|
|
Principal
Amount
|
Value
|
|
|
U.S. Dollar Denominated Bonds & Notes–30.02%
|
|||
|
Argentina–0.71%
|
|||
|
Argentine Republic Government
International Bond,
|
|
|
|
|
0.75%, 07/09/2030(a)
|
|
$3,265,920
|
$2,771,133
|
|
3.50%, 07/09/2041(a)
|
|
5,400,000
|
3,917,700
|
|
Vista Energy Argentina S.A.U.,
7.63%, 12/10/2035(b)
|
|
1,800,000
|
1,803,600
|
|
YPF S.A.,
|
|
|
|
|
6.95%, 07/21/2027(b)
|
|
800,000
|
808,661
|
|
8.75%, 09/11/2031(b)
|
|
3,276,000
|
3,390,539
|
|
|
|
|
12,691,633
|
|
Belgium–0.23%
|
|||
|
Telenet Finance Luxembourg
Notes S.a.r.l., 5.50%,
03/01/2028(b)
|
|
4,200,000
|
4,199,440
|
|
Brazil–0.91%
|
|||
|
Arcos Dorados B.V., 6.38%,
01/29/2032(b)
|
|
3,145,000
|
3,303,822
|
|
Minerva (Luxembourg) S.A.,
8.88%, 09/13/2033(b)
|
|
1,800,000
|
1,967,710
|
|
Petrobras Global Finance B.V.,
|
|
|
|
|
6.50%, 07/03/2033(c)
|
|
1,800,000
|
1,880,505
|
|
6.25%, 01/10/2036
|
|
1,875,000
|
1,844,531
|
|
Sitios Latinoamerica S.A.B. de
C.V., 5.38%,
04/04/2032(b)(c)
|
|
4,745,000
|
4,788,806
|
|
Vale Overseas Ltd., 6.00%,
02/25/2056(b)(d)
|
|
2,520,000
|
2,532,600
|
|
|
|
|
16,317,974
|
|
Canada–2.24%
|
|||
|
Bell Canada, 6.88%,
09/15/2055(d)
|
|
2,369,000
|
2,455,997
|
|
Brookfield Infrastructure
Finance ULC, 6.75%,
03/15/2055(d)
|
|
2,008,000
|
2,027,546
|
|
Constellation Software, Inc.,
5.16%, 02/16/2029(b)(c)
|
|
1,247,000
|
1,269,250
|
|
Element Fleet Management Corp.,
|
|
|
|
|
5.64%, 03/13/2027(b)
|
|
7,037,000
|
7,150,276
|
|
6.32%, 12/04/2028(b)(c)
|
|
3,671,000
|
3,869,881
|
|
Enbridge, Inc., 7.38%,
01/15/2083(c)(d)
|
|
7,381,000
|
7,606,104
|
|
New Gold, Inc., 6.88%,
04/01/2032(b)(c)
|
|
1,433,000
|
1,523,387
|
|
Northriver Midstream Finance
L.P., 6.75%,
07/15/2032(b)
|
|
576,000
|
586,443
|
|
RB Global Holdings, Inc.,
|
|
|
|
|
6.75%, 03/15/2028(b)
|
|
850,000
|
866,856
|
|
7.75%, 03/15/2031(b)
|
|
318,000
|
331,877
|
|
Rogers Communications, Inc.,
7.00%, 04/15/2055(c)(d)
|
|
2,190,000
|
2,272,611
|
|
South Bow Canadian
Infrastructure Holdings
Ltd., 7.63%,
03/01/2055(d)
|
|
3,819,000
|
3,983,782
|
|
|
Principal
Amount
|
Value
|
|
|
Canada–(continued)
|
|||
|
TELUS Corp., 6.38%,
06/09/2056(c)(d)
|
|
$2,178,000
|
$2,201,294
|
|
Transcanada Trust,
Series 16-A, 5.88%,
08/15/2076(d)
|
|
3,609,000
|
3,619,647
|
|
Wrangler Holdco Corp.,
6.63%, 04/01/2032(b)
|
|
429,000
|
446,692
|
|
|
|
|
40,211,643
|
|
Cayman Islands–0.11%
|
|||
|
Global Aircraft Leasing Co.
Ltd., 8.75%,
09/01/2027(b)
|
|
1,850,000
|
1,917,305
|
|
Chile–0.60%
|
|||
|
Banco de Credito e
Inversiones S.A.,
8.75%(b)(d)(e)
|
|
1,725,000
|
1,863,328
|
|
Banco del Estado de Chile,
7.95%(b)(d)(e)
|
|
1,003,000
|
1,067,503
|
|
Chile Electricity Lux MPC II
S.a.r.l., 5.58%,
10/20/2035(b)
|
|
1,461,370
|
1,501,450
|
|
Sociedad Quimica y Minera de Chile
S.A.,
|
|
|
|
|
5.50%, 09/10/2034(b)
|
|
4,885,000
|
4,962,183
|
|
5.63%, 04/22/2056(b)(d)
|
|
1,400,000
|
1,399,104
|
|
|
|
|
10,793,568
|
|
China–0.11%
|
|||
|
Alibaba Group Holding Ltd.,
Conv., 0.00%,
09/15/2030(b)(f)(g)
|
|
165,000
|
185,009
|
|
Prosus N.V., 3.68%,
01/21/2030(b)
|
|
1,800,000
|
1,735,255
|
|
|
|
|
1,920,264
|
|
Colombia–0.38%
|
|||
|
Ecopetrol S.A.,
|
|
|
|
|
8.63%, 01/19/2029
|
|
4,600,000
|
4,930,984
|
|
7.75%, 02/01/2032
|
|
1,930,000
|
1,983,023
|
|
|
|
|
6,914,007
|
|
Dominican Republic–0.22%
|
|||
|
Aeropuertos Dominicanos
Siglo XXI S.A., 7.00%,
06/30/2034(b)
|
|
2,055,000
|
2,157,288
|
|
Dominican Republic International
Bond,
|
|
|
|
|
4.50%, 01/30/2030(b)
|
|
720,000
|
703,260
|
|
4.88%, 09/23/2032(b)
|
|
1,200,000
|
1,151,676
|
|
|
|
|
4,012,224
|
|
Egypt–0.15%
|
|||
|
Egypt Government
International Bond,
8.63%, 02/04/2030(b)
|
|
2,415,000
|
2,636,017
|
|
|
Principal
Amount
|
Value
|
|
|
Finland–0.56%
|
|||
|
Nordea Bank Abp,
6.63%(b)(d)(e)
|
|
$10,000,000
|
$10,026,510
|
|
France–0.33%
|
|||
|
Electricite de France S.A.,
9.13%(b)(c)(d)(e)
|
|
2,334,000
|
2,763,844
|
|
Forvia SE, 8.00%,
06/15/2030(b)(c)
|
|
644,000
|
687,856
|
|
Iliad Holding S.A.S.,
|
|
|
|
|
7.00%, 10/15/2028(b)
|
|
143,000
|
144,750
|
|
8.50%, 04/15/2031(b)
|
|
1,466,000
|
1,570,738
|
|
7.00%, 04/15/2032(b)
|
|
82,000
|
84,149
|
|
Opal Bidco SAS, 6.50%,
03/31/2032(b)
|
|
585,000
|
597,321
|
|
|
|
|
5,848,658
|
|
Germany–0.29%
|
|||
|
Bayer US Finance LLC,
6.13%, 11/21/2026(b)
|
|
4,573,000
|
4,638,395
|
|
Cerdia Finanz GmbH, 9.38%,
10/03/2031(b)
|
|
579,000
|
591,865
|
|
|
|
|
5,230,260
|
|
Greece–0.04%
|
|||
|
Danaos Corp., 6.88%,
10/15/2032(b)
|
|
642,000
|
663,527
|
|
Guatemala–0.08%
|
|||
|
Energuate Trust 2.0, 6.35%,
09/15/2035(b)
|
|
1,440,000
|
1,440,204
|
|
Hong Kong–0.03%
|
|||
|
Melco Resorts Finance Ltd.,
6.50%, 09/24/2033(b)(c)
|
|
600,000
|
599,122
|
|
India–0.87%
|
|||
|
GMR Hyderabad International
Airport Ltd., 4.25%,
10/27/2027(b)
|
|
4,650,000
|
4,602,071
|
|
Muthoot Finance Ltd.,
|
|
|
|
|
7.13%, 02/14/2028(b)
|
|
3,650,000
|
3,740,750
|
|
6.38%, 04/23/2029(b)
|
|
7,200,000
|
7,371,969
|
|
|
|
|
15,714,790
|
|
Ireland–0.27%
|
|||
|
AerCap Ireland Capital
DAC/AerCap Global Aviation
Trust, 6.95%,
03/10/2055(d)
|
|
619,000
|
648,251
|
|
BB Blue Financing DAC,
Series A1, 4.40%,
09/20/2037
|
|
1,750,000
|
1,703,291
|
|
GGAM Finance Ltd., 6.88%,
04/15/2029(b)
|
|
1,237,000
|
1,282,875
|
|
Phoenix Aviation Capital Ltd.,
9.25%, 07/15/2030(b)
|
|
177,000
|
185,639
|
|
TrueNoord Capital DAC,
8.75%, 03/01/2030(b)(c)
|
|
910,000
|
960,414
|
|
|
|
|
4,780,470
|
|
Israel–0.04%
|
|||
|
Teva Pharmaceutical Finance
Netherlands III B.V.,
4.10%, 10/01/2046
|
|
850,000
|
650,928
|
|
|
Principal
Amount
|
Value
|
|
|
Italy–0.12%
|
|||
|
FiberCop S.p.A.,
|
|
|
|
|
6.00%, 09/30/2034(b)(c)
|
|
$1,025,000
|
$1,000,495
|
|
7.20%, 07/18/2036(b)
|
|
600,000
|
608,592
|
|
Telecom Italia Capital S.A.,
6.38%, 11/15/2033(c)
|
|
595,000
|
624,801
|
|
|
|
|
2,233,888
|
|
Japan–0.25%
|
|||
|
Kioxia Holdings Corp., 6.63%,
07/24/2033(b)
|
|
600,000
|
627,065
|
|
RLGH Finance Bermuda Ltd.,
6.75%, 07/02/2035(b)
|
|
3,600,000
|
3,812,006
|
|
|
|
|
4,439,071
|
|
Macau–0.51%
|
|||
|
MGM China Holdings Ltd.,
|
|
|
|
|
5.88%, 05/15/2026(b)
|
|
4,250,000
|
4,253,435
|
|
4.75%, 02/01/2027(b)
|
|
2,960,000
|
2,949,375
|
|
Studio City Finance Ltd.,
5.00%, 01/15/2029(b)(c)
|
|
736,000
|
713,677
|
|
Wynn Macau Ltd., 6.75%,
02/15/2034(b)(c)
|
|
1,260,000
|
1,278,294
|
|
|
|
|
9,194,781
|
|
Mexico–1.08%
|
|||
|
Banco Mercantil del Norte
S.A., 8.38%(b)(d)(e)
|
|
1,850,000
|
1,996,899
|
|
BBVA Bancomer S.A., 7.63%,
02/11/2035(b)(d)
|
|
4,320,000
|
4,569,447
|
|
CEMEX S.A.B. de C.V.,
5.13%(b)(d)(e)
|
|
2,487,000
|
2,484,508
|
|
Mexico Government
International Bond,
Series 10, 5.63%,
09/22/2035
|
|
442,000
|
433,823
|
|
Nemak S.A.B. de C.V., 3.63%,
06/28/2031(b)
|
|
3,064,000
|
2,669,469
|
|
Petroleos Mexicanos,
|
|
|
|
|
8.75%, 06/02/2029
|
|
6,400,000
|
6,875,719
|
|
6.63%, 06/15/2035
|
|
310,000
|
295,569
|
|
|
|
|
19,325,434
|
|
Netherlands–0.39%
|
|||
|
ING Groep N.V., 5.75%(d)(e)
|
|
7,000,000
|
7,046,126
|
|
Panama–0.09%
|
|||
|
Telecomunicaciones Digitales
S.A., 4.50%,
01/30/2030(b)
|
|
1,750,000
|
1,668,272
|
|
Peru–0.19%
|
|||
|
Compania de Minas
Buenaventura S.A.A.,
6.80%, 02/04/2032(b)
|
|
1,990,000
|
2,076,118
|
|
Orazul Energy Peru S.A.,
6.25%, 09/17/2032(b)
|
|
1,359,000
|
1,373,627
|
|
|
|
|
3,449,745
|
|
Serbia–0.10%
|
|||
|
Telecommunications Co.
Telekom Srbija AD
Belgrade, 7.00%,
10/28/2029(b)
|
|
1,877,000
|
1,889,346
|
|
|
Principal
Amount
|
Value
|
|
|
Spain–0.21%
|
|||
|
Repsol E&P Capital Markets US LLC,
|
|
|
|
|
4.81%, 09/16/2028(b)
|
|
$1,371,000
|
$1,387,172
|
|
5.20%, 09/16/2030(b)
|
|
1,392,000
|
1,413,839
|
|
5.98%, 09/16/2035(b)
|
|
900,000
|
919,229
|
|
|
|
|
3,720,240
|
|
Switzerland–0.51%
|
|||
|
Argentum Netherlands B.V.
