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.
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
© J.P. Morgan Chase & Co., 2023.
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — 39.7%
|
||
Aerospace & Defense — 0.1%
|
||
Boeing Co. (The)
|
|
|
5.71%, 5/1/2040
|
415
|
409
|
3.85%, 11/1/2048
|
375
|
272
|
3.95%, 8/1/2059
|
435
|
309
|
Rolls-Royce plc (United Kingdom)
|
|
|
4.63%, 2/16/2026 (a)
|
100
|
109
|
4.63%, 2/16/2026 (b)
|
110
|
120
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (b)
|
30
|
32
|
Triumph Group, Inc. 9.00%, 3/15/2028 (b)
|
65
|
67
|
|
|
1,318
|
Automobile Components — 0.4%
|
||
Adient Global Holdings Ltd.
|
|
|
3.50%, 8/15/2024 (a)
|
45
|
48
|
7.00%, 4/15/2028 (b)
|
35
|
36
|
8.25%, 4/15/2031 (b)
|
105
|
107
|
Adler Pelzer Holding GmbH (Germany) 9.50%, 4/1/2027 (b)
|
206
|
216
|
Allison Transmission, Inc.
|
|
|
4.75%, 10/1/2027 (b)
|
90
|
85
|
5.88%, 6/1/2029 (b)
|
200
|
194
|
American Axle & Manufacturing, Inc.
|
|
|
6.50%, 4/1/2027
|
190
|
183
|
5.00%, 10/1/2029
|
110
|
91
|
Clarios Global LP 8.50%, 5/15/2027 (b)
|
260
|
262
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (b)
|
115
|
98
|
Forvia SE (France)
|
|
|
3.13%, 6/15/2026 (a)
|
480
|
501
|
2.75%, 2/15/2027 (a)
|
100
|
102
|
2.38%, 6/15/2027 (a)
|
100
|
100
|
Goodyear Tire & Rubber Co. (The) 5.00%, 7/15/2029
|
300
|
274
|
Grupo Antolin-Irausa SA (Spain) 3.50%, 4/30/2028 (b)
|
168
|
128
|
IHO Verwaltungs GmbH (Germany)
|
|
|
3.88% (Cash), 5/15/2027 (a) (c) (d)
|
200
|
206
|
8.75% (Cash), 5/15/2028 (b) (c)
|
185
|
214
|
Schaeffler AG (Germany) 2.88%, 3/26/2027 (a)
|
330
|
346
|
TI Automotive Finance plc (China) 3.75%, 4/15/2029 (a)
|
150
|
144
|
ZF Europe Finance BV (Germany)
|
|
|
2.00%, 2/23/2026 (a)
|
100
|
102
|
2.50%, 10/23/2027 (a)
|
300
|
298
|
ZF Finance GmbH (Germany) 3.75%, 9/21/2028 (a)
|
200
|
206
|
|
|
3,941
|
Automobiles — 0.4%
|
||
Hyundai Capital America
|
|
|
1.30%, 1/8/2026 (b)
|
430
|
392
|
3.50%, 11/2/2026 (b)
|
2,180
|
2,051
|
6.50%, 1/16/2029 (b)
|
280
|
287
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Automobiles — continued
|
||
Jaguar Land Rover Automotive plc (United Kingdom)
|
|
|
5.88%, 11/15/2024 (a)
|
100
|
109
|
4.50%, 1/15/2026 (a)
|
250
|
270
|
Renault SA (France) 2.50%, 6/2/2027 (a)
|
600
|
609
|
Volvo Car AB (Sweden) 2.00%, 1/24/2025 (a)
|
300
|
318
|
|
|
4,036
|
Banks — 11.9%
|
||
ABN AMRO Bank NV (Netherlands)
|
|
|
(EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (a) (e) (f) (g) (h)
|
400
|
409
|
4.80%, 4/18/2026 (b)
|
800
|
772
|
(EUR Swap Annual 5 Year + 3.90%), 4.75%, 9/22/2027 (a) (e) (f) (g) (h)
|
1,700
|
1,621
|
AIB Group plc (Ireland)
|
|
|
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (a) (e) (f) (g) (h)
|
1,900
|
2,011
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (b) (h)
|
335
|
341
|
Banco Bilbao Vizcaya Argentaria SA (Spain)
|
|
|
Series 9, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.19%),
6.50%, 3/5/2025 (e) (f) (g) (h)
|
400
|
383
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (e) (f) (g) (h)
|
2,200
|
2,239
|
Banco Santander SA (Spain)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 5.74%, 6/30/2024 (h)
|
2,000
|
1,997
|
5.15%, 8/18/2025
|
800
|
789
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (e) (f) (g) (h)
|
2,400
|
2,447
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (e) (f) (g) (h)
|
1,800
|
1,879
|
Bank of America Corp.
|
|
|
(3-MONTH CME TERM SOFR + 1.13%), 2.46%, 10/22/2025 (h)
|
6,020
|
5,828
|
(SOFR + 1.29%), 5.08%, 1/20/2027 (h)
|
525
|
519
|
(SOFR + 1.05%), 2.55%, 2/4/2028 (h)
|
2,485
|
2,264
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (h)
|
440
|
433
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (h)
|
1,225
|
1,236
|
(SOFR + 1.22%), 2.30%, 7/21/2032 (h)
|
399
|
313
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (h)
|
2,700
|
2,149
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (h)
|
1,100
|
1,104
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (h)
|
740
|
502
|
Bank of Ireland Group plc (Ireland)
|
|
|
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (e) (f) (g) (h)
|
1,345
|
1,464
|
(EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (a) (e) (f) (g) (h)
|
1,400
|
1,474
|
Bank of Nova Scotia (The) (Canada)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (e) (h)
|
430
|
366
|
Series 2, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%),
3.63%, 10/27/2081 (e) (h)
|
2,100
|
1,531
|
Banque Federative du Credit Mutuel SA (France) 4.75%, 7/13/2027 (b)
|
1,245
|
1,211
|
BNP Paribas SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 4.35%), 8.50%, 8/14/2028 (b) (e)
(f) (g) (h)
|
2,400
|
2,436
|
BPCE SA (France)
|
|
|
(SOFR + 2.10%), 5.98%, 1/18/2027 (b) (h)
|
2,703
|
2,690
|
(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (h)
|
300
|
268
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (h)
|
1,060
|
816
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (b) (h)
|
2,210
|
2,277
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
CaixaBank SA (Spain)
|
|
|
(EUR Swap Annual 5 Year + 6.50%), 6.75%, 6/13/2024 (a) (e) (f) (g) (h)
|
600
|
647
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (h)
|
1,310
|
1,317
|
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
|
493
|
(SOFR + 0.69%), 2.01%, 1/25/2026 (h)
|
1,595
|
1,520
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (f) (g) (h)
|
2,521
|
2,194
|
(SOFR + 1.55%), 5.61%, 9/29/2026 (h)
|
1,557
|
1,555
|
(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
|
2,994
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (h)
|
2,260
|
2,095
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (h)
|
920
|
728
|
Commerzbank AG (Germany) (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (h)
|
700
|
737
|
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
|
1,124
|
(EUR Swap Annual 5 Year + 3.70%), 3.25%, 12/29/2026 (a) (e) (f) (g) (h)
|
1,000
|
932
|
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (a) (e) (f) (g) (h)
|
600
|
592
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (h)
|
1,720
|
1,609
|
Credit Agricole SA (France)
|
|
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (h)
|
302
|
273
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (b) (h)
|
710
|
724
|
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
|
435
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (h)
|
1,237
|
1,240
|
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
|
642
|
HSBC Holdings plc (United Kingdom)
|
|
|
(SOFR + 1.43%), 3.00%, 3/10/2026 (h)
|
3,000
|
2,885
|
(SOFR + 1.54%), 1.65%, 4/18/2026 (h)
|
300
|
282
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (h)
|
2,565
|
2,520
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (h)
|
2,575
|
2,245
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (h)
|
666
|
605
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (e) (f) (g) (h)
|
1,794
|
1,393
|
(SOFR + 2.39%), 6.25%, 3/9/2034 (h)
|
720
|
733
|
ING Groep NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 4.34%), 5.75%,
11/16/2026 (e) (f) (g) (h)
|
1,488
|
1,346
|
Intesa Sanpaolo SpA (Italy)
|
|
|
7.00%, 11/21/2025 (b)
|
256
|
259
|
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (e) (f) (g) (h)
|
862
|
931
|
6.63%, 6/20/2033 (b)
|
3,845
|
3,765
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (h)
|
410
|
270
|
KBC Group NV (Belgium)
|
|
|
(EUR Swap Annual 5 Year + 3.59%), 4.25%, 10/24/2025 (a) (e) (f) (g) (h)
|
2,000
|
1,946
|
(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (a) (e) (f) (g) (h)
|
600
|
670
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (h)
|
440
|
437
|
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.48%), 5.99%,
8/7/2027 (h)
|
1,360
|
1,363
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Banks — continued
|
||
NatWest Group plc (United Kingdom)
|
|
|
(3-MONTH SOFR + 1.76%), 4.27%, 3/22/2025 (h)
|
360
|
358
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (e) (f) (g) (h)
|
1,256
|
1,193
|
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
|
980
|
Santander UK Group Holdings plc (United Kingdom)
|
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (h)
|
940
|
948
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (h)
|
1,400
|
1,250
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (h)
|
2,100
|
2,118
|
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
|
447
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (e) (f) (g) (h)
|
452
|
344
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (h)
|
490
|
384
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (h)
|
593
|
474
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (h)
|
1,365
|
1,367
|
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
|
1,459
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (b) (h)
|
1,280
|
1,239
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (h)
|
700
|
741
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (h)
|
544
|
498
|
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)
|
2,600
|
2,040
|
UniCredit SpA (Italy)
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (h)
|
720
|
648
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (h)
|
781
|
869
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (h)
|
1,660
|
1,341
|
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
|
1,281
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (h)
|
1,410
|
1,322
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (h)
|
2,720
|
2,716
|
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (h)
|
2,420
|
2,022
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (h)
|
155
|
151
|
Westpac Banking Corp. (Australia) (USD SOFR Spread-Adjusted ICE Swap Rate 5 Year +
2.24%), 4.32%, 11/23/2031 (e) (h)
|
250
|
236
|
|
|
115,063
|
Beverages — 0.2%
|
||
Constellation Brands, Inc. 2.25%, 8/1/2031
|
1,936
|
1,558
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (b)
|
30
|
26
|
|
|
1,584
|
Biotechnology — 0.6%
|
||
AbbVie, Inc.
|
|
|
4.05%, 11/21/2039
|
1,050
|
902
|
4.70%, 5/14/2045
|
417
|
376
|
4.25%, 11/21/2049
|
2,629
|
2,212
|
Amgen, Inc. 5.25%, 3/2/2033
|
680
|
673
|
Gilead Sciences, Inc. 5.55%, 10/15/2053
|
1,000
|
1,009
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Biotechnology — continued
|
||
Grifols SA (Spain)
|
|
|
1.63%, 2/15/2025 (a)
|
100
|
106
|
2.25%, 11/15/2027 (a)
|
360
|
358
|
3.88%, 10/15/2028 (b)
|
130
|
125
|
4.75%, 10/15/2028 (b)
|
200
|
177
|
|
|
5,938
|
Broadline Retail — 0.1%
|
||
Amazon.com, Inc. 2.70%, 6/3/2060
|
350
|
214
|
ANGI Group LLC 3.88%, 8/15/2028 (b)
|
175
|
144
|
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (b)
|
155
|
150
|
NMG Holding Co., Inc. 7.13%, 4/1/2026 (b)
|
100
|
94
|
Shutterfly Finance LLC
|
|
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (b) (c)
|
127
|
84
|
9.75%, 10/1/2027 (b)
|
25
|
24
|
|
|
710
|
Building Products — 0.1%
|
||
Emerald Debt Merger Sub LLC
|
|
|
6.38%, 12/15/2030 (b)
|
143
|
157
|
6.63%, 12/15/2030 (b)
|
155
|
155
|
Griffon Corp. 5.75%, 3/1/2028
|
405
|
383
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (b)
|
55
|
47
|
Standard Industries, Inc. 4.75%, 1/15/2028 (b)
|
140
|
131
|
Summit Materials LLC 5.25%, 1/15/2029 (b)
|
30
|
28
|
|
|
901
|
Capital Markets — 3.5%
|
||
Coinbase Global, Inc. 3.38%, 10/1/2028 (b)
|
170
|
137
|
Deutsche Bank AG (Germany) (SOFR + 2.26%), 3.74%, 1/7/2033 (h)
|
1,206
|
923
|
Goldman Sachs Group, Inc. (The)
|
|
|
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
|
942
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (h)
|
2,330
|
2,114
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (h)
|
1,270
|
1,157
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%),
7.50%, 2/10/2029 (f) (g) (h)
|
1,660
|
1,684
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (h)
|
3,130
|
2,522
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (h)
|
1,525
|
1,217
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (h)
|
2,540
|
2,094
|
Huarong Finance 2017 Co. Ltd. (China) 4.25%, 11/7/2027 (a)
|
880
|
783
|
Morgan Stanley
|
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (h)
|
2,660
|
2,412
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (h)
|
288
|
277
|
3.59%, 7/22/2028 (d)
|
2,210
|
2,069
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (h)
|
4,130
|
4,065
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (h)
|
760
|
747
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (h)
|
2,860
|
2,849
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (h)
|
1,560
|
1,317
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (h)
|
159
|
126
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (h)
|
940
|
912
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Capital Markets — continued
|
||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (h)
|
405
|
393
|
UBS Group AG (Switzerland)
|
|
|
4.28%, 1/9/2028 (b)
|
2,840
|
2,684
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (b) (e) (f) (g) (h)
|
365
|
381
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (b) (e) (f) (g) (h)
|
375
|
398
|
(SOFR + 5.02%), 9.02%, 11/15/2033 (b) (h)
|
1,455
|
1,722
|
|
|
33,925
|
Chemicals — 0.6%
|
||
Alpek SAB de CV (Mexico) 3.25%, 2/25/2031 (a)
|
1,180
|
955
|
Ashland Services BV 2.00%, 1/30/2028 (a)
|
100
|
97
|
Avient Corp. 7.13%, 8/1/2030 (b)
|
20
|
20
|
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a)
|
570
|
519
|
CF Industries, Inc.
|
|
|
4.50%, 12/1/2026 (b)
|
835
|
807
|
4.95%, 6/1/2043
|
1,313
|
1,113
|
Chemours Co. (The)
|
|
|
4.00%, 5/15/2026
|
100
|
104
|
5.75%, 11/15/2028 (b)
|
230
|
208
|
Element Solutions, Inc. 3.88%, 9/1/2028 (b)
|
136
|
121
|
Herens Midco SARL (Luxembourg) 5.25%, 5/15/2029 (b)
|
138
|
84
|
INEOS Finance plc (Luxembourg) 2.13%, 11/15/2025 (a)
|
300
|
314
|
INEOS Styrolution Ludwigshafen GmbH (United Kingdom) 2.25%, 1/16/2027 (a)
|
100
|
97
|
Lune Holdings SARL (France) 5.63%, 11/15/2028 (b)
|
244
|
209
|
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (b)
|
73
|
66
|
OCP SA (Morocco) 6.88%, 4/25/2044 (a)
|
390
|
353
|
Scotts Miracle-Gro Co. (The)
|
|
|
4.50%, 10/15/2029
|
365
|
311
|
4.38%, 2/1/2032
|
115
|
91
|
Solvay SA (Belgium) (EUR Swap Annual 5 Year + 2.98%), 2.50%, 12/2/2025 (a) (f) (g) (h)
|
200
|
203
|
Synthomer plc (United Kingdom) 3.88%, 7/1/2025 (a)
|
100
|
107
|
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (b)
|
12
|
10
|
|
|
5,789
|
Commercial Services & Supplies — 0.3%
|
||
ACCO Brands Corp. 4.25%, 3/15/2029 (b)
|
580
|
502
|
APi Group DE, Inc.
