4/1/2056 (c) | 5594000 | 5806552 |
| Ginnie Mae II Pool 7% 1/20/2039  | 2541 | 2632 |
| Ginnie Mae II Pool 7% 10/20/2038  | 2942 | 3122 |
| Ginnie Mae II Pool 7% 6/20/2055  | 3080753 | 3131309 |
| Ginnie Mae II Pool 7% 8/20/2038  | 215 | 218 |
| Ginnie Mae II Pool 7.5% 5/20/2032  | 1026 | 1073 |
| Ginnie Mae II Pool 8% 9/20/2031  | 2749 | 2850 |
| Uniform Mortgage Backed Securities 1.5% 3/1/2041 (c) | 2835000 | 2585136 |
| Uniform Mortgage Backed Securities 2% 3/1/2041 (c) | 7433000 | 6924304 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (c) | 154084000 | 127606837 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (c) | 66950000 | 55450815 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2041 (c) | 2300000 | 2192188 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (c) | 24695000 | 21385292 |
| Uniform Mortgage Backed Securities 3% 3/1/2041 (c) | 1081000 | 1046501 |
| Uniform Mortgage Backed Securities 3% 3/1/2056 (c) | 45361000 | 41018038 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2041 (c) | 473000 | 462542 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (c) | 261872446 | 246794328 |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 (c) | 81996000 | 77242798 |
| Uniform Mortgage Backed Securities 4% 3/1/2041 (c) | 596000 | 590738 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (c) | 500204000 | 486194387 |
| Uniform Mortgage Backed Securities 4% 4/1/2056 (c) | 217000000 | 210311995 |
| Uniform Mortgage Backed Securities 4% 5/1/2056 (c) | 64750000 | 62663334 |
| Uniform Mortgage Backed Securities 4.5% 3/1/2041 (c) | 3444000 | 3457588 |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 (c) | 760489000 | 751992893 |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 (c) | 297700000 | 294141532 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (c) | 111825000 | 113524214 |
| Uniform Mortgage Backed Securities 5% 3/1/2056 (c) | 449338436 | 451374478 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (c) | 69700000 | 70718268 |
| Uniform Mortgage Backed Securities 5% 4/1/2056 (c) | 336779436 | 337963451 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (c) | 863555422 | 877453310 |
| Uniform Mortgage Backed Securities 5.5% 4/1/2056 (c) | 610600000 | 619949813 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (c) | 206838491 | 212162969 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (c) | 67549000 | 69279950 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (c) | 42446000 | 44079179 |
| TOTAL UNITED STATES |  | 10733745406 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $10,689,434,021) |  | <br> **10733745406** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Financial Services - 0.0% |  |  |
| Fannie Mae 0.875% 8/5/2030  | 125000 | 111898 |
| Fannie Mae 6.625% 11/15/2030  | 1290000 | 1462290 |
| Federal Farm Credit Banks Funding Corp 1.48% 11/26/2032  | 965000 | 827909 |
| Federal Farm Credit Banks Funding Corp 1.77% 2/4/2031  | 815000 | 742066 |
| Federal Farm Credit Banks Funding Corp 2.35% 3/10/2036  | 1825000 | 1534512 |
| Federal Farm Credit Banks Funding Corp 2.46% 2/5/2035  | 765000 | 666956 |
| Federal Home Loan Bank 1.25% 7/23/2030  | 3890000 | 3520164 |
| Federal Home Loan Bank 1.5% 9/30/2033  | 2000000 | 1662681 |
| Federal Home Loan Bank 1.75% 6/20/2031  | 810000 | 735799 |
| Federal Home Loan Bank 2.09% 2/22/2036  | 1760000 | 1463933 |
| Freddie Mac 1.22% 8/19/2030  | 1530000 | 1380471 |
| Freddie Mac Non Gold Pool 6.25% 7/15/2032  | 400000 | 456866 |
| Freddie Mac Non Gold Pool 6.75% 3/15/2031  | 2560000 | 2936189 |
| TOTAL FINANCIALS |  | 17501734 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Tennessee Valley Authority 0% 7/15/2033 (r) | 305000 | 224346 |
| Tennessee Valley Authority 0% 7/15/2034 (r) | 185000 | 128732 |
| Tennessee Valley Authority 1.5% 9/15/2031  | 565000 | 504279 |
| Tennessee Valley Authority 2.875% 2/1/2027  | 1060000 | 1053320 |
| Tennessee Valley Authority 5.25% 2/1/2055  | 1255000 | 1288159 |
| Tennessee Valley Authority 7.125% 5/1/2030  | 390000 | 443506 |
| TOTAL UTILITIES |  | 3642342 |
| TOTAL UNITED STATES |  | 21144076 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $20,605,669) |  | <br> **21144076** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** | &nbsp;&nbsp;**Certificates of Deposit - 0.0%** |
|  | Yield (%) (y) | Principal<br> Amount (a)<br>| Value ($)<br>|
| AREIT Trust Series CRE9 Class A, CME Term SOFR 1 month Index + 1.6865%, 5.3461% 5/17/2041 (f)(g)(o)<br>(Cost $159,566)<br>| 5.36 | 159940 | **160578** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Paper - 1.1%** | &nbsp;&nbsp;**Commercial Paper - 1.1%** | &nbsp;&nbsp;**Commercial Paper - 1.1%** | &nbsp;&nbsp;**Commercial Paper - 1.1%** |
|  | Yield (%) (y) | Principal<br> Amount (a)<br>| Value ($)<br>|
| AES Corp/The 0% 3/23/2026  | 4.11 | 9300000 | 9274423 |
| AES Corp/The 0% 3/27/2026  | 4.11 to 4.12 | 18500000 | 18440597 |
| AES Corp/The 0% 3/4/2026  | 4.11 | 14200000 | 14192173 |
| Air Lease Corp 0% 3/4/2026  | 4.11 | 8200000 | 8195427 |
| Air Lease Corp 0% 3/6/2026  | 4.11 to 4.14 | 22000000 | 21982761 |
| Alimentation Couche-Tard Inc yankee 0% 3/10/2026  | 3.86 | 900000 | 898931 |
| Alimentation Couche-Tard Inc yankee 0% 3/9/2026  | 3.86 | 3900000 | 3895791 |
| AMETEK Inc 0% 3/19/2026  | 3.88 | 13400000 | 13371469 |
| AMETEK Inc 0% 3/26/2026  | 3.88 | 5600000 | 5583907 |
| AMETEK Inc 0% 3/9/2026  | 3.88 | 14500000 | 14484633 |
| AutoNation Inc 0% 3/5/2026  | 4.16 | 6200000 | 6195821 |
| Bacardi-Martini BV yankee 0% 3/24/2026  | 4.12 | 800000 | 797707 |
| Bacardi-Martini BV yankee 0% 3/25/2026  | 4.11 | 1900000 | 1894337 |
| Becton Dickinson & Co 0% 3/13/2026  | 3.67 | 5400000 | 5392583 |
| Becton Dickinson & Co 0% 3/23/2026  | 3.86 | 2000000 | 1994889 |
| Black Hills Corp 0% 3/30/2026  | 3.88 | 1700000 | 1694393 |
| Canadian Natural Resources Ltd yankee 0% 3/19/2026  | 3.86 to 3.89 | 3900000 | 3891592 |
| CBRE Services Inc 0% 3/19/2026  | 3.87 | 10200000 | 10178291 |
| Cencora Inc 0% 3/12/2026  | 3.86 | 5700000 | 5692136 |
| Cencora Inc 0% 3/19/2026  | 3.87 | 4500000 | 4490419 |
| Constellation Energy Generation LLC 0% 4/1/2026 (o) | 3.88 | 2400000 | 2390357 |
| Edison International 0% 3/10/2026  | 4.21 | 3400000 | 3395723 |
| Edison International 0% 3/16/2026  | 4.22 | 300000 | 299415 |
| Edison International 0% 3/3/2026  | 4.17 | 3000000 | 2998631 |
| Equifax Inc 0% 3/18/2026  | 3.87 | 2800000 | 2794345 |
| ERAC USA Finance LLC 0% 3/17/2026  | 3.91 | 3200000 | 3193755 |
| ERAC USA Finance LLC 0% 3/25/2026  | 3.90 to 3.91 | 10800000 | 10769364 |
| Genuine Parts Co 0% 3/19/2026  | 4.18 | 1500000 | 1496578 |
| Glencore Funding LLC 0% 3/26/2026  | 3.88 | 14900000 | 14856228 |
| Harley-Davidson Financial Services Inc 0% 4/16/2026  | 4.21 | 1000000 | 994661 |
| HCA Inc 0% 3/20/2026  | 4.12 | 8300000 | 8279999 |
| HCA Inc 0% 3/25/2026  | 4.12 | 21400000 | 21335990 |
| HCA Inc 0% 3/26/2026  | 4.11 | 2000000 | 1993785 |
| HCA Inc 0% 3/3/2026  | 6.24 | 2600000 | 2592829 |
| HCA Inc 0% 3/31/2026  | 4.13 | 3300000 | 3287809 |
| HCA Inc 0% 5/11/2026  | 4.24 | 10800000 | 10708363 |
| HCA Inc 0% 5/13/2026  | 4.30 | 14500000 | 14373579 |
| Humana Inc 0% 3/12/2026  | 3.86 | 6700000 | 6690798 |
| Humana Inc 0% 3/13/2026  | 3.87 | 2400000 | 2396446 |
| Humana Inc 0% 3/16/2026  | 3.87 to 3.91 | 8400000 | 8384851 |
| Humana Inc 0% 3/2/2026  | 3.87 | 7900000 | 7897519 |
| Humana Inc 0% 3/27/2026  | 3.89 | 6500000 | 6480632 |
| Humana Inc 0% 3/30/2026  | 3.90 | 6700000 | 6679729 |
| Humana Inc 0% 3/9/2026  | 3.87 | 1500000 | 1498420 |
| Imperial Brands Finance PLC yankee 0% 3/12/2026  | 3.87 to 3.90 | 16400000 | 16377139 |
| Imperial Brands Finance PLC yankee 0% 3/26/2026  | 3.90 | 3500000 | 3489837 |
| Imperial Brands Finance PLC yankee 0% 3/4/2026  | 3.87 | 8800000 | 8795309 |
| Intuit Inc 0% 3/3/2026  | 3.88 | 14600000 | 14593848 |
| JTI Financial Services North America LLC 0% 3/20/2026  | 3.86 | 10400000 | 10377648 |
| JTI Financial Services North America LLC 0% 3/23/2026  | 3.86 | 6900000 | 6883058 |
| JTI Financial Services North America LLC 0% 3/4/2026  | 3.87 | 13400000 | 13393101 |
| Keurig Dr Pepper Inc 0% 3/11/2026  | 3.86 | 6100000 | 6092337 |
| Keurig Dr Pepper Inc 0% 3/18/2026  | 3.88 | 14600000 | 14570610 |
| Keurig Dr Pepper Inc 0% 3/19/2026  | 3.87 | 5900000 | 5887465 |
| Keurig Dr Pepper Inc 0% 3/24/2026  | 3.88 | 2437000 | 2430513 |
| Keurig Dr Pepper Inc 0% 3/25/2026  | 3.88 | 10200000 | 10171772 |
| Keurig Dr Pepper Inc 0% 3/5/2026  | 3.87 | 8500000 | 8494682 |
| ONEOK Inc 0% 3/25/2026  | 3.88 | 2200000 | 2193816 |
| ONEOK Inc 0% 3/26/2026  | 3.89 | 1800000 | 1794746 |
| Phillips 66 0% 3/20/2026  | 3.87 | 7700000 | 7682643 |
| Rogers Communications Inc/Ontario yankee 0% 3/13/2026  | 3.92 to 3.95 | 5800000 | 5791897 |
| Rogers Communications Inc/Ontario yankee 0% 3/19/2026  | 3.94 | 300000 | 299350 |
| S&P Global Inc 0% 3/16/2026  | 3.86 | 11500000 | 11479260 |
| Sempra 0% 3/16/2026  | 3.86 | 6000000 | 5989151 |
| Southern California Edison Co 0% 3/2/2026  | 4.26 | 12800000 | 12795761 |
| Southern California Edison Co 0% 3/3/2026  | 4.22 | 6300000 | 6297217 |
| Targa Resources Corp 0% 3/4/2026  | 3.90 | 16900000 | 16890930 |
| Targa Resources Corp 0% 3/5/2026  | 3.88 | 3200000 | 3197937 |
| Targa Resources Corp 0% 5/1/2026  | 3.99 | 6600000 | 6554840 |
| TELUS Corp yankee 0% 5/20/2026  | 4.09 | 2500000 | 2476482 |
| <br> **TOTAL COMMERCIAL PAPER**<br> (Cost $503,441,827) |  |  | **503333435** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 14.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.4%** |
|  | Yield (%) (y) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/10/2026 (d)(i) | 3.64 to 3.82 | 1514000 | 1512780 |
| US Treasury Bills 0% 3/24/2026 (i) | 3.77 to 3.79 | 84000 | 83813 |
| US Treasury Bills 0% 3/31/2026 (i) | 3.66 to 3.71 | 1128000 | 1124702 |
| US Treasury Bills 0% 4/14/2026 (i) | 3.56 | 95000 | 94588 |
| US Treasury Bills 0% 4/21/2026 (i) | 3.58 to 3.65 | 14995000 | 14919608 |
| US Treasury Bills 0% 4/23/2026 (i) | 3.62 | 300000 | 298436 |
| US Treasury Bills 0% 4/28/2026 (i) | 3.55 to 3.59 | 880000 | 874946 |
| US Treasury Bills 0% 4/7/2026 (d)(i) | 3.56 to 3.65 | 44151000 | 43990787 |
| US Treasury Bills 0% 5/19/2026  | 3.61 | 1325000 | 1314743 |
| US Treasury Bills 0% 5/26/2026 (i) | 3.62 | 1665000 | 1650975 |
| US Treasury Bills 0% 5/5/2026 (i) | 3.56 | 300000 | 298091 |
| US Treasury Bills 0% 6/9/2026  | 3.63 to 3.64 | 4028000 | 3988310 |
| US Treasury Bills 0% 8/6/2026  | 3.57 | 120000000 | 118157867 |
| US Treasury Bonds 1.125% 5/15/2040  | 3.95 to 4.62 | 12872200 | 8449393 |
| US Treasury Bonds 1.125% 8/15/2040  | 4.41 to 4.55 | 9163400 | 5955852 |
| US Treasury Bonds 1.25% 5/15/2050  | 4.40 to 4.58 | 5230000 | 2620516 |
| US Treasury Bonds 1.375% 11/15/2040  | 4.42 to 4.68 | 10280200 | 6902592 |
| US Treasury Bonds 1.375% 8/15/2050  | 4.76 to 4.87 | 11453000 | 5895611 |
| US Treasury Bonds 1.625% 11/15/2050  | 4.20 to 5.04 | 141541700 | 77665479 |
| US Treasury Bonds 1.75% 8/15/2041  | 3.94 to 4.85 | 32695400 | 22825476 |
| US Treasury Bonds 1.875% 11/15/2051  | 4.48 to 4.81 | 14632400 | 8446210 |
| US Treasury Bonds 1.875% 2/15/2041  | 4.48 | 638700 | 461086 |
| US Treasury Bonds 1.875% 2/15/2051  | 4.05 to 5.00 | 39961000 | 23320990 |
| US Treasury Bonds 2% 11/15/2041  | 3.81 to 4.70 | 47468000 | 34251129 |
| US Treasury Bonds 2% 2/15/2050  | 3.93 to 4.97 | 66885000 | 40904358 |
| US Treasury Bonds 2% 8/15/2051  | 4.07 to 4.88 | 53868000 | 32211381 |
| US Treasury Bonds 2.25% 2/15/2052  | 2.48 to 4.65 | 75197300 | 47571105 |
