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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., 2025.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 60.8%
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Australia — 0.5%
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Glencore Funding LLC
|
|
|
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6.38%, 10/6/2030 (a)
|
410
|
435
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2.85%, 4/27/2031 (a)
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7,500
|
6,648
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5.63%, 4/4/2034 (a)
|
4,771
|
4,798
|
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5.67%, 4/1/2035 (a)
|
4,440
|
4,452
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Westpac Banking Corp. (USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 2.24%), 4.32%,
11/23/2031 (b) (c)
|
900
|
891
|
|
|
|
17,224
|
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Austria — 0.1%
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ams-OSRAM AG 12.25%, 3/30/2029 (a)
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1,185
|
1,236
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Benteler International AG
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9.38%, 5/15/2028 (a)
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EUR576
|
688
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|
9.38%, 5/15/2028 (d)
|
EUR1,350
|
1,612
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3,536
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Belgium — 0.4%
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Anheuser-Busch InBev Worldwide, Inc. 5.80%, 1/23/2059
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373
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373
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Azelis Finance NV 5.75%, 3/15/2028 (d)
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EUR2,390
|
2,802
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KBC Group NV
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(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (b) (c) (d) (e) (f)
|
EUR7,200
|
8,985
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (c)
|
1,340
|
1,376
|
|
Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (d)
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EUR2,000
|
2,253
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|
|
|
15,789
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Brazil — 0.5%
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Braskem Netherlands Finance BV 7.25%, 2/13/2033 (d)
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3,100
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2,699
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Guara Norte SARL 5.20%, 6/15/2034 (a)
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3,438
|
3,207
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Klabin Austria GmbH 7.00%, 4/3/2049 (d)
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2,991
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2,969
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MV24 Capital BV 6.75%, 6/1/2034 (a)
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2,422
|
2,318
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Suzano Austria GmbH
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3.75%, 1/15/2031
|
806
|
729
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7.00%, 3/16/2047 (d)
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1,660
|
1,703
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Vale Overseas Ltd. 6.40%, 6/28/2054
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4,517
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4,301
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17,926
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Canada — 0.9%
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1011778 BC ULC
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3.88%, 1/15/2028 (a)
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1,840
|
1,781
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4.00%, 10/15/2030 (a)
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975
|
897
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Baytex Energy Corp.
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8.50%, 4/30/2030 (a)
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795
|
770
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7.38%, 3/15/2032 (a)
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965
|
876
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Bombardier, Inc.
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7.00%, 6/1/2032 (a)
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359
|
367
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6.75%, 6/15/2033 (a)
|
731
|
741
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Canadian Pacific Railway Co. 3.50%, 5/1/2050
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1,250
|
862
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Emera US Finance LP 2.64%, 6/15/2031
|
6,984
|
6,014
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|
Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (c)
|
1,903
|
1,912
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
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Corporate Bonds — continued
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Canada — continued
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Enbridge, Inc.
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Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%),
8.25%, 1/15/2084 (c)
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9,388
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9,841
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (c)
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1,077
|
1,169
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Garda World Security Corp.
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8.25%, 8/1/2032 (a)
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770
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767
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8.38%, 11/15/2032 (a)
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318
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319
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NOVA Chemicals Corp.
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5.25%, 6/1/2027 (a)
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1,073
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1,071
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9.00%, 2/15/2030 (a)
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1,000
|
1,077
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Precision Drilling Corp.
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7.13%, 1/15/2026 (a)
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228
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228
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6.88%, 1/15/2029 (a)
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25
|
24
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RB Global Holdings, Inc. 7.75%, 3/15/2031 (a)
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500
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523
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Transcanada Trust Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (c)
|
988
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981
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Wrangler Holdco Corp. 6.63%, 4/1/2032 (a)
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275
|
284
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30,504
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Chile — 0.1%
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Alfa Desarrollo SpA 4.55%, 9/27/2051 (a)
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4,470
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3,231
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China — 0.1%
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CFAMC III Co. Ltd. 4.25%, 11/7/2027 (d)
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3,620
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3,528
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Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (d) (g)
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6,408
|
481
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4,009
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Colombia — 0.1%
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AI Candelaria -spain- SA
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7.50%, 12/15/2028 (d)
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850
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835
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5.75%, 6/15/2033 (a)
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1,869
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1,561
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2,396
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Denmark — 0.5%
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Danske Bank A/S
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 1.62%, 9/11/2026 (a) (c)
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719
|
712
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(EURIBOR ICE Swap Rate 1 Year + 1.70%), 4.75%, 6/21/2030 (c) (d)
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EUR12,600
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15,294
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16,006
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Finland — 0.0% ^
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Amer Sports Co. 6.75%, 2/16/2031 (a)
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915
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945
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France — 4.8%
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Alstom SA (EURIBOR ICE Swap Rate 5 Year + 2.93%), 5.87%, 5/29/2029 (c) (d) (e) (f)
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EUR2,300
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2,695
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Altice France SA
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5.88%, 2/1/2027 (d)
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EUR2,000
|
2,089
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8.13%, 2/1/2027 (a)
|
1,060
|
973
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3.38%, 1/15/2028 (d)
|
EUR3,519
|
3,388
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4.13%, 1/15/2029 (d)
|
EUR2,105
|
2,032
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5.50%, 10/15/2029 (a)
|
1,745
|
1,483
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Banijay Entertainment SAS
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7.00%, 5/1/2029 (d)
|
EUR1,000
|
1,187
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
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France — continued
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|
7.00%, 5/1/2029 (a)
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EUR791
|
939
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Bertrand Franchise Finance SAS
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6.50%, 7/18/2030 (a)
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EUR583
|
668
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|
6.50%, 7/18/2030 (d)
|
EUR2,020
|
2,315
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BNP Paribas SA
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (a) (b) (c) (e) (f)
|
8,200
|
8,686
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (a) (b) (c) (e) (f)
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1,300
|
1,352
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(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (b) (c) (d) (e) (f)
|
EUR3,000
|
3,700
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|
(SOFR + 1.62%), 5.79%, 1/13/2033 (a) (c)
|
2,720
|
2,786
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|
(SOFR + 1.92%), 5.91%, 11/19/2035 (a) (c)
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6,035
|
6,000
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BPCE SA
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(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (c)
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10,985
|
11,053
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4.38%, 7/13/2028 (d)
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EUR3,000
|
3,561
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(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)
|
3,640
|
3,091
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|
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (c)
|
1,765
|
1,514
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (c)
|
4,435
|
4,804
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (a) (c)
|
2,070
|
2,149
|
|
Cerba Healthcare SACA 3.50%, 5/31/2028 (d)
|
EUR805
|
704
|
|
Chrome Holdco SAS 5.00%, 5/31/2029 (d)
|
EUR642
|
155
|
|
Credit Agricole SA
|
|
|
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c)
|
827
|
808
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (a) (c)
|
4,240
|
4,308
|
|
Electricite de France SA
|
|
|
|
(EUR Swap Annual 12 Year + 3.04%), 5.00%, 1/22/2026 (c) (d) (e) (f)
|
EUR200
|
229
|
|
(EURIBOR ICE Swap Rate 5 Year + 3.37%), 2.88%, 12/15/2026 (c) (d) (e) (f)
|
EUR2,200
|
2,454
|
|
(EUR Swap Annual 5 Year + 3.20%), 3.00%, 9/3/2027 (c) (d) (e) (f)
|
EUR2,200
|
2,449
|
|
(EUR Swap Annual 5 Year + 2.86%), 2.63%, 12/1/2027 (c) (d) (e) (f)
|
EUR2,800
|
3,086
|
|
5.70%, 5/23/2028 (a)
|
670
|
688
|
|
(EUR Swap Annual 5 Year + 4.86%), 7.50%, 9/6/2028 (c) (d) (e) (f)
|
EUR1,600
|
2,000
|
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (c) (d) (e) (f)
|
EUR2,200
|
2,347
|
|
Elis SA
|
|
|
|
2.88%, 2/15/2026 (d)
|
EUR2,400
|
2,727
|
|
1.63%, 4/3/2028 (d)
|
EUR1,000
|
1,097
|
|
ELO SACA 3.25%, 7/23/2027 (d)
|
EUR1,300
|
1,437
|
|
Forvia SE
|
|
|
|
2.75%, 2/15/2027 (d)
|
EUR700
|
779
|
|
2.38%, 6/15/2027 (d)
|
EUR5,100
|
5,618
|
|
3.75%, 6/15/2028 (d)
|
EUR2,370
|
2,648
|
|
5.63%, 6/15/2030 (a)
|
EUR623
|
712
|
|
5.63%, 6/15/2030 (d)
|
EUR2,200
|
2,516
|
|
Iliad Holding SASU
|
|
|
|
5.63%, 10/15/2028 (d)
|
EUR2,000
|
2,311
|
|
6.88%, 4/15/2031 (a)
|
EUR1,116
|
1,348
|
|
6.88%, 4/15/2031 (d)
|
EUR500
|
604
|
|
iliad SA
|
|
|
|
5.38%, 6/14/2027 (d)
|
EUR2,000
|
2,366
|
|
1.88%, 2/11/2028 (d)
|
EUR6,400
|
6,985
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
France — continued
|
||
|
Loxam SAS 4.50%, 2/15/2027 (a)
|
EUR1,136
|
1,298
|
|
Orange SA (EUR Swap Annual 5 Year + 1.49%), 1.38%, 2/11/2029 (c) (d) (e) (f)
|
EUR2,300
|
2,402
|
|
Paprec Holding SA
|
|
|
|
3.50%, 7/1/2028 (d)
|
EUR1,713
|
1,932
|
|
7.25%, 11/17/2029 (a)
|
EUR651
|
778
|
|
7.25%, 11/17/2029 (d)
|
EUR180
|
215
|
|
RCI Banque SA (EURIBOR ICE Swap Rate 5 Year + 2.75%), 5.50%, 10/9/2034 (c) (d)
|
EUR1,900
|
2,266
|
|
Renault SA
|
|
|
|
1.25%, 6/24/2025 (d)
|
EUR1,900
|
2,156
|
|
2.50%, 6/2/2027 (d)
|
EUR1,900
|
2,141
|
|
1.13%, 10/4/2027 (d)
|
EUR2,000
|
2,177
|
|
Rexel SA 2.13%, 12/15/2028 (d)
|
EUR2,000
|
2,183
|
|
Societe Generale SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026 (a) (b) (c) (e) (f)
|
4,000
|
3,913
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.45%), 10.00%, 11/14/2028 (a) (b) (c) (e) (f)
|
1,580
|
1,718
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.13%, 11/21/2029 (a) (b) (c) (e) (f)
|
7,250
|
7,290
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (a) (b) (c) (e) (f)
|
2,927
|
2,611
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (a) (c)
|
3,040
|
3,127
|
|
TotalEnergies Capital International SA
|
|
|
|
2.83%, 1/10/2030
|
4,885
|
4,590
|
|
3.13%, 5/29/2050
|
800
|
513
|
|
TotalEnergies Capital SA 5.28%, 9/10/2054
|
870
|
790
|
|
Valeo SE 4.50%, 4/11/2030 (d)
|
EUR2,300
|
2,591
|
|
Veolia Environnement SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (c) (d) (e) (f)
|
EUR2,500
|
2,779
|
|
(EUR Swap Annual 5 Year + 2.82%), 5.99%, 11/22/2028 (c) (d) (e) (f)
|
EUR2,200
|
2,667
|
|
Viridien 8.50%, 10/15/2030 (a)
|
EUR929
|
1,008
|
|
|
|
167,986
|
|
Germany — 2.4%
|
||
|
Adler Pelzer Holding GmbH
|
|
|
|
9.50%, 4/1/2027 (d)
|
EUR170
|
184
|
|
9.50%, 4/1/2027 (a)
|
EUR1,368
|
1,479
|
|
Allianz SE (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%),
5.60%, 9/3/2054 (a) (c)
|
2,000
|
1,957
|
|
ASK Chemicals Deutschland Holding GmbH 10.00%, 11/15/2029 (a)
|
EUR1,080
|
1,202
|
|
Bayer AG (EUR Swap Annual 5 Year + 3.90%), 7.00%, 9/25/2083 (c) (d)
|
EUR4,400
|
5,302
|
|
Birkenstock Financing SARL 5.25%, 4/30/2029 (d)
|
EUR4,379
|
5,041
|
|
Cheplapharm Arzneimittel GmbH
|
|
|
|
3.50%, 2/11/2027 (d)
|
EUR2,550
|
2,889
|
|
7.50%, 5/15/2030 (d)
|
EUR1,190
|
1,365
|
|
Commerzbank AG (EURIBOR ICE Swap Rate 5 Year + 5.13%), 7.88%, 10/9/2031 (b) (c) (d) (e) (f)
|
EUR600
|
743
|
|
CT Investment GmbH 6.38%, 4/15/2030 (a)
|
EUR905
|
1,061
|
|
Deutsche Bank AG
|
|
|
|
(SOFR + 2.26%), 3.74%, 1/7/2033 (c)
|
4,391
|
3,865
|
|
(SOFR + 2.05%), 5.40%, 9/11/2035 (c)
|
7,150
|
6,978
|
|
Evonik Industries AG (EUR Swap Annual 5 Year + 1.84%), 1.38%, 9/2/2081 (c) (d)
|
EUR1,000
|
1,099
|
|
IHO Verwaltungs GmbH
|
|
|
|
8.75% (Cash), 5/15/2028 (a) (h)
|
EUR1,215
|
1,445
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Germany — continued
|
||
|
8.75% (Cash), 5/15/2028 (d) (h) (i)
|
EUR1,410
|
1,677
|
|
7.75% (Cash), 11/15/2030 (a) (h)
|
404
|
408
|
|
7.00% (Cash), 11/15/2031 (a) (h)
|
EUR1,669
|
1,990
|
|
7.00% (Cash), 11/15/2031 (d) (h)
|
EUR2,320
|
2,767
|
|
8.00% (Cash), 11/15/2032 (a) (h)
|
200
|
200
|
|
Nidda Healthcare Holding GmbH
|
|
|
|
5.63%, 2/21/2030 (d)
|
EUR1,400
|
1,626
|
|
7.00%, 2/21/2030 (d)
|
EUR800
|
952
|
|
5.38%, 10/23/2030 (a)
|
EUR1,355
|
1,569
|
|
Phoenix PIB Dutch Finance BV 4.88%, 7/10/2029 (d)
|
EUR1,900
|
2,245
|
|
ProGroup AG
|
|
|
|
5.13%, 4/15/2029 (a)
|
EUR583
|
660
|
|
5.13%, 4/15/2029 (d)
|
EUR1,900
|
2,152
|
|
Schaeffler AG
|
|
|
|
2.88%, 3/26/2027 (d)
|
EUR1,390
|
1,573
|
|
3.38%, 10/12/2028 (d)
|
EUR2,300
|
2,557
|
|
5.38%, 4/1/2031 (d)
|
EUR1,200
|
1,383
|
|
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (d)
|
EUR1,547
|
1,757
|
|
Techem Verwaltungsgesellschaft 675 mbH
|
|
|
|
5.38%, 7/15/2029 (a)
|
EUR624
|
725
|
|
5.38%, 7/15/2029 (d)
|
EUR900
|
1,046
|
|
TK Elevator Midco GmbH 4.38%, 7/15/2027 (d)
|
EUR1,306
|
1,481
|
|
TUI Cruises GmbH 6.25%, 4/15/2029 (a)
|
EUR406
|
481
|
|
Volkswagen Group of America Finance LLC 5.80%, 3/27/2035 (a)
|
425
|
420
|
|
Volkswagen International Finance NV (EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (c) (d) (e) (f)
|
EUR3,500
|
3,954
|
|
Volkswagen Leasing GmbH
|
|
|
|
0.50%, 1/12/2029 (d)
|
EUR4,300
|
4,487
|
|
0.63%, 7/19/2029 (d)
|
EUR3,100
|
3,194
|
|
ZF Europe Finance BV
|
|
|
|
2.00%, 2/23/2026 (d)
|
EUR3,000
|
3,361
|
|
2.50%, 10/23/2027 (d)
|
EUR1,100
|
1,188
|
|
ZF Finance GmbH
|
|
|
|
3.00%, 9/21/2025 (d)
|
EUR1,300
|
1,472
|
|
2.25%, 5/3/2028 (d)
|
EUR1,200
|
1,257
|
|
3.75%, 9/21/2028 (d)
|
EUR3,000
|
3,230
|
|
|
|
84,422
|
|
India — 0.2%
|
||
|
Greenko Dutch BV 3.85%, 3/29/2026 (a)
|
1,921
|
1,880
|
|
Greenko Power II Ltd. 4.30%, 12/13/2028 (a)
|
4,585
|
4,292
|
|
|
|
6,172
|
|
Indonesia — 0.3%
|
||
|
Indonesia Asahan Aluminium PT
|
|
|
|
5.45%, 5/15/2030 (a)
|
2,380
|
2,393
|
|
6.76%, 11/15/2048 (d)
|
595
|
604
|
|
Pertamina Persero PT 3.65%, 7/30/2029 (a)
|
3,619
|
3,447
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Indonesia — continued
|
||
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
|
|
|
|
4.13%, 5/15/2027 (d)
|
610
|
601
|
|
3.00%, 6/30/2030 (a)
|
2,940
|
2,675
|
|
4.38%, 2/5/2050 (d)
|
879
|
643
|
|
|
|
10,363
|
|
Ireland — 1.8%
|
||
|
AerCap Ireland Capital DAC
|
|
|
|
2.45%, 10/29/2026
|
1,108
|
1,074
|
|
6.10%, 1/15/2027
|
5,715
|
5,827
|
|
5.75%, 6/6/2028
|
2,752
|
2,828
|
|
AIB Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (b) (c) (d) (e) (f)
|
EUR6,400
|
7,280
|
|
(EUR Swap Annual 1 Year + 1.95%), 4.63%, 7/23/2029 (c) (d)
|
EUR7,400
|
8,826
|
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (c)
|
1,040
|
1,094
|
|
Avolon Holdings Funding Ltd.
