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THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2025.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 30.4%
|
||
|
Aerospace & Defense — 0.4%
|
||
|
ATI, Inc. 5.88%, 12/1/2027
|
6,088
|
6,088
|
|
Axon Enterprise, Inc. 6.13%, 3/15/2030 (a)
|
381
|
389
|
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BAE Systems plc (United Kingdom)
|
||
|
1.90%, 2/15/2031 (a)
|
764
|
655
|
|
3.00%, 9/15/2050 (a)
|
1,494
|
947
|
|
Boeing Co. (The)
|
||
|
6.30%, 5/1/2029
|
4,760
|
5,007
|
|
6.39%, 5/1/2031
|
2,690
|
2,870
|
|
5.93%, 5/1/2060
|
8,800
|
8,147
|
|
Bombardier, Inc. (Canada)
|
||
|
6.00%, 2/15/2028 (a)
|
5,515
|
5,511
|
|
8.75%, 11/15/2030 (a)
|
1,750
|
1,878
|
|
BWX Technologies, Inc.
|
||
|
4.13%, 6/30/2028 (a)
|
675
|
657
|
|
4.13%, 4/15/2029 (a)
|
1,633
|
1,565
|
|
ICITII 6.00%, 1/31/2033 ‡ (a)
|
2,364
|
1,892
|
|
L3Harris Technologies, Inc. 5.60%, 7/31/2053
|
2,166
|
2,062
|
|
Leidos, Inc. 5.40%, 3/15/2032
|
13,163
|
13,258
|
|
Lockheed Martin Corp. 4.70%, 12/15/2031
|
15,540
|
15,620
|
|
Northrop Grumman Corp. 4.95%, 3/15/2053
|
2,476
|
2,172
|
|
RTX Corp.
|
||
|
5.15%, 2/27/2033
|
3,712
|
3,737
|
|
4.50%, 6/1/2042
|
3,088
|
2,671
|
|
5.38%, 2/27/2053
|
1,882
|
1,750
|
|
6.40%, 3/15/2054
|
6,210
|
6,625
|
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Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
2,690
|
2,864
|
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TransDigm, Inc.
|
||
|
6.38%, 3/1/2029 (a)
|
2,714
|
2,758
|
|
6.88%, 12/15/2030 (a)
|
5,560
|
5,734
|
|
6.63%, 3/1/2032 (a)
|
3,712
|
3,792
|
|
|
|
98,649
|
|
Automobile Components — 0.2%
|
||
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Adient Global Holdings Ltd.
|
||
|
7.00%, 4/15/2028 (a)
|
2,442
|
2,496
|
|
7.50%, 2/15/2033 (a)
|
1,842
|
1,828
|
|
Allison Transmission, Inc.
|
||
|
4.75%, 10/1/2027 (a)
|
243
|
239
|
|
5.88%, 6/1/2029 (a)
|
3,519
|
3,533
|
|
3.75%, 1/30/2031 (a)
|
2,873
|
2,608
|
|
American Axle & Manufacturing, Inc.
|
||
|
6.50%, 4/1/2027
|
2,146
|
2,136
|
|
6.88%, 7/1/2028
|
1,379
|
1,367
|
|
Clarios Global LP
|
||
|
6.25%, 5/15/2026 (a)
|
1,061
|
1,061
|
|
6.75%, 5/15/2028 (a)
|
688
|
701
|
|
6.75%, 2/15/2030 (a)
|
1,178
|
1,200
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Automobile Components — continued
|
||
|
Cooper-Standard Automotive, Inc.
|
||
|
13.50% (Cash), 3/31/2027 (a) (b)
|
6,722
|
7,049
|
|
5.63% (Cash), 5/15/2027 (a) (b)
|
4,777
|
4,043
|
|
Dana, Inc. 5.63%, 6/15/2028
|
1,903
|
1,894
|
|
Goodyear Tire & Rubber Co. (The)
|
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|
5.00%, 7/15/2029
|
1,990
|
1,906
|
|
5.25%, 4/30/2031
|
3,270
|
3,054
|
|
5.25%, 7/15/2031
|
3,898
|
3,637
|
|
|
|
38,752
|
|
Automobiles — 0.3%
|
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|
Ford Motor Co. 9.63%, 4/22/2030
|
3,537
|
4,013
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|
Hyundai Capital America
|
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|
1.80%, 10/15/2025 (a)
|
3,990
|
3,944
|
|
1.50%, 6/15/2026 (a)
|
3,398
|
3,281
|
|
3.00%, 2/10/2027 (a)
|
3,883
|
3,768
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|
2.38%, 10/15/2027 (a)
|
1,088
|
1,025
|
|
4.88%, 11/1/2027 (a)
|
4,410
|
4,404
|
|
5.30%, 6/24/2029 (a)
|
3,590
|
3,625
|
|
Volkswagen Group of America Finance LLC (Germany)
|
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|
5.05%, 3/27/2028 (a)
|
11,216
|
11,212
|
|
4.75%, 11/13/2028 (a)
|
9,214
|
9,123
|
|
5.35%, 3/27/2030 (a)
|
18,911
|
18,954
|
|
|
|
63,349
|
|
Banks — 7.4%
|
||
|
ABN AMRO Bank NV (Netherlands)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 6.58%, 10/13/2026 (a) (c)
|
5,000
|
5,031
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 4.99%, 12/3/2028 (a) (c)
|
14,600
|
14,699
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (c)
|
6,900
|
6,365
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (c)
|
5,000
|
4,339
|
|
AIB Group plc (Ireland)
|
||
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (a) (c)
|
5,408
|
5,688
|
|
(SOFR + 1.65%), 5.32%, 5/15/2031 (a) (c)
|
2,205
|
2,224
|
|
(SOFR + 1.91%), 5.87%, 3/28/2035 (a) (c)
|
1,400
|
1,421
|
|
ANZ New Zealand Int'l Ltd. (New Zealand) 2.55%, 2/13/2030 (a)
|
397
|
363
|
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Banco Bilbao Vizcaya Argentaria SA (Spain)
|
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|
1.13%, 9/18/2025
|
4,000
|
3,958
|
|
5.38%, 3/13/2029
|
24,600
|
25,184
|
|
Banco Nacional de Comercio Exterior SNC (Mexico)
|
||
|
5.88%, 5/7/2030 (a)
|
2,450
|
2,460
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 2.72%, 8/11/2031 (a) (c)
|
2,850
|
2,674
|
|
Banco Santander SA (Spain)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c)
|
3,000
|
2,884
|
|
5.59%, 8/8/2028
|
23,000
|
23,643
|
|
5.44%, 7/15/2031
|
2,600
|
2,670
|
|
6.94%, 11/7/2033
|
3,600
|
4,011
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Bank of America Corp.
|
||
|
(SOFR + 1.01%), 1.20%, 10/24/2026 (c)
|
8,252
|
8,136
|
|
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c)
|
3,083
|
3,012
|
|
(3-MONTH CME TERM SOFR + 1.32%), 3.56%, 4/23/2027 (c)
|
8,019
|
7,937
|
|
(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c)
|
971
|
955
|
|
(SOFR + 1.99%), 6.20%, 11/10/2028 (c)
|
3,223
|
3,337
|
|
(3-MONTH CME TERM SOFR + 1.33%), 3.97%, 3/5/2029 (c)
|
266
|
261
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (c)
|
2,369
|
2,407
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (c)
|
12,355
|
11,469
|
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (c)
|
22,241
|
23,042
|
|
(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (c)
|
11,190
|
10,913
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.63%, 5/1/2030 (c) (d) (e)
|
8,600
|
8,736
|
|
Series FIX, (SOFR + 1.00%), 5.16%, 1/24/2031 (c)
|
16,910
|
17,161
|
|
(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (c)
|
13,198
|
11,903
|
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (c)
|
14,562
|
12,606
|
|
(SOFR + 1.37%), 1.92%, 10/24/2031 (c)
|
7,165
|
6,168
|
|
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c)
|
4,854
|
4,297
|
|
(SOFR + 1.32%), 2.69%, 4/22/2032 (c)
|
724
|
639
|
|
(SOFR + 1.22%), 2.30%, 7/21/2032 (c)
|
21,357
|
18,324
|
|
(SOFR + 1.83%), 4.57%, 4/27/2033 (c)
|
16,731
|
16,228
|
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (c)
|
10,662
|
10,774
|
|
(SOFR + 1.91%), 5.43%, 8/15/2035 (c)
|
10,000
|
9,799
|
|
(SOFR + 1.31%), 5.51%, 1/24/2036 (c)
|
19,833
|
19,990
|
|
6.98%, 3/7/2037
|
1,457
|
1,588
|
|
(3-MONTH CME TERM SOFR + 1.58%), 4.08%, 4/23/2040 (c)
|
1,491
|
1,266
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
8,412
|
5,865
|
|
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (c)
|
3,398
|
2,624
|
|
Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (a) (c)
|
4,145
|
4,233
|
|
Bank of Montreal (Canada)
|
||
|
(SOFR + 1.25%), 4.64%, 9/10/2030 (c)
|
5,946
|
5,941
|
|
5.51%, 6/4/2031
|
3,500
|
3,618
|
|
Bank of New Zealand (New Zealand)
|
||
|
2.29%, 1/27/2027 (a)
|
889
|
860
|
|
5.08%, 1/30/2029 (a)
|
1,340
|
1,364
|
|
Bank of Nova Scotia (The) (Canada) (SOFR + 1.44%), 4.74%, 11/10/2032 (c)
|
7,050
|
6,971
|
|
Banque Federative du Credit Mutuel SA (France)
|
||
|
1.60%, 10/4/2026 (a)
|
6,030
|
5,798
|
|
5.79%, 7/13/2028 (a)
|
6,790
|
7,002
|
|
Barclays plc (United Kingdom)
|
||
|
(SOFR + 1.56%), 4.94%, 9/10/2030 (c)
|
26,660
|
26,614
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 7.44%, 11/2/2033 (c)
|
17,880
|
19,993
|
|
BNP Paribas SA (France)
|
||
|
(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c)
|
558
|
558
|
|
(SOFR + 1.00%), 1.32%, 1/13/2027 (a) (c)
|
442
|
433
|
|
(SOFR + 1.61%), 1.90%, 9/30/2028 (a) (c)
|
1,000
|
935
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (a) (c) (d) (e) (f)
|
3,800
|
3,953
|
|
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (c)
|
832
|
764
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (a) (c)
|
21,495
|
21,762
|
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (c)
|
4,215
|
4,295
|
|
(SOFR + 1.62%), 5.79%, 1/13/2033 (a) (c)
|
9,680
|
9,915
|
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (a) (c)
|
2,128
|
1,859
|
|
(SOFR + 1.92%), 5.91%, 11/19/2035 (a) (c)
|
36,955
|
36,743
|
|
BPCE SA (France)
|
||
|
(SOFR + 2.10%), 5.98%, 1/18/2027 (a) (c)
|
3,190
|
3,210
|
|
4.75%, 7/19/2027 (a)
|
1,625
|
1,633
|
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (c)
|
6,380
|
6,523
|
|
5.13%, 1/18/2028 (a)
|
17,959
|
18,184
|
|
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (c)
|
10,690
|
11,247
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)
|
2,015
|
1,711
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (c)
|
6,550
|
5,620
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (c)
|
11,360
|
12,305
|
|
(SOFR + 1.85%), 5.94%, 5/30/2035 (a) (c)
|
8,035
|
8,136
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (a) (c)
|
6,090
|
6,322
|
|
CaixaBank SA (Spain) (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (c)
|
3,445
|
3,524
|
|
Canadian Imperial Bank of Commerce (Canada)
|
||
|
5.26%, 4/8/2029
|
1,540
|
1,576
|
|
(SOFR + 1.34%), 4.63%, 9/11/2030 (c)
|
4,300
|
4,277
|
|
Citibank NA
|
||
|
5.80%, 9/29/2028
|
4,000
|
4,163
|
|
4.84%, 8/6/2029
|
4,843
|
4,902
|
|
Citigroup, Inc.
|
||
|
6.88%, 6/1/2025
|
627
|
627
|
|
4.30%, 11/20/2026
|
2,427
|
2,415
|
|
6.63%, 1/15/2028
|
814
|
858
|
|
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c)
|
780
|
763
|
|
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (c)
|
6,742
|
6,559
|
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (c) (d) (e)
|
19,925
|
20,148
|
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (c)
|
12,100
|
12,255
|
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (c) (d) (e)
|
14,790
|
14,631
|
|
Series FF, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.73%),
6.95%, 2/15/2030 (c) (d) (e)
|
8,296
|
8,367
|
|
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (c)
|
3,495
|
3,395
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (c)
|
53,407
|
52,750
|
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (c)
|
16,707
|
16,336
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (c)
|
4,854
|
4,348
|
|
(SOFR + 1.17%), 2.56%, 5/1/2032 (c)
|
18,009
|
15,730
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (c)
|
2,345
|
2,018
|
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (c)
|
10,460
|
11,097
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (c)
|
23,450
|
23,390
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (c)
|
3,000
|
2,959
|
|
(SOFR + 4.55%), 5.32%, 3/26/2041 (c)
|
6,796
|
6,481
|
|
Credit Agricole SA (France)
|
||
|
(SOFR + 1.21%), 4.63%, 9/11/2028 (a) (c)
|
3,030
|
3,017
|
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (c)
|
12,130
|
12,683
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (a) (c)
|
13,215
|
13,425
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (c)
|
2,560
|
2,638
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (a) (c)
|
6,157
|
6,090
|
|
DNB Bank ASA (Norway)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (c)
|
3,590
|
3,551
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (c)
|
1,115
|
1,057
|
|
(SOFR + 1.05%), 4.85%, 11/5/2030 (a) (c)
|
12,100
|
12,154
|
|
Federation des Caisses Desjardins du Quebec (Canada) 5.25%, 4/26/2029 (a)
|
4,886
|
4,976
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c)
|
1,333
|
1,330
|
|
(SOFR + 1.57%), 5.89%, 8/14/2027 (c)
|
16,045
|
16,244
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (c)
|
11,902
|
12,025
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
28,997
|
27,259
|
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (c)
|
28,351
|
27,338
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 7.05%, 6/5/2030 (c) (d) (e)
|
14,010
|
14,128
|
|
(SOFR + 1.29%), 5.29%, 11/19/2030 (c)
|
32,560
|
32,883
|
|
(SOFR + 1.29%), 5.13%, 3/3/2031 (c)
|
4,520
|
4,531
|
|
(SOFR + 1.52%), 5.73%, 5/17/2032 (c)
|
9,495
|
9,739
|
|
(SOFR + 1.19%), 2.80%, 5/24/2032 (c)
|
5,629
|
4,925
|
|
(SOFR + 4.25%), 8.11%, 11/3/2033 (c)
|
1,250
|
1,428
|
|
(SOFR + 1.90%), 5.87%, 11/18/2035 (c)
|
15,030
|
14,894
|
|
Huntington Bancshares, Inc. (SOFRINDX + 1.87%), 5.71%, 2/2/2035 (c)
|
14,184
|
14,270
|
|
Intesa Sanpaolo SpA (Italy)
|
||
|
7.20%, 11/28/2033 (a)
|
11,840
|
13,073
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c)
|
15,549
|
12,254
|
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 1.07%), 4.93%,
10/16/2030 (a) (c)
|
7,455
|
7,481
|
|
KeyCorp
|
||
|
(SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c)
|
12,620
|
12,593
|
|
(SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c)
|
7,090
|
6,769
|
|
(SOFRINDX + 2.42%), 6.40%, 3/6/2035 (c)
|
6,221
|
6,528
|
|
Lloyds Banking Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c)
|
3,060
|
2,973
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c)
|
1,110
|
1,123
|
|
4.38%, 3/22/2028
|
633
|
629
|
|
(3-MONTH SOFR + 1.21%), 3.57%, 11/7/2028 (c)
|
7,000
|
6,813
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (c)
|
1,205
|
1,218
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c)
|
3,760
|
3,631
|
|
3.20%, 7/18/2029
|
2,605
|
2,465
|
|
Series 8NC7, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%),
5.48%, 2/22/2031 (c)
|
2,070
|
2,126
|
|
3.75%, 7/18/2039
|
3,145
|
2,649
|
|
Mizuho Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (c)
|
3,490
|
3,604
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.38%, 7/10/2030 (c)
|
2,000
|
2,041
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (c)
|
1,900
|
1,954
|
|
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (f)
|
4,616
|
4,044
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
NatWest Group plc (United Kingdom)
|
||
|
4.80%, 4/5/2026
|
7,263
|
7,279
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.95%), 5.81%, 9/13/2029 (c)
|
9,980
|
10,289
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.11%, 5/23/2031 (c)
|
6,505
|
6,530
|
|
NatWest Markets plc (United Kingdom)
|
||
|
1.60%, 9/29/2026 (a)
|
3,000
|
2,886
|
|
5.41%, 5/17/2029 (a)
|
17,115
|
17,551
|
|
5.02%, 3/21/2030 (a)
|
16,190
|
16,289
|
|
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a)
|
610
|
621
|
|
PNC Bank NA 2.70%, 10/22/2029
|
4,150
|
3,819
|
|
PNC Financial Services Group, Inc. (The)
|
||
|
2.55%, 1/22/2030
|
1,918
|
1,752
|
|
(SOFR + 0.98%), 2.31%, 4/23/2032 (c)
|
971
|
839
|
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (c)
|
6,840
|
6,755
|
|
(SOFR + 1.95%), 5.94%, 8/18/2034 (c)
|
2,100
|
2,176
|
|
(SOFR + 2.28%), 6.88%, 10/20/2034 (c)
|
11,680
|
12,806
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (c)
|
3,790
|
3,866
|
|
Royal Bank of Canada (Canada)
|
||
|
4.65%, 1/27/2026 (f)
|
411
|
411
|
|
(SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c)
|
39,065
|
38,899
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (c)
|
5,279
|
5,327
|
|
(SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c)
|
32,065
|
31,752
|
|
(SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c)
|
6,098
|
6,237
|
|
(SOFR + 1.48%), 2.90%, 3/15/2032 (c)
|
4,900
|
4,312
|
|
Societe Generale SA (France)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c)
|
11,251
|
11,040
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c)
|
3,000
|
3,025
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (c)
|
10,679
|
10,307
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (c)
|
3,000
|
3,104
|
|
3.00%, 1/22/2030 (a)
|
3,734
|
3,429
|
|
(SOFR + 1.65%), 5.51%, 5/22/2031 (a) (c)
|
13,035
|
13,131
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (c)
|
3,095
|
2,686
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (a) (c)
|
19,245
|
19,796
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (c)
|
13,063
|
13,261
|
|
Standard Chartered plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (c)
|
2,520
|
2,468
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (c)
|
1,400
|
1,418
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (c)
|
4,030
|
4,086
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (c)
|
9,999
|
10,668
|
|
6.30%, 1/9/2029 (a)
|
2,916
|
3,008
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (a) (c)
|
9,918
|
10,082
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
|
5.52%, 1/13/2028
|
3,000
|
3,080
|
|
3.04%, 7/16/2029
|
1,395
|
1,311
|
|
2.75%, 1/15/2030
|
3,500
|
3,217
|
|
5.42%, 7/9/2031
|
5,000
|
5,138
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.95%, 9/15/2027 (a)
|
1,642
|
1,658
|
|
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a)
|
14,707
|
15,117
|
|
TC Ziraat Bankasi A/S (Turkey) 7.25%, 2/4/2030 (a)
|
2,641
|
2,629
|
|
Toronto-Dominion Bank (The) (Canada)
|
||
|
5.52%, 7/17/2028
|
1,694
|
1,745
|
|
4.99%, 4/5/2029
|
6,990
|
7,092
|
|
Truist Financial Corp.
|
||
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (c)
|
7,816
|
7,917
|
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
6,330
|
6,814
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
17,311
|
16,972
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (c)
|
4,385
|
4,492
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
3,680
|
3,739
|
|
UniCredit SpA (Italy)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c)
|
690
|
670
|
|
(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a) (c)
|
4,300
|
4,503
|
|
US Bancorp
|
||
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c)
|
2,740
|
2,802
|
|
(SOFR + 1.25%), 5.10%, 7/23/2030 (c)
|
6,000
|
6,074
|
|
(SOFR + 1.30%), 5.08%, 5/15/2031 (c)
|
6,720
|
6,775
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
1,830
|
1,864
|
|
Wachovia Corp.
|
||
|
6.61%, 10/1/2025
|
1,602
|
1,609
|
|
7.57%, 8/1/2026 (g)
|
500
|
516
|
|
Wells Fargo & Co.
|
||
|
3.00%, 10/23/2026
|
4,854
|
4,756
|
|
4.30%, 7/22/2027
|
168
|
167
|
|
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (c)
|
8,228
|
8,062
|
|
(SOFR + 2.10%), 2.39%, 6/2/2028 (c)
|
1,942
|
1,859
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
8,999
|
9,232
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (c) (d) (e)
|
14,430
|
14,830
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (c)
|
17,050
|
17,892
|
|
(SOFR + 1.11%), 5.24%, 1/24/2031 (c)
|
10,875
|
11,037
|
|
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (c)
|
6,796
|
6,140
|
|
(SOFR + 1.50%), 5.15%, 4/23/2031 (c)
|
19,605
|
19,840
|
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (c)
|
7,786
|
7,819
|
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (c)
|
23,826
|
24,131
|
|
(SOFR + 2.06%), 6.49%, 10/23/2034 (c)
|
11,435
|
12,264
|
|
(SOFR + 1.38%), 5.21%, 12/3/2035 (c)
|
17,119
|
16,789
|
|
(SOFR + 1.74%), 5.60%, 4/23/2036 (c)
|
14,075
|
14,239
|
|
(SOFR + 2.53%), 3.07%, 4/30/2041 (c)
|
11,450
|
8,391
|
|
|
|
1,698,762
|
|
Beverages — 0.1%
|
||
|
Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036
|
7,757
|
7,456
|
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059
|
1,038
|
1,037
|
|
Central American Bottling Corp. (Guatemala) 5.25%, 4/27/2029 (a)
|
2,201
|
2,115
|
|
Constellation Brands, Inc. 4.65%, 11/15/2028
|
2,913
|
2,915
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Beverages — continued
|
||
|
Keurig Dr Pepper, Inc. 4.60%, 5/15/2030
|
11,160
|
11,109
|
|
PepsiCo, Inc. 3.60%, 8/13/2042
|
8,057
|
6,286
|
|
|
|
30,918
|
|
Biotechnology — 0.5%
|
||
|
AbbVie, Inc.
|
||
|
5.05%, 3/15/2034
|
3,800
|
3,811
|
|
4.55%, 3/15/2035
|
10,000
|
9,547
|
|
4.05%, 11/21/2039
|
24,345
|
20,787
|
|
4.25%, 11/21/2049
|
8,158
|
6,536
|
|
5.60%, 3/15/2055
|
9,510
|
9,273
|
|
5.50%, 3/15/2064
|
3,030
|
2,874
|
|
Amgen, Inc.
|
||
|
5.25%, 3/2/2030
|
3,893
|
3,991
|
|
5.60%, 3/2/2043
|
3,883
|
3,768
|
|
4.66%, 6/15/2051
|
4,015
|
3,330
|
|
4.88%, 3/1/2053
|
13,107
|
11,152
|
|
5.75%, 3/2/2063
|
297
|
281
|
|
Biogen, Inc. 2.25%, 5/1/2030
|
10,000
|
8,870
|
|
CSL Finance plc (Australia) 5.11%, 4/3/2034 (a)
|
9,560
|
9,552
|
|
Gilead Sciences, Inc.
|
||
|
1.65%, 10/1/2030
|
3,883
|
3,353
|
|
5.25%, 10/15/2033
|
7,120
|
7,250
|
|
4.50%, 2/1/2045
|
6,310
|
5,383
|
|
2.80%, 10/1/2050
|
2,320
|
1,411
|
|
5.50%, 11/15/2054
|
7,620
|
7,285
|
|
|
|
118,454
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc. 3.95%, 4/13/2052
|
3,883
|
3,002
|
|
Nordstrom, Inc. 4.38%, 4/1/2030
|
3,087
|
2,785
|
|
Shutterfly Finance LLC
|
||
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (b)
|
1,357
|
1,167
|
|
9.75%, 10/1/2027 (a)
|
155
|
154
|
|
Wayfair LLC 7.25%, 10/31/2029 (a)
|
4,978
|
4,848
|
|
|
|
11,956
|
|
Building Products — 0.2%
|
||
|
Builders FirstSource, Inc.
|
||
|
4.25%, 2/1/2032 (a)
|
9,368
|
8,500
|
|
6.38%, 3/1/2034 (a)
|
1,685
|
1,679
|
|
EMRLD Borrower LP 6.63%, 12/15/2030 (a)
|
8,783
|
8,872
|
|
Griffon Corp. 5.75%, 3/1/2028
|
5,514
|
5,481
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (a)
|
4,690
|
4,663
|
|
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a)
|
3,775
|
3,803
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (a)
|
5,068
|
5,150
|
|
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a)
|
6,050
|
6,213
|
|
Standard Industries, Inc.
|
||
|
4.75%, 1/15/2028 (a)
|
2,952
|
2,899
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Building Products — continued
|
||
|
4.38%, 7/15/2030 (a)
|
6,254
|
5,869
|
|
3.38%, 1/15/2031 (a)
|
3,064
|
2,711
|
|
Trane Technologies Co. LLC 7.20%, 6/1/2025
|
15
|
15
|
|
|
|
55,855
|
|
Capital Markets — 2.2%
|
||
|
Bank of New York Mellon Corp. (The)
|
||
|
(SOFR + 1.60%), 6.32%, 10/25/2029 (c)
|
2,500
|
2,644
|
|
(SOFR + 1.85%), 6.47%, 10/25/2034 (c)
|
8,610
|
9,367
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 2.52%), 7.15%, 7/13/2027 (c)
|
3,980
|
4,074
|
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (c)
|
3,050
|
2,939
|
|
(SOFR + 1.59%), 5.71%, 2/8/2028 (c)
|
2,141
|
2,168
|
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (c)
|
2,523
|
2,633
|
|
5.41%, 5/10/2029
|
3,270
|
3,366
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (c)
|
1,955
|
2,069
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
3.50%, 11/16/2026
|
9,708
|
9,566
|
|
(SOFR + 0.79%), 1.09%, 12/9/2026 (c)
|
3,049
|
2,991
|
|
(SOFR + 0.80%), 1.43%, 3/9/2027 (c)
|
4,730
|
4,611
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
8,572
|
8,281
|
|
(SOFR + 1.85%), 3.62%, 3/15/2028 (c)
|
7,466
|
7,332
|
|
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (c)
|
5,902
|
5,794
|
|
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (c)
|
1,615
|
1,580
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (c) (d) (e)
|
7,601
|
7,916
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (c)
|
26,145
|
27,582
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.85%, 2/10/2030 (c) (d) (e)
|
11,366
|
11,460
|
|
(SOFR + 1.27%), 5.73%, 4/25/2030 (c)
|
3,695
|
3,819
|
|
(SOFR + 1.21%), 5.05%, 7/23/2030 (c)
|
2,050
|
2,068
|
|
(SOFR + 1.14%), 4.69%, 10/23/2030 (c)
|
7,010
|
6,985
|
|
(SOFR + 1.08%), 5.21%, 1/28/2031 (c)
|
13,385
|
13,573
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (c)
|
14,210
|
14,417
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
16,408
|
14,389
|
|
(SOFR + 1.41%), 3.10%, 2/24/2033 (c)
|
5,220
|
4,610
|
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (c)
|
23,360
|
23,162
|
|
(SOFR + 1.42%), 5.02%, 10/23/2035 (c)
|
27,120
|
26,246
|
|
(SOFR + 1.38%), 5.54%, 1/28/2036 (c)
|
11,550
|
11,632
|
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c)
|
1,262
|
1,075
|
|
(SOFR + 1.51%), 3.21%, 4/22/2042 (c)
|
2,194
|
1,596
|
|
(SOFR + 1.63%), 3.44%, 2/24/2043 (c)
|
1,064
|
787
|
|
Lehman Brothers Holdings, Inc.
|
||
|
5.75%, 3/2/2015 (h)
|
1,000
|
—
|
|
8.00%, 8/1/2015 (h)
|
295
|
—
|
|
Lehman Brothers Holdings, Inc., Escrow 3.60%, 3/13/2009 (h)
|
235
|
—
|
|
Macquarie Group Ltd. (Australia)
|
||
|
(3-MONTH CME TERM SOFR + 2.01%), 5.03%, 1/15/2030 (a) (c)
|
777
|
781
|
|
(SOFR + 1.44%), 2.69%, 6/23/2032 (a) (c)
|
389
|
339
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
Morgan Stanley
|
||
|
5.00%, 11/24/2025
|
821
|
822
|
|
3.13%, 7/27/2026
|
752
|
741
|
|
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (c)
|
1,348
|
1,319
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (c)
|
6,014
|
6,086
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (c)
|
6,097
|
6,236
|
|
(SOFR + 1.45%), 5.17%, 1/16/2030 (c)
|
13,950
|
14,164
|
|
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (c)
|
3,186
|
3,160
|
|
(SOFR + 1.22%), 5.04%, 7/19/2030 (c)
|
23,575
|
23,809
|
|
(SOFR + 1.10%), 4.65%, 10/18/2030 (c)
|
26,420
|
26,244
|
|
(SOFR + 1.11%), 5.23%, 1/15/2031 (c)
|
7,505
|
7,616
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (c)
|
15,193
|
13,860
|
|
(SOFR + 1.51%), 5.19%, 4/17/2031 (c)
|
18,061
|
18,325
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
4,918
|
4,142
|
|
(SOFR + 1.02%), 1.93%, 4/28/2032 (c)
|
3,922
|
3,310
|
|
(SOFR + 1.29%), 2.94%, 1/21/2033 (c)
|
2,273
|
1,997
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (c)
|
7,854
|
7,925
|
|
(SOFR + 1.58%), 5.83%, 4/19/2035 (c)
|
4,110
|
4,238
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
8,520
|
8,464
|
|
(SOFR + 1.76%), 5.66%, 4/17/2036 (c)
|
7,190
|
7,307
|
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (c)
|
3,160
|
2,641
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c)
|
5,267
|
4,775
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (c)
|
5,340
|
3,926
|
|
(SOFR + 1.43%), 2.80%, 1/25/2052 (c)
|
3,495
|
2,102
|
|
S&P Global, Inc.
|
||
|
2.90%, 3/1/2032
|
6,500
|
5,828
|
|
3.25%, 12/1/2049
|
5,340
|
3,693
|
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%,
3/15/2029 (c) (d) (e)
|
6,324
|
6,455
|
|
Turkiye Varlik Fonu Yonetimi A/S (Turkey) 8.25%, 2/14/2029 (i)
|
2,000
|
2,069
|
|
UBS AG (Switzerland) 7.50%, 2/15/2028
|
688
|
739
|
|
UBS Group AG (Switzerland)
|
||
|
(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (c)
|
300
|
300
|
|
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (c)
|
350
|
350
|
|
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (c)
|
1,890
|
1,846
|
|
4.28%, 1/9/2028 (a)
|
9,976
|
9,871
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (c)
|
11,213
|
11,226
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (c) (d) (e) (f)
|
2,230
|
2,427
|
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (a) (c)
|
831
|
813
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (c)
|
1,107
|
1,129
|
|
(3-MONTH SOFR + 1.47%), 3.13%, 8/13/2030 (a) (c)
|
27,883
|
26,055
|
|
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (c)
|
8,480
|
8,734
|
|
(SOFR + 3.92%), 6.54%, 8/12/2033 (a) (c)
|
2,521
|
2,706
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (c) (d) (e) (f)
|
2,250
|
2,569
|
|
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (c)
|
3,950
|
4,824
|
|
|
|
506,695
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Chemicals — 0.2%
|
||
|
Avient Corp.
|
||
|
7.13%, 8/1/2030 (a)
|
4,223
|
4,352
|
|
6.25%, 11/1/2031 (a)
|
245
|
245
|
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)
|
2,971
|
2,940
|
|
Celanese US Holdings LLC 6.63%, 7/15/2032 (g)
|
1,950
|
1,996
|
|
CF Industries, Inc. 4.95%, 6/1/2043
|
2,063
|
1,767
|
|
Chemours Co. (The)
|
||
|
5.75%, 11/15/2028 (a)
|
3,258
|
2,917
|
|
4.63%, 11/15/2029 (a)
|
3,525
|
2,884
|
|
EIDP, Inc. 4.80%, 5/15/2033
|
3,680
|
3,611
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
2,779
|
2,668
|
|
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a)
|
1,181
|
1,175
|
|
LYB International Finance III LLC 3.38%, 10/1/2040
|
1,942
|
1,391
|
|
NOVA Chemicals Corp. (Canada)
|
||
|
8.50%, 11/15/2028 (a)
|
2,405
|
2,533
|
|
4.25%, 5/15/2029 (a)
|
918
|
878
|
|
9.00%, 2/15/2030 (a)
|
3,995
|
4,301
|
|
OCP SA (Morocco)
|
||
|
6.70%, 3/1/2036 (a)
|
2,010
|
1,975
|
|
7.50%, 5/2/2054 (a)
|
4,366
|
4,255
|
|
Scotts Miracle-Gro Co. (The)
|
||
|
5.25%, 12/15/2026
|
1,961
|
1,954
|
|
4.50%, 10/15/2029
|
6,983
|
6,639
|
|
WR Grace Holdings LLC 4.88%, 6/15/2027 (a)
|
5,476
|
5,399
|
|
|
|
53,880
|
|
Commercial Services & Supplies — 0.2%
|
||
|
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
6,668
|
5,890
|
|
ADT Security Corp. (The)
|
||
|
4.13%, 8/1/2029 (a)
|
4,251
|
4,054
|
|
4.88%, 7/15/2032 (a)
|
7,112
|
6,751
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
2,807
|
2,687
|
|
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a)
|
2,182
|
2,078
|
|
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
2,915
|
1,571
|
|
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a)
|
1,826
|
1,802
|
|
GFL Environmental, Inc.
|
||
|
4.00%, 8/1/2028 (a)
|
5,170
|
4,970
|
|
4.75%, 6/15/2029 (a)
|
1,942
|
1,895
|
|
6.75%, 1/15/2031 (a)
|
8,539
|
8,857
|
|
ILFC E-Capital Trust I (3-MONTH CME TERM SOFR + 1.81%), 6.12%, 12/21/2065 (a) (c)
|
5,178
|
4,278
|
|
Madison IAQ LLC 4.13%, 6/30/2028 (a)
|
1,866
|
1,796
|
|
Prime Security Services Borrower LLC 6.25%, 1/15/2028 (a)
|
2,110
|
2,108
|
|
Republic Services, Inc.
|
||
|
1.45%, 2/15/2031
|
1,952
|
1,644
|
|
2.38%, 3/15/2033
|
117
|
98
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Commercial Services & Supplies — continued
|
||
|
Williams Scotsman, Inc.
|
||
|
4.63%, 8/15/2028 (a)
|
1,940
|
1,892
|
|
7.38%, 10/1/2031 (a)
|
2,175
|
2,263
|
|
|
|
54,634
|
|
Communications Equipment — 0.1%
|
||
|
Cisco Systems, Inc. 4.95%, 2/24/2032
|
11,260
|
11,415
|
|
CommScope LLC 4.75%, 9/1/2029 (a)
|
2,124
|
2,034
|
|
CommScope Technologies LLC 5.00%, 3/15/2027 (a)
|
1,457
|
1,408
|
|
|
|
14,857
|
|
Construction & Engineering — 0.1%
|
||
|
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a)
|
1,489
|
1,168
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
2,438
|
2,346
|
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
7,860
|
7,671
|
|
MasTec, Inc. 6.63%, 8/15/2029 (a)
|
1,457
|
1,471
|
|
Quanta Services, Inc. 5.25%, 8/9/2034
|
10,470
|
10,375
|
|
|
|
23,031
|
|
Construction Materials — 0.0% ^
|
||
|
Knife River Corp. 7.75%, 5/1/2031 (a)
|
4,428
|
4,635
|
|
Consumer Finance — 0.8%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
6.50%, 7/15/2025
|
398
|
398
|
|
2.45%, 10/29/2026
|
5,020
|
4,865
|
|
3.00%, 10/29/2028
|
10,510
|
9,921
|
|
5.10%, 1/19/2029
|
560
|
565
|
|
4.63%, 9/10/2029
|
10,000
|
9,923
|
|
3.30%, 1/30/2032
|
2,900
|
2,575
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 6.95%, 3/10/2055 (c)
|
2,238
|
2,296
|
|
Ally Financial, Inc. 6.70%, 2/14/2033
|
1,160
|
1,180
|
|
American Express Co.