| US Treasury Bonds 2.25% 5/15/2041  | 4.01 to 4.66 | 44317300 | 33667299 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.78 to 4.92 | 570000 | 389937 |
| US Treasury Bonds 2.25% 8/15/2049  | 3.77 to 5.11 | 124637000 | 81330511 |
| US Treasury Bonds 2.375% 2/15/2042  | 4.58 to 4.90 | 32681000 | 24842132 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.40 to 4.96 | 122368700 | 80333140 |
| US Treasury Bonds 2.5% 2/15/2045  | 4.04 to 4.73 | 10974500 | 8055112 |
| US Treasury Bonds 2.75% 11/15/2047  | 4.43 to 4.73 | 6944000 | 5133949 |
| US Treasury Bonds 2.75% 8/15/2047  | 4.28 to 4.42 | 8730000 | 6473500 |
| US Treasury Bonds 2.875% 5/15/2049  | 4.17 to 4.99 | 10053000 | 7487522 |
| US Treasury Bonds 2.875% 5/15/2052  | 3.16 to 3.45 | 154200000 | 112047984 |
| US Treasury Bonds 3% 11/15/2044  | 4.51 to 5.06 | 46910000 | 37559151 |
| US Treasury Bonds 3% 2/15/2047  | 4.38 to 4.91 | 9789000 | 7641920 |
| US Treasury Bonds 3% 2/15/2048  | 4.42 to 4.73 | 33151500 | 25595289 |
| US Treasury Bonds 3% 5/15/2042  | 4.54 to 4.67 | 990000 | 822318 |
| US Treasury Bonds 3% 5/15/2045  | 4.91 | 4210000 | 3352870 |
| US Treasury Bonds 3% 5/15/2047  | 4.44 to 4.73 | 4722000 | 3675044 |
| US Treasury Bonds 3% 8/15/2048  | 4.29 to 4.91 | 7662500 | 5885758 |
| US Treasury Bonds 3% 8/15/2052  | 3.84 to 3.94 | 994000 | 740451 |
| US Treasury Bonds 3.125% 11/15/2041  | 3.99 to 4.20 | 4804100 | 4094557 |
| US Treasury Bonds 3.125% 5/15/2048  | 4.17 to 4.73 | 2553000 | 2011086 |
| US Treasury Bonds 3.125% 8/15/2044  | 4.45 to 4.73 | 3222000 | 2639145 |
| US Treasury Bonds 3.25% 5/15/2042  | 4.53 to 4.95 | 140720000 | 120975225 |
| US Treasury Bonds 3.375% 11/15/2048 (e) | 4.19 to 4.88 | 22847000 | 18732755 |
| US Treasury Bonds 3.375% 5/15/2044  | 5.03 | 3476000 | 2966006 |
| US Treasury Bonds 3.375% 8/15/2042  | 4.68 | 610000 | 531509 |
| US Treasury Bonds 3.625% 2/15/2053 (e) | 4.39 to 5.06 | 101636000 | 85318657 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.87 to 4.88 | 64500000 | 54111973 |
| US Treasury Bonds 3.625% 8/15/2043  | 4.01 to 4.87 | 90638200 | 80738809 |
| US Treasury Bonds 3.75% 11/15/2043  | 4.02 to 4.25 | 3648600 | 3297850 |
| US Treasury Bonds 3.75% 8/15/2041  | 4.45 to 4.63 | 19216000 | 17825843 |
| US Treasury Bonds 3.875% 2/15/2043  | 4.34 to 4.66 | 10713000 | 9925427 |
| US Treasury Bonds 4% 11/15/2042  | 3.84 to 4.75 | 13871700 | 13084915 |
| US Treasury Bonds 4% 11/15/2052  | 4.11 to 5.14 | 172445000 | 154931055 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.23 to 4.63 | 19270600 | 18249860 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.36 to 5.01 | 78100600 | 71648148 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.62 to 4.81 | 37800000 | 35409445 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.47 to 4.62 | 101653000 | 95244096 |
| US Treasury Bonds 4.375% 5/15/2041  | 4.61 to 4.64 | 7840000 | 7846431 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.64 to 4.75 | 72155000 | 70974025 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.60 to 4.95 | 55569100 | 54288406 |
| US Treasury Bonds 4.5% 2/15/2044 (d) | 4.94 | 1940000 | 1933862 |
| US Treasury Bonds 4.5% 8/15/2039  | 4.23 to 4.52 | 4348000 | 4461965 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.59 to 4.97 | 24330000 | 24559044 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.64 to 4.82 | 64030000 | 64450197 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.69 to 4.88 | 43605000 | 43530054 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.73 to 4.89 | 32728000 | 32641068 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.66 to 4.78 | 10900000 | 11023902 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.52 to 5.01 | 76741000 | 76495189 |
| US Treasury Bonds 4.75% 11/15/2043  | 4.57 to 4.95 | 13934000 | 14342223 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.40 to 4.81 | 42670000 | 43360054 |
| US Treasury Bonds 4.75% 2/15/2056  | 4.63 to 4.71 | 105241000 | 107247157 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.64 to 5.08 | 27126100 | 27606105 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.81 to 4.94 | 42370000 | 43144577 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.84 to 4.91 | 48027000 | 49955584 |
| US Treasury Bonds 6.25% 5/15/2030 (e)(i) | 4.41 to 4.46 | 2860000 | 3167338 |
| US Treasury Bonds Inflation-Indexed 0.125% 2/15/2051 (d)(e) | 2.06 to 2.35 | 49289328 | 27966632 |
| US Treasury Bonds Inflation-Indexed 0.125% 2/15/2052 (d)(e) | 2.36 to 2.40 | 5587632 | 3100146 |
| US Treasury Bonds Inflation-Indexed 2.125% 2/15/2054 (d)(e) | 1.91 to 2.15 | 91439208 | 85376878 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 8359373 | 8242585 |
| US Treasury Notes 0.375% 9/30/2027  | 4.15 to 4.50 | 4571000 | 4358877 |
| US Treasury Notes 0.5% 5/31/2027  | 4.15 to 4.53 | 15788000 | 15218769 |
| US Treasury Notes 0.5% 8/31/2027  | 3.87 to 4.51 | 21311000 | 20407780 |
| US Treasury Notes 0.625% 7/31/2026  | 4.20 to 4.66 | 1664000 | 1643428 |
| US Treasury Notes 1.125% 10/31/2026 (e) | 4.22 to 4.46 | 8797500 | 8652602 |
| US Treasury Notes 1.125% 8/31/2028  | 3.83 to 4.23 | 2215000 | 2096117 |
| US Treasury Notes 1.25% 11/30/2026  | 1.23 to 4.74 | 73090000 | 71838334 |
| US Treasury Notes 1.25% 3/31/2028  | 3.90 to 4.22 | 2036400 | 1949773 |
| US Treasury Notes 1.25% 5/31/2028  | 4.37 | 3547000 | 3384198 |
| US Treasury Notes 1.25% 9/30/2028  | 4.20 | 3299000 | 3125931 |
| US Treasury Notes 1.375% 10/31/2028  | 3.49 to 3.63 | 76870000 | 72960439 |
| US Treasury Notes 1.5% 11/30/2028  | 3.03 to 4.47 | 53755000 | 51111346 |
| US Treasury Notes 1.5% 2/15/2030  | 4.13 to 4.38 | 4824000 | 4479159 |
| US Treasury Notes 1.875% 2/28/2027  | 4.15 to 4.58 | 5213000 | 5129063 |
| US Treasury Notes 2.25% 8/15/2027  | 3.88 to 4.19 | 10019000 | 9849538 |
| US Treasury Notes 2.375% 3/31/2029  | 3.90 to 4.94 | 10054300 | 9753849 |
| US Treasury Notes 2.75% 5/31/2029  | 3.59 to 4.34 | 86150000 | 84400078 |
| US Treasury Notes 2.75% 7/31/2027  | 3.87 to 4.77 | 49915000 | 49435348 |
| US Treasury Notes 2.75% 8/15/2032  | 3.79 to 4.53 | 58398000 | 55279638 |
| US Treasury Notes 2.875% 4/30/2029  | 3.82 to 4.23 | 4072000 | 4007421 |
| US Treasury Notes 2.875% 5/15/2028  | 2.00 to 3.99 | 93050000 | 92043170 |
| US Treasury Notes 2.875% 5/15/2032  | 4.10 to 4.33 | 4230000 | 4045929 |
| US Treasury Notes 3.125% 8/31/2029  | 4.26 to 4.65 | 26356600 | 26090975 |
| US Treasury Notes 3.25% 6/30/2029  | 4.18 to 4.68 | 3150100 | 3133611 |
| US Treasury Notes 3.375% 11/30/2027  | 3.59 | 9345000 | 9339159 |
| US Treasury Notes 3.375% 2/29/2028  | 3.38 to 3.41 | 92860000 | 92838236 |
| US Treasury Notes 3.375% 5/15/2033  | 4.26 to 4.89 | 41033000 | 40079303 |
| US Treasury Notes 3.375% 9/15/2028  | 3.62 | 744000 | 743738 |
| US Treasury Notes 3.5% 1/15/2029  | 3.59 to 3.65 | 20610000 | 20672796 |
| US Treasury Notes 3.5% 1/31/2030  | 4.03 | 10480000 | 10495556 |
| US Treasury Notes 3.5% 2/15/2029  | 3.46 to 3.56 | 97262000 | 97565944 |
| US Treasury Notes 3.5% 2/15/2033  | 3.37 to 4.32 | 198650000 | 195926322 |
| US Treasury Notes 3.5% 2/28/2031  | 3.51 to 3.55 | 264035000 | 263828723 |
| US Treasury Notes 3.625% 12/31/2030  | 3.83 to 3.84 | 43590000 | 43790923 |
| US Treasury Notes 3.625% 5/31/2028  | 4.16 to 4.42 | 9741000 | 9790085 |
| US Treasury Notes 3.625% 8/31/2029  | 3.57 to 3.66 | 41962300 | 42224564 |
| US Treasury Notes 3.625% 9/30/2030  | 3.75 to 3.78 | 86900000 | 87344684 |
| US Treasury Notes 3.625% 9/30/2031  | 3.97 to 4.23 | 67794000 | 67907873 |
| US Treasury Notes 3.75% 1/31/2031  | 3.62 to 3.85 | 7300000 | 7374141 |
| US Treasury Notes 3.75% 10/31/2032  | 3.88 to 3.90 | 80300000 | 80525844 |
| US Treasury Notes 3.75% 11/30/2032  | 3.87 to 3.93 | 52250000 | 52390830 |
| US Treasury Notes 3.75% 12/31/2030  | 4.10 to 4.29 | 36000 | 36356 |
| US Treasury Notes 3.75% 2/28/2033  | 3.71 to 3.75 | 134180000 | 134410622 |
| US Treasury Notes 3.75% 4/15/2028  | 3.92 | 1321000 | 1330598 |
| US Treasury Notes 3.75% 5/15/2028  | 4.03 | 77000 | 77581 |
| US Treasury Notes 3.75% 6/30/2030  | 3.93 to 4.04 | 81200000 | 82046891 |
| US Treasury Notes 3.75% 8/31/2031  | 3.74 to 4.31 | 1279000 | 1289492 |
| US Treasury Notes 3.875% 11/30/2027  | 4.19 to 4.82 | 8522000 | 8587912 |
| US Treasury Notes 3.875% 3/15/2028  | 3.96 | 459000 | 463375 |
| US Treasury Notes 3.875% 8/15/2033 (e) | 3.83 to 4.91 | 61741000 | 62189587 |
| US Treasury Notes 3.875% 8/15/2034  | 3.82 to 4.43 | 136080000 | 136277901 |
| US Treasury Notes 3.875% 8/31/2032  | 3.77 to 3.94 | 50990000 | 51551686 |
| US Treasury Notes 4% 1/31/2031  | 4.08 to 4.29 | 125000 | 127627 |
| US Treasury Notes 4% 1/31/2033  | 3.79 to 4.06 | 49013000 | 49855411 |
| US Treasury Notes 4% 11/15/2035  | 4.14 to 4.28 | 107530000 | 107916436 |
| US Treasury Notes 4% 2/29/2028  | 3.69 | 3359000 | 3397707 |
| US Treasury Notes 4% 6/30/2032  | 4.04 to 4.21 | 2200000 | 2241422 |
| US Treasury Notes 4% 7/31/2030  | 4.20 to 4.29 | 130000 | 132681 |
| US Treasury Notes 4% 7/31/2032  | 4.12 to 4.14 | 42900000 | 43695996 |
| US Treasury Notes 4.125% 10/31/2027  | 4.14 to 4.83 | 2393000 | 2419828 |
| US Treasury Notes 4.125% 10/31/2031 (d)(e) | 4.17 to 4.26 | 52500000 | 53898633 |
| US Treasury Notes 4.125% 11/30/2031  | 4.22 to 4.55 | 33481000 | 34371647 |
| US Treasury Notes 4.125% 2/15/2036  | 3.96 to 4.17 | 56233000 | 56979845 |
| US Treasury Notes 4.125% 3/31/2029  | 4.61 to 4.67 | 10900000 | 11129070 |
| US Treasury Notes 4.125% 3/31/2031  | 4.22 to 4.70 | 46000 | 47234 |
| US Treasury Notes 4.125% 7/31/2031  | 3.75 to 4.17 | 232900000 | 239239422 |
| US Treasury Notes 4.25% 11/15/2034  | 4.44 to 4.62 | 158209500 | 162541721 |
| US Treasury Notes 4.25% 11/30/2026  | 4.01 | 11817300 | 11872971 |
| US Treasury Notes 4.25% 2/15/2028  | 3.46 to 4.29 | 22983000 | 23352819 |
| US Treasury Notes 4.25% 2/28/2031  | 3.53 to 4.57 | 78520000 | 81071900 |
| US Treasury Notes 4.25% 5/15/2035  | 3.91 to 4.59 | 27210000 | 27908319 |
| US Treasury Notes 4.25% 6/30/2031  | 4.06 to 4.42 | 7542400 | 7791947 |
| US Treasury Notes 4.25% 8/15/2035  | 4.15 to 4.35 | 117794000 | 120720445 |
| US Treasury Notes 4.375% 12/15/2026  | 4.04 | 3153800 | 3173536 |
| US Treasury Notes 4.375% 7/15/2027  | 3.59 to 4.23 | 45460000 | 46017731 |
| US Treasury Notes 4.375% 8/31/2028  | 3.81 | 12335000 | 12624102 |
| US Treasury Notes 4.5% 11/15/2033  | 4.27 to 4.63 | 175900000 | 184262121 |
| US Treasury Notes 4.5% 12/31/2031  | 4.10 to 4.50 | 53161600 | 55614094 |
| US Treasury Notes 4.5% 5/15/2027  | 4.15 to 4.61 | 4760000 | 4815967 |
| US Treasury Notes 4.5% 7/15/2026  | 3.98 to 4.24 | 10019000 | 10049981 |
| US Treasury Notes 4.625% 10/15/2026  | 4.15 to 5.01 | 4586000 | 4613624 |
| US Treasury Notes 4.625% 2/15/2035 (d)(e) | 4.09 to 4.53 | 49585000 | 52319920 |
| US Treasury Notes 4.625% 3/15/2026  | 3.71 to 4.28 | 7341000 | 7343147 |
| US Treasury Notes 4.625% 6/15/2027  | 4.59 | 3477000 | 3526982 |
| US Treasury Notes 4.625% 9/30/2028  | 4.19 to 4.85 | 95000 | 97891 |
| US Treasury Notes 4.625% 9/30/2030  | 3.97 to 4.65 | 56145000 | 58783377 |
| US Treasury Notes 4.75% 2/15/2045  | 4.67 to 4.87 | 9310000 | 9542750 |
| US Treasury Notes 4.875% 10/31/2030 (e) | 4.73 to 4.91 | 109029600 | 115383981 |
| US Treasury Notes Inflation-Indexed 1.625% 4/15/2030  | 1.24 | 16650081 | 17001789 |
| US Treasury Strip Coupon 0% 11/15/2033 (r)(t) | 3.84 to 4.15 | 2471933 | 1839826 |
| US Treasury Strip Coupon 0% 11/15/2041 (r)(t) | 4.42 to 4.78 | 19370000 | 9337560 |
| US Treasury Strip Coupon 0% 11/15/2042 (r)(t) | 4.47 | 229800 | 104531 |
| US Treasury Strip Coupon 0% 11/15/2043 (r)(t) | 4.21 to 4.45 | 1570738 | 675317 |
| US Treasury Strip Coupon 0% 11/15/2045 (r)(t) | 4.53 | 4155000 | 1602397 |