|
|
|
|
5.50%, 1/15/2026 (a)
|
3,740
|
3,741
|
|
2.13%, 2/21/2026 (a)
|
810
|
788
|
|
2.53%, 11/18/2027 (a)
|
796
|
750
|
|
6.38%, 5/4/2028 (a)
|
2,593
|
2,684
|
|
5.75%, 3/1/2029 (a)
|
12,055
|
12,274
|
|
5.75%, 11/15/2029 (a)
|
3,479
|
3,528
|
|
5.15%, 1/15/2030 (a)
|
4,850
|
4,827
|
|
5.38%, 5/30/2030 (a)
|
545
|
545
|
|
Bank of Ireland Group plc (EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (b) (c) (d) (e) (f)
|
EUR4,800
|
5,481
|
|
eircom Finance DAC
|
|
|
|
3.50%, 5/15/2026 (d)
|
EUR761
|
863
|
|
5.75%, 12/15/2029 (d)
|
EUR1,990
|
2,361
|
|
|
|
64,771
|
|
Italy — 3.5%
|
||
|
Agrifarma SpA 4.50%, 10/31/2028 (d)
|
EUR3,860
|
4,394
|
|
Autostrade per l'Italia SpA 5.13%, 6/14/2033 (d)
|
EUR6,100
|
7,473
|
|
Enel Finance International NV
|
|
|
|
3.50%, 4/6/2028 (a)
|
3,665
|
3,555
|
|
2.13%, 7/12/2028 (a) (j)
|
4,745
|
4,401
|
|
2.50%, 7/12/2031 (a) (j)
|
590
|
511
|
|
5.00%, 6/15/2032 (a)
|
3,570
|
3,529
|
|
Enel SpA
|
|
|
|
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (c) (d) (e) (f)
|
EUR7,000
|
7,007
|
|
(EUR Swap Annual 5 Year + 3.77%), 6.63%, 4/16/2031 (c) (d) (e) (f)
|
EUR2,500
|
3,155
|
|
Eni SpA 5.75%, 5/19/2035 (a)
|
1,480
|
1,482
|
|
Fibercop SpA
|
|
|
|
3.63%, 5/25/2026 (d)
|
EUR5,460
|
6,211
|
|
2.38%, 10/12/2027 (d)
|
EUR990
|
1,095
|
|
1.63%, 1/18/2029
|
EUR1,145
|
1,209
|
|
7.75%, 1/24/2033
|
EUR1,920
|
2,585
|
|
Series 2033, 6.38%, 11/15/2033 (a)
|
464
|
448
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Italy — continued
|
||
|
7.20%, 7/18/2036 (a)
|
550
|
529
|
|
Generali (EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (c) (d)
|
EUR1,200
|
1,432
|
|
Guala Closures SpA 3.25%, 6/15/2028 (d)
|
EUR1,006
|
1,105
|
|
Infrastrutture Wireless Italiane SpA 1.63%, 10/21/2028 (d)
|
EUR1,840
|
2,010
|
|
Intesa Sanpaolo SpA
|
|
|
|
7.00%, 11/21/2025 (a)
|
745
|
752
|
|
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (b) (c) (d) (e) (f)
|
EUR2,510
|
2,989
|
|
(EUR Swap Annual 5 Year + 5.56%), 6.38%, 3/30/2028 (b) (c) (d) (e) (f)
|
EUR1,411
|
1,658
|
|
4.88%, 5/19/2030 (d)
|
EUR3,000
|
3,696
|
|
6.63%, 6/20/2033 (a)
|
10,220
|
10,884
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c)
|
5,464
|
4,306
|
|
Lottomatica Group Spa 4.88%, 1/31/2031 (a)
|
EUR1,060
|
1,233
|
|
Lottomatica Group SpA 5.38%, 6/1/2030 (a)
|
EUR1,077
|
1,270
|
|
Mundys SpA
|
|
|
|
1.88%, 7/13/2027 (d)
|
EUR1,990
|
2,215
|
|
1.88%, 2/12/2028 (d)
|
EUR1,980
|
2,165
|
|
4.50%, 1/24/2030 (d)
|
EUR2,200
|
2,578
|
|
Neopharmed Gentili SpA
|
|
|
|
7.13%, 4/8/2030 (a)
|
EUR1,397
|
1,659
|
|
7.13%, 4/8/2030 (d)
|
EUR600
|
712
|
|
Pro-Gest SpA 3.25%, 12/15/2024 (d) (g)
|
EUR1,700
|
502
|
|
Rekeep SpA 9.00%, 9/15/2029 (a)
|
EUR651
|
730
|
|
Rossini Sarl 6.75%, 12/31/2029 (d)
|
EUR1,600
|
1,919
|
|
Rossini SARL 6.75%, 12/31/2029 (a)
|
EUR849
|
1,018
|
|
TeamSystem SpA 3.50%, 2/15/2028 (d)
|
EUR353
|
396
|
|
Telecom Italia Capital SA
|
|
|
|
6.38%, 11/15/2033
|
78
|
79
|
|
7.20%, 7/18/2036
|
185
|
192
|
|
Telecom Italia SpA
|
|
|
|
7.88%, 7/31/2028 (d)
|
EUR3,690
|
4,719
|
|
1.63%, 1/18/2029 (d)
|
EUR565
|
609
|
|
UniCredit SpA
|
|
|
|
(EUR Swap Annual 5 Year + 4.93%), 5.38%, 6/3/2025 (b) (c) (d) (e) (f)
|
EUR3,400
|
3,860
|
|
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (b) (c) (d) (e) (f)
|
EUR4,400
|
5,171
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c)
|
2,806
|
2,725
|
|
(EUR Swap Annual 5 Year + 4.61%), 4.45%, 12/3/2027 (b) (c) (d) (e) (f)
|
EUR1,800
|
2,016
|
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (c) (d)
|
EUR4,986
|
5,989
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (a) (c)
|
4,935
|
4,411
|
|
|
|
122,584
|
|
Jersey — 0.0% ^
|
||
|
Waga Bondco Ltd. 8.50%, 6/15/2030 (a)
|
GBP553
|
737
|
|
Kazakhstan — 0.3%
|
||
|
KazMunayGas National Co. JSC
|
|
|
|
5.38%, 4/24/2030 (d)
|
5,400
|
5,329
|
|
5.75%, 4/19/2047 (d)
|
5,480
|
4,598
|
|
|
|
9,927
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Luxembourg — 0.8%
|
||
|
AccorInvest Group SA
|
|
|
|
6.38%, 10/15/2029 (a)
|
EUR575
|
683
|
|
6.38%, 10/15/2029 (d)
|
EUR1,700
|
2,020
|
|
Altice Financing SA 3.00%, 1/15/2028 (d)
|
EUR700
|
614
|
|
Altice France Holding SA
|
|
|
|
8.00%, 5/15/2027 (d)
|
EUR400
|
164
|
|
8.00%, 5/15/2027 (a)
|
EUR2,823
|
1,154
|
|
GCB144A Endo 0.00%, 4/1/2029 ‡
|
2,955
|
—
|
|
Herens Midco SARL 5.25%, 5/15/2029 (d)
|
EUR2,926
|
2,510
|
|
INEOS Finance plc
|
|
|
|
6.63%, 5/15/2028 (d)
|
EUR1,200
|
1,400
|
|
6.38%, 4/15/2029 (a)
|
EUR1,069
|
1,228
|
|
7.50%, 4/15/2029 (a)
|
2,535
|
2,491
|
|
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a)
|
4,329
|
4,257
|
|
Matterhorn Telecom SA 3.13%, 9/15/2026 (d)
|
EUR1,914
|
2,169
|
|
Monitchem HoldCo 3 SA
|
|
|
|
8.75%, 5/1/2028 (a)
|
EUR460
|
526
|
|
8.75%, 5/1/2028 (d)
|
EUR570
|
652
|
|
PLT VII Finance SARL 6.00%, 6/15/2031 (a)
|
EUR3,713
|
4,355
|
|
SES SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 3.19%), 2.88%, 5/27/2026 (c) (d) (e) (f)
|
EUR2,680
|
2,922
|
|
(EURIBOR ICE Swap Rate 5 Year + 3.23%), 5.50%, 9/12/2054 (c) (d)
|
EUR1,000
|
1,082
|
|
Summer BC Holdco A SARL 9.25%, 10/31/2027 (d)
|
EUR270
|
307
|
|
|
|
28,534
|
|
Malaysia — 0.1%
|
||
|
Petronas Capital Ltd. 3.40%, 4/28/2061 (a)
|
6,007
|
3,769
|
|
Mexico — 0.8%
|
||
|
America Movil SAB de CV 2.88%, 5/7/2030
|
2,500
|
2,285
|
|
BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero BBVA Mexico (US Treasury
Yield Curve Rate T
Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (a) (b) (c)
|
4,300
|
4,079
|
|
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%),
5.13%, 6/8/2026 (a) (c) (e)
(f)
|
5,558
|
5,483
|
|
Comision Federal de Electricidad 6.45%, 1/24/2035 (a)
|
2,693
|
2,587
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple 7.25%, 1/31/2041 (a)
|
5,402
|
5,315
|
|
Petroleos Mexicanos 6.50%, 1/23/2029
|
3,582
|
3,416
|
|
Saavi Energia Sarl 8.88%, 2/10/2035 (a)
|
3,887
|
3,957
|
|
Southern Copper Corp. 5.88%, 4/23/2045
|
3,070
|
2,911
|
|
|
|
30,033
|
|
Morocco — 0.1%
|
||
|
OCP SA
|
|
|
|
6.10%, 4/30/2030 (a)
|
2,985
|
2,984
|
|
6.88%, 4/25/2044 (d)
|
2,280
|
2,131
|
|
|
|
5,115
|
|
Netherlands — 1.1%
|
||
|
ABN AMRO Bank NV (EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (b) (c) (d) (e) (f)
|
EUR2,000
|
2,273
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Netherlands — continued
|
||
|
Cooperatieve Rabobank UA
|
|
|
|
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (b) (c) (d) (e) (f)
|
EUR8,200
|
9,226
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (a) (c)
|
5,350
|
5,260
|
|
Flora Food Management BV 6.88%, 7/2/2029 (a)
|
EUR1,500
|
1,751
|
|
ING Groep NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%),
5.75%, 11/16/2026 (b) (c) (e)
(f)
|
5,752
|
5,716
|
|
Q-Park Holding I BV
|
|
|
|
5.13%, 3/1/2029 (a)
|
EUR1,398
|
1,635
|
|
5.13%, 3/1/2029 (d)
|
EUR2,860
|
3,345
|
|
Sigma Holdco BV 5.75%, 5/15/2026 (d)
|
EUR299
|
338
|
|
Sunrise HoldCo IV BV 3.88%, 6/15/2029 (d)
|
EUR2,370
|
2,665
|
|
Trivium Packaging Finance BV 6.63%, 7/15/2030 (a)
|
EUR593
|
692
|
|
VZ Vendor Financing II BV 2.88%, 1/15/2029 (d)
|
EUR2,030
|
2,086
|
|
Ziggo Bond Co. BV 3.38%, 2/28/2030 (d)
|
EUR4,434
|
4,332
|
|
Ziggo BV 2.88%, 1/15/2030 (d)
|
EUR1,065
|
1,118
|
|
|
|
40,437
|
|
Norway — 0.1%
|
||
|
Aker BP ASA 6.00%, 6/13/2033 (a)
|
292
|
293
|
|
DNB Bank ASA, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%),
1.13%, 9/16/2026 (a) (c)
|
2,803
|
2,773
|
|
|
|
3,066
|
|
Portugal — 0.4%
|
||
|
EDP SA
|
|
|
|
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (c) (d)
|
EUR4,600
|
5,206
|
|
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (c) (d)
|
EUR3,900
|
4,290
|
|
(EUR Swap Annual 5 Year + 3.18%), 5.94%, 4/23/2083 (c) (d)
|
EUR3,500
|
4,202
|
|
|
|
13,698
|
|
South Africa — 0.2%
|
||
|
Anglo American Capital plc 5.50%, 5/2/2033 (a)
|
7,480
|
7,442
|
|
Spain — 2.2%
|
||
|
Abertis Infraestructuras Finance BV (EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (c) (d) (e) (f)
|
EUR3,700
|
4,135
|
|
Banco Bilbao Vizcaya Argentaria SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 5.54%), 8.38%, 6/21/2028 (b) (c) (d) (e) (f)
|
EUR1,800
|
2,238
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (b) (c) (e) (f)
|
6,800
|
7,463
|
|
Banco Santander SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (b) (c) (e) (f)
|
3,000
|
3,303
|
|
(EUR Swap Annual 5 Year + 4.43%), 7.00%, 11/20/2029 (b) (c) (d) (e) (f)
|
EUR2,600
|
3,096
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (b) (c) (e) (f)
|
3,200
|
3,679
|
|
CaixaBank SA
|
|
|
|
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (b) (c) (d) (e) (f)
|
EUR6,400
|
7,476
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (a) (c)
|
3,945
|
4,273
|
|
Cellnex Telecom SA 1.88%, 6/26/2029 (d)
|
EUR2,400
|
2,621
|
|
Cirsa Finance International SARL
|
|
|
|
10.38%, 11/30/2027 (a)
|
EUR351
|
420
|
|
10.38%, 11/30/2027 (d)
|
EUR2,250
|
2,695
|
|
6.50%, 3/15/2029 (a)
|
EUR524
|
624
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Spain — continued
|
||
|
eDreams ODIGEO SA 5.50%, 7/15/2027 (d)
|
EUR1,517
|
1,740
|
|
Grifols SA
|
|
|
|
2.25%, 11/15/2027 (d)
|
EUR781
|
868
|
|
3.88%, 10/15/2028 (d)
|
EUR2,362
|
2,568
|
|
4.75%, 10/15/2028 (a)
|
440
|
419
|
|
Grupo Antolin-Irausa SA
|
|
|
|
3.50%, 4/30/2028 (d)
|
EUR1,055
|
832
|
|
10.38%, 1/30/2030 (a)
|
EUR725
|
596
|
|
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (d)
|
EUR1,924
|
2,217
|
|
Lorca Telecom Bondco SA
|
|
|
|
4.00%, 9/18/2027 (d)
|
EUR7,112
|
8,075
|
|
5.75%, 4/30/2029 (d)
|
EUR1,000
|
1,185
|
|
Telefonica Emisiones SA 4.67%, 3/6/2038
|
1,950
|
1,723
|
|
Telefonica Europe BV
|
|
|
|
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (c) (d) (e) (f)
|
EUR1,900
|
2,163
|
|
(EUR Swap Annual 6 Year + 4.32%), 7.13%, 8/23/2028 (c) (d) (e) (f)
|
EUR3,000
|
3,714
|
|
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (c) (d) (e) (f)
|
EUR5,100
|
6,141
|
|
(EURIBOR ICE Swap Rate 8 Year + 3.62%), 6.75%, 6/7/2031 (c) (d) (e) (f)
|
EUR2,800
|
3,469
|
|
|
|
77,733
|
|
Sweden — 0.6%
|
||
|
Asmodee Group AB 5.75%, 12/15/2029 (a)
|
EUR293
|
349
|
|
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5
Year + 4.05%), 4.75%,
3/1/2031 (b) (c) (d) (e) (f)
|
8,200
|
7,442
|
|
Verisure Holding AB
|
|
|
|
3.88%, 7/15/2026 (d)
|
EUR1,247
|
1,414
|
|
3.25%, 2/15/2027 (d)
|
EUR3,620
|
4,075
|
|
5.50%, 5/15/2030 (a)
|
EUR1,309
|
1,546
|
|
Verisure Midholding AB 5.25%, 2/15/2029 (d)
|
EUR3,903
|
4,465
|
|
Volvo Car AB 2.50%, 10/7/2027 (d)
|
EUR840
|
935
|
|
|
|
20,226
|
|
Switzerland — 0.8%
|
||
|
Dufry One BV 2.00%, 2/15/2027 (d)
|
EUR2,000
|
2,234
|
|
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.58%), 5.00%,
4/2/2049 (a) (c)
|
200
|
197
|
|
UBS Group AG
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (c)
|
3,558
|
3,555
|
|
4.28%, 1/9/2028 (a)
|
6,530
|
6,462
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (b) (c) (e) (f)
|
3,035
|
3,303
|
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (a) (c)
|
1,585
|
1,551
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.31%), 4.38%, 2/10/2031 (a) (b) (c) (e) (f)
|
1,760
|
1,543
|
|
(SOFR + 3.73%), 4.19%, 4/1/2031 (a) (c)
|
1,853
|
1,796
|
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (a) (c)
|
5,132
|
4,594
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (b) (c) (e) (f)
|
2,746
|
3,135
|
|
VistaJet Malta Finance plc 9.50%, 6/1/2028 (a)
|
515
|
507
|
|
|
|
28,877
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United Arab Emirates — 0.1%
|
||
|
DP World Crescent Ltd. 4.85%, 9/26/2028 (d)
|
2,490
|
2,481
|
|
United Kingdom — 4.3%
|
||
|
888 Acquisitions Ltd.
|
|
|
|
7.56%, 7/15/2027 (a)
|
EUR1,070
|
1,218
|
|
7.56%, 7/15/2027 (d)
|
EUR495
|
563
|
|
Amber Finco plc
|
|
|
|
6.63%, 7/15/2029 (a)
|
EUR777
|
923
|
|
6.63%, 7/15/2029 (d)
|
EUR1,300
|
1,544
|
|
Barclays plc
|
|
|
|
4.84%, 5/9/2028
|
710
|
711
|
|
(SOFR + 2.22%), 6.49%, 9/13/2029 (c)
|
3,300
|
3,463
|
|
(3-MONTH SOFR + 3.05%), 5.09%, 6/20/2030 (c)
|
305
|
304
|
|
BAT Capital Corp.
|
|
|
|
6.34%, 8/2/2030
|
3,370
|
3,594
|
|
7.08%, 8/2/2043
|
9,535
|
10,311
|
|
Cadent Finance plc 0.63%, 3/19/2030 (d)
|
EUR6,500
|
6,583
|
|
ContourGlobal Power Holdings SA 3.13%, 1/1/2028 (d)
|
EUR1,412
|
1,566
|
|
CPUK Finance Ltd. 4.50%, 8/28/2027 (d)
|
GBP430
|
563
|
|
EC Finance plc 3.25%, 10/15/2026 (d) (j)
|
EUR2,809
|
3,150
|
|
Heathrow Funding Ltd.
|
|
|
|
1.13%, 10/8/2030 (d)
|
EUR10,300
|
10,476
|
|
5.88%, 5/13/2041 (d)
|
GBP1,900
|
2,465
|
|
HSBC Holdings plc
|
|
|
|
(SOFR + 3.03%), 7.34%, 11/3/2026 (c)
|
2,420
|
2,444
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (c)
|
4,135
|
4,178
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
8,500
|
7,991
|
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (c)
|
1,981
|
1,910
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 7.05%, 6/5/2030 (c) (e) (f)
|
4,640
|
4,679
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (b) (c) (e) (f)
|
6,075
|
5,467
|
|
(SOFR + 1.90%), 5.87%, 11/18/2035 (c)
|
3,130
|
3,102
|
|
Iceland Bondco plc
|
|
|
|
10.88%, 12/15/2027 (d)
|
GBP150
|
214
|
|
10.88%, 12/15/2027 (a)
|
GBP537
|
767
|
|
INEOS Quattro Finance 2 plc
|
|
|
|
8.50%, 3/15/2029 (a)
|
EUR1,033
|
1,188
|
|
8.50%, 3/15/2029 (d)
|
EUR280
|
322
|
|
6.75%, 4/15/2030 (a)
|
EUR1,305
|
1,411
|
|
INEOS Styrolution Ludwigshafen GmbH 2.25%, 1/16/2027 (d)
|
EUR1,263
|
1,390
|
|
Lloyds Banking Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 1
Year + 1.48%), 5.99%, 8/7/2027 (c)
|
3,670
|
3,721
|
|
Mobico Group plc (U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.14%), 4.25%,
11/26/2025 (c) (d) (e) (f)
|
GBP469
|
503
|
|
National Grid plc
|
|
|
|
0.25%, 9/1/2028 (d)
|
EUR3,600
|
3,783
|
|
0.55%, 9/18/2029 (d)
|
EUR6,800
|
6,987
|
|
NatWest Group plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (b) (c) (e) (f)
|
2,257
|
2,250
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (c)
|
4,800
|
4,879
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (b) (c) (e) (f)
|
1,460
|
1,548
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United Kingdom — continued
|
||
|
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (c) (d)
|
EUR2,534
|
2,799
|
|
Nomad Foods Bondco plc 2.50%, 6/24/2028 (d)
|
EUR1,860
|
2,051
|
|
OEG Finance plc
|
|
|
|
7.25%, 9/27/2029 (a)
|
EUR669
|
778
|
|
7.25%, 9/27/2029 (d)
|
EUR800
|
930
|
|
Pinnacle Bidco plc
|
|
|
|
8.25%, 10/11/2028 (d)
|
EUR1,090
|
1,306
|
|
8.25%, 10/11/2028 (a)
|
EUR1,084
|
1,299
|
|
Punch Finance plc
|
|
|
|
6.13%, 6/30/2026 (d)
|
GBP1,856
|
2,501
|
|
7.88%, 12/30/2030 (a) (k)
|
GBP1,073
|
1,460
|
|
RAC Bond Co. plc 5.25%, 11/4/2027 (d)
|
GBP2,398
|
3,156
|
|
Santander UK Group Holdings plc
|
|
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (c)
|
2,785
|
2,810
|
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (c)
|
5,200
|
5,024
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (c)
|
7,950
|
8,254
|
|
Standard Chartered plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (c)
|
2,000
|
2,134
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (a) (c)
|
1,007
|
983
|
|
Synthomer plc 3.88%, 7/1/2025 (d)
|
EUR165
|
186
|
|
Virgin Media Finance plc 3.75%, 7/15/2030 (d)
|
EUR1,325
|
1,422
|
|
Virgin Media Vendor Financing Notes III DAC 4.88%, 7/15/2028 (d)
|
GBP849
|
1,085
|
|
Vodafone Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (c) (d)
|
EUR3,570
|
3,815
|
|
(EUR Swap Annual 5 Year + 3.49%), 6.50%, 8/30/2084 (c) (d)
|
EUR4,050
|
5,005
|
|
|
|
153,166
|
|
United States — 32.7%
|
||
|
1261229 BC Ltd. 10.00%, 4/15/2032 (a)
|
1,645
|
1,629
|
|
AbbVie, Inc.
