N-CSR 1 form787.htm EDGAR HTML

United States

Securities and Exchange Commission

Washington, D.C. 20549

 

Form N-CSR

Certified Shareholder Report of Registered Management Investment Companies

 

 

 

 

811-21822

 

(Investment Company Act File Number)

 

Federated Hermes Managed Pool Series

_______________________________________________________________

 

(Exact Name of Registrant as Specified in Charter)

 

 

 

Federated Hermes Funds

4000 Ericsson Drive

Warrendale, Pennsylvania 15086-7561

(Address of Principal Executive Offices)

 

 

(412) 288-1900

(Registrant's Telephone Number)

 

 

Peter J. Germain, Esquire

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222-3779

(Name and Address of Agent for Service)

(Notices should be sent to the Agent for Service)

 

 

 

 

 

 

Date of Fiscal Year End: 12/31/22

 

 

Date of Reporting Period: 12/31/22

 

 

 

 

 

 

 

 

 

Item 1.Reports to Stockholders

 

Annual Shareholder Report
December 31, 2022
Ticker FCSPX

Federated Hermes Corporate Bond Strategy Portfolio

A Portfolio of Federated Hermes Managed Pool Series

Not FDIC Insured ▪ May Lose Value ▪ No Bank Guarantee

Management’s Discussion of Fund Performance
The total return of the Federated Hermes Corporate Bond Strategy Portfolio (the “Fund”), based on net asset value for the 12-month reporting period ended December 31, 2022, was -15.44%. The total return of the Bloomberg US Credit Index (BUSC),1 the Fund’s broad-based securities market index, was -15.26%, and the total return of the Baa component of the BUSC (BUSC-Baa),2 the benchmark against which the Fund is managed, was -15.94% for the same period. The Fund’s total return for the most recently completed fiscal year reflected actual cash flows, transaction costs and expenses, which were not reflected in the total return of the indexes.
During the reporting period, the most significant factors affecting the Fund’s performance relative to the BUSC-Baa were: (1) duration,3 which is the sensitivity of the change in price of the portfolio to changes in interest rates; (2) selection of securities with different maturities (referred to as “yield curve” strategy); (3) individual security selection; and (4) the allocation of the portfolio among securities of similar types of issuers (referred to as “sectors”).
The following discussion will focus on the Fund’s performance relative to the BUSC-Baa.
Market Overview
The year 2022 was the worst performing total return year in the history of both the BUSC and the BUSC-Baa. The 2022 total return for the BUSC-Baa was -15.94%, worse than the previous record low of -14.40% in 1974. The early 1970’s was also a period of high inflation with the Consumer Price Index ending 1974 at 12.40%. Significantly higher U.S. Treasury rates across the yield curve and wider credit spreads drove the negative returns in 2022. Despite the Consumer Price Index ending 2021 at a decades high of 6.80%, the U.S. Federal Reserve (the “Fed”) was slow to recognize the persistence of inflation in the U.S. economy. Once the Fed acknowledged the increase in inflation was no longer transitory, it accelerated the taper of its asset purchase program to end in March and began an aggressive federal funds target rate hiking cycle. Specifically, the Fed initially raised the federal funds target rate by 25 basis points in March, but quickly accelerated rate hikes to include four successive 75 basis point hikes. In 2022, the upper bound of the federal funds target rate increased by 425 basis points to end the year at 4.50%. In addition, the Fed began reducing the size of its balance sheet by $47.5 billion a month in June and increased the monthly reduction cap to $95 billion in September. The Fed was not the only central bank fighting inflation in 2022, and higher global rates also put upward pressure on U.S. rates.
Against this backdrop of higher inflation and tighter monetary policy, U.S. Treasury rates were up materially across the yield curve. The yield-to-maturity on the Bloomberg US Treasury Index4 began the year at 1.23% and ended the year at 4.18%. The U.S. Treasury curve “bear flattened” in 2022 with short-term rates up more than longer-term rates and also ended the year “inverted” with short-term rates higher than longer-term rates. The increase in U.S. Treasury rates led to negative total returns for all major U.S. fixed-income markets in 2022. The total return of the Bloomberg US Treasury Index in 2022 was -12.46%.
The negative 2022 total return on the BUSC-Baa was due primarily to higher Treasury rates and wider credit spreads. The Option Adjusted Spread (OAS) volatility in the year was correlated with volatility in U.S. interest rates. The OAS of the BUSC-Baa began the year at 115 basis points, peaked at almost 200 basis points in the middle of October and then rallied in the fourth quarter to end the year at 159 basis points.
Duration
During a year in which interest rates increased materially across all maturities, duration was the key driver of the Fund’s outperformance during the reporting period. The Fund’s duration during the year averaged 97% of its benchmark, resulting in the largest positive contribution to performance. During the fiscal year, the Fund used U.S. Treasury futures contracts5 to help manage the duration of the Fund. These positions had a positive impact on the Fund’s performance for the period.
Yield Curve
The U.S. Treasury curve “bear flattened” in 2022 with short-term rates up more than longer-term rates and also ended the year “inverted” with short-term rates higher than longer-term rates. As a result, the Fund’s bias for longer maturity bonds was a positive contributor to performance relative to the BUSC-Baa.
Security selection
In total, individual security selection varied widely in terms of relative contribution to the Fund and combined to have a negative impact on the relative performance of the Fund for the year. Some of the best performing bonds for the Fund in 2022 were from issuers such as General Motors Co., Broadcom Inc., AbbVie Inc., CVS Health Corp. and Williams Co. The worst performing selections were from issuers such as General Electric Co., Canadian Natural Resources Ltd., Suncor Energy Inc., Marathon Oil Corp. and the Government of Mexico.
Annual Shareholder Report
1