| US Treasury Strip Coupon 0% 2/15/2042 (r)(t) | 4.15 to 4.80 | 9703646 | 4625546 |
| US Treasury Strip Coupon 0% 2/15/2045 (r)(t) | 4.85 to 5.06 | 36190000 | 14524182 |
| US Treasury Strip Coupon 0% 5/15/2031 (r)(t) | 4.48 to 4.49 | 9460000 | 7847342 |
| US Treasury Strip Coupon 0% 5/15/2039 (e)(r)(t) | 3.74 to 5.45 | 33625000 | 18719475 |
| US Treasury Strip Coupon 0% 5/15/2040 (r)(t) | 4.70 | 4427000 | 2330258 |
| US Treasury Strip Coupon 0% 5/15/2041 (d)(r)(t) | 2.12 to 2.38 | 38705000 | 19270828 |
| US Treasury Strip Coupon 0% 5/15/2042 (r)(t) | 4.41 | 557284 | 261409 |
| US Treasury Strip Coupon 0% 5/15/2043 (r)(t) | 4.80 to 4.83 | 5080000 | 2249136 |
| US Treasury Strip Coupon 0% 5/15/2044 (r)(t) | 2.36 to 5.08 | 15200000 | 6360421 |
| US Treasury Strip Coupon 0% 8/15/2039 (r)(t) | 3.73 to 4.29 | 8745000 | 4800186 |
| US Treasury Strip Coupon 0% 8/15/2040 (r)(t) | 1.89 to 4.39 | 28492494 | 14769920 |
| US Treasury Strip Coupon 0% 8/15/2041 (r)(t) | 3.28 to 4.39 | 5739205 | 2821889 |
| US Treasury Strip Coupon 0% 8/15/2042 (r)(t) | 4.78 to 4.99 | 31235000 | 14438135 |
| US Treasury Strip Coupon 0% 8/15/2043 (r)(t) | 5.10 | 2745000 | 1197460 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $6,506,593,662) |  |  | **6507430481** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** | &nbsp;&nbsp;**Money Market Funds - 1.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (z) | 3.70 | 213581140 | 213623857 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (x)(Aa) | 3.59 | 34677195 | 34677195 |
| Fidelity Securities Lending Cash Central Fund (b)(z) | 3.69 | 69487803 | 69494751 |
| State Street Institutional U.S. Government Money Market Fund Premier Class (Aa) | 3.63 | 457003271 | 457003271 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $774,795,428) |  |  | **774799074** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 7700000 | 220822 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/2029 | 2500000 | 63229 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 6850000 | 180433 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.08% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 6340000 | 166416 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 7000000 | 189002 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 7140000 | 49561 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 16240000 | 143863 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 8310000 | 156509 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 8600000 | 264298 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.585% and receive annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 2920000 | 23888 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.55% and receive annually a floating rate based on US SOFR Index, expiring May 2056 | 4/2026 | 12838000 | 44488 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.865% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 1200000 | 6928 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 12100000 | 148152 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 1800000 | 23642 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.973% and receive annually a floating rate based on US SOFR Index, expiring February 2036 | 2/2031 | 2300000 | 72719 |
| TOTAL PUT SWAPTIONS |  |  | 1753950 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 7700000 | 237961 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/2029 | 2500000 | 92470 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 6850000 | 263237 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.08% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 6340000 | 244321 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 7000000 | 260647 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 7140000 | 217652 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 16240000 | 470884 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 8310000 | 155989 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 8600000 | 282975 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.585% and pay annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 2920000 | 34038 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.865% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 1200000 | 38116 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 12100000 | 539112 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 1800000 | 76933 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.973% and pay annually a floating rate based on US SOFR Index, expiring February 2036 | 2/2031 | 2300000 | 79674 |
| TOTAL CALL SWAPTIONS |  |  | 2994009 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $5,983,374) |  |  | <br> **4747959** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| USD/CAD Cross Currency Contracts | Morgan Stanley & Co International PLC | 1160981 | 1160981 | 1.37 | 2/2026 | 0 |
|  |  |  |  |  |  | **0** |
| Put Options |  |  |  |  |  |  |
| USD/CAD Cross Currency Contracts | Morgan Stanley & Co International PLC | 1160981 | 1160981 | 1.34 | 2/2026 | 0 |
|  |  |  |  |  |  | **0** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $7,181) |  |  |  |  |  | **0** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 116.0%**<br> (Cost $53,063,950,782)<br>| <br>**52312089499** |
| **NET OTHER ASSETS (LIABILITIES) - (16.0)%**  | **(7224247907)** |
| **NET ASSETS - 100.0%** | **45087841592** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 3/1/2056 | (56029000) | (47458238) |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (18239000) | (16091179) |
| Ginnie Mae II Pool 3% 3/1/2056 | (115000) | (105447) |
| Ginnie Mae II Pool 3.5% 3/1/2056 | (25354000) | (23787204) |
| Ginnie Mae II Pool 4% 3/1/2056 | (13854000) | (13325275) |
| Ginnie Mae II Pool 4% 4/1/2056 | (6900000) | (6633973) |
| Ginnie Mae II Pool 4.5% 3/1/2056 | (48850000) | (48258676) |
| Ginnie Mae II Pool 4.5% 4/1/2056 | (7225000) | (7128793) |
| Ginnie Mae II Pool 5% 3/1/2056 | (72156000) | (72409672) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (194762000) | (197269736) |
| Ginnie Mae II Pool 6% 3/1/2056 | (172794000) | (176299195) |
| Ginnie Mae II Pool 6.5% 3/1/2056 | (31062000) | (32281075) |
| Uniform Mortgage Backed Securities 2% 3/1/2041 | (204000) | (190039) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (111844000) | (92625186) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2041 | (64000) | (61000) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (3658000) | (3167742) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (3350000) | (2901152) |
| Uniform Mortgage Backed Securities 3% 3/1/2041 | (34000) | (32915) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (8661000) | (7831777) |
| Uniform Mortgage Backed Securities 3% 4/1/2056 | (3000000) | (2711602) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2041 | (36000) | (35204) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (139859000) | (131806184) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (900000) | (847828) |
| Uniform Mortgage Backed Securities 4% 3/1/2041 | (10000) | (9911) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (267660000) | (260163432) |
| Uniform Mortgage Backed Securities 4% 4/1/2056 | (50000000) | (48458985) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2041 | (86000) | (86339) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (300096000) | (296743357) |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 | (5700000) | (5631867) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (69700000) | (70759112) |
| Uniform Mortgage Backed Securities 5% 3/1/2056 | (582667436) | (585307618) |
| Uniform Mortgage Backed Securities 5% 4/1/2056 | (7875000) | (7902686) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (728505000) | (740229414) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (129823000) | (133164930) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (36313000) | (37710202) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (3069426945) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $3,055,932,214) |  | <br> **(3069426945)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.25% and receive annually a floating rate based on US SOFR Index, expiring May 2056 | 4/2026 |  | 12838000 | (10512) |
| Option on an interest rate swap with Goldman Sachs International to pay annually a fixed rate of 4.3% and receive annually a floating rate based on Sonia O/N Deposit Rates Swap, expiring April 2056 | 4/2026 | GBP | 1025900 | (13775) |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.775% and pay annually a floating rate based on US SOFR Index, expiring March 2036 | 2/2026 |  | 7200000 | (144725) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.14% and receive annually a floating rate based on US SOFR Index, expiring February 2038 | 2/2028 |  | 18584000 | (984517) |
| TOTAL PUT SWAPTIONS |  |  |  | (1153529) |
| Call Swaptions |  |  |  |  |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 4.015% and pay annually a floating rate based on US SOFR Index, expiring March 2036 | 2/2026 |  | 7200000 | (1) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.14% and receive annually a floating rate based on US SOFR Index, expiring February 2038 | 2/2028 |  | 18584000 | (402051) |
| Option on a credit default swap with Goldman Sachs International to buy protection on 5Y CDX IG Series 45 Index, paying 1% quarterly expiring December 2030 | 6/2026 |  | 25800000 | (34839) |
| TOTAL CALL SWAPTIONS |  |  |  | (436891) |
| **TOTAL WRITTEN SWAPTIONS** |  |  |  | **(1590420)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 1 | 6/2026 | 78539 | (31) |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 1471 | 3/2026 | 115751213 | 1017777 |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 228 | 3/2026 | 17031517 | (14168) |
| CBOT 10Y US Treasury Notes Contracts (United States) | 9046 | 6/2026 | 1029265188 | 6649151 |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 2038 | 6/2026 | 237840969 | 1412333 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 5038 | 6/2026 | 1054122781 | 1444288 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 2560 | 6/2026 | 281900000 | 1065636 |
| CBOT US Treasury Long Bond Contracts (United States) | 470 | 6/2026 | 55650938 | 431117 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 1766 | 6/2026 | 214679375 | 2264088 |
| Eurex Euro-Bund Contracts (Germany) | 128 | 3/2026 | 19696610 | 140928 |
| Eurex Euro-Schatz Contracts (Germany) | 57 | 3/2026 | 7208599 | 12464 |
| ICE Long GILT Futures (United Kingdom) | 36 | 6/2026 | 4544923 | 37361 |
| ICE Long GILT Futures (United Kingdom) | 10 | 3/2026 | 1264096 | 18176 |
| The Montreal Exchange / Bourse DE Montreal Canadian Government Contracts (Canada) | 71 | 6/2026 | 6393930 | 21876 |
| TOTAL LONG |  |  |  | 14500996 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | (236) | 3/2026 | (18570555) | (281207) |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | (64) | 3/2026 | (4780777) | 10915 |
| CBOT 10Y US Treasury Notes Contracts (United States) | (245) | 6/2026 | (27876406) | (109986) |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | (71) | 6/2026 | (8285922) | (80767) |
| CBOT 5Y US Treasury Notes Contracts (United States) | (1076) | 6/2026 | (118486094) | (447302) |
| CBOT US Treasury Ultra Bond Contracts (United States) | (26) | 6/2026 | (3160625) | (38274) |
| Eurex Euro-Bobl Contracts (Germany) | (67) | 3/2026 | (9298979) | (50051) |
| Eurex Euro-Bund Contracts (Germany) | (46) | 3/2026 | (7078469) | (100962) |
| Eurex Euro-Buxl Contracts (Germany) | (17) | 3/2026 | (2287129) | (42302) |