|
|
|
4.13%, 7/15/2029 (b)
|
60
|
52
|
4.75%, 10/15/2029 (b)
|
27
|
24
|
Brink's Co. (The) 4.63%, 10/15/2027 (b)
|
225
|
211
|
Elis SA (France) 2.88%, 2/15/2026 (a)
|
200
|
212
|
GFL Environmental, Inc. (Canada)
|
|
|
4.00%, 8/1/2028 (b)
|
130
|
116
|
4.75%, 6/15/2029 (b)
|
120
|
110
|
Interface, Inc. 5.50%, 12/1/2028 (b)
|
55
|
50
|
Paprec Holding SA (France) 3.50%, 7/1/2028 (b)
|
164
|
164
|
Q-Park Holding I BV (Netherlands) 1.50%, 3/1/2025 (a)
|
100
|
106
|
SPIE SA (France) 2.63%, 6/18/2026 (a)
|
200
|
209
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Commercial Services & Supplies — continued
|
||
Techem Verwaltungsgesellschaft 674 mbH (Germany) 6.00%, 7/30/2026 (a)
|
246
|
264
|
Verisure Holding AB (Sweden) 3.25%, 2/15/2027 (a)
|
350
|
355
|
Verisure Midholding AB (Sweden)
|
|
|
5.25%, 2/15/2029 (a)
|
150
|
149
|
5.25%, 2/15/2029 (b)
|
119
|
118
|
|
|
2,642
|
Communications Equipment — 0.1%
|
||
CommScope, Inc. 6.00%, 3/1/2026 (b)
|
525
|
450
|
Construction & Engineering — 0.2%
|
||
Dycom Industries, Inc. 4.50%, 4/15/2029 (b)
|
60
|
54
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (b)
|
25
|
21
|
Heathrow Funding Ltd. (United Kingdom)
|
|
|
1.13%, 10/8/2030 (a)
|
1,400
|
1,256
|
5.88%, 5/13/2041 (a)
|
500
|
625
|
|
|
1,956
|
Construction Materials — 0.1%
|
||
Cemex SAB de CV (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 5
Year + 4.53%), 5.13%, 6/8/2026 (b) (f)
(g) (h)
|
1,054
|
984
|
Consumer Finance — 1.5%
|
||
AerCap Ireland Capital DAC (Ireland)
|
|
|
1.65%, 10/29/2024
|
510
|
489
|
1.75%, 1/30/2026
|
1,030
|
942
|
2.45%, 10/29/2026
|
400
|
364
|
5.75%, 6/6/2028
|
750
|
747
|
3.30%, 1/30/2032
|
985
|
816
|
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
|
330
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
3.95%, 7/1/2024 (b)
|
1,995
|
1,961
|
2.88%, 2/15/2025 (b)
|
890
|
850
|
5.50%, 1/15/2026 (b)
|
270
|
265
|
2.13%, 2/21/2026 (b)
|
100
|
91
|
4.25%, 4/15/2026 (b)
|
610
|
580
|
4.38%, 5/1/2026 (b)
|
460
|
438
|
3.25%, 2/15/2027 (b)
|
255
|
231
|
2.75%, 2/21/2028 (b)
|
95
|
82
|
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)
|
975
|
737
|
Ford Motor Credit Co. LLC
|
|
|
2.30%, 2/10/2025
|
200
|
190
|
4.39%, 1/8/2026
|
420
|
403
|
4.27%, 1/9/2027
|
1,048
|
984
|
4.95%, 5/28/2027
|
760
|
725
|
3.63%, 6/17/2031
|
714
|
593
|
OneMain Finance Corp.
|
|
|
7.13%, 3/15/2026
|
60
|
61
|
4.00%, 9/15/2030
|
15
|
12
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Consumer Finance — continued
|
||
Volkswagen International Finance NV (Germany)
|
|
|
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (f) (g) (h)
|
100
|
104
|
(EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (a) (f) (g) (h)
|
1,100
|
1,096
|
Volkswagen Leasing GmbH (Germany) 0.50%, 1/12/2029 (a)
|
1,400
|
1,281
|
|
|
14,372
|
Consumer Staples Distribution & Retail — 0.1%
|
||
Albertsons Cos., Inc. 4.63%, 1/15/2027 (b)
|
190
|
183
|
Bellis Acquisition Co. plc (United Kingdom) 3.25%, 2/16/2026 (a)
|
200
|
230
|
Casino Guichard Perrachon SA (France) 4.50%, 3/7/2024 (a) (i)
|
200
|
1
|
Performance Food Group, Inc. 4.25%, 8/1/2029 (b)
|
95
|
85
|
Rite Aid Corp.
|
|
|
7.50%, 7/1/2025 (b) (j)
|
50
|
38
|
8.00%, 11/15/2026 (b) (j)
|
140
|
106
|
US Foods, Inc. 4.75%, 2/15/2029 (b)
|
450
|
417
|
|
|
1,060
|
Containers & Packaging — 0.3%
|
||
ARD Finance SA (Luxembourg) 5.00% (Cash), 6/30/2027 (a) (c) (d)
|
100
|
56
|
Ardagh Packaging Finance plc
|
|
|
2.13%, 8/15/2026 (a)
|
200
|
192
|
4.75%, 7/15/2027 (a)
|
100
|
90
|
5.25%, 8/15/2027 (b)
|
295
|
217
|
Ball Corp. 1.50%, 3/15/2027
|
180
|
180
|
Crown European Holdings SA 3.38%, 5/15/2025 (a)
|
240
|
258
|
Guala Closures SpA (Italy) 3.25%, 6/15/2028 (a)
|
350
|
341
|
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (b)
|
260
|
258
|
OI European Group BV 6.25%, 5/15/2028 (b)
|
126
|
141
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (b)
|
305
|
302
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (b)
|
125
|
114
|
Pro-Gest SpA (Italy) 3.25%, 12/15/2024 (a)
|
350
|
204
|
Silgan Holdings, Inc. 3.25%, 3/15/2025
|
180
|
193
|
Titan Holdings II BV (Netherlands) 5.13%, 7/15/2029 (a)
|
150
|
136
|
Trivium Packaging Finance BV (Netherlands) 3.75%, 8/15/2026 (a) (i)
|
200
|
206
|
|
|
2,888
|
Distributors — 0.0% ^
|
||
Parts Europe SA (France) 6.50%, 7/16/2025 (a)
|
100
|
109
|
Ritchie Bros Holdings, Inc. (Canada) 7.75%, 3/15/2031 (b)
|
35
|
36
|
|
|
145
|
Diversified Consumer Services — 0.0% ^
|
||
RAC Bond Co. plc (United Kingdom) 5.25%, 11/4/2027 (b)
|
168
|
179
|
Service Corp. International 3.38%, 8/15/2030
|
60
|
50
|
|
|
229
|
Diversified REITs — 0.1%
|
||
VICI Properties LP
|
|
|
3.75%, 2/15/2027 (b)
|
60
|
56
|
4.50%, 1/15/2028 (b)
|
55
|
51
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Diversified REITs — continued
|
||
WP Carey, Inc.
|
|
|
2.40%, 2/1/2031
|
180
|
145
|
2.25%, 4/1/2033
|
367
|
271
|
|
|
523
|
Diversified Telecommunication Services — 1.0%
|
||
Altice France Holding SA (Luxembourg)
|
|
|
8.00%, 5/15/2027 (a)
|
221
|
115
|
4.00%, 2/15/2028 (a)
|
200
|
83
|
Altice France SA (France)
|
|
|
5.88%, 2/1/2027 (a)
|
100
|
91
|
3.38%, 1/15/2028 (a)
|
100
|
80
|
AT&T, Inc. 3.50%, 9/15/2053
|
860
|
573
|
CCO Holdings LLC
|
|
|
5.13%, 5/1/2027 (b)
|
2,520
|
2,398
|
5.00%, 2/1/2028 (b)
|
765
|
717
|
5.38%, 6/1/2029 (b)
|
105
|
97
|
4.75%, 3/1/2030 (b)
|
210
|
184
|
4.25%, 2/1/2031 (b)
|
60
|
50
|
Cellnex Telecom SA (Spain)
|
|
|
2.88%, 4/18/2025 (a)
|
300
|
322
|
1.88%, 6/26/2029 (a)
|
300
|
289
|
eircom Finance DAC (Ireland)
|
|
|
3.50%, 5/15/2026 (a)
|
250
|
263
|
2.63%, 2/15/2027 (a)
|
200
|
204
|
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (b)
|
50
|
47
|
Iliad Holding SASU (France) 5.63%, 10/15/2028 (b)
|
344
|
370
|
iliad SA (France) 5.38%, 6/14/2027 (a)
|
200
|
220
|
Infrastrutture Wireless Italiane SpA (Italy) 1.88%, 7/8/2026 (a)
|
300
|
308
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (b)
|
200
|
185
|
Kaixo Bondco Telecom SA (Spain) 5.13%, 9/30/2029 (a)
|
175
|
174
|
Level 3 Financing, Inc. 4.25%, 7/1/2028 ‡ (b)
|
50
|
28
|
Lorca Telecom Bondco SA (Spain)
|
|
|
4.00%, 9/18/2027 (b)
|
100
|
103
|
4.00%, 9/18/2027 (a)
|
200
|
207
|
Lumen Technologies, Inc.
|
|
|
5.13%, 12/15/2026 (b)
|
185
|
91
|
4.00%, 2/15/2027 (b)
|
140
|
74
|
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034
|
131
|
118
|
Telecom Italia Finance SA (Italy) 7.75%, 1/24/2033
|
140
|
172
|
Telecom Italia SpA (Italy)
|
|
|
2.88%, 1/28/2026 (a)
|
200
|
208
|
3.63%, 5/25/2026 (a)
|
200
|
211
|
2.38%, 10/12/2027 (a)
|
450
|
443
|
Telefonica Emisiones SA (Spain) 5.21%, 3/8/2047
|
700
|
601
|
Virgin Media Finance plc (United Kingdom) 3.75%, 7/15/2030 (a)
|
210
|
194
|
|
|
9,220
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — 3.0%
|
||
Alfa Desarrollo SpA (Chile) 4.55%, 9/27/2051 (b)
|
935
|
672
|
ContourGlobal Power Holdings SA (United Kingdom) 2.75%, 1/1/2026 (a)
|
200
|
203
|
Duke Energy Indiana LLC 5.40%, 4/1/2053
|
125
|
118
|
Duke Energy Ohio, Inc. 5.65%, 4/1/2053
|
44
|
43
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b)
|
540
|
411
|
EDP - Energias de Portugal SA (Portugal)
|
|
|
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (h)
|
600
|
615
|
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (a) (h)
|
1,500
|
1,420
|
Electricite de France SA (France)
|
|
|
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/4/2024 (a) (f) (g) (h)
|
100
|
107
|
(EUR Swap Annual 12 Year + 3.04%), 5.00%, 1/22/2026 (a) (f) (g) (h)
|
300
|
319
|
5.70%, 5/23/2028 (b)
|
245
|
248
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (f) (g) (h)
|
200
|
181
|
Emera US Finance LP (Canada) 2.64%, 6/15/2031
|
1,964
|
1,550
|
Emera, Inc. (Canada) Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (h)
|
1,058
|
1,023
|
Enel Finance International NV (Italy)
|
|
|
3.50%, 4/6/2028 (b)
|
1,135
|
1,042
|
2.25%, 7/12/2031 (b)
|
316
|
246
|
5.00%, 6/15/2032 (b)
|
580
|
544
|
Enel SpA (Italy) (EUR Swap Annual 5 Year + 2.68%), 2.25%, 12/10/2026 (a) (f) (g) (h)
|
1,800
|
1,758
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
385
|
300
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
832
|
766
|
FirstEnergy Transmission LLC
|
|
|
2.87%, 9/15/2028 (b)
|
1,540
|
1,362
|
4.55%, 4/1/2049 (b)
|
663
|
536
|
Iberdrola International BV (Spain) (EUR Swap Annual 5 Year + 2.06%), 2.63%, 1/8/2024 (a) (f) (g) (h)
|
1,700
|
1,836
|
ITC Holdings Corp. 2.95%, 5/14/2030 (b)
|
1,855
|
1,581
|
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (b)
|
771
|
624
|
Metropolitan Edison Co. 5.20%, 4/1/2028 (b)
|
390
|
385
|
MidAmerican Energy Co. 4.25%, 5/1/2046
|
350
|
286
|
NRG Energy, Inc.
|
|
|
3.75%, 6/15/2024 (b)
|
990
|
976
|
3.38%, 2/15/2029 (b)
|
165
|
141
|
5.25%, 6/15/2029 (b)
|
90
|
84
|
Pacific Gas and Electric Co.
|
|
|
2.95%, 3/1/2026
|
360
|
336
|
6.15%, 1/15/2033
|
1,430
|
1,424
|
6.40%, 6/15/2033
|
1,270
|
1,285
|
4.60%, 6/15/2043
|
250
|
189
|
PacifiCorp 3.30%, 3/15/2051
|
493
|
300
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia) 4.38%, 2/5/2050 (a)
|
366
|
269
|
PG&E Corp. 5.00%, 7/1/2028
|
250
|
238
|
PPL Capital Funding, Inc. Series A, (3-MONTH CME TERM SOFR + 2.93%), 8.32%, 3/30/2067 (h)
|
661
|
595
|
Southern California Edison Co.
|
|
|
Series B, 3.65%, 3/1/2028
|
1,220
|
1,141
|
Series 13-A, 3.90%, 3/15/2043
|
214
|
162
|
3.65%, 2/1/2050
|
484
|
342
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Electric Utilities — continued
|
||
Union Electric Co. 3.90%, 4/1/2052
|
260
|
197
|
Vistra Operations Co. LLC
|
|
|
3.55%, 7/15/2024 (b)
|
688
|
674
|
3.70%, 1/30/2027 (b)
|
1,031
|
959
|
4.38%, 5/1/2029 (b)
|
192
|
173
|
4.30%, 7/15/2029 (b)
|
1,550
|
1,406
|
|
|
29,067
|
Electrical Equipment — 0.0% ^
|
||
Energizer Gamma Acquisition BV 3.50%, 6/30/2029 (a)
|
150
|
137
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
Belden, Inc. 3.88%, 3/15/2028 (a)
|
280
|
289
|
Coherent Corp. 5.00%, 12/15/2029 (b)
|
431
|
390
|
Sensata Technologies, Inc. 3.75%, 2/15/2031 (b)
|
175
|
148
|
|
|
827
|
Energy Equipment & Services — 0.1%
|
||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (b)
|
787
|
691
|
Precision Drilling Corp. (Canada) 6.88%, 1/15/2029 (b)
|
50
|
47
|
Saipem Finance International BV (Italy) 2.63%, 1/7/2025 (a)
|
100
|
106
|
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (b)
|
45
|
46
|
Vallourec SA (France) 8.50%, 6/30/2026 (a)
|
300
|
327
|
|
|
1,217
|
Entertainment — 0.7%
|
||
Banijay Entertainment SASU (France) 7.00%, 5/1/2029 (b)
|
119
|
132
|
Cinemark USA, Inc. 5.88%, 3/15/2026 (b)
|
150
|
145
|
Live Nation Entertainment, Inc.
|
|
|
6.50%, 5/15/2027 (b)
|
70
|
70
|
4.75%, 10/15/2027 (b)
|
150
|
141
|
Netflix, Inc.
|
|
|
4.88%, 4/15/2028
|
808
|
801
|
5.38%, 11/15/2029 (b)
|
1,351
|
1,360
|
Take-Two Interactive Software, Inc.
|
|
|
3.55%, 4/14/2025
|
180
|
175
|
3.70%, 4/14/2027
|
660
|
629
|
Warnermedia Holdings, Inc.
|
|
|
4.28%, 3/15/2032
|
1,372
|
1,210
|
5.05%, 3/15/2042
|
2,100
|
1,734
|
WMG Acquisition Corp.
|
|
|
2.75%, 7/15/2028 (a)
|
100
|
101
|
3.00%, 2/15/2031 (b)
|
40
|
33
|
2.25%, 8/15/2031 (b)
|
110
|
100
|
|
|
6,631
|
Financial Services — 0.4%
|
||
EDP Finance BV (Portugal) 3.63%, 7/15/2024 (b)
|
2,150
|
2,118
|
Global Payments, Inc.
|
|
|
2.90%, 5/15/2030
|
400
|
341
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Financial Services — continued
|
||
2.90%, 11/15/2031
|
1,010
|
830
|
Nationstar Mortgage Holdings, Inc.
|
|
|
5.50%, 8/15/2028 (b)
|
120
|
111
|
5.13%, 12/15/2030 (b)
|
80
|
69
|
NCR Atleos Corp. 9.50%, 4/1/2029 (b)
|
52
|
54
|
Nexi SpA (Italy) 1.63%, 4/30/2026 (a)
|
100
|
101
|
Paysafe Finance plc 3.00%, 6/15/2029 (b)
|
169
|
155
|
|
|
3,779
|
Food Products — 0.4%
|
||
Darling Global Finance BV 3.63%, 5/15/2026 (a)
|
130
|
138
|
JBS USA LUX SA
|
|
|
6.75%, 3/15/2034 (b)
|
1,130
|
1,136
|
4.38%, 2/2/2052
|
397
|
272
|
7.25%, 11/15/2053 (b)
|
880
|
892
|
Kraft Heinz Foods Co. 4.88%, 10/1/2049
|
980
|
861
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (b)
|
200
|
179
|
Post Holdings, Inc. 5.50%, 12/15/2029 (b)
|
320
|
301
|
Sigma Holdco BV (Netherlands) 5.75%, 5/15/2026 (a)
|
200
|
184
|
|
|
3,963
|
Gas Utilities — 0.0% ^
|
||
UGI International LLC 2.50%, 12/1/2029 (b)
|
296
|
269
|
Ground Transportation — 0.2%
|
||
Avis Budget Car Rental LLC 5.75%, 7/15/2027 (b)
|
245
|
231
|
Avis Budget Finance plc 7.25%, 7/31/2030 (b)
|
252
|
278
|
Canadian Pacific Railway Co. (Canada) 3.50%, 5/1/2050
|
340
|
240
|
EC Finance plc (United Kingdom) 3.00%, 10/15/2026 (a)
|
250
|
258
|
EquipmentShare.com, Inc. 9.00%, 5/15/2028 (b)
|
105
|
103
|
Hertz Corp. (The) 4.63%, 12/1/2026 (b)
|
150
|
132
|
Loxam SAS (France)
|
|
|
3.25%, 1/14/2025 (a)
|
200
|
216
|
4.50%, 2/15/2027 (b)
|
171
|
180
|
Uber Technologies, Inc. 7.50%, 9/15/2027 (b)
|
50
|
51
|
|
|
1,689
|
Health Care Equipment & Supplies — 0.2%
|
||
Avantor Funding, Inc. 3.88%, 7/15/2028 (a)
|
400
|
412
|
Baxter International, Inc. 2.54%, 2/1/2032
|
1,980
|
1,587
|
Medline Borrower LP
|
|
|
3.88%, 4/1/2029 (b)
|
55
|
49
|
5.25%, 10/1/2029 (b)
|
95
|
86
|
Medtronic Global Holdings SCA 1.50%, 7/2/2039
|
200
|
154
|
|
|
2,288
|
Health Care Providers & Services — 1.2%
|
||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (b)
|
45
|
43
|
Cencora, Inc. 2.70%, 3/15/2031
|
3,548
|
2,979
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Health Care Providers & Services — continued
|
||
Community Health Systems, Inc.
