|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities
|
|||
|
1988 CLO 5 Ltd., Series 2024-5A, Class A1,
(3-mo. CME Term SOFR + 1.54%), 5.80%,
07/15/37(a)(b)
|
USD
|
3,675
|
$ 3,691,180
|
|
522 Funding CLO Ltd., Series 2019-5A,
Class AR, (3-mo. CME Term SOFR + 1.33%),
5.59%, 04/15/35(a)(b)
|
|
510
|
511,237
|
|
720 East CLO VII Ltd., Series 2025-7A,
Class A1, (3-mo. CME Term SOFR + 1.06%),
5.34%, 04/20/37(a)(b)
|
|
7,410
|
7,412,349
|
|
AB BSL CLO 3 Ltd., Series 2021-3A, Class A1R,
(3-mo. CME Term SOFR + 1.25%), 5.52%,
04/20/38(a)(b)
|
|
1,190
|
1,191,691
|
|
ACE Securities Corp. Home Equity Loan Trust
|
|
|
|
|
Series 2003-OP1, Class A2, (1-mo. CME
Term SOFR + 0.83%), 5.15%, 12/25/33(b)
|
|
481
|
460,402
|
|
Series 2005-AG1, Class M2, (1-mo. CME
Term SOFR + 0.80%), 5.12%, 08/25/35(b)
|
|
494
|
408,128
|
|
Series 2006-CW1, Class A2C, (1-mo. CME
Term SOFR + 0.39%), 4.71%, 07/25/36(b)
|
|
217
|
175,825
|
|
Series 2007-HE4, Class A2A, (1-mo. CME
Term SOFR + 0.37%), 4.69%, 05/25/37(b)
|
|
2,324
|
365,220
|
|
Series 2007-HE4, Class A2C, (1-mo. CME
Term SOFR + 0.71%), 5.03%, 05/25/37(b)
|
|
205
|
32,632
|
|
Affirm Asset Securitization Trust
|
|
|
|
|
Series 2024-A, Class A, 5.61%, 02/15/29(a)
|
|
3,805
|
3,822,306
|
|
Series 2025-X1, Class C, 5.34%, 04/15/30(a)
|
|
1,280
|
1,280,969
|
|
Affirm Master Trust
|
|
|
|
|
Series 2025-1A, Class A, 4.99%, 02/15/33(a)
|
|
14,743
|
14,856,226
|
|
Series 2025-1A, Class B, 5.13%, 02/15/33(a)
|
|
1,155
|
1,162,487
|
|
AGL CLO 11 Ltd., Series 2021-11A, Class E,
(3-mo. CME Term SOFR + 6.62%), 10.88%,
04/15/34(a)(b)
|
|
250
|
250,020
|
|
AGL CLO 12 Ltd., Series 2021-12A, Class A1,
(3-mo. CME Term SOFR + 1.42%), 5.69%,
07/20/34(a)(b)
|
|
7,640
|
7,654,129
|
|
AGL CLO 13 Ltd., Series 2021-13A, Class A1,
(3-mo. CME Term SOFR + 1.42%), 5.69%,
10/20/34(a)(b)
|
|
250
|
250,500
|
|
AGL CLO 20 Ltd., Series 2022-20A, Class BR,
(3-mo. CME Term SOFR + 1.75%), 6.02%,
10/20/37(a)(b)
|
|
3,331
|
3,334,508
|
|
AGL CLO 26 Ltd., Series 2023-26A, Class A,
(3-mo. CME Term SOFR + 1.70%), 5.97%,
10/21/36(a)(b)
|
|
5,000
|
5,018,395
|
|
AGL CLO 32 Ltd., Series 2024-32A, Class A1,
(3-mo. CME Term SOFR + 1.38%), 5.65%,
07/21/37(a)(b)
|
|
1,900
|
1,905,928
|
|
AGL CLO 37 Ltd., Series 2024-37A, Class A1,
(3-mo. CME Term SOFR + 1.24%), 5.54%,
04/22/38(a)(b)
|
|
290
|
290,290
|
|
AGL CLO 7 Ltd.
|
|
|
|
|
Series 2020-7A, Class AR, (3-mo. CME Term
SOFR + 1.46%), 5.72%, 07/15/34(a)(b)
|
|
2,400
|
2,402,861
|
|
Series 2020-7A, Class DR, (3-mo. CME Term
SOFR + 3.36%), 7.62%, 07/15/34(a)(b)
|
|
500
|
502,064
|
|
AGL Core CLO 15 Ltd., Series 2021-15A,
Class A1, (3-mo. CME Term SOFR + 1.41%),
5.68%, 01/20/35(a)(b)
|
|
1,344
|
1,346,873
|
|
AGL Core CLO 2 Ltd., Series 2019-2A,
Class A1R, (3-mo. CME Term SOFR +
1.46%), 5.73%, 07/20/37(a)(b)
|
|
14,335
|
14,387,579
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
AGL Core CLO 38 Ltd., Series 2025-38A,
Class A1, (3-mo. CME Term SOFR + 1.24%),
5.56%, 01/22/38(a)(b)
|
USD
|
3,370
|
$ 3,373,370
|
|
AGL Core CLO 4 Ltd., Series 2020-4A,
Class AR2, (3-mo. CME Term SOFR +
1.38%), 5.65%, 10/20/37(a)(b)
|
|
3,620
|
3,634,878
|
|
AIMCO CLO 11 Ltd., Series 2020-11A,
Class BR2, (3-mo. CME Term SOFR +
1.65%), 5.93%, 07/17/37(a)(b)
|
|
3,490
|
3,493,747
|
|
AIMCO CLO 21 Ltd., Series 2024-21A, Class B,
(3-mo. CME Term SOFR + 1.92%), 6.19%,
04/18/37(a)(b)
|
|
750
|
752,446
|
|
AIMCO CLO 23 Ltd., Series 2025-23A, Class A,
(3-mo. CME Term SOFR + 1.13%), 5.39%,
04/20/38(a)(b)
|
|
1,270
|
1,268,426
|
|
Ajax Mortgage Loan Trust
|
|
|
|
|
Series 2021-G, Class A, 4.88%, 06/25/61(a)(b)
|
|
28,769
|
28,666,764
|
|
Series 2021-G, Class B, 3.75%, 06/25/61(a)(b)
|
|
8,107
|
9,044,071
|
|
Series 2021-G, Class C, 0.00%, 06/25/61(a)
|
|
14,332
|
14,225,299
|
|
Series 2023-B, Class A, 4.25%, 10/25/62(a)(c)
|
|
12,409
|
12,176,433
|
|
Series 2023-B, Class B, 4.25%, 10/25/62(a)(c)
|
|
1,749
|
1,688,711
|
|
Series 2023-B, Class C, 0.00%, 10/25/62(a)
|
|
3,935
|
2,332,931
|
|
Series 2023-B, Class SA, 0.00%,
10/25/62(a)(d)
|
|
328
|
303,485
|
|
AMMC CLO 18 Ltd., Series 2016-18A, Class AR,
(3-mo. CME Term SOFR + 1.36%), 5.69%,
05/26/31(a)(b)
|
|
123
|
123,388
|
|
Anchorage Capital CLO 17 Ltd., Series 2021-
17A, Class A1R, (3-mo. CME Term SOFR +
1.23%), 5.49%, 02/15/38(a)(b)
|
|
11,115
|
11,126,145
|
|
Anchorage Capital CLO 29 Ltd., Series 2024-
29A, Class A1, (3-mo. CME Term SOFR +
1.60%), 5.87%, 07/20/37(a)(b)
|
|
3,020
|
3,033,959
|
|
Anchorage Capital CLO 6 Ltd.
|
|
|
|
|
Series 2015-6A, Class AR3, (3-mo. CME
Term SOFR + 1.44%), 5.71%,
04/22/34(a)(b)
|
|
4,570
|
4,576,101
|
|
Series 2015-6A, Class BR3, (3-mo. CME
Term SOFR + 2.10%), 6.37%,
04/22/34(a)(b)
|
|
5,490
|
5,523,464
|
|
Anchorage Capital CLO 7 Ltd.
|
|
|
|
|
Series 2015-7A, Class AR3, (3-mo. CME
Term SOFR + 1.56%), 5.84%,
04/28/37(a)(b)
|
|
5,686
|
5,707,876
|
|
Series 2015-7A, Class BR3, (3-mo. CME
Term SOFR + 2.05%), 6.33%,
04/28/37(a)(b)
|
|
7,620
|
7,642,862
|
|
Series 2015-7A, Class CR3, (3-mo. CME
Term SOFR + 2.45%), 6.73%,
04/28/37(a)(b)
|
|
4,250
|
4,276,507
|
|
Series 2015-7A, Class DR3, (3-mo. CME
Term SOFR + 3.80%), 8.08%,
04/28/37(a)(b)
|
|
1,140
|
1,150,161
|
|
Anchorage Capital CLO 8 Ltd.
|
|
|
|
|
Series 2016-8A, Class AR2A, (3-mo. CME
Term SOFR + 1.46%), 5.74%,
10/27/34(a)(b)
|
|
2,395
|
2,399,082
|
|
Series 2016-8A, Class BR2, (3-mo. CME
Term SOFR + 2.06%), 6.34%,
10/27/34(a)(b)
|
|
2,800
|
2,816,033
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Anchorage Capital Europe CLO 2 DAC,
Series 2A, Class DR, (3-mo. EURIBOR +
3.55%), 5.83%, 04/15/34(a)(b)
|
EUR
|
1,380
|
$ 1,625,860
|
|
Anchorage Capital Europe CLO DAC, Series 4A,
Class D, (3-mo. EURIBOR + 3.20%), 5.36%,
04/25/34(a)(b)
|
|
542
|
639,556
|
|
Apidos CLO LII, Series 2025-52A, Class A1,
(3-mo. CME Term SOFR + 1.13%), 5.39%,
04/20/38(a)(b)
|
USD
|
2,680
|
2,674,640
|
|
Apidos CLO XV, Series 2013-15A, Class A1RR,
(3-mo. CME Term SOFR + 1.27%), 5.54%,
04/20/31(a)(b)
|
|
294
|
293,921
|
|
Apidos CLO XVIII-R, Series 2018-18A,
Class A1R2, (3-mo. CME Term SOFR +
1.33%), 5.60%, 01/22/38(a)(b)
|
|
880
|
882,206
|
|
Apidos CLO XX
|
|
|
|
|
Series 2015-20A, Class A1RA, (3-mo. CME
Term SOFR + 1.36%), 5.62%,
07/16/31(a)(b)
|
|
377
|
377,077
|
|
Series 2015-20A, Class A2RR, (3-mo. CME
Term SOFR + 1.81%), 6.07%,
07/16/31(a)(b)
|
|
250
|
250,764
|
|
Apidos CLO XXII
|
|
|
|
|
Series 2015-22A, Class A1R, (3-mo. CME
Term SOFR + 1.32%), 5.59%,
04/20/31(a)(b)
|
|
58
|
58,009
|
|
Series 2015-22A, Class A2R, (3-mo. CME
Term SOFR + 1.76%), 6.03%,
04/20/31(a)(b)
|
|
500
|
500,879
|
|
Series 2015-22A, Class BR, (3-mo. CME
Term SOFR + 2.21%), 6.48%,
04/20/31(a)(b)
|
|
250
|
250,000
|
|
Series 2015-22A, Class CR, (3-mo. CME
Term SOFR + 3.21%), 7.48%,
04/20/31(a)(b)
|
|
850
|
854,902
|
|
Apidos CLO XXIV, Series 2016-24A,
Class A2LX, (3-mo. CME Term SOFR +
1.61%), 5.88%, 10/20/30(a)(b)
|
|
660
|
659,917
|
|
Apidos CLO XXV, Series 2016-25A, Class BR3,
(3-mo. CME Term SOFR + 1.60%), 5.87%,
01/20/37(a)(b)
|
|
6,850
|
6,858,717
|
|
Apidos CLO XXXI, Series 2019-31A, Class BR,
(3-mo. CME Term SOFR + 1.81%), 6.07%,
04/15/31(a)(b)
|
|
500
|
500,910
|
|
Apidos CLO XXXII, Series 2019-32A, Class A1R,
(3-mo. CME Term SOFR + 1.10%), 5.37%,
01/20/33(a)(b)
|
|
826
|
825,895
|
|
Apidos CLO XXXIV, Series 2020-34A,
Class A1R, (3-mo. CME Term SOFR +
1.41%), 5.68%, 01/20/35(a)(b)
|
|
6,244
|
6,257,574
|
|
Apidos CLO XXXVI
|
|
|
|
|
Series 2021-36A, Class B, (3-mo. CME Term
SOFR + 1.86%), 6.13%, 07/20/34(a)(b)
|
|
625
|
626,276
|
|
Series 2021-36A, Class D, (3-mo. CME Term
SOFR + 3.16%), 7.43%, 07/20/34(a)(b)
|
|
250
|
249,645
|
|
Apidos CLO XXXVII
|
|
|
|
|
Series 2021-37A, Class A, (3-mo. CME Term
SOFR + 1.39%), 5.66%, 10/22/34(a)(b)
|
|
450
|
450,452
|
|
Series 2021-37A, Class D, (3-mo. CME Term
SOFR + 3.31%), 7.58%, 10/22/34(a)(b)
|
|
250
|
251,360
|
|
Series 2021-37A, Class E, (3-mo. CME Term
SOFR + 6.56%), 10.83%, 10/22/34(a)(b)
|
|
455
|
455,886
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Aqua Finance Trust, Series 2021-A, Class A,
1.54%, 07/17/46(a)
|
USD
|
224
|
$ 205,794
|
|
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2022-FL1, Class A, (SOFR (30-day) +
1.45%), 5.75%, 01/15/37(a)(b)
|
|
167
|
167,097
|
|
AREIT LLC
|
|
|
|
|
Series 2022-CRE7, Class A, (1-mo. CME
Term SOFR + 2.24%), 6.56%,
06/17/39(a)(b)
|
|
2,113
|
2,113,696
|
|
Series 2023-CRE8, Class A, (1-mo. CME
Term SOFR + 2.11%), 6.43%,
08/17/41(a)(b)
|
|
2,912
|
2,921,253
|
|
AREIT Ltd.
|
|
|
|
|
Series 2024-CRE9, Class A, (1-mo. CME
Term SOFR + 1.69%), 6.00%,
05/17/41(a)(b)
|
|
12,722
|
12,759,335
|
|
Series 2025-CRE10, Class A, (1-mo. CME
Term SOFR + 1.39%), 5.70%,
12/17/29(a)(b)
|
|
1,830
|
1,828,489
|
|
Ares European CLO XII DAC, Series 12A,
Class B1R, (3-mo. EURIBOR + 1.70%),
3.94%, 04/20/32(a)(b)
|
EUR
|
889
|
1,048,900
|
|
Ares LIX CLO Ltd., Series 2021-59A, Class A,
(3-mo. CME Term SOFR + 1.29%), 5.57%,
04/25/34(a)(b)
|
USD
|
500
|
501,585
|
|
Ares Loan Funding IV Ltd., Series 2023-ALF4A,
Class A1, (3-mo. CME Term SOFR + 1.75%),
6.01%, 10/15/36(a)(b)
|
|
1,270
|
1,275,242
|
|
Ares LVI CLO Ltd., Series 2020-56A,
Class A1R2, (3-mo. CME Term SOFR +
1.25%), 5.53%, 01/25/38(a)(b)
|
|
2,110
|
2,113,998
|
|
Ares LVII CLO Ltd., Series 2020-57A, Class AR,
(3-mo. CME Term SOFR + 1.41%), 5.69%,
01/25/35(a)(b)
|
|
510
|
511,358
|
|
Ares XLVIII CLO Ltd., Series 2018-48A, Class B,
(3-mo. CME Term SOFR + 1.84%), 6.11%,
07/20/30(a)(b)
|
|
370
|
370,709
|
|
Argent Mortgage Loan Trust, Series 2005-W1,
Class A2, (1-mo. CME Term SOFR + 0.59%),
4.91%, 05/25/35(b)
|
|
2,292
|
1,863,311
|
|
Argent Securities Trust
|
|
|
|
|
Series 2006-M1, Class A2C, (1-mo. CME
Term SOFR + 0.41%), 4.73%, 07/25/36(b)
|
|
3,620
|
965,963
|
|
Series 2006-W2, Class A2C, (1-mo. CME
Term SOFR + 0.69%), 5.01%, 03/25/36(b)
|
|
673
|
368,807
|
|
Asimi Funding PLC
|
|
|
|
|
Series 2024-1, Class B, (1-day SONIA +
1.35%), 5.57%, 09/16/31(b)(e)
|
GBP
|
600
|
823,784
|
|
Series 2024-1, Class C, (1-day SONIA +
1.95%), 6.17%, 09/16/31(b)(e)
|
|
556
|
765,431
|
|
Series 2025-1, Class C, (1-day SONIA +
1.75%), 5.97%, 05/16/32(b)(e)
|
|
754
|
1,035,457
|
|
Series 2025-1, Class D, (1-day SONIA +
2.40%), 6.62%, 05/16/32(b)(e)
|
|
297
|
406,645
|
|
Asset-Backed European Securitisation
Transaction Twenty-Five Srl
|
|
|
|
|
Series 25, Class D, (1-mo. EURIBOR +
2.50%), 4.39%, 11/15/39(b)(e)
|
EUR
|
314
|
369,943
|
|
Series 25, Class E, (1-mo. EURIBOR +
4.00%), 5.89%, 11/15/39(b)(e)
|
|
810
|
956,238
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Asset-Backed European Securitisation
Transaction Twenty-Three Sarl
|
|
|
|
|
Series 23, Class C, (1-mo. EURIBOR +
1.60%), 3.48%, 03/21/34(b)(e)
|
EUR
|
500
|
$ 593,033
|
|
Series 23, Class D, (1-mo. EURIBOR +
1.90%), 3.78%, 03/21/34(b)(e)
|
|
300
|
356,136
|
|
Series 23, Class E, (1-mo. EURIBOR +
2.40%), 4.28%, 03/21/34(b)(e)
|
|
300
|
356,136
|
|
Assurant CLO II Ltd., Series 2018-2A, Class A,
(3-mo. CME Term SOFR + 1.30%), 5.57%,
04/20/31(a)(b)
|
USD
|
100
|
100,213
|
|
Auto ABS Italian Stella Loans SRL
|
|
|
|
|
Series 2024-1, Class C, (1-mo. EURIBOR +
1.70%), 3.63%, 12/29/36(b)(e)
|
EUR
|
404
|
479,993
|
|
Series 2024-1, Class D, (1-mo. EURIBOR +
2.30%), 4.23%, 12/29/36(b)(e)
|
|
374
|
444,960
|
|
Series 2025-1, Class C, (1-mo. EURIBOR +
1.25%), 3.29%, 12/28/40(b)(e)
|
|
692
|
815,450
|
|
Series 2025-1, Class D, (1-mo. EURIBOR +
1.90%), 3.94%, 12/28/40(b)(e)
|
|
229
|
269,886
|
|
Auto1 Car Funding S.a.r.l
|
|
|
|
|
Series 2024-1, Class C, (1-mo. EURIBOR +
1.50%), 3.39%, 12/15/33(b)(e)
|
|
300
|
353,846
|
|
Series 2024-1, Class D, (1-mo. EURIBOR +
3.50%), 5.39%, 12/15/33(b)(e)
|
|
300
|
364,388
|
|
AutoNoria Spain 2025 FT
|
|
|
|
|
Series 2025-SP, Class D, (1-mo. EURIBOR +
1.50%), 3.39%, 04/30/43(b)(e)
|
|
400
|
471,318
|
|
Series 2025-SP, Class E, (1-mo. EURIBOR +
3.00%), 4.89%, 04/30/43(b)(e)
|
|
500
|
589,141
|
|
Avoca CLO XVIII DAC, Series 18A, Class CR,
(3-mo. EURIBOR + 2.25%), 4.91%,
01/15/38(a)(b)
|
|
400
|
472,001
|
|
Avoca CLO XXII DAC
|
|
|
|
|
Series 22A, Class D, (3-mo. EURIBOR +
2.90%), 5.18%, 04/15/35(a)(b)
|
|
500
|
589,834
|
|
Series 22X, Class B1, (3-mo. EURIBOR +
1.30%), 3.58%, 04/15/35(b)(e)
|
|
850
|
993,763
|
|
Avoca CLO XXIII DAC, Series 23A, Class D,
(3-mo. EURIBOR + 3.05%), 5.33%,
04/15/34(a)(b)
|
|
500
|
588,982
|
|
Bain Capital Credit CLO Ltd.
|
|
|
|
|
Series 2018-2A, Class BR, (3-mo. CME Term
SOFR + 1.55%), 5.82%, 07/19/31(a)(b)
|
USD
|
500
|
499,174
|
|
Series 2020-2A, Class ARR, (3-mo. CME
Term SOFR + 1.24%), 5.51%,
07/19/34(a)(b)
|
|
550
|
550,687
|
|
Series 2021-3A, Class D, (3-mo. CME Term
SOFR + 3.36%), 7.64%, 07/24/34(a)(b)
|
|
250
|
248,233
|
|
Series 2021-4A, Class A1R, (3-mo. CME
Term SOFR + 1.20%), 5.47%,
10/20/34(a)(b)
|
|
560
|
560,952
|
|
Series 2024-2A, Class A1, (3-mo. CME Term
SOFR + 1.52%), 5.78%, 07/15/37(a)(b)
|
|
7,880
|
7,913,091
|
|
Ballyrock CLO 14 Ltd.
|
|
|
|
|
Series 2020-14A, Class A1AR, (3-mo. CME
Term SOFR + 1.38%), 5.65%,
07/20/37(a)(b)
|
|
2,948
|
2,957,728
|
|
Series 2020-14A, Class A2R, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
07/20/37(a)(b)
|
|
2,500
|
2,504,756
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Ballyrock CLO 14 Ltd.
|
|
|
|
|
Series 2020-14A, Class DR, (3-mo. CME
Term SOFR + 5.85%), 10.12%,
07/20/37(a)(b)
|
USD
|
250
|
$ 250,854
|
|
Ballyrock CLO 29 Ltd., Series 2025-29A,
Class A1A, (3-mo. CME Term SOFR +
1.32%), 07/25/38(a)(b)(f)
|
|
250
|
250,062
|
|
Ballyrock CLO Ltd.
|
|
|
|
|
Series 2020-2A, Class DR, (3-mo. CME Term
SOFR + 6.41%), 10.68%, 10/20/31(a)(b)
|
|
250
|
250,250
|
|
Series 2021-1A, Class A1R, (3-mo. CME
Term SOFR + 1.33%), 5.59%,
01/15/38(a)(b)
|
|
6,935
|
6,957,915
|
|
BankAmerica Manufactured Housing Contract
Trust
|
|
|
|
|
Series 1997-2, Class B1, 7.07%, 02/10/22(b)
|
|
1,680
|
172,889
|
|
Series 1998-2, Class B1, 7.19%, 12/10/25(b)
|
|
2,790
|
264,657
|
|
Bankers Healthcare Group Securitization Trust,
Series 2020-A, Class C, 5.17%, 09/17/31(a)
|
|
410
|
409,245
|
|
Bardot CLO Ltd., Series 2019-2A, Class ARR,
(3-mo. CME Term SOFR + 0.98%), 5.25%,
10/22/32(a)(b)
|
|
1,455
|
1,454,393
|
|
Barings CLO Ltd., Series 2015-IA, Class BR,
(3-mo. CME Term SOFR + 1.66%), 5.93%,
01/20/31(a)(b)
|
|
980
|
982,666
|
|
Battalion CLO 18 Ltd., Series 2020-18A,
Class BR, (3-mo. CME Term SOFR + 2.01%),
6.27%, 10/15/36(a)(b)
|
|
1,827
|
1,832,447
|
|
Battalion CLO IX Ltd., Series 2015-9A,
Class DR, (3-mo. CME Term SOFR + 3.51%),
7.77%, 07/15/31(a)(b)
|
|
250
|
245,101
|
|
Battalion CLO VIII Ltd.
|
|
|
|
|
Series 2015-8A, Class A1R2, (3-mo. CME
Term SOFR + 1.33%), 5.60%,
07/18/30(a)(b)
|
|
1,377
|
1,377,346
|
|
Series 2015-8A, Class A2R2, (3-mo. CME
Term SOFR + 1.81%), 6.08%,
07/18/30(a)(b)
|
|
3,250
|
3,264,537
|
|
Series 2015-8A, Class BR2, (3-mo. CME
Term SOFR + 2.26%), 6.53%,
07/18/30(a)(b)
|
|
2,901
|
2,907,495
|
|
Battalion CLO XI Ltd., Series 2017-11A,
Class BR, (3-mo. CME Term SOFR + 1.98%),
6.26%, 04/24/34(a)(b)
|
|
1,000
|
1,002,939
|
|
Bayswater Park CLO Ltd., Series 2023-1A,
Class A1, (3-mo. CME Term SOFR + 1.73%),
6.00%, 01/20/37(a)(b)
|
|
970
|
974,655
|
|
Bayview Financial Revolving Asset Trust
|
|
|
|
|
Series 2004-B, Class A1, (1-mo. CME Term
SOFR + 1.11%), 5.44%, 05/28/39(a)(b)
|
|
5,252
|
4,313,887
|
|
Series 2004-B, Class A2, (1-mo. CME Term
SOFR + 1.41%), 5.74%, 05/28/39(a)(b)
|
|
148
|
68,436
|
|
Series 2005-A, Class A1, (1-mo. CME Term
SOFR + 1.11%), 5.44%, 02/28/40(a)(b)
|
|
1,100
|
988,464
|
|
Series 2005-E, Class A1, (1-mo. CME Term
SOFR + 1.11%), 5.44%, 12/28/40(a)(b)
|
|
108
|
108,327
|
|
BBAM U.S. CLO I Ltd., Series 2022-1A,
Class AR, (3-mo. CME Term SOFR + 1.20%),
5.46%, 03/30/38(a)(b)
|
|
2,024
|
2,023,293
|
|
BCMSC Trust
|
|
|
|
|
Series 2000-A, Class A2, 7.58%, 06/15/30(b)
|
|
1,674
|
117,099
|
|
Series 2000-A, Class A3, 7.83%, 06/15/30(b)
|
|
1,554
|
112,217
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
BCMSC Trust
|
|
|
|
|
Series 2000-A, Class A4, 8.29%, 06/15/30(b)
|
USD
|
1,121
|
$ 85,704
|
|
BDS Ltd.
|
|
|
|
|
Series 2022-FL11, Class ATS, (1-mo. CME
Term SOFR + 1.80%), 6.12%,
03/19/39(a)(b)
|
|
1,439
|
1,440,300
|
|
Series 2024-FL13, Class A, (1-mo. CME Term
SOFR + 1.58%), 5.89%, 09/19/39(a)(b)
|
|
2,735
|
2,735,459
|
|
Bean Creek CLO Ltd., Series 2015-1A,
Class BR, (3-mo. CME Term SOFR + 1.71%),
5.98%, 04/20/31(a)(b)
|
|
428
|
428,404
|
|
Bear Stearns Asset-Backed Securities I Trust
|
|
|
|
|
Series 2004-HE7, Class M2, (1-mo. CME
Term SOFR + 1.84%), 6.16%, 08/25/34(b)
|
|
5
|
4,677
|
|
Series 2006-HE1, Class 1M4, (1-mo. CME
Term SOFR + 1.13%), 5.41%, 12/25/35(b)
|
|
2,254
|
2,196,606
|
|
Series 2006-HE7, Class 1A2, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 09/25/36(b)
|
|
724
|
706,990
|
|
Series 2007-HE2, Class 1A4, (1-mo. CME
Term SOFR + 0.43%), 4.75%, 03/25/37(b)
|
|
928
|
850,717
|
|
Series 2007-HE2, Class 22A, (1-mo. CME
Term SOFR + 0.39%), 4.71%, 03/25/37(b)
|
|
361
|
337,509
|
|
Series 2007-HE2, Class 23A, (1-mo. CME
Term SOFR + 0.39%), 4.71%, 03/25/37(b)
|
|
414
|
391,743
|
|
Series 2007-HE3, Class 1A3, (1-mo. CME
Term SOFR + 0.61%), 4.93%, 04/25/37(b)
|
|
10
|
10,116
|
|
Series 2007-HE3, Class 1A4, (1-mo. CME
Term SOFR + 0.81%), 5.13%, 04/25/37(b)
|
|
7,220
|
6,883,165
|
|
Benefit Street Partners CLO Ltd., Series 2021-
23A, Class E, (3-mo. CME Term SOFR +
7.07%), 11.35%, 04/25/34(a)(b)
|
|
750
|
750,000
|
|
Benefit Street Partners CLO V-B Ltd.,
Series 2018-5BA, Class A1R, (3-mo. CME
Term SOFR + 1.53%), 5.80%, 07/20/37(a)(b)
|
|
6,170
|
6,196,764
|
|
Benefit Street Partners CLO VIII Ltd.,
Series 2015-8A, Class A1AR, (3-mo. CME
Term SOFR + 1.36%), 5.63%, 01/20/31(a)(b)
|
|
485
|
485,508
|
|
Benefit Street Partners CLO X Ltd., Series 2016-
10A, Class A2AR, (3-mo. CME Term SOFR +
1.81%), 6.08%, 04/20/34(a)(b)
|
|
710
|
711,853
|
|
Benefit Street Partners CLO XII-B Ltd.
|
|
|
|
|
Series 2017-12BRA, Class A, (3-mo. CME
Term SOFR + 1.37%), 5.63%,
10/15/37(a)(b)
|
|
3,811
|
3,825,711
|
|
Series 2017-12BRA, Class B, (3-mo. CME
Term SOFR + 1.70%), 5.96%,
10/15/37(a)(b)
|
|
2,000
|
2,002,688
|
|
Benefit Street Partners CLO XIV Ltd.,
Series 2018-14A, Class AR, (3-mo. CME
Term SOFR + 1.37%), 5.64%, 10/20/37(a)(b)
|
|
750
|
752,916
|
|
Benefit Street Partners CLO XVI Ltd.,
Series 2018-16A, Class A1R2, (3-mo. CME
Term SOFR + 1.32%), 5.60%, 01/17/38(a)(b)
|
|
920
|
922,602
|
|
Benefit Street Partners CLO XX Ltd.
|
|
|
|
|
Series 2020-20A, Class AR, (3-mo. CME
Term SOFR + 1.43%), 5.69%,
07/15/34(a)(b)
|
|
3,830
|
3,836,751
|
|
Series 2020-20A, Class ER, (3-mo. CME
Term SOFR + 7.01%), 11.27%,
07/15/34(a)(b)
|
|
250
|
250,233
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Benefit Street Partners CLO XXIII Ltd.,
Series 2021-23A, Class A1, (3-mo. CME Term
SOFR + 1.34%), 5.62%, 04/25/34(a)(b)
|
USD
|
800
|
$ 801,680
|
|
Benefit Street Partners CLO XXIX Ltd.,
Series 2022-29A, Class AR, (3-mo. CME
Term SOFR + 1.18%), 5.46%, 01/25/38(a)(b)
|
|
2,150
|
2,147,850
|
|
Benefit Street Partners CLO XXVI Ltd.,
Series 2022-26A, Class AR, (3-mo. CME
Term SOFR + 1.38%), 5.65%, 07/20/37(a)(b)
|
|
1,310
|
1,314,154
|
|
Benefit Street Partners CLO XXVII Ltd.,
Series 2022-27A, Class AR, (3-mo. CME
Term SOFR + 1.37%), 5.64%, 10/20/37(a)(b)
|
|
12,020
|
12,064,880
|
|
Benefit Street Partners CLO XXXVII Ltd.,
Series 2024-37A, Class A, (3-mo. CME Term
SOFR + 1.35%), 5.70%, 01/25/38(a)(b)
|
|
4,500
|
4,516,061
|
|
Benefit Street Partners CLO XXXVIII Ltd.,
Series 2024-38A, Class A, (3-mo. CME Term
SOFR + 1.31%), 5.62%, 01/25/38(a)(b)
|
|
3,920
|
3,931,797
|
|
BHG Securitization Trust
|
|
|
|
|
Series 2021-A, Class B, 2.79%, 11/17/33(a)
|
|
1,007
|
972,645
|
|
Series 2022-C, Class B, 5.93%, 10/17/35(a)
|
|
1,058
|
1,061,341
|
|
Birch Grove CLO 10 Ltd., Series 2024-10A,
Class A, (3-mo. CME Term SOFR + 1.39%),
5.95%, 01/22/38(a)(b)
|
|
2,550
|
2,559,675
|
|
Birch Grove CLO 12 Ltd., Series 2025-12A,
Class A1, (3-mo. CME Term SOFR + 1.17%),
5.51%, 04/22/38(a)(b)
|
|
750
|
748,903
|
|
Birch Grove CLO 2 Ltd., Series 2021-2A,
Class A1R, (3-mo. CME Term SOFR +
1.40%), 5.67%, 10/19/37(a)(b)
|
|
870
|
872,934
|
|
Birch Grove CLO 3 Ltd.
|
|
|
|
|
Series 2021-3A, Class A1R, (3-mo. CME
Term SOFR + 1.26%), 5.53%,
01/19/38(a)(b)
|
|
760
|
761,216
|
|
Series 2021-3A, Class BR, (3-mo. CME Term
SOFR + 1.60%), 5.87%, 01/19/38(a)(b)
|
|
520
|
519,638
|
|
Birch Grove CLO Ltd., Series 19A, Class A1RR,
(3-mo. CME Term SOFR + 1.59%), 5.87%,
07/17/37(a)(b)
|
|
250
|
251,101
|
|
BlueMountain CLO Ltd.
|
|
|
|
|
Series 2013-2A, Class BR, (3-mo. CME Term
SOFR + 1.86%), 6.13%, 10/22/30(a)(b)
|
|
500
|
501,043
|
|
Series 2015-3A, Class A1R, (3-mo. CME
Term SOFR + 1.26%), 5.53%,
04/20/31(a)(b)
|
|
1,125
|
1,125,817
|
|
Series 2016-3A, Class A1R2, (3-mo. CME
Term SOFR + 1.20%), 5.53%,
11/15/30(a)(b)
|
|
743
|
743,535
|
|
Series 2018-2A, Class B, (3-mo. CME Term
SOFR + 1.96%), 6.29%, 08/15/31(a)(b)
|
|
1,095
|
1,100,274
|
|
Series 2018-3A, Class A1R, (3-mo. CME
Term SOFR + 1.19%), 5.47%,
10/25/30(a)(b)
|
|
1,539
|
1,540,722
|
|
Series 2018-3A, Class BR, (3-mo. CME Term
SOFR + 1.85%), 6.13%, 10/25/30(a)(b)
|
|
10,020
|
10,048,016
|
|
BlueMountain CLO XXII Ltd., Series 2018-22A,
Class B, (3-mo. CME Term SOFR + 1.76%),
6.02%, 07/15/31(a)(b)
|
|
3,970
|
3,982,687
|
|
BlueMountain CLO XXIX Ltd., Series 2020-29A,
Class BR, (3-mo. CME Term SOFR + 2.01%),
6.29%, 07/25/34(a)(b)
|
|
1,080
|
1,087,057
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
BlueMountain CLO XXVIII Ltd., Series 2021-
28A, Class A, (3-mo. CME Term SOFR +
1.52%), 5.78%, 04/15/34(a)(b)
|
USD
|
570
|
$ 570,000
|
|
BlueMountain Euro CLO DAC, Series 2021-2A,
Class B1, (3-mo. EURIBOR + 1.75%), 4.03%,
10/15/35(a)(b)
|
EUR
|
3,280
|
3,873,130
|
|
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-
2A, Class A1AR, (3-mo. CME Term SOFR +
1.26%), 5.53%, 10/20/30(a)(b)
|
USD
|
1,716
|
1,718,773
|
|
BRAVO Residential Funding Trust, Series 2024-
CES2, Class A1A, 5.55%, 09/25/54(a)(c)
|
|
1,539
|
1,544,145
|
|
Brex Commercial Charge Card Master Trust,
Series 2024-1, Class A1, 6.05%, 07/15/27(a)
|
|
3,325
|
3,350,457
|
|
Bridge Street CLO II Ltd., Series 2021-1A,
Class A1A, (3-mo. CME Term SOFR +
1.49%), 5.76%, 07/20/34(a)(b)
|
|
500
|
500,738
|
|
Brignole Co.
|
|
|
|
|
Series 2024, Class C, (1-mo. EURIBOR +
2.00%), 3.87%, 02/24/42(b)(e)
|
EUR
|
220
|
259,826
|
|
Series 2024, Class D, (1-mo. EURIBOR +
4.00%), 5.87%, 02/24/42(b)(e)
|
|
317
|
377,779
|
|
Bryant Park Funding Ltd.
|
|
|
|
|
Series 2023-19A, Class A1R, (3-mo. CME
Term SOFR + 1.20%), 5.49%,
04/15/38(a)(b)
|
USD
|
710
|
709,355
|
|
Series 2024-24A, Class A1, (3-mo. CME Term
SOFR + 1.40%), 5.66%, 10/15/37(a)(b)
|
|
1,500
|
1,505,163
|
|
Series 2024-25A, Class A1, (3-mo. CME Term
SOFR + 1.34%), 5.66%, 01/18/38(a)(b)
|
|
2,250
|
2,257,200
|
|
Series 2024-25A, Class B, (3-mo. CME Term
SOFR + 1.70%), 6.02%, 01/18/38(a)(b)
|
|
4,000
|
4,003,419
|
|
Series 2024-25A, Class D1, (3-mo. CME Term
SOFR + 2.95%), 7.27%, 01/18/38(a)(b)
|
|
500
|
499,049
|
|
Buckhorn Park CLO Ltd., Series 2019-1A,
Class ARR, (3-mo. CME Term SOFR +
1.07%), 5.34%, 07/18/34(a)(b)
|
|
2,400
|
2,400,185
|
|
BXMT Ltd. Mortgage-Backed Securities,
Series 2025-FL5, Class A, (1-mo. CME Term
SOFR + 1.64%), 5.95%, 10/18/42(a)(b)
|
|
1,804
|
1,790,648
|
|
Canyon Capital CLO Ltd., Series 2016-1A,
Class AR, (3-mo. CME Term SOFR + 1.33%),
5.59%, 07/15/31(a)(b)
|
|
245
|
245,358
|
|
Canyon CLO Ltd.
|
|
|
|
|
Series 2018-1A, Class A, (3-mo. CME Term
SOFR + 1.33%), 5.59%, 07/15/31(a)(b)
|
|
639
|
639,439
|
|
Series 2020-3A, Class A1R, (3-mo. CME
Term SOFR + 1.40%), 5.66%,
10/15/37(a)(b)
|
|
2,945
|
2,956,229
|
|
Series 2020-3A, Class BR, (3-mo. CME Term
SOFR + 1.95%), 6.21%, 10/15/37(a)(b)
|
|
1,610
|
1,616,428
|
|
Series 2023-2A, Class B, (3-mo. CME Term
SOFR + 2.05%), 6.31%, 05/15/37(a)(b)
|
|
6,800
|
6,825,862
|
|
Cardiff Auto Receivables Securitisation PLC
|
|
|
|
|
Series 2024-1, Class C, (1-day SONIA +
1.90%), 6.12%, 08/20/31(b)(e)
|
GBP
|
1,743
|
2,392,718
|
|
Series 2024-1, Class D, (1-day SONIA +
2.60%), 6.82%, 08/20/31(b)(e)
|
|
1,320
|
1,815,018
|
|
Carlyle C17 CLO Ltd., Series C17A,
Class A1AR, (3-mo. CME Term SOFR +
1.29%), 5.57%, 04/30/31(a)(b)
|
USD
|
1,761
|
1,763,176
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
|
|
Series 2013-3A, Class A1AR, (3-mo. CME
Term SOFR + 1.36%), 5.62%,
10/15/30(a)(b)
|
USD
|
8
|
$ 8,111
|
|
Series 2014-1A, Class A1R2, (3-mo. CME
Term SOFR + 1.23%), 5.51%,
04/17/31(a)(b)
|
|
857
|
857,342
|
|
Series 2014-2RA, Class A1, (3-mo. CME
Term SOFR + 1.31%), 5.64%,
05/15/31(a)(b)
|
|
557
|
557,030
|
|
Series 2014-3RA, Class A1A, (3-mo. CME
Term SOFR + 1.31%), 5.59%,
07/27/31(a)(b)
|
|
86
|
85,634
|
|
Series 2014-5A, Class A1RR, (3-mo. CME
Term SOFR + 1.40%), 5.66%,
07/15/31(a)(b)
|
|
489
|
490,034
|
|
Series 2014-5A, Class A2RR, (3-mo. CME
Term SOFR + 1.71%), 5.97%,
07/15/31(a)(b)
|
|
830
|
830,640
|
|
Carlyle U.S. CLO Ltd.
|
|
|
|
|
Series 2017-3A, Class A1R2, (3-mo. CME
Term SOFR + 1.40%), 5.67%,
10/21/37(a)(b)
|
|
6,810
|
6,837,240
|
|
Series 2017-3A, Class BR2, (3-mo. CME
Term SOFR + 1.78%), 6.05%,
10/21/37(a)(b)
|
|
5,170
|
5,185,262
|
|
Series 2019-1A, Class A1AR, (3-mo. CME
Term SOFR + 1.34%), 5.61%,
04/20/31(a)(b)
|
|
1,094
|
1,095,545
|
|
Series 2023-1A, Class B, (3-mo. CME Term
SOFR + 2.60%), 6.87%, 07/20/35(a)(b)
|
|
750
|
751,015
|
|
Series 2024-6A, Class B, (3-mo. CME Term
SOFR + 1.70%), 6.16%, 10/25/37(a)(b)
|
|
510
|
510,663
|
|
Carrington Mortgage Loan Trust
|
|
|
|
|
Series 2006-NC1, Class M2, (1-mo. CME
Term SOFR + 0.74%), 5.06%, 01/25/36(b)
|
|
610
|
535,015
|
|
Series 2006-NC4, Class A3, (1-mo. CME
Term SOFR + 0.27%), 4.59%, 10/25/36(b)
|
|
188
|
183,254
|
|
CarVal CLO VC Ltd.
|
|
|
|
|
Series 2021-2A, Class D, (3-mo. CME Term
SOFR + 3.51%), 7.77%, 10/15/34(a)(b)
|
|
250
|
249,032
|
|
Series 2021-2A, Class E, (3-mo. CME Term
SOFR + 7.01%), 11.27%, 10/15/34(a)(b)
|
|
250
|
242,166
|
|
CarVal CLO VIII-C Ltd., Series 2022-2A,
Class A1R, (3-mo. CME Term SOFR +
1.42%), 5.69%, 10/22/37(a)(b)
|
|
730
|
733,004
|
|
Cascade MH Asset Trust, Series 2019-MH1,
Class A, 4.00%, 11/25/44(a)(b)
|
|
6,419
|
6,119,541
|
|
Cayuga Park CLO Ltd., Series 2020-1A,
Class AR, (3-mo. CME Term SOFR + 1.38%),
5.66%, 07/17/34(a)(b)
|
|
3,270
|
3,275,378
|
|
CBAM Ltd.
|
|
|
|
|
Series 2018-5A, Class B1, (3-mo. CME Term
SOFR + 1.66%), 5.94%, 04/17/31(a)(b)
|
|
710
|
712,316
|
|
Series 2018-7A, Class A, (3-mo. CME Term
SOFR + 1.36%), 5.63%, 07/20/31(a)(b)
|
|
124
|
123,737
|
|
Series 2018-7A, Class B1, (3-mo. CME Term
SOFR + 1.86%), 6.13%, 07/20/31(a)(b)
|
|
250
|
250,547
|
|
Series 2019-10A, Class A1R, (3-mo. CME
Term SOFR + 1.38%), 5.65%,
04/20/32(a)(b)
|
|
2,950
|
2,954,491
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
CBAM Ltd.
|
|
|
|
|
Series 2020-12A, Class AR, (3-mo. CME
Term SOFR + 1.44%), 5.71%,
07/20/34(a)(b)
|
USD
|
436
|
$ 436,433
|
|
C-BASS Trust
|
|
|
|
|
Series 2006-CB7, Class A4, (1-mo. CME
Term SOFR + 0.43%), 4.75%, 10/25/36(b)
|
|
348
|
238,048
|
|
Series 2006-CB9, Class A4, (1-mo. CME
Term SOFR + 0.57%), 4.89%, 11/25/36(b)
|
|
327
|
147,462
|
|
Cedar Funding II CLO Ltd.
|
|
|
|
|
Series 2013-1A, Class ARR, (3-mo. CME
Term SOFR + 1.34%), 5.61%,
04/20/34(a)(b)
|
|
3,255
|
3,262,536
|
|
Series 2013-1A, Class BRR, (3-mo. CME
Term SOFR + 1.61%), 5.88%,
04/20/34(a)(b)
|
|
3,110
|
3,108,118
|
|
Cedar Funding V CLO Ltd., Series 2016-5A,
Class A1R, (3-mo. CME Term SOFR +
1.36%), 5.64%, 07/17/31(a)(b)
|
|
1,208
|
1,209,316
|
|
Cedar Funding VII CLO Ltd., Series 2018-7A,
Class AR, (3-mo. CME Term SOFR + 1.08%),
5.35%, 01/20/31(a)(b)
|
|
119
|
119,437
|
|
Cedar Funding XI CLO Ltd., Series 2019-11A,
Class A2R2, (3-mo. CME Term SOFR +
1.30%), 5.63%, 05/29/32(a)(b)
|
|
1,220
|
1,218,728
|
|
Cedar Funding XIV CLO Ltd., Series 2021-14A,
Class B1R, (3-mo. CME Term SOFR +
1.70%), 5.96%, 10/15/37(a)(b)
|
|
770
|
771,627
|
|
CIFC European Funding CLO II DAC, Series 2X,
Class B1, (3-mo. EURIBOR + 1.60%), 3.88%,
04/15/33(b)(e)
|
EUR
|
900
|
1,063,606
|
|
CIFC Funding Ltd.
|
|
|
|
|
Series 2013-1A, Class A2R, (3-mo. CME
Term SOFR + 2.01%), 6.27%,
07/16/30(a)(b)
|
USD
|
1,250
|
1,254,177
|
|
Series 2013-1A, Class CR, (3-mo. CME Term
SOFR + 3.81%), 8.07%, 07/16/30(a)(b)
|
|
250
|
253,230
|
|
Series 2013-2A, Class A1L2, (3-mo. CME
Term SOFR + 1.26%), 5.53%,
10/18/30(a)(b)
|
|
106
|
106,346
|
|
Series 2013-2A, Class A2L2, (3-mo. CME
Term SOFR + 1.76%), 6.03%,
10/18/30(a)(b)
|
|
250
|
250,293
|
|
Series 2014-1A, Class BR2, (3-mo. CME
Term SOFR + 1.66%), 5.93%,
01/18/31(a)(b)
|
|
3,320
|
3,318,690
|
|
Series 2014-3A, Class A1R, (3-mo. CME
Term SOFR + 1.18%), 5.46%,
03/31/38(a)(b)
|
|
1,000
|
1,000,274
|
|
Series 2015-1A, Class ARR, (3-mo. CME
Term SOFR + 1.37%), 5.64%,
01/22/31(a)(b)
|
|
98
|
97,877
|
|
Series 2015-1A, Class BRR, (3-mo. CME
Term SOFR + 1.71%), 5.98%,
01/22/31(a)(b)
|
|
250
|
250,277
|
|
Series 2015-4A, Class A1A2, (3-mo. CME
Term SOFR + 1.33%), 5.60%,
04/20/34(a)(b)
|
|
510
|
511,087
|
|
Series 2017-1A, Class ARR, (3-mo. CME
Term SOFR + 1.55%), 5.82%,
04/21/37(a)(b)
|
|
6,190
|
6,213,549
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
CIFC Funding Ltd.
|
|
|
|
|
Series 2017-1A, Class BRR, (3-mo. CME
Term SOFR + 2.05%), 6.32%,
04/21/37(a)(b)
|
USD
|
3,710
|
$ 3,731,332
|
|
Series 2017-1A, Class CRR, (3-mo. CME
Term SOFR + 2.45%), 6.72%,
04/21/37(a)(b)
|
|
250
|
251,564
|
|
Series 2017-5A, Class AR, (3-mo. CME Term
SOFR + 1.41%), 5.69%, 07/17/37(a)(b)
|
|
1,770
|
1,775,574
|
|
Series 2018-1A, Class A1R, (3-mo. CME
Term SOFR + 1.32%), 5.59%,
01/18/38(a)(b)
|
|
3,140
|
3,147,850
|
|
Series 2018-1A, Class BR, (3-mo. CME Term
SOFR + 1.70%), 5.97%, 01/18/38(a)(b)
|
|
1,510
|
1,512,194
|
|
Series 2018-2A, Class A1R, (3-mo. CME
Term SOFR + 1.37%), 5.64%,
10/20/37(a)(b)
|
|
250
|
251,001
|
|
Series 2018-2A, Class BR, (3-mo. CME Term
SOFR + 1.75%), 6.02%, 10/20/37(a)(b)
|
|
1,000
|
1,002,582
|
|
Series 2018-3A, Class A, (3-mo. CME Term
SOFR + 1.36%), 5.63%, 07/18/31(a)(b)
|
|
425
|
425,810
|
|
Series 2019-1A, Class A1R2, (3-mo. CME
Term SOFR + 1.36%), 5.63%,
10/20/37(a)(b)
|
|
6,729
|
6,753,435
|
|
Series 2019-5A, Class A1R1, (3-mo. CME
Term SOFR + 1.40%), 5.66%,
01/15/35(a)(b)
|
|
400
|
400,976
|
|
Series 2019-6A, Class A1R, (3-mo. CME
Term SOFR + 1.45%), 5.71%,
07/16/37(a)(b)
|
|
6,170
|
6,191,845
|
|
Series 2020-1A, Class A1R, (3-mo. CME
Term SOFR + 1.41%), 5.67%,
07/15/36(a)(b)
|
|
1,200
|
1,203,148
|
|
Series 2020-1A, Class BR, (3-mo. CME Term
SOFR + 1.91%), 6.17%, 07/15/36(a)(b)
|
|
3,260
|
3,261,630
|
|
Series 2020-3A, Class A1R, (3-mo. CME
Term SOFR + 1.39%), 5.66%,
10/20/34(a)(b)
|
|
12,140
|
12,152,140
|
|
Series 2020-3A, Class BR, (3-mo. CME Term
SOFR + 1.91%), 6.18%, 10/20/34(a)(b)
|
|
780
|
781,530
|
|
Series 2020-4A, Class A1R, (3-mo. CME
Term SOFR + 1.30%), 5.56%,
01/15/40(a)(b)
|
|
9,120
|
9,148,405
|
|
Series 2021-1A, Class BR, (3-mo. CME Term
SOFR + 1.75%), 6.03%, 07/25/37(a)(b)
|
|
5,280
|
5,295,160
|
|
Series 2021-3A, Class B, (3-mo. CME Term
SOFR + 1.96%), 6.22%, 07/15/36(a)(b)
|
|
490
|
490,245
|
|
Series 2021-4A, Class AR, (3-mo. CME Term
SOFR + 1.36%), 5.64%, 07/23/37(a)(b)
|
|
8,210
|
8,236,797
|
|
Series 2021-4A, Class BR, (3-mo. CME Term
SOFR + 1.65%), 5.93%, 07/23/37(a)(b)
|
|
500
|
500,786
|
|
Series 2021-4A, Class CR, (3-mo. CME Term
SOFR + 1.90%), 6.18%, 07/23/37(a)(b)
|
|
250
|
250,681
|
|
Series 2021-6A, Class A, (3-mo. CME Term
SOFR + 1.40%), 5.66%, 10/15/34(a)(b)
|
|
840
|
841,009
|
|
Series 2021-6A, Class B, (3-mo. CME Term
SOFR + 1.91%), 6.17%, 10/15/34(a)(b)
|
|
700
|
700,584
|
|
Series 2023-3A, Class A, (3-mo. CME Term
SOFR + 1.60%), 5.87%, 01/20/37(a)(b)
|
|
2,410
|
2,421,515
|
|
Series 2024-3A, Class A1, (3-mo. CME Term
SOFR + 1.48%), 5.75%, 07/21/37(a)(b)
|
|
690
|
692,732
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
CIFC Funding Ltd.
|
|
|
|
|
Series 2025-1A, Class A, (3-mo. CME Term
SOFR + 1.15%), 5.40%, 04/23/38(a)(b)
|
USD
|
250
|
$ 249,793
|
|
Series 2025-2A, Class A, (3-mo. CME Term
SOFR + 1.13%), 5.41%, 04/15/38(a)(b)
|
|
3,640
|
3,634,671
|
|
CIT Mortgage Loan Trust
|
|
|
|
|
Series 2007-1, Class 1M2, (1-mo. CME Term
SOFR + 2.74%), 7.06%, 10/25/37(a)(b)
|
|
1,821
|
1,761,074
|
|
Series 2007-1, Class 2M2, (1-mo. CME Term
SOFR + 2.74%), 7.06%, 10/25/37(a)(b)
|
|
397
|
370,492
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1-mo. CME
Term SOFR + 0.31%), 4.63%, 05/25/37(b)
|
|
4,215
|
2,753,700
|
|
Series 2007-AHL2, Class A3C, (1-mo. CME
Term SOFR + 0.38%), 4.70%, 05/25/37(b)
|
|
1,915
|
1,250,632
|
|
Series 2007-AHL3, Class A3B, (1-mo. CME
Term SOFR + 0.28%), 4.60%, 07/25/45(b)
|
|
3,032
|
2,096,235
|
|
Clover CLO LLC
|
|
|
|
|
Series 2018-1A, Class A1RR, (3-mo. CME
Term SOFR + 1.53%), 5.80%,
04/20/37(a)(b)
|
|
4,120
|
4,134,493
|
|
Series 2018-1A, Class B1RR, (3-mo. CME
Term SOFR + 1.95%), 6.22%,
04/20/37(a)(b)
|
|
750
|
752,724
|
|
Series 2021-3A, Class AR, (3-mo. CME Term
SOFR + 1.07%), 5.35%, 01/25/35(a)(b)
|
|
270
|
270,156
|
|
Coinstar Funding LLC, Series 2017-1A,
Class A2, 5.22%, 04/25/47(a)
|
|
598
|
553,156
|
|
College Ave Student Loans LLC
|
|
|
|
|
Series 2021-B, Class B, 2.42%, 06/25/52(a)
|
|
681
|
616,196
|
|
Series 2021-B, Class C, 2.72%, 06/25/52(a)
|
|
307
|
283,302
|
|
Series 2021-B, Class D, 3.78%, 06/25/52(a)
|
|
75
|
70,518
|
|
College Ave Student Loans Trust, Series 2024-A,
Class A1B, (SOFR (30-day) + 1.75%), 6.06%,
06/25/54(a)(b)
|
|
8,055
|
8,191,170
|
|
Concord Music Royalties LLC, Series 2024-1A,
Class A, 5.64%, 10/20/74(a)
|
|
2,794
|
2,801,358
|
|
Conseco Finance Corp.
|
|
|
|
|
Series 1997-3, Class M1, 7.53%, 03/15/28(b)
|
|
335
|
340,995
|
|
Series 1997-6, Class M1, 7.21%, 01/15/29(b)
|
|
58
|
58,504
|
|
Series 1998-4, Class M1, 6.83%, 04/01/30(b)
|
|
133
|
135,442
|
|
Series 1999-5, Class A5, 7.86%, 03/01/30(b)
|
|
770
|
225,826
|
|
Series 1999-5, Class A6, 7.50%, 03/01/30(b)
|
|
826
|
231,753
|
|
Conseco Finance Securitizations Corp.
|
|
|
|
|
Series 2000-1, Class A5, 8.06%, 09/01/29(b)
|
|
1,445
|
197,245
|
|
Series 2000-4, Class A6, 8.31%, 05/01/32(b)
|
|
1,224
|
171,211
|
|
Series 2000-5, Class A6, 7.96%, 05/01/31
|
|
2,105
|
416,316
|
|
Series 2000-5, Class A7, 8.20%, 05/01/31
|
|
3,840
|
782,366
|
|
Cook Park CLO Ltd., Series 2018-1A, Class B,
(3-mo. CME Term SOFR + 1.66%), 5.94%,
04/17/30(a)(b)
|
|
250
|
250,402
|
|
Countrywide Asset-Backed Certificates
|
|
|
|
|
Series 2004-5, Class A, (1-mo. CME Term
SOFR + 1.01%), 5.33%, 10/25/34(b)
|
|
286
|
282,199
|
|
Series 2005-16, Class 1AF, 4.53%,
04/25/36(b)
|
|
1,852
|
1,641,385
|
|
Series 2006-14, Class M1, (1-mo. CME Term
SOFR + 0.55%), 4.87%, 02/25/37(b)
|
|
1,120
|
960,158
|
|
Series 2006-18, Class M1, (1-mo. CME Term
SOFR + 0.56%), 4.88%, 03/25/37(b)
|
|
6,545
|
6,538,717
|
|
Series 2006-22, Class M1, (1-mo. CME Term
SOFR + 0.46%), 4.78%, 05/25/47(b)
|
|
824
|
698,876
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Countrywide Asset-Backed Certificates
|
|
|
|
|
Series 2006-SPS1, Class A, (1-mo. CME
Term SOFR + 0.33%), 4.65%, 12/25/25(b)
|
USD
|
5
|
$ 27,447
|
|
Series 2007-12, Class 1A2, (1-mo. CME Term
SOFR + 0.95%), 5.27%, 08/25/47(b)
|
|
2,528
|
2,468,429
|
|
Series 2007-SEA2, Class 2A1, (1-mo. CME
Term SOFR + 1.61%), 5.93%,
06/25/47(a)(b)
|
|
1,319
|
1,052,196
|
|
Countrywide Asset-Backed Certificates
Revolving Home Equity Loan Trust,
Series 2004-U, Class 2A, (1-mo. CME Term
SOFR + 0.38%), 4.70%, 03/15/34(b)
|
|
144
|
143,433
|
|
Credit Suisse First Boston Mortgage Securities
Corp.
|
|
|
|
|
Series 2001-MH29, Class B1, 8.10%,
09/25/31(b)
|
|
478
|
483,496
|
|
Series 2004-CF2, Class 1B, 6.00%,
01/25/43(a)(c)
|
|
304
|
228,386
|
|
Credit-Based Asset Servicing & Securitization
LLC
|
|
|
|
|
Series 2006-CB2, Class AF4, 2.99%,
12/25/36(c)
|
|
304
|
247,027
|
|
Series 2006-MH1, Class B1, 6.75%,
10/25/36(a)(c)
|
|
286
|
284,159
|
|
Series 2006-MH1, Class B2, 6.75%,
10/25/36(a)(c)
|
|
2,962
|
2,410,135
|
|
Series 2006-SL1, Class A2, 6.06%,
09/25/36(a)(c)
|
|
2,709
|
87,861
|
|
Series 2007-CB6, Class A4, (1-mo. CME
Term SOFR + 0.45%), 4.77%,
07/25/37(a)(b)
|
|
382
|
250,368
|
|
CreekSource Dunes Creek CLO Ltd.
|
|
|
|
|
Series 2024-1X, Class A1, (3-mo. CME Term
SOFR + 1.41%), 5.74%, 01/15/38(b)(e)
|
|
250
|
250,750
|
|
Series 2024-1X, Class B, (3-mo. CME Term
SOFR + 1.75%), 6.08%, 01/15/38(b)(e)
|
|
1,040
|
1,039,935
|
|
Crown City CLO III, Series 2021-1A, Class A1A,
(3-mo. CME Term SOFR + 1.43%), 5.70%,
07/20/34(a)(b)
|
|
250
|
250,387
|
|
Crown Point CLO 10 Ltd., Series 2021-10A,
Class B, (3-mo. CME Term SOFR + 1.96%),
6.23%, 07/20/34(a)(b)
|
|
490
|
490,662
|
|
CVC Cordatus Loan Fund IV DAC, Series 4X,
Class BR1, (3-mo. EURIBOR + 1.30%),
3.36%, 02/22/34(b)(e)
|
EUR
|
990
|
1,159,036
|
|
CVC Cordatus Loan Fund V DAC, Series 5X,
Class B1R, (3-mo. EURIBOR + 1.50%),
3.74%, 07/21/30(b)(e)
|
|
250
|
294,032
|
|
CWHEQ Home Equity Loan Trust
|
|
|
|
|
Series 2006-S3, Class A4, 5.35%, 01/25/29(c)
|
USD
|
32
|
76,845
|
|
Series 2006-S5, Class A5, 6.16%, 06/25/35
|
|
39
|
60,416
|
|
CWHEQ Revolving Home Equity Loan Trust
|
|
|
|
|
Series 2005-B, Class 2A, (1-mo. CME Term
SOFR + 0.29%), 4.61%, 05/15/35(b)
|
|
38
|
37,544
|
|
Series 2006-C, Class 2A, (1-mo. CME Term
SOFR + 0.29%), 4.61%, 05/15/36(b)
|
|
322
|
318,539
|
|
Series 2006-H, Class 1A, (1-mo. CME Term
SOFR + 0.26%), 4.58%, 11/15/36(b)
|
|
190
|
186,344
|
|
Series 2006-I, Class 1A, (1-mo. CME Term
SOFR + 0.25%), 4.57%, 01/15/37(b)
|
|
191
|
182,488
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Diameter Capital CLO 1 Ltd., Series 2021-1A,
Class A1R, (3-mo. CME Term SOFR +
1.39%), 5.65%, 10/15/37(a)(b)
|
USD
|
1,180
|
$ 1,185,571
|
|
Diameter Capital CLO 10 Ltd., Series 2025-10A,
Class A, (3-mo. CME Term SOFR + 1.31%),
5.60%, 04/20/38(a)(b)
|
|
2,400
|
2,402,138
|
|
Diameter Capital CLO 2 Ltd., Series 2021-2A,
Class A1R, (3-mo. CME Term SOFR +
1.39%), 5.65%, 10/15/37(a)(b)
|
|
250
|
251,180
|
|
Diameter Capital CLO 3 Ltd.
|
|
|
|
|
Series 2022-3A, Class A1R, (3-mo. CME
Term SOFR + 1.33%), 5.59%,
01/15/38(a)(b)
|
|
372
|
373,612
|
|
Series 2022-3A, Class A2R, (3-mo. CME
Term SOFR + 1.70%), 5.96%,
01/15/38(a)(b)
|
|
1,500
|
1,502,315
|
|
Diameter Capital CLO 8 Ltd., Series 2024-8A,
Class A1A, (3-mo. CME Term SOFR +
1.40%), 5.67%, 10/20/37(a)(b)
|
|
22,190
|
22,275,409
|
|
Diameter Capital CLO 9 Ltd., Series 2025-9A,
Class A, (3-mo. CME Term SOFR + 1.17%),
5.49%, 04/20/38(a)(b)
|
|
593
|
592,407
|
|
Dowson PLC
|
|
|
|
|
Series 2024-1, Class D, (1-day SONIA +
2.35%), 6.57%, 08/20/31(b)(e)
|
GBP
|
344
|
468,941
|
|
Series 2024-1, Class E, (1-day SONIA +
3.95%), 8.17%, 08/20/31(b)(e)
|
|
408
|
556,876
|
|
Series 2024-1, Class F, (1-day SONIA +
6.95%), 11.17%, 08/20/31(b)(e)
|
|
496
|
677,087
|
|
Dryden 104 CLO Ltd., Series 2022-104A,
Class A1R, (3-mo. CME Term SOFR +
1.29%), 5.61%, 08/20/34(a)(b)
|
USD
|
3,180
|
3,187,843
|
|
Dryden 41 Senior Loan Fund, Series 2015-41A,
Class AR, (3-mo. CME Term SOFR + 1.23%),
5.49%, 04/15/31(a)(b)
|
|
1,529
|
1,529,198
|
|
Dryden 49 Senior Loan Fund
|
|
|
|
|
Series 2017-49A, Class AR, (3-mo. CME
Term SOFR + 1.21%), 5.48%,
07/18/30(a)(b)
|
|
373
|
373,585
|
|
Series 2017-49A, Class BR, (3-mo. CME
Term SOFR + 1.86%), 6.13%,
07/18/30(a)(b)
|
|
500
|
500,974
|
|
Dryden 50 Senior Loan Fund, Series 2017-50A,
Class B, (3-mo. CME Term SOFR + 1.91%),
6.17%, 07/15/30(a)(b)
|
|
450
|
451,200
|
|
Dryden 53 CLO Ltd., Series 2017-53A, Class A,
(3-mo. CME Term SOFR + 1.38%), 5.64%,
01/15/31(a)(b)
|
|
11,556
|
11,561,332
|
|
Dryden 54 Senior Loan Fund, Series 2017-54A,
Class AR, (3-mo. CME Term SOFR + 1.15%),
5.42%, 10/19/29(a)(b)
|
|
1,467
|
1,467,563
|
|
Dryden 55 CLO Ltd., Series 2018-55A, Class A1,
(3-mo. CME Term SOFR + 1.28%), 5.54%,
04/15/31(a)(b)
|
|
1,249
|
1,251,228
|
|
Dryden 64 CLO Ltd., Series 2018-64A, Class A,
(3-mo. CME Term SOFR + 1.23%), 5.50%,
04/18/31(a)(b)
|
|
270
|
270,400
|
|
Dryden 65 CLO Ltd., Series 2018-65A, Class B,
(3-mo. CME Term SOFR + 1.86%), 6.13%,
07/18/30(a)(b)
|
|
300
|
300,621
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Dryden 76 CLO Ltd., Series 2019-76A,
Class A1R2, (3-mo. CME Term SOFR +
1.37%), 5.63%, 10/15/37(a)(b)
|
USD
|
1,000
|
$ 1,003,969
|
|
Dryden 77 CLO Ltd.
|
|
|
|
|
Series 2020-77A, Class AR, (3-mo. CME
Term SOFR + 1.38%), 5.70%,
05/20/34(a)(b)
|
|
3,580
|
3,585,709
|
|
Series 2020-77A, Class XR, (3-mo. CME
Term SOFR + 1.26%), 5.58%,
05/20/34(a)(b)
|
|
125
|
124,994
|
|
Dryden Senior Loan Fund, Series 2021-87A,
Class A1, (3-mo. CME Term SOFR + 1.36%),
5.68%, 05/20/34(a)(b)
|
|
2,330
|
2,336,455
|
|
Eaton Vance CLO Ltd.
|
|
|
|
|
Series 2013-1A, Class A23R, (3-mo. CME
Term SOFR + 1.81%), 6.07%,
01/15/34(a)(b)
|
|
1,190
|
1,192,572
|
|
Series 2014-1RA, Class A2, (3-mo. CME
Term SOFR + 1.75%), 6.01%,
07/15/30(a)(b)
|
|
250
|
250,168
|
|
Edenbrook Mortgage Funding PLC
|
|
|
|
|
Series 2024-1, Class C, (1-day SONIA +
1.95%), 6.19%, 03/22/57(b)(e)
|
GBP
|
1,611
|
2,212,293
|
|
Series 2024-1, Class D, (1-day SONIA +
2.55%), 6.79%, 03/22/57(b)(e)
|
|
931
|
1,283,306
|
|
EDvestinU Private Education Loan Issue No.
4 LLC, Series 2022-A, Class A, 5.25%,
11/25/40(a)
|
USD
|
2,192
|
2,174,378
|
|
Elmwood CLO 27 Ltd., Series 2024-3A, Class B,
(3-mo. CME Term SOFR + 1.95%), 6.22%,
04/18/37(a)(b)
|
|
1,040
|
1,043,548
|
|
Elmwood CLO 29 Ltd., Series 2024-5A,
Class AR1, (3-mo. CME Term SOFR +
1.52%), 5.79%, 04/20/37(a)(b)
|
|
4,760
|
4,776,826
|
|
Elmwood CLO 30 Ltd., Series 2024-6A, Class A,
(3-mo. CME Term SOFR + 1.43%), 5.71%,
07/17/37(a)(b)
|
|
2,410
|
2,418,087
|
|
Elmwood CLO 36 Ltd., Series 2024-12RA,
Class AR, (3-mo. CME Term SOFR + 1.34%),
5.61%, 10/20/37(a)(b)
|
|
1,517
|
1,522,172
|
|
Elmwood CLO 38 Ltd., Series 2025-1A, Class A,
(3-mo. CME Term SOFR + 1.15%), 5.43%,
04/22/38(a)(b)
|
|
4,490
|
4,485,849
|
|
Elmwood CLO 39 Ltd., Series 2025-2A,
Class A1, (3-mo. CME Term SOFR + 1.14%),
5.42%, 04/17/38(a)(b)
|
|
1,250
|
1,248,685
|
|
Elmwood CLO I Ltd., Series 2019-1A,
Class A1RR, (3-mo. CME Term SOFR +
1.52%), 5.79%, 04/20/37(a)(b)
|
|
250
|
250,884
|
|
Elmwood CLO II Ltd.
|
|
|
|
|
Series 2019-2A, Class A1RR, (3-mo. CME
Term SOFR + 1.35%), 5.62%,
10/20/37(a)(b)
|
|
6,690
|
6,711,742
|
|
Series 2019-2A, Class BRR, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
10/20/37(a)(b)
|
|
1,600
|
1,603,124
|
|
Series 2019-2A, Class D1RR, (3-mo. CME
Term SOFR + 3.05%), 7.32%,
10/20/37(a)(b)
|
|
250
|
249,799
|
|
Series 2019-2A, Class ERR, (3-mo. CME
Term SOFR + 5.75%), 10.02%,
10/20/37(a)(b)
|
|
750
|
758,805
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Elmwood CLO III Ltd., Series 2019-3A,
Class BRR, (3-mo. CME Term SOFR +
1.70%), 5.97%, 07/18/37(a)(b)
|
USD
|
670
|
$ 671,730
|
|
Elmwood CLO IV Ltd., Series 2020-1A,
Class DR, (3-mo. CME Term SOFR + 3.35%),
7.62%, 04/18/37(a)(b)
|
|
1,000
|
998,043
|
|
Elmwood CLO VI Ltd., Series 2020-3A,
Class ARR, (3-mo. CME Term SOFR +
1.38%), 5.65%, 07/18/37(a)(b)
|
|
3,381
|
3,391,502
|
|
Elmwood CLO VII Ltd., Series 2020-4A,
Class A1RR, (3-mo. CME Term SOFR +
1.36%), 5.64%, 10/17/37(a)(b)
|
|
790
|
792,871
|
|
Elmwood CLO X Ltd.
|
|
|
|
|
Series 2021-3A, Class A1R, (3-mo. CME
Term SOFR + 1.27%), 5.54%,
04/20/34(a)(b)
|
|
3,000
|
3,008,465
|
|
Series 2021-3A, Class BR, (3-mo. CME Term
SOFR + 1.75%), 6.02%, 04/20/34(a)(b)
|
|
1,250
|
1,251,302
|
|
Elmwood CLO XII Ltd., Series 2021-5A,
Class AR, (3-mo. CME Term SOFR + 1.36%),
5.62%, 10/15/37(a)(b)
|
|
1,310
|
1,314,738
|
|
Enterprise Fleet Financing LLC, Series 2024-4,
Class A4, 4.70%, 06/20/31(a)
|
|
1,537
|
1,554,609
|
|
Euro-Galaxy III CLO BV
|
|
|
|
|
Series 2013-3A, Class CRRR, (3-mo.
EURIBOR + 2.35%), 4.54%, 04/24/34(a)(b)
|
EUR
|
700
|
830,062
|
|
Series 2013-3A, Class DRRR, (3-mo.
