Transamerica

05/31/2021*


Transamerica PIMCO Tactical - Conservative VP

Security Description % of Total Net Assets
U.S. Treasury Bill, 0.05%, due 06/17/2021 8.32%
U.S. Treasury Bond, 4.50%, due 08/15/2039 8.12%
U.S. Cash Management Bill, 0.04%, due 07/20/2021 5.72%
U.S. Treasury Bill, 0.03%, due 11/12/2021 5.01%
U.S. Treasury Bill, 0.01%, due 08/05/2021 3.77%
U.S. Treasury Note, 1.87%, due 03/31/2022 3.72%
U.S. Treasury Bill, 0.05%, due 08/19/2021 2.17%
U.S. Treasury Bond, 1.87%, due 02/15/2041 2.02%
Uniform Mortgage-Backed Security, 4.00%, TBA 1.83%
Futures Contracts, Long, S&P 500® E-Mini Index 1.64%
U.S. Treasury Bond, 4.25%, due 05/15/2039 1.61%
U.S. Treasury Bill, 0.06%, due 09/09/2021 1.42%
U.S. Treasury Bill- When Issued, 0.06%, due 09/02/2021 1.21%
U.S. Treasury Bond, 3.12%, due 11/15/2041 1.13%
U.S. Treasury Bond, 4.37%, due 05/15/2041 1.12%
U.S. Cash Management Bill, 0.01%, due 09/21/2021 1.07%
Qatar Government International Bond, 2.37%, due 06/02/2021 1.00%
U.S. Treasury Bond, 3.12%, due 05/15/2048 0.96%
Uniform Mortgage-Backed Security, 3.00%, TBA 0.89%
Bank of America Corp., 3.41%, due 12/20/2028 0.88%
U.S. Treasury Note, 2.00%, due 12/31/2021 0.79%
U.S. Treasury Bond, 3.00%, due 02/15/2048 0.79%
U.S. Treasury Bill, 0.04%, due 06/10/2021 0.75%
U.S. Treasury Bill, 0.04%, due 07/20/2021 0.75%
Pretium Mortgage Credit Partners I LLC, Series 2020-RPL2, Class A1, 3.17%, due 06/27/2069 0.71%
U.S. Treasury Bill, 0.04%, due 07/13/2021 0.64%
U.S. Treasury Bond, Principal Only STRIPS, due 05/15/2050 0.63%
U.S. Treasury Bond, 1.12%, due 05/15/2040 0.61%
Japan Finance Organization for Municipalities, 2.12%, due 10/25/2023 0.52%
Dexia Credit Local SA, 1.87%, due 09/15/2021 0.50%
U.S. Treasury Bond, 3.00%, due 08/15/2048 0.44%
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.03%, due 12/15/2027 0.43%
U.S. Treasury Bill, 0.05%, due 09/09/2021 0.43%
U.S. Treasury Note, 0.12%, due 01/15/2024 0.43%
Entergy Mississippi LLC, 2.85%, due 06/01/2028 0.41%
Lloyds Banking Group PLC, 4.55%, due 08/16/2028 0.41%
Bayer US Finance II LLC, 4.62%, due 06/25/2038 0.41%
Sabine Pass Liquefaction LLC, 5.75%, due 05/15/2024 0.40%
Government National Mortgage Association, 0.91%, due 05/20/2066 0.40%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, 3.21%, due 04/25/2028 0.40%
U.S. Cash Management Bill - Reopening, 0.01%, due 07/15/2021 0.39%
U.S. Treasury Bill, 0.04%, due 09/09/2021 0.39%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.45%, due 10/01/2025 0.39%
Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/2029 0.39%
DTE Electric Co., 3.70%, due 06/01/2046 0.39%
DBUBS Mortgage Trust, Series 2017-BRBK, Class A, 3.45%, due 10/10/2034 0.38%
Towd Point Mortgage Funding, Series 2019-GR4A, Class A1, 1.11%, due 10/20/2051 0.35%
Worldwide Plaza Trust, Series 2017-WWP, Class A, 3.52%, due 11/10/2036 0.35%
Credit Suisse Group AG, 3.75%, due 03/26/2025 0.35%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4, 3.37%, due 10/15/2048 0.35%
Uniform Mortgage-Backed Security, 4.50%, TBA 0.35%
Province of Quebec, 2.50%, due 04/20/2026 0.34%
JPMorgan Chase & Co., 1.76%, due 11/19/2031 0.34%
Option Purchased, PUT, S&P 500® Index , Exercise Price $3150.00, Expiration Date 12/17/2021 0.33%
Citigroup, Inc., 3.87%, due 02/18/2026 0.32%
U.S. Treasury Bill, 0.02%, due 07/22/2021 0.32%
Dell International LLC / EMC Corp., 8.10%, due 07/15/2036 0.31%
Pacific Life Insurance Co., 4.30%, due 10/24/2067 0.31%
Indonesia Government International Bond, 4.45%, due 02/11/2024 0.31%
Westinghouse Air Brake Technologies Corp., 4.40%, due 03/15/2024 0.31%
Enel Finance International NV, 2.65%, due 09/10/2024 0.30%
Wells Fargo & Co., 2.16%, due 02/11/2026 0.30%
