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THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
|
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2022.
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — 31.7%
|
||
|
Aerospace & Defense — 0.5%
|
||
|
Boeing Co. (The)
|
|
|
|
1.17%, 2/4/2023
|
120,000
|
119,094
|
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2.75%, 2/1/2026
|
14,000
|
12,960
|
|
2.20%, 2/4/2026
|
95,000
|
86,356
|
|
3.10%, 5/1/2026
|
35,000
|
32,629
|
|
2.70%, 2/1/2027
|
65,000
|
58,721
|
|
5.93%, 5/1/2060
|
40,000
|
37,126
|
|
Bombardier, Inc. (Canada)
|
|
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7.50%, 12/1/2024 (a)
|
100,000
|
100,500
|
|
6.00%, 2/15/2028 (a)
|
85,000
|
79,704
|
|
BWX Technologies, Inc. 4.13%, 4/15/2029 (a)
|
130,000
|
114,400
|
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Howmet Aerospace, Inc.
|
|
|
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5.13%, 10/1/2024
|
142,000
|
140,704
|
|
5.95%, 2/1/2037
|
14,000
|
13,232
|
|
Lockheed Martin Corp.
|
|
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4.50%, 5/15/2036
|
125,000
|
120,405
|
|
4.70%, 5/15/2046
|
100,000
|
94,698
|
|
Precision Castparts Corp. 4.38%, 6/15/2045
|
154,000
|
136,267
|
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Raytheon Technologies Corp.
|
|
|
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4.13%, 11/16/2028
|
735,000
|
712,274
|
|
2.38%, 3/15/2032
|
95,000
|
77,956
|
|
3.13%, 7/1/2050
|
125,000
|
90,007
|
|
3.03%, 3/15/2052
|
350,000
|
245,402
|
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Spirit AeroSystems, Inc.
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|
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7.50%, 4/15/2025 (a)
|
33,000
|
32,645
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9.38%, 11/30/2029 (a)
|
78,000
|
82,095
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TransDigm, Inc. 6.25%, 3/15/2026 (a)
|
280,000
|
278,639
|
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Triumph Group, Inc.
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|
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8.88%, 6/1/2024 (a)
|
100,000
|
102,250
|
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6.25%, 9/15/2024 (a)
|
10,000
|
9,500
|
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7.75%, 8/15/2025
|
16,000
|
13,720
|
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Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a)
|
20,000
|
12,700
|
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2,803,984
|
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Airlines — 0.2%
|
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American Airlines, Inc.
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5.50%, 4/20/2026 (a)
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240,000
|
232,756
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5.75%, 4/20/2029 (a)
|
390,000
|
363,070
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Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
28,153
|
26,803
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Delta Air Lines, Inc. 7.38%, 1/15/2026
|
105,000
|
108,473
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Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)
|
180,500
|
179,596
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United Airlines Holdings, Inc.
|
|
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5.00%, 2/1/2024
|
20,000
|
19,600
|
|
4.88%, 1/15/2025
|
16,000
|
15,364
|
|
|
|
945,662
|
|
Auto Components — 0.3%
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Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a)
|
200,000
|
186,682
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
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Auto Components — continued
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Allison Transmission, Inc.
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5.88%, 6/1/2029 (a)
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65,000
|
61,441
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3.75%, 1/30/2031 (a)
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75,000
|
62,806
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American Axle & Manufacturing, Inc.
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6.50%, 4/1/2027
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115,000
|
108,100
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6.88%, 7/1/2028
|
120,000
|
115,560
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5.00%, 10/1/2029
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75,000
|
65,262
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Aptiv plc 5.40%, 3/15/2049
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25,000
|
21,682
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Clarios Global LP 6.25%, 5/15/2026 (a)
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67,000
|
66,372
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Cooper-Standard Automotive, Inc.
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13.00%, 6/1/2024 (a)
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5,000
|
5,231
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5.63%, 11/15/2026 (a)
|
30,000
|
12,543
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Dana, Inc.
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5.38%, 11/15/2027
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130,000
|
119,121
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4.50%, 2/15/2032
|
40,000
|
31,325
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Goodyear Tire & Rubber Co. (The)
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5.00%, 5/31/2026
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19,000
|
18,257
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5.00%, 7/15/2029
|
220,000
|
191,400
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5.25%, 7/15/2031
|
225,000
|
192,748
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Icahn Enterprises LP
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6.38%, 12/15/2025
|
22,000
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21,487
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5.25%, 5/15/2027
|
125,000
|
115,124
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Lear Corp. 2.60%, 1/15/2032
|
10,000
|
7,678
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1,402,819
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Automobiles — 0.2%
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Ford Motor Co. 9.63%, 4/22/2030
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315,000
|
360,590
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General Motors Co. 5.95%, 4/1/2049
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25,000
|
23,232
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Hyundai Capital America
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0.80%, 1/8/2024 (a)
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170,000
|
161,185
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1.50%, 6/15/2026 (a)
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40,000
|
34,518
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3.00%, 2/10/2027 (a)
|
200,000
|
177,611
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Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (a)
|
200,000
|
180,195
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937,331
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Banks — 6.6%
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ABN AMRO Bank NV (Netherlands)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (b)
|
200,000
|
162,123
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (b)
|
200,000
|
144,863
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ASB Bank Ltd. (New Zealand) 2.38%, 10/22/2031 (a)
|
200,000
|
158,011
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Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023
|
200,000
|
193,077
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Banco Santander SA (Spain)
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|
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2.75%, 5/28/2025
|
200,000
|
187,952
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5.29%, 8/18/2027
|
1,400,000
|
1,358,514
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Bank of America Corp.
|
|
|
|
(SOFR + 0.41%), 0.52%, 6/14/2024 (b)
|
400,000
|
388,189
|
|
3.88%, 8/1/2025
|
203,000
|
200,149
|
|
(SOFR + 1.01%), 1.20%, 10/24/2026 (b)
|
700,000
|
621,403
|
|
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (b)
|
40,000
|
37,730
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (b)
|
236,000
|
222,067
|
|
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (b)
|
1,205,000
|
1,122,462
|
|
(ICE LIBOR USD 3 Month + 1.37%), 3.59%, 7/21/2028 (b)
|
261,000
|
241,991
|
|
(SOFR + 2.04%), 4.95%, 7/22/2028 (b)
|
390,000
|
382,310
|
|
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (b)
|
454,000
|
413,981
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (b)
|
135,000
|
113,952
|
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (b)
|
660,000
|
514,572
|
|
(SOFR + 1.37%), 1.92%, 10/24/2031 (b)
|
50,000
|
38,728
|
|
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (b)
|
480,000
|
389,391
|
|
(SOFR + 1.32%), 2.69%, 4/22/2032 (b)
|
340,000
|
275,447
|
|
(SOFR + 1.22%), 2.30%, 7/21/2032 (b)
|
1,150,000
|
901,053
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (b)
|
1,025,000
|
816,158
|
|
(SOFR + 2.16%), 5.02%, 7/22/2033 (b)
|
225,000
|
217,219
|
|
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (b)
|
112,000
|
94,835
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (b)
|
150,000
|
104,639
|
|
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%,
9/16/2026 (a) (b)
|
259,000
|
253,774
|
|
Bank of Montreal (Canada) 1.50%, 1/10/2025
|
370,000
|
344,934
|
|
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a)
|
250,000
|
245,558
|
|
Bank of Nova Scotia (The) (Canada)
|
|
|
|
(ICE LIBOR USD 3 Month + 2.65%), 6.57%, 1/12/2023 (b) (c) (d)
|
50,000
|
46,250
|
|
2.20%, 2/3/2025
|
112,000
|
105,509
|
|
3.45%, 4/11/2025
|
300,000
|
290,275
|
|
Banque Federative du Credit Mutuel SA (France)
|
|
|
|
3.75%, 7/20/2023 (a)
|
250,000
|
247,515
|
|
4.52%, 7/13/2025 (a)
|
320,000
|
314,850
|
|
1.60%, 10/4/2026 (a)
|
200,000
|
174,239
|
|
Barclays plc (United Kingdom)
|
|
|
|
5.20%, 5/12/2026
|
200,000
|
193,918
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (b)
|
200,000
|
172,023
|
|
BNP Paribas SA (France) (SOFR + 1.61%), 1.90%, 9/30/2028 (a) (b)
|
200,000
|
164,729
|
|
Canadian Imperial Bank of Commerce (Canada)
|
|
|
|
3.10%, 4/2/2024
|
34,000
|
33,173
|
|
3.30%, 4/7/2025
|
105,000
|
101,174
|
|
Citigroup, Inc.
|
|
|
|
(SOFR + 1.37%), 4.14%, 5/24/2025 (b)
|
81,000
|
79,497
|
|
(SOFR + 0.69%), 2.01%, 1/25/2026 (b)
|
444,000
|
412,230
|
|
(SOFR + 1.55%), 5.61%, 9/29/2026 (b)
|
408,000
|
409,430
|
|
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (b)
|
550,000
|
518,818
|
|
Series VAR, (SOFR + 1.28%), 3.07%, 2/24/2028 (b)
|
445,000
|
404,344
|
|
(SOFR + 1.89%), 4.66%, 5/24/2028 (b)
|
60,000
|
58,401
|
|
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (b)
|
1,200,000
|
1,111,144
|
|
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (b)
|
545,000
|
509,165
|
|
(SOFR + 1.42%), 2.98%, 11/5/2030 (b)
|
25,000
|
21,318
|
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (b)
|
155,000
|
144,074
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (b)
|
120,000
|
98,345
|
|
(SOFR + 1.17%), 2.56%, 5/1/2032 (b)
|
260,000
|
207,937
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (b)
|
515,000
|
404,678
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.38%), 2.90%, 11/3/2042 (b)
|
55,000
|
38,608
|
|
Citizens Financial Group, Inc. 2.50%, 2/6/2030
|
11,000
|
8,969
|
|
Credit Agricole SA (France)
|
|
|
|
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b)
|
250,000
|
226,543
|
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (b)
|
250,000
|
217,861
|
|
(USD Swap Semi 5 Year + 1.64%), 4.00%, 1/10/2033 (a) (b)
|
250,000
|
216,889
|
|
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 3.77%, 3/28/2025
(a) (b)
|
200,000
|
192,547
|
|
Fifth Third Bancorp 3.65%, 1/25/2024
|
70,000
|
68,903
|
|
HSBC Holdings plc (United Kingdom)
|
|
|
|
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (b)
|
400,000
|
395,314
|
|
(SOFR + 1.43%), 3.00%, 3/10/2026 (b)
|
290,000
|
270,647
|
|
(SOFR + 3.03%), 7.34%, 11/3/2026 (b)
|
1,095,000
|
1,143,544
|
|
(SOFR + 1.29%), 1.59%, 5/24/2027 (b)
|
200,000
|
171,361
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (b)
|
305,000
|
294,319
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (b)
|
1,370,000
|
1,136,946
|
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (b)
|
1,200,000
|
969,770
|
|
(SOFR + 1.41%), 2.87%, 11/22/2032 (b)
|
250,000
|
190,447
|
|
(SOFR + 2.87%), 5.40%, 8/11/2033 (b)
|
200,000
|
187,255
|
|
6.10%, 1/14/2042
|
230,000
|
237,027
|
|
ING Groep NV (Netherlands)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (b)
|
200,000
|
178,559
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (b) (c) (d)
|
200,000
|
141,935
|
|
Intesa Sanpaolo SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a)
(b)
|
200,000
|
131,471
|
|
KeyCorp 2.25%, 4/6/2027
|
57,000
|
50,423
|
|
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%,
3/18/2026 (b)
|
200,000
|
188,846
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
|
|
|
3.76%, 7/26/2023
|
100,000
|
99,065
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b)
|
200,000
|
192,268
|
|
3.78%, 3/2/2025
|
269,000
|
262,232
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (b)
|
1,129,000
|
1,122,176
|
|
Mizuho Financial Group, Inc. (Japan)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028 (b)
|
580,000
|
580,428
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.87%), 2.17%, 5/22/2032 (b)
|
225,000
|
171,452
|
|
National Australia Bank Ltd. (Australia) 3.38%, 1/14/2026
|
250,000
|
239,885
|
|
NatWest Group plc (United Kingdom)
|
|
|
|
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (b)
|
300,000
|
291,910
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (b)
|
200,000
|
208,401
|
|
(ICE LIBOR USD 3 Month + 1.91%), 5.08%, 1/27/2030 (b)
|
200,000
|
187,180
|
|
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a)
|
200,000
|
184,551
|
|
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a)
|
200,000
|
200,771
|
|
PNC Financial Services Group, Inc. (The) 2.55%, 1/22/2030
|
99,000
|
84,003
|
|
Royal Bank of Canada (Canada)
|
|
|
|
4.65%, 1/27/2026
|
45,000
|
44,559
|
|
4.24%, 8/3/2027
|
425,000
|
411,835
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Santander UK Group Holdings plc (United Kingdom)
|
|
|
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (b)
|
200,000
|
169,629
|
|
(ICE LIBOR USD 3 Month + 1.40%), 3.82%, 11/3/2028 (b)
|
200,000
|
176,564
|
|
Societe Generale SA (France)
|
|
|
|
4.25%, 4/14/2025 (a)
|
200,000
|
191,078
|
|
4.75%, 11/24/2025 (a)
|
200,000
|
190,498
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (b)
|
200,000
|
172,955
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b)
|
200,000
|
170,166
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (b)
|
1,200,000
|
1,040,981
|
|
Standard Chartered plc (United Kingdom)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (b)
|
200,000
|
186,840
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (a) (b)
|
200,000
|
206,295
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (b)
|
400,000
|
421,949
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan) 3.75%, 7/19/2023
|
53,000
|
52,500
|
|
Sumitomo Mitsui Trust Bank Ltd. (Japan)
|
|
|
|
1.05%, 9/12/2025 (a)
|
60,000
|
53,750
|
|
4.95%, 9/15/2027 (a)
|
200,000
|
198,675
|
|
Swedbank AB (Sweden) 5.34%, 9/20/2027 (a)
|
200,000
|
198,231
|
|
Toronto-Dominion Bank (The) (Canada)
|
|
|
|
3.25%, 3/11/2024
|
33,000
|
32,321
|
|
2.65%, 6/12/2024
|
81,000
|
78,335
|
|
2.00%, 9/10/2031
|
385,000
|
303,100
|
|
Truist Bank 4.05%, 11/3/2025
|
60,000
|
58,928
|
|
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (b)
|
200,000
|
169,465
|
|
US Bancorp 3.00%, 7/30/2029
|
97,000
|
86,109
|
|
Wells Fargo & Co.
|
|
|
|
3.55%, 9/29/2025
|
227,000
|
219,938
|
|
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (b)
|
713,000
|
664,740
|
|
(SOFR + 1.32%), 3.91%, 4/25/2026 (b)
|
90,000
|
87,203
|
|
3.00%, 10/23/2026
|
360,000
|
336,207
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (b)
|
325,000
|
301,891
|
|
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b)
|
1,281,000
|
1,188,636
|
|
(SOFR + 1.98%), 4.81%, 7/25/2028 (b)
|
320,000
|
312,535
|
|
(SOFR + 1.26%), 2.57%, 2/11/2031 (b)
|
250,000
|
209,172
|
|
(SOFR + 2.10%), 4.90%, 7/25/2033 (b)
|
180,000
|
173,441
|
|
4.90%, 11/17/2045
|
25,000
|
22,065
|
|
Westpac Banking Corp. (Australia)
|
|
|
|
2.85%, 5/13/2026
|
175,000
|
165,120
|
|
1.95%, 11/20/2028
|
30,000
|
25,588
|
|
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (b)
|
275,000
|
251,085
|
|
|
|
35,423,008
|
|
Beverages — 0.3%
|
||
|
Anheuser-Busch Cos. LLC (Belgium)
|
|
|
|
4.70%, 2/1/2036
|
540,000
|
518,127
|
|
4.90%, 2/1/2046
|
305,000
|
285,322
|
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium)
|
|
|
|
4.38%, 4/15/2038
|
195,000
|
178,537
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Beverages — continued
|
||
|
4.44%, 10/6/2048
|
40,000
|
35,127
|
|
Coca-Cola Co. (The) 2.60%, 6/1/2050
|
50,000
|
34,364
|
|
Constellation Brands, Inc. 4.65%, 11/15/2028
|
145,000
|
141,755
|
|
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043
|
230,000
|
191,614
|
|
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050
|
150,000
|
106,500
|
|
Keurig Dr Pepper, Inc. 3.40%, 11/15/2025
|
38,000
|
36,742
|
|
|
|
1,528,088
|
|
Biotechnology — 0.5%
|
||
|
AbbVie, Inc.
|
|
|
|
2.95%, 11/21/2026
|
73,000
|
68,348
|
|
3.20%, 11/21/2029
|
421,000
|
384,364
|
|
4.05%, 11/21/2039
|
674,000
|
588,840
|
|
4.63%, 10/1/2042
|
75,000
|
68,029
|
|
4.25%, 11/21/2049
|
230,000
|
197,772
|
|
Amgen, Inc.
|
|
|
|
1.65%, 8/15/2028
|
75,000
|
63,800
|
|
3.35%, 2/22/2032
|
610,000
|
543,588
|
|
3.15%, 2/21/2040
|
127,000
|
97,645
|
|
Biogen, Inc. 2.25%, 5/1/2030
|
65,000
|
53,622
|
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
100,000
|
45,000
|
|
Gilead Sciences, Inc.
|
|
|
|
2.95%, 3/1/2027
|
195,000
|
182,103
|
|
1.65%, 10/1/2030
|
118,000
|
94,798
|
|
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a)
|
200,000
|
168,076
|
|
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
|
80,000
|
62,855
|
|
|
|
2,618,840
|
|
Building Products — 0.3%
|
||
|
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a)
|
350,000
|
283,731
|
|
Griffon Corp. 5.75%, 3/1/2028
|
235,000
|
218,585
|
|
James Hardie International Finance DAC 5.00%, 1/15/2028 (a)
|
200,000
|
183,993
|
|
JELD-WEN, Inc. 4.88%, 12/15/2027 (a)
|
165,000
|
129,250
|
|
Masco Corp. 1.50%, 2/15/2028
|
25,000
|
20,789
|
|
PGT Innovations, Inc. 4.38%, 10/1/2029 (a)
|
155,000
|
130,553
|
|
Standard Industries, Inc.
