| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Long-Term Investments 98.9% | |||||
| Asset-Backed Securities 22.0% | |||||
| Automobiles 0.6% | |||||
| Ally Bank Auto Credit-Linked Notes, | |||||
| Series 2024-A, Class C, 144A | 6.022 % | 05/17/32 | 1,813 | $1,845,920 | |
| Series 2024-A, Class D, 144A | 6.315 | 05/17/32 | 907 | 922,032 | |
| Series 2024-B, Class D, 144A | 5.410 | 09/15/32 | 2,614 | 2,637,507 | |
| Avis Budget Rental Car Funding AESOP LLC, | |||||
| Series 2020-02A, Class A, 144A | 2.020 | 02/20/27 | 4,283 | 4,278,276 | |
| Series 2023-04A, Class A, 144A | 5.490 | 06/20/29 | 13,963 | 14,333,278 | |
| Series 2023-08A, Class A, 144A | 6.020 | 02/20/30 | 43,300 | 45,365,743 | |
| Series 2024-01A, Class A, 144A | 5.360 | 06/20/30 | 98,743 | 101,942,046 | |
| Bayview Opportunity Master Fund VII LLC, Series 2024-CAR01, Class C, 144A, 30 Day Average SOFR + 1.500% (Cap N/A, Floor 0.000%) | 5.197(c) | 12/26/31 | 1,297 | 1,301,568 | |
| Bayview Opportunity Master Fund VII Trust, Series 2024-CAR1F, Class A, 144A | 6.971 | 07/29/32 | 2,668 | 2,673,749 | |
| JPMorgan Chase Bank NA, | |||||
| Series 2021-01, Class R, 144A | 28.348 | 09/25/28 | 966 | 938,649 | |
| Series 2021-02, Class G, 144A | 8.482 | 12/26/28 | 39 | 39,224 | |
| OneMain Direct Auto Receivables Trust, | |||||
| Series 2019-01A, Class B, 144A | 3.950 | 11/14/28 | 20,418 | 20,399,271 | |
| Series 2022-01A, Class D, 144A | 5.900 | 12/16/30 | 8,465 | 8,495,188 | |
| Series 2025-01A, Class A, 144A | 5.360 | 04/16/35 | 67,700 | 69,907,311 | |
| Santander Drive Auto Receivables Trust, | |||||
| Series 2023-06, Class C | 6.400 | 03/17/31 | 7,800 | 8,059,078 | |
| Series 2024-02, Class D | 6.280 | 08/15/31 | 18,820 | 19,439,726 | |
| Series 2025-03, Class D | 5.110 | 09/15/31 | 9,200 | 9,296,919 | |
| Westlake Automobile Receivables Trust, Series 2025-02A, Class C, 144A | 4.850 | 01/15/31 | 15,200 | 15,377,382 | |
| 327,252,867 | |||||
| Collateralized Loan Obligations 18.0% | |||||
| 720 East CLO Ltd. (Cayman Islands), Series 2023-IA, Class A1R, 144A, 3 Month SOFR + 1.370% (Cap N/A, Floor 1.370%) | 5.042(c) | 04/15/38 | 32,250 | 32,417,281 | |
| AGL CLO Ltd. (Cayman Islands), | |||||
| Series 2020-09A, Class AR, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 5.198(c) | 04/20/37 | 67,750 | 67,906,740 | |
| Series 2021-10A, Class B, 144A, 3 Month SOFR + 1.762% (Cap N/A, Floor 1.500%) | 5.434(c) | 04/15/34 | 6,500 | 6,517,551 | |
| Series 2021-15A, Class A1R, 144A, 3 Month SOFR + 1.200% (Cap N/A, Floor 1.200%) | 4.871(c) | 01/20/39 | 57,700 | 57,715,810 | |
| Series 2022-19A, Class A1R, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.970(c) | 07/21/38 | 85,494 | 85,922,325 | |
| Series 2022-20A, Class A1R, 144A, 3 Month SOFR + 1.370% (Cap N/A, Floor 1.370%) | 5.038(c) | 10/20/37 | 47,750 | 47,981,650 | |
| Series 2024-37A, Class A1, 144A, 3 Month SOFR + 1.240% (Cap N/A, Floor 1.240%) | 4.909(c) | 04/22/38 | 21,750 | 21,831,430 | |
| AlbaCore Euro CLO DAC (Ireland), Series 02A, Class A2, 144A, 3 Month EURIBOR + 1.000% (Cap 3.200%, Floor 1.000%) | 3.100(c) | 06/15/34 | EUR | 9,461 | 11,194,349 |
| Anchorage Capital CLO Ltd. (Cayman Islands), | |||||
| Series 2021-18A, Class B1, 144A, 3 Month SOFR + 1.762% (Cap N/A, Floor 0.000%) | 5.434(c) | 04/15/34 | 6,000 | 6,015,601 | |
| Series 2022-24A, Class A1R, 144A, 3 Month SOFR + 1.430% (Cap N/A, Floor 1.430%) | 5.102(c) | 07/15/37 | 124,500 | 124,919,926 | |
| Series 2022-25A, Class A1, 144A, 3 Month SOFR + 1.390% (Cap N/A, Floor 1.390%) | 5.060(c) | 04/20/35 | 21,000 | 21,028,526 | |
| Anchorage Capital Europe CLO DAC (Ireland), | |||||
| Series 06A, Class ARR, 144A, 3 Month EURIBOR + 1.350% (Cap N/A, Floor 1.350%) | 3.377(c) | 10/22/38 | EUR | 64,200 | 76,224,730 |
| Series 08A, Class B1R, 144A, 3 Month EURIBOR + 2.100% (Cap N/A, Floor 2.100%) | 4.130(c) | 10/25/38 | EUR | 18,400 | 21,870,877 |
| Apidos CLO Ltd. (United Kingdom), Series 2023-44A, Class A1R, 144A, 3 Month SOFR + 1.360% (Cap N/A, Floor 1.360%) | 5.028(c) | 10/26/37 | 35,350 | 35,518,934 | |
| Armada Euro CLO DAC (Ireland), Series 07A, Class A, 144A, 3 Month EURIBOR + 1.190% (Cap N/A, Floor 1.190%) | 3.206(c) | 04/15/39 | EUR | 135,850 | 161,144,209 |
| Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2016-07A, Class A1R2, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%) | 5.184(c) | 11/27/31 | 8,857 | 8,857,334 | |
| Aurium CLO DAC (Ireland), | |||||
| Series 02A, Class A2RR, 144A, 3 Month EURIBOR + 1.180% (Cap 3.280%, Floor 1.180%) | 3.215(c) | 06/22/34 | EUR | 14,000 | 16,637,783 |
| Series 08A, Class AR, 144A, 3 Month EURIBOR + 1.320% (Cap N/A, Floor 1.320%) | 3.333(c) | 10/16/38 | EUR | 80,474 | 95,790,531 |
| Avoca CLO DAC (Ireland), | |||||
| Series 11A, Class ARRR, 144A, 3 Month EURIBOR + 1.290% (Cap N/A, Floor 1.290%) | 3.306(c) | 10/15/38 | EUR | 91,000 | 107,969,075 |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Avoca CLO DAC (Ireland), (cont’d.) | |||||
| Series 18A, Class BR, 144A, 3 Month EURIBOR + 1.950% (Cap N/A, Floor 1.950%) | 3.966 %(c) | 01/15/38 | EUR | 31,700 | $37,686,931 |
| Series 29A, Class AR, 144A, 3 Month EURIBOR + 1.280% (Cap N/A, Floor 1.280%) | 3.296(c) | 10/15/38 | EUR | 32,000 | 38,024,681 |
| Bain Capital Credit CLO (Cayman Islands), Series 2019-01A, Class AR2, 144A, 3 Month SOFR + 1.230% (Cap N/A, Floor 1.230%) | 4.898(c) | 04/19/34 | 27,000 | 27,000,000 | |
| Bain Capital Credit CLO Ltd. (United Kingdom), Series 2022-05A, Class ARR, 144A, 3 Month SOFR + 1.140% (Cap N/A, Floor 1.140%) | 4.808(c) | 01/24/37 | 89,850 | 89,903,910 | |
| Bain Capital Credit CLO Ltd. (United Kingdom), Series 2022-04A, Class A1R, 144A, 3 Month SOFR + 1.380% (Cap N/A, Floor 1.380%) | 5.051(c) | 10/16/37 | 27,000 | 27,099,298 | |
| Bain Capital Euro CLO DAC (Ireland), Series 2021-01A, Class A, 144A, 3 Month EURIBOR + 0.880% (Cap N/A, Floor 0.880%) | 2.896(c) | 07/15/34 | EUR | 47,750 | 56,553,105 |
| Barings CLO Ltd., Series 2025-03A, Class A1, 144A, 3 Month SOFR + 1.320% (Cap N/A, Floor 1.320%) | 4.988(c) | 03/31/38 | 30,000 | 30,161,730 | |
| Barrow Hanley CLO Ltd. (Cayman Islands), Series 2024-03A, Class A1, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%) | 5.288(c) | 04/20/37 | 43,250 | 43,363,592 | |
| Battalion CLO Ltd. (Cayman Islands), | |||||
| Series 2017-11A, Class AR2, 144A, 3 Month SOFR + 1.130% (Cap N/A, Floor 1.130%) | 4.798(c) | 04/24/34 | 35,303 | 35,324,170 | |
| Series 2021-17A, Class A1R, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.968(c) | 03/09/34 | 49,500 | 49,549,277 | |
| Series 2022-23A, Class A1R, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 5.092(c) | 10/15/37 | 27,500 | 27,610,000 | |
| Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2020-21A, Class A1R2, 144A, 3 Month SOFR + 1.240% (Cap N/A, Floor 1.240%) | 4.912(c) | 01/15/39 | 86,650 | 87,020,602 | |
| BlueMountain CLO Ltd. (Cayman Islands), Series 2020-30A, Class AR2, 144A, 3 Month SOFR + 1.150% (Cap N/A, Floor 1.150%) | 4.822(c) | 04/15/35 | 71,825 | 71,890,289 | |
| BNPP AM Euro CLO DAC (Ireland), Series 2018-01A, Class AR, 144A, 3 Month EURIBOR + 0.600% (Cap N/A, Floor 0.600%) | 2.616(c) | 04/15/31 | EUR | 40,474 | 47,823,619 |
| Broad River BSL Funding CLO Ltd. (Cayman Islands), Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 5.099(c) | 07/20/34 | 19,410 | 19,438,181 | |
| Bryant Park Funding Ltd. (Cayman Islands), Series 2023-21A, Class AR, 144A, 3 Month SOFR + 1.270% (Cap N/A, Floor 1.270%) | 4.938(c) | 10/18/38 | 40,500 | 40,669,290 | |
| Capital Four CLO DAC (Ireland), Series 06A, Class AR, 144A, 3 Month EURIBOR + 1.270% (Cap N/A, Floor 1.270%) | 3.374(c) | 01/25/38 | EUR | 127,100 | 150,733,013 |
| Carlyle Global Market Strategies Euro CLO DAC (Ireland), Series 2014-03A, Class AA1R, 144A, 3 Month EURIBOR + 0.730% (Cap N/A, Floor 0.730%) | 2.760(c) | 01/25/32 | EUR | 4,263 | 5,050,888 |
| Carlyle US CLO Ltd. (Cayman Islands), | |||||
| Series 2017-03A, Class A1R2, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.070(c) | 10/21/37 | 16,250 | 16,313,676 | |
| Series 2021-05A, Class A1R, 144A, 3 Month SOFR + 1.320% (Cap N/A, Floor 1.320%) | 4.988(c) | 03/31/38 | 98,380 | 98,909,776 | |
| CarVal CLO Ltd. (United Kingdom), Series 2022-02A, Class A1R, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 5.089(c) | 10/22/37 | 20,000 | 20,080,436 | |
| CBAM Ltd. (Cayman Islands), Series 2018-05A, Class BR, 144A, 3 Month SOFR + 1.700% (Cap N/A, Floor 1.700%) | 5.812(c) | 10/17/38 | 29,090 | 29,168,569 | |
| CIFC Funding Ltd. (Cayman Islands), | |||||
| Series 2018-02A, Class A1R, 144A, 3 Month SOFR + 1.370% (Cap N/A, Floor 1.370%) | 5.038(c) | 10/20/37 | 56,010 | 56,282,029 | |
| Series 2021-07A, Class AR, 144A, 3 Month SOFR + 1.090% (Cap N/A, Floor 1.090%) | 4.761(c) | 01/23/35 | 63,250 | 63,351,820 | |
| Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.240% (Cap N/A, Floor 1.240%) | 4.912(c) | 10/15/38 | 58,300 | 58,529,935 | |
| Series 2023-03A, Class A1R, 144A | 0.000(cc) | 01/20/39 | 44,650 | 44,663,440 | |
| Series 2025-03A, Class A1, 144A, 3 Month SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.020(c) | 07/21/38 | 70,150 | 70,552,661 | |
| Clover CLO LLC, Series 2018-01A, Class A1RR, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 5.198(c) | 04/20/37 | 35,390 | 35,467,741 | |
| Contego CLO DAC (Ireland), Series 05A, Class AR, 144A, 3 Month EURIBOR + 1.200% (Cap N/A, Floor 1.200%) | 3.216(c) | 10/15/37 | EUR | 102,050 | 121,583,740 |
| CQS US CLO Ltd. (United Kingdom), Series 2023-03A, Class A1, 144A, 3 Month SOFR + 1.890% (Cap N/A, Floor 1.890%) | 5.558(c) | 01/25/37 | 41,000 | 41,036,195 | |
| Elevation CLO Ltd. (Cayman Islands), | |||||
| Series 2021-12A, Class A1R, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%) | 5.288(c) | 04/20/37 | 32,300 | 32,379,871 | |
| Series 2023-17A, Class A1, 144A, 3 Month SOFR + 1.870% (Cap N/A, Floor 1.870%) | 5.538(c) | 10/20/36 | 25,750 | 25,779,304 | |
| Elmwood CLO Ltd. (Cayman Islands), | |||||
| Series 2019-02A, Class A1RR, 144A, 3 Month SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.018(c) | 10/20/37 | 48,010 | 48,235,167 | |
| Series 2019-02A, Class BRR, 144A, 3 Month SOFR + 1.700% (Cap N/A, Floor 1.700%) | 5.368(c) | 10/20/37 | 47,450 | 47,769,884 | |
| Series 2020-04A, Class A1RR, 144A, 3 Month SOFR + 1.360% (Cap N/A, Floor 1.360%) | 5.028(c) | 10/17/37 | 59,650 | 59,933,737 | |
| Series 2020-04A, Class BRR, 144A, 3 Month SOFR + 1.700% (Cap N/A, Floor 1.700%) | 5.368(c) | 10/17/37 | 23,500 | 23,658,907 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Elmwood CLO Ltd. (Cayman Islands), (cont’d.) | |||||
| Series 2022-03A, Class AR, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 5.198 %(c) | 04/20/37 | 36,500 | $36,586,994 | |
| Series 2024-05A, Class AR1, 144A, 3 Month SOFR + 1.520% (Cap N/A, Floor 1.520%) | 5.188(c) | 04/20/37 | 53,915 | 54,038,837 | |
| Series 2024-12RA, Class BR, 144A, 3 Month SOFR + 1.700% (Cap N/A, Floor 1.700%) | 5.368(c) | 10/20/37 | 43,000 | 43,289,459 | |
| Series 2025-03A, Class A, 144A, 3 Month SOFR + 1.240% (Cap N/A, Floor 1.240%) | 4.908(c) | 03/22/38 | 155,000 | 155,576,910 | |
| Series 2025-04A, Class A, 144A, 3 Month SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.018(c) | 07/17/38 | 100,000 | 100,568,700 | |
| Series 2025-05A, Class A, 144A, 3 Month SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.018(c) | 03/31/38 | 93,500 | 94,032,950 | |
| Gallatin CLO Ltd. (Bermuda), | |||||
| Series 2023-01A, Class AR, 144A, 3 Month SOFR + 1.280% (Cap N/A, Floor 1.280%) | 6.012(c) | 10/14/36 | 86,000 | 86,161,026 | |
| Series 2024-01A, Class A1, 144A, 3 Month SOFR + 1.480% (Cap N/A, Floor 1.480%) | 5.148(c) | 10/20/37 | 102,500 | 102,890,310 | |
| Generate CLO Ltd. (Cayman Islands), Series 2024-18A, Class B, 144A, 3 Month SOFR + 1.750% (Cap N/A, Floor 1.750%) | 5.418(c) | 01/20/38 | 37,500 | 37,662,630 | |
| Golub Capital Partners CLO, Series 2023-70A, Class A1R, 144A, 3 Month SOFR + 1.120% (Cap N/A, Floor 1.120%) | 4.788(c) | 10/25/37 | 50,000 | 50,089,300 | |
| Golub Capital Partners CLO Ltd. (Cayman Islands), | |||||
| Series 2017-19RA, Class A1R3, 144A, 3 Month SOFR + 1.150% (Cap N/A, Floor 1.150%) | 5.037(c) | 10/20/36 | 80,000 | 80,158,880 | |
| Series 2017-19RA, Class A2R3, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.287(c) | 10/20/36 | 3,000 | 2,999,960 | |
| Grosvenor Place CLO DAC (Ireland), Series 2022-01A, Class AR, 144A, 3 Month EURIBOR + 1.600% (Cap N/A, Floor 1.600%) | 3.654(c) | 05/24/38 | EUR | 103,000 | 122,126,102 |
| Harvest CLO DAC (Ireland), Series 32A, Class A, 144A, 3 Month EURIBOR + 1.450% (Cap N/A, Floor 1.450%) | 3.480(c) | 07/25/37 | EUR | 39,750 | 47,164,780 |
| Henley CLO DAC (Ireland), | |||||
| Series 03A, Class AR, 144A, 3 Month EURIBOR + 0.970% (Cap N/A, Floor 0.970%) | 3.000(c) | 12/25/35 | EUR | 17,250 | 20,473,812 |
| Series 05A, Class B2, 144A | 2.100 | 10/25/34 | EUR | 15,000 | 16,630,981 |
| Series 11A, Class A, 144A, 3 Month EURIBOR + 1.200% (Cap N/A, Floor 1.200%) | 3.230(c) | 04/25/39 | EUR | 77,200 | 91,399,191 |
| Series 14A, Class A, 144A, 3 Month EURIBOR + 1.330% (Cap N/A, Floor 1.330%) | 3.360(c) | 03/25/38 | EUR | 121,000 | 143,866,668 |
| HPS Loan Management Ltd., Series 2025-26A, Class A1, 144A, 3 Month SOFR + 1.320% (Cap N/A, Floor 1.320%) | 4.988(c) | 07/20/38 | 55,750 | 56,050,214 | |
| ICG Euro CLO DAC (Ireland), | |||||
| Series 2023-02A, Class A1, 144A, 3 Month EURIBOR + 1.730% (Cap N/A, Floor 1.730%) | 3.760(c) | 01/26/38 | EUR | 99,750 | 118,512,976 |
| Series 2023-02A, Class B1, 144A, 3 Month EURIBOR + 2.750% (Cap N/A, Floor 2.750%) | 4.780(c) | 01/26/38 | EUR | 20,000 | 23,791,838 |
| ICG US CLO Ltd. (Cayman Islands), Series 2024-R1A, Class A, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 5.088(c) | 01/25/38 | 45,950 | 46,133,887 | |
| Invesco Euro CLO DAC (Ireland), | |||||
| Series 04A, Class B2, 144A | 1.950 | 04/15/33 | EUR | 10,000 | 11,407,083 |
| Series 09A, Class AR, 144A, 3 Month EURIBOR + 1.380% (Cap N/A, Floor 1.380%) | 3.406(c) | 07/20/38 | EUR | 45,051 | 53,623,606 |
| Jamestown CLO Ltd. (Cayman Islands), Series 2019-14A, Class A1RR, 144A, 3 Month SOFR + 1.040% (Cap N/A, Floor 1.040%) | 4.708(c) | 10/20/34 | 54,500 | 54,557,388 | |
| Jubilee CLO DAC (Ireland), Series 2013-10A, Class A2RR, 144A, 3 Month EURIBOR + 1.000% (Cap 3.100%, Floor 1.000%) | 3.016(c) | 07/15/34 | EUR | 30,000 | 35,534,249 |
| Kennedy Lewis CLO Ltd. (Cayman Islands), | |||||
| Series 03A, Class A1R3, 144A, 3 Month SOFR + 1.190% (Cap N/A, Floor 1.190%) | 4.858(c) | 10/20/36 | 35,105 | 35,194,609 | |
| Series 04A, Class ARR, 144A, 3 Month SOFR + 1.430% (Cap N/A, Floor 1.430%) | 5.098(c) | 07/20/37 | 21,850 | 21,923,728 | |
| Series 08A, Class A1R2, 144A, 3 Month SOFR + 1.380% (Cap N/A, Floor 1.380%) | 5.048(c) | 01/20/38 | 39,700 | 39,865,819 | |
| KKR CLO Ltd. (Cayman Islands), Series 11, Class AR, 144A, 3 Month SOFR + 1.442% (Cap N/A, Floor 1.442%) | 5.114(c) | 01/15/31 | 99 | 98,786 | |
| LCM Ltd. (Cayman Islands), Series 39A, Class BR, 144A, 3 Month SOFR + 1.750% (Cap N/A, Floor 1.750%) | 5.422(c) | 10/15/34 | 25,000 | 25,142,343 | |
| Madison Park Funding Ltd. (Cayman Islands), | |||||
| Series 2015-19A, Class AR3, 144A, 3 Month SOFR + 1.600% (Cap N/A, Floor 1.600%) | 5.269(c) | 01/22/37 | 57,750 | 57,809,200 | |
| Series 2019-34A, Class A1RR, 144A, 3 Month SOFR + 1.370% (Cap N/A, Floor 1.370%) | 5.041(c) | 10/16/37 | 78,750 | 79,044,139 | |
| Series 2021-59A, Class A1R, 144A, 3 Month SOFR + 1.500% (Cap N/A, Floor 1.500%) | 5.168(c) | 04/18/37 | 126,465 | 126,857,168 | |
| Series 2022-57A, Class A1R, 144A, 3 Month SOFR + 1.280% (Cap N/A, Floor 1.280%) | 4.950(c) | 07/27/34 | 78,500 | 78,576,687 | |
| Series 2025-70A, Class A1, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.968(c) | 09/04/38 | 50,000 | 50,254,150 | |
| Magnetite Ltd. (Cayman Islands), Series 2024-42A, Class A1, 144A, 3 Month SOFR + 1.310% (Cap N/A, Floor 1.310%) | 4.978(c) | 01/25/38 | 70,000 | 70,319,858 | |
| Marathon CLO Ltd. (Cayman Islands), Series 2020-15A, Class A1B, 144A, 3 Month SOFR + 1.450% (Cap N/A, Floor 1.450%) | 5.302(c) | 08/15/37 | 55,000 | 55,199,529 | |
| Marble Point CLO Ltd. (Cayman Islands), Series 2022-02A, Class A1RR, 144A, 3 Month SOFR + 1.190% (Cap N/A, Floor 1.190%) | 4.858(c) | 10/20/36 | 55,000 | 55,153,653 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Market Street CLO Ltd. (Cayman Islands), Series 2025-02A, Class A1, 144A, 3 Month SOFR + 1.330% (Cap N/A, Floor 1.330%) | 5.214 %(c) | 03/20/38 | 100,100 | $100,523,533 | |
| Monument CLO DAC (Ireland), | |||||
| Series 01A, Class A, 144A, 3 Month EURIBOR + 1.590% (Cap N/A, Floor 1.590%) | 3.654(c) | 05/15/37 | EUR | 102,500 | 121,759,050 |
| Series 02A, Class A2, 144A, 3 Month EURIBOR + 1.580% (Cap N/A, Floor 1.580%) | 3.606(c) | 01/20/39 | EUR | 6,000 | 7,149,136 |
| Series 03A, Class A, 144A, 3 Month EURIBOR + 1.380% (Cap N/A, Floor 1.380%) | 3.396(c) | 04/15/38 | EUR | 75,650 | 89,947,109 |
| Mountain View CLO Ltd. (Cayman Islands), Series 2013-01A, Class ARR, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%) | 4.911(c) | 10/12/30 | 11,792 | 11,792,389 | |
| Nassau Euro CLO DAC (Ireland), | |||||
| Series 03A, Class AR, 144A, 3 Month EURIBOR + 1.350% (Cap N/A, Floor 1.350%) | 3.366(c) | 10/15/39 | EUR | 53,930 | 64,149,666 |
| Series 04A, Class B, 144A, 3 Month EURIBOR + 2.150% (Cap N/A, Floor 2.150%) | 4.176(c) | 07/20/38 | EUR | 20,000 | 23,775,141 |
| Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands), Series 2017-24A, Class AR2, 144A, 3 Month SOFR + 1.360% (Cap N/A, Floor 1.360%) | 5.030(c) | 10/19/38 | 28,850 | 28,987,297 | |
| NGC Euro CLO DAC (Ireland), Series 05A, Class A, 144A, 3 Month EURIBOR + 1.220% (Cap N/A, Floor 1.220%) | 3.236(c) | 01/15/39 | EUR | 72,550 | 85,868,233 |
| Northwoods Capital Euro DAC (Ireland), | |||||
| Series 2020-21A, Class A1R, 144A, 3 Month EURIBOR + 0.870% (Cap N/A, Floor 0.870%) | 2.897(c) | 07/22/34 | EUR | 98,400 | 116,288,548 |
| Series 2020-21A, Class A2R, 144A, 3 Month EURIBOR + 1.150% (Cap 3.200%, Floor 1.150%) | 3.177(c) | 07/22/34 | EUR | 19,000 | 22,504,619 |
| Northwoods Capital Ltd. (Cayman Islands), | |||||
| Series 2017-15A, Class A1R3, 144A, 3 Month SOFR + 1.310% (Cap N/A, Floor 1.310%) | 5.047(c) | 03/20/38 | 138,750 | 138,947,441 | |
| Series 2018-11BA, Class A1R, 144A, 3 Month SOFR + 1.450% (Cap N/A, Floor 1.450%) | 5.118(c) | 07/19/37 | 84,529 | 84,829,399 | |
| Series 2019-20A, Class AR2, 144A, 3 Month SOFR + 1.340% (Cap N/A, Floor 1.340%) | 5.008(c) | 10/25/38 | 75,000 | 75,289,620 | |
| Oak Hill Credit Partners Ltd. (Cayman Islands), Series 2014-10RA, Class AR2, 144A, 3 Month SOFR + 1.130% (Cap N/A, Floor 1.130%) | 4.798(c) | 04/20/38 | 110,300 | 110,394,968 | |
| Obra CLO Ltd. (Cayman Islands), Series 2024-01A, Class A1, 144A, 3 Month SOFR + 1.480% (Cap N/A, Floor 1.480%) | 5.148(c) | 01/20/38 | 87,000 | 87,336,525 | |
| Octagon Alto Ltd. (Cayman Islands), Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.140% (Cap N/A, Floor 1.140%) | 4.808(c) | 10/20/36 | 105,000 | 105,220,500 | |
| Octagon Investment Partners Ltd. (Cayman Islands), Series 2018-01A, Class A3R, 144A, 3 Month SOFR + 1.800% (Cap N/A, Floor 1.800%) | 5.468(c) | 10/20/37 | 35,000 | 35,225,782 | |
| Octagon Investment Partners Ltd., Series 2017-01A, Class BR3, 144A, 3 Month SOFR + 1.800% (Cap N/A, Floor 1.800%) | 5.472(c) | 10/31/37 | 18,750 | 18,868,172 | |
| Octagon Ltd. (Cayman Islands), | |||||
| Series 2022-01A, Class A1R, 144A, 3 Month SOFR + 1.260% (Cap N/A, Floor 1.260%) | 4.930(c) | 07/21/35 | 45,100 | 45,257,701 | |
| Series 2022-01A, Class A1R2, 144A, 3 Month SOFR + 1.150% (Cap N/A, Floor 1.150%) | 4.902(c) | 02/16/37 | 77,500 | 77,662,052 | |
| Series 2022-01A, Class A2R2, 144A, 3 Month SOFR + 1.500% (Cap N/A, Floor 1.500%) | 5.252(c) | 02/16/37 | 10,000 | 10,047,537 | |
| OFSI BSL Ltd. (Cayman Islands), | |||||
| Series 2021-10A, Class BR, 144A, 3 Month SOFR + 1.830% (Cap N/A, Floor 1.830%) | 5.498(c) | 04/20/34 | 25,650 | 25,737,946 | |
| Series 2022-11A, Class A1RR, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.968(c) | 03/31/38 | 53,800 | 54,062,921 | |
| Palmer Square European CLO DAC (Ireland), Series 2021-02A, Class BR, 144A, 3 Month EURIBOR + 1.850% (Cap N/A, Floor 1.850%) | 3.873(c) | 03/15/38 | EUR | 24,300 | 28,832,809 |
| Penta CLO DAC (Ireland), Series 2017-03A, Class A1RR, 144A, 3 Month EURIBOR + 1.250% (Cap N/A, Floor 1.250%) | 3.276(c) | 10/17/38 | EUR | 34,750 | 41,273,307 |
| Pikes Peak CLO (Cayman Islands), Series 2025-18A, Class A1, 144A, 3 Month SOFR + 1.220% (Cap N/A, Floor 1.220%) | 4.888(c) | 04/20/38 | 4,900 | 4,916,659 | |
| Polen Capital CLO Ltd. (Cayman Islands), Series 2025-01A, Class A1, 144A, 3 Month SOFR + 1.320% (Cap N/A, Floor 1.320%) | 4.988(c) | 03/06/38 | 49,800 | 50,059,757 | |
| Providus CLO DAC (Ireland), Series 02A, Class BRR, 144A, 3 Month EURIBOR + 1.900% (Cap N/A, Floor 1.900%) | 3.916(c) | 10/15/38 | EUR | 27,915 | 33,187,684 |
| Rad CLO Ltd. (Cayman Islands), | |||||
| Series 2021-10A, Class B, 144A, 3 Month SOFR + 1.662% (Cap N/A, Floor 1.400%) | 5.333(c) | 04/23/34 | 12,000 | 12,034,381 | |
| Series 2024-23A, Class A1, 144A, 3 Month SOFR + 1.600% (Cap N/A, Floor 1.600%) | 5.268(c) | 04/20/37 | 42,200 | 42,305,416 | |
| Ravensdale Park CLO DAC (Ireland), Series 01A, Class A, 144A, 3 Month EURIBOR + 1.170% (Cap N/A, Floor 1.170%) | 3.200(c) | 04/25/38 | EUR | 131,500 | 155,933,131 |
| Regatta Funding Ltd. (Cayman Islands), | |||||
| Series 2016-01A, Class A1R3, 144A, 3 Month SOFR + 1.070% (Cap N/A, Floor 1.070%) | 4.765(c) | 06/20/34 | 45,000 | 45,062,473 | |
| Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.340% (Cap N/A, Floor 1.340%) | 5.012(c) | 07/15/38 | 34,750 | 34,943,697 | |
| Series 2024-03A, Class A, 144A, 3 Month SOFR + 1.380% (Cap N/A, Floor 1.380%) | 5.052(c) | 09/06/37 | 76,500 | 76,876,533 | |
| Series 2025-04A, Class A1, 144A, 3 Month SOFR + 1.340% (Cap N/A, Floor 1.340%) | 5.008(c) | 07/25/38 | 24,510 | 24,648,261 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Rockford Tower CLO Ltd. (Cayman Islands), | |||||
| Series 2021-03A, Class A1R, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.072 %(c) | 01/15/38 | 20,500 | $20,578,283 | |
| Series 2022-02A, Class A1R2, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.968(c) | 03/20/38 | 40,250 | 40,454,269 | |
| Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.972(c) | 03/15/38 | 70,600 | 70,958,930 | |
| Series 2025-02A, Class A1, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.068(c) | 03/31/38 | 32,000 | 32,190,723 | |
| Rockford Tower Europe CLO DAC (Ireland), | |||||
| Series 2024-01A, Class A, 144A, 3 Month EURIBOR + 1.300% (Cap N/A, Floor 1.300%) | 3.316(c) | 07/15/38 | EUR | 44,500 | 52,766,273 |
| Series 2025-01A, Class A, 144A, 3 Month EURIBOR + 1.220% (Cap N/A, Floor 1.220%) | 3.250(c) | 10/25/37 | EUR | 133,615 | 158,843,867 |
| Romark CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1R, 144A, 3 Month SOFR + 1.140% (Cap N/A, Floor 1.140%) | 4.808(c) | 07/25/31 | 7,585 | 7,585,308 | |
| Shackleton CLO Ltd. (Cayman Islands), Series 2014-05RA, Class A, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 0.262%) | 5.231(c) | 05/07/31 | 1,254 | 1,253,590 | |
| Signal Harmonic CLO DAC (Ireland), Series 01A, Class BR, 144A, 3 Month EURIBOR + 2.050% (Cap N/A, Floor 2.050%) | 4.066(c) | 07/15/38 | EUR | 24,600 | 29,305,408 |
| Signal Peak CLO Ltd. (Cayman Islands), | |||||
| Series 2020-08A, Class A1R, 144A, 3 Month SOFR + 1.390% (Cap N/A, Floor 1.390%) | 5.058(c) | 10/20/37 | 40,000 | 40,142,476 | |
| Series 2024-14A, Class A, 144A, 3 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.969(c) | 01/22/38 | 26,600 | 26,706,400 | |
| Signal Peak CLO Ltd. (United Kingdom), Series 2022-12A, Class A1R, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.068(c) | 07/18/37 | 50,000 | 50,177,130 | |
| Silver Rock CLO (Cayman Islands), Series 2023-03A, Class A1, 144A, 3 Month SOFR + 1.880% (Cap N/A, Floor 1.880%) | 5.548(c) | 01/20/36 | 45,250 | 45,288,417 | |
| Silver Rock CLO Ltd. (Cayman Islands), Series 2020-01A, Class A1RR, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 5.088(c) | 10/20/37 | 22,600 | 22,688,004 | |
| Sixth Street CLO Ltd. (Cayman Islands), | |||||
| Series 2018-12A, Class A1R2, 144A, 3 Month SOFR + 1.200% (Cap N/A, Floor 1.200%) | 4.868(c) | 01/17/39 | 64,350 | 64,550,823 | |
| Series 2020-16A, Class A1R, 144A, 3 Month SOFR + 1.790% (Cap N/A, Floor 1.790%) | 5.458(c) | 01/20/37 | 65,000 | 65,000,000 | |
| Series 2021-17A, Class A2R, 144A, 3 Month SOFR + 1.450% (Cap N/A, Floor 1.450%) | 5.118(c) | 04/17/38 | 3,250 | 3,253,168 | |
| Sona Fios CLO DAC (Ireland), | |||||
| Series 02A, Class A1, 144A, 3 Month EURIBOR + 1.550% (Cap N/A, Floor 1.550%) | 3.614(c) | 02/15/37 | EUR | 61,750 | 73,221,457 |
| Series 05A, Class A, 144A, 3 Month EURIBOR + 1.340% (Cap N/A, Floor 1.340%) | 3.372(c) | 08/25/38 | EUR | 31,000 | 36,819,342 |
| Sound Point CLO Ltd. (Cayman Islands), Series 2022-01A, Class A, 144A, 3 Month SOFR + 1.340% (Cap N/A, Floor 1.340%) | 5.008(c) | 04/25/35 | 45,000 | 45,052,826 | |
| St. Pauls CLO (Netherlands), Series 11A, Class AR, 144A, 3 Month EURIBOR + 0.850% (Cap N/A, Floor 0.850%) | 2.876(c) | 01/17/32 | EUR | 16,323 | 19,321,689 |
| St. Paul’s CLO DAC (Ireland), | |||||
| Series 04A, Class ARR1, 144A, 3 Month EURIBOR + 0.830% (Cap N/A, Floor 0.830%) | 2.860(c) | 04/25/30 | EUR | 33,105 | 39,166,659 |
| Series 05A, Class ARR, 144A, 3 Month EURIBOR + 0.710% (Cap N/A, Floor 0.710%) | 2.761(c) | 02/20/30 | EUR | 90,875 | 107,609,989 |
| Series 07A, Class ARR, 144A, 3 Month EURIBOR + 0.890% (Cap N/A, Floor 0.890%) | 2.916(c) | 07/18/34 | EUR | 75,017 | 88,720,273 |
| TCW CLO AMR Ltd. (Cayman Islands), Series 2019-01A, Class BR, 144A, 3 Month SOFR + 1.950% (Cap N/A, Floor 1.750%) | 5.802(c) | 08/16/34 | 16,600 | 16,646,950 | |
| TCW CLO Ltd. (Cayman Islands), | |||||
| Series 2020-01A, Class A1R3, 144A, 3 Month SOFR + 1.050% (Cap N/A, Floor 0.000%) | 4.718(c) | 04/20/34 | 87,500 | 87,575,232 | |
| Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.380% (Cap N/A, Floor 1.380%) | 5.048(c) | 03/31/38 | 20,950 | 21,072,683 | |
| THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2020-01A, Class A1R, 144A, 3 Month SOFR + 1.570% (Cap N/A, Floor 1.570%) | 5.238(c) | 07/20/37 | 43,000 | 43,074,584 | |
| Tikehau US CLO Ltd. (Bermuda), | |||||
| Series 2022-02A, Class A1R, 144A, 3 Month SOFR + 1.870% (Cap N/A, Floor 1.870%) | 5.538(c) | 01/20/36 | 105,500 | 105,587,723 | |
| Series 2023-01A, Class A1R, 144A, 3 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.072(c) | 03/15/38 | 50,000 | 50,297,635 | |
| Series 2023-02A, Class A1, 144A, 3 Month SOFR + 1.950% (Cap N/A, Floor 1.950%) | 5.622(c) | 01/15/36 | 27,500 | 27,535,783 | |
| Series 2024-01A, Class A1, 144A, 3 Month SOFR + 1.450% (Cap N/A, Floor 1.450%) | 5.118(c) | 07/18/37 | 56,000 | 56,208,522 | |
| Toro European CLO DAC (Ireland), | |||||
| Series 09A, Class A, 144A, 3 Month EURIBOR + 1.650% (Cap N/A, Floor 1.650%) | 3.666(c) | 04/15/37 | EUR | 98,750 | 117,425,718 |
| Series 10A, Class A, 144A, 3 Month EURIBOR + 1.250% (Cap N/A, Floor 1.250%) | 3.266(c) | 04/15/38 | EUR | 149,000 | 176,197,508 |
| Trimaran CAVU Ltd., Series 2025-02A, Class A, 144A, 3 Month SOFR + 1.360% (Cap N/A, Floor 1.360%) | 5.030(c) | 03/18/38 | 70,750 | 71,119,598 | |
| Trinitas Euro CLO DAC (Ireland), Series 06A, Class BR, 144A, 3 Month EURIBOR + 1.800% (Cap N/A, Floor 1.800%) | 3.816(c) | 01/15/39 | EUR | 31,600 | 37,625,617 |
| Venture CLO Ltd. (Cayman Islands), | |||||
| Series 2014-19A, Class ARR, 144A, 3 Month SOFR + 1.522% (Cap N/A, Floor 1.260%) | 5.194(c) | 01/15/32 | 9,653 | 9,662,030 | |
| Series 2017-28AA, Class A1RR, 144A, 3 Month SOFR + 1.110% (Cap N/A, Floor 1.110%) | 4.778(c) | 10/20/34 | 57,450 | 57,509,489 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Venture CLO Ltd. (Cayman Islands), (cont’d.) | |||||
| Series 2018-32A, Class A1, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%) | 5.029 %(c) | 07/18/31 | 6,417 | $6,416,591 | |
| Series 2018-33A, Class BR, 144A, 3 Month SOFR + 1.812% (Cap N/A, Floor 0.000%) | 5.484(c) | 07/15/31 | 8,000 | 8,009,939 | |
| Series 2021-42A, Class A1A, 144A, 3 Month SOFR + 1.392% (Cap N/A, Floor 1.130%) | 5.064(c) | 04/15/34 | 10,000 | 10,011,114 | |
| Warwick Capital CLO Ltd. (United Kingdom), Series 2023-02A, Class A1, 144A, 3 Month SOFR + 1.950% (Cap N/A, Floor 1.950%) | 5.622(c) | 01/15/37 | 50,000 | 50,064,250 | |
| Wellfleet CLO Ltd. (Cayman Islands), Series 2022-02A, Class AR, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 5.088(c) | 10/18/37 | 47,690 | 47,875,209 | |
| Wind River CLO Ltd. (Cayman Islands), Series 2021-01A, Class A1R, 144A, 3 Month SOFR + 1.430% (Cap N/A, Floor 1.430%) | 5.098(c) | 07/20/37 | 41,700 | 41,843,348 | |
| 9,441,946,746 | |||||
| Consumer Loans 0.6% | |||||
| Affirm Asset Securitization Trust, | |||||
| Series 2024-A, Class 1B, 144A | 5.930 | 02/15/29 | 3,000 | 3,004,824 | |
| Series 2024-A, Class 1C, 144A | 6.160 | 02/15/29 | 3,000 | 3,004,838 | |
| Series 2024-A, Class 1D, 144A | 6.890 | 02/15/29 | 2,000 | 2,003,825 | |
| Affirm Master Trust, Series 2025-03A, Class A, 144A | 4.450 | 10/16/34 | 35,000 | 35,059,441 | |
| GreenSky Home Improvement Issuer Trust, | |||||
| Series 2024-02, Class A4, 144A | 5.150 | 10/27/59 | 8,732 | 8,866,569 | |
| Series 2025-02A, Class A4, 144A | 4.890 | 06/25/60 | 13,150 | 13,270,210 | |
| GreenSky Home Improvement Trust, | |||||
| Series 2024-01, Class A3, 144A | 5.550 | 06/25/59 | 6,300 | 6,453,348 | |
| Series 2024-01, Class A4, 144A | 5.670 | 06/25/59 | 7,222 | 7,394,776 | |
| Lending Funding Trust, Series 2020-02A, Class A, 144A | 2.320 | 04/21/31 | 10,935 | 10,816,857 | |
| Mariner Finance Issuance Trust, Series 2025-BA, Class A, 144A | 4.590 | 11/22/38 | 25,600 | 25,655,368 | |
| OneMain Financial Issuance Trust, | |||||
| Series 2020-02A, Class A, 144A | 1.750 | 09/14/35 | 48,387 | 47,680,727 | |
| Series 2023-01A, Class D, 144A | 7.490 | 06/14/38 | 1,300 | 1,372,565 | |
| Series 2023-02A, Class C, 144A | 6.740 | 09/15/36 | 20,700 | 21,408,907 | |
| Series 2023-02A, Class D, 144A | 7.520 | 09/15/36 | 25,130 | 26,007,884 | |
| Series 2024-01A, Class A, 144A | 5.790 | 05/14/41 | 67,000 | 70,228,884 | |
| Sotheby’s Artfi Master Trust, Series 2026-01A, Class A1, 144A | 4.800 | 06/20/33 | 53,300 | 53,316,656 | |
| 335,545,679 | |||||
| Credit Cards 0.2% | |||||
| Genesis Sales Finance Master Trust, Series 2024-B, Class A, 144A | 5.870 | 12/20/32 | 87,700 | 88,909,102 | |
| Equipment 0.2% | |||||
| HPEFS Equipment Trust, | |||||
| Series 2025-01A, Class C, 144A | 4.790 | 09/20/32 | 6,500 | 6,560,585 | |
| Series 2025-01A, Class D, 144A | 4.990 | 03/21/33 | 4,500 | 4,536,984 | |
| MetroNet Infrastructure Issuer LLC, | |||||
| Series 2025-02A, Class A2, 144A | 5.400 | 08/20/55 | 58,420 | 59,286,532 | |
| Series 2025-04A, Class A2, 144A | 5.163 | 12/20/55 | 10,000 | 10,080,271 | |
| 80,464,372 | |||||
| Home Equity Loans 1.6% | |||||
| ABFC Trust, Series 2003-OPT01, Class A1, 1 Month SOFR + 0.754% (Cap N/A, Floor 0.640%) | 4.427(c) | 04/25/33 | 757 | 761,091 | |
| ACE Securities Corp. Home Equity Loan Trust, Series 2003-HE01, Class M1, 1 Month SOFR + 1.089% (Cap N/A, Floor 0.975%) | 4.762(c) | 11/25/33 | 255 | 261,835 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Home Equity Loans (cont’d.) | |||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE09, Class M1, 1 Month SOFR + 1.089% (Cap N/A, Floor 0.975%) | 4.762 %(c) | 12/25/34 | 926 | $875,355 | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2004-HE08, Class M1, 1 Month SOFR + 1.089% (Cap N/A, Floor 0.975%) | 4.762(c) | 09/25/34 | 206 | 209,011 | |
| BRAVO Residential Funding Trust, Series 2024-CES01, Class A1A, 144A | 6.377(cc) | 04/25/54 | 2,796 | 2,835,343 | |
| EFMT, Series 2025-CES04, Class A1, 144A | 5.431(cc) | 06/25/60 | 13,303 | 13,429,849 | |
| FIGRE Trust, Series 2025-FL01, Class A1, 144A | 5.265(cc) | 07/25/55 | 9,129 | 9,182,004 | |
| Floating Rate Mortgage Pass-Through Certificates, Series 2001-02, Class M3, 1 Month SOFR + 3.039% (Cap N/A, Floor 2.925%) | 6.712(c) | 10/25/31 | 25 | 28,521 | |
| GS Mortgage-Backed Securities Trust, | |||||
| Series 2024-HE02, Class A1, 144A, 30 Day Average SOFR + 1.500% (Cap N/A, Floor 1.500%) | 5.197(c) | 01/25/55 | 42,755 | 42,890,048 | |
| Series 2025-HE01, Class A1, 144A, 30 Day Average SOFR + 1.550% (Cap N/A, Floor 1.550%) | 5.247(c) | 10/25/55 | 17,097 | 17,189,880 | |
| GSAA Trust, Series 2006-07, Class AF2 | 5.995(cc) | 03/25/46 | 542 | 186,836 | |
| JPMorgan Mortgage Trust, | |||||
| Series 2023-HE02, Class A1, 144A, 30 Day Average SOFR + 1.700% (Cap N/A, Floor 0.000%) | 5.402(c) | 03/20/54 | 5,031 | 5,049,501 | |
| Series 2023-HE03, Class A1, 144A, 30 Day Average SOFR + 1.600% (Cap N/A, Floor 0.000%) | 5.303(c) | 05/20/54 | 3,084 | 3,095,674 | |
| Series 2024-HE02, Class A1, 144A, 30 Day Average SOFR + 1.200% (Cap N/A, Floor 0.000%) | 4.902(c) | 10/20/54 | 5,994 | 6,001,209 | |
| Merrill Lynch Mortgage Investors Trust, Series 2003-OPT01, Class A3, 1 Month SOFR + 0.834% (Cap N/A, Floor 0.720%) | 4.507(c) | 07/25/34 | 22 | 22,505 | |
| Morgan Stanley ABS Capital I, Inc. Trust, | |||||
| Series 2004-HE03, Class A4, 1 Month SOFR + 0.914% (Cap N/A, Floor 0.800%) | 4.587(c) | 03/25/34 | 483 | 474,621 | |
| Series 2004-HE08, Class A7, 1 Month SOFR + 1.174% (Cap N/A, Floor 1.060%) | 4.847(c) | 09/25/34 | 663 | 709,165 | |
| New Century Home Equity Loan Trust, Series 2003-A, Class A, 144A, 1 Month SOFR + 0.834% (Cap N/A, Floor 0.720%) | 3.317(c) | 10/25/33 | 747 | 767,684 | |
| NLT Trust, Series 2025-CES01, Class A1, 144A | 5.038(cc) | 08/25/60 | 4,930 | 4,944,637 | |
| OBX Trust, | |||||
| Series 2025-HE02, Class A1, 144A, 30 Day Average SOFR + 1.450% (Cap N/A, Floor 0.000%) | 5.147(c) | 08/25/55 | 35,533 | 35,758,991 | |
| Series 2025-HE02, Class M1, 144A, 30 Day Average SOFR + 1.750% (Cap N/A, Floor 0.000%) | 5.447(c) | 08/25/55 | 6,750 | 6,823,880 | |
| RCKT Mortgage Trust, | |||||
| Series 2024-CES01, Class A1A, 144A | 6.025(cc) | 02/25/44 | 6,236 | 6,291,312 | |
| Series 2024-CES03, Class A1A, 144A | 6.591(cc) | 05/25/44 | 3,344 | 3,397,490 | |
| Series 2024-CES05, Class A1A, 144A | 5.846(cc) | 08/25/44 | 15,967 | 16,153,498 | |
| Series 2024-CES07, Class A1A, 144A | 5.158(cc) | 10/25/44 | 20,638 | 20,729,675 | |
| Series 2024-CES08, Class A1A, 144A | 5.490(cc) | 11/25/44 | 34,937 | 35,244,754 | |
| Series 2024-CES09, Class A1A, 144A | 5.582(cc) | 12/25/44 | 42,819 | 43,287,407 | |
| Series 2025-CES01, Class A1A, 144A | 5.653(cc) | 01/25/45 | 43,622 | 44,143,960 | |
| Series 2025-CES07, Class A1A, 144A | 5.377(cc) | 07/25/55 | 18,291 | 18,479,757 | |
| Series 2025-CES08, Class A1A, 144A | 5.148(cc) | 08/25/55 | 73,759 | 74,305,290 | |
| Series 2025-CES09, Class A1A, 144A | 4.795(cc) | 09/25/55 | 18,862 | 18,875,910 | |
| Towd Point Mortgage Trust, | |||||
| Series 2023-CES02, Class A1A, 144A | 7.294(cc) | 10/25/63 | 21,372 | 21,632,046 | |
| Series 2024-CES01, Class A1A, 144A | 5.848(cc) | 01/25/64 | 7,506 | 7,554,631 | |
| Series 2024-CES02, Class A1A, 144A | 6.125(cc) | 02/25/64 | 6,978 | 7,043,922 | |
| Series 2024-CES03, Class A1, 144A | 6.290(cc) | 05/25/64 | 22,153 | 22,436,120 | |
| Series 2024-CES05, Class A1, 144A | 5.167(cc) | 09/25/64 | 75,033 | 75,219,382 | |
| Series 2024-CES06, Class A1, 144A | 5.725(cc) | 11/25/64 | 41,989 | 42,417,276 | |
| Series 2025-CES01, Class A1, 144A | 5.705(cc) | 02/25/55 | 43,926 | 44,424,668 | |
| Series 2025-CES03, Class A1A, 144A | 5.278(cc) | 08/25/65 | 35,221 | 35,509,488 | |
| Series 2025-CES04, Class A1A, 144A | 5.091(cc) | 10/25/65 | 25,441 | 25,600,255 | |
| Series 2025-CRM01, Class A1, 144A | 5.799(cc) | 01/25/65 | 52,159 | 52,788,809 | |
| Series 2025-FIX01, Class A1, 144A | 4.968(cc) | 09/25/65 | 13,883 | 13,899,957 | |
| Series 2025-HE01, Class A1A, 144A, 30 Day Average SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.047(c) | 07/25/65 | 34,300 | 34,425,136 | |
| 815,358,383 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Other 0.6% | |||||
| Capital Street Master Trust, Series 2024-01, Class A, 144A, 30 Day Average SOFR + 1.350% (Cap N/A, Floor 1.350%) | 5.057 %(c) | 10/16/28 | 71,000 | $70,999,787 | |
| GoodLeap Home Improvement Solutions Trust, | |||||
| Series 2024-01A, Class A, 144A | 5.350 | 10/20/46 | 12,129 | 12,282,425 | |
| Series 2025-01A, Class A, 144A | 5.380 | 02/20/49 | 27,157 | 27,531,868 | |
| Series 2025-02A, Class A, 144A | 5.320 | 06/20/49 | 22,173 | 22,402,401 | |
| GoodLeap Sustainable Home Solutions Trust, | |||||
| Series 2023-04C, Class A, 144A | 6.480 | 03/20/57 | 22,675 | 22,351,034 | |
| Series 2024-01GS, Class A, 144A | 6.250 | 06/20/57 | 40,494 | 39,379,791 | |
| PK Alift Loan Funding 7 LP, Series 2025-02, Class A, 144A | 4.750 | 03/15/43 | 12,174 | 12,178,269 | |
| PMT Issuer Trust - FMSR, Series 2024-FT01, Class A, 144A, 1 Month SOFR + 2.750% (Cap N/A, Floor 2.750%) | 6.423(c) | 12/25/27 | 20,000 | 20,147,502 | |
| Sunrun Artemis Issuer LLC, Series 2024-02A, Class A1, 144A | 6.250 | 07/30/59 | 25,260 | 24,999,751 | |
| Sunrun Vesta Issuer LLC, | |||||
| Series 2024-03A, Class A1, 144A | 5.490 | 10/30/59 | 15,082 | 14,732,432 | |
| Series 2024-03A, Class A2, 144A | 5.880 | 10/30/59 | 64,873 | 62,539,974 | |
| 329,545,234 | |||||
| Residential Mortgage-Backed Securities 0.1% | |||||
| Countrywide Asset-Backed Certificates, Series 2003-BC05, Class 2A2, 1 Month SOFR + 0.814% (Cap N/A, Floor 0.700%) | 4.487(c) | 12/25/33 | 202 | 204,606 | |
| Countrywide Asset-Backed Certificates Trust, | |||||
| Series 2004-04, Class 1A, 1 Month SOFR + 0.534% (Cap N/A, Floor 0.420%) | 4.207(c) | 08/25/34 | 2,726 | 2,688,623 | |
| Series 2004-06, Class 2A5, 1 Month SOFR + 0.894% (Cap N/A, Floor 0.780%) | 4.567(c) | 11/25/34 | 247 | 241,418 | |
| Series 2004-BC04, Class M1, 1 Month SOFR + 1.164% (Cap N/A, Floor 1.050%) | 4.837(c) | 11/25/34 | 4 | 6,075 | |
| Credit-Based Asset Servicing & Securitization LLC, Series 2004-CB08, Class M1, 1 Month SOFR + 0.909% (Cap N/A, Floor 0.795%) | 3.330(c) | 12/25/35 | 57 | 56,653 | |
| GSAMP Trust, Series 2004-AR01, Class M1, 1 Month SOFR + 1.089% (Cap N/A, Floor 0.975%) | 4.762(c) | 06/25/34 | 682 | 755,574 | |
| LSF11 Boson Investments Sarl Compartment 2 (Spain), Series 2021-NPLA, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap N/A, Floor 0.000%) | 4.047(c) | 11/25/60 | EUR | 4,121 | 4,900,059 |
| Merrill Lynch Mortgage Investors Trust, Series 2004-WMC03, Class M2, 1 Month SOFR + 1.959% (Cap N/A, Floor 1.845%) | 5.632(c) | 01/25/35 | 831 | 816,970 | |
| Specialty Underwriting & Residential Finance Trust, Series 2003-BC02, Class M1, 1 Month SOFR + 1.239% (Cap N/A, Floor 1.125%) | 4.912(c) | 06/25/34 | 279 | 277,311 | |
| Structured Asset Investment Loan Trust, | |||||
| Series 2003-BC07, Class 3A2, 1 Month SOFR + 1.064% (Cap N/A, Floor 0.950%) | 4.737(c) | 07/25/33 | 371 | 365,449 | |
| Series 2004-BNC01, Class A2, 1 Month SOFR + 1.114% (Cap N/A, Floor 1.000%) | 4.787(c) | 09/25/34 | 508 | 531,073 | |
| Series 2004-BNC01, Class A4, 1 Month SOFR + 1.054% (Cap N/A, Floor 0.940%) | 4.727(c) | 09/25/34 | 378 | 401,578 | |
| TFS (Spain), | |||||
| Series 2018-03, Class A1^ | 0.000(s) | 04/16/40 | EUR | —(r) | 1 |
| Series 2018-03, Class A1, 1 Month EURIBOR + 3.250%^ | 5.185(c) | 03/15/26 | EUR | 26,630 | 23,674,501 |
| 34,919,891 | |||||
| Student Loans 0.1% | |||||
| Bayview Opportunity Master Fund VII LLC, | |||||
| Series 2024-EDU01, Class A, 144A, 30 Day Average SOFR + 1.450% (Cap N/A, Floor 0.000%) | 5.147(c) | 06/25/47 | 23,403 | 23,616,361 | |
| Series 2024-EDU01, Class C, 144A, 30 Day Average SOFR + 1.800% (Cap N/A, Floor 0.000%) | 5.497(c) | 06/25/47 | 2,490 | 2,486,046 | |
| Laurel Road Prime Student Loan Trust, | |||||
| Series 2018-A, Class A, 144A | 0.000 | 02/25/43 | 82,210 | 10,732,332 | |
| Series 2018-C, Class A, 144A | 0.000(cc) | 08/25/43 | 11,871 | 11,346,391 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Student Loans (cont’d.) | |||||
| Laurel Road Prime Student Loan Trust, (cont’d.) | |||||
| Series 2018-D, Class A, 144A | 0.000 %(cc) | 11/25/43 | 15,212 | $14,544,861 | |
| Series 2019-A, Class R, 144A | 0.000 | 10/25/48 | 22,452 | 9,975,174 | |
| 72,701,165 | |||||
| Total Asset-Backed Securities (cost $11,285,099,333) | 11,526,643,439 | ||||
| Commercial Mortgage-Backed Securities 9.4% | |||||
| 20 Times Square Trust, | |||||
| Series 2018-20TS, Class G, 144A(x) | 3.100(cc) | 05/15/35 | 39,245 | 34,143,150 | |
| Series 2018-20TS, Class H, 144A(x) | 3.100(cc) | 05/15/35 | 40,253 | 34,013,363 | |
| ALA Trust, Series 2025-OANA, Class A, 144A, 1 Month SOFR + 1.743% (Cap N/A, Floor 1.743%) | 5.424(c) | 06/15/40 | 16,110 | 16,240,894 | |
| ARES Trust, Series 2025-IND03, Class A, 144A, 1 Month SOFR + 1.500% (Cap N/A, Floor 1.500%) | 5.180(c) | 04/15/42 | 47,990 | 48,049,954 | |
| Assurant Commercial Mortgage Trust, Series 2016-01A, Class B, 144A | 4.199(cc) | 05/15/49 | 1,863 | 1,846,133 | |
| BANK, | |||||
| Series 2017-BNK08, Class A3 | 3.229 | 11/15/50 | 8,520 | 8,394,182 | |
| Series 2019-BN20, Class A2 | 2.758 | 09/15/62 | 48,568 | 46,080,594 | |
| Series 2019-BN21, Class XB, IO | 0.349(cc) | 10/17/52 | 206,158 | 2,468,206 | |
| Series 2019-BN24, Class A2 | 2.707 | 11/15/62 | 69,300 | 65,590,191 | |
| Series 2020-BN29, Class A3 | 1.742 | 11/15/53 | 36,788 | 32,828,625 | |
| Series 2023-BNK46, Class A21 | 6.725(cc) | 08/15/56 | 74,030 | 77,211,454 | |
