|
Principal
Amount
|
Description
|
Value (†)
|
|
Bonds and Notes — 96.4% of Net Assets
|
||
|
|
ABS Car Loan — 13.9%
|
|
|
$1,497
|
American Credit Acceptance Receivables Trust,
Series 2020-4, Class C, 1.310%, 12/14/2026(a)
|
$1,490
|
|
20,000
|
American Credit Acceptance Receivables Trust,
Series 2022-4, Class C, 7.860%, 2/15/2029(a)
|
20,150
|
|
29,300
|
American Credit Acceptance Receivables Trust,
Series 2023-2, Class A, 5.890%, 10/13/2026(a)
|
29,218
|
|
60,000
|
American Credit Acceptance Receivables Trust,
Series 2023-3, Class C, 6.440%, 10/12/2029(a)
|
59,845
|
|
34,828
|
American Credit Acceptance Receivables Trust ,
Series 2021-3, Class C, 0.980%, 11/15/2027(a)
|
34,400
|
|
20,000
|
AmeriCredit Automobile Receivables Trust,
Series 2021-2, Class B, 0.690%, 1/19/2027
|
19,019
|
|
55,000
|
AmeriCredit Automobile Receivables Trust,
Series 2021-3, Class C, 1.410%, 8/18/2027
|
49,854
|
|
105,000
|
AmeriCredit Automobile Receivables Trust,
Series 2023-1, Class B, 5.570%, 3/20/2028
|
103,731
|
|
85,000
|
AmeriCredit Automobile Receivables Trust ,
Series 2022-1, Class B, 2.770%, 4/19/2027
|
80,723
|
|
72,359
|
Avid Automobile Receivables Trust , Series 2023-1,
Class A, 6.630%, 7/15/2026(a)
|
72,306
|
|
45,040
|
Canadian Pacer Auto Receivables Trust ,
Series 2021-1A, Class A3, 0.500%, 10/20/2025(a)
|
43,790
|
|
105,000
|
Capital One Prime Auto Receivables Trust ,
Series 2023-1, Class A3, 4.870%, 2/15/2028
|
103,519
|
|
11,208
|
Carvana Auto Receivables Trust, Series 2021-N4,
Class C, 1.720%, 9/11/2028
|
10,606
|
|
45,000
|
Carvana Auto Receivables Trust, Series 2023-P1,
Class A3, 5.980%, 12/10/2027(a)
|
44,743
|
|
60,000
|
Carvana Auto Receivables Trust, Series 2023-P4,
Class A3, 6.160%, 10/10/2028(a)
|
59,995
|
|
45,000
|
Citizens Auto Receivables Trust, Series 2023-2,
Class A2A, 6.090%, 10/15/2026(a)
|
44,969
|
|
20,643
|
Drive Auto Receivables Trust, Series 2021-3, Class B,
1.110%, 5/15/2026
|
20,515
|
|
3,230
|
DT Auto Owner Trust, Series 2020-2A, Class C,
3.280%, 3/16/2026(a)
|
3,216
|
|
16,966
|
DT Auto Owner Trust, Series 2020-3A, Class C,
1.470%, 6/15/2026(a)
|
16,689
|
|
1,382
|
DT Auto Owner Trust, Series 2021-2A, Class B,
0.810%, 1/15/2027(a)
|
1,380
|
|
50,000
|
DT Auto Owner Trust, Series 2021-4A, Class C,
1.500%, 9/15/2027(a)
|
47,380
|
|
50,000
|
DT Auto Owner Trust, Series 2022-3A, Class B,
6.740%, 7/17/2028(a)
|
50,226
|
|
60,000
|
DT Auto Owner Trust, Series 2023-2A, Class B,
5.410%, 2/15/2029(a)
|
59,116
|
|
35,903
|
Enterprise Fleet Financing LLC, Series 2021-2,
Class A2, 0.480%, 5/20/2027(a)
|
34,781
|
|
24,519
|
Exeter Automobile Receivables Trust,
Series 2021-4A, Class B, 1.050%, 5/15/2026
|
24,364
|
|
80,000
|
Exeter Automobile Receivables Trust,
Series 2022-5A, Class B, 5.970%, 3/15/2027
|
79,653
|
|
30,000
|
Exeter Automobile Receivables Trust,
Series 2023-3A, Class B, 6.110%, 9/15/2027
|
29,788
|
|
90,000
|
First Investors Auto Owner Trust , Series 2022-1A,
Class C, 3.130%, 5/15/2028(a)
|
84,397
|
|
30,000
|
Flagship Credit Auto Trust, Series 2021-2, Class B,
0.930%, 6/15/2027(a)
|
29,314
|
|
160,000
|
Flagship Credit Auto Trust, Series 2023-2, Class C,
5.810%, 5/15/2029(a)
|
156,721
|
|
14,239
|
Flagship Credit Auto Trust , Series 2020-4, Class C,
1.280%, 2/16/2027(a)
|
13,902
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
ABS Car Loan — continued
|
|
|
$75,000
|
Ford Credit Auto Lease Trust , Series 2023-A,
Class A3, 4.940%, 3/15/2026
|
$74,229
|
|
19,258
|
Ford Credit Auto Owner Trust, Series 2021-A,
Class A3, 0.300%, 8/15/2025
|
18,879
|
|
85,000
|
Ford Credit Auto Owner Trust, Series 2023-B,
Class A3, 5.230%, 5/15/2028
|
84,386
|
|
29,108
|
Foursight Capital Automobile Receivables Trust,
Series 2021-2, Class A3, 0.810%, 5/15/2026(a)
|
28,869
|
|
120,000
|