|
|
|
8.00%, 3/15/2026 (b)
|
175
|
169
|
5.25%, 5/15/2030 (b)
|
125
|
98
|
4.75%, 2/15/2031 (b)
|
120
|
88
|
CVS Health Corp.
|
|
|
5.25%, 2/21/2033
|
2,243
|
2,205
|
2.70%, 8/21/2040
|
690
|
461
|
DaVita, Inc. 4.63%, 6/1/2030 (b)
|
290
|
245
|
Encompass Health Corp.
|
|
|
4.50%, 2/1/2028
|
155
|
145
|
4.63%, 4/1/2031
|
250
|
219
|
HCA, Inc.
|
|
|
5.20%, 6/1/2028
|
630
|
621
|
4.13%, 6/15/2029
|
1,570
|
1,456
|
5.50%, 6/15/2047
|
66
|
59
|
5.25%, 6/15/2049
|
950
|
824
|
3.50%, 7/15/2051
|
480
|
315
|
4.63%, 3/15/2052
|
2,018
|
1,598
|
Owens & Minor, Inc. 6.63%, 4/1/2030 (b)
|
65
|
61
|
Tenet Healthcare Corp.
|
|
|
4.88%, 1/1/2026
|
60
|
59
|
5.13%, 11/1/2027
|
75
|
72
|
4.63%, 6/15/2028
|
190
|
177
|
6.75%, 5/15/2031 (b)
|
56
|
56
|
|
|
11,950
|
Health Care REITs — 0.2%
|
||
Healthpeak OP LLC 5.25%, 12/15/2032
|
1,350
|
1,304
|
Welltower OP LLC
|
|
|
2.80%, 6/1/2031
|
700
|
584
|
3.85%, 6/15/2032
|
410
|
362
|
|
|
2,250
|
Health Care Technology — 0.1%
|
||
IQVIA, Inc.
|
|
|
1.75%, 3/15/2026 (a)
|
300
|
310
|
5.00%, 10/15/2026 (b)
|
345
|
336
|
2.25%, 1/15/2028 (a)
|
300
|
299
|
|
|
945
|
Hotel & Resort REITs — 0.0% ^
|
||
RHP Hotel Properties LP 4.50%, 2/15/2029 (b)
|
65
|
59
|
Hotels, Restaurants & Leisure — 0.5%
|
||
1011778 BC ULC (Canada) 4.00%, 10/15/2030 (b)
|
220
|
190
|
888 Acquisitions Ltd. (United Kingdom) 7.56%, 7/15/2027 (b)
|
160
|
162
|
Acushnet Co. 7.38%, 10/15/2028 (b)
|
55
|
57
|
Boyne USA, Inc. 4.75%, 5/15/2029 (b)
|
360
|
326
|
Caesars Entertainment, Inc. 8.13%, 7/1/2027 (b)
|
280
|
285
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Hotels, Restaurants & Leisure — continued
|
||
Carnival Corp. 6.00%, 5/1/2029 (b)
|
70
|
64
|
Cedar Fair LP 6.50%, 10/1/2028
|
300
|
296
|
Cirsa Finance International SARL (Spain) 4.75%, 5/22/2025 (a)
|
250
|
271
|
CPUK Finance Ltd. (United Kingdom) 4.88%, 8/28/2025 (a)
|
200
|
241
|
eDreams ODIGEO SA (Spain) 5.50%, 7/15/2027 (b)
|
183
|
191
|
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (a)
|
970
|
914
|
International Game Technology plc
|
|
|
3.50%, 6/15/2026 (a)
|
250
|
266
|
2.38%, 4/15/2028 (a)
|
160
|
158
|
Lottomatica SpA (Italy) 7.13%, 6/1/2028 (b)
|
165
|
187
|
MGM Resorts International 5.50%, 4/15/2027
|
40
|
39
|
Pinnacle Bidco plc (United Kingdom) 8.25%, 10/11/2028 (b)
|
164
|
179
|
Punch Finance plc (United Kingdom) 6.13%, 6/30/2026 (a)
|
200
|
225
|
Royal Caribbean Cruises Ltd.
|
|
|
11.63%, 8/15/2027 (b)
|
110
|
119
|
8.25%, 1/15/2029 (b)
|
15
|
16
|
9.25%, 1/15/2029 (b)
|
110
|
117
|
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (b)
|
240
|
229
|
Vail Resorts, Inc. 6.25%, 5/15/2025 (b)
|
90
|
90
|
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (b)
|
160
|
144
|
|
|
4,766
|
Household Durables — 0.1%
|
||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (b)
|
140
|
135
|
Newell Brands, Inc.
|
|
|
5.20%, 4/1/2026 (i)
|
95
|
92
|
6.63%, 9/15/2029
|
30
|
29
|
6.50%, 4/1/2046 (i)
|
50
|
40
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (b)
|
205
|
178
|
Versuni Group BV (Netherlands) 3.13%, 6/15/2028 (b)
|
100
|
92
|
|
|
566
|
Household Products — 0.1%
|
||
Central Garden & Pet Co. 5.13%, 2/1/2028
|
80
|
76
|
Energizer Holdings, Inc. 4.75%, 6/15/2028 (b)
|
420
|
375
|
Spectrum Brands, Inc.
|
|
|
4.00%, 10/1/2026 (a)
|
100
|
107
|
5.50%, 7/15/2030 (b)
|
479
|
447
|
|
|
1,005
|
Independent Power and Renewable Electricity Producers — 0.3%
|
||
AES Corp. (The)
|
|
|
3.30%, 7/15/2025 (b)
|
497
|
475
|
3.95%, 7/15/2030 (b)
|
768
|
683
|
Constellation Energy Generation LLC
|
|
|
5.80%, 3/1/2033
|
760
|
764
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Independent Power and Renewable Electricity Producers — continued
|
||
5.60%, 6/15/2042
|
770
|
720
|
6.50%, 10/1/2053
|
400
|
418
|
|
|
3,060
|
Industrial Conglomerates — 0.0% ^
|
||
General Electric Co. 4.13%, 9/19/2035 (a)
|
262
|
289
|
Insurance — 0.5%
|
||
Assicurazioni Generali SpA (Italy) (EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (h)
|
400
|
443
|
Cloverie plc for Zurich Insurance Co. Ltd. (Switzerland) (3-MONTH SOFR + 4.92%), 5.63%,
6/24/2046 (a) (h)
|
1,770
|
1,717
|
MetLife, Inc.
|
|
|
6.40%, 12/15/2036
|
1,340
|
1,317
|
9.25%, 4/8/2038 (b)
|
380
|
421
|
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b)
|
620
|
562
|
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
|
187
|
|
|
4,647
|
Interactive Media & Services — 0.1%
|
||
Meta Platforms, Inc.
|
|
|
4.45%, 8/15/2052
|
399
|
341
|
5.60%, 5/15/2053
|
377
|
383
|
TripAdvisor, Inc. 7.00%, 7/15/2025 (b)
|
128
|
129
|
|
|
853
|
IT Services — 0.0% ^
|
||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (b)
|
68
|
58
|
Conduent Business Services LLC 6.00%, 11/1/2029 (b)
|
155
|
129
|
Gartner, Inc. 3.75%, 10/1/2030 (b)
|
75
|
66
|
Presidio Holdings, Inc.
|
|
|
4.88%, 2/1/2027 (b)
|
126
|
122
|
8.25%, 2/1/2028 (b)
|
25
|
24
|
|
|
399
|
Leisure Products — 0.0% ^
|
||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (b)
|
200
|
189
|
Life Sciences Tools & Services — 0.2%
|
||
Danaher Corp. 2.80%, 12/10/2051
|
2,205
|
1,399
|
Machinery — 0.1%
|
||
Chart Industries, Inc. 7.50%, 1/1/2030 (b)
|
50
|
51
|
Renk AG (Germany) 5.75%, 7/15/2025 (a)
|
200
|
215
|
TK Elevator Midco GmbH (Germany) 4.38%, 7/15/2027 (a)
|
130
|
134
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (b)
|
35
|
36
|
Wabash National Corp. 4.50%, 10/15/2028 (b)
|
410
|
350
|
|
|
786
|
Media — 1.2%
|
||
Altice Financing SA (Luxembourg) 2.25%, 1/15/2025 (a)
|
200
|
210
|
Altice Finco SA (Luxembourg) 4.75%, 1/15/2028 (a)
|
150
|
126
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Media — continued
|
||
Charter Communications Operating LLC
|
|
|
2.25%, 1/15/2029
|
765
|
645
|
2.80%, 4/1/2031
|
410
|
333
|
3.50%, 6/1/2041
|
1,730
|
1,157
|
5.38%, 5/1/2047
|
958
|
775
|
3.70%, 4/1/2051
|
2,082
|
1,288
|
3.90%, 6/1/2052
|
1,038
|
664
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
5.13%, 8/15/2027 (b)
|
235
|
217
|
7.75%, 4/15/2028 (b)
|
200
|
164
|
7.50%, 6/1/2029 (b)
|
60
|
47
|
Comcast Corp.
|
|
|
2.80%, 1/15/2051
|
1,900
|
1,190
|
5.35%, 5/15/2053
|
1,410
|
1,361
|
2.99%, 11/1/2063
|
764
|
454
|
CSC Holdings LLC
|
|
|
5.25%, 6/1/2024
|
40
|
38
|
5.38%, 2/1/2028 (b)
|
200
|
170
|
7.50%, 4/1/2028 (b)
|
200
|
137
|
Discovery Communications LLC
|
|
|
3.63%, 5/15/2030
|
100
|
88
|
4.65%, 5/15/2050
|
450
|
340
|
DISH DBS Corp.
|
|
|
5.88%, 11/15/2024
|
65
|
57
|
5.25%, 12/1/2026 (b)
|
440
|
354
|
5.75%, 12/1/2028 (b)
|
90
|
67
|
DISH Network Corp. 11.75%, 11/15/2027 (b)
|
415
|
412
|
Gannett Holdings LLC 6.00%, 11/1/2026 (b)
|
50
|
44
|
GCI LLC 4.75%, 10/15/2028 (b)
|
200
|
180
|
iHeartCommunications, Inc.
|
|
|
6.38%, 5/1/2026
|
100
|
85
|
8.38%, 5/1/2027
|
30
|
21
|
5.25%, 8/15/2027 (b)
|
100
|
77
|
Outfront Media Capital LLC 5.00%, 8/15/2027 (b)
|
85
|
80
|
Scripps Escrow II, Inc.
|
|
|
3.88%, 1/15/2029 (b)
|
40
|
34
|
5.38%, 1/15/2031 (b)
|
25
|
17
|
Sirius XM Radio, Inc. 4.00%, 7/15/2028 (b)
|
90
|
80
|
Stagwell Global LLC 5.63%, 8/15/2029 (b)
|
89
|
78
|
Summer BC Holdco A SARL (Luxembourg) 9.25%, 10/31/2027 (a)
|
90
|
83
|
Summer BC Holdco B SARL (Luxembourg) 5.75%, 10/31/2026 (a)
|
100
|
103
|
Univision Communications, Inc. 4.50%, 5/1/2029 (b)
|
75
|
66
|
Virgin Media Vendor Financing Notes III DAC (United Kingdom) 4.88%, 7/15/2028 (a)
|
100
|
110
|
Ziggo Bond Co. BV (Netherlands) 3.38%, 2/28/2030 (a)
|
370
|
317
|
|
|
11,669
|
Metals & Mining — 1.0%
|
||
Anglo American Capital plc (South Africa) 5.50%, 5/2/2033 (b)
|
2,640
|
2,556
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Metals & Mining — continued
|
||
ATI, Inc. 4.88%, 10/1/2029
|
43
|
38
|
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (b)
|
285
|
256
|
Constellium SE 4.25%, 2/15/2026 (a)
|
100
|
108
|
Freeport-McMoRan, Inc.
|
|
|
4.25%, 3/1/2030
|
1,587
|
1,448
|
4.63%, 8/1/2030
|
820
|
762
|
5.40%, 11/14/2034
|
818
|
776
|
Glencore Funding LLC (Australia) 6.38%, 10/6/2030 (b)
|
1,875
|
1,939
|
Indonesia Asahan Aluminium PT (Indonesia) 5.45%, 5/15/2030 (b)
|
830
|
805
|
Nexa Resources SA (Brazil) 5.38%, 5/4/2027 (a)
|
1,120
|
1,051
|
Novelis Sheet Ingot GmbH 3.38%, 4/15/2029 (a)
|
200
|
195
|
thyssenkrupp AG (Germany) 2.88%, 2/22/2024 (a)
|
100
|
108
|
United States Steel Corp. 6.88%, 3/1/2029
|
31
|
31
|
|
|
10,073
|
Multi-Utilities — 0.3%
|
||
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053
|
151
|
124
|
CenterPoint Energy, Inc. 2.95%, 3/1/2030
|
1,015
|
872
|
NGG Finance plc (United Kingdom) (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (h)
|
518
|
498
|
San Diego Gas & Electric Co. Series UUU, 3.32%, 4/15/2050
|
200
|
133
|
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031
|
482
|
376
|
Veolia Environnement SA (France) (EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (a) (f) (g) (h)
|
900
|
885
|
|
|
2,888
|
Office REITs — 0.0% ^
|
||
Kilroy Realty LP 2.50%, 11/15/2032
|
410
|
288
|
Oil, Gas & Consumable Fuels — 3.2%
|
||
Aker BP ASA (Norway) 6.00%, 6/13/2033 (b)
|
825
|
826
|
Antero Midstream Partners LP
|
|
|
5.75%, 3/1/2027 (b)
|
40
|
39
|
5.75%, 1/15/2028 (b)
|
175
|
169
|
Antero Resources Corp. 8.38%, 7/15/2026 (b)
|
25
|
26
|
Ascent Resources Utica Holdings LLC 7.00%, 11/1/2026 (b)
|
15
|
15
|
BP Capital Markets America, Inc. 4.81%, 2/13/2033
|
2,050
|
1,990
|
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
|
1,148
|
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (a) (f) (g) (h)
|
2,700
|
2,793
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (f) (g) (h)
|
1,716
|
1,542
|
California Resources Corp. 7.13%, 2/1/2026 (b)
|
34
|
34
|
Cheniere Energy Partners LP
|
|
|
4.50%, 10/1/2029
|
2,380
|
2,220
|
5.95%, 6/30/2033 (b)
|
1,625
|
1,612
|
Chesapeake Energy Corp. 6.75%, 4/15/2029 (b)
|
440
|
438
|
Chevron USA, Inc. 2.34%, 8/12/2050
|
200
|
120
|
Chord Energy Corp. 6.38%, 6/1/2026 (b)
|
25
|
25
|
Civitas Resources, Inc.
|
|
|
8.38%, 7/1/2028 (b)
|
65
|
67
|
8.75%, 7/1/2031 (b)
|
65
|
67
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
Columbia Pipelines Operating Co. LLC
|
|
|
5.93%, 8/15/2030 (b)
|
2,455
|
2,465
|
6.04%, 11/15/2033 (b)
|
655
|
661
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (b)
|
415
|
382
|
Ecopetrol SA (Colombia)
|
|
|
6.88%, 4/29/2030
|
630
|
595
|
7.38%, 9/18/2043
|
550
|
468
|
Enbridge, Inc. (Canada) Series NC5, (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 3.79%), 8.25%,
1/15/2084 (h)
|
2,220
|
2,216
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (b)
|
55
|
54
|
Energian Israel Finance Ltd. (Israel)
|
|
|
4.88%, 3/30/2026 (a)
|
312
|
285
|
5.38%, 3/30/2028 (a)
|
1,375
|
1,195
|
Energy Transfer LP 7.38%, 2/1/2031 (b)
|
105
|
108
|
Eni SpA (Italy) 4.25%, 5/9/2029 (b)
|
910
|
863
|
Exxon Mobil Corp. 3.00%, 8/16/2039
|
670
|
508
|
Genesis Energy LP 8.00%, 1/15/2027
|
75
|
75
|
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b)
|
280
|
262
|
Greenko Dutch BV (India) 3.85%, 3/29/2026 (b)
|
1,107
|
1,013
|
Greenko Power II Ltd. (India) 4.30%, 12/13/2028 (b)
|
754
|
665
|
Gulfport Energy Corp. 8.00%, 5/17/2026 (b)
|
23
|
23
|
Hess Midstream Operations LP 5.13%, 6/15/2028 (b)
|
105
|
101
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (b)
|
65
|
61
|
KazMunayGas National Co. JSC (Kazakhstan) 5.75%, 4/19/2047 (a)
|
998
|
793
|
Kinetik Holdings LP 5.88%, 6/15/2030 (b)
|
40
|
38
|
Leviathan Bond Ltd. (Israel)
|
|
|
6.13%, 6/30/2025 (a)
|
372
|
359
|
6.50%, 6/30/2027 (a)
|
863
|
808
|
6.75%, 6/30/2030 (a)
|
232
|
211
|
NGL Energy Operating LLC 7.50%, 2/1/2026 (b)
|
64
|
64
|
NuStar Logistics LP 5.63%, 4/28/2027
|
65
|
64
|
Occidental Petroleum Corp. 8.88%, 7/15/2030
|
50
|
57
|
Petroleos Mexicanos (Mexico) 6.88%, 8/4/2026
|
2,040
|
1,917
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
220
|
208
|
SM Energy Co. 6.63%, 1/15/2027
|
55
|
54
|
Southwestern Energy Co. 5.38%, 3/15/2030
|
60
|
57
|
Summit Midstream Holdings LLC 9.00%, 10/15/2026 (b) (i)
|
105
|
104
|
Tallgrass Energy Partners LP
|
|
|
7.50%, 10/1/2025 (b)
|
210
|
211
|
6.00%, 9/1/2031 (b)
|
100
|
90
|
Targa Resources Partners LP 5.00%, 1/15/2028
|
130
|
126
|
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050
|
310
|
213
|
Transcanada Trust (Canada) Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (h)
|
810
|
758
|
Venture Global LNG, Inc.