| BANK5, | |||||
| Series 2023-05YR2, Class A3 | 6.656(cc) | 07/15/56 | 30,000 | 31,512,315 | |
| Series 2025-5YR19, Class A3 | 5.270 | 12/15/58 | 75,000 | 77,562,277 | |
| Barclays Commercial Mortgage Securities Trust, | |||||
| Series 2016-ETC, Class A, 144A | 2.937 | 08/14/36 | 17,450 | 17,157,250 | |
| Series 2016-ETC, Class B, 144A | 3.189 | 08/14/36 | 6,970 | 6,813,045 | |
| Series 2016-ETC, Class C, 144A | 3.391 | 08/14/36 | 5,770 | 5,587,580 | |
| Series 2016-ETC, Class D, 144A | 3.609(cc) | 08/14/36 | 21,720 | 20,837,779 | |
| Series 2016-ETC, Class E, 144A | 3.609(cc) | 08/14/36 | 13,900 | 13,208,481 | |
| Series 2018-CHRS, Class B, 144A | 4.267(cc) | 08/05/38 | 7,345 | 7,024,649 | |
| Series 2018-CHRS, Class C, 144A | 4.267(cc) | 08/05/38 | 10,055 | 9,418,963 | |
| Series 2018-CHRS, Class D, 144A | 4.267(cc) | 08/05/38 | 19,295 | 17,404,536 | |
| Series 2019-C03, Class A3 | 3.319 | 05/15/52 | 24,500 | 23,842,832 | |
| Series 2020-C08, Class XB, IO | 1.016(cc) | 10/15/53 | 119,592 | 5,425,686 | |
| Series 2024-05C27, Class A3 | 6.014 | 07/15/57 | 25,000 | 26,258,635 | |
| Series 2024-05C29, Class A3 | 5.208 | 09/15/57 | 64,600 | 66,493,807 | |
| BBCCRE Trust, Series 2015-GTP, Class A, 144A | 3.966 | 08/10/33 | 14,600 | 13,771,346 | |
| Benchmark Mortgage Trust, | |||||
| Series 2018-B02, Class A3 | 3.544 | 02/15/51 | 11,073 | 10,921,626 | |
| Series 2019-B10, Class A3 | 3.455 | 03/15/62 | 39,418 | 38,546,335 | |
| Series 2019-B11, Class A4 | 3.281 | 05/15/52 | 57,606 | 56,081,590 | |
| Series 2019-B12, Class A4 | 2.859 | 08/15/52 | 81,000 | 77,725,445 | |
| Series 2019-B13, Class A3 | 2.701 | 08/15/57 | 38,700 | 36,704,264 | |
| Series 2019-B14, Class A3 | 3.090 | 12/15/62 | 48,180 | 46,764,896 | |
| Series 2019-B14, Class A4 | 2.795 | 12/15/62 | 57,600 | 54,702,841 | |
| Series 2020-B17, Class A4 | 2.042 | 03/15/53 | 78,000 | 71,424,826 | |
| Series 2020-B20, Class A3 | 1.945 | 10/15/53 | 13,000 | 12,274,019 | |
| Series 2020-B21, Class A4 | 1.704 | 12/17/53 | 37,450 | 33,759,228 | |
| Series 2020-IG01, Class A2 | 2.677 | 09/15/43 | 28,000 | 25,563,482 | |
| Series 2023-V03, Class A3 | 6.363(cc) | 07/15/56 | 20,000 | 20,920,020 | |
| Series 2024-V08, Class A3 | 6.189(cc) | 07/15/57 | 102,300 | 108,083,152 | |
| BFLD Mortgage Trust, | |||||
| Series 2024-VICT, Class A, 144A, 1 Month SOFR + 1.890% (Cap N/A, Floor 1.890%) | 5.570(c) | 07/15/41 | 37,000 | 37,161,875 | |
| Series 2024-VICT, Class B, 144A, 1 Month SOFR + 2.589% (Cap N/A, Floor 2.589%) | 6.269(c) | 07/15/41 | 7,500 | 7,504,688 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| BFLD Mortgage Trust, (cont’d.) | |||||
| Series 2024-WRHS, Class A, 144A, 1 Month SOFR + 1.492% (Cap N/A, Floor 1.492%) | 5.172 %(c) | 07/15/39 | 39,027 | $39,050,967 | |
| BFLD Trust, Series 2025-EWEST, Class A, 144A, 1 Month SOFR + 1.550% (Cap N/A, Floor 1.550%) | 5.230(c) | 06/15/42 | 17,700 | 17,711,063 | |
| BLP Commercial Mortgage Trust, | |||||
| Series 2025-IND, Class A, 144A, 1 Month SOFR + 1.200% (Cap N/A, Floor 1.200%) | 4.880(c) | 03/15/42 | 40,507 | 40,491,831 | |
| Series 2025-IND, Class C, 144A, 1 Month SOFR + 1.800% (Cap N/A, Floor 1.800%) | 5.480(c) | 03/15/42 | 3,812 | 3,806,783 | |
| BMO Mortgage Trust, | |||||
| Series 2023-C05, Class A2 | 6.518 | 06/15/56 | 25,000 | 25,712,063 | |
| Series 2024-05C5, Class A3 | 5.857 | 02/15/57 | 50,000 | 52,249,745 | |
| BPR Trust, Series 2023-BRK02, Class A, 144A | 6.899(cc) | 10/05/38 | 77,084 | 80,168,246 | |
| BX Commercial Mortgage Trust, | |||||
| Series 2021-ACNT, Class B, 144A, 1 Month SOFR + 1.364% (Cap N/A, Floor 1.250%) | 5.044(c) | 11/15/38 | 9,172 | 9,171,834 | |
| Series 2024-AIR02, Class A, 144A, 1 Month SOFR + 1.492% (Cap N/A, Floor 1.492%) | 5.173(c) | 10/15/41 | 70,644 | 70,731,922 | |
| Series 2024-AIRC, Class A, 144A, 1 Month SOFR + 1.691% (Cap N/A, Floor 1.691%) | 5.371(c) | 08/15/41 | 75,624 | 75,789,729 | |
| Series 2025-COPT, Class A, 144A, 1 Month SOFR + 1.750% (Cap N/A, Floor 1.750%) | 5.430(c) | 08/15/42 | 40,960 | 41,113,600 | |
| Series 2025-JDI, Class A, 144A, 1 Month SOFR + 1.400% (Cap N/A, Floor 1.400%) | 5.080(c) | 11/15/42 | 73,465 | 73,603,248 | |
| Series 2025-SPOT, Class A, 144A, 1 Month SOFR + 1.443% (Cap N/A, Floor 1.443%) | 5.124(c) | 04/15/40 | 38,732 | 38,804,373 | |
| BX Trust, | |||||
| Series 2025-ARIA, Class A, 144A | 5.031(cc) | 12/13/42 | 100,000 | 101,698,080 | |
| Series 2025-LUNR, Class A, 144A, 1 Month SOFR + 1.500% (Cap N/A, Floor 1.500%) | 5.180(c) | 06/15/40 | 29,905 | 29,951,840 | |
| CCUBS Commercial Mortgage Trust, Series 2017-C01, Class A3 | 3.283(cc) | 11/15/50 | 26,734 | 26,282,788 | |
| CD Mortgage Trust, | |||||
| Series 2017-CD04, Class A3 | 3.248 | 05/10/50 | 49,592 | 49,111,759 | |
| Series 2017-CD06, Class A4 | 3.190 | 11/13/50 | 77,064 | 76,066,439 | |
| Series 2018-CD07, Class A3 | 4.013 | 08/15/51 | 25,927 | 25,811,518 | |
| CF Mortgage Trust, Series 2020-P01, Class A1, 144A | 2.840(cc) | 04/15/52 | 22,698 | 22,581,873 | |
| CFK Trust, | |||||
| Series 2019-FAX, Class A, 144A | 4.075 | 01/15/39 | 14,250 | 13,966,942 | |
| Series 2019-FAX, Class B, 144A | 4.362 | 01/15/39 | 21,052 | 20,514,660 | |
| CGMS Commercial Mortgage Trust, Series 2017-B01, Class A3 | 3.197 | 08/15/50 | 19,032 | 18,781,355 | |
| Citigroup Commercial Mortgage Trust, | |||||
| Series 2017-C04, Class A3 | 3.209 | 10/12/50 | 63,251 | 62,517,363 | |
| Series 2017-P07, Class A3 | 3.442 | 04/14/50 | 14,389 | 14,292,785 | |
| Series 2019-GC41, Class A4 | 2.620 | 08/10/56 | 94,960 | 89,919,713 | |
| Series 2020-GC46, Class A4 | 2.477 | 02/15/53 | 90,000 | 83,091,897 | |
| Commercial Mortgage Trust, | |||||
| Series 2016-COR01, Class A4 | 3.091 | 10/10/49 | 6,400 | 6,340,090 | |
| Series 2017-COR02, Class A2 | 3.239 | 09/10/50 | 74,027 | 73,380,501 | |
| Series 2018-COR03, Class A2 | 3.961 | 05/10/51 | 54,997 | 54,425,855 | |
| Series 2019-GC44, Class A4 | 2.698 | 08/15/57 | 20,000 | 18,891,364 | |
| Series 2024-277P, Class A, 144A | 6.338 | 08/10/44 | 29,200 | 30,762,545 | |
| Series 2024-277P, Class X, IO, 144A | 0.661(cc) | 08/10/44 | 97,400 | 2,275,722 | |
| Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 144A | 3.953 | 09/15/37 | 94,640 | 87,077,800 | |
| CSAIL Commercial Mortgage Trust, | |||||
| Series 2015-C03, Class XB, IO | 0.250 | 08/15/48 | 86,386 | 153,491 | |
| Series 2019-C16, Class A2 | 3.067 | 06/15/52 | 26,843 | 25,975,887 | |
| Series 2019-C17, Class A4 | 2.763 | 09/15/52 | 37,150 | 35,390,550 | |
| DBWF Mortgage Trust, Series 2016-85T, Class D, 144A | 3.808(cc) | 12/10/36 | 23,960 | 22,895,843 | |
| Deutsche Bank Commercial Mortgage Trust, Series 2017-C06, Class A4 | 3.071 | 06/10/50 | 5,132 | 5,048,501 | |
| FHLMC Multifamily Structured Pass-Through Certificates, | |||||
| Series K0055, Class X1, IO | 1.333(cc) | 03/25/26 | 178,877 | 87,221 | |
| Series K0058, Class XAM, IO | 0.814(cc) | 08/25/26 | 59,334 | 266,831 | |
| Series K0069, Class X1, IO | 0.340(cc) | 09/25/27 | 493,519 | 2,390,311 | |
| Series K0087, Class X1, IO | 0.339(cc) | 12/25/28 | 384,735 | 3,664,443 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| FHLMC Multifamily Structured Pass-Through Certificates, (cont’d.) | |||||
| Series K0090, Class X1, IO | 0.706 %(cc) | 02/25/29 | 447,429 | $8,862,089 | |
| Series K0091, Class X1, IO | 0.558(cc) | 03/25/29 | 536,767 | 8,638,083 | |
| Series K0092, Class XAM, IO | 0.982(cc) | 04/25/29 | 53,046 | 1,583,269 | |
| Series K0093, Class X1, IO | 0.937(cc) | 05/25/29 | 374,109 | 9,671,400 | |
| Series K0095, Class X1, IO | 0.938(cc) | 06/25/29 | 496,568 | 13,399,701 | |
| Series K0096, Class XAM, IO | 1.395(cc) | 07/25/29 | 56,489 | 2,451,803 | |
| Series K0097, Class X1, IO | 1.082(cc) | 07/25/29 | 428,474 | 14,117,366 | |
| Series K0101, Class X1, IO | 0.826(cc) | 10/25/29 | 454,502 | 12,103,069 | |
| Series K0108, Class X1, IO | 1.690(cc) | 03/25/30 | 322,833 | 18,869,309 | |
| Series K0114, Class X1, IO | 1.110(cc) | 06/25/30 | 253,699 | 10,451,466 | |
| Series K0735, Class X1, IO | 0.958(cc) | 05/25/26 | 194,797 | 306,590 | |
| Series K1513, Class X1, IO | 0.850(cc) | 08/25/34 | 329,007 | 16,294,399 | |
| Series Q001, Class XA, IO | 2.060(cc) | 02/25/32 | 21,801 | 1,251,373 | |
| Series Q002, Class XA, IO | 0.916(cc) | 07/25/33 | 26,887 | 861,414 | |
| GS Mortgage Securities Trust, | |||||
| Series 2014-GC22, Class XB, IO | 0.277(cc) | 06/10/47 | 37,110 | 39,793 | |
| Series 2015-GC34, Class A4 | 3.506 | 10/10/48 | 242 | 239,433 | |
| Series 2017-GS06, Class A2 | 3.164 | 05/10/50 | 12,934 | 12,779,241 | |
| Series 2018-GS09, Class A3 | 3.727 | 03/10/51 | 10,441 | 10,386,412 | |
| Series 2019-GC39, Class A3 | 3.307 | 05/10/52 | 64,721 | 62,218,099 | |
| Series 2019-GC40, Class A3 | 2.904 | 07/10/52 | 40,481 | 38,926,874 | |
| Series 2019-GSA01, Class A2 | 2.613 | 11/10/52 | 4,941 | 4,873,721 | |
| Series 2019-GSA01, Class A3 | 2.794 | 11/10/52 | 42,000 | 40,142,491 | |
| JPMBB Commercial Mortgage Securities Trust, | |||||
| Series 2014-C23, Class XA, IO | 0.335(cc) | 09/15/47 | 2,886 | 48 | |
| Series 2014-C24, Class A5 | 3.639 | 11/15/47 | 516 | 507,859 | |
| JPMCC Commercial Mortgage Securities Trust, | |||||
| Series 2017-JP07, Class A4 | 3.195 | 09/15/50 | 70,600 | 69,569,176 | |
| Series 2019-COR04, Class A3 | 3.763 | 03/10/52 | 31,250 | 30,886,003 | |
| Series 2019-COR04, Class A4 | 3.758 | 03/10/52 | 31,675 | 30,848,080 | |
| Series 2019-COR04, Class A5 | 4.029 | 03/10/52 | 4,797 | 4,629,167 | |
| Series 2019-COR05, Class A3 | 3.123 | 06/13/52 | 22,100 | 21,355,612 | |
| Series 2019-COR05, Class XB, IO | 0.930(cc) | 06/13/52 | 65,497 | 1,758,712 | |
| JPMDB Commercial Mortgage Securities Trust, | |||||
| Series 2017-C05, Class A4 | 3.414 | 03/15/50 | 20,481 | 20,283,278 | |
| Series 2017-C07, Class A4 | 3.147 | 10/15/50 | 65,118 | 64,164,289 | |
| Series 2019-COR06, Class A3 | 2.795 | 11/13/52 | 80,750 | 75,834,578 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP03, Class A4 | 2.627 | 08/15/49 | 15,160 | 15,043,647 | |
| KRE Commercial Mortgage Trust, Series 2025-AIP04, Class A, 144A, 1 Month SOFR + 1.300% (Cap N/A, Floor 1.300%) | 4.980(c) | 03/15/42 | 31,021 | 30,982,473 | |
| LSTAR Commercial Mortgage Trust, Series 2017-05, Class A4, 144A | 3.390 | 03/10/50 | 8,500 | 8,463,511 | |
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, 144A, 1 Month SOFR + 2.715% (Cap N/A, Floor 2.601%) | 6.395(c) | 04/15/38 | 14,566 | 14,565,600 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | |||||
| Series 2017-C34, Class A3 | 3.276 | 11/15/52 | 18,615 | 18,355,918 | |
| Series 2025-05C1, Class A3 | 5.635 | 03/15/58 | 45,000 | 47,028,883 | |
| Morgan Stanley Capital I Trust, | |||||
| Series 2017-H01, Class A4 | 3.259 | 06/15/50 | 51,175 | 50,730,090 | |
| Series 2018-H03, Class A4 | 3.914 | 07/15/51 | 5,199 | 5,167,472 | |
| Series 2018-H04, Class A3 | 4.043 | 12/15/51 | 16,356 | 16,231,466 | |
| Series 2019-H06, Class A3 | 3.158 | 06/15/52 | 31,881 | 30,875,705 | |
| Series 2019-H07, Class A3 | 3.005 | 07/15/52 | 66,390 | 63,776,052 | |
| Series 2019-L02, Class A3 | 3.806 | 03/15/52 | 43,236 | 42,640,139 | |
| Series 2019-L03, Class A3 | 2.874 | 11/15/52 | 35,030 | 33,536,724 | |
| NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A, 144A, 1 Month SOFR + 1.393% (Cap N/A, Floor 1.393%) | 5.073(c) | 10/15/40 | 43,000 | 43,134,375 | |
| NYC Commercial Mortgage Trust, | |||||
| Series 2025-03BP, Class A, 144A, 1 Month SOFR + 1.213% (Cap N/A, Floor 1.213%) | 4.893(c) | 02/15/42 | 49,015 | 49,045,634 | |
| Series 2025-03BP, Class C, 144A, 1 Month SOFR + 1.892% (Cap N/A, Floor 1.892%) | 5.572(c) | 02/15/42 | 18,945 | 19,016,044 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| NYC Commercial Mortgage Trust, (cont’d.) | |||||
| Series 2025-03BP, Class D, 144A, 1 Month SOFR + 2.441% (Cap N/A, Floor 2.441%) | 6.121 %(c) | 02/15/42 | 25,000 | $25,125,000 | |
| One Bryant Park Trust, Series 2019-OBP, Class A, 144A | 2.516 | 09/15/54 | 7,000 | 6,521,934 | |
| SCG Commercial Mortgage Trust, Series 2025-DLFN, Class A, 144A, 1 Month SOFR + 1.200% (Cap N/A, Floor 1.200%) | 4.880(c) | 03/15/35 | 25,990 | 25,925,025 | |
| SG Commercial Mortgage Securities Trust, Series 2019-PREZ, Class A, 144A | 3.021 | 09/15/39 | 35,000 | 32,411,526 | |
| Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A | 3.126 | 07/05/36 | 20,955 | 20,838,149 | |
| SREIT Trust, Series 2021-MFP, Class F, 144A, 1 Month SOFR + 2.739% (Cap N/A, Floor 2.625%) | 6.420(c) | 11/15/38 | 62,913 | 62,893,452 | |
| UBS Commercial Mortgage Trust, | |||||
| Series 2017-C01, Class A3 | 3.196 | 06/15/50 | 6,639 | 6,578,383 | |
| Series 2017-C05, Class A4 | 3.212 | 11/15/50 | 21,220 | 20,914,929 | |
| Series 2017-C06, Class A4 | 3.320 | 12/15/50 | 29,785 | 29,446,491 | |
| Series 2018-C10, Class A3 | 4.048 | 05/15/51 | 59,378 | 59,215,428 | |
| Series 2018-C11, Class A4 | 3.977 | 06/15/51 | 39,214 | 39,172,344 | |
| Series 2018-C15, Class A3 | 4.075 | 12/15/51 | 16,998 | 16,831,435 | |
| Series 2019-C16, Class A3 | 3.344 | 04/15/52 | 31,500 | 31,039,653 | |
| Series 2019-C16, Class XB, IO | 0.852(cc) | 04/15/52 | 96,253 | 2,400,425 | |
| Series 2019-C17, Class A3 | 2.669 | 10/15/52 | 80,671 | 77,015,563 | |
| Series 2019-C18, Class A3 | 2.782 | 12/15/52 | 22,850 | 21,677,199 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C05, Class XB, IO, 144A | 0.107(cc) | 03/10/46 | 41,314 | 116 | |
| WCORE Commercial Mortgage Trust, Series 2024-CORE, Class C, 144A, 1 Month SOFR + 2.241% (Cap N/A, Floor 2.241%) | 5.921(c) | 11/15/41 | 15,200 | 15,285,500 | |
| Wells Fargo Commercial Mortgage Trust, | |||||
| Series 2016-C34, Class XB, IO | 0.965(cc) | 06/15/49 | 36,018 | 44,115 | |
| Series 2016-C35, Class XB, IO | 0.920(cc) | 07/15/48 | 55,952 | 76,693 | |
| Series 2016-C36, Class A3 | 2.807 | 11/15/59 | 26,080 | 25,886,747 | |
| Series 2017-C39, Class A4 | 3.157 | 09/15/50 | 36,567 | 36,017,256 | |
| Series 2018-C43, Class A4 | 4.012(cc) | 03/15/51 | 1,000 | 995,896 | |
| Series 2018-C44, Class A4 | 3.948 | 05/15/51 | 19,843 | 19,793,913 | |
| Series 2018-C45, Class A3 | 3.920 | 06/15/51 | 23,154 | 23,032,064 | |
| Series 2018-C47, Class A3 | 4.175 | 09/15/61 | 37,090 | 37,154,121 | |
| Series 2019-C50, Class A4 | 3.466 | 05/15/52 | 34,566 | 33,900,275 | |
| Series 2019-C52, Class A4 | 2.643 | 08/15/52 | 85,830 | 81,958,531 | |
| Series 2019-C53, Class A3 | 2.787 | 10/15/52 | 5,951 | 5,668,853 | |
| Series 2019-C54, Class A3 | 2.892 | 12/15/52 | 42,492 | 40,537,664 | |
| Series 2020-C55, Class A4 | 2.474 | 02/15/53 | 58,725 | 54,795,499 | |
| Series 2024-01CHI, Class A, 144A | 5.484(cc) | 07/15/35 | 75,100 | 75,724,817 | |
| Total Commercial Mortgage-Backed Securities (cost $5,050,945,019) | 4,945,122,511 | ||||
| Corporate Bonds 30.7% | |||||
| Aerospace & Defense 0.9% | |||||
| BAE Systems PLC (United Kingdom), Sr. Unsec’d. Notes, 144A | 3.400 | 04/15/30 | 17,620 | 17,025,931 | |
| Boeing Co. (The), | |||||
| Sr. Unsec’d. Notes | 2.196 | 02/04/26 | 196,834 | 196,834,000 | |
| Sr. Unsec’d. Notes | 2.750 | 02/01/26 | 8,273 | 8,273,000 | |
| Sr. Unsec’d. Notes(a) | 3.250 | 02/01/28 | 14,855 | 14,634,633 | |
| Sr. Unsec’d. Notes | 3.550 | 03/01/38 | 15,098 | 12,721,629 | |
| Sr. Unsec’d. Notes(a) | 3.600 | 05/01/34 | 14,772 | 13,444,772 | |
| Sr. Unsec’d. Notes | 3.625 | 03/01/48 | 2,130 | 1,525,167 | |
| Sr. Unsec’d. Notes | 3.850 | 11/01/48 | 990 | 734,391 | |
| Sr. Unsec’d. Notes | 3.900 | 05/01/49 | 44,475 | 33,241,429 | |
| Sr. Unsec’d. Notes | 3.950 | 08/01/59 | 14,670 | 10,391,642 | |
| Sr. Unsec’d. Notes | 5.705 | 05/01/40 | 22,420 | 22,921,039 | |
| Sr. Unsec’d. Notes | 5.805 | 05/01/50 | 23,258 | 22,947,611 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Aerospace & Defense (cont’d.) | |||||
| Boeing Co. (The), (cont’d.) | |||||
| Sr. Unsec’d. Notes | 5.930 % | 05/01/60 | 52,200 | $51,383,136 | |
| Bombardier, Inc. (Canada), | |||||
| Sr. Unsec’d. Notes, 144A(a) | 6.000 | 02/15/28 | 42,750 | 42,803,438 | |
| Sr. Unsec’d. Notes, 144A(a) | 6.750 | 06/15/33 | 7,645 | 8,036,806 | |
| Sr. Unsec’d. Notes, 144A(a) | 7.500 | 02/01/29 | 3,675 | 3,812,813 | |
| HEICO Corp., Gtd. Notes | 5.250 | 08/01/28 | 9,750 | 10,021,062 | |
| L3Harris Technologies, Inc., Sr. Unsec’d. Notes(a) | 5.050 | 06/01/29 | 15,850 | 16,285,066 | |
| Spirit AeroSystems, Inc., Sr. Sec’d. Notes | 3.850 | 06/15/26 | 1,660 | 1,656,289 | |
| 488,693,854 | |||||
| Agriculture 0.6% | |||||
| Altria Group, Inc., | |||||
| Gtd. Notes | 3.400 | 02/04/41 | 39,709 | 30,605,252 | |
| Gtd. Notes | 4.250 | 08/09/42 | 15,984 | 13,354,887 | |
| BAT Capital Corp. (United Kingdom), | |||||
| Gtd. Notes | 2.259 | 03/25/28 | 41,745 | 40,214,219 | |
| Gtd. Notes | 3.557 | 08/15/27 | 12,287 | 12,200,579 | |
| Gtd. Notes | 4.390 | 08/15/37 | 69,276 | 63,339,269 | |
| Gtd. Notes | 5.834 | 02/20/31 | 4,000 | 4,241,792 | |
| Gtd. Notes | 6.343 | 08/02/30 | 10,195 | 10,999,163 | |
| Gtd. Notes | 7.750 | 10/19/32 | 5,000 | 5,828,192 | |
| BAT International Finance PLC (United Kingdom), | |||||
| Gtd. Notes | 1.668 | 03/25/26 | 9,736 | 9,703,349 | |
| Gtd. Notes | 5.931 | 02/02/29 | 23,565 | 24,713,356 | |
| Bunge Ltd. Finance Corp., Gtd. Notes(a) | 2.750 | 05/14/31 | 6,500 | 5,982,446 | |
| Imperial Brands Finance PLC (United Kingdom), | |||||
| Gtd. Notes, 144A, MTN | 5.500 | 02/01/30 | 10,804 | 11,198,337 | |
| Gtd. Notes, 144A, MTN | 5.875 | 07/01/34 | 1,395 | 1,454,699 | |
| Philip Morris International, Inc., | |||||
| Sr. Unsec’d. Notes | 2.100 | 05/01/30 | 30,645 | 28,099,989 | |
| Sr. Unsec’d. Notes(a) | 3.125 | 03/02/28 | 1,802 | 1,774,883 | |
| Sr. Unsec’d. Notes | 4.875 | 02/13/29 | 1,198 | 1,226,344 | |
| Sr. Unsec’d. Notes | 5.250 | 02/13/34 | 9,347 | 9,642,122 | |
| Sr. Unsec’d. Notes(h) | 5.625 | 09/07/33 | 52,304 | 55,292,003 | |
| Reynolds American, Inc. (United Kingdom), | |||||
| Gtd. Notes | 5.700 | 08/15/35 | 737 | 764,629 | |
| Gtd. Notes | 7.250 | 06/15/37 | 983 | 1,130,048 | |
| 331,765,558 | |||||
| Airlines 0.4% | |||||
| American Airlines 2014-1 Class A Pass-Through Trust, Pass-Through Certificates | 3.700 | 04/01/28 | 1,361 | 1,356,366 | |
| American Airlines 2015-1 Class A Pass-Through Trust, Pass-Through Certificates | 3.375 | 11/01/28 | 5,604 | 5,535,621 | |
| American Airlines 2015-2 Class AA Pass-Through Trust, Pass-Through Certificates | 3.600 | 03/22/29 | 6,888 | 6,821,652 | |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., Sr. Sec’d. Notes, 144A(a) | 5.750 | 04/20/29 | 5,660 | 5,714,831 | |
| Delta Air Lines 2020-1 Class AA Pass-Through Trust, Pass-Through Certificates | 2.000 | 12/10/29 | 20,577 | 19,861,942 | |
| Delta Air Lines, Inc./SkyMiles IP Ltd., Sr. Sec’d. Notes, 144A | 4.750 | 10/20/28 | 53,955 | 54,249,594 | |
| Southwest Airlines Co., Sr. Unsec’d. Notes | 5.125 | 06/15/27 | 38,315 | 38,779,620 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Airlines (cont’d.) | |||||
| United Airlines 2015-1 Class AA Pass-Through Trust, Pass-Through Certificates | 3.450 % | 06/01/29 | 6,012 | $5,925,089 | |
| United Airlines 2016-2 Class AA Pass-Through Trust, Pass-Through Certificates | 2.875 | 04/07/30 | 9,955 | 9,597,742 | |
| United Airlines 2018-1 Class AA Pass-Through Trust, Pass-Through Certificates | 3.500 | 09/01/31 | 8,015 | 7,885,932 | |
| United Airlines 2019-2 Class AA Pass-Through Trust, Pass-Through Certificates(a) | 2.700 | 11/01/33 | 7,270 | 6,736,529 | |
| United Airlines Holdings, Inc., Gtd. Notes | 5.375 | 03/01/31 | 18,380 | 18,566,452 | |
| United Airlines, Inc., | |||||
| Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 34,860 | 34,834,399 | |
| Sr. Sec’d. Notes, 144A | 4.625 | 04/15/29 | 9,665 | 9,655,520 | |
| VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Switzerland), Sr. Unsec’d. Notes, 144A | 6.375 | 02/01/30 | 1,925 | 1,828,750 | |
| 227,350,039 | |||||
| Apparel 0.0% | |||||
| PVH Corp., Sr. Unsec’d. Notes | 5.500 | 06/13/30 | 2,240 | 2,277,321 | |
| Auto Manufacturers 0.8% | |||||
| Ford Motor Co., | |||||
| Sr. Unsec’d. Notes | 3.250 | 02/12/32 | 1,055 | 939,640 | |
| Sr. Unsec’d. Notes | 4.750 | 01/15/43 | 13,282 | 10,645,835 | |
| Ford Motor Credit Co. LLC, | |||||
| Sr. Unsec’d. Notes | 2.700 | 08/10/26 | 24,254 | 24,054,365 | |
| Sr. Unsec’d. Notes | 2.900 | 02/16/28 | 16,452 | 15,921,612 | |
| Sr. Unsec’d. Notes | 2.900 | 02/10/29 | 3,279 | 3,107,455 | |
| Sr. Unsec’d. Notes | 3.625 | 06/17/31 | 2,010 | 1,857,184 | |
| Sr. Unsec’d. Notes | 4.125 | 08/17/27 | 11,147 | 11,093,333 | |
| Sr. Unsec’d. Notes | 4.271 | 01/09/27 | 44,065 | 44,046,527 | |
| Sr. Unsec’d. Notes | 4.950 | 05/28/27 | 2,000 | 2,011,434 | |
| Sr. Unsec’d. Notes(a) | 5.113 | 05/03/29 | 3,250 | 3,275,338 | |
| Sr. Unsec’d. Notes | 5.125 | 11/05/26 | 864 | 868,481 | |
| Sr. Unsec’d. Notes | 5.800 | 03/05/27 | 4,115 | 4,172,409 | |
| Sr. Unsec’d. Notes(a) | 5.800 | 03/08/29 | 15,525 | 15,955,586 | |
| Sr. Unsec’d. Notes(a) | 5.850 | 05/17/27 | 12,674 | 12,883,181 | |
| Sr. Unsec’d. Notes(a) | 5.875 | 11/07/29 | 12,500 | 12,888,517 | |
| Sr. Unsec’d. Notes | 6.950 | 03/06/26 | 8,988 | 8,989,863 | |
| Sr. Unsec’d. Notes(a) | 7.350 | 03/06/30 | 1,815 | 1,958,642 | |
| General Motors Co., | |||||
| Sr. Unsec’d. Notes | 5.200 | 04/01/45 | 2,660 | 2,398,059 | |
| Sr. Unsec’d. Notes | 6.250 | 10/02/43 | 5,906 | 6,023,288 | |
| Sr. Unsec’d. Notes | 6.600 | 04/01/36 | 3,260 | 3,552,290 | |
| Sr. Unsec’d. Notes(a) | 6.750 | 04/01/46 | 3,172 | 3,402,039 | |
| General Motors Financial Co., Inc., | |||||
| Gtd. Notes | 3.850 | 01/05/28 | 20,453 | 20,393,460 | |
| Gtd. Notes | 4.000 | 10/06/26 | 7,785 | 7,784,320 | |
| Gtd. Notes | 4.350 | 01/17/27 | 4,416 | 4,426,841 | |
| Sr. Unsec’d. Notes | 2.350 | 01/08/31 | 84,135 | 75,846,300 | |
| Sr. Unsec’d. Notes | 2.400 | 10/15/28 | 1,680 | 1,606,546 | |
| Sr. Unsec’d. Notes | 2.700 | 08/20/27 | 2,435 | 2,385,101 | |
| Sr. Unsec’d. Notes | 5.550 | 07/15/29 | 720 | 747,615 | |
| Sr. Unsec’d. Notes | 5.650 | 01/17/29 | 2,775 | 2,875,231 | |
| Sr. Unsec’d. Notes | 5.800 | 06/23/28 | 1,370 | 1,419,314 | |
| Hyundai Capital America, | |||||
| Sr. Unsec’d. Notes, 144A | 4.550 | 09/26/29 | 4,000 | 4,029,073 | |
| Sr. Unsec’d. Notes, 144A | 5.100 | 06/24/30 | 25,370 | 25,975,312 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Auto Manufacturers (cont’d.) | |||||
| Hyundai Capital America, (cont’d.) | |||||
| Sr. Unsec’d. Notes, 144A | 5.350 % | 03/19/29 | 7,175 | $7,394,304 | |
| Volkswagen Group of America Finance LLC (Germany), | |||||
| Gtd. Notes, 144A | 4.950 | 08/15/29 | 1,490 | 1,511,196 | |
| Gtd. Notes, 144A | 5.050 | 03/27/28 | 32,852 | 33,306,222 | |
| Gtd. Notes, 144A(a) | 5.250 | 03/22/29 | 23,837 | 24,373,108 | |
| 404,119,021 | |||||
| Auto Parts & Equipment 0.2% | |||||
| Aptiv Swiss Holdings Ltd., Gtd. Notes(a) | 6.875(ff) | 12/15/54 | 4,965 | 5,137,211 | |
| Clarios Global LP/Clarios US Finance Co., Sr. Sec’d. Notes, 144A | 6.750 | 02/15/30 | 2,150 | 2,246,107 | |
| Qnity Electronics, Inc., | |||||
| Gtd. Notes, 144A | 6.250 | 08/15/33 | 3,650 | 3,769,183 | |
| Sr. Sec’d. Notes, 144A | 5.750 | 08/15/32 | 4,000 | 4,072,924 | |
| Tenneco, Inc., Sr. Sec’d. Notes, 144A | 8.000 | 11/17/28 | 62,743 | 63,091,176 | |
| 78,316,601 | |||||
| Banks 8.8% | |||||
| Banco Santander SA (Spain), | |||||
| Sr. Non-Preferred Notes | 5.552(ff) | 03/14/28 | 40,600 | 41,219,304 | |
| Sub. Notes | 2.749 | 12/03/30 | 6,400 | 5,828,053 | |
| Bank of America Corp., | |||||
| Jr. Sub. Notes | 6.250(ff) | 07/26/30(oo) | 36,615 | 37,214,006 | |
| Jr. Sub. Notes, Series FF(a) | 5.875(ff) | 03/15/28(oo) | 5,595 | 5,659,911 | |
| Sr. Unsec’d. Notes | 2.687(ff) | 04/22/32 | 267,035 | 244,848,289 | |
| Sr. Unsec’d. Notes, GMTN | 3.593(ff) | 07/21/28 | 77,865 | 77,387,777 | |
| Sr. Unsec’d. Notes, MTN | 1.898(ff) | 07/23/31 | 48,286 | 43,451,914 | |
| Sr. Unsec’d. Notes, MTN | 1.922(ff) | 10/24/31 | 14,481 | 12,953,744 | |
| Sr. Unsec’d. Notes, MTN | 2.496(ff) | 02/13/31 | 219,885 | 204,919,238 | |
| Sr. Unsec’d. Notes, MTN | 2.972(ff) | 02/04/33 | 26,185 | 23,936,330 | |
| Sr. Unsec’d. Notes, MTN | 3.194(ff) | 07/23/30 | 45,315 | 43,822,670 | |
| Sr. Unsec’d. Notes, MTN | 3.824(ff) | 01/20/28 | 26,803 | 26,759,782 | |
| Sr. Unsec’d. Notes, MTN | 4.083(ff) | 03/20/51 | 21,644 | 17,298,062 | |
| Sr. Unsec’d. Notes, MTN | 4.271(ff) | 07/23/29 | 1,030 | 1,034,435 | |
| Sr. Unsec’d. Notes, Series N | 2.651(ff) | 03/11/32 | 40,400 | 37,063,057 | |
| Sub. Notes, MTN | 4.450 | 03/03/26 | 21,450 | 21,456,077 | |
| Barclays PLC (United Kingdom), | |||||
| Sr. Unsec’d. Notes | 2.667(ff) | 03/10/32 | 7,000 | 6,365,449 | |
| Sr. Unsec’d. Notes | 2.894(ff) | 11/24/32 | 3,745 | 3,396,545 | |
| Sr. Unsec’d. Notes | 4.476(ff) | 11/11/29 | 5,825 | 5,855,042 | |
| Sr. Unsec’d. Notes | 4.942(ff) | 09/10/30 | 40,628 | 41,349,911 | |
| Sr. Unsec’d. Notes | 5.501(ff) | 08/09/28 | 6,885 | 7,021,537 | |
| Sr. Unsec’d. Notes | 5.785(ff) | 02/25/36 | 6,035 | 6,281,877 | |
| Sr. Unsec’d. Notes | 6.692(ff) | 09/13/34 | 4,100 | 4,522,257 | |
| Sr. Unsec’d. Notes | 7.437(ff) | 11/02/33 | 4,130 | 4,710,315 | |
| Sub. Notes | 4.836 | 05/09/28 | 7,715 | 7,770,828 | |
| BNP Paribas SA (France), | |||||
| Sr. Non-Preferred Notes, 144A | 1.904(ff) | 09/30/28 | 32,200 | 31,035,619 | |
| Sr. Non-Preferred Notes, 144A | 2.159(ff) | 09/15/29 | 19,050 | 18,043,451 | |
| Sr. Non-Preferred Notes, 144A | 2.591(ff) | 01/20/28 | 19,375 | 19,099,958 | |
| Sr. Non-Preferred Notes, 144A | 2.871(ff) | 04/19/32 | 27,265 | 24,896,290 | |
| Sr. Non-Preferred Notes, 144A | 3.132(ff) | 01/20/33 | 15,150 | 13,797,575 | |
| Sr. Non-Preferred Notes, 144A | 4.400 | 08/14/28 | 4,458 | 4,475,643 | |
| Sr. Non-Preferred Notes, 144A, MTN | 3.052(ff) | 01/13/31 | 17,340 | 16,402,475 | |
| Sr. Non-Preferred Notes, 144A, MTN | 3.500 | 11/16/27 | 17,175 | 16,991,343 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| BPCE SA (France), | |||||
| Sr. Non-Preferred Notes, 144A | 5.936 %(ff) | 05/30/35 | 14,539 | $15,184,142 | |
| Sr. Non-Preferred Notes, 144A, MTN(a) | 3.500 | 10/23/27 | 4,330 | 4,282,496 | |
| Sr. Preferred Notes, 144A, MTN | 3.250 | 01/11/28 | 6,850 | 6,746,066 | |
| Sub. Notes, 144A, MTN | 4.875 | 04/01/26 | 1,015 | 1,015,516 | |
| CaixaBank SA (Spain), | |||||
| Sr. Non-Preferred Notes, 144A | 5.581(ff) | 07/03/36 | 65,503 | 66,958,215 | |
| Sr. Non-Preferred Notes, 144A | 6.037(ff) | 06/15/35 | 52,618 | 55,810,303 | |
| Sr. Non-Preferred Notes, 144A | 6.840(ff) | 09/13/34 | 61,848 | 68,790,438 | |
| Capital One NA, Sr. Unsec’d. Notes | 4.250 | 03/13/26 | 675 | 675,075 | |
| Cassa Depositi e Prestiti SpA (Italy), | |||||
| Sr. Unsec’d. Notes, 144A | 4.375 | 10/01/30 | 12,600 | 12,563,071 | |
| Sr. Unsec’d. Notes, 144A | 5.750 | 05/05/26 | 15,200 | 15,259,055 | |
| Sr. Unsec’d. Notes, 144A | 5.875 | 04/30/29 | 20,510 | 21,533,369 | |
| Citigroup, Inc., | |||||
| Jr. Sub. Notes | 6.625(ff) | 02/15/31(oo) | 23,660 | 24,072,179 | |
| Jr. Sub. Notes, Series GG | 6.875(ff) | 08/15/30(oo) | 46,837 | 47,861,076 | |
| Jr. Sub. Notes, Series X | 3.875(ff) | 02/18/26(oo) | 26,270 | 26,237,300 | |
| Sr. Unsec’d. Notes | 2.666(ff) | 01/29/31 | 195,755 | 183,370,310 | |
| Sr. Unsec’d. Notes(a) | 2.904(ff) | 11/03/42 | 53,586 | 39,457,650 | |
| Sr. Unsec’d. Notes | 3.057(ff) | 01/25/33 | 23,165 | 21,201,414 | |
| Sr. Unsec’d. Notes | 3.200 | 10/21/26 | 30,952 | 30,808,116 | |
| Sr. Unsec’d. Notes | 3.668(ff) | 07/24/28 | 12,612 | 12,547,840 | |
| Sr. Unsec’d. Notes | 3.785(ff) | 03/17/33 | 63,929 | 60,836,478 | |
| Sr. Unsec’d. Notes | 3.887(ff) | 01/10/28 | 1,700 | 1,697,791 | |
| Sr. Unsec’d. Notes | 4.542(ff) | 09/19/30 | 21,090 | 21,269,487 | |
| Sub. Notes | 4.450 | 09/29/27 | 470 | 473,120 | |
| Sub. Notes | 4.750 | 05/18/46 | 42,640 | 37,399,974 | |
| Comerica, Inc., Sr. Unsec’d. Notes | 5.982(ff) | 01/30/30 | 24,593 | 25,705,746 | |
| Credit Agricole SA (France), | |||||
| Sr. Non-Preferred Notes, 144A, MTN(a) | 4.631(ff) | 09/11/28 | 19,955 | 20,094,942 | |
| Sr. Non-Preferred Notes, 144A, MTN | 5.222(ff) | 05/27/31 | 10,865 | 11,134,999 | |
| Danske Bank A/S (Denmark), | |||||
| Sr. Non-Preferred Notes, 144A | 4.613(ff) | 10/02/30 | 19,490 | 19,620,363 | |
| Sr. Non-Preferred Notes, 144A(a) | 5.705(ff) | 03/01/30 | 43,015 | 44,713,219 | |
| Sr. Non-Preferred Notes, 144A, MTN | 5.019(ff) | 03/04/31 | 4,470 | 4,552,704 | |
| Deutsche Bank AG (Germany), | |||||
| Sr. Non-Preferred Notes | 2.311(ff) | 11/16/27 | 815 | 803,222 | |
| Sr. Non-Preferred Notes(a) | 2.552(ff) | 01/07/28 | 2,170 | 2,137,359 | |
| Sr. Non-Preferred Notes | 4.950(ff) | 08/04/31 | 43,922 | 44,371,630 | |
| Sr. Non-Preferred Notes | 5.297(ff) | 05/09/31 | 7,220 | 7,388,930 | |
| Sr. Non-Preferred Notes | 5.373(ff) | 01/10/29 | 7,070 | 7,218,311 | |
| Sr. Non-Preferred Notes | 6.720(ff) | 01/18/29 | 12,325 | 12,911,102 | |
| Sr. Non-Preferred Notes(a) | 7.146(ff) | 07/13/27 | 8,015 | 8,117,067 | |
| Sub. Notes | 3.729(ff) | 01/14/32 | 15,400 | 14,581,810 | |
| Goldman Sachs Group, Inc. (The), | |||||
| Jr. Sub. Notes, Series U | 3.650(ff) | 08/10/26(oo) | 5,965 | 5,913,071 | |
| Sr. Unsec’d. Notes | 1.431(ff) | 03/09/27 | 15,995 | 15,951,466 | |
| Sr. Unsec’d. Notes | 1.992(ff) | 01/27/32 | 48,415 | 42,959,930 | |
| Sr. Unsec’d. Notes | 2.615(ff) | 04/22/32 | 54,500 | 49,619,357 | |
| Sr. Unsec’d. Notes | 3.210(ff) | 04/22/42 | 110,085 | 84,205,504 | |
| Sr. Unsec’d. Notes | 3.814(ff) | 04/23/29 | 16,800 | 16,695,494 | |
| Sr. Unsec’d. Notes | 3.850 | 01/26/27 | 31,440 | 31,442,222 | |
| Sr. Unsec’d. Notes(a) | 4.223(ff) | 05/01/29 | 10,000 | 10,020,755 | |
| Sr. Unsec’d. Notes, MTN | 4.800 | 07/08/44 | 12,700 | 11,683,326 | |
| Sub. Notes | 6.750 | 10/01/37 | 216 | 239,636 | |
| Hamburg Commercial Bank AG (Germany), Sub. Notes, EMTN, SOFR + 0.667% | 4.350(c) | 03/21/31 | 40,000 | 38,539,432 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| HSBC Holdings PLC (United Kingdom), | |||||
| Sr. Unsec’d. Notes | 2.013 %(ff) | 09/22/28 | 6,010 | $5,808,496 | |
| Sr. Unsec’d. Notes | 4.619(ff) | 11/06/31 | 4,415 | 4,428,898 | |
| Sr. Unsec’d. Notes | 5.887(ff) | 08/14/27 | 1,625 | 1,639,745 | |
| Huntington Bancshares, Inc., | |||||
| Sr. Unsec’d. Notes | 5.709(ff) | 02/02/35 | 23,395 | 24,337,932 | |
| Sr. Unsec’d. Notes | 6.208(ff) | 08/21/29 | 9,560 | 10,018,835 | |
| Intesa Sanpaolo SpA (Italy), | |||||
| Sr. Non-Preferred Notes, 144A(a) | 7.778(ff) | 06/20/54 | 14,870 | 17,870,107 | |
| Sr. Preferred Notes, 144A | 7.800 | 11/28/53 | 1,820 | 2,232,755 | |
| JPMorgan Chase & Co., | |||||
| Jr. Sub. Notes, Series CC, 3 Month SOFR + 2.842%(a) | 6.505(c) | 05/01/26(oo) | 30,100 | 30,307,545 | |
| Jr. Sub. Notes, Series II, 3 Month SOFR + 2.745% | 6.406(c) | 04/01/26(oo) | 89,955 | 90,282,541 | |
| Jr. Sub. Notes, Series KK(a) | 3.650(ff) | 06/01/26(oo) | 28,750 | 28,706,351 | |
| Sr. Unsec’d. Notes(a) | 1.953(ff) | 02/04/32 | 115,410 | 102,756,916 | |
| Sr. Unsec’d. Notes | 2.522(ff) | 04/22/31 | 63,170 | 58,826,135 | |
| Sr. Unsec’d. Notes | 2.545(ff) | 11/08/32 | 105,105 | 94,664,286 | |
| Sr. Unsec’d. Notes | 2.580(ff) | 04/22/32 | 19,240 | 17,563,301 | |
| Sr. Unsec’d. Notes | 2.739(ff) | 10/15/30 | 127,835 | 121,488,525 | |
| Sr. Unsec’d. Notes | 3.300 | 04/01/26 | 15,205 | 15,190,285 | |
| Sr. Unsec’d. Notes | 3.702(ff) | 05/06/30 | 91,135 | 89,844,122 | |
| Sr. Unsec’d. Notes | 3.964(ff) | 11/15/48 | 7,285 | 5,859,238 | |
| Sr. Unsec’d. Notes | 4.005(ff) | 04/23/29 | 52,470 | 52,425,174 | |
| Sr. Unsec’d. Notes | 4.565(ff) | 06/14/30 | 14,310 | 14,479,933 | |
| Sr. Unsec’d. Notes(a) | 4.995(ff) | 07/22/30 | 8,490 | 8,712,226 | |
| JPMorgan Chase Bank NA, Sr. Unsec’d. Notes(a) | 5.110 | 12/08/26 | 2,835 | 2,864,027 | |
| Kasikornbank PCL (Thailand), Sub. Notes, EMTN | 3.343(ff) | 10/02/31 | 8,650 | 8,541,399 | |
| KeyCorp, Sr. Unsec’d. Notes, MTN(a) | 2.550 | 10/01/29 | 13,917 | 13,169,088 | |
| Lloyds Banking Group PLC (United Kingdom), Sr. Unsec’d. Notes | 3.750 | 01/11/27 | 14,595 | 14,585,475 | |
| Mizuho Financial Group, Inc. (Japan), Sr. Unsec’d. Notes | 3.170 | 09/11/27 | 9,800 | 9,687,302 | |
| Morgan Stanley, | |||||
| Sr. Unsec’d. Notes | 3.217(ff) | 04/22/42 | 2,515 | 1,951,562 | |
| Sr. Unsec’d. Notes | 5.320(ff) | 07/19/35 | 37,210 | 38,127,851 | |
| Sr. Unsec’d. Notes | 5.466(ff) | 01/18/35 | 58,319 | 60,285,316 | |
| Sr. Unsec’d. Notes, GMTN | 2.239(ff) | 07/21/32 | 95,450 | 84,653,647 | |
| Sr. Unsec’d. Notes, GMTN | 2.699(ff) | 01/22/31 | 129,705 | 121,728,892 | |
| Sr. Unsec’d. Notes, GMTN | 3.772(ff) | 01/24/29 | 50,085 | 49,813,069 | |
| Sr. Unsec’d. Notes, GMTN | 4.431(ff) | 01/23/30 | 10,525 | 10,595,459 | |
| Sr. Unsec’d. Notes, MTN | 1.794(ff) | 02/13/32 | 69,925 | 61,363,241 | |
| Sr. Unsec’d. Notes, MTN | 1.928(ff) | 04/28/32 | 88,076 | 77,378,908 | |
| Sr. Unsec’d. Notes, MTN | 2.511(ff) | 10/20/32 | 23,000 | 20,634,218 | |
| Sr. Unsec’d. Notes, MTN | 2.802(ff) | 01/25/52 | 38,692 | 24,519,487 | |
| Sr. Unsec’d. Notes, MTN | 2.943(ff) | 01/21/33 | 10,000 | 9,115,786 | |
| Sr. Unsec’d. Notes, MTN | 3.125 | 07/27/26 | 17,990 | 17,925,143 | |
| Sr. Unsec’d. Notes, MTN | 3.591(cc) | 07/22/28 | 29,190 | 28,999,497 | |
| Sr. Unsec’d. Notes, MTN | 5.250(ff) | 04/21/34 | 14,145 | 14,499,270 | |
| Sr. Unsec’d. Notes, MTN, Series I(a) | 4.892(ff) | 10/22/36 | 5,000 | 4,920,851 | |
| Sub. Notes, GMTN | 4.350 | 09/08/26 | 14,335 | 14,363,900 | |
| Sub. Notes, MTN | 3.950 | 04/23/27 | 16,325 | 16,319,561 | |
| NatWest Group PLC (United Kingdom), Sr. Unsec’d. Notes | 5.115(ff) | 05/23/31 | 1,585 | 1,623,826 | |
| PNC Bank NA, Sub. Notes | 4.050 | 07/26/28 | 1,200 | 1,200,132 | |
| PNC Financial Services Group, Inc. (The), | |||||
| Sr. Unsec’d. Notes | 3.450 | 04/23/29 | 4,815 | 4,744,612 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| PNC Financial Services Group, Inc. (The), (cont’d.) | |||||
| Sr. Unsec’d. Notes | 5.582 %(ff) | 06/12/29 | 30,325 | $31,387,205 | |
| Rheinland-Pfalz Bank (Germany), Sub. Notes, 144A(a) | 6.875 | 02/23/28 | 10,500 | 10,969,118 | |
| Sumitomo Mitsui Financial Group, Inc. (Japan), | |||||
| Sr. Unsec’d. Notes | 4.954(ff) | 07/08/33 | 7,500 | 7,611,410 | |
| Sr. Unsec’d. Notes(a) | 5.046(ff) | 01/15/37 | 14,245 | 14,205,194 | |
| Sr. Unsec’d. Notes | 5.246(ff) | 07/08/36 | 74,985 | 76,437,399 | |
| Truist Financial Corp., | |||||
| Jr. Sub. Notes, Series N | 6.669(ff) | 03/01/26(oo) | 34,643 | 34,708,699 | |
| Sr. Unsec’d. Notes, MTN(a) | 4.873(ff) | 01/26/29 | 555 | 563,604 | |
| Sr. Unsec’d. Notes, MTN | 5.867(ff) | 06/08/34 | 11,290 | 11,953,186 | |
| Sr. Unsec’d. Notes, MTN | 7.161(ff) | 10/30/29 | 20,905 | 22,501,820 | |
| Sub. Notes, MTN | 3.875 | 03/19/29 | 7,090 | 7,018,994 | |
| U.S. Bancorp, Sr. Unsec’d. Notes | 5.836(ff) | 06/12/34 | 2,155 | 2,282,831 | |
| UBS Group AG (Switzerland), | |||||
| Sr. Unsec’d. Notes | 4.550 | 04/17/26 | 4,065 | 4,071,031 | |
| Sr. Unsec’d. Notes, 144A | 1.305(ff) | 02/02/27 | 4,900 | 4,898,862 | |
| Sr. Unsec’d. Notes, 144A | 2.746(ff) | 02/11/33 | 22,794 | 20,398,043 | |
| Sr. Unsec’d. Notes, 144A | 3.126(ff) | 08/13/30 | 14,130 | 13,568,923 | |
| Sr. Unsec’d. Notes, 144A | 3.869(ff) | 01/12/29 | 8,734 | 8,684,728 | |
| Sr. Unsec’d. Notes, 144A | 4.125 | 04/15/26 | 2,440 | 2,440,863 | |
| Sr. Unsec’d. Notes, 144A | 4.194(ff) | 04/01/31 | 1,150 | 1,137,427 | |
| Sr. Unsec’d. Notes, 144A | 4.282 | 01/09/28 | 1,206 | 1,208,534 | |
| Sr. Unsec’d. Notes, 144A, MTN | 4.844(ff) | 11/06/33 | 98,415 | 98,361,767 | |
| Wells Fargo & Co., | |||||
| Sr. Unsec’d. Notes | 3.068(ff) | 04/30/41 | 64,795 | 49,986,149 | |
| Sr. Unsec’d. Notes | 5.150(ff) | 04/23/31 | 40,465 | 41,670,851 | |
| Sr. Unsec’d. Notes, MTN | 2.572(ff) | 02/11/31 | 189,245 | 176,767,421 | |
| Sr. Unsec’d. Notes, MTN | 2.879(ff) | 10/30/30 | 55,529 | 52,881,318 | |
| Sr. Unsec’d. Notes, MTN | 3.350(ff) | 03/02/33 | 41,995 | 39,139,214 | |
| 4,629,450,298 | |||||
| Beverages 0.2% | |||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), | |||||
| Gtd. Notes | 4.700 | 02/01/36 | 52,960 | 52,237,806 | |
| Gtd. Notes | 4.900 | 02/01/46 | 31,653 | 29,112,764 | |
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), | |||||
| Gtd. Notes | 4.439 | 10/06/48 | 2,330 | 2,000,882 | |
| Gtd. Notes | 8.000 | 11/15/39 | 1,880 | 2,387,389 | |
| Gtd. Notes | 8.200 | 01/15/39 | 445 | 570,896 | |
| 86,309,737 | |||||
| Biotechnology 0.1% | |||||
| Amgen, Inc., | |||||
| Sr. Unsec’d. Notes | 5.650 | 03/02/53 | 18,280 | 17,973,517 | |
| Sr. Unsec’d. Notes | 5.750 | 03/02/63 | 21,500 | 21,011,402 | |
| Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650 | 12/01/41 | 1,200 | 1,244,384 | |
| 40,229,303 | |||||
| Building Materials 0.1% | |||||
| Camelot Return Merger Sub, Inc., Sr. Sec’d. Notes, 144A | 8.750 | 08/01/28 | 1,900 | 1,475,019 | |
| Cemex SAB de CV (Mexico), Gtd. Notes | 3.125 | 03/19/26 | EUR | 750 | 886,790 |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Building Materials (cont’d.) | |||||
| Owens Corning, | |||||
| Sr. Unsec’d. Notes | 3.400 % | 08/15/26 | 3,315 | $3,302,717 | |
| Sr. Unsec’d. Notes | 4.300 | 07/15/47 | 8,585 | 7,032,406 | |
| Quikrete Holdings, Inc., | |||||
| Sr. Sec’d. Notes, 144A | 6.375 | 03/01/32 | 16,435 | 17,045,835 | |
| Sr. Unsec’d. Notes, 144A | 6.750 | 03/01/33 | 2,320 | 2,408,016 | |
| Smyrna Ready Mix Concrete LLC, Sr. Sec’d. Notes, 144A | 6.000 | 11/01/28 | 2,709 | 2,719,030 | |
| Standard Industries, Inc., | |||||
| Sr. Unsec’d. Notes, 144A(a) | 3.375 | 01/15/31 | 15,125 | 13,956,183 | |
| Sr. Unsec’d. Notes, 144A(a) | 4.375 | 07/15/30 | 2,600 | 2,510,861 | |
| Sr. Unsec’d. Notes, 144A | 4.750 | 01/15/28 | 1,325 | 1,318,868 | |
| 52,655,725 | |||||
| Chemicals 0.3% | |||||
| Ashland, Inc., Sr. Unsec’d. Notes | 6.875 | 05/15/43 | 11,140 | 11,740,114 | |
| Braskem Netherlands Finance BV (Brazil), | |||||
| Gtd. Notes | 4.500 | 01/10/28 | 2,600 | 1,180,400 | |
| Gtd. Notes, 144A | 4.500 | 01/10/28 | 15,682 | 7,119,628 | |
| Gtd. Notes, 144A | 4.500 | 01/31/30 | 11,857 | 5,035,668 | |
| Gtd. Notes, 144A | 8.500 | 01/12/31 | 47,933 | 20,491,358 | |
| Celanese US Holdings LLC, | |||||
| Gtd. Notes(a) | 6.850 | 11/15/28 | 2,790 | 2,929,280 | |
| Gtd. Notes | 7.050 | 11/15/30 | 4,375 | 4,622,918 | |
| CF Industries, Inc., Gtd. Notes | 4.950 | 06/01/43 | 6,755 | 6,088,726 | |
| Dow Chemical Co. (The), | |||||
| Sr. Unsec’d. Notes | 4.800 | 05/15/49 | 10,718 | 8,516,758 | |
| Sr. Unsec’d. Notes | 9.400 | 05/15/39 | 125 | 161,013 | |
| DuPont de Nemours, Inc., | |||||
| Sr. Unsec’d. Notes | 5.419 | 11/15/48 | 288 | 272,153 | |
| Sr. Unsec’d. Notes, 144A | 4.725 | 11/15/28 | 10,462 | 10,599,793 | |
| FMC Corp., Sr. Unsec’d. Notes | 4.500 | 10/01/49 | 12,925 | 8,090,871 | |
| Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.625 | 11/15/43 | 3,376 | 3,251,365 | |
| Nutrien Ltd. (Canada), | |||||
| Sr. Unsec’d. Notes | 4.900 | 06/01/43 | 3,370 | 3,047,781 | |
| Sr. Unsec’d. Notes | 5.250 | 01/15/45 | 8,000 | 7,454,318 | |
| OCP SA (Morocco), | |||||
| Sr. Unsec’d. Notes, 144A(a) | 3.750 | 06/23/31 | 4,572 | 4,247,388 | |
| Sr. Unsec’d. Notes, 144A | 6.750 | 05/02/34 | 28,050 | 30,049,685 | |
| Sasol Financing USA LLC (South Africa), | |||||
| Gtd. Notes | 6.500 | 09/27/28 | 7,510 | 7,465,391 | |
| Gtd. Notes | 8.750 | 05/03/29 | 15,000 | 15,351,750 | |
| 157,716,358 | |||||
| Commercial Services 0.8% | |||||
| Adtalem Global Education, Inc., Sr. Sec’d. Notes, 144A | 5.500 | 03/01/28 | 1,714 | 1,712,514 | |
| Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unsec’d. Notes, 144A | 6.000 | 06/01/29 | 20,025 | 19,856,824 | |
| Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, | |||||
| Sr. Sec’d. Notes, 144A | 4.625 | 06/01/28 | 20,190 | 19,881,699 | |
| Sr. Sec’d. Notes, 144A | 4.625 | 06/01/28 | 14,970 | 14,789,462 | |
| AMN Healthcare, Inc., Gtd. Notes, 144A | 4.000 | 04/15/29 | 2,656 | 2,540,273 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Commercial Services (cont’d.) | |||||
| California Institute of Technology, | |||||
| Sr. Unsec’d. Notes | 3.650 % | 09/01/2119 | 39,775 | $25,167,892 | |
| Sr. Unsec’d. Notes | 4.700 | 11/01/2111 | 2,105 | 1,687,547 | |
| DCLI Bidco LLC, Second Mortgage, 144A | 7.750 | 11/15/29 | 19,436 | 19,793,650 | |
| DP World Ltd. (United Arab Emirates), | |||||
| Sr. Unsec’d. Notes, 144A | 2.375 | 09/25/26 | EUR | 22,944 | 27,094,683 |
| Sr. Unsec’d. Notes, EMTN | 6.850 | 07/02/37 | 2,000 | 2,234,260 | |
| ERAC USA Finance LLC, | |||||
| Gtd. Notes, 144A | 3.300 | 12/01/26 | 10,390 | 10,345,018 | |
| Gtd. Notes, 144A | 6.700 | 06/01/34 | 1,840 | 2,054,585 | |
| Gtd. Notes, 144A | 7.000 | 10/15/37 | 4,090 | 4,713,625 | |
| Global Payments, Inc., | |||||
| Sr. Unsec’d. Notes | 4.500 | 11/15/28 | 69,650 | 69,948,130 | |
| Sr. Unsec’d. Notes | 4.950 | 08/15/27 | 9,080 | 9,185,401 | |
| Herc Holdings, Inc., | |||||
| Gtd. Notes, 144A | 5.750 | 03/15/31 | 18,809 | 18,933,450 | |
| Gtd. Notes, 144A | 6.000 | 03/15/34 | 3,460 | 3,476,293 | |
| Gtd. Notes, 144A | 7.000 | 06/15/30 | 12,960 | 13,596,649 | |
| Gtd. Notes, 144A(a) | 7.250 | 06/15/33 | 6,000 | 6,349,561 | |
| Johns Hopkins University, Sr. Unsec’d. Notes, Series A(a) | 2.813 | 01/01/60 | 8,040 | 4,739,294 | |
| Leland Stanford Junior University (The), Unsec’d. Notes | 3.647 | 05/01/48 | 5,345 | 4,201,847 | |
| Massachusetts Institute of Technology, | |||||
| Unsec’d. Notes | 3.885 | 07/01/2116 | 18,113 | 12,488,598 | |
| Unsec’d. Notes | 4.678 | 07/01/2114 | 3,000 | 2,485,248 | |
| President & Fellows of Harvard College, | |||||
| Unsec’d. Notes | 2.517 | 10/15/50 | 8,950 | 5,438,068 | |
| Unsec’d. Notes | 3.150 | 07/15/46 | 9,930 | 7,255,188 | |