sector ALLOCATION
Sector allocation was a slightly negative contributor to the Fund’s performance for the year. Overweight positions in the Automobile and Media sectors and an underweight position to the Sovereign sector were negative contributors to Fund’s performance. These negative contributors were partially offset by the positive contribution from the Fund’s higher than normal allocation to cash during the year.
1
Please see the footnotes to the line graph below for definitions of, and further information about, the BUSC.
2
Please see the footnotes to the line graph below for definitions of, and further information about, the BUSC-Baa.
3
Duration is a measure of a security’s price sensitivity to changes in interest rates. Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations.
4
The Bloomberg US Treasury Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with one year or more to maturity. The index is unmanaged, and it is not possible to invest directly in an index.
5
The Fund’s use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional instruments.
Annual Shareholder Report
2

FUND PERFORMANCE AND GROWTH OF A $10,000 INVESTMENT
The graph below illustrates the hypothetical investment of $10,0001 in the Federated Hermes Corporate Bond Strategy Portfolio (the “Fund”) from December 31, 2012 to December 31, 2022, compared to the Bloomberg US Credit Index (BUSC)2 and the Baa component of the Bloomberg US Credit Index (BUSC-Baa).3 The Average Annual Total Return table below shows returns averaged over the stated periods.
Growth of a $10,000 Investment
Growth of $10,000 as of December 31, 2022
Average Annual Total Returns for the Period Ended 12/31/2022
 
1 Year
5 Years
10 Years
Fund
-15.44%
1.31%
2.68%
BUSC
-15.26%
0.42%
1.82%
BUSC-Baa
-15.94%
0.70%
2.17%
Performance data quoted represents past performance which is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Mutual fund performance changes over time and current performance may be lower or higher than what is stated. For current to the most recent month-end performance and after-tax returns, visit FederatedInvestors.com or call 1-800-341-7400. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Mutual funds are not obligations of or guaranteed by any bank and are not federally insured.
1
The Fund’s performance assumes the reinvestment of all dividends and distributions. The BUSC and BUSC-Baa have been adjusted to reflect reinvestment of dividends on securities in an index.
2
The BUSC is composed of all publicly issued, fixed-rate, nonconvertible, investment-grade corporate debt and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. Issues are rated at least “Baa” by Moody’s Investors Service or “BBB” by Standard & Poor’s, if unrated by Moody’s. The index is not adjusted to reflect sales loads, expenses or other fees that the Securities and Exchange Commission (SEC) requires to be reflected in the Fund’s performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
3
The BUSC-Baa is a component of the BUSC comprised of corporate bonds or securities represented by the following sectors: industrial, utility and finance, including both U.S. and non-U.S. corporations and non-corporate bonds or securities represented by the following sectors: sovereign, supranational, foreign agencies and foreign local governments. The index is not adjusted to reflect sales loads, expenses or other fees that the SEC requires to be reflected in the Fund’s performance. The index is unmanaged and, unlike the Fund, is not affected by cash flows. It is not possible to invest directly in an index.
Annual Shareholder Report
3

Portfolio of Investments Summary Table (unaudited)
At December 31, 2022,the Fund’s portfolio composition1 was as follows:
Security Type
Percentage of
Total Net Assets
Corporate Bonds
95.3%
Foreign Government/Agency
1.8%
Cash Equivalents2
2.0%
Securities Lending Collateral3
1.1%
Derivative Contracts4,5
0.0%
Other Assets and Liabilities—Net6
(0.2)%
TOTAL
100%
1
See the Fund’s Prospectus and Statement of Additional Information for a description of these security types.
2
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.
3
Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts may consist of futures, forwards,
options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may
indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More
complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values
or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report.
4
Represents less than 0.1%.
5
Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds, other money market instruments and/or
repurchase agreements.
6
Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities.
Annual Shareholder Report
4

Portfolio of Investments
December 31, 2022
Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—95.3%
 
 
 
Basic Industry - Chemicals—0.4%
 
$   90,000
 
Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044
$     81,776
  200,000
 
RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029
    185,579
  300,000
 
RPM International, Inc., Sr. Unsecd. Note, 5.250%, 6/1/2045
    259,753
 
 
TOTAL
527,108
 
 
Basic Industry - Metals & Mining—1.8%
 
  600,000
 
Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031
    491,351
  400,000
 
Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 3.625%, 9/11/2024
    387,288
  235,000
 