|
|
|
|
5.05%, 3/15/2034
|
1,525
|
1,529
|
|
4.70%, 5/14/2045
|
862
|
757
|
|
4.25%, 11/21/2049
|
14,597
|
11,695
|
|
Acadia Healthcare Co., Inc.
|
|
|
|
5.50%, 7/1/2028 (a)
|
430
|
424
|
|
5.00%, 4/15/2029 (a)
|
870
|
833
|
|
Accenture Capital, Inc.
|
|
|
|
4.25%, 10/4/2031
|
1,220
|
1,198
|
|
4.50%, 10/4/2034
|
1,680
|
1,614
|
|
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
4,826
|
4,263
|
|
Acushnet Co. 7.38%, 10/15/2028 (a)
|
780
|
808
|
|
Adient Global Holdings Ltd.
|
|
|
|
7.00%, 4/15/2028 (a)
|
835
|
853
|
|
8.25%, 4/15/2031 (a)
|
1,360
|
1,388
|
|
7.50%, 2/15/2033 (a)
|
555
|
551
|
|
ADT Security Corp. (The) 4.13%, 8/1/2029 (a)
|
1,725
|
1,645
|
|
AES Corp. (The) 3.95%, 7/15/2030 (a)
|
1,568
|
1,463
|
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a)
|
1,115
|
1,099
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Albertsons Cos., Inc.
|
|
|
|
4.63%, 1/15/2027 (a)
|
605
|
599
|
|
4.88%, 2/15/2030 (a)
|
425
|
413
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
500
|
478
|
|
Allison Transmission, Inc.
|
|
|
|
4.75%, 10/1/2027 (a)
|
277
|
272
|
|
5.88%, 6/1/2029 (a)
|
3,545
|
3,559
|
|
Alumina Pty. Ltd.
|
|
|
|
6.13%, 3/15/2030 (a)
|
302
|
302
|
|
6.38%, 9/15/2032 (a)
|
349
|
345
|
|
Ameren Corp. 3.50%, 1/15/2031
|
850
|
792
|
|
American Airlines, Inc. 5.50%, 4/20/2026 (a)
|
652
|
651
|
|
American Axle & Manufacturing, Inc. 6.50%, 4/1/2027
|
1,780
|
1,771
|
|
American Express Co.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (c) (e) (f)
|
1,388
|
1,342
|
|
(SOFR + 1.79%), 5.67%, 4/25/2036 (c)
|
1,530
|
1,562
|
|
American Medical Systems Europe BV 1.63%, 3/8/2031
|
EUR200
|
210
|
|
AmeriGas Partners LP 9.50%, 6/1/2030 (a)
|
365
|
369
|
|
Amgen, Inc. 5.75%, 3/2/2063
|
999
|
944
|
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
190
|
191
|
|
Antero Midstream Partners LP
|
|
|
|
5.75%, 3/1/2027 (a)
|
900
|
899
|
|
5.75%, 1/15/2028 (a)
|
1,015
|
1,011
|
|
5.38%, 6/15/2029 (a)
|
415
|
411
|
|
Antero Resources Corp. 7.63%, 2/1/2029 (a)
|
913
|
935
|
|
Anywhere Real Estate Group LLC 5.25%, 4/15/2030 (a)
|
965
|
749
|
|
APi Group DE, Inc.
|
|
|
|
4.13%, 7/15/2029 (a)
|
410
|
388
|
|
4.75%, 10/15/2029 (a)
|
498
|
485
|
|
Apple, Inc. 2.65%, 2/8/2051
|
1,325
|
804
|
|
Arches Buyer, Inc.
|
|
|
|
4.25%, 6/1/2028 (a)
|
470
|
443
|
|
6.13%, 12/1/2028 (a)
|
1,215
|
1,111
|
|
Archrock Partners LP 6.63%, 9/1/2032 (a)
|
402
|
404
|
|
Ardagh Packaging Finance plc
|
|
|
|
2.13%, 8/15/2026 (d)
|
EUR4,115
|
4,300
|
|
4.13%, 8/15/2026 (a)
|
935
|
850
|
|
4.75%, 7/15/2027 (d)
|
GBP1,120
|
679
|
|
5.25%, 8/15/2027 (a)
|
365
|
166
|
|
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (a)
|
1,236
|
1,175
|
|
Ascent Resources Utica Holdings LLC 6.63%, 10/15/2032 (a)
|
310
|
312
|
|
Ashland Services BV 2.00%, 1/30/2028 (d)
|
EUR407
|
443
|
|
AT&T, Inc.
|
|
|
|
3.50%, 9/15/2053
|
3,980
|
2,645
|
|
3.55%, 9/15/2055
|
410
|
271
|
|
6.05%, 8/15/2056
|
3,665
|
3,672
|
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a)
|
2,305
|
2,221
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
ATI, Inc. 4.88%, 10/1/2029
|
885
|
858
|
|
Avantor Funding, Inc.
|
|
|
|
3.88%, 7/15/2028 (d)
|
EUR2,425
|
2,753
|
|
4.63%, 7/15/2028 (a)
|
1,156
|
1,127
|
|
Avient Corp. 7.13%, 8/1/2030 (a)
|
190
|
196
|
|
Avis Budget Car Rental LLC
|
|
|
|
5.75%, 7/15/2027 (a)
|
264
|
260
|
|
5.38%, 3/1/2029 (a)
|
3,070
|
2,895
|
|
8.25%, 1/15/2030 (a)
|
546
|
555
|
|
8.00%, 2/15/2031 (a)
|
150
|
152
|
|
Avis Budget Finance plc
|
|
|
|
7.00%, 2/28/2029 (a)
|
EUR955
|
1,098
|
|
7.25%, 7/31/2030 (a)
|
EUR1,765
|
2,029
|
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)
|
470
|
465
|
|
Ball Corp.
|
|
|
|
1.50%, 3/15/2027
|
EUR750
|
832
|
|
4.25%, 7/1/2032
|
EUR919
|
1,061
|
|
Bank of America Corp.
|
|
|
|
(SOFR + 1.29%), 5.08%, 1/20/2027 (c)
|
1,910
|
1,914
|
|
(3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (c)
|
4,060
|
4,018
|
|
(SOFR + 0.96%), 1.73%, 7/22/2027 (c)
|
5,405
|
5,228
|
|
(SOFR + 1.05%), 2.55%, 2/4/2028 (c)
|
5,000
|
4,833
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (c)
|
5,085
|
5,167
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (c)
|
1,875
|
1,741
|
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (c)
|
2,035
|
2,108
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.63%, 5/1/2030 (c) (e) (f)
|
1,616
|
1,642
|
|
(3-MONTH CME TERM SOFR + 1.45%), 2.88%, 10/22/2030 (c)
|
9,282
|
8,599
|
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (c)
|
6,260
|
5,419
|
|
(SOFR + 1.37%), 1.92%, 10/24/2031 (c)
|
3,490
|
3,004
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (c)
|
517
|
448
|
|
(SOFR + 1.91%), 5.43%, 8/15/2035 (c)
|
5,675
|
5,561
|
|
(SOFR + 1.31%), 5.51%, 1/24/2036 (c)
|
688
|
693
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
1,965
|
1,370
|
|
Bath & Body Works, Inc. 7.50%, 6/15/2029
|
196
|
201
|
|
Bausch Health Americas, Inc.
|
|
|
|
9.25%, 4/1/2026 (a)
|
2,760
|
2,719
|
|
8.50%, 1/31/2027 (a)
|
298
|
281
|
|
Bausch Health Cos., Inc.
|
|
|
|
5.00%, 1/30/2028 (a)
|
505
|
400
|
|
4.88%, 6/1/2028 (a)
|
1,480
|
1,208
|
|
5.25%, 1/30/2030 (a)
|
2,354
|
1,336
|
|
Baxter International, Inc. 2.54%, 2/1/2032
|
5,800
|
4,974
|
|
Belden, Inc. 3.38%, 7/15/2027 (d)
|
EUR5,600
|
6,322
|
|
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053
|
512
|
414
|
|
Berry Global, Inc. 5.80%, 6/15/2031
|
5,935
|
6,161
|
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
400
|
403
|
|
Block, Inc. 6.50%, 5/15/2032
|
522
|
533
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a)
|
400
|
401
|
|
Boeing Co. (The)
|
|
|
|
3.25%, 2/1/2035
|
190
|
156
|
|
3.50%, 3/1/2039
|
2,500
|
1,885
|
|
5.71%, 5/1/2040
|
1,080
|
1,042
|
|
3.95%, 8/1/2059
|
3,333
|
2,210
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
1,590
|
1,528
|
|
BP Capital Markets plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (c) (e) (f)
|
705
|
702
|
|
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (c) (d) (e) (f)
|
EUR7,100
|
8,050
|
|
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (c) (d) (e) (f)
|
EUR800
|
898
|
|
Bristol-Myers Squibb Co.
|
|
|
|
5.20%, 2/22/2034
|
4,370
|
4,403
|
|
5.55%, 2/22/2054
|
4,290
|
4,074
|
|
5.65%, 2/22/2064
|
1,245
|
1,177
|
|
Broadcom, Inc.
|
|
|
|
4.55%, 2/15/2032
|
1,240
|
1,214
|
|
3.47%, 4/15/2034 (a)
|
6,955
|
6,109
|
|
3.14%, 11/15/2035 (a)
|
652
|
540
|
|
Buckeye Partners LP
|
|
|
|
4.13%, 12/1/2027
|
435
|
423
|
|
4.50%, 3/1/2028 (a)
|
140
|
137
|
|
6.75%, 2/1/2030 (a)
|
245
|
253
|
|
Builders FirstSource, Inc.
|
|
|
|
4.25%, 2/1/2032 (a)
|
1,317
|
1,195
|
|
6.38%, 3/1/2034 (a)
|
375
|
374
|
|
6.75%, 5/15/2035 (a)
|
303
|
305
|
|
Burlington Northern Santa Fe LLC 2.88%, 6/15/2052
|
1,760
|
1,080
|
|
Caesars Entertainment, Inc.
|
|
|
|
8.13%, 7/1/2027 (a)
|
224
|
224
|
|
6.50%, 2/15/2032 (a)
|
541
|
545
|
|
Carnival Corp.
|
|
|
|
5.75%, 3/1/2027 (a)
|
650
|
652
|
|
6.13%, 2/15/2033 (a)
|
1,040
|
1,043
|
|
CCO Holdings LLC
|
|
|
|
5.13%, 5/1/2027 (a)
|
6,110
|
6,047
|
|
5.00%, 2/1/2028 (a)
|
3,665
|
3,595
|
|
5.38%, 6/1/2029 (a)
|
3,848
|
3,795
|
|
4.75%, 3/1/2030 (a)
|
7,188
|
6,862
|
|
4.50%, 8/15/2030 (a)
|
3,210
|
3,010
|
|
4.25%, 2/1/2031 (a)
|
2,422
|
2,218
|
|
CD&R Smokey Buyer, Inc. 9.50%, 10/15/2029 (a)
|
767
|
637
|
|
Cencora, Inc. 2.70%, 3/15/2031
|
5,053
|
4,508
|
|
Central Garden & Pet Co. 4.13%, 10/15/2030
|
3,445
|
3,186
|
|
CF Industries, Inc. 4.95%, 6/1/2043
|
3,016
|
2,583
|
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a)
|
700
|
731
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Charter Communications Operating LLC
|
|
|
|
2.25%, 1/15/2029
|
1,280
|
1,170
|
|
2.80%, 4/1/2031
|
6,120
|
5,374
|
|
3.50%, 6/1/2041
|
3,375
|
2,372
|
|
5.38%, 5/1/2047
|
2,844
|
2,389
|
|
4.80%, 3/1/2050
|
1,725
|
1,334
|
|
3.70%, 4/1/2051
|
4,637
|
2,985
|
|
3.90%, 6/1/2052
|
4,238
|
2,797
|
|
5.25%, 4/1/2053
|
1,155
|
952
|
|
Chemours Co. (The)
|
|
|
|
5.38%, 5/15/2027
|
160
|
157
|
|
5.75%, 11/15/2028 (a)
|
1,230
|
1,101
|
|
8.00%, 1/15/2033 (a)
|
360
|
314
|
|
Cheniere Energy Partners LP
|
|
|
|
4.50%, 10/1/2029
|
6,060
|
5,933
|
|
5.95%, 6/30/2033
|
4,670
|
4,778
|
|
5.75%, 8/15/2034
|
8,125
|
8,154
|
|
Chord Energy Corp. 6.75%, 3/15/2033 (a)
|
448
|
445
|
|
Ciena Corp. 4.00%, 1/31/2030 (a)
|
1,420
|
1,322
|
|
Cinemark USA, Inc.
|
|
|
|
5.25%, 7/15/2028 (a)
|
660
|
651
|
|
7.00%, 8/1/2032 (a)
|
214
|
220
|
|
Citigroup, Inc.
|
|
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%),
4.00%, 12/10/2025 (c) (e) (f)
|
2,321
|
2,297
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%),
3.88%, 2/18/2026 (c) (e) (f)
|
6,687
|
6,551
|
|
(SOFR + 0.77%), 1.12%, 1/28/2027 (c)
|
5,465
|
5,335
|
|
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (c)
|
3,415
|
3,370
|
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (c) (e) (f)
|
5,130
|
5,188
|
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (c)
|
2,080
|
2,107
|
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (c) (e) (f)
|
2,330
|
2,305
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (c)
|
5,530
|
5,462
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (c)
|
9,400
|
8,420
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (c)
|
375
|
323
|
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (c)
|
465
|
493
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (c)
|
3,345
|
3,336
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (c)
|
2,655
|
2,619
|
|
Civitas Resources, Inc.
|
|
|
|
8.38%, 7/1/2028 (a)
|
1,025
|
1,033
|
|
8.75%, 7/1/2031 (a)
|
995
|
973
|
|
9.63%, 6/15/2033 (a)
|
264
|
264
|
|
Clarios Global LP
|
|
|
|
6.25%, 5/15/2026 (a)
|
336
|
336
|
|
8.50%, 5/15/2027 (a)
|
1,873
|
1,881
|
|
6.75%, 2/15/2030 (a)
|
355
|
362
|
|
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (a)
|
250
|
231
|
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
|
5.13%, 8/15/2027 (a)
|
2,762
|
2,702
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
7.75%, 4/15/2028 (a)
|
2,985
|
2,728
|
|
9.00%, 9/15/2028 (a)
|
392
|
411
|
|
Cleveland-Cliffs, Inc.
|
|
|
|
4.63%, 3/1/2029 (a)
|
1,753
|
1,567
|
|
6.88%, 11/1/2029 (a)
|
340
|
316
|
|
7.50%, 9/15/2031 (a)
|
335
|
301
|
|
7.00%, 3/15/2032 (a)
|
251
|
217
|
|
Clydesdale Acquisition Holdings, Inc. 6.75%, 4/15/2032 (a)
|
1,362
|
1,376
|
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
5,309
|
5,144
|
|
Coinbase Global, Inc. 3.38%, 10/1/2028 (a)
|
1,430
|
1,330
|
|
Columbia Pipelines Operating Co. LLC
|
|
|
|
5.93%, 8/15/2030 (a)
|
8,155
|
8,473
|
|
6.04%, 11/15/2033 (a)
|
1,790
|
1,842
|
|
Comcast Corp.
|
|
|
|
2.80%, 1/15/2051
|
6,899
|
4,040
|
|
5.35%, 5/15/2053
|
4,000
|
3,621
|
|
2.99%, 11/1/2063
|
3,052
|
1,680
|
|
CommScope LLC 4.75%, 9/1/2029 (a)
|
1,433
|
1,372
|
|
Community Health Systems, Inc.
|
|
|
|
6.13%, 4/1/2030 (a)
|
765
|
591
|
|
5.25%, 5/15/2030 (a)
|
295
|
266
|
|
4.75%, 2/15/2031 (a)
|
2,275
|
1,947
|
|
10.88%, 1/15/2032 (a)
|
820
|
874
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (a)
|
2,382
|
2,348
|
|
Conduent Business Services LLC 6.00%, 11/1/2029 (a)
|
950
|
873
|
|
Constellation Energy Generation LLC 5.60%, 6/15/2042
|
1,882
|
1,805
|
|
Constellium SE 5.63%, 6/15/2028 (a)
|
930
|
913
|
|
Cooper-Standard Automotive, Inc.
|
|
|
|
13.50% (Cash), 3/31/2027 (a) (h)
|
2,452
|
2,572
|
|
5.63% (Cash), 5/15/2027 (a) (h)
|
2,652
|
2,245
|
|
CoreWeave, Inc. 9.25%, 6/1/2030 (a)
|
744
|
743
|
|
Coterra Energy, Inc. 5.40%, 2/15/2035
|
2,204
|
2,137
|
|
Coty, Inc.
|
|
|
|
3.88%, 4/15/2026 (d)
|
EUR1,760
|
1,996
|
|
4.75%, 1/15/2029 (a)
|
420
|
404
|
|
Crescent Energy Finance LLC
|
|
|
|
9.25%, 2/15/2028 (a)
|
1,110
|
1,146
|
|
7.63%, 4/1/2032 (a)
|
475
|
448
|
|
7.38%, 1/15/2033 (a)
|
645
|
599
|
|
Crown European Holdings SACA
|
|
|
|
5.00%, 5/15/2028 (d)
|
EUR1,900
|
2,275
|
|
4.50%, 1/15/2030 (a)
|
EUR731
|
858
|
|
CSC Holdings LLC
|
|
|
|
5.38%, 2/1/2028 (a)
|
1,135
|
1,035
|
|
6.50%, 2/1/2029 (a)
|
2,180
|
1,739
|
|
5.75%, 1/15/2030 (a)
|
790
|
399
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
DaVita, Inc.
|
|
|
|
4.63%, 6/1/2030 (a)
|
2,975
|
2,780
|
|
3.75%, 2/15/2031 (a)
|
648
|
574
|
|
6.88%, 9/1/2032 (a)
|
396
|
402
|
|
DCP Midstream Operating LP 6.75%, 9/15/2037 (a)
|
535
|
549
|
|
Diamondback Energy, Inc.
|
|
|
|
3.13%, 3/24/2031
|
3,145
|
2,838
|
|
5.75%, 4/18/2054
|
4,200
|
3,764
|
|
Diebold Nixdorf, Inc. 7.75%, 3/31/2030 (a)
|
1,911
|
2,009
|
|
DISH DBS Corp.
|
|
|
|
7.75%, 7/1/2026
|
1,691
|
1,454
|
|
5.25%, 12/1/2026 (a)
|
3,925
|
3,623
|
|
5.75%, 12/1/2028 (a)
|
755
|
639
|
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
5,473
|
5,647
|
|
Dominion Energy, Inc.
|
|
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (c)
|
470
|
494
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (c)
|
730
|
756
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.21%), 6.63%, 5/15/2055 (c)
|
4,056
|
4,061
|
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a)
|
1,340
|
1,030
|
|
Duke Energy Carolinas LLC 5.40%, 1/15/2054
|
333
|
310
|
|
Duke Energy Indiana LLC 5.40%, 4/1/2053
|
375
|
346
|
|
Duke Energy Ohio, Inc.
|
|
|
|
5.25%, 4/1/2033
|
405
|
410
|
|
5.65%, 4/1/2053
|
149
|
142
|
|
Duke Energy Progress LLC
|
|
|
|
3.40%, 4/1/2032
|
1,410
|
1,289
|
|
5.55%, 3/15/2055
|
99
|
94
|
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (a)
|
1,920
|
1,637
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
840
|
808
|
|
Edgewell Personal Care Co.
