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THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2023.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 37.4%
|
||
|
Aerospace & Defense — 0.1%
|
||
|
Boeing Co. (The)
|
|
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5.71%, 5/1/2040
|
415
|
409
|
|
3.85%, 11/1/2048
|
375
|
273
|
|
3.95%, 8/1/2059
|
435
|
313
|
|
Leonardo SpA (Italy) 4.88%, 3/24/2025
|
150
|
162
|
|
Rolls-Royce plc (United Kingdom)
|
|
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4.63%, 2/16/2026 (a)
|
100
|
105
|
|
4.63%, 2/16/2026 (b)
|
110
|
116
|
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (b)
|
45
|
48
|
|
Triumph Group, Inc. 9.00%, 3/15/2028 (b)
|
100
|
101
|
|
|
|
1,527
|
|
Automobile Components — 0.6%
|
||
|
Adient Global Holdings Ltd.
|
|
|
|
3.50%, 8/15/2024 (a)
|
44
|
47
|
|
7.00%, 4/15/2028 (b)
|
55
|
56
|
|
8.25%, 4/15/2031 (b)
|
125
|
125
|
|
Adler Pelzer Holding GmbH (Germany) 9.50%, 4/1/2027 (b)
|
206
|
198
|
|
Allison Transmission, Inc.
|
|
|
|
4.75%, 10/1/2027 (b)
|
140
|
133
|
|
5.88%, 6/1/2029 (b)
|
315
|
304
|
|
American Axle & Manufacturing, Inc.
|
|
|
|
6.50%, 4/1/2027
|
300
|
280
|
|
5.00%, 10/1/2029
|
175
|
142
|
|
Clarios Global LP 8.50%, 5/15/2027 (b)
|
410
|
411
|
|
Dometic Group AB (Sweden) 3.00%, 9/13/2023 (a)
|
200
|
212
|
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (b)
|
115
|
86
|
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Faurecia SE (France)
|
|
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3.13%, 6/15/2026 (a)
|
480
|
484
|
|
2.75%, 2/15/2027 (a)
|
700
|
672
|
|
2.38%, 6/15/2027 (a)
|
100
|
94
|
|
Goodyear Tire & Rubber Co. (The) 5.00%, 7/15/2029
|
470
|
423
|
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Grupo Antolin-Irausa SA (Spain) 3.50%, 4/30/2028 (b)
|
168
|
130
|
|
IHO Verwaltungs GmbH (Germany)
|
|
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3.88% (Cash), 5/15/2027 (a) (c) (d)
|
400
|
379
|
|
9.50% (PIK), 5/15/2028 (b) (c)
|
185
|
200
|
|
Schaeffler AG (Germany)
|
|
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2.75%, 10/12/2025 (a)
|
300
|
307
|
|
2.88%, 3/26/2027 (a)
|
330
|
334
|
|
TI Automotive Finance plc (China) 3.75%, 4/15/2029 (a)
|
150
|
127
|
|
Valeo (France) 3.25%, 1/22/2024 (a)
|
500
|
531
|
|
ZF Europe Finance BV (Germany)
|
|
|
|
2.00%, 2/23/2026 (a)
|
400
|
389
|
|
2.50%, 10/23/2027 (a)
|
300
|
279
|
|
ZF Finance GmbH (Germany) 3.75%, 9/21/2028 (a)
|
200
|
190
|
|
|
|
6,533
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Automobiles — 0.4%
|
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|
Hyundai Capital America
|
|
|
|
1.30%, 1/8/2026 (b)
|
430
|
386
|
|
3.50%, 11/2/2026 (b)
|
2,180
|
2,049
|
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Jaguar Land Rover Automotive plc (United Kingdom)
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|
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5.88%, 11/15/2024 (a)
|
300
|
322
|
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4.50%, 1/15/2026 (a)
|
250
|
255
|
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Renault SA (France)
|
|
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1.25%, 6/24/2025 (a)
|
200
|
199
|
|
2.00%, 9/28/2026 (a)
|
300
|
288
|
|
2.50%, 6/2/2027 (a)
|
600
|
572
|
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Stellantis NV 3.88%, 1/5/2026 (a)
|
160
|
171
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|
Volvo Car AB (Sweden) 2.00%, 1/24/2025 (a)
|
300
|
307
|
|
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4,549
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Banks — 8.2%
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ABN AMRO Bank NV (Netherlands)
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|
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(EUR Swap Annual 5 Year + 4.67%), 4.37%, 9/22/2025 (a) (e) (f) (g) (h)
|
400
|
385
|
|
4.80%, 4/18/2026 (b)
|
800
|
772
|
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (b) (h)
|
1,200
|
917
|
|
Banco Santander SA (Spain)
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|
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (h)
|
2,000
|
1,990
|
|
5.15%, 8/18/2025
|
800
|
789
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 4.75%, 11/12/2026 (e) (f) (g) (h)
|
1,000
|
774
|
|
Bank of America Corp.
|
|
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|
(3-MONTH CME TERM SOFR + 1.13%), 2.46%, 10/22/2025 (h)
|
6,020
|
5,743
|
|
(SOFR + 1.29%), 5.08%, 1/20/2027 (h)
|
525
|
521
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|
(SOFR + 1.05%), 2.55%, 2/4/2028 (h)
|
2,485
|
2,249
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (h)
|
440
|
438
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|
(SOFR + 1.22%), 2.30%, 7/21/2032 (h)
|
399
|
318
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (h)
|
2,700
|
2,192
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (h)
|
740
|
508
|
|
Bank of Nova Scotia (The) (Canada)
|
|
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (e) (h)
|
430
|
373
|
|
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%), 3.62%, 10/27/2081 (e) (h)
|
2,100
|
1,504
|
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Banque Federative du Credit Mutuel SA (France)
|
|
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|
3.75%, 7/20/2023 (b)
|
700
|
698
|
|
4.75%, 7/13/2027 (b)
|
1,245
|
1,225
|
|
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%,
12/10/2024 (h)
|
1,673
|
1,621
|
|
BPCE SA (France)
|
|
|
|
5.70%, 10/22/2023 (b)
|
870
|
864
|
|
(SOFR + 2.10%), 5.97%, 1/18/2027 (b) (h)
|
2,703
|
2,700
|
|
(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (h)
|
300
|
264
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (h)
|
1,060
|
819
|
|
CaixaBank SA (Spain) (EUR Swap Annual 5 Year + 6.50%), 6.75%, 6/13/2024 (a) (e) (f) (g) (h)
|
600
|
624
|
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Citigroup, Inc.
|
|
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (f) (g) (h)
|
550
|
471
|
|
(SOFR + 0.69%), 2.01%, 1/25/2026 (h)
|
3,045
|
2,865
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (f) (g) (h)
|
2,521
|
2,099
|
|
(SOFR + 1.55%), 5.61%, 9/29/2026 (h)
|
1,557
|
1,568
|
|
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (h)
|
1,225
|
1,166
|
|
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (h)
|
3,220
|
2,996
|
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (h)
|
2,260
|
2,138
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (h)
|
920
|
742
|
|
Commerzbank AG (Germany) (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (h)
|
700
|
707
|
|
Commonwealth Bank of Australia (Australia) 3.78%, 3/14/2032 (b) (e)
|
240
|
201
|
|
Cooperatieve Rabobank UA (Netherlands)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (b) (h)
|
1,225
|
1,099
|
|
(EUR Swap Annual 5 Year + 4.68%), 4.37%, 6/29/2027 (a) (e) (f) (g) (h)
|
600
|
558
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (h)
|
1,720
|
1,604
|
|
Credit Agricole SA (France) (SOFR + 0.89%), 1.25%, 1/26/2027 (b) (h)
|
302
|
269
|
|
Danske Bank A/S (Denmark)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 3.77%, 3/28/2025 (b) (h)
|
439
|
429
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (h)
|
1,237
|
1,238
|
|
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%,
9/16/2026 (b) (h)
|
701
|
630
|
|
Federation des Caisses Desjardins du Quebec (Canada) (SOFRINDX + 1.09%), 5.28%, 1/23/2026 (b) (h)
|
1,650
|
1,628
|
|
HSBC Holdings plc (United Kingdom)
|
|
|
|
(SOFR + 0.53%), 0.73%, 8/17/2024 (h)
|
1,685
|
1,664
|
|
(SOFR + 1.43%), 3.00%, 3/10/2026 (h)
|
3,000
|
2,849
|
|
(SOFR + 1.54%), 1.64%, 4/18/2026 (h)
|
300
|
277
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (h)
|
2,565
|
2,528
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (h)
|
2,575
|
2,228
|
|
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (h)
|
666
|
608
|
|
(SOFR + 2.39%), 6.25%, 3/9/2034 (h)
|
720
|
741
|
|
Intesa Sanpaolo SpA (Italy)
|
|
|
|
7.00%, 11/21/2025 (b)
|
256
|
262
|
|
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (e) (f) (g) (h)
|
862
|
887
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032 (b) (h)
|
200
|
151
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (h)
|
410
|
263
|
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%,
1/19/2029 (b) (h)
|
440
|
443
|
|
KeyBank NA (SOFRINDX + 0.34%), 5.40%, 1/3/2024 (h)
|
1,115
|
1,090
|
|
Lloyds Banking Group plc (United Kingdom) 4.05%, 8/16/2023
|
1,385
|
1,380
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
|
|
|
2.53%, 9/13/2023
|
1,950
|
1,933
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (h)
|
2,290
|
2,270
|
|
NatWest Group plc (United Kingdom)
|
|
|
|
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (h)
|
360
|
354
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (e) (f) (g) (h)
|
420
|
391
|
|
PNC Financial Services Group, Inc. (The) Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%),
3.40%, 9/15/2026 (f) (g) (h)
|
1,278
|
955
|
|
Santander UK Group Holdings plc (United Kingdom)
|
|
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (h)
|
940
|
951
|
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (h)
|
1,400
|
1,213
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (h)
|
2,100
|
2,133
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Societe Generale SA (France)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (b) (e) (f) (g) (h)
|
447
|
431
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (e) (f) (g) (h)
|
452
|
323
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (h)
|
490
|
386
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (h)
|
593
|
478
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (h)
|
1,365
|
1,398
|
|
7.37%, 1/10/2053 (b)
|
1,243
|
1,192
|
|
Standard Chartered plc (United Kingdom)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (b) (h)
|
1,468
|
1,419
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (b) (h)
|
1,280
|
1,232
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (h)
|
700
|
752
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (b)
|
707
|
718
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (h)
|
544
|
507
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan) 3.75%, 7/19/2023
|
526
|
525
|
|
Svenska Handelsbanken AB (Sweden) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%,
3/1/2031 (a) (e) (f) (g) (h)
|
600
|
465
|
|
UniCredit SpA (Italy)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (h)
|
720
|
637
|
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (h)
|
781
|
839
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (h)
|
1,660
|
1,323
|
|
Wells Fargo & Co.
|
|
|
|
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (f) (g) (h)
|
1,420
|
1,244
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (h)
|
1,410
|
1,322
|
|
(SOFR + 1.26%), 2.57%, 2/11/2031 (h)
|
2,420
|
2,043
|
|
Westpac Banking Corp. (Australia) (USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (e) (h)
|
250
|
233
|
|
|
|
93,734
|
|
Beverages — 0.3%
|
||
|
Anheuser-Busch InBev SA/NV (Belgium) 3.70%, 4/2/2040 (a)
|
600
|
611
|
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.44%, 10/6/2048
|
1,251
|
1,124
|
|
Constellation Brands, Inc.
|
|
|
|
5.00%, 2/2/2026
|
300
|
300
|
|
2.25%, 8/1/2031
|
1,936
|
1,580
|
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (b)
|
50
|
42
|
|
|
|
3,657
|
|
Biotechnology — 0.9%
|
||
|
AbbVie, Inc.
|
|
|
|
3.75%, 11/14/2023
|
1,410
|
1,399
|
|
4.05%, 11/21/2039
|
1,050
|
901
|
|
4.70%, 5/14/2045
|
417
|
375
|
|
4.25%, 11/21/2049
|
1,759
|
1,490
|
|
Amgen, Inc.
|
|
|
|
5.15%, 3/2/2028
|
1,130
|
1,139
|
|
2.45%, 2/21/2030
|
425
|
365
|
|
5.25%, 3/2/2033
|
3,940
|
3,954
|
|
Grifols Escrow Issuer SA (Spain)
|
|
|
|
3.88%, 10/15/2028 (b)
|
130
|
116
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Biotechnology — continued
|
||
|
4.75%, 10/15/2028 (b)
|
200
|
169
|
|
Grifols SA (Spain)
|
|
|
|
1.63%, 2/15/2025 (a)
|
100
|
102
|
|
2.25%, 11/15/2027 (a)
|
610
|
578
|
|
|
|
10,588
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc. 2.70%, 6/3/2060
|
350
|
222
|
|
ANGI Group LLC 3.88%, 8/15/2028 (b)
|
275
|
224
|
|
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (b)
|
340
|
325
|
|
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (b)
|
225
|
129
|
|
|
|
900
|
|
Building Products — 0.1%
|
||
|
Emerald Debt Merger Sub LLC
|
|
|
|
6.38%, 12/15/2030 (b)
|
143
|
152
|
|
6.63%, 12/15/2030 (b)
|
175
|
174
|
|
Griffon Corp. 5.75%, 3/1/2028
|
745
|
687
|
|
JELD-WEN, Inc. 6.25%, 5/15/2025 (b)
|
175
|
176
|
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (b)
|
85
|
68
|
|
Standard Industries, Inc. 4.75%, 1/15/2028 (b)
|
140
|
128
|
|
Summit Materials LLC 5.25%, 1/15/2029 (b)
|
50
|
47
|
|
|
|
1,432
|
|
Capital Markets — 3.2%
|
||
|
Coinbase Global, Inc. 3.38%, 10/1/2028 (b)
|
170
|
107
|
|
Credit Suisse Group AG (Switzerland)
|
|
|
|
4.28%, 1/9/2028 (b)
|
2,840
|
2,596
|
|
(SOFR + 5.02%), 9.02%, 11/15/2033 (b) (h)
|
1,455
|
1,726
|
|
Deutsche Bank AG (Germany)
|
|
|
|
(SOFR + 2.16%), 2.22%, 9/18/2024 (h)
|
1,165
|
1,143
|
|
(SOFR + 2.26%), 3.74%, 1/7/2033 (h)
|
1,206
|
873
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
(SOFR + 0.51%), 0.66%, 9/10/2024 (h)
|
2,045
|
2,014
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (f) (g) (h)
|
1,118
|
888
|
|
3.50%, 11/16/2026
|
2,084
|
1,975
|
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (h)
|
2,330
|
2,093
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (h)
|
1,270
|
1,151
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (h)
|
3,130
|
2,582
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (h)
|
1,525
|
1,249
|
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (h)
|
2,540
|
2,154
|
|
Huarong Finance 2017 Co. Ltd. (China) 4.25%, 11/7/2027 (a)
|
880
|
698
|
|
Huarong Finance 2019 Co. Ltd. (China) 3.75%, 5/29/2024 (a)
|
520
|
494
|
|
Morgan Stanley
|
|
|
|
(SOFR + 0.46%), 5.54%, 1/25/2024 (h)
|
1,950
|
1,948
|
|
(SOFR + 0.95%), 6.02%, 2/18/2026 (h)
|
790
|
789
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (h)
|
2,660
|
2,392
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (h)
|
288
|
278
|
|
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (h)
|
2,210
|
2,063
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (h)
|
4,130
|
4,109
|
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (h)
|
760
|
758
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (h)
|
1,560
|
1,334
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (h)
|
159
|
129
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (h)
|
405
|
400
|
|
UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%,
1/12/2027 (b) (h)
|
1,225
|
1,215
|
|
|
|
37,158
|
|
Chemicals — 0.6%
|
||
|
Alpek SAB de CV (Mexico) 3.25%, 2/25/2031 (a)
|
1,180
|
946
|
|
Ashland Services BV 2.00%, 1/30/2028 (a)
|
100
|
92
|
|
Avient Corp. 7.13%, 8/1/2030 (b)
|
20
|
20
|
|
CF Industries, Inc.
|
|
|
|
4.50%, 12/1/2026 (b)
|
835
|
812
|
|
4.95%, 6/1/2043
|
1,313
|
1,096
|
|
Chemours Co. (The)
|
|
|
|
4.00%, 5/15/2026
|
100
|
99
|
|
5.75%, 11/15/2028 (b)
|
230
|
202
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (b)
|
156
|
137
|
|
Herens Midco SARL (Luxembourg) 5.25%, 5/15/2029 (b)
|
138
|
92
|
|
INEOS Finance plc (Luxembourg)
|
|
|
|
2.13%, 11/15/2025 (a)
|
300
|
301
|
|
2.88%, 5/1/2026 (a)
|
200
|
197
|
|
INEOS Quattro Finance 2 plc (United Kingdom) 2.50%, 1/15/2026 (a)
|
200
|
193
|
|
INEOS Styrolution Group GmbH (United Kingdom) 2.25%, 1/16/2027 (a)
|
100
|
93
|
|
Lune Holdings SARL (France) 5.63%, 11/15/2028 (b)
|
244
|
219
|
|
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (b)
|
118
|
106
|
|
OCP SA (Morocco) 6.88%, 4/25/2044 (a)
|
390
|
355
|
|
Scotts Miracle-Gro Co. (The)
|
|
|
|
4.50%, 10/15/2029
|
565
|
482
|
|
4.38%, 2/1/2032
|
180
|
144
|
|
Solvay Finance SACA (Belgium) (EUR Swap Annual 5 Year + 3.70%), 5.42%, 11/12/2023 (a) (f) (g) (h)
|
100
|
107
|
|
Solvay SA (Belgium) (EUR Swap Annual 5 Year + 2.98%), 2.50%, 12/2/2025 (a) (f) (g) (h)
|
500
|
480
|
|
Synthomer plc (United Kingdom) 3.88%, 7/1/2025 (a)
|
100
|
99
|
|
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (b)
|
50
|
39
|
|
|
|
6,311
|
|
Commercial Services & Supplies — 0.3%
|
||
|
ACCO Brands Corp. 4.25%, 3/15/2029 (b)
|
870
|
733
|
|
APi Group DE, Inc.