for Swiss Re Ltd., 5.63%,
08/15/2052(b)(d)
|
|
460,000
|
466,752
|
|
Credit Suisse Group AG,
6.25%(b)(d)(e)(h)(i)
|
|
7,385,000
|
2,102,879
|
|
Zurich Finance Ireland
Designated Activity Co.,
3.00%, 04/19/2051(b)(d)
|
|
7,200,000
|
6,565,341
|
|
|
|
|
9,134,972
|
|
Thailand–0.08%
|
|||
|
GC Treasury Center Co. Ltd.,
6.50%(b)(d)(e)
|
|
1,461,000
|
1,476,836
|
|
Turkey–0.10%
|
|||
|
Akbank Turk A.S., 7.88%,
09/04/2035(b)(d)
|
|
1,800,000
|
1,850,879
|
|
United Kingdom–2.36%
|
|||
|
Aberdeen Group PLC, 4.25%,
06/30/2028(b)
|
|
1,825,000
|
1,802,963
|
|
B.A.T. Capital Corp., 6.00%,
02/20/2034
|
|
2,730,000
|
2,923,213
|
|
Barclays Bank PLC,
6.28%(d)(e)
|
|
9,030,000
|
9,543,355
|
|
Beazley Insurance DAC,
5.50%, 09/10/2029(b)
|
|
2,880,000
|
2,956,474
|
|
British Telecommunications
PLC, 4.25%,
11/23/2081(b)(d)
|
|
10,850,000
|
10,809,174
|
|
California Buyer Ltd./Atlantica
Sustainable Infrastructure
PLC, 6.38%,
02/15/2032(b)
|
|
935,000
|
933,405
|
|
Hiscox Ltd., 7.00%,
06/11/2036(b)(d)
|
|
1,800,000
|
1,938,713
|
|
Howden UK Refinance 2 PLC,
8.13%, 02/15/2032
|
|
364,000
|
371,286
|
|
Lloyds Banking Group PLC,
6.75%(d)(e)
|
|
5,200,000
|
5,243,633
|
|
M&G PLC, 6.50%,
10/20/2048(b)(d)
|
|
925,000
|
963,734
|
|
Virgin Media Secured Finance
PLC, 5.50%,
05/15/2029(b)(c)
|
|
1,344,000
|
1,326,309
|
|
VMED O2 UK Financing I PLC,
6.75%, 01/15/2033(b)
|
|
674,000
|
658,100
|
|
Vodafone Group PLC, 4.13%,
06/04/2081(d)
|
|
1,348,000
|
1,269,057
|
|
Weir Group, Inc., 5.35%,
05/06/2030(b)
|
|
1,568,000
|
1,610,202
|
|
|
|
|
42,349,618
|
|
United States–15.78%
|
|||
|
1261229 BC Ltd., 10.00%,
04/15/2032(b)
|
|
620,000
|
636,902
|
|
Acadia Healthcare Co., Inc.,
7.38%, 03/15/2033(b)(c)
|
|
331,000
|
327,374
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Acrisure LLC/Acrisure
Finance, Inc., 7.50%,
11/06/2030(b)
|
|
$555,000
|
$574,895
|
|
AECOM, 6.00%,
08/01/2033(b)
|
|
612,000
|
627,365
|
|
AES Corp. (The), 7.60%,
01/15/2055(d)
|
|
5,140,000
|
5,214,859
|
|
Air Lease Corp., Series B,
4.65%(d)(e)
|
|
663,000
|
662,099
|
|
Aircastle Ltd., 5.25%(b)(d)(e)
|
|
653,000
|
654,332
|
|
Alliant Holdings
Intermediate LLC/Alliant
Holdings Co-Issuer, 7.00%,
01/15/2031(b)
|
|
897,000
|
930,550
|
|
Allison Transmission, Inc.,
|
|
|
|
|
3.75%, 01/30/2031(b)
|
|
1,369,000
|
1,291,147
|
|
5.88%, 12/01/2033(b)
|
|
322,000
|
326,743
|
|
American Airlines, Inc./AAdvantage
Loyalty IP Ltd.,
|
|
|
|
|
5.50%, 04/20/2026(b)
|
|
687,510
|
688,337
|
|
5.75%, 04/20/2029(b)
|
|
607,000
|
613,610
|
|
American Axle &
Manufacturing, Inc.,
7.75%, 10/15/2033(b)(c)
|
|
641,000
|
659,760
|
|
Amneal Pharmaceuticals LLC,
6.88%, 08/01/2032(b)
|
|
680,000
|
716,869
|
|
Antero Midstream Partners
L.P./Antero Midstream Finance
Corp.,
|
|
|
|
|
6.63%, 02/01/2032(b)
|
|
577,000
|
599,738
|
|
5.75%, 07/01/2034(b)
|
|
677,000
|
684,201
|
|
AP Grange Holdings LLC,
|
|
|
|
|
6.50%, 03/20/2045(b)
|
|
487,000
|
517,437
|
|
6.50%, 03/20/2045
|
|
37,352
|
37,352
|
|
Ares Capital Corp., 5.88%,
03/01/2029(c)
|
|
4,550,000
|
4,670,006
|
|
Asurion LLC and Asurion Co-Issuer,
Inc.,
|
|
|
|
|
8.00%, 12/31/2032(b)
|
|
646,000
|
675,364
|
|
8.38%, 02/01/2034(b)
|
|
314,000
|
317,737
|
|
Beignet Investor LLC, 6.58%,
05/30/2049(b)
|
|
622,000
|
648,075
|
|
Berry Global, Inc., 5.65%,
01/15/2034(c)
|
|
2,019,000
|
2,108,166
|
|
BioMarin Pharmaceutical, Inc.,
5.50%, 02/15/2034(b)
|
|
241,000
|
241,969
|
|
BP Capital Markets PLC,
4.88%(c)(d)(e)
|
|
1,315,000
|
1,305,978
|
|
Bread Financial Holdings, Inc.,
8.38%, 06/15/2035(b)(d)
|
|
300,000
|
308,108
|
|
Brink’s Co. (The), 6.75%,
06/15/2032(b)(c)
|
|
1,203,000
|
1,253,326
|
|
Bristow Group, Inc., 6.75%,
02/01/2033(b)
|
|
657,000
|
665,006
|
|
Brundage-Bone Concrete
Pumping Holdings, Inc.,
7.50%, 02/01/2032(b)(c)
|
|
627,000
|
631,521
|
|
Carriage Services, Inc.,
4.25%, 05/15/2029(b)
|
|
1,021,000
|
983,883
|
|
Carvana Co., 14.00% PIK
Rate, 9.00% Cash Rate,
06/01/2031(b)(c)(j)
|
|
574,590
|
632,605
|
|
Caturus Energy LLC, 8.50%,
02/15/2030(b)
|
|
915,000
|
954,633
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
CCO Holdings LLC/CCO Holdings
Capital Corp.,
|
|
|
|
|
5.38%, 06/01/2029(b)
|
|
$511,000
|
$505,604
|
|
4.75%, 03/01/2030(b)
|
|
4,399,000
|
4,205,162
|
|
4.50%, 08/15/2030(b)(c)
|
|
3,710,000
|
3,489,611
|
|
4.75%, 02/01/2032(b)(c)
|
|
896,000
|
819,110
|
|
4.50%, 05/01/2032
|
|
736,000
|
661,117
|
|
4.50%, 06/01/2033(b)(c)
|
|
764,000
|
669,117
|
|
Celanese US Holdings LLC,
|
|
|
|
|
7.20%, 11/15/2033(c)
|
|
451,000
|
477,398
|
|
7.38%, 02/15/2034
|
|
168,000
|
171,064
|
|
CenterPoint Energy, Inc.,
6.70%, 05/15/2055(d)
|
|
7,200,000
|
7,397,359
|
|
Charles Schwab Corp. (The),
6.20%, 11/17/2029(d)
|
|
3,963,000
|
4,188,072
|
|
CHC Group LLC, 11.75%,
09/01/2030(b)
|
|
474,000
|
456,065
|
|
Cheniere Energy, Inc.,
5.65%, 04/15/2034
|
|
2,036,000
|
2,111,739
|
|
Cipher Compute LLC, 7.13%,
11/15/2030(b)
|
|
633,000
|
653,041
|
|
Clarios Global L.P./Clarios US
Finance Co.,
|
|
|
|
|
6.75%, 02/15/2030(b)
|
|
800,000
|
837,333
|
|
6.75%, 09/15/2032(b)
|
|
118,000
|
122,208
|
|
Clarivate Science Holdings
Corp., 4.88%,
07/01/2029(b)(c)
|
|
905,000
|
778,680
|
|
Cleveland-Cliffs, Inc.,
|
|
|
|
|
6.88%, 11/01/2029(b)
|
|
156,000
|
162,215
|
|
7.00%, 03/15/2032(b)(c)
|
|
459,000
|
471,616
|
|
Cloud Software Group, Inc.,
|
|
|
|
|
9.00%, 09/30/2029(b)
|
|
350,000
|
353,833
|
|
8.25%, 06/30/2032(b)(c)
|
|
547,000
|
556,900
|
|
Clydesdale Acquisition Holdings,
Inc.,
|
|
|
|
|
8.75%, 04/15/2030(b)(c)
|
|
318,000
|
318,495
|
|
6.75%, 04/15/2032(b)
|
|
315,000
|
317,676
|
|
CMS Energy Corp., 6.50%,
06/01/2055(d)
|
|
6,859,000
|
7,087,638
|
|
Community Health Systems, Inc.,
|
|
|
|
|
5.25%, 05/15/2030(b)(c)
|
|
339,000
|
319,904
|
|
4.75%, 02/15/2031(b)
|
|
354,000
|
317,815
|
|
Comstock Resources, Inc.,
6.75%, 03/01/2029(b)
|
|
607,000
|
611,244
|
|
CoreWeave, Inc.,
|
|
|
|
|
9.25%, 06/01/2030(b)
|
|
137,000
|
135,044
|
|
9.00%, 02/01/2031(b)
|
|
200,000
|
194,702
|
|
Cougar JV Subsidiary LLC,
8.00%, 05/15/2032(b)
|
|
588,000
|
628,770
|
|
Cousins Properties L.P.,
5.25%, 07/15/2030
|
|
4,045,000
|
4,154,326
|
|
CVS Health Corp., 6.75%,
12/10/2054(c)(d)
|
|
1,090,000
|
1,133,669
|
|
DaVita, Inc.,
|
|
|
|
|
6.88%, 09/01/2032(b)
|
|
285,000
|
293,751
|
|
6.75%, 07/15/2033(b)
|
|
305,000
|
313,274
|
|
Dell International LLC/EMC
Corp., 6.20%,
07/15/2030
|
|
7,515,000
|
8,023,496
|
|
Directv Financing LLC,
8.88%, 02/01/2030(b)
|
|
158,000
|
160,174
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Directv Financing LLC/Directv
Financing Co-Obligor, Inc.,
|
|
|
|
|
5.88%, 08/15/2027(b)
|
|
$125,000
|
$125,673
|
|
10.00%, 02/15/2031(b)
|
|
81,000
|
83,502
|
|
Discovery
Communications LLC,
4.13%, 05/15/2029
|
|
667,000
|
648,484
|
|
Diversified Healthcare Trust,
7.25%, 10/15/2030(b)
|
|
632,000
|
651,718
|
|
Endo Finance Holdings, Inc.,
8.50%, 04/15/2031(b)
|
|
583,000
|
617,605
|
|
Energy Transfer L.P.,
|
|
|
|
|
8.00%, 05/15/2054(d)
|
|
2,105,000
|
2,250,626
|
|
7.13%, 10/01/2054(d)
|
|
10,852,000
|
11,242,119
|
|
EnerSys,
|
|
|
|
|
4.38%, 12/15/2027(b)
|
|
605,000
|
601,079
|
|
6.63%, 01/15/2032(b)
|
|
286,000
|
296,580
|
|
Enpro, Inc., 6.13%,
06/01/2033(b)
|
|
1,194,000
|
1,230,738
|
|
Entergy Corp., 7.13%,
12/01/2054(c)(d)
|
|
5,559,000
|
5,823,153
|
|
ESAB Corp., 6.25%,
04/15/2029(b)
|
|
867,000
|
891,954
|
|
Excelerate Energy L.P.,
8.00%, 05/15/2030(b)
|
|
578,000
|
618,406
|
|
EZCORP, Inc., 7.38%,
04/01/2032(b)(c)
|
|
1,830,000
|
1,954,025
|
|
Fedex Freight Holding Co., Inc.,
|
|
|
|
|
4.65%, 03/15/2031(b)
|
|
1,105,000
|
1,105,162
|
|
5.25%, 03/15/2036(b)
|
|
512,000
|
507,512
|
|
FirstCash, Inc., 6.88%,
03/01/2032(b)
|
|
617,000
|
642,144
|
|
FMC Corp., 3.45%,
10/01/2029
|
|
130,000
|
116,809
|
|
Freedom Mortgage
Holdings LLC, 8.38%,
04/01/2032(b)
|
|
300,000
|
314,032
|
|
Freeport-McMoRan, Inc.,
4.63%, 08/01/2030
|
|
6,660,000
|
6,714,637
|
|
General Motors Co., 6.80%,
10/01/2027(c)
|
|
8,383,000
|
8,716,807
|
|
Genesis Energy L.P./Genesis Energy
Finance Corp.,
|
|
|
|
|
7.88%, 05/15/2032(c)
|
|
438,000
|
457,319
|
|
8.00%, 05/15/2033
|
|
427,000
|
445,844
|
|
Getty Images, Inc., 10.50%,
11/15/2030(b)(c)
|
|
635,000
|
643,495
|
|
GFL Environmental Holdings
(US), Inc., 5.50%,
02/01/2034(b)
|
|
530,000
|
531,883
|
|
Global Partners L.P./GLP
Finance Corp., 7.13%,
07/01/2033(b)
|
|
615,000
|
630,379
|
|
Gray Media, Inc., 9.63%,
07/15/2032(b)
|
|
174,000
|
179,526
|
|
Great Lakes Dredge & Dock
Corp., 5.25%,
06/01/2029(b)
|
|
650,000
|
639,885
|
|
Greystar Real Estate
Partners LLC, 7.75%,
09/01/2030(b)
|
|
236,000
|
249,216
|
|
Group 1 Automotive, Inc.,
|
|
|
|
|
4.00%, 08/15/2028(b)
|
|
1,381,000
|
1,351,223
|
|
6.38%, 01/15/2030(b)
|
|
589,000
|
605,725
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
HA Sustainable Infrastructure
Capital, Inc., 8.00%,
06/01/2056(d)
|
|
$630,000
|
$660,996
|
|
Hawaiian Electric Co., Inc.,
6.00%, 10/01/2033(b)
|
|
950,000
|
964,897
|
|
Hilcorp Energy I L.P./Hilcorp
Finance Co.,
|
|
|
|
|
6.00%, 04/15/2030(b)
|
|
667,000
|
656,830
|
|
8.38%, 11/01/2033(b)
|
|
585,000
|
607,718
|
|
Hilton Domestic Operating
Co., Inc., 5.88%,
03/15/2033(b)
|
|
1,170,000
|
1,201,145
|
|
Hologic, Inc., 3.25%,
02/15/2029(b)
|
|
658,000
|
655,978
|
|
HUB International Ltd.,
7.25%, 06/15/2030(b)
|
|
853,000
|
890,450
|
|
Hyundai Capital America,
4.90%, 06/23/2028(b)
|
|
7,133,000
|
7,253,053
|
|
Iron Mountain Information
Management Services, Inc.,
5.00%, 07/15/2032(b)
|
|
627,000
|
600,244
|
|
Iron Mountain, Inc.,
|
|
|
|
|
7.00%, 02/15/2029(b)
|
|
1,125,000
|
1,156,679
|
|
4.50%, 02/15/2031(b)
|
|
658,000
|
629,241
|
|
J.M. Smucker Co. (The),
5.90%, 11/15/2028
|
|
3,489,000
|
3,654,180
|
|
Jane Street Group/JSG Finance,
Inc.,
|
|
|
|
|
4.50%, 11/15/2029(b)
|
|
500,000
|
492,996
|
|
6.13%, 11/01/2032(b)
|
|
621,000
|
632,834
|
|
6.75%, 05/01/2033(b)
|
|
583,000
|
606,675
|
|
Keurig Dr Pepper, Inc.,
4.35%, 05/15/2028
|
|
1,661,000
|
1,668,606
|
|
L3Harris Technologies, Inc.,
5.40%, 01/15/2027
|
|
2,972,000
|
3,013,675
|
|
Lamar Media Corp., 4.88%,
01/15/2029
|
|
1,890,000
|
1,891,200
|
|
LCM Investments Holdings
II LLC, 8.25%,
08/01/2031(b)
|
|
566,000
|
596,585
|
|
Level 3 Financing, Inc.,
|
|
|
|
|
6.88%, 06/30/2033(b)
|
|
652,000
|
672,252
|
|
7.00%, 03/31/2034(b)
|
|
645,167
|
668,790
|
|
8.50%, 01/15/2036(b)
|
|
275,000
|
281,791
|
|
Lithia Motors, Inc.,
|
|
|
|
|
5.50%, 10/01/2030(b)
|
|
346,000
|
347,736
|
|
4.38%, 01/15/2031(b)(c)
|
|
650,000
|
626,060
|
|
Lsf12 Helix Parent LLC,
7.13%, 02/01/2033(b)
|
|
122,000
|
122,663
|
|
Lumen Technologies, Inc.,
10.00%, 10/15/2032(b)
|
|
114,000
|
114,000
|
|
Mars, Inc., 4.80%,
03/01/2030(b)(c)
|
|
1,214,000
|
1,240,708
|
|
Mattel, Inc., 6.20%,
10/01/2040
|
|
1,807,000
|
1,841,832
|
|
Men’s Wearhouse LLC (The),
9.00%, 02/01/2031(b)
|
|
122,000
|
126,999
|
|
MPT Operating Partnership
L.P./MPT Finance Corp.,
8.50%, 02/15/2032(b)
|
|
113,000
|
121,129
|
|
Nationstar Mortgage Holdings, Inc.,
|
|
|
|
|
6.50%, 08/01/2029(b)
|
|
546,000
|
552,763
|
|
7.13%, 02/01/2032(b)
|
|
576,000
|
576,000
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Navient Corp.,
|
|
|
|
|
9.38%, 07/25/2030
|
|
$205,000
|
$220,894
|
|
7.88%, 06/15/2032
|
|
709,000
|
716,495
|
|
NESCO Holdings II, Inc.,
5.50%, 04/15/2029(b)(c)
|
|
623,000
|
614,287
|
|
New Enterprise Stone & Lime
Co., Inc., 5.25%,
07/15/2028(b)
|
|
599,000
|
599,613
|
|
Newell Brands, Inc.,
|
|
|
|
|
6.63%, 09/15/2029
|
|
288,000
|
288,548
|
|
6.38%, 05/15/2030(c)
|
|
635,000
|
628,288
|
|
NextEra Energy Capital
Holdings, Inc., 6.75%,
06/15/2054(c)(d)
|
|
4,614,000
|
4,904,807
|
|
OneMain Finance Corp.,
|
|
|
|
|
6.63%, 05/15/2029
|
|
554,000
|
571,743
|
|
4.00%, 09/15/2030
|
|
149,000
|
140,180
|
|
7.13%, 11/15/2031
|
|
278,000
|
288,272
|
|
6.75%, 03/15/2032
|
|
525,000
|
537,230
|
|
7.13%, 09/15/2032(c)
|
|
375,000
|
388,819
|
|
ONEOK, Inc.,
|
|
|
|
|
5.55%, 11/01/2026
|
|
2,947,000
|
2,978,028
|
|
6.63%, 09/01/2053
|
|
3,698,000
|
3,894,619
|
|
Osaic Holdings, Inc.,
|
|
|
|
|
6.75%, 08/01/2032(b)
|
|
342,000
|
354,678
|
|
Series JAN, 6.75%,
08/01/2032(b)
|
|
268,000
|
277,758
|
|
Paramount Global, 2.90%,
01/15/2027
|
|
3,852,000
|
3,792,288
|
|
PennyMac Financial Services,
Inc., 4.25%,
02/15/2029(b)
|
|
310,000
|
298,499
|
|
Penske Truck Leasing Co.