| Unsec’d. Notes | 3.300 | 07/15/56 | 5,630 | 3,861,499 | |
| Unsec’d. Notes | 3.619 | 10/01/37 | 3,710 | 3,302,735 | |
| Trustees of Princeton University (The), Unsec’d. Notes, Series 2020 | 2.516 | 07/01/50 | 6,310 | 3,925,550 | |
| Trustees of the University of Pennsylvania (The), Sr. Unsec’d. Notes(a) | 3.610 | 02/15/2119 | 1,065 | 673,440 | |
| United Rentals North America, Inc., | |||||
| Gtd. Notes(a) | 3.750 | 01/15/32 | 5,275 | 4,930,086 | |
| Gtd. Notes | 3.875 | 02/15/31 | 1,200 | 1,144,566 | |
| Gtd. Notes(a) | 4.875 | 01/15/28 | 62,805 | 62,810,265 | |
| Gtd. Notes(a) | 5.250 | 01/15/30 | 6,492 | 6,564,891 | |
| University of Chicago (The), Unsec’d. Notes, Series 20B | 2.761 | 04/01/45 | 6,560 | 5,175,154 | |
| University of Southern California, | |||||
| Sr. Unsec’d. Notes, Series A | 3.226 | 10/01/2120 | 5,210 | 2,989,191 | |
| Unsec’d. Notes, Series 2017 | 3.841 | 10/01/47 | 9,375 | 7,500,581 | |
| 412,847,717 | |||||
| Computers 0.1% | |||||
| Accenture Capital, Inc., Gtd. Notes | 4.250 | 10/04/31 | 13,380 | 13,378,706 | |
| Genpact UK Finco PLC/Genpact USA, Inc., Gtd. Notes(a) | 4.950 | 11/18/30 | 13,625 | 13,640,753 | |
| Leidos, Inc., Gtd. Notes | 2.300 | 02/15/31 | 20,140 | 18,138,065 | |
| NCR Atleos Corp., Sr. Sec’d. Notes, 144A | 9.500 | 04/01/29 | 10,758 | 11,525,536 | |
| 56,683,060 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Cosmetics/Personal Care 0.0% | |||||
| Gillette Co. (The), Sr. Unsec’d. Notes, MTN, 3 Month SOFR + (0.038)% | 3.622 %(c) | 04/02/43 | 6,519 | $6,463,440 | |
| Diversified Financial Services 0.8% | |||||
| Aircraft Finance Co. Ltd. (China), Sr. Sec’d. Notes, Series B | 4.100 | 03/29/26 | 339 | 338,847 | |
| Blackstone Private Credit Fund, Sr. Sec’d. Notes^ | 5.610 | 05/03/27 | 43,775 | 43,903,523 | |
| Cantor Fitzgerald LP, Sr. Unsec’d. Notes, 144A | 7.200 | 12/12/28 | 37,660 | 40,100,834 | |
| CDP Financial, Inc. (Canada), | |||||
| Gtd. Notes | 5.600 | 11/25/39 | 700 | 746,894 | |
| Gtd. Notes, 144A | 5.600 | 11/25/39 | 2,195 | 2,342,045 | |
| Charles Schwab Corp. (The), Jr. Sub. Notes, Series H | 4.000(ff) | 12/01/30(oo) | 28,365 | 26,602,982 | |
| Freedom Mortgage Holdings LLC, | |||||
| Sr. Unsec’d. Notes, 144A | 6.875 | 05/01/31 | 3,250 | 3,227,946 | |
| Sr. Unsec’d. Notes, 144A | 9.250 | 02/01/29 | 760 | 795,511 | |
| goeasy Ltd. (Canada), | |||||
| Gtd. Notes, 144A(a) | 6.875 | 02/15/31 | 4,675 | 4,382,857 | |
| Sr. Unsec’d. Notes, 144A | 7.625 | 07/01/29 | 9,000 | 8,896,500 | |
| Greystone Commercial Capital Trust, Sr. Unsec’d. Notes, Series A, 144A, 1 Month SOFR + 3.150%^(x) | 7.460(c) | 05/31/26(d) | 196,471 | 174,859,216 | |
| Jefferies Finance LLC/JFIN Co-Issuer Corp., Sr. Unsec’d. Notes, 144A(a) | 5.000 | 08/15/28 | 4,900 | 4,749,995 | |
| Jefferies Financial Group, Inc., Sr. Unsec’d. Notes | 2.750 | 10/15/32 | 39,020 | 34,077,572 | |
| Nuveen LLC, Sr. Unsec’d. Notes, 144A | 5.850 | 04/15/34 | 4,510 | 4,727,132 | |
| OneMain Finance Corp., | |||||
| Gtd. Notes | 3.875 | 09/15/28 | 10,325 | 10,040,937 | |
| Gtd. Notes | 6.625 | 05/15/29 | 14,255 | 14,718,291 | |
| PennyMac Financial Services, Inc., | |||||
| Gtd. Notes, 144A | 4.250 | 02/15/29 | 26,225 | 25,216,692 | |
| Gtd. Notes, 144A | 7.875 | 12/15/29 | 8,295 | 8,738,903 | |
| Power Finance Corp. Ltd. (India), Sr. Unsec’d. Notes, GMTN | 1.841 | 09/21/28 | EUR | 3,060 | 3,488,359 |
| Rocket Cos., Inc., | |||||
| Gtd. Notes, 144A | 6.125 | 08/01/30 | 5,000 | 5,120,842 | |
| Gtd. Notes, 144A | 7.125 | 02/01/32 | 2,175 | 2,277,119 | |
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes, 144A | 3.875 | 03/01/31 | 11,425 | 10,715,419 | |
| 430,068,416 | |||||
| Electric 2.4% | |||||
| AEP Transmission Co. LLC, | |||||
| Sr. Unsec’d. Notes | 3.100 | 12/01/26 | 1,300 | 1,292,480 | |
| Sr. Unsec’d. Notes | 3.750 | 12/01/47 | 5,595 | 4,274,055 | |
| Sr. Unsec’d. Notes | 3.800 | 06/15/49 | 7,345 | 5,564,306 | |
| Sr. Unsec’d. Notes, Series M | 3.650 | 04/01/50 | 7,206 | 5,323,316 | |
| Avangrid, Inc., Sr. Unsec’d. Notes | 3.800 | 06/01/29 | 21,920 | 21,635,730 | |
| Caledonia Generating LLC, Sr. Sec’d. Notes, 144A | 1.950 | 02/28/34 | 11,540 | 10,225,815 | |
| Calpine Corp., Sr. Unsec’d. Notes, 144A | 5.125 | 03/15/28 | 27,041 | 27,029,277 | |
| CenterPoint Energy Houston Electric LLC, General Ref. Mortgage | 3.950 | 03/01/48 | 6,685 | 5,283,918 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| CenterPoint Energy, Inc., Sr. Unsec’d. Notes | 2.950 % | 03/01/30 | 22,696 | $21,532,754 | |
| Cleveland Electric Illuminating Co. (The), Sr. Unsec’d. Notes, 144A(a) | 3.500 | 04/01/28 | 4,415 | 4,349,695 | |
| CMS Energy Corp., Jr. Sub. Notes(a) | 4.750(ff) | 06/01/50 | 23,485 | 23,165,487 | |
| Comision Federal de Electricidad (Mexico), | |||||
| Gtd. Notes | 4.688 | 05/15/29 | 5,000 | 4,986,000 | |
| Gtd. Notes, 144A(a) | 4.688 | 05/15/29 | 45,602 | 45,474,314 | |
| Commonwealth Edison Co., | |||||
| First Mortgage | 3.700 | 03/01/45 | 2,665 | 2,077,128 | |
| First Mortgage | 4.350 | 11/15/45 | 2,780 | 2,367,975 | |
| First Mortgage(a) | 6.450 | 01/15/38 | 690 | 768,087 | |
| Consolidated Edison Co. of New York, Inc., | |||||
| Sr. Unsec’d. Notes(a) | 3.850 | 06/15/46 | 7,580 | 5,940,592 | |
| Sr. Unsec’d. Notes, Series C(a) | 4.300 | 12/01/56 | 2,920 | 2,293,496 | |
| Constellation Energy Generation LLC, | |||||
| Sr. Unsec’d. Notes, 144A(a) | 4.625 | 02/01/29 | 16,692 | 16,695,912 | |
| Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/31 | 31,865 | 32,306,343 | |
| Dominion Energy, Inc., | |||||
| Sr. Unsec’d. Notes, Series C | 3.375 | 04/01/30 | 665 | 641,780 | |
| Sr. Unsec’d. Notes, Series D | 2.850 | 08/15/26 | 5,685 | 5,651,552 | |
| DTE Energy Co., Sr. Unsec’d. Notes | 2.850 | 10/01/26 | 37,340 | 37,076,218 | |
| Duke Energy Carolinas LLC, | |||||
| First Mortgage | 3.950 | 03/15/48 | 6,745 | 5,324,242 | |
| First Mortgage | 4.250 | 12/15/41 | 12,105 | 10,672,760 | |
| First Mortgage(a) | 4.950 | 01/15/33 | 9,637 | 9,887,233 | |
| First Ref. Mortgage | 3.750 | 06/01/45 | 3,045 | 2,397,151 | |
| First Ref. Mortgage | 4.000 | 09/30/42 | 1,025 | 862,899 | |
| First Ref. Mortgage | 6.000 | 01/15/38 | 3,675 | 3,954,538 | |
| Duke Energy Corp., Sr. Unsec’d. Notes | 2.650 | 09/01/26 | 12,485 | 12,394,529 | |
| El Paso Electric Co., Sr. Unsec’d. Notes | 6.000 | 05/15/35 | 750 | 779,165 | |
| Emera US Finance LP (Canada), Gtd. Notes | 3.550 | 06/15/26 | 4,959 | 4,947,432 | |
| Enel Finance International NV (Italy), | |||||
| Gtd. Notes, 144A | 2.125 | 07/12/28 | 16,155 | 15,393,476 | |
| Gtd. Notes, 144A | 3.500 | 04/06/28 | 13,415 | 13,244,807 | |
| Entergy Louisiana LLC, | |||||
| Collateral Trust | 3.120 | 09/01/27 | 12,955 | 12,814,295 | |
| Collateral Trust | 3.250 | 04/01/28 | 5,000 | 4,938,322 | |
| Collateral Trust | 4.200 | 09/01/48 | 29,046 | 23,448,105 | |
| Eskom Holdings (South Africa), | |||||
| Gov’t. Gtd. Notes, 144A, MTN | 6.350 | 08/10/28 | 22,487 | 23,206,584 | |
| Gov’t. Gtd. Notes, MTN | 6.350 | 08/10/28 | 22,062 | 22,767,984 | |
| Sr. Unsec’d. Notes, MTN | 8.450 | 08/10/28 | 40,406 | 43,234,420 | |
| FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450 | 07/15/44 | 815 | 786,119 | |
| Florida Power & Light Co., | |||||
| First Mortgage | 3.700 | 12/01/47 | 10,130 | 7,771,510 | |
| First Mortgage | 3.950 | 03/01/48 | 8,210 | 6,536,309 | |
| Sr. Unsec’d. Notes, Series A | 3.300 | 05/30/27 | 2,385 | 2,371,446 | |
| Fortis, Inc. (Canada), Sr. Unsec’d. Notes | 3.055 | 10/04/26 | 25,625 | 25,439,460 | |
| Georgia Power Co., Sr. Unsec’d. Notes, Series 10-C | 4.750 | 09/01/40 | 1,050 | 996,553 | |
| Hydro-Quebec (Canada), | |||||
| Local Gov’t. Gtd. Notes, Series FSA | 8.250 | 04/15/26 | 50 | 50,413 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Hydro-Quebec (Canada), (cont’d.) | |||||
| Local Gov’t. Gtd. Notes, Series FSA | 8.625 % | 06/15/29 | 130 | $148,411 | |
| Local Gov’t. Gtd. Notes, Series HE | 8.625 | 06/15/29 | 18,667 | 21,310,613 | |
| Local Gov’t. Gtd. Notes, Series HH | 8.500 | 12/01/29 | 15,025 | 17,264,179 | |
| Local Gov’t. Gtd. Notes, Series HK(a) | 9.375 | 04/15/30 | 7,750 | 9,245,358 | |
| Local Gov’t. Gtd. Notes, Series HQ | 9.500 | 11/15/30 | 28,750 | 35,020,938 | |
| Local Gov’t. Gtd. Notes, Series MBIA | 8.250 | 04/15/26 | 25 | 25,206 | |
| Iberdrola International BV (Spain), Gtd. Notes | 6.750 | 09/15/33 | 15 | 16,353 | |
| Interstate Power & Light Co., Sr. Unsec’d. Notes | 4.100 | 09/26/28 | 3,260 | 3,265,782 | |
| IPALCO Enterprises, Inc., Sr. Sec’d. Notes | 4.250 | 05/01/30 | 6,350 | 6,223,666 | |
| Israel Electric Corp. Ltd. (Israel), | |||||
| Sr. Sec’d. Notes, 144A, GMTN | 4.250 | 08/14/28 | 27,660 | 27,374,825 | |
| Sr. Sec’d. Notes, EMTN | 7.750 | 12/15/27 | 8,000 | 8,434,400 | |
| John Sevier Combined Cycle Generation LLC, Sec’d. Notes(a) | 4.626 | 01/15/42 | 1,342 | 1,310,566 | |
| MidAmerican Energy Co., First Mortgage | 4.250 | 07/15/49 | 1,865 | 1,530,567 | |
| Nevada Power Co., General Ref. Mortgage | 5.375 | 09/15/40 | 500 | 494,598 | |
| NextEra Energy Capital Holdings, Inc., Gtd. Notes(a) | 4.800(ff) | 12/01/77 | 12,235 | 12,117,273 | |
| NRG Energy, Inc., | |||||
| Gtd. Notes | 5.750 | 01/15/28 | 12,825 | 12,832,141 | |
| Gtd. Notes, 144A | 3.375 | 02/15/29 | 875 | 838,771 | |
| Gtd. Notes, 144A | 3.625 | 02/15/31 | 10,700 | 10,009,668 | |
| Gtd. Notes, 144A | 3.875 | 02/15/32 | 7,800 | 7,298,898 | |
| Gtd. Notes, 144A | 5.250 | 06/15/29 | 7,560 | 7,581,334 | |
| Jr. Sub. Notes, 144A | 10.250(ff) | 03/15/28(oo) | 12,943 | 14,221,575 | |
| Sr. Unsec’d. Notes, 144A(a) | 5.750 | 01/15/34 | 12,530 | 12,613,158 | |
| Pacific Gas & Electric Co., | |||||
| First Mortgage | 3.300 | 08/01/40 | 1,970 | 1,496,668 | |
| First Mortgage | 3.750 | 08/15/42 | 4,000 | 3,038,425 | |
| First Mortgage | 3.950 | 12/01/47 | 30,960 | 23,002,087 | |
| First Mortgage | 4.000 | 12/01/46 | 785 | 590,323 | |
| First Mortgage | 4.500 | 07/01/40 | 32,080 | 27,929,845 | |
| First Mortgage | 4.750 | 02/15/44 | 5,535 | 4,703,857 | |
| First Mortgage | 4.950 | 07/01/50 | 23,061 | 19,544,045 | |
| First Mortgage | 5.800 | 05/15/34 | 9,880 | 10,251,287 | |
| First Mortgage | 5.900 | 06/15/32 | 7,000 | 7,359,956 | |
| PacifiCorp, | |||||
| First Mortgage | 2.700 | 09/15/30 | 10,355 | 9,549,384 | |
| First Mortgage | 3.300 | 03/15/51 | 4,510 | 2,896,263 | |
| PECO Energy Co., First Mortgage | 4.375 | 08/15/52 | 4,050 | 3,334,843 | |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia), Sr. Unsec’d. Notes | 1.875 | 11/05/31 | EUR | 10,974 | 11,613,700 |
| PG&E Corp., Jr. Sub. Notes(a) | 7.375(ff) | 03/15/55 | 1,325 | 1,366,763 | |
| PPL Electric Utilities Corp., First Mortgage | 4.150 | 06/15/48 | 8,855 | 7,244,909 | |
| Public Service Co. of Colorado, First Mortgage | 4.100 | 06/15/48 | 2,945 | 2,341,791 | |
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 3.650 | 09/01/42 | 1,990 | 1,585,571 | |
| Puget Sound Energy, Inc., First Mortgage(a) | 4.223 | 06/15/48 | 11,280 | 9,178,717 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Rochester Gas & Electric Corp., First Mortgage, 144A | 3.100 % | 06/01/27 | 17,545 | $17,381,404 | |
| San Diego Gas & Electric Co., | |||||
| First Mortgage | 5.350 | 05/15/40 | 9,512 | 9,484,398 | |
| First Mortgage, Series RRR | 3.750 | 06/01/47 | 1,665 | 1,267,015 | |
| SCE Recovery Funding LLC, Sr. Sec’d. Notes, Series A-2 | 5.112 | 12/14/49 | 1,100 | 1,047,568 | |
| Sempra, | |||||
| Sr. Unsec’d. Notes | 3.400 | 02/01/28 | 7,758 | 7,665,833 | |
| Sr. Unsec’d. Notes(a) | 3.800 | 02/01/38 | 5,485 | 4,712,708 | |
| Sr. Unsec’d. Notes(a) | 4.000 | 02/01/48 | 8,300 | 6,338,658 | |
| Southern Power Co., Sr. Unsec’d. Notes | 5.150 | 09/15/41 | 725 | 699,863 | |
| Tucson Electric Power Co., Sr. Unsec’d. Notes | 5.200 | 09/15/34 | 24,470 | 24,926,096 | |
| Union Electric Co., Sr. Sec’d. Notes | 2.950 | 06/15/27 | 6,045 | 5,981,525 | |
| Virginia Electric & Power Co., Sr. Unsec’d. Notes | 6.350 | 11/30/37 | 6,000 | 6,563,917 | |
| Vistra Corp., | |||||
| Jr. Sub. Notes, 144A | 7.000(ff) | 12/15/26(oo) | 28,350 | 28,768,365 | |
| Jr. Sub. Notes, 144A | 8.000(ff) | 10/15/26(oo) | 92,575 | 94,272,784 | |
| Jr. Sub. Notes, Series C, 144A | 8.875(ff) | 01/15/29(oo) | 23,450 | 25,742,825 | |
| Vistra Operations Co. LLC, | |||||
| Gtd. Notes, 144A | 4.375 | 05/01/29 | 26,000 | 25,693,279 | |
| Gtd. Notes, 144A | 5.000 | 07/31/27 | 48,211 | 48,242,402 | |
| Gtd. Notes, 144A | 5.625 | 02/15/27 | 11,464 | 11,468,008 | |
| Gtd. Notes, 144A(a) | 6.875 | 04/15/32 | 2,095 | 2,202,096 | |
| Sr. Sec’d. Notes, 144A | 3.700 | 01/30/27 | 1,800 | 1,792,377 | |
| VoltaGrid LLC, Sec’d. Notes, 144A(a) | 7.375 | 11/01/30 | 16,545 | 16,766,221 | |
| 1,237,400,038 | |||||
| Electrical Components & Equipment 0.0% | |||||
| WESCO Distribution, Inc., | |||||
| Gtd. Notes, 144A | 6.375 | 03/15/29 | 9,075 | 9,361,052 | |
| Gtd. Notes, 144A | 6.625 | 03/15/32 | 6,770 | 7,077,625 | |
| Gtd. Notes, 144A | 7.250 | 06/15/28 | 3,595 | 3,640,381 | |
| 20,079,058 | |||||
| Electronics 0.0% | |||||
| TD SYNNEX Corp., Sr. Unsec’d. Notes | 1.750 | 08/09/26 | 20,000 | 19,731,891 | |
| Engineering & Construction 0.2% | |||||
| AECOM, Gtd. Notes, 144A | 6.000 | 08/01/33 | 1,245 | 1,274,844 | |
| GMR Hyderabad International Airport Ltd. (India), Sr. Sec’d. Notes, 144A | 4.250 | 10/27/27 | 2,275 | 2,246,949 | |
| Mexico City Airport Trust (Mexico), | |||||
| Sr. Sec’d. Notes | 4.250 | 10/31/26 | 1,000 | 997,850 | |
| Sr. Sec’d. Notes | 5.500 | 07/31/47 | 13,000 | 11,196,250 | |
| Sr. Sec’d. Notes, 144A | 3.875 | 04/30/28 | 17,976 | 17,588,977 | |
| Sr. Sec’d. Notes, 144A | 4.250 | 10/31/26 | 16,218 | 16,183,131 | |
| Sr. Sec’d. Notes, 144A | 5.500 | 10/31/46 | 3,377 | 2,944,373 | |
| Sr. Sec’d. Notes, 144A | 5.500 | 07/31/47 | 68,904 | 59,343,570 | |
| 111,775,944 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Entertainment 0.2% | |||||
| Caesars Entertainment, Inc., | |||||
| Gtd. Notes, 144A(a) | 4.625 % | 10/15/29 | 54,543 | $52,365,453 | |
| Sr. Sec’d. Notes, 144A(a) | 7.000 | 02/15/30 | 8,780 | 9,068,723 | |
| Penn Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 4.125 | 07/01/29 | 1,390 | 1,291,281 | |
| Voyager Parent LLC, Sr. Sec’d. Notes, 144A(a) | 9.250 | 07/01/32 | 17,830 | 18,955,290 | |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., | |||||
| Gtd. Notes, 144A | 6.250 | 03/15/33 | 5,530 | 5,634,935 | |
| Gtd. Notes, 144A(a) | 7.125 | 02/15/31 | 1,200 | 1,293,199 | |
| 88,608,881 | |||||
| Foods 0.6% | |||||
| Ahold Finance USA LLC (Netherlands), Gtd. Notes | 6.875 | 05/01/29 | 11,989 | 12,970,557 | |
| Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC, | |||||
| Gtd. Notes, 144A | 4.625 | 01/15/27 | 3,935 | 3,934,001 | |
| Gtd. Notes, 144A | 5.500 | 03/31/31 | 2,395 | 2,403,692 | |
| Gtd. Notes, 144A(a) | 5.750 | 03/31/34 | 3,775 | 3,711,557 | |
| Gtd. Notes, 144A | 6.500 | 02/15/28 | 5,050 | 5,132,026 | |
| B&G Foods, Inc., | |||||
| Gtd. Notes | 5.250 | 09/15/27 | 22,078 | 21,341,091 | |
| Sr. Sec’d. Notes, 144A(a) | 8.000 | 09/15/28 | 20,779 | 19,615,525 | |
| Bellis Acquisition Co. PLC (United Kingdom), | |||||
| Sr. Sec’d. Notes(a) | 8.000 | 07/01/31 | EUR | 39,135 | 44,185,210 |
| Sr. Sec’d. Notes | 8.125 | 05/14/30 | GBP | 35,350 | 44,561,943 |
| Cencosud SA (Chile), Gtd. Notes, 144A(a) | 4.375 | 07/17/27 | 3,835 | 3,834,617 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, | |||||
| Sr. Unsec’d. Notes | 3.750 | 12/01/31 | 600 | 568,461 | |
| Sr. Unsec’d. Notes | 6.750 | 03/15/34 | 44,351 | 48,789,360 | |
| Kraft Heinz Foods Co., | |||||
| Gtd. Notes | 3.000 | 06/01/26 | 12,845 | 12,800,336 | |
| Gtd. Notes | 4.625 | 10/01/39 | 4,231 | 3,823,629 | |
| Gtd. Notes | 5.000 | 06/04/42 | 1,215 | 1,109,122 | |
| Lamb Weston Holdings, Inc., Gtd. Notes, 144A | 4.375 | 01/31/32 | 6,325 | 6,026,276 | |
| Mars, Inc., | |||||
| Gtd. Notes, 144A | 3.875 | 04/01/39 | 8,185 | 7,144,681 | |
| Sr. Unsec’d. Notes, 144A | 5.200 | 03/01/35 | 7,605 | 7,780,321 | |
| Sr. Unsec’d. Notes, 144A | 5.700 | 05/01/55 | 6,575 | 6,550,926 | |
| Pilgrim’s Pride Corp., | |||||
| Gtd. Notes | 3.500 | 03/01/32 | 5,560 | 5,147,151 | |
| Gtd. Notes | 4.250 | 04/15/31 | 4,375 | 4,265,591 | |
| Gtd. Notes | 6.875 | 05/15/34 | 5,000 | 5,526,878 | |
| Post Holdings, Inc., | |||||
| Gtd. Notes, 144A | 4.500 | 09/15/31 | 1,420 | 1,344,454 | |
| Gtd. Notes, 144A | 4.625 | 04/15/30 | 1,025 | 1,000,275 | |
| Gtd. Notes, 144A(a) | 6.375 | 03/01/33 | 4,905 | 4,945,379 | |
| Smithfield Foods, Inc., Gtd. Notes, 144A | 3.000 | 10/15/30 | 8,931 | 8,218,431 | |
| 286,731,490 | |||||
| Gas 0.1% | |||||
| AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.750 | 05/20/27 | 7,284 | 7,331,276 | |
| CenterPoint Energy Resources Corp., Sr. Unsec’d. Notes | 5.850 | 01/15/41 | 1,130 | 1,175,700 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Gas (cont’d.) | |||||
| NiSource, Inc., | |||||
| Sr. Unsec’d. Notes | 3.600 % | 05/01/30 | 11,180 | $10,893,245 | |
| Sr. Unsec’d. Notes | 4.800 | 02/15/44 | 1,550 | 1,390,421 | |
| Piedmont Natural Gas Co., Inc., Sr. Unsec’d. Notes | 3.500 | 06/01/29 | 15,235 | 14,921,776 | |
| Southern California Gas Co., | |||||
| First Mortgage, Series VV | 4.300 | 01/15/49 | 7,470 | 6,080,190 | |
| Sr. Sec’d. Notes, Series UU | 4.125 | 06/01/48 | 5,260 | 4,159,829 | |
| Southern Co. Gas Capital Corp., Gtd. Notes | 4.400 | 06/01/43 | 2,700 | 2,320,864 | |
| 48,273,301 | |||||
| Healthcare-Products 0.2% | |||||
| DH Europe Finance II Sarl, Gtd. Notes | 1.350 | 09/18/39 | EUR | 13,421 | 11,772,206 |
| Medline Borrower LP, Sr. Sec’d. Notes, 144A | 3.875 | 04/01/29 | 36,351 | 35,583,833 | |
| Solventum Corp., Sr. Unsec’d. Notes | 5.400 | 03/01/29 | 2,210 | 2,289,636 | |
| Stryker Corp., Sr. Unsec’d. Notes | 2.125 | 11/30/27 | EUR | 16,050 | 18,933,360 |
| Zimmer Biomet Holdings, Inc., Sr. Unsec’d. Notes | 2.425 | 12/13/26 | EUR | 35,000 | 41,520,307 |
| 110,099,342 | |||||
| Healthcare-Services 1.2% | |||||
| Advocate Health & Hospitals Corp., | |||||
| Sr. Unsec’d. Notes | 3.387 | 10/15/49 | 8,685 | 6,220,025 | |
| Sr. Unsec’d. Notes | 4.272 | 08/15/48 | 12,775 | 10,671,912 | |
| Unsec’d. Notes, Series 2020 | 2.211 | 06/15/30 | 14,025 | 12,919,742 | |
| Unsec’d. Notes, Series 2020 | 3.008 | 06/15/50 | 23,620 | 15,554,298 | |
| Aetna, Inc., | |||||
| Sr. Unsec’d. Notes | 4.500 | 05/15/42 | 9,540 | 8,185,355 | |
| Sr. Unsec’d. Notes | 6.750 | 12/15/37 | 5,365 | 5,894,417 | |
| Ascension Health, | |||||
| Sr. Unsec’d. Notes | 3.945 | 11/15/46 | 2,565 | 2,073,570 | |
| Sr. Unsec’d. Notes, Series B(a) | 2.532 | 11/15/29 | 29,625 | 28,103,640 | |
| Sr. Unsec’d. Notes, Series B | 3.106 | 11/15/39 | 4,680 | 3,711,358 | |
| BayCare Health System, Inc., Sr. Unsec’d. Notes, Series 2020 | 3.831 | 11/15/50 | 14,365 | 10,976,996 | |
| Cigna Group (The), | |||||
| Gtd. Notes | 3.400 | 03/01/27 | 2,035 | 2,023,893 | |
| Gtd. Notes(a) | 4.375 | 10/15/28 | 17,363 | 17,503,779 | |
| Cleveland Clinic Foundation (The), Unsec’d. Notes(a) | 4.858 | 01/01/2114 | 2,815 | 2,377,328 | |
| DaVita, Inc., | |||||
| Gtd. Notes, 144A | 3.750 | 02/15/31 | 9,775 | 8,982,649 | |
| Gtd. Notes, 144A | 4.625 | 06/01/30 | 7,345 | 7,076,564 | |
| Elevance Health, Inc., | |||||
| Sr. Unsec’d. Notes | 2.875 | 09/15/29 | 15,600 | 14,901,345 | |
| Sr. Unsec’d. Notes | 4.101 | 03/01/28 | 2,970 | 2,974,615 | |
| Sr. Unsec’d. Notes | 4.650 | 01/15/43 | 1,650 | 1,470,289 | |
| HCA, Inc., | |||||
| Gtd. Notes | 7.500 | 11/06/33 | 20,412 | 23,424,035 | |
| Gtd. Notes, MTN | 7.750 | 07/15/36 | 20,300 | 23,112,100 | |
| Humana, Inc., Sr. Unsec’d. Notes | 5.375 | 04/15/31 | 31,487 | 32,257,802 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Healthcare-Services (cont’d.) | |||||
| Indiana University Health, Inc. Obligated Group, Sec’d. Notes | 3.970 % | 11/01/48 | 10,475 | $8,353,163 | |
| Kaiser Foundation Hospitals, | |||||
| Gtd. Notes | 4.150 | 05/01/47 | 15,275 | 12,686,148 | |
| Gtd. Notes, Series 2019 | 3.266 | 11/01/49 | 21,296 | 14,948,047 | |
| Mayo Clinic, Unsec’d. Notes, Series 2016 | 4.128 | 11/15/52 | 8,312 | 6,701,997 | |
| Methodist Hospital (The), Unsec’d. Notes, Series 20A | 2.705 | 12/01/50 | 32,095 | 19,720,358 | |
| MyMichigan Health, Sec’d. Notes, Series 2020 | 3.409 | 06/01/50 | 17,745 | 12,339,215 | |
| New York & Presbyterian Hospital (The), Unsec’d. Notes, Series 2019(a) | 3.954 | 08/01/2119 | 14,835 | 10,213,317 | |
| NYU Langone Hospitals, Sec’d. Notes | 4.784 | 07/01/44 | 6,375 | 5,837,384 | |
| Orlando Health Obligated Group, Sr. Unsec’d. Notes | 3.327 | 10/01/50 | 6,850 | 4,926,362 | |
| PeaceHealth Obligated Group, Sr. Unsec’d. Notes, Series 2020 | 3.218 | 11/15/50 | 14,445 | 9,469,155 | |
| Providence St Joseph Health Obligated Group, Unsec’d. Notes, Series I | 3.744 | 10/01/47 | 2,900 | 2,200,265 | |
| Quest Diagnostics, Inc., Sr. Unsec’d. Notes | 2.950 | 06/30/30 | 13,180 | 12,484,243 | |
| Tenet Healthcare Corp., | |||||
| Sr. Sec’d. Notes | 4.250 | 06/01/29 | 14,900 | 14,673,646 | |
| Sr. Sec’d. Notes | 4.375 | 01/15/30 | 18,829 | 18,508,613 | |
| Sr. Sec’d. Notes | 4.625 | 06/15/28 | 5,625 | 5,616,829 | |
| Sr. Sec’d. Notes | 5.125 | 11/01/27 | 730 | 730,193 | |
| Sr. Sec’d. Notes, 144A | 5.500 | 11/15/32 | 27,685 | 27,984,218 | |
| Sr. Unsec’d. Notes(a) | 6.875 | 11/15/31 | 12,100 | 13,239,377 | |
| Texas Health Resources, | |||||
| Sec’d. Notes | 4.330 | 11/15/55 | 2,677 | 2,208,354 | |
| Sec’d. Notes, Series 2019 | 3.372 | 11/15/51 | 2,250 | 1,575,367 | |
| UnitedHealth Group, Inc., | |||||
| Sr. Unsec’d. Notes | 2.300 | 05/15/31 | 8,240 | 7,430,445 | |
| Sr. Unsec’d. Notes | 2.750 | 05/15/40 | 18,130 | 13,409,777 | |
| Sr. Unsec’d. Notes | 3.500 | 08/15/39 | 55,681 | 45,959,339 | |
| Sr. Unsec’d. Notes | 3.875 | 08/15/59 | 10,656 | 7,602,066 | |
| Sr. Unsec’d. Notes | 4.200 | 05/15/32 | 13,000 | 12,784,439 | |
| Sr. Unsec’d. Notes | 4.375 | 03/15/42 | 615 | 537,783 | |
| Sr. Unsec’d. Notes | 4.500 | 04/15/33 | 4,590 | 4,529,339 | |
| Sr. Unsec’d. Notes | 4.625 | 11/15/41 | 1,336 | 1,210,898 | |
| Sr. Unsec’d. Notes | 4.750 | 05/15/52 | 11,131 | 9,560,337 | |
| Sr. Unsec’d. Notes | 5.050 | 04/15/53 | 2,800 | 2,514,052 | |
| Sr. Unsec’d. Notes | 5.200 | 04/15/63 | 46,040 | 40,957,898 | |
| Sr. Unsec’d. Notes(a) | 5.300 | 06/15/35 | 5,170 | 5,320,006 | |
| Sr. Unsec’d. Notes | 5.500 | 07/15/44 | 15,095 | 14,840,974 | |
| Sr. Unsec’d. Notes | 5.500 | 04/15/64 | 30,370 | 28,353,461 | |
| Sr. Unsec’d. Notes | 5.700 | 10/15/40 | 185 | 190,021 | |
| Sr. Unsec’d. Notes | 5.800 | 03/15/36 | 669 | 707,670 | |
| Willis-Knighton Medical Center, Sec’d. Notes, Series 2018 | 4.813 | 09/01/48 | 1,560 | 1,369,686 | |
| 642,110,154 | |||||
| Holding Companies-Diversified 0.2% | |||||
| Clue Opco LLC, Sr. Sec’d. Notes, 144A | 9.500 | 10/15/31 | 89,552 | 95,034,235 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Home Builders 0.1% | |||||
| Ashton Woods USA LLC/Ashton Woods Finance Co., | |||||
| Sr. Unsec’d. Notes, 144A | 4.625 % | 08/01/29 | 4,675 | $4,478,841 | |
| Sr. Unsec’d. Notes, 144A | 4.625 | 04/01/30 | 1,775 | 1,683,099 | |
| Beazer Homes USA, Inc., | |||||
| Gtd. Notes | 5.875 | 10/15/27 | 50 | 49,880 | |
| Gtd. Notes | 7.250 | 10/15/29 | 1,350 | 1,366,402 | |
| Brookfield Residential Properties, Inc./Brookfield Residential US LLC (Canada), | |||||
| Gtd. Notes, 144A(a) | 4.875 | 02/15/30 | 1,000 | 932,560 | |
| Gtd. Notes, 144A | 6.250 | 09/15/27 | 1,525 | 1,524,436 | |
| Sr. Unsec’d. Notes, 144A | 5.000 | 06/15/29 | 6,025 | 5,827,259 | |
| KB Home, | |||||
| Gtd. Notes(a) | 4.000 | 06/15/31 | 3,200 | 3,019,135 | |
| Gtd. Notes | 4.800 | 11/15/29 | 50 | 49,770 | |
| Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A | 4.625 | 03/01/30 | 50 | 48,885 | |
| Taylor Morrison Communities, Inc., | |||||
| Gtd. Notes, 144A | 5.750 | 01/15/28 | 6,683 | 6,810,518 | |
| Gtd. Notes, 144A | 5.750 | 11/15/32 | 4,085 | 4,191,626 | |
| 29,982,411 | |||||
| Household Products/Wares 0.0% | |||||
| Spectrum Brands, Inc., Gtd. Notes, 144A(a) | 3.875 | 03/15/31 | 5,657 | 4,585,887 | |
| Housewares 0.0% | |||||
| Newell Brands, Inc., | |||||
| Sr. Unsec’d. Notes(a) | 6.375 | 05/15/30 | 6,035 | 5,963,263 | |
| Sr. Unsec’d. Notes(a) | 6.625 | 05/15/32 | 3,560 | 3,488,800 | |
| Sr. Unsec’d. Notes, 144A(a) | 8.500 | 06/01/28 | 4,400 | 4,616,117 | |
| Scotts Miracle-Gro Co. (The), | |||||
| Gtd. Notes(a) | 4.375 | 02/01/32 | 1,800 | 1,699,630 | |
| Gtd. Notes | 5.250 | 12/15/26 | 52 | 51,989 | |
| SWF Holdings I Corp., Sec’d. Notes, 144A | 6.500 | 10/06/29 | 3,813 | 1,525,232 | |
| 17,345,031 | |||||
| Insurance 0.5% | |||||
| American International Group, Inc., Sr. Unsec’d. Notes | 1.875 | 06/21/27 | EUR | 29,631 | 34,837,864 |
| Arch Capital Finance LLC, Gtd. Notes | 5.031 | 12/15/46 | 6,475 | 6,043,770 | |
| Arch Capital Group US, Inc., Gtd. Notes | 5.144 | 11/01/43 | 2,250 | 2,125,204 | |
| Asurion LLC & Asurion Co-Issuer, Inc., | |||||
| Sr. Sec’d. Notes, 144A(a) | 8.000 | 12/31/32 | 12,265 | 12,822,078 | |
| Sr. Sec’d. Notes, 144A | 8.375 | 02/01/34 | 17,580 | 17,779,117 | |
| Berkshire Hathaway Finance Corp., | |||||
| Gtd. Notes(a) | 2.850 | 10/15/50 | 9,400 | 5,983,507 | |
| Gtd. Notes | 4.300 | 05/15/43 | 4,365 | 3,869,609 | |
| CNA Financial Corp., Sr. Unsec’d. Notes | 3.900 | 05/01/29 | 16,610 | 16,502,253 | |
| Everest Reinsurance Holdings, Inc., Sr. Unsec’d. Notes | 3.500 | 10/15/50 | 27,295 | 18,992,908 | |
| Fairfax Financial Holdings Ltd. (Canada), Sr. Unsec’d. Notes | 6.350 | 03/22/54 | 38,720 | 40,362,634 | |
| Hartford Insurance Group, Inc. (The), | |||||
| Sr. Unsec’d. Notes | 4.300 | 04/15/43 | 480 | 413,975 | |
| Sr. Unsec’d. Notes | 5.950 | 10/15/36 | 755 | 809,839 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Insurance (cont’d.) | |||||
| Hartford Insurance Group, Inc. (The), (cont’d.) | |||||
| Sr. Unsec’d. Notes | 6.100 % | 10/01/41 | 995 | $1,061,284 | |
| Liberty Mutual Group, Inc., | |||||
| Gtd. Notes, 144A | 3.950 | 05/15/60 | 26,250 | 18,261,539 | |
| Gtd. Notes, 144A | 3.951 | 10/15/50 | 13,748 | 10,192,811 | |
| Gtd. Notes, 144A | 4.569 | 02/01/29 | 1,675 | 1,684,876 | |
| Lincoln National Corp., | |||||
| Sr. Unsec’d. Notes(a) | 3.050 | 01/15/30 | 8,918 | 8,498,950 | |
| Sr. Unsec’d. Notes | 5.852 | 03/15/34 | 1,790 | 1,867,702 | |
| Sr. Unsec’d. Notes | 6.300 | 10/09/37 | 3,930 | 4,183,664 | |
| Sr. Unsec’d. Notes | 7.000 | 06/15/40 | 5,490 | 6,129,506 | |
| Markel Group, Inc., | |||||
| Sr. Unsec’d. Notes | 5.000 | 03/30/43 | 300 | 275,054 | |
| Sr. Unsec’d. Notes | 5.000 | 04/05/46 | 7,530 | 6,815,329 | |
| Sr. Unsec’d. Notes | 5.000 | 05/20/49 | 14,057 | 12,482,924 | |
| Principal Financial Group, Inc., | |||||
| Gtd. Notes | 4.300 | 11/15/46 | 7,190 | 6,015,204 | |
| Gtd. Notes | 4.350 | 05/15/43 | 760 | 652,957 | |
| Gtd. Notes | 4.625 | 09/15/42 | 275 | 245,300 | |
| Sompo International Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes | 7.000 | 07/15/34 | 525 | 580,824 | |
| Teachers Insurance & Annuity Association of America, | |||||
| Sub. Notes, 144A | 4.900 | 09/15/44 | 16,598 | 15,127,048 | |
| Sub. Notes, 144A | 6.850 | 12/16/39 | 325 | 371,069 | |
| 254,988,799 | |||||
| Internet 0.6% | |||||
| Alphabet, Inc., Sr. Unsec’d. Notes | 4.700 | 11/15/35 | 29,270 | 29,124,879 | |
| Beignet Investor LLC, Sr. Sec’d. Notes, 144A | 6.581 | 05/30/49 | 221,090 | 230,967,276 | |
| Cablevision Lightpath LLC, | |||||
| Sr. Sec’d. Notes, 144A | 3.875 | 09/15/27 | 400 | 398,470 | |
| Sr. Unsec’d. Notes, 144A | 5.625 | 09/15/28 | 200 | 199,295 | |
| Gen Digital, Inc., Gtd. Notes, 144A | 6.250 | 04/01/33 | 3,762 | 3,781,629 | |
| Meta Platforms, Inc., | |||||
| Sr. Unsec’d. Notes(a) | 4.600 | 11/15/32 | 10,410 | 10,429,569 | |
| Sr. Unsec’d. Notes | 4.875 | 11/15/35 | 1,555 | 1,536,475 | |
| Sr. Unsec’d. Notes | 5.500 | 11/15/45 | 10,000 | 9,616,545 | |
| Uber Technologies, Inc., Sr. Unsec’d. Notes | 4.800 | 09/15/34 | 21,680 | 21,549,809 | |
| 307,603,947 | |||||
| Iron/Steel 0.1% | |||||
| Big River Steel LLC/BRS Finance Corp., Sr. Sec’d. Notes, 144A | 6.625 | 01/31/29 | 40 | 40,307 | |
| Champion Iron Canada, Inc. (Canada), Gtd. Notes, 144A | 7.875 | 07/15/32 | 16,175 | 17,307,250 | |
| Cleveland-Cliffs, Inc., | |||||
| Gtd. Notes, 144A(a) | 6.875 | 11/01/29 | 12,710 | 13,212,372 | |
| Gtd. Notes, 144A(a) | 7.375 | 05/01/33 | 9,245 | 9,637,977 | |
| Commercial Metals Co., | |||||
| Sr. Unsec’d. Notes, 144A | 5.750 | 11/15/33 | 5,895 | 5,993,116 | |
| Sr. Unsec’d. Notes, 144A(a) | 6.000 | 12/15/35 | 5,745 | 5,870,047 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Iron/Steel (cont’d.) | |||||
| Mineral Resources Ltd. (Australia), | |||||
| Sr. Unsec’d. Notes, 144A(a) | 7.000 % | 04/01/31 | 4,415 | $4,635,750 | |
| Sr. Unsec’d. Notes, 144A, MTN(a) | 8.000 | 11/01/27 | 1,500 | 1,535,115 | |
| 58,231,934 | |||||
| Leisure Time 0.1% | |||||
| Carnival Corp., | |||||
| Gtd. Notes, 144A | 5.125 | 05/01/29 | 1,545 | 1,562,324 | |
| Gtd. Notes, 144A(a) | 5.750 | 03/15/30 | 15,609 | 16,054,637 | |
| Gtd. Notes, 144A | 5.750 | 08/01/32 | 13,450 | 13,833,325 | |
| NCL Corp. Ltd., | |||||
| Sr. Unsec’d. Notes, 144A | 6.250 | 03/01/30 | 4,740 | 4,844,280 | |
| Sr. Unsec’d. Notes, 144A(a) | 6.750 | 02/01/32 | 10,285 | 10,538,525 | |
| Sr. Unsec’d. Notes, 144A(a) | 7.750 | 02/15/29 | 5,000 | 5,343,750 | |
| Royal Caribbean Cruises Ltd., | |||||
| Sr. Unsec’d. Notes, 144A | 5.500 | 08/31/26 | 500 | 500,524 | |
| Sr. Unsec’d. Notes, 144A | 5.500 | 04/01/28 | 2,500 | 2,551,108 | |
| Sr. Unsec’d. Notes, 144A | 5.625 | 09/30/31 | 2,140 | 2,196,407 | |
| Sr. Unsec’d. Notes, 144A | 6.250 | 03/15/32 | 990 | 1,025,022 | |
| Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 5.875 | 10/15/33 | 1,170 | 1,186,088 | |
| 59,635,990 | |||||
| Lodging 0.3% | |||||
| Hilton Domestic Operating Co., Inc., Gtd. Notes, 144A | 3.625 | 02/15/32 | 4,000 | 3,705,747 | |
| Hyatt Hotels Corp., Sr. Unsec’d. Notes | 5.400 | 12/15/35 | 20,650 | 20,687,960 | |
| Las Vegas Sands Corp., Sr. Unsec’d. Notes | 3.900 | 08/08/29 | 2,250 | 2,192,630 | |
| Marriott International, Inc., | |||||
| Sr. Unsec’d. Notes, Series GG | 3.500 | 10/15/32 | 17,030 | 15,891,368 | |
| Sr. Unsec’d. Notes, Series R | 3.125 | 06/15/26 | 37,700 | 37,578,933 | |
| MGM Resorts International, | |||||
| Gtd. Notes(a) | 4.750 | 10/15/28 | 7,900 | 7,883,419 | |
| Gtd. Notes(a) | 5.500 | 04/15/27 | 9,882 | 9,945,821 | |
| Gtd. Notes(a) | 6.125 | 09/15/29 | 26,757 | 27,355,940 | |
| Sands China Ltd. (Macau), Sr. Unsec’d. Notes(a) | 5.400 | 08/08/28 | 3,263 | 3,324,964 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Gtd. Notes, 144A | 5.250 | 05/15/27 | 13,502 | 13,576,582 | |
| Wynn Macau Ltd. (Macau), Sr. Unsec’d. Notes, 144A | 5.625 | 08/26/28 | 500 | 499,095 | |
| 142,642,459 | |||||
| Machinery-Diversified 0.2% | |||||
| AGCO Corp., Gtd. Notes | 5.450 | 03/21/27 | 2,140 | 2,168,953 | |
| Chart Industries, Inc., Sr. Sec’d. Notes, 144A | 7.500 | 01/01/30 | 5,375 | 5,600,121 | |
| CNH Industrial Capital LLC, | |||||
| Gtd. Notes(a) | 5.100 | 04/20/29 | 6,300 | 6,456,446 | |
| Gtd. Notes | 5.500 | 01/12/29 | 2,130 | 2,204,750 | |
| Maxim Crane Works Holdings Capital LLC, Sec’d. Notes, 144A | 11.500 | 09/01/28 | 11,660 | 12,417,226 | |
| Nordson Corp., Sr. Unsec’d. Notes | 4.500 | 12/15/29 | 17,995 | 18,115,532 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Machinery-Diversified (cont’d.) | |||||
| Otis Worldwide Corp., Sr. Unsec’d. Notes | 5.250 % | 08/16/28 | 39,875 | $41,051,171 | |
| Westinghouse Air Brake Technologies Corp., | |||||
| Gtd. Notes | 3.450 | 11/15/26 | 5,000 | 4,979,970 | |
| Gtd. Notes | 4.700 | 09/15/28 | 11,817 | 11,977,029 | |
| 104,971,198 | |||||
| Media 0.8% | |||||
| CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
| Gtd. Notes, 144A | 5.375 | 06/01/29 | 17,232 | 17,040,220 | |
| Sr. Unsec’d. Notes, 144A(a) | 4.750 | 03/01/30 | 8,925 | 8,532,249 | |
| Sr. Unsec’d. Notes, 144A | 5.125 | 05/01/27 | 4,300 | 4,304,005 | |
| Sr. Unsec’d. Notes, 144A | 5.500 | 05/01/26 | 14,056 | 14,056,000 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital, | |||||
| Sr. Sec’d. Notes(a) | 3.700 | 04/01/51 | 16,385 | 10,491,434 | |
| Sr. Sec’d. Notes | 4.400 | 12/01/61 | 5,000 | 3,285,319 | |
| Sr. Sec’d. Notes(a) | 4.800 | 03/01/50 | 13,600 | 10,299,046 | |
| Sr. Sec’d. Notes | 5.125 | 07/01/49 | 40,050 | 31,483,795 | |
| Sr. Sec’d. Notes | 5.375 | 04/01/38 | 6,070 | 5,556,148 | |
| Sr. Sec’d. Notes | 5.375 | 05/01/47 | 19,064 | 15,704,430 | |
| Sr. Sec’d. Notes | 5.750 | 04/01/48 | 8,123 | 6,985,996 | |
| Sr. Sec’d. Notes | 6.484 | 10/23/45 | 7,251 | 6,838,098 | |
| Comcast Corp., Gtd. Notes | 3.969 | 11/01/47 | 16 | 12,026 | |
| Cox Communications, Inc., | |||||
| Gtd. Notes, 144A | 5.450 | 09/01/34 | 48,652 | 47,617,512 | |
| Sr. Unsec’d. Notes, 144A | 2.600 | 06/15/31 | 1,804 | 1,611,868 | |
| Sr. Unsec’d. Notes, 144A | 3.350 | 09/15/26 | 15,505 | 15,434,190 | |
| CSC Holdings LLC, | |||||
| Gtd. Notes, 144A | 3.375 | 02/15/31 | 3,510 | 2,086,348 | |
| Gtd. Notes, 144A | 4.125 | 12/01/30 | 5,275 | 3,206,163 | |
| Gtd. Notes, 144A(a) | 4.500 | 11/15/31 | 2,500 | 1,506,350 | |
| Gtd. Notes, 144A | 5.375 | 02/01/28 | 208 | 155,858 | |
| Gtd. Notes, 144A | 5.500 | 04/15/27 | 13,800 | 12,163,267 | |
| Gtd. Notes, 144A | 6.500 | 02/01/29 | 700 | 449,151 | |
| Sr. Unsec’d. Notes, 144A | 4.625 | 12/01/30 | 8,450 | 3,146,400 | |
| Sr. Unsec’d. Notes, 144A | 5.750 | 01/15/30 | 11,500 | 4,496,310 | |
| Sr. Unsec’d. Notes, 144A | 7.500 | 04/01/28 | 3,465 | 2,066,794 | |
| DISH DBS Corp., | |||||
| Gtd. Notes(x) | 5.125 | 06/01/29 | 14,950 | 13,230,750 | |
| Gtd. Notes(x) | 7.375 | 07/01/28 | 345 | 331,103 | |
| Gtd. Notes(x) | 7.750 | 07/01/26 | 97,996 | 96,089,928 | |
| DISH Network Corp., Sr. Sec’d. Notes, 144A(x) | 11.750 | 11/15/27 | 32,376 | 33,480,540 | |
| Time Warner Cable LLC, Sr. Sec’d. Notes | 6.550 | 05/01/37 | 3,690 | 3,730,993 | |
| Univision Communications, Inc., Sr. Sec’d. Notes, 144A | 8.000 | 08/15/28 | 9,355 | 9,657,494 | |
| Virgin Media Secured Finance PLC (United Kingdom), | |||||
| Sr. Sec’d. Notes | 4.125 | 08/15/30 | GBP | 11,600 | 14,464,144 |
| Sr. Sec’d. Notes | 4.250 | 01/15/30 | GBP | 13,400 | 17,054,945 |
| 416,568,874 | |||||
| Mining 0.3% | |||||
| Arsenal AIC Parent LLC, Unsec’d. Notes, 144A | 11.500 | 10/01/31 | 11,177 | 12,321,545 | |
| Barrick Mining Corp. (Canada), Sr. Unsec’d. Notes, Series A | 5.800 | 11/15/34 | 7,300 | 7,644,439 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Mining (cont’d.) | |||||
| Barrick North America Finance LLC (Canada), Gtd. Notes | 5.750 % | 05/01/43 | 11,880 | $12,074,289 | |
| Capstone Copper Corp. (Canada), Gtd. Notes, 144A | 6.750 | 03/31/33 | 6,290 | 6,501,596 | |
| First Quantum Minerals Ltd. (Zambia), | |||||
| Gtd. Notes, 144A | 7.250 | 02/15/34 | 19,318 | 20,296,264 | |
| Gtd. Notes, 144A | 8.000 | 03/01/33 | 6,550 | 7,018,849 | |
| Gtd. Notes, 144A | 8.625 | 06/01/31 | 18,578 | 19,479,590 | |
| Sec’d. Notes, 144A | 9.375 | 03/01/29 | 27,278 | 28,607,802 | |
| Freeport Indonesia PT (Indonesia), Sr. Unsec’d. Notes, EMTN | 5.315 | 04/14/32 | 10,370 | 10,538,513 | |
| Kinross Gold Corp. (Canada), Sr. Unsec’d. Notes | 6.250 | 07/15/33 | 9,209 | 9,986,871 | |
| New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.875 | 04/01/32 | 3,160 | 3,352,436 | |
| Newmont Corp./Newcrest Finance Pty Ltd., Gtd. Notes | 5.350 | 03/15/34 | 2,500 | 2,603,033 | |
| Novelis Corp., | |||||
| Gtd. Notes, 144A(a) | 6.375 | 08/15/33 | 12,545 | 12,783,216 | |
| Gtd. Notes, 144A | 6.875 | 01/30/30 | 10,375 | 10,761,206 | |
| 163,969,649 | |||||
| Miscellaneous Manufacturing 0.0% | |||||
| Amsted Industries, Inc., Sr. Unsec’d. Notes, 144A | 4.625 | 05/15/30 | 347 | 343,324 | |
| Pentair Finance Sarl, Gtd. Notes | 4.500 | 07/01/29 | 1,300 | 1,304,168 | |
| 1,647,492 | |||||
| Multi-National 0.1% | |||||
| Corp. Andina de Fomento (Supranational Bank), | |||||
| Sr. Unsec’d. Notes | 5.000 | 01/24/29 | 4,843 | 4,993,133 | |
| Sr. Unsec’d. Notes | 6.000 | 04/26/27 | 2,000 | 2,046,482 | |
| European Investment Bank (Supranational Bank), Sr. Unsec’d. Notes, EMTN, 3 Month SOFR + 0.262% (Cap 2.590%, Floor N/A) | 2.590(c) | 12/29/26 | 3,500 | 3,421,006 | |
| Inter-American Development Bank (Supranational Bank), | |||||
| Unsec’d. Notes | 6.950 | 08/01/26 | 1,900 | 1,923,822 | |
| Unsec’d. Notes, MTN | 6.750 | 07/15/27 | 13,630 | 14,115,875 | |
| Unsec’d. Notes, Series 3, MTN | 6.290 | 07/16/27 | 2,552 | 2,624,185 | |
| International Bank for Reconstruction & Development (Supranational Bank), | |||||
| Notes, Series C, MTN | 2.219(s) | 10/31/30 | 5,239 | 4,298,547 | |
| Sr. Unsec’d. Notes | 0.185(cc) | 06/30/34 | 8,591 | 5,913,117 | |
| Sr. Unsec’d. Notes, MTN | 0.000(cc) | 11/28/34 | 273 | 190,731 | |
| Sr. Unsec’d. Notes, MTN | 1.379(cc) | 07/31/34 | 4,605 | 3,234,700 | |
| Sr. Unsec’d. Notes, MTN | 2.700 | 12/28/37 | 28,208 | 22,714,972 | |
| Sr. Unsec’d. Notes, Series 1, MTN | 1.768(cc) | 08/28/34 | 853 | 592,761 | |
| 66,069,331 | |||||
| Office/Business Equipment 0.0% | |||||
| CDW LLC/CDW Finance Corp., | |||||
| Gtd. Notes | 2.670 | 12/01/26 | 15,000 | 14,827,129 | |
| Gtd. Notes | 3.250 | 02/15/29 | 50 | 48,268 | |
| Gtd. Notes | 5.100 | 03/01/30 | 1,146 | 1,168,094 | |
| 16,043,491 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Oil & Gas 1.7% | |||||
| Aker BP ASA (Norway), | |||||
| Gtd. Notes, 144A | 3.100 % | 07/15/31 | 9,800 | $8,998,214 | |
| Sr. Unsec’d. Notes, 144A | 3.750 | 01/15/30 | 13,765 | 13,320,159 | |
| Sr. Unsec’d. Notes, 144A | 4.000 | 01/15/31 | 12,010 | 11,619,448 | |
| Sr. Unsec’d. Notes, 144A | 5.125 | 10/01/34 | 17,100 | 16,782,509 | |
| Sr. Unsec’d. Notes, 144A | 5.250 | 10/30/35 | 31,340 | 30,634,236 | |
| Sr. Unsec’d. Notes, 144A | 5.600 | 06/13/28 | 8,500 | 8,746,184 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 06/13/33 | 37,300 | 38,976,385 | |
| Ascent Resources Utica Holdings LLC/ARU Finance Corp., | |||||
| Gtd. Notes, 144A | 9.000 | 11/01/27 | 15,981 | 19,675,305 | |
| Sr. Unsec’d. Notes, 144A | 6.625 | 10/15/32 | 5,325 | 5,524,272 | |
| BP Capital Markets PLC, Gtd. Notes | 6.450(ff) | 12/01/33(oo) | 19,295 | 20,452,700 | |
| Cenovus Energy, Inc. (Canada), | |||||
| Sr. Unsec’d. Notes | 5.250 | 06/15/37 | 11,044 | 10,716,841 | |
| Sr. Unsec’d. Notes(a) | 5.400 | 03/20/36 | 11,560 | 11,519,817 | |
| Sr. Unsec’d. Notes | 5.400 | 06/15/47 | 8,720 | 7,993,056 | |
| Sr. Unsec’d. Notes | 6.750 | 11/15/39 | 3,008 | 3,289,833 | |
| Crescent Energy Finance LLC, | |||||
| Gtd. Notes, 144A(a) | 7.375 | 01/15/33 | 7,311 | 7,068,089 | |
| Gtd. Notes, 144A(a) | 7.625 | 04/01/32 | 2,250 | 2,233,601 | |
| Gtd. Notes, 144A | 7.875 | 04/15/32 | 19,720 | 19,619,167 | |
| Gtd. Notes, 144A(a) | 8.375 | 01/15/34 | 17,700 | 17,911,906 | |
| Gtd. Notes, 144A(a) | 9.750 | 10/15/30 | 10,515 | 11,170,335 | |
| Devon Energy Corp., | |||||
| Sr. Unsec’d. Notes | 4.750 | 05/15/42 | 10,544 | 9,252,633 | |
| Sr. Unsec’d. Notes | 5.250 | 10/15/27 | 113 | 112,973 | |
| Sr. Unsec’d. Notes(a) | 5.600 | 07/15/41 | 4,047 | 3,978,612 | |
| Diamondback Energy, Inc., | |||||
| Gtd. Notes | 3.250 | 12/01/26 | 51,435 | 51,121,418 | |
| Gtd. Notes | 5.400 | 04/18/34 | 22,885 | 23,455,706 | |
| Ecopetrol SA (Colombia), | |||||
| Sr. Unsec’d. Notes | 6.875 | 04/29/30 | 26,440 | 26,745,646 | |
| Sr. Unsec’d. Notes | 8.625 | 01/19/29 | 30,525 | 32,699,906 | |
| Energean Israel Finance Ltd. (Israel), Sr. Sec’d. Notes, 144A | 5.875 | 03/30/31 | 140 | 136,150 | |
| EOG Resources, Inc., Sr. Unsec’d. Notes | 5.350 | 01/15/36 | 33,500 | 34,378,328 | |
| Equinor ASA (Norway), | |||||
| Gtd. Notes | 3.700 | 04/06/50 | 20,155 | 15,241,368 | |
| Gtd. Notes | 4.250 | 11/23/41 | 9,026 | 7,944,263 | |
| Expand Energy Corp., | |||||
| Gtd. Notes(a) | 4.750 | 02/01/32 | 2,000 | 1,982,532 | |
| Gtd. Notes | 5.375 | 02/01/29 | 1,000 | 1,000,563 | |
| Gtd. Notes, 144A | 5.875 | 02/01/29 | 4,900 | 4,904,884 | |
| Exxon Mobil Corp., Sr. Unsec’d. Notes | 4.114 | 03/01/46 | 5,335 | 4,456,798 | |
| Gazprom PJSC Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes | 2.500 | 03/21/26 | EUR | 3,000 | 3,218,225 |
| Gazprom PJSC via Gaz Finance PLC (Russia), Sr. Unsec’d. Notes, EMTN | 1.500 | 02/17/27 | EUR | 1,367 | 1,215,280 |
| Hilcorp Energy I LP/Hilcorp Finance Co., | |||||
| Sr. Unsec’d. Notes, 144A | 5.750 | 02/01/29 | 6,066 | 6,066,270 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 04/15/30 | 16,015 | 15,780,934 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 02/01/31 | 3,200 | 3,090,348 | |
| Sr. Unsec’d. Notes, 144A | 6.250 | 11/01/28 | 4,320 | 4,354,002 | |
| Sr. Unsec’d. Notes, 144A(a) | 6.250 | 04/15/32 | 19,100 | 18,347,145 | |
| Sr. Unsec’d. Notes, 144A | 8.375 | 11/01/33 | 2,183 | 2,265,478 | |
| KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 4.750 | 04/19/27 | 3,000 | 3,002,730 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Oil & Gas (cont’d.) | |||||
| New Generation Gas Gathering LLC, | |||||
| Sr. Sec’d. Notes, 144A, 3 Month SOFR + 5.750% (Cap N/A, Floor 2.000%)^ | 9.417 %(c) | 09/30/29 | 6,824 | $6,721,959 | |
| Sr. Sec’d. Notes, 144A, 3 Month SOFR + 5.750% (Cap N/A, Floor 2.000%)^ | 9.417(c) | 09/30/29 | 8,189 | 8,066,351 | |
| Sr. Sec’d. Notes, 144A, 3 Month SOFR + 5.750% (Cap N/A, Floor 2.000%)^ | 9.417(c) | 09/30/29 | 6,824 | 6,721,959 | |
| Sr. Sec’d. Notes, 144A, 3 Month SOFR + 5.750% (Cap N/A, Floor 2.000%)^ | 9.590(c) | 09/30/29 | 2,047 | 2,016,588 | |
| Occidental Petroleum Corp., | |||||
| Sr. Unsec’d. Notes | 6.450 | 09/15/36 | 2,853 | 3,040,095 | |
| Sr. Unsec’d. Notes | 7.500 | 05/01/31 | 43 | 48,431 | |
| Sr. Unsec’d. Notes | 7.950 | 06/15/39 | 1,600 | 1,879,920 | |
