|
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.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
|
© J.P. Morgan Chase & Co., 2025.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — 33.4%
|
||
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN2492, 4.93%, 6/1/2028
|
8,000
|
8,058
|
|
Pool # WN2326, 4.45%, 12/1/2032
|
2,160
|
2,108
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # RJ0003, 6.50%, 10/1/2053
|
24,036
|
24,944
|
|
Pool # SD4320, 6.00%, 11/1/2053
|
66,417
|
67,484
|
|
Pool # SD4341, 6.50%, 11/1/2053
|
16,210
|
16,796
|
|
Pool # SD5883, 6.50%, 6/1/2054
|
21,008
|
21,720
|
|
Pool # SD5979, 6.00%, 7/1/2054
|
39,922
|
40,490
|
|
Pool # SD6268, 6.50%, 8/1/2054
|
18,346
|
18,985
|
|
Pool # SD6896, 6.00%, 9/1/2054
|
69,045
|
70,133
|
|
Pool # SD6461, 6.50%, 10/1/2054
|
13,664
|
14,162
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # CB7136, 6.50%, 9/1/2053
|
20,876
|
21,635
|
|
Pool # FS6942, 6.50%, 12/1/2053
|
10,387
|
10,721
|
|
Pool # CB8004, 6.00%, 2/1/2054
|
12,762
|
12,983
|
|
Pool # CB8495, 6.00%, 5/1/2054
|
41,142
|
41,868
|
|
Pool # FS8911, 6.50%, 8/1/2054
|
25,669
|
26,629
|
|
Pool # CB9153, 6.00%, 9/1/2054
|
50,045
|
50,995
|
|
FNMA, Other
|
|
|
|
Pool # BS7094, 4.78%, 11/1/2029
|
23,000
|
23,249
|
|
Pool # BS3390, 1.69%, 10/1/2031
|
11,086
|
9,478
|
|
Pool # BS3377, 1.72%, 10/1/2031
|
2,190
|
1,848
|
|
Pool # BS4294, 1.97%, 1/1/2034
|
2,400
|
1,952
|
|
Pool # BZ1211, 4.99%, 6/1/2034
|
4,700
|
4,764
|
|
Pool # BZ3537, 4.97%, 4/1/2035
|
11,431
|
11,557
|
|
GNMA II, 30 Year
|
|
|
|
Pool # DB5978, 6.50%, 4/20/2044
|
540
|
552
|
|
Pool # DA9696, 6.50%, 4/20/2045
|
374
|
382
|
|
Pool # BF2605, 5.50%, 5/20/2048
|
260
|
268
|
|
Pool # BJ9839, 4.38%, 4/20/2049
|
73
|
69
|
|
Pool # DD9127, 6.50%, 7/20/2049
|
485
|
502
|
|
Pool # MA8152, 5.00%, 7/20/2052
|
—
|
—
|
|
Pool # MA8432, 7.00%, 11/20/2052
|
49
|
51
|
|
Pool # MA8882, 7.00%, 5/20/2053
|
116
|
119
|
|
Pool # CW1603, 6.50%, 12/20/2053
|
989
|
1,019
|
|
Pool # DA0555, 6.50%, 2/20/2054
|
2,466
|
2,541
|
|
Pool # DA1949, 6.50%, 2/20/2054
|
1,664
|
1,714
|
|
Pool # 787307, 6.50%, 3/20/2054
|
4,467
|
4,603
|
|
Pool # DB1810, 6.50%, 3/20/2054
|
1,874
|
1,931
|
|
Pool # DB1811, 6.50%, 3/20/2054
|
942
|
971
|
|
Pool # DB1838, 6.50%, 3/20/2054
|
1,385
|
1,427
|
|
Pool # DB1521, 6.00%, 4/20/2054
|
1,012
|
1,034
|
|
Pool # DB1161, 6.50%, 4/20/2054
|
1,364
|
1,406
|
|
Pool # DA0802, 6.50%, 5/20/2054
|
1,875
|
1,932
|
|
Pool # DA5191, 6.50%, 5/20/2054
|
496
|
517
|
|
Pool # DA9805, 6.50%, 5/20/2054
|
443
|
457
|
|
Pool # DB7176, 6.50%, 5/20/2054
|
603
|
624
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DB7182, 6.00%, 6/20/2054
|
899
|
916
|
|
Pool # DB9010, 6.00%, 6/20/2054
|
1,417
|
1,442
|
|
Pool # DC6423, 6.00%, 6/20/2054
|
2,104
|
2,147
|
|
Pool # DC6424, 6.00%, 6/20/2054
|
1,622
|
1,652
|
|
Pool # DC6462, 6.00%, 6/20/2054
|
1,616
|
1,655
|
|
Pool # DC6464, 6.00%, 6/20/2054
|
8,202
|
8,347
|
|
Pool # DC7762, 6.00%, 6/20/2054
|
10,182
|
10,362
|
|
Pool # CP4226, 6.50%, 6/20/2054
|
1,220
|
1,262
|
|
Pool # CZ1406, 6.50%, 6/20/2054
|
1,117
|
1,158
|
|
Pool # DA1016, 6.50%, 6/20/2054
|
590
|
612
|
|
Pool # DB7470, 6.50%, 6/20/2054
|
3,251
|
3,350
|
|
Pool # DB7473, 6.50%, 6/20/2054
|
3,340
|
3,446
|
|
Pool # DC6270, 6.50%, 6/20/2054
|
1,297
|
1,342
|
|
Pool # DE0617, 6.50%, 6/20/2054
|
6,552
|
6,751
|
|
Pool # DB7520, 6.00%, 7/20/2054
|
3,040
|
3,093
|
|
Pool # DC0348, 6.00%, 7/20/2054
|
24,500
|
24,931
|
|
Pool # DC6650, 6.00%, 7/20/2054
|
9,946
|
10,121
|
|
Pool # DC8318, 6.00%, 7/20/2054
|
404
|
411
|
|
Pool # DC8319, 6.00%, 7/20/2054
|
565
|
576
|
|
Pool # DA1123, 6.50%, 7/20/2054
|
1,560
|
1,607
|
|
Pool # DB7614, 6.50%, 7/20/2054
|
544
|
560
|
|
Pool # DB7642, 6.50%, 7/20/2054
|
1,468
|
1,512
|
|
Pool # DC4806, 6.50%, 7/20/2054
|
2,835
|
2,924
|
|
Pool # DC4815, 6.50%, 7/20/2054
|
1,776
|
1,830
|
|
Pool # DC4824, 6.50%, 7/20/2054
|
3,359
|
3,461
|
|
Pool # DC4836, 6.50%, 7/20/2054
|
1,458
|
1,504
|
|
Pool # DC4838, 6.50%, 7/20/2054
|
1,720
|
1,773
|
|
Pool # DC7719, 6.50%, 7/20/2054
|
509
|
524
|
|
Pool # DD0243, 6.50%, 7/20/2054
|
578
|
598
|
|
Pool # DD0244, 6.50%, 7/20/2054
|
831
|
860
|
|
Pool # DD0258, 6.50%, 7/20/2054
|
436
|
451
|
|
Pool # DD1474, 6.50%, 7/20/2054
|
7,307
|
7,529
|
|
Pool # DD6149, 6.50%, 7/20/2054
|
488
|
502
|
|
Pool # DE1862, 6.00%, 8/20/2054
|
5,972
|
6,078
|
|
Pool # 787524, 6.50%, 8/20/2054
|
28,953
|
30,088
|
|
Pool # 787526, 6.50%, 8/20/2054
|
36,563
|
37,734
|
|
Pool # 787527, 6.50%, 8/20/2054
|
30,204
|
31,270
|
|
Pool # 787528, 6.50%, 8/20/2054
|
38,333
|
39,537
|
|
Pool # CZ7222, 6.50%, 8/20/2054
|
2,969
|
3,065
|
|
Pool # DA1146, 6.50%, 8/20/2054
|
505
|
520
|
|
Pool # DA2943, 6.50%, 8/20/2054
|
2,091
|
2,157
|
|
Pool # DC5089, 6.50%, 8/20/2054
|
1,638
|
1,690
|
|
Pool # DC6802, 6.50%, 8/20/2054
|
4,393
|
4,517
|
|
Pool # DC8297, 6.50%, 8/20/2054
|
2,150
|
2,219
|
|
Pool # DD0605, 6.50%, 8/20/2054
|
424
|
438
|
|
Pool # DD1553, 6.50%, 8/20/2054
|
546
|
564
|
|
Pool # DD7840, 6.50%, 8/20/2054
|
3,012
|
3,107
|
|
Pool # DD8028, 6.50%, 8/20/2054
|
475
|
491
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DD8029, 6.50%, 8/20/2054
|
466
|
484
|
|
Pool # DD8031, 6.50%, 8/20/2054
|
366
|
377
|
|
Pool # DD8032, 6.50%, 8/20/2054
|
661
|
682
|
|
Pool # DD8033, 6.50%, 8/20/2054
|
602
|
622
|
|
Pool # DD9128, 6.50%, 8/20/2054
|
1,180
|
1,221
|
|
Pool # DE0930, 6.50%, 8/20/2054
|
412
|
429
|
|
Pool # DE0931, 6.50%, 8/20/2054
|
493
|
510
|
|
Pool # DE0933, 6.50%, 8/20/2054
|
437
|
452
|
|
Pool # DE0936, 6.50%, 8/20/2054
|
866
|
894
|
|
Pool # DE1872, 6.50%, 8/20/2054
|
5,436
|
5,601
|
|
Pool # 787553, 6.00%, 9/20/2054
|
53,782
|
54,756
|
|
Pool # DD9114, 6.00%, 9/20/2054
|
1,181
|
1,202
|
|
Pool # DE0971, 6.00%, 9/20/2054
|
912
|
928
|
|
Pool # DE4370, 6.00%, 9/20/2054
|
3,064
|
3,118
|
|
Pool # DE4373, 6.00%, 9/20/2054
|
2,073
|
2,109
|
|
Pool # 787554, 6.50%, 9/20/2054
|
47,418
|
48,907
|
|
Pool # DE6368, 6.50%, 9/20/2054
|
4,927
|
5,067
|
|
Pool # 787593, 5.50%, 10/20/2054
|
6,481
|
6,486
|
|
Pool # 787595, 6.00%, 10/20/2054
|
9,542
|
9,728
|
|
Pool # 787596, 6.00%, 10/20/2054
|
22,776
|
23,275
|
|
Pool # DF5278, 6.00%, 10/20/2054
|
825
|
839
|
|
Pool # DG0986, 6.00%, 11/20/2054
|
722
|
735
|
|
Pool # DG1019, 6.00%, 11/20/2054
|
1,117
|
1,138
|
|
Pool # DG1038, 6.00%, 11/20/2054
|
697
|
712
|
|
Pool # DE0928, 6.00%, 12/20/2054
|
547
|
560
|
|
Pool # DF4458, 6.00%, 12/20/2054
|
753
|
767
|
|
Pool # DF4461, 6.00%, 12/20/2054
|
741
|
757
|
|
Pool # DF4477, 6.00%, 12/20/2054
|
2,088
|
2,126
|
|
Pool # DF8291, 6.00%, 12/20/2054
|
10,435
|
10,619
|
|
Pool # DG1004, 6.00%, 12/20/2054
|
903
|
921
|
|
Pool # DG1015, 6.00%, 12/20/2054
|
936
|
953
|
|
Pool # DG1018, 6.00%, 12/20/2054
|
788
|
805
|
|
Pool # DG1027, 6.00%, 12/20/2054
|
2,464
|
2,509
|
|
Pool # DG8794, 6.00%, 12/20/2054
|
1,167
|
1,189
|
|
Pool # DG8812, 6.00%, 12/20/2054
|
807
|
822
|
|
Pool # DG8826, 6.00%, 12/20/2054
|
777
|
792
|
|
Pool # DG8827, 6.00%, 1/20/2055
|
2,431
|
2,476
|
|
Pool # DG8828, 6.00%, 1/20/2055
|
658
|
672
|
|
Pool # DG8829, 6.00%, 1/20/2055
|
1,086
|
1,111
|
|
Pool # DG8840, 6.00%, 1/20/2055
|
767
|
781
|
|
Pool # DG8841, 6.00%, 1/20/2055
|
2,291
|
2,333
|
|
Pool # DG8842, 6.00%, 1/20/2055
|
508
|
519
|
|
Pool # DG8843, 6.00%, 1/20/2055
|
737
|
754
|
|
Pool # DG8871, 6.00%, 1/20/2055
|
468
|
480
|
|
Pool # MB0149, 6.50%, 1/20/2055
|
11,818
|
12,093
|
|
Pool # MB0206, 6.00%, 2/20/2055
|
329,509
|
332,974
|
|
Pool # 787885, 6.00%, 3/20/2055
|
88,127
|
89,679
|
|
Pool # DH6333, 6.50%, 3/20/2055
|
3,281
|
3,397
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # DH6334, 6.50%, 3/20/2055
|
2,869
|
2,970
|
|
Pool # DH6348, 6.50%, 3/20/2055
|
2,101
|
2,176
|
|
Pool # DH6350, 6.50%, 3/20/2055
|
2,388
|
2,472
|
|
Pool # 787943, 6.50%, 5/20/2055
|
47,003
|
48,815
|
|
Pool # MB0368, 6.50%, 5/20/2055
|
239,797
|
245,623
|
|
GNMA II, Other
|
|
|
|
Pool # CX7724, 7.00%, 9/20/2063
|
373
|
382
|
|
Pool # CX7728, 7.00%, 10/20/2063
|
320
|
328
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 5.50%, 6/15/2055 (a)
|
1,312,338
|
1,302,854
|
|
TBA, 6.00%, 6/15/2055 (a)
|
478,300
|
482,860
|
|
TBA, 6.50%, 6/15/2055 (a)
|
275,000
|
280,787
|
|
TBA, 5.50%, 7/15/2055 (a)
|
244,390
|
242,395
|
|
TBA, 6.00%, 7/15/2055 (a)
|
473,100
|
476,908
|
|
Nautical Solutions , 9.20%, 8/1/2031 ‡
|
22,998
|
22,998
|
|
Oneslt , 8.00%, 12/15/2030 ‡
|
10,478
|
10,478
|
|
P4 SFR , 9.25%, 10/11/2026 ‡
|
7,700
|
7,585
|
|
Total Mortgage-Backed Securities
(Cost $4,564,534)
|
|
4,567,354
|
|
Commercial Mortgage-Backed Securities — 24.0%
|
||
|
20 Times Square Trust Series 2018-20TS, Class F, 3.10%, 5/15/2035 (b) (c)
|
600
|
480
|
|
Acrc 3.75%, 11/15/2026 ‡ (b)
|
25,667
|
24,640
|
|
Areit Frn 9.17%, 10/17/2025 ‡ (b) (c)
|
29,000
|
28,623
|
|
BANK
|
|
|
|
Series 2019-BN16, Class D, 3.00%, 2/15/2052 (b)
|
8,795
|
6,903
|
|
Series 2019-BN16, Class F, 3.68%, 2/15/2052 (b) (c)
|
3,000
|
1,330
|
|
Series 2019-BN17, Class D, 3.00%, 4/15/2052 (b)
|
2,800
|
2,330
|
|
Series 2019-BN17, Class E, 3.00%, 4/15/2052 (b)
|
2,500
|
1,924
|
|
Series 2019-BN21, Class E, 2.50%, 10/17/2052 (b)
|
8,600
|
5,512
|
|
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (b)
|
2,841
|
1,483
|
|
Series 2019-BN23, Class XA, IO, 0.68%, 12/15/2052 (c)
|
38,243
|
984
|
|
Series 2020-BN29, Class D, 2.50%, 11/15/2053 (b)
|
5,000
|
3,697
|
|
Series 2020-BN29, Class E, 2.50%, 11/15/2053 (b)
|
3,500
|
2,400
|
|
Series 2020-BN30, Class D, 2.50%, 12/15/2053 (b) (c)
|
5,231
|
3,897
|
|
Series 2020-BN30, Class E, 2.50%, 12/15/2053 (b) (c)
|
4,145
|
2,870
|
|
Series 2017-BNK9, Class D, 2.80%, 11/15/2054 (b)
|
2,149
|
1,430
|
|
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 (b) (c)
|
1,000
|
868
|
|
Series 2017-BNK5, Class C, 4.21%, 6/15/2060 (c)
|
2,050
|
1,959
|
|
Series 2017-BNK6, Class D, 3.10%, 7/15/2060 (b)
|
3,195
|
2,595
|
|
Series 2018-BN14, Class XB, IO, 0.09%, 9/15/2060 (c)
|
132,263
|
383
|
|
Series 2017-BNK7, Class D, 2.71%, 9/15/2060 (b)
|
3,000
|
2,204
|
|
Series 2018-BN14, Class F, 3.94%, 9/15/2060 (b)
|
1,000
|
520
|
|
Series 2018-BN10, Class D, 2.60%, 2/15/2061 (b)
|
1,500
|
1,283
|
|
Series 2018-BN12, Class D, 3.00%, 5/15/2061 (b)
|
1,250
|
943
|
|
Series 2018-BN13, Class D, 3.00%, 8/15/2061 (b)
|
2,000
|
1,425
|
|
Series 2019-BN19, Class C, 4.03%, 8/15/2061 (c)
|
2,500
|
1,825
|
|
Series 2018-BN15, Class E, 3.00%, 11/15/2061 (b)
|
2,000
|
1,500
|
|
Series 2019-BN18, Class E, 3.00%, 5/15/2062 (b)
|
2,150
|
1,126
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2019-BN20, Class XA, IO, 0.81%, 9/15/2062 (c)
|
48,755
|
1,449
|
|
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (b)
|
6,721
|
4,146
|
|
Series 2019-BN20, Class E, 2.50%, 9/15/2062 (b)
|
8,600
|
4,444
|
|
Series 2019-BN24, Class XA, IO, 0.63%, 11/15/2062 (c)
|
98,135
|
2,493
|
|
Series 2019-BN22, Class D, 2.50%, 11/15/2062 (b)
|
4,250
|
3,322
|
|
Series 2019-BN24, Class D, 2.50%, 11/15/2062 (b)
|
7,380
|
5,748
|
|
Series 2020-BN25, Class E, 2.50%, 1/15/2063 (b)
|
4,250
|
2,913
|
|
Series 2020-BN26, Class D, 2.50%, 3/15/2063 (b)
|
3,250
|
2,452
|
|
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (b)
|
5,520
|
3,481
|
|
Series 2020-BN26, Class AS, 2.69%, 3/15/2063
|
7,278
|
6,358
|
|
Series 2021-BN33, Class D, 2.50%, 5/15/2064 (b)
|
3,700
|
2,667
|
|
Series 2021-BN33, Class E, 2.50%, 5/15/2064 (b)
|
3,850
|
2,483
|
|
Series 2021-BN35, Class XB, IO, 0.60%, 6/15/2064 (c)
|
40,000
|
1,307
|
|
Series 2021-BN35, Class E, 2.50%, 6/15/2064 (b) (c)
|
5,300
|
3,437
|
|
BANK5
|
|
|
|
Series 2023-5YR1, Class A3, 6.26%, 4/15/2056 (c)
|
26,446
|
27,377
|
|
Series 2023-5YR3, Class A2, 6.26%, 9/15/2056
|
19,625
|
20,315
|
|
Series 2023-5YR4, Class A3, 6.50%, 12/15/2056
|
6,665
|
6,994
|
|
Barclays Commercial Mortgage Trust Series 2019-C4, Class D, 3.25%, 8/15/2052 (b)
|
8,451
|
5,114
|
|
BBCMS Mortgage Trust
|
|
|
|
Series 2018-TALL, Class E, 6.96%, 3/15/2037 (b) (c)
|
6,000
|
4,742
|
|
Series 2017-C1, Class D, 3.54%, 2/15/2050 (b) (c)
|
1,000
|
657
|
|
Series 2021-C11, Class XB, IO, 0.96%, 9/15/2054 (c)
|
30,040
|
1,597
|
|
Series 2021-C11, Class XA, IO, 1.35%, 9/15/2054 (c)
|
158,171
|
9,055
|
|
Series 2023-C22, Class A5, 6.80%, 11/15/2056 (c)
|
7,100
|
7,844
|
|
Series 2023-5C23, Class A3, 6.68%, 12/15/2056 (c)
|
15,110
|
15,948
|
|
Benchmark Mortgage Trust
|
|
|
|
Series 2018-B1, Class D, 2.75%, 1/15/2051 (b)
|
2,000
|
1,032
|
|
Series 2018-B1, Class C, 4.20%, 1/15/2051 (c)
|
1,000
|
834
|
|
Series 2018-B2, Class XA, IO, 0.45%, 2/15/2051 (c)
|
33,155
|
304
|
|
Series 2018-B8, Class D, 3.00%, 1/15/2052 (b)
|
3,050
|
2,125
|
|
Series 2019-B9, Class D, 3.00%, 3/15/2052 (b)
|
2,000
|
1,258
|
|
Series 2019-B9, Class F, 3.74%, 3/15/2052 (b) (c)
|
6,000
|
2,303
|
|
Series 2019-B11, Class D, 3.00%, 5/15/2052 (b)
|
1,900
|
931
|
|
Series 2020-B16, Class E, 2.50%, 2/15/2053 (b)
|
7,250
|
4,712
|
|
Series 2020-B21, Class E, 2.00%, 12/17/2053 (b)
|
2,500
|
1,363
|
|
Series 2024-V7, Class A3, 6.23%, 5/15/2056 (c)
|
27,131
|
28,473
|
|
Series 2023-V3, Class A3, 6.36%, 7/15/2056 (c)
|
278
|
290
|
|
Series 2024-V5, Class A3, 5.81%, 1/10/2057
|
4,133
|
4,268
|
|
Series 2024-V9, Class A3, 5.60%, 8/15/2057
|
15,500
|
15,930
|
|
Series 2019-B14, Class E, 2.50%, 12/15/2062 (b)
|
3,000
|
917
|
|
Series 2019-B15, Class E, 2.75%, 12/15/2072 (b)
|
9,150
|
4,834
|
|
BHMS Series 2018-ATLS, Class A, 5.88%, 7/15/2035 (b) (c)
|
27,095
|
27,097
|
|
BMARK Series 2023-V4, Class A3, 6.84%, 11/15/2056 (c)
|
28,900
|
30,522
|
|
BMD2 Re-REMIC Trust
|
|
|
|
Series 2019-FRR1, Class 3AB, PO, 5/25/2052 ‡ (b)
|
10,499
|
8,776
|
|
Series 2019-FRR1, Class 4A, PO, 5/25/2052 ‡ (b)
|
5,000
|
3,847
|
|
Series 2019-FRR1, Class 1A5, 8.64%, 5/25/2052 (b) (c)
|
525
|
522
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
BMO Mortgage Trust
|
|
|
|
Series 2022-C1, Class XA, IO, 0.47%, 2/17/2055 (c)
|
78,718
|
1,855
|
|
Series 2023-C5, Class A5, 5.77%, 6/15/2056
|
17,900
|
18,484
|
|
Series 2023-5C1, Class A3, 6.53%, 8/15/2056 (c)
|
39,786
|
41,673
|
|
Series 2023-5C2, Class A3, 7.05%, 11/15/2056 (c)
|
27,530
|
29,384
|
|
Series 2023-C7, Class A5, 6.16%, 12/15/2056
|
10,900
|
11,571
|
|
Series 2024-5C3, Class A3, 5.74%, 2/15/2057
|
18,530
|
19,072
|
|
Series 2024-5C4, Class A3, 6.53%, 5/15/2057 (c)
|
24,700
|
26,125
|
|
Series 2024-C9, Class XA, IO, 0.86%, 7/15/2057 (c)
|
80,083
|
5,202
|
|
Series 2024-C9, Class A5, 5.76%, 7/15/2057
|
10,710
|
11,093
|
|
Series 2024-5C6, Class A3, 5.32%, 9/15/2057
|
10,200
|
10,368
|
|
Series 2024-C10, Class XA, IO, 0.61%, 11/15/2057 (c)
|
386,690
|
19,493
|
|
Series 2024-5C7, Class XA, IO, 0.93%, 11/15/2057 (b) (c)
|
91,980
|
3,393
|
|
Series 2024-5C7, Class A3, 5.57%, 11/15/2057 (c)
|
7,000
|
7,189
|
|
Series 2024-5C7, Class AS, 5.89%, 11/15/2057 (c)
|
1,550
|
1,595
|
|
BX
|
|
|
|
Series 2021-MFM1, Class E, 6.69%, 1/15/2034 (b) (c)
|
2,275
|
2,268
|
|
Series 2021-MFM1, Class F, 7.44%, 1/15/2034 (b) (c)
|
1,400
|
1,394
|
|
BX Commercial Mortgage Trust
|
|
|
|
Series 2024-MF, Class A, 5.77%, 2/15/2039 (b) (c)
|
7,943
|
7,952
|
|
Series 2024-MF, Class B, 6.02%, 2/15/2039 (b) (c)
|
3,223
|
3,227
|
|
Series 2024-AIR2, Class A, 5.82%, 10/15/2041 (b) (c)
|
3,357
|
3,360
|
|
BX Mortgage Trust
|
|
|
|
Series 2025-BIO3, Class C, 6.96%, 2/10/2042 (b) (c)
|
15,700
|
15,732
|
|
Series 2025-BIO3, Class D, 6.96%, 2/10/2042 (b) (c)
|
7,900
|
7,616
|
|
Cantor Commercial Real Estate Lending Series 2019-CF2, Class E, 2.50%, 11/15/2052 (b)
|
2,300
|
1,737
|
|
Cascade Funding Mortgage Trust
|
|
|
|
Series 2021-FRR1, Class CKW1, 0.00%, 1/29/2026 (b)
|
8,200
|
7,735
|
|
Series 2021-FRR1, Class BK54, 0.00%, 2/28/2026 (b)
|
20,000
|
18,972
|
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (b)
|
6,700
|
6,288
|
|
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (b)
|
2,500
|
2,324
|
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (b)
|
6,970
|
5,217
|
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (b)
|
8,000
|
6,235
|
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (b)
|
14,000
|
9,960
|
|
Series 2021-FRR1, Class BK58, 2.40%, 9/29/2029 (b) (c)
|
11,000
|
10,323
|
|
CD Mortgage Trust
|
|
|
|
Series 2016-CD1, Class C, 3.63%, 8/10/2049 (c)
|
3,000
|
1,971
|
|
Series 2017-CD3, Class D, 3.25%, 2/10/2050 (b)
|
700
|
146
|
|
Series 2017-CD4, Class D, 3.30%, 5/10/2050 (b)
|
3,550
|
2,923
|
|
Series 2017-CD5, Class D, 3.35%, 8/15/2050 (b)
|
266
|
237
|
|
Series 2017-CD6, Class C, 4.27%, 11/13/2050 (c)
|
914
|
855
|
|
Series 2018-CD7, Class D, 3.09%, 8/15/2051 (b) (c)
|
1,629
|
1,297
|
|
Series 2018-CD7, Class C, 4.84%, 8/15/2051 (c)
|
2,700
|
2,471
|
|
Series 2019-CD8, Class XB, IO, 0.70%, 8/15/2057 (b) (c)
|
78,512
|
2,019
|
|
Series 2019-CD8, Class E, 3.00%, 8/15/2057 (b)
|
1,910
|
1,019
|
|
CFCRE Commercial Mortgage Trust
|
|
|
|
Series 2016-C6, Class C, 4.17%, 11/10/2049 (c)
|
800
|
710
|
|
Series 2016-C6, Class D, 4.17%, 11/10/2049 (b) (c)
|
1,900
|
1,490
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
CGMS Commercial Mortgage Trust
|
|
|
|
Series 2017-B1, Class D, 3.00%, 8/15/2050 (b)
|
4,359
|
3,615
|
|
Series 2017-B1, Class E, 3.30%, 8/15/2050 (b) (c)
|
809
|
501
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
Series 2012-GC8, Class D, 5.12%, 9/10/2045 (b) (c)
|
1,875
|
1,125
|
|
Series 2014-GC25, Class D, 3.55%, 10/10/2047 (b)
|
3,750
|
2,034
|
|
Series 2015-GC29, Class D, 3.11%, 4/10/2048 (b)
|
8,955
|
6,280
|
|
Series 2015-GC31, Class D, 3.94%, 6/10/2048 (c)
|
3,800
|
424
|
|
Series 2015-P1, Class D, 3.23%, 9/15/2048 (b)
|
2,285
|
2,097
|
|
Series 2016-GC36, Class C, 4.75%, 2/10/2049 (c)
|
1,000
|
811
|
|
Series 2016-P3, Class B, 4.27%, 4/15/2049 (c)
|
1,200
|
1,118
|
|
Series 2016-P4, Class C, 3.94%, 7/10/2049 (c)
|
3,624
|
3,321
|
|
Series 2016-C2, Class D, 3.25%, 8/10/2049 (b) (c)
|
1,500
|
1,373
|
|
Series 2016-C3, Class D, 3.00%, 11/15/2049 (b)
|
1,500
|
1,149
|
|
Series 2016-P6, Class D, 3.25%, 12/10/2049 (b)
|
2,000
|
1,457
|
|
Series 2017-C4, Class D, 3.00%, 10/12/2050 (b)
|
5,453
|
4,562
|
|
Series 2019-GC43, Class E, 3.00%, 11/10/2052 (b)
|
9,287
|
5,207
|
|
Series 2020-GC46, Class E, 2.60%, 2/15/2053 (b)
|
4,500
|
2,236
|
|
Series 2015-GC33, Class D, 3.17%, 9/10/2058
|
9,000
|
5,132
|
|
Series 2015-GC33, Class E, 4.57%, 9/10/2058 (b) (c)
|
4,330
|
2,073
|
|
COMM Mortgage Trust
|
|
|
|
Series 2024-CBM, Class A1, 5.66%, 12/10/2041 (b) (c)
|
14,250
|
14,247
|
|
Series 2024-CBM, Class A2, 5.87%, 12/10/2041 (b) (c)
|
5,484
|
5,541
|
|
Series 2024-CBM, Class B, 6.51%, 12/10/2041 (b) (c)
|
5,976
|
6,027
|
|
Series 2018-COR3, Class B, 4.52%, 5/10/2051 (c)
|
2,000
|
1,651
|
|
Commercial Mortgage Trust
|
|
|
|
Series 2013-CR13, Class E, 4.94%, 11/10/2046 (b) (c)
|
1,500
|
165
|
|
Series 2014-CR14, Class C, 3.71%, 2/10/2047 (c)
|
1,000
|
947
|
|
Series 2014-UBS2, Class D, 4.75%, 3/10/2047 (b) (c)
|
1,865
|
1,309
|
|
Series 2014-LC15, Class D, 4.77%, 4/10/2047 (b) (c)
|
1,554
|
1,512
|
|
Series 2014-CR19, Class E, 4.01%, 8/10/2047 (b) (c)
|
6,000
|
5,372
|
|
Series 2014-CR19, Class D, 4.51%, 8/10/2047 (b) (c)
|
942
|
903
|
|
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 (b)
|
4,760
|
3,275
|
|
Series 2014-LC17, Class D, 3.69%, 10/10/2047 (b)
|
12,678
|
12,091
|
|
Series 2014-CR20, Class D, 3.22%, 11/10/2047 (b)
|
3,700
|
2,786
|
|
Series 2014-CR21, Class D, 4.16%, 12/10/2047 (b) (c)
|
62
|
61
|
|
Series 2015-LC19, Class D, 2.87%, 2/10/2048 (b)
|
3,000
|
2,709
|
|
Series 2015-CR22, Class D, 3.89%, 3/10/2048 (b) (c)
|
4,174
|
3,151
|
|
Series 2015-LC21, Class E, 3.25%, 7/10/2048 (b)
|
3,000
|
1,970
|
|
Series 2015-LC21, Class D, 4.31%, 7/10/2048 (c)
|
4,200
|
3,759
|
|
Series 2015-CR24, Class D, 3.46%, 8/10/2048 (c)
|
1,458
|
1,205
|
|
Series 2015-CR25, Class D, 3.75%, 8/10/2048 (c)
|
1,000
|
935
|
|
Series 2015-CR27, Class D, 3.45%, 10/10/2048 (b) (c)
|
2,072
|
1,753
|
|
Series 2015-LC23, Class D, 3.54%, 10/10/2048 (b) (c)
|
2,000
|
1,718
|
|
Series 2015-LC23, Class E, 3.54%, 10/10/2048 (b) (c)
|
3,500
|
2,852
|
|
Series 2016-CR28, Class E, 4.09%, 2/10/2049 (b) (c)
|
3,588
|
2,871
|
|
Series 2016-DC2, Class C, 4.68%, 2/10/2049 (c)
|
2,500
|
2,445
|
|
Series 2016-COR1, Class XB, IO, 0.42%, 10/10/2049 (b) (c)
|
27,554
|
105
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2016-COR1, Class C, 4.32%, 10/10/2049 (c)
|
1,000
|
849
|
|
Series 2013-CR11, Class D, 4.46%, 8/10/2050 (b) (c)
|
2,694
|
2,576
|
|
Series 2018-COR3, Class D, 2.81%, 5/10/2051 (b) (c)
|
3,250
|
1,210
|
|
Series 2019-GC44, Class E, 2.50%, 8/15/2057 (b)
|
8,493
|
5,463
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
Series 2015-C4, Class E, 3.57%, 11/15/2048 (c)
|
3,298
|
3,105
|
|
Series 2016-C5, Class D, 3.62%, 11/15/2048 (b) (c)
|
2,750
|
2,520
|
|
Series 2017-CX10, Class AS, 3.67%, 11/15/2050 (c)
|
7,000
|
6,619
|
|
Series 2018-CX11, Class C, 4.78%, 4/15/2051 (c)
|
6,734
|
6,281
|
|
Series 2019-C16, Class XA, IO, 1.53%, 6/15/2052 (c)
|
71,476
|
3,557
|
|
Series 2019-C17, Class D, 2.50%, 9/15/2052 (b)
|
5,500
|
2,729
|
|
Series 2019-C18, Class XB, IO, 0.16%, 12/15/2052 (c)
|
61,932
|
427
|
|
Series 2019-C18, Class XA, IO, 0.99%, 12/15/2052 (c)
|
45,364
|
1,548
|
|
Series 2020-C19, Class D, 2.50%, 3/15/2053 (b)
|
4,450
|
2,400
|
|
Series 2021-C20, Class E, 2.25%, 3/15/2054 (b)
|
5,659
|
3,505
|
|
Series 2015-C2, Class B, 4.21%, 6/15/2057 (c)
|
4,068
|
3,916
|
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (b)
|
12,636
|
9,649
|
|
DBGS Mortgage Trust Series 2018-C1, Class D, 2.89%, 10/15/2051 (b) (c)
|
1,000
|
683
|
|
DBJPM Mortgage Trust
|
|
|
|
Series 2016-C3, Class D, 3.48%, 8/10/2049 (b) (c)
|
2,950
|
2,040
|
|
Series 2016-C3, Class E, 4.23%, 8/10/2049 (b) (c)
|
1,250
|
646
|
|
Series 2017-C6, Class D, 3.23%, 6/10/2050 (b) (c)
|
1,800
|
1,400
|
|
ELM Trust Series 2024-ELM, Class C10, 6.19%, 6/10/2039 (b) (c)
|
12,915
|
12,956
|
|
FHLMC
|
|
|
|
Series 2023-MN7, Class M1, 7.92%, 9/25/2043 (b) (c)
|
3,591
|
3,672
|
|
Series 2023-MN7, Class M2, 10.02%, 9/25/2043 (b) (c)
|
10,000
|
10,389
|
|
Series 2023-MN7, Class B1, 13.17%, 9/25/2043 (b) (c)
|
11,000
|
12,266
|
|
Series 2024-MN8, Class M1, 7.17%, 5/25/2044 (b) (c)
|
4,909
|
4,960
|
|
Series 2024-MN8, Class M2, 8.57%, 5/25/2044 (b) (c)
|
12,025
|
12,577
|
|
Series 2024-MN8, Class B1, 11.67%, 5/25/2044 (b) (c)