|
|
|
|
4.13%, 7/15/2029 (b)
|
60
|
52
|
|
4.75%, 10/15/2029 (b)
|
42
|
38
|
|
Brink's Co. (The) 4.63%, 10/15/2027 (b)
|
275
|
256
|
|
Elis SA (France) 2.88%, 2/15/2026 (a)
|
500
|
515
|
|
GFL Environmental, Inc. (Canada) 4.00%, 8/1/2028 (b)
|
200
|
179
|
|
Interface, Inc. 5.50%, 12/1/2028 (b)
|
90
|
70
|
|
Paprec Holding SA (France) 3.50%, 7/1/2028 (b)
|
164
|
157
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Commercial Services & Supplies — continued
|
||
|
Q-Park Holding I BV (Netherlands) 1.50%, 3/1/2025 (a)
|
100
|
101
|
|
SPIE SA (France) 2.63%, 6/18/2026 (a)
|
400
|
405
|
|
Techem Verwaltungsgesellschaft 674 mbH (Germany) 6.00%, 7/30/2026 (a)
|
246
|
256
|
|
Techem Verwaltungsgesellschaft 675 mbH (Germany) 2.00%, 7/15/2025 (a)
|
200
|
203
|
|
Verisure Holding AB (Sweden)
|
|
|
|
3.88%, 7/15/2026 (a)
|
200
|
198
|
|
3.25%, 2/15/2027 (a)
|
350
|
330
|
|
Verisure Midholding AB (Sweden)
|
|
|
|
5.25%, 2/15/2029 (a)
|
150
|
136
|
|
5.25%, 2/15/2029 (b)
|
119
|
108
|
|
|
|
3,737
|
|
Communications Equipment — 0.1%
|
||
|
CommScope, Inc. 6.00%, 3/1/2026 (b)
|
675
|
634
|
|
Construction & Engineering — 0.2%
|
||
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (b)
|
90
|
81
|
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (b)
|
40
|
33
|
|
Heathrow Funding Ltd. (United Kingdom)
|
|
|
|
1.13%, 10/8/2030 (a)
|
1,400
|
1,229
|
|
5.88%, 5/13/2041 (a)
|
500
|
608
|
|
|
|
1,951
|
|
Construction Materials — 0.1%
|
||
|
Cemex SAB de CV (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%,
6/8/2026 (b) (f) (g) (h)
|
1,054
|
924
|
|
Consumer Finance — 1.3%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
|
|
|
1.65%, 10/29/2024
|
510
|
479
|
|
1.75%, 1/30/2026
|
1,030
|
922
|
|
2.45%, 10/29/2026
|
400
|
357
|
|
3.00%, 10/29/2028
|
1,792
|
1,554
|
|
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (f) (g)
(h)
|
391
|
320
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
|
3.95%, 7/1/2024 (b)
|
1,995
|
1,930
|
|
2.88%, 2/15/2025 (b)
|
890
|
830
|
|
2.13%, 2/21/2026 (b)
|
100
|
88
|
|
4.25%, 4/15/2026 (b)
|
610
|
565
|
|
4.38%, 5/1/2026 (b)
|
460
|
425
|
|
3.25%, 2/15/2027 (b)
|
255
|
224
|
|
2.75%, 2/21/2028 (b)
|
95
|
79
|
|
Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%,
9/1/2026 (f) (g) (h)
|
1,570
|
1,167
|
|
Ford Motor Credit Co. LLC
|
|
|
|
3.02%, 3/6/2024
|
310
|
326
|
|
2.75%, 6/14/2024
|
100
|
119
|
|
2.30%, 2/10/2025
|
400
|
373
|
|
3.25%, 9/15/2025
|
100
|
102
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
2.33%, 11/25/2025
|
400
|
399
|
|
4.39%, 1/8/2026
|
620
|
583
|
|
4.27%, 1/9/2027
|
1,048
|
962
|
|
4.95%, 5/28/2027
|
760
|
711
|
|
4.87%, 8/3/2027
|
183
|
190
|
|
3.63%, 6/17/2031
|
714
|
577
|
|
OneMain Finance Corp.
|
|
|
|
7.13%, 3/15/2026
|
90
|
86
|
|
4.00%, 9/15/2030
|
20
|
15
|
|
Volkswagen International Finance NV (Germany)
|
|
|
|
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (f) (g) (h)
|
100
|
100
|
|
(EUR Swap Annual 10 Year + 3.98%), 4.62%, 6/27/2028 (a) (f) (g) (h)
|
100
|
97
|
|
Volkswagen Leasing GmbH (Germany) 0.50%, 1/12/2029 (a)
|
1,400
|
1,218
|
|
|
|
14,798
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
Albertsons Cos., Inc. 4.63%, 1/15/2027 (b)
|
300
|
285
|
|
Bellis Acquisition Co. plc (United Kingdom) 3.25%, 2/16/2026 (a)
|
200
|
211
|
|
Casino Guichard Perrachon SA (France) 4.50%, 3/7/2024 (a) (i)
|
200
|
47
|
|
Iceland Bondco plc (United Kingdom) 4.63%, 3/15/2025 (a)
|
100
|
113
|
|
Performance Food Group, Inc. 4.25%, 8/1/2029 (b)
|
145
|
128
|
|
Rite Aid Corp.
|
|
|
|
7.50%, 7/1/2025 (b)
|
75
|
51
|
|
8.00%, 11/15/2026 (b)
|
215
|
113
|
|
US Foods, Inc. 4.75%, 2/15/2029 (b)
|
700
|
638
|
|
|
|
1,586
|
|
Containers & Packaging — 0.4%
|
||
|
ARD Finance SA (Luxembourg) 5.00% (Cash), 6/30/2027 (a) (c) (d)
|
100
|
81
|
|
Ardagh Metal Packaging Finance USA LLC 2.00%, 9/1/2028 (a)
|
100
|
89
|
|
Ardagh Packaging Finance plc
|
|
|
|
2.13%, 8/15/2026 (a)
|
380
|
361
|
|
5.25%, 8/15/2027 (b)
|
495
|
416
|
|
Ball Corp.
|
|
|
|
0.88%, 3/15/2024
|
300
|
311
|
|
1.50%, 3/15/2027
|
180
|
172
|
|
Berry Global, Inc. 1.00%, 1/15/2025 (a)
|
300
|
304
|
|
Crown European Holdings SA 3.38%, 5/15/2025 (a)
|
440
|
459
|
|
Guala Closures SpA (Italy) 3.25%, 6/15/2028 (a)
|
350
|
324
|
|
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (b)
|
275
|
272
|
|
OI European Group BV 6.25%, 5/15/2028 (b)
|
126
|
137
|
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (b)
|
485
|
484
|
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (b)
|
195
|
172
|
|
Pro-Gest SpA (Italy) 3.25%, 12/15/2024 (a)
|
350
|
261
|
|
Silgan Holdings, Inc. 3.25%, 3/15/2025
|
180
|
188
|
|
Titan Holdings II BV (Netherlands) 5.13%, 7/15/2029 (a)
|
150
|
126
|
|
Trivium Packaging Finance BV (Netherlands) 3.75%, 8/15/2026 (a) (i)
|
300
|
292
|
|
|
|
4,449
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Distributors — 0.0% ^
|
||
|
Parts Europe SA (France) 6.50%, 7/16/2025 (a)
|
100
|
107
|
|
Ritchie Bros Holdings, Inc. (Canada) 7.75%, 3/15/2031 (b)
|
55
|
57
|
|
|
|
164
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
RAC Bond Co. plc (United Kingdom) 5.25%, 11/4/2027 (b)
|
168
|
166
|
|
Service Corp. International 3.38%, 8/15/2030
|
90
|
75
|
|
|
|
241
|
|
Diversified REITs — 0.1%
|
||
|
VICI Properties LP
|
|
|
|
3.75%, 2/15/2027 (b)
|
90
|
83
|
|
4.50%, 1/15/2028 (b)
|
90
|
84
|
|
WP Carey, Inc.
|
|
|
|
2.40%, 2/1/2031
|
180
|
144
|
|
2.25%, 4/1/2033
|
367
|
274
|
|
|
|
585
|
|
Diversified Telecommunication Services — 1.5%
|
||
|
Altice France Holding SA (Luxembourg) 8.00%, 5/15/2027 (a)
|
221
|
134
|
|
Altice France SA (France)
|
|
|
|
2.13%, 2/15/2025 (a)
|
400
|
387
|
|
5.88%, 2/1/2027 (a)
|
400
|
356
|
|
3.38%, 1/15/2028 (a)
|
100
|
78
|
|
AT&T, Inc.
|
|
|
|
2.55%, 12/1/2033
|
1,250
|
982
|
|
3.50%, 9/15/2053
|
860
|
597
|
|
3.55%, 9/15/2055
|
362
|
249
|
|
CCO Holdings LLC
|
|
|
|
5.13%, 5/1/2027 (b)
|
2,600
|
2,408
|
|
5.00%, 2/1/2028 (b)
|
1,200
|
1,091
|
|
5.38%, 6/1/2029 (b)
|
165
|
149
|
|
4.75%, 3/1/2030 (b)
|
330
|
278
|
|
4.25%, 2/1/2031 (b)
|
95
|
76
|
|
Cellnex Telecom SA (Spain)
|
|
|
|
2.88%, 4/18/2025 (a)
|
300
|
314
|
|
1.88%, 6/26/2029 (a)
|
300
|
273
|
|
eircom Finance DAC (Ireland)
|
|
|
|
3.50%, 5/15/2026 (a)
|
250
|
249
|
|
2.63%, 2/15/2027 (a)
|
200
|
189
|
|
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (b)
|
80
|
71
|
|
Iliad Holding SASU (France) 5.63%, 10/15/2028 (b)
|
344
|
336
|
|
iliad SA (France) 5.38%, 6/14/2027 (a)
|
500
|
529
|
|
Infrastrutture Wireless Italiane SpA (Italy) 1.88%, 7/8/2026 (a)
|
300
|
300
|
|
Kaixo Bondco Telecom SA (Spain) 5.13%, 9/30/2029 (a)
|
175
|
163
|
|
Level 3 Financing, Inc.
|
|
|
|
3.40%, 3/1/2027 (b)
|
25
|
20
|
|
4.25%, 7/1/2028 (b)
|
50
|
29
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Diversified Telecommunication Services — continued
|
||
|
Lorca Telecom Bondco SA (Spain)
|
|
|
|
4.00%, 9/18/2027 (b)
|
100
|
97
|
|
4.00%, 9/18/2027 (a)
|
700
|
681
|
|
Lumen Technologies, Inc.
|
|
|
|
5.13%, 12/15/2026 (b)
|
185
|
113
|
|
4.00%, 2/15/2027 (b)
|
140
|
92
|
|
Orange SA (France)
|
|
|
|
(EUR Swap Annual 5 Year + 2.36%), 2.38%, 1/15/2025 (a) (f) (g) (h)
|
400
|
406
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.18%), 1.75%, 12/19/2026 (a) (f) (g) (h)
|
300
|
285
|
|
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034
|
270
|
227
|
|
Telecom Italia Finance SA (Italy) 7.75%, 1/24/2033
|
190
|
215
|
|
Telecom Italia SpA (Italy)
|
|
|
|
3.63%, 1/19/2024 (a)
|
100
|
106
|
|
2.88%, 1/28/2026 (a)
|
700
|
696
|
|
3.63%, 5/25/2026 (a)
|
200
|
202
|
|
2.38%, 10/12/2027 (a)
|
450
|
413
|
|
Telefonica Emisiones SA (Spain) 5.21%, 3/8/2047
|
700
|
591
|
|
Verizon Communications, Inc.
|
|
|
|
1.75%, 1/20/2031
|
4,680
|
3,695
|
|
2.36%, 3/15/2032
|
110
|
89
|
|
2.65%, 11/20/2040
|
250
|
172
|
|
Virgin Media Finance plc (United Kingdom) 3.75%, 7/15/2030 (a)
|
210
|
173
|
|
|
|
17,511
|
|
Electric Utilities — 2.9%
|
||
|
Alfa Desarrollo SpA (Chile) 4.55%, 9/27/2051 (b)
|
936
|
673
|
|
ContourGlobal Power Holdings SA (United Kingdom) 2.75%, 1/1/2026 (a)
|
200
|
194
|
|
Duke Energy Indiana LLC 5.40%, 4/1/2053
|
125
|
124
|
|
Duke Energy Ohio, Inc.
|
|
|
|
5.25%, 4/1/2033
|
120
|
122
|
|
5.65%, 4/1/2053
|
44
|
45
|
|
Duke Energy Progress LLC 3.40%, 4/1/2032
|
490
|
437
|
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b)
|
540
|
425
|
|
EDP - Energias de Portugal SA (Portugal) (EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (h)
|
600
|
584
|
|
Electricite de France SA (France)
|
|
|
|
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/4/2024 (a) (f) (g) (h)
|
300
|
308
|
|
(EUR Swap Annual 12 Year + 3.04%), 5.00%, 1/22/2026 (a) (f) (g) (h)
|
300
|
298
|
|
5.70%, 5/23/2028 (b)
|
245
|
247
|
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (f) (g) (h)
|
400
|
323
|
|
Emera US Finance LP (Canada) 2.64%, 6/15/2031
|
1,964
|
1,574
|
|
Emera, Inc. (Canada) Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (h)
|
2,251
|
2,155
|
|
Enel Finance International NV (Italy)
|
|
|
|
3.50%, 4/6/2028 (b)
|
1,135
|
1,047
|
|
2.25%, 7/12/2031 (b)
|
316
|
247
|
|
5.00%, 6/15/2032 (b)
|
580
|
547
|
|
Enel SpA (Italy) (EUR Swap Annual 5 Year + 2.68%), 2.25%, 12/10/2026 (a) (f) (g) (h)
|
1,800
|
1,665
|
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
385
|
306
|
|
Evergy, Inc. 2.90%, 9/15/2029
|
443
|
391
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
832
|
774
|
|
FirstEnergy Transmission LLC
|
|
|
|
2.87%, 9/15/2028 (b)
|
1,540
|
1,378
|
|
4.55%, 4/1/2049 (b)
|
663
|
544
|
|
Georgia Power Co. Series A, 2.10%, 7/30/2023
|
2,635
|
2,620
|
|
Iberdrola International BV (Spain) (EUR Swap Annual 5 Year + 2.06%), 2.62%, 12/26/2023 (a) (f) (g) (h)
|
1,700
|
1,785
|
|
Indiana Michigan Power Co. 5.63%, 4/1/2053
|
183
|
187
|
|
ITC Holdings Corp. 2.95%, 5/14/2030 (b)
|
1,855
|
1,603
|
|
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (b)
|
771
|
641
|
|
Metropolitan Edison Co. 5.20%, 4/1/2028 (b)
|
390
|
393
|
|
MidAmerican Energy Co. 4.25%, 5/1/2046
|
350
|
299
|
|
NRG Energy, Inc.
|
|
|
|
3.75%, 6/15/2024 (b)
|
990
|
959
|
|
3.38%, 2/15/2029 (b)
|
165
|
136
|
|
5.25%, 6/15/2029 (b)
|
140
|
126
|
|
Pacific Gas and Electric Co.
|
|
|
|
2.95%, 3/1/2026
|
360
|
333
|
|
6.15%, 1/15/2033
|
1,430
|
1,411
|
|
4.60%, 6/15/2043
|
250
|
187
|
|
PacifiCorp 3.30%, 3/15/2051
|
493
|
350
|
|
Pennsylvania Electric Co. 5.15%, 3/30/2026 (b)
|
900
|
894
|
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia) 4.38%, 2/5/2050 (a)
|
366
|
273
|
|
PG&E Corp. 5.00%, 7/1/2028
|
395
|
364
|
|
PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 7.83%, 3/30/2067 (h)
|
661
|
565
|
|
Southern California Edison Co.
|
|
|
|
Series J, 0.70%, 8/1/2023
|
1,000
|
990
|
|
Series B, 3.65%, 3/1/2028
|
1,220
|
1,154
|
|
Series 13-A, 3.90%, 3/15/2043
|
214
|
169
|
|
3.65%, 2/1/2050
|
484
|
359
|
|
Union Electric Co. 3.90%, 4/1/2052
|
260
|
209
|
|
Vistra Operations Co. LLC
|
|
|
|
3.55%, 7/15/2024 (b)
|
688
|
666
|
|
3.70%, 1/30/2027 (b)
|
1,031
|
955
|
|
4.38%, 5/1/2029 (b)
|
302
|
263
|
|
4.30%, 7/15/2029 (b)
|
1,550
|
1,383
|
|
|
|
33,682
|
|
Electrical Equipment — 0.0% ^
|
||
|
Orano SA (France) 3.38%, 4/23/2026 (a)
|
300
|
313
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Belden, Inc. 3.88%, 3/15/2028 (a)
|
180
|
180
|
|
Coherent Corp. 5.00%, 12/15/2029 (b)
|
631
|
561
|
|
Sensata Technologies, Inc. 3.75%, 2/15/2031 (b)
|
270
|
229
|
|
|
|
970
|
|
Energy Equipment & Services — 0.1%
|
||
|
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (b)
|
811
|
677
|
|
Precision Drilling Corp. (Canada) 6.88%, 1/15/2029 (b)
|
75
|
67
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Energy Equipment & Services — continued
|
||
|
Saipem Finance International BV (Italy)
|
|
|
|
3.75%, 9/8/2023 (a)
|
200
|
213
|
|
2.63%, 1/7/2025 (a)
|
100
|
103
|
|
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (b)
|
70
|
71
|
|
Vallourec SA (France) 8.50%, 6/30/2026 (a)
|
300
|
320
|
|
|
|
1,451
|
|
Entertainment — 0.9%
|
||
|
Banijay Entertainment SASU (France) 3.50%, 3/1/2025 (a)
|
280
|
292
|
|
Cinemark USA, Inc. 5.88%, 3/15/2026 (b)
|
150
|
143
|
|
Live Nation Entertainment, Inc.
|
|
|
|
6.50%, 5/15/2027 (b)
|
110
|
110
|
|
4.75%, 10/15/2027 (b)
|
230
|
213
|
|
Netflix, Inc.
|
|
|
|
4.88%, 4/15/2028
|
808
|
801
|
|
3.88%, 11/15/2029 (a)
|
100
|
104
|
|
5.38%, 11/15/2029 (b)
|
1,351
|
1,360
|
|
3.63%, 6/15/2030 (a)
|
250
|
256
|
|
Take-Two Interactive Software, Inc.
|
|
|
|
3.55%, 4/14/2025
|
180
|
174
|
|
3.70%, 4/14/2027
|
660
|
630
|
|
4.00%, 4/14/2032
|
1,870
|
1,722
|
|
Warnermedia Holdings, Inc.
|
|
|
|
4.28%, 3/15/2032
|
1,372
|
1,199
|
|
5.05%, 3/15/2042
|
2,100
|
1,699
|
|
5.14%, 3/15/2052
|
1,340
|
1,046
|
|
WMG Acquisition Corp.
|
|
|
|
2.75%, 7/15/2028 (a)
|
100
|
96
|
|
3.00%, 2/15/2031 (b)
|
100
|
81
|
|
2.25%, 8/15/2031 (b)
|
110
|
90
|
|
|
|
10,016
|
|
Financial Services — 0.4%
|
||
|
Block, Inc. 2.75%, 6/1/2026
|
100
|
90
|
|
EDP Finance BV (Portugal) 3.63%, 7/15/2024 (b)
|
2,150
|
2,098
|
|
Global Payments, Inc.
|
|
|
|
2.90%, 5/15/2030
|
400
|
337
|
|
2.90%, 11/15/2031
|
1,010
|
825
|
|
5.95%, 8/15/2052
|
870
|
811
|
|
Nationstar Mortgage Holdings, Inc.
