Page 1 of 23 · American Airlines 2015-1 Class B Pass Through Trust 3.7 5/1/23 5,374,445 4,890,745...

T. Rowe Price New Income Fund 03/31/2020

(Unaudited)

Portfolio of Investments

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

225 Liberty Street Trust 2016-225L 3.6 2/10/36 13,535,000 14,000,791 0.067%

280 Park Avenue 2017-280P Mortgage Trust 1.58 9/15/34 27,347,418 25,636,279 0.123%

280 Park Avenue 2017-280P Mortgage Trust 1.78 9/15/34 22,175,000 20,232,579 0.097%

AbbVie 4.88 11/14/48 37,285,000 42,942,328 0.206%

AbbVie 2.95 11/21/26 36,635,000 37,557,909 0.180%

AbbVie 3.2 11/21/29 9,465,000 9,525,339 0.046%

AbbVie 4.05 11/21/39 13,075,000 13,665,140 0.065%

AbbVie 3.6 5/14/25 36,019,000 37,733,937 0.181%

AbbVie 4.7 5/14/45 28,387,000 31,885,130 0.153%

Abu Dhabi National Energy Co PJSC 4.38 4/23/25 30,000,000 30,281,190 0.145%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.5 1/15/25 4,085,000 3,383,638 0.016%



Aflac 3.6 4/1/30 7,455,000 7,572,826 0.036%

Aia 3.9 4/6/28 42,045,000 44,623,073 0.214%

Aib 4.26 4/10/25 24,875,000 23,925,372 0.115%

Alexandria Real Estate Equities 3.95 1/15/27 26,345,000 26,727,846 0.128%



Alibaba Group Holding 3.6 11/28/24 34,045,000 35,997,206 0.173%

Allergan Funding SCS 2.63 11/15/28 8,120,000 9,259,236 0.044%

Altice Financing 7.5 5/15/26 12,800,000 12,448,000 0.060%

Altice Finco 7.63 2/15/25 8,450,000 7,805,688 0.037%

Altice France SA/France 5.5 1/15/28 10,315,000 9,721,888 0.047%

Altria 4.8 2/14/29 16,710,000 17,398,084 0.083%

Altria 5.8 2/14/39 34,280,000 37,565,738 0.180%

Altria 5.95 2/14/49 20,574,000 23,884,809 0.114%

American Airlines 2014-1 Class B Pass Through Trust 4.38 10/1/22 2,654,546 2,441,662 0.012%


American Airlines 2016-1 Class AA Pass Through Trust 3.58 1/15/28 18,453,600 15,878,308 0.076%


American Airlines 2017-2 Class AA Pass Through Trust 3.35 10/15/29 27,091,309 24,436,496 0.117%



American Campus Communities Operating Partnership 3.63 11/15/27 18,040,000 18,019,128 0.086%



American International 3.9 4/1/26 587,000 599,976 0.003%

AmeriCredit Automobile Receivables Trust 2016-2 3.65 5/9/22 6,754,000 6,769,249 0.032%


Americredit Automobile Receivables Trust 2019-1 3.13 2/18/25 7,140,000 7,153,767 0.034%



Angel Oak Mortgage Trust I LLC 2019-1 3.92 11/25/48 31,968,354 30,884,965 0.148%

Angel Oak Mortgage Trust I LLC 2019-1 4.02 11/25/48 10,203,585 9,858,174 0.047%

Anglo American Capital 4.75 4/10/27 17,831,000 17,206,915 0.082%

Anglo American Capital 4 9/11/27 2,755,000 2,534,600 0.012%

Anglo American Capital 4.13 9/27/22 10,475,000 10,278,594 0.049%

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide 4.9 2/1/46 19,500,000 21,979,074 0.105%

Anheuser-Busch InBev Worldwide 5.55 1/23/49 45,225,000 53,157,194 0.255%

Applebee S Funding Llc / Ihop Funding 4.19 6/7/49 38,245,000 34,783,828 0.167%

APT Pipelines 3.88 10/11/22 19,635,000 19,580,336 0.094%

APT Pipelines 4.25 7/15/27 4,738,000 4,697,566 0.023%

Ari Fleet Lease Trust 2016 2.11 7/15/24 4,150,519 4,145,133 0.020%

Ashford Hospitality Trust 2018-ASHF 1.6 4/15/35 22,399,379 18,061,834 0.087%



Atrium Hotel Portfolio Trust 2017-ATRM 1.63 12/15/36 26,700,000 24,727,535 0.119%

Ausgrid Finance Pty 3.85 5/1/23 15,280,000 15,792,445 0.076%

Ausgrid Finance Pty 4.35 8/1/28 24,055,000 27,358,858 0.131%

Austin Fairmont Hotel Trust 2019-FAIR 1.95 9/15/32 11,890,000 9,594,703 0.046%

Austin Fairmont Hotel Trust 2019-FAIR 2.5 9/15/32 4,935,000 3,881,541 0.019%

Avantor 4.75 10/1/24 21,350,000 22,431,510 0.108%

Aventura Mall Trust 4.25 7/5/40 39,170,000 40,481,545 0.194%

Avis Budget Car Rental 2.74 8/6/27 24,738,000 19,831,712 0.095%

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Avis Budget Rental Car Funding AESOP 2.72 11/20/22 27,796,000 27,236,628 0.131%


Avis Budget Rental Car Funding AESOP 4 3/20/25 75,700,000 74,694,416 0.358%





Avnet 4.88 12/1/22 30,360,000 32,144,439 0.154%

Avolon Holdings Funding 5.13 10/1/23 39,095,000 32,839,800 0.157%



Avolon TLB Borrower 1 US 3.15 2/12/27 47,000,000 40,126,250 0.192%

Baidu 4.88 11/14/28 13,995,000 15,792,945 0.076%

Baidu 4.38 3/29/28 42,670,000 46,731,000 0.224%

Baidu 4.38 5/14/24 12,910,000 13,763,501 0.066%

Baidu 2.88 7/6/22 31,475,000 31,491,587 0.151%

Baidu 3.63 7/6/27 6,360,000 6,622,694 0.032%

Baidu 3.88 9/29/23 20,211,000 20,987,601 0.101%

BAMLL Commercial Mortgage Securities Trust 2018-DSNY 1.55 9/15/34 43,235,000 36,757,800 0.176%

Banco De Bogota 4.38 8/3/27 34,200,000 30,829,847 0.148%

Banco Santander Chile 3.88 9/20/22 18,645,000 18,476,002 0.089%

BANK 2017-BNK8 3.73 11/15/50 2,705,000 2,712,214 0.013%

BANK 2019-BNK21 3.52 10/17/52 10,355,000 7,204,643 0.035%

BANK 2019-BNK22 3.46 11/15/62 16,000,000 11,123,674 0.053%

BANK 2019-BNK23 3.46 12/15/52 6,770,000 5,968,880 0.029%

BANK 2019-BNK23 3.63 12/15/52 11,530,000 8,011,516 0.038%

BANK 2020-BNK25 3.35 1/15/63 10,020,000 7,675,778 0.037%

Bank of America 3.37 1/23/26 35,000,000 36,712,480 0.176%

Bank of America 3.55 3/5/24 47,295,000 48,950,893 0.235%

Bank of America 3.56 4/23/27 11,780,000 12,327,275 0.059%

Bank of America 4.27 7/23/29 43,560,000 47,034,607 0.225%

Barclays 3.68 1/10/23 16,571,000 16,486,256 0.079%

Barclays 4.61 2/15/23 34,120,000 34,587,478 0.166%

Barclays 3.93 5/7/25 20,485,000 20,441,654 0.098%

Barclays Bank 5.14 10/14/20 32,074,000 32,629,554 0.156%

Barclays Commercial Mortgage Trust 2019-C5 3.71 11/15/52 13,525,000 9,557,440 0.046%