|
8,300
|
9,027
|
|
Series 2025-MN10, Class M1, 6.37%, 2/25/2045 (b) (c)
|
11,445
|
11,330
|
|
Series 2025-MN10, Class M2, 7.17%, 2/25/2045 (b) (c)
|
6,900
|
6,857
|
|
Series 2025-MN10, Class B1, 9.27%, 2/25/2045 (b) (c)
|
820
|
814
|
|
FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.49%, 2/25/2040 (b) (c)
|
54,963
|
5,933
|
|
FHLMC, Multi-Class Certificates
|
|
|
|
Series 2020-RR11, Class BX, IO, 2.44%, 12/27/2028 (c)
|
15,009
|
603
|
|
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029
|
38,620
|
2,387
|
|
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (c)
|
31,381
|
4,305
|
|
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (c)
|
40,000
|
2,641
|
|
Series 2023-RR21, Class X, IO, 3.39%, 4/27/2036 (c)
|
186,283
|
39,452
|
|
Series 2021-P011, Class X1, IO, 1.76%, 9/25/2045 (c)
|
9,551
|
1,027
|
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
|
Series 2021-MN2, Class M2, 7.67%, 7/25/2041 (b) (c)
|
14,070
|
14,070
|
|
Series 2021-MN2, Class B1, 9.82%, 7/25/2041 (b) (c)
|
2,000
|
2,005
|
|
Series 2024-MN9, Class M1, 6.77%, 10/25/2044 (b) (c)
|
2,097
|
2,100
|
|
Series 2021-MN1, Class M1, 6.32%, 1/25/2051 (b) (c)
|
396
|
394
|
|
Series 2021-MN1, Class M2, 8.07%, 1/25/2051 (b) (c)
|
14,640
|
14,905
|
|
Series 2021-MN1, Class B1, 12.07%, 1/25/2051 (b) (c)
|
2,100
|
2,287
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2021-MN3, Class M2, 8.32%, 11/25/2051 (b) (c)
|
18,800
|
19,387
|
|
Series 2021-MN3, Class B1, 11.17%, 11/25/2051 (b) (c)
|
3,500
|
3,707
|
|
Series 2022-MN4, Class M2, 10.82%, 5/25/2052 (b) (c)
|
2,000
|
2,251
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K053, Class X1, IO, 0.87%, 12/25/2025 (c)
|
54,156
|
191
|
|
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (c)
|
35,735
|
213
|
|
Series K734, Class X3, IO, 2.16%, 7/25/2026 (c)
|
30,250
|
506
|
|
Series KC04, Class X1, IO, 1.25%, 12/25/2026 (c)
|
42,354
|
524
|
|
Series K064, Class X3, IO, 2.14%, 5/25/2027 (c)
|
18,830
|
708
|
|
Series KC05, Class X1, IO, 1.20%, 6/25/2027 (c)
|
143,118
|
2,144
|
|
Series K740, Class X1, IO, 0.73%, 9/25/2027 (c)
|
114,196
|
1,607
|
|
Series K742, Class X1, IO, 0.77%, 3/25/2028 (c)
|
28,556
|
353
|
|
Series K742, Class X3, IO, 2.59%, 4/25/2028 (c)
|
16,000
|
1,078
|
|
Series K743, Class X1, IO, 0.91%, 5/25/2028 (c)
|
3,933
|
91
|
|
Series K075, Class X3, IO, 2.13%, 5/25/2028 (c)
|
5,471
|
282
|
|
Series K080, Class X1, IO, 0.12%, 7/25/2028 (c)
|
138,211
|
611
|
|
Series K084, Class X3, IO, 2.24%, 11/25/2028 (c)
|
19,450
|
1,361
|
|
Series K091, Class X1, IO, 0.56%, 3/25/2029 (c)
|
8,885
|
168
|
|
Series K749, Class XAM, IO, 0.22%, 4/25/2029 (c)
|
100,000
|
946
|
|
Series KW09, Class X1, IO, 0.78%, 5/25/2029 (c)
|
140,784
|
3,189
|
|
Series K095, Class XAM, IO, 1.24%, 6/25/2029 (c)
|
9,000
|
411
|
|
Series K528, Class X1, IO, 0.82%, 7/25/2029 (c)
|
67,000
|
2,112
|
|
Series KG02, Class X1, IO, 1.02%, 8/25/2029 (c)
|
23,810
|
773
|
|
Series K100, Class X1, IO, 0.65%, 9/25/2029 (c)
|
229,831
|
5,483
|
|
Series K101, Class X3, IO, 1.89%, 10/25/2029 (c)
|
81,000
|
5,886
|
|
Series K090, Class X3, IO, 2.31%, 10/25/2029 (c)
|
147,080
|
11,771
|
|
Series K104, Class X1, IO, 1.11%, 1/25/2030 (c)
|
6,680
|
283
|
|
Series K105, Class X1, IO, 1.52%, 1/25/2030 (c)
|
64,577
|
3,705
|
|
Series K107, Class X1, IO, 1.59%, 1/25/2030 (c)
|
87,827
|
5,337
|
|
Series K109, Class X1, IO, 1.57%, 4/25/2030 (c)
|
39,148
|
2,412
|
|
Series K110, Class X1, IO, 1.64%, 4/25/2030 (c)
|
87,552
|
5,539
|
|
Series K117, Class X1, IO, 1.22%, 8/25/2030 (c)
|
87,394
|
4,494
|
|
Series K119, Class X1, IO, 0.92%, 9/25/2030 (c)
|
34,446
|
1,369
|
|
Series K122, Class X1, IO, 0.87%, 11/25/2030 (c)
|
36,953
|
1,414
|
|
Series K124, Class X1, IO, 0.72%, 12/25/2030 (c)
|
65,360
|
2,140
|
|
Series K123, Class X1, IO, 0.77%, 12/25/2030 (c)
|
12,566
|
428
|
|
Series K124, Class XAM, IO, 0.94%, 1/25/2031 (c)
|
17,689
|
805
|
|
Series K128, Class X1, IO, 0.51%, 3/25/2031 (c)
|
95,212
|
2,271
|
|
Series K129, Class X3, IO, 3.16%, 5/25/2031 (c)
|
26,500
|
4,032
|
|
Series K130, Class X1, IO, 1.04%, 6/25/2031 (c)
|
29,853
|
1,500
|
|
Series K131, Class X1, IO, 0.73%, 7/25/2031 (c)
|
18,878
|
696
|
|
Series K131, Class X3, IO, 2.95%, 9/25/2031 (c)
|
19,369
|
2,792
|
|
Series KG06, Class X1, IO, 0.53%, 10/25/2031 (c)
|
56,062
|
1,522
|
|
Series K136, Class X1, IO, 0.39%, 12/25/2031 (c)
|
98,969
|
1,812
|
|
Series K140, Class X1, IO, 0.29%, 1/25/2032 (c)
|
170,099
|
2,968
|
|
Series K-150, Class X1, IO, 0.31%, 9/25/2032 (c)
|
24,946
|
535
|
|
Series K-154, Class X1, IO, 0.35%, 1/25/2033 (c)
|
10,894
|
279
|
|
Series K-161, Class X3, IO, 5.48%, 11/25/2033 (c)
|
8,038
|
2,708
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series KX04, Class XFX, IO, 1.66%, 1/25/2034 (c)
|
69,890
|
3,149
|
|
Series K-1514, Class X1, IO, 0.58%, 10/25/2034 (c)
|
49,045
|
1,932
|
|
Series K-1512, Class X3, IO, 3.15%, 10/25/2034 (c)
|
7,134
|
1,526
|
|
Series K-1515, Class X1, IO, 1.51%, 2/25/2035 (c)
|
19,748
|
1,953
|
|
Series Q012, Class X, IO, 4.02%, 9/25/2035 (c)
|
28,401
|
4,273
|
|
Series K-1518, Class X1, IO, 0.86%, 10/25/2035 (c)
|
14,598
|
870
|
|
Series K-1521, Class X1, IO, 0.98%, 8/25/2036 (c)
|
17,829
|
1,337
|
|
Series K-1510, Class X3, IO, 3.40%, 1/25/2037 (c)
|
200
|
43
|
|
Series K-1513, Class X3, IO, 2.93%, 12/25/2037 (c)
|
12,475
|
2,471
|
|
Series K-1515, Class X3, IO, 3.68%, 3/25/2038 (c)
|
6,000
|
1,539
|
|
Series K-1516, Class X3, IO, 3.46%, 10/25/2038 (c)
|
2,500
|
614
|
|
Series K-1521, Class X3, IO, 3.35%, 9/25/2039 (c)
|
10,834
|
2,766
|
|
Series K067, Class X3, IO, 2.11%, 9/25/2044 (c)
|
91,000
|
3,895
|
|
Series 2024-MN9, Class M2, 7.57%, 10/25/2044 (b) (c)
|
7,900
|
7,959
|
|
Series 2024-MN9, Class B1, 10.32%, 10/25/2044 (b) (c)
|
2,000
|
2,066
|
|
Series K070, Class X3, IO, 2.04%, 12/25/2044 (c)
|
42,245
|
1,978
|
|
Series K724, Class X3, IO, 3.82%, 12/25/2044 (c)
|
95
|
—
|
|
Series K730, Class X3, IO, 3.83%, 2/25/2045 (c)
|
4,020
|
—
|
|
Series K065, Class X3, IO, 2.19%, 7/25/2045 (c)
|
13,000
|
534
|
|
Series K066, Class X3, IO, 2.16%, 8/25/2045 (c)
|
25,000
|
1,089
|
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (c)
|
20,640
|
1,042
|
|
Series K087, Class X3, IO, 2.28%, 1/25/2046 (c)
|
87,707
|
6,177
|
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (c)
|
132,506
|
9,900
|
|
Series K091, Class X3, IO, 2.28%, 4/25/2046 (c)
|
81,933
|
6,618
|
|
Series K078, Class X3, IO, 2.21%, 6/25/2046 (c)
|
2,680
|
158
|
|
Series K079, Class X3, IO, 2.26%, 7/25/2046 (c)
|
9,000
|
543
|
|
Series K097, Class X3, IO, 2.02%, 9/25/2046 (c)
|
93,876
|
6,869
|
|
Series K081, Class X3, IO, 2.23%, 9/25/2046 (c)
|
29,425
|
1,934
|
|
Series K082, Class X3, IO, 2.21%, 10/25/2046 (c)
|
49,000
|
3,362
|
|
Series K083, Class X3, IO, 2.29%, 11/25/2046 (c)
|
15,000
|
1,059
|
|
Series K103, Class X3, IO, 1.85%, 12/25/2046 (c)
|
80,100
|
5,679
|
|
Series K102, Class X3, IO, 1.89%, 12/25/2046 (c)
|
69,791
|
5,000
|
|
Series K104, Class X3, IO, 1.89%, 2/25/2047 (c)
|
45,985
|
3,490
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (c)
|
94,987
|
7,185
|
|
Series K735, Class X3, IO, 2.15%, 5/25/2047 (c)
|
40,000
|
788
|
|
Series K093, Class X3, IO, 2.21%, 5/25/2047 (c)
|
136,527
|
10,371
|
|
Series K092, Class X3, IO, 2.25%, 5/25/2047 (c)
|
103,000
|
7,984
|
|
Series K094, Class X3, IO, 2.12%, 7/25/2047 (c)
|
35,331
|
2,731
|
|
Series K095, Class X3, IO, 2.10%, 8/25/2047 (c)
|
91,253
|
6,919
|
|
Series K736, Class X3, IO, 2.00%, 9/25/2047 (c)
|
89,230
|
1,887
|
|
Series K116, Class X3, IO, 3.02%, 9/25/2047 (c)
|
23,000
|
2,936
|
|
Series K099, Class X3, IO, 1.95%, 10/25/2047 (c)
|
49,100
|
3,456
|
|
Series K098, Class X3, IO, 2.00%, 10/25/2047 (c)
|
145,702
|
10,505
|
|
Series K740, Class X3, IO, 2.48%, 11/25/2047 (c)
|
21,423
|
1,103
|
|
Series K737, Class X3, IO, 1.78%, 1/25/2048 (c)
|
74,853
|
1,879
|
|
Series K106, Class X3, IO, 1.91%, 3/25/2048 (c)
|
100,622
|
7,373
|
|
Series K105, Class X3, IO, 1.92%, 3/25/2048 (c)
|
118,746
|
9,478
|
|
Series K111, Class X3, IO, 3.18%, 4/25/2048 (c)
|
52,234
|
6,969
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series K108, Class X3, IO, 3.49%, 4/25/2048 (c)
|
63,492
|
8,678
|
|
Series K738, Class X3, IO, 3.32%, 5/25/2048 (c)
|
71,537
|
3,951
|
|
Series K109, Class X3, IO, 3.38%, 5/25/2048 (c)
|
13,770
|
1,918
|
|
Series K110, Class X3, IO, 3.37%, 6/25/2048 (c)
|
28,200
|
3,869
|
|
Series K112, Class X3, IO, 3.00%, 7/25/2048 (c)
|
47,630
|
6,054
|
|
Series K114, Class X3, IO, 2.74%, 8/25/2048 (c)
|
10,750
|
1,208
|
|
Series K119, Class X3, IO, 2.73%, 9/25/2048 (c)
|
8,000
|
982
|
|
Series K117, Class X3, IO, 2.87%, 10/25/2048 (c)
|
36,500
|
4,502
|
|
Series K120, Class X3, IO, 2.74%, 11/25/2048 (c)
|
38,372
|
4,575
|
|
Series K121, Class X3, IO, 2.77%, 11/25/2048 (c)
|
52,192
|
6,481
|
|
Series K739, Class X3, IO, 2.80%, 11/25/2048 (c)
|
39,675
|
2,120
|
|
Series K122, Class X3, IO, 2.63%, 1/25/2049 (c)
|
36,631
|
4,242
|
|
Series K126, Class X3, IO, 2.63%, 1/25/2049 (c)
|
39,727
|
4,889
|
|
Series K127, Class X3, IO, 2.65%, 3/25/2049 (c)
|
8,066
|
980
|
|
Series K743, Class X3, IO, 2.95%, 6/25/2049 (c)
|
5,000
|
384
|
|
Series K147, Class X3, IO, 3.80%, 6/25/2050 (c)
|
15,000
|
3,102
|
|
Series K096, Class X3, IO, 2.04%, 8/25/2051 (c)
|
48,669
|
3,407
|
|
Series K148, Class X3, IO, 4.15%, 8/25/2054 (c)
|
18,414
|
4,264
|
|
Series Q014, Class X, IO, 2.78%, 10/25/2055 (c)
|
5,188
|
756
|
|
Series K-152, Class X3, IO, 4.33%, 11/25/2055 (c)
|
2,625
|
648
|
|
Series K759, Class X3, IO, 5.26%, 2/25/2057 (c)
|
4,589
|
1,283
|
|
FHLMC, Multi-Family, Structured Pass-Through Certificates Series K-153, Class X1,
IO, 0.44%, 12/25/2032 (c)
|
21,991
|
671
|
|
FNMA ACES
|
|
|
|
Series 2016-M12, Class X2, IO, 0.03%, 9/25/2026 (c)
|
63,848
|
10
|
|
Series 2019-M28, Class XAV3, IO, 1.10%, 2/25/2027 (c)
|
25,705
|
92
|
|
Series 2017-M8, Class X, IO, 0.09%, 5/25/2027 (c)
|
37,715
|
61
|
|
Series 2020-M10, Class X7, IO, 1.66%, 11/25/2027 (c)
|
29,527
|
844
|
|
Series 2020-M26, Class X3, IO, 1.73%, 1/25/2028 (c)
|
20,600
|
398
|
|
Series 2020-M4, Class 1X2, IO, 0.74%, 2/25/2028 (c)
|
13,190
|
208
|
|
Series 2020-M4, Class 1X3, IO, 1.02%, 2/25/2028 (c)
|
72,318
|
1,542
|
|
Series 2020-M33, Class X, IO, 2.00%, 6/25/2028 (c)
|
28,507
|
713
|
|
Series 2019-M30, Class X4, IO, 1.10%, 8/25/2028 (c)
|
19,893
|
36
|
|
Series 2020-M10, Class X6, IO, 1.38%, 8/25/2028 (c)
|
17,840
|
583
|
|
Series 2019-M31, Class X, IO, 1.29%, 9/25/2028 (c)
|
29,125
|
931
|
|
Series 2019-M30, Class X1, IO, 0.27%, 11/25/2028 (c)
|
77,984
|
506
|
|
Series 2020-M10, Class X3, IO, 1.31%, 11/25/2028 (c)
|
45,439
|
1,390
|
|
Series 2020-M10, Class X5, IO, 1.42%, 11/25/2028 (c)
|
52,535
|
1,788
|
|
Series 2019-M12, Class X, IO, 0.56%, 6/25/2029 (c)
|
140,518
|
1,870
|
|
Series 2019-M19, Class X2, IO, 0.61%, 9/25/2029 (c)
|
79,462
|
1,598
|
|
Series 2019-M32, Class X2, IO, 1.12%, 10/25/2029 (c)
|
27,382
|
987
|
|
Series 2019-M30, Class X2, IO, 0.03%, 12/25/2029 (c)
|
98,309
|
204
|
|
Series 2019-M28, Class XA2, IO, 0.22%, 2/25/2030 (c)
|
13,409
|
97
|
|
Series 2020-M3, Class X1, IO, 0.32%, 2/25/2030 (c)
|
15,791
|
172
|
|
Series 2019-M28, Class XA3, IO, 0.61%, 2/25/2030 (c)
|
23,948
|
452
|
|
Series 2020-M6, Class XD, IO, 1.09%, 2/25/2030 (c)
|
5,630
|
112
|
|
Series 2020-M19, Class X1, IO, 0.42%, 5/25/2030 (c)
|
29,021
|
447
|
|
Series 2020-M7, Class X, IO, 1.03%, 7/25/2030 (c)
|
28,951
|
966
|
|
Series 2020-M10, Class X1, IO, 1.77%, 12/25/2030 (c)
|
104,737
|
6,290
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2021-M16, Class X, IO, 0.66%, 1/1/2031 (c)
|
104,304
|
1,276
|
|
Series 2020-M22, Class X, IO, 0.86%, 3/25/2031 (c)
|
71,059
|
1,997
|
|
Series 2020-M39, Class X2, IO, 1.42%, 8/25/2031 (c)
|
36,335
|
1,846
|
|
Series 2022-M2, Class X2, IO, 0.20%, 1/25/2032 (c)
|
65,679
|
686
|
|
Series 2020-M21, Class XA, IO, 1.02%, 3/25/2032 (c)
|
63,552
|
3,204
|
|
Series 2020-M26, Class X1, IO, 0.50%, 4/25/2032 (c)
|
20,811
|
412
|
|
Series 2020-M37, Class X, IO, 0.99%, 4/25/2032 (c)
|
86,483
|
3,284
|
|
Series 2020-M47, Class X1, IO, 0.57%, 10/25/2032 (c)
|
52,072
|
649
|
|
Series 2020-M31, Class X1, IO, 0.84%, 10/25/2032 (c)
|
90,762
|
1,543
|
|
Series 2019-M30, Class X5, IO, 0.33%, 5/25/2033 (c)
|
105,345
|
1,302
|
|
Series 2019-M31, Class X1, IO, 1.03%, 4/25/2034 (c)
|
38,276
|
2,216
|
|
Series 2018-M15, Class X, IO, 0.64%, 1/25/2036 (c)
|
6,425
|
153
|
|
Series 2020-M6, Class XL, IO, 1.06%, 11/25/2049 (c)
|
30,675
|
1,636
|
|
FREMF Series 20K-1517, Class C, PO, 8/25/2035 (b)
|
18,000
|
7,929
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KF38, Class B, 6.97%, 9/25/2024 (b) (c)
|
172
|
172
|
|
Series 2017-KF41, Class B, 6.97%, 11/25/2024 (b) (c)
|
125
|
110
|
|
Series 2018-KF49, Class B, 6.37%, 6/25/2025 (b) (c)
|
222
|
222
|
|
Series 2018-KC02, Class B, 4.18%, 7/25/2025 (b) (c)
|
2,520
|
2,507
|
|
Series 2018-KL3W, Class CW, 4.10%, 8/25/2025 (b) (c)
|
15,000
|
14,820
|
|
Series 2017-KL1P, Class BP, 3.37%, 10/25/2025 (b) (c)
|
11,000
|
10,751
|
|
Series 2018-KF53, Class B, 6.52%, 10/25/2025 (c)
|
492
|
489
|
|
Series 2018-KSL1, Class C, 3.87%, 11/25/2025 ‡ (b) (c)
|
15,000
|
14,849
|
|
Series 2018-KBX1, Class C, 3.51%, 1/25/2026 (b) (c)
|
7,500
|
7,215
|
|
Series 2019-KC03, Class B, 4.33%, 1/25/2026 (b) (c)
|
7,000
|
6,882
|
|
Series 2019-KF58, Class B, 6.62%, 1/25/2026 (b) (c)
|
338
|
335
|
|
Series 2019-KF60, Class B, 6.82%, 2/25/2026 (b) (c)
|
402
|
397
|
|
Series 2019-KC06, Class B, 3.82%, 9/25/2026 (b) (c)
|
7,609
|
7,298
|
|
Series 2016-KF24, Class B, 9.47%, 10/25/2026 (b) (c)
|
60
|
59
|
|
Series 2019-KF72, Class B, 6.57%, 11/25/2026 (b) (c)
|
2,706
|
2,619
|
|
Series 2020-KF74, Class B, 6.62%, 1/25/2027 (b) (c)
|
742
|
723
|
|
Series 2017-KL1E, Class BE, 3.91%, 2/25/2027 (b) (c)
|
9,625
|
8,884
|
|
Series 2017-KF33, Class B, 7.02%, 6/25/2027 (b) (c)
|
3,885
|
3,710
|
|
Series 2017-KF40, Class B, 7.17%, 11/25/2027 (b) (c)
|
124
|
118
|
|
Series 2018-KHG1, Class C, 3.90%, 12/25/2027 (b) (c)
|
26,000
|
24,261
|
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (b)
|
12,000
|
9,612
|
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (b)
|
106,753
|
234
|
|
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (b)
|
16,000
|
40
|
|
Series 2018-KW06, Class B, 4.28%, 6/25/2028 (b) (c)
|
6,326
|
6,030
|
|
Series 21K-F116, Class CS, 10.75%, 6/25/2028 (b) (c)
|
22,993
|
22,865
|
|
Series 2018-KF50, Class B, 6.37%, 7/25/2028 (b) (c)
|
145
|
139
|
|
Series 2021-KHG3, Class BFX, 2.40%, 9/25/2028 (b) (c)
|
11,071
|
9,821
|
|
Series 2018-KF56, Class B, 6.92%, 11/25/2028 (b) (c)
|
258
|
241
|
|
Series 2019-KW08, Class B, 4.24%, 1/25/2029 (b) (c)
|
16,320
|
15,442
|
|
Series 2019-KF57, Class B, 6.72%, 1/25/2029 (b) (c)
|
765
|
729
|
|
Series 2019-KBF3, Class C, 9.22%, 1/25/2029 (b) (c)
|
3,322
|
3,191
|
|
Series 2019-KL05, Class BHG, 4.37%, 2/25/2029 ‡ (b) (c)
|
3,600
|
3,297
|
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (b)
|
10,000
|
8,837
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (b)
|
170,608
|
493
|
|
Series 2019-KG01, Class B, 4.17%, 4/25/2029 (b) (c)
|
3,000
|
2,689
|
|
Series 2019-KF61, Class B, 6.67%, 4/25/2029 (b) (c)
|
1,817
|
1,730
|
|
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (b)
|
242,601
|
634
|
|
Series 2019-KW09, Class B, 4.00%, 5/25/2029 (b) (c)
|
15,670
|
14,424
|
|
Series 2019-KF63, Class B, 6.82%, 5/25/2029 (b) (c)
|
4,071
|
3,658
|
|
Series 2019-KW09, Class C, PO, 6/25/2029 (b)
|
22,210
|
15,786
|
|
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (b)
|
20,000
|
64
|
|
Series 2019-KS11, Class C, 4.82%, 6/25/2029 (b) (c)
|
11,000
|
9,666
|
|
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (b)
|
37,520
|
123
|
|
Series 2019-KC05, Class B, 4.17%, 7/25/2029 (b) (c)
|
16,737
|
14,965
|
|
Series 2019-KF65, Class B, 6.87%, 7/25/2029 (b) (c)
|
3,777
|
3,449
|
|
Series 2019-KF66, Class B, 6.87%, 7/25/2029 (b) (c)
|
1,084
|
1,016
|
|
Series 2019-KF67, Class B, 6.72%, 8/25/2029 (b) (c)
|
2,361
|
2,234
|
|
Series 2019-KF67, Class C, 10.47%, 8/25/2029 (b) (c)
|
7,082
|
6,121
|
|
Series 2019-KF70, Class B, 6.77%, 9/25/2029 (b) (c)
|
790
|
744
|
|
Series 2019-KC07, Class C, 3.63%, 10/25/2029 (b) (c)
|
9,977
|
8,149
|
|
Series 2019-KF71, Class B, 6.77%, 10/25/2029 (b) (c)
|
3,405
|
3,169
|
|
Series 2019-KF73, Class B, 6.92%, 11/25/2029 (b) (c)
|
5,667
|
5,218
|
|
Series 2020-KF75, Class B, 6.72%, 12/25/2029 (b) (c)
|
1,855
|
1,717
|
|
Series 2020-KF76, Class B, 7.22%, 1/25/2030 (b) (c)
|
1,397
|
1,363
|
|
Series 2020-K107, Class D, 3.51%, 2/25/2030 (b) (c)
|
19,000
|
15,119
|
|
Series 2023-K752, Class D, PO, 8/25/2030 (b)
|
13,100
|
8,371
|
|
Series 2023-K752, Class X2B, IO, 0.10%, 8/25/2030 (b)
|
44,900
|
183
|
|
Series 2018-KW07, Class C, PO, 10/25/2031 (b)
|
12,089
|
9,017
|
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (b)
|
127,170
|
247
|
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (b)
|
16,500
|
45
|
|
Series 2018-KW07, Class B, 4.11%, 10/25/2031 (b) (c)
|
1,000
|
889
|
|
Series 2022-KF132, Class CS, 10.75%, 2/25/2032 (b) (c)
|
27,434
|
25,353
|
|
Series 2019-KW10, Class C, PO, 10/25/2032 (b)
|
11,012
|
7,554
|
|
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (b)
|
123,549
|
391
|
|
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (b)
|
14,882
|
50
|
|
Series 2023-KF149, Class CS, 10.50%, 12/25/2032 (b) (c)
|
8,147
|
8,314
|
|
Series 2018-K158, Class B, 4.27%, 10/25/2033 (b) (c)
|
1,750
|
1,504
|
|
Series 19K-1510, Class X2B, IO, 0.10%, 1/25/2034 (b)
|
81,410
|
494
|
|
Series 19K-1511, Class C, PO, 4/25/2034 (b)
|
18,000
|
8,411
|
|
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (b)
|
530,384
|
3,229
|
|
Series 19K-1514, Class C, 0.00%, 10/25/2034 ‡ (b)
|
13,000
|
5,979
|
|
Series 2018-K156, Class X2A, IO, 0.10%, 7/25/2036 (b)
|
147,610
|
758
|
|
Series 2016-K53, Class B, 4.04%, 3/25/2049 (b) (c)
|
69
|
68
|
|
Series 2018-K75, Class D, PO, 4/25/2051 (b)
|
30,000
|
23,050
|
|
Series 2018-K75, Class X2A, IO, 0.10%, 4/25/2051 (b)
|
462,552
|
923
|
|
Series 2018-K75, Class X2B, IO, 0.10%, 4/25/2051 (b)
|
114,000
|
255
|
|
Series 2018-K83, Class D, PO, 11/25/2051 (b)
|
16,800
|
12,425
|
|
Series 2019-K92, Class D, PO, 5/25/2052 (b)
|
16,000
|
11,558
|
|
Series 2020-K105, Class D, PO, 3/25/2053 (b)
|
33,000
|
21,011
|
|
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (b)
|
354,487
|
1,220
|
|
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (b)
|
81,000
|
309
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2020-K113, Class D, PO, 5/25/2053 (b)
|
26,843
|
17,213
|
|
Series 2020-K115, Class D, PO, 9/25/2053 (b)
|
25,000
|
16,920
|
|
Series 2020-K115, Class X2A, IO, 0.10%, 9/25/2053 (b)
|
269,423
|
1,060
|
|
Series 2020-K115, Class X2B, IO, 0.10%, 9/25/2053 (b)
|
60,800
|
252
|
|
Series 2020-K118, Class D, PO, 10/25/2053 (b)
|
22,812
|
14,840
|
|
Series 2020-K118, Class X2A, IO, 0.10%, 10/25/2053 (b)
|
249,405
|
993
|
|
Series 2020-K118, Class X2B, IO, 0.10%, 10/25/2053 (b)
|
50,947
|
213
|
|
Series 2020-K739, Class D, PO, 11/25/2053 (b)
|
12,500
|
10,101
|
|
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (b)
|
121,313
|
204
|
|
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (b)
|
31,000
|
59
|
|
Series 2023-K752, Class X2A, IO, 0.10%, 9/25/2060 (b)
|
216,840
|
838
|
|
GNMA
|
|
|
|
Series 2012-89, IO, 0.19%, 12/16/2053 (c)
|
6,092
|
—
|
|
Series 2014-88, Class AJ, 2.99%, 3/16/2055 (c)
|
4,903
|
4,321
|
|
Series 2015-104, IO, 0.08%, 5/16/2055 (c)
|
6,092
|
8
|
|
Series 2023-127, IO, 0.40%, 7/16/2057 (c)
|
423,466
|
7,576
|
|
Series 2023-108, IO, 0.69%, 8/16/2059 (c)
|
216,314
|
8,144
|
|
Series 2018-4, IO, 0.57%, 10/16/2059 (c)
|
4,035
|
141
|
|
Series 2019-67, IO, 0.91%, 2/16/2060 (c)
|
8,067
|
451
|
|
Series 2018-106, IO, 0.65%, 4/16/2060 (c)
|
6,564
|
330
|
|
Series 2018-119, IO, 0.68%, 5/16/2060 (c)
|
7,647
|
425
|
|
Series 2019-9, IO, 0.89%, 8/16/2060 (c)
|
12,153
|
669
|
|
Series 2021-5, IO, 1.11%, 1/16/2061 (c)
|
6,125
|
487
|
|
Series 2021-47, IO, 0.99%, 3/16/2061 (c)
|
17,421
|
1,186
|
|
Series 2021-82, Class TA, IF, IO, 3.64%, 4/16/2061 (c)
|
18,342
|
563
|
|
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (c)
|
4,387
|
223
|
|
Series 2021-108, IO, 0.97%, 6/16/2061 (c)
|
68,765
|
4,781
|
|
Series 2021-147, IO, 0.99%, 6/16/2061 (c)
|
29,973
|
2,194
|
|
Series 2024-195, IO, 0.60%, 7/16/2061 (c)
|
283,078
|
11,392
|
|
Series 2021-218, IO, 0.96%, 10/16/2061 (c)
|
15,163
|
1,112
|
|
Series 2021-178, Class SA, IF, IO, 3.60%, 10/16/2061 (c)
|
76,747
|
3,788
|
|
Series 2020-28, IO, 0.82%, 11/16/2061 (c)
|
16,981
|
960
|
|
Series 2020-56, IO, 0.97%, 11/16/2061 (c)
|
44,464
|
2,929
|
|
Series 2020-124, IO, 0.99%, 12/16/2061 (c)
|
8,532
|
515
|
|
Series 2025-38, IO, 0.64%, 1/16/2062 (c)
|
157,471
|
6,205
|
|
Series 2019-144, IO, 0.79%, 1/16/2062 (c)
|
13,903
|
809
|
|
Series 2020-40, IO, 0.88%, 1/16/2062 (c)
|
39,283
|
2,335
|
|
Series 2020-143, Class IB, IO, 0.87%, 3/16/2062 (c)
|
46,256
|
2,925
|
|
Series 2020-94, IO, 0.97%, 3/16/2062 (c)
|
17,711
|
1,201
|
|
Series 2020-10, IO, 0.58%, 4/16/2062 (c)
|
20,575
|
844
|
|
Series 2020-23, IO, 0.66%, 4/16/2062 (c)
|
63,240
|
2,945
|
|
Series 2020-70, IO, 0.76%, 4/16/2062 (c)
|
47,545
|
2,618
|
|
Series 2020-38, IO, 0.82%, 4/16/2062 (c)
|
10,228
|
604
|
|
Series 2020-54, IO, 0.92%, 4/16/2062 (c)
|
159,950
|
10,112
|
|
Series 2020-89, Class IA, IO, 1.17%, 4/16/2062 (c)
|
38,747
|
3,077
|
|
Series 2020-120, IO, 0.77%, 5/16/2062 (c)
|
8,053
|
476
|
|
Series 2020-91, Class IU, IO, 0.96%, 5/16/2062 (c)
|
18,686
|
1,053
|
|
Series 2020-72, IO, 1.01%, 5/16/2062 (c)
|
96,923
|
6,548
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2020-106, Class IC, IO, 0.84%, 6/16/2062 (c)
|
70,173
|
4,332
|
|
Series 2020-108, IO, 0.85%, 6/16/2062 (c)
|
32,807
|
1,894
|
|
Series 2020-147, IO, 0.91%, 6/16/2062 (c)
|
206,573
|
13,529
|
|
Series 2020-194, IO, 1.08%, 6/16/2062 (c)
|
12,600
|
907
|
|
Series 2020-169, IO, 0.85%, 7/16/2062 (c)
|
351,443
|
22,092
|
|
Series 2020-64, IO, 1.20%, 7/16/2062 (c)
|
31,473
|
2,673
|
|
Series 2020-161, IO, 1.05%, 8/16/2062 (c)
|
32,718
|
2,432
|
|
Series 2020-111, IO, 0.87%, 9/15/2062 (c)
|
16,560
|
992
|
|
Series 2020-158, IO, 0.78%, 9/16/2062 (c)
|
52,827
|
3,052
|
|
