T. Rowe Price Short-Term Bond Fund 03/31/2020

(Unaudited)

Portfolio of Investments

Investments in Securities Coupon % Maturity Shares/Par Value ($) % of Net Assets

AbbVie 2.6 11/21/24 20,100,000 20,118,532 0.398%

AbbVie 2.9 11/6/22 12,900,000 13,074,692 0.259%

AbbVie 3.2 11/6/22 1,385,000 1,419,077 0.028%

AbbVie 2.3 5/14/21 8,275,000 8,270,474 0.164%

Abn Amro Bank 2.21 8/27/21 13,715,000 13,269,290 0.263%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.63 10/30/20 1,630,000 1,589,229 0.031%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45 12/16/21 7,510,000 6,738,888 0.133%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.95 2/1/22 10,295,000 8,967,635 0.178%

Aia 1.64 9/20/21 10,770,000 10,621,913 0.210%

AIG Global Funding 3.35 6/25/21 5,320,000 5,359,395 0.106%

Air Lease 3.5 1/15/22 4,755,000 4,327,050 0.086%

Air Lease 2.25 1/15/23 5,935,000 5,015,075 0.099%

Air Lease 2.5 3/1/21 2,110,000 1,920,100 0.038%

Aker BP 3 1/15/25 7,265,000 5,757,513 0.114%

Allegro CLO III 2.63 7/25/27 3,090,817 3,046,693 0.060%

Allergan Finance 3.25 10/1/22 1,335,000 1,334,498 0.026%

Allergan Funding SCS 3.45 3/15/22 4,399,000 4,392,226 0.087%

Ally Auto Receivables Trust 2017-2 2.93 11/15/23 1,700,000 1,696,406 0.034%

Ally Auto Receivables Trust 2017-2 2.46 9/15/22 1,225,000 1,220,359 0.024%

Ally Master Owner Trust 3.29 5/15/23 15,760,000 15,916,344 0.315%

Altria 3.49 2/14/22 4,210,000 4,273,613 0.085%

Altria 3.8 2/14/24 10,770,000 10,843,301 0.215%

American Airlines 2017-2 Class B Pass Through Trust 3.7 10/15/25 5,628,741 5,009,579 0.099%

American Campus Communities Operating Partnership 3.75 4/15/23 6,705,000 6,734,113 0.133%

American Electric Power 3.65 12/1/21 1,500,000 1,455,465 0.029%

American Express 3 2/22/21 9,080,000 9,055,457 0.179%

American International 6.4 12/15/20 5,200,000 5,343,827 0.106%

American International 4.88 6/1/22 5,637,000 5,827,204 0.115%

AmeriCredit Automobile Receivables Trust 2016-3 2.71 9/8/22 10,015,000 9,636,679 0.191%

AmeriCredit Automobile Receivables Trust 2017-1 3.13 1/18/23 15,265,000 15,062,409 0.298%

AmeriCredit Automobile Receivables Trust 2017-1 2.71 8/18/22 4,115,000 4,086,178 0.081%

AmeriCredit Automobile Receivables Trust 2017-2 3.42 4/18/23 4,910,000 4,887,986 0.097%

AmeriCredit Automobile Receivables Trust 2017-3 2.24 6/19/23 3,185,000 3,160,103 0.063%

AmeriCredit Automobile Receivables Trust 2017-3 2.69 6/19/23 3,385,000 3,354,045 0.066%

AmeriCredit Automobile Receivables Trust 2017-3 3.18 7/18/23 11,521,000 11,435,408 0.227%

AmeriCredit Automobile Receivables Trust 2020-1 1.59 10/20/25 5,255,000 4,903,526 0.097%

AmeriCredit Automobile Receivables Trust 2020-1 1.8 12/18/25 5,065,000 4,714,863 0.093%

AmerisourceBergen 3.5 11/15/21 5,125,000 5,161,377 0.102%

Amphenol 2.05 3/1/25 6,720,000 6,402,809 0.127%

Angel Oak Mortgage Trust I LLC 2019-2 3.63 3/25/49 6,085,998 6,128,477 0.121%

Angel Oak Mortgage Trust I LLC 2019-2 4.07 3/25/49 4,490,000 4,224,890 0.084%

Anglo American Capital 3.75 4/10/22 3,003,000 2,954,201 0.059%

Anglo American Capital 4.13 9/27/22 3,646,000 3,577,638 0.071%

Anthem 2.5 11/21/20 4,545,000 4,529,929 0.090%

Aon 2.2 11/15/22 3,010,000 2,980,312 0.059%

Aon 5 9/30/20 1,075,000 1,089,074 0.022%

Aon PLC/UK 2.8 3/15/21 13,495,000 13,309,444 0.264%

Apple 2.4 5/3/23 12,870,000 13,362,329 0.265%

Applebee S Funding Llc / Ihop Funding 4.19 6/7/49 5,010,000 4,556,595 0.090%

Ari Fleet Lease Trust 2017 1.91 4/15/26 196,738 196,347 0.004%

Ari Fleet Lease Trust 2018 2.55 10/15/26 2,332,638 2,325,759 0.046%

Ascentium Equipment Receivables 2017-1 Trust 2.29 6/10/21 876,583 873,094 0.017%

Atrium Hotel Portfolio Trust 2017-ATRM 1.63 12/15/36 13,085,000 12,118,344 0.240%

AutoZone 3.63 4/15/25 3,600,000 3,654,889 0.072%

Avis Budget Rental Car Funding AESOP 2.63 12/20/21 10,093,000 10,002,823 0.198%

Avis Budget Rental Car Funding AESOP 3.7 3/20/23 1,960,000 1,923,128 0.038%

Avis Budget Rental Car Funding AESOP 4.95 3/20/25 3,155,000 2,048,136 0.041%

Avis Budget Rental Car Funding AESOP 2.5 7/20/21 3,346,667 3,340,666 0.066%

Avis Budget Rental Car Funding AESOP 2.33 8/20/26 3,950,000 3,477,512 0.069%

Avis Budget Rental Car Funding AESOP 3.41 9/20/23 4,535,000 4,407,622 0.087%

Avis Budget Rental Car Funding AESOP 3.35 9/22/25 7,360,000 6,961,184 0.138%

Avis Budget Rental Car Funding AESOP 3.55 9/22/25 4,265,000 4,003,024 0.079%

Avnet 3.75 12/1/21 6,614,000 6,740,155 0.134%

Avolon Holdings Funding 2.88 2/15/25 7,180,000 5,465,775 0.108%

Avolon Holdings Funding 3.63 5/1/22 11,115,000 9,915,780 0.196%

Page 1 of 15

Avolon Holdings Funding 3.95 7/1/24 2,230,000 1,789,575 0.035%

Axiata SPV2 3.47 11/19/20 5,710,000 5,719,793 0.113%

Baidu 3.5 11/28/22 5,706,000 5,810,442 0.115%

Baidu 2.88 7/6/22 6,676,000 6,679,518 0.132%

Baker Hughes a GE Co LLC / Baker Hughes Co-Obligor 2.77 12/15/22 2,361,000 2,240,060 0.044%

BAMLL Commercial Mortgage Securities Trust 2018-DSNY 1.55 9/15/34 8,180,000 6,954,523 0.138%

Banco del Estado de Chile 2.7 1/9/25 4,585,000 4,288,167 0.085%

Banco Santander 2.97 4/12/23 6,400,000 6,059,059 0.120%

Banco Santander Chile 2.5 12/15/20 13,710,000 13,726,452 0.272%

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 4.13 11/9/22 7,750,000 7,571,750 0.150%

Bank 2019-BNK19 2.26 8/15/61 3,467,480 3,464,259 0.069%

BANK 2019-BNK24 2.06 11/15/62 3,921,999 3,916,957 0.078%

Bank of America 2.5 10/21/22 5,545,000 5,593,585 0.111%

Bank of America 2.98 1/20/23 12,500,000 11,680,725 0.231%

Bank of America 2.19 1/23/22 6,470,000 6,156,994 0.122%

Bank of America 2.63 4/19/21 7,010,000 7,053,904 0.140%

Bank of America 1.87 6/25/22 6,690,000 6,530,852 0.129%

Bank of Montreal 2.31 4/13/21 8,510,000 8,201,257 0.162%

Banque Federative Du Credit Mutuel 2.13 11/21/22 10,350,000 10,065,375 0.199%

Barclays 3.46 1/10/23 7,520,000 7,219,726 0.143%

Barclays Bank 2.65 1/11/21 7,025,000 7,073,690 0.140%

Barings CLO Ltd 2013-I 2.62 1/20/28 12,115,000 11,772,171 0.233%

BAT Capital 2.76 8/15/22 25,800,000 25,354,847 0.502%

Baxalta 3.6 6/23/22 2,150,000 2,253,740 0.045%

Bayer US Finance II 3.5 6/25/21 5,520,000 5,532,381 0.110%

Bayer US Finance II 1.85 6/25/21 10,390,000 10,052,751 0.199%

Bayview Mortgage Fund IVc Trust 2017-RT3 3.5 1/28/58 8,819,063 8,654,191 0.171%

Bayview Opportunity Master Fund IVa Trust 2017-SPL5 3.5 6/28/57 7,680,576 7,509,643 0.149%

Bayview Opportunity Master Fund IVb Trust 2017-SPL4 3.5 1/28/55 2,684,414 2,662,176 0.053%

Becton Dickinson And 2.25 12/29/20 3,315,000 3,203,109 0.063%

Becton Dickinson And 2.4 6/5/20 9,600,000 9,570,922 0.190%

Becton Dickinson And 2.89 6/6/22 13,155,000 13,159,867 0.261%

Biogen 2.9 9/15/20 5,535,000 5,541,066 0.110%

BlueMountain CLO 2015-2 2.75 7/18/27 13,490,000 13,206,949 0.262%

BMW US Capital 2.26 4/12/21 9,105,000 8,859,156 0.175%

BMW US Capital 2.21 8/13/21 7,305,000 7,005,495 0.139%

BOEING CO 4/2 144A CP 2.15 11/16/20 11,120,000 10,711,494 0.212%

BOEING CO 4/2 144A CP 2.3 11/4/20 11,450,000 11,047,157 0.219%

Boral Finance Pty 3 11/1/22 1,070,000 1,079,814 0.021%

Bpce 2.9 5/22/22 4,865,000 4,800,583 0.095%

Bre Grand Islander Timeshare Issuer 2019 3.28 9/26/33 2,658,041 2,624,656 0.052%

Bristol-Myers Squibb 2.75 2/15/23 5,120,000 5,200,881 0.103%

Bristol-Myers Squibb 2.88 2/19/21 9,440,000 9,508,459 0.188%

Bristol-Myers Squibb 3.25 2/20/23 1,570,000 1,614,775 0.032%

Bristol-Myers Squibb 3.63 5/15/24 1,375,000 1,456,560 0.029%

Bristol-Myers Squibb 2.6 5/16/22 3,380,000 3,448,753 0.068%

Bristol-Myers Squibb 2.9 7/26/24 7,060,000 7,410,804 0.147%

Bristol-Myers Squibb 2.88 8/15/20 16,621,000 16,680,071 0.330%

Bristol-Myers Squibb 3.55 8/15/22 4,988,000 5,166,037 0.102%

Brixmor Operating Partnership 3.88 8/15/22 1,410,000 1,338,949 0.027%

Broadcom Corp / Broadcom Cayman Finance 3 1/15/22 13,070,000 12,943,809 0.256%

Bunge Ltd Finance 3.5 11/24/20 20,680,000 20,871,642 0.413%

Bunge Ltd Finance 4.35 3/15/24 940,000 968,558 0.019%

Bunge Ltd Finance 3 9/25/22 21,037,000 20,742,440 0.411%

BX Commercial Mortgage Trust 2020-BXLP 1.82 12/15/36 5,730,000 5,156,272 0.102%

BX Commercial Mortgage Trust 2020-BXLP 1.95 12/15/36 5,520,000 4,912,050 0.097%

BX Trust 2018-GW 1.5 5/15/35 11,837,000 10,441,293 0.207%

Capital Auto Receivables Asset Trust 2017-1 2.43 5/20/22 1,235,000 1,222,112 0.024%