| Eurex Euro-Schatz Contracts (Germany) | (148) | 3/2026 | (18717064) | (31384) |
| ICE Long GILT Futures (United Kingdom) | (42) | 6/2026 | (5302410) | (77006) |
| ICE Long GILT Futures (United Kingdom) | (10) | 3/2026 | (1264096) | (18193) |
| TOTAL SHORT |  |  |  | (1266519) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **13234477** |
| The notional amount of long futures as a percentage of Net Assets is 6.6%. | The notional amount of long futures as a percentage of Net Assets is 6.6%. | The notional amount of long futures as a percentage of Net Assets is 6.6%. | The notional amount of long futures as a percentage of Net Assets is 6.6%. | The notional amount of long futures as a percentage of Net Assets is 6.6%. |
| The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. | The notional amount of short futures as a percentage of Net Assets is 0.3%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| Chicago Board of Trade US Treasury Notes Contracts (United States) | Chicago Board of Trade | 299 | 34020594 | 114.00 | 3/2026 | (149500) |
| Chicago Board of Trade US Treasury Notes Contracts (United States) | Chicago Board of Trade | 157 | 17863656 | 114.25 | 3/2026 | (66234) |
| USD/BRL Cross Currency Contracts | Bank of America NA | 1643762 | 1643762 | 5.65 | 5/2026 | (6028) |
| USD/ZAR Cross Currency Contracts | Bank of America NA | 1644000 | 1644000 | 16.74 | 5/2026 | (11490) |
| USD/MXN Cross Currency Contracts | Morgan Stanley & Co International PLC | 1643762 | 1643762 | 18.05 | 5/2026 | (8149) |
| EUR/USD Cross Currency Contracts | Bank of America NA | 1800349 | 1800349 | 1.22 | 2/2026 | 0 |
|  |  |  |  |  |  | (241401) |
| Put Options |  |  |  |  |  |  |
| Chicago Board of Trade US Treasury Notes Contracts (United States) | Chicago Board of Trade | 188 | 21390875 | 112.00 | 3/2026 | (8813) |
| Chicago Board of Trade US Treasury Notes Contracts (United States) | Chicago Board of Trade | 111 | 12629719 | 111.50 | 3/2026 | (1734) |
| Chicago Board of Trade US Treasury Notes Contracts (United States) | Chicago Board of Trade | 157 | 17863656 | 112.25 | 3/2026 | (9813) |
| USD/ZAR Cross Currency Contracts | Bank of America NA | 1644000 | 1644000 | 15.50 | 5/2026 | (8691) |
| USD/BRL Cross Currency Contracts | Bank of America NA | 1643762 | 1643762 | 5.15 | 5/2026 | (23332) |
| USD/IDR Cross Currency Contracts | Bank of America NA | 1233000 | 1233000 | 16400.00 | 5/2026 | (1981) |
| USD/COP Cross Currency Contracts | Bank of America NA | 821000 | 821000 | 3520.00 | 5/2026 | (1773) |
| USD/MXN Cross Currency Contracts | Morgan Stanley & Co International PLC | 1643762 | 1643762 | 16.95 | 5/2026 | (9443) |
| USD/CAD Cross Currency Contracts | Bank of America NA | 3317088 | 3317088 | 1.34 | 2/2026 | 0 |
|  |  |  |  |  |  | (65580) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(306981)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 1515000 | USD | 1068596 | Morgan Stanley | 3/2026 | 9554 |
| AUD | 191000 | USD | 135827 | Societe Generale SA | 3/2026 | 98 |
| AUD | 43792000 | USD | 31166858 | State Street Bank & Trust Co | 3/2026 | (2281) |
| AUD | 382679 | USD | 265374 | Citibank NA | 4/2026 | 6926 |
| AUD | 311882 | USD | 218136 | Citibank NA | 4/2026 | 3787 |
| BRL | 241026 | USD | 43268 | Goldman Sachs Bank USA | 3/2026 | 3748 |
| BRL | 1958280 | USD | 365139 | Goldman Sachs International | 3/2026 | 15286 |
| BRL | 3934727 | USD | 752000 | Goldman Sachs International | 3/2026 | 12379 |
| BRL | 3925641 | USD | 751500 | Goldman Sachs International | 3/2026 | 11114 |
| BRL | 69204280 | USD | 12837717 | Goldman Sachs Bank USA | 4/2026 | 550873 |
| BRL | 59880710 | USD | 10458051 | Goldman Sachs Bank USA | 4/2026 | 1126756 |
| BRL | 325000000 | USD | 57875523 | JPMorgan Chase Bank NA | 4/2026 | 5000524 |
| CAD | 144000 | USD | 105618 | BNP Paribas SA | 3/2026 | (50) |
| CAD | 19969 | USD | 14606 | Bank of America NA | 3/2026 | 34 |
| CAD | 24850445 | USD | 18153587 | Bank of America NA | 3/2026 | 64547 |
| CAD | 268659 | USD | 198699 | Bank of America NA | 3/2026 | (1742) |
| CLP | 386770000 | USD | 448944 | JPMorgan Chase Bank NA | 3/2026 | (5792) |
| CLP | 395020000 | USD | 454673 | Morgan Stanley & Co International PLC | 3/2026 | (2068) |
| COP | 5210460000 | USD | 1409909 | BTIG LLC (GB) | 3/2026 | (26990) |
| COP | 2572975500 | USD | 697000 | JPMorgan Chase Bank NA | 3/2026 | (14101) |
| COP | 22033430085 | USD | 5979221 | State Street Bank & Trust Co | 3/2026 | (131284) |
| CZK | 10660000 | USD | 520700 | BTIG LLC (GB) | 3/2026 | (815) |
| CZK | 23700000 | USD | 1147984 | JPMorgan Chase Bank NA | 3/2026 | 7857 |
| EGP | 21960000 | USD | 456549 | Societe Generale SA | 3/2026 | (4517) |
| EUR | 2000 | USD | 2359 | STANDARD CHARTERED BANK | 3/2026 | 4 |
| EUR | 156701623 | USD | 185001936 | BNP Paribas SA | 3/2026 | 156701 |
| EUR | 305890 | USD | 361657 | Bank of America NA | 3/2026 | (217) |
| EUR | 76517588 | USD | 90329013 | Barclays Bank PLC | 3/2026 | 84169 |
| EUR | 682000 | USD | 805749 | Goldman Sachs Bank USA | 3/2026 | 102 |
| EUR | 3590000 | USD | 4262739 | JPMorgan Chase Bank NA | 3/2026 | (20795) |
| EUR | 250377 | USD | 299711 | State Street Bank & Trust Co | 3/2026 | (3865) |
| EUR | 20000 | USD | 23811 | Goldman Sachs Bank USA | 4/2026 | (117) |
| EUR | 110000 | USD | 130395 | JPMorgan Chase Bank NA | 4/2026 | (79) |
| EUR | 168000 | USD | 198908 | Royal Bank of Canada | 4/2026 | 121 |
| GBP | 217000 | USD | 293096 | BNP Paribas SA | 3/2026 | (656) |
| GBP | 70738334 | USD | 95666805 | Barclays Bank PLC | 3/2026 | (336290) |
| GBP | 5170993 | USD | 6990833 | JPMorgan Chase Bank NA | 3/2026 | (22144) |
| GBP | 795000 | USD | 1089729 | Morgan Stanley | 3/2026 | (18347) |
| GBP | 261000 | USD | 352105 | Morgan Stanley & Co International PLC | 3/2026 | (368) |
| HUF | 98370000 | USD | 305066 | BTIG LLC (GB) | 3/2026 | 3063 |
| HUF | 146320000 | USD | 454946 | BTIG LLC (GB) | 3/2026 | 3380 |
| IDR | 9360400000 | USD | 556699 | BTIG LLC (GB) | 3/2026 | 1283 |
| IDR | 12000000000 | USD | 714367 | Bank of America NA | 3/2026 | 965 |
| IDR | 11702544000 | USD | 696000 | JPMorgan Chase Bank NA | 3/2026 | 1600 |
| INR | 150000000 | USD | 1628792 | Bank of America NA | 3/2026 | 17535 |
| JPY | 1183296 | USD | 7590 | Bank of America NA | 3/2026 | (13) |
| JPY | 13110636 | USD | 84021 | Morgan Stanley | 3/2026 | (67) |
| JPY | 137192320 | USD | 878273 | State Street Bank & Trust Co | 3/2026 | 236 |
| JPY | 512302113 | USD | 3314289 | Morgan Stanley & Co International PLC | 3/2026 | (29379) |
| KRW | 1068586427 | USD | 738051 | BNP Paribas SA | 3/2026 | 4369 |
| KRW | 6760372622 | USD | 4660269 | Goldman Sachs Bank USA | 3/2026 | 36622 |
| MXN | 1603 | USD | 87 | JPMorgan Chase Bank NA | 3/2026 | 6 |
| MXN | 7650000 | USD | 439963 | Bank of America NA | 3/2026 | 3584 |
| MXN | 1531414 | USD | 83273 | Bank of America NA | 3/2026 | 5518 |
| MXN | 13040000 | USD | 749396 | JPMorgan Chase Bank NA | 3/2026 | 6663 |
| MXN | 13396662 | USD | 779000 | Morgan Stanley | 3/2026 | (2261) |
| MYR | 4170000 | USD | 1058509 | BTIG LLC (GB) | 3/2026 | 13615 |
| PEN | 6453780 | USD | 1923000 | Deutsche Bank AG | 3/2026 | 86 |
| PLN | 4960000 | USD | 1388085 | BTIG LLC (GB) | 3/2026 | (12) |
| PLN | 3220000 | USD | 909106 | BTIG LLC (GB) | 3/2026 | (7978) |
| THB | 19040000 | USD | 605341 | JPMorgan Chase Bank NA | 3/2026 | 8101 |
| THB | 38410000 | USD | 1213495 | JPMorgan Chase Bank NA | 3/2026 | 24022 |
| TRY | 35708753 | USD | 804951 | Barclays Bank PLC | 3/2026 | 7831 |
| TRY | 139966719 | USD | 3076327 | Barclays Bank PLC | 3/2026 | 106866 |
| TRY | 5576195 | USD | 124992 | Barclays Bank PLC | 3/2026 | 1614 |
| TRY | 46773462 | USD | 1028610 | Goldman Sachs Bank USA | 3/2026 | 33366 |
| TRY | 10778724 | USD | 236119 | Barclays Bank PLC | 3/2026 | 7589 |
| TRY | 47237986 | USD | 1033360 | Barclays Bank PLC | 3/2026 | 33802 |
| TRY | 31388947 | USD | 701206 | JPMorgan Chase Bank NA | 3/2026 | 7314 |
| TRY | 96949889 | USD | 2118660 | Barclays Bank PLC | 3/2026 | 64218 |
| TRY | 5509409 | USD | 119741 | Barclays Bank PLC | 3/2026 | 3264 |
| TRY | 5393501 | USD | 118565 | Barclays Bank PLC | 3/2026 | 1342 |
| TRY | 3032478 | USD | 66011 | Barclays Bank PLC | 4/2026 | 1071 |
| TRY | 154237327 | USD | 3393337 | Barclays Bank PLC | 4/2026 | 10150 |
| TRY | 930785362 | USD | 20371306 | Barclays Bank PLC | 4/2026 | 100141 |
| TRY | 444149957 | USD | 9692201 | Barclays Bank PLC | 4/2026 | 19714 |
| TRY | 52742230 | USD | 1152153 | Barclays Bank PLC | 4/2026 | 164 |
| TRY | 213520741 | USD | 4640242 | Barclays Bank PLC | 4/2026 | 13117 |
| TRY | 290108204 | USD | 6306015 | Barclays Bank PLC | 4/2026 | (4674) |
| TRY | 47443128 | USD | 1029962 | Barclays Bank PLC | 4/2026 | (330) |
| TRY | 238826313 | USD | 5186690 | Barclays Bank PLC | 4/2026 | (7922) |
| TWD | 9550000 | USD | 302403 | Societe Generale SA | 3/2026 | 2393 |
| TWD | 10499347 | USD | 337171 | State Street Bank & Trust Co | 3/2026 | (2077) |
| USD | 1680605 | AUD | 2373000 | Barclays Bank PLC | 3/2026 | (8140) |
| USD | 30223926 | AUD | 42934000 | State Street Bank & Trust Co | 3/2026 | (330055) |
| USD | 154004 | AUD | 218000 | BTIG LLC (GB) | 3/2026 | (1126) |
| USD | 64408 | AUD | 97000 | Deutsche Bank AG | 3/2026 | (4618) |
| USD | 24389 | AUD | 35000 | JPMorgan Chase Bank NA | 3/2026 | (517) |
| USD | 48567 | AUD | 73000 | Morgan Stanley & Co International PLC | 3/2026 | (3381) |
| USD | 332291 | AUD | 500000 | Morgan Stanley & Co International PLC | 3/2026 | (23511) |
| USD | 209373 | AUD | 300000 | Morgan Stanley & Co International PLC | 3/2026 | (4108) |
| USD | 19514 | AUD | 28000 | Morgan Stanley & Co International PLC | 3/2026 | (411) |
| USD | 226340 | AUD | 320000 | Societe Generale SA | 3/2026 | (1374) |
| USD | 135821 | AUD | 191000 | Societe Generale SA | 3/2026 | (96) |
| USD | 205184 | AUD | 290000 | Societe Generale SA | 3/2026 | (1182) |
| USD | 14760693 | AUD | 21990448 | BTIG LLC (GB) | 4/2026 | (886876) |
| USD | 631617 | AUD | 944936 | BTIG LLC (GB) | 4/2026 | (40764) |
| USD | 891480 | AUD | 1333776 | Bank of America NA | 4/2026 | (57584) |
| USD | 834483 | AUD | 1239024 | Bank of America NA | 4/2026 | (47160) |
| USD | 345873 | AUD | 516353 | Citibank NA | 4/2026 | (21544) |
| USD | 31163311 | AUD | 43792000 | State Street Bank & Trust Co | 4/2026 | 2719 |
| USD | 1080819 | AUD | 1551000 | JPMorgan Chase Bank NA | 4/2026 | (22675) |
| USD | 43812 | BRL | 241026 | Goldman Sachs Bank USA | 3/2026 | (3204) |
| USD | 365139 | BRL | 1953347 | Societe Generale SA | 3/2026 | (14328) |
| USD | 4173326 | BRL | 23500000 | BNP Paribas SA | 4/2026 | (373096) |
| USD | 2828953 | BRL | 16200000 | BNP Paribas SA | 4/2026 | (305176) |
| USD | 2800007 | BRL | 16200000 | BNP Paribas SA | 4/2026 | (334122) |
| USD | 4556567 | BRL | 26000000 | BNP Paribas SA | 4/2026 | (473517) |
| USD | 24672917 | BRL | 137100000 | Goldman Sachs Bank USA | 4/2026 | (1851101) |
| USD | 11114376 | BRL | 64300000 | Goldman Sachs Bank USA | 4/2026 | (1325408) |
| USD | 11133511 | BRL | 64200000 | Goldman Sachs Bank USA | 4/2026 | (1286927) |
| USD | 3444070 | BRL | 19200000 | Goldman Sachs Bank USA | 4/2026 | (270454) |
| USD | 14825863 | BRL | 82500000 | Goldman Sachs Bank USA | 4/2026 | (1134979) |
| USD | 8325608 | BRL | 47600000 | Goldman Sachs Bank USA | 4/2026 | (883314) |
| USD | 18543488 | CAD | 25139072 | BNP Paribas SA | 3/2026 | 113758 |
| USD | 14606 | CAD | 19944 | Bank of America NA | 4/2026 | (34) |
| USD | 18153587 | CAD | 24818948 | Bank of America NA | 4/2026 | (65304) |
| USD | 177151 | CAD | 241000 | BNP Paribas SA | 4/2026 | 65 |
| USD | 248661 | CAD | 337000 | Bank of America NA | 4/2026 | 1035 |