Series 2021-88, IO, 0.79%, 9/16/2062 (c)
|
91,113
|
5,573
|
|
Series 2020-114, IO, 0.80%, 9/16/2062 (c)
|
73,384
|
4,126
|
|
Series 2021-3, IO, 0.87%, 9/16/2062 (c)
|
74,695
|
4,766
|
|
Series 2020-192, IO, 0.94%, 9/16/2062 (c)
|
60,221
|
4,118
|
|
Series 2020-6, IO, 0.70%, 10/16/2062 (c)
|
12,879
|
738
|
|
Series 2021-33, IO, 0.84%, 10/16/2062 (c)
|
117,296
|
7,508
|
|
Series 2021-71, IO, 0.86%, 10/16/2062 (c)
|
158,945
|
10,141
|
|
Series 2020-128, IO, 0.92%, 10/16/2062 (c)
|
55,809
|
3,722
|
|
Series 2021-80, IO, 0.90%, 12/16/2062 (c)
|
62,081
|
4,279
|
|
Series 2020-150, IO, 0.97%, 12/16/2062 (c)
|
81,689
|
5,706
|
|
Series 2020-195, Class IX, IO, 1.13%, 12/16/2062 (c)
|
8,941
|
714
|
|
Series 2021-11, Class IX, IO, 1.16%, 12/16/2062 (c)
|
24,377
|
2,004
|
|
Series 2021-40, IO, 0.82%, 2/16/2063 (c)
|
47,470
|
2,918
|
|
Series 2021-120, IO, 0.99%, 2/16/2063 (c)
|
51,360
|
3,795
|
|
Series 2020-145, IO, 0.73%, 3/16/2063 (c)
|
34,171
|
1,806
|
|
Series 2021-101, IO, 0.68%, 4/16/2063 (c)
|
82,058
|
4,227
|
|
Series 2021-144, IO, 0.82%, 4/16/2063 (c)
|
29,488
|
1,812
|
|
Series 2021-106, IO, 0.86%, 4/16/2063 (c)
|
94,986
|
6,251
|
|
Series 2021-151, IO, 0.91%, 4/16/2063 (c)
|
99,349
|
6,878
|
|
Series 2021-168, IO, 0.80%, 5/16/2063 (c)
|
75,219
|
4,635
|
|
Series 2021-126, IO, 0.85%, 5/16/2063 (c)
|
14,650
|
977
|
|
Series 2021-22, IO, 0.97%, 5/16/2063 (c)
|
51,774
|
3,612
|
|
Series 2021-10, IO, 0.99%, 5/16/2063 (c)
|
34,844
|
2,560
|
|
Series 2021-170, IO, 0.99%, 5/16/2063 (c)
|
14,240
|
1,048
|
|
Series 2024-32, IO, 0.70%, 6/16/2063 (c)
|
127,099
|
6,492
|
|
Series 2021-133, IO, 0.88%, 7/16/2063 (c)
|
85,818
|
5,680
|
|
Series 2021-181, IO, 0.98%, 7/16/2063 (c)
|
135,764
|
9,429
|
|
Series 2021-61, IO, 1.04%, 8/16/2063 (c)
|
40,326
|
3,013
|
|
Series 2021-195, Class IX, IO, 1.20%, 8/16/2063 (c)
|
51,602
|
4,635
|
|
Series 2023-15, Class AB, 4.00%, 8/16/2063 (c)
|
8,628
|
8,232
|
|
Series 2023-179, IO, 0.61%, 9/16/2063 (c)
|
366,148
|
15,664
|
|
Series 2021-164, IO, 0.95%, 10/16/2063 (c)
|
40,588
|
2,818
|
|
Series 2021-112, IO, 0.99%, 10/16/2063 (c)
|
16,697
|
1,257
|
|
Series 2021-148, IO, 1.07%, 10/16/2063 (c)
|
65,071
|
5,414
|
|
Series 2021-110, IO, 0.87%, 11/16/2063 (c)
|
2,749
|
185
|
|
Series 2021-180, IO, 0.91%, 11/16/2063 (c)
|
19,083
|
1,328
|
|
Series 2021-150, IO, 1.04%, 11/16/2063 (c)
|
31,754
|
2,487
|
|
Series 2021-185, IO, 1.11%, 11/16/2063 (c)
|
37,936
|
3,172
|
|
Series 2021-167, IO, 0.87%, 12/16/2063 (c)
|
63,265
|
4,509
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2022-4, IO, 0.86%, 3/16/2064 (c)
|
364,961
|
23,466
|
|
Series 2021-224, IO, 0.78%, 4/16/2064 (c)
|
79,584
|
5,100
|
|
Series 2022-149, IO, 0.46%, 6/16/2064 (c)
|
48,138
|
1,918
|
|
Series 2022-134, IO, 0.51%, 6/16/2064 (c)
|
28,845
|
1,205
|
|
Series 2024-161, IO, 0.74%, 6/16/2064 (c)
|
119,271
|
6,724
|
|
Series 2022-52, IO, 0.77%, 6/16/2064 (c)
|
147,003
|
7,437
|
|
Series 2022-141, IO, 0.78%, 6/16/2064 (c)
|
11,636
|
757
|
|
Series 2022-210, IO, 0.70%, 7/16/2064 (c)
|
34,045
|
2,127
|
|
Series 2022-199, IO, 0.76%, 7/16/2064 (c)
|
32,037
|
1,923
|
|
Series 2023-15, IO, 0.92%, 8/16/2064 (c)
|
31,572
|
2,213
|
|
Series 2022-147, IO, 0.56%, 9/16/2064 (c)
|
130,511
|
6,147
|
|
Series 2023-28, IO, 0.86%, 2/16/2065 (c)
|
24,663
|
1,662
|
|
Series 2022-166, IO, 0.79%, 4/16/2065 (c)
|
79,364
|
5,109
|
|
Series 2025-21, IO, 0.95%, 4/16/2065 (c)
|
326,958
|
22,806
|
|
Series 2023-26, IO, 0.97%, 4/16/2065 (c)
|
58,627
|
3,903
|
|
Series 2023-126, IO, 0.88%, 7/16/2065 (c)
|
63,008
|
4,373
|
|
Series 2023-46, IO, 1.15%, 7/16/2065 (c)
|
19,753
|
1,524
|
|
Series 2025-42, IO, 0.54%, 11/16/2065 (c)
|
156,958
|
7,417
|
|
Series 2024-56, IO, 1.04%, 11/16/2065 (c)
|
10,923
|
820
|
|
Series 2024-121, IO, 1.05%, 7/1/2066 (c)
|
10,144
|
927
|
|
Series 2024-90, IO, 0.81%, 7/16/2066 (c)
|
19,815
|
1,346
|
|
GNMA, STRIPS Series 3, Class 23, IO, 1.40%, 9/16/2045
|
30,942
|
1,787
|
|
GS Mortgage Securities Trust
|
|
|
|
Series 2013-GC13, Class B, 3.88%, 7/10/2046 (b) (c)
|
1,500
|
1,449
|
|
Series 2015-GC28, Class D, 4.41%, 2/10/2048 (b) (c)
|
1,136
|
1,081
|
|
Series 2015-GC32, Class D, 3.35%, 7/10/2048
|
4,521
|
4,207
|
|
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (b) (c)
|
5,547
|
1,268
|
|
Series 2015-GC30, Class D, 3.38%, 5/10/2050
|
4,000
|
2,897
|
|
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (b)
|
4,950
|
3,096
|
|
Series 2019-GC42, Class D, 2.80%, 9/10/2052 (b)
|
11,880
|
8,345
|
|
Series 2019-GSA1, Class XB, IO, 0.29%, 11/10/2052 (c)
|
39,035
|
512
|
|
Series 2020-GC45, Class XA, IO, 0.61%, 2/13/2053 (c)
|
69,621
|
1,595
|
|
Series 2020-GC45, Class D, 2.85%, 2/13/2053 (b) (c)
|
3,000
|
2,297
|
|
Series 2020-GC45, Class E, 2.85%, 2/13/2053 (b) (c)
|
7,000
|
4,833
|
|
Series 2020-GC47, Class XA, IO, 1.12%, 5/12/2053 (c)
|
80,359
|
3,571
|
|
Series 2020-GSA2, Class D, 2.25%, 12/12/2053 (b)
|
18,158
|
12,307
|
|
Series 2020-GSA2, Class E, 2.25%, 12/12/2053 (b)
|
4,000
|
2,319
|
|
Harvest Commercial Capital Loan Trust Series 2025-1, Class A, 5.97%, 6/25/2057 (c)
|
19,949
|
19,901
|
|
HCFT (Luxembourg) 7.25%, 6/13/2025 ‡
|
7,000
|
6,902
|
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class E, 10.27%, 10/15/2039 (b) (c)
|
8,760
|
8,677
|
|
IRV Trust
|
|
|
|
Series 2025-200P, Class A, 5.29%, 3/14/2047 (b) (c)
|
53,700
|
53,300
|
|
Series 2025-200P, Class B, 5.44%, 3/14/2047 (b) (c)
|
24,650
|
23,919
|
|
Series 2025-200P, Class C, 5.73%, 3/14/2047 (b) (c)
|
17,600
|
17,024
|
|
Series 2025-200P, Class D, 6.17%, 3/14/2047 (b) (c)
|
4,000
|
3,872
|
|
J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP3, Class B, 3.40%,
8/15/2049 (c)
|
2,000
|
1,845
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2013-C15, Class E, 3.50%, 11/15/2045 (b)
|
3,000
|
1,597
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2015-C31, Class C, 4.60%, 8/15/2048 (c)
|
5,000
|
4,000
|
|
Series 2015-C28, Class D, 3.74%, 10/15/2048 (b) (c)
|
1,000
|
895
|
|
Series 2015-C33, Class D2, 4.13%, 12/15/2048 (b) (c)
|
1,000
|
834
|
|
Series 2015-C33, Class C, 4.63%, 12/15/2048 (c)
|
3,350
|
3,164
|
|
Series 2016-C1, Class D1, 4.20%, 3/17/2049 (b) (c)
|
1,500
|
1,305
|
|
JPMCC Commercial Mortgage Securities Trust
|
|
|
|
Series 2017-JP5, Class XB, IO, 0.41%, 3/15/2050 (c)
|
31,917
|
253
|
|
Series 2017-JP5, Class C, 3.74%, 3/15/2050 (c)
|
1,550
|
1,343
|
|
Series 2017-JP5, Class B, 4.08%, 3/15/2050 (c)
|
1,000
|
938
|
|
Series 2017-JP5, Class D, 4.49%, 3/15/2050 (b) (c)
|
4,669
|
3,461
|
|
Series 2017-JP7, Class D, 4.42%, 9/15/2050 (b) (c)
|
367
|
223
|
|
JPMDB Commercial Mortgage Securities Trust Series 2019-COR6, Class D, 2.50%, 11/13/2052 (b)
|
9,875
|
4,757
|
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
Series 2013-C16, Class D, 4.88%, 12/15/2046 (b) (c)
|
1,996
|
1,881
|
|
Series 2015-JP1, Class C, 4.72%, 1/15/2049 (c)
|
4,647
|
4,350
|
|
Series 2016-JP3, Class D, 3.42%, 8/15/2049 (b) (c)
|
8,122
|
6,596
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
Series 2014-C16, Class C, 4.58%, 6/15/2047 (c)
|
524
|
497
|
|
Series 2015-C27, Class E, 3.24%, 12/15/2047 (b) (c)
|
2,500
|
2,053
|
|
Series 2015-C27, Class F, 3.24%, 12/15/2047 (b) (c)
|
6,334
|
4,946
|
|
Series 2014-C19, Class D, 3.25%, 12/15/2047 (b)
|
2,000
|
1,772
|
|
Series 2014-C19, Class E, 3.25%, 12/15/2047 (b)
|
6,500
|
5,290
|
|
Series 2014-C19, Class C, 4.00%, 12/15/2047
|
1,315
|
1,271
|
|
Series 2015-C21, Class XA, IO, 0.18%, 3/15/2048 (c)
|
59
|
—
|
|
Series 2015-C21, Class B, 3.85%, 3/15/2048 (c)
|
2,500
|
2,359
|
|
Series 2015-C24, Class D, 3.26%, 5/15/2048 (b)
|
8,000
|
7,017
|
|
Series 2015-C26, Class D, 3.06%, 10/15/2048 (b)
|
4,500
|
3,974
|
|
Series 2016-C31, Class B, 3.88%, 11/15/2049 (c)
|
1,750
|
1,635
|
|
Series 2016-C31, Class C, 4.25%, 11/15/2049 (c)
|
1,000
|
870
|
|
Series 2015-C23, Class D, 4.12%, 7/15/2050 (b) (c)
|
4,255
|
4,029
|
|
Morgan Stanley Capital I Series 2017-HR2, Class C, 4.32%, 12/15/2050 (c)
|
1,200
|
1,143
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2018-MP, Class D, 4.28%, 7/11/2040 (b) (c)
|
1,000
|
756
|
|
Series 2019-L3, Class D, 2.50%, 11/15/2052 (b)
|
4,500
|
3,402
|
|
Series 2020-L4, Class D, 2.50%, 2/15/2053 (b)
|
7,175
|
5,150
|
|
Series 2020-HR8, Class XA, IO, 1.78%, 7/15/2053 (c)
|
17,303
|
1,244
|
|
Series 2021-L5, Class XB, IO, 0.71%, 5/15/2054 (c)
|
60,000
|
2,326
|
|
Series 2021-L5, Class E, 2.50%, 5/15/2054 (b)
|
4,234
|
2,848
|
|
Series 2021-L6, Class D, 2.50%, 6/15/2054 (b) (c)
|
13,685
|
9,516
|
|
Series 2021-L6, Class E, 2.50%, 6/15/2054 (b) (c)
|
5,500
|
3,216
|
|
Series 2021-L7, Class E, 2.50%, 10/15/2054 (b)
|
8,091
|
4,902
|
|
MRCD MARK Mortgage Trust
|
|
|
|
Series 2019-PARK, Class G, 2.72%, 12/15/2036 (b)
|
13,337
|
7,115
|
|
Series 2019-PARK, Class J, 4.25%, 12/15/2036 (b)
|
20,000
|
7,134
|
|
MSWF Commercial Mortgage Trust Series 2023-2, Class A5, 6.01%, 12/15/2056 (c)
|
37,272
|
39,408
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-01, Class M10, 7.69%, 10/25/2049 (b) (c)
|
60,501
|
60,860
|
|
Series 2020-01, Class M10, 8.19%, 3/25/2050 (b) (c)
|
85,284
|
86,523
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2023-01, Class M7, 8.32%, 11/25/2053 (b) (c)
|
3,462
|
3,591
|
|
Series 2023-01, Class M10, 10.82%, 11/25/2053 (b) (c)
|
8,375
|
9,359
|
|
Series 2024-01, Class M7, 7.07%, 7/25/2054 (b) (c)
|
1,758
|
1,771
|
|
Series 2024-01, Class M10, 8.17%, 7/25/2054 (b) (c)
|
1,100
|
1,142
|
|
Series 2025-01, Class M1, 6.71%, 5/25/2055 ‡ (b) (c)
|
17,200
|
17,200
|
|
Series 2025-01, Class M2, 7.41%, 5/25/2055 ‡ (b) (c)
|
12,900
|
12,900
|
|
Series 2025-01, Class B1, 9.51%, 5/25/2055 ‡ (b) (c)
|
2,400
|
2,400
|
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.62%, 12/18/2051 (b) (c)
|
8,000
|
6,687
|
|
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.21%, 4/10/2043 (b) (c)
|
5,000
|
3,410
|
|
PRM5 Trust Series 2025-PRM5, Class A, 4.47%, 3/10/2033 (b) (c)
|
8,695
|
8,610
|
|
ROCK Trust
|
|
|
|
Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b)
|
13,539
|
13,710
|
|
Series 2024-CNTR, Class D, 7.11%, 11/13/2041 (b)
|
20,727
|
21,411
|
|
Series 2024-CNTR, Class E, 8.82%, 11/13/2041 (b)
|
63,500
|
66,330
|
|
SBALR Commercial Mortgage Trust
|
|
|
|
Series 2020-RR1, Class XA, IO, 1.22%, 2/13/2053 (b) (c)
|
78,176
|
3,363
|
|
Series 2020-RR1, Class B, 3.48%, 2/13/2053 (b)
|
11,440
|
8,202
|
|
Series 2020-RR1, Class C, 3.98%, 2/13/2053 (b) (c)
|
4,750
|
2,172
|
|
Series 2020-RR1, Class D, 4.06%, 2/13/2053 (b) (c)
|
9,750
|
3,830
|
|
SDR Commercial Mortgage Trust
|
|
|
|
Series 2024-DSNY, Class A, 5.72%, 5/15/2039 (b) (c)
|
15,540
|
15,428
|
|
Series 2024-DSNY, Class B, 6.07%, 5/15/2039 (b) (c)
|
10,267
|
10,116
|
|
Series RR Trust Series 2015-1, Class B, PO, 4/26/2048 (b)
|
894
|
890
|
|
SHR Trust Series 2024-LXRY, Class B, 6.78%, 10/15/2041 (b) (c)
|
3,000
|
2,998
|
|
SREIT Trust Series 2021-MFP, Class G, 7.42%, 11/15/2038 (b) (c)
|
10,905
|
10,862
|
|
TPG Trust Series 2024-WLSC, Class A, 6.46%, 11/15/2029 (b) (c)
|
8,600
|
8,575
|
|
UBS Commercial Mortgage Trust
|
|
|
|
Series 2017-C1, Class C, 4.44%, 6/15/2050
|
5,330
|
4,829
|
|
Series 2017-C3, Class AS, 3.74%, 8/15/2050 (c)
|
4,000
|
3,847
|
|
Series 2017-C2, Class C, 4.30%, 8/15/2050 (c)
|
7,250
|
6,740
|
|
Series 2017-C5, Class AS, 3.78%, 11/15/2050 (c)
|
8,471
|
8,102
|
|
Series 2018-C11, Class XB, IO, 0.23%, 6/15/2051 (c)
|
100,000
|
884
|
|
Series 2018-C11, Class AS, 4.49%, 6/15/2051 (c)
|
8,679
|
8,386
|
|
Series 2018-C11, Class B, 4.71%, 6/15/2051 (c)
|
2,500
|
2,347
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (c)
|
899
|
874
|
|
Series 2018-2, Class M2, 4.51%, 10/26/2048 (b) (c)
|
76
|
72
|
|
Series 2018-2, Class M3, 4.72%, 10/26/2048 (b) (c)
|
140
|
129
|
|
Series 2019-1, Class A, 3.76%, 3/25/2049 (b) (c)
|
992
|
945
|
|
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (c)
|
2,140
|
1,980
|
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (b) (c)
|
2,041
|
1,978
|
|
Series 2021-1, Class M1, 1.79%, 5/25/2051 (b) (c)
|
2,568
|
2,137
|
|
Series 2021-1, Class M2, 2.26%, 5/25/2051 (b) (c)
|
1,725
|
1,424
|
|
Series 2022-2, Class A, 4.67%, 4/25/2052 (b) (c)
|
2,513
|
2,419
|
|
Series 2022-3, Class A, 5.22%, 6/25/2052 (b) (c)
|
4,277
|
4,110
|
|
Series 2022-4, Class A, 5.63%, 8/25/2052 (b) (c)
|
4,049
|
4,028
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
Series 2024-1CHI, Class A, 5.31%, 7/15/2035 (b) (c)
|
4,000
|
4,013
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2024-1CHI, Class B, 5.74%, 7/15/2035 (b) (c)
|
1,500
|
1,504
|
|
Series 2014-LC18, Class D, 3.96%, 12/15/2047 (b) (c)
|
4,952
|
4,507
|
|
Series 2015-C27, Class C, 3.89%, 2/15/2048
|
3,494
|
3,077
|
|
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 (b) (c)
|
9,230
|
8,570
|
|
Series 2015-C29, Class D, 4.22%, 6/15/2048 (c)
|
4,500
|
4,289
|
|
Series 2017-RB1, Class D, 3.40%, 3/15/2050 (b)
|
1,500
|
828
|
|
Series 2017-C38, Class D, 3.00%, 7/15/2050 (b)
|
4,500
|
3,147
|
|
Series 2017-C39, Class A5, 3.42%, 9/15/2050
|
4,000
|
3,860
|
|
Series 2018-C44, Class XB, IO, 0.17%, 5/15/2051 (c)
|
70,000
|
364
|
|
Series 2018-C44, Class D, 3.00%, 5/15/2051 (b)
|
1,250
|
956
|
|
Series 2018-C46, Class D, 3.00%, 8/15/2051 (b)
|
2,890
|
2,338
|
|
Series 2019-C52, Class XA, IO, 1.56%, 8/15/2052 (c)
|
14,029
|
706
|
|
Series 2020-C55, Class D, 2.50%, 2/15/2053 (b)
|
4,500
|
2,881
|
|
Series 2020-C55, Class E, 2.50%, 2/15/2053 (b)
|
6,850
|
3,823
|
|
Series 2021-C59, Class D, 2.50%, 4/15/2054 (b)
|
2,500
|
1,770
|
|
Series 2022-C62, Class C, 4.35%, 4/15/2055 (c)
|
2,500
|
2,121
|
|
Series 2024-5C1, Class A3, 5.93%, 7/15/2057
|
3,500
|
3,631
|
|
Series 2015-NXS2, Class D, 4.17%, 7/15/2058 (c)
|
2,226
|
1,490
|
|
Series 2015-LC22, Class D, 4.54%, 9/15/2058 (c)
|
2,107
|
1,729
|
|
Series 2016-C32, Class D, 3.79%, 1/15/2059 (b) (c)
|
4,000
|
3,820
|
|
WFRBS Commercial Mortgage Trust
|
|
|
|
Series 2014-C21, Class D, 3.50%, 8/15/2047 (b)
|
6,152
|
4,892
|
|
Series 2014-C22, Class D, 3.76%, 9/15/2057 (b) (c)
|
1,440
|
553
|
|
Total Commercial Mortgage-Backed Securities
(Cost $3,466,543)
|
|
3,280,950
|
|
Corporate Bonds — 22.9%
|
||
|
Aerospace & Defense — 0.4%
|
||
|
ATI, Inc. 5.88%, 12/1/2027
|
3,085
|
3,085
|
|
Axon Enterprise, Inc. 6.13%, 3/15/2030 (b)
|
1,130
|
1,153
|
|
Bombardier, Inc. (Canada)
|
||
|
7.88%, 4/15/2027 (b)
|
486
|
488
|
|
8.75%, 11/15/2030 (b)
|
4,595
|
4,932
|
|
7.25%, 7/1/2031 (b)
|
2,269
|
2,340
|
|
7.00%, 6/1/2032 (b)
|
2,112
|
2,160
|
|
6.75%, 6/15/2033 (b)
|
1,520
|
1,541
|
|
BWX Technologies, Inc. 4.13%, 6/30/2028 (b)
|
4,404
|
4,286
|
|
Goat Holdco LLC 6.75%, 2/1/2032 (b)
|
2,414
|
2,405
|
|
ICITII 6.00%, 1/31/2033 ‡ (b)
|
1,701
|
1,361
|
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (b)
|
3,116
|
3,318
|
|
TransDigm, Inc.
|
||
|
6.38%, 3/1/2029 (b)
|
17,742
|
18,031
|
|
6.63%, 3/1/2032 (b)
|
6,402
|
6,540
|
|
Triumph Group, Inc. 9.00%, 3/15/2028 (b)
|
1,449
|
1,517
|
|
|
|
53,157
|
|
Automobile Components — 0.8%
|
||
|
Adient Global Holdings Ltd.
|
||
|
7.00%, 4/15/2028 (b)
|
1,740
|
1,778
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Automobile Components — continued
|
||
|
8.25%, 4/15/2031 (b)
|
3,375
|
3,445
|
|
7.50%, 2/15/2033 (b)
|
2,810
|
2,788
|
|
Allison Transmission, Inc.
|
||
|
4.75%, 10/1/2027 (b)
|
3,778
|
3,715
|
|
5.88%, 6/1/2029 (b)
|
10,071
|
10,111
|
|
3.75%, 1/30/2031 (b)
|
9,852
|
8,943
|
|
American Axle & Manufacturing, Inc.
|
||
|
6.50%, 4/1/2027
|
968
|
963
|
|
6.88%, 7/1/2028
|
5,430
|
5,384
|
|
5.00%, 10/1/2029
|
9,465
|
8,604
|
|
Clarios Global LP
|
||
|
6.25%, 5/15/2026 (b)
|
4,480
|
4,481
|
|
8.50%, 5/15/2027 (b)
|
6,810
|
6,840
|
|
6.75%, 5/15/2028 (b)
|
1,500
|
1,528
|
|
6.75%, 2/15/2030 (b)
|
1,932
|
1,968
|
|
Cooper-Standard Automotive, Inc.
|
||
|
13.50% (Cash), 3/31/2027 (b) (d)
|
4,609
|
4,834
|
|
5.63% (Cash), 5/15/2027 (b) (d)
|
969
|
820
|
|
Dana, Inc.
|
||
|
5.38%, 11/15/2027
|
3,145
|
3,135
|
|
5.63%, 6/15/2028
|
3,147
|
3,132
|
|
4.25%, 9/1/2030
|
1,969
|
1,867
|
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (b)
|
4,565
|
3,509
|
|
Goodyear Tire & Rubber Co. (The)
|
||
|
5.00%, 5/31/2026
|
1,252
|
1,253
|
|
5.00%, 7/15/2029
|
11,541
|
11,056
|
|
6.63%, 7/15/2030
|
1,337
|
1,338
|
|
5.25%, 4/30/2031
|
2,281
|
2,130
|
|
5.25%, 7/15/2031
|
2,670
|
2,491
|
|
Icahn Enterprises LP 6.25%, 5/15/2026
|
2,626
|
2,601
|
|
IHO Verwaltungs GmbH (Germany)
|
||
|
7.75% (Cash), 11/15/2030 (b) (d)
|
5,218
|
5,270
|
|
8.00% (Cash), 11/15/2032 (b) (d)
|
820
|
821
|
|
ZF North America Capital, Inc. (Germany) 6.75%, 4/23/2030 (b)
|
4,511
|
4,284
|
|
|
|
109,089
|
|
Automobiles — 0.0% ^
|
||
|
Jaguar Land Rover Automotive plc (United Kingdom) 4.50%, 10/1/2027 (b)
|
1,000
|
977
|
|
Banks — 0.5%
|
||
|
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 5.10%),
9.38%, 3/19/2029 (e) (f) (g) (h)
|
4,345
|
4,769
|
|
Banco del Estado de Chile (Chile) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.23%), 7.95%,
5/2/2029 (e) (f) (g) (h) (i)
|
1,300
|
1,347
|
|
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant
Maturity 10 Year + 5.47%), 7.50%,
6/27/2029 (e) (f) (g) (h) (i)
|
9,900
|
9,801
|
|
BNP Paribas SA (France)
|
||
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (b) (h)
|
5,030
|
5,125
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.54%), 7.38%, 9/10/2034 (b) (e) (f) (g) (h)
|
3,450
|
3,473
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Citigroup, Inc.
|
||
|
Series T, (3-MONTH CME TERM SOFR + 4.78%), 6.25%, 8/15/2026 (f) (g) (h)
|
83
|
84
|
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (f) (g) (h)
|
7,630
|
7,548
|
|
HSBC Holdings plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.65%), 4.60%,
12/17/2030 (e) (f) (g) (h)
|
6,831
|
6,147
|
|
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
5.63%), 6.00%, 12/29/2025 (e) (f)
(g) (h)
|
12,226
|
12,187
|
|
TC Ziraat Bankasi A/S (Turkey) 7.25%, 2/4/2030 (b)
|
1,435
|
1,429
|
|
Toronto-Dominion Bank (The) (Canada) (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 4.08%), 8.13%,
10/31/2082 (e) (h)
|
5,795
|
6,069
|
|
Wells Fargo & Co.
|
||
|
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%),
3.90%, 3/15/2026 (f) (g) (h)
|
11,821
|
11,639
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (f) (g) (h)
|
2,220
|
2,282
|
|
|
|
71,900
|
|
Beverages — 0.1%
|
||
|
Central American Bottling Corp. (Guatemala) 5.25%, 4/27/2029 (b)
|
2,727
|
2,621
|
|
Primo Water Holdings, Inc. 6.25%, 4/1/2029 (b)
|
6,100
|
6,108
|
|
|
|
8,729
|
|
Biotechnology — 0.0% ^
|
||
|
Grifols SA (Spain) 4.75%, 10/15/2028 (b)
|
6,077
|
5,781
|
|
Broadline Retail — 0.1%
|
||
|
Nordstrom, Inc. 4.25%, 8/1/2031
|
2,665
|
2,306
|
|
Saks Global Enterprises LLC 11.00%, 12/15/2029 (b)
|
2,656
|
1,188
|
|
Shutterfly Finance LLC
|
||
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (b) (d)
|
8,436
|
7,250
|
|
9.75%, 10/1/2027 (b)
|
961
|
959
|
|
Wayfair LLC
|
||
|
7.25%, 10/31/2029 (b)
|
1,474
|
1,436
|
|
7.75%, 9/15/2030 (b)
|
3,773
|
3,697
|
|
|
|
16,836
|
|
Building Products — 0.6%
|
||
|
Builders FirstSource, Inc.
|
||
|
4.25%, 2/1/2032 (b)
|
3,868
|
3,509
|
|
6.38%, 6/15/2032 (b)
|
3,590
|
3,624
|
|
6.38%, 3/1/2034 (b)
|
2,470
|
2,461
|
|
6.75%, 5/15/2035 (b)
|
1,572
|
1,581
|
|
EMRLD Borrower LP 6.63%, 12/15/2030 (b)
|
16,576
|
16,744
|
|
James Hardie International Finance DAC 5.00%, 1/15/2028 (b)
|
2,000
|
1,958
|
|
JELD-WEN, Inc. 4.88%, 12/15/2027 (b)
|
2,803
|
2,447
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (b)
|
6,600
|
6,563
|
|
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (b)
|
3,455
|
3,481
|
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (b)
|
1,950
|
1,798
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (b)
|
8,730
|
8,871
|
|
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (b)
|
4,630
|
4,754
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Building Products — continued
|
||
|
Standard Industries, Inc.
|
||
|
4.75%, 1/15/2028 (b)
|
15,624
|
15,342
|
|
4.38%, 7/15/2030 (b)
|
7,469
|
7,010
|
|
|
|
80,143
|
|
Capital Markets — 0.1%
|
||
|
Coinbase Global, Inc.
|
||
|
3.38%, 10/1/2028 (b)
|
1,440
|
1,339
|
|
3.63%, 10/1/2031 (b)
|
982
|
855
|
|
Goldman Sachs Group, Inc. (The) Series W, (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 3.16%),
7.50%, 2/10/2029 (f) (g) (h)
|
6,225
|
6,510
|
|
|
|
8,704
|
|
Chemicals — 0.9%
|
||
|
Axalta Coating Systems LLC
|
||
|
4.75%, 6/15/2027 (b)
|
12,207
|
12,080
|
|
3.38%, 2/15/2029 (b)
|
6,690
|
6,226
|
|
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (b)
|
1,302
|
1,133
|
|
Chemours Co. (The)
|
||
|
5.75%, 11/15/2028 (b)
|
7,871
|
7,048
|
|
4.63%, 11/15/2029 (b)
|
4,922
|
4,026
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (b)
|
7,541
|
7,241
|
|
INEOS Finance plc (Luxembourg) 7.50%, 4/15/2029 (b)
|
8,220
|
8,076
|
|
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (b)
|
2,005
|
1,995
|
|
NOVA Chemicals Corp. (Canada)
|
||
|
5.25%, 6/1/2027 (b)
|
16,155
|
16,130
|
|
8.50%, 11/15/2028 (b)
|
2,835
|
2,986
|
|
4.25%, 5/15/2029 (b)
|
2,870
|
2,744
|
|
9.00%, 2/15/2030 (b)
|
2,358
|
2,539
|
|
OCP SA (Morocco)
|
||
|
6.70%, 3/1/2036 (b)
|
2,130
|
2,092
|
|
5.13%, 6/23/2051 (i)
|
2,500
|
1,830
|
|
7.50%, 5/2/2054 (b)
|
2,160
|
2,105
|
|
Sasol Financing USA LLC 5.50%, 3/18/2031
|
1,900
|
1,553
|
|
Scotts Miracle-Gro Co. (The)
|
||
|
5.25%, 12/15/2026
|
3,125
|
3,113
|
|
4.50%, 10/15/2029
|
12,372
|
11,763
|
|
4.00%, 4/1/2031
|
5,510
|
4,947
|
|
4.38%, 2/1/2032
|
1,345
|
1,211
|
|
Trinseo Luxco Finance SPV Sarl 7.63% (Blend (Cash 5.13% + PIK 2.50%)), 5/3/2029 (b) (d)
|
9,444
|
5,502
|
|
WR Grace Holdings LLC
|
||
|
4.88%, 6/15/2027 (b)
|
11,757
|
11,592
|
|
5.63%, 8/15/2029 (b)
|
3,371
|
2,970
|
|
|
|
120,902
|
|
Commercial Services & Supplies — 0.7%
|
||
|
ACCO Brands Corp. 4.25%, 3/15/2029 (b)
|
10,192
|
9,003
|
|
ADT Security Corp. (The)
|
||
|
4.13%, 8/1/2029 (b)
|
3,096
|
2,953
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Commercial Services & Supplies — continued
|
||
|
4.88%, 7/15/2032 (b)
|
5,796
|
5,501
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (b)
|
5,439
|
5,203
|
|
Aramark Services, Inc. 5.00%, 2/1/2028 (b)
|
6,786
|
6,714
|
|
Brink's Co. (The) 4.63%, 10/15/2027 (b)
|
3,370
|
3,325
|
|
Clarivate Science Holdings Corp.