U.S. Treasury Note, 1.50%, due 02/15/2030 0.30%
Southwestern Electric Power Co., 6.20%, due 03/15/2040 0.29%
Verizon Communications, Inc., 2.10%, due 03/22/2028 0.29%
Uniform Mortgage-Backed Security, 1.50%, TBA 0.29%
GE Capital Funding LLC, 4.40%, due 05/15/2030 0.29%
Venture XIV CLO Ltd., Series 2013-14A, Class ARR, 1.16%, due 08/28/2029 0.28%
Futures Contracts, Long, MSCI EAFE Index 0.28%
ONEOK, Inc., 4.35%, due 03/15/2029 0.28%
Natixis Commercial Mortgage Securities Trust, Series 2019-10K, Class A, 3.62%, due 05/15/2039 0.27%
American Tower Corp., 4.40%, due 02/15/2026 0.27%
Goldman Sachs Group, Inc., 1.93%, due 10/28/2027 0.26%
CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, due 03/01/2030 0.26%
Truist Financial Corp., 5.10%, due 03/01/2030 0.24%
Stichting AK Rabobank Certificaten, 2.18%, due 12/29/2049 0.24%
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR, 1.08%, due 10/15/2027 0.24%
Enterprise Products Operating LLC, 3.20%, due 02/15/2052 0.23%
Kilroy Realty, LP, 4.37%, due 10/01/2025 0.23%
American Tower Corp., 3.37%, due 10/15/2026 0.23%
Government National Mortgage Association, 0.91%, due 06/20/2066 0.23%
Mid-America Apartments, LP, 4.00%, due 11/15/2025 0.23%
Ferguson Finance PLC, 3.25%, due 06/02/2030 0.23%
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, due 07/10/2035 0.23%
Pennsylvania Electric Co., 3.60%, due 06/01/2029 0.22%
Comcast Corp., 4.75%, due 03/01/2044 0.22%
CVS Health Corp., 5.05%, due 03/25/2048 0.22%
Barclays PLC, 3.25%, due 02/12/2027 0.22%
Southern California Edison Co., 4.00%, due 04/01/2047 0.22%
Natwest Group PLC, 8.62%, due 08/15/2021 0.22%
Brixmor Operating Partnership, LP, 1.22%, due 02/01/2022 0.21%
Pacific Gas & Electric Co., 1.50%, due 11/15/2021 0.21%
National Retail Properties, Inc., 4.80%, due 10/15/2048 0.21%
Energy Transfer, LP, 5.80%, due 06/15/2038 0.21%
Sumitomo Mitsui Financial Group, Inc., 2.13%, due 07/08/2030 0.21%
Zephyrus Capital Aviation Partners LLC, Term Loan, 4.60%, due 10/15/2038 0.21%
U.S. Treasury Bond, 1.12%, due 08/15/2040 0.21%
Southern California Gas Co., 4.12%, due 06/01/2048 0.21%
HSBC Holdings PLC, 1.75%, due 07/24/2027 0.20%
VEREIT Operating Partnership, LP, 4.62%, due 11/01/2025 0.20%
Kinder Morgan, Inc., 7.75%, due 01/15/2032 0.20%
Morgan Stanley, 1.79%, due 02/13/2032 0.20%
U.S. Treasury Bond, 2.00%, due 02/15/2050 0.20%
Essex Portfolio, LP, 4.00%, due 03/01/2029 0.20%
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.20%, due 03/15/2028 0.20%
Avangrid, Inc., 3.80%, due 06/01/2029 0.20%
Sinopec Group Overseas Development Ltd., 4.12%, due 09/12/2025 0.20%
Valero Energy Corp., 4.00%, due 04/01/2029 0.19%
Barclays PLC, 3.65%, due 03/16/2025 0.19%
Federal Home Loan Mortgage Corp., 4.50%, due 08/01/2048 0.19%
AHS Hospital Corp., 5.02%, due 07/01/2045 0.19%
Woodside Finance Ltd., 3.70%, due 03/15/2028 0.19%
Berry Global, Inc., 4.87%, due 07/15/2026 0.19%
JAB Holdings BV, 2.20%, due 11/23/2030 0.19%
Mitsubishi HC Capital, Inc., 2.65%, due 09/19/2022 0.18%
MGM Growth Properties Operating Partnership, LP / MGP Finance Co-Issuer, Inc., 3.87%, due 02/15/2029 0.18%
Port Authority of New York & New Jersey, 4.45%, due 10/01/2062 0.18%
Arbor Realty Commercial Real Estate Notes Ltd., Series 2019-FL1, Class A, 1.25%, due 05/15/2037 0.18%
LoanCore Issuer Ltd., Series 2019-CRE2, Class A, 1.23%, due 05/15/2036 0.18%
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, 1.15%, due 04/15/2036 0.18%
La Hipotecaria El Salvadorian Mortgage Trust, Series 2016-1A, Class A, 3.35%, due 01/15/2046 0.18%
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1, 2.75%, due 07/25/2059 0.17%
Mitsubishi UFJ Financial Group, Inc., 2.04%, due 07/17/2030 0.17%