|
|
|
8.13%, 6/1/2028 (b)
|
38
|
38
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Oil, Gas & Consumable Fuels — continued
|
||
9.50%, 2/1/2029 (b)
|
41
|
42
|
9.88%, 2/1/2032 (b)
|
24
|
25
|
|
|
31,368
|
Paper & Forest Products — 0.1%
|
||
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029
|
1,200
|
1,189
|
Passenger Airlines — 0.2%
|
||
American Airlines, Inc. 5.50%, 4/20/2026 (b)
|
63
|
61
|
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
1,541
|
1,499
|
Deutsche Lufthansa AG (Germany) 3.00%, 5/29/2026 (a)
|
600
|
628
|
VistaJet Malta Finance plc (Switzerland) 9.50%, 6/1/2028 (b)
|
30
|
25
|
|
|
2,213
|
Personal Care Products — 0.1%
|
||
Coty, Inc.
|
|
|
3.88%, 4/15/2026 (a)
|
200
|
215
|
4.75%, 1/15/2029 (b)
|
100
|
93
|
Edgewell Personal Care Co.
|
|
|
5.50%, 6/1/2028 (b)
|
205
|
195
|
4.13%, 4/1/2029 (b)
|
255
|
225
|
Ontex Group NV (Belgium) 3.50%, 7/15/2026 (a)
|
200
|
205
|
Prestige Brands, Inc. 5.13%, 1/15/2028 (b)
|
135
|
128
|
|
|
1,061
|
Pharmaceuticals — 0.4%
|
||
Bausch Health Cos., Inc.
|
|
|
5.50%, 11/1/2025 (b)
|
320
|
279
|
5.00%, 1/30/2028 (b)
|
90
|
33
|
6.25%, 2/15/2029 (b)
|
570
|
203
|
5.25%, 1/30/2030 (b)
|
120
|
43
|
Catalent Pharma Solutions, Inc.
|
|
|
5.00%, 7/15/2027 (b)
|
40
|
38
|
2.38%, 3/1/2028 (a)
|
100
|
92
|
3.13%, 2/15/2029 (b)
|
45
|
38
|
Cheplapharm Arzneimittel GmbH (Germany) 3.50%, 2/11/2027 (a)
|
300
|
308
|
Nidda BondCo GmbH (Germany) 7.25%, 9/30/2025 (a)
|
68
|
73
|
Nidda Healthcare Holding GmbH (Germany) 7.50%, 8/21/2026 (a)
|
400
|
444
|
Organon & Co.
|
|
|
2.88%, 4/30/2028 (a)
|
300
|
289
|
4.13%, 4/30/2028 (b)
|
310
|
275
|
Rossini SARL (Italy) 6.75%, 10/30/2025 (a)
|
120
|
131
|
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040
|
1,930
|
1,394
|
|
|
3,640
|
Professional Services — 0.0% ^
|
||
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (b)
|
205
|
185
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Real Estate Management & Development — 0.1%
|
||
Country Garden Holdings Co. Ltd. (China)
|
|
|
3.13%, 10/22/2025 (a)
|
1,072
|
91
|
7.25%, 4/8/2026 (a)
|
1,540
|
131
|
Longfor Group Holdings Ltd. (China) 4.50%, 1/16/2028 (a)
|
540
|
303
|
|
|
525
|
Retail REITs — 0.0% ^
|
||
Regency Centers LP 2.95%, 9/15/2029
|
320
|
279
|
Semiconductors & Semiconductor Equipment — 0.7%
|
||
Amkor Technology, Inc. 6.63%, 9/15/2027 (b)
|
5
|
5
|
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (b)
|
150
|
153
|
Broadcom, Inc.
|
|
|
3.42%, 4/15/2033 (b)
|
1,675
|
1,408
|
3.47%, 4/15/2034 (b)
|
1,515
|
1,260
|
Entegris Escrow Corp. 5.95%, 6/15/2030 (b)
|
200
|
193
|
Entegris, Inc. 4.38%, 4/15/2028 (b)
|
90
|
84
|
NXP BV (China)
|
|
|
2.50%, 5/11/2031
|
3,495
|
2,831
|
5.00%, 1/15/2033
|
565
|
538
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (b)
|
153
|
138
|
Synaptics, Inc. 4.00%, 6/15/2029 (b)
|
25
|
22
|
Texas Instruments, Inc. 5.00%, 3/14/2053
|
140
|
134
|
|
|
6,766
|
Software — 0.4%
|
||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b)
|
255
|
221
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (b)
|
150
|
135
|
Elastic NV 4.13%, 7/15/2029 (b)
|
90
|
80
|
Intuit, Inc. 5.50%, 9/15/2053
|
95
|
97
|
NCR Voyix Corp. 5.00%, 10/1/2028 (b)
|
315
|
287
|
Oracle Corp.
|
|
|
6.90%, 11/9/2052
|
673
|
751
|
5.55%, 2/6/2053
|
1,697
|
1,600
|
RingCentral, Inc. 8.50%, 8/15/2030 (b)
|
85
|
85
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (b)
|
205
|
198
|
TeamSystem SpA (Italy) 3.50%, 2/15/2028 (a)
|
200
|
192
|
|
|
3,646
|
Specialized REITs — 0.2%
|
||
Crown Castle, Inc.
|
|
|
4.80%, 9/1/2028
|
740
|
715
|
3.30%, 7/1/2030
|
75
|
65
|
2.50%, 7/15/2031
|
1,695
|
1,362
|
Iron Mountain, Inc. 5.25%, 3/15/2028 (b)
|
100
|
95
|
|
|
2,237
|
Specialty Retail — 0.2%
|
||
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (b)
|
72
|
65
|
Douglas GmbH (Germany) 6.00%, 4/8/2026 (b)
|
275
|
291
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Specialty Retail — continued
|
||
Dufry One BV (Switzerland) 2.50%, 10/15/2024 (a)
|
100
|
107
|
Gap, Inc. (The) 3.63%, 10/1/2029 (b)
|
75
|
62
|
PetSmart, Inc.
|
|
|
4.75%, 2/15/2028 (b)
|
350
|
320
|
7.75%, 2/15/2029 (b)
|
300
|
283
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b)
|
150
|
132
|
SRS Distribution, Inc. 4.63%, 7/1/2028 (b)
|
65
|
59
|
Staples, Inc. 7.50%, 4/15/2026 (b)
|
230
|
203
|
|
|
1,522
|
Technology Hardware, Storage & Peripherals — 0.0% ^
|
||
Seagate HDD Cayman
|
|
|
4.09%, 6/1/2029
|
92
|
83
|
8.25%, 12/15/2029 (b)
|
31
|
33
|
8.50%, 7/15/2031 (b)
|
7
|
7
|
|
|
123
|
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
Birkenstock Financing Sarl (Germany) 5.25%, 4/30/2029 (a)
|
200
|
213
|
Hanesbrands, Inc. 9.00%, 2/15/2031 (b)
|
35
|
33
|
|
|
246
|
Tobacco — 0.6%
|
||
BAT Capital Corp. (United Kingdom)
|
|
|
2.26%, 3/25/2028
|
2,710
|
2,374
|
6.34%, 8/2/2030
|
1,260
|
1,294
|
7.08%, 8/2/2043
|
1,690
|
1,720
|
|
|
5,388
|
Trading Companies & Distributors — 0.2%
|
||
Air Lease Corp. 3.25%, 10/1/2029
|
1,170
|
1,026
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (b)
|
110
|
107
|
Imola Merger Corp. 4.75%, 5/15/2029 (b)
|
80
|
73
|
United Rentals North America, Inc. 3.88%, 2/15/2031
|
90
|
78
|
WESCO Distribution, Inc. 7.13%, 6/15/2025 (b)
|
95
|
95
|
|
|
1,379
|
Transportation Infrastructure — 0.1%
|
||
Abertis Infraestructuras Finance BV (Spain)
|
|
|
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (f) (g) (h)
|
300
|
306
|
(EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (a) (f) (g) (h)
|
200
|
190
|
Mundys SpA (Italy)
|
|
|
1.88%, 7/13/2027 (a)
|
100
|
99
|
1.88%, 2/12/2028 (a)
|
200
|
192
|
|
|
787
|
Wireless Telecommunication Services — 0.6%
|
||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
75
|
59
|
Matterhorn Telecom SA (Luxembourg) 3.13%, 9/15/2026 (a)
|
270
|
282
|
PLT VII Finance SARL (Luxembourg) 4.63%, 1/5/2026 (a)
|
350
|
374
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Corporate Bonds — continued
|
||
Wireless Telecommunication Services — continued
|
||
Telefonica Europe BV (Spain)
|
|
|
Series NC5, (EUR Swap Annual 5 Year + 2.45%), 3.00%, 12/4/2023 (a) (f) (g) (h)
|
100
|
109
|
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (a) (f) (g) (h)
|
600
|
639
|
T-Mobile USA, Inc.
|
|
|
2.63%, 2/15/2029
|
177
|
156
|
3.38%, 4/15/2029
|
1,460
|
1,323
|
2.55%, 2/15/2031
|
433
|
359
|
2.25%, 11/15/2031
|
2,586
|
2,061
|
Vodafone Group plc (United Kingdom)
|
|
|
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (h)
|
240
|
247
|
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (h)
|
100
|
92
|
|
|
5,701
|
Total Corporate Bonds
(Cost $417,396)
|
|
383,877
|
Asset-Backed Securities — 23.6%
|
||
ACC Trust
|
|
|
Series 2021-1, Class C, 2.08%, 12/20/2024 (b)
|
129
|
127
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (b)
|
1,109
|
925
|
Accelerated LLC
|
|
|
Series 2021-1H, Class A, 1.35%, 10/20/2040 (b)
|
143
|
130
|
Series 2021-1H, Class B, 1.90%, 10/20/2040 (b)
|
190
|
172
|
Series 2021-1H, Class C, 2.35%, 10/20/2040 (b)
|
833
|
752
|
Affirm Asset Securitization Trust
|
|
|
Series 2022-A, Class 1A, 4.30%, 5/17/2027 (b)
|
1,111
|
1,090
|
Series 2023-A, Class 1A, 6.61%, 1/18/2028 (b)
|
3,085
|
3,079
|
Series 2023-B, Class A, 6.82%, 9/15/2028 (b)
|
2,692
|
2,710
|
AIMCO CLO Ltd. (Cayman Islands) Series 2019-10A, Class AR, 6.73%, 7/22/2032 (b) (d)
|
250
|
249
|
American Credit Acceptance Receivables Trust
|
|
|
Series 2021-3, Class E, 2.56%, 11/15/2027 (b)
|
2,375
|
2,259
|
Series 2021-4, Class E, 3.12%, 2/14/2028 (b)
|
1,700
|
1,612
|
Series 2023-4, Class B, 6.63%, 2/14/2028 (b)
|
2,127
|
2,139
|
Series 2022-1, Class E, 3.64%, 3/13/2028 (b)
|
2,063
|
1,922
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (b)
|
2,333
|
2,294
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (b)
|
884
|
870
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (b)
|
780
|
766
|
Series 2023-2, Class C, 5.96%, 8/13/2029 (b)
|
1,930
|
1,909
|
Series 2023-3, Class C, 6.44%, 10/12/2029 (b)
|
1,944
|
1,942
|
Series 2023-3, Class D, 6.82%, 10/12/2029 (b)
|
2,300
|
2,289
|
Series 2023-4, Class D, 7.65%, 9/12/2030 (b)
|
1,400
|
1,422
|
AmeriCredit Automobile Receivables Trust Series 2022-2, Class C, 5.32%, 4/18/2028
|
2,900
|
2,855
|
Amur Equipment Finance Receivables XI LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (b)
|
567
|
563
|
Apidos CLO (Cayman Islands)
|
|
|
Series 2018-18A, Class A1, 6.81%, 10/22/2030 (b) (d)
|
1,400
|
1,398
|
Series 2020-34A, Class A1R, 6.83%, 1/20/2035 (b) (d)
|
300
|
299
|
Applebee's Funding LLC Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (b)
|
693
|
651
|
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2004-HE7, Class M2, 7.03%,
10/25/2034 (d)
|
70
|
67
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Avis Budget Rental Car Funding AESOP LLC
|
|
|
Series 2019-2A, Class C, 4.24%, 9/22/2025 (b)
|
420
|
413
|
Series 2020-1A, Class C, 3.02%, 8/20/2026 (b)
|
2,751
|
2,573
|
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class AR, 6.79%, 4/19/2034 (b) (d)
|
1,000
|
996
|
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2021-7A, Class A1, 6.81%, 1/22/2035 (b) (d)
|
900
|
896
|
BHG Securitization Trust Series 2021-B, Class A, 0.90%, 10/17/2034 (b)
|
118
|
114
|
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025
|
301
|
300
|
Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class B, 6.80%, 8/15/2029
|
663
|
670
|
Carmax Auto Owner Trust Series 2019-4, Class D, 2.80%, 4/15/2026
|
830
|
828
|
CARS-DB5 LP Series 2021-1A, Class A2, 2.28%, 8/15/2051 (b)
|
895
|
664
|
CIFC Funding Ltd. (Cayman Islands)
|
|
|
Series 2017-3A, Class A1, 6.90%, 7/20/2030 (b) (d)
|
903
|
902
|
Series 2021-4A, Class A, 6.71%, 7/15/2033 (b) (d)
|
1,750
|
1,745
|
Commonbond Student Loan Trust
|
|
|
Series 2018-AGS, Class B, 3.58%, 2/25/2044 (b)
|
307
|
278
|
Series 2018-AGS, Class C, 3.82%, 2/25/2044 (b)
|
47
|
37
|
Conn's Receivables Funding LLC
|
|
|
Series 2021-A, Class C, 4.59%, 5/15/2026 (b)
|
803
|
802
|
Series 2022-A, Class B, 9.52%, 12/15/2026 (b)
|
1,409
|
1,415
|
Series 2023-A, Class A, 8.01%, 1/17/2028 (b)
|
701
|
702
|
Countrywide Asset-Backed Certificates
|
|
|
Series 2002-4, Class M1, 6.58%, 12/25/2032 (d)
|
360
|
353
|
Series 2004-ECC2, Class M2, 6.43%, 12/25/2034 (d)
|
43
|
44
|
Credit Acceptance Auto Loan Trust Series 2022-1A, Class C, 5.70%, 10/15/2032 (b)
|
404
|
390
|
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 6.28%, 3/25/2034 (d)
|
58
|
58
|
Dewolf Park CLO Ltd. Series 2017-1A, Class AR, 6.58%, 10/15/2030 (b) (d)
|
1,428
|
1,424
|
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I, 4.12%, 7/25/2048 (b)
|
684
|
658
|
Dryden CLO Ltd. (Cayman Islands) Series 2019-68A, Class AR, 6.83%, 7/15/2035 (b) (d)
|
3,870
|
3,860
|
Dryden Senior Loan Fund (Cayman Islands)
|
|
|
Series 2017-47A, Class A1R, 6.64%, 4/15/2028 (b) (d)
|
2,401
|
2,399
|
Series 2013-26A, Class AR, 6.56%, 4/15/2029 (b) (d)
|
886
|
884
|
Series 2014-36A, Class AR3, 6.68%, 4/15/2029 (b) (d)
|
638
|
637
|
DT Auto Owner Trust
|
|
|
Series 2020-2A, Class C, 3.28%, 3/16/2026 (b)
|
50
|
50
|
Series 2022-1A, Class D, 3.40%, 12/15/2027 (b)
|
969
|
917
|
Series 2021-2A, Class E, 2.97%, 7/17/2028 (b)
|
5,105
|
4,796
|
Series 2022-1A, Class E, 5.53%, 3/15/2029 (b)
|
1,000
|
947
|
Series 2023-3A, Class C, 6.40%, 5/15/2029 (b)
|
1,477
|
1,479
|
Exeter Automobile Receivables Trust
|
|
|
Series 2023-1A, Class B, 5.72%, 4/15/2027
|
533
|
531
|
Series 2023-1A, Class C, 5.82%, 2/15/2028
|
580
|
574
|
Series 2023-3A, Class C, 6.21%, 6/15/2028
|
2,232
|
2,230
|
Series 2023-4A, Class C, 6.51%, 8/15/2028
|
1,840
|
1,837
|
Series 2022-3A, Class D, 6.76%, 9/15/2028
|
2,100
|
2,079
|
Series 2022-4A, Class D, 5.98%, 12/15/2028
|
1,050
|
1,029
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (b)
|
1,500
|
1,342
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (b)
|
1,553
|
1,481
|
FHF Trust Series 2022-2A, Class A, 6.14%, 12/15/2027 (b)
|
1,130
|
1,120
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
First Franklin Mortgage Loan Trust Series 2004-FF5, Class A1, 6.18%, 8/25/2034 (d)
|
—
|
—
|
Flagship Credit Auto Trust
|
|
|
Series 2022-3, Class A3, 4.55%, 4/15/2027 (b)
|
1,400
|
1,384
|
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b)
|
328
|
325
|
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
|
1,957
|
Series 2022-3, Class D, 6.00%, 7/17/2028 (b)
|
500
|
488
|
Series 2021-3, Class E, 3.32%, 12/15/2028 (b)
|