AngloGold Ashanti Holdings PLC, Sr. Note, 6.500%, 4/15/2040
    225,705
  400,000
 
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026
    352,900
  350,000
 
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 2.625%, 9/23/2031
    279,688
  200,000
 
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051
    130,569
  225,000
 
Reliance Steel & Aluminum Co., Sr. Unsecd. Note, 4.500%, 4/15/2023
    224,963
  250,000
 
Southern Copper Corp., Sr. Unsecd. Note, 6.750%, 4/16/2040
    279,660
 
 
TOTAL
2,372,124
 
 
Basic Industry - Paper—0.1%
 
  100,000
 
Weyerhaeuser Co., Sr. Unsecd. Note, 7.375%, 3/15/2032
    110,851
 
 
Capital Goods - Aerospace & Defense—4.4%
 
  230,000
 
BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025
    221,998
  500,000
 
BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.000%, 9/15/2050
    325,784
  360,000
 
Boeing Co., Sr. Unsecd. Note, 2.196%, 2/4/2026
    327,481
  300,000
 
Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027
    271,225
  995,000
 
Boeing Co., Sr. Unsecd. Note, 2.950%, 2/1/2030
    844,871
  425,000
 
Boeing Co., Sr. Unsecd. Note, 3.250%, 2/1/2035
    324,488
  745,000
 
Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059
    503,548
  175,000
 
Boeing Co., Sr. Unsecd. Note, 5.705%, 5/1/2040
    167,624
  360,000
 
Embraer Netherlands BV, Sr. Unsecd. Note, 5.050%, 6/15/2025
    350,003
  170,000
 
Hexcel Corp., Sr. Unsecd. Note, 4.200%, 2/15/2027
    157,240
  740,000
 
Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027
    672,856
  125,000
 
Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025
    120,166
  350,000
 
Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030
    316,424
  600,000
 
Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028
    575,495
  350,000
 
Raytheon Technologies Corp., Sr. Unsecd. Note, 4.150%, 5/15/2045
    293,514
  136,000
1
Textron Financial Corp., Jr. Sub. Note, 144A, 6.341% (3-month USLIBOR +1.735%), 2/15/2042
     97,580
  370,000
 
Textron, Inc., Sr. Unsecd. Note, 2.450%, 3/15/2031
    297,074
   50,000
 
Textron, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2024
     49,343
 
 
TOTAL
5,916,714
 
 
Capital Goods - Building Materials—0.8%
 
  100,000
 
Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029
     86,381
  125,000
 
Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024
    120,287
  620,000
 
Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027
    560,591
  235,000
 
Carrier Global Corp., Sr. Unsecd. Note, 2.700%, 2/15/2031
    194,524
  170,000
 
Masco Corp., Sr. Unsecd. Note, 4.500%, 5/15/2047
    133,681
 
 
TOTAL
1,095,464
 
 
Capital Goods - Construction Machinery—1.2%
 
  450,000
 
CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026
    397,183
  445,000
 
CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027
    417,566
Annual Shareholder Report
5

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Capital Goods - Construction Machinery—continued
 
$  895,000
 
Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026
$    794,773
 
 
TOTAL
1,609,522
 
 
Capital Goods - Diversified Manufacturing—1.6%
 
  155,000
 
Otis Worldwide Corp., Sr. Unsecd. Note, Series WI, 2.565%, 2/15/2030
    130,575
  300,000
 
Roper Technologies, Inc., Sr. Unsecd. Note, 1.400%, 9/15/2027
    254,257
  110,000
 
Roper Technologies, Inc., Sr. Unsecd. Note, 2.950%, 9/15/2029
     95,902
   60,000
 
Roper Technologies, Inc., Sr. Unsecd. Note, 3.850%, 12/15/2025
     58,276
  245,000
 
Roper Technologies, Inc., Sr. Unsecd. Note, 4.200%, 9/15/2028
    237,126
   80,000
 
Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044
     69,122
  390,000
 
Valmont Industries, Inc., Sr. Unsecd. Note, 5.250%, 10/1/2054
    331,053
  335,000
 
Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026
    283,785
  500,000
 
Vontier Corp., Sr. Unsecd. Note, Series WI, 2.950%, 4/1/2031
    362,026
  160,000
 
Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025
    150,781
  285,000
 
Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031
    231,884
 
 
TOTAL
2,204,787
 
 
Capital Goods - Packaging—0.4%
 
  180,000
 
Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024
    175,484
  220,000
 
Sonoco Products Co., Sr. Unsecd. Note, 5.750%, 11/1/2040
    211,775
  150,000
 
WestRock Co., Sr. Unsecd. Note, Series WI, 4.000%, 3/15/2028
    139,852
 
 
TOTAL
527,111
 
 
Communications - Cable & Satellite—2.0%
 
  440,000
 
CCO Safari II LLC, 6.484%, 10/23/2045
    398,650
  600,000
 
Charter Communications, Inc., 4.200%, 3/15/2028
    552,520
  380,000
 
Charter Communications Operating LLC, 5.375%, 5/1/2047
    299,592
  250,000
 
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061
    145,471
  500,000
 
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 4.800%, 3/1/2050
    364,944
  865,000
 