Soundview Home Loan Trust, Series 2007-NS1, Class A4, 0.39%, due 01/25/2037 0.17%
JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A5, 0.35%, due 06/25/2037 0.17%
State of California, 7.35%, due 11/01/2039 0.17%
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.75%, due 04/25/2059 0.16%
Natwest Group PLC, 4.89%, due 05/18/2029 0.16%
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 5.15%, due 09/20/2029 0.16%
Fortune Brands Home & Security, Inc., 4.00%, due 06/15/2025 0.16%
Zoetis, Inc., 3.90%, due 08/20/2028 0.16%
UBS Group AG, 4.12%, due 09/24/2025 0.16%
McDonald's Corp., 3.80%, due 04/01/2028 0.16%
COMM Mortgage Trust, Series 2018-HOME, Class A, 3.81%, due 04/10/2033 0.16%
Broadcom, Inc., 4.30%, due 11/15/2032 0.16%
Syngenta Finance NV, 5.18%, due 04/24/2028 0.16%
Peru Government International Bond, 5.94%, due 02/12/2029 0.16%
Sabra Health Care, LP, 4.80%, due 06/01/2024 0.16%
WP Carey, Inc., 4.60%, due 04/01/2024 0.16%
GCAT LLC, Series 2019-4, Class A1, 3.22%, due 11/26/2049 0.16%
Nissan Motor Co. Ltd., 4.34%, due 09/17/2027 0.16%
AIB Group PLC, 4.75%, due 10/12/2023 0.16%
Northwell Healthcare, Inc., 3.97%, due 11/01/2046 0.16%
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1.56%, due 02/17/2032 0.15%
Bank of Ireland Group PLC, 4.50%, due 11/25/2023 0.15%
Santander Holdings USA, Inc., 3.45%, due 06/02/2025 0.15%
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC, 4.73%, due 09/20/2029 0.15%
Uropa Securities PLC, Series 2008-1, Class A, 0.27%, due 06/10/2059 0.15%
Federal Home Loan Mortgage Corp. REMIC, 0.46%, due 01/15/2038 0.15%
Block Financial LLC, 3.87%, due 08/15/2030 0.15%
U.S. Treasury Bond, 2.25%, due 08/15/2049 0.15%
Fidelity National Financial, Inc., 3.40%, due 06/15/2030 0.15%
Mizuho Financial Group, Inc., 2.83%, due 07/16/2025 0.15%
LeasePlan Corp. NV, 2.87%, due 10/24/2024 0.15%
Yara International ASA, 3.14%, due 06/04/2030 0.15%
United Airlines Pass-Through Trust, 2.87%, due 04/07/2030 0.15%
Huntsman International LLC, 4.50%, due 05/01/2029 0.15%
Suntory Holdings Ltd., 2.25%, due 10/16/2024 0.15%
Banco BTG Pactual SA, 4.50%, due 01/10/2025 0.15%
Ford Motor Credit Co. LLC, 4.14%, due 02/15/2023 0.15%
BAT Capital Corp., 4.39%, due 08/15/2037 0.15%
Fortress Transportation & Infrastructure Investors LLC, 6.50%, due 10/01/2025 0.15%
Boardwalk Pipelines, LP, 3.40%, due 02/15/2031 0.15%
UniCredit SpA, 6.57%, due 01/14/2022 0.15%
Dominican Republic International Bond, 4.87%, due 09/23/2032 0.15%
Adventist Health System, 2.43%, due 09/01/2024 0.15%
United Airlines Pass-Through Trust, 3.10%, due 04/07/2030 0.15%
Dolphin Energy Ltd. LLC, 5.50%, due 12/15/2021 0.15%
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR9, Class 2A, 1.87%, due 08/25/2046 0.15%
Infor, Inc., 1.75%, due 07/15/2025 0.15%
Saudi Arabian Oil Co., 1.62%, due 11/24/2025 0.14%
MPLX, LP, 1.75%, due 03/01/2026 0.14%
Mizuho Financial Group, Inc., 1.17%, due 09/11/2024 0.14%
DAE Funding LLC, 2.62%, due 03/20/2025 0.14%
Black Hills Corp., 2.50%, due 06/15/2030 0.14%
Pertamina Persero PT, 4.17%, due 01/21/2050 0.14%
HERA Commercial Mortgage Ltd., Series 2021-FL1, Class A, 1.14%, due 02/18/2038 0.14%
CIFC Funding Ltd., Series 2017-4A, Class A1R, Zero Coupon, due 10/24/2030 0.14%
LFT CRE LLC, Series 2021-FL1, Class A, 1.27%, due 06/15/2039 0.14%
Vibrant CLO VI Ltd., Series 2017-6A, Class AR, Zero Coupon, due 06/20/2029 0.14%
Sound Point CLO XVI Ltd., Series 2017-2A, Class AR, 1.15%, due 07/25/2030 0.14%
Rockies Express Pipeline LLC, 4.80%, due 05/15/2030 0.14%
Seagate HDD Cayman, 4.12%, due 01/15/2031 0.14%
Stryker Corp., 1.95%, due 06/15/2030 0.14%
Motorola Solutions, Inc., 2.30%, due 11/15/2030 0.14%