1,700
|
1,362
|
FREED ABS Trust
|
|
|
Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b)
|
1,067
|
1,065
|
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (b)
|
1,700
|
1,695
|
Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.63%, 10/15/2030 (b) (d)
|
310
|
309
|
GLS Auto Receivables Issuer Trust
|
|
|
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
|
732
|
Series 2021-3A, Class D, 1.48%, 7/15/2027 (b)
|
1,075
|
993
|
Series 2020-4A, Class E, 3.51%, 10/15/2027 (b)
|
650
|
620
|
Series 2021-1A, Class E, 3.14%, 1/18/2028 (b)
|
2,700
|
2,555
|
Series 2022-2A, Class D, 6.15%, 4/17/2028 (b)
|
1,800
|
1,770
|
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
|
158
|
Series 2021-3A, Class E, 3.20%, 10/16/2028 (b)
|
1,130
|
1,037
|
Series 2021-4A, Class E, 4.43%, 10/16/2028 (b)
|
990
|
908
|
Series 2023-1A, Class C, 6.38%, 12/15/2028 (b)
|
638
|
636
|
GM Financial Automobile Leasing Trust Series 2023-1, Class A3, 5.16%, 4/20/2026
|
643
|
640
|
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 6.80%, 7/20/2031 (b) (d)
|
1,530
|
1,529
|
Hertz Vehicle Financing LLC
|
|
|
Series 2022-3A, Class B, 3.86%, 3/25/2025 (b)
|
1,800
|
1,792
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (b)
|
1,000
|
955
|
Series 2023-1A, Class A, 5.49%, 6/25/2027 (b)
|
1,200
|
1,185
|
Series 2023-1A, Class C, 6.91%, 6/25/2027 (b)
|
876
|
868
|
Series 2023-3A, Class A, 5.94%, 2/25/2028 (b)
|
1,400
|
1,401
|
Hertz Vehicle Financing LP
|
|
|
Series 2021-2A, Class A, 1.68%, 12/27/2027 (b)
|
2,000
|
1,774
|
Series 2021-2A, Class B, 2.12%, 12/27/2027 (b)
|
1,393
|
1,234
|
Series 2021-2A, Class C, 2.52%, 12/27/2027 (b)
|
1,726
|
1,523
|
JetBlue Pass-Through Trust
|
|
|
Series 2019-1, Class B, 8.00%, 11/15/2027
|
153
|
152
|
Series 2019-1, Class A, 2.95%, 5/15/2028
|
143
|
122
|
Series 2020-1, Class B, 7.75%, 11/15/2028
|
103
|
104
|
KREF Ltd. Series 2021-FL2, Class A, 6.51%, 2/15/2039 (b) (d)
|
2,335
|
2,274
|
Lendingpoint Asset Securitization Trust
|
|
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (b)
|
1,500
|
1,423
|
Series 2022-A, Class D, 4.54%, 6/15/2029 (b)
|
1,000
|
827
|
Series 2022-B, Class A, 4.77%, 10/15/2029 (b)
|
253
|
251
|
Series 2022-C, Class B, 7.46%, 2/15/2030 (b)
|
926
|
925
|
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (b)
|
462
|
449
|
Lendmark Funding Trust Series 2021-1A, Class A, 1.90%, 11/20/2031 (b)
|
270
|
237
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
LL ABS Trust
|
|
|
Series 2020-1A, Class C, 6.54%, 1/17/2028 (b)
|
352
|
351
|
Series 2021-1A, Class C, 3.54%, 5/15/2029 (b)
|
500
|
456
|
Madison Park Funding Ltd. (Cayman Islands) Series 2020-45A, Class AR, 6.78%, 7/15/2034 (b) (d)
|
250
|
249
|
Magnetite Ltd. (Cayman Islands) Series 2012-7A, Class A1R2, 6.46%, 1/15/2028 (b) (d)
|
826
|
823
|
Marlette Funding Trust
|
|
|
Series 2021-2A, Class C, 1.50%, 9/15/2031 (b)
|
500
|
487
|
Series 2021-2A, Class D, 2.16%, 9/15/2031 (b)
|
300
|
277
|
Series 2023-1A, Class A, 6.07%, 4/15/2033 (b)
|
1,138
|
1,135
|
Mid-State Capital Corp. Trust Series 2006-1, Class M2, 6.74%, 10/15/2040 (b)
|
1,409
|
1,385
|
Morgan Stanley ABS Capital I, Inc. Trust
|
|
|
Series 2004-NC7, Class M3, 6.43%, 7/25/2034 (d)
|
69
|
67
|
Series 2004-HE7, Class M2, 6.40%, 8/25/2034 (d)
|
33
|
31
|
Series 2004-HE8, Class M2, 6.48%, 9/25/2034 (d)
|
83
|
81
|
Series 2005-NC1, Class M3, 6.22%, 1/25/2035 (d)
|
347
|
324
|
MVW LLC Series 2021-1WA, Class D, 3.17%, 1/22/2041 (b)
|
786
|
708
|
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 6.58%, 10/15/2029 (b) (d)
|
237
|
236
|
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2019-31A, Class AR,
6.72%, 4/20/2031 (b) (d)
|
2,400
|
2,398
|
New Century Home Equity Loan Trust
|
|
|
Series 2004-2, Class M2, 6.39%, 8/25/2034 (d)
|
31
|
31
|
Series 2004-4, Class M2, 6.25%, 2/25/2035 (d)
|
109
|
108
|
NRZ Excess Spread-Collateralized Notes
|
|
|
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b)
|
786
|
723
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b)
|
600
|
545
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
1,153
|
1,055
|
OCP CLO Ltd. (Cayman Islands)
|
|
|
Series 2018-15A, Class A1, 6.78%, 7/20/2031 (b) (d)
|
1,089
|
1,088
|
Series 2020-18A, Class AR, 6.77%, 7/20/2032 (b) (d)
|
600
|
599
|
Octagon Investment Partners Ltd. (Cayman Islands) Series 2013-1A, Class A1RR, 6.63%,
7/19/2030 (b) (d)
|
2,357
|
2,351
|
Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 6.62%,
4/16/2031 (b) (d)
|
1,320
|
1,316
|
OnDeck Asset Securitization Trust III LLC
|
|
|
Series 2021-1A, Class A, 1.59%, 5/17/2027 (b)
|
5,350
|
5,203
|
Series 2021-1A, Class B, 2.28%, 5/17/2027 (b)
|
2,480
|
2,403
|
OnDeck Asset Securitization Trust IV LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (b)
|
1,404
|
1,402
|
OneMain Financial Issuance Trust Series 2023-2A, Class A2, 6.82%, 9/15/2036 (b) (d)
|
2,738
|
2,740
|
Oportun Issuance Trust
|
|
|
Series 2022-2, Class A, 5.94%, 10/9/2029 (b)
|
147
|
147
|
Series 2022-2, Class D, 11.34%, 10/9/2029
|
863
|
833
|
Series 2022-3, Class A, 7.45%, 1/8/2030 (b)
|
340
|
340
|
Series 2021-B, Class A, 1.47%, 5/8/2031 (b)
|
2,538
|
2,330
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (b)
|
1,311
|
1,198
|
Series 2021-C, Class A, 2.18%, 10/8/2031 (b)
|
2,300
|
2,105
|
Option One Mortgage Loan Trust Series 2004-3, Class M3, 6.43%, 11/25/2034 (d)
|
18
|
18
|
Pagaya AI Debt Selection Trust
|
|
|
Series 2021-HG1, Class B, 1.82%, 1/16/2029 (b)
|
298
|
282
|
Series 2021-3, Class C, 3.27%, 5/15/2029 (b)
|
2,820
|
2,294
|
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.76%, 5/21/2034 (b) (d)
|
1,660
|
1,659
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
Series 2021-4A, Class A1, 6.46%, 10/15/2029 (b) (d)
|
594
|
592
|
Series 2021-4A, Class C, 8.26%, 10/15/2029 (b) (d)
|
1,606
|
1,583
|
PMT Issuer Trust-FMSR Series 2021-FT1, Class A, 8.46%, 3/25/2026 (b) (d)
|
1,940
|
1,906
|
Post Road Equipment Finance Series 2021-1A, Class E, 4.36%, 3/15/2029 (b)
|
809
|
807
|
PRET LLC
|
|
|
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (b) (i)
|
1,201
|
1,126
|
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (b) (i)
|
832
|
684
|
Series 2021-NPL6, Class A2, 5.07%, 7/25/2051 (b) (i)
|
2,500
|
2,187
|
Series 2021-RN4, Class A2, 5.19%, 10/25/2051 (b) (d)
|
2,500
|
2,346
|
Progress Residential Trust Series 2021-SFR9, Class A, 2.01%, 11/17/2040 (b)
|
3,249
|
2,709
|
PRPM LLC
|
|
|
Series 2021-5, Class A2, 3.72%, 6/25/2026 (b) (i)
|
3,500
|
3,085
|
Series 2021-6, Class A1, 1.79%, 7/25/2026 (b) (i)
|
1,850
|
1,754
|
Series 2021-6, Class A2, 3.47%, 7/25/2026 (b) (i)
|
275
|
250
|
Series 2021-7, Class A1, 1.87%, 8/25/2026 (b) (i)
|
1,920
|
1,816
|
Series 2021-7, Class A2, 3.67%, 8/25/2026 (b) (i)
|
738
|
674
|
Series 2021-11, Class A2, 4.58%, 11/25/2026 (b) (i)
|
2,400
|
2,289
|
Renaissance Home Equity Loan Trust
|
|
|
Series 2005-1, Class AF6, 5.47%, 5/25/2035 (i)
|
55
|
55
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (i)
|
1,228
|
1,095
|
Republic Finance Issuance Trust
|
|
|
Series 2020-A, Class A, 2.47%, 11/20/2030 (b)
|
352
|
345
|
Series 2021-A, Class D, 5.23%, 12/22/2031 (b)
|
1,500
|
1,248
|
Santander Drive Auto Receivables Trust
|
|
|
Series 2022-5, Class C, 4.74%, 10/16/2028
|
1,328
|
1,295
|
Series 2022-6, Class C, 4.96%, 11/15/2028
|
323
|
315
|
Series 2023-4, Class B, 5.77%, 12/15/2028
|
894
|
895
|
Series 2022-4, Class C, 5.00%, 11/15/2029
|
3,505
|
3,429
|
Series 2023-3, Class C, 5.77%, 11/15/2030
|
360
|
359
|
Santander Revolving Auto Loan Trust
|
|
|
Series 2019-A, Class A, 2.51%, 1/26/2032 (b)
|
820
|
791
|
Series 2019-A, Class C, 3.00%, 1/26/2032 (b)
|
2,936
|
2,814
|
Series 2019-A, Class D, 3.45%, 1/26/2032 (b)
|
2,910
|
2,776
|
SBA Small Business Investment Cos. Series 2023-10A, Class 1, 5.17%, 3/10/2033
|
3,913
|
3,864
|
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (b)
|
352
|
351
|
Stratus CLO Ltd. (Cayman Islands)
|
|
|
Series 2021-2A, Class A, 6.58%, 12/28/2029 (b) (d)
|
914
|
912
|
Series 2021-3A, Class E, 11.43%, 12/29/2029 (b) (d)
|
410
|
396
|
Structured Asset Investment Loan Trust Series 2004-8, Class M2, 6.39%, 9/25/2034 (d)
|
127
|
120
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2005-WF2, Class M2, 6.09%,
5/25/2035 (d)
|
119
|
116
|
Symphony CLO Ltd. (Cayman Islands) Series 2020-23A, Class AR, 6.68%, 1/15/2034 (b) (d)
|
1,120
|
1,116
|
Tesla Auto Lease Trust Series 2021-A, Class D, 1.34%, 3/20/2025 (b)
|
1,025
|
1,017
|
Theorem Funding Trust Series 2022-2A, Class B, 9.27%, 12/15/2028 (b)
|
2,000
|
2,055
|
Tricolor Auto Securitization Trust
|
|
|
Series 2021-1A, Class E, 3.23%, 9/15/2026 (b)
|
500
|
493
|
Series 2021-1A, Class F, 5.08%, 5/15/2028 (b)
|
500
|
487
|
United Airlines Pass-Through Trust Series 2013-1, Class A, 4.30%, 8/15/2025
|
827
|
796
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Asset-Backed Securities — continued
|
||
Upstart Pass-Through Trust
|
|
|
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (b)
|
547
|
527
|
Series 2021-ST6, Class A, 1.85%, 8/20/2027 (b)
|
183
|
176
|
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (b)
|
559
|
546
|
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (b)
|
403
|
394
|
Upstart Securitization Trust
|
|
|
Series 2021-2, Class C, 3.61%, 6/20/2031 (b)
|
2,330
|
2,207
|
Series 2021-3, Class C, 3.28%, 7/20/2031 (b)
|
1,200
|
1,112
|
Series 2021-5, Class A, 1.31%, 11/20/2031 (b)
|
332
|
329
|
Series 2021-5, Class C, 4.15%, 11/20/2031 (b)
|
5,476
|
4,974
|
Series 2022-4, Class A, 5.98%, 8/20/2032 (b)
|
936
|
931
|
US Auto Funding
|
|
|
Series 2021-1A, Class B, 1.49%, 3/17/2025 (b)
|
5
|
5
|
Series 2021-1A, Class C, 2.20%, 5/15/2026 (b)
|
2,768
|
2,546
|
Westlake Automobile Receivables Trust
|
|
|
Series 2020-3A, Class E, 3.34%, 6/15/2026 (b)
|
120
|
117
|
Series 2021-2A, Class D, 1.23%, 12/15/2026 (b)
|
660
|
623
|
Series 2022-2A, Class C, 4.85%, 9/15/2027 (b)
|
1,192
|
1,173
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (b)
|
1,344
|
1,321
|
Series 2023-3A, Class C, 6.02%, 9/15/2028 (b)
|
1,840
|
1,823
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (b)
|
1,265
|
1,249
|
Total Asset-Backed Securities
(Cost $235,896)
|
|
227,968
|
Mortgage-Backed Securities — 17.2%
|
||
FHLMC Gold Pools, Other
|
|
|
Pool # WN2492, 4.93%, 6/1/2028
|
870
|
859
|
Pool # WN2493, 4.94%, 9/1/2028
|
580
|
573
|
FNMA UMBS, 30 Year Pool # MA4783, 4.00%, 10/1/2052
|
11,335
|
10,295
|
FNMA, Other
|
|
|
Pool # BS9065, 4.62%, 7/1/2028
|
3,600
|
3,509
|
Pool # BF0263, 3.50%, 5/1/2058
|
1,048
|
925
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
TBA, 4.50%, 12/25/2053 (k)
|
78,566
|
73,560
|
TBA, 5.50%, 12/25/2053 (k)
|
23,446
|
23,102
|
GNMA II, Single Family, 30 Year
|
|
|
TBA, 5.00%, 12/15/2053 (k)
|
51,987
|
50,496
|
TBA, 5.50%, 12/15/2053 (k)
|
3,500
|
3,474
|
Total Mortgage-Backed Securities
(Cost $164,559)
|
|
166,793
|
Foreign Government Securities — 8.5%
|
||
Czech Republic
|
|
|
4.50%, 11/11/2032
|
CZK73,540
|
3,342
|
4.90%, 4/14/2034
|
CZK58,660
|
2,745
|
1.95%, 7/30/2037
|
CZK74,410
|
2,518
|
Dominican Republic Government Bond
|
|
|
6.88%, 1/29/2026 (a)
|
900
|
903
|
5.30%, 1/21/2041 (b)
|
790
|
634
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
5.30%, 1/21/2041 (a)
|
500
|
401
|
Federal Republic of Nigeria
|
|
|
6.50%, 11/28/2027 (a)
|
770
|
681
|
7.38%, 9/28/2033 (b)
|
527
|
417
|
Hungary Government Bond 6.75%, 9/25/2052 (b)
|
639
|
649
|
Italian Republic Government Bond 0.88%, 5/6/2024
|
1,888
|
1,849
|
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b)
|
921
|
786
|
Lebanese Republic 6.38%, 3/9/2020 (j)
|
1,280
|
70
|
Mex Bonos Desarr Fix Rt
|
|
|
7.75%, 5/29/2031
|
MXN212,240
|
11,155
|
7.50%, 5/26/2033
|
MXN108,920
|
5,526
|
8.00%, 5/24/2035
|
MXN120,760
|
6,241
|
Notas do Tesouro Nacional 10.00%, 1/1/2027 (j)
|
BRL45,000
|
9,097
|
Oriental Republic of Uruguay 5.10%, 6/18/2050
|
136
|
127
|
Republic of Angola
|
|
|
8.00%, 11/26/2029 (a)
|
530
|
443
|
8.75%, 4/14/2032 (b)
|
561
|
468
|
Republic of Colombia
|
|
|
3.13%, 4/15/2031
|
1,000
|
771
|
5.20%, 5/15/2049
|
645
|
455
|
8.75%, 11/14/2053
|
355
|
376
|
Republic of Costa Rica 7.30%, 11/13/2054 (b)
|
895
|
911
|
Republic of Cote d'Ivoire
|
|
|
6.38%, 3/3/2028 (a)
|
1,190
|
1,143
|
6.13%, 6/15/2033 (a)
|
651
|
575
|
6.88%, 10/17/2040 (b)
|
EUR1,880
|
1,612
|
Republic of Iraq 5.80%, 1/15/2028 (a)
|
1,052
|
966
|
Republic of North Macedonia 2.75%, 1/18/2025 (a)