EURIBOR + 3.25%), 5.44%, 04/24/34(a)(b)
|
|
1,585
|
1,869,723
|
|
Fairstone Financial Issuance Trust I,
Series 2020-1A, Class B, 3.74%, 10/20/39(a)
|
CAD
|
1,731
|
1,264,744
|
|
FBR Securitization Trust, Series 2005-5,
Class M2, (1-mo. CME Term SOFR + 0.82%),
5.14%, 11/25/35(b)
|
USD
|
3,419
|
3,392,118
|
|
FIGRE Trust, Series 2024-SL1, Class A1, 5.75%,
07/25/53(a)(b)
|
|
4,380
|
4,429,500
|
|
First Franklin Mortgage Loan Trust
|
|
|
|
|
Series 2004-FFH3, Class M3, (1-mo. CME
Term SOFR + 1.16%), 5.48%, 10/25/34(b)
|
|
1,000
|
904,989
|
|
Series 2006-FF13, Class A1, (1-mo. CME
Term SOFR + 0.35%), 4.67%, 10/25/36(b)
|
|
1,817
|
1,170,540
|
|
Series 2006-FF13, Class A2C, (1-mo. CME
Term SOFR + 0.43%), 4.75%, 10/25/36(b)
|
|
1,065
|
693,931
|
|
Series 2006-FF16, Class 2A3, (1-mo. CME
Term SOFR + 0.39%), 4.71%, 12/25/36(b)
|
|
8,955
|
3,601,959
|
|
Series 2006-FF17, Class A5, (1-mo. CME
Term SOFR + 0.26%), 4.58%, 12/25/36(b)
|
|
8,015
|
6,879,628
|
|
Series 2006-FFH1, Class M2, (1-mo. CME
Term SOFR + 0.71%), 5.03%, 01/25/36(b)
|
|
2,861
|
2,548,904
|
|
First NLC Trust, Series 2007-1, Class A3, (1-mo.
CME Term SOFR + 0.29%), 4.61%,
08/25/37(a)(b)
|
|
693
|
344,123
|
|
FirstKey Homes Trust
|
|
|
|
|
Series 2020-SFR1, Class F1, 3.64%,
08/17/37(a)
|
|
2,690
|
2,673,838
|
|
Series 2022-SFR3, Class E2, 3.50%,
07/17/38(a)
|
|
5,641
|
5,474,139
|
|
Flatiron CLO 20 Ltd., Series 2020-1A, Class BR,
(3-mo. CME Term SOFR + 1.92%), 6.24%,
05/20/36(a)(b)
|
|
1,160
|
1,163,486
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Flatiron CLO 21 Ltd.
|
|
|
|
|
Series 2021-1A, Class A1R, (3-mo. CME
Term SOFR + 1.36%), 5.63%,
10/19/37(a)(b)
|
USD
|
13,960
|
$ 14,010,577
|
|
Series 2021-1A, Class A2R, (3-mo. CME
Term SOFR + 1.58%), 5.85%,
10/19/37(a)(b)
|
|
1,980
|
1,983,116
|
|
Series 2021-1A, Class BR, (3-mo. CME Term
SOFR + 1.70%), 5.97%, 10/19/37(a)(b)
|
|
1,200
|
1,201,648
|
|
Flatiron CLO 25 Ltd.
|
|
|
|
|
Series 2024-2A, Class A, (3-mo. CME Term
SOFR + 1.35%), 5.63%, 10/17/37(a)(b)
|
|
1,140
|
1,144,012
|
|
Series 2024-2A, Class B, (3-mo. CME Term
SOFR + 1.60%), 5.88%, 10/17/37(a)(b)
|
|
600
|
601,094
|
|
FNA 8 LLC, Series 2025-1, Class A, 5.62%,
03/15/45(a)(b)
|
|
8,433
|
8,472,388
|
|
Fortuna Consumer Loan Abs DAC
|
|
|
|
|
Series 2024-2, Class C, (1-mo. EURIBOR +
1.65%), 3.56%, 10/18/34(b)
|
EUR
|
800
|
946,619
|
|
Series 2024-2, Class E, (1-mo. EURIBOR +
4.10%), 6.01%, 10/18/34(b)
|
|
2,300
|
2,741,702
|
|
Foundation Finance Trust
|
|
|
|
|
Series 2021-2A, Class A, 2.19%, 01/15/42(a)
|
USD
|
2,133
|
2,026,553
|
|
Series 2024-1A, Class B, 5.95%, 12/15/49(a)
|
|
856
|
873,821
|
|
Series 2024-2A, Class B, 4.93%, 03/15/50(a)
|
|
1,530
|
1,526,517
|
|
Series 2025-2A, Class D, 04/15/52(a)(f)
|
|
1,004
|
1,003,925
|
|
Series 2025-2A, Class E, 04/15/52(a)(f)
|
|
1,082
|
1,081,889
|
|
Fremont Home Loan Trust, Series 2006-3,
Class 1A1, (1-mo. CME Term SOFR +
0.39%), 4.71%, 02/25/37(b)
|
|
1,711
|
1,252,315
|
|
FS Rialto Issuer Ltd.
|
|
|
|
|
Series 2022-FL4, Class A, (SOFR (30-day) +
1.90%), 6.20%, 01/19/39(a)(b)
|
|
5,298
|
5,298,465
|
|
Series 2024-FL9, Class A, (1-mo. CME Term
SOFR + 1.63%), 5.95%, 10/19/39(a)(b)
|
|
4,627
|
4,644,371
|
|
Series 2025-FL10, Class A, (1-mo. CME Term
SOFR + 1.39%), 5.70%, 08/19/42(a)(b)
|
|
1,610
|
1,606,466
|
|
FTA Consumo Santander
|
|
|
|
|
Series 7, Class B, (3-mo. EURIBOR + 1.30%),
3.56%, 07/20/38(b)(e)
|
EUR
|
1,122
|
1,325,281
|
|
Series 7, Class C, (3-mo. EURIBOR +
1.65%), 3.91%, 07/20/38(b)(e)
|
|
949
|
1,121,374
|
|
Series 8, Class C, (3-mo. EURIBOR +
1.50%), 3.59%, 01/21/40(b)(e)
|
|
900
|
1,061,910
|
|
Series 8, Class D, (3-mo. EURIBOR +
2.75%), 4.84%, 01/21/40(b)(e)
|
|
300
|
353,945
|
|
Galaxy XX CLO Ltd., Series 2015-20A,
Class AR, (3-mo. CME Term SOFR + 1.26%),
5.53%, 04/20/31(a)(b)
|
USD
|
481
|
480,806
|
|
Galaxy XXVI CLO Ltd., Series 2018-26A,
Class AR, (3-mo. CME Term SOFR + 1.17%),
5.50%, 11/22/31(a)(b)
|
|
386
|
386,630
|
|
Generate CLO 2 Ltd.
|
|
|
|
|
Series 2A, Class AR2, (3-mo. CME Term
SOFR + 1.41%), 5.69%, 10/22/37(a)(b)
|
|
3,015
|
3,027,060
|
|
Series 2A, Class BR2, (3-mo. CME Term
SOFR + 1.80%), 6.08%, 10/22/37(a)(b)
|
|
2,970
|
2,975,472
|
|
Generate CLO 20 Ltd., Series 2024-20A,
Class B, (3-mo. CME Term SOFR + 1.70%),
5.99%, 01/25/38(a)(b)
|
|
260
|
260,533
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Generate CLO 4 Ltd.
|
|
|
|
|
Series 4A, Class ARR, (3-mo. CME Term
SOFR + 1.43%), 5.70%, 07/20/37(a)(b)
|
USD
|
8,250
|
$ 8,282,782
|
|
Series 4A, Class BRR, (3-mo. CME Term
SOFR + 1.75%), 6.02%, 07/20/37(a)(b)
|
|
3,000
|
3,004,478
|
|
Generate CLO 7 Ltd., Series 7A, Class A1R,
(3-mo. CME Term SOFR + 1.62%), 5.89%,
04/22/37(a)(b)
|
|
5,673
|
5,694,700
|
|
Generate CLO 9 Ltd., Series 9A, Class AR, (3-
mo. CME Term SOFR + 1.35%), 5.62%,
01/20/38(a)(b)
|
|
1,658
|
1,662,588
|
|
Golden Bar Securitisation Srl
|
|
|
|
|
Series 2024-1, Class B, (3-mo. EURIBOR +
1.50%), 3.54%, 09/22/43(b)(e)
|
EUR
|
1,516
|
1,802,161
|
|
Series 2025-1, Class D, (3-mo. EURIBOR +
1.90%), 3.90%, 12/22/44(b)(e)
|
|
509
|
599,578
|
|
Golden Ray SA - Compartment 1, Series 1,
Class C, (1-mo. EURIBOR + 2.00%), 4.09%,
12/27/57(b)(e)
|
|
300
|
350,017
|
|
GoldenTree Loan Management U.S. CLO 11 Ltd.
|
|
|
|
|
Series 2021-11A, Class AR, (3-mo. CME Term
SOFR + 1.08%), 5.35%, 10/20/34(a)(b)
|
USD
|
18,440
|
18,453,216
|
|
Series 2021-11A, Class ER, (3-mo. CME Term
SOFR + 4.90%), 9.17%, 10/20/34(a)(b)
|
|
250
|
248,883
|
|
GoldenTree Loan Management U.S. CLO
23 Ltd.
|
|
|
|
|
Series 2024-23A, Class A, (3-mo. CME Term
SOFR + 1.27%), 5.55%, 01/20/39(a)(b)
|
|
1,890
|
1,893,170
|
|
Series 2024-23A, Class B, (3-mo. CME Term
SOFR + 1.60%), 5.88%, 01/20/39(a)(b)
|
|
3,020
|
3,024,664
|
|
GoldenTree Loan Management U.S. CLO 7 Ltd.,
Series 2020-7A, Class ARR, (3-mo. CME
Term SOFR + 1.10%), 5.37%, 04/20/34(a)(b)
|
|
270
|
270,013
|
|
Goldman Home Improvement Trust,
Series 2022-GRN2, Class A, 6.80%,
10/25/52(a)
|
|
1,163
|
1,196,386
|
|
Golub Capital Partners CLO Ltd.
|
|
|
|
|
Series 2019-41A, Class AR, (3-mo. CME
Term SOFR + 1.58%), 5.85%,
01/20/34(a)(b)
|
|
4,840
|
4,856,210
|
|
Series 2019-43A, Class A1R, (3-mo. CME
Term SOFR + 1.34%), 5.61%,
10/20/37(a)(b)
|
|
2,413
|
2,420,959
|
|
Series 2020-52A, Class BR, (3-mo. CME
Term SOFR + 2.00%), 6.27%,
04/20/37(a)(b)
|
|
940
|
945,424
|
|
Series 2021-55A, Class A, (3-mo. CME Term
SOFR + 1.46%), 5.73%, 07/20/34(a)(b)
|
|
430
|
430,406
|
|
Series 2024-76A, Class A1, (3-mo. CME Term
SOFR + 1.37%), 5.65%, 10/25/37(a)(b)
|
|
860
|
863,366
|
|
Series 2024-76A, Class B, (3-mo. CME Term
SOFR + 1.67%), 5.95%, 10/25/37(a)(b)
|
|
390
|
390,781
|
|
Series 2024-76A, Class D1, (3-mo. CME Term
SOFR + 2.90%), 7.18%, 10/25/37(a)(b)
|
|
260
|
260,913
|
|
Series 2024-77A, Class A1, (3-mo. CME Term
SOFR + 1.25%), 5.55%, 01/25/38(a)(b)
|
|
2,252
|
2,255,407
|
|
Series 2025-81A, Class A1, (3-mo. CME Term
SOFR + 1.31%), 07/20/38(a)(b)(f)
|
|
1,080
|
1,077,956
|
|
GoodLeap Home Improvement Solutions Trust
|
|
|
|
|
Series 2024-1A, Class A, 5.35%, 10/20/46(a)
|
|
14,375
|
14,538,117
|
|
Series 2025-1A, Class A, 5.38%, 02/20/49(a)
|
|
12,930
|
13,091,016
|
|
Series 2025-1A, Class B, 6.27%, 02/20/49(a)
|
|
497
|
507,826
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
GoodLeap Home Improvement Solutions Trust
|
|
|
|
|
Series 2025-2A, Class A, 5.32%, 06/20/49(a)
|
USD
|
10,818
|
$ 10,914,490
|
|
GoodLeap Sustainable Home Solutions Trust,
Series 2022-3CS, Class A, 4.95%,
07/20/49(a)
|
|
459
|
414,180
|
|
Gracie Point International Funding LLC
|
|
|
|
|
Series 2023-1A, Class A, (SOFR (90-day) +
1.95%), 6.30%, 09/01/26(a)(b)
|
|
2,384
|
2,387,519
|
|
Series 2024-1A, Class A, (SOFR (90-day) +
1.70%), 6.12%, 03/01/28(a)(b)
|
|
7,816
|
7,830,508
|
|
Green Lakes Park CLO LLC, Series 2025-1A,
Class ARR, (3-mo. CME Term SOFR +
1.18%), 5.46%, 01/25/38(a)(b)
|
|
4,060
|
4,061,015
|
|
GreenPoint Manufactured Housing,
Series 1999-5, Class M2, 9.23%, 12/15/29(b)
|
|
559
|
557,867
|
|
GreenSky Home Improvement Issuer Trust
|
|
|
|
|
Series 2024-1, Class A4, 5.67%, 06/25/59(a)
|
|
7,203
|
7,345,023
|
|
Series 2024-1, Class B, 5.87%, 06/25/59(a)
|
|
1,072
|
1,091,186
|
|
Series 2024-2, Class A4, 5.15%, 10/27/59(a)
|
|
1,698
|
1,711,817
|
|
Series 2024-2, Class B, 5.26%, 10/27/59(a)
|
|
1,474
|
1,482,355
|
|
Greenwood Park CLO Ltd., Series 2018-1A,
Class A1, (3-mo. CME Term SOFR + 1.29%),
5.55%, 04/15/31(a)(b)
|
|
213
|
213,658
|
|
GSAA Home Equity Trust
|
|
|
|
|
Series 2005-14, Class 1A2, (1-mo. CME Term
SOFR + 0.81%), 5.13%, 12/25/35(b)
|
|
836
|
376,210
|
|
Series 2006-18, Class AF2A, 5.63%,
11/25/36(b)
|
|
110
|
30,242
|
|
Series 2006-18, Class AF3A, 5.77%,
11/25/36(b)
|
|
1,088
|
297,959
|
|
Series 2006-4, Class 1A1, 4.24%, 03/25/36(b)
|
|
1,488
|
1,002,886
|
|
Series 2006-5, Class 2A1, (1-mo. CME Term
SOFR + 0.25%), 4.57%, 03/25/36(b)
|
|
10
|
3,338
|
|
Series 2007-2, Class AF3, 5.92%, 03/25/37(b)
|
|
441
|
78,567
|
|
GSAMP Trust
|
|
|
|
|
Series 2007-H1, Class A1B, (1-mo. CME
Term SOFR + 0.51%), 4.83%, 01/25/47(b)
|
|
653
|
322,819
|
|
Series 2007-HS1, Class M6, (1-mo. CME
Term SOFR + 3.49%), 7.81%, 02/25/47(b)
|
|
1,300
|
1,280,425
|
|
GT Loan Financing I Ltd., Series 2013-1A,
Class CR, (3-mo. CME Term SOFR + 2.36%),
6.64%, 07/28/31(a)(b)
|
|
250
|
250,556
|
|
Halseypoint CLO 4 Ltd., Series 2021-4A,
Class A, (3-mo. CME Term SOFR + 1.48%),
5.75%, 04/20/34(a)(b)
|
|
1,330
|
1,331,729
|
|
Halseypoint CLO 7 Ltd., Series 2023-7A,
Class A1R, (3-mo. CME Term SOFR +
1.45%), 5.80%, 07/20/38(a)(b)
|
|
1,080
|
1,080,000
|
|
Hamlin Park CLO Ltd., Series 2024-1A, Class A,
(3-mo. CME Term SOFR + 1.34%), 5.61%,
10/20/37(a)(b)
|
|
1,460
|
1,464,987
|
|
Harriman Park CLO Ltd., Series 2020-1A,
Class A1R, (3-mo. CME Term SOFR +
1.38%), 5.65%, 04/20/34(a)(b)
|
|
500
|
500,746
|
|
Henley CLO IV DAC
|
|
|
|
|
Series 4A, Class D, (3-mo. EURIBOR +
3.00%), 5.16%, 04/25/34(a)(b)
|
EUR
|
750
|
890,214
|
|
Series 4X, Class B1, (3-mo. EURIBOR +
1.35%), 3.51%, 04/25/34(b)(e)
|
|
540
|
634,720
|
|
Hermitage 2025 PLC
|
|
|
|
|
Series 2025-1, Class D, (1-day SONIA +
1.70%), 5.92%, 04/21/33(b)(e)
|
GBP
|
648
|
889,711
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Hermitage 2025 PLC
|
|
|
|
|
Series 2025-1, Class E, (1-day SONIA +
3.20%), 7.42%, 04/21/33(b)(e)
|
GBP
|
468
|
$ 642,564
|
|
Hermitage PLC
|
|
|
|
|
Series 2024-1, Class C, (1-day SONIA +
1.60%), 5.82%, 04/21/33(b)(e)
|
|
526
|
723,719
|
|
Series 2024-1, Class D, (1-day SONIA +
2.35%), 6.57%, 04/21/33(b)(e)
|
|
327
|
452,615
|
|
Series 2024-1, Class E, (1-day SONIA +
3.90%), 8.12%, 04/21/33(b)(e)
|
|
531
|
735,412
|
|
Hill FL BV, Series 2024-2FL, Class D, (1-mo.
EURIBOR + 1.95%), 3.86%, 10/18/32(b)(e)
|
EUR
|
500
|
579,998
|
|
Home Efficiency Trust, Series 2024, Class A,
0.00%, 12/31/54(a)(g)
|
USD
|
17,095
|
17,409,485
|
|
Home Equity Asset Trust
|
|
|
|
|
Series 2006-3, Class M2, (1-mo. CME Term
SOFR + 0.71%), 5.03%, 07/25/36(b)
|
|
2,440
|
2,309,772
|
|
Series 2007-1, Class 2A3, (1-mo. CME Term
SOFR + 0.41%), 4.73%, 05/25/37(b)
|
|
1,662
|
1,385,341
|
|
Home Equity Mortgage Loan Asset-Backed
Trust, Series 2004-A, Class M2, (1-mo. CME
Term SOFR + 2.14%), 3.78%, 07/25/34(b)
|
|
222
|
212,658
|
|
Home Equity Mortgage Trust, Series 2006-2,
Class 1A1, 5.87%, 07/25/36(c)
|
|
1,634
|
153,812
|
|
Home Partners of America Trust, Series 2021-2,
Class F, 3.80%, 12/17/26(a)
|
|
8,720
|
8,398,121
|
|
Household Capital RMBS, Series 2025-1,
Class A, (3-mo. BBSW + 1.90%), 5.69%,
07/21/87(b)(e)
|
AUD
|
3,530
|
2,315,765
|
|
Huntington Bank Auto Credit-Linked Notes
|
|
|
|
|
Series 2024-1, Class B2, (SOFR (30-day) +
1.40%), 5.70%, 05/20/32(a)(b)
|
USD
|
4,320
|
4,344,570
|
|
Series 2024-2, Class B2, (SOFR (30-day) +
1.35%), 5.65%, 10/20/32(a)(b)
|
|
6,985
|
7,020,207
|
|
Invesco CLO Ltd., Series 2022-1A, Class B,
(3-mo. CME Term SOFR + 1.80%), 6.07%,
04/20/35(a)(b)
|
|
947
|
948,894
|
|
Invesco Euro CLO V DAC, Series 5X, Class D,
(3-mo. EURIBOR + 3.80%), 6.08%,
01/15/34(b)(e)
|
EUR
|
350
|
410,587
|
|
Italian Stella Loans Srl, Series 2024-2, Class D,
(1-mo. EURIBOR + 2.15%), 4.13%,
05/27/39(b)(e)
|
|
244
|
289,645
|
|
JPMorgan Mortgage Acquisition Trust
|
|
|
|
|
Series 2006-CW1, Class M1, (1-mo. CME
Term SOFR + 0.52%), 4.84%, 05/25/36(b)
|
USD
|
490
|
487,813
|
|
Series 2007-CH1, Class MF1, 4.47%,
11/25/36(c)
|
|
120
|
122,909
|
|
Juniper Valley Park CLO Ltd., Series 2023-1R,
Class BR, (3-mo. CME Term SOFR + 1.55%),
5.82%, 07/20/36(a)(b)
|
|
2,680
|
2,683,276
|
|
Kings Park CLO Ltd., Series 2021-1A, Class A,
(3-mo. CME Term SOFR + 1.39%), 5.66%,
01/21/35(a)(b)
|
|
810
|
811,834
|
|
KKR CLO 10 Ltd., Series 10, Class BR, (3-mo.
CME Term SOFR + 1.96%), 6.28%,
09/15/29(a)(b)
|
|
131
|
131,319
|
|
KKR CLO 33 Ltd., Series 33A, Class A, (3-mo.
CME Term SOFR + 1.43%), 5.70%,
07/20/34(a)(b)
|
|
250
|
250,436
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Lake George Park CLO Ltd., Series 2025-1A,
Class B, (3-mo. CME Term SOFR + 1.50%),
5.77%, 04/15/38(a)(b)
|
USD
|
1,350
|
$ 1,349,582
|
|
LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME
Term SOFR + 1.33%), 5.60%, 01/20/31(a)(b)
|
|
838
|
838,652
|
|
LCM 29 Ltd., Series 29A, Class AR, (3-mo. CME
Term SOFR + 1.33%), 5.59%, 04/15/31(a)(b)
|
|
663
|
663,599
|
|
LCM 36 Ltd., Series 36A, Class A1R, (3-mo.
CME Term SOFR + 1.07%), 5.33%,
01/15/34(a)(b)
|
|
5,600
|
5,603,130
|
|
LCM XIV LP, Series 14A, Class AR, (3-mo. CME
Term SOFR + 1.30%), 5.57%, 07/20/31(a)(b)
|
|
89
|
88,585
|
|
LCM XVII LP, Series 17A, Class A1AR, (3-mo.
CME Term SOFR + 1.39%), 5.65%,
10/15/31(a)(b)
|
|
102
|
102,028
|
|
Legacy Mortgage Asset Trust
|
|
|
|
|
Series 2019-SL2, Class A, 3.38%,
02/25/59(a)(b)
|
|
2,272
|
2,185,602
|
|
Series 2019-SL2, Class B, 0.00%, 02/25/59(a)
|
|
2,061
|
396,820
|
|
Series 2019-SL2, Class M, 4.25%,
02/25/59(a)(b)
|
|
2,365
|
2,212,741
|
|
Lehman ABS Manufactured Housing Contract
Trust
|
|
|
|
|
Series 2001-B, Class M1, 6.63%, 04/15/40(b)
|
|
718
|
724,080
|
|
Series 2002-A, Class C, 0.00%, 06/15/33
|
|
148
|
146,482
|
|
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A1, (1-mo. CME Term
SOFR + 0.20%), 4.52%, 06/25/37(a)(b)
|
|
288
|
190,744
|
|
LendingClub Rated Notes Issuer Trust
|
|
|
|
|
Series 2025-P1, Class A, 5.54%, 06/16/31(a)
|
|
11,617
|
11,671,534
|
|
Series 2025-P1, Class B, 5.92%, 06/16/31(a)
|
|
871
|
875,089
|
|
Series 2025-P1, Class C, 6.56%, 06/16/31(a)
|
|
1,740
|
1,748,168
|
|
Series 2025-P1, Class D, 6.79%, 06/16/31(a)
|
|
707
|
710,319
|
|
Series 2025-P1, Class E, 9.28%, 06/16/31(a)
|
|
1,378
|
1,384,469
|
|
Series 2025-P1, Class F, 13.31%, 06/16/38(a)
|
|
458
|
460,150
|
|
Series 2025-P1, Class R, 0.00%, 07/16/40(a)
|
|
182
|
445,575
|
|
Lendmark Funding Trust
|
|
|
|
|
Series 2021-2A, Class D, 4.46%, 04/20/32(a)
|
|
730
|
659,191
|
|
Series 2024-1A, Class B, 5.88%, 06/21/32(a)
|
|
2,136
|
2,173,059
|
|
Series 2024-1A, Class C, 6.40%, 06/21/32(a)
|
|
818
|
832,344
|
|
Series 2024-1A, Class D, 7.21%, 06/21/32(a)
|
|
953
|
975,511
|
|
Series 2024-2A, Class B, 4.86%, 02/21/34(a)
|
|
1,304
|
1,299,170
|
|
Series 2024-2A, Class C, 5.25%, 02/21/34(a)
|
|
399
|
399,435
|
|
Series 2024-2A, Class D, 5.69%, 02/21/34(a)
|
|
1,277
|
1,287,290
|
|
Series 2025-1A, Class A, 4.94%, 09/20/34(a)
|
|
6,997
|
7,051,670
|
|
Series 2025-1A, Class C, 5.68%, 09/20/34(a)
|
|
454
|
460,789
|
|
Lewey Park CLO Ltd., Series 2024-1A,
Class B1, (3-mo. CME Term SOFR + 1.70%),
5.97%, 10/21/37(a)(b)
|
|
470
|
470,627
|
|
LoanCore Issuer Ltd.
|
|
|
|
|
Series 2022-CRE7, Class A, (SOFR (30-day)
+ 1.55%), 5.85%, 01/17/37(a)(b)
|
|
656
|
656,465
|
|
Series 2025-CRE8, Class A, (1-mo. CME
Term SOFR + 1.39%), 5.70%,
08/17/42(a)(b)
|
|
1,750
|
1,744,476
|
|
Loanpal Solar Loan Ltd.
|
|
|
|
|
Series 2020-2GF, Class A, 2.75%, 07/20/47(a)
|
|
4,236
|
3,575,301
|
|
Series 2021-1GS, Class A, 2.29%,
01/20/48(a)
|
|
4,076
|
3,397,036
|
|
Long Beach Mortgage Loan Trust
|
|
|
|
|
Series 2006-5, Class 2A3, (1-mo. CME Term
SOFR + 0.41%), 4.73%, 06/25/36(b)
|
|
2,889
|
1,347,396
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Long Beach Mortgage Loan Trust
|
|
|
|
|
Series 2006-7, Class 2A3, (1-mo. CME Term
SOFR + 0.43%), 4.75%, 08/25/36(b)
|
USD
|
7,721
|
$ 3,083,679
|
|
Long Point Park CLO Ltd., Series 2017-1A,
Class A2, (3-mo. CME Term SOFR + 1.64%),
5.92%, 01/17/30(a)(b)
|
|
430
|
429,886
|
|
Lyra Music Assets Delaware LP, Series 2024-2A,
Class A2, 5.76%, 12/22/64(a)
|
|
8,360
|
8,388,711
|
|
Madison Park Funding LI Ltd., Series 2021-51A,
Class B, (3-mo. CME Term SOFR + 1.96%),
6.23%, 07/19/34(a)(b)
|
|
2,740
|
2,742,364
|
|
Madison Park Funding LVII Ltd., Series 2022-
57A, Class A1R, (3-mo. CME Term SOFR +
1.28%), 5.56%, 07/27/34(a)(b)
|
|
250
|
250,467
|
|
Madison Park Funding LXII Ltd., Series 2022-
62A, Class AR, (3-mo. CME Term SOFR +
1.85%), 6.13%, 07/17/36(a)(b)
|
|
3,020
|
3,020,000
|
|
Madison Park Funding LXVII Ltd., Series 2024-
67A, Class B, (3-mo. CME Term SOFR +
2.05%), 6.33%, 04/25/37(a)(b)
|
|
6,610
|
6,648,090
|
|
Madison Park Funding LXXI Ltd.
|
|
|
|
|
Series 2025-71A, Class A1, (3-mo. CME Term
SOFR + 1.14%), 5.41%, 04/23/38(a)(b)
|
|
1,900
|
1,897,199
|
|
Series 2025-71A, Class B, (3-mo. CME Term
SOFR + 1.50%), 5.77%, 04/23/38(a)(b)
|
|
250
|
249,443
|
|
Madison Park Funding XIX Ltd.
|
|
|
|
|
Series 2015-19A, Class AR3, (3-mo. CME
Term SOFR + 1.60%), 5.87%,
01/22/37(a)(b)
|
|
7,000
|
7,033,586
|
|
Series 2015-19A, Class BR3, (3-mo. CME
Term SOFR + 2.25%), 6.52%,
01/22/37(a)(b)
|
|
1,000
|
1,006,779
|
|
Madison Park Funding XL Ltd., Series 9A,
Class AR2, (3-mo. CME Term SOFR +
1.25%), 5.58%, 05/28/30(a)(b)
|
|
2,152
|
2,153,270
|
|
Madison Park Funding XLII Ltd.
|
|
|
|
|
Series 13A, Class AR, (3-mo. CME Term
SOFR + 1.15%), 5.43%, 11/21/30(a)(b)
|
|
267
|
267,245
|
|
Series 13A, Class B, (3-mo. CME Term SOFR
+ 1.76%), 6.04%, 11/21/30(a)(b)
|
|
1,500
|
1,501,501
|
|
Series 13A, Class C, (3-mo. CME Term SOFR
+ 2.06%), 6.34%, 11/21/30(a)(b)
|
|
390
|
390,855
|
|
Madison Park Funding XVIII Ltd., Series 2015-
18A, Class BR, (3-mo. CME Term SOFR +
1.86%), 6.13%, 10/21/30(a)(b)
|
|
610
|
611,274
|
|
Madison Park Funding XXI Ltd., Series 2016-
21A, Class AARR, (3-mo. CME Term SOFR +
1.34%), 5.60%, 10/15/32(a)(b)
|
|
1,697
|
1,700,270
|
|
Madison Park Funding XXII Ltd., Series 2016-
22A, Class AR2, (3-mo. CME Term SOFR +
1.31%), 5.57%, 01/15/38(a)(b)
|
|
3,000
|
3,009,184
|
|
Madison Park Funding XXIII Ltd.
|
|
|
|
|
Series 2017-23A, Class BR, (3-mo. CME
Term SOFR + 1.81%), 6.09%,
07/27/31(a)(b)
|
|
500
|
500,819
|
|
Series 2017-23A, Class CR, (3-mo. CME
Term SOFR + 2.26%), 6.54%,
07/27/31(a)(b)
|
|
900
|
901,995
|
|
Madison Park Funding XXIV Ltd., Series 2016-
24A, Class BR2, (3-mo. CME Term SOFR +
1.55%), 5.82%, 10/20/29(a)(b)
|
|
760
|
759,859
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Madison Park Funding XXIX Ltd., Series 2018-
29A, Class A1R2, (3-mo. CME Term SOFR +
1.18%), 5.50%, 03/25/38(a)(b)
|
USD
|
7,000
|
$ 6,993,000
|
|
Madison Park Funding XXVII Ltd., Series 2018-
27A, Class A1R, (3-mo. CME Term SOFR +
1.20%), 5.52%, 04/20/38(a)(b)
|
|
500
|
499,815
|
|
Madison Park Funding XXXI Ltd., Series 2018-
31A, Class B1R, (3-mo. CME Term SOFR +
1.80%), 6.08%, 07/23/37(a)(b)
|
|
4,110
|
4,123,034
|
|
Madison Park Funding XXXIII Ltd., Series 2019-
33A, Class AR, (3-mo. CME Term SOFR +
1.29%), 5.55%, 10/15/32(a)(b)
|
|
1,559
|
1,560,147
|
|
Madison Park Funding XXXV Ltd., Series 2019-
35A, Class BR, (3-mo. CME Term SOFR +
1.66%), 5.93%, 04/20/32(a)(b)
|
|
1,030
|
1,030,189
|
|
Madison Park Funding XXXVII Ltd., Series 2019-
37A, Class AR2, (3-mo. CME Term SOFR +
1.53%), 5.79%, 04/15/37(a)(b)
|
|
670
|
672,345
|
|
Marble Point CLO XXII Ltd., Series 2021-2A,
Class B, (3-mo. CME Term SOFR + 2.11%),
6.39%, 07/25/34(a)(b)
|
|
250
|
251,124
|
|
Marble Point CLO XXIII Ltd., Series 2021-4A,
Class D1, (3-mo. CME Term SOFR + 3.91%),
8.18%, 01/22/35(a)(b)
|
|
250
|
249,159
|
|
Mariner CLO LLC, Series 2016-3A, Class AR3,
(3-mo. CME Term SOFR + 1.59%), 5.87%,
01/23/37(a)(b)
|
|
1,350
|
1,354,142
|
|
Mariner Finance Issuance Trust
|
|
|
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36(a)
|
|
1,265
|
1,163,083
|
|
Series 2024-AA, Class A, 5.13%, 09/22/36(a)
|
|
5,718
|
5,791,009
|
|
Series 2024-AA, Class D, 6.77%, 09/22/36(a)
|
|
304
|
313,641
|
|
Series 2024-AA, Class E, 9.02%, 09/22/36(a)
|
|
1,277
|
1,328,809
|
|
Series 2024-BA, Class A, 4.91%, 11/20/38(a)
|
|
7,474
|
7,555,131
|
|
Series 2024-BA, Class D, 6.36%, 11/20/38(a)
|
|
1,400
|
1,427,050
|
|
Series 2025-AA, Class A, 4.98%, 05/20/38(a)
|
|
10,592
|
10,735,719
|
|
Series 2025-AA, Class B, 5.33%, 05/20/38(a)
|
|
1,425
|
1,451,001
|
|
Series 2025-AA, Class C, 5.69%, 05/20/38(a)
|
|
1,462
|
1,486,846
|
|
MASTR Asset-Backed Securities Trust
|
|
|
|
|
Series 2006-AM2, Class A4, (1-mo. CME
Term SOFR + 0.63%), 4.95%,
06/25/36(a)(b)
|
|
888
|
825,701
|
|
Series 2007-HE1, Class A4, (1-mo. CME
Term SOFR + 0.67%), 4.99%, 05/25/37(b)
|
|
1,318
|
1,114,679
|
|
MASTR Specialized Loan Trust, Series 2006-3,
Class A, (1-mo. CME Term SOFR + 0.63%),
4.95%, 06/25/46(a)(b)
|
|
179
|
175,269
|
|
Meacham Park CLO Ltd., Series 2024-1A,
Class B, (3-mo. CME Term SOFR + 1.60%),
5.87%, 10/20/37(a)(b)
|
|
3,440
|
3,444,723
|
|
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C, (1-mo. CME Term
SOFR + 0.59%), 4.91%, 05/25/37(b)
|
|
756
|
547,302
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
|
Series 2006-OPT1, Class M1, (1-mo. CME
Term SOFR + 0.50%), 4.82%, 08/25/37(b)
|
|
394
|
352,215
|
|
Series 2006-RM3, Class A2B, (1-mo. CME
Term SOFR + 0.29%), 4.61%, 06/25/37(b)
|
|
819
|
171,954
|
|
Metro Finance Trust
|
|
|
|
|
Series 2025-1, Class C, (1-mo. BBSW +
1.90%), 5.71%, 10/15/31(b)
|
AUD
|
500
|
329,569
|
|
Series 2025-1, Class D, (1-mo. BBSW +
2.20%), 6.01%, 10/15/31(b)
|
|
650
|
429,338
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
MF1 LLC
|
|
|
|
|
Series 2022-FL10, Class A, (1-mo. CME Term
SOFR + 2.64%), 6.95%, 09/17/37(a)(b)
|
USD
|
1,799
|
$ 1,803,611
|
|
Series 2022-FL9, Class A, (1-mo. CME Term
SOFR + 2.15%), 6.47%, 06/19/37(a)(b)
|
|
4,391
|
4,392,330
|
|
MFA Trust, Series 2024-NPL1, Class A1, 6.33%,
09/25/54(a)(c)
|
|
4,901
|
4,914,178
|
|
MidOcean Credit CLO XI Ltd., Series 2022-11A,
Class A1R2, (3-mo. CME Term SOFR +
1.21%), 5.48%, 01/18/36(a)(b)
|
|
1,530
|
1,529,858
|
|
MidOcean Credit CLO XII Ltd., Series 2023-12A,
Class A1R, (3-mo. CME Term SOFR +
1.34%), 5.61%, 04/18/36(a)(b)
|
|
3,170
|
3,173,566
|
|
Mila BV
|
|
|
|
|
Series 2024-1, Class C, (1-mo. EURIBOR +
1.45%), 3.54%, 09/16/41(b)(e)
|
EUR
|
238
|
280,348
|
|
Series 2024-1, Class D, (1-mo. EURIBOR +
2.00%), 4.09%, 09/16/41(b)(e)
|
|
188
|
222,094
|
|
Milford Park CLO Ltd., Series 2022-1A,
Class AR, (3-mo. CME Term SOFR + 1.16%),
5.43%, 01/20/38(a)(b)
|
USD
|
2,370
|
2,368,815
|
|
Mill City Solar Loan Ltd., Series 2019-2GS,
Class A, 3.69%, 07/20/43(a)
|
|
3,560
|
3,130,044
|
|
Milos CLO Ltd., Series 2017-1A, Class AR, (3-
mo. CME Term SOFR + 1.33%), 5.60%,
10/20/30(a)(b)
|
|
381
|
381,154
|
|
Morgan Stanley ABS Capital I, Inc. Trust
|
|
|
|
|
Series 2005-HE1, Class A2MZ, (1-mo. CME
Term SOFR + 0.71%), 5.03%, 12/25/34(b)
|
|
820
|
771,619
|
|
Series 2005-HE5, Class M4, (1-mo. CME
Term SOFR + 0.98%), 5.30%, 09/25/35(b)
|
|
2,846
|
2,356,893
|
|
Series 2006-HE8, Class A2FP, (1-mo. CME
Term SOFR + 0.18%), 4.50%, 10/25/36(b)
|
|
1,667
|
721,782
|
|
Series 2007-SEA1, Class 2A1, (1-mo. CME
Term SOFR + 3.91%), 8.23%,
02/25/47(a)(b)
|
|
359
|
337,329
|
|
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A3, (1-mo. CME Term
SOFR + 0.43%), 4.75%, 04/25/36(b)
|
|
1,294
|
898,855
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
|
Series 2006-12XS, Class A4, 6.51%,
10/25/36(c)
|
|
1,873
|
409,192
|
|
Series 2006-12XS, Class A6A, 6.23%,
10/25/36(c)
|
|
719
|
194,167
|
|
Series 2006-16AX, Class 1A, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 11/25/36(b)
|
|
3,477
|
541,702
|
|
Series 2006-16AX, Class 2A3, (1-mo. CME
Term SOFR + 0.61%), 4.93%, 11/25/36(b)
|
|
1,010
|
275,410
|
|
Series 2007-3XS, Class 2A3S, 6.36%,
01/25/47(c)
|
|
1,392
|
492,669
|
|
Series 2007-3XS, Class 2A4S, 6.46%,
01/25/47(c)
|
|
6,060
|
2,105,808
|
|
Mosaic Solar Loan Trust
|
|
|
|
|
Series 2018-2GS, Class A, 4.20%,
02/22/44(a)
|
|
1,224
|
1,139,637
|
|
Series 2019-2A, Class A, 2.88%, 09/20/40(a)
|
|
435
|
382,641
|
|
Series 2020-1A, Class A, 2.10%, 04/20/46(a)
|
|
590
|
523,963
|
|
Series 2023-1A, Class A, 5.32%, 06/20/53(a)
|
|
381
|
360,894
|
|
MP CLO III Ltd., Series 2013-1A, Class AR, (3-
mo. CME Term SOFR + 1.51%), 5.78%,
10/20/30(a)(b)
|
|
50
|
50,316
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
MP CLO VII Ltd., Series 2015-1A, Class BRR,
(3-mo. CME Term SOFR + 1.86%), 6.13%,
10/18/28(a)(b)
|
USD
|
489
|
$ 488,780
|
|
Myers Park CLO Ltd.
|
|
|
|
|
Series 2018-1A, Class A2, (3-mo. CME Term
SOFR + 1.66%), 5.93%, 10/20/30(a)(b)
|
|
890
|
890,581
|
|
Series 2018-1A, Class B1, (3-mo. CME Term
SOFR + 1.86%), 6.13%, 10/20/30(a)(b)
|
|
1,300
|
1,302,870
|
|
Series 2018-1A, Class C, (3-mo. CME Term
SOFR + 2.31%), 6.58%, 10/20/30(a)(b)
|
|
250
|
250,555
|
|
Nationstar Home Equity Loan Trust,
Series 2007-B, Class M1, (1-mo. CME Term
SOFR + 0.73%), 5.05%, 04/25/37(b)
|
|
3,320
|
3,178,928
|
|
Navient Education Loan Trust, Series 2025-A,
Class D, 6.03%, 07/15/55(a)
|
|
404
|
406,856
|
|
Navient Private Education Loan Trust
|
|
|
|
|
Series 2014-AA, Class B, 3.50%, 08/15/44(a)
|
|
6,000
|
5,892,974
|
|
Series 2020-A, Class A2B, (1-mo. CME Term
SOFR + 1.01%), 5.33%, 11/15/68(a)(b)
|
|
928
|
925,608
|
|
Navient Private Education Refi Loan Trust
|
|
|
|
|
Series 2019-CA, Class A2, 3.13%,
02/15/68(a)
|
|
71
|
69,971
|
|
Series 2020-FA, Class B, 2.69%, 07/15/69(a)
|
|
2,590
|
2,194,063
|
|
Series 2021-DA, Class B, 2.61%, 04/15/60(a)
|
|
860
|
770,791
|
|
Series 2021-DA, Class C, 3.48%, 04/15/60(a)
|
|
2,315
|
2,160,870
|
|
Series 2024-A, Class A, 5.66%, 10/15/72(a)
|
|
13,264
|
13,435,422
|
|
Nelnet Student Loan Trust
|
|
|
|
|
Series 2021-A, Class B1, 2.85%, 04/20/62(a)
|
|
3,470
|
3,068,900
|
|
Series 2021-A, Class B2, 2.85%, 04/20/62(a)
|
|
22,590
|
19,978,802
|
|
Series 2021-A, Class C, 3.75%, 04/20/62(a)
|
|
1,706
|
1,473,324
|
|
Series 2021-A, Class D, 4.93%, 04/20/62(a)
|
|
2,323
|
2,069,470
|
|
Series 2021-BA, Class B, 2.68%, 04/20/62(a)
|
|
13,069
|
11,501,986
|
|
Series 2021-BA, Class C, 3.57%, 04/20/62(a)
|
|
836
|
717,761
|
|
Series 2021-BA, Class D, 4.75%, 04/20/62(a)
|
|
1,499
|
1,314,422
|
|
Series 2021-CA, Class B, 2.53%, 04/20/62(a)
|
|
12,397
|
10,808,207
|
|
Series 2021-CA, Class C, 3.36%, 04/20/62(a)
|
|
650
|
560,984
|
|
Series 2021-CA, Class D, 4.44%, 04/20/62(a)
|
|
990
|
871,007
|
|
Series 2021-DA, Class B, 2.90%, 04/20/62(a)
|
|
7,353
|
6,557,165
|
|
Series 2021-DA, Class D, 4.38%, 04/20/62(a)
|
|
331
|
283,372
|
|
Series 2023-PL1A, Class A1A, (SOFR (30-
day) + 2.25%), 6.56%, 11/25/53(a)(b)
|
|
2,910
|
2,953,646
|
|
Series 2025-AA, Class A1B, (SOFR (30-day)
+ 1.10%), 5.40%, 03/15/57(a)(b)
|
|
14,365
|
14,261,887
|
|
Neuberger Berman CLO XV Ltd., Series 2013-
15A, Class BR2, (3-mo. CME Term SOFR +
1.61%), 5.87%, 10/15/29(a)(b)
|
|
250
|
249,959
|
|
Neuberger Berman CLO XX Ltd.
|
|
|
|
|
Series 2015-20A, Class A1R3, (3-mo. CME
Term SOFR + 1.15%), 5.47%,
04/15/39(a)(b)
|
|
1,000
|
999,442
|
|
Series 2015-20A, Class BR3, (3-mo. CME
Term SOFR + 1.50%), 5.82%,
04/15/39(a)(b)
|
|
750
|
748,353
|
|
Neuberger Berman CLO XXI Ltd., Series 2016-
21A, Class A1R3, (3-mo. CME Term SOFR +
1.32%), 5.59%, 01/20/39(a)(b)
|
|
6,960
|
6,980,881
|
|
Neuberger Berman Loan Advisers CLO 32 Ltd.,
Series 2019-32A, Class BR, (3-mo. CME
Term SOFR + 1.66%), 5.93%, 01/20/32(a)(b)
|
|
1,340
|
1,339,323
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Neuberger Berman Loan Advisers CLO 34 Ltd.
|
|
|
|
|
Series 2019-34A, Class A1R, (3-mo. CME
Term SOFR + 1.24%), 5.51%,
01/20/35(a)(b)
|
USD
|
286
|
$ 285,701
|
|
Series 2019-34A, Class BR, (3-mo. CME
Term SOFR + 1.75%), 6.02%,
01/20/35(a)(b)
|
|
1,000
|
1,000,822
|
|
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class A, (3-mo. CME Term
SOFR + 1.32%), 5.58%, 04/16/33(a)(b)
|
|
3,908
|
3,911,625
|
|
Neuberger Berman Loan Advisers CLO 46 Ltd.,
Series 2021-46A, Class BR, (3-mo. CME
Term SOFR + 1.50%), 5.77%, 01/20/37(a)(b)
|
|
780
|
779,177
|
|
Neuberger Berman Loan Advisers CLO 54 Ltd.,
Series 2024-54A, Class B, (3-mo. CME Term
SOFR + 1.95%), 6.23%, 04/23/38(a)(b)
|
|
1,520
|
1,525,701
|
|
New Century Home Equity Loan Trust,
Series 2005-C, Class M2, (1-mo. CME Term
SOFR + 0.79%), 5.11%, 12/25/35(b)
|
|
2,183
|
1,862,371
|
|
New Mountain CLO 2 Ltd., Series CLO-2A,
Class A1R, (3-mo. CME Term SOFR +
1.36%), 5.62%, 01/15/38(a)(b)
|
|
1,990
|
1,995,955
|
|
New Residential Mortgage Loan Trust,
Series 2022-SFR1, Class F, 4.44%,
02/17/39(a)
|
|
699
|
673,160
|
|
Newark BSL CLO 1 Ltd., Series 2016-1A,
Class A1R, (3-mo. CME Term SOFR +
1.36%), 5.64%, 12/21/29(a)(b)
|
|
36
|
36,324
|
|
NewDay Funding, Series 2025-2X, Class C,
(1-day SONIA + 1.50%), 07/15/33(b)(e)(f)
|
GBP
|
981
|
1,346,570
|
|
Newday Funding Master Issuer PLC
|
|
|
|
|
Series 2024-2X, Class B, (1-day SONIA +
1.40%), 5.62%, 07/15/32(b)(e)
|
|
655
|
902,465
|
|
Series 2024-2X, Class C, (1-day SONIA +
1.90%), 6.12%, 07/15/32(b)(e)
|
|
780
|
1,079,230
|
|
Series 2024-2X, Class D, (1-day SONIA +
2.65%), 6.87%, 07/15/32(b)(e)
|
|
1,645
|
2,277,936
|
|
Nomura Asset Acceptance Corp. Alternative
Loan Trust, Series 2006-S5, Class A1, (1-mo.
CME Term SOFR + 0.51%), 4.83%,
10/25/36(a)(b)
|
USD
|
44
|
56,012
|
|
Noria
|
|
|
|
|
Series 2024-DE1, Class D, (1-mo. EURIBOR
+ 1.65%), 3.54%, 02/25/43(b)(e)
|
EUR
|
500
|
588,944
|
|
Series 2024-DE1, Class E, (1-mo. EURIBOR
+ 3.55%), 5.44%, 02/25/43(b)(e)
|
|
500
|
589,582
|
|
Series 2024-DE1, Class F, (1-mo. EURIBOR
+ 4.50%), 6.39%, 02/25/43(b)(e)
|
|
300
|
354,189
|
|
Oak Hill Credit Partners X-R Ltd., Series 2014-
10RA, Class AR2, (3-mo. CME Term SOFR +
1.13%), 5.40%, 04/20/38(a)(b)
|
USD
|
2,680
|
2,677,598
|
|
Oaktree CLO Ltd.
|
|
|
|
|
Series 2020-1A, Class BRR, (3-mo. CME
Term SOFR + 1.55%), 5.81%,
01/15/38(a)(b)
|
|
930
|
925,906
|
|
Series 2021-2A, Class AR, (3-mo. CME Term
SOFR + 0.97%), 5.23%, 01/15/35(a)(b)
|
|
2,100
|
2,098,621
|
|
Series 2024-27A, Class A2, (3-mo. CME Term
SOFR + 1.57%), 5.84%, 10/22/37(a)(b)
|
|
790
|
791,164
|
|
Series 2024-27A, Class D1, (3-mo. CME Term
SOFR + 3.00%), 7.27%, 10/22/37(a)(b)
|
|
250
|
250,720
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Oakwood Mortgage Investors, Inc.
|
|
|
|
|
Series 2001-D, Class A2, 5.26%, 01/15/19(b)
|
USD
|
433
|
$ 151,346
|
|
Series 2001-D, Class A4, 6.93%, 09/15/31(b)
|
|
276
|
116,520
|
|
Series 2002-B, Class M1, 7.62%, 06/15/32(b)
|
|
3,297
|
3,332,247
|
|
OCP Aegis CLO Ltd., Series 2024-39A,
Class A1, (3-mo. CME Term SOFR + 1.22%),
5.48%, 01/16/37(a)(b)
|
|
310
|
310,156
|
|
OCP CLO Ltd.
|
|
|
|
|
Series 2014-5A, Class A1R, (3-mo. CME
Term SOFR + 1.34%), 5.62%,
04/26/31(a)(b)
|
|
63
|
63,253
|
|
Series 2014-5A, Class A2R, (3-mo. CME
Term SOFR + 1.66%), 5.94%,
04/26/31(a)(b)
|
|
1,070
|
1,072,420
|
|
Series 2016-12A, Class BAR3, (3-mo. CME
Term SOFR + 1.68%), 5.95%,
10/18/37(a)(b)
|
|
1,960
|
1,962,496
|
|
Series 2016-12A, Class XR3, (3-mo. CME
Term SOFR + 1.20%), 5.47%,
10/18/37(a)(b)
|
|
1,890
|
1,890,024
|
|
Series 2017-13A, Class AR2, (3-mo. CME
Term SOFR + 1.34%), 5.61%,
11/26/37(a)(b)
|
|
6,765
|
6,790,458
|
|
Series 2018-15A, Class AR, (3-mo. CME
Term SOFR + 1.25%), 5.54%,
01/20/38(a)(b)
|
|
535
|
535,698
|
|
Series 2019-16A, Class AR, (3-mo. CME
Term SOFR + 1.26%), 5.47%,
04/10/33(a)(b)
|
|
3,895
|
3,897,313
|
|
Series 2019-17A, Class AR2, (3-mo. CME
Term SOFR + 1.40%), 5.67%,
07/20/37(a)(b)
|
|
1,570
|
1,575,002
|
|
Series 2020-18A, Class A1R2, (3-mo. CME
Term SOFR + 1.37%), 5.64%,
07/20/37(a)(b)
|
|
2,080
|
2,086,660
|
|
Series 2020-18A, Class D1R2, (3-mo. CME
Term SOFR + 3.10%), 7.37%,
07/20/37(a)(b)
|
|
390
|
390,277
|
|
Series 2020-20A, Class B1R, (3-mo. CME
Term SOFR + 1.95%), 6.22%,
04/18/37(a)(b)
|
|
360
|
361,513
|
|
Series 2020-8RA, Class AR, (3-mo. CME
Term SOFR + 1.25%), 5.53%,
10/17/36(a)(b)
|
|
750
|
751,362
|
|
Series 2021-22A, Class BR, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
10/20/37(a)(b)
|
|
660
|
660,985
|
|
Series 2024-37A, Class A1, (3-mo. CME Term
SOFR + 1.36%), 5.93%, 10/15/37(a)(b)
|
|
1,390
|
1,395,284
|
|
Series 2024-37A, Class B1, (3-mo. CME Term
SOFR + 1.68%), 6.25%, 10/15/37(a)(b)
|
|
1,390
|
1,393,234
|
|
Series 2024-38A, Class A, (3-mo. CME Term
SOFR + 1.33%), 5.68%, 01/21/38(a)(b)
|
|
4,400
|
4,413,266
|
|
Series 2025-40A, Class A, (3-mo. CME Term
SOFR + 1.14%), 5.46%, 04/16/38(a)(b)
|
|
6,620
|
6,610,098
|
|
OCP Euro CLO DAC
|
|
|
|
|
Series 2019-3A, Class CR, (3-mo. EURIBOR
+ 2.30%), 4.54%, 04/20/33(a)(b)
|
EUR
|
250
|
296,214
|
|
Series 2019-3A, Class DR, (3-mo. EURIBOR
+ 3.30%), 5.54%, 04/20/33(a)(b)
|
|
250
|
295,520
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Octagon 56 Ltd., Series 2021-1A, Class B, (3-
mo. CME Term SOFR + 1.91%), 6.17%,
10/15/34(a)(b)
|
USD
|
250
|
$ 250,760
|
|
Octagon 57 Ltd.
|
|
|
|
|
Series 2021-1A, Class A, (3-mo. CME Term
SOFR + 1.41%), 5.67%, 10/15/34(a)(b)
|
|
500
|
500,939
|
|
Series 2021-1A, Class B1, (3-mo. CME Term
SOFR + 1.91%), 6.17%, 10/15/34(a)(b)
|
|
1,280
|
1,282,435
|
|
Octagon 66 Ltd., Series 2022-1A, Class A1R,
(3-mo. CME Term SOFR + 1.75%), 6.08%,
11/16/36(a)(b)
|
|
4,970
|
4,992,112
|
|
Octagon Investment Partners 18-R Ltd.,
Series 2018-18A, Class A1A, (3-mo. CME
Term SOFR + 1.22%), 5.48%, 04/16/31(a)(b)
|
|
2,142
|
2,141,951
|
|
Octagon Investment Partners 39 Ltd.
|
|
|
|
|
Series 2018-3A, Class AR, (3-mo. CME Term
SOFR + 1.15%), 5.42%, 10/20/30(a)(b)
|
|
971
|
972,162
|
|
Series 2018-3A, Class BR, (3-mo. CME Term
SOFR + 1.80%), 6.07%, 10/20/30(a)(b)
|
|
8,890
|
8,905,004
|
|
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR, (3-mo. CME Term
SOFR + 1.91%), 6.17%, 07/15/36(a)(b)
|
|
3,290
|
3,299,906
|
|
Octagon Investment Partners XV Ltd.,
Series 2013-1A, Class A2R, (3-mo. CME
Term SOFR + 1.61%), 5.88%, 07/19/30(a)(b)
|
|
1,430
|
1,430,358
|
|
Octagon Investment Partners XVI Ltd.,
Series 2013-1A, Class A1R, (3-mo. CME
Term SOFR + 1.28%), 5.56%, 07/17/30(a)(b)
|
|
1,742
|
1,744,566
|
|
Octagon Investment Partners XVII Ltd.,
Series 2013-1A, Class A1R2, (3-mo. CME
Term SOFR + 1.26%), 5.54%, 01/25/31(a)(b)
|
|
855
|
854,805
|
|
Octagon Loan Funding Ltd., Series 2014-1A,
Class BRR, (3-mo. CME Term SOFR +
1.96%), 6.29%, 11/18/31(a)(b)
|
|
250
|
250,665
|
|
OHA Credit Funding 17 Ltd., Series 2024-17A,
Class A, (3-mo. CME Term SOFR + 1.48%),
5.75%, 04/20/37(a)(b)
|
|
3,170
|
3,180,069
|
|
OHA Credit Funding 19 Ltd., Series 2024-19A,
Class B1, (3-mo. CME Term SOFR + 1.70%),
5.97%, 07/20/37(a)(b)
|
|
250
|
250,488
|
|
OHA Credit Funding 2 Ltd., Series 2019-2A,
Class AR2, (3-mo. CME Term SOFR +
1.24%), 5.51%, 01/21/38(a)(b)
|
|
15,470
|
15,496,155
|
|
OHA Credit Funding 4 Ltd., Series 2019-4A,
Class AR2, (3-mo. CME Term SOFR +
1.29%), 5.56%, 01/22/38(a)(b)
|
|
3,170
|
3,177,896
|
|
OHA Credit Funding 5 Ltd.
|
|
|
|
|
Series 2020-5A, Class AR, (3-mo. CME Term
SOFR + 1.35%), 5.62%, 10/18/37(a)(b)
|
|
8,960
|
8,991,607
|
|
Series 2020-5A, Class B1R, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
10/18/37(a)(b)
|
|
420
|
420,988
|
|
OHA Credit Funding 6 Ltd., Series 2020-6A,
Class AR2, (3-mo. CME Term SOFR +
1.33%), 5.60%, 10/20/37(a)(b)
|
|
850
|
852,808
|
|
OHA Credit Funding 7 Ltd.
|
|
|
|
|
Series 2020-7A, Class A1R2, (3-mo. CME
Term SOFR + 1.28%), 07/19/38(a)(b)(f)
|
|
1,520
|
1,520,000
|
|
Series 2020-7A, Class AR, (3-mo. CME Term
SOFR + 1.30%), 5.57%, 02/24/37(a)(b)
|
|
3,720
|
3,730,873
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
OHA Credit Funding 9 Ltd.
|
|
|
|
|
Series 2021-9A, Class A1R, (3-mo. CME
Term SOFR + 1.35%), 5.62%,
10/19/37(a)(b)
|
USD
|
2,780
|
$ 2,789,788
|
|
Series 2021-9A, Class B1R, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
10/19/37(a)(b)
|
|
3,510
|
3,518,187
|
|
OHA Credit Partners XI Ltd., Series 2015-11A,
Class A1R2, (3-mo. CME Term SOFR +
1.46%), 5.73%, 04/20/37(a)(b)
|
|
3,530
|
3,543,182
|
|
OHA Credit Partners XII Ltd., Series 2015-12A,
Class B1R2, (3-mo. CME Term SOFR +
1.95%), 6.23%, 04/23/37(a)(b)
|
|
1,550
|
1,555,411
|
|
OHA Credit Partners XVI, Series 2021-16A,
Class AR, (3-mo. CME Term SOFR + 1.35%),
5.62%, 10/18/37(a)(b)
|
|
5,388
|
5,406,759
|
|
OHA Loan Funding Ltd.
|
|
|
|
|
Series 2013-2A, Class AR, (3-mo. CME Term
SOFR + 1.30%), 5.63%, 05/23/31(a)(b)
|
|
2,328
|
2,329,905
|
|
Series 2015-1A, Class AR3, (3-mo. CME
Term SOFR + 1.41%), 5.68%,
01/19/37(a)(b)
|
|
1,830
|
1,834,828
|
|
Series 2016-1A, Class A1R2, (3-mo. CME
Term SOFR + 1.46%), 5.73%,
07/20/37(a)(b)
|
|
3,750
|
3,763,771
|
|
Series 2016-1A, Class B1R2, (3-mo. CME
Term SOFR + 1.70%), 5.97%,
07/20/37(a)(b)
|
|
250
|
250,590
|
|
OneMain Direct Auto Receivables Trust,
Series 2025-1A, Class D, 6.10%, 07/14/37(a)
|
|
1,484
|
1,506,524
|
|
OneMain Financial Issuance Trust
|
|
|
|
|
Series 2020-2A, Class C, 2.76%, 09/14/35(a)
|
|
2,620
|
2,500,396
|
|
Series 2024-1A, Class A, 5.79%, 05/14/41(a)
|
|
17,503
|
18,315,610
|
|
Series 2025-1A, Class D, 5.79%, 07/14/38(a)
|
|
2,126
|
2,145,962
|
|
Option One Mortgage Loan Trust
|
|
|
|
|
Series 2005-4, Class M3, (1-mo. CME Term
SOFR + 0.85%), 5.17%, 11/25/35(b)
|
|
4,030
|
3,457,982
|
|
Series 2007-CP1, Class 2A3, (1-mo. CME
Term SOFR + 0.32%), 4.64%, 03/25/37(b)
|
|
2,360
|
2,033,670
|
|
Series 2007-FXD1, Class 1A1, 5.87%,
01/25/37(c)
|
|
1,682
|
1,435,753
|
|
Series 2007-FXD1, Class 2A1, 5.87%,
01/25/37(c)
|
|
4,031
|
3,472,539
|
|
Series 2007-FXD1, Class 3A4, 5.86%,
01/25/37(c)
|
|
279
|
272,140
|
|
Orchard Park CLO Ltd.
|
|
|
|
|
Series 2024-1A, Class A, (3-mo. CME Term
SOFR + 1.36%), 5.63%, 10/20/37(a)(b)
|
|
15,180
|
15,235,234
|
|
Series 2024-1A, Class B1, (3-mo. CME Term
SOFR + 1.70%), 5.97%, 10/20/37(a)(b)
|
|
1,380
|
1,382,722
|
|
Origen Manufactured Housing Contract Trust
|
|
|
|
|
Series 2001-A, Class M1, 7.82%, 03/15/32(b)
|
|
661
|
663,102
|
|
Series 2007-B, Class A1, (1-mo. CME Term
SOFR + 1.20%), 6.16%, 10/15/37(a)(b)
|
|
155
|
154,258
|
|
Owl Rock CLO V Ltd., Series 2020-5A,
Class A1R, (3-mo. CME Term SOFR +
1.78%), 6.05%, 04/20/34(a)(b)
|
|
900
|
902,197
|
|
Owl Rock CLO VII LLC, Series 2022-7A,
Class AR, (3-mo. CME Term SOFR + 1.40%),
5.72%, 04/20/38(a)(b)
|
|
290
|
290,290
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Owl Rock CLO XVIII LLC, Series 2024-18A,
Class A, (3-mo. CME Term SOFR + 1.70%),
5.98%, 07/24/36(a)(b)
|
USD
|
3,925
|
$ 3,939,026
|
|
Ownit Mortgage Loan Trust, Series 2006-2,
Class A2C, 6.50%, 01/25/37(c)
|
|
1,524
|
1,395,129
|
|
OZLM XVIII Ltd.
|
|
|
|
|
Series 2018-18A, Class A, (3-mo. CME Term
SOFR + 1.28%), 5.54%, 04/15/31(a)(b)
|
|
1,637
|
1,638,080
|
|
Series 2018-18A, Class B, (3-mo. CME Term
SOFR + 1.81%), 6.07%, 04/15/31(a)(b)
|
|
700
|
701,265
|
|
OZLM XXII Ltd., Series 2018-22A, Class A1,
(3-mo. CME Term SOFR + 1.33%), 5.61%,
01/17/31(a)(b)
|
|
130
|
129,865
|
|
OZLM XXIV Ltd., Series 2019-24A, Class A2AR,
(3-mo. CME Term SOFR + 1.96%), 6.23%,
07/20/32(a)(b)
|
|
750
|
751,769
|
|
Pagaya AI Technology in Housing Trust,
Series 2023-1, Class F, 3.60%, 10/25/40(a)
|
|
3,423
|
2,832,433
|
|
Palmer Square CLO Ltd.
|
|
|
|
|
Series 2019-1A, Class A1R, (3-mo. CME
Term SOFR + 1.41%), 5.72%,
11/14/34(a)(b)
|
|
3,570
|
3,578,322
|
|
Series 2020-3A, Class A1R2, (3-mo. CME
Term SOFR + 1.65%), 5.98%,
11/15/36(a)(b)
|
|
1,270
|
1,275,210
|
|
Series 2021-3A, Class A1, (3-mo. CME Term
SOFR + 1.41%), 5.67%, 01/15/35(a)(b)
|
|
360
|
360,919
|
|
Series 2021-4A, Class A1R, (3-mo. CME
Term SOFR + 1.32%), 07/15/38(a)(b)(f)
|
|
610
|
610,000
|
|
Series 2021-4A, Class B, (3-mo. CME Term
SOFR + 1.91%), 6.17%, 10/15/34(a)(b)
|
|
250
|
250,000
|
|
Series 2022-3A, Class A1R, (3-mo. CME
Term SOFR + 1.35%), 5.62%,
07/20/37(a)(b)
|
|
1,530
|
1,535,384
|
|
Series 2022-3A, Class D1R, (3-mo. CME
Term SOFR + 2.95%), 7.22%,
07/20/37(a)(b)
|
|
550
|
550,142
|
|
Series 2024-2A, Class B, (3-mo. CME Term
SOFR + 1.65%), 5.92%, 07/20/37(a)(b)
|
|
3,270
|
3,277,954
|
|
Palmer Square Loan Funding Ltd.
|
|
|
|
|
Series 2021-4A, Class C, (3-mo. CME Term
SOFR + 2.86%), 7.12%, 10/15/29(a)(b)
|
|
250
|
251,596
|
|
Series 2021-4A, Class D, (3-mo. CME Term
SOFR + 5.26%), 9.52%, 10/15/29(a)(b)
|
|
1,480
|
1,480,083
|
|
Series 2022-2A, Class A2, (3-mo. CME Term
SOFR + 1.90%), 6.16%, 10/15/30(a)(b)
|
|
1,810
|
1,815,850
|
|
Series 2022-2A, Class B, (3-mo. CME Term
SOFR + 2.20%), 6.46%, 10/15/30(a)(b)
|
|
390
|
390,869
|
|
Series 2022-2A, Class C, (3-mo. CME Term
SOFR + 3.10%), 7.36%, 10/15/30(a)(b)
|
|
250
|
251,748
|
|
Series 2022-3A, Class A1BR, (3-mo. CME
Term SOFR + 1.40%), 5.66%,
04/15/31(a)(b)
|
|
250
|
250,033
|
|
Series 2022-3A, Class A2R, (3-mo. CME
Term SOFR + 1.60%), 5.86%,
04/15/31(a)(b)
|
|
16,630
|
16,642,870
|
|
Series 2024-1A, Class A2, (3-mo. CME Term
SOFR + 1.45%), 5.71%, 10/15/32(a)(b)
|
|
1,680
|
1,680,678
|
|
Panorama Auto Trust
|
|
|
|
|
Series 2025-1, Class C, (1-mo. BBSW +
1.55%), 5.29%, 03/15/33(b)(e)
|
AUD
|
732
|
477,632
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Panorama Auto Trust
|
|
|
|
|
Series 2025-1, Class E, (1-mo. BBSW +
3.40%), 7.14%, 03/15/33(b)(e)
|
AUD
|
540
|
$ 350,642
|
|
Park Blue CLO Ltd.
|
|
|
|
|
Series 2022-2A, Class A1R, (3-mo. CME
Term SOFR + 1.42%), 5.69%,
07/20/37(a)(b)
|
USD
|
1,460
|
1,465,843
|
|
Series 2024-6A, Class A1, (3-mo. CME Term
SOFR + 1.34%), 5.64%, 01/25/38(a)(b)
|
|
1,634
|
1,639,565
|
|
Series 2025-7A, Class A1, (3-mo. CME Term
SOFR + 1.22%), 5.47%, 04/25/38(a)(b)
|
|
2,000
|
1,999,400
|
|
PCL Funding IX PLC
|
|
|
|
|
Series 2024-1, Class B, (1-day SONIA +
1.30%), 5.52%, 07/16/29(b)(e)
|
GBP
|
684
|
936,324
|
|
Series 2024-1, Class C, (1-day SONIA +
2.15%), 6.37%, 07/16/29(b)(e)
|
|
151
|
206,777
|
|
PFS Financing Corp., Series 2022-E, Class B,
5.54%, 10/30/26(a)(g)
|
USD
|
12,000
|
12,020,400
|
|
Pikes Peak CLO 12 Ltd., Series 2023-12A,
Class AR, (3-mo. CME Term SOFR + 1.22%),
5.49%, 04/20/38(a)(b)
|
|
500
|
499,961
|
|
Point Au Roche Park CLO Ltd., Series 2021-1A,
Class A, (3-mo. CME Term SOFR + 1.34%),
5.61%, 07/20/34(a)(b)
|
|
370
|
370,935
|
|
Point Broadband & Funding LLC, Series 2025-
1A, Class C, 07/20/55(a)(f)
|
|
3,261
|
3,260,969
|
|
Pony SA
|
|
|
|
|
Series 2024-1, Class C, (1-mo. EURIBOR +
1.20%), 3.09%, 01/14/33(b)(e)
|
EUR
|
400
|
471,608
|
|
Series 2024-1, Class D, (1-mo. EURIBOR +
1.65%), 3.54%, 01/14/33(b)(e)
|
|
300
|
354,289
|
|
Post CLO Ltd., Series 2023-1A, Class A, (3-mo.