|
||
|
3.88%, 7/1/2028 (b)
|
6,049
|
5,760
|
|
4.88%, 7/1/2029 (b)
|
6,188
|
5,723
|
|
CoreCivic, Inc. 8.25%, 4/15/2029
|
4,965
|
5,248
|
|
Garda World Security Corp. (Canada)
|
||
|
4.63%, 2/15/2027 (b)
|
890
|
878
|
|
8.38%, 11/15/2032 (b)
|
1,838
|
1,844
|
|
GFL Environmental, Inc.
|
||
|
4.00%, 8/1/2028 (b)
|
5,233
|
5,031
|
|
4.75%, 6/15/2029 (b)
|
3,780
|
3,688
|
|
6.75%, 1/15/2031 (b)
|
8,785
|
9,113
|
|
Madison IAQ LLC
|
||
|
4.13%, 6/30/2028 (b)
|
11,246
|
10,824
|
|
5.88%, 6/30/2029 (b)
|
4,104
|
3,970
|
|
Prime Security Services Borrower LLC
|
||
|
5.75%, 4/15/2026 (b)
|
4,682
|
4,694
|
|
3.38%, 8/31/2027 (b)
|
8,564
|
8,220
|
|
Raven Acquisition Holdings LLC 6.88%, 11/15/2031 (b)
|
2,936
|
2,923
|
|
Williams Scotsman, Inc. 6.63%, 4/15/2030 (b)
|
870
|
892
|
|
|
|
101,507
|
|
Communications Equipment — 0.1%
|
||
|
CommScope LLC
|
||
|
8.25%, 3/1/2027 (b)
|
6,326
|
6,310
|
|
4.75%, 9/1/2029 (b)
|
5,432
|
5,201
|
|
|
|
11,511
|
|
Construction & Engineering — 0.1%
|
||
|
Aeropuerto Internacional de Tocumen SA (Panama) 5.13%, 8/11/2061 (b)
|
1,530
|
1,032
|
|
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (i)
|
2,692
|
2,113
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (b)
|
3,830
|
3,685
|
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (b)
|
1,150
|
1,123
|
|
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (i)
|
5,000
|
5,345
|
|
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (i)
|
4,500
|
3,610
|
|
Pike Corp. 8.63%, 1/31/2031 (b)
|
1,198
|
1,290
|
|
|
|
18,198
|
|
Construction Materials — 0.0% ^
|
||
|
Knife River Corp. 7.75%, 5/1/2031 (b)
|
1,500
|
1,570
|
|
Consumer Finance — 0.4%
|
||
|
Ford Motor Credit Co. LLC
|
||
|
4.39%, 1/8/2026
|
5,510
|
5,466
|
|
6.95%, 6/10/2026
|
6,033
|
6,102
|
|
4.54%, 8/1/2026
|
5,460
|
5,382
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
4.27%, 1/9/2027
|
12,200
|
11,935
|
|
4.13%, 8/17/2027
|
500
|
482
|
|
6.80%, 11/7/2028
|
2,000
|
2,043
|
|
7.20%, 6/10/2030
|
2,816
|
2,923
|
|
OneMain Finance Corp.
|
||
|
7.13%, 3/15/2026
|
6,902
|
6,995
|
|
3.88%, 9/15/2028
|
7,185
|
6,737
|
|
|
|
48,065
|
|
Consumer Staples Distribution & Retail — 0.3%
|
||
|
Albertsons Cos., Inc.
|
||
|
4.63%, 1/15/2027 (b)
|
7,248
|
7,177
|
|
5.88%, 2/15/2028 (b)
|
11,717
|
11,706
|
|
3.50%, 3/15/2029 (b)
|
7,534
|
7,078
|
|
4.88%, 2/15/2030 (b)
|
2,977
|
2,896
|
|
New Albertsons LP
|
||
|
6.63%, 6/1/2028
|
8
|
8
|
|
7.45%, 8/1/2029
|
113
|
118
|
|
8.00%, 5/1/2031
|
870
|
915
|
|
Performance Food Group, Inc.
|
||
|
5.50%, 10/15/2027 (b)
|
7,047
|
7,018
|
|
4.25%, 8/1/2029 (b)
|
3,861
|
3,680
|
|
Rite Aid Corp.
|
||
|
8.00%, 10/18/2024 ‡
|
3,301
|
—
|
|
7.50%, 7/1/2025 ‡ (j)
|
7,843
|
—
|
|
8.00%, 11/15/2026 ‡ (j)
|
3,890
|
—
|
|
(3-MONTH CME TERM SOFR + 7.00%), 11.32%, 8/30/2031 ‡ (b) (h) (j)
|
1,226
|
—
|
|
Series A, 15.00%, 8/30/2031 ‡ (j)
|
3,552
|
—
|
|
Series B, 15.00%, 8/30/2031 ‡ (j)
|
1,671
|
—
|
|
US Foods, Inc.
|
||
|
6.88%, 9/15/2028 (b)
|
1,473
|
1,515
|
|
4.75%, 2/15/2029 (b)
|
2,255
|
2,205
|
|
4.63%, 6/1/2030 (b)
|
2,268
|
2,182
|
|
|
|
46,498
|
|
Containers & Packaging — 0.4%
|
||
|
Ardagh Packaging Finance plc
|
||
|
4.13%, 8/15/2026 (b)
|
6,380
|
5,800
|
|
5.25%, 8/15/2027 (b)
|
14,217
|
6,469
|
|
Berry Global, Inc. 4.88%, 7/15/2026 (b)
|
5,576
|
5,559
|
|
Clydesdale Acquisition Holdings, Inc. 6.75%, 4/15/2032 (b)
|
7,167
|
7,243
|
|
Mauser Packaging Solutions Holding Co.
|
||
|
7.88%, 4/15/2027 (b)
|
15,779
|
15,929
|
|
9.25%, 4/15/2027 (b)
|
6,489
|
6,392
|
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (b)
|
4,140
|
4,142
|
|
TriMas Corp. 4.13%, 4/15/2029 (b)
|
2,612
|
2,458
|
|
|
|
53,992
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Distributors — 0.0% ^
|
||
|
RB Global Holdings, Inc. (Canada) 6.75%, 3/15/2028 (b)
|
2,450
|
2,502
|
|
Diversified Consumer Services — 0.1%
|
||
|
Service Corp. International
|
||
|
7.50%, 4/1/2027
|
535
|
552
|
|
3.38%, 8/15/2030
|
10,926
|
9,910
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (b)
|
2,983
|
3,103
|
|
|
|
13,565
|
|
Diversified Telecommunication Services — 1.8%
|
||
|
Altice France SA (France)
|
||
|
8.13%, 2/1/2027 (b)
|
11,507
|
10,561
|
|
5.50%, 1/15/2028 (b)
|
3,500
|
3,013
|
|
5.13%, 1/15/2029 (b)
|
416
|
349
|
|
5.50%, 10/15/2029 (b)
|
7,300
|
6,202
|
|
CCO Holdings LLC
|
||
|
5.38%, 6/1/2029 (b)
|
14,814
|
14,609
|
|
6.38%, 9/1/2029 (b)
|
12,371
|
12,539
|
|
4.75%, 3/1/2030 (b)
|
54,516
|
52,040
|
|
4.50%, 8/15/2030 (b)
|
39,998
|
37,504
|
|
4.25%, 2/1/2031 (b)
|
24,742
|
22,661
|
|
4.50%, 5/1/2032
|
6,225
|
5,666
|
|
Embarq LLC 8.00%, 6/1/2036
|
1,643
|
772
|
|
Fibercop SpA (Italy)
|
||
|
Series 2033, 6.38%, 11/15/2033 (b)
|
3,705
|
3,575
|
|
7.72%, 6/4/2038 (b)
|
2,137
|
2,129
|
|
Frontier Communications Holdings LLC
|
||
|
5.88%, 10/15/2027 (b)
|
9,233
|
9,257
|
|
5.00%, 5/1/2028 (b)
|
9,797
|
9,777
|
|
GCI LLC 4.75%, 10/15/2028 (b)
|
7,571
|
7,121
|
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (b)
|
14,244
|
14,007
|
|
Level 3 Financing, Inc.
|
||
|
4.88%, 6/15/2029 (b)
|
6,809
|
6,184
|
|
11.00%, 11/15/2029 (b)
|
3,419
|
3,878
|
|
4.50%, 4/1/2030 (b)
|
7,012
|
6,167
|
|
Lumen Technologies, Inc.
|
||
|
4.13%, 4/15/2029 (b)
|
2,014
|
1,956
|
|
4.13%, 4/15/2030 (b)
|
11,132
|
10,813
|
|
10.00%, 10/15/2032 (b)
|
1,064
|
1,092
|
|
SES GLOBAL Americas Holdings, Inc. (Luxembourg) 5.30%, 3/25/2044 (b)
|
110
|
79
|
|
Telecom Italia Capital SA (Italy)
|
||
|
6.38%, 11/15/2033
|
623
|
628
|
|
7.72%, 6/4/2038
|
1,033
|
1,078
|
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (b)
|
2,750
|
2,675
|
|
|
|
246,332
|
|
Electric Utilities — 0.6%
|
||
|
Centrais Eletricas Brasileiras SA (Brazil) 6.50%, 1/11/2035 (b)
|
4,730
|
4,626
|
|
Comision Federal de Electricidad (Mexico) 6.45%, 1/24/2035 (b)
|
1,913
|
1,837
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (i)
|
1,400
|
1,383
|
|
Eskom Holdings SOC Ltd. (South Africa) 8.45%, 8/10/2028 (i)
|
5,400
|
5,579
|
|
Instituto Costarricense de Electricidad (Costa Rica)
|
||
|
6.75%, 10/7/2031 (b)
|
8,210
|
8,331
|
|
6.38%, 5/15/2043 (i)
|
690
|
609
|
|
NRG Energy, Inc.
|
||
|
5.75%, 1/15/2028
|
10,142
|
10,178
|
|
5.25%, 6/15/2029 (b)
|
1,249
|
1,234
|
|
3.63%, 2/15/2031 (b)
|
7,165
|
6,497
|
|
6.00%, 2/1/2033 (b)
|
3,993
|
3,957
|
|
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (b)
|
8,438
|
7,812
|
|
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (i)
|
833
|
808
|
|
Vistra Operations Co. LLC
|
||
|
5.50%, 9/1/2026 (b)
|
601
|
602
|
|
5.63%, 2/15/2027 (b)
|
4,708
|
4,705
|
|
5.00%, 7/31/2027 (b)
|
13,626
|
13,586
|
|
4.38%, 5/1/2029 (b)
|
2,426
|
2,345
|
|
7.75%, 10/15/2031 (b)
|
2,255
|
2,391
|
|
6.88%, 4/15/2032 (b)
|
2,721
|
2,831
|
|
|
|
79,311
|
|
Electrical Equipment — 0.1%
|
||
|
Regal Rexnord Corp. 6.40%, 4/15/2033
|
2,931
|
3,033
|
|
Sensata Technologies BV 4.00%, 4/15/2029 (b)
|
10,312
|
9,680
|
|
|
|
12,713
|
|
Electronic Equipment, Instruments & Components — 0.2%
|
||
|
Coherent Corp. 5.00%, 12/15/2029 (b)
|
12,944
|
12,542
|
|
Sensata Technologies, Inc.
|
||
|
4.38%, 2/15/2030 (b)
|
5,574
|
5,241
|
|
3.75%, 2/15/2031 (b)
|
1,315
|
1,168
|
|
6.63%, 7/15/2032 (b)
|
5,770
|
5,821
|
|
Xerox Issuer Corp. 13.50%, 4/15/2031 (b)
|
1,690
|
1,688
|
|
|
|
26,460
|
|
Energy Equipment & Services — 0.2%
|
||
|
Archrock Partners LP
|
||
|
6.88%, 4/1/2027 (b)
|
1,791
|
1,794
|
|
6.63%, 9/1/2032 (b)
|
2,492
|
2,505
|
|
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (b)
|
2,300
|
2,304
|
|
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (b)
|
4,217
|
3,933
|
|
Precision Drilling Corp. (Canada)
|
||
|
7.13%, 1/15/2026 (b)
|
1,292
|
1,291
|
|
6.88%, 1/15/2029 (b)
|
975
|
936
|
|
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (b)
|
136
|
136
|
|
Transocean, Inc.
|
||
|
8.25%, 5/15/2029 (b)
|
2,775
|
2,502
|
|
8.75%, 2/15/2030 (b)
|
1,220
|
1,237
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Energy Equipment & Services — continued
|
||
|
Vallourec SACA (France) 7.50%, 4/15/2032 (b)
|
2,000
|
2,087
|
|
Yinson Boronia Production BV (Brazil) 8.95%, 7/31/2042 (b)
|
2,237
|
2,328
|
|
|
|
21,053
|
|
Entertainment — 0.3%
|
||
|
Cinemark USA, Inc. 7.00%, 8/1/2032 (b)
|
1,277
|
1,314
|
|
Live Nation Entertainment, Inc.
|
||
|
5.63%, 3/15/2026 (b)
|
3,148
|
3,152
|
|
6.50%, 5/15/2027 (b)
|
13,141
|
13,297
|
|
4.75%, 10/15/2027 (b)
|
16,737
|
16,476
|
|
3.75%, 1/15/2028 (b)
|
2,650
|
2,544
|
|
|
|
36,783
|
|
Financial Services — 0.4%
|
||
|
Block, Inc.
|
||
|
3.50%, 6/1/2031
|
8,260
|
7,464
|
|
6.50%, 5/15/2032
|
10,952
|
11,193
|
|
CFIN 2022-RTL1 Issuer LLC
|
||
|
Class AShares, 0.00%, 8/17/2027 ‡
|
1,520
|
1,520
|
|
Class BShares, 0.00%, 8/17/2027 ‡
|
3,460
|
3,460
|
|
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (b)
|
2,825
|
2,819
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (b)
|
6,257
|
6,835
|
|
Rocket Mortgage LLC
|
||
|
2.88%, 10/15/2026 (b)
|
1,285
|
1,244
|
|
3.63%, 3/1/2029 (b)
|
7,850
|
7,324
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (b)
|
7,546
|
7,699
|
|
STReAM 2008 BV (Netherlands) 0.00%, 2/15/2030 ‡
|
2,150
|
2,150
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
1,665
|
1,665
|
|
|
|
53,373
|
|
Food Products — 0.2%
|
||
|
Grupo Nutresa SA (Colombia) 9.00%, 5/12/2035 (b)
|
2,600
|
2,727
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (b)
|
2,830
|
2,669
|
|
Minerva Luxembourg SA (Brazil) 8.88%, 9/13/2033 (i)
|
2,700
|
2,900
|
|
Post Holdings, Inc.
|
||
|
5.50%, 12/15/2029 (b)
|
893
|
882
|
|
4.63%, 4/15/2030 (b)
|
10,770
|
10,193
|
|
4.50%, 9/15/2031 (b)
|
1,595
|
1,454
|
|
6.25%, 2/15/2032 (b)
|
7,739
|
7,868
|
|
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (b)
|
800
|
795
|
|
|
|
29,488
|
|
Gas Utilities — 0.0% ^
|
||
|
AmeriGas Partners LP
|
||
|
9.38%, 6/1/2028 (b)
|
2,398
|
2,422
|
|
9.50%, 6/1/2030 (b)
|
1,885
|
1,904
|
|
|
|
4,326
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Ground Transportation — 0.5%
|
||
|
Avis Budget Car Rental LLC
|
||
|
5.75%, 7/15/2027 (b)
|
2,856
|
2,818
|
|
4.75%, 4/1/2028 (b)
|
17,550
|
16,810
|
|
8.00%, 2/15/2031 (b)
|
2,095
|
2,120
|
|
8.38%, 6/15/2032 (b)
|
2,848
|
2,869
|
|
EquipmentShare.com, Inc.
|
||
|
9.00%, 5/15/2028 (b)
|
12,295
|
12,764
|
|
8.63%, 5/15/2032 (b)
|
905
|
949
|
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (b)
|
2,655
|
2,482
|
|
Herc Holdings Escrow, Inc. 7.00%, 6/15/2030 (a) (b)
|
1,903
|
1,960
|
|
Hertz Corp. (The)
|
||
|
4.63%, 12/1/2026 (b)
|
1,875
|
1,656
|
|
12.63%, 7/15/2029 (b)
|
8,226
|
8,376
|
|
5.00%, 12/1/2029 (b)
|
13,191
|
8,968
|
|
Hertz Corp. (The), Escrow
|
||
|
6.25%, 10/15/2022 ‡ (j)
|
185
|
15
|
|
5.50%, 10/15/2024 ‡ (j)
|
5,875
|
382
|
|
7.13%, 8/1/2026 ‡ (j)
|
2,755
|
565
|
|
6.00%, 1/15/2028 ‡ (j)
|
1,450
|
297
|
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (b)
|
2,650
|
2,496
|
|
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (i)
|
3,000
|
3,059
|
|
XPO, Inc. 6.25%, 6/1/2028 (b)
|
3,375
|
3,409
|
|
|
|
71,995
|
|
Health Care Equipment & Supplies — 0.3%
|
||
|
Avantor Funding, Inc. 4.63%, 7/15/2028 (b)
|
15,284
|
14,896
|
|
Hologic, Inc. 3.25%, 2/15/2029 (b)
|
5,650
|
5,398
|
|
Medline Borrower LP
|
||
|
3.88%, 4/1/2029 (b)
|
12,938
|
12,194
|
|
6.25%, 4/1/2029 (b)
|
4,266
|
4,341
|
|
5.25%, 10/1/2029 (b)
|
9,602
|
9,383
|
|
|
|
46,212
|
|
Health Care Providers & Services — 0.9%
|
||
|
Acadia Healthcare Co., Inc.
|
||
|
5.50%, 7/1/2028 (b)
|
2,500
|
2,464
|
|
5.00%, 4/15/2029 (b)
|
165
|
158
|
|
Community Health Systems, Inc.
|
||
|
5.63%, 3/15/2027 (b)
|
4,670
|
4,602
|
|
6.00%, 1/15/2029 (b)
|
6,716
|
6,453
|
|
5.25%, 5/15/2030 (b)
|
3,285
|
2,958
|
|
4.75%, 2/15/2031 (b)
|
4,360
|
3,732
|
|
10.88%, 1/15/2032 (b)
|
2,503
|
2,668
|
|
DaVita, Inc.
|
||
|
4.63%, 6/1/2030 (b)
|
2,040
|
1,906
|
|
3.75%, 2/15/2031 (b)
|
10,437
|
9,244
|
|
Encompass Health Corp.
|
||
|
5.75%, 9/15/2025
|
558
|
558
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
4.50%, 2/1/2028
|
5,839
|
5,751
|
|
4.75%, 2/1/2030
|
3,939
|
3,840
|
|
4.63%, 4/1/2031
|
5,697
|
5,432
|
|
Owens & Minor, Inc.
|
||
|
4.50%, 3/31/2029 (b)
|
7,644
|
6,248
|
|
10.00%, 4/15/2030 (b)
|
3,286
|
3,432
|
|
Tenet Healthcare Corp.
|
||
|
6.25%, 2/1/2027
|
14,007
|
14,017
|
|
5.13%, 11/1/2027
|
27,919
|
27,745
|
|
4.63%, 6/15/2028
|
5,660
|
5,550
|
|
6.13%, 6/15/2030
|
4,809
|
4,856
|
|
6.75%, 5/15/2031
|
5,821
|
5,996
|
|
|
|
117,610
|
|
Health Care Technology — 0.1%
|
||
|
IQVIA, Inc.
|
||
|
5.00%, 10/15/2026 (b)
|
2,203
|
2,196
|
|
5.00%, 5/15/2027 (b)
|
6,927
|
6,882
|
|
|
|
9,078
|
|
Hotel & Resort REITs — 0.2%
|
||
|
RHP Hotel Properties LP
|
||
|
4.75%, 10/15/2027
|
16,946
|
16,745
|
|
7.25%, 7/15/2028 (b)
|
1,850
|
1,908
|
|
4.50%, 2/15/2029 (b)
|
1,090
|
1,052
|
|
6.50%, 4/1/2032 (b)
|
3,370
|
3,416
|
|
6.50%, 6/15/2033 (a) (b)
|
1,012
|
1,029
|
|
|
|
24,150
|
|
Hotels, Restaurants & Leisure — 1.2%
|
||
|
1011778 BC ULC (Canada)
|
||
|
3.88%, 1/15/2028 (b)
|
1,390
|
1,345
|
|
4.00%, 10/15/2030 (b)
|
4,670
|
4,295
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (b)
|
4,913
|
4,721
|
|
Caesars Entertainment, Inc.
|
||
|
8.13%, 7/1/2027 (b)
|
591
|
592
|
|
4.63%, 10/15/2029 (b)
|
4,768
|
4,453
|
|
7.00%, 2/15/2030 (b)
|
5,770
|
5,921
|
|
6.50%, 2/15/2032 (b)
|
6,228
|
6,278
|
|
Carnival Corp.
|
||
|
5.75%, 3/1/2027 (b)
|
5,250
|
5,263
|
|
4.00%, 8/1/2028 (b)
|
3,391
|
3,277
|
|
6.00%, 5/1/2029 (b)
|
8,650
|
8,673
|
|
6.13%, 2/15/2033 (b)
|
9,648
|
9,672
|
|
Hilton Domestic Operating Co., Inc.
|
||
|
5.75%, 5/1/2028 (b)
|
6,795
|
6,803
|
|
3.75%, 5/1/2029 (b)
|
6,329
|
5,979
|
|
5.88%, 3/15/2033 (b)
|
8,062
|
8,116
|
|
International Game Technology plc 6.25%, 1/15/2027 (b)
|
3,480
|
3,518
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Hotels, Restaurants & Leisure — continued
|
||
|
MGM Resorts International
|
||
|
4.63%, 9/1/2026
|
4,489
|
4,470
|
|
5.50%, 4/15/2027
|
2,685
|
2,690
|
|
6.13%, 9/15/2029
|
3,369
|
3,385
|
|
6.50%, 4/15/2032
|
1,815
|
1,811
|
|
Motion Bondco DAC (United Kingdom) 6.63%, 11/15/2027 (b)
|
500
|
473
|
|
Royal Caribbean Cruises Ltd.
|
||
|
5.63%, 9/30/2031 (b)
|
5,349
|
5,287
|
|
6.25%, 3/15/2032 (b)
|
10,377
|
10,517
|
|
6.00%, 2/1/2033 (b)
|
3,651
|
3,664
|
|
Six Flags Entertainment Corp.
|
||
|
7.00%, 7/1/2025 (b)
|
1,042
|
1,043
|
|
5.50%, 4/15/2027 (b)
|
12,577
|
12,549
|
|
5.25%, 7/15/2029
|
4,600
|
4,466
|
|
6.63%, 5/1/2032 (b)
|
4,574
|
4,663
|
|
Station Casinos LLC 4.50%, 2/15/2028 (b)
|
5,375
|
5,213
|
|
Studio City Finance Ltd. (Macau) 5.00%, 1/15/2029 (i)
|
1,950
|
1,762
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (b)
|
6,657
|
6,819
|
|
Wynn Las Vegas LLC 5.25%, 5/15/2027 (b)
|
695
|
692
|
|
Wynn Resorts Finance LLC
|
||
|
5.13%, 10/1/2029 (b)
|
18,760
|
18,294
|
|
6.25%, 3/15/2033 (b)
|
2,522
|
2,494
|
|
|
|
169,198
|
|
Household Durables — 0.2%
|
||
|
CD&R Smokey Buyer, Inc. 9.50%, 10/15/2029 (b)
|
5,232
|
4,342
|
|
Newell Brands, Inc.
|
||
|
5.70%, 4/1/2026 (k)
|
1,579
|
1,590
|
|
8.50%, 6/1/2028 (b)
|
2,535
|
2,623
|
|
6.38%, 5/15/2030
|
4,382
|
4,117
|
|
6.63%, 5/15/2032
|
3,286
|
3,032
|
|
6.87%, 4/1/2036 (k)
|
3,780
|
3,474
|
|
Somnigroup International, Inc. 4.00%, 4/15/2029 (b)
|
13,065
|
12,305
|
|
|
|
31,483
|
|
Household Products — 0.2%
|
||
|
Central Garden & Pet Co.
|
||
|
5.13%, 2/1/2028
|
8,885
|
8,883
|
|
4.13%, 10/15/2030
|
4,405
|
4,074
|
|
Energizer Holdings, Inc.
|
||
|
4.75%, 6/15/2028 (b)
|
10,953
|
10,562
|
|
4.38%, 3/31/2029 (b)
|
3,012
|
2,829
|
|
Spectrum Brands, Inc. 3.88%, 3/15/2031 (b)
|
783
|
625
|
|
|
|
26,973
|
|
Independent Power and Renewable Electricity Producers — 0.1%
|
||
|
Calpine Corp. 4.63%, 2/1/2029 (b)
|
1,090
|
1,062
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple (Mexico) 7.25%, 1/31/2041 (b)
|
2,533
|
2,492
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Independent Power and Renewable Electricity Producers — continued
|
||
|
Saavi Energia Sarl (Mexico) 8.88%, 2/10/2035 (b)
|
4,754
|
4,840
|
|
Termocandelaria Power SA (Colombia) 7.75%, 9/17/2031 (b)
|
3,440
|
3,423
|
|
|
|
11,817
|
|
Interactive Media & Services — 0.0% ^
|
||
|
Snap, Inc. 6.88%, 3/1/2033 (b)
|
2,224
|
2,253
|
|
IT Services — 0.1%
|
||
|
CoreWeave, Inc. 9.25%, 6/1/2030 (b)
|
3,848
|
3,844
|
|
Identity Digital Ltd. (Ireland) 6.79%, 3/20/2065 ‡
|
13,000
|
13,000
|
|
|
|
16,844
|
|
Leisure Products — 0.0% ^
|
||
|
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (b)
|
3,975
|
4,104
|
|
Machinery — 0.1%
|
||
|
Chart Industries, Inc. 7.50%, 1/1/2030 (b)
|
8,982
|
9,376
|
|
Enpro, Inc. 6.13%, 6/1/2033 (b)
|
1,206
|
1,215
|
|
Esab Corp. 6.25%, 4/15/2029 (b)
|
2,590
|
2,634
|
|
Terex Corp.
|
||
|
5.00%, 5/15/2029 (b)
|
4,140
|
3,989
|
|
6.25%, 10/15/2032 (b)
|
2,456
|
2,415
|
|
|
|
19,629
|
|
Marine Transportation — 0.0% ^
|
||
|
MV24 Capital BV (Brazil)
|
||
|
6.75%, 6/1/2034 (b)
|
3,317
|
3,175
|
|
6.75%, 6/1/2034 (i)
|
2,256
|
2,160
|
|
|
|
5,335
|
|
Media — 2.1%
|
||
|
Clear Channel Outdoor Holdings, Inc.
|
||
|
5.13%, 8/15/2027 (b)
|
17,467
|
17,087
|
|
7.75%, 4/15/2028 (b)
|
8,129
|
7,428
|
|
9.00%, 9/15/2028 (b)
|
2,567
|
2,688
|
|
CSC Holdings LLC
|
||
|
5.38%, 2/1/2028 (b)
|
3,100
|
2,827
|
|
6.50%, 2/1/2029 (b)
|
14,326
|
11,430
|
|
5.75%, 1/15/2030 (b)
|
4,770
|
2,408
|
|
Directv Financing LLC 5.88%, 8/15/2027 (b)
|
8,227
|
8,098
|
|
DISH DBS Corp.
|
||
|
7.75%, 7/1/2026
|
19,231
|
16,534
|
|
5.25%, 12/1/2026 (b)
|
12,175
|
11,239
|
|
DISH Network Corp. 11.75%, 11/15/2027 (b)
|
17,497
|
18,052
|
|
EchoStar Corp.
|
||
|
10.75%, 11/30/2029
|
9,760
|
9,808
|
|
6.75% (PIK), 11/30/2030 (d)
|
4,807
|
4,132
|
|
Gray Media, Inc.
|
||
|
7.00%, 5/15/2027 (b)
|
4,469
|
4,438
|
|
10.50%, 7/15/2029 (b)
|
13,176
|
14,013
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
4.75%, 10/15/2030 (b)
|
6,940
|
5,023
|
|
5.38%, 11/15/2031 (b)
|
6,308
|
4,504
|
|
iHeartCommunications, Inc.
|
||
|
9.13%, 5/1/2029 (b)
|
8,680
|
7,182
|
|
10.88%, 5/1/2030 (b)
|
3,283
|
1,606
|
|
7.75%, 8/15/2030 (b)
|
12,798
|
9,856
|
|
Lamar Media Corp. 4.88%, 1/15/2029
|
2,406
|
2,363
|
|
Midcontinent Communications 8.00%, 8/15/2032 (b)
|
2,745
|
2,839
|
|
Nexstar Media, Inc.
|
||
|
5.63%, 7/15/2027 (b)
|
14,898
|
14,838
|
|
4.75%, 11/1/2028 (b)
|
9,786
|
9,415
|
|
Outfront Media Capital LLC
|
||
|
5.00%, 8/15/2027 (b)
|
4,833
|
4,771
|
|
4.25%, 1/15/2029 (b)
|
3,055
|
2,889
|
|
Paramount Global (3-MONTH SOFR + 3.90%), 6.25%, 2/28/2057 (h)
|
524
|
494
|
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (b)
|
3,265
|
2,792
|
|
Sinclair Television Group, Inc. 8.13%, 2/15/2033 (b)
|
6,662
|
6,665
|
|
Sirius XM Radio LLC
|
||
|
5.00%, 8/1/2027 (b)
|
7,805
|
7,724
|
|
4.00%, 7/15/2028 (b)
|
14,710
|
13,959
|
|
5.50%, 7/1/2029 (b)
|
18,429
|
18,128
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (b)
|
6,910
|
6,497
|
|
Sunrise FinCo. I BV (Netherlands) 4.88%, 7/15/2031 (b)
|
3,485
|
3,236
|
|
TEGNA, Inc. 5.00%, 9/15/2029
|
8,952
|
8,527
|
|
Telenet Finance Luxembourg Notes SARL (Belgium) 5.50%, 3/1/2028 (b)
|
2,400
|
2,364
|
|
Univision Communications, Inc.
|
||
|
8.00%, 8/15/2028 (b)
|
12,339
|
12,347
|
|
7.38%, 6/30/2030 (b)
|
1,540
|
1,440
|
|
VZ Secured Financing BV (Netherlands) 5.00%, 1/15/2032 (b)
|
1,738
|
1,502
|
|
Ziggo BV (Netherlands) 4.88%, 1/15/2030 (b)
|
2,750
|
2,510
|
|
|
|
283,653
|
|
Metals & Mining — 0.3%
|
||
|
Alcoa Nederland Holding BV 7.13%, 3/15/2031 (b)
|
5,709
|
5,927
|
|
Alumina Pty. Ltd.
|
||
|
6.13%, 3/15/2030 (b)
|
1,526
|
1,528
|
|
6.38%, 9/15/2032 (b)
|
1,966
|
1,944
|
|
Big River Steel LLC 6.63%, 1/31/2029 (b)
|
2,951
|
2,973
|
|
Cleveland-Cliffs, Inc.
|
||
|
5.88%, 6/1/2027
|
2,535
|
2,497
|
|
4.88%, 3/1/2031 (b)
|
3,725
|
3,044
|
|
7.50%, 9/15/2031 (b)
|
1,832
|
1,648
|
|
7.00%, 3/15/2032 (b)
|
1,497
|
1,291
|
|
Constellium SE 6.38%, 8/15/2032 (b)
|
1,500
|
1,494
|
|
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (i)
|
4,300
|
4,066
|
|
Novelis Corp.
|
||
|
4.75%, 1/30/2030 (b)
|
7,130
|
6,778
|
|
6.88%, 1/30/2030 (b)
|
866
|
893
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Metals & Mining — continued
|
||
|
3.88%, 8/15/2031 (b)
|
2,745
|
2,440
|
|
WE Soda Investments Holding plc (Turkey) 9.50%, 10/6/2028 (i)
|
2,400
|
2,472
|
|
|
|
38,995
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.7%
|
||
|
Arbor Realty Trust, Inc.
|
||
|
5.00%, 4/30/2026
|
15,000
|
14,541
|
|
Series QIB, 4.50%, 9/1/2026 (b)
|
14,500
|
13,785
|
|
Series QIB, 4.50%, 3/15/2027 (b)
|
20,000
|
18,510
|
|
Great Ajax Operating Partnership LP Series QIB, 9.88%, 9/1/2027 (b) (k)
|
11,000
|
10,762
|
|
ReadyCap Holdings LLC
|
||
|
Series QIB, 4.50%, 10/20/2026 (b)
|
20,000
|
18,936
|
|
Series QIB, 9.38%, 3/1/2028 (b)
|
17,000
|
16,981
|
|
|
|
93,515
|
|
Multi-Utilities — 0.0% ^
|
||
|
Empresas Publicas de Medellin ESP (Colombia) 4.25%, 7/18/2029 (i)
|
2,800
|
2,544
|
|
Oil, Gas & Consumable Fuels — 3.3%
|
||
|
AI Candelaria -spain- SA (Colombia)
|
||
|
7.50%, 12/15/2028 (i)
|
1,632
|
1,603
|
|
5.75%, 6/15/2033 (b)
|
3,974
|
3,320
|
|
Antero Midstream Partners LP
|
||
|
5.75%, 3/1/2027 (b)
|
7,214
|
7,208
|
|
5.75%, 1/15/2028 (b)
|
4,604
|
4,586
|
|
5.38%, 6/15/2029 (b)
|
8,884
|
8,794
|
|
Antero Resources Corp. 7.63%, 2/1/2029 (b)
|
4,344
|
4,447
|
|
Ascent Resources Utica Holdings LLC
|
||
|
8.25%, 12/31/2028 (b)
|
4,845
|
4,918
|
|
6.63%, 10/15/2032 (b)
|
3,505
|
3,525
|
|
Azule Energy Finance plc (Angola) 8.13%, 1/23/2030 (i)
|
2,300
|
2,239
|
|
Bapco Energies BSC Closed (Bahrain) 7.50%, 10/25/2027 (i)
|
2,200
|
2,244
|
|
Baytex Energy Corp. (Canada)
|
||
|
8.50%, 4/30/2030 (b)
|
7,755
|
7,514
|
|
7.38%, 3/15/2032 (b)
|
2,260
|
2,052
|
|
Blue Racer Midstream LLC
|
||
|
7.00%, 7/15/2029 (b)
|
1,935
|
1,999
|
|
7.25%, 7/15/2032 (b)
|
1,565
|
1,623
|
|
BP Capital Markets plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 4.04%), 4.38%,
6/22/2025 (f) (g) (h)
|
2,626
|
2,616
|
|
Buckeye Partners LP
|
||
|
3.95%, 12/1/2026
|
3,120
|
3,059
|
|
4.50%, 3/1/2028 (b)
|
7,392
|
7,221
|
|
6.75%, 2/1/2030 (b)
|
4,148
|
4,282
|
|
California Resources Corp. 7.13%, 2/1/2026 (b)
|
1,424
|
1,423
|
|
Chord Energy Corp. 6.75%, 3/15/2033 (b)
|
3,081
|
3,060
|
|
Civitas Resources, Inc.