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Term Loan - 1st Lien,
3.900%, 6/1/2052
    546,275
  165,000
 
Cox Communications, Inc., Sr. Unsecd. Note, 144A, 3.350%, 9/15/2026
    154,488
  300,000
 
Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041
    250,088
 
 
TOTAL
2,712,028
 
 
Communications - Media & Entertainment—3.4%
 
  500,000
 
Discovery Communications LLC, Sr. Unsecd. Note, 4.650%, 5/15/2050
    345,712
  135,000
 
Fox Corp., Sr. Unsecd. Note, Series WI, 4.709%, 1/25/2029
    130,730
  375,000
 
Fox Corp., Sr. Unsecd. Note, Series WI, 5.576%, 1/25/2049
    336,384
  950,000
 
Grupo Televisa S.A., Sr. Unsecd. Note, 5.000%, 5/13/2045
    812,609
  167,000
 
Grupo Televisa S.A., Sr. Unsecd. Note, 6.625%, 3/18/2025
    169,797
  300,000
 
Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 2.400%, 3/1/2031
    237,501
  495,000
 
Interpublic Group of Cos., Inc., Sr. Unsecd. Note, 3.375%, 3/1/2041
    349,114
  850,000
 
Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028
    822,661
  300,000
 
Omnicom Group, Inc., Sr. Unsecd. Note, 2.450%, 4/30/2030
    249,142
  300,000
 
Omnicom Group, Inc., Sr. Unsecd. Note, 2.600%, 8/1/2031
    246,233
  200,000
 
Omnicom Group, Inc., Sr. Unsecd. Note, 3.650%, 11/1/2024
    196,225
  190,000
 
Paramount Global, Sr. Unsecd. Note, 3.700%, 6/1/2028
    169,807
  475,000
 
Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032
    389,976
  200,000
 
Paramount Global, Sr. Unsecd. Note, 4.900%, 8/15/2044
    146,823
 
 
TOTAL
4,602,714
 
 
Communications - Telecom Wireless—4.1%
 
  450,000
 
American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026
    393,221
  300,000
 
American Tower Corp., Sr. Unsecd. Note, 2.100%, 6/15/2030
    238,126
Annual Shareholder Report
6

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Communications - Telecom Wireless—continued
 
$  300,000
 
American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050
$    190,010
  250,000
 
American Tower Corp., Sr. Unsecd. Note, 3.800%, 8/15/2029
    227,335
  100,000
2
American Tower Corp., Sr. Unsecd. Note, 4.400%, 2/15/2026
     97,560
  200,000
 
American Tower Corp., Sr. Unsecd. Note, 5.000%, 2/15/2024
    199,352
  280,000
 
Bell Canada, Sr. Unsecd. Note, 4.464%, 4/1/2048
    239,884
  300,000
 
Crown Castle Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031
    241,385
  400,000
 
Crown Castle International Corp., Sr. Unsecd. Note, 4.450%, 2/15/2026
    391,369
  200,000
 
Crown Castle International Corp., Sr. Unsecd. Note, 5.200%, 2/15/2049
    180,805
  300,000
 