|
||
|
(SOFR + 1.00%), 5.10%, 2/16/2028 (c)
|
2,500
|
2,523
|
|
(SOFR + 1.44%), 5.02%, 4/25/2031 (c)
|
15,218
|
15,391
|
|
(SOFR + 1.79%), 5.67%, 4/25/2036 (c)
|
4,570
|
4,666
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
5.50%, 1/15/2026 (a)
|
2,112
|
2,112
|
|
2.13%, 2/21/2026 (a)
|
2,524
|
2,454
|
|
2.53%, 11/18/2027 (a)
|
14,148
|
13,335
|
|
6.38%, 5/4/2028 (a)
|
3,660
|
3,789
|
|
5.75%, 3/1/2029 (a)
|
11,663
|
11,875
|
|
5.75%, 11/15/2029 (a)
|
34,030
|
34,514
|
|
5.15%, 1/15/2030 (a)
|
19,980
|
19,885
|
|
5.38%, 5/30/2030 (a)
|
865
|
865
|
|
Capital One Financial Corp.
|
||
|
(SOFR + 2.16%), 4.99%, 7/24/2026 (c)
|
505
|
505
|
|
(SOFR + 0.86%), 1.88%, 11/2/2027 (c)
|
2,093
|
2,013
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
Ford Motor Credit Co. LLC
|
||
|
4.13%, 8/17/2027
|
1,841
|
1,776
|
|
5.11%, 5/3/2029
|
870
|
836
|
|
5.30%, 9/6/2029
|
1,000
|
967
|
|
7.20%, 6/10/2030
|
920
|
955
|
|
4.00%, 11/13/2030
|
6,651
|
5,923
|
|
General Motors Financial Co., Inc. 5.95%, 4/4/2034
|
3,935
|
3,910
|
|
ILFC E-Capital Trust II (3-MONTH CME TERM SOFR + 2.06%), 6.37%, 12/21/2065 (a) (c)
|
1,015
|
853
|
|
Macquarie Airfinance Holdings Ltd. (United Kingdom)
|
||
|
6.40%, 3/26/2029 (a)
|
1,275
|
1,318
|
|
5.15%, 3/17/2030 (a)
|
2,940
|
2,896
|
|
OneMain Finance Corp.
|
||
|
7.13%, 3/15/2026
|
1,829
|
1,854
|
|
3.88%, 9/15/2028
|
1,500
|
1,407
|
|
6.63%, 5/15/2029
|
6,480
|
6,552
|
|
5.38%, 11/15/2029
|
6,179
|
5,987
|
|
|
|
180,884
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
Albertsons Cos., Inc.
|
||
|
4.63%, 1/15/2027 (a)
|
12,488
|
12,365
|
|
5.88%, 2/15/2028 (a)
|
3,893
|
3,890
|
|
3.50%, 3/15/2029 (a)
|
2,130
|
2,001
|
|
4.88%, 2/15/2030 (a)
|
981
|
954
|
|
Kroger Co. (The) Series B, 7.70%, 6/1/2029
|
874
|
960
|
|
Performance Food Group, Inc.
|
||
|
5.50%, 10/15/2027 (a)
|
5,217
|
5,195
|
|
6.13%, 9/15/2032 (a)
|
933
|
941
|
|
Rite Aid Corp.
|
||
|
8.00%, 10/18/2024 ‡
|
1,011
|
—
|
|
8.00%, 11/15/2026 ‡ (h)
|
3,597
|
—
|
|
(3-MONTH CME TERM SOFR + 7.00%), 11.32%, 8/30/2031 ‡ (a) (c) (h)
|
376
|
—
(j)
|
|
Series A, 15.00%, 8/30/2031 ‡ (h)
|
1,088
|
—
|
|
Series B, 15.00%, 8/30/2031 ‡ (h)
|
512
|
—
|
|
Sysco Corp. 2.40%, 2/15/2030
|
3,883
|
3,507
|
|
|
|
29,813
|
|
Containers & Packaging — 0.3%
|
||
|
Amcor Flexibles North America, Inc. 5.10%, 3/17/2030 (a)
|
6,660
|
6,703
|
|
Ardagh Packaging Finance plc
|
||
|
4.13%, 8/15/2026 (a)
|
9,786
|
8,896
|
|
5.25%, 8/15/2027 (a)
|
1,725
|
785
|
|
Ball Corp. 6.00%, 6/15/2029
|
3,791
|
3,866
|
|
Berry Global, Inc. 5.80%, 6/15/2031
|
25,745
|
26,724
|
|
Graphic Packaging International LLC
|
||
|
4.75%, 7/15/2027 (a)
|
2,157
|
2,125
|
|
6.38%, 7/15/2032 (a)
|
1,905
|
1,908
|
|
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a)
|
4,243
|
4,283
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Containers & Packaging — continued
|
||
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
3,524
|
3,526
|
|
Packaging Corp. of America 3.05%, 10/1/2051
|
2,277
|
1,383
|
|
Sonoco Products Co. 3.13%, 5/1/2030
|
10,589
|
9,726
|
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
3,262
|
3,070
|
|
|
|
72,995
|
|
Distributors — 0.1%
|
||
|
American Builders & Contractors Supply Co., Inc.
|
||
|
4.00%, 1/15/2028 (a)
|
3,883
|
3,749
|
|
3.88%, 11/15/2029 (a)
|
1,570
|
1,462
|
|
RB Global Holdings, Inc. (Canada) 7.75%, 3/15/2031 (a)
|
2,641
|
2,765
|
|
Resideo Funding, Inc. 6.50%, 7/15/2032 (a)
|
4,015
|
4,048
|
|
|
|
12,024
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Service Corp. International 5.13%, 6/1/2029
|
4,985
|
4,924
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
2,004
|
2,085
|
|
|
|
7,009
|
|
Diversified REITs — 0.1%
|
||
|
Safehold GL Holdings LLC 2.80%, 6/15/2031
|
4,854
|
4,265
|
|
Simon Property Group LP 3.25%, 9/13/2049
|
5,086
|
3,330
|
|
WP Carey, Inc.
|
||
|
4.25%, 10/1/2026
|
2,092
|
2,079
|
|
2.25%, 4/1/2033
|
2,796
|
2,244
|
|
|
|
11,918
|
|
Diversified Telecommunication Services — 0.7%
|
||
|
AT&T, Inc.
|
||
|
1.65%, 2/1/2028
|
8,737
|
8,131
|
|
3.50%, 6/1/2041
|
5,594
|
4,280
|
|
3.50%, 9/15/2053
|
13,080
|
8,691
|
|
3.55%, 9/15/2055
|
28,665
|
18,950
|
|
6.05%, 8/15/2056
|
8,370
|
8,387
|
|
CCO Holdings LLC
|
||
|
4.75%, 3/1/2030 (a)
|
28,256
|
26,973
|
|
4.50%, 8/15/2030 (a)
|
14,596
|
13,686
|
|
4.25%, 2/1/2031 (a)
|
13,735
|
12,580
|
|
4.75%, 2/1/2032 (a)
|
1,010
|
935
|
|
4.50%, 5/1/2032
|
2,285
|
2,080
|
|
Embarq LLC 8.00%, 6/1/2036
|
3,973
|
1,867
|
|
Fibercop SpA (Italy)
|
||
|
Series 2033, 6.38%, 11/15/2033 (a)
|
881
|
850
|
|
6.00%, 9/30/2034 (a)
|
2,780
|
2,603
|
|
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a)
|
3,520
|
3,529
|
|
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a)
|
14,768
|
14,523
|
|
Level 3 Financing, Inc. 11.00%, 11/15/2029 (a)
|
902
|
1,023
|
|
Lumen Technologies, Inc. 4.13%, 4/15/2030 (a)
|
5,900
|
5,731
|
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
4,475
|
4,787
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Diversified Telecommunication Services — continued
|
||
|
Verizon Communications, Inc.
|
||
|
4.02%, 12/3/2029
|
11,662
|
11,417
|
|
4.78%, 2/15/2035
|
3,366
|
3,239
|
|
3.40%, 3/22/2041
|
2,355
|
1,780
|
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)
|
2,223
|
2,163
|
|
|
|
158,205
|
|
Electric Utilities — 2.7%
|
||
|
AEP Transmission Co. LLC
|
||
|
3.15%, 9/15/2049
|
471
|
303
|
|
Series M, 3.65%, 4/1/2050
|
1,942
|
1,384
|
|
Series N, 2.75%, 8/15/2051
|
2,427
|
1,429
|
|
Alabama Power Co.
|
||
|
6.13%, 5/15/2038
|
865
|
917
|
|
5.50%, 3/15/2041
|
1,214
|
1,182
|
|
Series A, 4.30%, 7/15/2048
|
340
|
274
|
|
Alliant Energy Finance LLC 5.40%, 6/6/2027 (a)
|
1,850
|
1,869
|
|
Arizona Public Service Co.
|
||
|
4.70%, 1/15/2044
|
146
|
120
|
|
4.25%, 3/1/2049
|
971
|
733
|
|
Baltimore Gas and Electric Co.
|
||
|
5.45%, 6/1/2035
|
7,576
|
7,627
|
|
4.25%, 9/15/2048
|
1,360
|
1,075
|
|
3.20%, 9/15/2049
|
1,432
|
933
|
|
2.90%, 6/15/2050
|
816
|
498
|
|
5.65%, 6/1/2054
|
2,730
|
2,629
|
|
CenterPoint Energy Houston Electric LLC Series AD, 2.90%, 7/1/2050
|
1,942
|
1,201
|
|
Comision Federal de Electricidad (Mexico)
|
||
|
3.35%, 2/9/2031 (a)
|
11,599
|
10,004
|
|
6.45%, 1/24/2035 (a)
|
2,101
|
2,018
|
|
Commonwealth Edison Co.
|
||
|
4.00%, 3/1/2048
|
292
|
223
|
|
5.95%, 6/1/2055
|
3,106
|
3,111
|
|
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048
|
1,637
|
1,252
|
|
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030
|
3,826
|
3,876
|
|
DTE Electric Co.
|
||
|
5.20%, 3/1/2034
|
3,400
|
3,410
|
|
3.95%, 6/15/2042
|
370
|
291
|
|
Series A, 4.00%, 4/1/2043
|
4,728
|
3,782
|
|
Series B, 3.65%, 3/1/2052
|
636
|
455
|
|
5.40%, 4/1/2053
|
518
|
490
|
|
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037
|
3,700
|
3,929
|
|
Duke Energy Carolinas LLC
|
||
|
3.70%, 12/1/2047
|
971
|
705
|
|
5.40%, 1/15/2054
|
2,960
|
2,758
|
|
Duke Energy Corp. 5.80%, 6/15/2054
|
3,300
|
3,123
|
|
Duke Energy Florida LLC
|
||
|
1.75%, 6/15/2030
|
4,223
|
3,686
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
5.90%, 3/1/2033
|
400
|
419
|
|
6.20%, 11/15/2053
|
1,985
|
2,046
|
|
Duke Energy Indiana LLC
|
||
|
Series YYY, 3.25%, 10/1/2049
|
2,170
|
1,419
|
|
2.75%, 4/1/2050
|
9,897
|
5,865
|
|
5.40%, 4/1/2053
|
5,189
|
4,788
|
|
Duke Energy Ohio, Inc.
|
||
|
5.25%, 4/1/2033
|
9,542
|
9,659
|
|
4.30%, 2/1/2049
|
1,427
|
1,110
|
|
Duke Energy Progress LLC
|
||
|
5.05%, 3/15/2035
|
9,659
|
9,532
|
|
4.10%, 5/15/2042
|
297
|
241
|
|
3.70%, 10/15/2046
|
195
|
143
|
|
5.55%, 3/15/2055
|
888
|
846
|
|
Edison International (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 3.86%), 8.13%, 6/15/2053 (c)
|
13,212
|
13,052
|
|
Electricite de France SA (France) 6.90%, 5/23/2053 (a)
|
5,450
|
5,710
|
|
Emera US Finance LP (Canada)
|
||
|
2.64%, 6/15/2031
|
18,635
|
16,046
|
|
4.75%, 6/15/2046
|
4,950
|
3,995
|
|
Enel Finance International NV (Italy)
|
||
|
5.13%, 6/26/2029 (a)
|
6,590
|
6,672
|
|
2.50%, 7/12/2031 (a) (g)
|
4,904
|
4,246
|
|
5.50%, 6/26/2034 (a)
|
9,365
|
9,377
|
|
Entergy Arkansas LLC 5.75%, 6/1/2054
|
840
|
810
|
|
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%),
7.13%, 12/1/2054 (c)
|
7,370
|
7,535
|
|
Entergy Louisiana LLC
|
||
|
3.12%, 9/1/2027
|
729
|
708
|
|
1.60%, 12/15/2030
|
7,252
|
6,179
|
|
5.15%, 9/15/2034
|
2,400
|
2,374
|
|
4.20%, 4/1/2050
|
1,360
|
1,047
|
|
2.90%, 3/15/2051
|
3,920
|
2,364
|
|
5.70%, 3/15/2054
|
6,300
|
6,011
|
|
Entergy Mississippi LLC
|
||
|
5.00%, 9/1/2033
|
3,252
|
3,210
|
|
3.85%, 6/1/2049
|
486
|
351
|
|
3.50%, 6/1/2051
|
1,534
|
1,025
|
|
5.85%, 6/1/2054
|
2,885
|
2,812
|
|
5.80%, 4/15/2055
|
2,980
|
2,881
|
|
Entergy Texas Restoration Funding LLC Series A-2, 3.70%, 12/15/2035
|
2,825
|
2,574
|
|
Entergy Texas, Inc.
|
||
|
1.75%, 3/15/2031
|
17,722
|
15,089
|
|
3.55%, 9/30/2049
|
753
|
515
|
|
5.55%, 9/15/2054
|
4,283
|
3,965
|
|
Evergy Metro, Inc. 4.20%, 6/15/2047
|
714
|
563
|
|
Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038
|
2,008
|
1,976
|
|
Exelon Corp.
|
||
|
4.95%, 6/15/2035
|
120
|
115
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%), 6.50%, 3/15/2055 (c)
|
2,210
|
2,207
|
|
FirstEnergy Corp. Series B, 3.90%, 7/15/2027 (g)
|
7,920
|
7,807
|
|
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (a)
|
777
|
732
|
|
Florida Power & Light Co.
|
||
|
5.40%, 9/1/2035
|
583
|
595
|
|
3.70%, 12/1/2047
|
4,466
|
3,302
|
|
3.95%, 3/1/2048
|
646
|
500
|
|
5.70%, 3/15/2055
|
9,423
|
9,274
|
|
Georgia Power Co. 5.25%, 3/15/2034
|
3,400
|
3,418
|
|
Interstate Power and Light Co.
|
||
|
4.10%, 9/26/2028
|
777
|
766
|
|
4.95%, 9/30/2034
|
565
|
546
|
|
ITC Holdings Corp.
|
||
|
4.95%, 9/22/2027 (a)
|
5,867
|
5,904
|
|
2.95%, 5/14/2030 (a)
|
3,883
|
3,569
|
|
5.40%, 6/1/2033 (a)
|
5,973
|
5,935
|
|
5.65%, 5/9/2034 (a)
|
9,145
|
9,205
|
|
Jersey Central Power & Light Co. 6.15%, 6/1/2037
|
777
|
812
|
|
Massachusetts Electric Co. 5.90%, 11/15/2039 (a)
|
960
|
962
|
|
MidAmerican Energy Co. 3.65%, 8/1/2048
|
1,942
|
1,412
|
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)
|
7,631
|
7,531
|
|
Mississippi Power Co. 3.95%, 3/30/2028
|
544
|
538
|
|
Monongahela Power Co. 5.85%, 2/15/2034 (a)
|
9,250
|
9,469
|
|
Nevada Power Co.
|
||
|
5.38%, 9/15/2040
|
608
|
596
|
|
6.00%, 3/15/2054
|
1,510
|
1,493
|
|
NextEra Energy Capital Holdings, Inc.
|
||
|
3.55%, 5/1/2027
|
522
|
513
|
|
5.25%, 2/28/2053
|
1,379
|
1,233
|
|
5.55%, 3/15/2054
|
2,650
|
2,452
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (c)
|
3,930
|
4,018
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 6.38%, 8/15/2055 (c)
|
4,705
|
4,711
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%), 6.50%, 8/15/2055 (c)
|
3,545
|
3,570
|
|
Niagara Mohawk Power Corp. 4.28%, 12/15/2028 (a)
|
631
|
621
|
|
Northern States Power Co.
|
||
|
6.20%, 7/1/2037
|
168
|
181
|
|
2.60%, 6/1/2051
|
702
|
409
|
|
4.50%, 6/1/2052
|
2,602
|
2,139
|
|
NRG Energy, Inc.
|
||
|
2.45%, 12/2/2027 (a)
|
2,549
|
2,398
|
|
3.38%, 2/15/2029 (a)
|
4,251
|
3,971
|
|
5.25%, 6/15/2029 (a)
|
10,013
|
9,895
|
|
3.63%, 2/15/2031 (a)
|
614
|
557
|
|
3.88%, 2/15/2032 (a)
|
133
|
120
|
|
6.00%, 2/1/2033 (a)
|
1,804
|
1,788
|
|
6.25%, 11/1/2034 (a)
|
1,100
|
1,100
|
|
OGE Energy Corp. 5.45%, 5/15/2029
|
3,085
|
3,177
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Ohio Power Co.
|
||
|
4.00%, 6/1/2049
|
583
|
425
|
|
Series R, 2.90%, 10/1/2051
|
6,567
|
3,860
|
|
Oncor Electric Delivery Co. LLC
|
||
|
3.10%, 9/15/2049
|
971
|
618
|
|
5.35%, 10/1/2052
|
534
|
487
|
|
Pacific Gas and Electric Co.
|
||
|
3.45%, 7/1/2025
|
1,582
|
1,579
|
|
2.95%, 3/1/2026
|
1,000
|
984
|
|
4.65%, 8/1/2028
|
11,889
|
11,751
|
|
6.10%, 1/15/2029
|
1,282
|
1,324
|
|
4.55%, 7/1/2030
|
19,196
|
18,588
|
|
6.40%, 6/15/2033
|
11,604
|
11,939
|
|
5.70%, 3/1/2035
|
16,035
|
15,766
|
|
4.20%, 6/1/2041
|
1,622
|
1,229
|
|
4.60%, 6/15/2043
|
1,894
|
1,486
|
|
6.75%, 1/15/2053
|
7,605
|
7,573
|
|
5.90%, 10/1/2054
|
1,020
|
914
|
|
Palomino Funding Trust I 7.23%, 5/17/2028 (a)
|
2,000
|
2,104
|
|
PECO Energy Co. 2.80%, 6/15/2050
|
729
|
442
|
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
971
|
1,087
|
|
PG&E Corp.
|
||
|
5.00%, 7/1/2028
|
3,683
|
3,594
|
|
5.25%, 7/1/2030
|
2,296
|
2,228
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.88%), 7.38%, 3/15/2055 (c)
|
20,535
|
20,108
|
|
PG&E Recovery Funding LLC
|
||
|
Series A-2, 5.23%, 6/1/2042
|
3,830
|
3,775
|
|
Series A-3, 5.54%, 7/15/2047
|
3,951
|
3,773
|
|
Series A-3, 5.53%, 6/1/2049
|
4,550
|
4,397
|
|
PG&E Wildfire Recovery Funding LLC
|
||
|
Series A-2, 4.26%, 6/1/2036
|
1,059
|
993
|
|
Series A-4, 5.21%, 12/1/2047
|
777
|
718
|
|
Series A-5, 5.10%, 6/1/2052
|
2,850
|
2,584
|
|
Potomac Electric Power Co. 6.50%, 11/15/2037
|
350
|
385
|
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
1,384
|
1,287
|
|
Public Service Co. of Colorado
|
||
|
4.05%, 9/15/2049
|
2,573
|
1,912
|
|
2.70%, 1/15/2051
|
3,097
|
1,785
|
|
Public Service Co. of Oklahoma
|
||
|
5.25%, 1/15/2033
|
1,292
|
1,287
|
|
Series G, 6.63%, 11/15/2037
|
1,068
|
1,136
|
|
Public Service Electric and Gas Co.
|
||
|
5.80%, 5/1/2037
|
826
|
861
|
|
5.38%, 11/1/2039
|
404
|
400
|
|
2.05%, 8/1/2050
|
2,950
|
1,515
|
|
SCE Recovery Funding LLC
|
||
|
Series A-1, 4.70%, 6/15/2040
|
977
|
932
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Series A-2, 5.11%, 12/15/2047
|
311
|
275
|
|
Sigeco Securitization I LLC
|
||
|
Series A1, 5.03%, 11/15/2036
|
663
|
662
|
|
Series A2, 5.17%, 5/15/2041
|
298
|
289
|
|
Southern California Edison Co.
|
||
|
5.25%, 3/15/2030
|
4,400
|
4,423
|
|
5.45%, 6/1/2031
|
3,540
|
3,565
|
|
5.20%, 6/1/2034
|
2,399
|
2,298
|
|
5.45%, 3/1/2035
|
11,696
|
11,315
|
|
Series 06-E, 5.55%, 1/15/2037
|
437
|
417
|
|
Series 08-A, 5.95%, 2/1/2038
|
277
|
270
|
|
Series C, 3.60%, 2/1/2045
|
1,233
|
826
|
|
Series C, 4.13%, 3/1/2048
|
971
|
687
|
|
Series 20A, 2.95%, 2/1/2051
|
8,553
|
4,833
|
|
5.88%, 12/1/2053
|
11,757
|
10,513
|
|
5.75%, 4/15/2054
|
2,060
|
1,810
|
|
5.90%, 3/1/2055
|
1,423
|
1,278
|
|
Southern Co. (The) 5.70%, 3/15/2034
|
1,995
|
2,053
|
|
Southwestern Electric Power Co.
|
||
|
5.30%, 4/1/2033
|
2,214
|
2,189
|
|
Series J, 3.90%, 4/1/2045
|
1,206
|
885
|
|
Tierra Mojada Luxembourg II SARL (Mexico) 5.75%, 12/1/2040 (a)
|
3,252
|
3,010
|
|
Tucson Electric Power Co.
|
||
|
4.85%, 12/1/2048
|
583
|
495
|
|
5.50%, 4/15/2053
|
2,597
|
2,401
|
|
Union Electric Co.
|
||
|
5.20%, 4/1/2034
|
2,310
|
2,309
|
|
4.00%, 4/1/2048
|
1,991
|
1,510
|
|
3.90%, 4/1/2052
|
1,262
|
931
|
|
5.25%, 1/15/2054
|
3,765
|
3,399
|
|
Virginia Electric and Power Co.
|
||
|
6.35%, 11/30/2037
|
229
|
242
|
|
8.88%, 11/15/2038
|
651
|
843
|
|
Virginia Power Fuel Securitization LLC Series A-2, 4.88%, 5/1/2031
|
1,085
|
1,093
|
|
Vistra Operations Co. LLC
|
||
|
5.50%, 9/1/2026 (a)
|
1,864
|
1,866
|
|
5.05%, 12/30/2026 (a)
|
15,150
|
15,189
|
|
5.63%, 2/15/2027 (a)
|
4,331
|
4,328
|
|
5.00%, 7/31/2027 (a)
|
6,244
|
6,226
|
|
4.38%, 5/1/2029 (a)
|
3,033
|
2,932
|
|
4.30%, 7/15/2029 (a)
|
4,854
|
4,730
|
|
7.75%, 10/15/2031 (a)
|
4,000
|
4,241
|
|
6.00%, 4/15/2034 (a)
|
28,434
|
28,837
|
|
Xcel Energy, Inc. 3.40%, 6/1/2030
|
2,185
|
2,052
|
|
|
|
613,031
|
|
Electrical Equipment — 0.0% ^
|
||
|
Eaton Corp. 4.15%, 11/2/2042
|
2,427
|
2,029
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electrical Equipment — continued
|
||
|
EnerSys 6.63%, 1/15/2032 (a)
|
2,000
|
2,042
|
|
Sensata Technologies BV 5.88%, 9/1/2030 (a)
|
1,980
|
1,958
|
|
|
|
6,029
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
6,307
|
6,111
|
|
Corning, Inc. 5.35%, 11/15/2048
|
4,854
|
4,409
|
|
Sensata Technologies, Inc.
|
||
|
3.75%, 2/15/2031 (a)
|
1,054
|
936
|
|
6.63%, 7/15/2032 (a)
|
2,925
|
2,951
|
|
|
|
14,407
|
|
Energy Equipment & Services — 0.1%
|
||
|
Archrock Partners LP 6.63%, 9/1/2032 (a)
|
4,915
|
4,941
|
|
Baker Hughes Holdings LLC
|
||
|
5.13%, 9/15/2040
|
877
|
825
|
|
4.08%, 12/15/2047
|
1,864
|
1,400
|
|
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a)
|
3,570
|
3,576
|
|
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a)
|
5,121
|
4,777
|
|
Halliburton Co. 4.75%, 8/1/2043
|
263
|
222
|
|
Nabors Industries, Inc. 7.38%, 5/15/2027 (a)
|
2,655
|
2,549
|
|
Noble Finance II LLC 8.00%, 4/15/2030 (a)
|
2,780
|
2,770
|
|
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a)
|
1,319
|
1,317
|
|
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a)
|
754
|
742
|
|
Transocean, Inc. 8.75%, 2/15/2030 (a)
|
2,016
|
2,044
|
|
Valaris Ltd. 8.38%, 4/30/2030 (a)
|
3,420
|
3,433
|
|
|
|
28,596
|
|
Entertainment — 0.2%
|
||
|
Cinemark USA, Inc. 5.25%, 7/15/2028 (a)
|
2,736
|
2,699
|
|
Live Nation Entertainment, Inc.
|
||
|
5.63%, 3/15/2026 (a)
|
1,638
|
1,640
|
|
6.50%, 5/15/2027 (a)
|
3,411
|
3,452
|
|
4.75%, 10/15/2027 (a)
|
3,883
|
3,823
|
|
Netflix, Inc. 5.38%, 11/15/2029 (a)
|
8,086
|
8,379
|
|
Take-Two Interactive Software, Inc.
|
||
|
3.70%, 4/14/2027
|
831
|
818
|
|
5.40%, 6/12/2029
|
3,301
|
3,369
|
|
5.60%, 6/12/2034
|
13,544
|
13,747
|
|
Walt Disney Co. (The) 3.60%, 1/13/2051
|
11,000
|
7,899
|
|
|
|
45,826
|
|
Financial Services — 0.3%
|
||
|
Block, Inc.
|
||
|
3.50%, 6/1/2031
|
5,263
|
4,756
|
|
6.50%, 5/15/2032
|
4,826
|
4,932
|
|
Boost Newco Borrower LLC 7.50%, 1/15/2031 (a)
|
2,220
|
2,349
|
|
CFIN 2022-RTL1 Issuer LLC
|
||
|
Class AShares, 0.00%, 8/17/2027 ‡
|
2,015
|
2,015
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Financial Services — continued
|
||
|
Class BShares, 0.00%, 8/17/2027 ‡
|
995
|
995
|
|
CFIN LLC Class B Shares, 0.00%, 8/17/2027 ‡
|
3,025
|
3,025
|
|
Fidelity National Information Services, Inc. 4.50%, 8/15/2046
|
1,942
|
1,547
|
|
Global Payments, Inc. 2.90%, 11/15/2031
|
7,301
|
6,343
|
|
National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031
|
1,210
|
1,228
|
|
Nationstar Mortgage Holdings, Inc.
|
||
|
6.00%, 1/15/2027 (a)
|
5,446
|
5,447
|
|
5.50%, 8/15/2028 (a)
|
1,425
|
1,422
|
|
Nationwide Building Society (United Kingdom)
|
||
|
(SOFR + 1.91%), 6.56%, 10/18/2027 (a) (c)
|
2,650
|
2,713
|
|
(SOFR + 1.29%), 2.97%, 2/16/2028 (a) (c)
|
2,120
|
2,061
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
3,466
|
3,786
|
|
NTT Finance Corp. (Japan) 5.14%, 7/2/2031 (a)
|
3,500
|
3,563
|
|
Rocket Mortgage LLC
|
||
|
2.88%, 10/15/2026 (a)
|
2,937
|
2,844
|
|
3.63%, 3/1/2029 (a)
|
2,851
|
2,660
|
|
3.88%, 3/1/2031 (a)
|
2,370
|
2,144
|
|
4.00%, 10/15/2033 (a)
|
565
|
488
|
|
Shell International Finance BV 3.63%, 8/21/2042
|
6,407
|
4,894
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (a)
|
4,823
|
4,921
|
|
Siemens Financieringsmaatschappij NV (Germany) 3.30%, 9/15/2046 (a)
|
2,000
|
1,424
|
|
STReAM 2008 BV (Netherlands) 0.00%, 2/15/2030 ‡
|
2,630
|
2,630
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
2,000
|
2,000
|
|
Visa, Inc. 2.70%, 4/15/2040
|
1,457
|
1,082
|
|
|
|
71,269
|
|
Food Products — 0.7%
|
||
|
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (a)
|
510
|
529
|
|
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a)
|
4,736
|
4,703
|
|
JBS USA Holding Lux SARL
|
||
|
5.50%, 1/15/2030
|
6,344
|
6,420
|
|
3.75%, 12/1/2031
|
2,040
|
1,872
|
|
3.63%, 1/15/2032
|
12,930
|
11,624
|
|
3.00%, 5/15/2032
|
5,910
|
5,080
|
|
Lamb Weston Holdings, Inc.
|
||
|
4.13%, 1/31/2030 (a)
|
2,821
|
2,660
|
|
4.38%, 1/31/2032 (a)
|
941
|
868
|
|
Mars, Inc.
|
||
|
4.80%, 3/1/2030 (a)
|
48,750
|
49,051
|
|
5.00%, 3/1/2032 (a)
|
24,690
|
24,773
|
|
5.20%, 3/1/2035 (a)
|
33,640
|
33,514
|
|
5.65%, 5/1/2045 (a)
|
4,058
|
3,981
|
|
Post Holdings, Inc.
|
||
|
5.50%, 12/15/2029 (a)
|
1,485
|
1,467
|
|
4.63%, 4/15/2030 (a)
|
2,694
|
2,549
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Food Products — continued
|
||
|
6.25%, 2/15/2032 (a)
|
1,092
|
1,110
|
|
Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (a)
|
6,574
|
5,972
|
|
|
|
156,173
|
|
Gas Utilities — 0.1%
|
||
|
AmeriGas Partners LP 5.75%, 5/20/2027
|
842
|
824
|
|
Atmos Energy Corp.
|
||
|
5.50%, 6/15/2041
|
1,078
|
1,060
|
|
4.15%, 1/15/2043
|
565
|
463
|
|
2.85%, 2/15/2052
|
928
|
556
|
|
5.75%, 10/15/2052
|
2,083
|
2,045
|
|
Brooklyn Union Gas Co. (The)
|
||
|
3.87%, 3/4/2029 (a)
|
1,000
|
964
|
|
4.27%, 3/15/2048 (a)
|
971
|
729
|
|
Piedmont Natural Gas Co., Inc.
|
||
|
3.50%, 6/1/2029
|
777
|
745
|
|
3.35%, 6/1/2050
|
2,800
|
1,804
|
|
Southern California Gas Co. Series XX, 2.55%, 2/1/2030
|
695
|
633
|
|
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a)
|
3,859
|
3,669
|
|
|
|
13,492
|
|
Ground Transportation — 0.4%
|
||
|
Avis Budget Car Rental LLC
|
||
|
5.75%, 7/15/2027 (a)
|
4,145
|
4,090
|
|
5.38%, 3/1/2029 (a)
|
1,952
|
1,841
|
|
8.00%, 2/15/2031 (a)
|
2,565
|
2,596
|
|
Burlington Northern Santa Fe LLC
|
||
|
7.08%, 5/13/2029
|
98
|
106
|
|
6.15%, 5/1/2037
|
1,629
|
1,744
|
|
4.38%, 9/1/2042
|
2,437
|
2,080
|
|
3.55%, 2/15/2050
|
1,873
|
1,342
|
|
5.20%, 4/15/2054
|
12,708
|
11,798
|
|
5.50%, 3/15/2055
|
16,045
|
15,527
|
|
Canadian Pacific Railway Co. (Canada) 3.10%, 12/2/2051
|
1,752
|
1,123
|
|
EquipmentShare.com, Inc. 8.63%, 5/15/2032 (a)
|
4,400
|
4,614
|
|
Herc Holdings Escrow, Inc. 7.00%, 6/15/2030 (a) (k)
|
1,099
|
1,132
|
|
Hertz Corp. (The) 4.63%, 12/1/2026 (a)
|
6,538
|
5,774
|
|
Norfolk Southern Corp. 4.05%, 8/15/2052
|
971
|
730
|
|
Penske Truck Leasing Co. LP
|
||
|
1.20%, 11/15/2025 (a)
|
2,102
|
2,065
|
|
5.25%, 7/1/2029 (a)
|
4,600
|
4,663
|
|
SMBC Aviation Capital Finance DAC (Ireland) 5.30%, 4/3/2029 (a)
|
6,840
|
6,914
|
|
Uber Technologies, Inc.
|
||
|
4.80%, 9/15/2034
|
4,270
|
4,120
|
|
5.35%, 9/15/2054
|
1,440
|
1,308
|
|
Union Pacific Corp. 3.50%, 2/14/2053
|
2,655
|
1,827
|
|
XPO, Inc. 7.13%, 6/1/2031 (a)
|
6,035
|
6,248
|
|
|
|
81,642
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Equipment & Supplies — 0.1%
|
||
|
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
3,673
|
3,580
|
|
Baxter International, Inc. 3.13%, 12/1/2051
|
3,000
|
1,845
|
|
DH Europe Finance II SARL 3.25%, 11/15/2039
|
1,360
|
1,063
|
|
Hologic, Inc.
|
||
|
4.63%, 2/1/2028 (a)
|
1,110
|
1,097
|
|
3.25%, 2/15/2029 (a)
|
2,313
|
2,210
|
|
Medline Borrower LP
|
||
|
3.88%, 4/1/2029 (a)
|
7,813
|
7,364
|
|
6.25%, 4/1/2029 (a)
|
1,834
|
1,866
|
|
5.25%, 10/1/2029 (a)
|
3,258
|
3,184
|
|
Zimmer Biomet Holdings, Inc. 5.50%, 2/19/2035
|
11,450
|
11,557
|
|
|
|
33,766
|
|
Health Care Providers & Services — 0.8%
|
||
|
Acadia Healthcare Co., Inc.
|
||
|
5.50%, 7/1/2028 (a)
|
3,921
|
3,864
|
|
5.00%, 4/15/2029 (a)
|
2,427
|
2,324
|
|
AdaptHealth LLC 4.63%, 8/1/2029 (a)
|
1,911
|
1,765
|
|
Aetna, Inc. 4.50%, 5/15/2042
|
218
|
176
|
|
Cencora, Inc.
|
||
|
2.70%, 3/15/2031
|
2,900
|
2,587
|
|
5.13%, 2/15/2034
|
1,512
|
1,504
|
|
Cigna Group (The) 5.13%, 5/15/2031
|
3,480
|
3,538
|
|
Community Health Systems, Inc.
|
||
|
5.63%, 3/15/2027 (a)
|
4,244
|
4,182
|
|
4.75%, 2/15/2031 (a)
|
431
|
369
|
|
DaVita, Inc.
|
||
|
4.63%, 6/1/2030 (a)
|
2,323
|
2,171
|
|
3.75%, 2/15/2031 (a)
|
662
|
586
|
|
Encompass Health Corp.
|
||
|
4.50%, 2/1/2028
|
1,009
|
994
|
|
4.75%, 2/1/2030
|
2,989
|
2,914
|
|
4.63%, 4/1/2031
|
1,366
|
1,302
|
|
HCA, Inc.