|
||
|
8.38%, 7/1/2028 (b)
|
4,960
|
4,997
|
|
8.63%, 11/1/2030 (b)
|
7,158
|
7,059
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
8.75%, 7/1/2031 (b)
|
5,077
|
4,964
|
|
9.63%, 6/15/2033 (b)
|
1,450
|
1,452
|
|
Columbia Pipelines Holding Co. LLC 6.04%, 8/15/2028 (b)
|
5,590
|
5,761
|
|
Comstock Resources, Inc.
|
||
|
6.75%, 3/1/2029 (b)
|
12,256
|
12,080
|
|
5.88%, 1/15/2030 (b)
|
5,300
|
5,012
|
|
Crescent Energy Finance LLC
|
||
|
9.25%, 2/15/2028 (b)
|
12,557
|
12,965
|
|
7.38%, 1/15/2033 (b)
|
2,295
|
2,130
|
|
Diversified Gas & Oil Corp. 9.75%, 4/9/2029 (i)
|
28,000
|
26,938
|
|
DT Midstream, Inc.
|
||
|
4.13%, 6/15/2029 (b)
|
6,149
|
5,857
|
|
4.38%, 6/15/2031 (b)
|
5,485
|
5,122
|
|
Ecopetrol SA (Colombia)
|
||
|
8.63%, 1/19/2029
|
2,480
|
2,602
|
|
8.88%, 1/13/2033
|
2,525
|
2,570
|
|
8.38%, 1/19/2036
|
974
|
926
|
|
5.88%, 5/28/2045
|
3,645
|
2,453
|
|
Encino Acquisition Partners Holdings LLC
|
||
|
8.50%, 5/1/2028 (b)
|
9,801
|
10,053
|
|
8.75%, 5/1/2031 (b)
|
500
|
546
|
|
Energy Transfer LP
|
||
|
5.35%, 5/15/2045
|
740
|
647
|
|
5.30%, 4/15/2047
|
430
|
365
|
|
EQT Corp.
|
||
|
7.50%, 6/1/2027 (b)
|
530
|
540
|
|
4.75%, 1/15/2031 (b)
|
7,648
|
7,399
|
|
Expand Energy Corp.
|
||
|
6.75%, 4/15/2029 (b)
|
17,892
|
18,102
|
|
5.38%, 3/15/2030
|
5,996
|
5,963
|
|
4.75%, 2/1/2032
|
1,124
|
1,060
|
|
FS Luxembourg Sarl (Brazil) 8.88%, 2/12/2031 (b)
|
2,753
|
2,781
|
|
Genesis Energy LP
|
||
|
7.75%, 2/1/2028
|
2,975
|
3,001
|
|
8.25%, 1/15/2029
|
1,127
|
1,166
|
|
7.88%, 5/15/2032
|
1,622
|
1,643
|
|
8.00%, 5/15/2033
|
1,081
|
1,097
|
|
Greenko Wind Projects Mauritius Ltd. (India) 7.25%, 9/27/2028 (i)
|
1,400
|
1,385
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (b)
|
3,459
|
3,509
|
|
Hess Midstream Operations LP
|
||
|
5.88%, 3/1/2028 (b)
|
1,091
|
1,102
|
|
5.13%, 6/15/2028 (b)
|
4,010
|
3,957
|
|
Hilcorp Energy I LP 6.25%, 4/15/2032 (b)
|
2,760
|
2,515
|
|
Howard Midstream Energy Partners LLC 8.88%, 7/15/2028 (b)
|
1,780
|
1,861
|
|
Kinetik Holdings LP 5.88%, 6/15/2030 (b)
|
8,229
|
8,180
|
|
Matador Resources Co. 6.25%, 4/15/2033 (b)
|
7,038
|
6,779
|
|
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (i)
|
3,086
|
3,080
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
NGL Energy Operating LLC
|
||
|
8.13%, 2/15/2029 (b)
|
2,368
|
2,315
|
|
8.38%, 2/15/2032 (b)
|
3,016
|
2,852
|
|
NuStar Logistics LP
|
||
|
5.63%, 4/28/2027
|
6,397
|
6,413
|
|
6.38%, 10/1/2030
|
2,304
|
2,347
|
|
Permian Resources Operating LLC
|
||
|
5.88%, 7/1/2029 (b)
|
2,265
|
2,237
|
|
9.88%, 7/15/2031 (b)
|
9,292
|
10,148
|
|
6.25%, 2/1/2033 (b)
|
2,738
|
2,701
|
|
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (i)
|
12,501
|
11,532
|
|
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (b)
|
3,110
|
1,882
|
|
Petroleos Mexicanos (Mexico)
|
||
|
6.88%, 8/4/2026
|
3,300
|
3,270
|
|
5.35%, 2/12/2028
|
10,300
|
9,723
|
|
5.95%, 1/28/2031
|
14,950
|
12,923
|
|
6.70%, 2/16/2032
|
3,600
|
3,214
|
|
10.00%, 2/7/2033
|
6,205
|
6,397
|
|
6.38%, 1/23/2045
|
5,548
|
3,706
|
|
7.69%, 1/23/2050
|
9,300
|
6,848
|
|
6.95%, 1/28/2060
|
10,150
|
6,858
|
|
Range Resources Corp.
|
||
|
8.25%, 1/15/2029
|
9,100
|
9,348
|
|
4.75%, 2/15/2030 (b)
|
1,130
|
1,086
|
|
Rockies Express Pipeline LLC 6.75%, 3/15/2033 (b)
|
2,243
|
2,310
|
|
SM Energy Co.
|
||
|
6.75%, 9/15/2026
|
2,864
|
2,859
|
|
6.63%, 1/15/2027
|
8,450
|
8,459
|
|
6.75%, 8/1/2029 (b)
|
2,786
|
2,730
|
|
7.00%, 8/1/2032 (b)
|
2,385
|
2,290
|
|
Sunoco LP
|
||
|
6.00%, 4/15/2027
|
1,385
|
1,384
|
|
7.00%, 5/1/2029 (b)
|
1,615
|
1,667
|
|
4.50%, 5/15/2029
|
3,979
|
3,812
|
|
Tallgrass Energy Partners LP
|
||
|
6.00%, 3/1/2027 (b)
|
3,040
|
3,036
|
|
5.50%, 1/15/2028 (b)
|
2,519
|
2,503
|
|
6.00%, 12/31/2030 (b)
|
4,775
|
4,575
|
|
6.00%, 9/1/2031 (b)
|
2,550
|
2,430
|
|
Targa Resources Partners LP 6.50%, 7/15/2027
|
4,573
|
4,582
|
|
Uzbekneftegaz JSC (Uzbekistan) 4.75%, 11/16/2028 (b)
|
2,500
|
2,259
|
|
Venture Global Calcasieu Pass LLC
|
||
|
4.13%, 8/15/2031 (b)
|
2,465
|
2,230
|
|
3.88%, 11/1/2033 (b)
|
2,495
|
2,131
|
|
Venture Global LNG, Inc.
|
||
|
8.13%, 6/1/2028 (b)
|
7,668
|
7,847
|
|
9.50%, 2/1/2029 (b)
|
2,300
|
2,459
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
7.00%, 1/15/2030 (b)
|
4,020
|
4,002
|
|
9.88%, 2/1/2032 (b)
|
11,510
|
12,245
|
|
Vital Energy, Inc.
|
||
|
9.75%, 10/15/2030
|
2,000
|
1,762
|
|
7.88%, 4/15/2032 (b)
|
2,044
|
1,658
|
|
|
|
452,382
|
|
Passenger Airlines — 0.3%
|
||
|
American Airlines, Inc.
|
||
|
5.50%, 4/20/2026 (b)
|
9,427
|
9,411
|
|
5.75%, 4/20/2029 (b)
|
9,666
|
9,491
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (b)
|
7,178
|
7,100
|
|
United Airlines, Inc. 4.38%, 4/15/2026 (b)
|
8,142
|
8,046
|
|
|
|
34,048
|
|
Personal Care Products — 0.2%
|
||
|
Edgewell Personal Care Co.
|
||
|
5.50%, 6/1/2028 (b)
|
15,000
|
14,747
|
|
4.13%, 4/1/2029 (b)
|
3,313
|
3,099
|
|
Prestige Brands, Inc.
|
||
|
5.13%, 1/15/2028 (b)
|
4,673
|
4,650
|
|
3.75%, 4/1/2031 (b)
|
3,315
|
3,009
|
|
|
|
25,505
|
|
Pharmaceuticals — 0.6%
|
||
|
1261229 BC Ltd. 10.00%, 4/15/2032 (b)
|
8,633
|
8,547
|
|
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (b)
|
20,927
|
20,617
|
|
Bausch Health Cos., Inc.
|
||
|
5.00%, 2/15/2029 (b)
|
19,402
|
12,320
|
|
5.25%, 1/30/2030 (b)
|
2,020
|
1,147
|
|
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (b)
|
2,300
|
2,191
|
|
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (k)
|
6,862
|
7,051
|
|
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (b)
|
1,321
|
1,367
|
|
EndoDesign (Ireland) 0.00%, 10/15/2024 ‡ (j)
|
700
|
—
|
|
GCB144A Endo (Luxembourg) 0.00%, 4/1/2029 ‡
|
1,520
|
—
|
|
Mallinckrodt International Finance SA 14.75%, 11/14/2028 (b)
|
3,072
|
3,199
|
|
Organon & Co.
|
||
|
4.13%, 4/30/2028 (b)
|
11,522
|
10,823
|
|
5.13%, 4/30/2031 (b)
|
11,100
|
9,327
|
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (j)
|
7,330
|
—
|
|
|
|
76,589
|
|
Professional Services — 0.0% ^
|
||
|
Triad Resources LLC 10.50%, 4/1/2052 ‡
|
1,650
|
1,650
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Real Estate Management & Development — 0.0% ^
|
||
|
Anywhere Real Estate Group LLC
|
||
|
5.75%, 1/15/2029 (b)
|
2,452
|
2,010
|
|
5.25%, 4/15/2030 (b)
|
785
|
610
|
|
|
|
2,620
|
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (b)
|
6,220
|
6,240
|
|
Entegris, Inc.
|
||
|
4.38%, 4/15/2028 (b)
|
3,513
|
3,392
|
|
4.75%, 4/15/2029 (b)
|
9,695
|
9,413
|
|
3.63%, 5/1/2029 (b)
|
881
|
822
|
|
5.95%, 6/15/2030 (b)
|
5,620
|
5,623
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (b)
|
10,381
|
9,915
|
|
|
|
35,405
|
|
Software — 0.3%
|
||
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b)
|
4,805
|
4,630
|
|
Fair Isaac Corp. 6.00%, 5/15/2033 (b)
|
1,989
|
1,985
|
|
NCR Voyix Corp.
|
||
|
5.00%, 10/1/2028 (b)
|
8,369
|
8,254
|
|
5.13%, 4/15/2029 (b)
|
1,776
|
1,731
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (b)
|
3,625
|
3,829
|
|
SS&C Technologies, Inc.
|
||
|
5.50%, 9/30/2027 (b)
|
18,840
|
18,819
|
|
6.50%, 6/1/2032 (b)
|
1,395
|
1,432
|
|
|
|
40,680
|
|
Specialized REITs — 0.1%
|
||
|
Iron Mountain, Inc.
|
||
|
5.25%, 3/15/2028 (b)
|
3,027
|
2,994
|
|
5.00%, 7/15/2028 (b)
|
4,037
|
3,976
|
|
5.25%, 7/15/2030 (b)
|
2,955
|
2,883
|
|
6.25%, 1/15/2033 (b)
|
489
|
494
|
|
|
|
10,347
|
|
Specialty Retail — 0.6%
|
||
|
Asbury Automotive Group, Inc.
|
||
|
4.50%, 3/1/2028
|
5,040
|
4,910
|
|
4.63%, 11/15/2029 (b)
|
1,438
|
1,367
|
|
4.75%, 3/1/2030
|
3,556
|
3,377
|
|
Bath & Body Works, Inc.
|
||
|
7.50%, 6/15/2029
|
3,724
|
3,817
|
|
6.75%, 7/1/2036
|
4,560
|
4,516
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡
|
1,155
|
—
|
|
Gap, Inc. (The) 3.63%, 10/1/2029 (b)
|
2,395
|
2,187
|
|
Lithia Motors, Inc. 3.88%, 6/1/2029 (b)
|
9,962
|
9,382
|
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
6,411
|
6,010
|
|
PetSmart, Inc.
|
||
|
4.75%, 2/15/2028 (b)
|
11,820
|
11,407
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Specialty Retail — continued
|
||
|
7.75%, 2/15/2029 (b)
|
11,927
|
11,611
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b)
|
11,072
|
10,577
|
|
Staples, Inc.
|
||
|
10.75%, 9/1/2029 (b)
|
11,030
|
9,985
|
|
12.75%, 1/15/2030 (b)
|
2,850
|
1,835
|
|
|
|
80,981
|
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
|
Diebold Nixdorf, Inc. 7.75%, 3/31/2030 (b)
|
2,569
|
2,700
|
|
Seagate HDD Cayman
|
||
|
4.09%, 6/1/2029
|
4,315
|
4,127
|
|
3.13%, 7/15/2029
|
5,160
|
4,644
|
|
8.25%, 12/15/2029
|
3,490
|
3,720
|
|
8.50%, 7/15/2031
|
757
|
808
|
|
Xerox Corp. 10.25%, 10/15/2030 (b)
|
1,750
|
1,799
|
|
Xerox Holdings Corp.
|
||
|
5.50%, 8/15/2028 (b)
|
4,240
|
2,968
|
|
8.88%, 11/30/2029 (b)
|
3,105
|
2,092
|
|
|
|
22,858
|
|
Tobacco — 0.0% ^
|
||
|
Reynolds American, Inc. (United Kingdom) 5.85%, 8/15/2045
|
1,360
|
1,282
|
|
Trading Companies & Distributors — 0.5%
|
||
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (b)
|
9,948
|
9,876
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (b)
|
20,263
|
19,416
|
|
QXO Building Products, Inc. 6.75%, 4/30/2032 (b)
|
4,750
|
4,870
|
|
United Rentals North America, Inc.
|
||
|
4.88%, 1/15/2028
|
9,900
|
9,795
|
|
6.13%, 3/15/2034 (b)
|
3,110
|
3,152
|
|
WESCO Distribution, Inc.
|
||
|
7.25%, 6/15/2028 (b)
|
6,396
|
6,472
|
|
6.38%, 3/15/2029 (b)
|
5,249
|
5,358
|
|
6.63%, 3/15/2032 (b)
|
3,090
|
3,163
|
|
6.38%, 3/15/2033 (b)
|
1,631
|
1,661
|
|
|
|
63,763
|
|
Transportation Infrastructure — 0.0% ^
|
||
|
Prumo Participacoes e Investimentos S/A (Brazil) 7.50%, 12/31/2031 (i)
|
3,958
|
4,004
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
Altice France Holding SA (Luxembourg)
|
||
|
10.50%, 5/15/2027 (b)
|
9,038
|
3,231
|
|
6.00%, 2/15/2028 (b)
|
2,265
|
825
|
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026
|
6,777
|
4,750
|
|
Millicom International Cellular SA (Guatemala)
|
||
|
5.13%, 1/15/2028 (i)
|
3,240
|
3,171
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Wireless Telecommunication Services — continued
|
||
|
6.25%, 3/25/2029 (b)
|
900
|
893
|
|
Vodafone Group plc (United Kingdom) (USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (h)
|
3,300
|
3,394
|
|
|
|
16,264
|
|
Total Corporate Bonds
(Cost $3,175,894)
|
|
3,127,231
|
|
Asset-Backed Securities — 17.4%
|
||
|
ABFC Trust Series 2002-OPT1, Class M1, 5.53%, 5/25/2032 (c)
|
64
|
68
|
|
ACC Trust
|
|
|
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (b)
|
5,761
|
2,468
|
|
Series 2022-1, Class D, 6.65%, 10/20/2028 (b)
|
9,131
|
—
|
|
Accelerated Assets LLC
|
|
|
|
Series 2018-1, Class B, 4.51%, 12/2/2033 (b)
|
70
|
69
|
|
Series 2018-1, Class C, 6.65%, 12/2/2033 (b)
|
152
|
149
|
|
Accelerated LLC
|
|
|
|
Series 2021-1H, Class A, 1.35%, 10/20/2040 (b)
|
996
|
920
|
|
Series 2021-1H, Class B, 1.90%, 10/20/2040 (b)
|
1,225
|
1,134
|
|
Series 2021-1H, Class D, 3.58%, 10/20/2040 (b)
|
1,685
|
1,506
|
|
Affirm Asset Securitization Trust
|
|
|
|
Series 2024-A, Class 1C, 6.16%, 2/15/2029 (b)
|
1,000
|
1,002
|
|
Series 2024-B, Class A, 4.62%, 9/15/2029 (b)
|
9,600
|
9,582
|
|
Series 2024-B, Class D, 5.50%, 9/15/2029 (b)
|
5,300
|
5,263
|
|
AGL CLO Ltd. (Cayman Islands) Series 2020-9A, Class BR, 6.27%, 4/20/2037 (b) (c)
|
8,000
|
8,029
|
|
Aimco CLO Ltd. (Cayman Islands) Series 2021-14A, Class B, 5.88%, 4/20/2034 (b) (c)
|
3,500
|
3,505
|
|
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (b)
|
348
|
350
|
|
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030
|
3,723
|
3,486
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (b)
|
12,853
|
12,857
|
|
Series 2022-3, Class E, 8.08%, 10/13/2028 (b)
|
3,000
|
3,038
|
|
Series 2023-1, Class D, 6.35%, 4/12/2029 (b)
|
5,575
|
5,630
|
|
Series 2024-2, Class D, 6.53%, 4/12/2030 (b)
|
9,856
|
10,071
|
|
Series 2024-1, Class D, 5.86%, 5/13/2030 (b)
|
4,810
|
4,844
|
|
Series 2024-3, Class D, 6.04%, 7/12/2030 (b)
|
6,350
|
6,469
|
|
Series 2023-4, Class D, 7.65%, 9/12/2030 (b)
|
6,700
|
6,951
|
|
Series 2025-2, Class C, 5.11%, 3/12/2031 (b)
|
5,585
|
5,595
|
|
Series 2025-2, Class D, 5.50%, 7/14/2031 (b)
|
7,800
|
7,821
|
|
Series 2024-4, Class D, 5.34%, 8/12/2031 (b)
|
11,581
|
11,562
|
|
Series 2023-4, Class E, 9.79%, 8/12/2031 (b)
|
3,000
|
3,156
|
|
AMSR Trust
|
|
|
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (b)
|
10,005
|
9,971
|
|
Series 2020-SFR2, Class H, 5.25%, 7/17/2037 (b)
|
7,500
|
7,474
|
|
Series 2020-SFR5, Class F, 2.69%, 11/17/2037 (b)
|
18,177
|
17,895
|
|
Series 2020-SFR5, Class G, 4.11%, 11/17/2037 (b)
|
7,300
|
7,224
|
|
Series 2019-SFR1, Class F, 3.87%, 1/19/2039 (b)
|
5,310
|
5,108
|
|
Series 2019-SFR1, Class G, 4.86%, 1/19/2039 (b)
|
2,125
|
2,052
|
|
Series 2019-SFR1, Class H, 6.04%, 1/19/2039 (b)
|
2,125
|
2,063
|
|
Series 2022-SFR1, Class E2, 4.64%, 3/17/2039 (b)
|
9,913
|
9,709
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (b)
|
9,913
|
9,778
|
|
Series 2022-SFR3, Class F, 4.00%, 10/17/2039 (b)
|
11,000
|
10,332
|
|
Apidos CLO (Cayman Islands) Series 2016-25A, Class BR3, 5.87%, 1/20/2037 (b) (c)
|
5,100
|
5,110
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class C, 4.01%, 7/16/2040 (b)
|
3,670
|
3,571
|
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (b)
|
3,467
|
3,357
|
|
Ares CLO Ltd. (Cayman Islands) Series 2015-4A, Class BRR, 6.01%, 10/15/2030 (b) (c)
|
6,233
|
6,232
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2020-1A, Class D, 3.34%, 8/20/2026 (b)
|
5,250
|
5,225
|
|
Series 2023-4A, Class C, 7.24%, 6/20/2029 (b)
|
3,530
|
3,669
|
|
Series 2024-1A, Class C, 6.48%, 6/20/2030 (b)
|
2,500
|
2,550
|
|
Series 2024-3A, Class B, 5.58%, 12/20/2030 (b)
|
2,625
|
2,660
|
|
Series 2024-3A, Class C, 6.11%, 12/20/2030 (b)
|
2,450
|
2,459
|
|
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class BR2, 5.87%, 4/19/2034 (b) (c)
|
5,000
|
5,003
|
|
Bain Capital Credit CLO Ltd. Series 2022-3A, Class B, 6.28%, 7/17/2035 (b) (c)
|
6,505
|
6,524
|
|
Ballyrock CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2020-2A, Class A2R, 6.08%, 10/20/2031 (b) (c)
|
4,420
|
4,429
|
|
Series 2020-2A, Class DR, 10.68%, 10/20/2031 (b) (c)
|
2,250
|
2,242
|
|
Series 2021-17A, Class A2, 6.13%, 10/20/2034 (b) (c)
|
9,000
|
9,015
|
|
Series 2024-27A, Class A2, 5.88%, 10/25/2037 (b) (c)
|
3,775
|
3,778
|
|
Barings CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2022-1A, Class B, 6.22%, 4/15/2035 (b) (c)
|
2,600
|
2,606
|
|
Series 2022-3A, Class A2R, 5.86%, 10/20/2037 (b) (c)
|
5,250
|
5,255
|
|
Bastion Funding I LLC Series 2023-1A, Class C, 11.74%, 4/25/2038 ‡ (b)
|
3,905
|
3,901
|
|
Bayview Opportunity Master Fund LLC
|
|
|
|
Series 2024-CAR1, Class C, 5.82%, 12/26/2031 (b) (c)
|
1,123
|
1,127
|
|
Series 2024-CAR1, Class D, 6.37%, 12/26/2031 (b) (c)
|
284
|
286
|
|
Series 2024-CAR1, Class E, 7.92%, 12/26/2031 (b) (c)
|
853
|
858
|
|
BlueMountain CLO Ltd. (Cayman Islands) Series 2019-26A, Class CR, 6.73%, 10/20/2034 (b) (c)
|
6,000
|
6,022
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-1, Class D, 6.03%, 11/15/2029
|
2,600
|
2,627
|
|
Series 2024-3, Class D, 5.83%, 5/15/2030
|
8,430
|
8,564
|
|
Series 2024-4, Class D, 5.23%, 8/15/2030
|
17,000
|
16,898
|
|
Series 2025-1, Class D, 5.64%, 11/15/2030
|
10,237
|
10,342
|
|
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%,
11/15/2028 (b)
|
580
|
610
|
|
BSPRT Issuer Ltd.
|
|
|
|
Series 2021-FL7, Class D, 7.19%, 12/15/2038 (b) (c)
|
8,700
|
8,544
|
|
Series 2021-FL7, Class E, 7.84%, 12/15/2038 (b) (c)
|
225
|
221
|
|
Buckhorn Park CLO Ltd. (Cayman Islands) Series 2019-1A, Class ARR, 5.34%, 7/18/2034 (b) (c)
|
17,200
|
17,187
|
|
Business Jet Securities LLC
|
|
|
|
Series 2024-1A, Class A, 6.20%, 5/15/2039 ‡ (b)
|
12,918
|
13,124
|
|
Series 2024-1A, Class C, 9.13%, 5/15/2039 ‡ (b)
|
1,958
|
1,997
|
|
Buttermilk Park CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-1A, Class B1R, 5.86%, 10/15/2031 (b) (c)
|
2,007
|
2,006
|
|
Series 2018-1A, Class CR, 6.21%, 10/15/2031 (b) (c)
|
11,688
|
11,723
|
|
BXG Receivables Note Trust Series 2018-A, Class C, 4.44%, 2/2/2034 (b)
|
358
|
356
|
|
Camden, 8.50%, 9/15/2031 ‡
|
18,284
|
17,873
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
|
Series 2012-3A, Class BR2, 6.70%, 1/14/2032 (b) (c)
|
1,000
|
1,002
|
|
Series 2015-4A, Class A2RR, 6.12%, 7/20/2032 (b) (c)
|
6,000
|
6,014
|
|
Series 2015-4A, Class BRR, 6.72%, 7/20/2032 (b) (c)
|
8,000
|
8,030
|
|
Series 2016-1A, Class CR3, 7.47%, 4/20/2034 (b) (c)
|
12,378
|
12,417
|
|
Carlyle US CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-4A, Class D2R, 8.98%, 10/17/2037 (b) (c)
|
3,500
|
3,502
|
|
Series 2021-7A, Class CR, 6.26%, 4/15/2040 (b) (c)
|
7,500
|
7,524
|
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (b)
|
5,770
|
1,898
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b)
|
2,738
|
2,564
|
|
CARS-DB4 LP
|
|
|
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 (b)
|
4,290
|
4,127
|
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 (b)
|
4,510
|
4,038
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2019-MH1, Class A, 4.00%, 11/25/2044 (b) (c)
|
4,587
|
4,351
|
|
Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (b) (k)
|
8,397
|
8,111
|
|
Centex Home Equity Loan Trust Series 2004-A, Class AF4, 5.01%, 8/25/2032 (k)
|
70
|
70
|
|
CFIN Issuer LLC
|
|
|
|
Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (k)
|
2,260
|
2,242
|
|
Series 2022-RTL1, Class AB, 6.50%, 2/16/2026 ‡ (b) (k)
|
2,260
|
2,233
|
|
CIFC Funding Ltd. (Cayman Islands) Series 2022-2A, Class BR, 5.67%, 4/19/2035 (b) (c)
|
14,750
|
14,655
|
|
CITI Asset Receivables Trust I, 0.00%, 3/15/2031 ‡ (c) (j)
|
133,664
|
137,780
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-1, Class E, 5.54%, 3/15/2052 (b) (c)
|
1,493
|
1,458
|
|
Series 2019-2, Class E, 5.14%, 6/15/2052 (b) (c)
|
5,576
|
5,228
|
|
Series 2019-3, Class XB, IO, 1.36%, 10/15/2052 (b) (c)
|
53,875
|
2,662
|
|
Series 2019-3, Class XA, IO, 2.00%, 10/15/2052 (b) (c)
|
4,622
|
23
|
|
Series 2019-3, Class D, 3.76%, 10/15/2052 (b)
|
8,689
|
8,047
|
|
Series 2019-3, Class E, 4.71%, 10/15/2052 (b) (c)
|
5,810
|
5,295
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2022-1A, Class C, 5.70%, 10/15/2032 (b)
|
808
|
809
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (b)
|
22,000
|
22,571
|
|
Series 2023-2A, Class A, 5.92%, 5/16/2033 (b)
|
2,000
|
2,007
|
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (b)
|
2,295
|
2,356
|
|
Series 2023-5A, Class A, 6.13%, 12/15/2033 (b)
|
7,750
|
7,849
|
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (b)
|
3,866
|
3,966
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b)
|
6,805
|
6,883
|
|
Series 2024-1A, Class B, 6.03%, 5/15/2034 (b)
|
5,988
|
6,097
|
|
Series 2024-2A, Class A, 5.95%, 6/15/2034 (b)
|
9,942
|
10,088
|
|
Series 2024-1A, Class C, 6.71%, 7/17/2034 (b)
|
7,860
|
8,092
|
|
Series 2024-3A, Class A, 4.68%, 9/15/2034 (b)
|
10,398
|
10,409
|
|
Series 2024-3A, Class B, 4.85%, 11/15/2034 (b)
|
8,645
|
8,633
|
|
Series 2024-3A, Class C, 5.39%, 1/16/2035 (b)
|
5,320
|
5,356
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-4, Class M1, 5.16%, 7/25/2034 (c)
|
138
|
143
|
|
DataBank Issuer Series 2021-1A, Class C, 4.43%, 2/27/2051 (b)
|
3,800
|
3,662
|
|
Diversified ABS Phase LLC Series 2024-1A, Class A2, 7.67%, 5/30/2044 ‡ (b)
|
14,269
|
14,341
|
|
Drive Auto Receivables Trust Series 2025-1, Class D, 5.41%, 9/15/2032
|
7,900
|
7,904
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Dryden CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2017-53A, Class C, 6.22%, 1/15/2031 (b) (c)
|
1,000
|
1,000
|
|
Series 2019-80A, Class BR, 6.03%, 1/17/2033 (b) (c)
|
2,540
|
2,548
|
|
Series 2022-109A, Class BR, 5.83%, 4/15/2038 (b) (c)
|
4,000
|
3,998
|
|
DT Auto Owner Trust Series 2022-3A, Class E, 10.99%, 7/16/2029 (b)
|
8,500
|
8,977
|
|
Elara HGV Timeshare Issuer LLC
|
|
|
|
Series 2019-A, Class C, 3.45%, 1/25/2034 (b)
|
422
|
414
|
|
Series 2021-A, Class D, 3.32%, 8/27/2035 (b)
|
1,216
|
1,131
|
|
Elmwood CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2021-3A, Class BR, 6.02%, 4/20/2034 (b) (c)
|
8,847
|
8,860
|
|
Series 2021-3A, Class CR, 6.47%, 4/20/2034 (b) (c)
|
5,420
|
5,418
|
|
Series 2024-3A, Class A, 5.79%, 4/18/2037 (b) (c)
|
18,700
|
18,756
|
|
Series 2021-1A, Class BR, 6.27%, 4/20/2037 (b) (c)
|
5,000
|
5,008
|
|
Series 2019-3A, Class BRR, 5.97%, 7/18/2037 (b) (c)
|
8,200
|
8,221
|
|
Series 2024-12RA, Class CR, 6.27%, 10/20/2037 (b) (c)
|
11,080
|
11,102
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2021-3A, Class E, 3.04%, 12/15/2028 (b)
|
2,845
|
2,778
|
|
Series 2023-2A, Class D, 6.32%, 8/15/2029
|
3,000
|
3,050
|
|
Series 2022-1A, Class E, 5.02%, 10/15/2029 (b)
|
1,330
|
1,289
|
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (b)
|
6,000
|
5,519
|
|
Series 2023-4A, Class D, 6.95%, 12/17/2029
|
5,000
|
5,146
|
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (b)
|
1,138
|
1,160
|
|
Series 2023-1A, Class E, 12.07%, 9/16/2030 (b)
|
4,350
|
4,855
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (b)
|
1,902
|
1,888
|
|
Series 2020-SFR1, Class F2, 4.28%, 8/17/2037 (b)
|
9,000
|
8,942
|
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (b)
|
15,000
|
14,796
|
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (b)
|
13,000
|
12,821
|
|
Series 2022-SFR3, Class F1, PO, 7/17/2038 ‡ (b)
|
9,500
|
8,761
|
|
Series 2022-SFR3, Class F2, PO, 7/17/2038 ‡ (b)
|
8,000
|
7,341
|
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (b)
|
7,333
|
7,079
|
|
Series 2022-SFR1, Class F1, PO, 5/19/2039 ‡ (b)
|
12,700
|
10,990
|
|
Series 2022-SFR1, Class F2, PO, 5/19/2039 ‡ (b)
|
5,559
|
4,757
|
|
Series 2022-SFR2, Class F1, 4.50%, 7/17/2039 (b)
|
10,000
|
9,570
|
|
Series 2022-SFR2, Class F2, 4.50%, 7/17/2039 (b)
|
6,941
|
6,610
|
|
Series 2022-SFR2, Class G, 4.50%, 7/17/2039 (b)
|
11,400
|
10,697
|
|
Flagship Credit Auto Trust Series 2022-3, Class E, 7.95%, 10/15/2029 (b)
|
4,000
|
2,697
|
|
Flatiron CLO Ltd. (Cayman Islands) Series 2024-1A, Class A1, 5.58%, 7/15/2036 (b) (c)
|
5,000
|
5,007
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (c)
|
7,000
|
6,779
|
|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (c)
|
25,000
|
23,417
|
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (b) (c)
|
19,140
|
17,979
|
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (b) (c)
|
15,000
|
15,027
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (b)
|
10,000
|
10,096
|
|
Foundation Finance Trust
|
|
|
|
Series 2019-1A, Class B, 4.22%, 11/15/2034 (b)
|
284
|
283
|
|
Series 2019-1A, Class C, 5.66%, 11/15/2034 (b)
|
3,055
|
3,048
|
|
FTF Funding II LLC, 8.00%, 8/15/2025 ‡
|
2,434
|
1,874
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Galaxy CLO Ltd. (Cayman Islands) Series 2018-25A, Class CR, 6.68%, 4/25/2036 (b) (c)
|
4,540
|
4,541
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-2A, Class E, 5.50%, 6/15/2029 (b)
|
10,680
|
10,587
|
|
Series 2023-1A, Class E, 11.42%, 3/15/2030 (b)
|
1,000
|
1,111
|
|
Series 2024-4A, Class D, 5.65%, 7/15/2030 (b)
|
12,035
|
12,120
|
|
GoldenTree Loan Management US CLO Ltd. (Cayman Islands) Series 2020-8A, Class DRR,
7.17%, 10/20/2034 (b) (c)
|
5,100
|
5,112
|
|
Grene 2023-Senior Series 2023-Senior, 5.50%, 1/17/2061 ‡
|
3,026
|
2,844
|
|
Grene Energy Senio, 11.00%, 1/17/2061 ‡
|
260
|
221
|
|
Hertz Vehicle Financing LLC
|
|
|
|
Series 2022-4A, Class D, 6.56%, 9/25/2026 (b)
|
3,800
|
3,796
|
|
Series 2023-1A, Class C, 6.91%, 6/25/2027 (b)
|
3,990
|
4,013
|
|
Series 2023-1A, Class D, 9.13%, 6/25/2027 (b)
|
10,000
|
10,036
|
|
Series 2022-2A, Class D, 5.16%, 6/26/2028 (b)
|
10,000
|
9,424
|
|
Series 2022-5A, Class D, 6.78%, 9/25/2028 (b)
|
5,000
|
4,817
|
|
Series 2023-2A, Class D, 9.40%, 9/25/2029 (b)
|
4,600
|
4,669
|
|
Series 2023-4A, Class D, 9.44%, 3/25/2030 (b)
|
3,200
|
3,251
|
|
Hertz Vehicle Financing LP Series 2021-2A, Class D, 4.34%, 12/27/2027 (b)
|
7,000
|
6,643
|
|
HIN Timeshare Trust
|
|
|
|
Series 2020-A, Class B, 2.23%, 10/9/2039 (b)
|
810
|
776
|
|
Series 2020-A, Class D, 5.50%, 10/9/2039 (b)
|
704
|
682
|
|
HINNT LLC
|
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 (b)
|
3,179
|
3,084
|
|
Series 2022-A, Class E, 8.00%, 5/15/2041 (b)
|
599
|
580
|
|
Home Partners of America Trust Series 2021-3, Class F, 4.24%, 1/17/2041 (b)
|
14,153
|
12,690
|
|
Huntington Bank Auto Credit-Linked Notes Series 2024-2, Class B1, 5.44%, 10/20/2032 (b)
|
12,210
|
12,279
|
|
Jonah Energy ABS II LLC Series 2025-1A, Class B, 11.25%, 12/10/2040 ‡ (b)
|
24,667
|
24,667
|
|
Jonah Energy ABS LLC Series 2022-1, Class C, 12.66%, 8/10/2039 ‡ (b)
|
17,500
|
17,589
|
|
KKR CLO Ltd. (Cayman Islands) Series 40A, Class BR, 5.97%, 10/20/2034 (b) (c)
|
5,300
|
5,301
|
|
KKR Financial CLO Ltd. (Cayman Islands) Series 2013-1A, Class A2R2, 5.71%, 4/15/2029 (b) (c)
|
4,933
|
4,933
|
|
LendingClub Loan Certificate Issuer Trust
|
|
|
|
Series 2021-NP1, Class CERT, 0.00%, 12/15/2036 ‡ (b)
|
900
|
3,225
|
|
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (b)
|
855
|
3,494
|
|
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (b)
|
860
|
2,482
|
|
Series 2022-NP2, Class CERT, 0.00%, 4/15/2037 ‡ (b)
|
800
|
3,555
|
|
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (b)
|
750
|
2,405
|
|
Series 2022-NP3, Class CERT, 0.00%, 5/15/2037 ‡ (b)
|
500
|
3,376
|
|
Series 2022-P3, Class CERT, 0.00%, 5/15/2037 ‡ (b)
|
500
|
2,043
|
|
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (b)
|
400
|
3,397
|
|
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (b)
|
400
|
1,709
|
|
Series 2022-NP6, Class CERT, 0.00%, 7/15/2037 ‡ (b)
|
700
|
5,934
|
|
Series 2022-P5, Class CERT, 0.00%, 7/15/2037 ‡ (b)
|
800
|
6,462
|
|
Lendingpoint Asset Securitization Trust
|
|
|
|
Series 2021-A, Class D, 5.73%, 12/15/2028 (b)
|
3,765
|
2,886
|
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (b)
|
5,428
|
5,307
|
|
Series 2021-B, Class D, 6.12%, 2/15/2029 (b)
|
2,000
|
369
|
|
Series 2022-A, Class D, 4.54%, 6/15/2029 (b)
|
21,217
|
13,006
|
|
Series 2022-C, Class C, 8.68%, 2/15/2030 (b)
|
1,277
|
1,204
|
|
LendingPoint Asset Securitization Trust Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (b)
|
6,500
|
1,414
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 (b)
|
4,500
|
4,110
|
|
Series 2021-2A, Class B, 2.37%, 4/20/2032 (b)
|
1,000
|
921
|
|
Series 2021-2A, Class C, 3.09%, 4/20/2032 (b)
|
1,100
|
1,013
|
|
Series 2024-1A, Class A, 5.53%, 6/21/2032 (b)
|
3,050
|
3,088
|
|
Series 2024-2A, Class A, 4.47%, 2/21/2034 (b)
|
4,646
|
4,603
|
|
Series 2024-2A, Class D, 5.69%, 2/21/2034 (b)
|
2,300
|
2,291
|
|
Series 2024-2A, Class E, 8.47%, 2/21/2034 (b)
|
3,700
|
3,700
|
|
Series 2025-1A, Class A, 4.94%, 9/20/2034 ‡ (b)
|
7,615
|
7,668
|
|
LFT CRE Ltd.