|
|
|
|
5.50%, 8/15/2028 (b)
|
120
|
104
|
|
5.13%, 12/15/2030 (b)
|
80
|
64
|
|
Nexi SpA (Italy) 1.63%, 4/30/2026 (a)
|
100
|
98
|
|
Paysafe Finance plc 3.00%, 6/15/2029 (b)
|
169
|
144
|
|
|
|
4,571
|
|
Food Products — 0.2%
|
||
|
Darling Global Finance BV 3.63%, 5/15/2026 (a)
|
130
|
136
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Food Products — continued
|
||
|
Kraft Heinz Foods Co.
|
|
|
|
2.25%, 5/25/2028 (a)
|
200
|
200
|
|
4.88%, 10/1/2049
|
980
|
885
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (b)
|
315
|
280
|
|
Post Holdings, Inc. 5.50%, 12/15/2029 (b)
|
600
|
558
|
|
Sigma Holdco BV (Netherlands) 5.75%, 5/15/2026 (a)
|
300
|
267
|
|
|
|
2,326
|
|
Gas Utilities — 0.0% ^
|
||
|
UGI International LLC 2.50%, 12/1/2029 (b)
|
296
|
254
|
|
Ground Transportation — 0.2%
|
||
|
Avis Budget Car Rental LLC 5.75%, 7/15/2027 (b)
|
245
|
231
|
|
Canadian Pacific Railway Co. (Canada)
|
|
|
|
3.50%, 5/1/2050
|
340
|
257
|
|
3.10%, 12/2/2051
|
600
|
415
|
|
EC Finance plc (United Kingdom) 3.00%, 10/15/2026 (a)
|
250
|
250
|
|
Hertz Corp. (The) 4.63%, 12/1/2026 (b)
|
240
|
214
|
|
Loxam SAS (France)
|
|
|
|
3.25%, 1/14/2025 (a)
|
500
|
521
|
|
4.50%, 2/15/2027 (b)
|
171
|
174
|
|
Uber Technologies, Inc.
|
|
|
|
7.50%, 9/15/2027 (b)
|
80
|
82
|
|
4.50%, 8/15/2029 (b)
|
260
|
237
|
|
|
|
2,381
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Avantor Funding, Inc.
|
|
|
|
2.63%, 11/1/2025 (a)
|
300
|
307
|
|
3.88%, 7/15/2028 (a)
|
100
|
98
|
|
Medline Borrower LP
|
|
|
|
3.88%, 4/1/2029 (b)
|
85
|
73
|
|
5.25%, 10/1/2029 (b)
|
150
|
129
|
|
Medtronic Global Holdings SCA 1.50%, 7/2/2039
|
200
|
151
|
|
|
|
758
|
|
Health Care Providers & Services — 1.9%
|
||
|
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (b)
|
70
|
67
|
|
Aetna, Inc. 2.80%, 6/15/2023
|
1,985
|
1,983
|
|
AmerisourceBergen Corp. 2.70%, 3/15/2031
|
3,548
|
3,032
|
|
Centene Corp. 4.25%, 12/15/2027
|
50
|
47
|
|
Community Health Systems, Inc.
|
|
|
|
8.00%, 3/15/2026 (b)
|
175
|
163
|
|
5.25%, 5/15/2030 (b)
|
165
|
124
|
|
4.75%, 2/15/2031 (b)
|
150
|
108
|
|
CVS Health Corp.
|
|
|
|
3.75%, 4/1/2030
|
950
|
874
|
|
5.25%, 2/21/2033
|
2,900
|
2,907
|
|
2.70%, 8/21/2040
|
690
|
476
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
DaVita, Inc. 4.63%, 6/1/2030 (b)
|
340
|
291
|
|
Encompass Health Corp.
|
|
|
|
4.50%, 2/1/2028
|
245
|
226
|
|
4.63%, 4/1/2031
|
535
|
467
|
|
HCA, Inc.
|
|
|
|
4.50%, 2/15/2027
|
3,820
|
3,724
|
|
5.20%, 6/1/2028
|
630
|
626
|
|
4.13%, 6/15/2029
|
1,570
|
1,458
|
|
3.50%, 9/1/2030
|
1,623
|
1,435
|
|
5.50%, 6/15/2047
|
180
|
165
|
|
3.50%, 7/15/2051
|
480
|
323
|
|
4.63%, 3/15/2052 (b)
|
2,018
|
1,625
|
|
Owens & Minor, Inc. 6.63%, 4/1/2030 (b)
|
100
|
90
|
|
Tenet Healthcare Corp.
|
|
|
|
4.63%, 7/15/2024
|
50
|
50
|
|
4.88%, 1/1/2026
|
110
|
106
|
|
5.13%, 11/1/2027
|
120
|
115
|
|
4.63%, 6/15/2028
|
300
|
279
|
|
6.75%, 5/15/2031 (b)
|
86
|
86
|
|
UnitedHealth Group, Inc. 5.35%, 2/15/2033
|
1,270
|
1,324
|
|
|
|
22,171
|
|
Health Care REITs — 0.2%
|
||
|
Healthpeak OP LLC 5.25%, 12/15/2032
|
1,350
|
1,321
|
|
Welltower OP LLC 3.85%, 6/15/2032
|
410
|
360
|
|
|
|
1,681
|
|
Health Care Technology — 0.1%
|
||
|
IQVIA, Inc.
|
|
|
|
1.75%, 3/15/2026 (a)
|
300
|
298
|
|
5.00%, 10/15/2026 (b)
|
345
|
335
|
|
2.25%, 1/15/2028 (a)
|
300
|
282
|
|
|
|
915
|
|
Hotel & Resort REITs — 0.0% ^
|
||
|
RHP Hotel Properties LP 4.50%, 2/15/2029 (b)
|
100
|
88
|
|
Hotels, Restaurants & Leisure — 0.6%
|
||
|
1011778 BC ULC (Canada) 4.00%, 10/15/2030 (b)
|
340
|
292
|
|
888 Acquisitions Ltd. (United Kingdom) 7.56%, 7/15/2027 (b)
|
160
|
156
|
|
Accor SA (France) 3.00%, 2/4/2026 (a) (i)
|
100
|
104
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (b)
|
360
|
322
|
|
Caesars Entertainment, Inc. 8.13%, 7/1/2027 (b)
|
330
|
336
|
|
Carnival Corp.
|
|
|
|
10.13%, 2/1/2026 (a)
|
200
|
224
|
|
10.50%, 2/1/2026 (b)
|
100
|
104
|
|
6.00%, 5/1/2029 (b)
|
70
|
58
|
|
Cedar Fair LP 6.50%, 10/1/2028
|
470
|
463
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Hotels, Restaurants & Leisure — continued
|
||
|
Cirsa Finance International SARL (Spain)
|
|
|
|
6.25%, 12/20/2023 (a)
|
53
|
57
|
|
4.75%, 5/22/2025 (a)
|
250
|
262
|
|
CPUK Finance Ltd. (United Kingdom) 4.88%, 8/28/2025 (a)
|
200
|
236
|
|
eDreams ODIGEO SA (Spain) 5.50%, 7/15/2027 (b)
|
183
|
175
|
|
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (a)
|
970
|
908
|
|
International Game Technology plc
|
|
|
|
3.50%, 6/15/2026 (a)
|
250
|
259
|
|
2.38%, 4/15/2028 (a)
|
160
|
154
|
|
Lottomatica SpA (Italy)
|
|
|
|
5.13%, 7/15/2025 (a)
|
300
|
324
|
|
7.13%, 6/1/2028 (b) (j)
|
165
|
177
|
|
MGM Resorts International 5.50%, 4/15/2027
|
60
|
57
|
|
Motion Finco SARL (United Kingdom) 7.00%, 5/15/2025 (a)
|
150
|
163
|
|
Pinnacle Bidco plc (United Kingdom) 5.50%, 2/15/2025 (a)
|
200
|
209
|
|
Punch Finance plc (United Kingdom) 6.13%, 6/30/2026 (a)
|
200
|
215
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
11.50%, 6/1/2025 (b)
|
48
|
51
|
|
11.63%, 8/15/2027 (b)
|
175
|
190
|
|
8.25%, 1/15/2029 (b)
|
25
|
26
|
|
9.25%, 1/15/2029 (b)
|
170
|
181
|
|
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (b)
|
370
|
350
|
|
Vail Resorts, Inc. 6.25%, 5/15/2025 (b)
|
140
|
140
|
|
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (b)
|
250
|
223
|
|
|
|
6,416
|
|
Household Durables — 0.2%
|
||
|
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (b)
|
220
|
194
|
|
DR Horton, Inc. 5.75%, 8/15/2023
|
1,235
|
1,233
|
|
Newell Brands, Inc.
|
|
|
|
4.70%, 4/1/2026 (i)
|
145
|
134
|
|
6.63%, 9/15/2029
|
50
|
47
|
|
6.00%, 4/1/2046 (i)
|
80
|
58
|
|
Nobel Bidco BV (Netherlands)
|
|
|
|
3.13%, 6/15/2028 (b)
|
100
|
84
|
|
3.13%, 6/15/2028 (a)
|
150
|
126
|
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (b)
|
170
|
145
|
|
|
|
2,021
|
|
Household Products — 0.1%
|
||
|
Central Garden & Pet Co. 5.13%, 2/1/2028
|
80
|
75
|
|
Energizer Holdings, Inc. 4.75%, 6/15/2028 (b)
|
620
|
552
|
|
Spectrum Brands, Inc.
|
|
|
|
4.00%, 10/1/2026 (a)
|
100
|
104
|
|
5.50%, 7/15/2030 (b)
|
754
|
690
|
|
|
|
1,421
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Independent Power and Renewable Electricity Producers — 0.3%
|
||
|
AES Corp. (The)
|
|
|
|
3.30%, 7/15/2025 (b)
|
497
|
471
|
|
3.95%, 7/15/2030 (b)
|
768
|
686
|
|
Alexander Funding Trust 1.84%, 11/15/2023 (b)
|
380
|
371
|
|
Calpine Corp. 5.25%, 6/1/2026 (b)
|
98
|
95
|
|
Constellation Energy Generation LLC
|
|
|
|
5.80%, 3/1/2033
|
760
|
781
|
|
5.60%, 6/15/2042
|
770
|
745
|
|
|
|
3,149
|
|
Industrial Conglomerates — 0.0% ^
|
||
|
General Electric Co. 4.13%, 9/19/2035 (a)
|
262
|
283
|
|
Insurance — 0.4%
|
||
|
Assicurazioni Generali SpA (Italy) (EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (h)
|
400
|
431
|
|
Cloverie plc for Zurich Insurance Co. Ltd. (Switzerland) (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (a) (h)
|
1,770
|
1,748
|
|
MetLife, Inc.
|
|
|
|
6.40%, 12/15/2036
|
1,340
|
1,320
|
|
9.25%, 4/8/2038 (b)
|
380
|
446
|
|
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b)
|
620
|
566
|
|
Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%),
5.00%, 4/2/2049 (b) (h)
|
200
|
191
|
|
|
|
4,702
|
|
Interactive Media & Services — 0.0% ^
|
||
|
TripAdvisor, Inc. 7.00%, 7/15/2025 (b)
|
203
|
204
|
|
IT Services — 0.1%
|
||
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (b)
|
68
|
55
|
|
Conduent Business Services LLC 6.00%, 11/1/2029 (b)
|
155
|
127
|
|
Gartner, Inc. 3.75%, 10/1/2030 (b)
|
445
|
390
|
|
Presidio Holdings, Inc. 4.88%, 2/1/2027 (b)
|
201
|
188
|
|
|
|
760
|
|
Leisure Products — 0.0% ^
|
||
|
Vista Outdoor, Inc. 4.50%, 3/15/2029 (b)
|
430
|
352
|
|
Life Sciences Tools & Services — 0.1%
|
||
|
Danaher Corp. 2.80%, 12/10/2051
|
2,205
|
1,479
|
|
Machinery — 0.1%
|
||
|
Chart Industries, Inc. 7.50%, 1/1/2030 (b)
|
80
|
81
|
|
Renk AG (Germany) 5.75%, 7/15/2025 (a)
|
300
|
314
|
|
TK Elevator Holdco GmbH (Germany) 6.63%, 7/15/2028 (a)
|
90
|
80
|
|
TK Elevator Midco GmbH (Germany) 4.38%, 7/15/2027 (a)
|
230
|
218
|
|
Wabash National Corp. 4.50%, 10/15/2028 (b)
|
640
|
557
|
|
|
|
1,250
|
|
Media — 1.2%
|
||
|
Altice Financing SA (Luxembourg) 2.25%, 1/15/2025 (a)
|
300
|
297
|
|
Altice Finco SA (Luxembourg) 4.75%, 1/15/2028 (a)
|
150
|
106
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
Charter Communications Operating LLC
|
|
|
|
2.25%, 1/15/2029
|
765
|
635
|
|
2.80%, 4/1/2031
|
410
|
328
|
|
3.50%, 6/1/2041
|
1,730
|
1,142
|
|
5.38%, 5/1/2047
|
958
|
764
|
|
3.70%, 4/1/2051
|
2,082
|
1,277
|
|
3.90%, 6/1/2052
|
1,038
|
653
|
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
|
5.13%, 8/15/2027 (b)
|
235
|
207
|
|
7.75%, 4/15/2028 (b)
|
220
|
164
|
|
7.50%, 6/1/2029 (b)
|
125
|
89
|
|
Comcast Corp.
|
|
|
|
5.50%, 11/15/2032
|
1,085
|
1,138
|
|
2.80%, 1/15/2051
|
1,900
|
1,243
|
|
5.35%, 5/15/2053
|
1,410
|
1,403
|
|
2.99%, 11/1/2063
|
764
|
474
|
|
CSC Holdings LLC
|
|
|
|
5.38%, 2/1/2028 (b)
|
200
|
157
|
|
7.50%, 4/1/2028 (b)
|
200
|
108
|
|
Discovery Communications LLC
|
|
|
|
3.63%, 5/15/2030
|
100
|
87
|
|
4.65%, 5/15/2050
|
450
|
329
|
|
DISH DBS Corp.
|
|
|
|
5.88%, 11/15/2024
|
105
|
90
|
|
5.25%, 12/1/2026 (b)
|
695
|
549
|
|
5.75%, 12/1/2028 (b)
|
140
|
102
|
|
DISH Network Corp. 11.75%, 11/15/2027 (b)
|
125
|
120
|
|
Gannett Holdings LLC 6.00%, 11/1/2026 (b)
|
75
|
62
|
|
GCI LLC 4.75%, 10/15/2028 (b)
|
310
|
262
|
|
iHeartCommunications, Inc.
|
|
|
|
6.38%, 5/1/2026
|
160
|
121
|
|
8.38%, 5/1/2027
|
50
|
28
|
|
5.25%, 8/15/2027 (b)
|
160
|
112
|
|
Scripps Escrow II, Inc.
|
|
|
|
3.88%, 1/15/2029 (b)
|
60
|
46
|
|
5.38%, 1/15/2031 (b)
|
40
|
28
|
|
Sirius XM Radio, Inc. 4.00%, 7/15/2028 (b)
|
140
|
117
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (b)
|
34
|
29
|
|
Summer BC Holdco A SARL (Luxembourg) 9.25%, 10/31/2027 (a)
|
90
|
76
|
|
Summer BC Holdco B SARL (Luxembourg) 5.75%, 10/31/2026 (a)
|
380
|
357
|
|
Telenet Finance Luxembourg Notes SARL (Belgium) 3.50%, 3/1/2028 (a)
|
300
|
293
|
|
Univision Communications, Inc. 4.50%, 5/1/2029 (b)
|
115
|
97
|
|
Virgin Media Vendor Financing Notes III DAC (United Kingdom) 4.88%, 7/15/2028 (a)
|
100
|
98
|
|
Ziggo Bond Co. BV (Netherlands) 3.38%, 2/28/2030 (a)
|
370
|
283
|
|
|
|
13,471
|
|
Metals & Mining — 0.9%
|
||
|
Anglo American Capital plc (South Africa) 5.50%, 5/2/2033 (b)
|
990
|
961
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Metals & Mining — continued
|
||
|
Arconic Corp. 6.13%, 2/15/2028 (b)
|
595
|
601
|
|
ATI, Inc. 4.88%, 10/1/2029
|
43
|
38
|
|
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (b)
|
430
|
382
|
|
Constellium SE 4.25%, 2/15/2026 (a)
|
100
|
104
|
|
Freeport-McMoRan, Inc.
|
|
|
|
4.25%, 3/1/2030
|
1,587
|
1,456
|
|
5.40%, 11/14/2034
|
2,321
|
2,226
|
|
Glencore Funding LLC (Australia)
|
|
|
|
5.40%, 5/8/2028 (b)
|
1,700
|
1,689
|
|
2.63%, 9/23/2031 (b)
|
783
|
630
|
|
5.70%, 5/8/2033 (b)
|
352
|
349
|
|
Indonesia Asahan Aluminium PT (Indonesia) 5.45%, 5/15/2030 (b)
|
830
|
810
|
|
Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (a)
|
1,120
|
1,025
|
|
Novelis Sheet Ingot GmbH 3.38%, 4/15/2029 (a)
|
200
|
185
|
|
thyssenkrupp AG (Germany) 2.88%, 2/22/2024 (a)
|
100
|
106
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
51
|
49
|
|
|
|
10,611
|
|
Multi-Utilities — 0.2%
|
||
|
Ameren Corp. 3.50%, 1/15/2031
|
2
|
2
|
|
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053
|
151
|
134
|
|
CenterPoint Energy, Inc. 2.95%, 3/1/2030
|
1,015
|
885
|
|
NGG Finance plc (United Kingdom) (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (h)
|
518
|
472
|
|
San Diego Gas & Electric Co. Series UUU, 3.32%, 4/15/2050
|
200
|
143
|
|
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031
|
482
|
379
|
|
|
|
2,015
|
|
Office REITs — 0.0% ^
|
||
|
Kilroy Realty LP 2.50%, 11/15/2032
|
410
|
274
|
|
Oil, Gas & Consumable Fuels — 2.5%
|
||
|
Antero Midstream Partners LP
|
|
|
|
5.75%, 3/1/2027 (b)
|
60
|
57
|
|
5.75%, 1/15/2028 (b)
|
275
|
262
|
|
Antero Resources Corp. 8.38%, 7/15/2026 (b)
|
25
|
26
|
|
BP Capital Markets America, Inc.