Capital Auto Receivables Asset Trust 2017-1 2.7 9/20/22 1,865,000 1,841,122 0.036%

Capital Auto Receivables Asset Trust 2018-1 3.36 11/21/22 15,835,000 15,658,468 0.310%

Capital Auto Receivables Asset Trust 2018-1 3.7 6/20/25 15,125,000 14,979,930 0.297%

Capital Auto Receivables Asset Trust 2018-2 3.48 10/20/23 3,020,000 3,019,500 0.060%

Capital Auto Receivables Asset Trust 2018-2 3.69 12/20/23 3,810,000 3,816,299 0.076%

Capital One Financial 2.4 10/30/20 4,815,000 4,802,963 0.095%

Capital One Financial 3.9 1/29/24 4,115,000 4,184,934 0.083%

Capital One Financial 3.2 1/30/23 5,589,000 5,533,468 0.110%

Capital One Financial 2.5 5/12/20 3,115,000 3,115,000 0.062%

Capital One Financial 3.5 6/15/23 4,030,000 4,014,396 0.080%

Capital One NA 2.25 9/13/21 1,788,000 1,753,370 0.035%

Capital One NA 2.15 9/6/22 8,840,000 8,618,249 0.171%

Cardinal Health 3.5 11/15/24 6,185,000 6,366,456 0.126%

Cardinal Health 3.2 3/15/23 5,250,000 5,234,219 0.104%

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Cardinal Health 2.62 6/15/22 1,650,000 1,645,220 0.033%

Cardinal Health 3.08 6/15/24 5,115,000 5,072,740 0.100%

Carlyle Global Market Strategies CLO 2015-3 2.8 7/28/28 13,980,000 13,561,022 0.269%

CarMax Auto Owner Trust 2017-4 2.7 10/16/23 1,685,000 1,670,263 0.033%

Carmax Auto Owner Trust 2020-1 2.34 11/17/25 2,965,000 2,956,317 0.059%

Carrier Global 2.24 2/15/25 13,725,000 13,239,506 0.262%

Caterpillar Financial Services 2.95 2/26/22 8,635,000 8,785,413 0.174%

Caterpillar Financial Services 1.28 9/7/21 5,130,000 5,049,264 0.100%

Cenovus Energy 3 8/15/22 9,143,000 6,537,245 0.129%

CenterPoint Energy 3.6 11/1/21 3,885,000 3,876,445 0.077%

CenterPoint Energy Resources 4.5 1/15/21 460,000 463,784 0.009%

CGDB Commercial Mortgage Trust 2019-MOB 2.35 11/15/36 10,831,000 8,809,001 0.174%

Charles Schwab 4.2 3/24/25 6,770,000 7,141,470 0.141%

Charles Schwab 2.02 5/21/21 8,405,000 8,259,333 0.164%

Charter Communications Operating LLC / Charter Communications Operating Capital 3.58 7/23/20 11,275,000 11,257,411 0.223%

Charter Communications Operating LLC / Charter Communications Operating Capital 4.46 7/23/22 28,425,000 29,374,395 0.582%

Charter Communications Operating LLC / Charter Communications Operating Capital 4.91 7/23/25 15,510,000 16,426,191 0.325%

CIFC Funding 2015-V 2.65 10/25/27 7,495,000 7,349,104 0.146%

Cigna 3.9 2/15/22 4,130,000 4,263,742 0.084%

Cigna 3.75 7/15/23 5,420,000 5,580,128 0.111%

Cigna 3 7/15/23 5,195,000 5,225,380 0.104%

Cigna 4.13 9/15/20 6,607,000 6,646,285 0.132%

Cigna 1.49 9/17/21 5,600,000 5,383,510 0.107%

Cigna 3.4 9/17/21 3,090,000 3,120,038 0.062%

Citibank NA 2.13 10/20/20 705,000 705,881 0.014%

Citibank NA 2.84 5/20/22 10,385,000 10,449,273 0.207%

Citigroup 2.31 11/4/22 9,430,000 9,405,708 0.186%

Citigroup 2.9 12/8/21 13,095,000 13,208,547 0.262%

Citigroup 2.7 3/30/21 4,019,000 4,034,180 0.080%

Citizens Bank NA/Providence RI 2.25 10/30/20 2,430,000 2,420,888 0.048%

Citizens Bank NA/Providence RI 3.25 2/14/22 5,060,000 5,129,368 0.102%

Citizens Bank NA/Providence RI 2.55 5/13/21 5,020,000 5,013,815 0.099%

Citizens Bank NA/Providence RI 2.65 5/26/22 5,175,000 5,168,578 0.102%

CK Hutchison International 17 II 2.75 3/29/23 10,400,000 10,488,816 0.208%

CNAC HK Finbridge 4.13 3/14/21 6,005,000 6,040,430 0.120%

CNAC HK Finbridge 3 7/19/20 6,945,000 6,936,666 0.137%

Cnh Equipment Trust 2018 3.47 10/15/25 3,105,000 3,096,668 0.061%

CNH Industrial Capital 3.88 10/15/21 10,774,000 10,407,469 0.206%

CNH Industrial Capital 4.38 11/6/20 16,171,000 16,426,971 0.325%

Cole Park CLO Ltd 2015-1 2.87 10/20/28 13,540,000 13,255,205 0.263%

COLT 2018-2 Mortgage Loan Trust 3.47 7/27/48 6,101,279 6,014,920 0.119%

COLT 2018-2 Mortgage Loan Trust 3.54 7/27/48 2,200,347 2,169,226 0.043%

COLT 2018-4 Mortgage Loan Trust 4.01 12/28/48 3,294,656 3,259,926 0.065%

COLT 2019-2 Mortgage Loan Trust 3.34 5/25/49 3,515,236 3,439,410 0.068%

COLT 2019-3 Mortgage Loan Trust 2.76 8/25/49 8,859,874 8,569,827 0.170%

Columbia Pipeline 3.3 6/1/20 9,286,000 9,262,618 0.183%

Comcast 3.7 4/15/24 7,705,000 8,273,953 0.164%

COMM 2014-CCRE19 Mortgage Trust 4.73 8/10/47 2,995,000 2,507,230 0.050%

COMM 2015-LC23 Mortgage Trust 3.22 10/10/48 14,350,000 14,357,918 0.284%

COMM 2020-CBM Mortgage Trust 3.63 2/10/37 3,895,000 3,055,756 0.061%

Conagra Brands 2.55 10/22/20 2,027,000 2,005,256 0.040%

Connecticut Avenue Securities Trust 2019-R04 1.7 6/25/39 1,290,121 1,259,887 0.025%

Connecticut Avenue Securities Trust 2019-R05 1.7 7/25/39 49,607 49,100 0.001%

Connecticut Avenue Securities Trust 2019-R06 1.7 9/25/39 4,256,257 4,148,117 0.082%

Connecticut Avenue Securities Trust 2020-R01 1.75 1/25/40 5,714,601 5,464,035 0.108%

Cooperatieve Rabobank UA 3.95 11/9/22 11,540,000 11,522,517 0.228%

Credit Agricole SA/London 2.82 4/24/23 5,525,000 4,941,168 0.098%

Credit Suisse AG/New York NY 2.1 11/12/21 10,525,000 10,472,743 0.207%

Credit Suisse Mortgage Capital Certificates 2019-ICE4 2.13 5/15/36 8,520,000 7,752,018 0.154%

Credit Suisse Mortgage Capital Certificates 2019-ICE4 2.3 5/15/36 6,220,000 5,534,780 0.110%

Crown Castle International 5.25 1/15/23 2,620,000 2,740,947 0.054%

Crown Castle International 3.4 2/15/21 8,425,000 8,315,450 0.165%

Crown Castle International 2.25 9/1/21 11,630,000 11,421,242 0.226%

Crown Castle Towers 3.72 7/15/23 1,785,000 1,795,990 0.036%

CVS Health 3.35 3/9/21 5,494,000 5,530,898 0.110%

CVS Health 1.72 3/9/21 5,330,000 5,196,942 0.103%

CVS Health 3.7 3/9/23 17,831,000 18,478,782 0.366%

CVS Health 2.63 8/15/24 2,460,000 2,445,661 0.048%

Daimler Finance North America 3.75 11/5/21 8,125,000 7,919,925 0.157%

Daimler Finance North America 2.3 2/12/21 2,870,000 2,804,983 0.056%

Daimler Finance North America 1.75 3/10/23 13,400,000 12,594,513 0.249%

Daimler Finance North America 2.7 8/3/20 5,000,000 4,967,700 0.098%

Page 3 of 15

Daimler Trucks Retail Trust 2018-1 3.03 11/15/24 3,920,000 3,916,875 0.078%

Daimler Trucks Retail Trust 2020-1 1.37 6/15/27 8,360,000 8,443,482 0.167%

Danske Bank 5 1/12/22 7,665,000 7,797,888 0.154%

Danske Bank 3 9/20/22 10,810,000 10,618,468 0.210%

Deephaven Residential Mortgage Trust 2017-1 3.49 12/26/46 428,838 419,863 0.008%

Deephaven Residential Mortgage Trust 2017-3 2.58 10/25/47 1,966,397 1,966,780 0.039%

Deephaven Residential Mortgage Trust 2017-3 2.71 10/25/47 165,887 165,913 0.003%

Deephaven Residential Mortgage Trust 2017-3 2.81 10/25/47 155,216 155,233 0.003%

Deephaven Residential Mortgage Trust 2018-1 2.98 12/25/57 1,806,067 1,785,008 0.035%

Deephaven Residential Mortgage Trust 2018-3 3.96 8/25/58 431,104 422,370 0.008%

Deephaven Residential Mortgage Trust 2019-1 3.74 1/25/59 6,015,116 5,859,883 0.116%

Deephaven Residential Mortgage Trust 2019-3 2.96 7/25/59 3,812,737 3,641,292 0.072%

Deephave Residential Mortgage Trust 2019-2 3.76 4/25/59 3,839,008 3,735,545 0.074%

Deephave Residential Mortgage Trust 2019-2 3.92 4/25/59 3,170,000 2,986,472 0.059%

Delta Air Lines 2.6 12/4/20 2,200,000 2,095,500 0.042%

Deutsche Bank AG/New York NY 3.15 1/22/21 9,179,000 9,048,842 0.179%

Deutsche Bank AG/New York NY 3.04 2/4/21 7,055,000 6,772,948 0.134%

Deutsche Bank AG/New York NY 3.38 5/12/21 905,000 873,035 0.017%

Deutsche Bank AG/New York NY 2.95 8/20/20 6,861,000 6,665,503 0.132%

Diamondback Energy 2.88 12/1/24 19,955,000 14,168,050 0.281%

Discover Bank 7 4/15/20 17,285,000 17,306,606 0.343%

Discover Bank 3.1 6/4/20 6,909,000 6,900,364 0.137%

Discover Bank 3.2 8/9/21 1,975,000 1,965,172 0.039%

Dollar Tree 2.54 4/17/20 3,444,000 3,443,845 0.068%

Dominion Energy 2.58 7/1/20 6,115,000 6,106,555 0.121%

DR Horton 2.55 12/1/20 3,925,000 3,909,072 0.077%

Drive Auto Receivables Trust 2020-1 2.36 3/16/26 6,095,000 5,678,309 0.112%

Duke Energy 3.55 9/15/21 2,750,000 2,777,112 0.055%

DuPont de Nemours 3.77 11/15/20 9,240,000 9,262,693 0.183%

Eastern Creation II Investment Holdings 2.75 9/26/20 11,660,000 11,660,000 0.231%

eBay 2.15 6/5/20 6,525,000 6,496,623 0.129%

Edison International 3.13 11/15/22 4,775,000 4,950,610 0.098%

Edison International 2.13 4/15/20 9,311,000 9,307,797 0.184%

Elara Hgv Timeshare Issuer 2014 2.53 2/25/27 644,548 638,436 0.013%

Elara Hgv Timeshare Issuer 2017 2.69 3/25/30 1,534,703 1,498,644 0.030%

Elara Hgv Timeshare Issuer 2019 2.61 1/25/34 6,357,542 6,108,869 0.121%

Ellington Financial Mortgage Trust 2019-2 2.74 11/25/59 4,437,553 4,262,615 0.084%