|
|
|
|
Series 2021-FL1, Class D, 6.89%, 6/15/2039 (b) (c)
|
22,600
|
22,288
|
|
Series 2021-FL1, Class E, 7.39%, 6/15/2039 (b) (c)
|
10,000
|
9,790
|
|
LL ABS Trust Series 2021-1A, Class C, 3.54%, 5/15/2029 (b)
|
1,946
|
1,935
|
|
LP LMS Asset Securitization Trust
|
|
|
|
8.35%, 10/15/2028 ‡
|
2,236
|
2,213
|
|
Series 2021-2A, Class C, 3.85%, 1/15/2029 (b)
|
4,702
|
4,636
|
|
Madison Park Funding Ltd. (Cayman Islands)
|
|
|
|
Series 2020-45A, Class BRR, 5.91%, 7/15/2034 (b) (c)
|
16,950
|
16,962
|
|
Series 2020-45A, Class CRR, 6.16%, 7/15/2034 (b) (c)
|
5,100
|
5,101
|
|
Series 2021-49A, Class B1R, 5.72%, 10/19/2034 (b) (c)
|
17,650
|
17,603
|
|
Series 2021-39A, Class CR, 6.32%, 10/22/2034 (b) (c)
|
14,000
|
14,044
|
|
Series 2021-52A, Class B, 6.13%, 1/22/2035 (b) (c)
|
11,660
|
11,703
|
|
Series 2019-37A, Class D1A, 8.01%, 4/15/2037 (b) (c)
|
2,000
|
2,004
|
|
Magnetite Ltd. (Cayman Islands)
|
|
|
|
Series 2020-27A, Class ER, 10.53%, 10/20/2034 (b) (c)
|
7,000
|
6,973
|
|
Series 2019-22A, Class BRR, 5.86%, 7/15/2036 (b) (c)
|
8,820
|
8,828
|
|
Series 2019-22A, Class CRR, 6.11%, 7/15/2036 (b) (c)
|
5,369
|
5,371
|
|
Series 2023-39A, Class BR, 5.83%, 1/25/2037 (b) (c)
|
5,950
|
5,941
|
|
Series 2024-38A, Class B, 6.26%, 4/15/2037 (b) (c)
|
14,750
|
14,771
|
|
Series 2016-17A, Class AR2, 5.77%, 4/20/2037 (b) (c)
|
6,500
|
6,520
|
|
Series 2016-17A, Class BR2, 6.22%, 4/20/2037 (b) (c)
|
6,164
|
6,197
|
|
Mariner Finance issuance Trust
|
|
|
|
Series 2024-BA, Class A, 4.91%, 11/20/2038 (b)
|
10,000
|
10,001
|
|
Series 2024-BA, Class C, 5.73%, 11/20/2038 (b)
|
3,246
|
3,266
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2023-AA, Class E, 11.12%, 10/22/2035 (b)
|
8,400
|
8,693
|
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 (b)
|
5,030
|
4,554
|
|
Marlette Funding Trust
|
|
|
|
Series 2022-2A, Class D, 7.50%, 8/15/2032 (b)
|
3,823
|
3,846
|
|
Series 2022-3A, Class C, 6.89%, 11/15/2032 (b)
|
1,054
|
1,057
|
|
Series 2022-3A, Class D, 7.80%, 11/15/2032 (b)
|
2,550
|
2,572
|
|
Series 2023-1A, Class B, 6.50%, 4/15/2033 (b)
|
945
|
946
|
|
Series 2023-1A, Class C, 7.20%, 4/15/2033 (b)
|
1,150
|
1,157
|
|
Series 2023-3A, Class D, 8.04%, 9/15/2033 (b)
|
3,590
|
3,652
|
|
MNR ABS Issuer I LLC, 12.44%, 12/15/2038 ‡
|
7,026
|
7,202
|
|
Neuberger Berman CLO Ltd. (Cayman Islands) Series 2016-22A, Class BR2, 6.28%, 4/15/2038 (b) (c)
|
4,505
|
4,512
|
|
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2019-34A, Class BR, 6.02%, 1/20/2035 (b) (c)
|
11,435
|
11,458
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2021-42A, Class BR, 5.66%, 7/16/2036 (b) (c)
|
10,000
|
9,987
|
|
Series 2021-42A, Class CR, 6.11%, 7/16/2036 (b) (c)
|
19,900
|
19,855
|
|
Series 2022-50A, Class BR, 5.93%, 7/23/2036 (b) (c)
|
9,200
|
9,199
|
|
Series 2022-50A, Class CR, 6.18%, 7/23/2036 (b) (c)
|
5,972
|
5,970
|
|
Series 2020-38A, Class BR2, 5.67%, 10/20/2036 (b) (c)
|
21,300
|
21,243
|
|
Series 2020-38A, Class CR2, 6.15%, 10/20/2036 (b) (c)
|
11,300
|
11,274
|
|
Series 2024-55A, Class B, 6.27%, 4/22/2038 (b) (c)
|
5,250
|
5,258
|
|
New Economy Assets-Phase 1 Sponsor LLC Series 2021-1, Class B1, 2.41%, 10/20/2061 (b)
|
2,550
|
2,321
|
|
NRM FNT1 Excess LLC Series 2024-FNT1, Class A, 7.40%, 11/25/2031 (b) (k)
|
48,023
|
48,542
|
|
NRZ Excess Spread-Collateralized Notes
|
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b)
|
2,925
|
2,888
|
|
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b)
|
11,507
|
11,159
|
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)
|
4,894
|
4,710
|
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (b)
|
1,956
|
1,937
|
|
OCP Aegis CLO Ltd. (Cayman Islands) Series 2025-41A, Class B1, 6.03%, 4/21/2037 (b) (c)
|
18,200
|
18,257
|
|
Octagon Investment Partners Ltd. (Cayman Islands)
|
|
|
|
Series 2019-1A, Class BR, 6.13%, 10/25/2032 (b) (c)
|
9,332
|
9,357
|
|
Series 2019-1A, Class CR, 6.73%, 10/25/2032 (b) (c)
|
11,200
|
11,229
|
|
Octagon Ltd. (Cayman Islands) Series 2022-1A, Class DR, 7.92%, 7/21/2037 ‡ (a) (b) (c)
|
14,900
|
14,900
|
|
OnDeck Asset Securitization Trust LLC
|
|
|
|
Series 2023-1A, Class A, 7.00%, 8/19/2030 (b)
|
4,680
|
4,720
|
|
Series 2024-2A, Class A, 4.98%, 10/17/2031 (b)
|
3,100
|
3,070
|
|
Series 2024-2A, Class B, 5.42%, 10/17/2031 (b)
|
1,900
|
1,882
|
|
OneMain Direct Auto Receivables Trust Series 2025-1A, Class D, 6.10%, 7/14/2037 (b)
|
7,104
|
7,146
|
|
Oportun Funding Trust Series 2024-3, Class B, 5.48%, 8/15/2029 (b)
|
3,167
|
3,165
|
|
Oportun Issuance Trust
|
|
|
|
Series 2022-2, Class D, 11.34%, 10/9/2029
|
361
|
366
|
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (b)
|
431
|
424
|
|
Series 2021-B, Class D, 5.41%, 5/8/2031 (b)
|
704
|
694
|
|
P2 Series 2021 A1, 3.00%, 12/20/2031 ‡ (b)
|
25,000
|
24,932
|
|
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (b)
|
9,112
|
8,860
|
|
Palmer Square CLO Ltd. (Cayman Islands) Series 2021-2A, Class BR, 5.96%, 2/15/2038 (b) (c)
|
18,200
|
18,257
|
|
Palmer Square Loan Funding Ltd. (Cayman Islands)
|
|
|
|
Series 2021-4A, Class C, 7.12%, 10/15/2029 (b) (c)
|
8,877
|
8,875
|
|
Series 2021-4A, Class D, 9.52%, 10/15/2029 (b) (c)
|
12,000
|
11,962
|
|
Series 2022-3A, Class BR, 6.26%, 4/15/2031 (b) (c)
|
8,462
|
8,493
|
|
Series 2022-4A, Class BR, 5.93%, 7/24/2031 (b) (c)
|
5,000
|
5,023
|
|
Series 2024-3A, Class A2, 5.96%, 8/8/2032 (b) (c)
|
13,862
|
13,877
|
|
Series 2024-3A, Class B, 6.21%, 8/8/2032 (b) (c)
|
14,500
|
14,509
|
|
Series 2024-1A, Class A2, 5.71%, 10/15/2032 (b) (c)
|
11,127
|
11,144
|
|
Series 2024-1A, Class B, 6.06%, 10/15/2032 (b) (c)
|
7,000
|
7,014
|
|
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.57%, 5/25/2027 (b) (c)
|
2,000
|
2,006
|
|
Popular ABS Mortgage Pass-Through Trust Series 2005-3, Class M1, 3.44%, 7/25/2035 (k)
|
53
|
52
|
|
Pret LLC Series 2025-NPL2, Class A1, 5.84%, 3/25/2055 (b) (k)
|
26,461
|
26,296
|
|
PRET LLC
|
|
|
|
Series 2024-NPL5, Class A1, 5.96%, 9/25/2054 (b) (k)
|
3,380
|
3,376
|
|
Series 2024-NPL7, Class A1, 5.93%, 10/25/2054 (b) (k)
|
10,953
|
10,899
|
|
Series 2024-NPL9, Class A1, 5.85%, 12/25/2054 (b) (k)
|
10,144
|
10,134
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2025-NPL4, Class A1, 6.37%, 4/25/2055 (b) (k)
|
23,300
|
23,344
|
|
Series 2025-NPL3, Class A1, 6.71%, 4/25/2055 (b) (k)
|
13,852
|
13,807
|
|
PRET Trust Series 2025-NPL1, Class A1, 6.06%, 2/25/2055 (b) (k)
|
33,354
|
33,332
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR11, Class F, 4.42%, 1/17/2039 (b)
|
8,000
|
7,664
|
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (b)
|
10,211
|
9,446
|
|
Purewest ABS Issuer LLC
|
|
|
|
Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b)
|
5,992
|
5,992
|
|
Series 2025-1, Class B, 10.28%, 4/5/2040 ‡ (b)
|
16,909
|
16,909
|
|
RAMP Trust Series 2002-RS2, Class AI5, 4.62%, 3/25/2032 (c)
|
30
|
29
|
|
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 7.00%, 12/27/2044 (b) (c)
|
1,565
|
1,564
|
|
Regatta Funding Ltd. (Cayman Islands) Series 2022-2A, Class BR, 5.97%, 7/20/2035 (b) (c)
|
7,200
|
7,221
|
|
Regional Management Issuance Trust Series 2021-1, Class D, 5.07%, 3/17/2031 (b)
|
2,600
|
2,560
|
|
Renaissance Home Equity Loan Trust
|
|
|
|
Series 2003-4, Class M2F, 6.24%, 3/25/2034 (k)
|
106
|
70
|
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (k)
|
380
|
351
|
|
Renew (Cayman Islands) Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (b)
|
24
|
23
|
|
Repo Buyer RRI Trust, 3.06%, 4/14/2055 ‡
|
4,372
|
3,815
|
|
Republic Finance Issuance Trust
|
|
|
|
Series 2021-A, Class D, 5.23%, 12/22/2031 (b)
|
930
|
894
|
|
Series 2024-A, Class A, 5.91%, 8/20/2032 (b)
|
9,326
|
9,430
|
|
Series 2024-B, Class A, 5.42%, 11/20/2037 (b)
|
17,753
|
17,916
|
|
RFT TRUST
|
|
|
|
Series 2024-2, Class A1, 7.11%, 9/27/2028 (b) (k)
|
4,902
|
4,869
|
|
Series 2024-2, Class A2, 8.81%, 9/27/2028 (b) (k)
|
11,870
|
11,790
|
|
RR Ltd. (Cayman Islands)
|
|
|
|
Series 2021-18A, Class A2, 6.12%, 10/15/2034 (b) (c)
|
7,000
|
7,026
|
|
Series 2020-12A, Class AAR3, 5.51%, 1/15/2036 (b) (c)
|
4,570
|
4,576
|
|
Series 2020-12A, Class A2R3, 5.86%, 1/15/2036 (b) (c)
|
7,469
|
7,478
|
|
Series 2024-35A, Class A2, 6.00%, 1/15/2040 (b) (c)
|
4,000
|
4,021
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-7, Class C, 6.69%, 3/17/2031
|
493
|
504
|
|
Series 2025-2, Class D, 5.47%, 5/15/2031
|
10,000
|
10,062
|
|
Series 2024-3, Class D, 5.97%, 10/15/2031
|
12,824
|
13,062
|
|
Series 2024-4, Class D, 5.32%, 12/15/2031
|
5,298
|
5,323
|
|
Series 2024-5, Class D, 5.14%, 2/17/2032
|
2,984
|
2,982
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2022-1A, Class E, 5.26%, 7/20/2032 (b)
|
2,354
|
2,313
|
|
Series 2022-1A, Class F, 6.00%, 7/20/2032 (b)
|
5,360
|
5,241
|
|
Shackleton CLO Ltd. (Cayman Islands) Series 2019-15A, Class BR, 6.07%, 1/15/2032 (b) (c)
|
3,651
|
3,655
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2020-2A, Class D, 6.59%, 7/20/2037 (b)
|
1,266
|
1,263
|
|
Series 2021-2A, Class D, 3.23%, 9/20/2038 (b)
|
592
|
575
|
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 (b)
|
2,569
|
2,678
|
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 (b)
|
1,467
|
1,504
|
|
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (b) (k)
|
7,500
|
7,398
|
|
Stifel SBA Trust Series 2025-2A, Class A1, 2.54%, 8/25/2036 (b)
|
151,798
|
9,418
|
|
Subway Funding LLC Series 2024-1A, Class A23, 6.51%, 7/30/2054 (b)
|
2,565
|
2,608
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Symphony CLO Ltd. (Cayman Islands)
|
|
|
|
Series 2018-19A, Class C, 6.27%, 4/16/2031 (b) (c)
|
1,000
|
1,002
|
|
Series 2015-16A, Class B1RR, 5.96%, 10/15/2031 (b) (c)
|
8,224
|
8,231
|
|
Series 2019-21A, Class CR2, 6.01%, 7/15/2032 (b) (c)
|
13,500
|
13,362
|
|
Series 2020-23A, Class CR2, 6.01%, 1/15/2034 (b) (c)
|
8,000
|
7,964
|
|
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (b)
|
322
|
323
|
|
TRTX Issuer Ltd. (Cayman Islands) Series 2025-FL6, Class A, 5.86%, 9/18/2042 (b) (c)
|
12,950
|
12,928
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
2,657
|
2,632
|
|
Series 2016-1, Class B, 3.65%, 1/7/2026
|
2,291
|
2,260
|
|
Upstart Pass-Through Trust
|
|
|
|
Series 2021-ST4, Class CERT, 0.00%, 7/20/2027 ‡ (b)
|
1,875
|
163
|
|
Series 2021-ST6, Class CERT, 0.00%, 8/20/2027 ‡ (b)
|
2,900
|
696
|
|
Series 2021-PT1, Class A, HB, 25.05%, 9/20/2027 ‡ (b) (c)
|
580
|
504
|
|
Series 2021-ST7, Class CERT, 0.00%, 9/20/2029 ‡ (b)
|
3,500
|
802
|
|
Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 ‡ (b)
|
2,670
|
759
|
|
Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 ‡ (b)
|
2,830
|
1,010
|
|
Series 2021-PT2, Class A, HB, 22.57%, 11/20/2029 ‡ (b) (c)
|
1,058
|
900
|
|
Series 2021-PT3, Class A, HB, 21.56%, 12/20/2029 ‡ (b) (c)
|
1,176
|
1,035
|
|
Series 2021-PT4, Class A, HB, 20.47%, 1/20/2030 ‡ (b) (c)
|
453
|
395
|
|
Series 2022-PT2, Class A, HB, 20.19%, 2/20/2030 ‡ (b) (c)
|
1,321
|
1,321
|
|
Series 2022-PT1, Class A, HB, 23.49%, 2/20/2030 ‡ (b) (c)
|
1,384
|
1,384
|
|
Series 2022-PT3, Class A, HB, 20.38%, 4/20/2030 ‡ (b) (c)
|
1,148
|
1,138
|
|
Series 2022-PT4, Class A, 18.99%, 5/20/2030 ‡ (b) (c)
|
1,131
|
1,131
|
|
Upstart Securitization Trust
|
|
|
|
Series 2021-4, Class C, 3.19%, 9/20/2031 (b)
|
4,169
|
4,101
|
|
Series 2021-5, Class C, 4.15%, 11/20/2031 (b)
|
8,815
|
8,661
|
|
Series 2022-1, Class C, 5.71%, 3/20/2032 (b)
|
6,474
|
3,667
|
|
US Auto Funding
|
|
|
|
Series 2021-1A, Class C, 2.20%, 5/15/2026 (b)
|
2,758
|
2,574
|
|
Series 2021-1A, Class D, 4.36%, 3/15/2027 (b)
|
10,392
|
363
|
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b)
|
412
|
410
|
|
VistaJet Pass Through Trust Series 2021-1C, 9.50%, 8/15/2031 (b)
|
21,133
|
20,795
|
|
vMobo, Inc.
|
|
|
|
7.46%, 7/18/2027 ‡
|
9,996
|
9,506
|
|
9.46%, 7/18/2027 ‡
|
20,000
|
19,080
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 6.24%, 2/27/2051 (b) (k)
|
1,346
|
1,345
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (b) (k)
|
941
|
940
|
|
Voya CLO Ltd. (Cayman Islands) Series 2019-4A, Class BR, 6.27%, 1/15/2035 (b) (c)
|
8,000
|
8,026
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2023-1A, Class D, 6.79%, 11/15/2028 (b)
|
438
|
447
|
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (b)
|
3,795
|
3,883
|
|
Series 2024-1A, Class D, 6.02%, 10/15/2029 (b)
|
2,304
|
2,338
|
|
Series 2024-3A, Class D, 5.21%, 4/15/2030 (b)
|
19,900
|
19,917
|
|
Total Asset-Backed Securities
(Cost $2,427,630)
|
|
2,374,400
|
|
Collateralized Mortgage Obligations — 11.3%
|
||
|
Adjustable Rate Mortgage Trust Series 2006-2, Class 1A4, 4.75%, 5/25/2036 (c)
|
767
|
665
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-18CB, Class 5A1, 6.25%, 9/25/2034
|
15
|
15
|
|
Series 2004-24CB, Class 1A1, 6.00%, 11/25/2034
|
10
|
11
|
|
Series 2005-23CB, Class A7, 5.25%, 7/25/2035
|
14
|
11
|
|
Series 2005-23CB, Class A16, 5.50%, 7/25/2035
|
40
|
32
|
|
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035
|
248
|
219
|
|
Series 2005-J14, Class A3, 5.50%, 12/25/2035
|
206
|
124
|
|
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037
|
457
|
215
|
|
Anchor Mortgage Trust
|
|
|
|
8.23%, 3/25/2031 ‡ (c)
|
5,000
|
5,071
|
|
10.14%, 3/25/2031 ‡ (c)
|
7,500
|
7,735
|
|
Angel Oak Mortgage Trust
|
|
|
|
Series 2019-5, Class M1, 3.30%, 10/25/2049 (b) (c)
|
8,000
|
7,636
|
|
Series 2019-5, Class B1, 3.96%, 10/25/2049 (b) (c)
|
2,470
|
2,283
|
|
Series 2019-6, Class B3, 5.98%, 11/25/2059 (b) (c)
|
1,250
|
1,088
|
|
Series 2020-1, Class B1, 3.76%, 12/25/2059 (b) (c)
|
1,550
|
1,386
|
|
Angel Oak Mortgage Trust I LLC
|
|
|
|
Series 2018-3, Class B1, 5.04%, 9/25/2048 (b) (c)
|
1,000
|
942
|
|
Series 2019-4, Class B2, 5.66%, 7/26/2049 (b) (c)
|
4,700
|
4,441
|
|
Arroyo Mortgage Trust
|
|
|
|
Series 2019-3, Class M1, 4.20%, 10/25/2048 (b) (c)
|
1,000
|
897
|
|
Series 2019-2, Class A3, 3.80%, 4/25/2049 (b) (c)
|
272
|
263
|
|
Banc of America Funding Trust Series 2007-5, Class 4A1, 4.81%, 7/25/2037 (c)
|
588
|
405
|
|
Bear Stearns ALT-A Trust Series 2004-7, Class 2A1, 6.09%, 8/25/2034 (c)
|
50
|
49
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-AC4, Class M1, 5.66%, 9/25/2033 (k)
|
62
|
54
|
|
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 4.84%, 4/25/2046 (c)
|
689
|
592
|
|
Citi Asset Receivables Trust I Series 2025-3, Class CERT, HB, 25.33%, 6/20/2031 ‡ (b)
|
71,731
|
74,163
|
|
CITI Asset Receivables Trust I Series 2025-2, Class CERT, HB, 24.76%, 5/20/2031 ‡ (b)
|
64,591
|
66,847
|
|
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-8,
Class 1A5, 5.50%, 11/25/2035
|
30
|
29
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2004-NCM2, Class 3CB2, 6.50%, 8/25/2019
|
6
|
6
|
|
Series 2003-1, Class 3A5, 5.25%, 9/25/2033
|
38
|
37
|
|
COLT Mortgage Loan Trust Series 2023-2, Class A1, 6.60%, 7/25/2068 (b) (k)
|
1,793
|
1,805
|
|
Connecticut Avenue Securities Trust
|
|
|
|
Series 2018-R07, Class 1B1, 8.79%, 4/25/2031 (b) (c)
|
6,745
|
7,208
|
|
Series 2019-R04, Class 2B1, 9.69%, 6/25/2039 (b) (c)
|
9,265
|
9,612
|
|
Series 2019-R05, Class 1B1, 8.54%, 7/25/2039 (b) (c)
|
6,929
|
7,124
|
|
Series 2019-R06, Class 2B1, 8.19%, 9/25/2039 (b) (c)
|
24,447
|
25,066
|
|
Series 2019-R07, Class 1B1, 7.84%, 10/25/2039 (b) (c)
|
28,598
|
29,320
|
|
Series 2019-HRP1, Class B1, 13.69%, 11/25/2039 (b) (c)
|
17,955
|
19,465
|
|
Series 2020-R02, Class 2B1, 7.44%, 1/25/2040 (b) (c)
|
2,834
|
2,897
|
|
Series 2020-R01, Class 1B1, 7.69%, 1/25/2040 (b) (c)
|
10,860
|
11,149
|
|
Series 2021-R01, Class 1B1, 7.42%, 10/25/2041 (b) (c)
|
2,600
|
2,660
|
|
Series 2021-R03, Class 1B1, 7.07%, 12/25/2041 (b) (c)
|
6,000
|
6,120
|
|
Series 2023-R02, Class 1M2, 7.67%, 1/25/2043 (b) (c)
|
11,850
|
12,368
|
|
Series 2023-R02, Class 1B1, 9.87%, 1/25/2043 (b) (c)
|
7,600
|
8,279
|
|
Series 2023-R04, Class 1M2, 7.87%, 5/25/2043 (b) (c)
|
5,000
|
5,281
|
|
Series 2023-R04, Class 1B1, 9.67%, 5/25/2043 (b) (c)
|
4,000
|
4,360
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2023-R06, Class 1M2, 7.02%, 7/25/2043 (b) (c)
|
2,960
|
3,062
|
|
Series 2023-R07, Class 2M2, 7.57%, 9/25/2043 (b) (c)
|
1,682
|
1,753
|
|
Series 2023-R08, Class 1M2, 6.82%, 10/25/2043 (b) (c)
|
4,495
|
4,628
|
|
Series 2024-R02, Class 1M1, 5.42%, 2/25/2044 (b) (c)
|
2,561
|
2,559
|
|
Series 2024-R02, Class 1M2, 6.12%, 2/25/2044 (b) (c)
|
3,160
|
3,189
|
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4, Class 2A5, 4.99%, 6/25/2035 (c)
|
156
|
104
|
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust Series 2004-1, Class 3A5, 6.16%,
12/25/2033 (k)
|
41
|
40
|
|
FARM Mortgage Trust Series 2021-1, Class B, 3.23%, 7/25/2051 (b) (c)
|
1,395
|
1,035
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-3, Class A, IO, 0.00%, 7/25/2056 (c)
|
17,184
|
11
|
|
Series 2021-2, Class BXS, 15.44%, 11/25/2060 (b) (c)
|
4,913
|
3,330
|
|
FHLMC STACR REMIC Trust
|
|
|
|
Series 2021-HQA1, Class B1, 7.32%, 8/25/2033 (b) (c)
|
6,600
|
7,146
|
|
Series 2021-DNA2, Class B1, 7.72%, 8/25/2033 (b) (c)
|
18,555
|
20,595
|
|
Series 2021-HQA1, Class B2, 9.32%, 8/25/2033 (b) (c)
|
20,700
|
23,636
|
|
Series 2021-DNA2, Class B2, 10.32%, 8/25/2033 (b) (c)
|
19,500
|
23,655
|
|
Series 2021-DNA3, Class B2, 10.57%, 10/25/2033 (b) (c)
|
24,618
|
30,054
|
|
Series 2021-HQA2, Class B2, 9.77%, 12/25/2033 (b) (c)
|
24,250
|
28,307
|
|
Series 2021-DNA5, Class B2, 9.82%, 1/25/2034 (b) (c)
|
17,900
|
20,394
|
|
Series 2021-HQA3, Class B2, 10.57%, 9/25/2041 (b) (c)
|
3,125
|
3,263
|
|
Series 2021-DNA6, Class B2, 11.82%, 10/25/2041 (b) (c)
|
7,450
|
7,936
|
|
Series 2021-DNA7, Class B2, 12.12%, 11/25/2041 (b) (c)
|
5,050
|
5,411
|
|
Series 2022-DNA2, Class B2, 12.82%, 2/25/2042 (b) (c)
|
3,000
|
3,278
|
|
Series 2022-DNA3, Class M1B, 7.22%, 4/25/2042 (b) (c)
|
10,000
|
10,302
|
|
Series 2022-DNA3, Class B1, 9.97%, 4/25/2042 (b) (c)
|
6,250
|
6,691
|
|
Series 2022-DNA4, Class M1B, 7.67%, 5/25/2042 (b) (c)
|
4,000
|
4,157
|
|
Series 2022-DNA4, Class M2, 9.57%, 5/25/2042 (b) (c)
|
3,100
|
3,324
|
|
Series 2022-DNA5, Class M2, 11.07%, 6/25/2042 (b) (c)
|
12,000
|
13,251
|
|
Series 2022-HQA3, Class M1B, 7.87%, 8/25/2042 (b) (c)
|
5,000
|
5,242
|
|
Series 2023-DNA1, Class M1A, 6.42%, 3/25/2043 (b) (c)
|
1,243
|
1,260
|
|
Series 2023-DNA2, Class M1A, 6.42%, 4/25/2043 (b) (c)
|
4,899
|
4,988
|
|
Series 2023-DNA2, Class B1, 11.92%, 4/25/2043 (b) (c)
|
3,350
|
3,790
|
|
Series 2023-HQA2, Class M1B, 7.67%, 6/25/2043 (b) (c)
|
8,800
|
9,182
|
|
Series 2024-DNA1, Class M2, 6.27%, 2/25/2044 (b) (c)
|
8,500
|
8,617
|
|
Series 2020-DNA6, Class B2, 9.97%, 12/25/2050 (b) (c)
|
2,000
|
2,265
|
|
Series 2021-DNA1, Class B2, 9.07%, 1/25/2051 (b) (c)
|
9,000
|
9,910
|
|
FHLMC STACR Trust
|
|
|
|
Series 2018-DNA2, Class B1, 8.14%, 12/25/2030 (b) (c)
|
1,000
|
1,071
|
|
Series 2018-DNA3, Class B1, 8.34%, 9/25/2048 (b) (c)
|
7,685
|
8,296
|
|
Series 2018-HQA2, Class B1, 8.69%, 10/25/2048 (b) (c)
|
3,935
|
4,185
|
|
Series 2019-DNA1, Class B2, 15.19%, 1/25/2049 (b) (c)
|
8,135
|
10,007
|
|
Series 2019-HQA2, Class B2, 15.69%, 4/25/2049 (b) (c)
|
3,500
|
4,280
|
|
Series 2019-DNA4, Class B2, 10.69%, 10/25/2049 (b) (c)
|
5,000
|
5,570
|
|
FHLMC STACR, Whole Loan
|
|
|
|
Series 2017-DNA2, Class B1, 9.59%, 10/25/2029 (c)
|
11,000
|
11,793
|
|
Series 2017-DNA3, Class B1, 8.89%, 3/25/2030 (c)
|
15,800
|
16,929
|
|
Series 2018-HQA1, Class B1, 8.79%, 9/25/2030 (c)
|
34,415
|
37,265
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC, REMIC
|
|
|
|
Series 4102, Class BI, IO, 3.50%, 8/15/2027
|
590
|
13
|
|
Series 4149, IO, 3.00%, 1/15/2033
|
171
|
11
|
|
Series 4160, IO, 3.00%, 1/15/2033
|
552
|
37
|
|
Series 4212, Class MI, IO, 3.00%, 6/15/2033
|
781
|
68
|
|
Series 3145, Class GI, IF, IO, 2.15%, 4/15/2036 (c)
|
1,101
|
99
|
|
Series 4495, Class PI, IO, 4.00%, 9/15/2043
|
137
|
8
|
|
Series 4321, Class PI, IO, 4.50%, 1/15/2044
|
205
|
34
|
|
Series 4670, Class TI, IO, 4.50%, 1/15/2044
|
159
|
9
|
|
Series 4550, Class DI, IO, 4.00%, 3/15/2044
|
96
|
7
|
|
Series 4612, Class QI, IO, 3.50%, 5/15/2044
|
190
|
20
|
|
Series 4612, Class PI, IO, 3.50%, 6/15/2044
|
18
|
2
|
|
Series 4657, Class QI, IO, 4.00%, 9/15/2044
|
168
|
10
|
|
Series 4585, Class JI, IO, 4.00%, 5/15/2045
|
205
|
25
|
|
Series 4628, Class PI, IO, 4.00%, 7/15/2045
|
135
|
15
|
|
Series 4681, Class SD, IF, IO, 1.70%, 5/15/2047 (c)
|
332
|
39
|
|
Series 4694, Class SA, IF, IO, 1.65%, 6/15/2047 (c)
|
578
|
70
|
|
Series 4689, Class SD, IF, IO, 1.70%, 6/15/2047 (c)
|
480
|
55
|
|
Series 4746, Class SC, IF, IO, 1.70%, 1/15/2048 (c)
|
5,824
|
692
|
|
Series 5164, Class J, 2.50%, 5/25/2049
|
9,306
|
8,165
|
|
Series 4910, Class PI, IO, 5.00%, 7/25/2049
|
1,567
|
347
|
|
Series 4919, Class SH, IF, IO, 1.56%, 9/25/2049 (c)
|
8,551
|
883
|
|
Series 5011, Class MI, IO, 3.00%, 9/25/2050
|
29,776
|
4,844
|
|
Series 5052, Class EI, IO, 3.00%, 12/25/2050
|
24,857
|
4,192
|
|
Series 5072, Class BI, IO, 3.00%, 2/25/2051
|
31,342
|
5,300
|
|
Series 5143, Class PI, IO, 2.50%, 5/25/2051
|
2,601
|
312
|
|
Series 5143, Class Z, 2.50%, 5/25/2051
|
1,599
|
886
|
|
Series 5148, Class PI, IO, 2.50%, 10/25/2051
|
7,432
|
801
|
|
Series 5148, Class PZ, 2.50%, 10/25/2051
|
6,456
|
3,969
|
|
Series 5151, Class KZ, 2.50%, 10/25/2051
|
4,527
|
2,813
|
|
Series 5154, Class QI, IO, 2.50%, 10/25/2051
|
10,190
|
1,013
|
|
Series 5154, Class ZQ, 2.50%, 10/25/2051
|
10,818
|
6,786
|
|
Series 5149, Class ZB, 3.00%, 10/25/2051
|
1,178
|
730
|
|
Series 5387, Class KB, 6.00%, 3/25/2054
|
9,907
|
10,305
|
|
Series 5413, Class KS, IF, IO, 1.53%, 5/25/2054 (c)
|
17,630
|
1,319
|
|
Series 5520, Class SD, IF, IO, 1.56%, 3/25/2055 (c)
|
76,761
|
5,418
|
|
Series 5520, Class SE, IF, IO, 1.56%, 3/25/2055 (c)
|
38,941
|
2,789
|
|
Series 5528, Class SA, IF, IO, 1.66%, 4/25/2055 (c)
|
89,243
|
6,070
|
|
FHLMC, STRIPS
|
|
|
|
Series 304, Class C32, IO, 3.00%, 12/15/2027
|
35
|
1
|
|
Series 342, Class S7, IF, IO, 1.66%, 2/15/2045 (c)
|
5,863
|
615
|
|
FNMA, Connecticut Avenue Securities
|
|
|
|
Series 2017-C02, Class 2B1, 9.94%, 9/25/2029 (c)
|
28,544
|
30,905
|
|
Series 2017-C03, Class 1B1, 9.29%, 10/25/2029 (c)
|
7,377
|
7,913
|
|
Series 2017-C05, Class 1B1, 8.04%, 1/25/2030 (c)
|
11,760
|
12,434
|
|
Series 2017-C06, Class 1B1, 8.59%, 2/25/2030 (c)
|
7,255
|
7,776
|
|
Series 2017-C06, Class 2B1, 8.89%, 2/25/2030 (c)
|
8,015
|
8,575
|
|
Series 2017-C07, Class 1B1, 8.44%, 5/25/2030 (c)
|
5,700
|
6,056
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2018-C03, Class 1B1, 8.19%, 10/25/2030 (c)
|
16,054
|
17,338
|
|
Series 2018-C04, Class 2B1, 8.94%, 12/25/2030 (c)
|
4,250
|
4,666
|
|
Series 2018-C05, Class 1B1, 8.69%, 1/25/2031 (c)
|
3,000
|
3,273
|
|
Series 2018-C06, Class 1B1, 8.19%, 3/25/2031 (c)
|
16,560
|
18,102
|
|
Series 2018-C06, Class 2B1, 8.54%, 3/25/2031 (c)
|
2,860
|
3,097
|
|
Series 2021-R02, Class 2M2, 6.32%, 11/25/2041 (b) (c)
|
14,400
|
14,481
|
|
Series 2021-R02, Class 2B1, 7.62%, 11/25/2041 (b) (c)
|
4,983
|
5,104
|
|
FNMA, REMIC
|
|
|
|
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031
|
329
|
18
|
|
Series 2012-93, Class FS, IF, IO, 1.71%, 9/25/2032 (c)
|
1,360
|
120
|
|
Series 2013-55, Class AI, IO, 3.00%, 6/25/2033
|
1,168
|
97
|
|
Series 2003-76, Class SB, IF, IO, 2.61%, 8/25/2033 (c)
|
1,059
|
100
|
|
Series 2021-13, Class DI, IO, 3.50%, 1/25/2036
|
4,869
|
516
|
|
Series 2006-42, Class LI, IF, IO, 2.12%, 6/25/2036 (c)
|
893
|
95
|
|
Series 2011-79, Class SD, IF, IO, 1.46%, 8/25/2041 (c)
|
2,634
|
296
|
|
Series 2011-78, Class JS, IF, IO, 1.56%, 8/25/2041 (c)
|
1,319
|
111
|
|
Series 2012-133, Class HS, IF, IO, 1.71%, 12/25/2042 (c)
|
148
|
16
|
|
Series 2012-148, Class US, IF, 0.11%, 1/25/2043 (c)
|
1,016
|
818
|
|
Series 2016-6, Class KI, IO, 4.00%, 2/25/2044
|
217
|
26
|
|
Series 2016-43, Class MI, IO, 4.00%, 10/25/2045
|
234
|
39
|
|
Series 2016-56, Class ST, IF, IO, 1.56%, 8/25/2046 (c)
|
4,061
|
451
|
|
Series 2016-95, Class ES, IF, IO, 1.56%, 12/25/2046 (c)
|
1,287
|
146
|
|
Series 2016-90, Class IN, IO, 3.50%, 12/25/2046
|
254
|
40
|
|
Series 2017-6, Class SB, IF, IO, 1.61%, 2/25/2047 (c)
|
86
|
9
|
|
Series 2017-39, Class ST, IF, IO, 1.66%, 5/25/2047 (c)
|
1,038
|
117
|
|
Series 2017-90, Class SP, IF, IO, 1.71%, 11/25/2047 (c)
|
1,984
|
237
|
|
Series 2017-112, Class SC, IF, IO, 1.71%, 1/25/2048 (c)
|
2,605
|
301
|
|