|
|
|
|
2.72%, 1/12/2032
|
740
|
631
|
|
4.81%, 2/13/2033
|
2,050
|
2,027
|
|
BP Capital Markets plc (United Kingdom)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (f) (g) (h)
|
1,192
|
1,144
|
|
(EUR Swap Annual 5 Year + 3.88%), 3.25%, 3/22/2026 (a) (f) (g) (h)
|
1,600
|
1,580
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (f) (g) (h)
|
1,716
|
1,559
|
|
California Resources Corp. 7.13%, 2/1/2026 (b)
|
34
|
35
|
|
Chesapeake Energy Corp. 6.75%, 4/15/2029 (b)
|
610
|
596
|
|
Chevron USA, Inc. 2.34%, 8/12/2050
|
200
|
126
|
|
Chord Energy Corp. 6.38%, 6/1/2026 (b)
|
25
|
25
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (b)
|
515
|
450
|
|
Crestwood Midstream Partners LP 7.38%, 2/1/2031 (b)
|
165
|
162
|
|
Diamondback Energy, Inc. 3.13%, 3/24/2031
|
1,769
|
1,508
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
Ecopetrol SA (Colombia)
|
|
|
|
6.88%, 4/29/2030
|
630
|
561
|
|
7.38%, 9/18/2043
|
550
|
437
|
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (b)
|
55
|
51
|
|
Energean Israel Finance Ltd. (Israel)
|
|
|
|
4.88%, 3/30/2026 (a)
|
312
|
287
|
|
5.38%, 3/30/2028 (a)
|
1,375
|
1,225
|
|
Energy Transfer LP 5.35%, 5/15/2045
|
710
|
607
|
|
Eni SpA (Italy) 4.25%, 5/9/2029 (b)
|
910
|
871
|
|
Exxon Mobil Corp. 3.00%, 8/16/2039
|
670
|
524
|
|
Genesis Energy LP 8.00%, 1/15/2027
|
120
|
117
|
|
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b)
|
280
|
258
|
|
Greenko Dutch BV (India) 3.85%, 3/29/2026 (b)
|
1,125
|
992
|
|
Greenko Power II Ltd. (India) 4.30%, 12/13/2028 (b)
|
777
|
660
|
|
Gulfport Energy Corp. 8.00%, 5/17/2026 (b)
|
38
|
38
|
|
Hess Midstream Operations LP 5.13%, 6/15/2028 (b)
|
165
|
154
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (b)
|
105
|
95
|
|
KazMunayGas National Co. JSC (Kazakhstan) 5.75%, 4/19/2047 (a)
|
998
|
766
|
|
Kinder Morgan, Inc. 5.20%, 6/1/2033
|
820
|
792
|
|
Leviathan Bond Ltd. (Israel)
|
|
|
|
6.13%, 6/30/2025 (a)
|
372
|
361
|
|
6.50%, 6/30/2027 (a)
|
863
|
819
|
|
6.75%, 6/30/2030 (a)
|
232
|
214
|
|
NGL Energy Operating LLC 7.50%, 2/1/2026 (b)
|
19
|
18
|
|
NuStar Logistics LP 5.63%, 4/28/2027
|
100
|
95
|
|
Occidental Petroleum Corp. 8.88%, 7/15/2030
|
80
|
92
|
|
Petroleos Mexicanos (Mexico) 5.95%, 1/28/2031
|
3,679
|
2,627
|
|
Repsol International Finance BV (Spain)
|
|
|
|
(EUR Swap Annual 5 Year + 4.41%), 4.25%, 9/11/2028 (a) (f) (g) (h)
|
100
|
96
|
|
(EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (h)
|
390
|
407
|
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
2,339
|
2,212
|
|
SM Energy Co. 6.63%, 1/15/2027
|
90
|
86
|
|
Southwestern Energy Co. 5.38%, 3/15/2030
|
90
|
83
|
|
Summit Midstream Holdings LLC 9.00%, 10/15/2026 (b) (i)
|
160
|
152
|
|
Tallgrass Energy Partners LP
|
|
|
|
7.50%, 10/1/2025 (b)
|
330
|
329
|
|
6.00%, 9/1/2031 (b)
|
155
|
132
|
|
Targa Resources Partners LP 5.00%, 1/15/2028
|
200
|
193
|
|
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050
|
310
|
221
|
|
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023
|
1,275
|
1,271
|
|
Transcanada Trust (Canada) Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (h)
|
810
|
758
|
|
Venture Global LNG, Inc. 8.13%, 6/1/2028 (b)
|
63
|
63
|
|
|
|
28,852
|
|
Paper & Forest Products — 0.1%
|
||
|
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029
|
1,200
|
1,185
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Passenger Airlines — 0.2%
|
||
|
American Airlines, Inc. 5.50%, 4/20/2026 (b)
|
110
|
108
|
|
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
1,616
|
1,565
|
|
Deutsche Lufthansa AG (Germany) 3.00%, 5/29/2026 (a)
|
800
|
808
|
|
International Consolidated Airlines Group SA (United Kingdom) 0.50%, 7/4/2023 (a)
|
100
|
106
|
|
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (b)
|
50
|
46
|
|
|
|
2,633
|
|
Personal Care Products — 0.1%
|
||
|
Coty, Inc.
|
|
|
|
3.88%, 4/15/2026 (a)
|
200
|
208
|
|
5.00%, 4/15/2026 (b)
|
145
|
139
|
|
4.75%, 1/15/2029 (b)
|
160
|
147
|
|
Edgewell Personal Care Co.
|
|
|
|
5.50%, 6/1/2028 (b)
|
325
|
304
|
|
4.13%, 4/1/2029 (b)
|
535
|
462
|
|
Ontex Group NV (Belgium) 3.50%, 7/15/2026 (a)
|
200
|
192
|
|
Prestige Brands, Inc. 5.13%, 1/15/2028 (b)
|
215
|
205
|
|
|
|
1,657
|
|
Pharmaceuticals — 0.6%
|
||
|
Bausch Health Cos., Inc.
|
|
|
|
5.50%, 11/1/2025 (b)
|
500
|
444
|
|
5.00%, 1/30/2028 (b)
|
90
|
39
|
|
6.25%, 2/15/2029 (b)
|
720
|
321
|
|
5.25%, 1/30/2030 (b)
|
190
|
81
|
|
Catalent Pharma Solutions, Inc.
|
|
|
|
5.00%, 7/15/2027 (b)
|
40
|
36
|
|
2.38%, 3/1/2028 (a)
|
100
|
85
|
|
3.13%, 2/15/2029 (b)
|
45
|
37
|
|
Cheplapharm Arzneimittel GmbH (Germany) 3.50%, 2/11/2027 (a)
|
300
|
292
|
|
Nidda BondCo GmbH (Germany) 7.25%, 9/30/2025 (a)
|
68
|
72
|
|
Nidda Healthcare Holding GmbH (Germany) 7.50%, 8/21/2026 (a)
|
400
|
422
|
|
Organon & Co.
|
|
|
|
2.88%, 4/30/2028 (a)
|
300
|
279
|
|
4.13%, 4/30/2028 (b)
|
310
|
276
|
|
Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053
|
411
|
423
|
|
Rossini SARL (Italy) 6.75%, 10/30/2025 (a)
|
120
|
129
|
|
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023
|
1,025
|
1,016
|
|
Takeda Pharmaceutical Co. Ltd. (Japan)
|
|
|
|
5.00%, 11/26/2028
|
1,546
|
1,551
|
|
3.03%, 7/9/2040
|
1,930
|
1,442
|
|
|
|
6,945
|
|
Professional Services — 0.0% ^
|
||
|
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (b)
|
325
|
283
|
|
Real Estate Management & Development — 0.1%
|
||
|
Country Garden Holdings Co. Ltd. (China)
|
|
|
|
3.13%, 10/22/2025 (a)
|
1,072
|
378
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Real Estate Management & Development — continued
|
||
|
7.25%, 4/8/2026 (a)
|
1,540
|
593
|
|
Longfor Group Holdings Ltd. (China) 4.50%, 1/16/2028 (a)
|
540
|
418
|
|
|
|
1,389
|
|
Retail REITs — 0.0% ^
|
||
|
Regency Centers LP 2.95%, 9/15/2029
|
320
|
278
|
|
Semiconductors & Semiconductor Equipment — 0.8%
|
||
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (b)
|
10
|
10
|
|
ams-OSRAM AG (Austria) 6.00%, 7/31/2025 (a)
|
230
|
215
|
|
Broadcom, Inc.
|
|
|
|
3.42%, 4/15/2033 (b)
|
1,675
|
1,391
|
|
3.47%, 4/15/2034 (b)
|
1,515
|
1,236
|
|
Entegris Escrow Corp. 5.95%, 6/15/2030 (b)
|
315
|
303
|
|
Entegris, Inc. 4.38%, 4/15/2028 (b)
|
140
|
129
|
|
Microchip Technology, Inc. 2.67%, 9/1/2023
|
725
|
719
|
|
NXP BV (China)
|
|
|
|
2.50%, 5/11/2031
|
1,645
|
1,335
|
|
2.65%, 2/15/2032
|
2,028
|
1,630
|
|
5.00%, 1/15/2033
|
565
|
542
|
|
3.25%, 5/11/2041
|
1,140
|
807
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (b)
|
238
|
215
|
|
Synaptics, Inc. 4.00%, 6/15/2029 (b)
|
40
|
34
|
|
Texas Instruments, Inc. 5.05%, 5/18/2063
|
135
|
132
|
|
|
|
8,698
|
|
Software — 0.5%
|
||
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b)
|
140
|
115
|
|
Black Knight InfoServ LLC 3.63%, 9/1/2028 (b)
|
337
|
302
|
|
Elastic NV 4.13%, 7/15/2029 (b)
|
110
|
95
|
|
NCR Corp.
|
|
|
|
5.75%, 9/1/2027 (b)
|
300
|
298
|
|
5.00%, 10/1/2028 (b)
|
490
|
431
|
|
6.13%, 9/1/2029 (b)
|
80
|
79
|
|
Oracle Corp.
|
|
|
|
6.90%, 11/9/2052
|
673
|
733
|
|
5.55%, 2/6/2053
|
1,697
|
1,585
|
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (b)
|
320
|
305
|
|
TeamSystem SpA (Italy) 3.50%, 2/15/2028 (a)
|
200
|
187
|
|
VMware, Inc.
|
|
|
|
4.70%, 5/15/2030
|
568
|
540
|
|
2.20%, 8/15/2031
|
1,517
|
1,192
|
|
|
|
5,862
|
|
Specialized REITs — 0.5%
|
||
|
American Tower Corp.
|
|
|
|
3.60%, 1/15/2028
|
1,695
|
1,580
|
|
2.10%, 6/15/2030
|
1,605
|
1,305
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Specialized REITs — continued
|
||
|
Crown Castle, Inc.
|
|
|
|
4.80%, 9/1/2028
|
740
|
728
|
|
3.30%, 7/1/2030
|
75
|
66
|
|
2.50%, 7/15/2031
|
1,695
|
1,401
|
|
Iron Mountain, Inc. 5.25%, 3/15/2028 (b)
|
300
|
281
|
|
SBA Communications Corp. 3.13%, 2/1/2029
|
100
|
84
|
|
|
|
5,445
|
|
Specialty Retail — 0.3%
|
||
|
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (b)
|
92
|
81
|
|
Constellation Automotive Financing plc (United Kingdom) 4.88%, 7/15/2027 (a)
|
100
|
94
|
|
Douglas GmbH (Germany)
|
|
|
|
6.00%, 4/8/2026 (b)
|
275
|
268
|
|
6.00%, 4/8/2026 (a)
|
250
|
244
|
|
Dufry One BV (Switzerland) 2.50%, 10/15/2024 (a)
|
100
|
105
|
|
eG Global Finance plc (United Kingdom) 4.38%, 2/7/2025 (a)
|
100
|
103
|
|
Gap, Inc. (The) 3.63%, 10/1/2029 (b)
|
120
|
84
|
|
Lowe's Cos., Inc. 4.80%, 4/1/2026
|
890
|
888
|
|
PetSmart, Inc.
|
|
|
|
4.75%, 2/15/2028 (b)
|
350
|
324
|
|
7.75%, 2/15/2029 (b)
|
300
|
291
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b)
|
235
|
194
|
|
SRS Distribution, Inc. 4.63%, 7/1/2028 (b)
|
105
|
93
|
|
Staples, Inc. 7.50%, 4/15/2026 (b)
|
360
|
296
|
|
|
|
3,065
|
|
Technology Hardware, Storage & Peripherals — 0.4%
|
||
|
Apple, Inc. 2.65%, 2/8/2051
|
560
|
383
|
|
Dell International LLC
|
|
|
|
4.90%, 10/1/2026
|
120
|
119
|
|
5.25%, 2/1/2028
|
3,494
|
3,508
|
|
5.30%, 10/1/2029
|
221
|
220
|
|
Seagate HDD Cayman
|
|
|
|
4.09%, 6/1/2029
|
142
|
123
|
|
8.25%, 12/15/2029 (b)
|
46
|
47
|
|
8.50%, 7/15/2031 (b)
|
12
|
12
|
|
|
|
4,412
|
|
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
|
BK LC Lux Finco1 SARL (Germany) 5.25%, 4/30/2029 (a)
|
200
|
194
|
|
Hanesbrands, Inc. 9.00%, 2/15/2031 (b)
|
55
|
55
|
|
|
|
249
|
|
Tobacco — 0.2%
|
||
|
BAT Capital Corp. (United Kingdom) 2.26%, 3/25/2028
|
2,710
|
2,329
|
|
Trading Companies & Distributors — 0.2%
|
||
|
Air Lease Corp.
|
|
|
|
1.88%, 8/15/2026
|
230
|
203
|
|
3.25%, 10/1/2029
|
1,170
|
1,000
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Trading Companies & Distributors — continued
|
||
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (b)
|
170
|
161
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (b)
|
130
|
112
|
|
United Rentals North America, Inc. 3.88%, 2/15/2031
|
140
|
120
|
|
WESCO Distribution, Inc. 7.13%, 6/15/2025 (b)
|
150
|
151
|
|
|
|
1,747
|
|
Transportation Infrastructure — 0.2%
|
||
|
Abertis Infraestructuras Finance BV (Spain)
|
|
|
|
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (f) (g) (h)
|
300
|
287
|
|
(EUR Swap Annual 5 Year + 3.27%), 2.62%, 1/26/2027 (a) (f) (g) (h)
|
200
|
177
|
|
Autostrade per l'Italia SpA (Italy)
|
|
|
|
1.88%, 11/4/2025 (a)
|
800
|
811
|
|
1.75%, 6/26/2026 (a)
|
170
|
169
|
|
2.00%, 12/4/2028 (a)
|
350
|
328
|
|
Mundys SpA (Italy)
|
|
|
|
1.63%, 2/3/2025 (a)
|
410
|
417
|
|
1.88%, 7/13/2027 (a)
|
100
|
94
|
|
1.88%, 2/12/2028 (a)
|
200
|
180
|
|
|
|
2,463
|
|
Wireless Telecommunication Services — 0.8%
|
||
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
120
|
111
|
|
Matterhorn Telecom SA (Luxembourg) 3.13%, 9/15/2026 (a)
|
270
|
265
|
|
PLT VII Finance SARL (Luxembourg) 4.63%, 1/5/2026 (a)
|
350
|
358
|
|
Telefonica Europe BV (Spain)
|
|
|
|
Series NC5, (EUR Swap Annual 5 Year + 2.45%), 3.00%, 9/4/2023 (a) (f) (g) (h)
|
100
|
105
|
|
(EUR Swap Annual 10 Year + 4.30%), 5.87%, 3/31/2024 (a) (f) (g) (h)
|
700
|
749
|
|
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (f) (g) (h)
|
200
|
197
|
|
T-Mobile USA, Inc.