|
EUR1,110
|
1,173
|
Republic of Paraguay
|
|
|
4.95%, 4/28/2031 (b)
|
1,160
|
1,094
|
3.85%, 6/28/2033 (b)
|
208
|
175
|
5.60%, 3/13/2048 (a)
|
820
|
688
|
5.40%, 3/30/2050 (b)
|
470
|
384
|
Republic of Philippines 5.50%, 1/17/2048
|
258
|
254
|
Republic of Senegal 6.25%, 5/23/2033 (a)
|
424
|
351
|
Republic of South Africa
|
|
|
8.25%, 3/31/2032
|
ZAR47,680
|
2,172
|
8.88%, 2/28/2035
|
ZAR114,485
|
5,053
|
5.00%, 10/12/2046
|
2,560
|
1,709
|
5.75%, 9/30/2049
|
390
|
283
|
Romania Government Bond
|
|
|
4.63%, 4/3/2049 (b)
|
EUR997
|
825
|
7.63%, 1/17/2053 (b)
|
372
|
390
|
Sultanate of Oman Government Bond 6.25%, 1/25/2031 (a)
|
1,900
|
1,946
|
United Arab Emirates Government Bond 4.00%, 7/28/2050 (b)
|
1,180
|
732
|
United Kingdom of Great Britain and Northern Ireland 3.75%, 10/22/2053 (a)
|
GBP7,330
|
7,879
|
United Mexican States
|
|
|
6.35%, 2/9/2035
|
628
|
633
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Foreign Government Securities — continued
|
||
3.77%, 5/24/2061
|
1,378
|
870
|
3.75%, 4/19/2071
|
1,815
|
1,125
|
Total Foreign Government Securities
(Cost $88,409)
|
|
82,597
|
Commercial Mortgage-Backed Securities — 6.8%
|
||
A10 Revolving Asset Financing I LLC 11.64%, 2/10/2028 ‡ (d)
|
6,000
|
6,011
|
BANK
|
|
|
Series 2018-BN13, Class C, 4.68%, 8/15/2061 (d)
|
509
|
397
|
Series 2019-BN20, Class XA, IO, 0.93%, 9/15/2062 (d)
|
3,721
|
136
|
Series 2021-BN35, Class XB, IO, 0.70%, 6/15/2064 (d)
|
17,700
|
661
|
BBCMS Mortgage Trust
|
|
|
Series 2022-C15, Class A2, 3.61%, 4/15/2055
|
2,736
|
2,573
|
Series 2022-C15, Class AS, 3.75%, 4/15/2055 (d)
|
1,960
|
1,611
|
Benchmark Mortgage Trust
|
|
|
Series 2019-B11, Class C, 3.75%, 5/15/2052 (d)
|
1,679
|
1,136
|
Series 2019-B10, Class A4, 3.72%, 3/15/2062
|
1,485
|
1,347
|
BHMS Series 2018-ATLS, Class A, 6.87%, 7/15/2035 (b) (d)
|
3,075
|
3,039
|
Braemar Hotels & Resorts Trust Series 2018-PRME, Class C, 6.74%, 6/15/2035 (b) (d)
|
1,200
|
1,158
|
BX Commercial Mortgage Trust Series 2021-VINO, Class A, 6.09%, 5/15/2038 (b) (d)
|
1,875
|
1,839
|
BX Trust Series 2022-LBA6, Class A, 6.32%, 1/15/2039 (b) (d)
|
3,400
|
3,317
|
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.08%, 2/28/2025 (b) (d)
|
4,000
|
3,699
|
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.58%, 11/15/2050 (d)
|
152
|
123
|
CD Mortgage Trust Series 2016-CD2, Class C, 4.11%, 11/10/2049 (d)
|
95
|
70
|
Citigroup Commercial Mortgage Trust Series 2017-C4, Class A4, 3.47%, 10/12/2050
|
1,400
|
1,276
|
Commercial Mortgage Trust
|
|
|
Series 2015-CR26, Class D, 3.61%, 10/10/2048 (d)
|
200
|
128
|
Series 2015-PC1, Class C, 4.42%, 7/10/2050 (d)
|
1,046
|
913
|
FHLMC, Multi-Family Structured Credit Risk Series 2023-MN7, Class M1, 8.93%, 9/25/2043 ‡ (b) (d)
|
1,549
|
1,557
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
Series K729, Class X1, IO, 0.47%, 10/25/2024 (d)
|
18,818
|
35
|
Series K739, Class X1, IO, 1.30%, 9/25/2027 (d)
|
18,057
|
629
|
Series K742, Class X1, IO, 0.87%, 3/25/2028 (d)
|
4,981
|
109
|
Series K127, Class X1, IO, 0.42%, 1/25/2031 (d)
|
65,796
|
1,162
|
Series K125, Class X1, IO, 0.67%, 1/25/2031 (d)
|
18,301
|
583
|
Series K131, Class X3, IO, 3.05%, 9/25/2031 (d)
|
767
|
129
|
Series K726, Class X3, IO, 2.22%, 7/25/2044 (d)
|
2,970
|
21
|
Series K070, Class X3, IO, 2.11%, 12/25/2044 (d)
|
2,152
|
145
|
Series K072, Class X3, IO, 2.21%, 12/25/2045 (d)
|
3,940
|
295
|
Series K088, Class X3, IO, 2.43%, 2/25/2047 (d)
|
6,650
|
665
|
Series K737, Class X3, IO, 1.83%, 1/25/2048 (d)
|
3,150
|
147
|
Series K121, Class X3, IO, 2.87%, 11/25/2048 (d)
|
5,100
|
755
|
Series K127, Class X3, IO, 2.74%, 3/25/2049 (d)
|
5,100
|
734
|
FNMA ACES Series 2019-M1, Class A2, 3.66%, 9/25/2028 (d)
|
1,046
|
991
|
FREMF Series 2018-KF46, Class B, 7.38%, 3/25/2028 (b) (d)
|
1,066
|
975
|
FREMF Mortgage Trust
|
|
|
Series 2017-KF29, Class B, 8.98%, 2/25/2024 (b) (d)
|
139
|
139
|
Series 2017-KF31, Class B, 8.33%, 4/25/2024 (b) (d)
|
302
|
301
|
Series 2017-KF35, Class B, 8.18%, 8/25/2024 (b) (d)
|
508
|
502
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Commercial Mortgage-Backed Securities — continued
|
||
Series 2018-KF45, Class B, 7.38%, 3/25/2025 (b) (d)
|
93
|
89
|
Series 2018-KF47, Class B, 7.43%, 5/25/2025 (b) (d)
|
101
|
98
|
Series 2019-KC03, Class B, 4.53%, 1/25/2026 (b) (d)
|
1,500
|
1,417
|
Series 2018-KF48, Class B, 7.48%, 6/25/2028 (b) (d)
|
480
|
429
|
GNMA
|
|
|
Series 2012-89, IO, 0.10%, 12/16/2053 (d)
|
3,042
|
2
|
Series 2017-9, IO, 0.66%, 1/16/2057 (d)
|
3,282
|
112
|
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (d)
|
9,196
|
456
|
Series 2019-155, IO, 0.53%, 7/16/2061 (d)
|
9,759
|
380
|
Series 2021-106, IO, 0.86%, 4/16/2063 (d)
|
20,221
|
1,316
|
Series 2021-133, IO, 0.88%, 7/16/2063 (d)
|
10,630
|
696
|
GS Mortgage Securities Trust Series 2015-GC30, Class C, 4.20%, 5/10/2050 (d)
|
190
|
150
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
Series 2015-C30, Class C, 4.37%, 7/15/2048 (d)
|
266
|
190
|
Series 2015-C31, Class C, 4.78%, 8/15/2048 (d)
|
124
|
93
|
JPMCC Commercial Mortgage Securities Trust Series 2019-COR4, Class A5, 4.03%, 3/10/2052
|
1,015
|
909
|
JPMDB Commercial Mortgage Securities Trust Series 2018-C8, Class A3, 3.94%, 6/15/2051
|
1,111
|
1,038
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
Series 2016-JP3, Class C, 3.56%, 8/15/2049 (d)
|
276
|
189
|
Series 2016-JP4, Class C, 3.52%, 12/15/2049 (d)
|
152
|
114
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (d)
|
2,817
|
1,075
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
Series 2014-C14, Class C, 5.22%, 2/15/2047 (d)
|
114
|
110
|
Series 2015-C24, Class C, 4.47%, 5/15/2048 (d)
|
190
|
163
|
Morgan Stanley Capital I Trust
|
|
|
Series 2015-MS1, Class B, 4.16%, 5/15/2048 (d)
|
147
|
133
|
Series 2019-L2, Class C, 5.14%, 3/15/2052 (d)
|
978
|
734
|
Series 2021-L5, Class XA, IO, 1.41%, 5/15/2054 (d)
|
10,735
|
657
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (b)
|
230
|
132
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
Series 2020-01, Class M10, 9.19%, 3/25/2050 (b) (d)
|
4,438
|
4,242
|
Series 2023-01, Class M7, 9.33%, 11/25/2053 (b) (d)
|
900
|
907
|
TPGI Trust Series 2021-DGWD, Class A, 6.14%, 6/15/2026 (b) (d)
|
371
|
365
|
Velocity Commercial Capital Loan Trust
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (d)
|
745
|
705
|
Series 2019-1, Class A, 3.76%, 3/25/2049 (b) (d)
|
360
|
330
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (b) (d)
|
773
|
727
|
Series 2020-1, Class AFX, 2.61%, 2/25/2050 (b) (d)
|
685
|
579
|
Series 2021-1, Class A, 1.40%, 5/25/2051 (b) (d)
|
2,837
|
2,312
|
Series 2021-2, Class A, 1.52%, 8/25/2051 (b) (d)
|
1,099
|
902
|
Series 2021-4, Class A, 2.52%, 12/26/2051 (b) (d)
|
2,137
|
1,696
|
Series 2022-3, Class A, 5.22%, 6/25/2052 (b) (d)
|
917
|
869
|
Series 2022-4, Class A, 5.63%, 8/25/2052 (b) (d)
|
2,600
|
2,477
|
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class F, 5.14%, 10/15/2044 (b) (d)
|
678
|
34
|
Total Commercial Mortgage-Backed Securities
(Cost $75,146)
|
|
66,135
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — 5.1%
|
||
Alternative Loan Trust
|
|
|
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026
|
6
|
5
|
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
93
|
91
|
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035
|
163
|
146
|
Series 2004-28CB, Class 3A1, 6.00%, 1/25/2035
|
347
|
300
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035
|
675
|
522
|
American Home Mortgage Assets Trust Series 2006-6, Class A1A, 5.65%, 12/25/2046 (d)
|
876
|
711
|
Angel Oak Mortgage Trust
|
|
|
Series 2019-5, Class A1, 2.59%, 10/25/2049 (b) (d)
|
809
|
775
|
Series 2020-1, Class A1, 2.47%, 12/25/2059 (b) (d)
|
183
|
169
|
Series 2021-3, Class A1, 1.07%, 5/25/2066 (b) (d)
|
2,750
|
2,241
|
Series 2021-3, Class A2, 1.31%, 5/25/2066 (b) (d)
|
2,063
|
1,688
|
Banc of America Alternative Loan Trust Series 2006-2, Class 7A1, 6.00%, 3/25/2021
|
23
|
16
|
Banc of America Funding Trust Series 2006-A, Class 1A1, 5.50%, 2/20/2036 (d)
|
127
|
116
|
Banc of America Mortgage Trust Series 2004-A, Class 2A2, 4.17%, 2/25/2034 (d)
|
95
|
92
|
Citigroup Mortgage Loan Trust Series 2005-9, Class 2A2, 5.50%, 11/25/2035
|
1
|
1
|
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (b) (i)
|
843
|
843
|
COLT Trust Series 2021-RPL1, Class A1, 1.67%, 9/25/2061 (b) (d)
|
1,457
|
1,248
|
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.63%, 1/25/2043 (b) (d)
|
1,197
|
1,215
|
CSMC Mortgage-Backed Trust Series 2007-2, Class 3A13, 5.50%, 3/25/2037
|
245
|
120
|
CSMC Trust Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (b) (d)
|
1,409
|
1,375
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (b) (d)
|
707
|
656
|
FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1B, 8.23%, 4/25/2042 (b) (d)
|
580
|
592
|
FHLMC, REMIC
|
|
|
Series 4043, Class PI, IO, 2.50%, 5/15/2027
|
1,182
|
36
|
Series 4086, Class AI, IO, 3.50%, 7/15/2027
|
402
|
14
|
Series 4120, Class UI, IO, 3.00%, 10/15/2027
|
388
|
15
|
Series 4216, Class MI, IO, 3.00%, 6/15/2028
|
220
|
9
|
Series 4178, Class BI, IO, 3.00%, 3/15/2033
|
621
|
52
|
Series 2936, Class AS, IF, IO, 0.66%, 2/15/2035 (d)
|
147
|
6
|
Series 4018, Class HI, IO, 4.50%, 3/15/2041
|
854
|
53
|
Series 4073, Class IQ, IO, 4.00%, 7/15/2042
|
525
|
76
|
Series 4173, Class I, IO, 4.00%, 3/15/2043
|
1,668
|
273
|
Series 4305, Class SK, IF, IO, 1.16%, 2/15/2044 (d)
|
781
|
85
|
Series 4612, Class QI, IO, 3.50%, 5/15/2044
|
2,442
|
328
|
Series 4372, Class SY, IF, IO, 0.66%, 8/15/2044 (d)
|
2,560
|
228
|
Series 4687, Class SG, IF, IO, 0.71%, 1/15/2047 (d)
|
2,456
|
280
|
Series 4681, Class SD, IF, IO, 0.71%, 5/15/2047 (d)
|
5,520
|
640
|
Series 4983, Class SY, IF, IO, 0.66%, 5/25/2050 (d)
|
5,657
|
611
|
Series 5023, Class MI, IO, 3.00%, 10/25/2050
|
3,824
|
612
|
FNMA, REMIC
|
|
|
Series 2012-109, Class WI, IO, 2.50%, 10/25/2027
|
542
|
19
|
Series 2012-149, Class MI, IO, 3.00%, 1/25/2028
|
457
|
15
|
Series 2003-130, Class NS, IF, IO, 1.56%, 1/25/2034 (d)
|
360
|
25
|
Series 2005-67, Class SI, IF, IO, 1.26%, 8/25/2035 (d)
|
278
|
10
|
Series 2005-69, Class AS, IF, IO, 1.26%, 8/25/2035 (d)
|
71
|
6
|
Series 2006-24, Class QS, IF, IO, 1.76%, 4/25/2036 (d)
|
248
|
18
|
Series 2010-68, Class SJ, IF, IO, 1.11%, 7/25/2040 (d)
|
237
|
19
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2016-39, Class LS, IF, IO, 0.56%, 7/25/2046 (d)
|
2,326
|
281
|
Series 2016-74, Class GS, IF, IO, 0.56%, 10/25/2046 (d)
|
1,094
|
118
|
Series 2017-6, Class SB, IF, IO, 0.61%, 2/25/2047 (d)
|
1,450
|
139
|
Series 2021-86, Class T, 2.50%, 9/25/2048
|
3,052
|
2,587
|
Series 2019-42, Class SK, IF, IO, 0.61%, 8/25/2049 (d)
|
767
|
80
|
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (b) (d)
|
527
|
473
|
GCAT Trust
|
|
|
Series 2020-NQM1, Class A1, 2.25%, 1/25/2060 (b) (i)
|
328
|
309
|
Series 2021-NQM2, Class A1, 1.04%, 5/25/2066 (b) (d)
|
2,508
|
2,006
|
Series 2021-NQM4, Class A1, 1.09%, 8/25/2066 (b) (d)
|
1,793
|
1,389
|
GNMA
|
|
|
Series 2014-36, Class WY, 2.00%, 3/16/2044
|
810
|
604
|
Series 2014-181, Class SL, IF, IO, 0.15%, 12/20/2044 (d)
|
1,587
|
137
|
Series 2015-110, Class MS, IF, IO, 0.26%, 8/20/2045 (d)
|
520
|
41
|
Series 2019-115, Class SD, IF, IO, 0.65%, 9/20/2049 (d)
|
464
|
46
|
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051
|
14,674
|
1,986
|
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051
|
4,761
|
764
|
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051
|
5,298
|
729
|
Series 2021-117, Class ES, IF, IO, 0.85%, 7/20/2051 (d)
|
5,991
|
750
|
Series 2015-H13, Class GI, IO, 1.52%, 4/20/2065 (d)
|
737
|
16
|
GSR Mortgage Loan Trust Series 2004-15F, Class 1A2, 5.50%, 12/25/2034
|
409
|
296
|
IndyMac INDX Mortgage Loan Trust Series 2005-AR10, Class A1, 5.98%, 6/25/2035 (d)
|
587
|
450
|
JPMorgan Mortgage Trust Series 2006-S2, Class 1A19, 6.00%, 7/25/2036
|
295
|
147
|
Lehman Mortgage Trust Series 2005-2, Class 2A5, 5.50%, 12/25/2035
|
216
|
125
|
MASTR Alternative Loan Trust Series 2004-12, Class 3A1, 6.00%, 12/25/2034
|
717
|
686
|
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, 6.29%, 9/25/2034 (d)
|
150
|
148
|
Series 2004-9, Class 1A, 5.30%, 11/25/2034 (d)
|
67
|
66
|
New Residential Mortgage Loan Trust
|
|
|
Series 2018-3A, Class A1C, 3.00%, 5/25/2058 (b) (d)
|
669
|
602
|
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (b) (d)