Liberty Utilities Finance GP 1, 2.05%, due 09/15/2030 0.14%
Deutsche Bank AG, 3.54%, due 09/18/2031 0.13%
Texas Transportation Commission State Highway Fund, 4.00%, due 10/01/2033 0.13%
Discovery Communications LLC, 4.00%, due 09/15/2055 0.13%
Qatar Government International Bond, 4.40%, due 04/16/2050 0.13%
UniCredit SpA, 2.56%, due 09/22/2026 0.13%
Peru Government International Bond, 5.94%, due 02/12/2029 0.13%
Banco de Credito del Peru, 4.65%, due 09/17/2024 0.13%
Amgen, Inc., 4.40%, due 05/01/2045 0.12%
IHS Markit Ltd., 4.75%, due 08/01/2028 0.12%
Broadcom, Inc., 5.00%, due 04/15/2030 0.12%
VMware, Inc., 4.65%, due 05/15/2027 0.12%
CHRISTUS Health, 4.34%, due 07/01/2028 0.12%
Aviation Capital Group LLC, 5.50%, due 12/15/2024 0.12%
Citigroup, Inc., 4.40%, due 06/10/2025 0.12%
KLA Corp., 4.65%, due 11/01/2024 0.12%
APT Pipelines Ltd., 4.25%, due 07/15/2027 0.12%
American Tower Corp., 4.00%, due 06/01/2025 0.12%
OneMain Finance Corp., 8.87%, due 06/01/2025 0.12%
AP Moller - Maersk A/S, 3.87%, due 09/28/2025 0.12%
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.80%, due 03/01/2050 0.12%
Hasbro, Inc., 3.55%, due 11/19/2026 0.12%
Wells Fargo & Co., 3.19%, due 06/17/2027 0.12%
American Airlines Pass-Through Trust, 3.00%, due 04/15/2030 0.12%
IPALCO Enterprises, Inc., 3.70%, due 09/01/2024 0.12%
Alabama Power Co., 3.45%, due 10/01/2049 0.11%
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.87%, due 07/17/2049 0.11%
Diamondback Energy, Inc., 2.87%, due 12/01/2024 0.11%
Boeing Co., 3.62%, due 02/01/2031 0.11%
Pacific Gas & Electric Co., 4.25%, due 08/01/2023 0.11%
Republic of South Africa Government International Bond, 4.85%, due 09/30/2029 0.11%
Los Angeles Community College District, 6.60%, due 08/01/2042 0.11%
United Airlines Pass-Through Trust, 5.87%, due 04/15/2029 0.11%
Microsoft Corp., 2.92%, due 03/17/2052 0.11%
PennyMac Financial Services, Inc., 5.37%, due 10/15/2025 0.11%
Nomura Holdings, Inc., 2.64%, due 01/16/2025 0.11%
SVB Financial Group, 3.12%, due 06/05/2030 0.11%
Midwest Connector Capital Co. LLC, 3.90%, due 04/01/2024 0.11%
State of Israel, 3.37%, due 01/15/2050 0.11%
UDR, Inc., 3.00%, due 08/15/2031 0.11%
Oracle Corp., 2.95%, due 05/15/2025 0.11%
Quanta Services, Inc., 2.90%, due 10/01/2030 0.11%
Centrais Eletricas Brasileiras SA, 4.62%, due 02/04/2030 0.11%
HSBC Holdings PLC, 4.60%, due 12/17/2030 0.11%
Amcor Flexibles North America, Inc., 2.63%, due 06/19/2030 0.11%
American Campus Communities Operating Partnership, LP, 2.85%, due 02/01/2030 0.11%
Crocs, Inc., 4.25%, due 03/15/2029 0.11%
Standard Industries, Inc., 4.37%, due 07/15/2030 0.11%
Sumitomo Mitsui Trust Bank Ltd., 0.80%, due 09/12/2023 0.11%
HSBC Holdings PLC, 1.58%, due 05/24/2027 0.11%
Skyworks Solutions, Inc., 0.90%, due 06/01/2023 0.11%
LCM XV, LP, Series 15A, Class AR2, 1.18%, due 07/20/2030 0.11%
Marble Point CLO X Ltd., Series 2017-1A, Class AR, 1.22%, due 10/15/2030 0.11%
Arbor Realty Collateralized Loan Obligation Ltd., Series 2021-FL2, Class A, 1.20%, due 05/15/2036 0.11%
OZLM XVI Ltd., Series 2017-16A, Class A1R, 1.18%, due 05/16/2030 0.11%
AMMC CLO 16 Ltd., Series 2015-16A, Class AR2, 1.16%, due 04/14/2029 0.11%
New York State Urban Development Corp., 1.82%, due 03/15/2029 0.11%
Fremont Home Loan Trust, Series 2005-1, Class M5, 1.15%, due 06/25/2035 0.11%
Williams Cos., Inc., 2.60%, due 03/15/2031 0.11%
Home Equity Asset Trust, Series 2005-4, Class M6, 1.17%, due 10/25/2035 0.11%
AIA Group Ltd., 3.20%, due 09/16/2040 0.11%
STORE Capital Corp., 2.75%, due 11/18/2030 0.11%
Standard Chartered PLC, 1.45%, due 01/14/2027 0.11%
Bay Area Toll Authority, Series S1, 6.91%, due 04/01/2040 0.10%