TELUS Corp., Sr. Unsecd. Note, 2.800%, 2/16/2027
    277,579
  500,000
 
T-Mobile USA, Inc., Series WI, 2.700%, 3/15/2032
    405,300
  600,000
 
T-Mobile USA, Inc., Series WI, 3.875%, 4/15/2030
    544,896
  415,000
 
T-Mobile USA, Inc., Sec. Fac. Bond, 4.500%, 4/15/2050
    343,241
  550,000
 
T-Mobile USA, Inc., Series WI, 3.000%, 2/15/2041
    390,177
  180,000
 
T-Mobile USA, Inc., Sr. Unsecd. Note, 5.650%, 1/15/2053
    175,253
  230,000
 
Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025
    226,551
  350,000
 
Vodafone Group PLC, Sr. Unsecd. Note, 4.250%, 9/17/2050
    268,513
  580,000
 
Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048
    513,642
 
 
TOTAL
5,544,199
 
 
Communications - Telecom Wirelines—6.7%
 
  400,000
 
AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026
    360,941
  877,000
 
AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033
    676,553
  350,000
 
AT&T, Inc., Sr. Unsecd. Note, 2.750%, 6/1/2031
    290,932
  300,000
 
AT&T, Inc., Sr. Unsecd. Note, 3.500%, 6/1/2041
    224,891
1,000,000
 
AT&T, Inc., Sr. Unsecd. Note, 3.650%, 6/1/2051
    708,831
  255,000
 
AT&T, Inc., Sr. Unsecd. Note, 3.850%, 6/1/2060
    178,117
  500,000
 
AT&T, Inc., Sr. Unsecd. Note, 4.300%, 2/15/2030
    471,982
  500,000
 
AT&T, Inc., Sr. Unsecd. Note, 4.350%, 3/1/2029
    476,539
  400,000
 
AT&T, Inc., Sr. Unsecd. Note, 5.450%, 3/1/2047
    376,675
  245,000
 
AT&T, Inc., Sr. Unsecd. Note, 6.375%, 3/1/2041
    256,235
  545,000
 
AT&T, Inc., Sr. Unsecd. Note, Series WI, 5.300%, 8/15/2058
    484,218
  815,000
 
Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042
    667,603
   40,000
 
Telefonica SA, Company Guarantee, 7.045%, 6/20/2036
     41,159
  680,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 1.450%, 3/20/2026
    611,235
  400,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031
    329,931
1,785,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041
  1,349,207
   30,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 4.000%, 3/22/2050
     23,618
  390,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046
    311,639
  750,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 3/16/2027
    731,618
  500,000
 
Verizon Communications, Inc., Sr. Unsecd. Note, Series WI, 1.680%, 10/30/2030
    390,893
 
 
TOTAL
8,962,817
 
 
Consumer Cyclical - Automotive—5.1%
 
  650,000
 
Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026
    573,596
  175,000
 
Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028
    147,386
  200,000
 
General Motors Co., Sr. Unsecd. Note, 4.000%, 4/1/2025
    195,249
  455,000
 
General Motors Co., Sr. Unsecd. Note, 5.200%, 4/1/2045
    371,672
  110,000
 
General Motors Co., Sr. Unsecd. Note, 6.750%, 4/1/2046
    105,961
  750,000
 
General Motors Financial Co., Inc., Sr. Unsecd. Note, 1.500%, 6/10/2026
    652,219
  750,000
 
General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028
    632,070
   50,000
 
General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.700%, 8/20/2027
     43,785
  400,000
 
General Motors Financial Co., Inc., Sr. Unsecd. Note, 3.950%, 4/13/2024
    392,319
Annual Shareholder Report
7

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Consumer Cyclical - Automotive—continued
 
$  250,000
 
General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.300%, 7/13/2025
$    242,355
  300,000
 
General Motors Financial Co., Inc., Unsecd. Note, 3.500%, 11/7/2024
    289,106
  600,000
 
Hyundai Capital America, Sr. Unsecd. Note, 144A, 1.000%, 9/17/2024
    554,726
  380,000
 
Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.000%, 6/15/2028
    310,176
  235,000
 
Hyundai Capital America, Sr. Unsecd. Note, 144A, 2.375%, 2/10/2023
    234,480
1,200,000
 
Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.850%, 9/16/2026
  1,003,254
  400,000
 
Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027
    343,775
  400,000
 
Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 2.691%, 9/15/2031
    306,148
  470,000
 
Stellantis N.V., Sr. Unsecd. Note, 5.250%, 4/15/2023
    470,423
 
 
TOTAL
6,868,700
 
 
Consumer Cyclical - Leisure—0.6%
 
  500,000
 
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 4.279%, 3/15/2032
    413,134
  510,000
 
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 144A, 5.050%, 3/15/2042
    391,998
 
 
TOTAL
805,132
 
 
Consumer Cyclical - Retailers—3.3%
 
  150,000
 
Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027
    126,155
  675,000
 
Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030
    593,134
  600,000
 
Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 3.800%, 1/25/2050
    424,383
  130,000
 
AutoNation, Inc., Sr. Unsecd. Note, 4.500%, 10/1/2025
    126,586
  185,000
 
AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030
    165,477
   55,000
 
AutoZone, Inc., Sr. Unsecd. Note, 3.125%, 4/21/2026
     52,014
  345,000
2
AutoZone, Inc., Sr. Unsecd. Note, 4.000%, 4/15/2030
    320,278
  400,000
 
CVS Health Corp., Sr. Unsecd. Note, 2.875%, 6/1/2026
    373,888
   50,000
 
CVS Health Corp., Sr. Unsecd. Note, 3.875%, 7/20/2025
     48,840
  880,000
 
CVS Health Corp., Sr. Unsecd. Note, 5.050%, 3/25/2048
    794,319
  520,000
 
CVS Health Corp., Sr. Unsecd. Note, 5.125%, 7/20/2045
    476,472
  300,000
 
Dollar General Corp., Sr. Unsecd. Note, 4.125%, 5/1/2028
    286,193
  610,000
2
O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031
    474,954
  160,000
 
O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030
    151,398
 
 
TOTAL
4,414,091
 
 
Consumer Non-Cyclical - Food/Beverage—6.7%
 
1,000,000
 
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046
    914,116
  100,000
 
Anheuser-Busch InBev Finance, Inc., Sr. Unsecd. Note, 4.900%, 2/1/2046
     91,412
  300,000
 
Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.350%, 6/1/2040
    264,914
  500,000
 
Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.439%, 10/6/2048
    429,577
  500,000
 
Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029
    494,618
  125,000
 
Bacardi Ltd., Sr. Unsecd. Note, 144A, 2.750%, 7/15/2026
    113,117
  650,000
 
Coca-Cola European Partners PLC, Sr. Unsecd. Note, 144A, 1.500%, 1/15/2027
    563,067
  710,000
 