GLS Auto Receivables Issuer Trust, Series 2023-1A,
Class B, 6.190%, 6/15/2027(a)
|
119,451
|
|
65,000
|
GLS Auto Receivables Issuer Trust, Series 2023-3A,
Class B, 5.890%, 1/18/2028(a)
|
64,758
|
|
6,233
|
GM Financial Consumer Automobile Receivables
Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025
|
6,115
|
|
9,786
|
Harley-Davidson Motorcycle Trust, Series 2021-A,
Class A3, 0.370%, 4/15/2026
|
9,593
|
|
30,000
|
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A3, 5.690%, 8/15/2028
|
29,982
|
|
25,000
|
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A4, 5.780%, 4/15/2031
|
24,936
|
|
597
|
Harley-Davidson Motorcycle Trust , Series 2022-A,
Class A2A, 2.450%, 5/15/2025
|
596
|
|
8,350
|
Honda Auto Receivables Owner Trust, Series 2021-1,
Class A3, 0.270%, 4/21/2025
|
8,201
|
|
75,000
|
LAD Auto Receivables Trust, Series 2023-3A,
Class A3, 6.120%, 9/15/2027(a)
|
74,757
|
|
30,000
|
Navistar Financial Dealer Note Master Owner Trust
II, Series 2023-1, Class A, 6.180%, 8/25/2028(a)
|
29,910
|
|
130,000
|
OneMain Direct Auto Receivables Trust,
Series 2023-1A, Class A, 5.410%, 11/14/2029(a)
|
128,174
|
|
8,095
|
Prestige Auto Receivables Trust, Series 2020-1A,
Class C, 1.310%, 11/16/2026(a)
|
8,070
|
|
120,000
|
Prestige Auto Receivables Trust, Series 2023-1A,
Class C, 5.650%, 2/15/2028(a)
|
117,348
|
|
5,725
|
Santander Consumer Auto Receivables Trust,
Series 2020-AA, Class C, 3.710%, 2/17/2026(a)
|
5,712
|
|
25,000
|
Santander Drive Auto Receivables Trust,
Series 2023-3, Class C, 5.770%, 11/15/2030
|
24,807
|
|
50,000
|
Santander Drive Auto Receivables Trust,
Series 2023-4, Class B, 5.770%, 12/15/2028
|
50,104
|
|
2,367
|
Santander Retail Auto Lease Trust , Series 2022-A,
Class A2, 0.970%, 3/20/2025(a)
|
2,360
|
|
140,000
|
SFS Auto Receivables Securitization Trust,
Series 2023-1A, Class A3, 5.470%, 10/20/2028(a)
|
138,317
|
|
70,595
|
Toyota Auto Receivables Owner Trust, Series 2021-C,
Class A3, 0.430%, 1/15/2026
|
68,290
|
|
35,296
|
Toyota Lease Owner Trust, Series 2021-B, Class A3,
0.420%, 10/21/2024(a)
|
35,095
|
|
105,000
|
Toyota Lease Owner Trust, Series 2023-A, Class A3,
4.930%, 4/20/2026(a)
|
103,698
|
|
23,124
|
Westlake Automobile Receivables Trust,
Series 2021-2A, Class B, 0.620%, 7/15/2026(a)
|
22,970
|
|
115,000
|
Westlake Automobile Receivables Trust,
Series 2021-3A, Class C, 1.580%, 1/15/2027(a)
|
109,915
|
|
30,000
|
Westlake Automobile Receivables Trust,
Series 2023-1A, Class C, 5.740%, 8/15/2028(a)
|
29,648
|
|
100,000
|
Westlake Automobile Receivables Trust,
Series 2023-3A, Class C, 6.020%, 9/15/2028(a)
|
99,629
|
|
|
|
2,948,599
|
|
|
ABS Credit Card — 2.2%
|
|
|
170,000
|
Capital One Multi-Asset Execution Trust,
Series 2021-A1, Class A1, 0.550%, 7/15/2026
|
163,000
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
ABS Credit Card — continued
|
|
|
$125,000
|
Mercury Financial Credit Card Master Trust,
Series 2022-1A, Class A, 2.500%, 9/21/2026(a)
|
$119,566
|
|
175,000
|
World Financial Network Credit Card Master Trust,
Series 2023-A, 5.020%, 3/15/2030
|
172,072
|
|
|
|
454,638
|
|
|
ABS Other — 4.2%
|
|
|
93,869
|
Chesapeake Funding II LLC, Series 2023-1A,
Class A1, 5.650%, 5/15/2035(a)
|
93,235
|
|
39,774
|
Daimler Trucks Retail Trust, Series 2022-1, Class A2,
5.070%, 9/16/2024
|
39,703
|
|
60,000
|
Daimler Trucks Retail Trust, Series 2023-1, Class A4,
5.930%, 12/16/2030
|
59,936
|
|
86,708
|
FREED ABS Trust, Series 2022-4FP, Class B,
7.580%, 12/18/2029(a)
|
87,122
|
|
180,000
|
HPEFS Equipment Trust , Series 2023-1A, Class A3,
5.410%, 2/22/2028(a)
|
178,892
|
|
77,685
|
Marlette Funding Trust, Series 2023-2A, Class A,
6.040%, 6/15/2033(a)
|
77,424
|
|
6,511
|
OneMain Financial Issuance Trust, Series 2020-1A,
Class A, 3.840%, 5/14/2032(a)
|
6,499
|
|
110,000
|