Saxon Asset Securities Trust, Series 2005-4, Class M2, 0.76%, due 11/25/2037 0.10%
Banner Health, 1.89%, due 01/01/2031 0.10%
Mill City Mortgage Loan Trust, Series 2019-GS2, Class A1, 2.75%, due 08/25/2059 0.10%
Sumitomo Mitsui Financial Group, Inc., 2.14%, due 09/23/2030 0.10%
San Diego Gas & Electric Co., 1.70%, due 10/01/2030 0.10%
Alibaba Group Holding Ltd., 2.70%, due 02/09/2041 0.10%
SP Group Treasury Pte Ltd., 3.37%, due 02/27/2029 0.10%
Angel Oak Mortgage Trust, Series 2020-4, Class A1, 1.46%, due 06/25/2065 0.10%
AT&T, Inc., 4.30%, due 02/15/2030 0.09%
ChaseFlex Trust, Series 2007-2, Class A1, 0.37%, due 05/25/2037 0.09%
Expedia Group, Inc., 6.25%, due 05/01/2025 0.09%
Hackensack Meridian Health, Inc., 4.50%, due 07/01/2057 0.09%
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1, 2.75%, due 11/25/2059 0.09%
MidOcean Credit CLO II, Series 2013-2A, Class ARR, Zero Coupon, due 01/29/2030 0.09%
KKR CLO 9 Ltd., Series 9, Class AR2, Zero Coupon, due 07/15/2030 0.09%
Vibrant CLO VII Ltd., Series 2017-7A, Class A1R, 1.22%, due 09/15/2030 0.09%
Gallatin CLO IX Ltd., Series 2018-1A, Class A, 1.23%, due 01/21/2028 0.09%
Steele Creek CLO Ltd., Series 2015-1A, Class AR2, 1.04%, due 05/21/2029 0.09%
Dell International LLC / EMC Corp., 5.30%, due 10/01/2029 0.08%
Southwest Airlines Co., 5.12%, due 06/15/2027 0.08%
Saudi Arabia Government International Bond, 4.50%, due 04/22/2060 0.08%
Eni SpA, 4.75%, due 09/12/2028 0.08%
Bell Canada, 4.30%, due 07/29/2049 0.08%
Alexandria Real Estate Equities, Inc., 4.50%, due 07/30/2029 0.08%
Lloyds Banking Group PLC, 4.37%, due 03/22/2028 0.08%
Discover Financial Services, 4.50%, due 01/30/2026 0.08%
Crown Castle International Corp., 4.45%, due 02/15/2026 0.08%
Master Asset-Backed Securities Trust, Series 2004-WMC3, Class M1, 0.91%, due 10/25/2034 0.08%
Flex Ltd., 4.75%, due 06/15/2025 0.08%
DBGS Mortgage Trust, Series 2019-1735, Class A, 3.84%, due 04/10/2037 0.08%
Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.90%, due 10/25/2059 0.08%
Union Pacific Corp., 4.10%, due 09/15/2067 0.08%
Zais CLO Ltd., Series 2014-1A, Class A1AR, 1.33%, due 04/15/2028 0.08%
Niagara Mohawk Power Corp., 4.11%, due 11/28/2042 0.08%
Tencent Holdings Ltd., 3.97%, due 04/11/2029 0.08%
Park Aerospace Holdings Ltd., 5.50%, due 02/15/2024 0.08%
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.45%, due 04/03/2026 0.08%
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1.04%, due 11/25/2065 0.08%
Deutsche Bank AG, 3.96%, due 11/26/2025 0.08%
County of Baltimore, 3.30%, due 07/01/2046 0.08%
Imperial Brands Finance PLC, 3.50%, due 07/26/2026 0.08%
Sasol Financing USA LLC, 5.87%, due 03/27/2024 0.08%
Banco Santander SA, 3.49%, due 05/28/2030 0.08%
Marvell Technology, Inc., 4.20%, due 06/22/2023 0.08%
Sands China Ltd., 4.60%, due 08/08/2023 0.08%
BOC Aviation Ltd., 3.50%, due 10/10/2024 0.08%
Level 3 Financing, Inc., 3.87%, due 11/15/2029 0.08%
GLP Capital, LP / GLP Financing II, Inc., 4.00%, due 01/15/2030 0.08%
AKER BP ASA, 3.75%, due 01/15/2030 0.08%
Sydney Airport Finance Co. Pty Ltd., 3.90%, due 03/22/2023 0.07%
JetBlue Pass-Through Trust, 4.00%, due 05/15/2034 0.07%
Ashtead Capital, Inc., 4.00%, due 05/01/2028 0.07%
Starwood Property Trust, Inc., 5.50%, due 11/01/2023 0.07%
Las Vegas Sands Corp., 2.90%, due 06/25/2025 0.07%
Spirit AeroSystems, Inc., 3.85%, due 06/15/2026 0.07%
Fairstone Financial, Inc., 7.87%, due 07/15/2024 0.07%
Charles Schwab Corp., 4.00%, due 06/01/2026 0.07%
New Jersey Transportation Trust Fund Authority, 2.55%, due 06/15/2023 0.07%
United Wholesale Mortgage LLC, 5.50%, due 11/15/2025 0.07%
Jazz Securities DAC, 4.37%, due 01/15/2029 0.07%
Qatar Government International Bond, 4.50%, due 01/20/2022 0.07%