|
1,313
|
1,177
|
Series 2020-NQM1, Class A1, 2.46%, 1/26/2060 (b) (d)
|
535
|
477
|
OBX Trust Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (b) (i)
|
1,491
|
1,478
|
PNMAC GMSR Issuer Trust Series 2018-GT2, Class A, 8.86%, 8/25/2025 (b) (d)
|
1,180
|
1,180
|
PRPM LLC Series 2021-RPL2, Class A1, 1.46%, 10/25/2051 (b) (d)
|
1,012
|
891
|
RALI Trust Series 2006-QS4, Class A2, 6.00%, 4/25/2036
|
23
|
18
|
Residential Asset Securitization Trust Series 2005-A8CB, Class A11, 6.00%, 7/25/2035
|
206
|
133
|
SART Series 2017-1, 4.75%, 7/15/2024 ‡
|
122
|
120
|
Sequoia Mortgage Trust Series 2003-8, Class A1, 6.09%, 1/20/2034 (d)
|
153
|
142
|
Starwood Mortgage Residential Trust Series 2020-1, Class A1, 2.27%, 2/25/2050 (b) (d)
|
45
|
42
|
TDA CAM 4 FTA (Spain) Series 4, Class A, 4.05%, 6/26/2039 (a) (d)
|
153
|
166
|
Verus Securitization Trust
|
|
|
Series 2019-4, Class A1, 3.64%, 11/25/2059 (b) (i)
|
450
|
430
|
Series 2019-INV3, Class A1, 3.69%, 11/25/2059 (b) (d)
|
946
|
912
|
Series 2020-1, Class A1, 2.42%, 1/25/2060 (b) (i)
|
114
|
107
|
Series 2021-6, Class A1, 1.63%, 10/25/2066 (b) (d)
|
2,242
|
1,811
|
Series 2022-4, Class A1, 4.47%, 4/25/2067 (b) (i)
|
345
|
329
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Collateralized Mortgage Obligations — continued
|
||
Series 2023-2, Class A1, 6.19%, 3/25/2068 (b) (i)
|
1,984
|
1,973
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (b) (i)
|
1,912
|
1,890
|
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (d)
|
3,700
|
3,655
|
WaMu Mortgage Pass-Through Certificates Trust Series 2003-S3, Class 3A2, 5.50%, 5/25/2033
|
79
|
76
|
Total Collateralized Mortgage Obligations
(Cost $54,858)
|
|
49,174
|
Convertible Bonds — 3.7%
|
||
Air Freight & Logistics — 0.0% ^
|
||
Air Transport Services Group, Inc. 3.88%, 8/15/2029 (b)
|
495
|
415
|
Automobiles — 0.1%
|
||
Ford Motor Co. Zero Coupon, 3/15/2026
|
995
|
928
|
Broadline Retail — 0.1%
|
||
Etsy, Inc. 0.13%, 10/1/2026
|
640
|
704
|
Communications Equipment — 0.1%
|
||
Lumentum Holdings, Inc. 1.50%, 12/15/2029 (b)
|
1,176
|
1,035
|
Construction & Engineering — 0.0% ^
|
||
Fluor Corp. 1.13%, 8/15/2029 (b)
|
203
|
215
|
Electric Utilities — 0.1%
|
||
PG&E Corp. 4.25%, 12/1/2027 (b)
|
614
|
622
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
Advanced Energy Industries, Inc. 2.50%, 9/15/2028 (b)
|
657
|
647
|
Entertainment — 0.2%
|
||
Live Nation Entertainment, Inc. 3.13%, 1/15/2029 (b)
|
1,500
|
1,595
|
Sea Ltd. (Singapore) 2.38%, 12/1/2025
|
730
|
682
|
|
|
2,277
|
Ground Transportation — 0.1%
|
||
Lyft, Inc. 1.50%, 5/15/2025
|
620
|
570
|
Uber Technologies, Inc. Series 2028, 0.88%, 12/1/2028 (b)
|
220
|
227
|
|
|
797
|
Health Care Equipment & Supplies — 0.0% ^
|
||
Integra LifeSciences Holdings Corp. 0.50%, 8/15/2025
|
310
|
283
|
Health Care Providers & Services — 0.0% ^
|
||
PetIQ, Inc. 4.00%, 6/1/2026
|
170
|
162
|
Hotel & Resort REITs — 0.1%
|
||
Pebblebrook Hotel Trust 1.75%, 12/15/2026
|
570
|
467
|
Hotels, Restaurants & Leisure — 0.2%
|
||
Airbnb, Inc. Zero Coupon, 3/15/2026
|
1,082
|
957
|
Cheesecake Factory, Inc. (The) 0.38%, 6/15/2026
|
891
|
753
|
|
|
1,710
|
Interactive Media & Services — 0.2%
|
||
Eventbrite, Inc. 0.75%, 9/15/2026
|
670
|
541
|
Snap, Inc.
|
|
|
0.75%, 8/1/2026
|
295
|
286
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Convertible Bonds — continued
|
||
Interactive Media & Services — continued
|
||
Zero Coupon, 5/1/2027
|
279
|
214
|
TripAdvisor, Inc. 0.25%, 4/1/2026
|
1,224
|
1,058
|
|
|
2,099
|
IT Services — 0.1%
|
||
BigCommerce Holdings, Inc. 0.25%, 10/1/2026
|
1,580
|
1,240
|
Leisure Products — 0.1%
|
||
Topgolf Callaway Brands Corp. 2.75%, 5/1/2026
|
745
|
740
|
Machinery — 0.2%
|
||
Greenbrier Cos., Inc. (The) 2.88%, 4/15/2028
|
1,770
|
1,595
|
Media — 0.0% ^
|
||
DISH Network Corp. 2.38%, 3/15/2024
|
380
|
363
|
Passenger Airlines — 0.1%
|
||
JetBlue Airways Corp. 0.50%, 4/1/2026
|
952
|
655
|
Southwest Airlines Co. 1.25%, 5/1/2025
|
585
|
573
|
|
|
1,228
|
Retail REITs — 0.1%
|
||
Kite Realty Group LP 0.75%, 4/1/2027 (b)
|
688
|
643
|
Semiconductors & Semiconductor Equipment — 0.6%
|
||
ams-OSRAM AG (Austria) 2.13%, 11/3/2027 (a)
|
600
|
493
|
Enphase Energy, Inc. Zero Coupon, 3/1/2028
|
1,220
|
975
|
Microchip Technology, Inc. 1.63%, 2/15/2027
|
305
|
722
|
ON Semiconductor Corp. Zero Coupon, 5/1/2027
|
1,932
|
2,790
|
Wolfspeed, Inc.
|
|
|
0.25%, 2/15/2028
|
609
|
377
|
1.88%, 12/1/2029 (b)
|
275
|
164
|
|
|
5,521
|
Software — 0.9%
|
||
8x8, Inc. 0.50%, 2/1/2024
|
840
|
822
|
Alarm.com Holdings, Inc. Zero Coupon, 1/15/2026
|
1,310
|
1,136
|
Bentley Systems, Inc. 0.13%, 1/15/2026
|
1,185
|
1,169
|
Box, Inc. Zero Coupon, 1/15/2026
|
1,442
|
1,626
|
Dropbox, Inc. Zero Coupon, 3/1/2028
|
2,198
|
2,115
|
Envestnet, Inc. 2.63%, 12/1/2027
|
675
|
596
|
Everbridge, Inc. Zero Coupon, 3/15/2026
|
574
|
482
|
Nice Ltd. (Israel) Zero Coupon, 9/15/2025
|
1,224
|
1,135
|
|
|
9,081
|
Specialty Retail — 0.2%
|
||
Guess?, Inc. 2.00%, 4/15/2024
|
395
|
401
|
Wayfair, Inc.
|
|
|
0.63%, 10/1/2025
|
990
|
880
|
3.25%, 9/15/2027
|
150
|
173
|
|
|
1,454
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
Convertible Bonds — continued
|
||
Technology Hardware, Storage & Peripherals — 0.1%
|
||
Seagate HDD Cayman 3.50%, 6/1/2028 (b)
|
1,155
|
1,309
|
Total Convertible Bonds
(Cost $38,542)
|
|
35,535
|
Loan Assignments — 0.6% (h) (l)
|
||
Beverages — 0.0% ^
|
||
Triton Water Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%),
8.90%, 3/31/2028
|
111
|
109
|
Building Products — 0.0% ^
|
||
Chamberlain Group LLC (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%),
8.70%, 11/3/2028
|
352
|
345
|
Commercial Services & Supplies — 0.0% ^
|
||
Madison IAQ LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 8.70%, 6/21/2028
|
191
|
188
|
Construction & Engineering — 0.0% ^
|
||
Pike Corp., Delayed Draw Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 8.46%, 1/21/2028
|
132
|
132
|
Containers & Packaging — 0.1%
|
||
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR
+ 3.25%), 8.71%, 9/24/2028
|
514
|
514
|
Tekni-Plex, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 9.65%, 9/15/2028
|
340
|
332
|
|
|
846
|
Leisure Products — 0.1%
|
||
Hercules Achievement, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%),
10.46%, 12/15/2026 (m)
|
708
|
697
|
Media — 0.0% ^
|
||
CSC Holdings LLC, Term Loan B-6 (1-MONTH CME TERM SOFR + 4.50%), 9.82%, 1/18/2028
|
204
|
196
|
Personal Care Products — 0.1%
|
||
Conair Holdings LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 9.21%,
5/17/2028
|
728
|
695
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
Brooks Automation, 1st Lien Term Loan B (1-MONTH SOFR + 3.10%; 6-MONTH SOFR + 3.10%
), 8.14%, 2/1/2029
|
390
|
387
|
Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 10.49%, 2/1/2030
|
150
|
144
|
|
|
531
|
Software — 0.1%
|
||
Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 4.00%),
9.46%, 12/1/2027
|
624
|
624
|
Specialty Retail — 0.1%
|
||
AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 9.10%,
10/19/2027
|
186
|
186
|
Claire's Stores, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 6.50%), 11.95%,
12/18/2026 (n)
|
827
|
753
|
PrimeSource, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 8.91%, 12/28/2027
|
199
|
192
|
Serta Simmons Bedding LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 7.50%), 12.82%,
6/29/2028
|
43
|
41
|
|
|
1,172
|
Total Loan Assignments
(Cost $5,588)
|
|
5,535
|
Supranational — 0.3%
|
||
Africa Finance Corp. (Supranational)
3.75%, 10/30/2029 (a)
|
1,130
|
947
|
European Union (Supranational)
0.10%, 10/4/2040 (a)
|
EUR2,990
|
1,897
|
Total Supranational
(Cost $4,564)
|
|
2,844
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
Convertible Preferred Stocks — 0.2%
|
||
Specialty Retail — 0.2%
|
||
Claire's Stores, Inc. ‡ *
(Cost $226)
|
1
|
1,687
|
Common Stocks — 0.0% ^
|
||
Communications Equipment — 0.0% ^
|
||
Goodman Networks, Inc. ‡ *
|
6
|
—
|
Machinery — 0.0% ^
|
||
SSB Equipment Co. Inc. ‡ *
|
10
|
—
|
Media — 0.0% ^
|
||
iHeartMedia, Inc., Class A *
|
13
|
33
|
Professional Services — 0.0% ^
|
||
NMG, Inc. ‡ *
|
—
|
26
|
Specialty Retail — 0.0% ^
|
||
Claire's Stores, Inc. ‡ *
|
1
|
319
|
Serta Simmons Bedding LLC ‡ *
|
10
|
123
|
|
|
442
|
Total Common Stocks
(Cost $1,278)
|
|
501
|
|
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
|
196
|
|
SHARES
(000)
|
|
Preferred Stocks — 0.0% ^
|
||
Broadline Retail — 0.0% ^
|
||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
298
|
175
|
Communications Equipment — 0.0% ^
|
||
Goodman Networks, Inc. ‡ *
|
7
|
—
|
Total Preferred Stocks
(Cost $310)
|
|
175
|
|
NO. OF RIGHTS
(000)
|
|
Rights — 0.0% ^
|
||
Independent Power and Renewable Electricity Producers — 0.0% ^
|
||
Vistra Corp., expiring 12/31/2049 ‡ *
(Cost $—)
|
42
|
53
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
U.S. Treasury Obligations — 0.0% ^
|
||
U.S. Treasury Bonds
3.63%, 5/15/2053 (Cost $31)
|
35
|
30
|
|
SHARES
(000)
|
|
Short-Term Investments — 7.1%
|
||
Investment Companies — 7.1%
|
||
JPMorgan Prime Money Market Fund Class Institutional Shares, 5.39% (o) (p)
(Cost $68,808)
|
68,783
|
68,824
|
Total Investments — 112.8%
(Cost $1,155,611)
|
|
1,091,924
|
Liabilities in Excess of Other Assets — (12.8)%
|
|
(124,134
)
|
NET ASSETS — 100.0%
|
|
967,790
|
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
|
CIFC
|
Commercial Industrial Finance Corp.
|
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
|
GBP
|
British Pound
|
GNMA
|
Government National Mortgage Association
|
ICE
|
Intercontinental Exchange
|
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 November 30, 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
|
MXN
|
Mexican Peso
|
PIK
|
Payment In Kind
|
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
|
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
November 30, 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 November 30, 2023 is $31,957 or 3.30% of the Fund’s net
assets as of November 30, 2023.
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
(g)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon
rate for this security is fixed for a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects
the next call date. The coupon rate shown is the rate in
effect as of November 30, 2023.
|
|
(h)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of November 30, 2023.
|
|
(i)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of November
30, 2023.
|
|
(j)
|
Defaulted security.
|
|
(k)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
(l)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
(m)
|
All or a portion of this security is unsettled as of November 30, 2023. Unless otherwise
indicated, the coupon rate is undetermined. The
coupon rate shown may not be accrued for the entire position.
|
|
(n)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
(o)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(p)
|
The rate shown is the current yield as of November 30, 2023.
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
Long Contracts
|
|
|
|
|
|
Euro-Bobl
|
176
|
12/07/2023
|
EUR
|
22,520
|
361
|
Euro-Bund
|
159
|
12/07/2023
|
EUR
|
22,903
|
566
|
Euro-Schatz
|
3
|
12/07/2023
|
EUR
|
344
|
—
(a)
|
Australia 10 Year Bond
|
213
|
12/15/2023
|
AUD
|
15,856
|
168
|
U.S. Treasury 10 Year Ultra Note
|
65
|
03/19/2024
|
USD
|
7,385
|
49
|
U.S. Treasury 2 Year Note
|
103
|
03/28/2024
|
USD
|
21,067
|
56
|
U.S. Treasury 5 Year Note
|
1,663
|
03/28/2024
|
USD
|
177,824
|
959
|
|
|
|
|
|
2,159
|
Short Contracts
|
|
|
|
|
|
Euro-Buxl 30 Year Bond
|
(58
)
|
12/07/2023
|
EUR
|
(8,225
)
|
(641
)
|
Euro-Schatz
|
(115
)
|
12/07/2023
|
EUR
|
(13,192
)
|
12
|
U.S. Treasury 10 Year Note
|
(187
)
|
03/19/2024
|
USD
|
(20,550
)
|
(123
)
|
U.S. Treasury 10 Year Ultra Note
|
(556
)
|
03/19/2024
|
USD
|
(63,167
)
|
(423
)
|
U.S. Treasury Long Bond
|
(66
)
|
03/19/2024
|
USD
|
(7,697
)
|
(55
)
|
U.S. Treasury Ultra Bond
|
(225
)
|
03/19/2024
|
USD
|
(27,703
)
|
(359
)
|
Long Gilt
|
(107
)
|
03/26/2024
|
GBP
|
(13,060
)
|
94
|
U.S. Treasury 5 Year Note
|
(383
)
|
03/28/2024
|
USD
|
(40,954
)
|
(225
)
|
|
|
|
|
|
(1,720
)
|
|
|
|
|
|
439
|
Abbreviations
|
|
AUD
|
Australian Dollar
|
EUR
|
Euro
|
GBP
|
British Pound
|
USD
|
United States Dollar
|
(a)
|
Amount rounds to less than one thousand.