CME Term SOFR + 1.95%), 6.22%,
04/20/36(a)(b)
|
USD
|
500
|
501,046
|
|
Post CLO VI Ltd., Series 2024-2A, Class A1,
(3-mo. CME Term SOFR + 1.42%), 5.88%,
01/20/38(a)(b)
|
|
950
|
954,537
|
|
PRET LLC
|
|
|
|
|
Series 2021-RN4, Class A1, 5.49%,
10/25/51(a)(b)
|
|
4,134
|
4,131,124
|
|
Series 2024-NPL4, Class A1, 7.00%,
07/25/54(a)(c)
|
|
6,018
|
6,027,750
|
|
Series 2024-NPL5, Class A1, 5.96%,
09/25/54(a)(c)
|
|
4,935
|
4,940,033
|
|
Prima Capital CRE Securitization Ltd.,
Series 2016-6A, Class C, 4.00%, 08/24/40(a)
|
|
3,006
|
2,960,063
|
|
Prodigy Finance DAC
|
|
|
|
|
Series 2021-1A, Class A, (1-mo. CME Term
SOFR + 1.36%), 5.68%, 07/25/51(a)(b)
|
|
1,222
|
1,220,606
|
|
Series 2021-1A, Class B, (1-mo. CME Term
SOFR + 2.61%), 6.93%, 07/25/51(a)(b)
|
|
240
|
242,274
|
|
Series 2021-1A, Class C, (1-mo. CME Term
SOFR + 3.86%), 8.18%, 07/25/51(a)(b)
|
|
139
|
142,285
|
|
Series 2021-1A, Class D, (1-mo. CME Term
SOFR + 6.01%), 10.33%, 07/25/51(a)(b)
|
|
95
|
97,952
|
|
Progress Residential Trust
|
|
|
|
|
Series 2021-SFR10, Class E2, 3.67%,
12/17/40(a)
|
|
1,813
|
1,718,858
|
|
Series 2021-SFR10, Class F, 4.61%,
12/17/40(a)
|
|
7,320
|
7,111,948
|
|
Series 2021-SFR3, Class F, 3.44%,
05/17/26(a)
|
|
6,640
|
6,547,108
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Progress Residential Trust
|
|
|
|
|
Series 2021-SFR9, Class F, 4.05%,
11/17/40(a)
|
USD
|
1,342
|
$ 1,282,627
|
|
Series 2022-SFR1, Class F, 4.88%,
02/17/41(a)
|
|
2,617
|
2,438,287
|
|
Series 2022-SFR1, Class G, 5.52%,
02/17/41(a)
|
|
2,617
|
2,434,050
|
|
Series 2024-SFR2, Class E1, 3.40%,
04/17/41(a)(b)
|
|
2,025
|
1,865,978
|
|
Series 2024-SFR2, Class E2, 3.65%,
04/17/41(a)(b)
|
|
1,012
|
930,088
|
|
Quarzo Srl
|
|
|
|
|
Series 2024-1, Class C, (3-mo. EURIBOR +
2.30%), 4.28%, 06/15/41(b)(e)
|
EUR
|
345
|
410,365
|
|
Series 2024-1, Class D, (3-mo. EURIBOR +
3.70%), 5.68%, 06/15/41(b)(e)
|
|
281
|
334,268
|
|
Race Point IX CLO Ltd., Series 2015-9A,
Class A1A2, (3-mo. CME Term SOFR +
1.20%), 5.46%, 10/15/30(a)(b)
|
USD
|
727
|
727,607
|
|
Race Point X CLO Ltd., Series 2016-10A,
Class A1R, (3-mo. CME Term SOFR +
1.36%), 5.64%, 07/25/31(a)(b)
|
|
1,062
|
1,062,540
|
|
Rad CLO 15 Ltd.
|
|
|
|
|
Series 2021-15A, Class A, (3-mo. CME Term
SOFR + 1.35%), 5.62%, 01/20/34(a)(b)
|
|
4,056
|
4,063,923
|
|
Series 2021-15A, Class B, (3-mo. CME Term
SOFR + 1.91%), 6.18%, 01/20/34(a)(b)
|
|
430
|
431,718
|
|
Rad CLO 16 Ltd., Series 2022-16A, Class A1R,
(3-mo. CME Term SOFR + 1.55%), 5.81%,
07/15/37(a)(b)
|
|
325
|
326,329
|
|
Rad CLO 18 Ltd., Series 2023-18A, Class A1R,
(3-mo. CME Term SOFR + 1.40%), 5.72%,
07/15/37(a)(b)
|
|
250
|
250,813
|
|
Rad CLO 21 Ltd.
|
|
|
|
|
Series 2023-21A, Class A1R, (3-mo. CME
Term SOFR + 1.07%), 5.35%,
01/25/37(a)(b)
|
|
1,270
|
1,270,939
|
|
Series 2023-21A, Class CR, (3-mo. CME
Term SOFR + 1.80%), 6.08%,
01/25/37(a)(b)
|
|
1,500
|
1,500,770
|
|
Rad CLO 23 Ltd., Series 2024-23A, Class B1,
(3-mo. CME Term SOFR + 2.05%), 6.32%,
04/20/37(a)(b)
|
|
1,400
|
1,408,582
|
|
Rad CLO 25 Ltd., Series 2024-25A, Class A1,
(3-mo. CME Term SOFR + 1.46%), 5.73%,
07/20/37(a)(b)
|
|
490
|
492,153
|
|
Rad CLO 27 Ltd., Series 2024-27A, Class A1,
(3-mo. CME Term SOFR + 1.32%), 5.61%,
01/15/38(a)(b)
|
|
930
|
932,736
|
|
Rad CLO 5 Ltd., Series 2019-5A, Class AR,
(3-mo. CME Term SOFR + 1.38%), 5.66%,
07/24/32(a)(b)
|
|
2,301
|
2,304,706
|
|
Rad CLO 7 Ltd.
|
|
|
|
|
Series 2020-7A, Class A1R, (3-mo. CME
Term SOFR + 1.35%), 5.63%,
04/17/36(a)(b)
|
|
1,050
|
1,051,575
|
|
Series 2020-7A, Class B1R, (3-mo. CME
Term SOFR + 1.90%), 6.18%,
04/17/36(a)(b)
|
|
4,540
|
4,558,380
|
|
Series 2020-7A, Class CR, (3-mo. CME Term
SOFR + 2.60%), 6.88%, 04/17/36(a)(b)
|
|
2,410
|
2,419,744
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Rad CLO 7 Ltd.
|
|
|
|
|
Series 2020-7A, Class D1R, (3-mo. CME
Term SOFR + 4.15%), 8.43%,
04/17/36(a)(b)
|
USD
|
770
|
$ 765,728
|
|
RAMP Series Trust, Series 2004-RS7,
Class A2A, (1-mo. CME Term SOFR +
0.62%), 5.06%, 07/25/34(b)
|
|
966
|
759,460
|
|
RCKT Mortgage Trust, Series 2024-CES2,
Class B2, 9.90%, 04/25/44(a)(b)
|
|
848
|
888,690
|
|
Recette CLO Ltd., Series 2015-1A, Class BRR,
(3-mo. CME Term SOFR + 1.66%), 5.93%,
04/20/34(a)(b)
|
|
500
|
500,127
|
|
Red & Black Auto Italy Srl, Series 3, Class C,
(1-mo. EURIBOR + 1.50%), 3.43%,
07/28/36(b)(e)
|
EUR
|
298
|
351,972
|
|
Redwood Funding Trust, Series 2023-1, Class A,
7.50%, 07/25/59(a)(c)
|
USD
|
398
|
397,081
|
|
Regatta 30 Funding Ltd., Series 2024-4A,
Class A1, (3-mo. CME Term SOFR + 1.32%),
5.63%, 01/25/38(a)(b)
|
|
1,710
|
1,715,662
|
|
Regatta 31 Funding Ltd.
|
|
|
|
|
Series 2025-1A, Class A1, (3-mo. CME Term
SOFR + 1.17%), 5.40%, 03/25/38(a)(b)
|
|
1,380
|
1,379,720
|
|
Series 2025-1A, Class A2, (3-mo. CME Term
SOFR + 1.60%), 5.83%, 03/25/38(a)(b)
|
|
1,920
|
1,922,092
|
|
Regatta 32 Funding Ltd., Series 2025-4A,
Class A1, (3-mo. CME Term SOFR + 1.34%),
5.63%, 07/25/38(a)(b)
|
|
2,550
|
2,556,885
|
|
Regatta IX Funding Ltd., Series 2017-1A,
Class B1R, (3-mo. CME Term SOFR +
2.00%), 6.28%, 04/17/37(a)(b)
|
|
2,438
|
2,447,854
|
|
Regatta VI Funding Ltd., Series 2016-1A,
Class AR2, (3-mo. CME Term SOFR +
1.42%), 5.69%, 04/20/34(a)(b)
|
|
4,700
|
4,712,715
|
|
Regatta VII Funding Ltd.
|
|
|
|
|
Series 2016-1A, Class A1R2, (3-mo. CME
Term SOFR + 1.41%), 5.73%,
06/20/34(a)(b)
|
|
1,600
|
1,604,213
|
|
Series 2016-1A, Class BR2, (3-mo. CME
Term SOFR + 1.86%), 6.18%,
06/20/34(a)(b)
|
|
500
|
500,801
|
|
Regatta XI Funding Ltd., Series 2018-1A,
Class BR, (3-mo. CME Term SOFR + 1.75%),
6.03%, 07/17/37(a)(b)
|
|
3,270
|
3,279,165
|
|
Regatta XII Funding Ltd., Series 2019-1A,
Class ARR, (3-mo. CME Term SOFR +
1.39%), 5.65%, 10/15/37(a)(b)
|
|
3,340
|
3,352,881
|
|
Regatta XIX Funding Ltd.
|
|
|
|
|
Series 2022-1A, Class A1, (3-mo. CME Term
SOFR + 1.32%), 5.59%, 04/20/35(a)(b)
|
|
1,020
|
1,023,511
|
|
Series 2022-1A, Class B, (3-mo. CME Term
SOFR + 1.85%), 6.12%, 04/20/35(a)(b)
|
|
1,390
|
1,394,559
|
|
Regatta XVIII Funding Ltd.
|
|
|
|
|
Series 2021-1A, Class A1R, (3-mo. CME
Term SOFR + 1.16%), 5.42%,
04/15/38(a)(b)
|
|
4,646
|
4,643,589
|
|
Series 2021-1A, Class BR, (3-mo. CME Term
SOFR + 1.55%), 5.81%, 04/15/38(a)(b)
|
|
750
|
750,633
|
|
Regatta XX Funding Ltd., Series 2021-2A,
Class AR, (3-mo. CME Term SOFR + 1.18%),
5.44%, 01/15/38(a)(b)
|
|
1,189
|
1,189,931
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Regatta XXIII Funding Ltd., Series 2021-4A,
Class A1, (3-mo. CME Term SOFR + 1.41%),
5.68%, 01/20/35(a)(b)
|
USD
|
1,300
|
$ 1,303,468
|
|
Regatta XXIV Funding Ltd., Series 2021-5A,
Class AR, (3-mo. CME Term SOFR + 1.32%),
5.59%, 01/20/38(a)(b)
|
|
1,190
|
1,194,009
|
|
Regatta XXVII Funding Ltd., Series 2024-1A,
Class A1, (3-mo. CME Term SOFR + 1.53%),
5.81%, 04/26/37(a)(b)
|
|
2,990
|
3,001,006
|
|
Regional Management Issuance Trust
|
|
|
|
|
Series 2021-2, Class A, 1.90%, 08/15/33(a)
|
|
1,053
|
1,002,399
|
|
Series 2021-3, Class A, 3.88%, 10/17/33(a)(g)
|
|
21,460
|
20,547,950
|
|
Series 2022-1, Class A, 3.07%, 03/15/32(a)
|
|
239
|
237,323
|
|
Series 2022-1, Class B, 3.71%, 03/15/32(a)
|
|
810
|
799,669
|
|
Series 2022-1, Class C, 4.46%, 03/15/32(a)
|
|
534
|
533,099
|
|
Series 2022-1, Class D, 6.72%, 03/15/32(a)
|
|
1,695
|
1,696,002
|
|
Series 2024-1, Class D, 7.46%, 07/15/36(a)
|
|
1,047
|
1,086,764
|
|
Series 2024-2, Class A, 5.11%, 12/15/33(a)
|
|
1,860
|
1,870,177
|
|
Series 2024-2, Class D, 6.33%, 12/15/33(a)
|
|
271
|
273,053
|
|
Republic Finance Issuance Trust
|
|
|
|
|
Series 2024-A, Class B, 6.47%, 08/20/32(a)
|
|
695
|
711,832
|
|
Series 2024-A, Class C, 7.28%, 08/20/32(a)
|
|
340
|
349,099
|
|
Series 2024-A, Class D, 9.49%, 08/20/32(a)
|
|
1,401
|
1,435,248
|
|
Series 2024-B, Class A, 5.42%, 11/20/37(a)
|
|
10,434
|
10,588,987
|
|
Series 2024-B, Class B, 5.86%, 11/20/37(a)
|
|
3,690
|
3,750,296
|
|
Riserva CLO Ltd., Series 2016-3A, Class ARR,
(3-mo. CME Term SOFR + 1.32%), 5.59%,
01/18/34(a)(b)
|
|
5,690
|
5,700,242
|
|
Rockford Tower CLO Ltd.
|
|
|
|
|
Series 2017-1A, Class AR2, (3-mo. CME
Term SOFR + 1.36%), 5.63%,
04/20/34(a)(b)
|
|
4,827
|
4,839,388
|
|
Series 2017-2A, Class BR, (3-mo. CME Term
SOFR + 1.76%), 6.02%, 10/15/29(a)(b)
|
|
8,271
|
8,292,749
|
|
Series 2017-2A, Class CR, (3-mo. CME Term
SOFR + 2.16%), 6.42%, 10/15/29(a)(b)
|
|
2,750
|
2,756,185
|
|
Series 2017-2A, Class DR, (3-mo. CME Term
SOFR + 3.11%), 7.37%, 10/15/29(a)(b)
|
|
4,766
|
4,775,361
|
|
Series 2017-3A, Class A, (3-mo. CME Term
SOFR + 1.45%), 5.72%, 10/20/30(a)(b)
|
|
4,047
|
4,047,396
|
|
Series 2018-1A, Class A, (3-mo. CME Term
SOFR + 1.36%), 5.68%, 05/20/31(a)(b)
|
|
3,808
|
3,813,168
|
|
Series 2018-1A, Class B, (3-mo. CME Term
SOFR + 1.98%), 6.30%, 05/20/31(a)(b)
|
|
1,500
|
1,501,837
|
|
Series 2018-2A, Class A, (3-mo. CME Term
SOFR + 1.42%), 5.69%, 10/20/31(a)(b)
|
|
465
|
465,793
|
|
Series 2018-2A, Class B, (3-mo. CME Term
SOFR + 2.06%), 6.33%, 10/20/31(a)(b)
|
|
600
|
601,145
|
|
Series 2021-2A, Class A1, (3-mo. CME Term
SOFR + 1.42%), 5.69%, 07/20/34(a)(b)
|
|
2,020
|
2,023,369
|
|
Romark CLO Ltd.
|
|
|
|
|
Series 2017-1A, Class A1R, (3-mo. CME
Term SOFR + 1.29%), 5.57%,
10/23/30(a)(b)
|
|
859
|
860,170
|
|
Series 2017-1A, Class B, (3-mo. CME Term
SOFR + 2.41%), 6.69%, 10/23/30(a)(b)
|
|
750
|
751,679
|
|
Romark WM-R Ltd., Series 2018-1A, Class A1,
(3-mo. CME Term SOFR + 1.29%), 5.56%,
04/20/31(a)(b)
|
|
2,808
|
2,810,733
|
|
RR 12 Ltd., Series 2020-12A, Class A2R3, (3-
mo. CME Term SOFR + 1.60%), 5.86%,
01/15/36(a)(b)
|
|
1,040
|
1,041,022
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
RR 18 Ltd., Series 2021-18A, Class A2, (3-mo.
CME Term SOFR + 1.86%), 6.12%,
10/15/34(a)(b)
|
USD
|
485
|
$ 485,874
|
|
RR 24 Ltd., Series 2022-24A, Class A1A2, (3-
mo. CME Term SOFR + 1.31%), 5.57%,
01/15/37(a)(b)
|
|
500
|
501,621
|
|
RR 28 Ltd., Series 2024-28RA, Class A1R, (3-
mo. CME Term SOFR + 1.55%), 5.81%,
04/15/37(a)(b)
|
|
6,320
|
6,343,790
|
|
RR 29 Ltd., Series 2024-29RA, Class A1R, (3-
mo. CME Term SOFR + 1.39%), 5.65%,
07/15/39(a)(b)
|
|
300
|
300,959
|
|
RR 32 Ltd., Series 2024-32RA, Class A2R, (3-
mo. CME Term SOFR + 1.70%), 5.96%,
10/15/39(a)(b)
|
|
2,310
|
2,317,098
|
|
RR 38 Ltd., Series 2025-38A, Class A1A, (3-mo.
CME Term SOFR + 1.15%), 5.47%,
04/15/40(a)(b)
|
|
9,490
|
9,485,026
|
|
RR 5 Ltd., Series 2018-5A, Class A2R, (3-mo.
CME Term SOFR + 1.95%), 6.21%,
07/15/39(a)(b)
|
|
1,000
|
1,004,152
|
|
RR 8 Ltd., Series 2020-8A, Class A1R, (3-mo.
CME Term SOFR + 1.35%), 5.61%,
07/15/37(a)(b)
|
|
500
|
501,000
|
|
RRE 5 Loan Management DAC, Series 5A,
Class A2R, (3-mo. EURIBOR + 1.75%),
4.03%, 01/15/37(a)(b)
|
EUR
|
1,160
|
1,369,222
|
|
Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A,
Class A1, (3-mo. CME Term SOFR + 1.39%),
5.70%, 01/30/38(a)(b)
|
USD
|
2,920
|
2,928,693
|
|
Sandstone Peak Ltd.
|
|
|
|
|
Series 2021-1A, Class A1R, (3-mo. CME
Term SOFR + 1.28%), 5.54%,
10/15/34(a)(b)
|
|
250
|
250,656
|
|
Series 2021-1A, Class A2R, (3-mo. CME
Term SOFR + 1.68%), 5.94%,
10/15/34(a)(b)
|
|
2,410
|
2,415,623
|
|
Series 2021-1A, Class B1R, (3-mo. CME
Term SOFR + 1.83%), 6.09%,
10/15/34(a)(b)
|
|
710
|
711,861
|
|
Saxon Asset Securities Trust, Series 2004-2,
Class MF5, 2.12%, 08/25/35(c)
|
|
587
|
443,848
|
|
SC Germany SA Compartment Consumer
|
|
|
|
|
Series 2024-2, Class C, (1-mo. EURIBOR +
1.40%), 3.29%, 05/14/38(b)(e)
|
EUR
|
800
|
950,018
|
|
Series 2024-2, Class D, (1-mo. EURIBOR +
1.70%), 3.59%, 05/14/38(b)(e)
|
|
500
|
589,878
|
|
Series 2025-1, Class D, (1-mo. EURIBOR +
1.75%), 3.66%, 12/14/38(b)(e)
|
|
500
|
593,156
|
|
SCF Rahoituspalvelut XIII DAC, Series 13,
Class C, (1-mo. EURIBOR + 1.40%), 3.30%,
06/25/34(b)(e)
|
|
400
|
471,155
|
|
Securitized Asset Backed Receivables LLC
Trust, Series 2006-OP1, Class M6, (1-mo.
CME Term SOFR + 1.12%), 5.44%,
10/25/35(b)
|
USD
|
340
|
269,126
|
|
Securitized Asset-Backed Receivables LLC Trust
|
|
|
|
|
Series 2007-BR1, Class A2A, (1-mo. CME
Term SOFR + 0.33%), 4.65%, 02/25/37(b)
|
|
334
|
140,087
|
|
Series 2007-BR1, Class A2B, (1-mo. CME
Term SOFR + 0.65%), 4.97%, 02/25/37(b)
|
|
3,558
|
1,492,226
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Securitized Asset-Backed Receivables LLC Trust
|
|
|
|
|
Series 2007-NC2, Class A2C, (1-mo. CME
Term SOFR + 0.55%), 4.87%, 01/25/37(b)
|
USD
|
575
|
$ 420,113
|
|
Service Experts Issuer LLC
|
|
|
|
|
Series 2021-1A, Class A, 2.67%, 02/02/32(a)
|
|
2,301
|
2,242,669
|
|
Series 2024-1A, Class A, 6.39%, 11/20/35(a)
|
|
3,503
|
3,566,220
|
|
SESAC Finance LLC
|
|
|
|
|
Series 2019-1, Class A2, 5.22%, 07/25/49(a)
|
|
2,827
|
2,814,754
|
|
Series 2022-1, Class A2, 5.50%, 07/25/52(a)
|
|
3,432
|
3,424,919
|
|
Series 2024-1, Class A2, 6.42%, 01/25/54(a)
|
|
1,283
|
1,308,126
|
|
SG Mortgage Securities Trust, Series 2006-
FRE2, Class A2C, (1-mo. CME Term SOFR +
0.43%), 4.75%, 07/25/36(b)
|
|
857
|
175,668
|
|
Shackleton CLO Ltd., Series 2019-14A,
Class BR, (3-mo. CME Term SOFR + 2.06%),
6.33%, 07/20/34(a)(b)
|
|
250
|
251,564
|
|
Signal Peak CLO 5 Ltd.
|
|
|
|
|
Series 2018-5A, Class A1R, (3-mo. CME
Term SOFR + 1.55%), 5.83%,
04/25/37(a)(b)
|
|
2,620
|
2,629,564
|
|
Series 2018-5A, Class BR, (3-mo. CME Term
SOFR + 2.20%), 6.48%, 04/25/37(a)(b)
|
|
610
|
614,306
|
|
Signal Peak CLO 7 Ltd.
|
|
|
|
|
Series 2019-1A, Class A1R, (3-mo. CME
Term SOFR + 1.42%), 5.69%,
10/20/37(a)(b)
|
|
400
|
401,642
|
|
Series 2019-1A, Class BR, (3-mo. CME Term
SOFR + 1.80%), 6.07%, 10/20/37(a)(b)
|
|
270
|
270,854
|
|
Signal Peak CLO 8 Ltd., Series 2020-8A,
Class A1R, (3-mo. CME Term SOFR +
1.39%), 5.66%, 10/20/37(a)(b)
|
|
1,430
|
1,436,537
|
|
Silver Point CLO 1 Ltd., Series 2022-1A,
Class A1R, (3-mo. CME Term SOFR +
1.32%), 5.59%, 01/20/38(a)(b)
|
|
1,250
|
1,254,000
|
|
Silver Point CLO 4 Ltd., Series 2024-4A,
Class A1, (3-mo. CME Term SOFR + 1.63%),
5.89%, 04/15/37(a)(b)
|
|
690
|
692,730
|
|
Silver Point CLO 5 Ltd., Series 2024-5A,
Class A1, (3-mo. CME Term SOFR + 1.40%),
5.67%, 10/20/37(a)(b)
|
|
860
|
863,308
|
|
Silver Point CLO 7 Ltd., Series 2024-7A,
Class A1, (3-mo. CME Term SOFR + 1.36%),
5.65%, 01/15/38(a)(b)
|
|
1,900
|
1,905,579
|
|
Silver Point CLO 8 Ltd., Series 2025-8A,
Class A1, (3-mo. CME Term SOFR + 1.21%),
5.43%, 04/15/38(a)(b)
|
|
850
|
849,633
|
|
Sixth Street CLO IX Ltd., Series 2017-9A,
Class AR, (3-mo. CME Term SOFR + 1.38%),
5.65%, 07/21/37(a)(b)
|
|
1,690
|
1,695,598
|
|
Sixth Street CLO XIV Ltd., Series 2019-14A,
Class A1R2, (3-mo. CME Term SOFR +
1.15%), 5.47%, 01/20/38(a)(b)
|
|
1,570
|
1,569,334
|
|
Sixth Street CLO XIX Ltd., Series 2021-19A,
Class A, (3-mo. CME Term SOFR + 1.36%),
5.63%, 07/20/34(a)(b)
|
|
3,370
|
3,378,916
|
|
Sixth Street CLO XX Ltd.
|
|
|
|
|
Series 2021-20A, Class A1, (3-mo. CME Term
SOFR + 1.42%), 5.69%, 10/20/34(a)(b)
|
|
250
|
250,437
|
|
Series 2021-20A, Class A1R, (3-mo. CME
Term SOFR + 1.32%), 07/17/38(a)(b)(f)
|
|
250
|
250,000
|
|
Series 2021-20A, Class B, (3-mo. CME Term
SOFR + 1.91%), 6.18%, 10/20/34(a)(b)
|
|
780
|
781,234
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Sixth Street CLO XX Ltd.
|
|
|
|
|
Series 2021-20A, Class BR, (3-mo. CME
Term SOFR + 1.65%), 07/17/38(a)(b)(f)
|
USD
|
2,530
|
$ 2,530,000
|
|
SLM Private Credit Student Loan Trust,
Series 2004-A, Class A3, (3-mo. CME Term
SOFR + 0.66%), 4.98%, 06/15/33(b)
|
|
258
|
256,457
|
|
SLM Private Education Loan Trust,
Series 2010-C, Class A5, (1-mo. CME Term
SOFR + 4.86%), 9.18%, 10/15/41(a)(b)
|
|
9,857
|
10,326,095
|
|
Small Business Origination Loan Trust DAC,
Series 2025-1, Class B, (1-day SONIA +
2.60%), 6.82%, 12/15/36(b)(e)
|
GBP
|
195
|
264,991
|
|
SMB Private Education Loan Trust
|
|
|
|
|
Series 2015-B, Class B, 3.50%, 12/17/40(a)
|
USD
|
595
|
591,437
|
|
Series 2020-PTA, Class A2A, 1.60%,
09/15/54(a)
|
|
6,984
|
6,569,582
|
|
Series 2020-PTA, Class B, 2.50%,
09/15/54(a)
|
|
6,740
|
5,984,605
|
|
Series 2021-A, Class C, 2.99%, 01/15/53(a)
|
|
6,022
|
5,260,993
|
|
Series 2021-C, Class B, 2.30%, 01/15/53(a)
|
|
642
|
620,903
|
|
Series 2021-C, Class C, 3.00%, 01/15/53(a)
|
|
416
|
360,239
|
|
Series 2024-A, Class A1A, 5.24%,
03/15/56(a)
|
|
1,440
|
1,464,572
|
|
Series 2024-A, Class A1B, (SOFR (30-day) +
1.45%), 5.75%, 03/15/56(a)(b)
|
|
14,188
|
14,323,857
|
|
Series 2024-A, Class B, 5.88%, 03/15/56(a)
|
|
3,913
|
4,014,423
|
|
Series 2024-C, Class A1B, (SOFR (30-day) +
1.10%), 5.40%, 06/17/52(a)(b)
|
|
3,683
|
3,656,828
|
|
SoFi Consumer Loan Program Trust
|
|
|
|
|
Series 2025-1, Class A, 4.80%, 02/27/34(a)
|
|
17,370
|
17,402,165
|
|
Series 2025-1, Class B, 5.12%, 02/27/34(a)
|
|
1,768
|
1,785,371
|
|
SoFi Personal Loan Trust
|
|
|
|
|
Series 2023-1A, Class A, 6.00%, 11/12/30(a)
|
|
4,317
|
4,368,813
|
|
Series 2024-1A, Class A, 6.06%, 02/12/31(a)
|
|
5,478
|
5,502,489
|
|
Sound Point CLO II Ltd., Series 2013-1A,
Class A1R, (3-mo. CME Term SOFR +
1.33%), 5.61%, 01/26/31(a)(b)
|
|
203
|
202,777
|
|
Soundview Home Loan Trust
|
|
|
|
|
Series 2004-WMC1, Class M2, (1-mo. CME
Term SOFR + 0.91%), 5.23%, 01/25/35(b)
|
|
31
|
25,896
|
|
Series 2005-OPT3, Class M4, (1-mo. CME
Term SOFR + 1.13%), 5.45%, 11/25/35(b)
|
|
547
|
437,515
|
|
Series 2007-NS1, Class M1, (1-mo. CME
Term SOFR + 0.64%), 4.96%, 01/25/37(b)
|
|
781
|
746,400
|
|
Southwick Park CLO LLC
|
|
|
|
|
Series 2019-4A, Class A1R, (3-mo. CME
Term SOFR + 1.32%), 5.59%,
07/20/32(a)(b)
|
|
526
|
526,732
|
|
Series 2019-4A, Class B1R, (3-mo. CME
Term SOFR + 1.76%), 6.03%,
07/20/32(a)(b)
|
|
370
|
369,200
|
|
SPLT
|
|
|
|
|
Series 23-1, Class R1, 0.00%, 10/15/30(a)
|
|
178
|
8,185,606
|
|
Series 24-1, Class R1, 0.00%, 02/12/31(a)
|
|
162
|
4,574,559
|
|
St. Paul’s CLO XII DAC, Series 12X, Class B1,
(3-mo. EURIBOR + 1.60%), 3.88%,
04/15/33(b)(e)
|
EUR
|
1,420
|
1,662,829
|
|
STAR Trust, Series 2021-SFR1, Class F, (1-mo.
CME Term SOFR + 2.51%), 6.83%,
04/17/38(a)(b)
|
USD
|
1,030
|
1,026,382
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Steele Creek CLO Ltd., Series 2017-1A, Class A,
(3-mo. CME Term SOFR + 1.51%), 5.77%,
10/15/30(a)(b)
|
USD
|
515
|
$ 515,229
|
|
Stewart Park CLO Ltd., Series 2015-1A,
Class CR, (3-mo. CME Term SOFR + 2.06%),
6.32%, 01/15/30(a)(b)
|
|
1,630
|
1,633,685
|
|
Stratus CLO Ltd., Series 2021-1A, Class SUB,
0.00%, 12/29/29(a)(b)
|
|
1,000
|
1,110
|
|
Stream Innovations Issuer Trust, Series 2025-
1A, Class A, 5.05%, 09/15/45(a)
|
|
4,540
|
4,572,631
|
|
Structured Asset Securities Corp. Assistance
Loan Trust, Series 2003-AL2, Class A, 3.36%,
01/25/31(a)
|
|
42
|
39,876
|
|
Structured Asset Securities Corp. Mortgage Loan
Trust, Series 2007-GEL2, Class M1, (1-mo.
CME Term SOFR + 1.16%), 5.48%,
05/25/37(a)(b)
|
|
2,106
|
1,654,417
|
|
Subway Funding LLC, Series 2024-1A,
Class A2II, 6.27%, 07/30/54(a)
|
|
5,747
|
5,887,747
|
|
Sycamore Tree CLO Ltd., Series 2024-5A,
Class B, (3-mo. CME Term SOFR + 2.25%),
6.52%, 04/20/36(a)(b)
|
|
3,280
|
3,286,564
|
|
Symphony CLO 40 Ltd., Series 2023-40A,
Class AR, (3-mo. CME Term SOFR + 1.31%),
5.55%, 01/05/38(a)(b)
|
|
2,140
|
2,146,920
|
|
Symphony CLO 46 Ltd., Series 2024-46A,
Class A2, (3-mo. CME Term SOFR + 1.59%),
5.86%, 01/20/38(a)(b)
|
|
250
|
250,440
|
|
Symphony CLO XIX Ltd., Series 2018-19A,
Class A, (3-mo. CME Term SOFR + 1.22%),
5.48%, 04/16/31(a)(b)
|
|
154
|
154,033
|
|
Symphony CLO XVI Ltd., Series 2015-16A,
Class ARR, (3-mo. CME Term SOFR +
1.20%), 5.46%, 10/15/31(a)(b)
|
|
1,660
|
1,662,196
|
|
Symphony CLO XX Ltd., Series 2018-20A,
Class BR2, (3-mo. CME Term SOFR +
1.55%), 5.81%, 01/16/32(a)(b)
|
|
1,110
|
1,107,613
|
|
Symphony CLO XXI Ltd., Series 2019-21A,
Class AR2, (3-mo. CME Term SOFR +
0.90%), 5.16%, 07/15/32(a)(b)
|
|
1,560
|
1,557,528
|
|
Symphony CLO XXIV Ltd., Series 2020-24A,
Class AR, (3-mo. CME Term SOFR + 1.20%),
5.48%, 01/23/32(a)(b)
|
|
399
|
399,628
|
|
Symphony CLO XXVI Ltd., Series 2021-26A,
Class AR, (3-mo. CME Term SOFR + 1.34%),
5.61%, 04/20/33(a)(b)
|
|
1,962
|
1,964,797
|
|
Symphony CLO XXVIII Ltd., Series 2021-28A,
Class A, (3-mo. CME Term SOFR + 1.40%),
5.68%, 10/23/34(a)(b)
|
|
2,230
|
2,232,610
|
|
Symphony CLO XXXIII Ltd., Series 2022-33A,
Class AR, (3-mo. CME Term SOFR + 1.26%),
5.54%, 01/24/38(a)(b)
|
|
2,000
|
2,004,197
|
|
TAGUS-Sociedade de Titularizacao de Creditos
SA/Silk Finance No. 6, Series 6, Class C,
(3-mo. EURIBOR + 1.70%), 3.75%,
12/25/39(b)(e)
|
EUR
|
500
|
589,450
|
|
TAGUS-Sociedade de Titularizacao de Creditos
SA/Vasco Finance No. 2
|
|
|
|
|
Series 2, Class B, (1-mo. EURIBOR + 1.80%),
3.89%, 10/27/42(b)(e)
|
|
300
|
353,694
|
|
Series 2, Class C, (1-mo. EURIBOR +
2.60%), 4.69%, 10/27/42(b)(e)
|
|
200
|
235,793
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
TAGUS-Sociedade de Titularizacao de Creditos
SA/Vasco Finance No. 2
|
|
|
|
|
Series 2, Class D, (1-mo. EURIBOR +
4.00%), 6.09%, 10/27/42(b)(e)
|
EUR
|
400
|
$ 474,593
|
|
TCW CLO Ltd., Series 2019-2A, Class A1R2,
(3-mo. CME Term SOFR + 1.27%), 5.59%,
01/20/38(a)(b)
|
USD
|
1,270
|
1,272,157
|
|
Terwin Mortgage Trust, Series 2005-10HE,
Class M5, (1-mo. CME Term SOFR + 1.13%),
5.45%, 06/25/36(b)
|
|
358
|
319,813
|
|
Thayer Park CLO Ltd., Series 2017-1A,
Class A1R, (3-mo. CME Term SOFR +
1.30%), 5.57%, 04/20/34(a)(b)
|
|
550
|
550,884
|
|
TIAA CLO III Ltd., Series 2017-2A, Class A, (3-
mo. CME Term SOFR + 1.41%), 5.67%,
01/16/31(a)(b)
|
|
282
|
282,054
|
|
TICP CLO VI Ltd., Series 2016-6A, Class AR2,
(3-mo. CME Term SOFR + 1.38%), 5.64%,
01/15/34(a)(b)
|
|
5,120
|
5,129,216
|
|
TICP CLO VII Ltd.
|
|
|
|
|
Series 2017-7A, Class ASR2, (3-mo. CME
Term SOFR + 1.30%), 5.56%,
04/15/33(a)(b)
|
|
1,570
|
1,572,655
|
|
Series 2017-7A, Class BR2, (3-mo. CME
Term SOFR + 1.90%), 6.16%,
04/15/33(a)(b)
|
|
4,165
|
4,169,967
|
|
TICP CLO XI Ltd.
|
|
|
|
|
Series 2018-11A, Class AR, (3-mo. CME Term
SOFR + 1.53%), 5.81%, 04/25/37(a)(b)
|
|
750
|
752,761
|
|
Series 2018-11A, Class BR, (3-mo. CME Term
SOFR + 2.05%), 6.33%, 04/25/37(a)(b)
|
|
2,680
|
2,695,782
|
|
Series 2018-11A, Class DR, (3-mo. CME
Term SOFR + 3.70%), 7.98%,
04/25/37(a)(b)
|
|
250
|
249,650
|
|
Tower Bridge Funding PLC
|
|
|
|
|
Series 2024-3X, Class C, (1-day SONIA +
1.40%), 5.64%, 12/20/66(b)(e)
|
GBP
|
272
|
373,263
|
|
Series 2024-3X, Class D, (1-day SONIA +
1.90%), 6.14%, 12/20/66(b)(e)
|
|
334
|
459,237
|
|
Trestles CLO III Ltd., Series 2020-3A,
Class A1R, (3-mo. CME Term SOFR +
1.39%), 5.66%, 10/20/37(a)(b)
|
USD
|
3,670
|
3,687,377
|
|
Trestles CLO IV Ltd., Series 2021-4A, Class A,
(3-mo. CME Term SOFR + 1.43%), 5.70%,
07/21/34(a)(b)
|
|
9,420
|
9,436,728
|
|
Trestles CLO Ltd., Series 2017-1A, Class A1RR,
(3-mo. CME Term SOFR + 1.46%), 5.74%,
07/25/37(a)(b)
|
|
7,060
|
7,091,233
|
|
Trestles CLO VI Ltd., Series 2023-6A,
Class A1R, (3-mo. CME Term SOFR +
1.18%), 5.45%, 04/25/38(a)(b)
|
|
2,430
|
2,428,902
|
|
Tricon Residential Trust, Series 2021-SFR1,
Class G, 4.13%, 07/17/38(a)
|
|
3,324
|
3,237,939
|
|
Trimaran CAVU Ltd.
|
|
|
|
|
Series 2019-2A, Class C, (3-mo. CME Term
SOFR + 4.98%), 9.25%, 11/26/32(a)(b)
|
|
500
|
500,322
|
|
Series 2021-2A, Class D1, (3-mo. CME Term
SOFR + 3.51%), 7.79%, 10/25/34(a)(b)
|
|
250
|
252,708
|
|
Series 2024-1A, Class A, (3-mo. CME Term
SOFR + 1.38%), 5.64%, 01/25/38(a)(b)
|
|
4,940
|
4,961,741
|
|
Series 2024-1A, Class B, (3-mo. CME Term
SOFR + 1.75%), 6.01%, 01/25/38(a)(b)
|
|
600
|
600,542
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Trinitas CLO IV Ltd., Series 2016-4A,
Class A2L2, (3-mo. CME Term SOFR +
1.66%), 5.93%, 10/18/31(a)(b)
|
USD
|
970
|
$ 970,378
|
|
Trinitas CLO VII Ltd., Series 2017-7A,
Class A1R2, (3-mo. CME Term SOFR +
1.06%), 5.34%, 01/25/35(a)(b)
|
|
3,710
|
3,710,315
|
|
Trinitas CLO XIV Ltd.
|
|
|
|
|
Series 2020-14A, Class A1R, (3-mo. CME
Term SOFR + 1.34%), 5.62%,
01/25/34(a)(b)
|
|
1,250
|
1,251,440
|
|
Series 2020-14A, Class BR, (3-mo. CME
Term SOFR + 1.95%), 6.23%,
01/25/34(a)(b)
|
|
3,460
|
3,453,310
|
|
Trinitas CLO XVIII Ltd., Series 2021-18A,
Class A1, (3-mo. CME Term SOFR + 1.43%),
5.70%, 01/20/35(a)(b)
|
|
250
|
250,437
|
|
Trinitas CLO XXVIII Ltd., Series 2024-28A,
Class A1, (3-mo. CME Term SOFR + 1.55%),
5.83%, 04/25/37(a)(b)
|
|
810
|
812,958
|
|
Upgrade Master Pass-Thru Trust, Series 2025-
ST4, Class A, 08/16/32(a)(f)
|
|
3,734
|
3,734,000
|
|
Vantage Data Centers Germany Borrower Lux
Sarl, Series 2025-1X, Class A2, 4.29%,
06/28/50(e)
|
EUR
|
4,157
|
4,915,076
|
|
Vantage Data Centers Jersey Borrower Spv Ltd.,
Series 2024-1X, Class A2, 6.17%, 05/28/39(e)
|
GBP
|
2,561
|
3,603,272
|
|
Venture CLO Ltd., Series 2018-32A, Class A2A,
(3-mo. CME Term SOFR + 1.33%), 5.60%,
07/18/31(a)(b)
|
USD
|
640
|
639,930
|
|
Verdelite Static CLO Ltd.
|
|
|
|
|
Series 2024-1A, Class A, (3-mo. CME Term
SOFR + 1.13%), 5.40%, 07/20/32(a)(b)
|
|
2,027
|
2,028,349
|
|
Series 2024-1A, Class B, (3-mo. CME Term
SOFR + 1.65%), 5.92%, 07/20/32(a)(b)
|
|
210
|
209,372
|
|
VOLT CVI LLC, Series 2021-NP12, Class A1,
5.73%, 12/26/51(a)(c)
|
|
3,141
|
3,130,821
|
|
Voya CLO Ltd.
|
|
|
|
|
Series 2014-1A, Class AAR2, (3-mo. CME
Term SOFR + 1.25%), 5.52%,
04/18/31(a)(b)
|
|
1,435
|
1,437,264
|
|
Series 2014-4A, Class A1RA, (3-mo. CME
Term SOFR + 1.36%), 5.60%,
07/14/31(a)(b)
|
|
76
|
76,082
|
|
Series 2016-1A, Class A1R, (3-mo. CME
Term SOFR + 1.33%), 5.60%,
01/20/31(a)(b)
|
|
635
|
635,813
|
|
Series 2017-1A, Class A1R, (3-mo. CME
Term SOFR + 1.21%), 5.49%,
04/17/30(a)(b)
|
|
120
|
120,001
|
|
Series 2018-1A, Class A1, (3-mo. CME Term
SOFR + 1.21%), 5.48%, 04/19/31(a)(b)
|
|
442
|
442,284
|
|
Series 2018-1A, Class A2, (3-mo. CME Term
SOFR + 1.56%), 5.83%, 04/19/31(a)(b)
|
|
250
|
250,003
|
|
Series 2018-3A, Class A1R2, (3-mo. CME
Term SOFR + 1.20%), 5.46%,
10/15/31(a)(b)
|
|
354
|
354,968
|
|
Series 2019-1A, Class A1RR, (3-mo. CME
Term SOFR + 1.37%), 5.63%,
10/15/37(a)(b)
|
|
3,620
|
3,634,382
|
|
Series 2019-2A, Class AR, (3-mo. CME Term
SOFR + 1.20%), 5.47%, 07/20/32(a)(b)
|
|
876
|
878,016
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Voya CLO Ltd.
|
|
|
|
|
Series 2021-2A, Class BR, (3-mo. CME Term
SOFR + 1.55%), 5.85%, 04/20/38(a)(b)
|
USD
|
1,440
|
$ 1,442,662
|
|
Voya Euro CLO II DAC, Series 2A, Class CR,
(3-mo. EURIBOR + 2.15%), 4.43%,
07/15/35(a)(b)
|
EUR
|
750
|
885,587
|
|
Voya Euro CLO V DAC, Series 5A, Class B1,
(3-mo. EURIBOR + 1.75%), 4.03%,
04/15/35(a)(b)
|
|
1,970
|
2,316,603
|
|
Washington Mutual Asset-Backed Certificates
Trust
|
|
|
|
|
Series 2006-HE4, Class 2A2, (1-mo. CME
Term SOFR + 0.47%), 4.79%, 09/25/36(b)
|
USD
|
3,819
|
967,682
|
|
Series 2006-HE5, Class 1A, (1-mo. CME
Term SOFR + 0.42%), 4.42%, 10/25/36(b)
|
|
1,146
|
862,741
|
|
Series 2007-HE1, Class 2A1, (1-mo. CME
Term SOFR + 0.23%), 4.55%, 11/25/36(b)
|
|
227
|
70,761
|
|
Series 2007-HE1, Class 2A2, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 11/25/36(b)
|
|
2,015
|
631,192
|
|
Series 2007-HE3, Class 2A3, (1-mo. CME
Term SOFR + 0.35%), 4.67%, 05/25/37(b)
|
|
819
|
725,555
|
|
Wellington Management CLO 1 Ltd.,
Series 2023-1A, Class A, (3-mo. CME Term
SOFR + 1.80%), 6.07%, 10/20/36(a)(b)
|
|
250
|
250,705
|
|
Wellington Management CLO 4 Ltd.,
Series 2025-4A, Class A, (3-mo. CME Term
SOFR + 1.15%), 5.43%, 04/18/38(a)(b)
|
|
1,840
|
1,837,392
|
|
Whitebox CLO I Ltd.
|
|
|
|
|
Series 2019-1A, Class A1RR, (3-mo. CME
Term SOFR + 1.32%), 5.60%,
07/24/36(a)(b)
|
|
4,525
|
4,529,705
|
|
Series 2019-1A, Class D1RR, (3-mo. CME
Term SOFR + 3.10%), 7.38%,
07/24/36(a)(b)
|
|
4,120
|
4,113,113
|
|
Series 2019-1A, Class ERR, (3-mo. CME
Term SOFR + 5.75%), 10.03%,
07/24/36(a)(b)
|
|
3,300
|
3,300,872
|
|
Whitebox CLO II Ltd.
|
|
|
|
|
Series 2020-2A, Class A1R2, (3-mo. CME
Term SOFR + 1.38%), 5.66%,
10/24/37(a)(b)
|
|
10,522
|
10,562,764
|
|
Series 2020-2A, Class BR2, (3-mo. CME
Term SOFR + 1.75%), 6.03%,
10/24/37(a)(b)
|
|
1,850
|
1,842,352
|
|
Series 2020-2A, Class D1R2, (3-mo. CME
Term SOFR + 2.90%), 7.18%,
10/24/37(a)(b)
|
|
671
|
671,073
|
|
Whitebox CLO III Ltd.
|
|
|
|
|
Series 2021-3A, Class A1R, (3-mo. CME
Term SOFR + 1.27%), 5.53%,
10/15/35(a)(b)
|
|
4,161
|
4,167,152
|
|
Series 2021-3A, Class DR, (3-mo. CME Term
SOFR + 2.85%), 7.11%, 10/15/35(a)(b)
|
|
1,250
|
1,246,647
|
|
Series 2021-3A, Class ER, (3-mo. CME Term
SOFR + 5.65%), 9.91%, 10/15/35(a)(b)
|
|
1,000
|
1,001,336
|
|
Wildwood Park CLO Ltd.
|
|
|
|
|
Series 2024-1A, Class A, (3-mo. CME Term
SOFR + 1.36%), 5.63%, 10/20/37(a)(b)
|
|
3,170
|
3,183,278
|
|
Series 2024-1A, Class E, (3-mo. CME Term
SOFR + 5.75%), 10.02%, 10/20/37(a)(b)
|
|
900
|
915,715
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities (continued)
|
|||
|
Wireless PropCo Funding LLC, Series 2025-1A,
Class C, 8.51%, 06/25/55(a)(g)
|
USD
|
5,688
|
$ 5,687,940
|
|
Yale Mortgage Loan Trust, Series 2007-1,
Class A, (1-mo. CME Term SOFR + 0.51%),
4.83%, 06/25/37(a)(b)
|
|
1,997
|
618,853
|
|
Total Asset-Backed Securities — 11.5%
(Cost: $2,192,879,480)
|
2,153,659,840
|
||
|
|
|
Shares
|
|
|
Common Stocks
|
|||
|
Aerospace & Defense — 0.1%
|
|||
|
Space Exploration Technologies Corp., Class A
(Acquired 08/21/23, cost $2,075,706)(g)(h)(i)
|
|
25,626
|
4,740,810
|
|
Space Exploration Technologies Corp., Class C
(Acquired 08/21/23, cost $2,227,824)(g)(h)(i)
|
|
27,504
|
5,088,240
|
|
|
|
|
9,829,050
|
|
Banks — 0.1%
|
|||
|
Citigroup, Inc.
|
|
35,584
|
3,028,910
|
|
Comerica, Inc.
|
|
6,357
|
379,195
|
|
First Citizens BancShares, Inc., Class A
|
|
1,222
|
2,390,806
|
|
First Horizon Corp.
|
|
37,246
|
789,615
|
|
Flagstar Financial, Inc.
|
|
392,466
|
4,160,140
|
|
JPMorgan Chase & Co.
|
|
48,038
|
13,926,697
|
|
|
|
|
24,675,363
|
|
Broadline Retail — 0.0%
|
|||
|
Rakuten Group, Inc.(h)
|
|
306,300
|
1,687,769
|
|
Capital Markets — 0.0%
|
|||
|
Crown PropTech Acquisitions(g)(h)
|
|
147,660
|
196,388
|
|
Crown PropTech Acquisitions, Class A(h)
|
|
85,597
|
974,094
|
|
Crown PropTech Founders Unvested(g)(h)
|
|
96,296
|
1
|
|
|
|
|
1,170,483
|
|
Communications Equipment — 0.0%
|
|||
|
CommScope Holding Co., Inc.(h)
|
|
180,889
|
1,497,761
|
|
Diversified Telecommunication Services — 0.0%
|
|||
|
Lumen Technologies, Inc.(h)
|
|
649,435
|
2,844,525
|
|
Electrical Equipment — 0.0%
|
|||
|
FreeWire Technologies, Inc.(g)(h)
|
|
153
|
—
|
|
GE Vernova, Inc.
|
|
6,173
|
3,266,443
|
|
|
|
|
3,266,443
|
|
Energy Equipment & Services — 0.1%
|
|||
|
Flowco Holdings, Inc., Class A(j)
|
|
151,569
|
2,699,444
|
|
Solaris Energy Infrastructure, Inc., Class A
|
|
294,773
|
8,339,128
|
|
|
|
|
11,038,572
|
|
Entertainment — 0.0%
|
|||
|
Lionsgate Studios Corp.(h)
|
|
120,471
|
699,937
|
|
Playstudios, Inc., Class A(h)
|
|
457,322
|
599,092
|
|
Starz Entertainment Corp.(h)
|
|
8,031
|
129,058
|
|
Warner Bros Discovery, Inc., Class A(h)(j)
|
|
359,051
|
4,114,724
|
|
|
|
|
5,542,811
|
|
Financial Services — 0.1%
|
|||
|
HNG Hospitality Offshore LP (Acquired 02/16/24,
cost $13,871,000)(g)(h)(i)
|
|
13,871,000
|
10,819,380
|
|
Melange Secondaries Partners, LP(g)(k)
|
|
—
(l)
|
4,326,436
|
|
New Holdco (Cayman)(g)
|
|
9,330
|
261,240
|
|
|
|
|
15,407,056
|
|
Security
|
|
Shares
|
Value
|
|
Hotels, Restaurants & Leisure — 0.1%
|
|||
|
Caesars Entertainment, Inc.(h)
|
|
75,834
|
$ 2,152,927
|
|
Genius Sports Ltd.(h)(j)
|
|
726,837
|
7,559,105
|
|
Sonder Holdings, Inc., Class A(h)
|
|
45,465
|
122,755
|
|
|
|
|
9,834,787
|
|
Independent Power and Renewable Electricity Producers — 0.0%
|
|||
|
Vistra Corp.
|
|
13,960
|
2,705,588
|
|
Machinery — 0.0%
|
|||
|
Palladyne AI Corp.(h)
|
|
11,463
|
99,267
|
|
Sarcos Technology & Robotics Corp.(h)
|
|
464,024
|
4,018,446
|
|
|
|
|
4,117,713
|
|
Media — 0.0%
|
|||
|
AMC Networks, Inc., Class A(h)
|
|
51,468
|
322,704
|
|
Metals & Mining — 0.0%
|
|||
|
Algoma Steel Group, Inc.
|
|
320,811
|
2,210,388
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
|
|||
|
Blackstone Mortgage Trust, Inc., Class A
|
|
533,049
|
10,261,193
|
|
Oil, Gas & Consumable Fuels — 0.1%
|
|||
|
Crescent Midstream Fund LP(g)(k)
|
|
—
(l)
|
2,954,000
|
|
Formentera Partners Fund II LP(g)(h)(k)
|
|
—
(l)
|
5,145,456
|
|
Kinder Morgan, Inc.
|
|
73,352
|
2,156,549
|
|
Venture Global, Inc., Class A(j)
|
|
10,496
|
163,528
|
|
Viper Energy, Inc., Class A
|
|
29,267
|
1,115,951
|
|
|
|
|
11,535,484
|
|
Professional Services — 0.0%
|
|||
|
Amentum Holdings, Inc.(h)
|
|
162,034
|
3,825,623
|
|
Real Estate Management & Development — 0.0%
|
|||
|
DF Residential III LP(g)(h)
|
|
4,251,053
|
4,251,053
|
|
Opendoor Technologies, Inc., Class A(h)(j)
|
|
575,955
|
306,984
|
|
|
|
|
4,558,037
|
|
Residential REITs — 0.0%
|
|||
|
Invitation Homes, Inc.
|
|
138,148
|
4,531,254
|
|
Software — 0.0%
|
|||
|
Avaya Holdings Corp.(h)
|
|
333
|
2,414
|
|
IREN Ltd.(h)(j)
|
|
94,768
|
1,380,770
|
|
Latch, Inc.(h)
|
|
411,849
|
57,659
|
|
|
|
|
1,440,843
|
|
Total Common Stocks — 0.7%
(Cost: $160,609,401)
|
132,303,447
|
||
|
|
|
Par
(000)
|
|
|
Corporate Bonds
|
|||
|
Aerospace & Defense — 0.2%
|
|||
|
Boeing Co. (The), 7.01%, 05/01/64
|
USD
|
4,914
|
5,397,277
|
|
Embraer Netherlands Finance BV, 5.98%,
02/11/35
|
|
4,222
|
4,336,205
|
|
L3Harris Technologies, Inc.
|
|
|
|
|
5.35%, 06/01/34
|
|
908
|
928,127
|
|
4.85%, 04/27/35
|
|
1,266
|
1,238,560
|
|
Northrop Grumman Corp.
|
|
|
|
|
4.03%, 10/15/47
|
|
10,787
|
8,600,921
|
|
4.95%, 03/15/53
|
|
3,130
|
2,813,304
|
|
5.20%, 06/01/54
|
|
11,740
|
10,938,648
|
|
Sabena Technics SAS, (3-mo. EURIBOR +
5.00%), 6.98%, 09/30/29 (Acquired 10/28/22,
cost $6,464,169)(b)(g)(i)
|
EUR
|
6,552
|
7,717,563
|
|
|
|
|
41,970,605
|
|
Security
|
|
Par
(000)
|
Value
|
|
Automobile Components — 0.0%
|
|||
|
Tenneco, Inc., 8.00%, 11/17/28(a)
|
USD
|
2,722
|
$ 2,691,779
|
|
Automobiles — 0.0%
|
|||
|
Aston Martin Capital Holdings Ltd., 10.00%,
03/31/29(a)
|
|
1,973
|
1,868,211
|
|
Banks — 3.4%
|
|||
|
Akbank TAS, 9.37% (e)(m)
|
|
6,884
|
7,013,075
|
|
Banco Espirito Santo SA
|
|
|
|
|
2.63%, 05/08/17(e)(h)(n)
|
EUR
|
400
|
103,660
|
|
4.75%, 01/15/18(e)(h)(n)
|
|
2,200
|
570,128
|
|
4.00%, 01/21/19(e)(h)(n)
|
|
6,300
|
1,632,639
|
|
Bank of America Corp.
|
|
|
|
|
1.73%, 07/22/27
|
USD
|
2,487
|
2,417,311
|
|
3.42%, 12/20/28
|
|
5,455
|
5,332,174
|
|
3.97%, 03/05/29
|
|
12,950
|
12,806,729
|
|
5.20%, 04/25/29
|
|
5,811
|
5,938,621
|
|
5.82%, 09/15/29
|
|
8,645
|
9,005,651
|
|
2.88%, 10/22/30
|
|
2,759
|
2,582,426
|
|
5.16%, 01/24/31
|
|
11,534
|
11,821,768
|
|
1.92%, 10/24/31
|
|
2,904
|
2,532,534
|
|
2.30%, 07/21/32
|
|
2,140
|
1,864,847
|
|
2.97%, 02/04/33
|
|
28,945
|
25,919,862
|
|
4.57%, 04/27/33
|
|
8,297
|
8,164,837
|
|
5.29%, 04/25/34
|
|
4,694
|
4,788,038
|
|
5.51%, 01/24/36
|
|
2,259
|
2,322,737
|
|
4.88%, 04/01/44
|
|
3,276
|
3,035,518
|
|
4.33%, 03/15/50
|
|
8,627
|
7,164,599
|
|
2.97%, 07/21/52
|
|
3,870
|
2,501,318
|
|
Citigroup, Inc.
|
|
|
|
|
4.64%, 05/07/28
|
|
14,885
|
14,924,455
|
|
4.79%, 03/04/29
|
|
8,699
|
8,761,476
|
|
5.17%, 02/13/30
|
|
37,887
|
38,653,589
|
|
4.54%, 09/19/30
|
|
5,744
|
5,717,963
|
|
2.98%, 11/05/30
|
|
1,315
|
1,230,261
|
|
2.67%, 01/29/31
|
|
5,038
|
4,619,259
|
|
2.57%, 06/03/31
|
|
3,479
|
3,155,145
|
|
2.56%, 05/01/32
|
|
2,124
|
1,881,692
|
|
3.06%, 01/25/33
|
|
21,698
|
19,391,746
|
|
3.79%, 03/17/33
|
|
21,285
|
19,896,681
|
|
6.27%, 11/17/33
|
|
7,423
|
7,992,879
|
|
First Citizens BancShares, Inc., 6.25%, 03/12/40
|
|
7,895
|
7,855,862
|
|
FNB Corp., 5.72%, 12/11/30
|
|
7,898
|
7,942,728
|
|
JPMorgan Chase & Co.
|
|
|
|
|
2.95%, 02/24/28
|
|
4,265
|
4,167,393
|
|
5.57%, 04/22/28
|
|
30,329
|
30,951,354
|
|
2.18%, 06/01/28
|
|
5,021
|
4,825,530
|
|
4.51%, 10/22/28
|
|
2,448
|
2,455,321
|
|
3.51%, 01/23/29
|
|
2,466
|
2,415,553
|
|
4.92%, 01/24/29
|
|
3,348
|
3,392,959
|
|
4.20%, 07/23/29
|
|
4,204
|
4,186,241
|
|
5.30%, 07/24/29
|
|
27,315
|
28,044,646
|
|
5.01%, 01/23/30
|
|
30,960
|
31,531,429
|
|
5.58%, 04/22/30
|
|
43,328
|
44,989,926
|
|
5.00%, 07/22/30
|
|
20,491
|
20,865,212
|
|
4.60%, 10/22/30
|
|
930
|
933,177
|
|
5.14%, 01/24/31
|
|
9,085
|
9,316,476
|
|
4.49%, 03/24/31
|
|
931
|
929,830
|
|
2.52%, 04/22/31
|
|
1,025
|
937,153
|
|
5.10%, 04/22/31
|
|
3,841
|
3,936,273
|
|
1.76%, 11/19/31
|
|
19,593
|
16,976,935
|
|
2.96%, 01/25/33
|
|
12,399
|
11,144,604
|
|
6.25%, 10/23/34
|
|
2,936
|
3,190,964
|
|
5.29%, 07/22/35
|
|
5,432
|
5,527,724
|
|
Security
|
|
Par
(000)
|
Value
|
|
Banks (continued)
|
|||
|
JPMorgan Chase & Co.
|
|
|
|
|
5.50%, 01/24/36
|
USD
|
15,652
|
$ 16,121,533
|
|
5.57%, 04/22/36
|
|
49,466
|
51,263,758
|
|
3.90%, 01/23/49
|
|
2,812
|
2,220,614
|
|
3.11%, 04/22/51
|
|
7,803
|
5,250,578
|
|
KeyBank N.A., 5.00%, 01/26/33
|
|
14,304
|
14,115,081
|
|
Lehman Brothers Holdings Capital Trust VII,
5.86% (g)(h)(m)(n)
|
|
1,888
|
—
|
|
Texas Capital Bancshares, Inc., 4.00%, 05/06/31
|
|
4,001
|
3,883,372
|
|
Washington Mutual Escrow Bonds
|
|
|
|
|
0.00%(g)(h)(m)(n)
|
|
13,308
|
1
|
|
0.00%(g)(h)(m)(n)
|
|
11,911
|
1
|
|
0.00%, 12/31/49(g)(h)(m)(n)
|
|
2,570
|
—
|
|
0.00%, 12/31/49(g)(h)(m)(n)
|
|
3,115
|
—
|
|
Wells Fargo & Co.
|
|
|
|
|
3.00%, 10/23/26
|
|
946
|
929,786
|
|
5.71%, 04/22/28
|
|
921
|
941,000
|
|
5.24%, 01/24/31
|
|
6,352
|
6,516,120
|
|
3.35%, 03/02/33
|
|
8,678
|
7,925,183
|
|
4.90%, 07/25/33
|
|
12,448
|
12,450,420
|
|
5.39%, 04/24/34
|
|
7,163
|
7,329,519
|
|
6.49%, 10/23/34
|
|
1,104
|
1,206,706
|
|
5.50%, 01/23/35
|
|
6,299
|
6,459,737
|
|
5.61%, 04/23/36
|
|
949
|
979,576
|
|
3.90%, 05/01/45
|
|
1,232
|
978,728
|
|
4.61%, 04/25/53
|
|
5,695
|
4,853,356
|
|
Series W, 4.90%, 01/24/28
|
|
4,526
|
4,558,773
|
|
|
|
|
638,244,750
|
|
Biotechnology — 0.0%
|
|||
|
Amgen, Inc.
|
|
|
|
|
3.38%, 02/21/50
|
|
1,396
|
981,996
|
|
2.77%, 09/01/53
|
|
3,892
|
2,308,056
|
|
4.40%, 02/22/62
|
|
5,397
|
4,212,737
|
|
|
|
|
7,502,789
|
|
Broadline Retail — 0.1%
|
|||
|
Prosus NV, 4.19%, 01/19/32(e)
|
|
9,251
|
8,664,947
|
|
Rakuten Group, Inc., 9.75%, 04/15/29(e)
|
|
14,000
|
15,335,302
|
|
|
|
|
24,000,249
|
|
Building Products — 0.0%
|
|||
|
STL Holding Co. LLC, 8.75%, 02/15/29(a)
|
|
1,232
|
1,287,104
|
|
Capital Markets — 2.2%
|
|||
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
|
1.54%, 09/10/27
|
|
21,018
|
20,293,036
|
|
4.94%, 04/23/28
|
|
41,622
|
41,946,398
|
|
4.22%, 05/01/29
|
|
16,993
|
16,896,130
|
|
2.60%, 02/07/30
|
|
3,369
|
3,113,545
|
|
3.80%, 03/15/30
|
|
1,107
|
1,080,283
|
|
5.73%, 04/25/30
|
|
898
|
934,777
|
|
5.05%, 07/23/30
|
|
22,579
|
22,953,908
|
|
4.69%, 10/23/30
|
|
12,001
|
12,037,046
|
|
5.22%, 04/23/31
|
|
10,824
|
11,096,456
|
|
2.62%, 04/22/32
|
|
4,735
|
4,208,719
|
|
2.65%, 10/21/32
|
|
28,185
|
24,905,684
|
|
3.10%, 02/24/33
|
|
5,690
|
5,121,265
|
|
6.56%, 10/24/34
|
|
844
|
933,233
|
|
5.33%, 07/23/35
|
|
9,412
|
9,493,830
|
|
5.02%, 10/23/35
|
|
1,944
|
1,920,486
|
|
5.54%, 01/28/36
|
|
914
|
937,296
|
|
5.56%, 11/19/45
|
|
4,082
|
4,018,883
|
|
Lehman Brothers Holdings, Inc., 6.75%,
12/28/17(g)(h)(n)
|
|
7,360
|
1
|
|
Security
|
|
Par
(000)
|
Value
|
|
Capital Markets (continued)
|
|||
|
Morgan Stanley
|
|
|
|
|
1.59%, 05/04/27
|
USD
|
7,829
|
$ 7,639,938
|
|
3.77%, 01/24/29
|
|
12,751
|
12,568,954
|
|
4.99%, 04/12/29
|
|
31,007
|
31,458,070
|
|
5.16%, 04/20/29
|
|
19,626
|
20,010,672
|
|
6.41%, 11/01/29
|
|
5,568
|
5,897,747
|
|
5.66%, 04/18/30
|
|
16,941
|
17,596,799
|
|
5.04%, 07/19/30
|
|
27,618
|
28,087,215
|
|
4.65%, 10/18/30
|
|
4,066
|
4,073,756
|
|
5.23%, 01/15/31
|
|
19,983
|
20,456,458
|
|
2.70%, 01/22/31
|
|
2,086
|
1,923,535
|
|
1.79%, 02/13/32
|
|
28,339
|
24,245,284
|
|
1.93%, 04/28/32
|
|
2,701
|
2,309,328
|
|
2.24%, 07/21/32
|
|
29,818
|
25,820,826
|
|
2.94%, 01/21/33
|
|
7,726
|
6,895,410
|
|
5.25%, 04/21/34
|
|
4,267
|
4,340,598
|
|
5.59%, 01/18/36
|
|
12,004
|
12,322,286
|
|
Nomura Holdings, Inc., 06/29/35(f)
|
|
1,000
|
1,005,944
|
|
|
|
|
408,543,796
|
|
Chemicals — 0.2%
|
|||
|
OCP SA, 6.75%, 05/02/34(e)
|
|
6,785
|
7,019,354
|
|
Olympus Water U.S. Holding Corp.
|
|
|
|
|
7.13%, 10/01/27(a)
|
|
359
|
365,561
|
|
9.75%, 11/15/28(a)
|
|
2,149
|
2,262,961
|
|
Orbia Advance Corp. SAB de CV, 6.80%,
05/13/30(a)
|
|
8,739
|
8,953,106
|
|
Pioneer Midco, (10.50% PIK), 10.50%,
11/18/30(a)(c)(g)(o)
|
|
8,362
|
8,476,944
|
|
Sasol Financing U.S.A. LLC, 8.75%, 05/03/29(e)
|
|
6,988
|
6,893,382
|
|
|
|
|
33,971,308
|
|
Commercial Services & Supplies — 0.0%
|
|||
|
Covanta Holding Corp., 4.88%, 12/01/29(a)
|
|
585
|
556,536
|
|
Pitney Bowes, Inc., 6.88%, 03/15/27(a)
|
|
6,435
|
6,493,559
|
|
|
|
|
7,050,095
|
|
Construction & Engineering — 0.1%
|
|||
|
China City Construction International Co. Ltd.,
0.00%, 07/03/17(e)(g)(h)(n)
|
CNH
|
340
|
—
|
|
IHS Holding Ltd., 8.25%, 11/29/31(e)
|
USD
|
6,943
|
7,008,125
|
|
IRB Infrastructure Developers Ltd., 7.11%,
03/11/32(e)
|
|
14,000
|
14,039,375
|
|
|
|
|
21,047,500
|
|
Construction Materials — 0.0%
|
|||
|
Sonder Holdings, Inc. PIK, 7.00%, 12/10/27(g)
|
|
10,601
|
9,090,785
|
|
Consumer Finance — 0.7%
|
|||
|
General Motors Financial Co., Inc., 5.95%,
04/04/34
|
|
10,313
|
10,459,663
|
|
Kaspi.KZ JSC, 6.25%, 03/26/30(e)
|
|
8,625
|
8,678,924
|
|
OneMain Finance Corp., 7.13%, 11/15/31
|
|
125
|
130,059
|
|
Synchrony Financial
|
|
|
|
|
3.95%, 12/01/27
|
|
1,984
|
1,950,916
|
|
5.15%, 03/19/29
|
|
8,746
|
8,781,308
|
|
5.94%, 08/02/30
|
|
23,420
|
24,063,556
|
|
5.45%, 03/06/31
|
|
34,996
|
35,301,119
|
|
2.88%, 10/28/31
|
|
23,937
|
20,768,703
|
|
7.25%, 02/02/33
|
|
20,312
|
21,253,351
|
|
|
|
|
131,387,599
|
|
Consumer Staples Distribution & Retail — 0.0%
|
|||
|
CK Hutchison International 23 Ltd., 4.75%,
04/21/28(e)
|
|
640
|
645,184
|
|
Security
|
|
Par
(000)
|
Value
|
|
Consumer Staples Distribution & Retail (continued)
|
|||
|
CVS Health Corp.
|
|
|
|
|
6.13%, 09/15/39
|
USD
|
1,843
|
$ 1,889,580
|
|
4.13%, 04/01/40
|
|
1,287
|
1,074,484
|
|
6.00%, 06/01/44
|
|
3,615
|
3,573,070
|
|
5.13%, 07/20/45
|
|
1,497
|
1,325,765
|
|
|
|
|
8,508,083
|
|
Containers & Packaging — 0.1%
|
|||
|
Ardagh Packaging Finance PLC/Ardagh Holdings
U.S.A., Inc., 4.13%, 08/15/26(a)
|
|
10,163
|
9,541,736
|
|
Mauser Packaging Solutions Holding Co.,
Series A, 7.88%, 04/15/27(a)
|
|
1,148
|
1,166,818
|
|
Toucan FinCo Ltd./Toucan FinCo Can,
Inc./Toucan FinCo U.S. LLC, 9.50%,
05/15/30(a)
|
|
3,818
|
3,902,827
|
|
|
|
|
14,611,381
|
|
Diversified REITs — 1.4%
|
|||
|
American Tower Corp.
|
|
|
|
|
3.95%, 03/15/29
|
|
1,687
|
1,651,477
|
|
1.88%, 10/15/30
|
|
6,764
|
5,879,502
|
|
2.70%, 04/15/31
|
|
2,086
|
1,870,620
|
|
5.45%, 02/15/34
|
|
24,084
|
24,797,340
|
|
Crown Castle, Inc.
|
|
|
|
|
4.90%, 09/01/29
|
|
2,288
|
2,308,587
|
|
2.25%, 01/15/31
|
|
1,760
|
1,531,139
|
|
2.50%, 07/15/31
|
|
4,857
|
4,238,102
|
|
Equinix, Inc.
|
|
|
|
|
2.50%, 05/15/31
|
|
17,653
|
15,640,231
|
|
3.90%, 04/15/32
|
|
18,260
|
17,294,457
|
|
2.95%, 09/15/51
|
|
1,547
|
953,613
|
|
3.40%, 02/15/52
|
|
5,153
|
3,447,191
|
|
GLP Capital LP/GLP Financing II, Inc.
|
|
|
|
|
5.30%, 01/15/29
|
|
3,702
|
3,743,048
|
|
4.00%, 01/15/30
|
|
7,631
|
7,333,324
|
|
4.00%, 01/15/31
|
|
8,817
|
8,310,487
|
|
3.25%, 01/15/32
|
|
16,648
|
14,652,146
|
|
6.25%, 09/15/54
|
|
12,957
|
12,647,989
|
|
Trust Fibra Uno, 7.70%, 01/23/32(e)
|
|
8,211
|
8,557,402
|
|
VICI Properties LP
|
|
|
|
|
4.75%, 02/15/28
|
|
13,125
|
13,196,983
|
|
4.75%, 04/01/28
|
|
2,384
|
2,403,500
|
|
4.95%, 02/15/30
|
|
17,121
|
17,221,160
|
|
5.13%, 11/15/31
|
|
10,539
|
10,552,078
|
|
5.13%, 05/15/32
|
|
12,499
|
12,452,989
|
|
VICI Properties LP/VICI Note Co., Inc.
|
|
|
|
|
4.25%, 12/01/26(a)
|
|
11,134
|
11,066,113
|
|
3.75%, 02/15/27(a)
|
|
6,471
|
6,371,820
|
|
3.88%, 02/15/29(a)
|
|
13,926
|
13,471,413
|
|
4.63%, 12/01/29(a)
|
|
20,919
|
20,551,618
|
|
4.13%, 08/15/30(a)
|
|
18,074
|
17,347,768
|
|
|
|
|
259,492,097
|
|
Diversified Telecommunication Services — 0.7%
|
|||
|
AT&T Inc.
|
|
|
|
|
5.45%, 03/01/47
|
|
1,917
|
1,822,344
|
|
4.50%, 03/09/48
|
|
11,215
|
9,333,480
|
|
4.55%, 03/09/49
|
|
1,749
|
1,446,592
|
|
5.15%, 02/15/50
|
|
1,181
|
1,062,272
|
|
3.50%, 09/15/53
|
|
4,022
|
2,722,320
|
|
3.55%, 09/15/55
|
|
1,409
|
950,720
|
|
6.05%, 08/15/56
|
|
924
|
942,958
|
|
5.70%, 03/01/57
|
|
1,393
|
1,341,910
|
|
3.80%, 12/01/57
|
|
8,388
|
5,869,094
|
|
Security
|
|
Par
(000)
|
Value
|
|
Diversified Telecommunication Services (continued)
|
|||
|
AT&T Inc.
|
|
|
|
|
3.65%, 09/15/59
|
USD
|
26,934
|
$ 18,070,132
|
|
3.85%, 06/01/60
|
|
12,425
|
8,687,781
|
|
Connect Finco Sarl/Connect U.S. Finco LLC,
9.00%, 09/15/29(a)
|
|
1,213
|
1,219,220
|
|
Digicel Intermediate Holdings Ltd./Digicel
International Finance Ltd./Difl U.S., (12.00%
PIK), 12.00%, 05/25/27(o)
|
|
567
|
572,243
|
|
Frontier Communications Holdings LLC
|
|
|
|
|
5.00%, 05/01/28(a)
|
|
12,915
|
12,909,563
|
|
5.88%, 11/01/29
|
|
8,615
|
8,701,099
|
|
8.63%, 03/15/31(a)
|
|
4,657
|
4,948,099
|
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28
|
|
4,835
|
5,030,497
|
|
Frontier North, Inc., Series G, 6.73%, 02/15/28
|
|
1,500
|
1,533,960
|
|
Level 3 Financing, Inc., 10.00%, 10/15/32(a)
|
|
946
|
955,170
|
|
Telecom Argentina SA, 9.25%, 05/28/33(a)
|
|
6,827
|
6,947,558
|
|
Turk Telekomunikasyon AS, 7.38%, 05/20/29(e)
|
|
6,840
|
6,974,680
|
|
Verizon Communications, Inc.
|
|
|
|
|
1.50%, 09/18/30
|
|
7,027
|
6,069,388
|
|
4.40%, 11/01/34
|
|
10,495
|
9,960,525
|
|
5.40%, 07/02/37(a)
|
|
2,202
|
2,215,277
|
|
WOM Chile Holdco SpA, (5.00% PIK), 5.00%,
04/01/32(a)(o)(p)
|
|
4,938
|
4,879,371
|
|
WOM Mobile SA, (12.50% PIK), 11.00%,
04/01/31(a)(o)
|
|
1,397
|
1,374,049
|
|
Zayo Group Holdings, Inc., 4.00%, 03/01/27(a)
|
|
498
|
467,013
|
|
|
|
|
127,007,315
|
|
Electric Utilities — 3.0%
|
|||
|
AEP Texas, Inc.
