Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 97.3%
|
|
|
|
Basic Materials — 1.8%
|
|
2,600
|
|
Agnico Eagle Mines Ltd.
|
142,610
|
3,743
|
|
CF Industries Holdings, Inc.
|
297,569
|
2,581
|
|
Dow, Inc.
|
141,542
|
2,323
|
|
DuPont de Nemours, Inc.
|
178,708
|
3,580
|
|
FMC Corp.
|
225,719
|
1,000
|
|
Franco-Nevada Corp.
|
110,810
|
10,694
|
|
Freeport-McMoRan, Inc.
|
455,244
|
2,060
|
|
International Paper Co.
|
74,469
|
4,247
|
|
Linde PLC
|
1,744,285
|
2,766
|
|
Newmont Corp.
|
114,485
|
506
|
|
Nucor Corp.
|
88,064
|
1,570
|
|
Nutrien Ltd.
|
88,438
|
1,229
|
|
RPM International, Inc.
|
137,193
|
1,611
|
|
Sherwin-Williams Co.
|
502,471
|
4,858
|
|
Steel Dynamics, Inc.
|
573,730
|
|
|
|
4,875,337
|
|
|
Communications — 13.9%
|
|
3,968
|
|
Airbnb, Inc. Class A*
|
540,204
|
28,106
|
|
Alphabet, Inc. Class A*
|
3,926,127
|
44,325
|
|
Alphabet, Inc. Class C*
|
6,246,722
|
64,571
|
|
Amazon.com, Inc. *
|
9,810,918
|
1,397
|
|
Arista Networks, Inc. *
|
329,007
|
17,372
|
|
AT&T, Inc.
|
291,502
|
293
|
|
Booking Holdings, Inc. *
|
1,039,335
|
574
|
|
Charter Communications, Inc. Class A*
|
223,102
|
13,267
|
|
Cisco Systems, Inc.
|
670,249
|
28,946
|
|
Comcast Corp. Class A
|
1,269,282
|
945
|
|
eBay, Inc.
|
41,221
|
558
|
|
Expedia Group, Inc. *
|
84,699
|
2,120
|
|
Fox Corp. Class A
|
62,900
|
16,918
|
|
Gen Digital, Inc.
|
386,069
|
350
|
|
GoDaddy, Inc. Class A*
|
37,156
|
110
|
|
MercadoLibre, Inc. *
|
172,869
|
14,554
|
|
Meta Platforms, Inc. Class A*
|
5,151,534
|
4,609
|
|
Netflix, Inc. *
|
2,244,030
|
1,094
|
|
Palo Alto Networks, Inc. *
|
322,599
|
15,610
|
|
T-Mobile U.S., Inc.
|
2,502,751
|
832
|
|
Trade Desk, Inc. Class A*
|
59,871
|
16,630
|
|
Uber Technologies, Inc. *
|
1,023,909
|
12,660
|
|
Verizon Communications, Inc.
|
477,282
|
10,050
|
|
Walt Disney Co.
|
907,415
|
|
|
|
37,820,753
|
|
|
Consumer, Cyclical — 8.9%
|
|
2,956
|
|
Alaska Air Group, Inc. *
|
115,491
|
3,746
|
|
Aptiv PLC *
|
336,091
|
731
|
|
Autoliv, Inc.
|
80,549
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Cyclical — continued
|
|
170
|
|
AutoZone, Inc. *
|
439,554
|
2,284
|
|
Bath & Body Works, Inc.
|
98,577
|
2,352
|
|
Best Buy Co., Inc.
|
184,115
|
1,002
|
|
Burlington Stores, Inc. *
|
194,869
|
340
|
|
Chipotle Mexican Grill, Inc. *
|
777,566
|
7,801
|
|
Copart, Inc. *
|
382,249
|
2,833
|
|
Costco Wholesale Corp.
|
1,870,007
|
3,127
|
|
Cummins, Inc.
|
749,135
|
5,308
|
|
Delta Air Lines, Inc.
|
213,541
|
1,906
|
|
Dollar General Corp.
|
259,121
|
372
|
|
Dollar Tree, Inc. *
|
52,843
|
5,372
|
|
Dr Ing hc F Porsche AG ADR
|
46,951
|
150
|
|
Ferguson PLC
|
28,961
|
12,231
|
|
General Motors Co.
|
439,338
|
2,870
|
|
Hilton Worldwide Holdings, Inc.
|
522,598
|
6,447
|
|
Home Depot, Inc.
|
2,234,208
|
7,574
|
|
Las Vegas Sands Corp.
|
372,717
|
326
|
|
Lithia Motors, Inc.
|
107,345
|
1,158
|
|
LKQ Corp.
|
55,341
|
2,618
|
|
Lowe's Cos., Inc.
|
582,636
|
1,050
|
|
Lululemon Athletica, Inc. *
|
536,855
|
846
|
|
LVMH Moet Hennessy Louis Vuitton SE ADR
|
137,433
|
1,255
|
|
Magna International, Inc. (a)
|
74,145
|
1,699
|
|
Marriott International, Inc. Class A
|
383,141
|
4,745
|
|
McDonald's Corp.
|
1,406,940
|
761
|
|
Mobileye Global, Inc. Class A*(a)
|
32,967
|
10,117
|
|
NIKE, Inc. Class B
|
1,098,403
|
6,206
|
|
Norwegian Cruise Line Holdings Ltd. *(a)
|
124,368
|
80
|
|
NVR, Inc. *
|
560,036
|
617
|
|
O'Reilly Automotive, Inc. *
|
586,199
|
1,634
|
|
PACCAR, Inc.
|
159,560
|
1,214
|
|
PulteGroup, Inc.
|
125,309
|
8,256
|
|
Rivian Automotive, Inc. Class A*(a)
|
193,686
|
3,708
|
|
Ross Stores, Inc.
|
513,150
|
3,660
|
|
Royal Caribbean Cruises Ltd. *
|
473,933
|
300
|
|
SiteOne Landscape Supply, Inc. *
|
48,750
|
6,441
|
|
Southwest Airlines Co.
|
186,016
|
4,267
|
|
Starbucks Corp.
|
409,675
|
934
|
|
Tapestry, Inc.
|
34,381
|
3,643
|
|
Target Corp.
|
518,836
|
16,492
|
|
Tesla, Inc. *
|
4,097,932
|
6,351
|
|
TJX Cos., Inc.
|
595,787
|
1,748
|
|
United Airlines Holdings, Inc. *
|
72,122
|
8,916
|
|
Walmart, Inc.
|
1,405,607
|
2,430
|
|
Wynn Resorts Ltd.
|
221,397
|
|
|
|
24,140,431
|
|
|
Consumer, Non-cyclical — 18.9%
|
|
8,613
|
|
Abbott Laboratories
|
948,033
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Non-cyclical — continued
|
|
9,641
|
|
AbbVie, Inc.
|
1,494,066
|
1,300
|
|
Agilent Technologies, Inc.
|
180,739
|
292
|
|
Align Technology, Inc. *
|
80,008
|
11,455
|
|
Altria Group, Inc.
|
462,095
|
3,678
|
|
Amgen, Inc.
|
1,059,338
|
6,023
|
|
AstraZeneca PLC ADR
|
405,649
|
3,193
|
|
Avantor, Inc. *
|
72,896
|
1,065
|
|
Avery Dennison Corp.
|
215,300
|
10,227
|
|
Baxter International, Inc.
|
395,376
|
2,072
|
|
Becton Dickinson & Co.
|
505,216
|
1,403
|
|
Biogen, Inc. *
|
363,054
|
700
|
|
BioMarin Pharmaceutical, Inc. *
|
67,494
|
2,500
|
|
Bio-Techne Corp.
|
192,900
|
6,276
|
|
Boston Scientific Corp. *
|
362,816
|
9,966
|
|
Bristol-Myers Squibb Co.
|
511,355
|
2,978
|
|
Cardinal Health, Inc.
|
300,182
|
3,500
|
|
Catalent, Inc. *
|
157,255
|
1,191
|
|
Cencora, Inc.
|
244,608
|
600
|
|
Centene Corp. *
|
44,526
|
3,373
|
|
Cigna Group
|
1,010,045
|
465
|
|
Cintas Corp.
|
280,237
|
200
|
|
Clorox Co.
|
28,518
|
25,058
|
|
Coca-Cola Co.
|
1,476,668
|
8,842
|
|
Colgate-Palmolive Co.
|
704,796
|
6,475
|
|
Conagra Brands, Inc.
|
185,573
|
1,597
|
|
Constellation Brands, Inc. Class A
|
386,075
|
2,142
|
|
CoStar Group, Inc. *
|
187,189
|
6,945
|
|
CVS Health Corp.
|
548,377
|
3,228
|
|
Danaher Corp.
|
746,766
|
4,109
|
|
DENTSPLY SIRONA, Inc.
|
146,239
|
3,189
|
|
Dexcom, Inc. *
|
395,723
|
4,973
|
|
Edwards Lifesciences Corp. *
|
379,191
|
2,005
|
|
Elevance Health, Inc.
|
945,478
|
931
|
|
elf Beauty, Inc. *
|
134,381
|
6,893
|
|
Eli Lilly & Co.
|
4,018,068
|
852
|
|
Equifax, Inc.
|
210,691
|
4,790
|
|
Exelixis, Inc. *
|
114,912
|
1,941
|
|
FleetCor Technologies, Inc. *
|
548,546
|
467
|
|
Gartner, Inc. *
|
210,668
|
3,213
|
|
Gilead Sciences, Inc.
|
260,285
|
9,906
|
|
Global Payments, Inc.
|
1,258,062
|
4,410
|
|
GSK PLC ADR
|
163,435
|
847
|
|
HCA Healthcare, Inc.
|
229,266
|
4,330
|
|
Hologic, Inc. *
|
309,378
|
706
|
|
Humana, Inc.
|
323,214
|
603
|
|
ICON PLC ADR*
|
170,691
|
859
|
|
Ingredion, Inc.
|
93,227
|
3,382
|
|
Intuitive Surgical, Inc. *
|
1,140,951
|
283
|
|
IQVIA Holdings, Inc. *
|
65,481
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Non-cyclical — continued
|
|
1,211
|
|
Jazz Pharmaceuticals PLC *
|
148,953
|
12,781
|
|
Johnson & Johnson
|
2,003,294
|
20,645
|
|
Kenvue, Inc.
|
444,487
|
17,415
|
|
Keurig Dr Pepper, Inc.
|
580,268
|
6,630
|
|
Koninklijke Philips NV ADR NYRS*(a)
|
154,678
|
6,023
|
|
Kraft Heinz Co.
|
222,731
|
6,942
|
|
Kroger Co.
|
317,319
|
1,012
|
|
L'Oreal SA ADR
|
100,603
|
336
|
|
MarketAxess Holdings, Inc.
|
98,398
|
1,512
|
|
McKesson Corp.
|
700,026
|
7,470
|
|
Medtronic PLC
|
615,379
|
14,136
|
|
Merck & Co., Inc.
|
1,541,107
|
550
|
|
Moderna, Inc. *
|
54,697
|
623
|
|
Molina Healthcare, Inc. *
|
225,096
|
10,793
|
|
Mondelez International, Inc. Class A
|
781,737
|
5,705
|
|
Monster Beverage Corp. *
|
328,665
|
733
|
|
Moody's Corp.
|
286,280
|
6,012
|
|
Novo Nordisk AS ADR
|
621,941
|
3,040
|
|
Organon & Co.
|
43,837
|
5,142
|
|
PayPal Holdings, Inc. *
|
315,770
|
267
|
|
Penumbra, Inc. *
|
67,161
|
6,571
|
|
PepsiCo, Inc.
|
1,116,019
|
16,381
|
|
Pfizer, Inc.
|
471,609
|
13,271
|
|
Philip Morris International, Inc.
|
1,248,536
|
14,095
|
|
Procter & Gamble Co.
|
2,065,481
|
373
|
|
Quest Diagnostics, Inc.
|
51,429
|
473
|
|
Regeneron Pharmaceuticals, Inc. *
|
415,431
|
453
|
|
Repligen Corp. *
|
81,449
|
2,183
|
|
S&P Global, Inc.
|
961,655
|
2,687
|
|
Stryker Corp.
|
804,649
|
3,098
|
|
Sysco Corp.
|
226,557
|
829
|
|
Teleflex, Inc.
|
206,703
|
3,428
|
|
Tenet Healthcare Corp. *
|
259,054
|
3,328
|
|
Thermo Fisher Scientific, Inc.
|
1,766,469
|
5,347
|
|
Tyson Foods, Inc. Class A
|
287,401
|
130
|
|
United Rentals, Inc.
|
74,545
|
6,293
|
|
UnitedHealth Group, Inc.
|
3,313,076
|
973
|
|
Verisk Analytics, Inc.
|
232,411
|
2,554
|
|
Vertex Pharmaceuticals, Inc. *
|
1,039,197
|
43,088
|
|
Viatris, Inc.
|
466,643
|
865
|
|
WillScot Mobile Mini Holdings Corp. *
|
38,492
|
4,047
|
|
Zimmer Biomet Holdings, Inc.
|
492,520
|
5,885
|
|
Zoetis, Inc.
|
1,161,522
|
|
|
|
51,168,312
|
|
|
Energy — 4.0%
|
|
6,778
|
|
BP PLC ADR
|
239,941
|
1,794
|
|
Canadian Natural Resources Ltd.
|
117,543
|
728
|
|
Chesapeake Energy Corp. (a)
|
56,012
|
Shares
|
|
Description
|
Value ($)
|
|
|
Energy — continued
|
|
9,882
|
|
Chevron Corp.
|
1,473,999
|
13,350
|
|
ConocoPhillips
|
1,549,535
|
7,889
|
|
Coterra Energy, Inc.
|
201,327
|
2,350
|
|
Devon Energy Corp.
|
106,455
|
1,681
|
|
Diamondback Energy, Inc.
|
260,690
|
4,780
|
|
EOG Resources, Inc.
|
578,141
|
3,142
|
|
EQT Corp.
|
121,470
|
25,092
|
|
Exxon Mobil Corp.
|
2,508,698
|
334
|
|
First Solar, Inc. *
|
57,542
|
9,762
|
|
Halliburton Co.
|
352,896
|
1,594
|
|
Hess Corp.
|
229,791
|
2,212
|
|
Marathon Oil Corp.
|
53,442
|
6,012
|
|
Marathon Petroleum Corp.
|
891,940
|
1,200
|
|
Phillips 66
|
159,768
|
1,485
|
|
Pioneer Natural Resources Co.
|
333,947
|
10,972
|
|
Schlumberger NV
|
570,983
|
2,833
|
|
Shell PLC ADR
|
186,411
|
3,777
|
|
Suncor Energy, Inc.
|
121,015
|
2,822
|
|
Valero Energy Corp.
|
366,860
|
8,968
|
|
Williams Cos., Inc.
|
312,355
|
|
|
|
10,850,761
|
|
|
Financial — 13.9%
|
|
3,882
|
|
AerCap Holdings NV *
|
288,510
|
1,682
|
|
Aflac, Inc.
|
138,765
|
1,190
|
|
Allstate Corp.
|
166,576
|
4,787
|
|
American Express Co.
|
896,797
|
3,183
|
|
American Homes 4 Rent REIT Class A
|
114,461
|
18,374
|
|
American International Group, Inc.
|
1,244,838
|
4,599
|
|
American Tower Corp. REIT
|
992,832
|
2,485
|
|
Apollo Global Management, Inc.
|
231,577
|
2,046
|
|
ARES Management Corp. Class A
|
243,310
|
1,282
|
|
AvalonBay Communities, Inc. REIT
|
240,016
|
33,368
|
|
Bank of America Corp.
|
1,123,501
|
7,862
|
|
Bank of New York Mellon Corp.
|
409,217
|
8,407
|
|
Berkshire Hathaway, Inc. Class B*
|
2,998,441
|
349
|
|
BlackRock, Inc.
|
283,318
|
500
|
|
Camden Property Trust REIT
|
49,645
|
399
|
|
Capital One Financial Corp.
|
52,317
|
1,246
|
|
Cboe Global Markets, Inc.
|
222,486
|
1,337
|
|
CBRE Group, Inc. Class A*
|
124,461
|
18,788
|
|
Charles Schwab Corp.
|
1,292,614
|
5,195
|
|
Chubb Ltd.
|
1,174,070
|
26,599
|
|
Citigroup, Inc.
|
1,368,253
|
1,188
|
|
CME Group, Inc.
|
250,193
|
26,747
|
|
Corebridge Financial, Inc.
|
579,340
|
4,107
|
|
Discover Financial Services
|
461,627
|
2,700
|
|
East West Bancorp, Inc.
|
194,265
|
689
|
|
Equinix, Inc. REIT
|
554,914
|
Shares
|
|
Description
|
Value ($)
|
|
|
Financial — continued
|
|
13,373
|
|
Equitable Holdings, Inc.
|
445,321
|
1,196
|
|
Essex Property Trust, Inc. REIT
|
296,536
|
1,473
|
|
Extra Space Storage, Inc. REIT
|
236,166
|
14,615
|
|
Fifth Third Bancorp
|
504,071
|
2,040
|
|
Goldman Sachs Group, Inc.
|
786,971
|
12,878
|
|
Hartford Financial Services Group, Inc.
|
1,035,134
|
6,078
|
|
Host Hotels & Resorts, Inc. REIT
|
118,339
|
1,320
|
|
Howard Hughes Holdings, Inc. *
|
112,926
|
24,225
|
|
Huntington Bancshares, Inc.
|
308,142
|
4,858
|
|
Intercontinental Exchange, Inc.
|
623,913
|
18,307
|
|
JPMorgan Chase & Co.
|
3,114,021
|
2,617
|
|
Kimco Realty Corp. REIT
|
55,768
|
2,200
|
|
KKR & Co., Inc.
|
182,270
|
829
|
|
LPL Financial Holdings, Inc.
|
188,697
|
6,696
|
|
Mastercard, Inc. Class A
|
2,855,911
|
10,601
|
|
MetLife, Inc.
|
701,044
|
7,637
|
|
Morgan Stanley
|
712,150
|
13,175
|
|
New York Community Bancorp, Inc.
|
134,780
|
376
|
|
PNC Financial Services Group, Inc.
|
58,224
|
1,071
|
|
Principal Financial Group, Inc.
|
84,256
|
6,493
|
|
Prologis, Inc. REIT
|
865,517
|
1,082
|
|
Public Storage REIT
|
330,010
|
2,011
|
|
RenaissanceRe Holdings Ltd.
|
394,156
|
7,312
|
|
Rexford Industrial Realty, Inc. REIT
|
410,203
|
2,160
|
|
Simon Property Group, Inc. REIT
|
308,102
|
2,537
|
|
State Street Corp.
|
196,516
|
300
|
|
Sun Communities, Inc. REIT
|
40,095
|
6,776
|
|
Synchrony Financial
|
258,775
|
1,301
|
|
Tradeweb Markets, Inc. Class A
|
118,235
|
1,900
|
|
Travelers Cos., Inc.
|
361,931
|
4,251
|
|
Truist Financial Corp.
|
156,947
|
13,205
|
|
Visa, Inc. Class A
|
3,437,922
|
32,586
|
|
Wells Fargo & Co.
|
1,603,883
|
4,358
|
|
Welltower, Inc. REIT
|
392,961
|
1,654
|
|
Western Alliance Bancorp
|
108,817
|
5,142
|
|
Weyerhaeuser Co. REIT
|
178,787
|
696
|
|
Willis Towers Watson PLC
|
167,875
|
|
|
|
37,581,716
|
|
|
Industrial — 7.0%
|
|
4,204
|
|
3M Co.
|
459,581
|
2,938
|
|
Amcor PLC
|
28,322
|
7,738
|
|
Amphenol Corp. Class A
|
767,068
|
4,842
|
|
Ball Corp.
|
278,512
|
6,609
|
|
Boeing Co. *
|
1,722,702
|
2,193
|
|
Builders FirstSource, Inc. *
|
366,099
|
3,067
|
|
Canadian National Railway Co.
|
385,307
|
1,683
|
|
Canadian Pacific Kansas City Ltd. (a)
|
133,058
|
7,945
|
|
Carrier Global Corp.
|
456,440
|
Shares
|
|
Description
|
Value ($)
|
|
|
Industrial — continued
|
|
675
|
|
Caterpillar, Inc.
|
199,577
|
1,729
|
|
CH Robinson Worldwide, Inc.
|
149,368
|
739
|
|
Chart Industries, Inc. *(a)
|
100,748
|
1,273
|
|
Crown Holdings, Inc.
|
117,231
|
16,326
|
|
CSX Corp.
|
566,022
|
1,084
|
|
Deere & Co.
|
433,459
|
406
|
|
Emerson Electric Co.
|
39,516
|
1,162
|
|
Esab Corp.
|
100,652
|
1,554
|
|
Expeditors International of Washington, Inc.
|
197,669
|
2,284
|
|
FedEx Corp.
|
577,784
|
1,008
|
|
General Dynamics Corp.
|
261,747
|
12,627
|
|
General Electric Co.
|
1,611,584
|
5,111
|
|
Honeywell International, Inc.
|
1,071,828
|
6,147
|
|
Howmet Aerospace, Inc.
|
332,676
|
648
|
|
Huntington Ingalls Industries, Inc.
|
168,247
|
1,125
|
|
IDEX Corp.
|
244,249
|
6,159
|
|
Ingersoll Rand, Inc.
|
476,337
|
812
|
|
JB Hunt Transport Services, Inc.
|
162,189
|
3,024
|
|
Johnson Controls International PLC
|
174,303
|
303
|
|
Keysight Technologies, Inc. *
|
48,204
|
2,204
|
|
L3Harris Technologies, Inc.
|
464,207
|
833
|
|
Lockheed Martin Corp.
|
377,549
|
1,878
|
|
Norfolk Southern Corp.
|
443,922
|
700
|
|
Northrop Grumman Corp.
|
327,698
|
1,696
|
|
Old Dominion Freight Line, Inc.
|
687,440
|
1,869
|
|
Otis Worldwide Corp.
|
167,219
|
728
|
|
Packaging Corp. of America
|
118,599
|
1,117
|
|
Republic Services, Inc.
|
184,205
|
528
|
|
Rockwell Automation, Inc.
|
163,934
|
5,665
|
|
RTX Corp.
|
476,653
|
870
|
|
Saia, Inc. *
|
381,251
|
7,934
|
|
Stanley Black & Decker, Inc.
|
778,325
|
3,189
|
|
TE Connectivity Ltd.
|
448,055
|
880
|
|
Teledyne Technologies, Inc. *
|
392,735
|
585
|
|
Trane Technologies PLC
|
142,682
|
534
|
|
TransDigm Group, Inc.
|
540,194
|
403
|
|
Veralto Corp.
|
33,151
|
4,425
|
|
Vontier Corp.
|
152,884
|
1,318
|
|
Vulcan Materials Co.
|
299,199
|
3,083
|
|
Waste Connections, Inc.
|
460,199
|
3,411
|
|
West Fraser Timber Co. Ltd.
|
291,913
|
3,981
|
|
Westrock Co.
|
165,291
|
|
|
|
19,127,784
|
|
|
Technology — 26.7%
|
|
6,735
|
|
Accenture PLC Class A
|
2,363,379
|
4,093
|
|
Adobe, Inc. *
|
2,441,884
|
6,874
|
|
Advanced Micro Devices, Inc. *
|
1,013,296
|
583
|
|
Analog Devices, Inc.
|
115,760
|
Shares
|
|
Description
|
Value ($)
|
|
|
Technology — continued
|
|
83,349
|
|
Apple, Inc.
|
16,047,183
|
2,359
|
|
Applied Materials, Inc.
|
382,323
|
941
|
|
ARM Holdings PLC ADR*(a)
|
70,711
|
1,057
|
|
ASML Holding NV ADR NYRS
|
800,064
|
1,674
|
|
Autodesk, Inc. *
|
407,586
|
3,122
|
|
Broadcom, Inc.
|
3,484,932
|
1,568
|
|
Broadridge Financial Solutions, Inc.
|
322,616
|
2,493
|
|
Cadence Design Systems, Inc. *
|
679,018
|
475
|
|
Crowdstrike Holdings, Inc. Class A*
|
121,277
|
720
|
|
Dell Technologies, Inc. Class C
|
55,080
|
2,784
|
|
Descartes Systems Group, Inc. *
|
234,023
|
13,018
|
|
DocuSign, Inc. *
|
773,920
|
5,117
|
|
Entegris, Inc.
|
613,119
|
135
|
|
Fair Isaac Corp. *
|
157,141
|
7,582
|
|
Fiserv, Inc. *
|
1,007,193
|
5,771
|
|
Fortinet, Inc. *
|
337,777
|
3,132
|
|
HP, Inc.
|
94,242
|
95
|
|
HubSpot, Inc. *
|
55,151
|
13,200
|
|
Intel Corp.
|
663,300
|
2,095
|
|
Intuit, Inc.
|
1,309,438
|
2,042
|
|
KLA Corp.
|
1,187,015
|
1,328
|
|
Lam Research Corp.
|
1,040,169
|
1,601
|
|
Lattice Semiconductor Corp. *
|
110,453
|
3,265
|
|
Marvell Technology, Inc.
|
196,912
|
2,626
|
|
Micron Technology, Inc.
|
224,103
|
48,274
|
|
Microsoft Corp.
|
18,152,954
|
284
|
|
MongoDB, Inc. *
|
116,113
|
426
|
|
Monolithic Power Systems, Inc.
|
268,712
|
212
|
|
MSCI, Inc.
|
119,918
|
16,876
|
|
NVIDIA Corp.
|
8,357,333
|
2,463
|
|
ON Semiconductor Corp. *
|
205,734
|
9,842
|
|
Pure Storage, Inc. Class A*
|
350,966
|
10,041
|
|
QUALCOMM, Inc.
|
1,452,230
|
1,144
|
|
Roper Technologies, Inc.
|
623,674
|
11,569
|
|
Salesforce, Inc. *
|
3,044,267
|
3,423
|
|
Samsara, Inc. Class A*
|
114,260
|
837
|
|
Seagate Technology Holdings PLC
|
71,455
|
1,459
|
|
ServiceNow, Inc. *
|
1,030,769
|
631
|
|
Snowflake, Inc. Class A*
|
125,569
|
1,459
|
|
Synopsys, Inc. *
|
751,254
|
1,076
|
|
Teradyne, Inc.
|
116,768
|
1,235
|
|
Texas Instruments, Inc.
|
210,518
|
5,888
|
|
Western Digital Corp. *
|
308,355
|
1,253
|
|
Workday, Inc. Class A*
|
345,903
|
400
|
|
Zebra Technologies Corp. Class A*
|
109,332
|
1,342
|
|
Zscaler, Inc. *
|
297,334
|
|
|
|
72,482,483
|
Shares
|
|
Description
|
Value ($)
|
|
|
Utilities — 2.2%
|
|
4,548
|
|
Ameren Corp.
|
329,002
|
3,900
|
|
CenterPoint Energy, Inc.
|
111,423
|
6,886
|
|
CMS Energy Corp.
|
399,870
|
18,419
|
|
Dominion Energy, Inc.
|
865,693
|
2,386
|
|
Edison International
|
170,575
|
763
|
|
Evergy, Inc.
|
39,829
|
16,853
|
|
FirstEnergy Corp.
|
617,831
|
19,132
|
|
NextEra Energy, Inc.
|
1,162,078
|
2,600
|
|
NiSource, Inc.
|
69,030
|
4,770
|
|
NRG Energy, Inc.
|
246,609
|
50,367
|
|
PG&E Corp.
|
908,117
|
8,411
|
|
PPL Corp.
|
227,938
|
8,684
|
|
Southern Co.
|
608,922
|
3,174
|
|
UGI Corp.
|
78,080
|
|
|
|
5,834,997
|
|
|
TOTAL COMMON STOCKS (COST $225,118,506)
|
263,882,574
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
Short-Term Investment — 0.1%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.1%
|
|
366,028
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(b)(c)
|
366,028
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $366,028)
|
366,028
|
|
|
TOTAL INVESTMENTS — 97.4%
(Cost $225,484,534)
|
264,248,602
|
|
|
Other Assets and Liabilities (net) — 2.6%
|
7,101,420
|
|
|
NET ASSETS — 100.0%
|
$271,350,022
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of this security is out on loan.
|
(b)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(c)
|
Represents an investment of securities lending cash collateral.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
20
|
S&P 500 E-mini Index
|
Mar 2024
|
$4,820,000
|
$156,838
|
Abbreviations
|
||
ADR
|
—
|
American Depository Receipt
|
NYRS
|
—
|
New York Registry Shares
|
REIT
|
—
|
Real Estate Investment Trust
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
Common Stocks
|
97.3
|
Futures Contract
|
0.1
|
Short-Term Investment
|
0.1
|
Other Assets and Liabilities (net)
|
2.5
|
|
100.0%
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 96.3%
|
|
|
|
Basic Materials — 2.1%
|
|
91,541
|
|
ATI, Inc. *
|
4,162,369
|
42,800
|
|
Chemours Co.
|
1,349,912
|
15,500
|
|
Eastman Chemical Co.
|
1,392,210
|
203,166
|
|
Element Solutions, Inc.
|
4,701,261
|
3,400
|
|
Huntsman Corp.
|
85,442
|
20,900
|
|
Ingevity Corp. *
|
986,898
|
39,900
|
|
Koppers Holdings, Inc.
|
2,043,678
|
48,900
|
|
Mosaic Co.
|
1,747,197
|
22,559
|
|
Quaker Chemical Corp.
|
4,814,542
|
11,000
|
|
Reliance Steel & Aluminum Co.
|
3,076,480
|
40,681
|
|
RPM International, Inc.
|
4,541,220
|
33,300
|
|
Steel Dynamics, Inc.
|
3,932,730
|
4,500
|
|
Tronox Holdings PLC
|
63,720
|
|
|
|
32,897,659
|
|
|
Communications — 2.7%
|
|
47,900
|
|
AMC Networks, Inc. Class A*
|
900,041
|
2,709
|
|
Cable One, Inc.
|
1,507,802
|
82,485
|
|
Ciena Corp. *
|
3,712,650
|
78,574
|
|
ePlus, Inc. *
|
6,273,348
|
22,678
|
|
F5, Inc. *
|
4,058,909
|
59,500
|
|
Fox Corp. Class A
|
1,765,365
|
99,730
|
|
Harmonic, Inc. *(a)
|
1,300,479
|
125,300
|
|
Lumen Technologies, Inc. *
|
229,299
|
20,100
|
|
Nexstar Media Group, Inc.
|
3,150,675
|
23,360
|
|
Nice Ltd. ADR*(a)
|
4,660,554
|
33,210
|
|
Okta, Inc. *
|
3,006,501
|
9,700
|
|
Preformed Line Products Co.
|
1,298,442
|
92,100
|
|
TEGNA, Inc.
|
1,409,130
|
190,678
|
|
TripAdvisor, Inc. *
|
4,105,297
|
100,116
|
|
Yelp, Inc. *
|
4,739,492
|
|
|
|
42,117,984
|
|
|
Consumer, Cyclical — 15.5%
|
|
25,407
|
|
Advance Auto Parts, Inc.
|
1,550,589
|
40,100
|
|
Alaska Air Group, Inc. *
|
1,566,707
|
51,700
|
|
Allison Transmission Holdings, Inc.
|
3,006,355
|
108,500
|
|
American Axle & Manufacturing Holdings, Inc. *
|
955,885
|
247,421
|
|
BJ's Wholesale Club Holdings, Inc. *
|
16,493,084
|
89,400
|
|
Bloomin' Brands, Inc.
|
2,516,610
|
61,100
|
|
BorgWarner, Inc.
|
2,190,435
|
33,784
|
|
BRP, Inc. (a)
|
2,421,975
|
20,800
|
|
Brunswick Corp.
|
2,012,400
|
18,556
|
|
Burlington Stores, Inc. *
|
3,608,771
|
32,500
|
|
Capri Holdings Ltd. *
|
1,632,800
|
38,994
|
|
Carter's, Inc.
|
2,920,261
|
13,043
|
|
Casey's General Stores, Inc.
|
3,583,434
|
16,600
|
|
Cavco Industries, Inc. *
|
5,753,892
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Cyclical — continued
|
|
30,422
|
|
Churchill Downs, Inc.
|
4,104,841
|
32,546
|
|
Columbia Sportswear Co.
|
2,588,709
|
12,100
|
|
Crocs, Inc. *
|
1,130,261
|
11,549
|
|
Deckers Outdoor Corp. *
|
7,719,698
|
11,700
|
|
Dick's Sporting Goods, Inc.
|
1,719,315
|
36,172
|
|
Dorman Products, Inc. *
|
3,017,107
|
65,406
|
|
Five Below, Inc. *
|
13,941,943
|
25,700
|
|
Foot Locker, Inc.
|
800,555
|
31,037
|
|
Freshpet, Inc. *
|
2,692,770
|
23,500
|
|
Genesco, Inc. *
|
827,435
|
109,680
|
|
Gentex Corp.
|
3,582,149
|
43,156
|
|
Gentherm, Inc. *
|
2,259,648
|
33,600
|
|
GMS, Inc. *
|
2,769,648
|
102,000
|
|
Goodyear Tire & Rubber Co. *
|
1,460,640
|
10,800
|
|
Group 1 Automotive, Inc.
|
3,291,192
|
56,889
|
|
Guess?, Inc.
|
1,311,860
|
39,300
|
|
Harley-Davidson, Inc.
|
1,447,812
|
47,600
|
|
Haverty Furniture Cos., Inc.
|
1,689,800
|
27,400
|
|
Hibbett, Inc.
|
1,973,348
|
14,500
|
|
Jack in the Box, Inc.
|
1,183,635
|
47,700
|
|
Kohl's Corp.
|
1,368,036
|
61,300
|
|
La-Z-Boy, Inc.
|
2,263,196
|
54,020
|
|
Light & Wonder, Inc. *
|
4,435,582
|
20,113
|
|
Lithia Motors, Inc.
|
6,622,809
|
189,583
|
|
LKQ Corp.
|
9,060,172
|
46,300
|
|
M/I Homes, Inc. *
|
6,377,362
|
94,700
|
|
Macy's, Inc.
|
1,905,364
|
96,500
|
|
MillerKnoll, Inc.
|
2,574,620
|
40,100
|
|
Movado Group, Inc.
|
1,209,015
|
13,027
|
|
MSC Industrial Direct Co., Inc. Class A
|
1,319,114
|
18,475
|
|
Murphy USA, Inc.
|
6,587,446
|
21,000
|
|
Nu Skin Enterprises, Inc. Class A
|
407,820
|
39,500
|
|
ODP Corp. *
|
2,223,850
|
13,580
|
|
Phinia, Inc.
|
411,338
|
74,425
|
|
Polaris, Inc.
|
7,053,257
|
8,430
|
|
Pool Corp.
|
3,361,125
|
43,500
|
|
PulteGroup, Inc.
|
4,490,070
|
25,100
|
|
PVH Corp.
|
3,065,212
|
94,331
|
|
Red Rock Resorts, Inc. Class A
|
5,030,672
|
81,900
|
|
Sally Beauty Holdings, Inc. *
|
1,087,632
|
36,400
|
|
ScanSource, Inc. *
|
1,441,804
|
24,265
|
|
SiteOne Landscape Supply, Inc. *
|
3,943,063
|
65,942
|
|
Skechers USA, Inc. Class A*
|
4,110,824
|
108,380
|
|
Tapestry, Inc.
|
3,989,468
|
118,197
|
|
Texas Roadhouse, Inc.
|
14,447,219
|
11,600
|
|
Thor Industries, Inc.
|
1,371,700
|
38,700
|
|
Toll Brothers, Inc.
|
3,977,973
|
83,200
|
|
Tri Pointe Homes, Inc. *
|
2,945,280
|
42,907
|
|
UniFirst Corp.
|
7,848,119
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Cyclical — continued
|
|
33,800
|
|
United Airlines Holdings, Inc. *
|
1,394,588
|
11,285
|
|
Vail Resorts, Inc.
|
2,409,009
|
71,800
|
|
Wabash National Corp.
|
1,839,516
|
30,791
|
|
WESCO International, Inc.
|
5,353,939
|
17,700
|
|
Whirlpool Corp.
|
2,155,329
|
6,900
|
|
Williams-Sonoma, Inc.
|
1,392,282
|
19,100
|
|
Winnebago Industries, Inc.
|
1,392,008
|
|
|
|
240,591,377
|
|
|
Consumer, Non-cyclical — 22.5%
|
|
86,608
|
|
Acadia Healthcare Co., Inc. *
|
6,734,638
|
157,500
|
|
ACCO Brands Corp.
|
957,600
|
119,000
|
|
Albertsons Cos., Inc. Class A
|
2,737,000
|
499,539
|
|
Alight, Inc. Class A*
|
4,261,068
|
74,218
|
|
Ascendis Pharma AS ADR*
|
9,347,757
|
180,010
|
|
Avantor, Inc. *
|
4,109,628
|
29,487
|
|
Avery Dennison Corp.
|
5,961,092
|
62,153
|
|
Axonics, Inc. *
|
3,867,781
|
62,797
|
|
Azenta, Inc. *
|
4,090,597
|
111,253
|
|
Bausch & Lomb Corp. *(a)
|
1,897,976
|
19,361
|
|
Bio-Rad Laboratories, Inc. Class A*
|
6,251,473
|
65,470
|
|
Booz Allen Hamilton Holding Corp.
|
8,374,268
|
80,417
|
|
Bright Horizons Family Solutions, Inc. *
|
7,578,498
|
27,900
|
|
Bunge Global SA
|
2,816,505
|
43,218
|
|
Catalent, Inc. *
|
1,941,785
|
50,241
|
|
Cimpress PLC *
|
4,021,792
|
408,668
|
|
Clarivate PLC *(a)
|
3,784,266
|
52,900
|
|
Conagra Brands, Inc.
|
1,516,114
|
40,706
|
|
CONMED Corp.
|
4,457,714
|
474,641
|
|
CoreCivic, Inc. *
|
6,896,534
|
13,600
|
|
DaVita, Inc. *
|
1,424,736
|
60,000
|
|
Deluxe Corp.
|
1,287,000
|
357,987
|
|
Dun & Bradstreet Holdings, Inc.
|
4,188,448
|
150,331
|
|
Embecta Corp.
|
2,845,766
|
99,445
|
|
Envista Holdings Corp. *
|
2,392,647
|
92,464
|
|
EVERTEC, Inc.
|
3,785,476
|
48,379
|
|
Exact Sciences Corp. *
|
3,579,078
|
5,000
|
|
FleetCor Technologies, Inc. *
|
1,413,050
|
166,290
|
|
Flywire Corp. *
|
3,849,613
|
18,866
|
|
FTI Consulting, Inc. *
|
3,757,164
|
71,164
|
|
Globus Medical, Inc. Class A*
|
3,792,330
|
19,709
|
|
Grand Canyon Education, Inc. *
|
2,602,376
|
44,200
|
|
H&R Block, Inc.
|
2,137,954
|
77,603
|
|
Halozyme Therapeutics, Inc. *
|
2,868,207
|
50,775
|
|
HealthEquity, Inc. *
|
3,366,383
|
26,900
|
|
Henry Schein, Inc. *
|
2,036,599
|
40,700
|
|
Herbalife Ltd. *
|
621,082
|
47,190
|
|
Hologic, Inc. *
|
3,371,725
|
26,400
|
|
Incyte Corp. *
|
1,657,656
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Non-cyclical — continued
|
|
49,905
|
|
Ingles Markets, Inc. Class A
|
4,310,295
|
29,900
|
|
Ingredion, Inc.
|
3,245,047
|
104,098
|
|
Insmed, Inc. *
|
3,225,997
|
19,020
|
|
Inspire Medical Systems, Inc. *
|
3,869,239
|
25,190
|
|
Insulet Corp. *
|
5,465,726
|
45,223
|
|
Integer Holdings Corp. *
|
4,480,695
|
64,764
|
|
Intra-Cellular Therapies, Inc. *
|
4,638,398
|
211,092
|
|
Ironwood Pharmaceuticals, Inc. *
|
2,414,892
|
68,670
|
|
Jazz Pharmaceuticals PLC *
|
8,446,410
|
97,736
|
|
Krispy Kreme, Inc. (a)
|
1,474,836
|
21,289
|
|
Lancaster Colony Corp.
|
3,542,277
|
55,680
|
|
Lantheus Holdings, Inc. *
|
3,452,160
|
195,696
|
|
Laureate Education, Inc.
|
2,682,992
|
71,440
|
|
Legend Biotech Corp. ADR*
|
4,298,545
|
45,188
|
|
LivaNova PLC *
|
2,338,027
|
33,000
|
|
ManpowerGroup, Inc.
|
2,622,510
|
8,948
|
|
MarketAxess Holdings, Inc.
|
2,620,422
|
196,780
|
|
Marqeta, Inc. Class A*
|
1,373,524
|
25,610
|
|
Masimo Corp. *
|
3,001,748
|
39,755
|
|
Merit Medical Systems, Inc. *
|
3,019,790
|
5,302
|
|
Molina Healthcare, Inc. *
|
1,915,666
|
97,961
|
|
Molson Coors Beverage Co. Class B
|
5,996,193
|
75,299
|
|
Natera, Inc. *
|
4,716,729
|
110,390
|
|
Neurocrine Biosciences, Inc. *
|
14,544,986
|
168,170
|
|
Option Care Health, Inc. *
|
5,665,647
|
89,694
|
|
Paragon 28, Inc. *(a)
|
1,114,896
|
85,799
|
|
Patterson Cos., Inc.
|
2,440,982
|
55,578
|
|
Paylocity Holding Corp. *
|
9,162,033
|
11,090
|
|
Penumbra, Inc. *
|
2,789,579
|
91,200
|
|
Perdoceo Education Corp.
|
1,601,472
|
130,736
|
|
Performance Food Group Co. *
|
9,040,394
|
27,033
|
|
Premier, Inc. Class A
|
604,458
|
22,800
|
|
Prestige Consumer Healthcare, Inc. *
|
1,395,816
|
62,089
|
|
PROCEPT BioRobotics Corp. *
|
2,602,150
|
41,700
|
|
PROG Holdings, Inc. *
|
1,288,947
|
71,200
|
|
Quanex Building Products Corp.
|
2,176,584
|
9,200
|
|
Quest Diagnostics, Inc.
|
1,268,496
|
87,416
|
|
Remitly Global, Inc. *
|
1,697,619
|
20,260
|
|
Repligen Corp. *
|
3,642,748
|
149,151
|
|
Rocket Pharmaceuticals, Inc. *
|
4,470,055
|
252,269
|
|
Roivant Sciences Ltd. *
|
2,832,981
|
53,617
|
|
Select Medical Holdings Corp.
|
1,260,000
|
92,299
|
|
Simply Good Foods Co. *
|
3,655,040
|
41,700
|
|
SpartanNash Co.
|
957,015
|
74,000
|
|
Sprouts Farmers Market, Inc. *
|
3,560,140
|
99,722
|
|
Tandem Diabetes Care, Inc. *
|
2,949,777
|
39,230
|
|
TransUnion
|
2,695,493
|
24,598
|
|
United Therapeutics Corp. *
|
5,408,854
|
14,100
|
|
Universal Health Services, Inc. Class B
|
2,149,404
|
Shares
|
|
Description
|
Value ($)
|
|
|
Consumer, Non-cyclical — continued
|
|
61,200
|
|
Upbound Group, Inc.
|
2,078,964
|
43,950
|
|
Vaxcyte, Inc. *
|
2,760,060
|
63,501
|
|
Vericel Corp. *
|
2,261,271
|
58,460
|
|
Viad Corp. *
|
2,116,252
|
198,700
|
|
Viatris, Inc.
|
2,151,921
|
62,859
|
|
WEX, Inc. *
|
12,229,218
|
193,690
|
|
WillScot Mobile Mini Holdings Corp. *
|
8,619,205
|
|
|
|
348,925,951
|
|
|
Energy — 4.6%
|
|
37,200
|
|
APA Corp.
|
1,334,736
|
53,211
|
|
California Resources Corp.
|
2,909,577
|
181,651
|
|
ChampionX Corp.
|
5,306,026
|
17,815
|
|
Chesapeake Energy Corp. (a)
|
1,370,686
|
20,383
|
|
Chord Energy Corp.
|
3,388,266
|
18,100
|
|
Civitas Resources, Inc.
|
1,237,678
|
130,448
|
|
Delek U.S. Holdings, Inc.
|
3,365,558
|
115,918
|
|
HF Sinclair Corp.
|
6,441,563
|
279,887
|
|
Magnolia Oil & Gas Corp. Class A
|
5,958,794
|
206,700
|
|
Marathon Oil Corp.
|
4,993,872
|
108,803
|
|
Matador Resources Co.
|
6,186,539
|
190,895
|
|
NOV, Inc.
|
3,871,351
|
181,162
|
|
Ovintiv, Inc.
|
7,956,635
|
64,200
|
|
PBF Energy, Inc. Class A
|
2,822,232
|
699,466
|
|
Permian Resources Corp.
|
9,512,738
|
123,476
|
|
SM Energy Co.
|
4,780,991
|
10,298
|
|
Vitesse Energy, Inc.
|
225,423
|
|
|
|
71,662,665
|
|
|
Financial — 15.8%
|
|
48,714
|
|
Agree Realty Corp. REIT
|
3,066,546
|
40,400
|
|
Ally Financial, Inc.
|
1,410,768
|
81,800
|
|
American Assets Trust, Inc. REIT
|
1,841,318
|
44,750
|
|
Annaly Capital Management, Inc. REIT
|
866,808
|
82,800
|
|
Apple Hospitality REIT, Inc. REIT
|
1,375,308
|
84,400
|
|
ARES Capital Corp.
|
1,690,532
|
97,500
|
|
Associated Banc-Corp.
|
2,085,525
|
90,389
|
|
Atlantic Union Bankshares Corp.
|
3,302,814
|
104,134
|
|
Axis Capital Holdings Ltd.
|
5,765,900
|
53,323
|
|
Axos Financial, Inc. *
|
2,911,436
|
35,400
|
|
Bank of NT Butterfield & Son Ltd.
|
1,133,154
|
277,263
|
|
Blue Owl Capital, Inc.
|
4,131,219
|
373,616
|
|
Braemar Hotels & Resorts, Inc. REIT
|
934,040
|
177,700
|
|
Brandywine Realty Trust REIT
|
959,580
|
80,900
|
|
Brixmor Property Group, Inc. REIT
|
1,882,543
|
6,897
|
|
C&F Financial Corp.
|
470,306
|
291,201
|
|
Cannae Holdings, Inc. *
|
5,681,332
|
31,000
|
|
Cathay General Bancorp
|
1,381,670
|
99,300
|
|
Chimera Investment Corp. REIT
|
495,507
|
Shares
|
|
Description
|
Value ($)
|
|
|
Financial — continued
|
|
103,500
|
|
Citizens Financial Group, Inc.
|
3,429,990
|
154,000
|
|
City Office REIT, Inc. REIT
|
940,940
|
64,470
|
|
CNA Financial Corp.
|
2,727,726
|
157,800
|
|
CNO Financial Group, Inc.
|
4,402,620
|
36,200
|
|
Comerica, Inc.
|
2,020,322
|
61,439
|
|
East West Bancorp, Inc.
|
4,420,536
|
193,234
|
|
Easterly Government Properties, Inc. REIT(a)
|
2,597,065
|
19,508
|
|
EastGroup Properties, Inc. REIT
|
3,580,498
|
19,730
|
|
Employers Holdings, Inc.
|
777,362
|
71,700
|
|
EPR Properties REIT
|
3,473,865
|
42,200
|
|
Equitable Holdings, Inc.
|
1,405,260
|
31,600
|
|
Essent Group Ltd.
|
1,666,584
|
76,454
|
|
Fidelity National Financial, Inc.
|
3,900,683
|
70,300
|
|
Fifth Third Bancorp
|
2,424,647
|
35,500
|
|
Financial Institutions, Inc.
|
756,150
|
22,600
|
|
First American Financial Corp.
|
1,456,344
|
78,400
|
|
First Busey Corp.
|
1,945,888
|
89,100
|
|
First Commonwealth Financial Corp.
|
1,375,704
|
134,300
|
|
FNB Corp.
|
1,849,311
|
209,166
|
|
Franklin Street Properties Corp. REIT
|
535,465
|
144,188
|
|
FS KKR Capital Corp. (a)
|
2,879,434
|
808,810
|
|
Genworth Financial, Inc. Class A*
|
5,402,851
|
62,756
|
|
Glacier Bancorp, Inc.
|
2,593,078
|
3,400
|
|
Global Net Lease, Inc. REIT
|
33,830
|
44,201
|
|
Hamilton Lane, Inc. Class A
|
5,014,161
|
28,700
|
|
Hancock Whitney Corp.
|
1,394,533
|
79,956
|
|
Hanmi Financial Corp.
|
1,551,146
|
32,800
|
|
Heritage Insurance Holdings, Inc. *
|
213,856
|
113,600
|
|
Hope Bancorp, Inc.
|
1,372,288
|
86,500
|
|
Horizon Bancorp, Inc.
|
1,237,815
|
148,700
|
|
Host Hotels & Resorts, Inc. REIT
|
2,895,189
|
85,700
|
|
Independent Bank Corp.
|
2,229,914
|
64,000
|
|
Industrial Logistics Properties Trust REIT
|
300,800
|
53,258
|
|
Jefferies Financial Group, Inc.
|
2,152,156
|
97,100
|
|
KeyCorp
|
1,398,240
|
38,450
|
|
Kilroy Realty Corp. REIT
|
1,531,848
|
23,765
|
|
Kinsale Capital Group, Inc.
|
7,959,136
|
71,600
|
|
Kite Realty Group Trust REIT
|
1,636,776
|
37,700
|
|
Lincoln National Corp.
|
1,016,769
|
24,143
|
|
LPL Financial Holdings, Inc.
|
5,495,430
|
11,891
|
|
McGrath RentCorp
|
1,422,401
|
176,200
|
|
MGIC Investment Corp.
|
3,398,898
|
59,179
|
|
National Storage Affiliates Trust REIT
|
2,454,153
|
139,500
|
|
Navient Corp.
|
2,597,490
|
199,800
|
|
New Mountain Finance Corp. (a)
|
2,541,456
|
148,400
|
|
New York Community Bancorp, Inc.
|
1,518,132
|
164,615
|
|
Newmark Group, Inc. Class A
|
1,804,180
|
81,303
|
|
NMI Holdings, Inc. Class A*
|
2,413,073
|
57,200
|
|
Oaktree Specialty Lending Corp. (a)
|
1,168,024
|
Shares
|
|
Description
|
Value ($)
|
|
|
Financial — continued
|
|
81,808
|
|
OceanFirst Financial Corp.
|
1,420,187
|
55,083
|
|
Office Properties Income Trust REIT
|
403,208
|
56,950
|
|
OFG Bancorp
|
2,134,486
|
35,700
|
|
Omega Healthcare Investors, Inc. REIT
|
1,094,562
|
26,400
|
|
OneMain Holdings, Inc.
|
1,298,880
|
127,024
|
|
Physicians Realty Trust REIT
|
1,690,689
|
195,700
|
|
Piedmont Office Realty Trust, Inc. REIT Class A
|
1,391,427
|
60,576
|
|
Pinnacle Financial Partners, Inc.
|
5,283,439
|
28,788
|
|
Piper Sandler Cos.
|
5,034,158
|
25,500
|
|
Popular, Inc.
|
2,092,785
|
191,127
|
|
Radian Group, Inc.
|
5,456,676
|
72,100
|
|
Regions Financial Corp.
|
1,397,298
|
31,089
|
|
Reinsurance Group of America, Inc.
|
5,029,578
|
97,100
|
|
Sabra Health Care REIT, Inc. REIT
|
1,385,617
|
33,500
|
|
Sandy Spring Bancorp, Inc.
|
912,540
|
153,100
|
|
Service Properties Trust REIT
|
1,307,474
|
83,046
|
|
StepStone Group, Inc. Class A
|
2,643,354
|
45,645
|
|
Stifel Financial Corp.
|
3,156,352
|
68,488
|
|
Sun Communities, Inc. REIT
|
9,153,421
|
56,200
|
|
Synchrony Financial
|
2,146,278
|
50,300
|
|
Tanger, Inc. REIT
|
1,394,316
|
32,627
|
|
Tradeweb Markets, Inc. Class A
|
2,965,142
|
172,600
|
|
Uniti Group, Inc. REIT
|
997,628
|
20,100
|
|
Universal Insurance Holdings, Inc.
|
321,198
|
77,500
|
|
Unum Group
|
3,504,550
|
127,700
|
|
Valley National Bancorp
|
1,386,822
|
58,500
|
|
Veritex Holdings, Inc.
|
1,361,295
|
48,700
|
|
Victory Capital Holdings, Inc. Class A
|
1,677,228
|
80,159
|
|
Voya Financial, Inc.
|
5,848,401
|
129,900
|
|
Western Union Co.
|
1,548,408
|
6,243
|
|
White Mountains Insurance Group Ltd.
|
9,395,777
|
40,698
|
|
Wintrust Financial Corp.
|
3,774,739
|
54,300
|
|
Zions Bancorp NA
|
2,382,141
|
|
|
|
245,690,377
|
|
|
Government — 0.1%
|
|
58,816
|
|
Banco Latinoamericano de Comercio Exterior SA
|
1,455,108
|
|
|
Industrial — 19.9%
|
|
10,900
|
|
Acuity Brands, Inc.
|
2,232,647
|
39,916
|
|
Advanced Energy Industries, Inc.
|
4,347,651
|
44,200
|
|
AGCO Corp.
|
5,366,322
|
423,991
|
|
Air Transport Services Group, Inc. *
|
7,466,481
|
42,100
|
|
Apogee Enterprises, Inc.
|
2,248,561
|
19,141
|
|
AptarGroup, Inc.
|
2,366,210
|
11,500
|
|
ArcBest Corp.
|
1,382,415
|
53,468
|
|
Argan, Inc.
|
2,501,768
|
49,759
|
|
Armstrong World Industries, Inc.
|
4,892,305
|
36,544
|
|
Arrow Electronics, Inc. *
|
4,467,504
|
Shares
|
|
Description
|
Value ($)
|
|
|
Industrial — continued
|
|
110,843
|
|
Atkore, Inc. *
|
17,734,880
|
45,688
|
|
Axon Enterprise, Inc. *
|
11,802,581
|
121,873
|
|
AZEK Co., Inc. *
|
4,661,642
|
51,800
|
|
Berry Global Group, Inc.
|
3,490,802
|
21,600
|
|
Boise Cascade Co.
|
2,794,176
|
69,340
|
|
Builders FirstSource, Inc. *
|
11,575,620
|
39,364
|
|
BWX Technologies, Inc.
|
3,020,400
|
14,900
|
|
Chart Industries, Inc. *(a)
|
2,031,317
|
178,500
|
|
CNH Industrial NV
|
2,174,130
|
105,598
|
|
Cognex Corp.
|
4,407,660
|
70,477
|
|
Columbus McKinnon Corp.
|
2,750,013
|
43,430
|
|
Comfort Systems USA, Inc.
|
8,932,248
|
32,387
|
|
Covenant Logistics Group, Inc.
|
1,491,097
|
26,852
|
|
Eagle Materials, Inc.
|
5,446,660
|
17,100
|
|
Encore Wire Corp.
|
3,652,560
|
36,671
|
|
Exponent, Inc.
|
3,228,515
|
61,158
|
|
Federal Signal Corp.
|
4,693,265
|
115,100
|
|
Flex Ltd. *
|
3,505,946
|
19,262
|
|
Forward Air Corp.
|
1,211,002
|
248,940
|
|
Gates Industrial Corp. PLC *
|
3,340,775
|
47,809
|
|
Gibraltar Industries, Inc. *
|
3,775,955
|
21,300
|
|
Greif, Inc. Class A
|
1,397,067
|
21,233
|
|
HEICO Corp.
|
3,797,947
|
160,618
|
|
Hexcel Corp.
|
11,845,577
|
18,898
|
|
Hubbell, Inc.
|
6,216,119
|
5,500
|
|
Huntington Ingalls Industries, Inc.
|
1,428,020
|
42,350
|
|
IDEX Corp.
|
9,194,608
|
25,429
|
|
Ingersoll Rand, Inc.
|
1,966,679
|
64,031
|
|
ITT, Inc.
|
7,640,179
|
36,000
|
|
Jabil, Inc.
|
4,586,400
|
50,198
|
|
Lincoln Electric Holdings, Inc.
|
10,916,057
|
142,787
|
|
MDU Resources Group, Inc.
|
2,827,183
|
20,413
|
|
Middleby Corp. *
|
3,004,181
|
14,700
|
|
Mohawk Industries, Inc. *
|
1,521,450
|
9,600
|
|
Moog, Inc. Class A
|
1,389,888
|
39,800
|
|
Mueller Industries, Inc.
|
1,876,570
|
21,674
|
|
Nordson Corp.
|
5,725,404
|
64,000
|
|
O-I Glass, Inc. *
|
1,048,320
|
22,030
|
|
Oshkosh Corp.
|
2,388,272
|
28,400
|
|
Owens Corning
|
4,209,732
|
20,110
|
|
Plexus Corp. *
|
2,174,494
|
48,700
|
|
Primoris Services Corp.
|
1,617,327
|
37,781
|
|
RBC Bearings, Inc. *
|
10,763,429
|
17,230
|
|
Regal Rexnord Corp.
|
2,550,385
|
27,400
|
|
Ryder System, Inc.
|
3,152,644
|
40,300
|
|
Ryerson Holding Corp.
|
1,397,604
|
12,880
|
|
Saia, Inc. *
|
5,644,274
|
28,600
|
|
Sanmina Corp. *
|
1,469,182
|
100,218
|
|
Schneider National, Inc. Class B
|
2,550,548
|
Shares
|
|
Description
|
Value ($)
|
|
|
Industrial — continued
|
|
10,700
|
|
Snap-on, Inc.
|
3,090,588
|
65,250
|
|
Summit Materials, Inc. Class A*
|
2,509,515
|
87,257
|
|
TD SYNNEX Corp.
|
9,389,726
|
30,181
|
|
Tetra Tech, Inc.
|
5,038,114
|
66,700
|
|
Textron, Inc.
|
5,364,014
|
18,700
|
|
Timken Co.
|
1,498,805
|
38,125
|
|
Toro Co.
|
3,659,619
|
55,697
|
|
TriMas Corp.
|
1,410,805
|
63,407
|
|
Trimble, Inc. *
|
3,373,252
|
60,924
|
|
Universal Logistics Holdings, Inc.
|
1,707,090
|
101,300
|
|
Vertiv Holdings Co., Class A
|
4,865,439
|
58,200
|
|
Vishay Intertechnology, Inc.
|
1,395,054
|
176,940
|
|
Vontier Corp.
|
6,113,277
|
111,579
|
|
World Kinect Corp.
|
2,541,770
|
|
|
|
309,249,716
|
|
|
Technology — 10.9%
|
|
153,951
|
|
ACI Worldwide, Inc. *
|
4,710,901
|
24,600
|
|
Amdocs Ltd.
|
2,162,094
|
85,340
|
|
Amkor Technology, Inc.
|
2,839,262
|
14,345
|
|
Axcelis Technologies, Inc. *
|
1,860,403
|
334,386
|
|
CCC Intelligent Solutions Holdings, Inc. *
|
3,808,657
|
145,670
|
|
Clearwater Analytics Holdings, Inc. Class A*
|
2,917,770
|
29,500
|
|
CSG Systems International, Inc.
|
1,569,695
|
56,870
|
|
CyberArk Software Ltd. *
|
12,457,374
|
16,500
|
|
Diodes, Inc. *
|
1,328,580
|
105,052
|
|
DoubleVerify Holdings, Inc. *
|
3,863,813
|
45,300
|
|
Dropbox, Inc. Class A*
|
1,335,444
|
79,560
|
|
Dynatrace, Inc. *
|
4,351,136
|
20,400
|
|
Ebix, Inc. *
|
21,216
|
46,065
|
|
Entegris, Inc.
|
5,519,508
|
87,113
|
|
Evolent Health, Inc. Class A*
|
2,877,342
|
108,780
|
|
Genpact Ltd.
|
3,775,754
|
39,955
|
|
Globant SA *
|
9,508,491
|
19,011
|
|
Impinj, Inc. *(a)
|
1,711,560
|
21,617
|
|
IPG Photonics Corp. *
|
2,346,309
|
63,062
|
|
KBR, Inc.
|
3,494,266
|
31,146
|
|
Lattice Semiconductor Corp. *
|
2,148,763
|
67,595
|
|
MACOM Technology Solutions Holdings, Inc. *
|
6,282,955
|
24,284
|
|
Manhattan Associates, Inc. *
|
5,228,831
|
14,060
|
|
MKS Instruments, Inc.
|
1,446,352
|
21,110
|
|
Monday.com Ltd. *
|
3,964,669
|
5,200
|
|
Monolithic Power Systems, Inc.
|
3,280,056
|
106,529
|
|
NCR Atleos Corp. *
|
2,587,589
|
213,058
|
|
NCR Voyix Corp. *
|
3,602,811
|
34,791
|
|
Nova Ltd. *(a)
|
4,779,936
|
59,390
|
|
Parsons Corp. *
|
3,724,347
|
43,500
|
|
Photronics, Inc. *
|
1,364,595
|
124,900
|
|
Playtika Holding Corp. *
|
1,089,128
|
Shares
|
|
Description
|
Value ($)
|
|
|
Technology — continued
|
|
45,801
|
|
Power Integrations, Inc.
|
3,760,720
|
112,977
|
|
PowerSchool Holdings, Inc. Class A*
|
2,661,738
|
106,870
|
|
Privia Health Group, Inc. *
|
2,461,216
|
52,515
|
|
Procore Technologies, Inc. *
|
3,635,088
|
32,890
|
|
PTC, Inc. *
|
5,754,434
|
205,710
|
|
Pure Storage, Inc. Class A*
|
7,335,619
|
44,862
|
|
Rapid7, Inc. *
|
2,561,620
|
47,412
|
|
Silicon Laboratories, Inc. *
|
6,271,185
|
27,552
|
|
Silicon Motion Technology Corp. ADR
|
1,688,111
|
12,300
|
|
Skyworks Solutions, Inc.
|
1,382,766
|
47,700
|
|
SMART Global Holdings, Inc. *
|
902,961
|
74,420
|
|
Smartsheet, Inc. Class A*
|
3,558,764
|
65,370
|
|
Tenable Holdings, Inc. *
|
3,010,942
|
9,979
|
|
Tyler Technologies, Inc. *
|
4,172,420
|
35,913
|
|
Workiva, Inc. *
|
3,646,247
|
107,700
|
|
Xerox Holdings Corp.
|
1,974,141
|
12,509
|
|
Zebra Technologies Corp. Class A*
|
3,419,085
|
|
|
|
170,156,664
|
|
|
Utilities — 2.2%
|
|
34,757
|
|
IDACORP, Inc.
|
3,417,308
|
24,700
|
|
National Fuel Gas Co.
|
1,239,199
|
85,834
|
|
Northwestern Energy Group, Inc.
|
4,368,092
|
39,200
|
|
NRG Energy, Inc.
|
2,026,640
|
54,793
|
|
PNM Resources, Inc.
|
2,279,389
|
72,217
|
|
Portland General Electric Co.
|
3,129,885
|
62,638
|
|
Southwest Gas Holdings, Inc.
|
3,968,117
|
338,592
|
|
Vistra Corp.
|
13,042,564
|
|
|
|
33,471,194
|
|
|
TOTAL COMMON STOCKS (COST $1,263,539,870)
|
1,496,218,695
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
Short-Term Investment — 0.4%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.4%
|
|
6,170,363
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(b)(c)
|
6,170,363
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $6,170,363)
|
6,170,363
|
|
|
TOTAL INVESTMENTS — 96.7%
(Cost $1,269,710,233)
|
1,502,389,058
|
|
|
Other Assets and Liabilities (net) — 3.3%
|
51,974,181
|
|
|
NET ASSETS — 100.0%
|
$1,554,363,239
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of this security is out on loan.
|
(b)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(c)
|
Represents an investment of securities lending cash collateral.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
78
|
Russell 2000 E-mini Index
|
Mar 2024
|
$7,986,030
|
$417,328
|
27
|
S&P Mid 400 E-mini Index
|
Mar 2024
|
7,585,650
|
329,597
|
|
|
|
|
$746,925
|
Abbreviations
|
||
ADR
|
—
|
American Depository Receipt
|
REIT
|
—
|
Real Estate Investment Trust
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
Common Stocks
|
96.3
|
Futures Contracts
|
0.0*
|
Short-Term Investment
|
0.4
|
Other Assets and Liabilities (net)
|
3.3
|
|
100.0%
|
*
|
Amount rounds to zero.
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 95.4%
|
|
|
|
Australia — 3.8%
|
|
278,100
|
|
AGL Energy Ltd.
|
1,798,939
|
44,424
|
|
Ampol Ltd.
|
1,095,804
|
416,900
|
|
ANZ Group Holdings Ltd.
|
7,373,505
|
36,960
|
|
Aristocrat Leisure Ltd.
|
1,029,466
|
2,046,501
|
|
Aurizon Holdings Ltd.
|
5,306,432
|
681,000
|
|
Bank of Queensland Ltd.(a)
|
2,825,256
|
2,331,500
|
|
Beach Energy Ltd.
|
2,545,438
|
425,487
|
|
BlueScope Steel Ltd.
|
6,793,745
|
254,532
|
|
Brambles Ltd.
|
2,362,046
|
88,773
|
|
Coles Group Ltd.
|
975,851
|
225,700
|
|
Elders Ltd.(a)
|
1,159,668
|
194,900
|
|
Fortescue Ltd.
|
3,859,369
|
1,780,356
|
|
Glencore PLC
|
10,714,768
|
1,558,600
|
|
Harvey Norman Holdings Ltd.(a)
|
4,466,744
|
1,256,900
|
|
Helia Group Ltd.
|
3,730,758
|
86,000
|
|
JB Hi-Fi Ltd.(a)
|
3,111,911
|
1,489,800
|
|
Metcash Ltd.
|
3,547,811
|
36,619
|
|
New Hope Corp. Ltd.
|
128,933
|
1,431,580
|
|
NEXTDC Ltd.*
|
13,411,990
|
810,700
|
|
Perenti Ltd.*
|
575,308
|
776,347
|
|
Qantas Airways Ltd.*
|
2,844,705
|
38,488
|
|
QBE Insurance Group Ltd.
|
388,944
|
121,500
|
|
Rio Tinto Ltd.
|
11,246,960
|
90,636
|
|
Rio Tinto PLC
|
6,750,007
|
26,867
|
|
Rio Tinto PLC, ADR
|
2,000,517
|
964,100
|
|
Stockland, REIT
|
2,927,448
|
662,097
|
|
Super Retail Group Ltd.
|
7,124,598
|
412,276
|
|
Treasury Wine Estates Ltd.
|
3,032,591
|
56,133
|
|
Viva Energy Group Ltd. 144A
|
133,675
|
129,282
|
|
Wesfarmers Ltd.
|
5,031,815
|
222,222
|
|
Whitehaven Coal Ltd.
|
1,128,150
|
685,765
|
|
Woodside Energy Group Ltd.
|
14,533,956
|
130,193
|
|
Woolworths Group Ltd.
|
3,304,742
|
|
|
|
137,261,850
|
|
|
Austria — 0.4%
|
|
5,427
|
|
BAWAG Group AG 144A
|
287,637
|
20,339
|
|
Erste Group Bank AG(b)
|
825,230
|
2,891
|
|
Erste Group Bank AG(b)
|
116,690
|
145,742
|
|
OMV AG
|
6,402,728
|
9,905
|
|
Raiffeisen Bank International AG
|
204,279
|
233,450
|
|
Wienerberger AG
|
7,793,151
|
|
|
|
15,629,715
|
|
|
Belgium — 0.2%
|
|
66,300
|
|
Ageas SA
|
2,878,998
|
21,907
|
|
Proximus SADP
|
205,938
|
34,200
|
|
Solvay SA
|
1,047,613
|
Shares
|
|
Description
|
Value ($)
|
|
|
Belgium — continued
|
|
34,200
|
|
Syensqo SA*
|
3,561,052
|
|
|
|
7,693,601
|
|
|
Brazil — 1.2%
|
|
1,219,100
|
|
Petroleo Brasileiro SA
|
9,782,715
|
216,768
|
|
Petroleo Brasileiro SA, ADR
|
3,461,785
|
676,562
|
|
Petroleo Brasileiro SA, Preferred ADR
|
10,337,867
|
390,500
|
|
Vale SA
|
6,206,069
|
165,285
|
|
Wheaton Precious Metals Corp.
|
8,194,055
|
134,790
|
|
Yara International ASA
|
4,793,973
|
|
|
|
42,776,464
|
|
|
Canada — 1.6%
|
|
104,081
|
|
Agnico Eagle Mines Ltd.
|
5,734,480
|
141,250
|
|
Canadian Pacific Kansas City Ltd.(a)
|
11,230,585
|
20,100
|
|
Canadian Tire Corp. Ltd. Class A (a)
|
2,145,057
|
189,885
|
|
Franco-Nevada Corp.
|
21,135,615
|
379,540
|
|
GFL Environmental, Inc.
|
13,097,925
|
78,900
|
|
Suncor Energy, Inc.
|
2,540,046
|
|
|
|
55,883,708
|
|
|
China — 1.1%
|
|
1,919,500
|
|
3SBio, Inc.
|
1,848,569
|
5,072,000
|
|
Agricultural Bank of China Ltd. Class H
|
1,955,129
|
16,000
|
|
Alibaba Group Holding Ltd.
|
154,907
|
12,451
|
|
Alibaba Group Holding Ltd., ADR
|
965,077
|
2,077,000
|
|
Bank of China Ltd. Class H
|
792,652
|
443,500
|
|
BYD Electronic International Co. Ltd.
|
2,078,760
|
12,250,000
|
|
China Construction Bank Corp. Class H
|
7,294,888
|
1,310,000
|
|
China Medical System Holdings Ltd.
|
2,321,865
|
341,500
|
|
China Merchants Bank Co. Ltd. Class H
|
1,189,568
|
1,338,000
|
|
China Resources Building Materials Technology Holdings Ltd.
|
291,296
|
254,500
|
|
CSC Financial Co. Ltd. Class H 144A
|
224,888
|
574,000
|
|
Hengan International Group Co. Ltd.
|
2,135,441
|
4,884,000
|
|
Industrial & Commercial Bank of China Ltd. Class H
|
2,389,289
|
370,500
|
|
Kingboard Holdings Ltd.
|
886,328
|
113,000
|
|
Lee & Man Paper Manufacturing Ltd.
|
33,139
|
1,270,000
|
|
Lenovo Group Ltd.
|
1,776,053
|
13,894
|
|
PDD Holdings, Inc., ADR*
|
2,032,831
|
628,600
|
|
Shanghai Pharmaceuticals Holding Co. Ltd. Class H
|
919,327
|
1,194,400
|
|
Sinopharm Group Co. Ltd. Class H
|
3,128,043
|
313,000
|
|
SITC International Holdings Co. Ltd.
|
540,336
|
10,958
|
|
Tencent Holdings Ltd., ADR
|
414,103
|
1,088,000
|
|
Xinyi Glass Holdings Ltd.
|
1,220,570
|
2,695,000
|
|
Yangzijiang Shipbuilding Holdings Ltd.
|
3,044,159
|
|
|
|
37,637,218
|
|
|
Denmark — 2.6%
|
|
387
|
|
AP Moller - Maersk AS Class A
|
687,021
|
2,065
|
|
AP Moller - Maersk AS Class B
|
3,714,849
|
Shares
|
|
Description
|
Value ($)
|
|
|
Denmark — continued
|
|
49,100
|
|
D/S Norden AS
|
2,335,549
|
181,400
|
|
Danske Bank AS
|
4,849,268
|
71,900
|
|
Dfds AS
|
2,375,944
|
92,577
|
|
Jyske Bank AS
|
6,639,737
|
56,648
|
|
Novo Nordisk AS, ADR
|
5,860,235
|
490,798
|
|
Novo Nordisk AS Class B
|
50,771,831
|
79,194
|
|
Novozymes AS Class B
|
4,354,975
|
40,522
|
|
Pandora AS
|
5,603,611
|
13,000
|
|
Rockwool AS Class B
|
3,806,560
|
67,483
|
|
Sydbank AS
|
2,935,978
|
|
|
|
93,935,558
|
|
|
Finland — 1.0%
|
|
31,474
|
|
Kone Oyj Class B
|
1,570,112
|
70,543
|
|
Konecranes Oyj
|
3,177,795
|
854,700
|
|
Nokia Oyj
|
2,881,529
|
1,482,082
|
|
Nordea Bank Abp(b)
|
18,341,736
|
444,650
|
|
Nordea Bank Abp(b)
|
5,514,017
|
179
|
|
Nordea Bank Abp(b)
|
2,228
|
49,000
|
|
TietoEVRY Oyj
|
1,165,914
|
99,800
|
|
Valmet Oyj(a)
|
2,878,473
|
|
|
|
35,531,804
|
|
|
France — 8.5%
|
|
101,193
|
|
Air Liquide SA
|
19,687,197
|
32,000
|
|
Arkema SA
|
3,640,927
|
120,900
|
|
AXA SA
|
3,938,454
|
297,089
|
|
BNP Paribas SA
|
20,540,749
|
158,600
|
|
Bouygues SA
|
5,977,739
|
46,832
|
|
Capgemini SE
|
9,764,599
|
270,873
|
|
Carrefour SA(a)
|
4,956,578
|
117,725
|
|
Cie de Saint-Gobain SA
|
8,668,796
|
120,400
|
|
Cie Generale des Etablissements Michelin SCA
|
4,317,176
|
456,200
|
|
Credit Agricole SA
|
6,476,655
|
402,096
|
|
Dassault Systemes SE
|
19,648,099
|
191,420
|
|
Edenred SE
|
11,448,018
|
51,184
|
|
EssilorLuxottica SA
|
10,267,739
|
42,600
|
|
Ipsen SA
|
5,077,569
|
48,500
|
|
IPSOS SA
|
3,040,411
|
193,888
|
|
Legrand SA
|
20,154,188
|
12,212
|
|
L'Oreal SA
|
6,079,263
|
19,241
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
15,592,355
|
125,400
|
|
Metropole Television SA
|
1,792,489
|
36,500
|
|
Nexity SA(a)
|
679,387
|
1,822,824
|
|
Orange SA
|
20,747,957
|
81,588
|
|
Pernod Ricard SA
|
14,397,660
|
35,500
|
|
Quadient SA
|
753,714
|
220,900
|
|
Rexel SA
|
6,044,306
|
44,300
|
|
Societe BIC SA
|
3,075,628
|
Shares
|
|
Description
|
Value ($)
|
|
|
France — continued
|
|
140,851
|
|
Societe Generale SA
|
3,738,076
|
18,000
|
|
Sopra Steria Group SACA
|
3,932,996
|
219,200
|
|
Television Francaise 1 SA(a)
|
1,727,664
|
1,028,794
|
|
TotalEnergies SE
|
70,005,778
|
10,102
|
|
Vallourec SACA*(a)
|
156,507
|
|
|
|
306,328,674
|
|
|
Georgia — 0.1%
|
|
45,361
|
|
Bank of Georgia Group PLC
|
2,298,591
|
|
|
Germany — 9.1%
|
|
55,320
|
|
adidas AG
|
11,253,879
|
38,045
|
|
Allianz SE
|
10,168,291
|
38,500
|
|
Aurubis AG
|
3,158,206
|
341,660
|
|
Bayer AG
|
12,692,459
|
284,258
|
|
Bayerische Motoren Werke AG
|
31,645,488
|
79,767
|
|
Beiersdorf AG
|
11,957,155
|
6,807
|
|
Continental AG
|
578,389
|
84,800
|
|
Daimler Truck Holding AG
|
3,186,801
|
328,325
|
|
Deutsche Bank AG(b)
|
4,484,228
|
115,553
|
|
Deutsche Bank AG(b)
|
1,565,743
|
84,725
|
|
Deutsche Boerse AG
|
17,454,811
|
355,244
|
|
Deutsche Lufthansa AG*
|
3,158,199
|
171,100
|
|
Deutsche Pfandbriefbank AG(a)
|
1,170,890
|
180,700
|
|
Deutsche Post AG
|
8,953,519
|
330,744
|
|
Deutsche Telekom AG
|
7,946,502
|
962,174
|
|
E.ON SE
|
12,913,817
|
104,196
|
|
Evonik Industries AG
|
2,129,352
|
16,677
|
|
Fresenius Medical Care AG
|
699,309
|
303,548
|
|
Fresenius SE & Co. KGaA
|
9,412,273
|
163,281
|
|
GEA Group AG
|
6,798,084
|
49,900
|
|
Heidelberg Materials AG
|
4,461,578
|
32,891
|
|
Henkel AG & Co. KGaA
|
2,360,921
|
121,154
|
|
Hugo Boss AG
|
9,028,359
|
539,717
|
|
Infineon Technologies AG
|
22,536,302
|
81,796
|
|
Knorr-Bremse AG
|
5,312,931
|
24,547
|
|
LEG Immobilien SE*
|
2,150,829
|
333,142
|
|
Mercedes-Benz Group AG
|
23,018,735
|
5,987
|
|
MTU Aero Engines AG
|
1,291,294
|
6,300
|
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
|
2,610,432
|
16,336
|
|
Puma SE
|
911,662
|
414,955
|
|
SAP SE
|
63,934,856
|
33,050
|
|
SAP SE, ADR
|
5,109,199
|
53,590
|
|
Symrise AG Class A
|
5,898,509
|
86,471
|
|
TAG Immobilien AG*
|
1,260,389
|
42,000
|
|
Talanx AG*
|
2,999,456
|
30,739
|
|
thyssenkrupp AG
|
214,329
|
106,800
|
|
United Internet AG
|
2,718,182
|
599
|
|
Volkswagen AG
|
78,377
|
Shares
|
|
Description
|
Value ($)
|
|
|
Germany — continued
|
|
187,739
|
|
Vonovia SE
|
5,918,794
|
105,952
|
|
Zalando SE*
|
2,510,506
|
|
|
|
325,653,035
|
|
|
Greece — 0.1%
|
|
65,200
|
|
Mytilineos SA
|
2,643,251
|
|
|
Guatemala — 0.0%
|
|
8,684
|
|
Millicom International Cellular SA, SDR*
|
155,320
|
|
|
Hong Kong — 0.6%
|
|
1,571,400
|
|
AIA Group Ltd.
|
13,694,447
|
15,600
|
|
ASMPT Ltd.
|
148,837
|
7,600
|
|
Jardine Matheson Holdings Ltd.
|
313,196
|
326,000
|
|
Pacific Basin Shipping Ltd.
|
107,295
|
63,500
|
|
Techtronic Industries Co. Ltd.
|
756,693
|
9,510,000
|
|
Tongda Group Holdings Ltd.*
|
125,443
|
1,834,000
|
|
United Laboratories International Holdings Ltd.
|
1,646,444
|
9,820,000
|
|
WH Group Ltd. 144A
|
6,338,283
|
|
|
|
23,130,638
|
|
|
Hungary — 0.1%
|
|
314,700
|
|
MOL Hungarian Oil & Gas PLC
|
2,570,312
|
95,800
|
|
Richter Gedeon Nyrt
|
2,422,649
|
|
|
|
4,992,961
|
|
|
India — 0.4%
|
|
636,220
|
|
HDFC Bank Ltd.
|
13,063,674
|
1,172,100
|
|
Redington Ltd.
|
2,490,301
|
|
|
|
15,553,975
|
|
|
Indonesia — 0.1%
|
|
7,888,300
|
|
Golden Agri-Resources Ltd.
|
1,554,816
|
|
|
Ireland — 1.3%
|
|
3,532,241
|
|
AIB Group PLC
|
15,139,335
|
1,178,239
|
|
Bank of Ireland Group PLC
|
10,696,071
|
150,210
|
|
Kerry Group PLC Class A
|
13,052,014
|
65,766
|
|
Ryanair Holdings PLC, ADR*
|
8,770,554
|
|
|
|
47,657,974
|
|
|
Israel — 0.5%
|
|
209,233
|
|
Bank Hapoalim BM
|
1,889,018
|
316,972
|
|
Bank Leumi Le-Israel BM
|
2,562,430
|
126,656
|
|
Bezeq The Israeli Telecommunication Corp. Ltd.
|
173,264
|
23,882
|
|
Check Point Software Technologies Ltd.*
|
3,648,931
|
1,421
|
|
First International Bank Of Israel Ltd.
|
58,325
|
20,521
|
|
ICL Group Ltd.
|
104,346
|
233
|
|
Israel Corp. Ltd.*
|
59,523
|
249,942
|
|
Israel Discount Bank Ltd. Class A
|
1,256,339
|
Shares
|
|
Description
|
Value ($)
|
|
|
Israel — continued
|
|
47,772
|
|
Mizrahi Tefahot Bank Ltd.
|
1,857,336
|
3,645
|
|
Nice Ltd.*
|
738,029
|
20,679
|
|
Nice Ltd., ADR*
|
4,125,667
|
10,974
|
|
Phoenix Holdings Ltd.
|
111,694
|
210,300
|
|
Teva Pharmaceutical Industries Ltd.*
|
2,242,639
|
3,398
|
|
Wix.com Ltd.*
|
418,022
|
|
|
|
19,245,563
|
|
|
Italy — 3.4%
|
|
2,608,300
|
|
A2A SpA
|
5,356,260
|
125,182
|
|
Assicurazioni Generali SpA
|
2,641,883
|
64,593
|
|
Azimut Holding SpA
|
1,686,777
|
121,310
|
|
Banca Mediolanum SpA
|
1,143,600
|
31,784
|
|
Banca Monte dei Paschi di Siena SpA*
|
106,946
|
27,085
|
|
Banca Popolare di Sondrio SpA
|
175,328
|
92,178
|
|
Banco BPM SpA
|
486,823
|
65,697
|
|
BPER Banca
|
219,603
|
218,617
|
|
Coca-Cola HBC AG
|
6,423,871
|
1,628,088
|
|
Eni SpA
|
27,602,881
|
7,282
|
|
Eni SpA, ADR
|
247,661
|
40,080
|
|
Ferrari NV
|
13,512,540
|
4,817,992
|
|
Intesa Sanpaolo SpA
|
14,069,224
|
812,206
|
|
Leonardo SpA
|
13,399,734
|
376,604
|
|
Mediobanca Banca di Credito Finanziario SpA
|
4,661,455
|
673,960
|
|
MFE-MediaForEurope NV Class A
|
1,755,507
|
501,000
|
|
Pirelli & C SpA
|
2,726,748
|
262,370
|
|
Poste Italiane SpA 144A
|
2,977,973
|
574,748
|
|
UniCredit SpA
|
15,596,207
|
729,363
|
|
Unipol Gruppo SpA
|
4,158,977
|
957,500
|
|
UnipolSai Assicurazioni SpA
|
2,390,408
|
|
|
|
121,340,406
|
|
|
Japan — 21.3%
|
|
2,500
|
|
AEON REIT Investment Corp. REIT
|
2,507,448
|
247,000
|
|
AGC, Inc.(a)
|
9,173,585
|
37,100
|
|
Air Water, Inc.
|
506,974
|
41,500
|
|
Aisin Corp.
|
1,452,117
|
11,400
|
|
Alfresa Holdings Corp.
|
193,787
|
52,000
|
|
Alpen Co. Ltd.(a)
|
716,300
|
133,800
|
|
Amada Co. Ltd.
|
1,395,134
|
82,400
|
|
Amano Corp.
|
1,953,332
|
51,400
|
|
Artience Co. Ltd.(a)
|
958,509
|
67,900
|
|
ASKA Pharmaceutical Holdings Co. Ltd.
|
859,225
|
343,400
|
|
Astellas Pharma, Inc.
|
4,106,770
|
373,400
|
|
BayCurrent Consulting, Inc.
|
13,113,232
|
163,300
|
|
Brother Industries Ltd.
|
2,606,800
|
335,000
|
|
Canon, Inc.(a)
|
8,601,929
|
836,494
|
|
Chiba Bank Ltd.
|
6,043,192
|
397,100
|
|
Chubu Electric Power Co., Inc.
|
5,130,640
|
Shares
|
|
Description
|
Value ($)
|
|
|
Japan — continued
|
|
21,300
|
|
Chudenko Corp.
|
389,649
|
353,900
|
|
Citizen Watch Co. Ltd.
|
2,111,150
|
8,700
|
|
Coca-Cola Bottlers Japan Holdings, Inc.
|
124,934
|
3,800
|
|
Cosmo Energy Holdings Co. Ltd.
|
152,722
|
261,600
|
|
Credit Saison Co. Ltd.
|
4,823,586
|
447,500
|
|
Daicel Corp.
|
4,335,970
|
346,600
|
|
Dai-ichi Life Holdings, Inc.
|
7,355,846
|
99,600
|
|
Daiwa House Industry Co. Ltd.
|
3,018,096
|
461,400
|
|
Daiwa Securities Group, Inc.
|
3,106,219
|
53,200
|
|
Disco Corp.
|
13,200,000
|
32,300
|
|
Dowa Holdings Co. Ltd.
|
1,180,377
|
18,400
|
|
Eagle Industry Co. Ltd.
|
208,824
|
275,800
|
|
EDION Corp.
|
3,075,313
|
99,200
|
|
Electric Power Development Co. Ltd.
|
1,610,294
|
1,251,100
|
|
ENEOS Holdings, Inc.
|
4,973,162
|
106,000
|
|
Ezaki Glico Co. Ltd.(a)
|
3,139,098
|
69,200
|
|
Fast Retailing Co. Ltd.
|
17,174,833
|
286,000
|
|
FUJIFILM Holdings Corp.
|
17,188,807
|
582,300
|
|
Fujikura Ltd.
|
4,479,390
|
39,400
|
|
Fujitsu Ltd.
|
5,945,772
|
94,000
|
|
Fukuoka Financial Group, Inc.
|
2,218,315
|
87,100
|
|
Furukawa Co. Ltd.
|
1,178,179
|
28,700
|
|
Futaba Industrial Co. Ltd.
|
164,896
|
258,294
|
|
Hachijuni Bank Ltd.
|
1,439,506
|
326,100
|
|
Hazama Ando Corp.
|
2,581,413
|
70,000
|
|
Hirose Electric Co. Ltd.
|
7,927,011
|
110,000
|
|
Hitachi Ltd.
|
7,935,168
|
132,800
|
|
Hokkaido Electric Power Co., Inc.
|
588,359
|
3,468,900
|
|
Honda Motor Co. Ltd.
|
36,071,836
|
57,700
|
|
Horiba Ltd.
|
4,514,335
|
44,500
|
|
Ichinen Holdings Co. Ltd.
|
493,673
|
64,000
|
|
Idemitsu Kosan Co. Ltd.
|
348,418
|
477,000
|
|
Inpex Corp.(a)
|
6,443,797
|
338,100
|
|
Isuzu Motors Ltd.
|
4,355,154
|
110,500
|
|
ITOCHU Corp.
|
4,520,170
|
2,800
|
|
Iwatani Corp.
|
127,766
|
32,600
|
|
Jaccs Co. Ltd.
|
1,200,128
|
108,700
|
|
Japan Petroleum Exploration Co. Ltd.
|
4,040,204
|
865,900
|
|
Japan Post Holdings Co. Ltd.
|
7,735,856
|
356,600
|
|
Japan Post Insurance Co. Ltd.
|
6,333,710
|
82,300
|
|
JFE Holdings, Inc.
|
1,276,999
|
13,400
|
|
JTEKT Corp.
|
113,441
|
12,500
|
|
Kaken Pharmaceutical Co. Ltd.
|
297,471
|
106,500
|
|
Kamigumi Co. Ltd.
|
2,542,765
|
278,400
|
|
Kandenko Co. Ltd.
|
2,721,203
|
67,300
|
|
Kaneka Corp.(a)
|
1,709,949
|
282,500
|
|
Kanematsu Corp.
|
4,137,910
|
45,200
|
|
Kansai Electric Power Co., Inc.
|
600,187
|
23,700
|
|
Kato Sangyo Co. Ltd.
|
772,461
|
Shares
|
|
Description
|
Value ($)
|
|
|
Japan — continued
|
|
2,700
|
|
Kawasaki Kisen Kaisha Ltd.
|
115,868
|
142,200
|
|
KDDI Corp.
|
4,524,821
|
41,200
|
|
Keyence Corp.
|
18,153,951
|
139,000
|
|
Kirin Holdings Co. Ltd.(a)
|
2,036,984
|
317,200
|
|
Kobe Bussan Co. Ltd.
|
9,373,352
|
56,900
|
|
Kobe Steel Ltd.
|
736,374
|
76,200
|
|
Kohnan Shoji Co. Ltd.
|
2,121,471
|
131,700
|
|
Komatsu Ltd.
|
3,445,238
|
18,286
|
|
Kose Corp.
|
1,371,645
|
343,600
|
|
K's Holdings Corp.
|
3,219,574
|
35,700
|
|
KYB Corp.
|
1,242,080
|
214,400
|
|
Kyocera Corp.
|
3,129,772
|
25,200
|
|
Kyushu Electric Power Co., Inc.*
|
182,502
|
29,900
|
|
Lasertec Corp.
|
7,883,267
|
239,200
|
|
Lion Corp.(a)
|
2,220,125
|
123,400
|
|
M3, Inc.
|
2,042,078
|
3,100
|
|
Macnica Holdings, Inc.
|
163,532
|
532,400
|
|
Marubeni Corp.
|
8,415,757
|
63,400
|
|
Maxell Ltd.
|
701,546
|
35,000
|
|
Mazda Motor Corp.
|
378,227
|
1,071,900
|
|
Mebuki Financial Group, Inc.
|
3,261,015
|
513,900
|
|
Mitsubishi Chemical Group Corp.
|
3,149,451
|
612,900
|
|
Mitsubishi Corp.
|
9,796,923
|
1,299,000
|
|
Mitsubishi Electric Corp.
|
18,418,932
|
196,500
|
|
Mitsubishi Gas Chemical Co., Inc.
|
3,143,749
|
682,200
|
|
Mitsubishi HC Capital, Inc.
|
4,581,550
|
700,700
|
|
Mitsubishi Motors Corp.
|
2,231,624
|
1,183,300
|
|
Mitsubishi UFJ Financial Group, Inc.
|
10,168,591
|
73,600
|
|
Mitsui & Co. Ltd.
|
2,765,873
|
17,400
|
|
Mitsui Mining & Smelting Co. Ltd.
|
535,033
|
285,400
|
|
Mitsui OSK Lines Ltd.(a)
|
9,144,218
|
22,100
|
|
MIXI, Inc.
|
370,110
|
480,200
|
|
Mizuho Financial Group, Inc.
|
8,217,354
|
91,200
|
|
Mizuho Leasing Co. Ltd.
|
3,130,997
|
16,700
|
|
Mochida Pharmaceutical Co. Ltd.
|
387,353
|
131,000
|
|
MS&AD Insurance Group Holdings, Inc.
|
5,153,398
|
16,100
|
|
Nachi-Fujikoshi Corp.
|
419,687
|
5,800
|
|
Nagase & Co. Ltd.
|
92,978
|
29,300
|
|
NEC Corp.
|
1,735,388
|
111,900
|
|
NGK Insulators Ltd.
|
1,337,831
|
11,800
|
|
NHK Spring Co. Ltd.(a)
|
100,189
|
49,200
|
|
Nippon Gas Co. Ltd.
|
812,264
|
126,900
|
|
Nippon Soda Co. Ltd.
|
4,887,693
|
324,100
|
|
Nippon Steel Corp.
|
7,425,472
|
7,908,900
|
|
Nippon Telegraph & Telephone Corp.
|
9,665,935
|
119,900
|
|
Nishio Holdings Co. Ltd.
|
3,486,949
|
151,400
|
|
Nissan Motor Co. Ltd.
|
595,162
|
37,500
|
|
Nissin Foods Holdings Co. Ltd.
|
1,308,962
|
20,600
|
|
Niterra Co. Ltd.
|
489,356
|
Shares
|
|
Description
|
Value ($)
|
|
|
Japan — continued
|
|
83,500
|
|
Nitto Denko Corp.
|
6,248,581
|
1,373,800
|
|
Nomura Holdings, Inc.
|
6,214,160
|
215,300
|
|
Nomura Research Institute Ltd.
|
6,262,912
|
386,941
|
|
North Pacific Bank Ltd.
|
974,351
|
11,000
|
|
NS Solutions Corp.
|
356,966
|
36,200
|
|
Obayashi Corp.
|
313,264
|
9,700
|
|
Obic Co. Ltd.
|
1,671,595
|
307,100
|
|
Olympus Corp.
|
4,444,868
|
167,800
|
|
Ono Pharmaceutical Co. Ltd.
|
2,994,643
|
594,400
|
|
ORIX Corp.
|
11,198,230
|
169,800
|
|
Osaka Gas Co. Ltd.