| USD | 100822 | COP | 375349928 | BNP Paribas SA | 3/2026 | 1200 |
| USD | 2087056 | COP | 7668887460 | BNP Paribas SA | 3/2026 | 51641 |
| USD | 3746012 | COP | 13818665305 | BNP Paribas SA | 3/2026 | 78373 |
| USD | 5979221 | COP | 22806543385 | State Street Bank & Trust Co | 8/2026 | 156369 |
| USD | 90829208 | EUR | 76517588 | Bank of America NA | 3/2026 | 416026 |
| USD | 191812531 | EUR | 160542000 | Barclays Bank PLC | 3/2026 | 2116105 |
| USD | 785090 | EUR | 664717 | BNP Paribas SA | 3/2026 | (914) |
| USD | 1746272 | EUR | 1500000 | Bank of America NA | 3/2026 | (27624) |
| USD | 233969 | EUR | 198000 | Bank of America NA | 3/2026 | (186) |
| USD | 94522 | EUR | 80000 | Bank of America NA | 3/2026 | (86) |
| USD | 120312 | EUR | 101000 | Bank of America NA | 3/2026 | 870 |
| USD | 116847 | EUR | 100000 | Deutsche Bank AG | 3/2026 | (1412) |
| USD | 576640 | EUR | 489000 | Deutsche Bank AG | 3/2026 | (1650) |
| USD | 120302 | EUR | 102000 | Deutsche Bank AG | 3/2026 | (322) |
| USD | 604857 | EUR | 509000 | Deutsche Bank AG | 3/2026 | 2915 |
| USD | 2002652 | EUR | 1684000 | Deutsche Bank AG | 3/2026 | 11159 |
| USD | 75663 | EUR | 65000 | Deutsche Bank AG | 3/2026 | (1206) |
| USD | 1904766 | EUR | 1609000 | JPMorgan Chase Bank NA | 3/2026 | 1967 |
| USD | 363229 | EUR | 308000 | JPMorgan Chase Bank NA | 3/2026 | (1011) |
| USD | 1898973 | EUR | 1606000 | JPMorgan Chase Bank NA | 3/2026 | (277) |
| USD | 24637917 | EUR | 20860000 | Morgan Stanley & Co International PLC | 3/2026 | (31051) |
| USD | 441604 | EUR | 372000 | Morgan Stanley & Co International PLC | 3/2026 | 1678 |
| USD | 1108610 | EUR | 933000 | Morgan Stanley & Co International PLC | 3/2026 | 5247 |
| USD | 1521203 | EUR | 1280000 | Morgan Stanley & Co International PLC | 3/2026 | 7480 |
| USD | 297952 | EUR | 254000 | Morgan Stanley & Co International PLC | 3/2026 | (2427) |
| USD | 386322 | EUR | 324840 | BTIG LLC (GB) | 4/2026 | 1866 |
| USD | 1207746 | EUR | 1030145 | BTIG LLC (GB) | 4/2026 | (11459) |
| USD | 362157 | EUR | 305890 | Bank of America NA | 4/2026 | 128 |
| USD | 24935060 | EUR | 21231302 | Bank of America NA | 4/2026 | (192760) |
| USD | 523390 | EUR | 449709 | Citibank NA | 4/2026 | (8853) |
| USD | 272641 | EUR | 230903 | Citibank NA | 4/2026 | (640) |
| USD | 250899 | EUR | 212333 | Citibank NA | 4/2026 | (403) |
| USD | 418186 | EUR | 355288 | Citibank NA | 4/2026 | (2308) |
| USD | 1091555 | EUR | 923027 | Citibank NA | 4/2026 | (872) |
| USD | 1470230 | EUR | 1236175 | Citibank NA | 4/2026 | 7183 |
| USD | 596800 | EUR | 507374 | Citibank NA | 4/2026 | (3690) |
| USD | 185267075 | EUR | 156701623 | BNP Paribas SA | 4/2026 | (203946) |
| USD | 90458557 | EUR | 76517588 | Barclays Bank PLC | 4/2026 | (107163) |
| USD | 101890 | EUR | 86000 | BNP Paribas SA | 4/2026 | 6 |
| USD | 50817558 | EUR | 42312000 | BNP Paribas SA | 4/2026 | 690574 |
| USD | 184490 | EUR | 154000 | Citibank NA | 4/2026 | 2047 |
| USD | 1011457 | EUR | 854000 | Goldman Sachs Bank USA | 4/2026 | (276) |
| USD | 377164 | EUR | 319000 | JPMorgan Chase Bank NA | 4/2026 | (755) |
| USD | 143463 | EUR | 121000 | JPMorgan Chase Bank NA | 4/2026 | 114 |
| USD | 94582 | EUR | 80000 | JPMorgan Chase Bank NA | 4/2026 | (193) |
| USD | 266080 | EUR | 223000 | JPMorgan Chase Bank NA | 4/2026 | 1892 |
| USD | 7057646 | GBP | 5170993 | Citibank NA | 3/2026 | 88957 |
| USD | 96275591 | GBP | 71533334 | State Street Bank & Trust Co | 3/2026 | (126306) |
| USD | 8971400 | GBP | 6703000 | Morgan Stanley & Co International PLC | 3/2026 | (62323) |
| USD | 352103 | GBP | 261000 | Morgan Stanley & Co International PLC | 3/2026 | 350 |
| USD | 102270 | GBP | 76000 | Morgan Stanley & Co International PLC | 3/2026 | (156) |
| USD | 2013370 | GBP | 1500000 | BTIG LLC (GB) | 4/2026 | (8289) |
| USD | 1033398 | GBP | 772951 | BTIG LLC (GB) | 4/2026 | (8364) |
| USD | 448243 | GBP | 335173 | Bank of America NA | 4/2026 | (3494) |
| USD | 9038332 | GBP | 6684621 | Citibank NA | 4/2026 | 28981 |
| USD | 652630 | GBP | 484765 | Citibank NA | 4/2026 | (724) |
| USD | 459856 | GBP | 336820 | Citibank NA | 4/2026 | 5899 |
| USD | 95672394 | GBP | 70738334 | Barclays Bank PLC | 4/2026 | 332895 |
| USD | 6991191 | GBP | 5170993 | JPMorgan Chase Bank NA | 4/2026 | 21845 |
| USD | 293141 | GBP | 217000 | BNP Paribas SA | 4/2026 | 650 |
| USD | 184045 | GBP | 136000 | BNP Paribas SA | 4/2026 | 733 |
| USD | 547871 | GBP | 402000 | Citibank NA | 4/2026 | 6020 |
| USD | 12300386 | GBP | 8938000 | Goldman Sachs Bank USA | 4/2026 | 252982 |
| USD | 56467 | GBP | 42000 | JPMorgan Chase Bank NA | 4/2026 | (144) |
| USD | 319503 | GBP | 234000 | JPMorgan Chase Bank NA | 4/2026 | 4097 |
| USD | 1503000 | IDR | 25251903000 | Bank of America NA | 3/2026 | (2291) |
| USD | 25301 | JPY | 3896698 | BNP Paribas SA | 3/2026 | 349 |
| USD | 848577 | JPY | 130613141 | Barclays Bank PLC | 3/2026 | 12198 |
| USD | 110389 | JPY | 16991218 | Morgan Stanley | 3/2026 | 1586 |
| USD | 3648543 | JPY | 564979000 | BTIG LLC (GB) | 3/2026 | 25866 |
| USD | 5468888 | JPY | 841272154 | JPMorgan Chase Bank NA | 3/2026 | 74604 |
| USD | 7590 | JPY | 1180231 | Bank of America NA | 4/2026 | 12 |
| USD | 84021 | JPY | 13076658 | Morgan Stanley | 4/2026 | 61 |
| USD | 878273 | JPY | 136837410 | State Street Bank & Trust Co | 4/2026 | (309) |
| USD | 516412 | JPY | 78500000 | BNP Paribas SA | 4/2026 | 11329 |
| USD | 5204287 | JPY | 791200000 | Royal Bank of Canada | 4/2026 | 113563 |
| USD | 87 | MXN | 1603 | JPMorgan Chase Bank NA | 3/2026 | (6) |
| USD | 82940 | MXN | 1531414 | JPMorgan Chase Bank NA | 3/2026 | (5852) |
| USD | 1923000 | PEN | 6458972 | Deutsche Bank AG | 3/2026 | (1633) |
| USD | 195339 | SGD | 250000 | Bank of America NA | 3/2026 | (2544) |
| USD | 389448 | SGD | 500000 | Bank of America NA | 3/2026 | (6319) |
| USD | 175736 | TWD | 5466784 | BNP Paribas SA | 3/2026 | 1259 |
| USD | 162048 | TWD | 5032563 | BNP Paribas SA | 3/2026 | 1430 |
| USD | 2512204 | ZAR | 40723192 | BTIG LLC (GB) | 3/2026 | (42018) |
| ZAR | 10975305 | USD | 697000 | Morgan Stanley | 3/2026 | (8612) |
| ZAR | 12000328 | USD | 751500 | Morgan Stanley | 3/2026 | 1179 |
| ZAR | 24560000 | USD | 1524501 | Morgan Stanley & Co International PLC | 3/2026 | 15941 |
| ZAR | 40723192 | USD | 2509618 | Morgan Stanley & Co International PLC | 3/2026 | 44604 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **1014806** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 12318991 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (11304185) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(4) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(5) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| Petroleos Mexicanos 6.625% 6/15/2035 |  | 3/2026 | Barclays Bank PLC | (1%) | At Maturity |  | 5332000 | 8585 | 184 | 8769 |
| Petroleos Mexicanos 6.625% 6/15/2035 |  | 3/2026 | Barclays Bank PLC | (1%) | At Maturity |  | 2530000 | 4074 | (44) | 4030 |
| Dominion Energy Inc 4.25% 6/1/2028 |  | 12/2029 | Goldman Sachs International | (1%) | Quarterly |  | 734000 | (19033) | 16326 | (2707) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 9000000 | (33827) | (138765) | (172592) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 720000 | (2706) | (6222) | (8928) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 6000000 | (22552) | (38562) | (61114) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2140000 | (8043) | (22154) | (30197) |
| CMBX AAA Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (0.5%) | Monthly |  | 499313 | 2662 | (4683) | (2021) |
| CMBX AAA Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 2796155 | 14907 | (24454) | (9547) |
| CMBX AAA Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 1997254 | 10648 | (3101) | 7547 |
| CMBX AAA Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 1797529 | 9583 | (2643) | 6940 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 200000 | (252) | 112 | (140) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 1700000 | (2139) | (3108) | (5247) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 4700000 | (5914) | 4477 | (1437) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 1100000 | (1384) | 3488 | 2104 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 6200000 | (7801) | 15481 | 7680 |
| Generali 4.125% 5/4/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1200000 | (4595) | 3140 | (1455) |
| Commerzbank AG 4% 12/5/2030 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1000000 | 5190 | (11388) | (6198) |
| Nomura Holdings Inc 2.172% 7/14/2028 |  | 6/2026 | Barclays Bank PLC | (1%) | Quarterly |  | 4619000 | 20032 | (17390) | 2642 |
| Societe Generale SA 5.25% 9/6/2032 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 900000 | (1051) | (11837) | (12888) |
| American Electric Power Co Inc 3.2% 11/13/2027 |  | 12/2029 | Bank of America NA | (1%) | Quarterly |  | 1267000 | (35319) | 28943 | (6376) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 900000 | 8463 | (14899) | (6436) |
| American Express Co 4.05% 5/3/2029 |  | 12/2029 | Goldman Sachs International | (1%) | Quarterly |  | 540000 | (14695) | 12527 | (2168) |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 1170000 | (285025) | 259982 | (25043) |
| CMBX AAA Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 3495194 | 1492 | 4866 | 6358 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 100000 | 16026 | (6524) | 9502 |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 600000 | 96153 | (87638) | 8515 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 200000 | 32051 | (28845) | 3206 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 150000 | 12057 | (10730) | 1327 |
| CMBX BBB- Series 19 Index |  | 12/2058 | JPMorgan Securities LLC | (3%) | Monthly |  | 600000 | 48228 | (45562) | 2666 |
| UniCredit SpA 5.375% 4/16/2034 |  | 12/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1050000 | (5422) | (6255) | (11677) |
| Allianz SE 2.121% 7/8/2050 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1500000 | (13766) | 16120 | 2354 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 10000 | 1674 | (2422) | (748) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 60000 | 10044 | (17317) | (7273) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 120000 | 20088 | (30364) | (10276) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 150000 | 25111 | (33061) | (7950) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 10000 | 1674 | (1613) | 61 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 100000 | 16740 | (15076) | 1664 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 40000 | 6696 | (6782) | (86) |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 500000 | 75568 | (73566) | 2002 |
| CMBX AAA Series 19 Index |  | 12/2058 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 3200000 | 1359 | 2243 | 3602 |
| BMW Finance NV 0.75% 7/13/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2000000 | (61511) | 46358 | (15153) |
| Bank of Nova Scotia/The 5.35% 12/7/2026 |  | 12/2026 | Citibank NA | (1%) | Quarterly |  | 1530000 | 12626 | (11701) | 925 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 300000 | 24117 | (11798) | 12319 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 400000 | 32156 | (14973) | 17183 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 200000 | 16078 | (7701) | 8377 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 200000 | 16078 | (7588) | 8490 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 100000 | 8039 | (3794) | 4245 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 900000 | 72350 | (32077) | 40273 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 200000 | 16078 | (9713) | 6365 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1100000 | 88428 | (115086) | (26658) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 8039 | (7307) | 732 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 500000 | 40194 | (40562) | (368) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 350000 | 28136 | (26633) | 1503 |