|
|
|
|
5.00%, 2/15/2027 (a)
|
20,000
|
18,405
|
|
4.75%, 1/15/2028 (a)
|
310,000
|
280,958
|
|
Summit Materials LLC 5.25%, 1/15/2029 (a)
|
205,000
|
189,246
|
|
|
|
1,455,510
|
|
Capital Markets — 2.3%
|
||
|
Ameriprise Financial, Inc. 4.00%, 10/15/2023
|
47,000
|
46,638
|
|
Bank of New York Mellon Corp. (The)
|
|
|
|
2.10%, 10/24/2024
|
30,000
|
28,581
|
|
3.25%, 5/16/2027
|
160,000
|
151,934
|
|
Charles Schwab Corp. (The)
|
|
|
|
0.90%, 3/11/2026
|
30,000
|
26,741
|
|
2.75%, 10/1/2029
|
46,000
|
40,278
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
Coinbase Global, Inc. 3.63%, 10/1/2031 (a)
|
125,000
|
67,500
|
|
Credit Suisse AG (Switzerland)
|
|
|
|
1.00%, 5/5/2023
|
534,000
|
512,516
|
|
3.70%, 2/21/2025
|
310,000
|
282,231
|
|
Credit Suisse Group AG (Switzerland)
|
|
|
|
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (b)
|
250,000
|
196,595
|
|
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (b)
|
250,000
|
253,817
|
|
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032
|
53,000
|
52,780
|
|
Deutsche Bank AG (Germany) (SOFR + 2.16%), 2.22%, 9/18/2024 (b)
|
150,000
|
143,910
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
3.50%, 4/1/2025
|
280,000
|
270,951
|
|
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (b)
|
201,000
|
193,507
|
|
3.50%, 11/16/2026
|
371,000
|
352,887
|
|
3.85%, 1/26/2027
|
135,000
|
129,721
|
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (b)
|
1,085,000
|
954,031
|
|
(SOFR + 1.51%), 4.39%, 6/15/2027 (b)
|
117,000
|
112,905
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (b)
|
150,000
|
133,821
|
|
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b)
|
320,000
|
299,276
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (b)
|
785,000
|
634,119
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (b)
|
170,000
|
134,281
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (b)
|
25,000
|
20,078
|
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (b)
|
190,000
|
157,798
|
|
(SOFR + 1.51%), 3.21%, 4/22/2042 (b)
|
60,000
|
44,478
|
|
(SOFR + 1.63%), 3.44%, 2/24/2043 (b)
|
18,000
|
13,636
|
|
LPL Holdings, Inc. 4.00%, 3/15/2029 (a)
|
120,000
|
104,680
|
|
Morgan Stanley
|
|
|
|
(SOFR + 1.16%), 3.62%, 4/17/2025 (b)
|
90,000
|
87,718
|
|
3.88%, 1/27/2026
|
330,000
|
319,746
|
|
3.13%, 7/27/2026
|
130,000
|
121,937
|
|
3.63%, 1/20/2027
|
191,000
|
181,494
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (b)
|
210,000
|
185,006
|
|
(SOFR + 1.00%), 2.48%, 1/21/2028 (b)
|
614,000
|
545,519
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (b)
|
303,000
|
288,638
|
|
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (b)
|
760,000
|
701,498
|
|
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (b)
|
373,000
|
352,766
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (b)
|
70,000
|
58,658
|
|
(SOFR + 1.18%), 2.24%, 7/21/2032 (b)
|
80,000
|
62,389
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (b)
|
788,000
|
626,634
|
|
(SOFR + 1.29%), 2.94%, 1/21/2033 (b)
|
25,000
|
20,472
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (b)
|
285,000
|
214,611
|
|
MSCI, Inc. 4.00%, 11/15/2029 (a)
|
115,000
|
101,548
|
|
Northern Trust Corp. 3.95%, 10/30/2025
|
60,000
|
58,990
|
|
Nuveen LLC 4.00%, 11/1/2028 (a)
|
160,000
|
150,507
|
|
S&P Global, Inc.
|
|
|
|
2.70%, 3/1/2029 (a)
|
206,000
|
183,093
|
|
1.25%, 8/15/2030
|
500,000
|
387,995
|
|
2.90%, 3/1/2032 (a)
|
112,000
|
96,509
|
|
3.25%, 12/1/2049
|
73,000
|
54,179
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
State Street Corp. (SOFR + 1.72%), 5.82%, 11/4/2028 (b)
|
135,000
|
139,639
|
|
UBS Group AG (Switzerland)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (b)
|
585,000
|
502,682
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (b)
|
200,000
|
192,087
|
|
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (b)
|
200,000
|
170,201
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (a) (b)
|
720,000
|
561,732
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (a) (b)
|
200,000
|
186,334
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (a) (b)
|
200,000
|
135,917
|
|
|
|
12,048,189
|
|
Chemicals — 0.4%
|
||
|
Avient Corp. 7.13%, 8/1/2030 (a)
|
110,000
|
107,393
|
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)
|
150,000
|
137,530
|
|
CF Industries, Inc.
|
|
|
|
5.15%, 3/15/2034
|
60,000
|
57,231
|
|
4.95%, 6/1/2043
|
70,000
|
60,819
|
|
Chemours Co. (The)
|
|
|
|
5.38%, 5/15/2027
|
65,000
|
58,825
|
|
5.75%, 11/15/2028 (a)
|
215,000
|
188,827
|
|
CVR Partners LP 6.13%, 6/15/2028 (a)
|
70,000
|
63,205
|
|
Ecolab, Inc.
|
|
|
|
3.25%, 12/1/2027
|
52,000
|
48,805
|
|
2.13%, 2/1/2032
|
75,000
|
60,531
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
165,000
|
141,019
|
|
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a)
|
200,000
|
177,816
|
|
International Flavors & Fragrances, Inc.
|
|
|
|
1.83%, 10/15/2027 (a)
|
116,000
|
96,944
|
|
3.27%, 11/15/2040 (a)
|
25,000
|
18,176
|
|
3.47%, 12/1/2050 (a)
|
13,000
|
8,936
|
|
LYB International Finance III LLC 3.38%, 10/1/2040
|
40,000
|
29,019
|
|
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (a)
|
310,000
|
278,249
|
|
Nutrien Ltd. (Canada)
|
|
|
|
5.90%, 11/7/2024
|
189,000
|
191,183
|
|
2.95%, 5/13/2030
|
80,000
|
68,727
|
|
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029
|
375,000
|
306,562
|
|
Sherwin-Williams Co. (The) 4.50%, 6/1/2047
|
15,000
|
12,994
|
|
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a)
|
145,000
|
116,181
|
|
WR Grace Holdings LLC
|
|
|
|
5.63%, 10/1/2024 (a)
|
85,000
|
83,093
|
|
4.88%, 6/15/2027 (a)
|
105,000
|
94,075
|
|
|
|
2,406,140
|
|
Commercial Services & Supplies — 0.4%
|
||
|
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
165,000
|
137,843
|
|
ADT Security Corp. (The)
|
|
|
|
4.13%, 6/15/2023
|
26,000
|
25,742
|
|
4.13%, 8/1/2029 (a)
|
140,000
|
122,193
|
|
4.88%, 7/15/2032 (a)
|
20,000
|
17,304
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
200,000
|
169,623
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Commercial Services & Supplies — continued
|
||
|
Aramark Services, Inc. 5.00%, 2/1/2028 (a)
|
155,000
|
144,951
|
|
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)
|
140,000
|
125,733
|
|
GFL Environmental, Inc. (Canada)
|
|
|
|
3.75%, 8/1/2025 (a)
|
105,000
|
98,300
|
|
5.13%, 12/15/2026 (a)
|
55,000
|
52,963
|
|
4.00%, 8/1/2028 (a)
|
185,000
|
158,713
|
|
Madison IAQ LLC 4.13%, 6/30/2028 (a)
|
280,000
|
242,141
|
|
Prime Security Services Borrower LLC
|
|
|
|
5.75%, 4/15/2026 (a)
|
282,000
|
279,180
|
|
3.38%, 8/31/2027 (a)
|
120,000
|
105,584
|
|
Stericycle, Inc.
|
|
|
|
5.38%, 7/15/2024 (a)
|
85,000
|
84,014
|
|
3.88%, 1/15/2029 (a)
|
120,000
|
104,400
|
|
Waste Management, Inc. 1.50%, 3/15/2031
|
20,000
|
15,849
|
|
|
|
1,884,533
|
|
Communications Equipment — 0.1%
|
||
|
CommScope Technologies LLC 6.00%, 6/15/2025 (a)
|
105,000
|
98,401
|
|
CommScope, Inc. 6.00%, 3/1/2026 (a)
|
272,000
|
263,149
|
|
|
|
361,550
|
|
Construction & Engineering — 0.1%
|
||
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
115,000
|
98,767
|
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
210,000
|
162,750
|
|
MasTec, Inc. 4.50%, 8/15/2028 (a)
|
165,000
|
148,969
|
|
Weekley Homes LLC 4.88%, 9/15/2028 (a)
|
150,000
|
121,572
|
|
|
|
532,058
|
|
Construction Materials — 0.0% ^
|
||
|
Martin Marietta Materials, Inc. 2.40%, 7/15/2031
|
70,000
|
56,863
|
|
Consumer Finance — 1.0%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
|
|
|
1.15%, 10/29/2023
|
450,000
|
430,031
|
|
2.45%, 10/29/2026
|
150,000
|
131,894
|
|
3.00%, 10/29/2028
|
450,000
|
380,200
|
|
American Express Co.
|
|
|
|
2.55%, 3/4/2027
|
340,000
|
308,804
|
|
5.85%, 11/5/2027
|
270,000
|
280,343
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
|
5.13%, 10/1/2023 (a)
|
170,000
|
167,713
|
|
5.25%, 5/15/2024 (a)
|
250,000
|
243,883
|
|
2.88%, 2/15/2025 (a)
|
28,000
|
25,705
|
|
5.50%, 1/15/2026 (a)
|
60,000
|
56,832
|
|
2.13%, 2/21/2026 (a)
|
275,000
|
235,384
|
|
4.25%, 4/15/2026 (a)
|
25,000
|
22,683
|
|
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (b)
|
100,000
|
76,549
|
|
Ford Motor Credit Co. LLC
|
|
|
|
4.39%, 1/8/2026
|
200,000
|
190,226
|
|
4.27%, 1/9/2027
|
600,000
|
555,174
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
4.13%, 8/17/2027
|
300,000
|
273,711
|
|
4.00%, 11/13/2030
|
250,000
|
211,462
|
|
3.63%, 6/17/2031
|
200,000
|
164,029
|
|
General Motors Financial Co., Inc.
|
|
|
|
3.80%, 4/7/2025
|
35,000
|
33,822
|
|
3.60%, 6/21/2030
|
60,000
|
51,459
|
|
2.70%, 6/10/2031
|
25,000
|
19,627
|
|
John Deere Capital Corp. 2.65%, 6/10/2026
|
119,000
|
111,844
|
|
Navient Corp.
|
|
|
|
6.13%, 3/25/2024
|
130,000
|
129,505
|
|
5.88%, 10/25/2024
|
20,000
|
19,432
|
|
OneMain Finance Corp.
|
|
|
|
6.88%, 3/15/2025
|
90,000
|
87,417
|
|
7.13%, 3/15/2026
|
389,000
|
376,861
|
|
6.63%, 1/15/2028
|
95,000
|
87,353
|
|
Park Aerospace Holdings Ltd. (Ireland)
|
|
|
|
4.50%, 3/15/2023 (a)
|
305,000
|
303,483
|
|
5.50%, 2/15/2024 (a)
|
208,000
|
204,941
|
|
|
|
5,180,367
|
|
Containers & Packaging — 0.4%
|
||
|
Ardagh Packaging Finance plc
|
|
|
|
5.25%, 4/30/2025 (a)
|
200,000
|
192,482
|
|
4.13%, 8/15/2026 (a)
|
200,000
|
176,000
|
|
Ball Corp. 3.13%, 9/15/2031
|
55,000
|
43,697
|
|
Canpack SA (Poland) 3.88%, 11/15/2029 (a)
|
200,000
|
157,500
|
|
Crown Americas LLC 4.25%, 9/30/2026
|
13,000
|
12,427
|
|
Graphic Packaging International LLC 4.75%, 7/15/2027 (a)
|
108,000
|
100,640
|
|
LABL, Inc. 6.75%, 7/15/2026 (a)
|
155,000
|
148,025
|
|
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a)
|
215,000
|
212,059
|
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
175,000
|
168,355
|
|
Packaging Corp. of America 3.05%, 10/1/2051
|
85,000
|
56,484
|
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a)
|
295,000
|
259,268
|
|
Sealed Air Corp. 4.00%, 12/1/2027 (a)
|
115,000
|
103,249
|
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
90,000
|
76,725
|
|
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (e)
|
200,000
|
187,934
|
|
WRKCo, Inc. 4.65%, 3/15/2026
|
30,000
|
29,466
|
|
|
|
1,924,311
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Service Corp. International 5.13%, 6/1/2029
|
220,000
|
208,381
|
|
University of Miami Series 2022, 4.06%, 4/1/2052
|
40,000
|
33,243
|
|
|
|
241,624
|
|
Diversified Financial Services — 0.1%
|
||
|
EDP Finance BV (Portugal) 1.71%, 1/24/2028 (a)
|
250,000
|
206,658
|
|
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a)
|
200,000
|
171,047
|
|
Shell International Finance BV (Netherlands)
|
|
|
|
2.88%, 11/26/2041
|
200,000
|
148,725
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Diversified Financial Services — continued
|
||
|
3.63%, 8/21/2042
|
50,000
|
40,948
|
|
3.75%, 9/12/2046
|
41,000
|
33,208
|
|
3.13%, 11/7/2049
|
25,000
|
18,195
|
|
3.00%, 11/26/2051
|
200,000
|
140,769
|
|
|
|
759,550
|
|
Diversified Telecommunication Services — 1.2%
|
||
|
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a)
|
200,000
|
158,000
|
|
Altice France SA (France) 5.13%, 7/15/2029 (a)
|
200,000
|
157,622
|
|
AT&T, Inc.
|
|
|
|
1.65%, 2/1/2028
|
300,000
|
257,540
|
|
2.55%, 12/1/2033
|
570,000
|
447,798
|
|
3.50%, 6/1/2041
|
160,000
|
122,253
|
|
3.65%, 6/1/2051
|
65,000
|
47,605
|
|
CCO Holdings LLC
|
|
|
|
5.00%, 2/1/2028 (a)
|
395,000
|
363,108
|
|
5.38%, 6/1/2029 (a)
|
100,000
|
90,747
|
|
4.75%, 3/1/2030 (a)
|
784,000
|
674,023
|
|
4.50%, 8/15/2030 (a)
|
464,000
|
390,920
|
|
4.25%, 2/1/2031 (a)
|
465,000
|
377,487
|
|
4.50%, 5/1/2032
|
290,000
|
239,327
|
|
4.50%, 6/1/2033 (a)
|
135,000
|
107,137
|
|
Embarq Corp. 8.00%, 6/1/2036
|
13,000
|
5,523
|
|
ESC Co., Intelsat Jackson Holdings, Ltd. 8.50%, 10/15/2024 ‡ (f)
|
28,000
|
3
|
|
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)
|
115,000
|
109,425
|
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a)
|
164,000
|
150,880
|
|
Lumen Technologies, Inc.
|
|
|
|
5.13%, 12/15/2026 (a)
|
130,000
|
111,150
|
|
4.00%, 2/15/2027 (a)
|
765,000
|
652,163
|
|
Series G, 6.88%, 1/15/2028
|
3,000
|
2,411
|
|
Sprint Capital Corp. 8.75%, 3/15/2032
|
240,000
|
286,956
|
|
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034
|
134,000
|
103,487
|
|
Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a)
|
200,000
|
193,700
|
|
Verizon Communications, Inc.
|
|
|
|
2.10%, 3/22/2028
|
25,000
|
21,873
|
|
4.33%, 9/21/2028
|
75,000
|
72,913
|
|
4.02%, 12/3/2029
|
184,000
|
173,600
|
|
2.55%, 3/21/2031
|
585,000
|
487,709
|
|
2.36%, 3/15/2032
|
313,000
|
251,254
|
|
3.40%, 3/22/2041
|
30,000
|
23,027
|
|
3.85%, 11/1/2042
|
125,000
|
100,980
|
|
2.88%, 11/20/2050
|
75,000
|
48,281
|
|
3.70%, 3/22/2061
|
30,000
|
21,542
|
|
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a)
|
75,000
|
53,720
|
|
|
|
6,304,164
|
|
Electric Utilities — 1.9%
|
||
|
AEP Transmission Co. LLC
|
|
|
|
Series N, 2.75%, 8/15/2051
|
50,000
|
31,939
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Series O, 4.50%, 6/15/2052
|
200,000
|
178,505
|
|
Alabama Power Co. 3.05%, 3/15/2032
|
200,000
|
174,062
|
|
American Electric Power Co., Inc. 2.03%, 3/15/2024
|
40,000
|
38,435
|
|
Baltimore Gas and Electric Co.
|
|
|
|
3.20%, 9/15/2049
|
295,000
|
210,461
|
|
2.90%, 6/15/2050
|
50,000
|
33,637
|
|
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048
|
46,000
|
38,877
|
|
DTE Electric Co. Series A, 4.00%, 4/1/2043
|
90,000
|
75,035
|
|
Duke Energy Carolinas LLC 3.20%, 8/15/2049
|
34,000
|
24,356
|
|
Duke Energy Indiana LLC
|
|
|
|
Series YYY, 3.25%, 10/1/2049
|
125,000
|
86,851
|
|
2.75%, 4/1/2050
|
395,000
|
253,237
|
|
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a)
|
48,000
|
37,961
|
|
Edison International 6.95%, 11/15/2029
|
245,000
|
256,732
|
|
Emera US Finance LP (Canada)
|
|
|
|
2.64%, 6/15/2031
|
660,000
|
520,975
|
|
4.75%, 6/15/2046
|
50,000
|
39,598
|
|
Enel Finance International NV (Italy) 2.25%, 7/12/2031 (a)
|
200,000
|
149,129
|
|
Entergy Arkansas LLC
|
|
|
|
4.00%, 6/1/2028
|
13,000
|
12,276
|
|
2.65%, 6/15/2051
|
274,000
|
170,516
|
|
Entergy Louisiana LLC
|
|
|
|
2.40%, 10/1/2026
|
69,000
|
62,812
|
|
1.60%, 12/15/2030
|
500,000
|
387,142
|
|
Entergy Mississippi LLC 3.50%, 6/1/2051
|
20,000
|
14,617
|
|
Entergy Texas Restoration Funding II LLC Series A-2, 3.70%, 12/15/2035
|
215,000
|
193,928
|
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
535,000
|
418,317
|
|
Eversource Energy 4.60%, 7/1/2027
|
31,000
|
30,686
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (a)
|
970,000
|
883,055
|
|
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a)
|
90,000
|
73,331
|
|
Florida Power & Light Co. 3.70%, 12/1/2047
|
60,000
|
48,603
|
|
Indiana Michigan Power Co. Series K, 4.55%, 3/15/2046
|
50,000
|
42,699
|
|
ITC Holdings Corp.
|
|
|
|
4.95%, 9/22/2027 (a)
|
182,000
|
180,779
|
|
2.95%, 5/14/2030 (a)
|
305,000
|
259,067
|
|
Kentucky Utilities Co. 5.13%, 11/1/2040
|
74,000
|
70,201
|
|
MidAmerican Energy Co. 3.65%, 4/15/2029
|
46,000
|
43,362
|
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)
|
430,000
|
405,552
|
|
Monongahela Power Co. 4.10%, 4/15/2024 (a)
|
100,000
|
98,070
|
|
NextEra Energy Capital Holdings, Inc. 5.00%, 7/15/2032
|
60,000
|
59,933
|
|
Northern States Power Co.
|
|
|
|
2.60%, 6/1/2051
|
70,000
|
45,240
|
|
4.50%, 6/1/2052
|
50,000
|
45,978
|
|
NRG Energy, Inc.
|
|
|
|
6.63%, 1/15/2027
|
21,000
|
21,162
|
|
2.45%, 12/2/2027 (a)
|
60,000
|
51,344
|
|
5.75%, 1/15/2028
|
65,000
|
62,238
|
|
3.38%, 2/15/2029 (a)
|
70,000
|
58,160
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
5.25%, 6/15/2029 (a)
|
395,000
|
364,054
|
|
Ohio Power Co.
|
|
|
|
Series P, 2.60%, 4/1/2030
|
50,000
|
42,508
|
|
Series R, 2.90%, 10/1/2051
|
65,000
|
43,220
|
|
Oncor Electric Delivery Co. LLC
|
|
|
|
4.55%, 9/15/2032 (a)
|
210,000
|
206,797
|
|
3.10%, 9/15/2049
|
50,000
|
35,745
|
|
Pacific Gas and Electric Co.
|
|
|
|
1.70%, 11/15/2023
|
30,000
|
28,767
|
|
3.25%, 2/16/2024
|
75,000
|
72,727
|
|
3.45%, 7/1/2025
|
17,000
|
16,088
|
|
2.95%, 3/1/2026
|
10,000
|
9,151
|
|
4.65%, 8/1/2028
|
100,000
|
90,960
|
|
4.50%, 7/1/2040
|
130,000
|
103,689
|
|
4.20%, 6/1/2041
|
30,000
|
22,777
|
|
4.25%, 3/15/2046
|
78,000
|
55,549
|
|
PacifiCorp
|
|
|
|
4.15%, 2/15/2050
|
118,000
|
98,069
|
|
3.30%, 3/15/2051
|
120,000
|
86,528
|
|
PG&E Corp.