|
3,547,035
|
72,000
|
|
Otsuka Holdings Co. Ltd.
|
2,701,149
|
511,900
|
|
Pan Pacific International Holdings Corp.
|
12,214,723
|
546,700
|
|
Panasonic Holdings Corp.
|
5,415,425
|
97,500
|
|
Renesas Electronics Corp.*
|
1,762,856
|
209,500
|
|
Rengo Co. Ltd.
|
1,396,865
|
2,737,400
|
|
Resona Holdings, Inc.
|
13,912,236
|
160,500
|
|
Ricoh Co. Ltd.
|
1,232,951
|
417,300
|
|
Rohto Pharmaceutical Co. Ltd.
|
8,415,264
|
7,400
|
|
Saizeriya Co. Ltd.
|
264,023
|
2,500
|
|
Sankyo Co. Ltd.
|
145,819
|
53,700
|
|
Sankyu, Inc.
|
1,973,469
|
145,900
|
|
Santen Pharmaceutical Co. Ltd.
|
1,454,032
|
8,400
|
|
Sanyo Chemical Industries Ltd.
|
252,334
|
31,500
|
|
Sawai Group Holdings Co. Ltd.
|
1,163,878
|
5,000
|
|
SCREEN Holdings Co. Ltd.
|
423,110
|
60,700
|
|
Sega Sammy Holdings, Inc.
|
849,059
|
165,600
|
|
Seiko Epson Corp.
|
2,479,067
|
145,900
|
|
Seino Holdings Co. Ltd.(a)
|
2,212,613
|
110,600
|
|
Sekisui Chemical Co. Ltd.
|
1,594,513
|
400,600
|
|
Shimadzu Corp.
|
11,201,342
|
97,500
|
|
Shimizu Corp.
|
647,741
|
235,100
|
|
Shin-Etsu Chemical Co. Ltd.
|
9,867,263
|
86,300
|
|
Shionogi & Co. Ltd.
|
4,161,352
|
378,600
|
|
SKY Perfect JSAT Holdings, Inc.
|
1,874,470
|
20,100
|
|
SMC Corp.
|
10,801,362
|
14,500
|
|
Socionext, Inc.
|
263,300
|
345,840
|
|
Sojitz Corp.
|
7,813,168
|
84,400
|
|
Sompo Holdings, Inc.
|
4,128,404
|
185,600
|
|
Subaru Corp.
|
3,404,466
|
466,200
|
|
SUMCO Corp.(a)
|
6,992,339
|
19,600
|
|
Sumitomo Bakelite Co. Ltd.
|
1,029,215
|
252,400
|
|
Sumitomo Corp.
|
5,507,039
|
168,600
|
|
Sumitomo Electric Industries Ltd.
|
2,147,264
|
183,800
|
|
Sumitomo Forestry Co. Ltd.(a)
|
5,479,581
|
175,500
|
|
Sumitomo Heavy Industries Ltd.(a)
|
4,425,468
|
25,600
|
|
Sumitomo Metal Mining Co. Ltd.
|
771,014
|
171,300
|
|
Sumitomo Mitsui Financial Group, Inc.
|
8,359,654
|
156,200
|
|
Sumitomo Mitsui Trust Holdings, Inc.
|
2,998,136
|
Shares
|
|
Description
|
Value ($)
|
|
|
Japan — continued
|
|
341,000
|
|
Sumitomo Rubber Industries Ltd.
|
3,705,575
|
24,400
|
|
Sumitomo Seika Chemicals Co. Ltd.
|
863,640
|
4,200
|
|
Suzuken Co. Ltd.
|
139,096
|
66,800
|
|
Suzuki Motor Corp.
|
2,858,593
|
102,500
|
|
Taisei Corp.
|
3,505,852
|
5,400
|
|
Takara Standard Co. Ltd.(a)
|
62,511
|
231,900
|
|
Takeda Pharmaceutical Co. Ltd.
|
6,668,482
|
926
|
|
Takeda Pharmaceutical Co. Ltd., ADR
|
13,214
|
12,800
|
|
TDK Corp.
|
609,857
|
153,300
|
|
Teijin Ltd.
|
1,453,294
|
478,400
|
|
Terumo Corp.
|
15,684,245
|
29,900
|
|
Tohoku Electric Power Co., Inc.
|
203,370
|
71,000
|
|
Tokio Marine Holdings, Inc.
|
1,777,266
|
178,300
|
|
Tokuyama Corp.
|
3,023,942
|
1,812,700
|
|
Tokyo Electric Power Co. Holdings, Inc.*
|
9,495,524
|
78,900
|
|
Tokyo Electron Ltd.
|
14,134,058
|
308,400
|
|
Tokyo Gas Co. Ltd.
|
7,083,269
|
32,100
|
|
Tokyo Seimitsu Co. Ltd.
|
1,974,316
|
51,500
|
|
Tosoh Corp.
|
657,905
|
39,600
|
|
Towa Pharmaceutical Co. Ltd.
|
660,655
|
192,700
|
|
Toyo Suisan Kaisha Ltd.
|
9,950,745
|
5,500
|
|
Toyota Boshoku Corp.
|
87,291
|
13,000
|
|
Toyota Tsusho Corp.
|
766,094
|
70,500
|
|
Trend Micro, Inc.
|
3,774,535
|
251,500
|
|
TS Tech Co. Ltd.
|
3,043,403
|
16,600
|
|
Tsubakimoto Chain Co.
|
476,287
|
10,500
|
|
UACJ Corp.
|
286,743
|
126,300
|
|
UBE Corp.
|
2,051,546
|
25,700
|
|
Valor Holdings Co. Ltd.
|
444,983
|
26,900
|
|
Warabeya Nichiyo Holdings Co. Ltd.
|
653,515
|
513,600
|
|
Yamaha Motor Co. Ltd.(a)
|
4,588,447
|
36,200
|
|
Yamaichi Electronics Co. Ltd.
|
497,114
|
207,500
|
|
Yokogawa Electric Corp.
|
3,957,778
|
192,600
|
|
Yokohama Rubber Co. Ltd.(a)
|
4,416,767
|
|
|
|
765,107,978
|
|
|
Luxembourg — 0.3%
|
|
147,981
|
|
ArcelorMittal SA, ADR NYRS
|
4,201,181
|
264,087
|
|
ArcelorMittal SA
|
7,490,007
|
|
|
|
11,691,188
|
|
|
Malaysia — 0.0%
|
|
448,700
|
|
Tenaga Nasional Bhd.
|
980,402
|
|
|
Malta — 0.0%
|
|
14,746
|
|
Kindred Group PLC, SDR
|
136,488
|
|
|
Netherlands — 4.3%
|
|
446,300
|
|
ABN AMRO Bank NV CVA, GDR
|
6,699,943
|
Shares
|
|
Description
|
Value ($)
|
|
|
Netherlands — continued
|
|
666,700
|
|
Aegon Ltd.
|
3,864,996
|
53,071
|
|
ASML Holding NV
|
39,964,586
|
11,412
|
|
ASML Holding NV, ADR NYRS
|
8,637,971
|
81,300
|
|
ASR Nederland NV
|
3,834,804
|
4,645
|
|
BE Semiconductor Industries NV
|
700,138
|
93,187
|
|
Euronext NV
|
8,096,155
|
338,300
|
|
ING Groep NV
|
5,054,709
|
245,500
|
|
Koninklijke Ahold Delhaize NV
|
7,055,050
|
232,391
|
|
NN Group NV
|
9,177,409
|
39,200
|
|
Randstad NV
|
2,456,105
|
294,541
|
|
Shell PLC(b)
|
9,695,870
|
1,166,022
|
|
Shell PLC(b)
|
38,223,918
|
85,960
|
|
Wolters Kluwer NV
|
12,220,802
|
|
|
|
155,682,456
|
|
|
Norway — 1.0%
|
|
280,027
|
|
Aker BP ASA
|
8,147,935
|
100,400
|
|
Austevoll Seafood ASA
|
733,052
|
172,500
|
|
DNB Bank ASA
|
3,668,876
|
113,576
|
|
Equinor ASA
|
3,602,756
|
29,191
|
|
Equinor ASA, ADR
|
923,603
|
5,361
|
|
Frontline PLC
|
107,488
|
20,143
|
|
Kongsberg Gruppen ASA
|
923,083
|
196,900
|
|
Mowi ASA
|
3,528,639
|
314,600
|
|
Orkla ASA
|
2,442,280
|
268,810
|
|
Seadrill Ltd.*
|
12,709,337
|
1,129
|
|
Telenor ASA
|
12,962
|
|
|
|
36,800,011
|
|
|
Portugal — 0.2%
|
|
290,426
|
|
Banco Comercial Portugues SA Class R *
|
88,033
|
327,592
|
|
Galp Energia SGPS SA
|
4,827,407
|
1,891,900
|
|
Sonae SGPS SA
|
1,890,303
|
|
|
|
6,805,743
|
|
|
Russia — 0.0%
|
|
3,792,080
|
|
Gazprom PJSC*(c)(d)(e)
|
98,407
|
113,778
|
|
LUKOIL PJSC(c)(d)(e)
|
63,380
|
8,430
|
|
MMC Norilsk Nickel PJSC(c)(d)(e)
|
18,859
|
18,119
|
|
Novatek PJSC(c)(d)(e)
|
2,493
|
169,349
|
|
Rosneft Oil Co. PJSC(c)(d)(e)
|
5,683
|
1,092,670
|
|
Sberbank of Russia PJSC(c)(d)(e)
|
15,889
|
296,674
|
|
Tatneft PJSC(c)(d)(e)
|
12,212
|
|
|
|
216,923
|
|
|
Singapore — 0.6%
|
|
126,600
|
|
ComfortDelGro Corp. Ltd.
|
134,364
|
390,100
|
|
Genting Singapore Ltd.
|
295,732
|
16,364
|
|
Hafnia Ltd.
|
113,114
|
90,700
|
|
Jardine Cycle & Carriage Ltd.
|
2,046,268
|
Shares
|
|
Description
|
Value ($)
|
|
|
Singapore — continued
|
|
58,749
|
|
Sea Ltd., ADR*
|
2,379,334
|
134,132
|
|
STMicroelectronics NV(b)
|
6,703,903
|
11,916
|
|
STMicroelectronics NV(b)
|
595,100
|
56,012
|
|
STMicroelectronics NV, ADR NYRS
|
2,807,882
|
259,300
|
|
United Overseas Bank Ltd.
|
5,592,514
|
|
|
|
20,668,211
|
|
|
South Africa — 0.3%
|
|
17,400
|
|
Anglo American Platinum Ltd.(a)
|
917,216
|
288,668
|
|
Anglo American PLC
|
7,251,687
|
133,870
|
|
MTN Group Ltd.
|
845,495
|
1,003,000
|
|
Old Mutual Ltd.(a)
|
704,522
|
100,077
|
|
Tiger Brands Ltd.(a)
|
1,101,545
|
|
|
|
10,820,465
|
|
|
South Korea — 1.2%
|
|
76,000
|
|
Doosan Bobcat, Inc.
|
2,974,144
|
1,496
|
|
Hyundai Mobis Co. Ltd.
|
275,294
|
6,431
|
|
Hyundai Motor Co.
|
1,016,157
|
132,203
|
|
Kia Corp.
|
10,265,005
|
403,060
|
|
Samsung Electronics Co. Ltd.
|
24,567,288
|
72,400
|
|
SK Telecom Co. Ltd.
|
2,816,399
|
|
|
|
41,914,287
|
|
|
Spain — 2.2%
|
|
154,722
|
|
Amadeus IT Group SA
|
11,088,879
|
384,863
|
|
Banco Bilbao Vizcaya Argentaria SA
|
3,497,193
|
48,347
|
|
Banco Bilbao Vizcaya Argentaria SA, ADR
|
440,441
|
336,312
|
|
Banco de Sabadell SA
|
413,487
|
4,105,191
|
|
Banco Santander SA
|
17,139,276
|
102,501
|
|
Banco Santander SA, ADR
|
424,354
|
3,213,976
|
|
CaixaBank SA
|
13,228,489
|
321,547
|
|
Cellnex Telecom SA*
|
12,666,323
|
133,478
|
|
Endesa SA(a)
|
2,721,862
|
7,958
|
|
Indra Sistemas SA(a)
|
123,071
|
1,599,120
|
|
Mapfre SA(a)
|
3,432,248
|
885,118
|
|
Repsol SA
|
13,150,680
|
|
|
|
78,326,303
|
|
|
Sweden — 1.6%
|
|
13,641
|
|
Betsson AB Class B
|
146,862
|
322,007
|
|
Epiroc AB Class A
|
6,460,685
|
227,235
|
|
Essity AB Class B
|
5,636,991
|
537,896
|
|
H & M Hennes & Mauritz AB Class B (a)
|
9,426,931
|
169,186
|
|
Investor AB Class B
|
3,919,976
|
421,700
|
|
Securitas AB Class B
|
4,125,006
|
286,400
|
|
SKF AB Class B
|
5,720,696
|
13,835
|
|
SSAB AB Class A
|
105,267
|
35,824
|
|
SSAB AB Class B
|
273,998
|
300,578
|
|
Svenska Cellulosa AB SCA Class B
|
4,506,649
|
Shares
|
|
Description
|
Value ($)
|
|
|
Sweden — continued
|
|
296,409
|
|
Swedbank AB Class A
|
5,979,445
|
253,239
|
|
Telefonaktiebolaget LM Ericsson, ADR
|
1,595,406
|
390,400
|
|
Volvo AB Class B
|
10,137,845
|
|
|
|
58,035,757
|
|
|
Switzerland — 5.3%
|
|
153,780
|
|
ABB Ltd.
|
6,815,177
|
76,200
|
|
Adecco Group AG
|
3,736,439
|
8,200
|
|
Bucher Industries AG
|
3,441,145
|
252
|
|
Chocoladefabriken Lindt & Spruengli AG
|
3,021,066
|
28,986
|
|
Cie Financiere Richemont SA Class A
|
3,986,371
|
148,998
|
|
DSM-Firmenich AG
|
15,142,341
|
1,674
|
|
Givaudan SA
|
6,929,503
|
178,618
|
|
Julius Baer Group Ltd.
|
10,006,343
|
18,615
|
|
Landis+Gyr Group AG
|
1,680,913
|
70,468
|
|
Logitech International SA(b)
|
6,677,987
|
49,002
|
|
Logitech International SA(b)
|
4,658,130
|
309,460
|
|
Novartis AG
|
31,205,216
|
339,270
|
|
On Holding AG Class A *
|
9,150,112
|
54,940
|
|
Sandoz Group AG*
|
1,766,383
|
27,314
|
|
Schindler Holding AG
|
6,824,849
|
79,268
|
|
SGS SA
|
6,831,938
|
51,741
|
|
Sika AG
|
16,825,892
|
19,500
|
|
Sulzer AG
|
1,990,198
|
17,074
|
|
Swatch Group AG
|
893,613
|
10,300
|
|
Swatch Group AG Bearer Shares
|
2,797,576
|
11,300
|
|
Swiss Life Holding AG
|
7,840,789
|
3,924
|
|
Temenos AG
|
364,683
|
1,269,140
|
|
UBS Group AG
|
39,356,685
|
|
|
|
191,943,349
|
|
|
Taiwan — 1.3%
|
|
1,088,000
|
|
ASE Technology Holding Co. Ltd.
|
4,785,846
|
1,290,000
|
|
Chipbond Technology Corp.
|
3,038,953
|
1,107,000
|
|
Compeq Manufacturing Co. Ltd.
|
2,550,134
|
573,000
|
|
Hon Hai Precision Industry Co. Ltd.
|
1,951,044
|
91,000
|
|
MediaTek, Inc.
|
3,009,563
|
139,000
|
|
Novatek Microelectronics Corp.
|
2,341,539
|
554,000
|
|
Taiwan Semiconductor Manufacturing Co. Ltd.
|
10,704,355
|
159,784
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
16,617,536
|
1,786,000
|
|
United Microelectronics Corp.
|
3,060,999
|
|
|
|
48,059,969
|
|
|
Thailand — 0.0%
|
|
10,006,800
|
|
Quality Houses PCL Class F
|
656,712
|
|
|
Turkey — 0.3%
|
|
338,400
|
|
BIM Birlesik Magazalar AS
|
3,445,988
|
280,700
|
|
Coca-Cola Icecek AS
|
4,994,510
|
468,860
|
|
Turkiye Garanti Bankasi AS
|
926,321
|
Shares
|
|
Description
|
Value ($)
|
|
|
Turkey — continued
|
|
211,559
|
|
Turkiye Is Bankasi AS Class C
|
167,333
|
|
|
|
9,534,152
|
|
|
United Kingdom — 9.2%
|
|
397,907
|
|
3i Group PLC
|
12,280,564
|
146,800
|
|
Associated British Foods PLC
|
4,429,618
|
177,840
|
|
AstraZeneca PLC
|
24,031,299
|
504,900
|
|
Aviva PLC
|
2,797,931
|
403,600
|
|
B&M European Value Retail SA
|
2,882,280
|
450,300
|
|
BAE Systems PLC
|
6,374,739
|
482,200
|
|
Balfour Beatty PLC
|
2,035,914
|
6,539,153
|
|
Barclays PLC
|
12,819,270
|
558,142
|
|
Barclays PLC, ADR
|
4,398,159
|
280,200
|
|
Barratt Developments PLC
|
2,009,601
|
54,979
|
|
Bellway PLC
|
1,799,839
|
1,476,930
|
|
BP PLC
|
8,776,625
|
462,751
|
|
BP PLC, ADR
|
16,381,385
|
235,600
|
|
British American Tobacco PLC
|
6,894,369
|
2,218,190
|
|
BT Group PLC
|
3,495,096
|
2,196,700
|
|
Centrica PLC
|
3,938,696
|
860,000
|
|
CK Hutchison Holdings Ltd.
|
4,609,178
|
200,300
|
|
CNH Industrial NV
|
2,451,576
|
217,310
|
|
Compass Group PLC
|
5,944,993
|
529,600
|
|
Crest Nicholson Holdings PLC
|
1,466,391
|
53,097
|
|
Croda International PLC
|
3,418,246
|
22,066
|
|
Darktrace PLC*
|
103,152
|
396,315
|
|
Diageo PLC
|
14,429,146
|
352,573
|
|
Hiscox Ltd.
|
4,737,308
|
550,752
|
|
IMI PLC
|
11,823,338
|
229,500
|
|
Imperial Brands PLC
|
5,285,214
|
131,290
|
|
Intertek Group PLC
|
7,106,464
|
1,537,000
|
|
J Sainsbury PLC
|
5,929,045
|
1,885,900
|
|
Kingfisher PLC
|
5,849,284
|
7,342,700
|
|
Lloyds Banking Group PLC
|
4,465,881
|
161,078
|
|
London Stock Exchange Group PLC
|
19,043,433
|
515,100
|
|
Man Group PLC
|
1,527,366
|
845,100
|
|
Marks & Spencer Group PLC
|
2,934,655
|
1,969,644
|
|
Melrose Industries PLC
|
14,246,855
|
681,500
|
|
Mitchells & Butlers PLC*
|
2,239,704
|
5,951,822
|
|
NatWest Group PLC
|
16,646,713
|
326,235
|
|
Ocado Group PLC*
|
3,154,066
|
510,633
|
|
Paragon Banking Group PLC
|
4,540,409
|
568,456
|
|
QinetiQ Group PLC
|
2,239,223
|
349,853
|
|
Redrow PLC
|
2,745,084
|
651,306
|
|
RELX PLC(b)
|
25,821,853
|
87,667
|
|
RELX PLC(b)
|
3,468,858
|
1,316,762
|
|
Rolls-Royce Holdings PLC*
|
5,030,787
|
523,712
|
|
Smith & Nephew PLC
|
7,200,366
|
44,364
|
|
Spirax-Sarco Engineering PLC
|
5,941,125
|
Shares
|
|
Description
|
Value ($)
|
|
|
United Kingdom — continued
|
|
114,695
|
|
Standard Chartered PLC
|
974,657
|
1,350,500
|
|
Taylor Wimpey PLC
|
2,531,638
|
1,626,400
|
|
Tesco PLC
|
6,023,036
|
125,400
|
|
Vistry Group PLC
|
1,466,714
|
5,764,678
|
|
Vodafone Group PLC
|
5,038,344
|
581,587
|
|
Vodafone Group PLC, ADR
|
5,059,807
|
|
|
|
330,839,294
|
|
|
United States — 10.2%
|
|
81,801
|
|
Agilent Technologies, Inc.
|
11,372,793
|
58,522
|
|
Analog Devices, Inc.
|
11,620,128
|
15,502
|
|
ANSYS, Inc.*
|
5,625,366
|
173,056
|
|
ARM Holdings PLC, ADR*
|
13,004,293
|
106,003
|
|
Bruker Corp.
|
7,789,101
|
78,896
|
|
Cadence Design Systems, Inc.*
|
21,488,904
|
187,518
|
|
CRH PLC
|
12,968,745
|
70,020
|
|
CSL Ltd.
|
13,695,602
|
342,358
|
|
Experian PLC
|
13,974,740
|
969,504
|
|
GSK PLC
|
17,923,360
|
238,102
|
|
GSK PLC, ADR
|
8,824,060
|
5,945,212
|
|
Haleon PLC
|
24,377,706
|
288,042
|
|
Holcim AG
|
22,594,348
|
57,970
|
|
ICON PLC, ADR*
|
16,409,568
|
274,360
|
|
James Hardie Industries PLC, CDI*
|
10,575,464
|
81,612
|
|
Janus Henderson Group PLC
|
2,460,602
|
623,000
|
|
JBS SA
|
3,194,773
|
1,294
|
|
Monday.com Ltd.*
|
243,026
|
20,606
|
|
Nestle SA
|
2,387,324
|
137,512
|
|
Roche Holding AG
|
39,947,346
|
159,296
|
|
Sanofi SA
|
15,794,739
|
228,102
|
|
Schneider Electric SE
|
45,803,635
|
155,300
|
|
Signify NV
|
5,201,462
|
426,609
|
|
Stellantis NV(b)
|
9,964,659
|
195,380
|
|
Stellantis NV(b)
|
4,564,731
|
734,416
|
|
Stellantis NV(b)
|
17,126,581
|
39,890
|
|
Swiss Re AG
|
4,481,671
|
99,945
|
|
Tenaris SA
|
1,738,315
|
|
|
|
365,153,042
|
|
|
TOTAL COMMON STOCKS (COST $3,078,472,795)
|
3,430,277,852
|
Shares
|
|
Description
|
Value ($)
|
|
|
INVESTMENT COMPANIES — 0.3%
|
|
|
|
United States — 0.3%
|
|
126,680
|
|
iShares MSCI EAFE ETF
|
9,545,338
|
24,055
|
|
iShares MSCI Eurozone ETF
|
1,141,169
|
Shares
|
|
Description
|
Value ($)
|
|
|
United States — continued
|
|
16,511
|
|
Vanguard FTSE Developed Markets ETF
|
790,877
|
|
|
TOTAL INVESTMENT COMPANIES (COST $10,778,790)
|
11,477,384
|
Shares
|
|
Description
|
Value ($)
|
|
|
PREFERRED STOCKS — 0.7%
|
|
|
|
Brazil — 0.2%
|
|
1,162,400
|
|
Petroleo Brasileiro SA, 8.49%
|
8,911,351
|
|
|
Germany — 0.5%
|
|
5,781
|
|
Bayerische Motoren Werke AG, 9.48%
|
574,419
|
15,947
|
|
Henkel AG & Co. KGaA, 2.54%
|
1,283,491
|
414,900
|
|
Schaeffler AG, 8.04%
|
2,564,297
|
105,214
|
|
Volkswagen AG, 7.84%
|
12,993,917
|
|
|
|
17,416,124
|
|
|
South Korea — 0.0%
|
|
9,850
|
|
Samsung Electronics Co. Ltd., 2.32%
|
476,477
|
|
|
TOTAL PREFERRED STOCKS (COST $32,481,702)
|
26,803,952
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
SHORT-TERM INVESTMENT — 1.3%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 1.3%
|
|
46,077,019
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(f)(g)
|
46,077,019
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $46,077,019)
|
46,077,019
|
|
|
TOTAL INVESTMENTS — 97.7%
(Cost $3,167,810,306)
|
3,514,636,207
|
|
|
Other Assets and Liabilities (net) — 2.3%
|
81,629,901
|
|
|
NET ASSETS — 100.0%
|
$3,596,266,108
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of this security is out on loan.
|
(b)
|
Securities are traded on separate exchanges for the same entity.
|
(c)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
(d)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $216,923 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2023 was $29,569,045.
|
(e)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $216,923 which represents 0.0% of net assets. The
aggregate cost of these securities held at December 31, 2023 was $29,569,045.
|
(f)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(g)
|
Represents an investment of securities lending cash collateral.
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $9,962,456 which represents 0.3% of net
assets.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
709
|
MSCI EAFE Index
|
Mar 2024
|
$79,847,580
|
$2,590,298
|
Abbreviations
|
||
ADR
|
—
|
American Depository Receipt
|
CDI
|
—
|
CREST Depository Interest
|
CVA
|
—
|
Certificaten Van Aandelen
|
GDR
|
—
|
Global Depository Receipt
|
NYRS
|
—
|
New York Registry Shares
|
REIT
|
—
|
Real Estate Investment Trust
|
SDR
|
—
|
Swedish Depository Receipt
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
Consumer, Non-cyclical
|
19.4
|
Financial
|
17.9
|
Industrial
|
14.2
|
Consumer, Cyclical
|
13.2
|
Technology
|
11.6
|
Energy
|
8.2
|
Basic Materials
|
6.6
|
Communications
|
3.4
|
Utilities
|
1.6
|
Investment Companies
|
0.3
|
Diversified
|
0.0*
|
Short-Term Investment
|
1.3
|
Other Assets and Liabilities (net)
|
2.3
|
|
100.0%
|
*
|
Amount rounds to zero.
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
DEBT OBLIGATIONS — 99.5%
|
|
|
|
Asset Backed Securities — 10.5%
|
|
227,436
|
|
ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class A, 3.20%, due 12/20/30
144A
|
217,121
|
654,000
|
|
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, due 08/15/46 144A
|
587,153
|
359,000
|
|
Aligned Data Centers Issuer LLC, Series 2023-2A, Class A2, 6.50%, due 11/16/48 144A
|
363,553
|
2,660,000
|
|
American Express Credit Account Master Trust, Series 2022-3, Class A, 3.75%, due
08/15/27
|
2,616,336
|
22,735
|
|
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, due 07/18/25
|
22,697
|
400,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, due 01/19/27
|
374,864
|
400,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, due 08/18/27
|
371,160
|
700,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.80%, due 12/18/28
|
706,817
|
800,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2023-2, Class C, 6.00%, due 07/18/29
|
809,248
|
100,000
|
|
AMSR Trust, Series 2020-SFR4, Class A, 1.36%, due 11/17/37 144A
|
93,030
|
1,350,000
|
|
AMSR Trust, Series 2021-SFR1, Class A, 1.95%, due 06/17/38 144A
|
1,170,510
|
1,529,000
|
|
AMSR Trust, Series 2021-SFR2, Class A, 1.53%, due 08/17/38 144A
|
1,381,326
|
2,742,000
|
|
AMSR Trust, Series 2022-SFR3, Class A, 4.00%, due 10/17/39 144A
|
2,606,949
|
4,000,000
|
EUR
|
Anchorage Capital Europe CLO 6 DAC, Series 6A, Class AR, 5.68% (3 mo. EURIBOR
+ 1.75%), due 01/22/38(b) 144A
|
4,422,410
|
313,000
|
|
Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due
03/05/53 144A
|
322,170
|
170,819
|
|
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 07/17/46 144A
|
152,764
|
922,995
|
|
Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A
|
845,975
|
1,838,000
|
|
BA Credit Card Trust, Series 2022-A2, Class A2, 5.00%, due 04/15/28
|
1,850,594
|
2,500,000
|
EUR
|
Barings Euro CLO DAC, Series 2015-1A, Class ARR, 4.94% (3 mo. EURIBOR +
0.98%), due 07/25/35(b) 144A
|
2,710,066
|
1,250,000
|
EUR
|
BNPP AM Euro CLO DAC, Series 2018-1A, Class AR, 4.57% (3 mo. EURIBOR +
0.60%), due 04/15/31(b) 144A
|
1,360,900
|
253,540
|
|
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due
09/26/33 144A
|
242,247
|
3,021,000
|
|
Capital One Multi-Asset Execution Trust, Series 2023-A1, Class A, 4.42%, due 05/15/28
|
3,012,055
|
1,746,735
|
EUR
|
Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1, 4.75% (3
mo. EURIBOR + 0.75%), due 11/15/31(b) 144A
|
1,899,841
|
405,000
|
|
CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26
|
387,862
|
300,000
|
|
CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, due 02/16/27
|
281,314
|
310,000
|
|
CarMax Auto Owner Trust, Series 2021-3, Class C, 1.25%, due 05/17/27
|
288,466
|
300,000
|
|
CarMax Auto Owner Trust, Series 2021-4, Class C, 1.38%, due 07/15/27
|
277,438
|
400,000
|
|
CarMax Auto Owner Trust, Series 2022-1, Class C, 2.20%, due 11/15/27
|
373,358
|
200,000
|
|
CarMax Auto Owner Trust, Series 2022-1, Class D, 2.47%, due 07/17/28
|
185,693
|
496,000
|
|
CARS-DB4 LP, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A
|
474,601
|
1,035,269
|
|
CF Hippolyta Issuer LLC, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A
|
957,725
|
757,728
|
|
CF Hippolyta Issuer LLC, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A
|
678,369
|
2,139,303
|
|
CIFC Funding Ltd., Series 2014-2RA, Class A1, 6.71% (3 mo. USD Term SOFR +
1.31%), due 04/24/30(b) 144A
|
2,141,552
|
2,118,442
|
|
CIFC Funding Ltd., Series 2015-1A, Class ARR, 6.78% (3 mo. USD Term SOFR +
1.37%), due 01/22/31(b) 144A
|
2,121,113
|
1,200,000
|
|
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30
|
1,175,304
|
874,098
|
|
CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A
|
782,454
|
699,670
|
|
CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A
|
618,457
|
615,190
|
|
CLI Funding VIII LLC, Series 2022-1A, Class A, 2.72%, due 01/18/47 144A
|
544,792
|
134,238
|
|
Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42
144A
|
123,612
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
2,250,000
|
|
Crown City CLO I, Series 2020-1A, Class A1AR, 6.87% (3 mo. USD Term SOFR +
1.45%), due 07/20/34(b) 144A
|
2,244,787
|
2,165,000
|
|
Crown Point CLO 11 Ltd., Series 2021-11A, Class A, 6.78% (3 mo. USD Term SOFR +
1.38%), due 01/17/34(b) 144A
|
2,155,755
|
486,000
|
|
CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class A2, 4.30%, due 04/20/48
144A
|
445,371
|
449,000
|
|
DataBank Issuer, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A
|
406,879
|
262,958
|
|
DB Master Finance LLC, Series 2017-1A, Class A2II, 4.03%, due 11/20/47 144A
|
250,190
|
1,299,480
|
|
DB Master Finance LLC, Series 2021-1A, Class A23, 2.79%, due 11/20/51 144A
|
1,076,824
|
1,199,520
|
|
DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, due 11/20/51 144A
|
1,093,979
|
152,000
|
|
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, due 04/15/49
144A
|
131,914
|
881,237
|
|
Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47
144A
|
843,248
|
4,091,100
|
|
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, due 04/25/51
144A
|
3,628,216
|
595,170
|
|
Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A
|
533,068
|
680,120
|
|
Driven Brands Funding LLC, Series 2021-1A, Class A2, 2.79%, due 10/20/51 144A
|
584,032
|
207,634
|
|
FirstKey Homes Trust, Series 2020-SFR1, Class A, 1.34%, due 08/17/37 144A
|
193,638
|
166,522
|
|
FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A
|
154,456
|
570,843
|
|
FirstKey Homes Trust, Series 2021-SFR1, Class A, 1.54%, due 08/17/38 144A
|
517,380
|
531,000
|
|
FirstKey Homes Trust, Series 2021-SFR1, Class D, 2.19%, due 08/17/38 144A
|
479,063
|
430,000
|
|
Five Guys Holdings, Inc., Series 2023-1A, Class A2, 7.55%, due 01/26/54 144A
|
457,534
|
305,000
|
|
Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28
|
291,371
|
300,000
|
|
Ford Credit Auto Owner Trust, Series 2022-A, Class C, 2.14%, due 07/15/29
|
283,037
|
2,282,000
|
|
Ford Credit Auto Owner Trust, Series 2022-B, Class A4, 3.93%, due 08/15/27
|
2,244,315
|
641,000
|
|
Ford Credit Auto Owner Trust, Series 2023-2, Class A, 5.28%, due 02/15/36 144A
|
656,225
|
1,800,000
|
|
Ford Credit Auto Owner Trust, Series 2023-B, Class B, 5.56%, due 03/15/29
|
1,819,551
|
2,135,000
|
|
Ford Credit Floorplan Master Owner Trust A, Series 2023-1, Class A1, 4.92%, due
05/15/28 144A
|
2,142,493
|
1,212,826
|
|
Generate CLO 2 Ltd., Series 2A, Class AR, 6.82% (3 mo. USD Term SOFR + 1.41%),
due 01/22/31(b) 144A
|
1,214,306
|
3,369,882
|
|
Generate CLO 4 Ltd., Series 4A, Class A1R, 6.77% (3 mo. USD Term SOFR + 1.35%),
due 04/20/32(b) 144A
|
3,373,518
|
300,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%,
due 05/17/27
|
286,992
|
500,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2023-3, Class B, 5.72%,
due 01/16/29
|
508,569
|
700,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class B, 6.16%,
due 04/16/29
|
722,441
|
500,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class C, 6.41%,
due 05/16/29
|
516,047
|
2,973,000
|
|
GMF Floorplan Owner Revolving Trust, Series 2023-2, Class A, 5.34%, due 06/15/30
144A
|
3,044,301
|
345,152
|
|
Golub Capital Partners ABS Funding Ltd., Series 2020-1A, Class A2, 3.21%, due
01/22/29 144A
|
324,987
|
505,340
|
|
Golub Capital Partners ABS Funding Ltd., Series 2021-1A, Class A2, 2.77%, due
04/20/29 144A
|
475,516
|
2,500,000
|
EUR
|
Grosvenor Place CLO DAC, Series 2022-1A, Class A, 5.97% (3 mo. EURIBOR +
2.00%), due 11/24/35(b) 144A
|
2,763,535
|
596,000
|
|
HI-FI Music IP Issuer LP, Series 2022-1A, Class A2, 3.94%, due 02/01/62 144A
|
555,625
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
57,802
|
|
Home Equity Asset Trust, Series 2003-8, Class M1, 6.55% (1 mo. USD Term SOFR +
1.19%), due 04/25/34(b)
|
57,057
|
2,000,000
|
EUR
|
Invesco Euro CLO I DAC, Series 1A, Class A1R, 4.62% (3 mo. EURIBOR + 0.65%),
due 07/15/31(b) 144A
|
2,176,525
|
252,850
|
|
Jack in the Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A
|
236,670
|
621,460
|
|
Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, due 02/26/52 144A
|
574,042
|
4,816
|
|
Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2B, 2.81%, due 11/25/42
144A
|
4,790
|
2,528,000
|
EUR
|
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R, 4.77% (3 mo.
EURIBOR + 0.80%), due 07/15/32(b) 144A
|
2,756,434
|
4,865,000
|
|
Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, 6.68% (3 mo. USD
Term SOFR + 1.29%), due 10/15/32(b) 144A
|
4,868,600
|
2,000,000
|
|
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, 6.78% (3 mo. USD
Term SOFR + 1.38%), due 07/17/34(b) 144A
|
2,000,382
|
375,000
|
|
MetroNet Infrastructure Issuer LLC, Series 2023-1A, Class A2, 6.56%, due 04/20/53
144A
|
372,551
|
952,991
|
|
MidOcean Credit CLO III, Series 2014-3A, Class A1R, 6.79% (3 mo. USD Term SOFR
+ 1.38%), due 04/21/31(b) 144A
|
953,902
|
42,547
|
|
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 6.49% (1 mo.
USD Term SOFR + 1.13%), due 10/25/33(b)
|
42,157
|
8,256
|
|
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC7, Class M1, 6.52% (1 mo.
USD Term SOFR + 1.16%), due 06/25/33(b)
|
8,243
|
260,291
|
|
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.60%, due
08/15/68 144A
|
242,597
|
275,259
|
|
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.31%, due
01/15/69 144A
|
252,163
|
83,234
|
|
Navient Student Loan Trust, Series 2020-2A, Class A1A, 1.32%, due 08/26/69 144A
|
71,505
|
914,550
|
|
Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A
|
797,528
|
511,883
|
|
Neighborly Issuer LLC, Series 2022-1A, Class A2, 3.70%, due 01/30/52 144A
|
439,398
|
133,637
|
|
New Century Home Equity Loan Trust, Series 2003-A, Class A, 3.78% (1 mo. USD
Term SOFR + 0.83%), due 10/25/33(b) 144A
|
128,990
|
1,045,000
|
|
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, due
10/20/61 144A
|
916,539
|
296,000
|
|
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, due
10/20/61 144A
|
241,034
|
2,643,000
|
|
NextGear Floorplan Master Owner Trust, Series 2022-1A, Class A2, 2.80%, due
03/15/27 144A
|
2,561,595
|
1,500,000
|
|
Northwoods Capital 22 Ltd., Series 2020-22A, Class AR, 6.83% (3 mo. USD Term
SOFR + 1.45%), due 09/01/31(b) 144A
|
1,501,781
|
69,709
|
|
NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A, 3.10%, due
07/25/26 144A
|
64,841
|
2,435,000
|
|
OCP CLO Ltd., Series 2015-9A, Class A1R2, 6.64% (3 mo. USD Term SOFR + 1.25%),
due 01/15/33(b) 144A
|
2,431,822
|
1,380,059
|
|
OZLM Funding IV Ltd., Series 2013-4A, Class A1R, 6.92% (3 mo. USD Term SOFR +
1.51%), due 10/22/30(b) 144A
|
1,381,797
|
458,731
|
|
OZLM XI Ltd., Series 2015-11A, Class A1R, 6.90% (3 mo. USD Term SOFR + 1.51%),
due 10/30/30(b) 144A
|
459,093
|
2,000,000
|
|
Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, 6.68% (3
mo. USD Term SOFR + 1.26%), due 10/20/31(b) 144A
|
2,001,506
|
2,492,000
|
|
PFS Financing Corp., Series 2022-A, Class A, 2.47%, due 02/15/27 144A
|
2,412,221
|
1,323,022
|
|
Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 10/17/36 144A
|
1,288,254
|
1,014,458
|
|
Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A
|
966,815
|
1,326,163
|
|
Progress Residential Trust, Series 2021-SFR2, Class A, 1.55%, due 04/19/38 144A
|
1,208,953
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
316,000
|
|
Progress Residential Trust, Series 2021-SFR8, Class B, 1.68%, due 10/17/38 144A
|
282,675
|
1,561,091
|
|
Progress Residential Trust, Series 2022-SFR2, Class A, 2.95%, due 04/17/27 144A
|
1,451,093
|
2,370
|
|
Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 5.43%, due 08/25/35(c)
|
2,356
|
602,000
|
|
Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2A, 5.00%, due
09/15/48 144A
|
561,880
|
698,026
|
|
Romark CLO II Ltd., Series 2018-2A, Class A1, 6.81% (3 mo. USD Term SOFR +
1.44%), due 07/25/31(b) 144A
|
698,624
|
810,000
|
|
Santander Drive Auto Receivables Trust, Series 2021-2, Class D, 1.35%, due 07/15/27
|
780,309
|
280,429
|
|
Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.95%, due 09/15/27
|
277,952
|
600,000
|
|
Santander Drive Auto Receivables Trust, Series 2022-1, Class C, 2.56%, due 04/17/28
|
584,222
|
1,550,000
|
|
Santander Drive Auto Receivables Trust, Series 2022-5, Class C, 4.74%, due 10/16/28
|
1,527,439
|
200,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.09%, due 05/15/30
|
198,616
|
600,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.77%, due 11/15/30
|
608,559
|
900,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-4, Class C, 6.04%, due 12/15/31
|
916,484
|
1,400,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-5, Class C, 6.43%, due 02/18/31
|
1,437,781
|
400,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-6, Class B, 5.98%, due 04/16/29
|
407,744
|
100,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-6, Class C, 6.40%, due 03/17/31
|
102,874
|
631,950
|
|
Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A
|
616,906
|
197,934
|
|
Silver Creek CLO Ltd., Series 2014-1A, Class AR, 6.92% (3 mo. USD Term SOFR +
1.50%), due 07/20/30(b) 144A
|
198,200
|
341,584
|
|
SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, due 06/15/37
144A
|
323,830
|
95,290
|
|
SMB Private Education Loan Trust, Series 2020-PTA, Class A2A, 1.60%, due 09/15/54
144A
|
85,826
|
52,532
|
|
SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07%, due 01/15/53
144A
|
46,047
|
612,867
|
|
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A
|
580,114
|
618,758
|
|
Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, due 08/20/51 144A
|
530,376
|
547,000
|
|
Stack Infrastructure Issuer LLC, Series 2019-2A, Class A2, 3.08%, due 10/25/44 144A
|
531,200
|
2,178,000
|
|
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A
|
1,987,606
|
203,576
|
|
Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A
|
173,845
|
1,075,837
|
|
Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 08/25/51 144A
|
967,495
|
1,859,872
|
|
Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.29%, due 08/25/51 144A
|
1,601,605
|
3,000,000
|
|
TCW CLO Ltd., Series 2019-2A, Class A1R, 6.70% (3 mo. USD Term SOFR + 1.28%),
due 10/20/32(b) 144A
|
2,996,343
|
329,293
|
|
TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A
|
283,502
|
4,000,000
|
|
Tikehau U.S. CLO IV Ltd., Series 2023-1A, Class A1, 7.47% (3 mo. USD Term SOFR
+ 2.20%), due 07/15/34(b) 144A
|
4,062,908
|
2,860,000
|
|
Toyota Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.63%, due 09/15/27
|
2,844,338
|
1,518,352
|
|
Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A
|
1,442,878
|
2,659,282
|
|
Tricon Residential Trust, Series 2022-SFR2, Class A, 4.85%, due 07/17/40 144A
|
2,610,061
|
1,500,000
|
|
Trimaran Cavu Ltd., Series 2021-1A, Class A, 6.88% (3 mo. USD Term SOFR +
1.47%), due 04/23/32(b) 144A
|
1,494,212
|
783,097
|
|
Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45
144A
|
697,499
|
567,025
|
|
Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46
144A
|
495,233
|
1,162,863
|
|
U.S. Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33
|
1,104,492
|
743,667
|
|
U.S. Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33
|
709,458
|
977,613
|
|
U.S. Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34
|
926,724
|
392,515
|
|
U.S. Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34
|
371,790
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
329,963
|
|
U.S. Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34
|
308,656
|
1,898,884
|
|
U.S. Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44
|
1,675,584
|
784,014
|
|
U.S. Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45
|
646,574
|
2,378,531
|
|
U.S. Small Business Administration, Series 2022-25D, Class 1, 3.50%, due 04/01/47
|
2,187,096
|
1,615,048
|
|
U.S. Small Business Administration, Series 2022-25E, Class 1, 3.94%, due 05/01/47
|
1,511,239
|
2,603,650
|
|
U.S. Small Business Administration, Series 2022-25G, Class 1, 3.93%, due 07/01/47
|
2,472,884
|
2,214,271
|
|
U.S. Small Business Administration, Series 2022-25J, Class 1, 5.04%, due 10/01/47
|
2,247,153
|
1,771,312
|
|
U.S. Small Business Administration, Series 2023-25D, Class 1, 4.48%, due 04/01/48
|
1,741,446
|
2,899,817
|
|
U.S. Small Business Administration, Series 2023-25E, Class 1, 4.62%, due 05/01/48
|
2,870,080
|
2,880,737
|
|
U.S. Small Business Administration, Series 2023-25F, Class 1, 4.93%, due 06/01/48
|
2,893,353
|
1,794,000
|
|
U.S. Small Business Administration, Series 2023-25J, Class 1, 5.82%, due 10/01/48
|
1,900,934
|
1,570,000
|
|
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45 144A
|
1,453,014
|
860,000
|
|
Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A
|
749,455
|
500,000
|
|
Venture XIX CLO Ltd., Series 2014-19A, Class ARR, 6.92% (3 mo. USD Term SOFR +
1.52%), due 01/15/32(b) 144A
|
496,988
|
2,372,000
|
|
Verizon Master Trust, Series 2021-2, Class A, 0.99%, due 04/20/28
|
2,292,006
|
501,845
|
|
VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A
|
449,973
|
500,000
|
|
Wellfleet CLO Ltd., Series 2018-3A, Class A1A, 6.93% (3 mo. USD Term SOFR +
1.51%), due 01/20/32(b) 144A
|
500,618
|
521,091
|
|
Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A
|
499,139
|
2,099,674
|
|
Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.37%, due 06/15/51 144A
|
1,817,488
|
148,740
|
|
Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A
|
134,526
|
200,000
|
|
World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, due 11/15/27
|
186,891
|
562,063
|
|
Zaxby's Funding LLC, Series 2021-1A, Class A2, 3.24%, due 07/30/51 144A
|
489,457
|
|
|
|
176,436,494
|
|
|
Corporate Debt — 32.9%
|
|
225,000
|
|
1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A
|
212,669
|
1,636,000
|
|
AbbVie, Inc., 3.20%, due 11/21/29
|
1,531,978
|
300,000
|
|
AbbVie, Inc., 3.80%, due 03/15/25
|
296,203
|
65,000
|
|
AbbVie, Inc., 4.05%, due 11/21/39
|
58,947
|
2,318,000
|
|
AbbVie, Inc., 4.50%, due 05/14/35
|
2,273,782
|
1,035,000
|
|
AbbVie, Inc., 4.55%, due 03/15/35
|
1,017,276
|
130,000
|
|
AbbVie, Inc., 4.70%, due 05/14/45
|
124,455
|
445,000
|
|
AbbVie, Inc., 4.75%, due 03/15/45
|
429,893
|
200,000
|
|
Abu Dhabi National Energy Co. PJSC, 2.00%, due 04/29/28 144A
|
180,650
|
272,000
|
|
AdaptHealth LLC, 5.13%, due 03/01/30 144A
|
212,655
|
1,340,000
|
|
Advocate Health & Hospitals Corp., 2.21%, due 06/15/30
|
1,154,430
|
125,000
|
|
AECOM, 5.13%, due 03/15/27
|
124,166
|
400,000
|
|
AEP Texas, Inc., 3.80%, due 10/01/47
|
304,451
|
315,000
|
|
AEP Transmission Co. LLC, 3.80%, due 06/15/49
|
252,020
|
642,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26
|
596,751
|
2,001,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, due 10/29/26
|
1,853,845
|
980,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, due 10/29/28
|
896,200
|
2,100,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26
|
2,064,338
|
384,981
|
|
AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A
|
323,942
|
370,000
|
|
Aetna, Inc., 4.75%, due 03/15/44
|
334,466
|
578,303
|
|
Air Canada Pass-Through Trust, 3.60%, due 09/15/28 144A
|
544,735
|
182,278
|
|
Air Canada Pass-Through Trust, 3.70%, due 07/15/27 144A
|
172,681
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
197,192
|
|
Air Canada Pass-Through Trust, 4.13%, due 11/15/26 144A
|
189,953
|
301,000
|
|
Air Canada Pass-Through Trust, 10.50%, due 07/15/26 144A
|
325,080
|
388,000
|
|
Air Lease Corp., 2.10%, due 09/01/28
|
340,252
|
340,000
|
|
Air Lease Corp., 2.88%, due 01/15/26
|
324,167
|
413,000
|
|
Air Lease Corp., 3.63%, due 12/01/27
|
391,247
|
1,177,000
|
|
Aker BP ASA, 2.00%, due 07/15/26 144A
|
1,085,713
|
337,000
|
|
Aker BP ASA, 3.10%, due 07/15/31 144A
|
288,974
|
2,050,000
|
|
Aker BP ASA, 3.75%, due 01/15/30 144A
|
1,886,743
|
1,062,000
|
|
Aker BP ASA, 4.00%, due 01/15/31 144A
|
977,164
|
211,997
|
|
Alaska Airlines Pass-Through Trust, 8.00%, due 02/15/27 144A
|
212,585
|
300,000
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.50%, due
03/15/29 144A
|
272,886
|
292,000
|
|
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, due 10/15/26(d) 144A
|
289,588
|
2,895,000
|
|
Alexandria Real Estate Equities, Inc., 2.00%, due 05/18/32
|
2,328,367
|
228,565
|
|
Alfa Desarrollo SpA, 4.55%, due 09/27/51 144A
|
178,504
|
505,000
|
|
Ally Financial, Inc., 6.99% (SOFR + 3.26%), due 06/13/29(b)
|
523,059
|
320,000
|
|
Ally Financial, Inc., 7.10%, due 11/15/27(d)
|
333,121
|
215,000
|
|
Altria Group, Inc., 3.40%, due 05/06/30
|
196,515
|
3,340,000
|
|
Amazon.com, Inc., 4.10%, due 04/13/62
|
2,969,237
|
1,780,000
|
|
Ameren Illinois Co., 4.95%, due 06/01/33(d)
|
1,807,827
|
400,317
|
|
American Airlines Pass-Through Trust, 2.88%, due 01/11/36
|
341,031
|
535,504
|
|
American Airlines Pass-Through Trust, 3.15%, due 08/15/33
|
470,054
|
74,686
|
|
American Airlines Pass-Through Trust, 3.25%, due 04/15/30
|
65,385
|
1,236,239
|
|
American Airlines Pass-Through Trust, 3.38%, due 11/01/28
|
1,134,498
|
526,592
|
|
American Airlines Pass-Through Trust, 3.50%, due 08/15/33
|
449,631
|
150,718
|
|
American Airlines Pass-Through Trust, 3.58%, due 07/15/29
|
140,787
|
308,862
|
|
American Airlines Pass-Through Trust, 3.60%, due 04/15/31
|
271,368
|
440,573
|
|
American Airlines Pass-Through Trust, 3.65%, due 08/15/30
|
408,734
|
187,989
|
|
American Airlines Pass-Through Trust, 3.85%, due 08/15/29
|
168,362
|
558,740
|
|
American Airlines Pass-Through Trust, 3.95%, due 01/11/32
|
497,524
|
262,834
|
|
American Airlines Pass-Through Trust, 4.00%, due 08/15/30
|
236,200
|
517,478
|
|
American Airlines Pass-Through Trust, 4.10%, due 07/15/29
|
477,841
|
366,000
|
|
American Airlines, Inc., 7.25%, due 02/15/28(d) 144A
|
369,882
|
210,000
|
|
American Electric Power Co., Inc., 5.63%, due 03/01/33
|
219,352
|
302,000
|
|
American Homes 4 Rent LP, 4.25%, due 02/15/28
|
293,696
|
475,000
|
|
American Tower Corp., 3.55%, due 07/15/27(d)
|
456,256
|
874,000
|
|
American Tower Corp., 3.80%, due 08/15/29
|
831,186
|
2,967,000
|
|
American Tower Trust #1, 5.49%, due 03/15/28 144A
|
3,015,131
|
415,000
|
|
AmeriGas Partners LP/AmeriGas Finance Corp., 5.88%, due 08/20/26
|
410,985
|
895,000
|
|
Amgen, Inc., 2.80%, due 08/15/41
|
653,474
|
202,000
|
|
Amgen, Inc., 5.25%, due 03/02/30
|
208,026
|
645,000
|
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, due 02/01/36
|
645,750
|
740,000
|
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46
|
726,360
|
80,000
|
|
Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48
|
75,825
|
387,000
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, due 06/15/29
144A
|
372,887
|
550,000
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.88%, due 05/15/26
144A
|
564,754
|
114,000
|
|
Antero Resources Corp., 5.38%, due 03/01/30(d) 144A
|
109,392
|
1,000,000
|
|
Apple, Inc., 3.85%, due 08/04/46
|
873,596
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
770,000
|
|
Apple, Inc., 4.10%, due 08/08/62
|
690,354
|
980,000
|
|
AptarGroup, Inc., 3.60%, due 03/15/32
|
884,820
|
2,015,000
|
|
Aptiv PLC/Aptiv Corp., 3.25%, due 03/01/32
|
1,784,689
|
418,000
|
|
APX Group, Inc., 5.75%, due 07/15/29 144A
|
390,342
|
225,000
|
|
Aquarion Co., 4.00%, due 08/15/24 144A
|
222,640
|
606,000
|
|
ARES Capital Corp., 2.15%, due 07/15/26
|
552,972
|
509,000
|
|
ARES Capital Corp., 2.88%, due 06/15/28
|
451,890
|
305,000
|
|
ARES Capital Corp., 3.25%, due 07/15/25
|
291,869
|
463,000
|
|
ARES Capital Corp., 3.88%, due 01/15/26
|
445,169
|
206,000
|
|
Arsenal AIC Parent LLC, 8.00%, due 10/01/30 144A
|
215,190
|
75,000
|
|
Asbury Automotive Group, Inc., 4.63%, due 11/15/29(d) 144A
|
69,526
|
280,000
|
|
Asbury Automotive Group, Inc., 4.75%, due 03/01/30
|
261,852
|
710,000
|
|
Ascension Health, 2.53%, due 11/15/29
|
635,026
|
150,000
|
|
Ascension Health, 3.11%, due 11/15/39
|
117,860
|
553,000
|
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 06/30/29 144A
|
514,179
|
87,000
|
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, due 12/31/28 144A
|
87,582
|
322,000
|
|
Ashtead Capital, Inc., 2.45%, due 08/12/31 144A
|
262,878
|
390,000
|
|
Ashtead Capital, Inc., 4.38%, due 08/15/27 144A
|
375,226
|
252,000
|
|
Ashtead Capital, Inc., 5.95%, due 10/15/33 144A
|
257,433
|
3,369,000
|
|
AT&T, Inc., 2.30%, due 06/01/27
|
3,131,341
|
247,000
|
|
AT&T, Inc., 2.55%, due 12/01/33
|
201,638
|
814,000
|
|
AT&T, Inc., 3.50%, due 06/01/41
|
649,112
|
2,345,000
|
|
AT&T, Inc., 3.50%, due 09/15/53
|
1,711,431
|
595,000
|
|
AT&T, Inc., 3.65%, due 09/15/59
|
428,796
|
305,000
|
|
AT&T, Inc., 4.50%, due 05/15/35
|
289,737
|
700,000
|
|
AT&T, Inc., 6.81% (3 mo. USD Term SOFR + 1.44%), due 06/12/24(b)
|
702,478
|
346,000
|
|
Athene Holding Ltd., 3.50%, due 01/15/31
|
305,422
|
259,902
|
|
Atlantica Transmision Sur SA, 6.88%, due 04/30/43 144A
|
257,953
|
228,000
|
|
Autodesk, Inc., 2.85%, due 01/15/30
|
206,024
|
538,000
|
|
AutoNation, Inc., 4.75%, due 06/01/30
|
520,147
|
1,939,000
|
|
Aviation Capital Group LLC, 6.38%, due 07/15/30 144A
|
2,002,721
|
1,300,000
|
|
Bacardi Ltd., 4.70%, due 05/15/28 144A
|
1,276,066
|
696,000
|
|
BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A
|
681,332
|
1,037,000
|
|
BAE Systems PLC, 3.40%, due 04/15/30 144A
|
958,770
|
175,000
|
|
Ball Corp., 3.13%, due 09/15/31(d)
|
151,211
|
450,000
|
|
Ball Corp., 6.00%, due 06/15/29
|
460,105
|
200,000
|
|
Banco Santander SA, 1.85%, due 03/25/26
|
185,313
|
634,000
|
|
Banco Santander SA, 4.38%, due 04/12/28
|
616,831
|
265,000
|
|
Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(b)
|
245,322
|
2,673,000
|
|
Bank of America Corp., 2.09% (SOFR + 1.06%), due 06/14/29(b)
|
2,359,460
|
1,310,000
|
|
Bank of America Corp., 2.30% (SOFR + 1.22%), due 07/21/32(b)
|
1,071,547
|
2,330,000
|
|
Bank of America Corp., 2.50% (3 mo. USD Term SOFR + 1.25%), due 02/13/31(b)
|
2,004,837
|
1,015,000
|
|
Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(b)
|
876,590
|
4,019,000
|
|
Bank of America Corp., 2.69% (SOFR + 1.32%), due 04/22/32(b)
|
3,400,786
|
230,000
|
|
Bank of America Corp., 2.88% (3 mo. USD Term SOFR + 1.45%), due 10/22/30(b)
|
204,494
|
1,145,000
|
|
Bank of America Corp., 3.59% (3 mo. USD Term SOFR + 1.63%), due 07/21/28(b)
|
1,087,508
|
731,000
|
|
Bank of America Corp., 3.85% (5 yr. CMT + 2.00%), due 03/08/37(b)
|
643,429
|
659,000
|
|
Bank of America Corp., 3.97% (3 mo. USD Term SOFR + 1.33%), due 03/05/29(b)
|
630,216
|
310,000
|
|
Bank of America Corp., 4.27% (3 mo. USD Term SOFR + 1.57%), due 07/23/29(b)
|
299,901
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,078,000
|
|
Bank of America Corp., 4.57% (SOFR + 1.83%), due 04/27/33(b)
|
1,030,678
|
2,545,000
|
|
Bank of America Corp., 4.95% (SOFR + 2.04%), due 07/22/28(b)
|
2,547,797
|
495,000
|
|
Bank of America Corp., 5.13% (3 mo. USD Term SOFR + 3.55%)(b)(e)
|
487,803
|
878,000
|
|
Bank of America Corp., 6.30% (3 mo. USD Term SOFR + 4.81%)(b)(d)(e)
|
884,992
|
1,265,000
|
|
Barclays PLC, 3.93% (3 mo. USD LIBOR + 1.61%), due 05/07/25(b)
|
1,256,507
|
576,000
|
|
Barclays PLC, 4.38% (5 yr. CMT + 3.41%)(b)(e)
|
449,175
|
400,000
|
|
Barclays PLC, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(b)
|
393,383
|
1,382,000
|
|
Barclays PLC, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(b)
|
1,377,448
|
325,000
|
|
Barclays PLC, 8.00% (5 yr. CMT + 5.43%)(b)(e)
|
319,746
|
156,000
|
|
BAT Capital Corp., 3.56%, due 08/15/27
|
149,074
|
500,000
|
|
BAT Capital Corp., 6.34%, due 08/02/30
|
526,062
|
155,000
|
|
BAT International Finance PLC, 5.93%, due 02/02/29
|
161,280
|
335,000
|
|
Beacon Roofing Supply, Inc., 4.13%, due 05/15/29 144A
|
304,814
|
605,000
|
|
Berkshire Hathaway Energy Co., 1.65%, due 05/15/31
|
486,521
|
85,000
|
|
Berkshire Hathaway Energy Co., 5.95%, due 05/15/37
|
90,840
|
1,712,000
|
|
Berkshire Hathaway Energy Co., 6.13%, due 04/01/36
|
1,861,826
|
1,858,000
|
|
Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A
|
1,619,580
|
1,015,000
|
|
Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A
|
635,463
|
542,000
|
|
Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A
|
510,505
|
540,000
|
|
Blackstone Private Credit Fund, 2.35%, due 11/22/24
|
522,527
|
483,000
|
|
Blackstone Private Credit Fund, 2.70%, due 01/15/25
|
466,216
|
118,000
|
|
Blackstone Private Credit Fund, 3.25%, due 03/15/27
|
108,399
|
677,000
|
|
Blackstone Private Credit Fund, 4.00%, due 01/15/29(d)
|
616,803
|
249,000
|
|
Blackstone Private Credit Fund, 7.30%, due 11/27/28 144A
|
259,354
|
190,000
|
|
Block, Inc., 3.50%, due 06/01/31
|
169,071
|
404,000
|
|
BlueLinx Holdings, Inc., 6.00%, due 11/15/29 144A
|
374,359
|
945,000
|
|
BNP Paribas SA, 1.68% (SOFR + 0.91%), due 06/30/27(b) 144A
|
866,404
|
260,000
|
|
BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(b) 144A
|
226,603
|
200,000
|
|
BNP Paribas SA, 2.22% (SOFR + 2.07%), due 06/09/26(b) 144A
|
191,057
|
1,035,000
|
|
BNP Paribas SA, 3.13% (SOFR + 1.56%), due 01/20/33(b) 144A
|
882,541
|
280,000
|
|
BNP Paribas SA, 9.25% (5 yr. CMT + 4.97%)(b)(e) 144A
|
300,110
|
210,000
|
|
BOC Aviation USA Corp., 1.63%, due 04/29/24 144A
|
207,356
|
2,545,000
|
|
Boeing Co., 2.20%, due 02/04/26
|
2,405,989
|
362,000
|
|
Boeing Co., 3.20%, due 03/01/29
|
338,967
|
270,000
|
|
Boeing Co., 3.90%, due 05/01/49
|
214,812
|
325,000
|
|
Boeing Co., 3.95%, due 08/01/59
|
250,135
|
971,000
|
|
Boeing Co., 5.04%, due 05/01/27
|
980,625
|
1,313,000
|
|
Boeing Co., 5.15%, due 05/01/30
|
1,339,132
|
598,000
|
|
Booking Holdings, Inc., 4.63%, due 04/13/30
|
603,585
|
645,000
|
|
BPCE SA, 4.50%, due 03/15/25 144A
|
633,283
|
282,000
|
|
Braskem Idesa SAPI, 6.99%, due 02/20/32 144A
|
159,558
|
734,000
|
|
Braskem Netherlands Finance BV, 4.50%, due 01/31/30 144A
|
570,696
|
201,000
|
|
Braskem Netherlands Finance BV, 5.88%, due 01/31/50 144A
|
139,501
|
129,076
|
|
British Airways Pass-Through Trust, 4.13%, due 03/20/33 144A
|
117,694
|
189,081
|
|
British Airways Pass-Through Trust, 4.25%, due 05/15/34 144A
|
176,741
|
83,782
|
|
British Airways Pass-Through Trust, 8.38%, due 11/15/28 144A
|
86,712
|
1,055,000
|
|
Brixmor Operating Partnership LP, 2.50%, due 08/16/31
|
886,199
|
584,000
|
|
Broadcom, Inc., 3.14%, due 11/15/35 144A
|
480,913
|
1,950,000
|
|
Broadcom, Inc., 3.19%, due 11/15/36 144A
|
1,583,486
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,719,000
|
|
Broadcom, Inc., 3.42%, due 04/15/33 144A
|
1,513,784
|
2,566,000
|
|
Broadcom, Inc., 4.11%, due 09/15/28(d)
|
2,510,780
|
510,000
|
|
Broadcom, Inc., 4.75%, due 04/15/29
|
511,956
|
1,521,000
|
|
Brookfield Finance, Inc., 2.72%, due 04/15/31
|
1,287,882
|
212,000
|
|
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, due
06/15/29 144A
|
189,366
|
482,000
|
|
Builders FirstSource, Inc., 4.25%, due 02/01/32 144A
|
435,453
|
305,000
|
|
Builders FirstSource, Inc., 6.38%, due 06/15/32 144A
|
311,859
|
450,000
|
|
C&W Senior Financing DAC, 6.88%, due 09/15/27 144A
|
419,711
|
200,000
|
|
Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A
|
205,135
|
750,000
|
|
Calpine Corp., 3.75%, due 03/01/31 144A
|
659,690
|
509,000
|
|
Canadian Pacific Railway Co., 6.13%, due 09/15/15(f)
|
572,128
|
2,095,000
|
|
Capital One Financial Corp., 3.30%, due 10/30/24
|
2,061,237
|
221,000
|
|
Capital One Financial Corp., 4.93% (SOFR + 2.06%), due 05/10/28(b)
|
217,465
|
1,030,000
|
|
Carrier Global Corp., 5.90%, due 03/15/34 144A
|
1,117,109
|
153,000
|
|
CCM Merger, Inc., 6.38%, due 05/01/26 144A
|
149,528
|
210,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A
|
198,303
|
184,000
|
|
CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29
|
168,450
|
450,000
|
|
CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24
|
448,873
|
204,000
|
|
Celulosa Arauco y Constitucion SA, 3.88%, due 11/02/27
|
191,091
|
450,000
|
|
Cemex SAB de CV, 3.88%, due 07/11/31 144A
|
402,897
|
369,000
|
|
Cemex SAB de CV, 5.20%, due 09/17/30 144A
|
355,811
|
514,000
|
|
Cencora, Inc., 2.80%, due 05/15/30
|
460,285
|
145,000
|
|
Cenovus Energy, Inc., 3.75%, due 02/15/52(d)
|
107,247
|
215,000
|
|
Cenovus Energy, Inc., 5.40%, due 06/15/47
|
204,184
|
163,000
|
|
Centene Corp., 2.45%, due 07/15/28
|
145,576
|
465,000
|
|
Centene Corp., 3.00%, due 10/15/30
|
403,524
|
279,000
|
|
Centene Corp., 3.38%, due 02/15/30
|
250,560
|
335,000
|
|
CenterPoint Energy, Inc., 3.70%, due 09/01/49
|
251,935
|
332,000
|
|
Century Communities, Inc., 3.88%, due 08/15/29 144A
|
300,894
|
643,000
|
|
Charles Schwab Corp., 5.64% (SOFR + 2.21%), due 05/19/29(b)
|
660,448
|
603,000
|
|
Charles Schwab Corp., 6.20% (SOFR + 1.88%), due 11/17/29(b)
|
633,290
|
165,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
2.30%, due 02/01/32
|
131,644
|
990,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
2.80%, due 04/01/31
|
837,146
|
540,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.90%, due 06/01/52
|
365,879
|
914,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
4.20%, due 03/15/28
|
879,100
|
785,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
4.80%, due 03/01/50
|
609,428
|
325,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.38%, due 05/01/47
|
277,574
|
1,050,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.75%, due 04/01/48
|
936,513
|
3,743,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
6.38%, due 10/23/35
|
3,811,299
|
662,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
6.48%, due 10/23/45
|
653,337
|
698,000
|
|
Cheniere Energy Partners LP, 4.00%, due 03/01/31
|
634,461
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
691,000
|
|
Cheniere Energy Partners LP, 4.50%, due 10/01/29
|
660,416
|
643,000
|
|
Chevron Corp., 2.00%, due 05/11/27
|
597,590
|
1,935,000
|
|
Cigna Group, 3.40%, due 03/01/27
|
1,866,412
|
525,000
|
|
Citigroup, Inc., 2.56% (SOFR + 1.17%), due 05/01/32(b)
|
438,933
|
893,000
|
|
Citigroup, Inc., 3.20%, due 10/21/26
|
852,510
|
4,776,000
|
|
Citigroup, Inc., 3.40%, due 05/01/26
|
4,612,516
|
625,000
|
|
Citigroup, Inc., 3.52% (3 mo. USD Term SOFR + 1.41%), due 10/27/28(b)
|
591,965
|
340,000
|
|
Citigroup, Inc., 3.67% (3 mo. USD Term SOFR + 1.65%), due 07/24/28(b)
|
324,487
|
1,840,000
|
|
Citigroup, Inc., 3.89% (3 mo. USD Term SOFR + 1.82%), due 01/10/28(b)
|
1,781,931
|
1,220,000
|
|
Citigroup, Inc., 3.98% (3 mo. USD Term SOFR + 1.60%), due 03/20/30(b)
|
1,159,252
|
258,000
|
|
Citigroup, Inc., 4.40%, due 06/10/25
|
254,944
|
440,000
|
|
Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(b)
|
421,773
|
928,000
|
|
Citigroup, Inc., 4.60%, due 03/09/26
|
916,827
|
3,059,000
|
|
Citigroup, Inc., 4.70% (SOFR + 3.23%)(b)(d)(e)
|
2,852,404
|
643,000
|
|
Citigroup, Inc., 6.17% (SOFR + 2.66%), due 05/25/34(b)
|
666,800
|
646,000
|
|
Citigroup, Inc., 6.25% (3 mo. USD Term SOFR + 4.78%)(b)(e)
|
639,222
|
858,000
|
|
Citizens Financial Group, Inc., 3.25%, due 04/30/30
|
755,156
|
241,000
|
|
Civitas Resources, Inc., 8.63%, due 11/01/30 144A
|
255,777
|
247,000
|
|
CNA Financial Corp., 2.05%, due 08/15/30
|
206,214
|
684,000
|
|
CNO Financial Group, Inc., 5.25%, due 05/30/29
|
676,647
|
549,000
|
|
Columbia Pipelines Operating Co. LLC, 5.93%, due 08/15/30 144A
|
568,867
|
301,000
|
|
Columbia Pipelines Operating Co. LLC, 6.04%, due 11/15/33 144A
|
315,887
|
18,000
|
|
Comcast Corp., 2.89%, due 11/01/51
|
12,248
|
429,000
|
|
Comcast Corp., 3.30%, due 04/01/27
|
414,078
|
1,307,000
|
|
Comcast Corp., 3.40%, due 04/01/30
|
1,225,555
|
5,000
|
|
Comcast Corp., 3.97%, due 11/01/47
|
4,220
|
5,000
|
|
Comcast Corp., 6.50%, due 11/15/35
|
5,709
|
1,090,000
|
|
Comision Federal de Electricidad, 4.69%, due 05/15/29 144A
|
1,026,974
|
969,000
|
|
CommonSpirit Health, 2.76%, due 10/01/24
|
947,788
|
350,000
|
|
Commonwealth Edison Co., 4.00%, due 03/01/48
|
298,260
|
592,000
|
|
Concentrix Corp., 6.60%, due 08/02/28
|
609,904
|
250,000
|
|
Consensus Cloud Solutions, Inc., 6.50%, due 10/15/28 144A
|
227,021
|
95,000
|
|
Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56
|
79,612
|
350,000
|
|
Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45
|
312,423
|
385,000
|
|
Constellation Brands, Inc., 2.25%, due 08/01/31
|
324,220
|
175,000
|
|
Constellation Energy Generation LLC, 6.13%, due 01/15/34
|
187,761
|
299,000
|
|
Constellation Energy Generation LLC, 6.50%, due 10/01/53
|
339,102
|
365,000
|
|
Continental Resources, Inc., 2.88%, due 04/01/32 144A
|
296,875
|
359,000
|
|
Continental Resources, Inc., 4.90%, due 06/01/44
|
291,730
|
358,000
|
|
Continental Resources, Inc., 5.75%, due 01/15/31 144A
|
356,164
|
246,000
|
|
Corebridge Financial, Inc., 6.88% (5 yr. CMT + 3.85%), due 12/15/52(b)
|
245,687
|
232,000
|
|
Coruripe Netherlands BV, 10.00%, due 02/10/27 144A
|
178,350
|
751,000
|
|
CoStar Group, Inc., 2.80%, due 07/15/30 144A
|
640,095
|
970,000
|
|
Cox Communications, Inc., 2.60%, due 06/15/31 144A
|
823,745
|
3,921,000
|
|
Cox Communications, Inc., 3.35%, due 09/15/26 144A
|
3,766,898
|
1,069,000
|
|
Credit Agricole SA, 3.25%, due 01/14/30 144A
|
946,057
|
610,000
|
|
Credit Agricole SA, 6.32% (SOFR + 1.86%), due 10/03/29(b) 144A
|
640,474
|
363,000
|
|
Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b)(d)(e) 144A
|
363,368
|
861,000
|
|
Credit Suisse AG, 7.95%, due 01/09/25
|
880,697
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
270,000
|
|
CSC Holdings LLC, 3.38%, due 02/15/31 144A
|
197,363
|
37,000
|
|
Cushman & Wakefield U.S. Borrower LLC, 8.88%, due 09/01/31(d) 144A
|
39,239
|
456,000
|
|
CVS Health Corp., 3.75%, due 04/01/30
|
429,333
|
635,000
|
|
CVS Health Corp., 4.78%, due 03/25/38
|
603,570
|
581,000
|
|
CVS Health Corp., 5.05%, due 03/25/48
|
546,430
|
130,000
|
|
CVS Health Corp., 5.13%, due 07/20/45
|
123,542
|
124,000
|
|
CVS Health Corp., 5.25%, due 01/30/31
|
127,394
|
961,938
|
|
CVS Pass-Through Trust, 5.77%, due 01/10/33 144A
|
956,316
|
492,768
|
|
CVS Pass-Through Trust, 6.94%, due 01/10/30
|
503,820
|
1,421,077
|
|
CVS Pass-Through Trust, 7.51%, due 01/10/32 144A
|
1,496,439
|
445,000
|
|
Dana, Inc., 4.50%, due 02/15/32
|
387,682
|
780,000
|
|
Danske Bank AS, 6.26% (1 yr. CMT + 1.18%), due 09/22/26(b) 144A
|
794,112
|
348,000
|
|
DaVita, Inc., 3.75%, due 02/15/31 144A
|
286,318
|
611,000
|
|
DaVita, Inc., 4.63%, due 06/01/30 144A
|
533,812
|
127,000
|
|
Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28 144A
|
125,878
|
496,000
|
|
Dell International LLC/EMC Corp., 5.30%, due 10/01/29
|
511,600
|
1,144,964
|
|
Delta Air Lines Pass-Through Trust, 2.00%, due 12/10/29
|
1,020,666
|
538,000
|
|
Delta Air Lines, Inc., 4.38%, due 04/19/28(d)
|
520,930
|
741,525
|
|
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, due 10/20/28 144A
|
729,917
|
547,000
|
|
Deutsche Bank AG, 2.31% (SOFR + 1.22%), due 11/16/27(b)
|
500,704
|
753,000
|
|
Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(b)
|
619,201
|
372,000
|
|
Deutsche Bank AG, 6.82% (SOFR + 2.51%), due 11/20/29(b)(d)
|
392,272
|
865,000
|
|
Diamondback Energy, Inc., 3.25%, due 12/01/26
|
839,234
|
208,000
|
|
Discover Financial Services, 4.10%, due 02/09/27
|
199,819
|
180,000
|
|
Dominion Energy, Inc., 2.85%, due 08/15/26
|
169,818
|
391,000
|
|
Dominion Energy, Inc., 3.38%, due 04/01/30
|
360,724
|
278,000
|
EUR
|
DP World Ltd., 2.38%, due 09/25/26 144A
|
295,538
|
850,000
|
|
DTE Electric Co., 2.25%, due 03/01/30
|
747,369
|
1,210,637
|
|
DTE Electric Securitization Funding I LLC, 2.64%, due 12/01/27
|
1,162,885
|
2,290,000
|
|
DTE Energy Co., 1.05%, due 06/01/25
|
2,160,206
|
411,000
|
|
Duke Energy Carolinas LLC, 3.95%, due 03/15/48
|
340,878
|
145,000
|
|
Duke Energy Corp., 2.45%, due 06/01/30
|
126,695
|
609,000
|
|
Duke Energy Corp., 5.75%, due 09/15/33
|
645,932
|
435,000
|
|
Duke Energy Florida LLC, 3.40%, due 10/01/46
|
327,803
|
220,000
|
|
Duke Energy Ohio, Inc., 5.25%, due 04/01/33
|
227,183
|
200,000
|
|
Duke Energy Progress LLC, 3.70%, due 10/15/46
|
157,735
|
428,000
|
|
Ecopetrol SA, 6.88%, due 04/29/30
|
424,577
|
790,000
|
|
Ecopetrol SA, 8.63%, due 01/19/29
|
842,798
|
575,000
|
|
Edison International, 5.25%, due 11/15/28
|
579,200
|
546,000
|
|
EIG Pearl Holdings SARL, 3.55%, due 08/31/36 144A
|
476,875
|
190,000
|
|
El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32
|
222,284
|
409,000
|
|
Electricite de France SA, 9.13% (5 yr. CMT + 5.41%)(b)(e) 144A
|
457,631
|
300,000
|
|
Elevance Health, Inc., 3.60%, due 03/15/51
|
236,334
|
15,000
|
|
Elevance Health, Inc., 5.10%, due 01/15/44
|
14,702
|
708,000
|
|
Emera U.S. Finance LP, 3.55%, due 06/15/26
|
682,833
|
313,000
|
|
Emerald Debt Merger Sub LLC, 6.63%, due 12/15/30 144A
|
320,080
|
577,000
|
|
Enbridge, Inc., 5.50% (3 mo. USD Term SOFR + 3.68%), due 07/15/77(b)
|
528,419
|
740,000
|
|
Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(b)
|
684,001
|
572,000
|
|
Enbridge, Inc., 6.25% (3 mo. USD Term SOFR + 3.90%), due 03/01/78(b)
|
529,611
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
315,000
|
|
Enbridge, Inc., 8.50% (5 yr. CMT + 4.43%), due 01/15/84(b)
|
335,855
|
380,000
|
|
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, due 01/30/28 144A
|
380,596
|
228,000
|
|
Energian Israel Finance Ltd., 5.38%, due 03/30/28(g)
|
200,935
|
245,000
|
|
Energian Israel Finance Ltd., 5.88%, due 03/30/31(g)
|
207,447
|
382,000
|
|
Energy Transfer LP, 4.20%, due 04/15/27
|
371,664
|
540,000
|
|
Energy Transfer LP, 5.15%, due 03/15/45
|
497,949
|
580,000
|
|
Energy Transfer LP, 5.25%, due 04/15/29
|
585,437
|
150,000
|
|
Energy Transfer LP, 5.30%, due 04/01/44
|
138,773
|
590,000
|
|
Energy Transfer LP, 5.30%, due 04/15/47
|
544,055
|
847,000
|
|
Energy Transfer LP, 5.40%, due 10/01/47
|
794,113
|
1,772,000
|
|
Energy Transfer LP, 5.50%, due 06/01/27
|
1,796,156
|
720,000
|
|
Energy Transfer LP, 6.25%, due 04/15/49
|
747,985
|
120,000
|
|
Energy Transfer LP, 6.40%, due 12/01/30
|
128,438
|
1,047,000
|
|
Energy Transfer LP, 6.50% (5 yr. CMT + 5.69%)(b)(e)
|
997,561
|
65,000
|
|
Energy Transfer LP, 6.55%, due 12/01/33
|
70,637
|
840,000
|
|
Energy Transfer LP, 7.13% (5 yr. CMT + 5.31%)(b)(e)
|
776,142
|
1,450,000
|
|
Enterprise Products Operating LLC, 4.90%, due 05/15/46
|
1,391,526
|
968,000
|
|
Enterprise Products Operating LLC, 5.25% (3 mo. USD Term SOFR + 3.29%), due
08/16/77(b)
|
927,797
|
100,000
|
|
EQM Midstream Partners LP, 7.50%, due 06/01/27 144A
|
102,929
|
66,000
|
|
EQM Midstream Partners LP, 7.50%, due 06/01/30 144A
|
71,032
|
375,000
|
|
Equifax, Inc., 5.10%, due 12/15/27
|
379,028
|
925,000
|
|
Essex Portfolio LP, 1.70%, due 03/01/28
|
810,452
|
1,320,000
|
|
Eversource Energy, 2.90%, due 10/01/24
|
1,293,680
|
2,050,000
|
|
Eversource Energy, 2.90%, due 03/01/27
|
1,942,909
|
1,416,000
|
|
Exelon Corp., 3.35%, due 03/15/32
|
1,269,371
|
285,000
|
|
Exelon Corp., 4.70%, due 04/15/50
|
257,757
|
1,478,000
|
|
Exelon Corp., 5.10%, due 06/15/45
|
1,407,182
|
1,000,000
|
|
Fairfax Financial Holdings Ltd., 5.63%, due 08/16/32
|
1,001,021
|
675,000
|
|
Fairfax Financial Holdings Ltd., 6.00%, due 12/07/33 144A
|
693,604
|
600,000
|
|
Falabella SA, 4.38%, due 01/27/25 144A
|
581,685
|
2,378,000
|
|
Ferguson Finance PLC, 3.25%, due 06/02/30 144A
|
2,130,733
|
2,130,000
|
|
Ferguson Finance PLC, 4.50%, due 10/24/28 144A
|
2,100,984
|
500,000
|
|
Fifth Third Bancorp, 6.34% (SOFR + 2.34%), due 07/27/29(b)
|
521,247
|
319,000
|
|
Fifth Third Bancorp, 8.62% (3 mo. USD Term SOFR + 3.29%)(b)(e)
|
306,082
|
565,000
|
|
First Quantum Minerals Ltd., 6.88%, due 10/15/27 144A
|
480,956
|
274,000
|
|
FirstEnergy Corp., 2.65%, due 03/01/30
|
237,033
|
157,000
|
|
FirstEnergy Corp., 3.40%, due 03/01/50
|
110,912
|
2,365,000
|
|
Florida Power & Light Co., 2.45%, due 02/03/32
|
2,035,917
|
350,000
|
|
Flowserve Corp., 3.50%, due 10/01/30(d)
|
310,987
|
910,000
|
|
FMC Corp., 5.15%, due 05/18/26
|
909,626
|
370,000
|
|
Ford Motor Co., 3.25%, due 02/12/32
|
308,226
|
310,000
|
|
Ford Motor Co., 4.75%, due 01/15/43
|
257,219
|
3,980,000
|
|
Ford Motor Credit Co. LLC, 2.90%, due 02/10/29
|
3,492,233
|
300,000
|
|
Ford Motor Credit Co. LLC, 3.38%, due 11/13/25
|
287,314
|
703,000
|
|
Ford Motor Credit Co. LLC, 4.00%, due 11/13/30
|
632,505
|
766,000
|
|
Ford Motor Credit Co. LLC, 4.13%, due 08/17/27
|
726,545
|
920,000
|
|
Ford Motor Credit Co. LLC, 5.11%, due 05/03/29
|
896,425
|
1,167,000
|
|
Ford Motor Credit Co. LLC, 6.80%, due 05/12/28
|
1,220,533
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
400,000
|
|
Ford Motor Credit Co. LLC, 6.80%, due 11/07/28
|
419,160
|
529,000
|
|
Foundry JV Holdco LLC, 5.88%, due 01/25/34 144A
|
545,015
|
623,000
|
|
Freeport-McMoRan, Inc., 4.25%, due 03/01/30
|
585,708
|
436,000
|
|
Freeport-McMoRan, Inc., 5.40%, due 11/14/34
|
438,893
|
754,000
|
|
Freeport-McMoRan, Inc., 5.45%, due 03/15/43
|
734,646
|
1,036,000
|
|
Fresenius Medical Care U.S. Finance III, Inc., 2.38%, due 02/16/31(d) 144A
|
803,042
|
213,000
|
|
Full House Resorts, Inc., 8.25%, due 02/15/28(d) 144A
|
200,416
|
1,913,000
|
|
GA Global Funding Trust, 3.85%, due 04/11/25 144A
|
1,876,141
|
165,000
|
|
Gap, Inc., 3.63%, due 10/01/29(d) 144A
|
141,266
|
235,000
|
|
Gap, Inc., 3.88%, due 10/01/31(d) 144A
|
193,659
|
626,000
|
|
Gartner, Inc., 4.50%, due 07/01/28 144A
|
593,857
|
458,000
|
|
GCI LLC, 4.75%, due 10/15/28 144A
|
424,071
|
570,000
|
|
General Motors Co., 5.00%, due 04/01/35
|
545,818
|
604,000
|
|
General Motors Co., 5.40%, due 10/15/29(d)
|
615,717
|
283,000
|
|
General Motors Co., 5.40%, due 04/01/48(d)
|
259,883
|
610,000
|
|
General Motors Co., 6.25%, due 10/02/43
|
625,041
|
2,916,000
|
|
General Motors Financial Co., Inc., 2.40%, due 10/15/28
|
2,593,797
|
1,060,000
|
|
General Motors Financial Co., Inc., 2.70%, due 06/10/31
|
890,928
|
605,000
|
|
General Motors Financial Co., Inc., 2.90%, due 02/26/25
|
587,478
|
495,000
|
|
General Motors Financial Co., Inc., 3.10%, due 01/12/32
|
422,415
|
1,619,000
|
|
General Motors Financial Co., Inc., 3.60%, due 06/21/30
|
1,472,374
|
878,000
|
|
General Motors Financial Co., Inc., 6.00%, due 01/09/28
|
909,104
|
320,000
|
|
Georgia Power Co., 4.95%, due 05/17/33
|
323,396
|
427,000
|
|
Global Infrastructure Solutions, Inc., 5.63%, due 06/01/29 144A
|
390,449
|
259,000
|
|
Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A
|
223,856
|
299,000
|
|
GLP Capital LP/GLP Financing II, Inc., 3.25%, due 01/15/32
|
252,735
|
271,000
|
|
GLP Capital LP/GLP Financing II, Inc., 4.00%, due 01/15/30
|
247,665
|
1,259,000
|
|
GLP Capital LP/GLP Financing II, Inc., 4.00%, due 01/15/31
|
1,135,270
|
709,000
|
|
GLP Capital LP/GLP Financing II, Inc., 5.38%, due 04/15/26
|
705,057
|
200,000
|
|
GN Bondco LLC, 9.50%, due 10/15/31 144A
|
195,526
|
1,350,000
|
|
Goldman Sachs Group, Inc., 0.86% (SOFR + 0.61%), due 02/12/26(b)
|
1,280,565
|
1,175,000
|
|
Goldman Sachs Group, Inc., 1.43% (SOFR + 0.80%), due 03/09/27(b)
|
1,083,898
|
1,100,000
|
|
Goldman Sachs Group, Inc., 1.54% (SOFR + 0.82%), due 09/10/27(b)
|
998,104
|
1,260,000
|
|
Goldman Sachs Group, Inc., 2.38% (SOFR + 1.25%), due 07/21/32(b)
|
1,036,246
|
2,757,000
|
|
Goldman Sachs Group, Inc., 2.62% (SOFR + 1.28%), due 04/22/32(b)
|
2,319,209
|
726,000
|
|
Goldman Sachs Group, Inc., 2.65% (SOFR + 1.26%), due 10/21/32(b)
|
606,227
|
1,200,000
|
|
Goldman Sachs Group, Inc., 3.27% (3 mo. USD Term SOFR + 1.46%), due 09/29/25(b)
|
1,179,965
|
371,000
|
|
Goldman Sachs Group, Inc., 3.50%, due 01/23/25
|
364,184
|
215,000
|
|
Goldman Sachs Group, Inc., 3.75%, due 02/25/26
|
210,173
|
2,331,000
|
|
Goldman Sachs Group, Inc., 3.80%, due 03/15/30
|
2,194,191
|
1,065,000
|
|
Goldman Sachs Group, Inc., 3.81% (3 mo. USD Term SOFR + 1.42%), due 04/23/29(b)
|
1,012,412
|
455,000
|
|
Goldman Sachs Group, Inc., 3.85%, due 01/26/27
|
442,801
|
367,000
|
|
Graphic Packaging International LLC, 3.50%, due 03/01/29 144A
|
331,547
|
365,000
|
|
Graphic Packaging International LLC, 4.13%, due 08/15/24
|
361,647
|
200,000
|
|
Greensaif Pipelines Bidco SARL, 6.13%, due 02/23/38 144A
|
209,302
|
225,000
|
|
Greensaif Pipelines Bidco SARL, 6.51%, due 02/23/42 144A
|
237,943
|
170,000
|
|
Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A
|
157,729
|
500,000
|
|
H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A
|
454,760
|
410,000
|
|
HCA, Inc., 4.38%, due 03/15/42
|
347,970
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
220,000
|
|
HCA, Inc., 5.38%, due 02/01/25
|
219,815
|
275,000
|
|
HCA, Inc., 7.75%, due 07/15/36
|
318,025
|
646,000
|
|
Healthpeak OP LLC, 3.25%, due 07/15/26
|
620,665
|
119,000
|
|
Hess Midstream Operations LP, 4.25%, due 02/15/30 144A
|
109,617
|
53,000
|
|
Hess Midstream Operations LP, 5.50%, due 10/15/30 144A
|
51,353
|
290,000
|
|
Hilcorp Energy I LP/Hilcorp Finance Co., 6.00%, due 04/15/30 144A
|
281,765
|
380,000
|
|
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A
|
365,984
|
392,000
|
|
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 5.00%, due 06/01/29 144A
|
362,110
|
1,818,000
|
|
HSBC Holdings PLC, 7.39% (SOFR + 3.35%), due 11/03/28(b)
|
1,950,717
|
89,000
|
|
Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A
|
86,321
|
357,000
|
|
Huntington Bancshares, Inc., 6.21% (SOFR + 2.02%), due 08/21/29(b)
|
368,648
|
458,000
|
|
Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30
|
437,340
|
390,000
|
|
Huntsman International LLC, 2.95%, due 06/15/31
|
330,515
|
870,000
|
|
Huntsman International LLC, 4.50%, due 05/01/29
|
839,364
|
295,000
|
|
Hyundai Capital America, 2.38%, due 10/15/27 144A
|
266,090
|
20,000
|
|
IHS Markit Ltd., 4.75%, due 08/01/28
|
19,006
|
256,000
|
|
ING Groep NV, 6.11% (SOFR + 2.09%), due 09/11/34(b)
|
269,199
|
114,000
|
|
Ingersoll Rand, Inc., 5.40%, due 08/14/28
|
117,651
|
120,000
|
|
Intel Corp., 5.63%, due 02/10/43
|
128,814
|
170,000
|
|
IPALCO Enterprises, Inc., 4.25%, due 05/01/30
|
157,546
|
298,000
|
|
IQVIA, Inc., 6.25%, due 02/01/29 144A
|
311,738
|
136,000
|
|
Iron Mountain Information Management Services, Inc., 5.00%, due 07/15/32 144A
|
124,577
|
291,000
|
|
Iron Mountain, Inc., 5.25%, due 07/15/30 144A
|
278,423
|
165,000
|
|
Jacobs Entertainment, Inc., 6.75%, due 02/15/29 144A
|
155,253
|
209,000
|
|
JB Poindexter & Co., Inc., 8.75%, due 12/15/31 144A
|
213,379
|
1,050,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, due 02/02/29
|
924,201
|
447,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.63%, due 01/15/32
|
383,568
|
125,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, due 12/01/31
|
107,946
|
282,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.13%, due 02/01/28
|
280,587
|
775,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33
|
772,567
|
1,435,000
|
|
Jefferies Financial Group, Inc., 5.88%, due 07/21/28
|
1,473,611
|
405,285
|
|
JetBlue Pass-Through Trust, 2.75%, due 11/15/33
|
343,398
|
2,000,000
|
|
JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(b)
|
1,775,987
|
957,000
|
|
JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(b)
|
829,208
|
760,000
|
|
JPMorgan Chase & Co., 2.58% (3 mo. USD Term SOFR + 1.25%), due 04/22/32(b)
|
644,411
|
873,000
|
|
JPMorgan Chase & Co., 2.96% (3 mo. USD Term SOFR + 2.52%), due 05/13/31(b)
|
768,775
|
815,000
|
|
JPMorgan Chase & Co., 2.96% (SOFR + 1.26%), due 01/25/33(b)
|
700,065
|
3,817,000
|
|
JPMorgan Chase & Co., 3.78% (3 mo. USD Term SOFR + 1.60%), due 02/01/28(b)
|
3,691,834
|
665,000
|
|
JPMorgan Chase & Co., 3.96% (3 mo. USD Term SOFR + 1.64%), due 11/15/48(b)
|
560,088
|
1,678,000
|
|
JPMorgan Chase & Co., 4.00% (3 mo. USD Term SOFR + 2.75%)(b)(d)(e)
|
1,580,589
|
965,000
|
|
JPMorgan Chase & Co., 4.01% (3 mo. USD Term SOFR + 1.38%), due 04/23/29(b)
|
930,091
|
3,600,000
|
|
JPMorgan Chase & Co., 4.20% (3 mo. USD Term SOFR + 1.52%), due 07/23/29(b)
|
3,504,011
|
1,207,000
|
|
JPMorgan Chase & Co., 4.49% (3 mo. USD Term SOFR + 3.79%), due 03/24/31(b)
|
1,179,549
|
701,000
|
|
JPMorgan Chase & Co., 4.60% (3 mo. USD Term SOFR + 3.13%)(b)(e)
|
678,228
|
440,000
|
|
JPMorgan Chase & Co., 5.00% (3 mo. USD Term SOFR + 3.38%)(b)(e)
|
432,202
|
780,000
|
|
Kaiser Foundation Hospitals, 2.81%, due 06/01/41
|
589,170
|
80,000
|
|
KB Home, 4.00%, due 06/15/31
|
71,715
|
308,000
|
|
Kinder Morgan Energy Partners LP, 7.75%, due 03/15/32
|
350,473
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
720,000
|
|
Kinder Morgan, Inc., 3.60%, due 02/15/51
|
517,775
|
1,291,000
|
|
KKR Group Finance Co. II LLC, 5.50%, due 02/01/43(d) 144A
|
1,242,837
|
257,000
|
|
KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A
|
185,595
|
283,000
|
|
KKR Group Finance Co. X LLC, 3.25%, due 12/15/51 144A
|
196,387
|
1,732,000
|
|
Kraft Heinz Foods Co., 4.38%, due 06/01/46
|
1,519,013
|
314,000
|
|
Kraft Heinz Foods Co., 5.00%, due 06/04/42
|
304,253
|
397,000
|
|
Lam Research Corp., 2.88%, due 06/15/50
|
284,006
|
145,000
|
|
Lamb Weston Holdings, Inc., 4.13%, due 01/31/30 144A
|
133,949
|
485,000
|
|
Lamb Weston Holdings, Inc., 4.38%, due 01/31/32 144A
|
443,175
|
590,000
|
|
Lazard Group LLC, 4.38%, due 03/11/29(d)
|
575,102
|
661,000
|
|
Leviathan Bond Ltd., 6.50%, due 06/30/27(g)
|
623,443
|
99,000
|
|
Leviathan Bond Ltd., 6.75%, due 06/30/30(g)
|
90,640
|
450,000
|
|
Liberty Mutual Group, Inc., 3.95%, due 10/15/50 144A
|
342,729
|
429,000
|
|
Liberty Mutual Group, Inc., 4.13% (5 yr. CMT + 3.32%), due 12/15/51(b) 144A
|
360,431
|
3,324,000
|
|
Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A
|
3,256,075
|
2,434,000
|
|
Lincoln National Corp., 3.40%, due 01/15/31(d)
|
2,186,668
|
169,000
|
|
Lithia Motors, Inc., 3.88%, due 06/01/29 144A
|
152,808
|
169,000
|
|
Lithia Motors, Inc., 4.38%, due 01/15/31 144A
|
153,766
|
84,000
|
|
Lithia Motors, Inc., 4.63%, due 12/15/27 144A
|
80,849
|
185,000
|
|
LKQ Corp., 5.75%, due 06/15/28
|
189,521
|
1,500,000
|
|
Lloyds Banking Group PLC, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(b)
|
1,448,194
|
541,000
|
|
Lloyds Banking Group PLC, 7.50% (5 yr. USD swap + 4.76%)(b)(e)
|
536,318
|
386,000
|
|
Lowe's Cos., Inc., 3.70%, due 04/15/46
|
306,194
|
1,253,000
|
|
Lowe's Cos., Inc., 5.63%, due 04/15/53
|
1,319,971
|
970,000
|
|
Lubrizol Corp., 6.50%, due 10/01/34
|
1,135,862
|
150,000
|
|
LYB International Finance BV, 4.88%, due 03/15/44
|
138,828
|
830,000
|
|
LYB International Finance III LLC, 4.20%, due 05/01/50
|
666,129
|
228,000
|
|
M&T Bank Corp., 5.13% (3 mo. USD LIBOR + 3.52%)(b)(e)
|
198,476
|
410,000
|
|
Macquarie Bank Ltd., 3.62%, due 06/03/30 144A
|
357,233
|
1,243,000
|
|
Macquarie Group Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(b) 144A
|
1,142,908
|
199,000
|
|
Macy's Retail Holdings LLC, 5.88%, due 04/01/29(d) 144A
|
191,192
|
171,000
|
|
Macy's Retail Holdings LLC, 5.88%, due 03/15/30(d) 144A
|
162,695
|
314,000
|
|
Macy's Retail Holdings LLC, 6.13%, due 03/15/32 144A
|
297,507
|
75,000
|
|
Magellan Midstream Partners LP, 4.25%, due 09/15/46
|
60,774
|
1,255,000
|
|
Manulife Financial Corp., 3.70%, due 03/16/32(d)
|
1,180,306
|
560,000
|
|
MARB BondCo PLC, 3.95%, due 01/29/31 144A
|
455,378
|
960,000
|
|
Marriott International, Inc., 5.00%, due 10/15/27
|
972,560
|
400,000
|
|
Martin Marietta Materials, Inc., 2.50%, due 03/15/30
|
352,939
|
698,000
|
|
Marvell Technology, Inc., 2.45%, due 04/15/28
|
631,028
|
175,000
|
|
Masonite International Corp., 3.50%, due 02/15/30(d) 144A
|
151,904
|
460,000
|
|
Massachusetts Institute of Technology, 4.68%, due 07/01/14(f)
|
440,090
|
1,255,000
|
|
Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 144A
|
920,901
|
1,615,000
|
|
Massachusetts Mutual Life Insurance Co., 5.67%, due 12/01/52 144A
|
1,679,183
|
294,000
|
|
MasTec, Inc., 4.50%, due 08/15/28(d) 144A
|
276,684
|
162,000
|
|
Match Group Holdings II LLC, 3.63%, due 10/01/31 144A
|
140,123
|
242,000
|
|
Match Group Holdings II LLC, 4.13%, due 08/01/30(d) 144A
|
219,840
|
245,000
|
|
Mauser Packaging Solutions Holding Co., 7.88%, due 08/15/26 144A
|
249,531
|
396,710
|
|
MC Brazil Downstream Trading SARL, 7.25%, due 06/30/31 144A
|
311,393
|
1,200,000
|
|
McDonald's Corp., 4.20%, due 04/01/50
|
1,063,415
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
252,000
|
|
MDC Holdings, Inc., 2.50%, due 01/15/31
|
207,498
|
605,000
|
|
MetLife, Inc., 6.40%, due 12/15/66
|
625,658
|
4,827,000
|
|
Metropolitan Life Global Funding I, 3.30%, due 03/21/29 144A
|
4,486,799
|
445,000
|
|
Mexico City Airport Trust, 5.50%, due 07/31/47 144A
|
384,629
|
679,000
|
|
MGM Resorts International, 4.75%, due 10/15/28
|
647,355
|
526,000
|
|
Michaels Cos., Inc., 5.25%, due 05/01/28(d) 144A
|
421,402
|
494,000
|
|
Michaels Cos., Inc., 7.88%, due 05/01/29 144A
|
311,544
|
410,000
|
|
Micron Technology, Inc., 2.70%, due 04/15/32
|
345,130
|
1,023,000
|
|
Micron Technology, Inc., 4.19%, due 02/15/27
|
1,004,554
|
577,000
|
|
Micron Technology, Inc., 5.33%, due 02/06/29
|
589,577
|
1,002,000
|
|
Micron Technology, Inc., 6.75%, due 11/01/29
|
1,084,755
|
285,000
|
|
MidAmerican Energy Co., 4.25%, due 07/15/49
|
249,763
|
825,000
|
|
Mid-Atlantic Interstate Transmission LLC, 4.10%, due 05/15/28 144A
|
798,070
|
467,000
|
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 05/01/29
144A
|
434,826
|
315,900
|
|
Millicom International Cellular SA, 6.25%, due 03/25/29(d) 144A
|
299,715
|
380,000
|
|
Mohegan Tribal Gaming Authority, 8.00%, due 02/01/26 144A
|
358,952
|
1,250,000
|
|
Moody's Corp., 3.25%, due 05/20/50
|
926,827
|
715,000
|
|
Morgan Stanley, 1.93% (SOFR + 1.02%), due 04/28/32(b)