| Aviva PLC 6.125% 11/14/2036 |  | 12/2030 | Citibank NA | (1%) | Quarterly | EUR | 1150000 | 1100 | 300 | 1400 |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1000000 | (8105) | 2092 | (6013) |
| 5Y CDX NA HY Series 45 Index |  | 12/2030 | ICE | (5%) | Quarterly |  | 13733280 | 39944 | 0 | 39944 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 319328 | (537299) | (217971) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| Cote d'Ivoire Treasury Bill 6.125% 6/15/2033 | Ba2 | 6/2027 | Barclays Bank PLC | 1% | Quarterly |  | 3408000 | (733) | 5415 | 4682 |
| CMBX AAA Series 12 Index | NR | 8/2061 | JPMorgan Securities LLC | 0.5% | Monthly |  | 1000000 | 3454 | 4148 | 7602 |
| PacifiCorp 3.3% 3/15/2051 | A3 | 9/2027 | JPMorgan Chase Bank NA | 1.56197% | Monthly |  | 465000 | (338) | 37 | (301) |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 7030000 | 26423 | 153580 | 180003 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 10830000 | 40706 | 243318 | 284024 |
| Stellantis NV 0.625% 3/30/2027 | Baa3 | 6/2026 | Barclays Bank PLC | 1% | Quarterly | EUR | 1267000 | 6359 | (6041) | 318 |
| Petroleos Mexicanos 6.625% 6/15/2035 | B1 | 5/2026 | Goldman Sachs International | 4.75% | Monthly |  | 3760000 | 31642 | 0 | 31642 |
| Petroleos Mexicanos 6.625% 6/15/2035 | B1 | 3/2026 | Barclays Bank PLC | 1% | At Maturity |  | 3825000 | 6159 | (818) | 5341 |
| Petroleos Mexicanos 6.625% 6/15/2035 | B1 | 3/2026 | Barclays Bank PLC | 1% | At Maturity |  | 1360000 | 2190 | (316) | 1874 |
| Petroleos Mexicanos 6.625% 6/15/2035 | B1 | 3/2026 | Barclays Bank PLC | 1% | At Maturity |  | 1715000 | 2761 | (1330) | 1431 |
| State of Qatar 9.75% 6/15/2030 | Aa2 | 12/2026 | Barclays Bank PLC | 1% | Quarterly |  | 1585000 | 14688 | (12228) | 2460 |
| Wells Fargo & Co 5.198% 1/23/2030 | A1 | 6/2026 | JPMorgan Chase Bank NA | 1% | Quarterly |  | 2576000 | 11163 | (9849) | 1314 |
| Wells Fargo & Co 5.198% 1/23/2030 | A1 | 6/2026 | JPMorgan Chase Bank NA | 1% | Quarterly |  | 2956000 | 12810 | (11403) | 1407 |
| Altice France SA 4.75% 10/15/2030 | Caa1 | 6/2027 | JPMorgan Chase Bank NA | 5% | Quarterly | EUR | 57000 | 2720 | (1627) | 1093 |
| Altice France SA 4.75% 10/15/2030 | Caa1 | 6/2027 | Morgan Stanley & Co International PLC | 5% | Quarterly | EUR | 51000 | 2434 | (1648) | 786 |
| Siemens Financieringsmaatschappij NV 3.4% 3/16/2027 | Aa3 | 6/2026 | JPMorgan Chase Bank NA | 1% | Quarterly | EUR | 1301000 | 7345 | (6028) | 1317 |
| Siemens Financieringsmaatschappij NV 3.4% 3/16/2027 | Aa3 | 6/2026 | Goldman Sachs International | 1% | Quarterly | EUR | 2108000 | 11901 | (11055) | 846 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 299588 | (128) | 14 | (114) |
| SoftBank Group Corp 2.84% 12/14/2029 | NR | 6/2026 | Goldman Sachs International | 1% | Quarterly |  | 2630000 | (48) | 3876 | 3828 |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 3% | Monthly |  | 40000 | (6696) | 6103 | (593) |
| Barclays PLC 6.496% 9/13/2027 | Baa1 | 12/2026 | JPMorgan Chase Bank NA | 1% | Quarterly | EUR | 3371000 | 29775 | (29658) | 117 |
| Barclays PLC 6.496% 9/13/2027 | Baa1 | 12/2026 | Goldman Sachs International | 1% | Quarterly | EUR | 1918000 | 16941 | (16603) | 338 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 300000 | (3524) | 6459 | 2935 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 2400000 | (28194) | 57542 | 29348 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 600000 | (7049) | 14284 | 7235 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 300000 | (3524) | 7187 | 3663 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 900000 | (10573) | 23002 | 12429 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 400000 | (4699) | 7978 | 3279 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 900000 | (10573) | 18157 | 7584 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1700000 | (19971) | 34089 | 14118 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 600000 | (7049) | 9235 | 2186 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1000000 | (11748) | 15392 | 3644 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1800000 | (21146) | 23640 | 2494 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1500000 | (17622) | 18931 | 1309 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1900000 | (22321) | 24759 | 2438 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 2400000 | (28194) | 35404 | 7210 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 5700000 | (66962) | 87309 | 20347 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1300000 | (15272) | 31410 | 16138 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 200000 | (2350) | 5332 | 2982 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 3700000 | (43466) | 62323 | 18857 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1175) | 1686 | 511 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 1700000 | (19971) | 22114 | 2143 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 500000 | (5874) | 5603 | (271) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1175) | 915 | (260) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 1100000 | (12922) | 8389 | (4533) |
| Panamanian Republic 8.875% 9/30/2027 | Baa3 | 6/2026 | Citibank NA | 1% | Quarterly |  | 831000 | 3104 | (1827) | 1277 |
| Panamanian Republic 8.875% 9/30/2027 | Baa3 | 3/2026 | Citibank NA | 1% | At Maturity |  | 1012000 | 2297 | (630) | 1667 |
| TotalEnergies Capital SA 3.883% 10/11/2028 | Aa3 | 3/2026 | JPMorgan Chase Bank NA | 1% | At Maturity | EUR | 2913000 | 8328 | (3532) | 4796 |
| Italian Republic 1.25% 2/17/2026 | NR | 6/2026 | Barclays Bank PLC | 1% | Quarterly |  | 2045000 | 9962 | (8055) | 1907 |
| Italian Republic 1.25% 2/17/2026 | NR | 9/2026 | Barclays Bank PLC | 1% | Quarterly |  | 5973000 | 43092 | (38276) | 4816 |
| Colombian Republic 10.375% 1/28/2033 | Baa3 | 12/2026 | Barclays Bank PLC | 1% | Quarterly |  | 3026000 | 5123 | (9968) | (4845) |
| Slovak Republic 0.625% 5/22/2026 | A3 | 12/2027 | Barclays Bank PLC | 1% | Quarterly |  | 1115000 | 19178 | (17181) | 1997 |
| Deutsche Telekom AG 0.5% 7/5/2027 | A3 | 6/2026 | JPMorgan Chase Bank NA | 1% | Quarterly | EUR | 986000 | 5430 | (4455) | 975 |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | Goldman Sachs International | 5% | Quarterly | EUR | 227000 | 37113 | (33870) | 3243 |
| Morgan Stanley 7.25% 4/1/2032 | A1 | 6/2026 | JPMorgan Chase Bank NA | 1% | At Maturity |  | 2795000 | 11575 | (10520) | 1055 |
| AT&T Inc 3.8% 2/15/2027 | Baa2 | 12/2027 | ICE | 1% | Quarterly |  | 5900000 | 754 | 0 | 754 |
| 5Y CDX NA IG Series 44 Index | NR | 6/2030 | ICE | 1% | Quarterly |  | 66200000 | 549657 | 0 | 549657 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly |  | 242847000 | (468320) | 0 | (468320) |
| Morgan Stanley 7.25% 4/1/2032 | A1 | 6/2026 | ICE | 1% | Quarterly |  | 8400000 | (20117) | 0 | (20117) |
| Verizon Communications Inc 4.125% 3/16/2027 | Baa1 | 12/2029 | ICE | 1% | Quarterly |  | 7000000 | (4960) | 0 | (4960) |
| Boeing Co 5.15% 5/1/2030 | WR | 12/2030 | ICE | 1% | Quarterly |  | 9400000 | 6533 | 0 | 6533 |
| 5Y CDX NA HY Series 44 Index | NR | 6/2030 | ICE | 5% | Quarterly |  | 2079000 | 113871 | 0 | 113871 |
| Deutsche Bank AG 3 month EURIBOR + 0.5%, 0.02% 12/7/2020 | WR | 12/2030 | ICE | 1% | Quarterly | EUR | 21500000 | 106278 | 0 | 106278 |
| 5Y CDX NA HY Series 43 Index | NR | 12/2029 | ICE | 5% | Quarterly |  | 40986000 | 288577 | 0 | 288577 |
| Boeing Co 2.6% 10/30/2025 | WR | 12/2029 | ICE | 1% | Quarterly |  | 300000 | 11577 | 0 | 11577 |
| 5Y CDX NA IG Series 45 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 602530000 | (1148773) | 0 | (1148773) |
| 5Y CDX NA IG Series 45 Index | NR | 12/2030 | ICE | 1% | Quarterly |  | 239845000 | (355678) | 0 | (355678) |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (919225) | 700713 | (218512) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **(599897)** | **163414** | **(436483)** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(4)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(5)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 12/2034 |  | 14400000 | 202322 | 0 | 202322 |
| U.S. SOFR Index(4) | Annual | 3.69392% | Annual | CME | 4/2031 |  | 8625000 | (59887) | 0 | (59887) |
| ESTR Volume Weighted Trimmed Mean Rate Index(4) | Annual | 2.0628% | Annual | LCH | 10/2029 | EUR | 9300000 | (23888) | 0 | (23888) |
| ESTR Volume Weighted Trimmed Mean Rate Index(4) | Annual | 2.0563% | Annual | LCH | 10/2029 | EUR | 6100000 | (14285) | 0 | (14285) |
| U.S. SOFR Index(4) | Annual | 3.76473% | Annual | LCH | 12/2054 |  | 5900000 | 144362 | 0 | 144362 |
| U.S. SOFR Index(4) | Annual | 3.89548% | Annual | LCH | 11/2054 |  | 24961000 | 44534 | 0 | 44534 |
| 2.52% | Annual | 6M EURIBOR(4) | Semi-Annual | LCH | 3/2035 | EUR | 1600000 | (13670) | 0 | (13670) |
| U.S. SOFR Index(4) | Annual | 3.80662% | Annual | LCH | 2/2055 |  | 2500000 | 42447 | 0 | 42447 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | 6/2055 |  | 5000000 | 96503 | 0 | 96503 |
| U.S. SOFR Index(4) | Annual | 3.65471% | Annual | LCH | 2/2055 |  | 2300000 | 100123 | 0 | 100123 |
| U.S. SOFR Index(4) | Annual | 3.64159% | Annual | LCH | 2/2055 |  | 4500000 | 206212 | 0 | 206212 |
| 6M EURIBOR(4) | Semi-Annual | 2.4% | Annual | LCH | 4/2030 | EUR | 2500000 | (11742) | 0 | (11742) |
| 3.75% | Annual | U.S. SOFR Index(4) | Annual | LCH | 5/2035 |  | 3930000 | 81938 | 0 | 81938 |
| 13.32% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2029 | BRL | 11500000 | 13736 | 0 | 13736 |
| 13.2914% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2029 | BRL | 108900000 | 117129 | 0 | 117129 |
| 13.3537% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2029 | BRL | 15700000 | 21120 | 0 | 21120 |
| 2.429% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 4/2030 |  | 2137000 | (1421) | 0 | (1421) |
| 2.428% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 4/2030 |  | 4338110 | (2712) | 0 | (2712) |
| 13.4% | At Maturity | Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | CME | 1/2029 | BRL | 148200000 | 265785 | 0 | 265785 |
| Brazil CETIP Interbank Deposit Overnight Rate(4) | At Maturity | 13.0166% | At Maturity | CME | 1/2029 | BRL | 152300000 | (58635) | 0 | (58635) |
| 2.6315% | At Maturity | US CPI Urban Consumer NSA Index(4) | At Maturity | LCH | 9/2030 |  | 8928000 | (21651) | 0 | (21651) |
| 4.45% | Annual | SONIA(4) | Annual | LCH | 12/2055 | GBP | 1025900 | 14368 | 0 | 14368 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 |  | 317497000 | (734739) | 0 | (734739) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 |  | 6090000 | 287492 | 0 | 287492 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 |  | 5910000 | (5571) | 0 | (5571) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 |  | 82868000 | (507293) | 0 | (507293) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 |  | 165096000 | (1005979) | 0 | (1005979) |
| 6M EURIBOR(4) | Semi-Annual | 3% | Annual | LCH | 9/2056 | EUR | 850000 | (16951) | 0 | (16951) |
| U.S. SOFR Index(4) | Annual | 3.775% | Annual | LCH | 3/2036 |  | 7200000 | (148140) | 0 | (148140) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  |  | **(988493)** | **0** | **(988493)** |