Barings BDC Static CLO Ltd 2019-1 2.85 4/15/27 19,227,337 19,038,800 0.091%

Barings BDC Static CLO Ltd 2019-1 3.48 4/15/27 15,700,000 14,997,585 0.072%

Barings CLO Ltd 2013-I 2.62 1/20/28 38,255,000 37,172,463 0.178%

Barings CLO Ltd 2016-II 2.9 7/20/28 29,655,000 29,091,161 0.139%

BAT Capital 3.22 8/15/24 24,530,000 24,218,911 0.116%

BAT Capital 3.56 8/15/27 40,620,000 38,406,819 0.184%

Bayer US Finance II 3.88 12/15/23 54,964,000 56,037,722 0.269%

Bayview Opportunity Master Fund IVa Trust 2017-RT1 3 3/28/57 4,799,019 4,721,325 0.023%

Bayview Opportunity Master Fund IVa Trust 2017-SPL5 3.5 6/28/57 1,402,563 1,371,349 0.007%

Bayview Opportunity Master Fund IVb Trust 2017-RT2 3.5 8/28/57 4,288,906 4,270,962 0.020%

BBCMS 2019-BWAY Mortgage Trust 2.86 11/25/34 10,230,000 9,375,646 0.045%

BBCMS Mortgage Trust 2020-C6 2.84 2/15/53 9,005,000 8,155,629 0.039%

BBCMS Mortgage Trust 2020-C6 3.05 2/15/53 15,000,000 9,856,824 0.047%

BBCMS Trust 2018-CBM 1.7 7/15/37 13,370,000 11,611,078 0.056%

BBVA Bancomer SA/Texas 4.38 4/10/24 45,790,000 45,677,586 0.219%

BBVA Bancomer SA/Texas 5.88 9/13/34 13,550,000 11,382,678 0.055%

Becton Dickinson And 3.73 12/15/24 23,985,000 24,328,177 0.117%





Benchmark 2018-B3 Mortgage Trust 4.2 4/10/51 14,540,000 15,392,629 0.074%



Benefit Street Partners CLO XI 3.33 4/15/29 16,090,000 16,090,000 0.077%

BLUEMOUNTAIN CLO 2012-2 2.74 11/20/28 19,305,000 18,906,904 0.091%

BlueMountain CLO 2015-2 2.75 7/18/27 24,070,000 23,564,957 0.113%

BlueMountain CLO 2015-2 3.32 7/18/27 20,095,000 18,077,777 0.087%

Bnp Paribas 3.05 1/13/31 16,815,000 15,935,340 0.076%

Boardwalk Pipelines 4.95 12/15/24 10,000,000 8,100,000 0.039%




Boral Finance Pty 3 11/1/22 5,705,000 5,757,326 0.028%

Boral Finance Pty 3.75 5/1/28 52,215,000 51,053,999 0.245%

Boston Properties 2.75 10/1/26 26,708,000 25,559,422 0.123%

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Brambles USA 4.13 10/23/25 13,445,000 14,252,668 0.068%

Bre Grand Islander Timeshare Issuer 2019 3.28 9/26/33 12,101,952 11,949,954 0.057%

Bristol-Myers Squibb 3.88 8/15/25 90,117,000 97,553,094 0.468%

British Telecommunications 3.25 11/8/29 25,180,000 24,531,691 0.118%

Brixmor Operating Partnership 3.85 2/1/25 6,175,000 6,048,437 0.029%




Buckeye Partners 4.27 11/1/26 19,105,000 17,423,760 0.084%

Bunge Ltd Finance 4.35 3/15/24 5,775,000 5,950,450 0.029%

Bunge Ltd Finance 3.75 9/25/27 10,350,000 9,528,407 0.046%

BX Commercial Mortgage Trust 2019-IMC 2.85 4/15/34 32,870,000 27,989,380 0.134%

BXP Trust 2017-GM 3.42 6/13/39 23,065,000 23,067,240 0.111%

BX Trust 2018-GW 1.72 5/15/35 9,610,000 8,268,162 0.040%

Cameron LNG 3.3 1/15/35 9,505,000 8,252,022 0.040%

Cameron LNG 3.7 1/15/39 7,080,000 6,157,589 0.030%

Cameron LNG 2.9 7/15/31 8,690,000 7,605,853 0.036%

Cantor Commercial Real Estate Lending 2019-CF2 3.27 11/15/52 9,752,000 8,476,117 0.041%

Cantor Commercial Real Estate Lending 2019-CF2 3.79 11/15/52 3,875,000 2,736,249 0.013%

Capital One Bank USA NA 3.38 2/15/23 17,664,000 17,309,130 0.083%

Capital One Financial 3.3 10/30/24 41,427,000 40,553,222 0.194%





Cardinal Health 4.5 11/15/44 4,825,000 4,434,513 0.021%

Cardinal Health 3.75 9/15/25 21,215,000 21,799,452 0.104%

Cardinal Health 4.9 9/15/45 5,195,000 5,439,331 0.026%

CBAM 2019-9 3.11 2/12/30 4,815,000 4,619,191 0.022%

CCCI Treasure 3.5 10/21/68 12,150,000 12,119,625 0.058%

CC Holdings GS V LLC / Crown Castle GS III 3.85 4/15/23 66,590,000 66,879,200 0.321%

Celulosa Arauco Y Constitucion 3.88 11/2/27 20,810,000 18,157,609 0.087%

Centene 4.25 12/15/27 33,734,000 33,059,320 0.158%

Centene 4.63 12/15/29 32,440,000 32,602,200 0.156%

Centene 3.38 2/15/30 23,860,000 22,189,800 0.106%

Centene 5.38 6/1/26 16,545,000 17,041,350 0.082%

Century Plaza Towers 2019-CPT 3 11/13/39 46,583,000 42,500,308 0.204%

Charter Communications Operating 2.74 2/1/27 57,820 55,266 0.000%

Charter Communications Operating LLC / Charter Communications Operating Capital 6.48 10/23/45 5,715,000 7,014,288 0.034%

Charter Communications Operating LLC / Charter Communications Operating Capital 4.91 7/23/25 32,892,000 34,834,963 0.167%

Cheniere Corpus Christi Holdings 3.7 11/15/29 22,400,000 17,136,000 0.082%

Cheniere Corpus Christi Holdings 7 6/30/24 14,235,000 12,526,800 0.060%

Cheniere Corpus Christi Holdings 5.13 6/30/27 6,935,000 6,206,825 0.030%

CIFC Funding 2015-IV 2.97 10/20/27 26,840,000 26,327,494 0.126%

CIFC Funding 2015-V 2.65 10/25/27 46,550,000 45,643,867 0.219%

Cigna 4.13 11/15/25 58,525,000 62,008,232 0.297%

Cigna 4.5 2/25/26 43,040,000 46,384,337 0.222%

Cigna 3.4 3/1/27 6,330,000 6,421,247 0.031%

Cigna 2.4 3/15/30 9,555,000 9,010,518 0.043%

Cigna 3.4 3/15/50 20,725,000 19,576,317 0.094%

CIM Trust 2019-INV3 3.5 8/25/49 15,765,175 15,881,837 0.076%

CIT Bank NA 2.97 9/27/25 23,955,000 20,271,919 0.097%

Citigroup Commercial Mortgage Trust 2015-GC27 3.57 2/10/48 9,880,000 9,888,286 0.047%


Citigroup Commercial Mortgage Trust 2016-P4 3.08 7/10/49 11,205,000 10,864,217 0.052%

Citigroup Commercial Mortgage Trust 2017-P7 3.92 4/14/50 27,657,000 28,083,590 0.135%

Citigroup Commercial Mortgage Trust 2018-B2 4.28 3/10/51 6,202,000 5,861,173 0.028%

Citigroup Commercial Mortgage Trust 2018-B2 4.67 3/10/51 3,320,000 2,674,331 0.013%

Citigroup Commercial Mortgage Trust 2019-C7 3.79 12/15/72 12,000,000 7,154,512 0.034%


Citigroup Commercial Mortgage Trust 2020-555 2.65 12/10/41 19,685,000 20,273,582 0.097%