|
576,499
|
2,513,000
|
|
Morgan Stanley, 2.24% (SOFR + 1.18%), due 07/21/32(b)
|
2,052,746
|
940,000
|
|
Morgan Stanley, 2.48% (SOFR + 1.36%), due 09/16/36(b)
|
747,300
|
1,755,000
|
|
Morgan Stanley, 2.70% (SOFR + 1.14%), due 01/22/31(b)
|
1,536,652
|
2,133,000
|
|
Morgan Stanley, 2.94% (SOFR + 1.29%), due 01/21/33(b)
|
1,819,466
|
1,301,000
|
|
Morgan Stanley, 3.13%, due 07/27/26
|
1,246,564
|
1,185,000
|
|
Morgan Stanley, 3.59%, due 07/22/28(h)
|
1,133,012
|
2,461,000
|
|
Morgan Stanley, 3.62% (SOFR + 3.12%), due 04/01/31(b)
|
2,269,750
|
910,000
|
|
Morgan Stanley, 3.77% (3 mo. USD Term SOFR + 1.40%), due 01/24/29(b)
|
869,034
|
1,247,000
|
|
Morgan Stanley, 4.21% (SOFR + 1.61%), due 04/20/28(b)
|
1,220,206
|
129,000
|
|
Morgan Stanley, 4.43% (3 mo. USD Term SOFR + 1.89%), due 01/23/30(b)
|
125,872
|
241,000
|
|
Morgan Stanley, 5.12% (SOFR + 1.73%), due 02/01/29(b)
|
242,437
|
762,000
|
|
Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b)
|
767,445
|
378,000
|
|
Morgan Stanley, 5.45% (SOFR + 1.63%), due 07/20/29(b)
|
385,723
|
749,000
|
|
Motorola Solutions, Inc., 2.30%, due 11/15/30
|
633,856
|
671,000
|
|
Motorola Solutions, Inc., 2.75%, due 05/24/31
|
574,849
|
1,705,000
|
|
MPLX LP, 1.75%, due 03/01/26
|
1,596,156
|
117,000
|
|
MPLX LP, 4.13%, due 03/01/27
|
114,667
|
377,000
|
|
MPLX LP, 4.25%, due 12/01/27
|
369,187
|
370,000
|
|
MPLX LP, 4.50%, due 04/15/38
|
330,803
|
530,000
|
|
MPLX LP, 4.70%, due 04/15/48
|
459,121
|
370,000
|
|
MPLX LP, 4.95%, due 09/01/32
|
362,940
|
337,000
|
|
MPLX LP, 5.00%, due 03/01/33
|
330,755
|
105,000
|
|
MPLX LP, 5.20%, due 03/01/47
|
97,628
|
255,000
|
|
MPT Operating Partnership LP/MPT Finance Corp., 3.50%, due 03/15/31
|
159,689
|
410,000
|
|
MPT Operating Partnership LP/MPT Finance Corp., 5.00%, due 10/15/27(d)
|
335,267
|
678,000
|
|
MSCI, Inc., 3.63%, due 11/01/31 144A
|
597,517
|
695,000
|
|
Mylan, Inc., 5.40%, due 11/29/43
|
604,192
|
1,721,000
|
|
National Grid PLC, 5.81%, due 06/12/33
|
1,813,583
|
2,436,000
|
|
National Securities Clearing Corp., 5.00%, due 05/30/28 144A
|
2,485,877
|
159,000
|
|
Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A
|
144,369
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
218,000
|
|
Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A
|
210,304
|
92,000
|
|
Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A
|
91,405
|
335,000
|
|
NatWest Group PLC, 3.75% (5 yr. CMT + 2.10%), due 11/01/29(b)
|
326,866
|
590,000
|
|
NatWest Group PLC, 6.00% (5 yr. CMT + 5.63%)(b)(e)
|
571,927
|
904,000
|
|
NatWest Markets PLC, 1.60%, due 09/29/26 144A
|
826,037
|
449,000
|
|
NBM U.S. Holdings, Inc., 6.63%, due 08/06/29 144A
|
440,587
|
744,000
|
|
Netflix, Inc., 4.88%, due 04/15/28
|
754,644
|
89,000
|
|
Netflix, Inc., 5.38%, due 11/15/29 144A
|
92,047
|
787,000
|
|
Netflix, Inc., 5.88%, due 11/15/28(d)
|
830,549
|
435,000
|
|
Newmont Corp., 2.25%, due 10/01/30
|
376,330
|
285,000
|
|
Newmont Corp., 2.80%, due 10/01/29
|
260,947
|
150,000
|
|
Newmont Corp., 5.45%, due 06/09/44
|
153,526
|
308,000
|
|
News Corp., 3.88%, due 05/15/29 144A
|
283,640
|
721,000
|
|
NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30
|
617,521
|
2,085,000
|
|
NextEra Energy Capital Holdings, Inc., 5.75%, due 09/01/25
|
2,106,308
|
240,000
|
|
NextEra Energy Capital Holdings, Inc., 6.05%, due 03/01/25
|
242,317
|
422,000
|
|
NextEra Energy Operating Partners LP, 3.88%, due 10/15/26 144A
|
402,478
|
115,000
|
|
NextEra Energy Operating Partners LP, 4.50%, due 09/15/27 144A
|
110,775
|
145,000
|
|
NiSource, Inc., 1.70%, due 02/15/31
|
117,774
|
391,000
|
|
NiSource, Inc., 3.60%, due 05/01/30
|
364,494
|
122,000
|
|
NiSource, Inc., 5.25%, due 03/30/28
|
124,540
|
668,000
|
|
Nissan Motor Acceptance Co. LLC, 1.85%, due 09/16/26 144A
|
601,520
|
305,000
|
|
Nissan Motor Acceptance Co. LLC, 2.00%, due 03/09/26 144A
|
280,506
|
200,000
|
|
Nomura Holdings, Inc., 2.61%, due 07/14/31
|
166,578
|
970,000
|
|
Norfolk Southern Corp., 4.84%, due 10/01/41
|
939,049
|
195,000
|
|
Northern States Power Co., 3.60%, due 09/15/47
|
154,489
|
1,242,000
|
|
Northrop Grumman Corp., 5.25%, due 05/01/50(d)
|
1,285,464
|
330,000
|
|
NOVA Chemicals Corp., 4.88%, due 06/01/24 144A
|
327,429
|
496,000
|
|
Novelis Corp., 4.75%, due 01/30/30 144A
|
467,272
|
478,000
|
|
NRG Energy, Inc., 2.45%, due 12/02/27 144A
|
431,500
|
264,000
|
|
NRG Energy, Inc., 3.63%, due 02/15/31 144A
|
227,157
|
929,000
|
|
NRG Energy, Inc., 3.88%, due 02/15/32 144A
|
796,362
|
412,000
|
|
NRG Energy, Inc., 4.45%, due 06/15/29 144A
|
389,566
|
140,000
|
|
NRG Energy, Inc., 5.25%, due 06/15/29(d) 144A
|
135,709
|
640,000
|
|
NRG Energy, Inc., 5.75%, due 01/15/28(d)
|
638,017
|
532,000
|
|
NRG Energy, Inc., 7.00%, due 03/15/33 144A
|
563,598
|
406,000
|
|
NRG Energy, Inc., 10.25% (5 yr. CMT + 5.92%)(b)(e) 144A
|
423,085
|
250,000
|
|
NSTAR Electric Co., 3.10%, due 06/01/51
|
177,195
|
355,000
|
|
Nutrien Ltd., 4.90%, due 06/01/43(d)
|
333,172
|
2,786,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25
|
2,689,119
|
731,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26
|
712,744
|
3,517,000
|
|
Occidental Petroleum Corp., 4.47%, due 10/10/36(i)
|
1,885,640
|
506,000
|
|
Occidental Petroleum Corp., 6.45%, due 09/15/36
|
537,423
|
265,000
|
|
Occidental Petroleum Corp., 6.60%, due 03/15/46
|
287,283
|
684,000
|
|
Occidental Petroleum Corp., 6.63%, due 09/01/30
|
728,275
|
336,000
|
|
OCI NV, 6.70%, due 03/16/33 144A
|
344,121
|
133,000
|
|
OneMain Finance Corp., 3.88%, due 09/15/28
|
117,797
|
62,000
|
|
OneMain Finance Corp., 6.63%, due 01/15/28
|
62,648
|
213,000
|
|
OneMain Finance Corp., 9.00%, due 01/15/29
|
225,493
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
655,000
|
|
ONEOK, Inc., 3.10%, due 03/15/30
|
589,216
|
238,000
|
|
ONEOK, Inc., 5.65%, due 11/01/28
|
246,247
|
2,274,000
|
|
ONEOK, Inc., 6.05%, due 09/01/33
|
2,411,036
|
771,000
|
|
ONEOK, Inc., 6.63%, due 09/01/53
|
867,067
|
1,600,000
|
|
Oracle Corp., 1.65%, due 03/25/26
|
1,493,605
|
640,000
|
|
Oracle Corp., 2.95%, due 04/01/30
|
578,371
|
1,456,000
|
|
Oracle Corp., 3.95%, due 03/25/51
|
1,147,207
|
749,000
|
|
Oracle Corp., 4.30%, due 07/08/34
|
702,027
|
425,000
|
|
Organon & Co./Organon Foreign Debt Co.-Issuer BV, 4.13%, due 04/30/28 144A
|
391,697
|
580,000
|
|
Ovintiv, Inc., 5.65%, due 05/15/25
|
583,118
|
191,000
|
|
Ovintiv, Inc., 5.65%, due 05/15/28
|
195,198
|
192,000
|
|
Ovintiv, Inc., 6.25%, due 07/15/33
|
199,005
|
83,000
|
|
Ovintiv, Inc., 7.20%, due 11/01/31
|
90,388
|
82,000
|
|
Owens Corning, 3.88%, due 06/01/30
|
77,163
|
621,000
|
|
Owens Corning, 3.95%, due 08/15/29
|
592,939
|
160,000
|
|
Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27(d) 144A
|
160,200
|
170,000
|
|
Owens-Brockway Glass Container, Inc., 7.25%, due 05/15/31(d) 144A
|
172,574
|
490,000
|
|
Pacific Gas & Electric Co., 4.95%, due 07/01/50
|
421,046
|
265,000
|
|
PacifiCorp, 2.70%, due 09/15/30
|
230,104
|
583,000
|
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due
10/15/27(d) 144A
|
544,657
|
171,000
|
|
Paramount Global, 4.20%, due 05/19/32(d)
|
153,149
|
352,000
|
|
Paramount Global, 4.38%, due 03/15/43
|
261,339
|
716,000
|
|
Paramount Global, 4.95%, due 05/19/50
|
583,176
|
267,000
|
|
Parkland Corp., 4.50%, due 10/01/29 144A
|
245,050
|
260,000
|
|
Parkland Corp., 4.63%, due 05/01/30 144A
|
239,485
|
415,000
|
|
PECO Energy Co., 3.05%, due 03/15/51
|
295,556
|
205,000
|
|
PECO Energy Co., 3.70%, due 09/15/47
|
165,980
|
580,000
|
|
Pennsylvania Electric Co., 3.60%, due 06/01/29 144A
|
539,243
|
32,000
|
|
Petroleos Mexicanos, 6.35%, due 02/12/48(d)
|
20,314
|
875,000
|
|
Petroleos Mexicanos, 6.50%, due 03/13/27
|
815,996
|
255,000
|
|
Petroleos Mexicanos, 6.50%, due 06/02/41(d)
|
174,171
|
488,000
|
|
Petroleos Mexicanos, 6.75%, due 09/21/47
|
320,383
|
380,000
|
|
Petroleos Mexicanos, 6.88%, due 08/04/26
|
369,065
|
1,012,000
|
|
Petroleos Mexicanos, 7.69%, due 01/23/50
|
720,876
|
293,000
|
|
Petroleos Mexicanos, 8.75%, due 06/02/29
|
285,317
|
1,997,276
|
|
PG&E Wildfire Recovery Funding LLC, 3.59%, due 06/01/32
|
1,925,217
|
1,612,339
|
|
PG&E Wildfire Recovery Funding LLC, 4.02%, due 06/01/33
|
1,564,792
|
827,000
|
|
PG&E Wildfire Recovery Funding LLC, 4.26%, due 06/01/38
|
786,450
|
2,169,000
|
|
PG&E Wildfire Recovery Funding LLC, 4.72%, due 06/01/39
|
2,132,585
|
797,000
|
|
Phillips 66 Co., 3.61%, due 02/15/25
|
783,702
|
145,000
|
|
Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29
|
135,490
|
544,000
|
|
Pilgrim's Pride Corp., 6.25%, due 07/01/33
|
560,474
|
960,000
|
|
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, due 12/15/29
|
885,597
|
73,000
|
|
PNC Financial Services Group, Inc., 3.15%, due 05/19/27
|
69,354
|
922,000
|
|
PNC Financial Services Group, Inc., 3.40% (5 yr. CMT + 2.60%)(b)(e)
|
740,625
|
2,724,000
|
|
PNC Financial Services Group, Inc., 5.35% (SOFR + 1.62%), due 12/02/28(b)
|
2,760,493
|
2,008,000
|
|
PNC Financial Services Group, Inc., 5.58% (SOFR + 1.84%), due 06/12/29(b)
|
2,051,441
|
536,000
|
|
PNC Financial Services Group, Inc., 5.94% (SOFR + 1.95%), due 08/18/34(b)
|
558,671
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
474,000
|
|
PNC Financial Services Group, Inc., 6.25% (7 yr. CMT + 2.81%)(b)(e)
|
443,079
|
329,000
|
|
PNC Financial Services Group, Inc., 8.68% (3 mo. USD Term SOFR + 3.30%)(b)(e)
|
329,091
|
464,000
|
|
Popular, Inc., 7.25%, due 03/13/28
|
477,853
|
71,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A
|
65,850
|
206,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28(d)
144A
|
205,133
|
130,000
|
|
Providence St Joseph Health Obligated Group, 2.75%, due 10/01/26
|
122,380
|
195,000
|
|
Public Service Electric & Gas Co., 2.70%, due 05/01/50
|
134,455
|
445,000
|
|
Public Service Electric & Gas Co., 3.00%, due 05/15/27
|
424,195
|
315,000
|
|
Public Service Electric & Gas Co., 3.20%, due 05/15/29
|
295,067
|
2,250,000
|
|
Public Service Enterprise Group, Inc., 2.88%, due 06/15/24
|
2,221,798
|
515,000
|
|
Public Storage Operating Co., 2.25%, due 11/09/31
|
441,570
|
275,000
|
|
QatarEnergy, 2.25%, due 07/12/31 144A
|
234,454
|
372,000
|
|
Qorvo, Inc., 3.38%, due 04/01/31 144A
|
319,252
|
120,000
|
|
Realty Income Corp., 2.85%, due 12/15/32
|
102,191
|
350,000
|
|
Realty Income Corp., 3.25%, due 01/15/31
|
318,637
|
395,000
|
|
Regal Rexnord Corp., 6.05%, due 02/15/26 144A
|
399,622
|
342,000
|
|
Regal Rexnord Corp., 6.40%, due 04/15/33 144A
|
357,275
|
450,000
|
|
Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29 144A
|
392,708
|
300,000
|
|
Resorts World Las Vegas LLC/RWLV Capital, Inc., 8.45%, due 07/27/30 144A
|
307,503
|
405,000
|
|
Roper Technologies, Inc., 1.40%, due 09/15/27
|
362,816
|
287,000
|
|
Royalty Pharma PLC, 1.75%, due 09/02/27
|
257,721
|
415,000
|
|
RPM International, Inc., 2.95%, due 01/15/32
|
350,937
|
2,311,000
|
|
RTX Corp., 1.90%, due 09/01/31
|
1,882,727
|
2,404,000
|
|
Ryder System, Inc., 5.25%, due 06/01/28
|
2,439,188
|
338,000
|
|
Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28
|
331,460
|
911,000
|
|
Sabine Pass Liquefaction LLC, 4.50%, due 05/15/30
|
891,318
|
301,000
|
|
Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27
|
302,551
|
635,000
|
|
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25
|
635,494
|
290,000
|
|
San Diego Gas & Electric Co., 4.15%, due 05/15/48
|
248,917
|
586,000
|
|
Santander Holdings USA, Inc., 2.49% (SOFR + 1.25%), due 01/06/28(b)
|
537,670
|
1,289,000
|
|
Santander Holdings USA, Inc., 3.24%, due 10/05/26
|
1,215,211
|
1,068,000
|
|
Santander Holdings USA, Inc., 3.45%, due 06/02/25
|
1,037,648
|
259,000
|
|
Santander Holdings USA, Inc., 4.40%, due 07/13/27
|
251,962
|
347,000
|
|
Sasol Financing USA LLC, 5.50%, due 03/18/31
|
292,630
|
415,000
|
|
Sasol Financing USA LLC, 5.88%, due 03/27/24
|
412,824
|
200,000
|
|
Sasol Financing USA LLC, 6.50%, due 09/27/28(d)
|
190,746
|
236,000
|
|
SBA Tower Trust, 6.60%, due 01/15/28 144A
|
243,137
|
531,000
|
|
SBL Holdings, Inc., 5.00%, due 02/18/31 144A
|
436,793
|
2,216,000
|
|
Schlumberger Holdings Corp., 3.90%, due 05/17/28 144A
|
2,155,468
|
496,000
|
|
Sempra, 5.50%, due 08/01/33
|
515,516
|
185,000
|
|
Sensata Technologies, Inc., 3.75%, due 02/15/31 144A
|
163,326
|
850,000
|
|
Simon Property Group LP, 6.75%, due 02/01/40
|
963,231
|
424,000
|
|
Sirius XM Radio, Inc., 4.00%, due 07/15/28 144A
|
392,128
|
625,000
|
|
Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A
|
603,711
|
270,000
|
|
SMBC Aviation Capital Finance DAC, 2.30%, due 06/15/28 144A
|
237,723
|
1,130,000
|
|
Societe Generale SA, 1.79% (1 yr. CMT + 1.00%), due 06/09/27(b) 144A
|
1,029,640
|
1,365,000
|
|
Societe Generale SA, 2.80% (1 yr. CMT + 1.30%), due 01/19/28(b) 144A
|
1,259,723
|
634,000
|
|
Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(b)(e) 144A
|
520,128
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
361,000
|
|
Societe Generale SA, 6.22% (1 yr. CMT + 3.20%), due 06/15/33(b)(d) 144A
|
361,212
|
810,000
|
|
Societe Generale SA, 6.43% (SOFR + 1.05%), due 01/21/26(b) 144A
|
804,876
|
1,034,000
|
|
Societe Generale SA, 6.45% (1 yr. CMT + 2.55%), due 01/10/29(b) 144A
|
1,071,349
|
250,000
|
|
Sotheby's, 7.38%, due 10/15/27 144A
|
241,353
|
570,000
|
|
Southern California Edison Co., 3.45%, due 02/01/52
|
418,742
|
335,000
|
|
Southern California Edison Co., 4.00%, due 04/01/47
|
274,907
|
1,718,000
|
|
Southern Co., 3.25%, due 07/01/26
|
1,659,014
|
1,941,000
|
|
Southern Co., 4.85%, due 06/15/28
|
1,958,490
|
305,000
|
|
Southern Co., 5.70%, due 03/15/34
|
321,438
|
755,000
|
|
Southwest Airlines Co., 2.63%, due 02/10/30
|
660,831
|
344,000
|
|
Southwestern Energy Co., 4.75%, due 02/01/32
|
318,735
|
1,701,000
|
|
Spirit Realty LP, 2.10%, due 03/15/28
|
1,513,342
|
555,000
|
|
Sprint LLC, 7.13%, due 06/15/24
|
557,774
|
158,000
|
|
Standard Industries, Inc., 3.38%, due 01/15/31 144A
|
136,145
|
680,000
|
|
Standard Industries, Inc., 4.38%, due 07/15/30 144A
|
626,538
|
25,000
|
|
Standard Industries, Inc., 4.75%, due 01/15/28 144A
|
24,094
|
20,000
|
|
Standard Industries, Inc., 5.00%, due 02/15/27 144A
|
19,512
|
244,000
|
|
Star Parent, Inc., 9.00%, due 10/01/30(d) 144A
|
257,467
|
175,000
|
|
Starwood Property Trust, Inc., 3.63%, due 07/15/26 144A
|
165,928
|
200,000
|
|
State Grid Overseas Investment BVI Ltd., 3.50%, due 05/04/27 144A
|
194,137
|
330,000
|
|
State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(b)
|
297,049
|
920,000
|
|
Steel Dynamics, Inc., 3.45%, due 04/15/30
|
848,120
|
3,545,000
|
|
Stellantis Finance U.S., Inc., 1.71%, due 01/29/27 144A
|
3,222,952
|
114,000
|
|
Summit Materials LLC/Summit Materials Finance Corp., 7.25%, due 01/15/31 144A
|
120,040
|
1,550,000
|
|
Sun Communities Operating LP, 2.30%, due 11/01/28
|
1,358,367
|
419,000
|
|
Sunoco LP/Sunoco Finance Corp., 4.50%, due 04/30/30
|
388,393
|
375,000
|
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A
|
349,202
|
295,000
|
|
Tapestry, Inc., 7.70%, due 11/27/30
|
311,271
|
236,000
|
|
Tapestry, Inc., 7.85%, due 11/27/33
|
252,477
|
654,000
|
|
Targa Resources Corp., 4.95%, due 04/15/52
|
577,293
|
1,873,000
|
|
Targa Resources Corp., 6.15%, due 03/01/29
|
1,962,019
|
597,000
|
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, due
01/15/32
|
546,846
|
140,000
|
|
Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A
|
135,587
|
210,000
|
|
Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A
|
211,290
|
696,000
|
|
Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A
|
610,327
|
38,000
|
|
Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A
|
44,048
|
1,125,000
|
|
Teledyne Technologies, Inc., 2.75%, due 04/01/31
|
981,062
|
213,000
|
|
Telesat Canada/Telesat LLC, 5.63%, due 12/06/26 144A
|
133,530
|
70,000
|
|
Tenet Healthcare Corp., 4.38%, due 01/15/30(d)
|
64,958
|
310,000
|
|
Thermo Fisher Scientific, Inc., 4.98%, due 08/10/30
|
318,184
|
70,000
|
|
T-Mobile USA, Inc., 2.88%, due 02/15/31
|
61,773
|
2,669,000
|
|
T-Mobile USA, Inc., 3.38%, due 04/15/29
|
2,482,732
|
1,717,000
|
|
T-Mobile USA, Inc., 3.88%, due 04/15/30
|
1,630,055
|
1,065,000
|
|
T-Mobile USA, Inc., 4.50%, due 04/15/50
|
945,838
|
486,000
|
|
T-Mobile USA, Inc., 5.65%, due 01/15/53
|
508,369
|
1,595,000
|
|
Toll Brothers Finance Corp., 4.35%, due 02/15/28(d)
|
1,561,178
|
1,925,000
|
|
Toronto-Dominion Bank, 1.95%, due 01/12/27(d)
|
1,780,488
|
411,000
|
|
Total Play Telecomunicaciones SA de CV, 6.38%, due 09/20/28 144A
|
167,495
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
728,000
|
|
Total Play Telecomunicaciones SA de CV, 7.50%, due 11/12/25 144A
|
485,359
|
140,000
|
|
Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50
|
113,865
|
500,000
|
|
Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48
|
452,704
|
340,000
|
|
TransDigm, Inc., 5.50%, due 11/15/27
|
333,287
|
199,000
|
|
Travel & Leisure Co., 4.63%, due 03/01/30 144A
|
178,213
|
220,000
|
|
TriNet Group, Inc., 3.50%, due 03/01/29 144A
|
197,845
|
755,000
|
|
Truist Financial Corp., 5.87% (SOFR + 2.36%), due 06/08/34(b)
|
772,257
|
800,000
|
|
Truist Financial Corp., 7.16% (SOFR + 2.45%), due 10/30/29(b)
|
865,506
|
978,547
|
|
U.S. Airways Pass-Through Trust, 4.63%, due 12/03/26
|
952,067
|
1,931,000
|
|
U.S. Bancorp, 5.73% (SOFR + 1.43%), due 10/21/26(b)
|
1,944,980
|
938,000
|
|
U.S. Bancorp, 5.84% (SOFR + 2.26%), due 06/12/34(b)
|
969,857
|
588,000
|
|
U.S. Bancorp, 6.79% (SOFR + 1.88%), due 10/26/27(b)
|
614,344
|
688,000
|
|
Uber Technologies, Inc., 4.50%, due 08/15/29(d) 144A
|
657,506
|
765,000
|
|
UBS Group AG, 1.49% (1 yr. CMT + 0.85%), due 08/10/27(b) 144A
|
691,882
|
375,000
|
|
UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(b)(d) 144A
|
299,836
|
2,497,000
|
|
UBS Group AG, 4.13%, due 04/15/26 144A
|
2,438,596
|
364,000
|
|
UBS Group AG, 6.30% (1 yr. CMT + 2.00%), due 09/22/34(b) 144A
|
386,616
|
281,000
|
|
UBS Group AG, 9.25% (5 yr. CMT + 4.75%)(b)(e) 144A
|
303,897
|
209,000
|
|
UBS Group AG, 9.25% (5 yr. CMT + 4.76%)(b)(e) 144A
|
232,151
|
587,047
|
|
United Airlines Pass-Through Trust, 3.45%, due 01/07/30
|
524,826
|
457,529
|
|
United Airlines Pass-Through Trust, 3.65%, due 07/07/27
|
433,699
|
614,755
|
|
United Airlines Pass-Through Trust, 3.75%, due 03/03/28
|
586,575
|
1,899,983
|
|
United Airlines Pass-Through Trust, 4.00%, due 10/11/27
|
1,817,066
|
484,100
|
|
United Airlines Pass-Through Trust, 4.55%, due 02/25/33
|
430,872
|
220,337
|
|
United Airlines Pass-Through Trust, 4.60%, due 09/01/27
|
209,496
|
286,368
|
|
United Airlines Pass-Through Trust, 4.88%, due 07/15/27
|
277,619
|
613,000
|
|
United Airlines Pass-Through Trust, 5.80%, due 07/15/37
|
625,127
|
1,473,181
|
|
United Airlines Pass-Through Trust, 5.88%, due 04/15/29
|
1,493,418
|
622,000
|
|
United Airlines, Inc., 4.38%, due 04/15/26 144A
|
606,898
|
203,000
|
|
United Airlines, Inc., 4.63%, due 04/15/29 144A
|
190,077
|
175,000
|
|
United Rentals North America, Inc., 3.75%, due 01/15/32
|
155,605
|
321,000
|
|
United Rentals North America, Inc., 3.88%, due 11/15/27
|
306,620
|
167,000
|
|
United Rentals North America, Inc., 3.88%, due 02/15/31
|
151,937
|
575,000
|
|
United Rentals North America, Inc., 4.88%, due 01/15/28(d)
|
561,219
|
465,000
|
|
United Rentals North America, Inc., 5.25%, due 01/15/30(d)
|
459,234
|
885,000
|
|
UnitedHealth Group, Inc., 3.05%, due 05/15/41
|
694,429
|
155,000
|
|
UnitedHealth Group, Inc., 3.25%, due 05/15/51
|
117,344
|
120,000
|
|
UnitedHealth Group, Inc., 4.75%, due 05/15/52
|
115,942
|
1,213,000
|
|
UnitedHealth Group, Inc., 5.05%, due 04/15/53
|
1,231,696
|
553,000
|
|
Universal Health Services, Inc., 1.65%, due 09/01/26
|
503,573
|
550,000
|
|
Universal Health Services, Inc., 2.65%, due 10/15/30
|
467,306
|
120,000
|
|
University of Chicago, 2.76%, due 04/01/45
|
90,928
|
350,000
|
|
University of Southern California, 2.95%, due 10/01/51
|
248,125
|
513,000
|
|
Valvoline, Inc., 3.63%, due 06/15/31 144A
|
438,738
|
354,000
|
|
Var Energi ASA, 7.50%, due 01/15/28 144A
|
375,736
|
916,000
|
|
Var Energi ASA, 8.00%, due 11/15/32 144A
|
1,029,818
|
225,000
|
|
Varex Imaging Corp., 7.88%, due 10/15/27 144A
|
227,303
|
705,000
|
|
Vector Group Ltd., 5.75%, due 02/01/29 144A
|
646,269
|
203,000
|
|
Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A
|
184,558
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
313,000
|
|
Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A
|
276,125
|
495,000
|
|
Venture Global LNG, Inc., 9.50%, due 02/01/29 144A
|
523,976
|
365,000
|
|
VeriSign, Inc., 2.70%, due 06/15/31
|
313,660
|
878,000
|
|
Verisk Analytics, Inc., 3.63%, due 05/15/50
|
669,246
|
145,000
|
|
Verizon Communications, Inc., 1.68%, due 10/30/30
|
119,724
|
873,000
|
|
Verizon Communications, Inc., 2.55%, due 03/21/31
|
754,076
|
578,000
|
|
Verizon Communications, Inc., 2.88%, due 11/20/50
|
394,407
|
1,624,000
|
|
Verizon Communications, Inc., 3.55%, due 03/22/51
|
1,254,510
|
670,000
|
|
Viatris, Inc., 2.70%, due 06/22/30
|
567,311
|
515,000
|
|
Viatris, Inc., 3.85%, due 06/22/40
|
384,728
|
631,000
|
|
Viatris, Inc., 4.00%, due 06/22/50
|
446,331
|
136,000
|
|
VICI Properties LP, 5.13%, due 05/15/32
|
132,730
|
375,000
|
|
VICI Properties LP/VICI Note Co., Inc., 3.88%, due 02/15/29 144A
|
344,909
|
289,000
|
|
VICI Properties LP/VICI Note Co., Inc., 4.13%, due 08/15/30 144A
|
263,555
|
610,000
|
|
VICI Properties LP/VICI Note Co., Inc., 4.63%, due 12/01/29 144A
|
575,573
|
32,000
|
|
Vistra Corp., 8.00% (5 yr. CMT + 6.93%)(b)(e) 144A
|
31,905
|
460,000
|
|
Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A
|
453,624
|
1,041,000
|
|
Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A
|
987,144
|
878,000
|
|
Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A
|
823,649
|
370,000
|
|
Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A
|
360,515
|
467,000
|
|
Vistra Operations Co. LLC, 6.95%, due 10/15/33 144A
|
492,342
|
321,000
|
|
Vodafone Group PLC, 5.63%, due 02/10/53
|
325,815
|
437,000
|
|
Vodafone Group PLC, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(b)
|
451,656
|
340,000
|
|
WakeMed, 3.29%, due 10/01/52
|
247,036
|
474,000
|
|
Warnermedia Holdings, Inc., 4.28%, due 03/15/32
|
434,534
|
576,000
|
|
Warnermedia Holdings, Inc., 5.05%, due 03/15/42
|
509,960
|
2,480,000
|
|
Warnermedia Holdings, Inc., 5.14%, due 03/15/52
|
2,141,360
|
1,637,000
|
|
Waste Management, Inc., 4.15%, due 04/15/32
|
1,602,201
|
1,481,000
|
|
Wells Fargo & Co., 2.39% (SOFR + 2.10%), due 06/02/28(b)
|
1,358,028
|
1,871,000
|
|
Wells Fargo & Co., 2.57% (3 mo. USD Term SOFR + 1.26%), due 02/11/31(b)
|
1,620,064
|
1,193,000
|
|
Wells Fargo & Co., 2.88% (3 mo. USD Term SOFR + 1.43%), due 10/30/30(b)
|
1,062,810
|
1,517,000
|
|
Wells Fargo & Co., 3.35% (SOFR + 1.50%), due 03/02/33(b)
|
1,329,312
|
3,670,000
|
|
Wells Fargo & Co., 4.81% (SOFR + 1.98%), due 07/25/28(b)
|
3,646,355
|
1,557,000
|
|
Wells Fargo & Co., 5.88%(e)(h)
|
1,546,165
|
514,000
|
|
Western Midstream Operating LP, 4.05%, due 02/01/30(c)
|
482,564
|
128,000
|
|
Western Midstream Operating LP, 6.15%, due 04/01/33
|
133,228
|
350,000
|
|
William Carter Co., 5.63%, due 03/15/27 144A
|
345,837
|
492,000
|
|
Williams Cos., Inc., 3.75%, due 06/15/27
|
474,901
|
419,000
|
|
Williams Cos., Inc., 4.65%, due 08/15/32
|
408,957
|
530,000
|
|
Williams Cos., Inc., 5.40%, due 03/02/26
|
535,713
|
224,000
|
|
WMG Acquisition Corp., 3.88%, due 07/15/30 144A
|
202,866
|
300,000
|
|
Wolverine World Wide, Inc., 4.00%, due 08/15/29(d) 144A
|
235,878
|
665,000
|
|
WP Carey, Inc., 2.25%, due 04/01/33
|
519,471
|
50,000
|
|
XPO, Inc., 7.13%, due 06/01/31 144A
|
51,879
|
610,000
|
|
Yale University, 2.40%, due 04/15/50
|
402,835
|
1,070,000
|
|
Yamana Gold, Inc., 2.63%, due 08/15/31
|
903,703
|
1,220,000
|
|
Yara International ASA, 4.75%, due 06/01/28 144A
|
1,191,735
|
335,000
|
|
Zayo Group Holdings, Inc., 4.00%, due 03/01/27 144A
|
268,960
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
311,000
|
|
Zayo Group Holdings, Inc., 6.13%, due 03/01/28 144A
|
228,731
|
|
|
|
551,286,112
|
|
|
Mortgage Backed Securities - Private Issuers — 8.4%
|
|
127,213
|
|
Angel Oak Mortgage Trust, Series 2020-R1, Class A1, 0.99%, due 04/25/53(h) 144A
|
116,798
|
222,110
|
|
Angel Oak Mortgage Trust, Series 2021-2, Class A1, 0.99%, due 04/25/66(h) 144A
|
188,600
|
433,211
|
|
Angel Oak Mortgage Trust, Series 2021-4, Class A1, 1.04%, due 01/20/65(h) 144A
|
351,474
|
425,911
|
|
Angel Oak Mortgage Trust, Series 2021-5, Class A1, 0.95%, due 07/25/66(h) 144A
|
360,403
|
1,800,000
|
|
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due
05/15/53 144A
|
1,581,415
|
2,500,000
|
|
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A4, 2.25%, due
06/15/54 144A
|
2,099,168
|
245,524
|
|
Arroyo Mortgage Trust, Series 2021-1R, Class A1, 1.18%, due 10/25/48(h) 144A
|
201,854
|
217,000
|
|
BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.72%,
due 11/05/32(h) 144A
|
77,080
|
3,110,000
|
|
Bank, Series 2017-BNK5, Class A4, 3.13%, due 06/15/60
|
2,923,857
|
991,501
|
|
Bank, Series 2019-BN20, Class A2, 2.76%, due 09/15/62
|
859,456
|
2,050,000
|
|
Bank, Series 2019-BN23, Class A2, 2.67%, due 12/15/52
|
1,803,433
|
1,806,000
|
|
Bank, Series 2020-BN26, Class A2, 2.04%, due 03/15/63
|
1,643,288
|
1,800,000
|
|
Bank, Series 2020-BN26, Class A3, 2.16%, due 03/15/63
|
1,522,124
|
3,000,000
|
|
Bank, Series 2021-BN32, Class A4, 2.35%, due 04/15/54
|
2,559,837
|
2,300,000
|
|
Bank, Series 2021-BN34, Class A4, 2.16%, due 06/15/63
|
1,842,545
|
6,900,000
|
|
Bank5, Series 2023-5YR2, Class A3, 6.66%, due 07/15/56(h)
|
7,317,890
|
3,000,000
|
|
BBCMS Mortgage Trust, Series 2018-TALL, Class A, 6.28% (1 mo. USD Term SOFR +
0.92%), due 03/15/37(b) 144A
|
2,788,115
|
100,000
|
|
BBCMS Mortgage Trust, Series 2019-C5, Class A2, 3.04%, due 11/15/52
|
97,450
|
60,000
|
|
BBCMS Mortgage Trust, Series 2020-C6, Class A2, 2.69%, due 02/15/53
|
55,818
|
2,000,000
|
|
BBCMS Mortgage Trust, Series 2022-C14, Class A4, 2.69%, due 02/15/55
|
1,702,554
|
1,300,000
|
|
BBCMS Mortgage Trust, Series 2023-C21, Class A2, 6.30%, due 09/15/56(h)
|
1,359,247
|
270,000
|
|
BBCMS Trust, Series 2015-SRCH, Class D, 4.96%, due 08/10/35(h) 144A
|
197,054
|
122,776
|
|
Benchmark Mortgage Trust, Series 2019-B12, Class A2, 3.00%, due 08/15/52
|
113,512
|
120,000
|
|
Benchmark Mortgage Trust, Series 2019-B13, Class A2, 2.89%, due 08/15/57
|
108,859
|
1,350,000
|
|
Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72
|
1,163,754
|
600,000
|
|
Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53
|
497,430
|
1,200,000
|
|
Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53
|
1,124,154
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A
|
1,720,936
|
3,039,000
|
|
Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54
|
2,752,558
|
1,700,000
|
|
Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54
|
1,335,311
|
900,000
|
|
Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54
|
780,285
|
1,750,000
|
|
Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54
|
1,436,005
|
1,250,000
|
|
Benchmark Mortgage Trust, Series 2021-B28, Class ASB, 1.98%, due 08/15/54
|
1,091,683
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2021-B31, Class A4, 2.42%, due 12/15/54
|
1,499,105
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2022-B33, Class A5, 3.46%, due 03/15/55
|
1,604,060
|
3,000,000
|
|
Benchmark Mortgage Trust, Series 2023-B39, Class A2, 6.57%, due 07/15/56(h)
|
3,132,006
|
1,200,000
|
|
Benchmark Mortgage Trust, Series 2023-B40, Class A2, 6.93%, due 12/15/56
|
1,270,012
|
2,265,000
|
|
Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.81%, due 05/15/55(h)
|
2,325,247
|
2,700,000
|
|
BMO Mortgage Trust, Series 2023-5C1, Class A3, 6.53%, due 08/15/56(h)
|
2,849,975
|
3,100,000
|
|
BMO Mortgage Trust, Series 2023-5C2, Class A3, 7.05%, due 11/15/56(h)
|
3,367,041
|
213,639
|
|
BRAVO Residential Funding Trust, Series 2021-NQM1, Class A1, 0.94%, due
02/25/49(h) 144A
|
189,554
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
1,478,765
|
|
BRAVO Residential Funding Trust, Series 2023-RPL1, Class A1, 5.00%, due 05/25/63(h)
144A
|
1,460,675
|
570,174
|
|
BX Commercial Mortgage Trust, Series 2019-XL, Class A, 6.40% (1 mo. USD Term
SOFR + 1.03%), due 10/15/36(b) 144A
|
568,872
|
1,516,000
|
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, 6.18% (1 mo. USD Term
SOFR + 0.81%), due 09/15/36(b) 144A
|
1,478,671
|
537,000
|
|
BX Trust, Series 2022-CLS, Class A, 5.76%, due 10/13/27 144A
|
538,466
|
1,200,000
|
|
CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57
|
1,066,715
|
974,402
|
|
CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(h) 144A
|
941,481
|
550,754
|
|
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58
|
523,726
|
2,307,919
|
|
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49
|
2,187,315
|
233,000
|
|
CFK Trust, Series 2020-MF2, Class A, 2.39%, due 03/15/39 144A
|
203,110
|
27,500,000
|
|
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class XB, 0.43%, due
05/10/47(h)
|
2,643
|
330,000
|
|
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72
|
293,899
|
360,000
|
|
Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A, 5.82%, due
10/12/40(h) 144A
|
365,318
|
323,009
|
|
COLT Mortgage Loan Trust, Series 2021-2, Class A1, 0.92%, due 08/25/66(h) 144A
|
260,238
|
460,588
|
|
COLT Mortgage Loan Trust, Series 2021-3, Class A1, 0.96%, due 09/27/66(h) 144A
|
368,123
|
322,328
|
|
COLT Mortgage Loan Trust, Series 2021-HX1, Class A1, 1.11%, due 10/25/66(h) 144A
|
268,068
|
632,985
|
|
COLT Trust, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(h) 144A
|
533,384
|
295,000
|
|
COMM Mortgage Trust, Series 2013-300P, Class D, 4.39%, due 08/10/30(h) 144A
|
232,964
|
3,500,000
|
|
COMM Mortgage Trust, Series 2015-CR22, Class A5, 3.31%, due 03/10/48
|
3,396,367
|
786,835
|
|
COMM Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48
|
763,864
|
862,000
|
|
COMM Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48
|
831,907
|
190,000
|
|
COMM Mortgage Trust, Series 2017-PANW, Class A, 3.24%, due 10/10/29 144A
|
169,402
|
303,000
|
|
COMM Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A
|
290,727
|
993,500
|
|
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50
|
916,430
|
1,335,000
|
|
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50
|
1,228,492
|
1,050,000
|
|
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52
|
929,864
|
1,804,355
|
|
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54
|
1,530,690
|
208,372
|
|
CSMC Trust, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(h) 144A
|
198,430
|
284,571
|
|
CSMC Trust, Series 2020-NET, Class A, 2.26%, due 08/15/37 144A
|
263,537
|
686,349
|
|
CSMC Trust, Series 2020-RPL6, Class A1, 3.38%, due 03/25/59(h) 144A
|
683,454
|
257,725
|
|
CSMC Trust, Series 2021-NQM2, Class A1, 1.18%, due 02/25/66(h) 144A
|
220,648
|
233,007
|
|
CSMC Trust, Series 2021-NQM3, Class A1, 1.02%, due 04/25/66(h) 144A
|
195,200
|
161,042
|
|
CSMC Trust, Series 2021-NQM5, Class A1, 0.94%, due 05/25/66(h) 144A
|
128,414
|
547,115
|
|
CSMC Trust, Series 2021-NQM6, Class A1, 1.17%, due 07/25/66(h) 144A
|
440,426
|
303,931
|
|
Ellington Financial Mortgage Trust, Series 2021-1, Class A1, 0.80%, due 02/25/66(h)
144A
|
257,409
|
143,306
|
|
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, due 06/25/66(h)
144A
|
114,987
|
477,184
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA1,
Class M1A, 6.34% (SOFR 30-day average + 1.00%), due 01/25/42(b) 144A
|
475,878
|
390,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2,
Class M1B, 7.74% (SOFR 30-day average + 2.40%), due 02/25/42(b) 144A
|
395,322
|
380,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA3,
Class M1B, 8.24% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A
|
390,938
|
520,327
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R02,
Class 1M1, 7.64% (SOFR 30-day average + 2.30%), due 01/25/43(b) 144A
|
533,027
|
254,112
|
|
Flagstar Mortgage Trust, Series 2020-2, Class A2, 3.00%, due 08/25/50(h) 144A
|
216,604
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
598,319
|
|
Flagstar Mortgage Trust, Series 2021-1, Class A2, 2.50%, due 02/01/51(h) 144A
|
492,536
|
6,161
|
|
Flagstar Mortgage Trust, Series 2021-6INV, Class A4, 2.50%, due 08/25/51(h) 144A
|
5,043
|
231,253
|
|
GCAT Trust, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(h) 144A
|
190,308
|
201,652
|
|
GCAT Trust, Series 2021-NQM2, Class A1, 1.04%, due 05/25/66(h) 144A
|
166,166
|
306,514
|
|
GCAT Trust, Series 2021-NQM3, Class A1, 1.09%, due 05/25/66(h) 144A
|
253,536
|
342,500
|
|
GCAT Trust, Series 2023-NQM2, Class A1, 5.84%, due 11/25/67(c) 144A
|
342,617
|
266,000
|
|
GS Mortgage Securities Corp. Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37
144A
|
252,197
|
445,385
|
|
GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 6.18% (1 mo. USD
Term SOFR + 0.81%), due 11/21/35(b) 144A
|
440,397
|
823,511
|
|
GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48
|
810,395
|
2,636,551
|
|
GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50
|
2,559,579
|
1,600,000
|
|
GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53
|
1,350,480
|
1,143,000
|
|
GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53
|
1,021,986
|
1,900,000
|
|
GS Mortgage Securities Trust, Series 2021-GSA3, Class A4, 2.37%, due 12/15/54
|
1,571,633
|
139,047
|
|
GS Mortgage-Backed Securities Corp. Trust, Series 2021-NQM1, Class A1, 1.02%, due
07/25/61(h) 144A
|
119,138
|
52,179
|
|
GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class A1, 1.38%, due
09/27/60(h) 144A
|
47,757
|
171,827
|
|
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A1, 1.07%, due 06/25/56(h)
144A
|
145,747
|
338,848
|
|
Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1, 5.94%, due 02/25/68(c)
144A
|
338,425
|
664,659
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3,
2.56%, due 08/15/49
|
628,268
|
357,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX,
2.81%, due 01/16/37 144A
|
302,206
|
2,077,768
|
|
JP Morgan Mortgage Trust, Series 2023-4, Class 1A4A, 5.50%, due 11/25/53(h) 144A
|
2,061,149
|
779,049
|
|
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3, 3.11%, due
07/15/50
|
738,918
|
769,281
|
|
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%,
due 06/13/52
|
763,880
|
677,282
|
|
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due
06/15/49
|
645,844
|
1,137,149
|
|
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due
03/15/50
|
1,074,976
|
1,370,252
|
|
Legacy Mortgage Asset Trust, Series 2019-PR1, Class A1, 7.86%, due 09/25/59(c) 144A
|
1,369,248
|
686,318
|
|
Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 5.88%, due 10/25/59(c) 144A
|
686,273
|
71,147
|
|
Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1, 1.89%, due 10/25/66(c) 144A
|
69,913
|
1,544
|
|
MetLife Securitization Trust, Series 2020-INV1, Class A2A, 2.50%, due 05/25/50(h)
144A
|
1,276
|
133,414
|
|
MFA Trust, Series 2021-NQM1, Class A1, 1.15%, due 04/25/65(h) 144A
|
121,778
|
1,737,000
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4,
3.31%, due 04/15/48
|
1,675,651
|
800,000
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4,
3.73%, due 05/15/48
|
774,508
|
2,434,445
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A4,
2.60%, due 09/15/49
|
2,272,826
|
1,562,383
|
|
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49
|
1,464,678
|
2,000,000
|
|
Morgan Stanley Capital I Trust, Series 2018-L1, Class A3, 4.14%, due 10/15/51
|
1,921,295
|
2,600,000
|
|
Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52
|
2,370,461
|
980,000
|
|
Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53
|
817,388
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
145,000
|
|
Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.79%, due
11/15/32(h) 144A
|
89,206
|
195,000
|
|
Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.32%, due
01/15/43(h) 144A
|
159,609
|
138,879
|
|
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 6.22% (1 mo. USD
Term SOFR + 0.86%), due 01/25/48(b) 144A
|
134,247
|
199,398
|
|
NYMT Loan Trust, Series 2022-CP1, Class A1, 2.04%, due 07/25/61 144A
|
182,958
|
128,025
|
|
OBX Trust, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(h) 144A
|
104,842
|
283,921
|
|
OBX Trust, Series 2021-NQM2, Class A1, 1.10%, due 05/25/61(h) 144A
|
219,723
|
474,221
|
|
OBX Trust, Series 2021-NQM3, Class A1, 1.05%, due 07/25/61(h) 144A
|
365,234
|
422,549
|
|
Provident Funding Mortgage Trust, Series 2020-F1, Class A2, 2.00%, due 01/25/36(h)
144A
|
363,077
|
13,460
|
|
PSMC Trust, Series 2021-2, Class A3, 2.50%, due 05/25/51(h) 144A
|
11,847
|
974,397
|
|
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.50%, due 11/25/57
|
926,074
|
356,575
|
|
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, due 08/25/57(h)
|
337,058
|
1,448,524
|
|
Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA, 3.50%, due 03/25/58
|
1,367,978
|
594,853
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50%, due 07/25/58
|
563,576
|
1,112,475
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50%, due 08/25/58
|
1,049,472
|
857,715
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA, 3.00%, due 02/25/59
|
785,693
|
761,963
|
|
Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MA, 2.50%, due 08/25/59
|
690,281
|
1,999,678
|
|
Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU, 3.25%, due 11/25/61
|
1,809,673
|
225,740
|
|
Sequoia Mortgage Trust, Series 2020-3, Class A4, 3.00%, due 04/25/50(h) 144A
|
217,268
|
3,673
|
|
Sequoia Mortgage Trust, Series 2021-1, Class A1, 2.50%, due 03/25/51(h) 144A
|
3,021
|
510,000
|
|
SLG Office Trust, Series 2021-OVA, Class D, 2.85%, due 07/15/41 144A
|
399,808
|
498,269
|
|
Starwood Mortgage Residential Trust, Series 2022-1, Class A1, 2.45%, due 12/25/66(h)
144A
|
427,526
|
254,040
|
|
Towd Point Mortgage Trust, Series 2018-4, Class A1, 3.00%, due 06/25/58(h) 144A
|
237,677
|
270,950
|
|
Towd Point Mortgage Trust, Series 2019-1, Class A1, 3.75%, due 03/25/58(h) 144A
|
259,821
|
222,059
|
|
Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.90%, due 10/25/59(h) 144A
|
208,904
|
98,386
|
|
Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 6.47% (1 mo. USD Term
SOFR + 1.11%), due 10/25/59(b) 144A
|
99,000
|
321,008
|
|
Towd Point Mortgage Trust, Series 2020-4, Class A1, 1.75%, due 10/25/60 144A
|
284,031
|
470,886
|
|
UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50
|
454,834
|
86,505
|
|
Verus Securitization Trust, Series 2020-5, Class A1, 1.22%, due 05/25/65(c) 144A
|
80,290
|
326,790
|
|
Verus Securitization Trust, Series 2021-3, Class A1, 1.05%, due 06/25/66(h) 144A
|
273,463
|
201,056
|
|
Verus Securitization Trust, Series 2021-4, Class A1, 0.94%, due 07/25/66(h) 144A
|
160,776
|
469,350
|
|
Verus Securitization Trust, Series 2021-5, Class A1, 1.01%, due 09/25/66(h) 144A
|
387,679
|
135,732
|
|
Verus Securitization Trust, Series 2021-R1, Class A1, 0.82%, due 10/25/63(h) 144A
|
123,502
|
6,491
|
|
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A7, 5.66%,
due 09/25/33(h)
|
6,011
|
1,490,923
|
|
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due
08/15/49
|
1,392,070
|
3,100,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due
11/15/49
|
2,924,247
|
872,795
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due
07/15/50
|
818,801
|
1,590,090
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due
03/15/50
|
1,484,606
|
1,605,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due
06/15/53
|
1,489,862
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
1,900,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A3, 1.96%, due
04/15/54
|
1,654,828
|
800,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class ASB, 2.13%, due
08/15/54
|
709,246
|
1,466,000
|
|
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.92%, due 10/15/57
|
1,431,833
|
|
|
|
140,434,760
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — 27.9%
|
|
2,107,669
|
|
Federal Home Loan Mortgage Corp., 4.00%, due 05/01/52
|
1,994,059
|
907,788
|
|
Federal Home Loan Mortgage Corp., 4.00%, due 08/01/52
|
858,120
|
515,838
|
|
Federal Home Loan Mortgage Corp., 4.00%, due 04/01/53
|
490,249
|
2,178
|
|
Federal Home Loan Mortgage Corp., Pool # 841542, 5.16%, (SOFR 30-day average +
2.34%), due 02/01/53(b)
|
2,179
|
180,845
|
|
Federal Home Loan Mortgage Corp., Pool # A89870, 4.50%, due 11/01/39
|
181,105
|
121,375
|
|
Federal Home Loan Mortgage Corp., Pool # A96970, 4.00%, due 02/01/41
|
117,735
|
229,988
|
|
Federal Home Loan Mortgage Corp., Pool # C91908, 3.00%, due 01/01/37
|
214,796
|
177,041
|
|
Federal Home Loan Mortgage Corp., Pool # G06231, 4.00%, due 12/01/40
|
173,180
|
112,848
|
|
Federal Home Loan Mortgage Corp., Pool # G06409, 6.00%, due 11/01/39
|
118,151
|
57,810
|
|
Federal Home Loan Mortgage Corp., Pool # G06875, 5.50%, due 12/01/38
|
59,687
|
207,096
|
|
Federal Home Loan Mortgage Corp., Pool # G07021, 5.00%, due 09/01/39
|
211,052
|
395,546
|
|
Federal Home Loan Mortgage Corp., Pool # G07816, 4.50%, due 09/01/42
|
396,194
|
273,095
|
|
Federal Home Loan Mortgage Corp., Pool # G08537, 3.00%, due 07/01/43
|
251,871
|
163,885
|
|
Federal Home Loan Mortgage Corp., Pool # G08672, 4.00%, due 10/01/45
|
158,483
|
551,882
|
|
Federal Home Loan Mortgage Corp., Pool # G08721, 3.00%, due 09/01/46
|
500,898
|
254,359
|
|
Federal Home Loan Mortgage Corp., Pool # G08726, 3.00%, due 10/01/46
|
231,824
|
42,130
|
|
Federal Home Loan Mortgage Corp., Pool # G08735, 4.50%, due 10/01/46
|
41,869
|
21,702
|
|
Federal Home Loan Mortgage Corp., Pool # G08748, 3.50%, due 02/01/47
|
20,315
|
309,745
|
|
Federal Home Loan Mortgage Corp., Pool # G08749, 4.00%, due 02/01/47
|
299,532
|
164,223
|
|
Federal Home Loan Mortgage Corp., Pool # G08771, 4.00%, due 07/01/47
|
158,808
|
150,876
|
|
Federal Home Loan Mortgage Corp., Pool # G08786, 4.50%, due 10/01/47
|
149,585
|
82,845
|
|
Federal Home Loan Mortgage Corp., Pool # G16177, 2.00%, due 01/01/32
|
77,060
|
545,118
|
|
Federal Home Loan Mortgage Corp., Pool # G16634, 3.00%, due 10/01/31
|
525,071
|
47,600
|
|
Federal Home Loan Mortgage Corp., Pool # G60359, 3.00%, due 12/01/45
|
43,663
|
214,315
|
|
Federal Home Loan Mortgage Corp., Pool # G60581, 3.50%, due 05/01/46
|
200,620
|
884,179
|
|
Federal Home Loan Mortgage Corp., Pool # G60722, 3.00%, due 10/01/46
|
807,765
|
320,961
|
|
Federal Home Loan Mortgage Corp., Pool # G60767, 3.50%, due 10/01/46
|
298,366
|
139,422
|
|
Federal Home Loan Mortgage Corp., Pool # G60788, 3.50%, due 12/01/46
|
131,126
|
568,922
|
|
Federal Home Loan Mortgage Corp., Pool # G60804, 4.50%, due 05/01/42
|
572,006
|
753,165
|
|
Federal Home Loan Mortgage Corp., Pool # G60934, 3.50%, due 06/01/45
|
712,828
|
910,714
|
|
Federal Home Loan Mortgage Corp., Pool # G60985, 3.00%, due 05/01/47
|
831,310
|
98,143
|
|
Federal Home Loan Mortgage Corp., Pool # G60989, 3.00%, due 12/01/46
|
89,657
|
69,366
|
|
Federal Home Loan Mortgage Corp., Pool # G61022, 3.00%, due 04/01/45
|
63,915
|
80,749
|
|
Federal Home Loan Mortgage Corp., Pool # G61581, 4.00%, due 08/01/48
|
77,994
|
503,178
|
|
Federal Home Loan Mortgage Corp., Pool # G61748, 3.50%, due 11/01/48
|
473,441
|
247,754
|
|
Federal Home Loan Mortgage Corp., Pool # G61995, 4.00%, due 11/01/44
|
241,559
|
61,193
|
|
Federal Home Loan Mortgage Corp., Pool # G67700, 3.50%, due 08/01/46
|
57,603
|
267,711
|
|
Federal Home Loan Mortgage Corp., Pool # G67701, 3.00%, due 10/01/46
|
245,074
|
165,304
|
|
Federal Home Loan Mortgage Corp., Pool # G67703, 3.50%, due 04/01/47
|
155,603
|
23,780
|
|
Federal Home Loan Mortgage Corp., Pool # G67708, 3.50%, due 03/01/48
|
22,327
|
133,929
|
|
Federal Home Loan Mortgage Corp., Pool # J24414, 2.50%, due 06/01/28
|
128,873
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
197,826
|
|
Federal Home Loan Mortgage Corp., Pool # J34888, 2.50%, due 07/01/31
|
187,347
|
493,888
|
|
Federal Home Loan Mortgage Corp., Pool # Q09224, 4.00%, due 07/01/42
|
481,894
|
72,578
|
|
Federal Home Loan Mortgage Corp., Pool # Q11218, 3.50%, due 09/01/42
|
68,766
|
158,456
|
|
Federal Home Loan Mortgage Corp., Pool # Q12052, 3.50%, due 10/01/42
|
150,101
|
462,099
|
|
Federal Home Loan Mortgage Corp., Pool # Q12862, 3.50%, due 11/01/42
|
440,033
|
174,232
|
|
Federal Home Loan Mortgage Corp., Pool # Q17792, 3.50%, due 05/01/43
|
164,682
|
403,902
|
|
Federal Home Loan Mortgage Corp., Pool # Q36815, 4.00%, due 10/01/45
|
389,468
|
45,634
|
|
Federal Home Loan Mortgage Corp., Pool # Q37986, 3.50%, due 12/01/45
|
42,907
|
334,432
|
|
Federal Home Loan Mortgage Corp., Pool # Q41918, 3.50%, due 07/01/46
|
314,808
|
388,524
|
|
Federal Home Loan Mortgage Corp., Pool # Q42618, 3.00%, due 08/01/46
|
354,102
|
57,850
|
|
Federal Home Loan Mortgage Corp., Pool # Q44399, 3.50%, due 11/01/46
|
54,153
|
766,097
|
|
Federal Home Loan Mortgage Corp., Pool # Q44455, 3.50%, due 11/01/46
|
720,510
|
167,492
|
|
Federal Home Loan Mortgage Corp., Pool # Q44963, 3.50%, due 12/01/46
|
156,788
|
539,375
|
|
Federal Home Loan Mortgage Corp., Pool # Q45741, 3.50%, due 01/01/47
|
507,722
|
28,080
|
|
Federal Home Loan Mortgage Corp., Pool # Q46015, 3.50%, due 02/01/47
|
26,432
|
13,504
|
|
Federal Home Loan Mortgage Corp., Pool # Q47384, 4.00%, due 04/01/47
|
13,058
|
55,367
|
|
Federal Home Loan Mortgage Corp., Pool # Q48463, 4.00%, due 06/01/47
|
53,576
|
45,045
|
|
Federal Home Loan Mortgage Corp., Pool # Q49494, 4.50%, due 07/01/47
|
44,674
|
175,921
|
|
Federal Home Loan Mortgage Corp., Pool # Q52312, 4.00%, due 11/01/47
|
169,975
|
133,268
|
|
Federal Home Loan Mortgage Corp., Pool # Q54957, 4.00%, due 03/01/48
|
128,723
|
1,223,153
|
|
Federal Home Loan Mortgage Corp., Pool # QA6367, 3.00%, due 01/01/50
|
1,098,146
|
752,418
|
|
Federal Home Loan Mortgage Corp., Pool # QA7234, 3.00%, due 02/01/50
|
674,491
|
536,147
|
|
Federal Home Loan Mortgage Corp., Pool # QA8518, 3.00%, due 04/01/50
|
480,618
|
198,249
|
|
Federal Home Loan Mortgage Corp., Pool # QB0220, 3.00%, due 06/01/50
|
177,316
|
722,643
|
|
Federal Home Loan Mortgage Corp., Pool # QB4847, 2.50%, due 10/01/50
|
616,401
|
734,317
|
|
Federal Home Loan Mortgage Corp., Pool # QB6476, 2.50%, due 12/01/50
|
636,295
|
264,568
|
|
Federal Home Loan Mortgage Corp., Pool # QC0039, 2.50%, due 03/01/51
|
228,747
|
1,402,070
|
|
Federal Home Loan Mortgage Corp., Pool # QC4339, 2.00%, due 07/01/51
|
1,167,007
|
837,699
|
|
Federal Home Loan Mortgage Corp., Pool # QC5189, 2.50%, due 08/01/51
|
714,459
|
417,369
|
|
Federal Home Loan Mortgage Corp., Pool # QC6357, 2.50%, due 09/01/51
|
357,316
|
469,536
|
|
Federal Home Loan Mortgage Corp., Pool # QD6056, 3.00%, due 02/01/52
|
419,943
|
127,323
|
|
Federal Home Loan Mortgage Corp., Pool # QD9911, 2.50%, due 04/01/52
|
108,444
|
855,723
|
|
Federal Home Loan Mortgage Corp., Pool # QE0375, 4.00%, due 04/01/52
|
819,466
|
70,193
|
|
Federal Home Loan Mortgage Corp., Pool # QE1497, 4.00%, due 05/01/52
|
67,354
|
2,183,412
|
|
Federal Home Loan Mortgage Corp., Pool # QN1779, 2.50%, due 03/01/35
|
2,025,045
|
248,114
|
|
Federal Home Loan Mortgage Corp., Pool # RA1343, 3.00%, due 09/01/49
|
222,956
|
1,585,399
|
|
Federal Home Loan Mortgage Corp., Pool # RA1776, 3.00%, due 12/01/49
|
1,424,155
|
900,173
|
|
Federal Home Loan Mortgage Corp., Pool # RA1860, 3.00%, due 12/01/49
|
807,222
|
453,684
|
|
Federal Home Loan Mortgage Corp., Pool # RA2572, 3.50%, due 05/01/50
|
422,954
|
1,725,995
|
|
Federal Home Loan Mortgage Corp., Pool # RA2790, 2.50%, due 06/01/50
|
1,479,684
|
1,643,189
|
|
Federal Home Loan Mortgage Corp., Pool # RA2853, 2.50%, due 06/01/50
|
1,408,694
|
648,277
|
|
Federal Home Loan Mortgage Corp., Pool # RA3206, 2.00%, due 08/01/50
|
540,028
|
965,976
|
|
Federal Home Loan Mortgage Corp., Pool # RA4912, 3.00%, due 03/01/51
|
856,151
|
239,272
|
|
Federal Home Loan Mortgage Corp., Pool # RA5286, 2.50%, due 05/01/51
|
204,105
|
13,255
|
|
Federal Home Loan Mortgage Corp., Pool # RA5767, 2.50%, due 09/01/51
|
10,936
|
317,605
|
|
Federal Home Loan Mortgage Corp., Pool # RA6432, 2.50%, due 12/01/51
|
272,459
|
1,561,837
|
|
Federal Home Loan Mortgage Corp., Pool # RA6944, 3.50%, due 03/01/52
|
1,442,476
|
610,662
|
|
Federal Home Loan Mortgage Corp., Pool # RA6951, 3.50%, due 03/01/52
|
565,820
|
3,758,915
|
|
Federal Home Loan Mortgage Corp., Pool # RA7195, 3.50%, due 04/01/52
|
3,481,032
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
3,783,867
|
|
Federal Home Loan Mortgage Corp., Pool # RA7881, 5.00%, due 09/01/52
|
3,752,412
|
2,514,610
|
|
Federal Home Loan Mortgage Corp., Pool # RA7942, 5.50%, due 09/01/52
|
2,556,910
|
1,859,548
|
|
Federal Home Loan Mortgage Corp., Pool # RA8248, 5.00%, due 11/01/52
|
1,844,808
|
1,937
|
|
Federal Home Loan Mortgage Corp., Pool # RA8760, 5.50%, due 03/01/53
|
1,955
|
1,793,052
|
|
Federal Home Loan Mortgage Corp., Pool # RB5111, 2.00%, due 05/01/41
|
1,538,139
|
1,331,968
|
|
Federal Home Loan Mortgage Corp., Pool # RC1916, 2.00%, due 06/01/36
|
1,204,273
|
4,629,343
|
|
Federal Home Loan Mortgage Corp., Pool # SB0307, 2.50%, due 02/01/35
|
4,305,061
|
2,471,619
|
|
Federal Home Loan Mortgage Corp., Pool # SB0385, 3.00%, due 07/01/35
|
2,345,373
|
1,262,772
|
|
Federal Home Loan Mortgage Corp., Pool # SB8189, 4.00%, due 11/01/37
|
1,239,561
|
333,606
|
|
Federal Home Loan Mortgage Corp., Pool # SB8199, 4.50%, due 12/01/37
|
331,932
|
1,694,492
|
|
Federal Home Loan Mortgage Corp., Pool # SB8205, 4.50%, due 01/01/38
|
1,685,992
|
445,455
|
|
Federal Home Loan Mortgage Corp., Pool # SB8212, 4.50%, due 02/01/38
|
443,237
|
238,325
|
|
Federal Home Loan Mortgage Corp., Pool # SB8260, 5.00%, due 10/01/38
|
239,745
|
753,299
|
|
Federal Home Loan Mortgage Corp., Pool # SB8262, 5.00%, due 09/01/38
|
757,788
|
419,439
|
|
Federal Home Loan Mortgage Corp., Pool # SB8510, 2.00%, due 02/01/36
|
379,240
|
887,217
|
|
Federal Home Loan Mortgage Corp., Pool # SD0100, 3.00%, due 10/01/49
|
796,708
|
1,697,380
|
|
Federal Home Loan Mortgage Corp., Pool # SD0499, 3.00%, due 08/01/50
|
1,530,167
|
1,112,388
|
|
Federal Home Loan Mortgage Corp., Pool # SD0558, 2.50%, due 03/01/51
|
961,771
|
1,215,688
|
|
Federal Home Loan Mortgage Corp., Pool # SD0619, 4.00%, due 07/01/50
|
1,166,519
|
1,031,225
|
|
Federal Home Loan Mortgage Corp., Pool # SD0742, 2.50%, due 11/01/51
|
889,113
|
438,411
|
|
Federal Home Loan Mortgage Corp., Pool # SD0815, 3.00%, due 01/01/52
|
392,950
|
445,718
|
|
Federal Home Loan Mortgage Corp., Pool # SD0905, 3.00%, due 03/01/52
|
398,402
|
583,362
|
|
Federal Home Loan Mortgage Corp., Pool # SD1050, 4.50%, due 07/01/52
|
568,583
|
3,031,468
|
|
Federal Home Loan Mortgage Corp., Pool # SD1217, 2.00%, due 03/01/52
|
2,515,010
|
3,202,726
|
|
Federal Home Loan Mortgage Corp., Pool # SD1265, 4.50%, due 06/01/52
|
3,124,671
|
1,430,296
|
|
Federal Home Loan Mortgage Corp., Pool # SD1446, 4.50%, due 08/01/52
|
1,395,559
|
363,687
|
|
Federal Home Loan Mortgage Corp., Pool # SD1454, 4.50%, due 08/01/52
|
355,477
|
1,780,125
|
|
Federal Home Loan Mortgage Corp., Pool # SD1475, 4.50%, due 08/01/52
|
1,736,741
|
2,761,844
|
|
Federal Home Loan Mortgage Corp., Pool # SD1483, 4.00%, due 08/01/52
|
2,647,673
|
992,506
|
|
Federal Home Loan Mortgage Corp., Pool # SD1517, 4.50%, due 09/01/52
|
970,160
|
918,801
|
|
Federal Home Loan Mortgage Corp., Pool # SD1606, 4.50%, due 09/01/52
|
895,523
|
977,244
|
|
Federal Home Loan Mortgage Corp., Pool # SD1695, 5.00%, due 10/01/52
|
969,498
|
553,221
|
|
Federal Home Loan Mortgage Corp., Pool # SD1807, 4.50%, due 07/01/52
|
539,263
|
3,829,424
|
|
Federal Home Loan Mortgage Corp., Pool # SD1809, 4.50%, due 09/01/52
|
3,736,096
|
482,583
|
|
Federal Home Loan Mortgage Corp., Pool # SD1944, 5.00%, due 12/01/52
|
481,055
|
789,778
|
|
Federal Home Loan Mortgage Corp., Pool # SD1999, 5.00%, due 12/01/52
|
783,518
|
982,681
|
|
Federal Home Loan Mortgage Corp., Pool # SD2032, 5.00%, due 12/01/52
|
983,678
|
3,334,194
|
|
Federal Home Loan Mortgage Corp., Pool # SD2172, 5.50%, due 02/01/53
|
3,386,997
|
480,869
|
|
Federal Home Loan Mortgage Corp., Pool # SD2273, 4.50%, due 12/01/52
|
468,659
|
1,752,442
|
|
Federal Home Loan Mortgage Corp., Pool # SD2318, 5.00%, due 02/01/53
|
1,738,542
|
452,369
|
|
Federal Home Loan Mortgage Corp., Pool # SD2683, 4.50%, due 04/01/53
|
442,096
|
1,933,345
|
|
Federal Home Loan Mortgage Corp., Pool # SD2954, 4.50%, due 04/01/53
|
1,885,855
|
2,563,858
|
|
Federal Home Loan Mortgage Corp., Pool # SD3159, 5.00%, due 06/01/53
|
2,544,628
|
2,563,050
|
|
Federal Home Loan Mortgage Corp., Pool # SD3278, 5.00%, due 06/01/53
|
2,557,053
|
395,557
|
|
Federal Home Loan Mortgage Corp., Pool # SD3338, 5.50%, due 06/01/53
|
401,748
|
864,243
|
|
Federal Home Loan Mortgage Corp., Pool # SD3372, 5.00%, due 07/01/53
|
857,972
|
2,973,663
|
|
Federal Home Loan Mortgage Corp., Pool # SD3401, 5.00%, due 07/01/53
|
2,960,102
|
438,686
|
|
Federal Home Loan Mortgage Corp., Pool # SD3425, 5.50%, due 07/01/53
|
445,899
|
1,063,046
|
|
Federal Home Loan Mortgage Corp., Pool # SD3435, 5.00%, due 07/01/53
|
1,057,122
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
1,535,860
|
|
Federal Home Loan Mortgage Corp., Pool # SD3562, 4.50%, due 08/01/53
|
1,498,914
|
1,986,215
|
|
Federal Home Loan Mortgage Corp., Pool # SD3563, 4.50%, due 08/01/53
|
1,935,471
|
1,300,495
|
|
Federal Home Loan Mortgage Corp., Pool # SD3566, 5.00%, due 08/01/53
|
1,296,706
|
5,942
|
|
Federal Home Loan Mortgage Corp., Pool # SD3675, 6.00%, due 09/01/53
|
6,061
|
5,556
|
|
Federal Home Loan Mortgage Corp., Pool # SD3758, 6.00%, due 08/01/53
|
5,709
|
695
|
|
Federal Home Loan Mortgage Corp., Pool # SD3839, 5.50%, due 09/01/53
|
700
|
2,983
|
|
Federal Home Loan Mortgage Corp., Pool # SD3896, 6.00%, due 10/01/53
|
3,048
|
7,913
|
|
Federal Home Loan Mortgage Corp., Pool # SD3906, 6.00%, due 10/01/53
|
8,098
|
3,157,993
|
|
Federal Home Loan Mortgage Corp., Pool # SD7543, 2.50%, due 08/01/51
|
2,725,368
|
3,078,661
|
|
Federal Home Loan Mortgage Corp., Pool # SD7544, 3.00%, due 07/01/51
|
2,771,372
|
2,476,768
|
|
Federal Home Loan Mortgage Corp., Pool # SD7548, 2.50%, due 11/01/51
|
2,139,396
|
1,713,391
|
|
Federal Home Loan Mortgage Corp., Pool # SD7551, 3.00%, due 01/01/52
|
1,539,473
|
2,073,345
|
|
Federal Home Loan Mortgage Corp., Pool # SD7557, 4.50%, due 12/01/52
|
2,028,811
|
2,642
|
|
Federal Home Loan Mortgage Corp., Pool # SD8025, 3.50%, due 11/01/49
|
2,467
|
975,539
|
|
Federal Home Loan Mortgage Corp., Pool # SD8075, 3.50%, due 07/01/50
|
909,008
|
4,212,367
|
|
Federal Home Loan Mortgage Corp., Pool # SD8090, 2.00%, due 09/01/50
|
3,468,851
|
776,355
|
|
Federal Home Loan Mortgage Corp., Pool # SD8104, 1.50%, due 11/01/50
|
606,396
|
378,225
|
|
Federal Home Loan Mortgage Corp., Pool # SD8113, 2.00%, due 12/01/50
|
310,976
|
547,369
|
|
Federal Home Loan Mortgage Corp., Pool # SD8121, 2.00%, due 01/01/51
|
450,554
|
2,626,796
|
|
Federal Home Loan Mortgage Corp., Pool # SD8128, 2.00%, due 02/01/51
|
2,159,048
|
1,120,756
|
|
Federal Home Loan Mortgage Corp., Pool # SD8134, 2.00%, due 03/01/51
|
920,894
|
33,620
|
|
Federal Home Loan Mortgage Corp., Pool # SD8140, 2.00%, due 04/01/51
|
27,580
|
3,365,476
|
|
Federal Home Loan Mortgage Corp., Pool # SD8141, 2.50%, due 04/01/51
|
2,877,350
|
987,400
|
|
Federal Home Loan Mortgage Corp., Pool # SD8151, 2.50%, due 06/01/51
|
842,864
|
1,958,990
|
|
Federal Home Loan Mortgage Corp., Pool # SD8177, 2.00%, due 11/01/51
|
1,604,763
|
1,354,423
|
|
Federal Home Loan Mortgage Corp., Pool # SD8183, 2.50%, due 12/01/51
|
1,154,422
|
478,593
|
|
Federal Home Loan Mortgage Corp., Pool # SD8189, 2.50%, due 01/01/52
|
407,908
|
365,765
|
|
Federal Home Loan Mortgage Corp., Pool # SD8221, 3.50%, due 06/01/52
|
336,050
|
2,898,510
|
|
Federal Home Loan Mortgage Corp., Pool # SD8227, 4.00%, due 07/01/52
|
2,746,293
|
2,485,889
|
|
Federal Home Loan Mortgage Corp., Pool # SD8231, 4.50%, due 07/01/52
|
2,414,054
|
5,241,851
|
|
Federal Home Loan Mortgage Corp., Pool # SD8236, 3.50%, due 08/01/52
|
4,814,703
|
1,454,815
|
|
Federal Home Loan Mortgage Corp., Pool # SD8237, 4.00%, due 08/01/52
|
1,378,414
|
1,959,886
|
|
Federal Home Loan Mortgage Corp., Pool # SD8243, 3.50%, due 09/01/52
|
1,800,378
|
455,649
|
|
Federal Home Loan Mortgage Corp., Pool # SD8278, 6.00%, due 12/01/52
|
463,674
|
3,966,281
|
|
Federal Home Loan Mortgage Corp., Pool # SD8288, 5.00%, due 01/01/53
|
3,931,184
|
1,487,048
|
|
Federal Home Loan Mortgage Corp., Pool # SD8289, 5.50%, due 01/01/53
|
1,495,891
|
110,079
|
|
Federal Home Loan Mortgage Corp., Pool # V60565, 3.00%, due 06/01/29
|
106,439
|
297,655
|
|
Federal Home Loan Mortgage Corp., Pool # V60599, 3.00%, due 09/01/29
|
287,467
|
406,479
|
|
Federal Home Loan Mortgage Corp., Pool # V82292, 4.00%, due 04/01/46
|
393,081
|
236,000
|
|
Federal Home Loan Mortgage Corp., Pool # V82848, 3.00%, due 12/01/46
|
215,195
|
31,534
|
|
Federal Home Loan Mortgage Corp., Pool # V82980, 3.50%, due 02/01/47
|
29,519
|
736,172
|
|
Federal Home Loan Mortgage Corp., Pool # ZM1609, 3.50%, due 09/01/46
|
695,919
|
224,279
|
|
Federal Home Loan Mortgage Corp., Pool # ZS4727, 4.00%, due 07/01/47
|
216,579
|
141,750
|
|
Federal Home Loan Mortgage Corp., Pool # ZS4760, 4.00%, due 03/01/48
|
136,395
|
1,229,689
|
|
Federal Home Loan Mortgage Corp., Pool # ZS4763, 3.50%, due 04/01/48
|
1,149,455
|
4,266,430
|
|
Federal Home Loan Mortgage Corp., Pool # ZS7930, 3.00%, due 01/01/33
|
4,074,986
|
1,038,551
|
|
Federal Home Loan Mortgage Corp., Pool # ZT0536, 3.50%, due 03/01/48
|
973,696
|
379,538
|
|
Federal Home Loan Mortgage Corp., Pool # ZT0657, 6.00%, due 07/01/40
|
396,821
|
183,930
|
|
Federal Home Loan Mortgage Corp., Pool # ZT1748, 5.00%, due 01/01/49
|
185,000
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
349,822
|
|
Federal Home Loan Mortgage Corp., Pool # ZT2100, 3.00%, due 04/01/47
|
317,868
|
11,317,197
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates,
Series K106, Class X1, 1.32%, due 01/25/30(h)
|
738,419
|
34,916
|
|
Federal Home Loan Mortgage Corp. Reference REMICS, Series R007, Class ZA,
6.00%, due 05/15/36
|
36,672
|
1,000,000
|
|
Federal Home Loan Mortgage Corp. REMICS, Series 5250, Class NH, 3.00%, due
08/25/52
|
877,784
|
1,129,961
|
|
Federal National Mortgage Association, 4.00%, due 06/01/52
|
1,083,132
|
725,239
|
|
Federal National Mortgage Association, 4.00%, due 06/01/52
|
686,160
|
173,642
|
|
Federal National Mortgage Association, Pool # 745148, 5.00%, due 01/01/36
|
176,701
|
167,982
|
|
Federal National Mortgage Association, Pool # 932807, 4.00%, due 09/01/40
|
164,093
|
115,563
|
|
Federal National Mortgage Association, Pool # 983471, 5.50%, due 05/01/38
|
118,853
|
206,677
|
|
Federal National Mortgage Association, Pool # 985184, 5.50%, due 08/01/38
|
213,099
|
143,611
|
|
Federal National Mortgage Association, Pool # 995245, 5.00%, due 01/01/39
|
145,511
|
9,839
|
|
Federal National Mortgage Association, Pool # AB5369, 3.50%, due 06/01/42
|
9,322
|
296,025
|
|
Federal National Mortgage Association, Pool # AB6212, 3.00%, due 09/01/42
|
273,139
|
470,769
|
|
Federal National Mortgage Association, Pool # AB6802, 3.50%, due 11/01/42
|
445,716
|
129,799
|
|
Federal National Mortgage Association, Pool # AB7059, 2.50%, due 11/01/42
|
114,432
|
256,198
|
|
Federal National Mortgage Association, Pool # AB8703, 3.00%, due 03/01/38
|
241,315
|
104,072
|
|
Federal National Mortgage Association, Pool # AB9383, 4.00%, due 05/01/43
|
101,402
|
803,404
|
|
Federal National Mortgage Association, Pool # AB9659, 3.00%, due 06/01/43
|
739,931
|
1,669,177
|
|
Federal National Mortgage Association, Pool # AC3668, 4.50%, due 10/01/39
|
1,669,371
|
161,265
|
|
Federal National Mortgage Association, Pool # AD9153, 4.50%, due 08/01/40
|
161,300
|
124,586
|
|
Federal National Mortgage Association, Pool # AE0469, 6.00%, due 12/01/39
|
130,273
|
349,462
|
|
Federal National Mortgage Association, Pool # AH4404, 4.00%, due 01/01/41
|
341,077
|
69,134
|
|
Federal National Mortgage Association, Pool # AI1892, 5.00%, due 05/01/41
|
70,335
|
329,343
|
|
Federal National Mortgage Association, Pool # AI4815, 4.50%, due 06/01/41
|
329,416
|
280,081
|
|
Federal National Mortgage Association, Pool # AJ9278, 3.50%, due 12/01/41
|
265,697
|
141,562
|
|
Federal National Mortgage Association, Pool # AJ9317, 4.00%, due 01/01/42
|
137,976
|
297,944
|
|
Federal National Mortgage Association, Pool # AL0215, 4.50%, due 04/01/41
|
298,010
|
558,882
|
|
Federal National Mortgage Association, Pool # AL1895, 3.50%, due 06/01/42
|
529,486
|
353,456
|
|
Federal National Mortgage Association, Pool # AL2466, 4.00%, due 09/01/42
|
344,392
|
367,969
|
|
Federal National Mortgage Association, Pool # AL3000, 3.50%, due 12/01/42
|
347,473
|
416,006
|
|
Federal National Mortgage Association, Pool # AL3316, 3.50%, due 03/01/43
|
393,001
|
26,055
|
|
Federal National Mortgage Association, Pool # AL5939, 3.50%, due 09/01/43
|
24,701
|
544,643
|
|
Federal National Mortgage Association, Pool # AL6663, 4.00%, due 03/01/39
|
536,082
|
518,264
|
|
Federal National Mortgage Association, Pool # AL7594, 3.50%, due 08/01/45
|
484,492
|
476,412
|
|
Federal National Mortgage Association, Pool # AL8191, 4.00%, due 12/01/45
|
459,356
|
38,370
|
|
Federal National Mortgage Association, Pool # AL8673, 3.50%, due 06/01/46
|
36,068
|
41,815
|
|
Federal National Mortgage Association, Pool # AL9515, 3.50%, due 07/01/46
|
39,089
|
106,101
|
|
Federal National Mortgage Association, Pool # AL9657, 3.50%, due 01/01/47
|
99,736
|
65,472
|
|
Federal National Mortgage Association, Pool # AO4109, 4.00%, due 06/01/42
|
63,792
|
46,406
|
|
Federal National Mortgage Association, Pool # AQ3381, 3.00%, due 11/01/42
|
42,740
|
165,895
|
|
Federal National Mortgage Association, Pool # AQ7923, 3.00%, due 12/01/42
|
152,860
|
30,055
|
|
Federal National Mortgage Association, Pool # AR8749, 3.00%, due 03/01/43
|
27,683
|
292,033
|
|
Federal National Mortgage Association, Pool # AS5133, 3.50%, due 06/01/45
|
273,003
|
33,908
|
|
Federal National Mortgage Association, Pool # AS5593, 3.50%, due 08/01/45
|
31,858
|
9,347
|
|
Federal National Mortgage Association, Pool # AS6187, 3.50%, due 11/01/45
|
8,776
|
123,971
|
|
Federal National Mortgage Association, Pool # AS6188, 3.50%, due 11/01/45
|
116,388
|
70,965
|
|
Federal National Mortgage Association, Pool # AS6286, 4.00%, due 12/01/45
|
68,531
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
93,663
|
|
Federal National Mortgage Association, Pool # AS6304, 4.00%, due 12/01/45
|
90,450
|
155,337
|
|
Federal National Mortgage Association, Pool # AS6452, 3.50%, due 01/01/46
|
145,213
|
69,916
|
|
Federal National Mortgage Association, Pool # AS7010, 3.50%, due 04/01/46
|
65,121
|
102,405
|
|
Federal National Mortgage Association, Pool # AS7693, 2.00%, due 08/01/31
|
95,391
|
174,068
|
|
Federal National Mortgage Association, Pool # AS8073, 2.50%, due 10/01/46
|
150,645
|
1,535,184
|
|
Federal National Mortgage Association, Pool # AS8483, 3.00%, due 12/01/46
|
1,394,025
|
33,544
|
|
Federal National Mortgage Association, Pool # AS8647, 3.00%, due 01/01/47
|
30,481
|
114,826
|
|
Federal National Mortgage Association, Pool # AZ3743, 3.50%, due 11/01/45
|
107,159
|
73,244
|
|
Federal National Mortgage Association, Pool # BC1489, 3.00%, due 08/01/46
|
66,935
|
28,737
|
|
Federal National Mortgage Association, Pool # BC9078, 4.00%, due 12/01/46
|
27,751
|
186,149
|
|
Federal National Mortgage Association, Pool # BC9468, 3.00%, due 06/01/46
|
170,243
|
395,122
|
|
Federal National Mortgage Association, Pool # BD7043, 4.00%, due 03/01/47
|
381,565
|
72,042
|
|
Federal National Mortgage Association, Pool # BD7118, 3.50%, due 04/01/47
|
67,346
|
29,805
|
|
Federal National Mortgage Association, Pool # BE2974, 4.00%, due 01/01/47
|
28,922
|
245,427
|
|
Federal National Mortgage Association, Pool # BE7192, 4.00%, due 03/01/47
|
237,088
|
2,782,721
|
|
Federal National Mortgage Association, Pool # BJ0104, 3.50%, due 10/01/47
|
2,601,310
|
396,022
|
|
Federal National Mortgage Association, Pool # BK1023, 4.50%, due 02/01/48
|
389,858
|
215,702
|
|
Federal National Mortgage Association, Pool # BK7611, 4.50%, due 09/01/48
|
213,040
|
117,389
|
|
Federal National Mortgage Association, Pool # BM1013, 3.50%, due 03/01/47
|
110,348
|
109,696
|
|
Federal National Mortgage Association, Pool # BM1277, 4.00%, due 05/01/47
|
105,932
|
640,885
|
|
Federal National Mortgage Association, Pool # BM1573, 3.50%, due 07/01/47
|
602,460
|
733,351
|
|
Federal National Mortgage Association, Pool # BM1972, 3.50%, due 10/01/37
|
700,469
|
489,830
|
|
Federal National Mortgage Association, Pool # BM3033, 3.00%, due 10/01/47
|
446,204
|
44,293
|
|
Federal National Mortgage Association, Pool # BM3077, 3.00%, due 11/01/47
|
40,380
|
177,711
|
|
Federal National Mortgage Association, Pool # BM3258, 3.00%, due 02/01/47
|
162,012
|
145,358
|
|
Federal National Mortgage Association, Pool # BM3286, 4.50%, due 11/01/47
|
144,672
|
350,281
|
|
Federal National Mortgage Association, Pool # BM3332, 3.50%, due 01/01/48
|
327,445
|
269,526
|
|
Federal National Mortgage Association, Pool # BM3491, 4.50%, due 01/01/38
|
269,541
|
129,315
|
|
Federal National Mortgage Association, Pool # BM3628, 3.50%, due 03/01/48
|
121,900
|
710,887
|
|
Federal National Mortgage Association, Pool # BM3641, 4.00%, due 04/01/48
|
685,833
|
511,102
|
|
Federal National Mortgage Association, Pool # BM4377, 4.89%, (1 yr. RFUCC Treasury
+ 1.89%), due 04/01/38(b)
|
529,387
|
8,963
|
|
Federal National Mortgage Association, Pool # BM4426, 3.50%, due 06/01/48
|
8,411
|
471,818
|
|
Federal National Mortgage Association, Pool # BM4896, 3.00%, due 02/01/47
|
434,586
|
619,926
|
|
Federal National Mortgage Association, Pool # BM5213, 3.00%, due 07/01/45
|
567,925
|
139,750
|
|
Federal National Mortgage Association, Pool # BM5293, 3.50%, due 02/01/49
|
130,639
|
45,905
|
|
Federal National Mortgage Association, Pool # BM5682, 3.50%, due 03/01/49
|
42,912
|
253,488
|
|
Federal National Mortgage Association, Pool # BM5694, 4.00%, due 06/01/48
|
244,633
|
99,286
|
|
Federal National Mortgage Association, Pool # BM5874, 4.00%, due 01/01/48
|
95,880
|
220,682
|
|
Federal National Mortgage Association, Pool # BM5950, 3.00%, due 11/01/48
|
201,416
|
8,209
|
|
Federal National Mortgage Association, Pool # BM5971, 3.50%, due 06/01/49
|
7,659
|
565,675
|
|
Federal National Mortgage Association, Pool # BM6482, 5.35%, (1 yr. RFUCC Treasury
+ 1.89%), due 04/01/47(b)
|
579,591
|
735,846
|
|
Federal National Mortgage Association, Pool # BN6216, 4.50%, due 03/01/49
|
729,115
|
199,445
|
|
Federal National Mortgage Association, Pool # BO1420, 3.50%, due 09/01/49
|
185,945
|
8,476
|
|
Federal National Mortgage Association, Pool # BO1439, 3.00%, due 10/01/49
|
7,597
|
384,070
|
|
Federal National Mortgage Association, Pool # BO5387, 3.50%, due 12/01/49
|
360,332
|
235,115
|
|
Federal National Mortgage Association, Pool # BP2898, 4.00%, due 03/01/50
|
225,109
|
341,398
|
|
Federal National Mortgage Association, Pool # BP5462, 2.50%, due 06/01/50
|
296,255
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
281,966
|
|
Federal National Mortgage Association, Pool # BP5568, 3.00%, due 06/01/50
|
252,071
|
1,336,215
|
|
Federal National Mortgage Association, Pool # BP6618, 2.50%, due 08/01/50
|
1,144,885
|
5,204,813
|
|
Federal National Mortgage Association, Pool # BP9250, 2.50%, due 07/01/50
|
4,486,396
|
671,380
|
|
Federal National Mortgage Association, Pool # BQ3132, 2.00%, due 10/01/50
|
566,012
|
467,173
|
|
Federal National Mortgage Association, Pool # BQ3138, 2.50%, due 10/01/50
|
404,970
|
909,923
|
|
Federal National Mortgage Association, Pool # BU8763, 3.00%, due 04/01/52
|
808,370
|
1,340,893
|
|
Federal National Mortgage Association, Pool # BV8474, 3.00%, due 05/01/52
|
1,208,773
|
3,162,211
|
|
Federal National Mortgage Association, Pool # BW9918, 5.00%, due 10/01/52
|
3,155,172
|
756,896
|
|
Federal National Mortgage Association, Pool # CA0623, 4.50%, due 10/01/47
|
750,285
|
468,110
|
|
Federal National Mortgage Association, Pool # CA0655, 3.50%, due 11/01/47
|
439,476
|
294,469
|
|
Federal National Mortgage Association, Pool # CA0855, 3.50%, due 12/01/47
|
275,273
|
12,662
|
|
Federal National Mortgage Association, Pool # CA1545, 4.00%, due 04/01/48
|
12,216
|
250,692
|
|
Federal National Mortgage Association, Pool # CA3828, 4.00%, due 07/01/49
|
241,002
|
609,048
|
|
Federal National Mortgage Association, Pool # CA3986, 5.00%, due 08/01/49
|
611,275
|
406,282
|
|
Federal National Mortgage Association, Pool # CA4149, 3.00%, due 09/01/49
|
365,517
|
31,672
|
|
Federal National Mortgage Association, Pool # CA4546, 3.00%, due 11/01/49
|
28,436
|
527,330
|
|
Federal National Mortgage Association, Pool # CA4831, 4.50%, due 12/01/49
|
517,454
|
462,764
|
|
Federal National Mortgage Association, Pool # CA5229, 3.00%, due 02/01/50
|
414,446
|
2,794,233
|
|
Federal National Mortgage Association, Pool # CA5354, 3.50%, due 03/01/50
|
2,605,119
|
551,954
|
|
Federal National Mortgage Association, Pool # CA5556, 3.50%, due 04/01/50
|
514,477
|
346,083
|
|
Federal National Mortgage Association, Pool # CA5571, 4.00%, due 04/01/50
|
332,205
|
4,786,252
|
|
Federal National Mortgage Association, Pool # CA6097, 3.50%, due 06/01/50
|
4,449,665
|
2,804,190
|
|
Federal National Mortgage Association, Pool # CA6635, 2.50%, due 08/01/50
|
2,433,350
|
1,126,381
|
|
Federal National Mortgage Association, Pool # CA6738, 3.00%, due 08/01/50
|
1,005,039
|
349,716
|
|
Federal National Mortgage Association, Pool # CA6799, 2.00%, due 08/01/50
|
289,301
|
570,135
|
|
Federal National Mortgage Association, Pool # CA6871, 2.50%, due 08/01/35
|
528,596
|
1,287,241
|
|
Federal National Mortgage Association, Pool # CA6872, 2.50%, due 08/01/35
|
1,193,841
|
761,006
|
|
Federal National Mortgage Association, Pool # CA6909, 2.50%, due 09/01/50
|
659,229
|
3,508,874
|
|
Federal National Mortgage Association, Pool # CA8062, 2.50%, due 12/01/50
|
3,013,283
|
126,000
|
|
Federal National Mortgage Association, Pool # CA8895, 2.50%, due 02/01/51
|
107,690
|
153,044
|
|
Federal National Mortgage Association, Pool # CA9090, 2.50%, due 02/01/51
|
130,765
|
1,386,369
|
|
Federal National Mortgage Association, Pool # CA9227, 2.50%, due 02/01/51
|
1,195,363
|
5,699,733
|
|
Federal National Mortgage Association, Pool # CB0671, 2.50%, due 06/01/51
|
4,927,947
|
1,328,209
|
|
Federal National Mortgage Association, Pool # CB1273, 2.00%, due 08/01/51
|
1,095,837
|
2,908,730
|
|
Federal National Mortgage Association, Pool # CB2095, 3.00%, due 11/01/51
|
2,578,071
|
529,976
|
|
Federal National Mortgage Association, Pool # CB2287, 2.50%, due 12/01/51
|
455,953
|
448,620
|
|
Federal National Mortgage Association, Pool # CB2858, 2.50%, due 02/01/52
|
385,883
|
453,994
|
|
Federal National Mortgage Association, Pool # CB3126, 3.50%, due 03/01/52
|
422,493
|
803,373
|
|
Federal National Mortgage Association, Pool # CB3158, 2.50%, due 03/01/52
|
688,488
|
2,117,860
|
|
Federal National Mortgage Association, Pool # CB3512, 4.00%, due 05/01/52
|
2,018,247
|
1,058,502
|
|
Federal National Mortgage Association, Pool # CB3865, 4.50%, due 06/01/52
|
1,032,902
|
435,621
|
|
Federal National Mortgage Association, Pool # CB4028, 4.50%, due 07/01/52
|
424,666
|
4,093,248
|
|
Federal National Mortgage Association, Pool # CB4088, 4.00%, due 07/01/52
|
3,913,111
|
1,216,136
|
|
Federal National Mortgage Association, Pool # CB4304, 4.50%, due 08/01/52
|
1,181,044
|
2,159,160
|
|
Federal National Mortgage Association, Pool # CB4337, 4.50%, due 08/01/52
|
2,122,288
|
1,993,875
|
|
Federal National Mortgage Association, Pool # CB4395, 4.50%, due 08/01/52
|
1,936,341
|
2,364,351
|
|
Federal National Mortgage Association, Pool # CB4620, 5.00%, due 09/01/52
|
2,347,078
|
505,416
|
|
Federal National Mortgage Association, Pool # CB4675, 4.50%, due 09/01/52
|
493,077
|
375,342
|
|
Federal National Mortgage Association, Pool # CB4838, 5.00%, due 10/01/52
|
372,367
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
2,298,930
|
|
Federal National Mortgage Association, Pool # CB4908, 5.50%, due 10/01/52
|
2,329,796
|
1,808,544
|
|
Federal National Mortgage Association, Pool # CB5434, 5.00%, due 01/01/53
|
1,809,232
|
1,514,973
|
|
Federal National Mortgage Association, Pool # CB6059, 5.00%, due 04/01/53
|
1,508,677
|
1,899
|
|
Federal National Mortgage Association, Pool # CB6222, 5.50%, due 05/01/53
|
1,917
|
1,308,157
|
|
Federal National Mortgage Association, Pool # CB6247, 5.00%, due 05/01/53
|
1,305,606
|
2,291,521
|
|
Federal National Mortgage Association, Pool # CB6899, 5.00%, due 08/01/53
|
2,303,481
|
694,501
|
|
Federal National Mortgage Association, Pool # FM0030, 3.00%, due 02/01/49
|
632,735
|
184,912
|
|
Federal National Mortgage Association, Pool # FM1001, 3.50%, due 11/01/48
|
172,857
|
187,437
|
|
Federal National Mortgage Association, Pool # FM1266, 5.00%, due 07/01/49
|
188,527
|
135,345
|
|
Federal National Mortgage Association, Pool # FM1347, 3.00%, due 12/01/48
|
123,291
|
540,732
|
|
Federal National Mortgage Association, Pool # FM1467, 3.00%, due 12/01/47
|
495,197
|
556,284
|
|
Federal National Mortgage Association, Pool # FM1588, 3.00%, due 10/01/49
|
501,960
|
286,641
|
|
Federal National Mortgage Association, Pool # FM1715, 3.00%, due 12/01/45
|
262,593
|
390,727
|
|
Federal National Mortgage Association, Pool # FM1790, 3.00%, due 11/01/49
|
351,160
|
277,842
|
|
Federal National Mortgage Association, Pool # FM1864, 3.00%, due 11/01/49
|
249,618
|
2,848,993
|
|
Federal National Mortgage Association, Pool # FM2217, 3.00%, due 03/01/47
|
2,623,915
|
1,857,417
|
|
Federal National Mortgage Association, Pool # FM2226, 3.00%, due 09/01/46
|
1,710,665
|
763,523
|
|
Federal National Mortgage Association, Pool # FM2274, 4.00%, due 08/01/49
|
735,428
|
364,565
|
|
Federal National Mortgage Association, Pool # FM2336, 4.00%, due 01/01/50
|