EMD Finance 2.95 3/19/22 3,170,000 3,196,565 0.063%

Enel Finance International 2.88 5/25/22 12,367,000 11,962,364 0.237%

Enel Finance International 4.25 9/14/23 7,095,000 7,270,204 0.144%

Energy Transfer Operating 5.88 1/15/24 17,363,000 16,863,814 0.334%

Energy Transfer Operating 4.25 3/15/23 5,150,000 4,673,625 0.093%

Energy Transfer Operating 2.9 5/15/25 1,860,000 1,576,350 0.031%

Eni 4 9/12/23 3,320,000 3,291,700 0.065%

Enterprise Fleet Financing 2.87 10/20/23 4,081,653 4,061,117 0.080%

Enterprise Fleet Financing 2.13 5/22/23 3,066,915 3,052,769 0.060%

Enterprise Fleet Financing 2.13 7/20/22 49,120 49,086 0.001%

Enterprise Fleet Financing 2018-2 3.14 2/20/24 4,750,343 4,732,175 0.094%

Enterprise Fleet Financing 2019-1 2.98 10/20/24 4,071,501 4,076,332 0.081%

Enterprise Fleet Financing 2019-3 2.06 5/20/25 3,135,000 3,122,182 0.062%

Enterprise Products Operating 3.5 2/1/22 9,820,000 10,003,202 0.198%

Enterprise Products Operating 2.8 2/15/21 7,590,000 7,549,978 0.150%

EOG Resources 2.63 3/15/23 2,263,000 2,217,385 0.044%

EQT 3 10/1/22 16,719,000 13,960,365 0.277%

EQT 4.88 11/15/21 2,076,000 1,660,800 0.033%

Equifax 2.3 6/1/21 7,825,000 7,601,142 0.151%

Equifax 3.6 8/15/21 4,780,000 4,700,365 0.093%

Equifax 2.56 8/15/21 5,125,000 5,149,974 0.102%

ERAC USA Finance 5.25 10/1/20 1,000,000 1,019,153 0.020%

Essex Portfolio 3.63 8/15/22 385,000 383,979 0.008%

Expedia 5.95 8/15/20 2,800,000 2,751,000 0.054%

Express Scripts Holding 2.33 11/30/20 10,405,000 10,249,945 0.203%

Exxon Mobil 2.99 3/19/25 13,720,000 14,431,615 0.286%

Exxon Mobil 1.9 8/16/22 2,590,000 2,600,438 0.052%

Fannie Mae Connecticut Avenue Securities 1.9 10/25/29 2,757,724 2,673,905 0.053%

Fannie Mae Connecticut Avenue Securities 1.63 10/25/30 1,989,039 1,954,598 0.039%

Fannie Mae Connecticut Avenue Securities 2.48 10/25/30 10,615,000 10,608,631 0.210%

Fannie Mae Connecticut Avenue Securities 2.48 10/25/30 13,115,000 13,112,377 0.260%

Fannie Mae Connecticut Avenue Securities 1.8 11/25/29 624,884 619,156 0.012%

Fannie Mae Connecticut Avenue Securities 2.05 11/25/29 12,560,000 11,227,926 0.222%

Fannie Mae Connecticut Avenue Securities 2.15 1/25/30 6,782,714 6,173,871 0.122%

Fannie Mae Connecticut Avenue Securities 1.67 1/25/31 1,471,730 1,462,472 0.029%

Page 4 of 15

Fannie Mae Connecticut Avenue Securities 1.8 7/25/30 11,425,000 11,414,718 0.226%