CK Hutchison International 17 3.5 4/5/27 29,800,000 30,906,176 0.148%

CNAC HK Finbridge 4.63 3/14/23 36,165,000 37,086,543 0.178%

Cnh Equipment Trust 2017 2.54 5/15/25 1,095,000 1,090,149 0.005%

Cno Financial 5.25 5/30/25 34,660,000 36,046,400 0.173%

Cole Park CLO Ltd 2015-1 2.87 10/20/28 49,390,000 48,351,151 0.232%

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COLT 2018-2 Mortgage Loan Trust 3.47 7/27/48 7,658,186 7,549,790 0.036%



Comcast 4.15 10/15/28 14,955,000 17,061,307 0.082%

Comcast 4.7 10/15/48 26,675,000 34,368,604 0.165%

Comcast 3.25 11/1/39 41,990,000 44,084,419 0.211%

Comcast 3.3 2/1/27 34,095,000 36,034,835 0.173%

Comcast 3.15 3/1/26 27,755,000 29,104,726 0.140%

COMM 2013-CCRE6 Mortgage Trust 3.15 3/10/46 6,715,000 6,645,553 0.032%


COMM 2014-UBS5 Mortgage Trust 3.84 9/10/47 12,535,000 13,122,786 0.063%



COMM 2015-DC1 Mortgage Trust 3.72 2/10/48 5,360,000 5,399,867 0.026%

COMM 2015-LC21 Mortgage Trust 4.36 7/10/48 28,450,000 27,975,958 0.134%

COMM 2015-PC1 Mortgage Trust 3.9 7/10/50 17,970,000 18,883,778 0.091%

COMM 2015-PC1 Mortgage Trust 4.43 7/10/50 13,560,000 13,314,027 0.064%

COMM 2016-DC2 Mortgage Trust 3.77 2/10/49 13,097,000 13,726,981 0.066%

Concho Resources 3.75 10/1/27 17,220,000 14,550,900 0.070%

Continental Airlines 2010-1 Class A Pass Through Trust 4.75 1/12/21 1,889,380 1,870,851 0.009%

Credit Suisse 4.19 4/1/31 22,895,000 23,463,277 0.112%

Credit Suisse 2.59 9/11/25 28,155,000 26,832,222 0.129%

Credit Suisse Mortgage Capital Certificates 2019-ICE4 2.13 5/15/36 18,020,000 16,395,701 0.079%



Crown Castle International 3.3 7/1/30 8,570,000 8,499,726 0.041%

Crown Castle International 4.15 7/1/50 4,050,000 4,005,450 0.019%

Crown Castle Towers 3.66 5/15/25 52,455,000 53,323,181 0.256%

Crown Castle Towers 3.22 5/15/42 4,785,000 4,959,536 0.024%

CSAIL 2016-C5 Commercial Mortgage Trust 4.01 11/15/48 5,000,000 5,104,106 0.024%







CVS Health 4.1 3/25/25 14,485,000 15,275,360 0.073%

CVS Health 5.05 3/25/48 43,191,000 49,158,053 0.236%

CVS Health 3.63 4/1/27 5,145,000 5,267,153 0.025%

CVS Health 4.25 4/1/50 2,490,000 2,605,810 0.012%

CVS Health 5.13 7/20/45 1,305,000 1,496,848 0.007%

Danske Bank 5.38 1/12/24 21,050,000 22,097,722 0.106%

Danske Bank 3.24 12/20/25 12,910,000 12,109,180 0.058%

Danske Bank 2.7 3/2/22 15,980,000 16,139,800 0.077%

Danske Bank 3.88 9/12/23 12,821,000 12,725,676 0.061%

Danske Bank 3 9/20/22 7,575,000 7,440,786 0.036%

Danske Bank 2 9/8/21 21,880,000 21,817,423 0.105%

DBCG 2017-BBG Mortgage Trust 1.4 6/15/34 27,495,000 24,809,308 0.119%

DBJPM 16-C1 Mortgage Trust 3.54 5/10/49 4,820,000 4,847,677 0.023%

Dcp Midstream Operating 5.85 5/21/43 8,155,000 3,588,200 0.017%

Dcp Midstream Operating 6.75 9/15/37 4,310,000 2,133,450 0.010%

Deephaven Residential Mortgage Trust 2018-1 2.98 12/25/57 4,358,119 4,307,302 0.021%








Deephave Residential Mortgage Trust 2019-2 3.56 4/25/59 18,160,307 17,666,880 0.085%

Dell International 2.68 3/13/24 7,307,500 6,832,513 0.033%

Diamondback Energy 2.88 12/1/24 25,205,000 17,895,550 0.086%




Discover Financial Services 4.1 2/9/27 49,385,000 47,521,457 0.228%

Discover Financial Services 3.75 3/4/25 18,180,000 17,953,950 0.086%

DRIVEN BRANDS FUNDING 4.64 4/20/49 15,894,450 15,205,585 0.073%

Ecolab 4.8 3/24/30 2,040,000 2,321,467 0.011%

Edison International 4.95 4/15/25 1,450,000 1,446,665 0.007%

Elanco Animal Health 3.42 2/4/27 60,435,000 57,111,075 0.274%

Elara Hgv Timeshare Issuer 2014 2.53 2/25/27 2,582,759 2,558,267 0.012%

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Eleven Madison Trust 2015-11MD Mortgage Trust 3.55 9/10/35 23,679,000 23,413,667 0.112%

Ellington Financial Mortgage Trust 2019-2 2.74 11/25/59 12,488,346 11,996,028 0.057%

Empresa Nacional De Telecomunicaciones 4.88 10/30/24 18,000,000 17,362,717 0.083%

Enel Chile 4.88 6/12/28 55,970,000 55,664,544 0.267%

Enel Finance International 2.75 4/6/23 61,055,000 58,903,788 0.282%

Enel Finance International 3.63 5/25/27 38,875,000 39,506,719 0.189%

Energy Transfer Operating 5.88 1/15/24 14,050,000 13,646,063 0.065%






Energy Transfer Operating 5 5/15/50 4,295,000 3,323,256 0.016%



Energy Transfer Operating 6 6/15/48 42,120,000 35,366,025 0.170%

Eni 4.75 9/12/28 30,945,000 31,454,355 0.151%

Equate Petrochemical BV 4.25 11/3/26 52,747,000 50,248,691 0.241%

Equitable Holdings 3.9 4/20/23 8,105,000 8,090,695 0.039%

Essex Portfolio 3.63 5/1/27 11,045,000 11,198,548 0.054%

Exeter Automobile Receivables Trust 2017-1 6.2 11/15/23 6,000,000 5,504,099 0.026%

Expedia 5 2/15/26 55,036,000 49,807,580 0.239%

Fannie Mae Connecticut Avenue Securities 1.9 10/25/29 6,095,779 5,910,503 0.028%





Fannie Mae Connecticut Avenue Securities 2.1 9/25/29 275,404 274,105 0.001%


Fannie Mae Interest Strip 6.5 2/25/32 47,431 8,901 0.000%

Fannie Mae REMICS 4 6/25/44 18,184,173 18,801,416 0.090%

Federal Home Loan Mortgage 6 10/1/21 15,357 15,696 0.000%


Federal Home Loan Mortgage 6.5 10/1/25 34,773 37,439 0.000%



Federal Home Loan Mortgage 5.5 10/1/38 2,558,774 2,899,991 0.014%







Federal Home Loan Mortgage 5.5 11/1/21 834 839 0.000%

Federal Home Loan Mortgage 6 11/1/21 956 963 0.000%







Federal Home Loan Mortgage 4 11/1/40 1,605,026 1,734,500 0.008%



















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Federal Home Loan Mortgage 6.5 4/1/24 993 1,101 0.000%






Federal Home Loan Mortgage 6.5 4/1/37 951,120 1,095,940 0.005%









Federal Home Loan Mortgage 4.5 5/1/40 975,947 1,068,818 0.005%




























Federal National Mortgage Assn. 4.5 10/1/20 14,467 15,096 0.000%

Federal National Mortgage Assn. 5 10/1/20 4,385 4,609 0.000%


Federal National Mortgage Assn. 6 10/1/21 538 550 0.000%






Federal National Mortgage Assn. 3 10/1/29 5,712,864 5,985,091 0.029%



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Federal National Mortgage Assn. 6.5 10/1/35 1,381,582 1,588,272 0.008%