|
|
|
|
2.25%, 2/15/2026
|
2,671
|
2,476
|
|
2.63%, 2/15/2029
|
177
|
155
|
|
2.55%, 2/15/2031
|
433
|
362
|
|
2.25%, 11/15/2031
|
2,586
|
2,079
|
|
5.05%, 7/15/2033
|
1,460
|
1,440
|
|
Vodafone Group plc (United Kingdom)
|
|
|
|
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (h)
|
240
|
232
|
|
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 1/3/2079 (a) (h)
|
500
|
531
|
|
Series NC10, (EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (h)
|
100
|
85
|
|
|
|
9,145
|
|
Total Corporate Bonds
(Cost $477,219)
|
|
429,591
|
|
Asset-Backed Securities — 25.6%
|
||
|
ACC Trust
|
|
|
|
Series 2019-2, Class C, 5.24%, 10/21/2024 (b)
|
64
|
64
|
|
Series 2021-1, Class C, 2.08%, 12/20/2024 (b)
|
345
|
340
|
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (b)
|
1,109
|
1,073
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Accelerated LLC
|
|
|
|
Series 2021-1H, Class A, 1.35%, 10/20/2040 (b)
|
172
|
156
|
|
Series 2021-1H, Class B, 1.90%, 10/20/2040 (b)
|
228
|
206
|
|
Series 2021-1H, Class C, 2.35%, 10/20/2040 (b)
|
998
|
893
|
|
Affirm Asset Securitization Trust
|
|
|
|
Series 2022-A, Class 1A, 4.30%, 5/17/2027 (b)
|
1,111
|
1,059
|
|
Series 2022-Z1, Class A, 4.55%, 6/15/2027 (b)
|
1,506
|
1,482
|
|
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (b)
|
3,085
|
3,076
|
|
AIMCO CLO Ltd. (Cayman Islands) Series 2019-10A, Class AR, 6.33%, 7/22/2032 (b) (d)
|
250
|
246
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2023-1, Class A, 5.45%, 9/14/2026 (b)
|
809
|
805
|
|
Series 2022-3, Class B, 4.55%, 10/13/2026 (b)
|
3,400
|
3,354
|
|
Series 2020-4, Class E, 3.65%, 12/14/2026 (b)
|
4,492
|
4,380
|
|
Series 2021-2, Class C, 0.97%, 7/13/2027 (b)
|
3,047
|
3,005
|
|
Series 2021-2, Class D, 1.34%, 7/13/2027 (b)
|
4,800
|
4,542
|
|
Series 2021-2, Class E, 2.54%, 7/13/2027 (b)
|
2,800
|
2,621
|
|
Series 2021-3, Class D, 1.34%, 11/15/2027 (b)
|
1,584
|
1,482
|
|
Series 2021-3, Class E, 2.56%, 11/15/2027 (b)
|
2,375
|
2,169
|
|
Series 2021-4, Class E, 3.12%, 2/14/2028 (b)
|
1,700
|
1,543
|
|
Series 2022-1, Class E, 3.64%, 3/13/2028 (b)
|
2,063
|
1,835
|
|
Series 2021-3, Class F, 3.64%, 5/15/2028 (b)
|
1,114
|
1,020
|
|
Series 2022-3, Class C, 4.86%, 10/13/2028 (b)
|
1,933
|
1,896
|
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (b)
|
2,333
|
2,293
|
|
Series 2022-1, Class F, 4.87%, 11/13/2028 (b)
|
828
|
690
|
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (b)
|
884
|
876
|
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (b)
|
780
|
778
|
|
Series 2023-2, Class C, 5.96%, 8/13/2029 (b)
|
1,930
|
1,923
|
|
AmeriCredit Automobile Receivables Trust
|
|
|
|
Series 2021-1, Class C, 0.89%, 10/19/2026
|
1,470
|
1,362
|
|
Series 2022-2, Class C, 5.32%, 4/18/2028
|
2,900
|
2,880
|
|
Amur Equipment Finance Receivables XI LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (b)
|
702
|
696
|
|
Apidos CLO (Cayman Islands)
|
|
|
|
Series 2018-18A, Class A1, 6.41%, 10/22/2030 (b) (d)
|
1,400
|
1,385
|
|
Series 2020-34A, Class A1R, 6.40%, 1/20/2035 (b) (d)
|
300
|
293
|
|
Applebee's Funding LLC Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (b)
|
693
|
643
|
|
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2004-HE7, Class M2, 6.71%, 10/25/2034 (d)
|
97
|
94
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2018-1A, Class C, 4.73%, 9/20/2024 (b)
|
1,107
|
1,103
|
|
Series 2019-2A, Class C, 4.24%, 9/22/2025 (b)
|
420
|
405
|
|
Series 2020-1A, Class C, 3.02%, 8/20/2026 (b)
|
2,751
|
2,532
|
|
Series 2022-3A, Class A, 4.62%, 2/20/2027 (b)
|
4,714
|
4,597
|
|
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class AR, 6.40%, 4/19/2034 (b) (d)
|
1,000
|
978
|
|
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2021-7A, Class A1, 6.41%, 1/22/2035 (b) (d)
|
900
|
876
|
|
BHG Securitization Trust
|
|
|
|
Series 2021-B, Class A, 0.90%, 10/17/2034 (b)
|
172
|
164
|
|
Series 2022-C, Class A, 5.32%, 10/17/2035 (b)
|
474
|
469
|
|
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025
|
301
|
300
|
|
Carmax Auto Owner Trust Series 2019-4, Class D, 2.80%, 4/15/2026
|
830
|
811
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (b)
|
900
|
708
|
|
Commonbond Student Loan Trust
|
|
|
|
Series 2018-AGS, Class B, 3.58%, 2/25/2044 (b)
|
345
|
316
|
|
Series 2018-AGS, Class C, 3.82%, 2/25/2044 (b)
|
47
|
39
|
|
Conn's Receivables Funding LLC
|
|
|
|
Series 2021-A, Class B, 2.87%, 5/15/2026 (b)
|
504
|
502
|
|
Series 2021-A, Class C, 4.59%, 5/15/2026 (b)
|
1,707
|
1,669
|
|
Series 2022-A, Class B, 9.52%, 12/15/2026 (b)
|
2,500
|
2,493
|
|
Consumer Loan Underlying Bond Credit Trust Series 2019-P2, Class C, 4.41%, 10/15/2026 (b)
|
222
|
221
|
|
Countrywide Asset-Backed Certificates
|
|
|
|
Series 2002-4, Class M1, 6.26%, 12/25/2032 (d)
|
385
|
376
|
|
Series 2004-ECC2, Class M2, 6.11%, 12/25/2034 (d)
|
95
|
94
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2022-C, Class A, 4.18%, 4/15/2030 (b)
|
1,856
|
1,839
|
|
Series 2022-C, Class D, 6.45%, 4/15/2030 (b)
|
1,500
|
1,504
|
|
Credit Acceptance Auto Loan Trust Series 2022-1A, Class C, 5.70%, 10/15/2032 (b)
|
404
|
394
|
|
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 5.96%, 3/25/2034 (d)
|
77
|
76
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-5, Class M2, 6.14%, 7/25/2034 (d)
|
42
|
42
|
|
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.18%, 10/15/2030 (b) (d)
|
1,499
|
1,480
|
|
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I, 4.12%, 7/25/2048 (b)
|
688
|
657
|
|
Drive Auto Receivables Trust Series 2021-1, Class C, 1.02%, 6/15/2027
|
434
|
427
|
|
Dryden CLO Ltd. (Cayman Islands) Series 2019-68A, Class AR, 6.43%, 7/15/2035 (b) (d)
|
1,000
|
977
|
|
Dryden Senior Loan Fund (Cayman Islands)
|
|
|
|
Series 2017-47A, Class A1R, 6.24%, 4/15/2028 (b) (d)
|
3,298
|
3,270
|
|
Series 2014-36A, Class AR3, 6.27%, 4/15/2029 (b) (d)
|
772
|
766
|
|
DT Auto Owner Trust
|
|
|
|
Series 2020-2A, Class C, 3.28%, 3/16/2026 (b)
|
257
|
255
|
|
Series 2019-2A, Class E, 4.46%, 5/15/2026 (b)
|
3,503
|
3,475
|
|
Series 2019-4A, Class E, 3.93%, 10/15/2026 (b)
|
2,460
|
2,401
|
|
Series 2021-3A, Class D, 1.31%, 5/17/2027 (b)
|
2,255
|
2,047
|
|
Series 2020-3A, Class E, 3.62%, 10/15/2027 (b)
|
2,500
|
2,397
|
|
Series 2022-1A, Class D, 3.40%, 12/15/2027 (b)
|
969
|
910
|
|
Series 2021-2A, Class E, 2.97%, 7/17/2028 (b)
|
5,105
|
4,788
|
|
Series 2021-3A, Class E, 2.65%, 9/15/2028 (b)
|
335
|
296
|
|
Series 2022-1A, Class E, 5.53%, 3/15/2029 (b)
|
1,000
|
932
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2019-3A, Class E, 4.00%, 8/17/2026 (b)
|
810
|
795
|
|
Series 2020-1A, Class E, 3.74%, 1/15/2027 (b)
|
2,650
|
2,564
|
|
Series 2023-1A, Class B, 5.72%, 4/15/2027
|
533
|
530
|
|
Series 2021-4A, Class E, 4.02%, 1/17/2028 (b)
|
2,960
|
2,687
|
|
Series 2023-1A, Class C, 5.82%, 2/15/2028
|
580
|
579
|
|
Series 2021-2A, Class E, 2.90%, 7/17/2028 (b)
|
3,775
|
3,446
|
|
Series 2022-3A, Class D, 6.76%, 9/15/2028
|
2,100
|
2,108
|
|
Series 2022-4A, Class D, 5.98%, 12/15/2028
|
1,050
|
1,035
|
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (b)
|
1,500
|
1,328
|
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (b)
|
1,553
|
1,435
|
|
FHF Trust Series 2022-2A, Class A, 6.14%, 12/15/2027 (b)
|
1,501
|
1,479
|
|
First Franklin Mortgage Loan Trust Series 2004-FF5, Class A1, 5.86%, 8/25/2034 (d)
|
—
|
—
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Flagship Credit Auto Trust
|
|
|
|
Series 2022-3, Class A3, 4.55%, 4/15/2027 (b)
|
1,400
|
1,377
|
|
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b)
|
328
|
324
|
|
Series 2023-1, Class B, 5.05%, 1/18/2028 (b)
|
246
|
243
|
|
Series 2022-3, Class C, 4.99%, 7/17/2028 (b)
|
2,025
|
1,983
|
|
Series 2022-3, Class D, 6.00%, 7/17/2028 (b)
|
500
|
494
|
|
Series 2021-3, Class E, 3.32%, 12/15/2028 (b)
|
1,700
|
1,383
|
|
FREED ABS Trust
|
|
|
|
Series 2020-FP1, Class C, 4.37%, 3/18/2027 (b)
|
164
|
164
|
|
Series 2021-2, Class C, 1.94%, 6/19/2028 (b)
|
548
|
537
|
|
Series 2021-3FP, Class B, 1.01%, 11/20/2028 (b)
|
149
|
149
|
|
Series 2022-1FP, Class C, 2.51%, 3/19/2029 (b)
|
1,083
|
1,030
|
|
Series 2022-3FP, Class A, 4.50%, 8/20/2029 (b)
|
144
|
143
|
|
Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b)
|
2,390
|
2,369
|
|
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (b)
|
1,700
|
1,696
|
|
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.23%, 10/15/2030 (b) (d)
|
346
|
342
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2020-4A, Class C, 1.14%, 11/17/2025 (b)
|
230
|
227
|
|
Series 2021-2A, Class C, 1.08%, 6/15/2026 (b)
|
1,812
|
1,753
|
|
Series 2019-4A, Class D, 4.09%, 8/17/2026 (b)
|
1,150
|
1,117
|
|
Series 2023-1A, Class A2, 5.98%, 8/17/2026 (b)
|
1,733
|
1,730
|
|
Series 2021-1A, Class C, 1.20%, 1/15/2027 (b)
|
337
|
332
|
|
Series 2022-3A, Class B, 4.92%, 1/15/2027 (b)
|
130
|
128
|
|
Series 2023-1A, Class B, 6.19%, 6/15/2027 (b)
|
734
|
737
|
|
Series 2021-3A, Class D, 1.48%, 7/15/2027 (b)
|
1,075
|
981
|
|
Series 2020-4A, Class E, 3.51%, 10/15/2027 (b)
|
650
|
612
|
|
Series 2021-1A, Class E, 3.14%, 1/18/2028 (b)
|
2,700
|
2,537
|
|
Series 2022-2A, Class D, 6.15%, 4/17/2028 (b)
|
1,800
|
1,789
|
|
Series 2021-2A, Class E, 2.87%, 5/15/2028 (b)
|
1,100
|
993
|
|
Series 2022-3A, Class C, 5.34%, 6/15/2028 (b)
|
217
|
214
|
|
Series 2022-3A, Class D, 6.42%, 6/15/2028 (b)
|
160
|
160
|
|
Series 2021-3A, Class E, 3.20%, 10/16/2028 (b)
|
1,130
|
1,019
|
|
Series 2021-4A, Class E, 4.43%, 10/16/2028 (b)
|
990
|
899
|
|
Series 2023-1A, Class C, 6.38%, 12/15/2028 (b)
|
638
|
644
|
|
GM Financial Automobile Leasing Trust
|
|
|
|
Series 2023-1, Class A2B, 5.48%, 6/20/2025 (d)
|
439
|
439
|
|
Series 2023-1, Class A3, 5.16%, 4/20/2026
|
643
|
641
|
|
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 6.37%, 7/20/2031 (b) (d)
|
1,530
|
1,515
|
|
Hertz Vehicle Financing III LLC
|
|
|
|
Series 2022-3A, Class B, 3.86%, 3/25/2025 (b)
|
2,700
|
2,650
|
|
Series 2023-1A, Class A, 5.49%, 6/25/2027 (b)
|
1,200
|
1,197
|
|
Series 2023-1A, Class C, 6.91%, 6/25/2027 (b)
|
876
|
870
|
|
Hertz Vehicle Financing III LP
|
|
|
|
Series 2021-2A, Class A, 1.68%, 12/27/2027 (b)
|
2,000
|
1,760
|
|
Series 2021-2A, Class B, 2.12%, 12/27/2027 (b)
|
1,393
|
1,222
|
|
Series 2021-2A, Class C, 2.52%, 12/27/2027 (b)
|
1,726
|
1,499
|
|
Hertz Vehicle Financing LLC
|
|
|
|
Series 2021-1A, Class A, 1.21%, 12/26/2025 (b)
|
1,096
|
1,023
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (b)
|
1,000
|
951
|
|
JetBlue Pass-Through Trust
|
|
|
|
Series 2019-1, Class B, 8.00%, 11/15/2027
|
167
|
167
|
|
Series 2019-1, Class A, 2.95%, 5/15/2028
|
147
|
126
|
|
Series 2020-1, Class B, 7.75%, 11/15/2028
|
111
|
111
|
|
KREF Ltd. Series 2021-FL2, Class A, 6.18%, 2/15/2039 (b) (d)
|
2,335
|
2,261
|
|
Lendingpoint Asset Securitization Trust
|
|
|
|
Series 2021-A, Class B, 1.46%, 12/15/2028 (b)
|
62
|
62
|
|
Series 2021-B, Class B, 1.68%, 2/15/2029 (b)
|
2,596
|
2,550
|
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (b)
|
1,500
|
1,407
|
|
Series 2022-A, Class D, 4.54%, 6/15/2029 (b)
|
1,000
|
876
|
|
Series 2022-B, Class A, 4.77%, 10/15/2029 (b)
|
401
|
395
|
|
Series 2022-C, Class B, 7.46%, 2/15/2030 (b)
|
926
|
912
|
|
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (b)
|
665
|
637
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class A, 1.90%, 11/20/2031 (b)
|
270
|
235
|
|
Series 2021-1A, Class B, 2.47%, 11/20/2031 (b)
|
139
|
117
|
|
LL ABS Trust
|
|
|
|
Series 2020-1A, Class C, 6.54%, 1/17/2028 (b)
|
698
|
693
|
|
Series 2021-1A, Class C, 3.54%, 5/15/2029 (b)
|
500
|
443
|
|
Madison Park Funding Ltd. (Cayman Islands) Series 2020-45A, Class AR, 6.38%, 7/15/2034 (b) (d)
|
250
|
243
|
|
Magnetite Ltd. (Cayman Islands) Series 2012-7A, Class A1R2, 6.06%, 1/15/2028 (b) (d)
|
1,078
|
1,069
|
|
Marlette Funding Trust
|
|
|
|
Series 2021-2A, Class B, 1.06%, 9/15/2031 (b)
|
450
|
442
|
|
Series 2021-2A, Class C, 1.50%, 9/15/2031 (b)
|
500
|
469
|
|
Series 2021-2A, Class D, 2.16%, 9/15/2031 (b)
|
300
|
267
|
|
Series 2022-3A, Class A, 5.18%, 11/15/2032 (b)
|
516
|
513
|
|
Series 2023-1A, Class A, 6.07%, 4/15/2033 (b)
|
1,971
|
1,964
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M2, 6.74%, 10/15/2040 (b)
|
1,549
|
1,525
|
|
Morgan Stanley ABS Capital I, Inc. Trust
|
|
|
|
Series 2004-NC7, Class M3, 6.11%, 7/25/2034 (d)
|
70
|
67
|
|
Series 2004-HE7, Class M2, 6.08%, 8/25/2034 (d)
|
40
|
37
|
|
Series 2004-HE7, Class M3, 6.16%, 8/25/2034 (d)
|
2
|
2
|
|
Series 2004-HE8, Class M2, 6.16%, 9/25/2034 (d)
|
85
|
82
|
|
Series 2005-NC1, Class M3, 5.90%, 1/25/2035 (d)
|
347
|
319
|
|
MVW LLC Series 2021-1WA, Class D, 3.17%, 1/22/2041 (b)
|
957
|
855
|
|
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.18%, 10/15/2029 (b) (d)
|
246
|
243
|
|
New Century Home Equity Loan Trust
|
|
|
|
Series 2004-2, Class M2, 6.07%, 8/25/2034 (d)
|
33
|
32
|
|
Series 2004-4, Class M2, 5.93%, 2/25/2035 (d)
|
148
|
143
|
|
NRZ Excess Spread-Collateralized Notes
|
|
|
|
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b)
|
1,029
|
924
|
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b)
|
1,045
|
930
|
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
1,271
|
1,152
|
|
OCP CLO Ltd. (Cayman Islands) Series 2018-15A, Class A1, 6.35%, 7/20/2031 (b) (d)
|
1,100
|
1,089
|
|
Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 6.22%, 4/16/2031 (b) (d)
|
1,400
|
1,383
|
|
OnDeck Asset Securitization Trust III LLC
|
|
|
|
Series 2021-1A, Class A, 1.59%, 5/17/2027 (b)
|
5,350
|
5,031
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-1A, Class B, 2.28%, 5/17/2027 (b)
|
2,480
|
2,253
|
|