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
EUR
|
12,629
|
USD
|
13,707
|
BNP Paribas
|
12/5/2023
|
40
|
EUR
|
188
|
USD
|
204
|
Morgan Stanley
|
12/5/2023
|
—
(a)
|
EUR
|
244
|
USD
|
259
|
Royal Bank of Canada
|
12/5/2023
|
7
|
GBP
|
99
|
USD
|
123
|
Morgan Stanley
|
12/5/2023
|
2
|
AUD
|
1,812
|
USD
|
1,165
|
Citibank, NA
|
12/27/2023
|
33
|
CLP
|
2,284,148
|
USD
|
2,528
|
Citibank, NA**
|
12/27/2023
|
86
|
CLP
|
1,061,940
|
USD
|
1,185
|
Goldman Sachs International**
|
12/27/2023
|
30
|
GBP
|
180
|
USD
|
227
|
BNP Paribas
|
12/27/2023
|
—
(a)
|
JPY
|
1,493,427
|
USD
|
9,909
|
BNP Paribas
|
12/27/2023
|
202
|
KRW
|
3,101,784
|
USD
|
2,382
|
BNP Paribas**
|
12/27/2023
|
6
|
KRW
|
6,837,295
|
USD
|
5,195
|
Goldman Sachs International**
|
12/27/2023
|
69
|
PLN
|
17,914
|
USD
|
4,372
|
HSBC Bank, NA
|
12/27/2023
|
103
|
PLN
|
6,914
|
USD
|
1,703
|
Merrill Lynch International
|
12/27/2023
|
23
|
THB
|
86,494
|
USD
|
2,405
|
BNP Paribas
|
12/27/2023
|
59
|
THB
|
83,394
|
USD
|
2,357
|
Goldman Sachs International
|
12/27/2023
|
19
|
TWD
|
76,563
|
USD
|
2,422
|
Goldman Sachs International**
|
12/27/2023
|
29
|
USD
|
1,797
|
BRL
|
8,763
|
Merrill Lynch International**
|
12/27/2023
|
22
|
USD
|
174
|
GBP
|
137
|
State Street Corp.
|
12/27/2023
|
1
|
USD
|
2,385
|
KRW
|
3,074,597
|
Bank of America NA**
|
12/27/2023
|
18
|
USD
|
2,364
|
MXN
|
41,064
|
Goldman Sachs International
|
12/27/2023
|
8
|
USD
|
2,400
|
THB
|
83,115
|
Goldman Sachs International
|
12/27/2023
|
32
|
USD
|
11,014
|
ZAR
|
206,651
|
BNP Paribas
|
12/27/2023
|
75
|
USD
|
56,276
|
EUR
|
51,505
|
Morgan Stanley
|
1/3/2024
|
131
|
USD
|
1,261
|
GBP
|
997
|
HSBC Bank, NA
|
1/3/2024
|
2
|
Total unrealized appreciation
|
997
|
|||||
EUR
|
51,505
|
USD
|
56,198
|
Morgan Stanley
|
12/5/2023
|
(132
)
|
GBP
|
997
|
USD
|
1,261
|
HSBC Bank, NA
|
12/5/2023
|
(2
)
|
USD
|
1,450
|
EUR
|
1,358
|
Barclays Bank plc
|
12/5/2023
|
(28
)
|
USD
|
67,348
|
EUR
|
63,208
|
Morgan Stanley
|
12/5/2023
|
(1,457
)
|
USD
|
1,336
|
GBP
|
1,096
|
HSBC Bank, NA
|
12/5/2023
|
(49
)
|
INR
|
431,631
|
USD
|
5,186
|
BNP Paribas**
|
12/27/2023
|
(10
)
|
JPY
|
700,148
|
USD
|
4,747
|
HSBC Bank, NA
|
12/27/2023
|
(6
)
|
JPY
|
705,823
|
USD
|
4,799
|
Morgan Stanley
|
12/27/2023
|
(20
)
|
KRW
|
3,076,674
|
USD
|
2,379
|
Citibank, NA**
|
12/27/2023
|
(10
)
|
THB
|
85,068
|
USD
|
2,424
|
Citibank, NA
|
12/27/2023
|
(1
)
|
USD
|
1,265
|
AUD
|
1,982
|
BNP Paribas
|
12/27/2023
|
(45
)
|
USD
|
1,167
|
CLP
|
1,038,273
|
BNP Paribas**
|
12/27/2023
|
(21
)
|
USD
|
5,753
|
CZK
|
130,565
|
BNP Paribas
|
12/27/2023
|
(89
)
|
USD
|
10,854
|
EUR
|
10,117
|
Goldman Sachs International
|
12/27/2023
|
(171
)
|
USD
|
117
|
GBP
|
94
|
HSBC Bank, NA
|
12/27/2023
|
(2
)
|
USD
|
7,349
|
GBP
|
5,969
|
Morgan Stanley
|
12/27/2023
|
(188
)
|
USD
|
2,843
|
HUF
|
1,007,030
|
Citibank, NA
|
12/27/2023
|
(33
)
|
USD
|
2,355
|
IDR
|
36,913,521
|
Barclays Bank plc**
|
12/27/2023
|
(17
)
|
USD
|
9,428
|
JPY
|
1,412,190
|
Goldman Sachs International
|
12/27/2023
|
(134
)
|
USD
|
19,801
|
MXN
|
346,905
|
Citibank, NA
|
12/27/2023
|
(97
)
|
USD
|
982
|
MXN
|
17,381
|
Goldman Sachs International
|
12/27/2023
|
(15
)
|
USD
|
2,326
|
PHP
|
130,210
|
Barclays Bank plc**
|
12/27/2023
|
(20
)
|
USD
|
3,706
|
PLN
|
15,205
|
Barclays Bank plc
|
12/27/2023
|
(92
)
|
USD
|
2,391
|
SGD
|
3,199
|
Barclays Bank plc
|
12/27/2023
|
(4
)
|
USD
|
2,586
|
TWD
|
83,407
|
Goldman Sachs International**
|
12/27/2023
|
(84
)
|
ZAR
|
44,072
|
AUD
|
3,650
|
Citibank, NA
|
12/27/2023
|
(81
)
|
ZAR
|
21,860
|
USD
|
1,186
|
Merrill Lynch International
|
12/27/2023
|
(29
)
|
Total unrealized depreciation
|
(2,837
)
|
|||||
Net unrealized depreciation
|
(1,840
)
|
Abbreviations
|
|
AUD
|
Australian Dollar
|
BRL
|
Brazilian Real
|
CLP
|
Chile Peso
|
CZK
|
Czech Republic Koruna
|
EUR
|
Euro
|
GBP
|
British Pound
|
HUF
|
Hungarian Forint
|
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
|
TWD
|
Taiwan Dollar
|
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.41-V2
|
5.00
|
Quarterly
|
12/20/2028
|
4.03
|
USD33,378
|
(301
)
|
(1,312
)
|
(1,613
)
|
CDX.NA.HY.41-V2
|
5.00
|
Quarterly
|
12/20/2028
|
4.03
|
USD69,843
|
(432
)
|
(2,944
)
|
(3,376
)
|
|
|
|
|
|
|
(733
)
|
(4,256
)
|
(4,989
)
|
(*)
|
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
|
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.41-V2
|
5.00
|
Quarterly
|
12/20/2028
|
4.03
|
USD23,099
|
463
|
654
|
1,117
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also
receive or pay an upfront premium from or to the protection buyer,
and is obligated to make 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/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
|
1 day CDI at termination
|
10.58 at termination
|
Pay
|
1/2/2026
|
BRL25,756
|
—
|
60
|
1 day CDI at termination
|
11.00 at termination
|
Pay
|
1/4/2027
|
BRL12,910
|
—
|
71
|
1 day CDI at termination
|
11.92 at termination
|
Pay
|
1/2/2025
|
BRL39,280
|
—
|
21
|
|
|
|
|
|
—
|
152
|
1 day CDI at termination
|
11.91 at termination
|
Pay
|
1/2/2025
|
BRL38,486
|
—
|
(41
)
|
1 week CNY NDIRS quarterly
|
3.40 quarterly
|
Receive
|
9/20/2028
|
CNY125,451
|
—
|
(547
)
|
|
|
|
|
|
—
|
(588
)
|
|
|
|
|
|
—
|
(436
)
|
Abbreviations
|
|
BRL
|
Brazilian Real
|
CDI
|
Certificate of interbank deposits
|
CNY
|
China Yuan
|
NDIRS
|
Non-Deliverable Interest Rate Swap
|
(a)
|
Value of floating rate index at November 30, 2023 was as follows:
|
FLOATING RATE INDEX
|
VALUE
|
1 day CDI
|
0.32%
|
1 week CNY NDIRS
|
2.32
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$227,968
|
$—
|
$227,968
|
Collateralized Mortgage Obligations
|
—
|
45,399
|
3,775
|
49,174
|
Commercial Mortgage-Backed Securities
|
—
|
58,567
|
7,568
|
66,135
|
Common Stocks
|
|
|
|
|
Communications Equipment
|
—
|
—
|
—
(a)
|
—
(a)
|
Machinery
|
—
|
—
|
—
(a)
|
—
(a)
|
Media
|
33
|
—
|
—
|
33
|
Professional Services
|
—
|
—
|
26
|
26
|
Specialty Retail
|
—
|
—
|
442
|
442
|
Total Common Stocks
|
33
|
—
|
468
|
501
|
Convertible Bonds
|
—
|
35,535
|
—
|
35,535
|
Convertible Preferred Stocks
|
—
|
—
|
1,687
|
1,687
|
Corporate Bonds
|
|
|
|
|
Aerospace & Defense
|
—
|
1,318
|
—
|
1,318
|
Automobile Components
|
—
|
3,941
|
—
|
3,941
|
Automobiles
|
—
|
4,036
|
—
|
4,036
|
Banks
|
—
|
115,063
|
—
|
115,063
|
Beverages
|
—
|
1,584
|
—
|
1,584
|
Biotechnology
|
—
|
5,938
|
—
|
5,938
|
Broadline Retail
|
—
|
710
|
—
|
710
|
Building Products
|
—
|
901
|
—
|
901
|
Capital Markets
|
—
|
33,925
|
—
|
33,925
|
Chemicals
|
—
|
5,789
|
—
|
5,789
|
Commercial Services & Supplies
|
—
|
2,642
|
—
|
2,642
|
Communications Equipment
|
—
|
450
|
—
|
450
|
Construction & Engineering
|
—
|
1,956
|
—
|
1,956
|
Construction Materials
|
—
|
984
|
—
|
984
|
Consumer Finance
|
—
|
14,372
|
—
|
14,372
|
Consumer Staples Distribution & Retail
|
—
|
1,060
|
—
|
1,060
|
Containers & Packaging
|
—
|
2,888
|
—
|
2,888
|
Distributors
|
—
|
145
|
—
|
145
|
Diversified Consumer Services
|
—
|
229
|
—
|
229
|
Diversified REITs
|
—
|
523
|
—
|
523
|
Diversified Telecommunication Services
|
—
|
9,192
|
28
|
9,220
|
Electric Utilities
|
—
|
29,067
|
—
|
29,067
|
Electrical Equipment
|
—
|
137
|
—
|
137
|
Electronic Equipment, Instruments & Components
|
—
|
827
|
—
|
827
|
Energy Equipment & Services
|
—
|
1,217
|
—
|
1,217
|
Entertainment
|
—
|
6,631
|
—
|
6,631
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Financial Services
|
$—
|
$3,779
|
$—
|
$3,779
|
Food Products
|
—
|
3,963
|
—
|
3,963
|
Gas Utilities
|
—
|
269
|
—
|
269
|
Ground Transportation
|
—
|
1,689
|
—
|
1,689
|
Health Care Equipment & Supplies
|
—
|
2,288
|
—
|
2,288
|
Health Care Providers & Services
|
—
|
11,950
|
—
|
11,950
|
Health Care REITs
|
—
|
2,250
|
—
|
2,250
|
Health Care Technology
|
—
|
945
|
—
|
945
|
Hotel & Resort REITs
|
—
|
59
|
—
|
59
|
Hotels, Restaurants & Leisure
|
—
|
4,766
|
—
|
4,766
|
Household Durables
|
—
|
566
|
—
|
566
|
Household Products
|
—
|
1,005
|
—
|
1,005
|
Independent Power and Renewable Electricity Producers
|
—
|
3,060
|
—
|
3,060
|
Industrial Conglomerates
|
—
|
289
|
—
|
289
|
Insurance
|
—
|
4,647
|
—
|
4,647
|
Interactive Media & Services
|
—
|
853
|
—
|
853
|
IT Services
|
—
|
399
|
—
|
399
|
Leisure Products
|
—
|
189
|
—
|
189
|
Life Sciences Tools & Services
|
—
|
1,399
|
—
|
1,399
|
Machinery
|
—
|
786
|
—
|
786
|
Media
|
—
|
11,669
|
—
|
11,669
|
Metals & Mining
|
—
|
10,073
|
—
|
10,073
|
Multi-Utilities
|
—
|
2,888
|
—
|
2,888
|
Office REITs
|
—
|
288
|
—
|
288
|
Oil, Gas & Consumable Fuels
|
—
|
31,368
|
—
|
31,368
|
Paper & Forest Products
|
—
|
1,189
|
—
|
1,189
|
Passenger Airlines
|
—
|
2,213
|
—
|
2,213
|
Personal Care Products
|
—
|
1,061
|
—
|
1,061
|
Pharmaceuticals
|
—
|
3,640
|
—
|
3,640
|
Professional Services
|
—
|
185
|
—
|
185
|
Real Estate Management & Development
|
—
|
525
|
—
|
525
|
Retail REITs
|
—
|
279
|
—
|
279
|
Semiconductors & Semiconductor Equipment
|
—
|
6,766
|
—
|
6,766
|
Software
|
—
|
3,646
|
—
|
3,646
|
Specialized REITs
|
—
|
2,237
|
—
|
2,237
|
Specialty Retail
|
—
|
1,522
|
—
|
1,522
|
Technology Hardware, Storage & Peripherals
|
—
|
123
|
—
|
123
|
Textiles, Apparel & Luxury Goods
|
—
|
246
|
—
|
246
|
Tobacco
|
—
|
5,388
|
—
|
5,388
|
Trading Companies & Distributors
|
—
|
1,379
|
—
|
1,379
|
Transportation Infrastructure
|
—
|
787
|
—
|
787
|
Wireless Telecommunication Services
|
—
|
5,701
|
—
|
5,701
|
Total Corporate Bonds
|
—
|
383,849
|
28
|
383,877
|
Foreign Government Securities
|
—
|
82,597
|
—
|
82,597
|
Loan Assignments
|
—
|
5,535
|
—
|
5,535
|
Mortgage-Backed Securities
|
—
|
166,793
|
—
|
166,793
|
Preferred Stocks
|
—
|
—
|
175
|
175
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
Rights
|
$—
|
$—
|
$53
|
$53
|
Supranational
|
—
|
2,844
|
—
|
2,844
|
U.S. Treasury Obligations
|
—
|
30
|
—
|
30
|
Warrants
|
—
|
—
|
196
|
196
|
Short-Term Investments
|
|
|
|
|
Investment Companies
|
68,824
|
—
|
—
|
68,824
|
Total Investments in Securities
|
$68,857
|
$1,009,117
|
$13,950
|
$1,091,924
|
Appreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$997
|
$—
|
$997
|
Futures Contracts
|
2,097
|
168
|
—
|
2,265
|
Swaps
|
—
|
806
|
—
|
806
|
Depreciation in Other Financial Instruments
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
—
|
(2,837
)
|
—
|
(2,837
)
|
Futures Contracts
|
(1,826
)
|
—
|
—
|
(1,826
)
|
Swaps
|
—
|
(4,844
)
|
—
|
(4,844
)
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$271
|
$(5,710
)
|
$—
|
$(5,439
)
|
|
|
(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
November 30,
2023
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage
Obligations
|
$3,961
|
$—
|
$197
|
$—
(a)
|
$—
|
$(383
)
|
$—
|
$—
|
$3,775
|
Commercial Mortgage-Backed
Securities
|
5,985
|
—
|
33
|
—
|
1,551
|
(1
)
|
—
|
—
|
7,568
|
Common Stocks
|
364
|
—
|
(70
)
|
—
|
174
|
—
|
—
|
—
|
468
|
Convertible Preferred Stocks
|
1,798
|
—
|
(111
)
|
—
|
—
|
—
|
—
|
—
|
1,687
|
Corporate Bonds
|
—
|
—
|
(6
)
|
—
(a)
|
—
|
—
|
34
|
—
|
28
|
Preferred Stocks
|
267
|
—
|
(92
)
|
—
|
—
|
—
|
—
|
—
|
175
|
Rights
|
53
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
53
|
Warrants
|
428
|
—
|
(232
)
|
—
|
—
|
—
|
—
|
—
|
196
|
Total
|
$12,856
|
$—
|
$(281
)
|
$—
(a)
|
$1,725
|
$(384
)
|
$34
|
$—
|
$13,950
|
|
|||||||||
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
November 30, 2023
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
$3,655
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
11.69% (11.69%)
|
|
|
|
|
|
Loan Assignments
|
3,655
|
|
|
|
|
|
|
|
|
|
-(b
)
|
Market Comparable Companies
|
EBITDA Multiple (c)
|
5.0x (5.0x)
|
|
|
|
Discount for Potential Outcome
|
30.00% (30.00%)
|
|
|
|
|
|
Preferred Stocks
|
-(b
)
|
|
|
|
|
-(b
)
|
Market Comparable Companies
|
EBITDA Multiple (c)
|
5.0x (5.0x)
|
|
|
|
Liquidity Discount
|
30.00% (30.00%)
|
|
|
|
|
|
Common Stocks
|
-(b
)
|
|
|
|
Total
|
$3,655
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At November 30, 2023, the value
of these investments was $10,295. The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
(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 November 30, 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
November 30,
2023
|
Shares at
November 30,
2023
|
Dividend
Income
|
Capital Gain
Distributions
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 5.39% (a) (b)
|
$117,344
|
$556,422
|
$604,945
|
$(18
)
|
$21
|
$68,824
|
68,783
|
$3,204
|
$—
|
|
|
(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 November 30, 2023.
|