L.P./PTL Finance Corp.,
6.05%, 08/01/2028(b)
|
|
7,383,000
|
7,696,379
|
|
PetSmart LLC/PetSmart
Finance Corp., 7.50%,
09/15/2032(b)
|
|
625,000
|
641,294
|
|
Phinia, Inc.,
|
|
|
|
|
6.75%, 04/15/2029(b)
|
|
256,000
|
264,954
|
|
6.63%, 10/15/2032(b)(c)
|
|
324,000
|
337,533
|
|
PNC Financial Services Group,
Inc. (The), 6.62%,
10/20/2027(d)
|
|
5,593,000
|
5,696,879
|
|
Prairie Acquiror L.P., 9.00%,
08/01/2029(b)
|
|
173,000
|
179,555
|
|
Provident Funding Associates
L.P./PFG Finance Corp.,
9.75%, 09/15/2029(b)
|
|
848,000
|
890,116
|
|
Reinsurance Group of
America, Inc., 6.65%,
09/15/2055(d)
|
|
723,000
|
746,759
|
|
RHP Hotel Properties L.P./RHP
Finance Corp., 6.50%,
06/15/2033(b)(c)
|
|
592,000
|
613,941
|
|
RLJ Lodging Trust L.P.,
4.00%, 09/15/2029(b)(c)
|
|
651,000
|
619,817
|
|
Rocket Cos., Inc., 6.13%,
08/01/2030(b)
|
|
599,000
|
613,618
|
|
Roller Bearing Co. of America,
Inc., 4.38%,
10/15/2029(b)
|
|
981,000
|
967,262
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Saks Global Enterprises LLC,
11.00%,
12/15/2029(b)(h)
|
|
$339,720
|
$1,699
|
|
Seagate Data Storage Technology
Pte. Ltd.,
|
|
|
|
|
4.13%, 01/15/2031(b)
|
|
1,069,000
|
1,019,495
|
|
9.63%, 12/01/2032(b)
|
|
1,512,800
|
1,711,143
|
|
Sempra,
|
|
|
|
|
4.13%, 04/01/2052(d)
|
|
10,842,000
|
10,748,840
|
|
6.38%, 04/01/2056(c)(d)
|
|
2,088,000
|
2,137,080
|
|
Sensata Technologies, Inc.,
3.75%, 02/15/2031(b)(c)
|
|
650,000
|
610,217
|
|
SGUS LLC, 11.00%,
12/15/2029(b)(h)
|
|
165,280
|
5,372
|
|
Sinclair Television Group, Inc.,
8.13%, 02/15/2033(b)
|
|
117,000
|
121,091
|
|
Six Flags Entertainment
Corp./Six Flags Theme
Parks, Inc./Canada’s
Wonderland Co., 6.63%,
05/01/2032(b)
|
|
640,000
|
654,322
|
|
Solventum Corp., 5.45%,
02/25/2027
|
|
1,556,000
|
1,578,604
|
|
Southern Co. (The),
Series 21-A, 3.75%,
09/15/2051(d)
|
|
5,367,000
|
5,346,631
|
|
SS&C Technologies, Inc.,
5.50%, 09/30/2027(b)
|
|
608,000
|
607,830
|
|
Starz Capital Holdings 1, Inc.,
6.00%, 04/15/2030(b)
|
|
682,000
|
640,227
|
|
State Street Corp.,
|
|
|
|
|
Series I, 6.70%(c)(d)(e)
|
|
3,415,000
|
3,544,234
|
|
6.45%(d)(e)
|
|
8,733,000
|
9,053,754
|
|
Summit Midstream
Holdings LLC, 8.63%,
10/31/2029(b)(c)
|
|
582,000
|
608,388
|
|
Sunoco L.P.,
|
|
|
|
|
5.63%, 03/15/2031(b)
|
|
86,000
|
86,568
|
|
6.25%, 07/01/2033(b)
|
|
474,000
|
486,461
|
|
5.88%, 03/15/2034(b)
|
|
504,000
|
505,579
|
|
7.88%(b)(d)(e)
|
|
188,000
|
193,760
|
|
Tenet Healthcare Corp.,
|
|
|
|
|
6.75%, 05/15/2031
|
|
883,000
|
917,709
|
|
5.50%, 11/15/2032(b)
|
|
1,622,000
|
1,639,461
|
|
6.00%, 11/15/2033(b)
|
|
53,000
|
54,564
|
|
Tidewater, Inc., 9.13%,
07/15/2030(b)
|
|
584,000
|
632,113
|
|
TransDigm, Inc.,
|
|
|
|
|
6.75%, 08/15/2028(b)
|
|
3,600,000
|
3,665,084
|
|
6.38%, 03/01/2029(b)
|
|
1,970,000
|
2,028,263
|
|
6.00%, 01/15/2033(b)
|
|
138,000
|
140,694
|
|
6.25%, 01/31/2034(b)(c)
|
|
600,000
|
620,366
|
|
Transocean International Ltd.,
7.88%, 10/15/2032(b)
|
|
639,000
|
674,341
|
|
U.S. International
Development Finance
Corp., Series 4, 3.13%,
04/15/2028
|
|
1,120,000
|
1,102,774
|
|
United Airlines Holdings, Inc.,
5.38%, 03/01/2031
|
|
1,584,000
|
1,601,711
|
|
United AirLines, Inc., 4.38%,
04/15/2026(b)
|
|
3,664,000
|
3,663,384
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Uniti Group L.P./Uniti Group
Finance 2019, Inc./CSL
Capital LLC, 8.63%,
06/15/2032(b)
|
|
$104,000
|
$105,096
|
|
Uniti Services LLC, 7.50%,
10/15/2033(b)
|
|
550,000
|
568,122
|
|
Univision Communications, Inc.,
|
|
|
|
|
8.00%, 08/15/2028(b)
|
|
330,000
|
340,750
|
|
9.38%, 08/01/2032(b)
|
|
255,000
|
274,667
|
|
Vail Resorts, Inc., 5.63%,
07/15/2030(b)
|
|
625,000
|
635,062
|
|
Velocity Commercial
Capital LLC, 9.38%,
02/15/2031(b)
|
|
667,000
|
677,839
|
|
Venture Global LNG, Inc.,
|
|
|
|
|
9.88%, 02/01/2032(b)(c)
|
|
978,000
|
1,034,647
|
|
9.00%(b)(c)(d)(e)
|
|
760,000
|
669,061
|
|
Venture Global Plaquemines
LNG LLC,
|
|
|
|
|
6.13%, 12/15/2030(b)
|
|
384,000
|
395,432
|
|
6.50%, 01/15/2034(b)
|
|
238,000
|
247,108
|
|
6.75%, 01/15/2036(b)
|
|
654,000
|
685,869
|
|
Versant Media Group, Inc.,
7.25%, 01/30/2031(b)(c)
|
|
628,000
|
643,985
|
|
Viatris, Inc., 3.85%,
06/22/2040
|
|
2,254,000
|
1,736,229
|
|
Viking Cruises Ltd., 5.88%,
10/15/2033(b)
|
|
946,000
|
959,492
|
|
Vistra Corp.,
|
|
|
|
|
Series C, 8.88%(b)(d)(e)
|
|
915,000
|
1,005,342
|
|
8.00%(b)(d)(e)
|
|
296,000
|
301,651
|
|
Vistra Operations Co. LLC,
|
|
|
|
|
5.63%, 02/15/2027(b)
|
|
817,000
|
817,966
|
|
6.88%, 04/15/2032(b)
|
|
1,057,000
|
1,111,171
|
|
VoltaGrid LLC, 7.38%,
11/01/2030(b)
|
|
1,297,000
|
1,314,349
|
|
Voyager Parent LLC, 9.25%,
07/01/2032(b)
|
|
573,000
|
609,013
|
|
Walker & Dunlop, Inc., 6.63%,
04/01/2033(b)(c)
|
|
580,000
|
594,885
|
|
WarnerMedia Holdings, Inc.,
|
|
|
|
|
4.28%, 03/15/2032(c)
|
|
210,000
|
185,062
|
|
5.05%, 03/15/2042
|
|
437,000
|
308,085
|
|
5.14%, 03/15/2052
|
|
194,000
|
129,423
|
|
WULF Compute LLC, 7.75%,
10/15/2030(b)(c)
|
|
625,000
|
652,469
|
|
|
|
|
283,438,821
|
|
Uzbekistan–0.08%
|
|||
|
Navoi Mining and Metallurgical
Combinat, 6.70%,
10/17/2028(b)
|
|
1,380,000
|
1,432,031
|
|
Total U.S. Dollar Denominated Bonds & Notes
(Cost $537,014,881)
|
539,218,604
|
||
|
|
|
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes–21.07%(k)
|
|||
|
Argentina–0.46%
|
|||
|
Argentina Treasury Bond,
29.50%, 04/27/2027(f)
|
ARS
|
10,335,000,000
|
8,289,429
|
|
Australia–1.08%
|
|||
|
Queensland Treasury Corp.,
5.25%, 08/13/2038(b)
|
AUD
|
11,300,000
|
7,620,577
|
|
|
Principal
Amount
|
Value
|
|
|
Australia–(continued)
|
|||
|
Treasury Corporation of
Victoria, 5.50%,
11/17/2026
|
AUD
|
16,605,000
|
$11,690,087
|
|
|
|
|
19,310,664
|
|
Brazil–6.11%
|
|||
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
Class NTNF, 10.00%,
01/01/2031
|
BRL
|
523,000,000
|
89,627,263
|
|
Series B, 6.00%,
05/15/2055
|
BRL
|
26,010,000
|
20,119,231
|
|
|
|
|
109,746,494
|
|
Canada–0.65%
|
|||
|
Province of Ontario, 5.85%,
03/08/2033
|
CAD
|
13,800,000
|
11,640,079
|
|
Czech Republic–0.27%
|
|||
|
CPI Property Group S.A.,
4.88%(b)(d)(e)
|
EUR
|
4,100,000
|
4,779,765
|
|
France–2.30%
|
|||
|
BNP Paribas S.A., 2.00%,
05/24/2031(b)(d)
|
GBP
|
7,300,000
|
9,911,062
|
|
BPCE S.A.,
|
|
|
|
|
5.13%, 01/25/2035(b)(d)
|
EUR
|
8,700,000
|
10,916,815
|
|
Series NC5, 1.50%,
01/13/2042(b)(d)
|
EUR
|
3,000,000
|
3,521,934
|
|
CMA CGM S.A., 4.88%,
01/15/2032(b)
|
EUR
|
575,000
|
667,542
|
|
Electricite de France S.A.,
|
|
|
|
|
7.50%(b)(d)(e)
|
EUR
|
2,600,000
|
3,381,105
|
|
7.38%(b)(d)(e)
|
GBP
|
3,700,000
|
5,320,070
|
|
4.38%(b)(d)(e)
|
EUR
|
2,600,000
|
3,089,395
|
|
La Banque Postale,
3.88%(b)(d)(e)
|
EUR
|
3,800,000
|
4,508,495
|
|
|
|
|
41,316,418
|
|
Germany–0.63%
|
|||
|
Hannover Rueck SE, 5.88%,
08/26/2043(b)(d)
|
EUR
|
3,700,000
|
4,958,979
|
|
Norddeutsche Landesbank -
Girozentrale, 4.38%,
12/10/2035(b)(d)
|
EUR
|
3,800,000
|
4,603,018
|
|
Volkswagen International
Finance N.V., 4.63%(b)(d)(e)
|
EUR
|
1,440,000
|
1,710,667
|
|
|
|
|
11,272,664
|
|
Greece–0.13%
|
|||
|
Eurobank S.A., 5.88%,
11/28/2029(b)(d)
|
EUR
|
1,825,000
|
2,338,712
|
|
India–0.39%
|
|||
|
India Government Bond,
7.09%, 08/05/2054
|
INR
|
675,000,000
|
7,071,578
|
|
Ivory Coast–0.15%
|
|||
|
Ivory Coast Government
International Bond,
5.25%, 03/22/2030(b)
|
EUR
|
2,300,000
|
2,779,110
|
|
Mexico–5.16%
|
|||
|
Mexican Bonos, Series M,
8.50%, 02/28/2030
|
MXN
|
1,241,000,000
|
71,896,101
|
|
|
Principal
Amount
|
Value
|
|
|
Mexico–(continued)
|
|||
|
Mexican Udibonos, Series S,
4.00%, 08/30/2029
|
MXN
|
364,737,492
|
$20,688,477
|
|
|
|
|
92,584,578
|
|
Netherlands–0.03%
|
|||
|
Sunrise FinCo I B.V., 4.63%,
05/15/2032(Acquired
05/21/2025-05/28/2025;
Cost $595,879)(b)(l)
|
EUR
|
525,000
|
630,809
|
|
South Africa–2.35%
|
|||
|
Republic of South Africa
Government Bond,
|
|
|
|
|
Series 2040, 9.00%,
01/31/2040
|
ZAR
|
315,000,000
|
19,989,392
|
|
Series 2048, 8.75%,
02/28/2048
|
ZAR
|
361,910,000
|
22,138,545
|
|
|
|
|
42,127,937
|
|
Spain–0.26%
|
|||
|
Telefonica Europe, B.V.,
6.75%(b)(d)(e)
|
EUR
|
3,600,000
|
4,763,035
|
|
Supranational–0.11%
|
|||
|
African Development Bank,
0.00%, 01/17/2050(g)
|
ZAR
|
222,000,000
|
1,803,922
|
|
International Finance Corp.,
0.00%, 02/15/2029(b)(g)
|
TRY
|
10,300,000
|
104,534
|
|
|
|
|
1,908,456
|
|
United Kingdom–0.44%
|
|||
|
United Kingdom Gilt, 4.38%,
07/31/2054(b)
|
GBP
|
6,680,000
|
7,920,719
|
|
United States–0.55%
|
|||
|
Ford Motor Credit Co. LLC,
6.86%, 06/05/2026
|
GBP
|
7,200,000
|
9,924,840
|
|
Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $362,736,893)
|
378,405,287
|
||
|
|
|||
|
Asset-Backed Securities–15.02%
|
|||
|
Angel Oak Mortgage Trust,
|
|
|
|
|
Series 2024-8, Class A3,
5.75%, 05/27/2069(b)
|
|
$2,063,810
|
2,080,941
|
|
Series 2024-12, Class A2,
5.86%, 10/25/2069(b)
|
|
639,878
|
647,337
|
|
Series 2024-12, Class A3,
6.01%, 10/25/2069(b)
|
|
1,038,861
|
1,051,315
|
|
Series 2025-6, Class A3,
5.92%, 04/25/2070(b)
|
|
2,475,426
|
2,507,360
|
|
Bear Stearns Adjustable Rate
Mortgage Trust,
Series 2006-1, Class A1,
0.65% (1 yr. U.S. Treasury
Yield Curve Rate + 2.25%),
02/25/2036(m)
|
|
8,276
|
8,024
|
|
Benchmark Mortgage Trust,
Series 2018-B1, Class XA,
IO, 0.52%,
01/15/2051(n)
|
|
8,216,143
|
77,808
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
BRAVO Residential Funding Trust,
|
|
|
|
|
Series 2023-NQM7,
Class A1, 7.13%,
09/25/2063(b)
|
|
$2,087,484
|
$2,114,521
|
|
Series 2023-NQM7,
Class A2, 7.38%,
09/25/2063(b)
|
|
2,936,690
|
2,977,135
|
|
CD Mortgage Trust,
Series 2017-CD6,
Class XA, IO, 0.87%,
11/13/2050(n)
|
|
3,811,631
|
42,034
|
|
Citigroup Commercial
Mortgage Trust,
Series 2017-C4, Class XA,
IO, 0.97%, 10/12/2050(n)
|
|
11,506,617
|
149,356
|
|
Citigroup Mortgage Loan Trust,
|
|
|
|
|
Series 2006-AR1,
Class 1A1, 6.56% (1 yr.
U.S. Treasury Yield Curve
Rate + 2.40%),
10/25/2035(m)
|
|
61,909
|
60,135
|
|
Series 2025-2, Class A10,
6.00%, 02/25/2055(b)(o)
|
|
1,569,792
|
1,594,318
|
|
Citigroup Mortgage Loan
Trust, Inc., Series 2005-2,
Class 1A3, 2.82%,
05/25/2035(o)
|
|
283,374
|
277,495
|
|
COLT Mortgage Loan Trust,
Series 2024-INV1,
Class A3, 6.48%,
12/25/2068(b)
|
|
730,362
|
737,243
|
|
Countrywide Home Loans Mortgage
Pass-Through Trust,
|
|
|
|
|
Series 2005-17,
Class 1A8, 5.50%,
09/25/2035
|
|
212,463
|
211,754
|
|
Series 2005-J4, Class A7,
5.50%, 11/25/2035
|
|
385,146
|
317,092
|
|
CWHEQ Revolving Home Equity
Loan Trust, Series 2006-H,
Class 2A1A, 6.65% (1 mo.
Term SOFR + 0.26%),
11/15/2036(m)
|
|
16,363
|
14,805
|
|
FREMF Mortgage Trust,
|
|
|
|
|
Series 2017-K62, Class B,
3.88%, 01/25/2050(b)(o)
|
|
840,000
|
834,883
|
|
Series 2016-K54, Class C,
4.14%, 04/25/2048(b)(o)
|
|
4,190,000
|
4,177,107
|
|
GCAT Trust,
|
|
|
|
|
Series 2024-INV3,
Class A17, 6.50%,
09/25/2054(b)(o)
|
|
329,869
|
337,757
|
|
Series 2025-NQM2,
Class A1, 5.60%,
04/25/2070(b)
|
|
1,961,170
|
1,988,706
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
GS Mortgage-Backed Securities
Trust,
|
|
|
|
|
Series 2025-HE1,
Class A1, 5.25% (30 Day
Average SOFR + 1.55%),
10/25/2055(b)(m)
|
|
$1,195,013
|
$1,202,434
|
|
Series 2025-HE1,
Class M1, 5.75% (30 Day
Average SOFR + 2.05%),
10/25/2055(b)(m)
|
|
710,000
|
718,245
|
|
Series 2025-NQM3,
Class A1, 5.14%,
11/25/2065(b)
|
|
4,806,864
|
4,835,465
|
|
Series 2025-NQM4,
Class A2, 5.31%,
10/25/2065(b)
|
|
1,875,948
|
1,887,681
|
|
Series 2025-NQM4,
Class A3, 5.46%,
10/25/2065(b)
|
|
1,875,948
|
1,887,649
|
|
Series 2025-NQM3,
Class A2, 5.34%,
11/25/2065(b)
|
|
1,201,716
|
1,210,582
|
|
Series 2026-CES1,
Class A1, 4.90%,
05/25/2056(b)
|
|
2,080,000
|
2,086,173
|
|
GSR Mortgage Loan Trust,
Series 2005-AR4,
Class 6A1, 5.00%,
07/25/2035(o)
|
|
19,243
|
18,518
|
|
Hilton Grand Vacations Trust,
Series 2025-2A, Class A,
4.54%, 05/25/2044(b)
|
|
1,104,060
|
1,108,591
|
|
J.P. Morgan Mortgage Trust,
|
|
|
|
|
Series 2025-NQM4,
Class A2, 5.16%,
03/25/2066(b)
|
|
2,085,289
|
2,092,533
|
|
Series 2025-NQM4,
Class A3, 5.26%,
03/25/2066(b)
|
|
2,085,289
|
2,089,722
|
|
Series 2026-CES1,
Class A1, 4.91%,
06/25/2056(b)
|
|
7,500,000
|
7,524,005
|
|
Series 2026-CES1,
Class A1, 4.96%,
06/25/2056(b)
|
|
3,700,000
|
3,711,797
|
|
Series 2026-CES1,
Class M1, 5.73%,
06/25/2056(b)
|
|
1,500,000
|
1,505,558
|
|
JP Morgan Mortgage Trust,
Series 2007-A1,
Class 5A1, 5.04%,
07/25/2035(o)
|
|
20,764
|
20,724
|
|
JPMBB Commercial Mortgage
Securities Trust,
Series 2014-C24, Class B,
4.12%, 11/15/2047(o)
|
|
1,655,000
|
1,571,196
|
|
MASTR Asset Backed
Securities Trust,
Series 2006-WMC3,
Class A3, 3.99% (1 mo.