---

(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CLP | - | Chilean Peso |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EGP | - | Egyptian Pound |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| MYR | - | Malaysian Ringgit |
| PEN | - | Peruvian New Sol |
| PLN | - | Polish Zloty |
| SGD | - | Singapore Dollar |
| THB | - | Thai Baht |
| TRY | - | New Turkish Lira |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Investment made with cash collateral received from securities on loan.

(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(d) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $86,065,274.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts and exchange-traded options. At period end, the value of securities pledged amounted to $40,612,059.

(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(h) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(i) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $8,064,394.

(j) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(k) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(l) Level 3 security.

(m) Non-income producing - Security is in default.

(n) Non-income producing.

(o) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $5,155,949,185 or 11.4% of net assets.

(p) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(q) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $399,755,501 or 0.9% of net assets.

(r) Zero coupon bond which is issued at a discount.

(s) Principal Only Strips represent the right to receive the monthly principal payments.

(t) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(u) Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date.

(v) Security is perpetual in nature with no stated maturity date.

(w) Security or a portion of the security is on loan at period end.

(x) Affiliated fund.

(y) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(z) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(Aa) The rate quoted is the annualized seven-day yield of the fund at period end.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** | **\* Repurchase Agreements** |
| **Counterparty** | **Lending Rate (%)** | **Settlement Date** | **Maturity Date** | **Repurchase Agreement**<br> **Value ($)** | **Repurchase Agreement Proceeds ($)** | **Collateralized By** | **Collateral Coupon (%)** | **Collateral Maturity Date** | **Collateral Value Received ($)** |
| Australia and New Zealand Banking Group | 3.69 | 2/2026 | 3/2026 | 200000000 | 200061500 | U.S. Treasuries (including strips) | 2.375 - 3.125 | 2/2042 - 8/2052 | 204714080 |
| BofA Securities, Inc. | 3.68 | 2/2026 | 3/2026 | 750000000 | 752013777 | U.S. Treasuries (including strips) | 1.25 - 4.25 | 2/2027 - 8/2031 | 766580527 |
| BofA Securities, Inc. | 3.69 | 2/2026 | 3/2026 | 100000000 | 100061500 | U.S. Treasuries (including strips) | 0.625 | 8/2030 | 102092354 |
| BofA Securities, Inc. | 3.70 | 2/2026 | 3/2026 | 298800000 | 298892130 | U.S. Treasuries (including strips) | 1.125 | 2/2031 | 305503698 |
| BofA Securities, Inc. | 3.73 | 2/2026 | 3/2026 | 75000000 | 75023313 | U.S. Treasuries (including strips) | 4.125 | 11/2029 | 76635491 |
| **Total Repurchase Agreements** |  |  |  | 1423800000 | 1426052220 |  |  |  | 1455526150 |

---

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 145266497 | 1598188239 | 1529840204 | 8359386 | 9324 | 1 | 213623857 | 213581140 | 0.3% |
| Fidelity Securities Lending Cash Central Fund | 181390075 | 3845322132 | 3957231140 | 655645 | 13684 | - | 69494751 | 69487803 | 0.2% |
| Total | 326656572 | 5443510371 | 5487071344 | 9015031 | 23008 | 1 | 283118608 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 8968650 | 2119934700 | 2094226155 | 9473203 | - | - | 34677195 | 34677195 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 349521367 | 1468648 | 339870497 | 1468690 | (169037600) | 158895699 | 977617 | 140060 |
| Fidelity SAI Total Bond Fund | 3263760840 | 144340517 | 361634572 | 144340118 | (29684366) | 84359758 | 3101142177 | 334535294 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 549138019 | 255054828 | 805209652 | 5030866 | 5378642 | (3332014) | 1029823 | 114680 |
| Fidelity U.S. Bond Index Fund | 222747313 | 732584566 | 567210832 | 7337685 | 5246376 | 4761253 | 398128676 | 37243094 |
|  | 4394136189 | 3253383259 | 4168151708 | 167650562 | (188096948) | 244684696 | 3535955488 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of February 28, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 2122988433 | - | 2120472219 | 2516214 |
|  **Bank Loan Obligations** |  |  |  |  |
| Communication Services | 2095417 | - | 2095417 | - |
| Consumer Discretionary | 10127045 | - | 10127045 | - |
| Consumer Staples | 2775616 | - | 2775616 | - |
| Energy | 162961 | - | 162961 | - |
| Financials | 6474969 | - | 6474969 | - |
| Health Care | 2945915 | - | 2897325 | 48590 |
| Industrials | 3568637 | - | 3278647 | 289990 |
| Information Technology | 7220428 | - | 7220428 | - |
| Materials | 2978855 | - | 2978855 | - |
| Real Estate | 445641 | - | - | 445641 |
| Utilities | 972326 | - | 972326 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 7442771 | - | 7442771 | - |
|  **Collateralized Mortgage Obligations** | 1041533858 | - | 1040670586 | 863272 |
|  **Commercial Mortgage Securities** | 1334893387 | - | 1332786079 | 2107308 |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 1715796 | - | - | 1715796 |
| Financials | 527497 | - | - | 527497 |
| Health Care | 494274 | - | - | 494274 |
| Industrials | 19803 | - | - | 19803 |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Consumer Staples | 933713 | - | 933713 | - |
| Real Estate | 121809 | - | 121809 | - |
|  **Fixed-Income Funds** | 20111296918 | 20111296918 | - | - |
|  **Foreign Government and Government Agency Obligations** | 482352544 | - | 482352544 | - |
|  **Municipal Securities** |  |  |  |  |
| Education | 20609302 | - | 20609302 | - |
| Electric Utilities | 1783757 | - | 1783757 | - |
| Escrowed/Pre-Refunded | 279626 | - | 279626 | - |
| General Obligations | 4378003 | - | 4378003 | - |
| Health Care | 1264408 | - | 1264408 | - |
| Industrial Development | 325706 | - | 325706 | - |
| Other | 7464342 | - | 7464342 | - |
| Special Tax | 11643845 | - | 11643845 | - |
| Tobacco Bonds | 65055 | - | 65055 | - |
| Transportation | 11768441 | - | 11768441 | - |
| Water & Sewer | 407318 | - | 407318 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 384362763 | - | 384356533 | 6230 |
| Consumer Discretionary | 339071491 | - | 338786435 | 285056 |
| Consumer Staples | 196574195 | - | 196574195 | - |
| Energy | 682491778 | - | 681099778 | 1392000 |
| Financials | 2477082839 | - | 2462515465 | 14567374 |
| Health Care | 445252297 | - | 445241146 | 11151 |
| Industrials | 322481404 | - | 322353113 | 128291 |
| Information Technology | 396730415 | - | 396730415 | - |
| Materials | 187369197 | - | 187369197 | - |
| Real Estate | 329777524 | - | 329659364 | 118160 |
| Utilities | 615046769 | - | 614558624 | 488145 |
|  **Non-Convertible Preferred Stocks** |  |  |  |  |
| Communication Services | 84659 | - | - | 84659 |
|  **Preferred Securities** |  |  |  |  |
| Communication Services | 252766 | - | 252766 | - |
| Consumer Discretionary | 1969583 | - | 1969583 | - |
| Energy | 15858345 | - | 15858345 | - |
| Financials | 42869510 | - | 42209510 | 660000 |
| Industrials | 731290 | - | 713615 | 17675 |
| Real Estate | 3398598 | - | 3398598 | - |
| Utilities | 10644651 | - | 10644651 | - |
|  **Repurchase Agreements** | 2110600000 | - | 2110600000 | - |
|  **U.S. Government Agency - Mortgage Securities** | 10733745406 | - | 10733745406 | - |
|  **U.S. Government Agency Obligations** |  |  |  |  |
| Financials | 17501734 | - | 17501734 | - |
| Utilities | 3642342 | - | 3642342 | - |
|  **Certificates of Deposit** | 160578 | - | 160578 | - |
|  **Commercial Paper** | 503333435 | - | 503333435 | - |
|  **U.S. Treasury Obligations** | 6507430481 | - | 6507430481 | - |
|  **Money Market Funds** | 774799074 | 774799074 | - | - |
|  **Purchased Swaptions** | 4747959 | - | 4747959 | - |
| **Total Investments in Securities:** | 52312089499 | 20886095992 | 31399206381 | 26787126 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 14526110 | 14526110 | - | - |
| Forward Foreign Currency Contracts | 12318991 | - | 12318991 | - |
| Swaps | 3942459 | - | 3942459 | - |
| Total Assets | 30787560 | 14526110 | 16261450 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (1291633) | (1291633) | - | - |
| Forward Foreign Currency Contracts | (11304185) | - | (11304185) | - |
| Swaps | (5530849) | - | (5530849) | - |
| Written Swaptions | (1590420) | - | (1590420) | - |
| Written Options | (306981) | (236094) | (70887) | - |
| Total Liabilities | (20024068) | (1527727) | (18496341) | - |
| **Total Derivative Instruments:** | 10763492 | 12998383 | (2234891) | - |
| **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (3069426945) | - | (3069426945) | - |
| **Total Other Financial Instruments:** | (3069426945) | - | (3069426945) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)(b)  | 2304388 | (2904285) |
| Written Swaptions (c)  | - | (34839) |
| **Total Credit Risk**  | 2304388 | (2939124) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (d)  | 12318991 | (11304185) |
| Written Options (c)  | - | (70887) |
| **Total Foreign Exchange Risk**  | 12318991 | (11375072) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (e)  | 14526110 | (1291633) |
| Purchased Swaptions (f)  | 4747959 | - |
| Swaps (a)  | 1638071 | (2626564) |
| Written Options (c)  | - | (236094) |
| Written Swaptions (c)  | - | (1555581) |
| **Total Interest Rate Risk**  | 20912140 | (5709872) |
| **Total Value of Derivatives** | 35535519 | (20024068) |

---

(a)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

(d)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(e)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(f)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of February 28, 2026** | **As of February 28, 2026** | **As of February 28, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $68,193,883 and repurchase agreements of $2,110,600,000) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $49,044,473,511) | $48493015403 |  |
| Fidelity Central Funds (cost $283,114,962) | 283118608 |  |
| Other affiliated issuers (cost $3,736,362,309) | 3535955488 |  |
| Total Investment in Securities (cost $53,063,950,782) |  | $52312089499 |
| Segregated cash with brokers for derivative instruments |  | 33531839 |
| Cash |  | 13026514 |
| Foreign currency held at value (cost $7,910,139) |  | 7876999 |
| Receivable for investments sold |  | 539221868 |
| Receivable for TBA sale commitments |  | 3055932214 |
| Unrealized appreciation on forward foreign currency contracts |  | 12318991 |
| Receivable for fund shares sold |  | 27142302 |
| Dividends receivable |  | 7050448 |
| Interest receivable |  | 164814444 |
| Distributions receivable from Fidelity Central Funds |  | 623824 |
| Receivable for daily variation margin on futures contracts |  | 8164640 |
| Receivable for daily variation margin on centrally cleared swaps |  | 49098 |
| Bi-lateral OTC swaps, at value |  | 1187197 |
| Segregated cash with brokers for repurchase agreements  |  | 851000 |
| Other receivables |  | 535333 |
| **Total assets** |  | 56184416210 |
| **Liabilities** |  |  |
| Segregated cash from brokers for derivative instruments | $10374000 |  |
| Payable for investments purchased |  |  |
| Regular delivery | 1357292198 |  |
| Delayed delivery | 6518407073 |  |
| TBA sale commitments, at value | 3069426945 |  |
| Unrealized depreciation on forward foreign currency contracts | 11304185 |  |
| Payable for swaps | 72195 |  |
| Payable for fund shares redeemed | 30816669 |  |
| Distributions payable | 559527 |  |
| Bi-lateral OTC swaps, at value | 906437 |  |
| Accrued management fee | 2089857 |  |
| Payable for daily variation margin on centrally cleared swaps | 4214061 |  |
| Written options, at value (premium received $1,664,188) | 1897401 |  |
| Segregated cash from brokers for mortgage/asset-backed securities | 18998007 |  |
| Other payables and accrued expenses | 734995 |  |
| Collateral on securities loaned | 69481068 |  |
| **Total liabilities** |  | 11096574618 |
| **Net Assets**  |  | $45087841592 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $51157933348 |
| Total accumulated earnings (loss) |  | (6070091756) |
| **Net Assets** |  | $45087841592 |
| **Net Asset Value**, offering price and redemption price per share ($45,087,841,592 ÷ 4,799,248,941 shares) |  | $9.39 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** | <br> **Year ended February 28, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $776421506 |
| Affiliated issuers |  | 167650562 |
| Interest  |  | 1119957172 |
| Income from Fidelity Central Funds (including $655,645 from security lending)  |  | 9015031 |
| **Total income** |  | 2073044271 |
| **Expenses** |  |  |
| Management fee | $133315183 |  |
| Custodian fees and expenses | 467146 |  |
| Independent trustees' fees and expenses | 200533 |  |
| Registration fees | 342389 |  |
| Audit fees | 76097 |  |
| Legal | 42832 |  |
| Miscellaneous | 292400 |  |
| Total expenses before reductions | 134736580 |  |
| Expense reductions | (108785754) |  |
| Total expenses after reductions |  | 25950826 |
| **Net Investment income (loss)** |  | 2047093445 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 56255755 |  |
| Fidelity Central Funds | 23008 |  |
| Other affiliated issuers | (188096948) |  |
| Forward foreign currency contracts | (51586712) |  |
| Foreign currency transactions | 3560863 |  |
| Futures contracts | 45744503 |  |
| Swaps | (2963272) |  |
| Written options | 7505508 |  |
| Total net realized gain (loss) |  | (129557295) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 875707035 |  |
| Fidelity Central Funds  | 1 |  |
| Other affiliated issuers  | 244684696 |  |
| Forward foreign currency contracts | (2105499) |  |
| Assets and liabilities in foreign currencies | 369985 |  |
| Futures contracts | (12813521) |  |
| Swaps | (2936669) |  |
| Written options | 17555 |  |
| TBA sale commitments | 13574467 |  |
| Total change in net unrealized appreciation (depreciation) |  | 1116498050 |
| **Net gain (loss)** |  | 986940755 |
| **Net increase (decrease) in net assets resulting from operations** |  | $3034034200 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **February 28, 2026** | **Year ended**<br> **February 28, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $2047093445 | $2031499365 |
| &nbsp;&nbsp;Net realized gain (loss) | (129557295)<br>| (2377198440)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1116498050 | 3164283020<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 3034034200<br>| 2818583945<br>|
| Distributions to shareholders | (1986397098)<br>| (1958249939)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 11149079914 | 7580241319 |
| Reinvestment of distributions | 1979026197<br>| 1926489599<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (10834659196) | (14955861824) |
| **Net increase (decrease) in net assets resulting from share transactions** | 2293446915<br>| (5449130906)<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 3341084017<br>| (4588796900)<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 41746757575 | 46335554475<br>|
| &nbsp;&nbsp;End of period | $45087841592 | $41746757575 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 1216146529 | 832933228 |
| Issued in reinvestment of distributions | 214358310<br>| 212241228<br>|
| &nbsp;&nbsp;Redeemed | (1176147442) | (1644290957) |
| &nbsp;&nbsp;Net increase (decrease) | 254357397 | (599116501) |