|
||
|
4.50%, 2/15/2027
|
19,711
|
19,651
|
|
5.63%, 9/1/2028
|
4,916
|
5,029
|
|
3.50%, 9/1/2030
|
1,095
|
1,021
|
|
2.38%, 7/15/2031
|
4,819
|
4,122
|
|
5.60%, 4/1/2034
|
5,000
|
5,028
|
|
5.45%, 9/15/2034
|
5,590
|
5,534
|
|
5.25%, 6/15/2049
|
6,985
|
6,041
|
|
3.50%, 7/15/2051
|
1,273
|
816
|
|
4.63%, 3/15/2052
|
11,405
|
8,919
|
|
5.90%, 6/1/2053
|
3,930
|
3,678
|
|
6.00%, 4/1/2054
|
15,000
|
14,233
|
|
Owens & Minor, Inc. 6.63%, 4/1/2030 (a)
|
4,466
|
3,782
|
|
Quest Diagnostics, Inc.
|
||
|
4.63%, 12/15/2029
|
6,580
|
6,592
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
2.95%, 6/30/2030
|
971
|
895
|
|
Tenet Healthcare Corp.
|
||
|
6.25%, 2/1/2027
|
486
|
486
|
|
5.13%, 11/1/2027
|
1,322
|
1,314
|
|
4.63%, 6/15/2028
|
5,461
|
5,355
|
|
4.25%, 6/1/2029
|
4,310
|
4,139
|
|
6.13%, 6/15/2030
|
11,278
|
11,388
|
|
6.75%, 5/15/2031
|
4,755
|
4,898
|
|
Triad Holdings III LLC 7.25%, 4/1/2052 ‡
|
2,600
|
2,600
|
|
UnitedHealth Group, Inc.
|
||
|
5.35%, 2/15/2033
|
21,410
|
21,605
|
|
3.95%, 10/15/2042
|
598
|
472
|
|
3.75%, 10/15/2047
|
1,088
|
781
|
|
3.25%, 5/15/2051
|
1,898
|
1,212
|
|
5.88%, 2/15/2053
|
89
|
86
|
|
5.05%, 4/15/2053
|
5,042
|
4,334
|
|
3.88%, 8/15/2059
|
782
|
528
|
|
|
|
172,815
|
|
Health Care REITs — 0.1%
|
||
|
Alexandria Real Estate Equities, Inc.
|
||
|
3.38%, 8/15/2031
|
2,890
|
2,615
|
|
1.88%, 2/1/2033
|
2,801
|
2,181
|
|
5.15%, 4/15/2053
|
1,059
|
892
|
|
Healthpeak OP LLC 3.00%, 1/15/2030
|
486
|
450
|
|
Sabra Health Care LP 3.20%, 12/1/2031
|
2,194
|
1,911
|
|
Ventas Realty LP
|
||
|
4.13%, 1/15/2026
|
84
|
83
|
|
3.25%, 10/15/2026
|
212
|
208
|
|
3.85%, 4/1/2027
|
600
|
592
|
|
5.63%, 7/1/2034
|
3,311
|
3,349
|
|
|
|
12,281
|
|
Health Care Technology — 0.0% ^
|
||
|
IQVIA, Inc. 5.00%, 5/15/2027 (a)
|
5,377
|
5,342
|
|
Hotel & Resort REITs — 0.0% ^
|
||
|
RHP Hotel Properties LP
|
||
|
4.75%, 10/15/2027
|
7,088
|
7,004
|
|
7.25%, 7/15/2028 (a)
|
971
|
1,001
|
|
6.50%, 4/1/2032 (a)
|
1,000
|
1,014
|
|
6.50%, 6/15/2033 (a) (k)
|
584
|
594
|
|
|
|
9,613
|
|
Hotels, Restaurants & Leisure — 0.5%
|
||
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
4,500
|
4,324
|
|
Caesars Entertainment, Inc.
|
||
|
4.63%, 10/15/2029 (a)
|
3,100
|
2,895
|
|
7.00%, 2/15/2030 (a)
|
6,300
|
6,465
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Hotels, Restaurants & Leisure — continued
|
||
|
6.50%, 2/15/2032 (a)
|
4,192
|
4,226
|
|
Carnival Corp.
|
||
|
5.88%, 6/15/2031 (a)
|
2,600
|
2,602
|
|
6.13%, 2/15/2033 (a)
|
13,036
|
13,068
|
|
Hilton Domestic Operating Co., Inc.
|
||
|
5.75%, 5/1/2028 (a)
|
855
|
856
|
|
3.75%, 5/1/2029 (a)
|
3,424
|
3,235
|
|
4.88%, 1/15/2030
|
2,112
|
2,070
|
|
4.00%, 5/1/2031 (a)
|
367
|
339
|
|
3.63%, 2/15/2032 (a)
|
1,423
|
1,266
|
|
5.88%, 3/15/2033 (a)
|
7,996
|
8,050
|
|
McDonald's Corp.
|
||
|
3.63%, 9/1/2049
|
1,570
|
1,120
|
|
5.15%, 9/9/2052
|
7,371
|
6,634
|
|
MGM Resorts International
|
||
|
4.63%, 9/1/2026
|
2,015
|
2,006
|
|
4.75%, 10/15/2028
|
3,125
|
3,057
|
|
6.13%, 9/15/2029
|
2,065
|
2,075
|
|
6.50%, 4/15/2032
|
1,675
|
1,672
|
|
Royal Caribbean Cruises Ltd.
|
||
|
5.63%, 9/30/2031 (a)
|
9,205
|
9,098
|
|
6.25%, 3/15/2032 (a)
|
6,965
|
7,059
|
|
6.00%, 2/1/2033 (a)
|
3,504
|
3,517
|
|
Six Flags Entertainment Corp.
|
||
|
7.00%, 7/1/2025 (a)
|
534
|
534
|
|
6.50%, 10/1/2028
|
4,805
|
4,845
|
|
5.25%, 7/15/2029
|
1,641
|
1,593
|
|
7.25%, 5/15/2031 (a)
|
2,110
|
2,156
|
|
6.63%, 5/1/2032 (a)
|
2,416
|
2,463
|
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
4,173
|
4,047
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
4,665
|
4,779
|
|
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a)
|
2,801
|
2,788
|
|
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (a)
|
4,185
|
4,028
|
|
Wynn Resorts Finance LLC
|
||
|
5.13%, 10/1/2029 (a)
|
11,711
|
11,420
|
|
6.25%, 3/15/2033 (a)
|
1,584
|
1,567
|
|
|
|
125,854
|
|
Household Durables — 0.1%
|
||
|
Newell Brands, Inc.
|
||
|
5.70%, 4/1/2026 (g)
|
758
|
763
|
|
8.50%, 6/1/2028 (a)
|
1,462
|
1,513
|
|
6.63%, 9/15/2029
|
4,524
|
4,373
|
|
6.38%, 5/15/2030
|
1,025
|
963
|
|
6.63%, 5/15/2032
|
683
|
630
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Household Durables — continued
|
||
|
6.87%, 4/1/2036 (g)
|
4,374
|
4,020
|
|
Somnigroup International, Inc. 4.00%, 4/15/2029 (a)
|
8,068
|
7,599
|
|
|
|
19,861
|
|
Household Products — 0.0% ^
|
||
|
Central Garden & Pet Co.
|
||
|
5.13%, 2/1/2028
|
520
|
520
|
|
4.13%, 10/15/2030
|
2,549
|
2,357
|
|
4.13%, 4/30/2031 (a)
|
724
|
660
|
|
Energizer Holdings, Inc. 4.75%, 6/15/2028 (a)
|
4,985
|
4,807
|
|
|
|
8,344
|
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
|
Calpine Corp.
|
||
|
4.50%, 2/15/2028 (a)
|
2,913
|
2,857
|
|
5.13%, 3/15/2028 (a)
|
2,155
|
2,136
|
|
4.63%, 2/1/2029 (a)
|
14,080
|
13,722
|
|
Constellation Energy Generation LLC
|
||
|
3.25%, 6/1/2025
|
578
|
578
|
|
6.25%, 10/1/2039
|
195
|
203
|
|
5.75%, 10/1/2041
|
6,850
|
6,661
|
|
5.60%, 6/15/2042
|
6,163
|
5,910
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple (Mexico) 7.25%, 1/31/2041 (a)
|
5,635
|
5,545
|
|
Saavi Energia Sarl (Mexico) 8.88%, 2/10/2035 (a)
|
6,259
|
6,372
|
|
|
|
43,984
|
|
Industrial Conglomerates — 0.0% ^
|
||
|
Honeywell International, Inc. 5.25%, 3/1/2054
|
4,740
|
4,383
|
|
Industrial REITs — 0.0% ^
|
||
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)
|
582
|
566
|
|
Prologis LP
|
||
|
1.75%, 7/1/2030
|
2,427
|
2,108
|
|
3.00%, 4/15/2050
|
4,989
|
3,153
|
|
2.13%, 10/15/2050
|
1,457
|
755
|
|
|
|
6,582
|
|
Insurance — 0.3%
|
||
|
AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (a)
|
1,680
|
1,267
|
|
Allianz SE (Germany) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 2.77%), 5.60%, 9/3/2054 (a) (c)
|
12,000
|
11,744
|
|
Aon Corp.
|
||
|
5.35%, 2/28/2033
|
864
|
879
|
|
6.25%, 9/30/2040
|
233
|
244
|
|
Berkshire Hathaway Finance Corp.
|
||
|
2.50%, 1/15/2051
|
2,190
|
1,272
|
|
3.85%, 3/15/2052
|
4,281
|
3,209
|
|
CNO Global Funding
|
||
|
5.88%, 6/4/2027 (a)
|
6,500
|
6,647
|
|
4.95%, 9/9/2029 (a)
|
1,705
|
1,703
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Insurance — continued
|
||
|
Guardian Life Global Funding
|
||
|
5.74%, 10/2/2028 (a)
|
2,000
|
2,082
|
|
4.18%, 9/26/2029 (a)
|
2,620
|
2,594
|
|
MetLife, Inc.
|
||
|
6.50%, 12/15/2032
|
680
|
755
|
|
4.13%, 8/13/2042
|
486
|
399
|
|
Metropolitan Life Global Funding I
|
||
|
3.05%, 6/17/2029 (a)
|
1,500
|
1,419
|
|
5.15%, 3/28/2033 (a)
|
8,975
|
9,001
|
|
Metropolitan Life Insurance Co. 7.80%, 11/1/2025 (a)
|
1,650
|
1,670
|
|
New York Life Global Funding 3.00%, 1/10/2028 (a)
|
2,749
|
2,664
|
|
New York Life Insurance Co. 6.75%, 11/15/2039 (a)
|
295
|
326
|
|
Northwestern Mutual Global Funding 5.16%, 5/28/2031 (a)
|
4,140
|
4,220
|
|
Pine Street Trust III 6.22%, 5/15/2054 (a)
|
1,600
|
1,543
|
|
Principal Financial Group, Inc. 4.11%, 2/15/2028 (a)
|
2,000
|
1,963
|
|
Principal Life Global Funding II
|
||
|
3.00%, 4/18/2026 (a)
|
569
|
562
|
|
5.10%, 1/25/2029 (a)
|
2,650
|
2,691
|
|
Protective Life Global Funding 1.30%, 9/20/2026 (a)
|
1,500
|
1,436
|
|
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)
|
150
|
150
|
|
Teachers Insurance & Annuity Association of America
|
||
|
4.90%, 9/15/2044 (a)
|
486
|
427
|
|
4.27%, 5/15/2047 (a)
|
777
|
614
|
|
|
|
61,481
|
|
Interactive Media & Services — 0.1%
|
||
|
Meta Platforms, Inc.
|
||
|
5.60%, 5/15/2053
|
13,747
|
13,446
|
|
5.40%, 8/15/2054
|
9,370
|
8,895
|
|
Snap, Inc. 6.88%, 3/1/2033 (a)
|
828
|
839
|
|
|
|
23,180
|
|
IT Services — 0.1%
|
||
|
Accenture Capital, Inc. 4.50%, 10/4/2034
|
5,345
|
5,135
|
|
CGI, Inc. (Canada) 1.45%, 9/14/2026
|
3,626
|
3,483
|
|
CoreWeave, Inc. 9.25%, 6/1/2030 (a)
|
1,750
|
1,748
|
|
Identity Digital Ltd. (Ireland) 6.79%, 3/20/2065 ‡
|
23,800
|
23,800
|
|
|
|
34,166
|
|
Leisure Products — 0.0% ^
|
||
|
Amer Sports Co. (Finland) 6.75%, 2/16/2031 (a)
|
3,855
|
3,980
|
|
Machinery — 0.1%
|
||
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a)
|
8,179
|
8,537
|
|
Esab Corp. 6.25%, 4/15/2029 (a)
|
2,335
|
2,374
|
|
Hillenbrand, Inc.
|
||
|
6.25%, 2/15/2029
|
1,255
|
1,259
|
|
3.75%, 3/1/2031
|
4,565
|
4,003
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Machinery — continued
|
||
|
Parker-Hannifin Corp.
|
||
|
4.25%, 9/15/2027
|
680
|
679
|
|
6.25%, 5/15/2038
|
428
|
460
|
|
Terex Corp.
|
||
|
5.00%, 5/15/2029 (a)
|
950
|
916
|
|
6.25%, 10/15/2032 (a)
|
1,542
|
1,516
|
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (a)
|
3,520
|
3,658
|
|
|
|
23,402
|
|
Marine Transportation — 0.0% ^
|
||
|
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a)
|
2,008
|
1,922
|
|
Media — 0.9%
|
||
|
Charter Communications Operating LLC
|
||
|
2.25%, 1/15/2029
|
2,277
|
2,082
|
|
2.80%, 4/1/2031
|
4,175
|
3,666
|
|
6.55%, 6/1/2034
|
10,860
|
11,361
|
|
3.50%, 6/1/2041
|
3,466
|
2,436
|
|
3.50%, 3/1/2042
|
5,772
|
3,992
|
|
3.70%, 4/1/2051
|
3,107
|
2,000
|
|
3.90%, 6/1/2052
|
1,651
|
1,090
|
|
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a)
|
8,147
|
7,970
|
|
Comcast Corp.
|
||
|
1.95%, 1/15/2031
|
3,951
|
3,420
|
|
5.30%, 6/1/2034
|
3,540
|
3,573
|
|
4.40%, 8/15/2035
|
3,738
|
3,489
|
|
3.90%, 3/1/2038
|
12,124
|
10,265
|
|
3.25%, 11/1/2039
|
10,222
|
7,819
|
|
3.97%, 11/1/2047
|
1,083
|
812
|
|
4.00%, 3/1/2048
|
4,990
|
3,751
|
|
4.00%, 11/1/2049
|
132
|
98
|
|
3.45%, 2/1/2050
|
4,085
|
2,740
|
|
2.80%, 1/15/2051
|
11,050
|
6,471
|
|
2.89%, 11/1/2051
|
1,968
|
1,168
|
|
5.35%, 5/15/2053
|
15,813
|
14,317
|
|
2.94%, 11/1/2056
|
36,233
|
20,718
|
|
2.99%, 11/1/2063
|
1,152
|
634
|
|
CSC Holdings LLC
|
||
|
5.38%, 2/1/2028 (a)
|
3,678
|
3,354
|
|
4.50%, 11/15/2031 (a)
|
2,571
|
1,738
|
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
4,422
|
4,353
|
|
DISH DBS Corp.
|
||
|
5.25%, 12/1/2026 (a)
|
6,014
|
5,551
|
|
5.75%, 12/1/2028 (a)
|
1,782
|
1,508
|
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
4,607
|
4,753
|
|
EchoStar Corp. 10.75%, 11/30/2029
|
1,330
|
1,337
|
|
Gray Media, Inc.
|
||
|
10.50%, 7/15/2029 (a)
|
1,765
|
1,877
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
4.75%, 10/15/2030 (a)
|
2,049
|
1,483
|
|
5.38%, 11/15/2031 (a)
|
2,114
|
1,509
|
|
iHeartCommunications, Inc.
|
||
|
9.13%, 5/1/2029 (a)
|
3,449
|
2,854
|
|
10.88%, 5/1/2030 (a)
|
4,416
|
2,160
|
|
7.75%, 8/15/2030 (a)
|
3,766
|
2,900
|
|
Lamar Media Corp. 4.00%, 2/15/2030
|
5,243
|
4,941
|
|
Nexstar Media, Inc.
|
||
|
5.63%, 7/15/2027 (a)
|
7,491
|
7,461
|
|
4.75%, 11/1/2028 (a)
|
1,369
|
1,317
|
|
Outfront Media Capital LLC 5.00%, 8/15/2027 (a)
|
1,889
|
1,865
|
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
4,393
|
3,756
|
|
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
1,209
|
1,025
|
|
Sinclair Television Group, Inc. 4.38%, 12/31/2032 (a)
|
4,757
|
3,435
|
|
Sirius XM Radio LLC
|
||
|
4.00%, 7/15/2028 (a)
|
10,513
|
9,976
|
|
5.50%, 7/1/2029 (a)
|
11,479
|
11,291
|
|
4.13%, 7/1/2030 (a)
|
2,672
|
2,428
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
5,660
|
5,322
|
|
TEGNA, Inc.
|
||
|
4.63%, 3/15/2028
|
3,801
|
3,685
|
|
5.00%, 9/15/2029
|
4,969
|
4,733
|
|
|
|
210,484
|
|
Metals & Mining — 0.4%
|
||
|
Alumina Pty. Ltd.
|
||
|
6.13%, 3/15/2030 (a)
|
923
|
924
|
|
6.38%, 9/15/2032 (a)
|
2,069
|
2,046
|
|
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033
|
1,942
|
1,926
|
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
2,778
|
2,798
|
|
Carpenter Technology Corp. 6.38%, 7/15/2028
|
4,422
|
4,440
|
|
Cleveland-Cliffs, Inc.
|
||
|
5.88%, 6/1/2027
|
3,585
|
3,531
|
|
4.63%, 3/1/2029 (a)
|
2,799
|
2,502
|
|
6.75%, 4/15/2030 (a)
|
2,500
|
2,244
|
|
7.50%, 9/15/2031 (a)
|
955
|
859
|
|
Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (a)
|
3,794
|
3,877
|
|
Freeport-McMoRan, Inc. 4.63%, 8/1/2030
|
8,251
|
8,101
|
|
Glencore Finance Canada Ltd. (Australia) 6.90%, 11/15/2037 (a)
|
98
|
106
|
|
Glencore Funding LLC (Australia)
|
||
|
3.88%, 10/27/2027 (a)
|
3,883
|
3,807
|
|
5.19%, 4/1/2030 (a)
|
3,770
|
3,813
|
|
2.50%, 9/1/2030 (a)
|
850
|
754
|
|
2.85%, 4/27/2031 (a)
|
8,941
|
7,925
|
|
2.63%, 9/23/2031 (a)
|
8,632
|
7,459
|
|
5.63%, 4/4/2034 (a)
|
25,200
|
25,345
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Metals & Mining — continued
|
||
|
Rio Tinto Finance USA Ltd. (Australia) 5.20%, 11/2/2040
|
1,942
|
1,865
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
2,578
|
2,601
|
|
|
|
86,923
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.7%
|
||
|
Arbor Realty SR, Inc. Series QIB, 9.00%, 10/15/2027 (a)
|
13,250
|
12,758
|
|
Arbor Realty Trust, Inc.
|
||
|
5.00%, 4/30/2026
|
4,854
|
4,705
|
|
Series QIB, 4.50%, 9/1/2026 (a)
|
18,930
|
17,997
|
|
Series QIB, 4.50%, 3/15/2027 (a)
|
29,123
|
26,953
|
|
Great Ajax Operating Partnership LP Series QIB, 9.88%, 9/1/2027 (a) (g)
|
28,328
|
27,716
|
|
ReadyCap Holdings LLC
|
||
|
Series QIB, 4.50%, 10/20/2026 (a)
|
25,000
|
23,670
|
|
Series QIB, 9.38%, 3/1/2028 (a)
|
37,000
|
36,958
|
|
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a)
|
4,625
|
4,808
|
|
|
|
155,565
|
|
Multi-Utilities — 0.5%
|
||
|
Ameren Corp. 3.50%, 1/15/2031
|
2,321
|
2,163
|
|
Ameren Illinois Co.
|
||
|
4.95%, 6/1/2033
|
6,416
|
6,398
|
|
3.25%, 3/15/2050
|
3,835
|
2,511
|
|
5.55%, 7/1/2054
|
3,600
|
3,425
|
|
Berkshire Hathaway Energy Co.
|
||
|
6.13%, 4/1/2036
|
1,310
|
1,376
|
|
2.85%, 5/15/2051
|
7,514
|
4,426
|
|
4.60%, 5/1/2053
|
1,160
|
938
|
|
Consolidated Edison Co. of New York, Inc.
|
||
|
Series 06-E, 5.70%, 12/1/2036
|
389
|
396
|
|
Series 2017, 3.88%, 6/15/2047
|
1,238
|
927
|
|
Series E, 4.65%, 12/1/2048
|
1,651
|
1,375
|
|
4.50%, 5/15/2058
|
785
|
610
|
|
Consumers Energy Co.
|
||
|
4.63%, 5/15/2033
|
4,626
|
4,503
|
|
4.35%, 4/15/2049
|
486
|
401
|
|
4.35%, 8/31/2064
|
477
|
360
|
|
Dominion Energy, Inc.
|
||
|
Series F, 5.25%, 8/1/2033
|
763
|
755
|
|
7.00%, 6/15/2038
|
389
|
431
|
|
Series C, 4.90%, 8/1/2041
|
45
|
39
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (c)
|
2,750
|
2,890
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (c)
|
4,220
|
4,372
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.21%), 6.63%, 5/15/2055 (c)
|
13,230
|
13,245
|
|
DTE Energy Co. 5.10%, 3/1/2029
|
2,800
|
2,839
|
|
National Grid plc (United Kingdom) 5.42%, 1/11/2034
|
1,800
|
1,814
|
|
NiSource, Inc.
|
||
|
5.20%, 7/1/2029
|
4,050
|
4,126
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (c)
|
657
|
672
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — continued
|
||
|
Public Service Enterprise Group, Inc. 5.45%, 4/1/2034
|
1,140
|
1,150
|
|
Puget Sound Energy, Inc.
|
||
|
5.76%, 7/15/2040
|
874
|
858
|
|
2.89%, 9/15/2051
|
1,282
|
768
|
|
5.69%, 6/15/2054
|
14,682
|
14,020
|
|
San Diego Gas & Electric Co.
|
||
|
Series XXX, 3.00%, 3/15/2032
|
4,854
|
4,272
|
|
6.00%, 6/1/2039
|
486
|
501
|
|
4.50%, 8/15/2040
|
242
|
211
|
|
Series UUU, 3.32%, 4/15/2050
|
4,641
|
3,017
|
|
5.35%, 4/1/2053
|
1,059
|
958
|
|
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%,
10/1/2054 (c)
|
11,580
|
11,290
|
|
Southern Co. Gas Capital Corp. Series 21A, 3.15%, 9/30/2051
|
9,888
|
6,098
|
|
|
|
104,135
|
|
Office REITs — 0.0% ^
|
||
|
COPT Defense Properties LP 2.25%, 3/15/2026
|
1,505
|
1,473
|
|
Oil, Gas & Consumable Fuels — 3.6%
|
||
|
AI Candelaria -spain- SA (Colombia) 7.50%, 12/15/2028 (i)
|
803
|
789
|
|
Aker BP ASA (Norway) 5.80%, 10/1/2054 (a)
|
2,560
|
2,241
|
|
Antero Midstream Partners LP
|
||
|
5.75%, 1/15/2028 (a)
|
3,200
|
3,188
|
|
5.38%, 6/15/2029 (a)
|
4,996
|
4,945
|
|
Antero Resources Corp. 7.63%, 2/1/2029 (a)
|
5,289
|
5,414
|
|
Ascent Resources Utica Holdings LLC
|
||
|
8.25%, 12/31/2028 (a)
|
5,880
|
5,969
|
|
6.63%, 10/15/2032 (a)
|
1,135
|
1,142
|
|
Baytex Energy Corp. (Canada) 8.50%, 4/30/2030 (a)
|
5,036
|
4,880
|
|
Blue Racer Midstream LLC
|
||
|
6.63%, 7/15/2026 (a)
|
3,170
|
3,178
|
|
7.00%, 7/15/2029 (a)
|
1,401
|
1,447
|
|
7.25%, 7/15/2032 (a)
|
976
|
1,012
|
|
BP Capital Markets America, Inc.
|
||
|
4.81%, 2/13/2033
|
4,476
|
4,393
|
|
4.89%, 9/11/2033
|
3,466
|
3,407
|
|
5.23%, 11/17/2034
|
11,245
|
11,197
|
|
3.00%, 2/24/2050
|
5,102
|
3,198
|
|
2.77%, 11/10/2050
|
3,971
|
2,352
|
|
2.94%, 6/4/2051
|
5,194
|
3,163
|
|
3.00%, 3/17/2052
|
2,952
|
1,803
|
|
BP Capital Markets plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 4.04%), 4.38%, 6/22/2025 (c) (d)
(e)
|
2,246
|
2,237
|
|
Buckeye Partners LP 4.13%, 12/1/2027
|
2,156
|
2,098
|
|
California Resources Corp. 7.13%, 2/1/2026 (a)
|
500
|
500
|
|
Cheniere Energy Partners LP
|
||
|
4.50%, 10/1/2029
|
20,222
|
19,798
|
|
4.00%, 3/1/2031
|
8,788
|
8,234
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.75%, 8/15/2034
|
29,095
|
29,199
|
|
Chord Energy Corp. 6.75%, 3/15/2033 (a)
|
2,670
|
2,651
|
|
Civitas Resources, Inc.
|
||
|
8.38%, 7/1/2028 (a)
|
4,151
|
4,182
|
|
8.63%, 11/1/2030 (a)
|
3,840
|
3,787
|
|
8.75%, 7/1/2031 (a)
|
6,940
|
6,785
|
|
Columbia Pipelines Holding Co. LLC 5.10%, 10/1/2031 (a)
|
3,700
|
3,628
|
|
Columbia Pipelines Operating Co. LLC
|
||
|
6.04%, 11/15/2033 (a)
|
17,257
|
17,763
|
|
6.50%, 8/15/2043 (a)
|
2,890
|
2,904
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (a)
|
6,693
|
6,597
|
|
ConocoPhillips Co.
|
||
|
5.00%, 1/15/2035
|
15,185
|
14,830
|
|
5.55%, 3/15/2054
|
17,910
|
16,627
|
|
Coterra Energy, Inc.
|
||
|
3.90%, 5/15/2027
|
2,825
|
2,782
|
|
5.40%, 2/15/2035
|
10,510
|
10,191
|
|
5.90%, 2/15/2055
|
8,000
|
7,212
|
|
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a)
|
8,385
|
8,658
|
|
Diamondback Energy, Inc. 4.40%, 3/24/2051
|
5,083
|
3,801
|
|
Diversified Gas & Oil Corp. 9.75%, 4/9/2029 (i)
|
50,750
|
48,825
|
|
DT Midstream, Inc.
|
||
|
4.13%, 6/15/2029 (a)
|
4,061
|
3,868
|
|
4.38%, 6/15/2031 (a)
|
2,602
|
2,430
|
|
Eastern Energy Gas Holdings LLC 5.65%, 10/15/2054
|
11,180
|
10,306
|
|
Ecopetrol SA (Colombia)
|
||
|
8.63%, 1/19/2029
|
2,100
|
2,203
|
|
8.38%, 1/19/2036
|
1,912
|
1,818
|
|
Enbridge, Inc. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 4.43%), 8.50%, 1/15/2084 (c)
|
9,057
|
9,828
|
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a)
|
1,961
|
2,011
|
|
Energy Transfer LP
|
||
|
5.25%, 7/1/2029
|
6,650
|
6,759
|
|
5.80%, 6/15/2038
|
5,660
|
5,542
|
|
5.00%, 5/15/2050
|
4,854
|
3,924
|
|
Eni SpA (Italy)
|
||
|
5.75%, 5/19/2035 (a)
|
9,430
|
9,443
|
|
5.95%, 5/15/2054 (a)
|
16,608
|
15,542
|
|
Eni USA, Inc. (Italy) 7.30%, 11/15/2027
|
486
|
515
|
|
Enterprise Products Operating LLC
|
||
|
Series H, 6.65%, 10/15/2034
|
4,610
|
5,012
|
|
Series J, 5.75%, 3/1/2035
|
777
|
793
|
|
5.55%, 2/16/2055
|
13,255
|
12,368
|
|
Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (c)
|
1,457
|
1,434
|
|
EQT Corp. 4.75%, 1/15/2031 (a)
|
14,637
|
14,160
|
|
Expand Energy Corp.
|
||
|
5.38%, 2/1/2029
|
2,501
|
2,493
|
|
6.75%, 4/15/2029 (a)
|
10,284
|
10,405
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.38%, 3/15/2030
|
2,938
|
2,922
|
|
4.75%, 2/1/2032
|
34,614
|
32,631
|
|
Exxon Mobil Corp. 3.00%, 8/16/2039
|
1,555
|
1,191
|
|
Flex Intermediate Holdco LLC
|
||
|
3.36%, 6/30/2031 (a)
|
924
|
808
|
|
4.32%, 12/30/2039 (a)
|
1,243
|
951
|
|
FS Luxembourg Sarl (Brazil) 8.88%, 2/12/2031 (a)
|
2,997
|
3,027
|
|
Genesis Energy LP 7.75%, 2/1/2028
|
4,831
|
4,873
|
|
Gray Oak Pipeline LLC
|
||
|
2.60%, 10/15/2025 (a)
|
1,798
|
1,775
|
|
3.45%, 10/15/2027 (a)
|
1,423
|
1,383
|
|
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a)
|
1,916
|
1,875
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (a)
|
2,054
|
2,084
|
|
Harvest Midstream I LP 7.50%, 5/15/2032 (a)
|
3,330
|
3,421
|
|
Hess Corp.
|
||
|
4.30%, 4/1/2027
|
11,740
|
11,693
|
|
5.60%, 2/15/2041
|
9,900
|
9,596
|
|
Hess Midstream Operations LP
|
||
|
5.88%, 3/1/2028 (a)
|
1,396
|
1,410
|
|
5.50%, 10/15/2030 (a)
|
2,015
|
1,992
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (a)
|
9,460
|
9,037
|
|
Kinder Morgan, Inc.
|
||
|
5.15%, 6/1/2030
|
5,160
|
5,208
|
|
5.05%, 2/15/2046
|
3,350
|
2,861
|
|
3.25%, 8/1/2050
|
5,524
|
3,430
|
|
Kinetik Holdings LP
|
||
|
6.63%, 12/15/2028 (a)
|
7,264
|
7,408
|
|
5.88%, 6/15/2030 (a)
|
20,881
|
20,757
|
|
Matador Resources Co.
|
||
|
6.88%, 4/15/2028 (a)
|
220
|
223
|
|
6.50%, 4/15/2032 (a)
|
3,510
|
3,437
|
|
6.25%, 4/15/2033 (a)
|
2,347
|
2,261
|
|
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a)
|
1,614
|
1,606
|
|
MPLX LP
|
||
|
5.20%, 3/1/2047
|
314
|
268
|
|
4.95%, 3/14/2052
|
1,219
|
984
|
|
NGL Energy Operating LLC
|
||
|
8.13%, 2/15/2029 (a)
|
1,935
|
1,891
|
|
8.38%, 2/15/2032 (a)
|
1,935
|
1,830
|
|
NGPL PipeCo LLC 3.25%, 7/15/2031 (a)
|
3,030
|
2,649
|
|
NuStar Logistics LP
|
||
|
5.63%, 4/28/2027
|
3,651
|
3,660
|
|
6.38%, 10/1/2030
|
647
|
659
|
|
ONEOK Partners LP 6.65%, 10/1/2036
|
1,423
|
1,495
|
|
ONEOK, Inc.
|
||
|
6.50%, 9/1/2030 (a)
|
10,152
|
10,736
|
|
4.75%, 10/15/2031
|
7,170
|
6,999
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.60%, 4/1/2044
|
9,205
|
8,213
|
|
ORLEN SA (Poland) 6.00%, 1/30/2035 (a)
|
4,601
|
4,641
|
|
Ovintiv, Inc. 6.25%, 7/15/2033
|
5,620
|
5,628
|
|
Permian Resources Operating LLC
|
||
|
5.88%, 7/1/2029 (a)
|
5,945
|
5,872
|
|
9.88%, 7/15/2031 (a)
|
1,222
|
1,335
|
|
7.00%, 1/15/2032 (a)
|
1,950
|
2,000
|
|
6.25%, 2/1/2033 (a)
|
1,655
|
1,633
|
|
Petroleos Mexicanos (Mexico)
|
||
|
6.88%, 8/4/2026
|
2,524
|
2,501
|
|
5.35%, 2/12/2028
|
3,160
|
2,983
|
|
6.84%, 1/23/2030
|
4,300
|
4,020
|
|
5.95%, 1/28/2031
|
3,398
|
2,937
|
|
6.70%, 2/16/2032
|
2,475
|
2,210
|
|
10.00%, 2/7/2033
|
7,907
|
8,152
|
|
7.69%, 1/23/2050
|
1,505
|
1,108
|
|
Pioneer Natural Resources Co. 1.90%, 8/15/2030
|
23,833
|
20,870
|
|
Raizen Fuels Finance SA (Brazil)
|
||
|
6.45%, 3/5/2034 (a)
|
1,754
|
1,736
|
|
5.70%, 1/17/2035 (a)
|
6,228
|
5,770
|
|
Range Resources Corp. 8.25%, 1/15/2029
|
5,886
|
6,046
|
|
Rockies Express Pipeline LLC
|
||
|
4.95%, 7/15/2029 (a)
|
3,070
|
2,965
|
|
4.80%, 5/15/2030 (a)
|
2,250
|
2,125
|
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
14,148
|
13,939
|
|
Shell Finance US, Inc. 4.00%, 5/10/2046
|
2,913
|
2,268
|
|
SM Energy Co.
|
||
|
6.75%, 9/15/2026
|
4,864
|
4,856
|
|
6.63%, 1/15/2027
|
1,256
|
1,257
|
|
6.75%, 8/1/2029 (a)
|
1,687
|
1,653
|
|
7.00%, 8/1/2032 (a)
|
1,446
|
1,388
|
|
South Bow USA Infrastructure Holdings LLC (Canada)
|
||
|
4.91%, 9/1/2027 (a)
|
8,250
|
8,256
|
|
5.03%, 10/1/2029 (a)
|
4,925
|
4,884
|
|
Sunoco LP
|
||
|
6.00%, 4/15/2027
|
1,491
|
1,490
|
|
7.00%, 5/1/2029 (a)
|
1,222
|
1,261
|
|
4.50%, 5/15/2029
|
3,662
|
3,508
|
|
7.25%, 5/1/2032 (a)
|
3,235
|
3,364
|
|
Tallgrass Energy Partners LP
|
||
|
6.00%, 3/1/2027 (a)
|
3,607
|
3,602
|
|
5.50%, 1/15/2028 (a)
|
4,820
|
4,790
|
|
TotalEnergies Capital International SA (France)
|
||
|
3.46%, 7/12/2049
|
4,998
|
3,419
|
|
3.13%, 5/29/2050
|
6,549
|
4,199
|
|
TotalEnergies Capital SA (France)
|
||
|
5.49%, 4/5/2054
|
5,910
|
5,516
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.28%, 9/10/2054
|
6,340
|
5,758
|
|
5.64%, 4/5/2064
|
14,350
|
13,410
|
|
TransCanada PipeLines Ltd. (Canada)
|
||
|
4.63%, 3/1/2034
|
11,000
|
10,357
|
|
5.85%, 3/15/2036
|
800
|
813
|
|
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a)
|
6,174
|
5,738
|
|
Venture Global LNG, Inc.
|
||
|
8.13%, 6/1/2028 (a)
|
6,172
|
6,316
|
|
9.50%, 2/1/2029 (a)
|
8,750
|
9,355
|
|
7.00%, 1/15/2030 (a)
|
2,310
|
2,300
|
|
8.38%, 6/1/2031 (a)
|
4,854
|
4,927
|
|
9.88%, 2/1/2032 (a)
|
3,150
|
3,351
|
|
Vital Energy, Inc.