SCF Equipment Leasing LLC, Series 2022-1A,
Class A3, 2.920%, 7/20/2029(a)
|
106,040
|
|
60,000
|
Verizon Master Trust, Series 2022-5, Class A1A,
3.720%, 7/20/2027
|
59,557
|
|
175,000
|
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A,
Class A, 5.800%, 4/18/2038(a)
|
173,648
|
|
|
|
882,056
|
|
|
ABS Student Loan — 0.5%
|
|
|
115,167
|
Navient Private Education Refi Loan Trust,
Series 2021-EA, Class A, 0.970%, 12/16/2069(a)
|
96,157
|
|
|
Aerospace & Defense — 0.6%
|
|
|
20,000
|
Boeing Co., 4.875%, 5/01/2025
|
19,657
|
|
20,000
|
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025
|
19,317
|
|
45,000
|
L3Harris Technologies, Inc., 5.400%, 1/15/2027
|
44,608
|
|
45,000
|
RTX Corp., 5.000%, 2/27/2026
|
44,452
|
|
|
|
128,034
|
|
|
Agency Commercial Mortgage-Backed Securities — 0.1%
|
|
|
13,844
|
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AL, 30 day USD SOFR Average + 0.474%,
5.786%, 6/25/2027(b)
|
13,846
|
|
10,068
|
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AS, 30 day USD SOFR Average + 0.400%,
5.711%, 6/25/2027(b)
|
10,019
|
|
|
|
23,865
|
|
|
Airlines — 0.3%
|
|
|
55,000
|
Southwest Airlines Co., 5.250%, 5/04/2025
|
54,362
|
|
15,000
|
United Airlines, Inc., 4.375%, 4/15/2026(a)
|
13,872
|
|
|
|
68,234
|
|
|
Automotive — 2.8%
|
|
|
120,000
|
BMW U.S. Capital LLC, 5.050%, 8/11/2028(a)
|
117,351
|
|
145,000
|
General Motors Financial Co., Inc.,
6.050%, 10/10/2025
|
144,358
|
|
20,000
|
Harley-Davidson Financial Services, Inc.,
3.350%, 6/08/2025(a)
|
18,981
|
|
65,000
|
Harley-Davidson Financial Services, Inc.,
6.500%, 3/10/2028(a)
|
64,258
|
|
75,000
|
Hyundai Capital America, 5.950%, 9/21/2026(a)
|
74,787
|
|
20,000
|
Nissan Motor Acceptance Co. LLC,
7.050%, 9/15/2028(a)
|
19,997
|
|
50,000
|
PACCAR Financial Corp., MTN, 5.050%, 8/10/2026
|
49,759
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
Automotive — continued
|
|
|
$30,000
|
Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026
|
$29,705
|
|
65,000
|
Toyota Motor Credit Corp., MTN, 5.250%, 9/11/2028
|
64,633
|
|
|
|
583,829
|
|
|
Banking — 6.5%
|
|
|
55,000
|
Ally Financial, Inc., 7.100%, 11/15/2027
|
54,993
|
|
85,000
|
American Express Co., (fixed rate to 7/27/2028,
variable rate thereafter), 5.282%, 7/27/2029
|
82,869
|
|
110,000
|
Bank of America Corp., MTN, (fixed rate to 4/02/2025,
variable rate thereafter), 3.384%, 4/02/2026
|
105,280
|
|
15,000
|
Bank of Montreal, 5.300%, 6/05/2026
|
14,798
|
|
35,000
|
Bank of Montreal, SOFR Index + 0.350%,
5.694%, 12/08/2023(b)
|
34,999
|
|
55,000
|
Bank of Montreal, 5.717%, 9/25/2028
|
54,416
|
|
65,000
|
Bank of New York Mellon Corp., (fixed rate to
4/26/2026, variable rate thereafter), 4.947%, 4/26/2027
|
63,446
|
|
105,000
|
Canadian Imperial Bank of Commerce,
5.986%, 10/03/2028
|
104,766
|
|
65,000
|
Capital One Financial Corp., (fixed rate to 12/06/2023,
variable rate thereafter), 1.343%, 12/06/2024
|
64,215
|
|
40,000
|
Capital One Financial Corp., (fixed rate to 6/08/2028,
variable rate thereafter), 6.312%, 6/08/2029
|
39,092
|
|
35,000
|
Citigroup, Inc., (fixed rate to 5/25/2033, variable rate
thereafter), 6.174%, 5/25/2034
|
33,447
|
|
35,000
|
Fifth Third Bancorp, (fixed rate to 7/27/2028, variable
rate thereafter), 6.339%, 7/27/2029
|
34,575
|
|
120,000
|
Goldman Sachs Group, Inc., (fixed rate to 8/10/2025,
variable rate thereafter), 5.798%, 8/10/2026
|
119,082
|
|
40,000
|
Huntington Bancshares, Inc., (fixed rate to 8/21/2028,
variable rate thereafter), 6.208%, 8/21/2029
|
39,130
|
|
120,000
|
Morgan Stanley, MTN, SOFR + 0.455%,
5.790%, 1/25/2024(b)
|
119,975
|
|
60,000
|
Royal Bank of Canada, GMTN, 5.200%, 7/20/2026
|
59,345
|
|
60,000
|
Royal Bank of Canada, GMTN, SOFR Index + 0.300%,
5.613%, 1/19/2024(b)
|
59,991
|
|
30,000
|
Santander Holdings USA, Inc., (fixed rate to
6/12/2028, variable rate thereafter), 6.565%, 6/12/2029
|
29,265
|
|
60,000
|
State Street Corp., 5.272%, 8/03/2026
|
59,436
|
|
60,000
|
Synchrony Financial, 4.875%, 6/13/2025
|
57,528
|
|
155,000
|
Wells Fargo & Co., MTN, (fixed rate to 4/25/2025,
variable rate thereafter), 3.908%, 4/25/2026
|
149,351
|
|
|
|
1,379,999
|
|
|
Brokerage — 0.7%
|
|
|
100,000
|
Charles Schwab Corp., 5.875%, 8/24/2026
|
99,671
|
|
40,000
|
Jefferies Financial Group, Inc., 5.875%, 7/21/2028
|
39,145
|
|
|
|
138,816
|
|
|
Chemicals — 0.9%
|
|
|
60,000
|
Celanese U.S. Holdings LLC, 6.165%, 7/15/2027
|
59,164
|
|
65,000
|
EIDP, Inc., 4.500%, 5/15/2026
|
63,312
|
|
75,000
|
Nutrien Ltd., 5.900%, 11/07/2024
|
74,790
|
|
|
|
197,266
|
|
|
Collateralized Mortgage Obligations — 0.7%
|
|
|
922
|
Government National Mortgage Association,
Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)
|
831
|
|
389
|
Government National Mortgage Association,
Series 2012-H28, Class FA, 1 mo. USD SOFR + 0.694%,
4.978%, 9/20/2062(b)(c)
|
372
|
|
369
|
Government National Mortgage Association,
Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)
|
319
|
|
2,850
|
Government National Mortgage Association,
Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)
|
2,679
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
Collateralized Mortgage Obligations — continued
|
|
|
$4,678
|
Government National Mortgage Association,
Series 2016-H13, Class FT, 1 mo. USD SOFR + 0.694%,
6.012%, 5/20/2066(b)(c)
|
$4,618
|
|
318
|
Government National Mortgage Association,
Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%,
4.408%, 10/20/2064(b)(c)
|
308
|
|
13,091
|
Government National Mortgage Association,
Series 2019-H01, Class FJ, 1 mo. USD SOFR + 0.414%,
4.525%, 9/20/2068(b)(c)
|
12,892
|
|
13,483
|
Government National Mortgage Association,
Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%,
5.832%, 10/20/2068(b)
|
13,435
|
|
18,073
|
Government National Mortgage Association,
Series 2019-H05, Class FT, 1 yr. CMT + 0.430%,
5.810%, 4/20/2069(b)
|
18,067
|
|
32,287
|
Government National Mortgage Association,
Series 2019-H13, Class FT, 1 yr. CMT + 0.450%,
5.830%, 8/20/2069(b)
|
32,248
|
|
67,349
|
Government National Mortgage Association,
Series 2020-H01, Class FT, 1 yr. CMT + 0.500%,
5.880%, 1/20/2070(b)
|
67,060
|
|
|
|
152,829
|
|
|
Construction Machinery — 0.8%
|
|
|
100,000
|
Caterpillar Financial Services Corp.,
5.150%, 8/11/2025
|
99,465
|
|
35,000
|
CNH Industrial Capital LLC, 5.450%, 10/14/2025
|
34,728
|
|
35,000
|
CNH Industrial Capital LLC, 5.500%, 1/12/2029
|
34,394
|
|
|
|
168,587
|
|
|
Consumer Cyclical Services — 0.3%
|
|
|
66,000
|
Expedia Group, Inc., 6.250%, 5/01/2025(a)
|
66,109
|
|
|
Electric — 5.8%
|
|
|
45,000
|
AES Corp., 3.300%, 7/15/2025(a)
|
42,623
|
|
60,000
|
American Electric Power Co., Inc., 5.699%, 8/15/2025
|
59,692
|
|
85,000
|
CenterPoint Energy, Inc., 5.250%, 8/10/2026
|
83,907
|
|
85,000
|
Consolidated Edison, Inc., Series A,
0.650%, 12/01/2023
|
84,282
|
|
30,000
|
Dominion Energy, Inc., 3.071%, 8/15/2024
|
29,205
|
|
90,000
|
DTE Energy Co., 4.220%, 11/01/2024
|
88,322
|
|
75,000
|
Edison International, 4.700%, 8/15/2025
|
72,983
|
|
20,000
|
Interstate Power & Light Co., 5.700%, 10/15/2033
|
19,669
|
|
85,000
|
ITC Holdings Corp., 4.950%, 9/22/2027(a)
|
82,816
|
|
50,000
|
NextEra Energy Capital Holdings, Inc.,
5.749%, 9/01/2025
|
49,860
|
|
45,000
|
NextEra Energy Capital Holdings, Inc.,
6.051%, 3/01/2025
|
45,068
|
|
65,000
|
Pacific Gas & Electric Co., 3.250%, 2/16/2024
|
64,239
|
|
35,000
|
Pacific Gas & Electric Co., 6.100%, 1/15/2029
|
34,185
|
|
25,000
|
Pennsylvania Electric Co., 5.150%, 3/30/2026(a)
|
24,531
|
|
25,000
|
Southern California Edison Co., 5.650%, 10/01/2028