|
|
|
|
|
5.40%, 06/01/33
|
|
2,113
|
2,143,462
|
|
3.80%, 10/01/47
|
|
2,473
|
1,808,622
|
|
3.45%, 05/15/51
|
|
2,879
|
1,931,753
|
|
Series G, 4.15%, 05/01/49
|
|
1,090
|
825,422
|
|
Series H, 3.45%, 01/15/50
|
|
2,823
|
1,911,270
|
|
AEP Transmission Co. LLC
|
|
|
|
|
5.38%, 06/15/35
|
|
1,390
|
1,420,246
|
|
3.75%, 12/01/47
|
|
4,846
|
3,668,873
|
|
3.80%, 06/15/49
|
|
1,262
|
941,725
|
|
3.15%, 09/15/49
|
|
1,476
|
984,439
|
|
Series N, 2.75%, 08/15/51
|
|
4,185
|
2,560,137
|
|
AES Andes SA, 6.30%, 03/15/29(e)
|
|
3,663
|
3,748,916
|
|
Alabama Power Co.
|
|
|
|
|
3.85%, 12/01/42
|
|
1,106
|
889,061
|
|
4.30%, 01/02/46
|
|
1,946
|
1,628,658
|
|
Baltimore Gas & Electric Co., 3.75%, 08/15/47
|
|
1,917
|
1,452,161
|
|
Continuum Energy Aura Pte Ltd., 9.50%,
02/24/27(e)
|
|
8,000
|
8,230,000
|
|
Continuum Green Energy India Pvt/Co-Issuers,
7.50%, 06/26/33(e)
|
|
9,645
|
9,922,294
|
|
Diamond II Ltd., 7.95%, 07/28/26(e)
|
|
14,000
|
14,113,400
|
|
Dominion Energy South Carolina, Inc.,
Series 2025, 5.30%, 01/15/35
|
|
1,100
|
1,124,563
|
|
Duke Energy Carolinas LLC
|
|
|
|
|
3.75%, 06/01/45
|
|
2,487
|
1,930,050
|
|
3.70%, 12/01/47
|
|
5,364
|
4,035,259
|
|
3.95%, 03/15/48
|
|
2,643
|
2,062,423
|
|
3.20%, 08/15/49
|
|
4,688
|
3,167,478
|
|
3.55%, 03/15/52
|
|
2,836
|
2,044,430
|
|
5.35%, 01/15/53
|
|
3,399
|
3,258,999
|
|
Duke Energy Corp.
|
|
|
|
|
3.95%, 08/15/47
|
|
3,057
|
2,297,167
|
|
4.20%, 06/15/49
|
|
1,211
|
940,753
|
|
Security
|
|
Par
(000)
|
Value
|
|
Electric Utilities (continued)
|
|||
|
Duke Energy Corp.
|
|
|
|
|
5.00%, 08/15/52
|
USD
|
8,504
|
$ 7,455,490
|
|
5.80%, 06/15/54
|
|
19,104
|
18,653,067
|
|
Duke Energy Florida LLC
|
|
|
|
|
4.20%, 07/15/48
|
|
1,916
|
1,534,836
|
|
3.00%, 12/15/51
|
|
782
|
493,875
|
|
Duke Energy Ohio, Inc.
|
|
|
|
|
2.13%, 06/01/30
|
|
3,475
|
3,128,878
|
|
5.25%, 04/01/33
|
|
1,527
|
1,572,635
|
|
5.55%, 03/15/54
|
|
5,478
|
5,351,622
|
|
Duke Energy Progress LLC
|
|
|
|
|
5.05%, 03/15/35
|
|
3,469
|
3,483,698
|
|
3.70%, 10/15/46
|
|
3,457
|
2,609,397
|
|
2.50%, 08/15/50
|
|
5,236
|
3,029,514
|
|
4.00%, 04/01/52
|
|
4,209
|
3,229,469
|
|
5.35%, 03/15/53
|
|
7,886
|
7,498,800
|
|
5.55%, 03/15/55
|
|
2,815
|
2,751,481
|
|
FIEMEX Energia - Banco Actinver SA Institucion
de Banca Multiple, 7.25%, 01/31/41(a)
|
|
1,114
|
1,125,837
|
|
FirstEnergy Corp.
|
|
|
|
|
2.65%, 03/01/30
|
|
4,330
|
3,975,720
|
|
Series B, 3.90%, 07/15/27
|
|
9,566
|
9,458,747
|
|
Series C, 4.85%, 07/15/47
|
|
15,086
|
12,818,938
|
|
Series C, 3.40%, 03/01/50
|
|
33,801
|
22,907,948
|
|
FirstEnergy Transmission LLC
|
|
|
|
|
5.00%, 01/15/35
|
|
23,391
|
23,139,259
|
|
4.55%, 04/01/49(a)
|
|
14,357
|
12,169,049
|
|
Florida Power & Light Co.
|
|
|
|
|
3.70%, 12/01/47
|
|
3,475
|
2,640,333
|
|
3.99%, 03/01/49
|
|
6,246
|
4,917,093
|
|
3.15%, 10/01/49
|
|
5,738
|
3,877,086
|
|
5.80%, 03/15/65
|
|
1,829
|
1,854,497
|
|
Georgia Power Co.
|
|
|
|
|
4.85%, 03/15/31
|
|
4,674
|
4,775,403
|
|
4.70%, 05/15/32
|
|
5,947
|
5,945,844
|
|
5.13%, 05/15/52
|
|
10,389
|
9,708,827
|
|
Series A, 3.25%, 03/15/51
|
|
1,343
|
920,691
|
|
India Green Power Holdings, 4.00%, 02/22/27(e)
|
|
7,299
|
7,071,266
|
|
JSW Hydro Energy Ltd., 4.13%, 05/18/31(e)
|
|
11,360
|
10,394,400
|
|
MidAmerican Energy Co., 3.15%, 04/15/50
|
|
3,411
|
2,301,227
|
|
Mong Duong Finance Holdings BV, 5.13%,
05/07/29(e)
|
|
8,842
|
8,624,268
|
|
MVM Energetika Zrt, 6.50%, 03/13/31(e)
|
|
8,364
|
8,661,967
|
|
NRG Energy, Inc.
|
|
|
|
|
4.45%, 06/15/29(a)
|
|
4,863
|
4,784,343
|
|
7.00%, 03/15/33(a)
|
|
32,423
|
35,590,565
|
|
Ohio Power Co.
|
|
|
|
|
4.00%, 06/01/49
|
|
2,212
|
1,676,440
|
|
Series P, 2.60%, 04/01/30
|
|
2,332
|
2,146,560
|
|
Series R, 2.90%, 10/01/51
|
|
6,843
|
4,178,338
|
|
Pacific Gas & Electric Co.
|
|
|
|
|
6.15%, 01/15/33
|
|
907
|
934,169
|
|
6.40%, 06/15/33
|
|
3,466
|
3,623,051
|
|
4.50%, 07/01/40
|
|
10,245
|
8,536,408
|
|
3.30%, 08/01/40
|
|
7,852
|
5,617,289
|
|
3.75%, 08/15/42
|
|
1,297
|
924,605
|
|
4.75%, 02/15/44
|
|
1,290
|
1,046,658
|
|
4.95%, 07/01/50
|
|
30,983
|
24,972,542
|
|
3.50%, 08/01/50
|
|
1,055
|
676,450
|
|
5.25%, 03/01/52
|
|
4,819
|
4,009,502
|
|
6.75%, 01/15/53
|
|
10,912
|
10,979,058
|
|
6.70%, 04/01/53
|
|
11,091
|
11,121,059
|
|
Security
|
|
Par
(000)
|
Value
|
|
Electric Utilities (continued)
|
|||
|
Pacific Gas & Electric Co.
|
|
|
|
|
5.90%, 10/01/54
|
USD
|
5,906
|
$ 5,354,649
|
|
6.15%, 03/01/55
|
|
1,413
|
1,318,355
|
|
PECO Energy Co.
|
|
|
|
|
3.90%, 03/01/48
|
|
1,211
|
944,690
|
|
2.85%, 09/15/51
|
|
7,028
|
4,425,811
|
|
4.60%, 05/15/52
|
|
2,696
|
2,305,826
|
|
PG&E Corp., 5.25%, 07/01/30
|
|
24,145
|
23,001,550
|
|
Pinnacle West Capital Corp., 5.15%, 05/15/30
|
|
11,338
|
11,606,467
|
|
Southern Co. (The)
|
|
|
|
|
5.20%, 06/15/33
|
|
2,145
|
2,182,423
|
|
5.70%, 03/15/34
|
|
888
|
927,936
|
|
4.85%, 03/15/35
|
|
12,946
|
12,655,531
|
|
Vistra Operations Co. LLC
|
|
|
|
|
5.05%, 12/30/26(a)
|
|
4,530
|
4,552,147
|
|
6.95%, 10/15/33(a)
|
|
32,411
|
35,590,033
|
|
6.00%, 04/15/34(a)
|
|
14,213
|
14,759,632
|
|
5.70%, 12/30/34(a)
|
|
23,235
|
23,660,175
|
|
|
|
|
561,224,985
|
|
Electrical Equipment — 0.0%
|
|||
|
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.,
2.50%, 05/11/31
|
|
1,887
|
1,655,720
|
|
Energy Equipment & Services — 0.1%
|
|||
|
New Generation Gas Gathering LLC, (3-mo. CME
Term SOFR at 2.00% Floor + 5.75%), 10.34%,
09/30/29(a)(b)(g)
|
|
9,000
|
8,932,285
|
|
Solaris Energy Infrastructure, Inc., 4.75%,
05/01/30(a)(p)
|
|
4,635
|
6,184,828
|
|
Transocean, Inc., 8.25%, 05/15/29(a)
|
|
1,674
|
1,547,683
|
|
Venture Global LNG, Inc., 7.00%, 01/15/30(a)
|
|
428
|
432,671
|
|
|
|
|
17,097,467
|
|
Financial Services — 0.8%
|
|||
|
Acropolis Trade & Investments Ltd. PIK, 11.04%,
04/02/28(a)(g)
|
|
17,425
|
17,773,500
|
|
Andiron Financing LLC, (1-mo. CME Term SOFR
+ 3.00%), 7.31%, 01/21/30(b)(g)
|
|
880
|
880,000
|
|
AT&T Reign II Multi-Property Lease-Backed Pass-
Through Trust, 6.09%, 12/15/44(a)
|
|
21,025
|
21,036,448
|
|
Block, Inc., 3.50%, 06/01/31
|
|
3,297
|
3,024,234
|
|
Clydesdale Acquisition Holdings, Inc., 8.75%,
04/15/30(a)
|
|
1,306
|
1,335,808
|
|
Envalior Deutschland Gmbh, (6-mo. EURIBOR at
0.00% Floor + 9.50%) (12.66% Cash or
12.66% PIK), 12.63%, 04/01/31(b)(g)(o)
|
EUR
|
10,895
|
11,806,575
|
|
Glencore Funding LLC
|
|
|
|
|
2.50%, 09/01/30(a)
|
USD
|
8,204
|
7,392,103
|
|
2.85%, 04/27/31(a)
|
|
6,464
|
5,827,882
|
|
2.63%, 09/23/31(a)
|
|
2,563
|
2,249,925
|
|
Homes By West Bay LLC, 11.00%, 02/06/30(g)
|
|
21,604
|
21,632,085
|
|
Lessen LLC, (3-mo. CME Term SOFR + 8.50%),
12.79%, 01/05/28(a)(b)(g)
|
|
11,539
|
10,631,022
|
|
Minejesa Capital BV, 5.63%, 08/10/37(e)
|
|
22,324
|
21,361,277
|
|
Oceana A 4Yr Note Upsize, 10.50%, 07/31/28(g)
|
AUD
|
4,228
|
2,821,059
|
|
Oceana Australian Fixed Income Trust
|
|
|
|
|
12.00%, 08/31/25(g)
|
|
2,009
|
1,323,942
|
|
12.50%, 08/31/26(g)
|
|
3,013
|
2,032,581
|
|
12.50%, 08/31/27(g)
|
|
5,022
|
3,466,524
|
|
Sun Country Airlines
|
|
|
|
|
Series 2019-1B, 4.70%, 12/15/25(g)
|
USD
|
568
|
563,356
|
|
Series 2022-1A, 4.84%, 03/15/31(g)
|
|
3,298
|
3,219,438
|
|
SURA Asset Management SA, 6.35%, 05/13/32(a)
|
|
4,074
|
4,287,478
|
|
Security
|
|
Par
(000)
|
Value
|
|
Financial Services (continued)
|
|||
|
United Wholesale Mortgage LLC, 5.50%,
04/15/29(a)
|
USD
|
75
|
$ 72,799
|
|
UWM Holdings LLC, 6.63%, 02/01/30(a)
|
|
1,497
|
1,498,547
|
|
|
|
|
144,236,583
|
|
Food Products — 0.0%
|
|||
|
Pilgrim’s Pride Corp., 6.25%, 07/01/33
|
|
3,142
|
3,321,974
|
|
Ground Transportation — 0.1%
|
|||
|
DP World Ltd., 6.85%, 07/02/37(e)
|
|
7,830
|
8,542,041
|
|
Union Pacific Railroad Co. Pass-Through Trust,
Series 2014-1, 3.23%, 05/14/26
|
|
2,023
|
1,999,135
|
|
|
|
|
10,541,176
|
|
Health Care Equipment & Supplies — 0.1%
|
|||
|
Becton Dickinson & Co., 4.67%, 06/06/47
|
|
1,595
|
1,367,842
|
|
Solventum Corp.
|
|
|
|
|
5.45%, 02/25/27
|
|
2,088
|
2,122,064
|
|
5.40%, 03/01/29
|
|
1,373
|
1,413,868
|
|
5.60%, 03/23/34
|
|
11,651
|
11,990,577
|
|
|
|
|
16,894,351
|
|
Health Care Providers & Services — 0.5%
|
|||
|
Elevance Health, Inc.
|
|
|
|
|
4.38%, 12/01/47
|
|
3,403
|
2,781,473
|
|
3.60%, 03/15/51
|
|
3,954
|
2,782,738
|
|
6.10%, 10/15/52
|
|
1,971
|
2,008,584
|
|
5.70%, 02/15/55
|
|
1,569
|
1,520,445
|
|
HCA, Inc.
|
|
|
|
|
3.50%, 09/01/30
|
|
16,202
|
15,321,145
|
|
5.45%, 04/01/31
|
|
16,041
|
16,540,491
|
|
5.45%, 09/15/34
|
|
11,481
|
11,580,360
|
|
5.75%, 03/01/35
|
|
17,190
|
17,677,735
|
|
3.50%, 07/15/51
|
|
2,099
|
1,390,430
|
|
6.20%, 03/01/55
|
|
10,665
|
10,740,960
|
|
6.10%, 04/01/64
|
|
2,958
|
2,884,655
|
|
Select Medical Corp., 6.25%, 12/01/32(a)
|
|
2,676
|
2,691,978
|
|
|
|
|
87,920,994
|
|
Hotel & Resort REITs — 0.1%
|
|||
|
Park Intermediate Holdings LLC/PK Domestic
Property LLC/PK Finance Co-Issuer, 4.88%,
05/15/29(a)
|
|
1,876
|
1,817,665
|
|
Service Properties Trust
|
|
|
|
|
5.50%, 12/15/27
|
|
397
|
393,347
|
|
8.38%, 06/15/29
|
|
5,709
|
5,937,857
|
|
8.88%, 06/15/32
|
|
6,194
|
6,369,030
|
|
XHR LP, 4.88%, 06/01/29(a)
|
|
289
|
280,085
|
|
|
|
|
14,797,984
|
|
Hotels, Restaurants & Leisure — 0.5%
|
|||
|
Affinity Interactive, 6.88%, 12/15/27(a)
|
|
617
|
378,684
|
|
Full House Resorts, Inc., 8.25%, 02/15/28(a)
|
|
562
|
546,081
|
|
HR Ottawa LP, 11.00%, 03/31/31(a)
|
|
23,577
|
25,619,798
|
|
Melco Resorts Finance Ltd.
|
|
|
|
|
5.63%, 07/17/27(e)
|
|
8,000
|
7,980,000
|
|
5.75%, 07/21/28(e)
|
|
8,000
|
7,827,040
|
|
MGM China Holdings Ltd., 7.13%, 06/26/31(e)
|
|
14,000
|
14,490,000
|
|
MGM Resorts International, 6.50%, 04/15/32
|
|
93
|
94,517
|
|
Midwest Gaming Borrower LLC/Midwest Gaming
Finance Corp., 4.88%, 05/01/29(a)
|
|
1,349
|
1,299,446
|
|
Minor International PCL, 2.70% (e)(m)
|
|
500
|
487,290
|
|
REXLot Holdings Ltd., 4.50%,
04/17/19(e)(g)(h)(n)(p)
|
HKD
|
1,161
|
—
|
|
Sands China Ltd., 5.40%, 08/08/28
|
USD
|
300
|
301,395
|
|
Studio City Co. Ltd., 7.00%, 02/15/27(e)
|
|
9,800
|
9,818,473
|
|
Security
|
|
Par
(000)
|
Value
|
|
Hotels, Restaurants & Leisure (continued)
|
|||
|
Wynn Macau Ltd.
|
|
|
|
|
5.50%, 10/01/27(e)
|
USD
|
8,000
|
$ 7,940,000
|
|
5.63%, 08/26/28(e)
|
|
8,000
|
7,846,000
|
|
|
|
|
84,628,724
|
|
Household Durables — 0.2%
|
|||
|
Ashton Woods U.S.A. LLC/Ashton Woods
Finance Co.
|
|
|
|
|
6.63%, 01/15/28(a)
|
|
3,130
|
3,142,924
|
|
4.63%, 08/01/29(a)
|
|
430
|
410,650
|
|
4.63%, 04/01/30(a)
|
|
1,180
|
1,122,115
|
|
Beazer Homes U.S.A., Inc., 7.25%, 10/15/29
|
|
3,721
|
3,756,156
|
|
Brookfield Residential Properties, Inc./Brookfield
Residential U.S. LLC, 5.00%, 06/15/29(a)
|
|
742
|
675,278
|
|
Century Communities, Inc., 6.75%, 06/01/27
|
|
249
|
249,359
|
|
DR Horton, Inc.
|
|
|
|
|
5.00%, 10/15/34
|
|
10,152
|
10,036,719
|
|
5.50%, 10/15/35
|
|
2,394
|
2,437,702
|
|
LGI Homes, Inc.
|
|
|
|
|
8.75%, 12/15/28(a)
|
|
1,568
|
1,629,997
|
|
7.00%, 11/15/32(a)
|
|
1,816
|
1,728,378
|
|
Mattamy Group Corp.
|
|
|
|
|
5.25%, 12/15/27(a)
|
|
1,074
|
1,068,833
|
|
4.63%, 03/01/30(a)
|
|
1,691
|
1,625,290
|
|
Weekley Homes LLC/Weekley Finance Corp.,
4.88%, 09/15/28(a)
|
|
1,032
|
999,576
|
|
|
|
|
28,882,977
|
|
Independent Power and Renewable Electricity Producers — 0.4%
|
|||
|
Clean Renewable Power Mauritius Pte Ltd.,
4.25%, 03/25/27(e)
|
|
6,440
|
6,238,750
|
|
Continuum Energy Pte Ltd., (12.85% Cash &
7.85% PIK), 5.00%, 09/13/27(a)(g)(o)
|
|
9,978
|
9,978,136
|
|
Greenko Dutch BV, 3.85%, 03/29/26(e)
|
|
7,040
|
6,902,720
|
|
Greenko Power II Ltd., 4.30%, 12/13/28(e)
|
|
6,380
|
5,989,991
|
|
Greenko Wind Projects Mauritius Ltd., 7.25%,
09/27/28(e)
|
|
13,199
|
13,304,592
|
|
India Clean Energy Holdings, 4.50%, 04/18/27(e)
|
|
14,000
|
13,503,000
|
|
India Cleantech Energy, 4.70%, 08/10/26(e)
|
|
6,320
|
6,217,300
|
|
ReNew Pvt Ltd., 5.88%, 03/05/27(e)
|
|
14,000
|
13,885,900
|
|
SCC Power PLC
|
|
|
|
|
(8.00% Cash or 4.00% Cash and 4.00% PIK),
8.00%, 12/31/28(a)(o)
|
|
1,792
|
1,160,580
|
|
(4.00% Cash or 4.00% PIK), 4.00%,
05/17/32(a)(o)
|
|
494
|
98,737
|
|
Star Energy Geothermal Wayang Windu Ltd.,
6.75%, 04/24/33(e)
|
|
2,744
|
2,795,613
|
|
Stem, Inc., 0.50%, 12/01/28(a)(p)
|
|
622
|
150,835
|
|
|
|
|
80,226,154
|
|
Insurance — 0.0%
|
|||
|
Ambac Assurance Corp., 5.10% (a)(m)
|
|
462
|
623,974
|
|
FWD Group Holdings Ltd., 8.40%, 04/05/29(e)
|
|
1,400
|
1,440,985
|
|
|
|
|
2,064,959
|
|
Interactive Media & Services — 0.1%
|
|||
|
Meta Platforms, Inc.
|
|
|
|
|
4.65%, 08/15/62
|
|
16,664
|
14,046,899
|
|
5.75%, 05/15/63
|
|
617
|
623,698
|
|
5.55%, 08/15/64
|
|
10,428
|
10,190,630
|
|
|
|
|
24,861,227
|
|
IT Services — 0.5%
|
|||
|
Foundry JV Holdco LLC
|
|
|
|
|
5.50%, 01/25/31(a)
|
|
7,542
|
7,735,801
|
|
Security
|
|
Par
(000)
|
Value
|
|
IT Services (continued)
|
|||
|
Foundry JV Holdco LLC
|
|
|
|
|
5.90%, 01/25/33(a)
|
USD
|
9,875
|
$ 10,237,225
|
|
6.20%, 01/25/37(a)
|
|
7,247
|
7,543,303
|
|
Gartner, Inc.
|
|
|
|
|
4.50%, 07/01/28(a)
|
|
37,510
|
37,118,969
|
|
3.63%, 06/15/29(a)
|
|
26,272
|
24,978,601
|
|
3.75%, 10/01/30(a)
|
|
5,443
|
5,093,333
|
|
Prime Investment Partners, 11.00%, 05/01/30(g)
|
|
5,385
|
5,374,529
|
|
|
|
|
98,081,761
|
|
Media — 1.2%
|
|||
|
AMC Networks, Inc.
|
|
|
|
|
10.25%, 01/15/29(a)
|
|
1,854
|
1,922,070
|
|
4.25%, 02/15/29
|
|
2,822
|
2,260,732
|
|
4.25%, 02/15/29(p)
|
|
1,097
|
921,480
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|
|
|
|
4.75%, 02/01/32(a)
|
|
221
|
209,624
|
|
4.50%, 05/01/32
|
|
8,351
|
7,776,809
|
|
4.25%, 01/15/34(a)
|
|
6,626
|
5,898,379
|
|
Charter Communications Operating LLC/Charter
Communications Operating Capital
|
|
|
|
|
6.65%, 02/01/34
|
|
1,385
|
1,483,114
|
|
6.55%, 06/01/34
|
|
8,298
|
8,853,616
|
|
6.38%, 10/23/35
|
|
14,935
|
15,686,356
|
|
3.50%, 03/01/42
|
|
693
|
494,143
|
|
5.38%, 05/01/47
|
|
2,082
|
1,806,990
|
|
5.75%, 04/01/48
|
|
8,998
|
8,182,356
|
|
4.80%, 03/01/50
|
|
15,373
|
12,299,450
|
|
3.70%, 04/01/51
|
|
6,020
|
4,009,984
|
|
3.90%, 06/01/52
|
|
17,262
|
11,847,080
|
|
5.25%, 04/01/53
|
|
2,623
|
2,228,480
|
|
3.85%, 04/01/61
|
|
25,660
|
16,439,676
|
|
4.40%, 12/01/61
|
|
6,810
|
4,775,075
|
|
3.95%, 06/30/62
|
|
9,023
|
5,813,667
|
|
5.50%, 04/01/63
|
|
1,142
|
965,645
|
|
Comcast Corp.
|
|
|
|
|
2.65%, 08/15/62
|
|
4,063
|
2,123,811
|
|
2.99%, 11/01/63
|
|
6,215
|
3,494,630
|
|
5.50%, 05/15/64
|
|
1,009
|
939,669
|
|
CSC Holdings LLC
|
|
|
|
|
5.50%, 04/15/27(a)
|
|
3,346
|
3,194,582
|
|
11.25%, 05/15/28(a)
|
|
773
|
770,091
|
|
11.75%, 01/31/29(a)
|
|
1,731
|
1,646,451
|
|
Discovery Communications LLC, 3.95%,
03/20/28
|
|
11,871
|
11,344,402
|
|
DISH Network Corp.
|
|
|
|
|
0.00%, 12/15/25(d)(p)
|
|
3,089
|
2,780,100
|
|
3.38%, 08/15/26(p)
|
|
892
|
740,806
|
|
OT Midco, Inc., 10.00%, 02/15/30(a)
|
|
3,103
|
2,394,744
|
|
Paramount Global
|
|
|
|
|
3.70%, 10/04/26
|
|
4,155
|
4,060,546
|
|
2.90%, 01/15/27
|
|
8,736
|
8,503,267
|
|
3.38%, 02/15/28
|
|
3,519
|
3,404,742
|
|
4.38%, 03/15/43
|
|
4,185
|
3,080,882
|
|
5.85%, 09/01/43
|
|
2,461
|
2,141,853
|
|
5.25%, 04/01/44
|
|
4,000
|
3,184,009
|
|
4.90%, 08/15/44
|
|
1,052
|
811,438
|
|
4.60%, 01/15/45
|
|
1,518
|
1,122,901
|
|
Warnermedia Holdings, Inc.
|
|
|
|
|
3.76%, 03/15/27
|
|
60,502
|
58,907,772
|
|
5.14%, 03/15/52(a)
|
|
363
|
224,153
|
|
|
|
|
228,745,575
|
|
Security
|
|
Par
(000)
|
Value
|
|
Metals & Mining — 0.2%
|
|||
|
Corp. Nacional del Cobre de Chile, 6.44%,
01/26/36(e)
|
USD
|
8,228
|
$ 8,585,918
|
|
Mineral Resources Ltd.
|
|
|
|
|
9.25%, 10/01/28(a)
|
|
839
|
858,639
|
|
8.50%, 05/01/30(a)
|
|
428
|
425,883
|
|
Periama Holdings LLC, 5.95%, 04/19/26(e)
|
|
425
|
424,749
|
|
Samarco Mineracao SA, (9.00% PIK), 9.50%,
06/30/31(e)(o)
|
|
7,108
|
6,970,248
|
|
Stillwater Mining Co., 4.50%, 11/16/29(e)
|
|
7,911
|
7,059,288
|
|
Vale Overseas Ltd., 6.40%, 06/28/54
|
|
8,815
|
8,616,751
|
|
Vedanta Resources Finance II PLC, 10.88%,
09/17/29(e)
|
|
6,746
|
6,986,205
|
|
Volcan Cia Minera SAA, 8.75%, 01/24/30(a)
|
|
179
|
177,322
|
|
|
|
|
40,105,003
|
|
Multi-Utilities — 0.0%
|
|||
|
Consumers Energy Co., 5.05%, 05/15/35
|
|
3,881
|
3,907,874
|
|
Oil, Gas & Consumable Fuels — 6.8%
|
|||
|
Antero Resources Corp.
|
|
|
|
|
7.63%, 02/01/29(a)
|
|
19,254
|
19,766,773
|
|
5.38%, 03/01/30(a)
|
|
40,064
|
40,320,329
|
|
BP Capital Markets America, Inc., 5.23%,
11/17/34
|
|
5,000
|
5,087,258
|
|
California Resources Corp., 8.25%, 06/15/29(a)
|
|
1,230
|
1,262,567
|
|
Cameron LNG LLC
|
|
|
|
|
3.30%, 01/15/35(a)
|
|
15,635
|
13,403,976
|
|
3.40%, 01/15/38(a)
|
|
8,998
|
7,666,579
|
|
Cheniere Corpus Christi Holdings LLC
|
|
|
|
|
5.13%, 06/30/27
|
|
18,860
|
19,036,796
|
|
2.74%, 12/31/39
|
|
21,789
|
17,733,742
|
|
Cheniere Energy Partners LP
|
|
|
|
|
4.00%, 03/01/31
|
|
19,597
|
18,648,148
|
|
3.25%, 01/31/32
|
|
15,456
|
13,855,319
|
|
5.95%, 06/30/33
|
|
8,912
|
9,302,660
|
|
5.75%, 08/15/34
|
|
18,836
|
19,344,015
|
|
10/30/35(a)(f)
|
|
4,940
|
4,978,839
|
|
Cheniere Energy, Inc., 5.65%, 04/15/34
|
|
43,661
|
44,716,707
|
|
Chesapeake Energy Corp., 6.13%,
02/15/21(g)(h)(n)
|
|
9,090
|
1
|
|
Civitas Resources, Inc.
|
|
|
|
|
5.00%, 10/15/26(a)
|
|
1,980
|
1,955,199
|
|
8.38%, 07/01/28(a)
|
|
1,810
|
1,853,279
|
|
8.63%, 11/01/30(a)
|
|
429
|
435,537
|
|
CNX Resources Corp., 7.25%, 03/01/32(a)
|
|
7,181
|
7,435,294
|
|
Crescent Energy Finance LLC, 7.38%,
01/15/33(a)
|
|
429
|
410,041
|
|
Crestwood Midstream Partners LP/Crestwood
Midstream Finance Corp., 7.38%, 02/01/31(a)
|
|
26,362
|
27,623,185
|
|
Diamondback Energy, Inc.
|
|
|
|
|
3.25%, 12/01/26
|
|
65,115
|
64,151,032
|
|
3.50%, 12/01/29
|
|
48,137
|
46,048,716
|
|
3.13%, 03/24/31
|
|
52,941
|
48,491,048
|
|
4.40%, 03/24/51
|
|
8,152
|
6,290,233
|
|
4.25%, 03/15/52
|
|
621
|
467,288
|
|
5.90%, 04/18/64
|
|
3,266
|
3,022,783
|
|
Enbridge, Inc., 4.90%, 06/20/30
|
|
922
|
931,233
|
|
Energy Transfer LP
|
|
|
|
|
5.00%, 05/15/50
|
|
7,093
|
5,927,409
|
|
5.95%, 05/15/54
|
|
4,889
|
4,650,893
|
|
6.05%, 09/01/54
|
|
6,516
|
6,262,362
|
|
EQM Midstream Partners LP, 6.50%, 07/01/27(a)
|
|
12,940
|
13,231,570
|
|
EQT Corp.
|
|
|
|
|
3.13%, 05/15/26(a)
|
|
12,370
|
12,179,523
|
|
Security
|
|
Par
(000)
|
Value
|
|
Oil, Gas & Consumable Fuels (continued)
|
|||
|
EQT Corp.
|
|
|
|
|
7.50%, 06/01/27(a)
|
USD
|
10,771
|
$ 10,966,967
|
|
6.50%, 07/01/27(a)
|
|
10,983
|
11,230,474
|
|
3.90%, 10/01/27
|
|
17,059
|
16,832,872
|
|
5.70%, 04/01/28
|
|
14,621
|
15,039,437
|
|
5.50%, 07/15/28(a)
|
|
1,498
|
1,521,176
|
|
4.50%, 01/15/29(a)
|
|
53,512
|
52,861,531
|
|
5.00%, 01/15/29
|
|
21,206
|
21,385,695
|
|
6.38%, 04/01/29(a)
|
|
19,095
|
19,696,390
|
|
7.00%, 02/01/30
|
|
21,484
|
23,289,502
|
|
7.50%, 06/01/30(a)
|
|
47,048
|
51,706,357
|
|
4.75%, 01/15/31(a)
|
|
73,153
|
72,002,591
|
|
3.63%, 05/15/31(a)
|
|
40,149
|
37,213,717
|
|
5.75%, 02/01/34
|
|
23,568
|
24,368,544
|
|
Expand Energy Corp.
|
|
|
|
|
6.63%, 08/15/20(g)(h)(n)
|
|
623
|
—
|
|
5.38%, 06/15/21(g)(h)(n)
|
|
425
|
—
|
|
5.38%, 02/01/29
|
|
18,382
|
18,399,108
|
|
5.88%, 02/01/29(a)
|
|
4,042
|
4,058,253
|
|
6.75%, 04/15/29(a)
|
|
15,516
|
15,701,742
|
|
5.38%, 03/15/30
|
|
9,615
|
9,641,960
|
|
4.75%, 02/01/32
|
|
20,784
|
20,210,069
|
|
5.70%, 01/15/35
|
|
45,511
|
46,159,941
|
|
Golar LNG Ltd., 2.75%, 12/15/30(a)(p)
|
|
817
|
837,425
|
|
Greensaif Pipelines Bidco Sarl, 5.85%,
02/23/36(e)
|
|
8,524
|
8,609,214
|
|
Hess Corp.
|
|
|
|
|
7.30%, 08/15/31
|
|
6,412
|
7,272,194
|
|
6.00%, 01/15/40
|
|
1,812
|
1,907,024
|
|
Kinder Morgan, Inc., 5.85%, 06/01/35
|
|
1,632
|
1,691,706
|
|
Medco Laurel Tree Pte Ltd., 6.95%, 11/12/28(e)
|
|
7,457
|
7,379,373
|
|
NGPL PipeCo LLC, 3.25%, 07/15/31(a)
|
|
18,873
|
16,813,060
|
|
ORLEN SA, 6.00%, 01/30/35(e)
|
|
8,411
|
8,625,480
|
|
Permian Resources Operating LLC
|
|
|
|
|
5.38%, 01/15/26(a)
|
|
172
|
171,708
|
|
8.00%, 04/15/27(a)
|
|
2,171
|
2,219,630
|
|
Petroleos Mexicanos, 7.50%, 03/20/26
|
|
22,921
|
22,921,000
|
|
Pioneer Natural Resources Co.
|
|
|
|
|
1.90%, 08/15/30
|
|
2,877
|
2,550,137
|
|
2.15%, 01/15/31
|
|
2,842
|
2,524,325
|
|
Puma International Financing SA, 7.75%,
04/25/29(e)
|
|
7,200
|
7,376,400
|
|
Raizen Fuels Finance SA
|
|
|
|
|
07/08/32(a)(f)
|
|
5,790
|
5,746,575
|
|
6.45%, 03/05/34(e)
|
|
2,955
|
2,957,905
|
|
Sabine Pass Liquefaction LLC
|
|
|
|
|
5.88%, 06/30/26
|
|
17,848
|
17,945,130
|
|
5.00%, 03/15/27
|
|
29,097
|
29,271,668
|
|
4.20%, 03/15/28
|
|
5,821
|
5,790,172
|
|
4.50%, 05/15/30
|
|
28,852
|
28,803,732
|
|
5.90%, 09/15/37
|
|
9,488
|
9,868,852
|
|
SierraCol Energy Andina LLC, 6.00%, 06/15/28(e)
|
|
248
|
229,319
|
|
Sitio Royalties Operating Partnership LP/Sitio
Finance Corp., 7.88%, 11/01/28(a)
|
|
1,352
|
1,415,638
|
|
SM Energy Co., 6.75%, 08/01/29(a)
|
|
175
|
174,357
|
|
Targa Resources Corp.
|
|
|
|
|
4.20%, 02/01/33
|
|
5,609
|
5,255,635
|
|
4.95%, 04/15/52
|
|
10,030
|
8,367,244
|
|
6.50%, 02/15/53
|
|
998
|
1,024,525
|
|
6.13%, 05/15/55
|
|
1,720
|
1,682,611
|
|
Security
|
|
Par
(000)
|
Value
|
|
Oil, Gas & Consumable Fuels (continued)
|
|||
|
Targa Resources Partners LP/Targa Resources
Partners Finance Corp.
|
|
|
|
|
5.00%, 01/15/28
|
USD
|
6,260
|
$ 6,264,404
|
|
4.88%, 02/01/31
|
|
14,735
|
14,616,803
|
|
4.00%, 01/15/32
|
|
12,078
|
11,256,555
|
|
Transocean Titan Financing Ltd., 8.38%,
02/01/28(a)
|
|
610
|
619,422
|
|
Trident Energy Finance PLC, 12.50%, 11/30/29(e)
|
|
1,538
|
1,536,750
|
|
Vantage Drilling International, 9.50%, 02/15/28(a)
|
|
250
|
248,750
|
|
Viper Energy Partners LP, 5.38%, 11/01/27(a)
|
|
32,793
|
32,828,677
|
|
Viper Energy, Inc., 7.38%, 11/01/31(a)
|
|
23,044
|
24,451,646
|
|
Vista Energy Argentina SAU
|
|
|
|
|
8.50%, 06/10/33(a)
|
|
6,910
|
6,960,097
|
|
7.63%, 12/10/35(a)
|
|
1,396
|
1,351,049
|
|
Wildfire Intermediate Holdings LLC, 7.50%,
10/15/29(a)
|
|
1,053
|
1,046,020
|
|
|
|
|
1,269,388,872
|
|
Paper & Forest Products — 0.0%
|
|||
|
Suzano Austria GmbH, Series DM3N, 3.13%,
01/15/32
|
|
7,236
|
6,349,554
|
|
Passenger Airlines — 0.1%
|
|||
|
Air Canada Pass-Through Trust, Series 2017-1,
Class B, 3.70%, 01/15/26(a)
|
|
9
|
8,984
|
|
Allegiant Travel Co., 7.25%, 08/15/27(a)
|
|
1,070
|
1,070,310
|
|
American Airlines Pass-Through Trust, 3.50%,
12/15/27(g)
|
|
2,804
|
2,759,018
|
|
JetBlue Airways Corp. Pass-Through Trust,
Series 2019-1, AA, 2.75%, 05/15/32
|
|
655
|
572,912
|
|
Latam Airlines Group SA, 01/07/31(a)(f)
|
|
7,120
|
7,130,680
|
|
Mileage Plus Holdings LLC/Mileage Plus
Intellectual Property Assets Ltd., 6.50%,
06/20/27(a)
|
|
4,346
|
4,351,557
|
|
Spirit Airlines Pass-Through Trust
|
|
|
|
|
4.10%, 04/01/28(h)(n)
|
|
87
|
80,145
|
|
3.38%, 02/15/30(h)(n)
|
|
1,027
|
909,318
|
|
3.65%, 02/15/30(h)(n)
|
|
2,695
|
2,334,025
|
|
Turkish Airlines Pass-Through Trust,
Series 2015-1, Class A, 4.20%, 03/15/27(a)
|
|
547
|
529,369
|
|
|
|
|
19,746,318
|
|
Pharmaceuticals — 0.1%
|
|||
|
Pfizer Investment Enterprises Pte Ltd.
|
|
|
|
|
4.75%, 05/19/33
|
|
4,809
|
4,794,542
|
|
5.30%, 05/19/53
|
|
4,626
|
4,366,987
|
|
|
|
|
9,161,529
|
|
Real Estate Management & Development — 0.3%
|
|||
|
Fantasia Holdings Group Co. Ltd.
|
|
|
|
|
6.95%, 12/17/21(e)(h)(n)
|
|
465
|
12,788
|
|
11.75%, 04/17/22(e)(h)(n)
|
|
2,430
|
66,825
|
|
7.95%, 07/05/22(e)(h)(n)
|
|
530
|
14,575
|
|
12.25%, 10/18/22(e)(h)(n)
|
|
200
|
5,500
|
|
10.88%, 01/09/23(e)(h)(n)
|
|
2,657
|
73,067
|
|
11.88%, 06/01/23(e)(h)(n)
|
|
1,093
|
30,058
|
|
Five Point Operating Co. LP/Five Point Capital
Corp., 10.50%, 01/15/28(a)(c)
|
|
1,930
|
1,963,719
|
|
Forestar Group, Inc., 5.00%, 03/01/28(a)
|
|
1,413
|
1,391,046
|
|
Howard Hughes Corp. (The), 5.38%, 08/01/28(a)
|
|
2,364
|
2,346,354
|
|
Resort Communities LoanCo LP, 12.00%,
11/30/28(a)(g)
|
|
28,966
|
29,148,725
|
|
Store Capital LLC, 5.40%, 04/30/30(a)
|
|
20,283
|
20,550,315
|
|
|
|
|
55,602,972
|
|
Security
|
|
Par
(000)
|
Value
|
|
Semiconductors & Semiconductor Equipment — 0.5%
|
|||
|
AP Grange Holdings LLC, 6.50%,
03/20/45 (Acquired 06/21/24, cost
$12,241,000)(g)(i)
|
USD
|
12,241
|
$ 12,134,503
|
|
Broadcom, Inc.
|
|
|
|
|
4.55%, 02/15/32
|
|
955
|
946,165
|
|
5.20%, 04/15/32
|
|
11,762
|
12,095,103
|
|
3.42%, 04/15/33(a)
|
|
25,005
|
22,677,752
|
|
3.47%, 04/15/34(a)
|
|
27,727
|
24,768,341
|
|
4.80%, 10/15/34
|
|
21,255
|
20,998,213
|
|
4.93%, 05/15/37(a)
|
|
1,970
|
1,911,932
|
|
|
|
|
95,532,009
|
|
Software — 0.8%
|
|||
|
AppLovin Corp.
|
|
|
|
|
5.13%, 12/01/29
|
|
16,571
|
16,786,689
|
|
5.38%, 12/01/31
|
|
30,576
|
31,113,347
|
|
5.95%, 12/01/54
|
|
21,016
|
20,524,885
|
|
Cloud Software Group, Inc., 9.00%, 09/30/29(a)
|
|
866
|
897,631
|
|
Core Scientific, Inc., 0.00%, 06/15/31(a)(d)(p)
|
|
546
|
593,092
|
|
GoTo Group, Inc.
|
|
|
|
|
5.50%, 05/01/28(a)
|
|
425
|
348,500
|
|
5.50%, 05/01/28(a)
|
|
1,925
|
625,625
|
|
IREN Ltd., Series IREN, 3.50%, 12/15/29(a)(p)
|
|
1,582
|
2,045,526
|
|
Oracle Corp.
|
|
|
|
|
3.60%, 04/01/50
|
|
24,000
|
16,784,224
|
|
3.95%, 03/25/51
|
|
1,288
|
950,666
|
|
6.00%, 08/03/55
|
|
6,627
|
6,615,833
|
|
5.50%, 09/27/64
|
|
16,005
|
14,576,711
|
|
6.13%, 08/03/65
|
|
30,111
|
30,141,347
|
|
|
|
|
142,004,076
|
|
Specialized REITs — 0.2%
|
|||
|
Extra Space Storage LP
|
|
|
|
|
4.00%, 06/15/29
|
|
1,836
|
1,800,529
|
|
5.50%, 07/01/30
|
|
21,435
|
22,233,711
|
|
2.20%, 10/15/30
|
|
5,163
|
4,566,852
|
|
|
|
|
28,601,092
|
|
Technology Hardware, Storage & Peripherals — 0.0%
|
|||
|
CA Magnum Holdings, 5.38%, 10/31/26(e)
|
|
400
|
396,490
|
|
Textiles, Apparel & Luxury Goods — 0.0%
|
|||
|
William Carter Co. (The), 5.63%, 03/15/27(a)
|
|
105
|
104,347
|
|
Tobacco — 0.6%
|
|||
|
Altria Group, Inc.
|
|
|
|
|
3.40%, 02/04/41
|
|
22,684
|
16,827,504
|
|
4.50%, 05/02/43
|
|
6,482
|
5,403,783
|
|
3.88%, 09/16/46
|
|
7,491
|
5,540,234
|
|
4.45%, 05/06/50
|
|
1,835
|
1,436,009
|
|
BAT Capital Corp.
|
|
|
|
|
7.08%, 08/02/43
|
|
800
|
881,100
|
|
4.54%, 08/15/47
|
|
15,445
|
12,476,812
|
|
4.76%, 09/06/49
|
|
11,203
|
9,235,729
|
|
5.65%, 03/16/52
|
|
8,383
|
7,810,787
|
|
7.08%, 08/02/53
|
|
30,148
|
33,580,386
|
|
Reynolds American, Inc., 5.85%, 08/15/45
|
|
26,148
|
25,227,584
|
|
|
|
|
118,419,928
|
|
Transportation Infrastructure — 0.0%
|
|||
|
TAV Havalimanlari Holding AS, 8.50%,
12/07/28(e)
|
|
6,704
|
6,984,764
|
|
Security
|
|
Par
(000)
|
Value
|
|
Water Utilities — 0.0%
|
|||
|
Thames Water Utilities Finance PLC, 4.00%,
06/19/27(e)
|
GBP
|
2,796
|
$ 2,674,240
|
|
Thames Water Utilities Ltd., 0.00%, 03/22/27(a)(d)
|
|
21
|
24,008
|
|
|
|
|
2,698,248
|
|
Wireless Telecommunication Services — 0.4%
|
|||
|
Digicel Group Holdings Ltd., Series 2B14, 0.00%,
12/31/30(a)(d)(g)
|
USD
|
544
|
32,616
|
|
Liberty Costa Rica Senior Secured Finance,
10.88%, 01/15/31(e)
|
|
1,071
|
1,140,722
|
|
SoftBank Corp., 4.70%, 07/09/30(a)
|
|
1,500
|
1,500,000
|
|
SoftBank Group Corp., 7.00%, 07/08/31(e)
|
|
11,000
|
11,266,478
|
|
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/Sprint Spectrum Co. III LLC, 5.15%,
03/20/28(a)
|
|
193
|
193,820
|
|
T-Mobile U.S.A., Inc.
|
|
|
|
|
3.88%, 04/15/30
|
|
23,558
|
22,879,949
|
|
3.50%, 04/15/31
|
|
2,612
|
2,452,446
|
|
5.13%, 05/15/32
|
|
6,893
|
7,029,433
|
|
5.20%, 01/15/33
|
|
2,403
|
2,447,830
|
|
5.80%, 09/15/62
|
|
22,054
|
21,602,979
|
|
VF Ukraine PAT via VFU Funding PLC
|
|
|
|
|
9.63%, 02/11/27(e)
|
|
229
|
218,522
|
|
9.63%, 02/11/27(a)
|
|
1,352
|
1,291,070
|
|
Vmed O2 UK Financing I PLC, 4.75%,
07/15/31(a)
|
|
200
|
185,005
|
|
|
|
|
72,240,870
|
|
Total Corporate Bonds — 26.7%
(Cost: $4,970,936,196)
|
5,014,702,003
|
||
|
Fixed Rate Loan Interests
|
|
|
|
|
Chemicals — 0.0%
|
|
|
|
|
Vedanta Resources Ltd., Term Loan, 18.00%,
04/17/26
|
|
2,016
|
2,036,109
|
|
Financial Services — 0.2%
|
|
|
|
|
Aspen Owner LLC, Term Loan (First Lien), 7.27%,
02/09/27(g)
|
|
29,088
|
29,244,838
|
|
Total Fixed Rate Loan Interests — 0.2%
(Cost: $31,079,796)
|
|
|
31,280,947
|
|
Floating Rate Loan Interests(b)
|
|||
|
Banks — 0.2%
|
|||
|
Hilton Motto Chelsea, Term Loan (First Lien),
(1-mo. CME Term SOFR at 2.00% Floor +
3.25%), 7.57%, 10/17/28(g)
|
|
9,400
|
9,405,977
|
|
Northwind Midstream Partners LLC, Term Loan
(First Lien), (3-mo. CME Term SOFR at 3.00%
Floor + 6.25%), 6.25%, 03/18/29(g)
|
|
20,759
|
20,370,807
|
|
|
|
|
29,776,784
|
|
Building Products — 0.0%
|
|||
|
Cornerstone Building Brands, Inc., Tranche B
Term Loan, (1-mo. CME Term SOFR at 0.50%
Floor + 3.25%), 7.66%, 04/12/28
|
|
3
|
2,267
|
|
Chemicals — 0.0%
|
|||
|
Montage Hotels & Resorts LLC
|
|
|
|
|
Revolver, (3-mo. CME Term SOFR at 0.00%
Floor + 6.00%), 10.29%, 02/16/29(g)
|
|
1,053
|
1,026,207
|
|
Security
|
|
Par
(000)
|
Value
|
|
Chemicals (continued)
|
|||
|
Montage Hotels & Resorts LLC
|
|
|
|
|
Term Loan, (3-mo. CME Term SOFR at 0.00%
Floor + 6.00%), 10.30%, 02/16/29(g)
|
USD
|
6,475
|
$ 6,313,472
|
|
Robertshaw U.S. Holding Corp., Fifth-Out Term
Loan, (1-mo. CME Term SOFR at 1.00% Floor
+ 8.00%), 12.44%, 02/28/27(g)
|
|
1,795
|
17,950
|
|
|
|
|
7,357,629
|
|
Commercial Services & Supplies — 0.1%
|
|||
|
Allied Universal Holdco LLC (FKA USAGM
Holdco LLC), Initial U.S. Dollar Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor +
3.75%), 8.17%, 05/12/28
|
|
3,644
|
3,660,132
|
|
Alorica, Inc., Term Loan B (First Lien), (1-mo.
CME Term SOFR at 1.00% Floor + 6.88%),
11.20%, 12/21/27(g)
|
|
4,858
|
4,791,150
|
|
DRI Holding, Inc., Closing Date Term Loan (First
Lien), (1-mo. CME Term SOFR at 0.50% Floor
+ 5.25%), 9.68%, 12/21/28
|
|
3,075
|
3,030,531
|
|
Interface Security Systems LLC, Initial Term Loan,
(1-mo. CME Term SOFR at 1.75% Floor +
7.00%), 11.43%, 08/07/28(g)(h)(n)
|
|
8,597
|
4,513,327
|
|
|
|
|
15,995,140
|
|
Construction & Engineering — 0.0%
|
|||
|
SSD Holdings LLC, Term Loan, (1-mo. CME Term
SOFR at 0.00% Floor + 2.75%), 7.06%,
04/07/30(g)
|
|
7,400
|
7,400,977
|
|
Construction Materials — 0.1%
|
|||
|
Cirkul, Inc., Term Loan, (3-mo. CME Term SOFR
at 4.00% Floor + 11.00%), 11.88%, 04/23/28(g)
|
|
4,129
|
3,938,240
|
|
Flexsys Cayman Holdings LP, Second Out
Refinancing Term Loan, (1-mo. CME Term
SOFR at 0.75% Floor + 5.25%), 9.69%,
08/01/29
|
|
1,962
|
993,420
|
|
Goodarz Holding Co. S.a.r.l, Term Loan, (1-mo.
EURIBOR at 0.00% Floor + 5.13%), 7.00%,
11/17/28(g)
|
EUR
|
7,094
|
7,090,186
|
|
Houston Center
|
|
|
|
|
Term Loan A, 5.75%, 05/09/30(g)
|
USD
|
5,515
|
5,118,867
|
|
Term Loan B, 5.75%, 05/09/30(g)
|
|
7,132
|
1
|
|
|
|
|
17,140,714
|
|
Diversified Telecommunication Services — 0.0%
|
|||
|
Avaya, Inc., Initial Term Loan, (1-mo. CME Term
SOFR at 1.00% Floor + 7.50%), 11.82%,
08/01/28
|
|
12
|
9,511
|
|
Connect Finco S.a.r.l., Amendment No. 4 Term
Loan, (1-mo. CME Term SOFR at 0.50% Floor
+ 4.50%), 8.83%, 09/27/29
|
|
2,409
|
2,282,943
|
|
|
|
|
2,292,454
|
|
Electronic Equipment, Instruments & Components — 0.0%
|
|||
|
Emerald Technologies (U.S.) Acquisitionco, Inc.,
Term B Loan, (3-mo. CME Term SOFR at
1.00% Floor + 6.25%), 10.73%, 12/29/27(g)
|
|
1,534
|
1,058,701
|
|
Financial Services — 0.2%
|
|||
|
CTP-02 Propco LLC, Term Loan, (1-mo. CME
Term SOFR at 0.50% Floor + 3.25%), 7.54%,
12/06/29(g)
|
|
7,077
|
7,072,639
|
|
Garfunkelux Holdco 3 SA, Term Loan B, 4.75%,
08/01/28
|
EUR
|
2,000
|
2,314,672
|
|
Security
|
|
Par
(000)
|
Value
|
|
Financial Services (continued)
|
|||
|
HLP Hotel LLC, Term Loan (First Lien), (1-mo.
CME Term SOFR at 1.00% Floor + 3.55%),
7.86%, 09/09/26(g)
|
USD
|
12,200
|
$ 12,200,000
|
|
HP LQ Investment LP, Term Loan (First Lien),
(1-mo. CME Term SOFR at 0.00% Floor +
2.82%), 7.25%- 8.41%, 12/09/26(g)
|
|
13,352
|
13,352,409
|
|
|
|
|
34,939,720
|
|
Health Care Providers & Services — 0.0%
|
|||
|
Medical Solutions Holdings, Inc., Initial Term Loan
(Second Lien), (3-mo. CME Term SOFR at
0.50% Floor + 7.00%), 11.38%, 11/01/29
|
|
1,587
|
669,190
|
|
Hotels, Restaurants & Leisure — 0.3%
|
|||
|
Bally’s Corp., Term B Facility Loan, (3-mo. CME
Term SOFR at 0.50% Floor + 3.25%), 7.78%,
10/02/28
|
|
11,410
|
10,055,310
|
|
CML Terranea Resort (AKA Long Point
Development LLC), Refinancing Debt, (1-mo.
CME Term SOFR at 0.00% Floor + 4.35%),
8.67%, 01/01/28(g)
|
|
7,500
|
7,500,000
|
|
Hilton Garden Inn Waikiki, Term Loan (First Lien),
(1-mo. CME Term SOFR at 0.00% Floor +
3.50%), 7.82%, 05/31/29(g)
|
|
14,800
|
14,896,678
|
|
HRNI Holdings LLC, Term B Loan, (3-mo. CME
Term SOFR at 0.75% Floor + 4.25%), 8.70%,
12/11/28
|
|
7,566
|
7,357,484
|
|
Maverick Gaming LLC
|
|
|
|
|
First Out Term Loan, (3-mo. CME Term SOFR
at 1.00% Floor + 9.50%), 13.78%, 06/03/28
|
|
1,541
|
1,394,386
|
|
Second Out Term Loan, (3-mo. CME Term
SOFR at 1.00% Floor + 9.50%), 13.78%,
06/03/28(g)
|
|
2,706
|
1,630,269
|
|
Sodalite Tahoe Hotel LLC, Loan, (1-mo. CME
Term SOFR at 0.00% Floor + 2.90%), 7.33%,
10/25/26(g)
|
|
9,699
|
9,746,570
|
|
|
|
|
52,580,697
|
|
IT Services — 0.2%
|
|||
|
CoreWeave Compute Acquisition Co. II LLC,
Delayed Draw Loan, (3-mo. CME Term SOFR
at 0.00% Floor + 9.62%), 13.88%, 07/31/28(g)
|
|
12,567
|
12,457,295
|
|
CoreWeave Compute Acquisition Co. IV LLC,
Delayed Draw Loan, (3-mo. CME Term SOFR
at 0.00% Floor + 6.00%), 10.24%, 05/16/29(g)
|
|
19,545
|
19,326,096
|
|
|
|
|
31,783,391
|
|
Leisure Products — 0.0%
|
|||
|
J & J Ventures Gaming LLC, 2025 Term Loan,
(1-mo. CME Term SOFR at 0.75% Floor +
3.50%), 7.83%, 04/26/30
|
|
1,865
|
1,841,504
|
|
Life Sciences Tools & Services — 0.1%
|
|||
|
ECL Entertainment LLC, 2024 Refinancing Term
B Loan, (1-mo. CME Term SOFR at 0.00%
Floor + 3.50%), 7.83%, 08/30/30
|
|
5,675
|
5,668,057
|
|
Project Midnights, Term Loan, 5.20%, 08/22/26(g)
|
EUR
|
9,444
|
11,106,442
|
|
Veritas U.S., Inc., Term Loan B, (3-mo. CME Term
SOFR at 2.50% Floor + 8.00%), 12.30%,
12/09/29
|
USD
|
1,042
|
1,041,923
|
|
|
|
|
17,816,422
|
|
Machinery — 0.0%
|
|||
|
Hydrofarm Holdings Group, Inc., Term Loan, (3-
mo. CME Term SOFR at 1.00% Floor +
5.50%), 10.04%, 10/25/28
|
|
2,095
|
1,696,891
|
|
Security
|
|
Par
(000)
|
Value
|
|
Media — 0.0%
|
|||
|
CSC Holdings LLC, September 2019 Initial Term
Loan, (3-mo. CME Term SOFR at 0.00% Floor
+ 1.50%), 9.00%, 04/15/27
|
USD
|
1,072
|
$ 1,042,630
|
|
DirecTV Financing LLC
|
|
|
|
|
2025 Incremental Term Loan B, (1-mo. CME
Term SOFR at 0.75% Floor + 5.50%),
9.83%, 02/17/31
|
|
4,088
|
3,889,789
|
|
Closing Date Term Loan, (3-mo. CME Term
SOFR at 0.75% Floor + 5.00%), 9.54%,
08/02/27
|
|
257
|
257,760
|
|
|
|
|
5,190,179
|
|
Oil, Gas & Consumable Fuels — 0.0%
|
|||
|
CPPIB OVM Member U.S. LLC, Initial Term Loan,
(3-mo. CME Term SOFR at 0.00% Floor +
2.75%), 7.05%, 08/20/31
|
|
2,841
|
2,829,888
|
|
CVR CHC LP, Initial Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 4.00%), 8.30%,
12/30/27
|
|
3,004
|
2,998,842
|
|
|
|
|
5,828,730
|
|
Passenger Airlines — 0.1%
|
|||
|
Solaris Energy Infrastructure LLC, Term Loan,
(3-mo. CME Term SOFR at 1.00% Floor +
6.00%), 10.30%, 09/11/29(g)
|
|
10,822
|
10,822,000
|
|
Usavflow II Ltd., Term Loan B (First Lien), (1-mo.
CME Term SOFR at 0.00% Floor + 6.50%),
10.81%, 09/10/29(g)
|
|
2,040
|
2,045,100
|
|
|
|
|
12,867,100
|
|
Personal Care Products — 0.0%
|
|||
|
AI Mansart (Luxembourg) Bidco S.C.S., Term
Loan A (First Lien), (6-mo. CME Term SOFR at
0.00% Floor + 6.25%), 10.44%, 09/01/28(g)
|
|
1,159
|
1,183,768
|
|
Professional Services — 0.0%
|
|||
|
Vaco Holdings LLC, Initial Term Loan, (3-mo.
CME Term SOFR at 0.75% Floor + 5.00%),
9.45%, 01/21/29
|
|
1,611
|
1,473,410
|
|
Software — 0.1%
|
|||
|
ConnectWise LLC, Initial Term Loan, (3-mo. CME
Term SOFR at 0.50% Floor + 3.50%), 8.06%,
09/29/28
|
|
2,696
|
2,707,664
|
|
EIS Group Ltd.