|
|
|
|
5.50%, 6/1/2028 (a)
|
2,281
|
2,243
|
|
4.13%, 4/1/2029 (a)
|
1,469
|
1,374
|
|
Edison International (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 3.86%), 8.13%, 6/15/2053 (c)
|
2,235
|
2,208
|
|
Elastic NV 4.13%, 7/15/2029 (a)
|
930
|
872
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
1,325
|
1,272
|
|
EMRLD Borrower LP
|
|
|
|
6.38%, 12/15/2030 (a)
|
EUR1,597
|
1,901
|
|
6.38%, 12/15/2030 (d)
|
EUR1,700
|
2,024
|
|
6.63%, 12/15/2030 (a)
|
1,795
|
1,813
|
|
6.75%, 7/15/2031 (a)
|
277
|
283
|
|
Encino Acquisition Partners Holdings LLC
|
|
|
|
8.50%, 5/1/2028 (a)
|
1,960
|
2,010
|
|
8.75%, 5/1/2031 (a)
|
338
|
369
|
|
Encompass Health Corp.
|
|
|
|
5.75%, 9/15/2025
|
184
|
184
|
|
4.50%, 2/1/2028
|
42
|
41
|
|
4.75%, 2/1/2030
|
300
|
292
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
4.63%, 4/1/2031
|
1,590
|
1,516
|
|
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (a)
|
223
|
231
|
|
Energizer Gamma Acquisition BV 3.50%, 6/30/2029 (d)
|
EUR1,589
|
1,710
|
|
Energizer Holdings, Inc.
|
|
|
|
4.75%, 6/15/2028 (a)
|
2,192
|
2,114
|
|
4.38%, 3/31/2029 (a)
|
3,230
|
3,034
|
|
Energy Transfer LP (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
4.02%), 8.00%, 5/15/2054 (c)
|
4,170
|
4,371
|
|
Entegris, Inc.
|
|
|
|
4.38%, 4/15/2028 (a)
|
200
|
193
|
|
5.95%, 6/15/2030 (a)
|
3,500
|
3,502
|
|
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%),
7.13%, 12/1/2054 (c)
|
1,280
|
1,309
|
|
Entergy Louisiana LLC 5.15%, 9/15/2034
|
280
|
277
|
|
Entergy Mississippi LLC 5.80%, 4/15/2055
|
335
|
324
|
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
1,355
|
1,154
|
|
Enterprise Products Operating LLC
|
|
|
|
3.20%, 2/15/2052
|
1,102
|
696
|
|
5.55%, 2/16/2055
|
2,330
|
2,174
|
|
EQT Corp. 4.50%, 1/15/2029 (a)
|
2,823
|
2,759
|
|
EquipmentShare.com, Inc.
|
|
|
|
9.00%, 5/15/2028 (a)
|
1,040
|
1,080
|
|
8.63%, 5/15/2032 (a)
|
890
|
933
|
|
8.00%, 3/15/2033 (a)
|
313
|
322
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡
|
247
|
—
(l)
|
|
Exelon Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%),
6.50%, 3/15/2055 (c)
|
720
|
719
|
|
Expand Energy Corp.
|
|
|
|
6.75%, 4/15/2029 (a)
|
1,985
|
2,008
|
|
5.38%, 3/15/2030
|
5,915
|
5,883
|
|
5.70%, 1/15/2035
|
1,335
|
1,318
|
|
Exxon Mobil Corp. 3.00%, 8/16/2039
|
3,735
|
2,860
|
|
Fair Isaac Corp. 6.00%, 5/15/2033 (a)
|
384
|
383
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (a)
|
2,795
|
2,718
|
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (a)
|
535
|
500
|
|
FirstEnergy Transmission LLC
|
|
|
|
2.87%, 9/15/2028 (a)
|
4,375
|
4,138
|
|
4.55%, 4/1/2049 (a)
|
2,223
|
1,866
|
|
Ford Motor Credit Co. LLC
|
|
|
|
5.13%, 6/16/2025
|
2,965
|
2,965
|
|
6.95%, 6/10/2026
|
615
|
622
|
|
4.95%, 5/28/2027
|
2,550
|
2,512
|
|
Foundry JV Holdco LLC 5.50%, 1/25/2031 (a)
|
1,705
|
1,727
|
|
Freeport-McMoRan, Inc. 4.13%, 3/1/2028
|
367
|
361
|
|
Frontier Communications Holdings LLC
|
|
|
|
5.88%, 10/15/2027 (a)
|
2,430
|
2,436
|
|
5.00%, 5/1/2028 (a)
|
785
|
783
|
|
GCI LLC 4.75%, 10/15/2028 (a)
|
2,310
|
2,173
|
|
General Electric Co. 4.13%, 9/19/2035 (d)
|
EUR493
|
586
|
|
General Motors Co. 5.15%, 4/1/2038
|
1,600
|
1,445
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
General Motors Financial Co., Inc.
|
|
|
|
2.35%, 1/8/2031
|
2,300
|
1,962
|
|
5.60%, 6/18/2031
|
1,636
|
1,643
|
|
5.45%, 9/6/2034
|
6,980
|
6,682
|
|
Genesis Energy LP
|
|
|
|
7.75%, 2/1/2028
|
544
|
549
|
|
8.25%, 1/15/2029
|
235
|
243
|
|
8.00%, 5/15/2033
|
210
|
213
|
|
GFL Environmental, Inc.
|
|
|
|
4.00%, 8/1/2028 (a)
|
2,110
|
2,028
|
|
4.75%, 6/15/2029 (a)
|
875
|
854
|
|
4.38%, 8/15/2029 (a)
|
400
|
384
|
|
Gilead Sciences, Inc.
|
|
|
|
2.80%, 10/1/2050
|
2,400
|
1,459
|
|
5.55%, 10/15/2053
|
2,477
|
2,375
|
|
Global Infrastructure Solutions, Inc.
|
|
|
|
5.63%, 6/1/2029 (a)
|
345
|
337
|
|
7.50%, 4/15/2032 (a)
|
700
|
698
|
|
Global Payments, Inc.
|
|
|
|
2.90%, 5/15/2030
|
1,360
|
1,232
|
|
2.90%, 11/15/2031
|
3,450
|
2,997
|
|
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a)
|
790
|
785
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%),
3.80%, 5/10/2026 (c) (e) (f)
|
3,709
|
3,645
|
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (c)
|
3,770
|
3,675
|
|
(SOFR + 1.51%), 4.39%, 6/15/2027 (c)
|
4,905
|
4,891
|
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (c)
|
3,790
|
3,650
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
4,540
|
4,386
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (c) (e) (f)
|
5,020
|
5,228
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.85%, 2/10/2030 (c) (e) (f)
|
1,328
|
1,339
|
|
(SOFR + 1.14%), 4.69%, 10/23/2030 (c)
|
1,000
|
996
|
|
(SOFR + 1.08%), 5.21%, 1/28/2031 (c)
|
2,090
|
2,119
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (c)
|
2,165
|
2,197
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
1,730
|
1,517
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (c)
|
11,190
|
9,715
|
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (c)
|
2,515
|
2,221
|
|
(SOFR + 1.42%), 5.02%, 10/23/2035 (c)
|
1,114
|
1,078
|
|
(SOFR + 1.38%), 5.54%, 1/28/2036 (c)
|
1,800
|
1,813
|
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c)
|
2,665
|
2,270
|
|
Goodyear Tire & Rubber Co. (The)
|
|
|
|
5.00%, 7/15/2029
|
2,228
|
2,134
|
|
6.63%, 7/15/2030
|
242
|
242
|
|
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a)
|
680
|
668
|
|
Graphic Packaging International LLC 3.50%, 3/15/2028 (a)
|
573
|
544
|
|
Gray Media, Inc.
|
|
|
|
7.00%, 5/15/2027 (a)
|
2,408
|
2,391
|
|
10.50%, 7/15/2029 (a)
|
1,345
|
1,430
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
4.75%, 10/15/2030 (a)
|
1,200
|
869
|
|
Gray Oak Pipeline LLC, 2.60%, 10/15/2025 (a)
|
810
|
800
|
|
Griffon Corp. 5.75%, 3/1/2028
|
3,780
|
3,757
|
|
Group 1 Automotive, Inc. 6.38%, 1/15/2030 (a)
|
272
|
277
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (a)
|
577
|
585
|
|
Hanesbrands, Inc. 9.00%, 2/15/2031 (a)
|
500
|
528
|
|
HCA, Inc.
|
|
|
|
4.50%, 2/15/2027
|
1,840
|
1,834
|
|
5.20%, 6/1/2028
|
1,740
|
1,765
|
|
5.63%, 9/1/2028
|
1,147
|
1,173
|
|
2.38%, 7/15/2031
|
4,335
|
3,708
|
|
5.45%, 9/15/2034
|
510
|
505
|
|
5.75%, 3/1/2035
|
4,670
|
4,707
|
|
5.50%, 6/15/2047
|
181
|
164
|
|
5.25%, 6/15/2049
|
3,010
|
2,603
|
|
3.50%, 7/15/2051
|
1,470
|
942
|
|
4.63%, 3/15/2052
|
5,168
|
4,042
|
|
5.95%, 9/15/2054
|
3,730
|
3,518
|
|
6.20%, 3/1/2055
|
77
|
75
|
|
Healthpeak OP LLC, REIT 5.25%, 12/15/2032
|
4,042
|
4,037
|
|
Herc Holdings Escrow, Inc. 7.00%, 6/15/2030 (a) (k)
|
369
|
380
|
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
3,465
|
3,440
|
|
Hertz Corp. (The)
|
|
|
|
4.63%, 12/1/2026 (a)
|
1,706
|
1,507
|
|
12.63%, 7/15/2029 (a)
|
762
|
776
|
|
Hertz Corp. (The), Escrow
|
|
|
|
5.50%, 10/15/2024 ‡ (g)
|
1,600
|
104
|
|
7.13%, 8/1/2026 ‡ (g)
|
265
|
54
|
|
6.00%, 1/15/2028 ‡ (g)
|
685
|
140
|
|
Hess Midstream Operations LP
|
|
|
|
5.88%, 3/1/2028 (a)
|
200
|
202
|
|
5.13%, 6/15/2028 (a)
|
415
|
410
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (a)
|
1,205
|
1,151
|
|
Hilton Domestic Operating Co., Inc. 5.88%, 3/15/2033 (a)
|
628
|
632
|
|
Hilton Worldwide Finance LLC 4.88%, 4/1/2027
|
455
|
454
|
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
1,413
|
990
|
|
Huntington Bancshares, Inc. (SOFRINDX + 1.87%), 5.71%, 2/2/2035 (c)
|
3,851
|
3,874
|
|
Hyundai Capital America
|
|
|
|
3.50%, 11/2/2026 (a)
|
8,025
|
7,873
|
|
3.50%, 11/2/2026 (d)
|
2,600
|
2,551
|
|
6.50%, 1/16/2029 (a)
|
505
|
528
|
|
5.40%, 1/8/2031 (a)
|
3,460
|
3,489
|
|
ICITII 6.00%, 1/31/2033 ‡ (a)
|
370
|
296
|
|
iHeartCommunications, Inc.
|
|
|
|
9.13%, 5/1/2029 (a)
|
1,943
|
1,607
|
|
10.88%, 5/1/2030 (a)
|
2,182
|
1,067
|
|
7.75%, 8/15/2030 (a)
|
1,753
|
1,350
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
ILFC E-Capital Trust I (3-MONTH CME TERM SOFR + 1.81%), 6.12%, 12/21/2065 (a) (c)
|
500
|
413
|
|
ILFC E-Capital Trust II (3-MONTH CME TERM SOFR + 2.06%), 6.37%, 12/21/2065 (a) (c)
|
535
|
449
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
2,780
|
2,664
|
|
Interface, Inc. 5.50%, 12/1/2028 (a)
|
775
|
765
|
|
International Game Technology plc 2.38%, 4/15/2028 (d)
|
EUR2,912
|
3,240
|
|
IQVIA, Inc.
|
|
|
|
2.88%, 9/15/2025 (d)
|
EUR325
|
368
|
|
1.75%, 3/15/2026 (d)
|
EUR946
|
1,062
|
|
2.25%, 1/15/2028 (d)
|
EUR1,120
|
1,233
|
|
2.88%, 6/15/2028 (d)
|
EUR3,359
|
3,740
|
|
2.25%, 3/15/2029 (d)
|
EUR1,090
|
1,180
|
|
Iron Mountain, Inc., REIT
|
|
|
|
4.88%, 9/15/2027 (a)
|
597
|
590
|
|
5.00%, 7/15/2028 (a)
|
1,100
|
1,083
|
|
4.88%, 9/15/2029 (a)
|
845
|
820
|
|
4.50%, 2/15/2031 (a)
|
750
|
703
|
|
ITC Holdings Corp., 2.95%, 5/14/2030 (a)
|
7,371
|
6,774
|
|
Jazz Securities DAC 4.38%, 1/15/2029 (a)
|
915
|
877
|
|
JBS USA Holding Lux Sarl 7.25%, 11/15/2053
|
2,820
|
3,110
|
|
JBS USA Holding Lux SARL
|
|
|
|
6.75%, 3/15/2034
|
4,761
|
5,115
|
|
4.38%, 2/2/2052
|
1,177
|
886
|
|
JBS USA LUX SARL 5.95%, 4/20/2035 (a)
|
1,804
|
1,837
|
|
JELD-WEN, Inc.
|
|
|
|
4.88%, 12/15/2027 (a)
|
870
|
760
|
|
7.00%, 9/1/2032 (a)
|
395
|
292
|
|
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (a)
|
2,715
|
2,349
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (a)
|
1,391
|
1,376
|
|
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (c)
|
7,059
|
7,408
|
|
Kinder Morgan, Inc. 5.20%, 6/1/2033
|
3,440
|
3,395
|
|
Kinetik Holdings LP 5.88%, 6/15/2030 (a)
|
550
|
547
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a)
|
270
|
255
|
|
Level 3 Financing, Inc.
|
|
|
|
4.88%, 6/15/2029 (a)
|
1,925
|
1,748
|
|
11.00%, 11/15/2029 (a)
|
994
|
1,127
|
|
Live Nation Entertainment, Inc.
|
|
|
|
6.50%, 5/15/2027 (a)
|
395
|
400
|
|
4.75%, 10/15/2027 (a)
|
2,500
|
2,461
|
|
Lumen Technologies, Inc.
|
|
|
|
4.13%, 4/15/2029 (a)
|
1,515
|
1,471
|
|
4.13%, 4/15/2030 (a)
|
1,011
|
981
|
|
Madison IAQ LLC
|
|
|
|
4.13%, 6/30/2028 (a)
|
1,630
|
1,569
|
|
5.88%, 6/30/2029 (a)
|
1,475
|
1,427
|
|
Marriott International, Inc. 5.35%, 3/15/2035
|
1,750
|
1,726
|
|
Mars, Inc.
|
|
|
|
5.20%, 3/1/2035 (a)
|
3,000
|
2,989
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
5.65%, 5/1/2045 (a)
|
685
|
672
|
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
2,350
|
2,101
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (a)
|
2,396
|
2,383
|
|
Matador Resources Co. 6.25%, 4/15/2033 (a)
|
1,342
|
1,293
|
|
Mauser Packaging Solutions Holding Co.
|
|
|
|
7.88%, 4/15/2027 (a)
|
2,490
|
2,514
|
|
9.25%, 4/15/2027 (a)
|
485
|
478
|
|
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a)
|
790
|
780
|
|
Medline Borrower LP
|
|
|
|
3.88%, 4/1/2029 (a)
|
440
|
415
|
|
6.25%, 4/1/2029 (a)
|
845
|
860
|
|
5.25%, 10/1/2029 (a)
|
1,570
|
1,534
|
|
Medtronic Global Holdings SCA 1.50%, 7/2/2039
|
EUR1,500
|
1,281
|
|
Meta Platforms, Inc.
|
|
|
|
4.45%, 8/15/2052
|
3,701
|
3,061
|
|
5.40%, 8/15/2054
|
2,075
|
1,970
|
|
MetLife, Inc.
|
|
|
|
6.40%, 12/15/2036
|
435
|
441
|
|
9.25%, 4/8/2038 (a)
|
3,935
|
4,613
|
|
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (a)
|
2,100
|
2,010
|
|
MGM Resorts International
|
|
|
|
5.50%, 4/15/2027
|
15
|
15
|
|
6.13%, 9/15/2029
|
581
|
584
|
|
6.50%, 4/15/2032
|
1,000
|
998
|
|
Midcontinent Communications 8.00%, 8/15/2032 (a)
|
518
|
536
|
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (a)
|
680
|
627
|
|
Molina Healthcare, Inc. 3.88%, 11/15/2030 (a)
|
800
|
731
|
|
Morgan Stanley
|
|
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (c)
|
11,955
|
11,617
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (c)
|
967
|
960
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (c)
|
3,015
|
3,051
|
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (c)
|
965
|
978
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (c)
|
7,680
|
7,855
|
|
(SOFR + 1.10%), 4.65%, 10/18/2030 (c)
|
2,520
|
2,503
|
|
(SOFR + 1.11%), 5.23%, 1/15/2031 (c)
|
4,235
|
4,298
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (c)
|
11,330
|
10,336
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
882
|
743
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (c)
|
535
|
461
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
3,570
|
3,547
|
|
(SOFR + 1.76%), 5.66%, 4/17/2036 (c)
|
2,192
|
2,228
|
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (c)
|
5,235
|
4,375
|
|
3.97%, 7/22/2038 (i)
|
3,985
|
3,406
|
|
MPLX LP, 2.65%, 8/15/2030
|
1,246
|
1,115
|
|
MPT Operating Partnership LP, REIT 8.50%, 2/15/2032 (a)
|
413
|
423
|
|
Nationstar Mortgage Holdings, Inc.
|
|
|
|
5.50%, 8/15/2028 (a)
|
1,345
|
1,342
|
|
5.13%, 12/15/2030 (a)
|
1,350
|
1,344
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
7.13%, 2/1/2032 (a)
|
985
|
1,026
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
1,207
|
1,318
|
|
NCR Voyix Corp.
|
|
|
|
5.00%, 10/1/2028 (a)
|
2,480
|
2,446
|
|
5.13%, 4/15/2029 (a)
|
201
|
196
|
|
Netflix, Inc. 5.38%, 11/15/2029 (a)
|
9,956
|
10,317
|
|
New Albertsons LP
|
|
|
|
7.45%, 8/1/2029
|
197
|
206
|
|
8.00%, 5/1/2031
|
480
|
505
|
|
Newell Brands, Inc.
|
|
|
|
5.70%, 4/1/2026 (j)
|
234
|
236
|
|
8.50%, 6/1/2028 (a)
|
490
|
507
|
|
6.63%, 9/15/2029
|
455
|
440
|
|
6.38%, 5/15/2030
|
285
|
268
|
|
6.63%, 5/15/2032
|
1,595
|
1,472
|
|
7.00%, 4/1/2046 (j)
|
300
|
244
|
|
Nexstar Media, Inc.
|
|
|
|
5.63%, 7/15/2027 (a)
|
1,612
|
1,606
|
|
4.75%, 11/1/2028 (a)
|
1,160
|
1,116
|
|
NextEra Energy Capital Holdings, Inc.
|
|
|
|
5.45%, 3/15/2035
|
4,670
|
4,667
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (c)
|
1,700
|
1,738
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.36%), 6.70%, 9/1/2054 (c)
|
1,775
|
1,799
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 6.38%, 8/15/2055 (c)
|
705
|
706
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%), 6.50%, 8/15/2055 (c)
|
550
|
554
|
|
NGL Energy Operating LLC 8.13%, 2/15/2029 (a)
|
1,085
|
1,061
|
|
NiSource, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%),
6.95%, 11/30/2054 (c)
|
1,102
|
1,128
|
|
NNN REIT, Inc., REIT 5.50%, 6/15/2034
|
930
|
931
|
|
Noble Finance II LLC 8.00%, 4/15/2030 (a)
|
423
|
421
|
|
Norfolk Southern Corp. 3.70%, 3/15/2053
|
1,930
|
1,359
|
|
Novelis Corp.
|
|
|
|
4.75%, 1/30/2030 (a)
|
615
|
585
|
|
6.88%, 1/30/2030 (a)
|
157
|
162
|
|
Novelis Sheet Ingot GmbH 3.38%, 4/15/2029 (d)
|
EUR1,368
|
1,509
|
|
NRG Energy, Inc.
|
|
|
|
5.75%, 1/15/2028
|
200
|
201
|
|
5.25%, 6/15/2029 (a)
|
1,420
|
1,403
|
|
3.63%, 2/15/2031 (a)
|
865
|
784
|
|
NuStar Logistics LP 5.63%, 4/28/2027
|
1,000
|
1,002
|
|
OI European Group BV
|
|
|
|
6.25%, 5/15/2028 (d)
|
EUR100
|
117
|
|
6.25%, 5/15/2028 (a)
|
EUR989
|
1,161
|
|
5.25%, 6/1/2029 (a)
|
EUR1,043
|
1,211
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
2,301
|
2,198
|
|
OneMain Finance Corp.
|
|
|
|
3.88%, 9/15/2028
|
2,150
|
2,016
|
|
4.00%, 9/15/2030
|
700
|
630
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Oracle Corp.
|
|
|
|
5.50%, 8/3/2035
|
324
|
325
|
|
3.60%, 4/1/2050
|
2,749
|
1,868
|
|
5.38%, 9/27/2054
|
5,610
|
4,976
|
|
6.00%, 8/3/2055
|
2,220
|
2,152
|
|
Organon & Co.
|
|
|
|
2.88%, 4/30/2028 (d)
|
EUR2,996
|
3,276
|
|
4.13%, 4/30/2028 (a)
|
2,880
|
2,705
|
|
5.13%, 4/30/2031 (a)
|
500
|
420
|
|
Outfront Media Capital LLC
|
|
|
|
5.00%, 8/15/2027 (a)
|
545
|
538
|
|
4.63%, 3/15/2030 (a)
|
383
|
359
|
|
Owens & Minor, Inc.
|
|
|
|
4.50%, 3/31/2029 (a)
|
500
|
409
|
|
6.63%, 4/1/2030 (a)
|
1,020
|
864
|
|
10.00%, 4/15/2030 (a)
|
461
|
482
|
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
1,130
|
1,131
|
|
Pacific Gas and Electric Co.
|
|
|
|
4.65%, 8/1/2028
|
4,230
|
4,181
|
|
6.15%, 1/15/2033
|
2,570
|
2,613
|
|
6.40%, 6/15/2033
|
5,220
|
5,371
|
|
3.75%, 8/15/2042 (j)
|
1,530
|
1,079
|
|
4.60%, 6/15/2043
|
2,692
|
2,112
|
|
4.75%, 2/15/2044
|
294
|
234
|
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (g)
|
248
|
—
(l)
|
|
Paysafe Finance plc 3.00%, 6/15/2029 (d)
|
EUR860
|
928
|
|
Performance Food Group, Inc.
|
|
|
|
5.50%, 10/15/2027 (a)
|
824
|
821
|
|
4.25%, 8/1/2029 (a)
|
895
|
853
|
|
6.13%, 9/15/2032 (a)
|
261
|
263
|
|
Permian Resources Operating LLC
|
|
|
|
7.00%, 1/15/2032 (a)
|
2,020
|
2,072
|
|
6.25%, 2/1/2033 (a)
|
458
|
452
|
|
Perrigo Finance Unlimited Co.
|
|
|
|
5.38%, 9/30/2032
|
EUR1,070
|
1,254
|
|
Series USD, 6.13%, 9/30/2032
|
330
|
329
|
|
PetSmart, Inc.
|
|
|
|
4.75%, 2/15/2028 (a)
|
2,385
|
2,302
|
|
7.75%, 2/15/2029 (a)
|
1,000
|
973
|
|
PG&E Corp.
|
|
|
|
5.00%, 7/1/2028
|
1,363
|
1,330
|
|
5.25%, 7/1/2030
|
410
|
398
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.88%), 7.38%, 3/15/2055 (c)
|
5,273
|
5,163
|
|
Philip Morris International, Inc. 5.63%, 11/17/2029
|
3,000
|
3,131
|
|
Piedmont Natural Gas Co., Inc. 3.35%, 6/1/2050
|
853
|
550
|
|
Pike Corp. 5.50%, 9/1/2028 (a)
|
827
|
820
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
PNC Financial Services Group, Inc. (The)
|
|
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%),
3.40%, 9/15/2026 (c) (e) (f)
|
3,704
|
3,526
|
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (c)
|
1,975
|
1,950
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (c)
|
1,055
|
1,076
|
|
Post Holdings, Inc.
|
|
|
|
5.50%, 12/15/2029 (a)
|
1,409
|
1,392
|
|
4.63%, 4/15/2030 (a)
|
1,000
|
946
|
|
PPL Capital Funding, Inc. 5.25%, 9/1/2034
|
330
|
327
|
|
Prestige Brands, Inc. 5.13%, 1/15/2028 (a)
|
1,270
|
1,264
|
|
Prime Security Services Borrower LLC
|
|
|
|
5.75%, 4/15/2026 (a)
|
472
|
473
|
|
3.38%, 8/31/2027 (a)
|
40
|
38
|
|
Primo Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
586
|
587
|
|
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.40%), 6.50%, 3/15/2054 (c)
|
2,395
|
2,431
|
|
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030
|
2,695
|
2,302
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (a)
|
1,527
|
1,552
|
|
QXO Building Products, Inc. 6.75%, 4/30/2032 (a)
|
920
|
943
|
|
Range Resources Corp.
|
|
|
|
8.25%, 1/15/2029
|
340
|
349
|
|
4.75%, 2/15/2030 (a)
|
575
|
553
|
|
Raven Acquisition Holdings LLC 6.88%, 11/15/2031 (a)
|
506
|
504
|
|
RHP Hotel Properties LP, REIT
|
|
|
|
4.75%, 10/15/2027
|
3,624
|
3,581
|
|
4.50%, 2/15/2029 (a)
|
755
|
729
|
|
6.50%, 6/15/2033 (a) (k)
|
196
|
199
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
1,809
|
1,911
|
|
Rite Aid Corp.
|
|
|
|
8.00%, 10/18/2024 ‡
|
707
|
—
|
|
7.50%, 7/1/2025 ‡ (g)
|
871
|
—
|
|
8.00%, 11/15/2026 ‡ (g)
|
1,643
|
—
|
|
(3-MONTH CME TERM SOFR + 7.00%), 11.32%, 8/30/2031 ‡ (a) (c) (g)
|
263
|
—
(l)
|
|
Series A, 15.00%, 8/30/2031 ‡ (g)
|
760
|
—
|
|
Series B, 15.00%, 8/30/2031 ‡ (g)
|
358
|
—
(l)
|
|
Rocket Mortgage LLC
|
|
|
|
2.88%, 10/15/2026 (a)
|
1,170
|
1,133
|
|
3.63%, 3/1/2029 (a)
|
640
|
597
|
|
4.00%, 10/15/2033 (a)
|
435
|
376
|
|
Rockies Express Pipeline LLC 6.75%, 3/15/2033 (a)
|
344
|
354
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
5.63%, 9/30/2031 (a)
|
556
|
550
|
|
6.25%, 3/15/2032 (a)
|
470
|
476
|
|
6.00%, 2/1/2033 (a)
|
693
|
695
|
|
Saks Global Enterprises LLC 11.00%, 12/15/2029 (a)
|
565
|
253
|
|
SBA Communications Corp., REIT 3.13%, 2/1/2029
|
295
|
274
|
|
Scotts Miracle-Gro Co. (The)
|
|
|
|
5.25%, 12/15/2026
|
395
|
394
|
|
4.50%, 10/15/2029
|
2,197
|
2,089
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
4.00%, 4/1/2031
|
2,495
|
2,240
|
|
4.38%, 2/1/2032
|
1,485
|
1,337
|
|
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
710
|
602
|
|
Seagate HDD Cayman
|
|
|
|
4.09%, 6/1/2029
|
1,369
|
1,309
|
|
8.25%, 12/15/2029
|
825
|
879
|
|
Sempra
|
|
|
|
3.80%, 2/1/2038
|
1,865
|
1,509
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (c)
|
2,210
|
2,155
|
|
Sensata Technologies BV 4.00%, 4/15/2029 (a)
|
1,970
|
1,849
|
|
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a)
|
11
|
10
|
|
Service Corp. International
|
|
|
|
5.13%, 6/1/2029
|
325
|
321
|
|
3.38%, 8/15/2030
|
974
|
883
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (a)
|
392
|
400
|
|
Shutterfly Finance LLC
|
|
|
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (h)
|
1,125
|
967
|
|
9.75%, 10/1/2027 (a)
|
173
|
173
|
|
Silgan Holdings, Inc. 2.25%, 6/1/2028
|
EUR433
|
476
|
|
Sinclair Television Group, Inc. 8.13%, 2/15/2033 (a)
|
502
|
502
|
|
Sirius XM Radio LLC
|
|
|
|
5.00%, 8/1/2027 (a)
|
1,105
|
1,094
|
|
4.00%, 7/15/2028 (a)
|
940
|
892
|
|
5.50%, 7/1/2029 (a)
|
2,426
|
2,386
|
|
Six Flags Entertainment Corp.
|
|
|
|
5.50%, 4/15/2027 (a)
|
4,110
|
4,101
|
|
5.25%, 7/15/2029
|
1,134
|
1,101
|
|
SM Energy Co.
|
|
|
|
6.63%, 1/15/2027
|
2,180
|
2,182
|
|
6.75%, 8/1/2029 (a)
|
469
|
460
|
|
7.00%, 8/1/2032 (a)
|
402
|
386
|
|
Snap, Inc. 6.88%, 3/1/2033 (a)
|
252
|
255
|
|
Somnigroup International, Inc.
|
|
|
|
4.00%, 4/15/2029 (a)
|
3,965
|
3,734
|
|
3.88%, 10/15/2031 (a)
|
435
|
387
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
1,815
|
1,734
|
|
Southern California Edison Co.
|
|
|
|
Series A, 4.20%, 3/1/2029
|
2,217
|
2,159
|
|
Series 13-A, 3.90%, 3/15/2043
|
564
|
408
|
|
3.65%, 2/1/2050
|
1,513
|
980
|
|
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031
|
1,724
|
1,466
|
|
Spectrum Brands, Inc. 3.88%, 3/15/2031 (a)
|
217
|
173
|
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
460
|
490
|
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
4,210
|
4,504
|
|
SS&C Technologies, Inc.
|
|
|
|
5.50%, 9/30/2027 (a)
|
2,035
|
2,033
|
|
6.50%, 6/1/2032 (a)
|
1,795
|
1,843
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
1,464
|
1,377
|
|
Standard Industries, Inc.
|
|
|
|
5.00%, 2/15/2027 (a)
|
34
|
34
|
|
4.75%, 1/15/2028 (a)
|
3,900
|
3,830
|
|
4.38%, 7/15/2030 (a)
|
420
|
394
|
|
Staples, Inc.
|
|
|
|
10.75%, 9/1/2029 (a)
|
1,990
|
1,802
|
|
12.75%, 1/15/2030 (a)
|
1,063
|
684
|
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%,
3/15/2029 (c) (e) (f)
|
1,129
|
1,152
|
|
Station Casinos LLC 6.63%, 3/15/2032 (a)
|
505
|
506
|
|
Stellantis Finance US, Inc.
|
|
|
|
5.75%, 3/18/2030 (a)
|
1,181
|
1,184
|
|
6.45%, 3/18/2035 (a)
|
2,660
|
2,630
|
|
Synaptics, Inc. 4.00%, 6/15/2029 (a)
|
2,590
|
2,407
|
|
Synopsys, Inc.
|
|
|
|
5.15%, 4/1/2035
|
743
|
734
|
|
5.70%, 4/1/2055
|
2,510
|
2,396
|
|
Take-Two Interactive Software, Inc.
|
|
|
|
5.40%, 6/12/2029
|
305
|
311
|
|
5.60%, 6/12/2034
|
1,220
|
1,238
|
|
Tallgrass Energy Partners LP
|
|
|
|
5.50%, 1/15/2028 (a)
|
105
|
104
|
|
7.38%, 2/15/2029 (a)
|
100
|
102
|
|
6.00%, 12/31/2030 (a)
|
400
|
383
|
|
6.00%, 9/1/2031 (a)
|
1,500
|
1,430
|
|
TEGNA, Inc. 4.63%, 3/15/2028
|
505
|
490
|
|
Tenet Healthcare Corp.
|
|
|
|
6.25%, 2/1/2027
|
3,565
|
3,568
|
|
5.13%, 11/1/2027
|
1,237
|
1,229
|
|
4.63%, 6/15/2028
|
1,665
|
1,633
|
|
6.13%, 10/1/2028
|
345
|
346
|
|
4.25%, 6/1/2029
|
420
|
403
|
|
6.13%, 6/15/2030
|
25
|
25
|
|
6.75%, 5/15/2031
|
735
|
757
|
|
Terex Corp.
|
|
|
|
5.00%, 5/15/2029 (a)
|
1,220
|
1,176
|
|
6.25%, 10/15/2032 (a)
|
781
|
768
|
|
Texas Instruments, Inc. 5.00%, 3/14/2053
|
200
|
179
|
|
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031
|
EUR200
|
199
|
|
T-Mobile USA, Inc.
|
|
|
|
2.63%, 2/15/2029
|
1,009
|
939
|
|
3.38%, 4/15/2029
|
4,380
|
4,177
|
|
2.25%, 11/15/2031
|
3,778
|
3,239
|
|
TransDigm, Inc.
|
|
|
|
6.38%, 3/1/2029 (a)
|
611
|
621
|
|
6.63%, 3/1/2032 (a)
|
612
|
625
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)
|
66
|
66
|
|
Transocean, Inc. 8.25%, 5/15/2029 (a)
|
478
|
431
|
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (a)
|
1,370
|
1,424
|
|
Trinseo Luxco Finance SPV Sarl 7.63% (Blend (Cash 5.13% + PIK 2.50%)), 5/3/2029 (a) (h)
|
620
|
362
|
|
Triumph Group, Inc. 9.00%, 3/15/2028 (a)
|
171
|
179
|
|
Truist Financial Corp.
|
|
|
|
(SOFR + 2.30%), 6.12%, 10/28/2033 (c)
|
945
|
988
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
3,876
|
3,800
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (c)
|
3,181
|
3,259
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
580
|
589
|
|
Uber Technologies, Inc. 5.35%, 9/15/2054
|
510
|
463
|
|
UGI International LLC 2.50%, 12/1/2029 (d)
|
EUR905
|
960
|
|
Union Electric Co. 3.90%, 4/1/2052
|
885
|
653
|
|
United States Cellular Corp. 6.70%, 12/15/2033
|
2,099
|
2,259
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
190
|
192
|
|
Univision Communications, Inc.
|
|
|
|
6.63%, 6/1/2027 (a)
|
1,445
|
1,445
|
|
8.00%, 8/15/2028 (a)
|
690
|
690
|
|
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
1,100
|
1,121
|
|
US Foods, Inc. 4.75%, 2/15/2029 (a)
|
135
|
132
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
410
|
420
|
|
Ventas Realty LP, REIT 5.00%, 1/15/2035
|
2,645
|
2,543
|
|
Venture Global LNG, Inc.
|
|
|
|
8.13%, 6/1/2028 (a)
|
550
|
563
|
|
9.50%, 2/1/2029 (a)
|
620
|
663
|
|
7.00%, 1/15/2030 (a)
|
640
|
637
|
|
9.88%, 2/1/2032 (a)
|
748
|
796
|
|
Viavi Solutions, Inc. 3.75%, 10/1/2029 (a)
|
222
|
204
|
|
VICI Properties LP, REIT
|
|
|
|
5.75%, 2/1/2027 (a)
|
258
|
260
|
|
3.75%, 2/15/2027 (a)
|
240
|
235
|
|
4.63%, 12/1/2029 (a)
|
664
|
644
|
|
Vistra Operations Co. LLC
|
|
|
|
5.50%, 9/1/2026 (a)
|
332
|
332
|
|
3.70%, 1/30/2027 (a)
|
3,157
|
3,098
|
|
5.63%, 2/15/2027 (a)
|
820
|
819
|
|
4.38%, 5/1/2029 (a)
|
1,126
|
1,089
|
|
6.88%, 4/15/2032 (a)
|
457
|
475
|
|
6.00%, 4/15/2034 (a)
|
4,180
|
4,239
|
|
5.70%, 12/30/2034 (a)
|
875
|
872
|
|
Vital Energy, Inc. 7.88%, 4/15/2032 (a)
|
1,100
|
892
|
|
Wabash National Corp. 4.50%, 10/15/2028 (a)
|
2,825
|
2,411
|
|
Walt Disney Co. (The) 3.60%, 1/13/2051
|
2,200
|
1,580
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
856
|
890
|
|
Wayfair LLC
|
|
|
|
7.25%, 10/31/2029 (a)
|
1,560
|
1,519
|
|
7.75%, 9/15/2030 (a)
|
693
|
679
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Weekley Homes LLC 4.88%, 9/15/2028 (a)
|
980
|
942
|
|
Wells Fargo & Co.
|
|
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (c)
|
4,820
|
4,727
|
|
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (c)
|
3,320
|
3,253
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
7,130
|
7,315
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (c) (e) (f)
|
2,450
|
2,518
|
|
(SOFR + 1.11%), 5.24%, 1/24/2031 (c)
|
3,080
|
3,126
|
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (c)
|
3,930
|
3,952
|
|
(SOFR + 1.74%), 5.60%, 4/23/2036 (c)
|
4,165
|
4,214
|
|
4.90%, 11/17/2045
|
1,210
|
1,033
|
|
Welltower OP LLC, REIT 3.85%, 6/15/2032
|
1,390
|
1,302
|
|
WESCO Distribution, Inc.
|
|
|
|
7.25%, 6/15/2028 (a)
|
550
|
557
|
|
6.38%, 3/15/2029 (a)
|
803
|
820
|
|
6.63%, 3/15/2032 (a)
|
470
|
481
|
|
6.38%, 3/15/2033 (a)
|
300
|
306
|
|
White Cap Buyer LLC 6.88%, 10/15/2028 (a)
|
460
|
451
|
|
Williams Cos., Inc. (The) 3.50%, 10/15/2051
|
3,945
|
2,617
|
|
Williams Scotsman, Inc.
|
|
|
|
6.63%, 6/15/2029 (a)
|
1,045
|
1,066
|
|
6.63%, 4/15/2030 (a)
|
159
|
163
|
|
WP Carey, Inc., REIT
|
|
|
|
2.40%, 2/1/2031
|
580
|
503
|
|
2.25%, 4/1/2033
|
1,302
|
1,045
|
|
WR Grace Holdings LLC
|
|
|
|
4.88%, 6/15/2027 (a)
|
180
|
177
|
|
5.63%, 8/15/2029 (a)
|
1,580
|
1,392
|
|
Wynn Resorts Finance LLC
|
|
|
|
5.13%, 10/1/2029 (a)
|
3,544
|
3,456
|
|
6.25%, 3/15/2033 (a)
|
436
|
431
|
|
Xerox Corp. 10.25%, 10/15/2030 (a)
|
332
|
341
|
|
Xerox Holdings Corp. 8.88%, 11/30/2029 (a)
|
1,093
|
737
|
|
XPO, Inc. 7.13%, 2/1/2032 (a)
|
1,655
|
1,718
|
|
|
|
1,153,399
|
|
Total Corporate Bonds
(Cost $2,175,304)
|
|
2,146,504
|
|
Foreign Government Securities — 17.3%
|
||
|
Brazil — 1.1%
|
||
|
Notas do Tesouro Nacional 10.00%, 1/1/2027 (g)
|
BRL229,960
|
38,037
|
|
Colombia — 0.4%
|
||
|
Republic of Colombia
|
|
|
|
7.38%, 4/25/2030
|
10,268
|
10,575
|
|
3.13%, 4/15/2031
|
3,402
|
2,784
|
|
7.50%, 2/2/2034
|
640
|
635
|
|
|
|
13,994
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Costa Rica — 0.1%
|
||
|
Republic of Costa Rica 7.30%, 11/13/2054 (a)
|
2,994
|
3,060
|
|
Czech Republic — 1.6%
|
||
|
Czech Republic
|
|
|
|
4.90%, 4/14/2034
|
CZK434,150
|
21,044
|
|
3.50%, 5/30/2035
|
CZK504,790
|
21,793
|
|
1.95%, 7/30/2037
|
CZK401,000
|
14,167
|
|
|
|
57,004
|
|
Dominican Republic — 0.3%
|
||
|
Dominican Republic Government Bond
|
|
|
|
6.95%, 3/15/2037 (a)
|
8,226
|
8,255
|
|
6.85%, 1/27/2045 (d)
|
3,027
|
2,925
|
|
|
|
11,180
|
|
Egypt — 0.3%
|
||
|
Arab Republic of Egypt
|
|
|
|
8.63%, 2/4/2030 (a)
|
5,037
|
5,007
|
|
7.63%, 5/29/2032 (d)
|
7,780
|
6,985
|
|
|
|
11,992
|
|
Guatemala — 0.3%
|
||
|
Republic of Guatemala
|
|
|
|
6.05%, 8/6/2031 (a)
|
6,433
|
6,439
|
|
6.55%, 2/6/2037 (a)
|
4,022
|
4,022
|
|
|
|
10,461
|
|
Hungary — 0.3%
|
||
|
Hungary Government Bond
|
|
|
|
5.50%, 3/26/2036 (a)
|
8,143
|
7,698
|
|
6.75%, 9/25/2052 (a)
|
3,931
|
3,928
|
|
|
|
11,626
|
|
Indonesia — 1.7%
|
||
|
Republic of Indonesia
|
|
|
|
6.88%, 4/15/2029
|
IDR276,148,000
|
17,206
|
|
7.00%, 2/15/2033
|
IDR168,525,000
|
10,490
|
|
6.75%, 7/15/2035
|
IDR537,558,000
|
32,793
|
|
|
|
60,489
|
|
Israel — 0.1%
|
||
|
State of Israel Government Bond 3.38%, 1/15/2050
|
7,840
|
4,858
|
|
Ivory Coast — 0.4%
|
||
|
Republic of Cote d'Ivoire
|
|
|
|
6.38%, 3/3/2028 (d)
|
1,095
|
1,087
|
|
6.13%, 6/15/2033 (d)
|
2,327
|
2,064
|
|
8.08%, 4/1/2036 (a)
|
3,908
|
3,684
|
|
6.88%, 10/17/2040 (a)
|
EUR7,400
|
6,877
|
|
|
|
13,712
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Jordan — 0.2%
|
||
|
Hashemite Kingdom of Jordan 5.85%, 7/7/2030 (d)
|
6,958
|
6,506
|
|
Kenya — 0.1%
|
||
|
Republic of Kenya 9.50%, 3/5/2036 (a)
|
4,372
|
3,987
|
|
Lebanon — 0.0% ^
|
||
|
Lebanese Republic
|
|
|
|
6.65%, 4/22/2024 (d) (g)
|
3,207
|
555
|
|
6.65%, 11/3/2028 (d) (g)
|
3,134
|
542
|
|
|
|
1,097
|
|
Mexico — 3.7%
|
||
|
Mex Bonos Desarr Fix Rt
|
|
|
|
8.50%, 2/28/2030
|
MXN924,400
|
47,042
|
|
7.75%, 5/29/2031
|
MXN721,220
|
35,164
|
|
8.00%, 5/24/2035
|
MXN647,590
|
30,685
|
|
United Mexican States
|
|
|
|
4.49%, 5/25/2032
|
EUR4,321
|
4,923
|
|
6.35%, 2/9/2035
|
3,247
|
3,236
|
|
7.38%, 5/13/2055
|
3,983
|
3,937
|
|
3.77%, 5/24/2061
|
7,068
|
3,958
|
|
3.75%, 4/19/2071
|
2,997
|
1,618
|
|
|
|
130,563
|
|
Oman — 0.3%
|
||
|
Sultanate of Oman Government Bond
|
|
|
|
5.63%, 1/17/2028 (d)
|
3,200
|
3,229
|
|
6.25%, 1/25/2031 (d)
|
5,140
|
5,372
|
|
6.75%, 1/17/2048 (d)
|
3,450
|
3,464
|
|
|
|
12,065
|
|
Paraguay — 0.3%
|
||
|
Republic of Paraguay
|
|
|
|
4.95%, 4/28/2031 (a)
|
4,630
|
4,542
|
|
3.85%, 6/28/2033 (a)
|
1,521
|
1,358
|
|
5.60%, 3/13/2048 (d)
|
990
|
856
|
|
5.40%, 3/30/2050 (d)
|
2,278
|
1,914
|
|
|
|
8,670
|
|
Poland — 3.0%
|
||
|
Republic of Poland
|
|
|
|
4.75%, 7/25/2029
|
PLN70,080
|
18,643
|
|
1.75%, 4/25/2032
|
PLN100,730
|
21,711
|
|
6.00%, 10/25/2033
|
PLN56,349
|
15,771
|
|
2.00%, 8/25/2036
|
PLN169,467
|
40,296
|
|
5.50%, 3/18/2054
|
8,439
|
7,634
|
|
|
|
104,055
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Romania — 0.2%
|
||
|
Romania Government Bond
|
|
|
|
6.38%, 1/30/2034 (a)
|
3,966
|
3,782
|
|
4.63%, 4/3/2049 (a)
|
EUR3,467
|
2,883
|
|
|
|
6,665
|
|
Senegal — 0.1%
|
||
|
Republic of Senegal 6.25%, 5/23/2033 (d)
|
2,919
|
2,093
|
|
South Africa — 1.3%
|
||
|
Republic of South Africa
|
|
|
|
4.30%, 10/12/2028
|
5,530
|
5,288
|
|
4.85%, 9/30/2029
|
5,370
|
5,114
|
|
9.00%, 1/31/2040
|
ZAR737,800
|
34,616
|
|
|
|
45,018
|
|
Turkey — 1.4%
|
||
|
Istanbul Metropolitan Municipality
|
|
|
|
6.38%, 12/9/2025 (d)
|
3,440
|
3,431
|
|
10.50%, 12/6/2028 (d)
|
3,120
|
3,320
|
|
Republic of Turkiye (The)
|
|
|
|
HB, 36.00%, 8/12/2026
|
TRY1,062,297
|
25,754
|
|
HB, 30.00%, 9/12/2029
|
TRY328,411
|
7,403
|
|
7.25%, 5/29/2032
|
10,266
|
10,087
|
|
|
|
49,995
|
|
United Arab Emirates — 0.1%
|
||
|
United Arab Emirates Government Bond 4.00%, 7/28/2050 (a)
|
6,850
|
4,281
|
|
Total Foreign Government Securities
(Cost $642,033)
|
|
611,408
|
|
Mortgage-Backed Securities — 9.1%
|
||
|
United States — 9.1%
|
||
|
FHLMC UMBS, 30 Year Pool # SD8342, 5.50%, 7/1/2053
|
3,256
|
3,230
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # FS8290, 5.50%, 9/1/2053
|
40,647
|
40,491
|
|
Pool # FS8365, 5.50%, 6/1/2054
|
13,640
|
13,583
|
|
GNMA II, 30 Year Pool # MA8200, 4.00%, 8/20/2052
|
81,538
|
75,010
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 5.50%, 6/15/2055 (k)
|
84,300
|
83,691
|
|
TBA, 5.00%, 7/15/2055 (k)
|
88,604
|
85,893
|
|
TBA, 5.50%, 7/15/2055 (k)
|
15,700
|
15,572
|
|
P4 SFR, 9.25%, 10/11/2026 ‡
|
3,800
|
3,743
|
|
Total Mortgage-Backed Securities
(Cost $323,061)
|
|
321,213
|
|
Convertible Bonds — 4.1%
|
||
|
Austria — 0.0% ^
|
||
|
ams-OSRAM AG 2.13%, 11/3/2027 (d)
|
EUR1,700
|
1,781
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — continued
|
||
|
China — 0.3%
|
||
|
Alibaba Group Holding Ltd. 0.50%, 6/1/2031 (a)
|
4,375
|
5,552
|
|
H World Group Ltd. 3.00%, 5/1/2026
|
3,640
|
3,940
|
|
|
|
9,492
|
|
Singapore — 0.1%
|
||
|
Sea Ltd. 2.38%, 12/1/2025
|
1,750
|
3,123
|
|
United States — 3.7%
|
||
|
Advanced Energy Industries, Inc. 2.50%, 9/15/2028
|
3,238
|
3,631
|
|
Alarm.com Holdings, Inc. 2.25%, 6/1/2029 (a)
|
2,565
|
2,501
|
|
Bentley Systems, Inc. 0.13%, 1/15/2026
|
2,276
|
2,240
|
|
Box, Inc.
|
|
|
|
Zero Coupon, 1/15/2026
|
2,548
|
3,740
|
|
1.50%, 9/15/2029 (a)
|
554
|
591
|
|
Cheesecake Factory, Inc. (The)
|
|
|
|
0.38%, 6/15/2026
|
876
|
872
|
|
2.00%, 3/15/2030 (a)
|
1,130
|
1,152
|
|
Dropbox, Inc. Zero Coupon, 3/1/2028
|
3,396
|
3,461
|
|
Enphase Energy, Inc. Zero Coupon, 3/1/2028
|
4,040
|
3,336
|
|
Etsy, Inc. 0.13%, 10/1/2026
|
3,150
|
3,122
|
|
Five9, Inc. 1.00%, 3/15/2029
|
4,407
|
3,819
|
|
Fluor Corp. 1.13%, 8/15/2029
|
1,203
|
1,394
|
|
Ford Motor Co. Zero Coupon, 3/15/2026
|
3,713
|
3,648
|
|
Global Payments, Inc. 1.50%, 3/1/2031
|
2,638
|
2,310
|
|
Greenbrier Cos., Inc. (The) 2.88%, 4/15/2028
|
4,969
|
5,231
|
|
Itron, Inc. 1.38%, 7/15/2030 (a)
|
2,740
|
3,006
|
|
Jazz Investments I Ltd. 3.13%, 9/15/2030 (a)
|
4,705
|
5,018
|
|
JetBlue Airways Corp. 2.50%, 9/1/2029 (a)
|
2,250
|
2,334
|
|
Kite Realty Group LP REIT, 0.75%, 4/1/2027 (a)
|
2,431
|
2,471
|
|
Live Nation Entertainment, Inc. 3.13%, 1/15/2029
|
2,845
|
4,081
|
|
Lumentum Holdings, Inc. 1.50%, 12/15/2029
|
2,641
|
3,380
|
|
Lyft, Inc. 0.63%, 3/1/2029 (a)
|
3,702
|
3,913
|
|
Meritage Homes Corp. 1.75%, 5/15/2028
|
2,250
|
2,172
|
|
Microchip Technology, Inc.
|
|
|
|
1.63%, 2/15/2027
|
835
|
1,365
|
|
0.75%, 6/1/2030 (a)
|
2,390
|
2,280
|
|
MKS, Inc. 1.25%, 6/1/2030
|
6,470
|
5,914
|
|
ON Semiconductor Corp. Zero Coupon, 5/1/2027
|
5,336
|
5,756
|
|
PG&E Corp. 4.25%, 12/1/2027
|
4,840
|
5,022
|
|
Seagate HDD Cayman 3.50%, 6/1/2028
|
4,725
|
7,152
|
|
Snap, Inc. 0.50%, 5/1/2030
|
935
|
779
|
|
Snowflake, Inc. Zero Coupon, 10/1/2027 (a)
|
3,654
|
5,214
|
|
SoFi Technologies, Inc. 1.25%, 3/15/2029 (a)
|
1,620
|
2,560
|
|
SolarEdge Technologies, Inc. 2.25%, 7/1/2029 (a)
|
1,243
|
944
|
|
Southern Co. (The) 4.50%, 6/15/2027
|
4,835
|
5,269
|
|
Spectrum Brands, Inc. 3.38%, 6/1/2029 (a)
|
4,349
|
3,984
|
|
Synaptics, Inc. 0.75%, 12/1/2031 (a)
|
3,552
|
3,227
|
|
Topgolf Callaway Brands Corp. 2.75%, 5/1/2026
|
2,208
|
2,130
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — continued
|
||
|
United States — continued
|
||
|
Uber Technologies, Inc. Series 2028, 0.88%, 12/1/2028
|
3,563
|
4,746
|
|
Veeco Instruments, Inc. 2.88%, 6/1/2029
|
3,349
|
3,482
|
|
Wayfair, Inc. 3.25%, 9/15/2027
|
2,855
|
2,982
|
|
|
|
130,229
|
|
Total Convertible Bonds
(Cost $139,931)
|
|
144,625
|
|
Loan Assignments — 2.8% (m)
|
||
|
Canada — 0.1%
|
||
|
NorthRiver Midstream Finance LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%),
6.55%, 8/16/2030 (c)
|
2,216
|
2,216
|
|
United Kingdom — 0.0% ^
|
||
|
Crown Finance US, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 9.58%,
12/2/2031 (c)
|
1,496
|
1,497
|
|
United States — 2.7%
|
||
|
1261229 BC Ltd., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 6.25%), 10.59%, 10/8/2030 (c) (n)
|
491
|
465
|
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.52%,
4/20/2028 (c)
|
1,529
|
1,512
|
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.00%), 7.30%,
2/3/2031 (c)
|
1,177
|
1,177
|
|
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.08%,
8/24/2028 (c)
|
1,559
|
1,564
|
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.25%, 2/1/2029 (c)
|
2,293
|
2,262
|
|
Altar Bidco, Inc., 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 9.75%, 2/1/2030 (c)
|
725
|
678
|
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%,
2/15/2029 (c)
|
1,987
|
1,978
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.83%,
11/25/2031 (c)
|
3,000
|
3,006
|
|
Belron Finance 2019 LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.05%,
10/16/2031 (c)
|
2,488
|
2,496
|
|
Boost Newco Borrower LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 2.00%),
6.30%, 1/31/2031 (c)
|
2,011
|
2,012
|
|
Boxer Parent Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.33%,
7/30/2031 (c)
|
1,240
|
1,230
|
|
Buckeye Partners LP, 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 1.75%), 6.08%,
11/22/2030 (c)
|
1,767
|
1,766
|
|
Camelot US Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%),
7.08%, 1/31/2031 (c)
|
1,878
|
1,851
|
|
Central Parent LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.55%, 7/6/2029 (c)
|
995
|
884
|
|
Chariot Buyer LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.68%, 11/3/2028 (c)
|
2,516
|
2,505
|
|
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR
+ 2.00%), 6.30%,
12/9/2030 (c)
|
439
|
439
|
|
Claire's Stores, Inc., 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 6.50%), 10.73%,
12/18/2026 (c)
|
1,643
|
1,046
|
|
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.19%,
5/17/2028 (c)
|
2,810
|
1,974
|
|
CSC Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.50%), 8.83%, 1/18/2028 (c)
|
1,834
|
1,808
|
|
Elanco Animal Health, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 6.17%,
8/2/2027 (c)
|
1,295
|
1,293
|
|
EMRLD Borrower LP, 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 2.50%), 6.93%, 5/31/2030 (c)
|
943
|
938
|
|
FGI Operating Co. LLC, 1st Lien Term Loan 0.00%, 1/31/2025 ‡ (g) (i)
|
41
|
—
|
|
First Student Bidco, Inc., 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 2.50%),
6.80%, 7/21/2028 (c)
|
2,017
|
2,017
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 6.05%,
4/10/2031 (c)
|
2,687
|
2,672
|
|
Genesys Cloud Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%),
6.83%, 1/30/2032 (c)
|
3,648
|
3,635
|
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.50%), 6.77%,
6/20/2030 (c)
|
2,757
|
2,756
|
|
Icon Parent, Inc., 1st Lien Term Loan (6-MONTH CME TERM SOFR + 3.00%), 7.21%, 11/13/2031 (c)
|
3,000
|
2,996
|
|
Iridium Satellite LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
9/20/2030 (c)
|
1,205
|
1,201
|
|
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 6.33%, 1/17/2031 (c)
|
1,970
|
1,973
|
|
LABL, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 9.43%, 10/30/2028 (c)
|
896
|
797
|
|
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.19%,
3/9/2028 (c)
|
2,120
|
1,575
|
|
LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%),
8.57%, 12/2/2031 (c)
|
2,000
|
1,964
|
|
Madison IAQ LLC, 1st Lien Term Loan (6-MONTH CME TERM SOFR + 2.50%), 6.76%, 6/21/2028 (c)
|
754
|
753
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
Medline Borrower LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.58%, 10/23/2028 (c)
|
1,529
|
1,527
|
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 3/28/2031 (c)
|
1,906
|
1,900
|
|
Modena Buyer LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.50%), 8.78%, 7/1/2031 (c)
|
995
|
964
|
|
Moran Foods LLC, 1st Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (c)
|
719
|
568
|
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan (3-MONTH CME TERM SOFR
+ 11.50%), 15.91%,
6/30/2026 ‡ (c)
|
20
|
20
|
|
Moran Foods LLC, 1st Lien Term Loan (12-MONTH CME TERM SOFR + 8.50%), 12.70%, 1/2/2029 ‡ (c)
|
107
|
107
|
|
Moran Foods LLC, 1st Lien Term Loan A (12-MONTH CME TERM SOFR + 2.50%), 6.28%, 1/2/2029 ‡ (c)
|
122
|
122
|
|
Moran Foods LLC, 2nd Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (c)
|
361
|
174
|
|
NCR Atleos Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.03%, 3/27/2029 (c)
|
343
|
344
|
|
Neon Maple US Debt Mergersub, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR
+ 3.00%), 7.32%,
11/17/2031 (c)
|
1,500
|
1,497
|
|
Park River Holdings, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.80%,
12/28/2027 (c)
|
1,982
|
1,903
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%),
7.81%, 3/3/2028 (c)
|
1,700
|
1,572
|
|
PetSmart LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.18%, 2/11/2028 (c)
|
1,684
|
1,676
|
|
Phoenix Newco, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 11/15/2028 (c)
|
1,708
|
1,708
|
|
Pike Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.44%, 1/21/2028 (c)
|
1,353
|
1,359
|
|
Primo Brands Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.55%, 3/31/2028 (c)
|
1,217
|
1,217
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
3/19/2029 (c)
|
1,228
|
1,226
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
2/10/2032 (c)
|
1,000
|
995
|
|
Raven Acquisition Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 11/19/2031 (c)
|
2,297
|
2,291
|
|
Rocket Software, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 8.58%,
11/28/2028 (c)
|
1,228
|
1,228
|
|
Serta Simmons Bedding LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 7.50%), 11.91%,
6/29/2028 (c)
|
346
|
313
|
|
Six Flags Entertainment Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%),
6.33%, 5/1/2031 (c)
|
1,231
|
1,231
|
|
SS&C Technologies, Inc., 1st Lien Term Loan B-8 (1-MONTH CME TERM SOFR + 2.00%), 6.32%,
5/9/2031 (c)
|
1,046
|
1,050
|
|
Station Casinos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 6.33%,
3/14/2031 (c)
|
1,436
|
1,435
|
|
Topgolf Callaway Brands Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%),
7.33%, 3/18/2030 (c)
|
1,250
|
1,219
|
|
Trident TPI Holdings, Inc., 1st Lien Term Loan B-7 (3-MONTH CME TERM SOFR + 3.75%),
8.05%, 9/15/2028 (c)
|
828
|
800
|
|
UKG, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 2/10/2031 (c)
|
2,146
|
2,149
|
|
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.55%, 9/27/2030 (c)
|
2,065
|
2,054
|
|
Varsity Brands, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 7.83%,
8/26/2031 (c)
|
2,733
|
2,713
|
|
Vista Management Holding, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%),
8.05%, 4/1/2031 (c)
|
709
|
709
|
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.57%,
1/27/2031 (c)
|
1,489
|
1,485
|
|
Whatabrands LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 8/3/2028 (c)
|
1,228
|
1,224
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 10/19/2029 (c)
|
919
|
909
|
|
Zekelman Industries, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.59%,
1/24/2031 (c)
|
1,485
|
1,478
|
|
|
|
96,390
|
|
Total Loan Assignments
(Cost $102,944)
|
|
100,103
|
|
Commercial Mortgage-Backed Securities — 1.4%
|
||
|
Luxembourg — 0.2%
|
||
|
HCFT , 7.25%, 6/13/2025 ‡
|
6,000
|
5,916
|
|
United States — 1.2%
|
||
|
A10 Revolving Asset Financing I LLC Series 2012-RAF1, Class B, 10.85%, 10/15/2019 ‡ (a) (i)
|
250
|
250
|
|
BANK
|
|
|
|
Series 2018-BN13, Class C, 4.55%, 8/15/2061 (i)
|
1,703
|
1,443
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2019-BN20, Class XA, IO, 0.81%, 9/15/2062 (i)
|
7,455
|
222
|
|
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (i)
|
5,352
|
4,104
|
|
BHMS Series 2018-ATLS, Class A, 5.88%, 7/15/2035 (a) (i)
|
1,300
|
1,300
|
|
BX Commercial Mortgage Trust Series 2024-MF, Class B, 6.02%, 2/15/2039 (a) (i)
|
2,408
|
2,411
|
|
BX Trust Series 2022-LBA6, Class A, 5.33%, 1/15/2039 (a) (i)
|
10,375
|
10,352
|
|
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (i)
|
484
|
437
|
|
CD Mortgage Trust Series 2016-CD2, Class C, 3.97%, 11/10/2049 (i)
|
303
|
178
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K739, Class X1, IO, 1.18%, 9/25/2027 (i)
|
35,945
|
708
|
|
Series K104, Class X1, IO, 1.11%, 1/25/2030 (i)
|
24,813
|
1,049
|
|
Series K108, Class X1, IO, 1.69%, 3/25/2030 (i)
|
11,919
|
788
|
|
Series K117, Class X1, IO, 1.22%, 8/25/2030 (i)
|
41,755
|
2,147
|
|
Series K724, Class X3, IO, 3.82%, 12/25/2044 (i)
|
213
|
—
|
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (i)
|
12,354
|
623
|
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (i)
|
11,650
|
870
|
|
Series K078, Class X3, IO, 2.21%, 6/25/2046 (i)
|
10,990
|
647
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (i)
|
11,410
|
863
|
|
Series K094, Class X3, IO, 2.12%, 7/25/2047 (i)
|
4,450
|
344
|
|
FNMA ACES Series 2020-M39, Class X2, IO, 1.42%, 8/25/2031 (i)
|
9,189
|
467
|
|
FREMF Series 2018-KF46, Class B, 6.42%, 3/25/2028 (a) (i)
|
60
|
58
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KF38, Class B, 6.97%, 9/25/2024 (a) (i)
|
251
|
250
|
|
Series 2017-KF41, Class B, 6.97%, 11/25/2024 (a) (i)
|
304
|
269
|
|
Series 2018-KF45, Class B, 6.42%, 3/25/2025 (a) (i)
|
150
|
150
|
|
Series 2016-KF24, Class B, 9.47%, 10/25/2026 (a) (i)
|
135
|
132
|
|
Series 2017-KF40, Class B, 7.17%, 11/25/2027 (a) (i)
|
537
|
511
|
|
Series 2018-KF50, Class B, 6.37%, 7/25/2028 (a) (i)
|
645
|
618
|
|
GS Mortgage Securities Trust Series 2015-GC30, Class C, 3.99%, 5/10/2050 (i)
|
605
|
539
|
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 6.57%, 10/15/2039 (a) (i)
|
2,729
|
2,726
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.22%, 7/15/2048 (i)
|
860
|
665
|
|
Series 2015-C31, Class C, 4.60%, 8/15/2048 (i)
|
395
|
316
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%,
12/15/2049 (i)
|
484
|
416
|
|
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class C, 4.29%,
5/15/2048 (i)
|
607
|
589
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2005-HQ7, Class E, 5.44%, 11/14/2042 (i)
|
15
|
14
|
|
Series 2015-MS1, Class B, 4.01%, 5/15/2048 (i)
|
470
|
450
|
|
SDR Commercial Mortgage Trust Series 2024-DSNY, Class B, 6.07%, 5/15/2039 (a) (i)
|
3,090
|
3,045
|
|
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (i)
|
1,795
|
1,715
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (i)
|
783
|
762
|
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (a) (i)
|
452
|
438
|
|
Series 2020-1, Class AFX, 2.61%, 2/25/2050 (a) (i)
|
1,469
|
1,324
|
|
|
|
44,190
|
|
Total Commercial Mortgage-Backed Securities
(Cost $53,465)
|
|
50,106
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — 0.8%
|
||
|
Cayman Islands — 0.2%
|
||
|
Apidos CLO Series 2020-34A, Class A1R, 5.68%, 1/20/2035 (a) (i)
|
925
|
927
|
|
Dryden CLO Ltd. Series 2019-68A, Class ARR, 5.36%, 7/15/2035 (a) (i)
|
3,600
|
3,599
|
|
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 5.49%, 10/15/2030 (a) (i)
|
18
|
18
|
|
LCM LP Series 16A, Class A2R, 5.70%, 10/15/2031 (a) (i)
|
438
|
438
|
|
Palmer Square Loan Funding Ltd. Series 2021-4A, Class A1, 5.32%, 10/15/2029 (a) (i)
|
207
|
206
|
|
Renew Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)
|
35
|
35
|
|
|
|
5,223
|
|
United States — 0.6%
|
||
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (a)
|
317
|
310
|
|
ACE Securities Corp. Home Equity Loan Trust Series 2004-OP1, Class M2, 6.01%, 4/25/2034 (i)
|
16
|
15
|
|
AMSR Trust Series 2019-SFR1, Class E, 3.47%, 1/19/2039 (a)
|
3,100
|
2,979
|
|
Amur Equipment Finance Receivables LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (a)
|
604
|
605
|
|
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W3, Class
A3, 3.38%, 2/25/2034 (i)
|
33
|
35
|
|
Countrywide Asset-Backed Certificates Series 2002-4, Class M1, 5.56%, 12/25/2032 (i)
|
10
|
10
|
|
Credit Acceptance Auto Loan Trust Series 2023-1A, Class A, 6.48%, 3/15/2033 (a)
|
935
|
940
|
|
Driven Brands Funding LLC Series 2019-2A, Class A2, 3.98%, 10/20/2049 (a)
|
1,697
|
1,665
|
|
Exeter Automobile Receivables Trust Series 2024-3A, Class D, 5.98%, 9/16/2030
|
2,100
|
2,126
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a)
|
3,000
|
2,959
|
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a)
|
2,000
|
1,972
|
|
Flagship Credit Auto Trust Series 2023-1, Class B, 5.05%, 1/18/2028 (a)
|
733
|
732
|
|
Fremont Home Loan Trust Series 2004-2, Class M2, 5.37%, 7/25/2034 (i)
|
2
|
2
|
|
GLS Auto Receivables Issuer Trust Series 2022-3A, Class D, 6.42%, 6/15/2028 (a)
|
510
|
516
|
|
HIN Timeshare Trust Series 2020-A, Class D, 5.50%, 10/9/2039 (a)
|
1,058
|
1,025
|
|
JetBlue Pass-Through Trust Series 2019-1, Class A, 2.95%, 5/15/2028
|
446
|
407
|
|
Merrill Lynch Mortgage Investors Trust Series 2003-OPT1, Class M1, 5.41%, 7/25/2034 (i)
|
7
|
6
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M2, 6.74%, 10/15/2040 (a)
|
42
|
43
|
|
MVW LLC Series 2021-1WA, Class D, 3.17%, 1/22/2041 (a)
|
1,815
|
1,720
|
|
Renaissance Home Equity Loan Trust
|
|
|
|
Series 2005-1, Class AF6, 5.47%, 5/25/2035 (j)
|
22
|
22
|
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (j)
|
536
|
496
|
|
Santander Drive Auto Receivables Trust Series 2022-6, Class C, 4.96%, 11/15/2028
|
1,035
|
1,035
|
|
Saxon Asset Securities Trust Series 2004-3, Class M1, 5.34%, 12/26/2034 (i)
|
84
|
81
|
|
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (a)
|
2,500
|
2,333
|
|
|
|
22,034
|
|
Total Asset-Backed Securities
(Cost $27,038)
|
|
27,257
|
|
Collateralized Mortgage Obligations — 0.5%
|
||
|
United States — 0.5%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-25CB, Class A1, 6.00%, 12/25/2034
|
1,379
|
1,230
|
|
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035
|
33
|
28
|
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035
|
540
|
414
|
|
Angel Oak Mortgage Trust Series 2020-1, Class A1, 2.47%, 12/25/2059 (a) (i)
|
265
|
257
|
|
Chase Mortgage Finance Trust Series 2007-A1, Class 2A3, 6.49%, 2/25/2037 (i)
|
12
|
11
|
|
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037
|
883
|
360
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 6.62%, 1/25/2043 (a) (i)
|
2,446
|
2,502
|
|
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 4.96%, 8/19/2045 (i)
|
371
|
329
|
|
FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1B, 7.22%, 4/25/2042 (a) (i)
|
1,700
|
1,751
|
|
FHLMC, REMIC
|
|
|
|
Series 3914, Class LS, IF, IO, 2.35%, 8/15/2026 (i)
|
4
|
—
|
|
Series 4030, Class IL, IO, 3.50%, 4/15/2027
|
10
|
—
|
|
Series 4043, Class PI, IO, 2.50%, 5/15/2027
|
170
|
3
|
|
Series 4057, Class UI, IO, 3.00%, 5/15/2027
|
35
|
—
|
|
Series 4120, Class UI, IO, 3.00%, 10/15/2027
|
115
|
3
|
|
Series 4324, Class AI, IO, 3.00%, 11/15/2028
|
18
|
—
|
|
Series 4313, Class UI, IO, 3.00%, 3/15/2029
|
159
|
5
|
|
Series 3459, Class JS, IF, IO, 1.80%, 6/15/2038 (i)
|
134
|
12
|
|
Series 4018, Class HI, IO, 4.50%, 3/15/2041
|
36
|
1
|
|
Series 4073, Class IQ, IO, 4.00%, 7/15/2042
|
102
|
14
|
|
Series 4173, Class I, IO, 4.00%, 3/15/2043
|
268
|
41
|
|
Series 4305, Class SK, IF, IO, 2.15%, 2/15/2044 (i)
|
2,744
|
365
|
|
Series 4585, Class JI, IO, 4.00%, 5/15/2045
|
926
|
114
|
|
Series 4694, Class SA, IF, IO, 1.65%, 6/15/2047 (i)
|
2,454
|
299
|
|
Series 4689, Class SD, IF, IO, 1.70%, 6/15/2047 (i)
|
4,433
|
508
|
|
Series 5022, IO, 3.00%, 9/25/2050
|
5,717
|
969
|
|
Series 5023, Class MI, IO, 3.00%, 10/25/2050
|
10,240
|
1,711
|
|
Series 5072, Class DI, IO, 3.50%, 2/25/2051
|
9,363
|
1,774
|
|
FHLMC, STRIPS Series 319, Class S2, IF, IO, 1.55%, 11/15/2043 (i)
|
5,460
|
642
|
|
FNMA, REMIC
|
|
|
|
Series 2013-15, IO, 2.50%, 3/25/2028
|
303
|
7
|
|
Series 2014-35, Class KI, IO, 3.00%, 6/25/2029
|
187
|
5
|
|
Series 2014-44, Class QI, IO, 3.00%, 8/25/2029
|
87
|
2
|
|
Series 2013-66, Class IE, IO, 3.00%, 8/25/2032
|
1,055
|
25
|
|
Series 2013-61, Class HI, IO, 3.00%, 6/25/2033
|
1,526
|
117
|
|
Series 2013-64, Class LI, IO, 3.00%, 6/25/2033
|
380
|
28
|
|
Series 2012-93, Class SE, IF, IO, 1.66%, 9/25/2042 (i)
|
1,198
|
129
|
|
Series 2012-93, Class SG, IF, IO, 1.66%, 9/25/2042 (i)
|
240
|
27
|
|
Series 2014-14, Class SA, IF, IO, 1.51%, 4/25/2044 (i)
|
3,626
|
375
|
|
Series 2015-40, Class LS, IF, IO, 1.73%, 6/25/2045 (i)
|
1,885
|
209
|
|
Series 2015-85, Class SA, IF, IO, 1.18%, 11/25/2045 (i)
|
2,303
|
215
|
|
Series 2016-39, Class LS, IF, IO, 1.56%, 7/25/2046 (i)
|
7,071
|
798
|
|
Series 2016-61, Class ST, IF, IO, 1.56%, 9/25/2046 (i)
|
4,742
|
516
|
|
FNMA, STRIPS Series 401, Class C6, IO, 4.50%, 10/25/2029
|
36
|
1
|
|
GNMA
|
|
|
|
Series 2011-13, Class S, IF, IO, 1.51%, 1/16/2041 (i)
|
244
|
21
|
|
Series 2015-H13, Class GI, IO, 1.51%, 4/20/2065 (i)
|
520
|
14
|
|
Goodgreen Trust Series 2017-R15.00%, 10/20/2051 ‡
|
82
|
79
|
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (a) (i)
|
125
|
14
|
|
HarborView Mortgage Loan Trust Series 2007-6, Class 2A1A, 4.63%, 8/19/2037 (i)
|
82
|
72
|
|
JPMorgan Alternative Loan Trust Series 2006-A2, Class 1A1, 4.80%, 5/25/2036 (i)
|
1,254
|
1,032
|
|
MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.92%, 8/25/2033 (i)
|
81
|
43
|
|
Starwood Mortgage Residential Trust Series 2020-1, Class A1, 2.27%, 2/25/2050 (a) (i)
|
98
|
93
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 5A1, 4.91%, 2/25/2035 (i)
|
53
|
51
|
|
Verus Securitization Trust Series 2020-1, Class A1, 3.42%, 1/25/2060 (a) (j)
|
166
|
163
|
|
Total Collateralized Mortgage Obligations
(Cost $19,397)
|
|
17,379
|
|
|
SHARES
(000)
|
|
|
Common Stocks — 0.1%
|
||
|
France — 0.0% ^
|
||
|
Vallourec SACA
|
43
|
723
|
|
Luxembourg — 0.0% ^
|
||
|
Intelsat SA ‡ *
|
35
|
1,439
|
|
Mallinckrodt plc ‡ *
|
1
|
58
|
|
|
|
1,497
|
|
United States — 0.1%
|
||
|
Claire's Stores, Inc. ‡ * (o)
|
1
|
—
(l)
|
|
Clear Channel Outdoor Holdings, Inc. *
|
71
|
75
|
|
Endo GUC Trust ‡ *
|
22
|
11
|
|
Endo, Inc. *
|
48
|
1,015
|
|
iHeartMedia, Inc., Class A *
|
25
|
32
|
|
Incora Intermediate II LLC ‡ *
|
18
|
352
|
|
Moran Foods Backstop Equity ‡ *
|
3,408,992
|
3
|
|
MYT Holding LLC ‡ *
|
247
|
62
|
|
New Evhc Physical Equity ‡ *
|
3
|
42
|
|
NMG Parent LLC ‡ *
|
2
|
40
|
|
Rite Aid ‡ *
|
2
|
—
(l)
|
|
Serta Simmons Bedding LLC ‡ *
|
84
|
884
|
|
SSB Equipment Co., Inc. ‡ *
|
84
|
—
|
|
|
|
2,516
|
|
Total Common Stocks
(Cost $5,992)
|
|
4,736
|
|
Preferred Stocks — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $402)
|
419
|
535
|
|
|
NO. OF WARRANTS
(000)
|
|
|
Warrants — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
Audacy, Inc.
|
|
|
|
expiring 12/31/2049, price 1.00 USD ‡ *
|
1
|
14
|
|
expiring 12/31/2049, price 1.00 USD ‡ *
|
1
|
—
|
|
expiring 9/30/2028, price 1.00 USD ‡ *
|
—
|
—
|
|
Total Warrants
(Cost $614)
|
|
14
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Convertible Preferred Stocks — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
Claire's Stores, Inc. ‡ * (o)
(Cost $1,939)
|
1
|
—
(l)
|
|
Short-Term Investments — 5.4%
|
||
|
Investment Companies — 5.4%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.29% (p) (q)
(Cost $189,146)
|
189,112
|
189,150
|
|
Total Investments — 102.3%
(Cost $3,681,266)
|
|
3,613,030
|
|
Liabilities in Excess of Other Assets — (2.3)%
|
|
(82,431
)
|
|
NET ASSETS — 100.0%
|
|
3,530,599
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
BRL
|
Brazilian Real
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GBP
|
British Pound
|
|
GNMA
|
Government National Mortgage Association
|
|
HB
|
High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments
on an underlying pool of mortgages with similar features as those
associated with IO securities. Unlike IO's the owner also has a right to receive a
very small portion of principal. The high interest rates result from taking
interest payments from other classes in the Real Estate Mortgage Investment Conduit
trust and allocating them to the small principal of the HB class.
|
|
ICE
|
Intercontinental Exchange
|
|
IDR
|
Indonesian Rupiah
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2025. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
JSC
|
Joint Stock Company
|
|
MXN
|
Mexican Peso
|
|
PIK
|
Payment In Kind
|
|
PLN
|
Polish Zloty
|
|
PT
|
Limited liability company
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SCA
|
Limited partnership with share capital
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the 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.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
TRY
|
Turkish Lira
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(b)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2025 is $141,581 or 4.01% of the Fund’s net
assets as of May 31, 2025.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2025.
|
|
|
(d)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
|
(e)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(f)
|
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 May 31, 2025.
|
|
|
(g)
|
Defaulted security.
|
|
|
(h)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(i)
|
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
May 31, 2025.
|
|
|
(j)
|
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 May 31, 2025.
|
|
|
(k)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(l)
|
Value is zero.
|
|
|
(m)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(n)
|
All or a portion of this security is unsettled as of May 31, 2025. Unless otherwise
indicated, the coupon rate is undetermined. The coupon
rate shown may not be accrued for the entire position.
|
|
|
(o)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
|
(p)
|
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.