|
24,955
|
|
85,000
|
Southern Co., Series 21-A, 0.600%, 2/26/2024
|
83,174
|
|
85,000
|
Vistra Operations Co. LLC, 5.125%, 5/13/2025(a)
|
82,871
|
|
65,000
|
WEC Energy Group, Inc., 0.800%, 3/15/2024
|
63,474
|
|
95,000
|
WEC Energy Group, Inc., 5.600%, 9/12/2026
|
94,984
|
|
90,000
|
Xcel Energy, Inc., 0.500%, 10/15/2023
|
89,834
|
|
|
|
1,220,674
|
|
|
Finance Companies — 3.4%
|
|
|
40,000
|
Air Lease Corp., MTN, 0.700%, 2/15/2024
|
39,196
|
|
80,000
|
Air Lease Corp., 0.800%, 8/18/2024
|
76,277
|
|
40,000
|
Aircastle Ltd., 2.850%, 1/26/2028(a)
|
33,939
|
|
20,000
|
Aircastle Ltd., 6.500%, 7/18/2028(a)
|
19,614
|
|
30,000
|
Ares Capital Corp., 2.875%, 6/15/2028
|
25,092
|
|
30,000
|
Ares Capital Corp., 3.250%, 7/15/2025
|
28,101
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
Finance Companies — continued
|
|
|
$35,000
|
Avolon Holdings Funding Ltd., 5.500%, 1/15/2026(a)
|
$33,883
|
|
60,000
|
Bain Capital Specialty Finance, Inc.,
2.550%, 10/13/2026
|
51,744
|
|
20,000
|
Barings BDC, Inc., 3.300%, 11/23/2026
|
17,548
|
|
45,000
|
Blackstone Private Credit Fund, 2.625%, 12/15/2026
|
38,733
|
|
55,000
|
Blackstone Secured Lending Fund, 2.850%, 9/30/2028
|
45,013
|
|
30,000
|
Blue Owl Capital Corp., 3.750%, 7/22/2025
|
28,108
|
|
55,000
|
Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a)
|
54,519
|
|
45,000
|
FS KKR Capital Corp., 3.250%, 7/15/2027
|
38,747
|
|
40,000
|
Golub Capital BDC, Inc., 2.500%, 8/24/2026
|
35,056
|
|
60,000
|
Hercules Capital, Inc., 3.375%, 1/20/2027
|
52,461
|
|
25,000
|
Main Street Capital Corp., 3.000%, 7/14/2026
|
22,090
|
|
25,000
|
Morgan Stanley Direct Lending Fund,
4.500%, 2/11/2027
|
23,223
|
|
45,000
|
Navient Corp., 9.375%, 7/25/2030
|
44,381
|
|
15,000
|
Sixth Street Specialty Lending, Inc.,
6.950%, 8/14/2028
|
14,836
|
|
|
|
722,561
|
|
|
Food & Beverage — 1.2%
|
|
|
20,000
|
Cargill, Inc., 4.500%, 6/24/2026(a)
|
19,560
|
|
85,000
|
Conagra Brands, Inc., 5.300%, 10/01/2026
|
84,137
|
|
90,000
|
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc., 5.125%, 2/01/2028
|
85,644
|
|
60,000
|
Keurig Dr Pepper, Inc., 0.750%, 3/15/2024
|
58,585
|
|
|
|
247,926
|
|
|
Gaming — 0.3%
|
|
|
65,000
|
GLP Capital LP/GLP Financing II, Inc.,
5.250%, 6/01/2025
|
63,661
|
|
|
Government Owned - No Guarantee — 0.9%
|
|
|
200,000
|
NBN Co. Ltd., 0.875%, 10/08/2024(a)
|
189,999
|
|
|
Health Insurance — 0.5%
|
|
|
95,000
|
UnitedHealth Group, Inc., 5.150%, 10/15/2025
|
94,720
|
|
|
Home Construction — 0.1%
|
|
|
20,000
|
Forestar Group, Inc., 3.850%, 5/15/2026(a)
|
18,154
|
|
|
Independent Energy — 1.0%
|
|
|
15,000
|
Crescent Energy Finance LLC, 9.250%, 2/15/2028(a)
|
15,314
|
|
31,000
|
EQT Corp., 6.125%, 2/01/2025
|
30,893
|
|
55,000
|
Ovintiv, Inc., 5.650%, 5/15/2028
|
53,798
|
|
65,000
|
Pioneer Natural Resources Co., 5.100%, 3/29/2026
|
64,165
|
|
45,000
|
Sitio Royalties Operating Partnership LP/Sitio
Finance Corp., 7.875%, 11/01/2028(a)
|
45,112
|
|
|
|
209,282
|
|
|
Life Insurance — 3.1%
|
|
|
20,000
|
Brighthouse Financial Global Funding,
1.200%, 12/15/2023(a)
|
19,806
|
|
120,000
|
Brighthouse Financial Global Funding,
1.750%, 1/13/2025(a)
|
113,163
|
|
25,000
|
Corebridge Financial, Inc., 6.050%, 9/15/2033(a)
|
24,281
|
|
95,000
|
Corebridge Global Funding, 5.750%, 7/02/2026(a)
|
93,853
|
|
40,000
|
MetLife, Inc., 5.375%, 7/15/2033
|
38,453
|
|
5,000
|
New York Life Global Funding, 4.700%, 4/02/2026(a)
|
4,898
|
|
110,000
|
New York Life Global Funding, 5.450%, 9/18/2026(a)
|
109,718
|
|
85,000
|
Northwestern Mutual Global Funding,
0.600%, 3/25/2024(a)
|
82,928
|
|
105,000
|
Principal Life Global Funding II, 0.500%, 1/08/2024(a)
|
103,479
|
|
70,000
|
Security Benefit Global Funding, 1.250%, 5/17/2024(a)
|
67,556
|
|
|
|
658,135
|
|
|
Lodging — 0.7%
|
|
|
30,000
|
Hyatt Hotels Corp., 5.375%, 4/23/2025
|
29,666
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
Lodging — continued
|
|
|
$65,000
|
Hyatt Hotels Corp., 5.750%, 1/30/2027
|
$64,583
|
|
45,000
|
Marriott International, Inc., 5.550%, 10/15/2028
|
44,497
|
|
|
|
138,746
|
|
|
Media Entertainment — 0.3%
|
|
|
5,000
|
Take-Two Interactive Software, Inc.,
3.300%, 3/28/2024
|
4,932
|
|
70,000
|
Warnermedia Holdings, Inc., 3.755%, 3/15/2027
|
64,625
|
|
|
|
69,557
|
|
|
Metals & Mining — 1.3%
|
|
|
75,000
|
BHP Billiton Finance USA Ltd., 4.875%, 2/27/2026
|
73,954
|
|
105,000
|
Glencore Funding LLC, 6.125%, 10/06/2028(a)
|
104,820
|
|
55,000
|
Mineral Resources Ltd., 9.250%, 10/01/2028(a)
|
55,550
|
|
45,000
|
Nucor Corp., 3.950%, 5/23/2025
|
43,648
|
|
|
|
277,972
|
|
|
Midstream — 1.3%
|
|
|
40,000
|
Enbridge, Inc., 5.700%, 3/08/2033
|
38,320
|
|
40,000
|
ONEOK, Inc., 5.550%, 11/01/2026
|
39,739
|
|
125,000
|
TransCanada PipeLines Ltd., Series FRN, SOFR Index
+ 1.520%, 6.864%, 3/09/2026(b)
|
125,376
|
|
75,000
|
Williams Cos., Inc., 5.400%, 3/02/2026
|
74,418
|
|
|
|
277,853
|
|
|
Natural Gas — 0.4%
|
|
|
65,000
|
Sempra, 5.400%, 8/01/2026
|
64,311
|
|
25,000
|
Southern Co. Gas Capital Corp., 5.750%, 9/15/2033
|
24,508
|
|
|
|
88,819
|
|
|
Non-Agency Commercial Mortgage-Backed
Securities — 1.4%
|
|
|
30,000
|
BANK, Series 2023-5YR3, Class A3,
6.724%, 9/15/2056(d)
|
30,724
|
|
75,000
|
Benchmark Mortgage Trust, Series 2023-V2,
Class A3, 5.812%, 5/15/2055(d)
|
73,960
|
|
100,000
|
Credit Suisse Mortgage Trust, Series 2014-USA,
Class A2, 3.953%, 9/15/2037(a)
|
85,333
|
|
22,099
|
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C11, Class A4, 4.020%, 8/15/2046(d)
|
21,934
|
|
111,953
|
MSBAM Commercial Mortgage Securities Trust,
Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a)
|
92,361
|
|
|
|
304,312
|
|
|
Office REITs — 0.1%
|
|
|
30,000
|
Hudson Pacific Properties LP, 5.950%, 2/15/2028
|
25,045
|
|
|
Other REITs — 0.4%
|
|
|
95,000
|
Starwood Property Trust, Inc., 3.750%, 12/31/2024(a)
|
90,445
|
|
|
Packaging — 0.6%
|
|
|
40,000
|
Amcor Flexibles North America, Inc.,
4.000%, 5/17/2025
|
38,685
|
|
100,000
|
Sonoco Products Co., 1.800%, 2/01/2025
|
94,321
|
|
|
|
133,006
|
|
|
Property & Casualty Insurance — 0.1%
|
|
|
35,000
|
Trustage Financial Group, Inc., 4.625%, 4/15/2032(a)
|
28,883
|
|
|
Retail REITs — 0.2%
|
|
|
40,000
|
Federal Realty OP LP, 3.950%, 1/15/2024
|
39,753
|
|
|
Retailers — 1.2%
|
|
|
30,000
|
Advance Auto Parts, Inc., 5.900%, 3/09/2026
|
28,974
|
|
65,000
|
AutoZone, Inc., 5.050%, 7/15/2026
|
64,052
|
|
85,000
|
Lowe's Cos., Inc., 4.400%, 9/08/2025
|
83,095
|
|
80,000
|
Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023
|
79,485
|
|
|
|
255,606
|
|
Principal
Amount
|
Description
|
Value (†)
|
|
|
Technology — 2.3%
|
|
|
$40,000
|
Avnet, Inc., 6.250%, 3/15/2028
|
$39,887
|
|
60,000
|
Broadcom, Inc., 4.000%, 4/15/2029(a)
|
54,144
|
|
80,000
|
Dell International LLC/EMC Corp., 5.850%, 7/15/2025
|
79,894
|
|
45,000
|
Fidelity National Information Services, Inc.,
4.500%, 7/15/2025
|
43,901
|
|
45,000
|
Flex Ltd., 6.000%, 1/15/2028
|
44,771
|
|
60,000
|
Global Payments, Inc., 1.500%, 11/15/2024
|
56,992
|
|
110,000
|
Intuit, Inc., 5.125%, 9/15/2028
|
108,823
|
|
35,000
|
NXP BV/NXP Funding LLC/NXP USA, Inc.,
3.150%, 5/01/2027
|
31,914
|
|
25,000
|
Qorvo, Inc., 1.750%, 12/15/2024(a)
|
23,489
|
|
10,000
|
S&P Global, Inc., 5.250%, 9/15/2033(a)
|
9,747
|
|
|
|
493,562
|
|
|
Tobacco — 0.7%
|
|
|
50,000
|
BAT Capital Corp., 6.343%, 8/02/2030
|
49,249
|
|
110,000
|
Philip Morris International, Inc., 5.250%, 9/07/2028
|
107,714
|
|
|
|
156,963
|
|
|
Transportation Services — 0.4%
|
|
|
25,000
|
Element Fleet Management Corp.,
6.271%, 6/26/2026(a)
|
24,914
|
|
55,000
|
Penske Truck Leasing Co. LP/PTL Finance Corp.,
5.550%, 5/01/2028(a)
|
53,276
|
|
|
|
78,190
|
|
|
Treasuries — 33.4%
|
|
|
1,165,000
|
U.S. Treasury Notes, 2.500%, 5/31/2024(e)
|
1,142,474
|
|
745,000
|
U.S. Treasury Notes, 3.875%, 4/30/2025
|
729,838
|
|
2,180,000
|
U.S. Treasury Notes, 4.625%, 6/30/2025
|
2,161,351
|
|
975,000
|
U.S. Treasury Notes, 4.750%, 7/31/2025
|
968,525
|
|
2,065,000
|
U.S. Treasury Notes, 5.000%, 8/31/2025
|
2,060,805
|
|
|
|
7,062,993
|
|
|
Wirelines — 0.8%
|
|
|
40,000
|
AT&T, Inc., 5.400%, 2/15/2034
|
37,436
|
|
85,000
|
Bell Telephone Co. of Canada or Bell Canada,
Series US-3, 0.750%, 3/17/2024
|
83,009
|
|
50,000
|
Verizon Communications, Inc., 3.000%, 3/22/2027
|
45,875
|
|
|
|
166,320
|
|
|
Total Bonds and Notes
(Identified Cost $20,813,543)
|
20,402,155
|
|
|
||
|
|
||
|
Short-Term Investments — 4.5%
|
||
|
422,481
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 9/29/2023 at 2.500% to be
repurchased at $422,569 on 10/02/2023 collateralized
by $484,000 U.S. Treasury Note, 0.750% due 8/31/2026
valued at $430,974 including accrued interest(f)
|
422,481
|
|
425,000
|
U.S. Treasury Bill, 5.274%, 10/10/2023(g)
|
424,503
|
|
110,000
|
U.S. Treasury Bills, 5.284%–5.285%, 11/16/2023(g)(h)
|
109,272
|
|
|
Total Short-Term Investments
(Identified Cost $956,178)
|
956,256
|
|
|
Total Investments — 100.9%
(Identified Cost $21,769,721)
|
21,358,411
|
|
|
Other assets less liabilities — (0.9)%
|
(191,892
)
|
|
|
Net Assets — 100.0%
|
$21,166,519
|
|
(†)
|
Registered investment companies are required to value portfolio investments using an unadjusted, readily available market
quotation. The Fund obtains
readily available market quotations from independent pricing services. Fund investments for which readily available market
quotations are not available
are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee
who is subject to the
Board's oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of
closed-end investment
companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most
extensively. Futures
contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time,
they are traded most
extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation
as reported by an
independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the
last sale price quoted in the
market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as
reported by an independent
pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair
valued using evaluated bids furnished
by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by
an independent pricing service
or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities
where an independent pricing
service is unable to price an investment or where an independent pricing service does not provide a reliable price for the
investment.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of
a foreign market, but prior
to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration
of bankruptcy or a delisting of
the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in
general (such as market
disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments,
the valuation designee may,
among other things, use modeling tools or other processes that may take into account factors such as issuer specific information,
or other related market
activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value
("NAV") is calculated. Fair
valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair
values used to determine a
Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In
addition, the use of fair value
pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and
liabilities denominated in
currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing
at the end of the period.
|
|
(a)
|
All or a portion of these securities are 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. At September 30, 2023, the value of Rule
144A holdings amounted to
$5,246,226 or 24.8% of net assets.
|
|
(b)
|
Variable rate security. Rate as of September 30, 2023 is disclosed.
|
|
(c)
|
Level 3 security. Value has been determined using significant unobservable inputs.
|
|
(d)
|
Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments
on underlying pools of
assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending
rate adjusted by a multiplier
and/or subject to certain floors or caps. Rate as of September 30, 2023 is disclosed.
|
|
(e)
|
Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
|
|
(f)
|
The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires
securities as
collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy
that the market value of the
collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase
agreements are tri-party
arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty.
Repurchase
agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays
or restrictions upon the Fund's
ability to dispose of the underlying securities. As of September 30, 2023, the Fund had an investment in a repurchase agreement
for which the value of the
related collateral exceeded the value of the repurchase agreement.
|
|
(g)
|
Interest rate represents discount rate at time of purchase; not a coupon rate.
|
|
(h)
|
The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These
separate investments,
which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
|
|
ABS
|
Asset-Backed Securities
|
|
CMT
|
Constant Maturity Treasury
|
|
GMTN
|
Global Medium Term Note
|
|
MTN
|
Medium Term Note
|
|
REITs
|
Real Estate Investment Trusts
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
At September 30, 2023, open long futures contracts were as follows:
|
|||||
|
Financial Futures
|
Expiration
Date
|
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
CBOT 2 Year U.S. Treasury Notes Futures
|
12/29/2023
|
19
|
$3,861,099
|
$3,851,508
|
$(9,591
)
|
|
At September 30, 2023, open short futures contracts were as follows:
|
|||||
|
Financial Futures
|
Expiration
Date
|
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
CBOT 10 Year U.S. Treasury Notes Futures
|
12/19/2023
|
11
|
$1,211,751
|
$1,188,688
|
$23,063
|
|
Asset Valuation Inputs
|
||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Bonds and Notes
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
$—
|
$130,810
|
$22,019
|
$152,829
|
|
All Other Bonds and Notes(a)
|
—
|
20,249,326
|
—
|
20,249,326
|
|
Total Bonds and Notes
|
—
|
20,380,136
|
22,019
|
20,402,155
|
|
Short-Term Investments
|
—
|
956,256
|
—
|
956,256
|
|
Total Investments
|
—
|
21,336,392
|
22,019
|
21,358,411
|
|
Futures Contracts (unrealized appreciation)
|
23,063
|
—
|
—
|
23,063
|
|
Total
|
$23,063
|
$21,336,392
|
$22,019
|
$21,381,474
|
|
Liability Valuation Inputs
|
||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Futures Contracts (unrealized depreciation)
|
$(9,591
)
|
$—
|
$—
|
$(9,591
)
|
|
(a)
|
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
|
|
Short Duration Income ETF
|
||||||||||
|
Asset Valuation Inputs
|
||||||||||
|
Investments in Securities
|
Balance as of
December 31,
2022
|
Accrued
Discounts
(Premiums)
|
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
September 30,
2023
|
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
|
|
Bonds and Notes
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
$42,945
|
$—
|
$(18
)
|
$151
|
$78
|
$(21,138
)
|
$—
|
$—
|
$22,018
|
$(135
)
|
|
Assets
|
Unrealized
appreciation
on futures
contracts
|
|
Exchange-traded asset derivatives
|
|
|
Interest rate contracts
|
$23,063
|
|
Liabilities
|
Unrealized
depreciation
on futures
contracts
|
|
Exchange-traded liability derivatives
|
|
|
Interest rate contracts
|
$(9,591
)
|
|
Industry Summary at September 30, 2023 (Unaudited)
|
|
|
Treasuries
|
33.4%
|
|
ABS Car Loan
|
13.9
|
|
Banking
|
6.5
|
|
Electric
|
5.8
|
|
ABS Other
|
4.2
|
|
Finance Companies
|
3.4
|
|
Life Insurance
|
3.1
|
|
Automotive
|
2.8
|
|
Technology
|
2.3
|
|
ABS Credit Card
|
2.2
|
|
Other Investments, less than 2% each
|
18.8
|
|
Short-Term Investments
|
4.5
|
|
Total Investments
|
100.9
|
|
Other assets less liabilities (including futures contracts)
|
(0.9)
|
|
Net Assets
|
100.0%
|