| Pertamina Persero PT (Indonesia), Sr. Unsec’d. Notes, EMTN | 5.625 | 05/20/43 | 2,155 | 2,057,109 | |
| Petrobras Global Finance BV (Brazil), | |||||
| Gtd. Notes | 5.375 | 10/01/29 | GBP | 9,150 | 12,437,455 |
| Gtd. Notes | 6.625 | 01/16/34 | GBP | 27,600 | 38,417,931 |
| Petroleos Mexicanos (Mexico), | |||||
| Gtd. Notes | 6.500 | 01/23/29 | 16,725 | 17,076,225 | |
| Gtd. Notes(a) | 6.625 | 06/15/35 | 2,920 | 2,782,147 | |
| Gtd. Notes | 6.625 | 06/15/38 | 1,916 | 1,757,700 | |
| Gtd. Notes | 6.700 | 02/16/32 | 44,083 | 44,003,210 | |
| Gtd. Notes(a) | 6.840 | 01/23/30 | 13,588 | 13,886,936 | |
| Gtd. Notes | 9.500 | 09/15/27 | 4,190 | 4,410,604 | |
| Gtd. Notes, EMTN | 2.750 | 04/21/27 | EUR | 3,725 | 4,356,096 |
| Gtd. Notes, MTN | 8.750 | 06/02/29 | 63,441 | 68,135,634 | |
| Phillips 66, Gtd. Notes | 2.150 | 12/15/30 | 2,150 | 1,940,331 | |
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 1.900 | 08/15/30 | 6,410 | 5,816,456 | |
| QatarEnergy (Qatar), Sr. Unsec’d. Notes, 144A | 1.375 | 09/12/26 | 4,400 | 4,313,892 | |
| Santos Finance Ltd. (Australia), Gtd. Notes, 144A(a) | 6.875 | 09/19/33 | 4,600 | 5,033,365 | |
| SM Energy Co., | |||||
| Gtd. Notes, 144A | 5.000 | 10/15/26 | 1,000 | 998,863 | |
| Gtd. Notes, 144A | 8.375 | 07/01/28 | 10,440 | 10,795,328 | |
| Gtd. Notes, 144A | 8.625 | 11/01/30 | 9,575 | 10,132,380 | |
| Gtd. Notes, 144A(a) | 8.750 | 07/01/31 | 882 | 926,537 | |
| Sunoco LP, Sr. Unsec’d. Notes, 144A(a) | 6.625 | 08/15/32 | 2,520 | 2,598,907 | |
| Transocean International Ltd., Gtd. Notes, 144A | 8.250 | 05/15/29 | 2,365 | 2,406,388 | |
| Var Energi ASA (Norway), | |||||
| Sr. Unsec’d. Notes, 144A | 6.500 | 05/22/35 | 27,115 | 28,622,054 | |
| Sr. Unsec’d. Notes, 144A | 7.500 | 01/15/28 | 20,838 | 22,011,290 | |
| Sr. Unsec’d. Notes, 144A | 8.000 | 11/15/32 | 4,662 | 5,337,416 | |
| 879,753,806 | |||||
| Oil & Gas Services 0.0% | |||||
| Cameron International Corp., Gtd. Notes | 5.950 | 06/01/41 | 2,775 | 2,789,563 | |
| Packaging & Containers 0.1% | |||||
| ARD Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250% | 6.500 | 06/30/27(d) | —(r) | — | |
| Ardagh Group SA, | |||||
| Sec’d. Notes, 144A, Cash coupon 5.500% and PIK 6.500% | 12.000 | 12/01/30 | 14,600 | 13,797,000 | |
| Sec’d. Notes, 144A, Cash coupon 4.500% and PIK 7.500% | 12.000 | 12/01/30 | EUR | 3,100 | 3,468,835 |
| Sr. Sec’d. Notes, 144A | 9.500 | 12/01/30 | 9,877 | 10,667,220 | |
| Ball Corp., | |||||
| Gtd. Notes | 5.500 | 09/15/33 | 16,955 | 17,245,183 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Packaging & Containers (cont’d.) | |||||
| Ball Corp., (cont’d.) | |||||
| Gtd. Notes | 6.000 % | 06/15/29 | 12,025 | $12,394,458 | |
| Clydesdale Acquisition Holdings, Inc., Sr. Sec’d. Notes, 144A(a) | 6.750 | 04/15/32 | 10,850 | 10,942,277 | |
| Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A(a) | 6.625 | 05/13/27 | 375 | 375,000 | |
| 68,889,973 | |||||
| Pharmaceuticals 0.6% | |||||
| 1261229 BC Ltd., Sr. Sec’d. Notes, 144A | 10.000 | 04/15/32 | 6,735 | 6,911,794 | |
| AbbVie, Inc., | |||||
| Sr. Unsec’d. Notes | 4.400 | 11/06/42 | 32,717 | 29,114,174 | |
| Sr. Unsec’d. Notes | 4.500 | 05/14/35 | 3,711 | 3,631,929 | |
| Sr. Unsec’d. Notes(h) | 4.550 | 03/15/35 | 38,439 | 37,784,454 | |
| Sr. Unsec’d. Notes | 4.700 | 05/14/45 | 43,711 | 39,479,753 | |
| Sr. Unsec’d. Notes | 4.750 | 03/15/45 | 10,308 | 9,380,783 | |
| Sr. Unsec’d. Notes | 4.850 | 06/15/44 | 9,795 | 9,052,336 | |
| AdaptHealth LLC, Gtd. Notes, 144A | 4.625 | 08/01/29 | 1,000 | 967,012 | |
| Bausch Health Cos., Inc. (Canada), | |||||
| Gtd. Notes, 144A | 5.000 | 01/30/28 | 2,050 | 1,755,312 | |
| Gtd. Notes, 144A | 5.000 | 02/15/29 | 1,000 | 760,610 | |
| Gtd. Notes, 144A | 5.250 | 01/30/30 | 21,122 | 14,996,620 | |
| Gtd. Notes, 144A | 5.250 | 02/15/31 | 20,329 | 13,201,653 | |
| Gtd. Notes, 144A | 6.250 | 02/15/29 | 14,000 | 11,068,750 | |
| Gtd. Notes, 144A | 7.000 | 01/15/28 | 2,750 | 2,471,562 | |
| Sr. Sec’d. Notes, 144A | 4.875 | 06/01/28 | 3,242 | 3,007,149 | |
| CVS Health Corp., | |||||
| Sr. Unsec’d. Notes | 1.750 | 08/21/30 | 750 | 666,411 | |
| Sr. Unsec’d. Notes | 1.875 | 02/28/31 | 24,845 | 21,865,082 | |
| Sr. Unsec’d. Notes | 4.300 | 03/25/28 | 406 | 407,446 | |
| Sr. Unsec’d. Notes | 5.000 | 01/30/29 | 1,312 | 1,340,391 | |
| Sr. Unsec’d. Notes | 5.300 | 12/05/43 | 7,175 | 6,654,906 | |
| Mylan, Inc., Gtd. Notes | 5.400 | 11/29/43 | 38,126 | 33,105,161 | |
| Shire Acquisitions Investments Ireland DAC, Gtd. Notes(a) | 3.200 | 09/23/26 | 1,587 | 1,579,213 | |
| Utah Acquisition Sub, Inc., | |||||
| Gtd. Notes | 3.950 | 06/15/26 | 9,792 | 9,776,750 | |
| Gtd. Notes | 5.250 | 06/15/46 | 71,446 | 59,257,086 | |
| Viatris, Inc., Gtd. Notes | 4.000 | 06/22/50 | 18,682 | 12,513,791 | |
| 330,750,128 | |||||
| Pipelines 2.2% | |||||
| Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 5.375 | 06/15/29 | 5,395 | 5,403,255 | |
| Cheniere Energy, Inc., Sr. Unsec’d. Notes | 4.625 | 10/15/28 | 50 | 50,016 | |
| Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., Gtd. Notes, 144A | 4.150 | 08/15/26 | 8,794 | 8,790,009 | |
| Columbia Pipelines Operating Co. LLC, | |||||
| Sr. Unsec’d. Notes, 144A | 5.927 | 08/15/30 | 19,146 | 20,285,694 | |
| Sr. Unsec’d. Notes, 144A | 6.036 | 11/15/33 | 46,110 | 49,223,106 | |
| DCP Midstream Operating LP, | |||||
| Gtd. Notes | 5.125 | 05/15/29 | 50 | 51,163 | |
| Gtd. Notes | 5.625 | 07/15/27 | 50 | 50,909 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| DCP Midstream Operating LP, (cont’d.) | |||||
| Gtd. Notes, 144A | 6.750 % | 09/15/37 | 10,000 | $10,858,685 | |
| Eastern Gas Transmission & Storage, Inc., Sr. Unsec’d. Notes | 4.600 | 12/15/44 | 245 | 211,346 | |
| Energy Transfer LP, | |||||
| Gtd. Notes | 5.350 | 05/15/45 | 2,240 | 2,034,471 | |
| Jr. Sub. Notes, Series G | 7.125(ff) | 05/15/30(oo) | 65,450 | 67,547,367 | |
| Jr. Sub. Notes, Series H | 6.500(ff) | 11/15/26(oo) | 19,835 | 19,920,817 | |
| Sr. Unsec’d. Notes | 5.000 | 05/15/50 | 1,915 | 1,618,301 | |
| Sr. Unsec’d. Notes | 5.150 | 03/15/45 | 1,222 | 1,086,075 | |
| Sr. Unsec’d. Notes | 5.300 | 04/01/44 | 4,150 | 3,785,436 | |
| Sr. Unsec’d. Notes | 5.300 | 04/15/47 | 6,095 | 5,470,778 | |
| Sr. Unsec’d. Notes | 5.400 | 10/01/47 | 15,294 | 13,859,827 | |
| Sr. Unsec’d. Notes | 6.050 | 06/01/41 | 2,500 | 2,539,183 | |
| Sr. Unsec’d. Notes | 6.125 | 12/15/45 | 9,720 | 9,663,155 | |
| Sr. Unsec’d. Notes | 6.250 | 04/15/49 | 37,960 | 37,850,601 | |
| Sr. Unsec’d. Notes | 6.400 | 12/01/30 | 6,025 | 6,520,512 | |
| Sr. Unsec’d. Notes | 6.550 | 12/01/33 | 14,895 | 16,298,951 | |
| Enterprise Products Operating LLC, | |||||
| Gtd. Notes(a) | 3.200 | 02/15/52 | 42,775 | 28,372,809 | |
| Gtd. Notes | 3.700 | 01/31/51 | 2,665 | 1,959,319 | |
| Gtd. Notes | 4.200 | 01/31/50 | 12,270 | 9,875,879 | |
| Gtd. Notes | 4.250 | 02/15/48 | 5,593 | 4,588,887 | |
| Gtd. Notes | 4.900 | 05/15/46 | 18,296 | 16,615,469 | |
| Gtd. Notes | 4.950 | 10/15/54 | 3,084 | 2,730,959 | |
| Gtd. Notes | 5.100 | 02/15/45 | 8,450 | 7,930,889 | |
| Gtd. Notes, Series D, 3 Month SOFR + 3.248% | 7.099(c) | 08/16/77 | 9,502 | 9,493,232 | |
| Kinder Morgan Energy Partners LP, | |||||
| Gtd. Notes | 4.700 | 11/01/42 | 8,000 | 7,130,747 | |
| Gtd. Notes | 5.000 | 03/01/43 | 1,958 | 1,794,990 | |
| Gtd. Notes | 6.500 | 09/01/39 | 1,260 | 1,385,884 | |
| Kinder Morgan, Inc., Gtd. Notes | 2.000 | 02/15/31 | 35,000 | 31,394,613 | |
| Midwest Connector Capital Co. LLC, Gtd. Notes, 144A | 4.625 | 04/01/29 | 4,413 | 4,413,134 | |
| MPLX LP, | |||||
| Sr. Unsec’d. Notes | 1.750 | 03/01/26 | 10,440 | 10,421,486 | |
| Sr. Unsec’d. Notes | 2.650 | 08/15/30 | 10,000 | 9,271,801 | |
| Sr. Unsec’d. Notes | 4.000 | 03/15/28 | 6,490 | 6,487,123 | |
| Sr. Unsec’d. Notes | 4.500 | 04/15/38 | 15,767 | 14,380,416 | |
| Sr. Unsec’d. Notes | 4.800 | 02/15/31 | 7,735 | 7,821,621 | |
| Sr. Unsec’d. Notes | 4.950 | 03/14/52 | 1,560 | 1,317,331 | |
| Sr. Unsec’d. Notes | 5.000 | 01/15/33 | 33,550 | 33,621,821 | |
| Sr. Unsec’d. Notes | 5.000 | 03/01/33 | 685 | 686,823 | |
| Sr. Unsec’d. Notes | 5.200 | 12/01/47 | 2,060 | 1,841,303 | |
| Sr. Unsec’d. Notes | 5.400 | 04/01/35 | 3,120 | 3,151,143 | |
| Sr. Unsec’d. Notes(a) | 5.400 | 09/15/35 | 20,640 | 20,808,573 | |
| Sr. Unsec’d. Notes | 5.500 | 06/01/34 | 19,124 | 19,530,894 | |
| Northwest Pipeline LLC, Sr. Unsec’d. Notes | 4.000 | 04/01/27 | 4,110 | 4,110,590 | |
| ONEOK Partners LP, | |||||
| Gtd. Notes | 6.650 | 10/01/36 | 5,000 | 5,471,233 | |
| Gtd. Notes | 6.850 | 10/15/37 | 10,910 | 12,083,580 | |
| ONEOK, Inc., | |||||
| Gtd. Notes | 3.400 | 09/01/29 | 35,605 | 34,563,777 | |
| Gtd. Notes | 4.200 | 12/01/42 | 1,600 | 1,282,079 | |
| Gtd. Notes | 4.200 | 03/15/45 | 2,830 | 2,193,367 | |
| Gtd. Notes | 4.550 | 07/15/28 | 2,790 | 2,814,074 | |
| Gtd. Notes | 4.950 | 10/15/32 | 30,720 | 30,869,102 | |
| Gtd. Notes | 5.050 | 11/01/34 | 15,916 | 15,745,973 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| ONEOK, Inc., (cont’d.) | |||||
| Gtd. Notes | 5.150 % | 10/15/43 | 9,557 | $8,718,728 | |
| Gtd. Notes(a) | 5.200 | 07/15/48 | 1,290 | 1,159,379 | |
| Gtd. Notes | 5.400 | 10/15/35 | 31,400 | 31,649,792 | |
| Gtd. Notes | 5.650 | 11/01/28 | 9,955 | 10,336,536 | |
| Gtd. Notes | 5.650 | 09/01/34 | 7,000 | 7,212,412 | |
| Gtd. Notes | 5.700 | 11/01/54 | 4,240 | 3,961,769 | |
| Gtd. Notes | 5.800 | 11/01/30 | 5,210 | 5,484,895 | |
| Gtd. Notes | 6.000 | 06/15/35 | 4,200 | 4,442,170 | |
| Gtd. Notes | 6.250 | 10/15/55 | 435 | 437,660 | |
| Gtd. Notes | 6.625 | 09/01/53 | 400 | 420,949 | |
| Gtd. Notes, 144A | 6.500 | 09/01/30 | 32,345 | 34,700,864 | |
| Plains All American Pipeline LP/PAA Finance Corp., Sr. Unsec’d. Notes | 3.550 | 12/15/29 | 9,275 | 9,036,249 | |
| Rockies Express Pipeline LLC, | |||||
| Sr. Unsec’d. Notes, 144A | 4.800 | 05/15/30 | 3,015 | 2,972,744 | |
| Sr. Unsec’d. Notes, 144A | 6.750 | 03/15/33 | 3,970 | 4,190,747 | |
| Sr. Unsec’d. Notes, 144A | 6.875 | 04/15/40 | 4,500 | 4,604,707 | |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | |||||
| Gtd. Notes, 144A | 5.500 | 01/15/28 | 12,867 | 12,867,851 | |
| Gtd. Notes, 144A | 6.000 | 12/31/30 | 1,975 | 2,004,269 | |
| Gtd. Notes, 144A(a) | 6.750 | 03/15/34 | 5,285 | 5,378,724 | |
| Targa Resources Corp., | |||||
| Gtd. Notes(a) | 4.200 | 02/01/33 | 6,795 | 6,502,047 | |
| Gtd. Notes | 5.200 | 07/01/27 | 5,510 | 5,595,147 | |
| Gtd. Notes(a) | 5.400 | 07/30/36 | 24,215 | 24,261,320 | |
| Gtd. Notes | 6.150 | 03/01/29 | 13,000 | 13,696,197 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 5.000 | 01/15/28 | 50 | 50,039 | |
| Transcontinental Gas Pipe Line Co. LLC, | |||||
| Sr. Unsec’d. Notes | 4.600 | 03/15/48 | 20,328 | 17,639,846 | |
| Sr. Unsec’d. Notes, 144A(a) | 5.100 | 03/15/36 | 18,795 | 18,854,774 | |
| Valero Energy Partners LP, Gtd. Notes | 4.500 | 03/15/28 | 7,970 | 8,035,747 | |
| Venture Global Calcasieu Pass LLC, | |||||
| Sr. Sec’d. Notes, 144A | 3.875 | 08/15/29 | 9,205 | 8,746,639 | |
| Sr. Sec’d. Notes, 144A(a) | 4.125 | 08/15/31 | 2,380 | 2,196,370 | |
| Sr. Sec’d. Notes, 144A | 6.250 | 01/15/30 | 24,200 | 24,803,335 | |
| Venture Global LNG, Inc., Jr. Sub. Notes, 144A(a) | 9.000(ff) | 09/30/29(oo) | 59,345 | 52,262,327 | |
| Venture Global Plaquemines LNG LLC, | |||||
| Sr. Sec’d. Notes, 144A | 6.125 | 12/15/30 | 15,135 | 15,579,685 | |
| Sr. Sec’d. Notes, 144A | 6.500 | 01/15/34 | 6,005 | 6,236,468 | |
| Sr. Sec’d. Notes, 144A | 6.500 | 06/15/34 | 6,445 | 6,679,515 | |
| Sr. Sec’d. Notes, 144A(a) | 6.750 | 01/15/36 | 6,005 | 6,296,336 | |
| Sr. Sec’d. Notes, 144A | 7.500 | 05/01/33 | 6,804 | 7,459,745 | |
| Sr. Sec’d. Notes, 144A(a) | 7.750 | 05/01/35 | 10,098 | 11,262,322 | |
| Western Midstream Operating LP, | |||||
| Sr. Unsec’d. Notes | 4.050 | 02/01/30 | 50 | 49,026 | |
| Sr. Unsec’d. Notes | 4.750 | 08/15/28 | 3,250 | 3,290,942 | |
| Sr. Unsec’d. Notes | 6.350 | 01/15/29 | 11,115 | 11,721,900 | |
| Williams Cos., Inc. (The), | |||||
| Sr. Unsec’d. Notes | 3.750 | 06/15/27 | 43,926 | 43,817,967 | |
| Sr. Unsec’d. Notes | 4.850 | 03/01/48 | 3,274 | 2,862,117 | |
| Sr. Unsec’d. Notes | 4.900 | 01/15/45 | 5,902 | 5,291,300 | |
| Sr. Unsec’d. Notes | 5.100 | 09/15/45 | 1,130 | 1,039,546 | |
| Sr. Unsec’d. Notes | 5.150 | 03/15/34 | 54,459 | 55,220,788 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| Williams Cos., Inc. (The), (cont’d.) | |||||
| Sr. Unsec’d. Notes | 5.300 % | 08/15/52 | 7,580 | $6,992,105 | |
| Sr. Unsec’d. Notes | 6.300 | 04/15/40 | 1,930 | 2,077,362 | |
| 1,167,381,935 | |||||
| Real Estate 0.0% | |||||
| Howard Hughes Corp. (The), | |||||
| Gtd. Notes, 144A | 4.125 | 02/01/29 | 3,517 | 3,403,649 | |
| Gtd. Notes, 144A | 4.375 | 02/01/31 | 2,500 | 2,368,003 | |
| Gtd. Notes, 144A | 5.375 | 08/01/28 | 500 | 499,728 | |
| Ontario Teachers’ Cadillac Fairview Properties Trust (Canada), Sr. Unsec’d. Notes, 144A | 3.875 | 03/20/27 | 14,600 | 14,583,064 | |
| 20,854,444 | |||||
| Real Estate Investment Trusts (REITs) 0.6% | |||||
| Alexandria Real Estate Equities, Inc., Gtd. Notes(a) | 1.875 | 02/01/33 | 9,640 | 7,914,713 | |
| Brixmor Operating Partnership LP, | |||||
| Sr. Unsec’d. Notes | 3.900 | 03/15/27 | 4,300 | 4,293,691 | |
| Sr. Unsec’d. Notes | 4.125 | 05/15/29 | 22,019 | 21,940,387 | |
| CFE Fibra E (Mexico), Sr. Unsec’d. Notes, 144A | 5.875 | 09/23/40 | 853 | 844,733 | |
| Diversified Healthcare Trust, | |||||
| Gtd. Notes | 4.375 | 03/01/31 | 8,153 | 7,272,099 | |
| Sr. Unsec’d. Notes | 4.750 | 02/15/28 | 12,085 | 11,712,165 | |
| GLP Capital LP/GLP Financing II, Inc., | |||||
| Gtd. Notes | 3.250 | 01/15/32 | 20,765 | 18,801,724 | |
| Gtd. Notes | 5.300 | 01/15/29 | 12,461 | 12,702,693 | |
| Healthpeak OP LLC, Gtd. Notes | 3.500 | 07/15/29 | 1,490 | 1,452,923 | |
| Highwoods Realty LP, Sr. Unsec’d. Notes | 3.875 | 03/01/27 | 5,885 | 5,848,220 | |
| Host Hotels & Resorts LP, Sr. Unsec’d. Notes, Series I | 3.500 | 09/15/30 | 36,393 | 34,672,828 | |
| Invitation Homes Operating Partnership LP, Gtd. Notes | 4.875 | 02/01/35 | 1,000 | 974,476 | |
| Lineage Europe Finco BV (Netherlands), Gtd. Notes | 4.125 | 11/26/31 | EUR | 66,325 | 78,427,626 |
| MPT Operating Partnership LP/MPT Finance Corp., | |||||
| Gtd. Notes | 3.500 | 03/15/31 | 900 | 665,324 | |
| Sr. Sec’d. Notes, 144A(a) | 8.500 | 02/15/32 | 1,225 | 1,312,039 | |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Sec’d. Notes, 144A | 4.875 | 05/15/29 | 16,450 | 16,092,787 | |
| Realty Income Corp., Sr. Unsec’d. Notes | 2.850 | 12/15/32 | 19,830 | 17,793,251 | |
| Starwood Property Trust, Inc., Sr. Unsec’d. Notes, 144A | 6.500 | 10/15/30 | 575 | 599,360 | |
| Sun Communities Operating LP, Gtd. Notes | 2.700 | 07/15/31 | 12,359 | 11,225,618 | |
| Ventas Realty LP, Gtd. Notes | 3.850 | 04/01/27 | 31,660 | 31,595,886 | |
| VICI Properties LP, Sr. Unsec’d. Notes | 5.125 | 05/15/32 | 5,235 | 5,266,870 | |
| VICI Properties LP/VICI Note Co., Inc., | |||||
| Gtd. Notes, 144A | 4.125 | 08/15/30 | 25 | 24,256 | |
| Gtd. Notes, 144A | 4.250 | 12/01/26 | 13,075 | 13,069,897 | |
| Welltower OP LLC, Gtd. Notes | 2.750 | 01/15/31 | 2,250 | 2,092,767 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Real Estate Investment Trusts (REITs) (cont’d.) | |||||
| WP Carey, Inc., | |||||
| Sr. Unsec’d. Notes | 2.400 % | 02/01/31 | 5,790 | $5,228,251 | |
| Sr. Unsec’d. Notes | 5.375 | 06/30/34 | 9,697 | 9,969,785 | |
| 321,794,369 | |||||
| Retail 0.5% | |||||
| 1011778 BC ULC/New Red Finance, Inc. (Canada), | |||||
| Sec’d. Notes, 144A | 4.000 | 10/15/30 | 2,200 | 2,098,778 | |
| Sr. Sec’d. Notes, 144A | 5.625 | 09/15/29 | 4,460 | 4,533,165 | |
| Sr. Sec’d. Notes, 144A | 6.125 | 06/15/29 | 3,070 | 3,145,435 | |
| Alimentation Couche-Tard, Inc. (Canada), Gtd. Notes, 144A | 5.267 | 02/12/34 | 7,193 | 7,327,380 | |
| Boots Group Finco LP (United Kingdom), Sr. Sec’d. Notes, 144A | 7.375 | 08/31/32 | GBP | 4,425 | 6,247,042 |
| Brinker International, Inc., Gtd. Notes, 144A | 8.250 | 07/15/30 | 7,472 | 7,885,163 | |
| Carvana Co., | |||||
| Sr. Sec’d. Notes, 144A | 9.000 | 06/01/30 | 53,422 | 55,717,876 | |
| Sr. Sec’d. Notes, 144A | 9.000 | 06/01/31 | 28,933 | 31,851,304 | |
| EG Global Finance PLC (United Kingdom), | |||||
| Sr. Sec’d. Notes | 11.000 | 11/30/28 | EUR | 15,000 | 19,157,241 |
| Sr. Sec’d. Notes, 144A | 11.000 | 11/30/28 | EUR | 64,400 | 82,244,988 |
| Sr. Sec’d. Notes, 144A | 12.000 | 11/30/28 | 17,900 | 19,343,187 | |
| Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Sec’d. Notes, 144A | 4.625 | 01/15/29 | 1,000 | 967,643 | |
| Gap, Inc. (The), Gtd. Notes, 144A | 3.875 | 10/01/31 | 9,325 | 8,639,578 | |
| Park River Holdings, Inc., Sec’d. Notes, 144A | 8.750 | 12/31/30 | 4,488 | 4,488,669 | |
| Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 6.750 | 03/01/32 | 2,000 | 2,076,599 | |
| 255,724,048 | |||||
| Semiconductors 0.5% | |||||
| Broadcom, Inc., | |||||
| Sr. Unsec’d. Notes | 4.350 | 02/15/30 | 33,095 | 33,289,527 | |
| Sr. Unsec’d. Notes, 144A | 3.137 | 11/15/35 | 26,909 | 23,147,488 | |
| Sr. Unsec’d. Notes, 144A | 3.187 | 11/15/36 | 184,190 | 155,944,866 | |
| Intel Corp., Sr. Unsec’d. Notes | 5.700 | 02/10/53 | 9,340 | 8,808,611 | |
| NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands), | |||||
| Gtd. Notes | 3.150 | 05/01/27 | 7,190 | 7,114,936 | |
| Gtd. Notes(a) | 3.400 | 05/01/30 | 9,130 | 8,801,777 | |
| 237,107,205 | |||||
| Software 0.3% | |||||
| CoreWeave, Inc., | |||||
| Gtd. Notes, 144A(a) | 9.000 | 02/01/31 | 15,245 | 14,825,591 | |
| Gtd. Notes, 144A(a) | 9.250 | 06/01/30 | 21,930 | 21,592,503 | |
| Fiserv, Inc., Sr. Unsec’d. Notes | 5.375 | 08/21/28 | 78,385 | 80,481,563 | |
| Oracle Corp., | |||||
| Sr. Unsec’d. Notes(a) | 2.950 | 04/01/30 | 5,925 | 5,475,087 | |
| Sr. Unsec’d. Notes | 3.600 | 04/01/50 | 1,420 | 885,043 | |
| Sr. Unsec’d. Notes | 3.800 | 11/15/37 | 18,135 | 14,610,387 | |
| Sr. Unsec’d. Notes | 3.950 | 03/25/51 | 21,875 | 14,352,813 | |
| 152,222,987 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Telecommunications 1.6% | |||||
| Altice Financing SA (Luxembourg), | |||||
| Sr. Sec’d. Notes, 144A | 5.000 % | 01/15/28 | 730 | $525,600 | |
| Sr. Sec’d. Notes, 144A | 5.750 | 08/15/29 | 15,439 | 10,961,690 | |
| AT&T, Inc., | |||||
| Sr. Unsec’d. Notes | 2.250 | 02/01/32 | 40,020 | 35,167,939 | |
| Sr. Unsec’d. Notes | 2.300 | 06/01/27 | 3,300 | 3,232,156 | |
| Sr. Unsec’d. Notes | 2.550 | 12/01/33 | 20,703 | 17,603,358 | |
| Sr. Unsec’d. Notes | 3.550 | 09/15/55 | 19,994 | 13,254,851 | |
| Sr. Unsec’d. Notes | 3.650 | 09/15/59 | 51,611 | 34,016,225 | |
| Sr. Unsec’d. Notes | 3.800 | 12/01/57 | 7,661 | 5,265,295 | |
| Connect Holding II LLC, Sr. Sec’d. Notes, 144A | 10.500 | 04/03/31 | 55,275 | 54,227,363 | |
| Digicel Group Holdings Ltd. (Jamaica), | |||||
| Sr. Sec’d. Notes, Series 1B14, 144A(x) | 0.000 | 12/31/30 | 323 | 32 | |
| Sr. Sec’d. Notes, Series 3B14, 144A^(x) | 0.000 | 12/31/30 | 111 | — | |
| Digicel International Finance Ltd./DIFL US LLC (Jamaica), Sr. Sec’d. Notes, 144A(x) | 8.625 | 08/01/32 | 57,630 | 59,924,827 | |
| EchoStar Corp., Sr. Sec’d. Notes(x) | 10.750 | 11/30/29 | 75,359 | 82,602,849 | |
| Frontier Communications Holdings LLC, | |||||
| Sec’d. Notes | 5.875 | 11/01/29 | 8,614 | 8,691,996 | |
| Sec’d. Notes, 144A | 6.750 | 05/01/29 | 1,948 | 1,956,640 | |
| Sr. Sec’d. Notes, 144A | 5.000 | 05/01/28 | 13,999 | 14,004,152 | |
| Iliad Holding SAS (France), Sr. Sec’d. Notes, 144A | 7.000 | 10/15/28 | 9,175 | 9,266,750 | |
| Level 3 Financing, Inc., | |||||
| Gtd. Notes, 144A | 8.500 | 01/15/36 | 26,555 | 27,197,926 | |
| Sr. Sec’d. Notes, 144A | 6.875 | 06/30/33 | 4,800 | 4,947,659 | |
| Sr. Sec’d. Notes, 144A | 7.000 | 03/31/34 | 34,380 | 35,628,372 | |
| Lorca Telecom Bondco SA (Spain), Sr. Sec’d. Notes, 144A | 5.750 | 04/30/29 | EUR | 53,875 | 65,963,665 |
| Motorola Solutions, Inc., | |||||
| Sr. Unsec’d. Notes | 2.300 | 11/15/30 | 6,271 | 5,699,803 | |
| Sr. Unsec’d. Notes | 4.600 | 05/23/29 | 16,480 | 16,674,489 | |
| NTT Finance Corp. (Japan), Sr. Unsec’d. Notes, 144A(a) | 4.620 | 07/16/28 | 3,835 | 3,886,876 | |
| Sprint Capital Corp., Gtd. Notes | 8.750 | 03/15/32 | 29,300 | 35,483,120 | |
| TalkTalk Telecom Group Ltd. (United Kingdom), Sec’d. Notes, 144A, Cash coupon 11.750% or PIK 11.750%^ | 11.750 | 03/01/28(d) | GBP | 13,167 | 18 |
| T-Mobile USA, Inc., | |||||
| Gtd. Notes | 2.550 | 02/15/31 | 28,800 | 26,331,823 | |
| Gtd. Notes | 2.625 | 02/15/29 | 14,375 | 13,760,860 | |
| Gtd. Notes | 3.000 | 02/15/41 | 47,439 | 35,161,602 | |
| Gtd. Notes | 3.300 | 02/15/51 | 9,414 | 6,253,696 | |
| Gtd. Notes | 3.875 | 04/15/30 | 13,050 | 12,820,327 | |
| Gtd. Notes | 4.375 | 04/15/40 | 13,276 | 11,850,509 | |
| Gtd. Notes | 4.500 | 04/15/50 | 1,975 | 1,623,694 | |
| Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC, Gtd. Notes, 144A | 8.625 | 06/15/32 | 6,495 | 6,542,272 | |
| Verizon Communications, Inc., | |||||
| Sr. Unsec’d. Notes | 1.750 | 01/20/31 | 8,900 | 7,848,568 | |
| Sr. Unsec’d. Notes | 2.355 | 03/15/32 | 21,369 | 18,824,269 | |
| Sr. Unsec’d. Notes | 2.650 | 11/20/40 | 24,032 | 17,104,485 | |
| Sr. Unsec’d. Notes | 4.780 | 02/15/35 | 36,212 | 35,513,131 | |
| Sr. Unsec’d. Notes | 5.401 | 07/02/37 | 85,257 | 85,970,985 | |
| Vmed O2 UK Financing I PLC (United Kingdom), Sr. Sec’d. Notes | 4.000 | 01/31/29 | GBP | 5,100 | 6,759,457 |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Telecommunications (cont’d.) | |||||
| Windstream Services LLC/Windstream Escrow Finance Corp., Sr. Sec’d. Notes, 144A | 8.250 % | 10/01/31 | 4,690 | $4,914,250 | |
| Zegona Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 8.625 | 07/15/29 | 6,275 | 6,620,125 | |
| 844,083,704 | |||||
| Transportation 0.2% | |||||
| Burlington Northern Santa Fe LLC, | |||||
| Sr. Unsec’d. Notes | 4.375 | 09/01/42 | 2,850 | 2,528,607 | |
| Sr. Unsec’d. Notes | 4.700 | 09/01/45 | 3,400 | 3,080,192 | |
| Indian Railway Finance Corp. Ltd. (India), Sr. Unsec’d. Notes, 144A, MTN(a) | 3.570 | 01/21/32 | 7,820 | 7,400,613 | |
| Lima Metro Line 2 Finance Ltd. (Peru), Sr. Sec’d. Notes | 5.875 | 07/05/34 | 3,719 | 3,839,533 | |
| Ryder System, Inc., Sr. Unsec’d. Notes, MTN | 5.375 | 03/15/29 | 29,585 | 30,580,250 | |
| Star Leasing Co. LLC, Sec’d. Notes, 144A | 7.625 | 02/15/30 | 44,941 | 42,978,203 | |
| 90,407,398 | |||||
| Trucking & Leasing 0.1% | |||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., | |||||
| Sr. Unsec’d. Notes, 144A | 5.750 | 05/24/26 | 5,000 | 5,018,152 | |
| Sr. Unsec’d. Notes, 144A | 6.050 | 08/01/28 | 33,890 | 35,305,767 | |
| 40,323,919 | |||||
| Total Corporate Bonds (cost $16,643,352,679) | 16,121,160,754 | ||||
| Floating Rate and Other Loans 1.2% | |||||
| Auto Parts & Equipment 0.1% | |||||
| Tenneco, Inc., | |||||
| Term A Loan, 3 Month SOFR + 4.850% | 8.739(c) | 11/17/28 | 33,469 | 33,024,786 | |
| Term B Loan, 3 Month SOFR + 5.100% | 8.880(c) | 11/17/28 | 31,705 | 31,351,489 | |
| 64,376,275 | |||||
| Commercial Services 0.1% | |||||
| OCS Group Investments Ltd. (United Kingdom), Facility B1 Loan, SONIA + 5.750% | 9.597(c) | 11/27/31 | GBP | 17,275 | 23,620,518 |
| Education 0.1% | |||||
| Dukes Education Group Ltd. (United Kingdom), | |||||
| Accordion Facility, SONIA + 5.500%^ | 9.397(c) | 11/27/28 | GBP | 2,500 | 3,420,563 |
| Acquisition/Capex Facility 1, SONIA + 5.500%^ | 9.420(c) | 11/27/28 | GBP | 2,254 | 3,083,985 |
| Acquisition/Capex Facility 4, 6 Month EURIBOR + 5.500%^ | 7.620(c) | 11/27/28 | EUR | 1,274 | 1,509,866 |
| Acquisition/Capex Facility 5, 6 Month EURIBOR + 5.500%^ | 7.599(c) | 11/27/28 | EUR | 5,657 | 6,705,037 |
| Acquisition/Capex Facility 5, 6 Month EURIBOR + 5.500%^ | 9.367(c) | 11/27/28 | EUR | 274 | 374,717 |
| Acquisition/Capex Facility 6^ | 1.000(c) | 11/27/28 | GBP | 1,676 | 2,293,207 |
| Facility B, SONIA + 5.500%^ | 9.347(c) | 11/27/28 | GBP | 932 | 1,274,713 |
| International Schools Partnership (United Kingdom), Term Loan, 3 Month SOFR + 4.500%^ | 8.171(c) | 07/06/31 | 48,043 | 47,803,236 | |
| 66,465,324 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Floating Rate and Other Loans (Continued) | |||||
| Holding Companies-Diversified 0.1% | |||||
| Clue OpCo LLC, Term B Loan, 3 Month SOFR + 4.500% | 8.167 %(c) | 12/19/30 | 25,481 | $25,370,685 | |
| Cuppa Bidco BV (Netherlands), Facility B1 EUR, 6 Month EURIBOR + 4.750% | 6.874(c) | 06/29/29 | EUR | 325 | 281,117 |
| 25,651,802 | |||||
| Insurance 0.0% | |||||
| Asurion LLC, | |||||
| New B-11 Term Loan, 1 Month SOFR + 4.350% | 8.022(c) | 08/21/28 | 3,334 | 3,337,563 | |
| New B-12 Term Loan, 1 Month SOFR + 4.250% | 7.922(c) | 09/19/30 | 5,047 | 5,052,544 | |
| 8,390,107 | |||||
| Internet 0.0% | |||||
| Diamond Sports Net LLC, First Lien Exit Term Loan(c) | 15.000 | 01/02/28 | 5,876 | 1,582,233 | |
| Investment Companies 0.1% | |||||
| Hurricane CleanCo Ltd. (United Kingdom), Facility A^ | 12.500 | 10/31/29 | GBP | 38,022 | 54,680,910 |
| Leisure Time 0.1% | |||||
| ClubCorp Holdings, Inc., Term Loan, 3 Month SOFR + 5.000%^ | 8.672(c) | 07/10/32 | 16,017 | 15,817,134 | |
| International Park Holdings BV (Netherlands), 2025 Facility B, 6 Month EURIBOR + 5.250%^ | 7.374(c) | 01/30/32 | EUR | 45,000 | 52,807,343 |
| 68,624,477 | |||||
| Media 0.1% | |||||
| Radiate Holdco LLC, First Out Term Loan, 1 Month SOFR + 3.500% | 8.786(c) | 09/25/29 | 40,569 | 34,787,728 | |
| Metal Fabricate/Hardware 0.2% | |||||
| Doncasters US Finance LLC (United Kingdom), | |||||
| 2025 Term Loan, 3 Month SOFR + 6.500%^ | 10.172(c) | 04/23/30 | 7,007 | 7,059,603 | |
| Initial Term Loan, 3 Month SOFR + 6.500%^ | 10.172(c) | 04/23/30 | 81,110 | 81,718,614 | |
| 88,778,217 | |||||
| Retail 0.3% | |||||
| CDR Firefly Bidco PLC (United Kingdom), Facility B10, SONIA + 4.750% | 8.477(c) | 04/29/29 | GBP | 35,950 | 49,294,994 |
| EG America LLC (United Kingdom), New facility B3 (EUR), 6 Month EURIBOR + 3.875% | 5.937(c) | 02/07/28 | EUR | 51,570 | 61,103,011 |
| The Boots Group (United Kingdom), Closing Date Sterling Term Loan, SONIA + 4.750% | 8.476(c) | 08/31/32 | GBP | 21,650 | 29,777,049 |
| WSH Services Holding Ltd. (United Kingdom), Facility B5, SONIA + 4.533% | 8.260(c) | 05/16/31 | GBP | 8,208 | 11,268,016 |
| 151,443,070 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Floating Rate and Other Loans (Continued) | |||||
| Telecommunications 0.0% | |||||
| Lumen Technologies, Inc., Term B-1 Loan, 1 Month SOFR + 2.464% | 6.136 %(c) | 04/16/29 | 1,992 | $1,985,352 | |
| Zegona Holdco Ltd., Additional Facility B2 (EUR) Loan, 3 Month EURIBOR + 2.750% | 4.891(c) | 07/17/29 | EUR | 15,992 | 18,966,270 |
| 20,951,622 | |||||
| Total Floating Rate and Other Loans (cost $583,654,256) | 609,352,283 | ||||
| Municipal Bonds 0.4% | |||||
| California 0.1% | |||||
| Bay Area Toll Authority, | |||||
| Revenue Bonds, BABs, Series F2 | 6.263 | 04/01/49 | 12,630 | 13,394,486 | |
| Taxable, Revenue Bonds, BABs, Series S3 | 6.907 | 10/01/50 | 525 | 598,873 | |
| City of Los Angeles Department of Airports, Taxable, Revenue Bonds, BABs | 6.582 | 05/15/39 | 4,175 | 4,485,744 | |
| Los Angeles County Public Works Financing Authority, Revenue Bonds, BABs, Series Z | 7.618 | 08/01/40 | 4,300 | 5,087,344 | |
| State of California, | |||||
| General Obligation Unlimited, BABs | 7.300 | 10/01/39 | 835 | 967,906 | |
| General Obligation Unlimited, Taxable, BABs | 7.625 | 03/01/40 | 275 | 331,838 | |
| General Obligation Unlimited, Taxable, BABs | 7.550 | 04/01/39 | 1,600 | 1,922,298 | |
| University of California, | |||||
| Taxable, Revenue Bonds, Series AP | 3.931 | 05/15/45 | 2,050 | 1,879,732 | |
| Taxable, Revenue Bonds, Series AQ | 4.767 | 05/15/2115 | 4,900 | 3,970,240 | |
| Taxable, Revenue Bonds, Series J | 4.131 | 05/15/45 | 2,250 | 2,045,129 | |
| 34,683,590 | |||||
| Colorado 0.0% | |||||
| Regional Transportation District Sales Tax Revenue, Revenue Bonds, BABs, Series B | 5.844 | 11/01/50 | 3,320 | 3,392,207 | |
| District of Columbia 0.0% | |||||
| District of Columbia Water & Sewer Authority, Taxable, Revenue Bonds, Series A | 4.814 | 10/01/2114 | 15,765 | 13,378,021 | |
| Illinois 0.1% | |||||
| Illinois State Toll Highway Authority, Taxable, Revenue Bonds, BABs, Series A | 6.184 | 01/01/34 | 5,000 | 5,282,025 | |
| State of Illinois, General Obligation Unlimited, Taxable | 5.100 | 06/01/33 | 16,618 | 16,988,389 | |
| 22,270,414 | |||||
| Michigan 0.0% | |||||
| Michigan Finance Authority, | |||||
| Revenue Bonds, Series G | 3.084 | 12/01/34 | 10,720 | 9,790,208 | |
| Taxable, Revenue Bonds | 3.384 | 12/01/40 | 13,895 | 11,746,330 | |
| 21,536,538 | |||||
| New Jersey 0.1% | |||||
| New Jersey Turnpike Authority, | |||||
| Taxable, Revenue Bonds, BABs, Series A | 7.102 | 01/01/41 | 15,953 | 18,471,082 | |
| Taxable, Revenue Bonds, BABs, Series F | 7.414 | 01/01/40 | 12,865 | 15,283,321 | |
| Rutgers The State University of New Jersey, Taxable, Revenue Bonds, BABs, Series H | 5.665 | 05/01/40 | 1,350 | 1,391,301 | |
| 35,145,704 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Municipal Bonds (Continued) | |||||
| New York 0.1% | |||||
| Empire State Development Corp., Taxable, Revenue Bonds, BABs | 5.770 % | 03/15/39 | 14,730 | $15,290,291 | |
| Metropolitan Transportation Authority, Taxable, Revenue Bonds, BABs | 6.687 | 11/15/40 | 700 | 757,256 | |
| New York City Municipal Water Finance Authority, Taxable, Revenue Bonds, BABs | 5.882 | 06/15/44 | 920 | 924,211 | |
| Port Authority of New York & New Jersey, | |||||
| Consolidated, Taxable, Revenue Bonds, Series 174 | 4.458 | 10/01/62 | 2,600 | 2,185,586 | |
| Consolidated, Taxable, Revenue Bonds, Series 192 | 4.810 | 10/15/65 | 8,650 | 7,703,587 | |
| Consolidated, Taxable, Revenue Bonds, Series 210 | 4.031 | 09/01/48 | 4,000 | 3,329,869 | |
| 30,190,800 | |||||
| Ohio 0.0% | |||||
| Ohio State University (The), | |||||
| Taxable, Revenue Bonds, Series A | 4.800 | 06/01/2111 | 7,815 | 6,490,352 | |
| Taxable, Revenue Bonds, BABs, Series C | 4.910 | 06/01/40 | 295 | 295,034 | |
| 6,785,386 | |||||
| Pennsylvania 0.0% | |||||
| Pennsylvania Turnpike Commission, | |||||
| Revenue Bonds, BABs | 6.105 | 12/01/39 | 400 | 430,571 | |
| Revenue Bonds, BABs, Series B | 5.511 | 12/01/45 | 5,370 | 5,328,230 | |
| University of Pittsburgh-of the Commonwealth System of Higher Education, Taxable, Revenue Bonds | 3.555 | 09/15/2119 | 20,900 | 12,971,330 | |
| 18,730,131 | |||||
| Texas 0.0% | |||||
| City of San Antonio Electric & Gas Systems Revenue, Taxable, Revenue Bonds | 4.427 | 02/01/42 | 6,480 | 6,083,534 | |
| Dallas Fort Worth International Airport, Taxable, Revenue Bonds, Series C | 2.919 | 11/01/50 | 2,035 | 1,438,672 | |
| Texas Private Activity Bond Surface Transportation Corp., Taxable, Revenue Bonds, Series B | 3.922 | 12/31/49 | 16,510 | 13,182,165 | |
| 20,704,371 | |||||
| Virginia 0.0% | |||||
| University of Virginia, Taxable, Revenue Bonds, Series C | 4.179 | 09/01/2117 | 8,135 | 5,960,739 | |
| Total Municipal Bonds (cost $258,320,099) | 212,777,901 | ||||
| Residential Mortgage-Backed Securities 4.5% | |||||
| Angel Oak Mortgage Trust, | |||||
| Series 2025-09, Class A1, 144A | 5.141(cc) | 08/25/70 | 33,661 | 33,849,772 | |
| Series 2025-10, Class A1, 144A | 4.960(cc) | 09/25/70 | 18,097 | 18,158,834 | |
| Aran Funding DAC (Ireland), Series 2025-01A, Class A, 144A, 1 Month EURIBOR + 1.100% (Cap N/A, Floor 0.000%) | 3.067(c) | 12/24/65 | EUR | 10,682 | 12,693,325 |
| Archwest Mortgage Trust, Series 2025-RTL01, Class A1, 144A | 5.196(cc) | 10/25/40 | 14,000 | 14,056,325 | |
| Banc of America Funding Trust, | |||||
| Series 2005-D, Class A1 | 5.289(cc) | 05/25/35 | 12 | 11,705 | |
| Series 2006-I, Class 4A1 | 8.411(cc) | 10/20/46 | 16 | 13,107 | |
| Banc of America Mortgage Trust, Series 2004-E, Class 2A6 | 5.596(cc) | 06/25/34 | 77 | 73,890 | |
| Bayview Financing Trust, Series 2023-01F, Class A, 144A, 30 Day Average SOFR + 5.000% (Cap N/A, Floor 4.000%) | 8.686(c) | 07/01/26 | 24,961 | 25,078,412 | |
| Bear Stearns Adjustable Rate Mortgage Trust, | |||||
| Series 2002-11, Class 1A1 | 6.125(cc) | 02/25/33 | —(r) | 126 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Bear Stearns Adjustable Rate Mortgage Trust, (cont’d.) | |||||
| Series 2005-04, Class 3A1 | 4.895 %(cc) | 08/25/35 | 46 | $42,825 | |
| Series 2007-03, Class 1A1 | 4.199(cc) | 05/25/47 | 93 | 83,810 | |
| Bear Stearns ALT-A Trust, | |||||
| Series 2005-04, Class 23A1 | 5.400(cc) | 05/25/35 | 30 | 29,058 | |
| Series 2005-04, Class 23A2 | 5.400(cc) | 05/25/35 | 10 | 9,708 | |
| BRAVO Residential Funding Trust, | |||||
| Series 2025-NQM07, Class A1, 144A | 5.459(cc) | 07/25/65 | 52,966 | 53,497,674 | |
| Series 2025-NQM08, Class A1, 144A | 5.082(cc) | 06/25/65 | 39,708 | 39,993,832 | |
| Series 2025-NQM09, Class A1, 144A | 5.043(cc) | 09/25/65 | 34,346 | 34,507,023 | |
| Chase Home Lending Mortgage Trust, | |||||
| Series 2024-RPL02, Class A1A, 144A | 3.250(cc) | 08/25/64 | 14,244 | 12,706,498 | |
| Series 2025-RPL01, Class A1A, 144A | 3.375(cc) | 04/25/65 | 32,232 | 29,052,431 | |
| CHL Mortgage Pass-Through Trust, | |||||
| Series 2003-53, Class A1 | 6.181(cc) | 02/19/34 | 2,735 | 2,744,377 | |
| Series 2005-29, Class A1 | 5.750 | 12/25/35 | 332 | 152,599 | |
| Series 2005-HYB09, Class 3A2A, 12 Month SOFR + 2.465% (Cap 11.000%, Floor 1.750%) | 6.224(c) | 02/20/36 | 4 | 3,503 | |
| CIM Trust, | |||||
| Series 2024-R01, Class A1, 144A | 4.750(cc) | 06/25/64 | 27,935 | 27,818,355 | |
| Series 2025-I01, Class A1, 144A | 5.655(cc) | 10/25/69 | 3,928 | 3,969,700 | |
| Citigroup Mortgage Loan Trust, | |||||
| Series 2011-12, Class 3A2, 144A | 4.529(cc) | 09/25/47 | 2,377 | 2,211,785 | |
| Series 2024-RP02, Class A1, 144A | 4.100(cc) | 02/25/63 | 88,527 | 84,636,936 | |
| Series 2024-RP02, Class A2, 144A | 4.232(cc) | 02/25/63 | 8,815 | 7,758,291 | |
| Series 2024-RP02, Class B1, 144A | 0.000(cc) | 02/25/63 | 2,667 | 2,145,943 | |
| Series 2024-RP02, Class B2, 144A | 0.000(cc) | 02/25/63 | 963 | 731,739 | |
| Series 2024-RP02, Class B3, PO, 144A | 11.130(s) | 02/25/63 | 2,444 | 323,856 | |
| Series 2024-RP02, Class B4, PO, 144A | 14.327(s) | 02/25/63 | 4,427 | 389,871 | |
| Series 2024-RP02, Class M1, 144A | 4.232(cc) | 02/25/63 | 5,926 | 5,030,417 | |
| Series 2024-RP02, Class M2, 144A | 3.742(cc) | 02/25/63 | 4,518 | 3,725,643 | |
| Series 2024-RP02, Class SA, 144A | 0.000(cc) | 02/25/63 | 124 | 112,594 | |
| Series 2024-RP02, Class X, IO, 144A | 0.000(cc) | 02/25/63 | 129,004 | 12,900 | |
| Series 2025-RP01, Class A1, 144A | 4.017(cc) | 01/25/64 | 141,260 | 132,991,028 | |
| Series 2025-RP01, Class A2, 144A | 4.017(cc) | 01/25/64 | 6,684 | 5,067,085 | |
| Series 2025-RP01, Class B1, 144A | 4.017(cc) | 01/25/64 | 2,674 | 1,692,442 | |
| Series 2025-RP01, Class B2, 144A | 4.017(cc) | 01/25/64 | 1,693 | 979,053 | |
| Series 2025-RP01, Class B3, 144A | 3.052(cc) | 01/25/64 | 2,139 | 1,055,340 | |
| Series 2025-RP01, Class B4, 144A | 0.000(cc) | 01/25/64 | 2,033 | 825,759 | |
| Series 2025-RP01, Class M1, 144A | 4.017(cc) | 01/25/64 | 5,704 | 4,031,937 | |
| Series 2025-RP01, Class M2, 144A | 4.017(cc) | 01/25/64 | 3,564 | 2,387,293 | |
| Series 2025-RP01, Class SA, 144A | 0.000(cc) | 01/25/64 | 312 | 275,822 | |
| Series 2025-RP01, Class X, IO, 144A | 0.000(cc) | 01/25/64 | 165,758 | 16,576 | |
| COLT Mortgage Loan Trust, | |||||
| Series 2025-08, Class A1, 144A | 5.480(cc) | 08/25/70 | 21,942 | 22,198,405 | |
| Series 2025-09, Class A1, 144A | 5.194(cc) | 09/25/70 | 38,440 | 38,712,463 | |
| Connecticut Avenue Securities Trust, | |||||
| Series 2021-R01, Class 1B1, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 6.797(c) | 10/25/41 | 3,600 | 3,654,000 | |
| Series 2021-R01, Class 1M2, 144A, 30 Day Average SOFR + 1.550% (Cap N/A, Floor 0.000%) | 5.247(c) | 10/25/41 | 3,668 | 3,683,543 | |
| Series 2022-R01, Class 1B1, 144A, 30 Day Average SOFR + 3.150% (Cap N/A, Floor 0.000%) | 6.847(c) | 12/25/41 | 2,652 | 2,701,855 | |
| Series 2022-R03, Class 1B1, 144A, 30 Day Average SOFR + 6.250% (Cap N/A, Floor 0.000%) | 9.947(c) | 03/25/42 | 14,390 | 15,228,845 | |
| Series 2022-R04, Class 1M2, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 6.797(c) | 03/25/42 | 6,300 | 6,445,215 | |
| Series 2023-R05, Class 1M2, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 6.797(c) | 06/25/43 | 20,500 | 21,306,230 | |
| Series 2024-R05, Class 2M2, 144A, 30 Day Average SOFR + 1.700% (Cap N/A, Floor 0.000%) | 5.397(c) | 07/25/44 | 6,500 | 6,524,895 | |
| Credit Suisse Mortgage Trust, | |||||
| Series 2018-RPL04, Class PT, 144A | 4.714(cc) | 04/25/58 | 13,055 | 12,330,406 | |
| Series 2018-RPL09, Class PT, 144A | 3.919(cc) | 09/25/57 | 15,199 | 12,989,731 | |
| Cross Mortgage Trust, | |||||
| Series 2025-H01, Class A1, 144A | 5.735(cc) | 02/25/70 | 3,734 | 3,781,945 | |
| Series 2025-H06, Class A1, 144A | 5.181(cc) | 07/25/70 | 47,299 | 47,617,273 | |
| Series 2025-H07, Class A1, 144A | 4.934(cc) | 09/25/70 | 41,666 | 41,764,709 | |
| Eagle Re Ltd., | |||||
| Series 2021-02, Class M1C, 144A, 30 Day Average SOFR + 3.450% (Cap N/A, Floor 3.450%) | 7.147(c) | 04/25/34 | 10,839 | 10,862,495 | |
| Series 2023-01, Class M1A, 144A, 30 Day Average SOFR + 2.000% (Cap N/A, Floor 2.000%) | 5.697(c) | 09/26/33 | 2,493 | 2,496,002 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Fannie Mae REMIC, | |||||
| Series 2000-32, Class FM, 30 Day Average SOFR + 0.564% (Cap 9.000%, Floor 0.450%) | 4.267 %(c) | 10/18/30 | —(r) | $216 | |
| Series 2001-29, Class Z | 6.500 | 07/25/31 | 6 | 5,877 | |
| Series 2012-132, Class KI, IO | 3.000 | 12/25/32 | 2,923 | 200,679 | |
| Series 2013-57, Class MI, IO | 3.000 | 06/25/28 | 301 | 5,467 | |
| Series 2014-05, Class AI, IO | 4.500 | 04/25/43 | 1,344 | 190,751 | |
| Series 2015-51, Class CI, IO | 4.000 | 07/25/45 | 2,409 | 382,382 | |
| Series 2016-30, Class CI, IO | 3.000 | 05/25/36 | 1,457 | 101,334 | |
| Series 2016-74, Class GM | 2.500 | 09/25/43 | 5,188 | 5,079,376 | |
| Series 2017-83, Class IO, IO | 4.000 | 10/25/47 | 1,921 | 337,379 | |
| Series 2018-16, Class MB | 3.500 | 07/25/46 | 1,366 | 1,363,223 | |
| Series 2018-24, Class BH | 3.500 | 04/25/48 | 3,314 | 3,114,277 | |
| Series 2018-58, Class BI, IO | 4.000 | 08/25/48 | 1,351 | 248,664 | |
| Series 2019-08, Class Z | 3.500 | 03/25/49 | 2,903 | 2,542,614 | |
| Series 2019-13, Class LZ | 4.000 | 04/25/49 | 9,815 | 9,395,473 | |
| FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
| Series 2020-DNA06, Class B1, 144A, 30 Day Average SOFR + 3.000% (Cap N/A, Floor 0.000%) | 6.697(c) | 12/25/50 | 400 | 426,674 | |
| Series 2021-DNA05, Class M2, 144A, 30 Day Average SOFR + 1.650% (Cap N/A, Floor 0.000%) | 5.347(c) | 01/25/34 | 3,946 | 3,960,795 | |
| Series 2021-DNA06, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 7.097(c) | 10/25/41 | 20,695 | 21,057,162 | |
| Series 2021-DNA06, Class M2, 144A, 30 Day Average SOFR + 1.500% (Cap N/A, Floor 0.000%) | 5.197(c) | 10/25/41 | 2,422 | 2,430,042 | |
| Series 2021-DNA07, Class M2, 144A, 30 Day Average SOFR + 1.800% (Cap N/A, Floor 0.000%) | 5.497(c) | 11/25/41 | 6,495 | 6,545,172 | |
| Series 2021-HQA03, Class B1, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 7.047(c) | 09/25/41 | 1,793 | 1,817,880 | |
| Series 2021-HQA03, Class M2, 144A, 30 Day Average SOFR + 2.100% (Cap N/A, Floor 0.000%) | 5.797(c) | 09/25/41 | 51,600 | 51,952,056 | |
| Series 2021-HQA04, Class B1, 144A, 30 Day Average SOFR + 3.750% (Cap N/A, Floor 0.000%) | 7.447(c) | 12/25/41 | 572 | 584,320 | |
| Series 2021-HQA04, Class M2, 144A, 30 Day Average SOFR + 2.350% (Cap N/A, Floor 0.000%) | 6.047(c) | 12/25/41 | 37,280 | 37,757,557 | |
| Series 2022-DNA01, Class M2, 144A, 30 Day Average SOFR + 2.500% (Cap N/A, Floor 0.000%) | 6.197(c) | 01/25/42 | 1,770 | 1,791,028 | |
| Series 2022-DNA03, Class M1B, 144A, 30 Day Average SOFR + 2.900% (Cap N/A, Floor 0.000%) | 6.597(c) | 04/25/42 | 7,600 | 7,773,356 | |
| Series 2022-DNA04, Class M1B, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 7.047(c) | 05/25/42 | 800 | 823,752 | |
| FHLMC Structured Pass-Through Certificates, | |||||
| Series T-61, Class 1A1, Federal Reserve US 12 Month Cumulative Avg 1 Year CMT + 1.400% (Cap N/A, Floor 1.400%) | 5.068(c) | 07/25/44 | 40 | 39,068 | |
| Series T-63, Class 1A1, Federal Reserve US 12 Month Cumulative Avg 1 Year CMT + 1.200% (Cap N/A, Floor 1.200%) | 4.868(c) | 02/25/45 | 4 | 4,327 | |
| Freddie Mac REMIC, | |||||
| Series 1935, Class JZ | 7.000 | 02/15/27 | 2 | 1,586 | |
| Series 2241, Class PH | 7.500 | 07/15/30 | 6 | 6,057 | |
| Series 3795, Class VZ | 4.000 | 01/15/41 | 1,639 | 1,599,809 | |
| Series 3889, Class DZ | 4.000 | 01/15/41 | 1,723 | 1,692,780 | |
| Series 4135, Class AI, IO | 3.500 | 11/15/42 | 5,288 | 650,027 | |
| Series 4372, Class GI, IO | 4.500 | 08/15/44 | 2,841 | 416,589 | |
| Series 4468, Class IO, IO | 4.500 | 05/15/45 | 3,414 | 461,360 | |
| Series 4500, Class ZX | 4.000 | 07/15/45 | 1,713 | 1,672,298 | |
| Series 4735, Class IM, IO | 4.000 | 12/15/47 | 5,069 | 911,760 | |
| Series 4736, Class IP, IO | 4.000 | 08/15/47 | 1,353 | 234,462 | |
| Series 4751, Class PI, IO | 4.000 | 11/15/47 | 965 | 167,454 | |
| Series 4795, Class WQ | 4.000 | 07/15/46 | 138 | 137,877 | |
| Series 4801, Class ZD | 4.000 | 06/15/48 | 5,225 | 4,995,900 | |
| Series 4802, Class EZ | 4.000 | 06/15/48 | 3,302 | 3,147,366 | |
| Series 4870, Class K | 4.000 | 04/15/49 | 13,137 | 12,513,223 | |
| Series 4903, Class ED | 2.750 | 09/15/48 | 3,126 | 2,895,200 | |
| Series 4903, Class IP, IO | 4.500 | 07/25/49 | 6,159 | 1,411,382 | |
| Series 4939, Class KT | 3.000 | 07/15/48 | 12,211 | 11,013,362 | |
| Series 4946, Class KB | 3.000 | 12/15/48 | 5,676 | 5,144,855 | |