OneMain Direct Auto Receivables Trust Series 2022-1A, Class A1, 4.65%, 3/14/2029 (b)
|
1,540
|
1,510
|
|
OneMain Financial Issuance Trust Series 2021-1A, Class A1, 1.55%, 6/16/2036 (b)
|
3,517
|
3,073
|
|
Oportun Issuance Trust
|
|
|
|
Series 2022-2, Class A, 5.94%, 10/9/2029 (b)
|
434
|
432
|
|
Series 2022-2, Class D, 11.34%, 10/9/2029
|
863
|
854
|
|
Series 2022-3, Class A, 7.45%, 1/8/2030 (b)
|
785
|
786
|
|
Series 2021-B, Class A, 1.47%, 5/8/2031 (b)
|
2,538
|
2,303
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (b)
|
1,311
|
1,172
|
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (b)
|
2,300
|
2,084
|
|
Option One Mortgage Loan Trust Series 2004-3, Class M3, 6.11%, 11/25/2034 (d)
|
20
|
19
|
|
Pagaya AI Debt Selection Trust
|
|
|
|
Series 2021-HG1, Class B, 1.82%, 1/16/2029 (b)
|
461
|
433
|
|
Series 2021-3, Class A, 1.15%, 5/15/2029 (b)
|
448
|
443
|
|
Series 2021-3, Class B, 1.74%, 5/15/2029 (b)
|
1,660
|
1,580
|
|
Series 2021-3, Class C, 3.27%, 5/15/2029 (b)
|
2,820
|
2,484
|
|
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.51%, 5/21/2034 (b) (d)
|
1,660
|
1,627
|
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
|
Series 2021-4A, Class A1, 6.06%, 10/15/2029 (b) (d)
|
679
|
671
|
|
Series 2021-4A, Class C, 7.86%, 10/15/2029 (b) (d)
|
1,606
|
1,505
|
|
PMT Issuer Trust-FMSR Series 2021-FT1, Class A, 8.14%, 3/25/2026 (b) (d)
|
1,940
|
1,861
|
|
PNMAC FMSR ISSUER TRUST Series 2018-FT1, Class A, 8.79%, 4/25/2025 (b) (d)
|
1,210
|
1,197
|
|
Post Road Equipment Finance Series 2021-1A, Class E, 4.36%, 3/15/2029 (b)
|
809
|
777
|
|
PRET LLC
|
|
|
|
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (b) (i)
|
1,303
|
1,202
|
|
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (b) (i)
|
832
|
685
|
|
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (b) (i)
|
2,500
|
2,228
|
|
Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (b) (d)
|
2,500
|
2,244
|
|
Progress Residential Trust Series 2021-SFR9, Class A, 2.01%, 11/17/2040 (b)
|
3,249
|
2,741
|
|
Renaissance Home Equity Loan Trust
|
|
|
|
Series 2005-1, Class AF6, 5.47%, 5/25/2035 (i)
|
70
|
69
|
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (i)
|
1,306
|
1,230
|
|
Republic Finance Issuance Trust
|
|
|
|
Series 2020-A, Class A, 2.47%, 11/20/2030 (b)
|
396
|
379
|
|
Series 2021-A, Class D, 5.23%, 12/22/2031 (b)
|
1,500
|
1,244
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-6, Class A2, 4.37%, 5/15/2025
|
268
|
268
|
|
Series 2021-1, Class C, 0.75%, 2/17/2026
|
226
|
224
|
|
Series 2020-3, Class D, 1.64%, 11/16/2026
|
1,100
|
1,069
|
|
Series 2021-2, Class D, 1.35%, 7/15/2027
|
1,720
|
1,623
|
|
Series 2022-5, Class C, 4.74%, 10/16/2028
|
1,328
|
1,299
|
|
Series 2022-6, Class C, 4.96%, 11/15/2028
|
323
|
317
|
|
Series 2022-2, Class C, 3.76%, 7/16/2029
|
6,800
|
6,502
|
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
3,505
|
3,455
|
|
Santander Revolving Auto Loan Trust
|
|
|
|
Series 2019-A, Class A, 2.51%, 1/26/2032 (b)
|
820
|
779
|
|
Series 2019-A, Class C, 3.00%, 1/26/2032 (b)
|
2,936
|
2,760
|
|
Series 2019-A, Class D, 3.45%, 1/26/2032 (b)
|
2,910
|
2,721
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Service Experts Issuer LLC Series 2021-1A, Class A, 2.67%, 2/2/2032 (b)
|
1,929
|
1,767
|
|
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (b)
|
683
|
682
|
|
Stratus CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2021-2A, Class A, 6.15%, 12/28/2029 (b) (d)
|
1,069
|
1,056
|
|
Series 2021-3A, Class E, 11.00%, 12/29/2029 (b) (d)
|
410
|
378
|
|
Structured Asset Investment Loan Trust Series 2004-8, Class M2, 6.07%, 9/25/2034 (d)
|
162
|
161
|
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-WF2, Class M2, 5.77%, 5/25/2035 (d)
|
119
|
116
|
|
Tesla Auto Lease Trust
|
|
|
|
Series 2021-A, Class D, 1.34%, 3/20/2025 (b)
|
1,025
|
992
|
|
Series 2021-B, Class B, 0.91%, 9/22/2025 (b)
|
2,049
|
1,937
|
|
Theorem Funding Trust
|
|
|
|
Series 2021-1A, Class A, 1.21%, 12/15/2027 (b)
|
116
|
115
|
|
Series 2022-2A, Class B, 9.27%, 12/15/2028 (b)
|
2,000
|
2,035
|
|
Tricolor Auto Securitization Trust
|
|
|
|
Series 2021-1A, Class E, 3.23%, 9/15/2026 (b)
|
500
|
484
|
|
Series 2021-1A, Class F, 5.08%, 5/15/2028 (b)
|
500
|
470
|
|
United Airlines Pass-Through Trust Series 2013-1, Class A, 4.30%, 8/15/2025
|
864
|
827
|
|
Upstart Pass-Through Trust
|
|
|
|
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (b)
|
778
|
738
|
|
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (b)
|
287
|
272
|
|
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (b)
|
212
|
201
|
|
Series 2021-ST9, Class A, 1.70%, 11/20/2029 ‡ (b)
|
936
|
899
|
|
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (b)
|
1,618
|
1,544
|
|
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (b)
|
599
|
571
|
|
Upstart Securitization Trust
|
|
|
|
Series 2021-1, Class C, 4.06%, 3/20/2031 (b)
|
750
|
706
|
|
Series 2021-2, Class C, 3.61%, 6/20/2031 (b)
|
1,030
|
930
|
|
Series 2021-3, Class C, 3.28%, 7/20/2031 (b)
|
1,200
|
1,070
|
|
Series 2021-4, Class B, 1.84%, 9/20/2031 (b)
|
2,584
|
2,421
|
|
Series 2021-5, Class A, 1.31%, 11/20/2031 (b)
|
863
|
841
|
|
Series 2021-5, Class C, 4.15%, 11/20/2031 (b)
|
5,476
|
4,773
|
|
Series 2022-2, Class B, 6.10%, 5/20/2032 (b)
|
2,100
|
2,056
|
|
Series 2022-4, Class A, 5.98%, 8/20/2032 (b)
|
1,347
|
1,330
|
|
US Auto Funding
|
|
|
|
Series 2021-1A, Class B, 1.49%, 3/17/2025 (b)
|
164
|
162
|
|
Series 2021-1A, Class C, 2.20%, 5/15/2026 (b)
|
2,768
|
2,610
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2020-3A, Class E, 3.34%, 6/15/2026 (b)
|
120
|
115
|
|
Series 2021-2A, Class D, 1.23%, 12/15/2026 (b)
|
660
|
612
|
|
Series 2022-1A, Class D, 3.49%, 3/15/2027 (b)
|
1,676
|
1,591
|
|
Series 2021-3A, Class E, 3.42%, 4/15/2027 (b)
|
8,250
|
7,454
|
|
Series 2022-2A, Class C, 4.85%, 9/15/2027 (b)
|
1,192
|
1,164
|
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b)
|
1,344
|
1,316
|
|
Series 2021-2A, Class F, 3.66%, 12/15/2027 (b)
|
1,700
|
1,522
|
|
Total Asset-Backed Securities
(Cost $307,890)
|
|
294,399
|
|
Commercial Mortgage-Backed Securities — 7.7%
|
||
|
A10 Revolving Asset Financing I LLC 8.30%, 1/9/2020 ‡ (d)
|
6,000
|
5,940
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
BANK
|
|
|
|
Series 2018-BN13, Class C, 4.58%, 8/15/2061 (d)
|
509
|
416
|
|
Series 2019-BN20, Class XA, IO, 0.81%, 9/15/2062 (d)
|
3,739
|
149
|
|
Series 2021-BN35, Class XB, IO, 0.59%, 6/15/2064 (d)
|
17,700
|
708
|
|
BBCMS Mortgage Trust
|
|
|
|
Series 2022-C15, Class A2, 3.61%, 4/15/2055
|
2,736
|
2,597
|
|
Series 2022-C15, Class AS, 3.75%, 4/15/2055 (d)
|
1,960
|
1,673
|
|
Benchmark Mortgage Trust
|
|
|
|
Series 2019-B11, Class C, 3.75%, 5/15/2052 (d)
|
1,679
|
1,274
|
|
Series 2019-B10, Class A4, 3.72%, 3/15/2062
|
1,485
|
1,362
|
|
BHMS Series 2018-ATLS, Class A, 6.36%, 7/15/2035 (b) (d)
|
3,075
|
2,988
|
|
Braemar Hotels & Resorts Trust Series 2018-PRME, Class C, 6.36%, 6/15/2035 (b) (d)
|
1,200
|
1,139
|
|
BX Commercial Mortgage Trust
|
|
|
|
Series 2021-VINO, Class A, 5.76%, 5/15/2038 (b) (d)
|
2,480
|
2,403
|
|
Series 2021-XL2, Class A, 5.80%, 10/15/2038 (b) (d)
|
2,386
|
2,306
|
|
BX Trust
|
|
|
|
Series 2022-CLS, Class A, 5.76%, 10/13/2027 (b)
|
1,505
|
1,460
|
|
Series 2022-LBA6, Class A, 6.06%, 1/15/2039 (b) (d)
|
3,400
|
3,309
|
|
Series 2022-PSB, Class A, 7.51%, 8/15/2039 (b) (d)
|
2,858
|
2,850
|
|
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.09%, 2/28/2025 (b) (d)
|
4,000
|
3,615
|
|
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (d)
|
152
|
127
|
|
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (d)
|
95
|
74
|
|
Citigroup Commercial Mortgage Trust Series 2017-C4, Class A4, 3.47%, 10/12/2050
|
1,400
|
1,279
|
|
Commercial Mortgage Trust
|
|
|
|
Series 2015-CR26, Class D, 3.47%, 10/10/2048 (d)
|
200
|
128
|
|
Series 2015-PC1, Class C, 4.29%, 7/10/2050 (d)
|
1,046
|
910
|
|
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class B, 6.34%, 5/15/2036 (b) (d)
|
3,791
|
3,752
|
|
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M2, 8.32%, 7/25/2041 (b) (d)
|
1,260
|
1,078
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K033, Class X1, IO, 0.26%, 7/25/2023 (d)
|
18,847
|
—
|
|
Series K729, Class X1, IO, 0.34%, 10/25/2024 (d)
|
18,962
|
65
|
|
Series K739, Class X1, IO, 1.21%, 9/25/2027 (d)
|
18,158
|
714
|
|
Series K742, Class X1, IO, 0.78%, 3/25/2028 (d)
|
4,993
|
127
|
|
Series K127, Class X1, IO, 0.33%, 1/25/2031 (d)
|
65,843
|
1,266
|
|
Series K125, Class X1, IO, 0.58%, 1/25/2031 (d)
|
18,321
|
635
|
|
Series K128, Class X1, IO, 0.52%, 3/25/2031 (d)
|
13,897
|
438
|
|
Series K131, Class X3, IO, 2.95%, 9/25/2031 (d)
|
767
|
136
|
|
Series K723, Class X3, IO, 3.78%, 10/25/2034 (d)
|
9,269
|
57
|
|
Series K041, Class X3, IO, 1.64%, 11/25/2042 (d)
|
13,061
|
240
|
|
Series K047, Class X3, IO, 1.49%, 6/25/2043 (d)
|
18,000
|
480
|
|
Series K726, Class X3, IO, 2.15%, 7/25/2044 (d)
|
2,970
|
53
|
|
Series K067, Class X3, IO, 2.11%, 9/25/2044 (d)
|
15,993
|
1,164
|
|
Series K068, Class X3, IO, 2.06%, 10/25/2044 (d)
|
4,540
|
343
|
|
Series K070, Class X3, IO, 2.04%, 12/25/2044 (d)
|
2,152
|
161
|
|
Series K730, Class X3, IO, 2.03%, 2/25/2045 (d)
|
13,820
|
385
|
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (d)
|
3,940
|
315
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (d)
|
6,650
|
716
|
|
Series K737, Class X3, IO, 1.77%, 1/25/2048 (d)
|
3,150
|
171
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series K121, Class X3, IO, 2.77%, 11/25/2048 (d)
|
5,100
|
785
|
|
Series K127, Class X3, IO, 2.65%, 3/25/2049 (d)
|
5,100
|
768
|
|
FNMA ACES Series 2019-M1, Class A2, 3.55%, 9/25/2028 (d)
|
1,057
|
1,023
|
|
FREMF Series 2018-KF46, Class B, 7.01%, 3/25/2028 (b) (d)
|
1,066
|
967
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KF29, Class B, 8.61%, 2/25/2024 (b) (d)
|
139
|
139
|
|
Series 2017-KF31, Class B, 7.96%, 4/25/2024 (b) (d)
|
302
|
300
|
|
Series 2017-KF36, Class B, 7.71%, 8/25/2024 (b) (d)
|
453
|
442
|
|
Series 2017-KF35, Class B, 7.81%, 8/25/2024 (b) (d)
|
508
|
498
|
|
Series 2018-KF45, Class B, 7.01%, 3/25/2025 (b) (d)
|
115
|
109
|
|
Series 2018-KF47, Class B, 7.06%, 5/25/2025 (b) (d)
|
101
|
98
|
|
Series 2019-KC03, Class B, 4.38%, 1/25/2026 (b) (d)
|
1,500
|
1,414
|
|
Series 2018-KF48, Class B, 7.11%, 6/25/2028 (b) (d)
|
480
|
444
|
|
Series 2017-K726, Class C, 4.01%, 7/25/2049 (b) (d)
|
725
|
704
|
|
Series 2017-K729, Class B, 3.67%, 11/25/2049 (b) (d)
|
880
|
847
|
|
GNMA
|
|
|
|
Series 2012-89, IO, 0.14%, 12/16/2053 (d)
|
3,089
|
2
|
|
Series 2017-9, IO, 0.66%, 1/16/2057 (d)
|
3,381
|
119
|
|
Series 2017-23, IO, 0.61%, 5/16/2059 (d)
|
4,200
|
140
|
|
Series 2017-69, IO, 0.69%, 7/16/2059 (d)
|
2,829
|
104
|
|
Series 2019-104, IO, 1.03%, 5/16/2061 (d)
|
1,801
|
111
|
|
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (d)
|
9,267
|
483
|
|
Series 2019-155, IO, 0.53%, 7/16/2061 (d)
|
9,887
|
417
|
|
Series 2020-89, Class IA, IO, 1.17%, 4/16/2062 (d)
|
8,529
|
654
|
|
Series 2020-136, IO, 1.01%, 8/16/2062 (d)
|
3,877
|
266
|
|
Series 2021-106, IO, 0.86%, 4/16/2063 (d)
|
20,442
|
1,378
|
|
Series 2021-133, IO, 0.88%, 7/16/2063 (d)
|
10,706
|
707
|
|
GS Mortgage Securities Trust Series 2015-GC30, Class C, 4.07%, 5/10/2050 (d)
|
190
|
167
|
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 7.30%, 10/15/2039 (b) (d)
|
875
|
872
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.23%, 7/15/2048 (d)
|
266
|
228
|
|
Series 2015-C31, Class C, 4.62%, 8/15/2048 (d)
|
124
|
108
|
|
JPMCC Commercial Mortgage Securities Trust Series 2019-COR4, Class A5, 4.03%, 3/10/2052
|
1,015
|
938
|
|
JPMDB Commercial Mortgage Securities Trust Series 2018-C8, Class A3, 3.94%, 6/15/2051
|
1,200
|
1,135
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
Series 2016-JP3, Class C, 3.40%, 8/15/2049 (d)
|
276
|
205
|
|
Series 2016-JP4, Class C, 3.38%, 12/15/2049 (d)
|
152
|
124
|
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (d)
|
2,817
|
1,042
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
Series 2014-C14, Class C, 5.06%, 2/15/2047 (d)
|
114
|
111
|
|
Series 2015-C24, Class C, 4.32%, 5/15/2048 (d)
|
190
|
162
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (d)
|
147
|
135
|
|
Series 2019-L2, Class C, 5.08%, 3/15/2052 (d)
|
978
|
763
|
|
Series 2021-L5, Class XA, IO, 1.29%, 5/15/2054 (d)
|
10,752
|
715
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (b)
|
230
|
196
|
|
Multi-Family Connecticut Avenue Securities Trust Series 2020-01, Class M10, 8.89%, 3/25/2050 (b) (d)
|
4,450
|
4,187
|
|
TPGI Trust Series 2021-DGWD, Class A, 5.81%, 6/15/2026 (b) (d)
|
1,575
|
1,527
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (d)
|
837
|
799
|
|
Series 2019-1, Class A, 3.76%, 3/25/2049 (b) (d)
|
411
|
384
|
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (b) (d)
|
873
|
825
|
|
Series 2020-1, Class AFX, 2.61%, 2/25/2050 (b) (d)
|
789
|
694
|
|
Series 2021-1, Class A, 1.40%, 5/25/2051 (b) (d)
|
3,038
|
2,487
|
|
Series 2021-2, Class A, 1.52%, 8/25/2051 (b) (d)
|
1,200
|
1,002
|
|
Series 2021-4, Class A, 2.52%, 12/26/2051 (b) (d)
|
2,263
|
1,889
|
|
Series 2022-3, Class A, 5.22%, 6/25/2052 (b) (d)
|
972
|
939
|
|
Series 2022-4, Class A, 5.63%, 8/25/2052 (b) (d)
|
2,809
|
2,730
|
|
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class F, 5.10%, 10/15/2044 (b) (d)
|
1,283
|
124
|
|
Wells Fargo Commercial Mortgage Trust Series 2016-C37, Class A4, 3.53%, 12/15/2049
|
1,650
|
1,560
|
|
Total Commercial Mortgage-Backed Securities
(Cost $98,778)
|
|
87,970
|
|
Foreign Government Securities — 6.6%
|
||
|
Czech Republic 1.95%, 7/30/2037