|
|
|
|
5.00%, 7/1/2028
|
106,000
|
97,797
|
|
5.25%, 7/1/2030
|
205,000
|
185,624
|
|
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047
|
185,000
|
186,689
|
|
PG&E Wildfire Recovery Funding LLC
|
|
|
|
Series A-2, 4.26%, 6/1/2036
|
25,000
|
23,375
|
|
Series A-4, 5.21%, 12/1/2047
|
40,000
|
39,226
|
|
Series A-5, 5.10%, 6/1/2052
|
70,000
|
67,464
|
|
Public Service Co. of Colorado Series 36, 2.70%, 1/15/2051
|
45,000
|
29,408
|
|
Public Service Co. of Oklahoma Series K, 3.15%, 8/15/2051
|
150,000
|
100,905
|
|
Public Service Electric and Gas Co.
|
|
|
|
3.00%, 5/15/2027
|
50,000
|
46,739
|
|
2.05%, 8/1/2050
|
68,000
|
38,398
|
|
Southern California Edison Co.
|
|
|
|
Series G, 2.50%, 6/1/2031
|
775,000
|
638,375
|
|
Series C, 3.60%, 2/1/2045
|
35,000
|
25,483
|
|
Series C, 4.13%, 3/1/2048
|
238,000
|
190,159
|
|
Series 20A, 2.95%, 2/1/2051
|
80,000
|
52,556
|
|
Southwestern Electric Power Co.
|
|
|
|
Series N, 1.65%, 3/15/2026
|
45,000
|
40,374
|
|
3.25%, 11/1/2051
|
210,000
|
141,120
|
|
Southwestern Public Service Co.
|
|
|
|
3.30%, 6/15/2024
|
29,000
|
28,296
|
|
4.50%, 8/15/2041
|
74,000
|
65,592
|
|
Tucson Electric Power Co.
|
|
|
|
1.50%, 8/1/2030
|
448,000
|
345,763
|
|
4.85%, 12/1/2048
|
132,000
|
115,982
|
|
Union Electric Co. 3.90%, 4/1/2052
|
45,000
|
36,714
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Vistra Operations Co. LLC
|
|
|
|
5.50%, 9/1/2026 (a)
|
65,000
|
62,902
|
|
5.00%, 7/31/2027 (a)
|
255,000
|
239,362
|
|
4.38%, 5/1/2029 (a)
|
275,000
|
246,034
|
|
4.30%, 7/15/2029 (a)
|
90,000
|
81,350
|
|
Wisconsin Public Service Corp. 4.75%, 11/1/2044
|
69,000
|
61,538
|
|
|
|
10,352,712
|
|
Electrical Equipment — 0.0% ^
|
||
|
Eaton Corp. 4.00%, 11/2/2032
|
50,000
|
46,338
|
|
EnerSys 4.38%, 12/15/2027 (a)
|
65,000
|
57,688
|
|
Sensata Technologies BV 5.00%, 10/1/2025 (a)
|
40,000
|
39,086
|
|
Vertiv Group Corp. 4.13%, 11/15/2028 (a)
|
160,000
|
137,600
|
|
|
|
280,712
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Arrow Electronics, Inc. 2.95%, 2/15/2032
|
20,000
|
15,946
|
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
175,000
|
154,437
|
|
Corning, Inc. 3.90%, 11/15/2049
|
75,000
|
55,525
|
|
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a)
|
145,000
|
128,413
|
|
|
|
354,321
|
|
Energy Equipment & Services — 0.1%
|
||
|
Baker Hughes Holdings LLC
|
|
|
|
2.06%, 12/15/2026
|
70,000
|
63,039
|
|
4.49%, 5/1/2030
|
86,000
|
82,739
|
|
Halliburton Co. 3.80%, 11/15/2025
|
12,000
|
11,745
|
|
Oceaneering International, Inc. 4.65%, 11/15/2024
|
120,000
|
116,293
|
|
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)
|
130,000
|
127,288
|
|
Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a)
|
70,000
|
68,803
|
|
Transocean Pontus Ltd. 6.13%, 8/1/2025 (a)
|
12,320
|
11,951
|
|
USA Compression Partners LP 6.88%, 4/1/2026
|
140,000
|
134,050
|
|
|
|
615,908
|
|
Entertainment — 0.7%
|
||
|
Activision Blizzard, Inc.
|
|
|
|
1.35%, 9/15/2030
|
230,000
|
181,772
|
|
2.50%, 9/15/2050
|
259,000
|
163,997
|
|
Cinemark USA, Inc.
|
|
|
|
5.88%, 3/15/2026 (a)
|
75,000
|
65,674
|
|
5.25%, 7/15/2028 (a)
|
40,000
|
31,950
|
|
Live Nation Entertainment, Inc.
|
|
|
|
5.63%, 3/15/2026 (a)
|
2,000
|
1,896
|
|
6.50%, 5/15/2027 (a)
|
80,000
|
80,152
|
|
4.75%, 10/15/2027 (a)
|
270,000
|
243,672
|
|
Netflix, Inc.
|
|
|
|
4.88%, 4/15/2028
|
308,000
|
299,213
|
|
5.38%, 11/15/2029 (a)
|
88,000
|
86,373
|
|
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027
|
115,000
|
109,085
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Entertainment — continued
|
||
|
Walt Disney Co. (The)
|
|
|
|
2.00%, 9/1/2029
|
50,000
|
42,329
|
|
3.80%, 3/22/2030
|
350,000
|
328,777
|
|
3.50%, 5/13/2040
|
150,000
|
123,367
|
|
Warnermedia Holdings, Inc.
|
|
|
|
3.76%, 3/15/2027 (a)
|
1,000,000
|
911,283
|
|
4.28%, 3/15/2032 (a)
|
790,000
|
670,709
|
|
5.14%, 3/15/2052 (a)
|
80,000
|
61,989
|
|
WMG Acquisition Corp. 3.88%, 7/15/2030 (a)
|
100,000
|
86,667
|
|
|
|
3,488,905
|
|
Equity Real Estate Investment Trusts (REITs) — 0.6%
|
||
|
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033
|
53,000
|
39,413
|
|
American Tower Corp.
|
|
|
|
1.45%, 9/15/2026
|
85,000
|
73,961
|
|
2.95%, 1/15/2051
|
25,000
|
16,050
|
|
AvalonBay Communities, Inc. 3.35%, 5/15/2027
|
32,000
|
29,756
|
|
Camden Property Trust 3.15%, 7/1/2029
|
130,000
|
116,102
|
|
Corporate Office Properties LP 2.25%, 3/15/2026
|
94,000
|
82,560
|
|
Crown Castle, Inc. 2.90%, 3/15/2027
|
270,000
|
246,743
|
|
Equinix, Inc. 3.90%, 4/15/2032
|
80,000
|
71,320
|
|
ERP Operating LP 3.25%, 8/1/2027
|
31,000
|
28,577
|
|
Essex Portfolio LP 2.65%, 3/15/2032
|
45,000
|
35,811
|
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)
|
90,000
|
81,866
|
|
Healthpeak Properties, Inc.
|
|
|
|
2.13%, 12/1/2028
|
64,000
|
53,937
|
|
3.00%, 1/15/2030
|
87,000
|
75,148
|
|
Iron Mountain, Inc. 4.88%, 9/15/2027 (a)
|
315,000
|
296,191
|
|
Life Storage LP 2.20%, 10/15/2030
|
88,000
|
68,568
|
|
Mid-America Apartments LP 4.20%, 6/15/2028
|
100,000
|
94,940
|
|
National Retail Properties, Inc. 3.60%, 12/15/2026
|
39,000
|
36,487
|
|
Office Properties Income Trust
|
|
|
|
4.50%, 2/1/2025
|
88,000
|
77,958
|
|
3.45%, 10/15/2031
|
35,000
|
22,411
|
|
Prologis LP 1.75%, 7/1/2030
|
149,000
|
118,886
|
|
Realty Income Corp.
|
|
|
|
4.13%, 10/15/2026
|
44,000
|
42,772
|
|
3.25%, 1/15/2031
|
9,000
|
7,862
|
|
Regency Centers LP 3.70%, 6/15/2030
|
135,000
|
118,006
|
|
RHP Hotel Properties LP 4.75%, 10/15/2027
|
290,000
|
264,900
|
|
Sabra Health Care LP 3.20%, 12/1/2031
|
120,000
|
89,981
|
|
SBA Communications Corp. 3.13%, 2/1/2029
|
225,000
|
187,843
|
|
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)
|
150,000
|
143,374
|
|
Simon Property Group LP 3.25%, 9/13/2049
|
31,000
|
20,635
|
|
UDR, Inc. 2.10%, 8/1/2032
|
45,000
|
33,417
|
|
VICI Properties LP
|
|
|
|
5.63%, 5/1/2024 (a)
|
67,000
|
66,353
|
|
3.50%, 2/15/2025 (a)
|
90,000
|
84,705
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Equity Real Estate Investment Trusts (REITs) — continued
|
||
|
4.50%, 9/1/2026 (a)
|
95,000
|
88,960
|
|
4.25%, 12/1/2026 (a)
|
30,000
|
27,905
|
|
4.63%, 12/1/2029 (a)
|
20,000
|
18,147
|
|
WP Carey, Inc. 2.25%, 4/1/2033
|
145,000
|
107,171
|
|
|
|
2,968,716
|
|
Food & Staples Retailing — 0.2%
|
||
|
7-Eleven, Inc.
|
|
|
|
0.95%, 2/10/2026 (a)
|
65,000
|
57,041
|
|
1.30%, 2/10/2028 (a)
|
162,000
|
135,588
|
|
2.50%, 2/10/2041 (a)
|
14,000
|
9,364
|
|
2.80%, 2/10/2051 (a)
|
50,000
|
31,187
|
|
Albertsons Cos., Inc.
|
|
|
|
4.63%, 1/15/2027 (a)
|
460,000
|
425,541
|
|
4.88%, 2/15/2030 (a)
|
20,000
|
17,845
|
|
Alimentation Couche-Tard, Inc. (Canada)
|
|
|
|
3.44%, 5/13/2041 (a)
|
5,000
|
3,609
|
|
3.63%, 5/13/2051 (a)
|
10,000
|
6,854
|
|
Performance Food Group, Inc. 5.50%, 10/15/2027 (a)
|
111,000
|
107,115
|
|
Rite Aid Corp. 8.00%, 11/15/2026 (a)
|
125,000
|
77,774
|
|
Sysco Corp. 2.40%, 2/15/2030
|
50,000
|
41,985
|
|
|
|
913,903
|
|
Food Products — 0.2%
|
||
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031
|
30,000
|
24,908
|
|
Campbell Soup Co. 4.15%, 3/15/2028
|
20,000
|
19,336
|
|
Cargill, Inc. 4.38%, 4/22/2052 (a)
|
150,000
|
132,618
|
|
Darling Ingredients, Inc.
|
|
|
|
5.25%, 4/15/2027 (a)
|
50,000
|
48,393
|
|
6.00%, 6/15/2030 (a)
|
100,000
|
97,519
|
|
General Mills, Inc. 4.15%, 2/15/2043
|
200,000
|
170,493
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a)
|
155,000
|
137,079
|
|
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025
|
64,000
|
63,088
|
|
Post Holdings, Inc.
|
|
|
|
5.75%, 3/1/2027 (a)
|
82,000
|
79,937
|
|
5.50%, 12/15/2029 (a)
|
225,000
|
206,655
|
|
|
|
980,026
|
|
Gas Utilities — 0.0% ^
|
||
|
AmeriGas Partners LP
|
|
|
|
5.50%, 5/20/2025
|
23,000
|
22,310
|
|
5.88%, 8/20/2026
|
10,000
|
9,525
|
|
5.75%, 5/20/2027
|
80,000
|
76,320
|
|
Atmos Energy Corp.
|
|
|
|
5.50%, 6/15/2041
|
52,000
|
52,321
|
|
5.75%, 10/15/2052
|
35,000
|
37,336
|
|
Boston Gas Co. 3.00%, 8/1/2029 (a)
|
37,000
|
31,585
|
|
Southern California Gas Co. Series XX, 2.55%, 2/1/2030
|
33,000
|
28,320
|
|
|
|
257,717
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Abbott Laboratories 1.15%, 1/30/2028
|
90,000
|
77,114
|
|
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
176,000
|
161,920
|
|
Becton Dickinson and Co. 3.70%, 6/6/2027
|
45,000
|
42,984
|
|
DH Europe Finance II SARL 3.25%, 11/15/2039
|
40,000
|
32,183
|
|
Hologic, Inc. 3.25%, 2/15/2029 (a)
|
115,000
|
101,040
|
|
Medline Borrower LP
|
|
|
|
3.88%, 4/1/2029 (a)
|
220,000
|
189,147
|
|
5.25%, 10/1/2029 (a)
|
55,000
|
44,825
|
|
Teleflex, Inc. 4.25%, 6/1/2028 (a)
|
85,000
|
78,923
|
|
|
|
728,136
|
|
Health Care Providers & Services — 1.3%
|
||
|
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a)
|
251,000
|
235,984
|
|
AdaptHealth LLC 4.63%, 8/1/2029 (a)
|
85,000
|
70,952
|
|
Aetna, Inc.
|
|
|
|
2.80%, 6/15/2023
|
70,000
|
69,152
|
|
4.75%, 3/15/2044
|
100,000
|
88,526
|
|
3.88%, 8/15/2047
|
235,000
|
182,387
|
|
Centene Corp. 4.63%, 12/15/2029
|
916,000
|
851,729
|
|
Cigna Corp. 2.38%, 3/15/2031
|
35,000
|
29,007
|
|
CommonSpirit Health
|
|
|
|
1.55%, 10/1/2025
|
13,000
|
11,683
|
|
2.78%, 10/1/2030
|
13,000
|
10,489
|
|
3.91%, 10/1/2050
|
15,000
|
10,967
|
|
Community Health Systems, Inc.
|
|
|
|
5.63%, 3/15/2027 (a)
|
325,000
|
275,857
|
|
4.75%, 2/15/2031 (a)
|
85,000
|
62,279
|
|
CVS Health Corp.
|
|
|
|
2.88%, 6/1/2026
|
10,000
|
9,409
|
|
4.30%, 3/25/2028
|
37,000
|
35,968
|
|
2.70%, 8/21/2040
|
50,000
|
35,187
|
|
DaVita, Inc. 4.63%, 6/1/2030 (a)
|
375,000
|
303,555
|
|
Encompass Health Corp.
|
|
|
|
4.50%, 2/1/2028
|
180,000
|
161,866
|
|
4.75%, 2/1/2030
|
205,000
|
181,937
|
|
4.63%, 4/1/2031
|
75,000
|
64,727
|
|
Envision Healthcare Corp. 8.75%, 10/15/2026 (a)
|
20,000
|
5,800
|
|
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041
|
50,000
|
34,266
|
|
HCA, Inc.
|
|
|
|
5.25%, 6/15/2026
|
120,000
|
119,048
|
|
5.38%, 9/1/2026
|
155,000
|
154,298
|
|
4.50%, 2/15/2027
|
210,000
|
201,882
|
|
5.63%, 9/1/2028
|
1,170,000
|
1,168,377
|
|
5.88%, 2/1/2029
|
25,000
|
25,169
|
|
3.50%, 9/1/2030
|
37,000
|
31,800
|
|
5.50%, 6/15/2047
|
35,000
|
31,913
|
|
3.50%, 7/15/2051
|
35,000
|
23,654
|
|
MultiCare Health System 2.80%, 8/15/2050
|
10,000
|
6,043
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
MyMichigan Health Series 2020, 3.41%, 6/1/2050
|
10,000
|
6,973
|
|
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060
|
5,000
|
2,883
|
|
Northwell Healthcare, Inc. 4.26%, 11/1/2047
|
110,000
|
87,857
|
|
Owens & Minor, Inc. 4.50%, 3/31/2029 (a)
|
220,000
|
180,530
|
|
Quest Diagnostics, Inc. 2.95%, 6/30/2030
|
55,000
|
47,622
|
|
Tenet Healthcare Corp.
|
|
|
|
4.88%, 1/1/2026 (a)
|
260,000
|
246,735
|
|
5.13%, 11/1/2027 (a)
|
270,000
|
254,175
|
|
4.25%, 6/1/2029 (a)
|
660,000
|
572,669
|
|
UnitedHealth Group, Inc.
|
|
|
|
3.38%, 4/15/2027
|
91,000
|
87,049
|
|
5.35%, 2/15/2033
|
300,000
|
312,374
|
|
4.63%, 11/15/2041
|
132,000
|
122,657
|
|
3.25%, 5/15/2051
|
55,000
|
40,359
|
|
5.88%, 2/15/2053
|
254,000
|
281,087
|
|
|
|
6,736,881
|
|
Health Care Technology — 0.0% ^
|
||
|
IQVIA, Inc. 5.00%, 5/15/2027 (a)
|
200,000
|
190,982
|
|
Hotels, Restaurants & Leisure — 0.9%
|
||
|
1011778 BC ULC (Canada)
|
|
|
|
5.75%, 4/15/2025 (a)
|
50,000
|
50,125
|
|
3.88%, 1/15/2028 (a)
|
257,000
|
229,369
|
|
Boyd Gaming Corp. 4.75%, 12/1/2027
|
122,000
|
113,460
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
167,000
|
148,617
|
|
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a)
|
230,000
|
227,310
|
|
Carnival Corp.
|
|
|
|
9.88%, 8/1/2027 (a)
|
110,000
|
107,368
|
|
4.00%, 8/1/2028 (a)
|
120,000
|
99,900
|
|
Cedar Fair LP 5.38%, 4/15/2027
|
165,000
|
157,846
|
|
Hilton Domestic Operating Co., Inc.
|
|
|
|
5.38%, 5/1/2025 (a)
|
25,000
|
24,840
|
|
3.75%, 5/1/2029 (a)
|
120,000
|
106,489
|
|
4.88%, 1/15/2030
|
290,000
|
268,366
|
|
International Game Technology plc 6.25%, 1/15/2027 (a)
|
200,000
|
198,750
|
|
Las Vegas Sands Corp. 2.90%, 6/25/2025
|
205,000
|
189,292
|
|
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a)
|
170,000
|
143,222
|
|
MGM Resorts International
|
|
|
|
6.75%, 5/1/2025
|
130,000
|
129,380
|
|
5.50%, 4/15/2027
|
226,000
|
213,027
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
11.50%, 6/1/2025 (a)
|
10,000
|
10,725
|
|
8.25%, 1/15/2029 (a)
|
502,000
|
509,580
|
|
9.25%, 1/15/2029 (a)
|
502,000
|
513,928
|
|
Sands China Ltd. (Macau)
|
|
|
|
5.63%, 8/8/2025 (e)
|
200,000
|
191,000
|
|
4.30%, 1/8/2026 (e)
|
250,000
|
227,500
|
|
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)
|
85,000
|
82,623
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Hotels, Restaurants & Leisure — continued
|
||
|
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)
|
63,000
|
63,156
|
|
Starbucks Corp. 3.35%, 3/12/2050
|
5,000
|
3,631
|
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
190,000
|
167,586
|
|
Travel + Leisure Co. 5.65%, 4/1/2024 (e)
|
25,000
|
24,718
|
|
Vail Resorts, Inc. 6.25%, 5/15/2025 (a)
|
114,000
|
113,881
|
|
Wynn Las Vegas LLC 5.50%, 3/1/2025 (a)
|
75,000
|
71,995
|
|
Wynn Resorts Finance LLC
|
|
|
|
7.75%, 4/15/2025 (a)
|
205,000
|
205,435
|
|
5.13%, 10/1/2029 (a)
|
100,000
|
86,911
|
|
Yum! Brands, Inc. 4.63%, 1/31/2032
|
460,000
|
407,100
|
|
|
|
5,087,130
|
|
Household Durables — 0.1%
|
||
|
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a)
|
55,000
|
48,744
|
|
Lennar Corp. 4.50%, 4/30/2024
|
6,000
|
5,913
|
|
MDC Holdings, Inc.