BNP Paribas SA, 4.62%, due 02/25/2031 0.07%
SBA Tower Trust, 1.88%, due 07/15/2050 0.07%
Santander UK Group Holdings PLC, 2.89%, due 03/15/2032 0.07%
Deutsche Bank AG, 2.12%, due 11/24/2026 0.07%
Anthem, Inc., 1.50%, due 03/15/2026 0.07%
NRG Energy, Inc., 2.45%, due 12/02/2027 0.07%
Virtusa Corp., Term Loan B, 5.00%, due 02/11/2028 0.07%
Petronas Energy Canada Ltd., 2.11%, due 03/23/2028 0.07%
Nissan Motor Acceptance Corp., 2.00%, due 03/09/2026 0.07%
DROP Mortgage Trust, Series 2021-FILE, Class A, 1.25%, due 04/15/2026 0.07%
AT&T, Inc., 3.65%, due 06/01/2051 0.07%
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, 1.23%, due 07/15/2030 0.07%
Standard Chartered PLC, 0.99%, due 01/12/2025 0.07%
Marriott International, Inc., 2.85%, due 04/15/2031 0.07%
Societe Generale SA, 1.48%, due 12/14/2026 0.07%
DnB Bank ASA, 1.12%, due 09/16/2026 0.07%
Targa Resources Partners, LP / Targa Resources Partners Finance Corp., 4.00%, due 01/15/2032 0.07%
Peru Government International Bond, 8.20%, due 08/12/2026 0.07%
Guardian Life Insurance Co. of America, 3.70%, due 01/22/2070 0.07%
Textron, Inc., 2.45%, due 03/15/2031 0.07%
Omega Healthcare Investors, Inc., 3.25%, due 04/15/2033 0.07%
Memorial Sloan-Kettering Cancer Center, 2.95%, due 01/01/2050 0.07%
Yale University, 1.48%, due 04/15/2030 0.07%
Flex Ltd., 4.87%, due 06/15/2029 0.07%
Axalta Coating Systems LLC, 3.37%, due 02/15/2029 0.07%
T-Mobile USA, Inc., 2.25%, due 11/15/2031 0.07%
Fresenius Medical Care US Finance III, Inc., 2.37%, due 02/16/2031 0.07%
General Electric Co., 3.51%, due 09/15/2021 0.07%
Baxter International, Inc., 1.73%, due 04/01/2031 0.07%
RASC Trust, Series 2007-KS2, Class AI4, 0.31%, due 02/25/2037 0.07%
Brighthouse Holdings LLC, 6.50%, due 07/27/2037 0.07%
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, 1.09%, due 05/25/2058 0.07%
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.85%, due 04/01/2061 0.07%
CSMC Trust, Series 2019-RPL9, Class A1, 2.98%, due 10/27/2059 0.07%
British Airways Pass-Through Trust, 3.35%, due 12/15/2030 0.06%
Cox Communications, Inc., 2.95%, due 10/01/2050 0.06%
British Airways Pass-Through Trust, 3.80%, due 03/20/2033 0.06%
U.S. Treasury Bond, Principal Only STRIPS, due 08/15/2044 0.06%
Bacardi Ltd., 4.70%, due 05/15/2028 0.06%
Fair Isaac Corp., 4.00%, due 06/15/2028 0.06%
Federal Home Loan Mortgage Corp. REMIC, 0.50%, due 09/15/2045 0.06%
Palmer Square Loan Funding Ltd., Series 2018-4A, Class A1, 1.05%, due 11/15/2026 0.06%
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 2M2, 1.29%, due 01/25/2045 0.05%
Encore Credit Receivables Trust, Series 2005-1, Class M1, 0.75%, due 07/25/2035 0.05%
State of Wisconsin, Series A, 2.09%, due 05/01/2026 0.05%
Public Service Co. of Colorado, 1.87%, due 06/15/2031 0.05%
Energy Transfer, LP, 7.50%, due 07/01/2038 0.05%
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1, 3.00%, due 11/25/2059 0.05%
Tennessee Gas Pipeline Co. LLC, 7.00%, due 10/15/2028 0.05%
Pacific Gas & Electric Co., 3.50%, due 06/15/2025 0.04%
Bear Stearns Alt-A Trust, Series 2005-7, Class 22A1, 3.03%, due 09/25/2035 0.04%
NGPL PipeCo LLC, 4.87%, due 08/15/2027 0.04%
Merrill Lynch Mortgage Investors Trust, Series 2003-B, Class A1, 0.77%, due 04/25/2028 0.04%
New York Life Insurance Co., 4.45%, due 05/15/2069 0.04%
Bacardi Ltd., 5.15%, due 05/15/2038 0.04%
Romania Government International Bond, 2.62%, due 12/02/2040 0.04%
General Electric Co., 5.55%, due 01/05/2026 0.04%
Alabama Power Co., 4.15%, due 08/15/2044 0.04%
AT&T, Inc., 4.50%, due 05/15/2035 0.04%
GLP Capital, LP / GLP Financing II, Inc., 5.37%, due 04/15/2026 0.04%
HCA, Inc., 4.12%, due 06/15/2029 0.04%