Series 2021-86, Class T, 2.50%, 9/25/2048
|
15,381
|
13,526
|
|
Series 2019-32, Class PI, IO, 5.00%, 10/25/2048
|
716
|
138
|
|
Series 2019-47, Class QI, IO, 4.50%, 6/25/2049
|
1,259
|
274
|
|
Series 2019-37, Class CS, IF, IO, 1.61%, 7/25/2049 (c)
|
2,797
|
346
|
|
Series 2020-89, Class GI, IO, 3.00%, 12/25/2050
|
45,761
|
7,742
|
|
Series 2020-100, Class IA, IO, 3.00%, 1/25/2051
|
77,565
|
13,161
|
|
Series 2024-25, Class ZA, 6.00%, 9/25/2053
|
13,871
|
13,953
|
|
Series 2024-25, Class ZB, 5.50%, 3/25/2054
|
10,294
|
10,166
|
|
Series 2024-20, Class MS, IF, IO, 1.63%, 5/25/2054 (c)
|
25,537
|
1,949
|
|
Series 2024-58, Class BS, IF, IO, 1.53%, 8/25/2054 (c)
|
24,388
|
1,651
|
|
Series 2024-92, Class SH, IF, IO, 1.63%, 12/25/2054 (c)
|
19,564
|
1,496
|
|
Series 2025-7, Class SE, IF, IO, 1.53%, 2/25/2055 (c)
|
32,127
|
2,484
|
|
Series 2025-11, Class SB, IF, IO, 1.58%, 3/25/2055 (c)
|
32,438
|
2,635
|
|
Series 2025-24, Class SC, IF, IO, 1.61%, 4/25/2055 (c)
|
46,206
|
3,346
|
|
FNMA, STRIPS
|
|
|
|
Series 421, Class 7, IO, 3.50%, 5/25/2030
|
22
|
1
|
|
Series 421, Class C3, IO, 4.00%, 7/25/2030
|
120
|
6
|
|
G Mitt Frn Series 2023-EB, 9.38%, 6/27/2025 ‡ (b)
|
1,689
|
1,689
|
|
GCAT Trust
|
|
|
|
Series 2020-NQM1, Class M1, 2.93%, 1/25/2060 (b) (c)
|
10,871
|
9,936
|
|
Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 (b) (c)
|
3,000
|
2,496
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GMACM Mortgage Loan Trust Series 2004-J2, Class A8, 5.75%, 6/25/2034
|
21
|
21
|
|
GNMA
|
|
|
|
Series 2013-182, Class MS, IF, IO, 1.70%, 12/20/2043 (c)
|
6,646
|
712
|
|
Series 2016-108, Class SN, IF, IO, 1.64%, 8/20/2046 (c)
|
9,359
|
1,222
|
|
Series 2016-108, Class SM, IF, IO, 1.66%, 8/20/2046 (c)
|
2,232
|
294
|
|
Series 2016-147, Class AS, IF, IO, 1.66%, 10/20/2046 (c)
|
4,130
|
543
|
|
Series 2017-36, Class SL, IF, IO, 1.76%, 3/16/2047 (c)
|
5,537
|
756
|
|
Series 2019-132, Class KI, IO, 3.50%, 3/20/2047
|
208
|
5
|
|
Series 2019-33, Class PI, IO, 4.00%, 11/20/2048
|
66
|
15
|
|
Series 2019-65, Class ST, IF, IO, 1.61%, 5/20/2049 (c)
|
7,988
|
786
|
|
Series 2019-86, Class ST, IF, IO, 1.66%, 7/20/2049 (c)
|
4,165
|
388
|
|
Series 2019-120, Class DS, IF, IO, 1.61%, 9/20/2049 (c)
|
7,257
|
870
|
|
Series 2019-132, Class SK, IF, IO, 1.61%, 10/20/2049 (c)
|
6,114
|
658
|
|
Series 2020-86, Class TS, IF, IO, 1.16%, 6/20/2050 (c)
|
9,498
|
1,174
|
|
Series 2021-9, Class MI, IO, 2.50%, 1/20/2051
|
141,547
|
21,079
|
|
Series 2021-23, Class IA, IO, 2.50%, 2/20/2051
|
70,082
|
10,318
|
|
Series 2021-81, Class IC, IO, 3.00%, 5/20/2051
|
17,225
|
2,681
|
|
Series 2021-91, Class CI, IO, 3.00%, 5/20/2051
|
14,931
|
2,559
|
|
Series 2021-117, Class NI, IO, 3.00%, 7/20/2051
|
49,187
|
7,696
|
|
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051
|
57,711
|
9,033
|
|
Series 2021-162, Class NZ, 2.50%, 9/20/2051
|
4,897
|
3,095
|
|
Series 2021-162, Class Z, 2.50%, 9/20/2051
|
5,023
|
3,199
|
|
Series 2021-165, Class ZJ, 2.50%, 9/20/2051
|
5,014
|
2,974
|
|
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051
|
18,408
|
2,909
|
|
Series 2023-102, Class BG, 5.50%, 7/20/2053
|
2,519
|
2,490
|
|
Series 2024-30, Class SC, IF, IO, 2.12%, 2/20/2054 (c)
|
21,405
|
1,888
|
|
Series 2024-27, Class GB, 5.00%, 2/20/2054
|
2,000
|
1,873
|
|
Series 2024-110, Class SC, IF, IO, 1.67%, 7/20/2054 (c)
|
21,492
|
1,742
|
|
Series 2024-112, Class SA, IF, IO, 2.27%, 7/20/2054 (c)
|
19,435
|
1,500
|
|
Series 2024-110, Class AS, IF, IO, 2.32%, 7/20/2054 (c)
|
19,259
|
1,898
|
|
Series 2024-126, Class HS, IF, IO, 1.62%, 8/20/2054 (c)
|
21,527
|
1,546
|
|
Series 2024-126, Class JS, IF, IO, 1.62%, 8/20/2054 (c)
|
80,107
|
4,323
|
|
Series 2024-127, Class SE, IF, IO, 1.67%, 8/20/2054 (c)
|
26,211
|
1,767
|
|
Series 2024-126, Class AS, IF, IO, 2.32%, 8/20/2054 (c)
|
20,709
|
1,575
|
|
Series 2024-128, Class SA, IF, IO, 2.32%, 8/20/2054 (c)
|
32,689
|
2,771
|
|
Series 2024-151, Class JS, IF, IO, 2.28%, 9/20/2054 (c)
|
21,451
|
2,124
|
|
Series 2024-159, Class AS, IF, IO, 1.77%, 10/20/2054 (c)
|
17,376
|
1,478
|
|
Series 2024-190, Class CS, IF, IO, 1.67%, 11/20/2054 (c)
|
23,875
|
1,792
|
|
Series 2024-204, Class SB, IF, IO, 1.68%, 12/20/2054 (c)
|
34,403
|
2,598
|
|
Series 2025-1, Class SV, IF, IO, 1.57%, 1/20/2055 (c)
|
45,031
|
2,343
|
|
Series 2025-7, Class SG, IF, IO, 1.62%, 1/20/2055 (c)
|
89,021
|
6,183
|
|
Series 2025-7, Class QS, IF, IO, 2.12%, 1/20/2055 (c)
|
20,654
|
1,919
|
|
Series 2025-1, Class SL, IF, IO, 2.27%, 1/20/2055 (c)
|
23,255
|
2,175
|
|
Series 2025-7, Class SL, IF, IO, 2.27%, 1/20/2055 (c)
|
26,514
|
1,944
|
|
Series 2025-23, Class SE, IF, IO, 1.62%, 2/20/2055 (c)
|
31,663
|
2,193
|
|
Series 2025-23, Class SL, IF, IO, 1.62%, 2/20/2055 (c)
|
58,032
|
4,150
|
|
Series 2025-30, Class SC, IF, IO, 2.22%, 2/20/2055 (c)
|
51,016
|
4,345
|
|
Series 2025-51, Class SH, IF, IO, 1.62%, 3/20/2055 (c)
|
64,903
|
4,795
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
1.00%, 11/16/2063 (c)
|
85,000
|
5,950
|
|
Series 2015-H13, Class GI, IO, 1.51%, 4/20/2065 (c)
|
342
|
9
|
|
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡
|
9
|
9
|
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (b) (c)
|
156
|
17
|
|
GSR Mortgage Loan Trust Series 2005-AR6, Class 2A1, 5.29%, 9/25/2035 (c)
|
71
|
68
|
|
HarborView Mortgage Loan Trust Series 2006-14, Class 1A1A, 4.80%, 1/25/2047 (c)
|
5,304
|
4,851
|
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 9.82%, 10/25/2034 (b) (c)
|
12,500
|
13,022
|
|
Homeward Opportunities Fund Trust Series 2024-RTL1, Class A1, 7.12%, 7/25/2029 (b) (k)
|
23,720
|
23,816
|
|
Impac CMB Trust Series 2005-1, Class 1A2, 5.06%, 4/25/2035 (c)
|
99
|
95
|
|
IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, 3.83%, 9/25/2037 (c)
|
11,162
|
6,903
|
|
JPMorgan Alternative Loan Trust Series 2006-S3, Class A4, 6.81%, 8/25/2036 (k)
|
876
|
855
|
|
JPMorgan Mortgage Trust Series 2006-S1, Class 1A1, 6.00%, 4/25/2036
|
25
|
25
|
|
Lehman Mortgage Trust Series 2007-7, Class 5A7, 6.50%, 8/25/2037
|
10,985
|
4,812
|
|
Lhome Mortgage Trust Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (b) (c)
|
4,000
|
4,005
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (b) (k)
|
13,039
|
13,040
|
|
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (b) (k)
|
2,750
|
2,761
|
|
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (b) (k)
|
10,000
|
10,071
|
|
Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (b) (k)
|
2,925
|
2,947
|
|
Series 2024-RTL2, Class A1, 7.13%, 3/25/2029 (b) (k)
|
3,825
|
3,863
|
|
Series 2024-RTL3, Class A1, 6.90%, 5/25/2029 (b) (k)
|
13,810
|
13,955
|
|
Series 2024-RTL4, Class A1, 5.92%, 7/25/2039 (b) (k)
|
4,329
|
4,334
|
|
Series 2024-RTL4, Class A2, 6.09%, 7/25/2039 (b) (k)
|
2,673
|
2,677
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (b) (k)
|
9,582
|
9,525
|
|
Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (b) (k)
|
4,975
|
4,977
|
|
MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.92%, 8/25/2033 (c)
|
21
|
11
|
|
MASTR Asset Securitization Trust Series 2003-11, Class 7A2, 5.25%, 12/25/2033
|
20
|
20
|
|
Merrill Lynch Mortgage Investors Trust Series 2003-A5, Class 2A6, 6.80%, 8/25/2033 (c)
|
23
|
22
|
|
MFA Trust
|
|
|
|
Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (b) (k)
|
18,890
|
18,918
|
|
Series 2024-NPL1, Class A1, 6.33%, 9/25/2054 (k)
|
17,450
|
17,461
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2019-2A, Class A1IB, IO, 1.00%, 12/25/2057 (b) (c)
|
6,341
|
201
|
|
Series 2018-3A, Class A1IC, IO, 1.50%, 5/25/2058 (b) (c)
|
15,829
|
681
|
|
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (b) (c)
|
3,042
|
2,640
|
|
NRM FHT1 Excess Owner LLC Series 2025-FHT1, Class A, 6.55%, 3/25/2032 (b) (k)
|
30,576
|
30,279
|
|
NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (b) (k)
|
3,000
|
2,977
|
|
OBX Trust
|
|
|
|
Series 2023-NQM7, Class A1, 6.84%, 4/25/2063 (b) (k)
|
4,501
|
4,551
|
|
Series 2023-NQM6, Class A1, 6.52%, 7/25/2063 (b) (k)
|
2,544
|
2,561
|
|
Series 2025-NQM2, Class A1, 5.60%, 11/25/2064 (b) (k)
|
4,785
|
4,805
|
|
PMT Loan Trust Series 2025-INV5, Class A2, 6.00%, 5/25/2056 (b) (c)
|
18,900
|
18,966
|
|
PRET LLC
|
|
|
|
Series 2024-NPL8, Class A1, 5.96%, 11/25/2054 (b) (k)
|
8,607
|
8,578
|
|
Series 2025-NPL5, Class A1, 6.24%, 5/25/2055 (b) (k)
|
20,700
|
20,765
|
|
PRPM Series 2025-3, Class A1, 6.26%, 5/25/2030 ‡ (b) (k)
|
7,181
|
7,220
|
|
PRPM LLC
|
|
|
|
Series 2020-4, Class A2, 9.19%, 10/25/2025 (b) (k)
|
8,047
|
8,020
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2024-1, Class A1, 6.96%, 2/25/2029 (b) (k)
|
5,822
|
5,825
|
|
Series 2024-2, Class A1, 7.03%, 3/25/2029 (b) (k)
|
5,481
|
5,482
|
|
Series 2024-5, Class A1, 5.69%, 9/25/2029 (b) (k)
|
2,029
|
2,026
|
|
Series 2024-7, Class A1, 5.87%, 11/25/2029 (b) (k)
|
5,333
|
5,326
|
|
Series 2024-8, Class A2, 8.84%, 12/25/2029 (b) (k)
|
2,000
|
1,991
|
|
Series 2025-RPL2, Class A1, 3.75%, 4/25/2055 (b) (k)
|
5,599
|
5,383
|
|
RAAC Trust Series 2005-SP1, Class 4A1, 7.00%, 9/25/2034
|
23
|
23
|
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 11.07%, 9/25/2032 (b) (c)
|
8,725
|
9,094
|
|
RCO X Mortgage LLC Series 2025-1, Class A1, 5.87%, 1/25/2030 (b) (k)
|
18,636
|
18,527
|
|
STACR Trust Series 2018-HRP2, Class B1, 8.64%, 2/25/2047 (b) (c)
|
2,825
|
3,051
|
|
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (b)
|
1,150
|
928
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 6.04%, 10/25/2037 (c)
|
1,494
|
1,335
|
|
Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1, 5.29%,
5/25/2047 (c)
|
12,274
|
9,796
|
|
Toorak Mortgage Trust Series 2024-2, Class A1, 6.33%, 10/25/2031 (b) (k)
|
9,500
|
9,462
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (b) (k)
|
1,030
|
1,008
|
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (b)
|
30,000
|
25,082
|
|
Verus Securitization Trust
|
|
|
|
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 (b) (c)
|
7,606
|
7,339
|
|
Series 2020-1, Class M1, 3.02%, 1/25/2060 (b) (c)
|
1,990
|
1,874
|
|
Series 2022-4, Class A1, 4.47%, 4/25/2067 (b) (k)
|
733
|
729
|
|
Series 2023-1, Class A1, 5.85%, 12/25/2067 (b) (k)
|
903
|
901
|
|
Series 2023-2, Class A1, 6.19%, 3/25/2068 (b) (k)
|
5,428
|
5,434
|
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (b) (k)
|
4,760
|
4,757
|
|
Visio Trust Series 2019-2, Class B1, 3.91%, 11/25/2054 (b) (c)
|
820
|
723
|
|
WaMu Mortgage Pass-Through Certificates Series 2003-S4, Class 2A2, 5.50%, 6/25/2033
|
29
|
29
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-AR8, Class A, 6.22%, 8/25/2033 (c)
|
62
|
61
|
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
38
|
38
|
|
Series 2005-AR7, Class A3, 6.20%, 8/25/2035 (c)
|
40
|
41
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2006-AR8,
Class 2A, 5.35%, 10/25/2046 (c)
|
1,914
|
1,638
|
|
Total Collateralized Mortgage Obligations
(Cost $1,548,939)
|
|
1,546,296
|
|
Foreign Government Securities — 3.2%
|
||
|
Arab Republic of Egypt
|
|
|
|
7.50%, 1/31/2027 (i)
|
1,000
|
1,008
|
|
7.60%, 3/1/2029 (i)
|
6,200
|
6,080
|
|
8.63%, 2/4/2030 (b)
|
1,459
|
1,450
|
|
8.63%, 2/4/2030 (i)
|
2,700
|
2,684
|
|
7.63%, 5/29/2032 (i)
|
4,000
|
3,591
|
|
9.45%, 2/4/2033 (b)
|
1,990
|
1,928
|
|
7.30%, 9/30/2033 (i)
|
1,100
|
937
|
|
8.50%, 1/31/2047 (i)
|
2,300
|
1,759
|
|
8.70%, 3/1/2049 (i)
|
2,100
|
1,630
|
|
8.88%, 5/29/2050 (i)
|
1,700
|
1,339
|
|
Benin Government Bond 7.96%, 2/13/2038 (b)
|
6,660
|
6,069
|
|
Commonwealth of the Bahamas
|
|
|
|
6.00%, 11/21/2028 (i)
|
3,600
|
3,481
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
8.95%, 10/15/2032 (i)
|
1,500
|
1,560
|
|
Democratic Socialist Republic of Sri Lanka
|
|
|
|
4.00%, 4/15/2028 (b)
|
1,020
|
950
|
|
3.10%, 1/15/2030 (b) (k)
|
311
|
270
|
|
3.35%, 3/15/2033 (b) (k)
|
610
|
473
|
|
3.60%, 6/15/2035 (b) (k)
|
7,012
|
4,741
|
|
3.60%, 5/15/2036 (b) (k)
|
286
|
222
|
|
3.60%, 2/15/2038 (b) (k)
|
571
|
446
|
|
Dominican Republic Government Bond
|
|
|
|
7.05%, 2/3/2031 (b)
|
1,230
|
1,276
|
|
6.00%, 2/22/2033 (b)
|
753
|
736
|
|
6.00%, 2/22/2033 (i)
|
8,400
|
8,213
|
|
6.95%, 3/15/2037 (b)
|
1,300
|
1,304
|
|
6.40%, 6/5/2049 (i)
|
1,600
|
1,464
|
|
5.88%, 1/30/2060 (b)
|
11,450
|
9,423
|
|
5.88%, 1/30/2060 (i)
|
13,200
|
10,864
|
|
Federal Republic of Nigeria
|
|
|
|
6.50%, 11/28/2027 (i)
|
5,400
|
5,230
|
|
6.13%, 9/28/2028 (b)
|
6,347
|
5,885
|
|
7.14%, 2/23/2030 (i)
|
16,000
|
14,720
|
|
7.70%, 2/23/2038 (i)
|
4,700
|
3,836
|
|
Federative Republic of Brazil 7.13%, 5/13/2054
|
2,605
|
2,412
|
|
Hashemite Kingdom of Jordan
|
|
|
|
7.75%, 1/15/2028 (i)
|
1,000
|
1,026
|
|
5.85%, 7/7/2030 (i)
|
8,800
|
8,228
|
|
7.38%, 10/10/2047 (i)
|
9,200
|
7,926
|
|
Islamic Republic of Pakistan
|
|
|
|
8.25%, 9/30/2025 (i)
|
3,100
|
3,091
|
|
6.00%, 4/8/2026 (b)
|
15,085
|
14,696
|
|
6.88%, 12/5/2027 (i)
|
2,000
|
1,856
|
|
7.38%, 4/8/2031 (b)
|
5,013
|
4,268
|
|
8.88%, 4/8/2051 (i)
|
2,500
|
1,958
|
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (b)
|
2,870
|
3,054
|
|
Kingdom of Bahrain 5.45%, 9/16/2032 (b)
|
8,389
|
7,760
|
|
Kingdom of Morocco 6.50%, 9/8/2033 (i)
|
900
|
931
|
|
Republic of Angola
|
|
|
|
8.25%, 5/9/2028 (i)
|
3,200
|
2,878
|
|
8.00%, 11/26/2029 (b)
|
3,620
|
3,091
|
|
8.00%, 11/26/2029 (i)
|
11,400
|
9,736
|
|
8.75%, 4/14/2032 (b)
|
5,266
|
4,333
|
|
8.75%, 4/14/2032 (i)
|
800
|
658
|
|
Republic of Armenia 3.60%, 2/2/2031 (b)
|
2,760
|
2,342
|
|
Republic of Colombia
|
|
|
|
8.00%, 4/20/2033
|
2,010
|
2,061
|
|
7.50%, 2/2/2034
|
860
|
853
|
|
8.75%, 11/14/2053
|
4,568
|
4,456
|
|
Republic of Costa Rica
|
|
|
|
6.13%, 2/19/2031 (i)
|
4,200
|
4,297
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
6.55%, 4/3/2034 (b)
|
3,300
|
3,391
|
|
7.00%, 4/4/2044 (i)
|
1,000
|
1,014
|
|
7.30%, 11/13/2054 (b)
|
4,403
|
4,500
|
|
Republic of Cote d'Ivoire
|
|
|
|
6.38%, 3/3/2028 (i)
|
7,067
|
7,017
|
|
7.63%, 1/30/2033 (i)
|
1,700
|
1,638
|
|
6.13%, 6/15/2033 (i)
|
16,300
|
14,461
|
|
8.08%, 4/1/2036 (b)
|
10,750
|
10,132
|
|
8.25%, 1/30/2037 (b)
|
1,488
|
1,397
|
|
Republic of Ecuador
|
|
|
|
6.90%, 7/31/2030 (i) (k)
|
4,300
|
3,333
|
|
5.50%, 7/31/2035 (i) (k)
|
6,000
|
3,726
|
|
5.00%, 7/31/2040 (i) (k)
|
4,800
|
2,578
|
|
Republic of El Salvador
|
|
|
|
8.63%, 2/28/2029 (i)
|
4,669
|
4,823
|
|
0.25%, 4/17/2030 (b)
|
6,200
|
112
|
|
9.25%, 4/17/2030 (b)
|
9,300
|
9,719
|
|
7.63%, 2/1/2041 (i)
|
2,900
|
2,604
|
|
7.12%, 1/20/2050 (i)
|
4,400
|
3,571
|
|
9.65%, 11/21/2054 (b)
|
7,327
|
7,309
|
|
Republic of Ghana
|
|
|
|
0.0%, 7/3/2026 (b)
|
305
|
295
|
|
5.00%, 7/3/2029 (b) (k)
|
7,928
|
7,215
|
|
0.0%, 1/3/2030 (b)
|
650
|
527
|
|
5.00%, 7/3/2035 (b) (k)
|
4,426
|
3,265
|
|
Republic of Guatemala
|
|
|
|
6.60%, 6/13/2036 (b)
|
1,420
|
1,423
|
|
4.65%, 10/7/2041 (b)
|
1,400
|
1,088
|
|
Republic of Honduras
|
|
|
|
6.25%, 1/19/2027 (i)
|
3,000
|
2,979
|
|
8.63%, 11/27/2034 (b)
|
3,660
|
3,710
|
|
Republic of Iraq 5.80%, 1/15/2028 (i)
|
5,775
|
5,670
|
|
Republic of Kenya
|
|
|
|
7.25%, 2/28/2028 (i)
|
3,200
|
3,095
|
|
9.75%, 2/16/2031 (b)
|
3,666
|
3,658
|
|
9.75%, 2/16/2031 (i)
|
2,200
|
2,195
|
|
8.00%, 5/22/2032 (i)
|
3,500
|
3,186
|
|
9.50%, 3/5/2036 (b)
|
8,350
|
7,615
|
|
Republic of Montenegro 7.25%, 3/12/2031 (b)
|
5,923
|
6,072
|
|
Republic of Namibia 5.25%, 10/29/2025 (i)
|
4,900
|
4,859
|
|
Republic of Panama
|
|
|
|
6.40%, 2/14/2035
|
1,800
|
1,698
|
|
7.88%, 3/1/2057
|
2,000
|
1,946
|
|
Republic of Paraguay, 6.10%, 8/11/2044 (i)
|
14,075
|
13,147
|
|
Republic of Rwanda 5.50%, 8/9/2031 (b)
|
8,000
|
6,730
|
|
Republic of Senegal
|
|
|
|
7.75%, 6/10/2031 (i)
|
9,000
|
7,234
|
|
6.25%, 5/23/2033 (i)
|
16,000
|
11,470
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Republic of Serbia
|
|
|
|
6.50%, 9/26/2033 (b)
|
3,400
|
3,509
|
|
6.00%, 6/12/2034 (i)
|
1,300
|
1,288
|
|
Republic of South Africa
|
|
|
|
7.10%, 11/19/2036 (b)
|
3,478
|
3,367
|
|
5.00%, 10/12/2046
|
5,100
|
3,430
|
|
5.75%, 9/30/2049
|
7,406
|
5,351
|
|
7.95%, 11/19/2054 (b)
|
4,489
|
4,121
|
|
Republic of Turkiye (The)
|
|
|
|
9.38%, 3/14/2029
|
2,000
|
2,165
|
|
7.13%, 2/12/2032
|
1,600
|
1,566
|
|
9.38%, 1/19/2033
|
1,741
|
1,919
|
|
7.63%, 5/15/2034
|
6,763
|
6,754
|
|
Republic of Uzbekistan International Bond
|
|
|
|
7.85%, 10/12/2028 (b)
|
1,494
|
1,569
|
|
6.95%, 5/25/2032 (b)
|
2,000
|
1,981
|
|
Republic of Zambia
|
|
|
|
5.75%, 6/30/2033 (i) (k)
|
799
|
717
|
|
5.75%, 6/30/2033 (b) (k)
|
1,759
|
1,578
|
|
Romania Government Bond 7.50%, 2/10/2037 (b)
|
1,464
|
1,470
|
|
State of Mongolia
|
|
|
|
6.63%, 2/25/2030 (b)
|
1,600
|
1,556
|
|
4.45%, 7/7/2031 (b)
|
5,600
|
4,816
|
|
Sultanate of Oman Government Bond
|
|
|
|
6.75%, 1/17/2048 (i)
|
6,300
|
6,327
|
|
7.00%, 1/25/2051 (i)
|
6,200
|
6,382
|
|
Suriname Government International Bond 7.95%, 7/15/2033 (d) (i)
|
3,091
|
2,875
|
|
Total Foreign Government Securities
(Cost $469,353)
|
|
438,623
|
|
Loan Assignments — 1.4% (l)
|
||
|
Aerospace & Defense — 0.0% ^
|
||
|
TransDigm, Inc., 1st Lien Term Loan J (3-MONTH CME TERM SOFR + 2.50%), 6.80%, 2/28/2031 (h)
|
848
|
848
|
|
Automobile Components — 0.0% ^
|
||
|
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.58%, 1/31/2031 (h)
|
3,642
|
3,622
|
|
Beverages — 0.0% ^
|
||
|
Primo Brands Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.55%, 3/31/2028 (h)
|
1,925
|
1,925
|
|
Building Products — 0.1%
|
||
|
EMRLD Borrower LP, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.50%), 6.80%, 8/4/2031 (h)
|
5,597
|
5,566
|
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 3/28/2031 (h)
|
2,985
|
2,976
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
2/10/2032 (h)
|
6,790
|
6,756
|
|
|
|
15,298
|
|
Chemicals — 0.1%
|
||
|
Venator Materials LLC, 1st Lien Term Loan
|
|
|
|
(3-MONTH CME TERM SOFR + 10.00%), 14.26%, 1/16/2026 (h)
|
1,422
|
1,408
|
|
(3-MONTH CME TERM SOFR + 2.00%), 14.32%, 10/12/2028 (h)
|
2,326
|
1,890
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Chemicals — continued
|
||
|
Venator Materials LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 6.30%,
7/16/2026 (h)
|
1,420
|
1,405
|
|
WR Grace Holdings LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.55%,
9/22/2028 (h)
|
3,357
|
3,344
|
|
|
|
8,047
|
|
Commercial Services & Supplies — 0.1%
|
||
|
Madison IAQ LLC, 1st Lien Term Loan (6-MONTH CME TERM SOFR + 2.50%), 6.76%, 6/21/2028 (h)
|
3,242
|
3,237
|
|
Raven Acquisition Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 11/19/2031 (h)
|
3,062
|
3,054
|
|
|
|
6,291
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
Moran Foods LLC, 1st Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (h)
|
2,887
|
2,283
|
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan (3-MONTH CME TERM SOFR
+ 11.50%), 15.91%,
6/30/2026 ‡ (h)
|
3,291
|
3,291
|
|
Moran Foods LLC, 1st Lien Term Loan (12-MONTH CME TERM SOFR + 8.50%), 12.70%, 1/2/2029 ‡ (h)
|
292
|
292
|
|
Moran Foods LLC, 1st Lien Term Loan A (12-MONTH CME TERM SOFR + 2.50%), 6.28%, 1/2/2029 ‡ (h)
|
334
|
334
|
|
Moran Foods LLC, 2nd Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (h)
|
74
|
35
|
|
|
|
6,235
|
|
Containers & Packaging — 0.0% ^
|
||
|
Clydesdale Acquisition Holdings, Inc., 1st Lien Delayed Draw Term Loan (3-MONTH CME
TERM SOFR + 3.25%), 7.48%,
4/1/2032 (h) (m)
|
1
|
2
|
|
Clydesdale Acquisition Holdings, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR
+ 3.25%), 7.55%, 4/1/2032 (h)
(m)
|
2,516
|
2,495
|
|
|
|
2,497
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Belron Finance 2019 LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.05%,
10/16/2031 (h)
|
1,840
|
1,846
|
|
Wand NewCo 3, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 1/30/2031 (h) (m)
|
4,076
|
4,034
|
|
|
|
5,880
|
|
Electrical Equipment — 0.0% ^
|
||
|
Vertiv Group Corp., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 1.75%), 6.07%,
3/2/2027 (h)
|
2,393
|
2,390
|
|
Electronic Equipment, Instruments & Components — 0.0% ^
|
||
|
Ingram Micro, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 7.05%, 9/19/2031 (h)
|
1,000
|
1,004
|
|
LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%),
8.57%,
12/2/2031 (h)
|
5,132
|
5,039
|
|
|
|
6,043
|
|
Financial Services — 0.0% ^
|
||
|
Boost Newco Borrower LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 2.00%),
6.30%, 1/31/2031 (h)
|
2,400
|
2,402
|
|
Ground Transportation — 0.1%
|
||
|
First Student Bidco, Inc., 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 2.50%),
6.80%, 7/21/2028 (h)
|
3,969
|
3,969
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 6.05%,
4/10/2031 (h)
|
8,593
|
8,549
|
|
|
|
12,518
|
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Avantor Funding, Inc., 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 2.00%), 6.43%,
11/8/2027 (h)
|
61
|
61
|
|
Medline Borrower LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.58%, 10/23/2028 (h)
|
6,723
|
6,715
|
|
|
|
6,776
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Health Care Providers & Services — 0.0% ^
|
||
|
Phoenix Newco, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 11/15/2028 (h)
|
4,006
|
4,005
|
|
Insurance — 0.1%
|
||
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.50%), 6.77%,
6/20/2030 (h)
|
7,187
|
7,185
|
|
IT Services — 0.1%
|
||
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.00%), 7.30%,
2/3/2031 (h)
|
3,981
|
3,981
|
|
MH Sub I LLC, 1st Lien Term Loan
|
|
|
|
(1-MONTH CME TERM SOFR + 4.25%), 8.57%, 5/3/2028 (h)
|
2,928
|
2,809
|
|
(1-MONTH CME TERM SOFR + 4.25%), 8.58%, 12/31/2031 (h)
|
1,982
|
1,802
|
|
|
|
8,592
|
|
Leisure Products — 0.1%
|
||
|
FGI Operating Co. LLC, 1st Lien Term Loan, 0.00%, 1/31/2025 ‡ (c) (j)
|
37
|
—
|
|
Varsity Brands, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 7.83%,
8/26/2031 (h) (m)
|
7,338
|
7,283
|
|
|
|
7,283
|
|
Machinery — 0.0% ^
|
||
|
SPX FLOW, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 4/5/2029 (h)
|
3,200
|
3,208
|
|
Terex Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 6.30%, 10/8/2031 (h)
|
2,800
|
2,801
|
|
|
|
6,009
|
|
Media — 0.0% ^
|
||
|
CSC Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.50%), 8.83%, 1/18/2028 (h)
|
3,441
|
3,393
|
|
DIRECTV Financing LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 5.00%), 9.54%,
8/2/2027 (h)
|
336
|
337
|
|
|
|
3,730
|
|
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
|
EPIC Crude Services LP, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.26%,
10/15/2031 (h)
|
3,359
|
3,366
|
|
Passenger Airlines — 0.1%
|
||
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.52%,
4/20/2028 (h)
|
2,455
|
2,426
|
|
Jetblue Airways Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.75%), 9.05%,
8/13/2029 (h) (m)
|
3,753
|
3,646
|
|
|
|
6,072
|
|
Pharmaceuticals — 0.0% ^
|
||
|
1261229 BC Ltd., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 6.25%), 10.59%, 10/8/2030 (h) (m)
|
4,535
|
4,297
|
|
Elanco Animal Health, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 6.17%,
8/2/2027 (h)
|
1,348
|
1,346
|
|
|
|
5,643
|
|
Professional Services — 0.1%
|
||
|
First Advantage Holdings LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 10/31/2031 (h)
|
4,458
|
4,452
|
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.57%,
1/27/2031 (h)
|
2,736
|
2,730
|
|
|
|
7,182
|
|
Semiconductors & Semiconductor Equipment — 0.0% ^
|
||
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.25%, 2/1/2029 (h)
|
2,786
|
2,748
|
|
Software — 0.2%
|
||
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%,
2/15/2029 (h) (m)
|
6,590
|
6,558
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.83%,
11/25/2031 (h)
|
4,936
|
4,946
|
|
Central Parent LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.55%, 7/6/2029 (h)
|
2,786
|
2,475
|
|
Icon Parent, Inc., 1st Lien Term Loan (6-MONTH CME TERM SOFR + 3.00%), 7.21%, 11/13/2031 (h)
|
4,675
|
4,669
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Software — continued
|
||
|
Rocket Software, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 8.58%,
11/28/2028 (h)
|
4,544
|
4,548
|
|
UKG, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 2/10/2031 (h)
|
6,555
|
6,565
|
|
|
|
29,761
|
|
Specialty Retail — 0.1%
|
||
|
Claire's Stores, Inc., 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 6.50%), 10.73%,
12/18/2026 (h)
|
12
|
8