350,398
|
391,278
|
|
Federal National Mortgage Association, Pool # FM2461, 3.50%, due 03/01/50
|
363,290
|
535,176
|
|
Federal National Mortgage Association, Pool # FM2570, 4.50%, due 04/01/48
|
535,289
|
354,551
|
|
Federal National Mortgage Association, Pool # FM2674, 4.00%, due 03/01/50
|
340,407
|
1,261,302
|
|
Federal National Mortgage Association, Pool # FM3250, 3.50%, due 05/01/50
|
1,175,931
|
699,797
|
|
Federal National Mortgage Association, Pool # FM4330, 2.50%, due 10/01/50
|
606,850
|
2,830,553
|
|
Federal National Mortgage Association, Pool # FM4765, 2.00%, due 11/01/50
|
2,361,402
|
28,217
|
|
Federal National Mortgage Association, Pool # FM5035, 4.00%, due 07/01/50
|
27,137
|
2,366,071
|
|
Federal National Mortgage Association, Pool # FM5721, 3.00%, due 12/01/40
|
2,183,807
|
914,152
|
|
Federal National Mortgage Association, Pool # FM5996, 4.50%, due 03/01/49
|
902,213
|
733,395
|
|
Federal National Mortgage Association, Pool # FM6273, 3.00%, due 12/01/34
|
701,605
|
1,937,543
|
|
Federal National Mortgage Association, Pool # FM6497, 2.00%, due 03/01/51
|
1,616,383
|
798,060
|
|
Federal National Mortgage Association, Pool # FM6585, 3.50%, due 11/01/40
|
759,928
|
732,598
|
|
Federal National Mortgage Association, Pool # FM7341, 4.00%, due 03/01/48
|
707,502
|
263,840
|
|
Federal National Mortgage Association, Pool # FM7441, 3.00%, due 05/01/51
|
233,854
|
1,126,640
|
|
Federal National Mortgage Association, Pool # FM7785, 4.00%, due 05/01/49
|
1,086,414
|
1,788,572
|
|
Federal National Mortgage Association, Pool # FM7794, 4.00%, due 01/01/50
|
1,720,415
|
568,046
|
|
Federal National Mortgage Association, Pool # FM8161, 2.50%, due 08/01/51
|
489,270
|
1,828,845
|
|
Federal National Mortgage Association, Pool # FM8216, 4.00%, due 11/01/48
|
1,758,642
|
1,419,177
|
|
Federal National Mortgage Association, Pool # FM8325, 2.50%, due 07/01/35
|
1,336,090
|
911,173
|
|
Federal National Mortgage Association, Pool # FM8422, 2.50%, due 08/01/51
|
777,353
|
884,947
|
|
Federal National Mortgage Association, Pool # FM8451, 2.50%, due 08/01/51
|
761,733
|
1,485,773
|
|
Federal National Mortgage Association, Pool # FM8603, 4.00%, due 09/01/49
|
1,433,646
|
1,535,701
|
|
Federal National Mortgage Association, Pool # FM9412, 2.50%, due 11/01/51
|
1,325,501
|
1,398,623
|
|
Federal National Mortgage Association, Pool # FM9461, 3.50%, due 11/01/51
|
1,289,833
|
387,676
|
|
Federal National Mortgage Association, Pool # FM9468, 2.50%, due 11/01/51
|
334,685
|
1,184,764
|
|
Federal National Mortgage Association, Pool # FM9674, 3.50%, due 06/01/49
|
1,107,594
|
963,901
|
|
Federal National Mortgage Association, Pool # FM9726, 2.50%, due 11/01/51
|
831,332
|
3,881,706
|
|
Federal National Mortgage Association, Pool # FM9728, 2.50%, due 11/01/51
|
3,340,686
|
549,224
|
|
Federal National Mortgage Association, Pool # FM9977, 4.00%, due 02/01/50
|
528,059
|
1,037,511
|
|
Federal National Mortgage Association, Pool # FS0027, 2.50%, due 11/01/51
|
895,822
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
1,132,230
|
|
Federal National Mortgage Association, Pool # FS0065, 4.50%, due 12/01/50
|
1,117,325
|
1,122,279
|
|
Federal National Mortgage Association, Pool # FS0194, 2.50%, due 01/01/52
|
961,957
|
2,281,341
|
|
Federal National Mortgage Association, Pool # FS0644, 3.00%, due 02/01/52
|
2,034,201
|
128,426
|
|
Federal National Mortgage Association, Pool # FS0703, 4.00%, due 01/01/49
|
123,874
|
2,098,662
|
|
Federal National Mortgage Association, Pool # FS0715, 3.00%, due 01/01/52
|
1,876,340
|
394,173
|
|
Federal National Mortgage Association, Pool # FS0717, 3.00%, due 02/01/52
|
350,236
|
456,587
|
|
Federal National Mortgage Association, Pool # FS1201, 3.00%, due 01/01/50
|
409,623
|
744,795
|
|
Federal National Mortgage Association, Pool # FS1205, 3.50%, due 04/01/52
|
686,731
|
1,350,266
|
|
Federal National Mortgage Association, Pool # FS1228, 3.00%, due 03/01/52
|
1,204,050
|
553,992
|
|
Federal National Mortgage Association, Pool # FS1285, 3.50%, due 02/01/52
|
516,494
|
412,718
|
|
Federal National Mortgage Association, Pool # FS1427, 3.00%, due 02/01/50
|
370,538
|
1,305,516
|
|
Federal National Mortgage Association, Pool # FS1590, 2.50%, due 04/01/52
|
1,118,345
|
336,518
|
|
Federal National Mortgage Association, Pool # FS1602, 4.00%, due 07/01/49
|
324,727
|
525,623
|
|
Federal National Mortgage Association, Pool # FS1624, 2.50%, due 10/01/51
|
452,370
|
223,594
|
|
Federal National Mortgage Association, Pool # FS1637, 4.00%, due 04/01/52
|
212,732
|
2,858,412
|
|
Federal National Mortgage Association, Pool # FS1938, 2.50%, due 02/01/52
|
2,450,623
|
1,344,498
|
|
Federal National Mortgage Association, Pool # FS1976, 4.00%, due 08/01/51
|
1,293,804
|
2,449,722
|
|
Federal National Mortgage Association, Pool # FS2167, 4.50%, due 06/01/52
|
2,387,955
|
2,491,455
|
|
Federal National Mortgage Association, Pool # FS2238, 4.00%, due 03/01/51
|
2,395,613
|
75,498
|
|
Federal National Mortgage Association, Pool # FS2354, 4.00%, due 06/01/52
|
72,352
|
282,030
|
|
Federal National Mortgage Association, Pool # FS2415, 4.50%, due 08/01/52
|
275,683
|
4,214,619
|
|
Federal National Mortgage Association, Pool # FS2616, 5.00%, due 08/01/52
|
4,223,144
|
1,678,783
|
|
Federal National Mortgage Association, Pool # FS2896, 4.50%, due 09/01/52
|
1,642,723
|
1,157,295
|
|
Federal National Mortgage Association, Pool # FS2920, 3.00%, due 07/01/36
|
1,094,213
|
509,721
|
|
Federal National Mortgage Association, Pool # FS2969, 4.50%, due 10/01/52
|
498,772
|
168,443
|
|
Federal National Mortgage Association, Pool # FS3045, 5.00%, due 10/01/52
|
168,076
|
651,044
|
|
Federal National Mortgage Association, Pool # FS3139, 4.50%, due 10/01/52
|
634,552
|
669,691
|
|
Federal National Mortgage Association, Pool # FS3158, 4.50%, due 11/01/52
|
653,344
|
2,067,476
|
|
Federal National Mortgage Association, Pool # FS3175, 4.50%, due 11/01/52
|
2,020,809
|
559,369
|
|
Federal National Mortgage Association, Pool # FS3276, 4.50%, due 12/01/37
|
556,563
|
366,273
|
|
Federal National Mortgage Association, Pool # FS3310, 4.50%, due 11/01/37
|
364,557
|
1,788,930
|
|
Federal National Mortgage Association, Pool # FS3359, 5.50%, due 12/01/52
|
1,819,024
|
678,035
|
|
Federal National Mortgage Association, Pool # FS3405, 5.50%, due 12/01/52
|
692,204
|
564
|
|
Federal National Mortgage Association, Pool # FS3407, 5.50%, due 12/01/52
|
570
|
2,091
|
|
Federal National Mortgage Association, Pool # FS3409, 5.50%, due 12/01/52
|
2,106
|
964,993
|
|
Federal National Mortgage Association, Pool # FS3417, 5.00%, due 12/01/52
|
962,833
|
224,315
|
|
Federal National Mortgage Association, Pool # FS3433, 5.50%, due 12/01/52
|
227,673
|
8,951
|
|
Federal National Mortgage Association, Pool # FS3434, 5.50%, due 12/01/52
|
9,038
|
1,830,236
|
|
Federal National Mortgage Association, Pool # FS3560, 4.50%, due 04/01/53
|
1,785,511
|
4,000,954
|
|
Federal National Mortgage Association, Pool # FS3669, 4.00%, due 03/01/46
|
3,908,308
|
1,306,804
|
|
Federal National Mortgage Association, Pool # FS3811, 4.50%, due 12/01/52
|
1,273,665
|
2,269,976
|
|
Federal National Mortgage Association, Pool # FS4223, 4.50%, due 05/01/47
|
2,267,515
|
19,310
|
|
Federal National Mortgage Association, Pool # FS4300, 5.50%, due 04/01/53
|
19,452
|
1,225,972
|
|
Federal National Mortgage Association, Pool # FS4312, 4.50%, due 03/01/53
|
1,194,845
|
1,541,253
|
|
Federal National Mortgage Association, Pool # FS4758, 2.50%, due 01/01/36
|
1,433,347
|
403,297
|
|
Federal National Mortgage Association, Pool # FS5263, 4.50%, due 05/01/53
|
394,169
|
1,359,741
|
|
Federal National Mortgage Association, Pool # FS5373, 2.00%, due 04/01/37
|
1,229,362
|
2,542,880
|
|
Federal National Mortgage Association, Pool # FS5397, 5.00%, due 07/01/53
|
2,536,478
|
2,943,884
|
|
Federal National Mortgage Association, Pool # FS5625, 5.00%, due 08/01/53
|
2,943,532
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
71,760
|
|
Federal National Mortgage Association, Pool # MA2516, 3.00%, due 01/01/46
|
65,583
|
103,954
|
|
Federal National Mortgage Association, Pool # MA2781, 2.50%, due 10/01/46
|
90,621
|
17,514
|
|
Federal National Mortgage Association, Pool # MA2835, 4.00%, due 12/01/46
|
16,913
|
2,500,029
|
|
Federal National Mortgage Association, Pool # MA2863, 3.00%, due 01/01/47
|
2,271,956
|
1,707,404
|
|
Federal National Mortgage Association, Pool # MA2868, 2.50%, due 01/01/32
|
1,610,565
|
307,741
|
|
Federal National Mortgage Association, Pool # MA3058, 4.00%, due 07/01/47
|
297,149
|
367,515
|
|
Federal National Mortgage Association, Pool # MA3076, 2.50%, due 07/01/32
|
345,998
|
85,450
|
|
Federal National Mortgage Association, Pool # MA3087, 3.50%, due 08/01/47
|
79,829
|
395,936
|
|
Federal National Mortgage Association, Pool # MA3114, 2.50%, due 08/01/32
|
372,761
|
386,471
|
|
Federal National Mortgage Association, Pool # MA3124, 2.50%, due 09/01/32
|
363,378
|
78,205
|
|
Federal National Mortgage Association, Pool # MA3155, 3.00%, due 10/01/32
|
74,788
|
3,260,715
|
|
Federal National Mortgage Association, Pool # MA3182, 3.50%, due 11/01/47
|
3,048,149
|
137,397
|
|
Federal National Mortgage Association, Pool # MA3211, 4.00%, due 12/01/47
|
132,894
|
97,851
|
|
Federal National Mortgage Association, Pool # MA3238, 3.50%, due 01/01/48
|
91,472
|
248,694
|
|
Federal National Mortgage Association, Pool # MA3332, 3.50%, due 04/01/48
|
232,480
|
80,835
|
|
Federal National Mortgage Association, Pool # MA3364, 3.50%, due 05/01/33
|
79,457
|
54,316
|
|
Federal National Mortgage Association, Pool # MA3385, 4.50%, due 06/01/48
|
53,645
|
233,622
|
|
Federal National Mortgage Association, Pool # MA3414, 3.50%, due 07/01/48
|
218,341
|
74,213
|
|
Federal National Mortgage Association, Pool # MA3442, 3.50%, due 08/01/48
|
69,343
|
59,979
|
|
Federal National Mortgage Association, Pool # MA3521, 4.00%, due 11/01/48
|
57,475
|
605,044
|
|
Federal National Mortgage Association, Pool # MA3871, 3.00%, due 12/01/49
|
542,833
|
3,893,460
|
|
Federal National Mortgage Association, Pool # MA3937, 3.00%, due 02/01/50
|
3,490,716
|
124,524
|
|
Federal National Mortgage Association, Pool # MA3960, 3.00%, due 03/01/50
|
111,457
|
351,607
|
|
Federal National Mortgage Association, Pool # MA4014, 3.00%, due 05/01/35
|
332,455
|
706,993
|
|
Federal National Mortgage Association, Pool # MA4018, 2.00%, due 05/01/50
|
583,072
|
450,564
|
|
Federal National Mortgage Association, Pool # MA4048, 3.00%, due 06/01/50
|
403,220
|
123,385
|
|
Federal National Mortgage Association, Pool # MA4120, 2.50%, due 09/01/50
|
105,871
|
1,629,820
|
|
Federal National Mortgage Association, Pool # MA4158, 2.00%, due 10/01/50
|
1,342,044
|
407,538
|
|
Federal National Mortgage Association, Pool # MA4181, 1.50%, due 11/01/50
|
319,095
|
323,137
|
|
Federal National Mortgage Association, Pool # MA4204, 2.00%, due 12/01/40
|
278,453
|
2,643,880
|
|
Federal National Mortgage Association, Pool # MA4208, 2.00%, due 12/01/50
|
2,177,778
|
3,463,225
|
|
Federal National Mortgage Association, Pool # MA4209, 1.50%, due 12/01/50
|
2,705,202
|
494,288
|
|
Federal National Mortgage Association, Pool # MA4232, 2.00%, due 01/01/41
|
425,935
|
488,638
|
|
Federal National Mortgage Association, Pool # MA4236, 1.50%, due 01/01/51
|
382,592
|
1,760,394
|
|
Federal National Mortgage Association, Pool # MA4237, 2.00%, due 01/01/51
|
1,448,650
|
969,977
|
|
Federal National Mortgage Association, Pool # MA4254, 1.50%, due 02/01/51
|
759,216
|
1,976,494
|
|
Federal National Mortgage Association, Pool # MA4255, 2.00%, due 02/01/51
|
1,624,947
|
504,725
|
|
Federal National Mortgage Association, Pool # MA4268, 2.00%, due 02/01/41
|
434,926
|
100,255
|
|
Federal National Mortgage Association, Pool # MA4281, 2.00%, due 03/01/51
|
82,397
|
3,175,145
|
|
Federal National Mortgage Association, Pool # MA4305, 2.00%, due 04/01/51
|
2,609,573
|
11,300,781
|
|
Federal National Mortgage Association, Pool # MA4325, 2.00%, due 05/01/51
|
9,278,499
|
1,494,694
|
|
Federal National Mortgage Association, Pool # MA4326, 2.50%, due 05/01/51
|
1,276,884
|
428,250
|
|
Federal National Mortgage Association, Pool # MA4328, 1.50%, due 05/01/36
|
373,410
|
906,627
|
|
Federal National Mortgage Association, Pool # MA4329, 2.00%, due 05/01/36
|
819,149
|
280,023
|
|
Federal National Mortgage Association, Pool # MA4333, 2.00%, due 05/01/41
|
240,260
|
319,366
|
|
Federal National Mortgage Association, Pool # MA4356, 2.50%, due 06/01/51
|
272,300
|
448,972
|
|
Federal National Mortgage Association, Pool # MA4359, 1.50%, due 06/01/36
|
392,405
|
1,191,018
|
|
Federal National Mortgage Association, Pool # MA4361, 2.50%, due 06/01/36
|
1,098,040
|
2,909,042
|
|
Federal National Mortgage Association, Pool # MA4378, 2.00%, due 07/01/51
|
2,386,636
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
411,112
|
|
Federal National Mortgage Association, Pool # MA4380, 3.00%, due 07/01/51
|
365,569
|
1,638,669
|
|
Federal National Mortgage Association, Pool # MA4382, 1.50%, due 07/01/36
|
1,431,222
|
165,281
|
|
Federal National Mortgage Association, Pool # MA4398, 2.00%, due 08/01/51
|
135,566
|
447,217
|
|
Federal National Mortgage Association, Pool # MA4399, 2.50%, due 08/01/51
|
381,699
|
369,519
|
|
Federal National Mortgage Association, Pool # MA4414, 2.50%, due 09/01/51
|
315,288
|
806,772
|
|
Federal National Mortgage Association, Pool # MA4418, 2.00%, due 09/01/36
|
729,172
|
3,548,218
|
|
Federal National Mortgage Association, Pool # MA4437, 2.00%, due 10/01/51
|
2,908,090
|
1,817,430
|
|
Federal National Mortgage Association, Pool # MA4493, 2.50%, due 12/01/51
|
1,549,246
|
2,874,755
|
|
Federal National Mortgage Association, Pool # MA4497, 2.00%, due 12/01/36
|
2,582,234
|
453,806
|
|
Federal National Mortgage Association, Pool # MA4512, 2.50%, due 01/01/52
|
386,571
|
921,662
|
|
Federal National Mortgage Association, Pool # MA4536, 2.00%, due 02/01/37
|
827,873
|
984,193
|
|
Federal National Mortgage Association, Pool # MA4549, 3.00%, due 02/01/52
|
872,320
|
583,967
|
|
Federal National Mortgage Association, Pool # MA4579, 3.00%, due 04/01/52
|
517,584
|
469,687
|
|
Federal National Mortgage Association, Pool # MA4600, 3.50%, due 05/01/52
|
431,699
|
1,267,585
|
|
Federal National Mortgage Association, Pool # MA4644, 4.00%, due 05/01/52
|
1,201,094
|
972,137
|
|
Federal National Mortgage Association, Pool # MA4656, 4.50%, due 07/01/52
|
944,045
|
928,450
|
|
Federal National Mortgage Association, Pool # MA4686, 5.00%, due 06/01/52
|
921,095
|
1,086,249
|
|
Federal National Mortgage Association, Pool # MA4761, 5.00%, due 09/01/52
|
1,076,643
|
1,492,616
|
|
Federal National Mortgage Association, Pool # MA4894, 6.00%, due 01/01/53
|
1,518,045
|
447,545
|
|
Federal National Mortgage Association REMICS, Series 2011-59, Class NZ, 5.50%, due
07/25/41
|
462,583
|
2,170
|
|
Federal National Mortgage Association REMICS, Series 2012-28, Class B, 6.50%, due
06/25/39
|
2,208
|
4,870
|
|
Federal National Mortgage Association-ACES, Series 2018-M10, Class A1, 3.36%, due
07/25/28(h)
|
4,846
|
116,998
|
|
Government National Mortgage Association, Pool # 004636, 4.50%, due 02/20/40
|
117,214
|
22,162
|
|
Government National Mortgage Association, Pool # 004678, 4.50%, due 04/20/40
|
22,196
|
132,001
|
|
Government National Mortgage Association, Pool # 004833, 4.00%, due 10/20/40
|
129,514
|
122,003
|
|
Government National Mortgage Association, Pool # 004977, 4.00%, due 03/20/41
|
119,705
|
311,781
|
|
Government National Mortgage Association, Pool # 004978, 4.50%, due 03/20/41
|
312,133
|
481,608
|
|
Government National Mortgage Association, Pool # 005055, 4.50%, due 05/20/41
|
482,152
|
248,812
|
|
Government National Mortgage Association, Pool # 734152, 4.00%, due 01/15/41
|
241,752
|
18,506
|
|
Government National Mortgage Association, Pool # 783637, 3.00%, due 06/20/42
|
17,085
|
1,584,851
|
|
Government National Mortgage Association, Pool # 784369, 4.00%, due 08/15/45
|
1,536,561
|
175,429
|
|
Government National Mortgage Association, Pool # 784605, 4.50%, due 01/15/42
|
174,833
|
2,945,397
|
|
Government National Mortgage Association, Pool # 785283, 2.50%, due 01/20/51
|
2,584,442
|
399,420
|
|
Government National Mortgage Association, Pool # 796468, 4.00%, due 09/20/42
|
391,485
|
103,487
|
|
Government National Mortgage Association, Pool # AL8626, 3.00%, due 08/15/45
|
93,081
|
673,322
|
|
Government National Mortgage Association, Pool # AV9421, 3.50%, due 11/20/46
|
636,761
|
379,278
|
|
Government National Mortgage Association, Pool # AY7555, 3.50%, due 04/20/47
|
358,706
|
181,245
|
|
Government National Mortgage Association, Pool # MA0462, 3.50%, due 10/20/42
|
172,271
|
27,099
|
|
Government National Mortgage Association, Pool # MA0624, 3.00%, due 12/20/42
|
25,012
|
121,831
|
|
Government National Mortgage Association, Pool # MA0625, 3.50%, due 12/20/42
|
115,813
|
68,907
|
|
Government National Mortgage Association, Pool # MA0698, 3.00%, due 01/20/43
|
63,598
|
233,685
|
|
Government National Mortgage Association, Pool # MA0851, 3.00%, due 03/20/43
|
215,683
|
187,467
|
|
Government National Mortgage Association, Pool # MA0852, 3.50%, due 03/20/43
|
178,261
|
39,235
|
|
Government National Mortgage Association, Pool # MA1156, 3.00%, due 07/20/43
|
36,213
|
128,011
|
|
Government National Mortgage Association, Pool # MA1376, 4.00%, due 10/20/43
|
125,559
|
56,824
|
|
Government National Mortgage Association, Pool # MA1599, 3.00%, due 01/20/44
|
52,447
|
117,191
|
|
Government National Mortgage Association, Pool # MA2371, 3.50%, due 11/20/44
|
110,864
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
95,142
|
|
Government National Mortgage Association, Pool # MA2372, 4.00%, due 11/20/44
|
92,557
|
85,909
|
|
Government National Mortgage Association, Pool # MA2825, 3.00%, due 05/20/45
|
79,289
|
198,999
|
|
Government National Mortgage Association, Pool # MA3310, 3.50%, due 12/20/45
|
187,855
|
80,349
|
|
Government National Mortgage Association, Pool # MA3377, 4.00%, due 01/20/46
|
78,091
|
118,946
|
|
Government National Mortgage Association, Pool # MA3455, 4.00%, due 02/20/46
|
115,678
|
224,794
|
|
Government National Mortgage Association, Pool # MA3456, 4.50%, due 02/20/46
|
225,324
|
195,270
|
|
Government National Mortgage Association, Pool # MA3596, 3.00%, due 04/20/46
|
179,887
|
373,508
|
|
Government National Mortgage Association, Pool # MA3803, 3.50%, due 07/20/46
|
352,486
|
275,766
|
|
Government National Mortgage Association, Pool # MA3873, 3.00%, due 08/20/46
|
253,774
|
447,189
|
|
Government National Mortgage Association, Pool # MA3936, 3.00%, due 09/20/46
|
411,438
|
128,450
|
|
Government National Mortgage Association, Pool # MA4004, 3.50%, due 10/20/46
|
121,200
|
75,943
|
|
Government National Mortgage Association, Pool # MA4071, 4.50%, due 11/20/46
|
76,020
|
67,644
|
|
Government National Mortgage Association, Pool # MA4125, 2.50%, due 12/20/46
|
59,980
|
106,221
|
|
Government National Mortgage Association, Pool # MA4263, 4.00%, due 02/20/47
|
102,674
|
166,938
|
|
Government National Mortgage Association, Pool # MA4585, 3.00%, due 07/20/47
|
153,791
|
156,592
|
|
Government National Mortgage Association, Pool # MA4586, 3.50%, due 07/20/47
|
147,756
|
397,968
|
|
Government National Mortgage Association, Pool # MA4720, 4.00%, due 09/20/47
|
384,607
|
114,229
|
|
Government National Mortgage Association, Pool # MA4838, 4.00%, due 11/20/47
|
110,384
|
458,597
|
|
Government National Mortgage Association, Pool # MA5019, 3.50%, due 02/20/48
|
432,189
|
55,209
|
|
Government National Mortgage Association, Pool # MA5021, 4.50%, due 02/20/48
|
54,693
|
18,898
|
|
Government National Mortgage Association, Pool # MA5079, 4.50%, due 03/20/48
|
18,725
|
224,640
|
|
Government National Mortgage Association, Pool # MA5264, 4.00%, due 06/20/48
|
216,279
|
128,811
|
|
Government National Mortgage Association, Pool # MA5397, 3.50%, due 08/20/48
|
121,386
|
130,053
|
|
Government National Mortgage Association, Pool # MA5466, 4.00%, due 09/20/48
|
125,153
|
106,036
|
|
Government National Mortgage Association, Pool # MA5467, 4.50%, due 09/20/48
|
104,876
|
45,700
|
|
Government National Mortgage Association, Pool # MA5530, 5.00%, due 10/20/48
|
46,072
|
77,008
|
|
Government National Mortgage Association, Pool # MA5762, 3.50%, due 02/20/49
|
72,378
|
72,355
|
|
Government National Mortgage Association, Pool # MA5817, 4.00%, due 03/20/49
|
69,831
|
258,435
|
|
Government National Mortgage Association, Pool # MA5874, 3.00%, due 04/20/49
|
237,013
|
499,765
|
|
Government National Mortgage Association, Pool # MA6038, 3.00%, due 07/20/49
|
457,123
|
462,928
|
|
Government National Mortgage Association, Pool # MA6090, 3.50%, due 08/20/49
|
435,942
|
180,363
|
|
Government National Mortgage Association, Pool # MA6338, 3.00%, due 12/20/49
|
164,802
|
418,005
|
|
Government National Mortgage Association, Pool # MA6409, 3.00%, due 01/20/50
|
381,901
|
53,054
|
|
Government National Mortgage Association, Pool # MA6865, 2.50%, due 09/20/50
|
46,597
|
243,443
|
|
Government National Mortgage Association, Pool # MA6931, 2.50%, due 10/20/50
|
213,661
|
185,299
|
|
Government National Mortgage Association, Pool # MA6995, 2.50%, due 11/20/50
|
162,628
|
357,658
|
|
Government National Mortgage Association, Pool # MA7254, 2.00%, due 03/20/51
|
303,388
|
1,953,377
|
|
Government National Mortgage Association, Pool # MA7312, 2.50%, due 04/20/51
|
1,712,594
|
364,094
|
|
Government National Mortgage Association, Pool # MA7367, 2.50%, due 05/20/51
|
319,192
|
436,397
|
|
Government National Mortgage Association, Pool # MA7471, 2.00%, due 07/20/51
|
370,171
|
3,589,222
|
|
Government National Mortgage Association, Pool # MA7534, 2.50%, due 08/20/51
|
3,143,719
|
584,480
|
|
Government National Mortgage Association, Pool # MA7588, 2.00%, due 09/20/51
|
495,780
|
1,832,024
|
|
Government National Mortgage Association, Pool # MA7589, 2.50%, due 09/20/51
|
1,604,683
|
1,817,999
|
|
Government National Mortgage Association, Pool # MA7650, 3.00%, due 10/20/51
|
1,649,285
|
417,517
|
|
Government National Mortgage Association, Pool # MA7706, 3.00%, due 11/20/51
|
378,751
|
1,857,809
|
|
Government National Mortgage Association, Pool # MA8150, 4.00%, due 07/20/52
|
1,774,520
|
3,268,742
|
|
Government National Mortgage Association, Pool # MA8642, 2.50%, due 02/20/53
|
2,865,028
|
500,000
|
|
Government National Mortgage Association, TBA, 6.50%, due 01/20/54
|
511,918
|
6,290,000
|
|
Uniform Mortgage-Backed Security, TBA, 4.00%, due 01/01/54
|
5,957,564
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
1,000,000
|
|
Uniform Mortgage-Backed Security, TBA, 5.00%, due 01/01/54
|
990,547
|
2,000,000
|
|
Uniform Mortgage-Backed Security, TBA, 6.00%, due 01/01/54
|
2,032,500
|
|
|
|
466,603,223
|
|
|
Municipal Obligations — 0.9%
|
|
60,000
|
|
Alabama Economic Settlement Authority, 4.26%, due 09/15/32
|
57,640
|
355,000
|
|
Bay Area Toll Authority, 6.26%, due 04/01/49
|
413,721
|
1,525,000
|
|
California Health Facilities Financing Authority, 4.19%, due 06/01/37
|
1,413,178
|
1,300,000
|
|
Dallas Fort Worth International Airport, 1.93%, due 11/01/28
|
1,160,491
|
90,000
|
|
District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(f)
|
89,816
|
337,000
|
|
Golden State Tobacco Securitization Corp., 4.21%, due 06/01/50
|
254,563
|
1,280,365
|
|
Louisiana Local Government Environmental Facilities & Community Development
Authority, 3.62%, due 02/01/29
|
1,252,096
|
456,000
|
|
Michigan State University, 4.17%, due 08/15/22(f)
|
370,512
|
347,000
|
|
Municipal Electric Authority of Georgia, 6.64%, due 04/01/57
|
396,908
|
930,000
|
|
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.77%, due
08/01/36
|
964,875
|
1,350,000
|
|
New York State Urban Development Corp., 5.77%, due 03/15/39
|
1,391,214
|
330,000
|
|
State Board of Administration Finance Corp., 1.71%, due 07/01/27
|
298,984
|
885,000
|
|
State of California, 7.50%, due 04/01/34
|
1,075,558
|
655,000
|
|
State of California, 7.55%, due 04/01/39
|
828,624
|
935,000
|
|
State of Connecticut, 3.98%, due 06/15/29
|
918,060
|
1,785,000
|
|
State of Connecticut, 4.51%, due 05/15/28
|
1,801,605
|
1,690,000
|
|
University of Michigan, 4.45%, due 04/01/22(f)
|
1,520,791
|
595,000
|
|
University of Virginia, 2.58%, due 11/01/51
|
407,593
|
185,000
|
|
University of Virginia, 4.18%, due 09/01/17(f)
|
158,262
|
|
|
|
14,774,491
|
|
|
Sovereign Debt Obligations — 0.2%
|
|
200,000
|
|
Bermuda Government International Bonds, 2.38%, due 08/20/30 144A
|
172,178
|
215,000
|
|
Export-Import Bank of India, 3.88%, due 02/01/28 144A
|
206,774
|
450,000
|
|
Indonesia Government International Bonds, 3.50%, due 01/11/28
|
432,147
|
200,000
|
|
Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A
|
195,199
|
200,000
|
|
Korea National Oil Corp., 4.75%, due 04/03/26 144A
|
199,069
|
205,000
|
|
Korea National Oil Corp., 4.88%, due 04/03/28 144A
|
206,244
|
290,000
|
|
Mexico Government International Bonds, 3.50%, due 02/12/34
|
246,071
|
45,000
|
|
Peru Government International Bonds, 2.78%, due 01/23/31
|
39,295
|
340,000
|
|
Province of Alberta, 1.30%, due 07/22/30
|
283,746
|
210,000
|
|
Province of Alberta, 3.30%, due 03/15/28
|
202,997
|
100,000
|
|
Province of Manitoba, 2.13%, due 06/22/26
|
94,927
|
220,000
|
|
Province of Quebec, 2.75%, due 04/12/27
|
210,375
|
314,000
|
EUR
|
Saudi Government International Bonds, 0.75%, due 07/09/27 144A
|
319,187
|
|
|
|
2,808,209
|
|
|
U.S. Government and Agency Obligations — 18.7%
|
|
75,000
|
|
Federal National Mortgage Association, 0.88%, due 08/05/30
|
61,258
|
210,000
|
|
Federal National Mortgage Association, 2.50%, due 02/05/24
|
209,445
|
310,000
|
|
Federal National Mortgage Association, 4.36%, due 03/17/31(i)
|
227,843
|
545,000
|
|
Federal National Mortgage Association, 6.63%, due 11/15/30
|
628,561
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
U.S. Government and Agency Obligations — continued
|
|
210,000
|
|
Tennessee Valley Authority, 1.50%, due 09/15/31
|
174,450
|
60,000
|
|
Tennessee Valley Authority, 7.13%, due 05/01/30
|
70,188
|
2,680,000
|
|
U.S. Treasury Bonds, 1.25%, due 05/15/50
|
1,453,167
|
5,545,000
|
|
U.S. Treasury Bonds, 1.75%, due 08/15/41
|
3,873,594
|
3,390,000
|
|
U.S. Treasury Bonds, 1.88%, due 02/15/41
|
2,448,017
|
1,825,000
|
|
U.S. Treasury Bonds, 2.00%, due 11/15/41
|
1,326,083
|
6,267,000
|
|
U.S. Treasury Bonds, 2.00%, due 08/15/51
|
4,115,534
|
9,325,000
|
|
U.S. Treasury Bonds, 2.25%, due 05/15/41(j)
|
7,133,443
|
9,069,000
|
|
U.S. Treasury Bonds, 2.25%, due 02/15/52
|
6,321,376
|
18,970,000
|
|
U.S. Treasury Bonds, 2.38%, due 02/15/42
|
14,619,127
|
70,000
|
|
U.S. Treasury Bonds, 2.50%, due 02/15/45
|
53,246
|
9,920,000
|
|
U.S. Treasury Bonds, 3.00%, due 02/15/49
|
8,112,313
|
18,134,000
|
|
U.S. Treasury Bonds, 3.00%, due 08/15/52
|
14,906,715
|
28,489,000
|
|
U.S. Treasury Bonds, 3.38%, due 08/15/42
|
25,507,114
|
26,939,000
|
|
U.S. Treasury Bonds, 3.38%, due 11/15/48
|
23,585,831
|
9,530,000
|
|
U.S. Treasury Bonds, 3.63%, due 05/15/53
|
8,855,455
|
8,559,000
|
|
U.S. Treasury Bonds, 3.88%, due 05/15/43
|
8,192,568
|
19,571,000
|
|
U.S. Treasury Bonds, 4.00%, due 11/15/42
|
19,093,575
|
6,135,000
|
|
U.S. Treasury Bonds, 4.00%, due 11/15/52
|
6,082,517
|
19,293,000
|
|
U.S. Treasury Bonds, 4.13%, due 08/15/53
|
19,598,975
|
5,640,000
|
|
U.S. Treasury Bonds, 4.38%, due 08/15/43
|
5,779,678
|
19,940,000
|
|
U.S. Treasury Bonds, 4.75%, due 11/15/43(k)
|
21,469,772
|
2,463,472
|
|
U.S. Treasury Inflation-Indexed Notes, 0.13%, due 01/15/30
|
2,238,330
|
11,129,000
|
|
U.S. Treasury Notes, 2.75%, due 08/15/32
|
10,213,031
|
8,483,000
|
|
U.S. Treasury Notes, 3.38%, due 05/15/33
|
8,159,586
|
4,403,000
|
|
U.S. Treasury Notes, 3.50%, due 01/31/28
|
4,337,471
|
1,607,000
|
|
U.S. Treasury Notes, 3.63%, due 05/15/26
|
1,589,047
|
18,609,000
|
|
U.S. Treasury Notes, 3.63%, due 05/31/28
|
18,430,543
|
2,000,000
|
|
U.S. Treasury Notes, 3.88%, due 04/30/25
|
1,982,500
|
6,742,000
|
|
U.S. Treasury Notes, 3.88%, due 08/15/33
|
6,748,321
|
3,062,000
|
|
U.S. Treasury Notes, 4.38%, due 08/31/28
|
3,130,656
|
6,219,000
|
|
U.S. Treasury Notes, 4.38%, due 11/30/28
|
6,370,831
|
16,868,000
|
|
U.S. Treasury Notes, 4.38%, due 11/30/30
|
17,374,040
|
10,582,000
|
|
U.S. Treasury Notes, 4.50%, due 11/15/33
|
11,133,421
|
5,929,000
|
|
U.S. Treasury STRIPS Coupon, 0.97%, due 08/15/30(i)
|
4,584,326
|
2,310,000
|
|
U.S. Treasury STRIPS Coupon, 1.74%, due 02/15/40(i)
|
1,168,051
|
1,750,000
|
|
U.S. Treasury STRIPS Coupon, 2.26%, due 11/15/42(i)
|
766,661
|
3,430,000
|
|
U.S. Treasury STRIPS Coupon, 2.50%, due 11/15/40(i)
|
1,663,526
|
4,925,000
|
|
U.S. Treasury STRIPS Coupon, 2.50%, due 02/15/43(i)
|
2,131,111
|
2,395,000
|
|
U.S. Treasury STRIPS Coupon, 2.66%, due 08/15/44(i)(l)
|
971,610
|
7,215,000
|
|
U.S. Treasury STRIPS Coupon, 2.74%, due 11/15/41(i)
|
3,322,250
|
1,975,000
|
|
U.S. Treasury STRIPS Coupon, 3.01%, due 05/15/42(i)
|
886,372
|
166,000
|
|
U.S. Treasury STRIPS Coupon, 3.15%, due 11/15/43(i)
|
69,575
|
910,000
|
|
U.S. Treasury STRIPS Coupon, 3.81%, due 02/15/39(i)
|
484,687
|
1,830,000
|
|
U.S. Treasury STRIPS Coupon, 4.13%, due 02/15/41(i)
|
877,412
|
350,000
|
|
U.S. Treasury STRIPS Coupon, 4.75%, due 08/15/40(i)
|
172,071
|
375,000
|
|
U.S. Treasury STRIPS Coupon, 4.99%, due 02/15/49(i)
|
128,356
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
U.S. Government and Agency Obligations — continued
|
|
190,000
|
|
U.S. Treasury STRIPS Coupon, 5.44%, due 05/15/40(i)
|
94,863
|
|
|
|
312,928,493
|
|
|
TOTAL DEBT OBLIGATIONS (COST $1,741,482,670)
|
1,665,271,782
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCK — 0.0%
|
|
|
|
Industrial — 0.0%
|
|
924
|
|
Altera Infrastructure LP/Teekay Offshore Finance Corp.*(m)(n)
|
26,796
|
|
|
TOTAL COMMON STOCK (COST $234,312)
|
26,796
|
Par Value
|
|
Description
|
Value ($)
|
|
|
SHORT-TERM INVESTMENTS — 1.2%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 1.0%
|
|
16,222,650
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(o)(p)
|
16,222,650
|
|
|
U.S. Government and Agency Obligation — 0.2%
|
|
3,375,000
|
|
U.S. Treasury Bills, 5.24%, due 02/15/24(i)(k)
|
3,353,401
|
|
|
TOTAL SHORT-TERM INVESTMENTS (COST $19,576,066)
|
19,576,051
|
|
|
TOTAL INVESTMENTS BEFORE TBA SALE
COMMITMENTS — 100.7%
(Cost $1,761,293,048)
|
1,684,874,629
|
|
|
TBA SALE COMMITMENTS — (0.2)%
|
|
(2,500,000)
|
|
Uniform Mortgage-Backed Security, TBA, 2.00%, due 01/01/54
|
(2,044,531)
|
(1,500,000)
|
|
Uniform Mortgage-Backed Security, TBA, 3.50%, due 01/01/54
|
(1,378,008)
|
|
|
TOTAL TBA SALE COMMITMENTS (PROCEEDS $3,285,273)
|
(3,422,539)
|
|
|
TOTAL INVESTMENTS NET OF TBA SALE
COMMITMENTS — 100.5%
(Cost $1,758,007,775)
|
1,681,452,090
|
|
|
Other Assets and Liabilities (net) — (0.5)%
|
(8,863,296)
|
|
|
NET ASSETS — 100.0%
|
$1,672,588,794
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
Unless otherwise indicated, all par values are denominated in United States dollars ($).
|
(b)
|
Variable or floating rate note. Rate shown is as of December 31, 2023.
|
(c)
|
Step coupon security that pays an initial coupon rate for the first period and then a lower/higher
coupon rate for the following periods. Rate shown is current coupon rate.
|
(d)
|
All or a portion of this security is out on loan.
|
(e)
|
Security is perpetual and has no stated maturity date.
|
(f)
|
Year of maturity is greater than 2100.
|
(g)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
(h)
|
Variable or floating rate security, which interest rate adjusts periodically based on changes in current
interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as
of period end.
|
(i)
|
Interest rate presented is yield to maturity.
|
(j)
|
All or a portion of this security is pledged for open futures collateral.
|
(k)
|
When-issued security.
|
(l)
|
All or a portion of this security is pledged for open centrally cleared swaps collateral.
|
(m)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
(n)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $26,796 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2023 was $234,312.
|
(o)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(p)
|
Represents an investment of securities lending cash collateral.
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $294,958,956 which represents 17.6% of
net assets.
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
4,836,404
|
EUR
|
4,482,007
|
01/12/24
|
Barclays Bank PLC
|
$(116,361
)
|
USD
|
13,844,953
|
EUR
|
12,643,076
|
01/12/24
|
JPMorgan Chase Bank N.A.
|
(126,062
)
|
|
|
|
|
|
|
$(242,423
)
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
23
|
SOFR 90-Day
|
Mar 2024
|
$5,441,944
|
$1,556
|
308
|
U.S. Treasury Note 10-Year
|
Mar 2024
|
34,770,313
|
688,979
|
194
|
U.S. Treasury Note 2-Year
|
Mar 2024
|
39,947,328
|
403,145
|
153
|
U.S. Treasury Note 5-Year
|
Mar 2024
|
16,642,336
|
189,455
|
10
|
U.S. Ultra 10-Year
|
Mar 2024
|
1,180,156
|
54,398
|
|
|
|
|
$1,337,533
|
Sales
|
|
|
|
|
111
|
U.S. Long Bond
|
Mar 2024
|
$13,868,063
|
$(1,043,531
)
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
20
|
U.S. Ultra Bond
|
Mar 2024
|
$2,671,875
|
$3,094
|
|
|
|
|
$(1,040,437
)
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made
by Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
SOFR
|
Annual
|
4.81%
|
Annual
|
08/31/25
|
$—
|
USD
|
11,925,000
|
$(97,756
)
|
$(97,756
)
|
SOFR
|
Annual
|
4.70%
|
Annual
|
09/25/26
|
154
|
USD
|
830,000
|
(18,552
)
|
(18,706
)
|
4.95%
|
Annual
|
SOFR
|
Annual
|
03/08/25
|
—
|
USD
|
3,816,000
|
13,633
|
13,633
|
5.09%
|
Annual
|
SOFR
|
Annual
|
03/10/25
|
—
|
USD
|
10,650,000
|
55,381
|
55,381
|
5.11%
|
Annual
|
SOFR
|
Annual
|
03/09/25
|
—
|
USD
|
4,664,000
|
25,425
|
25,425
|
5.38%
|
At Maturity
|
SOFR
|
At Maturity
|
08/31/24
|
—
|
USD
|
23,125,000
|
39,092
|
39,092
|
|
|
|
|
|
|
|
|
|
$17,069
|
Currency Abbreviations
|
||
EUR
|
—
|
Euro
|
USD
|
—
|
U.S. Dollar
|
Abbreviations
|
||
ACES
|
—
|
Alternative Credit Enhancement Securities
|
CLO
|
—
|
Collateralized Loan Obligation
|
CMT
|
—
|
Constant Maturity Treasury Index
|
EURIBOR
|
—
|
Euro Interbank Offered Rate
|
LIBOR
|
—
|
London Interbank Offered Rate
|
RFUCC
|
—
|
Refinitiv USD IBOR Consumer Cash Fallbacks
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
STACR
|
—
|
Structured Agency Credit Risk
|
STRIPS
|
—
|
Separate Trading of Registered Interest and Principal of Securities
|
TBA
|
—
|
To Be Announced
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
Debt Obligations
|
99.5
|
Futures Contracts
|
0.0*
|
Equities
|
0.0*
|
Swaps
|
0.0*
|
TBA Sale Commitments
|
(0.2)
|
Forward Foreign Currency Contracts
|
(1.1)
|
Short-Term Investments
|
1.2
|
Other Assets and Liabilities (net)
|
0.6
|
|
100.0
|
*
|
Amount rounds to zero.
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
DEBT OBLIGATIONS — 98.5%
|
|
|
|
Asset Backed Securities — 18.0%
|
|
500,000
|
|
AIMCO CLO, Series 2017-AA, Class AR, 6.73% (3 mo. USD Term SOFR + 1.31%),
due 04/20/34(b)
|
499,610
|
250,000
|
|
AIMCO CLO 10 Ltd., Series 2019-10A, Class AR, 6.73% (3 mo. USD Term SOFR +
1.32%), due 07/22/32(b)
|
250,004
|
850,000
|
|
Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.07%, due 04/15/27
|
849,966
|
275,000
|
|
American Express Credit Account Master Trust, Series 2022-1, Class A, 2.21%, due
03/15/27
|
266,123
|
250,000
|
|
American Express Credit Account Master Trust, Series 2023-4, Class A, 5.15%, due
09/15/30
|
257,560
|
210,514
|
|
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A2A, 4.20%, due
12/18/25
|
209,819
|
255,000
|
|
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class B, 1.63%, due
08/20/27 144A
|
230,542
|
1,210,000
|
|
BA Credit Card Trust, Series 2023-A2, Class A2, 4.98%, due 11/15/28
|
1,225,763
|
250,000
|
|
Barclays Dryrock Issuance Trust, Series 2023-2, Class A, 6.23% (SOFR 30-day average
+ 0.90%), due 08/15/28(b)
|
250,569
|
400,000
|
|
Citibank Credit Card Issuance Trust, Series 2023-A1, Class A1, 5.23%, due 12/08/27
|
403,327
|
100,000
|
|
CNH Equipment Trust, Series 2022-B, Class A4, 3.91%, due 03/15/28
|
97,655
|
250,000
|
|
Discover Card Execution Note Trust, Series 2022-A3, Class A3, 3.56%, due 07/15/27
|
245,218
|
250,000
|
|
Elmwood CLO IV Ltd., Series 2020-1A, Class A, 6.90% (3 mo. USD Term SOFR +
1.50%), due 04/15/33(b)
|
250,345
|
291,727
|
|
Enterprise Fleet Financing LLC, Series 2022-4, Class A2, 5.76%, due 10/22/29 144A
|
292,720
|
244,886
|
|
FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A
|
227,141
|
511,930
|
|
Flatiron CLO 18 Ltd., Series 2018-1A, Class A, 6.61% (3 mo. USD Term SOFR +
1.21%), due 04/17/31(b)
|
512,296
|
200,000
|
|
Ford Credit Auto Lease Trust, Series 2023-A, Class C, 5.54%, due 12/15/26
|
198,825
|
250,000
|
|
Ford Credit Auto Owner Trust, Series 2023-A, Class B, 5.07%, due 01/15/29
|
249,102
|
250,000
|
|
GM Financial Automobile Leasing Trust, Series 2022-1, Class C, 2.64%, due 02/20/26
|
245,515
|
250,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A4, 0.73%,
due 08/16/27
|
233,734
|
275,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2023-2, Class C, 5.21%,
due 12/18/28
|
275,080
|
172,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.78%,
due 08/16/28
|
176,531
|
252,225
|
|
Honda Auto Receivables Owner Trust, Series 2023-1, Class A2, 5.22%, due 10/21/25
|
251,839
|
100,000
|
|
HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, due 05/21/29 144A
|
97,731
|
300,000
|
|
HPEFS Equipment Trust, Series 2022-2A, Class A3, 3.76%, due 09/20/29 144A
|
296,842
|
350,000
|
|
John Deere Owner Trust, Series 2023-C, Class A4, 5.39%, due 08/15/30
|
358,656
|
170,000
|
|
Kubota Credit Owner Trust, Series 2022-2A, Class A3, 4.09%, due 12/15/26 144A
|
167,251
|
97,207
|
|
Navient Private Education Refi Loan Trust, Series 2020-EA, Class A, 1.69%, due
05/15/69
|
88,151
|
517,688
|
|
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.17%, due
09/16/69
|
463,837
|
250,000
|
|
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class AR, 6.65% (3
mo. USD Term SOFR + 1.25%), due 01/20/32(b)
|
250,117
|
300,000
|
|
Oaktree CLO Ltd., Series 2022-2A, Class A1R, 1.00% (3 mo. USD Term SOFR +
1.55%), due 07/15/33(b)(c)
|
300,225
|
250,000
|
|
Octagon Loan Funding Ltd., Series 2014-1A, Class ARR, 6.81% (3 mo. USD Term
SOFR + 1.44%), due 11/18/31(b)
|
250,332
|
250,000
|
|
Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 7.08% (3 mo. USD Term
SOFR + 1.66%), due 07/20/29(b)
|
249,999
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
220,000
|
|
PFS Financing Corp., Series 2023-C, Class A, 5.52%, due 10/15/28 144A
|
222,827
|
250,000
|
|
Porsche Financial Auto Securitization Trust, Series 2023-2A, Class A3, 5.79%, due
01/22/29 144A
|
255,621
|
187,592
|
|
Santander Drive Auto Receivables Trust, Series 2022-6, Class A3, 4.49%, due 11/16/26
|
186,774
|
200,000
|
|
Santander Drive Auto Receivables Trust, Series 2023-6, Class A2, 6.08%, due 05/17/27
|
200,728
|
250,000
|
|
Synchrony Card Funding LLC, Series 2023-A2, Class A, 5.74%, due 10/15/29
|
256,685
|
250,000
|
|
Tesla Electric Vehicle Trust, Series 2023-1, Class A2A, 5.54%, due 12/21/26
|
250,804
|
250,000
|
|
Tesla Electric Vehicle Trust, Series 2023-1, Class A3, 5.38%, due 06/20/28
|
252,516
|
200,000
|
|
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, due 05/25/33
144A
|
189,934
|
300,000
|
|
Toyota Lease Owner Trust, Series 2023-A, Class A4, 5.05%, due 08/20/27 144A
|
299,821
|
150,000
|
|
Verizon Master Trust, Series 2021-1, Class C, 0.89%, due 05/20/27
|
146,894
|
250,000
|
|
Verizon Master Trust, Series 2022-6, Class A, 3.67%, due 01/22/29
|
245,309
|
300,000
|
|
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A3, 5.02%, due 06/20/28
|
301,884
|
|
|
|
13,032,222
|
|
|
Bank Loans — 5.1%
|
|
199,490
|
|
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B TBD, due
05/12/28(d)
|
198,648
|
100,000
|
|
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan TBD, due 09/18/26(d)
|
100,589
|
200,000
|
|
AssuredPartners, Inc., 2020 Term Loan B TBD, due 02/12/27(d)
|
200,646
|
100,000
|
|
Carnival Corp., 2021 Incremental Term Loan B TBD, due 10/18/28(d)
|
100,375
|
100,000
|
|
CoreLogic, Inc., Term Loan TBD, due 06/02/28(d)
|
97,625
|
150,000
|
|
Crosby U.S. Acquisition Corp. TBD, due 06/26/26(d)
|
150,398
|
100,000
|
|
Deerfield Dakota Holding LLC, 2020 USD Term Loan B TBD, due 04/09/27(d)
|
99,375
|
100,000
|
|
Epicor Software Corp. TBD, due 07/30/27(d)
|
100,483
|
150,000
|
|
GTCR W Merger Sub LLC, USD Term Loan B TBD, due 09/20/30(d)
|
150,620
|
100,000
|
|
Heartland Dental LLC TBD, due 04/28/28(d)
|
99,875
|
100,000
|
|
Hilton Domestic Operating Co., Inc. TBD, due 06/21/28(d)
|
100,268
|
150,000
|
|
Medline Borrower LP, USD Term Loan B TBD, due 10/23/28(d)
|
150,759
|
100,000
|
|
Mileage Plus Holdings LLC TBD, due 06/21/27(d)
|
103,583
|
150,000
|
|
NFP Corp. TBD, due 02/16/27(d)
|
150,984
|
99,743
|
|
Pathway Vet Alliance LLC, 9.22% (1 mo. USD Term SOFR + 3.75%), due 03/31/27(b)
|
88,117
|
99,745
|
|
Polaris Newco LLC TBD, due 06/02/28(d)
|
98,529
|
100,000
|
|
Proampac PG Borrower LLC TBD, due 09/15/28(d)
|
100,292
|
100,000
|
|
Roper Industrial Products Investment Co. LLC, USD Term Loan TBD, due 11/22/29(d)
|
100,344
|
199,472
|
|
SBA Senior Finance II LLC TBD, due 04/11/25(d)
|
199,971
|
99,745
|
|
Sophia LP, 8.96% (1 mo. USD Term SOFR + 3.50%), due 10/07/27(b)
|
100,119
|
100,000
|
|
Southwire Co. TBD, due 05/19/25(d)
|
100,152
|
50,000
|
|
SRS Distribution, Inc. TBD, due 06/02/28(d)
|
50,088
|
100,000
|
|
SRS Distribution, Inc. TBD, due 06/02/28(d)
|
100,125
|
199,487
|
|
Sunshine Luxembourg VII SARL TBD, due 10/01/26(d)
|
200,817
|
150,000
|
|
Titan Acquisition Ltd. TBD, due 03/28/25(d)
|
150,040
|
200,000
|
|
TransDigm, Inc. TBD, due 08/24/28(d)
|
201,177
|
200,000
|
|
Ultimate Software Group, Inc., 2021 Term Loan TBD, due 05/04/26(d)
|
200,750
|
100,000
|
|
United Airlines, Inc., 2021 Term Loan B TBD, due 04/21/28(d)
|
100,488
|
100,000
|
|
Verscend Holding Corp., 2021 Term Loan B TBD, due 08/27/25(d)
|
100,266
|
|
|
|
3,695,503
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — 40.0%
|
|
26,000
|
|
7-Eleven, Inc., 0.95%, due 02/10/26
|
24,050
|
49,000
|
|
AEP Texas, Inc., 3.85%, due 10/01/25
|
47,638
|
150,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26
|
139,428
|
100,000
|
|
AES Corp., 3.30%, due 07/15/25
|
96,387
|
28,000
|
|
AES Corp., 5.45%, due 06/01/28
|
28,509
|
28,000
|
|
Aflac, Inc., 1.13%, due 03/15/26
|
25,868
|
200,000
|
|
Air Lease Corp., 3.38%, due 07/01/25
|
193,719
|
48,000
|
|
Alabama Power Co., 3.75%, due 09/01/27
|
47,048
|
19,000
|
|
Albemarle Corp., 4.65%, due 06/01/27
|
18,683
|
48,000
|
|
Ally Financial, Inc., 3.88%, due 05/21/24
|
47,597
|
50,000
|
|
Amazon.com, Inc., 3.00%, due 04/13/25
|
48,973
|
150,000
|
|
Ameren Corp., 5.00%, due 01/15/29
|
150,858
|
123,000
|
|
Ameren Corp., 5.70%, due 12/01/26
|
125,989
|
12,000
|
|
Ameren Illinois Co., 3.80%, due 05/15/28
|
11,699
|
67,450
|
|
American Airlines Pass-Through Trust, 3.20%, due 12/15/29
|
61,548
|
279,000
|
|
American Electric Power Co., Inc., 5.20%, due 01/15/29
|
283,016
|
48,000
|
|
American Express Co., 2.50%, due 07/30/24
|
47,166
|
14,000
|
|
American Express Co., 4.99% (SOFR + 1.00%), due 05/01/26(b)
|
13,967
|
23,000
|
|
American Express Co., 5.39% (SOFR + 0.97%), due 07/28/27(b)
|
23,283
|
13,000
|
|
American Honda Finance Corp., 1.30%, due 09/09/26
|
11,954
|
200,000
|
|
American Honda Finance Corp., 4.75%, due 01/12/26
|
200,683
|
18,000
|
|
American Honda Finance Corp., 5.80%, due 10/03/25
|
18,325
|
200,000
|
|
American Tower Corp., 2.75%, due 01/15/27
|
187,743
|
25,000
|
|
American Tower Corp., 3.65%, due 03/15/27
|
24,076
|
7,000
|
|
American Tower Corp., 5.25%, due 07/15/28
|
7,123
|
17,000
|
|
Ameriprise Financial, Inc., 3.00%, due 04/02/25
|
16,591
|
37,000
|
|
Amgen, Inc., 3.20%, due 11/02/27
|
35,394
|
100,000
|
|
Amgen, Inc., 5.15%, due 03/02/28
|
102,348
|
44,000
|
|
Amgen, Inc., 5.25%, due 03/02/25
|
44,124
|
17,000
|
|
Analog Devices, Inc., 2.95%, due 04/01/25
|
16,648
|
12,000
|
|
Apple, Inc., 1.13%, due 05/11/25
|
11,454
|
31,000
|
|
Apple, Inc., 3.25%, due 02/23/26
|
30,267
|
19,000
|
|
Aquarion Co., 4.00%, due 08/15/24
|
18,801
|
40,000
|
|
Arizona Public Service Co., 3.35%, due 06/15/24
|
39,552
|
38,000
|
|
AT&T, Inc., 1.70%, due 03/25/26
|
35,575
|
29,000
|
|
Avangrid, Inc., 3.20%, due 04/15/25
|
28,197
|
51,000
|
|
Aviation Capital Group LLC, 5.50%, due 12/15/24
|
50,748
|
34,000
|
|
Avnet, Inc., 6.25%, due 03/15/28
|
35,304
|
200,000
|
|
Avolon Holdings Funding Ltd., 2.13%, due 02/21/26
|
185,519
|
27,000
|
|
Avolon Holdings Funding Ltd., 2.53%, due 11/18/27
|
23,965
|
25,000
|
|
Baker Hughes Holdings LLC/Baker Hughes Co.-Obligor, Inc., 2.06%, due 12/15/26
|
23,416
|
100,000
|
|
Ball Corp., 6.88%, due 03/15/28
|
104,026
|
106,000
|
|
Bank of America Corp., 0.98% (SOFR + 0.69%), due 04/22/25(b)
|
104,327
|
313,000
|
|
Bank of America Corp., 1.32% (SOFR + 1.15%), due 06/19/26(b)
|
294,837
|
13,000
|
|
Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(b)
|
12,035
|
65,000
|
|
Bank of America Corp., 1.73% (SOFR + 0.96%), due 07/22/27(b)
|
59,599
|
34,000
|
|
Bank of America Corp., 2.02% (3 mo. USD Term SOFR + 0.90%), due 02/13/26(b)
|
32,680
|
8,000
|
|
Bank of America Corp., 3.42% (3 mo. USD Term SOFR + 1.30%), due 12/20/28(b)
|
7,538
|
7,000
|
|
Bank of America Corp., 3.71% (3 mo. USD Term SOFR + 1.77%), due 04/24/28(b)
|
6,695
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
22,000
|
|
Bank of America Corp., 4.38% (SOFR + 1.58%), due 04/27/28(b)
|
21,525
|
300,000
|
|
Bank of America Corp., 4.83% (SOFR + 1.75%), due 07/22/26(b)
|
297,944
|
24,000
|
|
Bank of America Corp., 5.20% (SOFR + 1.63%), due 04/25/29(b)
|
24,183
|
300,000
|
|
Bank of America Corp., 5.93% (SOFR + 1.34%), due 09/15/27(b)
|
306,369
|
44,000
|
|
Bank of Montreal, 5.30%, due 06/05/26
|
44,470
|
47,000
|
|
Bank of New York Mellon Corp., 3.43% (SOFR + 0.57%), due 06/13/25(b)
|
46,524
|
14,000
|
|
Bank of New York Mellon Corp., 4.41% (SOFR + 1.35%), due 07/24/26(b)
|
13,863
|
19,000
|
|
Bank of New York Mellon Corp., 4.95% (SOFR + 1.03%), due 04/26/27(b)
|
19,018
|
48,000
|
|
Bank of Nova Scotia, 0.70%, due 04/15/24
|
47,357
|
32,000
|
|
Bank of Nova Scotia, 1.45%, due 01/10/25
|
30,793
|
19,000
|
|
Bank of Nova Scotia, 3.45%, due 04/11/25
|
18,607
|
230,000
|
|
Barclays PLC, 6.50% (SOFR + 1.88%), due 09/12/27(b)
|
236,876
|
31,000
|
|
Becton Dickinson & Co., 4.69%, due 02/13/28
|
31,177
|
60,000
|
|
Bell Telephone Co. of Canada or Bell Canada, 0.75%, due 03/17/24
|
59,393
|
19,000
|
|
Berkshire Hathaway, Inc., 3.13%, due 03/15/26
|
18,484
|
30,000
|
|
BHP Billiton Finance USA Ltd., 5.25%, due 09/08/26
|
30,698
|
24,000
|
|
Black Hills Corp., 1.04%, due 08/23/24
|
23,301
|
14,000
|
|
Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28
|
12,204
|
8,000
|
|
Blackstone Holdings Finance Co. LLC, 2.50%, due 01/10/30
|
6,869
|
23,000
|
|
Blackstone Holdings Finance Co. LLC, 5.90%, due 11/03/27
|
23,897
|
36,000
|
|
BMW U.S. Capital LLC, 0.80%, due 04/01/24
|
35,587
|
28,000
|
|
BMW U.S. Capital LLC, 1.25%, due 08/12/26
|
25,686
|
34,000
|
|
BMW U.S. Capital LLC, 3.25%, due 04/01/25
|
33,376
|
26,000
|
|
Boeing Co., 4.88%, due 05/01/25
|
25,894
|
200,000
|
|
Booz Allen Hamilton, Inc., 3.88%, due 09/01/28
|
188,823
|
250,000
|
|
Boston Properties LP, 2.75%, due 10/01/26
|
232,223
|
27,000
|
|
Boston Scientific Corp., 1.90%, due 06/01/25
|
25,854
|
36,000
|
|
Bristol-Myers Squibb Co., 0.75%, due 11/13/25
|
33,617
|
61,576
|
|
British Airways Pass-Through Trust, 3.35%, due 12/15/30
|
55,851
|
143,388
|
|
British Airways Pass-Through Trust, 4.63%, due 12/20/25
|
142,858
|
32,000
|
|
Broadcom, Inc., 3.46%, due 09/15/26
|
30,971
|
35,000
|
|
Brookfield Finance, Inc., 4.00%, due 04/01/24
|
34,843
|
200,000
|
|
Brooklyn Union Gas Co., 4.63%, due 08/05/27
|
195,365
|
40,000
|
|
Bunge Ltd. Finance Corp., 1.63%, due 08/17/25
|
37,831
|
40,000
|
|
Canadian Natural Resources Ltd., 2.05%, due 07/15/25
|
38,137
|
21,000
|
|
Capital One Financial Corp., 1.88% (SOFR + 0.86%), due 11/02/27(b)
|
18,910
|
31,000
|
|
Capital One Financial Corp., 4.17% (SOFR + 1.37%), due 05/09/25(b)
|
30,775
|
24,000
|
|
Capital One Financial Corp., 5.47% (SOFR + 2.08%), due 02/01/29(b)
|
23,958
|
12,000
|
|
Cargill, Inc., 3.50%, due 04/22/25
|
11,804
|
15,000
|
|
Cargill, Inc., 3.63%, due 04/22/27
|
14,613
|
19,000
|
|
Charles Schwab Corp., 5.64% (SOFR + 2.21%), due 05/19/29(b)
|
19,516
|
23,000
|
|
Charles Schwab Corp., 5.88%, due 08/24/26
|
23,603
|
235,000
|
|
Charles Schwab Corp., 6.46% (SOFR + 1.05%), due 03/03/27(b)
|
232,587
|
200,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.75%, due 02/15/28
|
189,029
|
18,000
|
|
Cigna Group, 1.25%, due 03/15/26
|
16,672
|
34,000
|
|
Citigroup, Inc., 0.98% (SOFR + 0.67%), due 05/01/25(b)
|
33,433
|
260,000
|
|
Citigroup, Inc., 1.46% (SOFR + 0.77%), due 06/09/27(b)
|
238,131
|
400,000
|
|
Citigroup, Inc., 5.61% (SOFR + 1.55%), due 09/29/26(b)
|
403,306
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
21,000
|
|
Comcast Corp., 4.55%, due 01/15/29
|
21,126
|
23,000
|
|
Comcast Corp., 5.25%, due 11/07/25
|
23,247
|
7,000
|
|
Concentrix Corp., 6.60%, due 08/02/28
|
7,212
|
23,000
|
|
Consumers Energy Co., 4.90%, due 02/15/29
|
23,449
|
250,000
|
|
Consumers Securitization Funding LLC, 5.55%, due 03/01/28
|
251,203
|
25,000
|
|
Corebridge Financial, Inc., 3.65%, due 04/05/27
|
24,078
|
36,000
|
|
Corebridge Global Funding, 0.90%, due 09/22/25
|
33,444
|
200,000
|
|
Crown Castle, Inc., 5.60%, due 06/01/29
|
204,873
|
19,000
|
|
CSL Finance PLC, 3.85%, due 04/27/27
|
18,519
|
175,000
|
|
CVS Health Corp., 1.30%, due 08/21/27
|
155,638
|
200,000
|
|
Dell International LLC/EMC Corp., 4.90%, due 10/01/26
|
200,456
|
12,308
|
|
Delta Air Lines Pass-Through Trust, 2.50%, due 12/10/29
|
10,873
|
24,000
|
|
Delta Air Lines Pass-Through Trust, 3.40%, due 10/25/25
|
23,693
|
200,000
|
|
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/25
|
197,082
|
17,000
|
|
Discover Financial Services, 3.95%, due 11/06/24
|
16,715
|
31,000
|
|
DTE Energy Co., 4.22%, due 11/01/24(e)
|
30,655
|
137,368
|
|
Duke Energy Florida Project Finance LLC, 2.54%, due 09/01/31
|
128,697
|
200,000
|
|
DuPont de Nemours, Inc., 4.49%, due 11/15/25
|
198,691
|
33,000
|
|
Ecolab, Inc., 1.65%, due 02/01/27
|
30,350
|
27,000
|
|
Ecolab, Inc., 2.70%, due 11/01/26
|
25,872
|
24,000
|
|
EIDP, Inc., 4.50%, due 05/15/26
|
23,930
|
41,000
|
|
Element Fleet Management Corp., 3.85%, due 06/15/25
|
39,882
|
31,000
|
|
Elevance Health, Inc., 3.50%, due 08/15/24
|
30,599
|
200,000
|
|
Enel Finance International NV, 6.80%, due 10/14/25
|
205,175
|
200,000
|
|
Energy Transfer LP, 5.55%, due 02/15/28
|
204,142
|
23,000
|
|
Entergy Corp., 0.90%, due 09/15/25
|
21,395
|
39,000
|
|
Entergy Louisiana LLC, 0.95%, due 10/01/24
|
37,747
|
33,000
|
|
Equinix, Inc., 1.25%, due 07/15/25
|
31,058
|
290,000
|
|
Essex Portfolio LP, 3.63%, due 05/01/27
|
277,293
|
17,000
|
|
Estee Lauder Cos., Inc., 4.38%, due 05/15/28
|
16,972
|
20,000
|
|
Eversource Energy, 2.90%, due 03/01/27
|
18,955
|
31,000
|
|
Eversource Energy, 4.75%, due 05/15/26
|
30,875
|
200,000
|
|
Extra Space Storage LP, 3.88%, due 12/15/27
|
191,265
|
19,000
|
|
Fidelity National Information Services, Inc., 4.70%, due 07/15/27
|
19,022
|
24,000
|
|
Fiserv, Inc., 2.75%, due 07/01/24
|
23,647
|
175,000
|
|
Fiserv, Inc., 3.20%, due 07/01/26
|
168,595
|
130,000
|
|
Fiserv, Inc., 5.45%, due 03/02/28
|
134,087
|
100,000
|
|
Flex Ltd., 6.00%, due 01/15/28
|
103,472
|
14,000
|
|
Florida Power & Light Co., 4.40%, due 05/15/28
|
14,046
|
200,000
|
|
Ford Motor Credit Co. LLC, 3.38%, due 11/13/25
|
191,543
|
100,000
|
|
GE HealthCare Technologies, Inc., 5.60%, due 11/15/25
|
100,935
|
14,000
|
|
General Dynamics Corp., 3.25%, due 04/01/25
|
13,726
|
22,000
|
|
General Motors Financial Co., Inc., 3.80%, due 04/07/25
|
21,554
|
28,000
|
|
General Motors Financial Co., Inc., 5.25%, due 03/01/26
|
28,036
|
219,000
|
|
General Motors Financial Co., Inc., 5.40%, due 04/06/26
|
220,573
|
35,000
|
|
Georgia-Pacific LLC, 1.75%, due 09/30/25
|
33,141
|
18,000
|
|
Global Payments, Inc., 1.20%, due 03/01/26
|
16,550
|
268,000
|
|
Goldman Sachs Group, Inc., 2.64% (SOFR + 1.11%), due 02/24/28(b)
|
248,624
|
500,000
|
|
Goldman Sachs Group, Inc., 5.80% (SOFR + 1.08%), due 08/10/26(b)
|
505,161
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
16,000
|
|
Goldman Sachs Group, Inc., 5.86% (SOFR + 0.49%), due 10/21/24(b)
|
15,982
|
36,000
|
|
Graphic Packaging International LLC, 0.82%, due 04/15/24
|
35,522
|
17,000
|
|
Hanover Insurance Group, Inc., 4.50%, due 04/15/26
|
16,718
|
100,000
|
|
HCA, Inc., 5.20%, due 06/01/28
|
101,177
|
216,000
|
|
HEICO Corp., 5.25%, due 08/01/28
|
220,887
|
14,000
|
|
Home Depot, Inc., 2.70%, due 04/15/25(f)
|
13,667
|
30,000
|
|
Home Depot, Inc., 4.95%, due 09/30/26(f)
|
30,450
|
35,000
|
|
Honda Motor Co. Ltd., 2.53%, due 03/10/27
|
32,992
|
15,000
|
|
HP, Inc., 2.20%, due 06/17/25
|
14,373
|
200,000
|
|
HSBC Holdings PLC, 1.59% (SOFR + 1.29%), due 05/24/27(b)
|
183,603
|
200,000
|
|
HSBC Holdings PLC, 4.18% (SOFR + 1.51%), due 12/09/25(b)
|
197,374
|
30,000
|
|
Humana, Inc., 5.75%, due 03/01/28
|
31,214
|
250,000
|
|
Huntington National Bank, 6.59% (SOFR + 1.19%), due 05/16/25(b)
|
246,059
|
100,000
|
|
Hyatt Hotels Corp., 5.75%, due 01/30/27
|
102,235
|
31,000
|
|
Hyundai Capital America, 1.30%, due 01/08/26
|
28,641
|
11,000
|
|
Hyundai Capital America, 5.65%, due 06/26/26
|
11,081
|
12,000
|
|
Hyundai Capital America, 5.95%, due 09/21/26
|
12,215
|
21,000
|
|
Hyundai Capital America, 6.25%, due 11/03/25
|
21,327
|
100,000
|
|
Infor, Inc., 1.75%, due 07/15/25
|
94,356
|
29,000
|
|
Intel Corp., 3.75%, due 08/05/27
|
28,441
|
46,000
|
|
Intel Corp., 4.88%, due 02/10/26
|
46,369
|
100,000
|
|
International Business Machines Corp., 4.00%, due 07/27/25
|
98,961
|
17,000
|
|
International Business Machines Corp., 6.50%, due 01/15/28
|
18,243
|
24,000
|
|
Interstate Power & Light Co., 3.25%, due 12/01/24
|
23,516
|
46,000
|
|
Intuit, Inc., 5.25%, due 09/15/26
|
46,937
|
7,000
|
|
IPALCO Enterprises, Inc., 3.70%, due 09/01/24
|
6,891
|
200,000
|
|
IQVIA, Inc., 5.70%, due 05/15/28
|
203,295
|
200,000
|
|
J M Smucker Co., 5.90%, due 11/15/28
|
210,681
|
24,000
|
|
John Deere Capital Corp., 2.05%, due 01/09/25
|
23,367
|
12,000
|
|
John Deere Capital Corp., 2.13%, due 03/07/25
|
11,641
|
13,000
|
|
John Deere Capital Corp., 2.35%, due 03/08/27
|
12,231
|
11,000
|
|
John Deere Capital Corp., 4.95%, due 07/14/28
|
11,295
|
46,000
|
|
JPMorgan Chase & Co., 0.82% (3 mo. USD Term SOFR + 0.54%), due 06/01/25(b)
|
45,031
|
39,000
|
|
JPMorgan Chase & Co., 0.97% (3 mo. USD Term SOFR + 0.58%), due 06/23/25(b)
|
38,097
|
284,000
|
|
JPMorgan Chase & Co., 1.47% (SOFR + 0.77%), due 09/22/27(b)
|
257,466
|
26,000
|
|
JPMorgan Chase & Co., 1.58% (SOFR + 0.89%), due 04/22/27(b)
|
24,011
|
8,000
|
|
JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(b)
|
7,104
|
57,000
|
|
JPMorgan Chase & Co., 2.08% (SOFR + 1.85%), due 04/22/26(b)
|
54,625
|
7,000
|
|
JPMorgan Chase & Co., 2.30% (SOFR + 1.16%), due 10/15/25(b)
|
6,823
|
10,000
|
|
JPMorgan Chase & Co., 2.60% (SOFR + 0.92%), due 02/24/26(b)
|
9,690
|
30,000
|
|
JPMorgan Chase & Co., 2.95% (SOFR + 1.17%), due 02/24/28(b)
|
28,256
|
37,000
|
|
JPMorgan Chase & Co., 3.51% (3 mo. USD Term SOFR + 1.21%), due 01/23/29(b)
|
35,121
|
5,000
|
|
JPMorgan Chase & Co., 3.96% (3 mo. USD Term SOFR + 1.51%), due 01/29/27(b)
|
4,888
|
12,000
|
|
JPMorgan Chase & Co., 5.30% (SOFR + 1.45%), due 07/24/29(b)
|
12,195
|
328,000
|
|
JPMorgan Chase & Co., 5.55% (SOFR + 1.07%), due 12/15/25(b)
|
328,283
|
430,000
|
|
JPMorgan Chase & Co., 6.07% (SOFR + 1.33%), due 10/22/27(b)
|
442,728
|
16,000
|
|
Kenvue, Inc., 5.50%, due 03/22/25
|
16,147
|
28,000
|
|
Kinder Morgan, Inc., 1.75%, due 11/15/26
|
25,788
|
100,000
|
|
Kyndryl Holdings, Inc., 2.05%, due 10/15/26
|
91,118
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
11,000
|
|
L3Harris Technologies, Inc., 5.40%, due 01/15/27
|
11,240
|
200,000
|
|
Lennox International, Inc., 5.50%, due 09/15/28
|
205,690
|
240,000
|
|
Lloyds Banking Group PLC, 4.72% (1 yr. CMT + 1.75%), due 08/10/26(b)
|
237,061
|
200,000
|
|
Lloyds Banking Group PLC, 5.99% (1 yr. CMT + 1.48%), due 08/06/27(b)
|
203,733
|
18,000
|
|
Lockheed Martin Corp., 5.10%, due 11/15/27
|
18,600
|
15,000
|
|
Lowe's Cos., Inc., 3.35%, due 04/01/27
|
14,466
|
200,000
|
|
LSEGA Financing PLC, 0.65%, due 04/06/24
|
197,159
|
200,000
|
|
Marriott International, Inc., 5.55%, due 10/15/28
|
206,602
|
100,000
|
|
Marvell Technology, Inc., 5.75%, due 02/15/29
|
103,525
|
31,000
|
|
Meta Platforms, Inc., 3.50%, due 08/15/27
|
30,227
|
150,000
|
|
Metropolitan Life Global Funding I, 4.40%, due 06/30/27
|
147,644
|
21,700
|
|
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, due
06/20/27
|
21,778
|
200,000
|
|
Mitsubishi UFJ Financial Group, Inc., 1.54% (1 yr. CMT + 0.75%), due 07/20/27(b)
|
182,920
|
200,000
|
|
Mitsubishi UFJ Financial Group, Inc., 5.54% (1 yr. CMT + 1.50%), due 04/17/26(b)
|
200,546
|
85,000
|
|
Morgan Stanley, 0.79% (SOFR + 0.51%), due 01/22/25(b)
|
84,753
|
72,000
|
|
Morgan Stanley, 0.79% (SOFR + 0.53%), due 05/30/25(b)
|
70,412
|
69,000
|
|
Morgan Stanley, 1.16% (SOFR + 0.56%), due 10/21/25(b)
|
66,428
|
299,000
|
|
Morgan Stanley, 1.51% (SOFR + 0.86%), due 07/20/27(b)
|
273,350
|
31,000
|
|
Morgan Stanley, 1.59% (SOFR + 0.88%), due 05/04/27(b)
|
28,587
|
26,000
|
|
Morgan Stanley, 2.48% (SOFR + 1.00%), due 01/21/28(b)
|
24,166
|
12,000
|
|
Morgan Stanley, 2.72% (SOFR + 1.15%), due 07/22/25(b)
|
11,804
|
25,000
|
|
Morgan Stanley, 3.13%, due 07/27/26
|
23,954
|
219,000
|
|
Morgan Stanley, 5.12% (SOFR + 1.73%), due 02/01/29(b)
|
220,306
|
24,000
|
|
Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b)
|
24,172
|
300,000
|
|
Morgan Stanley, 6.14% (SOFR + 1.77%), due 10/16/26(b)
|
305,694
|
7,000
|
|
Motorola Solutions, Inc., 4.00%, due 09/01/24
|
6,927
|
29,000
|
|
National Rural Utilities Cooperative Finance Corp., 1.00%, due 10/18/24
|
28,016
|
24,000
|
|
National Rural Utilities Cooperative Finance Corp., 1.88%, due 02/07/25
|
23,186
|
23,000
|
|
National Rural Utilities Cooperative Finance Corp., 5.60%, due 11/13/26
|
23,622
|
150,000
|
|
Nestle Holdings, Inc., 4.13%, due 10/01/27
|
149,452
|
200,000
|
|
New York Life Global Funding, 4.85%, due 01/09/28
|
201,584
|
18,000
|
|
New York State Electric & Gas Corp., 5.65%, due 08/15/28
|
18,487
|
21,000
|
|
NextEra Energy Capital Holdings, Inc., 1.88%, due 01/15/27
|
19,334
|
22,000
|
|
NextEra Energy Capital Holdings, Inc., 1.90%, due 06/15/28
|
19,549
|
19,000
|
|
NextEra Energy Capital Holdings, Inc., 4.63%, due 07/15/27
|
18,987
|
12,000
|
|
NextEra Energy Capital Holdings, Inc., 4.90%, due 02/28/28
|
12,120
|
100,000
|
|
NextEra Energy Capital Holdings, Inc., 5.75%, due 09/01/25
|
101,022
|
125,000
|
|
NextEra Energy Operating Partners LP, 7.25%, due 01/15/29
|
130,813
|
33,000
|
|
NiSource, Inc., 0.95%, due 08/15/25
|
30,859
|
100,000
|
|
NiSource, Inc., 5.25%, due 03/30/28
|
102,082
|
23,000
|
|
Northwestern Mutual Global Funding, 0.80%, due 01/14/26
|
21,290
|
35,000
|
|
NRG Energy, Inc., 3.75%, due 06/15/24
|
34,605
|
20,000
|
|
Nucor Corp., 2.00%, due 06/01/25
|
19,221
|
200,000
|
|
Nutrien Ltd., 3.00%, due 04/01/25
|
194,330
|
7,000
|
|
Nutrien Ltd., 4.90%, due 03/27/28
|
7,074
|
40,000
|
|
Old Republic International Corp., 4.88%, due 10/01/24
|
39,705
|
28,000
|
|
ONE Gas, Inc., 5.10%, due 04/01/29
|
28,608
|
33,000
|
|
Oracle Corp., 1.65%, due 03/25/26
|
30,806
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
19,000
|
|
Oracle Corp., 2.50%, due 04/01/25
|
18,380
|
32,000
|
|
Oracle Corp., 2.65%, due 07/15/26
|
30,370
|
100,000
|
|
Oracle Corp., 4.50%, due 05/06/28
|
100,150
|
21,000
|
|
Ovintiv, Inc., 5.38%, due 01/01/26
|
21,021
|
25,000
|
|
Pacific Life Global Funding II, 1.20%, due 06/24/25
|
23,724
|
18,000
|
|
Pacific Life Global Funding II, 1.38%, due 04/14/26
|
16,648
|
200,000
|
|
Penske Truck Leasing Co. LP/PTL Finance Corp., 4.40%, due 07/01/27
|
195,301
|
16,000
|
|
Penske Truck Leasing Co. LP/PTL Finance Corp., 6.05%, due 08/01/28
|
16,624
|
31,000
|
|
PepsiCo, Inc., 3.60%, due 02/18/28
|
30,382
|
14,000
|
|
PepsiCo, Inc., 5.25%, due 11/10/25
|
14,216
|
314,000
|
|
Pfizer Investment Enterprises Pte. Ltd., 4.45%, due 05/19/26
|
313,321
|
21,000
|
|
Phillips 66, 3.85%, due 04/09/25
|
20,681
|
33,000
|
|
Pioneer Natural Resources Co., 1.13%, due 01/15/26
|
30,660
|
230,000
|
|
PNC Financial Services Group, Inc., 6.62% (SOFR + 1.73%), due 10/20/27(b)
|
238,787
|
16,000
|
|
Prologis LP, 4.88%, due 06/15/28
|
16,234
|
235,000
|
|
Prudential Insurance Co. of America, 8.30%, due 07/01/25 144A
|
242,854
|
23,000
|
|
Public Service Enterprise Group, Inc., 0.80%, due 08/15/25
|
21,509
|
11,000
|
|
Public Service Enterprise Group, Inc., 5.85%, due 11/15/27
|
11,467
|
200,000
|
|
Public Service Enterprise Group, Inc., 5.88%, due 10/15/28
|
210,159
|
23,000
|
|
Public Storage Operating Co., 5.13%, due 01/15/29
|
23,781
|
200,000
|
|
Regal Rexnord Corp., 6.05%, due 02/15/26
|
202,340
|
36,000
|
|
Republic Services, Inc., 2.50%, due 08/15/24
|
35,330
|
200,000
|
|
Republic Services, Inc., 4.88%, due 04/01/29
|
204,052
|
28,000
|
|
Ross Stores, Inc., 4.60%, due 04/15/25
|
27,809
|
21,000
|
|
Royal Bank of Canada, 1.15%, due 07/14/26
|
19,229
|
32,000
|
|
Royal Bank of Canada, 1.60%, due 01/21/25
|
30,893
|
30,000
|
|
Royal Bank of Canada, 5.20%, due 07/20/26
|
30,371
|
16,000
|
|
RTX Corp., 5.00%, due 02/27/26
|
16,075
|
125,000
|
|
RTX Corp., 5.75%, due 11/08/26
|
128,421
|
30,000
|
|
Ryder System, Inc., 5.25%, due 06/01/28
|
30,439
|
33,000
|
|
S&P Global, Inc., 2.45%, due 03/01/27
|
31,161
|
26,000
|
|
S&P Global, Inc., 2.70%, due 03/01/29
|
24,084
|
300,000
|
|
Santander Holdings USA, Inc., 4.26% (SOFR + 1.38%), due 06/09/25(b)
|
296,495
|
14,000
|
|
Schlumberger Investment SA, 4.50%, due 05/15/28
|
14,161
|
7,000
|
|
Sempra, 5.40%, due 08/01/26
|
7,100
|
31,000
|
|
Sixth Street Specialty Lending, Inc., 3.88%, due 11/01/24
|
30,452
|
250,000
|
|
Southern California Gas Co., 2.95%, due 04/15/27
|
237,366
|
27,000
|
|
Southern Co. Gas Capital Corp., 3.25%, due 06/15/26
|
26,005
|
200,000
|
|
Spectra Energy Partners LP, 3.38%, due 10/15/26
|
192,729
|
24,000
|
|
Sprint Capital Corp., 6.88%, due 11/15/28
|
26,005
|
170,000
|
|
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
5.15%, due 09/20/29
|
169,402
|
19,000
|
|
State Street Corp., 5.68% (SOFR + 1.48%), due 11/21/29(b)
|
19,671
|
12,000
|
|
Stryker Corp., 4.85%, due 12/08/28
|
12,156
|
200,000
|
|
Sumitomo Mitsui Financial Group, Inc., 2.70%, due 07/16/24
|
197,112
|
200,000
|
|
Sumitomo Mitsui Financial Group, Inc., 5.46%, due 01/13/26
|
202,081
|
32,000
|
|
Sumitomo Mitsui Trust Bank Ltd., 0.80%, due 09/16/24
|
30,955
|
200,000
|
|
Suntory Holdings Ltd., 2.25%, due 10/16/24 144A
|
194,712
|
100,000
|
|
Sysco Corp., 5.75%, due 01/17/29
|
104,343
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
31,000
|
|
Take-Two Interactive Software, Inc., 3.55%, due 04/14/25
|
30,362
|
100,000
|
|
Targa Resources Corp., 6.15%, due 03/01/29
|
104,753
|
64,000
|
|
Teledyne Technologies, Inc., 0.95%, due 04/01/24
|
63,277
|
30,000
|
|
Thermo Fisher Scientific, Inc., 5.00%, due 12/05/26
|
30,453
|
112,000
|
|
T-Mobile USA, Inc., 2.25%, due 02/15/26
|
106,200
|
175,000
|
|
T-Mobile USA, Inc., 2.63%, due 04/15/26
|
166,552
|
29,000
|
|
T-Mobile USA, Inc., 3.75%, due 04/15/27
|
28,167
|
16,000
|
|
T-Mobile USA, Inc., 4.95%, due 03/15/28(f)
|
16,235
|
32,000
|
|
Toronto-Dominion Bank, 0.70%, due 09/10/24
|
30,997
|
42,000
|
|
Toronto-Dominion Bank, 1.15%, due 06/12/25
|
39,797
|
260,000
|
|
Toronto-Dominion Bank, 1.20%, due 06/03/26
|
238,886
|
32,000
|
|
Toronto-Dominion Bank, 1.45%, due 01/10/25
|
30,858
|
31,000
|
|
Toronto-Dominion Bank, 3.77%, due 06/06/25
|
30,521
|
34,000
|
|
Toronto-Dominion Bank, 5.53%, due 07/17/26
|
34,676
|
48,000
|
|
Toyota Motor Corp., 0.68%, due 03/25/24
|
47,480
|
16,000
|
|
Toyota Motor Credit Corp., 4.63%, due 01/12/28
|
16,224
|
30,000
|
|
Toyota Motor Credit Corp., 5.40%, due 11/20/26
|
30,738
|
32,000
|
|
Toyota Motor Credit Corp., 5.60%, due 09/11/25
|
32,540
|
24,000
|
|
Trans-Allegheny Interstate Line Co., 3.85%, due 06/01/25
|
23,528
|
20,000
|
|
TransCanada PipeLines Ltd., 1.00%, due 10/12/24
|
19,295
|
48,000
|
|
Triton Container International Ltd., 1.15%, due 06/07/24
|
46,845
|
18,000
|
|
Truist Financial Corp., 1.27% (SOFR + 0.61%), due 03/02/27(b)
|
16,492
|
22,000
|
|
Truist Financial Corp., 1.89% (SOFR + 0.86%), due 06/07/29(b)
|
19,044
|
17,000
|
|
Truist Financial Corp., 4.26% (SOFR + 1.46%), due 07/28/26(b)
|
16,663
|
250,000
|
|
Truist Financial Corp., 5.82% (SOFR + 0.40%), due 06/09/25(b)
|
246,331
|
7,817
|
|
U.S. Airways Pass-Through Trust, 5.90%, due 04/01/26
|
7,820
|
270,000
|
|
U.S. Bancorp, 2.22% (SOFR + 0.73%), due 01/27/28(b)
|
248,420
|
16,000
|
|
U.S. Bancorp, 5.78% (SOFR + 2.02%), due 06/12/29(b)
|
16,462
|
400,000
|
|
UBS Group AG, 4.49% (1 yr. CMT + 1.55%), due 05/12/26(b)
|
394,263
|
245,000
|
|
UBS Group AG, 4.70% (1 yr. CMT + 2.05%), due 08/05/27(b) 144A
|
241,721
|
7,117
|
|
United Airlines Pass-Through Trust, 5.88%, due 04/15/29
|
7,215
|
17,000
|
|
UnitedHealth Group, Inc., 2.38%, due 08/15/24
|
16,702
|
23,000
|
|
UnitedHealth Group, Inc., 2.95%, due 10/15/27
|
21,859
|
24,000
|
|
UnitedHealth Group, Inc., 3.38%, due 04/15/27
|
23,269
|
250,000
|
|
Ventas Realty LP, 3.85%, due 04/01/27
|
240,508
|
232,000
|
|
Veralto Corp., 5.50%, due 09/18/26
|
235,161
|
31,000
|
|
Verizon Communications, Inc., 0.85%, due 11/20/25
|
28,811
|
100,000
|
|
Verizon Communications, Inc., 2.10%, due 03/22/28
|
90,585
|
19,000
|
|
Verizon Communications, Inc., 3.50%, due 11/01/24
|
18,721
|
37,000
|
|
Viatris, Inc., 1.65%, due 06/22/25
|
35,054
|
200,000
|
|
VICI Properties LP, 4.75%, due 02/15/28
|
196,002
|
24,000
|
|
VMware LLC, 1.00%, due 08/15/24
|
23,318
|
28,000
|
|
VMware LLC, 1.40%, due 08/15/26
|
25,632
|
19,000
|
|
Walmart, Inc., 3.95%, due 09/09/27
|
18,922
|
33,000
|
|
Walmart, Inc., 4.00%, due 04/15/26
|
32,848
|
227,000
|
|
Warnermedia Holdings, Inc., 3.76%, due 03/15/27
|
217,763
|
28,000
|
|
Waste Management, Inc., 4.88%, due 02/15/29
|
28,700
|
250,000
|
|
WEA Finance LLC/Westfield U.K. & Europe Finance PLC, 3.75%, due 09/17/24 144A
|
245,570
|
140,000
|
|
WEC Energy Group, Inc., 4.75%, due 01/09/26
|
139,556
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
5,000
|
|
WEC Energy Group, Inc., 5.00%, due 09/27/25
|
4,993
|
7,000
|
|
WEC Energy Group, Inc., 5.15%, due 10/01/27
|
7,111
|
250,000
|
|
WEC Energy Group, Inc., 5.60%, due 09/12/26
|
254,616
|
10,000
|
|
Wells Fargo & Co., 2.16% (3 mo. USD Term SOFR + 1.01%), due 02/11/26(b)
|
9,630
|
272,000
|
|
Wells Fargo & Co., 3.53% (SOFR + 1.51%), due 03/24/28(b)
|
259,774
|
212,000
|
|
Wells Fargo & Co., 4.54% (SOFR + 1.56%), due 08/15/26(b)
|
209,915
|
12,000
|
|
Wells Fargo & Co., 5.57% (SOFR + 1.74%), due 07/25/29(b)
|
12,272
|
250,000
|
|
Wells Fargo Bank NA, 5.25%, due 12/11/26
|
253,263
|
100,000
|
|
Western Midstream Operating LP, 6.35%, due 01/15/29
|
104,439
|
200,000
|
|
Westpac Banking Corp., 5.54%, due 11/17/28
|
208,244
|
46,000
|
|
Williams Cos., Inc., 4.55%, due 06/24/24
|
45,761
|
15,000
|
|
Workday, Inc., 3.50%, due 04/01/27
|
14,531
|
196,000
|
|
WRKCo, Inc., 3.75%, due 03/15/25
|
192,274
|
44,000
|
|
WW Grainger, Inc., 1.85%, due 02/15/25
|
42,509
|
21,000
|
|
Zoetis, Inc., 5.40%, due 11/14/25
|
21,184
|
|
|
|
29,064,786
|
|
|
Mortgage Backed Securities - Private Issuers — 9.3%
|
|
200,000
|
|
BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 6.33% (1 mo. USD Term
SOFR + 0.96%), due 11/15/38(b)
|
197,373
|
156,386
|
|
BX Commercial Mortgage Trust, Series 2021-XL2, Class A, 6.17% (1 mo. USD Term
SOFR + 0.80%), due 10/15/38(b)
|
153,595
|
187,693
|
|
BX Trust, Series 2021-BXMF, Class A, 6.11% (1 mo. USD Term SOFR + 0.75%), due
10/15/26(b)
|
184,337
|
183,407
|
|
BX Trust, Series 2021-RISE, Class A, 6.22% (1 mo. USD Term SOFR + 0.86%), due
11/15/36(b)
|
180,592
|
200,000
|
|
BX Trust, Series 2022-LBA6, Class A, 6.36% (1 mo. USD Term SOFR + 1.00%), due
01/15/39(b)
|
196,895
|
200,000
|
|
BX Trust, Series 2022-VAMF, Class A, 6.21% (1 mo. USD Term SOFR + 0.85%), due
01/15/39(b)
|
195,957
|
250,000
|
|
Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class A4, 3.35%, due
02/10/49
|
238,430
|
142,544
|
|
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3, 3.44%, due 04/14/50
|
135,162
|
50,000
|
|
COMM Mortgage Trust, Series 2015-CR26, Class A4, 3.63%, due 10/10/48
|
48,176
|
373,376
|
|
Extended Stay America Trust, Series 2021-ESH, Class A, 6.56% (1 mo. USD Term
SOFR + 1.19%), due 07/15/38(b) 144A
|
370,208
|
341,705
|
|
Federal National Mortgage Association REMICS, Series 2006-83, Class FG, 5.95%
(SOFR 30-day average + 0.61%), due 09/25/36(b)
|
339,084
|
131
|
|
Federal National Mortgage Association-ACES, Series 2017-M15, Class ATS2, 3.15%,
due 11/25/27(g)
|
125
|
150,000
|
|
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A, 3.14%, due 12/10/36
|
145,362
|
373,161
|
|
Government National Mortgage Association REMICS, Series 2016-H07, Class FK,
6.44% (1 mo. USD Term SOFR + 1.11%), due 03/20/66(b)
|
371,973
|
439,034
|
|
Government National Mortgage Association REMICS, Series 2016-H16, Class FE,
6.11% (1 yr. USD Term SOFR + 1.10%), due 06/20/66(b)
|
438,493
|
150,000
|
|
Great Wolf Trust, Series 2019-WOLF, Class A, 6.71% (1 mo. USD Term SOFR +
1.15%), due 12/15/36(b)
|
149,495
|
128,456
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class A5, 4.08%, due
02/15/47
|
127,732
|
112,000
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A5, 3.67%, due
11/15/47
|
109,281
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
200,000
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4, 3.49%, due
01/15/48
|
194,998
|
250,000
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4, 3.23%, due
10/15/48
|
241,008
|
200,000
|
|
KNDL Mortgage Trust, Series 2019-KNSQ, Class A, 6.36% (1 mo. USD Term SOFR +
1.00%), due 05/15/36(b) 144A
|
199,263
|
175,000
|
|
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, 7.64% (1 mo. USD Term
SOFR + 2.29%), due 12/15/36(b) 144A
|
175,313
|
196,594
|
|
Life Mortgage Trust, Series 2021-BMR, Class A, 6.18% (1 mo. USD Term SOFR +
0.81%), due 03/15/38(b) 144A
|
192,454
|
182,323
|
|
MHP Trust, Series 2022-MHIL, Class A, 6.18% (1 mo. USD Term SOFR + 0.81%), due
01/15/27(b)
|
178,741
|
240,000
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A4,
3.25%, due 10/15/48
|
233,779
|
400,000
|
|
SMRT Commercial Mortgage Trust, Series 2022-MINI, Class A, 6.36% (1 mo. USD
Term SOFR + 1.00%), due 01/15/39(b) 144A
|
391,946
|
171,595
|
|
TTAN, Series 2021-MHC, Class A, 6.33% (1 mo. USD Term SOFR + 0.96%), due
03/15/38(b)
|
169,792
|
227,483
|
|
UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, due 12/15/50
|
214,082
|
180,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4, 3.54%, due
05/15/48
|
174,110
|
370,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A5, 3.37%, due
01/15/59
|
354,337
|
245,000
|
|
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class A5, 3.68%, due 08/15/47
|
240,938
|
250,000
|
|
WFRBS Commercial Mortgage Trust, Series 2014-C25, Class A5, 3.63%, due 11/15/47
|
244,478
|
|
|
|
6,787,509
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — 5.0%
|
|
434,923
|
|
Federal Home Loan Mortgage Corp., Pool # G18575, 3.00%, due 11/01/30
|
418,526
|
459,701
|
|
Federal Home Loan Mortgage Corp., Pool # G18622, 2.50%, due 12/01/31
|
433,782
|
143,002
|
|
Federal Home Loan Mortgage Corp., Pool # SB0935, 3.00%, due 07/01/33
|
136,701
|
535,105
|
|
Federal Home Loan Mortgage Corp., Pool # SB1024, 3.50%, due 02/01/34
|
520,331
|
528,291
|
|
Federal Home Loan Mortgage Corp., Pool # ZS7556, 3.00%, due 11/01/31
|
509,248
|
459,310
|
|
Federal National Mortgage Association, Pool # BM3919, 3.00%, due 02/01/33
|
439,132
|
550,724
|
|
Federal National Mortgage Association, Pool # FS1247, 3.00%, due 05/01/34
|
526,470
|
329,314
|
|
Federal National Mortgage Association, Pool # FS4657, 2.50%, due 10/01/31
|
315,989
|
303,623
|
|
Federal National Mortgage Association, Pool # MA3097, 3.50%, due 08/01/27
|
297,770
|
|
|
|
3,597,949
|
|
|
U.S. Government and Agency Obligations — 21.1%
|
|
2,260,000
|
|
U.S. Treasury Notes, 2.13%, due 09/30/24
|
2,213,733
|
3,300
|
|
U.S. Treasury Notes, 3.75%, due 12/31/28
|
3,288
|
1,000,000
|
|
U.S. Treasury Notes, 3.88%, due 11/30/27
|
998,750
|
3,973,000
|
|
U.S. Treasury Notes, 4.25%, due 12/31/25
|
3,973,310
|
3,118,300
|
|
U.S. Treasury Notes, 4.38%, due 12/15/26
|
3,150,458
|
1,000,000
|
|
U.S. Treasury Notes, 4.38%, due 11/30/28
|
1,024,414
|
240,000
|
|
U.S. Treasury Notes, 4.63%, due 03/15/26
|
242,184
|
1,035,000
|
|
U.S. Treasury Notes, 4.63%, due 10/15/26
|
1,050,970
|
1,000,000
|
|
U.S. Treasury Notes, 4.63%, due 11/15/26
|
1,016,367
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
U.S. Government and Agency Obligations — continued
|
|
1,635,000
|
|
U.S. Treasury Notes, 4.75%, due 07/31/25
|
1,642,888
|
|
|
|
15,316,362
|
|
|
TOTAL DEBT OBLIGATIONS (COST $70,879,680)
|
71,494,331
|
|
|
SHORT-TERM INVESTMENT — 0.1%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.1%
|
|
55,225
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(h)(i)
|
55,225
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $55,225)
|
55,225
|
|
|
TOTAL INVESTMENTS — 98.6%
(Cost $70,934,905)
|
71,549,556
|
|
|
Other Assets and Liabilities (net) — 1.4%
|
1,029,604
|
|
|
NET ASSETS — 100.0%
|
$72,579,160
|
|
Notes to Schedule of Investments:
|
(a)
|
Unless otherwise indicated, all par values are denominated in United States dollars ($).