|
||
|
9.75%, 10/15/2030
|
1,566
|
1,380
|
|
7.88%, 4/15/2032 (a)
|
2,045
|
1,659
|
|
Williams Cos., Inc. (The)
|
||
|
4.80%, 11/15/2029
|
3,410
|
3,429
|
|
4.65%, 8/15/2032
|
6,850
|
6,629
|
|
5.80%, 11/15/2054
|
11,000
|
10,411
|
|
|
|
825,120
|
|
Passenger Airlines — 0.1%
|
||
|
American Airlines, Inc.
|
||
|
5.50%, 4/20/2026 (a)
|
2,811
|
2,806
|
|
7.25%, 2/15/2028 (a)
|
775
|
783
|
|
5.75%, 4/20/2029 (a)
|
11,256
|
11,054
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (a)
|
3,950
|
3,907
|
|
United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028
|
3,727
|
3,432
|
|
United Airlines, Inc. 4.63%, 4/15/2029 (a)
|
4,915
|
4,668
|
|
|
|
26,650
|
|
Personal Care Products — 0.0% ^
|
||
|
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)
|
4,937
|
4,854
|
|
Haleon US Capital LLC 3.38%, 3/24/2027
|
2,616
|
2,572
|
|
Perrigo Finance Unlimited Co. Series USD, 6.13%, 9/30/2032
|
3,168
|
3,162
|
|
|
|
10,588
|
|
Pharmaceuticals — 0.5%
|
||
|
1261229 BC Ltd. 10.00%, 4/15/2032 (a)
|
4,994
|
4,944
|
|
Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a)
|
1,678
|
1,653
|
|
Bausch Health Cos., Inc. 4.88%, 6/1/2028 (a)
|
2,228
|
1,819
|
|
Bristol-Myers Squibb Co.
|
||
|
5.20%, 2/22/2034
|
12,910
|
13,009
|
|
4.13%, 6/15/2039
|
5,823
|
5,052
|
|
2.35%, 11/13/2040
|
3,883
|
2,592
|
|
3.70%, 3/15/2052
|
6,576
|
4,651
|
|
5.55%, 2/22/2054
|
30,105
|
28,588
|
|
3.90%, 3/15/2062
|
3,680
|
2,559
|
|
6.40%, 11/15/2063
|
640
|
674
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Pharmaceuticals — continued
|
||
|
5.65%, 2/22/2064
|
10,635
|
10,056
|
|
Eli Lilly & Co.
|
||
|
5.00%, 2/9/2054
|
5,750
|
5,218
|
|
4.95%, 2/27/2063
|
2,400
|
2,113
|
|
Merck & Co., Inc.
|
||
|
4.00%, 3/7/2049
|
2,110
|
1,639
|
|
2.90%, 12/10/2061
|
2,340
|
1,322
|
|
Organon & Co.
|
||
|
4.13%, 4/30/2028 (a)
|
3,906
|
3,669
|
|
5.13%, 4/30/2031 (a)
|
4,095
|
3,441
|
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (h)
|
4,135
|
—
|
|
Pfizer Investment Enterprises Pte. Ltd.
|
||
|
4.75%, 5/19/2033
|
5,034
|
4,950
|
|
5.30%, 5/19/2053
|
5,170
|
4,739
|
|
Pfizer, Inc.
|
||
|
4.10%, 9/15/2038
|
2,913
|
2,556
|
|
3.90%, 3/15/2039
|
2,874
|
2,440
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 3.18%, 7/9/2050
|
5,254
|
3,330
|
|
Wyeth LLC 5.95%, 4/1/2037
|
1,068
|
1,119
|
|
Zoetis, Inc.
|
||
|
2.00%, 5/15/2030
|
1,942
|
1,724
|
|
5.60%, 11/16/2032
|
1,870
|
1,950
|
|
|
|
115,807
|
|
Real Estate Management & Development — 0.0% ^
|
||
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a)
|
603
|
594
|
|
Triad Properties Corp. 10.50%, 4/1/2052 ‡
|
3,150
|
3,150
|
|
|
|
3,744
|
|
Residential REITs — 0.1%
|
||
|
Camden Property Trust 3.15%, 7/1/2029
|
2,869
|
2,720
|
|
ERP Operating LP 2.85%, 11/1/2026
|
2,913
|
2,851
|
|
Essex Portfolio LP
|
||
|
2.65%, 3/15/2032
|
3,160
|
2,709
|
|
5.50%, 4/1/2034
|
6,395
|
6,425
|
|
Mid-America Apartments LP 4.20%, 6/15/2028
|
1,258
|
1,248
|
|
UDR, Inc.
|
||
|
2.10%, 8/1/2032
|
923
|
748
|
|
1.90%, 3/15/2033
|
491
|
383
|
|
5.13%, 9/1/2034
|
2,020
|
1,969
|
|
|
|
19,053
|
|
Retail REITs — 0.1%
|
||
|
NNN REIT, Inc.
|
||
|
3.60%, 12/15/2026
|
921
|
906
|
|
4.30%, 10/15/2028
|
777
|
768
|
|
5.50%, 6/15/2034
|
1,200
|
1,201
|
|
3.50%, 4/15/2051
|
4,170
|
2,791
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Retail REITs — continued
|
||
|
Realty Income Corp.
|
||
|
3.25%, 1/15/2031
|
539
|
498
|
|
2.70%, 2/15/2032
|
4,675
|
4,066
|
|
1.80%, 3/15/2033
|
1,068
|
844
|
|
5.38%, 9/1/2054
|
2,560
|
2,398
|
|
Regency Centers LP 3.70%, 6/15/2030
|
3,743
|
3,583
|
|
Scentre Group Trust 1 (Australia) 3.25%, 10/28/2025 (a)
|
971
|
965
|
|
|
|
18,020
|
|
Semiconductors & Semiconductor Equipment — 0.3%
|
||
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
7,463
|
7,487
|
|
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a)
|
1,900
|
1,982
|
|
Broadcom, Inc. 3.14%, 11/15/2035 (a)
|
31,220
|
25,857
|
|
Entegris, Inc.
|
||
|
4.38%, 4/15/2028 (a)
|
2,242
|
2,165
|
|
5.95%, 6/15/2030 (a)
|
6,272
|
6,275
|
|
Foundry JV Holdco LLC 5.50%, 1/25/2031 (a)
|
4,720
|
4,781
|
|
KLA Corp. 3.30%, 3/1/2050
|
761
|
514
|
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
6,485
|
5,799
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
2,750
|
2,626
|
|
Texas Instruments, Inc.
|
||
|
3.88%, 3/15/2039
|
1,573
|
1,362
|
|
4.15%, 5/15/2048
|
292
|
233
|
|
5.05%, 5/18/2063
|
8,227
|
7,264
|
|
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031
|
6,873
|
6,077
|
|
|
|
72,422
|
|
Software — 0.6%
|
||
|
Cadence Design Systems, Inc. 4.30%, 9/10/2029
|
5,562
|
5,524
|
|
Elastic NV 4.13%, 7/15/2029 (a)
|
4,440
|
4,163
|
|
Fair Isaac Corp. 6.00%, 5/15/2033 (a)
|
1,146
|
1,144
|
|
Intuit, Inc. 5.20%, 9/15/2033
|
7,430
|
7,600
|
|
NCR Voyix Corp.
|
||
|
5.00%, 10/1/2028 (a)
|
5,387
|
5,313
|
|
5.13%, 4/15/2029 (a)
|
1,000
|
975
|
|
Oracle Corp.
|
||
|
2.30%, 3/25/2028
|
5,772
|
5,452
|
|
4.30%, 7/8/2034
|
551
|
512
|
|
3.90%, 5/15/2035
|
1,500
|
1,330
|
|
5.50%, 8/3/2035
|
21,398
|
21,497
|
|
3.85%, 7/15/2036
|
1,705
|
1,471
|
|
3.65%, 3/25/2041
|
3,350
|
2,572
|
|
4.13%, 5/15/2045
|
5,145
|
3,966
|
|
3.95%, 3/25/2051
|
1,418
|
1,014
|
|
5.38%, 9/27/2054
|
830
|
736
|
|
6.00%, 8/3/2055
|
27,380
|
26,546
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
4,715
|
4,980
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Software — continued
|
||
|
Roper Technologies, Inc.
|
||
|
1.75%, 2/15/2031
|
1,165
|
987
|
|
4.75%, 2/15/2032
|
2,620
|
2,592
|
|
4.90%, 10/15/2034
|
10,280
|
9,974
|
|
SS&C Technologies, Inc.
|
||
|
5.50%, 9/30/2027 (a)
|
3,049
|
3,046
|
|
6.50%, 6/1/2032 (a)
|
2,220
|
2,280
|
|
Synopsys, Inc.
|
||
|
5.00%, 4/1/2032
|
9,252
|
9,268
|
|
5.15%, 4/1/2035
|
2,539
|
2,510
|
|
5.70%, 4/1/2055
|
8,360
|
7,981
|
|
VMware LLC 4.65%, 5/15/2027
|
3,039
|
3,044
|
|
Workday, Inc. 3.70%, 4/1/2029
|
5,484
|
5,312
|
|
|
|
141,789
|
|
Specialized REITs — 0.1%
|
||
|
American Tower Corp. 1.45%, 9/15/2026
|
1,403
|
1,349
|
|
Extra Space Storage LP 2.20%, 10/15/2030
|
1,427
|
1,241
|
|
Iron Mountain, Inc.
|
||
|
4.88%, 9/15/2027 (a)
|
6,269
|
6,195
|
|
5.25%, 3/15/2028 (a)
|
962
|
951
|
|
4.88%, 9/15/2029 (a)
|
1,457
|
1,414
|
|
5.25%, 7/15/2030 (a)
|
2,515
|
2,454
|
|
6.25%, 1/15/2033 (a)
|
2,070
|
2,089
|
|
Public Storage Operating Co. 5.10%, 8/1/2033
|
4,280
|
4,340
|
|
SBA Communications Corp. 3.13%, 2/1/2029
|
5,306
|
4,936
|
|
|
|
24,969
|
|
Specialty Retail — 0.3%
|
||
|
Asbury Automotive Group, Inc.
|
||
|
4.50%, 3/1/2028
|
3,592
|
3,499
|
|
4.75%, 3/1/2030
|
1,199
|
1,139
|
|
AutoZone, Inc. 5.40%, 7/15/2034
|
1,920
|
1,935
|
|
Bath & Body Works, Inc.
|
||
|
7.50%, 6/15/2029
|
6,323
|
6,481
|
|
6.88%, 11/1/2035
|
1,753
|
1,765
|
|
6.75%, 7/1/2036
|
2,170
|
2,149
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡
|
354
|
—
(j)
|
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
5,427
|
4,956
|
|
Home Depot, Inc. (The)
|
||
|
4.95%, 6/25/2034
|
11,760
|
11,765
|
|
3.63%, 4/15/2052
|
2,585
|
1,831
|
|
3.50%, 9/15/2056
|
5,048
|
3,404
|
|
Lithia Motors, Inc.
|
||
|
4.63%, 12/15/2027 (a)
|
394
|
388
|
|
3.88%, 6/1/2029 (a)
|
3,005
|
2,830
|
|
4.38%, 1/15/2031 (a)
|
1,612
|
1,511
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Specialty Retail — continued
|
||
|
O'Reilly Automotive, Inc.
|
||
|
3.60%, 9/1/2027
|
180
|
177
|
|
1.75%, 3/15/2031
|
1,212
|
1,029
|
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
5,058
|
4,741
|
|
PetSmart, Inc. 4.75%, 2/15/2028 (a)
|
9,540
|
9,207
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
2,952
|
2,820
|
|
Staples, Inc. 12.75%, 1/15/2030 (a)
|
5,102
|
3,284
|
|
|
|
64,911
|
|
Technology Hardware, Storage & Peripherals — 0.1%
|
||
|
Apple, Inc.
|
||
|
3.75%, 11/13/2047
|
971
|
748
|
|
2.65%, 2/8/2051
|
4,385
|
2,660
|
|
2.70%, 8/5/2051
|
11,155
|
6,778
|
|
2.85%, 8/5/2061
|
5,325
|
3,116
|
|
Seagate HDD Cayman
|
||
|
4.09%, 6/1/2029
|
3,204
|
3,064
|
|
3.13%, 7/15/2029
|
2,141
|
1,927
|
|
4.13%, 1/15/2031
|
3,545
|
3,286
|
|
8.50%, 7/15/2031
|
2,456
|
2,623
|
|
9.63%, 12/1/2032
|
762
|
865
|
|
Xerox Holdings Corp. 8.88%, 11/30/2029 (a)
|
3,235
|
2,180
|
|
|
|
27,247
|
|
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
|
William Carter Co. (The) 5.63%, 3/15/2027 (a)
|
2,807
|
2,788
|
|
Tobacco — 0.6%
|
||
|
Altria Group, Inc.
|
||
|
2.45%, 2/4/2032
|
3,883
|
3,295
|
|
5.63%, 2/6/2035
|
7,990
|
8,021
|
|
3.40%, 2/4/2041
|
9,538
|
6,900
|
|
BAT Capital Corp. (United Kingdom)
|
||
|
3.56%, 8/15/2027
|
1,875
|
1,834
|
|
2.26%, 3/25/2028
|
267
|
251
|
|
4.39%, 8/15/2037
|
24,553
|
21,599
|
|
5.65%, 3/16/2052
|
6,410
|
5,798
|
|
Imperial Brands Finance plc (United Kingdom) 5.88%, 7/1/2034 (a)
|
27,669
|
27,823
|
|
Japan Tobacco, Inc. (Japan) 5.85%, 6/15/2035 (a)
|
5,490
|
5,661
|
|
Philip Morris International, Inc.
|
||
|
5.38%, 2/15/2033
|
9,368
|
9,552
|
|
5.63%, 9/7/2033
|
13,190
|
13,632
|
|
5.25%, 2/13/2034
|
13,569
|
13,654
|
|
4.38%, 11/15/2041
|
11,926
|
10,169
|
|
|
|
128,189
|
|
Trading Companies & Distributors — 0.2%
|
||
|
Herc Holdings, Inc. 5.50%, 7/15/2027 (a)
|
4,648
|
4,614
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
5,069
|
4,857
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Trading Companies & Distributors — continued
|
||
|
QXO Building Products, Inc. 6.75%, 4/30/2032 (a)
|
2,757
|
2,827
|
|
United Rentals North America, Inc.
|
||
|
4.88%, 1/15/2028
|
2,894
|
2,864
|
|
5.25%, 1/15/2030
|
4,025
|
4,000
|
|
4.00%, 7/15/2030
|
5,825
|
5,468
|
|
6.13%, 3/15/2034 (a)
|
3,965
|
4,019
|
|
WESCO Distribution, Inc.
|
||
|
7.25%, 6/15/2028 (a)
|
3,092
|
3,129
|
|
6.38%, 3/15/2029 (a)
|
4,002
|
4,085
|
|
6.63%, 3/15/2032 (a)
|
2,110
|
2,160
|
|
6.38%, 3/15/2033 (a)
|
930
|
947
|
|
|
|
38,970
|
|
Water Utilities — 0.0% ^
|
||
|
American Water Capital Corp.
|
||
|
3.45%, 6/1/2029
|
602
|
578
|
|
5.15%, 3/1/2034
|
3,400
|
3,396
|
|
|
|
3,974
|
|
Wireless Telecommunication Services — 0.2%
|
||
|
T-Mobile USA, Inc.
|
||
|
2.63%, 2/15/2029
|
11,295
|
10,507
|
|
3.38%, 4/15/2029
|
14,785
|
14,100
|
|
5.05%, 7/15/2033
|
2,300
|
2,280
|
|
3.40%, 10/15/2052
|
8,020
|
5,237
|
|
5.75%, 1/15/2054
|
3,020
|
2,896
|
|
5.50%, 1/15/2055
|
1,890
|
1,747
|
|
United States Cellular Corp. 6.70%, 12/15/2033
|
2,918
|
3,140
|
|
Vodafone Group plc (United Kingdom) 5.75%, 6/28/2054
|
5,200
|
4,868
|
|
|
|
44,775
|
|
Total Corporate Bonds
(Cost $7,214,670)
|
|
6,996,292
|
|
Mortgage-Backed Securities — 24.8%
|
||
|
FHLMC
|
|
|
|
Pool # 1G1861, ARM, 6.91%, 3/1/2036 (l)
|
11
|
11
|
|
Pool # 1J1380, ARM, 7.68%, 3/1/2036 (l)
|
4
|
5
|
|
Pool # 1J1393, ARM, 7.15%, 10/1/2036 (l)
|
11
|
12
|
|
Pool # 1Q0476, ARM, 7.36%, 10/1/2037 (l)
|
41
|
42
|
|
FHLMC Gold Pools, 15 Year Pool # J14494, 4.00%, 2/1/2026
|
20
|
20
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91025, 7.00%, 1/1/2027
|
7
|
7
|
|
Pool # G30591, 6.00%, 2/1/2028
|
58
|
59
|
|
Pool # D98914, 4.00%, 1/1/2032
|
1,021
|
1,014
|
|
Pool # G31099, 4.00%, 1/1/2038
|
5,225
|
5,124
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # C00496, 7.50%, 2/1/2027
|
—
|
—
|
|
Pool # G00747, 8.00%, 8/1/2027
|
4
|
4
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # D86005, 7.00%, 2/1/2028
|
1
|
1
|
|
Pool # G02210, 7.00%, 12/1/2028
|
8
|
8
|
|
Pool # C21930, 6.00%, 2/1/2029
|
3
|
3
|
|
Pool # C00785, 6.50%, 6/1/2029
|
3
|
3
|
|
Pool # A27201, 6.50%, 3/1/2032
|
16
|
17
|
|
Pool # A13067, 4.00%, 9/1/2033
|
14
|
14
|
|
Pool # G60154, 5.00%, 2/1/2034
|
4,240
|
4,274
|
|
Pool # G60214, 5.00%, 7/1/2035
|
4,239
|
4,252
|
|
Pool # C02641, 7.00%, 10/1/2036
|
12
|
13
|
|
Pool # C02660, 6.50%, 11/1/2036
|
24
|
25
|
|
Pool # G06172, 5.50%, 12/1/2038
|
539
|
548
|
|
Pool # G06576, 5.00%, 9/1/2040
|
2,509
|
2,514
|
|
Pool # A96733, 4.50%, 2/1/2041
|
4,399
|
4,321
|
|
Pool # G06493, 4.50%, 5/1/2041
|
204
|
200
|
|
Pool # G61864, 5.50%, 6/1/2041
|
1,971
|
2,014
|
|
Pool # Q05956, 4.50%, 2/1/2042
|
718
|
698
|
|
Pool # Q11285, 3.50%, 9/1/2042
|
1,812
|
1,681
|
|
Pool # Q12174, 3.50%, 10/1/2042
|
1,907
|
1,770
|
|
Pool # G07239, 3.00%, 12/1/2042
|
2,029
|
1,812
|
|
Pool # Q13796, 3.50%, 12/1/2042
|
2,989
|
2,774
|
|
Pool # Q15767, 3.00%, 2/1/2043
|
1,709
|
1,531
|
|
Pool # Q33869, 4.00%, 6/1/2045
|
1,715
|
1,589
|
|
Pool # G61462, 4.00%, 7/1/2045
|
7,600
|
7,232
|
|
Pool # Q37784, 3.50%, 12/1/2045
|
1,541
|
1,403
|
|
Pool # Q39092, 4.00%, 2/1/2046
|
1,970
|
1,846
|
|
Pool # Q39412, 3.50%, 3/1/2046
|
650
|
591
|
|
Pool # Q40797, 3.50%, 5/1/2046
|
2,838
|
2,582
|
|
Pool # Q40922, 3.50%, 6/1/2046
|
954
|
868
|
|
Pool # Q41602, 3.50%, 7/1/2046
|
356
|
324
|
|
Pool # Q42079, 3.50%, 7/1/2046
|
330
|
300
|
|
Pool # Q42657, 3.50%, 8/1/2046
|
4,185
|
3,806
|
|
Pool # Q42656, 4.00%, 8/1/2046
|
427
|
399
|
|
Pool # Q43241, 3.50%, 9/1/2046
|
3,736
|
3,396
|
|
Pool # Q43237, 4.00%, 9/1/2046
|
828
|
774
|
|
Pool # G61565, 4.50%, 4/1/2048
|
11,050
|
10,619
|
|
Pool # Z40179, 4.00%, 7/1/2048
|
4,530
|
4,234
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # G20027, 10.00%, 10/1/2030
|
—
|
—
|
|
Pool # B90491, 7.50%, 1/1/2032
|
45
|
46
|
|
Pool # U89009, 3.50%, 9/1/2032
|
195
|
191
|
|
Pool # WN1179, 3.85%, 9/1/2032
|
16,891
|
15,976
|
|
Pool # U80074, 3.50%, 10/1/2032
|
642
|
630
|
|
Pool # WA3237, 3.55%, 11/1/2032
|
14,383
|
13,389
|
|
Pool # WN1167, 4.17%, 10/1/2034
|
19,415
|
18,524
|
|
Pool # G20028, 7.50%, 12/1/2036
|
54
|
55
|
|
Pool # U90690, 3.50%, 6/1/2042
|
763
|
703
|
|
Pool # U90975, 4.00%, 6/1/2042
|
184
|
174
|
|
Pool # U90230, 4.50%, 9/1/2042
|
701
|
679
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # U90281, 4.00%, 10/1/2042
|
467
|
441
|
|
Pool # U92021, 5.00%, 9/1/2043
|
780
|
766
|
|
Pool # U99076, 4.50%, 12/1/2043
|
1,821
|
1,780
|
|
Pool # U99084, 4.50%, 2/1/2044
|
1,436
|
1,392
|
|
Pool # U92996, 3.50%, 6/1/2045
|
178
|
162
|
|
Pool # U93026, 3.50%, 7/1/2045
|
441
|
406
|
|
Pool # U99134, 4.00%, 1/1/2046
|
2,022
|
1,891
|
|
Pool # U93155, 3.50%, 5/1/2046
|
520
|
472
|
|
Pool # U93158, 3.50%, 6/1/2046
|
300
|
272
|
|
Pool # U93167, 3.50%, 7/1/2046
|
509
|
457
|
|
Pool # U93172, 3.50%, 7/1/2046
|
562
|
510
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # RA2008, 4.00%, 1/1/2050
|
6,836
|
6,341
|
|
Pool # SD8089, 2.50%, 7/1/2050
|
34,176
|
28,202
|
|
Pool # RA3605, 2.50%, 10/1/2050
|
62,399
|
51,547
|
|
Pool # RA5801, 2.50%, 9/1/2051
|
7,940
|
6,547
|
|
Pool # QC9443, 2.50%, 10/1/2051
|
17,730
|
14,630
|
|
Pool # RA6135, 2.50%, 10/1/2051
|
14,488
|
11,971
|
|
Pool # RA6350, 3.00%, 11/1/2051
|
7,472
|
6,415
|
|
Pool # SD2968, 2.00%, 12/1/2051
|
12,993
|
10,240
|
|
Pool # RA6459, 2.50%, 12/1/2051
|
12,024
|
9,804
|
|
Pool # QD4350, 3.00%, 1/1/2052
|
20,188
|
17,334
|
|
Pool # SD8190, 3.00%, 1/1/2052
|
10,448
|
8,919
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
22,454
|
18,537
|
|
Pool # RA6988, 3.00%, 3/1/2052
|
24,013
|
20,566
|
|
Pool # SD2301, 3.50%, 3/1/2052
|
20,787
|
18,565
|
|
Pool # SD7145, 2.50%, 4/1/2052
|
28,411
|
23,422
|
|
Pool # SD7554, 2.50%, 4/1/2052
|
15,656
|
12,954
|
|
Pool # RA7192, 3.50%, 4/1/2052
|
21,271
|
18,896
|
|
Pool # SD3015, 3.00%, 5/1/2052
|
32,479
|
27,682
|
|
Pool # RA7468, 4.00%, 6/1/2052
|
48,585
|
44,610
|
|
Pool # SD1293, 4.50%, 7/1/2052
|
20,010
|
18,921
|
|
Pool # SD1303, 4.50%, 7/1/2052
|
10,400
|
9,837
|
|
Pool # QE8091, 4.00%, 8/1/2052
|
28,142
|
25,843
|
|
Pool # SD1794, 4.50%, 8/1/2052
|
16,414
|
15,526
|
|
Pool # QF3378, 5.00%, 11/1/2052
|
12,165
|
11,855
|
|
Pool # QF3433, 5.00%, 11/1/2052
|
15,788
|
15,398
|
|
Pool # QF5369, 5.00%, 12/1/2052
|
16,129
|
15,731
|
|
Pool # RA8766, 5.00%, 3/1/2053
|
33,543
|
32,553
|
|
Pool # RJ1781, 6.00%, 6/1/2054
|
10,498
|
10,684
|
|
Pool # RJ2912, 5.50%, 11/1/2054
|
30,861
|
30,733
|
|
Pool # RJ2914, 5.50%, 11/1/2054
|
52,938
|
52,647
|
|
FNMA
|
|
|
|
Pool # 766610, ARM, 6.45%, 1/1/2034 (l)
|
9
|
9
|
|
Pool # 823660, ARM, 6.59%, 5/1/2035 (l)
|
36
|
37
|
|
Pool # 910181, ARM, 6.59%, 3/1/2037 (l)
|
10
|
10
|
|
Pool # 888304, ARM, 6.04%, 4/1/2037 (l)
|
1
|
1
|
|
Pool # 888750, ARM, 6.75%, 4/1/2037 (l)
|
14
|
14
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 948208, ARM, 6.11%, 7/1/2037 (l)
|
8
|
8
|
|
FNMA UMBS, 15 Year
|
|
|
|
Pool # 890231, 5.00%, 7/1/2025
|
1
|
1
|
|
Pool # CA4723, 3.50%, 11/1/2034
|
3,553
|
3,471
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # MA0602, 3.50%, 12/1/2030
|
55
|
54
|
|
Pool # BM3254, 4.00%, 1/1/2038
|
4,194
|
4,102
|
|
Pool # BM3566, 4.00%, 2/1/2038
|
4,410
|
4,331
|
|
Pool # CA1234, 4.00%, 2/1/2038
|
1,596
|
1,558
|
|
Pool # CA1238, 4.00%, 2/1/2038
|
1,683
|
1,644
|
|
Pool # FS0795, 3.00%, 1/1/2042
|
10,298
|
9,151
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 250854, 7.50%, 3/1/2027
|
—
|
—
|
|
Pool # 251569, 7.00%, 3/1/2028
|
—
|
—
|
|
Pool # 420165, 6.50%, 4/1/2028
|
10
|
10
|
|
Pool # 455598, 5.50%, 12/1/2028
|
1
|
1
|
|
Pool # 252570, 6.50%, 7/1/2029
|
4
|
4
|
|
Pool # 517679, 6.50%, 7/1/2029
|
17
|
18
|
|
Pool # 323866, 6.50%, 8/1/2029
|
4
|
4
|
|
Pool # 995656, 7.00%, 6/1/2033
|
49
|
51
|
|
Pool # AL6168, 5.00%, 9/1/2033
|
2,146
|
2,151
|
|
Pool # 725229, 6.00%, 3/1/2034
|
348
|
360
|
|
Pool # AA0918, 5.50%, 9/1/2034
|
68
|
69
|
|
Pool # 735503, 6.00%, 4/1/2035
|
35
|
37
|
|
Pool # 745948, 6.50%, 10/1/2036
|
6
|
6
|
|
Pool # AL0379, 8.00%, 12/1/2036
|
278
|
291
|
|
Pool # 995149, 6.50%, 10/1/2038
|
18
|
19
|
|
Pool # 995504, 7.50%, 11/1/2038
|
26
|
28
|
|
Pool # AC3237, 5.00%, 10/1/2039
|
233
|
233
|
|
Pool # AC4467, 4.50%, 12/1/2039
|
426
|
419
|
|
Pool # AE1526, 4.50%, 9/1/2040
|
696
|
683
|
|
Pool # AE3095, 4.50%, 9/1/2040
|
437
|
429
|
|
Pool # AE0681, 4.50%, 12/1/2040
|
1,727
|
1,695
|
|
Pool # AL0038, 5.00%, 2/1/2041
|
1,842
|
1,843
|
|
Pool # AX5292, 5.00%, 1/1/2042
|
8,162
|
8,166
|
|
Pool # BM1065, 5.50%, 2/1/2042
|
3,085
|
3,148
|
|
Pool # AL2059, 4.00%, 6/1/2042
|
6,264
|
5,962
|
|
Pool # AB7575, 3.00%, 1/1/2043
|
1,496
|
1,331
|
|
Pool # AR6380, 3.00%, 2/1/2043
|
2,001
|
1,786
|
|
Pool # 890564, 3.00%, 6/1/2043
|
2,592
|
2,307
|
|
Pool # AT5907, 4.00%, 6/1/2043
|
3,619
|
3,437
|
|
Pool # AS0214, 3.50%, 8/1/2043
|
4,203
|
3,879
|
|
Pool # AL6848, 5.00%, 6/1/2044
|
736
|
736
|
|
Pool # BA2343, 4.00%, 9/1/2045
|
1,929
|
1,802
|
|
Pool # BE5080, 3.50%, 4/1/2046
|
4,702
|
4,249
|
|
Pool # BA1210, 3.50%, 5/1/2046
|
541
|
491
|
|
Pool # BA7485, 3.50%, 6/1/2046
|
509
|
462
|
|
Pool # BC2969, 3.50%, 6/1/2046
|
406
|
368
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BD1371, 3.50%, 6/1/2046
|
169
|
153
|
|
Pool # BA7492, 4.00%, 6/1/2046
|
567
|
530
|
|
Pool # BC9368, 4.00%, 6/1/2046
|
2,322
|
2,161
|
|
Pool # BD1372, 4.00%, 6/1/2046
|
767
|
716
|
|
Pool # BD2956, 3.50%, 7/1/2046
|
4,093
|
3,716
|
|
Pool # BD5456, 3.50%, 8/1/2046
|
1,403
|
1,274
|
|
Pool # BM1169, 4.00%, 9/1/2046
|
6,868
|
6,471
|
|
Pool # BE0280, 3.50%, 10/1/2046
|
1,396
|
1,268
|
|
Pool # AS8335, 4.50%, 11/1/2046
|
3,636
|
3,500
|
|
Pool # FS0976, 2.50%, 3/1/2047
|
5,630
|
4,653
|
|
Pool # BM1906, 4.00%, 5/1/2047
|
4,211
|
3,950
|
|
Pool # AS9811, 5.00%, 6/1/2047
|
1,235
|
1,221
|
|
Pool # BH7565, 4.00%, 8/1/2047
|
8,423
|
7,862
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
3,298
|
3,135
|
|
Pool # CA0346, 4.50%, 9/1/2047
|
4,659
|
4,472
|
|
Pool # BH6687, 4.00%, 11/1/2047