|
|
|
(q)
|
The rate shown is the current yield as of May 31, 2025.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
Euro-Bobl
|
1,035
|
06/06/2025
|
EUR
|
140,118
|
1,086
|
|
Euro-BTP
|
717
|
06/06/2025
|
EUR
|
98,630
|
1,086
|
|
Euro-Bund
|
238
|
06/06/2025
|
EUR
|
35,490
|
41
|
|
Euro-Schatz
|
1,904
|
06/06/2025
|
EUR
|
232,133
|
966
|
|
U.S. Treasury 10 Year Note
|
2,817
|
09/19/2025
|
USD
|
312,423
|
3,821
|
|
U.S. Treasury 10 Year Ultra Note
|
1,607
|
09/19/2025
|
USD
|
181,290
|
2,873
|
|
U.S. Treasury Long Bond
|
807
|
09/19/2025
|
USD
|
91,292
|
2,445
|
|
Long Gilt
|
1,705
|
09/26/2025
|
GBP
|
210,151
|
2,826
|
|
U.S. Treasury 2 Year Note
|
79
|
09/30/2025
|
USD
|
16,394
|
32
|
|
U.S. Treasury 5 Year Note
|
3,209
|
09/30/2025
|
USD
|
347,525
|
2,324
|
|
|
|
|
|
|
17,500
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Short Contracts
|
|
|
|
|
|
|
Euro-Bobl
|
(561
)
|
06/06/2025
|
EUR
|
(75,948
)
|
(576
)
|
|
Euro-Buxl 30 Year Bond
|
(262
)
|
06/06/2025
|
EUR
|
(36,216
)
|
(1,017
)
|
|
Euro-Schatz
|
(57
)
|
06/06/2025
|
EUR
|
(6,949
)
|
(11
)
|
|
Japan 10 Year Bond
|
(178
)
|
06/13/2025
|
JPY
|
(172,266
)
|
(296
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(686
)
|
09/19/2025
|
USD
|
(77,389
)
|
(1,236
)
|
|
U.S. Treasury Long Bond
|
(149
)
|
09/19/2025
|
USD
|
(16,856
)
|
(405
)
|
|
U.S. Treasury Ultra Bond
|
(1,760
)
|
09/19/2025
|
USD
|
(204,710
)
|
(5,872
)
|
|
U.S. Treasury 2 Year Note
|
(1,850
)
|
09/30/2025
|
USD
|
(383,904
)
|
(552
)
|
|
U.S. Treasury 5 Year Note
|
(1,639
)
|
09/30/2025
|
USD
|
(177,499
)
|
(1,106
)
|
|
|
|
|
|
|
(11,071
)
|
|
|
|
|
|
|
6,429
|
|
Abbreviations
|
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
JPY
|
Japanese Yen
|
|
USD
|
United States Dollar
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
EUR
|
2,363
|
USD
|
2,681
|
Barclays Bank plc
|
6/4/2025
|
2
|
|
EUR
|
2,906
|
USD
|
3,272
|
BNP Paribas
|
6/4/2025
|
28
|
|
EUR
|
502,664
|
USD
|
569,652
|
HSBC Bank, NA
|
6/4/2025
|
1,131
|
|
USD
|
5,507
|
EUR
|
4,826
|
BNP Paribas
|
6/4/2025
|
28
|
|
USD
|
575,688
|
EUR
|
505,632
|
Morgan Stanley
|
6/4/2025
|
1,534
|
|
AUD
|
27,034
|
USD
|
17,350
|
Standard Chartered Bank
|
6/24/2025
|
80
|
|
BRL
|
98,774
|
USD
|
17,155
|
Citibank, NA**
|
6/24/2025
|
30
|
|
CAD
|
24,180
|
USD
|
17,416
|
Barclays Bank plc
|
6/24/2025
|
223
|
|
CNY
|
125,612
|
USD
|
17,416
|
BNP Paribas**
|
6/24/2025
|
83
|
|
EUR
|
29,579
|
USD
|
33,380
|
BNP Paribas
|
6/24/2025
|
250
|
|
EUR
|
66,840
|
USD
|
75,543
|
Goldman Sachs International
|
6/24/2025
|
452
|
|
GBP
|
2,769
|
USD
|
3,659
|
Morgan Stanley
|
6/24/2025
|
72
|
|
INR
|
1,488,899
|
USD
|
17,362
|
Citigroup Global Markets Holdings, Inc.**
|
6/24/2025
|
21
|
|
JPY
|
12,314,076
|
USD
|
84,770
|
BNP Paribas
|
6/24/2025
|
1,010
|
|
KRW
|
97,158,948
|
USD
|
69,762
|
Citigroup Global Markets Holdings, Inc.**
|
6/24/2025
|
667
|
|
MXN
|
669,496
|
USD
|
33,920
|
Morgan Stanley
|
6/24/2025
|
504
|
|
THB
|
602,560
|
USD
|
18,205
|
Goldman Sachs International
|
6/24/2025
|
182
|
|
TWD
|
527,824
|
USD
|
17,645
|
Citibank, NA**
|
6/24/2025
|
103
|
|
TWD
|
622,231
|
USD
|
20,819
|
Goldman Sachs International**
|
6/24/2025
|
104
|
|
USD
|
17,261
|
AUD
|
26,633
|
Barclays Bank plc
|
6/24/2025
|
89
|
|
USD
|
17,675
|
AUD
|
27,283
|
BNP Paribas
|
6/24/2025
|
83
|
|
USD
|
17,492
|
BRL
|
99,016
|
Goldman Sachs International**
|
6/24/2025
|
265
|
|
USD
|
17,412
|
CNY
|
124,919
|
BNP Paribas**
|
6/24/2025
|
9
|
|
USD
|
129,174
|
MXN
|
2,511,697
|
Goldman Sachs International
|
6/24/2025
|
26
|
|
ZAR
|
320,072
|
USD
|
17,392
|
Goldman Sachs International
|
6/24/2025
|
380
|
|
ZAR
|
318,603
|
USD
|
17,646
|
Standard Chartered Bank
|
6/24/2025
|
44
|
|
USD
|
11,315
|
GBP
|
8,394
|
Barclays Bank plc
|
7/3/2025
|
5
|
|
Total unrealized appreciation
|
7,405
|
|||||
|
EUR
|
2,525
|
USD
|
2,871
|
Barclays Bank plc
|
6/4/2025
|
(4
)
|
|
GBP
|
8,394
|
USD
|
11,314
|
Barclays Bank plc
|
6/4/2025
|
(5
)
|
|
USD
|
11,226
|
GBP
|
8,394
|
BNP Paribas
|
6/4/2025
|
(83
)
|
|
BRL
|
25,250
|
USD
|
4,483
|
Goldman Sachs International**
|
6/24/2025
|
(90
)
|
|
CLP
|
51,227,486
|
USD
|
54,812
|
HSBC Bank, NA**
|
6/24/2025
|
(669
)
|
|
EUR
|
7,726
|
RON
|
39,780
|
Barclays Bank plc
|
6/24/2025
|
(122
)
|
|
EUR
|
7,823
|
RON
|
40,259
|
Goldman Sachs International
|
6/24/2025
|
(119
)
|
|
GBP
|
690
|
USD
|
934
|
BNP Paribas
|
6/24/2025
|
(4
)
|
|
INR
|
126,054
|
USD
|
1,474
|
HSBC Bank, NA**
|
6/24/2025
|
(2
)
|
|
JPY
|
167,594
|
USD
|
1,169
|
Morgan Stanley
|
6/24/2025
|
(2
)
|
|
USD
|
17,224
|
CAD
|
23,904
|
BNP Paribas
|
6/24/2025
|
(212
)
|
|
USD
|
18,241
|
COP
|
77,089,871
|
Goldman Sachs International**
|
6/24/2025
|
(266
)
|
|
USD
|
23,252
|
CZK
|
515,072
|
Goldman Sachs International
|
6/24/2025
|
(231
)
|
|
USD
|
3,519
|
EUR
|
3,127
|
HSBC Bank, NA
|
6/24/2025
|
(36
)
|
|
USD
|
2,386
|
GBP
|
1,788
|
BNP Paribas
|
6/24/2025
|
(24
)
|
|
USD
|
1,560
|
GBP
|
1,185
|
Citibank, NA
|
6/24/2025
|
(36
)
|
|
USD
|
34,822
|
GBP
|
26,196
|
Goldman Sachs International
|
6/24/2025
|
(477
)
|
|
USD
|
1,829
|
GBP
|
1,371
|
Morgan Stanley
|
6/24/2025
|
(18
)
|
|
USD
|
52,167
|
HUF
|
18,810,905
|
Goldman Sachs International
|
6/24/2025
|
(655
)
|
|
USD
|
3,528
|
IDR
|
57,930,251
|
Barclays Bank plc**
|
6/24/2025
|
(11
)
|
|
USD
|
74,440
|
IDR
|
232,692,685
|
HSBC Bank, NA**
|
6/24/2025
|
(854
)
|
|
USD
|
17,775
|
KRW
|
24,722,746
|
Standard Chartered Bank**
|
6/24/2025
|
(146
)
|
|
USD
|
3,502
|
MXN
|
69,081
|
Barclays Bank plc
|
6/24/2025
|
(49
)
|
|
USD
|
17,415
|
MXN
|
341,500
|
Goldman Sachs International
|
6/24/2025
|
(144
)
|
|
USD
|
30,183
|
PLN
|
113,950
|
Barclays Bank plc
|
6/24/2025
|
(245
)
|
|
USD
|
33,298
|
PLN
|
125,924
|
HSBC Bank, NA
|
6/24/2025
|
(327
)
|
|
USD
|
16,271
|
ZAR
|
297,544
|
HSBC Bank, NA
|
6/24/2025
|
(250
)
|
|
USD
|
17,459
|
ZAR
|
316,170
|
Standard Chartered Bank
|
6/24/2025
|
(95
)
|
|
USD
|
570,719
|
EUR
|
502,663
|
HSBC Bank, NA
|
7/3/2025
|
(1,133
)
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
Total unrealized depreciation
|
(6,309
)
|
|||||
|
Net unrealized appreciation
|
1,096
|
|||||
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CLP
|
Chile Peso
|
|
CNY
|
China Yuan
|
|
COP
|
Columbian Peso
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
HUF
|
Hungarian Forint
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
KRW
|
Korean Republic Won
|
|
MXN
|
Mexican Peso
|
|
PLN
|
Polish Zloty
|
|
RON
|
Romanian Leu
|
|
THB
|
Thai Baht
|
|
TWD
|
Taiwan Dollar
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
**
|
Non-deliverable forward.
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.HY.44-V1
|
5.00
|
Quarterly
|
6/20/2030
|
3.51
|
USD 225,686
|
(12,401
)
|
(3,780
)
|
(16,181
)
|
|
iTraxx.Europe.Crossover.43-V1
|
5.00
|
Quarterly
|
6/20/2030
|
3.00
|
EUR 37,365
|
(2,997
)
|
(1,092
)
|
(4,089
)
|
|
|
|
|
|
|
|
(15,398
)
|
(4,872
)
|
(20,270
)
|
|
(*)
|
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
|
|
EUR
|
Euro
|
|
USD
|
United States Dollar
|
|
FLOATING RATE INDEX (a)
|
FIXED RATE
%
|
PAY/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
VALUE ($)
|
|
6 month EURIBOR semi-annually
|
2.28 annually
|
Pay
|
12/18/2029
|
EUR65,120
|
—
|
266
|
266
|
|
1 day SOFR annually
|
3.46 annually
|
Pay
|
7/15/2028
|
USD482,691
|
—
|
991
|
991
|
|
1 day SOFR annually
|
3.62 annually
|
Receive
|
7/15/2036
|
USD112,053
|
—
|
2,435
|
2,435
|
|
1 day SOFR annually
|
3.95 annually
|
Pay
|
4/19/2029
|
USD279,487
|
(50
)
|
2,654
|
2,604
|
|
1 day CDI at termination
|
14.38 at termination
|
Pay
|
1/2/2029
|
BRL32,528
|
—
|
171
|
171
|
|
|
|
|
|
|
(50
)
|
6,517
|
6,467
|
|
1 day CDI at termination
|
11.00 at termination
|
Pay
|
1/4/2027
|
BRL107,580
|
—
|
(1,182
)
|
(1,182
)
|
|
1 day CDI at termination
|
9.64 at termination
|
Pay
|
1/2/2026
|
BRL132,519
|
—
|
(1,404
)
|
(1,404
)
|
|
1 day CDI at termination
|
10.58 at termination
|
Pay
|
1/2/2026
|
BRL181,100
|
—
|
(1,373
)
|
(1,373
)
|
|
1 day SOFR annually
|
4.02 annually
|
Receive
|
4/19/2037
|
USD69,938
|
35
|
(200
)
|
(165
)
|
|
1 day CDI at termination
|
11.53 at termination
|
Pay
|
1/4/2027
|
BRL113,900
|
—
|
(877
)
|
(877
)
|
|
1 day CDI at termination
|
11.25 at termination
|
Pay
|
1/4/2027
|
BRL143,924
|
—
|
(1,286
)
|
(1,286
)
|
|
1 day CDI at termination
|
11.30 at termination
|
Pay
|
1/4/2027
|
BRL143,813
|
—
|
(1,253
)
|
(1,253
)
|
|
1 day SOFR annually
|
3.96 annually
|
Receive
|
2/15/2035
|
USD117,000
|
25
|
(1,310
)
|
(1,285
)
|
|
|
|
|
|
|
60
|
(8,885
)
|
(8,825
)
|
|
|
|
|
|
|
10
|
(2,368
)
|
(2,358
)
|
|
Abbreviations
|
|
|
BRL
|
Brazilian Real
|
|
CDI
|
Certificate of interbank deposits
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
USD
|
United States Dollar
|
|
(a)
|
Value of floating rate index at May 31, 2025 was as follows:
|
|||||||
|
FLOATING RATE INDEX
|
VALUE
|
|
1 day CDI
|
2.06%
|
|
1 day SOFR
|
4.35
|
|
6 month EURIBOR
|
2.07
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
|
Cayman Islands
|
$—
|
$5,188
|
$35
|
$5,223
|
|
United States
|
—
|
22,034
|
—
|
22,034
|
|
Total Asset-Backed Securities
|
—
|
27,222
|
35
|
27,257
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
United States
|
—
|
17,300
|
79
|
17,379
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
Luxembourg
|
—
|
—
|
5,916
|
5,916
|
|
United States
|
—
|
43,940
|
250
|
44,190
|
|
Total Commercial Mortgage-Backed Securities
|
—
|
43,940
|
6,166
|
50,106
|
|
Common Stocks
|
|
|
|
|
|
France
|
—
|
723
|
—
|
723
|
|
Luxembourg
|
—
|
—
|
1,497
|
1,497
|
|
United States
|
1,122
|
—
|
1,394
|
2,516
|
|
Total Common Stocks
|
1,122
|
723
|
2,891
|
4,736
|
|
Convertible Bonds
|
—
|
144,625
|
—
|
144,625
|
|
Convertible Preferred Stocks
|
—
|
—
|
—(a
)
|
—(a
)
|
|
Corporate Bonds
|
|
|
|
|
|
Australia
|
—
|
17,224
|
—
|
17,224
|
|
Austria
|
—
|
3,536
|
—
|
3,536
|
|
Belgium
|
—
|
15,789
|
—
|
15,789
|
|
Brazil
|
—
|
17,926
|
—
|
17,926
|
|
Canada
|
—
|
30,504
|
—
|
30,504
|
|
Chile
|
—
|
3,231
|
—
|
3,231
|
|
China
|
—
|
4,009
|
—
|
4,009
|
|
Colombia
|
—
|
2,396
|
—
|
2,396
|
|
Denmark
|
—
|
16,006
|
—
|
16,006
|
|
Finland
|
—
|
945
|
—
|
945
|
|
France
|
—
|
167,986
|
—
|
167,986
|
|
Germany
|
—
|
84,422
|
—
|
84,422
|
|
India
|
—
|
6,172
|
—
|
6,172
|
|
Indonesia
|
—
|
10,363
|
—
|
10,363
|
|
Ireland
|
—
|
64,771
|
—
|
64,771
|
|
Italy
|
—
|
122,584
|
—
|
122,584
|
|
Jersey
|
—
|
737
|
—
|
737
|
|
Kazakhstan
|
—
|
9,927
|
—
|
9,927
|
|
Luxembourg
|
—
|
28,534
|
—
(b)
|
28,534
|
|
Malaysia
|
—
|
3,769
|
—
|
3,769
|
|
Mexico
|
—
|
30,033
|
—
|
30,033
|
|
Morocco
|
—
|
5,115
|
—
|
5,115
|
|
Netherlands
|
—
|
40,437
|
—
|
40,437
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Norway
|
$—
|
$3,066
|
$—
|
$3,066
|
|
Portugal
|
—
|
13,698
|
—
|
13,698
|
|
South Africa
|
—
|
7,442
|
—
|
7,442
|
|
Spain
|
—
|
77,733
|
—
|
77,733
|
|
Sweden
|
—
|
20,226
|
—
|
20,226
|
|
Switzerland
|
—
|
28,877
|
—
|
28,877
|
|
United Arab Emirates
|
—
|
2,481
|
—
|
2,481
|
|
United Kingdom
|
—
|
153,166
|
—
|
153,166
|
|
United States
|
—
|
1,152,805
|
594
|
1,153,399
|
|
Total Corporate Bonds
|
—
|
2,145,910
|
594
|
2,146,504
|
|
Foreign Government Securities
|
—
|
611,408
|
—
|
611,408
|
|
Loan Assignments
|
|
|
|
|
|
Canada
|
—
|
2,216
|
—
|
2,216
|
|
United Kingdom
|
—
|
1,497
|
—
|
1,497
|
|
United States
|
—
|
95,399
|
991
|
96,390
|
|
Total Loan Assignments
|
—
|
99,112
|
991
|
100,103
|
|
Mortgage-Backed Securities
|
|
|
|
|
|
United States
|
—
|
317,470
|
3,743
|
321,213
|
|
Preferred Stocks
|
—
|
—
|
535
|
535
|
|
Warrants
|
—
|
—
|
14
|
14
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
189,150
|
—
|
—
|
189,150
|
|
Total Investments in Securities
|
$190,272
|
$3,407,710
|
$15,048
|
$3,613,030
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$7,405
|
$—
|
$7,405
|
|
Futures Contracts
|
17,500
|
—
|
—
|
17,500
|
|
Swaps
|
—
|
6,517
|
—
|
6,517
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$(6,309
)
|
$—
|
$(6,309
)
|
|
Futures Contracts
|
(11,071
)
|
—
|
—
|
(11,071
)
|
|
Swaps
|
—
|
(13,757
)
|
—
|
(13,757
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$6,429
|
$(6,144
)
|
$—
|
$285
|
|
|
|
|
(a)
|
Value is zero.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
|
Balance as of
February 28,
2025
|
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
May 31,
2025
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$58
|
$—
|
$1
|
$—
(b)
|
$—
|
$(24
)
|
$—
|
$—
|
$—
|
$35
|
|
Collateralized Mortgage Obligations
|
9,528
|
—
|
21
|
—
(b)
|
—
|
(9,470
)
|
—
|
—
|
—
|
79
|
|
Commercial Mortgage-Backed Securities
|
9,917
|
—
|
(10
)
|
—
(b)
|
—
|
—
|
—
|
—
|
(3,741
)
|
6,166
|
|
Common Stocks
|
2,287
|
—
|
322
|
—
|
303
|
(21
)
|
—
|
—
|
—
|
2,891
|
|
|
Balance as of
February 28,
2025
|
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
May 31,
2025
|
|
Convertible Preferred Stocks
|
$1,310
|
$—
|
$(1,381
)
|
$—
|
$71
|
$—
|
$—
|
$—
|
$—
|
$—
(c)
|
|
Corporate Bonds
|
1,050
|
(709
)
|
479
|
12
|
247
|
(485
)
|
—
|
—
|
—
|
594
|
|
Loan Assignments
|
978
|
—
(b)
|
(21
)
|
15
|
24
|
(5
)
|
—
|
—
|
—
|
991
|
|
Mortgage-Backed Securities
|
—
|
—
|
2
|
—
|
—
|
—
|
—
|
—
|
3,741
|
3,743
|
|
Preferred Stocks
|
549
|
—
|
(14
)
|
—
|
—
|
—
|
—
|
—
|
—
|
535
|
|
Warrants
|
17
|
—
(b)
|
(3
)
|
—
|
—
|
—
|
—
|
—
|
—
|
14
|
|
Total
|
$25,694
|
$(709
)
|
$(604
)
|
$27
|
$645
|
$(10,005
)
|
$—
|
$—
|
$—
|
$15,048
|
|
|
|||||||||
|
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 Commercial Mortgage-Backed
Securities and Mortgage-Backed Securities.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
(c)
|
Value is zero.
|
|
Security
|
Acquisition
Date
|
Cost
|
Market
Value
|
Percentage
of Fund's
Net Assets
|
|
Claire's Stores, Inc. - Common Stocks
|
11/28/2018
|
$1,064
|
$—
(a)
|
0.0
%
|
|
Claire's Stores, Inc. - Convertible Preferred Stocks
|
10/3/2018
|
1,939
|
—
(a)
|
0.0
%
|
|
|
|
$3,003
|
$—
(a)
|
|
|
(a)
|
Value is zero.
|
|
|
|||||||||
|
For the period ended May 31, 2025
|
|||||||||
|
Security Description
|
Value at
February 28,
2025
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2025
|
Shares at
May 31,
2025
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 4.29% (a) (b)
|
$67,676
|
$361,597
|
$240,086
|
$(24
)
|
$(13
)
|
$189,150
|
189,112
|
$1,709
|
$—
|
|
|
|
|
(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 May 31, 2025.
|