| Freddie Mac Strips, Series 304, Class C54, IO | 4.000 | 12/15/32 | 1,117 | 96,426 | |
| GCAT Trust, Series 2025-NQM06, Class A1, 144A | 0.000(cc) | 10/25/70 | 32,577 | 32,651,442 | |
| Government National Mortgage Assoc., | |||||
| Series 2013-99, Class AX | 3.000(cc) | 07/20/43 | 924 | 856,213 | |
| Series 2015-064, Class IA, IO | 4.000 | 05/20/45 | 6,519 | 1,355,582 | |
| Series 2015-165, Class IB, IO | 3.500 | 11/20/42 | 2,206 | 195,585 | |
| Series 2016-01, Class ZP | 3.000 | 01/20/46 | 7,174 | 5,830,532 | |
| Series 2016-161, Class PI, IO | 3.500 | 06/20/46 | 13,899 | 2,138,866 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Government National Mortgage Assoc., (cont’d.) | |||||
| Series 2016-69, Class B | 3.000 % | 05/20/46 | 9,455 | $8,576,555 | |
| Series 2017-134, Class ZK | 3.000 | 08/20/47 | 6,749 | 5,397,111 | |
| Series 2018-05, Class IB, IO | 4.000 | 01/20/48 | 7,733 | 1,617,136 | |
| Series 2018-21, Class IH, IO | 4.500 | 02/20/48 | 2,587 | 624,264 | |
| Series 2018-59, Class PZ | 3.000 | 09/20/46 | 7,066 | 6,658,501 | |
| Series 2019-159, Class IJ, IO | 3.500 | 12/20/49 | 8,303 | 1,286,649 | |
| GS Mortgage-Backed Securities Trust, | |||||
| Series 2025-RPL01, Class A1, PO, 144A | 0.000 | 01/25/64 | 162 | 159,577 | |
| Series 2025-RPL01, Class A1, PO, 144A | 3.564(cc) | 01/25/64 | 156,869 | 140,855,891 | |
| HOMES Trust, Series 2025-NQM04, Class A1, 144A | 5.220(cc) | 08/25/70 | 21,596 | 21,765,474 | |
| IndyMac Adjustable Rate Mortgage Trust, Series 2001-H02, Class A1 | 5.717(cc) | 01/25/32 | 1 | 791 | |
| IndyMac INDX Mortgage Loan Trust, Series 2007-FLX04, Class 2A1, 1 Month SOFR + 0.474% (Cap N/A, Floor 0.360%) | 4.147(c) | 07/25/37 | 1,573 | 1,474,922 | |
| JPMorgan Alternative Loan Trust, Series 2006-A01, Class 4A1 | 4.392(cc) | 03/25/36 | 58 | 42,297 | |
| JPMorgan Mortgage Trust, | |||||
| Series 2025-DSC02, Class A1, 144A | 5.195(cc) | 10/25/65 | 36,909 | 37,159,298 | |
| Series 2025-NQM03, Class A1, 144A | 5.495(cc) | 11/25/65 | 33,114 | 33,483,083 | |
| Kinbane DAC (Ireland), | |||||
| Series 2024-RPL02A, Class A, 144A, 1 Month EURIBOR + 1.100% (Cap N/A, Floor 0.000%) | 3.067(c) | 01/24/63 | EUR | 32,745 | 38,902,789 |
| Series 2025-RPL2A, Class A, 144A, 1 Month EURIBOR + 1.100% (Cap N/A, Floor 0.000%) | 3.003(c) | 08/24/75 | EUR | 4,313 | 5,126,360 |
| LHOME Mortgage Trust, | |||||
| Series 2024-RTL04, Class A1, 144A | 5.921(cc) | 07/25/39 | 28,250 | 28,396,507 | |
| Series 2025-RTL03, Class A1, 144A | 5.239(cc) | 08/25/40 | 13,400 | 13,485,751 | |
| Lincoln Senior Participation Trust, Series 2024-01, Class A1X, 144A, 1 Month SOFR + 2.200%^ | 2.750(c) | 06/27/27 | 61,857 | 61,857,000 | |
| Lugo Funding DAC (Spain), Series 2024-01A, Class A, 144A, 3 Month EURIBOR + 1.000% (Cap N/A, Floor 0.000%) | 3.059(c) | 05/26/66 | EUR | 48,190 | 57,106,556 |
| MFA Trust, Series 2025-NQM02, Class A1, 144A | 5.675(cc) | 05/27/70 | 6,376 | 6,461,506 | |
| Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM08, Class A1, 144A | 4.963(cc) | 09/25/70 | 27,178 | 27,288,304 | |
| New Residential Mortgage Loan Trust, | |||||
| Series 2018-04A, Class A1S, 144A, 1 Month SOFR + 0.864% (Cap N/A, Floor 0.750%) | 4.537(c) | 01/25/48 | 6,170 | 6,082,829 | |
| Series 2025-NQM04, Class A1, 144A | 5.350(cc) | 07/25/65 | 20,416 | 20,630,673 | |
| NLT Trust, | |||||
| Series 2025-INV01, Class A1, 144A | 5.506(cc) | 02/25/70 | 98,973 | 100,121,319 | |
| Series 2025-INV01, Class A2, 144A | 5.708(cc) | 02/25/70 | 11,098 | 11,217,110 | |
| Series 2025-INV01, Class A3, 144A | 5.860(cc) | 02/25/70 | 19,044 | 19,239,062 | |
| Series 2025-INV01, Class AIOS, 144A | 0.399(cc) | 02/25/70 | 151,499 | 1,073,417 | |
| Series 2025-INV01, Class B1, 144A | 6.594(cc) | 02/25/70 | 6,037 | 6,022,721 | |
| Series 2025-INV01, Class B2, 144A | 6.594(cc) | 02/25/70 | 4,751 | 4,643,563 | |
| Series 2025-INV01, Class B3, 144A | 6.594(cc) | 02/25/70 | 2,979 | 2,748,668 | |
| Series 2025-INV01, Class M1, 144A | 6.314(cc) | 02/25/70 | 8,617 | 8,741,502 | |
| Series 2025-INV01, Class XS, 144A^ | 0.901(cc) | 02/25/70 | 151,499 | 2,499,736 | |
| Oaktown Re VII Ltd., Series 2021-02, Class M1B, 144A, 30 Day Average SOFR + 2.900% (Cap N/A, Floor 2.900%) | 6.597(c) | 04/25/34 | 19,644 | 19,804,203 | |
| OBX Trust, | |||||
| Series 2025-NQM03, Class A1, 144A | 5.648(cc) | 12/01/64 | 25,221 | 25,549,045 | |
| Series 2025-NQM11, Class A1, 144A | 5.418(cc) | 05/25/65 | 12,414 | 12,554,665 | |
| Series 2025-NQM14, Class A1, 144A | 5.162(cc) | 07/25/65 | 36,262 | 36,539,848 | |
| Series 2025-NQM15, Class A1, 144A | 5.143(cc) | 07/27/65 | 21,530 | 21,693,100 | |
| Series 2025-NQM15, Class A3, 144A | 5.599(cc) | 07/27/65 | 1,525 | 1,539,009 | |
| PMT Credit Risk Transfer Trust, | |||||
| Series 2024-01R, Class A, 144A, 30 Day Average SOFR + 3.500% (Cap N/A, Floor 0.000%) | 7.197(c) | 05/25/33 | 101,549 | 102,654,645 | |
| Series 2024-02R, Class A, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 7.042(c) | 03/29/27 | 78,978 | 79,763,789 | |
| Series 2024-03R, Class A, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 6.792(c) | 09/27/28 | 68,114 | 69,047,087 | |
| Prime Mortgage Trust, Series 2004-CL01, Class 1A2, 1 Month SOFR + 0.514% (Cap 8.000%, Floor 0.400%) | 4.187(c) | 02/25/34 | 2 | 2,043 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| PRPM Fundido DAC (Spain), Series 2025-02A, Class A, 144A, 3 Month EURIBOR + 1.000% (Cap N/A, Floor 0.000%) | 3.039 %(c) | 01/29/75 | EUR | 8,915 | $10,493,199 |
| PRPM LLC, | |||||
| Series 2024-RPL02, Class A1, 144A | 3.500(cc) | 05/25/54 | 15,239 | 14,915,664 | |
| Series 2025-RPL01, Class A1, 144A | 4.000(cc) | 03/25/55 | 50,649 | 49,870,920 | |
| Series 2025-RPL01, Class A2, 144A | 4.000(cc) | 03/25/55 | 10,215 | 9,837,299 | |
| Series 2025-RPL01, Class A3, 144A | 4.000(cc) | 03/25/55 | 6,023 | 5,733,810 | |
| Series 2025-RPL01, Class M1A, 144A | 4.000(cc) | 03/25/55 | 5,879 | 5,574,222 | |
| Series 2025-RPL01, Class M1B, 144A | 4.000(cc) | 03/25/55 | 2,072 | 1,939,353 | |
| Radnor Re Ltd., | |||||
| Series 2021-02, Class M1B, 144A, 30 Day Average SOFR + 3.700% (Cap N/A, Floor 3.700%) | 7.397(c) | 11/25/31 | 10,274 | 10,371,226 | |
| Series 2023-01, Class M1A, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 2.700%) | 6.397(c) | 07/25/33 | 1,820 | 1,826,888 | |
| Regal Trust IV, Series 1999-01, Class A, 144A, Cost of Funds for the 11th District of San Francisco + 1.500% (Cap N/A, Floor 1.500%) | 4.421(c) | 09/29/31 | 3 | 2,588 | |
| RFMSI Trust, Series 2003-S09, Class A1 | 6.500 | 03/25/32 | 2 | 2,469 | |
| Santander Mortgage Asset Receivable Trust, Series 2025-NQM04, Class A1, 144A | 5.303(cc) | 07/25/65 | 30,617 | 30,860,419 | |
| Structured Adjustable Rate Mortgage Loan Trust, | |||||
| Series 2004-01, Class 4A3 | 6.140(cc) | 02/25/34 | 24 | 23,538 | |
| Series 2004-18, Class 3A1 | 4.755(cc) | 12/25/34 | 2,610 | 2,438,825 | |
| Structured Asset Mortgage Investments Trust, Series 2002-AR03, Class A1, 1 Month SOFR + 0.774% (Cap 11.000%, Floor 0.660%) | 4.450(c) | 09/19/32 | 1 | 1,211 | |
| Vendee Mortgage Trust, Series 2011-02, Class DZ | 3.750 | 10/15/41 | 1,835 | 1,726,537 | |
| Verus Securitization Trust, | |||||
| Series 2024-02, Class A1, 144A | 6.095(cc) | 02/25/69 | 4,915 | 4,964,452 | |
| Series 2025-07, Class A1, 144A | 5.129(cc) | 08/25/70 | 42,813 | 43,102,979 | |
| Series 2025-09, Class A1, 144A | 4.935(cc) | 10/27/70 | 24,203 | 24,327,632 | |
| Series 2025-INV01, Class A1, 144A | 5.548(cc) | 02/25/70 | 28,643 | 28,995,052 | |
| Washington Mutual Mortgage Pass-Through Certificates Trust, | |||||
| Series 2004-AR08, Class A1, 1 Month SOFR + 0.954% (Cap 10.500%, Floor 0.840%) | 4.627(c) | 06/25/44 | 452 | 456,969 | |
| Series 2004-AR10, Class A3, 1 Month SOFR + 1.214% (Cap 10.500%, Floor 1.100%) | 4.887(c) | 07/25/44 | 643 | 624,792 | |
| Series 2005-AR05, Class A6 | 5.355(cc) | 05/25/35 | 254 | 252,362 | |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-AR01, Class 2A | 4.605(cc) | 02/25/33 | —(r) | 117 | |
| Total Residential Mortgage-Backed Securities (cost $2,349,708,764) | 2,367,612,984 | ||||
| Sovereign Bonds 2.6% | |||||
| Amazon Conservation DAC (Ecuador), Sr. Sec’d. Notes, 144A | 6.034 | 01/16/42 | 112,000 | 115,164,022 | |
| Argentine Republic Government International Bond (Argentina), | |||||
| Sr. Unsec’d. Notes | 0.125 | 07/09/30 | EUR | 18,471 | 18,425,261 |
| Sr. Unsec’d. Notes | 0.670 | 12/31/38(d) | JPY | 402,629 | 416,262 |
| Sr. Unsec’d. Notes | 0.750(cc) | 07/09/30 | 40,363 | 34,227,810 | |
| Sr. Unsec’d. Notes | 1.000 | 07/09/29 | 81,345 | 71,787,060 | |
| Bahrain Government International Bond (Bahrain), Sr. Unsec’d. Notes | 7.000 | 10/12/28 | 10,000 | 10,327,500 | |
| Brazil Minas SPE via State of Minas Gerais (Brazil), Gov’t. Gtd. Notes(a) | 5.333 | 02/15/28 | 50,367 | 50,481,333 | |
| Colombia Government International Bond (Colombia), | |||||
| Sr. Unsec’d. Notes | 3.750 | 09/19/28 | EUR | 80,570 | 94,717,779 |
| Sr. Unsec’d. Notes | 5.375 | 01/21/29 | 27,270 | 27,147,285 | |
| Sr. Unsec’d. Notes | 8.375 | 02/15/27 | 900 | 917,136 | |
| Dominican Republic International Bond (Dominican Republic), | |||||
| Sr. Unsec’d. Notes | 5.500 | 02/22/29 | 10,291 | 10,445,365 | |
| Sr. Unsec’d. Notes, 144A | 5.500 | 02/22/29 | 51,930 | 52,708,950 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 07/19/28 | 10,493 | 10,758,578 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Sovereign Bonds (Continued) | |||||
| Ecuador Government International Bond (Ecuador), | |||||
| Sr. Unsec’d. Notes, 144A | 8.750 % | 01/29/34 | 84,690 | $85,577,551 | |
| Sr. Unsec’d. Notes, Series S26 | 5.000 | 07/31/40 | 911 | 671,653 | |
| Sr. Unsec’d. Notes, Series S27J | 5.000 | 07/31/40 | 766 | 567,879 | |
| Sr. Unsec’d. Notes, Series S28 | 5.000 | 07/31/40 | 2,429 | 1,792,263 | |
| Sr. Unsec’d. Notes, Series S29 | 5.000 | 07/31/40 | 1,186 | 874,994 | |
| Ecuador Social Bond Sarl (Ecuador), Gov’t. Gtd. Notes^ | 0.350 | 01/30/35 | 145,440 | 2,530,656 | |
| Egypt Government International Bond (Egypt), Sr. Unsec’d. Notes, EMTN | 4.750 | 04/16/26 | EUR | 15,424 | 18,282,838 |
| Export-Import Bank of India (India), | |||||
| Sr. Unsec’d. Notes, 144A | 3.375 | 08/05/26 | 8,420 | 8,382,278 | |
| Sr. Unsec’d. Notes, 144A | 3.875 | 02/01/28 | 11,845 | 11,762,085 | |
| Gabon Blue Bond Master Trust 2 (Gabon), Insured Notes | 6.097 | 08/01/38 | 28,006 | 28,281,579 | |
| Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes | 5.200 | 07/17/34 | EUR | 191,900 | 248,585,355 |
| Indonesia Government AID Bond (Indonesia), Gov’t. Gtd. Notes | 6.650 | 07/15/29 | 7,011 | 7,404,278 | |
| Ivory Coast Government International Bond (Ivory Coast), | |||||
| Sr. Unsec’d. Notes | 4.875 | 01/30/32 | EUR | 34,367 | 40,049,691 |
| Sr. Unsec’d. Notes | 5.250 | 03/22/30 | EUR | 49,957 | 60,086,273 |
| Sr. Unsec’d. Notes | 5.875 | 10/17/31 | EUR | 72,132 | 87,585,769 |
| Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes | 9.500 | 02/02/30 | 3,500 | 4,179,000 | |
| Platinum for Belize Blue Investment Co. LLC (Belize), Sec’d. Notes | 4.470(cc) | 10/20/40 | 2,000 | 1,780,980 | |
| Province of Alberta (Canada), Sr. Unsec’d. Notes | 1.300 | 07/22/30 | 21,446 | 19,044,067 | |
| Province of British Columbia (Canada), Bonds | 7.250 | 09/01/36 | 17,530 | 20,922,814 | |
| Province of Quebec (Canada), | |||||
| Unsec’d. Notes, MTN | 7.295 | 07/22/26 | 474 | 480,706 | |
| Unsec’d. Notes, Series A, MTN | 7.365 | 03/06/26 | 91 | 91,250 | |
| Unsec’d. Notes, Series A, MTN | 7.380 | 04/09/26 | 100 | 100,658 | |
| Repubic of Italy Government International Bond Coupon Strips (Italy), Sr. Unsec’d. Notes | 2.758(s) | 02/20/31 | EUR | 43,130 | 43,436,396 |
| Republic of Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Series 30Y | 3.875 | 05/06/51 | 25,900 | 18,995,296 | |
| Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 5.750 | 09/16/30 | 53,010 | 54,628,925 | |
| Serbia International Bond (Serbia), | |||||
| Sr. Unsec’d. Notes | 1.500 | 06/26/29 | EUR | 37,883 | 41,831,791 |
| Sr. Unsec’d. Notes | 1.650 | 03/03/33 | EUR | 3,888 | 3,913,013 |
| Sr. Unsec’d. Notes | 2.125 | 12/01/30 | 12,350 | 10,857,008 | |
| Sr. Unsec’d. Notes | 6.250 | 05/26/28 | 23,345 | 24,169,973 | |
| Sr. Unsec’d. Notes, 144A | 1.500 | 06/26/29 | EUR | 9,990 | 11,031,323 |
| Sr. Unsec’d. Notes, 144A | 1.650 | 03/03/33 | EUR | 6,252 | 6,292,221 |
| Sr. Unsec’d. Notes, 144A(a) | 6.250 | 05/26/28 | 875 | 905,921 | |
| Total Sovereign Bonds (cost $1,289,157,497) | 1,362,620,825 | ||||
| U.S. Government Agency Obligations 17.3% | |||||
| Fannie Mae Interest Strips | 1.758(s) | 08/06/38 | 386 | 205,263 | |
| Fannie Mae Principal Strips | 3.528(s) | 07/15/37 | 5,105 | 2,955,061 | |
| Federal Home Loan Bank | 3.200 | 11/29/32 | 22,500 | 20,967,128 | |
| Federal Home Loan Bank | 4.250 | 11/02/38 | 4,340 | 4,012,653 | |
| Federal Home Loan Mortgage Corp. | 1.500 | 12/01/50 | 3,244 | 2,513,558 | |
| Federal Home Loan Mortgage Corp. | 1.500 | 02/01/51 | 6,896 | 5,351,159 | |
| Federal Home Loan Mortgage Corp. | 1.500 | 04/01/51 | 16,569 | 12,844,515 | |
| Federal Home Loan Mortgage Corp. | 1.500 | 05/01/51 | 44,004 | 34,099,807 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 1.500 % | 06/01/51 | 7,251 | $5,619,308 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 10/01/50 | 29,115 | 23,855,332 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 11/01/50 | 9,931 | 8,134,802 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 12/01/50 | 36,254 | 29,682,078 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 01/01/51 | 19,290 | 15,801,585 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 02/01/51 | 3,389 | 2,774,088 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 02/01/51 | 19,404 | 15,879,630 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 03/01/51 | 28,877 | 23,618,792 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 03/01/51 | 35,146 | 28,819,353 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 04/01/51 | 51,572 | 42,164,539 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 05/01/51 | 333,608 | 273,012,431 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 08/01/51 | 18,288 | 14,923,090 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 09/01/51 | 4,979 | 4,059,823 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 11/01/51 | 5,650 | 4,603,422 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 11/01/49 | 4,594 | 3,977,075 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/50 | 2,045 | 1,755,129 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 08/01/50 | 10,949 | 9,390,732 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/50 | 5,600 | 4,805,906 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/50 | 5,952 | 5,071,576 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/50 | 11,125 | 9,545,011 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/50 | 21,155 | 18,125,096 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/50 | 50,946 | 43,704,034 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/51 | 40,188 | 34,419,288 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 02/01/51 | 2,036 | 1,746,967 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 02/01/51 | 38,840 | 33,299,025 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 03/01/51 | 120,804 | 103,631,813 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 04/01/51 | 7,397 | 6,339,857 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/51 | 5,407 | 4,654,513 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/51 | 33,261 | 28,490,100 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/51 | 103,349 | 88,043,773 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/51 | 1,012 | 868,572 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/51 | 38,044 | 32,568,379 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/51 | 96,222 | 82,388,570 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 07/01/51 | 100,568 | 85,948,900 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 08/01/51 | 59,750 | 51,122,625 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 08/01/51 | 69,965 | 60,655,003 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/51 | 39,069 | 33,421,932 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/51 | 3,370 | 2,901,090 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 11/01/51 | 13,768 | 11,777,946 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/51 | 25,531 | 21,832,661 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/52 | 8,058 | 6,888,054 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/52 | 40,959 | 35,394,369 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 02/01/52 | 422 | 365,524 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 02/01/52 | 14,698 | 12,690,694 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 04/01/52 | 2,472 | 2,107,049 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 04/01/52 | 46,385 | 40,234,249 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 09/01/43 | 1,026 | 949,875 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 04/01/51 | 15,037 | 13,453,924 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 05/01/51 | 5,015 | 4,471,337 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/51 | 10,853 | 9,675,084 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 07/01/51 | 15,133 | 13,705,384 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 07/01/51 | 36,042 | 32,101,023 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 08/01/51 | 1,172 | 1,039,780 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 09/01/51 | 11,674 | 10,394,226 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 11/01/51 | 1,542 | 1,374,549 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 11/01/51 | 7,051 | 6,264,636 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/51 | 2,054 | 1,837,196 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/52 | 38,912 | 34,607,722 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/52 | 1,719 | 1,530,166 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/52 | 3,083 | 2,738,973 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/52 | 99,616 | 88,511,219 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 03/01/52 | 16,444 | 14,608,398 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 04/01/52 | 2,129 | 1,891,745 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 3.000 % | 06/01/52 | 49,676 | $44,774,886 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/52 | 54,853 | 49,516,646 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 08/01/52 | 744 | 662,735 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 02/01/47 | 584 | 552,152 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 05/01/49 | 674 | 630,574 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/49 | 203 | 189,786 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 09/01/51 | 3,403 | 3,159,392 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 01/01/52 | 9,055 | 8,405,986 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 02/01/52 | 6,473 | 6,015,389 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 03/01/52 | 62,484 | 58,164,730 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 04/01/52 | 30,419 | 28,166,577 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 10/01/51 | 2,029 | 1,951,090 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/52 | 123,651 | 118,807,181 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 11/01/48 | 2,827 | 2,817,351 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 01/01/39 | 25 | 25,742 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 02/01/42 | 7,086 | 7,272,892 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 07/01/52 | 8,659 | 8,702,940 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 08/01/52 | 42,141 | 42,309,974 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 10/01/54 | 10,193 | 10,195,460 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 11/01/54 | 73,409 | 73,438,674 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 01/01/55 | 17,809 | 17,814,385 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 06/01/31 | —(r) | 191 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 10/01/33 | 104 | 106,478 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 07/01/34 | 1 | 1,388 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 10/01/52 | 47,547 | 48,396,653 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 11/01/52 | 291,440 | 296,969,825 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 07/01/54 | 11,301 | 11,463,298 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 01/01/55 | 201,352 | 204,240,121 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 04/01/55 | —(r) | — | |
| Federal Home Loan Mortgage Corp. | 6.000 | 10/01/32 | 1 | 1,305 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 12/01/32 | 2 | 2,545 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 02/01/33 | 2 | 2,374 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 11/01/33 | 12 | 12,799 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 01/01/34 | 13 | 13,059 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 12/01/36 | 1 | 720 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 11/01/52 | 5,770 | 5,947,524 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 03/01/53 | 23,682 | 24,398,158 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 04/01/53 | 22,518 | 23,184,398 | |
| Federal Home Loan Mortgage Corp.(k) | 6.250 | 07/15/32 | 25,297 | 28,461,529 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 07/01/32 | —(r) | 306 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 08/01/32 | 1 | 681 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 08/01/32 | 1 | 926 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 08/01/32 | 1 | 1,106 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 08/01/32 | 2 | 1,668 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 8 | 8,464 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 11/01/33 | 15 | 15,889 | |
| Federal Home Loan Mortgage Corp.(k) | 6.750 | 03/15/31 | 47,678 | 54,071,639 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 09/01/32 | 17 | 17,689 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 01/01/53 | 515 | 539,280 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 05/01/53 | 640 | 669,887 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 06/01/53 | 504 | 526,864 | |
| Federal Home Loan Mortgage Corp., MTN | 2.054(s) | 11/15/38 | 1,565 | 851,219 | |
| Federal National Mortgage Assoc., | |||||
| Enterprise 11th District COFI Institutional Replacement Index + 1.254% (Cap 12.479%, Floor 4.384%) | 4.384(c) | 01/01/28 | —(r) | 290 | |
| Enterprise 11th District COFI Institutional Replacement Index + 1.255% (Cap 11.470%, Floor 3.090%) | 4.385(c) | 05/01/36 | 2 | 1,967 | |
| Enterprise 11th District COFI Institutional Replacement Index + 1.257% (Cap 12.857%, Floor 3.050%) | 4.411(c) | 05/01/36 | —(r) | 467 | |
| Federal National Mortgage Assoc. | 1.500 | 10/01/50 | 3,799 | 2,943,847 | |
| Federal National Mortgage Assoc. | 1.500 | 12/01/50 | 58,176 | 45,082,160 | |
| Federal National Mortgage Assoc. | 1.500 | 01/01/51 | 21,369 | 16,584,429 | |
| Federal National Mortgage Assoc. | 1.500 | 03/01/51 | 28,458 | 22,052,367 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 1.500 % | 03/01/51 | 61,581 | $47,720,394 | |
| Federal National Mortgage Assoc. | 1.500 | 04/01/51 | 63,990 | 49,638,700 | |
| Federal National Mortgage Assoc. | 1.500 | 05/01/51 | 992 | 768,533 | |
| Federal National Mortgage Assoc. | 1.500 | 06/01/51 | 99,776 | 77,383,380 | |
| Federal National Mortgage Assoc. | 1.500 | 07/01/51 | 5,611 | 4,348,437 | |
| Federal National Mortgage Assoc. | 1.500 | 09/01/51 | 5,161 | 3,999,130 | |
| Federal National Mortgage Assoc. | 2.000 | 06/01/50 | 83,218 | 68,272,041 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/50 | 21,176 | 17,306,527 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/50 | 13,499 | 11,060,570 | |
| Federal National Mortgage Assoc. | 2.000 | 11/01/50 | 51,554 | 42,214,679 | |
| Federal National Mortgage Assoc. | 2.000 | 12/01/50 | 45,901 | 37,609,233 | |
| Federal National Mortgage Assoc. | 2.000 | 01/01/51 | 38,636 | 31,640,706 | |
| Federal National Mortgage Assoc. | 2.000 | 02/01/51 | 17,381 | 14,222,800 | |
| Federal National Mortgage Assoc. | 2.000 | 03/01/51 | 1,719 | 1,405,231 | |
| Federal National Mortgage Assoc. | 2.000 | 03/01/51 | 10,263 | 8,394,017 | |
| Federal National Mortgage Assoc. | 2.000 | 04/01/51 | 117,810 | 96,320,008 | |
| Federal National Mortgage Assoc. | 2.000 | 05/01/51 | 231,884 | 189,513,870 | |
| Federal National Mortgage Assoc. | 2.000 | 06/01/51 | 10,030 | 8,190,805 | |
| Federal National Mortgage Assoc. | 2.000 | 07/01/51 | 17,213 | 14,051,988 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/51 | 31,711 | 25,876,839 | |
| Federal National Mortgage Assoc. | 2.000 | 09/01/51 | 11,191 | 9,128,998 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/51 | 56,976 | 46,440,881 | |
| Federal National Mortgage Assoc. | 2.000 | 11/01/51 | 59,928 | 48,827,839 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/50 | 10,757 | 9,233,914 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/50 | 96,277 | 82,692,282 | |
| Federal National Mortgage Assoc. | 2.500 | 07/01/50 | 4,780 | 4,105,831 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/50 | 56,209 | 48,225,627 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/50 | 3,637 | 3,121,191 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/50 | 4,270 | 3,663,016 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/50 | 32,109 | 27,547,852 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/51 | 4,856 | 4,152,265 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/51 | 81,303 | 69,591,221 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/51 | 115,218 | 98,779,323 | |
| Federal National Mortgage Assoc. | 2.500 | 03/01/51 | 80,188 | 68,781,356 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/51 | 123,679 | 105,976,227 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/51 | 5,261 | 4,494,548 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/51 | 67,512 | 57,827,298 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/51 | 6,027 | 5,209,233 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/51 | 44,152 | 37,811,859 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/51 | 97,182 | 83,226,385 | |
| Federal National Mortgage Assoc. | 2.500 | 07/01/51 | 63,580 | 54,439,777 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/51 | 20,309 | 17,379,811 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/51 | 9,146 | 7,810,167 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/51 | 86,953 | 74,398,408 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/51 | 4,993 | 4,282,360 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/51 | 59,240 | 50,677,494 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/51 | 2,192 | 1,877,125 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/51 | 6,789 | 5,805,587 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/52 | 26,191 | 22,396,671 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/52 | 6,442 | 5,588,377 | |
| Federal National Mortgage Assoc. | 2.500 | 03/01/52 | 3,435 | 2,936,496 | |
| Federal National Mortgage Assoc. | 2.500 | 03/01/52 | 56,701 | 49,110,147 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/52 | 811 | 691,515 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/45 | 2,593 | 2,401,457 | |
| Federal National Mortgage Assoc. | 3.000 | 09/01/50 | 27,635 | 24,698,666 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/51 | 634 | 565,508 | |
| Federal National Mortgage Assoc. | 3.000 | 05/01/51 | 25,675 | 22,920,944 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/51 | 11,445 | 10,179,056 | |
| Federal National Mortgage Assoc. | 3.000 | 07/01/51 | 104,137 | 92,911,476 | |
| Federal National Mortgage Assoc. | 3.000 | 08/01/51 | 10,691 | 9,525,182 | |
| Federal National Mortgage Assoc. | 3.000 | 10/01/51 | 1,225 | 1,089,709 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/51 | 2,462 | 2,194,934 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/51 | 6,482 | 5,796,824 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 3.000 % | 12/01/51 | 153 | $135,961 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/51 | 283 | 251,351 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/51 | 4,105 | 3,686,729 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/52 | 204 | 182,556 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/52 | 392 | 348,319 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/52 | 12,054 | 10,787,900 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/52 | 129,082 | 114,560,585 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 588 | 522,173 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 121,759 | 108,894,477 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 161,276 | 143,296,214 | |
| Federal National Mortgage Assoc.(k)(kk) | 3.000 | 03/01/52 | 347,647 | 308,844,873 | |
| Federal National Mortgage Assoc. | 3.000 | 05/01/52 | 872 | 774,426 | |
| Federal National Mortgage Assoc. | 3.000 | 07/01/52 | 1,319 | 1,173,989 | |
| Federal National Mortgage Assoc. | 3.000 | 07/01/52 | 5,448 | 4,850,144 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/42 | 3,264 | 3,109,096 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/49 | 1,868 | 1,747,687 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/49 | 431 | 402,191 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/49 | 852 | 796,439 | |
| Federal National Mortgage Assoc. | 3.500 | 08/01/49 | 842 | 785,142 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/49 | 6,972 | 6,518,632 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/49 | 8,230 | 7,688,074 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/49 | 4,249 | 3,971,662 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/49 | 1,805 | 1,679,820 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/50 | 10,413 | 9,728,878 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/50 | 37 | 34,094 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/50 | 1,775 | 1,659,093 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/50 | 6,329 | 5,915,045 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/50 | 4,068 | 3,795,859 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/50 | 2,071 | 1,931,778 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/50 | 336 | 313,647 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/51 | 19,424 | 18,098,719 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/51 | 2,046 | 1,895,367 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/52 | 14,697 | 13,676,942 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/52 | 16,856 | 15,649,435 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/52 | 25,726 | 23,976,489 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/52 | 133,468 | 123,589,149 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/52 | 55,557 | 51,645,113 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/40 | 99 | 97,296 | |
| Federal National Mortgage Assoc. | 4.000 | 04/01/52 | 27,407 | 26,442,099 | |
| Federal National Mortgage Assoc. | 4.000 | 04/01/52 | 28,926 | 27,746,068 | |
| Federal National Mortgage Assoc. | 4.000 | 05/01/52 | 214,179 | 205,009,385 | |
| Federal National Mortgage Assoc. | 4.000 | 04/01/53 | 26,946 | 25,894,355 | |
| Federal National Mortgage Assoc. | 4.500 | 02/01/33 | 1 | 1,428 | |
| Federal National Mortgage Assoc. | 4.500 | 08/01/33 | 2 | 1,803 | |
| Federal National Mortgage Assoc. | 4.500 | 07/01/41 | 1,961 | 1,969,046 | |
| Federal National Mortgage Assoc. | 4.500 | 11/01/42 | 10,118 | 10,158,703 | |
| Federal National Mortgage Assoc. | 4.500 | 10/01/44 | 9,988 | 10,071,558 | |
| Federal National Mortgage Assoc. | 4.500 | 01/01/45 | 10,474 | 10,483,951 | |
| Federal National Mortgage Assoc. | 4.500 | 09/01/46 | 4,046 | 4,049,884 | |
| Federal National Mortgage Assoc. | 4.500 | 07/01/48 | 3,248 | 3,237,022 | |
| Federal National Mortgage Assoc. | 4.500 | 05/01/49 | 12,645 | 12,544,054 | |
| Federal National Mortgage Assoc. | 4.500 | 09/01/49 | 27,662 | 27,546,998 | |
| Federal National Mortgage Assoc. | 5.000 | TBA | 73,500 | 73,376,391 | |
| Federal National Mortgage Assoc. | 5.000 | TBA | 132,500 | 132,132,246 | |
| Federal National Mortgage Assoc. | 5.000 | 03/01/34 | 187 | 189,058 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/39 | 1,451 | 1,487,496 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/40 | 362 | 370,819 | |
| Federal National Mortgage Assoc. | 5.000 | 09/01/44 | 31,257 | 32,007,250 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/52 | 19,149 | 19,226,630 | |
| Federal National Mortgage Assoc. | 5.000 | 08/01/52 | 125,574 | 126,078,378 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/54 | 1,836 | 1,836,988 | |
| Federal National Mortgage Assoc. | 5.000 | 12/01/54 | 142,201 | 142,250,026 | |
| Federal National Mortgage Assoc. | 5.000 | 01/01/55 | 38,430 | 38,441,110 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 5.500 % | 07/01/33 | 9 | $8,931 | |
| Federal National Mortgage Assoc. | 5.500 | 08/01/33 | —(r) | 111 | |
| Federal National Mortgage Assoc. | 5.500 | 10/01/33 | 15 | 14,844 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/33 | 3 | 2,770 | |
| Federal National Mortgage Assoc. | 5.500 | 04/01/34 | 1 | 1,368 | |
| Federal National Mortgage Assoc. | 5.500 | 04/01/34 | 7 | 7,226 | |
| Federal National Mortgage Assoc. | 5.500 | 04/01/34 | 44 | 44,805 | |
| Federal National Mortgage Assoc. | 5.500 | 05/01/34 | 12 | 11,746 | |
| Federal National Mortgage Assoc. | 5.500 | 03/01/35 | 317 | 324,453 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/52 | 29,136 | 29,729,810 | |
| Federal National Mortgage Assoc. | 5.500 | 12/01/54 | 181,680 | 184,285,658 | |
| Federal National Mortgage Assoc. | 5.500 | 02/01/55 | —(r) | — | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/32 | —(r) | 40 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/32 | 1 | 1,201 | |
| Federal National Mortgage Assoc. | 6.000 | 03/01/33 | 1 | 641 | |
| Federal National Mortgage Assoc. | 6.000 | 10/01/33 | 2 | 1,772 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/33 | 39 | 40,108 | |
| Federal National Mortgage Assoc. | 6.000 | 02/01/34 | 41 | 43,143 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 10 | 10,846 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 14 | 14,824 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/36 | 1 | 877 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/36 | 1 | 1,399 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/36 | 4 | 3,855 | |
| Federal National Mortgage Assoc. | 6.000 | 06/01/37 | 4 | 4,357 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/52 | 52,897 | 54,528,425 | |
| Federal National Mortgage Assoc. | 6.000 | 12/01/52 | 32,117 | 33,170,161 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/53 | 16,908 | 17,440,146 | |
| Federal National Mortgage Assoc. | 6.000 | 08/01/53 | 15,951 | 16,417,298 | |
| Federal National Mortgage Assoc. | 6.500 | 07/01/32 | 2 | 1,964 | |
| Federal National Mortgage Assoc. | 6.500 | 08/01/32 | 4 | 4,036 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 1 | 588 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 14 | 14,134 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 16 | 16,966 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 16 | 17,037 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 10 | 10,117 | |
| Federal National Mortgage Assoc. | 6.500 | 04/01/33 | 13 | 13,914 | |
| Federal National Mortgage Assoc. | 6.625 | 11/15/30 | 30,000 | 33,636,269 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/32 | 5 | 4,812 | |
| Federal National Mortgage Assoc. | 7.000 | 06/01/32 | 2 | 1,817 | |
| Federal National Mortgage Assoc. | 7.000 | 01/01/53 | 643 | 672,644 | |
| Federal National Mortgage Assoc. | 7.000 | 02/01/53 | 513 | 537,273 | |
| Federal National Mortgage Assoc. | 7.000 | 03/01/53 | 2,227 | 2,329,692 | |
| Federal National Mortgage Assoc. | 7.000 | 06/01/53 | 505 | 528,890 | |
| Freddie Mac Coupon Strips | 4.518(s) | 07/15/32 | 5,298 | 4,057,640 | |
| Freddie Mac Coupon Strips | 4.809(s) | 07/15/31 | 504 | 401,639 | |
| Freddie Mac Coupon Strips | 5.245(s) | 03/15/31 | 1,655 | 1,343,853 | |
| Freddie Mac Strips | 1.475(s) | 03/15/31 | 7,523 | 6,154,871 | |
| Freddie Mac Strips | 4.445(s) | 07/15/32 | 5,036 | 3,826,902 | |
| Government National Mortgage Assoc. | 2.000 | 10/20/50 | 90,940 | 75,687,989 | |
| Government National Mortgage Assoc. | 2.000 | 12/20/50 | 134,307 | 111,780,998 | |
| Government National Mortgage Assoc. | 2.000 | 01/20/51 | 16,798 | 13,980,617 | |
| Government National Mortgage Assoc. | 2.500 | 01/20/51 | 51,997 | 45,098,264 | |
| Government National Mortgage Assoc. | 2.500 | 03/20/51 | 73,686 | 63,864,468 | |
| Government National Mortgage Assoc. | 3.000 | 01/15/45 | 53 | 47,923 | |
| Government National Mortgage Assoc. | 3.000 | 03/15/45 | 11 | 10,209 | |
| Government National Mortgage Assoc. | 3.000 | 03/15/45 | 101 | 91,876 | |
| Government National Mortgage Assoc. | 3.500 | 10/15/40 | 56 | 52,408 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/47 | 3,465 | 3,255,231 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/47 | 11,258 | 10,563,932 | |
| Government National Mortgage Assoc. | 3.500 | 10/20/47 | 8,085 | 7,578,781 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/47 | 3,018 | 2,822,777 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/51 | 2,398 | 2,219,305 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/51 | 181,984 | 168,406,169 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 3.500 % | 01/20/52 | 87,175 | $80,852,393 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/52 | 59,169 | 54,932,372 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/52 | 96,826 | 89,564,101 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/48 | 264 | 253,859 | |
| Government National Mortgage Assoc. | 4.000 | 03/20/52 | 6,941 | 6,622,150 | |
| Government National Mortgage Assoc. | 4.000 | 06/20/52 | 49,940 | 47,657,607 | |
| Government National Mortgage Assoc. | 4.000 | 07/20/52 | 4,516 | 4,310,361 | |
| Government National Mortgage Assoc. | 4.000 | 08/20/52 | 114,795 | 109,497,440 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/41 | 706 | 708,032 | |
| Government National Mortgage Assoc. | 4.500 | 07/20/52 | 75,221 | 74,034,490 | |
| Government National Mortgage Assoc. | 4.500 | 08/20/52 | 205,714 | 202,469,956 | |
| Government National Mortgage Assoc. | 4.500 | 09/20/52 | 6,714 | 6,606,782 | |
| Government National Mortgage Assoc. | 5.000 | TBA | 90,000 | 89,978,593 | |
| Government National Mortgage Assoc. | 5.000 | 08/20/39 | 211 | 217,041 | |
| Government National Mortgage Assoc. | 5.000 | 09/20/52 | 67,897 | 68,222,148 | |
| Government National Mortgage Assoc. | 5.000 | 02/20/54 | 14,408 | 14,464,263 | |
| Government National Mortgage Assoc. | 5.000 | 11/20/54 | 165,142 | 165,302,149 | |
| Government National Mortgage Assoc. | 5.500 | 09/20/52 | 4,196 | 4,274,071 | |
| Government National Mortgage Assoc. | 5.500 | 10/20/52 | 21,049 | 21,473,669 | |
| Government National Mortgage Assoc. | 5.500 | 11/20/52 | 57,657 | 58,808,489 | |
| Government National Mortgage Assoc. | 6.000 | 01/15/33 | 8 | 8,796 | |
| Government National Mortgage Assoc. | 6.000 | 03/15/33 | 2 | 1,984 | |
| Government National Mortgage Assoc. | 6.000 | 05/15/33 | 3 | 3,297 | |
| Government National Mortgage Assoc. | 6.000 | 06/15/33 | 1 | 1,402 | |
| Government National Mortgage Assoc. | 6.000 | 12/15/33 | 10 | 10,019 | |
| Government National Mortgage Assoc. | 6.000 | 12/20/52 | 20,309 | 20,930,167 | |
| Government National Mortgage Assoc. | 6.000 | 01/20/53 | 7,781 | 8,015,495 | |
| Government National Mortgage Assoc. | 6.000 | 02/20/53 | 28,219 | 29,070,761 | |
| Government National Mortgage Assoc. | 6.000 | 06/20/53 | 4,741 | 4,874,862 | |
| Government National Mortgage Assoc. | 6.500 | TBA | 51,500 | 53,253,394 | |
| Government National Mortgage Assoc. | 6.500 | 09/15/32 | 13 | 13,514 | |
| Government National Mortgage Assoc. | 6.500 | 09/15/32 | 22 | 22,386 | |
| Government National Mortgage Assoc. | 6.500 | 11/15/33 | 13 | 13,667 | |
| Government National Mortgage Assoc. | 6.500 | 11/15/33 | 40 | 40,394 | |
| Government National Mortgage Assoc. | 6.500 | 07/15/38 | —(r) | 96 | |
| Government National Mortgage Assoc. | 6.500 | 03/20/54 | 8,327 | 8,621,387 | |
| Government National Mortgage Assoc. | 7.000 | 09/20/53 | 1,482 | 1,530,654 | |
| Government National Mortgage Assoc. | 7.000 | 10/20/53 | 1,734 | 1,792,835 | |
| Government National Mortgage Assoc. | 8.000 | 08/20/31 | —(r) | 103 | |
| Government National Mortgage Assoc. | 8.500 | 06/15/30 | —(r) | 67 | |
| Government National Mortgage Assoc. | 8.500 | 08/20/30 | —(r) | 507 | |
| Resolution Funding Corp., Unsec’d. Notes, Series A | 8.625 | 01/15/30 | 429 | 502,997 | |
| Resolution Funding Corp. Interest Strips, Bonds | 2.508(s) | 01/15/30 | 1,250 | 1,069,949 | |
| Resolution Funding Corp. Interest Strips, Bonds | 3.599(s) | 04/15/30 | 18,610 | 15,727,946 | |
| Resolution Funding Corp. Principal Strips, Bonds | 4.827(s) | 01/15/30 | 3,125 | 2,684,438 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.980 | 04/01/36 | 790 | 881,814 | |
| Tennessee Valley Authority Generic Strips, Bonds | 1.886(s) | 09/15/39 | 555 | 274,046 | |