|
962
|
898
|
|
Pool # BM3044, 4.00%, 11/1/2047
|
2,927
|
2,732
|
|
Pool # BE8347, 4.00%, 12/1/2047
|
499
|
466
|
|
Pool # BJ5254, 4.00%, 12/1/2047
|
2,754
|
2,569
|
|
Pool # BM3499, 4.00%, 12/1/2047
|
29,057
|
27,111
|
|
Pool # BH6689, 4.00%, 1/1/2048
|
781
|
728
|
|
Pool # BJ7311, 4.00%, 1/1/2048
|
13,238
|
12,355
|
|
Pool # BJ8238, 4.00%, 1/1/2048
|
4,700
|
4,386
|
|
Pool # BJ8265, 4.00%, 1/1/2048
|
2,450
|
2,284
|
|
Pool # BK1008, 4.00%, 1/1/2048
|
934
|
871
|
|
Pool # BJ4617, 4.00%, 2/1/2048
|
2,842
|
2,661
|
|
Pool # BJ5772, 4.00%, 2/1/2048
|
3,227
|
2,988
|
|
Pool # BK1581, 4.00%, 2/1/2048
|
505
|
471
|
|
Pool # FM0035, 3.50%, 3/1/2048
|
5,137
|
4,655
|
|
Pool # BJ5803, 4.00%, 3/1/2048
|
2,269
|
2,101
|
|
Pool # BK1963, 4.00%, 3/1/2048
|
2,081
|
1,948
|
|
Pool # BM3665, 4.00%, 3/1/2048
|
11,827
|
11,037
|
|
Pool # BJ5789, 4.50%, 3/1/2048
|
867
|
824
|
|
Pool # BE2789, 4.00%, 4/1/2048
|
818
|
757
|
|
Pool # CA1710, 4.50%, 5/1/2048
|
2,355
|
2,254
|
|
Pool # BK5943, 5.00%, 6/1/2048
|
595
|
592
|
|
Pool # BK4130, 4.50%, 7/1/2048
|
62
|
59
|
|
Pool # BK6562, 4.50%, 7/1/2048
|
1,144
|
1,091
|
|
Pool # BK6589, 4.50%, 7/1/2048
|
1,153
|
1,098
|
|
Pool # BN0133, 4.00%, 8/1/2048
|
1,415
|
1,320
|
|
Pool # BK9292, 5.00%, 8/1/2048
|
2,254
|
2,244
|
|
Pool # CA4662, 3.50%, 9/1/2048
|
4,912
|
4,411
|
|
Pool # BN1312, 4.00%, 9/1/2048
|
5,796
|
5,398
|
|
Pool # 890863, 5.00%, 9/1/2048
|
11,365
|
11,572
|
|
Pool # BN0234, 5.00%, 9/1/2048
|
1,173
|
1,168
|
|
Pool # MA3496, 4.50%, 10/1/2048
|
1,496
|
1,432
|
|
Pool # BN0861, 5.00%, 10/1/2048
|
897
|
881
|
|
Pool # BK9556, 4.00%, 12/1/2048
|
2,374
|
2,207
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BK1176, 5.00%, 1/1/2049
|
1,311
|
1,291
|
|
Pool # BK8748, 4.50%, 5/1/2049
|
3,991
|
3,801
|
|
Pool # BO2428, 3.50%, 7/1/2049
|
2,864
|
2,569
|
|
Pool # BO0592, 4.00%, 7/1/2049
|
531
|
493
|
|
Pool # CA5702, 2.50%, 5/1/2050
|
21,151
|
17,476
|
|
Pool # BP6439, 2.50%, 7/1/2050
|
39,191
|
31,996
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
20,415
|
16,926
|
|
Pool # CA6708, 2.50%, 8/1/2050
|
12,423
|
10,319
|
|
Pool # CA6989, 2.50%, 9/1/2050
|
24,211
|
20,045
|
|
Pool # CA7528, 2.50%, 10/1/2050
|
87,477
|
71,473
|
|
Pool # FM5179, 2.00%, 12/1/2050
|
22,031
|
17,399
|
|
Pool # FM5173, 2.50%, 12/1/2050
|
22,138
|
18,358
|
|
Pool # CA8862, 2.50%, 1/1/2051
|
20,833
|
17,306
|
|
Pool # FM5778, 2.50%, 2/1/2051
|
23,322
|
19,362
|
|
Pool # BR6358, 2.00%, 3/1/2051
|
8,481
|
6,660
|
|
Pool # BR4928, 2.00%, 4/1/2051
|
78,205
|
61,205
|
|
Pool # CB0189, 3.00%, 4/1/2051
|
5,303
|
4,553
|
|
Pool # CB0458, 2.50%, 5/1/2051
|
29,689
|
24,437
|
|
Pool # CB0674, 2.50%, 5/1/2051
|
20,295
|
16,729
|
|
Pool # FM7957, 2.50%, 7/1/2051
|
11,036
|
9,130
|
|
Pool # FS3615, 2.50%, 7/1/2051
|
8,204
|
6,779
|
|
Pool # FM8336, 2.50%, 8/1/2051
|
17,796
|
14,744
|
|
Pool # BT7165, 3.00%, 8/1/2051
|
5,419
|
4,653
|
|
Pool # BT7188, 3.00%, 8/1/2051
|
7,189
|
6,169
|
|
Pool # CB1411, 3.00%, 8/1/2051
|
22,092
|
18,969
|
|
Pool # BT4392, 2.50%, 9/1/2051 (k)
|
19,078
|
15,636
|
|
Pool # CB1789, 2.50%, 10/1/2051
|
32,104
|
26,407
|
|
Pool # CB1901, 2.50%, 10/1/2051
|
18,119
|
15,076
|
|
Pool # FM9195, 2.50%, 10/1/2051
|
10,233
|
8,408
|
|
Pool # FM9198, 2.50%, 11/1/2051
|
11,153
|
9,204
|
|
Pool # CB2093, 3.00%, 11/1/2051
|
45,984
|
39,484
|
|
Pool # CB2376, 2.50%, 12/1/2051
|
17,249
|
14,219
|
|
Pool # CB2410, 2.50%, 12/1/2051
|
8,191
|
6,719
|
|
Pool # CB2411, 2.50%, 12/1/2051
|
15,044
|
12,423
|
|
Pool # FS2559, 3.00%, 12/1/2051 (k)
|
6,771
|
5,814
|
|
Pool # FS4108, 4.00%, 12/1/2051
|
8,175
|
7,520
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
25,069
|
20,556
|
|
Pool # FS0196, 2.50%, 1/1/2052
|
27,877
|
22,729
|
|
Pool # FS8807, 3.00%, 1/1/2052
|
18,632
|
16,071
|
|
Pool # FS7409, 2.00%, 2/1/2052
|
41,780
|
33,122
|
|
Pool # BU1322, 2.50%, 2/1/2052
|
11,445
|
9,380
|
|
Pool # BV2784, 2.50%, 2/1/2052
|
8,610
|
7,045
|
|
Pool # CB2750, 2.50%, 2/1/2052
|
21,310
|
17,490
|
|
Pool # CB2869, 2.50%, 2/1/2052
|
31,769
|
25,979
|
|
Pool # FS5670, 2.50%, 2/1/2052
|
12,368
|
10,214
|
|
Pool # FS5986, 2.50%, 2/1/2052
|
8,691
|
7,180
|
|
Pool # MA4548, 2.50%, 2/1/2052
|
85,904
|
70,227
|
|
Pool # CB3031, 2.50%, 3/1/2052
|
38,130
|
31,224
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS4533, 2.50%, 3/1/2052
|
7,020
|
5,798
|
|
Pool # FS7150, 2.50%, 3/1/2052
|
50,808
|
41,858
|
|
Pool # FS0957, 3.00%, 3/1/2052
|
23,863
|
20,312
|
|
Pool # FS1954, 3.00%, 3/1/2052
|
24,096
|
20,930
|
|
Pool # FS7410, 2.00%, 4/1/2052
|
49,572
|
39,054
|
|
Pool # BV5360, 2.50%, 4/1/2052
|
32,139
|
26,308
|
|
Pool # FS5499, 2.50%, 4/1/2052
|
19,529
|
16,123
|
|
Pool # FS1538, 3.00%, 4/1/2052
|
62,254
|
53,453
|
|
Pool # CB3369, 3.50%, 4/1/2052
|
19,460
|
17,286
|
|
Pool # FS2707, 3.50%, 4/1/2052
|
16,790
|
15,017
|
|
Pool # CB3378, 4.00%, 4/1/2052
|
11,335
|
10,408
|
|
Pool # FS1255, 4.00%, 4/1/2052
|
7,924
|
7,390
|
|
Pool # CB3608, 3.50%, 5/1/2052
|
80,321
|
71,471
|
|
Pool # CB3677, 4.00%, 5/1/2052 (k)
|
25,880
|
23,764
|
|
Pool # FS3577, 3.00%, 7/1/2052
|
23,951
|
20,588
|
|
Pool # FS2588, 4.50%, 8/1/2052
|
42,657
|
40,349
|
|
Pool # FS3536, 4.50%, 8/1/2052
|
19,243
|
18,186
|
|
Pool # FA0839, 2.50%, 9/1/2052 (k)
|
16,180
|
13,292
|
|
Pool # FS3829, 4.50%, 9/1/2052
|
5,493
|
5,196
|
|
Pool # CB4624, 5.00%, 9/1/2052
|
21,354
|
20,769
|
|
Pool # CB4628, 5.00%, 9/1/2052
|
33,259
|
32,303
|
|
Pool # FS2982, 5.00%, 9/1/2052
|
15,428
|
14,996
|
|
Pool # BX0098, 5.00%, 10/1/2052
|
11,983
|
11,679
|
|
Pool # FS3457, 4.50%, 11/1/2052
|
23,881
|
22,571
|
|
Pool # BW1328, 5.00%, 11/1/2052
|
41,789
|
40,565
|
|
Pool # FS3428, 4.00%, 12/1/2052
|
22,890
|
21,111
|
|
Pool # CB5907, 5.50%, 3/1/2053
|
16,899
|
16,826
|
|
Pool # CB6314, 5.00%, 5/1/2053
|
14,508
|
14,102
|
|
Pool # BY4714, 5.00%, 6/1/2053
|
48,319
|
46,844
|
|
Pool # BY4776, 5.00%, 7/1/2053
|
42,051
|
40,768
|
|
Pool # BY7130, 6.00%, 9/1/2053
|
18,913
|
19,223
|
|
Pool # BY9849, 6.00%, 10/1/2053
|
11,107
|
11,289
|
|
FNMA, 30 Year Pool # CA2171, 4.00%, 8/1/2048
|
9,612
|
9,127
|
|
FNMA, Other
|
|
|
|
Pool # AM9942, 3.09%, 10/1/2025
|
10,678
|
10,599
|
|
Pool # AN0707, 3.13%, 2/1/2026
|
7,559
|
7,474
|
|
Pool # AN1222, 2.78%, 4/1/2026
|
6,795
|
6,687
|
|
Pool # AN1503, 2.62%, 5/1/2026
|
4,829
|
4,741
|
|
Pool # AN1221, 2.81%, 5/1/2026
|
3,883
|
3,819
|
|
Pool # AN1497, 2.61%, 6/1/2026
|
9,826
|
9,633
|
|
Pool # AN2689, 2.20%, 10/1/2026
|
5,499
|
5,332
|
|
Pool # AL6937, 3.79%, 12/1/2026 (l)
|
1,178
|
1,170
|
|
Pool # AN4917, 3.13%, 3/1/2027
|
12,369
|
12,115
|
|
Pool # BL3525, 2.60%, 9/1/2027
|
10,320
|
9,950
|
|
Pool # BL0497, 3.84%, 10/1/2027
|
4,397
|
4,350
|
|
Pool # AN1449, 2.97%, 4/1/2028
|
5,799
|
5,603
|
|
Pool # AN2005, 2.73%, 7/1/2028
|
9,363
|
8,936
|
|
Pool # 387807, 3.55%, 8/1/2028
|
6,949
|
6,804
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AN3685, 2.69%, 12/1/2028
|
14,635
|
13,901
|
|
Pool # AN4004, 3.27%, 12/1/2028
|
8,070
|
7,819
|
|
Pool # BL1040, 3.81%, 12/1/2028
|
15,532
|
15,271
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
282
|
276
|
|
Pool # AN4154, 3.17%, 1/1/2029
|
16,343
|
15,660
|
|
Pool # AN4349, 3.35%, 1/1/2029
|
8,038
|
7,791
|
|
Pool # AN4344, 3.37%, 1/1/2029
|
15,063
|
14,640
|
|
Pool # AN1872, 2.90%, 5/1/2029
|
3,279
|
3,112
|
|
Pool # BL3509, 2.66%, 8/1/2029
|
21,478
|
20,131
|
|
Pool # BL3491, 2.84%, 8/1/2029
|
15,435
|
14,551
|
|
Pool # BS6621, 3.50%, 9/1/2029
|
10,000
|
9,655
|
|
Pool # BS5424, 3.42%, 5/1/2030
|
12,563
|
11,998
|
|
Pool # 387883, 3.78%, 8/1/2030
|
15,715
|
15,234
|
|
Pool # BS5172, 2.59%, 9/1/2030
|
9,366
|
8,611
|
|
Pool # AN9293, 3.71%, 9/1/2030
|
24,332
|
23,520
|
|
Pool # BS5171, 2.51%, 10/1/2030
|
24,458
|
22,244
|
|
Pool # AN2308, 2.87%, 8/1/2031
|
7,335
|
6,781
|
|
Pool # AN2625, 2.50%, 10/1/2031
|
10,735
|
9,632
|
|
Pool # BS3695, 1.67%, 11/1/2031
|
24,318
|
20,380
|
|
Pool # BL3368, 2.84%, 11/1/2031
|
4,344
|
3,944
|
|
Pool # BZ2211, 3.90%, 11/1/2031
|
20,000
|
19,253
|
|
Pool # BM6857, 1.83%, 12/1/2031 (l)
|
34,721
|
29,605
|
|
Pool # BS4644, 1.99%, 1/1/2032
|
11,427
|
9,958
|
|
Pool # BS4654, 2.39%, 3/1/2032
|
7,384
|
6,487
|
|
Pool # BL6367, 1.82%, 4/1/2032
|
33,554
|
28,507
|
|
Pool # BL6302, 2.07%, 5/1/2032
|
14,715
|
12,437
|
|
Pool # BS5332, 3.09%, 5/1/2032
|
6,067
|
5,526
|
|
Pool # BS5452, 3.09%, 5/1/2032
|
23,025
|
20,724
|
|
Pool # BS5500, 3.13%, 5/1/2032
|
11,164
|
10,195
|
|
Pool # BS5440, 3.26%, 5/1/2032
|
14,265
|
13,134
|
|
Pool # AO7654, 3.50%, 5/1/2032
|
700
|
680
|
|
Pool # AO5230, 3.50%, 6/1/2032
|
399
|
389
|
|
Pool # AO7057, 3.50%, 6/1/2032
|
347
|
336
|
|
Pool # AO7746, 3.50%, 6/1/2032
|
82
|
79
|
|
Pool # BS5928, 3.63%, 6/1/2032
|
5,740
|
5,344
|
|
Pool # AO8038, 3.50%, 7/1/2032
|
686
|
664
|
|
Pool # AP0645, 3.50%, 7/1/2032
|
930
|
911
|
|
Pool # AP0682, 3.50%, 7/1/2032
|
907
|
887
|
|
Pool # AP1314, 3.50%, 8/1/2032
|
1,070
|
1,045
|
|
Pool # BM6466, 1.33%, 10/1/2032 (l)
|
62,003
|
49,835
|
|
Pool # AQ1534, 3.50%, 10/1/2032
|
278
|
272
|
|
Pool # BS8959, 4.73%, 10/1/2032
|
17,812
|
17,823
|
|
Pool # BL8708, 1.40%, 11/1/2032
|
8,000
|
6,385
|
|
Pool # BM6491, 1.46%, 11/1/2032 (l)
|
66,007
|
53,588
|
|
Pool # BM6492, 1.51%, 11/1/2032 (l)
|
29,307
|
23,855
|
|
Pool # AQ1607, 3.50%, 11/1/2032
|
227
|
222
|
|
Pool # BS7320, 4.88%, 12/1/2032
|
7,766
|
7,844
|
|
Pool # 650236, 5.00%, 12/1/2032
|
7
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BM6552, 1.56%, 1/1/2033 (l)
|
62,032
|
50,579
|
|
Pool # BS7496, 4.33%, 1/1/2033
|
24,269
|
23,743
|
|
Pool # BS7484, 4.56%, 1/1/2033
|
47,986
|
47,278
|
|
Pool # BS7843, 3.90%, 2/1/2033
|
18,570
|
17,563
|
|
Pool # AR7961, 3.50%, 3/1/2033
|
264
|
256
|
|
Pool # BS1636, 2.25%, 4/1/2033
|
42,227
|
36,033
|
|
Pool # BS7740, 4.11%, 4/1/2033
|
31,064
|
29,818
|
|
Pool # BS8141, 4.48%, 4/1/2033
|
14,803
|
14,588
|
|
Pool # BS8546, 4.37%, 5/1/2033
|
16,163
|
15,800
|
|
Pool # BS9007, 4.32%, 7/1/2033
|
16,920
|
16,512
|
|
Pool # BS9089, 4.51%, 7/1/2033
|
14,561
|
14,332
|
|
Pool # BL3453, 3.16%, 8/1/2033
|
14,260
|
12,734
|
|
Pool # BS9146, 4.35%, 8/1/2033
|
31,048
|
30,246
|
|
Pool # BS9305, 4.39%, 8/1/2033
|
11,534
|
11,297
|
|
Pool # BS3020, 1.96%, 9/1/2033
|
8,251
|
6,659
|
|
Pool # BS9471, 4.45%, 10/1/2033
|
10,000
|
9,799
|
|
Pool # BS9182, 4.52%, 10/1/2033
|
13,955
|
13,743
|
|
Pool # BS4824, 2.50%, 2/1/2034
|
24,628
|
20,706
|
|
Pool # BZ0430, 4.32%, 2/1/2034
|
23,000
|
22,274
|
|
Pool # BZ0420, 4.60%, 2/1/2034
|
50,000
|
49,464
|
|
Pool # BZ0401, 4.52%, 3/1/2034
|
10,500
|
10,324
|
|
Pool # BS5184, 2.67%, 4/1/2034
|
19,415
|
16,532
|
|
Pool # BS5271, 2.98%, 4/1/2034
|
1,419
|
1,260
|
|
Pool # BS6427, 3.75%, 9/1/2034
|
12,918
|
11,918
|
|
Pool # 886320, 6.50%, 7/1/2036
|
12
|
13
|
|
Pool # BS2829, 2.14%, 8/1/2036
|
11,892
|
9,384
|
|
Pool # AO6757, 4.00%, 6/1/2042
|
1,187
|
1,147
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
779
|
735
|
|
Pool # MA1213, 3.50%, 10/1/2042
|
3,703
|
3,409
|
|
Pool # MA1283, 3.50%, 12/1/2042
|
575
|
530
|
|
Pool # MA1328, 3.50%, 1/1/2043
|
1,961
|
1,805
|
|
Pool # MA1404, 3.50%, 4/1/2043
|
1,045
|
960
|
|
Pool # MA1462, 3.50%, 6/1/2043
|
535
|
489
|
|
Pool # MA1463, 3.50%, 6/1/2043
|
1,479
|
1,359
|
|
Pool # MA1510, 4.00%, 7/1/2043
|
1,152
|
1,086
|
|
Pool # MA1546, 3.50%, 8/1/2043
|
2,373
|
2,181
|
|
Pool # AU8840, 4.50%, 11/1/2043
|
666
|
644
|
|
Pool # AV2613, 4.50%, 11/1/2043
|
1,519
|
1,464
|
|
Pool # MA1711, 4.50%, 12/1/2043
|
1,098
|
1,064
|
|
Pool # AL6167, 3.50%, 1/1/2044
|
8,227
|
7,563
|
|
Pool # MA2346, 3.50%, 6/1/2045
|
232
|
210
|
|
Pool # MA2462, 4.00%, 11/1/2045
|
1,932
|
1,805
|
|
Pool # MA2482, 4.00%, 12/1/2045
|
2,000
|
1,868
|
|
Pool # MA2519, 4.00%, 1/1/2046
|
2,083
|
1,946
|
|
Pool # BC0784, 3.50%, 4/1/2046
|
149
|
135
|
|
Pool # MA2593, 4.00%, 4/1/2046
|
4,863
|
4,542
|
|
Pool # MA2631, 4.00%, 5/1/2046
|
5,333
|
4,994
|
|
Pool # MA2658, 3.50%, 6/1/2046
|
1,756
|
1,593
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # MA2690, 3.50%, 7/1/2046
|
3,810
|
3,455
|
|
Pool # BF0533, 2.50%, 11/1/2050
|
16,655
|
13,910
|
|
Pool # BF0090, 3.50%, 5/1/2056
|
18,076
|
16,021
|
|
Pool # BF0131, 3.50%, 8/1/2056
|
24,721
|
21,865
|
|
Pool # BM6734, 4.00%, 8/1/2059
|
10,179
|
9,357
|
|
Pool # BF0440, 3.00%, 1/1/2060
|
28,294
|
24,041
|
|
Pool # BM7075, 3.00%, 3/1/2061
|
10,673
|
9,030
|
|
Pool # BF0584, 4.50%, 12/1/2061
|
6,813
|
6,453
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
33,681
|
25,904
|
|
Pool # BF0674, 2.50%, 4/1/2062
|
30,986
|
23,831
|
|
Pool # BF0759, 2.50%, 5/1/2062
|
46,750
|
35,955
|
|
Pool # BF0673, 2.50%, 6/1/2062
|
17,158
|
13,196
|
|
Pool # BF0654, 3.00%, 6/1/2062
|
20,122
|
16,700
|
|
Pool # BF0655, 3.50%, 6/1/2062
|
15,985
|
13,913
|
|
Pool # BF0677, 4.00%, 9/1/2062
|
43,257
|
39,357
|
|
Pool # BF0694, 2.50%, 12/1/2062
|
25,631
|
20,821
|
|
Pool # BF0700, 2.50%, 12/1/2062
|
21,090
|
16,219
|
|
Pool # BF0732, 2.50%, 6/1/2063
|
14,301
|
11,398
|
|
Pool # BF0733, 3.00%, 6/1/2063
|
53,011
|
43,996
|
|
Pool # BF0736, 4.00%, 6/1/2063
|
55,781
|
50,752
|
|
Pool # BF0770, 4.50%, 9/1/2063
|
19,215
|
18,126
|
|
Pool # BF0809, 4.00%, 4/1/2064
|
14,514
|
13,277
|
|
Pool # BF0810, 4.50%, 4/1/2064
|
22,757
|
21,551
|
|
Pool # BF0812, 4.50%, 4/1/2064
|
19,487
|
18,383
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
|
TBA, 2.50%, 7/25/2055 (k)
|
261,375
|
212,915
|
|
TBA, 3.00%, 7/25/2055 (k)
|
70,740
|
60,184
|
|
TBA, 4.50%, 7/25/2055 (k)
|
237,290
|
223,693
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 780481, 7.00%, 12/15/2026
|
—
|
—
|
|
Pool # 460982, 7.00%, 11/15/2027
|
—
|
—
|
|
Pool # 460759, 6.50%, 2/15/2028
|
4
|
4
|
|
Pool # 781118, 6.50%, 10/15/2029
|
8
|
8
|
|
Pool # 783867, 6.00%, 8/15/2036
|
1,207
|
1,269
|
|
Pool # AS4934, 4.50%, 5/15/2046
|
457
|
439
|
|
Pool # AT7538, 4.00%, 7/15/2046
|
3,169
|
2,944
|
|
Pool # AT7652, 4.00%, 8/15/2046
|
1,916
|
1,780
|
|
Pool # BM1819, 5.00%, 4/15/2049
|
2,292
|
2,294
|
|
GNMA II
|
|
|
|
Pool # CK2783, ARM, 5.80%, 2/20/2072 (l)
|
34,749
|
36,357
|
|
Pool # CL4592, ARM, 5.68%, 3/20/2072 (l)
|
18,776
|
19,542
|
|
Pool # CK2802, ARM, 5.77%, 3/20/2072 (l)
|
18,476
|
19,318
|
|
Pool # CK2795, ARM, 5.79%, 3/20/2072 (l)
|
42,962
|
44,953
|
|
Pool # CM9946, ARM, 5.81%, 3/20/2072 (l)
|
11,656
|
12,199
|
|
Pool # CK2792, ARM, 5.83%, 3/20/2072 (l)
|
27,895
|
29,277
|
|
Pool # CM9934, ARM, 5.84%, 3/20/2072 (l)
|
13,239
|
13,850
|
|
Pool # CL8122, ARM, 5.89%, 3/20/2072 (l)
|
31,919
|
33,532
|
|
Pool # CK2804, ARM, 5.76%, 4/20/2072 (l)
|
32,233
|
33,697
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BL8377, ARM, 5.86%, 4/20/2072 (l)
|
19,380
|
20,370
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2270, 8.00%, 8/20/2026
|
—
|
—
|
|
Pool # 2285, 8.00%, 9/20/2026
|
2
|
2
|
|
Pool # 2379, 8.00%, 2/20/2027
|
—
|
—
|
|
Pool # 2397, 8.00%, 3/20/2027
|
—
|
—
|
|
Pool # 2445, 8.00%, 6/20/2027
|
1
|
1
|
|
Pool # 2457, 7.50%, 7/20/2027
|
4
|
4
|
|
Pool # 2538, 8.00%, 1/20/2028
|
1
|
1
|
|
Pool # 2714, 6.50%, 2/20/2029
|
1
|
1
|
|
Pool # 4901, 8.00%, 9/20/2031
|
108
|
112
|
|
Pool # 5020, 7.50%, 5/20/2032
|
40
|
41
|
|
Pool # 738210, 7.00%, 6/20/2032
|
100
|
101
|
|
Pool # 738062, 6.00%, 11/20/2032
|
128
|
133
|
|
Pool # 738059, 6.00%, 10/20/2033
|
88
|
89
|
|
Pool # 738049, 6.00%, 3/20/2035
|
93
|
96
|
|
Pool # 737987, 6.00%, 4/20/2036
|
12
|
12
|
|
Pool # 737975, 6.00%, 9/20/2036
|
8
|
8
|
|
Pool # 5034, 7.00%, 8/20/2038
|
21
|
22
|
|
Pool # 4245, 6.00%, 9/20/2038
|
36
|
38
|
|
Pool # 4930, 7.00%, 10/20/2038
|
115
|
119
|
|
Pool # 4964, 7.00%, 12/20/2038
|
11
|
11
|
|
Pool # 4872, 7.00%, 1/20/2039
|
114
|
117
|
|
Pool # 5072, 6.50%, 10/20/2039
|
38
|
40
|
|
Pool # 5218, 6.50%, 10/20/2039
|
83
|
87
|
|
Pool # AS8103, 3.50%, 6/20/2046
|
1,154
|
1,037
|
|
Pool # AS8104, 3.75%, 6/20/2046
|
965
|
878
|
|
Pool # AS8105, 4.00%, 6/20/2046
|
781
|
718
|
|
Pool # AS8106, 3.50%, 7/20/2046
|
1,521
|
1,365
|
|
Pool # AS8107, 3.75%, 7/20/2046
|
1,909
|
1,739
|
|
Pool # AY0571, 4.50%, 11/20/2047
|
3,208
|
3,040
|
|
Pool # BB8791, 4.00%, 12/20/2047
|
3,046
|
2,791
|
|
Pool # BD6195, 4.00%, 1/20/2048
|
3,070
|
2,812
|
|
Pool # BE9507, 4.50%, 3/20/2048
|
1,617
|
1,547
|
|
Pool # BG2382, 4.50%, 3/20/2048
|
1,212
|
1,152
|
|
Pool # BA7568, 4.50%, 4/20/2048
|
3,971
|
3,781
|
|
Pool # BD0512, 5.00%, 4/20/2048
|
1,412
|
1,373
|
|
Pool # BD0532, 5.00%, 6/20/2048
|
2,666
|
2,591
|
|
Pool # BG3833, 4.50%, 7/20/2048
|
6,431
|
6,124
|
|
Pool # BD0549, 5.00%, 8/20/2048
|
2,212
|
2,128
|
|
Pool # BH9109, 4.50%, 10/20/2048
|
3,716
|
3,522
|
|
Pool # BJ7085, 5.00%, 12/20/2048
|
2,266
|
2,254
|
|
Pool # BK7188, 4.50%, 2/20/2049
|
2,241
|
2,143
|
|
Pool # BK7189, 5.00%, 2/20/2049
|
2,520
|
2,488
|
|
Pool # BN2622, 4.00%, 6/20/2049
|
6,146
|
5,729
|
|
Pool # BM9677, 4.50%, 6/20/2049
|
4,432
|
4,270
|
|
Pool # BM9683, 5.00%, 6/20/2049
|
3,856
|
3,821
|
|
Pool # BJ1310, 4.50%, 7/20/2049
|
4,251
|
4,144
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BO2717, 4.50%, 7/20/2049
|
4,995
|
4,914
|
|
Pool # BO3146, 4.50%, 7/20/2049
|
2,602
|
2,500
|
|
Pool # BO3147, 4.50%, 7/20/2049
|
2,265
|
2,149
|
|
Pool # BO3157, 4.50%, 7/20/2049
|
2,426
|
2,337
|
|
Pool # BO3158, 4.50%, 7/20/2049
|
1,489
|
1,431
|
|
Pool # BO3159, 4.50%, 7/20/2049
|
645
|
610
|
|
Pool # BM9690, 5.00%, 7/20/2049
|
858
|
851
|
|
Pool # BM9701, 4.50%, 8/20/2049
|
8,545
|
8,076
|
|
Pool # MA7534, 2.50%, 8/20/2051
|
28,358
|
23,769
|
|
Pool # CH2866, 3.50%, 10/20/2051
|
13,942
|
12,633
|
|
Pool # CH2907, 3.50%, 10/20/2051
|
8,838
|
8,009
|
|
Pool # CH2908, 3.50%, 10/20/2051
|
3,364
|
3,020
|
|
Pool # CH2964, 3.50%, 10/20/2051
|
7,908
|
7,207
|
|
Pool # CJ3728, 3.50%, 11/20/2051
|
977
|
877
|
|
Pool # 786362, 3.00%, 2/20/2052
|
10,148
|
8,707
|
|
Pool # MA7883, 3.50%, 2/20/2052
|
7,536
|
6,731
|
|
Pool # CL5064, 3.50%, 3/20/2052
|
13,097
|
11,658
|
|
Pool # CM2176, 3.50%, 3/20/2052
|
5,033
|
4,571
|
|
Pool # CL5137, 4.00%, 4/20/2052
|
8,377
|
7,707
|
|
Pool # MA8200, 4.00%, 8/20/2052
|
23,570
|
21,683
|
|
Pool # 786842, 4.00%, 4/20/2053
|
38,625
|
35,000
|
|
Pool # CS4391, 5.50%, 7/20/2053
|
18,727
|
18,651
|
|
Pool # MA9100, 2.50%, 8/20/2053
|
25,461
|
21,370
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 5.00%, 6/15/2055 (k)
|
260,500
|
252,684
|
|
TBA, 5.50%, 6/15/2055 (k)
|
45,000
|
44,675
|
|
Goodleap
|
|
|
|
11.00%, 7/15/2042 ‡
|
7,200
|
7,388
|
|
11.00%, 7/15/2042 ‡
|
4,685
|
4,807
|
|
Oneslt , 8.00%, 12/15/2030 ‡
|
19,959
|
19,959
|
|
P4 SFR , 9.25%, 10/11/2026 ‡
|
18,500
|
18,223
|
|
Renew
|
|
|
|
12.50%, 12/20/2049 ‡
|
133,729
|
4,747
|
|
12.50%, 12/20/2049 ‡
|
160,625
|
3,060
|
|
12.50%, 12/20/2049 ‡
|
134,406
|
3,907
|
|
Total Mortgage-Backed Securities
(Cost $5,884,384)
|
|
5,703,271
|
|
Asset-Backed Securities — 13.8%
|
||
|
ACC Trust
|
|
|
|
Series 2022-1, Class C, 3.24%, 10/20/2025 (a)
|
8,891
|
2,605
|
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (a)
|
3,455
|
1,480
|
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (a)
|
586
|
574
|
|
Accelerated LLC
|
|
|
|
Series 2021-1H, Class D, 3.58%, 10/20/2040 (a)
|
2,572
|
2,299
|
|
Series 2024-1A, Class D, 7.85%, 8/22/2044 (a)
|
11,203
|
11,091
|
|
ACRE Commercial Mortgage Ltd.