|
|
|
|
3.85%, 1/15/2030
|
30,000
|
24,202
|
|
2.50%, 1/15/2031
|
125,000
|
88,768
|
|
Newell Brands, Inc.
|
|
|
|
6.63%, 9/15/2029
|
300,000
|
294,750
|
|
5.63%, 4/1/2036 (e)
|
50,000
|
42,797
|
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a)
|
300,000
|
248,722
|
|
|
|
753,896
|
|
Household Products — 0.2%
|
||
|
Central Garden & Pet Co. 5.13%, 2/1/2028
|
145,000
|
133,212
|
|
Colgate-Palmolive Co. 3.70%, 8/1/2047
|
100,000
|
87,218
|
|
Energizer Holdings, Inc.
|
|
|
|
4.75%, 6/15/2028 (a)
|
100,000
|
87,194
|
|
4.38%, 3/31/2029 (a)
|
210,000
|
178,651
|
|
Kimberly-Clark Corp. 3.20%, 4/25/2029
|
139,000
|
127,356
|
|
Spectrum Brands, Inc.
|
|
|
|
5.75%, 7/15/2025
|
135,000
|
132,883
|
|
5.00%, 10/1/2029 (a)
|
95,000
|
81,120
|
|
5.50%, 7/15/2030 (a)
|
35,000
|
29,973
|
|
|
|
857,607
|
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
|
Calpine Corp.
|
|
|
|
5.25%, 6/1/2026 (a)
|
238,000
|
228,050
|
|
5.13%, 3/15/2028 (a)
|
55,000
|
49,261
|
|
Constellation Energy Generation LLC
|
|
|
|
3.25%, 6/1/2025
|
37,000
|
35,521
|
|
5.75%, 10/1/2041
|
120,000
|
117,077
|
|
5.60%, 6/15/2042
|
215,000
|
210,027
|
|
|
|
639,936
|
|
Industrial Conglomerates — 0.0% ^
|
||
|
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035
|
200,000
|
188,770
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Insurance — 0.2%
|
||
|
AIA Group Ltd. (Hong Kong) 3.20%, 3/11/2025 (a)
|
200,000
|
190,663
|
|
Athene Global Funding
|
|
|
|
1.45%, 1/8/2026 (a)
|
20,000
|
17,616
|
|
2.95%, 11/12/2026 (a)
|
44,000
|
39,568
|
|
Berkshire Hathaway Finance Corp.
|
|
|
|
2.85%, 10/15/2050
|
60,000
|
41,013
|
|
2.50%, 1/15/2051
|
340,000
|
216,947
|
|
3.85%, 3/15/2052
|
175,000
|
142,888
|
|
Equitable Financial Life Global Funding 1.70%, 11/12/2026 (a)
|
25,000
|
22,000
|
|
F&G Global Funding 1.75%, 6/30/2026 (a)
|
10,000
|
8,896
|
|
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a)
|
20,000
|
16,730
|
|
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026
|
42,000
|
41,314
|
|
MetLife, Inc. 4.13%, 8/13/2042
|
79,000
|
67,348
|
|
New York Life Global Funding 3.00%, 1/10/2028 (a)
|
51,000
|
47,387
|
|
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (b)
|
27,000
|
21,181
|
|
Principal Financial Group, Inc. 3.70%, 5/15/2029
|
45,000
|
42,078
|
|
Progressive Corp. (The)
|
|
|
|
3.00%, 3/15/2032
|
200,000
|
176,604
|
|
4.35%, 4/25/2044
|
42,000
|
36,236
|
|
Prudential Financial, Inc.
|
|
|
|
3.88%, 3/27/2028
|
32,000
|
30,839
|
|
3.91%, 12/7/2047
|
70,000
|
56,054
|
|
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a)
|
40,000
|
33,700
|
|
Travelers Cos., Inc. (The) 5.35%, 11/1/2040
|
16,000
|
15,993
|
|
W R Berkley Corp. 3.55%, 3/30/2052
|
45,000
|
31,534
|
|
|
|
1,296,589
|
|
Interactive Media & Services — 0.1%
|
||
|
Alphabet, Inc. 2.05%, 8/15/2050
|
100,000
|
62,881
|
|
Meta Platforms, Inc. 3.85%, 8/15/2032 (a)
|
380,000
|
340,005
|
|
|
|
402,886
|
|
Internet & Direct Marketing Retail — 0.2%
|
||
|
Amazon.com, Inc.
|
|
|
|
3.15%, 8/22/2027
|
201,000
|
191,017
|
|
1.50%, 6/3/2030
|
410,000
|
333,337
|
|
3.60%, 4/13/2032
|
200,000
|
186,367
|
|
3.10%, 5/12/2051
|
40,000
|
29,174
|
|
3.95%, 4/13/2052
|
315,000
|
269,147
|
|
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a)
|
110,000
|
104,250
|
|
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a)
|
13,000
|
8,001
|
|
|
|
1,121,293
|
|
IT Services — 0.2%
|
||
|
Arches Buyer, Inc. 4.25%, 6/1/2028 (a)
|
85,000
|
69,925
|
|
Black Knight InfoServ LLC 3.63%, 9/1/2028 (a)
|
90,000
|
80,943
|
|
Block, Inc. 3.50%, 6/1/2031
|
290,000
|
235,338
|
|
Fidelity National Information Services, Inc. 2.25%, 3/1/2031
|
195,000
|
155,502
|
|
Fiserv, Inc. 3.20%, 7/1/2026
|
70,000
|
65,896
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
IT Services — continued
|
||
|
Gartner, Inc. 3.75%, 10/1/2030 (a)
|
130,000
|
112,450
|
|
Global Payments, Inc.
|
|
|
|
3.20%, 8/15/2029
|
60,000
|
51,269
|
|
2.90%, 5/15/2030
|
40,000
|
32,965
|
|
2.90%, 11/15/2031
|
75,000
|
59,507
|
|
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a)
|
205,000
|
191,312
|
|
Twilio, Inc. 3.63%, 3/15/2029
|
115,000
|
95,981
|
|
Visa, Inc. 2.70%, 4/15/2040
|
150,000
|
116,881
|
|
|
|
1,267,969
|
|
Leisure Products — 0.0% ^
|
||
|
Hasbro, Inc. 3.90%, 11/19/2029
|
15,000
|
13,528
|
|
Mattel, Inc.
|
|
|
|
3.38%, 4/1/2026 (a)
|
70,000
|
64,282
|
|
5.88%, 12/15/2027 (a)
|
65,000
|
63,559
|
|
|
|
141,369
|
|
Life Sciences Tools & Services — 0.0% ^
|
||
|
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a)
|
120,000
|
104,415
|
|
Thermo Fisher Scientific, Inc.
|
|
|
|
1.75%, 10/15/2028
|
20,000
|
17,107
|
|
2.60%, 10/1/2029
|
91,000
|
80,894
|
|
|
|
202,416
|
|
Machinery — 0.2%
|
||
|
Amsted Industries, Inc. 5.63%, 7/1/2027 (a)
|
65,000
|
61,435
|
|
Caterpillar, Inc. 4.30%, 5/15/2044
|
178,000
|
165,093
|
|
Illinois Tool Works, Inc. 3.90%, 9/1/2042
|
15,000
|
12,918
|
|
Otis Worldwide Corp. 2.06%, 4/5/2025
|
190,000
|
177,996
|
|
Parker-Hannifin Corp.
|
|
|
|
3.25%, 3/1/2027
|
92,000
|
86,212
|
|
4.25%, 9/15/2027
|
150,000
|
145,474
|
|
Stanley Black & Decker, Inc. 2.75%, 11/15/2050
|
10,000
|
6,385
|
|
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a)
|
250,000
|
226,880
|
|
Xylem, Inc. 1.95%, 1/30/2028
|
30,000
|
25,945
|
|
|
|
908,338
|
|
Media — 1.8%
|
||
|
Charter Communications Operating LLC
|
|
|
|
2.25%, 1/15/2029
|
465,000
|
380,504
|
|
2.30%, 2/1/2032
|
750,000
|
562,312
|
|
3.50%, 6/1/2041
|
85,000
|
57,458
|
|
3.50%, 3/1/2042
|
90,000
|
60,987
|
|
3.70%, 4/1/2051
|
40,000
|
25,550
|
|
3.90%, 6/1/2052
|
95,000
|
63,099
|
|
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a)
|
417,000
|
359,391
|
|
Comcast Corp.
|
|
|
|
4.15%, 10/15/2028
|
110,000
|
106,730
|
|
2.65%, 2/1/2030
|
230,000
|
200,794
|
|
4.25%, 10/15/2030
|
194,000
|
186,927
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
1.95%, 1/15/2031
|
80,000
|
65,216
|
|
1.50%, 2/15/2031
|
350,000
|
276,310
|
|
5.50%, 11/15/2032
|
210,000
|
220,132
|
|
3.90%, 3/1/2038
|
95,000
|
82,993
|
|
3.25%, 11/1/2039
|
313,000
|
247,306
|
|
4.00%, 3/1/2048
|
45,000
|
36,828
|
|
2.89%, 11/1/2051
|
570,000
|
380,242
|
|
2.45%, 8/15/2052
|
110,000
|
66,666
|
|
2.94%, 11/1/2056
|
1,078,000
|
698,752
|
|
CSC Holdings LLC
|
|
|
|
5.50%, 4/15/2027 (a)
|
200,000
|
183,250
|
|
6.50%, 2/1/2029 (a)
|
400,000
|
364,528
|
|
4.50%, 11/15/2031 (a)
|
200,000
|
152,424
|
|
Diamond Sports Group LLC 5.38%, 8/15/2026 (a)
|
35,000
|
5,689
|
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
211,000
|
193,609
|
|
Discovery Communications LLC 4.00%, 9/15/2055
|
45,000
|
28,846
|
|
DISH DBS Corp.
|
|
|
|
5.00%, 3/15/2023
|
215,000
|
213,361
|
|
5.88%, 11/15/2024
|
426,000
|
404,811
|
|
7.75%, 7/1/2026
|
290,000
|
242,904
|
|
5.25%, 12/1/2026 (a)
|
175,000
|
150,237
|
|
Gannett Holdings LLC 6.00%, 11/1/2026 (a)
|
110,000
|
87,451
|
|
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a)
|
135,000
|
103,001
|
|
Gray Television, Inc. 4.75%, 10/15/2030 (a)
|
100,000
|
73,989
|
|
iHeartCommunications, Inc.
|
|
|
|
6.38%, 5/1/2026
|
95,000
|
89,852
|
|
8.38%, 5/1/2027
|
25,000
|
22,250
|
|
5.25%, 8/15/2027 (a)
|
260,000
|
231,548
|
|
Lamar Media Corp.
|
|
|
|
3.75%, 2/15/2028
|
215,000
|
194,306
|
|
4.00%, 2/15/2030
|
35,000
|
30,562
|
|
News Corp. 3.88%, 5/15/2029 (a)
|
205,000
|
182,194
|
|
Nexstar Media, Inc.
|
|
|
|
5.63%, 7/15/2027 (a)
|
230,000
|
216,872
|
|
4.75%, 11/1/2028 (a)
|
105,000
|
93,442
|
|
Outfront Media Capital LLC
|
|
|
|
6.25%, 6/15/2025 (a)
|
25,000
|
24,875
|
|
5.00%, 8/15/2027 (a)
|
181,000
|
164,936
|
|
Paramount Global 4.95%, 1/15/2031
|
50,000
|
45,079
|
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
160,000
|
134,492
|
|
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
45,000
|
40,050
|
|
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a)
|
150,000
|
115,021
|
|
Sirius XM Radio, Inc.
|
|
|
|
5.00%, 8/1/2027 (a)
|
110,000
|
102,656
|
|
4.00%, 7/15/2028 (a)
|
710,000
|
627,512
|
|
5.50%, 7/1/2029 (a)
|
160,000
|
148,976
|
|
4.13%, 7/1/2030 (a)
|
105,000
|
88,601
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
175,000
|
150,062
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
TEGNA, Inc. 5.00%, 9/15/2029
|
140,000
|
130,905
|
|
Univision Communications, Inc.
|
|
|
|
6.63%, 6/1/2027 (a)
|
70,000
|
68,217
|
|
4.50%, 5/1/2029 (a)
|
180,000
|
153,225
|
|
Videotron Ltd. (Canada)
|
|
|
|
5.38%, 6/15/2024 (a)
|
37,000
|
36,630
|
|
5.13%, 4/15/2027 (a)
|
120,000
|
114,720
|
|
|
|
9,489,280
|
|
Metals & Mining — 0.6%
|
||
|
Alcoa Nederland Holding BV
|
|
|
|
5.50%, 12/15/2027 (a)
|
200,000
|
191,718
|
|
6.13%, 5/15/2028 (a)
|
200,000
|
194,154
|
|
Arconic Corp. 6.13%, 2/15/2028 (a)
|
260,000
|
244,127
|
|
ATI, Inc. 5.88%, 12/1/2027
|
195,000
|
181,746
|
|
Carpenter Technology Corp. 6.38%, 7/15/2028
|
175,000
|
165,134
|
|
Cleveland-Cliffs, Inc.
|
|
|
|
6.75%, 3/15/2026 (a)
|
125,000
|
125,312
|
|
5.88%, 6/1/2027
|
135,000
|
127,791
|
|
FMG Resources August 2006 Pty. Ltd. (Australia)
|
|
|
|
4.50%, 9/15/2027 (a)
|
100,000
|
91,500
|
|
5.88%, 4/15/2030 (a)
|
135,000
|
126,434
|
|
Freeport-McMoRan, Inc.
|
|
|
|
5.00%, 9/1/2027
|
45,000
|
43,588
|
|
4.25%, 3/1/2030
|
97,000
|
86,390
|
|
4.63%, 8/1/2030
|
300,000
|
274,029
|
|
5.40%, 11/14/2034
|
183,000
|
170,819
|
|
Glencore Funding LLC (Australia)
|
|
|
|
4.63%, 4/29/2024 (a)
|
90,000
|
88,961
|
|
3.88%, 10/27/2027 (a)
|
40,000
|
37,023
|
|
2.50%, 9/1/2030 (a)
|
37,000
|
30,025
|
|
2.85%, 4/27/2031 (a)
|
435,000
|
358,236
|
|
2.63%, 9/23/2031 (a)
|
102,000
|
81,205
|
|
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a)
|
120,000
|
105,529
|
|
Novelis Corp. 4.75%, 1/30/2030 (a)
|
255,000
|
226,720
|
|
Nucor Corp. 2.98%, 12/15/2055
|
50,000
|
31,177
|
|
Rio Tinto Finance USA Ltd. (Australia)
|
|
|
|
7.13%, 7/15/2028
|
59,000
|
65,103
|
|
5.20%, 11/2/2040
|
20,000
|
20,279
|
|
Rio Tinto Finance USA plc (Australia) 4.13%, 8/21/2042
|
40,000
|
35,198
|
|
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043
|
20,000
|
17,596
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
147,000
|
143,384
|
|
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030
|
20,000
|
17,425
|
|
|
|
3,280,603
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.2%
|
||
|
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a)
|
1,000,000
|
963,936
|
|
Multiline Retail — 0.0% ^
|
||
|
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a)
|
110,000
|
102,316
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — 0.2%
|
||
|
Ameren Corp.
|
|
|
|
1.95%, 3/15/2027
|
20,000
|
17,612
|
|
3.50%, 1/15/2031
|
291,000
|
259,097
|
|
Berkshire Hathaway Energy Co.
|
|
|
|
5.15%, 11/15/2043
|
94,000
|
90,076
|
|
2.85%, 5/15/2051
|
40,000
|
26,392
|
|
4.60%, 5/1/2053 (a)
|
20,000
|
18,099
|
|
Consolidated Edison Co. of New York, Inc.
|
|
|
|
Series E, 4.65%, 12/1/2048
|
60,000
|
52,700
|
|
Series A, 4.13%, 5/15/2049
|
41,000
|
33,361
|
|
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046
|
70,000
|
49,629
|
|
Puget Sound Energy, Inc. 5.76%, 7/15/2040
|
140,000
|
139,199
|
|
San Diego Gas & Electric Co. 2.95%, 8/15/2051
|
170,000
|
118,255
|
|
Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051
|
170,000
|
111,826
|
|
|
|
916,246
|
|
Oil, Gas & Consumable Fuels — 2.5%
|
||
|
Aker BP ASA (Norway) 3.10%, 7/15/2031 (a)
|
250,000
|
206,012
|
|
Antero Midstream Partners LP
|
|
|
|
7.88%, 5/15/2026 (a)
|
135,000
|
137,730
|
|
5.75%, 3/1/2027 (a)
|
110,000
|
105,040
|
|
5.75%, 1/15/2028 (a)
|
90,000
|
85,050
|
|
Antero Resources Corp.
|
|
|
|
7.63%, 2/1/2029 (a)
|
85,000
|
86,729
|
|
5.38%, 3/1/2030 (a)
|
125,000
|
117,118
|
|
Apache Corp. 4.38%, 10/15/2028
|
179,000
|
160,652
|
|
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a)
|
105,000
|
108,252
|
|
BP Capital Markets America, Inc.
|
|
|
|
3.02%, 1/16/2027
|
106,000
|
99,652
|
|
3.94%, 9/21/2028
|
20,000
|
19,240
|
|
1.75%, 8/10/2030
|
480,000
|
387,931
|
|
2.72%, 1/12/2032
|
557,000
|
471,890
|
|
3.06%, 6/17/2041
|
130,000
|
99,125
|
|
3.00%, 2/24/2050
|
74,000
|
50,993
|
|
2.77%, 11/10/2050
|
55,000
|
36,365
|
|
2.94%, 6/4/2051
|
67,000
|
45,765
|
|
3.00%, 3/17/2052
|
380,000
|
259,372
|
|
BP Capital Markets plc (United Kingdom)
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (b) (c) (d)
|
85,000
|
80,856
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (b) (c) (d)
|
155,000
|
136,361
|
|
Buckeye Partners LP
|
|
|
|
3.95%, 12/1/2026
|
10,000
|
8,825
|
|
4.13%, 12/1/2027
|
175,000
|
154,708
|
|
Cameron LNG LLC 3.70%, 1/15/2039 (a)
|
20,000
|
16,137
|
|
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025
|
200,000
|
200,947
|
|
Cheniere Energy Partners LP
|
|
|
|
4.50%, 10/1/2029
|
469,000
|
430,542
|
|
4.00%, 3/1/2031
|
135,000
|
117,956
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
3.25%, 1/31/2032
|
25,000
|
20,344
|
|
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a)
|
115,000
|
113,994
|
|
Chevron Corp. 2.00%, 5/11/2027
|
21,000
|
19,011
|
|
Chord Energy Corp. 6.38%, 6/1/2026 (a)
|
125,000
|
122,187
|
|
CNX Resources Corp. 7.25%, 3/14/2027 (a)
|
182,000
|
181,317
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (a)
|
215,000
|
209,980
|
|
ConocoPhillips Co. 4.03%, 3/15/2062
|
233,000
|
190,434
|
|
Coterra Energy, Inc. 3.90%, 5/15/2027 (a)
|
30,000
|
28,308
|
|
Crestwood Midstream Partners LP
|
|
|
|
5.75%, 4/1/2025
|
100,000
|
97,488
|
|
5.63%, 5/1/2027 (a)
|
100,000
|
94,097
|
|
8.00%, 4/1/2029 (a)
|
90,000
|
90,675
|
|
DT Midstream, Inc.