|
(b)
|
Variable or floating rate note. Rate shown is as of December 31, 2023.
|
(c)
|
When-issued security.
|
(d)
|
This position represents an unsettled loan commitment at period end. Certain details associated with
this purchase are not known prior to the settlement date, including coupon rate, which will be
adjusted on settlement date.
|
(e)
|
Step coupon security that pays an initial coupon rate for the first period and then a lower/higher
coupon rate for the following periods. Rate shown is current coupon rate.
|
(f)
|
All or a portion of this security is out on loan.
|
(g)
|
Variable or floating rate security, which interest rate adjusts periodically based on changes in current
interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as
of period end.
|
(h)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(i)
|
Represents an investment of securities lending cash collateral.
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $4,534,471 which represents 6.2% of net
assets.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
36
|
U.S. Treasury Note 2-Year
|
Mar 2024
|
$7,412,906
|
$22,118
|
Sales
|
|
|
|
|
16
|
U.S. Treasury Note 5-Year
|
Mar 2024
|
$1,740,375
|
$(3,352
)
|
Currency Abbreviations
|
||
USD
|
—
|
U.S. Dollar
|
Abbreviations
|
||
ACES
|
—
|
Alternative Credit Enhancement Securities
|
CLO
|
—
|
Collateralized Loan Obligation
|
CMT
|
—
|
Constant Maturity Treasury Index
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
TBD
|
—
|
To Be Determined
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
Debt Obligations
|
98.5
|
Futures Contracts
|
0.0*
|
Short-Term Investment
|
0.1
|
Other Assets and Liabilities (net)
|
1.4
|
|
100.0
|
*
|
Amount rounds to zero.
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
DEBT OBLIGATIONS — 92.7%
|
|
|
|
Asset Backed Securities — 5.0%
|
|
500,000
|
|
37 Capital CLO 1 Ltd., Series 2021-1A, Class C, 7.91% (3 mo. USD Term SOFR +
2.51%), due 10/15/34(b) 144A
|
498,880
|
220,000
|
|
AB BSL CLO 4 Ltd., Series 2023-4A, Class A, 7.42% (3 mo. USD Term SOFR +
2.00%), due 04/20/36(b) 144A
|
221,035
|
622,165
|
|
Aegis Asset-Backed Securities Trust, Series 2005-5, Class M1, 6.12% (1 mo. USD Term
SOFR + 0.76%), due 12/25/35(b)
|
566,178
|
650,000
|
|
AGL CLO 22 Ltd., Series 2022-22A, Class D, 10.42% (3 mo. USD Term SOFR +
5.00%), due 10/20/35(b) 144A
|
655,305
|
500,000
|
|
AIMCO CLO 12 Ltd., Series 2020-12A, Class DR, 8.30% (3 mo. USD Term SOFR +
2.90%), due 01/17/32(b) 144A
|
495,428
|
650,000
|
|
Alinea CLO Ltd., Series 2018-1A, Class D, 8.78% (3 mo. USD Term SOFR + 3.36%),
due 07/20/31(b) 144A
|
650,509
|
1,000,000
|
|
AMMC CLO 27 Ltd., Series 2022-27A, Class D, 11.43% (3 mo. USD Term SOFR +
6.01%), due 01/20/36(b) 144A
|
1,008,369
|
300,000
|
|
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, 11.15% (3 mo. USD Term
SOFR + 5.76%), due 01/28/31(b) 144A
|
280,843
|
500,000
|
|
Apex Credit CLO Ltd., Series 2019-1A, Class BR, 8.06% (3 mo. USD Term SOFR +
2.66%), due 04/18/32(b) 144A
|
488,165
|
420,000
|
|
Apidos CLO XXII Ltd., Series 2015-22A, Class DR, 12.43% (3 mo. USD Term SOFR +
7.01%), due 04/20/31(b) 144A
|
420,859
|
850,000
|
|
Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due
03/05/53 144A
|
874,901
|
810,000
|
|
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class M1,
3.01% (1 mo. USD Term SOFR + 0.53%), due 07/25/36(b)
|
638,501
|
410,000
|
|
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due
02/20/27 144A
|
390,162
|
500,000
|
|
Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, 8.78% (3 mo. USD Term SOFR
+ 3.36%), due 10/20/34(b) 144A
|
487,519
|
550,000
|
|
Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, 9.06% (3 mo. USD Term
SOFR + 3.65%), due 04/22/35(b) 144A
|
553,142
|
500,000
|
|
Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 10.29% (3 mo. USD Term
SOFR + 4.90%), due 04/16/36(b) 144A
|
505,825
|
550,000
|
|
Balboa Bay Loan Funding Ltd., Series 2022-1A, Class D, 9.42% (3 mo. USD Term
SOFR + 4.00%), due 04/20/34(b) 144A
|
552,765
|
1,000,000
|
|
Ballyrock CLO 19 Ltd., Series 2022-19A, Class D, 12.53% (3 mo. USD Term SOFR +
7.11%), due 04/20/35(b) 144A
|
965,169
|
275,000
|
|
Ballyrock CLO Ltd., Series 2018-1A, Class C, 8.83% (3 mo. USD Term SOFR +
3.41%), due 04/20/31(b) 144A
|
274,547
|
415,000
|
|
Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 7.21% (3 mo. USD Term SOFR +
1.81%), due 07/15/32(b) 144A
|
410,934
|
250,000
|
|
Barings CLO Ltd., Series 2016-2A, Class ER2, 12.18% (3 mo. USD Term SOFR +
6.76%), due 01/20/32(b) 144A
|
246,647
|
850,000
|
|
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, 12.50% (3 mo. USD Term
SOFR + 7.12%), due 07/25/34(b) 144A
|
807,446
|
650,000
|
|
Buckhorn Park CLO Ltd., Series 2019-1A, Class DR, 8.76% (3 mo. USD Term SOFR +
3.36%), due 07/18/34(b) 144A
|
642,227
|
280,000
|
|
Canyon Capital CLO Ltd., Series 2021-1A, Class E, 12.07% (3 mo. USD Term SOFR +
6.67%), due 04/15/34(b) 144A
|
274,466
|
500,000
|
|
Canyon CLO Ltd., Series 2020-1A, Class BR, 7.36% (3 mo. USD Term SOFR +
1.96%), due 07/15/34(b) 144A
|
499,010
|
255,000
|
|
Canyon CLO Ltd., Series 2021-4A, Class B, 7.36% (3 mo. USD Term SOFR + 1.96%),
due 10/15/34(b) 144A
|
254,856
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
1,300,000
|
|
Carlyle U.S. CLO Ltd., Series 2019-2A, Class DR, 12.16% (3 mo. USD Term SOFR +
6.76%), due 07/15/32(b) 144A
|
1,283,064
|
1,475,000
|
|
Carlyle U.S. CLO Ltd., Series 2019-4A, Class A2R, 7.14% (3 mo. USD Term SOFR +
1.75%), due 04/15/35(b) 144A
|
1,455,499
|
510,000
|
|
Carlyle U.S. CLO Ltd., Series 2021-8A, Class B, 7.31% (3 mo. USD Term SOFR +
1.91%), due 10/15/34(b) 144A
|
508,965
|
1,060,000
|
|
CarVal CLO VII-C Ltd., Series 2023-1A, Class A1, 7.62% (3 mo. USD Term SOFR +
2.20%), due 01/20/35(b) 144A
|
1,064,794
|
750,000
|
|
Catskill Park CLO Ltd., Series 2017-1A, Class D, 11.68% (3 mo. USD Term SOFR +
6.26%), due 04/20/29(b) 144A
|
725,365
|
1,020,000
|
|
CBAM Ltd., Series 2018-6A, Class B2R, 7.76% (3 mo. USD Term SOFR + 2.36%), due
01/15/31(b) 144A
|
1,019,422
|
250,000
|
|
CIFC Funding Ltd., Series 2017-1A, Class D, 9.17% (3 mo. USD Term SOFR + 3.76%),
due 04/23/29(b) 144A
|
251,277
|
700,000
|
|
CIFC Funding Ltd., Series 2017-3A, Class C, 9.33% (3 mo. USD Term SOFR + 3.91%),
due 07/20/30(b) 144A
|
700,238
|
750,000
|
|
CIFC Funding Ltd., Series 2018-1A, Class C, 7.41% (3 mo. USD Term SOFR + 2.01%),
due 04/18/31(b) 144A
|
744,304
|
500,000
|
|
Clover CLO LLC, Series 2018-1A, Class DR, 8.78% (3 mo. USD Term SOFR +
3.36%), due 04/20/32(b) 144A
|
502,484
|
255,000
|
|
Clover CLO Ltd., Series 2019-1A, Class BR, 7.25% (3 mo. USD Term SOFR + 1.85%),
due 04/18/35(b) 144A
|
254,628
|
914,400
|
|
Driven Brands Funding LLC, Series 2019-1A, Class A2, 4.64%, due 04/20/49 144A
|
886,551
|
500,000
|
|
Dryden 64 CLO Ltd., Series 2018-64A, Class D, 8.31% (3 mo. USD Term SOFR +
2.91%), due 04/18/31(b) 144A
|
488,833
|
900,000
|
|
Dryden 70 CLO Ltd., Series 2018-70A, Class E, 11.71% (3 mo. USD Term SOFR +
6.31%), due 01/16/32(b) 144A
|
866,813
|
630,000
|
|
Eaton Vance CLO Ltd., Series 2020-2A, Class ER, 12.16% (3 mo. USD Term SOFR +
6.76%), due 01/15/35(b) 144A
|
623,536
|
350,000
|
|
Elmwood CLO XI Ltd., Series 2021-4A, Class B, 7.28% (3 mo. USD Term SOFR +
1.86%), due 10/20/34(b) 144A
|
349,965
|
500,000
|
|
Empower CLO Ltd., Series 2023-2A, Class C, 8.74% (3 mo. USD Term SOFR +
3.40%), due 07/15/36(b) 144A
|
502,157
|
169,696
|
|
Falcon Aerospace Ltd., Series 2017-1, 4.58%, due 02/15/42(b) 144A
|
158,657
|
250,000
|
|
Fortress Credit BSL XII Ltd., Series 2021-4A, Class E, 12.79% (3 mo. USD Term SOFR
+ 7.39%), due 10/15/34(b) 144A
|
223,013
|
1,290,000
|
|
FS Rialto Issuer LLC, Series 2022-FL7, Class A, 8.26% (1 mo. USD Term SOFR +
2.90%), due 10/19/39(b) 144A
|
1,297,561
|
500,000
|
|
Gallatin Funding Ltd, Series 2023-1A, Class C1, 9.18% (3 mo. USD Term SOFR +
3.85%), due 10/14/35(b) 144A
|
501,993
|
1,060,000
|
|
Generate CLO 7 Ltd., Series 7A, Class B1, 7.52% (3 mo. USD Term SOFR + 2.11%),
due 01/22/33(b) 144A
|
1,060,158
|
250,000
|
|
Gilbert Park CLO Ltd., Series 2017-1A, Class D, 8.61% (3 mo. USD Term SOFR +
3.21%), due 10/15/30(b) 144A
|
251,258
|
750,000
|
|
GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class D, 8.53% (3
mo. USD Term SOFR + 3.11%), due 04/20/30(b) 144A
|
748,296
|
220,000
|
|
Golub Capital Partners CLO 66B Ltd., Series 2023-66A, Class A, 7.33% (3 mo. USD
Term SOFR + 1.95%), due 04/25/36(b) 144A
|
220,540
|
250,000
|
|
Greenwood Park CLO Ltd., Series 2018-1A, Class E, 10.61% (3 mo. USD Term SOFR
+ 5.21%), due 04/15/31(b) 144A
|
227,583
|
250,000
|
|
Greywolf CLO II Ltd., Series 2019-1RA, Class CR, 9.31% (3 mo. USD Term SOFR),
due 04/17/34(b) 144A
|
251,227
|
255,000
|
|
Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 7.27% (3 mo. USD Term SOFR +
1.89%), due 04/26/31(b) 144A
|
253,615
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
750,000
|
|
Greywolf CLO VI Ltd., Series 2018-1A, Class D, 11.39% (3 mo. USD Term SOFR +
6.01%), due 04/26/31(b) 144A
|
719,235
|
59,761
|
|
GSAA Home Equity Trust, Series 2007-7, Class A4, 6.01% (1 mo. USD Term SOFR +
0.65%), due 07/25/37(b)
|
55,277
|
290,000
|
|
Halsey Point CLO I Ltd., Series 2019-1A, Class F, 13.88% (3 mo. USD Term SOFR +
8.46%), due 01/20/33(b) 144A
|
266,262
|
200,000
|
|
Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 7.45% (3 mo. USD Term SOFR +
2.06%), due 04/28/31(b) 144A
|
200,028
|
1,765,000
|
|
HPS Loan Management Ltd., Series 2023-18A, Class B, 8.28% (3 mo. USD Term SOFR
+ 2.95%), due 07/20/36(b) 144A
|
1,786,155
|
870,000
|
|
KREF Ltd., Series 2022-FL3, Class A, 6.81% (1 mo. USD Term SOFR + 1.45%), due
02/17/39(b) 144A
|
860,821
|
157,341
|
|
Long Beach Mortgage Loan Trust, Series 2005-1, Class M4, 6.75% (1 mo. USD Term
SOFR + 1.39%), due 02/25/35(b)
|
153,542
|
250,000
|
|
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class B, 7.11% (3 mo. USD Term
SOFR + 1.71%), due 04/19/33(b) 144A
|
248,625
|
425,000
|
|
Madison Park Funding XXV Ltd., Series 2017-25A, Class A2R, 7.29% (3 mo. USD
Term SOFR + 1.91%), due 04/25/29(b) 144A
|
425,312
|
1,405,000
|
|
Madison Park Funding XXXIX Ltd., Series 2021-39A, Class D, 8.72% (3 mo. USD
Term SOFR + 3.31%), due 10/22/34(b) 144A
|
1,411,922
|
500,000
|
|
Magnetite VII Ltd., Series 2012-7A, Class DR2, 10.16% (3 mo. USD Term SOFR +
4.76%), due 01/15/28(b) 144A
|
501,273
|
400,000
|
|
Magnetite XII Ltd., Series 2015-12A, Class ER, 11.34% (3 mo. USD Term SOFR +
5.94%), due 10/15/31(b) 144A
|
403,988
|
500,000
|
|
Magnetite XXII Ltd., Series 2019-22A, Class DR, 8.76% (3 mo. USD Term SOFR +
3.36%), due 04/15/31(b) 144A
|
502,489
|
1,435,000
|
|
Magnetite XXIV Ltd., Series 2019-24A, Class BR, 7.14% (3 mo. USD Term SOFR +
1.75%), due 04/15/35(b) 144A
|
1,423,180
|
582,513
|
|
Magnolia Finance X DAC, Series 2020-1, 8.21%, due 08/13/24(c) 144A
|
568,037
|
250,000
|
|
Marathon CLO 14 Ltd., Series 2019-2A, Class BA, 8.98% (3 mo. USD Term SOFR +
3.56%), due 01/20/33(b) 144A
|
247,737
|
408,683
|
|
Mill City Solar Loan Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A
|
375,336
|
548,406
|
|
Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, due 12/20/46 144A
|
468,587
|
769,738
|
|
National Collegiate Student Loan Trust, Series 2007-2, Class A4, 5.76% (1 mo. USD
Term SOFR + 0.40%), due 01/25/33(b)
|
721,083
|
370,000
|
|
Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.22%, due
06/16/42 144A
|
350,785
|
1,359,725
|
|
Neighborly Issuer LLC, Series 2023-1A, Class A2, 7.31%, due 01/30/53 144A
|
1,364,158
|
250,000
|
|
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 11.59% (3 mo. USD
Term SOFR + 6.18%), due 10/21/30(b) 144A
|
252,479
|
750,000
|
|
Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class DR, 8.51% (3
mo. USD Term SOFR + 3.11%), due 10/18/29(b) 144A
|
747,394
|
750,000
|
|
Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class DR, 8.56% (3
mo. USD Term SOFR + 3.16%), due 10/16/33(b) 144A
|
740,938
|
500,000
|
|
Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class CR, 7.52% (3
mo. USD Term SOFR + 2.10%), due 01/20/35(b) 144A
|
488,643
|
2,805,000
|
|
Neuberger Berman Loan Advisers CLO 36 Ltd., Series 2020-36A, Class A1R, 6.93% (3
mo. USD Term SOFR + 1.51%), due 04/20/33(b) 144A
|
2,808,882
|
480,000
|
|
Neuberger Berman Loan Advisers CLO 44 Ltd., Series 2021-44A, Class E, 11.66% (3
mo. USD Term SOFR + 6.26%), due 10/16/34(b) 144A
|
474,849
|
700,000
|
|
Ocean Trails CLO IX, Series 2020-9A, Class CR, 8.21% (3 mo. USD Term SOFR +
2.81%), due 10/15/34(b) 144A
|
702,620
|
750,000
|
|
Ocean Trails CLO IX, Series 2020-9A, Class DR, 9.41% (3 mo. USD Term SOFR +
4.01%), due 10/15/34(b) 144A
|
736,702
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
930,000
|
|
Ocean Trails CLO XIV Ltd., Series 2023-14A, Class A1, 7.42% (3 mo. USD Term
SOFR + 2.00%), due 01/20/35(b) 144A
|
934,084
|
1,285,000
|
|
OCP CLO Ltd., Series 2015-9A, Class BR2, 7.14% (3 mo. USD Term SOFR + 1.75%),
due 01/15/33(b) 144A
|
1,267,091
|
325,000
|
|
Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, 8.28% (3 mo. USD Term
SOFR + 2.86%), due 01/20/31(b) 144A
|
310,684
|
275,000
|
|
OHA Credit Funding 2 Ltd., Series 2019-2A, Class BR, 7.27% (3 mo. USD Term SOFR
+ 1.86%), due 04/21/34(b) 144A
|
275,430
|
1,000,000
|
|
OHA Credit Funding 4 Ltd., Series 2019-4A, Class BR, 7.32% (3 mo. USD Term SOFR
+ 1.91%), due 10/22/36(b) 144A
|
1,002,455
|
500,000
|
|
OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, 6.70% (3 mo. USD Term SOFR
+ 1.30%), due 02/24/37(b) 144A
|
499,372
|
850,000
|
|
Option One Mortgage Loan Trust, Series 2005-3, Class M4, 6.40% (1 mo. USD Term
SOFR + 1.04%), due 08/25/35(b)
|
687,222
|
250,000
|
|
Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, 7.48% (3 mo. USD Term SOFR +
2.06%), due 04/20/32(b) 144A
|
249,755
|
605,000
|
|
OZLM XXIII Ltd., Series 2019-23A, Class B1R, 7.51% (3 mo. USD Term SOFR +
2.11%), due 04/15/34(b) 144A
|
603,883
|
2,335,000
|
|
Palmer Square CLO Ltd., Series 2021-2A, Class A, 6.81% (3 mo. USD Term SOFR +
1.41%), due 07/15/34(b) 144A
|
2,337,475
|
300,000
|
|
Palmer Square CLO Ltd., Series 2021-4A, Class B, 7.31% (3 mo. USD Term SOFR +
1.91%), due 10/15/34(b) 144A
|
300,604
|
250,000
|
|
Palmer Square Loan Funding Ltd., Series 2021-2A, Class B, 7.03% (3 mo. USD Term
SOFR + 1.66%), due 05/20/29(b) 144A
|
248,814
|
890,000
|
|
Palmer Square Loan Funding Ltd., Series 2022-3A, Class C, 10.79% (3 mo. USD Term
SOFR + 5.40%), due 04/15/31(b) 144A
|
894,991
|
250,000
|
|
Parallel Ltd., Series 2017-1A, Class CR, 7.68% (3 mo. USD Term SOFR + 2.26%), due
07/20/29(b) 144A
|
247,951
|
575,000
|
|
Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A, Class B, 7.41% (3 mo.
USD Term SOFR + 2.01%), due 07/15/34(b) 144A
|
575,028
|
390,000
|
|
Peace Park CLO Ltd., Series 2021-1A, Class E, 11.68% (3 mo. USD Term SOFR +
6.26%), due 10/20/34(b) 144A
|
383,570
|
435,850
|
|
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48
144A
|
426,506
|
1,005,000
|
|
PPM CLO Ltd., Series 2018-1A, Class B2, 7.51% (3 mo. USD Term SOFR + 2.11%),
due 07/15/31(b) 144A
|
1,006,527
|
520,000
|
|
Rad CLO Ltd., Series 2023-21A, Class D, 9.77% (3 mo. USD Term SOFR + 4.40%),
due 01/25/33(b) 144A
|
522,216
|
275,559
|
|
Renaissance Home Equity Loan Trust, Series 2003-2, Class A, 4.16% (1 mo. USD Term
SOFR + 0.99%), due 08/25/33(b)
|
251,483
|
1,160,000
|
|
Residential Asset Securities Corporation Trust, Series 2006-KS2, Class M3, 6.09% (1
mo. USD Term SOFR + 0.73%), due 03/25/36(b)
|
1,091,316
|
1,391,491
|
|
Rockford Tower CLO Ltd., Series 2018-1A, Class A, 6.73% (3 mo. USD Term SOFR +
1.36%), due 05/20/31(b) 144A
|
1,393,278
|
325,000
|
|
Rockford Tower CLO Ltd., Series 2021-3A, Class B, 7.43% (3 mo. USD Term SOFR +
2.01%), due 10/20/34(b) 144A
|
323,912
|
720,000
|
|
RR 18 Ltd., Series 2021-18A, Class D, 11.91% (3 mo. USD Term SOFR + 6.51%), due
10/15/34(b) 144A
|
707,882
|
430,000
|
|
Sculptor CLO XXVI Ltd., Series 26A, Class E, 12.93% (3 mo. USD Term SOFR +
7.51%), due 07/20/34(b) 144A
|
413,846
|
515,000
|
|
Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 8.58% (3 mo. USD Term
SOFR + 3.16%), due 04/20/34(b) 144A
|
515,860
|
54,000
|
|
SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 8.96%, due
06/15/32(c)
|
53,561
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Asset Backed Securities — continued
|
|
50,000
|
|
SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 8.97%, due 03/15/33(c)
|
49,695
|
377,896
|
|
SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53
144A
|
340,718
|
1,500,000
|
|
SMB Private Education Loan Trust, Series 2023-B, Class B, 5.77%, due 10/16/56 144A
|
1,486,812
|
940,000
|
|
Southwick Park CLO LLC, Series 2019-4A, Class DR, 8.63% (3 mo. USD Term SOFR
+ 3.21%), due 07/20/32(b) 144A
|
941,044
|
548,041
|
|
Stonepeak ABS, Series 2021-1A, Class A, 2.68%, due 02/28/33 144A
|
500,075
|
800,000
|
|
Stratus CLO Ltd., Series 2022-1A, Class D, 9.67% (3 mo. USD Term SOFR + 4.25%),
due 07/20/30(b) 144A
|
804,190
|
1,050,000
|
|
Sycamore Tree CLO Ltd., Series 2023-2A, Class A, 7.75% (3 mo. USD Term SOFR +
2.33%), due 04/20/35(b) 144A
|
1,052,782
|
1,000,000
|
|
Symphony CLO XXV Ltd., Series 2021-25A, Class D, 9.26% (3 mo. USD Term SOFR
+ 3.86%), due 04/19/34(b) 144A
|
986,529
|
790,000
|
|
Trinitas CLO XXVI Ltd., Series 2023-26A, Class C, 1.00% (3 mo. USD Term SOFR +
2.95%), due 01/20/35(b)(d) 144A
|
791,975
|
650,000
|
|
TSTAT Ltd., Series 2022-2A, Class C, 10.22% (3 mo. USD Term SOFR + 4.80%), due
01/20/31(b) 144A
|
653,960
|
620,000
|
|
Valley Stream Park CLO Ltd., Series 2022-1A, Class DR, 9.57% (3 mo. USD Term
SOFR + 4.15%), due 10/20/34(b) 144A
|
617,415
|
500,000
|
|
Venture 43 CLO Ltd., Series 2021-43A, Class D, 9.13% (3 mo. USD Term SOFR +
3.73%), due 04/15/34(b) 144A
|
469,935
|
500,000
|
|
Verde CLO Ltd., Series 2019-1A, Class DR, 8.91% (3 mo. USD Term SOFR + 3.51%),
due 04/15/32(b) 144A
|
494,749
|
660,000
|
|
Voya CLO Ltd., Series 2017-2A, Class A2AR, 7.31% (3 mo. USD Term SOFR +
1.91%), due 06/07/30(b) 144A
|
656,400
|
260,000
|
|
Voya CLO Ltd., Series 2017-3A, Class DR, 12.63% (3 mo. USD Term SOFR + 7.21%),
due 04/20/34(b) 144A
|
252,262
|
255,000
|
|
Whitebox CLO I Ltd., Series 2019-1A, Class ANBR, 7.36% (3 mo. USD Term SOFR +
1.96%), due 07/24/32(b) 144A
|
255,634
|
260,000
|
|
Whitebox CLO II Ltd., Series 2020-2A, Class A1R, 6.88% (3 mo. USD Term SOFR +
1.48%), due 10/24/34(b) 144A
|
260,229
|
250,000
|
|
Wind River CLO Ltd., Series 2021-4A, Class B, 7.33% (3 mo. USD Term SOFR +
1.91%), due 01/20/35(b) 144A
|
243,327
|
|
|
|
79,474,350
|
|
|
Bank Loans — 11.0%
|
|
720,000
|
|
1011778 BC Unlimited Liability Co., 7.61% (1 mo. USD Term SOFR + 2.25%), due
09/20/30(b)
|
721,221
|
1,941,423
|
|
19th Holdings Golf LLC, 2022 Term Loan B, 8.70% (1 mo. USD Term SOFR + 3.35%),
due 02/07/29(b)
|
1,931,716
|
1,151
|
|
ACProducts, Inc., 2021 Term Loan B, 9.86% (3 mo. USD Term SOFR + 4.25%), due
05/17/28(b)
|
1,012
|
803,925
|
|
Acrisure LLC, 9.89% (3 mo. USD Term SOFR + 4.50%), due 11/06/30(b)
|
807,442
|
121,460
|
|
Acrisure LLC, 2020 Term Loan B, 9.15% (3 mo. USD LIBOR + 3.50%), due
02/15/27(b)
|
121,406
|
984,925
|
|
Acrisure LLC, 2021 First Lien Term Loan B, 9.90% (3 mo. USD LIBOR + 4.25%), due
02/15/27(b)
|
988,618
|
523,900
|
EUR
|
Adevinta ASA, EUR Term Loan B, 6.43% (3 mo. EURIBOR + 2.50%), due 06/26/28(b)
|
580,690
|
169,681
|
|
Adtalem Global Education, Inc., 2021 Term Loan B, 9.47% (1 mo. USD Term SOFR +
4.00%), due 08/12/28(b)
|
170,402
|
710,000
|
|
Advisor Group, Inc., 2023 Term Loan B, 9.86% (1 mo. USD Term SOFR + 4.50%), due
08/17/28(b)
|
713,150
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
2,149,613
|
|
Agiliti Health, Inc., 2023 Term Loan, 8.39% (3 mo. USD Term SOFR + 3.00%), due
05/01/30(b)
|
2,152,300
|
1,400,000
|
|
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan TBD, due 07/31/28(e)
|
1,407,875
|
778,050
|
|
A-L Parent LLC, 2023 Take Back Term Loan, 10.86% (1 mo. USD Term SOFR +
5.50%), due 06/30/28(b)(e)
|
752,277
|
771,907
|
|
Allen Media LLC, 2021 Term Loan B, 11.00% (3 mo. USD Term SOFR + 5.50%), due
02/10/27(b)
|
691,500
|
1,547,860
|
|
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 9.21% (1 mo. USD
Term SOFR + 3.75%), due 05/12/28(b)
|
1,541,330
|
558,600
|
|
Allied Universal Holdco LLC, 2023 Term Loan B, 10.11% (1 mo. USD Term SOFR +
4.75%), due 05/12/28(b)
|
559,797
|
1,280,500
|
|
Amentum Government Services Holdings LLC, 2022 Term Loan, 9.36% (1 mo. USD
Term SOFR + 4.00%), due 02/15/29(b)
|
1,283,701
|
487,103
|
|
Amentum Government Services Holdings LLC, Term Loan B, 9.47% (1 mo. USD Term
SOFR + 4.00%), due 01/29/27(b)
|
488,625
|
1,539,506
|
|
American Airlines, Inc., 2021 Term Loan, 10.43% (3 mo. USD Term SOFR + 4.75%),
due 04/20/28(b)
|
1,585,691
|
1,275,545
|
|
AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 8.97% (1 mo. USD Term
SOFR + 3.50%), due 11/30/28(b)
|
1,272,886
|
1,248,901
|
|
AmWINS Group, Inc., 2021 Term Loan B, 7.61% (1 mo. USD Term SOFR + 2.25%),
due 02/19/28(b)
|
1,252,024
|
987,519
|
|
AmWINS Group, Inc., 2023 Incremental Term Loan B, 8.11% (1 mo. USD Term SOFR
+ 2.75%), due 02/19/28(b)
|
991,575
|
342,020
|
|
Anticimex International AB, 2021 USD Term Loan B1, 8.50% (3 mo. USD Term SOFR
+ 3.15%), due 11/16/28(b)
|
342,234
|
145,182
|
|
Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 8.97%
(1 mo. USD Term SOFR + 3.50%), due 03/11/28(b)
|
142,641
|
1,268,285
|
|
Arctic Canadian Diamond Co. Ltd., 2nd Lien PIK Term Loan, 10.00% (3 mo. USD
LIBOR + 10.00%, PIK), due 12/31/27(b)(f)
|
1,136,891
|
1,299,260
|
EUR
|
Aruba Investments, Inc., 2020 EUR Term Loan, 7.84% (1 mo. EURIBOR + 4.00%), due
11/24/27(b)
|
1,363,466
|
642,700
|
|
Aruba Investments, Inc., 2020 USD Term Loan, 9.46% (1 mo. USD Term SOFR +
4.00%), due 11/24/27(b)
|
637,345
|
638,165
|
|
AssuredPartners, Inc., 9.11% (1 mo. USD Term SOFR + 3.75%), due 02/12/27(b)
|
641,595
|
900,000
|
|
Asurion LLC, 2021 Second Lien Term Loan B4, 10.72% (1 mo. USD Term SOFR +
5.25%), due 01/20/29(b)
|
852,349
|
491,696
|
|
Asurion LLC, 2021 Term Loan B9, 8.61% (1 mo. USD Term SOFR + 3.25%), due
07/31/27(b)
|
488,930
|
605,363
|
|
Asurion LLC, 2022 Term Loan B10, 9.36% (1 mo. USD Term SOFR + 4.00%), due
08/19/28(b)
|
603,377
|
105,374
|
|
Athenahealth Group, Inc., 2022 Term Loan B, 8.61% (1 mo. USD Term SOFR +
3.25%), due 02/15/29(b)
|
105,154
|
1,469,195
|
|
Autokiniton U.S. Holdings, Inc., 2021 Term Loan B, 9.97% (1 mo. USD Term SOFR +
4.50%), due 04/06/28(b)
|
1,477,000
|
672,315
|
|
Barnes Group, Inc., Term Loan B, 8.46% (1 mo. USD Term SOFR + 3.00%), due
09/03/30(b)
|
675,046
|
690,270
|
|
Bausch & Lomb Corp., 9.36% (1 mo. USD Term SOFR + 4.00%), due 09/29/28(b)
|
691,133
|
1,233,580
|
|
Belron Finance U.S. LLC, 2023 1st Lien Term Loan TBD, due 04/18/29(e)
|
1,238,206
|
1,233,800
|
|
Belron Finance U.S. LLC, 2023 Term Loan, 8.00% (3 mo. USD Term SOFR + 2.50%),
due 04/18/29(b)
|
1,237,877
|
1,118,000
|
EUR
|
Belron Luxembourg SARL, 6.38% (3 mo. EURIBOR + 2.43%), due 04/13/28(b)
|
1,240,402
|
287,207
|
|
Brown Group Holding LLC, 2022 Incremental Term Loan B2, 9.14% (3 mo. USD Term
SOFR + 3.75%), due 07/02/29(b)
|
288,438
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
243,910
|
|
Brown Group Holding LLC, 2022 Incremental Term Loan B2, 9.11% (1 mo. USD Term
SOFR + 3.75%), due 07/02/29
|
244,955
|
605,253
|
|
Brown Group Holding LLC, 2022 Incremental Term Loan B2, 9.13% (3 mo. USD Term
SOFR + 3.75%), due 07/02/29(b)
|
607,847
|
494,576
|
|
Brown Group Holding LLC, Term Loan B, 8.21% (1 mo. USD Term SOFR + 2.75%),
due 06/07/28(b)
|
495,437
|
317,600
|
|
Caesars Entertainment Corp., Term Loan B, 8.71% (1 mo. USD Term SOFR + 3.25%),
due 02/06/30(b)
|
318,990
|
388,190
|
|
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, 8.47% (1 mo. USD
Term SOFR + 3.00%), due 10/30/26(b)
|
388,884
|
618,395
|
|
Camelot U.S. Acquisition LLC, Term Loan B, 8.47% (1 mo. USD Term SOFR +
3.00%), due 10/30/26(b)
|
620,018
|
1,372,503
|
|
Cardinal Parent, Inc., 2020 Term Loan B, 10.00% (3 mo. USD Term SOFR + 4.50%),
due 11/12/27(b)
|
1,264,419
|
388,050
|
|
Carnival Corp., 2023 Term Loan B, 8.36% (1 mo. USD Term SOFR + 3.00%), due
08/08/27(b)
|
389,505
|
854,021
|
EUR
|
Carnival Corp., EUR Term Loan B, 7.59% (1 mo. EURIBOR + 3.75%), due 06/30/25(b)
|
945,818
|
790,188
|
|
Carriage Purchaser, Inc., 2021 Term Loan B, 9.72% (1 mo. USD Term SOFR + 4.25%),
due 10/02/28(b)
|
784,262
|
888,750
|
|
CB Poly U.S. Holdings, Inc., Term Loan B, 10.85% (3 mo. USD Term SOFR + 5.50%),
due 05/18/29(b)
|
883,751
|
1,788,803
|
|
CCI Buyer, Inc., Term Loan, 9.36% (3 mo. USD Term SOFR + 4.00%), due 12/17/27(b)
|
1,785,928
|
995,363
|
|
Cengage Learning, Inc., 2021 Term Loan B, 10.41% (3 mo. USD Term SOFR + 4.75%),
due 07/14/26(b)
|
999,774
|
1,987,487
|
|
Central Parent, Inc., 9.35% (3 mo. USD Term SOFR + 4.00%), due 07/06/29(b)
|
1,999,337
|
874,160
|
|
Chamberlain Group, Inc., Term Loan B, 8.71% (1 mo. USD Term SOFR + 3.25%), due
11/03/28(b)
|
873,067
|
1,547,066
|
|
Cimpress Public Ltd. Co., USD Term Loan B, 8.97% (1 mo. USD Term SOFR +
3.50%), due 05/17/28(b)
|
1,549,000
|
1,478,825
|
|
Cinemark USA, Inc., 2023 Term Loan B, 9.11% (1 mo. USD Term SOFR + 3.75%), due
05/24/30(b)
|
1,481,783
|
2,443,657
|
|
Citadel Securities LP, 2023 Term Loan B, 7.97% (1 mo. USD Term SOFR + 2.50%),
due 07/29/30(b)
|
2,451,141
|
897,750
|
|
Clarios Global LP, 2023 Incremental Term Loan, 9.11% (1 mo. USD Term SOFR +
3.75%), due 05/06/30(b)
|
900,555
|
535,342
|
|
Clear Channel Outdoor Holdings, Inc., Term Loan B, 9.14% (3 mo. USD Term SOFR +
3.50%), due 08/21/26(b)
|
530,858
|
820,000
|
|
Cloudera, Inc., 9.21% (1 mo. USD Term SOFR + 3.75%), due 10/08/28(b)
|
814,533
|
160,000
|
|
Cloudera, Inc., 2021 Second Lien Term Loan, 11.46% (1 mo. USD Term SOFR +
6.00%), due 10/08/29(b)
|
154,133
|
719,050
|
|
Clydesdale Acquisition Holdings, Inc., Term Loan B, 9.63% (1 mo. USD Term SOFR +
4.18%), due 04/13/29(b)
|
723,421
|
2,089,035
|
|
CommScope, Inc., 2019 Term Loan B, 8.72% (1 mo. USD Term SOFR + 3.25%), due
04/06/26(b)
|
1,871,209
|
1,475,175
|
|
Crown Subsea Communications Holding, Inc., 2023 Incremental Term Loan, 10.71% (1
mo. USD Term SOFR + 5.25%), due 04/27/27(b)
|
1,484,855
|
588,908
|
|
CTC Holdings LP, Term Loan B, 10.52% (3 mo. USD Term SOFR + 5.00%), due
02/20/29(b)
|
585,227
|
1,696,806
|
|
DCert Buyer, Inc., 2019 Term Loan B, 9.36% (1 mo. USD Term SOFR + 4.00%), due
10/16/26(b)
|
1,685,273
|
915,200
|
|
DCert Buyer, Inc., 2021 2nd Lien Term Loan, 12.36% (1 mo. USD Term SOFR +
7.00%), due 02/19/29(b)
|
836,836
|
835,941
|
|
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 9.10% (3 mo. USD Term
SOFR + 3.75%), due 04/09/27(b)
|
830,716
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
288,100
|
|
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan, 12.36% (3 mo. USD
Term SOFR + 6.75%), due 04/07/28(b)
|
276,936
|
2,610,315
|
|
DirecTV Financing LLC, Term Loan, 10.65% (3 mo. USD Term SOFR + 5.00%), due
08/02/27(b)
|
2,620,104
|
1,150,000
|
|
DS Parent, Inc., Term Loan B TBD, due 12/13/30(e)
|
1,101,125
|
1,646,590
|
|
Dun & Bradstreet Corp., 2023 Term Loan B, 8.21% (1 mo. USD Term SOFR + 2.75%),
due 02/06/26(b)
|
1,651,864
|
348,788
|
|
Electron BidCo, Inc., 2021 Term Loan, 8.47% (1 mo. USD Term SOFR + 3.00%), due
11/01/28(b)
|
350,095
|
1,091,080
|
|
Embecta Corp., Term Loan B, 8.36% (1 mo. USD Term SOFR + 3.00%), due
03/30/29(b)
|
1,073,010
|
1,099,053
|
|
Emrld Borrower LP, Term Loan B, 8.36% (1 mo. USD Term SOFR + 3.00%), due
05/31/30(b)
|
1,103,664
|
933,094
|
|
Endure Digital, Inc., Term Loan, 9.42% (6 mo. USD Term SOFR + 3.50%), due
02/10/28(b)
|
916,620
|
336,015
|
|
EP Purchaser LLC, 2021 Term Loan B, 9.11% (3 mo. USD Term SOFR + 3.50%), due
11/06/28(b)
|
333,810
|
176,575
|
|
Equinox Holdings, Inc., 2020 Term Loan B2, 14.61% (6 mo. USD LIBOR + 9.00%),
due 03/08/24(b)
|
173,109
|
441,000
|
|
EVERTEC Group LLC, 8.96% (1 mo. USD Term SOFR + 3.50%), due 10/30/30(b)
|
442,654
|
440,000
|
|
EyeCare Partners LLC, 12.39% (3 mo. USD Term SOFR + 6.75%), due 11/15/29(b)
|
132,734
|
471,600
|
|
EyeCare Partners LLC, 2021 Incremental Term Loan, 9.39% (3 mo. USD Term SOFR +
3.75%), due 11/15/28(b)
|
236,743
|
990,000
|
|
EyeCare Partners LLC, 2022 Incremental Term Loan, 9.98% (3 mo. USD Term SOFR +
4.50%), due 11/15/28(b)
|
492,525
|
282,220
|
|
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, 8.72% (1 mo. USD Term
SOFR + 3.25%), due 11/24/28(b)
|
282,220
|
1,098,353
|
|
First Brands Group LLC, 2021 Term Loan, 10.88% (6 mo. USD Term SOFR + 5.00%),
due 03/30/27(b)(e)
|
1,091,946
|
1,511,658
|
|
First Brands Group LLC, 2022 Incremental Term Loan, 10.88% (6 mo. USD Term
SOFR + 5.00%), due 03/30/27(b)
|
1,502,210
|
1,310,000
|
|
Flutter Entertainment PLC, 7.70% (3 mo. USD Term SOFR + 2.25%), due 11/25/30(b)
|
1,314,640
|
477,974
|
|
Focus Financial Partners LLC, 2021 Term Loan B4, 7.86% (1 mo. USD Term SOFR +
2.50%), due 06/30/28(b)
|
478,871
|
113,573
|
EUR
|
Froneri International Ltd., 2020 EUR Term Loan B1, 6.10% (6 mo. EURIBOR +
2.13%), due 01/29/27(b)
|
124,478
|
648,755
|
|
Gainwell Acquisition Corp., Term Loan B, 9.45% (3 mo. USD Term SOFR + 4.00%),
due 10/01/27(b)
|
632,537
|
2,323,926
|
|
Garda World Security Corp., 2021 Term Loan B, 9.72% (3 mo. USD Term SOFR +
4.25%), due 10/30/26(b)
|
2,331,007
|
720,875
|
|
Garda World Security Corp., 2022 Term Loan B, 9.62% (3 mo. USD Term SOFR +
4.25%), due 02/01/29(b)
|
722,527
|
984,655
|
|
Genesee & Wyoming, Inc., Term Loan, 7.45% (3 mo. USD Term SOFR + 2.00%), due
12/30/26(b)
|
988,245
|
715,879
|
|
Geo Group, Inc., 2022 Tranche 1 Term Loan, 12.48% (1 mo. USD Term SOFR +
7.13%), due 03/23/27(b)
|
732,285
|
864,028
|
|
Gray Television, Inc., 2021 Term Loan D, 8.46% (1 mo. USD Term SOFR + 3.00%),
due 12/01/28(b)
|
858,927
|
521,723
|
|
Greystone Select Financial LLC, Term Loan B, 10.66% (3 mo. USD Term SOFR +
5.00%), due 06/16/28(b)
|
519,114
|
498,701
|
|
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 7.54% (3 mo. USD
Term SOFR + 2.00%), due 11/15/27(b)
|
499,169
|
372,000
|
EUR
|
GTCR W Merger Sub LLC, EUR Term Loan B TBD, due 09/20/30(e)
|
412,988
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
3,308,000
|
|
GTCR W Merger Sub LLC, USD Term Loan B TBD, due 09/20/30(e)
|
3,321,679
|
1,501,840
|
|
Harbor Freight Tools USA, Inc., 2021 Term Loan B, 8.22% (1 mo. USD Term SOFR +
2.75%), due 10/19/27(b)
|
1,502,181
|
375,250
|
|
Hayward Industries, Inc., 2022 Term Loan, 8.71% (1 mo. USD Term SOFR + 3.25%),
due 05/30/28(b)
|
375,133
|
179,100
|
|
Howden Group Holdings Ltd., 2023 USD Term Loan B, 9.36% (1 mo. USD Term SOFR
+ 4.00%), due 04/18/30(b)
|
179,716
|
983,327
|
|
Hudson River Trading LLC, 2021 Term Loan, 8.36% (1 mo. USD Term SOFR +
3.00%), due 03/20/28(b)
|
981,637
|
1,174,814
|
|
II-VI, Inc., 2022 Term Loan B, 8.22% (1 mo. USD Term SOFR + 2.75%), due
07/02/29(b)
|
1,181,422
|
620,277
|
|
Ingram Micro, Inc., 8.61% (3 mo. USD Term SOFR + 3.00%), due 06/30/28(b)
|
622,991
|
89,778
|
|
International Textile Group, Inc., 2023 Last Out Term Loan TBD, due 09/30/27(e)
|
71,261
|
59,700
|
|
International Textile Group, Inc., 2023 Term Loan, 14.04% (3 mo. USD Term SOFR +
8.65%), due 09/30/27(b)(e)
|
59,476
|
1,127,000
|
|
Iron Mountain, Inc., 2023 Term Loan B TBD, due 12/06/30(e)
|
1,128,760
|
517,483
|
|
IXS Holdings, Inc., 2020 Term Loan B, 9.85% (3 mo. USD Term SOFR + 4.25%), due
03/05/27(b)
|
447,299
|
1,605,380
|
|
Jazz Financing Lux SARL, USD Term Loan, 8.97% (1 mo. USD Term SOFR + 3.50%),
due 05/05/28(b)
|
1,614,912
|
1,597,399
|
|
Jump Financial LLC, Term Loan B, 10.11% (3 mo. USD Term SOFR + 4.50%), due
08/07/28(b)
|
1,589,412
|
744,792
|
|
Knight Health Holdings LLC, Term Loan B, 10.72% (1 mo. USD Term SOFR + 5.25%),
due 12/23/28(b)
|
215,990
|
830,544
|
|
Lakeshore Intermediate LLC, Term Loan, 8.86% (1 mo. USD Term SOFR + 3.50%),
due 09/29/28(b)
|
830,959
|
990,000
|
|
LIDS Holdings, Inc., Term Loan, 11.03% (3 mo. USD Term SOFR + 5.50%), due
12/14/26(b)
|
960,300
|
2,736,790
|
|
LifePoint Health, Inc., 2023 Term Loan B, 11.17% (3 mo. USD Term SOFR + 5.50%),
due 11/16/28(b)
|
2,733,085
|
686,000
|
|
LRS Holdings LLC, Term Loan B, 9.72% (1 mo. USD Term SOFR + 4.25%), due
08/31/28(b)
|
675,710
|
615,662
|
|
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 10.64% (3 mo. USD Term SOFR
+ 5.00%), due 07/27/28(b)
|
432,887
|
2,451,014
|
|
MajorDrive Holdings IV LLC, Term Loan B, 9.36% (3 mo. USD Term SOFR + 4.00%),
due 06/01/28(b)
|
2,447,950
|
934,095
|
|
McGraw-Hill Global Education Holdings LLC, 2021 Term Loan, 10.11% (1 mo. USD
Term SOFR + 4.75%), due 07/28/28(b)
|
934,679
|
937,855
|
|
Medline Borrower LP, USD Term Loan B, 8.47% (1 mo. USD Term SOFR + 3.00%),
due 10/23/28(b)
|
942,603
|
1,083,555
|
|
MH Sub I LLC, 2023 Term Loan, 9.61% (1 mo. USD Term SOFR + 4.25%), due
05/03/28(b)
|
1,067,235
|
874,283
|
|
Michaels Cos., Inc., 2021 Term Loan B, 9.86% (3 mo. USD Term SOFR + 4.25%), due
04/15/28(b)
|
731,665
|
1,990,848
|
|
MKS Instruments, Inc., 2023 Term Loan B, 7.84% (1 mo. USD Term SOFR + 2.50%),
due 08/17/29(b)
|
1,997,957
|
785,980
|
|
MPH Acquisition Holdings LLC, 2021 Term Loan B, 9.90% (3 mo. USD Term SOFR +
4.25%), due 09/01/28(b)(e)
|
758,821
|
180,725
|
|
MRI Software LLC, 2020 Term Loan, 10.95% (3 mo. USD Term SOFR + 5.50%), due
02/10/26(b)
|
177,336
|
742,010
|
|
MRI Software LLC, 2020 Term Loan B, 10.95% (3 mo. USD Term SOFR + 5.50%),
due 02/10/27(b)
|
730,880
|
1,343,250
|
|
Neptune Bidco U.S., Inc., 2022 USD Term Loan A, 10.26% (3 mo. USD Term SOFR +
4.75%), due 04/11/29(b)
|
1,229,314
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
2,539,455
|
|
Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 10.51% (3 mo. USD Term SOFR +
5.00%), due 04/11/29(b)
|
2,328,589
|
1,170,000
|
|
Nexus Buyer LLC, 2023 Term Loan B2, 9.74% (1 week USD Term SOFR + 4.50%),
due 12/13/28(b)
|
1,167,075
|
623,000
|
EUR
|
Olympus Water U.S. Holding Corp., 2021 EUR Term Loan B, 7.93% (3 mo. EURIBOR
+ 4.00%), due 11/09/28(b)
|
685,186
|
987,655
|
|
Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 9.36% (3 mo. USD Term
SOFR + 3.75%), due 11/09/28(b)
|
987,099
|
490,000
|
|
Ontario Gaming GTA LP, Term Loan B, 9.60% (3 mo. USD Term SOFR + 4.25%), due
08/01/30(b)
|
492,565
|
792,056
|
EUR
|
Organon & Co., EUR Term Loan B, 6.96% (3 mo. EURIBOR + 3.00%), due 06/02/28(b)
|
876,266
|
461,163
|
|
Oscar AcquisitionCo LLC, Term Loan B, 9.95% (3 mo. USD Term SOFR + 4.50%), due
04/29/29(b)
|
457,832
|
411,611
|
|
Pacific Bells LLC, Term Loan B, 10.11% (3 mo. USD Term SOFR + 4.50%), due
11/10/28(b)
|
411,096
|
1,011,563
|
|
Parexel International Corp., 2021 1st Lien Term Loan, 8.72% (1 mo. USD Term SOFR +
3.25%), due 11/15/28(b)
|
1,017,604
|
843,331
|
EUR
|
Paysafe Holdings (U.S) Corp., EUR Term Loan B2, 6.84% (1 mo. EURIBOR + 3.00%),
due 06/28/28(b)
|
909,072
|
656,600
|
|
PECF USS Intermediate Holding III Corp., Term Loan B, 9.89% (3 mo. USD Term
SOFR + 4.25%), due 12/15/28(b)
|
515,112
|
780,000
|
|
Peer Holding III BV, 2023 USD Term Loan B4 TBD, due 10/28/30(e)
|
783,168
|
560,449
|
|
Peraton Corp., 2nd Lien Term Loan B1, 13.22% (3 mo. USD Term SOFR + 7.75%), due
02/01/29(b)
|
558,961
|
2,471,416
|
|
Peraton Corp., Term Loan B, 9.21% (1 mo. USD Term SOFR + 3.75%), due 02/01/28(b)
|
2,480,066
|
2,003,381
|
|
PetSmart, Inc., 2021 Term Loan B, 9.21% (1 mo. USD Term SOFR + 3.75%), due
02/11/28(b)
|
1,984,349
|
1,253,387
|
|
Planview Parent, Inc., Term Loan, 9.61% (3 mo. USD Term SOFR + 4.00%), due
12/17/27(b)
|
1,247,277
|
588,832
|
|
Prime Security Services Borrower LLC, 2023 Term Loan B, 7.84% (1 mo. USD Term
SOFR + 2.50%), due 10/14/30(b)
|
590,958
|
2,274,061
|
|
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, 10.11% (1 mo.
USD Term SOFR + 4.75%), due 10/28/30(b)
|
2,292,893
|
661,747
|
|
Proofpoint, Inc., 1st Lien Term Loan, 8.72% (1 mo. USD Term SOFR + 3.25%), due
08/31/28(b)
|
663,066
|
599,325
|
|
Quikrete Holdings, Inc., 2023 Term Loan B, 8.22% (1 mo. USD Term SOFR + 2.75%),
due 03/19/29(b)
|
602,097
|
945,853
|
|
Rand Parent LLC, 2023 Term Loan B, 9.61% (3 mo. USD Term SOFR + 4.25%), due
03/17/30(b)
|
944,079
|
483,111
|
|
Redstone Holdco 2 LP, 2021 Term Loan, 10.22% (1 mo. USD Term SOFR + 4.75%),
due 04/27/28(b)
|
367,391
|
933,954
|
EUR
|
Roper Industrial Products Investment Co. LLC, 2023 EUR Term Loan, 8.43% (3 mo.
EURIBOR + 4.50%), due 11/22/29(b)
|
1,035,131
|
936,295
|
|
Roper Industrial Products Investment Co. LLC, 2023 EUR Term Loan TBD, due
11/22/29(e)
|
1,037,726
|
1,533,431
|
|
Roper Industrial Products Investment Co. LLC, 2023 USD Term Loan, 9.36% (3 mo.