|
|
|
|
Series 2021-FL4, Class B, 6.34%, 12/18/2037 (a) (l)
|
1,498
|
1,484
|
|
Series 2021-FL4, Class C, 6.69%, 12/18/2037 (a) (l)
|
8,737
|
8,588
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Air Canada Pass-Through Trust (Canada)
|
|
|
|
Series 2017-1, Class B, 3.70%, 1/15/2026 (a)
|
1,412
|
1,392
|
|
Series 2015-1, Class A, 3.60%, 3/15/2027 (a)
|
2,222
|
2,152
|
|
Series 2015-2, Class AA, 3.75%, 12/15/2027 (a)
|
630
|
608
|
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)
|
6,098
|
5,660
|
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (a)
|
779
|
724
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2015-2, Class A, 4.00%, 9/22/2027
|
1,671
|
1,600
|
|
Series 2016-2, Class AA, 3.20%, 6/15/2028
|
611
|
579
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
787
|
740
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2022-2, Class E, 6.57%, 6/13/2028 (a)
|
11,200
|
11,203
|
|
Series 2023-4, Class C, 6.99%, 9/12/2030 (a)
|
11,448
|
11,604
|
|
American Homes 4 Rent Trust
|
|
|
|
Series 2015-SFR2, Class D, 5.04%, 10/17/2052 (a)
|
2,250
|
2,243
|
|
Series 2015-SFR2, Class E, 6.07%, 10/17/2052 (a)
|
18,085
|
18,048
|
|
AMSR Trust
|
|
|
|
Series 2023-SFR2G, Class G1, 4.50%, 8/19/2028 ‡
|
15,078
|
12,477
|
|
Series 2020-SFR2, Class G, 4.00%, 7/17/2037 (a)
|
5,339
|
5,317
|
|
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a)
|
15,566
|
15,513
|
|
Series 2020-SFR2, Class H, 5.25%, 7/17/2037 (a)
|
17,169
|
17,111
|
|
Series 2020-SFR3, Class F, 3.55%, 9/17/2037 (a)
|
11,823
|
11,716
|
|
Series 2020-SFR5, Class H, 5.00%, 11/17/2037 (a)
|
2,365
|
2,337
|
|
Series 2021-SFR2, Class F1, 3.28%, 8/17/2038 (a)
|
12,620
|
12,201
|
|
Series 2021-SFR3, Class E2, 2.43%, 10/17/2038 (a)
|
5,936
|
5,653
|
|
Series 2021-SFR4, Class F1, 3.16%, 12/17/2038 (a)
|
34,734
|
32,921
|
|
Series 2019-SFR1, Class F, 3.87%, 1/19/2039 (a)
|
19,114
|
18,387
|
|
Series 2019-SFR1, Class G, 4.86%, 1/19/2039 (a)
|
7,645
|
7,383
|
|
Series 2019-SFR1, Class H, 6.04%, 1/19/2039 (a)
|
7,645
|
7,421
|
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a)
|
12,377
|
12,208
|
|
Series 2022-SFR3, Class F, 4.00%, 10/17/2039 (a)
|
27,165
|
25,514
|
|
Series 2023-SFR1, Class F, 4.00%, 4/17/2040 (a)
|
22,105
|
20,400
|
|
Series 2024-SFR1, Class D, 4.29%, 7/17/2041 (a) (g)
|
20,175
|
19,060
|
|
Series 2024-SFR2, Class F1, 4.15%, 11/17/2041 (a)
|
6,534
|
5,848
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class B, 3.47%, 7/16/2040 (a)
|
9,147
|
8,846
|
|
Series 2019-A, Class D, 6.07%, 7/16/2040 (a)
|
2,480
|
2,416
|
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (a)
|
3,365
|
3,259
|
|
Series 2020-AA, Class D, 7.15%, 7/17/2046 (a)
|
3,948
|
3,916
|
|
BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 7/25/2028
|
—
|
—
|
|
Bastion Funding I LLC
|
|
|
|
Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (a)
|
15,549
|
15,588
|
|
Series 2023-1A, Class C, 11.74%, 4/25/2038 ‡ (a)
|
6,638
|
6,631
|
|
Bastion Funding LLC Series 2023-1A, Class B, 8.06%, 4/25/2038 ‡ (a)
|
8,875
|
8,875
|
|
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class E, 8.00%, 10/15/2029 (a)
|
8,000
|
8,260
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 6.67%, 6/25/2043 (l)
|
92
|
94
|
|
BG Beta Ltd. (Cayman Islands)
|
|
|
|
6.28%, 7/16/2054 ‡
|
24,132
|
24,451
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
7.12%, 7/16/2054 ‡
|
30,524
|
30,707
|
|
Bridge Trust Series 2024-SFR1, Class E2, 5.50%, 8/17/2040 (a)
|
5,900
|
5,534
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-1, Class D, 6.03%, 11/15/2029
|
10,000
|
10,104
|
|
Series 2024-2, Class D, 6.30%, 2/15/2030
|
6,000
|
6,118
|
|
Series 2024-1, Class E, 8.43%, 10/15/2030 (a)
|
26,250
|
26,889
|
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
|
Series 2019-1, Class A, 3.35%, 6/15/2029 (a)
|
721
|
688
|
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)
|
414
|
399
|
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (a)
|
1,244
|
1,185
|
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)
|
419
|
387
|
|
Business Jet Securities LLC
|
|
|
|
Series 2022-1A, Class C, 6.41%, 6/15/2037 ‡ (a)
|
9,218
|
9,093
|
|
Series 2024-2A, Class C, 7.97%, 9/15/2039 ‡ (a)
|
13,157
|
13,110
|
|
BXG Receivables Note Trust
|
|
|
|
Series 2018-A, Class C, 4.44%, 2/2/2034 (a)
|
521
|
518
|
|
Series 2023-A, Class C, 7.38%, 11/15/2038 (a)
|
17,042
|
17,346
|
|
Caerus Uinta ABS LLC Series 2023-1A, Class A2, 7.85%, 4/28/2040 (a)
|
18,340
|
18,743
|
|
Camden, 8.50%, 9/15/2031 ‡
|
19,747
|
19,302
|
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (a)
|
11,649
|
3,832
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)
|
5,506
|
5,156
|
|
CARS-DB4 LP
|
|
|
|
Series 2020-1A, Class A6, 3.81%, 2/15/2050 (a)
|
4,520
|
4,175
|
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 (a)
|
8,698
|
8,367
|
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 (a)
|
9,698
|
8,683
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2022-N1, Class E, 6.01%, 12/11/2028 (a)
|
9,426
|
9,267
|
|
Series 2023-N4, Class D, 7.22%, 2/11/2030 (a)
|
7,860
|
8,209
|
|
Series 2024-N3, Class D, 5.38%, 12/10/2030 (a)
|
19,000
|
18,868
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (l)
|
16,503
|
15,161
|
|
Series 2021-MH1, Class B1, 4.57%, 2/25/2046 (a)
|
2,500
|
2,089
|
|
Series 2021-MH1, Class B2, 5.57%, 2/25/2046 (a)
|
2,550
|
2,192
|
|
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (g)
|
13,761
|
11,084
|
|
Centex Home Equity Loan Trust Series 2001-B, Class A6, 6.36%, 7/25/2032
|
10
|
10
|
|
CFIN Issuer LLC
|
|
|
|
Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (a) (g)
|
3,291
|
3,265
|
|
Series 2022-RTL1, Class AB, 6.50%, 2/16/2026 ‡ (a) (g)
|
3,391
|
3,349
|
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
1,372
|
1,497
|
|
COOF Securitization Trust Ltd. Series 2014-1, Class A, 3.31%, 6/25/2040 (a) (l)
|
941
|
62
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2020-2, Class A, 3.38%, 5/15/2052 (a)
|
229
|
227
|
|
Series 2020-2, Class B, 4.24%, 5/15/2052 (a) (l)
|
8,101
|
8,012
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
9,708
|
9,960
|
|
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a)
|
33,457
|
34,379
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
|
10,000
|
10,094
|
|
Series 2023-2A, Class C, 7.15%, 9/15/2033 (a)
|
21,842
|
22,315
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a)
|
26,700
|
27,677
|
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
17,250
|
17,695
|
|
7.68%, 4/17/2034 ‡
|
38,893
|
39,052
|
|
Series 2024-2A, Class C, 6.70%, 10/16/2034 (a)
|
42,168
|
43,471
|
|
Credit One Ltd., 6.47%, 2/25/2029 ‡ (a)
|
30,000
|
30,192
|
|
CWABS, Inc. Asset-Backed Certificates
|
|
|
|
Series 2004-1, Class M1, 5.19%, 3/25/2034 (l)
|
21
|
21
|
|
Series 2004-1, Class M2, 5.26%, 3/25/2034 (l)
|
3
|
4
|
|
Series 2004-1, Class 3A, 5.00%, 4/25/2034 (l)
|
288
|
270
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 5.34%, 10/25/2034 (l)
|
87
|
87
|
|
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a)
|
18,735
|
18,261
|
|
Delta Air Lines Pass-Through Trust
|
|
|
|
Series 2015-1, Class AA, 3.63%, 7/30/2027
|
2,422
|
2,351
|
|
Series 2020-1, Class AA, 2.00%, 6/10/2028
|
3,840
|
3,587
|
|
Diamond Resorts Owner Trust Series 2021-1A, Class D, 3.83%, 11/21/2033 (a)
|
1,979
|
1,959
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class B, 11.50%, 9/30/2044 ‡ (a)
|
4,659
|
4,664
|
|
Diversified ABS LLC Series 2025-1A, Class B, 10.40%, 2/28/2045 ‡ (a)
|
30,495
|
30,606
|
|
Diversified ABS Phase LLC
|
|
|
|
Series VI, Class A, 7.50%, 11/28/2039 ‡
|
12,985
|
12,849
|
|
Series 2024-1A, Class A2, 7.67%, 5/30/2044 ‡ (a)
|
20,434
|
20,537
|
|
DLLAA LLC Series 2023-1A, Class A3, 5.64%, 2/22/2028 (a)
|
11,480
|
11,611
|
|
DP Lion Holdco LLC
|
|
|
|
Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡
|
4,985
|
5,105
|
|
Series 2023-1A, Class B, 12.73%, 11/30/2043 ‡
|
6,144
|
6,299
|
|
Drive Auto Receivables Trust Series 2024-2, Class D, 4.94%, 5/17/2032
|
14,500
|
14,455
|
|
DT Auto Owner Trust
|
|
|
|
Series 2021-3A, Class E, 2.65%, 9/15/2028 (a)
|
1,475
|
1,449
|
|
Series 2023-2A, Class E, 11.06%, 4/15/2030 (a)
|
11,500
|
12,382
|
|
Series 2023-3A, Class E, 10.21%, 5/15/2030 (a)
|
12,880
|
13,741
|
|
E3 (Cayman Islands) Series 2019-1, Class A, 3.10%, 9/20/2055 ‡ (a)
|
4,024
|
3,452
|
|
Elara HGV Timeshare Issuer LLC
|
|
|
|
Series 2019-A, Class C, 3.45%, 1/25/2034 (a)
|
615
|
603
|
|
Series 2021-A, Class D, 3.32%, 8/27/2035 (a)
|
1,102
|
1,025
|
|
Energy Assets, 8.11%, 8/25/2044 ‡
|
9,026
|
9,093
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2021-4A, Class E, 4.02%, 1/17/2028 (a)
|
9,500
|
9,324
|
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a)
|
33,750
|
31,042
|
|
Series 2022-3A, Class E, 9.09%, 1/15/2030 (a)
|
34,500
|
32,592
|
|
Series 2023-5A, Class D, 7.13%, 2/15/2030
|
20,049
|
20,813
|
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
12,000
|
12,235
|
|
Series 2023-2A, Class E, 9.75%, 11/15/2030 (a)
|
6,137
|
6,562
|
|
Series 2023-3A, Class E, 9.98%, 1/15/2031 (a)
|
10,500
|
11,247
|
|
Series 2023-4A, Class E, 9.57%, 2/18/2031 (a)
|
11,565
|
12,634
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR1, Class H, PO, 8/17/2037 ‡ (a)
|
7,000
|
6,860
|
|
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a)
|
3,699
|
3,671
|
|
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a)
|
21,192
|
20,904
|
|
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a)
|
18,930
|
18,669
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2022-SFR3, Class F1, PO, 7/17/2038 ‡ (a)
|
31,898
|
29,417
|
|
Series 2022-SFR3, Class F2, PO, 7/17/2038 ‡ (a)
|
6,469
|
5,936
|
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (a)
|
9,708
|
9,309
|
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a)
|
19,967
|
19,274
|
|
Series 2021-SFR1, Class F2, 3.45%, 8/17/2038 (a)
|
16,851
|
16,294
|
|
Series 2021-SFR1, Class F3, 3.69%, 8/17/2038 (a)
|
14,566
|
14,058
|
|
Series 2021-SFR2, Class F2, 3.16%, 9/17/2038 (a)
|
10,577
|
10,069
|
|
Series 2021-SFR3, Class F2, 3.83%, 12/17/2038 (a)
|
9,294
|
8,914
|
|
Series 2022-SFR1, Class F1, PO, 5/19/2039 ‡ (a)
|
28,086
|
24,305
|
|
Series 2022-SFR1, Class F2, PO, 5/19/2039 ‡ (a)
|
11,500
|
9,840
|
|
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a)
|
16,525
|
15,939
|
|
Series 2022-SFR2, Class F1, 4.50%, 7/17/2039 (a)
|
32,750
|
31,340
|
|
Series 2022-SFR2, Class F2, 4.50%, 7/17/2039 (a)
|
13,000
|
12,379
|
|
Series 2022-SFR2, Class G, 4.50%, 7/17/2039 (a)
|
23,000
|
21,581
|
|
Flagship Credit Auto Trust
|
|
|
|
Series 2023-2, Class C, 5.81%, 5/15/2029 (a)
|
6,006
|
6,049
|
|
Series 2022-3, Class E, 7.95%, 10/15/2029 (a)
|
1,500
|
1,012
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (l)
|
14,562
|
14,101
|
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (l)
|
7,766
|
7,294
|
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (l)
|
21,942
|
20,611
|
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (l)
|
40,000
|
40,071
|
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (a)
|
9,707
|
9,705
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a)
|
22,424
|
22,639
|
|
Series 2022-GT2, Class A, 7.90%, 7/25/2027 (a)
|
12,377
|
12,475
|
|
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a)
|
22,327
|
22,971
|
|
Foundation Finance Trust
|
|
|
|
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a)
|
1,700
|
1,697
|
|
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a)
|
4,514
|
4,512
|
|
FRTKL Series 2021-SFR1, Class F, 3.17%, 9/17/2038 (a)
|
4,272
|
4,036
|
|
FTF Funding II LLC, 8.00%, 8/15/2025 ‡
|
5,055
|
3,893
|
|
FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡
|
29,459
|
29,697
|
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class A6, 6.70%, 4/25/2029 (l)
|
74
|
75
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a)
|
20,556
|
20,418
|
|
Series 2023-2A, Class C, 5.69%, 3/15/2029 (a)
|
11,317
|
11,379
|
|
Series 2022-1A, Class E, 5.64%, 5/15/2029 (a)
|
14,000
|
13,927
|
|
Series 2023-4A, Class D, 7.18%, 8/15/2029 (a)
|
18,943
|
19,668
|
|
Series 2023-3A, Class E, 9.27%, 8/15/2030 (a)
|
4,900
|
5,260
|
|
Series 2024-4A, Class E, 7.51%, 8/15/2031 (a)
|
3,500
|
3,543
|
|
GLS Auto Select Receivables Trust Series 2023-1A, Class B, 6.09%, 3/15/2029 (a)
|
5,825
|
5,951
|
|
Goodgreen (Cayman Islands)
|
|
|
|
Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (l)
|
3,395
|
3,101
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (a)
|
19,155
|
17,997
|
|
Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (a)
|
22,372
|
22,226
|
|
Goodgreen Trust
|
|
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (a)
|
601
|
549
|
|
Series 2016-1A, Class B, 5.24%, 10/15/2052 ‡ (a)
|
450
|
412
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a)
|
3,854
|
3,416
|
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class E, 7.00%, 6/20/2035 (a)
|
9,428
|
9,240
|
|
Grene Energy Senio
|
|
|
|
11.00%, 1/17/2061 ‡
|
1,347
|
1,141
|
|
11.00%, 1/17/2061 ‡
|
3,269
|
2,736
|
|
GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (a)
|
3,518
|
3,515
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (a)
|
1,707
|
1,482
|
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a)
|
1,406
|
1,250
|
|
HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 ‡ (a)
|
1,763
|
1,529
|
|
HERO Funding Trust
|
|
|
|
Series 2015-3A, Class A, 4.28%, 9/20/2041 ‡ (a)
|
967
|
908
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (a)
|
435
|
389
|
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (a)
|
1,554
|
1,412
|
|
Series 2017-2A, Class A2, 4.07%, 9/20/2048 ‡ (a)
|
1,617
|
1,453
|
|
Hertz Vehicle Financing LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
12,360
|
12,543
|
|
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class D, 8.08%, 4/20/2037 (a) (l)
|
10,651
|
10,682
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a)
|
1,920
|
1,887
|
|
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a)
|
2,448
|
2,476
|
|
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a)
|
1,793
|
1,802
|
|
HINNT LLC
|
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 (a)
|
6,532
|
6,335
|
|
Series 2022-A, Class E, 8.00%, 5/15/2041 (a)
|
1,041
|
1,008
|
|
Series 2024-A, Class D, 7.00%, 3/15/2043 (a)
|
3,403
|
3,324
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class F, 3.80%, 12/17/2026 (a)
|
7,199
|
6,906
|
|
Series 2019-2, Class E, 3.32%, 10/19/2039 (a)
|
8,957
|
8,480
|
|
Series 2021-3, Class E2, 3.35%, 1/17/2041 (a)
|
12,927
|
11,602
|
|
HPA Frn, 3.95%, 4/15/2026 ‡
|
5,646
|
5,584
|
|
Jonah, 7.80%, 11/10/2037 ‡ (a)
|
16,833
|
16,900
|
|
Jonah Energy ABS II LLC
|
|
|
|
Series 2025-1A, Class A2, 7.36%, 12/10/2040 ‡ (a)
|
34,739
|
34,739
|
|
Series 2025-1A, Class B, 11.25%, 12/10/2040 ‡ (a)
|
17,130
|
17,130
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (a)
|
10,659
|
10,695
|
|
Series 2022-1, Class C, 12.66%, 8/10/2039 ‡ (a)
|
39,000
|
39,199
|
|
KGS-Alpha SBA COOF Trust
|
|
|
|
Series 2012-4, Class A, IO, 0.91%, 9/25/2037 (a) (l)
|
1,410
|
23
|
|
Series 2012-2, Class A, IO, 0.81%, 8/25/2038 (a) (l)
|
1,347
|
24
|
|
Series 2013-2, Class A, IO, 1.75%, 3/25/2039 (a) (l)
|
1,195
|
34
|
|
Lendbuzz Securitization Trust Series 2024-1A, Class A2, 6.19%, 8/15/2029 (a)
|
4,731
|
4,770
|
|
Lendingpoint Asset Securitization Trust
|
|
|
|
Series 2021-B, Class C, 3.21%, 2/15/2029 (a)
|
1,985
|
1,940
|
|
Series 2022-B, Class C, 8.45%, 10/15/2029 (a)
|
9,627
|
2,370
|
|
LendingPoint Asset Securitization Trust
|
|
|
|
Series 2020-REV1, Class C, 7.70%, 10/15/2028 (a)
|
3,159
|
3,113
|
|
Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (a)
|
7,000
|
1,523
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Lendingpoint SPE Trust
|
|
|
|
Series 2020-VFN1, Class A1B, 9.21%, 12/15/2026 ‡ (a) (l)
|
759
|
750
|
|
Series 2020-VFN1, Class A2B1, 9.21%, 12/15/2026 ‡ (a) (l)
|
117
|
115
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a)
|
18,000
|
16,439
|
|
Series 2021-2A, Class D, 4.46%, 4/20/2032 (a)
|
14,200
|
12,635
|
|
Series 2022-1A, Class E, 7.58%, 7/20/2032 ‡ (a)
|
27,785
|
27,536
|
|
Series 2024-2A, Class E, 8.47%, 2/21/2034 (a)
|
11,827
|
11,828
|
|
Series 2025-1A, Class E, 8.91%, 9/20/2034 ‡ (a)
|
9,420
|
9,556
|
|
LFT CRE Ltd.
|
|
|
|
Series 2021-FL1, Class D, 6.89%, 6/15/2039 (a) (l)
|
13,821
|
13,630
|
|
Series 2021-FL1, Class E, 7.39%, 6/15/2039 (a) (l)
|
12,134
|
11,880
|
|
LL ABS Trust Series 2022-1A, Class D, 7.83%, 11/15/2029 (a)
|
4,890
|
4,912
|
|
LP LMS Asset Securitization Trust
|
|
|
|
8.35%, 10/15/2028 ‡
|
2,236
|
2,213
|
|
Series 2021-2A, Class C, 3.85%, 1/15/2029 (a)
|
7,401
|
7,297
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2023-AA, Class E, 11.12%, 10/22/2035 (a)
|
16,200
|
16,765
|
|
Series 2021-AA, Class E, 5.40%, 3/20/2036 (a)
|
7,600
|
7,218
|
|
Series 2024-AA, Class E, 9.02%, 9/22/2036 (a)
|
10,516
|
10,809
|
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a)
|
8,500
|
7,695
|
|
Series 2025-AA, Class E, 8.64%, 5/20/2038 (a)
|
8,250
|
8,333
|
|
Marlette Funding Trust Series 2023-2A, Class C, 6.96%, 6/15/2033 (a)
|
6,432
|
6,471
|
|
Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (a)
|
29,950
|
30,200
|
|
Mid-State Capital Corp. Trust
|
|
|
|
Series 2005-1, Class A, 5.75%, 1/15/2040
|
16
|
16
|
|
Series 2005-1, Class M1, 6.11%, 1/15/2040
|
381
|
380
|
|
Series 2006-1, Class A, 5.79%, 10/15/2040 (a)
|
496
|
497
|
|
Series 2006-1, Class M1, 6.08%, 10/15/2040 (a)
|
602
|
603
|
|
Series 2006-1, Class M2, 6.74%, 10/15/2040 (a)
|
248
|
251
|
|
MNR ABS Issuer I LLC
|
|
|
|
8.95%, 12/15/2038 ‡
|
6,461
|
6,580
|
|
12.44%, 12/15/2038 ‡
|
18,267
|
18,724
|
|
Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 6.69%, 3/25/2033 (l)
|
53
|
51
|
|
MVW LLC
|
|
|
|
Series 2022-1A, Class D, 7.35%, 11/21/2039 (a)
|
3,932
|
3,853
|
|
Series 2023-1A, Class D, 8.83%, 10/20/2040 (a)
|
4,995
|
5,088
|
|
Series 2023-2A, Class D, 9.33%, 11/20/2040 (a)
|
4,503
|
4,588
|
|
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a)
|
7,347
|
7,401
|
|
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 (g)
|
167
|
164
|
|
Nissan Auto Lease Trust Series 2023-B, Class A4, 5.61%, 11/15/2027
|
8,975
|
9,008
|
|
NRZ Excess Spread-Collateralized Notes
|
|
|
|
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)
|
3,500
|
3,456
|
|
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
5,945
|
5,721
|
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a)
|
3,561
|
3,525
|
|
Octane Receivables Trust
|
|
|
|
Series 2023-3A, Class D, 7.58%, 9/20/2029 (a)
|
4,640
|
4,802
|
|
Series 2022-1A, Class E, 7.33%, 12/20/2029 (a)
|
2,000
|
2,034
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-1A, Class C, 5.82%, 5/20/2030 (a)
|
3,500
|
3,535
|
|
Oportun Issuance Trust
|
|
|
|
Series 2022-3, Class C, 10.15%, 1/8/2030 (a)
|
258
|
259
|
|
Series 2024-1A, Class A, 6.33%, 4/8/2031 (a)
|
369
|
369
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (a)
|
2,456
|
2,393
|
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (a)
|
3,688
|
3,631
|
|
Series 2022-A, Class A, 5.05%, 6/9/2031 (a)
|
2,590
|
2,588
|
|
Series 2022-A, Class C, 7.40%, 6/9/2031 (a)
|
5,340
|
5,416
|
|
P2 Series 2021 A1, 3.00%, 12/20/2031 ‡ (a)
|
35,000
|
34,906
|
|
Pagaya AI Technology in Housing Trust
|
|
|
|
Series 2022-1, Class G, 2.48%, 8/25/2025 (a)
|
11,447
|
11,234
|
|
Series 2022-1, Class F, 4.25%, 8/25/2025 (a)
|
15,044
|
14,830
|
|
Series 2023-1, Class E1, 3.60%, 10/25/2040 (a)
|
26,822
|
24,284
|
|
Pendoor Proper, 0.00%, 2/15/2026 ‡ (a)
|
5,521
|
5,472
|
|
Post Road Equipment Finance LLC Series 2024-1A, Class E, 8.50%, 12/15/2031 (a)
|
3,250
|
3,343
|
|
PRET Trust Series 2025-NPL1, Class A1, 6.06%, 2/25/2055 (a) (g)
|
36,643
|
36,618
|
|
Progress Residential Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a)
|
9,348
|
9,166
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a)
|
21,356
|
20,657
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a)
|
23,973
|
23,144
|
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (a)
|
19,522
|
19,353
|
|
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a)
|
11,918
|
11,846
|
|
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (a)
|
12,578
|
11,743
|
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (a)
|
14,250
|
13,182
|
|
Series 2024-SFR4, Class E1, 3.33%, 7/17/2041 (a)
|
13,000
|
11,608
|
|
Purewest ABS Issuer LLC
|
|
|
|
Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (a)
|
9,987
|
9,987
|
|
Series 2025-1, Class B, 10.28%, 4/5/2040 ‡ (a)
|
34,813
|
34,813
|
|
Raisa Funding I LLC, 11.71%, 6/15/2038 ‡
|
7,322
|
7,489
|
|
Rcfii Baml Frn, 12.35%, 12/17/2025 ‡ (a)
|
5,187
|
5,168
|
|
Regional Management Issuance Trust Series 2021-1, Class D, 5.07%, 3/17/2031 (a)
|
2,100
|
2,068
|
|
Renew (Cayman Islands)
|
|
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (a)
|
781
|
726
|
|
Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (a)
|
210
|
208
|
|
Series 2017-2A, Class A, 3.22%, 9/22/2053 ‡ (a)
|
8,420
|
7,648
|
|
Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (a)
|
9,497
|
9,306
|
|
Retium-rcaf, 12.35%, 12/17/2025 ‡ (a)
|
11,296
|
11,253
|
|
RFT TRUST
|
|
|
|
Series 2024-2, Class A1, 7.11%, 9/27/2028 (a) (g)
|
20,773
|
20,630
|
|
Series 2024-2, Class A2, 8.81%, 9/27/2028 (a) (g)
|
33,969
|
33,741
|
|
RT Fin LLC, 11.71%, 10/15/2043 ‡
|
11,139
|
11,162
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2024-4, Class C, 4.95%, 4/15/2030
|
7,500
|
7,502
|
|
Series 2023-2, Class C, 5.47%, 12/16/2030
|
24,560
|
24,839
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
35,600
|
35,891
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
27,300
|
27,550
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
7,941
|
8,152
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a)
|
19,600
|
19,801
|
|
Series 2022-1A, Class E, 5.26%, 7/20/2032 (a)
|
3,646
|
3,582
|
|
Series 2022-1A, Class F, 6.00%, 7/20/2032 (a)
|
7,056
|
6,899
|
|
Series 2022-2A, Class E, 6.50%, 6/20/2035 (a)
|
10,909
|
10,938
|
|
Series 2022-2A, Class F1, 6.50%, 6/20/2035 (a)
|
5,000
|
4,955
|
|
Series 2023-1A, Class E, 7.00%, 7/21/2036 (a)
|
19,500
|
19,284
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.84%,
1/25/2036 (g)
|
124
|
104
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a)
|
1,239
|
1,213
|
|
Series 2021-2A, Class D, 3.23%, 9/20/2038 (a)
|
599
|
581
|
|
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a)
|
3,634
|
3,587
|
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a)
|
2,936
|
3,061
|
|
Series 2023-1A, Class D, 9.80%, 1/20/2040 (a)
|
2,129
|
2,192
|
|
Series 2023-2A, Class D, 9.72%, 4/20/2040 (a)
|
2,517
|
2,600
|
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a)
|
1,693
|
1,736
|
|
Series 2023-3A, Class D, 9.44%, 9/20/2040 (a)
|
2,139
|
2,195
|
|
Series 2024-3A, Class D, 6.93%, 8/20/2041 (a)
|
3,435
|
3,354
|
|
Series 2024-1A, Class D, 8.02%, 1/20/2043 (a)
|
1,163
|
1,180
|
|
Soundview Home Loan Trust Series 2007-OPT1, Class 2A1, 4.52%, 6/25/2037 (l)
|
657
|
429
|
|
Stream Innovations Issuer Trust Series 2025-1A, Class D, 8.40%, 9/15/2045 ‡ (a)
|
1,350
|
1,354
|
|
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a)
|
682
|
682
|
|
Tricolor Auto Securitization Trust Series 2022-1A, Class E, 7.79%, 8/16/2027 (a)
|
2,986
|
3,000
|
|
Tricon American Homes Trust Series 2019-SFR1, Class F, 3.75%, 3/17/2038 (a)
|
6,796
|
6,678
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2013-1, Class A, 4.30%, 8/15/2025
|
325
|
325
|
|
Series 2016-2, Class B, 3.65%, 10/7/2025
|
695
|
688
|
|
Series 2014-1, Class A, 4.00%, 4/11/2026
|
1,655
|
1,636
|
|
Series 2014-2, Class A, 3.75%, 9/3/2026
|
747
|
732
|
|
Series 2016-1, Class AA, 3.10%, 7/7/2028
|
798
|
758
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
1,090
|
1,023
|
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
8,167
|
7,646
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
846
|
783
|
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
1,073
|
1,013
|
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
1,279
|
1,177
|
|
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
1,368
|
1,208
|
|
Series 2024-1, Class AA, 5.45%, 2/15/2037
|
6,773
|
6,727
|
|
UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (a)
|
14,936
|
15,222
|
|
US Auto Funding Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)
|
10,500
|
366
|
|
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 ‡ (a)
|
16,000
|
—
|
|
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a)
|
10,789
|
10,952
|
|
Veros Auto Receivables Trust Series 2022-1, Class D, 7.23%, 7/16/2029 (a)
|
3,750
|
3,768
|
|
VistaJet Pass Through Trust Series 2021-1C, 9.50%, 8/15/2031 (a)
|
25,576
|
25,168
|
|
vMobo, Inc., 9.46%, 7/18/2027 ‡
|
55,000
|
52,470
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 6.24%, 2/27/2051 (a) (g)
|
2,091
|
2,090
|
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 6.12%, 4/25/2051 (a) (g)
|
1,692
|
1,691
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (a) (g)
|
1,523
|
1,521
|
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 6.12%, 3/27/2051 (a) (g)
|
2,276
|
2,274
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 6.24%, 4/25/2051 (a) (g)
|
2,722
|
2,718
|
|
Westgate Resorts LLC
|
|
|
|
Series 2023-1A, Class C, 7.49%, 12/20/2037 (a)
|
2,367
|
2,408
|
|
Series 2024-1A, Class D, 9.26%, 1/20/2038 (a)
|
5,743
|
5,821
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a)
|
18,976
|
19,416
|
|
Series 2023-4A, Class D, 7.19%, 7/16/2029 (a)
|
15,900
|
16,494
|
|
Ygrene Energy Fund, Inc., 11.00%, 3/29/2026 ‡
|
11,441
|
10,521
|
|
Total Asset-Backed Securities
(Cost $3,203,763)
|
|
3,162,143
|
|
Commercial Mortgage-Backed Securities — 10.5%
|
||
|
20 Times Square Trust Series 2018-20TS, Class F, 3.10%, 5/15/2035 (a) (l)
|
23,414
|
18,731
|
|
Acrc 3.75%, 11/15/2026 ‡ (a)
|
29,333
|
28,160
|
|
Areit Frn 9.17%, 10/17/2025 ‡ (a) (l)
|
30,000
|
29,610
|
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2025-FRR5, Class DK73, 1.01%, 2/27/2051 (a) (l)
|
7,518
|
6,345
|
|
Series 2025-FRR5, Class CK73, 1.02%, 2/27/2051 (a) (l)
|
7,519
|
6,495
|
|
Series 2025-FRR5, Class CK86, PO, 11/27/2051 (a)
|
8,773
|
7,015
|
|
Series 2025-FRR5, Class DK86, PO, 11/27/2051 (a)
|
7,496
|
5,754
|
|
Series 2025-FRR5, Class C736, 1.94%, 9/27/2052 (a) (l)
|
10,609
|
10,011
|
|
Series 2025-FRR5, Class D736, 1.94%, 9/27/2052 (a) (l)
|
10,608
|
9,848
|
|
BANK Series 2019-BN19, Class A3, 3.18%, 8/15/2061
|
9,707
|
8,994
|
|
BBCCRE Trust Series 2015-GTP, Class A, 3.97%, 8/10/2033 (a)
|
9,126
|
8,396
|
|
BMD2 Re-REMIC Trust Series 2019-FRR1, Class 1A5, 8.64%, 5/25/2052 (a) (l)
|
510
|
507
|
|
BWAY Mortgage Trust Series 2013-1515, Class F, 3.93%, 3/10/2033 (a) (l)
|
4,854
|
4,181
|
|
BX
|
|
|
|
Series 2021-MFM1, Class E, 6.69%, 1/15/2034 (a) (l)
|
2,208
|
2,202
|
|
Series 2021-MFM1, Class F, 7.44%, 1/15/2034 (a) (l)
|
1,359
|
1,353
|
|
Cascade Funding Mortgage Trust
|
|
|
|
Series 2021-FRR1, Class CKW1, 0.00%, 1/29/2026 (a)
|
8,737
|
8,241
|
|
Series 2021-FRR1, Class BK54, 0.00%, 2/28/2026 (a)
|
21,871
|
20,747
|
|
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a)
|
6,795
|
6,377
|
|
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a)
|
2,800
|
2,603
|
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a)
|
17,231
|
12,899
|
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a)
|
11,736
|
9,147
|
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a)
|
14,852
|
10,566
|
|
Series 2021-FRR1, Class BK58, 2.40%, 9/29/2029 (a) (l)
|
10,863
|
10,194
|
|
CFCRE Commercial Mortgage Trust Series 2011-C2, Class D, 5.25%, 12/15/2047 (a) (l)
|
919
|
887
|
|
Commercial Mortgage Trust
|
|
|
|
Series 2018-HOME, Class A, 3.82%, 4/10/2033 (a) (l)
|
23,201
|
22,367
|
|
Series 2015-CR24, Class A5, 3.70%, 8/10/2048
|
5,388
|
5,375
|
|
Series 2015-CR25, Class A4, 3.76%, 8/10/2048
|
4,189
|
4,179
|
|
Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 (a) (l)
|
8,823
|
1
|
|
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048
|
7,031
|
6,988
|
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a)
|
14,756
|
11,268
|
|
FHLMC Series 2023-MN7, Class M2, 10.02%, 9/25/2043 (a) (l)
|
11,110
|
11,543
|
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
|
Series 2021-MN1, Class M2, 8.07%, 1/25/2051 (a) (l)
|
29,641
|
30,176
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2021-MN3, Class M1, 6.62%, 11/25/2051 (a) (l)
|
3,244
|
3,247
|
|
Series 2021-MN3, Class M2, 8.32%, 11/25/2051 (a) (l)
|
6,508
|
6,711
|
|
Series 2022-MN4, Class M2, 10.82%, 5/25/2052 (a) (l)
|
6,067
|
6,829
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KJ17, Class A2, 2.98%, 11/25/2025
|
106
|
105
|
|
Series KS06, Class A2, 2.72%, 7/25/2026
|
9,785
|
9,624
|
|
Series K065, Class A2, 3.24%, 4/25/2027
|
6,439
|
6,317
|
|
Series KJ26, Class A2, 2.61%, 7/25/2027
|
12,484
|
12,249
|
|
Series K070, Class A2, 3.30%, 11/25/2027 (l)
|
5,868
|
5,743
|
|
Series W5FX, Class AFX, 3.21%, 4/25/2028 (l)
|
9,620
|
9,365
|
|
Series KL05, Class X1P, IO, 0.89%, 6/25/2029 (l)
|
170,657
|
5,524
|
|
Series KS11, Class AFX2, 2.65%, 6/25/2029
|
48,537
|
45,556
|
|
Series K753, Class A2, 4.40%, 10/25/2030
|
23,410
|
23,422
|
|
Series K152, Class A2, 3.08%, 1/25/2031
|
8,584
|
8,041
|
|
Series K128, Class X3, IO, 2.78%, 4/25/2031 (l)
|
12,474
|
1,605
|
|
Series K142, Class AM, 2.40%, 3/25/2032
|
21,356
|
18,653
|
|
Series K145, Class A2, 2.58%, 5/25/2032
|
18,119
|
16,030
|
|
Series K146, Class A2, 2.92%, 6/25/2032
|
13,105
|
11,835
|
|
Series K146, Class AM, 2.92%, 7/25/2032
|
12,620
|
11,340
|
|
Series K-152, Class A2, 3.78%, 11/25/2032 (l)
|
34,000
|
32,267
|
|
Series K-160, Class A2, 4.50%, 8/25/2033 (l)
|
34,000
|
33,653
|
|
Series KX04, Class XFX, IO, 1.66%, 1/25/2034 (l)
|
152,115
|
6,853
|
|
Series K-1515, Class A2, 1.94%, 2/25/2035
|
34,947
|
27,407
|
|
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (l)
|
4,320
|
983
|
|
Series Q014, Class X, IO, 2.78%, 10/25/2055 (l)
|
20,686
|
3,016
|
|
FNMA ACES
|
|
|
|
Series 2015-M13, Class A2, 2.67%, 6/25/2025 (l)