|
|
|
|
|
Closing Date Term Loan, (1-mo. CME Term
SOFR at 0.75% Floor + 7.00%), 11.33%,
07/10/28(g)
|
|
12,826
|
12,376,687
|
|
Revolving Loan, (1-mo. CME Term SOFR at
0.75% Floor + 7.00%), 11.33%, 07/10/28(g)
|
|
1,283
|
1,237,669
|
|
GoTo Group, Inc., Exchange First Out Term Loan,
(1-mo. CME Term SOFR at 0.00% Floor +
4.75%), 9.16%, 04/28/28
|
|
2
|
1,618
|
|
|
|
|
16,323,638
|
|
Specialty Retail — 0.0%
|
|||
|
Fanatics Commerce Intermediate Holdco LLC,
Initial Term Loan, (1-mo. CME Term SOFR at
0.50% Floor + 3.25%), 7.69%, 11/24/28(g)
|
|
491
|
489,648
|
|
Park River Holdings, Inc., Initial Term Loan (First
Lien), (3-mo. CME Term SOFR at 0.75% Floor
+ 3.25%), 7.80%, 12/28/27
|
|
1
|
1,304
|
|
|
|
|
490,952
|
|
Security
|
|
Par
(000)
|
Value
|
|
Technology Hardware, Storage & Peripherals — 0.0%
|
|||
|
Redstone Holdco 2 LP
|
|
|
|
|
Initial Loan (Second Lien), (3-mo. CME Term
SOFR at 0.75% Floor + 7.75%), 12.29%,
04/27/29
|
USD
|
4,728
|
$ 1,093,350
|
|
Initial Term Loan (First Lien), (3-mo. CME Term
SOFR at 0.75% Floor + 4.75%), 9.29%,
04/27/28
|
|
4,319
|
2,310,865
|
|
|
|
|
3,404,215
|
|
Total Floating Rate Loan Interests — 1.4%
(Cost: $289,944,944)
|
269,114,473
|
||
|
Foreign Agency Obligations
|
|||
|
Argentina — 0.0%
|
|||
|
YPF SA, 9.50%, 01/17/31(a)
|
|
906
|
949,035
|
|
Colombia — 0.1%
|
|||
|
Ecopetrol SA, 7.75%, 02/01/32
|
|
6,935
|
6,804,969
|
|
Malaysia — 0.0%
|
|||
|
Khazanah Global Sukuk Bhd, 4.69%, 06/01/28(e)
|
|
895
|
901,444
|
|
Mexico — 0.0%
|
|||
|
Petroleos Mexicanos
|
|
|
|
|
8.75%, 06/02/29
|
|
116
|
120,255
|
|
5.95%, 01/28/31
|
|
217
|
195,647
|
|
10.00%, 02/07/33
|
|
271
|
290,051
|
|
|
|
|
605,953
|
|
Morocco — 0.0%
|
|||
|
OCP SA
|
|
|
|
|
4.50%, 10/22/25(e)
|
|
548
|
545,534
|
|
6.75%, 05/02/34(a)
|
|
1,283
|
1,327,315
|
|
|
|
|
1,872,849
|
|
Ukraine — 0.0%
|
|||
|
NAK Naftogaz Ukraine via Kondor Finance PLC
|
|
|
|
|
(7.13% PIK), 7.13%, 07/19/26(e)(o)
|
EUR
|
3,264
|
3,267,744
|
|
(7.63% PIK), 7.63%, 11/08/28(a)(o)
|
USD
|
783
|
611,078
|
|
|
|
|
3,878,822
|
|
Total Foreign Agency Obligations — 0.1%
(Cost: $13,474,508)
|
15,013,072
|
||
|
Foreign Government Obligations
|
|||
|
Belgium — 0.2%
|
|||
|
Kingdom of Belgium, 3.30%, 06/22/54(a)(e)
|
EUR
|
41,848
|
43,898,110
|
|
Brazil — 0.5%
|
|||
|
Brazil Notas do Tesouro Nacional
|
|
|
|
|
10.00%, 01/01/29
|
BRL
|
139
|
23,424,979
|
|
10.00%, 01/01/35
|
|
440
|
66,734,254
|
|
|
|
|
90,159,233
|
|
Colombia — 0.1%
|
|||
|
Republic of Colombia, 6.25%, 07/09/36
|
COP
|
174,551,700
|
27,542,017
|
|
Germany — 0.2%
|
|||
|
Federal Republic of Germany, 2.50%, 08/15/54(e)
|
EUR
|
34,911
|
36,541,195
|
|
Indonesia — 0.1%
|
|||
|
Republic of Indonesia
|
|
|
|
|
2.85%, 02/14/30
|
USD
|
17,370
|
16,278,990
|
|
3.05%, 03/12/51
|
|
11,595
|
7,664,295
|
|
|
|
|
23,943,285
|
|
Security
|
|
Par
(000)
|
Value
|
|
Israel — 0.1%
|
|||
|
State of Israel, 5.75%, 03/12/54
|
USD
|
10,116
|
$ 9,376,268
|
|
Italy — 0.7%
|
|||
|
Republic of Italy, 3.65%, 08/01/35(a)(e)
|
EUR
|
112,272
|
134,659,883
|
|
Japan — 0.4%
|
|||
|
Japanese Government Bonds (30 Year)
|
|
|
|
|
2.30%, 12/20/54
|
JPY
|
7,782,100
|
48,517,007
|
|
2.40%, 03/20/55
|
|
3,450,750
|
21,988,422
|
|
|
|
|
70,505,429
|
|
Mexico — 0.8%
|
|||
|
United Mexican States
|
|
|
|
|
2.66%, 05/24/31
|
USD
|
30,379
|
26,270,240
|
|
4.88%, 05/19/33
|
|
3,502
|
3,309,670
|
|
3.50%, 02/12/34
|
|
27,547
|
23,249,668
|
|
6.35%, 02/09/35
|
|
45,111
|
46,125,997
|
|
6.88%, 05/13/37
|
|
32,255
|
33,625,838
|
|
4.50%, 01/31/50
|
|
25,868
|
18,915,975
|
|
|
|
|
151,497,388
|
|
Panama — 0.1%
|
|||
|
Republic of Panama
|
|
|
|
|
3.88%, 03/17/28
|
|
17,669
|
17,138,930
|
|
4.50%, 04/01/56
|
|
10,739
|
6,976,994
|
|
|
|
|
24,115,924
|
|
Peru — 0.1%
|
|||
|
Republic of Peru, 3.55%, 03/10/51
|
|
14,265
|
9,785,790
|
|
Philippines — 0.1%
|
|||
|
Republic of the Philippines
|
|
|
|
|
3.00%, 02/01/28
|
|
11,468
|
11,078,088
|
|
3.20%, 07/06/46
|
|
15,450
|
10,857,004
|
|
|
|
|
21,935,092
|
|
Supranational — 0.8%
|
|||
|
European Union
|
|
|
|
|
2.50%, 10/04/52(e)
|
EUR
|
13,790
|
12,626,147
|
|
3.00%, 03/04/53(e)
|
|
137,049
|
138,550,160
|
|
|
|
|
151,176,307
|
|
United Kingdom — 0.2%
|
|||
|
United Kingdom Gilt, 4.38%, 07/31/54(e)
|
GBP
|
23,992
|
28,526,697
|
|
Uruguay — 0.1%
|
|||
|
Oriental Republic of Uruguay
|
|
|
|
|
4.38%, 10/27/27
|
USD
|
5,923
|
5,937,819
|
|
5.10%, 06/18/50
|
|
10,407
|
9,594,885
|
|
|
|
|
15,532,704
|
|
Total Foreign Government Obligations — 4.5%
(Cost: $859,343,463)
|
839,195,322
|
||
|
|
|
Shares
|
|
|
Investment Companies
|
|||
|
Equity Funds — 0.1%
|
|||
|
Financial Select Sector SPDR Fund
|
|
200,000
|
10,474,000
|
|
Fixed-Income Funds — 0.3%
|
|||
|
iShares 0-5 Year High Yield Corporate Bond
ETF(q)
|
|
1,105,807
|
47,704,514
|
|
Security
|
|
Shares
|
Value
|
|
Fixed-Income Funds (continued)
|
|||
|
iShares AAA CLO Active ETF(q)
|
|
200,000
|
$ 10,384,000
|
|
iShares iBoxx $ Investment Grade Corporate
Bond ETF(j)(q)
|
|
65,350
|
7,163,014
|
|
|
|
|
65,251,528
|
|
Total Investment Companies — 0.4%
(Cost: $75,025,125)
|
75,725,528
|
||
|
|
|
Par
(000)
|
|
|
Municipal Bonds
|
|||
|
California — 0.3%
|
|||
|
Bay Area Toll Authority, RB, Series S1, 7.04%,
04/01/50
|
USD
|
9,275
|
10,622,964
|
|
Los Angeles Community College District, GO,
6.60%, 08/01/42
|
|
3,990
|
4,234,616
|
|
State of California
|
|
|
|
|
GO, 7.55%, 04/01/39
|
|
4,000
|
4,795,181
|
|
GO, Refunding, 4.60%, 04/01/38
|
|
22,215
|
22,583,402
|
|
University of California, RB, Series AD, 4.86%,
05/15/2112
|
|
2,467
|
2,070,143
|
|
|
|
|
44,306,306
|
|
Georgia — 0.0%
|
|||
|
Municipal Electric Authority of Georgia, RB,
6.64%, 04/01/57
|
|
3,139
|
3,392,492
|
|
Illinois — 0.1%
|
|||
|
State of Illinois, GO, 5.10%, 06/01/33
|
|
15,387
|
15,422,952
|
|
Louisiana — 0.0%
|
|||
|
Louisiana Local Government Environmental
Facilities & Community Development Authority,
RB, Series 2022-ELL, Class A2, 4.15%,
02/01/33
|
|
2,630
|
2,595,070
|
|
New Jersey — 0.0%
|
|||
|
New Jersey Turnpike Authority, RB, Series F,
7.41%, 01/01/40
|
|
4,596
|
5,486,888
|
|
New York — 0.1%
|
|||
|
Metropolitan Transportation Authority
|
|
|
|
|
RB, 6.67%, 11/15/39
|
|
3,060
|
3,293,121
|
|
RB, Series E, 6.81%, 11/15/40
|
|
655
|
711,625
|
|
New York City Water & Sewer System
|
|
|
|
|
RB, 6.01%, 06/15/42
|
|
2,430
|
2,519,323
|
|
RB, 5.88%, 06/15/44
|
|
1,665
|
1,682,585
|
|
New York State Dormitory Authority, RB, Series H,
5.39%, 03/15/40
|
|
1,470
|
1,456,432
|
|
Port Authority of New York & New Jersey
|
|
|
|
|
RB, 5.65%, 11/01/40
|
|
2,780
|
2,905,952
|
|
RB, 4.93%, 10/01/51
|
|
1,400
|
1,290,700
|
|
RB, Series 181, 4.96%, 08/01/46
|
|
5,020
|
4,697,770
|
|
|
|
|
18,557,508
|
|
Ohio — 0.0%
|
|||
|
American Municipal Power, Inc., RB, Series B,
8.08%, 02/15/50
|
|
3,555
|
4,514,776
|
|
Texas — 0.1%
|
|||
|
City of San Antonio, TX Electric & Gas Systems
Revenue, RB, 5.81%, 02/01/41
|
|
4,375
|
4,409,195
|
|
Security
|
|
Par
(000)
|
Value
|
|
Texas (continued)
|
|||
|
Port of Beaumont Navigation District RB,
Refunding RB, Series B, 10.00%, 07/01/26(a)
|
USD
|
10,185
|
$ 10,426,222
|
|
State of Texas, GO, 5.52%, 04/01/39
|
|
5,715
|
5,881,128
|
|
|
|
|
20,716,545
|
|
Total Municipal Bonds — 0.6%
(Cost: $128,391,482)
|
114,992,537
|
||
|
Non-Agency Mortgage-Backed Securities
|
|||
|
Collateralized Mortgage Obligations — 6.1%
|
|||
|
A&D Mortgage Trust
|
|
|
|
|
Series 2023-NQM5, Class A1, 7.05%,
11/25/68(a)(c)
|
|
8,178
|
8,287,461
|
|
Series 2024-NQM5, Class A1, 5.70%,
11/25/69(a)
|
|
2,206
|
2,214,530
|
|
Series 2024-NQM5, Class M1, 6.52%,
11/25/69(a)(b)
|
|
2,033
|
2,060,086
|
|
ACRA Trust, Series 2024-NQM1, Class A1,
5.61%, 10/25/64(a)(c)
|
|
4,497
|
4,499,717
|
|
Adjustable Rate Mortgage Trust, Series 2005-8,
Class 3A1, 5.11%, 11/25/35(b)
|
|
3,315
|
2,310,131
|
|
Ajax Mortgage Loan Trust
|
|
|
|
|
Series 2017-D, Class B, 0.00%, 12/25/57(a)(b)
|
|
1
|
499
|
|
Series 2020-C, Class C, 0.00%, 09/27/60(a)
|
|
70
|
980
|
|
Series 2021-C, Class A, 5.12%, 01/25/61(a)(c)
|
|
6,817
|
6,797,868
|
|
Series 2021-C, Class B, 6.72%, 01/25/61(a)(c)
|
|
3,395
|
3,347,611
|
|
Series 2021-C, Class C, 0.00%, 01/25/61(a)
|
|
8,062
|
9,410,036
|
|
Series 2021-D, Class A, 5.00%, 03/25/60(a)(c)
|
|
14,241
|
14,255,800
|
|
Series 2021-D, Class B, 4.00%, 03/25/60(a)(b)
|
|
5,914
|
6,468,313
|
|
Series 2021-D, Class C, 0.00%, 03/25/60(a)(b)
|
|
8,488
|
10,061,449
|
|
Series 2021-E, Class A1, 1.74%, 12/25/60(a)(b)
|
|
19,749
|
17,342,498
|
|
Series 2021-E, Class A2, 2.69%, 12/25/60(a)(b)
|
|
4,422
|
3,380,888
|
|
Series 2021-E, Class B1, 3.73%, 12/25/60(a)(b)
|
|
2,669
|
1,711,395
|
|
Series 2021-E, Class B3, 4.01%, 12/25/60(a)(b)
|
|
7,593
|
2,259,413
|
|
Series 2021-E, Class M1, 2.94%,
12/25/60(a)(b)
|
|
1,744
|
1,254,991
|
|
Series 2021-E, Class SA, 0.00%, 12/25/60(a)(b)
|
|
48
|
22,496
|
|
Series 2021-F, Class A, 4.88%, 06/25/61(a)(c)
|
|
37,786
|
37,752,779
|
|
Series 2021-F, Class B, 3.75%, 06/25/61(a)(c)
|
|
12,618
|
12,507,538
|
|
Series 2021-F, Class C, 0.00%, 06/25/61(a)
|
|
18,847
|
17,938,128
|
|
Series 2022-A, Class A1, 3.50%, 10/25/61(a)(c)
|
|
12,066
|
11,676,752
|
|
Series 2022-A, Class A2, 3.00%, 10/25/61(a)(b)
|
|
1,244
|
1,127,226
|
|
Series 2022-A, Class A3, 3.00%, 10/25/61(a)(b)
|
|
664
|
599,155
|
|
Series 2022-A, Class B, 3.00%, 10/25/61(a)
|
|
4,977
|
3,818,205
|
|
Series 2022-A, Class C, 3.00%, 10/25/61(a)
|
|
2,442
|
2,638,535
|
|
Series 2022-A, Class M1, 3.00%, 10/25/61(a)
|
|
726
|
652,840
|
|
Series 2022-A, Class M2, 3.00%, 10/25/61(a)
|
|
3,256
|
2,594,582
|
|
Series 2022-A, Class M3, 3.00%, 10/25/61(a)
|
|
207
|
164,776
|
|
Series 2022-B, Class A1, 3.50%, 03/27/62(a)(c)
|
|
17,172
|
16,567,133
|
|
Series 2022-B, Class A2, 3.00%, 03/27/62(a)(b)
|
|
937
|
847,243
|
|
Series 2022-B, Class A3, 3.00%, 03/27/62(a)(b)
|
|
803
|
723,712
|
|
Series 2022-B, Class B, 3.00%, 03/27/62(a)
|
|
4,464
|
3,479,962
|
|
Series 2022-B, Class C, 3.00%, 03/27/62(a)
|
|
4,328
|
3,336,943
|
|
Series 2022-B, Class M1, 3.00%, 03/27/62(a)
|
|
603
|
540,829
|
|
Series 2022-B, Class M2, 3.00%, 03/27/62(a)
|
|
2,991
|
2,590,336
|
|
Series 2023-A, Class A1, 3.50%, 07/25/62(a)(c)
|
|
22,171
|
20,959,776
|
|
Series 2023-A, Class A2, 3.00%, 07/25/62(a)(b)
|
|
1,258
|
1,119,664
|
|
Series 2023-A, Class A3, 2.50%, 07/25/62(a)(b)
|
|
713
|
615,980
|
|
Series 2023-A, Class B, 2.50%, 07/25/62(a)(b)
|
|
4,194
|
3,112,712
|
|
Series 2023-A, Class C, 2.50%, 07/25/62(a)(b)
|
|
3,204
|
1,445,577
|
|
Series 2023-A, Class M1, 2.50%,
07/25/62(a)(b)
|
|
2,160
|
1,858,265
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Ajax Mortgage Loan Trust
|
|
|
|
|
Series 2023-C, Class A1, 3.50%, 05/25/63(a)(c)
|
USD
|
22,037
|
$ 20,956,625
|
|
Series 2023-C, Class A2, 3.00%, 05/25/63(a)(b)
|
|
1,567
|
1,382,832
|
|
Series 2023-C, Class A3, 2.50%, 05/25/63(a)(b)
|
|
836
|
712,439
|
|
Series 2023-C, Class C, 2.50%, 05/25/63(a)(b)
|
|
7,303
|
5,259,127
|
|
Series 2023-C, Class M1, 2.50%,
05/25/63(a)(b)
|
|
731
|
620,738
|
|
Series 2023-C, Class M2, 2.50%,
05/25/63(a)(b)
|
|
4,534
|
3,609,208
|
|
American Home Mortgage Assets Trust
|
|
|
|
|
Series 2006-3, Class 2A11, (12-mo. Federal
Reserve Cumulative Average US + 0.94%),
5.34%, 10/25/46(b)
|
|
562
|
364,403
|
|
Series 2006-4, Class 1A12, (1-mo. CME Term
SOFR + 0.32%), 4.64%, 10/25/46(b)
|
|
1,545
|
778,161
|
|
Series 2007-1, Class A1, (12-mo. Federal
Reserve Cumulative Average US + 0.70%),
5.10%, 02/25/47(b)
|
|
610
|
211,141
|
|
Angel Oak Mortgage Trust
|
|
|
|
|
Series 2020-4, Class A3, 2.81%, 06/25/65(a)(b)
|
|
527
|
508,741
|
|
Series 2022-2, Class A1, 3.35%, 01/25/67(a)(b)
|
|
385
|
362,906
|
|
Series 2023-7, Class A1, 4.80%, 11/25/67(a)(c)
|
|
10,762
|
10,691,510
|
|
Series 2024-1, Class A1, 5.21%, 08/25/68(a)(c)
|
|
1,652
|
1,644,859
|
|
Series 2024-10, Class A1, 5.35%,
10/25/69(a)(c)
|
|
2,083
|
2,078,462
|
|
Series 2024-11, Class A1, 5.70%,
08/25/69(a)(c)
|
|
3,498
|
3,510,342
|
|
Series 2025-2, Class A1, 5.64%, 02/25/70(a)(c)
|
|
6,984
|
7,003,097
|
|
Angel Oak Mortgage Trust LLC, Series 2020-3,
Class A3, 2.87%, 04/25/65(a)(b)
|
|
975
|
931,661
|
|
APS Resecuritization Trust, Series 2016-1,
Class 1MZ, 3.01%, 07/31/57(a)(b)
|
|
7,959
|
2,945,576
|
|
Atlas Funding PLC
|
|
|
|
|
Series 2024-1, Class C, (1-day SONIA +
1.55%), 5.77%, 09/20/61(b)(e)
|
GBP
|
518
|
711,534
|
|
Series 2024-1, Class D, (1-day SONIA +
2.20%), 6.42%, 09/20/61(b)(e)
|
|
343
|
471,884
|
|
Banc of America Alternative Loan Trust,
Series 2006-7, Class A4, 6.50%, 10/25/36(c)
|
USD
|
1,951
|
517,611
|
|
Banc of America Funding Trust
|
|
|
|
|
Series 2007-1, Class 1A6, 5.75%, 01/25/37
|
|
19
|
16,266
|
|
Series 2014-R2, Class 1C, 0.00%,
11/26/36(a)(b)
|
|
3,291
|
1,140,478
|
|
Series 2015-R3, Class 1A2, 3.70%,
03/27/36(a)(b)
|
|
1,035
|
879,277
|
|
Series 2016-R2, Class 1A1, 4.70%,
05/01/33(a)(b)
|
|
277
|
276,760
|
|
Barclays Mortgage Loan Trust
|
|
|
|
|
Series 2021-NPL1, Class A, 5.00%,
11/25/51(a)(c)
|
|
11,641
|
11,608,015
|
|
Series 2021-NPL1, Class B, 4.63%,
11/25/51(a)(c)
|
|
3,175
|
3,225,681
|
|
Series 2021-NPL1, Class C, 0.00%,
11/25/51(a)
|
|
6,482
|
8,621,091
|
|
Series 2022-NQM1, Class A1, 4.55%,
07/25/52(a)(c)
|
|
4,695
|
4,670,904
|
|
Series 2022-RPL1, Class A, 4.25%,
02/25/28(a)(c)
|
|
9,391
|
9,208,647
|
|
Series 2022-RPL1, Class B, 4.25%,
02/25/28(a)(c)
|
|
2,105
|
2,058,043
|
|
Series 2022-RPL1, Class C, 0.00%,
02/25/28(a)
|
|
3,536
|
1,021,639
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Barclays Mortgage Loan Trust
|
|
|
|
|
Series 2022-RPL1, Class SA, 0.00%,
02/25/28(a)
|
USD
|
21
|
$ 17,877
|
|
Series 2023-NQM3, Class A1, 6.90%,
10/25/63(a)(c)
|
|
29,264
|
29,635,137
|
|
Series 2023-NQM3, Class A2, 7.36%,
10/25/63(a)(c)
|
|
4,653
|
4,720,035
|
|
Series 2023-NQM3, Class A3, 7.69%,
10/25/63(a)(c)
|
|
2,809
|
2,852,355
|
|
Series 2023-NQM3, Class B1, 7.98%,
10/25/63(a)(b)
|
|
1,917
|
1,934,551
|
|
Series 2023-NQM3, Class B2, 7.98%,
10/25/63(a)(b)
|
|
1,613
|
1,604,406
|
|
Series 2023-NQM3, Class B3, 7.98%,
10/25/63(a)(b)
|
|
4,413
|
4,245,948
|
|
Series 2023-NQM3, Class M1, 7.98%,
10/25/63(a)(b)
|
|
3,196
|
3,269,301
|
|
Series 2023-NQM3, Class SA, 0.00%,
10/25/63(a)(b)
|
|
1
|
594
|
|
Series 2024-NQM1, Class A1, 5.90%,
01/25/64(a)(c)
|
|
4,291
|
4,305,974
|
|
Series 2024-NQM1, Class A2, 6.11%,
01/25/64(a)(c)
|
|
2,923
|
2,931,524
|
|
Series 2024-NQM1, Class A3, 6.31%,
01/25/64(a)(c)
|
|
2,232
|
2,240,479
|
|
Series 2024-NQM1, Class B1, 8.09%,
01/25/64(a)(b)
|
|
1,442
|
1,460,242
|
|
Series 2024-NQM1, Class B2, 8.70%,
01/25/64(a)(b)
|
|
1,322
|
1,329,750
|
|
Series 2024-NQM1, Class B3, 8.70%,
01/25/64(a)(b)
|
|
2,836
|
2,749,663
|
|
Series 2024-NQM1, Class M1, 6.80%,
01/25/64(a)(b)
|
|
2,475
|
2,500,144
|
|
Series 2024-NQM1, Class SA, 0.00%,
01/25/64(a)(b)
|
|
6
|
5,560
|
|
Series 2024-NQM3, Class A1, 6.04%,
06/25/64(a)(c)
|
|
25,028
|
25,196,548
|
|
Series 2024-NQM3, Class A2, 6.30%,
06/25/64(a)(c)
|
|
1,973
|
1,985,880
|
|
Series 2024-NQM3, Class A3, 6.50%,
06/25/64(a)(c)
|
|
3,444
|
3,469,254
|
|
Series 2024-NQM3, Class B1, 7.50%,
06/25/64(a)(b)
|
|
1,983
|
2,000,131
|
|
Series 2024-NQM3, Class B2, 8.04%,
06/25/64(a)(b)
|
|
1,816
|
1,812,098
|
|
Series 2024-NQM3, Class B3, 8.04%,
06/25/64(a)(b)
|
|
4,970
|
4,735,478
|
|
Series 2024-NQM3, Class M1, 6.41%,
06/25/64(a)(b)
|
|
2,891
|
2,914,460
|
|
Series 2024-NQM3, Class SA, 0.00%,
06/25/64(a)(b)
|
|
4
|
4,144
|
|
Series 2024-NQM4, Class A1, 4.79%,
12/26/64(a)(c)
|
|
39,854
|
39,559,492
|
|
Series 2024-NQM4, Class A2, 5.10%,
12/26/64(a)(c)
|
|
3,749
|
3,718,909
|
|
Series 2024-NQM4, Class A3, 5.25%,
12/26/64(a)(c)
|
|
4,199
|
4,172,358
|
|
Series 2024-NQM4, Class B1, 6.96%,
12/26/64(a)(b)
|
|
1,760
|
1,760,436
|
|
Series 2024-NQM4, Class B2, 7.57%,
12/26/64(a)(b)
|
|
1,343
|
1,317,821
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Barclays Mortgage Loan Trust
|
|
|
|
|
Series 2024-NQM4, Class B3, 7.57%,
12/26/64(a)(b)
|
USD
|
3,073
|
$ 2,902,899
|
|
Series 2024-NQM4, Class M1, 6.31%,
12/26/64(a)(b)
|
|
2,894
|
2,921,015
|
|
Series 2024-NQM4, Class SA, 0.00%,
12/26/64(a)(b)
|
|
6
|
5,591
|
|
Series 2025-NQM1, Class A1, 5.66%,
01/25/65(a)(c)
|
|
37,482
|
37,722,184
|
|
Series 2025-NQM1, Class A2, 5.87%,
01/25/65(a)(c)
|
|
3,420
|
3,438,599
|
|
Series 2025-NQM1, Class A3, 5.97%,
01/25/65(a)(c)
|
|
3,257
|
3,278,827
|
|
Series 2025-NQM1, Class B1, 6.94%,
01/25/65(a)(b)
|
|
1,955
|
1,925,931
|
|
Series 2025-NQM1, Class B2, 7.83%,
01/25/65(a)(b)
|
|
1,700
|
1,675,682
|
|
Series 2025-NQM1, Class B3, 7.83%,
01/25/65(a)(b)
|
|
3,768
|
3,593,308
|
|
Series 2025-NQM1, Class M1, 6.49%,
01/25/65(a)(b)
|
|
3,144
|
3,192,548
|
|
Series 2025-NQM1, Class SA, 0.00%,
01/25/65(a)(b)
|
|
7
|
6,662
|
|
Series 2025-NQM2, Class A1, 5.76%,
05/25/65(a)(c)
|
|
30,553
|
30,874,269
|
|
Series 2025-NQM2, Class A2, 5.94%,
05/25/65(a)(c)
|
|
2,419
|
2,445,191
|
|
Series 2025-NQM2, Class A3, 6.04%,
05/25/65(a)(c)
|
|
4,753
|
4,804,034
|
|
Series 2025-NQM2, Class B1, 7.69%,
05/25/65(a)(b)
|
|
1,485
|
1,474,697
|
|
Series 2025-NQM2, Class B2, 7.69%,
05/25/65(a)(b)
|
|
589
|
560,068
|
|
Series 2025-NQM2, Class B3, 7.69%,
05/25/65(a)(b)
|
|
109
|
92,045
|
|
Series 2025-NQM2, Class M1, 6.71%,
05/25/65(a)(b)
|
|
3,013
|
3,064,430
|
|
Series 2025-NQM2, Class SA, 0.00%,
05/25/65(a)(b)
|
|
2
|
2,049
|
|
BCAP LLC Trust, Series 2011-RR5, Class 11A5,
(1-mo. CME Term SOFR + 0.26%), 4.29%,
05/28/36(a)(b)
|
|
1,323
|
1,274,545
|
|
Bear Stearns ALT-A Trust
|
|
|
|
|
Series 2006-2, Class 22A1, 4.25%, 03/25/36(b)
|
|
3,113
|
2,006,805
|
|
Series 2007-1, Class 1A1, (1-mo. CME Term
SOFR + 0.43%), 4.75%, 01/25/47(b)
|
|
740
|
630,442
|
|
Bear Stearns Asset-Backed Securities I Trust
|
|
|
|
|
Series 2005-AC9, Class A5, 6.25%,
12/25/35(c)
|
|
141
|
137,579
|
|
Series 2006-AC2, Class 1A1, (1-mo. CME
Term SOFR + 0.46%), 4.78%, 03/25/36(b)
|
|
3,102
|
805,838
|
|
Bear Stearns Mortgage Funding Trust
|
|
|
|
|
Series 2006-SL1, Class A1, (1-mo. CME Term
SOFR + 0.39%), 4.71%, 08/25/36(b)
|
|
251
|
248,301
|
|
Series 2007-AR2, Class A1, (1-mo. CME Term
SOFR + 0.45%), 4.77%, 03/25/37(b)
|
|
180
|
170,822
|
|
Series 2007-AR3, Class 1A1, (1-mo. CME
Term SOFR + 0.25%), 4.71%, 03/25/37(b)
|
|
306
|
285,612
|
|
Series 2007-AR4, Class 2A1, (1-mo. CME
Term SOFR + 0.32%), 4.64%, 06/25/37(b)
|
|
281
|
269,440
|
|
BlackRock Capital Finance LP, Series 1997-R2,
Class AP, 0.00%, 12/25/35(a)(g)(q)
|
|
1
|
—
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Bletchley Park Funding PLC
|
|
|
|
|
Series 2025-1, Class D, (1-day SONIA +
1.88%), 6.10%, 01/27/70(b)(e)
|
GBP
|
891
|
$ 1,223,453
|
|
Series 2025-1, Class E, (1-day SONIA +
3.38%), 7.60%, 01/27/70(b)(e)
|
|
1,222
|
1,677,928
|
|
BRAVO Residential Funding Trust
|
|
|
|
|
Series 2023-NQM6, Class B1, 8.00%,
09/25/63(a)(b)
|
USD
|
662
|
666,924
|
|
Series 2024-NQM1, Class B1, 8.04%,
12/01/63(a)
|
|
353
|
357,245
|
|
Series 2024-NQM3, Class B1, 8.10%,
03/25/64(a)(b)
|
|
527
|
535,067
|
|
Series 2024-NQM6, Class B2, 8.04%,
08/01/64(a)(b)
|
|
250
|
247,944
|
|
Series 2025-NQM2, Class A1, 5.68%,
11/25/64(a)(c)
|
|
8,742
|
8,783,676
|
|
CAFL Issuer LLC, Series 2024-RTL1, Class A1,
6.75%, 11/28/31(a)(c)
|
|
1,281
|
1,298,567
|
|
Castell PLC
|
|
|
|
|
Series 2025-1, Class C, (1-day SONIA +
1.55%), 5.77%, 01/27/62(b)(e)
|
GBP
|
394
|
541,115
|
|
Series 2025-1, Class D, (1-day SONIA +
2.00%), 6.22%, 01/27/62(b)(e)
|
|
233
|
319,998
|
|
Series 2025-1, Class E, (1-day SONIA +
3.50%), 7.72%, 01/27/62(b)(e)
|
|
666
|
914,658
|
|
CFMT LLC
|
|
|
|
|
Series 2024-HB14, Class M2, 3.00%,
06/25/34(a)(b)
|
USD
|
274
|
259,275
|
|
Series 2024-HB14, Class M3, 3.00%,
06/25/34(a)(b)
|
|
675
|
630,488
|
|
Series 2024-HB15, Class M2, 4.00%,
08/25/34(a)(b)
|
|
265
|
254,221
|
|
Series 2024-R1, Class A1, 4.00%,
10/25/54(a)(c)
|
|
1,169
|
1,147,192
|
|
Series 2024-R1, Class A2, 4.00%,
10/25/54(a)(c)
|
|
176
|
168,803
|
|
Chase Mortgage Finance Trust, Series 2007-S6,
Class 1A1, 6.00%, 12/25/37
|
|
18,756
|
7,544,852
|
|
CHNGE Mortgage Trust
|
|
|
|
|
Series 2022-1, Class A1, 3.01%, 01/25/67(a)(b)
|
|
1,751
|
1,660,074
|
|
Series 2022-4, Class A1, 6.00%, 10/25/57(a)(c)
|
|
489
|
491,005
|
|
CIM Trust
|
|
|
|
|
Series 2023-I2, Class A2, 6.85%, 12/25/67(a)(c)
|
|
2,791
|
2,811,448
|
|
Series 2025-I1, Class A1, 5.66%, 10/25/69(a)(c)
|
|
8,990
|
9,060,124
|
|
Citadel PLC
|
|
|
|
|
Series 2024-1, Class B, (1-day SONIA +
1.45%), 5.67%, 04/28/60(b)(e)
|
GBP
|
483
|
663,872
|
|
Series 2024-1, Class C, (1-day SONIA +
1.75%), 5.97%, 04/28/60(b)(e)
|
|
506
|
695,483
|
|
Series 2024-1, Class D, (1-day SONIA +
2.45%), 6.67%, 04/28/60(b)(e)
|
|
553
|
758,903
|
|
Series 2024-1, Class E, (1-day SONIA +
3.75%), 7.97%, 04/28/60(b)(e)
|
|
539
|
739,879
|
|
Citicorp Mortgage Securities Trust
|
|
|
|
|
Series 2007-4, Class 1A14, 6.00%, 05/25/37
|
USD
|
597
|
523,503
|
|
Series 2007-9, Class 1A1, 6.25%, 12/25/37
|
|
866
|
815,152
|
|
Series 2008-2, Class 1A1, 6.50%, 06/25/38
|
|
2,885
|
2,410,146
|
|
Citigroup Mortgage Loan Trust, Series 2007-6,
Class 2A1, (1-mo. CME Term SOFR + 0.61%),
4.93%, 05/25/37(b)
|
|
1,753
|
1,622,017
|
|
CitiMortgage Alternative Loan Trust, Series 2007-
A6, Class 1A11, 6.00%, 06/25/37
|
|
428
|
374,317
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
COLT Mortgage Loan Trust
|
|
|
|
|
Series 2020-3, Class A3, 2.38%, 04/27/65(a)(b)
|
USD
|
145
|
$ 141,819
|
|
Series 2021-HX1, Class B2, 3.86%,
10/25/66(a)(b)
|
|
1,000
|
776,268
|
|
Series 2022-1, Class B2, 4.16%, 12/27/66(a)(b)
|
|
316
|
269,175
|
|
Series 2022-3, Class B1, 4.22%, 02/25/67(a)(b)
|
|
1,000
|
861,614
|
|
Series 2022-3, Class B2, 4.22%, 02/25/67(a)(b)
|
|
1,300
|
1,071,745
|
|
Series 2022-5, Class B1, 4.68%, 03/25/67(a)(b)
|
|
2,398
|
2,217,457
|
|
Series 2022-8, Class B1, 6.49%, 08/25/67(a)(b)
|
|
1,172
|
1,166,530
|
|
Series 2024-6, Class A1, 5.39%, 11/25/69(a)(c)
|
|
3,055
|
3,057,476
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
Series 2005-11CB, Class 2A1, 5.50%,
06/25/35
|
|
86
|
69,245
|
|
Series 2005-22T1, Class A1, (1-mo. CME Term
SOFR + 0.46%), 4.78%, 06/25/35(b)
|
|
2,571
|
2,265,667
|
|
Series 2005-29CB, Class A6, 5.50%, 07/25/35
|
|
299
|
172,813
|
|
Series 2005-55CW, Class 2A3, (1-mo. CME
Term SOFR + 0.46%), 4.79%, 11/25/35(b)
|
|
575
|
427,606
|
|
Series 2005-59, Class 1A1, (1-mo. CME Term
SOFR + 0.77%), 5.10%, 11/20/35(b)
|
|
611
|
600,423
|
|
Series 2005-76, Class 2A1, (12-mo. Federal
Reserve Cumulative Average US + 1.00%),
5.40%, 02/25/36(b)
|
|
391
|
355,330
|
|
Series 2006-11CB, Class 3A1, 6.50%,
05/25/36
|
|
1,355
|
611,578
|
|
Series 2006-15CB, Class A1, 6.50%, 06/25/36
|
|
306
|
139,891
|
|
Series 2006-28CB, Class A14, 6.25%,
10/25/36
|
|
1,131
|
557,574
|
|
Series 2006-6CB, Class 2A10, 6.00%,
05/25/36
|
|
221
|
83,058
|
|
Series 2006-OA11, Class A4, (1-mo. CME
Term SOFR + 0.49%), 4.81%, 09/25/46(b)
|
|
267
|
248,244
|
|
Series 2006-OA14, Class 1A1, (12-mo.
Federal Reserve Cumulative Average US +
1.73%), 6.13%, 11/25/46(b)
|
|
1,752
|
1,445,792
|
|
Series 2006-OA16, Class A2, (1-mo. CME
Term SOFR + 0.49%), 4.81%, 10/25/46(b)
|
|
2,016
|
1,875,137
|
|
Series 2006-OA16, Class A4C, (1-mo. CME
Term SOFR + 0.79%), 5.11%, 10/25/46(b)
|
|
2,935
|
2,165,147
|
|
Series 2006-OA21, Class A1, (1-mo. CME
Term SOFR + 0.30%), 4.62%, 03/20/47(b)
|
|
4,384
|
3,761,339
|
|
Series 2006-OA8, Class 1A1, (1-mo. CME
Term SOFR + 0.49%), 4.81%, 07/25/46(b)
|
|
227
|
204,575
|
|
Series 2006-OC1, Class 1A1, (1-mo. CME
Term SOFR + 0.57%), 4.89%, 03/25/36(b)
|
|
1,015
|
1,000,011
|
|
Series 2006-OC10, Class 2A3, (1-mo. CME
Term SOFR + 0.57%), 4.89%, 11/25/36(b)
|
|
1,574
|
1,357,891
|
|
Series 2006-OC7, Class 2A3, (1-mo. CME
Term SOFR + 0.61%), 4.93%, 07/25/46(b)
|
|
1,481
|
1,277,442
|
|
Series 2007-14T2, Class A1, 6.00%, 07/25/37
|
|
2,091
|
1,067,516
|
|
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37
|
|
266
|
117,040
|
|
Series 2007-AL1, Class A1, (1-mo. CME Term
SOFR + 0.36%), 4.68%, 06/25/37(b)
|
|
4,094
|
3,419,273
|
|
Series 2007-OA3, Class 1A1, (1-mo. CME
Term SOFR + 0.39%), 4.71%, 04/25/47(b)
|
|
547
|
501,823
|
|
Series 2007-OA8, Class 2A1, (1-mo. CME
Term SOFR + 0.47%), 4.79%, 06/25/47(b)
|
|
170
|
133,242
|
|
Series 2007-OH2, Class A2A, (1-mo. CME
Term SOFR + 0.59%), 4.91%, 08/25/47(b)
|
|
187
|
165,336
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Countrywide Home Loan Mortgage Pass-Through
Trust
|
|
|
|
|
Series 2004-29, Class 1A1, (1-mo. CME Term
SOFR + 0.65%), 4.97%, 02/25/35(b)
|
USD
|
63
|
$ 60,550
|
|
Series 2005-16, Class A28, 5.50%, 09/25/35
|
|
2,697
|
1,634,392
|
|
Series 2006-17, Class A6, 6.00%, 12/25/36
|
|
265
|
116,870
|
|
Series 2006-OA4, Class A1, (12-mo. Federal
Reserve Cumulative Average US + 0.96%),
5.36%, 04/25/46(b)
|
|
1,205
|
327,803
|
|
Series 2006-OA5, Class 3A1, (1-mo. CME
Term SOFR + 0.51%), 4.83%, 04/25/46(b)
|
|
340
|
327,346
|
|
Series 2007-1, Class A2, 6.00%, 03/25/37
|
|
405
|
179,064
|
|
Series 2007-15, Class 2A2, 6.50%, 09/25/37
|
|
7,345
|
2,629,438
|
|
Series 2007-9, Class A1, 5.75%, 07/25/37
|
|
1,309
|
612,433
|
|
Series 2007-9, Class A11, 5.75%, 07/25/37
|
|
715
|
334,682
|
|
Credit Suisse Mortgage Capital Certificates,
Series 2009-12R, Class 3A1, 6.50%,
10/27/37(a)
|
|
8,101
|
3,042,929
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
Series 2006-4, Class 1A3, 6.00%, 05/25/36
|
|
967
|
513,023
|
|
Series 2006-4, Class 1A4, 6.00%, 05/25/36
|
|
731
|
387,809
|
|
Series 2014-4R, Class 16A3, (1-mo. CME
Term SOFR + 0.31%), 5.10%, 02/27/36(a)(b)
|
|
0
|
325
|
|
Series 2014-9R, Class 9A1, (1-mo. CME Term
SOFR + 0.23%), 4.68%, 08/27/36(a)(b)
|
|
532
|
437,720
|
|
Series 2015-6R, Class 5A2, (1-mo. CME Term
SOFR + 0.29%), 3.66%, 03/27/36(a)(b)
|
|
1,441
|
1,114,676
|
|
Series 2021-NQM8, Class M1, 3.26%,
10/25/66(a)(b)
|
|
759
|
564,554
|
|
Series 2021-RPL9, Class A1, 3.78%,
02/25/61(a)(b)
|
|
8,838
|
8,752,869
|
|
Series 2022-ATH3, Class B1, 7.10%,
08/25/67(a)(b)
|
|
2,276
|
2,278,408
|
|
Series 2022-NQM3, Class A1B, 4.27%,
03/25/67(a)(b)
|
|
3,821
|
3,730,546
|
|
Series 2022-NQM6, Class PT, 8.85%,
12/25/67(a)(b)
|
|
10,753
|
10,690,341
|
|
Cross Mortgage Trust
|
|
|
|
|
Series 2023-H2, Class A1A, 7.14%,
11/25/68(a)(c)
|
|
2,201
|
2,234,204
|
|
Series 2024-H7, Class A1, 5.59%,
11/25/69(a)(b)
|
|
4,549
|
4,562,028
|
|
Series 2025-H1, Class A1, 5.74%,
02/25/70(a)(b)
|
|
5,340
|
5,365,458
|
|
Series 2025-H2, Class A1, 5.36%,
03/25/70(a)(b)
|
|
2,012
|
2,011,811
|
|
CSFB Mortgage-Backed Pass-Through
Certificates, Series 2005-10, Class 10A1, (1-
mo. CME Term SOFR + 1.46%), 5.78%,
11/25/35(b)
|
|
1,191
|
252,965
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
|
Series 2022-2, Class M1, 4.31%, 03/25/67(a)(b)
|
|
1,629
|
1,441,149
|
|
Series 2022-3, Class B1, 5.27%, 07/25/67(a)(b)
|
|
1,716
|
1,509,212
|
|
Series 2022-3, Class M1, 5.27%, 07/25/67(a)(b)
|
|
3,171
|
2,939,574
|
|
Series 2024-1, Class A1, 5.74%, 07/25/69(a)(c)
|
|
2,310
|
2,321,974
|
|
Deutsche Alt-A Securities Mortgage Loan Trust,
Series 2007-OA4, Class A2A, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 08/25/47(b)
|
|
746
|
681,140
|
|
Deutsche Alt-B Securities Mortgage Loan Trust
|
|
|
|
|
Series 2006-AB3, Class A3, 6.51%,
07/25/36(b)
|
|
249
|
216,644
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Deutsche Alt-B Securities Mortgage Loan Trust
|
|
|
|
|
Series 2006-AB3, Class A8, 6.36%,
07/25/36(b)
|
USD
|
159
|
$ 138,153
|
|
Ellington Financial Mortgage Trust
|
|
|
|
|
Series 2022-4, Class B2, 5.91%, 09/25/67(a)(b)
|
|
2,288
|
1,980,332
|
|
Series 2024-NQM1, Class A1A, 5.71%,
11/25/69(a)(c)
|
|
4,271
|
4,284,712
|
|
Series 2025-INV1, Class A1, 5.63%,
03/25/70(a)(c)
|
|
5,630
|
5,644,707
|
|
Exmoor Funding PLC
|
|
|
|
|
Series 2024-1, Class C, (1-day SONIA +
1.90%), 6.14%, 03/25/94(b)(e)
|
GBP
|
454
|
628,967
|
|
Series 2024-1, Class D, (1-day SONIA +
2.80%), 7.04%, 03/25/94(b)(e)
|
|
197
|
269,944
|
|
First Horizon Alternative Mortgage Securities
Trust, Series 2005-AA12, Class 2A1, 4.94%,
02/25/36(b)
|
USD
|
19
|
11,534
|
|
GAEA Mortgage Loan Trust, Series 2025-A,
Class A, 6.75%, 02/25/30(a)(b)
|
|
2,183
|
2,142,352
|
|
GCAT Trust
|
|
|
|
|
Series 2021-NQM3, Class B1, 3.47%,
05/25/66(a)(b)
|
|
1,642
|
1,197,100
|
|
Series 2022-HX1, Class A1, 2.89%,
12/27/66(a)(b)
|
|
278
|
259,298
|
|
Series 2022-NQM1, Class B1, 3.92%,
02/25/67(a)(b)
|
|
564
|
426,673
|
|
Series 2022-NQM2, Class M1, 4.20%,
02/25/67(a)(b)
|
|
853
|
709,127
|
|
Series 2022-NQM4, Class A1, 5.27%,
08/25/67(a)(c)
|
|
4,948
|
4,929,629
|
|
Series 2023-NQM4, Class A1, 4.25%,
05/25/67(a)(b)
|
|
5,888
|
5,590,016
|
|
GreenPoint Mortgage Funding Trust, Series 2006-
AR2, Class 4A1, (12-mo. Federal Reserve
Cumulative Average US + 2.00%), 6.40%,
03/25/36(b)
|
|
388
|
362,844
|
|
GS Mortgage Securities Trust, Series 2019-PJ2,
Class B4, 4.37%, 11/25/49(a)(b)
|
|
1,388
|
1,257,935
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
|
Series 2022-NQM1, Class A4, 4.00%,
05/25/62(a)(b)
|
|
590
|
537,830
|
|
Series 2023-CCM1, Class B1, 7.40%,
08/25/53(a)(b)
|
|
1,022
|
1,016,519
|
|
GSR Mortgage Loan Trust
|
|
|
|
|
Series 2007-1F, Class 2A4, 5.50%, 01/25/37
|
|
22
|
42,669
|
|
Series 2007-OA2, Class 2A1, 2.86%,
06/25/47(b)
|
|
781
|
458,057
|
|
HarborView Mortgage Loan Trust
|
|
|
|
|
Series 2006-12, Class 1A1A, (1-mo. CME Term
SOFR + 0.52%), 4.84%, 12/19/36(b)
|
|
5,028
|
3,937,188
|
|
Series 2007-3, Class 1A1A, (1-mo. CME Term
SOFR + 0.51%), 4.83%, 05/19/37(b)
|
|
1,499
|
1,188,408
|
|
Series 2007-4, Class 2A2, (1-mo. CME Term
SOFR + 0.61%), 4.68%, 07/19/47(b)
|
|
357
|
332,476
|
|
HOMES Trust, Series 2024-NQM2, Class A1,
5.72%, 10/25/69(a)(c)
|
|
4,483
|
4,503,680
|
|
Homeward Opportunities Fund I Trust
|
|
|
|
|
Series 2020-2, Class A3, 3.20%, 05/25/65(a)(b)
|
|
4,156
|
4,110,647
|
|
Series 2020-2, Class B1, 5.45%, 05/25/65(a)(b)
|
|
809
|
806,277
|
|
Series 2022-1, Class A1, 5.08%, 07/25/67(a)(c)
|
|
8,738
|
8,690,135
|
|
Series 2022-1, Class M1, 5.04%, 07/25/67(a)(b)
|
|
3,380
|
3,303,620
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Impac CMB Trust
|
|
|
|
|
Series 2004-11, Class 1A2, (1-mo. CME Term
SOFR + 0.63%), 4.95%, 03/25/35(b)
|
USD
|
570
|
$ 751,427
|
|
Series 2005-6, Class 1A1, (1-mo. CME Term
SOFR + 0.61%), 4.93%, 10/25/35(b)
|
|
409
|
367,371
|
|
Series 2007-A, Class A, (1-mo. CME Term
SOFR + 0.61%), 4.93%, 05/25/37(a)(b)
|
|
875
|
847,864
|
|
Impac Secured Assets Trust, Series 2006-3,
Class A1, (1-mo. CME Term SOFR + 0.45%),
4.77%, 11/25/36(b)
|
|
1,649
|
1,497,430
|
|
IndyMac Index Mortgage Loan Trust
|
|
|
|
|
Series 2006-AR15, Class A1, (1-mo. CME
Term SOFR + 0.35%), 4.67%, 07/25/36(b)
|
|
268
|
261,878
|
|
Series 2006-AR35, Class 2A1A, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 01/25/37(b)
|
|
534
|
477,407
|
|
Series 2006-AR41, Class A3, (1-mo. CME
Term SOFR + 0.47%), 4.79%, 02/25/37(b)
|
|
375
|
353,185
|
|
Series 2007-AR19, Class 3A1, 4.01%,
09/25/37(b)
|
|
2,406
|
1,564,912
|
|
Series 2007-FLX5, Class 2A2, (1-mo. CME
Term SOFR + 0.59%), 4.91%, 08/25/37(b)
|
|
494
|
451,317
|
|
JPMorgan Alternative Loan Trust
|
|
|
|
|
Series 2007-A1, Class 1A4, (1-mo. CME Term
SOFR + 0.53%), 4.85%, 03/25/37(b)
|
|
578
|
478,549
|
|
Series 2007-A2, Class 2A1, 4.83%,
05/25/37(b)
|
|
151
|
133,852
|
|
JPMorgan Mortgage Trust
|
|
|
|
|
Series 2021-4, Class B3, 2.90%, 08/25/51(a)(b)
|
|
3,464
|
2,786,291
|
|
Series 2021-4, Class B4, 2.90%, 08/25/51(a)(b)
|
|
269
|
212,008
|
|
Series 2021-4, Class B5, 2.90%, 08/25/51(a)(b)
|
|
202
|
148,182
|
|
Series 2021-4, Class B6, 2.90%, 08/25/51(a)(b)
|
|
611
|
216,965
|
|
Series 2021-INV5, Class A5A, 2.50%,
12/25/51(a)(b)
|
|
8,202
|
6,634,429
|
|
Series 2021-INV5, Class B4, 3.19%,
12/25/51(a)(b)
|
|
1,216
|
998,081
|
|
Series 2021-INV5, Class B5, 3.19%,
12/25/51(a)(b)
|
|
425
|
324,875
|
|
Series 2021-INV5, Class B6, 3.04%,
12/25/51(a)(b)
|
|
1,458
|
706,254
|
|
Series 2021-INV7, Class A3A, 2.50%,
02/25/52(a)(b)
|
|
21,622
|
19,439,458
|
|
Series 2021-INV7, Class A4A, 2.50%,
02/25/52(a)(b)
|
|
10,539
|
7,058,898
|
|
Series 2021-INV7, Class A5A, 2.50%,
02/25/52(a)(b)
|
|
4,886
|
3,952,654
|
|
Series 2021-INV7, Class B1, 3.26%,
02/25/52(a)(b)
|
|
3,086
|
2,629,304
|
|
Series 2021-INV7, Class B2, 3.26%,
02/25/52(a)(b)
|
|
725
|
610,838
|
|
Series 2021-INV7, Class B3, 3.26%,
02/25/52(a)(b)
|
|
1,008
|
840,486
|
|
Series 2021-INV7, Class B4, 3.26%,
02/25/52(a)(b)
|
|
536
|
435,609
|
|
Series 2021-INV7, Class B5, 3.26%,
02/25/52(a)(b)
|
|
220
|
168,380
|
|
Series 2021-INV7, Class B6, 3.13%,
02/25/52(a)(b)
|
|
721
|
341,006
|
|
Series 2024-VIS1, Class B2, 8.07%,
07/25/64(a)(b)
|
|
507
|
500,966
|
|
Series 2024-VIS2, Class B1, 7.72%,
11/25/64(a)(b)
|
|
2,216
|
2,220,836
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Jubilee Place 7 BV, Series 7, Class D, (3-mo.
EURIBOR + 1.90%), 3.90%, 09/18/62(b)(e)
|
EUR
|
185
|
$ 215,998
|
|
Legacy Mortgage Asset Trust, Series 2021-GS2,
Class A1, 5.75%, 04/25/61(a)(c)
|
USD
|
14,133
|
14,130,145
|
|
Lehman XS Trust
|
|
|
|
|
Series 2007-16N, Class AF2, (1-mo. CME
Term SOFR + 2.01%), 6.33%, 09/25/47(b)
|
|
1,526
|
2,059,340
|
|
Series 2007-20N, Class A1, (1-mo. CME Term
SOFR + 2.41%), 6.73%, 12/25/37(b)
|
|
372
|
362,127
|
|
MASTR Resecuritization Trust, Series 2008-3,
Class A1, 4.26%, 08/25/37(a)(b)
|
|
615
|
188,285
|
|
MCM Trust
|
|
|
|
|
Series 2021-VFN1, Class Cert, 0.00%,
09/25/31(d)
|
|
16,232
|
11,178,732
|
|
Series 2021-VFN1, Class Note, 2.50%,
09/25/31
|
|
12,115
|
11,636,284
|
|
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A2, (1-mo. CME
Term SOFR + 0.53%), 4.85%, 04/25/37(b)
|
|
898
|
704,597
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
|
Series 2006-A3, Class 6A1, 5.21%,
05/25/36(b)
|
|
511
|
474,547
|
|
Series 2006-AF2, Class AV1, (1-mo. CME
Term SOFR + 0.43%), 4.75%, 09/25/37(b)
|
|
671
|
353,220
|
|
MFA Trust
|
|
|
|
|
Series 2020-NQM1, Class A3, 3.30%,
08/25/49(a)(b)
|
|
83
|
78,125
|
|
Series 2021-NQM1, Class B1, 3.51%,
04/25/65(a)(b)
|
|
3,310
|
2,695,311
|
|
Series 2022-NQM1, Class B1, 4.22%,
12/25/66(a)(b)
|
|
1,000
|
833,463
|
|
Series 2022-NQM1, Class M1, 4.22%,
12/25/66(a)(b)
|
|
3,429
|
2,979,728
|
|
Series 2024-RTL1, Class A1, 7.09%,
02/25/29(a)(c)
|
|
5,663
|
5,681,892
|
|
Miltonia Mortgage Finance Srl, Series 1, Class B,
(3-mo. EURIBOR + 1.30%), 3.46%,
04/28/62(b)(e)
|
EUR
|
1,776
|
2,062,569
|
|
Morgan Stanley Resecuritization Trust,
Series 2013-R7, Class 1B, (1-mo. CME Term
SOFR + 0.27%), 4.76%, 12/26/46(a)(b)
|
USD
|
633
|
586,918
|
|
Morgan Stanley Residential Mortgage Loan Trust
|
|
|
|
|
Series 2014-1A, Class B3, 5.96%,
06/25/44(a)(b)
|
|
323
|
325,383
|
|
Series 2023-NQM1, Class B1, 7.41%,
09/25/68(a)(b)
|
|
1,302
|
1,296,143
|
|
Series 2025-NQM1, Class A1, 5.74%,
11/25/69(a)(b)
|
|
8,001
|
8,050,212
|
|
Series 2025-NQM1, Class M1, 6.50%,
11/25/69(a)(b)
|
|
1,220
|
1,225,621
|
|
Mortgage Loan Resecuritization Trust,
Series 2009-RS1, Class A85, (1-mo. CME
Term SOFR + 0.34%), 4.78%, 04/16/36(a)(b)
|
|
1,328
|
1,302,960
|
|
Mortimer PLC
|
|
|
|
|
Series 2024-MIX, Class C, (1-day SONIA +
1.55%), 5.79%, 09/22/67(b)(e)
|
GBP
|
654
|
900,256
|
|
Series 2024-MIX, Class D, (1-day SONIA +
2.10%), 6.34%, 09/22/67(b)(e)
|
|
357
|
490,996
|
|
NACC Reperforming Loan REMIC Trust
|
|
|
|
|
Series 2004-R1, Class A1, 6.50%, 03/25/34(a)
|
USD
|
1,418
|
1,288,177
|
|
Series 2004-R1, Class A2, 7.50%, 03/25/34(a)
|
|
325
|
304,818
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
New Residential Mortgage Loan Trust
|
|
|
|
|
Series 2019-2A, Class A1, 4.25%,
12/25/57(a)(b)
|
USD
|
599
|
$ 586,924
|
|
Series 2020-RPL1, Class B3, 3.85%,
11/25/59(a)(b)
|
|
6,210
|
4,727,904
|
|
Series 2024-NQM3, Class B1, 7.17%,
11/25/64(a)(b)
|
|
781
|
767,438
|
|
Series 2025-NQM1, Class A1, 0.00%,
01/25/65(a)(c)
|
|
12,415
|
12,494,956
|
|
Series 2025-NQM1, Class M1, 6.47%,
01/25/65(a)(b)
|
|
679
|
685,180
|
|
New York Mortgage Trust
|
|
|
|
|
Series 2024-INV1, Class A1, 5.38%,
06/25/69(a)(b)
|
|
1,212
|
1,211,330
|
|
Series 2024-RR1, Class A, 7.38%,
05/25/64(a)(c)
|
|
6,747
|
6,707,579
|
|
NLT Trust, Series 2021-INV2, Class B1, 3.32%,
08/25/56(a)(b)
|
|
910
|
688,406
|
|
NMLT Trust, Series 2021-INV1, Class B1, 3.61%,
05/25/56(a)(b)
|
|
1,327
|
1,030,745
|
|
Nomura Asset Acceptance Corp. Alternative Loan
Trust
|
|
|
|
|
Series 2001-R1A, Class A, 7.00%,
02/19/30(a)(b)
|
|
223
|
220,537
|
|
Series 2006-AF1, Class 1A4, 7.13%,
05/25/36(c)
|
|
502
|
89,027
|
|
Series 2007-2, Class A4, (1-mo. CME Term
SOFR + 0.95%), 5.27%, 06/25/37(b)
|
|
228
|
190,600
|
|
OBX Trust, Series 2025-NQM3, Class A1, 5.65%,
12/01/64(a)(c)
|
|
5,223
|
5,250,928
|
|
Pierpont BTL PLC
|
|
|
|
|
Series 2024-1, Class D, (1-day SONIA +
2.20%), 6.44%, 09/21/61(b)(e)
|
GBP
|
322
|
443,606
|
|
Series 2025-1, Class D, (1-day SONIA +
1.85%), 6.08%, 03/21/62(b)(e)
|
|
151
|
207,351
|
|
PRET LLC, Series 2024-RN2, Class A1, 7.13%,
04/25/54(a)(c)
|
USD
|
2,016
|
2,028,202
|
|
PRKCM Trust
|
|
|
|
|
Series 2021-AFC2, Class A1, 2.07%,
11/25/56(a)(b)
|
|
1,253
|
1,109,140
|
|
Series 2022-AFC1, Class A1A, 4.10%,
04/25/57(a)(b)
|
|
633
|
625,370
|
|
Series 2022-AFC2, Class A1, 5.34%,
08/25/57(a)(b)
|
|
4,668
|
4,651,611
|
|
Series 2023-AFC1, Class B1, 7.44%,
02/25/58(a)(b)
|
|
2,349
|
2,359,108
|
|
PRP Advisors LLC
|
|
|
|
|
Series 2022-NQM1, Class B1, 5.41%,
08/25/67(a)(b)
|
|
471
|
458,577
|
|
Series 2024-NQM1, Class B1, 7.48%,
12/25/68(a)(b)
|
|
1,346
|
1,340,902
|
|
Series 2025-NQM1, Class A1, 5.80%,
11/25/69(a)(c)
|
|
4,795
|
4,834,452
|
|
Series 2025-NQM1, Class M1A, 6.65%,
11/25/69(a)(b)
|
|
983
|
998,331
|
|
Rain City Mortgage Trust, Series 2024-RTL1,
Class A1, 6.53%, 11/25/29(a)(b)
|
|
1,198
|
1,206,580
|
|
RALI Trust
|
|
|
|
|
Series 2006-QA10, Class A2, (1-mo. CME
Term SOFR + 0.47%), 4.79%, 12/25/36(b)
|
|
2,299
|
2,007,626
|
|
Series 2007-QH9, Class A1, 6.10%,
11/25/37(b)
|
|
436
|
364,842
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
RALI Trust
|
|
|
|
|
Series 2007-QO2, Class A1, (1-mo. CME Term
SOFR + 0.26%), 4.58%, 02/25/47(b)
|
USD
|
221
|
$ 66,931
|
|
RCKT Mortgage Trust, Series 2024-CES8,
Class A1A, 5.49%, 11/25/44(a)(c)
|
|
1,982
|
1,985,581
|
|
Reperforming Loan REMIC Trust
|
|
|
|
|
Series 2005-R2, Class 1AF1, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 06/25/35(a)(b)
|
|
151
|
145,404
|
|
Series 2005-R3, Class AF, (1-mo. CME Term
SOFR + 0.51%), 4.83%, 09/25/35(a)(b)
|
|
52
|
42,644
|
|
Residential Mortgage Loan Trust
|
|
|
|
|
Series 2019-2, Class B2, 6.04%, 05/25/59(a)(b)
|
|
2,434
|
2,402,572
|
|
Series 2019-3, Class B2, 5.66%, 09/25/59(a)(b)
|
|
282
|
276,993
|
|
Series 2020-2, Class M1, 3.57%, 05/25/60(a)(b)
|
|
7,854
|
7,461,336
|
|
RFMSI Series Trust
|
|
|
|
|
Series 2006-SA2, Class 2A1, 5.63%,
08/25/36(b)
|
|
4,143
|
2,938,755
|
|
Series 2006-SA4, Class 2A1, 5.54%,
11/25/36(b)
|
|
192
|
157,911
|
|
Series 2007-SA4, Class 3A1, 5.83%,
10/25/37(b)
|
|
258
|
157,958
|
|
RMF Buyout Issuance Trust
|
|
|
|
|
Series 2021-HB1, Class M3, 3.69%,
11/25/31(a)(b)
|
|
3,112
|
2,942,945
|
|
Series 2021-HB1, Class M6, 6.00%,
11/25/31(a)(b)
|
|
2,267
|
2,012,302
|
|
Saluda Grade Alternative Mortgage Trust
|
|
|
|
|
Series 2024-RTL4, Class A1, 7.50%,
02/25/30(a)(c)
|
|
9,935
|
9,995,627
|
|
Series 2024-RTL5, Class A1, 7.76%,
04/25/30(a)(c)
|
|
5,768
|
5,805,620
|
|
Seasoned Credit Risk Transfer Trust,
Series 2018-1, Class BX, 3.50%, 05/25/57(b)
|
|
518
|
229,014
|
|
Seasoned Loans Structured Transaction Trust
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60(a)(b)
|
|
8,832
|
8,739,084
|
|
Series 2020-3, Class M1, 4.75%, 04/26/60(a)(b)
|
|
376
|
371,378
|
|
Sequoia Mortgage Trust, Series 2007-3,
Class 2AA1, 4.50%, 07/20/37(b)
|
|
648
|
511,947
|
|
SG Residential Mortgage Trust
|
|
|
|
|
Series 2022-2, Class A1, 5.35%, 08/25/62(a)(c)
|
|
1,059
|
1,056,406
|
|
Series 2022-2, Class B1, 5.30%, 08/25/62(a)(b)
|
|
2,583
|
2,526,462
|
|
Spruce Hill Mortgage Loan Trust, Series 2022-
SH1, Class A3, 4.10%, 07/25/57(a)(c)
|
|
876
|
838,938
|
|
Stratton Mortgage Funding PLC, Series 2024-3,
Class C, (1-day SONIA + 1.50%), 5.74%,
06/25/49(b)(e)
|
GBP
|
492
|
674,572
|
|
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-3, Class 4A, 4.08%, 04/25/36(b)
|
USD
|
496
|
259,227
|
|
Structured Asset Mortgage Investments II Trust
|
|
|
|
|
Series 2006-AR4, Class 3A1, (1-mo. CME
Term SOFR + 0.49%), 4.81%, 06/25/36(b)
|
|
1,562
|
1,356,634
|
|
Series 2006-AR5, Class 2A1, (1-mo. CME
Term SOFR + 0.53%), 4.85%, 05/25/46(b)
|
|
281
|
197,952
|
|
Thornburg Mortgage Securities Trust,
Series 2006-3, Class A1, 4.20%, 06/25/46(b)
|
|
958
|
574,057
|
|
Together Asset-Backed Securitisation-1 PLC
|
|
|
|
|
Series 2025-CRE1, Class B, (1-day SONIA +
1.50%), 5.72%, 01/15/57(b)(e)
|
GBP
|
860
|
1,181,294
|
|
Series 2025-CRE1, Class C, (1-day SONIA +
1.80%), 6.02%, 01/15/57(b)(e)
|
|
511
|
705,555
|
|
Series 2025-CRE1, Class D, (1-day SONIA +
2.40%), 6.62%, 01/15/57(b)(e)
|
|
223
|
306,389
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Toorak Mortgage Corp.
|
|
|
|
|
Series 2021-INV1, Class B1, 3.29%,
07/25/56(a)(b)
|
USD
|
937
|
$ 765,554
|
|
Series 2021-INV2, Class B1, 4.10%,
11/25/56(a)(b)
|
|
3,051
|
2,454,203
|
|
Toorak Mortgage Trust, Series 2024-2, Class A1,
6.33%, 10/25/31(a)(c)
|
|
937
|
935,069
|
|
TVC DSCR Trust
|
|
|
|
|
Series 21-1, Class A, 2.38%, 02/01/51(a)
|
|
15,094
|
13,848,671
|
|
Series 21-1, Class CERT, 0.00%, 02/01/51
|
|
7,160
|
6,145,670
|
|
Verus Securitization Trust
|
|
|
|
|
Series 2019-INV3, Class B1, 3.73%,
11/25/59(a)(b)
|
|
800
|
779,185
|
|
Series 2020-4, Class A3, 3.32%, 05/25/65(a)(c)
|
|
326
|
320,207
|
|
Series 2020-4, Class M1, 3.29%, 05/25/65(a)(b)
|
|
3,120
|
3,058,974
|
|
Series 2020-5, Class B1, 3.71%, 05/25/65(a)(b)
|
|
400
|
364,521
|
|
Series 2021-3, Class B1, 3.20%, 06/25/66(a)(b)
|
|
1,668
|
1,187,769
|
|
Series 2021-6, Class B1, 4.05%, 10/25/66(a)(b)
|
|
291
|
226,315
|
|
Series 2021-6, Class M1, 2.94%, 10/25/66(a)(b)
|
|
806
|
591,738
|
|
Series 2022-1, Class B1, 4.01%, 01/25/67(a)(b)
|
|
1,354
|
1,029,088
|
|
Series 2022-3, Class B1, 4.06%, 02/25/67(a)(b)
|
|
3,879
|
3,072,319
|
|
Series 2022-4, Class B1, 4.77%, 04/25/67(a)(b)
|
|
616
|
553,089
|
|
Series 2022-INV1, Class B1, 5.79%,
08/25/67(a)(b)
|
|
606
|
593,520
|
|
Series 2023-2, Class B1, 7.48%, 03/25/68(a)(b)
|
|
2,041
|
2,038,760
|
|
Series 2023-3, Class B1, 7.76%, 03/25/68(a)(b)
|
|
543
|
543,994
|
|
Series 2024-7, Class B1, 6.50%, 09/25/69(a)(b)
|
|
870
|
859,773
|
|
Visio Trust
|
|
|
|
|
Series 2019-2, Class B1, 3.91%, 11/25/54(a)(b)
|
|
906
|
813,131
|
|
Series 2020-1, Class M1, 4.45%, 08/25/55(a)(b)
|
|
1,100
|
1,055,947
|
|
Series 2022-1, Class B1, 5.94%, 08/25/57(a)(b)
|
|
2,429
|
2,244,418
|
|
Vista Point Securitization Trust
|
|
|
|
|
Series 2020-2, Class A3, 2.50%, 04/25/65(a)(b)
|
|
560
|
539,324
|
|
Series 2020-2, Class B1, 4.90%, 04/25/65(a)(b)
|
|
640
|
626,308
|
|
Series 2020-2, Class B2, 5.16%, 04/25/65(a)(b)
|
|
500
|
476,679
|
|
Series 2020-2, Class M1, 3.40%, 04/25/65(a)(b)
|
|
1,480
|
1,404,659
|
|
Washington Mutual Mortgage Pass-Through
Certificates Trust
|
|
|
|
|
Series 2006-1, Class 4CB, 6.50%, 02/25/36
|
|
765
|
610,908
|
|
Series 2006-4, Class 1A1, 6.00%, 04/25/36
|
|
1,554
|
1,461,120
|
|
Series 2006-4, Class 3A1, 7.00%, 05/25/36(c)
|
|
695
|
611,261
|
|
Series 2006-4, Class 3A5, 6.85%, 05/25/36(c)
|
|
269
|
237,010
|
|
Series 2006-AR10, Class A2A, (1-mo. CME
Term SOFR + 0.45%), 4.77%, 12/25/36(b)
|
|
609
|
500,109
|
|
Series 2007-HY3, Class 4A1, 5.10%,
03/25/37(b)
|
|
24
|
22,476
|
|
Series 2007-OA1, Class 2A, (12-mo. Federal
Reserve Cumulative Average US + 0.72%),
5.12%, 12/25/46(b)
|
|
222
|
179,051
|
|
Series 2007-OA3, Class 5A, (12-mo. Federal
Reserve Cumulative Average US + 1.25%),
5.65%, 04/25/47(b)
|
|
817
|
706,326
|
|
Series 2007-OA5, Class 1A, (12-mo. Federal
Reserve Cumulative Average US + 0.75%),
5.15%, 06/25/47(b)
|
|
2,124
|
1,762,722
|
|
Series 2007-OA5, Class 2A, (12-mo. Federal
Reserve Cumulative Average US + 0.80%),
5.20%, 06/25/47(b)
|
|
866
|
713,987
|
|
Series 2007-OC2, Class A3, (1-mo. CME Term
SOFR + 0.73%), 5.05%, 06/25/37(b)
|
|
842
|
774,469
|
|
Security
|
|
Par
(000)
|
Value
|
|
Collateralized Mortgage Obligations (continued)
|
|||
|
Western Alliance Bank
|
|
|
|
|
Series 2021-CL2, Class M1, (SOFR (30-day) +
3.15%), 7.46%, 07/25/59(a)(b)
|
USD
|
5,763
|
$ 5,995,130
|
|
Series 2021-CL2, Class M2, (SOFR (30-day) +
3.70%), 8.01%, 07/25/59(a)(b)
|
|
7,587
|
7,905,297
|
|
Winchester PLC
|
|
|
|
|
Series 1, Class C, (1-day SONIA + 1.55%),
5.85%, 10/21/56(b)(e)
|
GBP
|
425
|
581,827
|
|
Series 1, Class D, (1-day SONIA + 2.00%),
6.30%, 10/21/56(b)(e)
|
|
393
|
538,952
|
|
|
1,134,584,431
|
||
|
Commercial Mortgage-Backed Securities — 6.4%
|
|||
|
1211 Avenue of the Americas Trust
|
|
|
|
|
Series 2015-1211, Class C, 4.28%,
08/10/35(a)(b)
|
USD
|
600
|
560,256
|
|
Series 2015-1211, Class D, 4.28%,
08/10/35(a)(b)
|
|
4,972
|
4,592,935
|
|
Series 2015-1211, Class E, 4.28%,
08/10/35(a)(b)
|
|
1,110
|
1,014,274
|
|
1345 Trust
|
|
|
|
|
Series 2025-AOA, Class A, (1-mo. CME Term
SOFR + 1.60%), 5.90%, 06/15/30(a)(b)
|
|
2,695
|
2,699,206
|
|
Series 2025-AOA, Class E, (1-mo. CME Term
SOFR + 4.50%), 8.80%, 06/15/30(a)(b)
|
|
4,620
|
4,633,042
|
|
245 Park Avenue Trust
|
|
|
|
|
Series 2017-245P, Class D, 3.78%,
06/05/37(a)(b)
|
|
480
|
453,146
|
|
Series 2017-245P, Class E, 3.78%,
06/05/37(a)(b)
|
|
2,463
|
2,302,301
|
|
280 Park Avenue Mortgage Trust
|
|
|
|
|
Series 2017-280P, Class A, (1-mo. CME Term
SOFR + 1.18%), 5.49%, 09/15/34(a)(b)
|
|
951
|
942,096
|
|
Series 2017-280P, Class B, (1-mo. CME Term
SOFR + 1.38%), 5.69%, 09/15/34(a)(b)
|
|
997
|
977,060
|
|
Series 2017-280P, Class D, (1-mo. CME Term
SOFR + 1.84%), 6.15%, 09/15/34(a)(b)
|
|
2,920
|
2,839,700
|
|
Series 2017-280P, Class E, (1-mo. CME Term
SOFR + 2.42%), 6.73%, 09/15/34(a)(b)
|
|
7,007
|
6,744,406
|
|
3650R Commercial Mortgage Trust, Series 2022-
PF2, Class A5, 5.47%, 11/15/55(b)
|
|
1,000
|
1,017,839
|
|
ACREC LLC, Series 2023-FL2, Class A, (1-mo.
CME Term SOFR + 2.23%), 6.54%,
02/19/38(a)(b)
|
|
3,847
|
3,849,827
|
|
Alen Mortgage Trust, Series 2021-ACEN,
Class A, (1-mo. CME Term SOFR + 1.26%),
5.58%, 04/15/34(a)(b)
|
|
1,144
|
1,095,380
|
|
Arbor Multifamily Mortgage Securities Trust
|
|
|
|
|
Series 2020-MF1, Class E, 1.75%, 05/15/53(a)
|
|
636
|
508,302
|
|
Series 2021-MF3, Class A5, 2.58%,
10/15/54(a)
|
|
679
|
600,623
|
|
Arbor Realty Collateralized Loan Obligation Ltd.,
Series 2025-BTR1, Class A, (1-mo. CME Term
SOFR + 1.93%), 6.23%, 01/20/41(a)(b)
|
|
1,120
|
1,121,291
|
|
ARES Commercial Mortgage Trust
|
|
|
|
|
Series 2024-IND, Class A, (1-mo. CME Term
SOFR + 1.69%), 6.00%, 07/15/41(a)(b)
|
|
8,860
|
8,873,844
|
|
Series 2024-IND2, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.76%, 10/15/34(a)(b)
|
|
10,370
|
10,379,700
|
|
Ashford Hospitality Trust, Series 2018-ASHF,
Class D, (1-mo. CME Term SOFR + 2.27%),
6.58%, 04/15/35(a)(b)
|
|
1,525
|
1,500,234
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
Atrium Hotel Portfolio Trust
|
|
|
|
|
Series 2017-ATRM, Class D, (1-mo. CME Term
SOFR + 2.25%), 6.56%, 12/15/36(a)(b)
|
USD
|
3,269
|
$ 3,072,859
|
|
Series 2024-ATRM, Class A, 5.59%,
11/10/29(a)(b)
|
|
7,110
|
7,249,914
|
|
Series 2024-ATRM, Class E, 9.52%,
11/10/29(a)(b)
|
|
2,226
|
2,281,654
|
|
BAHA Trust
|
|
|
|
|
Series 2024-MAR, Class A, 6.17%,
12/10/41(a)(b)
|
|
27,690
|
28,665,713
|
|
Series 2024-MAR, Class B, 7.07%,
12/10/41(a)(b)
|
|
1,001
|
1,046,022
|
|
Series 2024-MAR, Class C, 7.77%,
12/10/41(a)(b)
|
|
2,452
|
2,558,505
|
|
Banc of America Merrill Lynch Commercial
Mortgage Securities Trust
|
|
|
|
|
Series 2024-BHP, Class A, (1-mo. CME Term
SOFR + 2.35%), 6.66%, 08/15/39(a)(b)
|
|
5,800
|
5,828,939
|
|
Series 2025-ASHF, Class A, (1-mo. CME Term
SOFR + 1.85%), 6.16%, 02/15/42(a)(b)
|
|
10,950
|
10,950,383
|
|
Series 2025-ASHF, Class E, (1-mo. CME Term
SOFR + 5.25%), 9.56%, 02/15/42(a)(b)
|
|
4,465
|
4,436,355
|
|
Bayview Commercial Asset Trust
|
|
|
|
|
Series 2005-3A, Class A1, (1-mo. CME Term
SOFR + 0.59%), 4.92%, 11/25/35(a)(b)
|
|
1,124
|
1,081,370
|
|
Series 2005-4A, Class A1, (1-mo. CME Term
SOFR + 0.56%), 4.88%, 01/25/36(a)(b)
|
|
2,312
|
2,178,493
|
|
Series 2005-4A, Class A2, (1-mo. CME Term
SOFR + 0.70%), 5.02%, 01/25/36(a)(b)
|
|
35
|
32,952
|
|
Series 2005-4A, Class M1, (1-mo. CME Term
SOFR + 0.79%), 5.11%, 01/25/36(a)(b)
|
|
93
|
87,862
|
|
Series 2006-1A, Class A2, (1-mo. CME Term
SOFR + 0.65%), 4.97%, 04/25/36(a)(b)
|
|
119
|
111,293
|
|
Series 2006-2A, Class A2, (1-mo. CME Term
SOFR + 0.53%), 4.85%, 07/25/36(a)(b)
|
|
386
|
370,115
|
|
Series 2006-3A, Class A1, (1-mo. CME Term
SOFR + 0.49%), 4.81%, 10/25/36(a)(b)
|
|
153
|
146,678
|
|
Series 2006-3A, Class A2, (1-mo. CME Term
SOFR + 0.56%), 4.88%, 10/25/36(a)(b)
|
|
107
|
102,216
|
|
Series 2006-4A, Class A1, (1-mo. CME Term
SOFR + 0.46%), 4.78%, 12/25/36(a)(b)
|
|
708
|
680,345
|
|
Series 2007-1, Class A2, (1-mo. CME Term
SOFR + 0.52%), 4.84%, 03/25/37(a)(b)
|
|
550
|
519,967
|
|
Series 2007-5A, Class A4, (1-mo. CME Term
SOFR + 2.36%), 6.68%, 10/25/37(a)(b)
|
|
2,824
|
1,564,505
|
|
Series 2007-6A, Class A4A, (1-mo. CME Term
SOFR + 1.61%), 6.68%, 12/25/37(a)(b)
|
|
1,396
|
1,232,171
|
|
Series 2008-2, Class A4A, (1-mo. CME Term
SOFR + 3.86%), 8.18%, 04/25/38(a)(b)
|
|
939
|
925,496
|
|
BBCMS Mortgage Trust
|
|
|
|
|
Series 2015-SRCH, Class A1, 3.31%,
08/10/35(a)
|
|
953
|
932,763
|
|
Series 2018-CHRS, Class E, 4.41%,
08/05/38(a)(b)
|
|
640
|
532,033
|
|
Series 2018-TALL, Class A, (1-mo. CME Term
SOFR + 0.92%), 5.23%, 03/15/37(a)(b)
|
|
3,309
|
3,127,530
|
|
Series 2018-TALL, Class B, (1-mo. CME Term
SOFR + 1.17%), 5.48%, 03/15/37(a)(b)
|
|
1,166
|
1,072,984
|
|
Series 2023-5C23, Class D, 7.70%,
12/15/56(a)(b)
|
|
553
|
551,621
|
|
Series 2025-5C34, Class A3, 5.66%, 05/15/58
|
|
1,598
|
1,666,631
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
BDS Ltd., Series 2022-FL12, Class A, (1-mo.