Federal National Mortgage Assn. 6 10/1/38 999,806 1,150,147 0.006%































Federal National Mortgage Assn. 5.5 11/1/35 764 866 0.000%






Federal National Mortgage Assn. 5.5 11/1/36 989,399 1,121,559 0.005%


















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Federal National Mortgage Assn. 6.5 1/1/37 905 1,055 0.000%








































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Federal National Mortgage Assn. 6 7/1/21 995 1,012 0.000%





































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Fidelity National Financial 4.5 8/15/28 16,010,000 17,651,505 0.085%

Fidelity National Information Services 0.75 5/21/23 10,910,000 11,829,414 0.057%

First Abu Dhabi Bank PJSC 5.25 12/17/68 10,000,000 9,285,200 0.045%

FirstEnergy 3.9 7/15/27 44,465,000 45,205,920 0.217%

FirstEnergy Transmission 4.35 1/15/25 61,885,000 62,894,035 0.301%

Fiserv 3.2 7/1/26 14,100,000 14,535,648 0.070%

Fiserv 1.13 7/1/27 8,425,000 8,890,712 0.043%

Flagstar Mortgage Trust 2018-6RR 4 9/25/48 11,145,440 11,385,864 0.055%

Flagstar Mortgage Trust 2019-1 3.5 10/25/49 13,920,101 14,134,754 0.068%

Flagstar Mortgage Trust 2020-1NV 1.8 3/25/50 12,845,964 11,923,293 0.057%

Ford Credit Auto Owner Trust 2019-REV1 3.52 7/15/30 62,400,000 64,312,554 0.308%

Ford Motor Credit 3.81 10/12/21 8,750,000 8,354,684 0.040%



Fox 4.71 1/25/29 17,005,000 18,654,345 0.089%

Fox 3.05 4/7/25 1,620,000 1,617,408 0.008%

Freddie Mac REMICS 4 11/15/36 341,792 352,368 0.002%

Freddie Mac Stacr Remic Trust 2019-Hqa4 1.72 11/25/49 6,387,213 6,174,846 0.030%

Freddie Mac STACR Remic Trust 2020-DNA2 1.7 2/25/50 13,060,000 12,437,188 0.060%

Freddie Mac Stacr Trust 2018-HQA2 1.7 10/25/48 23,483,456 22,821,704 0.109%

Freddie Mac STACR Trust 2019-DNA1 1.85 1/25/49 8,006,951 7,859,187 0.038%

Freddie Mac STACR Trust 2019-HQA2 1.65 4/25/49 592,154 587,037 0.003%

Freddie Mac Strips 0 8/15/28 14,383 13,846 0.000%

Freddie Mac Structured Agency Credit Risk debt Notes 2.8 10/25/27 15,045,170 14,653,906 0.070%

Freddie Mac Structured Agency Credit Risk debt Notes 1.75 12/25/29 533,459 526,891 0.003%

Freddie Mac Structured Agency Credit Risk debt Notes 2 12/25/29 20,605,000 20,565,851 0.099%









Freddie Mac Structured Agency Credit Risk debt Notes 2 7/25/30 31,696,250 26,176,360 0.125%



FREMF 2018-K731 Mortgage Trust 3.93 2/25/25 8,375,000 8,189,751 0.039%







FREMF K-100 Mortgage Trust 3.49 11/25/52 11,325,000 10,073,812 0.048%

FWD Securitization Trust 2020-INV1 2.44 1/25/50 4,683,526 4,589,166 0.022%

Galaxy XXIX CLO 3.09 11/15/26 13,100,000 12,379,500 0.059%

Galton Funding Mortgage Trust 2017-1 3.5 11/25/57 6,469,176 6,414,322 0.031%

Galton Funding Mortgage Trust 2018-2 4 10/25/58 22,003,250 21,883,973 0.105%





Galton Funding Mortgage Trust 2019-H1 2.66 10/25/59 29,014,544 28,718,671 0.138%

Galton Funding Mortgage Trust 2020-H1 2.31 1/25/60 33,920,098 32,700,973 0.157%

Ge Capital International Funding Co Unlimited 3.37 11/15/25 53,835,000 53,768,621 0.258%

Ge Capital International Funding Co Unlimited 4.42 11/15/35 89,375,000 96,436,876 0.462%

General Electric 5.55 1/5/26 20,985,000 23,213,439 0.111%

General Electric 5 6/15/68 9,746,000 7,918,625 0.038%

General Motors 6.25 10/2/43 10,740,000 8,523,704 0.041%

General Motors 5.95 4/1/49 22,289,000 17,078,946 0.082%

General Motors Financial 4 10/6/26 21,470,000 17,545,864 0.084%

General Motors Financial 5.1 1/17/24 28,255,000 25,977,110 0.125%





GLP Capital LP / GLP Financing II 5.25 6/1/25 8,830,000 8,194,999 0.039%

GLP Capital LP / GLP Financing II 3.35 9/1/24 6,340,000 5,608,719 0.027%

of 23

GM Financial Consumer Automobile 2017-1 2.45 7/17/23 1,800,000 1,795,096 0.009%

Goldman Sachs 3.5 11/16/26 11,970,000 12,239,074 0.059%

Goldman Sachs 4.22 5/1/29 25,168,000 26,646,217 0.128%

Golub Capital Partners CLO 39B 2.97 10/20/28 40,075,000 39,038,957 0.187%

Government National Mortgage Assn. 8 10/15/27 14,984 15,046 0.000%


Government National Mortgage Assn. 5.5 10/15/38 29,922 34,004 0.000%

Government National Mortgage Assn. 5 10/15/39 3,404,723 3,793,152 0.018%



Government National Mortgage Assn. 4.5 10/20/40 1,379,574 1,519,970 0.007%

















Government National Mortgage Assn. 8.5 1/15/23 387 389 0.000%












Government National Mortgage Assn. 8 12/15/21 288 292 0.000%

































of 23









































































of 23



























Government National Mortgage Association 4.5 11/20/39 247,477 2,323 0.000%

Government National Mortgage Association 3 11/20/47 13,728,387 14,416,696 0.069%


Government National Mortgage Association 4.5 12/20/39 2,003,862 62,051 0.000%

Government National Mortgage Association 3 12/20/47 12,198,148 12,775,412 0.061%


Government National Mortgage Association 4 2/20/43 5,499,915 758,556 0.004%


Government National Mortgage Association 4 5/20/37 13,567,093 694,822 0.003%



Government National Mortgage Association 4.5 8/20/38 101,582 193 0.000%

Government National Mortgage Association 1.07 9/20/48 14,993,874 14,829,955 0.071%

GreatAmerica Leasing Receivables Funding LLC Series 2018-1 2.83 6/17/24 4,205,000 4,203,526 0.020%

Great Wolf Trust 2019-WOLF 2.64 12/15/36 18,025,000 14,957,107 0.072%

GS Mortgage-Backed Securities Trust 2.46 7/25/44 3,401,196 3,059,659 0.015%

GS Mortgage Securities Corp Trust 2019-SOHO 2.3 6/15/36 36,850,000 34,804,829 0.167%

GS Mortgage Securities Trust 2014-GC18 4.38 1/10/47 13,685,000 14,092,683 0.068%




Halcyon Loan Advisors Funding 2014-3 2.9 10/22/25 11,336,220 11,297,303 0.054%

Hardee s Funding 4.25 6/20/48 22,423,525 21,521,875 0.103%

Hardee s Funding 4.96 6/20/48 28,451,725 25,320,897 0.121%

Hasbro 3 11/19/24 24,315,000 24,620,348 0.118%

Hasbro 3.55 11/19/26 12,060,000 11,639,178 0.056%

Healthpeak Properties 3.25 7/15/26 3,455,000 3,447,924 0.017%

Healthpeak Properties 3.5 7/15/29 3,910,000 3,820,637 0.018%

Heathrow Funding 4.88 7/15/21 26,640,000 27,665,187 0.133%

Highwoods Realty 4.13 3/15/28 17,905,000 18,065,500 0.087%

Highwoods Realty 4.2 4/15/29 12,180,000 12,269,474 0.059%

Hilton Grand Vacations Trust 2014 1.77 11/25/26 3,766,891 3,735,805 0.018%



Hilton Orlando Trust 2018-ORL 1.47 12/15/34 33,055,000 28,340,332 0.136%

Hilton Orlando Trust 2018-ORL 1.75 12/15/34 5,540,000 4,555,969 0.022%

Homeward Opportunities Fund I Trust 2018-1 3.77 6/25/48 4,085,527 3,945,561 0.019%