Fannie Mae Connecticut Avenue Securities 2.1 9/25/29 170,716 169,910 0.003%

Fannie Mae Connecticut Avenue Securities 2.3 9/25/29 6,400,000 5,208,431 0.103%

Fannie Mae REMICS 4 6/25/44 13,066,899 13,510,442 0.268%

Fannie Mae REMIC Trust 2001-W4 5.61 1/25/32 4,426 4,783 0.000%

Federal Home Loan Mortgage 6 10/1/21 1,084 1,108 0.000%

Federal Home Loan Mortgage 6 10/1/21 166 169 0.000%

Federal Home Loan Mortgage 5 10/1/22 172,642 181,520 0.004%

Federal Home Loan Mortgage 5 10/1/23 149,529 157,313 0.003%

Federal Home Loan Mortgage 3.97 10/1/33 526 534 0.000%

Federal Home Loan Mortgage 4.51 10/1/36 298,179 300,586 0.006%

Federal Home Loan Mortgage 5.5 10/1/38 44,410 50,332 0.001%

Federal Home Loan Mortgage 5.5 11/1/21 707 712 0.000%

Federal Home Loan Mortgage 6 11/1/21 111 112 0.000%

Federal Home Loan Mortgage 4.1 11/1/34 179,861 184,138 0.004%

Federal Home Loan Mortgage 4.05 11/1/36 37,027 37,379 0.001%

Federal Home Loan Mortgage 3.88 1/1/37 51,771 52,306 0.001%

Federal Home Loan Mortgage 6 1/1/38 11,249 12,442 0.000%

Federal Home Loan Mortgage 6 1/1/38 16,074 17,778 0.000%

Federal Home Loan Mortgage 5 12/1/23 1,406,424 1,479,494 0.029%

Federal Home Loan Mortgage 5.5 12/1/23 113,686 116,831 0.002%

Federal Home Loan Mortgage 4.12 12/1/36 77,309 78,896 0.002%

Federal Home Loan Mortgage 3.96 2/1/33 2,088 2,104 0.000%

Federal Home Loan Mortgage 3.99 2/1/34 10,809 10,925 0.000%

Federal Home Loan Mortgage 6 2/1/35 520,851 599,984 0.012%

Federal Home Loan Mortgage 3.74 2/1/37 77,586 78,271 0.002%

Federal Home Loan Mortgage 3.73 2/1/37 61,320 61,854 0.001%

Federal Home Loan Mortgage 4.2 2/1/37 122,930 126,032 0.002%

Federal Home Loan Mortgage 4.08 2/1/38 276,516 282,666 0.006%

Federal Home Loan Mortgage 5.5 3/1/21 6,414 6,491 0.000%

Federal Home Loan Mortgage 7 3/1/39 1,287,207 1,520,538 0.030%

Federal Home Loan Mortgage 3.5 3/1/46 5,425,540 5,821,422 0.115%

Federal Home Loan Mortgage 5.5 4/1/23 170,077 179,437 0.004%

Federal Home Loan Mortgage 4.55 4/1/37 11,740 11,723 0.000%

Federal Home Loan Mortgage 4.65 5/1/37 103,473 103,897 0.002%

Federal Home Loan Mortgage 4.59 5/1/38 113,871 114,999 0.002%

Federal Home Loan Mortgage 4.5 6/1/38 357,824 357,856 0.007%

Federal Home Loan Mortgage 4.45 6/1/38 33,973 34,026 0.001%

Federal Home Loan Mortgage 7.5 6/1/38 1,295,448 1,533,577 0.030%

Federal Home Loan Mortgage 6 7/1/21 25,538 26,147 0.001%

Federal Home Loan Mortgage 5 7/1/25 2,306 2,424 0.000%

Federal Home Loan Mortgage 4.48 7/1/35 129,851 130,950 0.003%

Federal Home Loan Mortgage 4.32 7/1/38 292,111 295,108 0.006%

Federal Home Loan Mortgage 6 8/1/21 13,230 13,492 0.000%

Federal Home Loan Mortgage 6 8/1/22 43,850 45,148 0.001%

Federal Home Loan Mortgage 6 9/1/34 24,456 27,964 0.001%

Federal Home Loan Mortgage 6 9/1/35 164,686 189,669 0.004%

Federal Home Loan Mortgage 3.84 9/1/35 44,452 44,838 0.001%

Federal National Mortgage Assn. 5 10/1/21 18,558 19,503 0.000%

Federal National Mortgage Assn. 4.5 10/1/24 331,186 350,204 0.007%

Federal National Mortgage Assn. 4.5 10/1/26 1,661,930 1,757,154 0.035%

Federal National Mortgage Assn. 3.59 10/1/32 18,687 18,864 0.000%

Federal National Mortgage Assn. 3.21 10/1/33 439,171 442,224 0.009%

Federal National Mortgage Assn. 5.5 10/1/35 507,862 575,791 0.011%

Federal National Mortgage Assn. 5 10/1/35 11,579 12,891 0.000%

Federal National Mortgage Assn. 4 10/1/48 2,754,204 2,943,311 0.058%

Federal National Mortgage Assn. 4.5 10/1/48 25,174,800 27,298,143 0.541%

Federal National Mortgage Assn. 2.23 11/1/20 372 372 0.000%

Federal National Mortgage Assn. 4.5 11/1/20 6,246 6,518 0.000%

Federal National Mortgage Assn. 5.5 11/1/23 77,272 78,688 0.002%

Federal National Mortgage Assn. 4.5 11/1/24 299,026 313,199 0.006%

Federal National Mortgage Assn. 3 11/1/34 1,668,092 1,761,901 0.035%

Federal National Mortgage Assn. 6 11/1/34 90,239 103,878 0.002%

Federal National Mortgage Assn. 4.5 11/1/48 3,228,082 3,475,971 0.069%

Federal National Mortgage Assn. 5 11/1/48 4,037,986 4,357,536 0.086%

Federal National Mortgage Assn. 4 11/1/49 2,221,250 2,373,064 0.047%

Federal National Mortgage Assn. 5 1/1/21 56 58 0.000%

Federal National Mortgage Assn. 5 1/1/21 1,365 1,435 0.000%

Federal National Mortgage Assn. 6 1/1/22 56,612 58,051 0.001%

Federal National Mortgage Assn. 6 1/1/22 30,718 31,446 0.001%

Federal National Mortgage Assn. 5 1/1/24 341,226 359,014 0.007%

Federal National Mortgage Assn. 6 1/1/24 4,556 4,790 0.000%

Page 5 of 15

Federal National Mortgage Assn. 5.5 1/1/24 754,923 780,918 0.015%

Federal National Mortgage Assn. 5.5 1/1/25 75,444 77,828 0.002%

Federal National Mortgage Assn. 5.5 1/1/25 2,487 2,571 0.000%

Federal National Mortgage Assn. 5.5 1/1/25 873,404 911,198 0.018%

Federal National Mortgage Assn. 4.5 1/1/27 581,504 619,800 0.012%

Federal National Mortgage Assn. 3.91 1/1/34 14,484 14,604 0.000%

Federal National Mortgage Assn. 5.5 1/1/35 2,112,170 2,387,797 0.047%

Federal National Mortgage Assn. 3.63 1/1/35 2,769 2,793 0.000%

Federal National Mortgage Assn. 5.5 1/1/37 37,134 42,087 0.001%

Federal National Mortgage Assn. 6 1/1/37 71,401 82,091 0.002%

Federal National Mortgage Assn. 4 1/1/47 7,865,036 8,434,813 0.167%

Federal National Mortgage Assn. 4.5 1/1/50 1,379,821 1,483,544 0.029%

Federal National Mortgage Assn. 5 12/1/20 10,338 10,865 0.000%

Federal National Mortgage Assn. 5 12/1/23 101,361 106,639 0.002%

Federal National Mortgage Assn. 4.5 12/1/24 346,558 364,272 0.007%

Federal National Mortgage Assn. 3.72 12/1/32 55,031 56,143 0.001%

Federal National Mortgage Assn. 6.5 12/1/32 280,013 321,540 0.006%

Federal National Mortgage Assn. 5.5 12/1/34 25,703 29,033 0.001%

Federal National Mortgage Assn. 3 12/1/34 4,460,069 4,711,022 0.093%

Federal National Mortgage Assn. 3.85 12/1/35 23,473 23,698 0.000%

Federal National Mortgage Assn. 3.69 12/1/35 77,582 79,165 0.002%

Federal National Mortgage Assn. 3.34 12/1/35 26,581 26,831 0.001%

Federal National Mortgage Assn. 3.77 12/1/35 13,073 13,202 0.000%

Federal National Mortgage Assn. 5.5 12/1/39 507,470 575,086 0.011%

Federal National Mortgage Assn. 4.5 12/1/45 8,703,353 9,536,236 0.189%

Federal National Mortgage Assn. 3.5 12/1/45 1,340,265 1,428,638 0.028%

Federal National Mortgage Assn. 4.5 12/1/48 5,400,179 5,806,929 0.115%

Federal National Mortgage Assn. 4.5 12/1/49 6,759,014 7,280,976 0.144%

Federal National Mortgage Assn. 4 12/1/49 896,137 958,206 0.019%

Federal National Mortgage Assn. 5 2/1/21 1,382 1,452 0.000%

Federal National Mortgage Assn. 5.5 2/1/23 128,814 133,010 0.003%

Federal National Mortgage Assn. 6 2/1/23 836,743 870,474 0.017%

Federal National Mortgage Assn. 5.5 2/1/23 123,430 126,968 0.003%

Federal National Mortgage Assn. 3.68 2/1/33 3,293 3,318 0.000%

Federal National Mortgage Assn. 5 2/1/36 334,171 372,091 0.007%

Federal National Mortgage Assn. 6 2/1/37 135,813 155,984 0.003%

Federal National Mortgage Assn. 3.5 2/1/48 2,327,045 2,459,011 0.049%

Federal National Mortgage Assn. 6 2/1/49 10,459,233 12,039,386 0.238%

Federal National Mortgage Assn. 4 2/1/50 5,840,597 6,282,569 0.124%

Federal National Mortgage Assn. 5.5 3/1/21 8,525 8,590 0.000%

Federal National Mortgage Assn. 5 3/1/21 103 109 0.000%

Federal National Mortgage Assn. 6 3/1/22 343 353 0.000%

Federal National Mortgage Assn. 5 3/1/23 90,011 94,613 0.002%

Federal National Mortgage Assn. 6 3/1/23 314,649 327,377 0.006%

Federal National Mortgage Assn. 6 3/1/34 854,433 975,011 0.019%

Federal National Mortgage Assn. 3 3/1/35 2,166,193 2,288,077 0.045%

Federal National Mortgage Assn. 5.5 3/1/36 144,102 163,227 0.003%

Federal National Mortgage Assn. 6 3/1/37 128,815 148,294 0.003%

Federal National Mortgage Assn. 4.5 3/1/49 5,753,267 6,184,480 0.122%

Federal National Mortgage Assn. 5 4/1/21 2,187 2,298 0.000%

Federal National Mortgage Assn. 5 4/1/21 375 395 0.000%

Federal National Mortgage Assn. 5 4/1/21 228 240 0.000%

Federal National Mortgage Assn. 4.5 4/1/25 50,330 53,634 0.001%

Federal National Mortgage Assn. 4.5 4/1/26 1,851,231 1,973,708 0.039%

Federal National Mortgage Assn. 4.5 4/1/26 418,138 441,167 0.009%

Federal National Mortgage Assn. 6 4/1/35 233,869 269,107 0.005%

Federal National Mortgage Assn. 5.5 4/1/36 252,986 286,791 0.006%

Federal National Mortgage Assn. 6 4/1/36 26,730 30,764 0.001%

Federal National Mortgage Assn. 4.6 4/1/38 223,299 225,194 0.004%

Federal National Mortgage Assn. 5 4/1/38 134,201 148,996 0.003%

Federal National Mortgage Assn. 6 4/1/45 1,774,771 2,042,862 0.040%

Federal National Mortgage Assn. 5 5/1/20 1,699 1,785 0.000%

Federal National Mortgage Assn. 6 5/1/21 108 109 0.000%

Federal National Mortgage Assn. 6 5/1/21 203 207 0.000%

Federal National Mortgage Assn. 5.5 5/1/22 19,284 19,845 0.000%

Federal National Mortgage Assn. 5 5/1/23 96,206 101,129 0.002%

Federal National Mortgage Assn. 4.78 5/1/24 692 696 0.000%

Federal National Mortgage Assn. 4.5 5/1/25 1,195,812 1,264,424 0.025%

Federal National Mortgage Assn. 4.5 5/1/25 88,359 94,171 0.002%

Federal National Mortgage Assn. 4.5 5/1/27 1,783,608 1,901,617 0.038%

Federal National Mortgage Assn. 5.5 5/1/36 174,197 197,500 0.004%

Federal National Mortgage Assn. 6 5/1/37 144,094 165,914 0.003%

Page 6 of 15

Federal National Mortgage Assn. 6 5/1/38 37,790 43,503 0.001%

Federal National Mortgage Assn. 4.1 5/1/38 155,756 157,066 0.003%

Federal National Mortgage Assn. 4.6 5/1/38 244,451 247,101 0.005%

Federal National Mortgage Assn. 4.57 5/1/38 313,918 315,059 0.006%

Federal National Mortgage Assn. 4.5 5/1/41 3,979,696 4,360,694 0.086%

Federal National Mortgage Assn. 6 5/1/42 364,081 419,223 0.008%

Federal National Mortgage Assn. 5 5/1/48 1,046,537 1,130,945 0.022%

Federal National Mortgage Assn. 6 6/1/21 262 267 0.000%

Federal National Mortgage Assn. 6 6/1/22 12,307 12,698 0.000%

Federal National Mortgage Assn. 5 6/1/24 1,081,327 1,137,941 0.023%

Federal National Mortgage Assn. 5 6/1/35 247,735 274,519 0.005%

Federal National Mortgage Assn. 5 6/1/35 1,167,977 1,298,049 0.026%

Federal National Mortgage Assn. 5 6/1/35 669,736 742,185 0.015%

Federal National Mortgage Assn. 6 6/1/36 45,307 52,164 0.001%

Federal National Mortgage Assn. 5.5 6/1/36 22,255 24,853 0.000%

Federal National Mortgage Assn. 4 6/1/49 11,125,386 11,872,249 0.235%

Federal National Mortgage Assn. 5.5 7/1/20 47 47 0.000%

Federal National Mortgage Assn. 5.5 7/1/22 6,854 7,081 0.000%

Federal National Mortgage Assn. 4.5 7/1/25 100,317 106,939 0.002%

Federal National Mortgage Assn. 2.73 7/1/27 2,569 2,574 0.000%

Federal National Mortgage Assn. 6.5 7/1/32 275,217 312,986 0.006%

Federal National Mortgage Assn. 4.5 7/1/33 1,701 1,714 0.000%

Federal National Mortgage Assn. 5.5 7/1/34 977,930 1,105,059 0.022%

Federal National Mortgage Assn. 3.98 7/1/34 9,581 9,657 0.000%

Federal National Mortgage Assn. 5 7/1/35 1,829,654 2,027,498 0.040%

Federal National Mortgage Assn. 4.27 7/1/35 69,796 70,499 0.001%

Federal National Mortgage Assn. 5 7/1/36 1,729,591 1,926,482 0.038%

Federal National Mortgage Assn. 5.5 7/1/36 40,893 46,261 0.001%

Federal National Mortgage Assn. 5.5 7/1/41 4,248,520 4,816,719 0.095%

Federal National Mortgage Assn. 6 8/1/21 2,935 2,993 0.000%

Federal National Mortgage Assn. 5.5 8/1/21 5,738 5,855 0.000%

Federal National Mortgage Assn. 4.5 8/1/24 2,531,198 2,676,275 0.053%

Federal National Mortgage Assn. 4.5 8/1/24 540,672 571,447 0.011%

Federal National Mortgage Assn. 4.5 8/1/26 273,628 291,645 0.006%

Federal National Mortgage Assn. 5.5 8/1/37 932,631 1,057,431 0.021%

Federal National Mortgage Assn. 5.5 8/1/37 1,221,003 1,383,403 0.027%

Federal National Mortgage Assn. 5.5 8/1/37 1,314,696 1,489,033 0.029%

Federal National Mortgage Assn. 5.5 8/1/37 410,486 465,002 0.009%

Federal National Mortgage Assn. 4.08 8/1/38 9,809 9,891 0.000%

Federal National Mortgage Assn. 4.52 8/1/38 122,542 124,242 0.002%

Federal National Mortgage Assn. 4.52 8/1/38 35,183 35,673 0.001%

Federal National Mortgage Assn. 4.5 8/1/44 4,141,334 4,536,758 0.090%

Federal National Mortgage Assn. 4.5 8/1/48 3,640,408 3,916,855 0.078%

Federal National Mortgage Assn. 4.5 8/1/48 1,832,033 1,975,465 0.039%

Federal National Mortgage Assn. 5 8/1/49 2,129,907 2,298,243 0.046%

Federal National Mortgage Assn. 5.5 9/1/21 4,543 4,633 0.000%

Federal National Mortgage Assn. 5.5 9/1/21 4,515 4,604 0.000%

Federal National Mortgage Assn. 5.5 9/1/21 12,889 13,147 0.000%

Federal National Mortgage Assn. 5 9/1/22 7,160 7,525 0.000%

Federal National Mortgage Assn. 5 9/1/23 15,286 16,083 0.000%

Federal National Mortgage Assn. 4.5 9/1/24 848,689 896,280 0.018%

Federal National Mortgage Assn. 4.5 9/1/24 76,899 81,282 0.002%

Federal National Mortgage Assn. 5 9/1/25 58,062 61,037 0.001%

Federal National Mortgage Assn. 3 9/1/28 7,502,808 7,860,404 0.156%

Federal National Mortgage Assn. 3.98 9/1/32 8,610 8,678 0.000%

Federal National Mortgage Assn. 4.32 9/1/37 28,380 28,979 0.001%

Federal National Mortgage Assn. 6 9/1/39 2,039,901 2,347,609 0.047%

Federal National Mortgage Assn. 4 9/1/47 3,078,173 3,298,238 0.065%

Federal National Mortgage Assn. 5 9/1/48 2,960,260 3,197,639 0.063%

Federal National Mortgage Assn. 4 9/1/48 864,597 923,347 0.018%

Federal National Mortgage Assn. 4.5 9/1/48 2,125,879 2,285,494 0.045%

FirstEnergy 2.85 7/15/22 6,995,000 6,972,504 0.138%

First Niagara Financial 7.25 12/15/21 4,150,000 4,252,372 0.084%

Fiserv 2.75 7/1/24 13,355,000 13,275,698 0.263%

Flagstar Mortgage Trust 2020-1NV 1.8 3/25/50 5,586,913 5,185,628 0.103%

Fontainebleau Miami Beach Trust 2019-FBLU 3.75 12/10/36 7,590,000 6,064,864 0.120%

Ford Credit Auto Lease Trust 2020 2.05 6/15/23 4,395,000 4,210,983 0.083%

Ford Credit Auto Owner Trust 2019-REV1 3.82 7/15/30 5,000,000 5,108,252 0.101%

Ford Motor Credit 3.81 10/12/21 3,610,000 3,446,904 0.068%

Ford Motor Credit 3.35 11/1/22 8,210,000 7,652,254 0.152%

Ford Motor Credit 3.09 1/9/23 8,750,000 7,873,250 0.156%

Ford Motor Credit 3.47 4/5/21 3,230,000 3,099,986 0.061%

Page 7 of 15

Ford Motor Credit 5.88 8/2/21 2,060,000 2,018,359 0.040%

Ford Motor Credit 2.13 9/24/20 15,610,000 14,663,815 0.290%

FORD MOTOR CREDIT CO 4/2 144A CP 3.15 7/27/20 5,730,000 5,584,555 0.111%

FORD MOTOR CREDIT CO 4/2 144A CP 2.85 8/4/20 5,562,000 5,411,014 0.107%

Fox 3.67 1/25/22 2,125,000 2,170,283 0.043%

Fox 4.03 1/25/24 2,485,000 2,581,798 0.051%

Fox 3.05 4/7/25 1,305,000 1,302,912 0.026%

Freddie Mac REMICS 4 11/15/36 1,147,605 1,183,116 0.023%

Freddie Mac Stacr Remic Trust 2019-Hqa4 1.72 11/25/49 2,879,244 2,783,512 0.055%

Freddie Mac Stacr Remic Trust 2020-DNA1 1.65 1/25/50 3,790,000 3,675,551 0.073%

Freddie Mac STACR Remic Trust 2020-DNA2 1.7 2/25/50 2,855,000 2,718,849 0.054%

Freddie Mac STACR REMIC Trust 2020-HQA1 1.7 1/25/50 5,045,000 4,856,123 0.096%

Freddie Mac Stacr Remic Trust 2020-HQA2 1.91 3/25/50 13,180,000 12,722,958 0.252%