Conagra Brands, Inc., Sr. Unsecd. Note, 1.375%, 11/1/2027
    592,594
  250,000
 
Constellation Brands, Inc., Sr. Unsecd. Note, 5.250%, 11/15/2048
    235,737
  135,000
 
Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031
    109,017
  210,000
 
Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026
    196,855
  445,000
 
General Mills, Inc., Sr. Unsecd. Note, 3.000%, 2/1/2051
    306,398
  200,000
 
Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024
    195,981
  150,000
 
Heineken NV, Sr. Unsecd. Note, 144A, 4.350%, 3/29/2047
    121,147
  110,000
 
International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.832%, 10/15/2027
     92,491
  300,000
 
International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030
    238,700
  255,000
 
JDE Peet’s B.V., Sr. Unsecd. Note, 144A, 0.800%, 9/24/2024
    233,065
  250,000
 
Kerry Group Financial Services, Sr. Unsecd. Note, 144A, 3.200%, 4/9/2023
    247,643
   53,000
 
Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025
     52,448
Annual Shareholder Report
8

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Consumer Non-Cyclical - Food/Beverage—continued
 
$  750,000
 
Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046
$    612,893
  190,000
2
McCormick & Co., Inc., Sr. Unsecd. Note, 1.850%, 2/15/2031
    147,338
  250,000
 
McCormick & Co., Inc., Sr. Unsecd. Note, 3.400%, 8/15/2027
    233,276
  500,000
 
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031
    358,842
  300,000
 
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030
    229,050
  300,000
 
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027
    276,691
  350,000
 
Smucker (J.M.) Co., Sr. Unsecd. Note, 2.375%, 3/15/2030
    290,708
  300,000
 
Smucker (J.M.) Co., Sr. Unsecd. Note, 3.500%, 3/15/2025
    290,490
  400,000
 
Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048
    330,178
  200,000
 
Tyson Foods, Inc., 3.950%, 8/15/2024
    196,904
  585,000
 
Tyson Foods, Inc., Sr. Unsecd. Note, 3.550%, 6/2/2027
    549,241
 
 
TOTAL
9,008,508
 
 
Consumer Non-Cyclical - Health Care—1.9%
 
  350,000
 
Alcon Finance Corp., Sr. Unsecd. Note, 144A, 2.600%, 5/27/2030
    298,138
  220,000
 
Alcon Finance Corp., Sr. Unsecd. Note, 144A, 3.000%, 9/23/2029
    192,064
   55,000
 
Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024
     53,674
  300,000
 
Becton Dickinson & Co., Sr. Unsecd. Note, 4.669%, 6/6/2047
    265,511
  179,000
 
Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044
    160,863
  295,000
 
Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050
    189,484
  145,000
 
GE Healthcare Holding LLC, Sr. Unsecd. Note, 144A, 6.377%, 11/22/2052
    154,888
1,500,000
 
HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051
    968,416
  335,000
 
PerkinElmer, Inc., Sr. Unsecd. Note, 0.850%, 9/15/2024
    310,652
 
 
TOTAL
2,593,690
 
 
Consumer Non-Cyclical - Pharmaceuticals—2.4%
 
  955,000
 
AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029
    863,082
  750,000
 
Amgen, Inc., Sr. Unsecd. Note, 2.450%, 2/21/2030
    632,762
  185,000
 
AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030
    146,583
  300,000
 
Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.625%, 6/25/2038
    262,173
  300,000
 
Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.875%, 6/25/2048
    260,150
  600,000
 
Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050
    392,590
  375,000
 
Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 2.050%, 3/31/2030
    306,930
  500,000
 
Takeda Pharmaceutical Co. Ltd., Sr. Unsecd. Note, 3.025%, 7/9/2040
    368,867
 
 
TOTAL
3,233,137
 
 
Consumer Non-Cyclical - Supermarkets—0.4%
 
  300,000
 
Kroger Co., Bond, 6.900%, 4/15/2038
    329,929
  250,000
 
Kroger Co., Sr. Unsecd. Note, 3.950%, 1/15/2050
    195,285
 
 
TOTAL
525,214
 
 
Consumer Non-Cyclical - Tobacco—1.8%
 
  500,000
 
Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051
    315,035
  650,000
 
Altria Group, Inc., Sr. Unsecd. Note, 3.875%, 9/16/2046
    437,042
  200,000
 
Altria Group, Inc., Sr. Unsecd. Note, 4.800%, 2/14/2029
    192,323
  325,000
 
BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028
    270,264
  500,000
 
BAT Capital Corp., Sr. Unsecd. Note, Series WI, 3.557%, 8/15/2027
    457,575
  200,000
 
BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047
    142,067
  300,000
 
Reynolds American, Inc., Sr. Unsecd. Note, 5.850%, 8/15/2045
    256,778
  300,000
 
Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041
    297,904
 
 
TOTAL
2,368,988
 
 
Energy - Independent—2.1%
 
  250,000
 
Canadian Natural Resources Ltd., Sr. Unsecd. Note, 2.050%, 7/15/2025
    232,819
  590,000
 