CME Term SOFR + 2.14%), 6.45%,
08/19/38(a)(b)
|
USD
|
1,449
|
$ 1,449,452
|
|
BFLD Trust
|
|
|
|
|
Series 2020-EYP, Class E, (1-mo. CME Term
SOFR + 3.81%), 8.13%, 10/15/35(a)(b)
|
|
3,978
|
49,685
|
|
Series 2024-UNIV, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.80%, 11/15/41(a)(b)
|
|
3,690
|
3,694,612
|
|
Series 2024-UNIV, Class E, (1-mo. CME Term
SOFR + 3.64%), 7.95%, 11/15/41(a)(b)
|
|
2,290
|
2,287,594
|
|
Series 2024-VICT, Class A, (1-mo. CME Term
SOFR + 1.89%), 6.20%, 07/15/41(a)(b)
|
|
4,170
|
4,180,425
|
|
Series 2025-EWEST, Class A, (1-mo. CME
Term SOFR + 1.55%), 5.85%, 06/15/42(a)(b)
|
|
10,008
|
10,014,255
|
|
BHMS, Series 2018-ATLS, Class A, (1-mo. CME
Term SOFR + 1.55%), 5.86%, 07/15/35(a)(b)
|
|
3,695
|
3,693,500
|
|
BLP Commercial Mortgage Trust, Series 2023-
IND, Class A, (1-mo. CME Term SOFR +
1.69%), 6.00%, 03/15/40(a)(b)
|
|
1,984
|
1,985,860
|
|
BMP, Series 2024-MF23, Class E, (1-mo. CME
Term SOFR + 3.39%), 7.70%, 06/15/41(a)(b)
|
|
2,636
|
2,627,524
|
|
BOCA Commercial Mortgage Trust, Series 2024-
BOCA, Class A, (1-mo. CME Term SOFR +
1.92%), 6.23%, 08/15/41(a)(b)
|
|
1,392
|
1,395,480
|
|
BPR Commercial Mortgage Trust, Series 2024-
PARK, Class B, 5.99%, 11/05/39(a)(b)
|
|
1,500
|
1,524,722
|
|
BPR Trust
|
|
|
|
|
Series 2022-SSP, Class A, (1-mo. CME Term
SOFR + 3.00%), 7.31%, 05/15/39(a)(b)
|
|
1,270
|
1,268,811
|
|
Series 2023-STON, Class A, 7.50%,
12/05/39(a)
|
|
1,145
|
1,192,340
|
|
Series 2024-PARK, Class A, 5.39%,
11/05/39(a)(b)
|
|
1,880
|
1,904,160
|
|
Series 2024-PARK, Class D, 7.23%,
11/05/39(a)(b)
|
|
320
|
326,311
|
|
Series 2024-PMDW, Class A, 5.36%,
11/05/41(a)(b)
|
|
620
|
629,412
|
|
BSPDF Issuer LLC, Series 2025-FL2, Class A,
(1-mo. CME Term SOFR + 1.52%), 5.84%,
12/15/42(a)(b)
|
|
1,339
|
1,337,017
|
|
BSTN Commercial Mortgage Trust, Series 2025-
1C, Class A, 5.55%, 06/15/44(a)(b)
|
|
1,144
|
1,169,659
|
|
BWAY Mortgage Trust
|
|
|
|
|
Series 2013-1515, Class A2, 3.45%,
03/10/33(a)
|
|
1,926
|
1,831,760
|
|
Series 2013-1515, Class D, 3.63%, 03/10/33(a)
|
|
1,400
|
1,265,852
|
|
Series 2013-1515, Class E, 3.72%, 03/10/33(a)
|
|
250
|
221,175
|
|
Series 2013-1515, Class F, 4.06%,
03/10/33(a)(b)
|
|
250
|
216,480
|
|
Series 2025-1535, Class A, 6.52%,
05/05/42(a)(b)
|
|
891
|
916,968
|
|
BX Commercial Mortgage Trust
|
|
|
|
|
Series 2020-VIV2, Class C, 3.66%,
03/09/44(a)(b)
|
|
2,550
|
2,346,292
|
|
Series 2020-VIV3, Class B, 3.66%,
03/09/44(a)(b)
|
|
3,862
|
3,590,736
|
|
Series 2020-VIV4, Class A, 2.84%, 03/09/44(a)
|
|
4,397
|
4,012,123
|
|
Series 2021-NWM, Class A, (1-mo. CME Term
SOFR + 1.02%), 5.34%, 02/15/33(a)(b)
|
|
14,245
|
14,150,439
|
|
Series 2021-NWM, Class B, (1-mo. CME Term
SOFR + 2.26%), 6.58%, 02/15/33(a)(b)
|
|
8,727
|
8,682,505
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
BX Commercial Mortgage Trust
|
|
|
|
|
Series 2021-NWM, Class C, (1-mo. CME Term
SOFR + 4.36%), 8.68%, 02/15/33(a)(b)
|
USD
|
5,842
|
$ 5,830,405
|
|
Series 2021-SOAR, Class G, (1-mo. CME
Term SOFR + 2.91%), 7.23%, 06/15/38(a)(b)
|
|
3,573
|
3,575,024
|
|
Series 2022-CSMO, Class B, (1-mo. CME
Term SOFR + 3.14%), 7.45%, 06/15/27(a)(b)
|
|
3,905
|
3,934,287
|
|
Series 2023-VLT3, Class A, (1-mo. CME Term
SOFR + 1.94%), 6.25%, 11/15/28(a)(b)
|
|
1,720
|
1,720,000
|
|
Series 2023-XL3, Class A, (1-mo. CME Term
SOFR + 1.76%), 6.07%, 12/09/40(a)(b)
|
|
4,114
|
4,125,724
|
|
Series 2023-XL3, Class D, (1-mo. CME Term
SOFR + 3.59%), 7.90%, 12/09/40(a)(b)
|
|
5,463
|
5,479,250
|
|
Series 2024-AIR2, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.80%, 10/15/41(a)(b)
|
|
5,909
|
5,919,604
|
|
Series 2024-AIRC, Class A, (1-mo. CME Term
SOFR + 1.69%), 6.00%, 08/15/39(a)(b)
|
|
11,327
|
11,369,804
|
|
Series 2024-AIRC, Class B, (1-mo. CME Term
SOFR + 2.14%), 6.45%, 08/15/39(a)(b)
|
|
97
|
97,254
|
|
Series 2024-BRBK, Class A, (1-mo. CME Term
SOFR + 2.88%), 7.19%, 10/15/41(a)(b)
|
|
8,630
|
8,683,829
|
|
Series 2024-BRBK, Class B, (1-mo. CME Term
SOFR + 3.93%), 8.24%, 10/15/41(a)(b)
|
|
2,104
|
2,109,252
|
|
Series 2024-BRBK, Class D, (1-mo. CME Term
SOFR + 5.97%), 10.28%, 10/15/41(a)(b)
|
|
469
|
470,170
|
|
Series 2024-BRBK, Class E, (1-mo. CME Term
SOFR + 6.97%), 11.28%, 10/15/41(a)(b)
|
|
522
|
519,047
|
|
Series 2024-GPA3, Class B, (1-mo. CME Term
SOFR + 1.64%), 5.95%, 12/15/39(a)(b)
|
|
1,640
|
1,641,599
|
|
Series 2024-KING, Class A, (1-mo. CME Term
SOFR + 1.54%), 5.85%, 05/15/34(a)(b)
|
|
4,333
|
4,332,957
|
|
Series 2024-MDHS, Class A, (1-mo. CME Term
SOFR + 1.64%), 5.95%, 05/15/41(a)(b)
|
|
13,142
|
13,158,683
|
|
Series 2024-MF, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.75%, 02/15/39(a)(b)
|
|
1,077
|
1,078,735
|
|
Series 2024-MF, Class E, (1-mo. CME Term
SOFR + 3.74%), 8.05%, 02/15/39(a)(b)
|
|
3,385
|
3,391,730
|
|
Series 2024-PURE, Class A, (CORRA +
1.90%), 4.66%, 11/15/41(a)(b)
|
CAD
|
1,343
|
996,439
|
|
Series 2024-XL4, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.75%, 02/15/39(a)(b)
|
USD
|
2,765
|
2,768,599
|
|
Series 2024-XL4, Class D, (1-mo. CME Term
SOFR + 3.14%), 7.45%, 02/15/39(a)(b)
|
|
8,428
|
8,451,733
|
|
Series 2024-XL4, Class E, (1-mo. CME Term
SOFR + 4.19%), 8.50%, 02/15/39(a)(b)
|
|
5,019
|
4,882,525
|
|
Series 2024-XL5, Class A, (1-mo. CME Term
SOFR + 1.39%), 5.70%, 03/15/41(a)(b)
|
|
180
|
180,452
|
|
BX Trust
|
|
|
|
|
Series 2019-OC11, Class D, 4.08%,
12/09/41(a)(b)
|
|
4,000
|
3,739,234
|
|
Series 2021-ARIA, Class A, (1-mo. CME Term
SOFR + 1.01%), 5.33%, 10/15/36(a)(b)
|
|
402
|
401,623
|
|
Series 2021-LBA, Class AJV, (1-mo. CME
Term SOFR + 0.91%), 5.23%, 02/15/36(a)(b)
|
|
4,964
|
4,960,887
|
|
Series 2021-LBA, Class AV, (1-mo. CME Term
SOFR + 0.91%), 5.23%, 02/15/36(a)(b)
|
|
964
|
963,395
|
|
Series 2021-LBA, Class FJV, (1-mo. CME
Term SOFR + 2.51%), 6.83%, 02/15/36(a)(b)
|
|
6,390
|
6,346,069
|
|
Series 2021-LBA, Class FV, (1-mo. CME Term
SOFR + 2.51%), 6.83%, 02/15/36(a)(b)
|
|
4,055
|
4,027,392
|
|
Series 2021-LBA, Class GJV, (1-mo. CME
Term SOFR + 3.11%), 7.43%, 02/15/36(a)(b)
|
|
1,244
|
1,228,711
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
BX Trust
|
|
|
|
|
Series 2021-LBA, Class GV, (1-mo. CME Term
SOFR + 3.11%), 7.43%, 02/15/36(a)(b)
|
USD
|
4,206
|
$ 4,153,738
|
|
Series 2021-MFM1, Class F, (1-mo. CME Term
SOFR + 3.11%), 7.43%, 01/15/34(a)(b)
|
|
1,017
|
1,015,844
|
|
Series 2021-VIEW, Class F, (1-mo. CME Term
SOFR + 4.04%), 8.36%, 06/15/36(a)(b)
|
|
1,482
|
1,444,832
|
|
Series 2022-LBA6, Class A, (1-mo. CME Term
SOFR + 1.00%), 5.31%, 01/15/39(a)(b)
|
|
5,143
|
5,139,786
|
|
Series 2022-LBA6, Class D, (1-mo. CME Term
SOFR + 2.00%), 6.31%, 01/15/39(a)(b)
|
|
2,890
|
2,882,775
|
|
Series 2022-VAMF, Class A, (1-mo. CME Term
SOFR + 0.85%), 5.16%, 01/15/39(a)(b)
|
|
1,547
|
1,546,033
|
|
Series 2022-VAMF, Class B, (1-mo. CME Term
SOFR + 1.28%), 5.59%, 01/15/39(a)(b)
|
|
673
|
671,738
|
|
Series 2023-DELC, Class A, (1-mo. CME Term
SOFR + 2.69%), 7.00%, 05/15/38(a)(b)
|
|
8,160
|
8,210,891
|
|
Series 2023-DELC, Class D, (1-mo. CME Term
SOFR + 4.39%), 8.70%, 05/15/38(a)(b)
|
|
461
|
465,322
|
|
Series 2024-CNYN, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.75%, 04/15/41(a)(b)
|
|
4,899
|
4,909,620
|
|
Series 2024-CNYN, Class D, (1-mo. CME Term
SOFR + 2.69%), 7.00%, 04/15/41(a)(b)
|
|
5,377
|
5,385,437
|
|
Series 2024-CNYN, Class E, (1-mo. CME Term
SOFR + 3.69%), 8.00%, 04/15/41(a)(b)
|
|
3,075
|
3,058,851
|
|
Series 2024-PALM, Class A, (1-mo. CME Term
SOFR + 1.54%), 5.85%, 06/15/37(a)(b)
|
|
13,906
|
13,905,865
|
|
Series 2024-PAT, Class A, (1-mo. CME Term
SOFR + 2.09%), 6.40%, 03/15/41(a)(b)
|
|
3,750
|
3,750,000
|
|
Series 2024-PAT, Class C, (1-mo. CME Term
SOFR + 4.44%), 8.75%, 03/15/41(a)(b)
|
|
8,022
|
7,917,278
|
|
Series 2024-PAT, Class D, (1-mo. CME Term
SOFR + 5.39%), 9.70%, 03/15/41(a)(b)
|
|
3,845
|
3,776,777
|
|
Series 2024-VLT4, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.80%, 07/15/29(a)(b)
|
|
18,354
|
18,347,977
|
|
Series 2024-VLT4, Class E, (1-mo. CME Term
SOFR + 2.89%), 7.20%, 07/15/29(a)(b)
|
|
3,100
|
3,082,562
|
|
Series 2024-VLT4, Class F, (1-mo. CME Term
SOFR + 3.94%), 8.25%, 07/15/29(a)(b)
|
|
7,980
|
7,952,096
|
|
Series 2025-LIFE, Class A, 5.88%,
06/13/47(a)(b)
|
|
3,018
|
3,074,176
|
|
Series 2025-LUNR, Class A, (1-mo. CME Term
SOFR + 1.50%), 5.81%, 06/15/40(a)(b)
|
|
1,157
|
1,158,444
|
|
Series 2025-ROIC, Class E, (1-mo. CME Term
SOFR + 2.94%), 7.25%, 03/15/30(a)(b)
|
|
10,755
|
10,540,507
|
|
Series 2025-TAIL, Class E, (1-mo. CME Term
SOFR + 3.30%), 7.61%, 06/15/35(a)(b)
|
|
698
|
698,144
|
|
Series 2025-VLT6, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.76%, 03/15/42(a)(b)
|
|
4,517
|
4,513,663
|
|
BXP Trust
|
|
|
|
|
Series 2017-CC, Class D, 3.67%,
08/13/37(a)(b)
|
|
750
|
626,404
|
|
Series 2017-CC, Class E, 3.67%,
08/13/37(a)(b)
|
|
1,450
|
1,163,559
|
|
Series 2017-GM, Class D, 3.54%,
06/13/39(a)(b)
|
|
590
|
560,035
|
|
Series 2017-GM, Class E, 3.54%,
06/13/39(a)(b)
|
|
1,240
|
1,164,803
|
|
Series 2021-601L, Class D, 2.87%,
01/15/44(a)(b)
|
|
2,010
|
1,572,951
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
CALI Mortgage Trust, Series 2024-SUN, Class A,
(1-mo. CME Term SOFR + 1.89%), 6.20%,
07/15/41(a)(b)
|
USD
|
4,289
|
$ 4,294,361
|
|
Cassia SRL, Series 2022-1A, Class A, (3-mo.
EURIBOR + 2.50%), 4.56%, 05/22/34(a)(b)
|
EUR
|
7,578
|
8,945,312
|
|
CD Mortgage Trust
|
|
|
|
|
Series 2017-CD3, Class A4, 3.63%, 02/10/50
|
USD
|
850
|
818,125
|
|
Series 2017-CD5, Class B, 3.96%, 08/15/50(b)
|
|
2,091
|
2,008,131
|
|
Series 2017-CD6, Class B, 3.91%, 11/13/50(b)
|
|
597
|
567,031
|
|
CENT Trust, Series 2023-CITY, Class A, (1-mo.
CME Term SOFR + 2.62%), 6.93%,
09/15/38(a)(b)
|
|
9,482
|
9,493,615
|
|
CFCRE Commercial Mortgage Trust,
Series 2016-C3, Class A3, 3.87%, 01/10/48
|
|
410
|
407,873
|
|
CFK Trust, Series 2019-FAX, Class D, 4.79%,
01/15/39(a)(b)
|
|
2,643
|
2,465,088
|
|
CFSP Mortgage Trust, Series 2024-AHP1,
Class A, 6.50%, 04/15/37
|
|
8,574
|
8,213,478
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
Series 2015-P1, Class D, 3.23%, 09/15/48(a)
|
|
1,007
|
964,770
|
|
Series 2020-420K, Class E, 3.42%,
11/10/42(a)(b)
|
|
1,540
|
1,308,833
|
|
COAST Commercial Mortgage Trust
|
|
|
|
|
Series 2023-2HTL, Class A, (1-mo. CME Term
SOFR + 2.59%), 6.90%, 08/15/36(a)(b)
|
|
2,681
|
2,682,902
|
|
Series 2023-2HTL, Class D, (1-mo. CME Term
SOFR + 4.44%), 8.75%, 08/15/36(a)(b)
|
|
4,620
|
4,581,403
|
|
Commercial Mortgage Trust
|
|
|
|
|
Series 2015-LC19, Class B, 3.83%,
02/10/48(b)
|
|
512
|
504,250
|
|
Series 2016-667M, Class D, 3.29%,
10/10/36(a)(b)
|
|
313
|
227,097
|
|
Series 2024-CBM, Class A2, 5.87%,
12/10/41(a)(b)
|
|
830
|
844,087
|
|
Series 2024-WCL1, Class A, (1-mo. CME Term
SOFR + 1.84%), 6.15%, 06/15/41(a)(b)
|
|
8,360
|
8,357,384
|
|
Series 2024-WCL1, Class B, (1-mo. CME Term
SOFR + 2.59%), 6.90%, 06/15/41(a)(b)
|
|
2,829
|
2,817,507
|
|
Series 2024-WCL1, Class E, (1-mo. CME Term
SOFR + 4.49%), 8.80%, 06/15/41(a)(b)
|
|
3,312
|
3,281,762
|
|
CONE Trust
|
|
|
|
|
Series 2024-DFW1, Class A, (1-mo. CME Term
SOFR + 1.64%), 5.95%, 08/15/41(a)(b)
|
|
3,280
|
3,267,660
|
|
Series 2024-DFW1, Class E, (1-mo. CME Term
SOFR + 3.89%), 8.20%, 08/15/41(a)(b)
|
|
3,244
|
3,219,338
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
Series 2017-CALI, Class C, 3.90%,
11/10/32(a)(b)
|
|
1,729
|
519,582
|
|
Series 2017-PFHP, Class A, (1-mo. CME Term
SOFR + 1.00%), 5.31%, 12/15/30(a)(b)
|
|
505
|
503,386
|
|
Series 2017-TIME, Class A, 3.65%, 11/13/39(a)
|
|
850
|
800,693
|
|
Series 2020-FACT, Class E, (1-mo. CME Term
SOFR + 5.48%), 9.79%, 10/15/37(a)(b)
|
|
2,484
|
2,297,285
|
|
Series 2021-BHAR, Class A, (1-mo. CME Term
SOFR + 1.26%), 5.58%, 11/15/38(a)(b)
|
|
641
|
638,596
|
|
Series 2021-BHAR, Class B, (1-mo. CME Term
SOFR + 1.61%), 5.93%, 11/15/38(a)(b)
|
|
1,150
|
1,146,746
|
|
Series 2022-LION, Class A, (1-mo. CME Term
SOFR + 3.44%), 7.75%, 02/15/27(a)(b)(g)
|
|
10,100
|
10,001,722
|
|
CRSO Trust, Series 2023-BRND, 7.12%,
07/10/40(a)
|
|
2,271
|
2,382,302
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
CSAIL Commercial Mortgage Trust
|
|
|
|
|
Series 2016-C5, Class B, 4.46%, 11/15/48(b)
|
USD
|
2,410
|
$ 2,387,382
|
|
Series 2018-CX12, Class C, 4.88%,
08/15/51(b)
|
|
570
|
522,791
|
|
CSTL Commercial Mortgage Trust, Series 2024-
GATE, Class A, 4.92%, 11/10/41(a)(b)
|
|
8,300
|
8,293,301
|
|
DBGS Mortgage Trust
|
|
|
|
|
Series 2018-5BP, Class B, (1-mo. CME Term
SOFR + 1.08%), 5.39%, 06/15/33(a)(b)
|
|
2,890
|
2,666,025
|
|
Series 2024-SBL, Class A, (1-mo. CME Term
SOFR + 1.88%), 6.19%, 08/15/34(a)(b)
|
|
5,582
|
5,582,000
|
|
DBSG Mortgage Trust, Series 2024-ALTA,
Class A, 6.14%, 06/10/37(a)(b)
|
|
2,584
|
2,629,112
|
|
DBWF Mortgage Trust, Series 2024-LCRS,
Class A, (1-mo. CME Term SOFR + 1.74%),
6.05%, 04/15/37(a)(b)
|
|
705
|
703,458
|
|
DC Trust
|
|
|
|
|
Series 2024-HLTN, Class A, 5.93%,
04/13/40(a)(b)
|
|
830
|
838,892
|
|
Series 2024-HLTN, Class F, 10.66%,
04/13/40(a)(b)
|
|
2,180
|
2,182,885
|
|
Deutsche Bank JPMorgan Mortgage Trust,
Series 2016-C1, Class A4, 3.28%, 05/10/49
|
|
1,430
|
1,409,272
|
|
DK Trust
|
|
|
|
|
Series 2024-SPBX, Class A, (1-mo. CME Term
SOFR + 1.50%), 5.81%, 03/15/34(a)(b)
|
|
4,850
|
4,857,679
|
|
Series 2024-SPBX, Class E, (1-mo. CME Term
SOFR + 4.00%), 8.31%, 03/15/34(a)(b)
|
|
13,906
|
13,930,191
|
|
Dwight Issuer LLC, Series 2025-FL1, Class A,
(1-mo. CME Term SOFR + 1.66%), 5.96%,
09/18/42(a)(b)
|
|
1,148
|
1,147,186
|
|
ELM Trust
|
|
|
|
|
Series 2024-ELM, Class A10, 5.99%,
06/10/39(a)(b)
|
|
4,860
|
4,911,268
|
|
Series 2024-ELM, Class A15, 5.99%,
06/10/39(a)(b)
|
|
4,860
|
4,896,748
|
|
Series 2024-ELM, Class E10, 8.05%,
06/10/39(a)(b)
|
|
6,375
|
6,392,367
|
|
ELP Commercial Mortgage Trust, Series 2021-
ELP, Class G, (1-mo. CME Term SOFR +
3.23%), 7.54%, 11/15/38(a)(b)
|
|
2,485
|
2,482,274
|
|
EQT Trust, Series 2024-EXTR, Class A, 5.33%,
07/05/41(a)(b)
|
|
1,697
|
1,734,838
|
|
Extended Stay America Trust
|
|
|
|
|
Series 2021-ESH, Class D, (1-mo. CME Term
SOFR + 2.36%), 6.68%, 07/15/38(a)(b)
|
|
1,780
|
1,782,010
|
|
Series 2021-ESH, Class E, (1-mo. CME Term
SOFR + 2.96%), 7.28%, 07/15/38(a)(b)
|
|
5,304
|
5,317,449
|
|
Series 2021-ESH, Class F, (1-mo. CME Term
SOFR + 3.81%), 8.13%, 07/15/38(a)(b)
|
|
14,743
|
14,742,624
|
|
Fashion Show Mall LLC, Series 2024-SHOW,
Class A, 5.27%, 10/10/41(a)(b)
|
|
1,535
|
1,550,003
|
|
Fontainebleau Miami Beach Mortgage Trust
|
|
|
|
|
Series 2024-FBLU, Class F, (1-mo. CME Term
SOFR + 4.25%), 8.56%, 12/15/39(a)(b)
|
|
422
|
421,209
|
|
Series 2024-FBLU, Class G, (1-mo. CME Term
SOFR + 5.65%), 9.96%, 12/15/39(a)(b)
|
|
2,269
|
2,266,537
|
|
FREMF Mortgage Trust
|
|
|
|
|
Series 2017-KGX1, Class BFX, 3.72%,
10/25/27(a)(b)
|
|
1,190
|
1,117,335
|
|
Series 2018-K74, Class B, 4.23%,
02/25/51(a)(b)
|
|
120
|
117,843
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
FREMF Mortgage Trust
|
|
|
|
|
Series 2018-K80, Class B, 4.38%,
08/25/50(a)(b)
|
USD
|
1,043
|
$ 1,019,429
|
|
Grace Trust, Series 2020-GRCE, Class E, 2.77%,
12/10/40(a)(b)
|
|
1,489
|
1,261,091
|
|
Great Wolf Trust, Series 2024-WOLF, Class A,
(1-mo. CME Term SOFR + 1.54%), 5.85%,
03/15/39(a)(b)
|
|
2,970
|
2,974,641
|
|
Greystone CRE Notes LLC, Series 2025-FL4,
Class A, (1-mo. CME Term SOFR + 1.48%),
5.79%, 01/15/43(a)(b)
|
|
2,077
|
2,078,369
|
|
GS Mortgage Securities Trust
|
|
|
|
|
Series 2015-590M, Class E, 3.93%,
10/10/35(a)(b)
|
|
1,100
|
1,055,781
|
|
Series 2015-GC32, Class C, 4.55%,
07/10/48(b)
|
|
1,049
|
1,018,043
|
|
Series 2017-GPTX, Class A, 2.86%,
05/10/34(a)
|
|
1,943
|
1,692,507
|
|
Series 2019-GSA1, Class C, 3.93%,
11/10/52(b)
|
|
260
|
236,785
|
|
Series 2021-DM, Class A, (1-mo. CME Term
SOFR + 1.00%), 5.31%, 11/15/36(a)(b)
|
|
3,134
|
3,110,495
|
|
Series 2023-FUN, Class A, (1-mo. CME Term
SOFR + 2.09%), 6.40%, 03/15/28(a)(b)
|
|
5,374
|
5,387,435
|
|
Series 2023-SHIP, Class E, 7.68%,
09/10/38(a)(b)
|
|
15,141
|
15,233,242
|
|
Series 2024-RVR, Class E, 7.72%,
08/10/41(a)(b)
|
|
1,802
|
1,792,476
|
|
Series 2025-800D, Class A, (1-mo. CME Term
SOFR + 2.65%), 6.97%, 11/25/41(a)(b)
|
|
8,757
|
8,772,651
|
|
Series 2025-800D, Class C, (1-mo. CME Term
SOFR + 4.70%), 9.02%, 11/25/41(a)(b)
|
|
5,849
|
5,828,133
|
|
GSAT Trust, Series 2025-BMF, Class A, (1-mo.
CME Term SOFR + 1.50%), 07/15/30(a)(b)(f)
|
|
1,936
|
1,936,605
|
|
GWT, Series 2024-WLF2, Class A, (1-mo. CME
Term SOFR + 1.69%), 6.00%, 05/15/41(a)(b)
|
|
16,275
|
16,316,140
|
|
HIH Trust
|
|
|
|
|
Series 2024-61P, Class A, (1-mo. CME Term
SOFR + 1.84%), 6.15%, 10/15/41(a)(b)
|
|
3,281
|
3,282,946
|
|
Series 2024-61P, Class D, (1-mo. CME Term
SOFR + 3.64%), 7.95%, 10/15/41(a)(b)
|
|
1,241
|
1,238,316
|
|
HILT Commercial Mortgage Trust, Series 2024-
ORL, Class D, (1-mo. CME Term SOFR +
3.19%), 7.50%, 05/15/37(a)(b)
|
|
6,057
|
6,045,643
|
|
HIT Trust, Series 2022-HI32, Class A, (1-mo.
CME Term SOFR + 2.39%), 6.70%,
07/15/39(a)(b)
|
|
980
|
981,505
|
|
HLTN Commercial Mortgage Trust, Series 2024-
DPLO, Class A, (1-mo. CME Term SOFR +
1.64%), 5.95%, 06/15/41(a)(b)
|
|
3,176
|
3,177,985
|
|
HMH Trust, Series 2017-NSS, Class A, 3.06%,
07/05/31(a)
|
|
2,060
|
1,751,000
|
|
HONO Mortgage Trust, Series 2021-LULU,
Class A, (1-mo. CME Term SOFR + 1.26%),
5.58%, 10/15/36(a)(b)
|
|
7,608
|
7,550,940
|
|
Houston Galleria Mall Trust, Series 2025-HGLR,
Class A, 5.64%, 02/05/45(a)(b)
|
|
425
|
436,057
|
|
HTL Commercial Mortgage Trust
|
|
|
|
|
Series 2024-T53, Class A, 6.07%,
05/10/39(a)(b)
|
|
1,790
|
1,808,323
|
|
Series 2024-T53, Class E, 10.60%,
05/10/39(a)(b)
|
|
4,965
|
5,105,389
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
Hudson Yards Mortgage Trust
|
|
|
|
|
Series 2019-30HY, Class A, 3.23%,
07/10/39(a)
|
USD
|
195
|
$ 183,029
|
|
Series 2019-55HY, Class F, 3.04%,
12/10/41(a)(b)
|
|
2,975
|
2,512,097
|
|
ILPT Commercial Mortgage Trust
|
|
|
|
|
Series 2022-LPF2, Class A, (1-mo. CME Term
SOFR + 2.25%), 6.56%, 10/15/39(a)(b)
|
|
8,682
|
8,670,948
|
|
Series 2025-LPF2, Class A, 5.29%,
07/15/42(a)(b)
|
|
10,261
|
10,411,510
|
|
INCREF LLC, Series 2025-FL1, Class A, (1-mo.
CME Term SOFR + 1.73%), 6.05%,
10/19/42(a)(b)
|
|
4,155
|
4,163,178
|
|
INV Mortgage Trust, Series 2024-IND, Class A,
(1-mo. CME Term SOFR + 1.74%), 6.05%,
11/15/41(a)(b)
|
|
4,830
|
4,827,241
|
|
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C33, Class D1, 4.28%,
12/15/48(a)(b)
|
|
785
|
711,439
|
|
JPMDB Commercial Mortgage Securities Trust,
Series 2018-C8, Class AS, 4.42%, 06/15/51
|
|
198
|
193,636
|
|
JPMorgan Chase Commercial Mortgage
Securities Trust
|
|
|
|
|
Series 2016-NINE, Class B, 2.95%,
09/06/38(a)(b)
|
|
3,688
|
3,568,588
|
|
Series 2018-AON, Class A, 4.13%, 07/05/31(a)
|
|
1,819
|
1,668,932
|
|
Series 2018-PHH, Class A, (1-mo. CME Term
SOFR + 1.26%), 5.57%, 06/15/35(a)(b)
|
|
959
|
825,662
|
|
Series 2019-COR5, Class A3, 3.12%,
06/13/52
|
|
1,700
|
1,625,483
|
|
Series 2019-MFP, Class E, (1-mo. CME Term
SOFR + 2.21%), 6.52%, 07/15/36(a)(b)
|
|
2,460
|
2,340,095
|
|
Series 2020-609M, Class A, (1-mo. CME Term
SOFR + 1.73%), 6.05%, 10/15/33(a)(b)
|
|
687
|
683,565
|
|
Series 2020-609M, Class D, (1-mo. CME Term
SOFR + 3.13%), 7.45%, 10/15/33(a)(b)
|
|
1,850
|
1,781,120
|
|
Series 2021-MHC, Class A, (1-mo. CME Term
SOFR + 1.16%), 5.48%, 04/15/38(a)(b)
|
|
973
|
973,325
|
|
Series 2021-MHC, Class E, (1-mo. CME Term
SOFR + 2.81%), 7.13%, 04/15/38(a)(b)
|
|
9,318
|
9,323,824
|
|
Series 2021-MHC, Class F, (1-mo. CME Term
SOFR + 3.31%), 7.63%, 04/15/38(a)(b)
|
|
2,750
|
2,751,719
|
|
Series 2022-NLP, Class F, (1-mo. CME Term
SOFR + 3.79%), 8.10%, 04/15/37(a)(b)
|
|
4,888
|
4,620,501
|
|
Series 2022-OPO, Class D, 3.57%,
01/05/39(a)(b)
|
|
3,034
|
2,496,662
|
|
Series 2024-IGLG, Class A, 5.35%,
11/09/39(a)(b)
|
|
8,100
|
8,162,306
|
|
Series 2024-IGLG, Class D, 6.70%,
11/09/39(a)(b)
|
|
2,260
|
2,258,035
|
|
Series 2024-IGLG, Class E, 7.50%,
11/09/39(a)(b)
|
|
6,887
|
6,873,544
|
|
Series 2024-IGLG, Class F, 8.49%,
11/09/39(a)(b)
|
|
5,900
|
5,857,983
|
|
Series 2024-OMNI, Class A, 5.99%,
10/05/39(a)(b)
|
|
2,310
|
2,356,664
|
|
Series 2025-BHR5, Class A, (1-mo. CME Term
SOFR + 1.69%), 6.01%, 03/15/40(a)(b)
|
|
10,634
|
10,634,000
|
|
JW Commercial Mortgage Trust
|
|
|
|
|
Series 2024-MRCO, Class A, (1-mo. CME
Term SOFR + 1.62%), 5.93%, 06/15/39(a)(b)
|
|
3,715
|
3,717,316
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
JW Commercial Mortgage Trust
|
|
|
|
|
Series 2024-MRCO, Class D, (1-mo. CME
Term SOFR + 3.19%), 7.50%, 06/15/39(a)(b)
|
USD
|
2,148
|
$ 2,138,868
|
|
KSL Commercial Mortgage Trust
|
|
|
|
|
Series 2024-HT2, Class A, (1-mo. CME Term
SOFR + 1.54%), 5.85%, 12/15/39(a)(b)
|
|
8,083
|
8,067,403
|
|
Series 2025-MAK, Class A, 6.20%, 06/15/42(a)
|
|
1,333
|
1,359,266
|
|
Series 2025-MAK, Class E, 8.40%, 06/15/42(a)
|
|
2,840
|
2,862,550
|
|
Last Mile Logistics Pan Euro Finance DAC,
Series 1X, Class E, (3-mo. EURIBOR +
2.70%), 4.83%, 08/17/33(b)(e)
|
EUR
|
2,618
|
3,046,040
|
|
LBA Trust
|
|
|
|
|
Series 2024-7IND, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.76%, 10/15/41(a)(b)
|
USD
|
7,350
|
7,356,891
|
|
Series 2024-7IND, Class D, (1-mo. CME Term
SOFR + 2.64%), 6.95%, 10/15/41(a)(b)
|
|
825
|
826,547
|
|
Series 2024-BOLT, Class A, (1-mo. CME Term
SOFR + 1.59%), 5.90%, 06/15/39(a)(b)
|
|
12,850
|
12,858,011
|
|
Series 2024-BOLT, Class F, (1-mo. CME Term
SOFR + 4.44%), 8.75%, 06/15/39(a)(b)
|
|
1,058
|
1,052,406
|
|
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2006-2A, Class M3,
(1-mo. CME Term SOFR + 0.56%), 4.88%,
09/25/36(a)(b)
|
|
920
|
874,093
|
|
LUX, Series 2023-LION, Class A, (1-mo. CME
Term SOFR + 2.69%), 7.00%, 08/15/40(a)(b)
|
|
2,294
|
2,308,865
|
|
MCR Mortgage Trust
|
|
|
|
|
Series 2024-HF1, Class A, (1-mo. CME Term
SOFR + 1.79%), 6.11%, 12/15/41(a)(b)
|
|
3,106
|
3,107,941
|
|
Series 2024-HTL, Class A, (1-mo. CME Term
SOFR + 1.76%), 6.07%, 02/15/37(a)(b)
|
|
276
|
276,093
|
|
Series 2024-HTL, Class E, (1-mo. CME Term
SOFR + 4.65%), 8.97%, 02/15/37(a)(b)
|
|
2,415
|
2,403,379
|
|
Series 2024-TWA, Class A, 5.92%, 06/12/39(a)
|
|
3,570
|
3,613,121
|
|
Series 2024-TWA, Class E, 8.73%, 06/12/39(a)
|
|
2,080
|
2,103,590
|
|
MF1 LLC
|
|
|
|
|
Series 2024-FL14, Class A, (1-mo. CME Term
SOFR + 1.74%), 6.06%, 03/19/39(a)(b)
|
|
1,770
|
1,776,654
|
|
Series 2025-FL19, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.80%, 05/18/42(a)(b)
|
|
1,786
|
1,790,835
|
|
MFT Trust, Series 2020-ABC, Class C, 3.59%,
02/10/42(a)(b)
|
|
1,773
|
1,113,162
|
|
MHC Commercial Mortgage Trust
|
|
|
|
|
Series 2021-MHC, Class A, (1-mo. CME Term
SOFR + 0.92%), 5.23%, 04/15/38(a)(b)
|
|
32
|
31,712
|
|
Series 2021-MHC, Class E, (1-mo. CME Term
SOFR + 2.22%), 6.53%, 04/15/38(a)(b)
|
|
3,700
|
3,706,937
|
|
Series 2021-MHC, Class F, (1-mo. CME Term
SOFR + 2.72%), 7.03%, 04/15/38(a)(b)
|
|
471
|
471,122
|
|
MHP, Series 2021-STOR, Class G, (1-mo. CME
Term SOFR + 2.86%), 7.18%, 07/15/38(a)(b)
|
|
2,100
|
2,098,688
|
|
MIC Trust (The), Series 2023-MIC, Class A,
8.73%, 12/05/38(a)(b)
|
|
1,550
|
1,690,177
|
|
MIRA Trust, Series 2023-MILE, Class A, 6.76%,
06/10/38(a)
|
|
3,432
|
3,571,724
|
|
Morgan Stanley Bank of America Merrill Lynch
Trust, Series 2015-C25, Class B, 4.66%,
10/15/48(b)
|
|
2,910
|
2,857,457
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
Series 2017-ASHF, Class F, (1-mo. CME Term
SOFR + 4.65%), 8.96%, 11/15/34(a)(b)
|
|
1,413
|
1,334,031
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
Morgan Stanley Capital I Trust
|
|
|
|
|
Series 2017-ASHF, Class G, (1-mo. CME Term
SOFR + 7.20%), 11.51%, 11/15/34(a)(b)
|
USD
|
1,612
|
$ 1,513,857
|
|
Series 2018-MP, Class E, 4.42%, 07/11/40(a)(b)
|
|
2,730
|
2,012,333
|
|
Series 2019-H6, Class D, 3.00%, 06/15/52(a)
|
|
630
|
504,337
|
|
Series 2024-NSTB, Class A, 3.90%,
09/24/57(a)(b)
|
|
3,150
|
3,047,160
|
|
MSDB Trust, Series 2017-712F, Class B, 3.57%,
07/11/39(a)(b)
|
|
1,650
|
1,539,457
|
|
MTN Commercial Mortgage Trust, Series 2022-
LPFL, Class A, (1-mo. CME Term SOFR +
1.40%), 5.72%, 03/15/39(a)(b)
|
|
1,330
|
1,329,169
|
|
Natixis Commercial Mortgage Securities Trust
|
|
|
|
|
Series 2018-SOX, Class A, 4.40%, 06/17/38(a)
|
|
4,162
|
4,095,397
|
|
Series 2019-LVL, Class D, 4.44%, 08/15/38(a)
|
|
1,550
|
1,404,350
|
|
NCMF Trust
|
|
|
|
|
Series 2025-MFS, Class A, 4.88%,
06/10/33(a)(b)
|
|
5,715
|
5,703,902
|
|
Series 2025-MFS, Class E, 7.53%,
06/10/33(a)(b)
|
|
10,742
|
10,840,309
|
|
Series 2025-MFS, Class F, 8.44%,
06/10/33(a)(b)
|
|
11,453
|
11,626,977
|
|
NJ Trust, Series 2023-GSP, Class A, 6.70%,
01/06/29(a)(b)
|
|
5,050
|
5,311,416
|
|
NY Commercial Mortgage Trust, Series 2025-
299P, Class B, 6.13%, 02/10/47(a)(b)
|
|
908
|
939,230
|
|
NYCT Trust
|
|
|
|
|
Series 2024-3ELV, Class A, (1-mo. CME Term
SOFR + 1.99%), 6.30%, 08/15/29(a)(b)
|
|
1,348
|
1,354,963
|
|
Series 2024-3ELV, Class D, (1-mo. CME Term
SOFR + 3.84%), 8.15%, 08/15/29(a)(b)
|
|
2,195
|
2,171,901
|
|
Olympic Tower Mortgage Trust, Series 2017-OT,
Class E, 4.08%, 05/10/39(a)(b)
|
|
2,910
|
2,184,710
|
|
One Bryant Park Trust, Series 2019-OBP,
Class A, 2.52%, 09/15/54(a)
|
|
1,888
|
1,718,838
|
|
One Market Plaza Trust, Series 2017-1MKT,
Class D, 4.15%, 02/10/32(a)
|
|
1,754
|
1,581,442
|
|
One New York Plaza Trust
|
|
|
|
|
Series 2020-1NYP, Class A, (1-mo. CME Term
SOFR + 1.06%), 5.38%, 01/15/36(a)(b)
|
|
1,815
|
1,764,052
|
|
Series 2020-1NYP, Class AJ, (1-mo. CME
Term SOFR + 1.36%), 5.68%, 01/15/36(a)(b)
|
|
2,857
|
2,755,869
|
|
Series 2020-1NYP, Class B, (1-mo. CME Term
SOFR + 1.61%), 5.93%, 01/15/36(a)(b)
|
|
2,345
|
2,241,474
|
|
Series 2020-1NYP, Class D, (1-mo. CME Term
SOFR + 2.86%), 7.18%, 01/15/36(a)(b)
|
|
960
|
896,018
|
|
OPEN Trust, Series 2023-AIR, Class A, (1-mo.
CME Term SOFR + 3.09%), 7.40%,
11/15/40(a)(b)
|
|
1,464
|
1,464,865
|
|
ORL Trust, Series 2024-GLKS, Class A, (1-mo.
CME Term SOFR + 1.49%), 5.80%,
12/15/39(a)(b)
|
|
4,150
|
4,148,703
|
|
PFP Ltd., Series 2022-9, Class A, (1-mo. CME
Term SOFR + 2.27%), 6.59%, 08/19/35(a)(b)
|
|
1,691
|
1,693,161
|
|
PGA Trust, Series 2024-RSR2, Class A, (1-mo.
CME Term SOFR + 1.89%), 6.20%,
06/15/39(a)(b)
|
|
2,559
|
2,563,094
|
|
PRM5 Trust, Series 2025-PRM5, Class D, 5.81%,
03/10/33(a)(b)
|
|
1,700
|
1,692,031
|
|
Ready Capital Mortgage Financing LLC,
Series 2023-FL11, Class A, (1-mo. CME Term
SOFR + 2.37%), 6.69%, 10/25/39(a)(b)
|
|
1,850
|
1,846,902
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-
mo. CME Term SOFR + 2.25%), 6.56%,
01/19/37(a)(b)
|
USD
|
7,241
|
$ 7,245,881
|
|
ROCK Trust
|
|
|
|
|
Series 2024-CNTR, Class A, 5.39%,
11/13/41(a)
|
|
800
|
818,364
|
|
Series 2024-CNTR, Class E, 8.82%,
11/13/41(a)
|
|
3,231
|
3,399,262
|
|
Sage AR Funding
|
|
|
|
|
Series 2025-1X, Class C, (1-day SONIA +
2.40%), 6.64%, 05/17/37(b)(e)
|
GBP
|
1,666
|
2,300,878
|
|
Series 2025-1X, Class D, (1-day SONIA +
3.90%), 8.15%, 05/17/37(b)(e)
|
|
1,435
|
1,981,209
|
|
SCG Commercial Mortgage Trust
|
|
|
|
|
Series 2025-DLFN, Class D, (1-mo. CME Term
SOFR + 2.15%), 6.46%, 03/15/35(a)(b)
|
USD
|
532
|
525,362
|
|
Series 2025-DLFN, Class E, (1-mo. CME Term
SOFR + 2.95%), 7.26%, 03/15/35(a)(b)
|
|
4,046
|
3,942,780
|
|
SDAL Trust, Series 2025-DAL, Class A, (1-mo.
CME Term SOFR + 2.44%), 6.75%,
04/15/42(a)(b)
|
|
1,963
|
1,966,411
|
|
SELF Commercial Mortgage Trust
|
|
|
|
|
Series 2024-STRG, Class A, (1-mo. CME Term
SOFR + 1.54%), 5.85%, 11/15/34(a)(b)
|
|
3,300
|
3,321,359
|
|
Series 2024-STRG, Class E, (1-mo. CME Term
SOFR + 4.19%), 8.50%, 11/15/34(a)(b)
|
|
3,381
|
3,371,886
|
|
Series 2024-STRG, Class F, (1-mo. CME Term
SOFR + 5.19%), 9.50%, 11/15/34(a)(b)
|
|
2,890
|
2,873,741
|
|
SG Commercial Mortgage Securities Trust
|
|
|
|
|
Series 2019-PREZ, Class D, 3.59%,
09/15/39(a)(b)
|
|
2,200
|
1,938,311
|
|
Series 2019-PREZ, Class E, 3.59%,
09/15/39(a)(b)
|
|
1,792
|
1,502,820
|
|
SHR Trust
|
|
|
|
|
Series 2024-LXRY, Class A, (1-mo. CME Term
SOFR + 1.95%), 6.26%, 10/15/41(a)(b)
|
|
9,897
|
9,890,814
|
|
Series 2024-LXRY, Class B, (1-mo. CME Term
SOFR + 2.45%), 6.76%, 10/15/41(a)(b)
|
|
2,553
|
2,551,404
|
|
Series 2024-LXRY, Class D, (1-mo. CME Term
SOFR + 3.60%), 7.91%, 10/15/41(a)(b)
|
|
1,783
|
1,781,886
|
|
Series 2024-LXRY, Class E, (1-mo. CME Term
SOFR + 4.45%), 8.76%, 10/15/41(a)(b)
|
|
440
|
438,380
|
|
SLG Office Trust, Series 2021-OVA, Class A,
2.59%, 07/15/41(a)
|
|
573
|
502,575
|
|
SREIT Trust
|
|
|
|
|
Series 2021-MFP, Class F, (1-mo. CME Term
SOFR + 2.74%), 7.05%, 11/15/38(a)(b)
|
|
4,530
|
4,529,744
|
|
Series 2021-MFP2, Class F, (1-mo. CME Term
SOFR + 2.73%), 7.05%, 11/15/36(a)(b)
|
|
2,091
|
2,092,607
|
|
Taurus UK DAC
|
|
|
|
|
Series 2025-UK2X, Class B, (1-day SONIA +
2.00%), 6.24%, 02/18/35(b)(e)
|
GBP
|
1,887
|
2,583,829
|
|
Series 2025-UK2X, Class C, (1-day SONIA +
2.50%), 6.74%, 02/18/35(b)(e)
|
|
2,332
|
3,175,658
|
|
Series 2025-UK2X, Class D, (1-day SONIA +
3.20%), 7.44%, 02/18/35(b)(e)
|
|
5,023
|
6,909,894
|
|
TCO Commercial Mortgage Trust, Series 2024-
DPM, Class D, (1-mo. CME Term SOFR +
2.74%), 7.05%, 12/15/39(a)(b)
|
USD
|
519
|
513,827
|
|
THPT Mortgage Trust, Series 2023-THL, Class A,
7.23%, 12/10/34(a)(b)
|
|
1,784
|
1,814,676
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
Thunder Logistics DAC
|
|
|
|
|
Series 2024-1X, Class B, (3-mo. EURIBOR +
2.05%), 4.18%, 11/17/36(b)(e)
|
EUR
|
465
|
$ 548,028
|
|
Series 2024-1X, Class C, (3-mo. EURIBOR +
2.55%), 4.68%, 11/17/36(b)(e)
|
|
326
|
385,437
|
|
TTAN
|
|
|
|
|
Series 2021-MHC, Class E, (1-mo. CME Term
SOFR + 2.51%), 6.83%, 03/15/38(a)(b)
|
USD
|
753
|
753,365
|
|
Series 2021-MHC, Class F, (1-mo. CME Term
SOFR + 3.01%), 7.33%, 03/15/38(a)(b)
|
|
3,784
|
3,787,246
|
|
TYSN Mortgage Trust, Series 2023-CRNR,
Class A, 6.80%, 12/10/33(a)(b)
|
|
2,230
|
2,362,162
|
|
UBS Commercial Mortgage Trust
|
|
|
|
|
Series 2017-C7, Class A4, 3.68%, 12/15/50
|
|
880
|
862,574
|
|
Series 2018-C15, Class A4, 4.34%, 12/15/51
|
|
1,500
|
1,480,603
|
|
UK Logistics DAC
|
|
|
|
|
Series 2024-1X, Class A, (1-day SONIA +
1.65%), 5.89%, 05/17/34(b)(e)
|
GBP
|
1,165
|
1,602,336
|
|
Series 2024-2X, Class C, (1-day SONIA +
2.10%), 6.34%, 02/17/35(b)(e)
|
|
599
|
828,782
|
|
Series 2024-2X, Class D, (1-day SONIA +
3.10%), 7.34%, 02/17/35(b)(e)
|
|
1,382
|
1,910,612
|
|
Series 2025-1X, Class D, (1-day SONIA +
4.00%), 8.34%, 05/17/35(b)(e)
|
|
6,259
|
8,591,365
|
|
VEGAS Trust
|
|
|
|
|
Series 2024-GCS, Class C, 6.42%,
07/10/36(a)(b)
|
USD
|
7,390
|
7,278,324
|
|
Series 2024-GCS, Class D, 6.42%,
07/10/36(a)(b)
|
|
16,670
|
15,736,102
|
|
Series 2024-TI, Class A, 5.52%, 11/10/39(a)
|
|
2,460
|
2,492,903
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
|
Series 2017-2, Class M3, 4.24%, 11/25/47(a)(b)
|
|
212
|
197,464
|
|
Series 2017-2, Class M4, 5.00%, 11/25/47(a)(b)
|
|
128
|
115,221
|
|
Series 2018-1, Class M2, 4.26%, 04/25/48(a)
|
|
109
|
103,077
|
|
Series 2020-1, Class AFX, 2.61%,
02/25/50(a)(b)
|
|
2,700
|
2,448,510
|
|
Series 2020-1, Class M1, 2.80%, 02/25/50(a)(b)
|
|
482
|
360,175
|
|
Series 2020-1, Class M2, 2.98%, 02/25/50(a)(b)
|
|
561
|
420,542
|
|
Series 2021-4, Class A, 2.52%, 12/26/51(a)(b)
|
|
8,173
|
7,280,536
|
|
Series 2021-4, Class M4, 4.48%, 12/26/51(a)(b)
|
|
972
|
790,992
|
|
Series 2022-1, Class M4, 5.20%, 02/25/52(a)(b)
|
|
632
|
503,688
|
|
Series 2022-2, Class M3, 5.74%, 04/25/52(a)(b)
|
|
1,921
|
1,852,621
|
|
Series 2022-4, Class M2, 6.97%, 08/25/52(a)(b)
|
|
827
|
837,673
|
|
Series 2022-4, Class M3, 7.53%, 08/25/52(a)(b)
|
|
565
|
575,274
|
|
Series 2022-4, Class M4, 7.53%, 08/25/52(a)(b)
|
|
1,026
|
963,334
|
|
Series 2023-2, Class A, 6.22%, 05/25/53(a)(b)
|
|
2,329
|
2,333,995
|
|
Series 2023-2, Class M1, 7.03%, 05/25/53(a)(b)
|
|
1,518
|
1,521,450
|
|
Series 2024-1, Class A, 6.55%, 01/25/54(a)(b)
|
|
5,349
|
5,413,479
|
|
Series 2024-1, Class M2, 7.23%, 01/25/54(a)(b)
|
|
569
|
572,294
|
|
Series 2024-1, Class M3, 8.44%, 01/25/54(a)(b)
|
|
579
|
592,107
|
|
Series 2024-5, Class A, 5.49%, 10/25/54(a)(b)
|
|
1,941
|
1,937,008
|
|
Series 2024-5, Class M2, 5.96%, 10/25/54(a)(b)
|
|
777
|
766,400
|
|
Series 2024-5, Class M3, 6.76%, 10/25/54(a)(b)
|
|
1,184
|
1,175,576
|
|
Series 2024-5, Class M4, 9.53%, 10/25/54(a)(b)
|
|
774
|
765,704
|
|
Series 2024-6, Class M2, 6.55%, 12/25/54(a)(b)
|
|
432
|
432,107
|
|
Series 2024-6, Class M3, 6.92%, 12/25/54(a)(b)
|
|
655
|
653,083
|
|
Series 2024-6, Class M4, 9.67%, 12/25/54(a)(b)
|
|
615
|
613,113
|
|
Series 2025-1, Class M3, 7.33%, 02/25/55(a)(b)
|
|
2,414
|
2,432,886
|
|
Series 2025-1, Class M4, 10.15%,
02/25/55(a)(b)
|
|
836
|
841,775
|
|
Series 2025-3, Class M3, 7.38%, 06/25/55(a)(b)
|
|
1,606
|
1,621,200
|
|
Security
|
|
Par
(000)
|
Value
|
|
Commercial Mortgage-Backed Securities (continued)
|
|||
|
Velocity Commercial Capital Loan Trust
|
|
|
|
|
Series 2025-MC1, Class A1, 8.16%,
05/25/55(a)(c)
|
USD
|
3,288
|
$ 3,288,058
|
|
VNDO Trust, Series 2016-350P, Class D, 4.03%,
01/10/35(a)(b)
|
|
3,390
|
3,297,721
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
Series 2016-C32, Class A3FL, (1-mo. CME
Term SOFR + 1.53%), 5.85%, 01/15/59(b)
|
|
1,765
|
1,760,966
|
|
Series 2016-C34, Class A3FL, (1-mo. CME
Term SOFR + 1.15%), 5.47%, 06/15/49(a)(b)
|
|
1,830
|
1,818,470
|
|
Series 2018-1745, Class A, 3.87%,
06/15/36(a)(b)
|
|
472
|
429,518
|
|
Series 2018-AUS, Class A, 4.19%,
08/17/36(a)(b)
|
|
1,680
|
1,645,575
|
|
Series 2019-C49, Class D, 3.00%, 03/15/52(a)
|
|
514
|
443,415
|
|
Series 2024-1CHI, Class A, 5.48%,
07/15/35(a)(b)
|
|
2,829
|
2,845,959
|
|
Series 2024-BPRC, Class B, 6.22%,
07/15/43(a)
|
|
4,292
|
4,413,068
|
|
Series 2024-BPRC, Class C, 6.43%,
07/15/43(a)
|
|
2,732
|
2,747,358
|
|
Series 2024-BPRC, Class D, 7.08%,
07/15/43(a)
|
|
1,160
|
1,164,257
|
|
WEST Trust, Series 2025-ROSE, Class A, 5.45%,
04/10/35(a)(b)
|
|
2,278
|
2,306,659
|
|
WHARF Commercial Mortgage Trust
|
|
|
|
|
Series 2025-DC, Class A, 5.35%,
07/15/40(a)(b)
|
|
4,623
|
4,712,925
|
|
Series 2025-DC, Class E, 7.72%,
07/15/40(a)(b)
|
|
2,708
|
2,774,087
|
|
WMRK Commercial Mortgage Trust
|
|
|
|
|
Series 2022-WMRK, Class A, (1-mo. CME
Term SOFR + 2.79%), 7.10%, 11/15/27(a)(b)
|
|
6,274
|
6,274,000
|
|
Series 2022-WMRK, Class B, (1-mo. CME
Term SOFR + 3.44%), 7.75%, 11/15/27(a)(b)
|
|
2,500
|
2,500,000
|
|
|
1,200,260,025
|
||
|
Interest Only Collateralized Mortgage Obligations — 0.1%
|
|||
|
Ajax Mortgage Loan Trust, Series 2021-E,
Class XS, 0.00%, 12/25/60(a)(b)
|
|
95,809
|
3,398,769
|
|
Barclays Mortgage Loan Trust
|
|
|
|
|
Series 2023-NQM3, Class XS, 0.82%,
10/25/63(a)(b)
|
|
47,865
|
446,709
|
|
Series 2024-NQM1, Class XS, 2.45%,
01/25/64(a)(b)
|
|
34,800
|
1,457,634
|
|
Series 2024-NQM3, Class XS, 0.00%,
06/25/64(a)(b)
|
|
42,106
|
1,355,482
|
|
Series 2024-NQM4, Class XS, 0.00%,
12/26/64(a)(b)
|
|
56,873
|
2,619,688
|
|
Series 2025-NQM1, Class XS, 0.00%,
01/25/65(a)(b)
|
|
54,725
|
2,339,844
|
|
Series 2025-NQM2, Class XS2, 0.00%,
05/25/65(a)(b)
|
|
42,921
|
1,201,729
|
|
JPMorgan Mortgage Trust
|
|
|
|
|
Series 2021-INV5, Class A2X, 0.50%,
12/25/51(a)(b)
|
|
46,377
|
1,297,431
|
|
Series 2021-INV5, Class A5X, 0.50%,
12/25/51(a)(b)
|
|
6,624
|
185,304
|
|
Series 2021-INV5, Class AX1, 0.19%,
12/25/51(a)(b)
|
|
89,640
|
969,005
|
|
Series 2021-INV7, Class A2X, 0.50%,
02/25/52(a)(b)
|
|
24,222
|
687,297
|
|
Security
|
|
Par
(000)
|
Value
|
|
Interest Only Collateralized Mortgage Obligations (continued)
|
|||
|
JPMorgan Mortgage Trust
|
|
|
|
|
Series 2021-INV7, Class A3X, 0.50%,
02/25/52(a)(b)
|
USD
|
13,860
|
$ 255,636
|
|
Series 2021-INV7, Class A4X, 0.50%,
02/25/52(a)(b)
|
|
6,756
|
286,560
|
|
Series 2021-INV7, Class A5X, 0.50%,
02/25/52(a)(b)
|
|
2,637
|
74,834
|
|
Series 2021-INV7, Class AX1, 0.26%,
02/25/52(a)(b)
|
|
47,476
|
742,369
|
|
Seasoned Credit Risk Transfer Trust,
Series 2017-3, Class BIO, 1.42%,
07/25/56(a)(b)
|
|
2,580
|
291,117
|
|
Voyager OPTONE Delaware Trust, Series 2009-1,
Class SAA7, 2.76%, 02/25/38(a)(b)
|
|
11,445
|
2,497,163
|
|
|
20,106,571
|
||
|
Interest Only Commercial Mortgage-Backed Securities — 0.1%
|
|||
|
245 Park Avenue Trust, Series 2017-245P,
Class XA, 0.27%, 06/05/37(a)(b)
|
|
13,000
|
40,583
|
|
BANK, Series 2019-BN20, Class XB, 0.46%,
09/15/62(b)
|
|
39,279
|
560,704
|
|
Bank of America Merrill Lynch Commercial
Mortgage Trust, Series 2017-BNK3, Class XB,
0.73%, 02/15/50(b)
|
|
11,850
|
95,567
|
|
BBCMS Mortgage Trust
|
|
|
|
|
Series 2015-SRCH, Class XA, 1.01%,
08/10/35(a)(b)
|
|
15,138
|
201,644
|
|
Series 2020-C7, Class XB, 1.08%, 04/15/53(b)
|
|
1,596
|
68,199
|
|
Benchmark Mortgage Trust
|
|
|
|
|
Series 2019-B9, Class XA, 1.18%, 03/15/52(b)
|
|
12,397
|
371,887
|
|
Series 2020-B17, Class XB, 0.62%,
03/15/53(b)
|
|
7,100
|
136,362
|
|
Series 2021-B23, Class XA, 1.36%,
02/15/54(b)
|
|
27,114
|
1,357,710
|
|
BMO Mortgage Trust, Series 2023-C5, Class XA,
0.94%, 06/15/56(b)
|
|
14,238
|
664,909
|
|
CFCRE Commercial Mortgage Trust
|
|
|
|
|
Series 2016-C3, Class XD, 1.87%,
01/10/48(a)(b)
|
|
5,497
|
45,751
|
|
Series 2016-C4, Class XB, 0.86%, 05/10/58(b)
|
|
5,810
|
22,862
|
|
Citigroup Commercial Mortgage Trust,
Series 2020-420K, Class X, 0.91%,
11/10/42(a)(b)
|
|
46,500
|
1,731,395
|
|
Commercial Mortgage Pass-Through Certificates
|
|
|
|
|
Series 2015-CR25, Class XA, 0.86%,
08/10/48(b)
|
|
1,325
|
22
|
|
Series 2018-COR3, Class XD, 1.75%,
05/10/51(a)(b)
|
|
3,200
|
134,895
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
|
Series 2017-CX10, Class XB, 0.32%,
11/15/50(b)
|
|
12,490
|
74,948
|
|
Series 2019-C16, Class XA, 1.69%,
06/15/52(b)
|
|
29,415
|
1,437,081
|
|
Series 2019-C17, Class XA, 1.46%,
09/15/52(b)
|
|
9,408
|
392,334
|
|
Series 2019-C17, Class XB, 0.67%,
09/15/52(b)
|
|
19,090
|
367,099
|
|
DBGS Mortgage Trust, Series 2019-1735,
Class X, 0.43%, 04/10/37(a)(b)
|
|
21,535
|
225,127
|
|
Deutsche Bank JPMorgan Mortgage Trust,
Series 2017-C6, Class XD, 1.00%,
06/10/50(a)(b)
|
|
5,780
|
94,756
|
|
Security
|
|
Par
(000)
|
Value
|
|
Interest Only Commercial Mortgage-Backed Securities (continued)
|
|||
|
ELM Trust
|
|
|
|
|
Series 2024-ELM, Class XP10, 0.24%,
06/10/39(a)(b)
|
USD
|
51,484
|
$ 109,228
|
|
Series 2024-ELM, Class XP15, 1.61%,
06/10/39(a)(b)
|
|
46,635
|
657,064
|
|
FREMF Mortgage Trust, Series 2019-KW08,
Class X2A, 0.00%, 01/25/29(a)
|
|
150,211
|
390,669
|
|
GS Mortgage Securities Trust
|
|
|
|
|
Series 2019-GSA1, Class XA, 0.93%,
11/10/52(b)
|
|
7,682
|
221,213
|
|
Series 2020-GSA2, Class XA, 1.77%,
12/12/53(a)(b)
|
|
17,517
|
1,187,665
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
|
Series 2014-C22, Class XA, 0.55%,
09/15/47(b)
|
|
123
|
1
|
|
Series 2014-C23, Class XA, 0.51%,
09/15/47(b)
|
|
3,600
|
33
|
|
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C4, Class XC, 0.75%,
12/15/49(a)(b)
|
|
4,940
|
39,375
|
|
JPMorgan Chase Commercial Mortgage
Securities Trust
|
|
|
|
|
Series 2013-LC11, Class XB, 0.59%,
04/15/46(b)
|
|
3,059
|
9,284
|
|
Series 2016-JP3, Class XC, 0.75%,
08/15/49(a)(b)
|
|
13,040
|
87,028
|
|
Ladder Capital Commercial Mortgage Trust,
Series 2013-GCP, Class XA, 1.30%,
02/15/36(a)(b)
|
|
3,457
|
89,361
|
|
LSTAR Commercial Mortgage Trust,
Series 2017-5, Class X, 1.00%, 03/10/50(a)(b)
|
|
2,350
|
22,567
|
|
MCR Mortgage Trust, Series 2024-TWA,
Class XA, 0.92%, 06/12/39(a)
|
|
16,557
|
206,226
|
|
Morgan Stanley Bank of America Merrill Lynch
Trust
|
|
|
|
|
Series 2014-C19, Class XF, 1.38%,
12/15/47(a)(b)
|
|
4,370
|
49,332
|
|
Series 2015-C26, Class XD, 1.39%,
10/15/48(a)(b)
|
|
4,490
|
35,497
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
Series 2016-UBS9, Class XD, 1.74%,
03/15/49(a)(b)
|
|
13,984
|
306,167
|
|
Series 2017-H1, Class XD, 2.30%,
06/15/50(a)(b)
|
|
3,293
|
117,624
|
|
Series 2019-H6, Class XB, 0.86%, 06/15/52(b)
|
|
23,510
|
587,404
|
|
Series 2019-L2, Class XA, 1.16%, 03/15/52(b)
|
|
8,005
|
242,014
|
|
MSWF Commercial Mortgage Trust,
Series 2023-2, Class XA, 1.14%, 12/15/56(b)
|
|
56,204
|
3,315,652
|
|
Olympic Tower Mortgage Trust, Series 2017-OT,
Class XA, 0.51%, 05/10/39(a)(b)
|
|
36,697
|
209,628
|
|
One Market Plaza Trust
|
|
|
|
|
Series 2017-1MKT, Class XCP, 0.00%,
02/10/32(a)(b)
|
|
44,225
|
137,707
|
|
Series 2017-1MKT, Class XNCP, 0.22%,
02/10/32(a)(b)
|
|
8,845
|
23,138
|
|
UBS Commercial Mortgage Trust
|
|
|
|
|
Series 2019-C17, Class XA, 1.58%,
10/15/52(b)
|
|
18,405
|
896,015
|
|
Series 2019-C18, Class XA, 1.11%,
12/15/52(b)
|
|
32,935
|
1,031,996
|
|
Security
|
|
Par
(000)
|
Value
|
|
Interest Only Commercial Mortgage-Backed Securities (continued)
|
|||
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
Series 2015-NXS4, Class XA, 1.14%,
12/15/48(b)
|
USD
|
1,937
|
$ 393
|
|
Series 2016-BNK1, Class XD, 1.38%,
08/15/49(a)(b)
|
|
4,420
|
53,798
|
|
Series 2019-C50, Class XA, 1.57%,
05/15/52(b)
|
|
21,096
|
847,885
|
|
Series 2024-BPRC, Class X, 0.31%,
07/15/43(a)(b)
|
|
33,871
|
307,484
|
|
|
19,205,283
|
||
|
Principal Only Collateralized Mortgage Obligations — 0.0%
|
|||
|
Seasoned Credit Risk Transfer Trust,
Series 2017-3, Class B, 0.00%, 07/25/56(a)(d)
|
|
1,492
|
225,419
|
|
Total Non-Agency Mortgage-Backed Securities — 12.7%
(Cost: $2,420,191,163)
|
2,374,381,729
|
||
|
Preferred Securities
|
|||
|
Capital Trusts — 0.2%
|
|||
|
Banks — 0.0%
|
|||
|
Bangkok Bank PCL, 5.00%(e)(m)
|
|
500
|
498,400
|
|
Barclays PLC, 4.38%(m)
|
|
462
|
430,048
|
|
BNP Paribas SA, 4.63%(a)(m)
|
|
462
|
448,733
|
|
Krung Thai Bank PCL, 4.40%(e)(m)
|
|
500
|
492,250
|
|
Rizal Commercial Banking Corp., 6.50%(e)(m)
|
|
500
|
498,750
|
|
|
|
|
2,368,181
|
|
Capital Markets — 0.0%
|
|||
|
UBS Group AG, 4.88%(a)(m)
|
|
483
|
469,788
|
|
Construction Materials — 0.0%
|
|||
|
Cemex SAB de CV, 7.20%(a)(m)
|
|
6,903
|
6,982,385
|
|
Electric Utilities — 0.2%
|
|||
|
Dominion Energy, Inc., Series B, 7.00%,
06/01/54
|
|
6,582
|
7,062,038
|
|
PG&E Corp., 7.38%, 03/15/55
|
|
24,263
|
22,977,550
|
|
|
|
|
30,039,588
|
|
Energy Equipment & Services — 0.0%
|
|||
|
Venture Global LNG, Inc., 9.00%(a)(m)
|
|
1,775
|
1,725,653
|
|
Media — 0.0%
|
|||
|
Paramount Global, 6.38%, 03/30/62
|
|
1,698
|
1,668,345
|
|
Total Capital Trusts — 0.2%
|
43,253,940
|
||
|
|
|
Shares
|
|
|
Preferred Stocks — 0.4%
|
|||
|
Aerospace & Defense — 0.0%
|
|||
|
Boeing Co. (The), 6.00%(p)
|
|
38,550
|
2,621,400
|
|
Financial Services — 0.0%
|
|||
|
SCI PH Parent, Inc., Series A, (Acquired
02/10/23, cost $1,875,000), 12.50%(g)(i)
|
|
1,875
|
2,404,819
|
|
Household Durables — 0.1%
|
|||
|
Dream Finders Homes, Inc. (Preference),
9.00%(g)(m)
|
|
15,124
|
14,897,140
|
|
Lessen Holdings, Inc., Series B, 0.00%(g)
|
|
143,367
|
420,065
|
|
|
|
|
15,317,205
|
|
IT Services — 0.1%
|
|||
|
Veritas NewCo.
|
|
|
|
|
0.00%(g)
|
|
13,357
|
300,532
|
|
Security
|
|
Shares
|
Value
|
|
IT Services (continued)
|
|||
|
Veritas NewCo.
|
|
|
|
|
0.00%(g)
|
|
9,228
|
$ 207,630
|
|
X.AI Holdings Corp., Series C, 0.00%(g)
|
|
363,422
|
12,054,708
|
|
|
|
|
12,562,870
|
|
Oil, Gas & Consumable Fuels — 0.0%
|
|||
|
Insight M, Inc., 0.00%(g)
|
|
3,271,821
|
744,339
|
|
Software — 0.1%
|
|||
|
Versa Networks, Inc., Series E, (12.66% Cash or
12.66% PIK), (Acquired 10/14/22, cost
$12,017,972), 12.00%(g)(i)(o)
|
|
4,118,274
|
21,044,380
|
|
Specialty Retail — 0.1%
|
|||
|
Davidson Homes, Inc., 12.00%(g)
|
|
18,658
|
19,279,871
|
|
Textiles, Apparel & Luxury Goods — 0.0%
|
|||
|
Cap Hill Brands, 0.00%(g)
|
|
2,670,520
|
80,116
|
|
Total Preferred Stocks — 0.4%
|
74,055,000
|
||
|
Total Preferred Securities — 0.6%
(Cost: $108,063,585)
|
117,308,940
|
||
|
|
|
Par
(000)
|
|
|
U.S. Government Sponsored Agency Securities
|
|||
|
Agency Obligations — 0.0%
|
|||
|
Fannie Mae, 6.63%, 11/15/30
|
USD
|
1,450
|
1,640,561
|
|
Collateralized Mortgage Obligations — 1.1%
|
|||
|
Fannie Mae, Series 2003-W5, Class A, (1-mo.