Term SOFR + 0.31%),
08/25/2036(m)
|
|
2,756,174
|
929,658
|
|
Morgan Stanley Capital I Trust,
Series 2017-HR2,
Class XA, IO, 0.85%,
12/15/2050(n)
|
|
3,891,331
|
49,218
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Morgan Stanley Re-REMIC
Trust, Series 2012-R3,
Class 1B, 6.00%,
11/26/2036(b)(o)
|
|
$4,666,731
|
$4,175,227
|
|
Morgan Stanley Residential
Mortgage Loan Trust,
|
|
|
|
|
Series 2024-NQM5,
Class A3, 6.00%,
10/25/2069(b)
|
|
1,549,768
|
1,567,189
|
|
Series 2025-NQM1,
Class A3, 6.14%,
11/25/2069(b)
|
|
2,248,945
|
2,283,164
|
|
Series 2024-NQM1,
Class A2, 6.41%,
12/25/2068(b)
|
|
1,558,775
|
1,576,850
|
|
Series 2024-NQM2,
Class A3, 6.79%,
05/25/2069(b)
|
|
2,531,570
|
2,571,686
|
|
OBX Trust,
|
|
|
|
|
Series 2022-NQM7,
Class A3, 5.70%,
08/25/2062(b)
|
|
621,601
|
622,242
|
|
Series 2022-NQM7,
Class A2, 5.70%,
08/25/2062(b)
|
|
1,195,387
|
1,195,913
|
|
Series 2024-NQM12,
Class A1, 5.48%,
07/25/2064(b)
|
|
407,983
|
411,754
|
|
Series 2024-NQM12,
Class A2, 5.78%,
07/25/2064(b)
|
|
870,578
|
879,368
|
|
Series 2024-NQM12,
Class A3, 5.83%,
07/25/2064(b)
|
|
433,683
|
437,805
|
|
Series 2024-NQM12,
Class M1, 5.93%,
07/25/2064(b)(o)
|
|
690,000
|
693,961
|
|
Series 2024-NQM18,
Class A3, 5.87%,
10/25/2064(b)
|
|
1,903,277
|
1,921,066
|
|
Series 2025-HE2,
Class A1, 5.15% (30 Day
Average SOFR + 1.45%),
08/25/2055(b)(m)
|
|
4,148,336
|
4,177,804
|
|
PMT Loan Trust,
|
|
|
|
|
Series 2025-INV1,
Class A7, 6.00%,
01/25/2060(b)(o)
|
|
825,966
|
841,851
|
|
Series 2025-INV6,
Class A8, 6.00%,
06/25/2056(b)(o)
|
|
488,042
|
496,010
|
|
Rate Mortgage Trust,
|
|
|
|
|
Series 2024-J3, Class A2,
5.50%, 10/25/2054(b)(o)
|
|
783,238
|
791,608
|
|
Series 2025-J2, Class A5,
5.50%, 07/25/2055(b)(o)
|
|
4,248,429
|
4,272,618
|
|
RCKT Mortgage Trust,
|
|
|
|
|
Series 2025-CES5,
Class A1A, 5.69%,
05/25/2055(b)
|
|
672,213
|
682,469
|
|
Series 2025-CES5,
Class A1B, 5.84%,
05/25/2055(b)
|
|
1,764,559
|
1,792,910
|
|
Series 2025-CES6,
Class A1A, 5.47%,
06/25/2055(b)
|
|
987,447
|
999,216
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Residential Accredit Loans,
Inc. Trust, Series 2006-
QS13, Class 1A8, 6.00%,
09/25/2036
|
|
$17,696
|
$14,274
|
|
SBNA Auto Receivables Trust,
|
|
|
|
|
Series 2025-SF1, Class B,
5.12%, 03/17/2031(b)
|
|
72,425
|
72,450
|
|
Series 2025-SF1, Class C,
5.14%, 04/15/2031(b)
|
|
700,000
|
702,289
|
|
Series 2025-SF1, Class D,
5.34%, 09/15/2031(b)
|
|
700,000
|
704,015
|
|
Sequoia Mortgage Trust,
Series 2025-8, Class A4,
5.50%, 09/25/2055(b)(o)
|
|
3,643,871
|
3,672,678
|
|
Sonic Capital LLC,
Series 2020-1A, Class A2I,
3.85%, 01/20/2050(b)
|
|
2,151,771
|
2,132,875
|
|
Switch ABS Issuer LLC,
Series 2025-2A,
Class A22, 5.37%,
10/25/2055(b)
|
|
2,880,000
|
2,867,285
|
|
UBS Commercial Mortgage
Trust, Series 2017-C5,
Class XA, IO, 1.09%,
11/15/2050(n)
|
|
5,373,814
|
68,513
|
|
Vantage Data Centers
Issuer LLC, Series 2025-
2A, Class A2, 5.24%,
11/15/2055(b)
|
|
2,520,000
|
2,505,389
|
|
WaMu Mortgage Pass-Through
Ctfs. Trust, Series 2003-
AR10, Class A7, 5.69%,
10/25/2033(o)
|
|
18,266
|
17,671
|
|
Wells Fargo Commercial
Mortgage Trust,
Series 2017-C42,
Class XA, IO, 0.82%,
12/15/2050(n)
|
|
5,240,181
|
68,157
|
|
Westlake Automobile Receivables
Trust,
|
|
|
|
|
Series 2024-3A, Class D,
5.21%, 04/15/2030(b)
|
|
3,500,000
|
3,548,197
|
|
Series 2026-1A, Class C,
4.37%, 06/16/2031(b)
|
|
3,650,000
|
3,654,864
|
|
WFRBS Commercial Mortgage
Trust, Series 2013-C14,
Class AS, 3.49%,
06/15/2046
|
|
178,114
|
175,099
|
|
Alba PLC,
|
|
|
|
|
Series 2007-1, Class F,
7.15% (SONIA + 3.37%),
03/17/2039(b)(k)(m)
|
GBP
|
1,271,495
|
1,616,452
|
|
Series 2006-2, Class F,
7.15% (SONIA + 3.37%),
12/15/2038(b)(k)(m)
|
GBP
|
833,976
|
1,046,822
|
|
Auburn 15 PLC,
|
|
|
|
|
Series E, 5.73% (SONIA +
2.00%),
07/20/2045(b)(k)(m)
|
GBP
|
1,401,000
|
1,889,781
|
|
Series F, 6.23% (SONIA +
2.50%),
07/20/2045(b)(k)(m)
|
GBP
|
1,666,000
|
2,248,743
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Eurosail PLC,
|
|
|
|
|
Series 2006-2X,
Class E1C, 7.15% (SONIA +
3.37%),
12/15/2044(b)(k)(m)
|
GBP
|
5,550,000
|
$6,909,775
|
|
Series 2006-4X,
Class E1C, 6.91% (SONIA +
3.12%),
12/10/2044(b)(k)(m)
|
GBP
|
4,135,722
|
5,034,769
|
|
Series 2006-2X,
Class D1A, 2.90% (3 mo.
EURIBOR + 0.80%),
12/15/2044(b)(k)(m)
|
EUR
|
6,300,000
|
7,027,235
|
|
Eurosail-UK NC PLC,
|
|
|
|
|
Series 2007-1X,
Class D1C, 4.79% (SONIA +
1.01%),
03/13/2045(b)(k)(m)
|
GBP
|
1,750,000
|
2,107,614
|
|
Series 2007-1X,
Class D1A, 2.94% (3 mo.
EURIBOR + 0.84%),
03/13/2045(b)(k)(m)
|
EUR
|
2,800,000
|
2,870,336
|
|
Eurosail-UK NP PLC,
Series 2007-2X,
Class D1A, 2.90% (3 mo.
EURIBOR + 0.80%),
03/13/2045(b)(k)(m)
|
EUR
|
8,400,000
|
8,887,392
|
|
Frontier Mortgage Funding PLC,
|
|
|
|
|
Series 2025-1, Class E,
6.23% (SONIA + 2.50%),
12/20/2066(b)(k)(m)
|
GBP
|
2,000,000
|
2,741,224
|
|
Series 2025-1, Class F,
7.23% (SONIA + 3.50%),
12/20/2066(b)(k)(m)
|
GBP
|
1,000,000
|
1,370,630
|
|
Great Hall Mortgages No. 1
PLC, Series 2007-2X,
Class EB, 5.81% (3 mo.
EURIBOR + 3.75%),
06/18/2039(b)(k)(m)
|
EUR
|
4,570,000
|
5,424,122
|
|
Jupiter Mortgage No.1 PLC,
|
|
|
|
|
Series 1A, Class ER, 7.74%
(SONIA + 4.00%),
07/20/2055(b)(k)(m)
|
GBP
|
3,070,000
|
4,211,022
|
|
Series 1A, Class FR, 8.74%
(SONIA + 5.00%),
07/20/2055(b)(k)(m)
|
GBP
|
1,897,000
|
2,602,027
|
|
Ludgate Funding PLC,
|
|
|
|
|
Series 2007-1, Class MA,
4.10% (SONIA + 0.36%),
01/01/2061(b)(k)(m)
|
GBP
|
2,002,435
|
2,613,824
|
|
Series 2006-1X,
Class A2A, 4.13% (SONIA
+ 0.31%),
12/01/2060(b)(k)(m)
|
GBP
|
4,545,403
|
6,138,960
|
|
Mortgage Funding PLC,
Series 2008-1, Class B2,
7.10% (SONIA + 3.32%),
03/13/2046(b)(k)(m)
|
GBP
|
14,462,095
|
18,339,831
|
|
Newday Funding Master Issuer PLC,
|
|
|
|
|
Series 2025-1X, Class E,
0.00% (SONIA + 3.30%),
04/15/2033(b)(g)(k)(m)
|
GBP
|
3,490,000
|
4,837,625
|
|
Series 2024-3X, Class E,
7.48% (SONIA + 3.75%),
11/15/2032(b)(k)(m)
|
GBP
|
2,475,000
|
3,455,274
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Newgate Funding PLC,
|
|
|
|
|
Series 2006-2, Class CB,
2.45% (3 mo. EURIBOR +
0.43%),
12/01/2050(b)(k)(m)
|
EUR
|
1,009,107
|
$1,110,075
|
|
Series 2007-3X, Class CB,
3.60% (3 mo. EURIBOR +
1.50%),
12/15/2050(b)(k)(m)
|
EUR
|
648,011
|
740,683
|
|
Pavillion Consumer PLC,
|
|
|
|
|
Series 2025-1A, Class C,
5.33% (SONIA + 1.60%),
01/25/2036(b)(k)(m)
|
GBP
|
7,200,000
|
9,872,142
|
|
Series 2025-1A, Class D,
5.63% (SONIA + 1.90%),
01/25/2036(b)(k)(m)
|
GBP
|
3,600,000
|
4,917,741
|
|
Towd Point Mortgage Funding 2024
- Granite 6 PLC,
|
|
|
|
|
Series 2024-GR6X, Class F,
8.24% (SONIA + 4.50%),
07/20/2053(b)(k)(m)
|
GBP
|
1,380,000
|
1,891,379
|
|
Series 2024-GR6A,
Class F, 8.24% (SONIA +
4.50%),
07/20/2053(b)(k)(m)
|
GBP
|
2,126,000
|
2,913,820
|
|
Series 2024-GR6X, Class E,
7.24% (SONIA + 3.50%),
07/20/2053(b)(k)(m)
|
GBP
|
1,980,000
|
2,721,905
|
|
Towd Point Mortgage Funding
2024 - Granite 7 PLC,
Series 2024-GR7X, Class E,
6.98% (SONIA + 3.25%),
04/20/2051(b)(k)(m)
|
GBP
|
1,555,000
|
2,131,419
|
|
Prosil Acquisition S.A.,
Series 2019-1, Class A,
4.03% (3 mo. EURIBOR +
2.00%),
10/31/2039(b)(k)(m)
|
EUR
|
2,470,131
|
2,405,376
|
|
SC Germany S.A.
Compartment Consumer,
Series 2021-1, Class E,
4.79% (1 mo. EURIBOR +
2.80%),
11/14/2035(b)(k)(m)
|
EUR
|
7,047,113
|
8,307,341
|
|
Alhambra SME Funding DAC,
Series 2019-1, Class D,
11.20% (1 mo. EURIBOR +
9.25%),
11/30/2028(b)(k)(m)
|
EUR
|
98,679
|
109,516
|
|
Hera Financing DAC,
|
|
|
|
|
Series 2024-1A, Class B,
6.81% (SONIA + 2.95%),
11/17/2034(b)(k)(m)
|
GBP
|
3,105,176
|
4,277,126
|
|
Series 2024-1A, Class C,
7.61% (SONIA + 3.75%),
11/17/2034(b)(k)(m)
|
GBP
|
1,774,386
|
2,444,081
|
|
Series 2024-1A, Class A,
5.76% (SONIA + 1.90%),
11/17/2034(b)(k)(m)
|
GBP
|
2,217,983
|
3,053,715
|
|
Last Mile Logistics Pan Euro
Finance DAC, Series E,
4.76% (3 mo. EURIBOR +
2.70%),
08/17/2033(b)(k)(m)
|
EUR
|
5,386,463
|
6,383,131
|
|
IM Pastor 4, FTA, Series B,
2.23% (3 mo. EURIBOR +
0.19%),
03/22/2044(b)(k)(m)
|
EUR
|
2,300,000
|
1,977,159
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Santander Consumo 8 Fondo
de Titulizacion, Series 8E,
6.53% (3 mo. EURIBOR +
4.50%),
01/21/2040(b)(k)(m)
|
EUR
|
4,500,000
|
$5,395,623
|
|
Fideicomiso Dorrego Y Libertador,
|
|
|
|
|
Series 1A, 2.00%,
12/31/2043(i)
|
|
$7,698,968
|
6,679,625
|
|
0.00%, 12/31/2043(i)(k)
|
ARS
|
83,227,881
|
54,646
|
|
Fideicomiso Financiero
Invernea Proteina 2, Serie
II, 0.00%,
08/25/2032(i)(k)(o)
|
ARS
|
311,500,000
|
1,736,111
|
|
Total Asset-Backed Securities
(Cost $267,733,140)
|
269,747,414
|
||
|
U.S. Treasury Securities–10.54%
|
|||
|
U.S. Treasury Bills–6.14%
|
|||
|
3.56 - 4.14%,
05/14/2026(p)(q)(r)
|
|
$110,193,802
|
110,300,649
|
|
U.S. Treasury Bonds–4.40%
|
|||
|
5.50%, 08/15/2028
|
|
79,247,206
|
79,039,626
|
|
Total U.S. Treasury Securities
(Cost $189,441,008)
|
189,340,275
|
||
|
|
|||
|
U.S. Government Sponsored Agency Mortgage-Backed
Securities–6.98%
|
|||
|
Fannie Mae Grantor Trust,
|
|
|
|
|
IO,
0.63%, 11/25/2040(n)
|
|
1,317,031
|
544
|
|
0.37%, 12/25/2041(n)
|
|
7,981,617
|
48,968
|
|
Fannie Mae Interest STRIPS,
|
|
|
|
|
IO,
6.50%, 04/25/2029 -
07/25/2032(s)
|
|
448,440
|
46,462
|
|
7.50%, 11/25/2029(s)
|
|
17,021
|
1,564
|
|
6.00%, 12/25/2032 -
08/25/2035(s)
|
|
589,804
|
68,745
|
|
5.50%, 11/25/2033 -
06/25/2035(s)
|
|
516,277
|
65,715
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Fannie Mae REMICs,
|
|
|
|
|
IO,
3.79% (7.60% - (30 Day
Average SOFR + 0.11%)),
06/25/2026(m)(s)
|
|
$2,117
|
$15
|
|
4.08% (7.90% - (30 Day
Average SOFR + 0.11%)),
11/18/2031 -
12/18/2031(m)(s)
|
|
61,213
|
5,812
|
|
4.09% (7.90% - (30 Day
Average SOFR + 0.11%)),
11/25/2031(m)(s)
|
|
1,224
|
124
|
|
4.14% (7.95% - (30 Day
Average SOFR + 0.11%)),
01/25/2032(m)(s)
|
|
15,049
|
1,335
|
|
4.18% (8.00% - (30 Day
Average SOFR + 0.11%)),
03/18/2032(m)(s)
|
|
28,521
|
2,860
|
|
4.29% (8.10% - (30 Day
Average SOFR + 0.11%)),
03/25/2032 -
04/25/2032(m)(s)
|
|
41,555
|
4,122
|
|
3.19% (7.00% - (30 Day
Average SOFR + 0.11%)),
04/25/2032(m)(s)
|
|
18,331
|
1,465
|
|
3.99% (7.80% - (30 Day
Average SOFR + 0.11%)),
04/25/2032(m)(s)
|
|
13,614
|
1,456
|
|
4.19% (8.00% - (30 Day
Average SOFR + 0.11%)),
07/25/2032 -
09/25/2032(m)(s)
|
|
55,108
|
5,568
|
|
4.28% (8.10% - (30 Day
Average SOFR + 0.11%)),
12/18/2032(m)(s)
|
|
43,075
|
3,657
|
|
4.39% (8.20% - (30 Day
Average SOFR + 0.11%)),
01/25/2033(m)(s)
|
|
186,140
|
17,985
|
|
4.44% (8.25% - (30 Day
Average SOFR + 0.11%)),
02/25/2033 -
05/25/2033(m)(s)
|
|
101,116
|
14,613
|
|
7.00%, 03/25/2033 -
04/25/2033(s)
|
|
254,489
|
33,624
|
|
3.74% (7.55% - (30 Day
Average SOFR + 0.11%)),
10/25/2033(m)(s)
|
|
82,055
|
9,497
|
|
2.24% (6.05% - (30 Day
Average SOFR + 0.11%)),
03/25/2035 -
07/25/2038(m)(s)
|
|
80,073
|
5,895
|
|
2.94% (6.75% - (30 Day
Average SOFR + 0.11%)),
03/25/2035 -
05/25/2035(m)(s)
|
|
60,095
|
2,268
|
|
2.79% (6.60% - (30 Day
Average SOFR + 0.11%)),
05/25/2035(m)(s)
|
|
146,767
|
6,862
|
|
2.89% (6.70% - (30 Day
Average SOFR + 0.11%)),
05/25/2035(m)(s)
|
|
277,534
|
24,275
|
|
3.42% (7.23% - (30 Day
Average SOFR + 0.11%)),
09/25/2036(m)(s)
|
|
280,990
|
14,992
|
|
2.73% (6.54% - (30 Day
Average SOFR + 0.11%)),
06/25/2037(m)(s)
|
|
575,931
|
45,142
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