|
299
|
298
|
|
Series 2016-M6, Class A2, 2.49%, 5/25/2026
|
5,821
|
5,704
|
|
Series 2016-M7, Class A2, 2.50%, 9/25/2026
|
5,193
|
5,089
|
|
Series 2017-M1, Class A2, 2.42%, 10/25/2026 (l)
|
7,006
|
6,818
|
|
Series 2017-M3, Class A2, 2.46%, 12/25/2026 (l)
|
11,615
|
11,288
|
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (l)
|
4,445
|
4,350
|
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (l)
|
6,948
|
6,786
|
|
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (l)
|
25,381
|
24,582
|
|
Series 2018-M7, Class A2, 3.03%, 3/25/2028 (l)
|
26,049
|
25,265
|
|
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (l)
|
7,769
|
7,524
|
|
Series 2018-M10, Class A2, 3.35%, 7/25/2028 (l)
|
10,001
|
9,759
|
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (l)
|
33,015
|
32,332
|
|
Series 2020-M38, Class 2A1, 1.59%, 11/25/2028
|
4,360
|
4,051
|
|
Series 2020-M38, Class X2, IO, 1.97%, 11/25/2028 (l)
|
33,924
|
1,533
|
|
Series 2017-M5, Class A2, 3.01%, 4/25/2029 (l)
|
15,789
|
15,103
|
|
Series 2019-M7, Class A2, 3.14%, 4/25/2029
|
15,471
|
14,790
|
|
Series 2019-M12, Class A2, 2.89%, 6/25/2029 (l)
|
26,082
|
24,738
|
|
Series 2018-M3, Class A2, 3.06%, 2/25/2030 (l)
|
5,546
|
5,271
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
4,907
|
4,625
|
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (l)
|
76,943
|
3,308
|
|
Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (l)
|
13,688
|
12,965
|
|
Series 2023-M8, Class A2, 4.47%, 3/25/2033 (l)
|
32,285
|
31,990
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2023-M1S, Class A2, 4.50%, 4/25/2033 (l)
|
6,868
|
6,793
|
|
Series 2024-M2, Class A2, 3.75%, 8/25/2033
|
56,000
|
52,009
|
|
FREMF Series 20K-1517, Class C, PO, 8/25/2035 (a)
|
37,986
|
16,733
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2018-KL3W, Class CW, 4.10%, 8/25/2025 (a) (l)
|
19,415
|
19,182
|
|
Series 2017-KL1P, Class BP, 3.37%, 10/25/2025 (a) (l)
|
12,894
|
12,601
|
|
Series 2018-KSL1, Class C, 3.87%, 11/25/2025 ‡ (a) (l)
|
16,536
|
16,369
|
|
Series 2018-KBX1, Class C, 3.51%, 1/25/2026 (a) (l)
|
7,281
|
7,004
|
|
Series 2018-KHG1, Class C, 3.90%, 12/25/2027 (a) (l)
|
32,247
|
30,091
|
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (a)
|
12,112
|
9,701
|
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (a)
|
103,822
|
228
|
|
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (a)
|
16,149
|
41
|
|
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a)
|
569,114
|
1,461
|
|
Series 2018-K82, Class D, PO, 10/25/2028 (a)
|
55,000
|
41,784
|
|
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a)
|
144,000
|
419
|
|
Series 2018-K84, Class D, PO, 11/25/2028 (a)
|
63,509
|
46,893
|
|
Series 2019-KBF3, Class C, 9.22%, 1/25/2029 (a) (l)
|
8,458
|
8,126
|
|
Series 2019-KL05, Class BHG, 4.37%, 2/25/2029 ‡ (a) (l)
|
3,500
|
3,205
|
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)
|
11,274
|
9,963
|
|
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
818,917
|
2,368
|
|
Series 2019-KG01, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
282,411
|
457
|
|
Series 2019-KG01, Class C, PO, 5/25/2029 (a)
|
24,000
|
17,982
|
|
Series 2019-KG01, Class X2B, IO, 0.10%, 5/25/2029 (a)
|
32,370
|
102
|
|
Series 2019-KS11, Class C, 4.82%, 6/25/2029 (a) (l)
|
21,859
|
19,209
|
|
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (a)
|
180,000
|
588
|
|
Series 2019-KS12, Class B, 7.27%, 8/25/2029 (l)
|
9,429
|
9,430
|
|
Series 2019-KC07, Class C, 3.63%, 10/25/2029 (a) (l)
|
27,300
|
22,299
|
|
Series 2020-K107, Class D, 3.51%, 2/25/2030 (a) (l)
|
41,999
|
33,421
|
|
Series 2023-K752, Class D, PO, 8/25/2030 (a)
|
26,400
|
16,870
|
|
Series 2023-K752, Class X2B, IO, 0.10%, 8/25/2030 (a)
|
90,300
|
369
|
|
Series 2018-KW07, Class C, PO, 10/25/2031 (a)
|
12,620
|
9,413
|
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (a)
|
124,329
|
242
|
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (a)
|
16,457
|
45
|
|
Series 2019-KW10, Class C, PO, 10/25/2032 (a)
|
24,000
|
16,463
|
|
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (a)
|
270,498
|
857
|
|
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (a)
|
32,000
|
107
|
|
Series 2019-KW10, Class B, 3.63%, 10/25/2032 (a) (l)
|
8,902
|
8,137
|
|
Series 2018-K155, Class X2A, IO, 0.10%, 4/25/2033 (a)
|
432,834
|
2,095
|
|
Series 2018-K155, Class C, PO, 5/25/2033 (a)
|
36,871
|
18,690
|
|
Series 2018-K155, Class X2B, IO, 0.10%, 5/25/2033 (a)
|
49,744
|
288
|
|
Series 2018-K157, Class C, PO, 9/25/2033 (a)
|
50,000
|
24,611
|
|
Series 19K-1510, Class C, 0.00%, 1/25/2034 ‡ (a)
|
51,057
|
24,306
|
|
Series 19K-1511, Class C, PO, 4/25/2034 (a)
|
30,000
|
14,018
|
|
Series 19K-1514, Class C, 0.00%, 10/25/2034 ‡ (a)
|
22,975
|
10,567
|
|
Series 21K-1519, Class C, PO, 12/25/2035 (a)
|
52,000
|
22,248
|
|
Series 21K-1519, Class X2B, IO, 0.10%, 12/25/2035 (a)
|
52,000
|
369
|
|
Series 2015-K48, Class B, 3.70%, 8/25/2048 (a) (l)
|
15,614
|
15,562
|
|
Series 2015-K51, Class B, 3.97%, 10/25/2048 (a) (l)
|
2,670
|
2,655
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2016-K55, Class B, 4.17%, 4/25/2049 (a) (l)
|
9,707
|
9,622
|
|
Series 2016-K56, Class B, 3.95%, 6/25/2049 (a) (l)
|
3,445
|
3,399
|
|
Series 2017-K68, Class D, PO, 10/25/2049 (a)
|
53,000
|
43,595
|
|
Series 2017-K69, Class D, PO, 10/25/2049 (a)
|
61,000
|
49,135
|
|
Series 2017-K69, Class X2B, IO, 0.10%, 10/25/2049 (a)
|
228,310
|
440
|
|
Series 2017-K68, Class B, 3.84%, 10/25/2049 (a) (l)
|
9,147
|
8,943
|
|
Series 2016-K59, Class B, 3.57%, 11/25/2049 (a) (l)
|
4,576
|
4,485
|
|
Series 2017-K61, Class C, 3.70%, 12/25/2049 (a) (l)
|
5,189
|
5,042
|
|
Series 2017-K63, Class B, 3.88%, 2/25/2050 (a) (l)
|
11,547
|
11,336
|
|
Series 2017-K63, Class C, 3.88%, 2/25/2050 (a) (l)
|
4,854
|
4,741
|
|
Series 2018-K74, Class B, 4.09%, 2/25/2051 (a) (l)
|
9,707
|
9,487
|
|
Series 2018-K81, Class D, PO, 9/25/2051 (a)
|
56,700
|
42,144
|
|
Series 2018-K83, Class D, PO, 11/25/2051 (a)
|
33,400
|
24,701
|
|
Series 2019-K92, Class D, PO, 5/25/2052 (a)
|
76,852
|
55,516
|
|
Series 2020-K116, Class D, PO, 9/25/2052 (a)
|
87,436
|
53,725
|
|
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a)
|
913,392
|
3,316
|
|
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a)
|
223,000
|
879
|
|
Series 2019-K98, Class B, 3.74%, 10/25/2052 (a) (l)
|
10,678
|
10,066
|
|
Series 2020-K105, Class D, PO, 3/25/2053 (a)
|
63,425
|
40,382
|
|
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (a)
|
671,556
|
2,311
|
|
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (a)
|
153,315
|
586
|
|
Series 2020-K113, Class D, PO, 5/25/2053 (a)
|
58,000
|
37,191
|
|
Series 2020-K115, Class D, PO, 9/25/2053 (a)
|
46,661
|
31,580
|
|
Series 2020-K115, Class X2A, IO, 0.10%, 9/25/2053 (a)
|
501,473
|
1,973
|
|
Series 2020-K115, Class X2B, IO, 0.10%, 9/25/2053 (a)
|
113,645
|
470
|
|
Series 2020-K118, Class D, PO, 10/25/2053 (a)
|
44,300
|
28,817
|
|
Series 2020-K118, Class X2A, IO, 0.10%, 10/25/2053 (a)
|
484,327
|
1,928
|
|
Series 2020-K118, Class X2B, IO, 0.10%, 10/25/2053 (a)
|
98,937
|
414
|
|
Series 2020-K739, Class D, PO, 11/25/2053 (a)
|
40,021
|
32,342
|
|
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (a)
|
389,752
|
655
|
|
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (a)
|
99,553
|
189
|
|
Series 2020-K122, Class D, PO, 1/25/2054 (a)
|
82,131
|
49,714
|
|
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a)
|
200,000
|
841
|
|
Series 2023-K752, Class X2A, IO, 0.10%, 9/25/2060 (a)
|
436,577
|
1,687
|
|
FREMF Trust Series 2018-KW04, Class C, PO, 12/25/2032 (a)
|
23,362
|
14,827
|
|
GAM Re-REMIC Trust Series 2022-FRR3, Class CK89, PO, 1/27/2052 ‡ (a)
|
8,540
|
6,154
|
|
GS Mortgage Securities Trust Series 2019-GC38, Class A4, 3.97%, 2/10/2052
|
30,190
|
29,156
|
|
HCFT (Luxembourg) 7.25%, 6/13/2025 ‡
|
26,750
|
26,375
|
|
Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a)
|
15,794
|
15,715
|
|
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 7.04%, 4/15/2038 (a) (l)
|
18,949
|
18,937
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class F, 2.72%, 12/15/2036 (a)
|
40,772
|
24,851
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-01, Class M10, 7.69%, 10/25/2049 (a) (l)
|
33,446
|
33,644
|
|
Series 2020-01, Class M10, 8.19%, 3/25/2050 (a) (l)
|
46,602
|
47,279
|
|
Series 2023-01, Class M10, 10.82%, 11/25/2053 (a) (l)
|
53,430
|
59,706
|
|
Series 2025-01, Class M1, 6.71%, 5/25/2055 ‡ (a) (l)
|
14,000
|
14,000
|
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.62%, 12/18/2051 (a) (l)
|
8,882
|
7,425
|
|
RFM Re-REMIC Trust Series 2022-FRR1, Class BK55, PO, 3/28/2049 (a)
|
10,552
|
9,926
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
ROCK Trust Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (a)
|
15,550
|
15,746
|
|
SBALR Commercial Mortgage Trust
|
|
|
|
Series 2020-RR1, Class XA, IO, 1.22%, 2/13/2053 (a) (l)
|
57,120
|
2,457
|
|
Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a)
|
34,374
|
29,590
|
|
Series RR Trust Series 2015-1, Class B, PO, 4/26/2048 (a)
|
1,119
|
1,113
|
|
Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A4, 3.66%, 9/15/2058
|
4,048
|
4,035
|
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.07%, 3/15/2045 (a) (l)
|
6,446
|
5,440
|
|
Worldwide Plaza Trust Series 2017-WWP, Class A, 3.53%, 11/10/2036 (a)
|
20,227
|
14,312
|
|
Total Commercial Mortgage-Backed Securities
(Cost $2,467,653)
|
|
2,414,415
|
|
U.S. Treasury Obligations — 8.8%
|
||
|
U.S. Treasury Bonds
|
|
|
|
1.13%, 5/15/2040
|
96,228
|
58,459
|
|
1.13%, 8/15/2040
|
109,111
|
65,577
|
|
4.75%, 2/15/2041
|
47,175
|
46,908
|
|
2.25%, 5/15/2041
|
46,603
|
33,172
|
|
4.38%, 5/15/2041
|
47,554
|
45,242
|
|
2.00%, 11/15/2041
|
45,879
|
30,920
|
|
3.13%, 11/15/2041
|
40,953
|
32,905
|
|
4.00%, 11/15/2042
|
115,131
|
103,092
|
|
3.63%, 8/15/2043
|
11,821
|
9,973
|
|
3.75%, 11/15/2043
|
63,896
|
54,749
|
|
4.75%, 11/15/2043
|
40,219
|
39,432
|
|
3.38%, 5/15/2044
|
47,111
|
37,952
|
|
2.50%, 2/15/2045
|
66,979
|
46,084
|
|
3.00%, 5/15/2045
|
44,672
|
33,473
|
|
3.00%, 2/15/2047
|
141,111
|
103,711
|
|
3.00%, 8/15/2048
|
52,999
|
38,304
|
|
3.38%, 11/15/2048
|
101,186
|
78,249
|
|
1.88%, 2/15/2051
|
30,232
|
16,541
|
|
2.38%, 5/15/2051
|
152,748
|
94,507
|
|
2.25%, 2/15/2052
|
28,956
|
17,243
|
|
U.S. Treasury Notes
|
|
|
|
2.00%, 8/15/2025 (m)
|
11,603
|
11,548
|
|
1.13%, 10/31/2026 (m)
|
165,947
|
159,367
|
|
0.50%, 8/31/2027
|
183,364
|
170,113
|
|
4.50%, 5/31/2029
|
244,231
|
249,401
|
|
4.88%, 10/31/2030
|
41,863
|
43,582
|
|
4.25%, 11/15/2034
|
153,229
|
151,721
|
|
U.S. Treasury STRIPS Bonds
|
|
|
|
4.48%, 5/15/2031 (n)
|
141,586
|
110,379
|
|
5.04%, 11/15/2033 (n)
|
30,160
|
20,769
|
|
4.99%, 5/15/2040 (n)
|
63,558
|
30,076
|
|
3.26%, 8/15/2040 (n)
|
37,081
|
17,256
|
|
3.18%, 8/15/2041 (n)
|
129,383
|
57,008
|
|
4.12%, 2/15/2042 (n)
|
10,407
|
4,446
|
|
3.69%, 5/15/2042 (n)
|
18,492
|
7,788
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
3.84%, 11/15/2042 (n)
|
7,625
|
3,119
|
|
2.40%, 11/15/2043 (n)
|
24,977
|
9,647
|
|
Total U.S. Treasury Obligations
(Cost $2,342,207)
|
|
2,032,713
|
|
Collateralized Mortgage Obligations — 4.1%
|
||
|
ABL Series 2024-RTL1, Class A1, 6.08%, 9/25/2029 (a) (g)
|
9,350
|
9,354
|
|
Alternative Loan Trust
|
|
|
|
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025
|
—
|
—
|
|
Series 2003-J3, Class 2A1, 6.25%, 12/25/2033
|
9
|
10
|
|
Series 2004-22CB, Class 1A1, 6.00%, 10/25/2034
|
184
|
190
|
|
Series 2005-23CB, Class A2, 5.50%, 7/25/2035
|
116
|
94
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
444
|
338
|
|
Series 2005-86CB, Class A11, 5.50%, 2/25/2036
|
280
|
159
|
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
113
|
56
|
|
American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (l)
|
1
|
1
|
|
Anchor Mortgage Trust
|
|
|
|
8.23%, 3/25/2031 ‡ (l)
|
12,500
|
12,677
|
|
10.14%, 3/25/2031 ‡ (l)
|
7,500
|
7,735
|
|
Banc of America Alternative Loan Trust Series 2004-6, Class 4A1, 5.00%, 7/25/2019
|
9
|
8
|
|
Banc of America Funding Trust
|
|
|
|
Series 2005-5, Class 3A5, 5.50%, 8/25/2035
|
551
|
511
|
|
Series 2005-7, Class 30, PO, 11/25/2035
|
18
|
18
|
|
Banc of America Mortgage Trust Series 2004-F, Class 1A1, 6.59%, 7/25/2034 (l)
|
36
|
35
|
|
Bear Stearns ARM Trust Series 2003-7, Class 3A, 7.04%, 10/25/2033 (l)
|
8
|
9
|
|
Bear Stearns Mortgage Securities, Inc. Series 1997-6, Class 1A, 8.83%, 3/25/2031 (l)
|
—
|
—
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust Series 2024-RTL1, Class A2,
8.34%, 10/25/2029 ‡ (a) (g)
|
8,691
|
8,873
|
|
Chase Mortgage Finance Trust Series 2007-A2, Class 2A1, 6.67%, 6/25/2035 (l)
|
214
|
212
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡
|
4
|
2
|
|
Series 2004-3, Class A25, 5.75%, 4/25/2034
|
53
|
52
|
|
Series 2004-5, Class 2A9, 5.25%, 5/25/2034
|
57
|
58
|
|
Series 2005-22, Class 2A1, 5.20%, 11/25/2035 (l)
|
132
|
108
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2004-UST1, Class A3, 6.91%, 8/25/2034 (l)
|
24
|
23
|
|
Series 2004-HYB4, Class AA, 4.77%, 12/25/2034 (l)
|
15
|
14
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) Series 2005-7,
Class 5A1, 4.75%, 8/25/2020
|
1
|
—
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2005-10, Class 6A13, 5.50%, 11/25/2035
|
166
|
53
|
|
Series 2005-10, Class 10A4, 6.00%, 11/25/2035
|
194
|
44
|
|
CVS Pass-Through Trust
|
|
|
|
Series 2009, 8.35%, 7/10/2031 (a)
|
182
|
197
|
|
5.77%, 1/10/2033 (a)
|
241
|
239
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3, Class 4A, PO, 6/25/2035
|
3
|
2
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-2, Class HB, 3.00%, 8/25/2056 (g)
|
12,000
|
9,569
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
7,958
|
7,081
|
|
Series 2018-4, Class HZ, 3.00%, 3/25/2058
|
12,668
|
8,378
|
|
Series 2019-3, Class MT, 3.50%, 10/25/2058
|
33,973
|
30,132
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
12,445
|
11,604
|
|
Series 2019-4, Class MB, 3.00%, 2/25/2059
|
41,744
|
30,579
|
|
Series 2020-1, Class MB, 2.50%, 8/25/2059
|
32,000
|
22,510
|
|
Series 2021-1, Class BXS, 14.39%, 9/25/2060 (a) (l)
|
10,142
|
7,140
|
|
Series 2021-2, Class BXS, 15.44%, 11/25/2060 (a) (l)
|
4,769
|
3,233
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
26,258
|
22,371
|
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
22,284
|
18,506
|
|
Series 2024-2, Class MT, 3.50%, 5/25/2064
|
37,903
|
32,576
|
|
FHLMC, REMIC
|
|
|
|
Series 3005, Class ED, 5.00%, 7/15/2025
|
—
|
—
|
|
Series 4030, Class IL, IO, 3.50%, 4/15/2027
|
40
|
—
|
|
Series 4060, Class TB, 2.50%, 6/15/2027
|
1,737
|
1,704
|
|
Series 2022, Class PE, 6.50%, 1/15/2028
|
2
|
2
|
|
Series 2036, Class PG, 6.50%, 1/15/2028
|
15
|
15
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
4
|
—
|
|
Series 2091, Class PG, 6.00%, 11/15/2028
|
50
|
51
|
|
Series 2116, Class ZA, 6.00%, 1/15/2029
|
12
|
13
|
|
Series 2148, Class ZA, 6.00%, 4/15/2029
|
4
|
4
|
|
Series 2995, Class FT, 4.70%, 5/15/2029 (l)
|
21
|
20
|
|
Series 2530, Class SK, IF, IO, 3.65%, 6/15/2029 (l)
|
72
|
4
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
7
|
7
|
|
Series 3648, Class CY, 4.50%, 3/15/2030
|
116
|
116
|
|
Series 3737, Class DG, 5.00%, 10/15/2030
|
2
|
2
|
|
Series 2293, Class ZA, 6.00%, 3/15/2031
|
17
|
18
|
|
Series 2310, Class Z, 6.00%, 4/15/2031
|
3
|
3
|
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
1
|
1
|
|
Series 2325, Class JO, PO, 6/15/2031
|
19
|
17
|
|
Series 2330, Class PE, 6.50%, 6/15/2031
|
44
|
45
|
|
Series 2410, Class QB, 6.25%, 2/15/2032
|
103
|
104
|
|
Series 2534, Class SI, IF, 9.50%, 2/15/2032 (l)
|
13
|
15
|
|
Series 2427, Class GE, 6.00%, 3/15/2032
|
225
|
233
|
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
146
|
152
|
|
Series 2594, Class IV, IO, 7.00%, 3/15/2032
|
24
|
2
|
|
Series 2643, Class SA, IF, 16.60%, 3/15/2032 (l)
|
3
|
4
|
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
16
|
16
|
|
Series 4146, Class KI, IO, 3.00%, 12/15/2032
|
1,757
|
134
|
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
86
|
89
|
|
Series 2557, Class HL, 5.30%, 1/15/2033
|
53
|
53
|
|
Series 2586, IO, 6.50%, 3/15/2033
|
101
|
8
|
|
Series 2610, Class UI, IO, 6.50%, 5/15/2033
|
75
|
11
|
|
Series 2764, Class S, IF, 2.63%, 7/15/2033 (l)
|
11
|
11
|
|
Series 2656, Class AC, 6.00%, 8/15/2033
|
32
|
33
|
|
Series 2733, Class SB, IF, 4.01%, 10/15/2033 (l)
|
101
|
98
|
|
Series 3005, Class PV, IF, 5.74%, 10/15/2033 (l)
|
—
|
—
|
|
Series 2699, Class W, 5.50%, 11/15/2033
|
81
|
84
|
|
Series 3611, PO, 7/15/2034
|
23
|
20
|
|
Series 2845, Class QH, 5.00%, 8/15/2034
|
62
|
63
|
|
Series 2912, Class EH, 5.50%, 1/15/2035
|
337
|
349
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3059, Class B, 5.00%, 2/15/2035
|
—
|
—
|
|
Series 2980, Class QB, 6.50%, 5/15/2035
|
13
|
14
|
|
Series 3031, Class BN, IF, 4.19%, 8/15/2035 (l)
|
164
|
171
|
|
Series 3117, Class EO, PO, 2/15/2036
|
43
|
38
|
|
Series 3134, PO, 3/15/2036
|
13
|
11
|
|
Series 3152, Class MO, PO, 3/15/2036
|
86
|
75
|
|
Series 3184, Class YO, PO, 3/15/2036
|
193
|
164
|
|
Series 3138, PO, 4/15/2036
|
16
|
14
|
|
Series 3187, Class Z, 5.00%, 7/15/2036
|
431
|
440
|
|
Series 3542, Class TN, IF, 6.00%, 7/15/2036 (l)
|
9
|
9
|
|
Series 3201, Class IN, IF, IO, 1.80%, 8/15/2036 (l)
|
82
|
5
|
|
Series 3202, Class HI, IF, IO, 2.20%, 8/15/2036 (l)
|
301
|
27
|
|
Series 3855, Class AM, 6.50%, 11/15/2036
|
44
|
46
|
|
Series 3274, Class B, 6.00%, 2/15/2037
|
46
|
48
|
|
Series 3292, Class DO, PO, 3/15/2037
|
26
|
23
|
|
Series 3305, Class IW, IF, IO, 2.00%, 4/15/2037 (l)
|
108
|
5
|
|
Series 3306, Class TC, IF, 6.66%, 4/15/2037 (l)
|
8
|
8
|
|
Series 3306, Class TB, IF, 7.20%, 4/15/2037 (l)
|
9
|
9
|
|
Series 3331, PO, 6/15/2037
|
19
|
16
|
|
Series 3605, Class NC, 5.50%, 6/15/2037
|
242
|
252
|
|
Series 3383, Class OP, PO, 11/15/2037
|
31
|
26
|
|
Series 3409, Class DB, 6.00%, 1/15/2038
|
257
|
269
|
|
Series 3546, Class A, 6.83%, 2/15/2039 (l)
|
27
|
28
|
|
Series 3531, Class SM, IF, IO, 1.65%, 5/15/2039 (l)
|
10
|
1
|
|
Series 3572, Class JS, IF, IO, 2.35%, 9/15/2039 (l)
|
25
|
2
|
|
Series 3592, Class BZ, 5.00%, 10/15/2039
|
964
|
982
|
|
Series 3609, Class SA, IF, IO, 1.89%, 12/15/2039 (l)
|
172
|
10
|
|
Series 3610, Class CA, 4.50%, 12/15/2039
|
82
|
82
|
|
Series 3653, Class HJ, 5.00%, 4/15/2040
|
37
|
37
|
|
Series 3677, Class PB, 4.50%, 5/15/2040
|
545
|
544
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (l)
|
76
|
76
|
|
Series 4796, Class CZ, 4.00%, 5/15/2048
|
10,010
|
9,367
|
|
Series 4830, Class WZ, 4.00%, 9/15/2048
|
9,917
|
9,270
|
|
Series 5354, PO, 10/25/2053
|
4,176
|
3,130
|
|
FHLMC, STRIPS
|
|
|
|
Series 186, PO, 8/1/2027
|
18
|
18
|
|
Series 262, Class 35, 3.50%, 7/15/2042
|
1,408
|
1,310
|
|
Series 279, Class 35, 3.50%, 9/15/2042
|
367
|
341
|
|
Series 323, Class 300, 3.00%, 1/15/2044
|
1,399
|
1,247
|
|
Series 334, Class 300, 3.00%, 8/15/2044
|
1,352
|
1,224
|
|
Series 406, PO, 10/25/2053
|
14,633
|
11,811
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan Series T-76, Class 2A, 2.34%,
10/25/2037 (l)
|
169
|
151
|
|
First Horizon Alternative Mortgage Securities Trust Series 2004-AA3, Class A1, 5.18%,
9/25/2034 (l)
|
27
|
27
|
|
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.48%, 12/25/2034 (l)
|
35
|
34
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2003-W3, Class 2A5, 5.36%, 6/25/2042
|
6
|
6
|
|
Series 2003-W6, Class 1A41, 5.40%, 10/25/2042
|
63
|
64
|
|
Series 2004-W2, Class 1A, 6.00%, 2/25/2044
|
64
|
65
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2004-W9, Class 1A3, 6.05%, 2/25/2044
|
141
|
145
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
16
|
17
|
|
Series 2004-W8, Class 3A, 7.50%, 6/25/2044
|
34
|
35
|
|
Series 2005-W4, Class 1A1, 6.00%, 8/25/2045
|
67
|
68
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
95,535
|
92,531
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 2001-T12, IO, 0.50%, 8/25/2041 (l)
|
5,190
|
24
|
|
Series 2002-T4, IO, 0.40%, 12/25/2041 (l)
|
12,917
|
183
|
|
Series 2002-T4, Class A2, 7.00%, 12/25/2041
|
154
|
159
|
|
Series 2002-T4, Class A4, 9.50%, 12/25/2041
|
263
|
281
|
|
Series 2002-T19, Class A1, 6.50%, 7/25/2042
|
230
|
240
|
|
Series 2002-T16, Class A2, 7.00%, 7/25/2042
|
278
|
290
|
|
Series 2004-T2, Class 1A3, 7.00%, 11/25/2043
|
78
|
80
|
|
Series 2004-T2, Class 1A4, 7.50%, 11/25/2043
|
81
|
82
|
|
Series 2004-T1, Class 1A1, 6.00%, 1/25/2044
|
102
|
105
|
|
Series 2004-T3, Class 14, IO, 0.60%, 2/25/2044 (l)
|
1,868
|
13
|
|
FNMA, REMIC
|
|
|
|
Series 1997-20, Class D, 7.00%, 3/17/2027
|
1
|
1
|
|
Series 1997-11, Class E, 7.00%, 3/18/2027
|
1
|
1
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
1
|
1
|
|
Series 2012-46, Class KI, IO, 3.50%, 5/25/2027
|
149
|
3
|
|
Series 1997-42, Class EG, 8.00%, 7/18/2027
|
6
|
6
|
|
Series 1997-63, Class ZA, 6.50%, 9/18/2027
|
1
|
1
|
|
Series 2013-13, Class IK, IO, 2.50%, 3/25/2028
|
938
|
22
|
|
Series 1999-47, Class JZ, 8.00%, 9/18/2029
|
30
|
30
|
|
Series 2000-8, Class Z, 7.50%, 2/20/2030
|
28
|
29
|
|
Series 2001-36, Class ST, IF, IO, 4.06%, 11/25/2030 (l)
|
36
|
3
|
|
Series 2001-14, Class Z, 6.00%, 5/25/2031
|
17
|
18
|
|
Series 2001-16, Class Z, 6.00%, 5/25/2031
|
19
|
20
|
|
Series 2001-72, Class SB, IF, IO, 3.06%, 12/25/2031 (l)
|
97
|
5
|
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
173
|
180
|
|
Series 2002-19, Class SC, IF, 6.40%, 3/17/2032 (l)
|
2
|
2
|
|
Series 2002-56, Class PE, 6.00%, 9/25/2032
|
226
|
234
|
|
Series 2002-86, Class PG, 6.00%, 12/25/2032
|
160
|
165
|
|
Series 2012-148, Class IE, IO, 3.00%, 1/25/2033
|
1,780
|
141
|
|
Series 2003-25, Class KP, 5.00%, 4/25/2033
|
451
|
448
|
|
Series 2003-22, Class Z, 6.00%, 4/25/2033
|
124
|
128
|
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
135
|
140
|
|
Series 2003-64, Class SX, IF, 2.59%, 7/25/2033 (l)
|
8
|
8
|
|
Series 2003-91, Class SD, IF, 5.11%, 9/25/2033 (l)
|
2
|
2
|
|
Series 2003-130, Class HZ, 6.00%, 1/25/2034
|
4,109
|
4,286
|
|
Series 2004-72, Class F, 4.94%, 9/25/2034 (l)
|
21
|
20
|
|
Series 2005-19, Class PB, 5.50%, 3/25/2035
|
796
|
817
|
|
Series 2005-42, Class PS, IF, 5.91%, 5/25/2035 (l)
|
1
|
1
|
|
Series 2005-51, Class MO, PO, 6/25/2035
|
16
|
10
|
|
Series 2005-53, Class CS, IF, IO, 2.26%, 6/25/2035 (l)
|
100
|
4
|
|
Series 2005-65, Class KO, PO, 8/25/2035
|
24
|
22
|
|
Series 2005-72, Class WS, IF, IO, 2.31%, 8/25/2035 (l)
|
42
|
3
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
25
|
25
|
|
Series 2005-90, Class ES, IF, 5.78%, 10/25/2035 (l)
|
14
|
15
|
|
Series 2005-106, Class US, IF, 8.30%, 11/25/2035 (l)
|
9
|
9
|
|
Series 2006-9, Class KZ, 6.00%, 3/25/2036
|
98
|
102
|
|
Series 2006-22, Class AO, PO, 4/25/2036
|
48
|
43
|
|
Series 2006-27, Class OB, PO, 4/25/2036
|
416
|
343
|
|
Series 2006-27, Class OH, PO, 4/25/2036
|
11
|
9
|
|
Series 2006-20, Class IB, IF, IO, 2.15%, 4/25/2036 (l)
|
93
|
8
|
|
Series 2011-19, Class ZY, 6.50%, 7/25/2036
|
86
|
92
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
47
|
48
|
|
Series 2006-110, PO, 11/25/2036
|
48
|
42
|
|
Series 2006-128, PO, 1/25/2037
|
51
|
43
|
|
Series 2007-10, Class Z, 6.00%, 2/25/2037
|
16
|
16
|
|
Series 2007-22, Class SC, IF, IO, 1.64%, 3/25/2037 (l)
|
19
|
—
|
|
Series 2007-54, Class IB, IF, IO, 1.97%, 6/25/2037 (l)
|
1,611
|
159
|
|
Series 2007-109, Class YI, IF, IO, 2.01%, 12/25/2037 (l)
|
796
|
81
|
|
Series 2008-91, Class SI, IF, IO, 1.56%, 3/25/2038 (l)
|
162
|
6
|
|
Series 2010-70, Class SA, IF, IO, 6.00%, 4/25/2038 (l)
|
322
|
46
|
|
Series 2008-62, Class SM, IF, IO, 1.76%, 7/25/2038 (l)
|
300
|
17
|
|
Series 2009-29, Class LA, 1.10%, 5/25/2039 (l)
|
160
|
136
|
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
98
|
15
|
|
Series 2009-112, Class ST, IF, IO, 1.81%, 1/25/2040 (l)
|
167
|
16
|
|
Series 2009-112, Class SW, IF, IO, 1.81%, 1/25/2040 (l)
|
110
|
10
|
|
Series 2010-10, Class NT, 5.00%, 2/25/2040
|
413
|
419
|
|
Series 2010-49, Class SC, IF, 3.79%, 3/25/2040 (l)
|
60
|
57
|
|
Series 2010-35, Class SB, IF, IO, 1.98%, 4/25/2040 (l)
|
163
|
10
|
|
Series 2010-129, Class PZ, 4.50%, 11/25/2040
|
1,192
|
1,098
|
|
Series 2011-126, Class KB, 4.00%, 12/25/2041
|
5,441
|
5,345
|
|
Series 2016-33, Class JA, 3.00%, 7/25/2045
|
6,130
|
5,777
|
|
Series 2016-38, Class NA, 3.00%, 1/25/2046
|
4,929
|
4,563
|
|
Series 2007-71, Class GZ, 6.00%, 7/25/2047
|
53
|
56
|
|
Series 2019-20, Class H, 3.50%, 5/25/2049
|
5,354
|
4,861
|
|
Series 2025-18, Class MA, 0.50%, 9/25/2054
|
91,883
|
74,577
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2002-W7, Class 1, IO, 0.87%, 6/25/2029 (l)
|
2,001
|
38
|
|
Series 2001-W3, Class A, 4.51%, 9/25/2041 (l)
|
83
|
83
|
|
Series 2002-W10, IO, 0.90%, 8/25/2042 (l)
|
1,103
|
41
|
|
Series 2003-W4, Class 2A, 5.16%, 10/25/2042 (l)
|
44
|
44
|
|
Series 2004-W11, Class 11, IO, 0.35%, 5/25/2044 (l)
|
6,288
|
124
|
|
FNMA, STRIPS
|
|
|
|
Series 313, Class 1, PO, 6/25/2031
|
176
|
160
|
|
Series 380, Class S36, IF, IO, 3.46%, 7/25/2037 (l)
|
58
|
8
|
|
Series 383, Class 68, IO, 6.50%, 9/25/2037
|
35
|
7
|
|
Series 383, Class 86, IO, 7.00%, 9/25/2037 (l)
|
22
|
4
|
|
Series 383, Class 69, IO, 6.50%, 10/25/2037 (l)
|
49
|
8
|
|
GMACM Mortgage Loan Trust
|
|
|
|
Series 2003-J10, Class A1, 4.75%, 1/25/2019
|
11
|
10
|
|
Series 2005-AR3, Class 3A4, 4.61%, 6/19/2035 (l)
|
18
|
18
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GNMA
|
|
|
|
Series 2014-60, Class W, 4.05%, 2/20/2029 (l)
|
99
|
98
|
|
Series 2003-18, Class PG, 5.50%, 3/20/2033
|
185
|
184
|
|
Series 2003-52, Class SB, IF, 3.77%, 6/16/2033 (l)
|
22
|
22
|
|
Series 2003-101, Class SK, IF, IO, 2.12%, 10/17/2033 (l)
|
292
|
1
|
|
Series 2004-2, Class SA, IF, 4.26%, 1/16/2034 (l)
|
92
|
91
|
|
Series 2004-19, Class KE, 5.00%, 3/16/2034
|
773
|
769
|
|
Series 2004-86, Class SP, IF, IO, 1.66%, 9/20/2034 (l)
|
54
|
1
|
|
Series 2004-90, Class SI, IF, IO, 1.66%, 10/20/2034 (l)
|
144
|
8
|
|
Series 2010-31, Class SK, IF, IO, 1.66%, 11/20/2034 (l)
|
98
|
3
|
|
Series 2004-105, Class SN, IF, IO, 1.66%, 12/20/2034 (l)
|
325
|
7
|
|
Series 2005-56, Class IC, IO, 5.50%, 7/20/2035
|
23
|
3
|
|
Series 2006-26, Class S, IF, IO, 2.06%, 6/20/2036 (l)
|
257
|
5
|
|
Series 2006-33, Class PK, 6.00%, 7/20/2036
|
78
|
79
|
|
Series 2009-81, Class A, 5.75%, 9/20/2036
|
42
|
43
|
|
Series 2007-7, Class EI, IF, IO, 1.76%, 2/20/2037 (l)
|
370
|
21
|
|
Series 2007-9, Class CI, IF, IO, 1.76%, 3/20/2037 (l)
|
232
|
15
|
|
Series 2007-17, Class JO, PO, 4/16/2037
|
27
|
22
|
|
Series 2007-16, Class KU, IF, IO, 2.21%, 4/20/2037 (l)
|
242
|
10
|
|
Series 2007-22, Class PK, 5.50%, 4/20/2037
|
391
|
396
|
|
Series 2007-26, Class SC, IF, IO, 1.76%, 5/20/2037 (l)
|
80
|
2
|
|
Series 2007-24, Class SA, IF, IO, 2.07%, 5/20/2037 (l)
|
363
|
20
|
|
Series 2009-16, Class SJ, IF, IO, 2.36%, 5/20/2037 (l)
|
378
|
19
|
|
Series 2008-34, Class OC, PO, 6/20/2037
|
80
|
64
|
|
Series 2009-106, Class XL, IF, IO, 2.31%, 6/20/2037 (l)
|
116
|
6
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
57
|
47
|
|
Series 2007-67, Class SI, IF, IO, 2.07%, 11/20/2037 (l)
|
77
|
1
|
|
Series 2008-40, Class SA, IF, IO, 1.96%, 5/16/2038 (l)
|
231
|
11
|
|
Series 2008-40, Class PS, IF, IO, 2.06%, 5/16/2038 (l)
|
104
|
6
|
|
Series 2008-50, Class SA, IF, IO, 1.79%, 6/20/2038 (l)
|
564
|
33
|
|
Series 2008-49, Class PH, 5.25%, 6/20/2038
|
405
|
406
|
|
Series 2008-55, Class PL, 5.50%, 6/20/2038
|
381
|
381
|
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
156
|
4
|
|
Series 2009-75, Class IY, IO, 5.50%, 6/20/2039
|
99
|
3
|
|
Series 2009-72, Class SM, IF, IO, 1.81%, 8/16/2039 (l)
|
132
|
10
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
125
|
106
|
|
Series 2015-157, Class GA, 3.00%, 1/20/2045
|
219
|
211
|
|
Series 2025-6, Class GA, 3.50%, 1/20/2048
|
57,975
|
55,129
|
|
Series 2022-83, Class GZ, 3.00%, 5/20/2052
|
15,800
|
12,290
|
|
Series 2012-H11, Class FA, 5.13%, 2/20/2062 (l)
|
681
|
686
|
|
Series 2012-H18, Class FA, 4.98%, 8/20/2062 (l)
|
67
|
68
|
|
Series 2013-H04, Class BA, 1.65%, 2/20/2063
|
5
|
5
|
|
Series 2013-H20, Class FB, 5.43%, 8/20/2063 (l)
|
187
|
190
|
|
Series 2013-H23, Class FA, 5.73%, 9/20/2063 (l)
|
275
|
279
|
|
Series 2015-H02, Class HA, 2.50%, 1/20/2065
|
187
|
183
|
|
Series 2015-H04, Class FL, 4.91%, 2/20/2065 (l)
|
1,667
|
1,671
|
|
Series 2015-H23, Class FB, 4.95%, 9/20/2065 (l)
|
2,075
|
2,082
|
|
Series 2015-H32, Class FH, 5.09%, 12/20/2065 (l)
|
226
|
227
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2016-H16, Class FD, 6.30%, 6/20/2066 (l)
|
2,832
|
2,862
|
|
Series 2016-H17, Class FC, 5.26%, 8/20/2066 (l)
|
1,960
|
1,966
|
|
Series 2017-H08, Class XI, IO, 2.28%, 3/20/2067 (l)
|
7,252
|
315
|
|
Series 2017-H11, Class XI, IO, 1.47%, 5/20/2067 (l)
|
21,408
|
808
|
|
Series 2017-H14, Class XI, IO, 1.53%, 6/20/2067 (l)
|
8,818
|
239
|
|
Series 2017-H14, Class AI, IO, 1.97%, 6/20/2067 (l)
|
9,454
|
532
|
|
Series 2017-H23, Class FA, 4.91%, 10/20/2067 (l)
|
9,200
|
9,231
|
|
Series 2019-H09, Class FA, 4.93%, 5/20/2069 (l)
|
6,742
|
6,770
|
|
Series 2021-H10, Class AF, 5.83%, 6/20/2071 (l)
|
22,492
|
23,035
|
|
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡
|
332
|
320
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2003-7F, Class 1A4, 5.25%, 6/25/2033
|
29
|
29
|
|
Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
31
|
32
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
41
|
43
|
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
17
|
18
|
|
Series 2005-5F, Class 8A1, 4.94%, 6/25/2035 (l)
|
7
|
7
|
|
Series 2005-5F, Class 8A3, 4.94%, 6/25/2035 (l)
|
4
|
4
|
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 9.82%, 10/25/2034 (a) (l)
|
18,687
|
19,467
|
|
Impac CMB Trust
|
|
|
|
Series 2004-10, Class 3A1, 5.14%, 3/25/2035 (l)
|
92
|
89
|
|
Series 2004-10, Class 3A2, 5.24%, 3/25/2035 (l)
|
60
|
59
|
|
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033
|
4
|
3
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2004-S2, Class 5A1, 5.50%, 12/25/2019
|
16
|
16
|
|