|
|
|
|
4.13%, 6/15/2029 (a)
|
210,000
|
185,031
|
|
4.30%, 4/15/2032 (a)
|
80,000
|
71,782
|
|
Energy Transfer LP
|
|
|
|
3.60%, 2/1/2023
|
140,000
|
139,556
|
|
4.25%, 3/15/2023
|
120,000
|
119,618
|
|
4.15%, 9/15/2029
|
150,000
|
136,096
|
|
5.80%, 6/15/2038
|
100,000
|
92,724
|
|
5.35%, 5/15/2045
|
45,000
|
38,710
|
|
EnLink Midstream Partners LP
|
|
|
|
4.85%, 7/15/2026
|
280,000
|
267,400
|
|
5.60%, 4/1/2044
|
9,000
|
7,470
|
|
Enterprise Products Operating LLC
|
|
|
|
2.80%, 1/31/2030
|
37,000
|
31,988
|
|
3.30%, 2/15/2053
|
30,000
|
20,580
|
|
EQM Midstream Partners LP
|
|
|
|
4.13%, 12/1/2026
|
90,000
|
82,730
|
|
7.50%, 6/1/2027 (a)
|
160,000
|
161,698
|
|
6.50%, 7/1/2027 (a)
|
160,000
|
155,200
|
|
4.75%, 1/15/2031 (a)
|
195,000
|
164,159
|
|
Exxon Mobil Corp.
|
|
|
|
2.99%, 3/19/2025
|
18,000
|
17,433
|
|
4.23%, 3/19/2040
|
300,000
|
275,488
|
|
3.10%, 8/16/2049
|
200,000
|
147,331
|
|
Flex Intermediate Holdco LLC
|
|
|
|
3.36%, 6/30/2031 (a)
|
64,000
|
51,071
|
|
4.32%, 12/30/2039 (a)
|
20,000
|
14,404
|
|
Genesis Energy LP 6.25%, 5/15/2026
|
175,000
|
162,212
|
|
Gray Oak Pipeline LLC
|
|
|
|
2.00%, 9/15/2023 (a)
|
44,000
|
42,762
|
|
2.60%, 10/15/2025 (a)
|
112,000
|
101,612
|
|
Gulfport Energy Corp. 8.00%, 5/17/2026 (a)
|
175,000
|
174,435
|
|
Hess Midstream Operations LP
|
|
|
|
5.63%, 2/15/2026 (a)
|
105,000
|
103,214
|
|
5.50%, 10/15/2030 (a)
|
100,000
|
91,664
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (a)
|
220,000
|
201,533
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
Holly Energy Partners LP 6.38%, 4/15/2027 (a)
|
135,000
|
132,082
|
|
Kinder Morgan, Inc. 3.25%, 8/1/2050
|
75,000
|
49,716
|
|
Kinetik Holdings LP 5.88%, 6/15/2030 (a)
|
170,000
|
159,751
|
|
Laredo Petroleum, Inc. 9.50%, 1/15/2025
|
135,000
|
135,000
|
|
MPLX LP 2.65%, 8/15/2030
|
70,000
|
57,444
|
|
NGL Energy Operating LLC 7.50%, 2/1/2026 (a)
|
95,000
|
85,806
|
|
NGPL PipeCo LLC 3.25%, 7/15/2031 (a)
|
10,000
|
8,182
|
|
NuStar Logistics LP
|
|
|
|
5.75%, 10/1/2025
|
60,000
|
58,350
|
|
5.63%, 4/28/2027
|
220,000
|
206,880
|
|
Occidental Petroleum Corp.
|
|
|
|
8.88%, 7/15/2030
|
150,000
|
171,937
|
|
6.63%, 9/1/2030
|
385,000
|
401,645
|
|
Pioneer Natural Resources Co. 1.13%, 1/15/2026
|
50,000
|
44,633
|
|
Range Resources Corp.
|
|
|
|
4.88%, 5/15/2025
|
45,000
|
43,607
|
|
8.25%, 1/15/2029
|
200,000
|
208,654
|
|
Sabine Pass Liquefaction LLC
|
|
|
|
5.63%, 3/1/2025
|
90,000
|
90,224
|
|
5.88%, 6/30/2026
|
20,000
|
20,287
|
|
4.50%, 5/15/2030
|
894,000
|
844,720
|
|
SM Energy Co.
|
|
|
|
6.75%, 9/15/2026
|
45,000
|
44,100
|
|
6.63%, 1/15/2027
|
195,000
|
191,100
|
|
Southwestern Energy Co.
|
|
|
|
5.70%, 1/23/2025 (e)
|
2,000
|
1,980
|
|
7.75%, 10/1/2027
|
110,000
|
113,168
|
|
5.38%, 3/15/2030
|
215,000
|
202,143
|
|
Spectra Energy Partners LP 4.50%, 3/15/2045
|
15,000
|
12,547
|
|
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038
|
83,000
|
88,520
|
|
Sunoco LP 6.00%, 4/15/2027
|
185,000
|
182,389
|
|
Tallgrass Energy Partners LP
|
|
|
|
7.50%, 10/1/2025 (a)
|
45,000
|
45,563
|
|
5.50%, 1/15/2028 (a)
|
55,000
|
49,913
|
|
6.00%, 12/31/2030 (a)
|
115,000
|
104,074
|
|
6.00%, 9/1/2031 (a)
|
40,000
|
35,650
|
|
Targa Resources Corp. 5.20%, 7/1/2027
|
31,000
|
30,585
|
|
TotalEnergies Capital International SA (France)
|
|
|
|
3.46%, 7/12/2049
|
84,000
|
64,799
|
|
3.13%, 5/29/2050
|
80,000
|
57,794
|
|
TransCanada PipeLines Ltd. (Canada) 5.10%, 3/15/2049
|
48,000
|
44,598
|
|
Valero Energy Corp. 2.15%, 9/15/2027
|
25,000
|
22,092
|
|
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a)
|
220,000
|
190,025
|
|
Western Midstream Operating LP
|
|
|
|
4.50%, 3/1/2028
|
225,000
|
208,687
|
|
4.75%, 8/15/2028
|
30,000
|
27,750
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
Williams Cos., Inc. (The)
|
|
|
|
2.60%, 3/15/2031
|
1,525,000
|
1,254,949
|
|
5.40%, 3/4/2044
|
50,000
|
46,235
|
|
|
|
13,586,563
|
|
Personal Products — 0.1%
|
||
|
Edgewell Personal Care Co.
|
|
|
|
5.50%, 6/1/2028 (a)
|
200,000
|
188,456
|
|
4.13%, 4/1/2029 (a)
|
70,000
|
60,797
|
|
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030
|
158,000
|
137,164
|
|
Prestige Brands, Inc. 5.13%, 1/15/2028 (a)
|
200,000
|
188,500
|
|
|
|
574,917
|
|
Pharmaceuticals — 0.8%
|
||
|
Astrazeneca Finance LLC (United Kingdom) 2.25%, 5/28/2031
|
230,000
|
192,990
|
|
Bausch Health Americas, Inc.
|
|
|
|
9.25%, 4/1/2026 (a)
|
263,000
|
170,541
|
|
8.50%, 1/31/2027 (a)
|
88,000
|
42,250
|
|
Bausch Health Cos., Inc.
|
|
|
|
5.50%, 11/1/2025 (a)
|
215,000
|
181,651
|
|
5.75%, 8/15/2027 (a)
|
30,000
|
19,495
|
|
5.00%, 1/30/2028 (a)
|
30,000
|
12,278
|
|
4.88%, 6/1/2028 (a)
|
280,000
|
171,528
|
|
5.00%, 2/15/2029 (a)
|
175,000
|
73,708
|
|
Bayer US Finance II LLC (Germany) 3.38%, 7/15/2024 (a)
|
70,000
|
67,881
|
|
Bristol-Myers Squibb Co.
|
|
|
|
4.13%, 6/15/2039
|
164,000
|
148,902
|
|
2.35%, 11/13/2040
|
280,000
|
197,617
|
|
2.55%, 11/13/2050
|
70,000
|
45,996
|
|
3.70%, 3/15/2052
|
220,000
|
178,677
|
|
Catalent Pharma Solutions, Inc. 3.13%, 2/15/2029 (a)
|
225,000
|
183,938
|
|
Elanco Animal Health, Inc. 6.40%, 8/28/2028 (e)
|
135,000
|
124,677
|
|
Eli Lilly & Co. 2.25%, 5/15/2050
|
70,000
|
45,748
|
|
Jazz Securities DAC 4.38%, 1/15/2029 (a)
|
200,000
|
181,504
|
|
Merck & Co., Inc. 2.75%, 12/10/2051
|
340,000
|
235,279
|
|
Organon & Co.
|
|
|
|
4.13%, 4/30/2028 (a)
|
200,000
|
179,996
|
|
5.13%, 4/30/2031 (a)
|
200,000
|
177,482
|
|
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (e)
|
80,000
|
60,200
|
|
Pfizer, Inc.
|
|
|
|
2.63%, 4/1/2030
|
130,000
|
115,316
|
|
4.40%, 5/15/2044
|
150,000
|
140,843
|
|
Roche Holdings, Inc. 2.08%, 12/13/2031 (a)
|
600,000
|
495,504
|
|
Royalty Pharma plc 1.20%, 9/2/2025
|
16,000
|
14,341
|
|
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026
|
145,000
|
136,622
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040
|
200,000
|
149,563
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Pharmaceuticals — continued
|
||
|
Zoetis, Inc.
|
|
|
|
2.00%, 5/15/2030
|
95,000
|
78,268
|
|
5.60%, 11/16/2032
|
284,000
|
297,649
|
|
|
|
4,120,444
|
|
Real Estate Management & Development — 0.0% ^
|
||
|
Kennedy-Wilson, Inc. 4.75%, 3/1/2029
|
75,000
|
60,881
|
|
Realogy Group LLC 5.75%, 1/15/2029 (a)
|
105,000
|
80,317
|
|
|
|
141,198
|
|
Road & Rail — 0.4%
|
||
|
Avis Budget Car Rental LLC
|
|
|
|
5.75%, 7/15/2027 (a)
|
95,000
|
87,866
|
|
4.75%, 4/1/2028 (a)
|
95,000
|
83,458
|
|
5.38%, 3/1/2029 (a)
|
55,000
|
48,425
|
|
Burlington Northern Santa Fe LLC
|
|
|
|
3.55%, 2/15/2050
|
78,000
|
61,662
|
|
3.05%, 2/15/2051
|
155,000
|
110,554
|
|
Canadian Pacific Railway Co. (Canada) 3.10%, 12/2/2051
|
150,000
|
105,459
|
|
CSX Corp. 3.25%, 6/1/2027
|
20,000
|
18,860
|
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (a)
|
200,000
|
166,000
|
|
Hertz Corp. (The) 4.63%, 12/1/2026 (a)
|
160,000
|
138,795
|
|
Kansas City Southern 2.88%, 11/15/2029
|
775,000
|
675,489
|
|
Norfolk Southern Corp. 3.95%, 10/1/2042
|
50,000
|
41,902
|
|
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a)
|
46,000
|
40,456
|
|
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a)
|
200,000
|
184,288
|
|
Uber Technologies, Inc. 7.50%, 5/15/2025 (a)
|
155,000
|
155,939
|
|
|
|
1,919,153
|
|
Semiconductors & Semiconductor Equipment — 0.4%
|
||
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
135,000
|
134,322
|
|
Analog Devices, Inc.
|
|
|
|
3.50%, 12/5/2026
|
25,000
|
23,983
|
|
2.95%, 10/1/2051
|
107,000
|
76,202
|
|
Entegris Escrow Corp. 5.95%, 6/15/2030 (a)
|
195,000
|
182,139
|
|
KLA Corp.
|
|
|
|
4.65%, 7/15/2032
|
80,000
|
79,151
|
|
3.30%, 3/1/2050
|
130,000
|
97,383
|
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
85,000
|
69,455
|
|
Microchip Technology, Inc. 0.97%, 2/15/2024
|
25,000
|
23,654
|
|
NVIDIA Corp. 2.00%, 6/15/2031
|
255,000
|
207,317
|
|
NXP BV (China)
|
|
|
|
3.25%, 5/11/2041
|
70,000
|
49,499
|
|
3.13%, 2/15/2042
|
30,000
|
20,304
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
75,000
|
66,502
|
|
QUALCOMM, Inc.
|
|
|
|
4.25%, 5/20/2032
|
55,000
|
53,360
|
|
4.50%, 5/20/2052
|
35,000
|
31,062
|
|
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031
|
760,000
|
625,860
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Semiconductors & Semiconductor Equipment — continued
|
||
|
TSMC Global Ltd. (Taiwan) 1.00%, 9/28/2027 (a)
|
380,000
|
315,161
|
|
Xilinx, Inc. 2.38%, 6/1/2030
|
39,000
|
33,175
|
|
|
|
2,088,529
|
|
Software — 0.4%
|
||
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)
|
145,000
|
130,323
|
|
Microsoft Corp.
|
|
|
|
2.92%, 3/17/2052
|
240,000
|
178,045
|
|
2.68%, 6/1/2060
|
150,000
|
101,374
|
|
NCR Corp.
|
|
|
|
5.75%, 9/1/2027 (a)
|
115,000
|
111,837
|
|
5.00%, 10/1/2028 (a)
|
105,000
|
91,350
|
|
6.13%, 9/1/2029 (a)
|
161,000
|
156,170
|
|
Oracle Corp.
|
|
|
|
2.65%, 7/15/2026
|
583,000
|
537,098
|
|
2.30%, 3/25/2028
|
15,000
|
12,997
|
|
3.80%, 11/15/2037
|
150,000
|
118,790
|
|
3.65%, 3/25/2041
|
115,000
|
85,457
|
|
3.95%, 3/25/2051
|
15,000
|
10,977
|
|
4.38%, 5/15/2055
|
55,000
|
41,818
|
|
Roper Technologies, Inc. 1.75%, 2/15/2031
|
105,000
|
81,476
|
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)
|
150,000
|
143,365
|
|
VMware, Inc. 4.65%, 5/15/2027
|
105,000
|
102,432
|
|
Workday, Inc. 3.70%, 4/1/2029
|
172,000
|
158,405
|
|
|
|
2,061,914
|
|
Specialty Retail — 0.7%
|
||
|
Asbury Automotive Group, Inc. 4.50%, 3/1/2028
|
186,000
|
168,276
|
|
Bath & Body Works, Inc.
|
|
|
|
7.50%, 6/15/2029
|
180,000
|
180,600
|
|
6.88%, 11/1/2035
|
235,000
|
212,675
|
|
Gap, Inc. (The)
|
|
|
|
3.63%, 10/1/2029 (a)
|
130,000
|
99,872
|
|
3.88%, 10/1/2031 (a)
|
60,000
|
45,300
|
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)
|
115,000
|
97,549
|
|
Home Depot, Inc. (The)
|
|
|
|
3.90%, 12/6/2028
|
112,000
|
108,685
|
|
1.88%, 9/15/2031
|
370,000
|
299,929
|
|
4.50%, 9/15/2032
|
200,000
|
198,601
|
|
4.25%, 4/1/2046
|
201,000
|
178,081
|
|
4.95%, 9/15/2052
|
206,000
|
203,857
|
|
Lithia Motors, Inc. 3.88%, 6/1/2029 (a)
|
190,000
|
159,410
|
|
Lowe's Cos., Inc.
|
|
|
|
1.70%, 10/15/2030
|
170,000
|
134,999
|
|
3.75%, 4/1/2032
|
215,000
|
195,846
|
|
5.63%, 4/15/2053
|
235,000
|
235,105
|
|
O'Reilly Automotive, Inc.
|
|
|
|
1.75%, 3/15/2031
|
73,000
|
56,661
|
|
4.70%, 6/15/2032
|
90,000
|
87,892
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Specialty Retail — continued
|
||
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
219,000
|
184,282
|
|
PetSmart, Inc. 4.75%, 2/15/2028 (a)
|
250,000
|
228,407
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
150,000
|
123,750
|
|
SRS Distribution, Inc. 4.63%, 7/1/2028 (a)
|
155,000
|
138,523
|
|
Staples, Inc.
|
|
|
|
7.50%, 4/15/2026 (a)
|
170,000
|
151,663
|
|
10.75%, 4/15/2027 (a)
|
23,000
|
16,816
|
|
|
|
3,506,779
|
|
Technology Hardware, Storage & Peripherals — 0.3%
|
||
|
Apple, Inc.
|
|
|
|
2.20%, 9/11/2029
|
46,000
|
40,220
|
|
1.25%, 8/20/2030
|
300,000
|
240,491
|
|
4.38%, 5/13/2045
|
229,000
|
217,764
|
|
2.65%, 2/8/2051
|
300,000
|
205,166
|
|
3.95%, 8/8/2052
|
120,000
|
104,940
|
|
2.85%, 8/5/2061
|
350,000
|
237,703
|
|
Dell International LLC
|
|
|
|
4.90%, 10/1/2026
|
30,000
|
29,670
|
|
5.30%, 10/1/2029
|
100,000
|
98,918
|
|
Seagate HDD Cayman
|
|
|
|
4.09%, 6/1/2029
|
150,000
|
124,125
|
|
3.13%, 7/15/2029
|
335,000
|
260,011
|
|
|
|
1,559,008
|
|
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
|
Hanesbrands, Inc.
|
|
|
|
4.63%, 5/15/2024 (a)
|
13,000
|
12,610
|
|
4.88%, 5/15/2026 (a)
|
20,000
|
18,200
|
|
William Carter Co. (The) 5.63%, 3/15/2027 (a)
|
100,000
|
95,899
|
|
|
|
126,709
|
|
Thrifts & Mortgage Finance — 0.2%
|
||
|
BPCE SA (France)
|
|
|
|
3.50%, 10/23/2027 (a)
|
500,000
|
443,660
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (b)
|
250,000
|
182,622
|
|
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a)
|
115,000
|
104,548
|
|
Rocket Mortgage LLC
|
|
|
|
2.88%, 10/15/2026 (a)
|
60,000
|
51,165
|
|
3.63%, 3/1/2029 (a)
|
120,000
|
96,600
|
|
|
|
878,595
|
|
Tobacco — 0.3%
|
||
|
Altria Group, Inc.
|
|
|
|
2.45%, 2/4/2032
|
80,000
|
60,650
|
|
3.40%, 2/4/2041
|
145,000
|
98,687
|
|
3.88%, 9/16/2046
|
95,000
|
64,704
|
|
BAT Capital Corp. (United Kingdom)
|
|
|
|
3.56%, 8/15/2027
|
141,000
|
128,612
|
|
4.39%, 8/15/2037
|
600,000
|
472,621
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Tobacco — continued
|
||
|
Imperial Brands Finance plc (United Kingdom) 6.13%, 7/27/2027 (a)
|
285,000
|
285,064
|
|
Philip Morris International, Inc.
|
|
|
|
3.13%, 3/2/2028
|
49,000
|
44,485
|
|
4.38%, 11/15/2041
|
345,000
|
281,235
|
|
4.13%, 3/4/2043
|
100,000
|
77,974
|
|
|
|
1,514,032
|
|
Trading Companies & Distributors — 0.3%
|
||
|
Air Lease Corp.
|
|
|
|
3.38%, 7/1/2025
|
92,000
|
86,819
|
|
1.88%, 8/15/2026
|
50,000
|
43,718
|
|
Aviation Capital Group LLC
|
|
|
|
4.13%, 8/1/2025 (a)
|
110,000
|
102,073
|
|
1.95%, 1/30/2026 (a)
|
50,000
|
43,616
|
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
565,000
|
534,055
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
170,000
|
151,725
|
|
United Rentals North America, Inc. 5.25%, 1/15/2030
|
455,000
|
428,837
|
|
WESCO Distribution, Inc.
|
|
|
|
7.13%, 6/15/2025 (a)
|
85,000
|
86,063
|
|
7.25%, 6/15/2028 (a)
|
285,000
|
288,719
|
|
|
|
1,765,625
|
|
Transportation Infrastructure — 0.0% ^
|
||
|
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a)
|
12,000
|
9,617
|
|
Wireless Telecommunication Services — 0.2%
|
||
|
Hughes Satellite Systems Corp.
|
|
|
|
5.25%, 8/1/2026
|
85,000
|
81,139
|
|
6.63%, 8/1/2026
|
105,000
|
97,615
|
|
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (a)
|
40,000
|
32,558
|
|
Sprint LLC
|
|
|
|
7.88%, 9/15/2023
|
8,000
|
8,173
|
|
7.13%, 6/15/2024
|
30,000
|
30,635
|
|
7.63%, 3/1/2026
|
225,000
|
236,640
|
|
T-Mobile USA, Inc.