4.00%, 04/25/2041(s)
|
|
$403,646
|
$29,665
|
|
2.74% (6.55% - (30 Day
Average SOFR + 0.11%)),
10/25/2041(m)(s)
|
|
75,475
|
6,580
|
|
2.34% (6.15% - (30 Day
Average SOFR + 0.11%)),
12/25/2042(m)(s)
|
|
267,456
|
28,551
|
|
1.80% (30 Day Average
SOFR + 5.50%),
09/25/2054(m)(s)
|
|
49,412,374
|
1,750,522
|
|
2.10% (30 Day Average
SOFR + 5.80%),
01/25/2055(m)(s)
|
|
36,834,720
|
1,631,863
|
|
6.50%, 10/25/2028 -
04/25/2029
|
|
21,406
|
21,730
|
|
6.00%, 05/25/2031 -
01/25/2032
|
|
44,532
|
45,869
|
|
4.81% (30 Day Average
SOFR + 1.11%),
04/25/2032 -
12/25/2032(m)
|
|
48,482
|
49,055
|
|
4.32% (30 Day Average
SOFR + 0.61%),
10/18/2032(m)
|
|
18,735
|
18,751
|
|
4.31% (30 Day Average
SOFR + 0.61%),
12/25/2032(m)
|
|
33,811
|
33,832
|
|
4.21% (30 Day Average
SOFR + 0.51%),
11/25/2033(m)
|
|
16,881
|
16,858
|
|
10.59% (24.57% - (3.67
x (30 Day Average SOFR +
0.11%))), 03/25/2036(m)
|
|
88,113
|
104,341
|
|
10.22% (24.20% - (3.67
x (30 Day Average SOFR +
0.11%))), 06/25/2036(m)
|
|
78,797
|
88,481
|
|
4.75% (30 Day Average
SOFR + 1.05%),
06/25/2037(m)
|
|
47,980
|
48,641
|
|
4.00%, 03/25/2041
|
|
61,091
|
58,827
|
|
Federal Home Loan Mortgage Corp.,
|
|
|
|
|
8.50%, 08/01/2031
|
|
11,497
|
11,887
|
|
5.00%, 09/01/2052 -
03/01/2053(q)
|
|
27,814,927
|
27,955,553
|
|
4.50%, 10/01/2052
|
|
19,388,009
|
19,165,048
|
|
Federal National Mortgage
Association,
|
|
|
|
|
7.50%, 03/01/2033
|
|
5,119
|
5,279
|
|
7.00%, 12/01/2033
|
|
8,868
|
9,269
|
|
5.50%, 02/01/2035 -
03/01/2053(q)
|
|
27,145,821
|
27,673,890
|
|
4.50%, 07/01/2052
|
|
15,516,287
|
15,317,530
|
|
5.00%, 10/01/2054
|
|
5,466,941
|
5,507,668
|
|
Freddie Mac Multifamily Structured
Pass-Through Ctfs.,
|
|
|
|
|
Series K735, Class X1, IO,
0.96%, 05/25/2026(n)
|
|
5,043,903
|
7,964
|
|
Series K093, Class X1, IO,
0.94%, 05/25/2029(n)
|
|
41,801,506
|
1,080,807
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Freddie Mac STRIPS,
|
|
|
|
|
IO,
7.00%, 04/01/2027 -
04/01/2030(s)
|
|
$50,103
|
$3,951
|
|
6.50%, 02/01/2028 -
06/01/2031(s)
|
|
14,767
|
1,385
|
|
7.50%, 12/15/2029(s)
|
|
19,875
|
1,817
|
|
6.00%, 12/15/2032(s)
|
|
39,482
|
4,519
|
|
Freddie Mac REMICs,
|
|
|
|
|
6.50%, 02/15/2028 -
06/15/2032
|
|
29,806
|
31,038
|
|
4.27% (30 Day Average
SOFR + 0.56%),
02/15/2029(m)
|
|
2,260
|
2,260
|
|
4.47% (30 Day Average
SOFR + 0.76%),
07/15/2029(m)
|
|
2,943
|
2,950
|
|
4.82% (30 Day Average
SOFR + 1.11%),
02/15/2032 -
03/15/2032(m)
|
|
96,785
|
97,899
|
|
3.50%, 05/15/2032
|
|
29,128
|
28,786
|
|
4.32% (30 Day Average
SOFR + 0.61%),
01/15/2033(m)
|
|
3,076
|
3,077
|
|
10.74% (24.75% - (3.67
x (30 Day Average SOFR +
0.11%))), 08/15/2035(m)
|
|
60,762
|
71,705
|
|
4.00%, 06/15/2038
|
|
37,663
|
36,336
|
|
IO,
7.00%, 03/15/2028 -
04/15/2028(s)
|
|
8,326
|
416
|
|
4.28% (8.10% - (30 Day
Average SOFR + 0.11%)),
06/15/2029(m)(s)
|
|
17,714
|
1,017
|
|
5.13% (8.95% - (30 Day
Average SOFR + 0.11%)),
08/15/2029(m)(s)
|
|
3,054
|
102
|
|
3.23% (7.05% - (30 Day
Average SOFR + 0.11%)),
10/15/2033(m)(s)
|
|
121,447
|
8,157
|
|
2.88% (6.70% - (30 Day
Average SOFR + 0.11%)),
01/15/2035(m)(s)
|
|
213,209
|
13,557
|
|
2.93% (6.75% - (30 Day
Average SOFR + 0.11%)),
02/15/2035(m)(s)
|
|
12,237
|
755
|
|
2.90% (6.72% - (30 Day
Average SOFR + 0.11%)),
05/15/2035(m)(s)
|
|
331,673
|
26,119
|
|
2.33% (6.15% - (30 Day
Average SOFR + 0.11%)),
07/15/2035(m)(s)
|
|
128,741
|
6,472
|
|
3.18% (7.00% - (30 Day
Average SOFR + 0.11%)),
12/15/2037(m)(s)
|
|
66,194
|
6,840
|
|
2.18% (6.00% - (30 Day
Average SOFR + 0.11%)),
04/15/2038(m)(s)
|
|
37,576
|
3,280
|
|
2.25% (6.07% - (30 Day
Average SOFR + 0.11%)),
05/15/2038(m)(s)
|
|
126,466
|
9,983
|
|
2.43% (6.25% - (30 Day
Average SOFR + 0.11%)),
12/15/2039(m)(s)
|
|
54,802
|
4,961
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
2.30% (30 Day Average
SOFR + 6.00%),
04/25/2054(m)(s)
|
|
$24,753,064
|
$1,351,616
|
|
2.10% (30 Day Average
SOFR + 5.80%),
02/25/2055 -
08/25/2055(m)(s)
|
|
78,682,234
|
3,723,065
|
|
1.42% (30 Day Average
SOFR + 5.12%),
03/25/2055(m)(s)
|
|
54,810,047
|
1,782,790
|
|
1.45% (30 Day Average
SOFR + 5.15%),
03/25/2055(m)(s)
|
|
54,787,368
|
2,149,889
|
|
2.25% (30 Day Average
SOFR + 5.95%),
04/25/2055(m)(s)
|
|
69,014,368
|
3,484,653
|
|
1.34% (30 Day Average
SOFR + 5.03%),
05/25/2055(m)(s)
|
|
83,813,334
|
2,465,017
|
|
1.40% (30 Day Average
SOFR + 5.10%),
08/25/2055(m)(s)
|
|
41,022,031
|
1,470,521
|
|
Government National Mortgage
Association,
|
|
|
|
|
ARM, 5.38% (1 yr.
U.S. Treasury Yield Curve
Rate + 1.50%),
07/20/2027(m)
|
|
144
|
144
|
|
7.00%, 01/15/2028 -
01/20/2030
|
|
33,212
|
33,735
|
|
8.00%, 01/15/2028 -
09/15/2028
|
|
21,645
|
22,041
|
|
IO,
2.76% (6.55% - (1 mo.
Term SOFR + 0.11%)),
04/16/2037(m)(s)
|
|
215,600
|
11,583
|
|
2.86% (6.65% - (1 mo.
Term SOFR + 0.11%)),
04/16/2041(m)(s)
|
|
310,664
|
20,698
|
|
1.20% (30 Day Average
SOFR + 4.90%),
10/20/2054(m)(s)
|
|
23,458,945
|
650,953
|
|
0.54% (30 Day Average
SOFR + 4.24%),
04/20/2055(m)(s)
|
|
54,843,159
|
694,380
|
|
0.65% (30 Day Average
SOFR + 4.35%),
04/20/2055(m)(s)
|
|
91,068,661
|
1,484,064
|
|
0.75% (30 Day Average
SOFR + 4.45%),
07/20/2055(m)(s)
|
|
69,912,242
|
902,469
|
|
2.20% (30 Day Average
SOFR + 5.90%),
07/20/2055(m)(s)
|
|
35,256,293
|
1,379,882
|
|
0.70% (30 Day Average
SOFR + 4.40%),
08/20/2055(m)(s)
|
|
212,138,762
|
2,282,083
|
|
Total U.S. Government Sponsored Agency
Mortgage-Backed Securities
(Cost $133,974,737)
|
125,378,991
|
||
|
|
Principal
Amount
|
Value
|
|
|
Agency Credit Risk Transfer Notes–4.75%
|
|||
|
United States–4.75%
|
|||
|
Fannie Mae Connecticut Avenue
Securities,
|
|
|
|
|
Series 2022-R04,
Class 1M2, 6.80% (30 Day
Average SOFR + 3.10%),
03/25/2042(b)(m)
|
|
$6,795,000
|
$6,954,844
|
|
Series 2022-R08,
Class 1M2, 7.30% (30 Day
Average SOFR + 3.60%),
07/25/2042(b)(m)
|
|
3,150,000
|
3,266,494
|
|
Series 2023-R02,
Class 1M1, 6.00% (30 Day
Average SOFR + 2.30%),
01/25/2043(b)(m)
|
|
762,935
|
779,627
|
|
Series 2023-R03,
Class 2M1, 6.20% (30 Day
Average SOFR + 2.50%),
04/25/2043(b)(m)
|
|
4,960,147
|
5,010,552
|
|
Series 2023-R04,
Class 1M1, 6.00% (30 Day
Average SOFR + 2.30%),
05/25/2043(b)(m)
|
|
1,533,354
|
1,567,274
|
|
Series 2023-R06,
Class 1M1, 5.40% (30 Day
Average SOFR + 1.70%),
07/25/2043(b)(m)
|
|
716,014
|
719,058
|
|
Series 2023-R06,
Class 1M2, 6.40% (30 Day
Average SOFR + 2.70%),
07/25/2043(b)(m)
|
|
1,145,000
|
1,177,654
|
|
Series 2023-R06,
Class 1B1, 7.60% (30 Day
Average SOFR + 3.90%),
07/25/2043(b)(m)
|
|
1,310,000
|
1,385,387
|
|
Series 2023-R08,
Class 1M2, 6.20% (30 Day
Average SOFR + 2.50%),
10/25/2043(b)(m)
|
|
655,000
|
668,401
|
|
Series 2023-R08,
Class 1M1, 5.20% (30 Day
Average SOFR + 1.50%),
10/25/2043(b)(m)
|
|
357,563
|
358,316
|
|
Series 2024-R02,
Class 1M2, 5.50% (30 Day
Average SOFR + 1.80%),
02/25/2044(b)(m)
|
|
6,900,000
|
6,949,897
|
|
Series 2024-R03,
Class 2M2, 5.65% (30 Day
Average SOFR + 1.95%),
03/25/2044(b)(m)
|
|
7,070,000
|
7,153,200
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Freddie Mac,
|
|
|
|
|
Series 2022-DNA3,
Class M1B, STACR®, 6.60%
(30 Day Average SOFR +
2.90%),
04/25/2042(b)(m)
|
|
$7,000,000
|
$7,163,013
|
|
Series 2022-HQA2,
Class M1, STACR®, 7.70%
(30 Day Average SOFR +
4.00%),
07/25/2042(b)(m)
|
|
3,500,000
|
3,653,403
|
|
Series 2022-HQA3,
Class M1, STACR®, 7.25%
(30 Day Average SOFR +
3.55%),
08/25/2042(b)(m)
|
|
3,500,000
|
3,641,884
|
|
Series 2022-HQA3,
Class M2, STACR®, 9.05%
(30 Day Average SOFR +
5.35%),
08/25/2042(b)(m)
|
|
3,745,000
|
3,988,169
|
|
Series 2022-DNA6,
Class M1, STACR®, 5.85%
(30 Day Average SOFR +
2.15%),
09/25/2042(b)(m)
|
|
236,843
|
237,879
|
|
Series 2023-DNA1,
Class M1, STACR®, 5.80%
(30 Day Average SOFR +
2.10%),
03/25/2043(b)(m)
|
|
1,367,501
|
1,384,319
|
|
Series 2023-HQA1,
Class M1, STACR®, 7.20%
(30 Day Average SOFR +
3.50%),
05/25/2043(b)(m)
|
|
6,498,100
|
6,811,781
|
|
Series 2023-HQA2,
Class M1, STACR®, 5.70%
(30 Day Average SOFR +
2.00%), 06/25/2043(b)(m)
|
|
410,995
|
411,803
|
|
Series 2023-HQA2,
Class M1, STACR®, 7.05%
(30 Day Average SOFR +
3.35%), 06/25/2043(b)(m)
|
|
2,100,000
|
2,163,699
|
|
Series 2023-HQA3,
Class M2, STACR®, 7.05%
(30 Day Average SOFR +
3.35%), 11/25/2043(b)(m)
|
|
6,900,000
|
7,259,490
|
|
Series 2024-DNA1,
Class M2, STACR®, 5.65%
(30 Day Average SOFR +
1.95%), 02/25/2044(b)(m)
|
|
3,450,000
|
3,490,880
|
|
Series 2024-HQA1,
Class M2, STACR®, 5.70%
(30 Day Average SOFR +
2.00%),
03/25/2044(b)(m)
|
|
3,719,100
|
3,765,442
|
|
Series 2024-DNA2,
Class M2, STACR®, 5.40%
(30 Day Average SOFR +
1.70%), 05/25/2044(b)(m)
|
|
862,500
|
867,812
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Series 2024-HQA2,
Class M2, STACR®, 5.50%
(30 Day Average SOFR +
1.80%), 08/25/2044(b)(m)
|
|
$3,450,000
|
$3,473,587
|
|
Series 2025-DNA2,
Class A1, STACR®, 4.80%
(30 Day Average SOFR +
1.10%), 05/25/2045(b)(m)
|
|
1,057,000
|
1,059,891
|
|
Total Agency Credit Risk Transfer Notes
(Cost $84,224,567)
|
85,363,756
|
||
|
|
Shares |
|
|
|
Common Stocks & Other Equity Interests–1.78%
|
|||
|
Argentina–1.77%
|
|||
|
Banco BBVA Argentina S.A.
|
860,393
|
6,033,065
|
|
|
Banco Macro S.A., Class B
|
938,301
|
9,929,932
|
|
|
Cresud S.A. Comercial Inmobiliaria
Financiera y Agropecuaria
|
344,638
|
482,158
|
|
|
Grupo Financiero Galicia S.A.,
Class B
|
1,987,552
|
11,412,614
|
|
|
Pampa Energia S.A., ADR(c)(t)
|
12,000
|
1,039,680
|
|
|
YPF S.A., Class D(t)
|
69,239
|
2,858,708
|
|
|
|
|
|
31,756,157
|
|
United States–0.01%
|
|||
|
ACNR Holdings, Inc.
|
1,116
|
119,923
|
|
|
Claire’s Holdings LLC, Class S(i)
|
614
|
34
|
|
|
McDermott International Ltd.(t)
|
750
|
19,605
|
|
|
McDermott International Ltd.,
Series A, Wts., expiring
06/30/2027(i)(t)
|
76,715
|
2,301
|
|
|
McDermott International Ltd.,
Series B, Wts., expiring
06/30/2027(i)(t)
|
85,239
|
2,557
|
|
|
Sabine Oil & Gas Holdings, Inc.(i)(t)
|
2,510
|
176
|
|
|
Windstream Services LLC, Wts.(i)
|
399
|
8,578
|
|
|
|
|
|
153,174
|
|
Total Common Stocks & Other Equity Interests
(Cost $29,488,820)
|
31,909,331
|
||
|
|
Principal
Amount
|
|
|
|
Variable Rate Senior Loan Interests–0.32%(u)(v)
|
|||
|
United States–0.32%
|
|||
|
AAdvantage Loyality IP Ltd.
(American Airlines, Inc.),
Term Loan B, 6.92% (3
mo. Term SOFR + 3.25%),
05/07/2032
|
|
$362,263
|
363,395
|
|
ACNR Holdings, Inc., Term
Loan, 13.00%,
12/11/2029
|
|
60,528
|
60,654
|
|
Bausch and Lomb, Inc., Term
Loan, 7.42% (1 mo. Term
SOFR + 3.75%),
01/30/2031
|
|
621,875
|
627,316
|
|
Claire’s Stores, Inc., Term
Loan, 12.30% (1 mo. Term
SOFR + 6.50%),
12/18/2026
|
|
196,049
|
13,233
|
|
Clear Channel Outdoor
Holdings, Inc., Term Loan
B, 7.79% (1 mo. Term
SOFR + 4.00%),
08/23/2028
|
|
618,223
|
619,660
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Cushman & Wakefield
U.S. Borrower LLC, Term
Loan, 6.42% (1 mo. Term
SOFR + 2.75%),
01/31/2030
|
|
$546,638
|
$551,423
|
|
EMRLD Borrower L.P.
(Copeland), Incremental
Term Loan B, 6.12% (3
mo. Term SOFR + 2.50%),
08/04/2031
|
|
895,961
|
895,939
|
|
Greystar Real Estate
Partners LLC, Term Loan B,
6.32% (3 mo. Term SOFR
+ 2.50%), 08/21/2030(i)
|
|
350,007
|
351,758
|
|
Iris Holding, Inc. (Intertape),
First Lien Term Loan, -% (3
mo. Term SOFR + 4.75%),
06/28/2028
|
|
360,000
|
349,313
|
|
Prairie Acquiror L.P., Term
Loan B, 7.42% (1 mo.