Freddie Mac Stacr Trust 2018-HQA2 1.7 10/25/48 4,646,545 4,515,608 0.089%

Freddie Mac Structured Agency Credit Risk debt Notes 2.15 10/25/29 5,337,053 5,196,587 0.103%

Freddie Mac Structured Agency Credit Risk debt Notes 1.75 12/25/29 366,484 361,973 0.007%

Freddie Mac Structured Agency Credit Risk debt Notes 3.73 2/25/48 5,382,188 5,347,917 0.106%

Freddie Mac Structured Agency Credit Risk debt Notes 1.7 3/25/30 2,933,371 2,885,434 0.057%

Freddie Mac Structured Agency Credit Risk debt Notes 3.81 5/25/48 1,695,090 1,639,832 0.032%

Freddie Mac Structured Agency Credit Risk debt Notes 2.15 7/25/29 978,341 972,759 0.019%

Freddie Mac Structured Agency Credit Risk debt Notes 4.95 8/25/24 4,087,564 3,879,354 0.077%

Freddie Mac Structured Agency Credit Risk debt Notes 2.15 8/25/29 42,113 41,916 0.001%

Freddie Mac Structured Agency Credit Risk debt Notes 4.15 8/25/48 860,449 840,151 0.017%

Freddie Mac Structured Agency Credit Risk debt Notes 3.98 9/25/47 272,217 265,137 0.005%

Freddie Mac Whole Loan Securities Trust 2017-SC02 3.82 5/25/47 950,829 933,597 0.018%

FWD Securitization Trust 2020-INV1 2.24 1/25/50 12,921,924 12,664,894 0.251%

Galton Funding Mortgage Trust 2017-1 3.5 11/25/57 3,540,893 3,501,289 0.069%

Galton Funding Mortgage Trust 2019-1 4 2/25/59 2,992,314 2,964,745 0.059%

Galton Funding Mortgage Trust 2019-H1 3.34 10/25/59 7,916,000 6,678,382 0.132%

Galton Funding Mortgage Trust 2020-H1 2.31 1/25/60 5,420,998 5,226,161 0.104%

Galton Funding Mortgage Trust 2020-H1 2.83 1/25/60 4,592,000 3,601,113 0.071%

GATX 3.9 3/30/23 3,960,000 4,131,448 0.082%

Ge Capital International Funding Co Unlimited 2.34 11/15/20 32,270,000 32,124,946 0.636%

General Dynamics 2.25 11/15/22 5,425,000 5,459,340 0.108%

General Dynamics 2.11 5/11/21 4,640,000 4,524,418 0.090%

General Dynamics 3.38 5/15/23 4,600,000 4,810,432 0.095%

General Electric 4.65 10/17/21 4,590,000 4,717,772 0.093%

General Electric 2.7 10/9/22 7,970,000 7,829,577 0.155%

General Electric 5.3 2/11/21 925,000 939,644 0.019%

General Electric 3.45 5/15/24 3,805,000 3,806,845 0.075%

General Electric 3.15 9/7/22 4,010,000 4,019,800 0.080%

General Mills 2.38 4/16/21 7,865,000 7,747,937 0.153%

General Motors 4.88 10/2/23 5,380,000 4,791,084 0.095%

General Motors Financial 2.9 2/26/25 13,795,000 11,805,485 0.234%

General Motors Financial 4.2 3/1/21 680,000 651,809 0.013%

General Motors Financial 2.73 4/9/21 6,085,000 5,845,567 0.116%

General Motors Financial 3.2 7/13/20 13,567,000 13,499,165 0.267%

General Motors Financial 3.2 7/6/21 2,400,000 2,252,779 0.045%

Global Payments 2.65 2/15/25 5,665,000 5,578,059 0.110%

GMF Floorplan Owner Revolving Trust 3.44 3/15/23 8,315,000 8,275,222 0.164%

GMF Floorplan Owner Revolving Trust 2.7 4/15/24 5,910,000 5,885,329 0.117%

GM Financial Automobile Leasing Trust 2017-3 2.73 9/20/21 2,390,000 2,389,690 0.047%

GM Financial Automobile Leasing Trust 2018-1 3.37 10/20/22 7,625,000 7,608,056 0.151%

GM Financial Automobile Leasing Trust 2018-1 3.11 12/20/21 3,075,000 3,071,040 0.061%

GM Financial Automobile Leasing Trust 2018-2 3.5 4/20/22 3,970,000 3,979,588 0.079%

GM Financial Automobile Leasing Trust 2019-1 3.56 12/20/22 7,185,000 7,231,538 0.143%

GM Financial Automobile Leasing Trust 2020-1 2.28 6/20/24 2,990,000 2,900,581 0.057%

GM Financial Consumer Automobile Receivables Trust 2017-3 2.52 3/16/23 1,895,000 1,887,328 0.037%

Goldman Sachs 2.56 10/31/22 5,200,000 5,005,328 0.099%

Goldman Sachs 5.75 1/24/22 13,816,000 14,670,741 0.291%

Goldman Sachs 2.9 4/26/22 9,220,000 8,989,712 0.178%

Goldman Sachs 6 6/15/20 940,000 945,875 0.019%

Golub Capital Partners CLO 39B 2.97 10/20/28 7,835,000 7,632,445 0.151%

Government National Mortgage Assn. 5 10/20/47 5,319,796 5,726,370 0.113%

Government National Mortgage Assn. 4 10/20/48 651,137 696,197 0.014%

Government National Mortgage Assn. 5 11/20/39 1,525,652 1,687,594 0.033%

Government National Mortgage Assn. 5 11/20/47 1,634,632 1,770,711 0.035%

Government National Mortgage Assn. 4 11/20/49 9,278,646 9,865,062 0.195%

Government National Mortgage Assn. 4.5 1/1/36 12,180,000 12,928,404 0.256%

Government National Mortgage Assn. 5 1/20/36 142,544 158,055 0.003%

Government National Mortgage Assn. 4.5 1/20/48 5,169,925 5,515,321 0.109%

Government National Mortgage Assn. 5 1/20/48 4,400,313 4,750,251 0.094%

Page 8 of 15

Government National Mortgage Assn. 5 12/20/34 288,325 319,587 0.006%

Government National Mortgage Assn. 5 12/20/35 186,932 207,177 0.004%

Government National Mortgage Assn. 5 12/20/47 5,734,963 6,211,035 0.123%

Government National Mortgage Assn. 5.5 12/20/48 433,664 466,600 0.009%

Government National Mortgage Assn. 5 2/20/40 283,549 313,641 0.006%

Government National Mortgage Assn. 4 2/20/48 3,868,734 4,169,157 0.083%

Government National Mortgage Assn. 5 2/20/48 10,104,529 10,917,678 0.216%

Government National Mortgage Assn. 3.5 2/20/48 976,524 1,048,271 0.021%

Government National Mortgage Assn. 3.5 2/20/48 2,286,409 2,443,567 0.048%

Government National Mortgage Assn. 5.5 2/20/49 993,531 1,069,014 0.021%

Government National Mortgage Assn. 5 3/20/41 159,238 175,922 0.003%

Government National Mortgage Assn. 3.5 3/20/43 6,657,359 7,157,536 0.142%

Government National Mortgage Assn. 5.5 3/20/48 964,615 1,048,595 0.021%

Government National Mortgage Assn. 10 5/15/20 25 25 0.000%

Government National Mortgage Assn. 5 5/20/36 205,948 228,482 0.005%

Government National Mortgage Assn. 5 5/20/48 1,105,641 1,193,548 0.024%

Government National Mortgage Assn. 5 6/20/49 3,637,411 3,870,657 0.077%

Government National Mortgage Assn. 6 7/15/36 2,765,254 3,140,901 0.062%

Government National Mortgage Assn. 4 8/20/48 125,642 134,729 0.003%

Government National Mortgage Assn. 4 8/20/49 701,788 745,750 0.015%

Government National Mortgage Assn. 5.5 9/15/45 4,732,169 5,365,293 0.106%

Government National Mortgage Assn. 4 9/20/49 2,407,483 2,556,583 0.051%

Government National Mortgage Association 1.07 9/20/48 2,210,521 2,186,355 0.043%

GreatAmerica Leasing Receivables Funding LLC Series 2018-1 2.6 6/15/21 1,773,449 1,774,937 0.035%

Great Wolf Trust 2019-WOLF 2.34 12/15/36 4,200,000 3,654,974 0.072%

GS Mortgage-Backed Securities Trust 2.46 7/25/44 713,000 641,403 0.013%

GS Mortgage Securities Trust 2016-GS3 1.43 10/10/49 437,773 435,696 0.009%

Halcyon Loan Advisors Funding 2014-3 3.5 10/22/25 6,000,000 5,835,758 0.116%

Hardee s Funding 4.25 6/20/48 7,592,118 7,286,839 0.144%

Harley-Davidson Financial Services 4.05 2/4/22 9,385,000 9,194,156 0.182%

Harley-Davidson Financial Services 2.52 3/2/21 8,295,000 8,343,244 0.165%

Harley-Davidson Financial Services 2.2 5/21/20 6,720,000 6,725,410 0.133%

Harley-Davidson Financial Services 2.55 6/9/22 2,715,000 2,647,114 0.052%

Hasbro 2.6 11/19/22 6,475,000 6,388,513 0.127%

Hasbro 3 11/19/24 8,695,000 8,804,192 0.174%

Highwoods Realty 3.63 1/15/23 12,275,000 12,215,847 0.242%

Hilton Grand Vacations Trust 2014 1.77 11/25/26 980,776 972,683 0.019%

Hilton Grand Vacations Trust 2017 2.66 12/26/28 1,708,152 1,676,931 0.033%

Hilton Grand Vacations Trust 2017 2.96 12/26/28 586,264 575,414 0.011%

Homeward Opportunities Fund I Trust 2018-1 3.77 6/25/48 4,609,858 4,451,930 0.088%

Homeward Opportunities Fund I Trust 2018-1 3.9 6/25/48 3,672,982 3,547,388 0.070%

Homeward Opportunities Fund I Trust 2019-1 3.45 1/25/59 7,942,579 7,640,792 0.151%

Homeward Opportunities Fund I Trust 2019-1 3.61 1/25/59 4,984,035 4,795,153 0.095%

Homeward Opportunities Fund I Trust 2019-3 2.68 11/25/59 5,016,069 4,772,683 0.095%

Homeward Opportunities Fund I Trust 2019-3 3.03 11/25/59 2,797,954 2,663,246 0.053%

Honeywell International 2.3 8/15/24 5,535,000 5,572,350 0.110%

HSBC Holdings 2.29 5/18/21 9,865,000 9,544,388 0.189%

HSBC Holdings 1.43 9/11/21 3,000,000 2,910,000 0.058%

Humana 3.85 10/1/24 495,000 500,865 0.010%

Humana 3.15 12/1/22 2,548,000 2,524,566 0.050%

Humana 2.9 12/15/22 1,360,000 1,338,905 0.027%

Hyundai Auto Receivables Trust 2017 2.38 4/17/23 2,830,000 2,839,576 0.056%

Hyundai Auto Receivables Trust 2019 2.94 5/15/25 5,280,000 5,302,192 0.105%

Hyundai Capital America 2.85 11/1/22 3,740,000 3,611,494 0.072%

Hyundai Capital America 2.38 2/10/23 14,200,000 13,394,817 0.265%

Hyundai Capital America 3.95 2/1/22 3,995,000 4,051,973 0.080%

Hyundai Capital America 2.45 6/15/21 5,395,000 5,316,999 0.105%

Hyundai Capital America 3 6/20/22 7,780,000 7,336,805 0.145%

Imperial Brands Finance 2.95 7/21/20 16,517,000 16,462,692 0.326%

Imperial Brands Finance 3.75 7/21/22 9,055,000 9,051,188 0.179%

Ing Groep 2.52 3/29/22 6,030,000 5,909,768 0.117%

Intel 3.4 3/25/25 5,780,000 6,306,304 0.125%

Intercontinental Exchange 4 10/15/23 2,885,000 3,122,929 0.062%

International Business Machines 2.88 11/9/22 1,020,000 1,055,089 0.021%

International Business Machines 2.5 1/27/22 3,715,000 3,799,494 0.075%

International Business Machines 2.85 5/13/22 6,190,000 6,355,849 0.126%

International Flavors & Fragrances 3.4 9/25/20 3,525,000 3,540,158 0.070%

Interpublic Group of 3.5 10/1/20 2,505,000 2,493,126 0.049%

InTown Hotel Portfolio Trust 2018-STAY 1.4 1/15/33 1,865,000 1,696,794 0.034%

InTown Hotel Portfolio Trust 2018-STAY 1.95 1/15/33 1,495,000 1,308,304 0.026%

Jabil 5.63 12/15/20 4,068,000 4,172,527 0.083%

JD.com 3.13 4/29/21 17,700,000 17,734,552 0.351%

Page 9 of 15

John deere Capital 1.2 4/6/23 5,090,000 4,982,535 0.099%

JPMorgan Chase 4.25 10/15/20 2,872,000 2,904,310 0.058%

JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD 2.05 9/15/29 12,870,000 11,814,271 0.234%

JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD 2.3 9/15/29 3,975,000 3,650,643 0.072%

JP Morgan Mortgage Trust 2020-INV1 2.46 8/25/50 3,361,904 3,361,904 0.067%

JP Morgan Mortgage Trust 2020-INV1 3.5 8/25/50 5,529,448 5,704,679 0.113%

JP Morgan Mortgage Trust 2020-LTV1 3.5 6/25/50 13,432,830 13,457,079 0.267%

Keurig Dr Pepper 3.55 5/25/21 7,905,000 7,992,927 0.158%

KeyBank NA/Cleveland OH 1.25 3/10/23 9,585,000 9,405,914 0.186%

KeyBank NA/Cleveland OH 2.3 9/14/22 2,740,000 2,746,924 0.054%

KKR CLO 13 2.64 1/16/28 12,130,000 11,793,423 0.234%

Kraft Heinz Foods 3.5 6/6/22 7,541,000 7,423,413 0.147%

Lincoln National 4 9/1/23 2,025,000 2,060,741 0.041%

Lyondellbasell Industries 6 11/15/21 11,669,000 11,899,078 0.236%

Madison Park Funding XVIII 3.01 10/21/30 10,775,000 10,290,125 0.204%

Magnetite XVI 2.62 1/18/28 15,995,000 15,701,700 0.311%

Marathon Oil 2.8 11/1/22 14,075,000 10,802,563 0.214%

Marsh & McLennan 3.5 12/29/20 6,340,000 6,344,305 0.126%

Marsh & McLennan 3.88 3/15/24 5,950,000 6,051,525 0.120%

Martin Marietta Materials 2.33 5/22/20 2,645,000 2,631,188 0.052%

McDonald s 3.35 4/1/23 5,285,000 5,459,823 0.108%

McDonald s 1.45 9/1/25 4,475,000 4,278,163 0.085%

McKesson 3.65 11/30/20 11,510,000 11,517,873 0.228%

METLIFE SECURITIZATION TRUST 3 4/25/55 3,423,489 3,387,348 0.067%

Microchip Technology 3.92 6/1/21 15,880,000 15,379,701 0.305%

Mill City Mortgage Loan Trust 2016-1 2.5 4/25/57 937,341 929,406 0.018%

Mitsubishi Ufj Financial 2.6 2/22/22 7,060,000 6,778,221 0.134%

Mitsubishi Ufj Financial 3.22 3/7/22 8,685,000 8,814,511 0.175%

Mitsubishi Ufj Financial 2.44 7/26/21 3,496,000 3,254,717 0.064%

Mitsubishi Ufj Financial 2.65 7/26/23 5,645,000 5,272,763 0.104%

Moody s 3.75 3/24/25 6,475,000 6,831,811 0.135%

Morgan Stanley 2.75 5/19/22 8,005,000 8,094,704 0.160%

Morgan Stanley 5.5 7/24/20 4,260,000 4,297,275 0.085%

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 4.11 10/15/47 3,065,000 3,133,921 0.062%

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 1.71 5/15/48 764,659 762,412 0.015%

Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 1.39 9/15/49 1,112,930 1,104,941 0.022%

Morgan Stanley Capital I Trust 2015-MS1 1.64 5/15/48 580,717 578,791 0.011%

Morgan Stanley Capital I Trust 2019-MEAD 3.18 11/10/36 7,880,000 6,662,425 0.132%

Mplx 1.9 9/9/21 2,000,000 2,002,500 0.040%

Mplx 2.1 9/9/22 6,195,000 6,210,488 0.123%

MVW Owner Trust 2013-1 2.15 4/22/30 283,517 283,316 0.006%

MVW Owner Trust 2014-1 2.25 9/22/31 1,221,690 1,206,832 0.024%

MVW Owner Trust 2017-1 2.42 12/20/34 845,857 823,188 0.016%

MVW Owner Trust 2017-1 2.75 12/20/34 301,374 292,630 0.006%

MVW Owner Trust 2017-1 2.99 12/20/34 757,454 735,460 0.015%

Navient Private Education Refi Loan Trust 2018 2.53 2/18/42 844,961 844,235 0.017%

Navient Private Education Refi Loan Trust 2019 2.82 2/15/68 6,150,982 6,153,775 0.122%

Navient Private Education Refi Loan Trust 2019-E 2.39 5/15/68 6,453,679 6,453,114 0.128%

Navient Private Education Refi Loan Trust 2019-E 2.64 5/15/68 11,675,000 11,892,775 0.236%

Navient Private Education Refi Loan Trust 2019-G 2.4 10/15/68 20,284,142 20,433,849 0.405%

Navient Private Education Refi Loan Trust 2020 2.46 11/15/68 6,155,000 6,225,579 0.123%

Navient Private Education Refi Loan Trust 2020 2.15 11/15/68 20,035,000 19,992,927 0.396%

Navient Student Loan Trust 2019-2 1.22 2/27/68 4,007,936 3,977,078 0.079%

Nelnet Student Loan Trust 2005-4 1.38 3/22/32 5,568,388 5,217,139 0.103%

Nelnet Student Loan Trust 2020-1 2.39 3/26/68 2,930,000 2,831,775 0.056%

Neuberger Berman CLO XIX 2.63 7/15/27 9,208,394 8,921,992 0.177%

Neuberger Berman CLO XVI-S 2.68 1/15/28 7,275,000 7,051,859 0.140%

New Orleans Hotel Trust 2019-HNLA 1.99 4/15/32 13,305,000 11,235,277 0.223%

New Residential Mortgage Loan Trust 2018-NQM1 3.99 11/25/48 8,183,485 8,133,565 0.161%

New Residential Mortgage Loan Trust 2019-NQM3 2.8 7/25/49 8,043,167 7,895,336 0.156%

New Residential Mortgage Loan Trust 2019-NQM3 3.09 7/25/49 3,173,954 3,115,986 0.062%

New Residential Mortgage Loan Trust 2019-NQM5 2.71 11/25/59 5,249,313 5,186,659 0.103%

New Residential Mortgage Loan Trust 2020-NQM1 2.46 1/26/60 5,467,578 5,396,690 0.107%

New Residential Mortgage Loan Trust 2020-NQM1 2.77 1/26/60 4,293,134 4,237,981 0.084%

New York Life Global Funding 2.06 8/6/21 10,540,000 10,342,375 0.205%

NextEra Energy Capital Holdings 2.16 8/28/21 10,945,000 10,928,583 0.216%

Nissan Master Owner Trust Receivables 1.13 11/15/23 12,890,000 12,253,238 0.243%

Nissan Motor Acceptance 2.15 7/13/20 2,490,000 2,464,679 0.049%

Nissan Motor Acceptance 3.65 9/21/21 2,395,000 2,346,537 0.046%

Nissan Motor Acceptance 2.15 9/28/20 13,270,000 13,286,893 0.263%

Northrop Grumman 2.55 10/15/22 5,765,000 5,758,970 0.114%

NRG Energy 3.75 6/15/24 4,470,000 4,418,394 0.088%

Page 10 of 15

NXP BV / NXP Funding 4.13 6/1/21 4,980,000 5,023,575 0.100%

NXP BV / NXP Funding 4.63 6/1/23 8,535,000 8,716,369 0.173%

NXP BV / NXP Funding 4.63 6/15/22 2,120,000 2,130,600 0.042%

NXP BV / NXP Funding 3.88 9/1/22 5,050,000 4,915,261 0.097%

OBX 2019-EXP2 Trust 2.15 6/25/59 1,974,056 1,871,191 0.037%

OBX 2019-EXP3 Trust 1.85 10/25/59 9,482,038 8,983,550 0.178%

OBX 2020-EXP1 Trust 3.5 2/25/60 8,290,691 8,076,802 0.160%

OBX 2020-EXP1 Trust 1.9 2/25/60 2,329,328 2,190,677 0.043%

OBX 2020-INV1 Trust 3.5 12/25/49 3,714,891 3,774,520 0.075%

Occidental Petroleum 2.6 8/13/21 7,150,000 5,720,000 0.113%

Occidental Petroleum 2.7 8/15/22 13,635,000 9,714,938 0.192%

OCP CLO 2014-7 2.94 7/20/29 21,700,000 20,862,251 0.413%

OCP CLO 2015-10 2.61 10/26/27 9,058,022 8,820,843 0.175%

Octagon Investment Partners XXIII 2.68 7/15/27 5,090,000 4,897,966 0.097%

Oracle 2.5 4/1/25 7,345,000 7,499,950 0.149%

O Reilly Automotive 3.8 9/1/22 3,280,000 3,314,601 0.066%

Otis Worldwide 2.06 4/5/25 7,965,000 7,829,914 0.155%

OZLM VIII 3.01 10/17/29 8,565,000 8,221,231 0.163%

PACCAR Financial 3.1 5/10/21 10,660,000 10,643,573 0.211%

Panasonic 2.54 7/19/22 5,560,000 5,458,180 0.108%

Park Aerospace Holdings 4.5 3/15/23 3,075,000 2,552,250 0.051%

Park Aerospace Holdings 5.25 8/15/22 6,200,000 5,463,750 0.108%

Penske Truck Leasing Co Lp / PTL Finance 3.38 2/1/22 6,330,000 6,185,290 0.123%

Penske Truck Leasing Co Lp / PTL Finance 3.3 4/1/21 1,580,000 1,587,349 0.031%

Penske Truck Leasing Co Lp / PTL Finance 3.2 7/15/20 11,323,000 11,369,039 0.225%

Penske Truck Leasing Co Lp / PTL Finance 3.65 7/29/21 3,145,000 3,143,028 0.062%

PepsiCo 2.25 3/19/25 9,005,000 9,339,491 0.185%

Pernod Ricard 4.45 1/15/22 8,946,000 9,208,726 0.182%

Perrigo Finance Unlimited 3.5 12/15/21 3,813,000 3,902,293 0.077%

Perrigo Finance Unlimited 3.9 12/15/24 11,867,000 11,419,697 0.226%

Perrigo Finance Unlimited 3.5 3/15/21 1,163,000 1,139,506 0.023%

Phillips 66 2.25 2/26/21 5,230,000 4,891,007 0.097%

Plains All American Pipeline LP / PAA Finance 5 2/1/21 3,554,000 3,509,575 0.070%

Planet Fitness Master Issuer 4.26 9/5/48 10,219,375 9,631,046 0.191%

PNC Bank NA 2.45 11/5/20 6,965,000 7,042,834 0.140%

PNC Bank NA 2.45 7/28/22 7,050,000 6,903,473 0.137%

PNM Resources 3.25 3/9/21 7,620,000 7,642,906 0.151%

POSCO 2.38 11/12/22 8,335,000 8,372,227 0.166%

POSCO 2.38 1/17/23 5,205,000 5,216,876 0.103%

QVC 4.38 3/15/23 4,810,000 4,611,588 0.091%

QVC 5.13 7/2/22 9,735,000 8,080,050 0.160%

Regions Bank/Birmingham AL 2.29 4/1/21 10,315,000 10,126,318 0.201%

Regions Bank/Birmingham AL 3.37 8/13/21 15,300,000 15,383,354 0.305%

Regions Bank/Birmingham AL 2.21 8/13/21 4,050,000 4,050,061 0.080%

Reinsurance Group of America 5 6/1/21 910,000 934,794 0.019%

RELX Capital 3.5 3/16/23 4,470,000 4,655,755 0.092%

Republic Services 2.5 8/15/24 6,285,000 6,346,260 0.126%

RETL 2019-RVP 1.85 3/15/36 1,993,409 1,821,567 0.036%

Reynolds American 3.25 6/12/20 2,201,000 2,190,587 0.043%

Roper Technologies 3.13 11/15/22 11,005,000 11,102,460 0.220%

Roper Technologies 3 12/15/20 4,195,000 4,202,849 0.083%

Roper Technologies 3.65 9/15/23 2,210,000 2,274,594 0.045%

Roper Technologies 2.35 9/15/24 2,640,000 2,571,991 0.051%

Sabine Pass Liquefaction 5.63 2/1/21 20,505,000 20,094,900 0.398%

Sabine Pass Liquefaction 6.25 3/15/22 18,281,000 17,732,570 0.351%

San Diego Gas & Electric 1.91 2/1/22 1,627,175 1,619,627 0.032%

Santander Drive Auto Receivables Trust 2016-1 4.02 4/15/22 3,959,298 3,958,071 0.078%

Santander Drive Auto Receivables Trust 2016-3 2.46 3/15/22 2,605,654 2,596,760 0.051%

Santander Drive Auto Receivables Trust 2017-1 2.58 5/16/22 253,126 252,906 0.005%

Santander Drive Auto Receivables Trust 2018-1 2.96 3/15/24 1,975,000 1,962,960 0.039%

Santander Drive Auto Receivables Trust 2018-2 3.35 7/17/23 2,490,000 2,478,433 0.049%

Santander Drive Auto Receivables Trust 2018-2 3.03 9/15/22 1,433,927 1,434,355 0.028%

Santander Drive Auto Receivables Trust 2018-4 3.27 1/17/23 4,347,679 4,350,663 0.086%

Santander Drive Auto Receivables Trust 2019-1 3.21 9/15/23 3,090,000 3,083,823 0.061%

Santander Drive Auto Receivables Trust 2019-3 2.28 9/15/23 8,005,000 7,816,000 0.155%

Santander Retail Auto Lease Trust 2017 2.96 11/21/22 2,540,000 2,534,343 0.050%

Santander Retail Auto Lease Trust 2018 3.49 5/20/22 7,295,000 7,315,967 0.145%

Santander Retail Auto Lease Trust 2019 2.77 6/20/22 6,050,000 6,064,868 0.120%

Santander Retail Auto Lease Trust 2019 2.88 6/20/24 13,585,000 13,413,894 0.266%

Santander Retail Auto Lease Trust 2019 2.77 8/21/23 4,715,000 4,068,355 0.081%

Santander Retail Auto Lease Trust 2020 2.52 11/20/24 5,280,000 5,093,418 0.101%

Santander UK 2.13 11/3/20 4,985,000 4,952,787 0.098%

Page 11 of 15

Santander UK 2.1 1/13/23 9,235,000 8,946,406 0.177%

Santander UK Group Holdings 2.88 10/16/20 5,820,000 5,806,631 0.115%

Saudi Arabian Oil 2.75 4/16/22 13,480,000 13,215,228 0.262%

SBA Tower Trust 3.87 10/8/24 2,540,000 2,602,794 0.052%

SBA Tower Trust 2.84 1/15/25 7,240,000 6,947,976 0.138%

SBA Tower Trust 3.45 3/15/23 6,515,000 6,583,453 0.130%

SBA Tower Trust 3.17 4/15/22 9,360,000 9,432,297 0.187%

Schlumberger Holdings 3.75 5/1/24 5,095,000 4,803,979 0.095%

Sempra Energy 2.88 10/1/22 4,570,000 4,495,194 0.089%

Sempra Energy 2.33 1/15/21 7,910,000 7,474,950 0.148%

Sequoia Mortgage Trust 2018-CH1 3.5 2/25/48 4,892,650 4,839,201 0.096%

Sequoia Mortgage Trust 2018-CH2 4 6/25/48 8,964,291 9,036,774 0.179%

Sequoia Mortgage Trust 2018-CH2 4 6/25/48 3,424,213 3,446,959 0.068%

Sequoia Mortgage Trust 2018-CH3 4.5 8/25/48 2,046,512 2,060,513 0.041%

Sequoia Mortgage Trust 2018-CH4 4 10/25/48 2,988,127 2,974,531 0.059%

Sequoia Mortgage Trust 2018-CH4 4.5 10/25/48 1,937,793 1,941,762 0.038%

Shanghai Electric Group Global Investment 2.65 11/21/24 16,700,000 17,005,859 0.337%

Shire Acquisitions Investments Ireland DAC 2.88 9/23/23 915,000 935,003 0.019%

Sierra Timeshare 2015-3 Receivables Funding 2.58 9/20/32 1,367,164 1,355,508 0.027%

Sierra Timeshare 2016-1 Receivables Funding 3.08 3/21/33 1,072,985 1,066,704 0.021%

Sierra Timeshare 2016-2 Receivables Funding 2.33 7/20/33 711,418 701,634 0.014%

Sierra Timeshare 2016-3 Receivables Funding 2.43 10/20/33 2,334,009 2,299,267 0.046%

Sierra Timeshare 2019-1 Receivables Funding 3.2 1/20/36 2,623,803 2,603,444 0.052%

Sierra Timeshare 2019-2 Receivables Funding 2.59 5/20/36 8,820,947 8,683,452 0.172%

Sierra Timeshare Conduit Receivables Funding 2.91 3/20/34 616,160 607,893 0.012%

Sinosing Services Pte 2.25 2/20/25 16,700,000 16,596,993 0.329%

Sky 3.75 9/16/24 2,840,000 3,005,910 0.060%

SLIde 2018-FUN 2.55 6/15/31 6,708,523 5,901,658 0.117%

SLM Student Loan Trust 2007-7 2.12 1/25/22 7,943,726 7,595,486 0.150%

SLM Student Loan Trust 2008-1 2.44 1/25/22 13,269,239 12,663,032 0.251%

SLM Student Loan Trust 2008-5 3.49 7/25/23 2,000,890 1,882,973 0.037%

SLM Student Loan Trust 2008-9 3.29 4/25/23 1,461,323 1,442,686 0.029%

SLM Student Loan Trust 2010-1 1.35 3/25/25 7,442,195 7,072,392 0.140%

SMBC Aviation Capital Finance DAC 3.55 4/15/24 2,800,000 2,987,970 0.059%

SMBC Aviation Capital Finance DAC 2.65 7/15/21 540,000 534,440 0.011%

SMBC Aviation Capital Finance DAC 4.13 7/15/23 1,631,000 1,716,089 0.034%

Smb Private Education Loan Trust 2014 2.2 4/15/32 12,170,000 12,145,296 0.241%

Smb Private Education Loan Trust 2015 1.7 6/15/27 1,934,986 1,881,997 0.037%

Smb Private Education Loan Trust 2016 2.43 2/17/32 6,713,276 6,757,015 0.134%

Smb Private Education Loan Trust 2016 1.8 9/15/34 10,175,862 9,955,164 0.197%

Smb Private Education Loan Trust 2018 1.42 1/15/37 15,791,115 14,364,324 0.285%

Southern 2.35 7/1/21 2,695,000 2,699,420 0.053%

Southern Copper 5.38 4/16/20 5,768,000 5,743,478 0.114%

STACR Trust 2018-DNA2 1.75 12/25/30 7,085,723 6,975,178 0.138%

STACR Trust 2018-DNA2 1.9 12/25/30 7,535,000 7,539,521 0.149%

STACR Trust 2018-DNA3 1.7 9/25/48 2,297,854 2,262,671 0.045%

STACR Trust 2018-DNA3 1.85 9/25/48 5,505,000 5,505,000 0.109%

STACR Trust 2018-HRP2 2.2 2/25/47 5,421,641 5,140,463 0.102%

Standard Chartered 2.97 1/20/23 7,600,000 7,334,775 0.145%

Standard Chartered 2.74 9/10/22 6,285,000 6,199,599 0.123%

Starbucks 2.7 6/15/22 3,505,000 3,551,536 0.070%

Starwood Mortgage Residential Trust 2019-1 2.94 6/25/49 6,432,044 6,388,602 0.127%

Starwood Mortgage Residential Trust 2019-1 3.3 6/25/49 4,347,476 4,319,085 0.086%

Starwood Mortgage Residential Trust 2019-IMC1 3.47 2/25/49 3,749,836 3,731,318 0.074%

Starwood Mortgage Residential Trust 2019-INV1 2.61 9/27/49 1,258,279 1,199,122 0.024%

Starwood Mortgage Residential Trust 2019-INV1 2.92 9/27/49 2,695,702 2,569,214 0.051%

Starwood Mortgage Residential Trust 2020-1 2.41 2/25/50 3,487,879 3,346,064 0.066%

State Grid Overseas Investment 2016 2.25 5/4/20 18,240,000 18,249,427 0.361%

Svenska Handelsbanken 3.35 5/24/21 9,315,000 9,424,600 0.187%

Swedbank 2.65 3/10/21 16,118,000 16,193,771 0.321%

Symphony CLO XVII 2.71 4/15/28 10,095,000 9,762,717 0.193%

Synchrony Bank 3 6/15/22 3,013,000 2,884,318 0.057%

Synchrony Card Funding 2.34 6/15/25 13,765,000 13,585,946 0.269%

Synchrony Card Issuance Trust 3.38 9/15/24 13,240,000 13,275,315 0.263%

Synchrony Credit Card Master Note Trust 3.36 3/15/24 12,480,685 12,470,235 0.247%

Synchrony Credit Card Master Note Trust 2.95 5/15/24 8,841,763 8,817,977 0.175%

Synchrony Credit Card Master Note Trust 2.62 9/15/23 3,660,000 3,647,796 0.072%

Synchrony Financial 2.85 7/25/22 25,375,000 24,160,223 0.479%

Syngenta Finance 3.93 4/23/21 4,410,000 4,217,063 0.084%

Syngenta Finance 3.7 4/24/20 7,690,000 7,700,205 0.153%

SYNGENTA WILMINGTON INC 4/2 144A CP 2.35 6/25/20 13,925,000 13,821,545 0.274%

Takeda Pharmaceutical 4 11/26/21 12,285,000 12,450,897 0.247%

Page 12 of 15

Telefonica Emisiones 5.13 4/27/20 6,840,000 6,850,855 0.136%

Texas Instruments 1.38 3/12/25 4,070,000 4,024,009 0.080%

TJX 3.5 4/15/25 4,340,000 4,437,897 0.088%

Toronto-Dominion Bank 2.03 1/25/21 12,240,000 12,032,373 0.238%

Towd Point Mortgage Trust 2015-4 2.75 4/25/55 2,492,996 2,480,810 0.049%

Towd Point Mortgage Trust 2015-5 2.75 5/25/55 2,637,637 2,615,991 0.052%

Towd Point Mortgage Trust 2016-1 2.75 2/25/55 1,441,675 1,435,846 0.028%

Towd Point Mortgage Trust 2016-1 3 2/25/55 2,148,524 2,135,930 0.042%

Towd Point Mortgage Trust 2016-2 2.75 8/25/55 1,431,457 1,412,033 0.028%

Towd Point Mortgage Trust 2016-3 2.25 4/25/56 1,056,431 1,045,156 0.021%

Towd Point Mortgage Trust 2017-1 2.75 10/25/56 5,088,838 5,090,885 0.101%

Towd Point Mortgage Trust 2017-2 2.75 4/25/57 3,035,700 2,973,770 0.059%

Towd Point Mortgage Trust 2017-3 2.75 7/25/57 6,693,917 6,564,176 0.130%

Towd Point Mortgage Trust 2017-4 2.75 6/25/57 3,543,315 3,431,059 0.068%

Towd Point Mortgage Trust 2017-6 2.75 10/25/57 12,962,227 12,971,261 0.257%

Towd Point Mortgage Trust 2018-1 3 1/25/58 2,867,816 2,880,781 0.057%

Towd Point Mortgage Trust 2018-2 3.25 3/25/58 17,448,862 17,640,503 0.349%

Towd Point Mortgage Trust 2018-5 3.25 7/25/58 12,796,035 12,951,515 0.257%

Trinity Acquisition 3.5 9/15/21 5,535,000 5,389,706 0.107%

TRP Government Reserve 0.95 12,014,775 12,014,775 0.238%

Truist Bank 1.25 3/9/23 19,830,000 19,210,967 0.381%

Truist Bank 2.8 5/17/22 8,110,000 8,210,751 0.163%

Truist Financial 2.15 2/1/21 9,285,000 9,273,765 0.184%

Tyson Foods 2.25 8/23/21 4,705,000 4,678,473 0.093%

Ubs 3 4/15/21 14,810,000 14,823,951 0.294%

Ubs 2.9 5/23/23 7,020,000 6,617,235 0.131%

Union Pacific 3.2 6/8/21 10,145,000 10,239,338 0.203%

United Airlines 2019-2 Class B Pass Through Trust 3.5 5/1/28 2,985,000 3,121,548 0.062%