Series 2006-A2, Class 5A3, 7.11%, 11/25/2033 (l)
|
18
|
18
|
|
Series 2006-A2, Class 4A1, 7.21%, 8/25/2034 (l)
|
46
|
46
|
|
Series 2004-S1, Class 3A1, 5.50%, 9/25/2034
|
17
|
17
|
|
Series 2004-S2, Class 4A5, 6.00%, 11/25/2034
|
179
|
164
|
|
Series 2007-A1, Class 5A2, 6.38%, 7/25/2035 (l)
|
11
|
11
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 (a) (g)
|
10,363
|
10,363
|
|
Series 2023-RTL2, Class A1, 8.00%, 6/25/2028 (a) (g)
|
16,800
|
16,868
|
|
Series 2023-RTL4, Class A1, 7.63%, 11/25/2028 (a) (g)
|
29,890
|
30,170
|
|
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 6.83%, 4/21/2034 (l)
|
12
|
12
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
161
|
160
|
|
Series 2004-6, Class 6A1, 6.50%, 7/25/2034
|
208
|
211
|
|
Series 2004-7, Class 30, PO, 8/25/2034
|
14
|
10
|
|
Series 2004-7, Class 3A1, 6.50%, 8/25/2034
|
9
|
9
|
|
MASTR Asset Securitization Trust
|
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
|
Series 2004-6, Class 3A1, 5.25%, 7/25/2019 ‡
|
—
|
—
|
|
Series 2004-P7, Class A6, 5.50%, 12/27/2033 (a)
|
26
|
22
|
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (a)
|
8
|
6
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2004-C, Class A2, 5.30%, 7/25/2029 (l)
|
18
|
18
|
|
Series 2004-D, Class A3, 6.24%, 9/25/2029 (l)
|
11
|
10
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
MFA Trust Series 2024-NPL1, Class A1, 6.33%, 9/25/2054 (g)
|
11,784
|
11,792
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2004-3, Class 4A, 5.64%, 4/25/2034 (l)
|
86
|
84
|
|
Series 2004-7AR, Class 2A6, 5.74%, 9/25/2034 (l)
|
21
|
21
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (l)
|
57
|
52
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (g)
|
12,965
|
13,042
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (a) (g)
|
15,200
|
15,083
|
|
NRM FHT1 Excess Owner LLC Series 2025-FHT1, Class A, 6.55%, 3/25/2032 (a) (g)
|
59,336
|
58,761
|
|
NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (a) (g)
|
24,500
|
24,314
|
|
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038
|
38
|
41
|
|
Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034
|
27
|
26
|
|
PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (a) (g)
|
3,126
|
3,054
|
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 11.07%, 9/25/2032 (a) (l)
|
11,858
|
12,359
|
|
RALI Trust Series 2005-QS5, Class A4, 5.75%, 4/25/2035
|
561
|
483
|
|
Residential Asset Securitization Trust
|
|
|
|
Series 2003-A8, Class A1, 3.75%, 10/25/2018
|
8
|
8
|
|
Series 2006-A6, Class 2A13, 6.00%, 7/25/2036
|
82
|
40
|
|
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 ‡ (a)
|
8
|
8
|
|
Seasoned Credit Risk Transfer Trust Series 2025-1, Class MTU, 3.25%, 11/25/2064
|
24,667
|
21,114
|
|
Seasoned Loans Structured Transaction Trust Series 2024-2, Class VF, 5.57%, 10/25/2034 (a) (l)
|
34,075
|
33,956
|
|
Sequoia Mortgage Trust Series 2004-8, Class A2, 5.46%, 9/20/2034 (l)
|
113
|
105
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-14, Class 1A, 5.38%, 10/25/2034 (l)
|
18
|
17
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-26A, Class 3A5, 5.67%, 9/25/2033 (l)
|
215
|
208
|
|
Series 2003-37A, Class 2A, 5.75%, 12/25/2033 (l)
|
28
|
28
|
|
Series 2003-37A, Class 1A, 5.77%, 12/25/2033 (l)
|
350
|
347
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (a) (g)
|
1,933
|
1,893
|
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (l)
|
33,739
|
28,974
|
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
29,122
|
24,348
|
|
Vendee Mortgage Trust
|
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
23
|
23
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
141
|
142
|
|
Series 1999-1, Class 2Z, 6.50%, 1/15/2029
|
24
|
24
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-AR8, Class A, 6.22%, 8/25/2033 (l)
|
47
|
46
|
|
Series 2003-AR9, Class 1A6, 6.55%, 9/25/2033 (l)
|
36
|
36
|
|
Series 2004-AR3, Class A1, 5.42%, 6/25/2034 (l)
|
13
|
12
|
|
Series 2004-AR3, Class A2, 5.42%, 6/25/2034 (l)
|
117
|
109
|
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
101
|
101
|
|
Series 2004-AR11, Class A, 6.93%, 10/25/2034 (l)
|
96
|
94
|
|
Series 2005-AR2, Class 2A21, 5.10%, 1/25/2045 (l)
|
12
|
12
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class
CB7, 5.50%, 6/25/2035
|
206
|
187
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA1, Class
2A, 7.00%, 3/25/2034
|
67
|
69
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
Series 2004-K, Class 1A2, 7.49%, 7/25/2034 (l)
|
22
|
22
|
|
Series 2004-U, Class A1, 7.30%, 10/25/2034 (l)
|
54
|
54
|
|
Total Collateralized Mortgage Obligations
(Cost $983,980)
|
|
940,309
|
|
Loan Assignments — 1.3% (o)
|
||
|
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 (c)
|
6,413
|
6,377
|
|
Beverages — 0.0% ^
|
||
|
Primo Brands Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.55%, 3/31/2028 (c)
|
7,620
|
7,618
|
|
Building Products — 0.1%
|
||
|
EMRLD Borrower LP, 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 2.50%), 6.93%, 5/31/2030 (c)
|
8,848
|
8,797
|
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 3/28/2031 (c)
|
3,275
|
3,266
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
3/19/2029 (c)
|
5,135
|
5,127
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
2/10/2032 (c)
|
3,600
|
3,582
|
|
|
|
20,772
|
|
Chemicals — 0.1%
|
||
|
Axalta Coating Systems US Holdings, Inc., 1st Lien Term Loan B-7 (3-MONTH CME TERM
SOFR + 1.75%), 6.05%,
12/20/2029 (c)
|
4,742
|
4,750
|
|
INEOS US Finance LLC, 1st Lien Term Loan (Luxembourg) (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 2/18/2030 (c)
|
5,123
|
4,947
|
|
|
|
9,697
|
|
Commercial Services & Supplies — 0.0% ^
|
||
|
Madison IAQ LLC, 1st Lien Term Loan (6-MONTH CME TERM SOFR + 2.50%), 6.76%, 6/21/2028 (c)
|
3,505
|
3,500
|
|
Consumer Staples Distribution & Retail — 0.0% ^
|
||
|
Moran Foods LLC, 1st Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (c)
|
1,080
|
854
|
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan (3-MONTH CME TERM SOFR
+ 11.50%), 15.91%,
6/30/2026 ‡ (c)
|
30
|
31
|
|
Moran Foods LLC, 1st Lien Term Loan (12-MONTH CME TERM SOFR + 8.50%), 12.70%, 1/2/2029 ‡ (c)
|
239
|
239
|
|
Moran Foods LLC, 1st Lien Term Loan A (12-MONTH CME TERM SOFR + 2.50%), 6.28%, 1/2/2029 ‡ (c)
|
273
|
273
|
|
Moran Foods LLC, 2nd Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡ (c)
|
1,333
|
642
|
|
|
|
2,039
|
|
Containers & Packaging — 0.0% ^
|
||
|
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%,
8/4/2027 (c)
|
4,736
|
4,735
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Wand NewCo 3, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 1/30/2031 (c)
|
3,570
|
3,534
|
|
Diversified Telecommunication Services — 0.0% ^
|
||
|
Iridium Satellite LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.58%,
9/20/2030 (c)
|
4,397
|
4,382
|
|
Electrical Equipment — 0.1%
|
||
|
Vertiv Group Corp., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 1.75%), 6.07%,
3/2/2027 (c)
|
9,349
|
9,337
|
|
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 (c)
|
6,047
|
6,051
|
|
NCR Atleos Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.03%, 3/27/2029 (c)
|
1,482
|
1,489
|
|
|
|
7,540
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Ground Transportation — 0.1%
|
||
|
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 6.80%,
7/21/2028 (c)
|
2,997
|
2,997
|
|
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 2.50%), 6.80%,
7/21/2028 (c)
|
917
|
916
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 6.05%,
4/10/2031 (c)
|
6,670
|
6,636
|
|
|
|
10,549
|
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
Medline Borrower LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.58%, 10/23/2028 (c)
|
2,285
|
2,283
|
|
Health Care Providers & Services — 0.1%
|
||
|
Phoenix Newco, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.83%, 11/15/2028 (c)
|
8,219
|
8,217
|
|
Star Parent, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 8.30%, 9/27/2030 (c)
|
9,826
|
9,649
|
|
|
|
17,866
|
|
Hotels, Restaurants & Leisure — 0.0% ^
|
||
|
Carnival Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 6.33%, 8/9/2027 (c)
|
3,289
|
3,286
|
|
Household Durables — 0.0% ^
|
||
|
KDC/ONE Development Corp., Inc., 1st Lien Term Loan (Canada) (1-MONTH CME TERM SOFR
+ 4.00%), 8.33%,
8/15/2028 (c)
|
3,516
|
3,513
|
|
Insurance — 0.1%
|
||
|
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 8.68%, 8/21/2028 (c)
|
3,523
|
3,510
|
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.50%), 6.77%,
6/20/2030 (c)
|
5,123
|
5,121
|
|
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.55%, 9/27/2030 (c)
|
5,249
|
5,222
|
|
|
|
13,853
|
|
IT Services — 0.0% ^
|
||
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.00%), 7.30%,
2/3/2031 (c)
|
1,713
|
1,713
|
|
MH Sub I LLC, 1st Lien Term Loan
|
|
|
|
(1-MONTH CME TERM SOFR + 4.25%), 8.57%, 5/3/2028 (c)
|
3,620
|
3,472
|
|
(1-MONTH CME TERM SOFR + 4.25%), 8.58%, 12/31/2031 (c)
|
2,450
|
2,228
|
|
|
|
7,413
|
|
Leisure Products — 0.0% ^
|
||
|
FGI Operating Co. LLC, 1st Lien Term Loan, 0.00%, 1/31/2025 ‡ (h) (l)
|
122
|
1
|
|
Topgolf Callaway Brands Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%),
7.33%, 3/18/2030 (c)
|
3,230
|
3,148
|
|
Varsity Brands, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 7.83%,
8/26/2031 (c)
|
3,995
|
3,965
|
|
|
|
7,114
|
|
Machinery — 0.0% ^
|
||
|
SPX FLOW, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 4/5/2029 (c)
|
3,082
|
3,089
|
|
Terex Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 6.30%, 10/8/2031 (c)
|
2,625
|
2,626
|
|
|
|
5,715
|
|
Media — 0.1%
|
||
|
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR
+ 2.00%), 6.30%,
12/9/2030 (c)
|
13,455
|
13,431
|
|
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR +
4.00%), 8.44%, 8/23/2028 (c)
|
1,096
|
1,072
|
|
CSC Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.50%), 8.83%, 1/18/2028 (c)
|
12,878
|
12,701
|
|
Outfront Media Capital LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%),
6.07%, 11/18/2026 (c)
|
2,685
|
2,683
|
|
|
|
29,887
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
|
Buckeye Partners LP, 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 1.75%), 6.08%,
11/22/2030 (c)
|
8,555
|
8,552
|
|
NorthRiver Midstream Finance LP, 1st Lien Term Loan B (Canada) (3-MONTH CME TERM SOFR
+ 2.25%), 6.55%,
8/16/2030 (c)
|
4,447
|
4,447
|
|
|
|
12,999
|
|
Passenger Airlines — 0.0% ^
|
||
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 6.52%,
4/20/2028 (c)
|
7,866
|
7,775
|
|
Personal Care Products — 0.0% ^
|
||
|
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.19%,
5/17/2028 (c)
|
3,695
|
2,596
|
|
Pharmaceuticals — 0.0% ^
|
||
|
Elanco Animal Health, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 6.17%,
8/2/2027 (c)
|
3,555
|
3,549
|
|
Professional Services — 0.1%
|
||
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.57%,
1/27/2031 (c)
|
12,769
|
12,739
|
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.25%, 2/1/2029 (c)
|
10,257
|
10,119
|
|
Software — 0.2%
|
||
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%,
2/15/2029 (c)
|
3,588
|
3,571
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.83%,
11/25/2031 (c)
|
8,090
|
8,106
|
|
Central Parent LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.55%, 7/6/2029 (c)
|
5,284
|
4,694
|
|
Genesys Cloud Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%),
6.83%, 1/30/2032 (c)
|
9,955
|
9,919
|
|
Icon Parent, Inc., 1st Lien Term Loan (6-MONTH CME TERM SOFR + 3.00%), 7.21%, 11/13/2031 (c)
|
6,575
|
6,566
|
|
UKG, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.33%, 2/10/2031 (c)
|
9,288
|
9,303
|
|
|
|
42,159
|
|
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 (c)
|
1,499
|
954
|
|
Park River Holdings, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.80%,
12/28/2027 (c)
|
1,569
|
1,507
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%),
7.81%, 3/3/2028 (c)
|
6,223
|
5,753
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
7.58%, 10/19/2029 (c)
|
5,681
|
5,618
|
|
|
|
13,832
|
|
Total Loan Assignments
(Cost $291,835)
|
|
286,778
|
|
Foreign Government Securities — 0.9%
|
||
|
Arab Republic of Egypt
|
|
|
|
7.60%, 3/1/2029 (i)
|
6,100
|
5,982
|
|
8.63%, 2/4/2030 (a)
|
1,613
|
1,603
|
|
7.63%, 5/29/2032 (i)
|
4,900
|
4,399
|
|
9.45%, 2/4/2033 (a)
|
1,938
|
1,878
|
|
7.30%, 9/30/2033 (i)
|
2,500
|
2,129
|
|
8.50%, 1/31/2047 (i)
|
5,800
|
4,436
|
|
8.70%, 3/1/2049 (i)
|
2,500
|
1,941
|
|
8.88%, 5/29/2050 (i)
|
3,600
|
2,835
|
|
Benin Government Bond 7.96%, 2/13/2038 (a)
|
2,340
|
2,132
|
|
Commonwealth of the Bahamas 6.00%, 11/21/2028 (i)
|
2,400
|
2,321
|
|
Dominican Republic Government Bond
|
|
|
|
6.00%, 2/22/2033 (a)
|
4,043
|
3,953
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
6.00%, 2/22/2033 (i)
|
5,243
|
5,127
|
|
5.88%, 1/30/2060 (a)
|
3,545
|
2,917
|
|
Federal Republic of Nigeria
|
|
|
|
6.50%, 11/28/2027 (i)
|
4,150
|
4,019
|
|
6.13%, 9/28/2028 (a)
|
4,080
|
3,783
|
|
8.75%, 1/21/2031 (i)
|
3,800
|
3,662
|
|
Federative Republic of Brazil
|
|
|
|
4.75%, 1/14/2050
|
4,100
|
2,824
|
|
7.13%, 5/13/2054
|
6,690
|
6,195
|
|
Hashemite Kingdom of Jordan
|
|
|
|
6.13%, 1/29/2026 (i)
|
3,150
|
3,150
|
|
5.85%, 7/7/2030 (i)
|
2,500
|
2,338
|
|
7.38%, 10/10/2047 (i)
|
4,000
|
3,446
|
|
Hungary Government Bond 5.50%, 6/16/2034 (a)
|
1,640
|
1,588
|
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
5,450
|
5,799
|
|
Kingdom of Morocco 4.00%, 12/15/2050 (a)
|
2,100
|
1,385
|
|
Oriental Republic of Uruguay 5.44%, 2/14/2037
|
5,600
|
5,631
|
|
Republic of Colombia
|
|
|
|
10.38%, 1/28/2033
|
360
|
422
|
|
7.50%, 2/2/2034
|
1,491
|
1,479
|
|
7.75%, 11/7/2036
|
2,090
|
2,026
|
|
8.75%, 11/14/2053
|
7,024
|
6,852
|
|
Republic of Costa Rica 7.30%, 11/13/2054 (a)
|
3,925
|
4,011
|
|
Republic of Cote d'Ivoire
|
|
|
|
6.13%, 6/15/2033 (i)
|
8,166
|
7,245
|
|
8.08%, 4/1/2036 (a)
|
6,350
|
5,985
|
|
8.25%, 1/30/2037 (a)
|
1,468
|
1,378
|
|
Republic of El Salvador 9.65%, 11/21/2054 (a)
|
10,925
|
10,898
|
|
Republic of Iraq 5.80%, 1/15/2028 (i)
|
1,425
|
1,399
|
|
Republic of Kenya 9.50%, 3/5/2036 (a)
|
7,034
|
6,415
|
|
Republic of Montenegro 7.25%, 3/12/2031 (a)
|
2,200
|
2,256
|
|
Republic of Panama 7.88%, 3/1/2057
|
2,034
|
1,979
|
|
Republic of Paraguay
|
|
|
|
5.00%, 4/15/2026 (i)
|
129
|
129
|
|
3.85%, 6/28/2033 (a)
|
503
|
449
|
|
6.00%, 2/9/2036 (a)
|
7,140
|
7,149
|
|
6.10%, 8/11/2044 (i)
|
1,400
|
1,308
|
|
5.60%, 3/13/2048 (i)
|
4,589
|
3,969
|
|
5.40%, 3/30/2050 (i)
|
14,281
|
11,997
|
|
Republic of Senegal 6.25%, 5/23/2033 (i)
|
3,200
|
2,294
|
|
Republic of South Africa
|
|
|
|
7.10%, 11/19/2036 (a)
|
7,049
|
6,824
|
|
7.30%, 4/20/2052
|
2,000
|
1,724
|
|
7.95%, 11/19/2054 (a)
|
6,371
|
5,849
|
|
Republic of Turkiye (The)
|
|
|
|
7.13%, 2/12/2032
|
2,400
|
2,348
|
|
7.63%, 5/15/2034
|
10,069
|
10,056
|
|
State of Israel Government Bond 5.75%, 3/12/2054
|
5,620
|
4,969
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Sultanate of Oman Government Bond 7.00%, 1/25/2051 (a)
|
6,400
|
6,588
|
|
Total Foreign Government Securities
(Cost $212,209)
|
|
203,471
|
|
|
SHARES
(000)
|
|
|
Common Stocks — 0.1%
|
||
|
Broadline Retail — 0.0% ^
|
||
|
Moran Foods Backstop Equity ‡ *
|
7,629,209
|
8
|
|
MYT Holding LLC ‡ *
|
935
|
234
|
|
NMG Parent LLC ‡ *
|
9
|
232
|
|
|
|
474
|
|
Distributors — 0.0% ^
|
||
|
Incora Intermediate II LLC ‡ *
|
113
|
2,250
|
|
Financial Services — 0.0% ^
|
||
|
ACC Claims Holdings LLC ‡ * (p)
|
1,551
|
3
|
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
New Evhc Physical Equity ‡ *
|
4
|
57
|
|
Media — 0.0% ^
|
||
|
Clear Channel Outdoor Holdings, Inc. *
|
502
|
537
|
|
iHeartMedia, Inc., Class A *
|
127
|
166
|
|
|
|
703
|
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
|
Gulfport Energy Corp. *
|
39
|
7,462
|
|
Pharmaceuticals — 0.0% ^
|
||
|
Endo, Inc. *
|
62
|
1,300
|
|
Specialty Retail — 0.0% ^
|
||
|
Claire's Stores, Inc. ‡ * (q)
|
2
|
—
(j)
|
|
NMG, Inc. ‡ *
|
2
|
223
|
|
Rite Aid ‡ *
|
3
|
—
|
|
|
|
223
|
|
Wireless Telecommunication Services — 0.0% ^
|
||
|
Intelsat SA (Luxembourg) ‡ *
|
70
|
2,846
|
|
Total Common Stocks
(Cost $13,154)
|
|
15,318
|
|
Preferred Stocks — 0.0% ^
|
||
|
Broadline Retail — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $1,987)
|
2,070
|
2,640
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Municipal Bonds — 0.0% (r) ^
|
||
|
Texas — 0.0% ^
|
||
|
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds Series
2023A-2, Rev., 5.17%, 4/1/2041 (Cost
$855)
|
855
|
850
|
|
|
SHARES
(000)
|
|
|
Convertible Preferred Stocks — 0.0% ^
|
||
|
Specialty Retail — 0.0% ^
|
||
|
Claire's Stores, Inc. ‡ * (q)
(Cost $2,625)
|
2
|
—
(j)
|
|
Short-Term Investments — 7.8%
|
||
|
Investment Companies — 7.8%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.29% (s) (t)
(Cost $1,788,891)
|
1,788,601
|
1,788,958
|
|
Investment of Cash Collateral from Securities Loaned — 0.0% ^
|
||
|
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.36% (s) (t)
(Cost $628)
|
628
|
628
|
|
Total Short-Term Investments
(Cost $1,789,519)
|
|
1,789,586
|
|
Total Investments — 102.5%
(Cost $24,408,841)
|
|
23,547,786
|
|
Liabilities in Excess of Other Assets — (2.5)%
|
|
(563,580
)
|
|
NET ASSETS — 100.0%
|
|
22,984,206
|
|
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
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2025.
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
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
|
|
ICE
|
Intercontinental Exchange
|
|
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.
|
|
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
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(b)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2025.
|
|
|
(d)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(e)
|
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.
|
|
|
(f)
|
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 $13,404 or 0.06% of the Fund’s net assets
as of May 31, 2025.
|
|
|
(g)
|
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.
|
|
|
(h)
|
Defaulted security.
|
|
|
(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)
|
Value is zero.
|
|
|
(k)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(l)
|
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.
|
|
|
(m)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
|
(n)
|
The rate shown is the effective yield as of May 31, 2025.
|
|
|
(o)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(p)
|
The security or a portion of this security is on loan at May 31, 2025. The total value
of securities on loan at May 31, 2025 is $1.
|
|
|
(q)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
|
(r)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
|
(s)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(t)
|
The rate shown is the current yield as of May 31, 2025.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
3,988
|
09/19/2025
|
USD
|
442,294
|
5,481
|
|
U.S. Treasury 10 Year Ultra Note
|
1,809
|
09/19/2025
|
USD
|
204,078
|
2,496
|
|
U.S. Treasury Long Bond
|
1,044
|
09/19/2025
|
USD
|
118,103
|
2,448
|
|
U.S. Treasury Ultra Bond
|
6,027
|
09/19/2025
|
USD
|
701,015
|
15,260
|
|
U.S. Treasury 2 Year Note
|
12,594
|
09/30/2025
|
USD
|
2,613,452
|
4,114
|
|
U.S. Treasury 5 Year Note
|
7,927
|
09/30/2025
|
USD
|
858,469
|
5,054
|
|
|
|
|
|
|
34,853
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury Long Bond
|
(24
)
|
09/19/2025
|
USD
|
(2,715
)
|
(56
)
|
|
U.S. Treasury Ultra Bond
|
(3
)
|
09/19/2025
|
USD
|
(349
)
|
(8
)
|
|
|
|
|
|
|
(64
)
|
|
|
|
|
|
|
34,789
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$2,248,303
|
$913,840
|
$3,162,143
|
|
Collateralized Mortgage Obligations
|
—
|
910,694
|
29,615
|
940,309
|
|
Commercial Mortgage-Backed Securities
|
—
|
2,255,669
|
158,746
|
2,414,415
|
|
Common Stocks
|
|
|
|
|
|
Broadline Retail
|
—
|
—
|
474
|
474
|
|
Distributors
|
—
|
—
|
2,250
|
2,250
|
|
Financial Services
|
—
|
—
|
3
|
3
|
|
Health Care Equipment & Supplies
|
—
|
—
|
57
|
57
|
|
Media
|
703
|
—
|
—
|
703
|
|
Oil, Gas & Consumable Fuels
|
7,462
|
—
|
—
|
7,462
|
|
Pharmaceuticals
|
1,300
|
—
|
—
|
1,300
|
|
Specialty Retail
|
—
|
—
|
223
|
223
|
|
Wireless Telecommunication Services
|
—
|
—
|
2,846
|
2,846
|
|
Total Common Stocks
|
9,465
|
—
|
5,853
|
15,318
|
|
Convertible Preferred Stocks
|
—
|
—
|
—(a
)
|
—(a
)
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
96,757
|
1,892
|
98,649
|
|
Automobile Components
|
—
|
38,752
|
—
|
38,752
|
|
Automobiles
|
—
|
63,349
|
—
|
63,349
|
|
Banks
|
—
|
1,698,762
|
—
|
1,698,762
|
|
Beverages
|
—
|
30,918
|
—
|
30,918
|
|
Biotechnology
|
—
|
118,454
|
—
|
118,454
|
|
Broadline Retail
|
—
|
11,956
|
—
|
11,956
|
|
Building Products
|
—
|
55,855
|
—
|
55,855
|
|
Capital Markets
|
—
|
506,695
|
—
|
506,695
|
|
Chemicals
|
—
|
53,880
|
—
|
53,880
|
|
Commercial Services & Supplies
|
—
|
54,634
|
—
|
54,634
|
|
Communications Equipment
|
—
|
14,857
|
—
|
14,857
|
|
Construction & Engineering
|
—
|
23,031
|
—
|
23,031
|
|
Construction Materials
|
—
|
4,635
|
—
|
4,635
|
|
Consumer Finance
|
—
|
180,884
|
—
|
180,884
|
|
Consumer Staples Distribution & Retail
|
—
|
29,813
|
—
(b)
|
29,813
|
|
Containers & Packaging
|
—
|
72,995
|
—
|
72,995
|
|
Distributors
|
—
|
12,024
|
—
|
12,024
|
|
Diversified Consumer Services
|
—
|
7,009
|
—
|
7,009
|
|
Diversified REITs
|
—
|
11,918
|
—
|
11,918
|
|
Diversified Telecommunication Services
|
—
|
158,205
|
—
|
158,205
|
|
Electric Utilities
|
—
|
613,031
|
—
|
613,031
|
|
Electrical Equipment
|
—
|
6,029
|
—
|
6,029
|
|
Electronic Equipment, Instruments & Components
|
—
|
14,407
|
—
|
14,407
|
|
Energy Equipment & Services
|
—
|
28,596
|
—
|
28,596
|
|
Entertainment
|
—
|
45,826
|
—
|
45,826
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Financial Services
|
$—
|
$60,604
|
$10,665
|
$71,269
|
|
Food Products
|
—
|
156,173
|
—
|
156,173
|
|
Gas Utilities
|
—
|
13,492
|
—
|
13,492
|
|
Ground Transportation
|
—
|
81,642
|
—
|
81,642
|
|
Health Care Equipment & Supplies
|
—
|
33,766
|
—
|
33,766
|
|
Health Care Providers & Services
|
—
|
170,215
|
2,600
|
172,815
|
|
Health Care REITs
|
—
|
12,281
|
—
|
12,281
|
|
Health Care Technology
|
—
|
5,342
|
—
|
5,342
|
|
Hotel & Resort REITs
|
—
|
9,613
|
—
|
9,613
|
|
Hotels, Restaurants & Leisure
|
—
|
125,854
|
—
|
125,854
|
|
Household Durables
|
—
|
19,861
|
—
|
19,861
|
|
Household Products
|
—
|
8,344
|
—
|
8,344
|
|
Independent Power and Renewable Electricity Producers
|
—
|
43,984
|
—
|
43,984
|
|
Industrial Conglomerates
|
—
|
4,383
|
—
|
4,383
|
|
Industrial REITs
|
—
|
6,582
|
—
|
6,582
|
|
Insurance
|
—
|
61,481
|
—
|
61,481
|
|
Interactive Media & Services
|
—
|
23,180
|
—
|
23,180
|
|
IT Services
|
—
|
10,366
|
23,800
|
34,166
|
|
Leisure Products
|
—
|
3,980
|
—
|
3,980
|
|
Machinery
|
—
|
23,402
|
—
|
23,402
|
|
Marine Transportation
|
—
|
1,922
|
—
|
1,922
|
|
Media
|
—
|
210,484
|
—
|
210,484
|
|
Metals & Mining
|
—
|
86,923
|
—
|
86,923
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
155,565
|
—
|
155,565
|
|
Multi-Utilities
|
—
|
104,135
|
—
|
104,135
|
|
Office REITs
|
—
|
1,473
|
—
|
1,473
|
|
Oil, Gas & Consumable Fuels
|
—
|
825,120
|
—
|
825,120
|
|
Passenger Airlines
|
—
|
26,650
|
—
|
26,650
|
|
Personal Care Products
|
—
|
10,588
|
—
|
10,588
|
|
Pharmaceuticals
|
—
|
115,807
|
—
(b)
|
115,807
|
|
Real Estate Management & Development
|
—
|
594
|
3,150
|
3,744
|
|
Residential REITs
|
—
|
19,053
|
—
|
19,053
|
|
Retail REITs
|
—
|
18,020
|
—
|
18,020
|
|
Semiconductors & Semiconductor Equipment
|
—
|
72,422
|
—
|
72,422
|
|
Software
|
—
|
141,789
|
—
|
141,789
|
|
Specialized REITs
|
—
|
24,969
|
—
|
24,969
|
|
Specialty Retail
|
—
|
64,911
|
—
(a)
|
64,911
|
|
Technology Hardware, Storage & Peripherals
|
—
|
27,247
|
—
|
27,247
|
|
Textiles, Apparel & Luxury Goods
|
—
|
2,788
|
—
|
2,788
|
|
Tobacco
|
—
|
128,189
|
—
|
128,189
|
|
Trading Companies & Distributors
|
—
|
38,970
|
—
|
38,970
|
|
Water Utilities
|
—
|
3,974
|
—
|
3,974
|
|
Wireless Telecommunication Services
|
—
|
44,775
|
—
|
44,775
|
|
Total Corporate Bonds
|
—
|
6,954,185
|
42,107
|
6,996,292
|
|
Foreign Government Securities
|
—
|
203,471
|
—
|
203,471
|
|
Loan Assignments
|
|
|
|
|
|
Automobile Components
|
—
|
6,377
|
—
|
6,377
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Beverages
|
$—
|
$7,618
|
$—
|
$7,618
|
|
Building Products
|
—
|
20,772
|
—
|
20,772
|
|
Chemicals
|
—
|
9,697
|
—
|
9,697
|
|
Commercial Services & Supplies
|
—
|
3,500
|
—
|
3,500
|
|
Consumer Staples Distribution & Retail
|
—
|
—
|
2,039
|
2,039
|
|
Containers & Packaging
|
—
|
4,735
|
—
|
4,735
|
|
Diversified Consumer Services
|
—
|
3,534
|
—
|
3,534
|
|
Diversified Telecommunication Services
|
—
|
4,382
|
—
|
4,382
|
|
Electrical Equipment
|
—
|
9,337
|
—
|
9,337
|
|
Financial Services
|
—
|
7,540
|
—
|
7,540
|
|
Ground Transportation
|
—
|
10,549
|
—
|
10,549
|
|
Health Care Equipment & Supplies
|
—
|
2,283
|
—
|
2,283
|
|
Health Care Providers & Services
|
—
|
17,866
|
—
|
17,866
|
|
Hotels, Restaurants & Leisure
|
—
|
3,286
|
—
|
3,286
|
|
Household Durables
|
—
|
3,513
|
—
|
3,513
|
|
Insurance
|
—
|
13,853
|
—
|
13,853
|
|
IT Services
|
—
|
7,413
|
—
|
7,413
|
|
Leisure Products
|
—
|
7,113
|
1
|
7,114
|
|
Machinery
|
—
|
5,715
|
—
|
5,715
|
|
Media
|
—
|
29,887
|
—
|
29,887
|
|
Oil, Gas & Consumable Fuels
|
—
|
12,999
|
—
|
12,999
|
|
Passenger Airlines
|
—
|
7,775
|
—
|
7,775
|
|
Personal Care Products
|
—
|
2,596
|
—
|
2,596
|
|
Pharmaceuticals
|
—
|
3,549
|
—
|
3,549
|
|
Professional Services
|
—
|
12,739
|
—
|
12,739
|
|
Semiconductors & Semiconductor Equipment
|
—
|
10,119
|
—
|
10,119
|
|
Software
|
—
|
42,159
|
—
|
42,159
|
|
Specialty Retail
|
—
|
13,832
|
—
|
13,832
|
|
Total Loan Assignments
|
—
|
284,738
|
2,040
|
286,778
|
|
Mortgage-Backed Securities
|
—
|
5,641,180
|
62,091
|
5,703,271
|
|
Municipal Bonds
|
—
|
850
|
—
|
850
|
|
Preferred Stocks
|
—
|
—
|
2,640
|
2,640
|
|
U.S. Treasury Obligations
|
—
|
2,032,713
|
—
|
2,032,713
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
1,788,958
|
—
|
—
|
1,788,958
|
|
Investment of Cash Collateral from Securities Loaned
|
628
|
—
|
—
|
628
|
|
Total Short-Term Investments
|
1,789,586
|
—
|
—
|
1,789,586
|
|
Total Investments in Securities
|
$1,799,051
|
$20,531,803
|
$1,216,932
|
$23,547,786
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$34,853
|
$—
|
$—
|
$34,853
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$(64
)
|
$—
|
$—
|
$(64
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$34,789
|
$—
|
$—
|
$34,789
|
|
|
|
|
(a)
|
Value is zero.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
|
Balance as of
February 28,
2025
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
May 31,
2025
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$900,559
|
$—
|
$(4,606
)
|
$239
|
$88,502
|
$(70,854
)
|
$—
|
$—
|
$—
|
$913,840
|
|
Collateralized Mortgage Obligations
|
86,836
|
—
|
268
|
—
(b)
|
—
|
(57,489
)
|
—
(b)
|
—
|
—
|
29,615
|
|
Commercial Mortgage-Backed Securities
|
110,831
|
—
|
(271
)
|
767
|
14,128
|
(2,667
)
|
54,171
|
—
|
(18,213
)
|
158,746
|
|
Common Stocks
|
3,318
|
—
|
732
|
—
|
1,803
|
—
|
—
|
—
|
—
|
5,853
|
|
Convertible Preferred Stocks
|
1,997
|
—
|
(2,117
)
|
—
|
120
|
—
|
—
|
—
|
—
|
—
(c)
|
|
Corporate Bonds
|
3,692
|
(4,387
)
|
4,293
|
32
|
41,746
|
(3,269
)
|
—
|
—
|
—
|
42,107
|
|
Loan Assignments
|
2,015
|
—
|
(58
)
|
41
|
58
|
(16
)
|
—
|
—
|
—
|
2,040
|
|
Mortgage-Backed Securities
|
11,714
|
—
|
(10
)
|
—
|
32,174
|
—
|
—
|
—
|
18,213
|
62,091
|
|
Preferred Stocks
|
2,712
|
—
|
(72
)
|
—
|
—
|
—
|
—
|
—
|
—
|
2,640
|
|
Warrants
|
—
(b)
|
—
(b)
|
—
(b)
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Total
|
$1,123,674
|
$(4,387
)
|
$(1,841
)
|
$1,079
|
$178,531
|
$(134,295
)
|
$54,171
|
$—
|
$—
|
$1,216,932
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Commercial Mortgage-Backed
Securities and Mortgage-Backed Securities.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
(c)
|
Value is zero.
|
|
|
Fair Value
at May 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$140,384
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
5.76% - 21.91% (9.28%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
140,384
|
|
|
|
|
|
- (b
)
|
Terms of Exchange Offer
|
Expected Recovery
|
0.00% (0.00%)
|
|
|
|
|
|
|
|
Convertible Preferred Stocks
|
- (b
)
|
|
|
|
|
|
11
|
Terms of Exchange Offer
|
Expected Recovery
|
$0.00 - $0.01 ($0.01)
|
|
|
|
|
|
|
|
Common Stocks
|
11
|
|
|
|
|
|
1,186
|
Terms of Exchange Offer
|
Expected Recovery
|
1.00% - 100.00% (26.08%)
|
|
|
854
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
26.08% (26.08%)
|
|
|
|
|
|
|
|
Loan Assignments
|
2,040
|
|
|
|
|
|
Fair Value
at May 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
Total
|
$142,435
|
|
|
|
|
#
|
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 $1,074,497.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)
|
Value is zero.
|
|
Security
|
Acquisition
Date
|
Cost
|
Market
Value
|
Percentage
of Fund's
Net Assets
|
|
Claire's Stores, Inc. - Common Stocks
|
11/28/2018
|
$1,622
|
$—
(a)
|
0.0
%
|
|
Claire's Stores, Inc. - Convertible Preferred Stocks
|
10/3/2018
|
2,625
|
—
(a)
|
0.0
%
|
|
|
|
$4,247
|
$—
(a)
|
|
|
(a)
|
Value is zero.
|
|
|
|||||||||
|
For the period ended May 31, 2025
|
|||||||||
|
Security Description
|
Value at
February 28,
2025
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2025
|
Shares at
May 31,
2025
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 4.29% (a) (b)
|
$1,752,942
|
$2,315,503
|
$2,279,151
|
$6
|
$(342
)
|
$1,788,958
|
1,788,601
|
$17,124
|
$—
|
|
JPMorgan Securities Lending Money Market
Fund Agency SL Class Shares, 4.36%
(a) (b)
|
628
|
—
|
—
|
—
|
—
|
628
|
628
|
7
|
—
|
|
Total
|
$1,753,570
|
$2,315,503
|
$2,279,151
|
$6
|
$(342
)
|
$1,789,586
|
|
$17,131
|
$—
|
|
|
|
|
(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.
|