Term SOFR + 3.25%),
08/01/2029
|
|
638,690
|
640,354
|
|
TransDigm, Inc., Term Loan L,
6.17% (3 mo. Term SOFR
+ 2.50%), 01/19/2032
|
|
1,187,227
|
1,187,851
|
|
Total Variable Rate Senior Loan Interests
(Cost $5,810,153)
|
5,660,896
|
||
|
|
Shares |
|
|
|
Preferred Stocks–0.12%
|
|||
|
United States–0.12%
|
|||
|
Citigroup, Inc., 6.25%, Series II,
Pfd.
|
87,725
|
2,201,020
|
|
|
Claire’s Holdings LLC, Series A,
Pfd.(i)
|
195
|
99
|
|
|
Total Preferred Stocks (Cost $2,290,323)
|
2,201,119
|
||
|
|
Principal
Amount
|
|
|
|
Commercial Paper–0.04%
|
|||
|
Argentina–0.04%
|
|||
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 07/08/2026(i)
|
258,641
|
260,333
|
|
|
|
Principal
Amount
|
Value
|
|
|
Argentina–(continued)
|
|||
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 01/07/2027(i)
|
355,548
|
$360,332
|
|
|
TMF Trust Co. (Argentina) S.A.,
12.00%, 04/07/2027(i)
|
157,515
|
160,128
|
|
|
Total Commercial Paper (Cost $771,704)
|
780,793
|
||
|
|
Shares |
|
|
|
Money Market Funds–4.66%
|
|||
|
Invesco Government & Agency
Portfolio, Institutional Class,
3.61%(w)(x)
|
29,258,537
|
29,258,537
|
|
|
Invesco Treasury Portfolio,
Institutional Class, 3.57%(w)(x)
|
54,337,229
|
54,337,229
|
|
|
Total Money Market Funds (Cost $83,595,766)
|
83,595,766
|
||
|
|
|||
|
Options Purchased–6.21%
|
|||
|
(Cost $119,687,838)(y)
|
111,497,102
|
||
|
TOTAL INVESTMENTS IN
SECURITIES (excluding
Investments purchased
with cash collateral from
securities on
loan)-101.51%
(Cost $1,816,769,830)
|
|
|
1,823,099,334
|
|
Investments Purchased with Cash Collateral from
Securities on Loan
|
|||
|
Money Market Funds–3.46%
|
|||
|
Invesco Private Government Fund,
3.65%(w)(x)(z)
|
17,275,549
|
17,275,549
|
|
|
Invesco Private Prime Fund,
3.80%(w)(x)(z)
|
44,852,179
|
44,865,635
|
|
|
Total Investments Purchased with Cash Collateral
from Securities on Loan (Cost $62,141,441)
|
62,141,184
|
||
|
TOTAL INVESTMENTS IN SECURITIES—104.97%
(Cost $1,878,911,271)
|
1,885,240,518
|
||
|
OTHER ASSETS LESS LIABILITIES–(4.97)%
|
(89,328,307
)
|
||
|
NET ASSETS–100.00%
|
$1,795,912,211
|
||
|
ADR
|
– American Depositary Receipt
|
|
ARM
|
– Adjustable Rate Mortgage
|
|
ARS
|
– Argentina Peso
|
|
AUD
|
– Australian Dollar
|
|
BRL
|
– Brazilian Real
|
|
CAD
|
– Canadian Dollar
|
|
Conv.
|
– Convertible
|
|
Ctfs.
|
– Certificates
|
|
EUR
|
– Euro
|
|
EURIBOR
|
– Euro Interbank Offered Rate
|
|
GBP
|
– British Pound Sterling
|
|
INR
|
– Indian Rupee
|
|
IO
|
– Interest Only
|
|
MXN
|
– Mexican Peso
|
|
Pfd.
|
– Preferred
|
|
PIK
|
– Pay-in-Kind
|
|
REMICs
|
– Real Estate Mortgage Investment Conduits
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
SONIA
|
– Sterling Overnight Index Average
|
|
STACR®
|
– Structured Agency Credit Risk
|
|
STRIPS
|
– Separately Traded Registered Interest and Principal Security
|
|
TRY
|
– Turkish Lira
|
|
Wts.
|
– Warrants
|
|
ZAR
|
– South African Rand
|
|
(a)
|
Step coupon bond. The interest rate represents the coupon rate at which the bond will
accrue at a specified future date.
|
|
(b)
|
Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be
resold pursuant to an exemption from registration under the 1933 Act, typically to
qualified institutional buyers. The aggregate value of these securities at
January 31, 2026 was $723,435,685, which represented 40.28% of the Fund’s Net Assets.
|
|
(c)
|
All or a portion of this security was out on loan at January 31, 2026.
|
|
(d)
|
Security issued at a fixed rate for a specific period of time, after which it will
convert to a variable rate.
|
|
(e)
|
Perpetual bond with no specified maturity date.
|
|
(f)
|
Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity
date reflects such call or put.
|
|
(g)
|
Zero coupon bond issued at a discount.
|
|
(h)
|
Defaulted security. Currently, the issuer is in default with respect to principal
and/or interest payments. The aggregate value of these securities at January 31,
2026 was $2,109,950, which represented less than 1% of the Fund’s Net Assets.
|
|
(i)
|
Security valued using significant unobservable inputs (Level 3). See Note 1.
|
|
(j)
|
All or a portion of this security is Pay-in-Kind. Pay-in-Kind securities pay interest
income in the form of securities.
|
|
(k)
|
Foreign denominated security. Principal amount is denominated in the currency indicated.
|
|
(l)
|
Restricted security. The value of this security at January 31, 2026 represented less than 1% of the Fund’s Net Assets.
|
|
(m)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on January 31, 2026.
|
|
(n)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security. Interest rate is redetermined
periodically based on the cash flows generated by the pool of assets backing the security,
less any applicable fees. The rate shown is the rate in effect on
January 31, 2026.
|
|
(o)
|
Interest rate is redetermined periodically based on the cash flows generated by the
pool of assets backing the security, less any applicable fees. The rate shown is
the rate in effect on January 31, 2026.
|
|
(p)
|
All or a portion of the value was pledged as collateral to cover margin requirements
for open futures contracts.
|
|
(q)
|
All or a portion of the value was designated as collateral to cover margin requirements
for swap agreements.
|
|
(r)
|
Security traded on a discount basis. The interest rate shown represents the discount
rate at the time of purchase by the Fund.
|
|
(s)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security.
|
|
(t)
|
Non-income producing security.
|
|
(u)
|
Variable rate senior loan interests often require prepayments from excess cash flow
or permit the borrower to repay at its election. The degree to which borrowers
repay, whether as a contractual requirement or at their election, cannot be predicted
with any accuracy. As a result, the actual remaining maturity may be
substantially less than the stated maturities shown. However, it is anticipated that
the variable rate senior loan interests will have an expected average life of three
to five years.
|
|
(v)
|
Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended (the “1933 Act”) and may
be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund’s portfolio generally have variable rates which adjust to a
base, such as the Secured Overnight Financing Rate ("SOFR"), on set dates, typically
every 30 days, but not greater than one year, and/or have interest rates that
float at margin above a widely recognized base lending rate such as the Prime Rate
of a designated U.S. bank.
|
|
(w)
|
Affiliated holding. Affiliated holdings are investments in entities which are under
common ownership or control of Invesco Ltd. or are investments in entities in
which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in
affiliates for the three months ended January 31, 2026.
|
|
|
Value
October 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Realized
Gain
|
Value
January 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
$17,724,155
|
$73,720,995
|
$(62,186,613)
|
$-
|
$-
|
$29,258,537
|
$203,998
|
|
Invesco Treasury Portfolio, Institutional Class
|
32,916,233
|
136,910,420
|
(115,489,424)
|
-
|
-
|
54,337,229
|
374,669
|
|
Investments Purchased with Cash Collateral
from Securities on Loan:
|
|
|
|
|
|
|
|
|
Invesco Private Government Fund
|
20,114,749
|
14,640,197
|
(17,479,397)
|
-
|
-
|
17,275,549
|
163,772*
|
|
Invesco Private Prime Fund
|
52,330,029
|
35,633,655
|
(43,098,049)
|
(894)
|
894
|
44,865,635
|
440,298*
|
|
Total
|
$123,085,166
|
$260,905,267
|
$(238,253,483)
|
$(894)
|
$894
|
$145,736,950
|
$1,182,737
|
|
*
|
Represents the income earned on the investment of cash collateral. Does not include
rebates and fees paid to lending agent or premiums received from
borrowers, if any.
|
|
(x)
|
The rate shown is the 7-day SEC standardized yield as of January 31, 2026.
|
|
(y)
|
The table below details options purchased.
|
|
(z)
|
The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of
the securities loaned.
|
|
Open Over-The-Counter Foreign Currency Options Purchased(a)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
AUD versus USD
|
Call
|
Deutsche Bank AG
|
04/24/2026
|
USD
|
0.72
|
AUD
|
5,490,000
|
$906,509
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
06/01/2026
|
USD
|
0.72
|
AUD
|
5,500,000
|
365,869
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.68
|
AUD
|
36,000,000
|
943,607
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
03/26/2026
|
USD
|
1.21
|
EUR
|
91,530,000
|
71,824
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
04/20/2026
|
USD
|
1.20
|
EUR
|
7,220,000
|
778,790
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
05/06/2026
|
USD
|
1.20
|
EUR
|
5,450,000
|
517,723
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
05/18/2026
|
USD
|
1.20
|
EUR
|
7,300,000
|
642,307
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
03/19/2026
|
USD
|
1.20
|
EUR
|
8,430,000
|
969,422
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
04/20/2026
|
USD
|
1.20
|
EUR
|
8,420,000
|
730,633
|
|
EUR versus USD
|
Call
|
Merrill Lynch International
|
05/08/2026
|
USD
|
1.35
|
EUR
|
23,230,000
|
283,204
|
|
EUR versus USD
|
Call
|
Morgan Stanley and Co.
International PLC
|
05/11/2026
|
USD
|
1.30
|
EUR
|
13,940,000
|
503,479
|
|
Subtotal — Foreign Currency Call Options Purchased
|
6,713,367
|
|||||||
|
Currency Risk
|
||||||||
|
CHF versus JPY
|
Put
|
Deutsche Bank AG
|
07/27/2026
|
JPY
|
160.00
|
CHF
|
8,830,000
|
39,624
|
|
CHF versus JPY
|
Put
|
Goldman Sachs International
|
07/21/2027
|
JPY
|
147.00
|
CHF
|
14,130,000
|
147,286
|
|
CHF versus JPY
|
Put
|
UBS AG
|
09/17/2026
|
JPY
|
161.00
|
CHF
|
5,400,000
|
46,620
|
|
CHF versus JPY
|
Put
|
UBS AG
|
10/23/2026
|
JPY
|
165.00
|
CHF
|
5,420,000
|
90,795
|
|
CHF versus JPY
|
Put
|
UBS AG
|
01/20/2027
|
JPY
|
170.00
|
CHF
|
5,480,000
|
220,582
|
|
EUR versus BRL
|
Put
|
Goldman Sachs International
|
07/16/2026
|
BRL
|
6.00
|
EUR
|
7,300,000
|
1,241,549
|
|
EUR versus BRL
|
Put
|
Goldman Sachs International
|
07/23/2026
|
BRL
|
6.00
|
EUR
|
4,520,000
|
777,575
|
|
GBP versus USD
|
Put
|
UBS AG
|
02/23/2026
|
USD
|
1.30
|
GBP
|
45,160,000
|
2,101
|
|
USD versus BRL
|
Put
|
Barclays Bank PLC
|
04/30/2026
|
BRL
|
5.15
|
USD
|
1,800,000
|
302,488
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
04/23/2026
|
BRL
|
5.25
|
USD
|
3,630,000
|
260,336
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
5.30
|
USD
|
36,130,000
|
678,196
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/27/2026
|
BRL
|
5.10
|
USD
|
5,475,000
|
322,401
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
5.40
|
USD
|
36,000,000
|
1,044,540
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.35
|
USD
|
36,610,000
|
858,175
|
|
USD versus CAD
|
Put
|
Deutsche Bank AG
|
05/06/2026
|
CAD
|
1.20
|
USD
|
8,710,000
|
31,574
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
855.00
|
USD
|
36,500,000
|
1,207,639
|
|
USD versus INR
|
Put
|
Goldman Sachs International
|
05/22/2026
|
INR
|
82.00
|
USD
|
7,000,000
|
10,185
|
|
USD versus INR
|
Put
|
Goldman Sachs International
|
05/22/2026
|
INR
|
87.00
|
USD
|
4,520,000
|
81,649
|
|
USD versus INR
|
Put
|
Merrill Lynch International
|
05/26/2026
|
INR
|
87.00
|
USD
|
5,420,000
|
101,457
|
|
USD versus JPY
|
Put
|
BNP Paribas S.A.
|
02/16/2026
|
JPY
|
145.00
|
USD
|
126,670,000
|
48,895
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
02/16/2026
|
JPY
|
143.00
|
USD
|
7,240,000
|
62,481
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/06/2026
|
JPY
|
110.00
|
USD
|
34,860,000
|
16,001
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/12/2027
|
JPY
|
120.00
|
USD
|
9,050,000
|
236,368
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/18/2027
|
JPY
|
117.50
|
USD
|
9,030,000
|
240,017
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
11/11/2027
|
JPY
|
115.00
|
USD
|
9,050,000
|
229,780
|
|
USD versus KRW
|
Put
|
Deutsche Bank AG
|
05/20/2026
|
KRW
|
1,200.00
|
USD
|
3,500,000
|
6,223
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
05/15/2026
|
KRW
|
1,300.00
|
USD
|
163,430,000
|
47,885
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
07/23/2026
|
KRW
|
1,350.00
|
USD
|
91,530,000
|
447,856
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,200.00
|
USD
|
9,030,000
|
309,449
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
04/27/2026
|
MXN
|
16.50
|
USD
|
3,670,000
|
210,100
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
17.90
|
USD
|
91,250,000
|
3,053,864
|
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
15.85
|
USD
|
55,020,000
|
655,784
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
16.05
|
USD
|
36,130,000
|
851,187
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
16.30
|
USD
|
36,500,000
|
881,329
|
|
Open Over-The-Counter Foreign Currency Options Purchased(a)—(continued)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
USD versus ZAR
|
Put
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
15.80
|
USD
|
18,340,000
|
$323,224
|
|
USD versus ZAR
|
Put
|
UBS AG
|
04/29/2026
|
ZAR
|
15.75
|
USD
|
72,260,000
|
69,875
|
|
Subtotal — Foreign Currency Put Options Purchased
|
15,155,090
|
|||||||
|
Total Foreign Currency Options Purchased
|
$21,868,457
|
|||||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
Open Over-The-Counter Interest Rate Swaptions Purchased(a)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
1 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.45%
|
Receive
|
SONIA
|
At Maturity
|
08/05/2026
|
GBP
|
180,640,000
|
$321,110
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.70
|
Receive
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
48,000,000
|
1,981,815
|
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
2.85
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
281,570,000
|
2,545,806
|
|
20 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.12
|
Receive
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
96,260,000
|
2,001,864
|
|
5 Year Interest Rate Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
3.98
|
Receive
|
SOFR
|
Annually
|
11/06/2030
|
USD
|
361,280,000
|
9,683,677
|
|
5 Year Interest Rate Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.36
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
02/06/2026
|
EUR
|
131,820,000
|
1,391
|
|
5 Year Interest Rate Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.38
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
06/24/2026
|
EUR
|
137,760,000
|
358,959
|
|
Subtotal — Interest Rate Call Swaptions Purchased
|
|
|
|
|
|
|
|
16,894,622
|
||
|
Interest Rate Risk
|
||||||||||
|
10 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.20
|
Pay
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
48,000,000
|
2,942,678
|
|
15 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
1.76
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
03/15/2039
|
EUR
|
62,100,000
|
14,376,403
|
|
20 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
6.12
|
Pay
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
96,260,000
|
5,688,326
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.00
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/20/2027
|
EUR
|
47,070,000
|
3,702,306
|
|
30 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
4.26
|
Pay
|
SOFR
|
Annually
|
01/27/2028
|
USD
|
70,920,000
|
4,681,452
|
|
30 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
4.34
|
Pay
|
SOFR
|
Annually
|
01/08/2031
|
USD
|
34,080,000
|
3,138,805
|
|
30 Year Interest Rate
Swap
|
Put
|
Mizuho Capital
Markets LLC/New York
|
4.27
|
Pay
|
SOFR
|
Annually
|
01/08/2029
|
USD
|
48,690,000
|
3,893,718
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.15
|
Pay
|
SOFR
|
Annually
|
11/04/2026
|
USD
|
259,220,000
|
12,079,201
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.26
|
Pay
|
SOFR
|
Annually
|
01/10/2028
|
USD
|
73,520,000
|
4,787,054
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.28
|
Pay
|
SOFR
|
Annually
|
01/27/2028
|
USD
|
68,470,000
|
4,450,630
|
|
5 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.98
|
Pay
|
SOFR
|
Annually
|
11/06/2030
|
USD
|
361,280,000
|
12,993,450
|
|
Subtotal — Interest Rate Put Swaptions Purchased
|
|
|
|
|
|
|
|
72,734,023
|
||
|
Total Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
$89,628,645
|
||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
Open Exchange-Traded Futures Options Written
|
||||||||
|
Description
|
Type of
Contract
|
Expiration
Date
|
Number of
Contracts
|
Exercise
Price
|
Notional
Value(a)
|
Value
|
||
|
Interest Rate Risk
|
||||||||
|
U.S. Treasury 10 Year Notes
|
Call
|
03/27/2026
|
4,867
|
USD
|
113.50
|
USD
|
552,404,500
|
$(988,609
)
|
|
Interest Rate Risk
|
||||||||
|
U.S. Treasury 10 Year Notes
|
Put
|
03/27/2026
|
4,867
|
USD
|
111.00
|
USD
|
540,237,000
|
(2,129,313
)
|
|
Total Exchange-Traded Future Options Written
|
|
|
|
$(3,117,922
)
|
||||
|
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise
Price by the multiplier.
|
|
Open Over-The-Counter Credit Default Swaptions Written(a)
|
||||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread
|
|
Notional
Value
|
|
Value
|
|
|
Credit Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
Put
|
70.00
%
|
Markit CDX North America Investment
Grade Index, Series 45, Version 1
|
(1.00
)%
|
Quarterly
|
04/15/2026
|
0.495
%
|
|
USD
|
146,000,000
|
|
$(69,576
)
|
|
J.P. Morgan Chase Bank, N.A.