HPS Loan Management 11-2017 3.19 5/6/30 12,070,000 10,693,756 0.051%

HSBC Holdings 3.95 5/18/24 10,790,000 11,008,098 0.053%

HSBC Holdings 3.9 5/25/26 9,845,000 10,049,156 0.048%

HSBC Holdings 4.29 9/12/26 2,375,000 2,483,462 0.012%

Hudson Yards 2019-30HY Mortgage Trust 3.44 7/10/39 12,000,000 11,858,675 0.057%

Hudson Yards 2019-30HY Mortgage Trust 3.44 7/10/39 25,505,000 23,780,416 0.114%

of 23

Humana 3.85 10/1/24 23,705,000 23,985,857 0.115%

Humana 4.5 4/1/25 6,375,000 6,598,712 0.032%

Hyundai Capital America 2.38 2/10/23 23,640,000 22,299,541 0.107%

Independence Plaza Trust 2018-INDP 3.91 7/10/35 12,220,000 11,416,904 0.055%

InTown Hotel Portfolio Trust 2018-STAY 1.75 1/15/33 3,510,000 3,138,505 0.015%

Israel Electric 5 11/12/24 21,513,000 22,279,508 0.107%

Israel Electric 7.75 12/15/27 23,487,000 30,489,179 0.146%

Jack in the Box Funding 3.98 8/25/49 28,249,200 26,094,069 0.125%

Jimmy Johns Funding 3.61 7/30/47 11,690,250 11,546,577 0.055%

JPMBB Commercial Mortgage Securities Trust 2014-C25 3.67 11/15/47 3,745,000 3,950,920 0.019%

JPMDB Commercial Mortgage Securities Trust 2016-C4 3.38 12/15/49 15,210,000 15,157,713 0.073%

JPMDB Commercial Mortgage Securities Trust 2017-C5 3.86 3/15/50 15,745,000 16,028,377 0.077%

JPMorgan Chase 3.9 7/15/25 9,095,000 9,671,414 0.046%

JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 3.4 8/15/49 14,495,000 13,166,890 0.063%

J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE 2.85 9/6/38 11,320,000 11,364,503 0.054%

JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT 4.25 7/5/33 9,825,000 10,006,807 0.048%



JP Morgan Mortgage Trust 2019-INV2 3.5 2/25/50 14,714,670 14,912,126 0.071%




JP Morgan Mortgage Trust 2020-LTV1 3.5 6/25/50 29,448,603 29,854,573 0.143%

JP Morgan Mortgage Trust 2020-LTV1 3.5 6/25/50 11,903,527 12,004,664 0.058%

KazMunayGas National Co JSC 4.75 4/19/27 25,000,000 24,070,300 0.115%

Keysight Technologies 4.55 10/30/24 23,340,000 24,299,507 0.116%

Keysight Technologies 4.6 4/6/27 5,653,000 6,089,208 0.029%

Kfc Holding 2.36 4/3/25 29,858,678 28,141,804 0.135%

Kinder Morgan Energy Partners 3.5 3/1/21 3,083,000 3,120,662 0.015%

Kinder Morgan Inc/DE 5.63 11/15/23 5,560,000 5,810,611 0.028%

KKR CLO 13 2.64 1/16/28 41,390,000 40,241,530 0.193%

KKR CLO 13 2.99 1/16/28 11,320,000 10,254,071 0.049%

Lamar Media 2.52 2/5/27 16,245,000 15,392,138 0.074%

Las Vegas Sands 3.5 8/18/26 10,985,000 10,051,275 0.048%

Las Vegas Sands 3.2 8/8/24 6,682,000 6,030,505 0.029%

Level 3 Financing 2.74 3/1/27 17,153,121 15,952,402 0.076%

Longfor Group Holdings 3.88 7/13/22 43,000,000 43,833,911 0.210%

Madison Park Funding XXXVII 3.13 7/15/32 17,160,000 16,354,510 0.078%

Magnetite XXIII 3.17 10/25/32 9,735,000 9,288,036 0.045%

Martin Marietta Materials 4.25 7/2/24 23,000,000 23,970,094 0.115%

METLIFE SECURITIZATION TRUST 2018-1 3.75 3/25/57 27,105,753 27,331,202 0.131%

Microchip Technology 2.99 5/29/25 9,215,000 8,846,400 0.042%

Micron Technology 4.19 2/15/27 21,380,000 21,620,525 0.104%



Mill City Mortgage Loan Trust 2016-1 2.5 4/25/57 5,438,890 5,392,847 0.026%

Mill City Mortgage Loan Trust 2018-1 3.25 5/25/62 16,965,208 17,112,350 0.082%

MKT 2020-525M Mortgage Trust 2.94 2/12/40 11,000,000 10,018,529 0.048%

mo Fisher Scientific 1.75 4/15/27 4,130,000 4,538,946 0.022%

mo Fisher Scientific 2.38 4/15/32 3,493,000 3,860,214 0.019%

Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 4.46 8/15/47 20,470,000 20,247,112 0.097%

Morgan Stanley Capital I Trust 2015-MS1 4.03 5/15/48 3,355,000 3,434,203 0.016%

Morgan Stanley Capital I Trust 2017-H1 3.77 6/15/50 20,075,000 20,202,534 0.097%



Morgan Stanley Capital I Trust 2019-L3 3.66 11/15/52 21,955,000 19,562,799 0.094%

MTN Mauritius Investments 4.76 11/11/24 19,000,000 17,100,000 0.082%

MVW Owner Trust 2013-1 2.15 4/22/30 934,508 933,845 0.004%

MVW Owner Trust 2014-1 2.25 9/22/31 4,886,760 4,827,328 0.023%

MVW Owner Trust 2017-1 2.75 12/20/34 2,055,371 1,995,737 0.010%

MVW Owner Trust 2019-1 2.89 11/20/36 11,542,831 10,776,524 0.052%

Navient Private Education Loan Trust 2017 2.88 12/16/58 4,580,892 4,613,081 0.022%

Navient Private Education Loan Trust 2017 3.91 12/16/58 8,525,000 8,929,845 0.043%

Navient Private Education Refi Loan Trust 2019-F 2.6 8/15/68 23,080,000 23,327,978 0.112%

Navient Private Education Refi Loan Trust 2019-G 2.4 10/15/68 37,423,308 37,699,510 0.181%

Navient Private Education Refi Loan Trust 2020 2.83 11/15/68 20,755,000 20,601,413 0.099%

Nelnet Student Loan Trust 2020-1 2.39 3/26/68 13,470,000 13,018,432 0.062%

Netflix 4.63 5/15/29 19,830,000 22,295,464 0.107%

Neuberger Berman CLO XIX 2.63 7/15/27 57,219,327 55,439,676 0.266%

Neuberger Berman CLO XVII 3.12 4/22/29 16,785,000 15,072,695 0.072%

Neuberger Berman CLO XVII 3.62 4/22/29 12,440,000 10,256,560 0.049%

Neuberger Berman CLO XVI-S 2.68 1/15/28 43,005,000 41,685,935 0.200%

of 23

New Residential Mortgage Loan Trust 2018-NQM1 3.99 11/25/48 8,454,990 8,403,414 0.040%