|
CZK74,410
|
2,464
|
|
Dominican Republic Government Bond
|
|
|
|
6.88%, 1/29/2026 (a)
|
900
|
907
|
|
5.30%, 1/21/2041 (b)
|
790
|
611
|
|
5.30%, 1/21/2041 (a)
|
500
|
387
|
|
Federal Republic of Nigeria
|
|
|
|
6.50%, 11/28/2027 (a)
|
770
|
650
|
|
7.38%, 9/28/2033 (b)
|
527
|
387
|
|
Hungary Government Bond 6.75%, 9/25/2052 (b)
|
639
|
644
|
|
Italian Republic Government Bond 0.88%, 5/6/2024
|
1,888
|
1,802
|
|
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b)
|
921
|
844
|
|
Lebanese Republic 6.38%, 3/9/2020 (k)
|
1,280
|
72
|
|
Mex Bonos Desarr Fix Rt
|
|
|
|
7.75%, 5/29/2031
|
MXN137,240
|
7,284
|
|
7.50%, 5/26/2033
|
MXN126,920
|
6,556
|
|
8.50%, 11/18/2038
|
MXN97,000
|
5,243
|
|
Notas do Tesouro Nacional 10.00%, 1/1/2027 (k)
|
BRL45,000
|
8,632
|
|
Oriental Republic of Uruguay 5.10%, 6/18/2050
|
135
|
133
|
|
Republic of Angola
|
|
|
|
8.00%, 11/26/2029 (a)
|
530
|
450
|
|
8.75%, 4/14/2032 (b)
|
561
|
470
|
|
Republic of Colombia
|
|
|
|
3.13%, 4/15/2031
|
1,000
|
742
|
|
5.20%, 5/15/2049
|
645
|
429
|
|
Republic of Cote d'Ivoire
|
|
|
|
6.38%, 3/3/2028 (a)
|
1,190
|
1,137
|
|
6.13%, 6/15/2033 (a)
|
651
|
563
|
|
6.88%, 10/17/2040 (b)
|
EUR1,880
|
1,460
|
|
Republic of Indonesia 7.00%, 2/15/2033
|
IDR71,620,000
|
4,986
|
|
Republic of Iraq 5.80%, 1/15/2028 (a)
|
1,169
|
1,080
|
|
Republic of North Macedonia 2.75%, 1/18/2025 (a)
|
EUR1,110
|
1,127
|
|
Republic of Paraguay
|
|
|
|
5.00%, 4/15/2026 (a)
|
446
|
438
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
4.95%, 4/28/2031 (b)
|
1,160
|
1,107
|
|
3.85%, 6/28/2033 (b)
|
208
|
178
|
|
5.60%, 3/13/2048 (a)
|
820
|
703
|
|
5.40%, 3/30/2050 (b)
|
470
|
393
|
|
Republic of Philippines 5.50%, 1/17/2048
|
258
|
267
|
|
Republic of Poland 7.50%, 7/25/2028
|
PLN21,654
|
5,450
|
|
Republic of Senegal 6.25%, 5/23/2033 (a)
|
424
|
336
|
|
Republic of Serbia
|
|
|
|
1.50%, 6/26/2029 (b)
|
EUR1,600
|
1,280
|
|
2.13%, 12/1/2030 (b)
|
1,010
|
757
|
|
Republic of South Africa
|
|
|
|
8.25%, 3/31/2032
|
ZAR47,680
|
1,942
|
|
8.88%, 2/28/2035
|
ZAR114,485
|
4,547
|
|
5.00%, 10/12/2046
|
2,560
|
1,625
|
|
5.75%, 9/30/2049
|
390
|
264
|
|
Romania Government Bond
|
|
|
|
4.63%, 4/3/2049 (b)
|
EUR997
|
791
|
|
7.63%, 1/17/2053 (b)
|
372
|
393
|
|
Sultanate of Oman Government Bond 6.25%, 1/25/2031 (a)
|
1,900
|
1,923
|
|
United Arab Emirates Government Bond
|
|
|
|
4.05%, 7/7/2032 (b)
|
777
|
762
|
|
4.00%, 7/28/2050 (b)
|
1,180
|
724
|
|
4.95%, 7/7/2052 (b)
|
537
|
530
|
|
United Mexican States
|
|
|
|
6.35%, 2/9/2035
|
628
|
661
|
|
3.77%, 5/24/2061
|
1,378
|
916
|
|
3.75%, 4/19/2071
|
1,815
|
1,189
|
|
Total Foreign Government Securities
(Cost $83,326)
|
|
76,236
|
|
Collateralized Mortgage Obligations — 5.5%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026
|
8
|
7
|
|
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
98
|
97
|
|
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035
|
165
|
152
|
|
Series 2004-28CB, Class 3A1, 6.00%, 1/25/2035
|
360
|
324
|
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035
|
700
|
563
|
|
American Home Mortgage Assets Trust Series 2006-6, Class A1A, 5.33%, 12/25/2046 (d)
|
906
|
763
|
|
Angel Oak Mortgage Trust
|
|
|
|
Series 2019-5, Class A1, 2.59%, 10/25/2049 (b) (d)
|
961
|
916
|
|
Series 2020-1, Class A1, 2.47%, 12/25/2059 (b) (d)
|
207
|
194
|
|
Series 2021-3, Class A1, 1.07%, 5/25/2066 (b) (d)
|
3,011
|
2,480
|
|
Series 2021-3, Class A2, 1.31%, 5/25/2066 (b) (d)
|
2,258
|
1,862
|
|
Banc of America Alternative Loan Trust Series 2006-2, Class 7A1, 6.00%, 3/25/2021
|
31
|
22
|
|
Banc of America Funding Trust Series 2006-A, Class 1A1, 4.16%, 2/20/2036 (d)
|
148
|
139
|
|
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 4.17%, 2/25/2034 (d)
|
98
|
95
|
|
Citigroup Mortgage Loan Trust Series 2005-9, Class 2A2, 5.50%, 11/25/2035
|
1
|
1
|
|
COLT Trust Series 2021-RPL1, Class A1, 1.67%, 9/25/2061 (b) (d)
|
1,543
|
1,348
|
|
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.27%, 1/25/2043 (b) (d)
|
1,308
|
1,316
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
CSMC Mortgage-Backed Trust Series 2007-2, Class 3A13, 5.50%, 3/25/2037
|
246
|
135
|
|
CSMC Trust Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (b) (d)
|
1,661
|
1,597
|
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (b) (d)
|
749
|
708
|
|
FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1B, 7.87%, 4/25/2042 (b) (d)
|
580
|
578
|
|
FHLMC, REMIC
|
|
|
|
Series 4043, Class PI, IO, 2.50%, 5/15/2027
|
1,452
|
51
|
|
Series 4086, Class AI, IO, 3.50%, 7/15/2027
|
515
|
21
|
|
Series 4120, Class UI, IO, 3.00%, 10/15/2027
|
455
|
20
|
|
Series 4216, Class MI, IO, 3.00%, 6/15/2028
|
256
|
12
|
|
Series 4178, Class BI, IO, 3.00%, 3/15/2033
|
676
|
59
|
|
Series 2936, Class AS, IF, IO, 0.99%, 2/15/2035 (d)
|
164
|
7
|
|
Series 4018, Class HI, IO, 4.50%, 3/15/2041
|
974
|
66
|
|
Series 4073, Class IQ, IO, 4.00%, 7/15/2042
|
562
|
82
|
|
Series 4173, Class I, IO, 4.00%, 3/15/2043
|
1,750
|
289
|
|
Series 4305, Class SK, IF, IO, 1.49%, 2/15/2044 (d)
|
824
|
98
|
|
Series 4612, Class QI, IO, 3.50%, 5/15/2044
|
2,690
|
359
|
|
Series 4372, Class SY, IF, IO, 0.99%, 8/15/2044 (d)
|
2,709
|
256
|
|
Series 4687, Class SG, IF, IO, 1.04%, 1/15/2047 (d)
|
2,596
|
324
|
|
Series 4654, Class SK, IF, IO, 0.89%, 2/15/2047 (d)
|
3,945
|
446
|
|
Series 4681, Class SD, IF, IO, 1.04%, 5/15/2047 (d)
|
5,868
|
734
|
|
Series 4983, Class SY, IF, IO, 0.96%, 5/25/2050 (d)
|
6,052
|
704
|
|
Series 5023, Class MI, IO, 3.00%, 10/25/2050
|
4,051
|
709
|
|
FNMA, REMIC
|
|
|
|
Series 2012-109, Class WI, IO, 2.50%, 10/25/2027
|
661
|
26
|
|
Series 2012-149, Class MI, IO, 3.00%, 1/25/2028
|
609
|
23
|
|
Series 2012-120, Class DI, IO, 3.00%, 3/25/2031
|
12
|
—
|
|
Series 2003-130, Class NS, IF, IO, 1.86%, 1/25/2034 (d)
|
391
|
28
|
|
Series 2005-67, Class SI, IF, IO, 1.56%, 8/25/2035 (d)
|
297
|
11
|
|
Series 2005-69, Class AS, IF, IO, 1.56%, 8/25/2035 (d)
|
77
|
7
|
|
Series 2006-24, Class QS, IF, IO, 2.06%, 4/25/2036 (d)
|
278
|
20
|
|
Series 2010-68, Class SJ, IF, IO, 1.41%, 7/25/2040 (d)
|
260
|
24
|
|
Series 2016-30, Class SA, IF, IO, 0.86%, 5/25/2046 (d)
|
3,526
|
424
|
|
Series 2016-39, Class LS, IF, IO, 0.86%, 7/25/2046 (d)
|
2,484
|
333
|
|
Series 2016-74, Class GS, IF, IO, 0.86%, 10/25/2046 (d)
|
1,168
|
142
|
|
Series 2016-75, Class SC, IF, IO, 0.96%, 10/25/2046 (d)
|
31
|
3
|
|
Series 2017-6, Class SB, IF, IO, 0.91%, 2/25/2047 (d)
|
1,525
|
160
|
|
Series 2017-47, Class ST, IF, IO, 0.96%, 6/25/2047 (d)
|
4,050
|
515
|
|
Series 2019-42, Class SK, IF, IO, 0.91%, 8/25/2049 (d)
|
818
|
91
|
|
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (b) (d)
|
570
|
521
|
|
GCAT Trust
|
|
|
|
Series 2020-NQM1, Class A1, 2.25%, 1/25/2060 (b) (i)
|
348
|
325
|
|
Series 2021-NQM2, Class A1, 1.04%, 5/25/2066 (b) (d)
|
2,665
|
2,200
|
|
Series 2021-NQM4, Class A1, 1.09%, 8/25/2066 (b) (d)
|
1,906
|
1,497
|
|
GNMA
|
|
|
|
Series 2014-36, Class WY, 2.00%, 3/16/2044
|
810
|
654
|
|
Series 2014-181, Class SL, IF, IO, 0.45%, 12/20/2044 (d)
|
1,684
|
164
|
|
Series 2015-110, Class MS, IF, IO, 0.56%, 8/20/2045 (d)
|
553
|
46
|
|
Series 2019-115, Class SD, IF, IO, 0.95%, 9/20/2049 (d)
|
493
|
50
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051
|
15,423
|
2,035
|
|
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051
|
5,033
|
710
|
|
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051
|
5,561
|
764
|
|
Series 2021-117, Class ES, IF, IO, 1.15%, 7/20/2051 (d)
|
6,294
|
730
|
|
Series 2015-H13, Class GI, IO, 1.47%, 4/20/2065 (d)
|
1,016
|
22
|
|
GSR Mortgage Loan Trust Series 2004-15F, Class 1A2, 5.50%, 12/25/2034
|
417
|
318
|
|
IndyMac INDX Mortgage Loan Trust Series 2005-AR10, Class A1, 5.66%, 6/25/2035 (d)
|
602
|
480
|
|
JPMorgan Mortgage Trust Series 2006-S2, Class 1A19, 6.00%, 7/25/2036
|
298
|
168
|
|
Lehman Mortgage Trust Series 2005-2, Class 2A5, 5.50%, 12/25/2035
|
229
|
143
|
|
MASTR Alternative Loan Trust Series 2004-12, Class 3A1, 6.00%, 12/25/2034
|
749
|
727
|
|
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (i)
|
850
|
840
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2004-4, Class 2A, 6.30%, 9/25/2034 (d)
|
160
|
160
|
|
Series 2004-9, Class 1A, 5.34%, 11/25/2034 (d)
|
70
|
72
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (b) (d)
|
725
|
663
|
|
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (b) (d)
|
1,419
|
1,274
|
|
Series 2020-NQM1, Class A1, 2.46%, 1/26/2060 (b) (d)
|
572
|
522
|
|
OBX Trust Series 2023-NQM3, Class A1, 5.95%, 1/25/2063 (b) (i)
|
1,606
|
1,606
|
|
PNMAC GMSR Issuer Trust Series 2018-GT2, Class A, 7.79%, 8/25/2025 (b) (d)
|
2,280
|
2,250
|
|
PRET LLC Series 2022-NPL4, Class A1, 6.56%, 8/25/2052 (b) (i)
|
912
|
898
|
|
PRPM LLC
|
|
|
|
Series 2021-5, Class A2, 3.72%, 6/25/2026 (b) (i)
|
3,500
|
2,759
|
|
Series 2021-6, Class A1, 1.79%, 7/25/2026 (b) (i)
|
2,123
|
1,947
|
|
Series 2021-6, Class A2, 3.47%, 7/25/2026 (b) (i)
|
275
|
230
|
|
Series 2021-7, Class A1, 1.87%, 8/25/2026 (b) (i)
|
2,135
|
1,967
|
|
Series 2021-7, Class A2, 3.67%, 8/25/2026 (b) (i)
|
738
|
630
|
|
Series 2021-11, Class A2, 4.58%, 11/25/2026 (b) (i)
|
2,400
|
2,146
|
|
Series 2021-RPL2, Class A1, 1.46%, 10/25/2051 (b) (d)
|
1,085
|
956
|
|
RALI Trust Series 2006-QS4, Class A2, 6.00%, 4/25/2036
|
23
|
19
|
|
Residential Asset Securitization Trust Series 2005-A8CB, Class A11, 6.00%, 7/25/2035
|
211
|
146
|
|
SART Series 2017-1, 4.75%, 7/15/2024 ‡
|
396
|
387
|
|
Sequoia Mortgage Trust Series 2003-8, Class A1, 5.79%, 1/20/2034 (d)
|
175
|
164
|
|
Starwood Mortgage Residential Trust Series 2020-1, Class A1, 2.27%, 2/25/2050 (b) (d)
|
50
|
47
|
|
TDA CAM 4 FTA (Spain) Series 4, Class A, 3.08%, 6/26/2039 (a) (d)
|
216
|
229
|
|
Verus Securitization Trust
|
|
|
|
Series 2023-4, Class A1, 5.81%, 5/25/2027 (b) (i)
|
2,120
|
2,105
|
|
Series 2019-4, Class A1, 2.64%, 11/25/2059 (b) (i)
|
511
|
489
|
|
Series 2019-INV3, Class A1, 2.69%, 11/25/2059 (b) (d)
|
1,113
|
1,068
|
|
Series 2020-1, Class A1, 2.42%, 1/25/2060 (b) (i)
|
127
|
119
|
|
Series 2021-6, Class A1, 1.63%, 10/25/2066 (b) (d)
|
2,379
|
1,980
|
|
Series 2022-4, Class A1, 4.47%, 4/25/2067 (b) (i)
|
366
|
352
|
|
Series 2023-2, Class A1, 6.19%, 3/25/2068 (b) (i)
|
2,167
|
2,177
|
|
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (d)
|
3,700
|
3,487
|
|
WaMu Mortgage Pass-Through Certificates Trust Series 2003-S3, Class 3A2, 5.50%, 5/25/2033
|
82
|
81
|
|
Total Collateralized Mortgage Obligations
(Cost $70,867)
|
|
62,665
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — 3.7%
|
||
|
Automobiles — 0.1%
|
||
|
Ford Motor Co. Zero Coupon, 3/15/2026
|
995
|
970
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Itron, Inc. Zero Coupon, 3/15/2026
|
1,259
|
1,102
|
|
Entertainment — 0.2%
|
||
|
Live Nation Entertainment, Inc. 3.13%, 1/15/2029 (b)
|
960
|
1,002
|
|
Sea Ltd. (Singapore) 2.38%, 12/1/2025
|
730
|
744
|
|
|
|
1,746
|
|
Financial Services — 0.1%
|
||
|
Block, Inc.
|
|
|
|
0.13%, 3/1/2025
|
340
|
314
|
|
Zero Coupon, 5/1/2026
|
927
|
766
|
|
0.25%, 11/1/2027
|
300
|
229
|
|
|
|
1,309
|
|
Ground Transportation — 0.1%
|
||
|
Lyft, Inc. 1.50%, 5/15/2025
|
1,540
|
1,381
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Integra LifeSciences Holdings Corp. 0.50%, 8/15/2025
|
970
|
872
|
|
Health Care Providers & Services — 0.0% ^
|
||
|
PetIQ, Inc. 4.00%, 6/1/2026
|
170
|
150
|
|
Hotel & Resort REITs — 0.1%
|
||
|
Pebblebrook Hotel Trust 1.75%, 12/15/2026
|
1,265
|
1,068
|
|
Summit Hotel Properties, Inc. 1.50%, 2/15/2026
|
351
|
301
|
|
|
|
1,369
|
|
Hotels, Restaurants & Leisure — 0.3%
|
||
|
Airbnb, Inc. Zero Coupon, 3/15/2026
|
2,300
|
1,992
|
|
Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026
|
1,223
|
1,010
|
|
Vail Resorts, Inc. Zero Coupon, 1/1/2026
|
686
|
616
|
|
|
|
3,618
|
|
Interactive Media & Services — 0.2%
|
||
|
Eventbrite, Inc. 0.75%, 9/15/2026
|
670
|
524
|
|
Snap, Inc.
|
|
|
|
0.75%, 8/1/2026
|
295
|
262
|
|
Zero Coupon, 5/1/2027
|
479
|
346
|
|
0.13%, 3/1/2028
|
500
|
351
|
|
TripAdvisor, Inc. 0.25%, 4/1/2026
|
1,504
|
1,248
|
|
|
|
2,731
|
|
IT Services — 0.2%
|
||
|
BigCommerce Holdings, Inc. 0.25%, 10/1/2026
|
2,170
|
1,669
|
|
GDS Holdings Ltd. (China) 2.00%, 6/1/2025
|
1,010
|
992
|
|
|
|
2,661
|
|
Leisure Products — 0.1%
|
||
|
Topgolf Callaway Brands Corp. 2.75%, 5/1/2026
|
455
|
538
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — continued
|
||
|
Machinery — 0.1%
|
||
|
Greenbrier Cos., Inc. (The) 2.88%, 4/15/2028
|
1,770
|
1,443
|
|
Media — 0.0% ^
|
||
|
DISH Network Corp. 2.38%, 3/15/2024
|
10
|
9
|
|
Passenger Airlines — 0.1%
|
||
|
JetBlue Airways Corp. 0.50%, 4/1/2026
|
952
|
741
|
|
Southwest Airlines Co. 1.25%, 5/1/2025
|
815
|
863
|
|
|
|
1,604
|
|
Retail REITs — 0.1%
|
||
|
Kite Realty Group LP 0.75%, 4/1/2027 (b)
|
688
|
615
|
|
Semiconductors & Semiconductor Equipment — 0.6%
|
||
|
ams-OSRAM AG (Austria) 2.13%, 11/3/2027 (a)
|
600
|
424
|
|
Enphase Energy, Inc. Zero Coupon, 3/1/2028
|
1,965
|
1,889
|
|
Microchip Technology, Inc. 1.63%, 2/15/2027
|
320
|
678
|
|
ON Semiconductor Corp. Zero Coupon, 5/1/2027
|
1,932
|
3,192
|
|
Wolfspeed, Inc.
|
|
|
|
0.25%, 2/15/2028
|
609
|
438
|
|
1.88%, 12/1/2029 (b)
|
275
|
201
|
|
|
|
6,822
|
|
Software — 1.1%
|
||
|
8x8, Inc. 0.50%, 2/1/2024
|
840
|
785
|
|
Alarm.com Holdings, Inc. Zero Coupon, 1/15/2026
|
1,465
|
1,249
|
|
Bentley Systems, Inc. 0.13%, 1/15/2026
|
1,185
|
1,174
|
|
Box, Inc. Zero Coupon, 1/15/2026
|
1,677
|
2,033
|
|
Confluent, Inc. Zero Coupon, 1/15/2027
|
148
|
119
|
|
Dropbox, Inc. Zero Coupon, 3/1/2028
|
2,198
|
1,973
|
|
Envestnet, Inc.