|
Put
|
350.00
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
(5.00
)
|
Quarterly
|
03/18/2026
|
2.468
|
|
EUR
|
144,000,000
|
|
(204,702
)
|
|
Total Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
$(274,278
)
|
|
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
Open Over-The-Counter Foreign Currency Options Written(a)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.72
|
|
AUD
|
36,000,000
|
|
$(387,160
)
|
|
EUR versus BRL
|
Call
|
Goldman Sachs International
|
07/16/2026
|
BRL
|
6.75
|
|
EUR
|
3,650,000
|
|
(1,305,988
)
|
|
EUR versus BRL
|
Call
|
Goldman Sachs International
|
07/23/2026
|
BRL
|
6.75
|
|
EUR
|
2,285,000
|
|
(848,209
)
|
|
EUR versus MXN
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
07/07/2026
|
MXN
|
22.65
|
|
EUR
|
54,770,000
|
|
(457,632
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
01/26/2027
|
BRL
|
5.75
|
|
USD
|
18,310,000
|
|
(1,014,063
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
07/06/2027
|
BRL
|
6.75
|
|
USD
|
54,150,000
|
|
(1,693,162
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
6.00
|
|
USD
|
36,130,000
|
|
(152,613
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
6.00
|
|
USD
|
18,000,000
|
|
(147,780
)
|
|
USD versus BRL
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
07/10/2026
|
BRL
|
7.00
|
|
USD
|
23,546,000
|
|
(35,437
)
|
|
USD versus BRL
|
Call
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.75
|
|
USD
|
36,610,000
|
|
(354,458
)
|
|
USD versus BRL
|
Call
|
Merrill Lynch International
|
07/03/2026
|
BRL
|
6.00
|
|
USD
|
52,950,000
|
|
(475,968
)
|
|
USD versus CLP
|
Call
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
950.00
|
|
USD
|
36,500,000
|
|
(715,254
)
|
|
USD versus IDR
|
Call
|
Goldman Sachs International
|
08/13/2026
|
IDR
|
17,000.00
|
|
USD
|
36,010,000
|
|
(625,926
)
|
|
USD versus KRW
|
Call
|
Merrill Lynch International
|
07/23/2026
|
KRW
|
1,480.00
|
|
USD
|
36,610,000
|
|
(487,901
)
|
|
USD versus MXN
|
Call
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
19.20
|
|
USD
|
91,250,000
|
|
(634,188
)
|
|
USD versus TRY
|
Call
|
Goldman Sachs International
|
01/25/2027
|
TRY
|
55.75
|
|
USD
|
64,070,000
|
|
(4,710,234
)
|
|
USD versus ZAR
|
Call
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
16.80
|
|
USD
|
55,020,000
|
|
(616,114
)
|
|
USD versus ZAR
|
Call
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
17.00
|
|
USD
|
36,130,000
|
|
(658,686
)
|
|
USD versus ZAR
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
02/01/2027
|
ZAR
|
18.35
|
|
USD
|
36,200,000
|
|
(686,280
)
|
|
USD versus ZAR
|
Call
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
17.10
|
|
USD
|
36,500,000
|
|
(232,870
)
|
|
USD versus ZAR
|
Call
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
17.10
|
|
USD
|
18,340,000
|
|
(322,711
)
|
|
Subtotal — Foreign Currency Call Options Written
|
|
|
|
|
|
|
(16,562,634
)
|
|||
|
Open Over-The-Counter Foreign Currency Options Written(a)—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Put
|
Deutsche Bank AG
|
07/23/2026
|
USD
|
0.66
|
|
AUD
|
32,710,000
|
|
$(186,435
)
|
|
AUD versus USD
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
01/06/2027
|
USD
|
0.62
|
|
AUD
|
73,030,000
|
|
(420,007
)
|
|
AUD versus USD
|
Put
|
Merrill Lynch International
|
07/20/2026
|
USD
|
0.65
|
|
AUD
|
36,000,000
|
|
(148,933
)
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
07/06/2027
|
BRL
|
5.30
|
|
USD
|
52,950,000
|
|
(1,642,350
)
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
05/11/2026
|
BRL
|
5.00
|
|
USD
|
36,130,000
|
|
(95,094
)
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
06/25/2026
|
BRL
|
5.05
|
|
USD
|
36,000,000
|
|
(205,236
)
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
05/21/2026
|
BRL
|
5.05
|
|
USD
|
36,610,000
|
|
(154,091
)
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
805.00
|
|
USD
|
73,000,000
|
|
(1,001,852
)
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
03/05/2026
|
CLP
|
885.00
|
|
USD
|
36,130,000
|
|
(782,178
)
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
07/13/2026
|
MXN
|
17.10
|
|
USD
|
91,250,000
|
|
(1,022,547
)
|
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
04/29/2026
|
ZAR
|
15.20
|
|
USD
|
55,020,000
|
|
(163,024
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
03/11/2026
|
ZAR
|
17.50
|
|
USD
|
17,325,000
|
|
(1,463,876
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
07/23/2026
|
ZAR
|
15.45
|
|
USD
|
36,130,000
|
|
(378,823
)
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
04/13/2026
|
ZAR
|
15.80
|
|
USD
|
36,500,000
|
|
(348,429
)
|
|
USD versus ZAR
|
Put
|
Morgan Stanley and Co.
International PLC
|
07/30/2026
|
ZAR
|
14.90
|
|
USD
|
18,340,000
|
|
(85,758
)
|
|
Subtotal — Foreign Currency Put Options Written
|
|
|
|
|
|
|
(8,098,633
)
|
|||
|
Total Foreign Currency Options Written
|
|
|
|
|
|
|
$(24,661,267
)
|
|||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
Open Over-The-Counter Interest Rate Swaptions Written(a)
|
||||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Floating
Rate Index
|
Pay/
Receive
Exercise
Rate
|
Payment
Frequency
|
Expiration
Date
|
|
Notional
Value
|
|
Value
|
|
|
Interest Rate Risk
|
||||||||||||
|
5 Year Interest Rate Swap
|
Call
|
BNP Paribas S.A.
|
3.35%
|
SOFR
|
Receive
|
Annually
|
07/29/2026
|
|
USD
|
143,980,000
|
|
$(752,055
)
|
|
30 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2027
|
|
EUR
|
53,780,000
|
|
(1,655,092
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.50
|
SOFR
|
Receive
|
Annually
|
04/07/2026
|
|
USD
|
91,425,000
|
|
(121,130
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.40
|
SOFR
|
Receive
|
Annually
|
03/09/2026
|
|
USD
|
121,950,000
|
|
(22,938
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.02
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
09/12/2030
|
|
EUR
|
25,600,000
|
|
(2,019,007
)
|
|
1 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.25
|
SONIA
|
Receive
|
At Maturity
|
08/05/2026
|
|
GBP
|
180,640,000
|
|
(149,044
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
4.06
|
SOFR
|
Receive
|
Annually
|
11/06/2030
|
|
USD
|
93,930,000
|
|
(8,136,211
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
2.42
|
SOFR
|
Receive
|
Annually
|
07/11/2029
|
|
USD
|
41,365,000
|
|
(603,855
)
|
|
5 Year Interest Rate Swap
|
Call
|
J.P. Morgan Chase Bank,
N.A.
|
3.30
|
SOFR
|
Receive
|
Annually
|
01/06/2027
|
|
USD
|
243,430,000
|
|
(1,667,393
)
|
|
5 Year Interest Rate Swap
|
Call
|
Merrill Lynch International
|
3.15
|
SOFR
|
Receive
|
Annually
|
01/08/2027
|
|
USD
|
144,510,000
|
|
(727,325
)
|
|
5 Year Interest Rate Swap
|
Call
|
Merrill Lynch International
|
3.25
|
SOFR
|
Receive
|
Annually
|
01/19/2027
|
|
USD
|
243,333,333
|
|
(1,536,105
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Merrill Lynch International
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2027
|
|
EUR
|
43,030,000
|
|
(1,324,258
)
|
|
50 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.85
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
03/04/2026
|
|
EUR
|
21,010,000
|
|
(79,434
)
|
|
50 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.90
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
03/16/2026
|
|
EUR
|
48,470,000
|
|
(426,206
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.00
|
6 Month
EURIBOR
|
Receive
|
Semi-Annually
|
01/28/2028
|
|
EUR
|
17,930,000
|
|
(877,948
)
|
|
Subtotal—Interest Rate Call Swaptions Written
|
|
|
|
|
|
|
|
(20,098,001
)
|
||||
|
Open Over-The-Counter Interest Rate Swaptions Written(a)—(continued)
|
||||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Floating
Rate Index
|
Pay/
Receive
Exercise
Rate
|
Payment
Frequency
|
Expiration
Date
|
|
Notional
Value
|
|
Value
|
|
|
Interest Rate Risk
|
||||||||||||
|
30 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
5.55%
|
SONIA
|
Pay
|
Annually
|
05/10/2027
|
|
GBP
|
46,480,000
|
|
$(984,124
)
|
|
5 Year Interest Rate Swap
|
Put
|
BNP Paribas S.A.
|
3.70
|
SOFR
|
Pay
|
Annually
|
07/29/2026
|
|
USD
|
143,980,000
|
|
(841,613
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.50
|
6 Month
EURIBOR
|
Pay
|
Semi-Annually
|
01/20/2027
|
|
EUR
|
94,130,000
|
|
(2,435,763
)
|
|
1 Year Interest Rate Swap
|
Put
|
Goldman Sachs
International
|
3.75
|
SONIA
|
Pay
|
At Maturity
|
08/05/2026
|
|
GBP
|
180,640,000
|
|
(82,627
)
|
|
2 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.58
|
SOFR
|
Pay
|
Annually
|
01/27/2028
|
|
USD
|
623,600,000
|
|
(4,642,347
)
|
|
5 Year Interest Rate Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
3.80
|
SOFR
|
Pay
|
Annually
|
01/06/2027
|
|
USD
|
243,430,000
|
|
(2,142,970
)
|
|
30 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
4.06
|
SOFR
|
Pay
|
Annually
|
11/06/2030
|
|
USD
|
93,930,000
|
|
(12,067,261
)
|
|
5 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.65
|
SOFR
|
Pay
|
Annually
|
01/19/2027
|
|
USD
|
243,333,333
|
|
(2,927,543
)
|
|
1 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.93
|
SOFR
|
Pay
|
At Maturity
|
01/08/2031
|
|
USD
|
486,870,000
|
|
(2,969,625
)
|
|
5 Year Interest Rate Swap
|
Put
|
Merrill Lynch International
|
3.55
|
SOFR
|
Pay
|
Annually
|
01/08/2027
|
|
USD
|
144,510,000
|
|
(2,019,303
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
5.00
|
6 Month
BBSW
|
Pay
|
Semi-Annually
|
12/11/2026
|
|
EUR
|
363,490,000
|
|
(5,399,027
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch International
|
5.00
|
6 Month
BBSW
|
Pay
|
Semi-Annually
|
12/04/2026
|
|
AUD
|
145,380,000
|
|
(2,118,919
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Mizuho Capital
Markets LLC/New York
|
4.20
|
SOFR
|
Pay
|
Annually
|
01/08/2029
|
|
USD
|
99,320,000
|
|
(3,997,299
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.25
|
6 Month
EURIBOR
|
Pay
|
Semi-Annually
|
07/16/2026
|
|
EUR
|
46,610,000
|
|
(1,233,918
)
|
|
2 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.59
|
SOFR
|
Pay
|
Annually
|
01/27/2028
|
|
USD
|
586,920,000
|
|
(4,329,456
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.00
|
SONIA
|
Pay
|
Annually
|
10/22/2027
|
|
GBP
|
19,250,000
|
|
(1,177,058
)
|
|
1 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.50
|
SOFR
|
Pay
|
At Maturity
|
01/07/2028
|
|
USD
|
2,434,300,000
|
|
(8,996,443
)
|
|
5 Year Interest Rate Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.78
|
SOFR
|
Pay
|
Annually
|
01/10/2028
|
|
USD
|
272,650,000
|
|
(5,018,050
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.50
|
SOFR
|
Pay
|
Annually
|
11/04/2026
|
|
USD
|
259,220,000
|
|
(5,842,650
)
|
|
Subtotal—Interest Rate Put Swaptions Written
|
|
|
|
|
|
|
|
(69,225,996
)
|
||||
|
Total Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
$(89,323,997
)
|
||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
Open Futures Contracts(a)
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 2 Year Notes
|
3,551
|
March-2026
|
$740,355,760
|
$(587,982
)
|
$(587,982
)
|
|
U.S. Treasury 10 Year Notes
|
625
|
March-2026
|
69,892,578
|
(562,567
)
|
(562,567
)
|
|
Subtotal—Long Futures Contracts
|
(1,150,549
)
|
(1,150,549
)
|
|||
|
Open Futures Contracts(a)—(continued)
|
|||||
|
Short Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 5 Year Notes
|
113
|
March-2026
|
$(12,309,055
)
|
$42,203
|
$42,203
|
|
U.S. Treasury 10 Year Ultra Notes
|
17
|
March-2026
|
(1,940,656
)
|
(1,469
)
|
(1,469
)
|
|
U.S. Treasury Long Bonds
|
23
|
March-2026
|
(2,647,875
)
|
11,523
|
11,523
|
|
U.S. Treasury Ultra Bonds
|
33
|
March-2026
|
(3,875,438
)
|
66,971
|
66,971
|
|
Subtotal—Short Futures Contracts
|
119,228
|
119,228
|
|||
|
Total Futures Contracts
|
$(1,031,321
)
|
$(1,031,321
)
|
|||
|
(a)
|
Futures contracts collateralized by $1,368,736 cash held with Merrill Lynch International,
the futures commission merchant.
|
|
Open Forward Foreign Currency Contracts
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
03/18/2026
|
Deutsche Bank AG
|
INR
|
1,629,720,000
|
USD
|
17,934,237
|
$221,552
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
18,944,691
|
AUD
|
28,599,430
|
968,448
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
55,009,702
|
EUR
|
46,885,000
|
678,087
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
17,505,000
|
GBP
|
12,965,993
|
236,058
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
1,158,002
|
MXN
|
21,283,377
|
55,136
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
2,323,836
|
NZD
|
4,004,593
|
91,172
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
196,584
|
PLN
|
715,000
|
4,636
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
64,617
|
SGD
|
83,090
|
896
|
|
02/03/2026
|
Goldman Sachs International
|
BRL
|
345,566,755
|
USD
|
66,366,272
|
703,499
|
|
02/03/2026
|
Goldman Sachs International
|
USD
|
170,311,974
|
BRL
|
905,823,878
|
1,807,902
|
|
02/27/2026
|
Goldman Sachs International
|
USD
|
66,661,604
|
EUR
|
57,330,000
|
1,371,437
|
|
03/03/2026
|
Goldman Sachs International
|
USD
|
38,273,208
|
BRL
|
203,342,878
|
121,263
|
|
03/18/2026
|
Goldman Sachs International
|
EUR
|
28,975,000
|
USD
|
34,658,446
|
243,310
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
555,722
|
CZK
|
11,560,000
|
7,519
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
40,733,040
|
EUR
|
34,685,000
|
464,165
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
17,447,000
|
KRW
|
25,559,855,000
|
197,813
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
12,569
|
THB
|
398,313
|
127
|
|
05/08/2026
|
Goldman Sachs International
|
JPY
|
1,549,292,500
|
USD
|
11,150,000
|
1,058,925
|
|
03/19/2027
|
Goldman Sachs International
|
INR
|
15,445,512,500
|
USD
|
173,750,000
|
10,461,544
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
7,740,194
|
USD
|
9,273,533
|
80,097
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
2,189,150,838
|
USD
|
14,250,500
|
52,844
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
5,374,247
|
AUD
|
8,085,649
|
255,608
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
4,418
|
CAD
|
6,131
|
93
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
32,927,457
|
CNY
|
231,226,485
|
307,154
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
169,428,234
|
EUR
|
144,435,365
|
2,125,270
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
4,969,233
|
GBP
|
3,695,128
|
86,722
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
12,050,000
|
MXN
|
211,495,575
|
5,101
|
|
07/07/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
1,109,773,800
|
USD
|
7,940,000
|
678,368
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
17,139,868
|
COP
|
66,329,575,500
|
650,542
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
2,312,603
|
GBP
|
1,731,834
|
57,024
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
69,834,947
|
KRW
|
101,947,150,731
|
542,542
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
12,480,008
|
MXN
|
226,078,155
|
406,290
|
|
03/18/2026
|
Merrill Lynch International
|
USD
|
9,085,000
|
ZAR
|
150,729,235
|
216,403
|
|
03/25/2026
|
Merrill Lynch International
|
IDR
|
14,050,606,100
|
USD
|
838,442
|
1,787
|
|
02/03/2026
|
Morgan Stanley and Co. International PLC
|
BRL
|
165,478,878
|
USD
|
31,639,716
|
196,292
|
|
03/09/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
27,100,000
|
CLP
|
25,025,495,000
|
1,530,977
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
13,130,000
|
AUD
|
19,497,288
|
445,523
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
180,970
|
CLP
|
166,136,118
|
$9,098
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
38,452,494
|
ZAR
|
630,142,208
|
433,173
|
|
04/06/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
7,665,000
|
CLP
|
6,760,530,000
|
69,098
|
|
02/25/2026
|
UBS AG
|
USD
|
6,156,201
|
GBP
|
4,700,000
|
274,890
|
|
03/18/2026
|
UBS AG
|
USD
|
9,343,042
|
EUR
|
7,943,737
|
92,153
|
|
03/18/2026
|
UBS AG
|
USD
|
26,220,000
|
JPY
|
4,077,407,449
|
223,874
|
|
Subtotal—Appreciation
|
27,434,412
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
03/18/2026
|
BNP Paribas S.A.