| Tennessee Valley Authority Generic Strips, Bonds | 2.338(s) | 09/15/27 | 1,878 | 1,762,409 | |
| Tennessee Valley Authority Generic Strips, Bonds | 4.951(s) | 07/15/35 | 13,972 | 8,675,233 | |
| Tennessee Valley Authority Principal Strips, Bonds | 3.037(s) | 05/01/30 | 5,174 | 4,348,169 | |
| Tennessee Valley Authority Principal Strips, Bonds | 3.874(s) | 06/15/35 | 1,300 | 835,832 | |
| U.S. International Development Finance Corp., | |||||
| U.S. Gov’t. Gtd. Notes, Series 2 | 3.190 | 10/05/34 | 2,201 | 2,085,847 | |
| U.S. Gov’t. Gtd. Notes, Series 4 | 3.000 | 10/05/34 | 5,137 | 4,821,950 | |
| U.S. International Development Finance Corp., U.S. Gov’t. Gtd. Notes | 3.250 | 10/15/30 | 1,098 | 1,074,664 | |
| U.S. International Development Finance Corp., U.S. Gov’t. Gtd. Notes | 3.370 | 10/05/34 | 5,223 | 4,992,165 | |
| Total U.S. Government Agency Obligations (cost $9,010,645,898) | 9,104,727,065 | ||||
| U.S. Treasury Obligations 10.0% | |||||
| U.S. Treasury Bonds | 1.375 | 08/15/50 | 660,000 | 323,503,125 | |
| U.S. Treasury Bonds(k)(kk) | 1.625 | 11/15/50 | 1,145,000 | 598,620,312 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Treasury Obligations (Continued) | |||||
| U.S. Treasury Bonds | 2.375 % | 02/15/42 | 31,085 | $22,798,905 | |
| U.S. Treasury Bonds | 2.500 | 02/15/45 | 119,645 | 84,461,892 | |
| U.S. Treasury Bonds | 2.500 | 02/15/46 | 100,000 | 69,453,125 | |
| U.S. Treasury Bonds | 2.875 | 05/15/43 | 291,315 | 225,450,499 | |
| U.S. Treasury Bonds(k) | 3.000 | 11/15/44 | 208,810 | 161,077,339 | |
| U.S. Treasury Bonds | 3.000 | 02/15/49 | 1,000 | 733,906 | |
| U.S. Treasury Bonds | 3.250 | 05/15/42 | 90,665 | 75,322,782 | |
| U.S. Treasury Bonds | 4.000 | 11/15/42 | 30,330 | 27,676,125 | |
| U.S. Treasury Bonds | 4.000 | 11/15/52 | 311,340 | 268,725,338 | |
| U.S. Treasury Bonds | 4.125 | 08/15/44 | 544,830 | 498,349,191 | |
| U.S. Treasury Bonds | 4.375 | 08/15/43 | 100,000 | 95,187,500 | |
| U.S. Treasury Bonds(h) | 4.500 | 02/15/44 | 590,860 | 569,625,969 | |
| U.S. Treasury Bonds(h) | 4.625 | 05/15/44 | 679,595 | 664,622,673 | |
| U.S. Treasury Bonds | 4.625 | 11/15/44 | 448,890 | 438,018,445 | |
| U.S. Treasury Bonds(k) | 4.750 | 11/15/43 | 374,515 | 372,993,533 | |
| U.S. Treasury Bonds | 4.750 | 05/15/55 | 20,850 | 20,377,617 | |
| U.S. Treasury Notes | 3.500 | 01/15/29 | 295 | 294,147 | |
| U.S. Treasury Notes | 3.750 | 01/31/31 | 126,920 | 126,607,658 | |
| U.S. Treasury Notes | 4.000 | 01/31/33 | 106,565 | 106,386,004 | |
| U.S. Treasury Strips Coupon(k) | 2.364(s) | 05/15/45 | 32,250 | 12,109,674 | |
| U.S. Treasury Strips Coupon(k) | 2.389(s) | 05/15/43 | 13,155 | 5,534,010 | |
| U.S. Treasury Strips Coupon(k) | 2.736(s) | 02/15/45 | 38,745 | 14,752,580 | |
| U.S. Treasury Strips Coupon | 2.747(s) | 05/15/41 | 34,005 | 16,138,959 | |
| U.S. Treasury Strips Coupon(k) | 3.146(s) | 11/15/43 | 74,569 | 30,439,423 | |
| U.S. Treasury Strips Coupon(k) | 3.165(s) | 08/15/41 | 33,805 | 15,803,438 | |
| U.S. Treasury Strips Coupon(h)(k) | 3.212(s) | 08/15/44 | 132,650 | 51,866,309 | |
| U.S. Treasury Strips Coupon(h)(k) | 3.619(s) | 05/15/44 | 128,320 | 50,916,086 | |
| U.S. Treasury Strips Coupon(k) | 3.826(s) | 11/15/44 | 49,085 | 18,931,575 | |
| U.S. Treasury Strips Coupon(k) | 3.922(s) | 08/15/45 | 42,525 | 15,745,480 | |
| U.S. Treasury Strips Coupon(h) | 3.926(s) | 08/15/42 | 63,055 | 27,715,269 | |
| U.S. Treasury Strips Coupon(k) | 4.335(s) | 08/15/51 | 50,000 | 13,552,159 | |
| U.S. Treasury Strips Coupon(k) | 4.349(s) | 02/15/43 | 2,100 | 896,243 | |
| U.S. Treasury Strips Coupon(k) | 4.369(s) | 05/15/42 | 18,020 | 8,046,591 | |
| U.S. Treasury Strips Coupon(k) | 4.454(s) | 08/15/43 | 67,960 | 28,152,276 | |
| U.S. Treasury Strips Coupon(k) | 4.500(s) | 05/15/46 | 23,485 | 8,371,437 | |
| U.S. Treasury Strips Coupon(k) | 4.516(s) | 11/15/42 | 14,970 | 6,483,967 | |
| U.S. Treasury Strips Coupon(k) | 4.522(s) | 11/15/45 | 76,475 | 27,947,655 | |
| U.S. Treasury Strips Coupon(h)(k) | 4.531(s) | 11/15/41 | 160,330 | 73,988,062 | |
| U.S. Treasury Strips Coupon(k) | 4.608(s) | 11/15/48 | 6,925 | 2,166,103 | |
| U.S. Treasury Strips Coupon(k) | 4.675(s) | 02/15/41 | 41,575 | 20,030,748 | |
| U.S. Treasury Strips Coupon(k) | 4.685(s) | 08/15/40 | 10,470 | 5,196,771 | |
| U.S. Treasury Strips Coupon(k) | 4.813(s) | 02/15/42 | 36,390 | 16,486,607 | |
| U.S. Treasury Strips Coupon(k) | 4.920(s) | 08/15/48 | 25,990 | 8,233,877 | |
| U.S. Treasury Strips Coupon(k) | 4.924(s) | 02/15/49 | 19,925 | 6,147,892 | |
| Total U.S. Treasury Obligations (cost $5,576,800,359) | 5,235,939,276 | ||||
| Shares | |||||
| Affiliated Exchange-Traded Funds 0.4% | |||||
| PGIM AAA CLO ETF | 1,842,395 | 94,957,038 | |||
| PGIM Active High Yield Bond ETF | 492,000 | 17,564,400 | |||
| PGIM Corporate Bond 0-5 Year ETF | 100,000 | 5,056,480 | |||
| PGIM Corporate Bond 5-10 Year ETF | 1,450,000 | 73,685,375 | |||
| Total Affiliated Exchange-Traded Funds (cost $190,555,709) | 191,263,293 | ||||
| Common Stocks 0.2% | |||||
| Chemicals 0.0% | |||||
| TPC Group, Inc.* | 353,022 | 6,471,952 | |||
| Description | Shares | Value | |||
| Common Stocks (Continued) | |||||
| Containers & Packaging 0.0% | |||||
| Ardagh Packaging Finance PLC Equity, 144A* | 177 | $1,239 | |||
| Interactive Media & Services 0.0% | |||||
| Diamond Sports Group LLC*(x) | 791,890 | 148,875 | |||
| Oil, Gas & Consumable Fuels 0.1% | |||||
| Expand Energy Corp. | 450,899 | 50,685,557 | |||
| Pharmaceuticals 0.0% | |||||
| Endo, Inc. (Class A1 Stock), 144A^ | 149 | — | |||
| Wireless Telecommunication Services 0.1% | |||||
| Digicel International Finance Ltd. (Jamaica)*(x) | 1,695,385 | 30,941,624 | |||
| Total Common Stocks (cost $10,997,536) | 88,249,247 | ||||
| Preferred Stocks 0.2% | |||||
| Banks 0.0% | |||||
| Citigroup Capital XIII, 10.470%(c), 3 Month SOFR + 6.632%, Maturing 10/30/40 | 22,000 | 659,780 | |||
| Capital Markets 0.0% | |||||
| State Street Corp., 5.350%(ff), Series G, Maturing 03/15/26(a)(oo) | 315,000 | 7,380,450 | |||
| Electronic Equipment, Instruments & Components 0.2% | |||||
| QXO, Inc., 4.750%, Maturing 12/31/79^ | 75,970,000 | 75,970,000 | |||
| Wireless Telecommunication Services 0.0% | |||||
| Digicel International Finance Ltd. (Jamaica)*^(x) | 110,440 | 1,386,265 | |||
| Total Preferred Stocks (cost $84,785,071) | 85,396,495 | ||||
| Units | |||||
| Warrants* 0.0% | |||||
| Hotels, Restaurants & Leisure 0.0% | |||||
| Codere Group Topco SA (Spain), expiring 09/30/34^ | 200 | 711 | |||
| Interactive Media & Services 0.0% | |||||
| Diamond Sports Group LLC, expiring 06/30/26(x) | 1,481,098 | 15 | |||
| Total Warrants (cost $7,763) | 726 | ||||
| Total Long-Term Investments, BEFORE LONG-TERM OPTIONS WRITTEN 98.9% (cost $52,334,029,983) | 51,850,866,799 | ||||
| Options Written*~ (0.0)% | |||||
| (premiums received $1,483,130) | (13,856) | ||||
| TOTAL LONG-TERM INVESTMENTS, NET OF LONG-TERM OPTIONS WRITTEN 98.9% (cost $52,332,546,853) | 51,850,852,943 | ||||
| Description | Shares | Value | |||
| Short-Term Investments 3.1% | |||||
| Affiliated Mutual Funds 3.1% | |||||
| PGIM Core Government Money Market Fund (7-day effective yield 3.805%)(wa) | 933,062,202 | $933,062,202 | |||
| PGIM Institutional Money Market Fund (7-day effective yield 3.853%) (cost $689,865,347; includes $688,042,102 of cash collateral for securities on loan)(b)(wa) | 690,337,578 | 689,923,376 | |||
| Total Affiliated Mutual Funds (cost $1,622,927,549) | 1,622,985,578 | ||||
| Options Purchased*~ 0.0% | |||||
| (cost $6,631,295) | 3,618,338 | ||||
| Total Short-Term Investments (cost $1,629,558,844) | 1,626,603,916 | ||||
| TOTAL INVESTMENTS, BEFORE SHORT-TERM OPTIONS WRITTEN 102.0% (cost $53,962,105,697) | 53,477,456,859 | ||||
| Options Written*~ (0.0)% | |||||
| (premiums received $11,220,776) | (7,045,684) | ||||
| TOTAL INVESTMENTS, NET OF SHORT-TERM OPTIONS WRITTEN 102.0% (cost $53,950,884,921) | 53,470,411,175 | ||||
| Liabilities in excess of other assets(z) (2.0)% | (1,027,192,647) | ||||
| Net Assets 100.0% | $52,443,218,528 | ||||
| See the Glossary for a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
| BRL—Brazilian Real | |
| CLP—Chilean Peso | |
| CNH—Chinese Renminbi | |
| COP—Colombian Peso | |
| CZK—Czech Koruna | |
| EUR—Euro | |
| GBP—British Pound | |
| HUF—Hungarian Forint | |
| IDR—Indonesian Rupiah | |
| INR—Indian Rupee | |
| JPY—Japanese Yen | |
| KRW—South Korean Won | |
| MXN—Mexican Peso | |
| PEN—Peruvian Nuevo Sol | |
| PHP—Philippine Peso | |
| PLN—Polish Zloty | |
| SGD—Singapore Dollar | |
| THB—Thai Baht | |
| TRY—Turkish Lira | |
| TWD—New Taiwanese Dollar | |
| USD—US Dollar | |
| ZAR—South African Rand |
| 144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | ||
| A—Annual payment frequency for swaps | ||
| ABS—Asset-Backed Security | ||
| ACE—Adjusted Current Earnings | ||
| AID—Agency for International Development | ||
| BABs—Build America Bonds | ||
| BARC—Barclays Bank PLC | ||
| BNP—BNP Paribas S.A. | ||
| BNY—Bank of New York Mellon | ||
| BOA—Bank of America, N.A. | ||
| BROIS—Brazil Overnight Index Swap | ||
| CDX—Credit Derivative Index | ||
| CF—CF Secured, LLC | ||
| CGM—Citigroup Global Markets, Inc. | ||
| CITI—Citibank, N.A. | ||
| CLO—Collateralized Loan Obligation | |
| CMS—Constant Maturity Swap | |
| CMT—Constant Maturity Treasury | |
| COFI—Cost of Funds Index | |
| CPI—Consumer Price Index | |
| DAC—Designated Activity Company | |
| DB—Deutsche Bank AG | |
| EMTN—Euro Medium Term Note | |
| ETF—Exchange-Traded Fund | |
| EURIBOR—Euro Interbank Offered Rate | |
| EuroSTR—Euro Short-Term Rate | |
| FHLMC—Federal Home Loan Mortgage Corporation | |
| GMTN—Global Medium Term Note | |
| GS—Goldman Sachs & Co. LLC | |
| GSI—Goldman Sachs International | |
| HSBC—HSBC Bank PLC | |
| iBoxx—Bond Market Indices | |
| IO—Interest Only (Principal amount represents notional) | |
| JPM—JPMorgan Chase Bank N.A. | |
| LP—Limited Partnership | |
| M—Monthly payment frequency for swaps | |
| MSC—Morgan Stanley & Co. LLC | |
| MSI—Morgan Stanley & Co. International PLC | |
| MTN—Medium Term Note | |
| N/A—Not Applicable | |
| OBX—Oslo Stock Exchange | |
| OTC—Over-the-counter | |
| PIK—Payment-in-Kind | |
| PJSC—Public Joint-Stock Company | |
| PO—Principal Only | |
| Q—Quarterly payment frequency for swaps | |
| RBC—Royal Bank of Canada | |
| REITs—Real Estate Investment Trust | |
| REMIC—Real Estate Mortgage Investment Conduit | |
| SCB—Standard Chartered Bank | |
| SG—Societe Generale | |
| SOFR—Secured Overnight Financing Rate | |
| SONIA—Sterling Overnight Index Average | |
| SSB—State Street Bank & Trust Company | |
| T—Swap payment upon termination | |
| TBA—To Be Announced | |
| TD—The Toronto-Dominion Bank | |
| UAG—UBS AG | |
| USOIS—United States Overnight Index Swap |
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ | See tables subsequent to the Schedule of Investments for options detail. Excludes centrally cleared swaptions. |
| ^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $694,930,461 and 1.3% of net assets. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $673,061,215; cash collateral of $688,042,102 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
| (b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) | Variable rate instrument. The interest rate shown reflects the rate in effect at January 31, 2026. |
| (cc) | Variable rate instrument. The rate shown is based on the latest available information as of January 31, 2026. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
| (ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (kk) | Represents security, or a portion thereof, segregated as collateral for TBA securities. |
| (oo) | Perpetual security. Maturity date represents next call date. |
| (r) | Principal or notional amount is less than $500 par. |
| (s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (wa) | Represents investments in Funds affiliated with the Manager. |
| (x) | The following represents restricted securities that are acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law. |
| Issuer | Acquisition Date | Original Cost | Market Value | Percentage of Net Assets | ||||
| 20 Times Square Trust, Series 2018-20TS, Class G, 144A, 3.100%(cc), 05/15/35 | 05/09/18 | $35,678,061 | $34,143,150 | 0.1 % | ||||
| 20 Times Square Trust, Series 2018-20TS, Class H, 144A, 3.100%(cc), 05/15/35 | 05/09/18 | 35,625,556 | 34,013,363 | 0.1 | ||||
| Diamond Sports Group LLC* | 01/02/25 | 2,073,338 | 148,875 | 0.0 | ||||
| Diamond Sports Group LLC, expiring 06/30/26 | 01/02/25 | — | 15 | 0.0 | ||||
| Digicel Group Holdings Ltd. (Jamaica) Sr. Sec’d. Notes, Series 1B14, 144A, 0.000%, 12/31/30 | 11/14/23 | 32 | 32 | 0.0 | ||||
| Digicel Group Holdings Ltd. (Jamaica) Sr. Sec’d. Notes, Series 3B14, 144A, 0.000%, 12/31/30^ | 11/14/23 | 11 | — | 0.0 | ||||
| Digicel International Finance Ltd. (Jamaica)*^ | 01/26/24-01/29/24 | 390,071 | 1,386,265 | 0.0 | ||||
| Digicel International Finance Ltd. (Jamaica)* | 01/29/24-01/30/24 | 2,056,652 | 30,941,624 | 0.1 | ||||
| Digicel International Finance Ltd./DIFL US LLC (Jamaica), Sr. Sec’d. Notes, 144A, 8.625%, 08/01/32 | 07/30/25-09/09/25 | 57,744,594 | 59,924,827 | 0.1 | ||||
| DISH DBS Corp., Gtd. Notes, 5.125%, 06/01/29 | 07/06/21-07/16/21 | 14,806,534 | 13,230,750 | 0.0 | ||||
| DISH DBS Corp., Gtd. Notes, 7.375%, 07/01/28 | 06/25/20 | 343,315 | 331,103 | 0.0 | ||||
| DISH DBS Corp., Gtd. Notes, 7.750%, 07/01/26 | 09/19/16-09/18/25 | 99,561,992 | 96,089,928 | 0.2 | ||||
| DISH Network Corp., Sr. Sec’d. Notes, 144A, 11.750%, 11/15/27 | 02/28/23-02/20/24 | 33,565,593 | 33,480,540 | 0.1 | ||||
| EchoStar Corp., Sr. Sec’d. Notes, 10.750%, 11/30/29 | 05/13/25-10/10/25 | 77,321,039 | 82,602,849 | 0.1 | ||||
| Greystone Commercial Capital Trust, Sr. Unsec’d. Notes, Series A, 144A, 1 Month SOFR + 3.150%, 7.460%(c), 05/31/26^(d) | 05/18/21 | 196,471,029 | 174,859,216 | 0.3 | ||||
| Total | $555,637,817 | $561,152,537 | 1.1% |
| Borrower | Principal Amount (000)# | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||
| ClubCorp Holdings, Inc., Delayed Draw Term Loan, Delayed Draw Term Loan, 1.000%, Maturity Date 07/09/32 (cost $1,032,761)^ | 1,047 | $1,034,138 | $1,377 | $— | ||||
| ClubCorp Holdings, Inc., Revolver Loan, Revolver Loan, 0.500%, Maturity Date 07/10/31 (cost $1,721,269)^ | 1,745 | 1,723,563 | 2,294 | — | ||||
| Doncasters US Finance LLC, 2025 Delayed Draw Term Loan, Term Loan, 1.500%, Maturity Date 04/01/30 (cost $10,590,000)^ | 10,590 | 10,669,425 | 79,425 | — | ||||
| Dukes Education Group Ltd., PGIM Loan Originator Manager Limited, Acquisition/Capex Facility 6, 1.000%, Maturity Date 11/27/28 (cost $17,903,787)^ | 14,131 | 19,335,677 | 1,431,890 | — | ||||
| $32,762,803 | $1,514,986 | $— |
| Forward Commitment Contract: | |||||||||||
| U.S. Government Agency Obligation | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
| Government National Mortgage Assoc. (proceeds receivable $7,068,457) | 4.000% | TBA | 02/19/26 | $(7,500) | $(7,091,107) | ||||||
| Exchange Traded | |||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 3 Month SOFR | Call | 03/13/26 | $96.38 | 3,354 | 8,385 | $335,400 | |||||||||
| (cost $379,421) | |||||||||||||||
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 2-Year 30 CMS Curve CAP | Call | BOA | 05/13/26 | 1.30% | — | 190,735 | $— | |||||||||
| 2-Year 30 CMS Curve CAP | Call | CITI | 05/13/26 | 1.30% | — | 381,470 | — | |||||||||
| Total OTC Traded (cost $424,386) | $— | |||||||||||||||
| OTC Swaptions | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.21% | 1 Day SOFR(A)/ 3.680% | 3.21%(A) | 549,400 | $3,128,068 | ||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 8.19% | 1 Day SOFR(A)/ 3.680% | 8.19%(A) | 549,400 | 57 | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | DB | 02/18/26 | 0.60% | CDX.NA.IG.45.V1(Q) | 1.00%(Q) | 1,300,000 | 154,813 | ||||||||
| Total OTC Swaptions (cost $5,827,488) | $3,282,938 | |||||||||||||||
| Total Options Purchased (cost $6,631,295) | $3,618,338 | |||||||||||||||
| Exchange Traded | |||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 3 Month SOFR | Call | 03/13/26 | $96.50 | 3,354 | 8,385 | $(146,738) | |||||||||
| (premiums received $180,148) | |||||||||||||||
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| Azerbaijan Contingent CAP | Call | DB | 12/22/32 | 6.86% | — | 261,508 | $(13,802) | |||||||||
| Israel GAP^ | Put | MSI | 04/24/26 | $85.00 | — | 20,000 | (54) | |||||||||
| Total OTC Traded (premiums received $1,483,130) | $(13,856) | |||||||||||||||
| OTC Swaptions | ||||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Call | DB | 02/18/26 | 0.53% | CDX.NA.IG.45.V1(Q) | 1.00%(Q) | 1,300,000 | $(1,913,577) | ||||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.49% | 3.49%(A) | 1 Day SOFR(A)/ 3.680% | 549,400 | (1,627,588) | ||||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.69% | 3.69%(A) | 1 Day SOFR(A)/ 3.680% | 549,400 | (955,745) | ||||||||||
| CDX.NA.HY.45.V1, 12/20/30 | Put | BARC | 03/18/26 | $102.76 | 5.00%(Q) | CDX.NA.HY.45.V1(Q) | 105,770 | (120,844) | ||||||||||
| CDX.NA.HY.45.V1, 12/20/30 | Put | RBC | 03/18/26 | $102.76 | 5.00%(Q) | CDX.NA.HY.45.V1(Q) | 146,780 | (167,699) | ||||||||||
| CDX.NA.HY.45.V1, 12/20/30 | Put | BARC | 03/18/26 | $104.28 | 5.00%(Q) | CDX.NA.HY.45.V1(Q) | 65,210 | (106,451) | ||||||||||
| CDX.NA.HY.45.V1, 12/20/30 | Put | RBC | 03/18/26 | $104.28 | 5.00%(Q) | CDX.NA.HY.45.V1(Q) | 105,090 | (171,552) | ||||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | DB | 02/18/26 | 0.80% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 1,300,000 | (52,319) | ||||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | GSI | 05/20/26 | 0.70% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 2,189,585 | (1,783,171) | ||||||||||
| Total OTC Swaptions (premiums received $11,040,628) | $(6,898,946) | |||||||||||||||||
| Total Options Written (premiums received $12,703,906) | $(7,059,540) | |||||||||||||||||
| Centrally Cleared Swaptions | ||||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | 03/18/26 | 0.58% | CDX.NA.IG.45.V1(Q) | 1.00%(Q) | 2,250,000 | $1,168,853 | $(3,443,647) | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | 03/18/26 | 0.85% | CDX.NA.IG.45.V1(Q) | 1.00%(Q) | 250,000 | 39,961 | 2,461 | ||||||||
| Total Centrally Cleared Swaptions (cost $4,650,000) | $1,208,814 | $(3,441,186) | ||||||||||||||
| Centrally Cleared Swaptions | ||||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Call | 03/18/26 | 0.50% | CDX.NA.IG.45.V1(Q) | 1.00%(Q) | 2,250,000 | $(1,983,796) | $491,204 | ||||||||
| Centrally Cleared Swaptions | ||||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | 03/18/26 | 0.75% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 2,250,000 | $(469,626) | $1,667,874 | ||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | 05/20/26 | 0.70% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 500,000 | (407,194) | 42,806 | ||||||||
| Total Centrally Cleared Swaptions (premiums received $5,062,500) | $(2,860,616) | $2,201,884 | ||||||||||||||
| Futures contracts outstanding at January 31, 2026: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 6,858 | 2 Year U.S. Treasury Notes | Mar. 2026 | $1,429,839,425 | $(1,237,688) | ||||
| 54,637 | 5 Year U.S. Treasury Notes | Mar. 2026 | 5,951,591,473 | (29,126,596) | ||||
| 27,908 | 10 Year U.S. Treasury Notes | Mar. 2026 | 3,120,899,452 | (24,207,765) | ||||
| 17,097 | 10 Year U.S. Ultra Treasury Notes | Mar. 2026 | 1,951,729,406 | (18,162,302) | ||||
| 12,216 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2026 | 1,434,616,500 | (21,402,784) | ||||
| (94,137,135) | ||||||||
| Short Positions: | ||||||||
| 2,271 | 5 Year Euro-Bobl | Mar. 2026 | 313,905,940 | 1,033,226 | ||||
| 1,755 | 10 Year Euro-Bund | Mar. 2026 | 266,630,673 | 2,390,710 | ||||
| 1,268 | 20 Year U.S. Treasury Bonds | Mar. 2026 | 145,978,500 | 689,283 | ||||
| 426 | Euro Schatz Index | Mar. 2026 | 53,982,653 | 37,478 | ||||
| 4,150,697 | ||||||||
| $(89,986,438) | ||||||||
| Purchase Bond Forwards | Counterparty | Settlement Date | Notional Amount (000)# | Strike Price | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||||
| OTC Bond Forward Contracts: | |||||||||||||||||
| U.S. Treasury Bond | |||||||||||||||||
| 3.625%, 02/15/44 | CITI | 07/24/26 | 200,000 | $85.62 | $171,244,306 | $170,941,002 | $— | $(303,304) | |||||||||
| 4.500%, 02/15/44 | JPM | 07/13/26 | 245,460 | $96.56 | 237,018,795 | 235,736,205 | — | (1,282,590) | |||||||||
| 4.625%, 05/15/44 | CITI | 07/14/26 | 95,175 | $98.37 | 93,620,333 | 92,719,344 | — | (900,989) | |||||||||
| $501,883,434 | $499,396,551 | $— | $(2,486,883) | ||||||||||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Brazilian Real, | |||||||||||||
| Expiring 02/03/26 | BARC | BRL | 100,575 | $18,921,000 | $19,090,026 | $169,026 | $— | ||||||
| Expiring 02/03/26 | JPM | BRL | 1,350,764 | 247,628,575 | 256,388,124 | 8,759,549 | — | ||||||
| Expiring 03/03/26 | CITI | BRL | 904,834 | 172,665,123 | 170,710,733 | — | (1,954,390) | ||||||
| Expiring 03/03/26 | CITI | BRL | 165,373 | 31,723,000 | 31,200,059 | — | (522,941) | ||||||
| Expiring 03/03/26 | CITI | BRL | 100,773 | 19,005,000 | 19,012,441 | 7,441 | — | ||||||
| Expiring 03/03/26 | DB | BRL | 168,724 | 31,620,000 | 31,832,405 | 212,405 | — | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 03/18/26 | BOA | CLP | 15,927,701 | 17,478,000 | 18,221,913 | 743,913 | — | ||||||
| Expiring 03/18/26 | CITI | CLP | 22,783,284 | 25,395,886 | 26,064,968 | 669,082 | — | ||||||
| Expiring 03/18/26 | CITI | CLP | 13,475,353 | 15,024,114 | 15,416,331 | 392,217 | — | ||||||
| Expiring 03/18/26 | DB | CLP | 21,951,686 | 24,762,000 | 25,113,587 | 351,587 | — | ||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 03/18/26 | BNP | CNH | 15,399 | $2,213,802 | $2,218,433 | $4,631 | $— | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 03/18/26 | CITI | COP | 466,769,000 | 119,332,481 | 125,054,588 | 5,722,107 | — | ||||||
| Czech Koruna, | |||||||||||||
| Expiring 04/22/26 | BOA | CZK | 515,674 | 24,691,000 | 25,138,432 | 447,432 | — | ||||||
| Euro, | |||||||||||||
| Expiring 04/22/26 | MSI | EUR | 194,014 | 228,770,672 | 230,872,372 | 2,101,700 | — | ||||||
| Hungarian Forint, | |||||||||||||
| Expiring 04/22/26 | MSI | HUF | 11,908,130 | 35,698,830 | 36,802,178 | 1,103,348 | — | ||||||
| Indian Rupee, | |||||||||||||
| Expiring 03/18/26 | BOA | INR | 8,054,256 | 88,877,000 | 87,485,401 | — | (1,391,599) | ||||||
| Expiring 03/18/26 | BOA | INR | 4,844,010 | 53,442,000 | 52,615,676 | — | (826,324) | ||||||
| Expiring 03/18/26 | CITI | INR | 3,986,301 | 43,832,000 | 43,299,240 | — | (532,760) | ||||||
| Expiring 03/18/26 | JPM | INR | 11,407,870 | 125,464,616 | 123,912,389 | — | (1,552,227) | ||||||
| Expiring 03/18/26 | TD | INR | 11,237,603 | 124,055,897 | 122,062,950 | — | (1,992,947) | ||||||
| Expiring 03/18/26 | UAG | INR | 11,407,870 | 125,802,210 | 123,912,389 | — | (1,889,821) | ||||||
| Indonesian Rupiah, | |||||||||||||
| Expiring 03/13/26 | BOA | IDR | 661,343,032 | 39,145,000 | 39,389,728 | 244,728 | — | ||||||
| Expiring 03/13/26 | CITI | IDR | 1,571,960,000 | 93,910,030 | 93,626,263 | — | (283,767) | ||||||
| Expiring 03/13/26 | SCB | IDR | 745,575,478 | 44,474,000 | 44,406,630 | — | (67,370) | ||||||
| Mexican Peso, | |||||||||||||
| Expiring 03/18/26 | CITI | MXN | 905,889 | 51,766,000 | 51,606,201 | — | (159,799) | ||||||
| Expiring 03/18/26 | DB | MXN | 646,286 | 35,719,000 | 36,817,274 | 1,098,274 | — | ||||||
| New Taiwanese Dollar, | |||||||||||||
| Expiring 03/18/26 | CITI | TWD | 654,594 | 20,679,000 | 20,678,804 | — | (196) | ||||||
| Expiring 03/18/26 | MSI | TWD | 1,020,178 | 32,279,000 | 32,227,709 | — | (51,291) | ||||||
| Expiring 03/18/26 | MSI | TWD | 958,719 | 30,825,000 | 30,286,213 | — | (538,787) | ||||||
| Expiring 03/18/26 | SCB | TWD | 913,881 | 29,269,000 | 28,869,751 | — | (399,249) | ||||||
| Peruvian Nuevo Sol, | |||||||||||||
| Expiring 03/18/26 | CITI | PEN | 143,430 | 42,514,172 | 42,524,634 | 10,462 | — | ||||||
| Expiring 03/18/26 | CITI | PEN | 52,898 | 15,720,000 | 15,683,320 | — | (36,680) | ||||||
| Philippine Peso, | |||||||||||||
| Expiring 03/18/26 | BOA | PHP | 1,641,422 | 27,586,000 | 27,813,078 | 227,078 | — | ||||||
| Expiring 03/18/26 | CITI | PHP | 1,535,484 | 26,131,000 | 26,018,003 | — | (112,997) | ||||||
| Expiring 03/18/26 | SCB | PHP | 1,859,375 | 31,428,000 | 31,506,176 | 78,176 | — | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 04/22/26 | BARC | PLN | 151,912 | 42,797,301 | 42,753,415 | — | (43,886) | ||||||
| Expiring 04/22/26 | TD | PLN | 65,392 | 18,341,700 | 18,403,574 | 61,874 | — | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 03/18/26 | BOA | SGD | 76,637 | 60,079,000 | 60,446,787 | 367,787 | — | ||||||
| Expiring 03/18/26 | DB | SGD | 36,471 | 28,497,000 | 28,766,190 | 269,190 | — | ||||||
| Expiring 03/18/26 | GSI | SGD | 53,031 | 41,746,800 | 41,827,288 | 80,488 | — | ||||||
| Expiring 03/18/26 | HSBC | SGD | 21,941 | 17,108,000 | 17,305,891 | 197,891 | — | ||||||
| Expiring 03/18/26 | JPM | SGD | 80,135 | 62,922,000 | 63,205,898 | 283,898 | — | ||||||
| Expiring 03/18/26 | JPM | SGD | 79,245 | 62,620,200 | 62,503,411 | — | (116,789) | ||||||
| Expiring 03/18/26 | MSI | SGD | 57,945 | 45,325,000 | 45,703,296 | 378,296 | — | ||||||
| Expiring 03/18/26 | MSI | SGD | 22,518 | 17,557,000 | 17,761,110 | 204,110 | — | ||||||
| Expiring 03/18/26 | SSB | SGD | 80,592 | 62,919,000 | 63,565,904 | 646,904 | — | ||||||
| Expiring 03/18/26 | SSB | SGD | 52,319 | 40,845,000 | 41,266,126 | 421,126 | — | ||||||
| South African Rand, | |||||||||||||
| Expiring 03/18/26 | BARC | ZAR | 135,827 | 8,230,490 | 8,378,135 | 147,645 | — | ||||||
| Expiring 03/18/26 | DB | ZAR | 273,906 | 15,941,000 | 16,895,194 | 954,194 | — | ||||||
| Expiring 03/18/26 | JPM | ZAR | 323,940 | 19,683,000 | 19,981,376 | 298,376 | — | ||||||
| South Korean Won, | |||||||||||||
| Expiring 03/18/26 | MSI | KRW | 48,426,408 | 33,587,000 | 33,434,693 | — | (152,307) | ||||||
| Expiring 03/18/26 | MSI | KRW | 17,860,253 | 12,161,000 | 12,331,124 | 170,124 | — | ||||||
| Expiring 03/18/26 | UAG | KRW | 33,178,198 | 22,975,000 | 22,906,982 | — | (68,018) | ||||||
| Turkish Lira, | |||||||||||||
| Expiring 02/12/26 | BNP | TRY | 1,395,881 | 31,708,000 | 31,780,924 | 72,924 | — | ||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Turkish Lira (cont’d.), | |||||||||||||
| Expiring 02/12/26 | BOA | TRY | 1,373,253 | $31,075,748 | $31,265,727 | $189,979 | $— | ||||||
| Expiring 02/12/26 | GSI | TRY | 1,107,125 | 25,026,000 | 25,206,629 | 180,629 | — | ||||||
| Expiring 02/12/26 | UAG | TRY | 1,398,369 | 31,740,000 | 31,837,567 | 97,567 | — | ||||||
| Expiring 02/12/26 | UAG | TRY | 923,788 | 20,886,000 | 21,032,468 | 146,468 | — | ||||||
| Expiring 02/23/26 | BARC | TRY | 4,747,230 | 106,664,955 | 107,219,546 | 554,591 | — | ||||||
| Expiring 02/26/26 | HSBC | TRY | 4,747,230 | 106,783,721 | 106,986,385 | 202,664 | — | ||||||
| Expiring 02/26/26 | HSBC | TRY | 2,106,014 | 47,513,000 | 47,462,368 | — | (50,632) | ||||||
| $3,112,581,323 | $3,128,106,427 | 28,269,881 | (12,744,777) | ||||||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Brazilian Real, | |||||||||||||
| Expiring 02/03/26 | CITI | BRL | 904,834 | $173,739,307 | $171,746,294 | $1,993,013 | $— | ||||||
| Expiring 02/03/26 | CITI | BRL | 118,784 | 21,934,000 | 22,546,271 | — | (612,271) | ||||||
| Expiring 02/03/26 | CITI | BRL | 118,576 | 21,757,000 | 22,506,804 | — | (749,804) | ||||||
| Expiring 02/03/26 | CITI | BRL | 106,461 | 19,652,000 | 20,207,266 | — | (555,266) | ||||||
| Expiring 02/03/26 | DB | BRL | 202,685 | 37,341,000 | 38,471,516 | — | (1,130,516) | ||||||
| British Pound, | |||||||||||||
| Expiring 04/22/26 | BNY | GBP | 343,703 | 462,418,223 | 470,249,221 | — | (7,830,998) | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 03/18/26 | CITI | CLP | 106,080,000 | 115,314,375 | 121,359,667 | — | (6,045,292) | ||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 03/18/26 | BNP | CNH | 639,819 | 92,287,200 | 92,175,161 | 112,039 | — | ||||||
| Expiring 03/18/26 | HSBC | CNH | 369,519 | 53,073,000 | 53,234,546 | — | (161,546) | ||||||
| Expiring 03/18/26 | HSBC | CNH | 363,862 | 52,264,000 | 52,419,598 | — | (155,598) | ||||||
| Expiring 03/18/26 | JPM | CNH | 426,750 | 61,524,800 | 61,479,405 | 45,395 | — | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 03/18/26 | MSI | COP | 75,421,344 | 19,200,000 | 20,206,537 | — | (1,006,537) | ||||||
| Czech Koruna, | |||||||||||||
| Expiring 04/22/26 | TD | CZK | 3,754,030 | 180,742,887 | 183,004,035 | — | (2,261,148) | ||||||
| Euro, | |||||||||||||
| Expiring 04/22/26 | DB | EUR | 1,206,634 | 1,412,917,363 | 1,435,866,348 | — | (22,948,985) | ||||||
| Expiring 04/22/26 | SSB | EUR | 1,407,740 | 1,643,536,190 | 1,675,177,407 | — | (31,641,217) | ||||||
| Expiring 04/22/26 | UAG | EUR | 1,407,740 | 1,642,853,436 | 1,675,177,407 | — | (32,323,971) | ||||||
| Indian Rupee, | |||||||||||||
| Expiring 03/18/26 | BOA | INR | 5,558,523 | 61,484,000 | 60,376,722 | 1,107,278 | — | ||||||
| Expiring 03/18/26 | BOA | INR | 5,112,783 | 56,315,000 | 55,535,090 | 779,910 | — | ||||||
| Expiring 03/18/26 | DB | INR | 3,746,359 | 40,632,960 | 40,692,984 | — | (60,024) | ||||||
| Expiring 03/18/26 | HSBC | INR | 7,445,948 | 82,068,000 | 80,877,950 | 1,190,050 | — | ||||||
| Expiring 03/18/26 | JPM | INR | 2,642,443 | 28,709,725 | 28,702,242 | 7,483 | — | ||||||
| Expiring 03/18/26 | SSB | INR | 3,107,179 | 34,331,000 | 33,750,203 | 580,797 | — | ||||||
| Expiring 03/18/26 | UAG | INR | 5,304,466 | 57,635,314 | 57,617,159 | 18,155 | — | ||||||
| Indonesian Rupiah, | |||||||||||||
| Expiring 03/13/26 | HSBC | IDR | 1,676,954,790 | 98,566,416 | 99,879,775 | — | (1,313,359) | ||||||
| Expiring 03/13/26 | HSBC | IDR | 471,303,911 | 27,800,784 | 28,070,959 | — | (270,175) | ||||||
| Expiring 03/13/26 | HSBC | IDR | 460,928,756 | 27,232,800 | 27,453,012 | — | (220,212) | ||||||
| Expiring 03/13/26 | HSBC | IDR | 373,505,717 | 22,134,000 | 22,246,078 | — | (112,078) | ||||||
| New Taiwanese Dollar, | |||||||||||||
| Expiring 03/18/26 | MSI | TWD | 1,714,478 | 54,290,000 | 54,160,858 | 129,142 | — | ||||||
| Peruvian Nuevo Sol, | |||||||||||||
| Expiring 03/18/26 | CITI | PEN | 64,583 | 19,096,000 | 19,147,691 | — | (51,691) | ||||||
| Expiring 03/18/26 | CITI | PEN | 59,748 | 17,705,142 | 17,714,187 | — | (9,045) | ||||||
| Expiring 03/18/26 | CITI | PEN | 42,303 | 12,505,000 | 12,542,112 | — | (37,112) | ||||||
| Philippine Peso, | |||||||||||||
| Expiring 03/18/26 | CITI | PHP | 2,071,140 | 34,890,000 | 35,094,435 | — | (204,435) | ||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Philippine Peso (cont’d.), | |||||||||||||
| Expiring 03/18/26 | HSBC | PHP | 1,181,095 | $19,847,000 | $20,013,064 | $— | $(166,064) | ||||||
| Expiring 03/18/26 | HSBC | PHP | 822,124 | 13,891,921 | 13,930,478 | — | (38,557) | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 04/22/26 | BARC | PLN | 216,826 | 60,006,472 | 61,022,560 | — | (1,016,088) | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 03/18/26 | BNP | SGD | 46,715 | 36,429,000 | 36,845,879 | — | (416,879) | ||||||
| Expiring 03/18/26 | BOA | SGD | 22,565 | 17,655,000 | 17,797,809 | — | (142,809) | ||||||
| Expiring 03/18/26 | CITI | SGD | 21,665 | 16,890,000 | 17,088,399 | — | (198,399) | ||||||
| Expiring 03/18/26 | MSI | SGD | 703,568 | 546,821,144 | 554,932,341 | — | (8,111,197) | ||||||
| South African Rand, | |||||||||||||
| Expiring 03/18/26 | MSI | ZAR | 629,937 | 38,042,000 | 38,856,055 | — | (814,055) | ||||||
| South Korean Won, | |||||||||||||
| Expiring 03/18/26 | BOA | KRW | 24,238,749 | 16,552,000 | 16,734,983 | — | (182,983) | ||||||
| Expiring 03/18/26 | CITI | KRW | 197,466,000 | 134,838,780 | 136,335,015 | — | (1,496,235) | ||||||
| Thai Baht, | |||||||||||||
| Expiring 03/18/26 | HSBC | THB | 2,283,345 | 72,477,944 | 72,799,492 | — | (321,548) | ||||||
| Expiring 03/18/26 | HSBC | THB | 723,860 | 23,058,000 | 23,078,695 | — | (20,695) | ||||||
| Expiring 03/18/26 | JPM | THB | 790,279 | 25,161,000 | 25,196,337 | — | (35,337) | ||||||
| Expiring 03/18/26 | MSI | THB | 610,186 | 19,473,000 | 19,454,467 | 18,533 | — | ||||||
| Expiring 03/18/26 | UAG | THB | 1,215,278 | 38,832,000 | 38,746,486 | 85,514 | — | ||||||
| $7,765,926,183 | $7,882,521,000 | 6,067,309 | (122,662,126) | ||||||||||
| $34,337,190 | $(135,406,903) | ||||||||||||
| Cross currency exchange contracts outstanding at January 31, 2026: | ||||||||||||||
| Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
| OTC Cross Currency Exchange Contracts: | ||||||||||||||
| 04/22/26 | Buy | CZK | 866,348 | EUR | 35,499 | $— | $(9,626) | BOA | ||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**: | ||||||||||||||||
| Emirate of Abu Dhabi (D01) | 06/20/26 | 1.000%(Q) | 800 | $(3,739) | $71 | $(3,810) | BOA | |||||||||
| Federation of Malaysia (D01) | 06/20/26 | 1.000%(Q) | 1,600 | (7,247) | 142 | (7,389) | BOA | |||||||||
| Federative Republic of Brazil (D01) | 06/20/26 | 1.000%(Q) | 4,800 | (15,763) | 427 | (16,190) | BOA | |||||||||
| Kingdom of Saudi Arabia (D01) | 06/20/26 | 1.000%(Q) | 800 | (3,156) | 71 | (3,227) | BOA | |||||||||
| People’s Republic of China (D01) | 06/20/26 | 1.000%(Q) | 4,800 | (18,786) | 427 | (19,213) | BOA | |||||||||
| Republic of Argentina (D01) | 06/20/26 | 1.000%(Q) | 800 | 1,057 | 71 | 986 | BOA | |||||||||
| Republic of Chile (D01) | 06/20/26 | 1.000%(Q) | 800 | (3,691) | 71 | (3,762) | BOA | |||||||||
| Republic of Colombia (D01) | 06/20/26 | 1.000%(Q) | 2,000 | (4,628) | 178 | (4,806) | BOA | |||||||||
| Republic of Indonesia (D01) | 06/20/26 | 1.000%(Q) | 3,600 | (14,418) | 320 | (14,738) | BOA | |||||||||
| Republic of Panama (D01) | 06/20/26 | 1.000%(Q) | 800 | (2,524) | 71 | (2,595) | BOA | |||||||||
| Republic of Peru (D01) | 06/20/26 | 1.000%(Q) | 800 | (3,467) | 71 | (3,538) | BOA | |||||||||
| Republic of Philippines (D01) | 06/20/26 | 1.000%(Q) | 800 | (3,434) | 71 | (3,505) | BOA | |||||||||
| Republic of South Africa (D01) | 06/20/26 | 1.000%(Q) | 4,000 | (17,192) | 356 | (17,548) | BOA | |||||||||
| Republic of Turkey (D01) | 06/20/26 | 1.000%(Q) | 4,800 | (16,702) | 427 | (17,129) | BOA | |||||||||
| State of Qatar (D01) | 06/20/26 | 1.000%(Q) | 800 | (3,732) | 71 | (3,803) | BOA | |||||||||
| United Mexican States (D01) | 06/20/26 | 1.000%(Q) | 4,800 | (20,091) | 427 | (20,518) | BOA | |||||||||
| Emirate of Abu Dhabi (D02) | 06/20/26 | 1.000%(Q) | 100 | (468) | 11 | (479) | BOA | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**(cont’d.): | ||||||||||||||||
| Federation of Malaysia (D02) | 06/20/26 | 1.000%(Q) | 200 | $(906) | $23 | $(929) | BOA | |||||||||
| Federative Republic of Brazil (D02) | 06/20/26 | 1.000%(Q) | 600 | (1,971) | 68 | (2,039) | BOA | |||||||||
| Kingdom of Saudi Arabia (D02) | 06/20/26 | 1.000%(Q) | 100 | (395) | 11 | (406) | BOA | |||||||||
| People’s Republic of China (D02) | 06/20/26 | 1.000%(Q) | 600 | (2,349) | 68 | (2,417) | BOA | |||||||||
| Republic of Argentina (D02) | 06/20/26 | 1.000%(Q) | 100 | 132 | 11 | 121 | BOA | |||||||||
| Republic of Chile (D02) | 06/20/26 | 1.000%(Q) | 100 | (462) | 11 | (473) | BOA | |||||||||
| Republic of Colombia (D02) | 06/20/26 | 1.000%(Q) | 250 | (579) | 28 | (607) | BOA | |||||||||
| Republic of Indonesia (D02) | 06/20/26 | 1.000%(Q) | 450 | (1,802) | 51 | (1,853) | BOA | |||||||||
| Republic of Panama (D02) | 06/20/26 | 1.000%(Q) | 100 | (316) | 11 | (327) | BOA | |||||||||
| Republic of Peru (D02) | 06/20/26 | 1.000%(Q) | 100 | (434) | 11 | (445) | BOA | |||||||||
| Republic of Philippines (D02) | 06/20/26 | 1.000%(Q) | 100 | (430) | 11 | (441) | BOA | |||||||||
| Republic of South Africa (D02) | 06/20/26 | 1.000%(Q) | 500 | (2,149) | 57 | (2,206) | BOA | |||||||||
| Republic of Turkey (D02) | 06/20/26 | 1.000%(Q) | 600 | (2,088) | 68 | (2,156) | BOA | |||||||||
| State of Qatar (D02) | 06/20/26 | 1.000%(Q) | 100 | (467) | 11 | (478) | BOA | |||||||||
| United Mexican States (D02) | 06/20/26 | 1.000%(Q) | 600 | (2,512) | 68 | (2,580) | BOA | |||||||||
| Arab Republic of Egypt (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 677,965 | 207 | 677,758 | DB | |||||||||
| Dominican Republic (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 120,154 | 207 | 119,947 | DB | |||||||||
| Emirate of Abu Dhabi (D13) | 12/20/30 | 1.000%(Q) | 8,000 | (256,699) | 207 | (256,906) | DB | |||||||||
| Federal Republic of Nigeria (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 687,760 | 207 | 687,553 | DB | |||||||||
| Federation of Malaysia (D13) | 12/20/30 | 1.000%(Q) | 8,000 | (226,672) | 207 | (226,879) | DB | |||||||||
| Federative Republic of Brazil (D13) | 12/20/30 | 1.000%(Q) | 36,000 | 419,750 | 932 | 418,818 | DB | |||||||||
| Kingdom of Bahrain (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 338,101 | 207 | 337,894 | DB | |||||||||
| Kingdom of Morocco (D13) | 12/20/30 | 1.000%(Q) | 8,000 | (91,747) | 207 | (91,954) | DB | |||||||||
| Kingdom of Saudi Arabia (D13) | 12/20/30 | 1.000%(Q) | 36,000 | (471,955) | 932 | (472,887) | DB | |||||||||
| People’s Republic of China (D13) | 12/20/30 | 1.000%(Q) | 36,000 | (950,241) | 932 | (951,173) | DB | |||||||||
| Republic of Argentina (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 1,382,833 | 207 | 1,382,626 | DB | |||||||||
| Republic of Chile (D13) | 12/20/30 | 1.000%(Q) | 16,000 | (451,158) | 414 | (451,572) | DB | |||||||||
| Republic of Colombia (D13) | 12/20/30 | 1.000%(Q) | 24,000 | 1,054,562 | 621 | 1,053,941 | DB | |||||||||
| Republic of Indonesia (D13) | 12/20/30 | 1.000%(Q) | 28,000 | (324,124) | 725 | (324,849) | DB | |||||||||
| Republic of Ivory Coast (D13) | 12/20/30 | 1.000%(Q) | 8,000 | 507,124 | 207 | 506,917 | DB | |||||||||
| Republic of Panama (D13) | 12/20/30 | 1.000%(Q) | 12,000 | 123,163 | 311 | 122,852 | DB | |||||||||
| Republic of Peru (D13) | 12/20/30 | 1.000%(Q) | 12,000 | (226,073) | 311 | (226,384) | DB | |||||||||
| Republic of Philippines (D13) | 12/20/30 | 1.000%(Q) | 12,000 | (231,727) | 311 | (232,038) | DB | |||||||||
| Republic of South Africa (D13) | 12/20/30 | 1.000%(Q) | 36,000 | 552,168 | 932 | 551,236 | DB | |||||||||
| Republic of Turkey (D13) | 12/20/30 | 1.000%(Q) | 36,000 | 1,782,009 | 932 | 1,781,077 | DB | |||||||||
| Sultanate of Oman (D13) | 12/20/30 | 1.000%(Q) | 8,000 | (84,252) | 207 | (84,459) | DB | |||||||||
| United Mexican States (D13) | 12/20/30 | 1.000%(Q) | 36,000 | (223,860) | 932 | (224,792) | DB | |||||||||
| Arab Republic of Egypt (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 338,983 | 311 | 338,672 | DB | |||||||||
| Dominican Republic (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 60,077 | 311 | 59,766 | DB | |||||||||
| Emirate of Abu Dhabi (D14) | 12/20/30 | 1.000%(Q) | 4,000 | (128,349) | 311 | (128,660) | DB | |||||||||
| Federal Republic of Nigeria (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 343,880 | 311 | 343,569 | DB | |||||||||
| Federation of Malaysia (D14) | 12/20/30 | 1.000%(Q) | 4,000 | (113,336) | 311 | (113,647) | DB | |||||||||
| Federative Republic of Brazil (D14) | 12/20/30 | 1.000%(Q) | 18,000 | 209,875 | 1,399 | 208,476 | DB | |||||||||
| Kingdom of Bahrain (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 169,051 | 311 | 168,740 | DB | |||||||||
| Kingdom of Morocco (D14) | 12/20/30 | 1.000%(Q) | 4,000 | (45,873) | 311 | (46,184) | DB | |||||||||
| Kingdom of Saudi Arabia (D14) | 12/20/30 | 1.000%(Q) | 18,000 | (235,978) | 1,399 | (237,377) | DB | |||||||||
| People’s Republic of China (D14) | 12/20/30 | 1.000%(Q) | 18,000 | (475,120) | 1,399 | (476,519) | DB | |||||||||
| Republic of Argentina (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 691,417 | 311 | 691,106 | DB | |||||||||
| Republic of Chile (D14) | 12/20/30 | 1.000%(Q) | 8,000 | (225,579) | 622 | (226,201) | DB | |||||||||
| Republic of Colombia (D14) | 12/20/30 | 1.000%(Q) | 12,000 | 527,281 | 933 | 526,348 | DB | |||||||||
| Republic of Indonesia (D14) | 12/20/30 | 1.000%(Q) | 14,000 | (162,062) | 1,088 | (163,150) | DB | |||||||||
| Republic of Ivory Coast (D14) | 12/20/30 | 1.000%(Q) | 4,000 | 253,562 | 311 | 253,251 | DB | |||||||||
| Republic of Panama (D14) | 12/20/30 | 1.000%(Q) | 6,000 | 61,581 | 466 | 61,115 | DB | |||||||||
| Republic of Peru (D14) | 12/20/30 | 1.000%(Q) | 6,000 | (113,037) | 466 | (113,503) | DB | |||||||||
| Republic of Philippines (D14) | 12/20/30 | 1.000%(Q) | 6,000 | (115,864) | 466 | (116,330) | DB | |||||||||
| Republic of South Africa (D14) | 12/20/30 | 1.000%(Q) | 18,000 | 276,084 | 1,399 | 274,685 | DB | |||||||||
| Republic of Turkey (D14) | 12/20/30 | 1.000%(Q) | 18,000 | 891,004 | 1,399 | 889,605 | DB | |||||||||
| Sultanate of Oman (D14) | 12/20/30 | 1.000%(Q) | 4,000 | (42,126) | 311 | (42,437) | DB | |||||||||
| United Mexican States (D14) | 12/20/30 | 1.000%(Q) | 18,000 | (111,930) | 1,399 | (113,329) | DB | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**(cont’d.): | ||||||||||||||||
| Arab Republic of Egypt (D15) | 12/20/30 | 1.000%(Q) | 2,000 | $169,491 | $363 | $169,128 | DB | |||||||||
| Dominican Republic (D15) | 12/20/30 | 1.000%(Q) | 2,000 | 30,038 | 363 | 29,675 | DB | |||||||||
| Emirate of Abu Dhabi (D15) | 12/20/30 | 1.000%(Q) | 2,000 | (64,175) | 363 | (64,538) | DB | |||||||||
| Federal Republic of Nigeria (D15) | 12/20/30 | 1.000%(Q) | 2,000 | 171,940 | 363 | 171,577 | DB | |||||||||