NRG Energy 3.75 6/15/24 4,040,000 3,993,358 0.019%

NRG Energy 4.45 6/15/29 13,315,000 13,215,138 0.063%

NXP BV / NXP Funding 4.88 3/1/24 29,127,000 30,692,576 0.147%

NXP BV / NXP Funding 5.35 3/1/26 10,345,000 10,901,044 0.052%

OBX 2019-EXP2 Trust 1.85 6/25/59 8,021,405 7,775,956 0.037%

OBX 2019-EXP2 Trust 4 6/25/59 20,989,266 21,027,985 0.101%

OBX 2019-EXP3 Trust 3.5 10/25/59 14,684,860 14,505,002 0.070%

OBX 2019-INV2 Trust 4 5/27/49 20,638,109 21,135,116 0.101%

OBX 2019-INV2 Trust 4 5/27/49 7,625,139 7,763,522 0.037%

OBX 2020-EXP1 Trust 3.5 2/25/60 18,378,731 17,904,584 0.086%

OBX 2020-EXP1 Trust 1.7 2/25/60 6,214,456 5,808,365 0.028%

Occidental Petroleum 2.9 8/15/24 48,800,000 26,962,000 0.129%

Octagon Investment Partners XXIII 2.68 7/15/27 28,855,000 27,766,369 0.133%

Octagon Investment Partners XXIII 3.03 7/15/27 23,930,000 22,048,173 0.106%

Omnicom Group Inc / Omnicom Capital 3.65 11/1/24 38,985,000 39,809,572 0.191%

Oracle 2.8 4/1/27 16,210,000 16,548,692 0.079%

Oracle 2.95 4/1/30 20,705,000 20,880,268 0.100%

OZLM VII 2.85 7/17/29 41,505,000 39,743,676 0.190%

OZLM VIII 3.01 10/17/29 21,515,000 20,651,463 0.099%

OZLM VIII 3.64 10/17/29 21,030,000 19,505,325 0.093%

Palisades Center Trust 2016-PLSD 2.71 4/13/33 48,500,000 46,645,399 0.224%

Park Aerospace Holdings 5.25 8/15/22 9,555,000 8,420,344 0.040%

PerkinElmer 3.3 9/15/29 27,015,000 25,371,515 0.122%

Perrigo Finance Unlimited 3.9 12/15/24 6,275,000 6,038,476 0.029%

Perrigo Finance Unlimited 4.38 3/15/26 26,485,000 26,319,469 0.126%

Peru LNG Srl 5.38 3/22/30 37,475,000 22,430,380 0.108%

Perusahaan Gas Negara 5.13 5/16/24 55,000,000 54,172,120 0.260%

Perusahaan Listrik Negara PT 5.45 5/21/28 60,500,000 63,486,583 0.304%

Petrobras Global Finance BV 7.38 1/17/27 63,750,000 65,538,188 0.314%

Plains All American Pipeline LP / PAA Finance 3.85 10/15/23 7,460,000 6,741,975 0.032%

Plains All American Pipeline LP / PAA Finance 2.85 1/31/23 8,445,000 7,294,369 0.035%

Planet Fitness Master Issuer 4.26 9/5/48 26,171,450 24,664,760 0.118%

Planet Fitness Master Issuer 4.67 9/5/48 25,408,075 22,599,975 0.108%

QVC 4.38 3/15/23 41,030,000 39,337,513 0.189%

QVC 5.13 7/2/22 16,520,000 13,711,600 0.066%

Regency Centers 4.13 3/15/28 10,100,000 10,655,328 0.051%

REI - SECURITY LENDING COLLATERAL 35,307,408 353,074,083 1.692%

RETL 2019-RVP 1.85 3/15/36 3,761,768 3,437,484 0.016%

Reynolds American 3.25 11/1/22 15,085,000 14,931,465 0.072%

Reynolds American 4 6/12/22 19,655,000 19,915,645 0.095%

Reynolds American 4.45 6/12/25 36,825,000 37,456,181 0.180%

Royal Bank Of Scotland 6.13 12/15/22 751,000 774,623 0.004%

Royal Bank Of Scotland 3.5 5/15/23 40,780,000 40,825,347 0.196%



Sabine Pass Liquefaction 5 3/15/27 73,603,000 66,242,700 0.318%

Sabine Pass Liquefaction 5.88 6/30/26 13,570,000 12,484,400 0.060%

Santander Drive Auto Receivables Trust 2016-1 4.02 4/15/22 3,262,431 3,261,419 0.016%

Santander Drive Auto Receivables Trust 2017-1 2.58 5/16/22 1,526,266 1,524,937 0.007%

Sasol Financing USA 5.88 3/27/24 27,000,000 11,352,466 0.054%

SBA Tower Trust 3.87 10/8/24 51,235,000 52,501,641 0.252%

SBA Tower Trust 2.84 1/15/25 12,265,000 11,770,293 0.056%

SBA Tower Trust 3.17 4/15/22 71,745,000 72,299,160 0.347%

Seasoned Credit Risk Transfer Trust Series 2017-2 4 8/25/56 22,845,000 20,978,982 0.101%

Sempra Energy 3.8 2/1/38 8,480,000 8,021,190 0.038%

Sequoia Mortgage Trust 2018-CH1 3.5 2/25/48 7,435,396 7,370,076 0.035%

Sequoia Mortgage Trust 2018-CH2 4 6/25/48 31,141,487 31,393,288 0.150%



Seven Generations Energy 5.38 9/30/25 15,260,000 8,316,700 0.040%

SG Residential Mortgage Trust 2019-3 2.7 9/25/59 21,392,402 20,646,305 0.099%

Sierra Timeshare 2015-3 Receivables Funding 2.58 9/20/32 940,106 932,091 0.004%

Sierra Timeshare 2016-1 Receivables Funding 3.08 3/21/33 3,433,179 3,413,082 0.016%

Sierra Timeshare 2019-2 Receivables Funding 2.59 5/20/36 8,786,246 8,649,292 0.041%

Sierra Timeshare Conduit Receivables Funding 2.91 3/20/34 2,487,424 2,454,048 0.012%

Sigma Alimentos SA de CV 4.13 5/2/26 30,135,000 28,177,807 0.135%

Sigma Finance Netherlands BV 4.88 3/27/28 13,278,000 12,799,428 0.061%

of 23

FUN 1.95 6/15/31 9,304,597 8,462,430 0.041%

SLIde 2018-FUN 3 6/15/31 26,853,289 23,085,463 0.111%

SLM Student Loan Trust 2008-3 2.79 10/25/21 2,103,221 2,046,021 0.010%



SMART ABS Series 2016-2US Trust 2.05 12/14/22 16,599,528 16,596,139 0.080%

SMBC Aviation Capital Finance DAC 3.55 4/15/24 15,190,000 16,209,735 0.078%

SMBC Aviation Capital Finance DAC 4.13 7/15/23 5,951,000 6,261,464 0.030%

Smb Private Education Loan Trust 2015 2.98 7/15/27 9,796,315 9,869,814 0.047%







Solvay Finance America 4.45 12/3/25 34,580,000 36,380,857 0.174%

Southern 3.25 7/1/26 29,550,000 29,756,466 0.143%

STACR Trust 2018-DNA2 1.75 12/25/30 25,067,400 24,676,321 0.118%

STACR Trust 2018-DNA3 1.7 9/25/48 3,755,072 3,697,577 0.018%

STACR Trust 2018-HRP2 2.2 2/25/47 19,996,942 18,959,859 0.091%

Starwood Mortgage Residential Trust 2018-IMC2 4.12 10/25/48 10,280,261 10,098,033 0.048%

Starwood Mortgage Residential Trust 2019-1 2.94 6/25/49 38,398,077 38,138,732 0.183%

Starwood Mortgage Residential Trust 2019-1 3.15 6/25/49 11,029,193 10,957,114 0.053%



Starwood Mortgage Residential Trust 2019-INV1 2.61 9/27/49 28,884,959 27,526,970 0.132%

Summit Materials 2.99 11/21/24 19,060,013 16,505,971 0.079%

Suzano Austria GmbH 6 1/15/29 19,970,000 18,792,619 0.090%

Suzano Austria GmbH 5 1/15/30 14,230,000 12,597,108 0.060%

Symphony CLO XVII 2.71 4/15/28 57,245,000 55,360,747 0.265%

Synchrony Credit Card Master Note Trust 2.62 9/15/23 15,214,863 15,164,129 0.073%

Synchrony Financial 4.38 3/19/24 7,450,000 7,328,900 0.035%

Synchrony Financial 4.25 8/15/24 5,540,000 5,334,848 0.026%

Syngenta Finance 3.93 4/23/21 18,290,000 17,489,813 0.084%

Taco Bell Funding 4.32 11/25/48 37,831,125 36,885,725 0.177%

Taconic Park CLO 3.73 1/20/29 11,645,000 10,145,875 0.049%

Tencent Holdings 3.6 1/19/28 23,385,000 24,885,461 0.119%




Tengizchevroil Finance Co International 4 8/15/26 39,000,000 37,163,100 0.178%

THL Credit Wind River 2016-1 CLO 3.48 7/15/28 12,980,000 11,666,522 0.056%

Towd Point Mortgage Trust 2015-3 3 3/25/54 5,783,619 5,764,475 0.028%

Towd Point Mortgage Trust 2015-4 3.75 4/25/55 14,707,000 14,216,569 0.068%












Transcontinental Gas Pipe Line 4 3/15/28 10,905,000 9,973,135 0.048%

Transcontinental Gas Pipe Line 4.6 3/15/48 14,965,000 13,367,067 0.064%

Transurban Finance Co Pty 4.13 2/2/26 7,105,000 7,760,792 0.037%

Transurban Finance Co Pty 3.38 3/22/27 10,525,000 10,985,911 0.053%

TRP Government Reserve 0.95 402,706,215 402,706,215 1.930%

TRP Institutional Floating Rate - Z 68,289,484 592,752,722 2.841%

TRP Institutional High Yield - Z 1,976,113 14,959,174 0.072%

UBS Commercial Mortgage Trust 2018-C9 4.32 3/15/51 12,230,000 12,744,300 0.061%

United Airlines 2018-1 Class A Pass Through Trust 3.7 3/1/30 5,887,398 5,514,084 0.026%

United Airlines 2019-2 Class AA Pass Through Trust 2.7 5/1/32 5,130,000 4,972,526 0.024%

United Airlines 2019-2 Class A Pass Through Trust 2.9 5/1/28 8,290,000 8,786,735 0.042%

United Airlines 2019-2 Class B Pass Through Trust 3.5 5/1/28 8,535,000 8,925,430 0.043%

Unitedhealth 3.7 12/15/25 21,755,000 23,551,071 0.113%

Unitedhealth 4.45 12/15/48 21,385,000 26,740,916 0.128%

Unitedhealth 4.25 6/15/48 15,025,000 17,860,458 0.086%

Unitedhealth 3.5 8/15/39 5,310,000 5,741,846 0.028%

US Airways 2012-2 Class A Pass Through Trust 4.63 6/3/25 15,307,168 16,958,183 0.081%

of 23

US Airways 2013-1 Class A Pass Through Trust 3.95 11/15/25 14,961,874 13,734,297 0.066%

U.S. Treasury Bonds 1.63 11/15/22 414,420,000 428,536,181 2.054%



U.S. Treasury Bonds 3 2/15/49 115,047,300 159,142,773 0.763%

U.S. Treasury Bonds 2 2/15/50 87,215,000 101,278,419 0.485%

U.S. Treasury Notes 1.38 10/15/22 740,440,000 760,223,631 3.644%







Ventas Realty 3.25 10/15/26 51,880,000 48,511,172 0.233%

Vereit Operating Partnership 4.6 2/6/24 42,230,000 41,438,188 0.199%



Verizon Communications 4.75 11/1/41 10,225,000 11,905,343 0.057%

Verizon Communications 4.67 3/15/55 10,836,000 13,582,612 0.065%

Verus Securitization Trust 2018-2 3.68 6/1/58 14,519,400 14,117,768 0.068%




Verus Securitization Trust 2018-INV1 3.63 3/25/58 7,844,359 7,449,084 0.036%















Vistra Operations 3.2 12/31/25 1,271,647 1,203,296 0.006%




Vodafone 4.38 5/30/28 48,755,000 51,266,126 0.246%

Vodafone 5 5/30/38 17,710,000 19,673,632 0.094%

Vodafone 5.25 5/30/48 18,550,000 22,494,045 0.108%

Vodafone 4.88 6/19/49 25,250,000 27,868,880 0.134%

Volkswagen Bank GmbH 1.88 1/31/24 1,600,000 1,726,525 0.008%

Volkswagen Bank GmbH 2.5 7/31/26 20,000,000 21,603,397 0.104%

Volkswagen Group of America Finance 4.75 11/13/28 12,025,000 12,193,266 0.058%



Volkswagen Leasing GmbH 1.63 8/15/25 20,085,000 20,870,944 0.100%

Wells Fargo 2.88 10/30/30 37,020,000 36,696,297 0.176%

Wells Fargo Commercial Mortgage Trust 2014-LC18 3.81 12/15/47 5,860,000 5,921,521 0.028%

Wells Fargo Commercial Mortgage Trust 2015-C29 4.01 6/15/48 6,250,000 6,377,659 0.031%

Wells Fargo Commercial Mortgage Trust 2015-LC20 4.06 4/15/50 13,705,000 11,535,583 0.055%

Wells Fargo Commercial Mortgage Trust 2015-NXS2 4.12 7/15/58 6,215,000 6,373,542 0.031%

Wells Fargo Commercial Mortgage Trust 2015-NXS2 4.31 7/15/58 4,900,000 4,163,674 0.020%





Wells Fargo Commercial Mortgage Trust 2019-C50 3 5/15/52 12,000,000 7,243,154 0.035%




Wells Fargo Commercial Mortgage Trust 2019-JWDR 2.58 9/15/31 36,095,000 29,609,122 0.142%

Wells Fargo Commercial Mortgage Trust 2019-JWDR 2.79 9/15/31 10,340,000 8,117,227 0.039%


Western Digital 3.1 2/27/23 24,038,462 22,235,577 0.107%

Western Digital 3.35 4/29/23 18,181,487 17,454,227 0.084%

Westlake Chemical 1.63 7/17/29 11,421,000 11,179,530 0.054%

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WFRBS Commercial Mortgage Trust 2014-C20 4.18 5/15/47 20,974,000 21,463,309 0.103%

Williams 4.5 11/15/23 10,000,000 9,250,000 0.044%

Williams 3.9 1/15/25 22,215,000 19,021,594 0.091%

Williams 4.85 3/1/48 13,920,000 12,928,200 0.062%

Williams 4.3 3/4/24 2,910,000 2,651,738 0.013%

Williams 4 9/15/25 6,920,000 6,106,900 0.029%

Willis North America 3.6 5/15/24 20,420,000 20,774,593 0.100%

Woodside Finance 3.7 3/15/28 35,816,000 34,472,900 0.165%



Worldwide Plaza Trust 2017-WWP 3.53 11/10/36 33,185,000 32,203,371 0.154%

Worldwide Plaza Trust 2017-WWP 3.6 11/10/36 6,005,000 5,164,065 0.025%

WPP Finance 2010 3.75 9/19/24 18,332,000 18,494,275 0.089%

Total Investments in Securities 21,307,749,170

Forwards Contracts

Currency

Bought Receive

Currency

Sold Deliver Settlement Unrealized G/L % of Net Assets

BANK OF AMERICA ILS 19,341,504 USD (5,622,403) 04/23/2020 (156,673) -0.001%

BANK OF AMERICA ILS 44,296,035 USD (12,871,400) 04/23/2020 (353,751) -0.002%

BANK OF AMERICA USD 59,364,082 ILS (204,829,828) 04/23/2020 1,481,069 0.007%

JP MORGAN CHASE BANK ILS 14,767,193 USD (4,292,327) 04/23/2020 (119,255) -0.001%

CITIBANK N A ILS 11,699,637 USD (3,401,281) 04/23/2020 (95,072) 0.000%

CITIBANK N A ILS 111,176,155 USD (32,329,194) 04/23/2020 (911,842) -0.004%



CITIBANK N A USD 39,594,415 ILS (136,553,219) 04/23/2020 1,005,740 0.005%

GOLDMAN SACHS & CO ILS 78,659,739 USD (22,829,972) 04/23/2020 (601,458) -0.003%

HSBC SECURITIES INC ILS 96,675,105 USD (28,066,513) 04/23/2020 (747,024) -0.004%

HSBC SECURITIES INC USD 8,299,064 EUR (7,507,917) 05/22/2020 1,770 0.000%

MORGAN STANLEY & COMPANY LLC ILS 80,308,475 USD (23,347,944) 04/23/2020 (653,512) -0.003%

MORGAN STANLEY & COMPANY LLC USD 59,423,498 ILS (204,829,828) 04/23/2020 1,540,485 0.007%

STATE STREET GLOBAL MARKETS LLC USD 32,401,584 EUR (29,718,590) 05/22/2020 (441,600) -0.002%

STATE STREET GLOBAL MARKETS LLC USD 129,725,329 EUR (118,874,359) 05/22/2020 (1,647,408) -0.008%

Total Forward Currency Exchange Contracts (2,446,699)

Swap Contracts Notional Amount Market Value % of Net Assets

BARCLAYS BANK PLC SNR OPCO CDS 06/20/202 5,777,500 (31,046) 0.000%

BOEING CO DEB CDS 12/20/2021 (63,655,000) (3,700,520) (0.018%)

CHILE CDS 06/20/2025 (33,860,000) (491,105) (0.002%)

CHILE CDS 06/20/2025 (47,400,000) (687,490) (0.003%)

CHILE CDS 06/20/2025 (48,315,000) (700,761) (0.003%)

COLOMBIA CDS 06/20/2025 (111,450,000) (6,899,089) (0.033%)

COLOMBIA CDS 06/20/2025 (18,485,000) (1,144,277) (0.005%)

COLOMBIA CDS 06/20/2025 (21,475,000) (1,329,367) (0.006%)

COLOMBIA CDS 06/20/2025 (53,543,000) (3,314,472) (0.016%)

COLOMBIA CDS 06/20/2025 (54,873,000) (3,396,803) (0.016%)

COLOMBIA CDS 06/20/2025 (17,895,000) (1,107,754) (0.005%)

COLOMBIA CDS 06/20/2025 (36,025,000) (2,230,056) (0.011%)

DEVON ENERGY CORP CDS 12/20/2024 (2,445,000) (321,339) (0.002%)



GENERAL ELECTRIC CO CDS 12/20/2020 (17,800,000) (46,600) 0.000%




REPUBLIC OF INDONESIA CDS 06/20/2025 (29,689,000) (1,565,471) (0.008%)


REPUBLIC OF INDONESIA CDS 06/20/2025 65,317,000 (3,444,100) (0.017%)







REPUBLIC OF INDONESIA CDS 06/20/2025 (14,845,000) (782,762) (0.004%)

CDX IG CDSI S33 5Y 12/20/2024 1,532,428,000 (5,565,779) (0.027%)

(59,102,031)

Futures Contracts Contracts Expiration Contract Value Unrealized G/L % of Net Assets

TYM0 UST 10YR FUT JUN 20 4,769 6/19/2020 661,400,688 7,153,034 3.170%

USM0 UST 20YR FUT JUN 20 6,551 6/19/2020 1,173,038,438 52,139,070 5.623%

UXYM0 UST 10YR ULTRA FUT JUN 20 (6,224) 6/19/2020 (971,138,500) (54,978,895) (4.655%)

WNM0 ULTRA US BOND FUT JUN 20 6,039 6/19/2020 1,339,903,125 142,813,775 6.422%

Total Futures Contracts 147,126,984

NET ASSETS 20,863,278,085

Total Swap Contracts

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NET ASSET VALUE PER SHARE

New Income Fund Shares 9.36

($13,924,927,092 / 1,487,597,303 Shares Outstanding)

New Income Fund - Advisor Class Shares 9.34

($55,603,276 / 5,952,537 Shares Outstanding)

New Income Fund - I Class Shares 9.36

($6,879,924,875 / 735,362,710 Shares Outstanding)

New Income Fund - R Class Shares 9.36

($2,725,341 / 291,262 Shares Outstanding)

New Income Fund - Z Class Shares 9.36

($97,501 / 10,417 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

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

ADP Andorran Peseta DOP Dominican Peso LBP Lebanese Pound QAR Qatari Rial

AED United Arab Emirates Dirham DZD Algerian Dinar LKR Sri Lanka Rupee RON Romanian Leu

AFA Afghanistan Afghani ECS Ecuador Sucre LRD Liberian Dollar RSD Serbian Dinar

ALL Albania Lek EEK Estonian Kroon LTL Lithuanian Litas RUB Russian Rouble

AMD Armenian Dram EGP Egyptian Pound LVL Latvian Lats RWF Rwandan Franc

ANG Netherlands Antillian Guilder ETB Ethiopian Birr LYD Libyan Dinar SAR Saudi Riyal

AOA Angolan Kwanza EUR Euro MAD Moroccan Dirham SDD Sudanese Dinar

ARS Argentine Peso FJD Fiji Dollar MDL Moldavan Leu SEK Swedish Krona

AUD Australian Dollar FKP Falkland Islands Pound MGA Malagasy Franc SGD Singapore Dollar

AZM Azerbaijan Manat GBP British Pound MOP Macau Pataca SIT Slovenian Tolar

BAM Bosnia and Herzegovina Convertible Mark GHC Ghanaian Cedi MRO Mauritanian Ouguiya SKK Slovak Koruna

BBD Bardados Dollar GIP Gibraltar Pound MTL Maltese Lira SLL Sierra Leonean Leone

BDT Bandladesh Taka GTQ Guatemalan Quetzal MUR Mauritius Rupee SOS Somali Shilling

BGN Bulgarian Lev GYD Guyanan Dollar MWK Malawi Kwacha SVC El Salvador Colon

BHD Bahraini Dinar HKD Hong Kong Dollar MXN Mexican Peso SZL Swazi Lilangeni

BMD Bermudian Dollar HNL Honduran Lempira MYR Malaysian Ringgit THB Thai Baht

BOB Bolivian Boliviano HRK Croatian Kuna MZM Mozambican Metical TND Tunisian Dinar

BRL Brazilian Real HTG Haitian Gourde NAD Namibian Dollar TRY Turkish Lira

BSD Bahamian Dollar HUF Hungarian Forint NGN Nigerian Naira TTD Trinidad and Tobago Dollar

BWP Botswana Pula IDR Indonesian Rupiah NIO Nicarguan Cordoba Oro TWD Taiwan Dollar

BYR Belarusian Ruble ILS Israeli New Shekel NOK Norwegian Kroner TZS Tanzanian Shilling

BZD Belize Dollar INR Indian Rupee NPR Nepalese Rupee UAG Ukrainian Hryvnai

CAD Canadian Dollar IQD Iraqi Dinar NZD New Zealand Dollar UGX Uganda Shilling

CHF Swiss Franc IRR Iranian Rial OMR Omani Rial USD U.S. Dollar

CLP Chilean Peso ISK Iceland Krona PAB Panamanian Balboa UYU Uruguayan Peso

CNY China Yuan Renminbi JMD Jamaican Dollar PEN Peruvian Nuevo Sol VEB Venezuelan Bolivar

COP Columbian Peso JOD Jordanian Dinar PGK Papua New Guinea Kina VND Vietnamese Dong

CRC Costa Rican Colon JPY Japanese Yen PHP Philippine Peso XAF CFA Franc BEAC

CUP Cuban Peso KES Kenyan Shilling PKR Pakistan Rupee XCD East Caribbean Dollar

CYP Cyprus Pound KHR Cambodian Riel PLN Polish Zloty XOF CFA Franc BCEAO

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CZK Czech Koruna KPW North Korean Won PYG Guarani YER Yemeni Rial

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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