|
EUR
|
12,745,797
|
USD
|
15,038,996
|
(99,859
)
|
|
03/18/2026
|
Deutsche Bank AG
|
AUD
|
19,805,285
|
USD
|
13,119,318
|
(670,657
)
|
|
03/18/2026
|
Deutsche Bank AG
|
EUR
|
39,614,301
|
USD
|
46,443,260
|
(608,736
)
|
|
03/18/2026
|
Deutsche Bank AG
|
MXN
|
1,894,072,306
|
USD
|
103,054,088
|
(4,906,722
)
|
|
03/18/2026
|
Deutsche Bank AG
|
NZD
|
4,281,000
|
USD
|
2,484,233
|
(97,465
)
|
|
03/18/2026
|
Deutsche Bank AG
|
PLN
|
159,271
|
USD
|
43,790
|
(1,033
)
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
10,523,861
|
INR
|
956,324,301
|
(130,007
)
|
|
03/18/2026
|
Deutsche Bank AG
|
USD
|
8,885,000
|
KRW
|
12,739,401,850
|
(90,570
)
|
|
03/25/2026
|
Deutsche Bank AG
|
USD
|
13,130,000
|
IDR
|
220,255,750,000
|
(14,694
)
|
|
02/03/2026
|
Goldman Sachs International
|
BRL
|
905,823,878
|
USD
|
165,176,279
|
(6,943,598
)
|
|
02/03/2026
|
Goldman Sachs International
|
USD
|
66,072,686
|
BRL
|
345,566,756
|
(409,913
)
|
|
03/03/2026
|
Goldman Sachs International
|
BRL
|
702,481,000
|
USD
|
132,221,015
|
(418,921
)
|
|
03/18/2026
|
Goldman Sachs International
|
CZK
|
11,455,819
|
USD
|
550,713
|
(7,451
)
|
|
03/18/2026
|
Goldman Sachs International
|
HUF
|
63,792,316
|
USD
|
192,757
|
(4,901
)
|
|
03/18/2026
|
Goldman Sachs International
|
MXN
|
660,011,352
|
USD
|
36,520,000
|
(1,100,190
)
|
|
03/18/2026
|
Goldman Sachs International
|
USD
|
34,850,000
|
MXN
|
603,305,775
|
(461,988
)
|
|
06/23/2026
|
Goldman Sachs International
|
BRL
|
42,703,450
|
USD
|
7,505,000
|
(353,167
)
|
|
03/19/2027
|
Goldman Sachs International
|
USD
|
173,750,000
|
INR
|
15,445,512,500
|
(10,461,543
)
|
|
02/12/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
199,462,020
|
USD
|
11,560,000
|
(779,221
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
32,690,000
|
USD
|
21,270,598
|
(1,490,713
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
CAD
|
16,521,786
|
USD
|
11,906,059
|
(250,239
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
CNY
|
52,980,000
|
USD
|
7,544,537
|
(70,377
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
88,043,766
|
USD
|
103,161,031
|
(1,413,196
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
GBP
|
6,901,548
|
USD
|
9,178,338
|
(264,885
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
KRW
|
45,460,964,000
|
USD
|
31,116,334
|
(266,873
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
MXN
|
1,031,644,795
|
USD
|
57,070,000
|
(1,733,039
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
NOK
|
3,427,015
|
USD
|
339,057
|
(16,721
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
SEK
|
244,000
|
USD
|
26,062
|
(1,390
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
TRY
|
29,641,000
|
USD
|
645,057
|
(14,511
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
58,174,893
|
EUR
|
48,534,817
|
(527,530
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
31,863,194
|
JPY
|
4,890,490,460
|
(146,100
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
34,960,000
|
MXN
|
612,775,139
|
(32,241
)
|
|
03/18/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
750,312,096
|
USD
|
45,440,000
|
(861,271
)
|
|
06/22/2026
|
J.P. Morgan Chase Bank, N.A.
|
ZAR
|
97,282,500
|
USD
|
5,250,000
|
(711,723
)
|
|
07/14/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
21,285,900
|
USD
|
3,530,000
|
(367,803
)
|
|
01/08/2027
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
12,420,000
|
USD
|
8,328,852
|
(273,342
)
|
|
02/09/2026
|
Merrill Lynch International
|
BRL
|
14,143,500
|
USD
|
2,245,000
|
(438,125
)
|
|
03/18/2026
|
Merrill Lynch International
|
COP
|
75,769,214,000
|
USD
|
19,579,114
|
(743,123
)
|
|
03/18/2026
|
Merrill Lynch International
|
GBP
|
97,907,156
|
USD
|
130,522,575
|
(3,441,441
)
|
|
03/18/2026
|
Merrill Lynch International
|
PEN
|
3,661,000
|
USD
|
1,084,998
|
(553
)
|
|
04/09/2026
|
Merrill Lynch International
|
AUD
|
6,245,000
|
USD
|
3,788,841
|
(559,022
)
|
|
05/12/2026
|
Merrill Lynch International
|
EUR
|
16,730,000
|
USD
|
19,314,785
|
(606,998
)
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
02/03/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
31,910,000
|
BRL
|
165,478,878
|
$(466,576
)
|
|
03/18/2026
|
Morgan Stanley and Co. International PLC
|
ZAR
|
540,999,047
|
USD
|
31,509,346
|
(1,875,354
)
|
|
05/13/2026
|
Morgan Stanley and Co. International PLC
|
EUR
|
17,430,000
|
USD
|
20,079,360
|
(676,886
)
|
|
03/18/2026
|
Standard Chartered Bank PLC
|
KRW
|
34,773,900,000
|
USD
|
23,712,172
|
(293,401
)
|
|
03/18/2026
|
Standard Chartered Bank PLC
|
USD
|
17,770,000
|
JPY
|
2,707,732,182
|
(209,104
)
|
|
Subtotal—Depreciation
|
(45,313,173
)
|
|||||
|
Total Forward Foreign Currency Contracts
|
$(17,878,761
)
|
|||||
|
Open Centrally Cleared Credit Default Swap Agreements(a)
|
||||||||||
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity Date
|
Implied
Credit
Spread(b)
|
Notional Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
||||||||||
|
BNP Paribas S.A.
|
Sell
|
1.00%
|
Quarterly
|
12/20/2030
|
0.382%
|
EUR
|
9,000,000
|
$279,413
|
$306,179
|
$26,766
|
|
UBS AG
|
Sell
|
1.00
|
Quarterly
|
12/20/2028
|
0.290
|
EUR
|
5,170,000
|
45,851
|
123,160
|
77,309
|
|
Subtotal - Appreciation
|
|
|
|
|
|
325,264
|
429,339
|
104,075
|
||
|
Credit Risk
|
||||||||||
|
Brazil Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2026
|
0.494
|
USD
|
8,280,000
|
(1,402
)
|
(37,061
)
|
(35,659
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2028
|
0.209
|
EUR
|
5,170,000
|
(32,222
)
|
(136,764
)
|
(104,542
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
0.346
|
EUR
|
9,000,000
|
(297,017
)
|
(324,736
)
|
(27,719
)
|
|
Markit CDX North America High
Yield Index, Series 45,
Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2030
|
2.966
|
USD
|
117,612,000
|
(8,373,792
)
|
(9,857,415
)
|
(1,483,623
)
|
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2030
|
2.468
|
EUR
|
93,600,000
|
(10,846,596
)
|
(11,973,031
)
|
(1,126,435
)
|
|
Mexico Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2029
|
0.700
|
USD
|
3,795,000
|
26,025
|
(40,781
)
|
(66,806
)
|
|
Turkey Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
2.173
|
USD
|
3,600,000
|
224,625
|
181,861
|
(42,764
)
|
|
Subtotal - Depreciation
|
|
|
|
|
|
(19,300,379
)
|
(22,187,927
)
|
(2,887,548
)
|
||
|
Total Centrally Cleared Credit Default Swap Agreements
|
|
|
|
$(18,975,115
)
|
$(21,758,588
)
|
$(2,783,473
)
|
||||
|
(a)
|
Centrally cleared swap agreements collateralized by $22,223,686 cash held with Counterparties.
|
|
(b)
|
Implied credit spreads represent the current level, as of January 31, 2026, at which
protection could be bought or sold given the terms of the existing credit
default swap agreement and serve as an indicator of the current status of the payment/performance
risk of the credit default swap agreement. An implied credit
spread that has widened or increased since entry into the initial agreement may indicate
a deteriorating credit profile and increased risk of default for the
reference entity. A declining or narrowing spread may indicate an improving credit
profile or decreased risk of default for the reference entity. Alternatively, credit
spreads may increase or decrease reflecting the general tolerance for risk in the
credit markets generally.
|
|
Open Centrally Cleared Interest Rate Swap Agreements(a)
|
||||||||||
|
Pay/
Receive
Floating
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Interest Rate Risk
|
||||||||||
|
Receive
|
SOFR
|
Annually
|
(3.83)%
|
Annually
|
08/04/2035
|
USD
|
42,370,000
|
$—
|
$9,091
|
$9,091
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
12.91
|
At Maturity
|
01/03/2033
|
BRL
|
34,931,899
|
—
|
15,212
|
15,212
|
|
Receive
|
SOFR
|
Annually
|
(4.20)
|
Annually
|
07/08/2056
|
USD
|
33,350,000
|
—
|
72,948
|
72,948
|
|
Receive
|
SOFR
|
Annually
|
(3.69)
|
Annually
|
09/04/2035
|
USD
|
8,535,000
|
—
|
101,248
|
101,248
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.54
|
At Maturity
|
01/03/2033
|
BRL
|
18,008,892
|
—
|
157,386
|
157,386
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.32
|
At Maturity
|
01/03/2033
|
BRL
|
34,053,313
|
—
|
198,295
|
198,295
|
|
Receive
|
SOFR
|
Annually
|
(3.56)
|
Annually
|
12/12/2035
|
USD
|
20,230,000
|
—
|
471,431
|
471,431
|
|
Pay
|
3 Month CZK
PRIBOR
|
Quarterly
|
3.79
|
Annually
|
12/02/2027
|
CZK
|
2,673,480,000
|
—
|
613,418
|
613,418
|
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.42
|
Annually
|
01/29/2029
|
EUR
|
1,192,180,000
|
(184,566
)
|
436,974
|
621,540
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(2.87)
|
Annually
|
11/06/2055
|
EUR
|
11,660,000
|
—
|
824,549
|
824,549
|
|
Receive
|
SOFR
|
Annually
|
(3.52)
|
Annually
|
12/10/2035
|
USD
|
39,830,000
|
—
|
1,071,345
|
1,071,345
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(2.38)
|
Annually
|
12/20/2054
|
EUR
|
19,860,000
|
—
|
3,606,722
|
3,606,722
|
|
Receive
|
6 Month
EURIBOR
|
Semi-Annually
|
(1.98)
|
Annually
|
01/24/2075
|
EUR
|
12,190,000
|
87,271
|
3,843,765
|
3,756,494
|
|
Subtotal — Appreciation
|
|
|
|
(97,295
)
|
11,422,384
|
11,519,679
|
||||
|
Interest Rate Risk
|
||||||||||
|
Pay
|
6 Month
EURIBOR
|
Semi-Annually
|
2.38
|
Annually
|
12/20/2054
|
EUR
|
19,860,000
|
—
|
(3,618,053
)
|
(3,618,053
)
|
|
Pay
|
KWCDC
|
Quarterly
|
2.82
|
Quarterly
|
11/16/2027
|
KRW
|
366,736,600,000
|
—
|
(1,019,578
)
|
(1,019,578
)
|
|
Receive
|
SORA
|
Semi-Annually
|
(1.52)
|
Semi-Annually
|
01/27/2028
|
SGD
|
158,655,000
|
—
|
(170,371
)
|
(170,371
)
|
|
Receive
|
SOFR
|
Annually
|
(3.86)
|
Annually
|
07/15/2035
|
USD
|
28,285,000
|
—
|
(87,234
)
|
(87,234
)
|
|
Receive
|
SOFR
|
Annually
|
(3.86)
|
Annually
|
07/15/2035
|
USD
|
28,285,000
|
—
|
(70,333
)
|
(70,333
)
|
|
Subtotal — Depreciation
|
|
|
|
—
|
(4,965,569
)
|
(4,965,569
)
|
||||
|
Total Centrally Cleared Interest Rate Swap Agreements
|
|
|
|
$(97,295
)
|
$6,456,815
|
$6,554,110
|
||||
|
(a)
|
Centrally cleared swap agreements collateralized by $22,223,686 cash held with Counterparties.
|
|
Open Over-The-Counter Credit Default Swap Agreements(a)
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread(b)
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
|||||||||||
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00%
|
Quarterly
|
12/20/2029
|
1.355%
|
EUR
|
24,150,000
|
$2,271,542
|
$3,883,429
|
$1,611,887
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
0.347
|
EUR
|
44,676,910
|
7,030,698
|
8,899,954
|
1,869,256
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
Crossover Index, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
1.355
|
EUR
|
13,800,000
|
1,325,154
|
2,219,102
|
893,948
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
CrossoverIndex, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
0.347
|
EUR
|
1,942,474
|
361,924
|
386,954
|
25,030
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe
CrossoverIndex, Series 42,
Version 4
|
Sell
|
5.00
|
Quarterly
|
12/20/2029
|
1.355
|
EUR
|
1,050,000
|
151,162
|
168,845
|
17,683
|
|
Subtotal—Appreciation
|
|
|
|
|
11,140,480
|
15,558,284
|
4,417,804
|
||||
|
Open Over-The-Counter Credit Default Swap Agreements(a)—(continued)
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread(b)
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
|||||||||||
|
Goldman Sachs
International
|
Markit CDX North America
High Yield Index, Series 39,
Version 1
|
Buy
|
(5.00)%
|
Quarterly
|
12/20/2027
|
0.083%
|
USD
|
596,516
|
$(51,883
)
|
$(53,438
)
|
$(1,555
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit CDX North America
High Yield Index, Series 39,
Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2027
|
0.083
|
USD
|
20,878,039
|
(1,446,934
)
|
(1,870,317
)
|
(423,383
)
|
|
Subtotal—Depreciation
|
|
|
|
|
(1,498,817
)
|
(1,923,755
)
|
(424,938
)
|
||||
|
Total Over-The-Counter Credit Default Swap Agreements
|
|
|
|
|
$9,641,663
|
$13,634,529
|
$3,992,866
|
||||
|
(a)
|
Over-The-Counter options purchased, options written and swap agreements are collateralized
by cash held with Counterparties in the amount of $32,162,588.
|
|
(b)
|
Implied credit spreads represent the current level, as of January 31, 2026, at which
protection could be bought or sold given the terms of the existing credit
default swap agreement and serve as an indicator of the current status of the payment/performance
risk of the credit default swap agreement. An implied credit
spread that has widened or increased since entry into the initial agreement may indicate
a deteriorating credit profile and increased risk of default for the
reference entity. A declining or narrowing spread may indicate an improving credit
profile or decreased risk of default for the reference entity. Alternatively, credit
spreads may increase or decrease reflecting the general tolerance for risk in the
credit markets generally.
|
|
Abbreviations:
|
|
|
AUD
|
—Australian Dollar
|
|
BBSW
|
—Bank Bill Swap Rate
|
|
BRL
|
—Brazilian Real
|
|
BZDIOVRA
|
—Brazil Ceptip DI Interbank Deposit Rate
|
|
CAD
|
—Canadian Dollar
|
|
CHF
|
—Swiss Franc
|
|
CLP
|
—Chile Peso
|
|
CNY
|
—Chinese Yuan Renminbi
|
|
COP
|
—Colombia Peso
|
|
CZK
|
—Czech Koruna
|
|
EUR
|
—Euro
|
|
EURIBOR
|
—Euro Interbank Offered Rate
|
|
GBP
|
—British Pound Sterling
|
|
HUF
|
—Hungarian Forint
|
|
IDR
|
—Indonesian Rupiah
|
|
INR
|
—Indian Rupee
|
|
JPY
|
—Japanese Yen
|
|
KRW
|
—South Korean Won
|
|
KWCDC
|
—South Korean Won Certificate of Deposit
|
|
MXN
|
—Mexican Peso
|
|
NOK
|
—Norwegian Krone
|
|
NZD
|
—New Zealand Dollar
|
|
PEN
|
—Peruvian Sol
|
|
PLN
|
—Polish Zloty
|
|
PRIBOR
|
—Prague Interbank Offerred Rate
|
|
SEK
|
—Swedish Krona
|
|
SGD
|
—Singapore Dollar
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
SONIA
|
—Sterling Overnight Index Average
|
|
SORA
|
—Singapore Overnight Rate Average
|
|
THB
|
—Thai Baht
|
|
TRY
|
—Turkish Lira
|
|
USD
|
—U.S. Dollar
|
|
ZAR
|
—South African Rand
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
U.S. Dollar Denominated Bonds & Notes
|
$—
|
$537,115,725
|
$2,102,879
|
$539,218,604
|
|
Non-U.S. Dollar Denominated Bonds & Notes
|
—
|
378,405,287
|
—
|
378,405,287
|
|
Asset-Backed Securities
|
—
|
261,277,032
|
8,470,382
|
269,747,414
|
|
U.S. Treasury Securities
|
—
|
189,340,275
|
—
|
189,340,275
|
|
U.S. Government Sponsored Agency Mortgage-Backed Securities
|
—
|
125,378,991
|
—
|
125,378,991
|
|
Agency Credit Risk Transfer Notes
|
—
|
85,363,756
|
—
|
85,363,756
|
|
Common Stocks & Other Equity Interests
|
1,059,285
|
30,836,400
|
13,646
|
31,909,331
|
|
Variable Rate Senior Loan Interests
|
—
|
5,309,138
|
351,758
|
5,660,896
|
|
Preferred Stocks
|
2,201,020
|
—
|
99
|
2,201,119
|
|
Commercial Paper
|
—
|
—
|
780,793
|
780,793
|
|
Money Market Funds
|
83,595,766
|
62,141,184
|
—
|
145,736,950
|
|
Options Purchased
|
—
|
111,497,102
|
—
|
111,497,102
|
|
Total Investments in Securities
|
86,856,071
|
1,786,664,890
|
11,719,557
|
1,885,240,518
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
120,697
|
—
|
—
|
120,697
|
|
Forward Foreign Currency Contracts
|
—
|
27,434,412
|
—
|
27,434,412
|
|
Swap Agreements
|
—
|
16,041,558
|
—
|
16,041,558
|
|
|
120,697
|
43,475,970
|
—
|
43,596,667
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(1,152,018
)
|
—
|
—
|
(1,152,018
)
|
|
Forward Foreign Currency Contracts
|
—
|
(45,313,173
)
|
—
|
(45,313,173
)
|
|
Options Written
|
(3,117,922
)
|
(114,259,542
)
|
—
|
(117,377,464
)
|
|
Swap Agreements
|
—
|
(8,278,055
)
|
—
|
(8,278,055
)
|
|
|
(4,269,940
)
|
(167,850,770
)
|
—
|
(172,120,710
)
|
|
Total Other Investments
|
(4,149,243
)
|
(124,374,800
)
|
—
|
(128,524,043
)
|
|
Total Investments
|
$82,706,828
|
$1,662,290,090
|
$11,719,557
|
$1,756,716,475
|
|
*
|
Forward foreign currency contracts, futures contracts and swap agreements are valued
at unrealized appreciation (depreciation). Options written are shown at
value.
|