USD Term SOFR + 4.00%), due 11/22/29(b)
|
1,538,706
|
991,357
|
|
RR Donnelley & Sons Co., 2023 Term Loan B, 12.71% (1 mo. USD Term SOFR +
7.25%), due 03/08/28(b)
|
992,803
|
192,318
|
|
RSC Acquisition, Inc., 2019 Term Loan, 10.88% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
192,318
|
14,053
|
|
RSC Acquisition, Inc., 2019 Term Loan, 11.00% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
14,053
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
7,378
|
|
RSC Acquisition, Inc., 2019 Term Loan, 11.04% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
7,378
|
24,004
|
|
RSC Acquisition, Inc., 2020 Incremental Term Loan, 11.00% (3 mo. USD Term SOFR +
5.50%), due 11/01/29(b)
|
24,004
|
54,468
|
|
RSC Acquisition, Inc., 2020 Incremental Term Loan, 11.03% (3 mo. USD Term SOFR +
5.50%), due 11/01/29(b)
|
54,468
|
5,199
|
|
RSC Acquisition, Inc., 2020 Incremental Term Loan, 11.04% (3 mo. USD Term SOFR +
5.50%), due 11/01/29(b)
|
5,199
|
109,735
|
|
RSC Acquisition, Inc., 2021 Term Loan C, 11.00% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
109,735
|
34,854
|
|
RSC Acquisition, Inc., 2021 Term Loan C, 11.03% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
34,854
|
10,019
|
|
RSC Acquisition, Inc., 2021 Term Loan C, 11.04% (3 mo. USD Term SOFR + 5.50%),
due 11/01/29(b)
|
10,019
|
45,700
|
|
RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.00% (3 mo. USD
Term SOFR + 5.50%), due 11/01/29(b)
|
45,700
|
25,619
|
|
RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.03% (3 mo. USD
Term SOFR + 5.50%), due 11/01/29(b)
|
25,619
|
55,654
|
|
RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.04% (3 mo. USD
Term SOFR + 5.50%), due 11/01/29(b)
|
55,654
|
76,250
|
|
RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.58% (3 mo. USD
Term SOFR + 6.00%), due 11/01/29(b)
|
75,869
|
33,986
|
|
RSC Acquisition, Inc., 2023 Delayed Draw Term Loan, 11.35% (3 mo. USD Term
SOFR + 6.00%), due 11/01/29(b)(e)
|
33,816
|
1,110,000
|
|
Ryan LLC, Term Loan, 9.86% (1 mo. USD Term SOFR + 4.50%), due 11/14/30(b)
|
1,115,550
|
3,781,177
|
|
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 9.11% (1 mo. USD
Term SOFR + 3.75%), due 02/24/28(b)
|
3,798,309
|
903,606
|
|
Sinclair Television Group, Inc., 2022 Term Loan B4, 9.21% (1 mo. USD Term SOFR +
3.75%), due 04/21/29(b)
|
742,369
|
550,199
|
|
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 9.17% (3 mo. USD Term SOFR +
3.75%), due 10/20/27(b)
|
564,260
|
437,085
|
|
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, 8.86% (1 mo. USD Term SOFR +
3.50%), due 04/02/29(b)
|
438,178
|
1,080,448
|
|
Solis IV BV, USD Term Loan B1, 8.88% (3 mo. USD Term SOFR + 3.50%), due
02/26/29(b)
|
1,078,760
|
756,200
|
|
Sotera Health Holdings LLC, 2023 Incremental Term Loan B, 9.11% (1 mo. USD Term
SOFR + 3.75%), due 12/11/26(b)
|
757,145
|
582,124
|
|
Spencer Spirit IH LLC, Term Loan B, 11.44% (1 mo. USD Term SOFR + 6.00%), due
06/19/26(b)
|
581,578
|
1,019,553
|
|
SPX FLOW, Inc., 2022 Term Loan, 9.96% (1 mo. USD Term SOFR + 4.50%), due
04/05/29(b)
|
1,024,014
|
1,323,000
|
|
Star Parent, Inc., Term Loan B, 9.35% (3 mo. USD Term SOFR + 4.00%), due
09/27/30(b)
|
1,314,318
|
485,669
|
|
Station Casinos LLC, 2020 Term Loan B, 7.71% (1 mo. USD Term SOFR + 2.25%),
due 02/08/27(b)
|
487,220
|
470,800
|
|
Telenet Financing USD LLC, 2020 USD Term Loan AR, 7.48% (1 mo. USD Term
SOFR + 2.00%), due 04/30/28(b)
|
468,054
|
1,114,984
|
|
Thermostat Purchaser III, Inc., Term Loan, 10.04% (3 mo. USD Term SOFR + 4.50%),
due 08/31/28(b)
|
1,106,622
|
664,975
|
|
Topgolf Callaway Brands Corp., Term Loan B, 8.96% (1 mo. USD Term SOFR +
3.50%), due 03/15/30(b)
|
665,687
|
741,002
|
|
Triton Water Holdings, Inc., Term Loan, 8.86% (3 mo. USD Term SOFR + 3.25%), due
03/31/28(b)
|
735,393
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Bank Loans — continued
|
|
1,265,697
|
|
Uber Technologies, Inc., 2023 Term Loan B, 8.13% (3 mo. USD Term SOFR + 2.75%),
due 03/03/30(b)
|
1,270,531
|
800,231
|
|
UFC Holdings LLC, 2021 Term Loan B, 8.40% (3 mo. USD Term SOFR + 2.75%), due
04/29/26(b)
|
803,732
|
690,726
|
|
Ultimate Software Group, Inc., 2021 Term Loan, 8.76% (3 mo. USD Term SOFR +
3.25%), due 05/04/26(b)
|
693,316
|
753,192
|
|
United Airlines, Inc., 2021 Term Loan B, 9.22% (1 mo. USD Term SOFR + 3.75%), due
04/21/28(b)
|
756,863
|
391,020
|
|
USI, Inc., 2023 Acquisition Term Loan, 8.60% (3 mo. USD Term SOFR + 3.25%), due
09/27/30(b)(e)
|
392,242
|
1,411,200
|
|
UST Holdings Ltd., Term Loan, 8.96% (1 mo. USD Term SOFR + 3.50%), due
11/20/28(b)
|
1,408,554
|
1,703,855
|
|
Verscend Holding Corp., 2021 Term Loan B, 9.47% (1 mo. USD Term SOFR + 4.00%),
due 08/27/25(b)
|
1,708,381
|
1,316,144
|
|
Vertex Aerospace Services Corp., 2021 First Lien Term Loan, 8.71% (1 mo. USD Term
SOFR + 3.50%), due 12/06/28(b)
|
1,319,204
|
1,329,536
|
|
Vertiv Group Corp., 2023 Term Loan B, 7.97% (4 mo. USD Term SOFR + 2.50%), due
03/02/27(b)
|
1,336,017
|
402,967
|
|
VFH Parent LLC, 2022 Term Loan B, 8.46% (1 mo. USD Term SOFR + 3.00%), due
01/13/29(b)(d)
|
404,352
|
590,000
|
|
Virgin Media Bristol LLC, 2023 USD Term Loan Y, 8.79% (6 mo. USD Term SOFR +
3.25%), due 03/31/31(b)
|
589,078
|
1,649,297
|
|
Virgin Media Bristol LLC, USD Term Loan N, 7.98% (1 mo. USD Term SOFR +
2.50%), due 01/31/28(b)
|
1,646,721
|
1,863,800
|
|
VM Consolidated, Inc., 2021 Term Loan B, 8.72% (1 mo. USD Term SOFR + 3.25%),
due 03/24/28(b)
|
1,873,700
|
634,000
|
|
VT Topco, Inc., 2023 Term Loan B, 9.61% (1 mo. USD Term SOFR + 4.25%), due
08/09/30(b)
|
638,023
|
107,926
|
|
Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 10.15% (3 mo. USD
Term SOFR + 4.50%), due 08/18/28(b)
|
68,210
|
1,058,400
|
|
Western Dental Services, Inc., 2021 Term Loan B, 10.15% (3 mo. USD Term SOFR +
4.50%), due 08/18/28(b)
|
668,909
|
481,000
|
|
Wheel Pros LLC, 2023 FILO Term Loan TBD, due 02/10/28(e)
|
518,157
|
725,200
|
|
Worldwide Express Operations LLC, 2021 1st Lien Term Loan, 9.36% (3 mo. USD
Term SOFR + 4.00%), due 07/26/28(b)
|
712,679
|
480,000
|
|
WW International, Inc., 2021 Term Loan B TBD, due 04/13/28(e)
|
342,600
|
|
|
|
174,701,840
|
|
|
Convertible Debt — 0.6%
|
|
410,000
|
|
Block, Inc., 0.13%, due 03/01/25
|
402,579
|
115,000
|
|
Booking Holdings, Inc., 0.75%, due 05/01/25
|
217,212
|
700,000
|
|
Cloudflare, Inc., 3.51%, due 08/15/26(g)
|
631,225
|
175,000
|
|
CyberArk Software Ltd., 0.00%, due 11/15/24(g)
|
248,675
|
165,000
|
|
Datadog, Inc., 0.13%, due 06/15/25
|
231,165
|
270,000
|
|
DISH Network Corp., 3.38%, due 08/15/26
|
144,450
|
1,450,000
|
|
DISH Network Corp., 25.21%, due 12/15/25(g)
|
906,250
|
1,255,000
|
|
DraftKings Holdings, Inc., 5.04%, due 03/15/28(g)
|
1,018,432
|
210,000
|
|
Exact Sciences Corp., 0.38%, due 03/01/28
|
197,400
|
146,000
|
|
Gannett Co., Inc., 6.00%, due 12/01/27 144A
|
118,917
|
105,000
|
|
HubSpot, Inc., 0.38%, due 06/01/25
|
217,927
|
130,000
|
|
Li Auto, Inc., 0.25%, due 05/01/28
|
189,865
|
395,000
|
|
Liberty Media Corp.-Liberty Formula One, 2.25%, due 08/15/27
|
402,674
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Convertible Debt — continued
|
|
620,000
|
|
Liberty TripAdvisor Holdings, Inc., 0.50%, due 06/30/51 144A
|
544,856
|
110,000
|
|
MongoDB, Inc., 0.25%, due 01/15/26
|
217,663
|
970,000
|
|
Northern Oil & Gas, Inc., 3.63%, due 04/15/29
|
1,148,480
|
90,000
|
|
Royal Caribbean Cruises Ltd., 6.00%, due 08/15/25
|
240,030
|
3,070,000
|
|
Stem, Inc., 0.50%, due 12/01/28 144A
|
1,574,634
|
170,000
|
|
Zscaler, Inc., 0.13%, due 07/01/25
|
258,485
|
|
|
|
8,910,919
|
|
|
Corporate Debt — 35.3%
|
|
290,000
|
|
ABN AMRO Bank NV, 4.75%, due 07/28/25 144A
|
284,478
|
1,200,000
|
|
ABN AMRO Bank NV, 6.34% (1 yr. CMT + 1.65%), due 09/18/27(b) 144A
|
1,228,044
|
315,000
|
|
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/02/47 144A
|
290,044
|
427,350
|
|
Accelerate360 Holdings LLC, 8.00%, due 03/01/28 144A
|
442,651
|
700,000
|
|
Adani Ports & Special Economic Zone Ltd., 5.00%, due 08/02/41 144A
|
517,758
|
90,000
|
|
AdaptHealth LLC, 4.63%, due 08/01/29 144A
|
69,551
|
245,000
|
EUR
|
Adevinta ASA, 3.00%, due 11/15/27 144A
|
269,936
|
355,000
|
|
Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A
|
341,849
|
230,000
|
|
Advanced Drainage Systems, Inc., 5.00%, due 09/30/27 144A
|
222,177
|
1,070,000
|
|
Advanced Drainage Systems, Inc., 6.38%, due 06/15/30 144A
|
1,078,703
|
580,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32
|
505,573
|
1,900,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25
|
1,925,331
|
672,735
|
|
AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A
|
566,073
|
590,000
|
|
African Export-Import Bank, 3.80%, due 05/17/31(h)
|
501,776
|
1,590,000
|
|
Air Canada, 3.88%, due 08/15/26 144A
|
1,519,899
|
1,495,000
|
|
Akbank TAS, 6.80%, due 02/06/26 144A
|
1,504,205
|
470,000
|
|
Akumin, Inc., 7.00%, due 11/01/25(i) 144A
|
381,156
|
570,000
|
|
Akumin, Inc., 7.50%, due 08/01/28(i) 144A
|
432,673
|
4,110,000
|
|
Alibaba Group Holding Ltd., 3.15%, due 02/09/51
|
2,709,722
|
410,000
|
|
Allen Media LLC/Allen Media Co.-Issuer, Inc., 10.50%, due 02/15/28 144A
|
219,672
|
910,000
|
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26
144A
|
906,088
|
240,000
|
|
Allison Transmission, Inc., 4.75%, due 10/01/27 144A
|
232,022
|
2,225,000
|
|
Ally Financial, Inc., 6.85% (SOFR + 2.82%), due 01/03/30(b)
|
2,288,993
|
930,000
|
|
Altice Financing SA, 5.75%, due 08/15/29 144A
|
827,343
|
2,120,000
|
|
Altice France Holding SA, 10.50%, due 05/15/27 144A
|
1,375,115
|
470,000
|
|
AMC Entertainment Holdings, Inc., 7.50%, due 02/15/29(j) 144A
|
326,881
|
6,650,000
|
MXN
|
America Movil SAB de CV, 7.13%, due 12/09/24
|
379,790
|
620,500
|
|
American Airlines Pass-Through Trust, 4.95%, due 08/15/26
|
603,123
|
670,000
|
|
American Airlines, Inc., 7.25%, due 02/15/28(j) 144A
|
677,107
|
710,000
|
|
American Airlines, Inc., 8.50%, due 05/15/29 144A
|
750,112
|
683,333
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, due 04/20/26 144A
|
678,919
|
900,000
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, due 04/20/29 144A
|
878,047
|
475,880
|
|
American News Co. LLC, 8.50% (8.5% Cash or 10% PIK), due 09/01/26 144A
|
530,011
|
1,055,000
|
|
Ameriprise Financial, Inc., 4.50%, due 05/13/32
|
1,049,020
|
445,000
|
|
Anglo American Capital PLC, 2.88%, due 03/17/31 144A
|
379,420
|
365,000
|
|
Anglo American Capital PLC, 3.88%, due 03/16/29 144A
|
343,056
|
295,000
|
|
Anglo American Capital PLC, 3.95%, due 09/10/50 144A
|
225,820
|
685,000
|
|
AngloGold Ashanti Holdings PLC, 3.75%, due 10/01/30
|
596,965
|
2,255,000
|
|
Anheuser-Busch InBev Worldwide, Inc., 3.50%, due 06/01/30
|
2,150,840
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
380,000
|
|
Antares Holdings LP, 3.95%, due 07/15/26 144A
|
353,845
|
1,055,000
|
|
Antero Resources Corp., 7.63%, due 02/01/29 144A
|
1,083,620
|
1,855,000
|
|
AP Moller - Maersk AS, 5.88%, due 09/14/33(j) 144A
|
1,940,945
|
164,820
|
EUR
|
ARD Finance SA, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(h)
|
91,811
|
750,000
|
|
ARD Finance SA, 6.50% (6.5% Cash or 7.25% PIK), due 06/30/27 144A
|
351,214
|
900,000
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC,
4.00%, due 09/01/29(j) 144A
|
763,651
|
760,000
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC,
6.00%, due 06/15/27 144A
|
757,610
|
650,000
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A
|
632,673
|
809,875
|
|
Ardonagh Midco 2 PLC, 11.50% (Cash = 11.5% or PIK = 12.75%), due 01/15/27 144A
|
801,434
|
1,570,000
|
|
Arthur J Gallagher & Co., 6.50%, due 02/15/34
|
1,720,270
|
340,000
|
|
Ashtead Capital, Inc., 5.95%, due 10/15/33 144A
|
347,330
|
37,500,000
|
MXN
|
Asian Infrastructure Investment Bank, 9.91%, due 02/08/38(g)(h)
|
610,293
|
557,000
|
|
AT&T, Inc., 3.50%, due 09/15/53
|
406,511
|
450,000
|
|
AT&T, Inc., 3.65%, due 09/15/59
|
324,300
|
275,000
|
|
AT&T, Inc., 3.80%, due 12/01/57
|
205,577
|
980,000
|
|
AthenaHealth Group, Inc., 6.50%, due 02/15/30(j) 144A
|
890,974
|
390,000
|
|
Australia & New Zealand Banking Group Ltd., 2.95% (5 yr. CMT + 1.29%), due
07/22/30(b) 144A
|
370,658
|
60,000
|
|
AutoNation, Inc., 4.75%, due 06/01/30
|
58,009
|
1,415,000
|
|
Avient Corp., 7.13%, due 08/01/30 144A
|
1,473,735
|
780,000
|
|
Avnet, Inc., 5.50%, due 06/01/32
|
774,030
|
650,000
|
|
Avolon Holdings Funding Ltd., 4.25%, due 04/15/26 144A
|
628,530
|
400,000
|
|
B3 SA - Brasil Bolsa Balcao, 4.13%, due 09/20/31 144A
|
349,980
|
2,265,000
|
|
Bain Capital Specialty Finance, Inc., 2.55%, due 10/13/26
|
2,045,319
|
2,600,000
|
|
Banco Bilbao Vizcaya Argentaria SA, 7.88% (1 yr. CMT + 3.30%), due 11/15/34(b)
|
2,836,236
|
500,000
|
|
Banco de Credito e Inversiones SA, 3.50%, due 10/12/27(h)
|
473,282
|
1,290,000
|
|
Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(b)(k) 144A
|
1,218,677
|
800,000
|
|
Banco Santander SA, 4.18% (1 yr. CMT + 2.00%), due 03/24/28(b)
|
771,025
|
1,200,000
|
|
Banco Santander SA, 6.53% (1 yr. CMT + 1.65%), due 11/07/27(b)
|
1,241,573
|
1,400,000
|
|
Banco Santander SA, 6.92%, due 08/08/33
|
1,497,162
|
1,200,000
|
|
Banco Santander SA, 7.50% (5 yr. USD Secured Overnight Financing Rate ICE Swap
Rate + 4.99%)(b)(h)(k)
|
1,200,733
|
740,000
|
|
Banijay Entertainment SASU, 8.13%, due 05/01/29(j) 144A
|
763,570
|
2,430,000
|
|
Bank of America Corp., 5.20% (SOFR + 1.63%), due 04/25/29(b)
|
2,448,577
|
1,645,000
|
|
Bank of America Corp., 6.25% (3 mo. USD Term SOFR + 3.97%)(b)(k)
|
1,635,698
|
1,515,000
|
|
Barclays PLC, 6.13% (5 yr. CMT + 5.87%)(b)(k)
|
1,451,138
|
2,490,000
|
|
Barclays PLC, 7.12% (SOFR + 3.57%), due 06/27/34(b)
|
2,660,324
|
350,000
|
|
Barclays PLC, 8.00% (5 yr. CMT + 5.67%)(b)(k)
|
348,491
|
260,000
|
|
Bath & Body Works, Inc., 5.25%, due 02/01/28
|
257,448
|
430,000
|
|
Bath & Body Works, Inc., 6.63%, due 10/01/30(j) 144A
|
440,118
|
874,000
|
|
Bath & Body Works, Inc., 7.60%, due 07/15/37
|
892,607
|
1,265,000
|
|
Bausch & Lomb Escrow Corp., 8.38%, due 10/01/28 144A
|
1,336,080
|
80,000
|
|
Bausch Health Cos., Inc., 5.00%, due 01/30/28 144A
|
36,484
|
420,000
|
|
Bausch Health Cos., Inc., 5.50%, due 11/01/25 144A
|
384,592
|
340,000
|
|
Bausch Health Cos., Inc., 6.13%, due 02/01/27(j) 144A
|
229,860
|
150,000
|
|
Bausch Health Cos., Inc., 7.00%, due 01/15/28 144A
|
65,558
|
525,000
|
|
Baytex Energy Corp., 8.50%, due 04/30/30 144A
|
543,639
|
2,062,000
|
|
Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A
|
2,016,554
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
3,080,000
|
|
BGC Group, Inc., 4.38%, due 12/15/25
|
2,958,745
|
840,000
|
|
BlackRock TCP Capital Corp., 2.85%, due 02/09/26
|
784,715
|
2,105,000
|
|
Blackstone Private Credit Fund, 2.63%, due 12/15/26
|
1,907,624
|
2,680,000
|
|
Blackstone Secured Lending Fund, 2.85%, due 09/30/28
|
2,325,241
|
655,000
|
|
Blue Owl Capital Corp. II, 8.45%, due 11/15/26 144A
|
675,533
|
740,000
|
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A
|
750,399
|
1,365,000
|
|
BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(b)(k) 144A
|
1,090,696
|
1,930,000
|
|
BNP Paribas SA, 4.63% (5 yr. CMT + 3.20%)(b)(k) 144A
|
1,691,140
|
1,820,000
|
|
BNP Paribas SA, 7.75% (5 yr. CMT + 4.90%)(b)(k) 144A
|
1,862,381
|
310,000
|
|
Boeing Co., 3.25%, due 02/01/35
|
262,227
|
1,020,000
|
|
Boeing Co., 5.71%, due 05/01/40
|
1,059,585
|
1,050,000
|
|
Boeing Co., 5.81%, due 05/01/50
|
1,092,436
|
1,310,000
|
|
Bombardier, Inc., 7.88%, due 04/15/27 144A
|
1,311,527
|
690,000
|
|
Boyne USA, Inc., 4.75%, due 05/15/29 144A
|
649,601
|
2,325,000
|
|
Brighthouse Financial, Inc., 3.85%, due 12/22/51
|
1,541,158
|
805,000
|
|
British Telecommunications PLC, 9.63%, due 12/15/30(l)
|
998,061
|
1,075,000
|
|
Broadcom, Inc., 4.15%, due 04/15/32 144A
|
1,016,530
|
1,620,000
|
|
Brunswick Corp., 2.40%, due 08/18/31
|
1,313,677
|
900,000
|
|
Builders FirstSource, Inc., 4.25%, due 02/01/32 144A
|
813,086
|
800,000
|
|
Burford Capital Global Finance LLC, 6.25%, due 04/15/28 144A
|
768,783
|
630,000
|
|
Burford Capital Global Finance LLC, 9.25%, due 07/01/31 144A
|
670,351
|
1,960,000
|
|
Caesars Entertainment, Inc., 4.63%, due 10/15/29 144A
|
1,769,830
|
610,000
|
|
Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A
|
625,663
|
1,175,000
|
|
Caesars Entertainment, Inc., 8.13%, due 07/01/27(j) 144A
|
1,205,622
|
1,680,000
|
|
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, due 07/01/25 144A
|
1,680,476
|
125,000
|
|
Callon Petroleum Co., 6.38%, due 07/01/26
|
124,767
|
815,000
|
|
Callon Petroleum Co., 7.50%, due 06/15/30 144A
|
822,930
|
435,000
|
|
Callon Petroleum Co., 8.00%, due 08/01/28 144A
|
445,127
|
500,000
|
|
Carnival Corp., 4.00%, due 08/01/28 144A
|
465,075
|
1,460,000
|
|
Carnival Corp., 5.75%, due 03/01/27 144A
|
1,426,783
|
1,100,000
|
EUR
|
Carnival Corp., 7.63%, due 03/01/26(h)
|
1,238,050
|
640,000
|
|
Carnival Corp., 10.50%, due 06/01/30 144A
|
700,507
|
790,000
|
|
Carnival Holdings Bermuda Ltd., 10.38%, due 05/01/28 144A
|
860,116
|
760,000
|
|
Carriage Purchaser, Inc., 7.88%, due 10/15/29 144A
|
622,865
|
5,105,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 02/01/31 144A
|
4,468,730
|
500,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 01/15/34 144A
|
407,134
|
245,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A
|
224,182
|
770,000
|
|
Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A
|
636,885
|
910,000
|
|
Cemex SAB de CV, 5.13% (5 yr. CMT + 4.53%)(b)(k) 144A
|
863,926
|
305,000
|
|
CenterPoint Energy Houston Electric LLC, 5.30%, due 04/01/53
|
321,737
|
1,000,000
|
|
Central Parent, Inc./CDK Global, Inc., 7.25%, due 06/15/29 144A
|
1,022,682
|
100,000
|
|
Charles Schwab Corp., 2.90%, due 03/03/32
|
86,184
|
540,000
|
|
Charles Schwab Corp., 5.85% (SOFR + 2.50%), due 05/19/34(b)
|
558,472
|
410,000
|
|
Chart Industries, Inc., 7.50%, due 01/01/30 144A
|
429,516
|
1,045,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.70%, due 04/01/51
|
683,384
|
1,495,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.90%, due 06/01/52
|
1,012,944
|
560,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.13%, due 07/01/49
|
456,762
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
330,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.38%, due 04/01/38
|
299,446
|
185,000
|
|
Chevron Corp., 3.08%, due 05/11/50
|
140,500
|
2,070,000
|
|
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, due
04/01/25 144A
|
2,071,548
|
1,090,000
|
|
Chord Energy Corp., 6.38%, due 06/01/26 144A
|
1,091,101
|
1,220,000
|
|
CHS/Community Health Systems, Inc., 4.75%, due 02/15/31 144A
|
964,611
|
1,200,000
|
|
CHS/Community Health Systems, Inc., 6.00%, due 01/15/29 144A
|
1,081,524
|
620,000
|
|
CHS/Community Health Systems, Inc., 6.13%, due 04/01/30 144A
|
402,206
|
740,000
|
|
CHS/Community Health Systems, Inc., 10.88%, due 01/15/32 144A
|
776,018
|
1,195,000
|
EUR
|
Cirsa Finance International SARL, 7.88%, due 07/31/28 144A
|
1,381,376
|
830,000
|
|
Citigroup, Inc., 4.00% (5 yr. CMT + 3.60%)(b)(k)
|
768,003
|
170,000
|
|
Citigroup, Inc., 6.30% (3 mo. USD Term SOFR + 3.68%)(b)(j)(k)
|
168,184
|
1,075,000
|
|
Citigroup, Inc., 7.38% (5 yr. CMT + 3.21%)(b)(j)(k)
|
1,090,728
|
885,000
|
|
Clarios Global LP/Clarios U.S. Finance Co., 8.50%, due 05/15/27 144A
|
889,719
|
495,000
|
|
Clarivate Science Holdings Corp., 4.88%, due 07/01/29(j) 144A
|
465,015
|
600,000
|
|
Clean Harbors, Inc., 5.13%, due 07/15/29(j) 144A
|
576,995
|
1,150,000
|
|
Clearway Energy Operating LLC, 3.75%, due 02/15/31 144A
|
1,013,470
|
235,000
|
|
Clearway Energy Operating LLC, 4.75%, due 03/15/28 144A
|
226,467
|
980,000
|
|
Clydesdale Acquisition Holdings, Inc., 8.75%, due 04/15/30(j) 144A
|
914,905
|
960,000
|
|
Coca-Cola Icecek AS, 4.50%, due 01/20/29(j) 144A
|
884,506
|
1,125,000
|
|
Coherent Corp., 5.00%, due 12/15/29 144A
|
1,069,650
|
635,000
|
|
Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A
|
394,072
|
2,505,000
|
|
Comcast Corp., 4.25%, due 10/15/30
|
2,473,735
|
2,170,000
|
|
Comerica Bank, 2.50%, due 07/23/24
|
2,125,884
|
530,000
|
|
Commercial Metals Co., 3.88%, due 02/15/31
|
469,822
|
1,600,000
|
EUR
|
Commerzbank AG, 6.13% (5 yr. EUR swap annual + 6.36%)(b)(h)(k)
|
1,711,428
|
226,000
|
|
CommScope Technologies LLC, 6.00%, due 06/15/25 144A
|
184,402
|
920,000
|
|
CommScope, Inc., 4.75%, due 09/01/29 144A
|
618,558
|
360,000
|
|
CommScope, Inc., 6.00%, due 03/01/26(j) 144A
|
321,192
|
910,000
|
|
CommScope, Inc., 7.13%, due 07/01/28 144A
|
433,146
|
400,000
|
EUR
|
Cooperatieve Rabobank UA, 4.63% (5 yr. EUR swap annual + 4.10%)(b)(h)(k)
|
426,593
|
600,000
|
|
CoreCivic, Inc., 8.25%, due 04/15/26
|
610,981
|
260,000
|
|
Corp. Nacional del Cobre de Chile, 5.13%, due 02/02/33 144A
|
252,388
|
825,000
|
EUR
|
Coty, Inc., 5.75%, due 09/15/28 144A
|
962,165
|
450,000
|
|
Country Garden Holdings Co. Ltd., 8.00%, due 01/27/24(h)(i)
|
35,437
|
3,212,000
|
PEN
|
Credicorp Capital Sociedad Titulizadora SA, 10.10%, due 12/15/43(h)
|
867,499
|
300,000
|
EUR
|
Credit Agricole SA, 4.00% (5 yr. EUR swap annual + 4.37%)(b)(h)(k)
|
309,339
|
2,238,000
|
|
Credit Agricole SA, 4.75% (5 yr. CMT + 3.24%)(b)(k) 144A
|
1,904,207
|
1,160,000
|
|
Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b)(j)(k) 144A
|
1,161,176
|
1,960,000
|
|
Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(b)(j)(k) 144A
|
2,003,634
|
450,000
|
|
Credit Suisse AG, 3.63%, due 09/09/24
|
443,816
|
260,000
|
|
Credit Suisse AG, 4.75%, due 08/09/24
|
258,488
|
2,675,000
|
|
Credit Suisse AG, 7.95%, due 01/09/25
|
2,736,197
|
1,995,000
|
|
Crescent Energy Finance LLC, 7.25%, due 05/01/26 144A
|
2,008,532
|
590,000
|
|
Crescent Energy Finance LLC, 9.25%, due 02/15/28 144A
|
612,618
|
500,000
|
|
Crowdstrike Holdings, Inc., 3.00%, due 02/15/29
|
452,630
|
880,000
|
|
Crown Castle, Inc., 5.80%, due 03/01/34
|
913,399
|
1,270,000
|
|
CSC Holdings LLC, 4.13%, due 12/01/30 144A
|
967,638
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,010,000
|
|
CSC Holdings LLC, 5.25%, due 06/01/24(j)
|
989,777
|
300,000
|
|
CSC Holdings LLC, 5.50%, due 04/15/27 144A
|
277,647
|
630,000
|
|
CSC Holdings LLC, 6.50%, due 02/01/29 144A
|
556,539
|
820,000
|
|
CSC Holdings LLC, 7.50%, due 04/01/28(j) 144A
|
614,217
|
2,120,000
|
|
CSC Holdings LLC, 11.25%, due 05/15/28 144A
|
2,185,858
|
1,260,000
|
|
Cushman & Wakefield U.S. Borrower LLC, 8.88%, due 09/01/31(j) 144A
|
1,336,261
|
835,000
|
|
CVS Health Corp., 5.25%, due 02/21/33
|
855,409
|
1,540,000
|
|
Darling Ingredients, Inc., 6.00%, due 06/15/30 144A
|
1,542,044
|
143,000
|
|
Dell International LLC/EMC Corp., 8.35%, due 07/15/46
|
188,819
|
660,000
|
|
Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(b)
|
555,497
|
325,000
|
|
Deutsche Bank AG, 6.72% (SOFR + 3.18%), due 01/18/29(b)
|
340,836
|
975,000
|
|
Deutsche Bank AG, 7.08% (SOFR + 3.65%), due 02/10/34(b)
|
1,004,633
|
200,000
|
|
Deutsche Bank AG, 7.50% (5 yr. USD ICE swap + 5.00%)(b)(k)
|
195,846
|
1,300,000
|
|
Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.88%, due 08/15/27 144A
|
1,223,351
|
1,200,000
|
|
Discover Financial Services, 7.96% (SOFR + 3.37%), due 11/02/34(b)
|
1,337,465
|
1,400,000
|
|
DISH DBS Corp., 5.13%, due 06/01/29
|
722,995
|
580,000
|
|
DISH DBS Corp., 5.75%, due 12/01/28 144A
|
463,695
|
2,280,000
|
|
DISH DBS Corp., 5.88%, due 11/15/24
|
2,139,889
|
700,000
|
|
DISH Network Corp., 11.75%, due 11/15/27 144A
|
733,428
|
740,000
|
|
DP World Ltd., 5.63%, due 09/25/48 144A
|
711,016
|
255,000
|
|
Dun & Bradstreet Corp., 5.00%, due 12/15/29(j) 144A
|
238,147
|
1,460,000
|
|
Ecopetrol SA, 4.63%, due 11/02/31
|
1,239,938
|
2,110,000
|
|
Eli Lilly & Co., 5.00%, due 02/27/26
|
2,111,063
|
705,000
|
EUR
|
Emerald Debt Merger Sub LLC, 6.38%, due 12/15/30 144A
|
835,162
|
2,250,000
|
|
Enbridge, Inc., 6.20%, due 11/15/30
|
2,411,833
|
1,250,000
|
|
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, due 01/30/28 144A
|
1,251,961
|
1,345,000
|
|
Endeavour Mining PLC, 5.00%, due 10/14/26 144A
|
1,246,654
|
755,000
|
|
Enel Finance America LLC, 2.88%, due 07/12/41 144A
|
516,290
|
980,000
|
|
Energian Israel Finance Ltd., 5.88%, due 03/30/31(h) 144A
|
829,790
|
1,065,000
|
EUR
|
Energizer Gamma Acquisition BV, 3.50%, due 06/30/29 144A
|
1,018,008
|
180,000
|
|
Energy Transfer LP, 5.35%, due 05/15/45
|
168,089
|
210,000
|
|
Energy Transfer LP, 6.25%, due 04/15/49
|
218,162
|
270,000
|
|
Energy Transfer LP, 7.13% (5 yr. CMT + 5.31%)(b)(k)
|
249,474
|
230,000
|
|
Energy Transfer LP, 9.67% (3 mo. USD LIBOR + 4.03%)(b)(k)
|
221,160
|
1,925,000
|
|
Entegris Escrow Corp., 5.95%, due 06/15/30 144A
|
1,913,775
|
1,015,000
|
|
Enterprise Products Operating LLC, 5.25% (3 mo. USD Term SOFR + 3.29%), due
08/16/77(b)
|
972,845
|
500,000
|
|
Enterprise Products Operating LLC, 5.38% (3 mo. USD Term SOFR + 2.83%), due
02/15/78(b)
|
449,370
|
265,000
|
|
EPR Properties, 3.75%, due 08/15/29
|
233,735
|
150,000
|
|
EQM Midstream Partners LP, 6.00%, due 07/01/25 144A
|
150,058
|
140,000
|
|
EQM Midstream Partners LP, 6.50%, due 07/01/27 144A
|
142,620
|
800,000
|
|
EQM Midstream Partners LP, 7.50%, due 06/01/30 144A
|
860,989
|
70,000
|
|
EQT Corp., 7.00%, due 02/01/30(l)
|
75,209
|
1,250,000
|
|
Equifax, Inc., 5.10%, due 12/15/27
|
1,263,426
|
1,240,000
|
EUR
|
Eroski S Coop, 10.63%, due 04/30/29 144A
|
1,414,707
|
6,000,000
|
ZAR
|
Eskom Holdings SOC Ltd., 7.50%, due 09/15/33
|
241,802
|
6,232,400,000
|
IDR
|
European Bank for Reconstruction & Development, 4.60%, due 12/09/25
|
396,583
|
26,974,000,000
|
IDR
|
European Bank for Reconstruction & Development, 5.20%, due 05/28/24
|
1,744,892
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
33,950,000
|
MXN
|
European Investment Bank, 4.25%, due 06/19/24
|
1,945,442
|
16,380,000
|
MXN
|
European Investment Bank, 7.75%, due 01/30/25
|
931,618
|
480,000
|
|
First Abu Dhabi Bank PJSC, 4.50% (5 yr. CMT + 4.14%)(b)(h)(k)
|
459,371
|
970,000
|
|
First Quantum Minerals Ltd., 6.88%, due 03/01/26 144A
|
873,233
|
2,220,000
|
|
First Quantum Minerals Ltd., 6.88%, due 10/15/27 144A
|
1,889,775
|
430,000
|
|
First Quantum Minerals Ltd., 7.50%, due 04/01/25 144A
|
411,220
|
1,220,000
|
|
FirstCash, Inc., 5.63%, due 01/01/30 144A
|
1,169,723
|
380,000
|
|
FirstEnergy Corp., 2.65%, due 03/01/30
|
328,732
|
440,000
|
|
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, due 11/15/25(j) 144A
|
436,016
|
1,430,000
|
|
Foot Locker, Inc., 4.00%, due 10/01/29(j) 144A
|
1,185,120
|
3,490,000
|
|
Ford Motor Co., 3.25%, due 02/12/32
|
2,907,318
|
1,530,000
|
|
Ford Motor Credit Co. LLC, 3.63%, due 06/17/31
|
1,321,241
|
660,000
|
|
Ford Motor Credit Co. LLC, 6.95%, due 03/06/26
|
676,694
|
1,855,000
|
|
Freeport Indonesia PT, 5.32%, due 04/14/32 144A
|
1,823,613
|
585,000
|
|
Freeport Indonesia PT, 6.20%, due 04/14/52 144A
|
581,344
|
300,000
|
|
Freeport Minerals Corp., 7.13%, due 11/01/27
|
312,750
|
455,000
|
|
Freeport-McMoRan, Inc., 4.63%, due 08/01/30
|
444,828
|
1,050,000
|
|
Freeport-McMoRan, Inc., 5.45%, due 03/15/43
|
1,023,049
|
1,130,000
|
|
Full House Resorts, Inc., 8.25%, due 02/15/28(j) 144A
|
1,063,240
|
1,325,030
|
|
Galaxy Pipeline Assets Bidco Ltd., 2.94%, due 09/30/40 144A
|
1,094,251
|
250,000
|
|
Gannett Holdings LLC, 6.00%, due 11/01/26 144A
|
221,432
|
1,150,000
|
GBP
|
Gatwick Airport Finance PLC, 4.38%, due 04/07/26(h)
|
1,409,211
|
880,000
|
|
Gen Digital, Inc., 7.13%, due 09/30/30(j) 144A
|
920,624
|
1,170,000
|
|
General Electric Co., 5.88%, due 01/14/38
|
1,291,640
|
360,000
|
|
General Motors Co., 6.60%, due 04/01/36
|
386,693
|
1,440,000
|
|
General Motors Financial Co., Inc., 5.00%, due 04/09/27
|
1,437,774
|
2,140,000
|
|
General Motors Financial Co., Inc., 5.40%, due 04/06/26
|
2,155,368
|
719,000
|
|
GEO Group, Inc., 10.50%, due 06/30/28
|
730,421
|
910,000
|
|
Georgia Power Co., 5.13%, due 05/15/52
|
905,923
|
2,650,000
|
|
GFL Environmental, Inc., 4.75%, due 06/15/29 144A
|
2,498,527
|
390,000
|
|
GFL Environmental, Inc., 5.13%, due 12/15/26 144A
|
386,129
|
1,870,000
|
|
GFL Environmental, Inc., 6.75%, due 01/15/31 144A
|
1,929,324
|
2,425,000
|
|
GGAM Finance Ltd., 8.00%, due 06/15/28 144A
|
2,511,606
|
1,457,168
|
|
Global Aircraft Leasing Co. Ltd., 6.50% (Cash 6.50%. PIK RATE = 7.25%.), due
09/15/24 144A
|
1,371,436
|
1,125,000
|
|
Gold Fields Orogen Holdings BVI Ltd., 6.13%, due 05/15/29 144A
|
1,157,071
|
965,000
|
|
Gray Escrow II, Inc., 5.38%, due 11/15/31 144A
|
732,087
|
1,985,000
|
|
GTCR W-2 Merger Sub LLC, 7.50%, due 01/15/31 144A
|
2,098,884
|
1,460,000
|
|
H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A
|
1,327,900
|
540,000
|
|
HCA, Inc., 7.50%, due 11/06/33
|
609,421
|
80,000
|
|
Healthpeak OP LLC, 3.50%, due 07/15/29
|
74,775
|
545,000
|
GBP
|
Heathrow Funding Ltd., 6.75%, due 12/03/28(h)
|
731,318
|
780,000
|
|
Hertz Corp., 5.00%, due 12/01/29(j) 144A
|
640,977
|
2,110,000
|
|
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co.-Issuer, Inc., 7.63%
(7.625% Cash or 8.375% PIK), due 10/15/25 144A
|
2,146,440
|
560,000
|
|
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A
|
539,345
|
810,000
|
|
Hilcorp Energy I LP/Hilcorp Finance Co., 8.38%, due 11/01/33 144A
|
859,398
|
570,000
|
|
Howard Midstream Energy Partners LLC, 6.75%, due 01/15/27 144A
|
565,024
|
560,000
|
|
Howard Midstream Energy Partners LLC, 8.88%, due 07/15/28 144A
|
588,363
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,535,000
|
|
HSBC Holdings PLC, 4.60% (5 yr. CMT + 3.65%)(b)(j)(k)
|
1,284,075
|
665,000
|
|
HSBC Holdings PLC, 6.00% (5 yr. USD ICE swap + 3.75%)(b)(k)
|
636,778
|
2,400,000
|
|
HSBC Holdings PLC, 7.40% (SOFR + 3.02%), due 11/13/34(b)
|
2,637,449
|
1,075,000
|
|
HSBC Holdings PLC, 8.00% (5 yr. CMT + 3.86%)(b)(k)
|
1,108,280
|
2,130,000
|
|
HSBC USA, Inc., 5.63%, due 03/17/25
|
2,142,237
|
190,000
|
EUR
|
HSE Finance SARL, 5.63%, due 10/15/26 144A
|
116,669
|
1,015,000
|
|
Huarong Finance II Co. Ltd., 5.00%, due 11/19/25(h)
|
981,150
|
260,000
|
|
Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A
|
252,173
|
780,000
|
|
Hudbay Minerals, Inc., 6.13%, due 04/01/29 144A
|
765,401
|
320,000
|
|
iHeartCommunications, Inc., 5.25%, due 08/15/27 144A
|
254,573
|
145,000
|
|
iHeartCommunications, Inc., 6.38%, due 05/01/26
|
123,777
|
705,000
|
|
IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A
|
630,242
|
740,000
|
|
IHS Netherlands Holdco BV, 8.00%, due 09/18/27(h)
|
661,530
|
1,590,000
|
|
Iliad Holding SASU, 6.50%, due 10/15/26 144A
|
1,588,026
|
1,030,000
|
|
Iliad Holding SASU, 7.00%, due 10/15/28 144A
|
1,025,688
|
810,000
|
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A
|
775,494
|
265,000
|
EUR
|
IMA Industria Macchine Automatiche SpA, 3.75%, due 01/15/28 144A
|
273,805
|
575,000
|
|
Indofood CBP Sukses Makmur Tbk. PT, 3.40%, due 06/09/31(h)
|
498,219
|
260,000
|
|
ING Groep NV, 5.75% (5 yr. CMT + 4.34%)(b)(k)
|
242,937
|
345,000
|
|
ING Groep NV, 6.11% (SOFR + 2.09%), due 09/11/34(b)
|
362,787
|
835,000
|
|
ING Groep NV, 6.50% (5 yr. USD swap + 4.45%)(b)(k)
|
814,711
|
2,190,000
|
|
Intel Corp., 5.20%, due 02/10/33(j)
|
2,291,300
|
1,255,000
|
|
Intel Corp., 5.70%, due 02/10/53(j)
|
1,363,109
|
198,000,000
|
INR
|
Inter-American Development Bank, 7.35%, due 10/06/30
|
2,437,442
|
1,855,000
|
|
International Business Machines Corp., 4.40%, due 07/27/32
|
1,825,828
|
42,520,000
|
MXN
|
International Finance Corp., 7.75%, due 01/18/30
|
2,367,356
|
200,000
|
|
Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A
|
182,490
|
1,450,000
|
|
Intesa Sanpaolo SpA, 4.95% (1 yr. CMT + 2.75%), due 06/01/42(b) 144A
|
1,034,977
|
350,000
|
|
Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A
|
348,578
|
710,000
|
|
Intesa Sanpaolo SpA, 7.20%, due 11/27/33 144A
|
758,877
|
2,420,000
|
|
Intesa Sanpaolo SpA, 7.78% (1 yr. CMT + 3.90%), due 06/20/54(b) 144A
|
2,518,117
|
960,000
|
|
Intesa Sanpaolo SpA, 7.80%, due 11/28/53 144A
|
1,058,796
|
2,445,000
|
|
IQVIA, Inc., 6.50%, due 05/15/30 144A
|
2,516,125
|
1,779,000
|
|
Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(b)(k) 144A
|
1,566,832
|
1,500,000
|
|
Jabil, Inc., 3.00%, due 01/15/31
|
1,303,790
|
210,000
|
|
Jabil, Inc., 5.45%, due 02/01/29
|
214,716
|
1,195,000
|
|
Jackson Financial, Inc., 3.13%, due 11/23/31
|
1,006,796
|
690,000
|
|
Jane Street Group/JSG Finance, Inc., 4.50%, due 11/15/29(j) 144A
|
644,203
|
225,000
|
|
Jazz Securities DAC, 4.38%, due 01/15/29 144A
|
209,730
|
580,000
|
|
JB Poindexter & Co., Inc., 8.75%, due 12/15/31 144A
|
592,151
|
905,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33
|
902,158
|
1,155,000
|
|
JPMorgan Chase & Co., 4.32% (SOFR + 1.56%), due 04/26/28(b)
|
1,139,099
|
2,520,000
|
|
JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(b)
|
2,496,465
|
1,450,000
|
|
JPMorgan Chase & Co., 5.72% (SOFR + 2.58%), due 09/14/33(b)(j)
|
1,502,377
|
460,000
|
|
KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A
|
448,268
|
590,000
|
|
KazMunayGas National Co. JSC, 5.75%, due 04/19/47(h)
|
518,667
|
1,890,000
|
|
Kosmos Energy Ltd., 7.13%, due 04/04/26 144A
|
1,803,640
|
100,000
|
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, due
02/01/27 144A
|
94,312
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
650,000
|
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due
06/15/29 144A
|
586,864
|
1,510,000
|
|
Las Vegas Sands Corp., 3.20%, due 08/08/24
|
1,481,754
|
1,180,000
|
|
Latam Airlines Group SA, 13.38%, due 10/15/27 144A
|
1,320,206
|
425,000
|
|
Lazard Group LLC, 4.38%, due 03/11/29
|
414,269
|
650,000
|
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, due
02/01/26 144A
|
649,431
|
460,000
|
|
Leviathan Bond Ltd., 6.50%, due 06/30/27(h) 144A
|
433,864
|
1,590,000
|
|
Liberty Mutual Group, Inc., 4.30%, due 02/01/61 144A
|
1,047,681
|
815,000
|
|
Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A
|
798,346
|
2,340,000
|
|
LifePoint Health, Inc., 9.88%, due 08/15/30 144A
|
2,367,215
|
1,225,000
|
|
Light & Wonder International, Inc., 7.00%, due 05/15/28 144A
|
1,238,446
|
960,000
|
|
Liquid Telecommunications Financing PLC, 5.50%, due 09/04/26 144A
|
562,776
|
650,000
|
|
Lloyds Banking Group PLC, 7.50% (5 yr. USD swap + 4.76%)(b)(k)
|
644,375
|
550,000
|
|
Lloyds Banking Group PLC, 8.00% (5 yr. CMT + 3.91%)(b)(k)
|
552,578
|
1,235,000
|
EUR
|
Lorca Telecom Bondco SA, 4.00%, due 09/18/27 144A
|
1,335,246
|
1,015,000
|
EUR
|
Lottomatica SpA, 7.93% (3 mo. EURIBOR + 4.00%), due 12/15/30(b) 144A
|
1,132,830
|
700,000
|
|
LPL Holdings, Inc., 4.00%, due 03/15/29 144A
|
647,876
|
2,155,000
|
|
Magna International, Inc., 5.98%, due 03/21/26
|
2,158,661
|
170,000
|
|
Matador Resources Co., 6.88%, due 04/15/28 144A
|
172,715
|
500,000
|
|
Match Group Holdings II LLC, 5.00%, due 12/15/27 144A
|
488,897
|
546,558
|
|
McClatchy Co. LLC, 11.00% (11.00% Cash or 12.50% PIK), due 07/15/27 144A
|
599,164
|
1,265,000
|
|
McCormick & Co., Inc., 4.95%, due 04/15/33
|
1,273,142
|
2,065,000
|
|
Mclaren Finance PLC, 7.50%, due 08/01/26 144A
|
1,790,223
|
130,000
|
|
MDC Holdings, Inc., 6.00%, due 01/15/43
|
121,373
|
1,610,000
|
|
Medline Borrower LP, 5.25%, due 10/01/29(j) 144A
|
1,519,377
|
790,000
|
|
Medtronic Global Holdings SCA, 4.25%, due 03/30/28
|
787,875
|
1,000,000
|
|
MEG Energy Corp., 5.88%, due 02/01/29 144A
|
972,755
|
210,000
|
|
MEG Energy Corp., 7.13%, due 02/01/27 144A
|
213,487
|
1,520,000
|
|
MEGlobal Canada ULC, 5.88%, due 05/18/30 144A
|
1,566,988
|
1,200,000
|
|
Melco Resorts Finance Ltd., 4.88%, due 06/06/25 144A
|
1,164,984
|
885,000
|
|
Melco Resorts Finance Ltd., 5.25%, due 04/26/26(j) 144A
|
853,897
|
320,000
|
|
Melco Resorts Finance Ltd., 5.38%, due 12/04/29 144A
|
283,158
|
600,000
|
|
MercadoLibre, Inc., 3.13%, due 01/14/31
|
513,840
|
1,515,000
|
|
Meta Platforms, Inc., 4.45%, due 08/15/52
|
1,398,092
|
1,685,000
|
|
MGM China Holdings Ltd., 5.88%, due 05/15/26(h)
|
1,648,389
|
980,000
|
|
Michaels Cos., Inc., 5.25%, due 05/01/28 144A
|
785,122
|
560,000
|
|
Micron Technology, Inc., 3.37%, due 11/01/41
|
419,931
|
1,440,000
|
|
Micron Technology, Inc., 6.75%, due 11/01/29
|
1,558,929
|
235,000
|
|
Midcap Financial Issuer Trust, 6.50%, due 05/01/28 144A
|
220,636
|
747,000
|
|
Millicom International Cellular SA, 4.50%, due 04/27/31(j) 144A
|
621,309
|
1,026,000
|
|
Millicom International Cellular SA, 6.25%, due 03/25/29(h)(j)
|
973,433
|
504,000
|
|
Millicom International Cellular SA, 6.25%, due 03/25/29(j) 144A
|
478,178
|
170,000
|
|
Minerals Technologies, Inc., 5.00%, due 07/01/28 144A
|
163,649
|
890,000
|
|
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 02/01/30 144A
|
788,691
|
1,419,000
|
|
Mohegan Tribal Gaming Authority, 8.00%, due 02/01/26 144A
|
1,340,402
|
370,000
|
|
Mohegan Tribal Gaming Authority, 13.25%, due 12/15/27 144A
|
394,281
|
1,105,000
|
|
Moody's Corp., 2.75%, due 08/19/41
|
808,460
|
1,330,000
|
|
Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(b)
|
1,299,895
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,310,000
|
|
Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b)
|
1,319,361
|
1,020,000
|
|
Morgan Stanley, 5.42% (SOFR + 1.88%), due 07/21/34(b)
|
1,037,736
|
140,000
|
|
MPT Operating Partnership LP/MPT Finance Corp., 4.63%, due 08/01/29
|
100,796
|
550,000
|
|
MPT Operating Partnership LP/MPT Finance Corp., 5.00%, due 10/15/27
|
449,748
|
475,000
|
|
MSCI, Inc., 3.63%, due 11/01/31 144A
|
418,614
|
280,000
|
|
Nabors Industries Ltd., 7.25%, due 01/15/26 144A
|
269,422
|
1,120,000
|
GBP
|
NatWest Group PLC, 4.50% (5 yr. UK Government Bond + 3.99%)(b)(k)
|
1,198,493
|
2,415,000
|
|
NatWest Group PLC, 5.81% (1 yr. CMT + 1.95%), due 09/13/29(b)
|
2,481,083
|
235,000
|
|
NBM U.S. Holdings, Inc., 7.00%, due 05/14/26 144A
|
237,796
|
1,615,000
|
|
NCL Corp. Ltd., 7.75%, due 02/15/29 144A
|
1,624,128
|
430,000
|
|
NCL Corp. Ltd., 8.13%, due 01/15/29 144A
|
449,296
|
1,830,000
|
|
NCL Corp. Ltd., 5.88%, due 03/15/26 144A
|
1,787,867
|
1,655,000
|
|
NCR Voyix Corp., 5.00%, due 10/01/28 144A
|
1,566,861
|
2,830,000
|
|
NCR Voyix Corp., 5.13%, due 04/15/29 144A
|
2,693,075
|
115,000
|
|
NCR Voyix Corp., 5.25%, due 10/01/30 144A
|
105,729
|
665,000
|
|
Neptune Bidco U.S., Inc., 9.29%, due 04/15/29 144A
|
620,498
|
990,000
|
|
Neptune Energy Bondco PLC, 6.63%, due 05/15/25 144A
|
981,872
|
1,065,000
|
|
Netflix, Inc., 5.88%, due 11/15/28
|
1,123,932
|
1,500,000
|
|
Newell Brands, Inc., 5.20%, due 04/01/26(l)
|
1,480,829
|
1,850,000
|
|
Nexstar Media, Inc., 4.75%, due 11/01/28 144A
|
1,706,316
|
1,235,000
|
|
Nexstar Media, Inc., 5.63%, due 07/15/27 144A
|
1,195,097
|
545,000
|
|
NextEra Energy Capital Holdings, Inc., 6.05%, due 03/01/25
|
550,262
|
1,020,000
|
|
NMI Holdings, Inc., 7.38%, due 06/01/25 144A
|
1,022,846
|
520,000
|
|
Noble Finance II LLC, 8.00%, due 04/15/30 144A
|
543,080
|
700,000
|
|
Northern Oil & Gas, Inc., 8.13%, due 03/01/28 144A
|
709,478
|
2,215,000
|
|
Northern Star Resources Ltd., 6.13%, due 04/11/33 144A
|
2,231,349
|
400,000
|
|
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(i)
|
520
|
160,000
|
EUR
|
Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A
|
167,307
|
395,000
|
|
NTT Finance Corp., 4.37%, due 07/27/27 144A
|
391,834
|
1,065,000
|
|
Nutrien Ltd., 4.90%, due 03/27/28
|
1,076,240
|
255,000
|
|
Nutrien Ltd., 5.80%, due 03/27/53
|
274,256
|
1,065,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 01/15/33
|
1,069,608
|
1,790,000
|
|
Occidental Petroleum Corp., 4.40%, due 08/15/49
|
1,338,383
|
720,000
|
|
Occidental Petroleum Corp., 6.45%, due 09/15/36
|
764,712
|
1,540,000
|
|
Occidental Petroleum Corp., 7.15%, due 05/15/28
|
1,634,541
|
1,380,000
|
|
Occidental Petroleum Corp., 7.95%, due 06/15/39
|
1,609,701
|
1,150,000
|
|
OCP SA, 5.13%, due 06/23/51 144A
|
875,931
|
225,000
|
|
Olympus Water U.S. Holding Corp., 6.25%, due 10/01/29(j) 144A
|
200,019
|
790,000
|
EUR
|
Olympus Water U.S. Holding Corp., 9.63%, due 11/15/28 144A
|
938,072
|
1,480,000
|
EUR
|
Olympus Water U.S. Holding Corp., 9.63%, due 11/15/28(h)
|
1,757,400
|
1,300,000
|
|
Option Care Health, Inc., 4.38%, due 10/31/29 144A
|
1,176,582
|
2,835,000
|
|
Oracle Corp., 2.88%, due 03/25/31
|
2,516,136
|
565,000
|
|
Oracle Corp., 3.95%, due 03/25/51
|
445,173
|
2,155,000
|
|
Organon & Co./Organon Foreign Debt Co.-Issuer BV, 5.13%, due 04/30/31 144A
|
1,846,011
|
390,000
|
|
Oversea-Chinese Banking Corp. Ltd., 4.25%, due 06/19/24(h)
|
387,689
|
1,315,000
|
|
Papa John's International, Inc., 3.88%, due 09/15/29 144A
|
1,164,968
|
1,360,000
|
|
Park-Ohio Industries, Inc., 6.63%, due 04/15/27(j)
|
1,259,537
|
260,000
|
|
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, due 08/15/28
144A
|
246,128
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
525,000
|
|
Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.00%, due 06/15/29(j) 144A
|
464,498
|
1,680,000
|
|
PECF USS Intermediate Holding III Corp., 8.00%, due 11/15/29 144A
|
858,455
|
1,700,000
|
|
Permian Resources Operating LLC, 5.88%, due 07/01/29 144A
|
1,659,650
|
1,390,000
|
|
Permian Resources Operating LLC, 7.00%, due 01/15/32 144A
|
1,433,734
|
810,000
|
|
Permian Resources Operating LLC, 9.88%, due 07/15/31 144A
|
901,028
|
530,000
|
|
Pertamina Geothermal Energy PT, 5.15%, due 04/27/28 144A
|
531,402
|
1,535,000
|
|
Petrobras Global Finance BV, 6.50%, due 07/03/33
|
1,560,222
|
1,150,000
|
|
Petrobras Global Finance BV, 6.85%, due 06/05/15(m)
|
1,084,760
|
1,215,000
|
|
Petroleos Mexicanos, 6.70%, due 02/16/32
|
1,009,807
|
7,056,900
|
MXN
|
Petroleos Mexicanos, 7.19%, due 09/12/24(h)
|
398,517
|
890,000
|
|
Petroleos Mexicanos, 10.00%, due 02/07/33
|
894,552
|
575,000
|
|
Petronas Capital Ltd., 4.55%, due 04/21/50 144A
|
529,207
|
1,550,000
|
|
PetSmart, Inc./PetSmart Finance Corp., 4.75%, due 02/15/28 144A
|
1,463,478
|
1,500,000
|
|
PetSmart, Inc./PetSmart Finance Corp., 7.75%, due 02/15/29 144A
|
1,460,143
|
935,000
|
|
Phillips 66, 3.30%, due 03/15/52
|
673,440
|
980,000
|
|
Plains All American Pipeline LP, 9.75% (3 mo. USD Term SOFR + 4.37%)(b)(k)
|
951,825
|
280,000
|
|
Playtika Holding Corp., 4.25%, due 03/15/29 144A
|
244,585
|
105,000
|
EUR
|
PLT VII Finance SARL, 4.63%, due 01/05/26 144A
|
115,628
|
2,800,000
|
|
PM General Purchaser LLC, 9.50%, due 10/01/28 144A
|
2,842,554
|
860,000
|
|
PNC Financial Services Group, Inc., 5.07% (SOFR + 1.93%), due 01/24/34(b)
|
843,427
|
140,000
|
|
PNC Financial Services Group, Inc., 6.04% (SOFR + 2.14%), due 10/28/33(b)
|
146,607
|
545,000
|
|
POSCO, 5.75%, due 01/17/28(j) 144A
|
559,977
|
540,000
|
|
Power Finance Corp. Ltd., 3.95%, due 04/23/30 144A
|
499,994
|
1,860,000
|
|
Precision Drilling Corp., 6.88%, due 01/15/29 144A
|
1,795,672
|
14,000
|
|
Precision Drilling Corp., 7.13%, due 01/15/26 144A
|
14,001
|
110,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28(j)
144A
|
109,537
|
1,350,000
|
|
Prosus NV, 3.06%, due 07/13/31 144A
|
1,093,096
|
1,045,000
|
|
Prosus NV, 4.03%, due 08/03/50 144A
|
686,127
|
1,685,000
|
|
Prosus NV, 4.19%, due 01/19/32 144A
|
1,456,353
|
590,000
|
|
QazaqGaz NC JSC, 4.38%, due 09/26/27 144A
|
567,230
|
550,000
|
|
QVC, Inc., 4.38%, due 09/01/28
|
397,719
|
640,000
|
|
QVC, Inc., 4.45%, due 02/15/25(j)
|
601,497
|
590,000
|
|
QVC, Inc., 4.85%, due 04/01/24
|
584,747
|
520,000
|
|
Rackspace Technology Global, Inc., 3.50%, due 02/15/28 144A
|
209,354
|
575,000
|
|
Radian Group, Inc., 6.63%, due 03/15/25
|
577,734
|
640,000
|
|
Range Resources Corp., 4.75%, due 02/15/30(j) 144A
|
592,317
|
3,060,000
|
|
Range Resources Corp., 8.25%, due 01/15/29
|
3,169,652
|
1,260,000
|
|
Revvity, Inc., 2.25%, due 09/15/31
|
1,035,423
|
2,760,000
|
|
Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.63%, due 03/01/29 144A
|
2,501,182
|
450,000
|
|
Rockies Express Pipeline LLC, 7.50%, due 07/15/38 144A
|
454,990
|
1,920,000
|
EUR
|
Rolls-Royce PLC, 4.63%, due 02/16/26(h)
|
2,162,982
|
1,410,000
|
|
Royal Caribbean Cruises Ltd., 4.25%, due 07/01/26 144A
|
1,362,397
|
340,000
|
|
Royal Caribbean Cruises Ltd., 5.50%, due 08/31/26 144A
|
337,003
|
1,240,000
|
|
Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27
|
1,305,231
|
310,000
|
|
Royal Caribbean Cruises Ltd., 8.25%, due 01/15/29 144A
|
329,644
|
1,410,000
|
|
Royal Caribbean Cruises Ltd., 9.25%, due 01/15/29(j) 144A
|
1,518,155
|
1,015,000
|
|
Royal Caribbean Cruises Ltd., 11.63%, due 08/15/27 144A
|
1,105,193
|
400,000
|
|
RR Donnelley & Sons Co., 9.75%, due 07/31/28 144A
|
397,876
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
1,150,000
|
|
Rumo Luxembourg SARL, 4.20%, due 01/18/32 144A
|
980,168
|
190,000
|
|
RXO, Inc., 7.50%, due 11/15/27 144A
|
196,238
|
590,000
|
GBP
|
Saga PLC, 5.50%, due 07/15/26(h)
|
609,227
|
1,380,000
|
|
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25
|
1,381,074
|
230,000
|
|
Sands China Ltd., 2.55%, due 03/08/27(l)
|
209,532
|
200,000
|
|
Sands China Ltd., 3.10%, due 03/08/29(l)
|
174,610
|
200,000
|
|
Sands China Ltd., 5.38%, due 08/08/25(l)
|
197,370
|
240,000
|
|
Sands China Ltd., 5.65%, due 08/08/28(l)
|
238,258
|
420,000
|
|
Sasol Financing USA LLC, 5.50%, due 03/18/31
|
354,192
|
815,000
|
|
Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A
|
580,450
|
310,000
|
EUR
|
SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, due 11/01/26 144A
|
333,966
|
460,000
|
|
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/01/26 144A
|
442,114
|
240,000
|
EUR
|
SCIL IV LLC/SCIL USA Holdings LLC, 9.50%, due 07/15/28(h)
|
283,388
|
340,000
|
|
Seagate HDD Cayman, 4.09%, due 06/01/29
|
314,901
|
321,000
|
|
Seagate HDD Cayman, 4.88%, due 06/01/27
|
315,179
|
545,000
|
|
Sempra, 3.70%, due 04/01/29
|
520,200
|
1,740,000
|
|
SEPLAT Energy PLC, 7.75%, due 04/01/26 144A
|
1,604,280
|
570,000
|
|
Service Properties Trust, 5.50%, due 12/15/27
|
522,437
|
440,000
|
|
Service Properties Trust, 8.63%, due 11/15/31 144A
|
461,333
|
780,000
|
|
Shelf Drilling Holdings Ltd., 9.63%, due 04/15/29 144A
|
763,860
|
2,570,000
|
|
SilverBow Resources, Inc., 13.13% (3 mo. USD Term SOFR + 7.75%), due 12/15/28(b)
144A
|
2,544,822
|
1,140,000
|
|
Sinclair Television Group, Inc., 4.13%, due 12/01/30 144A
|
805,119
|
1,170,000
|
|
Smyrna Ready Mix Concrete LLC, 6.00%, due 11/01/28(j) 144A
|
1,153,751
|
580,000
|
|
Smyrna Ready Mix Concrete LLC, 8.88%, due 11/15/31 144A
|
610,398
|
790,000
|
|
Southern Copper Corp., 7.50%, due 07/27/35
|
918,189
|
1,880,000
|
|
Southwestern Energy Co., 4.75%, due 02/01/32
|
1,741,922
|
1,116,000
|
|
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, due 09/20/25 144A
|
795,807
|
1,220,000
|
|
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, due 09/20/25 144A
|
869,968
|
2,135,000
|
|
Standard Chartered PLC, 4.30% (5 yr. CMT + 3.14%)(b)(j)(k) 144A
|
1,741,133
|
1,750,000
|
|
Standard Chartered PLC, 6.30% (1 yr. CMT + 2.58%), due 07/06/34(b) 144A
|
1,841,987
|
880,000
|
|
Star Parent, Inc., 9.00%, due 10/01/30(j) 144A
|
928,569
|
1,550,000
|
|
Starwood Property Trust, Inc., 4.38%, due 01/15/27 144A
|
1,462,402
|
900,000
|
|
StoneMor, Inc., 8.50%, due 05/15/29 144A
|
707,368
|
969,000
|
|
StoneX Group, Inc., 8.63%, due 06/15/25 144A
|
983,283
|
926,000
|
|
Strathcona Resources Ltd., 6.88%, due 08/01/26(j) 144A
|
885,274
|
635,000
|
|
Studio City Finance Ltd., 6.00%, due 07/15/25 144A
|
622,871
|
470,000
|
|
Studio City Finance Ltd., 6.50%, due 01/15/28 144A
|
436,548
|
240,000
|
|
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, due 06/01/31
144A
|
219,741
|
100,000
|
|
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A
|
96,843
|
400,000
|
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, due
10/15/26(l) 144A
|
399,570
|
2,213,000
|
|
Sunnova Energy Corp., 5.88%, due 09/01/26 144A
|
1,885,786
|
1,250,000
|
|
Suzano Austria GmbH, 3.13%, due 01/15/32
|
1,037,877
|
990,000
|
|
Suzano Austria GmbH, 7.00%, due 03/16/47(h)
|
1,048,228
|
710,000
|
|
Talen Energy Supply LLC, 8.63%, due 06/01/30 144A
|
758,049
|
330,000
|
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A
|
307,297
|
45,000
|
|
Targa Resources Corp., 5.20%, due 07/01/27
|
45,253
|
515,000
|
|
Targa Resources Corp., 6.13%, due 03/15/33
|
543,716
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
60,000
|
|
Teck Resources Ltd., 6.00%, due 08/15/40
|
61,198
|
200,000
|
|
Telefonica Emisiones SA, 5.21%, due 03/08/47
|
186,105
|
1,160,000
|
|
Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36
|
1,111,622
|
735,000
|
EUR
|
Teva Pharmaceutical Finance Netherlands II BV, 1.88%, due 03/31/27(h)
|
740,913
|
1,280,000
|
EUR
|
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, due 09/15/29
|
1,551,093
|
280,000
|
|
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26
|
259,473
|
1,070,000
|
|
Teva Pharmaceutical Finance Netherlands III BV, 8.13%, due 09/15/31(j)
|
1,169,951
|
690,000
|
GBP
|
Time Warner Cable LLC, 5.25%, due 07/15/42
|
781,648
|
300,000
|
|
Time Warner Cable LLC, 6.75%, due 06/15/39
|
298,876
|
2,540,000
|
|
Titan International, Inc., 7.00%, due 04/30/28
|
2,543,802
|
270,000
|
|
TKC Holdings, Inc., 6.88%, due 05/15/28 144A
|
250,042
|
2,455,000
|
|
T-Mobile USA, Inc., 4.80%, due 07/15/28
|
2,478,773
|
2,205,000
|
|
T-Mobile USA, Inc., 4.95%, due 03/15/28
|
2,237,399
|
550,000
|
|
TMS Issuer SARL, 5.78%, due 08/23/32 144A
|
575,094
|
820,000
|
|
TopBuild Corp., 3.63%, due 03/15/29 144A
|
743,885
|
660,000
|
|
TopBuild Corp., 4.13%, due 02/15/32 144A
|
588,048
|
630,000
|
|
Toronto-Dominion Bank, 8.13% (5 yr. CMT + 4.08%), due 10/31/82(b)
|
657,360
|
1,100,000
|
|
TransAlta Corp., 6.50%, due 03/15/40
|
1,102,095
|
380,000
|
|
TransAlta Corp., 7.75%, due 11/15/29(j)
|
403,533
|
2,155,000
|
|
TransCanada PipeLines Ltd., 6.20%, due 03/09/26
|
2,155,046
|
1,120,000
|
|
TransDigm, Inc., 6.25%, due 03/15/26 144A
|
1,119,133
|
250,000
|
|
TransDigm, Inc., 6.75%, due 08/15/28 144A
|
256,066
|
1,100,000
|
|
TransDigm, Inc., 7.13%, due 12/01/31 144A
|
1,153,619
|
580,000
|
|
Transnet SOC Ltd., 8.25%, due 02/06/28 144A
|
585,722
|
1,460,000
|
|
Triumph Group, Inc., 9.00%, due 03/15/28 144A
|
1,554,023
|
350,000
|
|
Truist Financial Corp., 5.12% (SOFR + 1.85%), due 01/26/34(b)
|
340,494
|
890,000
|
|
Truist Financial Corp., 5.87% (SOFR + 2.36%), due 06/08/34(b)
|
910,343
|
1,115,000
|
|
TSMC Global Ltd., 2.25%, due 04/23/31(h)
|
951,636
|
490,000
|
|
Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A
|
485,835
|
1,680,000
|
|
Tutor Perini Corp., 6.88%, due 05/01/25(j) 144A
|
1,641,448
|
250,000
|
|
U.S. Bancorp, 4.84% (SOFR + 1.60%), due 02/01/34(b)
|
240,013
|
1,010,000
|
|
U.S. Bancorp, 5.84% (SOFR + 2.26%), due 06/12/34(b)
|
1,044,303
|
171,500
|
|
U.S. Renal Care, Inc., 10.63%, due 06/28/28 144A
|
131,626
|
640,000
|
|
UBS Group AG, 4.75% (1 yr. CMT + 1.75%), due 05/12/28(b) 144A
|
631,050
|
1,600,000
|
|
UBS Group AG, 4.99% (1 yr. CMT + 2.40%), due 08/05/33(b) 144A
|
1,550,317
|
1,955,000
|
|
UBS Group AG, 6.54% (SOFR + 3.92%), due 08/12/33(b) 144A
|
2,087,421
|
1,120,000
|
|
UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(b)(j)(k) 144A
|
1,120,369
|
1,155,000
|
|
UBS Group AG, 9.25% (5 yr. CMT + 4.75%)(b)(k) 144A
|
1,249,114
|
1,195,000
|
|
UBS Group AG, 9.25% (5 yr. CMT + 4.76%)(b)(k) 144A
|
1,327,368
|
990,000
|
|
UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(b) 144A
|
933,055
|
555,000
|
|
UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(b)(j) 144A
|
571,846
|
48,640
|
|
United Airlines Pass-Through Trust, 4.88%, due 07/15/27
|
47,154
|
436,714
|
|
United Airlines Pass-Through Trust, 5.88%, due 04/15/29
|
442,713
|
100,000
|
|
United Airlines, Inc., 4.38%, due 04/15/26 144A
|
97,572
|
1,130,000
|
|
United Airlines, Inc., 4.63%, due 04/15/29 144A
|
1,058,063
|
1,860,000
|
|
United Parcel Service, Inc., 4.88%, due 03/03/33
|
1,935,367
|
270,000
|
|
United Rentals North America, Inc., 4.88%, due 01/15/28(j)
|
263,529
|
1,900,000
|
|
United Rentals North America, Inc., 5.25%, due 01/15/30
|
1,876,440
|
520,000
|
|
United Rentals North America, Inc., 5.50%, due 05/15/27
|
521,500
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Corporate Debt — continued
|
|
3,540,000
|
|
United Rentals North America, Inc., 6.00%, due 12/15/29 144A
|
3,596,987
|
290,000
|
|
Utah Acquisition Sub, Inc., 5.25%, due 06/15/46
|
242,745
|
540,000
|
|
Vale Overseas Ltd., 6.88%, due 11/10/39
|
593,462
|
500,000
|
|
Venture Global Calcasieu Pass LLC, 3.88%, due 11/01/33 144A
|
424,773
|
350,000
|
|
Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A
|
308,765
|
1,920,000
|
|
Venture Global Calcasieu Pass LLC, 6.25%, due 01/15/30 144A
|
1,912,018
|
700,000
|
|
Venture Global LNG, Inc., 8.38%, due 06/01/31 144A
|
701,217
|
920,000
|
|
Venture Global LNG, Inc., 9.88%, due 02/01/32 144A
|
958,993
|
420,000
|
|
Vericast Corp., 11.00%, due 09/15/26 144A
|
446,775
|
490,000
|
|
Verizon Communications, Inc., 2.85%, due 09/03/41
|
363,811
|
1,935,000
|
|
Verizon Communications, Inc., 3.55%, due 03/22/51
|
1,494,752
|
2,825,000
|
|
Vertiv Group Corp., 4.13%, due 11/15/28 144A
|
2,652,580
|
550,000
|
|
Viking Cruises Ltd., 5.88%, due 09/15/27 144A
|
531,231
|
1,630,000
|
|
Viking Cruises Ltd., 7.00%, due 02/15/29 144A
|
1,617,612
|
820,000
|
|
Viking Cruises Ltd., 9.13%, due 07/15/31 144A
|
874,448
|
300,000
|
|
Virgin Media Secured Finance PLC, 5.50%, due 05/15/29 144A
|
290,151
|
1,070,000
|
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, due 05/01/27(j)
144A
|
922,329
|
620,000
|
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 9.50%, due 06/01/28(j)
144A
|
525,482
|
450,000
|
|
Vmed O2 U.K. Financing I PLC, 4.75%, due 07/15/31 144A
|
402,515
|
660,000
|
|
VOC Escrow Ltd., 5.00%, due 02/15/28 144A
|
633,490
|
370,000
|
|
VTR Comunicaciones SpA, 5.13%, due 01/15/28 144A
|
185,387
|
315,000
|
|
Waste Connections, Inc., 2.95%, due 01/15/52
|
223,174
|
1,395,000
|
|
Wells Fargo & Co., 5.39% (SOFR + 2.02%), due 04/24/34(b)
|
1,404,339
|
1,630,000
|
|
Wells Fargo & Co., 6.30% (SOFR + 1.79%), due 10/23/29(b)
|
1,720,465
|
1,700,000
|
|
Western Midstream Operating LP, 5.30%, due 03/01/48
|
1,483,486
|
1,635,000
|
|
Western Midstream Operating LP, 5.45%, due 04/01/44
|
1,491,768
|
60,000
|
|
Williams Cos., Inc., 8.75%, due 03/15/32(l)
|
72,961
|
1,210,000
|
|
Winnebago Industries, Inc., 6.25%, due 07/15/28 144A
|
1,190,192
|
350,000
|
|
WW International, Inc., 4.50%, due 04/15/29 144A
|
232,437
|
2,270,000
|
|
Wynn Macau Ltd., 4.88%, due 10/01/24 144A
|
2,242,853
|
820,000
|
|
Wynn Macau Ltd., 5.63%, due 08/26/28 144A
|
760,639
|
730,000
|
|
XPO, Inc., 6.25%, due 06/01/28 144A
|
740,102
|
460,000
|
|
XPO, Inc., 7.13%, due 02/01/32 144A
|
474,847
|
180,000
|
|
Yamana Gold, Inc., 4.63%, due 12/15/27
|
174,193
|
460,000
|
|
YPF SA, 6.95%, due 07/21/27 144A
|
412,055
|
860,000
|
|
YPF SA, 8.50%, due 07/28/25 144A
|
831,271
|
286,650
|
|
YPF SA, 9.00%, due 02/12/26(l) 144A
|
291,703
|
85,000
|
|
Yum! Brands, Inc., 4.75%, due 01/15/30 144A
|
82,484
|
720,000
|
|
ZF North America Capital, Inc., 4.75%, due 04/29/25 144A
|
712,247
|
420,000
|
|
ZF North America Capital, Inc., 7.13%, due 04/14/30 144A
|
448,215
|
900,000
|
|
Ziff Davis, Inc., 4.63%, due 10/15/30 144A
|
826,672
|
240,000
|
|
ZipRecruiter, Inc., 5.00%, due 01/15/30 144A
|
210,287
|
|
|
|
559,135,494
|
|
|
Mortgage Backed Securities - Private Issuers — 4.9%
|
|
910,000
|
|
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class B1, 5.02%, due 03/25/49(c)
144A
|
902,082
|
355,000
|
|
Bank, Series 2020-BN25, Class AS, 2.84%, due 01/15/63
|
298,595
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
500,000
|
|
Bank, Series 2022-BNK44, Class D, 4.00%, due 11/15/32(c) 144A
|
293,430
|
870,000
|
|
Bank, Series 2023-BNK45, Class A5, 5.20%, due 02/15/56
|
882,920
|
6,038,082
|
|
Bank, Series 2023-BNK46, Class XA, 0.62%, due 08/15/56(c)
|
245,469
|
922,000
|
|
BBCCRE Trust, Series 2015-GTP, Class F, 4.56%, due 08/10/33(c) 144A
|
565,139
|
280,000
|
|
BBCMS Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52
|
252,451
|
345,000
|
|
BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53
|
293,685
|
390,000
|
|
BBCMS Trust, Series 2018-CBM, Class D, 8.05% (1 mo. USD Term SOFR + 2.69%),
due 07/15/37(b) 144A
|
366,304
|
250,000
|
|
Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(c)
|
212,223
|
630,000
|
|
Benchmark Mortgage Trust, Series 2023-V3, Class D, 4.00%, due 07/15/56 144A
|
465,910
|
1,000,000
|
|
BHMS Mortgage Trust, Series 2018-MZB, Class MZB, 12.30% (1 mo. USD Term
SOFR + 6.93%), due 07/15/25(b) 144A
|
911,445
|
860,000
|
|
BIG Commercial Mortgage Trust, Series 2022-BIG, Class F, 10.80% (1 mo. USD Term
SOFR + 5.44%), due 02/15/39(b) 144A
|
823,429
|
786,742
|
|
BRAVO Residential Funding Trust, Series 2022-NQM1, Class A3, 4.09%, due
09/25/61(c) 144A
|
718,974
|
289,199
|
|
BRAVO Residential Funding Trust, Series 2022-NQM2, Class A3, 5.24%, due
11/25/61(c) 144A
|
289,714
|
228,478
|
|
BRAVO Residential Funding Trust, Series 2022-NQM3, Class A3, 5.50%, due
07/25/62(c) 144A
|
229,821
|
590,000
|
|
BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 7.56% (1 mo. USD Term
SOFR + 2.20%), due 04/15/34(b) 144A
|
579,761
|
1,005,623
|
|
BX Commercial Mortgage Trust, Series 2021-21M, Class A, 6.21% (1 mo. USD Term
SOFR + 0.84%), due 10/15/36(b) 144A
|
987,085
|
890,000
|
|
BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 6.33% (1 mo. USD Term
SOFR + 0.96%), due 11/15/38(b) 144A
|
878,310
|
967,460
|
|
BX Commercial Mortgage Trust, Series 2021-VINO, Class A, 6.13% (1 mo. USD Term
SOFR + 0.77%), due 05/15/38(b) 144A
|
952,764
|
690,000
|
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class G, 8.33% (1 mo. USD Term
SOFR + 2.96%), due 09/15/36(b) 144A
|
654,104
|
398,784
|
|
BX Commercial Mortgage Trust, Series 2021-XL2, Class J, 9.37% (1 mo. USD Term
SOFR + 4.00%), due 10/15/38(b) 144A
|
380,696
|
1,260,000
|
|
BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 6.35% (1 mo. USD Term
SOFR + 0.99%), due 01/17/39(b) 144A
|
1,237,710
|
777,667
|
|
BX Commercial Mortgage Trust, Series 2022-LP2, Class G, 9.47% (1 mo. USD Term
SOFR + 4.11%), due 02/15/39(b) 144A
|
751,368
|
970,000
|
|
BX Commercial Mortgage Trust, Series 2023-VLT2, Class E, 11.23% (1 mo. USD Term
SOFR + 5.87%), due 06/15/40(b) 144A
|
974,653
|
950,000
|
|
BX Trust, Series 2018-BILT, Class B, 6.68% (1 mo. USD Term SOFR + 1.32%), due
05/15/30(b) 144A
|
940,457
|
844,098
|
|
BX Trust, Series 2021-SDMF, Class F, 7.41% (1 mo. USD Term SOFR + 2.05%), due
09/15/34(b) 144A
|
787,019
|
830,000
|
|
BX Trust, Series 2022-LBA6, Class D, 7.36% (1 mo. USD Term SOFR + 2.00%), due
01/15/39(b) 144A
|
813,804
|
500,000
|
|
Cantor Commercial Real Estate Lending, Series 2019-CF1, Class A2, 3.62%, due
05/15/52
|
474,304
|
227,717
|
|
CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.25%, due 12/15/47(c)
144A
|
209,137
|
425,000
|
|
CFK Trust, Series 2020-MF2, Class F, 3.46%, due 03/15/39(c) 144A
|
260,896
|
300,000
|
|
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 6.43% (1 mo. USD
Term SOFR + 1.06%), due 11/15/36(b) 144A
|
294,670
|
500,000
|
|
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C, 4.37%, due 09/15/48(c)
|
442,671
|
270,000
|
|
Citigroup Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.47%, due 10/12/50
|
251,598
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
305,000
|
|
COMM Mortgage Trust, Series 2012-CR3, Class B, 3.92%, due 10/15/45 144A
|
240,444
|
450,000
|
|
CSMC Trust, Series 2014-USA, Class F, 4.37%, due 09/15/37 144A
|
175,562
|
300,000
|
|
CSMC Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A
|
265,531
|
886,445
|
|
CSMC Trust, Series 2022-RPL4, Class A1, 3.90%, due 04/25/62(c) 144A
|
835,489
|
1,057,369
|
|
CSMC Trust Capital Certificates, Series 2019-ICE4, Class F, 8.06% (1 mo. USD Term
SOFR + 2.70%), due 05/15/36(b) 144A
|
1,047,227
|
932,038
|
|
DBGS Mortgage Trust, Series 2018-BIOD, Class D, 6.96% (1 mo. USD Term SOFR +
1.60%), due 05/15/35(b) 144A
|
915,273
|
930,000
|
|
Ellington Financial Mortgage Trust, Series 2020-1, Class B1, 5.10%, due 05/25/65(c)
144A
|
902,120
|
987,095
|
|
Ellington Financial Mortgage Trust, Series 2023-1, Class A3, 6.54%, due 02/25/68(l)
144A
|
980,925
|
769,105
|
|
ELP Commercial Mortgage Trust, Series 2021-ELP, Class D, 7.00% (1 mo. USD Term
SOFR + 1.63%), due 11/15/38(b) 144A
|
748,207
|
457,386
|
|
Extended Stay America Trust, Series 2021-ESH, Class F, 9.18% (1 mo. USD Term
SOFR + 3.81%), due 07/15/38(b) 144A
|
448,698
|
209,639
|
|
Federal Home Loan Mortgage Corp. STACR Debt Notes, Series 2017-SPI1, Class B,
4.12%, due 09/25/47(c) 144A
|
139,092
|
910,000
|
|
Federal Home Loan Mortgage Corp. STACR Debt Notes, Series 2021-DNA2, Class B1,
8.74% (SOFR 30-day average + 3.40%), due 08/25/33(b) 144A
|
947,947
|
1,580,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA1,
Class B1, 7.75% (SOFR 30-day average + 2.41%), due 01/25/50(b) 144A
|
1,616,016
|
966,227
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA3,
Class B1, 10.55% (SOFR 30-day average + 5.21%), due 06/25/50(b) 144A
|
1,059,725
|
830,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA5,
Class B1, 10.14% (SOFR 30-day average + 4.80%), due 10/25/50(b) 144A
|
930,674
|
1,060,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA6,
Class B1, 8.34% (SOFR 30-day average + 3.00%), due 12/25/50(b) 144A
|
1,099,937
|
970,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA1,
Class B2, 10.09% (SOFR 30-day average + 4.75%), due 01/25/51(b) 144A
|
993,356
|
380,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA3,
Class B1, 8.84% (SOFR 30-day average + 3.50%), due 10/25/33(b) 144A
|
396,846
|
1,140,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA3,
Class M2, 7.44% (SOFR 30-day average + 2.10%), due 10/25/33(b) 144A
|
1,145,044
|
1,270,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA5,
Class B1, 8.39% (SOFR 30-day average + 3.05%), due 01/25/34(b) 144A
|
1,284,258
|
792,508
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA5,
Class M2, 6.99% (SOFR 30-day average + 1.65%), due 01/25/34(b) 144A
|
796,117
|
980,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA6,
Class B1, 8.74% (SOFR 30-day average + 3.40%), due 10/25/41(b) 144A
|
997,631
|
400,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA6,
Class M2, 6.84% (SOFR 30-day average + 1.50%), due 10/25/41(b) 144A
|
396,977
|
1,000,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA7,
Class M2, 7.14% (SOFR 30-day average + 1.80%), due 11/25/41(b) 144A
|
989,010
|
1,000,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2,
Class B1, 10.09% (SOFR 30-day average + 4.75%), due 02/25/42(b) 144A
|
1,037,012
|
1,240,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2,
Class M2, 9.09% (SOFR 30-day average + 3.75%), due 02/25/42(b) 144A
|
1,282,747
|
1,090,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA3,
Class M1B, 8.24% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A
|
1,121,376
|
880,000
|
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA6,
Class M2, 11.09% (SOFR 30-day average + 5.75%), due 09/25/42(b) 144A
|
980,566
|
440,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C07,
Class 1B1, 9.45% (SOFR 30-day average + 4.11%), due 05/25/30(b) 144A
|
473,034
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
610,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-C01,
Class 1B1, 9.00% (SOFR 30-day average + 3.66%), due 07/25/30(b) 144A
|
652,195
|
492,500
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-C06,
Class 1B1, 9.20% (SOFR 30-day average + 3.86%), due 03/25/31(b) 144A
|
528,466
|
800,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-R07,
Class 1B1, 9.80% (SOFR 30-day average + 4.46%), due 04/25/31(b) 144A
|
857,416
|
887,284
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R03,
Class 1B1, 9.55% (SOFR 30-day average + 4.21%), due 09/25/31(b) 144A
|
934,312
|
680,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R07,
Class 1B1, 8.85% (SOFR 30-day average + 3.51%), due 10/25/39(b) 144A
|
691,816
|
260,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2020-R01,
Class 1B1, 8.70% (SOFR 30-day average + 3.36%), due 01/25/40(b) 144A
|
263,384
|
119,800
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2020-R01,
Class 1M2, 7.50% (SOFR 30-day average + 2.16%), due 01/25/40(b) 144A
|
121,443
|
2,280,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2021-R01,
Class 1B1, 8.44% (SOFR 30-day average + 3.10%), due 10/25/41(b) 144A
|
2,302,511
|
800,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2021-R03,
Class 1B1, 8.09% (SOFR 30-day average + 2.75%), due 12/25/41(b) 144A
|
803,532
|
1,000,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R04,
Class 1M2, 8.44% (SOFR 30-day average + 3.10%), due 03/25/42(b) 144A
|
1,033,742
|
1,020,000
|
|
Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R06,
Class 1B1, 9.24% (SOFR 30-day average + 3.90%), due 07/25/43(b) 144A
|
1,043,215
|
510,000
|
|
GS Mortgage Securities Corp. Trust, Series 2018-LUAU, Class G, 10.11% (1 mo. USD
Term SOFR + 4.75%), due 11/15/32(b) 144A
|
493,274
|
570,000
|
|
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 6.73% (1 mo. USD
Term SOFR + 1.21%), due 12/15/36(b) 144A
|
562,767
|
265,000
|
|
GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.15%, due 08/10/44(c) 144A
|
82,551
|
280,000
|
|
GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.69%, due 06/10/47(c) 144A
|
119,522
|
670,000
|
|
GS Mortgage Securities Trust, Series 2015-GC28, Class D, 4.31%, due 02/10/48(c) 144A
|
593,454
|
720,000
|
|
GS Mortgage Securities Trust, Series 2015-GC32, Class D, 3.35%, due 07/10/48
|
593,011
|
144,629
|
|
HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1C, 6.37% (1 mo. USD Term
SOFR + 1.01%), due 06/20/35(b)
|
130,808
|
140,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class C,
4.72%, due 01/15/49(c)
|
117,475
|
1,390,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M,
13.98% (1 mo. USD Term SOFR + 8.62%), due 06/15/35(b)(n) 144A
|
15,956
|
1,210,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL,
8.73% (1 mo. USD Term SOFR + 3.39%), due 07/05/33(b) 144A
|
792,865
|
530,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E,
8.58% (1 mo. USD Term SOFR + 3.21%), due 09/15/29(b) 144A
|
303,126
|
800,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F,
9.38% (1 mo. USD Term SOFR + 4.01%), due 09/15/29(b) 144A
|
401,538
|
610,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F,
8.83% (1 mo. USD Term SOFR + 3.21%), due 12/15/36(b) 144A
|
53,899
|
760,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX,
4.69%, due 01/16/37(c) 144A
|
175,815
|
810,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class F,
9.74% (1 mo. USD Term SOFR + 4.38%), due 11/15/38(b) 144A
|
773,053
|
1,030,000
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class D,
8.24% (SOFR 30-day average + 2.90%), due 03/15/39(b) 144A
|
986,500
|
527,191
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D,
7.53% (1 mo. USD Term SOFR + 2.17%), due 04/15/37(b) 144A
|
425,944
|
625,479
|
|
KIND Trust, Series 2021-KIND, Class D, 7.78% (1 mo. USD Term SOFR + 2.41%),
due 08/15/38(b) 144A
|
579,216
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
1,008,403
|
|
Legacy Mortgage Asset Trust, Series 2020-GS4, Class A1, 6.25%, due 02/25/60(l) 144A
|
1,008,393
|
157,082
|
|
Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 6.25%, due 06/25/60(l) 144A
|
157,093
|
532,445
|
|
Med Trust, Series 2021-MDLN, Class C, 7.28% (1 mo. USD Term SOFR + 1.91%), due
11/15/38(b) 144A
|
521,990
|
577,230
|
|
Med Trust, Series 2021-MDLN, Class E, 8.63% (1 mo. USD Term SOFR + 3.26%), due
11/15/38(b) 144A
|
562,539
|
1,741,641
|
|
Med Trust, Series 2021-MDLN, Class G, 10.73% (1 mo. USD Term SOFR + 5.36%),
due 11/15/38(b) 144A
|
1,673,105
|
821,017
|
|
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 6.28% (1 mo. USD
Term SOFR + 0.92%), due 04/15/38(b) 144A
|
813,035
|
472,000
|
|
MHC Trust, Series 2021-MHC2, Class E, 7.43% (1 mo. USD Term SOFR + 2.06%),
due 05/15/38(b) 144A
|
460,337
|
320,000
|
|
Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.28%, due 07/11/40(c) 144A
|
280,717
|
334,172
|
|
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%,
due 10/15/30 144A
|
289,864
|
490,000
|
|
MSWF Commercial Mortgage Trust, Series 2023-1, Class A4, 5.47%, due 05/15/56
|
509,227
|
540,000
|
|
MSWF Commercial Mortgage Trust, Series 2023-2, Class C, 7.25%, due 12/15/56(c)
|
557,558
|
452,141
|
|
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 8.70%
(SOFR 30-day average + 3.36%), due 10/25/49(b) 144A
|
441,429
|
458,709
|
|
Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 9.20%
(SOFR 30-day average + 3.86%), due 03/25/50(b) 144A
|
444,661
|
271,634
|
|
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 6.94% (1
mo. USD Term SOFR + 1.58%), due 07/15/36(b) 144A
|
246,857
|
348,219
|
|
New Residential Mortgage Loan Trust, Series 2017-5A, Class B4, 5.88%, due
06/25/57(c) 144A
|
335,185
|
411,632
|
|
OBX Trust, Series 2022-NQM6, Class A1, 4.70%, due 07/25/62(l) 144A
|
405,710
|
658,353
|
|
OPG Trust, Series 2021-PORT, Class D, 6.61% (1 mo. USD Term SOFR + 1.25%), due
10/15/36(b) 144A
|
639,490
|
66,356
|
|
PMT Credit Risk Transfer Trust, Series 2019-3R, Class A, 9.15% (SOFR 30-day average
+ 3.81%), due 11/27/31(b) 144A
|
66,515
|
43,802
|
|
Seasoned Credit Risk Transfer Trust, Series 2017-1, Class M1, 4.00%, due 01/25/56(c)
144A
|
43,394
|
250,300
|
|
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1, 4.00%, due 08/25/56(c)
144A
|
244,498
|
224,980
|
|
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class M1, 4.00%, due 07/25/56(c)
144A
|
222,231
|
415,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M, 4.75%, due 08/25/57(c)
144A
|
370,837
|
280,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M, 4.75%, due 07/25/58(c)
144A
|
256,817
|
790,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.75%, due 10/25/58(c)
144A
|
728,670
|
560,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M, 4.50%, due 02/25/59(c)
144A
|
490,744
|
370,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M, 4.25%, due 08/25/59(c)
144A
|
328,965
|
640,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M, 4.25%, due 11/25/59(c)
144A
|
572,600
|
590,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M, 4.25%, due 05/25/60(c)
144A
|
527,132
|
500,000
|
|
Seasoned Credit Risk Transfer Trust, Series 2021-1, Class M, 4.25%, due 09/25/60 144A
|
452,274
|
230,000
|
|
Starwood Retail Property Trust, Series 2014-STAR, Class C, 8.50% (U.S. (Fed) Prime
Rate + 0.00%), due 11/15/27(b)(f) 144A
|
84,249
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
900,000
|
|
Starwood Retail Property Trust, Series 2014-STAR, Class D, 8.50% (U.S. (Fed) Prime
Rate + 0.00%), due 11/15/27(b)(f) 144A
|
203,940
|
292,279
|
|
Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A2, 6.03% (1
mo. USD Term SOFR + 0.67%), due 05/25/45(b)
|
217,016
|
940,000
|
|
Towd Point Mortgage Trust, Series 2017-5, Class B1, 5.76% (1 mo. USD Term SOFR +
1.91%), due 02/25/57(b) 144A
|
939,775
|
590,000
|
|
Towd Point Mortgage Trust, Series 2019-4, Class B1B, 3.50%, due 10/25/59(c) 144A
|
445,806
|
219,639
|
|
UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, due 12/15/50
|
206,700
|
640,000
|
|
Verus Securitization Trust, Series 2023-8, Class A3, 6.97%, due 12/25/68(l) 144A
|
645,855
|
224,915
|
|
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B, 6.25%
(1 mo. USD Term SOFR + 0.89%), due 01/25/45(b)
|
207,873
|
321,755
|
|
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR16, Class 2A2, 4.34%,
due 12/25/36(c)
|
279,437
|
530,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class B, 3.96%, due
12/15/47
|
500,440
|
1,190,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D, 2.80%, due
12/15/50(c) 144A
|
726,873
|
213,495
|
|
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR5, Class 2A1, 4.67%, due
04/25/36(c)
|
200,198
|
|
|
|
78,612,274
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.0%
|
|
126,657
|
|
Federal National Mortgage Association, Pool # BM6224, 2.79%, due 01/01/35(c)
|
110,100
|
190,107
|
|
Federal National Mortgage Association, Pool # FS5059, 3.50%, due 11/01/48
|
177,838
|
|
|
|
287,938
|
|
|
Sovereign Debt Obligations — 32.8%
|
|
1,275,000
|
|
Abu Dhabi Government International Bonds, 3.13%, due 09/30/49(h)
|
939,959
|
1,700,000
|
|
Abu Dhabi Government International Bonds, 3.13%, due 09/30/49 144A
|
1,253,278
|
935,000
|
|
Angola Government International Bonds, 8.00%, due 11/26/29(h)
|
833,078
|
240,000
|
|
Angola Government International Bonds, 8.75%, due 04/14/32 144A
|
211,733
|
390,000
|
|
Angola Government International Bonds, 9.13%, due 11/26/49(h)(j)
|
319,313
|
5,505
|
|
Argentina Republic Government International Bonds, 1.00%, due 07/09/29
|
2,213
|
2,330,000
|
|
Argentina Republic Government International Bonds, 3.63%, due 07/09/35(l)
|
805,167
|
327,438
|
|
Argentina Republic Government International Bonds, 3.63%, due 07/09/46(l)
|
114,886
|
380,000
|
|
Bahamas Government International Bonds, 8.95%, due 10/15/32(h)
|
358,399
|
975,000
|
|
Bahrain Government International Bonds, 5.63%, due 05/18/34(h)
|
884,665
|
1,061,837,250
|
CLP
|
Bonos de la Tesoreria de la Republica, 1.90%, due 09/01/30
|
1,195,180
|
55,184,040
|
CLP
|
Bonos de la Tesoreria de la Republica, 2.00%, due 03/01/35
|
61,261
|
846,039,430
|
CLP
|
Bonos de la Tesoreria de la Republica, 3.40%, due 10/01/39(h)
|
1,082,635
|
870,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 2.30%, due 10/01/28(h)
|
878,134
|
2,175,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 2.50%, due 03/01/25
|
2,392,488
|
1,955,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26
|
2,213,463
|
1,085,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 09/01/30(h) 144A
|
1,204,539
|
525,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 10/01/28(h)
|
591,723
|
205,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35
|
234,730
|
830,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 5.80%, due 10/01/34(h)
|
999,112
|
1,950,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 04/01/33(h)
|
2,351,268
|
270,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 7.00%, due 05/01/34(h)
|
350,941
|
1,000,000
|
|
Brazil Government International Bonds, 4.63%, due 01/13/28(j)
|
993,388
|
2,360,000
|
|
Brazil Government International Bonds, 4.75%, due 01/14/50
|
1,823,389
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
7,975,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 10.47%, due 07/01/26(g)
|
1,302,365
|
38,446,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 11.15%, due 01/01/25(g)
|
7,192,925
|
35,362,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 11.52%, due 01/01/26(g)
|
6,035,650
|
4,009,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 11.62%, due 07/01/24(g)
|
785,466
|
4,354,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 13.16%, due 07/01/25(g)
|
780,595
|
140,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 6.00%, due 05/15/35
|
127,221
|
302,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 6.00%, due 08/15/50
|
280,059
|
45,868,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 10.00%, due 01/01/25
|
9,110,416
|
51,505,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 10.00%, due 01/01/27
|
10,276,394
|
64,472,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 10.00%, due 01/01/29
|
12,856,130
|
53,603,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 10.00%, due 01/01/31
|
10,485,521
|
20,415,000
|
BRL
|
Brazil Notas do Tesouro Nacional, 10.00%, due 01/01/33
|
3,998,184
|
548,000
|
|
Chile Government International Bonds, 2.55%, due 01/27/32(j)
|
472,224
|
695,000
|
|
Chile Government International Bonds, 3.10%, due 05/07/41
|
530,815
|
403,000
|
|
Chile Government International Bonds, 4.34%, due 03/07/42(j)
|
361,326
|
3,930,000
|
CNY
|
China Government Bonds, 2.68%, due 05/21/30
|
558,423
|
5,320,000
|
CNY
|
China Government Bonds, 2.85%, due 06/04/27
|
762,387
|
7,200,000
|
CNY
|
China Government Bonds, 2.88%, due 02/25/33
|
1,040,059
|
2,310,000
|
CNY
|
China Government Bonds, 3.02%, due 10/22/25
|
330,789
|
1,990,000
|
CNY
|
China Government Bonds, 3.02%, due 05/27/31
|
289,636
|
8,120,000
|
CNY
|
China Government Bonds, 3.13%, due 11/21/29
|
1,186,532
|
6,770,000
|
CNY
|
China Government Bonds, 3.27%, due 11/19/30
|
1,001,966
|
2,250,000
|
CNY
|
China Government Bonds, 3.28%, due 12/03/27
|
329,184
|
3,630,000
|
CNY
|
China Government Bonds, 3.29%, due 05/23/29
|
535,312
|
2,340,000
|
CNY
|
China Government Bonds, 3.72%, due 04/12/51
|
381,365
|
3,450,000
|
CNY
|
China Government Bonds, 3.81%, due 09/14/50
|
568,805
|
1,485,000
|
|
Colombia Government International Bonds, 4.13%, due 05/15/51
|
991,890
|
1,690,000
|
|
Colombia Government International Bonds, 4.50%, due 03/15/29
|
1,587,180
|
13,507,000,000
|
COP
|
Colombia TES, 5.75%, due 11/03/27
|
3,090,851
|
22,513,900,000
|
COP
|
Colombia TES, 6.00%, due 04/28/28
|
5,130,426
|
15,173,800,000
|
COP
|
Colombia TES, 6.25%, due 11/26/25
|
3,717,855
|
11,162,900,000
|
COP
|
Colombia TES, 6.25%, due 07/09/36
|
2,108,676
|
16,304,700,000
|
COP
|
Colombia TES, 7.00%, due 03/26/31
|
3,633,188
|
1,517,200,000
|
COP
|
Colombia TES, 7.00%, due 03/26/31
|
338,079
|
30,508,600,000
|
COP
|
Colombia TES, 7.00%, due 06/30/32
|
6,604,553
|
20,966,400,000
|
COP
|
Colombia TES, 7.25%, due 10/18/34
|
4,459,013
|
5,090,000,000
|
COP
|
Colombia TES, 7.25%, due 10/26/50
|
957,758
|
12,635,300,000
|
COP
|
Colombia TES, 7.50%, due 08/26/26
|
3,120,991
|
15,566,900,000
|
COP
|
Colombia TES, 7.75%, due 09/18/30
|
3,665,093
|
12,796,300,000
|
COP
|
Colombia TES, 9.25%, due 05/28/42
|
2,999,322
|
8,153,400,000
|
COP
|
Colombia TES, 10.00%, due 07/24/24
|
2,103,068
|
7,093,400,000
|
COP
|
Colombia TES, 13.25%, due 02/09/33
|
2,174,760
|
22,210,000
|
CZK
|
Czech Republic Government Bonds, 0.95%, due 05/15/30(h)
|
841,113
|
15,220,000
|
CZK
|
Czech Republic Government Bonds, 1.00%, due 06/26/26(h)
|
632,189
|
29,670,000
|
CZK
|
Czech Republic Government Bonds, 1.20%, due 03/13/31
|
1,120,582
|
24,440,000
|
CZK
|
Czech Republic Government Bonds, 1.75%, due 06/23/32
|
942,624
|
29,590,000
|
CZK
|
Czech Republic Government Bonds, 2.00%, due 10/13/33
|
1,139,897
|
4,900,000
|
CZK
|
Czech Republic Government Bonds, 2.50%, due 08/25/28(h)
|
208,180
|
24,930,000
|
CZK
|
Czech Republic Government Bonds, 2.75%, due 07/23/29
|
1,060,408
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
5,440,000
|
CZK
|
Czech Republic Government Bonds, 4.20%, due 12/04/36(h)
|
253,679
|
83,460,000
|
CZK
|
Czech Republic Government Bonds, 5.00%, due 09/30/30
|
4,019,558
|
100,500,000
|
CZK
|
Czech Republic Government Bonds, 5.50%, due 12/12/28
|
4,878,946
|
4,340,000
|
CZK
|
Czech Republic Government Bonds, 6.00%, due 02/26/26
|
203,081
|
15,630,000
|
CZK
|
Czech Republic Government Bonds, Series 130, 0.05%, due 11/29/29
|
565,806
|
270,000
|
|
Dominican Republic International Bonds, 4.50%, due 01/30/30(h)
|
249,426
|
580,000
|
|
Dominican Republic International Bonds, 4.88%, due 09/23/32(h)
|
529,598
|
350,000
|
|
Dominican Republic International Bonds, 5.50%, due 02/22/29 144A
|
343,000
|
1,865,000
|
|
Dominican Republic International Bonds, 5.88%, due 01/30/60(h)
|
1,617,794
|
1,005,000
|
|
Dominican Republic International Bonds, 6.00%, due 07/19/28 144A
|
1,009,221
|
23,800,000
|
DOP
|
Dominican Republic International Bonds, 13.63%, due 02/03/33(h)
|
499,866
|
300,000
|
|
Ecuador Government International Bonds, 3.50%, due 07/31/35(h)(l)
|
108,101
|
7,061,000
|
EGP
|
Egypt Government Bonds, 14.66%, due 10/06/30
|
146,521
|
6,937,000
|
EGP
|
Egypt Government Bonds, 14.82%, due 07/06/31
|
143,701
|
1,720,000
|
|
Egypt Government International Bonds, 5.80%, due 09/30/27(h)
|
1,330,786
|
440,000
|
|
Egypt Government International Bonds, 7.05%, due 01/15/32(h)
|
302,700
|
1,650,000
|
|
Egypt Government International Bonds, 7.50%, due 01/31/27(h)
|
1,392,253
|
2,105,000
|
|
Egypt Government International Bonds, 7.60%, due 03/01/29(h)
|
1,612,767
|
2,750,000
|
|
El Salvador Government International Bonds, 6.38%, due 01/18/27(h)
|
2,439,849
|
11,240,000
|
ZAR
|
European Investment Bank, 8.50%, due 09/17/24(h)
|
614,156
|
920,000
|
|
Export-Import Bank of India, 5.50%, due 01/18/33 144A
|
953,102
|
1,035,000
|
|
Export-Import Bank of Korea, 5.00%, due 01/11/28
|
1,054,877
|
5,100,000,000
|
IDR
|
Export-Import Bank of Korea, 8.00%, due 05/15/24(h)
|
332,823
|
905,000
|
|
Gabon Government International Bonds, 7.00%, due 11/24/31(h)
|
756,976
|
1,215,000
|
|
Ghana Government International Bonds, 7.75%, due 04/07/29(h)
|
534,150
|
390,000
|
|
Ghana Government International Bonds, 7.75%, due 04/07/29 144A
|
171,456
|
370,000
|
|
Ghana Government International Bonds, 10.75%, due 10/14/30(h)
|
234,257
|
300,000
|
|
Guatemala Government Bonds, 4.38%, due 06/05/27(h)
|
288,450
|
1,340,000
|
|
Guatemala Government Bonds, 4.88%, due 02/13/28(h)
|
1,307,672
|
800,000
|
|
Hazine Mustesarligi Varlik Kiralama AS, 8.51%, due 01/14/29(j) 144A
|
849,600
|
121,750,000
|
HUF
|
Hungary Government Bonds, 1.50%, due 04/22/26
|
317,988
|
191,110,000
|
HUF
|
Hungary Government Bonds, 2.00%, due 05/23/29
|
461,529
|
368,130,000
|
HUF
|
Hungary Government Bonds, 2.25%, due 04/20/33
|
808,969
|
143,770,000
|
HUF
|
Hungary Government Bonds, 2.75%, due 12/22/26
|
378,159
|
266,700,000
|
HUF
|
Hungary Government Bonds, 3.00%, due 10/27/27
|
702,708
|
235,010,000
|
HUF
|
Hungary Government Bonds, 3.00%, due 08/21/30
|
583,591
|
443,170,000
|
HUF
|
Hungary Government Bonds, 3.00%, due 10/27/38
|
898,633
|
82,710,000
|
HUF
|
Hungary Government Bonds, 3.00%, due 10/27/38
|
167,714
|
334,830,000
|
HUF
|
Hungary Government Bonds, 3.00%, due 04/25/41
|
655,763
|
224,860,000
|
HUF
|
Hungary Government Bonds, 3.25%, due 10/22/31
|
553,597
|
259,610,000
|
HUF
|
Hungary Government Bonds, 4.00%, due 04/28/51
|
522,480
|
857,000,000
|
HUF
|
Hungary Government Bonds, 4.50%, due 03/23/28(j)
|
2,361,445
|
1,522,510,000
|
HUF
|
Hungary Government Bonds, 4.75%, due 11/24/32
|
4,067,581
|
456,210,000
|
HUF
|
Hungary Government Bonds, 4.75%, due 11/24/32
|
1,218,824
|
843,390,000
|
HUF
|
Hungary Government Bonds, 6.75%, due 10/22/28
|
2,533,475
|
98,370,000
|
HUF
|
Hungary Government Bonds, 9.50%, due 10/21/26
|
308,259
|
394,640,000
|
HUF
|
Hungary Government Bonds, 9.50%, due 10/21/26
|
1,236,670
|
1,985,000
|
|
Hungary Government International Bonds, 6.13%, due 05/22/28 144A
|
2,066,994
|
417,000
|
|
Hungary Government International Bonds, 6.25%, due 09/22/32 144A
|
445,985
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
510,000
|
|
Indonesia Government International Bonds, 5.25%, due 01/17/42(h)
|
532,598
|
27,182,000,000
|
IDR
|
Indonesia Treasury Bonds, 5.13%, due 04/15/27
|
1,699,895
|
14,660,000,000
|
IDR
|
Indonesia Treasury Bonds, 5.50%, due 04/15/26
|
934,300
|
7,852,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.13%, due 05/15/28
|
503,768
|
23,108,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.25%, due 06/15/36
|
1,459,675
|
7,396,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.38%, due 08/15/28
|
479,508
|
71,799,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.38%, due 04/15/32
|
4,616,130
|
37,046,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.50%, due 06/15/25
|
2,407,545
|
70,317,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.50%, due 02/15/31
|
4,548,661
|
7,000,000,000
|
IDR
|
Indonesia Treasury Bonds, 6.88%, due 08/15/51
|
453,725
|
15,599,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.00%, due 05/15/27
|
1,030,464
|
65,056,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.00%, due 02/15/33
|
4,381,361
|
30,837,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.13%, due 06/15/38
|
2,097,375
|
6,949,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.13%, due 06/15/42
|
468,264
|
15,591,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.13%, due 06/15/43
|
1,051,752
|
4,546,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.38%, due 05/15/48
|
311,208
|
23,138,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.50%, due 08/15/32
|
1,592,190
|
23,793,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.50%, due 05/15/38
|
1,655,728
|
57,676,000,000
|
IDR
|
Indonesia Treasury Bonds, 7.50%, due 04/15/40
|
4,004,843
|
14,309,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.25%, due 05/15/29
|
1,002,215
|
2,658,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.25%, due 06/15/32
|
189,778
|
17,896,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.25%, due 05/15/36
|
1,310,812
|
11,780,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.38%, due 09/15/26
|
802,665
|
74,095,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.38%, due 03/15/34
|
5,382,318
|
37,580,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.38%, due 04/15/39
|
2,809,286
|
23,174,000,000
|
IDR
|
Indonesia Treasury Bonds, 8.75%, due 05/15/31
|
1,684,717
|
8,328,000,000
|
IDR
|
Indonesia Treasury Bonds, 9.00%, due 03/15/29
|
598,554
|
6,017,000,000
|
IDR
|
Indonesia Treasury Bonds, 9.50%, due 07/15/31
|
458,025
|
4,567,000,000
|
IDR
|
Indonesia Treasury Bonds, 11.00%, due 09/15/25
|
318,240
|
5,028,000,000
|
IDR
|
Indonesia Treasury Bonds, Series 101, 6.88%, due 04/15/29
|
331,822
|
645,000
|
|
Israel Government International Bonds, 3.88%, due 07/03/50(j)
|
500,201
|
170,000
|
EUR
|
Ivory Coast Government International Bonds, 4.88%, due 01/30/32 144A
|
158,752
|
175,753
|
|
Ivory Coast Government International Bonds, 5.75%, due 12/31/32(h)(l)
|
166,517
|
1,160,000
|
|
Ivory Coast Government International Bonds, 6.13%, due 06/15/33(h)
|
1,070,286
|
1,110,000
|
|
Ivory Coast Government International Bonds, 6.38%, due 03/03/28(h)
|
1,093,050
|
194,500,000
|
JMD
|
Jamaica Government International Bonds, 9.63%, due 11/03/30
|
1,265,935
|
820,000
|
|
Jordan Government International Bonds, 7.75%, due 01/15/28 144A
|
849,094
|
13,492,000
|
MYR
|
Malaysia Government Bonds, 2.63%, due 04/15/31
|
2,713,888
|
23,741,000
|
MYR
|
Malaysia Government Bonds, 3.48%, due 06/14/24
|
5,173,205
|
1,921,000
|
MYR
|
Malaysia Government Bonds, 3.50%, due 05/31/27
|
416,934
|
2,017,000
|
MYR
|
Malaysia Government Bonds, 3.52%, due 04/20/28
|
437,794
|
25,827,000
|
MYR
|
Malaysia Government Bonds, 3.58%, due 07/15/32
|
5,518,561
|
21,152,000
|
MYR
|
Malaysia Government Bonds, 3.73%, due 06/15/28
|
4,618,730
|
3,943,000
|
MYR
|
Malaysia Government Bonds, 3.76%, due 05/22/40
|
821,768
|
15,253,000
|
MYR
|
Malaysia Government Bonds, 3.83%, due 07/05/34
|
3,299,254
|
2,226,000
|
MYR
|
Malaysia Government Bonds, 3.84%, due 04/15/33
|
484,711
|
13,218,000
|
MYR
|
Malaysia Government Bonds, 3.88%, due 03/14/25
|
2,895,318
|
2,586,000
|
MYR
|
Malaysia Government Bonds, 3.89%, due 03/15/27
|
567,891
|
29,646,000
|
MYR
|
Malaysia Government Bonds, 3.89%, due 08/15/29
|
6,504,981
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
14,179,000
|
MYR
|
Malaysia Government Bonds, 3.90%, due 11/30/26
|
3,119,714
|
6,866,000
|
MYR
|
Malaysia Government Bonds, 3.90%, due 11/16/27
|
1,509,438
|
5,705,000
|
MYR
|
Malaysia Government Bonds, 3.91%, due 07/15/26
|
1,254,581
|
2,011,000
|
MYR
|
Malaysia Government Bonds, 4.07%, due 06/15/50
|
430,039
|
624,000
|
MYR
|
Malaysia Government Bonds, 4.13%, due 04/15/32
|
138,817
|
1,205,000
|
MYR
|
Malaysia Government Bonds, 4.23%, due 06/30/31
|
269,261
|
11,727,000
|
MYR
|
Malaysia Government Bonds, 4.39%, due 04/15/26
|
2,601,413
|
1,280,000
|
MYR
|
Malaysia Government Bonds, 4.46%, due 03/31/53
|
288,147
|
4,721,000
|
MYR
|
Malaysia Government Bonds, 4.50%, due 04/15/30
|
1,071,795
|
1,110,000
|
MYR
|
Malaysia Government Bonds, 4.64%, due 11/07/33
|
259,468
|
6,436,000
|
MYR
|
Malaysia Government Bonds, 4.70%, due 10/15/42
|
1,508,228
|
1,597,000
|
MYR
|
Malaysia Government Bonds, 4.74%, due 03/15/46
|
372,997
|
5,176,000
|
MYR
|
Malaysia Government Bonds, 4.76%, due 04/07/37
|
1,215,075
|
2,243,000
|
MYR
|
Malaysia Government Bonds, 4.89%, due 06/08/38
|
536,135
|
66,943,300
|
MXN
|
Mexico Bonos, 5.00%, due 03/06/25
|
3,749,370
|
27,108,100
|
MXN
|
Mexico Bonos, 5.50%, due 03/04/27
|
1,436,059
|
100,028,000
|
MXN
|
Mexico Bonos, 5.75%, due 03/05/26
|
5,460,994
|
3,902,000
|
MXN
|
Mexico Bonos, 7.00%, due 09/03/26
|
216,657
|
83,147,500
|
MXN
|
Mexico Bonos, 7.50%, due 06/03/27
|
4,653,353
|
89,205,400
|
MXN
|
Mexico Bonos, 7.50%, due 05/26/33
|
4,774,829
|
101,438,000
|
MXN
|
Mexico Bonos, 7.75%, due 05/29/31
|
5,590,606
|
13,369,600
|
MXN
|
Mexico Bonos, 7.75%, due 11/23/34
|
721,743
|
90,649,500
|
MXN
|
Mexico Bonos, 7.75%, due 11/13/42
|
4,712,736
|
95,119,100
|
MXN
|
Mexico Bonos, 8.00%, due 11/07/47
|
5,024,470
|
50,646,700
|
MXN
|
Mexico Bonos, 8.00%, due 07/31/53
|
2,656,376
|
8,178,800
|
MXN
|
Mexico Bonos, 8.00%, due 07/31/53
|
428,971
|
13,933,900
|
MXN
|
Mexico Bonos, 8.50%, due 03/01/29
|
801,534
|
29,302,900
|
MXN
|
Mexico Bonos, 8.50%, due 05/31/29
|
1,694,341
|
86,972,400
|
MXN
|
Mexico Bonos, 8.50%, due 05/31/29
|
5,028,884
|
23,654,800
|
MXN
|
Mexico Bonos, 8.50%, due 11/18/38
|
1,333,438
|
51,735,700
|
MXN
|
Mexico Bonos, 8.50%, due 11/18/38
|
2,916,379
|
61,610,400
|
MXN
|
Mexico Bonos, 10.00%, due 12/05/24
|
3,620,750
|
1,618,600
|
MXN
|
Mexico Bonos, 10.00%, due 12/05/24
|
95,123
|
7,390,300
|
MXN
|
Mexico Bonos, 10.00%, due 11/20/36
|
470,449
|
2,020,000
|
|
Mexico Government International Bonds, 2.66%, due 05/24/31
|
1,712,614
|
624,000
|
|
Mexico Government International Bonds, 4.75%, due 03/08/44
|
538,401
|
595,000
|
|
Mexico Government International Bonds, 4.88%, due 05/19/33
|
574,590
|
470,000
|
|
Mexico Government International Bonds, 6.34%, due 05/04/53
|
479,644
|
7,382,184
|
MXN
|
Mexico Udibonos, 4.00%, due 11/30/28
|
425,944
|
27,153,410
|
MXN
|
Mexico Udibonos, 4.50%, due 12/04/25
|
1,558,468
|
17,256,163
|
MXN
|
Mexico Udibonos, 4.50%, due 11/22/35
|
1,027,327
|
320,000
|
|
Mongolia Government International Bonds, 8.65%, due 01/19/28 144A
|
335,778
|
590,000
|
|
Nigeria Government International Bonds, 7.14%, due 02/23/30(h)
|
533,100
|
2,875,000
|
|
Nigeria Government International Bonds, 8.38%, due 03/24/29(h)
|
2,767,317
|
865,000
|
|
Oman Government International Bonds, 5.63%, due 01/17/28 144A
|
883,053
|
390,000
|
|
Panama Government International Bonds, 6.40%, due 02/14/35
|
381,641
|
1,520,000
|
|
Paraguay Government International Bonds, 5.40%, due 03/30/50(h)
|
1,355,460
|
1,772,000
|
PEN
|
Peru Government Bonds, 5.35%, due 08/12/40
|
410,320
|
10,692,000
|
PEN
|
Peru Government Bonds, 5.40%, due 08/12/34
|
2,611,775
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
12,129,000
|
PEN
|
Peru Government Bonds, 5.94%, due 02/12/29
|
3,278,417
|
8,645,000
|
PEN
|
Peru Government Bonds, 6.15%, due 08/12/32
|
2,281,417
|
2,345,000
|
PEN
|
Peru Government Bonds, 6.90%, due 08/12/37
|
639,121
|
1,718,000
|
PEN
|
Peru Government Bonds, 6.95%, due 08/12/31
|
479,421
|
12,436,000
|
PEN
|
Peru Government Bonds, 7.30%, due 08/12/33(h)
|
3,523,441
|
505,000
|
|
Peru Government International Bonds, 5.63%, due 11/18/50
|
528,205
|
3,040,000
|
PEN
|
Peru Government International Bonds, 5.94%, due 02/12/29(h)
|
821,699
|
10,432,000
|
PEN
|
Peru Government International Bonds, 6.35%, due 08/12/28(h)
|
2,885,427
|
9,442,000
|
PEN
|
Peru Government International Bonds, 6.95%, due 08/12/31(h)
|
2,634,860
|
5,924,000
|
PEN
|
Peru Government International Bonds, 6.95%, due 08/12/31(h)
|
1,653,136
|
1,990,000
|
PEN
|
Peru Government International Bonds, 7.30%, due 08/12/33
|
563,819
|
1,859,000
|
PEN
|
Peru Government International Bonds, 8.20%, due 08/12/26(h)
|
533,056
|
590,000
|
|
Philippines Government International Bonds, 3.95%, due 01/20/40
|
533,589
|
1,780,031
|
|
Provincia de Buenos Aires/Government Bonds, 6.38%, due 09/01/37(l) 144A
|
686,141
|
1,630,000
|
|
Provincia de Buenos Aires/Government Bonds, 6.38%, due 09/01/37(h)(l)
|
628,309
|
281,092
|
|
Provincia de Cordoba, 6.88%, due 12/10/25(l) 144A
|
255,846
|
1,590,000
|
|
Qatar Government International Bonds, 4.40%, due 04/16/50 144A
|
1,468,762
|
400,000
|
|
Qatar Government International Bonds, 5.10%, due 04/23/48 144A
|
405,851
|
9,941,465
|
GHS
|
Republic of Ghana Government Bonds, 8.35%, due 02/16/27
|
464,110
|
4,315,272
|
GHS
|
Republic of Ghana Government Bonds, 8.50%, due 02/15/28
|
174,252
|
1,099,398
|
GHS
|
Republic of Ghana Government Bonds, 8.65%, due 02/13/29
|
39,346
|
1,663,456
|
GHS
|
Republic of Ghana Government Bonds, 8.80%, due 02/12/30
|
54,096
|
2,021,896
|
GHS
|
Republic of Ghana Government Bonds, 8.95%, due 02/11/31
|
60,837
|
2,021,685
|
GHS
|
Republic of Ghana Government Bonds, 9.10%, due 02/10/32
|
57,518
|
2,021,475
|
GHS
|
Republic of Ghana Government Bonds, 9.25%, due 02/08/33
|
55,157
|
756,643
|
GHS
|
Republic of Ghana Government Bonds, 9.40%, due 02/07/34
|
20,059
|
756,834
|
GHS
|
Republic of Ghana Government Bonds, 9.55%, due 02/06/35
|
19,697
|
757,025
|
GHS
|
Republic of Ghana Government Bonds, 9.70%, due 02/05/36
|
19,498
|
757,216
|
GHS
|
Republic of Ghana Government Bonds, 9.85%, due 02/03/37
|
19,420
|
762,140
|
GHS
|
Republic of Ghana Government Bonds, 10.00%, due 02/02/38
|
19,555
|
350,000
|
|
Republic of Kenya Government International Bonds, 6.30%, due 01/23/34(h)
|
281,709
|
1,130,000
|
|
Republic of Kenya Government International Bonds, 7.00%, due 05/22/27(h)
|
1,062,963
|
265,000
|
|
Republic of Kenya Government International Bonds, 8.00%, due 05/22/32(h)
|
240,567
|
5,958,000
|
PLN
|
Republic of Poland Government Bonds, 0.25%, due 10/25/26
|
1,332,325
|
7,409,000
|
PLN
|
Republic of Poland Government Bonds, 1.25%, due 10/25/30
|
1,492,142
|
12,673,000
|
PLN
|
Republic of Poland Government Bonds, 1.75%, due 04/25/32
|
2,508,166
|
12,199,000
|
PLN
|
Republic of Poland Government Bonds, 2.50%, due 07/25/26
|
2,922,573
|
3,743,000
|
PLN
|
Republic of Poland Government Bonds, 2.50%, due 07/25/27
|
880,176
|
3,002,000
|
PLN
|
Republic of Poland Government Bonds, 2.75%, due 04/25/28
|
700,448
|
13,905,000
|
PLN
|
Republic of Poland Government Bonds, 2.75%, due 10/25/29
|
3,158,925
|
6,594,000
|
PLN
|
Republic of Poland Government Bonds, 3.75%, due 05/25/27
|
1,616,340
|
2,034,000
|
PLN
|
Republic of Poland Government Bonds, 6.00%, due 10/25/33
|
548,949
|
35,027,000
|
PLN
|
Republic of Poland Government Bonds, 7.50%, due 07/25/28
|
9,809,096
|
530,000
|
|
Republic of Poland Government International Bonds, 5.50%, due 04/04/53
|
554,007
|
14,732,506
|
ZAR
|
Republic of South Africa Government Bonds, 6.25%, due 03/31/36
|
529,565
|
84,503,944
|
ZAR
|
Republic of South Africa Government Bonds, 6.50%, due 02/28/41
|
2,797,005
|
76,988,709
|
ZAR
|
Republic of South Africa Government Bonds, 7.00%, due 02/28/31
|
3,526,009
|
116,170,172
|
ZAR
|
Republic of South Africa Government Bonds, 8.00%, due 01/31/30
|
5,855,834
|
67,511,873
|
ZAR
|
Republic of South Africa Government Bonds, 8.25%, due 03/31/32
|
3,233,740
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
140,099,217
|
ZAR
|
Republic of South Africa Government Bonds, 8.50%, due 01/31/37
|
6,002,720
|
127,201,427
|
ZAR
|
Republic of South Africa Government Bonds, 8.75%, due 01/31/44
|
5,167,351
|
185,229,562
|
ZAR
|
Republic of South Africa Government Bonds, 8.75%, due 02/28/48
|
7,471,981
|
60,075,000
|
ZAR
|
Republic of South Africa Government Bonds, 8.75%, due 02/28/48
|
2,423,367
|
73,905,201
|
ZAR
|
Republic of South Africa Government Bonds, 8.88%, due 02/28/35
|
3,416,916
|
94,582,521
|
ZAR
|
Republic of South Africa Government Bonds, 9.00%, due 01/31/40
|
4,055,347
|
64,363,111
|
ZAR
|
Republic of South Africa Government Bonds, 10.50%, due 12/21/26
|
3,687,923
|
3,945,000
|
|
Republic of South Africa Government International Bonds, 5.88%, due 04/20/32
|
3,746,835
|
1,100,000,000
|
UGX
|
Republic of Uganda Government Bonds, 14.00%, due 05/29/25
|
295,909
|
7,103,700,000
|
UGX
|
Republic of Uganda Government Bonds, 15.00%, due 05/20/32
|
1,851,918
|
3,140,000,000
|
UGX
|
Republic of Uganda Government Bonds, 16.00%, due 05/14/37
|
849,755
|
1,300,000,000
|
UGX
|
Republic of Uganda Government Bonds, 16.38%, due 03/04/32
|
365,192
|
380,000
|
|
Republic of Uzbekistan International Bonds, 3.90%, due 10/19/31(h)
|
320,126
|
1,585,000
|
RON
|
Romania Government Bonds, 3.25%, due 06/24/26
|
330,455
|
1,500,000
|
RON
|
Romania Government Bonds, 3.65%, due 09/24/31
|
280,897
|
2,275,000
|
RON
|
Romania Government Bonds, 4.15%, due 10/24/30
|
450,681
|
1,840,000
|
RON
|
Romania Government Bonds, 4.25%, due 04/28/36
|
339,346
|
2,920,000
|
RON
|
Romania Government Bonds, 4.75%, due 10/11/34
|
572,392
|
2,595,000
|
RON
|
Romania Government Bonds, 4.85%, due 07/25/29
|
541,106
|
1,570,000
|
RON
|
Romania Government Bonds, 5.00%, due 02/12/29
|
330,402
|
1,560,000
|
RON
|
Romania Government Bonds, 5.80%, due 07/26/27
|
342,033
|
3,330,000
|
RON
|
Romania Government Bonds, 6.70%, due 02/25/32
|
762,704
|
2,405,000
|
RON
|
Romania Government Bonds, 8.25%, due 09/29/32
|
604,295
|
1,405,000
|
RON
|
Romania Government Bonds, 8.75%, due 10/30/28
|
344,107
|
348,000
|
EUR
|
Romania Government International Bonds, 2.75%, due 02/26/26 144A
|
378,389
|
346,000
|
EUR
|
Romania Government International Bonds, 3.62%, due 05/26/30 144A
|
352,375
|
790,000
|
EUR
|
Romania Government International Bonds, 6.63%, due 09/27/29 144A
|
935,019
|
606,000
|
|
Romania Government International Bonds, 7.13%, due 01/17/33 144A
|
654,610
|
42,983,000
|
RUB
|
Russia Federal Bonds - OFZ, 5.70%, due 05/17/28(o)
|
187,510
|
52,609,000
|
RUB
|
Russia Federal Bonds - OFZ, 6.10%, due 07/18/35(o)
|
200,079
|
59,072,000
|
RUB
|
Russia Federal Bonds - OFZ, 6.90%, due 05/23/29(o)
|
237,874
|
86,446,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.05%, due 01/19/28(o)
|
386,783
|
18,639,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.10%, due 10/16/24(o)
|
118,839
|
32,547,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.25%, due 05/10/34(o)
|
127,421
|
40,966,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.65%, due 04/10/30(o)
|
160,381
|
60,698,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.70%, due 03/23/33(o)
|
244,421
|
24,639,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.70%, due 03/16/39(o)
|
82,681
|
72,599,000
|
RUB
|
Russia Federal Bonds - OFZ, 7.75%, due 09/16/26(o)
|
373,552
|
71,354,000
|
RUB
|
Russia Federal Bonds - OFZ, 8.15%, due 02/03/27(o)
|
343,202
|
29,262,000
|
RUB
|
Russia Federal Bonds - OFZ, 8.50%, due 09/17/31(o)
|
114,560
|
590,000
|
|
Saudi Government International Bonds, 4.50%, due 10/26/46(h)
|
523,662
|
350,000
|
|
Senegal Government International Bonds, 6.25%, due 05/23/33(h)
|
313,677
|
676,000
|
EUR
|
Serbia International Bonds, 1.00%, due 09/23/28 144A
|
632,173
|
360,000
|
|
Sri Lanka Government International Bonds, 6.20%, due 05/11/27(h)
|
182,809
|
36,621,000
|
THB
|
Thailand Government Bonds, 0.75%, due 09/17/24
|
1,061,353
|
47,664,763
|
THB
|
Thailand Government Bonds, 1.25%, due 03/12/28(h)
|
1,327,840
|
59,362,000
|
THB
|
Thailand Government Bonds, 2.00%, due 12/17/31
|
1,662,162
|
101,337,000
|
THB
|
Thailand Government Bonds, 2.13%, due 12/17/26
|
2,949,851
|
82,521,000
|
THB
|
Thailand Government Bonds, 2.65%, due 06/17/28
|
2,440,787
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
Sovereign Debt Obligations — continued
|
|
5,281,000
|
THB
|
Thailand Government Bonds, 2.75%, due 06/17/52
|
134,071
|
183,690,000
|
THB
|
Thailand Government Bonds, 3.35%, due 06/17/33
|
5,678,180
|
16,117,000
|
THB
|
Thailand Government Bonds, 3.39%, due 06/17/37
|
500,340
|
35,039,000
|
THB
|
Thailand Government Bonds, 3.45%, due 06/17/43
|
1,077,602
|
40,766,744
|
TRY
|
Turkey Government Bonds, 17.30%, due 07/19/28
|
1,118,069
|
25,702,200
|
TRY
|
Turkey Government Bonds, 26.20%, due 10/05/33
|
905,068
|
7,373,409
|
TRY
|
Turkey Government Bonds, 31.08%, due 11/08/28
|
276,372
|
55,375,000
|
TRY
|
Turkiye Government Bonds, 17.80%, due 07/13/33
|
1,471,842
|
3,795,000
|
|
Turkiye Government International Bonds, 9.38%, due 01/19/33
|
4,296,130
|
600,000
|
|
Turkiye Ihracat Kredi Bankasi AS, 9.38%, due 01/31/26 144A
|
628,854
|
530,000
|
|
UAE International Government Bonds, 4.95%, due 07/07/52 144A
|
522,295
|
1,450,000
|
|
Ukraine Government International Bonds, 7.38%, due 09/25/34(h)
|
344,448
|
56,332,714
|
UYU
|
Uruguay Government International Bonds, 3.88%, due 07/02/40(j)
|
1,525,052
|
35,668,953
|
UYU
|
Uruguay Government International Bonds, 4.38%, due 12/15/28
|
956,547
|
7,884,000
|
UYU
|
Uruguay Government International Bonds, 8.50%, due 03/15/28(h)
|
194,953
|
145,658,804
|
UYU
|
Uruguay Government International Bonds, 9.75%, due 07/20/33
|
3,776,346
|
|
|
|
520,375,355
|
|
|
U.S. Government and Agency Obligations — 3.1%
|
|
230,000
|
|
U.S. Treasury Bonds, 3.63%, due 05/15/53
|
213,720
|
5,155,000
|
|
U.S. Treasury Notes, 0.38%, due 04/15/24
|
5,084,190
|
4,492,600
|
|
U.S. Treasury Notes, 2.00%, due 02/15/25
|
4,361,507
|
11,420,000
|
|
U.S. Treasury Notes, 3.88%, due 12/31/30
|
11,323,644
|
16,990,000
|
|
U.S. Treasury Notes, 4.25%, due 12/31/25(d)
|
16,991,325
|
3,142,700
|
|
U.S. Treasury Notes, 4.63%, due 06/30/25
|
3,150,987
|
7,500,000
|
|
U.S. Treasury Notes, 5.00%, due 10/31/25
|
7,587,598
|
|
|
|
48,712,971
|
|
|
TOTAL DEBT OBLIGATIONS (COST $1,471,768,176)
|
1,470,211,141
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 0.0%
|
|
|
|
Energy — 0.0%
|
|
10
|
|
Amplify Energy Corp.*
|
59
|
|
|
Industrial — 0.0%
|
|
1,282
|
|
Arctic Canadian Diamond Co. Ltd.*(f)(n)
|
220,443
|
|
|
TOTAL COMMON STOCKS (COST $0)
|
220,502
|
|
|
PREFERRED STOCKS — 0.2%
|
|
|
|
Energy — 0.2%
|
|
8,132
|
|
Equitrans Midstream Corp., 9.75%(k)
|
180,937
|
51,644
|
|
MPLX LP, 9.54%(k)(l)
|
1,838,341
|
|
|
|
2,019,278
|
|
|
TOTAL PREFERRED STOCKS (COST $1,857,334)
|
2,019,278
|
Notional Value
|
|
Description
|
Value ($)
|
|
|
PURCHASED OPTIONS — 0.0%
|
|
|
|
PURCHASED CURRENCY OPTIONS — 0.0%
|
|
|
|
Call Options — 0.0%
|
|
6,600,000
|
|
AUD/USD Option with JPMorgan Chase Bank LLC, Strike Price USD 0.69, Expires
03/22/24
|
59,937
|
13,200,000
|
|
EUR/USD Option with Bank of America NA, Strike Price USD 1.12, Expires 02/01/24
|
49,825
|
3,600,000
|
|
GBP/USD Option with JPMorgan Chase Bank LLC, Strike Price USD 1.29, Expires
03/22/24
|
39,202
|
3,660,000
|
|
USD/CAD Option with BNP Paribas S.A., Strike Price CAD 1.37, Expires 03/21/24
|
4,257
|
3,690,000
|
|
USD/EUR Option with BNP Paribas S.A., Strike Price EUR 1.06, Expires 02/22/24
|
3,387
|
7,000,000
|
|
USD/INR Option with HSBC Bank PLC, Strike Price INR 84.00, Expires 01/04/24
|
182
|
|
|
|
156,790
|
|
|
Put Option — 0.0%
|
|
4,800,000
|
|
USD/CAD Option with Bank of America NA, Strike Price CAD 1.33, Expires 03/22/24
|
66,547
|
|
|
TOTAL PURCHASED CURRENCY OPTIONS
(PREMIUMS PAID $165,554)
|
223,337
|
Number of
Contracts
|
Notional
Value ($)
|
Description
|
Value ($)
|
|
|
PURCHASED FUTURES OPTIONS — 0.0%
|
|
|
|
Put Options — 0.0%
|
|
3,550
|
16,932,896
|
S&P 500 E-mini Futures with Chicago Mercantile Exchange, Strike Price
$4,000.00, Expires 02/16/24
|
10,472
|
166,000
|
18,739,740
|
U.S. Treasury Note 10-Year with Chicago Mercantile Exchange, Strike Price
$111.00, Expires 01/26/24
|
41,500
|
339,000
|
36,873,030
|
U.S. Treasury Note 5-Year with Chicago Mercantile Exchange, Strike Price
$105.00, Expires 01/26/24
|
5,297
|
|
|
|
57,269
|
|
|
TOTAL PURCHASED FUTURES OPTIONS
(PREMIUMS PAID $264,130)
|
57,269
|
|
|
TOTAL PURCHASED OPTIONS
(PREMIUMS PAID $429,684)
|
280,606
|
Par Value
|
|
Description
|
Value ($)
|
|
|
SHORT-TERM INVESTMENTS — 4.1%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 2.1%
|
|
33,337,426
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(p)(q)
|
33,337,426
|
|
|
U.S. Government and Agency Obligation — 1.9%
|
|
30,000,000
|
|
U.S. Treasury Bills, 5.32%, due 02/29/24(d)
|
29,745,561
|
|
|
Sovereign Debt Obligations — 0.1%
|
|
13,081,000
|
UYU
|
Uruguay Monetary Regulation Bills, 10.39%, due 05/17/24(g)
|
323,765
|
57,300,000
|
UYU
|
Uruguay Monetary Regulation Bills, 9.44%, due 08/09/24(g)
|
1,385,166
|
|
|
|
1,708,931
|
|
|
TOTAL SHORT-TERM INVESTMENTS (COST $64,854,847)
|
64,791,918
|
|
|
TOTAL INVESTMENTS — 97.0%
(Cost $1,538,910,041)
|
1,537,523,445
|
|
|
Other Assets and Liabilities (net)(r) — 3.0%
|
48,025,585
|
|
|
NET ASSETS — 100.0%
|
$1,585,549,030
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
Unless otherwise indicated, all par values are denominated in United States dollars ($).
|
(b)
|
Variable or floating rate note. Rate shown is as of December 31, 2023.
|
(c)
|
Variable or floating rate security, which interest rate adjusts periodically based on changes in current
interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as
of period end.
|
(d)
|
When-issued security.
|
(e)
|
This position represents an unsettled loan commitment at period end. Certain details associated with
this purchase are not known prior to the settlement date, including coupon rate, which will be
adjusted on settlement date.
|
(f)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $1,645,523 which represents 0.1% of net assets. The
aggregate tax cost of these securities held at December 31, 2023 was $2,227,585.
|
(g)
|
Interest rate presented is yield to maturity.
|
(h)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
(i)
|
Security is currently in default.
|
(j)
|
All or a portion of this security is out on loan.
|
(k)
|
Security is perpetual and has no stated maturity date.
|
(l)
|
Step coupon security that pays an initial coupon rate for the first period and then a lower/higher
coupon rate for the following periods. Rate shown is current coupon rate.
|
(m)
|
Year of maturity is greater than 2100.
|
(n)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
(o)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $2,577,303 which represents 0.2% of net assets. The
aggregate cost of these securities held at December 31, 2023 was $8,413,179.
|
(p)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(q)
|
Represents an investment of securities lending cash collateral.
|
(r)
|
As of December 31, 2023, the value of unfunded loan commitments was $617,865 for the Fund.
See Notes to the Schedule of Investments.
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $479,647,754 which represents 30.3% of
net assets.
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
AUD
|
148,300
|
USD
|
101,433
|
01/18/24
|
Barclays Bank PLC
|
$(191
)
|
AUD
|
556,700
|
USD
|
378,742
|
01/18/24
|
Barclays Bank PLC
|
1,307
|
AUD
|
15,104,351
|
USD
|
9,611,913
|
01/19/24
|
BNP Paribas S.A.
|
699,889
|
AUD
|
719,600
|
USD
|
473,554
|
01/18/24
|
HSBC Bank PLC
|
17,704
|
AUD
|
2,193,056
|
USD
|
1,414,663
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
82,497
|
AUD
|
1,089,831
|
USD
|
694,238
|
01/18/24
|
State Street Bank London
|
49,770
|
AUD
|
716,700
|
USD
|
470,669
|
01/18/24
|
Toronto Dominion Bank
|
18,609
|
BRL
|
16,209,503
|
USD
|
3,348,171
|
01/03/24
|
Bank of America, N.A.
|
(11,235
)
|
BRL
|
10,791,003
|
USD
|
2,204,157
|
02/02/24
|
Bank of America, N.A.
|
13,708
|
BRL
|
10,780,000
|
USD
|
2,170,005
|
03/04/24
|
Barclays Bank PLC
|
35,824
|
BRL
|
4,590,000
|
USD
|
924,118
|
01/19/24
|
Goldman Sachs & Co.
|
19,768
|
BRL
|
20,203,675
|
USD
|
4,111,839
|
01/03/24
|
Goldman Sachs International
|
47,349
|
BRL
|
4,213,500
|
USD
|
866,298
|
02/02/24
|
Goldman Sachs International
|
(301
)
|
BRL
|
1,670,000
|
USD
|
342,781
|
03/04/24
|
Goldman Sachs International
|
(1,062
)
|
BRL
|
1,834,300
|
USD
|
372,942
|
01/03/24
|
HSBC Bank PLC
|
4,673
|
BRL
|
3,288,600
|
USD
|
664,399
|
01/03/24
|
JPMorgan Chase Bank N.A.
|
12,602
|
BRL
|
8,789,400
|
USD
|
1,815,504
|
01/03/24
|
JPMorgan Chase Bank N.A.
|
(6,093
)
|
BRL
|
6,870,000
|
USD
|
1,400,098
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
12,646
|
BRL
|
14,989,500
|
USD
|
3,039,557
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
33,761
|
BRL
|
5,283,000
|
USD
|
1,086,389
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(3,208
)
|
BRL
|
327,672
|
USD
|
67,683
|
01/03/24
|
Morgan Stanley and Co. International PLC
|
(227
)
|
BRL
|
4,783,000
|
USD
|
959,671
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
23,941
|
BRL
|
405,758
|
USD
|
79,248
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
4,192
|
BRL
|
14,580,000
|
USD
|
2,924,774
|
03/04/24
|
Standard Chartered Bank
|
58,621
|
CAD
|
8,638,867
|
USD
|
6,338,708
|
01/19/24
|
Bank of America, N.A.
|
214,482
|
CAD
|
2,637,299
|
USD
|
1,917,528
|
01/18/24
|
HSBC Bank PLC
|
83,021
|
CAD
|
784,200
|
USD
|
577,811
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
17,052
|
CAD
|
338,300
|
USD
|
246,806
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
9,815
|
CAD
|
940,000
|
USD
|
688,036
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
25,020
|
CAD
|
1,595,500
|
USD
|
1,177,826
|
01/18/24
|
Toronto Dominion Bank
|
32,456
|
CHF
|
619,900
|
USD
|
702,159
|
01/18/24
|
Toronto Dominion Bank
|
35,443
|
CLP
|
154,995,800
|
USD
|
177,892
|
01/18/24
|
Bank of America, N.A.
|
(530
)
|
CLP
|
284,596,746
|
USD
|
324,575
|
01/18/24
|
Barclays Bank PLC
|
1,090
|
CLP
|
39,456,166
|
USD
|
45,407
|
01/18/24
|
Barclays Bank PLC
|
(257
)
|
CLP
|
121,020,000
|
USD
|
138,198
|
03/20/24
|
Barclays Bank PLC
|
(164
)
|
CLP
|
683,169,100
|
USD
|
740,988
|
01/18/24
|
Citibank N.A.
|
40,764
|
CLP
|
449,413,234
|
USD
|
516,721
|
01/18/24
|
Citibank N.A.
|
(2,457
)
|
CLP
|
213,077,505
|
USD
|
241,815
|
03/20/24
|
Citibank N.A.
|
1,219
|
CLP
|
123,210,000
|
USD
|
138,365
|
03/20/24
|
Goldman Sachs International
|
2,167
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
CLP
|
1,197,935,183
|
USD
|
1,350,375
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
$20,425
|
CLP
|
390,982,100
|
USD
|
437,022
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
9,717
|
CLP
|
34,050,000
|
USD
|
38,432
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
463
|
CLP
|
3,833,138,298
|
USD
|
4,157,417
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
228,852
|
CLP
|
895,839,000
|
USD
|
1,020,434
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
4,677
|
CNH
|
2,587,940
|
USD
|
360,374
|
01/18/24
|
Deutsche Bank AG
|
3,442
|
CNH
|
2,636,900
|
USD
|
370,012
|
01/18/24
|
HSBC Bank PLC
|
687
|
CNH
|
55,730,200
|
USD
|
7,861,504
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
(2,439
)
|
CNH
|
3,319,200
|
USD
|
467,975
|
03/12/24
|
JPMorgan Chase Bank N.A.
|
369
|
CNH
|
534,000
|
USD
|
75,447
|
03/12/24
|
JPMorgan Chase Bank N.A.
|
(99
)
|
CNH
|
25,510,000
|
USD
|
3,587,380
|
03/20/24
|
Standard Chartered Bank
|
14,195
|
CNH
|
57,557,523
|
USD
|
7,934,348
|
01/18/24
|
The BNY Mellon
|
157,160
|
CNH
|
2,994,800
|
USD
|
422,175
|
01/18/24
|
The BNY Mellon
|
(1,162
)
|
CNH
|
4,110,000
|
USD
|
571,618
|
01/18/24
|
Toronto Dominion Bank
|
6,171
|
CNY
|
350,000
|
USD
|
49,079
|
01/18/24
|
State Street Bank London
|
344
|
COP
|
5,219,747,005
|
USD
|
1,290,602
|
01/18/24
|
Barclays Bank PLC
|
52,732
|
COP
|
2,813,010,000
|
USD
|
685,441
|
01/18/24
|
Citibank N.A.
|
38,504
|
COP
|
1,161,956,634
|
USD
|
288,965
|
03/20/24
|
Citibank N.A.
|
6,403
|
COP
|
611,240,000
|
USD
|
157,226
|
03/20/24
|
Citibank N.A.
|
(1,849
)
|
COP
|
4,158,068,100
|
USD
|
1,013,469
|
01/18/24
|
Goldman Sachs International
|
56,636
|
COP
|
8,841,766,352
|
USD
|
2,165,622
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
109,863
|
COP
|
1,769,388,000
|
USD
|
436,240
|
01/26/24
|
JPMorgan Chase Bank N.A.
|
18,377
|
COP
|
3,474,216,000
|
USD
|
903,271
|
01/26/24
|
JPMorgan Chase Bank N.A.
|
(10,626
)
|
COP
|
3,937,287,000
|
USD
|
976,001
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
37,284
|
COP
|
676,010,000
|
USD
|
167,115
|
01/18/24
|
UBS AG
|
6,860
|
CZK
|
11,650,000
|
USD
|
516,331
|
01/18/24
|
Citibank N.A.
|
4,685
|
CZK
|
9,700,000
|
USD
|
427,561
|
03/20/24
|
Citibank N.A.
|
5,569
|
CZK
|
12,385,700
|
USD
|
557,018
|
01/18/24
|
Goldman Sachs International
|
(3,099
)
|
CZK
|
10,780,000
|
USD
|
479,867
|
03/20/24
|
Goldman Sachs International
|
1,488
|
CZK
|
9,790,000
|
USD
|
438,932
|
03/20/24
|
Goldman Sachs International
|
(1,784
)
|
CZK
|
98,986,945
|
USD
|
4,300,467
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
126,472
|
CZK
|
33,998,600
|
USD
|
1,525,358
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(4,857
)
|
CZK
|
21,424,360
|
USD
|
951,595
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
6,554
|
CZK
|
930,000
|
USD
|
41,458
|
01/18/24
|
Natwest Markets PLC
|
134
|
CZK
|
8,003,173
|
USD
|
354,840
|
01/18/24
|
State Street Bank London
|
3,081
|
CZK
|
16,447,900
|
USD
|
726,512
|
01/18/24
|
UBS AG
|
9,078
|
EGP
|
14,800,000
|
USD
|
392,573
|
01/31/24
|
Morgan Stanley and Co. International PLC
|
18,647
|
EUR
|
2,429,000
|
USD
|
2,694,490
|
01/02/24
|
Bank of America, N.A.
|
(11,295
)
|
EUR
|
570,000
|
USD
|
633,065
|
01/02/24
|
Barclays Bank PLC
|
(3,414
)
|
EUR
|
266,000
|
USD
|
294,063
|
01/03/24
|
Barclays Bank PLC
|
(226
)
|
EUR
|
80,000
|
USD
|
88,680
|
01/02/24
|
Goldman Sachs & Co.
|
(308
)
|
EUR
|
1,592,500
|
USD
|
1,741,243
|
01/18/24
|
HSBC Bank PLC
|
18,937
|
EUR
|
1,015,000
|
USD
|
1,127,655
|
01/02/24
|
HSBC Bank USA, N.A.
|
(6,435
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
EUR
|
823,900
|
USD
|
890,660
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
$19,991
|
EUR
|
1,644,700
|
USD
|
1,790,276
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
27,599
|
EUR
|
860,000
|
USD
|
955,202
|
01/02/24
|
Morgan Stanley Capital Services, Inc.
|
(5,203
)
|
EUR
|
79,240
|
USD
|
85,598
|
01/18/24
|
Toronto Dominion Bank
|
1,985
|
GBP
|
376,400
|
USD
|
473,594
|
01/18/24
|
Barclays Bank PLC
|
6,280
|
GBP
|
1,337,495
|
USD
|
1,630,854
|
01/19/24
|
BNP Paribas S.A.
|
74,332
|
GBP
|
938,100
|
USD
|
1,177,318
|
01/18/24
|
HSBC Bank PLC
|
18,669
|
GBP
|
98,300
|
USD
|
125,536
|
01/18/24
|
HSBC Bank PLC
|
(213
)
|
GBP
|
2,188,119
|
USD
|
2,677,748
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
111,893
|
GBP
|
783,233
|
USD
|
968,156
|
01/18/24
|
Toronto Dominion Bank
|
30,391
|
GHS
|
4,730,000
|
USD
|
375,397
|
03/20/24
|
Standard Chartered Bank
|
1,569
|
HUF
|
159,388,200
|
USD
|
459,951
|
01/18/24
|
Bank of America, N.A.
|
(260
)
|
HUF
|
380,031,400
|
USD
|
1,083,665
|
01/18/24
|
Bank of America, N.A.
|
12,382
|
HUF
|
91,700,000
|
USD
|
262,506
|
01/18/24
|
Barclays Bank PLC
|
1,966
|
HUF
|
180,656,800
|
USD
|
522,668
|
01/18/24
|
Barclays Bank PLC
|
(1,637
)
|
HUF
|
1,064,234,025
|
USD
|
3,016,121
|
03/20/24
|
Citibank N.A.
|
33,445
|
HUF
|
54,140,000
|
USD
|
151,972
|
03/20/24
|
Goldman Sachs International
|
3,167
|
HUF
|
161,500,000
|
USD
|
465,041
|
03/20/24
|
Goldman Sachs International
|
(2,262
)
|
HUF
|
998,947,538
|
USD
|
2,801,517
|
01/18/24
|
HSBC Bank PLC
|
79,544
|
HUF
|
429,430,700
|
USD
|
1,146,234
|
01/16/24
|
JPMorgan Chase Bank N.A.
|
92,620
|
HUF
|
620,240,286
|
USD
|
1,759,215
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
29,618
|
HUF
|
1,169,342,100
|
USD
|
3,203,774
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
158,249
|
HUF
|
338,128,700
|
USD
|
943,994
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
27,410
|
HUF
|
206,235,000
|
USD
|
595,458
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(2,969
)
|
HUF
|
520,854,100
|
USD
|
1,476,047
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
26,147
|
HUF
|
18,750,000
|
USD
|
53,678
|
01/18/24
|
Natwest Markets PLC
|
399
|
HUF
|
23,105,975
|
USD
|
65,693
|
03/20/24
|
Standard Chartered Bank
|
517
|
HUF
|
63,557,684
|
USD
|
177,695
|
01/18/24
|
State Street Bank London
|
5,612
|
HUF
|
107,240,000
|
USD
|
302,054
|
01/18/24
|
UBS AG
|
7,237
|
IDR
|
6,308,177,571
|
USD
|
406,042
|
01/18/24
|
Bank of America, N.A.
|
3,140
|
IDR
|
44,302,992,609
|
USD
|
2,825,791
|
01/18/24
|
Deutsche Bank AG
|
47,936
|
IDR
|
8,716,251,429
|
USD
|
557,821
|
01/18/24
|
HSBC Bank PLC
|
7,561
|
IDR
|
22,292,512,834
|
USD
|
1,428,522
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
17,489
|
IDR
|
16,126,470,500
|
USD
|
1,046,205
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(156
)
|
IDR
|
8,316,394,000
|
USD
|
538,390
|
02/06/24
|
JPMorgan Chase Bank N.A.
|
1,566
|
IDR
|
8,887,100,000
|
USD
|
572,460
|
03/20/24
|
Merrill Lynch International
|
4,233
|
IDR
|
12,073,419,400
|
USD
|
775,205
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
7,941
|
IDR
|
15,440,920,000
|
USD
|
991,010
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
11,700
|
IDR
|
2,193,565,191
|
USD
|
142,310
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
136
|
IDR
|
15,351,607,206
|
USD
|
987,559
|
03/20/24
|
Standard Chartered Bank
|
8,624
|
ILS
|
5,196,600
|
USD
|
1,344,730
|
01/18/24
|
HSBC Bank PLC
|
98,762
|
INR
|
43,559,500
|
USD
|
522,127
|
01/18/24
|
Barclays Bank PLC
|
975
|
INR
|
177,374,800
|
USD
|
2,124,239
|
01/18/24
|
Deutsche Bank AG
|
5,840
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
INR
|
11,520,900
|
USD
|
138,456
|
01/18/24
|
Deutsche Bank AG
|
$(102
)
|
INR
|
17,200,000
|
USD
|
205,710
|
03/20/24
|
Goldman Sachs International
|
434
|
INR
|
40,045,200
|
USD
|
479,543
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
1,356
|
INR
|
12,659,900
|
USD
|
152,157
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(125
)
|
INR
|
49,823,200
|
USD
|
596,614
|
02/09/24
|
JPMorgan Chase Bank N.A.
|
1,423
|
INR
|
2,283,000
|
USD
|
27,413
|
02/09/24
|
JPMorgan Chase Bank N.A.
|
(10
)
|
INR
|
33,780,000
|
USD
|
405,050
|
03/20/24
|
Merrill Lynch International
|
(193
)
|
INR
|
127,694,314
|
USD
|
1,529,695
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
3,776
|
INR
|
81,981,000
|
USD
|
982,161
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
2,551
|
INR
|
410,230,000
|
USD
|
4,905,238
|
03/20/24
|
Standard Chartered Bank
|
11,410
|
JPY
|
508,960,993
|
USD
|
3,403,050
|
01/18/24
|
HSBC Bank PLC
|
214,493
|
JPY
|
16,087,200
|
USD
|
111,564
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
2,779
|
JPY
|
688,957,021
|
USD
|
4,676,408
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
221,258
|
JPY
|
23,484,400
|
USD
|
156,673
|
01/18/24
|
UBS AG
|
10,247
|
KRW
|
10,166,700,000
|
USD
|
7,790,421
|
03/20/24
|
Barclays Bank PLC
|
138,974
|
KRW
|
1,933,488,917
|
USD
|
1,477,480
|
03/20/24
|
Citibank N.A.
|
30,522
|
KRW
|
1,307,436,000
|
USD
|
1,001,253
|
01/18/24
|
Deutsche Bank AG
|
14,814
|
KRW
|
929,481,083
|
USD
|
711,233
|
03/20/24
|
Goldman Sachs International
|
13,704
|
KRW
|
10,754,492,700
|
USD
|
8,273,613
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
99,914
|
KRW
|
176,100,000
|
USD
|
134,669
|
03/20/24
|
Merrill Lynch International
|
2,678
|
KRW
|
1,001,970,000
|
USD
|
782,111
|
03/20/24
|
Standard Chartered Bank
|
(636
)
|
KZT
|
675,230,000
|
USD
|
1,443,416
|
03/20/24
|
Citibank N.A.
|
11,672
|
KZT
|
179,000,000
|
USD
|
362,532
|
01/22/24
|
Goldman Sachs International
|
28,022
|
KZT
|
175,095,300
|
USD
|
347,067
|
02/29/24
|
JPMorgan Chase Bank N.A.
|
31,477
|
KZT
|
174,700,000
|
USD
|
374,370
|
03/26/24
|
JPMorgan Chase Bank N.A.
|
1,024
|
MXN
|
8,104,760
|
USD
|
468,884
|
01/18/24
|
Bank of America, N.A.
|
8,573
|
MXN
|
17,751,000
|
USD
|
1,027,021
|
01/18/24
|
Barclays Bank PLC
|
18,704
|
MXN
|
24,000,000
|
USD
|
1,386,777
|
03/20/24
|
Barclays Bank PLC
|
12,875
|
MXN
|
5,280,700
|
USD
|
301,300
|
01/18/24
|
Citibank N.A.
|
9,790
|
MXN
|
4,150,000
|
USD
|
235,376
|
03/20/24
|
Citibank N.A.
|
6,647
|
MXN
|
1,090,000
|
USD
|
62,729
|
01/18/24
|
Deutsche Bank AG
|
1,484
|
MXN
|
17,109,000
|
USD
|
984,028
|
01/18/24
|
Goldman Sachs & Co.
|
23,876
|
MXN
|
55,358,663
|
USD
|
3,035,110
|
01/19/24
|
Goldman Sachs & Co.
|
225,584
|
MXN
|
7,028,170
|
USD
|
401,507
|
01/18/24
|
Goldman Sachs International
|
12,527
|
MXN
|
129,190,000
|
USD
|
7,356,686
|
03/20/24
|
Goldman Sachs International
|
177,524
|
MXN
|
12,990,000
|
USD
|
760,572
|
03/20/24
|
Goldman Sachs International
|
(3,010
)
|
MXN
|
5,970,000
|
USD
|
340,057
|
01/18/24
|
HSBC Bank PLC
|
11,640
|
MXN
|
9,836,500
|
USD
|
580,698
|
01/18/24
|
HSBC Bank PLC
|
(1,223
)
|
MXN
|
21,401,200
|
USD
|
1,265,153
|
01/03/24
|
JPMorgan Chase Bank N.A.
|
(1,390
)
|
MXN
|
23,633,340
|
USD
|
1,354,884
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
37,374
|
MXN
|
153,110,000
|
USD
|
8,536,415
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
481,955
|
MXN
|
9,257,000
|
USD
|
523,146
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
17,498
|
MXN
|
16,622,000
|
USD
|
974,822
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
(4,035
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
MXN
|
4,226,800
|
USD
|
243,974
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
$5,030
|
MXN
|
13,490,000
|
USD
|
777,912
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
16,666
|
MXN
|
14,876,800
|
USD
|
844,168
|
01/18/24
|
State Street Bank London
|
32,235
|
MXN
|
12,698,400
|
USD
|
710,307
|
01/18/24
|
The BNY Mellon
|
37,765
|
MYR
|
2,622,700
|
USD
|
572,967
|
01/18/24
|
Barclays Bank PLC
|
(609
)
|
MYR
|
14,206,760
|
USD
|
3,035,626
|
01/18/24
|
Goldman Sachs International
|
64,751
|
MYR
|
9,524,494
|
USD
|
2,052,121
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
26,433
|
MYR
|
4,642,000
|
USD
|
994,217
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
17,011
|
MYR
|
480,000
|
USD
|
103,844
|
03/20/24
|
Standard Chartered Bank
|
1,146
|
NOK
|
12,854,500
|
USD
|
1,165,320
|
01/18/24
|
Goldman Sachs International
|
100,900
|
NOK
|
5,185,500
|
USD
|
476,411
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
34,382
|
NOK
|
20,672,624
|
USD
|
1,919,899
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
116,489
|
NOK
|
3,130,500
|
USD
|
308,323
|
01/18/24
|
Natwest Markets PLC
|
44
|
NOK
|
583,300
|
USD
|
57,608
|
01/18/24
|
The BNY Mellon
|
(150
)
|
NZD
|
1,633,100
|
USD
|
965,329
|
01/18/24
|
HSBC Bank PLC
|
68,726
|
NZD
|
17,941
|
USD
|
10,813
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
547
|
NZD
|
1,145,000
|
USD
|
674,367
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
50,629
|
NZD
|
773,000
|
USD
|
461,091
|
01/18/24
|
Natwest Markets PLC
|
28,361
|
NZD
|
70,900
|
USD
|
44,925
|
01/18/24
|
Toronto Dominion Bank
|
(32
)
|
PEN
|
826,100
|
USD
|
218,585
|
01/18/24
|
Deutsche Bank AG
|
4,426
|
PEN
|
3,002,500
|
USD
|
798,007
|
01/16/24
|
JPMorgan Chase Bank N.A.
|
12,582
|
PEN
|
3,922,920
|
USD
|
1,025,010
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
34,007
|
PEN
|
283,000
|
USD
|
75,238
|
01/24/24
|
JPMorgan Chase Bank N.A.
|
1,147
|
PEN
|
560,000
|
USD
|
151,417
|
01/24/24
|
JPMorgan Chase Bank N.A.
|
(266
)
|
PEN
|
1,412,200
|
USD
|
380,239
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
994
|
PHP
|
25,030,000
|
USD
|
452,393
|
03/20/24
|
Barclays Bank PLC
|
(476
)
|
PHP
|
32,145,000
|
USD
|
580,339
|
01/18/24
|
Deutsche Bank AG
|
(194
)
|
PHP
|
19,003,400
|
USD
|
343,685
|
01/18/24
|
Goldman Sachs International
|
(717
)
|
PHP
|
190,819,300
|
USD
|
3,364,530
|
01/16/24
|
JPMorgan Chase Bank N.A.
|
81,309
|
PHP
|
12,975,500
|
USD
|
234,020
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
158
|
PHP
|
106,103,200
|
USD
|
1,866,831
|
02/05/24
|
JPMorgan Chase Bank N.A.
|
48,995
|
PHP
|
79,606,700
|
USD
|
1,426,950
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
10,413
|
PHP
|
25,631,200
|
USD
|
463,747
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
(965
)
|
PHP
|
16,312,000
|
USD
|
294,430
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
90
|
PHP
|
44,430,000
|
USD
|
802,957
|
03/20/24
|
Merrill Lynch International
|
(773
)
|
PHP
|
500,230,001
|
USD
|
9,052,274
|
03/20/24
|
Standard Chartered Bank
|
(20,624
)
|
PLN
|
3,315,400
|
USD
|
849,326
|
01/18/24
|
Barclays Bank PLC
|
(6,358
)
|
PLN
|
9,470,000
|
USD
|
2,352,081
|
03/20/24
|
Barclays Bank PLC
|
53,703
|
PLN
|
6,782,700
|
USD
|
1,698,681
|
01/18/24
|
Citibank N.A.
|
25,877
|
PLN
|
1,020,000
|
USD
|
253,422
|
03/20/24
|
Citibank N.A.
|
5,702
|
PLN
|
1,283,000
|
USD
|
318,355
|
01/18/24
|
Deutsche Bank AG
|
7,858
|
PLN
|
1,720,000
|
USD
|
440,764
|
03/20/24
|
Goldman Sachs International
|
(3,811
)
|
PLN
|
1,619,400
|
USD
|
402,440
|
01/18/24
|
HSBC Bank PLC
|
9,305
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
PLN
|
1,596,100
|
USD
|
397,849
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
$7,972
|
PLN
|
278,000
|
USD
|
69,125
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
1,535
|
PLN
|
543,000
|
USD
|
139,253
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
(1,238
)
|
PLN
|
14,913,149
|
USD
|
3,602,124
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
189,667
|
PLN
|
5,340,096
|
USD
|
1,331,081
|
01/18/24
|
State Street Bank London
|
26,684
|
PLN
|
1,430,900
|
USD
|
357,314
|
01/18/24
|
The BNY Mellon
|
6,505
|
RON
|
3,279,700
|
USD
|
703,270
|
01/18/24
|
Barclays Bank PLC
|
24,857
|
RON
|
3,257,600
|
USD
|
710,180
|
01/18/24
|
Deutsche Bank AG
|
13,041
|
RON
|
2,614,495
|
USD
|
570,892
|
01/18/24
|
Goldman Sachs International
|
9,553
|
RON
|
1,295,500
|
USD
|
277,985
|
01/18/24
|
HSBC Bank PLC
|
9,630
|
RON
|
9,156,200
|
USD
|
2,008,234
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
22,990
|
RON
|
420,000
|
USD
|
93,786
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
(613
)
|
SGD
|
15,560,000
|
USD
|
11,663,179
|
03/20/24
|
Citibank N.A.
|
174,510
|
SGD
|
1,020,000
|
USD
|
777,653
|
03/20/24
|
Goldman Sachs International
|
(1,661
)
|
THB
|
16,819,400
|
USD
|
493,196
|
01/18/24
|
Barclays Bank PLC
|
202
|
THB
|
25,252,413
|
USD
|
715,163
|
01/18/24
|
Goldman Sachs International
|
25,616
|
THB
|
629,373,300
|
USD
|
17,620,293
|
01/18/24
|
HSBC Bank PLC
|
842,378
|
THB
|
35,177,000
|
USD
|
1,008,515
|
01/18/24
|
HSBC Bank USA, N.A.
|
23,403
|
THB
|
26,295,600
|
USD
|
736,386
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
34,996
|
THB
|
127,669,000
|
USD
|
3,574,672
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
178,815
|
TRY
|
6,790,000
|
USD
|
214,253
|
03/20/24
|
Citibank N.A.
|
(361
)
|
TRY
|
47,859,998
|
USD
|
1,520,572
|
03/20/24
|
Goldman Sachs International
|
(12,929
)
|
TWD
|
37,393,667
|
USD
|
1,192,645
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
35,385
|
USD
|
1,291,227
|
AUD
|
1,945,800
|
01/18/24
|
Bank of America, N.A.
|
(37,135
)
|
USD
|
2,116,386
|
AUD
|
3,090,000
|
01/19/24
|
BNP Paribas S.A.
|
6,831
|
USD
|
223,488
|
AUD
|
339,800
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(8,487
)
|
USD
|
727,333
|
AUD
|
1,095,600
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(20,613
)
|
USD
|
831,326
|
AUD
|
1,220,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
(1,573
)
|
USD
|
401,206
|
AUD
|
590,300
|
01/18/24
|
Toronto Dominion Bank
|
(1,781
)
|
USD
|
3,319,351
|
BRL
|
16,209,503
|
01/03/24
|
Bank of America, N.A.
|
(17,585
)
|
USD
|
12,040,797
|
BRL
|
59,543,029
|
03/04/24
|
Citibank N.A.
|
(143,041
)
|
USD
|
2,500,406
|
BRL
|
12,327,000
|
01/18/24
|
Deutsche Bank AG
|
(34,610
)
|
USD
|
4,173,193
|
BRL
|
20,203,675
|
01/03/24
|
Goldman Sachs International
|
14,003
|
USD
|
5,625,649
|
BRL
|
27,757,516
|
03/04/24
|
Goldman Sachs International
|
(54,161
)
|
USD
|
378,886
|
BRL
|
1,834,300
|
01/03/24
|
HSBC Bank PLC
|
1,271
|
USD
|
1,801,653
|
BRL
|
8,789,400
|
01/03/24
|
JPMorgan Chase Bank N.A.
|
(7,759
)
|
USD
|
679,280
|
BRL
|
3,288,600
|
01/03/24
|
JPMorgan Chase Bank N.A.
|
2,279
|
USD
|
373,655
|
BRL
|
1,822,000
|
02/02/24
|
JPMorgan Chase Bank N.A.
|
(819
)
|
USD
|
841,872
|
BRL
|
4,090,000
|
02/02/24
|
JPMorgan Chase Bank N.A.
|
1,258
|
USD
|
933,023
|
BRL
|
4,602,700
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(10,675
)
|
USD
|
66,317
|
BRL
|
327,672
|
01/03/24
|
Morgan Stanley and Co. International PLC
|
(1,139
)
|
USD
|
972,253
|
BRL
|
4,783,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(11,358
)
|
USD
|
3,265,480
|
CAD
|
4,464,822
|
01/19/24
|
BNP Paribas S.A.
|
(121,401
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
1,277,294
|
CAD
|
1,750,000
|
01/19/24
|
Citibank N.A.
|
$(50,204
)
|
USD
|
295,977
|
CAD
|
392,800
|
01/18/24
|
HSBC Bank PLC
|
(1,986
)
|
USD
|
991,671
|
CAD
|
1,326,500
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(14,559
)
|
USD
|
2,512,812
|
CAD
|
3,450,000
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
(104,256
)
|
USD
|
2,549,278
|
CAD
|
3,431,025
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(53,362
)
|
USD
|
462,981
|
CAD
|
620,000
|
01/18/24
|
State Street Bank London
|
(7,326
)
|
USD
|
1,790,073
|
CHF
|
1,603,625
|
01/18/24
|
Deutsche Bank AG
|
(118,036
)
|
USD
|
2,788,182
|
CHF
|
2,330,000
|
01/19/24
|
Goldman Sachs & Co.
|
15,493
|
USD
|
65,246
|
CHF
|
55,700
|
01/18/24
|
HSBC Bank PLC
|
(1,030
)
|
USD
|
1,022,542
|
CHF
|
900,700
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(49,175
)
|
USD
|
692,315
|
CHF
|
607,149
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(30,114
)
|
USD
|
725,869
|
CHF
|
637,700
|
01/18/24
|
State Street Bank London
|
(32,913
)
|
USD
|
193,335
|
CHF
|
161,500
|
01/18/24
|
State Street Bank London
|
1,171
|
USD
|
750,883
|
CHF
|
655,237
|
01/18/24
|
The BNY Mellon
|
(28,765
)
|
USD
|
374,068
|
CLP
|
328,180,900
|
01/18/24
|
Barclays Bank PLC
|
(1,470
)
|
USD
|
468,278
|
CLP
|
416,233,800
|
01/18/24
|
Citibank N.A.
|
(8,019
)
|
USD
|
324,766
|
CLP
|
281,611,300
|
01/18/24
|
Citibank N.A.
|
2,518
|
USD
|
649,380
|
CLP
|
575,026,398
|
03/20/24
|
Citibank N.A.
|
(6,487
)
|
USD
|
183,988
|
CLP
|
161,249,144
|
03/20/24
|
Citibank N.A.
|
70
|
USD
|
608,598
|
CLP
|
545,656,600
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(15,798
)
|
USD
|
785,192
|
CLP
|
681,497,200
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
5,353
|
USD
|
1,627,389
|
CLP
|
1,478,238,400
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(61,186
)
|
USD
|
538,784
|
CLP
|
474,832,879
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(4,568
)
|
USD
|
962,449
|
CLP
|
832,325,700
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
10,017
|
USD
|
1,025,457
|
CLP
|
895,839,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
346
|
USD
|
2,418,543
|
CLP
|
2,113,444,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
291
|
USD
|
556,444
|
CNH
|
4,020,000
|
01/18/24
|
HSBC Bank PLC
|
(8,693
)
|
USD
|
166,320
|
CNH
|
1,180,000
|
01/18/24
|
HSBC Bank PLC
|
434
|
USD
|
2,722,248
|
CNH
|
19,337,100
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
3,814
|
USD
|
423,198
|
CNH
|
3,023,377
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(1,832
)
|
USD
|
2,019,155
|
CNH
|
14,370,000
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
(1,125
)
|
USD
|
6,698,227
|
CNH
|
47,420,100
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
7,672
|
USD
|
2,435,092
|
COP
|
9,806,574,271
|
01/18/24
|
Barclays Bank PLC
|
(88,689
)
|
USD
|
438,894
|
COP
|
1,748,477,500
|
01/18/24
|
Citibank N.A.
|
(11,088
)
|
USD
|
2,834,976
|
COP
|
11,390,932,856
|
03/20/24
|
Citibank N.A.
|
(60,582
)
|
USD
|
7,818,762
|
COP
|
31,963,879,095
|
01/18/24
|
Goldman Sachs International
|
(407,341
)
|
USD
|
533,931
|
COP
|
2,050,790,000
|
01/18/24
|
HSBC Bank PLC
|
6,147
|
USD
|
1,785,088
|
COP
|
7,324,891,645
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(100,018
)
|
USD
|
1,850,312
|
COP
|
7,587,808,500
|
01/26/24
|
JPMorgan Chase Bank N.A.
|
(99,255
)
|
USD
|
246,935
|
COP
|
945,268,600
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
3,665
|
USD
|
981,622
|
COP
|
3,937,287,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(31,663
)
|
USD
|
2,536,679
|
COP
|
10,177,156,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
(81,938
)
|
USD
|
171,682
|
CZK
|
3,850,000
|
03/20/24
|
Barclays Bank PLC
|
(230
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
1,658,907
|
CZK
|
37,720,000
|
03/20/24
|
Citibank N.A.
|
$(25,386
)
|
USD
|
655,846
|
CZK
|
14,620,000
|
03/20/24
|
Citibank N.A.
|
3,026
|
USD
|
393,166
|
CZK
|
8,788,973
|
01/18/24
|
Goldman Sachs International
|
101
|
USD
|
204,471
|
CZK
|
4,627,194
|
01/18/24
|
Goldman Sachs International
|
(2,469
)
|
USD
|
1,319,120
|
CZK
|
29,770,360
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(12,283
)
|
USD
|
378,820
|
CZK
|
8,400,000
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
3,152
|
USD
|
324,096
|
CZK
|
7,220,000
|
01/18/24
|
State Street Bank London
|
1,200
|
USD
|
781,304
|
CZK
|
17,405,900
|
01/18/24
|
Toronto Dominion Bank
|
2,870
|
USD
|
235,422
|
CZK
|
5,262,500
|
01/18/24
|
UBS AG
|
70
|
USD
|
463,097
|
EGP
|
16,000,000
|
02/14/24
|
Bank of America, N.A.
|
53,032
|
USD
|
879,414
|
EGP
|
31,000,000
|
01/31/24
|
Goldman Sachs International
|
18,075
|
USD
|
419,444
|
EGP
|
15,100,000
|
02/07/24
|
Goldman Sachs International
|
15,343
|
USD
|
2,651,610
|
EUR
|
2,429,000
|
01/02/24
|
Bank of America, N.A.
|
(31,585
)
|
USD
|
932,799
|
EUR
|
860,000
|
01/08/24
|
Bank of America, N.A.
|
(17,382
)
|
USD
|
287,147
|
EUR
|
266,000
|
01/11/24
|
Bank of America, N.A.
|
(6,780
)
|
USD
|
761,224
|
EUR
|
705,000
|
01/17/24
|
Bank of America, N.A.
|
(17,977
)
|
USD
|
1,028,748
|
EUR
|
940,000
|
01/18/24
|
Bank of America, N.A.
|
(10,227
)
|
USD
|
1,361,334
|
EUR
|
1,240,000
|
01/23/24
|
Bank of America, N.A.
|
(9,498
)
|
USD
|
1,320,171
|
EUR
|
1,199,000
|
01/29/24
|
Bank of America, N.A.
|
(5,648
)
|
USD
|
2,697,623
|
EUR
|
2,429,000
|
02/02/24
|
Bank of America, N.A.
|
11,285
|
USD
|
626,692
|
EUR
|
570,000
|
01/02/24
|
Barclays Bank PLC
|
(2,959
)
|
USD
|
292,736
|
EUR
|
266,000
|
01/03/24
|
Barclays Bank PLC
|
(1,101
)
|
USD
|
1,179,684
|
EUR
|
1,096,000
|
01/16/24
|
Barclays Bank PLC
|
(31,622
)
|
USD
|
297,285
|
EUR
|
270,000
|
01/29/24
|
Barclays Bank PLC
|
(1,273
)
|
USD
|
633,831
|
EUR
|
570,000
|
02/02/24
|
Barclays Bank PLC
|
3,443
|
USD
|
294,441
|
EUR
|
266,000
|
02/05/24
|
Barclays Bank PLC
|
225
|
USD
|
5,391,268
|
EUR
|
5,031,942
|
01/19/24
|
BNP Paribas S.A.
|
(170,720
)
|
USD
|
886,535
|
EUR
|
800,000
|
01/31/24
|
BNP Paribas S.A.
|
1,849
|
USD
|
2,604,907
|
EUR
|
2,349,000
|
01/31/24
|
Citibank N.A.
|
7,249
|
USD
|
576,438
|
EUR
|
520,000
|
01/31/24
|
Commonwealth Bank of Australia
|
1,393
|
USD
|
751,381
|
EUR
|
678,900
|
01/18/24
|
Deutsche Bank AG
|
998
|
USD
|
1,258,728
|
EUR
|
1,140,000
|
01/30/24
|
Deutsche Bank AG
|
(1,900
)
|
USD
|
87,884
|
EUR
|
80,000
|
01/02/24
|
Goldman Sachs & Co.
|
(488
)
|
USD
|
10,269,071
|
EUR
|
9,339,000
|
01/18/24
|
Goldman Sachs & Co.
|
(53,260
)
|
USD
|
88,787
|
EUR
|
80,000
|
02/02/24
|
Goldman Sachs & Co.
|
311
|
USD
|
783,750
|
EUR
|
711,100
|
01/18/24
|
HSBC Bank PLC
|
(2,224
)
|
USD
|
1,115,840
|
EUR
|
1,015,000
|
01/02/24
|
HSBC Bank USA, N.A.
|
(5,380
)
|
USD
|
995,911
|
EUR
|
904,000
|
01/29/24
|
HSBC Bank USA, N.A.
|
(3,706
)
|
USD
|
1,329,682
|
EUR
|
1,200,000
|
01/31/24
|
HSBC Bank USA, N.A.
|
2,653
|
USD
|
1,129,024
|
EUR
|
1,015,000
|
02/02/24
|
HSBC Bank USA, N.A.
|
6,491
|
USD
|
5,082,013
|
EUR
|
4,639,377
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(45,857
)
|
USD
|
720,231
|
EUR
|
647,400
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
4,664
|
USD
|
1,295,461
|
EUR
|
1,210,090
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(42,043
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
944,680
|
EUR
|
860,000
|
01/02/24
|
Morgan Stanley Capital Services, Inc.
|
$(5,319
)
|
USD
|
122,985
|
EUR
|
114,000
|
01/11/24
|
Morgan Stanley Capital Services, Inc.
|
(2,984
)
|
USD
|
908,105
|
EUR
|
825,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(3,762
)
|
USD
|
1,335,600
|
EUR
|
1,204,000
|
01/31/24
|
Morgan Stanley Capital Services, Inc.
|
4,148
|
USD
|
956,354
|
EUR
|
860,000
|
02/02/24
|
Morgan Stanley Capital Services, Inc.
|
5,242
|
USD
|
936,214
|
EUR
|
850,000
|
01/29/24
|
Standard Chartered Bank
|
(3,691
)
|
USD
|
85,335
|
EUR
|
77,000
|
01/31/24
|
Standard Chartered Bank
|
184
|
USD
|
2,114,599
|
EUR
|
1,950,000
|
01/08/24
|
State Street Bank London
|
(39,881
)
|
USD
|
76,401
|
EUR
|
70,000
|
01/18/24
|
State Street Bank London
|
(970
)
|
USD
|
666,139
|
EUR
|
605,000
|
01/29/24
|
UBS AG
|
(2,851
)
|
USD
|
410,907
|
EUR
|
372,000
|
01/30/24
|
UBS AG
|
(456
)
|
USD
|
1,663,019
|
EUR
|
1,500,000
|
01/31/24
|
UBS AG
|
4,233
|
USD
|
760,326
|
GBP
|
600,000
|
01/29/24
|
Bank of America, N.A.
|
(4,662
)
|
USD
|
9,647,333
|
GBP
|
7,858,756
|
01/19/24
|
BNP Paribas S.A.
|
(371,879
)
|
USD
|
710,069
|
GBP
|
560,000
|
01/29/24
|
BNP Paribas S.A.
|
(3,920
)
|
USD
|
215,417
|
GBP
|
172,000
|
01/18/24
|
Goldman Sachs International
|
(3,866
)
|
USD
|
972,055
|
GBP
|
770,800
|
01/18/24
|
HSBC Bank PLC
|
(10,641
)
|
USD
|
270,744
|
GBP
|
211,900
|
01/18/24
|
HSBC Bank PLC
|
592
|
USD
|
2,069,122
|
GBP
|
1,652,565
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(37,740
)
|
USD
|
609,449
|
GBP
|
485,400
|
01/18/24
|
The BNY Mellon
|
(9,389
)
|
USD
|
370,322
|
HUF
|
131,308,900
|
01/18/24
|
Bank of America, N.A.
|
(8,385
)
|
USD
|
203,149
|
HUF
|
71,850,000
|
03/20/24
|
Citibank N.A.
|
(2,737
)
|
USD
|
184,207
|
HUF
|
65,910,000
|
03/20/24
|
Goldman Sachs International
|
(4,658
)
|
USD
|
1,559,241
|
HUF
|
543,737,655
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(8,951
)
|
USD
|
243,568
|
HUF
|
87,066,000
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
(6,759
)
|
USD
|
343,897
|
HUF
|
119,529,200
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
503
|
USD
|
1,090,731
|
HUF
|
382,657,054
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(12,889
)
|
USD
|
416,248
|
HUF
|
143,973,100
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
1,015
|
USD
|
387,805
|
HUF
|
134,380,000
|
01/18/24
|
Natwest Markets PLC
|
240
|
USD
|
512,588
|
HUF
|
179,137,000
|
01/18/24
|
Toronto Dominion Bank
|
(4,060
)
|
USD
|
169,219
|
HUF
|
58,390,000
|
01/18/24
|
Toronto Dominion Bank
|
817
|
USD
|
74,547
|
IDR
|
1,155,520,000
|
01/18/24
|
Bank of America, N.A.
|
(406
)
|
USD
|
400,331
|
IDR
|
6,185,575,872
|
01/18/24
|
Barclays Bank PLC
|
(898
)
|
USD
|
586,061
|
IDR
|
9,108,679,063
|
03/20/24
|
Citibank N.A.
|
(5,011
)
|
USD
|
3,443,740
|
IDR
|
53,379,718,052
|
01/18/24
|
Deutsche Bank AG
|
(21,536
)
|
USD
|
582,035
|
IDR
|
9,018,632,400
|
01/18/24
|
HSBC Bank PLC
|
(2,962
)
|
USD
|
882,348
|
IDR
|
13,634,887,900
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(2,082
)
|
USD
|
377,309
|
IDR
|
5,812,445,000
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
283
|
USD
|
4,272,098
|
IDR
|
66,978,750,253
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
(77,361
)
|
USD
|
6,264,662
|
IDR
|
98,546,266,400
|
01/24/24
|
JPMorgan Chase Bank N.A.
|
(134,429
)
|
USD
|
1,622,443
|
IDR
|
25,198,544,200
|
02/06/24
|
JPMorgan Chase Bank N.A.
|
(13,619
)
|
USD
|
381,929
|
IDR
|
5,954,278,336
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(4,297
)
|
USD
|
996,510
|
IDR
|
15,440,920,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(6,200
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
1,235,009
|
IDR
|
19,210,570,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
$(12,485
)
|
USD
|
1,394,499
|
ILS
|
5,196,600
|
01/18/24
|
Citibank N.A.
|
(48,993
)
|
USD
|
1,052,344
|
INR
|
87,853,914
|
01/18/24
|
Citibank N.A.
|
(2,686
)
|
USD
|
708,393
|
INR
|
58,886,300
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
1,232
|
USD
|
983,045
|
INR
|
81,981,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(1,668
)
|
USD
|
1,244,860
|
JPY
|
183,065,600
|
01/18/24
|
Bank of America, N.A.
|
(56,316
)
|
USD
|
1,804,762
|
JPY
|
265,640,500
|
01/18/24
|
Goldman Sachs International
|
(83,332
)
|
USD
|
2,813,233
|
JPY
|
419,491,900
|
01/18/24
|
HSBC Bank PLC
|
(168,390
)
|
USD
|
690,621
|
JPY
|
101,230,900
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(28,898
)
|
USD
|
4,514,339
|
JPY
|
664,600,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
(210,178
)
|
USD
|
165,193
|
JPY
|
23,211,700
|
01/18/24
|
State Street Bank London
|
211
|
USD
|
761,978
|
JPY
|
107,874,900
|
01/18/24
|
Toronto Dominion Bank
|
(4,765
)
|
USD
|
1,013,202
|
KRW
|
1,307,436,000
|
01/18/24
|
Deutsche Bank AG
|
(2,865
)
|
USD
|
155,133
|
KRW
|
205,016,000
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(4,494
)
|
USD
|
389,554
|
KZT
|
179,000,000
|
01/22/24
|
JPMorgan Chase Bank N.A.
|
(1,000
)
|
USD
|
79,660
|
MXN
|
1,391,300
|
01/18/24
|
Deutsche Bank AG
|
(2,303
)
|
USD
|
165,257
|
MXN
|
2,802,500
|
01/18/24
|
Deutsche Bank AG
|
159
|
USD
|
3,618,809
|
MXN
|
62,633,000
|
01/18/24
|
Goldman Sachs & Co.
|
(70,948
)
|
USD
|
1,322,519
|
MXN
|
23,520,000
|
01/19/24
|
Goldman Sachs & Co.
|
(62,838
)
|
USD
|
841,552
|
MXN
|
14,601,100
|
01/18/24
|
Goldman Sachs International
|
(18,610
)
|
USD
|
199,065
|
MXN
|
3,400,000
|
03/20/24
|
Goldman Sachs International
|
781
|
USD
|
4,085,568
|
MXN
|
73,994,003
|
01/18/24
|
HSBC Bank PLC
|
(273,476
)
|
USD
|
1,665,113
|
MXN
|
28,701,959
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(25,741
)
|
USD
|
8,603,461
|
MXN
|
152,893,497
|
01/19/24
|
JPMorgan Chase Bank N.A.
|
(402,158
)
|
USD
|
6,330,458
|
MXN
|
110,991,000
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
(151,832
)
|
USD
|
1,251,283
|
MXN
|
21,401,200
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
1,373
|
USD
|
2,888,163
|
MXN
|
50,810,000
|
03/20/24
|
Merrill Lynch International
|
(75,017
)
|
USD
|
574,266
|
MXN
|
10,070,000
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(18,966
)
|
USD
|
2,694,978
|
MXN
|
47,260,000
|
01/19/24
|
Morgan Stanley Capital Services, Inc.
|
(88,694
)
|
USD
|
810,803
|
MXN
|
13,942,200
|
01/18/24
|
State Street Bank London
|
(10,543
)
|
USD
|
428,291
|
MXN
|
7,270,000
|
01/18/24
|
State Street Bank London
|
10
|
USD
|
962,979
|
MYR
|
4,498,048
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(18,642
)
|
USD
|
995,496
|
MYR
|
4,642,000
|
01/18/24
|
Morgan Stanley Capital Services, Inc.
|
(15,732
)
|
USD
|
17,067,442
|
MYR
|
79,258,083
|
03/20/24
|
Standard Chartered Bank
|
(268,729
)
|
USD
|
1,895,478
|
NOK
|
20,670,000
|
01/19/24
|
BNP Paribas S.A.
|
(140,652
)
|
USD
|
551,465
|
NOK
|
5,800,000
|
01/18/24
|
Toronto Dominion Bank
|
(19,858
)
|
USD
|
1,457,542
|
NZD
|
2,378,900
|
01/18/24
|
HSBC Bank PLC
|
(48,741
)
|
USD
|
313,874
|
PEN
|
1,173,700
|
01/18/24
|
Bank of America, N.A.
|
(2,974
)
|
USD
|
2,455,515
|
PEN
|
9,150,000
|
03/20/24
|
Barclays Bank PLC
|
(9,802
)
|
USD
|
373,004
|
PEN
|
1,390,000
|
03/20/24
|
Goldman Sachs International
|
(1,509
)
|
USD
|
374,562
|
PEN
|
1,390,000
|
03/20/24
|
Goldman Sachs International
|
49
|
USD
|
524,498
|
PEN
|
1,963,160
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(5,469
)
|
USD
|
4,104,684
|
PEN
|
15,517,500
|
01/24/24
|
JPMorgan Chase Bank N.A.
|
(83,687
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
1,998,631
|
PEN
|
7,592,000
|
03/20/24
|
Merrill Lynch International
|
$(46,909
)
|
USD
|
225,061
|
PEN
|
835,900
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(596
)
|
USD
|
1,115,345
|
PEN
|
4,198,000
|
03/20/24
|
Standard Chartered Bank
|
(15,737
)
|
USD
|
488,928
|
PHP
|
27,274,860
|
01/18/24
|
Deutsche Bank AG
|
(3,322
)
|
USD
|
123,708
|
PHP
|
6,928,000
|
02/05/24
|
JPMorgan Chase Bank N.A.
|
(1,386
)
|
USD
|
727,878
|
PHP
|
40,194,900
|
03/04/24
|
JPMorgan Chase Bank N.A.
|
2,142
|
USD
|
553,727
|
PLN
|
2,160,000
|
03/20/24
|
Citibank N.A.
|
4,995
|
USD
|
666,010
|
PLN
|
2,705,800
|
01/18/24
|
Goldman Sachs International
|
(21,962
)
|
USD
|
338,212
|
PLN
|
1,321,000
|
01/18/24
|
Goldman Sachs International
|
2,337
|
USD
|
330,759
|
PLN
|
1,290,000
|
01/18/24
|
HSBC Bank PLC
|
2,766
|
USD
|
2,508,411
|
PLN
|
9,842,000
|
01/18/24
|
HSBC Bank USA, N.A.
|
6,001
|
USD
|
376,719
|
PLN
|
1,554,800
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(18,602
)
|
USD
|
1,691,374
|
PLN
|
7,085,150
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
(109,466
)
|
USD
|
210,989
|
PLN
|
828,600
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
383
|
USD
|
274,345
|
PLN
|
1,101,700
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(5,772
)
|
USD
|
973,149
|
PLN
|
3,819,400
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
2,034
|
USD
|
360,695
|
PLN
|
1,451,746
|
01/18/24
|
State Street Bank London
|
(8,424
)
|
USD
|
355,783
|
RON
|
1,650,200
|
01/18/24
|
Barclays Bank PLC
|
(10,578
)
|
USD
|
341,715
|
RON
|
1,530,000
|
01/18/24
|
Citibank N.A.
|
2,039
|
USD
|
1,771,545
|
RON
|
8,118,200
|
01/18/24
|
Deutsche Bank AG
|
(30,779
)
|
USD
|
779,868
|
RON
|
3,576,200
|
01/18/24
|
Goldman Sachs International
|
(14,086
)
|
USD
|
2,102,274
|
RON
|
9,570,300
|
01/18/24
|
HSBC Bank PLC
|
(22,431
)
|
USD
|
2,127,133
|
RON
|
9,644,574
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(14,062
)
|
USD
|
572,245
|
THB
|
19,430,000
|
03/20/24
|
Barclays Bank PLC
|
(790
)
|
USD
|
941,302
|
THB
|
32,964,400
|
01/18/24
|
Citibank N.A.
|
(25,709
)
|
USD
|
8,465,615
|
THB
|
295,497,499
|
03/20/24
|
Citibank N.A.
|
(249,284
)
|
USD
|
1,412,310
|
THB
|
49,194,100
|
01/18/24
|
Goldman Sachs International
|
(30,799
)
|
USD
|
577,728
|
THB
|
20,528,857
|
03/20/24
|
Goldman Sachs International
|
(27,715
)
|
USD
|
415,086
|
THB
|
14,559,800
|
01/18/24
|
HSBC Bank PLC
|
(12,026
)
|
USD
|
1,010,325
|
THB
|
35,177,000
|
01/18/24
|
HSBC Bank USA, N.A.
|
(21,592
)
|
USD
|
362,841
|
THB
|
12,588,500
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(6,442
)
|
USD
|
61,864
|
THB
|
2,213,000
|
02/12/24
|
JPMorgan Chase Bank N.A.
|
(3,198
)
|
USD
|
3,285,403
|
THB
|
114,897,100
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
(100,630
)
|
USD
|
369,483
|
THB
|
13,074,000
|
01/18/24
|
State Street Bank London
|
(14,043
)
|
USD
|
233,953
|
THB
|
8,066,400
|
01/18/24
|
UBS AG
|
(2,675
)
|
USD
|
128,108
|
TRY
|
4,060,000
|
03/20/24
|
Citibank N.A.
|
212
|
USD
|
133,162
|
TRY
|
4,210,000
|
03/20/24
|
Goldman Sachs International
|
544
|
USD
|
586,769
|
TWD
|
18,870,500
|
01/18/24
|
Bank of America, N.A.
|
(32,949
)
|
USD
|
520,961
|
TWD
|
16,219,400
|
01/18/24
|
Citibank N.A.
|
(11,694
)
|
USD
|
1,327,055
|
TWD
|
41,490,146
|
01/18/24
|
Goldman Sachs International
|
(35,506
)
|
USD
|
1,610,587
|
TWD
|
50,014,200
|
01/18/24
|
HSBC Bank PLC
|
(31,910
)
|
USD
|
537,698
|
TWD
|
16,363,000
|
01/18/24
|
HSBC Bank PLC
|
327
|
USD
|
495,335
|
TWD
|
15,279,600
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(6,456
)
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
USD
|
2,328,404
|
UGX
|
8,959,700,000
|
03/20/24
|
Standard Chartered Bank
|
$(16,872
)
|
USD
|
547,715
|
ZAR
|
10,190,900
|
01/18/24
|
Barclays Bank PLC
|
(8,851
)
|
USD
|
235,794
|
ZAR
|
4,380,000
|
03/20/24
|
Barclays Bank PLC
|
(2,113
)
|
USD
|
2,730,546
|
ZAR
|
52,670,000
|
03/20/24
|
Citibank N.A.
|
(130,315
)
|
USD
|
2,452,257
|
ZAR
|
45,097,000
|
01/19/24
|
Goldman Sachs & Co.
|
(10,466
)
|
USD
|
987,022
|
ZAR
|
18,161,000
|
01/18/24
|
HSBC Bank USA, N.A.
|
(4,824
)
|
USD
|
278,222
|
ZAR
|
5,100,000
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
(310
)
|
USD
|
367,979
|
ZAR
|
6,716,500
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
1,163
|
USD
|
614,305
|
ZAR
|
11,557,367
|
02/20/24
|
JPMorgan Chase Bank N.A.
|
(15,087
)
|
USD
|
921,809
|
ZAR
|
17,233,700
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
(15,024
)
|
USD
|
6,666,142
|
ZAR
|
125,189,083
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(170,940
)
|
USD
|
7,742,971
|
ZAR
|
148,420,000
|
03/20/24
|
Standard Chartered Bank
|
(318,714
)
|
USD
|
670,325
|
ZAR
|
12,522,200
|
01/18/24
|
State Street Bank London
|
(13,563
)
|
USD
|
646,643
|
ZAR
|
12,020,000
|
01/18/24
|
UBS AG
|
(9,818
)
|
ZAR
|
4,380,000
|
USD
|
237,378
|
01/03/24
|
Barclays Bank PLC
|
2,129
|
ZAR
|
6,307,500
|
USD
|
340,761
|
01/18/24
|
Barclays Bank PLC
|
3,717
|
ZAR
|
38,670,000
|
USD
|
2,096,627
|
03/20/24
|
Citibank N.A.
|
3,800
|
ZAR
|
1,580,000
|
USD
|
85,600
|
01/18/24
|
Deutsche Bank AG
|
690
|
ZAR
|
52,609,151
|
USD
|
2,770,060
|
01/18/24
|
Goldman Sachs International
|
103,139
|
ZAR
|
18,161,000
|
USD
|
977,817
|
01/18/24
|
HSBC Bank USA, N.A.
|
14,028
|
ZAR
|
12,476,800
|
USD
|
662,748
|
01/18/24
|
JPMorgan Chase Bank N.A.
|
18,661
|
ZAR
|
35,891,800
|
USD
|
1,916,891
|
03/11/24
|
JPMorgan Chase Bank N.A.
|
34,206
|
ZAR
|
420,000
|
USD
|
22,945
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
(8
)
|
ZAR
|
51,842,700
|
USD
|
2,792,002
|
01/18/24
|
Morgan Stanley and Co. International PLC
|
39,337
|
ZAR
|
4,444,900
|
USD
|
240,711
|
01/18/24
|
State Street Bank London
|
2,043
|
ZAR
|
12,540,000
|
USD
|
666,381
|
01/18/24
|
UBS AG
|
18,479
|
|
|
|
|
|
|
$953,618
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
31
|
10-Year Australian Bond Futures
|
Mar 2024
|
$2,467,812
|
$60,834
|
59
|
3-Month SONIA
|
Mar 2024
|
17,822,703
|
172,631
|
61
|
3-Month SONIA
|
Sep 2024
|
18,562,947
|
215,477
|
2
|
3-Month SONIA
|
Mar 2025
|
614,358
|
10,354
|
210
|
Euro BOBL
|
Mar 2024
|
27,670,160
|
289,653
|
111
|
Euro BUND
|
Mar 2024
|
16,825,390
|
446,176
|
37
|
Long Gilt Futures
|
Mar 2024
|
4,841,753
|
271,391
|
487
|
R186 Bond Futures
|
Feb 2024
|
2,820,439
|
24,819
|
494
|
R2030 Bond Futures
|
Feb 2024
|
2,491,777
|
50,785
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
75
|
SOFR 90-Day
|
Mar 2025
|
$18,050,625
|
$(66,283
)
|
8
|
U.S. Long Bond
|
Mar 2024
|
999,500
|
(1,764
)
|
792
|
U.S. Treasury Note 10-Year
|
Mar 2024
|
89,409,375
|
2,570,290
|
762
|
U.S. Treasury Note 2-Year
|
Mar 2024
|
156,906,515
|
1,358,205
|
458
|
U.S. Treasury Note 5-Year
|
Mar 2024
|
49,818,234
|
631,541
|
64
|
U.S. Ultra 10-Year
|
Mar 2024
|
7,553,000
|
291,733
|
361
|
U.S. Ultra Bond
|
Mar 2024
|
48,227,344
|
4,069,763
|
|
|
|
|
$10,395,605
|
Sales
|
|
|
|
|
153
|
SOFR 90-Day
|
Mar 2024
|
$36,200,756
|
$199,484
|
39
|
SOFR 90-Day
|
Jun 2024
|
9,263,963
|
(43,050
)
|
160
|
U.S. Treasury Note 10-Year
|
Mar 2024
|
18,062,500
|
(55,318
)
|
29
|
U.S. Ultra 10-Year
|
Mar 2024
|
3,422,453
|
(73,319
)
|
|
|
|
|
$27,797
|
Type of Contract
|
Counterparty
|
Number of
Contracts
|
Notional
Value
|
Premiums
Received
|
Value at
December 31, 2023
|
CALL— U.S. 5-Year Futures
Option
Strike @ $110.00
Expires 01/26/2024
|
Citigroup
Global
Markets, Inc.
|
339,000
|
$36,873,030
|
$(55,031
)
|
$(82,102
)
|
PUT— S&P 500 E-mini
Futures Option
Strike @ $3,600.00
Expires 02/16/2024
|
JPMorgan
Chase Bank
N.A.
|
1,350
|
6,439,270.5
|
(38,418
)
|
(1,755
)
|
PUT— S&P 500 E-mini
Futures Option
Strike @ $3,700.00
Expires 02/16/2024
|
JPMorgan
Chase Bank
N.A.
|
2,200
|
10,493,626
|
(26,288
)
|
(3,520
)
|
Total Written Options
|
|
|
|
$(119,737
)
|
$(87,377
)
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made by
Fund
|
Payment
Frequency
|
Maturity
Date
|
Counterparty
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
3-Month CPIBR
|
Quarterly
|
8.20%
|
Quarterly
|
12/04/33
|
Bank of America, N.A.
|
$ —
|
COP
|
(860,005,421)
|
$(6,981)
|
$(6,981)
|
3-Month CPIBR
|
Quarterly
|
8.12%
|
Quarterly
|
12/06/33
|
JPMorgan Chase Bank
N.A.
|
—
|
COP
|
(774,631,062)
|
(5,308)
|
(5,308)
|
3-Month CPIBR
|
Quarterly
|
8.00%
|
Quarterly
|
12/07/33
|
HSBC Sec. New York
|
—
|
COP
|
(1,035,233,671)
|
(5,002)
|
(5,002)
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made by
Fund
|
Payment
Frequency
|
Maturity
Date
|
Counterparty
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
3.03%
|
Quarterly
|
3-Month KSDA
|
Quarterly
|
01/03/34
|
Merrill Lynch
International
|
$ —
|
KRW
|
(289,460,000)
|
$837
|
$837
|
3.10%
|
Quarterly
|
3-Month KSDA
|
Quarterly
|
12/22/33
|
Standard Chartered Bank
|
—
|
KRW
|
(3,950,000,000)
|
29,701
|
29,701
|
6-Month CLICP
|
Semi-Annual
|
4.99%
|
Semi-Annual
|
06/20/33
|
Goldman Sachs & Co.
|
—
|
CLP
|
(2,430,000,000)
|
(20,471)
|
(20,471)
|
2.27%
|
Quarterly
|
7-Day CNRR
|
Quarterly
|
12/29/28
|
Citi Bank N.A.
|
—
|
CNY
|
(10,280,000)
|
(10)
|
(10)
|
2.28%
|
Quarterly
|
7-Day CNRR
|
Quarterly
|
08/16/28
|
Standard Chartered Bank
|
—
|
CNY
|
(9,330,000)
|
1,885
|
1,885
|
2.40%
|
Quarterly
|
7-Day CNRR
|
Quarterly
|
07/21/28
|
Standard Chartered Bank
|
—
|
CNY
|
(6,210,000)
|
6,507
|
6,507
|
2.41%
|
Quarterly
|
7-Day CNRR
|
Quarterly
|
07/04/28
|
Merrill Lynch
International
|
—
|
CNY
|
(17,211,029)
|
18,570
|
18,570
|
2.44%
|
Quarterly
|
7-Day CNRR
|
Quarterly
|
06/16/28
|
Merrill Lynch
International
|
—
|
CNY
|
(90,344,607)
|
114,499
|
114,499
|
9.55%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/26
|
Goldman Sachs
International
|
—
|
BRL
|
(5,019,204)
|
—
|
—
|
10.12%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/26
|
Goldman Sachs
International
|
—
|
BRL
|
(4,073,127)
|
7,115
|
7,115
|
10.23%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/29
|
JPMorgan Chase Bank
N.A.
|
—
|
BRL
|
(40,970,000)
|
32,337
|
32,337
|
10.29%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/04/27
|
Bank of America, N.A.
|
—
|
BRL
|
(1,078,605)
|
2,155
|
2,155
|
10.41%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/25
|
Barclays Capital
|
—
|
BRL
|
(23,763,514)
|
11,938
|
11,938
|
10.41%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/04/27
|
HSBC Sec. New York
|
—
|
BRL
|
(4,903,343)
|
12,694
|
12,694
|
10.70%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/25
|
Goldman Sachs & Co.
|
—
|
BRL
|
(74,373,490)
|
(35,135)
|
(35,135)
|
10.76%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/25
|
Goldman Sachs & Co.
|
—
|
BRL
|
(8,260,392)
|
(2,848)
|
(2,848)
|
11.04%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/25
|
Citigroup Global Market
|
—
|
BRL
|
(11,400,102)
|
16,796
|
16,796
|
11.37%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/29
|
HSBC Sec. New York
|
—
|
BRL
|
(782,173)
|
5,787
|
5,787
|
12.34%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/04/27
|
HSBC Sec. New York
|
—
|
BRL
|
(3,677,727)
|
38,673
|
38,673
|
12.41%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/04/27
|
JPMorgan Chase Bank
N.A.
|
—
|
BRL
|
(2,485,227)
|
26,911
|
26,911
|
12.74%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/02/29
|
HSBC Sec. New York
|
—
|
BRL
|
(2,290,799)
|
36,004
|
36,004
|
12.78%
|
At Maturity
|
BRL-CDI
|
At Maturity
|
01/04/27
|
JPMorgan Chase Bank
N.A.
|
—
|
BRL
|
(1,476,351)
|
18,418
|
18,418
|
|
|
|
|
|
|
$ 0
|
|
|
$305,072
|
$305,072
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made
by Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
1-Month TIIE
|
Monthly
|
9.49%
|
Monthly
|
09/16/33
|
$—
|
MXN
|
65,623,453
|
$(265,896
)
|
$(265,896
)
|
1-Month TIIE
|
Monthly
|
8.46%
|
Monthly
|
12/16/33
|
—
|
MXN
|
4,980,000
|
17
|
17
|
1-Month TIIE
|
Monthly
|
8.29%
|
Monthly
|
06/03/33
|
—
|
MXN
|
18,500,000
|
11,984
|
11,984
|
7.20%
|
Monthly
|
1-Month TIIE
|
Monthly
|
07/17/24
|
—
|
MXN
|
116,734,200
|
(149,668
)
|
(149,668
)
|
8.97%
|
Monthly
|
1-Month TIIE
|
Monthly
|
03/01/30
|
—
|
MXN
|
93,573,000
|
131,463
|
131,463
|
9.29%
|
Monthly
|
1-Month TIIE
|
Monthly
|
02/17/28
|
1
|
MXN
|
2,055,513
|
2,469
|
2,468
|
9.69%
|
Monthly
|
1-Month TIIE
|
Monthly
|
07/18/25
|
—
|
MXN
|
54,100,000
|
(21,258
)
|
(21,258
)
|
9.72%
|
Monthly
|
1-Month TIIE
|
Monthly
|
12/26/25
|
—
|
MXN
|
14,500,000
|
(140
)
|
(140
)
|
3-Month JIBAR
|
Quarterly
|
9.38%
|
Quarterly
|
03/20/34
|
6
|
ZAR
|
5,757,924
|
(4,011
)
|
(4,017
)
|
3-Month JIBAR
|
Quarterly
|
9.27%
|
Quarterly
|
03/20/34
|
5
|
ZAR
|
5,178,914
|
(1,551
)
|
(1,556
)
|
3-Month JIBAR
|
Quarterly
|
9.25%
|
Quarterly
|
03/20/34
|
4
|
ZAR
|
4,450,878
|
(937
)
|
(941
)
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made
by Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
3-Month JIBAR
|
Quarterly
|
8.19%
|
Quarterly
|
11/23/28
|
$—
|
ZAR
|
40,430,000
|
$(15,641
)
|
$(15,641
)
|
6-Month BUBOR
|
Semi-Annual
|
7.03%
|
Annual
|
09/26/28
|
(17,314
)
|
HUF
|
240,000,000
|
(33,358
)
|
(16,044
)
|
6-Month BUBOR
|
Semi-Annual
|
7.03%
|
Annual
|
09/26/28
|
(11,549
)
|
HUF
|
160,000,000
|
(22,239
)
|
(10,690
)
|
7.03%
|
Annual
|
6-Month BUBOR
|
Semi-Annual
|
09/26/28
|
—
|
HUF
|
580,000,000
|
80,616
|
80,616
|
3.49%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
01/02/34
|
—
|
CZK
|
10,830,000
|
85
|
85
|
3.85%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
12/08/33
|
—
|
CZK
|
8,380,000
|
10,928
|
10,928
|
3.93%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
03/20/29
|
35
|
CZK
|
71,921,102
|
79,557
|
79,522
|
3.97%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
11/23/33
|
1,907
|
CZK
|
16,121,000
|
27,948
|
26,041
|
4.00%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
11/22/33
|
—
|
CZK
|
18,179,000
|
33,923
|
33,923
|
4.07%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
11/22/28
|
—
|
CZK
|
31,250,000
|
30,066
|
30,066
|
4.17%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
11/21/28
|
—
|
CZK
|
31,250,000
|
36,322
|
36,322
|
4.40%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
03/20/29
|
5
|
CZK
|
10,851,079
|
22,492
|
22,487
|
4.66%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
06/19/27
|
—
|
CZK
|
106,000,000
|
137,014
|
137,014
|
4.71%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
10/09/28
|
—
|
CZK
|
18,316,125
|
40,384
|
40,384
|
4.77%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
10/06/28
|
—
|
CZK
|
18,316,125
|
42,260
|
42,260
|
4.78%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
10/06/28
|
—
|
CZK
|
36,632,250
|
85,244
|
85,244
|
4.79%
|
Annual
|
6-Month PRIBOR
|
Semi-Annual
|
10/06/28
|
—
|
CZK
|
36,085,500
|
84,706
|
84,706
|
6-Month WIBOR
|
Semi-Annual
|
4.78%
|
Annual
|
10/09/28
|
—
|
PLN
|
4,994,850
|
(19,888
)
|
(19,888
)
|
6-Month WIBOR
|
Semi-Annual
|
4.71%
|
Annual
|
08/01/33
|
1,673
|
PLN
|
470,000
|
(2,048
)
|
(3,721
)
|
6-Month WIBOR
|
Semi-Annual
|
4.68%
|
Annual
|
10/06/28
|
—
|
PLN
|
9,840,600
|
(29,101
)
|
(29,101
)
|
6-Month WIBOR
|
Semi-Annual
|
4.67%
|
Annual
|
10/06/28
|
—
|
PLN
|
4,994,850
|
(14,232
)
|
(14,232
)
|
6-Month WIBOR
|
Semi-Annual
|
4.65%
|
Annual
|
10/06/28
|
—
|
PLN
|
9,989,700
|
(26,405
)
|
(26,405
)
|
6-Month WIBOR
|
Semi-Annual
|
4.64%
|
Annual
|
08/01/28
|
339
|
PLN
|
5,580,000
|
(11,208
)
|
(11,547
)
|
6-Month WIBOR
|
Semi-Annual
|
4.38%
|
Annual
|
01/02/29
|
—
|
PLN
|
1,830,000
|
424
|
424
|
4.64%
|
Annual
|
6-Month WIBOR
|
Semi-Annual
|
08/01/28
|
4,572
|
PLN
|
1,700,000
|
3,415
|
(1,157
)
|
4.71%
|
Annual
|
6-Month WIBOR
|
Semi-Annual
|
08/01/33
|
538
|
PLN
|
4,840,000
|
21,093
|
20,555
|
4.93%
|
Annual
|
6-Month WIBOR
|
Semi-Annual
|
01/02/26
|
—
|
PLN
|
1,610,000
|
(95
)
|
(95
)
|
5.26%
|
Annual
|
6-Month WIBOR
|
Semi-Annual
|
08/01/25
|
758
|
PLN
|
28,620,000
|
2,006
|
1,248
|
SOFR
|
Annual
|
3.15%
|
Annual
|
05/15/48
|
(4,472
)
|
USD
|
4,624,000
|
204,006
|
208,478
|
SOFR
|
Annual
|
3.05%
|
Annual
|
02/15/48
|
135,295
|
USD
|
3,862,000
|
234,408
|
99,113
|
SOFR
|
Annual
|
2.94%
|
Annual
|
01/19/53
|
—
|
USD
|
5,240,000
|
381,222
|
381,222
|
SOFR
|
Annual
|
2.60%
|
Annual
|
02/15/48
|
67,555
|
USD
|
595,000
|
79,695
|
12,140
|
3.35%
|
Annual
|
SOFR
|
Annual
|
01/19/28
|
—
|
USD
|
22,515,000
|
(217,392
)
|
(217,392
)
|
2.65%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/29
|
5
|
THB
|
15,830,232
|
7,778
|
7,773
|
2.67%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/29
|
5
|
THB
|
15,830,232
|
8,201
|
8,196
|
2.69%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/34
|
10
|
THB
|
18,947,627
|
4,183
|
4,173
|
2.79%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/29
|
34
|
THB
|
110,382,693
|
76,245
|
76,211
|
2.91%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/34
|
9
|
THB
|
17,280,169
|
13,731
|
13,722
|
3.15%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/34
|
93
|
THB
|
184,437,315
|
267,147
|
267,054
|
3.40%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/20/34
|
6
|
THB
|
12,847,831
|
27,181
|
27,175
|
|
|
|
|
|
|
|
|
|
$1,173,625
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Counterparty
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable
on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid/
(Received)
|
Value
|
10,690,000
|
USD
|
12/20/28
|
Morgan Stanley & Co.
|
(1.00%)
|
Quarterly
|
CDX.EM.S40**
|
$(25,945
)
|
$334,597
|
$308,652
|
730,000
|
EUR
|
12/20/24
|
Morgan Stanley & Co.
|
(1.00%)
|
Quarterly
|
Daimler AG, 1.40%,
01/12/24
|
12,756
|
(19,195
)
|
(6,439
)
|
Total Buy Protection
|
$(13,189
)
|
$315,402
|
$302,213
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Counterparty
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable
on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid/
(Received)
|
Value
|
730,000
|
EUR
|
12/20/24
|
Morgan Stanley & Co.
|
1.00%
|
Quarterly
|
Volkswagen
International Finance
N.V., 0.50%,
03/30/21 (Moody’s
rating: A3; S&P
rating: BBB+)
|
$(4,916
)
|
$9,254
|
$4,338
|
Total OTC Credit Default Swaps
|
$(18,105
)
|
$324,656
|
$306,551
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid
(Received)
|
Value
|
10,550,000
|
USD
|
12/20/28
|
1.00%
|
Quarterly
|
CDX.NA.HY.41***
|
$25,135
|
$179,662
|
$204,797
|
19,092,744
|
USD
|
12/20/28
|
5.00%
|
Quarterly
|
CDX.NA.HY.41***
|
484,849
|
628,885
|
1,113,734
|
1,380,000
|
USD
|
06/20/26
|
(5.00%)
|
Quarterly
|
General Motors Co.
|
131,246
|
(264,656
)
|
(133,410
)
|
Total Buy Protection
|
$641,230
|
$543,891
|
$1,185,121
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid
(Received)
|
Value
|
1,380,000
|
USD
|
06/20/26
|
5.00%
|
Quarterly
|
Ford Motor Co.
|
$(76,751
)
|
$196,911
|
$120,160
|
Total Centrally Cleared Credit Default Swaps
|
$564,479
|
$740,802
|
$1,305,281
|
*
|
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default
swap
contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values
of the
referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts
entered
into by the Fund for the same referenced debt obligation.
|
**
|
CDX.EM — Markit CDX Emerging Markets Index. Represents an index composed of fifteen (15) sovereign reference entities that
trade in the credit default swaps (CDS) market.
|
***
|
CDX.NA.HY — Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of
the companies underlying the single name CDS within the index are rated BB and B.
|
Currency Abbreviations
|
||
AUD
|
—
|
Australian Dollar
|
BRL
|
—
|
Brazilian Real
|
CAD
|
—
|
Canadian Dollar
|
CHF
|
—
|
Swiss Franc
|
CLP
|
—
|
Chilean Peso
|
CNH
|
—
|
Chinese Yuan Renminbi
|
CNY
|
—
|
Chinese Yuan
|
COP
|
—
|
Colombian Peso
|
CZK
|
—
|
Czech Koruna
|
DOP
|
—
|
Dominican Pesos
|
EGP
|
—
|
Egyptian Pound
|
EUR
|
—
|
Euro
|
GBP
|
—
|
United Kingdom Pound
|
GHS
|
—
|
New Ghanaian Cedi
|
HUF
|
—
|
Hungarian Forint
|
IDR
|
—
|
Indonesian Rupiah
|
ILS
|
—
|
Israel Shekel
|
INR
|
—
|
Indian Rupee
|
JMD
|
—
|
Jamaica Dollar
|
JPY
|
—
|
Japanese Yen
|
KRW
|
—
|
South Korean Won
|
KZT
|
—
|
Kazakhstani Tenge
|
MXN
|
—
|
Mexican Peso
|
MYR
|
—
|
Malaysian Ringgit
|
NOK
|
—
|
Norwegian Krona
|
NZD
|
—
|
New Zealand Dollar
|
PEN
|
—
|
Peruvian Nuevo Sol
|
PHP
|
—
|
Philippines Peso
|
PLN
|
—
|
Polish Zloty
|
RON
|
—
|
Romanian New Leu
|
RUB
|
—
|
Russian Ruble
|
SGD
|
—
|
Singapore Dollar
|
THB
|
—
|
Thai Baht
|
TRY
|
—
|
Turkish New Lira
|
TWD
|
—
|
Taiwan Dollar
|
UGX
|
—
|
Ugandan Shilling
|
USD
|
—
|
U.S. Dollar
|
UYU
|
—
|
Uruguayan Peso
|
ZAR
|
—
|
South African Rand
|
Abbreviations
|
||
BUBOR
|
—
|
Budapest Interbank Offered Rate
|
CDI
|
—
|
CREST Depository Interest
|
CLICP
|
—
|
Chilean Average Chamber Index
|
CLO
|
—
|
Collateralized Loan Obligation
|
CMT
|
—
|
Constant Maturity Treasury Index
|
CNRR
|
—
|
China Fixing Repo Rates
|
CPIBR
|
—
|
Colombia Overnight Interbank Rate
|
EURIBOR
|
—
|
Euro Interbank Offered Rate
|
ICE
|
—
|
Intercontinental Exchange
|
JIBAR
|
—
|
Johannesburg Interbank Average Rate
|
KSDA
|
—
|
South Korea Three Month Interbank Rate
|
LIBOR
|
—
|
London Interbank Offered Rate
|
PIK
|
—
|
Payment In Kind
|
PRIBOR
|
—
|
Prague Interbank Offered Rate
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
SONIA
|
—
|
Sterling Overnight Index Average
|
STACR
|
—
|
Structured Agency Credit Risk
|
TBD
|
—
|
To Be Determined
|
TIIE
|
—
|
Mexican Interbank Equilibrium Interest Rate
|
WIBOR
|
—
|
Warsaw Interbank Offer Rate
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
Corporate Debt
|
35.3
|
Sovereign Debt Obligations
|
32.8
|
Bank Loans
|
11.0
|
Asset Backed Securities
|
5.0
|
Mortgage Backed Securities - Private Issuers
|
4.9
|
U.S. Government and Agency Obligations
|
3.1
|
Futures Contracts
|
0.7
|
Convertible Debt
|
0.6
|
Preferred Stocks
|
0.2
|
Centrally Cleared Interest Rate Swaps
|
0.1
|
Forward Foreign Currency Contracts
|
0.1
|
Centrally Cleared Credit Default Swaps
|
0.0*
|
OTC Credit Default Swaps
|
0.0*
|
OTC Interest Rate Swaps
|
0.0*
|
Mortgage Backed Securities - U.S. Government Agency Obligations
|
0.0*
|
Purchased Currency Options
|
0.0*
|
Common Stocks
|
0.0*
|
Purchased Futures Options
|
0.0*
|
Written Futures Options
|
0.0*
|
Short-Term Investments
|
4.1
|
Other Assets and Liabilities (net)
|
2.1
|
|
100.0%
|
*
|
Amount rounds to zero.
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 94.8%
|
|
|
|
Brazil — 8.4%
|
|
694,300
|
|
Ambev SA
|
1,962,438
|
1,434,500
|
|
B3 SA - Brasil Bolsa Balcao
|
4,296,767
|
1,897,079
|
|
Banco Bradesco SA
|
5,967,426
|
1,462,200
|
|
Banco BTG Pactual SA
|
11,321,093
|
687,200
|
|
Banco do Brasil SA
|
7,835,970
|
413,900
|
|
BB Seguridade Participacoes SA
|
2,867,205
|
148,000
|
|
Cia de Saneamento Basico do Estado de Sao Paulo SABESP
|
2,296,352
|
7,085,450
|
|
Dexco SA
|
11,771,159
|
8,825
|
|
MercadoLibre, Inc.*
|
13,868,840
|
480,200
|
|
PRIO SA
|
4,552,291
|
2,430,594
|
|
Raia Drogasil SA
|
14,710,858
|
938,600
|
|
Rumo SA
|
4,434,468
|
2,041,300
|
|
TIM SA
|
7,534,690
|
811,300
|
|
TOTVS SA
|
5,626,790
|
221,500
|
|
Vale SA
|
3,520,216
|
1,978,100
|
|
Vibra Energia SA
|
9,268,271
|
1,780,400
|
|
WEG SA
|
13,528,196
|
|
|
|
125,363,030
|
|
|
Canada — 0.6%
|
|
76,880
|
|
Franco-Nevada Corp.
|
8,519,073
|
|
|
Chile — 0.2%
|
|
242,825
|
|
Cia Cervecerias Unidas SA, ADR(a)
|
3,045,025
|
|
|
China — 25.4%
|
|
274,200
|
|
37 Interactive Entertainment Network Technology Group Co. Ltd. Class A
|
727,236
|
5,343,200
|
|
Agricultural Bank of China Ltd. Class H
|
2,059,670
|
1,898,000
|
|
Air China Ltd. Class H *
|
1,200,751
|
161,000
|
|
Airtac International Group
|
5,298,382
|
1,683,891
|
|
Alibaba Group Holding Ltd.
|
16,302,919
|
92,800
|
|
Alibaba Group Holding Ltd., ADR
|
7,192,928
|
106,000
|
|
Anhui Yingjia Distillery Co. Ltd. Class A
|
990,770
|
67,600
|
|
Anji Microelectronics Technology Shanghai Co. Ltd. Class A
|
1,522,768
|
95,200
|
|
Anjoy Foods Group Co. Ltd. Class A
|
1,404,201
|
154,000
|
|
Anker Innovations Technology Co. Ltd. Class A
|
1,923,860
|
462,600
|
|
ANTA Sports Products Ltd.
|
4,487,639
|
21,000
|
|
APT Medical, Inc. Class A
|
1,150,348
|
64,300
|
|
Asymchem Laboratories Tianjin Co. Ltd. Class H (a)
|
749,345
|
254,586
|
|
Autohome, Inc., ADR
|
7,143,683
|
80,120
|
|
Bafang Electric Suzhou Co. Ltd. Class A
|
620,766
|
891,150
|
|
Baidu, Inc. Class A *
|
13,249,901
|
46,000
|
|
Beijing Roborock Technology Co. Ltd. Class A
|
1,835,213
|
236,000
|
|
Beijing Tiantan Biological Products Corp. Ltd. Class A
|
1,029,559
|
2,631,000
|
|
BOC Hong Kong Holdings Ltd.
|
7,143,093
|
163,000
|
|
BYD Co. Ltd. Class H
|
4,475,504
|
384,000
|
|
BYD Electronic International Co. Ltd.
|
1,799,873
|
232,200
|
|
Chaozhou Three-Circle Group Co. Ltd. Class A
|
964,199
|
Shares
|
|
Description
|
Value ($)
|
|
|
China — continued
|
|
3,474,000
|
|
China Construction Bank Corp. Class H
|
2,068,771
|
4,820,000
|
|
China International Capital Corp. Ltd. Class H
|
7,073,938
|
248,200
|
|
China Literature Ltd.*
|
923,374
|
1,233,000
|
|
China Longyuan Power Group Corp. Ltd. Class H
|
934,791
|
3,123,335
|
|
China Mengniu Dairy Co. Ltd.
|
8,399,771
|
394,000
|
|
China Merchants Bank Co. Ltd. Class H
|
1,372,444
|
869,400
|
|
China Pacific Insurance Group Co. Ltd. Class H
|
1,754,710
|
19,672,000
|
|
China Petroleum & Chemical Corp. Class H
|
10,303,895
|
958,000
|
|
China Resources Beer Holdings Co. Ltd.
|
4,195,862
|
194,500
|
|
China Wafer Level CSP Co. Ltd. Class A
|
602,242
|
430,000
|
|
China Yuhua Education Corp. Ltd.*
|
30,287
|
115,000
|
|
Chongqing Zhifei Biological Products Co. Ltd. Class A
|
990,898
|
290,204
|
|
Contemporary Amperex Technology Co. Ltd. Class A
|
6,680,396
|
1,080,278
|
|
East Money Information Co. Ltd. Class A
|
2,138,561
|
722,100
|
|
ENN Energy Holdings Ltd.
|
5,317,345
|
4,314,900
|
|
Focus Media Information Technology Co. Ltd. Class A
|
3,845,093
|
262,302
|
|
Foshan Haitian Flavouring & Food Co. Ltd. Class A
|
1,403,565
|
452,000
|
|
Fuyao Glass Industry Group Co. Ltd. Class H
|
2,199,640
|
5,907,500
|
|
Great Wall Motor Co. Ltd. Class H (a)
|
7,671,341
|
669,000
|
|
Haidilao International Holding Ltd.(a)
|
1,245,719
|
2,134,800
|
|
Haier Smart Home Co. Ltd. Class H
|
6,028,307
|
547,300
|
|
Hangzhou Tigermed Consulting Co. Ltd. Class H (a)
|
2,477,676
|
521,506
|
|
Hisense Visual Technology Co. Ltd. Class A
|
1,536,826
|
60,500
|
|
Hithink RoyalFlush Information Network Co. Ltd. Class A
|
1,338,179
|
1,255,000
|
|
HLA Group Corp. Ltd. Class A
|
1,313,006
|
397,360
|
|
Hongfa Technology Co. Ltd. Class A
|
1,548,607
|
448,800
|
|
Hualan Biological Engineering, Inc. Class A
|
1,400,404
|
392,954
|
|
Hubei Jumpcan Pharmaceutical Co. Ltd. Class A
|
1,741,426
|
280,000
|
|
Innovent Biologics, Inc.*
|
1,532,935
|
506,400
|
|
JD.com, Inc. Class A
|
7,295,849
|
96,100
|
|
Jiangsu Hengrui Pharmaceuticals Co. Ltd. Class A
|
612,871
|
195,000
|
|
Jiangsu King's Luck Brewery JSC Ltd. Class A
|
1,340,381
|
413,000
|
|
Jiangsu Yuyue Medical Equipment & Supply Co. Ltd. Class A
|
2,013,697
|
191,000
|
|
Jianmin Pharmaceutical Group Co. Ltd. Class A
|
1,757,247
|
377,997
|
|
Jiayou International Logistics Co. Ltd. Class A
|
845,299
|
76,466
|
|
KE Holdings, Inc., ADR
|
1,239,514
|
707,000
|
|
Kingnet Network Co. Ltd. Class A
|
1,113,504
|
57,912
|
|
Kingsemi Co. Ltd. Class A
|
1,091,005
|
132,000
|
|
Kuaishou Technology*
|
895,096
|
59,304
|
|
Kweichow Moutai Co. Ltd. Class A
|
14,432,574
|
57,080
|
|
Leader Harmonious Drive Systems Co. Ltd. Class A
|
1,235,411
|
56,700
|
|
Luzhou Laojiao Co. Ltd. Class A
|
1,434,409
|
186,650
|
|
Meituan Class B *
|
1,957,679
|
894,794
|
|
Midea Group Co. Ltd. Class A
|
6,892,445
|
76,865
|
|
MINISO Group Holding Ltd., ADR
|
1,568,046
|
314,414
|
|
NARI Technology Co. Ltd. Class A
|
989,498
|
313,500
|
|
NetEase, Inc.
|
5,644,851
|
2,446,000
|
|
Netjoy Holdings Ltd.*
|
184,815
|
175,200
|
|
New Oriental Education & Technology Group, Inc.*
|
1,239,641
|
Shares
|
|
Description
|
Value ($)
|
|
|
China — continued
|
|
18,486
|
|
New Oriental Education & Technology Group, Inc., ADR*
|
1,354,654
|
479,000
|
|
Ningbo Sanxing Medical Electric Co. Ltd. Class A
|
1,384,549
|
39,771
|
|
OPT Machine Vision Tech Co. Ltd. Class A
|
628,064
|
99,328
|
|
PDD Holdings, Inc., ADR*
|
14,532,680
|
7,652,600
|
|
PetroChina Co. Ltd. Class H
|
5,056,946
|
1,894,400
|
|
PICC Property & Casualty Co. Ltd. Class H
|
2,251,382
|
164,890
|
|
Ping An Insurance Group Co. of China Ltd. Class A
|
936,954
|
1,090,500
|
|
Ping An Insurance Group Co. of China Ltd. Class H
|
4,936,790
|
193,500
|
|
Remegen Co. Ltd. Class H *(a)
|
928,031
|
862,750
|
|
Shandong Gold Mining Co. Ltd. Class H
|
1,637,430
|
389,000
|
|
Shandong Sinocera Functional Material Co. Ltd. Class A
|
1,268,109
|
1,653,200
|
|
Shandong Weigao Group Medical Polymer Co. Ltd. Class H (a)
|
1,611,164
|
105,800
|
|
Shanghai Moons' Electric Co. Ltd. Class A
|
982,337
|
271,957
|
|
Shanghai Yaoji Technology Co. Ltd. Class A
|
852,047
|
541,285
|
|
Shenzhen Envicool Technology Co. Ltd. Class A
|
2,097,306
|
367,400
|
|
Shenzhen Inovance Technology Co. Ltd. Class A
|
3,270,866
|
145,826
|
|
Shenzhen New Industries Biomedical Engineering Co. Ltd. Class A
|
1,607,906
|
189,000
|
|
Shenzhen Transsion Holdings Co. Ltd. Class A
|
3,688,221
|
388,400
|
|
Shenzhou International Group Holdings Ltd.
|
3,999,124
|
160,978
|
|
Sieyuan Electric Co. Ltd. Class A
|
1,181,198
|
232,000
|
|
Silergy Corp.
|
3,779,671
|
275,887
|
|
Sinoseal Holding Co. Ltd. Class A
|
1,470,422
|
396,000
|
|
Sunac China Holdings Ltd.*
|
76,071
|
289,500
|
|
Sunny Optical Technology Group Co. Ltd.
|
2,626,746
|
365,300
|
|
Suzhou Dongshan Precision Manufacturing Co. Ltd. Class A
|
936,403
|
921,600
|
|
Tencent Holdings Ltd.
|
34,651,985
|
212,000
|
|
Tencent Music Entertainment Group, ADR*
|
1,910,120
|
141,975
|
|
Thunder Software Technology Co. Ltd. Class A
|
1,602,679
|
5,056,000
|
|
Tingyi Cayman Islands Holding Corp.
|
6,164,156
|
570,800
|
|
Tongcheng Travel Holdings Ltd.*
|
1,055,555
|
96,086
|
|
Trip.com Group Ltd., ADR*
|
3,460,057
|
463,697
|
|
Venustech Group, Inc. Class A
|
1,765,294
|
276,800
|
|
Vipshop Holdings Ltd., ADR*
|
4,915,968
|
2,912,000
|
|
Weichai Power Co. Ltd. Class H
|
4,862,936
|
140,300
|
|
WuXi AppTec Co. Ltd. Class A
|
1,439,360
|
576,500
|
|
Wuxi Biologics Cayman, Inc.*
|
2,185,348
|
105,400
|
|
Xiamen Faratronic Co. Ltd. Class A
|
1,376,165
|
1,794,000
|
|
Xiaomi Corp. Class B *
|
3,584,071
|
3,913,000
|
|
Xinyi Glass Holdings Ltd.
|
4,389,788
|
61,408
|
|
Yankershop Food Co. Ltd. Class A
|
601,594
|
543,559
|
|
Yifeng Pharmacy Chain Co. Ltd. Class A
|
3,068,738
|
260,400
|
|
Yizumi Holdings Co. Ltd. Class A
|
647,310
|
105,131
|
|
Zhangzhou Pientzehuang Pharmaceutical Co. Ltd. Class A
|
3,587,131
|
129,000
|
|
Zhejiang Dingli Machinery Co. Ltd. Class A
|
930,731
|
231,100
|
|
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd. Class A
|
1,436,677
|
424,328
|
|
Zhejiang Sanhua Intelligent Controls Co. Ltd. Class A
|
1,759,009
|
2,837,000
|
|
Zijin Mining Group Co. Ltd. Class H
|
4,621,427
|
|
|
|
378,237,619
|
Shares
|
|
Description
|
Value ($)
|
|
|
Greece — 0.5%
|
|
201,865
|
|
Jumbo SA
|
5,601,514
|
256,000
|
|
National Bank of Greece SA*
|
1,778,752
|
|
|
|
7,380,266
|
|
|
Hong Kong — 2.3%
|
|
746,600
|
|
AIA Group Ltd.
|
6,506,474
|
667,900
|
|
ASMPT Ltd.
|
6,372,316
|
508,000
|
|
Chow Sang Sang Holdings International Ltd.
|
584,211
|
5,137,000
|
|
Hang Lung Properties Ltd.
|
7,157,611
|
41,300
|
|
Hong Kong Exchanges & Clearing Ltd.
|
1,417,472
|
16,229,000
|
|
Sino Biopharmaceutical Ltd.
|
7,211,919
|
1,555,000
|
|
Vinda International Holdings Ltd.
|
4,530,451
|
996,000
|
|
Vitasoy International Holdings Ltd.
|
992,358
|
|
|
|
34,772,812
|
|
|
Hungary — 0.4%
|
|
144,427
|
|
OTP Bank Nyrt
|
6,595,116
|
|
|
India — 14.7%
|
|
35,532
|
|
Apollo Hospitals Enterprise Ltd.
|
2,437,297
|
493,000
|
|
Ashok Leyland Ltd.
|
1,073,224
|
81,410
|
|
Asian Paints Ltd.
|
3,321,165
|
332,705
|
|
Aurobindo Pharma Ltd.
|
4,339,643
|
888,714
|
|
Axis Bank Ltd.
|
11,748,951
|
82,761
|
|
Bajaj Auto Ltd.
|
6,782,894
|
15,485
|
|
Bajaj Finance Ltd.
|
1,361,227
|
3,204,900
|
|
Bharat Electronics Ltd.
|
7,067,331
|
38,137
|
|
Britannia Industries Ltd.
|
2,447,698
|
302,000
|
|
Canara Bank
|
1,585,782
|
994,528
|
|
Cipla Ltd.
|
14,939,358
|
272,000
|
|
Coal India Ltd.
|
1,229,681
|
188,568
|
|
Colgate-Palmolive India Ltd.
|
5,725,560
|
222,300
|
|
Coromandel International Ltd.
|
3,341,963
|
148,643
|
|
Havells India Ltd.
|
2,443,184
|
410,965
|
|
HCL Technologies Ltd.
|
7,249,963
|
1,382,877
|
|
HDFC Bank Ltd.
|
28,394,980
|
82,295
|
|
Hindustan Unilever Ltd.
|
2,630,335
|
735,400
|
|
ICICI Bank Ltd.
|
8,823,342
|
645,816
|
|
IndusInd Bank Ltd.
|
12,385,667
|
437,546
|
|
Infosys Ltd.
|
8,111,404
|
173,994
|
|
InterGlobe Aviation Ltd.*
|
6,178,694
|
444,500
|
|
ITC Ltd.
|
2,467,849
|
502,113
|
|
Kotak Mahindra Bank Ltd.
|
11,488,764
|
31,000
|
|
Larsen & Toubro Ltd.
|
1,311,322
|
308,778
|
|
Mahindra & Mahindra Ltd.
|
6,400,890
|
13,500
|
|
Maruti Suzuki India Ltd.
|
1,671,298
|
86,873
|
|
Pidilite Industries Ltd.
|
2,829,222
|
427,476
|
|
Reliance Industries Ltd.
|
13,289,636
|
657,900
|
|
State Bank of India
|
5,073,373
|
Shares
|
|
Description
|
Value ($)
|
|
|
India — continued
|
|
386,491
|
|
Syngene International Ltd.
|
3,265,124
|
248,649
|
|
Tata Consultancy Services Ltd.
|
11,354,688
|
68,516
|
|
Tata Consumer Products Ltd.
|
896,654
|
297,000
|
|
Tata Motors Ltd.
|
2,781,773
|
54,086
|
|
Titan Co. Ltd.
|
2,395,705
|
808,000
|
|
Union Bank of India Ltd.
|
1,155,482
|
820,873
|
|
UPL Ltd.
|
5,797,444
|
168,610
|
|
Varun Beverages Ltd.
|
2,506,444
|
243,044
|
|
Yes Bank Ltd.*
|
62,503
|
|
|
|
218,367,514
|
|
|
Indonesia — 2.5%
|
|
20,073,600
|
|
Astra International Tbk.PT
|
7,366,100
|
26,520,200
|
|
Bank Central Asia Tbk. PT
|
16,190,809
|
4,936,600
|
|
Bank Mandiri Persero Tbk. PT
|
1,939,756
|
25,703,599
|
|
Bank Rakyat Indonesia Persero Tbk. PT
|
9,557,258
|
10,093,600
|
|
Telkom Indonesia Persero Tbk. PT
|
2,589,447
|
|
|
|
37,643,370
|
|
|
Italy — 0.8%
|
|
338,452
|
|
Coca-Cola HBC AG
|
9,945,118
|
308,700
|
|
PRADA SpA
|
1,765,175
|
|
|
|
11,710,293
|
|
|
Japan — 0.5%
|
|
436,000
|
|
Nexon Co. Ltd.(a)
|
7,946,531
|
|
|
Macau — 0.7%
|
|
422,000
|
|
Galaxy Entertainment Group Ltd.
|
2,364,395
|
2,770,400
|
|
Sands China Ltd.*
|
8,106,965
|
|
|
|
10,471,360
|
|
|
Malaysia — 0.8%
|
|
3,727,200
|
|
Petronas Chemicals Group Bhd.
|
5,807,780
|
6,258,800
|
|
Public Bank Bhd.
|
5,843,363
|
|
|
|
11,651,143
|
|
|
Mexico — 4.5%
|
|
309,671
|
|
Credito Real SAB de CV SOFOM ER*
|
6,400
|
2,878,100
|
|
Fibra Uno Administracion SA de CV, REIT
|
5,183,622
|
102,000
|
|
Fomento Economico Mexicano SAB de CV
|
1,333,899
|
162,445
|
|
Fomento Economico Mexicano SAB de CV, ADR
|
21,174,706
|
196,000
|
|
Grupo Aeroportuario del Pacifico SAB de CV Class B (a)
|
3,447,318
|
37,000
|
|
Grupo Aeroportuario del Sureste SAB de CV Class B
|
1,090,238
|
1,356,100
|
|
Grupo Financiero Banorte SAB de CV Class O
|
13,701,539
|
224,000
|
|
Grupo Mexico SAB de CV Series B
|
1,248,405
|
162,906
|
|
Unifin Financiera SAB de CV*(a)(b)(c)
|
11,544
|
4,623,399
|
|
Wal-Mart de Mexico SAB de CV(a)
|
19,490,652
|
|
|
|
66,688,323
|
Shares
|
|
Description
|
Value ($)
|
|
|
Netherlands — 0.8%
|
|
148,693
|
|
Heineken Holding NV(a)
|
12,581,837
|
|
|
Philippines — 1.1%
|
|
9,305,900
|
|
Ayala Land, Inc.
|
5,789,404
|
2,291,620
|
|
BDO Unibank, Inc.
|
5,400,568
|
2,173,920
|
|
Universal Robina Corp.
|
4,640,313
|
|
|
|
15,830,285
|
|
|
Poland — 0.4%
|
|
28,000
|
|
Bank Polska Kasa Opieki SA
|
1,082,688
|
28,371
|
|
Dino Polska SA*
|
3,323,929
|
85,000
|
|
Powszechny Zaklad Ubezpieczen SA
|
1,021,794
|
|
|
|
5,428,411
|
|
|
Portugal — 0.5%
|
|
293,092
|
|
Jeronimo Martins SGPS SA
|
7,459,525
|
|
|
Russia — 0.0%
|
|
214,920
|
|
Evraz PLC*(b)(c)(d)
|
5,480
|
7,610
|
|
Gazprom Neft PJSC(b)(c)(d)
|
341
|
1,043,282
|
|
Gazprom PJSC*(b)(c)(d)
|
27,074
|
99,121
|
|
Globaltrans Investment PLC, GDR*(b)(c)(d)(e)
|
3,965
|
5,000
|
|
HeadHunter Group PLC, ADR*(b)(c)(d)
|
750
|
44,258
|
|
LSR Group PJSC(b)(c)(d)
|
2,574
|
136,755
|
|
LUKOIL PJSC(b)(c)(d)
|
76,179
|
8,543
|
|
Magnit PJSC(b)(c)(d)
|
2,962
|
984,659
|
|
Magnitogorsk Iron & Steel Works PJSC*(b)(c)(d)
|
5,325
|
16,459
|
|
MMC Norilsk Nickel PJSC(b)(c)(d)
|
36,821
|
9
|
|
MMC Norilsk Nickel PJSC, ADR*(b)(c)(d)
|
2
|
126,700
|
|
Mobile TeleSystems PJSC, ADR*(b)(c)(d)
|
7,602
|
154,250
|
|
Novatek PJSC(b)(c)(d)
|
21,222
|
1,715,500
|
|
Novolipetsk Steel PJSC*(b)(c)(d)
|
35,980
|
5,323
|
|
PhosAgro PJSC(b)(c)(d)
|
3,063
|
103
|
|
PhosAgro PJSC, ADR*(b)(c)(d)
|
19
|
2
|
|
PhosAgro PJSC, GDR*(b)(c)(d)(e)
|
0
|
443,510
|
|
Polymetal International PLC*(c)
|
—
|
25,062
|
|
Polyus PJSC*(b)(c)(d)
|
31,185
|
4,954
|
|
Ros Agro PLC, GDR*(b)(c)(d)(e)
|
495
|
5,496,180
|
|
Sberbank of Russia PJSC(b)(c)(d)
|
79,922
|
105,511
|
|
Severstal PAO, GDR*(b)(c)(d)(e)
|
16,882
|
25,625,090
|
|
Surgutneftegas PJSC(b)(c)(d)
|
63,060
|
598,704
|
|
Tatneft PJSC(b)(c)(d)
|
24,645
|
8,773
|
|
TCS Group Holding PLC, GDR*(b)(c)(d)(e)(f)
|
3,158
|
16,391
|
|
TCS Group Holding PLC, GDR*(b)(c)(d)(e)(f)
|
6,094
|
47,122
|
|
X5 Retail Group NV, GDR*(b)(c)(d)(e)
|
5,655
|
|
|
|
460,455
|
|
|
Saudi Arabia — 0.4%
|
|
754,511
|
|
Saudi Arabian Oil Co.
|
6,649,757
|
Shares
|
|
Description
|
Value ($)
|
|
|
Singapore — 0.3%
|
|
2,018,300
|
|
Singapore Telecommunications Ltd.
|
3,779,244
|
|
|
South Africa — 2.1%
|
|
457,620
|
|
Absa Group Ltd.
|
4,096,622
|
76,000
|
|
Bid Corp. Ltd.
|
1,773,091
|
19,651
|
|
Capitec Bank Holdings Ltd.
|
2,177,444
|
367,042
|
|
Clicks Group Ltd.
|
6,537,211
|
71,000
|
|
Gold Fields Ltd.
|
1,078,462
|
6,558,229
|
|
Growthpoint Properties Ltd., REIT
|
4,188,660
|
131,559
|
|
Lewis Group Ltd.
|
309,339
|
150,400
|
|
Nedbank Group Ltd.
|
1,778,318
|
4,905,736
|
|
Sibanye Stillwater Ltd.
|
6,679,580
|
171,100
|
|
Standard Bank Group Ltd.
|
1,947,008
|
|
|
|
30,565,735
|
|
|
South Korea — 8.3%
|
|
70,009
|
|
Amorepacific Corp.
|
7,882,060
|
52,200
|
|
Hana Financial Group, Inc.
|
1,759,050
|
279,725
|
|
HL Mando Co. Ltd.
|
8,546,610
|
12,000
|
|
Hyundai Mobis Co. Ltd.
|
2,208,246
|
30,000
|
|
Hyundai Motor Co.
|
4,740,275
|
44,700
|
|
JYP Entertainment Corp.
|
3,515,886
|
66,300
|
|
KB Financial Group, Inc.
|
2,785,022
|
85,000
|
|
Kia Corp.
|
6,599,891
|
178,564
|
|
Korea Investment Holdings Co. Ltd.
|
8,499,086
|
485,831
|
|
Samsung Electronics Co. Ltd.
|
29,612,341
|
300
|
|
Samsung Electronics Co. Ltd., GDR(e)(f)
|
449,400
|
3,105
|
|
Samsung Electronics Co. Ltd., GDR(e)(f)
|
4,651,290
|
230,857
|
|
Shinhan Financial Group Co. Ltd.
|
7,196,916
|
235,577
|
|
SK Hynix, Inc.
|
25,882,557
|
184,816
|
|
SK Telecom Co. Ltd.
|
7,189,441
|
118,800
|
|
Woori Financial Group, Inc.
|
1,199,162
|
|
|
|
122,717,233
|
|
|
Taiwan — 13.5%
|
|
137,500
|
|
Accton Technology Corp.
|
2,343,152
|
991,792
|
|
Advantech Co. Ltd.
|
12,021,525
|
16,000
|
|
Alchip Technologies Ltd.
|
1,707,369
|
182,100
|
|
Asia Vital Components Co. Ltd.
|
1,996,600
|
19,000
|
|
ASPEED Technology, Inc.
|
1,931,542
|
137,000
|
|
Asustek Computer, Inc.
|
2,185,090
|
1,338,795
|
|
Bizlink Holding, Inc.
|
11,647,196
|
5,123,135
|
|
Cathay Financial Holding Co. Ltd.
|
7,637,002
|
710,000
|
|
Chailease Holding Co. Ltd.
|
4,464,900
|
2,990,000
|
|
CTBC Financial Holding Co. Ltd.
|
2,761,978
|
254,300
|
|
Delta Electronics, Inc.
|
2,597,646
|
141,000
|
|
Elite Material Co. Ltd.
|
1,755,006
|
34,000
|
|
eMemory Technology, Inc.
|
2,714,195
|
1,144,762
|
|
Fubon Financial Holding Co. Ltd.
|
2,417,053
|
Shares
|
|
Description
|
Value ($)
|
|
|
Taiwan — continued
|
|
50,700
|
|
Global Unichip Corp.
|
2,874,440
|
329,000
|
|
Gold Circuit Electronics Ltd.
|
2,336,945
|
1,077,000
|
|
Hiwin Technologies Corp.
|
8,246,689
|
120,000
|
|
Largan Precision Co. Ltd.
|
11,221,714
|
201,000
|
|
Makalot Industrial Co. Ltd.
|
2,321,712
|
764,000
|
|
MediaTek, Inc.
|
25,267,102
|
260,000
|
|
Micro-Star International Co. Ltd.
|
1,728,222
|
224,000
|
|
Novatek Microelectronics Corp.
|
3,773,415
|
7,692
|
|
Pharmally International Holding Co. Ltd.*(b)(c)
|
—
|
948,998
|
|
President Chain Store Corp.
|
8,333,359
|
1,722,424
|
|
Taiwan Semiconductor Manufacturing Co. Ltd.
|
33,280,573
|
328,697
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
34,184,488
|
114,000
|
|
Voltronic Power Technology Corp.
|
6,351,803
|
38,000
|
|
Wiwynn Corp.
|
2,259,657
|
|
|
|
200,360,373
|
|
|
Thailand — 3.1%
|
|
2,104,900
|
|
Airports of Thailand PCL Class F
|
3,684,693
|
581,000
|
|
Bangkok Bank PCL Class F
|
2,663,927
|
4,945,300
|
|
Bangkok Dusit Medical Services PCL Class F
|
4,020,569
|
152,000
|
|
Bumrungrad Hospital PCL Class F
|
988,618
|
1,380,800
|
|
Kasikornbank PCL Class F
|
5,461,305
|
3,708,000
|
|
Krung Thai Bank PCL Class F
|
1,998,893
|
2,727,900
|
|
PTT Exploration & Production PCL Class F
|
11,948,174
|
377,100
|
|
Siam Cement PCL Class F
|
3,380,725
|
14,715,200
|
|
Thai Beverage PCL
|
5,856,629
|
13,761,800
|
|
Thai Union Group PCL Class F
|
6,047,814
|
|
|
|
46,051,347
|
|
|
Turkey — 0.9%
|
|
2,764,000
|
|
Akbank TAS
|
3,417,799
|
392,105
|
|
BIM Birlesik Magazalar AS
|
3,992,875
|
558,000
|
|
Turk Hava Yollari AO*
|
4,319,049
|
1,836,000
|
|
Turkiye Is Bankasi AS Class C
|
1,452,190
|
|
|
|
13,181,913
|
|
|
United Arab Emirates — 0.4%
|
|
1,911,245
|
|
Abu Dhabi National Oil Co. for Distribution PJSC
|
1,925,426
|
1,072,960
|
|
First Abu Dhabi Bank PJSC
|
4,078,285
|
|
|
|
6,003,711
|
|
|
United Kingdom — 0.4%
|
|
136,002
|
|
Unilever PLC
|
6,588,261
|
|
|
United States — 0.3%
|
|
19,502
|
|
Globant SA*
|
4,641,086
|
|
|
TOTAL COMMON STOCKS (COST $1,462,011,059)
|
1,410,690,648
|
Shares
|
|
Description
|
Value ($)
|
|
|||
|
|
PREFERRED STOCKS — 1.1%
|
|
|
|
Brazil — 1.1%
|
|
2,498,200
|
|
Banco Bradesco SA, 9.93%
|
8,789,163
|
266,000
|
|
Itau Unibanco Holding SA, 3.70%
|
1,860,182
|
711,000
|
|
Petroleo Brasileiro SA, 8.49%
|
5,450,766
|
|
|
|
16,100,111
|
|
|
TOTAL PREFERRED STOCKS (COST $13,448,909)
|
16,100,111
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
SHORT-TERM INVESTMENT — 1.0%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 1.0%
|
|
14,710,604
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(g)(h)
|
14,710,604
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $14,710,604)
|
14,710,604
|
|
|
TOTAL INVESTMENTS — 96.9%
(Cost $1,490,170,572)
|
1,441,501,363
|
|
|
Other Assets and Liabilities (net) — 3.1%
|
45,853,558
|
|
|
NET ASSETS — 100.0%
|
$1,487,354,921
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of this security is out on loan.
|
(b)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
(c)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $471,999 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2023 was $94,585,787.
|
(d)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $460,455 which represents 0.0% of net assets. The
aggregate cost of these securities held at December 31, 2023 was $85,541,075.
|
(e)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
(f)
|
Securities are traded on separate exchanges for the same entity.
|
(g)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(h)
|
Represents an investment of securities lending cash collateral.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
1,393
|
MSCI Emerging Markets E-mini Index
|
Mar 2024
|
$71,997,205
|
$2,698,964
|
Abbreviations
|
||
ADR
|
—
|
American Depository Receipt
|
GDR
|
—
|
Global Depository Receipt
|
REIT
|
—
|
Real Estate Investment Trust
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
Financial
|
21.3
|
Technology
|
17.6
|
Consumer, Non-cyclical
|
15.2
|
Consumer, Cyclical
|
13.4
|
Communications
|
11.3
|
Industrial
|
8.1
|
Energy
|
4.6
|
Basic Materials
|
3.4
|
Utilities
|
0.8
|
Diversified
|
0.2
|
Short-Term Investment
|
1.0
|
Other Assets and Liabilities (net)
|
3.1
|
|
100.0%
|
Shares
|
|
Description
|
Value ($)
|
|
|
COMMON STOCKS — 96.3%
|
|
|
|
Australia — 1.5%
|
|
116,244
|
|
ANZ Group Holdings Ltd.
|
2,055,950
|
22,038
|
|
BlueScope Steel Ltd.
|
351,880
|
229,598
|
|
Brambles Ltd.
|
2,130,660
|
675
|
|
Cochlear Ltd.
|
137,563
|
24,704
|
|
Northern Star Resources Ltd.
|
230,095
|
29,265
|
|
Orica Ltd.
|
318,305
|
274,449
|
|
Perseus Mining Ltd.
|
346,450
|
6,401
|
|
Pro Medicus Ltd.
|
418,559
|
12,027
|
|
REA Group Ltd.
|
1,486,629
|
19,455
|
|
Rio Tinto PLC
|
1,448,888
|
6,971
|
|
Rio Tinto PLC, ADR(a)
|
519,061
|
228,927
|
|
Sonic Healthcare Ltd.
|
5,011,162
|
5,350
|
|
Wesfarmers Ltd.
|
208,229
|
5,824
|
|
Woolworths Group Ltd.
|
147,833
|
|
|
|
14,811,264
|
|
|
Belgium — 0.0%
|
|
11
|
|
Deme Group NV
|
1,354
|
|
|
Bermuda — 0.2%
|
|
12,373
|
|
RenaissanceRe Holdings Ltd.
|
2,425,108
|
|
|
Canada — 3.7%
|
|
31,100
|
|
Alimentation Couche-Tard, Inc.
|
1,840,386
|
64,200
|
|
Atco Ltd. Class I
|
1,882,765
|
45,012
|
|
BCE, Inc.(a)
|
1,772,573
|
131,268
|
|
Canadian Pacific Kansas City Ltd.(a)
|
10,378,048
|
33,400
|
|
Canadian Utilities Ltd. Class A
|
807,770
|
32,500
|
|
CCL Industries, Inc. Class B
|
1,468,736
|
641
|
|
E-L Financial Corp. Ltd.(a)
|
509,562
|
79,100
|
|
Empire Co. Ltd. Class A
|
2,102,575
|
6,100
|
|
Evertz Technologies Ltd.
|
64,442
|
8,000
|
|
Franco-Nevada Corp.
|
890,460
|
23,100
|
|
George Weston Ltd.(a)
|
2,881,806
|
900
|
|
Great-West Lifeco, Inc.
|
29,936
|
400
|
|
iA Financial Corp., Inc.
|
27,402
|
4,900
|
|
Loblaw Cos. Ltd.
|
476,697
|
8,500
|
|
Metro, Inc.
|
442,147
|
23,000
|
|
National Bank of Canada
|
1,761,717
|
70,200
|
|
North West Co., Inc.(a)
|
2,090,667
|
65,600
|
|
Power Corp. of Canada(a)
|
1,885,017
|
60,300
|
|
SSR Mining, Inc.
|
648,828
|
10,800
|
|
Sun Life Financial, Inc.
|
562,852
|
200
|
|
Thomson Reuters Corp.
|
29,384
|
99,500
|
|
TMX Group Ltd.
|
2,418,455
|
224,400
|
|
Whitecap Resources, Inc.(a)
|
1,509,501
|
Shares
|
|
Description
|
Value ($)
|
|
|
Canada — continued
|
|
31,700
|
|
Winpak Ltd.(a)
|
983,263
|
|
|
|
37,464,989
|
|
|
China — 0.7%
|
|
189,000
|
|
BOC Hong Kong Holdings Ltd.
|
513,130
|
2,331,162
|
|
CITIC Telecom International Holdings Ltd.
|
979,210
|
30,500
|
|
Kerry Logistics Network Ltd.
|
32,107
|
62,106
|
|
NetEase, Inc., ADR
|
5,785,795
|
|
|
|
7,310,242
|
|
|
Denmark — 0.6%
|
|
144
|
|
AP Moller - Maersk AS Class B
|
259,050
|
1,878
|
|
Ascendis Pharma AS, ADR*
|
236,534
|
14,672
|
|
Carlsberg AS Class B
|
1,841,080
|
1,049
|
|
Danske Bank AS
|
28,042
|
3,247
|
|
DSV AS
|
570,409
|
2,509
|
|
Genmab AS*
|
801,217
|
260
|
|
Novo Nordisk AS, ADR
|
26,897
|
21,220
|
|
Novo Nordisk AS Class B
|
2,195,156
|
1,427
|
|
Schouw & Co. AS
|
116,937
|
8,933
|
|
Spar Nord Bank AS
|
141,110
|
1,148
|
|
Sparekassen Sjaelland-Fyn AS
|
33,989
|
|
|
|
6,250,421
|
|
|
Finland — 0.0%
|
|
5,837
|
|
Kemira Oyj
|
108,259
|
|
|
France — 4.1%
|
|
14,804
|
|
Air Liquide SA
|
2,880,133
|
70,474
|
|
Airbus SE
|
10,881,749
|
1,950
|
|
Boiron SA
|
86,637
|
11,885
|
|
Bureau Veritas SA
|
300,255
|
5,397
|
|
Credit Agricole SA
|
76,621
|
28,147
|
|
Danone SA
|
1,824,513
|
1,590
|
|
Dassault Aviation SA
|
314,746
|
27,882
|
|
Dassault Systemes SE
|
1,362,432
|
16,455
|
|
Eiffage SA
|
1,763,534
|
531
|
|
Interparfums SA
|
29,563
|
26,632
|
|
Legrand SA
|
2,768,332
|
177,387
|
|
Orange SA
|
2,019,075
|
17,354
|
|
Rubis SCA
|
431,327
|
35,735
|
|
Safran SA
|
6,294,631
|
4,673
|
|
Societe BIC SA
|
324,434
|
214
|
|
Societe LDC SADIR
|
33,095
|
9,940
|
|
SPIE SA
|
310,740
|
1,108
|
|
Stef SA
|
139,775
|
186
|
|
Thales SA
|
27,522
|
540
|
|
Vetoquinol SA
|
61,083
|
Shares
|
|
Description
|
Value ($)
|
|
|
France — continued
|
|
78,194
|
|
Vinci SA
|
9,821,066
|
|
|
|
41,751,263
|
|
|
Georgia — 0.2%
|
|
45,781
|
|
Bank of Georgia Group PLC
|
2,319,874
|
|
|
Germany — 1.5%
|
|
77,074
|
|
Beiersdorf AG
|
11,553,472
|
1,693
|
|
Deutsche Boerse AG
|
348,787
|
20,517
|
|
Deutsche Telekom AG
|
492,944
|
2,067
|
|
E.ON SE
|
27,742
|
1,571
|
|
KWS Saat SE & Co. KGaA
|
93,191
|
2,414
|
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
|
1,000,251
|
14,002
|
|
SAP SE
|
2,157,381
|
2,879
|
|
Wuestenrot & Wuerttembergische AG
|
42,425
|
|
|
|
15,716,193
|
|
|
Hong Kong — 0.7%
|
|
104,251
|
|
Bank of East Asia Ltd.
|
128,702
|
352,136
|
|
Dah Sing Banking Group Ltd.
|
227,285
|
342,000
|
|
Emperor International Holdings Ltd.
|
16,862
|
580,500
|
|
HK Electric Investments & HK Electric Investments Ltd.(b)
|
350,149
|
1,661,000
|
|
HKT Trust & HKT Ltd.
|
1,982,509
|
16,000
|
|
Hong Kong Ferry Holdings Co. Ltd.
|
9,405
|
10,000
|
|
Jardine Matheson Holdings Ltd.
|
412,100
|
249,000
|
|
Langham Hospitality Investments & Langham Hospitality Investments Ltd.
|
21,365
|
12,000
|
|
Miramar Hotel & Investment
|
16,444
|
1,932,000
|
|
PCCW Ltd.
|
1,029,272
|
140,500
|
|
Power Assets Holdings Ltd.
|
814,188
|
300,000
|
|
Regal Hotels International Holdings Ltd.*
|
110,648
|
193,902
|
|
Regal Real Estate Investment Trust, REIT
|
15,148
|
110,855
|
|
SmarTone Telecommunications Holdings Ltd.
|
57,638
|
58,000
|
|
Transport International Holdings Ltd.
|
69,969
|
230,163
|
|
VTech Holdings Ltd.
|
1,389,782
|
3,000
|
|
Wing On Co. International Ltd.
|
4,641
|
|
|
|
6,656,107
|
|
|
Israel — 1.1%
|
|
52,428
|
|
Check Point Software Technologies Ltd.*
|
8,010,474
|
41,841
|
|
First International Bank Of Israel Ltd.
|
1,717,376
|
3
|
|
Isracard Ltd.
|
10
|
950,732
|
|
Isramco Negev 2 LP
|
398,680
|
5,129
|
|
Nice Ltd., ADR*(a)
|
1,023,287
|
17,263
|
|
Radware Ltd.*
|
287,947
|
1,234
|
|
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd.
|
69,155
|
|
|
|
11,506,929
|
|
|
Italy — 0.0%
|
|
16,100
|
|
Ferretti SpA(a)
|
51,134
|
Shares
|
|
Description
|
Value ($)
|
|
|
Italy — continued
|
|
136,967
|
|
UnipolSai Assicurazioni SpA(a)
|
341,939
|
|
|
|
393,073
|
|
|
Japan — 4.7%
|
|
13,100
|
|
Aica Kogyo Co. Ltd.
|
317,046
|
14,900
|
|
Amano Corp.
|
353,212
|
32,300
|
|
Anritsu Corp.
|
311,705
|
50,700
|
|
Arcs Co. Ltd.
|
1,000,478
|
4,800
|
|
Artience Co. Ltd.(a)
|
89,511
|
13,100
|
|
Autobacs Seven Co. Ltd.
|
144,957
|
7,200
|
|
Axial Retailing, Inc.
|
212,200
|
1,000
|
|
Belc Co. Ltd.
|
44,333
|
12,100
|
|
Canon Marketing Japan, Inc.
|
367,000
|
15,200
|
|
Canon, Inc.(a)
|
390,296
|
4,000
|
|
Cawachi Ltd.
|
75,301
|
6,200
|
|
COLOPL, Inc.
|
25,991
|
41,100
|
|
COMSYS Holdings Corp.
|
906,660
|
9,000
|
|
Dai Nippon Printing Co. Ltd.
|
266,399
|
9,100
|
|
Doshisha Co. Ltd.
|
134,518
|
14,000
|
|
EDION Corp.
|
156,107
|
73,300
|
|
ENEOS Holdings, Inc.
|
291,370
|
29,800
|
|
EXEO Group, Inc.
|
662,668
|
34,500
|
|
Ezaki Glico Co. Ltd.(a)
|
1,021,687
|
4,800
|
|
Fujicco Co. Ltd.
|
66,052
|
21,600
|
|
FUJIFILM Holdings Corp.
|
1,298,176
|
8,300
|
|
Hamamatsu Photonics KK
|
341,467
|
24,600
|
|
Heiwado Co. Ltd.
|
372,193
|
42,200
|
|
Honda Motor Co. Ltd.
|
438,823
|
43,000
|
|
House Foods Group, Inc.
|
950,099
|
29,100
|
|
Itochu Enex Co. Ltd.
|
317,256
|
4,600
|
|
Itoham Yonekyu Holdings, Inc.
|
125,784
|
145,600
|
|
Japan Post Bank Co. Ltd.
|
1,483,059
|
6,300
|
|
Japan Post Holdings Co. Ltd.
|
56,283
|
106,601
|
|
Japan Tobacco, Inc.(a)
|
2,756,140
|
43,855
|
|
Kaken Pharmaceutical Co. Ltd.
|
1,043,648
|
38,200
|
|
Kamigumi Co. Ltd.
|
912,053
|
15,800
|
|
Kato Sangyo Co. Ltd.
|
514,974
|
33,600
|
|
Kewpie Corp.
|
592,135
|
9,500
|
|
Kinden Corp.
|
161,456
|
20,000
|
|
Kobayashi Pharmaceutical Co. Ltd.
|
963,257
|
1,900
|
|
Komeri Co. Ltd.
|
41,644
|
64,300
|
|
Kyorin Pharmaceutical Co. Ltd.
|
811,846
|
36,700
|
|
Lawson, Inc.
|
1,895,915
|
1,500
|
|
Lintec Corp.
|
29,259
|
2,900
|
|
Maruichi Steel Tube Ltd.
|
75,472
|
1,900
|
|
McDonald's Holdings Co. Japan Ltd.
|
82,345
|
9,600
|
|
Medipal Holdings Corp.
|
155,631
|
22,300
|
|
Megmilk Snow Brand Co. Ltd.
|
334,389
|
95,400
|
|
MEIJI Holdings Co. Ltd.
|
2,266,241
|
Shares
|
|
Description
|
Value ($)
|
|
|
Japan — continued
|
|
2,300
|
|
Miroku Jyoho Service Co. Ltd.
|
28,648
|
146,800
|
|
Mitsubishi Electric Corp.
|
2,081,524
|
26,600
|
|
Mitsubishi Shokuhin Co. Ltd.
|
907,547
|
1,700
|
|
Mitsui Mining & Smelting Co. Ltd.
|
52,273
|
28,800
|
|
Mochida Pharmaceutical Co. Ltd.
|
668,010
|
9,600
|
|
Morinaga & Co. Ltd.
|
174,220
|
3,300
|
|
NEC Corp.
|
195,453
|
11,000
|
|
NH Foods Ltd.
|
372,961
|
13,700
|
|
Nikkon Holdings Co. Ltd.
|
299,305
|
1,300
|
|
Nintendo Co. Ltd.
|
67,859
|
68,100
|
|
Nippn Corp.
|
1,073,814
|
5,700
|
|
Nippon Kayaku Co. Ltd.
|
54,400
|
45,500
|
|
Nippon Light Metal Holdings Co. Ltd.
|
565,765
|
1,554,200
|
|
Nippon Telegraph & Telephone Corp.
|
1,899,480
|
7,000
|
|
Nisshin Oillio Group Ltd.
|
213,009
|
48,200
|
|
Nisshin Seifun Group, Inc.
|
649,083
|
200
|
|
Obic Co. Ltd.
|
34,466
|
57,600
|
|
Okinawa Cellular Telephone Co.
|
1,383,005
|
18,000
|
|
Ono Pharmaceutical Co. Ltd.
|
321,237
|
29,600
|
|
Osaka Gas Co. Ltd.
|
618,329
|
33,400
|
|
Otsuka Holdings Co. Ltd.
|
1,253,033
|
7,300
|
|
Raito Kogyo Co. Ltd.
|
97,865
|
800
|
|
S&B Foods, Inc.
|
23,493
|
17,700
|
|
San-A Co. Ltd.
|
571,879
|
23,400
|
|
Sankyo Co. Ltd.
|
1,364,862
|
1,500
|
|
Sankyu, Inc.
|
55,125
|
17,300
|
|
Secom Co. Ltd.
|
1,246,145
|
4,600
|
|
Senko Group Holdings Co. Ltd.
|
37,262
|
10,400
|
|
Shinmaywa Industries Ltd.
|
86,753
|
18,159
|
|
Showa Sangyo Co. Ltd.
|
407,669
|
191,600
|
|
SoftBank Corp.
|
2,391,263
|
3,900
|
|
Sundrug Co. Ltd.
|
125,371
|
2,700
|
|
Teijin Ltd.
|
25,596
|
29,500
|
|
Toho Holdings Co. Ltd.
|
674,202
|
1,611
|
|
TOKAI Holdings Corp.
|
11,004
|
25,700
|
|
Trend Micro, Inc.*
|
1,375,965
|
16,400
|
|
USS Co. Ltd.
|
329,908
|
2,500
|
|
Valor Holdings Co. Ltd.
|
43,286
|
35,900
|
|
Vital KSK Holdings, Inc.
|
265,850
|
5,400
|
|
Yaoko Co. Ltd.(a)
|
309,069
|
9,700
|
|
Zenkoku Hosho Co. Ltd.
|
365,694
|
|
|
|
47,578,718
|
|
|
Jordan — 0.0%
|
|
1,226
|
|
Hikma Pharmaceuticals PLC
|
27,960
|
|
|
Netherlands — 1.9%
|
|
18,821
|
|
ASML Holding NV
|
14,172,966
|
61,181
|
|
Koninklijke Ahold Delhaize NV
|
1,758,187
|
Shares
|
|
Description
|
Value ($)
|
|
|
Netherlands — continued
|
|
61,224
|
|
Shell PLC(a)(c)
|
2,015,407
|
16,414
|
|
Shell PLC(c)
|
538,075
|
8,007
|
|
Wolters Kluwer NV
|
1,138,343
|
|
|
|
19,622,978
|
|
|
New Zealand — 0.3%
|
|
791,811
|
|
Spark New Zealand Ltd.
|
2,596,915
|
|
|
Norway — 0.6%
|
|
49,854
|
|
DNB Bank ASA
|
1,060,337
|
58,556
|
|
Equinor ASA
|
1,857,461
|
3,317
|
|
Kongsberg Gruppen ASA
|
152,006
|
103,425
|
|
Orkla ASA
|
802,902
|
28,674
|
|
SpareBank 1 SMN
|
400,364
|
23,802
|
|
SpareBank 1 SR-Bank ASA
|
302,104
|
27,177
|
|
Sparebanken Vest
|
292,758
|
75,143
|
|
Telenor ASA
|
862,735
|
16,762
|
|
Veidekke ASA
|
168,681
|
|
|
|
5,899,348
|
|
|
Singapore — 0.6%
|
|
13,600
|
|
Frasers Property Ltd.
|
9,124
|
12,000
|
|
Great Eastern Holdings Ltd.
|
160,109
|
44,804
|
|
Hong Leong Finance Ltd.
|
84,914
|
46,849
|
|
Netlink NBN Trust(b)
|
29,833
|
227,800
|
|
Oversea-Chinese Banking Corp. Ltd.
|
2,245,016
|
11,100
|
|
SBS Transit Ltd.
|
22,468
|
1,787,301
|
|
Sheng Siong Group Ltd.
|
2,167,904
|
223,500
|
|
Singapore Exchange Ltd.
|
1,665,533
|
33,000
|
|
Singapore Land Group Ltd.
|
49,784
|
|
|
|
6,434,685
|
|
|
South Korea — 0.4%
|
|
2,634
|
|
Samsung Electronics Co. Ltd., GDR(b)
|
3,945,732
|
|
|
Spain — 1.3%
|
|
50,204
|
|
Aena SME SA
|
9,100,634
|
60,089
|
|
Cia de Distribucion Integral Logista Holdings SA
|
1,624,917
|
3,070
|
|
Ebro Foods SA
|
52,632
|
62,956
|
|
Industria de Diseno Textil SA
|
2,742,134
|
|
|
|
13,520,317
|
|
|
Sweden — 0.1%
|
|
4,165
|
|
Atea ASA*
|
52,987
|
40,205
|
|
Volvo AB Class B
|
1,044,037
|
|
|
|
1,097,024
|
|
|
Switzerland — 1.5%
|
|
45,057
|
|
ABB Ltd.
|
1,996,823
|
1,348
|
|
Banque Cantonale de Geneve
|
360,364
|
Shares
|
|
Description
|
Value ($)
|
|
|
Switzerland — continued
|
|
168
|
|
Basellandschaftliche Kantonalbank
|
170,864
|
1,719
|
|
Berner Kantonalbank AG(a)
|
482,010
|
8,128
|
|
BKW AG
|
1,443,755
|
153
|
|
Chocoladefabriken Lindt & Spruengli AG
|
1,834,219
|
1,457
|
|
Emmi AG
|
1,577,053
|
15
|
|
Graubuendner Kantonalbank
|
30,298
|
402
|
|
Huber & Suhner AG
|
32,479
|
2,119
|
|
Kuehne & Nagel International AG
|
729,622
|
5,472
|
|
Landis+Gyr Group AG
|
494,115
|
1,346
|
|
Logitech International SA
|
127,555
|
27,036
|
|
Novartis AG
|
2,726,246
|
685
|
|
Sonova Holding AG
|
223,328
|
18,647
|
|
Swiss Prime Site AG
|
1,990,653
|
1,745
|
|
Swisscom AG
|
1,049,094
|
|
|
|
15,268,478
|
|
|
United Kingdom — 3.3%
|
|
308,840
|
|
BAE Systems PLC
|
4,372,140
|
19,329
|
|
BP PLC, ADR
|
684,247
|
4,643
|
|
British American Tobacco PLC, ADR(a)
|
135,993
|
37,453
|
|
Bunzl PLC
|
1,523,068
|
43,497
|
|
Centrica PLC
|
77,990
|
1,742
|
|
Cranswick PLC
|
84,564
|
272,779
|
|
Diageo PLC
|
9,931,414
|
2,425
|
|
Games Workshop Group PLC
|
305,120
|
1,779
|
|
Hill & Smith PLC
|
43,271
|
7,399
|
|
Imperial Brands PLC
|
170,393
|
71,160
|
|
RELX PLC
|
2,821,228
|
54,871
|
|
Rightmove PLC
|
402,629
|
192,079
|
|
Sage Group PLC
|
2,871,010
|
360,011
|
|
Spirent Communications PLC
|
565,875
|
229,258
|
|
St. James's Place PLC
|
1,997,876
|
7,618
|
|
Tesco PLC
|
28,212
|
145,747
|
|
Unilever PLC
|
7,060,631
|
|
|
|
33,075,661
|
|
|
United States — 67.3%
|
|
43,600
|
|
Abbott Laboratories
|
4,799,052
|
24,400
|
|
AbbVie, Inc.
|
3,781,268
|
14,237
|
|
Accenture PLC Class A
|
4,995,906
|
4,100
|
|
Acuity Brands, Inc.
|
839,803
|
8,575
|
|
Adobe, Inc.*
|
5,115,845
|
31,600
|
|
Albertsons Cos., Inc. Class A
|
726,800
|
163,950
|
|
Alphabet, Inc. Class A *
|
22,902,175
|
68,900
|
|
Altria Group, Inc.
|
2,779,426
|
91,858
|
|
Amazon.com, Inc.*
|
13,956,905
|
38,571
|
|
Amdocs Ltd.
|
3,390,005
|
1,678
|
|
Ameren Corp.
|
121,387
|
16,700
|
|
American Express Co.
|
3,128,578
|
Shares
|
|
Description
|
Value ($)
|
|
|
United States — continued
|
|
200
|
|
Ameriprise Financial, Inc.
|
75,966
|
12,100
|
|
Amgen, Inc.
|
3,485,042
|
346
|
|
ANSYS, Inc.*
|
125,556
|
34,000
|
|
Apple, Inc.
|
6,546,020
|
17,200
|
|
Arch Capital Group Ltd.*
|
1,277,444
|
41,700
|
|
Archer-Daniels-Midland Co.
|
3,011,574
|
2,200
|
|
Arista Networks, Inc.*
|
518,122
|
1,184
|
|
Arthur J Gallagher & Co.
|
266,258
|
100,500
|
|
AT&T, Inc.
|
1,686,390
|
39,780
|
|
Autodesk, Inc.*
|
9,685,634
|
47,597
|
|
Automatic Data Processing, Inc.
|
11,088,673
|
160
|
|
AutoZone, Inc.*
|
413,698
|
26,100
|
|
Axis Capital Holdings Ltd.
|
1,445,157
|
4,300
|
|
Bank of New York Mellon Corp.
|
223,815
|
40,361
|
|
Becton Dickinson & Co.
|
9,841,223
|
16,472
|
|
Berkshire Hathaway, Inc. Class B *
|
5,874,904
|
7,300
|
|
Biogen, Inc.*
|
1,889,021
|
9,800
|
|
BioMarin Pharmaceutical, Inc.*
|
944,916
|
15,379
|
|
Bio-Rad Laboratories, Inc. Class A *
|
4,965,725
|
3,588
|
|
Booking Holdings, Inc.*
|
12,727,425
|
46,855
|
|
Bristol-Myers Squibb Co.
|
2,404,130
|
6,027
|
|
Broadcom, Inc.
|
6,727,639
|
6,200
|
|
CACI International, Inc. Class A *
|
2,007,932
|
16,135
|
|
Cadence Design Systems, Inc.*
|
4,394,690
|
24,200
|
|
Cardinal Health, Inc.
|
2,439,360
|
8,800
|
|
Casey's General Stores, Inc.
|
2,417,712
|
90,653
|
|
Catalent, Inc.*
|
4,073,039
|
600
|
|
Caterpillar, Inc.
|
177,402
|
18,300
|
|
Cboe Global Markets, Inc.
|
3,267,648
|
7,400
|
|
CDW Corp.
|
1,682,168
|
6,500
|
|
Cencora, Inc.
|
1,334,970
|
5,300
|
|
CH Robinson Worldwide, Inc.
|
457,867
|
58,110
|
|
Charles Schwab Corp.
|
3,997,968
|
17,082
|
|
Charter Communications, Inc. Class A *
|
6,639,432
|
3,900
|
|
Chemed Corp.
|
2,280,525
|
11,900
|
|
Cheniere Energy, Inc.
|
2,031,449
|
32,300
|
|
Chevron Corp.
|
4,817,868
|
18,000
|
|
Chubb Ltd.
|
4,068,000
|
10,000
|
|
Cigna Group
|
2,994,500
|
10,200
|
|
Cirrus Logic, Inc.*
|
848,538
|
110,600
|
|
Cisco Systems, Inc.
|
5,587,512
|
15,500
|
|
Clean Harbors, Inc.*
|
2,704,905
|
18,100
|
|
CNA Financial Corp.
|
765,811
|
81,900
|
|
Coca-Cola Co.
|
4,826,367
|
30,000
|
|
Colgate-Palmolive Co.
|
2,391,300
|
39,300
|
|
Comcast Corp. Class A
|
1,723,305
|
6,200
|
|
ConocoPhillips
|
719,634
|
29,849
|
|
Consolidated Edison, Inc.
|
2,715,364
|
22,697
|
|
Cooper Cos., Inc.
|
8,589,453
|
Shares
|
|
Description
|
Value ($)
|
|
|
United States — continued
|
|
8,300
|
|
Costco Wholesale Corp.
|
5,478,664
|
10,400
|
|
Curtiss-Wright Corp.
|
2,317,016
|
4,400
|
|
Darden Restaurants, Inc.
|
722,920
|
21,300
|
|
Donaldson Co., Inc.
|
1,391,955
|
27,477
|
|
DTE Energy Co.
|
3,029,614
|
71,129
|
|
Electronic Arts, Inc.
|
9,731,158
|
23,246
|
|
Elevance Health, Inc.
|
10,961,884
|
7,367
|
|
Eli Lilly & Co.
|
4,294,372
|
6,300
|
|
EMCOR Group, Inc.
|
1,357,209
|
4,700
|
|
Encompass Health Corp.
|
313,584
|
21,900
|
|
Entergy Corp.
|
2,216,061
|
16,451
|
|
Equifax, Inc.
|
4,068,168
|
25,645
|
|
Estee Lauder Cos., Inc. Class A
|
3,750,581
|
8,014
|
|
Everest Group Ltd.
|
2,833,590
|
28,000
|
|
Evergy, Inc.
|
1,461,600
|
25,100
|
|
Expeditors International of Washington, Inc.
|
3,192,720
|
53,800
|
|
Exxon Mobil Corp.
|
5,378,924
|
5,000
|
|
F5, Inc.*
|
894,900
|
11,388
|
|
FactSet Research Systems, Inc.
|
5,432,645
|
1,600
|
|
FedEx Corp.
|
404,752
|
11,500
|
|
Ferguson PLC
|
2,220,305
|
65,292
|
|
Fiserv, Inc.*
|
8,673,389
|
13,800
|
|
General Dynamics Corp.
|
3,583,446
|
36,900
|
|
Gilead Sciences, Inc.
|
2,989,269
|
4,600
|
|
Grand Canyon Education, Inc.*
|
607,384
|
78,663
|
|
GSK PLC
|
1,454,254
|
18,725
|
|
GSK PLC, ADR
|
693,949
|
30,200
|
|
Hartford Financial Services Group, Inc.
|
2,427,476
|
7,500
|
|
Henry Schein, Inc.*
|
567,825
|
9,126
|
|
Hershey Co.
|
1,701,451
|
5,664
|
|
Home Depot, Inc.
|
1,962,859
|
1,300
|
|
Honeywell International, Inc.
|
272,623
|
1,500
|
|
HP, Inc.
|
45,135
|
2,500
|
|
Hubbell, Inc.
|
822,325
|
3,550
|
|
Humana, Inc.
|
1,625,226
|
10,200
|
|
Huntington Ingalls Industries, Inc.
|
2,648,328
|
32,868
|
|
ICON PLC, ADR*
|
9,303,945
|
21,131
|
|
Illumina, Inc.*
|
2,942,280
|
24,000
|
|
Ingredion, Inc.
|
2,604,720
|
74,115
|
|
Intercontinental Exchange, Inc.
|
9,518,589
|
7,800
|
|
International Business Machines Corp.
|
1,275,690
|
23,128
|
|
Intuit, Inc.
|
14,455,694
|
3,700
|
|
IQVIA Holdings, Inc.*
|
856,106
|
1,900
|
|
ITT, Inc.
|
226,708
|
400
|
|
Jabil, Inc.
|
50,960
|
9,900
|
|
JB Hunt Transport Services, Inc.
|
1,977,426
|
79,925
|
|
Johnson & Johnson
|
12,527,444
|
10,500
|
|
JPMorgan Chase & Co.
|
1,786,050
|
17,400
|
|
Kimberly-Clark Corp.
|
2,114,274
|
Shares
|
|
Description
|
Value ($)
|
|
|
United States — continued
|
|
2,700
|
|
KLA Corp.
|
1,569,510
|
74,800
|
|
Kroger Co.
|
3,419,108
|
9,100
|
|
L3Harris Technologies, Inc.
|
1,916,642
|
12,800
|
|
Landstar System, Inc.
|
2,478,720
|
8,350
|
|
Lockheed Martin Corp.
|
3,784,554
|
38,800
|
|
Loews Corp.
|
2,700,092
|
1,200
|
|
Lululemon Athletica, Inc.*
|
613,548
|
9,800
|
|
Manhattan Associates, Inc.*
|
2,110,136
|
3,700
|
|
Marathon Petroleum Corp.
|
548,932
|
1,930
|
|
Markel Group, Inc.*
|
2,740,407
|
33,785
|
|
Mastercard, Inc. Class A
|
14,409,640
|
7,500
|
|
McDonald's Corp.
|
2,223,825
|
6,000
|
|
McKesson Corp.
|
2,777,880
|
51,234
|
|
Merck & Co., Inc.
|
5,585,531
|
11,300
|
|
Meta Platforms, Inc. Class A *
|
3,999,748
|
68,214
|
|
Microsoft Corp.
|
25,651,193
|
6,000
|
|
Molina Healthcare, Inc.*
|
2,167,860
|
35,169
|
|
Moody's Corp.
|
13,735,605
|
300
|
|
Motorola Solutions, Inc.
|
93,927
|
12,600
|
|
MSC Industrial Direct Co., Inc. Class A
|
1,275,876
|
6,000
|
|
Murphy USA, Inc.
|
2,139,360
|
95,076
|
|
Nestle SA
|
11,015,102
|
1,600
|
|
Neurocrine Biosciences, Inc.*
|
210,816
|
3,300
|
|
NewMarket Corp.
|
1,801,239
|
65,551
|
|
Newmont Corp.
|
2,713,156
|
6,550
|
|
Northrop Grumman Corp.
|
3,066,317
|
57,300
|
|
OGE Energy Corp.
|
2,001,489
|
4,200
|
|
Old Republic International Corp.
|
123,480
|
23,414
|
|
Oracle Corp.
|
2,468,538
|
2,460
|
|
O'Reilly Automotive, Inc.*
|
2,337,197
|
15,750
|
|
PACCAR, Inc.
|
1,537,988
|
30,048
|
|
PepsiCo, Inc.
|
5,103,352
|
30,334
|
|
Pfizer, Inc.
|
873,316
|
115,946
|
|
Philip Morris International, Inc.
|
10,908,200
|
6,200
|
|
Phillips 66
|
825,468
|
4,300
|
|
PPL Corp.
|
116,530
|
38,580
|
|
Procter & Gamble Co.
|
5,653,513
|
2,100
|
|
PTC, Inc.*
|
367,416
|
42,400
|
|
Public Service Enterprise Group, Inc.
|
2,592,760
|
44,200
|
|
Qiagen NV*
|
1,919,606
|
12,900
|
|
QUALCOMM, Inc.
|
1,865,727
|
3,430
|
|
Regeneron Pharmaceuticals, Inc.*
|
3,012,535
|
10,800
|
|
Reinsurance Group of America, Inc.
|
1,747,224
|
21,104
|
|
Republic Services, Inc.
|
3,480,261
|
28,774
|
|
Roche Holding AG
|
8,358,870
|
7,850
|
|
Roper Technologies, Inc.
|
4,279,584
|
20,600
|
|
Royal Gold, Inc.
|
2,491,776
|
12,935
|
|
S&P Global, Inc.
|
5,698,126
|
12,200
|
|
Salesforce, Inc.*
|
3,210,308
|
Shares
|
|
Description
|
Value ($)
|
|
|
United States — continued
|
|
18,200
|
|
Science Applications International Corp.
|
2,262,624
|
120
|
|
Seaboard Corp.
|
428,412
|
2,450
|
|
ServiceNow, Inc.*
|
1,730,901
|
8,000
|
|
Snap-on, Inc.
|
2,310,720
|
4,201
|
|
Spotify Technology SA*
|
789,410
|
10,300
|
|
SS&C Technologies Holdings, Inc.
|
629,433
|
7,522
|
|
Synopsys, Inc.*
|
3,873,153
|
5,100
|
|
Teradata Corp.*
|
221,901
|
8,300
|
|
Tetra Tech, Inc.
|
1,385,519
|
4,700
|
|
Texas Instruments, Inc.
|
801,162
|
7,800
|
|
Texas Roadhouse, Inc.
|
953,394
|
38,700
|
|
Textron, Inc.
|
3,112,254
|
16,068
|
|
Thermo Fisher Scientific, Inc.
|
8,528,734
|
28,300
|
|
T-Mobile U.S., Inc.
|
4,537,339
|
13,100
|
|
Travelers Cos., Inc.
|
2,495,419
|
1,050
|
|
Ulta Beauty, Inc.*
|
514,490
|
7,300
|
|
United Therapeutics Corp.*
|
1,605,197
|
25,467
|
|
UnitedHealth Group, Inc.
|
13,407,611
|
39,400
|
|
VeriSign, Inc.*
|
8,114,824
|
126,712
|
|
Verizon Communications, Inc.
|
4,777,042
|
7,550
|
|
Vertex Pharmaceuticals, Inc.*
|
3,072,019
|
97,945
|
|
Visa, Inc. Class A
|
25,499,981
|
13,000
|
|
W R Berkley Corp.
|
919,360
|
30,636
|
|
Walmart, Inc.
|
4,829,765
|
21,085
|
|
Waste Management, Inc.
|
3,776,323
|
1,000
|
|
White Mountains Insurance Group Ltd.
|
1,505,010
|
1,200
|
|
Workday, Inc. Class A *
|
331,272
|
34,559
|
|
Xcel Energy, Inc.
|
2,139,548
|
17,300
|
|
Zoetis, Inc.
|
3,414,501
|
6,900
|
|
Zoom Video Communications, Inc. Class A *
|
496,179
|
|
|
|
687,069,133
|
|
|
TOTAL COMMON STOCKS (COST $851,012,395)
|
982,852,025
|
|
|||
|
|
PREFERRED STOCKS — 0.2%
|
|
|
|
Germany — 0.2%
|
|
3,219
|
|
FUCHS SE, 2.66%
|
143,301
|
25,486
|
|
Henkel AG & Co. KGaA, 2.54%
|
2,051,236
|
|
|
|
2,194,537
|
|
|
TOTAL PREFERRED STOCKS (COST $1,976,034)
|
2,194,537
|
|
|||
|
|
WARRANT — 0.0%
|
|
|
|
Canada — 0.0%
|
|
100
|
|
Constellation Software, Inc. Expires 03/31/40*(d)(e)
|
—
|
|
|
TOTAL WARRANT (COST $—)
|
—
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
SHORT-TERM INVESTMENT — 2.0%
|
|
|
|
Mutual Fund - Securities Lending Collateral — 2.0%
|
|
20,642,547
|
|
State Street Navigator Securities Lending Government Money Market Portfolio,
5.36%(f)(g)
|
20,642,547
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $20,642,547)
|
20,642,547
|
|
|
TOTAL INVESTMENTS — 98.5%
(Cost $873,630,976)
|
1,005,689,109
|
|
|
Other Assets and Liabilities (net) — 1.5%
|
15,388,403
|
|
|
NET ASSETS — 100.0%
|
$1,021,077,512
|
|
Notes to Schedule of Investments:
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of this security is out on loan.
|
(b)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
(c)
|
Securities are traded on separate exchanges for the same entity.
|
(d)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
(e)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $0 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2023 was $0.
|
(f)
|
The rate disclosed is the 7-day net yield as of December 31, 2023.
|
(g)
|
Represents an investment of securities lending cash collateral.
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
Buys
|
|
|
|
|
7
|
Canadian Dollar
|
Mar 2024
|
$529,375
|
$8,369
|
41
|
MSCI EAFE Index
|
Mar 2024
|
4,617,420
|
119,800
|
45
|
S&P 500 E-mini Index
|
Mar 2024
|
10,845,000
|
288,217
|
3
|
S&P/TSX 60 Index
|
Mar 2024
|
578,068
|
11,241
|
|
|
|
|
$427,627
|
Abbreviations
|
||
ADR
|
—
|
American Depository Receipt
|
GDR
|
—
|
Global Depository Receipt
|
REIT
|
—
|
Real Estate Investment Trust
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
Consumer, Non-cyclical
|
33.6
|
Technology
|
16.7
|
Financial
|
12.4
|
Communications
|
11.7
|
Industrial
|
11.6
|
Consumer, Cyclical
|
4.5
|
Energy
|
2.2
|
Utilities
|
2.2
|
Basic Materials
|
1.6
|
Diversified
|
0.0*
|
Short-Term Investment
|
2.0
|
Other Assets and Liabilities (net)
|
1.5
|
|
100.0%
|
*
|
Amount rounds to zero.
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Common Stocks
|
|
|
|
|
Australia
|
$137,261,850
|
$—
|
$—
|
$137,261,850
|
Austria
|
15,629,715
|
—
|
—
|
15,629,715
|
Belgium
|
7,693,601
|
—
|
—
|
7,693,601
|
Brazil
|
42,776,464
|
—
|
—
|
42,776,464
|
Canada
|
55,883,708
|
—
|
—
|
55,883,708
|
China
|
37,637,218
|
—
|
—
|
37,637,218
|
Denmark
|
93,935,558
|
—
|
—
|
93,935,558
|
Finland
|
35,531,804
|
—
|
—
|
35,531,804
|
France
|
306,328,674
|
—
|
—
|
306,328,674
|
Georgia
|
2,298,591
|
—
|
—
|
2,298,591
|
Germany
|
325,653,035
|
—
|
—
|
325,653,035
|
Greece
|
2,643,251
|
—
|
—
|
2,643,251
|
Guatemala
|
155,320
|
—
|
—
|
155,320
|
Hong Kong
|
23,130,638
|
—
|
—
|
23,130,638
|
Hungary
|
4,992,961
|
—
|
—
|
4,992,961
|
India
|
15,553,975
|
—
|
—
|
15,553,975
|
Indonesia
|
1,554,816
|
—
|
—
|
1,554,816
|
Ireland
|
47,657,974
|
—
|
—
|
47,657,974
|
Israel
|
19,245,563
|
—
|
—
|
19,245,563
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Italy
|
$121,340,406
|
$—
|
$—
|
$121,340,406
|
Japan
|
765,107,978
|
—
|
—
|
765,107,978
|
Luxembourg
|
11,691,188
|
—
|
—
|
11,691,188
|
Malaysia
|
980,402
|
—
|
—
|
980,402
|
Malta
|
136,488
|
—
|
—
|
136,488
|
Netherlands
|
155,682,456
|
—
|
—
|
155,682,456
|
Norway
|
36,800,011
|
—
|
—
|
36,800,011
|
Portugal
|
6,805,743
|
—
|
—
|
6,805,743
|
Russia
|
—
|
—
|
216,923
|
216,923
|
Singapore
|
20,668,211
|
—
|
—
|
20,668,211
|
South Africa
|
10,820,465
|
—
|
—
|
10,820,465
|
South Korea
|
41,914,287
|
—
|
—
|
41,914,287
|
Spain
|
78,326,303
|
—
|
—
|
78,326,303
|
Sweden
|
58,035,757
|
—
|
—
|
58,035,757
|
Switzerland
|
191,943,349
|
—
|
—
|
191,943,349
|
Taiwan
|
48,059,969
|
—
|
—
|
48,059,969
|
Thailand
|
—
|
656,712
|
—
|
656,712
|
Turkey
|
9,534,152
|
—
|
—
|
9,534,152
|
United Kingdom
|
330,839,294
|
—
|
—
|
330,839,294
|
United States
|
365,153,042
|
—
|
—
|
365,153,042
|
Total Common Stocks
|
3,429,404,217
|
656,712
|
216,923
|
3,430,277,852
|
Investment Companies
|
11,477,384
|
—
|
—
|
11,477,384
|
Preferred Stocks
|
26,803,952
|
—
|
—
|
26,803,952
|
Short-Term Investment
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
46,077,019
|
—
|
—
|
46,077,019
|
Futures Contracts†
|
|
|
|
|
Buys
|
2,590,298
|
—
|
—
|
2,590,298
|
Total
|
$3,516,352,870
|
$656,712
|
$216,923
|
$3,517,226,505
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Debt Obligations
|
$—
|
$1,665,271,782
|
$—
|
$1,665,271,782
|
Common Stock
|
—
|
—
|
26,796
|
26,796
|
Short-Term Investments
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
16,222,650
|
—
|
—
|
16,222,650
|
U.S. Government and Agency
Obligation
|
—
|
3,353,401
|
—
|
3,353,401
|
Total Short-Term Investments
|
16,222,650
|
3,353,401
|
—
|
19,576,051
|
Futures Contracts†
|
|
|
|
|
Buys
|
1,337,533
|
—
|
—
|
1,337,533
|
Sales
|
3,094
|
—
|
—
|
3,094
|
Total Futures Contracts
|
1,340,627
|
—
|
—
|
1,340,627
|
Swaps
|
|
|
|
|
Centrally Cleared Interest Rate
Swaps†
|
—
|
133,531
|
—
|
133,531
|
Total
|
$17,563,277
|
$1,668,758,714
|
$26,796
|
$1,686,348,787
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
TBA Sale Commitments
|
$—
|
$(3,422,539
)
|
$—
|
$(3,422,539
)
|
Forward Foreign Currency Contracts†
|
—
|
(242,423
)
|
—
|
(242,423
)
|
Futures Contract†
|
|
|
|
|
Sales
|
(1,043,531
)
|
—
|
—
|
(1,043,531
)
|
Swaps
|
|
|
|
|
Centrally Cleared Interest Rate
Swaps†
|
—
|
(116,462
)
|
—
|
(116,462
)
|
Total
|
$(1,043,531
)
|
$(3,781,424
)
|
$—
|
$(4,824,955
)
|
†
|
Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized
appreciation/depreciation.
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Debt Obligations
|
$—
|
$71,494,331
|
$—
|
$71,494,331
|
Short-Term Investment
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
55,225
|
—
|
—
|
55,225
|
Futures Contract†
|
|
|
|
|
Buys
|
22,118
|
—
|
—
|
22,118
|
Total
|
$77,343
|
$71,494,331
|
$—
|
$71,571,674
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Futures Contract†
|
|
|
|
|
Sales
|
$(3,352
)
|
$—
|
$—
|
$(3,352
)
|
Total
|
$(3,352
)
|
$—
|
$—
|
$(3,352
)
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Debt Obligations
|
|
|
|
|
Asset Backed Securities
|
$—
|
$79,474,350
|
$—
|
$79,474,350
|
Bank Loans
|
—
|
174,701,840
|
—
|
174,701,840
|
Convertible Debt
|
—
|
8,910,919
|
—
|
8,910,919
|
Corporate Debt
|
—
|
559,135,494
|
—
|
559,135,494
|
Mortgage Backed Securities - Private
Issuers
|
—
|
78,596,318
|
15,956
|
78,612,274
|
Mortgage Backed Securities -
U.S. Government Agency
Obligations
|
—
|
287,938
|
—
|
287,938
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Sovereign Debt Obligations
|
$—
|
$520,375,355
|
$—
|
$520,375,355
|
U.S. Government and Agency
Obligations
|
—
|
48,712,971
|
—
|
48,712,971
|
Total Debt Obligations
|
—
|
1,470,195,185
|
15,956
|
1,470,211,141
|
Common Stocks
|
|
|
|
|
Energy
|
59
|
—
|
—
|
59
|
Industrial
|
—
|
—
|
220,443
|
220,443
|
Total Common Stocks
|
59
|
—
|
220,443
|
220,502
|
Preferred Stocks
|
|
|
|
|
Energy
|
180,937
|
1,838,341
|
—
|
2,019,278
|
Short-Term Investments
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
33,337,426
|
—
|
—
|
33,337,426
|
Sovereign Debt Obligations
|
—
|
1,708,931
|
—
|
1,708,931
|
U.S. Government and Agency
Obligation
|
—
|
29,745,561
|
—
|
29,745,561
|
Total Short-Term Investments
|
33,337,426
|
31,454,492
|
—
|
64,791,918
|
Purchased Options
|
|
|
|
|
Purchased Currency Options
|
—
|
223,337
|
—
|
223,337
|
Purchased Futures Options
|
57,269
|
—
|
—
|
57,269
|
Total Purchased Options
|
57,269
|
223,337
|
—
|
280,606
|
Forward Foreign Currency Contracts†
|
—
|
8,474,427
|
—
|
8,474,427
|
Futures Contracts
|
|
|
|
|
Buys
|
10,463,652
|
—
|
—
|
10,463,652
|
Sales
|
199,484
|
—
|
—
|
199,484
|
Total Futures Contracts
|
10,663,136
|
—
|
—
|
10,663,136
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Swaps
|
|
|
|
|
OTC Interest Rate Swaps
|
$—
|
$380,827
|
$—
|
$380,827
|
Centrally Cleared Interest Rate
Swaps†
|
—
|
1,983,014
|
—
|
1,983,014
|
OTC Credit Default Swaps
|
—
|
312,990
|
—
|
312,990
|
Centrally Cleared Credit Default
Swaps†
|
—
|
641,230
|
—
|
641,230
|
Total Swaps
|
—
|
3,318,061
|
—
|
3,318,061
|
Total
|
$44,238,827
|
$1,515,503,843
|
$236,399
|
$1,559,979,069
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Forward Foreign Currency Contracts
|
$—
|
$(7,520,809
)
|
$—
|
$(7,520,809
)
|
Futures Contracts
|
|
|
|
|
Buys
|
(68,047
)
|
—
|
—
|
(68,047
)
|
Sales
|
(171,687
)
|
—
|
—
|
(171,687
)
|
Total Futures Contracts
|
(239,734
)
|
—
|
—
|
(239,734
)
|
Written Options
|
|
|
|
|
Written Futures Options
|
(87,377
)
|
—
|
—
|
(87,377
)
|
Swaps
|
|
|
|
|
OTC Interest Rate Swaps
|
—
|
(75,755
)
|
—
|
(75,755
)
|
Centrally Cleared Interest Rate
Swaps†
|
—
|
(809,389
)
|
—
|
(809,389
)
|
OTC Credit Default Swap
|
—
|
(6,439
)
|
—
|
(6,439
)
|
Centrally Cleared Credit Default
Swap†
|
—
|
(76,751
)
|
—
|
(76,751
)
|
Total Swaps
|
—
|
(968,334
)
|
—
|
(968,334
)
|
Total
|
$(327,111
)
|
$(8,489,143
)
|
$—
|
$(8,816,254
)
|
†
|
Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized
appreciation/depreciation.
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Common Stocks
|
|
|
|
|
Brazil
|
$125,363,030
|
$—
|
$—
|
$125,363,030
|
Canada
|
8,519,073
|
—
|
—
|
8,519,073
|
Chile
|
3,045,025
|
—
|
—
|
3,045,025
|
China
|
378,237,619
|
—
|
—
|
378,237,619
|
Greece
|
7,380,266
|
—
|
—
|
7,380,266
|
Hong Kong
|
34,772,812
|
—
|
—
|
34,772,812
|
Hungary
|
6,595,116
|
—
|
—
|
6,595,116
|
India
|
218,367,514
|
—
|
—
|
218,367,514
|
Indonesia
|
37,643,370
|
—
|
—
|
37,643,370
|
Italy
|
11,710,293
|
—
|
—
|
11,710,293
|
Japan
|
7,946,531
|
—
|
—
|
7,946,531
|
Macau
|
10,471,360
|
—
|
—
|
10,471,360
|
Malaysia
|
11,651,143
|
—
|
—
|
11,651,143
|
Mexico
|
66,670,379
|
6,400
|
11,544
|
66,688,323
|
Netherlands
|
12,581,837
|
—
|
—
|
12,581,837
|
Philippines
|
15,830,285
|
—
|
—
|
15,830,285
|
Poland
|
5,428,411
|
—
|
—
|
5,428,411
|
Portugal
|
7,459,525
|
—
|
—
|
7,459,525
|
Russia
|
—
|
—
|
460,455
|
460,455
|
Saudi Arabia
|
6,649,757
|
—
|
—
|
6,649,757
|
Singapore
|
3,779,244
|
—
|
—
|
3,779,244
|
South Africa
|
30,565,735
|
—
|
—
|
30,565,735
|
South Korea
|
122,717,233
|
—
|
—
|
122,717,233
|
Taiwan
|
200,360,373
|
—
|
0*
|
200,360,373
|
Thailand
|
8,520,556
|
37,530,791
|
—
|
46,051,347
|
Turkey
|
13,181,913
|
—
|
—
|
13,181,913
|
United Arab Emirates
|
6,003,711
|
—
|
—
|
6,003,711
|
United Kingdom
|
6,588,261
|
—
|
—
|
6,588,261
|
United States
|
4,641,086
|
—
|
—
|
4,641,086
|
Total Common Stocks
|
1,372,681,458
|
37,537,191
|
471,999
|
1,410,690,648
|
Preferred Stocks
|
16,100,111
|
—
|
—
|
16,100,111
|
Short-Term Investment
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
14,710,604
|
—
|
—
|
14,710,604
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Futures Contracts†
|
|
|
|
|
Buys
|
$2,698,964
|
$—
|
$—
|
$2,698,964
|
Total
|
$1,406,191,137
|
$37,537,191
|
$471,999
|
$1,444,200,327
|
*
|
Represents one or more Level 3 securities at $0 value as of December 31, 2023.
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Common Stocks
|
$982,852,025
|
$—
|
$—
|
$982,852,025
|
Preferred Stocks
|
2,194,537
|
—
|
—
|
2,194,537
|
Warrant
|
—
|
—
|
0*
|
—
|
Short-Term Investment
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
20,642,547
|
—
|
—
|
20,642,547
|
Futures Contracts†
|
|
|
|
|
Buys
|
427,627
|
—
|
—
|
427,627
|
Total
|
$1,006,116,736
|
$—
|
$—
|
$1,006,116,736
|
*
|
Represents one or more Level 3 securities at $0 value as of December 31, 2023.
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
Borrower
|
Par
|
Cost
|
Value
|
Unrealized
Gain (Loss)
|
RSC Acquisition, Inc.
|
$499,764
|
$492,597
|
$497,265
|
$4,668
|
Ryan LLC
|
120,000
|
120,000
|
120,600
|
600
|
|
$619,764
|
$612,597
|
$617,865
|
$5,268
|