|
|
|
|
4.75%, 2/1/2028
|
195,000
|
189,555
|
|
2.63%, 2/15/2029
|
28,000
|
23,835
|
|
3.38%, 4/15/2029
|
500,000
|
441,785
|
|
2.55%, 2/15/2031
|
67,000
|
55,552
|
|
|
|
1,197,487
|
|
Total Corporate Bonds
(Cost $183,022,826)
|
|
169,354,660
|
|
Asset-Backed Securities — 19.3%
|
||
|
ACC Trust Series 2022-1, Class C, 3.24%, 10/20/2025 (a)
|
1,000,000
|
951,014
|
|
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 5.34%, 12/18/2037 ‡ (a) (g)
|
250,000
|
240,215
|
|
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)
|
397,600
|
340,900
|
|
American Airlines Pass-Through Trust Series 2015-2, Class A, 4.00%, 9/22/2027
|
186,866
|
151,584
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2020-2, Class C, 3.88%, 4/13/2026 (a)
|
162,845
|
161,893
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (a)
|
300,000
|
271,803
|
|
Series 2022-3, Class D, 5.83%, 10/13/2028 (a)
|
506,000
|
485,893
|
|
American Homes 4 Rent Trust
|
|
|
|
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 ‡ (a)
|
125,000
|
120,500
|
|
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a)
|
150,000
|
145,490
|
|
Series 2015-SFR1, Class F, 5.89%, 4/17/2052 ‡ (a)
|
400,000
|
386,324
|
|
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 (a)
|
90,179
|
85,438
|
|
AMSR Trust
|
|
|
|
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a)
|
500,000
|
456,972
|
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 ‡ (a)
|
375,000
|
343,727
|
|
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (a)
|
350,000
|
312,020
|
|
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a)
|
1,500,000
|
1,325,021
|
|
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (a)
|
425,000
|
370,443
|
|
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a)
|
1,000,000
|
840,345
|
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 ‡ (a)
|
750,000
|
669,172
|
|
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 ‡ (a)
|
1,000,000
|
811,836
|
|
Aqua Finance Trust Series 2019-A, Class B, 3.47%, 7/16/2040 ‡ (a)
|
246,000
|
229,219
|
|
Avid Automobile Receivables Trust Series 2019-1, Class D, 4.03%, 7/15/2026 (a)
|
300,000
|
297,635
|
|
British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%, 6/20/2024 (a)
|
121,319
|
117,682
|
|
Business Jet Securities LLC
|
|
|
|
Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)
|
855,475
|
775,351
|
|
Series 2021-1A, Class A, 2.16%, 4/15/2036 (a)
|
240,000
|
208,901
|
|
Series 2021-1A, Class B, 2.92%, 4/15/2036 (a)
|
522,463
|
424,307
|
|
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a)
|
249,259
|
216,868
|
|
BXG Receivables Note Trust Series 2020-A, Class C, 4.22%, 2/28/2036 (a)
|
2,052,497
|
1,896,195
|
|
CarNow Auto Receivables Trust Series 2021-1A, Class C, 2.16%, 2/17/2026 (a)
|
200,000
|
193,797
|
|
Carvana Auto Receivables Trust Series 2019-4A, Class D, 3.07%, 7/15/2025 (a)
|
110,000
|
107,544
|
|
Cascade MH Asset Trust Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (g)
|
401,843
|
357,352
|
|
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (a)
|
825,000
|
788,910
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-1, Class E, 5.79%, 3/15/2052 ‡ (a) (g)
|
551,000
|
495,709
|
|
Series 2019-2, Class E, 5.42%, 6/15/2052 ‡ (a) (g)
|
650,000
|
555,384
|
|
Series 2019-3, Class E, 4.91%, 10/15/2052 ‡ (a) (g)
|
570,000
|
472,212
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2022-D, Class D, 8.73%, 1/16/2029 (a)
|
1,000,000
|
1,015,830
|
|
Series 2022-C, Class C, 5.28%, 4/15/2030 (a)
|
1,000,000
|
969,345
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2020-1A, Class C, 2.59%, 6/15/2029 (a)
|
750,000
|
737,166
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
1,000,000
|
971,282
|
|
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a)
|
250,000
|
215,615
|
|
Delta Air Lines Pass-Through Trust Series 2019-1, Class AA, 3.20%, 4/25/2024
|
15,000
|
14,461
|
|
Diamond Resorts Owner Trust
|
|
|
|
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a)
|
248,514
|
228,895
|
|
Series 2021-1A, Class D, 3.83%, 11/21/2033 ‡ (a)
|
217,994
|
200,400
|
|
Drive Auto Receivables Trust Series 2020-2, Class D, 3.05%, 5/15/2028
|
750,000
|
732,064
|
|
DT Auto Owner Trust
|
|
|
|
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a)
|
500,000
|
493,130
|
|
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a)
|
1,350,000
|
1,353,284
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Elara HGV Timeshare Issuer LLC
|
|
|
|
Series 2021-A, Class C, 2.09%, 8/27/2035 ‡ (a)
|
518,918
|
454,307
|
|
Series 2021-A, Class D, 3.32%, 8/27/2035 ‡ (a)
|
185,328
|
163,481
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2020-2A, Class C, 3.28%, 5/15/2025 (a)
|
101,156
|
100,550
|
|
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a)
|
400,000
|
396,123
|
|
Series 2022-3A, Class D, 6.76%, 9/15/2028
|
1,000,000
|
972,633
|
|
Series 2022-5A, Class D, 7.40%, 2/15/2029
|
1,000,000
|
995,671
|
|
Series 2022-6A, Class D, 8.03%, 4/6/2029 (h)
|
1,291,000
|
1,290,616
|
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
1,000,000
|
915,394
|
|
FHF Trust
|
|
|
|
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a)
|
226,593
|
216,360
|
|
Series 2022-2A, Class A, 6.14%, 12/15/2027 (a)
|
1,454,551
|
1,438,729
|
|
FirstKey Homes Trust
|
|
|
|
Series 2022-SFR3, Class D, 3.50%, 7/17/2026 (a) (h)
|
1,250,000
|
1,075,624
|
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a)
|
2,201,000
|
1,973,369
|
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a)
|
1,000,000
|
877,899
|
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 ‡ (a)
|
1,000,000
|
867,889
|
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 ‡ (a)
|
560,000
|
483,119
|
|
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 ‡ (a)
|
500,000
|
408,195
|
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 ‡ (a)
|
600,000
|
492,561
|
|
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 ‡ (a)
|
635,000
|
527,353
|
|
Series 2021-SFR2, Class E2, 2.36%, 9/17/2038 ‡ (a)
|
814,000
|
670,197
|
|
Series 2022-SFR1, Class E2, 5.00%, 5/17/2039 (a)
|
2,000,000
|
1,676,613
|
|
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 ‡ (a)
|
492,000
|
404,586
|
|
Flagship Credit Auto Trust
|
|
|
|
Series 2020-4, Class D, 2.18%, 2/16/2027 (a)
|
280,000
|
261,223
|
|
Series 2021-4, Class C, 1.96%, 12/15/2027 (a)
|
500,000
|
449,698
|
|
Series 2022-3, Class E, 7.95%, 10/15/2029 (a)
|
1,000,000
|
936,648
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (g)
|
900,000
|
682,372
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 ‡ (a)
|
600,000
|
525,740
|
|
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a)
|
1,000,000
|
895,770
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
1,093,338
|
1,027,407
|
|
Foundation Finance Trust
|
|
|
|
Series 2020-1A, Class B, 4.62%, 7/16/2040 ‡ (a)
|
300,000
|
284,123
|
|
Series 2020-1A, Class C, 5.75%, 7/16/2040 ‡ (a)
|
150,000
|
143,095
|
|
Series 2021-1A, Class C, 2.99%, 5/15/2041 ‡ (a)
|
536,000
|
456,470
|
|
FREED ABS Trust
|
|
|
|
Series 2021-2, Class C, 1.94%, 6/19/2028 ‡ (a)
|
200,000
|
193,060
|
|
Series 2022-1FP, Class D, 3.35%, 3/19/2029 ‡ (a)
|
700,000
|
638,682
|
|
Series 2022-3FP, Class C, 7.05%, 8/20/2029 ‡ (a)
|
500,000
|
489,263
|
|
Series 2022-4FP, Class C, 8.59%, 12/18/2029 (a)
|
1,000,000
|
1,004,602
|
|
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a)
|
1,000,000
|
832,549
|
|
Genesis Sales Finance Master Trust Series 2020-AA, Class C, 2.99%, 9/22/2025 (a)
|
300,000
|
273,605
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a)
|
1,000,000
|
916,356
|
|
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a)
|
1,500,000
|
1,267,886
|
|
Series 2022-3A, Class E, 8.35%, 10/15/2029 (a)
|
750,000
|
688,381
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
HGI CRE CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2022-FL3, Class B, 5.94%, 4/20/2037 ‡ (a) (g)
|
1,000,000
|
953,046
|
|
Series 2022-FL3, Class E, 7.64%, 4/20/2037 ‡ (a) (g)
|
663,500
|
620,673
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-1D, Class D, 6.79%, 6/20/2034 ‡ (a)
|
355,920
|
338,802
|
|
Series 2022-2A, Class D, 8.73%, 1/25/2037 ‡ (a)
|
564,982
|
546,008
|
|
Series 2020-AA, Class C, 6.42%, 2/25/2039 ‡ (a)
|
230,449
|
226,248
|
|
HIN Timeshare Trust
|
|
|
|
Series 2020-A, Class D, 5.50%, 10/9/2039 ‡ (a)
|
93,039
|
85,599
|
|
Series 2020-A, Class E, 6.50%, 10/9/2039 ‡ (a)
|
418,675
|
385,976
|
|
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 ‡ (a)
|
793,112
|
748,069
|
|
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 ‡ (a)
|
962,080
|
876,797
|
|
Lendingpoint Asset Securitization Trust Series 2022-A, Class D, 4.54%, 6/15/2029 ‡ (a)
|
1,000,000
|
839,127
|
|
Lendmark Funding Trust
|
|
|
|
Series 2019-2A, Class C, 3.72%, 4/20/2028 ‡ (a)
|
100,000
|
88,422
|
|
Series 2019-2A, Class D, 5.24%, 4/20/2028 ‡ (a)
|
700,000
|
607,062
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 ‡ (a)
|
870,000
|
653,644
|
|
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a)
|
1,000,000
|
798,963
|
|
LL ABS Trust Series 2020-1A, Class B, 3.79%, 1/17/2028 ‡ (a)
|
63,386
|
63,244
|
|
LP LMS Asset Securitization Trust, 6.17%, 10/15/2028
|
550,000
|
526,735
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a)
|
1,500,000
|
1,327,109
|
|
Series 2021-AA, Class D, 3.83%, 3/20/2036 ‡ (a)
|
351,000
|
283,090
|
|
Series 2022-AA, Class D, 9.10%, 10/20/2037 ‡ (a)
|
650,000
|
649,303
|
|
Mercury Financial Credit Card Master Trust
|
|
|
|
Series 2021-1A, Class A, 1.54%, 3/20/2026 (a)
|
600,000
|
569,079
|
|
Series 2021-1A, Class B, 2.33%, 3/20/2026 (a)
|
200,000
|
184,592
|
|
MVW LLC
|
|
|
|
Series 2020-1A, Class C, 4.21%, 10/20/2037 ‡ (a)
|
139,009
|
128,815
|
|
Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (a)
|
63,359
|
59,246
|
|
Series 2022-2A, Class C, 7.62%, 10/21/2041 ‡ (a)
|
1,000,000
|
1,010,366
|
|
MVW Owner Trust Series 2019-1A, Class C, 3.33%, 11/20/2036 ‡ (a)
|
39,382
|
36,516
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2022-SFR1, Class D, 3.30%, 2/17/2039 ‡ (a)
|
340,000
|
297,315
|
|
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 ‡ (a)
|
420,000
|
362,793
|
|
NMEF Funding LLC Series 2021-A, Class C, 2.58%, 12/15/2027 ‡ (a)
|
600,000
|
564,942
|
|
NRZ Excess Spread-Collateralized Notes
|
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)
|
208,435
|
189,707
|
|
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a)
|
755,406
|
669,456
|
|
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a)
|
208,748
|
184,654
|
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
1,087,138
|
957,324
|
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)
|
248,825
|
227,603
|
|
Octane Receivables Trust Series 2020-1A, Class C, 2.89%, 3/20/2026 (a)
|
350,000
|
329,150
|
|
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (a)
|
1,000,000
|
931,154
|
|
Oportun Funding XIV LLC
|
|
|
|
Series 2021-A, Class A, 1.21%, 3/8/2028 (a)
|
1,600,000
|
1,467,188
|
|
Series 2021-A, Class C, 3.44%, 3/8/2028 ‡ (a)
|
380,000
|
345,955
|
|
Oportun Issuance Trust
|
|
|
|
Series 2022-2, Class C, 9.36%, 10/9/2029 ‡ (a)
|
750,000
|
731,863
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-3, Class C, 10.15%, 1/8/2030 (a)
|
762,000
|
741,955
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 ‡ (a)
|
400,000
|
343,879
|
|
Series 2021-B, Class C, 3.65%, 5/8/2031 ‡ (a)
|
100,000
|
83,481
|
|
Series 2022-A, Class C, 7.40%, 6/9/2031 ‡ (a)
|
755,000
|
683,629
|
|
Pagaya AI Debt Selection Trust Series 2021-1, Class B, 2.13%, 11/15/2027 ‡ (a)
|
499,794
|
466,528
|
|
PFP Ltd. (Cayman Islands)
|
|
|
|
Series 2021-7, Class C, 5.55%, 4/14/2038 ‡ (a) (g)
|
164,992
|
152,767
|
|
Series 2021-7, Class D, 6.30%, 4/14/2038 ‡ (a) (g)
|
169,992
|
154,839
|
|
Prestige Auto Receivables Trust
|
|
|
|
Series 2018-1A, Class D, 4.14%, 10/15/2024 (a)
|
83,774
|
83,529
|
|
Series 2022-1A, Class C, 7.09%, 8/15/2028 (a)
|
1,200,000
|
1,202,191
|
|
PRET LLC
|
|
|
|
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (a) (e)
|
629,727
|
582,039
|
|
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 ‡ (a) (e)
|
821,322
|
738,439
|
|
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (a) (e)
|
336,143
|
303,534
|
|
Progress Residential
|
|
|
|
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 ‡ (a)
|
450,000
|
381,274
|
|
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 ‡ (a)
|
645,000
|
545,048
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 ‡
|
651,000
|
557,919
|
|
Series 2020-SFR3, Class E, 2.30%, 10/17/2027 ‡ (a)
|
300,000
|
261,787
|
|
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 ‡ (a)
|
500,000
|
443,467
|
|
Series 2020-SFR1, Class C, 2.18%, 4/17/2037 (a)
|
2,100,000
|
1,902,413
|
|
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 (a)
|
425,000
|
386,049
|
|
Series 2020-SFR1, Class F, 3.43%, 4/17/2037 ‡ (a)
|
450,000
|
408,343
|
|
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 ‡ (a)
|
750,000
|
695,743
|
|
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 ‡ (a)
|
400,000
|
334,215
|
|
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 ‡ (a)
|
950,000
|
792,430
|
|
Series 2021-SFR5, Class E2, 2.36%, 7/17/2038 ‡ (a)
|
270,000
|
223,927
|
|
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 ‡ (a)
|
665,000
|
590,000
|
|
Series 2022-SFR5, Class E2, 6.86%, 6/17/2039 ‡ (a)
|
388,000
|
352,809
|
|
Series 2021-SFR7, Class E1, 2.59%, 8/17/2040 ‡ (a)
|
793,000
|
616,532
|
|
Series 2022-SFR1, Class E2, 3.99%, 2/17/2041 ‡ (a)
|
750,000
|
585,716
|
|
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 6.50%, 12/27/2044 (a) (g)
|
76,811
|
72,853
|
|
Regional Management Issuance Trust
|
|
|
|
Series 2020-1, Class C, 3.80%, 10/15/2030 ‡ (a)
|
300,000
|
268,244
|
|
Series 2021-1, Class D, 5.07%, 3/17/2031 ‡ (a)
|
500,000
|
409,571
|
|
Series 2022-2B, Class B, 8.51%, 11/17/2032 ‡ (a)
|
1,227,000
|
1,242,148
|
|
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a)
|
150,000
|
135,884
|
|
SCF Equipment Leasing LLC Series 2022-2A, Class E, 6.50%, 6/20/2035 (a)
|
1,112,000
|
865,542
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2020-2A, Class D, 6.59%, 7/20/2037 ‡ (a)
|
648,236
|
619,152
|
|
Series 2021-1A, Class D, 3.17%, 11/20/2037 ‡ (a)
|
300,805
|
272,662
|
|
Series 2022-1A, Class D, 6.00%, 10/20/2038 ‡ (a)
|
570,668
|
537,497
|
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 ‡ (a)
|
939,628
|
946,929
|
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 ‡ (a)
|
577,621
|
562,876
|
|
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a)
|
682,936
|
615,469
|
|
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a)
|
442,324
|
434,374
|
|
Tricon American Homes Series 2020-SFR1, Class E, 3.54%, 7/17/2038 ‡ (a)
|
300,000
|
262,092
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2014-1, Class A, 4.00%, 4/11/2026
|
117,728
|
109,161
|
|
Series 2016-2, Class A, 3.10%, 10/7/2028
|
7,357
|
5,764
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
12,137
|
9,763
|
|
United Auto Credit Securitization Trust
|
|
|
|
Series 2022-2, Class C, 5.81%, 5/10/2027 (a)
|
856,000
|
841,531
|
|
Series 2022-2, Class E, 10.00%, 4/10/2029 (a)
|
1,000,000
|
967,195
|
|
Upstart Securitization Trust Series 2022-4, Class A, 5.98%, 8/20/2032 (a)
|
1,021,257
|
1,000,455
|
|
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a)
|
1,325,950
|
1,316,877
|
|
US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023
|
12,183
|
12,237
|
|
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 (a)
|
1,000,000
|
925,563
|
|
USASF Receivables LLC
|
|
|
|
Series 2020-1A, Class B, 3.22%, 5/15/2024 (a)
|
130,517
|
129,933
|
|
Series 2020-1A, Class D, 9.35%, 3/15/2027 (a)
|
750,000
|
749,637
|
|
VCAT LLC
|
|
|
|
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (a) (e)
|
201,430
|
192,281
|
|
Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 ‡ (a) (e)
|
600,289
|
545,603
|
|
Veros Auto Receivables Trust Series 2021-1, Class B, 1.49%, 10/15/2026 (a)
|
300,000
|
285,576
|
|
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (e)
|
152,775
|
135,269
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (a) (e)
|
692,499
|
619,982
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (e)
|
223,492
|
197,791
|
|
Westgate Resorts LLC
|
|
|
|
Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (a)
|
106,564
|
105,079
|
|
Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (a)
|
193,030
|
181,299
|
|
Series 2022-1A, Class D, 3.84%, 8/20/2036 ‡ (a)
|
772,120
|
715,217
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a)
|
500,000
|
451,096
|
|
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a)
|
1,000,000
|
945,239
|
|
Total Asset-Backed Securities
(Cost $108,886,815)
|
|
103,075,285
|
|
U.S. Treasury Obligations — 17.7%
|
||
|
U.S. Treasury Bonds
|
|
|
|
4.50%, 8/15/2039
|
715,000
|
776,138
|
|
1.13%, 5/15/2040
|
994,000
|
636,082
|
|
4.38%, 5/15/2040
|
370,000
|
394,151
|
|
1.13%, 8/15/2040
|
6,437,100
|
4,088,313
|
|
1.38%, 11/15/2040
|
2,433,000
|
1,613,478
|
|
4.75%, 2/15/2041
|
2,968,000
|
3,305,378
|
|
2.25%, 5/15/2041
|
4,236,000
|
3,254,936
|
|
2.75%, 8/15/2042
|
2,544,000
|
2,095,521
|
|
3.75%, 11/15/2043
|
2,226,000
|
2,136,090
|
|
3.38%, 11/15/2048
|
1,609,000
|
1,459,979
|
|
2.38%, 11/15/2049
|
6,085,000
|
4,548,062
|
|
2.00%, 2/15/2050
|
358,000
|
244,545
|
|
1.88%, 2/15/2051
|
1,207,000
|
795,866
|
|
2.38%, 5/15/2051
|
7,764,000
|
5,773,868
|
|
2.25%, 2/15/2052
|
8,395,000
|
6,062,436
|
|
U.S. Treasury Notes
|
|
|
|
2.13%, 2/29/2024
|
156,000
|
151,241
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — continued
|
||
|
1.13%, 2/28/2025
|
565,000
|
527,260
|
|
0.25%, 8/31/2025
|
1,548,000
|
1,392,958
|
|
1.13%, 10/31/2026
|
10,471,000
|
9,402,631
|
|
0.50%, 8/31/2027
|
6,112,000
|
5,227,193
|
|
3.13%, 8/31/2027
|
1,895,000
|
1,837,114
|
|
0.63%, 11/30/2027
|
2,224,000
|
1,900,999
|
|
1.25%, 3/31/2028
|
180,000
|
157,809
|
|
1.25%, 4/30/2028
|
4,100,000
|
3,587,980
|
|
1.25%, 9/30/2028
|
9,421,000
|
8,168,301
|
|
3.13%, 8/31/2029
|
1,870,000
|
1,798,779
|
|
0.88%, 11/15/2030
|
430,000
|
349,392
|
|
1.38%, 11/15/2031
|
678,000
|
560,754
|
|
1.88%, 2/15/2032
|
5,701,000
|
4,909,095
|
|
2.75%, 8/15/2032
|
6,507,000
|
6,027,109
|
|
U.S. Treasury STRIPS Bonds
|
|
|
|
2.57%, 5/15/2032 (i)
|
2,200,000
|
1,532,996
|
|
1.67%, 5/15/2033 (i)
|
3,205,000
|
2,144,140
|
|
3.60%, 2/15/2034 (i)
|
4,986,000
|
3,228,327
|
|
1.33%, 8/15/2039 (i)
|
511,000
|
275,160
|
|
4.03%, 2/15/2040 (i)
|
2,155,000
|
1,085,214
|
|
2.42%, 11/15/2040 (i)
|
3,172,000
|
1,535,327
|
|
2.27%, 8/15/2041 (i)
|
207,000
|
96,718
|
|
2.26%, 11/15/2041 (i)
|
845,000
|
397,370
|
|
2.60%, 2/15/2042 (i)
|
1,065,000
|
482,360
|
|
1.39%, 2/15/2045 (i)
|
649,000
|
263,319
|
|
Total U.S. Treasury Obligations
(Cost $105,731,419)
|
|
94,224,389
|
|
Mortgage-Backed Securities — 15.5%
|
||
|
FHLMC Gold Pools, 30 Year Pool # G60855, 4.50%, 12/1/2045
|
72,827
|
73,091
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN2203, 3.75%, 8/1/2032
|
1,200,000
|
1,133,343
|
|
Pool # N31271, 4.50%, 1/1/2036
|
13,819
|
13,535
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # QA5045, 4.00%, 11/1/2049
|
76,170
|
72,712
|
|
Pool # QB1397, 2.50%, 7/1/2050
|
2,294,590
|
1,978,543
|
|
FNMA UMBS, 20 Year Pool # MA3004, 4.00%, 5/1/2037
|
358,143
|
346,642
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # AL2374, 4.00%, 12/1/2041
|
104,482
|
102,447
|
|
Pool # AL4244, 4.00%, 7/1/2042
|
120,378
|
118,815
|
|
Pool # BM1164, 3.50%, 12/1/2045
|
82,850
|
77,471
|
|
Pool # MA3073, 4.50%, 7/1/2047
|
19,525
|
19,392
|
|
Pool # BK4769, 5.00%, 8/1/2048
|
352,207
|
356,449
|
|
Pool # BN5013, 5.00%, 1/1/2049
|
119,547
|
120,897
|
|
Pool # BO1073, 4.50%, 6/1/2049
|
28,132
|
27,554
|
|
Pool # BO3039, 3.00%, 7/1/2049
|
168,269
|
150,006
|
|
Pool # BN6475, 4.00%, 7/1/2049
|
7,832
|
7,509
|
|
Pool # BO2562, 4.00%, 7/1/2049
|
82,741
|
79,377
|
|
Pool # BO4519, 4.00%, 8/1/2049
|
3,533
|
3,381
|
|
Pool # BO2203, 3.50%, 9/1/2049
|
248,205
|
229,809
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS1186, 3.50%, 1/1/2050 (h)
|
1,797,485
|
1,665,726
|
|
Pool # CA5702, 2.50%, 5/1/2050
|
1,406,405
|
1,218,366
|
|
Pool # BU0070, 2.50%, 10/1/2051
|
961,520
|
825,834
|
|
Pool # FM9961, 3.00%, 12/1/2051
|
484,761
|
429,667
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
493,141
|
423,904
|
|
Pool # BV0273, 3.00%, 1/1/2052
|
305,098
|
271,640
|
|
Pool # CB2670, 3.00%, 1/1/2052
|
455,290
|
403,267
|
|
Pool # BV3930, 3.00%, 2/1/2052
|
590,749
|
523,961
|
|
Pool # BV0295, 3.50%, 2/1/2052
|
664,098
|
618,777
|
|
Pool # FS1954, 3.00%, 3/1/2052
|
1,919,798
|
1,726,845
|
|
Pool # BW6017, 3.50%, 5/1/2052
|
596,538
|
548,574
|
|
Pool # CB4830, 4.50%, 9/1/2052
|
1,646,339
|
1,607,196
|
|
Pool # CB4837, 5.00%, 10/1/2052
|
1,497,426
|
1,498,010
|
|
FNMA, Other
|
|
|
|
Pool # AM8846, 2.68%, 5/1/2025
|
141,656
|
135,205
|
|
Pool # AM0414, 2.87%, 9/1/2027
|
399,109
|
374,194
|
|
Pool # AN7560, 2.90%, 12/1/2027
|
183,843
|
171,169
|
|
Pool # BL2367, 3.48%, 5/1/2029
|
538,404
|
512,597
|
|
Pool # BS1577, 1.82%, 2/1/2030
|
859,516
|
732,037
|
|
Pool # BS6827, 4.19%, 5/1/2030
|
916,373
|
909,358
|
|
Pool # BS4878, 2.44%, 6/1/2030
|
595,253
|
526,394
|
|
Pool # 387898, 3.71%, 8/1/2030
|
747,300
|
714,538
|
|
Pool # BS5171, 2.51%, 10/1/2030
|
1,925,000
|
1,685,382
|
|
Pool # BS5985, 3.99%, 11/1/2030
|
425,000
|
414,601
|
|
Pool # BL9645, 1.50%, 1/1/2031
|
100,000
|
80,326
|
|
Pool # BL9627, 1.56%, 1/1/2031
|
500,000
|
403,694
|
|
Pool # BS1731, 1.82%, 1/1/2031
|
976,527
|
817,817
|
|
Pool # BS2422, 1.67%, 7/1/2031
|
1,200,000
|
965,462
|
|
Pool # BS2898, 1.56%, 9/1/2031
|
1,000,000
|
789,937
|
|
Pool # BS3612, 1.93%, 11/1/2031
|
1,500,000
|
1,221,781
|
|
Pool # BS4563, 2.01%, 1/1/2032
|
1,100,000
|
904,107
|
|
Pool # BM7037, 1.75%, 3/1/2032 (g)
|
1,099,798
|
880,588
|
|
Pool # BS4654, 2.39%, 3/1/2032
|
1,481,827
|
1,269,901
|
|
Pool # BL6367, 1.82%, 4/1/2032
|
330,000
|
270,165
|
|
Pool # BS5130, 2.55%, 4/1/2032
|
494,946
|
431,262
|
|
Pool # BS6301, 3.67%, 8/1/2032
|
945,000
|
890,453
|
|
Pool # BS6385, 3.89%, 8/1/2032
|
2,491,000
|
2,393,406
|
|
Pool # BS6448, 3.93%, 8/1/2032
|
1,550,000
|
1,492,129
|
|
Pool # BS6335, 3.75%, 9/1/2032
|
1,030,000
|
978,000
|
|
Pool # BS6339, 3.80%, 9/1/2032
|
1,056,986
|
1,006,287
|
|
Pool # BS6347, 4.03%, 9/1/2032
|
350,000
|
334,587
|
|
Pool # BS6759, 3.97%, 10/1/2032
|
906,949
|
876,594
|
|
Pool # BL8708, 1.40%, 11/1/2032
|
200,000
|
150,632
|
|
Pool # BS6995, 4.18%, 11/1/2032
|
1,015,000
|
997,310
|
|
Pool # BS6849, 4.23%, 11/1/2032
|
800,000
|
788,718
|
|
Pool # BS6815, 4.71%, 11/1/2032
|
1,283,000
|
1,315,314
|
|
Pool # BS6994, 4.85%, 11/1/2032
|
661,000
|
685,474
|
|
Pool # BS7203, 4.98%, 11/1/2032
|
1,249,000
|
1,305,981
|
|
Pool # BS7095, 4.80%, 12/1/2032 (h)
|
1,023,597
|
1,056,970
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AN6000, 3.21%, 7/1/2033
|
970,245
|
876,700
|
|
Pool # AN9725, 3.76%, 7/1/2033
|
102,579
|
97,207
|
|
Pool # BS4197, 2.14%, 12/1/2033
|
500,000
|
409,436
|
|
Pool # BS6427, 3.75%, 9/1/2034
|
1,010,000
|
927,361
|
|
Pool # BL3772, 2.92%, 10/1/2034
|
692,530
|
607,890
|
|
Pool # BS5018, 2.88%, 10/1/2035
|
750,000
|
605,240
|
|
Pool # AN7345, 3.21%, 11/1/2037
|
634,932
|
550,519
|
|
Pool # MA1072, 3.50%, 5/1/2042
|
10,566
|
9,892
|
|
Pool # BF0230, 5.50%, 1/1/2058
|
420,015
|
438,042
|
|
Pool # BF0400, 4.00%, 8/1/2059
|
739,708
|
711,030
|
|
Pool # BF0497, 3.00%, 7/1/2060
|
75,022
|
66,213
|
|
Pool # BF0560, 2.50%, 9/1/2061
|
955,109
|
798,667
|
|
Pool # BF0562, 3.50%, 9/1/2061
|
941,750
|
860,909
|
|
Pool # BF0583, 4.00%, 12/1/2061
|
950,681
|
908,883
|
|
Pool # BF0586, 5.00%, 12/1/2061
|
964,996
|
960,601
|
|
GNMA I, 30 Year Pool # CO1928, 5.50%, 10/15/2052
|
1,293,163
|
1,339,368
|
|
GNMA II
|
|
|
|
Pool # CJ7125, ARM, 5.74%, 10/20/2071 (g)
|
452,581
|
464,493
|
|
Pool # CJ7141, ARM, 5.66%, 11/20/2071 (g)
|
439,990
|
449,789
|
|
Pool # CE9384, ARM, 5.74%, 11/20/2071 (g)
|
725,650
|
744,116
|
|
Pool # CE5557, ARM, 5.84%, 11/20/2071 (g)
|
99,169
|
102,493
|
|
Pool # CK2792, ARM, 5.83%, 3/20/2072 (g)
|
815,495
|
843,437
|
|
Pool # CO0363, ARM, 5.99%, 7/20/2072 (g)
|
783,826
|
820,776
|
|
GNMA II, 30 Year
|
|
|
|
Pool # AJ9020, 4.50%, 10/20/2044
|
33,811
|
33,119
|
|
Pool # BB3525, 4.00%, 9/20/2047
|
24,143
|
23,375
|
|
Pool # BM2418, 4.00%, 8/20/2049
|
16,171
|
15,855
|
|
Pool # BN7049, 4.50%, 8/20/2049
|
156,014
|
154,439
|
|
Pool # BP7160, 4.50%, 9/20/2049
|
86,996
|
88,295
|
|
Pool # CC9803, 4.00%, 4/20/2051
|
343,357
|
328,934
|
|
Pool # MA7534, 2.50%, 8/20/2051
|
4,672,286
|
4,118,792
|
|
Pool # MA7705, 2.50%, 11/20/2051
|
6,413,713
|
5,651,744
|
|
Pool # CH7863, 3.50%, 12/20/2051
|
703,408
|
656,821
|
|
Pool # CI2080, 3.50%, 12/20/2051
|
850,438
|
781,480
|
|
Pool # CH0876, 3.00%, 1/20/2052
|
111,301
|
101,015
|
|
Pool # CH0877, 3.00%, 1/20/2052
|
274,956
|
249,459
|
|
Pool # CH0878, 3.00%, 1/20/2052
|
324,589
|
294,285
|
|
Pool # CJ3916, 3.00%, 1/20/2052
|
748,019
|
692,090
|
|
Pool # CK2608, 3.00%, 1/20/2052
|
474,038
|
429,221
|
|
Pool # CK4909, 3.00%, 1/20/2052
|
98,346
|
89,048
|
|
Pool # CK4916, 3.00%, 1/20/2052
|
222,486
|
201,087
|
|
Pool # CJ8184, 3.50%, 1/20/2052
|
630,044
|
585,197
|
|
Pool # CK4918, 3.50%, 1/20/2052
|
78,694
|
73,580
|
|
Pool # CK7137, 4.00%, 1/20/2052
|
478,664
|
457,139
|
|
Pool # CK2667, 3.00%, 2/20/2052
|
628,957
|
568,296
|
|
Pool # CK2672, 3.50%, 2/20/2052
|
591,787
|
553,302
|
|
Pool # CM2154, 3.00%, 3/20/2052
|
788,422
|
704,578
|
|
Pool # CM2278, 3.50%, 4/20/2052
|
861,362
|
804,277
|
|
Pool # CO4826, 5.00%, 6/20/2052
|
589,038
|
588,862
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CO4847, 5.00%, 7/20/2052
|
881,456
|
881,193
|
|
Pool # MA8200, 4.00%, 8/20/2052
|
1,959,944
|
1,871,799
|
|
Pool # CO1924, 4.50%, 10/20/2052
|
1,205,467
|
1,193,249
|
|
Pool # CP8517, 4.50%, 10/20/2052
|
998,432
|
978,413
|
|
Pool # CO1925, 5.00%, 10/20/2052
|
998,849
|
1,013,413
|
|
Total Mortgage-Backed Securities
(Cost $88,231,705)
|
|
82,930,529
|
|
Commercial Mortgage-Backed Securities — 5.5%
|
||
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2014-FRR4, Class BK29, PO, 4/27/2023 (a)
|
836,170
|
808,322
|
|
Series 2014-FRR5, Class AK37, 2.39%, 1/27/2047 (a) (g)
|
770,000
|
728,652
|
|
BB-UBS Trust Series 2012-SHOW, Class E, 4.16%, 11/5/2036 ‡ (a) (g)
|
225,000
|
196,871
|
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a)
|
2,000,000
|
1,791,055
|
|
Cascade Funding Mortgage Trust
|
|
|
|
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 ‡ (a)
|
380,000
|
296,598
|
|
Series 2021-FRR1, Class CK45, 1.40%, 2/28/2025 ‡ (a) (g)
|
500,000
|
431,977
|
|
Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 ‡ (a) (g)
|
600,000
|
526,091
|
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 ‡ (a)
|
480,000
|
338,700
|
|
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 ‡ (a)
|
430,000
|
305,769
|
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 ‡ (a)
|
1,150,000
|
612,090
|
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 ‡ (a)
|
400,000
|
216,589
|
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (a)
|
239,000
|
183,528
|
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
|
Series 2021-MN1, Class M1, 5.55%, 1/25/2051 (a) (g)
|
275,876
|
257,577
|
|
Series 2021-MN1, Class M2, 7.30%, 1/25/2051 (a) (g)
|
685,000
|
609,861
|
|
Series 2021-MN3, Class M1, 5.82%, 11/25/2051 (a) (g)
|
582,044
|
547,121
|
|
Series 2022-MN4, Class M1, 7.77%, 5/25/2052 (a) (g)
|
994,898
|
972,664
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KW06, Class A2, 3.80%, 6/25/2028 (g)
|
1,750,000
|
1,696,438
|
|
Series K088, Class A2, 3.69%, 1/25/2029
|
350,000
|
337,193
|
|
Series K128, Class X3, IO, 2.88%, 4/25/2031 (g)
|
550,000
|
91,082
|
|
Series K142, Class A2, 2.40%, 3/25/2032
|
1,250,000
|
1,065,972
|
|
Series K-151, Class A2, 3.80%, 10/25/2032 (g)
|
1,050,000
|
1,000,476
|
|
Series K-1520, Class X1, IO, 0.58%, 2/25/2036 ‡ (g)
|
4,491,113
|
185,644
|
|
Series K-1520, Class X3, IO, 3.20%, 4/25/2039 (g)
|
550,000
|
140,069
|
|
Series 2022-MN4, Class M2, 10.02%, 5/25/2052 (a) (g)
|
750,000
|
728,896
|
|
Series K145, Class AM, 2.58%, 6/25/2055
|
1,100,000
|
936,494
|
|
Series Q014, Class X, IO, 2.79%, 10/25/2055 (g)
|
1,913,305
|
361,582
|
|
FHLMC, Multi-Family WI Certificates Series K153, Class A2, 3.82%, 1/25/2033
|
1,000,000
|
947,886
|
|
FNMA ACES
|
|
|
|
Series 2017-M3, Class A2, 2.55%, 12/25/2026 (g)
|
265,482
|
246,080
|
|
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (g)
|
300,000
|
236,707
|
|
Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (g)
|
700,000
|
558,013
|
|
Series 2022-M1, Class A1, 1.73%, 10/25/2031 (g)
|
483,646
|
422,218
|
|
Series 2022-M3, Class A2, 1.76%, 11/25/2031 (g)
|
1,400,000
|
1,123,916
|
|
Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (g)
|
1,000,000
|
965,250
|
|
Series 2022-M13, Class A2, 2.68%, 6/25/2032
|
1,372,000
|
1,177,781
|
|
Series 2020-M53, Class A2, 1.74%, 11/25/2032 (g)
|
1,250,000
|
979,863
|
|
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033
|
52,786
|
49,204
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (g)
|
532,267
|
48,293
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (g)
|
250,000
|
225,531
|
|
Series 2018-KBX1, Class B, 3.69%, 1/25/2026 (a) (g)
|
500,000
|
457,096
|
|
Series 2021-KHG3, Class BFX, 2.48%, 9/25/2028 (a) (g)
|
1,000,000
|
815,914
|
|
Series 2015-K44, Class B, 3.85%, 1/25/2048 (a) (g)
|
200,000
|
190,350
|
|
Series 2015-K45, Class B, 3.73%, 4/25/2048 (a) (g)
|
199,293
|
190,337
|
|
Series 2015-K48, Class B, 3.77%, 8/25/2048 (a) (g)
|
200,000
|
190,442
|
|
Series 2015-K50, Class B, 3.91%, 10/25/2048 (a) (g)
|
200,000
|
189,852
|
|
Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (g)
|
381,860
|
364,844
|
|
Series 2016-K52, Class B, 4.06%, 1/25/2049 (a) (g)
|
250,000
|
236,747
|
|
Series 2016-K53, Class C, 4.16%, 3/25/2049 (a) (g)
|
70,000
|
65,420
|
|
Series 2017-K729, Class B, 3.80%, 11/25/2049 (a) (g)
|
300,000
|
286,295
|
|
FRR Re-REMIC Trust Series 2018-C1, Class CK43, PO, 2/27/2048 ‡ (a)
|
612,660
|
503,210
|
|
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.75%, 8/27/2047 (a) (g)
|
944,000
|
857,347
|
|
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 6.48%, 4/15/2038 ‡ (a) (g)
|
600,000
|
560,924
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-01, Class M10, 7.29%, 10/25/2049 ‡ (a) (g)
|
951,040
|
877,400
|
|
Series 2020-01, Class M7, 5.99%, 3/25/2050 ‡ (a) (g)
|
148,218
|
145,004
|
|
Series 2020-01, Class M10, 7.79%, 3/25/2050 ‡ (a) (g)
|
1,255,000
|
1,148,779
|
|
Total Commercial Mortgage-Backed Securities
(Cost $31,740,116)
|
|
29,428,014
|
|
Collateralized Mortgage Obligations — 2.7%
|
||
|
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (a) (e)
|
268,939
|
246,020
|
|
Anchor Mortgage Trust Series 2021-1, Class A2, 3.65%, 10/25/2026 (a) (e)
|
476,191
|
446,231
|
|
Bayview Financing Trust Series 2021-2F, Class M2, 4.79%, 1/10/2032 ‡ (a) (g)
|
103,458
|
103,572
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (a)
|
937,325
|
793,857
|
|
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (e)
|
986,777
|
792,893
|
|
CSMC Trust
|
|
|
|
Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (g)
|
503,356
|
476,040
|
|
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (e)
|
759,566
|
718,188
|
|
FHLMC, REMIC
|
|
|
|
Series 2708, Class ZD, 5.50%, 11/15/2033
|
89,320
|
91,040
|
|
Series 4302, Class PA, 4.00%, 12/15/2043
|
64,199
|
61,765
|
|
Series 4281, Class BC, 4.50%, 12/15/2043 (g)
|
91,924
|
90,678
|
|
Series 5141, Class AH, 2.25%, 11/25/2047
|
1,447,250
|
1,296,631
|
|
FNMA, REMIC
|
|
|
|
Series 2003-7, Class FA, 4.77%, 2/25/2033 (g)
|
86,343
|
86,394
|
|
Series 2013-108, Class GU, 3.00%, 10/25/2033
|
476,283
|
449,118
|
|
Series 2005-110, Class TY, 5.50%, 12/25/2035
|
54,830
|
56,105
|
|
Series 2007-89, Class F, 4.60%, 9/25/2037 (g)
|
97,874
|
97,328
|
|
Series 2011-112, Class PB, 4.00%, 11/25/2041
|
117,887
|
112,839
|
|
GNMA
|
|
|
|
Series 2010-H24, Class FA, 3.49%, 10/20/2060 (g)
|
60,381
|
59,640
|
|
Series 2014-H03, Class FA, 3.74%, 1/20/2064 (g)
|
39,546
|
39,258
|
|
Series 2015-H05, Class FC, 3.62%, 2/20/2065 (g)
|
252,367
|
248,273
|
|
Home RE Ltd. (Bermuda)
|
|
|
|
Series 2021-2, Class M1A, 4.80%, 1/25/2034 ‡ (a) (g)
|
107,092
|
106,676
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2022-1, Class M1C, 9.02%, 10/25/2034 ‡ (a) (g)
|
750,000
|
728,833
|
|
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (g)
|
255,000
|
240,309
|
|
PMT Credit Risk Transfer Trust Series 2021-1R, Class A, 6.95%, 2/27/2024 (a) (g)
|
228,735
|
218,127
|
|
PRPM LLC Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (g)
|
158,843
|
145,092
|
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 10.30%, 9/25/2032 ‡ (a) (g)
|
400,000
|
381,544
|
|
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (e)
|
459,252
|
428,205
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057
|
155,860
|
146,972
|
|
Series 2018-3, Class MA, 3.50%, 8/25/2057 ‡ (g)
|
62,492
|
59,598
|
|
Series 2018-3, Class M55D, 4.00%, 8/25/2057 ‡ (g)
|
281,640
|
268,375
|
|
Series 2018-2, Class MT, 3.50%, 11/25/2057
|
617,151
|
556,650
|
|
Series 2018-2, Class M55D, 4.00%, 11/25/2057
|
313,673
|
301,167
|
|
Series 2019-1, Class MA, 3.50%, 7/25/2058 ‡
|
121,430
|
115,523
|
|
Series 2019-2, Class MA, 3.50%, 8/25/2058 ‡
|
143,442
|
136,166
|
|
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡
|
509,140
|
457,248
|
|
Series 2020-3, Class TTW, 3.00%, 5/25/2060 ‡
|
502,858
|
471,490
|
|
Series 2021-1, Class BXS, 12.63%, 9/25/2060 ‡ (a) (g)
|
149,600
|
108,557
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
507,233
|
447,786
|
|
Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
754,000
|
707,822
|
|
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (g)
|
800,000
|
737,672
|
|
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (e)
|
1,634,974
|
1,472,306
|
|
Total Collateralized Mortgage Obligations
(Cost $15,301,138)
|
|
14,501,988
|
|
U.S. Government Agency Securities — 0.3%
|
||
|
Resolution Funding Corp. STRIPS
DN,4.28%, 4/15/2030 (i)(Cost $1,596,271)
|
2,195,000
|
1,586,489
|
|
|
SHARES
|
|
|
Common Stocks — 0.0% ^
|
||
|
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
|
Chesapeake Energy Corp.
|
185
|
19,147
|
|
EP Energy Corp. ‡ *
|
275
|
1,925
|
|
|
|
21,072
|
|
Professional Services — 0.0% ^
|
||
|
NMG, Inc. ‡ *
|
1
|
178
|
|
Wireless Telecommunication Services — 0.0% ^
|
||
|
Intelsat SA (Luxembourg) ‡ *
|
270
|
6,885
|
|
Total Common Stocks
(Cost $10,146)
|
|
28,135
|
|
|
PRINCIPAL
AMOUNT($)
|
|
|
Municipal Bonds — 0.0% (j) ^
|
||
|
Ohio — 0.0% ^
|
||
|
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114(Cost $32,776)
|
25,000
|
22,682
|
|
INVESTMENTS
|
NO. OF
WARRANTS
|
VALUE($)
|
|
Warrants — 0.0% ^
|
||
|
Diversified Telecommunication Services — 0.0% ^
|
||
|
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ *
|
16
|
224
|
|
Media — 0.0% ^
|
||
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ *
|
78
|
3,445
|
|
Total Warrants
(Cost $1)
|
|
3,669
|
|
|
SHARES
|
|
|
Preferred Stocks — 0.0% ^
|
||
|
Internet & Direct Marketing Retail — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡(Cost $2,753)
|
2,868
|
3,079
|
|
|
NO. OF RIGHTS
|
|
|
Rights — 0.0% ^
|
||
|
Diversified Telecommunication Services — 0.0% ^
|
||
|
Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ * (Cost $— )
|
56
|
1
|
|
|
SHARES
|
|
|
Short-Term Investments — 9.4%
|
||
|
Investment Companies — 9.4%
|
||
|
JPMorgan U.S. Government Money Market Fund Class IM Shares, 3.59% (k) (l)
(Cost $50,091,853)
|
50,091,853
|
50,091,853
|
|
Total Investments — 102.1%
(Cost $584,647,819)
|
|
545,250,773
|
|
Liabilities in Excess of Other Assets — (2.1)%
|
|
(11,376,721)
|
|
NET ASSETS — 100.0%
|
|
533,874,052
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022.
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
DN
|
Discount Notes
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal
amount shown
represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns
as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
|
|
LIBOR
|
London Interbank Offered Rate
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market
value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities
increase, the yield on
these securities increases.
|
|
RE
|
Reinsured
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
Rev.
|
Revenue
|
|
SCA
|
Limited partnership with share capital
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual
interest and principal
components of eligible notes and bonds as separate securities.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
|
|
|
(b)
|
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
November 30, 2022.
|
|
|
(c)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(d)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for
a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown
is the rate in
effect as of November 30, 2022.
|
|
|
(e)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future
contingent upon a
predetermined trigger. The interest rate shown is the current rate as of November 30, 2022.
|
|
|
(f)
|
Defaulted security.
|
|
|
(g)
|
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates
and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022.
|
|
|
(h)
|
All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
|
|
|
(i)
|
The rate shown is the effective yield as of November 30, 2022.
|
|
|
(j)
|
The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
|
|
|
(k)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
|
|
(l)
|
The rate shown is the current yield as of November 30, 2022.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
118
|
03/22/2023
|
USD
|
13,428,031
|
104,846
|
|
U.S. Treasury Long Bond
|
86
|
03/22/2023
|
USD
|
10,978,438
|
107,987
|
|
U.S. Treasury Ultra Bond
|
97
|
03/22/2023
|
USD
|
13,310,219
|
308,974
|
|
U.S. Treasury 2 Year Note
|
183
|
03/31/2023
|
USD
|
37,616,508
|
131,628
|
|
U.S. Treasury 5 Year Note
|
108
|
03/31/2023
|
USD
|
11,750,063
|
94,292
|
|
|
|
|
|
|
747,727
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
(2)
|
03/22/2023
|
USD
|
(227,594)
|
(1,754)
|
|
U.S. Treasury 10 Year Ultra Note
|
(134)
|
03/22/2023
|
USD
|
(16,107,219)
|
(163,594)
|
|
U.S. Treasury 5 Year Note
|
(1)
|
03/31/2023
|
USD
|
(108,797)
|
(877)
|
|
|
|
|
|
|
(166,225)
|
|
|
|
|
|
|
581,502
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.HY.39-V1
|
5.00
|
Quarterly
|
12/20/2027
|
4.79
|
USD 4,350,000
|
212,310
|
(337,411)
|
(125,101)
|
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an
upfront premium to or from
the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect
to an underlying reference
obligation, as defined under the terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring
that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.IG.38-V1
|
1.00
|
Quarterly
|
6/20/2027
|
0.73
|
USD 11,000,000
|
(5,238)
|
172,295
|
167,057
|
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from
or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation,
as defined under the
terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring
that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of
buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood
that a seller will be obligated
to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts,
are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average
spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit
protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate
the differences between
the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$60,664,395
|
$42,410,890
|
$103,075,285
|
|
Collateralized Mortgage Obligations
|
—
|
9,787,821
|
4,714,167
|
14,501,988
|
|
Commercial Mortgage-Backed Securities
|
—
|
22,898,840
|
6,529,174
|
29,428,014
|
|
Common Stocks
|
|
|
|
|
|
Oil, Gas & Consumable Fuels
|
19,147
|
—
|
1,925
|
21,072
|
|
Professional Services
|
—
|
—
|
178
|
178
|
|
Wireless Telecommunication Services
|
—
|
—
|
6,885
|
6,885
|
|
Total Common Stocks
|
19,147
|
—
|
8,988
|
28,135
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
2,803,984
|
—
|
2,803,984
|
|
Airlines
|
—
|
945,662
|
—
|
945,662
|
|
Auto Components
|
—
|
1,402,819
|
—
|
1,402,819
|
|
Automobiles
|
—
|
937,331
|
—
|
937,331
|
|
Banks
|
—
|
35,423,008
|
—
|
35,423,008
|
|
Beverages
|
—
|
1,528,088
|
—
|
1,528,088
|
|
Biotechnology
|
—
|
2,618,840
|
—
|
2,618,840
|
|
Building Products
|
—
|
1,455,510
|
—
|
1,455,510
|
|
Capital Markets
|
—
|
12,048,189
|
—
|
12,048,189
|
|
Chemicals
|
—
|
2,406,140
|
—
|
2,406,140
|
|
Commercial Services & Supplies
|
—
|
1,884,533
|
—
|
1,884,533
|
|
Communications Equipment
|
—
|
361,550
|
—
|
361,550
|
|
Construction & Engineering
|
—
|
532,058
|
—
|
532,058
|
|
Construction Materials
|
—
|
56,863
|
—
|
56,863
|
|
Consumer Finance
|
—
|
5,180,367
|
—
|
5,180,367
|
|
Containers & Packaging
|
—
|
1,924,311
|
—
|
1,924,311
|
|
Diversified Consumer Services
|
—
|
241,624
|
—
|
241,624
|
|
Diversified Financial Services
|
—
|
759,550
|
—
|
759,550
|
|
Diversified Telecommunication Services
|
—
|
6,304,161
|
3
|
6,304,164
|
|
Electric Utilities
|
—
|
10,352,712
|
—
|
10,352,712
|
|
Electrical Equipment
|
—
|
280,712
|
—
|
280,712
|
|
Electronic Equipment, Instruments & Components
|
—
|
354,321
|
—
|
354,321
|
|
Energy Equipment & Services
|
—
|
615,908
|
—
|
615,908
|
|
Entertainment
|
—
|
3,488,905
|
—
|
3,488,905
|
|
Equity Real Estate Investment Trusts (REITs)
|
—
|
2,968,716
|
—
|
2,968,716
|
|
Food & Staples Retailing
|
—
|
913,903
|
—
|
913,903
|
|
Food Products
|
—
|
980,026
|
—
|
980,026
|
|
Gas Utilities
|
—
|
257,717
|
—
|
257,717
|
|
Health Care Equipment & Supplies
|
—
|
728,136
|
—
|
728,136
|
|
Health Care Providers & Services
|
—
|
6,736,881
|
—
|
6,736,881
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Health Care Technology
|
$—
|
$190,982
|
$—
|
$190,982
|
|
Hotels, Restaurants & Leisure
|
—
|
5,087,130
|
—
|
5,087,130
|
|
Household Durables
|
—
|
753,896
|
—
|
753,896
|
|
Household Products
|
—
|
857,607
|
—
|
857,607
|
|
Independent Power and Renewable Electricity
Producers
|
—
|
639,936
|
—
|
639,936
|
|
Industrial Conglomerates
|
—
|
188,770
|
—
|
188,770
|
|
Insurance
|
—
|
1,296,589
|
—
|
1,296,589
|
|
Interactive Media & Services
|
—
|
402,886
|
—
|
402,886
|
|
Internet & Direct Marketing Retail
|
—
|
1,121,293
|
—
|
1,121,293
|
|
IT Services
|
—
|
1,267,969
|
—
|
1,267,969
|
|
Leisure Products
|
—
|
141,369
|
—
|
141,369
|
|
Life Sciences Tools & Services
|
—
|
202,416
|
—
|
202,416
|
|
Machinery
|
—
|
908,338
|
—
|
908,338
|
|
Media
|
—
|
9,489,280
|
—
|
9,489,280
|
|
Metals & Mining
|
—
|
3,280,603
|
—
|
3,280,603
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
963,936
|
—
|
963,936
|
|
Multiline Retail
|
—
|
102,316
|
—
|
102,316
|
|
Multi-Utilities
|
—
|
916,246
|
—
|
916,246
|
|
Oil, Gas & Consumable Fuels
|
—
|
13,586,563
|
—
|
13,586,563
|
|
Personal Products
|
—
|
574,917
|
—
|
574,917
|
|
Pharmaceuticals
|
—
|
4,120,444
|
—
|
4,120,444
|
|
Real Estate Management & Development
|
—
|
141,198
|
—
|
141,198
|
|
Road & Rail
|
—
|
1,919,153
|
—
|
1,919,153
|
|
Semiconductors & Semiconductor Equipment
|
—
|
2,088,529
|
—
|
2,088,529
|
|
Software
|
—
|
2,061,914
|
—
|
2,061,914
|
|
Specialty Retail
|
—
|
3,506,779
|
—
|
3,506,779
|
|
Technology Hardware, Storage & Peripherals
|
—
|
1,559,008
|
—
|
1,559,008
|
|
Textiles, Apparel & Luxury Goods
|
—
|
126,709
|
—
|
126,709
|
|
Thrifts & Mortgage Finance
|
—
|
878,595
|
—
|
878,595
|
|
Tobacco
|
—
|
1,514,032
|
—
|
1,514,032
|
|
Trading Companies & Distributors
|
—
|
1,765,625
|
—
|
1,765,625
|
|
Transportation Infrastructure
|
—
|
9,617
|
—
|
9,617
|
|
Wireless Telecommunication Services
|
—
|
1,197,487
|
—
|
1,197,487
|
|
Total Corporate Bonds
|
—
|
169,354,657
|
3
|
169,354,660
|
|
Mortgage-Backed Securities
|
—
|
82,930,529
|
—
|
82,930,529
|
|
Municipal Bonds
|
—
|
22,682
|
—
|
22,682
|
|
Preferred Stocks
|
—
|
—
|
3,079
|
3,079
|
|
Rights
|
—
|
—
|
1
|
1
|
|
U.S. Government Agency Securities
|
—
|
1,586,489
|
—
|
1,586,489
|
|
U.S. Treasury Obligations
|
—
|
94,224,389
|
—
|
94,224,389
|
|
Warrants
|
—
|
—
|
3,669
|
3,669
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
50,091,853
|
—
|
—
|
50,091,853
|
|
Total Investments in Securities
|
$50,111,000
|
$441,469,802
|
$53,669,971
|
$545,250,773
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$747,727
|
$—
|
$—
|
$747,727
|
|
Swaps
|
—
|
172,295
|
—
|
172,295
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
(166,225)
|
—
|
—
|
(166,225)
|
|
Swaps
|
—
|
(337,411)
|
—
|
(337,411)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$581,502
|
$(165,116)
|
$—
|
$416,386
|
|
|
Balance as of
February 28,
2022
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
November 30,
2022
|
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
$20,370,556
|
$51
|
$(3,376,833)
|
$34,389
|
$19,234,629
|
$(3,839,925)
|
$10,720,519
|
$(1,695,804)
|
$963,308
|
$42,410,890
|
|
Collateralized
Mortgage
Obligations
|
2,918,444
|
—
|
(299,718)
|
599
|
2,758,301
|
(585,893)
|
306,861
|
—
|
(384,427)
|
4,714,167
|
|
Commercial
Mortgage-Backed
Securities
|
5,075,115
|
—
|
(563,765)
|
84,840
|
4,033,558
|
(1,521,693)
|
—
|
—
|
(578,881)
|
6,529,174
|
|
Common Stocks
|
9,180
|
19,539
|
(20,721)
|
—
|
—
|
(25,163)
|
26,153
|
—
|
—
|
8,988
|
|
Corporate Bonds
|
3
|
—
|
—
|
—
|
280
|
(280)
|
—
|
—
|
—
|
3
|
|
Preferred Stocks
|
5,377
|
—
|
(2,298)
|
—
|
—
|
—
|
—
|
—
|
—
|
3,079
|
|
Rights
|
1
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
1
|
|
Warrants
|
1,861
|
—
|
1,808
|
—
|
—
|
—
|
—
|
—
|
—
|
3,669
|
|
Total
|
$28,380,537
|
$19,590
|
$(4,261,527)
|
$119,828
|
$26,026,768
|
$(5,972,954)
|
$11,053,533
|
$(1,695,804)
|
$—
|
$53,669,971
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations, Commercial Mortgage-Backed Securities
and
Asset-Backed Securities.
|
|
|
Fair Value at
November 30, 2022
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted
Average) (a)
|
|
|
$40,289,348
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 40.00% (11.25%)
|
|
|
|
|
Constant Default Rate
|
0.00% - 1.00% (0.03%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.87% - 15.64% (8.84%)
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
40,289,348
|
|
|
|
|
|
3,817,701
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (46.35%)
|
|
|
|
|
Constant Default Rate
|
0.00% - 0.50% (0.06%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.25% - 14.83% (9.39%)
|
|
|
|
|
|
|
|
Collateralized Mortgage
Obligations
|
3,817,701
|
|
|
|
|
|
3,298,150
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 100.00% (5.63%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
5.91% - 14.89% (9.60%)
|
|
|
|
|
|
|
|
Commercial Mortgage-
Backed Securities
|
3,298,150
|
|
|
|
|
Total
|
$47,405,199
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November
30 2022, the value
of these investments was $ 6,264,772. The inputs for these investments are not readily available or cannot be reasonably estimated
and are
generally those inputs described in Note 2.A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended November 30, 2022
|
|||||||||
|
Security Description
|
Value at
February 28,
2022
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2022
|
Shares at
November 30,
2022
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government
Money Market Fund Class IM
Shares, 3.59% (a) (b)
|
$35,701,290
|
$234,928,314
|
$220,537,751
|
$—
|
$—
|
$50,091,853
|
50,091,853
|
$630,815
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of November 30, 2022.
|