Canadian Natural Resources Ltd., Sr. Unsecd. Note, 3.800%, 4/15/2024
    578,469
Annual Shareholder Report
9

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Energy - Independent—continued
 
$  390,000
 
Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 5/15/2027
$    364,750
  175,000
 
Coterra Energy, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 3/15/2029
    165,729
  190,000
 
Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033
    193,437
  685,000
 
Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041
    650,511
  200,000
 
Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027
    191,316
  500,000
 
Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031
    396,379
 
 
TOTAL
2,773,410
 
 
Energy - Integrated—1.1%
 
  605,000
 
Cenovus Energy, Inc., Sr. Unsecd. Note, 3.750%, 2/15/2052
    427,543
  300,000
 
Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027
    287,193
  240,000
 
Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029
    222,190
  100,000
 
Petro-Canada, Bond, 5.350%, 7/15/2033
     94,090
  130,000
 
Petroleos Mexicanos, Sr. Unsecd. Note, 6.500%, 3/13/2027
    118,861
  500,000
 
Suncor Energy, Inc., Sr. Unsecd. Note, 3.750%, 3/4/2051
    361,476
 
 
TOTAL
1,511,353
 
 
Energy - Midstream—5.7%
 
  130,000
 
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031
    109,048
  165,000
 
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032
    136,990
  400,000
 
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029
    377,344
  100,000
 
Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 4.500%, 6/1/2025
     98,567
  100,000
 
Columbia Pipeline Group, Inc., Sr. Unsecd. Note, 5.800%, 6/1/2045
     96,954
   50,000
 
Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029
     43,273
   65,000
 
Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049
     46,210
  725,000
 
Energy Transfer Operating, Sr. Unsecd. Note, 5.000%, 5/15/2050
    582,457
  250,000
 
Energy Transfer Partners LP, Sr. Unsecd. Note, 5.300%, 4/15/2047
    209,224
  250,000
 
Energy Transfer Partners LP, Sr. Unsecd. Note, 6.125%, 12/15/2045
    232,454
  550,000
 
Enterprise Products Operating LLC, Sr. Unsecd. Note, 3.700%, 1/31/2051
    399,031
  200,000
 
Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.250%, 2/15/2048
    161,430
  500,000
 
Enterprise Products Operating LLC, Sr. Unsecd. Note, 4.850%, 3/15/2044
    443,141
  400,000
 
Kinder Morgan Energy Partners LP, 4.250%, 9/1/2024
    393,453
  495,000
 
Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041
    491,806
  300,000
 
Kinder Morgan, Inc., 5.050%, 2/15/2046
    255,782
  300,000
 
Kinder Morgan, Inc., Sr. Unsecd. Note, 4.300%, 3/1/2028
    287,925
  350,000
 
MPLX LP, Sr. Unsecd. Note, 2.650%, 8/15/2030
    284,429
  395,000
 
MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027
    373,667
  200,000
 
MPLX LP, Sr. Unsecd. Note, 4.900%, 4/15/2058
    157,646
  500,000
 
MPLX LP, Sr. Unsecd. Note, 4.950%, 3/14/2052
    410,801
   80,000
 
MPLX LP, Sr. Unsecd. Note, Series WI, 4.250%, 12/1/2027
     75,731
  400,000
 
ONEOK, Inc., Sr. Unsecd. Note, 3.100%, 3/15/2030
    336,079
  500,000
 
ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047
    404,998
  180,000
 
Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033
    155,378
  290,000
 
TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027
    273,727
  290,000
 
Williams Partners LP, Sr. Unsecd. Note, 3.900%, 1/15/2025
    282,637
  650,000
 
Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045
    555,851
 
 
TOTAL
7,676,033
 
 
Energy - Refining—1.5%
 
  200,000
 
Marathon Petroleum Corp., Sr. Unsecd. Note, 3.625%, 9/15/2024
    194,756
  225,000
 
Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044
    188,865
  150,000
 
Marathon Petroleum Corp., Sr. Unsecd. Note, 6.500%, 3/1/2041
    154,762
  245,000
 
Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026
    219,760
Annual Shareholder Report
10

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Energy - Refining—continued
 
$  565,000
 
Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044
$    519,023
  400,000
 
Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031
    327,053
  140,000
 
Valero Energy Corp., Sr. Unsecd. Note, 4.000%, 4/1/2029
    132,042
  400,000
 
Valero Energy Corp., Sr. Unsecd. Note, 4.900%, 3/15/2045
    357,039
 
 
TOTAL
2,093,300
 
 
Financial Institution - Banking—7.4%
 
  410,000
 
Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025
    399,070
  400,000
 
Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032
    309,004
  200,000
 
Bank of America Corp., Sub. Note, Series L, 3.950%, 4/21/2025
    194,817
  575,000
 
Bank of America Corp., Sub. Note, Series L, 4.183%, 11/25/2027
    546,378
  800,000
 
Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025
    783,642
  500,000
 
Capital One Financial Corp., Sr. Unsecd. Note, 3.750%, 3/9/2027
    475,861
  255,000
 
Capital One Financial Corp., Sr. Unsecd. Note, 3.900%, 1/29/2024
    251,912
  480,000
 
Citigroup, Inc., 4.125%, 7/25/2028
    447,667
  250,000
 
Citigroup, Inc., 5.500%, 9/13/2025
    251,790
  750,000
 
Citigroup, Inc., Sub. Note, 3.875%, 3/26/2025
    729,840
  450,000
 
Citigroup, Inc., Sub. Note, 4.450%, 9/29/2027
    429,786
  580,000
 
Citizens Financial Group, Inc., Sub. Note, 2.638%, 9/30/2032
    432,200
  200,000
2
Comerica, Inc., 3.800%, 7/22/2026
    191,217
  200,000
 
Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025
    194,685
  120,000
 
Fifth Third Bancorp, Sr. Unsecd. Note, 3.650%, 1/25/2024
    118,236
  200,000
 
Fifth Third Bancorp, Sr. Unsecd. Note, 3.950%, 3/14/2028
    191,902
  245,000
 
FNB Corp. (PA), Sr. Unsecd. Note, 2.200%, 2/24/2023
    243,784
  370,000
 
FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025
    365,966
  500,000
 
Goldman Sachs Group, Inc., 5.950%, 1/15/2027
    513,965
  400,000
 
Goldman Sachs Group, Inc., Sr. Unsecd. Note, Series DMTN, 2.383%, 7/21/2032
    311,329
  900,000
 
Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025
    879,306
  750,000
 
Huntington National Bank, Sr. Unsecd. Note, 4.552%, 5/17/2028
    724,831
  400,000
 
Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032
    307,836
  450,000
 
Morgan Stanley, Sub. Note, 5.000%, 11/24/2025
    449,142
  200,000
 
Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026
    187,321
 
 
TOTAL
9,931,487
 
 
Financial Institution - Broker/Asset Mgr/Exchange—0.8%
 
  575,000
2
Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032
    433,885
  200,000
 
Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030
    193,054
  200,000
 
Stifel Financial Corp., Sr. Unsecd. Note, 4.000%, 5/15/2030
    173,908
  300,000
 
Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024
    294,104
 
 
TOTAL
1,094,951
 
 
Financial Institution - Finance Companies—2.0%
 
  500,000
 
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 2.450%, 10/29/2026
    437,869
  525,000
 
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028
    440,783
1,300,000
 
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.400%, 10/29/2033
    989,180
  505,000
 
Air Lease Corp., Sr. Unsecd. Note, 2.200%, 1/15/2027
    440,777
  500,000
 
Air Lease Corp., Sr. Unsecd. Note, 2.875%, 1/15/2032
    398,484
 
 
TOTAL
2,707,093
 
 
Financial Institution - Insurance - Health—0.4%
 
  271,000
 
CIGNA Corp., Sr. Unsecd. Note, 3.750%, 7/15/2023
    269,270
  250,000
 
CIGNA Corp., Sr. Unsecd. Note, 4.900%, 12/15/2048
    226,571
 
 
TOTAL
495,841
Annual Shareholder Report
11

Principal
Amount
or Shares
 
 
Value
         
 
CORPORATE BONDS—continued
 
 
 
Financial Institution - Insurance - Life—0.7%
 
$  255,000
 
American International Group, Inc., Sr. Unsecd. Note, 4.125%, 2/15/2024
$    252,380
  110,000
 
Lincoln National Corp., Sr. Note, 7.000%, 6/15/2040
    115,176
  400,000
 
Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030
    331,376
  100,000
 
MetLife, Inc., Jr. Sub. Note, 10.750%, 8/1/2039
    133,091
   50,000
 
Penn Mutual Life Insurance Co., Sr. Note, 144A, 7.625%, 6/15/2040
     54,158
 
 
TOTAL
886,181
 
 
Financial Institution - Insurance - P&C—0.7%
 
  500,000
 
CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029
    456,152
  120,000
 
Hartford Financial Services Group, Inc., Sr. Unsecd. Note, 6.625%, 4/15/2042
    124,304
  412,000
 
Liberty Mutual Group, Inc., Sr. Unsecd. Note, 144A, 4.569%, 2/1/2029
    385,940
 
 
TOTAL
966,396
 
 
Financial Institution - REIT - Apartment—0.5%
 
  160,000
 
Mid-America Apartment Communities LP, 4.000%, 11/15/2025
    155,613
  150,000
 
Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024
    146,971
  160,000
 
Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031
    125,129
   80,000
 
UDR, Inc., Sr. Unsecd. Note, 3.100%, 11/1/2034
     60,838
  200,000
 
UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028
    182,098
 
 
TOTAL
670,649
 
 
Financial Institution - REIT - Healthcare—1.1%
 
  375,000
2
Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031
    284,752
  245,000
 
Healthcare Trust of America, Sr. Unsecd. Note, 3.100%, 2/15/2030
    205,109
  300,000
 
Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028
    274,545