Southern California Edison Co., 4.65%, due 10/01/2043 0.04%
Alexandria Real Estate Equities, Inc., 3.95%, due 01/15/2027 0.04%
Bacardi Ltd., 4.45%, due 05/15/2025 0.04%
Uropa Securities PLC, Series 2008-1, Class M1, 0.42%, due 06/10/2059 0.04%
Federal Home Loan Mortgage Corp., Interest Only STRIPS, 5.78%, due 09/15/2043 0.04%
CHL Mortgage Pass-Through Trust, Series 2004-J3, Class A7, 5.50%, due 05/25/2034 0.04%
Edison International, 3.55%, due 11/15/2024 0.04%
CenterPoint Energy, Inc., 6.12%, due 09/01/2023 0.04%
Federal National Mortgage Association, 4.00%, due 09/01/2048 0.04%
CenterPoint Energy Houston Electric LLC, 3.35%, due 04/01/2051 0.04%
Southern California Edison Co., 4.05%, due 03/15/2042 0.04%
Federal National Mortgage Association REMIC, 0.64%, due 02/25/2041 0.04%
FMG Resources August 2006 Pty Ltd., 4.37%, due 04/01/2031 0.04%
Aircastle Ltd., 5.50%, due 02/15/2022 0.04%
Federal National Mortgage Association, 3.50%, due 06/01/2045 0.04%
Wynn Macau Ltd., 5.12%, due 12/15/2029 0.04%
Avolon Holdings Funding Ltd., 2.87%, due 02/15/2025 0.04%
Southern California Edison Co., 3.90%, due 03/15/2043 0.04%
DaVita, Inc., 4.62%, due 06/01/2030 0.04%
Fairfax Financial Holdings Ltd., 3.37%, due 03/03/2031 0.04%
Boston Scientific Corp., 2.65%, due 06/01/2030 0.04%
Syngenta Finance NV, 3.12%, due 03/28/2022 0.04%
Boeing Co., 2.19%, due 02/04/2026 0.04%
Siemens Financieringsmaatschappij NV, 1.70%, due 03/11/2028 0.04%
Pacific Gas & Electric Co., 1.36%, due 03/10/2023 0.04%
CenterPoint Energy Resources Corp., 0.63%, due 03/02/2023 0.04%
Cigna Corp., 2.37%, due 03/15/2031 0.04%
IRB Holding Corp., Term Loan, 4.25%, due 12/15/2027 0.04%
Spirit AeroSystems, Inc., 3.95%, due 06/15/2023 0.04%
Illumina, Inc., 2.55%, due 03/23/2031 0.04%
Citrix Systems, Inc., 1.25%, due 03/01/2026 0.04%
Aircastle Ltd., 2.85%, due 01/26/2028 0.03%
Agilent Technologies, Inc., 2.30%, due 03/12/2031 0.03%
Boston Properties, LP, 2.55%, due 04/01/2032 0.03%
University of California, Series BG , 1.61%, due 05/15/2030 0.03%
Duquesne Light Holdings, Inc., 2.53%, due 10/01/2030 0.03%
UnitedHealth Group, Inc., 2.90%, due 05/15/2050 0.03%
Morgan Stanley, 1.92%, due 04/28/2032 0.03%
Arizona Public Service Co., 2.65%, due 09/15/2050 0.03%
U.S. Treasury Bond, 1.87%, due 02/15/2051 0.03%
American Airlines Pass-Through Trust, 3.50%, due 08/15/2033 0.03%
U.S. Treasury Note, 1.12%, due 02/29/2028 0.03%
Uropa Securities PLC, Series 2008-1, Class B, 0.82%, due 06/10/2059 0.03%
Pacific Gas & Electric Co., 3.75%, due 08/15/2042 0.03%
Alphabet, Inc., 1.90%, due 08/15/2040 0.03%
Uropa Securities PLC, Series 2008-1, Class M2, 0.62%, due 06/10/2059 0.03%
Activision Blizzard, Inc., 2.50%, due 09/15/2050 0.03%
American Airlines Pass-Through Trust, 3.25%, due 04/15/2030 0.03%
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, 1.15%, due 09/15/2036 0.03%
Eurosail PLC, Series 2006-4X, Class A3C, 0.23%, due 12/10/2044 0.03%
Spirit Airlines Pass-Through Trust, 4.10%, due 10/01/2029 0.03%
Tagua Leasing LLC, 1.58%, due 11/16/2024 0.02%
Helios Leasing I LLC, 1.56%, due 09/28/2024 0.02%
Futures Contracts, Short, German Euro Bund 0.02%
Federal Home Loan Mortgage Corp. REMIC, 0.50%, due 02/15/2041 0.02%
Futures Contracts, Short, Euro OAT 0.02%
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, 5.12%, due 11/30/2024 0.02%
American Airlines Pass-Through Trust, 4.00%, due 01/15/2027 0.02%
Southern Pacific Financing PLC, Series 2005-B, Class A, 0.25%, due 06/10/2043 0.02%
Amazon.com, Inc., 2.50%, due 06/03/2050 0.02%
Energy Transfer, LP, 4.75%, due 01/15/2026 0.02%
Southwest Airlines Co. Pass-Through Trust, 6.65%, due 08/01/2022 0.02%
HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1, 2.70%, due 07/19/2035 0.02%
Mountain View CLO Ltd., Series 2014-1A, Class ARR, 0.98%, due 10/15/2026 0.01%
Lazard Group LLC, 3.75%, due 02/13/2025 0.01%
Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/2025 0.01%
Federal Home Loan Mortgage Corp. REMIC, Interest Only STRIPS, 2.12%, due 01/15/2038 0.01%
MortgageIT Trust, Series 2005-2, Class 1A1, 0.61%, due 05/25/2035 0.01%
Comcast Corp., 4.40%, due 08/15/2035 0.01%
Utah State Board of Regents, Series 1, 0.84%, due 12/26/2031 0.01%
First American Financial Corp., 4.60%, due 11/15/2024 0.01%
Odebrecht Drilling Norbe VIII / IX Ltd., 6.35%, due 12/01/2021 0.01%
Sydney Airport Finance Co. Pty Ltd., 3.37%, due 04/30/2025 0.01%
Woodside Finance Ltd., 3.65%, due 03/05/2025 0.01%
Federal National Mortgage Association REMIC, Interest Only STRIPS, 3.00%, due 03/25/2028 0.01%
Morgan Stanley Bank of America Merrill Lynch Trust, Interest Only STRIPS, Series 2013-C8, Class XA, 0.96%, due 12/15/2048 0.01%
Swap Agreement, Receive, North America CMBS Basket Index - Series AAA8 0.01%
Northstar Education Finance, Inc., Series 2012-1, Class A, 0.79%, due 12/26/2031 0.00%**
U.S. Treasury Bond, 2.87%, due 05/15/2049 0.00%**
Futures Contracts, Long, EURO-BTP FUTURE SEP21 XEUR 20210908 0.00%**
Swap Agreement, Receive, North America CMBS Basket Index - Series AAA9 0.00%**
Futures Contracts, Long, 10-Year U.S. Treasury Note 0.00%**
Futures Contracts, Long, 10-Year U.S. Treasury Ultra Note 0.00%**
Swap Agreement, Receive, 3-Month CAD-CDOR 0.00%**
Banc of America Mortgage Trust, Series 2004-D, Class 2A2, 2.53%, due 05/25/2034 0.00%**
Swap Agreement, Receive, AT&T Inc., 3.80%, 02/15/2027 0.00%**
Swap Agreement, Receive, AT&T Inc., 3.80%, 02/15/2027 0.00%**
Swap Agreement, Receive, 3-Month CAD-CDOR 0.00%**
Option Written, PUT, Federal National Mortgage Association, 2.00%, TBA , Exercise Price $98.53, Expiration Date 06/07/2021 0.00%**
Swaption Written, PUT, 5-Year , Exercise Rate 0.02%, Expiration Date 06/21/2021 0.00%**
Futures Contracts, Short, 30-Year U.S. Treasury Bond 0.00%**
Swaption Written, PUT, North America Investment Grade Index - Series 35 , Exercise Rate 0.90%, Expiration Date 09/15/2021 0.00%**
Swaption Written, PUT, 5-Year , Exercise Rate 0.02%, Expiration Date 07/13/2021 0.00%**
Swaption Written, PUT, 5-Year , Exercise Rate 0.02%, Expiration Date 07/14/2021 0.00%**
Futures Contracts, Long, 5-Year U.S. Treasury Note 0.00%**
Futures Contracts, Short, 2-Year U.S. Treasury Note 0.00%**
Swaption Written, CALL, 5-Year , Exercise Rate 0.01%, Expiration Date 06/21/2021 0.00%**
Swaption Written, PUT, 5-Year , Exercise Rate 0.02%, Expiration Date 07/19/2021 0.00%**
Swaption Written, CALL, 5-Year , Exercise Rate 0.01%, Expiration Date 07/14/2021 0.00%**
Option Written, CALL, Federal National Mortgage Association, 2.00%, TBA , Exercise Price $100.53, Expiration Date 06/07/2021 0.00%**
Swaption Written, CALL, 5-Year , Exercise Rate 0.01%, Expiration Date 07/13/2021 0.00%**
Swaption Written, CALL, 5-Year , Exercise Rate 0.01%, Expiration Date 07/19/2021 0.00%**
Futures Contracts, Short, U.S. Treasury Ultra Bond -0.01%**
Futures Contracts, Short, U.K. Gilt -0.01%**
Swap Agreement, Receive, 6-Month EUR-EURIBOR -0.05%**
Futures Contracts, Long, E-Mini Russell 2000® Index -0.16%**
Net Other Assets (Liabilities) -12.90%**

The information, data, analyses, and opinions contained herein may include, or be derived from, information provided by the sub-adviser to the fund as of the date specified and are provided solely for informational purposes and therefore are not an offer to buy or sell a security. There is no assurance that the securities are held beyond the indicated date and as a result data may vary.