United Parcel Service 3.9 4/1/25 4,170,000 4,527,661 0.090%

USAA Auto Owner Trust 2017-1 2.2 10/15/24 3,149,500 3,126,235 0.062%

US Bank NA/Cincinnati OH 2.11 4/26/21 12,770,000 12,611,039 0.250%

U.S. Treasury Notes 1.38 10/15/22 17,750,000 18,224,258 0.361%

U.S. Treasury Notes 2.5 1/15/22 103,845,000 107,933,897 2.138%

U.S. Treasury Notes 2.13 5/15/22 19,375,000 20,107,617 0.398%

U.S. Treasury Notes 1.75 6/15/22 60,580,000 62,492,056 1.238%

U.S. Treasury Notes 1.75 7/15/22 67,395,000 69,574,807 1.378%

U.S. Treasury Notes 1.5 9/15/22 96,495,000 99,299,386 1.967%

Ventas Realty 3.1 1/15/23 1,455,000 1,428,277 0.028%

Verizon Communications 2.95 3/15/22 5,360,000 5,472,399 0.108%

Verizon Communications 3 3/22/27 1,180,000 1,242,103 0.025%

Verizon Communications 5.15 9/15/23 5,735,000 6,402,175 0.127%

Verizon Owner Trust 2017-1 2.65 9/20/21 2,670,000 2,660,216 0.053%

Verizon Owner Trust 2017-3 2.53 4/20/22 7,520,000 7,270,171 0.144%

Verizon Owner Trust 2018-1 3.2 9/20/22 10,190,000 10,027,508 0.199%

Verus Securitization Trust 2018-1 2.93 2/25/48 975,557 926,413 0.018%

Verus Securitization Trust 2018-2 3.68 6/1/58 5,710,448 5,552,486 0.110%

Verus Securitization Trust 2018-2 3.78 6/1/58 1,520,204 1,477,258 0.029%

Verus Securitization Trust 2018-2 3.83 6/1/58 953,759 925,977 0.018%

Verus Securitization Trust 2018-3 4.11 10/25/58 5,806,772 5,693,701 0.113%

Verus Securitization Trust 2018-INV1 3.63 3/25/58 2,075,296 1,970,723 0.039%

Verus Securitization Trust 2018-INV1 3.85 3/25/58 917,962 875,005 0.017%

Verus Securitization Trust 2019-1 3.84 2/25/59 7,377,125 7,158,703 0.142%

Verus Securitization Trust 2019-2 3.21 5/25/59 5,761,706 5,641,381 0.112%

Verus Securitization Trust 2019-INV1 3.4 12/25/59 3,398,173 3,255,207 0.064%

Verus Securitization Trust 2019-INV1 4.03 12/25/59 1,795,000 1,591,487 0.032%

Verus Securitization Trust 2019-INV2 2.91 7/25/59 10,847,087 10,678,765 0.212%

Verus Securitization Trust 2019-INV3 3.1 11/25/59 5,078,717 4,918,011 0.097%

Verus Securitization Trust 2020-1 2.42 1/25/60 12,649,933 12,141,124 0.240%

Verus Securitization Trust 2020-1 2.72 1/25/60 5,045,238 4,843,439 0.096%

Vistra Operations 3.55 7/15/24 22,120,000 20,820,450 0.412%

Vodafone 3.75 1/16/24 5,530,000 5,662,825 0.112%

Volkswagen Group of America Finance 3.88 11/13/20 8,190,000 8,156,290 0.162%

Volkswagen Group of America Finance 2.5 9/24/21 2,030,000 1,980,858 0.039%

Volkswagen Group of America Finance 2.7 9/26/22 4,755,000 4,565,813 0.090%

Volvo Financial Equipment LLC Series 2018-1 2.91 1/17/23 3,360,000 3,302,171 0.065%

Volvo Financial Equipment Master Owner Trust 1.2 11/15/22 1,890,000 1,826,349 0.036%

Vulcan Materials 2.23 3/1/21 12,040,000 11,551,742 0.229%

Vulcan Materials 1.34 6/15/20 6,350,000 6,343,364 0.126%

Walgreen 3.1 9/15/22 3,235,000 3,240,480 0.064%

Walmart 3.4 6/26/23 3,420,000 3,639,116 0.072%

Walt Disney 3.35 3/24/25 11,845,000 12,911,394 0.256%

WEA Finance LLC / Westfield UK & Europe Finance 3.25 10/5/20 2,515,000 2,536,516 0.050%

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Wells Fargo 2.55 12/7/20 715,000 715,000 0.014%

Wells Fargo 3.5 3/8/22 5,370,000 5,462,799 0.108%

Wells Fargo Bank NA 3.33 7/23/21 16,650,000 16,649,600 0.330%

Wells Fargo Bank NA 2.08 9/9/22 8,065,000 8,034,756 0.159%

Wells Fargo Commercial Mortgage Trust 2015-NXS2 3.02 7/15/58 3,783,512 3,796,995 0.075%

Western Midstream Operating 4 7/1/22 13,190,000 8,507,550 0.169%

WFRBS Commercial Mortgage Trust 2012-C6 4.7 4/15/45 6,351,000 6,392,961 0.127%

Williams 3.7 1/15/23 16,130,000 14,900,088 0.295%

Williams 3.35 8/15/22 1,605,000 1,524,750 0.030%

World Omni Automobile Lease Securitization Trust 2018 3.06 5/15/23 2,135,000 2,102,410 0.042%

World Omni Auto Receivables Trust 1.64 8/17/26 3,390,000 3,285,998 0.065%

World Omni Auto Receivables Trust 2019 2.4 6/15/26 5,370,000 5,290,217 0.105%

WPP Finance 2010 3.63 9/7/22 2,255,000 2,242,909 0.044%

Total Investments in Securities 5,055,133,431

Swap Contracts Notional Amount Market Value % of Net Assets

AT&T INC CDS 06/20/2025 (3,555,000) (198,746) (0.004%)

AT&T INC CDS 06/20/2025 (12,445,000) (695,750) (0.014%)

BOEING CO DEB CDS 12/20/2021 (28,000,000) (1,627,752) (0.032%)

DEVON ENERGY CORP CDS 12/20/2024 (1,830,000) (240,511) (0.005%)

DEVON ENERGY CORP CDS 12/20/2024 (1,510,000) (198,455) (0.004%)

GENERAL ELECTRIC CO CDS 12/20/2020 (9,775,000) (25,591) (0.001%)

GENERAL ELECTRIC CO CDS 12/20/2020 (7,570,000) (19,818) 0.000%

GENERAL ELECTRIC CO CDS 12/20/2020 (5,330,000) (13,954) 0.000%

GENERAL ELECTRIC CO CDS 12/20/2020 (4,825,000) (12,632) 0.000%

GENERAL MILLS INC CDS 12/20/2024 6,875,000 (228,608) (0.005%)

GENERAL MILLS INC CDS 12/20/2024 6,938,000 (230,702) (0.005%)

GENERAL MILLS INC CDS 12/20/2024 4,857,000 (161,505) (0.003%)

GENERAL MILLS INC CDS 12/20/2024 6,940,000 (230,769) (0.005%)

OMNICOM GROUP INC CDS 12/20/2024 6,875,000 (169,964) (0.003%)

OMNICOM GROUP INC CDS 12/20/2024 6,875,000 (169,964) (0.003%)

VERIZON COMMUNICATIONS CDS 06/20/2025 (6,810,000) (71,737) (0.001%)

VERIZON COMMUNICATIONS CDS 06/20/2025 (9,190,000) (96,807) (0.002%)

WILLIAMS COS INC CDS 06/20/2025 (15,630,000) (1,362,280) (0.027%)

CDX IG CDSI S33 5Y 12/20/2024 28,555,000 (103,712) (0.002%)

(5,859,256)

Futures Contracts Contracts Expiration Contract Value Unrealized G/L % of Net Assets

FVM0 5YR US NOTE FUT JUN 20 (1,286) 6/30/2020 (161,212,163) (4,303,142) (3.193%)

TUM0 2YR US NOTE FUT JUN 20 8,208 6/30/2020 1,808,902,121 27,073,262 35.830%

TYM0 UST 10YR FUT JUN 20 (1,147) 6/19/2020 (159,074,563) (4,158,052) (3.151%)

Total Futures Contracts 18,612,068

NET ASSETS 5,048,592,202

NET ASSET VALUE PER SHARE

Short-Term Bond Fund Shares 4.64

($4,132,649,281 / 890,996,378 Shares Outstanding)

Short-Term Bond Fund - Advisor Class Shares 4.64

($26,413,333 / 5,690,113 Shares Outstanding)

Short-Term Bond Fund - I Class Shares 4.64

($889,529,588 / 191,655,360 Shares Outstanding)

ADR American Depository Receipts

ADS American Depository Shares

AR Auction Rate security with an interest rate reset feature through a modified Dutch auction at predetermined short-term intervals; rate shown is effective rate at period end

ARM Adjustable Rate Mortgage

BAN Bond Anticipation Note

CDA Community Development Administration

CLN Credit Linked Note

CMO Collateralized Mortgage Obligation

COP Certificate of Participation

DOT Department of Transportation

EFA Educational Facility Authority

ETC Equipment Trust Certificate

FDR Fiduciary Depository Receipt

FRN Floating Rate Note

GDR Global Depository Receipts

GDS Global Depository Shares

GO General Obligation

HDA Housing Development Authority

HEFA Health & Education Facility Authority

HFA Health Facility Authority

HFC Housing Finance Corp

HFFA Health Facility Financing Authority

HHEFA Health & Higher Education Facility Authority

Total Swap Contracts

Page 14 of 15

IDA Industrial Development Authority/Agency

IDB Industrial Development Bond

IDC Industrial Development Corp

IDRB Industrial Development Revenue Bond

IO Interest Only security for which the fund receives interest on notional principal (par)

PCR Pollution Control Revenue

PFA Public Finance Authority

PIK Payment-in-kind

PTC Pass-Through Certificate

RAC Revenue Anticipation Certificate

RAN Revenue Anticipation Note

RAW Revenue Anticipation Warrant

REIT Real Estate Investment Trust

RIB Residual interest bond issued by a third party securitization trust and purchased directly through a cash transaction that involved no exchange of previously held securities; rate varies

inversely to short-term rates and the rate presented is the effective rate at period-end

STEP Stepped coupon bond for which the coupon rate of interest will adjust on specified future dates(s)

TAN Tax Anticipation Note

TAW Tax Anticipation Warrant

TBA To Be Announced purchase commitment

TDFA Trade & Deposit Facility Agreement

TECP Tax-Exempt Commercial Paper

TRAN Tax Revenue Anticipation Note

VR Variable Rate; rate shown is effective rate at period end

VRDN Variable Rate Demand Note under which the holder has the right to sell the security to the issuer or the issuer's agent at a predetermined price (generally par) on specified dates upon

required notification; rate shown is effective rate at period-end

Important Information

The portfolio data contained herein is for informational purposes only and does not constitute a recommendation or an offer for a particular security or investment. Unlike the fund's regulatory

filings, the portfolio data and its presentation in this document do not conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation

requirements. The holdings are not audited and the information may differ in certain respects, such as derivatives exposure and security name, from the information found in the complete list

of portfolio investments in the semiannual and annual shareholder reports and Form N-Q.

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