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%),
7.81%, 3/3/2028 (h)
|
4,150
|
3,837
|
|
PetSmart LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.18%, 2/11/2028 (h)
|
6,309
|
6,278
|
|
Queen MergerCo, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 7.28%,
4/30/2032 (h)
|
848
|
850
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 10/19/2029 (h)
|
2,393
|
2,366
|
|
|
|
13,339
|
|
Total Loan Assignments
(Cost $187,605)
|
|
185,687
|
|
Municipal Bonds — 0.4% (n)
|
||
|
California — 0.1%
|
||
|
California Housing Finance Agency Series 2021-2, Class X, Rev., FHLMC COLL, 0.83%,
3/25/2035 (c)
|
61,723
|
2,532
|
|
California Infrastructure and Economic Development Bank, Brightline West Passenger
Rail Project Series 2025A, Rev.,
AMT, 9.50%, 1/1/2035 (b) (c)
|
9,900
|
9,590
|
|
Los Angeles Community College District, Election of 2008 Series 2010E, GO, 6.75%,
8/1/2049
|
100
|
110
|
|
Orange County Water District Series 2017B, Rev., 4.06%, 8/15/2041
|
290
|
249
|
|
Regents of the University of California, Medical Center Pooled Series 2009F, Rev.,
6.58%, 5/15/2049
|
255
|
268
|
|
University of California, Taxable Limited Project Series 2015J, Rev., 4.13%, 5/15/2045
|
100
|
86
|
|
Total California
|
|
12,835
|
|
Colorado — 0.0% ^
|
||
|
Colorado Health Facilities Authority, Vail Valley Medical Centre Project, Rev., 4.00%,
1/15/2045
|
175
|
151
|
|
Indiana — 0.0% ^
|
||
|
Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital
Series 2010B-2, Rev., 6.12%,
1/15/2040
|
240
|
247
|
|
Nevada — 0.1%
|
||
|
State of Nevada Department of Business and Industry, Brighline West Passenger Rail
Project Series 2025A, Rev., AMT,
9.50%, 1/1/2033 (b) (c)
|
13,400
|
12,780
|
|
New York — 0.2%
|
||
|
New York City Housing Development Corp., Multi-Family Mortgage, 8 Spruce Street Project
|
|
|
|
Series 2024 CL A, Rev., 5.46%, 12/15/2031
|
26,666
|
27,140
|
|
Series 2024 CL B, Rev., 6.03%, 12/15/2031
|
3,200
|
3,262
|
|
Total New York
|
|
30,402
|
|
Texas — 0.0% ^
|
||
|
North Texas Tollway Authority, First Tier Series 2009B, Rev., 6.72%, 1/1/2049
|
131
|
142
|
|
Washington — 0.0% ^
|
||
|
Washington State Housing Finance Commission Series 2021-1, Class X, Rev., 0.73%, 12/20/2035 (c)
|
89,217
|
3,521
|
|
Total Municipal Bonds
(Cost $59,758)
|
|
60,078
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — 0.2%
|
||
|
Aerospace & Defense — 0.0% ^
|
||
|
Incora Top Holdco LLC ‡ *
|
3
|
70
|
|
Broadline Retail — 0.0% ^
|
||
|
Moran Foods Backstop Equity ‡ *
|
9,333,314
|
9
|
|
NMG Parent LLC ‡ *
|
—
|
—
|
|
|
|
9
|
|
Chemicals — 0.0% ^
|
||
|
Venator Materials plc ‡ *
|
7
|
1,309
|
|
Distributors — 0.0% ^
|
||
|
Incora Intermediate II LLC ‡ *
|
81
|
1,619
|
|
Diversified Telecommunication Services — 0.0% ^
|
||
|
Frontier Communications Parent, Inc. *
|
5
|
171
|
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
New Evhc Physical Equity ‡ *
|
1
|
14
|
|
Media — 0.0% ^
|
||
|
Clear Channel Outdoor Holdings, Inc. *
|
6
|
6
|
|
iHeartMedia, Inc., Class A *
|
2
|
3
|
|
|
|
9
|
|
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
|
Gulfport Energy Corp. *
|
20
|
3,843
|
|
Pharmaceuticals — 0.1%
|
||
|
Endo GUC Trust ‡ *
|
10
|
5
|
|
Endo, Inc. *
|
143
|
3,007
|
|
Mallinckrodt plc (Luxembourg) ‡ *
|
65
|
5,574
|
|
|
|
8,586
|
|
Specialty Retail — 0.0% ^
|
||
|
Claire's Stores, Inc. ‡ * (o)
|
—
|
—
(p)
|
|
Rite Aid ‡ *
|
11
|
—
|
|
|
|
—
|
|
Wireless Telecommunication Services — 0.1%
|
||
|
Intelsat SA (Luxembourg) ‡ *
|
147
|
5,989
|
|
Total Common Stocks
(Cost $18,087)
|
|
21,619
|
|
|
PRINCIPAL
AMOUNT
($000)
|
|
|
Supranational — 0.0% ^
|
||
|
Banque Ouest Africaine de Developpement (Supranational),
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year), 8.20%, 2/13/2055 (b) (h) (Cost $4,815)
|
4,800
|
4,752
|
|
|
SHARES
(000)
|
|
|
Preferred Stocks — 0.0% ^
|
||
|
Broadline Retail — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
14
|
18
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Preferred Stocks — continued
|
||
|
Electric Utilities — 0.0% ^
|
||
|
SCE Trust VI 5.00%, 7/5/2025 ($25 par value) (q)
|
199
|
3,388
|
|
Total Preferred Stocks
(Cost $4,678)
|
|
3,406
|
|
|
NO. OF
CONTRACTS
|
|
|
Options Purchased — 0.0% ^
|
||
|
Put Options Purchased — 0.0% ^
|
||
|
Foreign Exchange USD/CNH
|
|
|
|
7/15/2025 at USD 7.00
|
|
|
|
Notional Amount: USD 638,005
|
|
|
|
Counterparty: Exchange-Traded *
(Cost $1,442)
|
638,005,000
|
610
|
|
|
NO. OF
WARRANTS
(000)
|
|
|
Warrants — 0.0% ^
|
||
|
Media — 0.0% ^
|
||
|
Audacy, Inc.
|
|
|
|
expiring 12/31/2049, price 1.00 USD ‡ *
|
12
|
87
|
|
expiring 9/30/2028, price 1.00 USD ‡ *
|
1
|
—
|
|
Total Warrants
(Cost $2,508)
|
|
87
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 4.9%
|
||
|
Investment Companies — 4.9%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.29% (r) (s)
(Cost $671,161)
|
671,026
|
671,161
|
|
Total Investments — 119.1%
(Cost $16,602,947)
|
|
16,282,254
|
|
Liabilities in Excess of Other Assets — (19.1)%
|
|
(2,612,234
)
|
|
NET ASSETS — 100.0%
|
|
13,670,020
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
AMT
|
Alternative Minimum Tax
|
|
CIFC
|
Commercial Industrial Finance Corp.
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CNH
|
China Renminbi
|
|
COLL
|
Collateral
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
FRN
|
Floating Rate Note
|
|
GNMA
|
Government National Mortgage Association
|
|
GO
|
General Obligation
|
|
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.
|
|
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
|
|
PIK
|
Payment In Kind
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
Rev.
|
Revenue
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(c)
|
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.
|
|
|
(d)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(e)
|
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 $43,793 or 0.32% of the Fund’s net assets
as of May 31, 2025.
|
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(g)
|
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.
|
|
|
(h)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2025.
|
|
|
(i)
|
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.
|
|
|
(j)
|
Defaulted security.
|
|
|
(k)
|
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.
|
|
|
(l)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(m)
|
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.
|
|
|
(n)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
|
(o)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
|
(p)
|
Value is zero.
|
|
|
(q)
|
The date shown reflects the next call date on which the issuer may redeem the security
at par value. The coupon rate for this security is based
on par value and is in effect as of May 31, 2025.
|
|
|
(r)
|
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.
|
|
|
(s)
|
The rate shown is the current yield as of May 31, 2025.
|
|
|
SECURITY DESCRIPTION
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
FNMA / FHLMC UMBS, Single Family, 30 Year
|
|
|
|
TBA, 2.50%, 6/25/2055 (a)
|
(132,900
)
|
(108,224
)
|
|
TBA, 3.50%, 6/25/2055 (a)
|
(131,900
)
|
(116,899
)
|
|
TBA, 4.00%, 6/25/2055 (a)
|
(237,200
)
|
(217,292
)
|
|
TBA, 5.00%, 6/25/2055 (a)
|
(270,200
)
|
(261,515
)
|
|
TBA, 6.00%, 6/25/2055 (a)
|
(65,000
)
|
(65,634
)
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 3.50%, 6/15/2055 (a)
|
(341,200
)
|
(303,516
)
|
|
TBA, 4.00%, 6/15/2055 (a)
|
(766,300
)
|
(701,617
)
|
|
TBA, 4.50%, 6/15/2055 (a)
|
(135,000
)
|
(127,345
)
|
|
(Proceeds received of $1,910,790)
|
|
(1,902,042
)
|
|
Abbreviations
|
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
(a)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
4,708
|
09/19/2025
|
USD
|
522,147
|
5,580
|
|
U.S. Treasury 10 Year Ultra Note
|
6,327
|
09/19/2025
|
USD
|
713,765
|
8,922
|
|
U.S. Treasury Long Bond
|
22
|
09/19/2025
|
USD
|
2,489
|
67
|
|
U.S. Treasury Ultra Bond
|
53
|
09/19/2025
|
USD
|
6,165
|
163
|
|
U.S. Treasury 2 Year Note
|
5,054
|
09/30/2025
|
USD
|
1,048,784
|
1,660
|
|
U.S. Treasury 5 Year Note
|
8,351
|
09/30/2025
|
USD
|
904,387
|
5,346
|
|
|
|
|
|
|
21,738
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Ultra Note
|
(6,424
)
|
09/19/2025
|
USD
|
(724,708
)
|
(8,891
)
|
|
U.S. Treasury Long Bond
|
(2,362
)
|
09/19/2025
|
USD
|
(267,201
)
|
(5,529
)
|
|
U.S. Treasury Ultra Bond
|
(1,335
)
|
09/19/2025
|
USD
|
(155,277
)
|
(3,569
)
|
|
U.S. Treasury 5 Year Note
|
(313
)
|
09/30/2025
|
USD
|
(33,897
)
|
(203
)
|
|
|
|
|
|
|
(18,192
)
|
|
|
|
|
|
|
3,546
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
JPY
|
11,432,657
|
USD
|
79,098
|
BNP Paribas
|
6/16/2025
|
469
|
|
Total unrealized appreciation
|
469
|
|||||
|
JPY
|
38,061,640
|
USD
|
266,735
|
Standard Chartered Bank
|
6/16/2025
|
(1,839
)
|
|
Total unrealized depreciation
|
(1,839
)
|
|||||
|
Net unrealized depreciation
|
(1,370
)
|
|||||
|
Abbreviations
|
|
|
JPY
|
Japanese Yen
|
|
USD
|
United States Dollar
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
COUNTERPARTY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
12/20/2027
|
0.43
|
USD39,851
|
202
|
(838
)
|
(636
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD31,878
|
200
|
(773
)
|
(573
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD31,878
|
85
|
(658
)
|
(573
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD15,942
|
26
|
(312
)
|
(286
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD7,971
|
21
|
(164
)
|
(143
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD15,935
|
51
|
(337
)
|
(286
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD7,721
|
62
|
(201
)
|
(139
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Citibank, NA
|
6/20/2028
|
0.45
|
USD44,000
|
225
|
(1,016
)
|
(791
)
|
|
Bank of America Corp., 3.50%,
4/19/2026
|
1.00
|
Quarterly
|
Morgan Stanley
|
6/20/2028
|
0.45
|
USD4,770
|
31
|
(117
)
|
(86
)
|
|
|
|
|
|
|
|
|
903
|
(4,416
)
|
(3,513
)
|
|
(*)
|
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
|
|
|
USD
|
United States Dollar
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
COUNTERPARTY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Citigorup Global Markets, Inc.
|
11/18/2054
|
10.86
|
USD5,000
|
(246
)
|
(405
)
|
(651
)
|
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
10.86
|
USD12,500
|
(588
)
|
(1,040
)
|
(1,628
)
|
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
10.86
|
USD10,000
|
(419
)
|
(884
)
|
(1,303
)
|
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
10.86
|
USD20,000
|
(707
)
|
(1,898
)
|
(2,605
)
|
|
CMBX.NA.BBB-.11
|
3.00
|
Monthly
|
Morgan Stanley
|
11/18/2054
|
10.86
|
USD15,000
|
(470
)
|
(1,484
)
|
(1,954
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Citigorup Global Markets, Inc.
|
08/17/2061
|
9.69
|
USD7,500
|
(590
)
|
(770
)
|
(1,360
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD5,000
|
(222
)
|
(685
)
|
(907
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD2,500
|
(111
)
|
(342
)
|
(453
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD12,500
|
(334
)
|
(1,932
)
|
(2,266
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD12,500
|
(125
)
|
(2,141
)
|
(2,266
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD5,500
|
(59
)
|
(938
)
|
(997
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD8,017
|
(86
)
|
(1,368
)
|
(1,454
)
|
|
CMBX.NA.BBB-.12
|
3.00
|
Monthly
|
Morgan Stanley
|
08/17/2061
|
9.69
|
USD12,500
|
(53
)
|
(2,213
)
|
(2,266
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigorup Global Markets, Inc.
|
09/17/2058
|
57.00
|
USD2,500
|
(261
)
|
(191
)
|
(452
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigorup Global Markets, Inc.
|
09/17/2058
|
57.00
|
USD10,000
|
(867
)
|
(942
)
|
(1,809
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Citigorup Global Markets, Inc.
|
09/17/2058
|
57.00
|
USD8,000
|
(584
)
|
(863
)
|
(1,447
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
57.00
|
USD12,500
|
(1,707
)
|
(553
)
|
(2,260
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
57.00
|
USD7,500
|
(779
)
|
(577
)
|
(1,356
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
57.00
|
USD7,500
|
(783
)
|
(573
)
|
(1,356
)
|
|
CMBX.NA.BBB-.9
|
3.00
|
Monthly
|
Morgan Stanley
|
09/17/2058
|
57.00
|
USD5,000
|
(452
)
|
(452
)
|
(904
)
|
|
|
|
|
|
|
|
|
(9,443
)
|
(20,251
)
|
(29,694
)
|
|
(**)
|
The Fund, as a seller of credit protection, receives periodic payments and may also
receive or pay an upfront premium from or to the protection buyer,
and is obligated to make a contingent payment, upon occurrence of a credit event with
respect to an underlying reference obligation, as defined under the
terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of
swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads
would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute
terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit
indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would
be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads,
interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CMBX
|
Commercial Mortgage-Backed Securities Index
|
|
USD
|
United States Dollar
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.HY.44-V1
|
5.00
|
Quarterly
|
6/20/2030
|
3.51
|
USD 227,610
|
(13,204
)
|
(3,115
)
|
(16,319
)
|
|
CDX.NA.HY.44-V1
|
5.00
|
Quarterly
|
6/20/2030
|
3.51
|
USD 227,611
|
(13,060
)
|
(3,259
)
|
(16,319
)
|
|
CDX.NA.HY.44-V1
|
5.00
|
Quarterly
|
6/20/2030
|
3.51
|
USD 541,918
|
(32,060
)
|
(6,795
)
|
(38,855
)
|
|
|
|
|
|
|
|
(58,324
)
|
(13,169
)
|
(71,493
)
|
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic
payments and may also pay or receive an upfront premium to or from
the protection seller, in exchange for the right to receive a contingent payment,
upon occurrence of a credit event with respect to an underlying reference
obligation, as defined under the terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of
swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads
would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute
terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit
indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would
be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads,
interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
|
NET UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
VALUE
($)
|
|
Liabilities
|
|
|
|
OTC Credit default swap contracts outstanding - buy protection
|
903
|
(3,513
)
|
|
OTC Credit default swap contracts outstanding - sell protection
|
(9,443
)
|
(29,694
)
|
|
Total OTC swap contracts outstanding
|
(8,540
)
|
(33,207
)
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,930,780
|
$443,620
|
$2,374,400
|
|
Collateralized Mortgage Obligations
|
—
|
1,383,562
|
162,734
|
1,546,296
|
|
Commercial Mortgage-Backed Securities
|
—
|
3,151,537
|
129,413
|
3,280,950
|
|
Common Stocks
|
|
|
|
|
|
Aerospace & Defense
|
—
|
—
|
70
|
70
|
|
Broadline Retail
|
—
|
—
|
9
|
9
|
|
Chemicals
|
—
|
—
|
1,309
|
1,309
|
|
Distributors
|
—
|
—
|
1,619
|
1,619
|
|
Diversified Telecommunication Services
|
171
|
—
|
—
|
171
|
|
Health Care Equipment & Supplies
|
—
|
—
|
14
|
14
|
|
Media
|
9
|
—
|
—
|
9
|
|
Oil, Gas & Consumable Fuels
|
3,843
|
—
|
—
|
3,843
|
|
Pharmaceuticals
|
3,007
|
—
|
5,579
|
8,586
|
|
Specialty Retail
|
—
|
—
|
—
(a)
|
—
(a)
|
|
Wireless Telecommunication Services
|
—
|
—
|
5,989
|
5,989
|
|
Total Common Stocks
|
7,030
|
—
|
14,589
|
21,619
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
51,796
|
1,361
|
53,157
|
|
Automobile Components
|
—
|
109,089
|
—
|
109,089
|
|
Automobiles
|
—
|
977
|
—
|
977
|
|
Banks
|
—
|
71,900
|
—
|
71,900
|
|
Beverages
|
—
|
8,729
|
—
|
8,729
|
|
Biotechnology
|
—
|
5,781
|
—
|
5,781
|
|
Broadline Retail
|
—
|
16,836
|
—
|
16,836
|
|
Building Products
|
—
|
80,143
|
—
|
80,143
|
|
Capital Markets
|
—
|
8,704
|
—
|
8,704
|
|
Chemicals
|
—
|
120,902
|
—
|
120,902
|
|
Commercial Services & Supplies
|
—
|
101,507
|
—
|
101,507
|
|
Communications Equipment
|
—
|
11,511
|
—
|
11,511
|
|
Construction & Engineering
|
—
|
18,198
|
—
|
18,198
|
|
Construction Materials
|
—
|
1,570
|
—
|
1,570
|
|
Consumer Finance
|
—
|
48,065
|
—
|
48,065
|
|
Consumer Staples Distribution & Retail
|
—
|
46,498
|
—
(a)
|
46,498
|
|
Containers & Packaging
|
—
|
53,992
|
—
|
53,992
|
|
Distributors
|
—
|
2,502
|
—
|
2,502
|
|
Diversified Consumer Services
|
—
|
13,565
|
—
|
13,565
|
|
Diversified Telecommunication Services
|
—
|
246,332
|
—
|
246,332
|
|
Electric Utilities
|
—
|
79,311
|
—
|
79,311
|
|
Electrical Equipment
|
—
|
12,713
|
—
|
12,713
|
|
Electronic Equipment, Instruments & Components
|
—
|
26,460
|
—
|
26,460
|
|
Energy Equipment & Services
|
—
|
21,053
|
—
|
21,053
|
|
Entertainment
|
—
|
36,783
|
—
|
36,783
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Financial Services
|
$—
|
$44,578
|
$8,795
|
$53,373
|
|
Food Products
|
—
|
29,488
|
—
|
29,488
|
|
Gas Utilities
|
—
|
4,326
|
—
|
4,326
|
|
Ground Transportation
|
—
|
70,736
|
1,259
|
71,995
|
|
Health Care Equipment & Supplies
|
—
|
46,212
|
—
|
46,212
|
|
Health Care Providers & Services
|
—
|
117,610
|
—
|
117,610
|
|
Health Care Technology
|
—
|
9,078
|
—
|
9,078
|
|
Hotel & Resort REITs
|
—
|
24,150
|
—
|
24,150
|
|
Hotels, Restaurants & Leisure
|
—
|
169,198
|
—
|
169,198
|
|
Household Durables
|
—
|
31,483
|
—
|
31,483
|
|
Household Products
|
—
|
26,973
|
—
|
26,973
|
|
Independent Power and Renewable Electricity Producers
|
—
|
11,817
|
—
|
11,817
|
|
Interactive Media & Services
|
—
|
2,253
|
—
|
2,253
|
|
IT Services
|
—
|
3,844
|
13,000
|
16,844
|
|
Leisure Products
|
—
|
4,104
|
—
|
4,104
|
|
Machinery
|
—
|
19,629
|
—
|
19,629
|
|
Marine Transportation
|
—
|
5,335
|
—
|
5,335
|
|
Media
|
—
|
283,653
|
—
|
283,653
|
|
Metals & Mining
|
—
|
38,995
|
—
|
38,995
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
93,515
|
—
|
93,515
|
|
Multi-Utilities
|
—
|
2,544
|
—
|
2,544
|
|
Oil, Gas & Consumable Fuels
|
—
|
452,382
|
—
|
452,382
|
|
Passenger Airlines
|
—
|
34,048
|
—
|
34,048
|
|
Personal Care Products
|
—
|
25,505
|
—
|
25,505
|
|
Pharmaceuticals
|
—
|
76,589
|
—
(a)
|
76,589
|
|
Professional Services
|
—
|
—
|
1,650
|
1,650
|
|
Real Estate Management & Development
|
—
|
2,620
|
—
|
2,620
|
|
Semiconductors & Semiconductor Equipment
|
—
|
35,405
|
—
|
35,405
|
|
Software
|
—
|
40,680
|
—
|
40,680
|
|
Specialized REITs
|
—
|
10,347
|
—
|
10,347
|
|
Specialty Retail
|
—
|
80,981
|
—
(a)
|
80,981
|
|
Technology Hardware, Storage & Peripherals
|
—
|
22,858
|
—
|
22,858
|
|
Tobacco
|
—
|
1,282
|
—
|
1,282
|
|
Trading Companies & Distributors
|
—
|
63,763
|
—
|
63,763
|
|
Transportation Infrastructure
|
—
|
4,004
|
—
|
4,004
|
|
Wireless Telecommunication Services
|
—
|
16,264
|
—
|
16,264
|
|
Total Corporate Bonds
|
—
|
3,101,166
|
26,065
|
3,127,231
|
|
Foreign Government Securities
|
—
|
438,623
|
—
|
438,623
|
|
Loan Assignments
|
|
|
|
|
|
Aerospace & Defense
|
—
|
848
|
—
|
848
|
|
Automobile Components
|
—
|
3,622
|
—
|
3,622
|
|
Beverages
|
—
|
1,925
|
—
|
1,925
|
|
Building Products
|
—
|
15,298
|
—
|
15,298
|
|
Chemicals
|
—
|
8,047
|
—
|
8,047
|
|
Commercial Services & Supplies
|
—
|
6,291
|
—
|
6,291
|
|
Consumer Staples Distribution & Retail
|
—
|
—
|
6,235
|
6,235
|
|
Containers & Packaging
|
—
|
2,497
|
—
|
2,497
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Diversified Consumer Services
|
$—
|
$5,880
|
$—
|
$5,880
|
|
Electrical Equipment
|
—
|
2,390
|
—
|
2,390
|
|
Electronic Equipment, Instruments & Components
|
—
|
6,043
|
—
|
6,043
|
|
Financial Services
|
—
|
2,402
|
—
|
2,402
|
|
Ground Transportation
|
—
|
12,518
|
—
|
12,518
|
|
Health Care Equipment & Supplies
|
—
|
6,776
|
—
|
6,776
|
|
Health Care Providers & Services
|
—
|
4,005
|
—
|
4,005
|
|
Insurance
|
—
|
7,185
|
—
|
7,185
|
|
IT Services
|
—
|
8,592
|
—
|
8,592
|
|
Leisure Products
|
—
|
7,283
|
—
(a)
|
7,283
|
|
Machinery
|
—
|
6,009
|
—
|
6,009
|
|
Media
|
—
|
3,730
|
—
|
3,730
|
|
Oil, Gas & Consumable Fuels
|
—
|
3,366
|
—
|
3,366
|
|
Passenger Airlines
|
—
|
6,072
|
—
|
6,072
|
|
Pharmaceuticals
|
—
|
5,643
|
—
|
5,643
|
|
Professional Services
|
—
|
7,182
|
—
|
7,182
|
|
Semiconductors & Semiconductor Equipment
|
—
|
2,748
|
—
|
2,748
|
|
Software
|
—
|
29,761
|
—
|
29,761
|
|
Specialty Retail
|
—
|
13,339
|
—
|
13,339
|
|
Total Loan Assignments
|
—
|
179,452
|
6,235
|
185,687
|
|
Mortgage-Backed Securities
|
—
|
4,526,293
|
41,061
|
4,567,354
|
|
Municipal Bonds
|
—
|
60,078
|
—
|
60,078
|
|
Options Purchased
|
|
|
|
|
|
Put Options Purchased
|
—
|
610
|
—
|
610
|
|
Preferred Stocks
|
|
|
|
|
|
Broadline Retail
|
—
|
—
|
18
|
18
|
|
Electric Utilities
|
3,388
|
—
|
—
|
3,388
|
|
Total Preferred Stocks
|
3,388
|
—
|
18
|
3,406
|
|
Supranational
|
—
|
4,752
|
—
|
4,752
|
|
Warrants
|
—
|
—
|
87
|
87
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
671,161
|
—
|
—
|
671,161
|
|
Total Investments in Securities
|
$681,579
|
$14,776,853
|
$823,822
|
$16,282,254
|
|
Liabilities
|
|
|
|
|
|
TBA Short Commitment
|
$—
|
$(1,902,042
)
|
$—
|
$(1,902,042
)
|
|
Total Liabilities in Securities Sold Short
|
$—
|
$(1,902,042
)
|
$—
|
$(1,902,042
)
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$469
|
$—
|
$469
|
|
Futures Contracts
|
21,738
|
—
|
—
|
21,738
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$(1,839
)
|
$—
|
$(1,839
)
|
|
Futures Contracts
|
(18,192
)
|
—
|
—
|
(18,192
)
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Swaps
|
$—
|
$(37,836
)
|
$—
|
$(37,836
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$3,546
|
$(39,206
)
|
$—
|
$(35,660
)
|
|
|
|
|
(a)
|
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
|
$278,971
|
$(45
)
|
$214
|
$(148
)
|
$216,761
|
$(52,133
)
|
$—
|
$—
|
$—
|
$443,620
|
|
Collateralized Mortgage Obligations
|
38,802
|
—
|
83
|
(10
)
|
148,192
|
(11,395
)
|
—
|
(14,627
)
|
1,689
|
162,734
|
|
Commercial Mortgage-Backed Securities
|
104,618
|
—
(b)
|
675
|
147
|
32,646
|
(25,148
)
|
24,056
|
—
|
(7,581
)
|
129,413
|
|
Common Stocks
|
14,139
|
—
|
(3,432
)
|
—
|
3,882
|
—
|
—
|
—
|
—
|
14,589
|
|
Corporate Bonds
|
6,555
|
(3,372
)
|
4,667
|
134
|
24,580
|
(4,810
)
|
—
|
—
|
(1,689
)
|
26,065
|
|
Loan Assignments
|
6,184
|
—
(b)
|
(40
)
|
26
|
70
|
(5
)
|
—
|
—
|
—
|
6,235
|
|
Mortgage-Backed Securities
|
23,800
|
—
|
(6
)
|
—
|
10,488
|
(802
)
|
—
|
—
|
7,581
|
41,061
|
|
Preferred Stocks
|
18
|
—
|
—
(b)
|
—
|
—
|
—
|
—
|
—
|
—
|
18
|
|
Warrants
|
101
|
—
(b)
|
(14
)
|
—
|
—
|
—
|
—
|
—
|
—
|
87
|
|
Total
|
$473,188
|
$(3,417
)
|
$2,147
|
$149
|
$436,619
|
$(94,293
)
|
$24,056
|
$(14,627
)
|
$—
|
$823,822
|
|
|
|||||||||
|
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, Corporate Bonds, Collateralized Mortgage
Obligations and Mortgage-Backed Securities.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value
at May 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$33,452
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
4.77% - 18.52% (6.40%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
33,452
|
|
|
|
|
|
- (b
)
|
Terms of Restructuring
|
Expected Recovery
|
0.00% (0.00%)
|
|
|
|
|
|
|
|
Corporate Bonds
|
- (b
)
|
|
|
|
|
|
Fair Value
at May 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
9
|
Terms of Restructuring
|
Expected Recovery
|
$0.01 ($0.01)
|
|
|
|
|
|
|
|
Common Stocks
|
9
|
|
|
|
|
|
3,952
|
Terms of Exchange Offer
|
Expected Recovery
|
1.00% - 100.00% (99.52%)
|
|
|
2,283
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
26.08% (26.08%)
|
|
|
|
|
|
|
|
Loan Assignments
|
6,235
|
|
|
|
|
Total
|
$39,696
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2025, the value of
these investments was $784,126. The inputs for these investments are not readily available
or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
Security
|
Acquisition
Date
|
Cost
|
Market
Value
|
Percentage
of Fund's
Net Assets
|
|
Claire's Stores, Inc. - Common Stocks
|
11/28/2018
|
$7
|
$—
(a)
|
0.0
%
|
|
(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)
|
$27,613
|
$2,471,412
|
$1,827,818
|
$(40
)
|
$(6
)
|
$671,161
|
671,026
|
$4,455
|
$—
|
|
|
|
|
(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.
|