CME Term SOFR + 0.11%), 4.66%,
04/25/33(b)
|
|
1
|
724
|
|
Freddie Mac
|
|
|
|
|
Series 5513, Class FD, (SOFR (30-day) +
1.35%), 5.66%, 01/25/55(b)
|
|
58,387
|
58,507,407
|
|
Series 5516, Class FC, (SOFR (30-day) +
1.40%), 5.71%, 03/25/55(b)
|
|
137,848
|
138,191,598
|
|
|
196,699,729
|
||
|
Commercial Mortgage-Backed Securities — 0.0%
|
|||
|
Fannie Mae, Series 2006-M2, Class A2A, 5.27%,
10/25/32(b)
|
|
125
|
125,467
|
|
Freddie Mac
|
|
|
|
|
Series 2024-P015, Class A1, 4.45%,
11/25/32(b)
|
|
2,111
|
2,067,995
|
|
Series KJ48, Class A2, 5.03%, 10/25/31
|
|
2,327
|
2,383,554
|
|
Ginnie Mae
|
|
|
|
|
Series 2023-118, Class BA, 3.75%, 05/16/65(b)
|
|
1,361
|
1,243,490
|
|
Series 2023-119, Class AD, 2.25%, 04/16/65
|
|
2,525
|
2,038,185
|
|
Series 2023-50, Class AC, 3.25%, 09/16/63(b)
|
|
1,108
|
1,005,560
|
|
|
8,864,251
|
||
|
Interest Only Collateralized Mortgage Obligations — 0.2%
|
|||
|
Fannie Mae, Series 2020-32, Class PI, 4.00%,
05/25/50
|
|
4,727
|
1,010,234
|
|
Freddie Mac, Series 5112, Class KI, 3.50%,
06/25/51
|
|
19,383
|
3,600,197
|
|
Ginnie Mae
|
|
|
|
|
Series 2021-58, Class IY, 3.00%, 02/20/51
|
|
36,095
|
6,019,989
|
|
Series 2021-67, Class QI, 3.00%, 04/20/51
|
|
3,262
|
560,289
|
|
Series 2021-76, Class JI, 3.00%, 08/20/50
|
|
3,351
|
574,480
|
|
Series 2021-78, Class IP, 3.00%, 05/20/51
|
|
33,503
|
5,655,748
|
|
Series 2021-83, Class PI, 3.00%, 05/20/51
|
|
8,627
|
1,469,882
|
|
Series 2021-96, Class MI, 3.00%, 06/20/51
|
|
5,849
|
1,005,661
|
|
Series 2021-97, Class LI, 3.00%, 08/20/50
|
|
43,117
|
7,174,324
|
|
Security
|
|
Par
(000)
|
Value
|
|
Interest Only Collateralized Mortgage Obligations (continued)
|
|||
|
Ginnie Mae
|
|
|
|
|
Series 2022-78, Class IO, 3.00%, 08/20/51
|
USD
|
7,313
|
$ 1,243,116
|
|
Series 2022-85, Class IK, 3.00%, 05/20/51
|
|
21,389
|
3,677,824
|
|
|
31,991,744
|
||
|
Interest Only Commercial Mortgage-Backed Securities — 0.0%
|
|||
|
Freddie Mac
|
|
|
|
|
Series K121, Class X1, 1.11%, 10/25/30(b)
|
|
13,528
|
574,283
|
|
Series KL06, Class XFX, 1.46%, 12/25/29(b)
|
|
6,648
|
331,148
|
|
Series KW09, Class X1, 0.92%, 05/25/29(b)
|
|
34,391
|
762,734
|
|
Ginnie Mae
|
|
|
|
|
Series 2013-30, Class IO, 0.53%, 09/16/53(b)
|
|
2,368
|
34,271
|
|
Series 2016-36, Class IO, 0.66%, 08/16/57(b)
|
|
577
|
16,155
|
|
Series 2016-96, Class IO, 0.77%, 12/16/57(b)
|
|
3,054
|
115,088
|
|
|
1,833,679
|
||
|
Mortgage-Backed Securities — 46.2%
|
|||
|
Fannie Mae Mortgage-Backed Securities
|
|
|
|
|
1.50%, 12/01/35 - 03/01/51
|
|
217,795
|
178,708,167
|
|
2.00%, 10/01/31 - 03/01/52
|
|
584,211
|
479,148,467
|
|
2.50%, 09/01/27 - 02/01/52
|
|
425,979
|
364,462,256
|
|
3.00%, 04/01/28 - 05/01/52
|
|
126,272
|
114,558,069
|
|
3.50%, 08/01/28 - 01/01/51
|
|
104,588
|
96,033,012
|
|
4.00%, 08/01/31 - 04/01/52
|
|
89,470
|
84,856,775
|
|
4.50%, 07/01/25 - 07/01/52
|
|
120,872
|
118,104,565
|
|
5.00%, 11/01/32 - 04/01/53
|
|
53,833
|
53,497,919
|
|
5.50%, 12/01/32 - 06/01/53
|
|
146,545
|
147,229,288
|
|
5.81%, 06/01/31
|
|
5,495
|
5,696,990
|
|
6.00%, 02/01/34 - 08/01/53
|
|
113,410
|
116,060,596
|
|
6.50%, 05/01/40 - 07/01/54
|
|
89,700
|
92,923,224
|
|
Freddie Mac Mortgage-Backed Securities
|
|
|
|
|
1.50%, 04/01/36 - 10/01/50
|
|
35,577
|
29,442,040
|
|
2.00%, 09/01/35 - 02/01/52
|
|
367,828
|
301,948,185
|
|
2.50%, 04/01/27 - 04/01/52
|
|
266,474
|
225,427,771
|
|
3.00%, 09/01/27 - 08/01/52
|
|
236,624
|
209,592,626
|
|
3.50%, 02/01/31 - 06/01/50
|
|
63,562
|
59,865,504
|
|
4.00%, 08/01/40 - 06/01/52
|
|
100,289
|
95,420,780
|
|
4.50%, 02/01/39 - 08/01/52
|
|
71,183
|
69,187,718
|
|
5.00%, 07/01/35 - 11/01/53
|
|
111,289
|
109,779,750
|
|
5.50%, 02/01/35 - 08/01/53
|
|
44,337
|
44,732,622
|
|
6.00%, 11/01/52 - 06/01/53
|
|
45,136
|
46,155,416
|
|
6.50%, 10/01/53 - 07/01/54
|
|
14,224
|
14,831,158
|
|
Ginnie Mae Mortgage-Backed Securities
|
|
|
|
|
2.00%, 08/20/50 - 07/15/55(r)
|
|
203,847
|
166,021,370
|
|
2.50%, 04/20/51 - 07/15/55(r)
|
|
204,609
|
173,890,440
|
|
3.00%, 12/20/44 - 07/15/55(r)
|
|
148,590
|
131,643,919
|
|
3.50%, 01/15/42 - 07/15/55(r)
|
|
182,415
|
166,273,454
|
|
4.00%, 04/20/39 - 07/15/55(r)
|
|
100,026
|
93,574,584
|
|
4.50%, 12/20/39 - 07/15/55(r)
|
|
89,709
|
86,005,259
|
|
5.00%, 04/15/33 - 07/15/55(r)
|
|
113,717
|
111,751,599
|
|
5.50%, 07/15/55(r)
|
|
126,056
|
126,221,422
|
|
6.00%, 07/15/55(r)
|
|
79,938
|
81,105,676
|
|
6.50%, 07/15/55(r)
|
|
39,017
|
40,052,105
|
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
2.00%, 07/01/40 - 07/01/55(r)
|
|
92,419
|
73,785,153
|
|
2.50%, 07/01/40 - 07/01/55(r)
|
|
20,737
|
18,186,390
|
|
3.00%, 07/01/40 - 07/01/55(r)
|
|
47,994
|
41,531,445
|
|
3.50%, 07/01/55(r)
|
|
157,397
|
141,677,614
|
|
4.00%, 07/01/40 - 07/01/55(r)
|
|
39,160
|
36,622,480
|
|
4.50%, 07/01/40 - 07/01/55(r)
|
|
554,793
|
531,714,930
|
|
5.00%, 07/01/55(r)
|
|
278,017
|
272,428,903
|
|
5.50%, 07/01/55(r)
|
|
1,352,868
|
1,352,558,491
|
|
Security
|
|
Par
(000)
|
Value
|
|
Mortgage-Backed Securities (continued)
|
|||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
6.00%, 07/01/55(r)
|
USD
|
1,832,603
|
$ 1,862,149,765
|
|
6.50%, 07/01/55(r)
|
|
91,322
|
94,226,497
|
|
|
8,659,084,394
|
||
|
Total U.S. Government Sponsored Agency Securities — 47.5%
(Cost: $9,160,983,540)
|
8,900,114,358
|
||
|
U.S. Treasury Obligations
|
|||
|
U.S. Treasury Bonds
|
|
|
|
|
4.50%, 08/15/39
|
|
7,796
|
7,766,865
|
|
4.63%, 02/15/40 - 11/15/44
|
|
36,278
|
35,750,250
|
|
1.13%, 05/15/40 - 08/15/40
|
|
14,792
|
9,148,217
|
|
3.88%, 08/15/40 - 02/15/43(s)
|
|
116,397
|
104,412,020
|
|
1.38%, 11/15/40 - 08/15/50
|
|
35,293
|
18,466,301
|
|
4.25%, 11/15/40
|
|
33,097
|
31,726,386
|
|
1.88%, 02/15/41 - 11/15/51
|
|
135,903
|
82,941,599
|
|
3.75%, 08/15/41 - 11/15/43
|
|
66,843
|
59,072,977
|
|
2.38%, 02/15/42 - 05/15/51
|
|
72,964
|
48,757,426
|
|
3.00%, 05/15/42 - 08/15/52
|
|
334,832
|
248,003,121
|
|
3.63%, 08/15/43 - 05/15/53
|
|
158,930
|
131,309,435
|
|
3.13%, 08/15/44 - 05/15/48
|
|
64,699
|
50,183,273
|
|
4.13%, 08/15/44 - 08/15/53
|
|
128,577
|
116,178,119
|
|
2.50%, 02/15/45
|
|
83,945
|
59,095,969
|
|
2.75%, 11/15/47
|
|
84,374
|
59,997,824
|
|
2.88%, 05/15/49
|
|
27,897
|
20,025,905
|
|
2.25%, 08/15/49 - 02/15/52
|
|
76,317
|
47,361,866
|
|
1.63%, 11/15/50
|
|
29,156
|
15,360,639
|
|
2.00%, 08/15/51
|
|
27,897
|
16,083,274
|
|
4.75%, 05/15/55(s)
|
|
163,460
|
162,540,538
|
|
U.S. Treasury Notes
|
|
|
|
|
4.63%, 03/15/26
|
|
91,501
|
91,823,577
|
|
4.38%, 12/15/26 - 08/31/28
|
|
92,410
|
94,102,175
|
|
4.00%, 01/15/27 - 02/15/34
|
|
164,855
|
164,790,884
|
|
4.25%, 03/15/27 - 05/15/35
|
|
379,397
|
380,916,952
|
|
0.50%, 04/30/27 - 05/31/27
|
|
115,438
|
108,700,517
|
|
2.38%, 05/15/27 - 03/31/29
|
|
91,166
|
87,233,996
|
|
2.25%, 08/15/27
|
|
16,447
|
15,953,590
|
|
0.38%, 09/30/27
|
|
36,576
|
33,961,387
|
|
3.88%, 11/30/27 - 11/30/29
|
|
155,252
|
155,894,120
|
|
1.25%, 03/31/28 - 09/30/28
|
|
223,447
|
207,952,325
|
|
1.13%, 08/31/28
|
|
63,183
|
58,340,616
|
|
3.75%, 12/31/28 - 05/31/30
|
|
178,406
|
178,336,109
|
|
2.88%, 04/30/29 - 05/15/32
|
|
99,441
|
96,237,125
|
|
3.25%, 06/30/29
|
|
74,119
|
72,764,503
|
|
3.50%, 01/31/30
|
|
35,119
|
34,709,897
|
|
1.50%, 02/15/30
|
|
25,743
|
23,295,404
|
|
4.88%, 10/31/30
|
|
26,721
|
28,049,638
|
|
3.63%, 09/30/31
|
|
65,840
|
64,739,238
|
|
4.50%, 12/31/31
|
|
63,703
|
65,683,456
|
|
Total U.S. Treasury Obligations — 17.5%
(Cost: $3,505,107,445)
|
3,287,667,513
|
||
|
|
|
Shares
|
|
|
Warrants(h)
|
|||
|
Banks — 0.0%
|
|||
|
New York Community Bancorp, Inc.,
(Issued/Exercisable 03/07/24, 1 Share for
1 Warrant, Expires 12/31/49, Strike Price
USD 2,485.52) (Acquired 03/07/24, cost
$0)(g)(i)
|
|
948
|
1,810,358
|
|
Security
|
|
Shares
|
Value
|
|
Beverages — 0.0%
|
|||
|
Cirkul, (Issued/Exercisable 05/01/25, 1 Share for
1 Warrant, Expires 04/25/35, Strike Price USD
35.41)(g)
|
|
11,359
|
$ 52,365
|
|
Cirkul, (Issued/Exercisable 05/01/25, 1 Share for
1 Warrant, Expires 04/25/35, Strike Price USD
0.01)(g)
|
|
11,075
|
151,506
|
|
|
|
|
203,871
|
|
Capital Markets — 0.0%
|
|||
|
Crown PropTech Acquisitions,
(Issued/Exercisable 01/25/21, 1 Share for
1 Warrant, Expires 02/01/26, Strike Price USD
11.50)(g)
|
|
214,560
|
54,584
|
|
Crown PropTech Acquisitions,
(Issued/Exercisable 12/25/21, 1 Share for
1 Warrant, Expires 12/31/27, Strike Price USD
11.50)
|
|
128,396
|
321
|
|
|
|
|
54,905
|
|
Hotels, Restaurants & Leisure — 0.0%
|
|||
|
Sonder Holdings, Inc., (Issued/Exercisable
04/11/25, 1 Share for 1 Warrant, Expires
04/11/30, Strike Price USD 1.00)(g)
|
|
262,154
|
495,472
|
|
Sonder Holdings, Inc., (Issued/Exercisable
12/30/24, 1 Share for 1 Warrant, Expires
12/30/29, Strike Price USD 0.01)(g)
|
|
26,279
|
70,690
|
|
|
|
|
566,162
|
|
Machinery — 0.0%
|
|||
|
Palladyne AI Corp., (Issued/Exercisable 01/11/22,
1 Share for 1 Warrant, Expires 01/31/26, Strike
Price USD 69.00)
|
|
72,998
|
27,885
|
|
Palladyne AI Corp., (Issued/Exercisable 12/21/20,
1 Share for 1 Warrant, Expires 06/15/27, Strike
Price USD 11.50)
|
|
267,474
|
102,175
|
|
|
|
|
130,060
|
|
Oil, Gas & Consumable Fuels — 0.0%
|
|||
|
Insight M, Inc., (Issued/Exercisable 01/25/24,
1 Share for 1 Warrant, Expires 12/31/49, Strike
Price USD 0.34)(g)
|
|
3,390,177
|
332,915
|
|
Passenger Airlines — 0.0%
|
|||
|
Volato Group, Inc., (Issued/Exercisable 12/08/23,
1 Share for 1 Warrant, Expires 12/03/28, Strike
Price USD 11.50) (Acquired 12/03/21, cost
$73,612)(i)
|
|
73,612
|
1,877
|
|
Real Estate Management & Development — 0.0%
|
|||
|
Offerpad Solutions, Inc., (Issued
10/13/20/Exercisable 10/23/21, 1 Share for
1 Warrant, Expires 09/01/26, Strike Price USD
11.50)
|
|
111,610
|
525
|
|
Software — 0.0%
|
|||
|
Aurora Innovation, Inc., (Issued
05/04/21/Exercisable 05/04/22, 1 Share for
1 Warrant, Expires 12/31/28, Strike Price USD
11.50)
|
|
16,026
|
13,939
|
|
Security
|
|
Shares
|
Value
|
|
Software (continued)
|
|||
|
Latch, Inc., (Issued 12/29/20/Exercisable
11/13/21, 1 Share for 1 Warrant, Expires
06/04/26, Strike Price USD 11.50)(g)
|
|
49,166
|
$ 5
|
|
Versa Networks, Inc., Series E,
(Issued/Exercisable 10/05/22, 1 Share for
1 Warrant, Expires 10/07/32, Strike Price USD
0.01) (Acquired 10/14/22, cost $0)(g)(i)
|
|
507,586
|
2,050,648
|
|
|
|
|
2,064,592
|
|
Specialty Retail — 0.0%
|
|||
|
Davidson Homes, (Issued/Exercisable 05/16/24,
1 Share for 1 Warrant, Expires 05/16/34, Strike
Price USD 8.46) - Class A(g)
|
|
129,494
|
524,451
|
|
EVgo, Inc., (Issued 11/10/20/Exercisable
10/02/21, 1 Share for 1 Warrant, Expires
09/15/25, Strike Price USD 11.50)
|
|
75,790
|
16,674
|
|
|
|
|
541,125
|
|
Trading Companies & Distributors — 0.0%
|
|||
|
Lavoro Ltd., (Issued 12/27/22/Exercisable
12/27/23, 1 Share for 1 Warrant, Expires
12/27/27, Strike Price USD 11.50)
|
|
79,561
|
2,864
|
|
Total Warrants — 0.0%
(Cost: $1,433,474)
|
5,709,254
|
||
|
Total Long-Term Investments — 124.4%
(Cost: $23,917,463,602)
|
23,331,168,963
|
||
|
|
|
Shares
|
|
|
Short-Term Securities
|
|||
|
Money Market Funds — 2.2%
|
|||
|
BlackRock Cash Funds: Institutional, SL Agency
Shares, 4.47%(q)(t)(u)
|
|
13,143,369
|
13,148,626
|
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares, 4.20%(q)(t)
|
|
389,556,556
|
389,556,556
|
|
Total Short-Term Securities — 2.2%
(Cost: $402,704,961)
|
402,705,182
|
||
|
Options Purchased — 0.1%
(Cost: $21,891,578)
|
20,424,513
|
||
|
Total Investments Before Options Written and TBA Sale
Commitments — 126.7%
(Cost: $24,342,060,141)
|
23,754,298,658
|
||
|
|
|
Par
(000)
|
|
|
TBA Sale Commitments(r)
|
|||
|
Mortgage-Backed Securities — (7.9)%
|
|||
|
Ginnie Mae Mortgage-Backed Securities
|
|
|
|
|
2.00%, 07/15/55
|
USD
|
(2,651
)
|
(2,158,444
)
|
|
2.50%, 07/15/55
|
|
(2,387
)
|
(2,027,612
)
|
|
3.00%, 07/15/55
|
|
(1,562
)
|
(1,381,369
)
|
|
3.50%, 07/15/55
|
|
(70,489
)
|
(64,076,863
)
|
|
4.00%, 07/15/55
|
|
(20,115
)
|
(18,699,312
)
|
|
4.50%, 07/15/55
|
|
(715
)
|
(684,296
)
|
|
5.00%, 07/15/55
|
|
(887
)
|
(871,165
)
|
|
5.50%, 07/15/55
|
|
(964
)
|
(965,265
)
|
|
6.00%, 07/15/55
|
|
(627
)
|
(636,159
)
|
|
6.50%, 07/15/55
|
|
(313
)
|
(321,304
)
|
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
1.50%, 07/01/40
|
|
(7,425
)
|
(6,596,656
)
|
|
Security
|
|
Par
(000)
|
Value
|
|
Mortgage-Backed Securities (continued)
|
|||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
2.00%, 07/01/40 - 07/01/55
|
USD
|
(11,769
)
|
$ (9,624,637
)
|
|
2.50%, 07/01/40 - 07/01/55
|
|
(6,253
)
|
(5,242,383
)
|
|
3.00%, 07/01/40 - 07/01/55
|
|
(64,830
)
|
(56,101,375
)
|
|
3.50%, 07/01/40 - 07/01/55
|
|
(5,495
)
|
(5,117,664
)
|
|
4.00%, 07/01/40 - 07/01/55
|
|
(1,923
)
|
(1,793,708
)
|
|
4.50%, 07/01/40 - 07/01/55
|
|
(703,598
)
|
(672,900,775
)
|
|
5.00%, 07/01/55
|
|
(65,566
)
|
(64,248,134
)
|
|
5.50%, 07/01/55
|
|
(2,131
)
|
(2,130,512
)
|
|
6.00%, 07/01/55
|
|
(504,425
)
|
(512,557,764
)
|
|
6.50%, 07/01/55
|
|
(43,643
)
|
(45,060,377
)
|
|
Total TBA Sale Commitments — (7.9)%
(Proceeds: $(1,462,106,491))
|
(1,473,195,774
)
|
||
|
Options Written — (0.0)%
(Premiums Received: $(7,686,459))
|
(2,665,651
)
|
||
|
Total Investments Net of Options Written and TBA Sale
Commitments — 118.8%
(Cost: $22,872,267,191)
|
22,278,437,233
|
||
|
Liabilities in Excess of Other Assets — (18.8)%
|
(3,528,837,990
)
|
||
|
Net Assets — 100.0%
|
$ 18,749,599,243
|
||
|
(a)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933,
as amended. These securities may be resold in transactions exempt from registration
to
qualified institutional investors.
|
|
(b)
|
Variable rate security. Interest rate resets periodically. The rate shown is the effective
interest rate as of period end. Security description also includes the reference rate
and
spread if published and available.
|
|
(c)
|
Step coupon security. Coupon rate will either increase (step-up bond) or decrease
(step-
down bond) at regular intervals until maturity. Interest rate shown reflects the rate
currently in effect.
|
|
(d)
|
Zero-coupon bond.
|
|
(e)
|
This security may be resold to qualified foreign investors and foreign institutional
buyers
under Regulation S of the Securities Act of 1933.
|
|
(f)
|
When-issued security.
|
|
(g)
|
Security is valued using significant unobservable inputs and is classified as Level
3 in the
fair value hierarchy.
|
|
(h)
|
Non-income producing security.
|
|
(i)
|
Restricted security as to resale, excluding 144A securities. The Fund held restricted
securities with a current value of $67,812,578, representing 0.4% of its net assets
as of
period end, and an original cost of $50,846,283.
|
|
(j)
|
All or a portion of this security is on loan.
|
|
(k)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
(l)
|
Investment does not issue shares.
|
|
(m)
|
Perpetual security with no stated maturity date.
|
|
(n)
|
Issuer filed for bankruptcy and/or is in default.
|
|
(o)
|
Payment-in-kind security which may pay interest/dividends in additional par/shares
and/or in cash. Rates shown are the current rate and possible payment rates.
|
|
(p)
|
Convertible security.
|
|
(q)
|
Affiliate of the Fund.
|
|
(r)
|
Represents or includes a TBA transaction.
|
|
(s)
|
All or a portion of the security has been pledged as collateral in connection with
outstanding OTC derivatives.
|
|
(t)
|
Annualized 7-day yield as of period end.
|
|
(u)
|
All or a portion of this security was purchased with the cash collateral from loaned
securities.
|
|
Affiliated Issuer
|
Value at
09/30/24
|
Purchases
at Cost
|
Proceeds
from Sales
|
Net
Realized
Gain
(Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value at
06/30/25
|
Par/Shares
Held at
06/30/25
|
Income
|
Capital
Gain
Distributions
from
Underlying
Funds
|
|
BlackRock Capital
Finance LP,
Series 1997-R2,
Class AP
|
$ —
|
$ —
|
$ —
|
$ —
|
$ —
|
$ —
|
830
|
$ —
|
$ —
|
|
BlackRock Cash
Funds: Institutional,
SL Agency Shares
|
11,651,570
|
1,501,236
(a)
|
—
|
(3,706
)
|
(474
)
|
13,148,626
|
13,143,369
|
29,574
(b)
|
—
|
|
BlackRock Liquidity
Funds, T-Fund,
Institutional Shares
|
1,075,080,828
|
—
|
(685,524,272
)(a)
|
—
|
—
|
389,556,556
|
389,556,556
|
18,671,609
|
—
|
|
iShares 0-5 Year High
Yield Corporate Bond
ETF
|
—
|
51,526,050
|
(3,731,305
)
|
(134,464
)
|
44,233
|
47,704,514
|
1,105,807
|
1,795,040
|
—
|
|
iShares AAA CLO
Active ETF
|
—
|
10,352,000
|
—
|
—
|
32,000
|
10,384,000
|
200,000
|
388,294
|
3,675
|
|
iShares iBoxx $
Investment Grade
Corporate Bond ETF
|
5,087,376
|
152,074,784
|
(149,835,577
)
|
(351,884
)
|
188,315
|
7,163,014
|
65,350
|
189,579
|
—
|
|
|
|
|
|
$ (490,054
)
|
$ 264,074
|
$ 467,956,710
|
|
$ 21,074,096
|
$ 3,675
|
|
(a)
|
Represents net amount purchased (sold).
|
|
(b)
|
All or a portion represents securities lending income earned from the reinvestment
of cash collateral from loaned securities, net of collateral investment fees, and
other payments to and
from borrowers of securities.
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value/
Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts
|
|
|
|
|
|
Euro-Bobl
|
1,497
|
09/08/25
|
$ 207,516
|
$ (251,401
)
|
|
Euro-Bund
|
47
|
09/08/25
|
7,206
|
(28,944
)
|
|
U.S. Treasury Bonds (30 Year)
|
3,508
|
09/19/25
|
404,626
|
13,797,303
|
|
U.S. Treasury Notes (10 Year)
|
1,453
|
09/19/25
|
162,918
|
2,667,005
|
|
U.S. Treasury Notes (2 Year)
|
24,225
|
09/30/25
|
5,039,936
|
21,675,723
|
|
U.S. Treasury Notes (5 Year)
|
10,424
|
09/30/25
|
1,136,379
|
12,622,221
|
|
3-month SOFR
|
11,494
|
03/17/26
|
2,768,043
|
1,786,332
|
|
3-month SOFR
|
184
|
09/15/26
|
44,540
|
11,246
|
|
|
|
|
|
52,279,485
|
|
Short Contracts
|
|
|
|
|
|
Euro-BTP Italian Government Bond
|
51
|
09/08/25
|
7,269
|
497
|
|
Euro-Buxl
|
455
|
09/08/25
|
63,641
|
1,113,001
|
|
10-Year Australian Treasury Bonds
|
668
|
09/15/25
|
50,392
|
(482,014
)
|
|
10-Year Canadian Bond
|
89
|
09/18/25
|
7,974
|
(50,286
)
|
|
E-mini Russell 2000 Index
|
197
|
09/19/25
|
61,599
|
(2,166,536
)
|
|
Russell 2000 E-Mini Index
|
286
|
09/19/25
|
31,341
|
(1,045,643
)
|
|
U.S. Ultra Treasury Bonds
|
498
|
09/19/25
|
59,246
|
(2,083,044
)
|
|
U.S. Ultra Treasury Notes (10 Year)
|
16,247
|
09/19/25
|
1,856,220
|
(37,787,391
)
|
|
Long Gilt
|
15
|
09/26/25
|
1,915
|
3,990
|
|
3-month EURIBOR
|
36
|
06/15/26
|
10,411
|
(574
)
|
|
|
|
|
|
(42,498,000
)
|
|
|
|
|
|
$ 9,781,485
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
PLN
|
89,386,049
|
USD
|
23,727,405
|
State Street Bank and Trust Co.
|
07/11/25
|
$1,065,087
|
|
EUR
|
250,295
|
USD
|
285,096
|
HSBC Bank PLC
|
07/16/25
|
10,071
|
|
EUR
|
273,409
|
USD
|
311,100
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
11,325
|
|
EUR
|
196,618
|
USD
|
223,723
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
8,144
|
|
EUR
|
137,761
|
USD
|
156,751
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
5,706
|
|
EUR
|
253,935
|
USD
|
288,942
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
10,518
|
|
EUR
|
104,010
|
USD
|
118,349
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
4,308
|
|
EUR
|
125,447
|
USD
|
142,741
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
5,196
|
|
EUR
|
347,320
|
USD
|
395,200
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
14,386
|
|
EUR
|
238,553
|
USD
|
271,438
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
9,881
|
|
EUR
|
98,431
|
USD
|
112,001
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
4,077
|
|
EUR
|
1,006,097
|
USD
|
1,144,793
|
Morgan Stanley & Co. International PLC
|
07/16/25
|
41,672
|
|
EUR
|
3,629
|
USD
|
4,132
|
UBS AG
|
07/16/25
|
147
|
|
EUR
|
20,187
|
USD
|
22,990
|
UBS AG
|
07/16/25
|
816
|
|
CZK
|
326,219,969
|
USD
|
14,869,970
|
State Street Bank and Trust Co.
|
07/22/25
|
682,465
|
|
TRY
|
41,769,370
|
USD
|
982,000
|
Barclays Bank PLC
|
07/31/25
|
39,538
|
|
PEN
|
8,493,140
|
USD
|
2,316,732
|
Citigroup Global Markets, Inc.
|
08/04/25
|
78,641
|
|
TRY
|
37,438,000
|
USD
|
848,617
|
UBS AG
|
09/03/25
|
38,821
|
|
NGN
|
624,560,400
|
USD
|
393,300
|
Citigroup Global Markets, Inc.
|
09/04/25
|
3,549
|
|
NGN
|
624,561,988
|
USD
|
393,301
|
Citigroup Global Markets, Inc.
|
09/04/25
|
3,549
|
|
NGN
|
646,610,250
|
USD
|
391,885
|
Morgan Stanley & Co. International PLC
|
09/04/25
|
18,975
|
|
BRL
|
224,773,404
|
USD
|
39,663,562
|
Barclays Bank PLC
|
09/17/25
|
903,409
|
|
BRL
|
26,303,710
|
USD
|
4,654,700
|
Citigroup Global Markets, Inc.
|
09/17/25
|
92,578
|
|
CNH
|
19,270,000
|
USD
|
2,702,678
|
State Street Bank and Trust Co.
|
09/17/25
|
6,325
|
|
CZK
|
43,583,000
|
USD
|
2,041,467
|
State Street Bank and Trust Co.
|
09/17/25
|
39,898
|
|
GBP
|
46,805,000
|
USD
|
64,115,314
|
NatWest Markets PLC
|
09/17/25
|
163,959
|
|
HUF
|
186,138,000
|
USD
|
534,465
|
Morgan Stanley & Co. International PLC
|
09/17/25
|
11,926
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
MXN
|
353,492,172
|
USD
|
18,483,007
|
Deutsche Bank AG
|
09/17/25
|
$199,195
|
|
MXN
|
355,437,595
|
USD
|
18,665,000
|
Goldman Sachs Bank USA
|
09/17/25
|
120,018
|
|
SGD
|
1,288,000
|
USD
|
1,013,582
|
State Street Bank and Trust Co.
|
09/17/25
|
5,195
|
|
USD
|
4,939,889
|
COP
|
20,367,161,000
|
Bank of New York Mellon
|
09/17/25
|
8,398
|
|
USD
|
7,443,423
|
COP
|
30,562,694,000
|
Bank of New York Mellon
|
09/17/25
|
43,293
|
|
USD
|
7,432,914
|
COP
|
30,480,152,000
|
Bank of New York Mellon
|
09/17/25
|
52,770
|
|
USD
|
75,276,127
|
JPY
|
10,696,551,000
|
JPMorgan Chase Bank N.A.
|
09/17/25
|
338,225
|
|
USD
|
1,994,558
|
JPY
|
284,429,000
|
RBC Capital Markets LLC
|
09/17/25
|
1,905
|
|
ZAR
|
97,304,000
|
USD
|
5,432,385
|
State Street Bank and Trust Co.
|
09/17/25
|
32,462
|
|
TRY
|
43,487,691
|
USD
|
935,000
|
UBS AG
|
10/24/25
|
51,957
|
|
EGP
|
82,817,000
|
USD
|
1,478,083
|
Societe Generale
|
12/22/25
|
77,998
|
|
|
|
|
|
|
|
$4,206,383
|
|
USD
|
19,025,418
|
PLN
|
74,240,509
|
BNP Paribas S.A.
|
07/11/25
|
(1,566,243
)
|
|
USD
|
3,999,196
|
PLN
|
15,145,540
|
Toronto-Dominion Bank
|
07/11/25
|
(201,636
)
|
|
USD
|
388,143
|
EUR
|
340,808
|
Credit Agricole Corporate & Investment Bank
|
07/16/25
|
(13,763
)
|
|
USD
|
253,973
|
EUR
|
223,000
|
Credit Agricole Corporate & Investment Bank
|
07/16/25
|
(9,006
)
|
|
USD
|
1,018,349
|
EUR
|
894,150
|
Credit Agricole Corporate & Investment Bank
|
07/16/25
|
(36,100
)
|
|
USD
|
38,281
|
EUR
|
33,612
|
Credit Agricole Corporate & Investment Bank
|
07/16/25
|
(1,357
)
|
|
USD
|
285,097
|
EUR
|
250,295
|
Deutsche Bank AG
|
07/16/25
|
(10,070
)
|
|
USD
|
220,355
|
EUR
|
193,449
|
Deutsche Bank AG
|
07/16/25
|
(7,775
)
|
|
USD
|
114,657
|
EUR
|
100,658
|
Deutsche Bank AG
|
07/16/25
|
(4,046
)
|
|
USD
|
106,140
|
EUR
|
93,194
|
Deutsche Bank AG
|
07/16/25
|
(3,762
)
|
|
USD
|
288,310
|
EUR
|
253,154
|
Deutsche Bank AG
|
07/16/25
|
(10,228
)
|
|
USD
|
203,372
|
EUR
|
178,573
|
Deutsche Bank AG
|
07/16/25
|
(7,215
)
|
|
USD
|
107,810
|
EUR
|
94,836
|
UBS AG
|
07/16/25
|
(4,028
)
|
|
USD
|
3,602
|
EUR
|
3,169
|
UBS AG
|
07/16/25
|
(135
)
|
|
USD
|
17,680
|
EUR
|
15,553
|
UBS AG
|
07/16/25
|
(661
)
|
|
USD
|
5,953
|
EUR
|
5,237
|
UBS AG
|
07/16/25
|
(222
)
|
|
USD
|
127,261
|
EUR
|
111,946
|
UBS AG
|
07/16/25
|
(4,754
)
|
|
USD
|
4,125
|
EUR
|
3,629
|
UBS AG
|
07/16/25
|
(154
)
|
|
USD
|
7,403
|
EUR
|
6,512
|
UBS AG
|
07/16/25
|
(277
)
|
|
USD
|
118,397
|
EUR
|
104,149
|
UBS AG
|
07/16/25
|
(4,423
)
|
|
USD
|
165,558
|
EUR
|
145,634
|
UBS AG
|
07/16/25
|
(6,185
)
|
|
USD
|
3,812
|
EUR
|
3,353
|
UBS AG
|
07/16/25
|
(142
)
|
|
USD
|
888
|
EUR
|
781
|
UBS AG
|
07/16/25
|
(33
)
|
|
USD
|
5,157,228
|
CZK
|
113,259,686
|
HSBC Bank PLC
|
07/22/25
|
(242,393
)
|
|
USD
|
9,700,234
|
CZK
|
212,960,283
|
Toronto-Dominion Bank
|
07/22/25
|
(452,581
)
|
|
USD
|
982,000
|
TRY
|
43,099,980
|
Barclays Bank PLC
|
07/31/25
|
(72,080
)
|
|
USD
|
2,306,790
|
PEN
|
8,493,140
|
Citigroup Global Markets, Inc.
|
08/04/25
|
(88,583
)
|
|
USD
|
839,078
|
TRY
|
37,438,000
|
Barclays Bank PLC
|
09/03/25
|
(48,359
)
|
|
USD
|
1,178,486
|
NGN
|
2,045,851,696
|
Morgan Stanley & Co. International PLC
|
09/04/25
|
(121,460
)
|
|
CAD
|
7,662,000
|
USD
|
5,674,345
|
RBC Capital Markets LLC
|
09/17/25
|
(25,526
)
|
|
NOK
|
40,317,000
|
USD
|
4,073,995
|
JPMorgan Chase Bank N.A.
|
09/17/25
|
(72,118
)
|
|
USD
|
2,296,008
|
AUD
|
3,549,000
|
NatWest Markets PLC
|
09/17/25
|
(43,568
)
|
|
USD
|
1,069,537
|
AUD
|
1,645,000
|
State Street Bank and Trust Co.
|
09/17/25
|
(14,882
)
|
|
USD
|
56,930
|
AUD
|
88,000
|
Toronto-Dominion Bank
|
09/17/25
|
(1,082
)
|
|
USD
|
2,469,906
|
AUD
|
3,807,000
|
UBS AG
|
09/17/25
|
(39,749
)
|
|
USD
|
8,247,715
|
BRL
|
46,560,000
|
Bank of New York Mellon
|
09/17/25
|
(155,406
)
|
|
USD
|
77,914,399
|
BRL
|
441,540,900
|
Barclays Bank PLC
|
09/17/25
|
(1,774,641
)
|
|
USD
|
7,487,281
|
COP
|
31,507,975,000
|
JPMorgan Chase Bank N.A.
|
09/17/25
|
(141,729
)
|
|
USD
|
49,011,937
|
EUR
|
42,089,390
|
Deutsche Bank AG
|
09/17/25
|
(825,907
)
|
|
USD
|
197,051,638
|
EUR
|
169,244,700
|
Deutsche Bank AG
|
09/17/25
|
(3,350,198
)
|
|
USD
|
112,134,873
|
EUR
|
96,408,000
|
Deutsche Bank AG
|
09/17/25
|
(2,021,377
)
|
|
USD
|
22,288,688
|
EUR
|
19,213,000
|
Deutsche Bank AG
|
09/17/25
|
(461,333
)
|
|
USD
|
286,270
|
EUR
|
250,295
|
HSBC Bank PLC
|
09/17/25
|
(10,104
)
|
|
USD
|
2,952,024
|
EUR
|
2,581,053
|
HSBC Bank PLC
|
09/17/25
|
(104,188
)
|
|
USD
|
20,041,533
|
EUR
|
17,184,683
|
Standard Chartered Bank
|
09/17/25
|
(306,767
)
|
|
USD
|
42,838,110
|
EUR
|
36,706,634
|
State Street Bank and Trust Co.
|
09/17/25
|
(626,039
)
|
|
USD
|
20,041,533
|
EUR
|
17,184,683
|
Toronto-Dominion Bank
|
09/17/25
|
(306,767
)
|
|
USD
|
1,364,008
|
GBP
|
1,012,000
|
Deutsche Bank AG
|
09/17/25
|
(25,814
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
48,792,650
|
GBP
|
36,049,000
|
JPMorgan Chase Bank N.A.
|
09/17/25
|
$(714,957
)
|
|
USD
|
2,873,780
|
GBP
|
2,112,644
|
NatWest Markets PLC
|
09/17/25
|
(27,602
)
|
|
USD
|
99,220,825
|
GBP
|
72,966,200
|
NatWest Markets PLC
|
09/17/25
|
(986,723
)
|
|
USD
|
935,000
|
TRY
|
43,914,613
|
Barclays Bank PLC
|
10/24/25
|
(61,646
)
|
|
USD
|
1,475,976
|
EGP
|
82,817,000
|
Citigroup Global Markets, Inc.
|
12/22/25
|
(80,105
)
|
|
|
|
|
|
|
|
$(15,095,899
)
|
|
|
$(10,889,516
)
|
|||||
|
|
|
|
|
|
|
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise
Price
|
Notional
Amount
(000)
|
Value
|
||
|
Put
|
|
|
|
|
|
|
|
|
iShares Russell 2000 ETF
|
1,867
|
07/18/25
|
USD
|
198.00
|
USD
|
40,288
|
$67,212
|
|
Description
|
Type of
Option
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Barrier
Price/Range
|
Notional
Amount
(000)
|
Value
|
|||
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency
|
One-Touch
|
HSBC Bank PLC
|
07/24/25
|
USD
|
1.00
|
USD
|
1.00
|
EUR
|
2,221
|
$41
|
|
USD Currency
|
One-Touch
|
Morgan Stanley & Co.
International PLC
|
07/24/25
|
CAD
|
1.34
|
CAD
|
1.34
|
USD
|
372
|
39,472
|
|
USD Currency
|
Under-and-In
|
Barclays Bank PLC
|
11/20/25
|
JPY
|
150.00
|
JPY
|
155.00
|
USD
|
198,796
|
299,312
|
|
|
|
|
|
|
|
|
|
|
|
$338,825
|
|
Description
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Amount
(000)
|
Value
|
||
|
Put
|
|
|
|
|
|
|
|
|
EUR Currency
|
Barclays Bank PLC
|
07/15/25
|
USD
|
1.02
|
EUR
|
6,848
|
$ 1
|
|
EUR Currency
|
UBS AG
|
07/15/25
|
USD
|
1.06
|
EUR
|
4,565
|
3
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
08/14/25
|
MXN
|
19.10
|
USD
|
280,420
|
6,281,487
|
|
|
|
|
|
|
|
|
$ 6,281,491
|
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount
(000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate
Swap, 03/31/37
|
1-day SOFR, 4.45%
|
Annual
|
3.93%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
03/29/27
|
3.93
%
|
USD
|
50,246
|
$2,191,284
|
|
10-Year Interest Rate
Swap, 03/31/37
|
1-day SOFR, 4.45%
|
Annual
|
4.00%
|
Annual
|
BNP Paribas S.A.
|
03/29/27
|
4.00
%
|
USD
|
15,969
|
747,325
|
|
10-Year Interest Rate
Swap, 04/14/37
|
1-day SOFR, 4.45%
|
Annual
|
4.05%
|
Annual
|
Citibank N.A.
|
04/12/27
|
4.05
%
|
USD
|
18,451
|
904,234
|
|
10-Year Interest Rate
Swap, 06/06/37
|
1-day SOFR, 4.45%
|
Annual
|
4.00%
|
Annual
|
Goldman Sachs
International
|
06/04/27
|
4.00
%
|
USD
|
78,187
|
3,671,499
|
|
|
|
|
|
|
|
|
|
|
|
$7,514,342
|
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount
(000)
|
Value
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Interest Rate
Swap, 08/15/55
|
4.35%
|
Annual
|
1-day SOFR, 4.45%
|
Annual
|
Goldman Sachs
International
|
08/13/25
|
4.35
%
|
USD
|
269,390
|
$548,702
|
|
10-Year Interest Rate
Swap, 03/31/37
|
3.93%
|
Annual
|
1-day SOFR, 4.45%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
03/29/27
|
3.93
%
|
USD
|
50,246
|
1,770,543
|
|
10-Year Interest Rate
Swap, 03/31/37
|
4.00%
|
Annual
|
1-day SOFR, 4.45%
|
Annual
|
BNP Paribas S.A.
|
03/29/27
|
4.00
%
|
USD
|
15,969
|
525,715
|
|
10-Year Interest Rate
Swap, 04/14/37
|
4.05%
|
Annual
|
1-day SOFR, 4.45%
|
Annual
|
Citibank N.A.
|
04/12/27
|
4.05
%
|
USD
|
18,451
|
591,135
|
|
10-Year Interest Rate
Swap, 06/06/37
|
4.00%
|
Annual
|
1-day SOFR, 4.45%
|
Annual
|
Goldman Sachs
International
|
06/04/27
|
4.00
%
|
USD
|
78,187
|
2,786,548
|
|
|
|
|
|
|
|
|
|
|
|
6,222,643
|
|
|
|
|
|
|
|
|
|
|
|
$13,736,985
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise
Price
|
Notional
Amount
(000)
|
Value
|
||
|
Put
|
|
|
|
|
|
|
|
|
iShares Russell 2000 ETF
|
1,867
|
07/18/25
|
USD
|
189.00
|
USD
|
40,288
|
$(28,005
)
|
|
CME 3-Month SOFR Futures
|
7,820
|
10/10/25
|
USD
|
96.00
|
USD
|
188,334,925
|
(879,750
)
|
|
|
|
|
|
|
|
|
$(907,755
)
|
|
Description
|
Type of
Option
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Barrier
Price/Range
|
Notional
Amount
(000)
|
Value
|
|||
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
USD Currency
|
One-Touch
|
Barclays Bank PLC
|
07/24/25
|
CAD
|
1.34
|
CAD
|
1.34
|
USD
|
372
|
$(39,472
)
|
|
Description
|
Counterparty
|
Expiration
Date
|
Exercise Price
|
Notional
Amount
(000)
|
Value
|
||
|
Put
|
|
|
|
|
|
|
|
|
EUR Currency
|
UBS AG
|
07/15/25
|
USD
|
1.06
|
EUR
|
4,565
|
$ (3)
|
|
EUR Currency
|
UBS AG
|
07/15/25
|
USD
|
1.02
|
EUR
|
6,848
|
(1)
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
08/14/25
|
MXN
|
18.50
|
USD
|
280,420
|
(1,508,477)
|
|
|
|
|
|
|
|
|
$ (1,508,481)
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount
(000)
|
Value
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap,
08/15/30
|
1-day SOFR, 4.45%
|
Annual
|
4.03%
|
Annual
|
Goldman Sachs
International
|
08/13/25
|
4.03
%
|
USD
|
1,037,650
|
$(209,943
)
|
|
Reference Obligation/Index
|
Financing
Rate
Paid by
the
Fund
|
Payment
Frequency
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
ITRAXX.EUR.43.V1
|
1.00
%
|
Quarterly
|
06/20/30
|
EUR
|
17,284
|
$(440,250
)
|
$(364,236
)
|
$(76,014
)
|
|
ITRAXX.EUR.43.V1
|
5.00
|
Quarterly
|
06/20/30
|
EUR
|
6,582
|
(733,695
)
|
(521,053
)
|
(212,642
)
|
|
ITRAXX.FINSR.43.V1
|
1.00
|
Quarterly
|
06/20/30
|
EUR
|
54,428
|
(1,256,631
)
|
(988,905
)
|
(267,726
)
|
|
|
|
|
|
|
|
$(2,430,576
)
|
$(1,874,194
)
|
$(556,382
)
|
|
Reference Obligation/Index
|
Financing
Rate
Received
by
the
Fund
|
Payment
Frequency
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount
(000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.44.V1
|
5.00
%
|
Quarterly
|
06/20/30
|
B+
|
USD
|
796,613
|
$61,139,594
|
$37,838,342
|
$23,301,252
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Fund
|
Received by the Fund
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
|
|||||
|
2.69%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
31,766
|
$51,245
|
$4,484
|
$46,761
|
|
2.69%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
31,766
|
45,219
|
3,586
|
41,633
|
|
2.73%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
62,740
|
(48,083
)
|
—
|
(48,083
)
|
|
2.79%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
62,573
|
(222,546
)
|
—
|
(222,546
)
|
|
2.83%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
43,233
|
(247,152
)
|
—
|
(247,152
)
|
|
2.83%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
62,573
|
(363,284
)
|
—
|
(363,284
)
|
|
2.84%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
31,287
|
(183,634
)
|
—
|
(183,634
)
|
|
2.84%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
31,286
|
(184,424
)
|
—
|
(184,424
)
|
|
2.87%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/28
|
USD
|
62,573
|
(477,164
)
|
—
|
(477,164
)
|
|
2.53%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
25,412
|
43,686
|
(4,607
)
|
48,293
|
|
2.54%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
25,413
|
37,506
|
(3,686
)
|
41,192
|
|
Paid by the Fund
|
Received by the Fund
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
|
|||||
|
2.56%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
48,430
|
$11,948
|
$—
|
$11,948
|
|
2.64%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
50,058
|
(181,771
)
|
—
|
(181,771
)
|
|
2.65%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
33,389
|
(132,663
)
|
—
|
(132,663
)
|
|
2.67%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
32,765
|
(164,622
)
|
—
|
(164,622
)
|
|
2.68%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
25,029
|
(143,509
)
|
—
|
(143,509
)
|
|
2.69%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
25,029
|
(144,734
)
|
—
|
(144,734
)
|
|
2.69%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
50,058
|
(295,593
)
|
—
|
(295,593
)
|
|
2.72%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/29
|
USD
|
50,058
|
(383,854
)
|
—
|
(383,854
)
|
|
2.43%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/30
|
USD
|
57,750
|
74,178
|
—
|
74,178
|
|
2.43%
|
At Termination
|
U.S. CPI Urban
Consumers NAS
(CPURNSA)
|
At Termination
|
04/15/30
|
USD
|
28,448
|
35,211
|
—
|
35,211
|
|
|
|
|
|
|
|
|
$(2,874,040
)
|
$(223
)
|
$(2,873,817
)
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Effective
Date
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
1-day Overnight
Fed Funds
Effective Rate,
4.33%
|
At Termination
|
4.27%
|
At Termination
|
07/30/25(a)
|
09/17/25
|
USD
|
14,348,264
|
$50,624
|
$—
|
$50,624
|
|
1-day Overnight
Fed Funds
Effective Rate,
4.33%
|
At Termination
|
4.29%
|
At Termination
|
07/30/25(a)
|
09/17/25
|
USD
|
7,173,056
|
170,384
|
—
|
170,384
|
|
1-day Overnight
Fed Funds
Effective Rate,
4.33%
|
At Termination
|
4.31%
|
At Termination
|
07/30/25(a)
|
09/17/25
|
USD
|
7,147,510
|
367,342
|
—
|
367,342
|
|
1-day Overnight
Fed Funds
Effective Rate,
4.33%
|
At Termination
|
4.31%
|
At Termination
|
07/30/25(a)
|
09/17/25
|
USD
|
7,186,474
|
359,655
|
—
|
359,655
|
|
1-day SOFR,
4.45%
|
At Termination
|
3.80%
|
At Termination
|
N/A
|
05/16/26
|
USD
|
369,112
|
(721,062
)
|
—
|
(721,062
)
|
|
1-day SOFR,
4.45%
|
At Termination
|
3.90%
|
At Termination
|
N/A
|
05/16/26
|
USD
|
283,259
|
(273,601
)
|
—
|
(273,601
)
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Effective
Date
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
3.79%
|
At Termination
|
1-day SOFR,
4.45%
|
At Termination
|
N/A
|
05/16/26
|
USD
|
369,112
|
$744,027
|
$—
|
$744,027
|
|
3.81%
|
At Termination
|
1-day SOFR,
4.45%
|
At Termination
|
N/A
|
05/16/26
|
USD
|
283,259
|
514,183
|
154,531
|
359,652
|
|
1-day SOFR,
4.45%
|
At Termination
|
3.78%
|
At Termination
|
08/26/25(a)
|
08/26/26
|
USD
|
19,254
|
19,012
|
—
|
19,012
|
|
3.82%
|
At Termination
|
1-day SOFR,
4.45%
|
At Termination
|
08/26/25(a)
|
08/26/26
|
USD
|
19,254
|
(25,161
)
|
—
|
(25,161
)
|
|
1.00%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
03/12/26(a)
|
03/12/27
|
JPY
|
25,830,724
|
(364,142
)
|
—
|
(364,142
)
|
|
1.02%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
03/12/26(a)
|
03/12/27
|
JPY
|
58,560,835
|
(909,783
)
|
—
|
(909,783
)
|
|
1.03%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
03/12/26(a)
|
03/12/27
|
JPY
|
63,212,579
|
(1,016,929
)
|
—
|
(1,016,929
)
|
|
0.68%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
04/21/26(a)
|
04/21/27
|
JPY
|
23,843,630
|
211,706
|
—
|
211,706
|
|
0.69%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
04/21/26(a)
|
04/21/27
|
JPY
|
24,122,377
|
210,873
|
—
|
210,873
|
|
1-day SOFR,
4.45%
|
At Termination
|
3.21%
|
At Termination
|
04/30/26(a)
|
04/30/27
|
USD
|
78,906
|
48,776
|
—
|
48,776
|
|
3.22%
|
At Termination
|
1-day SOFR,
4.45%
|
At Termination
|
04/30/26(a)
|
04/30/27
|
USD
|
39,453
|
(26,789
)
|
—
|
(26,789
)
|
|
3.27%
|
At Termination
|
1-day SOFR,
4.45%
|
At Termination
|
04/30/26(a)
|
04/30/27
|
USD
|
39,453
|
(45,357
)
|
—
|
(45,357
)
|
|
0.70%
|
At Termination
|
1-Day TONA,
0.48%
|
At Termination
|
05/11/26(a)
|
05/11/27
|
JPY
|
19,040,597
|
161,991
|
—
|
161,991
|
|
3.92%
|
Annual
|
1-day SOFR,
4.45%
|
Annual
|
09/30/25(a)
|
11/15/53
|
USD
|
5,424
|
4,678
|
—
|
4,678
|
|
2.49%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
02/19/54
|
EUR
|
41,301
|
2,758,503
|
—
|
2,758,503
|
|
2.51%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
02/20/54
|
EUR
|
41,301
|
2,600,687
|
—
|
2,600,687
|
|
2.51%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
02/20/54
|
EUR
|
40,708
|
2,490,551
|
—
|
2,490,551
|
|
2.51%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
03/01/54
|
EUR
|
20,868
|
1,276,559
|
—
|
1,276,559
|
|
2.46%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
03/22/54
|
EUR
|
8,764
|
654,116
|
—
|
654,116
|
|
2.54%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
04/22/54
|
EUR
|
33,918
|
1,795,144
|
(71,710
)
|
1,866,854
|
|
2.43%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
06/19/54
|
EUR
|
3,577
|
287,124
|
—
|
287,124
|
|
2.43%
|
Semi-Annual
|
6-month
EURIBOR,
2.05%
|
Annual
|
N/A
|
06/20/54
|
EUR
|
8,082
|
648,485
|
—
|
648,485
|
|
6-month
EURIBOR,
2.05%
|
Annual
|
2.44%
|
Semi-Annual
|
N/A
|
06/24/54
|
EUR
|
5,548
|
(428,073
)
|
—
|
(428,073
)
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Effective
Date
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
6-month
EURIBOR,
2.05%
|
Annual
|
2.26%
|
Semi-Annual
|
N/A
|
10/22/54
|
EUR
|
5,070
|
$(545,547
)
|
$(24,132
)
|
$(521,415
)
|
|
6-month
EURIBOR,
2.05%
|
Annual
|
2.18%
|
Semi-Annual
|
N/A
|
11/07/54
|
EUR
|
4,871
|
(615,484
)
|
—
|
(615,484
)
|
|
|
|
|
|
|
|
|
|
$10,402,492
|
$58,689
|
$10,343,803
|
|
(a)
|
Forward Swap.
|
|
Reference Obligation/Index
|
Financing
Rate
Paid
by the
Fund
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Caterpillar, Inc.
|
1.00
%
|
Quarterly
|
Deutsche Bank AG
|
06/20/27
|
USD
|
4,300
|
$(73,287
)
|
$(40,758
)
|
$(32,529
)
|
|
BorgWarner, Inc.
|
1.00
|
Quarterly
|
BNP Paribas S.A.
|
12/20/27
|
USD
|
1,000
|
(16,094
)
|
6,866
|
(22,960
)
|
|
Pitney Bowes, Inc.
|
1.00
|
Quarterly
|
Bank of America N.A.
|
12/20/27
|
USD
|
620
|
2,068
|
81,396
|
(79,328
)
|
|
Pitney Bowes, Inc.
|
1.00
|
Quarterly
|
Citibank N.A.
|
12/20/27
|
USD
|
250
|
834
|
33,756
|
(32,922
)
|
|
Pitney Bowes, Inc.
|
1.00
|
Quarterly
|
Citibank N.A.
|
12/20/27
|
USD
|
380
|
1,268
|
52,865
|
(51,597
)
|
|
Pitney Bowes, Inc.
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/27
|
USD
|
780
|
2,602
|
134,594
|
(131,992
)
|
|
Simon Property Group LP
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/27
|
USD
|
3,640
|
(59,441
)
|
27,970
|
(87,411
)
|
|
Credit Suisse Group AG
|
1.00
|
Quarterly
|
Barclays Bank PLC
|
06/20/28
|
EUR
|
1,350
|
(32,185
)
|
53,224
|
(85,409
)
|
|
Credit Suisse Group AG
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
3,500
|
(83,444
)
|
76,043
|
(159,487
)
|
|
Deutsche Bank AG
|
1.00
|
Quarterly
|
BNP Paribas S.A.
|
06/20/28
|
EUR
|
4,400
|
(97,619
)
|
221,052
|
(318,671
)
|
|
Deutsche Bank AG
|
1.00
|
Quarterly
|
Goldman Sachs International
|
06/20/28
|
EUR
|
4,400
|
(97,619
)
|
154,016
|
(251,635
)
|
|
Boeing Co. (The)
|
1.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
USD
|
4,700
|
(66,934
)
|
(15,950
)
|
(50,984
)
|
|
Boeing Co. (The)
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/29
|
USD
|
4,700
|
(68,708
)
|
44,776
|
(113,484
)
|
|
American Electric Power Co., Inc.
|
1.00
|
Quarterly
|
Bank of America N.A.
|
12/20/29
|
USD
|
39,219
|
(1,138,714
)
|
(975,756
)
|
(162,958
)
|
|
American Express Co.
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/29
|
USD
|
19,990
|
(601,179
)
|
(507,557
)
|
(93,622
)
|
|
Dominion Energy, Inc.
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/29
|
USD
|
19,396
|
(559,228
)
|
(467,379
)
|
(91,849
)
|
|
CMBX.NA.9.AAA
|
0.50
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
USD
|
2,175
|
(1,632
)
|
21,529
|
(23,161
)
|
|
CMBX.NA.9.AAA
|
0.50
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
USD
|
46
|
(34
)
|
496
|
(530
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Citigroup Global Markets, Inc.
|
09/17/58
|
USD
|
2,080
|
354,640
|
61,868
|
292,772
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Goldman Sachs International
|
09/17/58
|
USD
|
3,544
|
604,252
|
248,421
|
355,831
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
USD
|
204
|
34,782
|
9,935
|
24,847
|
|
CMBX.NA.6.AAA
|
0.50
|
Monthly
|
Deutsche Bank AG
|
05/11/63
|
USD
|
7
|
(1
)
|
(2
)
|
1
|
|
|
|
|
|
|
|
|
$(1,895,673
)
|
$(778,595
)
|
$(1,117,078
)
|
|
Reference Obligation/Index
|
Financing
Rate
Received
by
the Fund
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount
(000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Vistra Operations Co. LLC
|
5.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/25
|
BB+
|
USD
|
1,015
|
$23,949
|
$8,434
|
$15,515
|
|
PacifiCorp
|
0.13
|
Monthly
|
JPMorgan Chase Bank N.A.
|
09/29/27
|
A
|
USD
|
6,915
|
(3,909
)
|
(4,061
)
|
152
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Deutsche Bank AG
|
09/17/58
|
N/R
|
USD
|
906
|
(154,473
)
|
(91,235
)
|
(63,238
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Goldman Sachs International
|
09/17/58
|
N/R
|
USD
|
1,310
|
(223,355
)
|
(128,476
)
|
(94,879
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
J.P. Morgan Securities LLC
|
09/17/58
|
N/R
|
USD
|
121
|
(20,630
)
|
(24,013
)
|
3,383
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
N/R
|
USD
|
231
|
(39,385
)
|
(11,811
)
|
(27,574
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
N/R
|
USD
|
1,060
|
(180,730
)
|
(45,082
)
|
(135,648
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
N/R
|
USD
|
1,200
|
(204,600
)
|
(1,310
)
|
(203,290
)
|
|
CMBX.NA.9.BBB-
|
3.00
|
Monthly
|
Morgan Stanley & Co.
International PLC
|
09/17/58
|
N/R
|
USD
|
1,000
|
(170,500
)
|
(231,799
)
|
61,299
|
|
CMBX.NA.10.BBB-
|
3.00
|
Monthly
|
J.P. Morgan Securities LLC
|
11/17/59
|
BBB-
|
USD
|
60
|
(11,295
)
|
(4,358
)
|
(6,937
)
|
|
|
|
|
|
|
|
|
|
$(984,928
)
|
$(533,711
)
|
$(451,217
)
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Fund may pay should a negative credit event take
place as defined under the terms of agreement.
|
|
Paid by the Fund
|
Received by the Fund
|
|
|
|
|
|
|
|
||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount
(000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
0.00%
|
Quarterly
|
Goldman Sachs
Intraday Delta
Replication VVol
Series 5 Excess
Return Strategy
|
Quarterly
|
Goldman Sachs International
|
11/06/25
|
USD
|
90,403
|
$ 52,050
|
$ —
|
$ 52,050
|
|
0.00%
|
Quarterly
|
Goldman Sachs
Systematic Skew
U.S. Series 10
Excess Return
Strategy
|
Quarterly
|
Goldman Sachs International
|
12/06/25
|
USD
|
13,709
|
18,795
|
—
|
18,795
|
|
|
|
|
|
|
|
|
|
$ 70,845
|
$ —
|
$ 70,845
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a)
|
||||||||
|
Accenture PLC, Class A
|
Citibank N.A.
|
USD
|
1,850,128
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
$ 2,990
|
|
Accor SA
|
Citibank N.A.
|
|
712,247
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
47,675
|
|
Ackermans & van Haaren NV
|
Barclays Bank PLC
|
|
2,165,142
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
36,468
|
|
Adecco Group AG, Registered Shares
|
Barclays Bank PLC
|
|
684,190
|
04/01/26
|
0.26
%
|
SSARON
|
Monthly
|
39,901
|
|
Adobe, Inc.
|
Merrill Lynch International
|
|
2,735,403
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(65,931
)
|
|
Air Water, Inc.
|
Barclays Bank PLC
|
|
1,521,829
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
19,671
|
|
Airbus SE
|
Barclays Bank PLC
|
|
1,298,336
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
82,388
|
|
Airtac International Group
|
Merrill Lynch International
|
|
1,246,984
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
3,485
|
|
Alcon AG
|
Barclays Bank PLC
|
|
820,523
|
04/01/26
|
0.26
%
|
SSARON
|
Monthly
|
13,097
|
|
Alfresa Holdings Corp.
|
Merrill Lynch International
|
|
1,258,974
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
7,656
|
|
Alimentation Couche-Tard, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,532,015
|
02/09/26
|
0.20
%
|
COBRO
|
Monthly
|
(60,655
)
|
|
Allianz SE, Registered Shares
|
Citibank N.A.
|
|
1,861,326
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
46,092
|
|
Alps Alpine Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
744,104
|
02/10/26
|
0.25
%
|
1D P TONA
|
Monthly
|
64,868
|
|
Altria Group, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,423,320
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(10,337
)
|
|
AMC Networks, Inc., Class A
|
Barclays Bank PLC
|
|
284,125
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
-
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
AMC Networks, Inc., Class A
|
JPMorgan Chase Bank N.A.
|
USD
|
723,094
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
$ (51,420
)
|
|
Amentum Holdings, Inc.
|
Merrill Lynch International
|
|
113
|
02/15/28
|
-
|
1D OBFR01
|
Monthly
|
(91
)
|
|
Argenx SE
|
Barclays Bank PLC
|
|
603,817
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
5,124
|
|
Asahi Intecc Co. Ltd.
|
Citibank N.A.
|
|
944,084
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
(7,539
)
|
|
Asahi Kasei Corp.
|
Merrill Lynch International
|
|
2,587,595
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
188,723
|
|
Ashtead Group PLC
|
Barclays Bank PLC
|
|
647,850
|
04/01/26
|
0.25
%
|
1D SONIA
|
Monthly
|
51,124
|
|
Asia Cement Corp.
|
Merrill Lynch International
|
|
1,456,826
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
(8,686
)
|
|
ASPEED Technology, Inc.
|
Merrill Lynch International
|
|
941,736
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
34,008
|
|
AT&T Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,660,456
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
64,368
|
|
Atlas Arteria Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,000,065
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
(39,200
)
|
|
Axfood AB
|
JPMorgan Chase Bank N.A.
|
|
1,486,404
|
02/11/26
|
0.26
%
|
TN STIBOR
|
Monthly
|
24,297
|
|
B&M European Value Retail SA
|
Merrill Lynch International
|
|
546,914
|
02/15/28
|
0.25
%
|
1D SONIA
|
Monthly
|
32,978
|
|
Ball Corp.
|
Citibank N.A.
|
|
1,195,948
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(12,449
)
|
|
Banco Bilbao Vizcaya Argentaria SA
|
Merrill Lynch International
|
|
1,022,339
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(10,673
)
|
|
Banco de Sabadell SA
|
JPMorgan Chase Bank N.A.
|
|
1,655,587
|
02/11/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(63,493
)
|
|
Banco do Brasil SA
|
Merrill Lynch International
|
|
1,568,910
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
13,117
|
|
Bankinter SA
|
Merrill Lynch International
|
|
2,993,591
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(40,669
)
|
|
Barrick Mining Corp.
|
JPMorgan Chase Bank N.A.
|
|
1,108,131
|
02/09/26
|
0.20
%
|
COBRO
|
Monthly
|
22,330
|
|
BB Seguridade Participacoes SA
|
Merrill Lynch International
|
|
1,739,213
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
2,428
|
|
BCE, Inc.
|
Barclays Bank PLC
|
|
1,273,701
|
03/24/26
|
0.20
%
|
CABROVER
|
Monthly
|
5,932
|
|
Beiersdorf AG
|
Merrill Lynch International
|
|
1,844,085
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(59,174
)
|
|
Belimo Holding AG, Registered Shares
|
Merrill Lynch International
|
|
819,711
|
02/15/28
|
0.26
%
|
SSARON
|
Monthly
|
(4,270
)
|
|
Best Buy Co., Inc.
|
Merrill Lynch International
|
|
678,684
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(34,236
)
|
|
BHP Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,274,059
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
5,805
|
|
BOC Hong Kong Holdings Ltd.
|
Merrill Lynch International
|
|
1,260,594
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(15,567
)
|
|
Bollore SE
|
Barclays Bank PLC
|
|
1,004,726
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
5,338
|
|
Booking Holdings, Inc.
|
Citibank N.A.
|
|
1,066,684
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
91,164
|
|
Bradespar SA, Preference Shares, NVS
|
JPMorgan Chase Bank N.A.
|
|
1,213,998
|
02/10/26
|
0.40
%
|
1D OBFR01
|
Monthly
|
(8,346
)
|
|
British Land Co. PLC (The)
|
Barclays Bank PLC
|
|
1,491,778
|
04/01/26
|
0.25
%
|
1D SONIA
|
Monthly
|
(4,279
)
|
|
Bunzl PLC
|
Citibank N.A.
|
|
2,089,063
|
02/26/26
|
0.25
%
|
1D SONIA
|
Monthly
|
1,378
|
|
Caixa Seguridade Participacoes S/A
|
Merrill Lynch International
|
|
806,564
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
(2,192
)
|
|
Canadian National Railway Co.
|
JPMorgan Chase Bank N.A.
|
|
2,013,582
|
02/09/26
|
0.20
%
|
COBRO
|
Monthly
|
(13,004
)
|
|
Canon, Inc.
|
Barclays Bank PLC
|
|
1,057,305
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
(7,370
)
|
|
CarMax, Inc.
|
Merrill Lynch International
|
|
1,616,814
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
29,830
|
|
CF Industries Holdings, Inc.
|
Merrill Lynch International
|
|
1,470,804
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(127,604
)
|
|
Chroma ATE, Inc.
|
Merrill Lynch International
|
|
1,175,476
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
293,188
|
|
CITIC Ltd.
|
Merrill Lynch International
|
|
1,392,811
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(36,601
)
|
|
Citigroup, Inc.
|
Barclays Bank PLC
|
|
1,333,248
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
96,768
|
|
CK Hutchison Holdings Ltd.
|
JPMorgan Chase Bank N.A.
|
|
681,227
|
02/10/26
|
0.15
%
|
HONIA
|
Monthly
|
33,064
|
|
Coca-Cola Bottlers Japan Holdings, Inc.
|
Citibank N.A.
|
|
859,053
|
02/26/26
|
0.24
%
|
1D P TONA
|
Monthly
|
(19,403
)
|
|
Coloplast A/S, Class B
|
Merrill Lynch International
|
|
2,191,309
|
02/15/28
|
0.26
%
|
1W CIBOR
|
Monthly
|
(106,365
)
|
|
COMSYS Holdings Corp.
|
JPMorgan Chase Bank N.A.
|
|
1,301,394
|
02/10/26
|
0.25
%
|
1D P TONA
|
Monthly
|
14,344
|
|
Costco Wholesale Corp.
|
Barclays Bank PLC
|
|
2,410,752
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(34,896
)
|
|
Dai-ichi Life Holdings, Inc.
|
Merrill Lynch International
|
|
941,372
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
11,235
|
|
Daiichi Sankyo Co. Ltd.
|
Barclays Bank PLC
|
|
698,934
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
7,693
|
|
Danaher Corp.
|
Merrill Lynch International
|
|
844,662
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(14,994
)
|
|
Dassault Systemes SE
|
JPMorgan Chase Bank N.A.
|
|
1,029,891
|
02/11/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(40,495
)
|
|
DaVita, Inc.
|
Barclays Bank PLC
|
|
927,112
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
41,548
|
|
Dexcom, Inc.
|
Citibank N.A.
|
|
638,720
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
59,600
|
|
D’ieteren Group
|
Barclays Bank PLC
|
|
1,108,074
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
54,812
|
|
Domino’s Pizza Enterprises Ltd.
|
Merrill Lynch International
|
|
1,174,069
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(62,484
)
|
|
DuPont de Nemours, Inc.
|
Citibank N.A.
|
|
1,051,900
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
24,963
|
|
Dyno Nobel Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,122,534
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
(4,438
)
|
|
Eagle Bancorp, Inc.
|
JPMorgan Chase Bank N.A.
|
|
304,626
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
31,014
|
|
eBay, Inc.
|
Merrill Lynch International
|
|
929,149
|
02/15/28
|
-
|
1D OBFR01
|
Monthly
|
1,601
|
|
Elia Group SA/NV
|
Merrill Lynch International
|
|
673,281
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
31,235
|
|
Elisa Oyj
|
Barclays Bank PLC
|
|
1,264,051
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
8,765
|
|
Endeavour Group Ltd./Australia
|
Merrill Lynch International
|
|
2,159,375
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
11,198
|
|
ENEOS Holdings, Inc.
|
Barclays Bank PLC
|
|
1,690,937
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
(16,023
)
|
|
Eneva SA
|
JPMorgan Chase Bank N.A.
|
|
2,169,217
|
02/10/26
|
0.40
%
|
1D OBFR01
|
Monthly
|
4,281
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Engie SA
|
Barclays Bank PLC
|
USD
|
1,180,940
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
$ 13,003
|
|
EOG Resources, Inc.
|
Barclays Bank PLC
|
|
2,216,703
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(39,801
)
|
|
Erie Indemnity Co., Class A, NVS
|
Citibank N.A.
|
|
1,033,878
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(28,187
)
|
|
Evolution AB
|
Citibank N.A.
|
|
1,040,857
|
02/26/26
|
0.26
%
|
TN STIBOR
|
Monthly
|
79,009
|
|
EXEO Group, Inc.
|
Citibank N.A.
|
|
1,905,710
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
7,659
|
|
Experian PLC
|
JPMorgan Chase Bank N.A.
|
|
1,175,305
|
02/11/26
|
0.25
%
|
1D SONIA
|
Monthly
|
5,562
|
|
FactSet Research Systems, Inc.
|
Merrill Lynch International
|
|
1,348,160
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
83,136
|
|
Fair Isaac Corp.
|
Citibank N.A.
|
|
376,250
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(10,658
)
|
|
FDJ UNITED
|
Citibank N.A.
|
|
1,252,637
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
30,522
|
|
Federal Realty Investment Trust
|
Merrill Lynch International
|
|
1,386,780
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(9,425
)
|
|
Ferrovial SE
|
Merrill Lynch International
|
|
10,195
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
104
|
|
Fifth Third Bancorp
|
Citibank N.A.
|
|
1,413,280
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
34,496
|
|
FinecoBank Banca Fineco SpA
|
Citibank N.A.
|
|
1,005,368
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
6,201
|
|
FirstRand Ltd.
|
Merrill Lynch International
|
|
1,353,294
|
02/15/28
|
0.85
%
|
1M JIBAR
|
Monthly
|
11,663
|
|
Fiserv, Inc.
|
Citibank N.A.
|
|
1,773,616
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
19,448
|
|
Flagstar Financial, Inc.
|
JPMorgan Chase Bank N.A.
|
|
3,335,976
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(351,896
)
|
|
Fortinet, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,582,621
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
56,039
|
|
Fox Corp., Class A, NVS
|
JPMorgan Chase Bank N.A.
|
|
2,020,542
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
69,750
|
|
Fresnillo PLC
|
JPMorgan Chase Bank N.A.
|
|
1,638,952
|
02/11/26
|
0.25
%
|
1D SONIA
|
Monthly
|
88,349
|
|
GCC SAB de CV
|
JPMorgan Chase Bank N.A.
|
|
762,804
|
02/10/26
|
0.50
%
|
TIIEFONDEO
|
Monthly
|
(21,298
)
|
|
GE Vernova, Inc.
|
JPMorgan Chase Bank N.A.
|
|
587,109
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
47,871
|
|
Geberit AG, Registered Shares
|
Barclays Bank PLC
|
|
1,331,376
|
04/01/26
|
0.26
%
|
SSARON
|
Monthly
|
7,451
|
|
Gecina SA
|
Merrill Lynch International
|
|
1,092,908
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(25,089
)
|
|
Geely Automobile Holdings Ltd.
|
Merrill Lynch International
|
|
510,229
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(28,505
)
|
|
Gen Digital, Inc.
|
Citibank N.A.
|
|
1,227,306
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
25,134
|
|
General Electric Co.
|
Barclays Bank PLC
|
|
842,554
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
32,572
|
|
Genius Electronic Optical Co. Ltd.
|
Merrill Lynch International
|
|
924,740
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
64,220
|
|
Gerdau SA, Preference Shares, NVS
|
Merrill Lynch International
|
|
875,730
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
(42,026
)
|
|
Glencore PLC
|
Barclays Bank PLC
|
|
924,702
|
04/01/26
|
0.25
%
|
1D SONIA
|
Monthly
|
(5,094
)
|
|
GQG Partners, Inc., CDI
|
JPMorgan Chase Bank N.A.
|
|
626,787
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
61,324
|
|
Grupo Aeroportuario del Pacifico SAB de CV,
Class B
|
JPMorgan Chase Bank N.A.
|
|
936,166
|
02/10/26
|
0.50
%
|
TIIEFONDEO
|
Monthly
|
27,594
|
|
GSK PLC
|
Citibank N.A.
|
|
1,049,576
|
02/26/26
|
0.25
%
|
1D SONIA
|
Monthly
|
(10,454
)
|
|
Gunma Bank Ltd. (The)
|
Barclays Bank PLC
|
|
1,080,535
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
18,210
|
|
H World Group Ltd., ADR
|
Barclays Bank PLC
|
|
735,515
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(6,235
)
|
|
Haier Smart Home Co. Ltd., Class H
|
Merrill Lynch International
|
|
789,255
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(12,233
)
|
|
Harmony Gold Mining Co. Ltd.
|
Merrill Lynch International
|
|
834,695
|
02/15/28
|
0.85
%
|
1M JIBAR
|
Monthly
|
(44,383
)
|
|
Henderson Land Development Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
745,584
|
02/10/26
|
0.30
%
|
HONIA
|
Monthly
|
83,247
|
|
HOCHTIEF AG
|
Merrill Lynch International
|
|
727,231
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
42,481
|
|
HP, Inc.
|
Citibank N.A.
|
|
1,329,396
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
30,580
|
|
Huntington Ingalls Industries, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,094,736
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
64,272
|
|
IDP Education Ltd.
|
JPMorgan Chase Bank N.A.
|
|
746,485
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
7,021
|
|
ING Groep NV
|
JPMorgan Chase Bank N.A.
|
|
2,078,740
|
02/11/26
|
0.26
%
|
1D ESTR
|
Monthly
|
5,633
|
|
Inpex Corp.
|
Citibank N.A.
|
|
920,755
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
(54,662
)
|
|
Intermediate Capital Group PLC
|
Merrill Lynch International
|
|
886,494
|
02/15/28
|
0.25
%
|
1D SONIA
|
Monthly
|
(13,792
)
|
|
International Games System Co. Ltd.
|
Merrill Lynch International
|
|
765,877
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
(31,983
)
|
|
Invesco Ltd.
|
Merrill Lynch International
|
|
888,317
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
56,306
|
|
Investor AB, B Shares
|
Citibank N.A.
|
|
1,893,036
|
02/26/26
|
0.26
%
|
TN STIBOR
|
Monthly
|
53,878
|
|
Jabil, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,417,032
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
284,148
|
|
Japan Exchange Group, Inc.
|
Barclays Bank PLC
|
|
1,172,012
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
(51,632
)
|
|
Japan Post Bank Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
3,184,956
|
02/10/26
|
0.25
%
|
1D P TONA
|
Monthly
|
34,110
|
|
Japan Post Holdings Co. Ltd.
|
Citibank N.A.
|
|
1,364,707
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
1,470
|
|
Japan Tobacco, Inc.
|
Citibank N.A.
|
|
2,119,714
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
(66,392
)
|
|
JD.com, Inc., Class A
|
Merrill Lynch International
|
|
833,763
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(17,148
)
|
|
Johnson & Johnson
|
Citibank N.A.
|
|
2,073,084
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
19,591
|
|
Kamigumi Co. Ltd.
|
Barclays Bank PLC
|
|
1,337,018
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
(5,962
)
|
|
Kansai Paint Co. Ltd.
|
Barclays Bank PLC
|
|
1,040,595
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
32,952
|
|
Kawasaki Kisen Kaisha Ltd.
|
Barclays Bank PLC
|
|
749,023
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
150
|
|
KDDI Corp.
|
JPMorgan Chase Bank N.A.
|
|
852,024
|
02/10/26
|
0.25
%
|
1D P TONA
|
Monthly
|
15,091
|
|
Keyence Corp.
|
Barclays Bank PLC
|
|
1,204,958
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
34,509
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Kinden Corp.
|
Barclays Bank PLC
|
USD
|
1,185,865
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
$ 21,591
|
|
Komatsu Ltd.
|
Citibank N.A.
|
|
1,658,942
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
122,709
|
|
Kongsberg Gruppen ASA
|
Citibank N.A.
|
|
777,987
|
02/26/26
|
0.26
%
|
NOWA
|
Monthly
|
5,311
|
|
Koninklijke Vopak NV
|
Barclays Bank PLC
|
|
919,626
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(744
)
|
|
KT&G Corp.
|
JPMorgan Chase Bank N.A.
|
|
1,324,726
|
02/10/26
|
0.35
%
|
1D OBFR01
|
Monthly
|
43,879
|
|
Kuehne + Nagel International AG, Registered
Shares
|
Merrill Lynch International
|
|
1,436,348
|
02/15/28
|
0.26
%
|
SSARON
|
Monthly
|
(72,128
)
|
|
Kuraray Co. Ltd.
|
Barclays Bank PLC
|
|
1,650,212
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
34,697
|
|
Kyushu Electric Power Co., Inc.
|
Barclays Bank PLC
|
|
903,963
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
45,554
|
|
Kyushu Financial Group, Inc.
|
Merrill Lynch International
|
|
1,058,993
|
03/15/28
|
0.20
%
|
1D P TONA
|
Monthly
|
5,341
|
|
Las Vegas Sands Corp.
|
Citibank N.A.
|
|
1,511,335
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
55,025
|
|
Lendlease Corp. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
2,076,649
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
(114,850
)
|
|
Live Nation Entertainment, Inc.
|
Barclays Bank PLC
|
|
770,770
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
758
|
|
Lockheed Martin Corp.
|
Citibank N.A.
|
|
3,112,443
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(55,719
)
|
|
Logitech International SA, Registered Shares
|
Citibank N.A.
|
|
796,652
|
02/26/26
|
0.26
%
|
SSARON
|
Monthly
|
28,577
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
Barclays Bank PLC
|
|
1,960,415
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(23,909
)
|
|
LY Corp.
|
Citibank N.A.
|
|
910,889
|
02/26/26
|
0.15
%
|
1D P TONA
|
Monthly
|
9,394
|
|
Macquarie Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,302,680
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
66,012
|
|
Magellan Financial Group Ltd.
|
Merrill Lynch International
|
|
1,146,753
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
16,679
|
|
MarketAxess Holdings, Inc.
|
Barclays Bank PLC
|
|
1,259,705
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
13,333
|
|
Masco Corp.
|
Citibank N.A.
|
|
767,990
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
17,202
|
|
Match Group, Inc.
|
Barclays Bank PLC
|
|
1,869,240
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(3,484
)
|
|
Merck KGaA
|
Citibank N.A.
|
|
1,146,399
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
7,561
|
|
MGM China Holdings Ltd.
|
Merrill Lynch International
|
|
1,044,988
|
02/15/28
|
0.15
%
|
HONIA
|
Monthly
|
190,123
|
|
MGM Resorts International
|
Citibank N.A.
|
|
594,511
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
436
|
|
Mirvac Group
|
Merrill Lynch International
|
|
1,272,676
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(63,011
)
|
|
MISUMI Group, Inc.
|
JPMorgan Chase Bank N.A.
|
|
1,194,659
|
02/10/26
|
0.25
%
|
1D P TONA
|
Monthly
|
32,986
|
|
Mitsubishi UFJ Financial Group, Inc.
|
Barclays Bank PLC
|
|
1,056,819
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
12,054
|
|
Mitsui Mining & Smelting Co. Ltd.
|
Barclays Bank PLC
|
|
1,033,733
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
78,491
|
|
Morinaga & Co. Ltd.
|
Merrill Lynch International
|
|
1,177,213
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
16,103
|
|
Mosaic Co. (The)
|
Citibank N.A.
|
|
1,160,488
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
14,168
|
|
Mr. Price Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,790,064
|
02/11/26
|
0.40
%
|
1D RAONON
|
Monthly
|
(72,514
)
|
|
MSCI, Inc.
|
Citibank N.A.
|
|
1,387,800
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
54,050
|
|
Murata Manufacturing Co. Ltd.
|
Citibank N.A.
|
|
1,411,005
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
52,283
|
|
NatWest Group PLC
|
Barclays Bank PLC
|
|
814,277
|
04/01/26
|
0.25
%
|
1D SONIA
|
Monthly
|
7,409
|
|
NAVER Corp.
|
Merrill Lynch International
|
|
667,125
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
167,871
|
|
NetEase, Inc.
|
Merrill Lynch International
|
|
901,855
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
25,203
|
|
Nichirei Corp.
|
Citibank N.A.
|
|
1,728,109
|
02/26/26
|
0.24
%
|
1D P TONA
|
Monthly
|
2,361
|
|
Nihon Kohden Corp.
|
Barclays Bank PLC
|
|
1,424,819
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
11,636
|
|
Nippon Yusen KK
|
Barclays Bank PLC
|
|
1,084,056
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
20,375
|
|
Nissan Chemical Corp.
|
Citibank N.A.
|
|
1,803,510
|
02/26/26
|
0.23
%
|
1D P TONA
|
Monthly
|
72,090
|
|
Northrop Grumman Corp.
|
Merrill Lynch International
|
|
1,044,792
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
5,166
|
|
Novartis AG, Registered Shares
|
Barclays Bank PLC
|
|
1,252,880
|
04/01/26
|
0.26
%
|
SSARON
|
Monthly
|
9,442
|
|
Novo Nordisk A/S, Class B
|
JPMorgan Chase Bank N.A.
|
|
779,649
|
02/11/26
|
0.26
%
|
DESTR
|
Monthly
|
(121,355
)
|
|
NXP Semiconductors NV
|
Citibank N.A.
|
|
1,481,238
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
48,192
|
|
Obayashi Corp.
|
Barclays Bank PLC
|
|
862,926
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
(15,940
)
|
|
Olympus Corp.
|
Citibank N.A.
|
|
1,469,653
|
02/26/26
|
0.19
%
|
1D P TONA
|
Monthly
|
(141,657
)
|
|
Orange SA
|
Barclays Bank PLC
|
|
2,371,689
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
35,888
|
|
Orsted AS
|
Merrill Lynch International
|
|
568,889
|
02/15/28
|
0.26
%
|
1W CIBOR
|
Monthly
|
(17,483
)
|
|
Otis Worldwide Corp.
|
Citibank N.A.
|
|
1,238,142
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
39,216
|
|
Partners Group Holding AG
|
Merrill Lynch International
|
|
2,813,900
|
02/15/28
|
0.26
%
|
SSARON
|
Monthly
|
64,417
|
|
Paychex, Inc.
|
Barclays Bank PLC
|
|
2,003,782
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
3,566
|
|
PayPal Holdings, Inc.
|
Merrill Lynch International
|
|
932,154
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
26,574
|
|
PepsiCo, Inc.
|
Barclays Bank PLC
|
|
1,678,170
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
38,350
|
|
Philip Morris International, Inc.
|
Barclays Bank PLC
|
|
1,072,710
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(16,356
)
|
|
PNC Financial Services Group, Inc. (The)
|
Barclays Bank PLC
|
|
1,879,800
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
58,968
|
|
Porto Seguro SA
|
Merrill Lynch International
|
|
1,235,252
|
02/15/28
|
0.40
%
|
1D OBFR01
|
Monthly
|
30,830
|
|
Powszechny Zaklad Ubezpieczen SA
|
Merrill Lynch International
|
|
1,163,475
|
02/15/28
|
0.45
%
|
1D OBFR01
|
Monthly
|
81,607
|
|
Principal Financial Group, Inc.
|
Citibank N.A.
|
|
2,196,172
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
59,640
|
|
Progressive Corp. (The)
|
Merrill Lynch International
|
|
1,838,367
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
2,967
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Long Contracts(a) (continued)
|
||||||||
|
Prosus NV
|
Barclays Bank PLC
|
USD
|
1,941,055
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
$ 230
|
|
Realtek Semiconductor Corp.
|
JPMorgan Chase Bank N.A.
|
|
1,242,817
|
02/10/26
|
0.35
%
|
1D OBFR01
|
Monthly
|
38,969
|
|
Rightmove PLC
|
Merrill Lynch International
|
|
793,941
|
02/15/28
|
0.25
%
|
1D SONIA
|
Monthly
|
17,816
|
|
Rolls-Royce Holdings PLC
|
Citibank N.A.
|
|
1,210,907
|
02/26/26
|
0.25
%
|
1D SONIA
|
Monthly
|
107,732
|
|
Sampo Oyj, A Shares
|
Barclays Bank PLC
|
|
1,336,118
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(491
)
|
|
Santen Pharmaceutical Co. Ltd.
|
Merrill Lynch International
|
|
793,890
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
(8,970
)
|
|
Santos Ltd.
|
JPMorgan Chase Bank N.A.
|
|
532,568
|
02/10/26
|
0.25
%
|
1D AONIA
|
Monthly
|
80,018
|
|
SEEK Ltd.
|
Merrill Lynch International
|
|
1,221,561
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
3,354
|
|
SGS SA, Registered Shares
|
Citibank N.A.
|
|
915,967
|
02/26/26
|
0.26
%
|
SSARON
|
Monthly
|
(12,300
)
|
|
Shenzhou International Group Holdings Ltd.
|
JPMorgan Chase Bank N.A.
|
|
704,824
|
02/10/26
|
0.30
%
|
HONIA
|
Monthly
|
22,856
|
|
Shimizu Corp.
|
Citibank N.A.
|
|
1,518,720
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
14,889
|
|
SHO-BOND Holdings Co. Ltd.
|
Barclays Bank PLC
|
|
1,545,812
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
15,543
|
|
Siemens Energy AG
|
Barclays Bank PLC
|
|
740,582
|
04/01/26
|
0.26
%
|
1D ESTR
|
Monthly
|
100,961
|
|
Singapore Technologies Engineering Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,058,998
|
02/10/26
|
0.30
%
|
1D OBFR01
|
Monthly
|
(17,224
)
|
|
Skanska AB, B Shares
|
JPMorgan Chase Bank N.A.
|
|
1,683,894
|
02/11/26
|
0.26
%
|
TN STIBOR
|
Monthly
|
(78,896
)
|
|
Sodexo SA
|
Citibank N.A.
|
|
600,861
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
2,295
|
|
Steel Dynamics, Inc.
|
Merrill Lynch International
|
|
801,498
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
4,965
|
|
Swire Pacific Ltd., Class A
|
Merrill Lynch International
|
|
1,079,171
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(20,515
)
|
|
Symrise AG
|
Merrill Lynch International
|
|
1,124,479
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(107,294
)
|
|
T Rowe Price Group, Inc.
|
Citibank N.A.
|
|
982,892
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
1,408
|
|
Takashimaya Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,332,107
|
02/10/26
|
0.19
%
|
1D P TONA
|
Monthly
|
37,964
|
|
TC Energy Corp.
|
Citibank N.A.
|
|
1,171,153
|
02/24/28
|
0.20
%
|
1D CORRA
|
Monthly
|
29,807
|
|
Techtronic Industries Co. Ltd.
|
Merrill Lynch International
|
|
691,597
|
02/15/28
|
0.30
%
|
HONIA
|
Monthly
|
(18,524
)
|
|
Teck Resources Ltd., Class B
|
Merrill Lynch International
|
|
1,506,867
|
02/15/28
|
0.20
%
|
CABROVER
|
Monthly
|
54,141
|
|
Telenor ASA
|
Barclays Bank PLC
|
|
1,690,271
|
05/04/26
|
0.28
%
|
NOWA
|
Monthly
|
25,785
|
|
Telix Pharmaceuticals Ltd.
|
Merrill Lynch International
|
|
616,660
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(28,771
)
|
|
Textron, Inc.
|
Barclays Bank PLC
|
|
2,890,750
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
104,067
|
|
Toei Animation Co. Ltd.
|
Citibank N.A.
|
|
722,100
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
3,036
|
|
TOTO Ltd.
|
Merrill Lynch International
|
|
1,148,827
|
03/15/28
|
0.25
%
|
1D P TONA
|
Monthly
|
(575
)
|
|
Toyota Tsusho Corp.
|
Citibank N.A.
|
|
976,877
|
02/26/26
|
0.25
%
|
1D P TONA
|
Monthly
|
42,429
|
|
TPG Telecom Ltd.
|
Merrill Lynch International
|
|
2,576,052
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(51,758
)
|
|
Tractor Supply Co.
|
Merrill Lynch International
|
|
1,024,391
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
20,455
|
|
TransDigm Group, Inc.
|
Citibank N.A.
|
|
1,323,612
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
44,964
|
|
Transurban Group
|
Merrill Lynch International
|
|
3,981,468
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(144,667
)
|
|
Trend Micro, Inc./Japan
|
Barclays Bank PLC
|
|
1,053,659
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
11,495
|
|
Unimicron Technology Corp.
|
JPMorgan Chase Bank N.A.
|
|
1,619
|
02/10/26
|
0.35
%
|
1D OBFR01
|
Monthly
|
5
|
|
Universal Health Services, Inc., Class B
|
Barclays Bank PLC
|
|
850,248
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
37,387
|
|
Universal Music Group NV
|
Citibank N.A.
|
|
1,146,481
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
8,403
|
|
UOL Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
1,368,674
|
02/10/26
|
0.30
%
|
1D OBFR01
|
Monthly
|
26,253
|
|
Ushio, Inc.
|
Barclays Bank PLC
|
|
739,784
|
03/01/27
|
-
|
1D P TONA
|
Monthly
|
31,637
|
|
Valero Energy Corp.
|
JPMorgan Chase Bank N.A.
|
|
825,946
|
02/09/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(19,426
)
|
|
Valterra Platinum Ltd.
|
Merrill Lynch International
|
|
679,205
|
02/15/28
|
0.85
%
|
1M JIBAR
|
Monthly
|
77,755
|
|
VeriSign, Inc.
|
Citibank N.A.
|
|
820,381
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
17,139
|
|
Verizon Communications, Inc.
|
Barclays Bank PLC
|
|
1,957,032
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
42,042
|
|
Vestas Wind Systems A/S
|
JPMorgan Chase Bank N.A.
|
|
1,085,225
|
02/11/26
|
0.26
%
|
DESTR
|
Monthly
|
(146,415
)
|
|
Viatris, Inc.
|
Barclays Bank PLC
|
|
1,382,370
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
12,496
|
|
Vivendi SE
|
Merrill Lynch International
|
|
1,441,926
|
02/15/28
|
0.26
%
|
1D ESTR
|
Monthly
|
(16,913
)
|
|
Vonovia SE
|
Citibank N.A.
|
|
1,028,432
|
02/26/26
|
0.26
%
|
1D ESTR
|
Monthly
|
(3,829
)
|
|
Walgreens Boots Alliance, Inc.
|
JPMorgan Chase Bank N.A.
|
|
713,658
|
02/09/26
|
-
|
1D OBFR01
|
Monthly
|
398
|
|
Weichai Power Co. Ltd., Class H
|
Merrill Lynch International
|
|
606,251
|
02/15/28
|
0.15
%
|
HONIA
|
Monthly
|
(23,950
)
|
|
Wells Fargo & Co.
|
Barclays Bank PLC
|
|
1,147,449
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
46,339
|
|
Western Digital Corp.
|
Citibank N.A.
|
|
665,446
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
50
|
|
WH Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
818,554
|
02/10/26
|
0.30
%
|
HONIA
|
Monthly
|
19,464
|
|
Workday, Inc., Class A
|
Merrill Lynch International
|
|
1,027,058
|
02/15/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
(19,058
)
|
|
Worley Ltd.
|
Merrill Lynch International
|
|
1,236,045
|
02/15/28
|
0.25
%
|
1D AONIA
|
Monthly
|
(43,415
)
|
|
Yamaha Corp.
|
Citibank N.A.
|
|
1,304,414
|
02/26/26
|
0.15
%
|
1D P TONA
|
Monthly
|
60,757
|
|
Yum China Holdings, Inc.
|
Citibank N.A.
|
|
861,616
|
02/24/28
|
0.20
%
|
1D OBFR01
|
Monthly
|
14,700
|
|
Zimmer Biomet Holdings, Inc.
|
Barclays Bank PLC
|
|
1,436,550
|
03/24/26
|
0.20
%
|
1D OBFR01
|
Monthly
|
(4,553
)
|
|
Total long positions of equity swaps
|
|
|
|
2,811,956
|
||||
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b)
|
||||||||
|
Abbott Laboratories
|
Citibank N.A.
|
USD
|
(1,425,882
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
$ (29,425
)
|
|
ABN AMRO Bank NV
|
Barclays Bank PLC
|
|
(1,418,063
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(23,691
)
|
|
AddTech AB, B Shares
|
JPMorgan Chase Bank N.A.
|
|
(826,881
)
|
02/11/26
|
(0.26
)%
|
TN STIBOR
|
Monthly
|
35,957
|
|
Aeon Co. Ltd.
|
Merrill Lynch International
|
|
(1,773,620
)
|
03/15/28
|
(0.64
)%
|
1D P TONA
|
Monthly
|
24,265
|
|
AGC, Inc.
|
Barclays Bank PLC
|
|
(882,019
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
4,882
|
|
AGC, Inc.
|
Merrill Lynch International
|
|
(533,595
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(314
)
|
|
Airtel Africa PLC
|
Citibank N.A.
|
|
(1,428,216
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(70,526
)
|
|
Akamai Technologies, Inc.
|
Citibank N.A.
|
|
(669,553
)
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
(431
)
|
|
Alexandria Real Estate Equities, Inc.
|
Merrill Lynch International
|
|
(1,656,192
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
228
|
|
Alfa SAB de CV, Class A
|
Merrill Lynch International
|
|
(1,241,552
)
|
02/15/28
|
(0.50
)%
|
TIIEFONDEO
|
Monthly
|
29,748
|
|
Alstom SA
|
JPMorgan Chase Bank N.A.
|
|
(765,333
)
|
02/11/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(46,932
)
|
|
Amadeus IT Group SA
|
Merrill Lynch International
|
|
(1,447,480
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
2,820
|
|
America Movil SAB de CV
|
JPMorgan Chase Bank N.A.
|
|
(750,699
)
|
02/10/26
|
(0.50
)%
|
TIIEFONDEO
|
Monthly
|
(36,545
)
|
|
AMETEK, Inc.
|
Barclays Bank PLC
|
|
(1,506,880
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(31,280
)
|
|
Anheuser-Busch InBev SA/NV
|
Citibank N.A.
|
|
(922,431
)
|
02/26/26
|
(0.05
)%
|
1D ESTR
|
Monthly
|
48,667
|
|
Ansell Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,754,798
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
44,170
|
|
Aozora Bank Ltd.
|
Barclays Bank PLC
|
|
(791,468
)
|
03/01/27
|
(1.50
)%
|
1D P TONA
|
Monthly
|
(16,020
)
|
|
Aozora Bank Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(102,102
)
|
02/10/26
|
(1.39
)%
|
1D P TONA
|
Monthly
|
(1,460
)
|
|
AppLovin Corp., Class A
|
Citibank N.A.
|
|
(638,577
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(26,575
)
|
|
Arkema SA
|
Barclays Bank PLC
|
|
(1,586,987
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(89,262
)
|
|
Asics Corp.
|
Merrill Lynch International
|
|
(526,510
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(42,149
)
|
|
Aspen Pharmacare Holdings Ltd.
|
Merrill Lynch International
|
|
(1,316,496
)
|
02/15/28
|
(0.35
)%
|
1M JIBAR
|
Monthly
|
10,484
|
|
Atlantic Union Bankshares Corp.
|
JPMorgan Chase Bank N.A.
|
|
(245,079
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
157
|
|
AutoZone, Inc.
|
Merrill Lynch International
|
|
(1,080,951
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(32,718
)
|
|
Axon Enterprise, Inc.
|
Barclays Bank PLC
|
|
(626,592
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(35,760
)
|
|
Bachem Holding AG
|
Merrill Lynch International
|
|
(948,623
)
|
02/15/28
|
(0.26
)%
|
SSARON
|
Monthly
|
(70,954
)
|
|
Bank of Montreal
|
Citibank N.A.
|
|
(1,721,417
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
(73,877
)
|
|
Bank of Queensland Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,256,589
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
45,339
|
|
Barratt Redrow PLC
|
Citibank N.A.
|
|
(1,902,487
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
20,132
|
|
Barry Callebaut AG, Registered Shares
|
Barclays Bank PLC
|
|
(1,003,844
)
|
04/01/26
|
(0.26
)%
|
SSARON
|
Monthly
|
20,082
|
|
BASF SE
|
Barclays Bank PLC
|
|
(2,426,426
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(41,604
)
|
|
Baxter International, Inc.
|
JPMorgan Chase Bank N.A.
|
|
(1,073,580
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
19,836
|
|
BE Semiconductor Industries NV
|
Merrill Lynch International
|
|
(1,241,677
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
384
|
|
Bendigo & Adelaide Bank Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,644,059
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
24,426
|
|
Berkshire Hathaway, Inc., Class B
|
Citibank N.A.
|
|
(1,755,972
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
7,200
|
|
BKW AG
|
Barclays Bank PLC
|
|
(2,052,159
)
|
04/01/26
|
(0.26
)%
|
SSARON
|
Monthly
|
13,137
|
|
Brookfield Asset Management Ltd., Class A
|
Citibank N.A.
|
|
(2,571,520
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
(40,900
)
|
|
Brown-Forman Corp., Class B
|
Citibank N.A.
|
|
(985,056
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(15,996
)
|
|
BT Group PLC
|
Citibank N.A.
|
|
(1,005,729
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(13,028
)
|
|
Builders FirstSource, Inc.
|
Barclays Bank PLC
|
|
(643,302
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
13,176
|
|
Canadian Pacific Kansas City Ltd.
|
Merrill Lynch International
|
|
(993,381
)
|
02/15/28
|
(0.20
)%
|
CABROVER
|
Monthly
|
24,190
|
|
CapitaLand Investment Ltd./Singapore
|
Merrill Lynch International
|
|
(1,662,037
)
|
02/15/28
|
(0.30
)%
|
1D OBFR01
|
Monthly
|
(58,852
)
|
|
Central Japan Railway Co.
|
Barclays Bank PLC
|
|
(785,814
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(23,422
)
|
|
CH Robinson Worldwide, Inc.
|
Merrill Lynch International
|
|
(1,033,790
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(21,660
)
|
|
Challenger Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(970,107
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(24,001
)
|
|
China Everbright Bank Co. Ltd., Class H
|
Merrill Lynch International
|
|
(923,961
)
|
02/15/28
|
(0.30
)%
|
HONIA
|
Monthly
|
(2,363
)
|
|
China Life Insurance Co. Ltd., Class H
|
Merrill Lynch International
|
|
(1,311,700
)
|
02/15/28
|
(0.15
)%
|
HONIA
|
Monthly
|
(37,148
)
|
|
Church & Dwight Co., Inc.
|
Barclays Bank PLC
|
|
(1,182,790
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
10,248
|
|
Cigna Group (The)
|
Citibank N.A.
|
|
(923,101
)
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
(2,522
)
|
|
Coinbase Global, Inc., Class A
|
Citibank N.A.
|
|
(645,939
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(90,090
)
|
|
Commerzbank AG
|
Barclays Bank PLC
|
|
(925,162
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
42,797
|
|
Commonwealth Bank of Australia
|
JPMorgan Chase Bank N.A.
|
|
(1,161,898
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(18,672
)
|
|
Community Financial System, Inc.
|
JPMorgan Chase Bank N.A.
|
|
(400,775
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
2,799
|
|
Constellation Energy Corp.
|
Barclays Bank PLC
|
|
(788,025
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(18,875
)
|
|
Continental AG
|
Barclays Bank PLC
|
|
(663,195
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(116
)
|
|
ConvaTec Group PLC
|
Barclays Bank PLC
|
|
(1,994,937
)
|
04/01/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
8,471
|
|
Corning, Inc.
|
Merrill Lynch International
|
|
(807,402
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(28,779
)
|
|
Cosan SA
|
Merrill Lynch International
|
|
(853,960
)
|
02/15/28
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
10,396
|
|
CoStar Group, Inc.
|
Citibank N.A.
|
|
(1,512,756
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(6,804
)
|
|
Credit Agricole SA
|
Citibank N.A.
|
|
(1,289,191
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(48,332
)
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
CVB Financial Corp.
|
JPMorgan Chase Bank N.A.
|
USD
|
(361,281
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
$ (11,879
)
|
|
Dai Nippon Printing Co. Ltd.
|
Barclays Bank PLC
|
|
(493,604
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(19,475
)
|
|
Dai Nippon Printing Co. Ltd.
|
Merrill Lynch International
|
|
(550,332
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(17,394
)
|
|
Daito Trust Construction Co. Ltd.
|
Barclays Bank PLC
|
|
(111,385
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
2,467
|
|
Daito Trust Construction Co. Ltd.
|
Merrill Lynch International
|
|
(990,591
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
10,324
|
|
Danone SA
|
JPMorgan Chase Bank N.A.
|
|
(2,689,133
)
|
02/11/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
160,792
|
|
Davide Campari-Milano NV
|
Merrill Lynch International
|
|
(916,237
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(4,077
)
|
|
Demant A/S
|
Merrill Lynch International
|
|
(694,313
)
|
02/15/28
|
(0.26
)%
|
1W CIBOR
|
Monthly
|
29,986
|
|
Denka Co. Ltd.
|
Barclays Bank PLC
|
|
(2,303,307
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(123,215
)
|
|
Deutsche Post AG
|
Barclays Bank PLC
|
|
(993,634
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
11,653
|
|
DiaSorin SpA
|
Citibank N.A.
|
|
(1,027,824
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
34,692
|
|
Disco Corp.
|
Barclays Bank PLC
|
|
(725,343
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(104,139
)
|
|
DMG Mori Co. Ltd.
|
Barclays Bank PLC
|
|
(131,188
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(9,175
)
|
|
DMG Mori Co. Ltd.
|
Merrill Lynch International
|
|
(747,238
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(48,918
)
|
|
Dollar Tree, Inc.
|
Citibank N.A.
|
|
(954,845
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
13,965
|
|
Dollarama, Inc.
|
Merrill Lynch International
|
|
(776,038
)
|
02/15/28
|
(0.20
)%
|
CABROVER
|
Monthly
|
1,091
|
|
Domain Holdings Australia Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,275,894
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(8,794
)
|
|
Dover Corp.
|
Barclays Bank PLC
|
|
(2,432,161
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(78,090
)
|
|
DWS Group GmbH & Co. KGaA
|
Merrill Lynch International
|
|
(1,235,622
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(68,890
)
|
|
Ecolab, Inc.
|
Citibank N.A.
|
|
(2,101,005
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(27,571
)
|
|
Elevance Health, Inc.
|
Citibank N.A.
|
|
(1,154,502
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(51,274
)
|
|
Endesa SA
|
Merrill Lynch International
|
|
(1,530,223
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(2,851
)
|
|
Energisa S/A
|
Merrill Lynch International
|
|
(997,214
)
|
02/15/28
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
(28,682
)
|
|
Engie Brasil Energia SA
|
Merrill Lynch International
|
|
(716,768
)
|
02/15/28
|
(15.00
)%
|
1D OBFR01
|
Monthly
|
(85,518
)
|
|
Eurofins Scientific SE
|
Barclays Bank PLC
|
|
(1,396,347
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(21,833
)
|
|
Evolution Mining Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,090,499
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
57,050
|
|
Expand Energy Corp.
|
Citibank N.A.
|
|
(2,586,885
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
96,063
|
|
Exxon Mobil Corp.
|
Citibank N.A.
|
|
(1,676,100
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
59,100
|
|
Far EasTone Telecommunications Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(3,095
)
|
02/10/26
|
(0.35
)%
|
1D OBFR01
|
Monthly
|
29
|
|
Fastenal Co.
|
JPMorgan Chase Bank N.A.
|
|
(1,087,151
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
3,551
|
|
FedEx Corp.
|
Citibank N.A.
|
|
(1,479,298
)
|
02/24/28
|
-
|
1D OBFR01
|
Monthly
|
1,783
|
|
Food & Life Cos. Ltd.
|
Merrill Lynch International
|
|
(1,206,108
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(77,654
)
|
|
Formosa Chemicals & Fibre Corp.
|
JPMorgan Chase Bank N.A.
|
|
(242,938
)
|
02/10/26
|
(0.63
)%
|
1D OBFR01
|
Monthly
|
17,068
|
|
Formosa Plastics Corp.
|
JPMorgan Chase Bank N.A.
|
|
(854,843
)
|
02/10/26
|
(0.19
)%
|
1D OBFR01
|
Monthly
|
10,700
|
|
Fresenius SE & Co. KGaA
|
Citibank N.A.
|
|
(1,333,401
)
|
02/26/26
|
-
|
1D ESTR
|
Monthly
|
(30,347
)
|
|
Fujitsu Ltd.
|
Barclays Bank PLC
|
|
(515,053
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(23,505
)
|
|
Fujitsu Ltd.
|
Merrill Lynch International
|
|
(1,508,437
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(15,053
)
|
|
Genting Singapore Ltd.
|
Merrill Lynch International
|
|
(1,633,504
)
|
02/15/28
|
(0.30
)%
|
1D OBFR01
|
Monthly
|
(23,497
)
|
|
Genuine Parts Co.
|
Citibank N.A.
|
|
(897,546
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(148
)
|
|
Georg Fischer AG, Registered Shares
|
Barclays Bank PLC
|
|
(1,332,661
)
|
04/01/26
|
(0.26
)%
|
SSARON
|
Monthly
|
(58,699
)
|
|
GoDaddy, Inc., Class A
|
Barclays Bank PLC
|
|
(815,120
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(13,156
)
|
|
Great-West Lifeco, Inc.
|
Merrill Lynch International
|
|
(867,728
)
|
02/15/28
|
-
|
CABROVER
|
Monthly
|
599
|
|
Grupo Carso SAB de CV
|
Merrill Lynch International
|
|
(460,619
)
|
02/15/28
|
(0.50
)%
|
TIIEFONDEO
|
Monthly
|
(12,704
)
|
|
Hang Lung Properties Ltd.
|
Merrill Lynch International
|
|
(1,004,552
)
|
02/15/28
|
(0.15
)%
|
HONIA
|
Monthly
|
(79,978
)
|
|
Hankyu Hanshin Holdings, Inc.
|
Barclays Bank PLC
|
|
(1,089,346
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(719
)
|
|
Hannover Rueck SE
|
Merrill Lynch International
|
|
(1,686,938
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
16,837
|
|
Harmonic Drive Systems, Inc.
|
Barclays Bank PLC
|
|
(474,313
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(33,227
)
|
|
Heidelberg Materials AG
|
Citibank N.A.
|
|
(715,617
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(85,072
)
|
|
Heineken NV
|
Citibank N.A.
|
|
(751,344
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
9,779
|
|
Heiwa Corp.
|
Barclays Bank PLC
|
|
(860,031
)
|
03/01/27
|
(0.71
)%
|
1D P TONA
|
Monthly
|
(8,906
)
|
|
Heiwa Corp.
|
Merrill Lynch International
|
|
(113,607
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(3,029
)
|
|
Hikari Tsushin, Inc.
|
Barclays Bank PLC
|
|
(669,532
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(9,580
)
|
|
Hikari Tsushin, Inc.
|
Merrill Lynch International
|
|
(116,001
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(2,106
)
|
|
Honda Motor Co. Ltd.
|
Barclays Bank PLC
|
|
(244,503
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
2,467
|
|
Honda Motor Co. Ltd.
|
Merrill Lynch International
|
|
(609,641
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
19,499
|
|
Host Hotels & Resorts, Inc.
|
Citibank N.A.
|
|
(1,701,583
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
44,239
|
|
House Foods Group, Inc.
|
Merrill Lynch International
|
|
(509,047
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(6,415
)
|
|
Howden Joinery Group PLC
|
Citibank N.A.
|
|
(1,328,216
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(28,832
)
|
|
Hua Nan Financial Holdings Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(845,444
)
|
02/10/26
|
(0.36
)%
|
1D OBFR01
|
Monthly
|
(24,956
)
|
|
Hubbell, Inc.
|
Barclays Bank PLC
|
|
(1,026,194
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(35,672
)
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Ibiden Co. Ltd.
|
Merrill Lynch International
|
USD
|
(650,001
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
$ (39,221
)
|
|
IHI Corp.
|
Merrill Lynch International
|
|
(727,008
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
13,127
|
|
IMI PLC
|
Citibank N.A.
|
|
(1,498,827
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(52,154
)
|
|
Informa PLC
|
Barclays Bank PLC
|
|
(1,285,867
)
|
04/01/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(26,070
)
|
|
Ingersoll Rand, Inc.
|
JPMorgan Chase Bank N.A.
|
|
(1,185,132
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
3,976
|
|
Innolux Corp.
|
JPMorgan Chase Bank N.A.
|
|
(73,658
)
|
02/10/26
|
(0.24
)%
|
1D OBFR01
|
Monthly
|
1,391
|
|
Insignia Financial Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(519,592
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(9,566
)
|
|
Intel Corp.
|
Merrill Lynch International
|
|
(713,456
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(57,104
)
|
|
Intercontinental Exchange, Inc.
|
Barclays Bank PLC
|
|
(1,815,273
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(37,774
)
|
|
International Paper Co.
|
Barclays Bank PLC
|
|
(83,874
)
|
04/01/26
|
(0.75
)%
|
1D SONIA
|
Monthly
|
(1,486
)
|
|
International Paper Co.
|
JPMorgan Chase Bank N.A.
|
|
(738,350
)
|
02/11/26
|
(0.50
)%
|
1D SONIA
|
Monthly
|
19,125
|
|
International Paper Co.
|
Merrill Lynch International
|
|
(2,049,520
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(11,000
)
|
|
Investment AB Latour, B Shares
|
Citibank N.A.
|
|
(779,801
)
|
02/26/26
|
(0.26
)%
|
TN STIBOR
|
Monthly
|
(24,644
)
|
|
Invincible Investment Corp.
|
Barclays Bank PLC
|
|
(540,815
)
|
03/01/27
|
(1.06
)%
|
1D P TONA
|
Monthly
|
24,059
|
|
Invincible Investment Corp.
|
Merrill Lynch International
|
|
(222,909
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
7,594
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
Citibank N.A.
|
|
(10,250,949
)
|
02/24/28
|
(0.07
)%
|
1D OBFR01
|
Monthly
|
(89,752
)
|
|
iShares iBoxx $ Investment Grade Corporate
Bond ETF
|
JPMorgan Chase Bank N.A.
|
|
(12,275,012
)
|
02/09/26
|
(0.48
)%
|
1D OBFR01
|
Monthly
|
(271,277
)
|
|
iShares iBoxx $ Investment Grade Corporate
Bond ETF
|
Merrill Lynch International
|
|
(9,251,663
)
|
02/15/28
|
(0.50
)%
|
1D OBFR01
|
Monthly
|
(172,824
)
|
|
iShares Preferred & Income Securities ETF
|
Merrill Lynch International
|
|
(13,191,030
)
|
02/15/28
|
(0.50
)%
|
1D OBFR01
|
Monthly
|
(200,790
)
|
|
Itausa SA
|
JPMorgan Chase Bank N.A.
|
|
(1,470,640
)
|
02/10/26
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
(23,192
)
|
|
ITOCHU Corp.
|
Barclays Bank PLC
|
|
(794,127
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(7,058
)
|
|
J M Smucker Co. (The)
|
Barclays Bank PLC
|
|
(817,572
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(7,308
)
|
|
Japan Steel Works Ltd. (The)
|
Barclays Bank PLC
|
|
(663,696
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(39,993
)
|
|
JFE Holdings, Inc.
|
Barclays Bank PLC
|
|
(1,439,147
)
|
03/01/27
|
(0.51
)%
|
1D P TONA
|
Monthly
|
(32,385
)
|
|
JFE Holdings, Inc.
|
Merrill Lynch International
|
|
(272,572
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
1,531
|
|
Johnson Controls International PLC
|
Barclays Bank PLC
|
|
(1,539,915
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(33,823
)
|
|
Kadokawa Corp.
|
Barclays Bank PLC
|
|
(802,876
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(23,821
)
|
|
Kagome Co. Ltd.
|
Barclays Bank PLC
|
|
(734,003
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(836
)
|
|
Kawasaki Heavy Industries Ltd.
|
Merrill Lynch International
|
|
(622,395
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(12,625
)
|
|
Keio Corp.
|
Barclays Bank PLC
|
|
(1,187,940
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
8,869
|
|
Kering SA
|
Barclays Bank PLC
|
|
(1,447,112
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(77,878
)
|
|
KeyCorp
|
Barclays Bank PLC
|
|
(2,511,427
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(141,639
)
|
|
KGI Financial Holding Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(604,300
)
|
02/10/26
|
(0.18
)%
|
1D OBFR01
|
Monthly
|
89,822
|
|
KKR & Co., Inc.
|
Citibank N.A.
|
|
(1,734,388
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(154,638
)
|
|
Klabin SA
|
Merrill Lynch International
|
|
(1,065,058
)
|
02/15/28
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
(22,479
)
|
|
Koninklijke Ahold Delhaize NV
|
Merrill Lynch International
|
|
(1,741,646
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
16,692
|
|
Kuaishou Technology
|
Merrill Lynch International
|
|
(827,987
)
|
02/15/28
|
(0.15
)%
|
HONIA
|
Monthly
|
(60,077
)
|
|
Kyocera Corp.
|
Merrill Lynch International
|
|
(1,121,365
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(14,815
)
|
|
Kyowa Kirin Co. Ltd.
|
Barclays Bank PLC
|
|
(1,184,957
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
7,288
|
|
Li Auto, Inc., Class A
|
Merrill Lynch International
|
|
(919,354
)
|
02/15/28
|
(0.15
)%
|
HONIA
|
Monthly
|
33,533
|
|
Lifco AB, B Shares
|
Citibank N.A.
|
|
(924,643
)
|
02/26/26
|
(0.26
)%
|
TN STIBOR
|
Monthly
|
632
|
|
LKQ Corp.
|
Citibank N.A.
|
|
(758,408
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
7,105
|
|
Lynas Rare Earths Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,221,276
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
65,272
|
|
M&T Bank Corp.
|
Citibank N.A.
|
|
(1,314,680
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(23,851
)
|
|
MatsukiyoCocokara & Co.
|
Barclays Bank PLC
|
|
(1,155,923
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(10,426
)
|
|
Mercari, Inc.
|
Barclays Bank PLC
|
|
(116,065
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
3,130
|
|
Mercari, Inc.
|
Merrill Lynch International
|
|
(603,092
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
3,239
|
|
Mid-America Apartment Communities, Inc.
|
Merrill Lynch International
|
|
(1,226,146
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
12,464
|
|
Mineral Resources Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,343,812
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
140,432
|
|
Mitsubishi Chemical Group Corp.
|
Barclays Bank PLC
|
|
(1,168,959
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(32,042
)
|
|
Mitsubishi HC Capital, Inc.
|
Barclays Bank PLC
|
|
(1,182,359
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(15,557
)
|
|
Mitsubishi Heavy Industries Ltd.
|
Merrill Lynch International
|
|
(731,300
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(4,417
)
|
|
MMG Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,298,011
)
|
02/10/26
|
(0.18
)%
|
HONIA
|
Monthly
|
(228,535
)
|
|
Moncler SpA
|
Citibank N.A.
|
|
(917,119
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(6,954
)
|
|
MTR Corp. Ltd.
|
Merrill Lynch International
|
|
(1,847,655
)
|
02/15/28
|
(0.30
)%
|
HONIA
|
Monthly
|
(15,019
)
|
|
MultiChoice Group
|
JPMorgan Chase Bank N.A.
|
|
(1,067,980
)
|
02/11/26
|
(0.40
)%
|
1D RAONON
|
Monthly
|
(20,671
)
|
|
MultiChoice Group
|
Merrill Lynch International
|
|
(491,115
)
|
02/15/28
|
(0.35
)%
|
1M JIBAR
|
Monthly
|
(29,920
)
|
|
Nan Ya Plastics Corp.
|
JPMorgan Chase Bank N.A.
|
|
(973,079
)
|
02/10/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
68,214
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Nasdaq, Inc.
|
Citibank N.A.
|
USD
|
(1,344,315
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
$ (41,695
)
|
|
National Australia Bank Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,768,490
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(9,471
)
|
|
NEC Corp.
|
Merrill Lynch International
|
|
(1,160,310
)
|
03/15/28
|
(0.11
)%
|
1D P TONA
|
Monthly
|
(47,537
)
|
|
Neste Oyj
|
Merrill Lynch International
|
|
(673,298
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(43,611
)
|
|
Newmont Corp.
|
Barclays Bank PLC
|
|
(981,090
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
19,800
|
|
News Corp., Class A
|
Merrill Lynch International
|
|
(1,333,112
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(57,784
)
|
|
NEXTDC Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,388,710
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(64,095
)
|
|
Nippon Steel Corp.
|
Barclays Bank PLC
|
|
(1,463,838
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(26,423
)
|
|
Nipro Corp.
|
Barclays Bank PLC
|
|
(333,575
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(4,785
)
|
|
Nipro Corp.
|
Merrill Lynch International
|
|
(1,222,625
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(16,551
)
|
|
Nissan Motor Co. Ltd.
|
Barclays Bank PLC
|
|
(606,892
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(5,504
)
|
|
Nomura Research Institute Ltd.
|
Barclays Bank PLC
|
|
(659,279
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(8,678
)
|
|
Nordea Bank Abp
|
Barclays Bank PLC
|
|
(1,135,246
)
|
04/01/26
|
(0.26
)%
|
1D STIBOR
|
Monthly
|
(45,808
)
|
|
Norfolk Southern Corp.
|
Merrill Lynch International
|
|
(1,235,437
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(18,816
)
|
|
Norsk Hydro ASA
|
Merrill Lynch International
|
|
(881,120
)
|
02/15/28
|
(0.26
)%
|
NOWA
|
Monthly
|
(19,643
)
|
|
Northern Star Resources Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,643,605
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
174,936
|
|
Norwegian Cruise Line Holdings Ltd.
|
Citibank N.A.
|
|
(1,060,200
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(95,760
)
|
|
Novonesis Novozymes B
|
JPMorgan Chase Bank N.A.
|
|
(2,375,635
)
|
02/11/26
|
(0.26
)%
|
DESTR
|
Monthly
|
135,573
|
|
NTT Data Group Corp.
|
Barclays Bank PLC
|
|
(412,125
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
2,450
|
|
NTT Data Group Corp.
|
Merrill Lynch International
|
|
(229,758
)
|
03/15/28
|
(0.25
)%
|
1D P TONA
|
Monthly
|
451
|
|
NU Holdings Ltd., Class A
|
Citibank N.A.
|
|
(840,745
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(64,775
)
|
|
Oji Holdings Corp.
|
Barclays Bank PLC
|
|
(975,048
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(14,673
)
|
|
Oji Holdings Corp.
|
Merrill Lynch International
|
|
(174,383
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(9,365
)
|
|
ONEOK, Inc.
|
Merrill Lynch International
|
|
(868,728
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
3,450
|
|
Ono Pharmaceutical Co. Ltd.
|
Barclays Bank PLC
|
|
(1,883,226
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(25,306
)
|
|
O’Reilly Automotive, Inc.
|
Merrill Lynch International
|
|
(854,764
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(19,497
)
|
|
Oriental Land Co. Ltd./Japan
|
Barclays Bank PLC
|
|
(1,093,754
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(34,803
)
|
|
Orlen SA
|
JPMorgan Chase Bank N.A.
|
|
(1,116,327
)
|
02/11/26
|
(0.50
)%
|
1D OBFR01
|
Monthly
|
(112,133
)
|
|
PACCAR, Inc.
|
Citibank N.A.
|
|
(1,082,650
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(39,058
)
|
|
Packaging Corp. of America
|
Citibank N.A.
|
|
(2,321,010
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
3,075
|
|
Pan Pacific International Holdings Corp.
|
Barclays Bank PLC
|
|
(885,100
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(26,369
)
|
|
Pan Pacific International Holdings Corp.
|
Merrill Lynch International
|
|
(97,184
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(6,001
)
|
|
Parker-Hannifin Corp.
|
Barclays Bank PLC
|
|
(2,656,880
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(137,000
)
|
|
Pentair PLC
|
Barclays Bank PLC
|
|
(378,328
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(11,780
)
|
|
Pentair PLC
|
Citibank N.A.
|
|
(1,991,200
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(62,000
)
|
|
Pernod Ricard SA
|
Citibank N.A.
|
|
(2,281,138
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
56,683
|
|
Petroleo Brasileiro SA - Petrobras
|
JPMorgan Chase Bank N.A.
|
|
(576,088
)
|
02/10/26
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
(43,448
)
|
|
Pfizer, Inc.
|
Barclays Bank PLC
|
|
(1,355,292
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(11,844
)
|
|
Postal Savings Bank of China Co. Ltd., Class H
|
Merrill Lynch International
|
|
(1,618,028
)
|
02/15/28
|
(0.30
)%
|
HONIA
|
Monthly
|
(18,852
)
|
|
Pou Chen Corp.
|
JPMorgan Chase Bank N.A.
|
|
(32,769
)
|
02/10/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
148
|
|
Power Corp. of Canada
|
Citibank N.A.
|
|
(1,564,225
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
17,448
|
|
Procter & Gamble Co. (The)
|
Citibank N.A.
|
|
(1,561,991
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
16,587
|
|
Provident Financial Services, Inc.
|
JPMorgan Chase Bank N.A.
|
|
(451,846
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(17,677
)
|
|
Public Service Enterprise Group, Inc.
|
Citibank N.A.
|
|
(958,709
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(9,361
)
|
|
Quanta Services, Inc.
|
Barclays Bank PLC
|
|
(877,824
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(29,568
)
|
|
Rengo Co. Ltd.
|
Barclays Bank PLC
|
|
(1,007,430
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(5,560
)
|
|
Rengo Co. Ltd.
|
Merrill Lynch International
|
|
(603,512
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(42,547
)
|
|
Republic Services, Inc.
|
Citibank N.A.
|
|
(1,178,196
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
19,129
|
|
Restaurant Brands International, Inc.
|
Citibank N.A.
|
|
(831,467
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
2,295
|
|
Ricoh Co. Ltd.
|
Barclays Bank PLC
|
|
(745,137
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(44,774
)
|
|
Ricoh Co. Ltd.
|
Merrill Lynch International
|
|
(37,215
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(2,422
)
|
|
Rumo SA
|
Merrill Lynch International
|
|
(1,043,719
)
|
02/15/28
|
(0.59
)%
|
1D OBFR01
|
Monthly
|
49,829
|
|
Sandoz Group AG
|
Barclays Bank PLC
|
|
(2,444,295
)
|
04/01/26
|
(0.26
)%
|
SSARON
|
Monthly
|
(21,857
)
|
|
Sandvik AB
|
Barclays Bank PLC
|
|
(1,383,113
)
|
04/01/26
|
(0.26
)%
|
1D STIBOR
|
Monthly
|
(56,628
)
|
|
Sasol Ltd.
|
Merrill Lynch International
|
|
(506,594
)
|
02/15/28
|
(0.35
)%
|
1M JIBAR
|
Monthly
|
24,355
|
|
Schindler Holding AG, Participation Certificates
|
Merrill Lynch International
|
|
(1,801,550
)
|
02/15/28
|
(0.26
)%
|
SSARON
|
Monthly
|
14,173
|
|
SCSK Corp.
|
Barclays Bank PLC
|
|
(608,668
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(17,988
)
|
|
SCSK Corp.
|
Merrill Lynch International
|
|
(405,987
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
2,276
|
|
Seagate Technology Holdings PLC
|
Citibank N.A.
|
|
(652,092
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(55,125
)
|
|
Securitas AB, B Shares
|
Barclays Bank PLC
|
|
(1,393,973
)
|
04/01/26
|
(0.26
)%
|
1D STIBOR
|
Monthly
|
(7,437
)
|
|
Reference Entity
|
Counterparty
|
Notional Amount
|
Termination Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
|
Short Contracts(b) (continued)
|
||||||||
|
Seino Holdings Co. Ltd.
|
Merrill Lynch International
|
USD
|
(1,071,675
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
$ (2,240
)
|
|
ServisFirst Bancshares, Inc.
|
JPMorgan Chase Bank N.A.
|
|
(491,157
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(14,751
)
|
|
SG Holdings Co. Ltd.
|
Barclays Bank PLC
|
|
(1,139,735
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
23,708
|
|
SGH Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(2,595,461
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
6,314
|
|
Siemens AG, Registered Shares
|
Barclays Bank PLC
|
|
(1,401,949
)
|
04/01/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(62,143
)
|
|
Sino Land Co. Ltd.
|
Merrill Lynch International
|
|
(797,857
)
|
02/15/28
|
(0.15
)%
|
HONIA
|
Monthly
|
(5,255
)
|
|
SLC Agricola SA
|
Merrill Lynch International
|
|
(1,333,703
)
|
02/15/28
|
(0.40
)%
|
1D OBFR01
|
Monthly
|
76,999
|
|
Smurfit WestRock PLC
|
Citibank N.A.
|
|
(1,539,846
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(26,499
)
|
|
Societe Generale SA
|
JPMorgan Chase Bank N.A.
|
|
(629,400
)
|
02/11/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
5,874
|
|
Sofina SA
|
Merrill Lynch International
|
|
(1,694,882
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(157,312
)
|
|
SoftBank Corp.
|
Barclays Bank PLC
|
|
(273,476
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(6,729
)
|
|
SoftBank Corp.
|
Merrill Lynch International
|
|
(1,278,909
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(13,072
)
|
|
Solventum Corp.
|
Barclays Bank PLC
|
|
(732,500
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(25,900
)
|
|
Standard Chartered PLC
|
Citibank N.A.
|
|
(1,397,838
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
(51,815
)
|
|
Starbucks Corp.
|
Citibank N.A.
|
|
(1,606,716
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
12,354
|
|
Steadfast Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(838,141
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(4,686
)
|
|
Sumitomo Heavy Industries Ltd.
|
Barclays Bank PLC
|
|
(1,908,824
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(69,490
)
|
|
Sumitomo Heavy Industries Ltd.
|
Citibank N.A.
|
|
(33,996
)
|
02/26/26
|
(0.25
)%
|
1D P TONA
|
Monthly
|
(855
)
|
|
Sumitomo Metal Mining Co. Ltd.
|
Barclays Bank PLC
|
|
(761,015
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(49,805
)
|
|
Sumitomo Metal Mining Co. Ltd.
|
Merrill Lynch International
|
|
(276,963
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(13,848
)
|
|
Super Micro Computer, Inc.
|
Merrill Lynch International
|
|
(777,682
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(94,696
)
|
|
Svenska Handelsbanken AB, A Shares
|
Barclays Bank PLC
|
|
(1,223,989
)
|
04/01/26
|
(0.26
)%
|
1D STIBOR
|
Monthly
|
(38,432
)
|
|
Synopsys, Inc.
|
Barclays Bank PLC
|
|
(1,130,352
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(100,080
)
|
|
Taiwan Mobile Co. Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(7,235
)
|
02/10/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
121
|
|
Target Corp.
|
Citibank N.A.
|
|
(1,216,278
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(26,712
)
|
|
Teledyne Technologies, Inc.
|
Merrill Lynch International
|
|
(1,612,883
)
|
02/15/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(77,740
)
|
|
Telstra Group Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(1,688,583
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
1,801
|
|
TELUS Corp.
|
Citibank N.A.
|
|
(1,177,532
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
19,590
|
|
Temenos AG, Registered Shares
|
Barclays Bank PLC
|
|
(827,481
)
|
04/01/26
|
(0.26
)%
|
SSARON
|
Monthly
|
30,111
|
|
Toray Industries, Inc.
|
Barclays Bank PLC
|
|
(1,106,513
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(26,376
)
|
|
Toray Industries, Inc.
|
Merrill Lynch International
|
|
(279,018
)
|
03/15/28
|
(0.15
)%
|
1D P TONA
|
Monthly
|
(1,637
)
|
|
Toronto-Dominion Bank (The)
|
Citibank N.A.
|
|
(1,055,421
)
|
02/24/28
|
(0.20
)%
|
1D CORRA
|
Monthly
|
(25,800
)
|
|
Toyota Industries Corp.
|
Barclays Bank PLC
|
|
(842,749
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
7,564
|
|
Truist Financial Corp.
|
JPMorgan Chase Bank N.A.
|
|
(1,589,685
)
|
02/09/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(99,822
)
|
|
Tryg A/S
|
Merrill Lynch International
|
|
(1,676,089
)
|
02/15/28
|
(0.26
)%
|
1W CIBOR
|
Monthly
|
13,857
|
|
Tyler Technologies, Inc.
|
Barclays Bank PLC
|
|
(1,160,140
)
|
03/24/26
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(25,540
)
|
|
UBE Corp.
|
Barclays Bank PLC
|
|
(556,099
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(16,799
)
|
|
Valmet Oyj
|
Merrill Lynch International
|
|
(726,581
)
|
02/15/28
|
(0.26
)%
|
1D ESTR
|
Monthly
|
35,459
|
|
Vanguard Intermediate-Term Corporate Bond
ETF
|
JPMorgan Chase Bank N.A.
|
|
(8,330,197
)
|
02/09/26
|
(0.33
)%
|
1D OBFR01
|
Monthly
|
(175,405
)
|
|
Vicinity Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(830,796
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
(129
)
|
|
Wacker Chemie AG
|
JPMorgan Chase Bank N.A.
|
|
(699,473
)
|
02/11/26
|
(0.75
)%
|
1D ESTR
|
Monthly
|
17,504
|
|
Wartsila Oyj Abp
|
Citibank N.A.
|
|
(1,409,586
)
|
02/26/26
|
(0.26
)%
|
1D ESTR
|
Monthly
|
(34,473
)
|
|
Wesfarmers Ltd.
|
JPMorgan Chase Bank N.A.
|
|
(2,627,773
)
|
02/10/26
|
(0.25
)%
|
1D AONIA
|
Monthly
|
15,989
|
|
Wharf Holdings Ltd. (The)
|
Merrill Lynch International
|
|
(1,600,744
)
|
02/15/28
|
(0.30
)%
|
HONIA
|
Monthly
|
(25,075
)
|
|
Wharf Real Estate Investment Co. Ltd.
|
Merrill Lynch International
|
|
(1,268,696
)
|
02/15/28
|
(0.30
)%
|
HONIA
|
Monthly
|
(71,119
)
|
|
Wise PLC, Class A
|
Citibank N.A.
|
|
(890,332
)
|
02/26/26
|
(0.25
)%
|
1D SONIA
|
Monthly
|
7,494
|
|
Xylem, Inc./NY
|
Citibank N.A.
|
|
(1,643,919
)
|
02/24/28
|
(0.15
)%
|
1D OBFR01
|
Monthly
|
(50,697
)
|
|
Yakult Honsha Co. Ltd.
|
Barclays Bank PLC
|
|
(1,507,116
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
53,207
|
|
Zensho Holdings Co. Ltd.
|
Barclays Bank PLC
|
|
(717,076
)
|
03/01/27
|
(0.20
)%
|
1D P TONA
|
Monthly
|
(39,503
)
|
|
Total short positions of equity swaps
|
|
|
|
(4,862,354
)
|
||||
|
Total long and short positions of equity swaps
|
|
|
|
(2,050,398
)
|
||||
|
Net dividends and financing fees
|
|
|
|
(301,869
)
|
||||
|
Total equity swap contracts including dividends and financing fees
|
|
|
|
$ (2,352,267
)
|
||||
|
(a)
|
The Fund receives the total return on a reference entity and pays a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon
the country and/or currency of the individual underlying position.
|
|
(b)
|
The Fund pays the total return on a reference entity and receives a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon
the country and/or currency of the individual underlying position.
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Long-Term Investments
|
|
|
|
|
|
Asset-Backed Securities
|
$ —
|
$ 2,097,994,065
|
$ 55,665,775
|
$ 2,153,659,840
|
|
Common Stocks
|
|
|
|
|
|
Aerospace & Defense
|
—
|
—
|
9,829,050
|
9,829,050
|
|
Banks
|
24,675,363
|
—
|
—
|
24,675,363
|
|
Broadline Retail
|
—
|
1,687,769
|
—
|
1,687,769
|
|
Capital Markets
|
—
|
974,094
|
196,389
|
1,170,483
|
|
Communications Equipment
|
1,497,761
|
—
|
—
|
1,497,761
|
|
Diversified Telecommunication Services
|
2,844,525
|
—
|
—
|
2,844,525
|
|
Electrical Equipment
|
3,266,443
|
—
|
—
|
3,266,443
|
|
Energy Equipment & Services
|
11,038,572
|
—
|
—
|
11,038,572
|
|
Entertainment
|
4,943,719
|
599,092
|
—
|
5,542,811
|
|
Financial Services
|
—
|
—
|
15,407,056
|
15,407,056
|
|
Hotels, Restaurants & Leisure
|
9,712,032
|
122,755
|
—
|
9,834,787
|
|
Independent Power and Renewable Electricity Producers
|
2,705,588
|
—
|
—
|
2,705,588
|
|
Machinery
|
—
|
4,117,713
|
—
|
4,117,713
|
|
Media
|
322,704
|
—
|
—
|
322,704
|
|
Metals & Mining
|
2,210,388
|
—
|
—
|
2,210,388
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
10,261,193
|
—
|
—
|
10,261,193
|
|
Oil, Gas & Consumable Fuels
|
3,436,028
|
—
|
8,099,456
|
11,535,484
|
|
Professional Services
|
3,825,623
|
—
|
—
|
3,825,623
|
|
Real Estate Management & Development
|
306,984
|
—
|
4,251,053
|
4,558,037
|
|
Residential REITs
|
4,531,254
|
—
|
—
|
4,531,254
|
|
Software
|
1,380,770
|
60,073
|
—
|
1,440,843
|
|
Corporate Bonds
|
—
|
4,844,906,813
|
169,795,190
|
5,014,702,003
|
|
Fixed Rate Loan Interests
|
—
|
2,036,109
|
29,244,838
|
31,280,947
|
|
Floating Rate Loan Interests
|
—
|
60,625,341
|
208,489,132
|
269,114,473
|
|
Foreign Agency Obligations
|
—
|
15,013,072
|
—
|
15,013,072
|
|
Foreign Government Obligations
|
—
|
839,195,322
|
—
|
839,195,322
|
|
Investment Companies
|
75,725,528
|
—
|
—
|
75,725,528
|
|
Municipal Bonds
|
—
|
114,992,537
|
—
|
114,992,537
|
|
Non-Agency Mortgage-Backed Securities
|
—
|
2,364,380,007
|
10,001,722
|
2,374,381,729
|
|
Preferred Securities
|
|
|
|
|
|
Capital Trusts
|
—
|
43,253,940
|
—
|
43,253,940
|
|
Preferred Stocks
|
2,621,400
|
—
|
71,433,600
|
74,055,000
|
|
U.S. Government Sponsored Agency Securities
|
—
|
8,900,114,358
|
—
|
8,900,114,358
|
|
U.S. Treasury Obligations
|
—
|
3,287,667,513
|
—
|
3,287,667,513
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Warrants
|
|
|
|
|
|
Banks
|
$ —
|
$ —
|
$ 1,810,358
|
$ 1,810,358
|
|
Beverages
|
—
|
—
|
203,871
|
203,871
|
|
Capital Markets
|
321
|
—
|
54,584
|
54,905
|
|
Hotels, Restaurants & Leisure
|
—
|
—
|
566,162
|
566,162
|
|
Machinery
|
102,175
|
27,885
|
—
|
130,060
|
|
Oil, Gas & Consumable Fuels
|
—
|
—
|
332,915
|
332,915
|
|
Passenger Airlines
|
—
|
1,877
|
—
|
1,877
|
|
Real Estate Management & Development
|
525
|
—
|
—
|
525
|
|
Software
|
13,939
|
—
|
2,050,653
|
2,064,592
|
|
Specialty Retail
|
16,674
|
—
|
524,451
|
541,125
|
|
Trading Companies & Distributors
|
2,864
|
—
|
—
|
2,864
|
|
Short-Term Securities
|
|
|
|
|
|
Money Market Funds
|
402,705,182
|
—
|
—
|
402,705,182
|
|
Options Purchased
|
|
|
|
|
|
Equity Contracts
|
67,212
|
—
|
—
|
67,212
|
|
Foreign Currency Exchange Contracts
|
—
|
6,620,316
|
—
|
6,620,316
|
|
Interest Rate Contracts
|
—
|
13,736,985
|
—
|
13,736,985
|
|
Unfunded Floating Rate Loan Interests (a)
|
—
|
—
|
256,808
|
256,808
|
|
Liabilities
|
|
|
|
|
|
TBA Sale Commitments
|
—
|
(1,473,195,774
)
|
—
|
(1,473,195,774
)
|
|
Unfunded Floating Rate Loan Interests (a)
|
—
|
—
|
(44,624
)
|
(44,624
)
|
|
|
$ 568,214,767
|
$ 21,124,931,862
|
$ 588,168,439
|
$ 22,281,315,068
|
|
Derivative Financial Instruments(b)
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Credit Contracts
|
$ —
|
$ 24,055,052
|
$ —
|
$ 24,055,052
|
|
Equity Contracts
|
—
|
8,695,059
|
—
|
8,695,059
|
|
Foreign Currency Exchange Contracts
|
—
|
4,206,383
|
—
|
4,206,383
|
|
Interest Rate Contracts
|
53,677,318
|
15,291,599
|
—
|
68,968,917
|
|
Other Contracts
|
—
|
299,216
|
—
|
299,216
|
|
Liabilities
|
|
|
|
|
|
Credit Contracts
|
—
|
(3,180,346
)
|
—
|
(3,180,346
)
|
|
Equity Contracts
|
(2,912,020
)
|
(10,976,481
)
|
—
|
(13,888,501
)
|
|
Foreign Currency Exchange Contracts
|
—
|
(16,152,509
)
|
—
|
(16,152,509
)
|
|
Interest Rate Contracts
|
(39,572,160
)
|
(885,769
)
|
—
|
(40,457,929
)
|
|
Other Contracts
|
—
|
(3,474,902
)
|
—
|
(3,474,902
)
|
|
|
$ 11,193,138
|
$ 17,877,302
|
$ —
|
$ 29,070,440
|
|
(a)
|
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation)
on the commitment.
|
|
(b)
|
Derivative financial instruments are swaps, futures contracts, forward foreign currency
exchange contracts and options written. Swaps, futures contracts and forward foreign
currency
exchange contracts are valued at the unrealized appreciation (depreciation) on the
instrument and options written are shown at value.
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Fixed Rate
Loan Interests
|
Floating Rate
Loan Interests
|
|
Assets
|
|
|
|
|
|
|
Opening Balance, as of September 30, 2024
|
$21,539,348
|
$25,467,216
|
$157,472,285
|
$37,276,835
|
$143,248,121
|
|
Transfers into Level 3
|
—
|
—
|
8,964,901
|
—
|
14,987,017
|
|
Transfers out of Level 3
|
(1,500,000
)
|
—
|
—
|
(4,986,558
)
|
(1,751,479
)
|
|
Accrued discounts/premiums
|
(11,347
)
|
—
|
2,153,870
|
11,685
|
173,850
|
|
Net realized gain (loss)
|
(63,623
)
|
(29
)
|
408,515
|
12,308
|
(5,438,263
)
|
|
Net change in unrealized appreciation (depreciation)(a)
|
395,479
|
842,890
|
2,306,553
|
(187,298
)
|
1,864,808
|
|
Purchases
|
37,413,526
|
11,472,927
|
43,358,382
|
—
|
87,880,437
|
|
Sales
|
(2,107,608
)
|
—
|
(44,869,316
)
|
(2,882,134
)
|
(32,475,359
)
|
|
Closing Balance, as of June 30, 2025
|
$55,665,775
|
$37,783,004
|
$169,795,190
|
$29,244,838
|
$208,489,132
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
June 30, 2025(a)
|
$395,479
|
$842,890
|
$(2,425,151
)
|
$(187,298
)
|
$(11,835,412
)
|
|
|
Non-Agency
Mortgage-Backed
Securities
|
Preferred
Securities
|
Warrants
|
Unfunded
Floating Rate
Loan Interests
|
Total
|
|
Assets
|
|
|
|
|
|
|
Opening Balance, as of September 30, 2024
|
$53,444,000
|
$56,306,650
|
$4,040,333
|
$60,330
|
$498,855,118
|
|
Transfers into Level 3
|
—
|
—
|
1,810,358
|
—
|
25,762,276
|
|
Transfers out of Level 3
|
(43,529,736
)
|
—
|
(1
)
|
—
|
(51,767,774
)
|
|
Accrued discounts/premiums
|
—
|
—
|
—
|
—
|
2,328,058
|
|
Net realized gain (loss)
|
—
|
—
|
—
|
—
|
(5,081,092
)
|
|
Net change in unrealized appreciation (depreciation)(a)
|
147,362
|
7,233,822
|
(307,696
)
|
196,478
|
12,492,398
|
|
Purchases
|
—
|
7,893,128
|
—
|
—
|
188,018,400
|
|
Sales
|
(59,904
)
|
—
|
—
|
—
|
(82,394,321
)
|
|
Closing Balance, as of June 30, 2025
|
$10,001,722
|
$71,433,600
|
$5,542,994
|
$256,808
|
$588,213,063
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
June 30, 2025(a)
|
$147,362
|
$7,233,822
|
$(183,656
)
|
$196,478
|
$(5,815,486
)
|
|
|
Unfunded
Floating Rate
Loan Interests
|
|
Liabilities
|
|
|
Opening Balance, as of September 30, 2024
|
$(744
)
|
|
Transfers into Level 3
|
—
|
|
Transfers out of Level 3
|
—
|
|
Accrued discounts/premiums
|
—
|
|
Net realized gain (loss)
|
—
|
|
Net change in unrealized appreciation (depreciation)(a)
|
(43,880
)
|
|
Purchases
|
—
|
|
Sales
|
—
|
|
Closing Balance, as of June 30, 2025
|
$(44,624
)
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
June 30, 2025(a)
|
$(43,880
)
|
|
|
Value
|
Valuation Approach
|
Unobservable
Inputs
|
Range of
Unobservable Inputs
Utilized(a)
|
Weighted Average of
Unobservable Inputs
Based on Fair Value
|
|
Assets
|
|
|
|
|
|
|
Asset Backed Securities
|
$37,957,435
|
Income
|
Discount Rate
|
7%-10%
|
8%
|
|
Non-Agency Mortgage-Backed Securities
|
10,001,722
|
Income
|
Discount Rate
|
8%
|
—
|
|
Common Stocks
|
37,521,764
|
Market
Income
|
Volatility
Time to Exit
EBITDA Multiple
Discount for lack of marketability
Discount Rate
|
75%
5.7 years
9.63x - 24.87x
10%
10% - 15%
|
—
—
18.78x
—
12%
|
|
Corporate Bonds
|
164,388,041
|
Income
|
Discount Rate
|
5% - 16%
|
11%
|
|
Floating Rate Loan Interests
|
218,761,152
|
Income
Market
|
Discount Rate
EBITDA Multiple
|
3
% - 17%
12.25x
|
9
%
—
|
|
Fixed Rate Loan Interests
|
29,244,838
|
Income
|
Discount Rate
|
7%
|
—
|
|
Preferred Stock
|
70,925,438
|
Income
Market
|
Discount Rate
Revenue Multiple
EBITDA Multiple
Direct Profit Multiple
Volatility
Time to Exit
|
10% - 15%
4.87x-27.78x
8.50x
4.50x
49% -90%
2.0 - 3.0 years
|
13%
15.29x
—
—
62%
2.2 years
|
|
Warrants
|
3,732,631
|
Market
Income
|
Revenue Multiple
Volatility
Time to Exit
Discount for lack of marketability
Discount Rate
|
1.53x-8.50x
33% - 75%
4.8 - 5.7 years
10%
15%
|
7.48x
45%
4.9 years
—
—
|
|
|
$572,533,021
|
|
|
|
|
|
Currency Abbreviation
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CNH
|
Chinese Yuan Offshore
|
|
COP
|
Colombian Peso
|
|
CZK
|
Czech Koruna
|
|
EGP
|
Egyptian Pound
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
HKD
|
Hong Kong Dollar
|
|
HUF
|
Hungarian Forint
|
|
JPY
|
Japanese Yen
|
|
MXN
|
Mexican Peso
|
|
NGN
|
Nigerian Naira
|
|
NOK
|
Norwegian Krone
|
|
PEN
|
Peruvian Sol
|
|
PLN
|
Polish Zloty
|
|
SGD
|
Singapore Dollar
|
|
TRY
|
Turkish Lira
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
Portfolio Abbreviation
|
|
|
1D AONIA
|
AUD - 1D Overnight Reserve Bank of Australia Rate
|
|
1D CORRA
|
CAD - 1D Overnight Bank of Canada Repo Rate
|
|
1D ESTR
|
EUR - 1D Euro Short-Term Rate
|
|
1D OBFR01
|
USD - 1D Overnight Bank Funding Rate
|
|
1D P TONA
|
JPY - Provisional 1D Overnight Tokyo Average Rate
|
|
1D RAONON
|
ZAR - 1D Rand Overnight Interest Rate Fixing
|
|
1D SONIA
|
GBP - 1D Sterling Overnight Index Average
|
|
1D STIBOR
|
SEK - 1D Overnight Stockholm Interbank Offer Rate
|
|
1M JIBAR
|
ZAR - 1M Johannesburg Interbank Agreed Rate
|
|
1W CIBOR
|
DKK - 1W Copenhagen Interbank Swap Rate
|
|
ABS
|
Asset-Backed Security
|
|
ADR
|
American Depositary Receipt
|
|
AKA
|
Also Known As
|
|
BBSW
|
Bank Bill Swap Rate
|
|
CABROVER
|
Bank of Canada Overnight Rate Target
|
|
CDI
|
CREST Depository Interest
|
|
CLO
|
Collateralized Loan Obligation
|
|
CME
|
Chicago Mercantile Exchange
|
|
COBRO
|
CAD - Overnight Interbank Rate Overnight
|
|
CORRA
|
Canadian OvernightRepo Rate Average
|
|
CVR
|
Contingent Value Rights
|
|
DAC
|
Designated Activity Co.
|
|
DESTR
|
DKK - Denmark Short-Term Rate
|
|
ETF
|
Exchange-Traded Fund
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FKA
|
Formally Known As
|
|
GO
|
General Obligation Bonds
|
|
HONIA
|
HKD - Overnight Index Average
|
|
IO
|
Interest Only
|
|
JIBAR
|
Johannesburg Interbank Average Rate
|
|
LP
|
Limited Partnership
|
|
NOWA
|
NOK - Norwegian Overnight Weighted Average
|
|
NVS
|
Non-Voting Shares
|
|
OTC
|
Over-the-Counter
|
|
PIK
|
Payment-in-Kind
|
|
RB
|
Revenue Bonds
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SPDR
|
Standard & Poor’s Depository Receipt
|
|
SSARON
|
CHF - Swiss Average Rate O/N
|
|
TBA
|
To-be-Announced
|
|
TIIEFONDEO
|
MXN - Overnight TIIE Funding Rate
|
|
TN STIBOR
|
SEK - TN Stockholm Interbank Offer Rate
|
|
TONA
|
Tokyo Overnight Average Rate
|