| Federation of Malaysia (D15) | 12/20/30 | 1.000%(Q) | 2,000 | (56,668) | 363 | (57,031) | DB | |||||||||
| Federative Republic of Brazil (D15) | 12/20/30 | 1.000%(Q) | 9,000 | 104,937 | 1,635 | 103,302 | DB | |||||||||
| Kingdom of Bahrain (D15) | 12/20/30 | 1.000%(Q) | 2,000 | 84,525 | 363 | 84,162 | DB | |||||||||
| Kingdom of Morocco (D15) | 12/20/30 | 1.000%(Q) | 2,000 | (22,937) | 363 | (23,300) | DB | |||||||||
| Kingdom of Saudi Arabia (D15) | 12/20/30 | 1.000%(Q) | 9,000 | (117,989) | 1,635 | (119,624) | DB | |||||||||
| People’s Republic of China (D15) | 12/20/30 | 1.000%(Q) | 9,000 | (237,561) | 1,635 | (239,196) | DB | |||||||||
| Republic of Argentina (D15) | 12/20/30 | 1.000%(Q) | 2,000 | 345,708 | 363 | 345,345 | DB | |||||||||
| Republic of Chile (D15) | 12/20/30 | 1.000%(Q) | 4,000 | (112,789) | 727 | (113,516) | DB | |||||||||
| Republic of Colombia (D15) | 12/20/30 | 1.000%(Q) | 6,000 | 263,640 | 1,090 | 262,550 | DB | |||||||||
| Republic of Indonesia (D15) | 12/20/30 | 1.000%(Q) | 7,000 | (81,031) | 1,272 | (82,303) | DB | |||||||||
| Republic of Ivory Coast (D15) | 12/20/30 | 1.000%(Q) | 2,000 | 126,781 | 363 | 126,418 | DB | |||||||||
| Republic of Panama (D15) | 12/20/30 | 1.000%(Q) | 3,000 | 30,791 | 545 | 30,246 | DB | |||||||||
| Republic of Peru (D15) | 12/20/30 | 1.000%(Q) | 3,000 | (56,518) | 545 | (57,063) | DB | |||||||||
| Republic of Philippines (D15) | 12/20/30 | 1.000%(Q) | 3,000 | (57,932) | 545 | (58,477) | DB | |||||||||
| Republic of South Africa (D15) | 12/20/30 | 1.000%(Q) | 9,000 | 138,042 | 1,635 | 136,407 | DB | |||||||||
| Republic of Turkey (D15) | 12/20/30 | 1.000%(Q) | 9,000 | 445,502 | 1,635 | 443,867 | DB | |||||||||
| Sultanate of Oman (D15) | 12/20/30 | 1.000%(Q) | 2,000 | (21,063) | 363 | (21,426) | DB | |||||||||
| United Mexican States (D15) | 12/20/30 | 1.000%(Q) | 9,000 | (55,966) | 1,635 | (57,601) | DB | |||||||||
| Arab Republic of Egypt (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 169,492 | 416 | 169,076 | BOA | |||||||||
| Dominican Republic (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 30,039 | 416 | 29,623 | BOA | |||||||||
| Emirate of Abu Dhabi (D16) | 12/20/30 | 1.000%(Q) | 2,000 | (64,174) | 416 | (64,590) | BOA | |||||||||
| Federal Republic of Nigeria (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 171,941 | 416 | 171,525 | BOA | |||||||||
| Federation of Malaysia (D16) | 12/20/30 | 1.000%(Q) | 2,000 | (56,667) | 416 | (57,083) | BOA | |||||||||
| Federative Republic of Brazil (D16) | 12/20/30 | 1.000%(Q) | 9,000 | 104,937 | 1,870 | 103,067 | BOA | |||||||||
| Kingdom of Bahrain (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 84,526 | 416 | 84,110 | BOA | |||||||||
| Kingdom of Morocco (D16) | 12/20/30 | 1.000%(Q) | 2,000 | (22,936) | 416 | (23,352) | BOA | |||||||||
| Kingdom of Saudi Arabia (D16) | 12/20/30 | 1.000%(Q) | 9,000 | (117,989) | 1,870 | (119,859) | BOA | |||||||||
| People’s Republic of China (D16) | 12/20/30 | 1.000%(Q) | 9,000 | (237,560) | 1,870 | (239,430) | BOA | |||||||||
| Republic of Argentina (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 345,709 | 416 | 345,293 | BOA | |||||||||
| Republic of Chile (D16) | 12/20/30 | 1.000%(Q) | 4,000 | (112,790) | 831 | (113,621) | BOA | |||||||||
| Republic of Colombia (D16) | 12/20/30 | 1.000%(Q) | 6,000 | 263,641 | 1,247 | 262,394 | BOA | |||||||||
| Republic of Indonesia (D16) | 12/20/30 | 1.000%(Q) | 7,000 | (81,031) | 1,454 | (82,485) | BOA | |||||||||
| Republic of Ivory Coast (D16) | 12/20/30 | 1.000%(Q) | 2,000 | 126,781 | 416 | 126,365 | BOA | |||||||||
| Republic of Panama (D16) | 12/20/30 | 1.000%(Q) | 3,000 | 30,790 | 623 | 30,167 | BOA | |||||||||
| Republic of Peru (D16) | 12/20/30 | 1.000%(Q) | 3,000 | (56,519) | 623 | (57,142) | BOA | |||||||||
| Republic of Philippines (D16) | 12/20/30 | 1.000%(Q) | 3,000 | (57,932) | 623 | (58,555) | BOA | |||||||||
| Republic of South Africa (D16) | 12/20/30 | 1.000%(Q) | 9,000 | 138,042 | 1,870 | 136,172 | BOA | |||||||||
| Republic of Turkey (D16) | 12/20/30 | 1.000%(Q) | 9,000 | 445,502 | 1,870 | 443,632 | BOA | |||||||||
| Sultanate of Oman (D16) | 12/20/30 | 1.000%(Q) | 2,000 | (21,062) | 416 | (21,478) | BOA | |||||||||
| United Mexican States (D16) | 12/20/30 | 1.000%(Q) | 9,000 | (55,965) | 1,870 | (57,835) | BOA | |||||||||
| Arab Republic of Egypt (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 169,492 | 416 | 169,076 | BOA | |||||||||
| Dominican Republic (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 30,039 | 416 | 29,623 | BOA | |||||||||
| Emirate of Abu Dhabi (D17) | 12/20/30 | 1.000%(Q) | 2,000 | (64,174) | 416 | (64,590) | BOA | |||||||||
| Federal Republic of Nigeria (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 171,941 | 416 | 171,525 | BOA | |||||||||
| Federation of Malaysia (D17) | 12/20/30 | 1.000%(Q) | 2,000 | (56,667) | 416 | (57,083) | BOA | |||||||||
| Federative Republic of Brazil (D17) | 12/20/30 | 1.000%(Q) | 9,000 | 104,937 | 1,870 | 103,067 | BOA | |||||||||
| Kingdom of Bahrain (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 84,526 | 416 | 84,110 | BOA | |||||||||
| Kingdom of Morocco (D17) | 12/20/30 | 1.000%(Q) | 2,000 | (22,936) | 416 | (23,352) | BOA | |||||||||
| Kingdom of Saudi Arabia (D17) | 12/20/30 | 1.000%(Q) | 9,000 | (117,989) | 1,870 | (119,859) | BOA | |||||||||
| People’s Republic of China (D17) | 12/20/30 | 1.000%(Q) | 9,000 | (237,560) | 1,870 | (239,430) | BOA | |||||||||
| Republic of Argentina (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 345,709 | 416 | 345,293 | BOA | |||||||||
| Republic of Chile (D17) | 12/20/30 | 1.000%(Q) | 4,000 | (112,790) | 831 | (113,621) | BOA | |||||||||
| Republic of Colombia (D17) | 12/20/30 | 1.000%(Q) | 6,000 | 263,641 | 1,247 | 262,394 | BOA | |||||||||
| Republic of Indonesia (D17) | 12/20/30 | 1.000%(Q) | 7,000 | (81,031) | 1,454 | (82,485) | BOA | |||||||||
| Republic of Ivory Coast (D17) | 12/20/30 | 1.000%(Q) | 2,000 | 126,781 | 416 | 126,365 | BOA | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**(cont’d.): | ||||||||||||||||
| Republic of Panama (D17) | 12/20/30 | 1.000%(Q) | 3,000 | $30,790 | $623 | $30,167 | BOA | |||||||||
| Republic of Peru (D17) | 12/20/30 | 1.000%(Q) | 3,000 | (56,519) | 623 | (57,142) | BOA | |||||||||
| Republic of Philippines (D17) | 12/20/30 | 1.000%(Q) | 3,000 | (57,932) | 623 | (58,555) | BOA | |||||||||
| Republic of South Africa (D17) | 12/20/30 | 1.000%(Q) | 9,000 | 138,042 | 1,870 | 136,172 | BOA | |||||||||
| Republic of Turkey (D17) | 12/20/30 | 1.000%(Q) | 9,000 | 445,502 | 1,870 | 443,632 | BOA | |||||||||
| Sultanate of Oman (D17) | 12/20/30 | 1.000%(Q) | 2,000 | (21,062) | 416 | (21,478) | BOA | |||||||||
| United Mexican States (D17) | 12/20/30 | 1.000%(Q) | 9,000 | (55,965) | 1,870 | (57,835) | BOA | |||||||||
| Arab Republic of Egypt (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 169,491 | 572 | 168,919 | BOA | |||||||||
| Dominican Republic (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 30,038 | 572 | 29,466 | BOA | |||||||||
| Emirate of Abu Dhabi (D18) | 12/20/30 | 1.000%(Q) | 2,000 | (64,175) | 572 | (64,747) | BOA | |||||||||
| Federal Republic of Nigeria (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 171,940 | 572 | 171,368 | BOA | |||||||||
| Federation of Malaysia (D18) | 12/20/30 | 1.000%(Q) | 2,000 | (56,668) | 572 | (57,240) | BOA | |||||||||
| Federative Republic of Brazil (D18) | 12/20/30 | 1.000%(Q) | 9,000 | 104,937 | 2,575 | 102,362 | BOA | |||||||||
| Kingdom of Bahrain (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 84,525 | 572 | 83,953 | BOA | |||||||||
| Kingdom of Morocco (D18) | 12/20/30 | 1.000%(Q) | 2,000 | (22,937) | 572 | (23,509) | BOA | |||||||||
| Kingdom of Saudi Arabia (D18) | 12/20/30 | 1.000%(Q) | 9,000 | (117,989) | 2,575 | (120,564) | BOA | |||||||||
| People’s Republic of China (D18) | 12/20/30 | 1.000%(Q) | 9,000 | (237,561) | 2,575 | (240,136) | BOA | |||||||||
| Republic of Argentina (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 345,708 | 572 | 345,136 | BOA | |||||||||
| Republic of Chile (D18) | 12/20/30 | 1.000%(Q) | 4,000 | (112,789) | 1,145 | (113,934) | BOA | |||||||||
| Republic of Colombia (D18) | 12/20/30 | 1.000%(Q) | 6,000 | 263,641 | 1,717 | 261,924 | BOA | |||||||||
| Republic of Indonesia (D18) | 12/20/30 | 1.000%(Q) | 7,000 | (81,031) | 2,003 | (83,034) | BOA | |||||||||
| Republic of Ivory Coast (D18) | 12/20/30 | 1.000%(Q) | 2,000 | 126,781 | 572 | 126,209 | BOA | |||||||||
| Republic of Panama (D18) | 12/20/30 | 1.000%(Q) | 3,000 | 30,790 | 858 | 29,932 | BOA | |||||||||
| Republic of Peru (D18) | 12/20/30 | 1.000%(Q) | 3,000 | (56,519) | 858 | (57,377) | BOA | |||||||||
| Republic of Philippines (D18) | 12/20/30 | 1.000%(Q) | 3,000 | (57,932) | 858 | (58,790) | BOA | |||||||||
| Republic of South Africa (D18) | 12/20/30 | 1.000%(Q) | 9,000 | 138,042 | 2,575 | 135,467 | BOA | |||||||||
| Republic of Turkey (D18) | 12/20/30 | 1.000%(Q) | 9,000 | 445,502 | 2,575 | 442,927 | BOA | |||||||||
| Sultanate of Oman (D18) | 12/20/30 | 1.000%(Q) | 2,000 | (21,063) | 572 | (21,635) | BOA | |||||||||
| United Mexican States (D18) | 12/20/30 | 1.000%(Q) | 9,000 | (55,965) | 2,575 | (58,540) | BOA | |||||||||
| Arab Republic of Egypt (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 381,355 | 2,709 | 378,646 | DB | |||||||||
| Dominican Republic (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 67,586 | 2,709 | 64,877 | DB | |||||||||
| Federal Republic of Nigeria (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 386,865 | 2,709 | 384,156 | DB | |||||||||
| Federative Republic of Brazil (D19) | 12/20/30 | 1.000%(Q) | 18,500 | 215,705 | 11,139 | 204,566 | DB | |||||||||
| Kingdom of Bahrain (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 190,182 | 2,709 | 187,473 | DB | |||||||||
| Kingdom of Morocco (D19) | 12/20/30 | 1.000%(Q) | 4,500 | (51,608) | 2,709 | (54,317) | DB | |||||||||
| Republic of Argentina (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 777,843 | 2,709 | 775,134 | DB | |||||||||
| Republic of Colombia (D19) | 12/20/30 | 1.000%(Q) | 13,000 | 571,221 | 7,827 | 563,394 | DB | |||||||||
| Republic of Ivory Coast (D19) | 12/20/30 | 1.000%(Q) | 4,500 | 285,257 | 2,709 | 282,548 | DB | |||||||||
| Republic of South Africa (D19) | 12/20/30 | 1.000%(Q) | 18,500 | 283,753 | 11,139 | 272,614 | DB | |||||||||
| Republic of Turkey (D19) | 12/20/30 | 1.000%(Q) | 18,500 | 915,755 | 11,139 | 904,616 | DB | |||||||||
| Arab Republic of Egypt (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 338,983 | 2,940 | 336,043 | BOA | |||||||||
| Dominican Republic (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 60,077 | 2,940 | 57,137 | BOA | |||||||||
| Emirate of Abu Dhabi (D20) | 12/20/30 | 1.000%(Q) | 4,000 | (128,349) | 2,940 | (131,289) | BOA | |||||||||
| Federal Republic of Nigeria (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 343,880 | 2,940 | 340,940 | BOA | |||||||||
| Federation of Malaysia (D20) | 12/20/30 | 1.000%(Q) | 4,000 | (113,336) | 2,940 | (116,276) | BOA | |||||||||
| Federative Republic of Brazil (D20) | 12/20/30 | 1.000%(Q) | 18,000 | 209,874 | 13,228 | 196,646 | BOA | |||||||||
| Kingdom of Bahrain (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 169,051 | 2,940 | 166,111 | BOA | |||||||||
| Kingdom of Morocco (D20) | 12/20/30 | 1.000%(Q) | 4,000 | (45,873) | 2,940 | (48,813) | BOA | |||||||||
| Kingdom of Saudi Arabia (D20) | 12/20/30 | 1.000%(Q) | 18,000 | (235,978) | 13,228 | (249,206) | BOA | |||||||||
| People’s Republic of China (D20) | 12/20/30 | 1.000%(Q) | 18,000 | (475,121) | 13,228 | (488,349) | BOA | |||||||||
| Republic of Argentina (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 691,417 | 2,940 | 688,477 | BOA | |||||||||
| Republic of Chile (D20) | 12/20/30 | 1.000%(Q) | 8,000 | (225,579) | 5,879 | (231,458) | BOA | |||||||||
| Republic of Colombia (D20) | 12/20/30 | 1.000%(Q) | 12,000 | 527,281 | 8,819 | 518,462 | BOA | |||||||||
| Republic of Indonesia (D20) | 12/20/30 | 1.000%(Q) | 14,000 | (162,062) | 10,289 | (172,351) | BOA | |||||||||
| Republic of Ivory Coast (D20) | 12/20/30 | 1.000%(Q) | 4,000 | 253,562 | 2,940 | 250,622 | BOA | |||||||||
| Republic of Panama (D20) | 12/20/30 | 1.000%(Q) | 6,000 | 61,581 | 4,409 | 57,172 | BOA | |||||||||
| Republic of Peru (D20) | 12/20/30 | 1.000%(Q) | 6,000 | (113,037) | 4,409 | (117,446) | BOA | |||||||||
| Republic of Philippines (D20) | 12/20/30 | 1.000%(Q) | 6,000 | (115,864) | 4,409 | (120,273) | BOA | |||||||||
| Republic of South Africa (D20) | 12/20/30 | 1.000%(Q) | 18,000 | 276,083 | 13,228 | 262,855 | BOA | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**(cont’d.): | ||||||||||||||||
| Republic of Turkey (D20) | 12/20/30 | 1.000%(Q) | 18,000 | $891,004 | $13,228 | $877,776 | BOA | |||||||||
| Sultanate of Oman (D20) | 12/20/30 | 1.000%(Q) | 4,000 | (42,126) | 2,940 | (45,066) | BOA | |||||||||
| United Mexican States (D20) | 12/20/30 | 1.000%(Q) | 18,000 | (111,931) | 13,228 | (125,159) | BOA | |||||||||
| Arab Republic of Egypt (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 338,982 | 3,046 | 335,936 | BOA | |||||||||
| Dominican Republic (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 60,077 | 3,046 | 57,031 | BOA | |||||||||
| Emirate of Abu Dhabi (D21) | 12/20/30 | 1.000%(Q) | 4,000 | (128,350) | 3,046 | (131,396) | BOA | |||||||||
| Federal Republic of Nigeria (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 343,880 | 3,046 | 340,834 | BOA | |||||||||
| Federation of Malaysia (D21) | 12/20/30 | 1.000%(Q) | 4,000 | (113,336) | 3,046 | (116,382) | BOA | |||||||||
| Federative Republic of Brazil (D21) | 12/20/30 | 1.000%(Q) | 18,000 | 209,875 | 13,708 | 196,167 | BOA | |||||||||
| Kingdom of Bahrain (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 169,050 | 3,046 | 166,004 | BOA | |||||||||
| Kingdom of Morocco (D21) | 12/20/30 | 1.000%(Q) | 4,000 | (45,874) | 3,046 | (48,920) | BOA | |||||||||
| Kingdom of Saudi Arabia (D21) | 12/20/30 | 1.000%(Q) | 18,000 | (235,978) | 13,708 | (249,686) | BOA | |||||||||
| People’s Republic of China (D21) | 12/20/30 | 1.000%(Q) | 18,000 | (475,121) | 13,708 | (488,829) | BOA | |||||||||
| Republic of Argentina (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 691,416 | 3,046 | 688,370 | BOA | |||||||||
| Republic of Chile (D21) | 12/20/30 | 1.000%(Q) | 8,000 | (225,579) | 6,092 | (231,671) | BOA | |||||||||
| Republic of Colombia (D21) | 12/20/30 | 1.000%(Q) | 12,000 | 527,281 | 9,139 | 518,142 | BOA | |||||||||
| Republic of Indonesia (D21) | 12/20/30 | 1.000%(Q) | 14,000 | (162,062) | 10,662 | (172,724) | BOA | |||||||||
| Republic of Ivory Coast (D21) | 12/20/30 | 1.000%(Q) | 4,000 | 253,562 | 3,046 | 250,516 | BOA | |||||||||
| Republic of Panama (D21) | 12/20/30 | 1.000%(Q) | 6,000 | 61,581 | 4,569 | 57,012 | BOA | |||||||||
| Republic of Peru (D21) | 12/20/30 | 1.000%(Q) | 6,000 | (113,037) | 4,569 | (117,606) | BOA | |||||||||
| Republic of Philippines (D21) | 12/20/30 | 1.000%(Q) | 6,000 | (115,864) | 4,569 | (120,433) | BOA | |||||||||
| Republic of South Africa (D21) | 12/20/30 | 1.000%(Q) | 18,000 | 276,084 | 13,708 | 262,376 | BOA | |||||||||
| Republic of Turkey (D21) | 12/20/30 | 1.000%(Q) | 18,000 | 891,004 | 13,708 | 877,296 | BOA | |||||||||
| Sultanate of Oman (D21) | 12/20/30 | 1.000%(Q) | 4,000 | (42,126) | 3,046 | (45,172) | BOA | |||||||||
| United Mexican States (D21) | 12/20/30 | 1.000%(Q) | 18,000 | (111,931) | 13,708 | (125,639) | BOA | |||||||||
| Arab Republic of Egypt (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 423,728 | 3,941 | 419,787 | DB | |||||||||
| Dominican Republic (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 75,096 | 3,941 | 71,155 | DB | |||||||||
| Emirate of Abu Dhabi (D22) | 12/20/30 | 1.000%(Q) | 5,000 | (160,437) | 3,941 | (164,378) | DB | |||||||||
| Federal Republic of Nigeria (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 429,850 | 3,941 | 425,909 | DB | |||||||||
| Federation of Malaysia (D22) | 12/20/30 | 1.000%(Q) | 5,000 | (141,670) | 3,941 | (145,611) | DB | |||||||||
| Federative Republic of Brazil (D22) | 12/20/30 | 1.000%(Q) | 22,500 | 262,343 | 17,735 | 244,608 | DB | |||||||||
| Kingdom of Bahrain (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 211,313 | 3,941 | 207,372 | DB | |||||||||
| Kingdom of Morocco (D22) | 12/20/30 | 1.000%(Q) | 5,000 | (57,342) | 3,941 | (61,283) | DB | |||||||||
| Kingdom of Saudi Arabia (D22) | 12/20/30 | 1.000%(Q) | 22,500 | (294,973) | 17,735 | (312,708) | DB | |||||||||
| People’s Republic of China (D22) | 12/20/30 | 1.000%(Q) | 22,500 | (593,901) | 17,735 | (611,636) | DB | |||||||||
| Republic of Argentina (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 864,271 | 3,941 | 860,330 | DB | |||||||||
| Republic of Chile (D22) | 12/20/30 | 1.000%(Q) | 10,000 | (281,974) | 7,882 | (289,856) | DB | |||||||||
| Republic of Colombia (D22) | 12/20/30 | 1.000%(Q) | 15,000 | 659,102 | 11,824 | 647,278 | DB | |||||||||
| Republic of Indonesia (D22) | 12/20/30 | 1.000%(Q) | 17,500 | (202,578) | 13,794 | (216,372) | DB | |||||||||
| Republic of Ivory Coast (D22) | 12/20/30 | 1.000%(Q) | 5,000 | 316,952 | 3,941 | 313,011 | DB | |||||||||
| Republic of Panama (D22) | 12/20/30 | 1.000%(Q) | 7,500 | 76,977 | 5,912 | 71,065 | DB | |||||||||
| Republic of Peru (D22) | 12/20/30 | 1.000%(Q) | 7,500 | (141,296) | 5,912 | (147,208) | DB | |||||||||
| Republic of Philippines (D22) | 12/20/30 | 1.000%(Q) | 7,500 | (144,829) | 5,912 | (150,741) | DB | |||||||||
| Republic of South Africa (D22) | 12/20/30 | 1.000%(Q) | 22,500 | 345,104 | 17,735 | 327,369 | DB | |||||||||
| Republic of Turkey (D22) | 12/20/30 | 1.000%(Q) | 22,500 | 1,113,755 | 17,735 | 1,096,020 | DB | |||||||||
| Sultanate of Oman (D22) | 12/20/30 | 1.000%(Q) | 5,000 | (52,658) | 3,941 | (56,599) | DB | |||||||||
| United Mexican States (D22) | 12/20/30 | 1.000%(Q) | 22,500 | (139,913) | 17,735 | (157,648) | DB | |||||||||
| $20,810,900 | $674,579 | $20,136,321 | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**: | |||||||||||||||||
| Emirate of Abu Dhabi (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.099% | $4,537 | $(181) | $4,718 | BOA | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Federation of Malaysia (D03) | 12/20/26 | 1.000%(Q) | 1,000 | 0.135% | $8,760 | $(362) | $9,122 | BOA | |||||||||
| Federative Republic of Brazil (D03) | 12/20/26 | 1.000%(Q) | 3,000 | 0.493% | 16,789 | (1,086) | 17,875 | BOA | |||||||||
| Kingdom of Saudi Arabia (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.330% | 3,519 | (181) | 3,700 | BOA | |||||||||
| People’s Republic of China (D03) | 12/20/26 | 1.000%(Q) | 3,000 | 0.323% | 21,280 | (1,086) | 22,366 | BOA | |||||||||
| Republic of Argentina (D03) | 12/20/26 | 1.000%(Q) | 500 | 2.178% | (4,566) | (181) | (4,385) | BOA | |||||||||
| Republic of Chile (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.124% | 4,430 | (181) | 4,611 | BOA | |||||||||
| Republic of Colombia (D03) | 12/20/26 | 1.000%(Q) | 1,250 | 0.835% | 3,230 | (452) | 3,682 | BOA | |||||||||
| Republic of Indonesia (D03) | 12/20/26 | 1.000%(Q) | 2,250 | 0.279% | 16,829 | (814) | 17,643 | BOA | |||||||||
| Republic of Panama (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.535% | 2,612 | (181) | 2,793 | BOA | |||||||||
| Republic of Peru (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.211% | 4,042 | (181) | 4,223 | BOA | |||||||||
| Republic of Philippines (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.192% | 4,126 | (181) | 4,307 | BOA | |||||||||
| Republic of South Africa (D03) | 12/20/26 | 1.000%(Q) | 2,750 | 0.295% | 20,201 | (995) | 21,196 | BOA | |||||||||
| Republic of Turkey (D03) | 12/20/26 | 1.000%(Q) | 3,000 | 0.673% | 12,043 | (1,086) | 13,129 | BOA | |||||||||
| State of Qatar (D03) | 12/20/26 | 1.000%(Q) | 500 | 0.095% | 4,556 | (181) | 4,737 | BOA | |||||||||
| United Mexican States (D03) | 12/20/26 | 1.000%(Q) | 2,750 | 0.281% | 20,547 | (995) | 21,542 | BOA | |||||||||
| Emirate of Abu Dhabi (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.099% | 36,293 | (1,639) | 37,932 | CITI | |||||||||
| Federation of Malaysia (D04) | 12/20/26 | 1.000%(Q) | 8,000 | 0.135% | 70,078 | (3,279) | 73,357 | CITI | |||||||||
| Federative Republic of Brazil (D04) | 12/20/26 | 1.000%(Q) | 24,000 | 0.493% | 134,318 | (9,836) | 144,154 | CITI | |||||||||
| Kingdom of Saudi Arabia (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.330% | 28,157 | (1,639) | 29,796 | CITI | |||||||||
| People’s Republic of China (D04) | 12/20/26 | 1.000%(Q) | 24,000 | 0.323% | 170,243 | (9,836) | 180,079 | CITI | |||||||||
| Republic of Argentina (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 2.178% | (36,524) | (1,639) | (34,885) | CITI | |||||||||
| Republic of Chile (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.124% | 35,440 | (1,639) | 37,079 | CITI | |||||||||
| Republic of Colombia (D04) | 12/20/26 | 1.000%(Q) | 10,000 | 0.835% | 25,834 | (4,098) | 29,932 | CITI | |||||||||
| Republic of Indonesia (D04) | 12/20/26 | 1.000%(Q) | 18,000 | 0.279% | 134,632 | (7,377) | 142,009 | CITI | |||||||||
| Republic of Panama (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.535% | 20,900 | (1,639) | 22,539 | CITI | |||||||||
| Republic of Peru (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.211% | 32,337 | (1,639) | 33,976 | CITI | |||||||||
| Republic of Philippines (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.192% | 33,009 | (1,639) | 34,648 | CITI | |||||||||
| Republic of South Africa (D04) | 12/20/26 | 1.000%(Q) | 22,000 | 0.295% | 161,611 | (9,016) | 170,627 | CITI | |||||||||
| Republic of Turkey (D04) | 12/20/26 | 1.000%(Q) | 24,000 | 0.673% | 96,343 | (9,836) | 106,179 | CITI | |||||||||
| State of Qatar (D04) | 12/20/26 | 1.000%(Q) | 4,000 | 0.095% | 36,445 | (1,639) | 38,084 | CITI | |||||||||
| United Mexican States (D04) | 12/20/26 | 1.000%(Q) | 22,000 | 0.281% | 164,374 | (9,016) | 173,390 | CITI | |||||||||
| Emirate of Abu Dhabi (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.099% | 18,146 | (820) | 18,966 | MSI | |||||||||
| Federation of Malaysia (D05) | 12/20/26 | 1.000%(Q) | 4,000 | 0.135% | 35,040 | (1,639) | 36,679 | MSI | |||||||||
| Federative Republic of Brazil (D05) | 12/20/26 | 1.000%(Q) | 12,000 | 0.493% | 67,159 | (4,918) | 72,077 | MSI | |||||||||
| Kingdom of Saudi Arabia (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.330% | 14,078 | (820) | 14,898 | MSI | |||||||||
| People’s Republic of China (D05) | 12/20/26 | 1.000%(Q) | 12,000 | 0.323% | 85,122 | (4,918) | 90,040 | MSI | |||||||||
| Republic of Argentina (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 2.178% | (18,262) | (820) | (17,442) | MSI | |||||||||
| Republic of Chile (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.124% | 17,720 | (820) | 18,540 | MSI | |||||||||
| Republic of Colombia (D05) | 12/20/26 | 1.000%(Q) | 5,000 | 0.835% | 12,917 | (2,049) | 14,966 | MSI | |||||||||
| Republic of Indonesia (D05) | 12/20/26 | 1.000%(Q) | 9,000 | 0.279% | 67,317 | (3,688) | 71,005 | MSI | |||||||||
| Republic of Panama (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.535% | 10,450 | (820) | 11,270 | MSI | |||||||||
| Republic of Peru (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.211% | 16,168 | (820) | 16,988 | MSI | |||||||||
| Republic of Philippines (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.192% | 16,504 | (820) | 17,324 | MSI | |||||||||
| Republic of South Africa (D05) | 12/20/26 | 1.000%(Q) | 11,000 | 0.295% | 80,806 | (4,508) | 85,314 | MSI | |||||||||
| Republic of Turkey (D05) | 12/20/26 | 1.000%(Q) | 12,000 | 0.673% | 48,172 | (4,918) | 53,090 | MSI | |||||||||
| State of Qatar (D05) | 12/20/26 | 1.000%(Q) | 2,000 | 0.095% | 18,222 | (820) | 19,042 | MSI | |||||||||
| United Mexican States (D05) | 12/20/26 | 1.000%(Q) | 11,000 | 0.281% | 82,187 | (4,508) | 86,695 | MSI | |||||||||
| Emirate of Abu Dhabi (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.099% | 90,733 | (4,098) | 94,831 | BARC | |||||||||
| Federation of Malaysia (D06) | 12/20/26 | 1.000%(Q) | 20,000 | 0.135% | 175,196 | (8,197) | 183,393 | BARC | |||||||||
| Federative Republic of Brazil (D06) | 12/20/26 | 1.000%(Q) | 60,000 | 0.493% | 335,795 | (24,590) | 360,385 | BARC | |||||||||
| Kingdom of Saudi Arabia (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.330% | 70,391 | (4,098) | 74,489 | BARC | |||||||||
| People’s Republic of China (D06) | 12/20/26 | 1.000%(Q) | 60,000 | 0.323% | 425,607 | (24,590) | 450,197 | BARC | |||||||||
| Republic of Argentina (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 2.178% | (91,310) | (4,098) | (87,212) | BARC | |||||||||
| Republic of Chile (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.124% | 88,601 | (4,098) | 92,699 | BARC | |||||||||
| Republic of Colombia (D06) | 12/20/26 | 1.000%(Q) | 25,000 | 0.835% | 64,585 | (10,246) | 74,831 | BARC | |||||||||
| Republic of Indonesia (D06) | 12/20/26 | 1.000%(Q) | 45,000 | 0.279% | 336,581 | (18,442) | 355,023 | BARC | |||||||||
| Republic of Panama (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.535% | 52,250 | (4,098) | 56,348 | BARC | |||||||||
| Republic of Peru (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.211% | 80,842 | (4,098) | 84,940 | BARC | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Republic of Philippines (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.192% | $82,522 | $(4,098) | $86,620 | BARC | |||||||||
| Republic of South Africa (D06) | 12/20/26 | 1.000%(Q) | 55,000 | 0.295% | 404,028 | (22,540) | 426,568 | BARC | |||||||||
| Republic of Turkey (D06) | 12/20/26 | 1.000%(Q) | 60,000 | 0.673% | 240,858 | (24,590) | 265,448 | BARC | |||||||||
| State of Qatar (D06) | 12/20/26 | 1.000%(Q) | 10,000 | 0.095% | 91,113 | (4,098) | 95,211 | BARC | |||||||||
| United Mexican States (D06) | 12/20/26 | 1.000%(Q) | 55,000 | 0.281% | 410,935 | (22,540) | 433,475 | BARC | |||||||||
| Emirate of Abu Dhabi (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.099% | 18,146 | (917) | 19,063 | MSI | |||||||||
| Federation of Malaysia (D07) | 12/20/26 | 1.000%(Q) | 4,000 | 0.135% | 35,039 | (1,833) | 36,872 | MSI | |||||||||
| Federative Republic of Brazil (D07) | 12/20/26 | 1.000%(Q) | 12,000 | 0.493% | 67,159 | (5,500) | 72,659 | MSI | |||||||||
| Kingdom of Saudi Arabia (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.330% | 14,078 | (917) | 14,995 | MSI | |||||||||
| People’s Republic of China (D07) | 12/20/26 | 1.000%(Q) | 12,000 | 0.323% | 85,121 | (5,500) | 90,621 | MSI | |||||||||
| Republic of Argentina (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 2.178% | (18,263) | (917) | (17,346) | MSI | |||||||||
| Republic of Chile (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.124% | 17,720 | (917) | 18,637 | MSI | |||||||||
| Republic of Colombia (D07) | 12/20/26 | 1.000%(Q) | 5,000 | 0.835% | 12,917 | (2,291) | 15,208 | MSI | |||||||||
| Republic of Indonesia (D07) | 12/20/26 | 1.000%(Q) | 9,000 | 0.279% | 67,316 | (4,125) | 71,441 | MSI | |||||||||
| Republic of Panama (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.535% | 10,450 | (917) | 11,367 | MSI | |||||||||
| Republic of Peru (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.211% | 16,168 | (917) | 17,085 | MSI | |||||||||
| Republic of Philippines (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.192% | 16,504 | (917) | 17,421 | MSI | |||||||||
| Republic of South Africa (D07) | 12/20/26 | 1.000%(Q) | 11,000 | 0.295% | 80,806 | (5,041) | 85,847 | MSI | |||||||||
| Republic of Turkey (D07) | 12/20/26 | 1.000%(Q) | 12,000 | 0.673% | 48,171 | (5,500) | 53,671 | MSI | |||||||||
| State of Qatar (D07) | 12/20/26 | 1.000%(Q) | 2,000 | 0.095% | 18,222 | (917) | 19,139 | MSI | |||||||||
| United Mexican States (D07) | 12/20/26 | 1.000%(Q) | 11,000 | 0.281% | 82,187 | (5,041) | 87,228 | MSI | |||||||||
| Emirate of Abu Dhabi (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.099% | 18,146 | (167) | 18,313 | MSI | |||||||||
| Federation of Malaysia (D08) | 12/20/26 | 1.000%(Q) | 4,000 | 0.135% | 35,039 | (333) | 35,372 | MSI | |||||||||
| Federative Republic of Brazil (D08) | 12/20/26 | 1.000%(Q) | 12,000 | 0.493% | 67,159 | (999) | 68,158 | MSI | |||||||||
| Kingdom of Saudi Arabia (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.330% | 14,078 | (167) | 14,245 | MSI | |||||||||
| People’s Republic of China (D08) | 12/20/26 | 1.000%(Q) | 12,000 | 0.323% | 85,122 | (999) | 86,121 | MSI | |||||||||
| Republic of Argentina (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 2.178% | (18,263) | (167) | (18,096) | MSI | |||||||||
| Republic of Chile (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.124% | 17,720 | (167) | 17,887 | MSI | |||||||||
| Republic of Colombia (D08) | 12/20/26 | 1.000%(Q) | 5,000 | 0.835% | 12,917 | (416) | 13,333 | MSI | |||||||||
| Republic of Indonesia (D08) | 12/20/26 | 1.000%(Q) | 9,000 | 0.279% | 67,316 | (749) | 68,065 | MSI | |||||||||
| Republic of Panama (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.535% | 10,449 | (167) | 10,616 | MSI | |||||||||
| Republic of Peru (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.211% | 16,168 | (167) | 16,335 | MSI | |||||||||
| Republic of Philippines (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.192% | 16,504 | (167) | 16,671 | MSI | |||||||||
| Republic of South Africa (D08) | 12/20/26 | 1.000%(Q) | 11,000 | 0.295% | 80,805 | (916) | 81,721 | MSI | |||||||||
| Republic of Turkey (D08) | 12/20/26 | 1.000%(Q) | 12,000 | 0.673% | 48,172 | (999) | 49,171 | MSI | |||||||||
| State of Qatar (D08) | 12/20/26 | 1.000%(Q) | 2,000 | 0.095% | 18,222 | (167) | 18,389 | MSI | |||||||||
| United Mexican States (D08) | 12/20/26 | 1.000%(Q) | 11,000 | 0.281% | 82,187 | (916) | 83,103 | MSI | |||||||||
| Emirate of Abu Dhabi (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.099% | 36,293 | (333) | 36,626 | MSI | |||||||||
| Federation of Malaysia (D09) | 12/20/26 | 1.000%(Q) | 8,000 | 0.135% | 70,079 | (666) | 70,745 | MSI | |||||||||
| Federative Republic of Brazil (D09) | 12/20/26 | 1.000%(Q) | 24,000 | 0.493% | 134,318 | (1,998) | 136,316 | MSI | |||||||||
| Kingdom of Saudi Arabia (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.330% | 28,156 | (333) | 28,489 | MSI | |||||||||
| People’s Republic of China (D09) | 12/20/26 | 1.000%(Q) | 24,000 | 0.323% | 170,243 | (1,998) | 172,241 | MSI | |||||||||
| Republic of Argentina (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 2.178% | (36,524) | (333) | (36,191) | MSI | |||||||||
| Republic of Chile (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.124% | 35,440 | (333) | 35,773 | MSI | |||||||||
| Republic of Colombia (D09) | 12/20/26 | 1.000%(Q) | 10,000 | 0.835% | 25,834 | (833) | 26,667 | MSI | |||||||||
| Republic of Indonesia (D09) | 12/20/26 | 1.000%(Q) | 18,000 | 0.279% | 134,632 | (1,499) | 136,131 | MSI | |||||||||
| Republic of Panama (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.535% | 20,900 | (333) | 21,233 | MSI | |||||||||
| Republic of Peru (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.211% | 32,337 | (333) | 32,670 | MSI | |||||||||
| Republic of Philippines (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.192% | 33,009 | (333) | 33,342 | MSI | |||||||||
| Republic of South Africa (D09) | 12/20/26 | 1.000%(Q) | 22,000 | 0.295% | 161,611 | (1,832) | 163,443 | MSI | |||||||||
| Republic of Turkey (D09) | 12/20/26 | 1.000%(Q) | 24,000 | 0.673% | 96,343 | (1,998) | 98,341 | MSI | |||||||||
| State of Qatar (D09) | 12/20/26 | 1.000%(Q) | 4,000 | 0.095% | 36,445 | (333) | 36,778 | MSI | |||||||||
| United Mexican States (D09) | 12/20/26 | 1.000%(Q) | 22,000 | 0.281% | 164,373 | (1,832) | 166,205 | MSI | |||||||||
| Emirate of Abu Dhabi (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.086% | 7,010 | (64) | 7,074 | BARC | |||||||||
| Federation of Malaysia (D10) | 06/20/26 | 1.000%(Q) | 3,000 | 0.123% | 13,588 | (128) | 13,716 | BARC | |||||||||
| Federative Republic of Brazil (D10) | 06/20/26 | 1.000%(Q) | 9,000 | 0.445% | 29,555 | (385) | 29,940 | BARC | |||||||||
| Kingdom of Saudi Arabia (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.274% | 5,916 | (64) | 5,980 | BARC | |||||||||
| People’s Republic of China (D10) | 06/20/26 | 1.000%(Q) | 9,000 | 0.282% | 35,224 | (385) | 35,609 | BARC | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Republic of Argentina (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 1.638% | $(1,982) | $(64) | $(1,918) | BARC | |||||||||
| Republic of Chile (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.101% | 6,921 | (64) | 6,985 | BARC | |||||||||
| Republic of Colombia (D10) | 06/20/26 | 1.000%(Q) | 3,750 | 0.696% | 8,678 | (160) | 8,838 | BARC | |||||||||
| Republic of Indonesia (D10) | 06/20/26 | 1.000%(Q) | 6,750 | 0.258% | 27,034 | (289) | 27,323 | BARC | |||||||||
| Republic of Panama (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.478% | 4,733 | (64) | 4,797 | BARC | |||||||||
| Republic of Peru (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.174% | 6,500 | (64) | 6,564 | BARC | |||||||||
| Republic of Philippines (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.184% | 6,439 | (64) | 6,503 | BARC | |||||||||
| Republic of South Africa (D10) | 06/20/26 | 1.000%(Q) | 7,500 | 0.183% | 32,236 | (321) | 32,557 | BARC | |||||||||
| Republic of Turkey (D10) | 06/20/26 | 1.000%(Q) | 9,000 | 0.394% | 31,316 | (385) | 31,701 | BARC | |||||||||
| State of Qatar (D10) | 06/20/26 | 1.000%(Q) | 1,500 | 0.088% | 6,997 | (64) | 7,061 | BARC | |||||||||
| United Mexican States (D10) | 06/20/26 | 1.000%(Q) | 9,000 | 0.212% | 37,670 | (385) | 38,055 | BARC | |||||||||
| Emirate of Abu Dhabi (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.099% | 2,722 | (30) | 2,752 | BOA | |||||||||
| Federation of Malaysia (D11) | 12/20/26 | 1.000%(Q) | 600 | 0.135% | 5,256 | (59) | 5,315 | BOA | |||||||||
| Federative Republic of Brazil (D11) | 12/20/26 | 1.000%(Q) | 1,800 | 0.493% | 10,074 | (178) | 10,252 | BOA | |||||||||
| Kingdom of Saudi Arabia (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.330% | 2,111 | (30) | 2,141 | BOA | |||||||||
| People’s Republic of China (D11) | 12/20/26 | 1.000%(Q) | 1,800 | 0.323% | 12,769 | (178) | 12,947 | BOA | |||||||||
| Republic of Argentina (D11) | 12/20/26 | 1.000%(Q) | 300 | 2.178% | (2,740) | (30) | (2,710) | BOA | |||||||||
| Republic of Chile (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.124% | 2,658 | (30) | 2,688 | BOA | |||||||||
| Republic of Colombia (D11) | 12/20/26 | 1.000%(Q) | 750 | 0.835% | 1,938 | (74) | 2,012 | BOA | |||||||||
| Republic of Indonesia (D11) | 12/20/26 | 1.000%(Q) | 1,350 | 0.279% | 10,097 | (134) | 10,231 | BOA | |||||||||
| Republic of Panama (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.535% | 1,567 | (30) | 1,597 | BOA | |||||||||
| Republic of Peru (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.211% | 2,425 | (30) | 2,455 | BOA | |||||||||
| Republic of Philippines (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.192% | 2,475 | (30) | 2,505 | BOA | |||||||||
| Republic of South Africa (D11) | 12/20/26 | 1.000%(Q) | 1,650 | 0.295% | 12,121 | (163) | 12,284 | BOA | |||||||||
| Republic of Turkey (D11) | 12/20/26 | 1.000%(Q) | 1,800 | 0.673% | 7,226 | (178) | 7,404 | BOA | |||||||||
| State of Qatar (D11) | 12/20/26 | 1.000%(Q) | 300 | 0.095% | 2,733 | (30) | 2,763 | BOA | |||||||||
| United Mexican States (D11) | 12/20/26 | 1.000%(Q) | 1,650 | 0.281% | 12,328 | (163) | 12,491 | BOA | |||||||||
| Arab Republic of Egypt (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 1.884% | (10,746) | (693) | (10,053) | BOA | |||||||||
| Emirate of Abu Dhabi (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 0.124% | 13,092 | (693) | 13,785 | BOA | |||||||||
| Federation of Malaysia (D12) | 06/20/27 | 1.000%(Q) | 1,500 | 0.169% | 18,714 | (1,040) | 19,754 | BOA | |||||||||
| Federative Republic of Brazil (D12) | 06/20/27 | 1.000%(Q) | 6,000 | 0.541% | 44,254 | (4,159) | 48,413 | BOA | |||||||||
| Kingdom of Saudi Arabia (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 0.391% | 9,436 | (693) | 10,129 | BOA | |||||||||
| People’s Republic of China (D12) | 06/20/27 | 1.000%(Q) | 6,000 | 0.339% | 60,820 | (4,159) | 64,979 | BOA | |||||||||
| Republic of Argentina (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 3.450% | (31,557) | (693) | (30,864) | BOA | |||||||||
| Republic of Chile (D12) | 06/20/27 | 1.000%(Q) | 1,500 | 0.145% | 19,204 | (1,040) | 20,244 | BOA | |||||||||
| Republic of Colombia (D12) | 06/20/27 | 1.000%(Q) | 3,000 | 1.025% | 2,415 | (2,080) | 4,495 | BOA | |||||||||
| Republic of Indonesia (D12) | 06/20/27 | 1.000%(Q) | 4,500 | 0.359% | 44,390 | (3,119) | 47,509 | BOA | |||||||||
| Republic of Panama (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 0.590% | 6,710 | (693) | 7,403 | BOA | |||||||||
| Republic of Peru (D12) | 06/20/27 | 1.000%(Q) | 1,500 | 0.231% | 17,439 | (1,040) | 18,479 | BOA | |||||||||
| Republic of Philippines (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 0.259% | 11,231 | (693) | 11,924 | BOA | |||||||||
| Republic of South Africa (D12) | 06/20/27 | 1.000%(Q) | 6,000 | 0.445% | 52,136 | (4,159) | 56,295 | BOA | |||||||||
| Republic of Turkey (D12) | 06/20/27 | 1.000%(Q) | 6,000 | 0.962% | 9,895 | (4,159) | 14,054 | BOA | |||||||||
| State of Qatar (D12) | 06/20/27 | 1.000%(Q) | 1,000 | 0.112% | 13,257 | (693) | 13,950 | BOA | |||||||||
| United Mexican States (D12) | 06/20/27 | 1.000%(Q) | 6,000 | 0.354% | 59,603 | (4,159) | 63,762 | BOA | |||||||||
| ADLER Real Estate GmbH (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 2.481% | (145,676) | (552) | (145,124) | CITI | |||||||||
| ADT Security Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.450% | 7,073 | (552) | 7,625 | CITI | |||||||||
| Air France-KLM (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.532% | 786 | (552) | 1,338 | CITI | |||||||||
| Allwyn Entertainment Financing UK PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.932% | (29,985) | (552) | (29,433) | CITI | |||||||||
| Ally Financial, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.598% | (4,341) | (552) | (3,789) | CITI | |||||||||
| American Airlines Group, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.594% | (80,448) | (552) | (79,896) | CITI | |||||||||
| American Axle & Manufacturing, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.019% | (36,670) | (552) | (36,118) | CITI | |||||||||
| ArcelorMittal SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.275% | 20,663 | (552) | 21,215 | CITI | |||||||||
| Avis Budget Group, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.448% | (69,426) | (552) | (68,874) | CITI | |||||||||
| Barclays Bank PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.477% | 5,011 | (552) | 5,563 | CITI | |||||||||
| Bath & Body Works, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.586% | (3,387) | (552) | (2,835) | CITI | |||||||||
| Bellis Acquisition Co. PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 2.401% | (141,278) | (552) | (140,726) | CITI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| BNP Paribas SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.297% | $18,936 | $(552) | $19,488 | CITI | |||||||||
| Bombardier, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.389% | 11,830 | (552) | 12,382 | CITI | |||||||||
| Boyd Gaming Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.591% | (3,774) | (552) | (3,222) | CITI | |||||||||
| Carnival Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.374% | 12,955 | (552) | 13,507 | CITI | |||||||||
| CCO Holdings LLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.989% | (34,354) | (552) | (33,802) | CITI | |||||||||
| Cleveland-Cliffs, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.667% | (9,658) | (552) | (9,106) | CITI | |||||||||
| Cloud Software Group, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.962% | (32,354) | (552) | (31,802) | CITI | |||||||||
| CMA CGM SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.836% | (22,610) | (552) | (22,058) | CITI | |||||||||
| Commerzbank AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.317% | 17,444 | (552) | 17,996 | CITI | |||||||||
| Constellium SE (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.988% | (34,285) | (552) | (33,733) | CITI | |||||||||
| CPI Property Group SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.271% | (55,851) | (552) | (55,299) | CITI | |||||||||
| Deutsche Bank AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.414% | 9,863 | (552) | 10,415 | CITI | |||||||||
| Deutsche Lufthansa AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.395% | 11,358 | (552) | 11,910 | CITI | |||||||||
| Domtar Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 7.748% | (525,498) | (552) | (524,946) | CITI | |||||||||
| Dufry One BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.562% | (1,585) | (552) | (1,033) | CITI | |||||||||
| DXC Technology Co. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.378% | 12,633 | (552) | 13,185 | CITI | |||||||||
| Elo SA (D23) | 06/20/27 | 0.500%(Q) | 2,841 | 0.359% | 7,079 | (276) | 7,355 | CITI | |||||||||
| Fibercop SpA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.670% | (9,876) | (552) | (9,324) | CITI | |||||||||