---

**Financial Highlights** 

**Strategic Advisers® Core Income Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended February 28,** | **2026**  | **2025**  | **2024** A  | **2023**  | **2022**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $9.19 | $9.01 | $9.04 | $10.42 | $10.98 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) B,C | .434  | .424  | .375  | .331  | .250  |
| Net realized and unrealized gain (loss)  | .187  | .165  | (.041)  | (1.382)  | (.468)  |
| Total from investment operations  | .621  | .589  | .334  | (1.051)  | (.218)  |
| Distributions from net investment income  | (.421)  | (.409)  | (.364)  | (.329)  | (.252)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (.090)  |
| Total distributions  | (.421)  | (.409)  | (.364)  | (.329)  | (.342)  |
| Net asset value, end of period  | $9.39 | $9.19 | $9.01 | $9.04 | $10.42 |
| **Total Return** D | 6.94% <br>| 6.69%  | 3.78%  | (10.12)%  | (2.06)%  |
| **Ratios to Average Net Assets** C,E,F |  |  |  |  |  |
| Expenses before reductions  | .31%  | .30%  | .28%  | .28%  | .28%  |
| Expenses net of fee waivers, if any  | .06% <br>| .05%  | .03%  | .03%  | .03%  |
| Expenses net of all reductions, if any  | .06%  | .05%  | .03%  | .03%  | .03%  |
| Net investment income (loss)  | 4.72%  | 4.67%  | 4.17%  | 3.53%  | 2.31%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $45087842 | $41746758 | $46335554 | $49430652 | $46082556 |
| Portfolio turnover rate G | 211% <br>| 181%  | 112%  | 116%  | 110%  |

---

A*For the year ended February 29.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

E*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

F*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended February 28, 2026

**1. Organization.**

Strategic Advisers Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 28, 2026 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest receivable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of February 28, 2026, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures and options transactions, defaulted bonds, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, certain losses associated with deflation adjustments on U.S. treasury inflation indexed securities, partnerships, capital loss carryforwards and losses deferred due to wash sales and offsetting positions.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $1035226642 |
| **Gross unrealized depreciation**  | <u>(1794008689)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(758782047)</u> |
| **Tax Cost**  | <u>$53023916567</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$12995771</u> |
| **Capital loss carryforward**  | <u>$(5297163482)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(785924049)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(645174210) |
| Long-term | <u>(4651989272)</u> |
| **Total capital loss carryforward** | <u>$(5297163482)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **February 28, 2026** | **February 28, 2025** |
| **Ordinary Income**  | $1986397098 | $1958249939 |

---

**Repurchase Agreements.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. A fund realizes a gain or loss on settlement, either through the acquisition of an offsetting TBA purchase commitment on or before the sale commitment date, or by delivery of the securities under the commitment.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**Loans and Other Direct Debt Instruments.** Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Strategic Advisers Core Income Fund** |  |  |
| **Credit Risk** |  |  |
| Written Options | 160233 | (6459) |
| Swaps | <u>(4021970)</u> | <u>(4247846)</u> |
| **Total Credit Risk** | <u>(3861737)</u> | <u>(4254305)</u> |
| **Foreign Exchange Risk** |  |  |
| Written Options | 12586 | 30189 |
| Purchased Options | (1115730) | (7180) |
| Forward Foreign Currency Contracts | <u>(51586712)</u> | <u>(2105499)</u> |
| **Total Foreign Exchange Risk** | <u>(52689856)</u> | <u>(2082490)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | 45744503 | (12813521) |
| Purchased Options | (2074559) | (1105059) |
| Written Options | 7332689 | (6175) |
| Swaps | <u>1058698</u> | <u>1311177</u> |
| **Total Interest Rate Risk** | <u>52061331</u> | <u>(12613578)</u> |
| Totals | <u>(4490262)</u> | <u>(18950373)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates and potential credit events.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Interest Rate Swaps.** Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency. A fund enters into total return swaps to manage its market exposure.

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Strategic Advisers Core Income Fund** | 67200756458 | 66491570921 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee**. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

**Sub-Advisers.** BlackRock Investment Management, LLC, FIAM LLC (an affiliate of the investment adviser), J.P. Morgan Investment Management, Inc., Pacific Investment Management Company LLC, PGIM, Inc. and TCW Investment Management LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.

**Deferred Trustee Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

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| | |
|:---|:---|
| **Strategic Advisers Core Income Fund** | $511602 |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Core Income Fund** | 247 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**6. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2027 unless extended or renewed.

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Strategic Advisers Core Income Fund** | 56358 |

---

Effective March 24, 2026 the .10% spread adjustment on the SOFR benchmark was removed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral or, for non-cash collateral, loan fees received from the borrower as compensation for the securities loaned, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations in security lending. Affiliated security lending activity, if any, was as follows:

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| | |
|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** |
| **Strategic Advisers Core Income Fund** | 71194 |

---

**9. Expense Reductions.** 

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2028. During the period, this waiver reduced the Fund's management fee by $108,564,952.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $220,802.

**10. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.

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| | |
|:---|:---|
| **Fund**  | **Strategic Advisers Core Income Fund** |
| **Fidelity SAI Total Bond Fund** | 14% |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Core Income Fund

***Opinion on the Financial Statements***

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 28, 2026, the related statement of operations for the year ended February 28, 2026, the statement of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2026 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2026, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2026 and the financial highlights for each of the five years in the period ended February 28, 2026 in conformity with accounting principles generally accepted in the United States of America.

***Basis for Opinion***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian, issuers of privately offered securities, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

April 17, 2026

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 21.62% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,203,009,078 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in the first quarter of 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Strategic Advisers Core Income Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with BlackRock Investment Management, LLC, FIAM LLC, J.P. Morgan Investment Management Inc., PGIM, Inc., Pacific Investment Management Company LLC, and TCW Investment Management Company LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with BlackRock International Limited, BlackRock (Singapore) Limited, FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and PGIM Limited (each a Sub-Sub-Adviser and collectively, the Sub-Sub-Advisers) (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers and Sub-Sub-Advisers, as applicable, are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.

At its September 2025 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year, and the factors may have been weighed differently by different Trustees.

The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.

**Nature, Extent, and Quality of Services Provided**. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management.

<u>Investment Performance</u>. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Fund Expenses**. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board noted that the Sub-Sub-Advisers are compensated by the applicable Sub-Advisers and the Fund and Strategic Advisers are not responsible for any such fees or expenses. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Wealth Services managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, and custodial, legal, and audit fees.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar Categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the funds and classes in the total peer group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the total peer group that are similar in size to the fund (referred to as the "asset-sized peer group"); (iii) total expense comparisons of the fund relative to the total peer group; and (iv) total expense comparisons (excluding performance adjustments and fund-paid 12b-1 fees) of the fund relative to the asset-sized peer group. The asset-sized peer group comparisons exclude performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total peer group for the 12-month period ended December 31, 2024 and below the competitive median of the asset-sized peer group for the 12-month period ended December 31, 2024.

<u>Fees Charged to Other Clients</u>. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

**Possible Economies of Scale**. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and Sub-Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

**Board Approval of Amended Sub-Advisory Agreements** 

**Strategic Advisers Core Income Fund**

In December 2025, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) an amendment to the existing sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), FIAM LLC (FIAM), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund to add a new investment mandate (Amended FIAM Agreement), and (ii) amendments to the fee schedules in the existing sub-advisory agreements among (a) Strategic Advisers, J.P. Morgan Investment Management Inc. (JPMIM), and the Trust on behalf of the fund (Amended JPMIM Agreement), Strategic Advisers, BlackRock Investment Management, LLC (BlackRock), and the Trust on behalf of the Fund (Amended BlackRock Agreement), and (c) Strategic Advisers, PGIM, Inc. (PGIM and together with FIAM, BlackRock and JPMIM, the Sub-Advisers), and the Trust on behalf of the fund (Amended PGIM Agreement and together with the Amended FIAM Agreement, Amended BlackRock Agreement and the Amended JPMIM Agreement, the Amended Agreements). The Board noted that the updated fee schedules in the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Agreements. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

In considering whether to approve each Amended Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each Amended Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve each Amended Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

**Nature, Extent, and Quality of Services Provided**. With respect to the new FIAM mandate, the Board considered the backgrounds of the investment personnel that will provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund.

With respect to the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement, the Board also considered that it reviewed this information regarding JPMIM, BlackRock, and PGIM in connection with the Board's annual renewal of the sub-advisory contracts at its September 2025 meeting.

With respect to the new FIAM mandate, the Board noted its familiarity with the nature, extent and quality of services provided by FIAM to the fund with different investment mandates, and that many of the same support staff, including compliance personnel, that currently provide services to the fund will also provide services to the fund for the new FIAM mandate. The Board also took into consideration additional information regarding the investment mandate provided by Strategic Advisers and FIAM.

<u>Resources Dedicated to Investment Management and Support Services</u>. With respect to the new FIAM mandate, the Board reviewed the general qualifications and capabilities of FIAM's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that FIAM's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered FIAM's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process, and its investment in business continuity planning.

With respect to the updated fee schedules, the Board noted that it had approved the existing sub-advisory agreements with JPMIM, BlackRock, and PGIM at its September 2025 meeting and that the Amended Agreements will not result in any changes to: (i) the nature, extent and quality of the services provided; (ii) the fund's investment processes or strategies; or (iii) the persons primarily responsible for the day-to-day management of the fund.

<u>Shareholder and Administrative Services</u>. With respect to the new FIAM mandate, the Board considered (i) the nature, extent, quality, and cost of advisory services to be performed by FIAM under the Amended FIAM Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.

<u>Investment Performance</u>. With respect to the new FIAM mandate, the Board considered the hypothetical performance of the investment mandate to be used by FIAM. With respect to the updated fee schedules, the Board did not consider performance to be a material factor in its decision to approve the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement because the approval of the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement will not result in any changes to: (i) the fund's investment processes or strategies; or (ii) the persons primarily responsible for the day-to-day management of the fund.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Agreement should benefit or continue to benefit the fund's shareholders.

**Competitiveness of Management Fee and Total Fund Expenses**. With respect to the new FIAM mandate, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to FIAM, as well as the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring FIAM for the new mandate.

The Board noted that each Amended Agreement will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee.

With respect to the new FIAM mandate, the Board considered that the approval of the Amended FIAM Agreement will not initially result in any changes to the fund's management fee or total net expenses because Strategic Advisers does not expect to allocate assets to the new mandate at this time. With respect to each of the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement, the total management fee rate is expected to decrease slightly.

Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

**Costs of the Services and Profitability**. Because each Amended Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve each Amended Agreement.

**Potential Fall-Out Benefits**. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of each Amended Agreement will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.

**Possible Economies of Scale**. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Amended FIAM Agreement (with respect to the new mandate) will provide and the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement will continue to provide for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the Sub-Adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended JPMIM Agreement, the Amended BlackRock Agreement, and the Amended PGIM Agreement because the fund will not bear any additional expenses under each such agreement.

**Conclusion**. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each Amended Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each Amended Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each Amended Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

![](img126036_4.jpg)<br>

1.912891.115 SSC-ANN-0426

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH](code.htm) .

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](formex99.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](formex99.906.htm) .

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Rutland Square Trust II

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; April 22, 2026 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically** 

**Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within their area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

**VI. Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others) and are not part of this Code.

**VII. Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

**VIII. Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

2023

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<u>Exhibit EX-99.CERT</u>

I, Heather Bonner, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

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I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

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## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Rutland Square Trust II (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: April 22, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>