|
|
|
|
0.75%, 8/15/2025
|
210
|
189
|
|
2.63%, 12/1/2027 (b)
|
675
|
669
|
|
Everbridge, Inc. Zero Coupon, 3/15/2026
|
1,344
|
1,112
|
|
Nice Ltd. (Israel) Zero Coupon, 9/15/2025
|
2,494
|
2,374
|
|
RingCentral, Inc. Zero Coupon, 3/1/2025
|
1,035
|
946
|
|
|
|
12,623
|
|
Specialty Retail — 0.1%
|
||
|
Guess?, Inc. 2.00%, 4/15/2024
|
395
|
394
|
|
Wayfair, Inc. 0.63%, 10/1/2025
|
990
|
812
|
|
|
|
1,206
|
|
Total Convertible Bonds
(Cost $48,512)
|
|
42,769
|
|
Mortgage-Backed Securities — 1.4%
|
||
|
FNMA UMBS, 30 Year Pool # MA4783, 4.00%, 10/1/2052
|
11,653
|
11,009
|
|
FNMA, Other Pool # BF0263, 3.50%, 5/1/2058
|
1,116
|
1,031
|
|
GNMA II, Single Family, 30 Year TBA, 5.50%, 6/15/2053 (j)
|
3,500
|
3,498
|
|
Total Mortgage-Backed Securities
(Cost $15,638)
|
|
15,538
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — 0.8% (h) (l)
|
||
|
Aerospace & Defense — 0.1%
|
||
|
Ultra Resources, Inc., 1st Lien Term Loan B (ICE LIBOR USD 6 Month + 3.50%), 8.56%, 8/3/2029
|
919
|
893
|
|
Beverages — 0.0% ^
|
||
|
Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.66%, 3/31/2028
|
111
|
106
|
|
Building Products — 0.1%
|
||
|
Chamberlain Group LLC (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.27%, 11/3/2028
|
716
|
677
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 8.15%, 3/19/2029
|
4
|
4
|
|
|
|
681
|
|
Commercial Services & Supplies — 0.0% ^
|
||
|
Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 8.30%, 6/21/2028
|
192
|
184
|
|
Construction & Engineering — 0.0% ^
|
||
|
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.27%, 1/21/2028
|
132
|
130
|
|
Containers & Packaging — 0.1%
|
||
|
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.52%, 9/24/2028
|
1,009
|
987
|
|
Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 9.16%, 9/15/2028
|
342
|
327
|
|
|
|
1,314
|
|
Hotels, Restaurants & Leisure — 0.0% ^
|
||
|
IRB Holding Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.25%, 12/15/2027
|
323
|
313
|
|
IT Services — 0.0% ^
|
||
|
Ancestry.com, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 8.50%, 12/6/2027
|
192
|
177
|
|
Leisure Products — 0.1%
|
||
|
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 10.27%, 12/15/2026
|
792
|
735
|
|
Media — 0.0% ^
|
||
|
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.56%, 1/18/2028
|
205
|
181
|
|
Personal Care Products — 0.1%
|
||
|
Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.91%, 5/17/2028
|
928
|
858
|
|
Semiconductors & Semiconductor Equipment — 0.0% ^
|
||
|
Brooks Automation, 1st Lien Term Loan B (1-MONTH SOFR + 3.10%; 6-MONTH SOFR + 3.10% + 3.10%), 6.61%,
2/1/2029
|
392
|
372
|
|
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 10.49%, 2/1/2030
|
150
|
131
|
|
|
|
503
|
|
Software — 0.1%
|
||
|
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 9.07%, 12/1/2027
|
627
|
610
|
|
Specialty Retail — 0.2%
|
||
|
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.90%, 10/19/2027
|
186
|
183
|
|
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.75%, 12/18/2026 (m)
|
1,736
|
1,604
|
|
PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 8.52%, 12/28/2027
|
437
|
409
|
|
Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 9.65%, 12/22/2025
|
600
|
384
|
|
Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.50%), 12.27%, 8/10/2023
|
337
|
184
|
|
|
|
2,764
|
|
Total Loan Assignments
(Cost $10,147)
|
|
9,449
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Supranational — 0.2%
|
||
|
Africa Finance Corp. (Supranational)
3.75%, 10/30/2029 (a)
|
1,130
|
925
|
|
European Union (Supranational)
0.10%, 10/4/2040 (a)
|
EUR2,990
|
1,875
|
|
Total Supranational
(Cost $4,563)
|
|
2,800
|
|
|
SHARES
(000)
|
|
|
Convertible Preferred Stocks — 0.2%
|
||
|
Specialty Retail — 0.2%
|
||
|
Claire's Stores, Inc. ‡ *
(Cost $226)
|
1
|
1,857
|
|
Common Stocks — 0.0% ^
|
||
|
Communications Equipment — 0.0% ^
|
||
|
Goodman Networks, Inc. ‡ *
|
6
|
—
|
|
Media — 0.0% ^
|
||
|
iHeartMedia, Inc., Class A *
|
13
|
30
|
|
Professional Services — 0.0% ^
|
||
|
NMG, Inc. ‡ *
|
—
|
30
|
|
Specialty Retail — 0.0% ^
|
||
|
Claire's Stores, Inc. ‡ *
|
1
|
304
|
|
Total Common Stocks
(Cost $1,104)
|
|
364
|
|
|
NO. OF WARRANTS
(000)
|
|
|
Warrants — 0.0% ^
|
||
|
Media — 0.0% ^
|
||
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
(Cost $—)
|
14
|
321
|
|
|
SHARES
(000)
|
|
|
Preferred Stocks — 0.0% ^
|
||
|
Broadline Retail — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
298
|
242
|
|
Communications Equipment — 0.0% ^
|
||
|
Goodman Networks, Inc. ‡ *
|
7
|
—
|
|
Total Preferred Stocks
(Cost $310)
|
|
242
|
|
|
NO. OF RIGHTS
(000)
|
|
|
Rights — 0.0% ^
|
||
|
Independent Power and Renewable Electricity Producers — 0.0% ^
|
||
|
Vistra Corp., expiring 12/31/2049 ‡ *
(Cost $—) (n)
|
42
|
53
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Short-Term Investments — 8.8%
|
||
|
Investment Companies — 8.8%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.12% (o) (p)
(Cost $100,901)
|
100,876
|
100,896
|
|
Total Investments — 97.9%
(Cost $1,219,481)
|
|
1,125,150
|
|
Other Assets Less Liabilities — 2.1%
|
|
24,241
|
|
NET ASSETS — 100.0%
|
|
1,149,391
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
BRL
|
Brazilian Real
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IDR
|
Indonesian Rupiah
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a
specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.
The interest rate shown is the
rate in effect as of May 31, 2023. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal
amount shown
represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns
as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
|
|
JSC
|
Joint Stock Company
|
|
LIBOR
|
London Interbank Offered Rate
|
|
MXN
|
Mexican Peso
|
|
PLN
|
Polish Zloty
|
|
PT
|
Limited liability company
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SCA
|
Limited partnership with share capital
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies
to securities
offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as
such may have
restrictions on resale.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
|
|
|
(c)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(d)
|
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates
and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of May 31, 2023.
|
|
|
(e)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2023 is $7,149 or 0.62% of the Fund’s net assets
as of May 31, 2023.
|
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(g)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for
a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown
is the rate in
effect as of May 31, 2023.
|
|
|
(h)
|
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
May 31, 2023.
|
|
|
(i)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future
contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2023.
|
|
|
(j)
|
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
|
|
|
(k)
|
Defaulted security.
|
|
|
(l)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
|
|
|
(m)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
|
(n)
|
Value is zero.
|
|
|
(o)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
|
|
(p)
|
The rate shown is the current yield as of May 31, 2023.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
Euro-Bund
|
41
|
06/08/2023
|
EUR
|
5,962
|
96
|
|
Euro-Buxl 30 Year Bond
|
18
|
06/08/2023
|
EUR
|
2,666
|
51
|
|
Euro-Schatz
|
4
|
06/08/2023
|
EUR
|
452
|
4
|
|
U.S. Treasury 10 Year Ultra Note
|
224
|
09/20/2023
|
USD
|
26,989
|
136
|
|
U.S. Treasury 2 Year Note
|
293
|
09/29/2023
|
USD
|
60,301
|
(97
)
|
|
U.S. Treasury 5 Year Note
|
772
|
09/29/2023
|
USD
|
84,190
|
(176
)
|
|
|
|
|
|
|
14
|
|
Short Contracts
|
|
|
|
|
|
|
Euro-Schatz
|
(273
)
|
06/08/2023
|
EUR
|
(30,819
)
|
(266
)
|
|
U.S. Treasury 10 Year Note
|
(203
)
|
09/20/2023
|
USD
|
(23,234
)
|
(20
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(498
)
|
09/20/2023
|
USD
|
(60,001
)
|
(305
)
|
|
U.S. Treasury Long Bond
|
(61
)
|
09/20/2023
|
USD
|
(7,837
)
|
(85
)
|
|
U.S. Treasury Ultra Bond
|
(201
)
|
09/20/2023
|
USD
|
(27,568
)
|
(442
)
|
|
Long Gilt
|
(5
)
|
09/27/2023
|
GBP
|
(602
)
|
(10
)
|
|
U.S. Treasury 5 Year Note
|
(412
)
|
09/29/2023
|
USD
|
(44,931
)
|
93
|
|
|
|
|
|
|
(1,035
)
|
|
|
|
|
|
|
(1,021
)
|
|
Abbreviations
|
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
USD
|
United States Dollar
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
EUR
|
54,864
|
USD
|
58,556
|
HSBC Bank, NA
|
6/5/2023
|
98
|
|
GBP
|
1,209
|
USD
|
1,494
|
Morgan Stanley
|
6/5/2023
|
10
|
|
USD
|
787
|
EUR
|
717
|
HSBC Bank, NA
|
6/5/2023
|
21
|
|
USD
|
62,957
|
EUR
|
57,229
|
Morgan Stanley
|
6/5/2023
|
1,774
|
|
USD
|
1,507
|
GBP
|
1,209
|
Morgan Stanley
|
6/5/2023
|
3
|
|
BRL
|
14,484
|
USD
|
2,827
|
Citibank, NA**
|
6/22/2023
|
19
|
|
GBP
|
501
|
USD
|
618
|
Citibank, NA
|
6/22/2023
|
6
|
|
GBP
|
13,573
|
USD
|
16,748
|
State Street Corp.
|
6/22/2023
|
144
|
|
KRW
|
11,669,988
|
USD
|
8,757
|
Citibank, NA**
|
6/22/2023
|
75
|
|
USD
|
2,290
|
AUD
|
3,420
|
BNP Paribas
|
6/22/2023
|
64
|
|
USD
|
2,421
|
BRL
|
12,016
|
Goldman Sachs International**
|
6/22/2023
|
60
|
|
USD
|
13,215
|
EUR
|
12,086
|
Barclays Bank plc
|
6/22/2023
|
280
|
|
USD
|
17,641
|
GBP
|
14,074
|
BNP Paribas
|
6/22/2023
|
127
|
|
USD
|
7,855
|
IDR
|
116,330,542
|
Goldman Sachs International**
|
6/22/2023
|
99
|
|
USD
|
4,795
|
PHP
|
267,910
|
Goldman Sachs International**
|
6/22/2023
|
40
|
|
USD
|
2,869
|
PLN
|
11,938
|
BNP Paribas
|
6/22/2023
|
53
|
|
USD
|
2,870
|
SGD
|
3,821
|
BNP Paribas
|
6/22/2023
|
43
|
|
USD
|
7,347
|
ZAR
|
142,203
|
Citibank, NA
|
6/22/2023
|
149
|
|
Total unrealized appreciation
|
3,065
|
|||||
|
EUR
|
2,166
|
USD
|
2,342
|
BNP Paribas
|
6/5/2023
|
(26
)
|
|
EUR
|
150
|
USD
|
167
|
Morgan Stanley
|
6/5/2023
|
(6
)
|
|
EUR
|
766
|
USD
|
847
|
State Street Corp.
|
6/5/2023
|
(28
)
|
|
CZK
|
62,895
|
EUR
|
2,653
|
BNP Paribas
|
6/22/2023
|
(8
)
|
|
EUR
|
123
|
USD
|
132
|
Merrill Lynch International
|
6/22/2023
|
—
(a)
|
|
INR
|
475,874
|
USD
|
5,778
|
Merrill Lynch International**
|
6/22/2023
|
(28
)
|
|
JPY
|
1,486,879
|
USD
|
11,095
|
TD Bank Financial Group
|
6/22/2023
|
(390
)
|
|
THB
|
99,855
|
EUR
|
2,694
|
Citibank, NA
|
6/22/2023
|
(7
)
|
|
THB
|
205,892
|
USD
|
6,078
|
HSBC Bank, NA
|
6/22/2023
|
(150
)
|
|
USD
|
2,844
|
AUD
|
4,394
|
Citibank, NA
|
6/22/2023
|
(16
)
|
|
USD
|
3,009
|
COP
|
13,863,067
|
BNP Paribas**
|
6/22/2023
|
(89
)
|
|
USD
|
20,054
|
MXN
|
356,341
|
Barclays Bank plc
|
6/22/2023
|
(2
)
|
|
CNY
|
22,226
|
USD
|
3,204
|
Citibank, NA**
|
6/26/2023
|
(69
)
|
|
USD
|
58,662
|
EUR
|
54,864
|
HSBC Bank, NA
|
7/5/2023
|
(98
)
|
|
USD
|
1,495
|
GBP
|
1,209
|
Morgan Stanley
|
7/5/2023
|
(10
)
|
|
Total unrealized depreciation
|
(927
)
|
|||||
|
Net unrealized appreciation
|
2,138
|
|||||
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CNY
|
China Yuan
|
|
COP
|
Columbian Peso
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
KRW
|
Korean Republic Won
|
|
MXN
|
Mexican Peso
|
|
PHP
|
Philippines Peso
|
|
PLN
|
Polish Zloty
|
|
SGD
|
Singapore Dollar
|
|
THB
|
Thai Baht
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
**
|
Non-deliverable forward.
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.HY.40-V1
|
5.00
|
Quarterly
|
6/20/2028
|
4.73
|
USD68,451
|
—
|
(1,424
)
|
(1,424
)
|
|
CDX.NA.HY.40-V1
|
5.00
|
Quarterly
|
6/20/2028
|
4.73
|
USD71,245
|
(269
)
|
(1,213
)
|
(1,482
)
|
|
|
|
|
|
|
|
(269
)
|
(2,637
)
|
(2,906
)
|
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an
upfront premium to or from
the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect
to an underlying reference
obligation, as defined under the terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring
that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
FLOATING RATE INDEX (a)
|
FIXED RATE
|
PAY/RECIEVE
FLOATING RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
|
|
1 day CDI at termination
|
11.91 At Termination
|
Pay
|
1/2/2025
|
BRL38,486
|
—
|
(74)
|
|
6 month WIBOR Semi-Annual
|
5.83 semi-annually
|
Receive
|
12/23/2032
|
PLN15,188
|
—
|
(102)
|
|
1 week CNY NDIRS Quarterly
|
3.04 quarterly
|
Receive
|
9/20/2028
|
CNY125,451
|
—
|
(427)
|
|
1 day CDI at termination
|
11.92 At Termination
|
Pay
|
1/2/2025
|
BRL39,280
|
—
|
(17)
|
|
|
|
|
|
|
—
|
(620)
|
|
Abbreviations
|
|
|
BRL
|
Brazilian Real
|
|
CDI
|
Certificate of interbank deposits
|
|
CNY
|
China Yuan
|
|
NDIRS
|
Non-Deliverable Interest Rate Swap
|
|
PLN
|
Polish Zloty
|
|
WIBOR
|
Warsaw Interbank Offered Rate
|
|
(a)
|
Value of floating rate index at May 31, 2023 was as follows:
|
|||||||
|
FLOATING RATE INDEX
|
VALUE
|
|
1 day CDI
|
1.55%
|
|
1 week CNY NDIRS
|
2.10
|
|
6 month WIBOR
|
6.95
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$293,500
|
$899
|
$294,399
|
|
Collateralized Mortgage Obligations
|
—
|
58,791
|
3,874
|
62,665
|
|
Commercial Mortgage-Backed Securities
|
—
|
82,030
|
5,940
|
87,970
|
|
Common Stocks
|
|
|
|
|
|
Communications Equipment
|
—
|
—
|
—
(a)
|
—
(a)
|
|
Media
|
30
|
—
|
—
|
30
|
|
Professional Services
|
—
|
—
|
30
|
30
|
|
Specialty Retail
|
—
|
—
|
304
|
304
|
|
Total Common Stocks
|
30
|
—
|
334
|
364
|
|
Convertible Bonds
|
—
|
42,769
|
—
|
42,769
|
|
Convertible Preferred Stocks
|
—
|
—
|
1,857
|
1,857
|
|
Corporate Bonds
|
—
|
429,591
|
—
|
429,591
|
|
Foreign Government Securities
|
—
|
76,236
|
—
|
76,236
|
|
Loan Assignments
|
—
|
9,449
|
—
|
9,449
|
|
Mortgage-Backed Securities
|
—
|
15,538
|
—
|
15,538
|
|
Preferred Stocks
|
—
|
—
|
242
|
242
|
|
Rights
|
—
|
—
|
53
|
53
|
|
Supranational
|
—
|
2,800
|
—
|
2,800
|
|
Warrants
|
—
|
—
|
321
|
321
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
100,896
|
—
|
—
|
100,896
|
|
Total Investments in Securities
|
$100,926
|
$1,010,704
|
$13,520
|
$1,125,150
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$3,065
|
$—
|
$3,065
|
|
Futures Contracts
|
380
|
—
|
—
|
380
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
—
|
(927
)
|
—
|
(927
)
|
|
Futures Contracts
|
(1,401
)
|
—
|
—
|
(1,401
)
|
|
Swaps
|
—
|
(3,257
)
|
—
|
(3,257
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$(1,021
)
|
$(1,119
)
|
$—
|
$(2,140
)
|
|
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
Balance as of
February 28,
2023
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
May 31,
2023
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$—
|
$21
|
$—
|
$—
|
$(216
)
|
$1,094
|
$—
|
$899
|
|
Collateralized Mortgage Obligations
|
3,961
|
—
|
22
|
—
(a)
|
—
|
(109
)
|
—
|
—
|
3,874
|
|
Commercial Mortgage-Backed
Securities
|
5,985
|
—
|
(45
)
|
—
|
—
|
—
|
—
|
—
|
5,940
|
|
Common Stocks
|
364
|
—
|
(30
)
|
—
|
—
|
—
|
—
|
—
|
334
|
|
Convertible Preferred Stocks
|
1,798
|
—
|
59
|
—
|
—
|
—
|
—
|
—
|
1,857
|
|
Preferred Stocks
|
267
|
—
|
(25
)
|
—
|
—
|
—
|
—
|
—
|
242
|
|
Rights
|
53
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
53
|
|
Warrants
|
428
|
—
|
(107
)
|
—
|
—
|
—
|
—
|
—
|
321
|
|
Total
|
$12,856
|
$—
|
$(105
)
|
$—
(a)
|
$—
|
$(325
)
|
$1,094
|
$—
|
$13,520
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
|
||||||||
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value at
May 31, 2023
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
|
$899
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
30.00% (30.00%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.87% (5.87%)
|
|
Asset-Backed Securities
|
899
|
|
|
|
|
|
3,487
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
11.69% (11.69%)
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
3,487
|
|
|
|
|
|
0 (b
)
|
Market Comparable Companies
|
EBITDA Multiple (c)
|
5.0x (5.0x)
|
|
|
|
|
Discount for Potential Outcome
|
30.00% (30.00%)
|
|
|
|
|
|
|
|
Preferred Stocks
|
0
|
|
|
|
|
|
0 (b
)
|
Market Comparable Companies
|
EBITDA Multiple (c)
|
5.0x (5.0x)
|
|
|
|
|
Discount for Potential Outcome
|
30.00% (30.00%)
|
|
|
|
|
|
|
|
Common Stocks
|
0
|
|
|
|
|
Total
|
$4,386
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31,
2023, the value of
these investments was $9,134. The inputs for these investments are not readily available or cannot be reasonably estimated
and are generally
those inputs described in Note 2.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
(c)
|
Represents amounts used when the reporting entity has determined that market participants would take into account such multiples
when
pricing the investments.
|
|
|
|||||||||
|
For the period ended May 31, 2023
|
|||||||||
|
Security Description
|
Value at
February 28,
2023
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2023
|
Shares at
May 31,
2023
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.12% (a) (b)
|
$117,344
|
$196,370
|
$212,797
|
$(21
)
|
$—
(c)
|
$100,896
|
100,876
|
$1,071
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2023.
|
|
(c)
|
Amount rounds to less than one thousand.
|