| Ford Motor Credit Co. LLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.705% | (12,577) | (552) | (12,025) | CITI | |||||||||
| Forvia SE (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.601% | (4,548) | (552) | (3,996) | CITI | |||||||||
| General Motors Co. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.372% | 13,123 | (552) | 13,675 | CITI | |||||||||
| Grifols SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.910% | (28,349) | (552) | (27,797) | CITI | |||||||||
| Hapag-Lloyd AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.760% | (16,803) | (552) | (16,251) | CITI | |||||||||
| HUB International Ltd. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.394% | 11,452 | (552) | 12,004 | CITI | |||||||||
| Iceland Bondco PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.810% | (96,964) | (552) | (96,412) | CITI | |||||||||
| Iliad Holding SAS (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.792% | (19,280) | (552) | (18,728) | CITI | |||||||||
| INEOS Finance PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 8.459% | (566,673) | (552) | (566,121) | CITI | |||||||||
| INEOS Quattro Finance 2 PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 10.995% | (724,341) | (552) | (723,789) | CITI | |||||||||
| International Game Technology PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.432% | 8,476 | (552) | 9,028 | CITI | |||||||||
| Jaguar Land Rover Automotive PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.865% | (24,891) | (552) | (24,339) | CITI | |||||||||
| Kaixo Bondco Telecom SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.220% | 24,907 | (552) | 25,459 | CITI | |||||||||
| KB Home (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.558% | (1,210) | (552) | (658) | CITI | |||||||||
| Kohl’s Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.993% | (110,689) | (552) | (110,137) | CITI | |||||||||
| Lanxess AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.542% | (7) | (552) | 545 | CITI | |||||||||
| LifePoint Health, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.623% | (6,277) | (552) | (5,725) | CITI | |||||||||
| Loxam SAS (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.998% | (35,144) | (552) | (34,592) | CITI | |||||||||
| Murphy Oil Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.490% | 4,033 | (552) | 4,585 | CITI | |||||||||
| Nabors Industries, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.916% | (28,785) | (552) | (28,233) | CITI | |||||||||
| NCL Corp. Ltd. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.639% | (7,486) | (552) | (6,934) | CITI | |||||||||
| New Immo Holding SA (D23) | 06/20/27 | 0.500%(Q) | 2,841 | 1.167% | (24,013) | (546) | (23,467) | CITI | |||||||||
| Nexi SpA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.796% | (19,554) | (552) | (19,002) | CITI | |||||||||
| Nordstrom, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.615% | (5,634) | (552) | (5,082) | CITI | |||||||||
| NRG Energy, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.408% | 10,373 | (552) | 10,925 | CITI | |||||||||
| OI European Group BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.315% | (59,266) | (552) | (58,714) | CITI | |||||||||
| Olin Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.564% | (1,731) | (552) | (1,179) | CITI | |||||||||
| OneMain Finance Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.743% | (15,530) | (552) | (14,978) | CITI | |||||||||
| Organon & Co. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.044% | (38,585) | (552) | (38,033) | CITI | |||||||||
| Pachelbel Bidco SpA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.925% | (29,512) | (552) | (28,960) | CITI | |||||||||
| Paramount Global (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.501% | 3,176 | (552) | 3,728 | CITI | |||||||||
| Pitney Bowes, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.891% | (26,872) | (552) | (26,320) | CITI | |||||||||
| Post Holdings, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.502% | 3,063 | (552) | 3,615 | CITI | |||||||||
| Renault SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.327% | 16,628 | (552) | 17,180 | CITI | |||||||||
| Rossini Sarl (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.728% | (14,325) | (552) | (13,773) | CITI | |||||||||
| Saipem Finance International BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.396% | 11,278 | (552) | 11,830 | CITI | |||||||||
| Schaeffler AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.430% | 8,682 | (552) | 9,234 | CITI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Sealed Air Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.757% | $(16,562) | $(552) | $(16,010) | CITI | |||||||||
| Sirius XM Radio LLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.632% | (6,961) | (552) | (6,409) | CITI | |||||||||
| Societe Generale SA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.315% | 17,535 | (552) | 18,087 | CITI | |||||||||
| Stellantis NV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.411% | 10,093 | (552) | 10,645 | CITI | |||||||||
| Stena AB (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.955% | (31,747) | (552) | (31,195) | CITI | |||||||||
| Sunrise HoldCo IV BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.272% | 20,889 | (552) | 21,441 | CITI | |||||||||
| TeamSystem SpA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.610% | (81,697) | (552) | (81,145) | CITI | |||||||||
| TEGNA, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.340% | 15,584 | (552) | 16,136 | CITI | |||||||||
| Telecom Italia SpA (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.372% | 13,128 | (552) | 13,680 | CITI | |||||||||
| Tenet Healthcare Corp. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.286% | 19,790 | (552) | 20,342 | CITI | |||||||||
| Teva Pharmaceutical Industries Ltd. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.316% | 17,490 | (552) | 18,042 | CITI | |||||||||
| thyssenkrupp AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.310% | 17,902 | (552) | 18,454 | CITI | |||||||||
| TUI AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.615% | (5,627) | (552) | (5,075) | CITI | |||||||||
| United Airlines Holdings, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.596% | (4,152) | (552) | (3,600) | CITI | |||||||||
| United Group BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.024% | (37,039) | (552) | (36,487) | CITI | |||||||||
| Univision Communications, Inc. (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.627% | (6,559) | (552) | (6,007) | CITI | |||||||||
| Valeo SE (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.528% | 1,054 | (552) | 1,606 | CITI | |||||||||
| Virgin Media Finance PLC (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.686% | (87,401) | (552) | (86,849) | CITI | |||||||||
| Volkswagen AG (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.288% | 19,659 | (552) | 20,211 | CITI | |||||||||
| Volvo Car AB (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 0.539% | 248 | (552) | 800 | CITI | |||||||||
| ZF Europe Finance BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.161% | (47,517) | (552) | (46,965) | CITI | |||||||||
| Ziggo Bond Co. BV (D23) | 06/20/27 | 0.500%(Q) | 5,682 | 1.577% | (79,184) | (552) | (78,632) | CITI | |||||||||
| ADT Security Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.450% | 8,024 | (616) | 8,640 | CITI | ||||||||
| Aegon Ltd. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.190% | 31,084 | (616) | 31,700 | CITI | ||||||||
| Air France-KLM (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.532% | 851 | (616) | 1,467 | CITI | ||||||||
| Ally Financial, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.598% | (4,999) | (616) | (4,383) | CITI | ||||||||
| American Axle & Manufacturing, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.019% | (41,885) | (616) | (41,269) | CITI | ||||||||
| Amkor Technology, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.318% | 19,727 | (616) | 20,343 | CITI | ||||||||
| Aramark Services, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.324% | 19,164 | (616) | 19,780 | CITI | ||||||||
| Ashland LLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.297% | 21,603 | (616) | 22,219 | CITI | ||||||||
| Avient Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.414% | 11,232 | (616) | 11,848 | CITI | ||||||||
| Avis Budget Group, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.448% | (79,256) | (616) | (78,640) | CITI | ||||||||
| Banco Bilbao Vizcaya Argentaria SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.274% | 23,582 | (616) | 24,198 | CITI | ||||||||
| Barclays Bank PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.437% | 9,197 | (616) | 9,813 | CITI | ||||||||
| Bath & Body Works, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.586% | (3,910) | (616) | (3,294) | CITI | ||||||||
| Beazer Homes USA, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.209% | (58,520) | (616) | (57,904) | CITI | ||||||||
| Bombardier, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.389% | 13,452 | (616) | 14,068 | CITI | ||||||||
| Boparan Finance PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.822% | (24,654) | (616) | (24,038) | CITI | ||||||||
| Boyd Gaming Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.591% | (4,352) | (616) | (3,736) | CITI | ||||||||
| Caesars Entertainment, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.018% | (41,827) | (616) | (41,211) | CITI | ||||||||
| Carnival Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.374% | 14,736 | (616) | 15,352 | CITI | ||||||||
| CCO Holdings LLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.989% | (39,242) | (616) | (38,626) | CITI | ||||||||
| Ceconomy AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.290% | 22,210 | (616) | 22,826 | CITI | ||||||||
| Cleveland-Cliffs, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.667% | (11,066) | (616) | (10,450) | CITI | ||||||||
| CMA CGM SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.836% | (25,843) | (616) | (25,227) | CITI | ||||||||
| Constellium SE (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.988% | (39,164) | (616) | (38,548) | CITI | ||||||||
| DaVita, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.489% | 4,635 | (616) | 5,251 | CITI | ||||||||
| Delta Air Lines, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.402% | 12,292 | (616) | 12,908 | CITI | ||||||||
| Deutsche Bank AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.401% | 12,375 | (616) | 12,991 | CITI | ||||||||
| eG Global Finance PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.762% | (19,392) | (616) | (18,776) | CITI | ||||||||
| Electrolux AB (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.421% | 10,580 | (616) | 11,196 | CITI | ||||||||
| Elo SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 2,700 | 0.359% | 8,054 | (308) | 8,362 | CITI | ||||||||
| Federative Republic of Brazil (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.541% | 9 | (616) | 625 | CITI | ||||||||
| Fibercop SpA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.670% | (11,313) | (616) | (10,697) | CITI | ||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Ford Motor Credit Co. LLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.687% | $(12,819) | $(616) | $(12,203) | CITI | ||||||||
| Ford Motor Credit Co. LLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.705% | (14,396) | (616) | (13,780) | CITI | ||||||||
| Forvia SE (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.601% | (5,235) | (616) | (4,619) | CITI | ||||||||
| Gap, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.333% | 18,423 | (616) | 19,039 | CITI | ||||||||
| Genworth Holdings, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.410% | 11,600 | (616) | 12,216 | CITI | ||||||||
| Goodyear Tire & Rubber Co. (The) (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.994% | (39,705) | (616) | (39,089) | CITI | ||||||||
| Grifols SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.910% | (32,391) | (616) | (31,775) | CITI | ||||||||
| Hapag-Lloyd AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.760% | (19,218) | (616) | (18,602) | CITI | ||||||||
| Iceland Bondco PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.810% | (110,672) | (616) | (110,056) | CITI | ||||||||
| Iron Mountain, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.456% | 7,509 | (616) | 8,125 | CITI | ||||||||
| Jaguar Land Rover Automotive PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.865% | (28,446) | (616) | (27,830) | CITI | ||||||||
| K. Hovnanian Enterprises, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.852% | (27,298) | (616) | (26,682) | CITI | ||||||||
| KB Home (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.558% | (1,426) | (616) | (810) | CITI | ||||||||
| Kingdom of Bahrain (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.137% | (52,267) | (616) | (51,651) | CITI | ||||||||
| Lamb Weston Holdings, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.435% | 9,353 | (616) | 9,969 | CITI | ||||||||
| Lanxess AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.542% | (54) | (616) | 562 | CITI | ||||||||
| Lincoln National Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.437% | 9,229 | (616) | 9,845 | CITI | ||||||||
| Lumen Technologies, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.905% | (31,945) | (616) | (31,329) | CITI | ||||||||
| MGM Resorts International (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.716% | (15,361) | (616) | (14,745) | CITI | ||||||||
| Monitchem Holdco 3 SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 2.444% | (164,606) | (616) | (163,990) | CITI | ||||||||
| Murphy Oil Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.490% | 4,556 | (616) | 5,172 | CITI | ||||||||
| Navient Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.565% | (89,321) | (616) | (88,705) | CITI | ||||||||
| NCL Corp. Ltd. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.639% | (8,587) | (616) | (7,971) | CITI | ||||||||
| New Immo Holding SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 2,700 | 1.167% | (27,421) | (637) | (26,784) | CITI | ||||||||
| Newell Brands, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.593% | (91,876) | (616) | (91,260) | CITI | ||||||||
| Nexi SpA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.796% | (22,357) | (616) | (21,741) | CITI | ||||||||
| Nordstrom, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.615% | (6,475) | (616) | (5,859) | CITI | ||||||||
| NRG Energy, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.408% | 11,790 | (616) | 12,406 | CITI | ||||||||
| OI European Group BV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.315% | (67,665) | (616) | (67,049) | CITI | ||||||||
| Olin Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.564% | (2,020) | (616) | (1,404) | CITI | ||||||||
| OneMain Finance Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.743% | (17,765) | (616) | (17,149) | CITI | ||||||||
| Petrobras Global Finance BV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.536% | 429 | (616) | 1,045 | CITI | ||||||||
| Petroleos Mexicanos (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.904% | (118,770) | (616) | (118,154) | CITI | ||||||||
| PG&E Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.596% | (4,786) | (616) | (4,170) | CITI | ||||||||
| Picard Bondco SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.498% | 3,784 | (616) | 4,400 | CITI | ||||||||
| Pitney Bowes, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.891% | (30,706) | (616) | (30,090) | CITI | ||||||||
| Post Holdings, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.502% | 3,449 | (616) | 4,065 | CITI | ||||||||
| PostNL NV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.469% | 6,371 | (616) | 6,987 | CITI | ||||||||
| Premier Foods Finance PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.008% | (40,898) | (616) | (40,282) | CITI | ||||||||
| Rakuten Group, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.956% | (36,425) | (616) | (35,809) | CITI | ||||||||
| Republic of Colombia (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.025% | (42,432) | (616) | (41,816) | CITI | ||||||||
| Republic of Panama (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.550% | (769) | (616) | (153) | CITI | ||||||||
| Republic of South Africa (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.445% | 8,457 | (616) | 9,073 | CITI | ||||||||
| Republic of Turkey (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.861% | (28,096) | (616) | (27,480) | CITI | ||||||||
| Royal Caribbean Cruises Ltd. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.311% | 20,334 | (616) | 20,950 | CITI | ||||||||
| Schaeffler AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.430% | 9,860 | (616) | 10,476 | CITI | ||||||||
| SES SA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.531% | 937 | (616) | 1,553 | CITI | ||||||||
| SoftBank Group Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 2.244% | (147,467) | (616) | (146,851) | CITI | ||||||||
| Southwest Airlines Co. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.382% | 14,088 | (616) | 14,704 | CITI | ||||||||
| Stellantis NV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.411% | 11,471 | (616) | 12,087 | CITI | ||||||||
| Stena AB (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.955% | (36,269) | (616) | (35,653) | CITI | ||||||||
| Sunrise HoldCo IV BV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.272% | 23,790 | (616) | 24,406 | CITI | ||||||||
| TEGNA, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.340% | 17,735 | (616) | 18,351 | CITI | ||||||||
| Telecom Italia SpA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.372% | 14,933 | (616) | 15,549 | CITI | ||||||||
| Tenet Healthcare Corp. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.286% | 22,534 | (616) | 23,150 | CITI | ||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
| Teva Pharmaceutical Industries Ltd. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.316% | $19,911 | $(616) | $20,527 | CITI | ||||||||
| TransDigm, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.396% | 12,863 | (616) | 13,479 | CITI | ||||||||
| TUI AG (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.615% | (6,466) | (616) | (5,850) | CITI | ||||||||
| UniCredit SpA (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.267% | 24,278 | (616) | 24,894 | CITI | ||||||||
| United Airlines Holdings, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.596% | (4,783) | (616) | (4,167) | CITI | ||||||||
| United Group BV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.024% | (42,307) | (616) | (41,691) | CITI | ||||||||
| United Mexican States (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.354% | 16,511 | (616) | 17,127 | CITI | ||||||||
| Uniti Group, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.117% | (50,354) | (616) | (49,738) | CITI | ||||||||
| Univision Communications, Inc. (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.627% | (7,529) | (616) | (6,913) | CITI | ||||||||
| Valeo SE (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.528% | 1,157 | (616) | 1,773 | CITI | ||||||||
| Virgin Media Finance PLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.686% | (99,763) | (616) | (99,147) | CITI | ||||||||
| Vistra Operations Co. LLC (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.521% | 1,828 | (616) | 2,444 | CITI | ||||||||
| Volvo Car AB (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 0.539% | 238 | (616) | 854 | CITI | ||||||||
| Ziggo Bond Co. BV (D24) | 06/20/27 | 0.500%(Q) | EUR | 5,400 | 1.577% | (90,389) | (616) | (89,773) | CITI | ||||||||
| $2,994,670 | $(524,162) | $3,518,832 | |||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on credit indices— Buy Protection(1)**: | ||||||||||||||||
| CDX.EM.36.V3 (D03) | 12/20/26 | 1.000%(Q) | 23,000 | $(132,004) | $5,791 | $(137,795) | BOA | |||||||||
| CDX.EM.36.V3 (D04) | 12/20/26 | 1.000%(Q) | 184,000 | (1,056,037) | 41,474 | (1,097,511) | CITI | |||||||||
| CDX.EM.36.V3 (D05) | 12/20/26 | 1.000%(Q) | 92,000 | (528,018) | 24,131 | (552,149) | MSI | |||||||||
| CDX.EM.36.V3 (D06) | 12/20/26 | 1.000%(Q) | 460,000 | (2,640,090) | 188,520 | (2,828,610) | BARC | |||||||||
| CDX.EM.36.V3 (D07) | 12/20/26 | 1.000%(Q) | 92,000 | (528,018) | 30,225 | (558,243) | MSI | |||||||||
| CDX.EM.36.V3 (D08) | 12/20/26 | 1.000%(Q) | 92,000 | (528,018) | (9,574) | (518,444) | MSI | |||||||||
| CDX.EM.36.V3 (D09) | 12/20/26 | 1.000%(Q) | 184,000 | (1,056,037) | 4,978 | (1,061,015) | MSI | |||||||||
| CDX.EM.35.V3 (D10) | 06/20/26 | 1.000%(Q) | 69,000 | (230,491) | 2,951 | (233,442) | BARC | |||||||||
| CDX.EM.36.V3 (D11) | 12/20/26 | 1.000%(Q) | 13,800 | (79,203) | (1,223) | (77,980) | BOA | |||||||||
| CDX.EM.37.V2 (D12) | 06/20/27 | 1.000%(Q) | 49,000 | (342,504) | 12,131 | (354,635) | BOA | |||||||||
| CDX.Zermatt.0-5% (D23)^ | 06/20/27 | 0.500%(Q) | 25,000 | 5,046,718 | 2,431 | 5,044,287 | CITI | |||||||||
| CDX.Zermatt.10-15% (D23)^ | 06/20/27 | 0.500%(Q) | 25,000 | 23,599 | 2,431 | 21,168 | CITI | |||||||||
| CDX.Zermatt.15-100% (D23)^ | 06/20/27 | 0.500%(Q) | 425,000 | (2,579,440) | (99,381) | (2,480,059) | CITI | |||||||||
| CDX.Zermatt.5-10% (D23)^ | 06/20/27 | 0.500%(Q) | 25,000 | 344,585 | 2,431 | 342,154 | CITI | |||||||||
| CDX.Paris.0-5% (D24)^ | 06/20/27 | 0.500%(Q) | EUR | 27,000 | 4,425,744 | 3,081 | 4,422,663 | CITI | ||||||||
| CDX.Paris.10-15% (D24)^ | 06/20/27 | 0.500%(Q) | EUR | 27,000 | (28,975) | 3,081 | (32,056) | CITI | ||||||||
| CDX.Paris.15-100% (D24)^ | 06/20/27 | 0.500%(Q) | EUR | 459,000 | (3,470,146) | (125,904) | (3,344,242) | CITI | ||||||||
| CDX.Paris.5-10% (D24)^ | 06/20/27 | 0.500%(Q) | EUR | 27,000 | 216,327 | 3,081 | 213,246 | CITI | ||||||||
| $(3,142,008) | $90,655 | $(3,232,663) | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on credit indices— Sell Protection(2)**: | |||||||||||||||||
| CDX.EM.35.V3 (D01) | 06/20/26 | 1.000%(Q) | 36,800 | 0.430% | $122,929 | $(5,503) | $128,432 | BOA | |||||||||
| CDX.EM.35.V3 (D02) | 06/20/26 | 1.000%(Q) | 4,600 | 0.430% | 15,367 | (803) | 16,170 | BOA | |||||||||
| CDX.EM.44.V1 (D13) | 12/20/30 | 1.000%(Q) | 400,000 | 1.274% | (4,329,763) | (47,613) | (4,282,150) | DB | |||||||||
| CDX.EM.44.V1 (D14) | 12/20/30 | 1.000%(Q) | 200,000 | 1.274% | (2,164,881) | (34,193) | (2,130,688) | DB | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on credit indices— Sell Protection(2)**(cont’d.): | |||||||||||||||||
| CDX.EM.44.V1 (D15) | 12/20/30 | 1.000%(Q) | 100,000 | 1.274% | $(1,082,440) | $(27,515) | $(1,054,925) | DB | |||||||||
| CDX.EM.44.V1 (D16) | 12/20/30 | 1.000%(Q) | 100,000 | 1.274% | (1,082,441) | (30,127) | (1,052,314) | BOA | |||||||||
| CDX.EM.44.V1 (D17) | 12/20/30 | 1.000%(Q) | 100,000 | 1.274% | (1,082,441) | (30,127) | (1,052,314) | BOA | |||||||||
| CDX.EM.44.V1 (D18) | 12/20/30 | 1.000%(Q) | 100,000 | 1.274% | (1,082,440) | (37,978) | (1,044,462) | BOA | |||||||||
| CDX.EM.HY.44.V1 (D19) | 12/20/30 | 1.000%(Q) | 100,000 | 1.992% | (4,117,641) | (154,447) | (3,963,194) | DB | |||||||||
| CDX.EM.44.V1 (D20) | 12/20/30 | 1.000%(Q) | 200,000 | 1.274% | (2,164,881) | (165,880) | (1,999,001) | BOA | |||||||||
| CDX.EM.44.V1 (D21) | 12/20/30 | 1.000%(Q) | 200,000 | 1.274% | (2,164,881) | (171,220) | (1,993,661) | BOA | |||||||||
| CDX.EM.44.V1 (D22) | 12/20/30 | 1.000%(Q) | 250,000 | 1.274% | (2,706,101) | (220,707) | (2,485,394) | DB | |||||||||
| $(21,839,614) | $(926,113) | $(20,913,501) | |||||||||||||||
| ** | The Fund entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Fund bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s). Individual packages in the tables above are denoted by the corresponding footnotes (D01 - D22). The Fund also bought/sold protection on a customized CDX Index and bought/sold protection on the corporate issuers which comprise the index. The upfront premium is attached to the index of the trade for the customized CDX package(s). Each swap is priced individually. The Index trades are divided into tranches differentiated by a percentage range representing the risk of default of the underlying issuers; individual tranches will be reduced according to corresponding aggregate rates of default. Individual packages in the tables above are denoted by the corresponding footnotes (D23 – D24). |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreement on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
| GS_24-PCA | 08/02/27 | 1.650%(M) | 99,728 | * | $137,114 | $(4,427) | $141,541 | GSI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | |||||||||
| Centrally Cleared Credit Default Swap Agreement on corporate and/or sovereign issues - Buy Protection(1): | |||||||||||||||
| Republic of South Africa | 12/20/28 | 1.000%(Q) | 20,000 | $346,272 | $(140,733) | $(487,005) | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
| China Development Bank | 06/20/29 | 1.000%(Q) | 34,725 | $(754,531) | $(240,333) | $(514,198) | JPM | |||||||||
| Deutsche Telekom International Finance BV | 06/20/30 | 1.000%(Q) | 40,000 | (1,214,889) | (1,056,428) | (158,461) | CITI | |||||||||
| Deutsche Telekom International Finance BV | 06/20/30 | 1.000%(Q) | 35,400 | (1,075,177) | (961,209) | (113,968) | CITI | |||||||||
| Deutsche Telekom International Finance BV | 06/20/30 | 1.000%(Q) | 10,000 | (303,722) | (263,869) | (39,853) | CITI | |||||||||
| E.ON International Finance BV | 12/20/35 | 1.000%(Q) | 22,000 | (596,752) | (453,980) | (142,772) | CITI | |||||||||
| Gazprom PAO | 06/20/27 | 1.000%(Q) | 4,600 | 888,078 | 781,065 | 107,013 | JPM | |||||||||
| Hellenic Republic | 12/20/29 | 1.000%(Q) | 50,000 | (1,474,543) | (881,125) | (593,418) | BARC | |||||||||
| Industrial and Commercial Bank of China Ltd. | 06/20/29 | 1.000%(Q) | 34,725 | (807,118) | (209,916) | (597,202) | JPM | |||||||||
| Intesa Sanpaolo SpA | 12/20/30 | 1.000%(Q) | EUR | 36,000 | (1,347,544) | (1,200,929) | (146,615) | BARC | ||||||||
| Intesa Sanpaolo SpA | 12/20/30 | 1.000%(Q) | EUR | 18,000 | (673,771) | (601,402) | (72,369) | BARC | ||||||||
| Intesa Sanpaolo SpA | 12/20/33 | 1.000%(Q) | EUR | 43,000 | (1,587,184) | (1,370,693) | (216,491) | BARC | ||||||||
| Intesa Sanpaolo SpA | 12/20/33 | 1.000%(Q) | 43,000 | (1,104,760) | (1,034,530) | (70,230) | CITI | |||||||||
| Intesa Sanpaolo SpA | 12/20/33 | 1.000%(Q) | 20,000 | (513,842) | (454,127) | (59,715) | CITI | |||||||||
| Israel Electric Corp. Ltd. | 09/20/28 | 1.000%(Q) | 3,000 | (31,252) | 38,334 | (69,586) | BARC | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)(cont’d.): | ||||||||||||||||
| Kingdom of Bahrain | 06/20/28 | 1.000%(Q) | 10,000 | $81,782 | $— | $81,782 | BARC | |||||||||
| Kingdom of Spain | 12/20/29 | 1.000%(Q) | 75,000 | (2,446,856) | (1,878,434) | (568,422) | BARC | |||||||||
| People’s Republic of China | 12/20/32 | 0.340%(Q) | CNH | 350,000 | 571,593 | — | 571,593 | BARC | ||||||||
| Petroleo Brasileiro SA | 06/20/29 | 1.000%(Q) | 5,000 | (5,835) | 82,221 | (88,056) | MSI | |||||||||
| Petroleos Mexicanos | 03/20/27 | 1.000%(Q) | 20,000 | 156,043 | 394,840 | (238,797) | MSI | |||||||||
| Republic of France | 12/20/30 | 0.250%(Q) | 44,260 | (273,964) | (129,164) | (144,800) | BARC | |||||||||
| Republic of Italy | 12/20/30 | 1.000%(Q) | 30,700 | (1,074,928) | (1,132,044) | 57,116 | BARC | |||||||||
| Republic of Panama | 06/20/28 | 1.000%(Q) | 77,905 | (569,861) | (353,062) | (216,799) | DB | |||||||||
| Sasol Financing USA LLC | 06/20/29 | 1.000%(Q) | 8,500 | 519,570 | 508,073 | 11,497 | BARC | |||||||||
| Sasol Financing USA LLC | 06/20/29 | 1.000%(Q) | 6,500 | 397,319 | 420,172 | (22,853) | BARC | |||||||||
| Telefonica Europe BV | 09/20/30 | 1.000%(Q) | 21,500 | (379,072) | (280,715) | (98,357) | CITI | |||||||||
| $(13,621,216) | $(10,277,255) | $(3,343,961) | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
| Alphabet, Inc. | 06/20/30 | 1.000%(Q) | 62,830 | 0.329% | $1,790,204 | $1,518,274 | $271,930 | GSI | |||||||||
| Bank of Montreal^ | 11/20/29 | 1.250%(Q) | 18,495 | * | 93,114 | — | 93,114 | GSI | |||||||||
| Bank of Nova Scotia | 12/20/26 | 1.000%(Q) | 37,278 | 0.152% | 320,691 | 236,595 | 84,096 | CITI | |||||||||
| Bank of Nova Scotia^ | 05/20/35 | 1.450%(Q) | 21,000 | * | (256,756) | (24,635) | (232,121) | GSI | |||||||||
| Barclays Bank PLC | 06/20/26 | 1.000%(Q) | EUR | 60,670 | 0.202% | 304,895 | 185,567 | 119,328 | GSI | ||||||||
| Canadian Imperial Bank of Commerce^ | 06/20/28 | 1.100%(Q) | 14,805 | * | 80,669 | — | 80,669 | GSI | |||||||||
| Citigroup, Inc. | 12/20/26 | 1.000%(Q) | 82,845 | 0.256% | 636,452 | 505,041 | 131,411 | GSI | |||||||||
| Colombia Telecomunicaciones SA ESP | 03/20/26 | 1.000%(T) | 11,600 | 0.809% | 16,192 | (4,574) | 20,766 | BARC | |||||||||
| Deutsche Telekom AG | 06/20/26 | 1.000%(Q) | EUR | 26,943 | 0.099% | 148,291 | 113,009 | 35,282 | JPM | ||||||||
| Federative Republic of Brazil | 06/20/26 | 1.000%(Q) | 23,805 | 0.445% | 78,173 | 54,312 | 23,861 | BARC | |||||||||
| General Motors Co. | 06/20/26 | 5.000%(Q) | 14,920 | 0.223% | 364,589 | 221,624 | 142,965 | GSI | |||||||||
| Government of Japan | 06/20/28 | 1.000%(Q) | 35,000 | 0.130% | 745,519 | 582,137 | 163,382 | CITI | |||||||||
| Halliburton Co. | 12/20/26 | 1.000%(Q) | 27,820 | 0.166% | 237,624 | 47,056 | 190,568 | GSI | |||||||||
| Hellenic Republic | 06/20/27 | 1.000%(Q) | 12,360 | 0.097% | 166,453 | 119,153 | 47,300 | BARC | |||||||||
| Hellenic Republic | 12/20/27 | 1.000%(Q) | 9,275 | 0.113% | 162,052 | 110,451 | 51,601 | BARC | |||||||||
| Hellenic Republic | 12/20/30 | 1.000%(Q) | 50,000 | 0.284% | 1,670,640 | 819,184 | 851,456 | BARC | |||||||||
| HSBC Bank PLC | 12/20/26 | 1.000%(Q) | 41,574 | 0.169% | 351,621 | 308,722 | 42,899 | MSI | |||||||||
| Kingdom of Norway | 12/20/26 | —%(Q) | 90,890 | 0.039% | (31,359) | (40,034) | 8,675 | BARC | |||||||||
| Kingdom of Saudi Arabia | 03/20/26 | 1.000%(Q) | 9,980 | 0.269% | 21,206 | 9,919 | 11,287 | CITI | |||||||||
| Kingdom of Saudi Arabia | 06/20/26 | 1.000%(Q) | 9,980 | 0.274% | 39,363 | 28,210 | 11,153 | CITI | |||||||||
| Kingdom of Spain | 06/20/26 | —%(Q) | EUR | 55,000 | 0.048% | (12,085) | (4,991) | (7,094) | BARC | ||||||||
| Kingdom of Spain | 06/20/26 | 1.000%(Q) | EUR | 53,833 | 0.029% | 313,818 | 233,396 | 80,422 | BARC | ||||||||
| Kingdom of Spain | 12/20/31 | 1.000%(Q) | 75,000 | 0.228% | 3,177,396 | 2,172,850 | 1,004,546 | BARC | |||||||||
| New York Life Global Funding | 09/20/35 | 2.000%(Q) | 19,000 | 1.165% | 1,257,339 | — | 1,257,339 | GSI | |||||||||
| Nomura Holdings, Inc. | 06/20/26 | 1.000%(Q) | 86,777 | 0.233% | 356,228 | 249,833 | 106,395 | BARC | |||||||||
| Oracle Corp. | 06/20/30 | 1.000%(Q) | 26,535 | 1.454% | (445,300) | 529,895 | (975,195) | GSI | |||||||||
| Pacific Life | 08/20/35 | 2.500%(Q) | 22,200 | 2.925% | (631,839) | (77) | (631,762) | GSI | |||||||||
| People’s Republic of China | 06/20/29 | 1.000%(Q) | 69,450 | 0.376% | 1,466,605 | 584,141 | 882,464 | JPM | |||||||||
| People’s Republic of China | 12/20/32 | 0.480%(Q) | 50,000 | 0.520% | (110,909) | — | (110,909) | BARC | |||||||||
| Petroleos Mexicanos | 03/20/26 | 1.000%(T) | 2,205 | 1.433% | 1,224 | (867) | 2,091 | BARC | |||||||||
| Petroleos Mexicanos^ | 03/23/26 | 4.100%(M) | 28,398 | * | 74,282 | — | 74,282 | GSI | |||||||||
| Petroleos Mexicanos^ | 05/07/26 | 4.750%(M) | 50,304 | * | 607,663 | — | 607,663 | GSI | |||||||||
| Petroleos Mexicanos | 12/20/28 | 1.000%(Q) | 10,000 | 2.236% | (319,170) | (504,650) | 185,480 | CITI | |||||||||
| Republic of Argentina | 12/20/26 | 5.000%(Q) | 20,000 | 2.178% | 605,930 | (184,224) | 790,154 | MSI | |||||||||
| Republic of Ecuador | 06/20/27 | 5.000%(Q) | 8,350 | 1.938% | 392,118 | (35,769) | 427,887 | GSI | |||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at January 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)(cont’d.): | |||||||||||||||||
| Republic of Ecuador | 12/20/27 | 5.000%(Q) | 8,505 | 2.256% | $469,541 | $238,326 | $231,215 | BARC | |||||||||
| Republic of Ecuador | 12/20/27 | 5.000%(Q) | 5,000 | 2.256% | 276,038 | 163,699 | 112,339 | BARC | |||||||||
| Republic of Ecuador | 12/20/27 | 5.000%(Q) | 3,500 | 2.256% | 193,227 | (22,615) | 215,842 | GSI | |||||||||
| Republic of Ecuador | 06/20/28 | 5.000%(Q) | 5,000 | 2.688% | 287,635 | (50,105) | 337,740 | GSI | |||||||||
| Republic of France | 06/20/26 | 5.000%(Q) | EUR | 10,190 | 1.591% | 228,143 | 113,642 | 114,501 | GSI | ||||||||
| Republic of France | 06/20/27 | 0.250%(Q) | 24,010 | 0.094% | 57,913 | 40,597 | 17,316 | BARC | |||||||||
| Republic of France | 12/20/30 | 0.250%(Q) | 44,260 | 0.250% | 13,409 | (265,995) | 279,404 | BARC | |||||||||
| Republic of France | 12/20/34 | 0.250%(Q) | 300 | 0.500% | (5,550) | (9,025) | 3,475 | BARC | |||||||||
| Republic of France | 06/20/35 | 0.250%(Q) | 17,370 | 0.523% | (366,567) | (575,592) | 209,025 | BARC | |||||||||
| Republic of France | 06/20/35 | 0.250%(Q) | 11,210 | 0.523% | (236,569) | (383,964) | 147,395 | BARC | |||||||||
| Republic of Greece | 12/20/26 | 1.000%(Q) | 38,913 | 0.061% | 366,309 | 312,615 | 53,694 | BARC | |||||||||
| Republic of Italy | 06/20/26 | 1.000%(Q) | 29,188 | 0.038% | 142,630 | 106,813 | 35,817 | BARC | |||||||||
| Republic of Italy | 12/20/30 | 1.000%(Q) | 30,700 | 0.250% | 1,074,928 | 848,300 | 226,628 | BARC | |||||||||
| Republic of Ivory Coast | 06/20/27 | 1.000%(Q) | 19,000 | 1.335% | (64,398) | (51,210) | (13,188) | BARC | |||||||||
| Republic of Ivory Coast | 06/20/27 | 1.000%(Q) | 4,300 | 1.335% | (14,574) | (8,926) | (5,648) | BARC | |||||||||
| Republic of Panama | 03/20/26 | 1.000%(T) | 19,321 | 0.478% | 35,594 | 13,235 | 22,359 | CITI | |||||||||
| Republic of Panama | 06/20/26 | 1.000%(Q) | 18,427 | 0.478% | 58,142 | 35,267 | 22,875 | CITI | |||||||||
| Republic of Panama^ | 06/20/28 | 1.000%(Q) | 77,905 | * | (56,381) | (524,869) | 468,488 | DB | |||||||||
| Republic of Romania | 12/20/26 | 1.000%(Q) | 4,852 | 0.337% | 33,812 | 21,117 | 12,695 | BOA | |||||||||
| Republic of Serbia | 06/20/29 | 1.000%(Q) | 7,475 | 0.979% | 13,612 | (103,394) | 117,006 | BARC | |||||||||
| Siemens AG | 06/20/26 | 1.000%(Q) | EUR | 20,483 | 0.074% | 115,103 | 88,755 | 26,348 | JPM | ||||||||
| Simon Property Group LP | 06/20/26 | 1.000%(Q) | 68,920 | 0.113% | 318,678 | 60,976 | 257,702 | GSI | |||||||||
| Skandinaviska Enskilda Banken AB | 12/20/26 | 1.000%(Q) | 38,234 | 0.111% | 342,820 | 297,425 | 45,395 | MSI | |||||||||
| Slovak Republic | 12/20/27 | 1.000%(Q) | 17,705 | 0.134% | 302,656 | 269,223 | 33,433 | BARC | |||||||||
| SoftBank Group Corp. | 06/20/26 | 1.000%(Q) | 43,535 | 1.775% | (80,302) | (82,472) | 2,170 | GSI | |||||||||
| Standard Chartered PLC | 12/20/26 | 1.000%(Q) | 24,023 | 0.180% | 200,714 | 174,180 | 26,534 | MSI | |||||||||
| State of Qatar | 12/20/26 | 1.000%(Q) | 17,805 | 0.095% | 162,226 | 137,038 | 25,188 | BARC | |||||||||
| TotalEnergies Capital SA | 03/20/26 | 1.000%(T) | EUR | 43,485 | 0.078% | 123,071 | 63,653 | 59,418 | JPM | ||||||||
| TotalEnergies Capital SA | 12/20/26 | 1.000%(Q) | EUR | 25,669 | 0.104% | 277,104 | 244,689 | 32,415 | JPM | ||||||||
| U.S. Treasury Notes | 06/20/26 | 0.250%(Q) | EUR | 75,130 | 0.073% | 86,638 | 44,616 | 42,022 | BARC | ||||||||
| U.S. Treasury Notes | 06/20/27 | 0.250%(Q) | EUR | 24,900 | 0.177% | 38,276 | (3,949) | 42,225 | BARC | ||||||||
| UnitedHealth Group, Inc. | 06/20/26 | 1.000%(Q) | 25,055 | 0.156% | 110,281 | 69,375 | 40,906 | GSI | |||||||||
| Verizon Communications, Inc. | 06/20/26 | 1.000%(Q) | 40,810 | 0.213% | 172,851 | 65,208 | 107,643 | GSI | |||||||||
| $18,349,943 | $9,156,181 | $9,193,762 | |||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | |||||||||
| Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | |||||||||||||||
| CDX.NA.IG.45.V1 | 12/20/30 | 1.000%(Q) | 1,623,000 | $(33,340,933) | $(38,435,652) | $(5,094,719) | |||||||||
| (1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or |
| (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | |
| (3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at January 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| EUR | 74,923 | 02/15/34 | 2.192%(A) | 1 Day EuroSTR(1)(A)/ 1.926% | $— | $1,897,891 | $1,897,891 | |||||||
| GBP | 230,000 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A)/ 3.725% | (10,753,886) | 9,413,106 | 20,166,992 | |||||||
| GBP | 35,000 | 05/08/30 | 1.100%(A) | 1 Day SONIA(1)(A)/ 3.725% | (2,401,588) | 5,905,622 | 8,307,210 | |||||||
| GBP | 35,625 | 05/08/31 | 1.150%(A) | 1 Day SONIA(1)(A)/ 3.725% | (1,550,973) | 7,091,894 | 8,642,867 | |||||||
| 781,180 | 08/27/26 | 3.809%(T) | 1 Day SOFR(2)(T)/ 3.680% | — | (724,793) | (724,793) | ||||||||
| 1,458,020 | 05/13/27 | 4.497%(A) | 1 Day SOFR(2)(A)/ 3.680% | 231,640 | 21,388,532 | 21,156,892 | ||||||||
| 607,365 | 05/13/29 | 4.253%(A) | 1 Day SOFR(1)(A)/ 3.680% | (645,788) | (15,552,385) | (14,906,597) | ||||||||
| 80,000 | 06/15/30 | 3.271%(A) | 1 Day SOFR(1)(A)/ 3.680% | 313,745 | 738,040 | 424,295 | ||||||||
| 21,400 | 09/15/30 | 3.411%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 86,424 | 86,424 | ||||||||
| 462,295 | 12/20/44 | 3.995%(A) | 1 Day SOFR(2)(A)/ 3.680% | — | (11,366,588) | (11,366,588) | ||||||||
| 252,990 | 12/16/49 | 3.805%(A) | 1 Day SOFR(2)(A)/ 3.680% | (1,745,859) | (15,979,884) | (14,234,025) | ||||||||
| 72,870 | 05/11/54 | 1.350%(A) | 1 Day SOFR(1)(A)/ 3.680% | 33,262,750 | 36,280,398 | 3,017,648 | ||||||||
| 938,170 | 12/14/54 | 3.136%(A) | 1 Day SOFR(1)(A)/ 3.680% | 18,553,899 | 39,069,869 | 20,515,970 | ||||||||
| 224,000 | 12/16/54 | 3.719%(A) | 1 Day SOFR(1)(A)/ 3.680% | 1,736,344 | 18,371,869 | 16,635,525 | ||||||||
| 352,385 | 12/20/54 | 3.825%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 22,573,394 | 22,573,394 | ||||||||
| $37,000,284 | $119,193,389 | $82,193,105 | ||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
| OTC Interest Rate Swap Agreements: | |||||||||||||||
| BRL | 474,011 | 01/02/31 | 13.788%(T) | 1 Day BROIS(1)(T)/ 0.055% | $(3,304,748) | $— | $(3,304,748) | GSI | |||||||
| BRL | 474,011 | 01/02/31 | 13.940%(T) | 1 Day BROIS(2)(T)/ 0.055% | 3,202,356 | — | 3,202,356 | GSI | |||||||
| BRL | 961,569 | 01/02/31 | 14.190%(T) | 1 Day BROIS(1)(T)/ 0.055% | (11,182,969) | — | (11,182,969) | GSI | |||||||
| BRL | 961,569 | 01/02/31 | 14.340%(T) | 1 Day BROIS(2)(T)/ 0.055% | 10,718,156 | — | 10,718,156 | GSI | |||||||
| $(567,205) | $— | $(567,205) | |||||||||||||
| (1) | The Fund pays the fixed rate and receives the floating rate. |
| (2) | The Fund pays the floating rate and receives the fixed rate. |
| Total return swap agreements outstanding at January 31, 2026: | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements: | ||||||||||||||
| Banque Federative du Credit Mutuel SA | 1 Day SOFR +57bps(T)/ 4.250% | CITI | 01/17/28 | 30,000 | $(866) | $— | $(866) | |||||||
| Total return swap agreements outstanding at January 31, 2026 (continued): | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements (cont’d.): | ||||||||||||||
| Deutsche Telekom International Finance BV | 1 Day SOFR +65bps(T)/ 4.330% | CITI | 11/25/27 | 8,487 | $(91,705) | $— | $(91,705) | |||||||
| Deutsche Telekom International Finance BV | 1 Day SOFR +65bps(T)/ 4.330% | CITI | 11/25/27 | 33,950 | (361,668) | — | (361,668) | |||||||
| Deutsche Telekom International Finance BV | 1 Day SOFR +64bps(T)/ 4.320% | CITI | 12/10/27 | 43,000 | (88,029) | — | (88,029) | |||||||
| E.ON International Finance BV | 1 Day SOFR +53bps(T)/ 4.210% | CITI | 01/07/28 | 22,000 | (115,017) | — | (115,017) | |||||||
| Goldman Sachs Group, Inc. (The) | 1 Day SOFR +49bps(T)/ 4.170% | CITI | 01/26/27 | 5,000 | 60,595 | — | 60,595 | |||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 3.680% | BNP | 06/22/26 | (100,000) | 335,829 | — | 335,829 | |||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 3.680% | MSI | 06/22/26 | (100,000) | 219,302 | — | 219,302 | |||||||
| iBoxx US Dollar Liquid Investment Grade Index(T) | 1 Day SOFR(Q)/ 3.680% | MSI | 06/22/26 | (100,000) | 241,171 | — | 241,171 | |||||||
| Intesa Sanpaolo SpA | 1 Day SOFR +60bps(T)/ 4.280% | CITI | 01/06/28 | 43,000 | 67,211 | — | 67,211 | |||||||
| Intesa Sanpaolo SpA | 1 Day SOFR +57.5bps(T)/ 4.255% | CITI | 01/10/28 | 43,000 | 73,986 | — | 73,986 | |||||||
| Intesa Sanpaolo SpA | 1 Day SOFR +57bps(T)/ 4.250% | CITI | 01/13/28 | 43,000 | 87,206 | — | 87,206 | |||||||
| Intesa Sanpaolo SpA | 1 Day SOFR +57bps(T)/ 4.250% | CITI | 01/14/28 | 50,000 | 108,170 | — | 108,170 | |||||||
| Telefonica Europe BV | 1 Day SOFR +55bps(T)/ 4.230% | CITI | 12/16/27 | 21,500 | 403,599 | — | 403,599 | |||||||
| Total Return Benchmark Bond Index(T) | 1 Day USOIS -30bps(T)/ 3.340% | GSI | 04/20/26 | (171,901) | 5,115,442 | — | 5,115,442 | |||||||
| Total Return Benchmark Bond Index(T) | 1 Day SOFR -55bps(T)/ 3.130% | JPM | 06/18/26 | (34,415) | 115,131 | — | 115,131 | |||||||
| Total Return Benchmark Bond Index(T) | 1 Day USOIS -44bps(T)/ 3.200% | GSI | 07/15/26 | (255,363) | 2,411,686 | — | 2,411,686 | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +23.5bps(T)/ 3.875% | GSI | 07/16/26 | 245,800 | 1,225,621 | — | 1,225,621 | |||||||
| $9,807,664 | $— | $9,807,664 | ||||||||||||
| (1) | On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |