|
2026 Quarterly Report
(Unaudited)
|
|
BlackRock Capital Allocation Term Trust (BCAT)
|
|
Not FDIC Insured • May Lose Value • No Bank Guarantee
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities
|
|||
|
Cayman Islands(a)(b) — 1.2%
|
|
||
|
Apidos CLO XXXV, Series 2021-35A, Class E, (3-mo.
CME Term SOFR + 6.01%), 9.68%, 04/20/34
|
USD
|
375
|
$ 360,700
|
|
Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo.
CME Term SOFR + 6.56%), 10.23%, 10/22/34
|
|
250
|
248,272
|
|
ARES Loan Funding I Ltd.
|
|
|
|
|
Series 2021-ALFA, Class ER, (3-mo. CME Term
SOFR + 5.10%), 8.77%, 04/15/39
|
|
1,250
|
1,249,978
|
|
Series 2021-ALFA, Class SUB, 0.00%, 10/15/34
|
|
2,150
|
735,644
|
|
Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3-mo.
CME Term SOFR + 3.31%), 6.98%, 07/15/32
|
|
2,700
|
2,700,967
|
|
Canyon CLO Ltd., Series 2020-3A, Class BR, (3-mo.
CME Term SOFR + 1.95%), 5.62%, 10/15/37
|
|
750
|
750,860
|
|
CarVal CLO VC Ltd., Series 2021-2A, Class E, (3-mo.
CME Term SOFR + 7.01%), 10.68%, 10/15/34
|
|
500
|
463,444
|
|
Crown City CLO III, Series 2021-1A, Class C, (3-mo.
CME Term SOFR + 3.56%), 7.23%, 07/20/34
|
|
1,250
|
1,197,799
|
|
Crown Point CLO Ltd., Series 2020-9A, Class DR,
(3-mo. CME Term SOFR + 4.01%), 7.68%,
07/14/34
|
|
500
|
492,453
|
|
OCP CLO Ltd.
|
|
|
|
|
Series 2020-18A, Class D1R2, (3-mo. CME Term
SOFR + 3.10%), 6.77%, 07/20/37
|
|
500
|
500,509
|
|
Series 2020-AR, Class D1R, (3-mo. CME Term
SOFR + 3.60%), 7.27%, 04/18/37
|
|
3,500
|
3,438,530
|
|
Regatta XX Funding Ltd., Series 2021-2A, Class D1R,
(3-mo. CME Term SOFR + 2.60%), 6.27%,
01/15/38
|
|
1,500
|
1,471,719
|
|
Sound Point CLO XXVI Ltd., Series 2020-1A,
Class DR, (3-mo. CME Term SOFR + 3.61%),
7.28%, 07/20/34
|
|
250
|
239,306
|
|
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%,
12/29/29(c)
|
|
1,000
|
—
|
|
Trestles CLO Ltd., Series 2017-1A, Class D1RR, (3-
mo. CME Term SOFR + 3.15%), 6.82%, 07/25/37
|
|
500
|
500,542
|
|
Whitebox CLO I Ltd., Series 2019-1A, Class SUB,
0.00%, 01/24/37
|
|
1,000
|
491,870
|
|
Whitebox CLO II Ltd., Series 2020-2A, Class D1R2,
(3-mo. CME Term SOFR + 2.90%), 6.57%,
10/24/37
|
|
1,750
|
1,739,167
|
|
Whitebox CLO III Ltd.
|
|
|
|
|
Series 2021-3A, Class DR, (3-mo. CME Term SOFR
+ 2.85%), 6.52%, 10/15/35
|
|
500
|
499,982
|
|
Series 2021-3A, Class ER, (3-mo. CME Term SOFR
+ 5.65%), 9.32%, 10/15/35
|
|
500
|
486,530
|
|
|
|
|
17,568,272
|
|
Ireland(a) — 0.9%
|
|
||
|
Arbour CLO VI DAC, Series 6X, Class DR, (3-mo.
EURIBOR + 3.20%), 5.18%, 11/15/37(d)
|
EUR
|
300
|
343,469
|
|
Arcano Euro CLO I DAC, Series 1X, Class D, (3-mo.
EURIBOR + 3.40%), 5.43%, 04/25/39(d)
|
|
350
|
403,772
|
|
Arcano Euro CLO II DAC, Series 2X, Class D, (3-mo.
EURIBOR + 3.30%), 5.33%, 07/25/39(d)
|
|
160
|
184,033
|
|
ARES European CLO XII DAC, Series 12A, Class DR,
(3-mo. EURIBOR + 3.00%), 5.03%, 04/20/32(b)
|
|
875
|
1,011,148
|
|
Arini European CLO IV DAC, Series 4X, Class D, (3-
mo. EURIBOR + 3.50%), 5.52%, 01/15/38(d)
|
|
430
|
497,738
|
|
Aurium CLO XIII DAC, Series 13X, Class D, (3-mo.
EURIBOR + 2.80%), 4.82%, 04/15/38(d)
|
|
160
|
180,671
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|
||
|
Capital Four CLO VIII DAC, Series 8X, Class D, (3-mo.
EURIBOR + 3.25%), 5.28%, 10/25/37(d)
|
EUR
|
350
|
$ 400,939
|
|
CIFC European Funding CLO III DAC, Series 3X,
Class DR, (3-mo. EURIBOR + 2.55%), 4.54%,
01/15/39(d)
|
|
100
|
112,686
|
|
Contego CLO VII DAC, Series 7X, Class DR, (3-mo.
EURIBOR + 3.45%), 5.48%, 01/23/38(d)
|
|
290
|
327,587
|
|
CVC Cordatus Loan Fund XIX DAC, Series 19A,
Class D, (3-mo. EURIBOR + 3.80%), 5.91%,
12/23/33(b)
|
|
2,300
|
2,662,671
|
|
CVC Cordatus Opportunity Loan Fund-R DAC,
Series 1X, Class DR, (3-mo. EURIBOR + 2.80%),
4.78%, 08/15/33(d)
|
|
700
|
795,665
|
|
Hambridge Euro CLO 1 DAC, Series 1X, Class D, (3-
mo. EURIBOR + 3.30%), 5.34%, 10/20/38(d)
|
|
210
|
242,039
|
|
Henley CLO XII DAC, Series 12X, Class D, (3-mo.
EURIBOR + 3.10%), 5.12%, 01/15/38(d)
|
|
220
|
252,874
|
|
Invesco Euro CLO V DAC, Series 5A, Class D, (3-mo.
EURIBOR + 3.80%), 5.82%, 01/15/34(b)
|
|
3,150
|
3,587,839
|
|
Newbridge Park CLO DAC, Series 1X, Class D, (3-mo.
EURIBOR + 2.50%), 4.70%, 04/15/40(d)
|
|
200
|
227,072
|
|
Palmer Square European Loan Funding DAC(d)
|
|
|
|
|
Series 2024-2X, Class D, (3-mo. EURIBOR +
3.15%), 5.13%, 05/15/34
|
|
250
|
289,235
|
|
Series 2024-3X, Class D, (3-mo. EURIBOR +
3.05%), 5.03%, 05/15/34
|
|
220
|
254,694
|
|
Penta CLO 17 DAC, Series 2024-17X, Class DR, (3-
mo. EURIBOR + 2.60%), 4.62%, 02/15/39(d)
|
|
170
|
188,146
|
|
Prodigy Finance DAC(b)
|
|
|
|
|
Series 2021-1A, Class C, (1 mo. Term SOFR +
3.86%), 7.54%, 07/25/51
|
USD
|
50
|
49,254
|
|
Series 2021-1A, Class D, (1 mo. Term SOFR +
6.01%), 9.69%, 07/25/51
|
|
49
|
49,518
|
|
Providus Clo XIV DAC, Series 14X, Class D, (3-mo.
EURIBOR + 2.65%), 4.92%, 04/18/40(d)
|
EUR
|
100
|
112,319
|
|
Signal Harmonic CLO I DAC, Series 1X, Class DR,
(3-mo. EURIBOR + 3.50%), 5.52%, 07/15/38(d)
|
|
190
|
216,527
|
|
Sona Fios CLO V DAC, Series 5X, Class D, (3-mo.
EURIBOR + 3.30%), 5.33%, 08/25/38(d)
|
|
170
|
195,950
|
|
Victory Street CLO I DAC, Series 1X, Class D, (3-mo.
EURIBOR + 3.45%), 5.47%, 01/15/38(d)
|
|
320
|
369,380
|
|
|
|
|
12,955,226
|
|
United Kingdom — 0.0%
|
|
||
|
Unique Pub Finance Co. PLC, Series 02, Class N,
6.46%, 03/30/32(d)
|
GBP
|
267
|
362,825
|
|
United States — 2.2%
|
|
||
|
Ajax Mortgage Loan Trust(b)
|
|
|
|
|
Series 2021-G, Class A, 5.88%, 06/25/61(a)
|
USD
|
3,012
|
3,013,389
|
|
Series 2021-G, Class B, 6.75%, 06/25/61(a)
|
|
748
|
747,573
|
|
Series 2021-G, Class C, 0.00%, 06/25/61
|
|
1,258
|
1,293,521
|
|
Citigroup Mortgage Loan Trust(a)
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1 mo. Term SOFR +
0.31%), 3.99%, 05/25/37
|
|
3,792
|
2,586,774
|
|
Series 2007-AHL3, Class A3B, (1 mo. Term SOFR +
0.28%), 3.96%, 07/25/45
|
|
2,764
|
1,948,198
|
|
College Avenue Student Loans LLC, Series 2021-A,
Class D, 4.12%, 07/25/51(b)
|
|
125
|
119,249
|
|
Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class R1, 0.00%, 04/25/43(b)(c)
|
|
5
|
1,257,160
|
|
Home Partners of America Trust, Series 2021-2,
Class F, 3.80%, 12/17/26(b)
|
|
2,398
|
2,363,158
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|
||
|
Lending Funding Trust, Series 2020-2A, Class D,
6.77%, 04/21/31(b)
|
USD
|
2,830
|
$ 2,830,120
|
|
Lendmark Funding Trust, Series 2021-1A, Class D,
5.05%, 11/20/31(b)
|
|
2,320
|
2,199,451
|
|
Mariner Finance Issuance Trust(b)
|
|
|
|
|
Series 2021-AA, Class E, 5.40%, 03/20/36
|
|
1,420
|
1,370,073
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36
|
|
540
|
506,758
|
|
Nelnet Student Loan Trust(b)
|
|
|
|
|
Series 2021-A, Class D, 4.93%, 04/20/62
|
|
1,670
|
1,522,852
|
|
Series 2021-BA, Class D, 4.75%, 04/20/62
|
|
340
|
306,372
|
|
Series 2021-CA, Class D, 4.44%, 04/20/62
|
|
110
|
97,968
|
|
Progress Residential, Series 2021-SFR3, Class H,
4.75%, 05/17/26(b)
|
|
1,140
|
1,135,793
|
|
Regional Management Issuance Trust, Series 2021-3,
Class A, 3.88%, 10/17/33(b)(c)
|
|
4,780
|
4,696,350
|
|
Residential Mortgage Loan Trust, Series 2020-1,
Class B1, 3.95%, 01/26/60(a)(b)
|
|
400
|
381,236
|
|
SMB Private Education Loan Trust(b)
|
|
|
|
|
Series 2021-A, Class D1, 3.86%, 01/15/53
|
|
1,186
|
1,070,987
|
|
Series 2021-A, Class D2, 3.86%, 01/15/53
|
|
647
|
585,955
|
|
Series 2021-C, Class D, 3.93%, 01/15/53
|
|
260
|
233,426
|
|
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-WF2, Class M8, (1 mo. Term SOFR +
1.91%), 5.59%, 05/25/35(a)
|
|
182
|
180,907
|
|
Tricon Residential Trust(b)
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38
|
|
1,375
|
1,365,376
|
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38
|
|
887
|
880,063
|
|
|
|
|
32,692,709
|
|
Total Asset-Backed Securities — 4.3%
(Cost: $70,040,208)
|
63,579,032
|
||
|
|
|
Shares
|
|
|
Common Stocks
|
|||
|
Brazil — 0.0%
|
|
||
|
MercadoLibre, Inc.(e)
|
|
187
|
323,327
|
|
Canada — 1.6%
|
|
||
|
Algoma Steel Group, Inc.
|
|
178,901
|
738,861
|
|
Cameco Corp.
|
|
108,363
|
11,769,305
|
|
Cenovus Energy, Inc.
|
|
155,826
|
4,134,064
|
|
Methanex Corp.
|
|
24,733
|
1,472,603
|
|
Suncor Energy, Inc.
|
|
92,109
|
6,092,265
|
|
|
|
|
24,207,098
|
|
Chile — 0.0%
|
|
||
|
Wom New Holdco(c)(e)
|
|
599
|
13,777
|
|
China — 0.8%
|
|
||
|
Alibaba Group Holding Ltd., ADR
|
|
2,883
|
361,701
|
|
BYD Co. Ltd., Class H
|
|
293,766
|
4,016,172
|
|
Contemporary Amperex Technology Co. Ltd., Class H
|
|
4,853
|
386,824
|
|
Tencent Holdings Ltd.
|
|
111,204
|
7,013,896
|
|
|
|
|
11,778,593
|
|
Denmark — 0.4%
|
|
||
|
DSV A/S
|
|
25,329
|
6,117,158
|
|
France — 1.6%
|
|
||
|
Airbus SE
|
|
8,611
|
1,628,106
|
|
Arkema SA
|
|
20,692
|
1,420,668
|
|
Security
|
|
Shares
|
Value
|
|
France (continued)
|
|
||
|
EssilorLuxottica SA
|
|
14,201
|
$ 3,309,190
|
|
Hermes International SCA
|
|
2,323
|
4,400,577
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
|
3,036
|
1,659,627
|
|
Sanofi SA
|
|
47,334
|
4,571,034
|
|
Societe Generale SA
|
|
70,076
|
5,116,732
|
|
TotalEnergies SE
|
|
20,457
|
1,877,423
|
|
|
|
|
23,983,357
|
|
Germany — 0.2%
|
|
||
|
Heidelberg Materials AG
|
|
4,811
|
1,015,297
|
|
Siemens AG, Class N, Registered Shares
|
|
6,998
|
1,704,951
|
|
|
|
|
2,720,248
|
|
India — 0.3%
|
|
||
|
LG Electronics India Ltd.(e)
|
|
32,166
|
495,861
|
|
Mahindra & Mahindra Ltd.
|
|
69,108
|
2,167,680
|
|
SBI Life Insurance Co. Ltd.(b)
|
|
86,125
|
1,629,146
|
|
Think & Learn Private Ltd., Class J-B, (Acquired
12/11/20, Cost: $5,113,105)(c)(e)(f)
|
|
2,279
|
—
|
|
|
|
|
4,292,687
|
|
Israel — 0.0%
|
|
||
|
Deep Instinct Ltd.(c)(e)
|
|
66,096
|
3,966
|
|
Italy — 1.5%
|
|
||
|
Intesa Sanpaolo SpA
|
|
1,784,664
|
10,793,442
|
|
Leonardo SpA
|
|
11,078
|
753,519
|
|
UniCredit SpA
|
|
155,517
|
11,157,378
|
|
|
|
|
22,704,339
|
|
Luxembourg — 0.0%
|
|
||
|
New Kleo Holdco(c)(e)
|
|
33,230
|
49,932
|
|
Macau — 0.0%
|
|
||
|
Wynn Macau Ltd.
|
|
391,268
|
275,396
|
|
Netherlands — 1.5%
|
|
||
|
ASML Holding NV
|
|
13,599
|
18,083,352
|
|
ING Groep NV
|
|
138,665
|
3,599,282
|
|
|
|
|
21,682,634
|
|
South Korea — 0.6%
|
|
||
|
Samsung Electronics Co. Ltd.
|
|
56,436
|
6,600,827
|
|
SK Hynix, Inc.
|
|
2,884
|
1,636,280
|
|
|
|
|
8,237,107
|
|
Spain — 0.0%
|
|
||
|
CaixaBank SA
|
|
36,670
|
439,587
|
|
Industria de Diseno Textil SA
|
|
3,155
|
183,649
|
|
|
|
|
623,236
|
|
Sweden — 0.0%
|
|
||
|
Volta Trucks, Series C, (Acquired 02/22/22, Cost:
$322,253), Preference Shares(c)(e)(f)
|
|
2,732
|
—
|
|
Taiwan — 1.9%
|
|
||
|
Taiwan Semiconductor Manufacturing Co. Ltd.
|
|
58,000
|
3,354,402
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
|
74,150
|
25,058,993
|
|
|
|
|
28,413,395
|
|
United Kingdom — 3.4%
|
|
||
|
AstraZeneca PLC
|
|
25,015
|
4,891,432
|
|
BAE Systems PLC
|
|
362,817
|
10,637,251
|
|
British American Tobacco PLC
|
|
102,754
|
5,965,774
|
|
Compass Group PLC
|
|
133,455
|
3,723,516
|
|
Genius Sports Ltd.(e)
|
|
140,437
|
622,136
|
|
National Grid PLC
|
|
453,162
|
7,649,420
|
|
RELX PLC
|
|
105,760
|
3,464,946
|
|
Security
|
|
Shares
|
Value
|
|
United Kingdom (continued)
|
|
||
|
Rolls-Royce Holdings PLC
|
|
180,920
|
$ 2,748,614
|
|
Shell PLC
|
|
227,344
|
10,630,852
|
|
Teya Services Ltd., Series C, (Acquired 11/16/21, Cost:
$2,398,802)(c)(e)(f)
|
|
1,235
|
279,481
|
|
|
|
|
50,613,422
|
|
United States — 45.1%
|
|
||
|
Abbott Laboratories
|
|
12,568
|
1,290,357
|
|
AbbVie, Inc.
|
|
16,432
|
3,573,796
|
|
Advanced Drainage Systems, Inc.
|
|
866
|
118,755
|
|
Alphabet, Inc., Class C
|
|
126,356
|
36,246,482
|
|
Amazon.com, Inc.(e)(g)
|
|
137,651
|
28,668,574
|
|
AMC Networks, Inc., Class A(e)
|
|
9,801
|
66,549
|
|
Amphenol Corp., Class A
|
|
2,216
|
279,992
|
|
Antero Resources Corp.(e)
|
|
20,766
|
881,309
|
|
APA Corp.
|
|
63,494
|
2,694,685
|
|
Apple, Inc.(g)
|
|
94,946
|
24,096,345
|
|
AppLovin Corp., Class A(e)
|
|
1,862
|
741,076
|
|
Arista Networks, Inc.(e)
|
|
5,155
|
632,931
|
|
Autodesk, Inc.(e)
|
|
3,355
|
803,187
|
|
AutoZone, Inc.(e)
|
|
44
|
148,622
|
|
Bank of America Corp.
|
|
176,401
|
8,599,549
|
|
Best Buy Co., Inc.
|
|
2,155
|
138,351
|
|
Boeing Co.(e)
|
|
45,015
|
8,959,335
|
|
Booking Holdings, Inc.
|
|
345
|
1,452,560
|
|
Boston Scientific Corp.(e)
|
|
90,689
|
5,690,735
|
|
BP PLC
|
|
165,913
|
1,298,569
|
|
Broadcom, Inc.(g)
|
|
64,274
|
19,893,446
|
|
Builders FirstSource, Inc.(e)
|
|
1,235
|
101,678
|
|
Burlington Stores, Inc.(e)
|
|
986
|
320,825
|
|
Cadence Design Systems, Inc.(e)
|
|
6,348
|
1,763,919
|
|
Caesars Entertainment, Inc.(e)
|
|
19,728
|
521,411
|
|
Caresyntax, Inc.(c)(e)
|
|
15,359
|
—
|
|
Carrier Global Corp.
|
|
2,835
|
159,639
|
|
Caterpillar, Inc.
|
|
3,710
|
2,628,387
|
|
Century Communities, Inc.
|
|
15,990
|
917,506
|
|
Cheniere Energy, Inc.
|
|
3,146
|
892,709
|
|
Cisco Systems, Inc.
|
|
96,422
|
7,481,383
|
|
Citigroup, Inc.
|
|
99,902
|
11,329,886
|
|
Citizens Financial Group, Inc.
|
|
44,959
|
2,696,191
|
|
Coinbase Global, Inc., Class A(e)
|
|
1,640
|
286,360
|
|
Costco Wholesale Corp.
|
|
16,513
|
16,454,049
|
|
CRH PLC
|
|
50,079
|
5,264,304
|
|
Crown PropTech Acquisitions(c)(e)
|
|
84,264
|
66,810
|
|
Crown PropTech Acquisitions, Class A(e)
|
|
29,568
|
350,085
|
|
CSX Corp.
|
|
120,150
|
4,932,157
|
|
D.R. Horton, Inc.
|
|
24,520
|
3,364,634
|
|
Darden Restaurants, Inc.
|
|
807
|
158,204
|
|
Datadog, Inc., Class A(e)
|
|
5,842
|
689,648
|
|
Davidson Kempner Merchant Co-Investment Fund LP,
(Acquired 03/31/22, Cost: $0)(e)(f)(h)
|
|
—
(i)
|
4,015,153
|
|
Delta Air Lines, Inc.
|
|
70,365
|
4,677,865
|
|
Dick’s Sporting Goods, Inc.
|
|
817
|
162,003
|
|
EchoStar Corp., Class A(e)
|
|
25,894
|
3,031,411
|
|
Edwards Lifesciences Corp.(e)
|
|
38,112
|
3,052,009
|
|
Eli Lilly & Co.
|
|
19,412
|
17,854,575
|
|
Epic Games, Inc., (Acquired 03/29/21, Cost:
$2,499,240)(c)(e)(f)
|
|
2,824
|
1,425,047
|
|
EQT Corp.
|
|
65,380
|
4,160,783
|
|
Estee Lauder Cos., Inc., Class A
|
|
7,936
|
569,567
|
|
EXO Imaging, Inc., (Acquired 06/24/21, Cost:
$1,482,935)(c)(e)(f)
|
|
2,532
|
937
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Exxon Mobil Corp.
|
|
69,936
|
$ 11,865,342
|
|
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost:
$8,566,971)(c)(e)(f)
|
|
126,282
|
11,049,675
|
|
Fifth Third Bancorp
|
|
128,484
|
5,969,367
|
|
First Citizens BancShares, Inc., Class A
|
|
351
|
661,516
|
|
First Horizon Corp.
|
|
36,567
|
832,265
|
|
Flagstar Bank NA
|
|
209,364
|
2,757,324
|
|
Flyr AS, Series D X(c)(e)
|
|
421,209
|
4
|
|
Formentera Partners Fund II LP(c)(e)(h)
|
|
—
(i)
|
3,598,961
|
|
Freeport-McMoRan, Inc.
|
|
140,514
|
8,259,413
|
|
Freewire Equity(c)(e)
|
|
45
|
—
|
|
GE Vernova, Inc.
|
|
3,652
|
3,187,831
|
|
General Electric Co.
|
|
25,042
|
7,106,168
|
|
Gilead Sciences, Inc.
|
|
15,750
|
2,195,077
|
|
Goldman Sachs Group, Inc.
|
|
2,162
|
1,829,030
|
|
Hilton Worldwide Holdings, Inc.
|
|
15,558
|
4,730,877
|
|
HNG Hospitality Offshore LP, (Acquired 02/16/24,
Cost: $2,660,000)(c)(e)(f)
|
|
2,660,000
|
1,596,000
|
|
Home Depot, Inc.
|
|
27,620
|
9,083,942
|
|
Honeywell International, Inc.
|
|
10,167
|
2,298,047
|
|
Intuit, Inc.
|
|
7,923
|
3,425,747
|
|
Intuitive Surgical, Inc.(e)
|
|
11,613
|
5,353,477
|
|
James Hardie Industries PLC(e)
|
|
6,191
|
117,257
|
|
Johnson & Johnson
|
|
27,177
|
6,643,146
|
|
JPMorgan Chase & Co.
|
|
42,798
|
12,589,460
|
|
KB Home
|
|
8,345
|
431,854
|
|
KLA Corp.
|
|
186
|
273,868
|
|
Lam Research Corp.
|
|
13,114
|
2,801,937
|
|
Latch, Inc.(e)
|
|
142,273
|
29,877
|
|
Lionsgate Studios Corp.(e)
|
|
95,306
|
913,984
|
|
Live Nation Entertainment, Inc.(e)
|
|
32,713
|
4,989,060
|
|
Lowe’s Cos., Inc.
|
|
128
|
30,244
|
|
Lumen Technologies, Inc.(e)
|
|
80,398
|
558,766
|
|
Marathon Petroleum Corp.
|
|
3,528
|
861,467
|
|
Marsh & McLennan Cos., Inc.
|
|
47,625
|
8,260,556
|
|
Mastercard, Inc., Class A
|
|
17,960
|
8,973,894
|
|
McDonald’s Corp.
|
|
19,580
|
6,085,268
|
|
McKesson Corp.
|
|
10,195
|
8,822,345
|
|
Merck & Co., Inc.
|
|
34,729
|
4,177,551
|
|
Meritage Homes Corp.
|
|
12,647
|
782,090
|
|
Meta Platforms, Inc., Class A
|
|
22,409
|
12,820,861
|
|
Micron Technology, Inc.
|
|
57,439
|
19,405,192
|
|
Microsoft Corp.(g)
|
|
71,721
|
26,548,963
|
|
MongoDB, Inc., Class A(e)
|
|
6,998
|
1,712,900
|
|
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost:
$560,518)(c)(e)(f)
|
|
816
|
—
|
|
Netflix, Inc.(e)
|
|
35,002
|
3,365,442
|
|
NextEra Energy, Inc.
|
|
118,465
|
11,003,029
|
|
NRG Energy, Inc.
|
|
2,261
|
330,422
|
|
NVIDIA Corp.(g)
|
|
184,747
|
32,219,877
|
|
OpenAI, Series C(c)(e)
|
|
1,184
|
814,221
|
|
Oracle Corp.
|
|
14,239
|
2,094,699
|
|
Palantir Technologies, Inc., Class A(e)
|
|
18,710
|
2,736,899
|
|
Palladyne AI Corp.(e)
|
|
7,517
|
45,628
|
|
Paramount Skydance Corp., Class B
|
|
3,734
|
33,681
|
|
Parker-Hannifin Corp.
|
|
5,245
|
4,695,534
|
|
PBF Energy, Inc., Class A
|
|
18,408
|
876,589
|
|
PepsiCo, Inc.
|
|
20,404
|
3,168,537
|
|
Philip Morris International, Inc.
|
|
30,063
|
4,970,616
|
|
Playstudios, Inc., Class A(e)
|
|
226,924
|
106,473
|
|
Progressive Corp.
|
|
36,075
|
7,151,508
|
|
QXO, Inc.(e)
|
|
19,226
|
373,369
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Relativity Space, Inc.(c)(e)
|
|
496
|
$ 511
|
|
RH(e)
|
|
740
|
103,467
|
|
Roche Holding AG
|
|
9,635
|
3,845,240
|
|
Rockwell Automation, Inc.
|
|
5,264
|
1,889,144
|
|
Ross Stores, Inc.
|
|
517
|
111,998
|
|
Rotor Acquisition Corp.(e)
|
|
3,978
|
24,147
|
|
Royal Caribbean Cruises Ltd.
|
|
524
|
144,194
|
|
RSA Security LLC(c)(e)
|
|
181,891
|
1
|
|
Sarcos Technology & Robotics Corp.(e)
|
|
160,743
|
975,711
|
|
Screaming Eagle Acquisition Crop., Pipe, (Acquired
05/14/24, Cost: $1,168,975)(e)(f)
|
|
115,000
|
1,091,416
|
|
ServiceNow, Inc.(e)
|
|
6,138
|
641,728
|
|
ServiceTitan, Inc., Class A(e)
|
|
10,149
|
644,055
|
|
Six Flags Entertainment Corp.(e)
|
|
28,907
|
513,099
|
|
SM Energy Co.
|
|
45,092
|
1,405,969
|
|
Snorkel AI, Inc., (Acquired 06/30/21, Cost:
$189,563)(c)(e)(f)
|
|
12,621
|
91,755
|
|
Solaris Energy Infrastructure, Inc., Class A
|
|
11,857
|
670,039
|
|
Sonder Holdings, Inc., Class A(e)
|
|
37,498
|
—
|
|
Source Global PBC(c)(e)
|
|
4,622
|
370
|
|
Space Exploration Technologies Corp., Class A,
(Acquired 08/21/23, Cost: $1,663,335)(c)(e)(f)
|
|
20,535
|
10,813,526
|
|
Space Exploration Technologies Corp., Class C,
(Acquired 08/21/23, Cost: $1,785,240)(c)(e)(f)
|
|
22,040
|
11,606,044
|
|
Starbucks Corp.
|
|
2,070
|
185,451
|
|
Starz Entertainment Corp.(e)
|
|
3,086
|
35,489
|
|
Stryker Corp.
|
|
24,223
|
7,959,436
|
|
Synopsys, Inc.(e)
|
|
642
|
254,540
|
|
Targa Resources Corp.
|
|
11,063
|
2,773,826
|
|
Tesla, Inc.(e)
|
|
24,905
|
9,258,434
|
|
Thermo Fisher Scientific, Inc.
|
|
9,651
|
4,743,756
|
|
TJX Cos., Inc.
|
|
71,791
|
11,465,023
|
|
Toll Brothers, Inc.
|
|
2,006
|
273,759
|
|
TopBuild Corp.(e)
|
|
214
|
75,178
|
|
Trane Technologies PLC
|
|
15,268
|
6,362,786
|
|
Uber Technologies, Inc.(e)
|
|
19,844
|
1,427,379
|
|
Ulta Beauty, Inc.(e)
|
|
336
|
175,631
|
|
Union Pacific Corp.
|
|
17,730
|
4,301,653
|
|
United Airlines Holdings, Inc.(e)
|
|
12,803
|
1,178,772
|
|
UnitedHealth Group, Inc.
|
|
6,730
|
1,821,071
|
|
Valero Energy Corp.
|
|
13,215
|
3,265,162
|
|
Vertex Pharmaceuticals, Inc.(e)
|
|
5,181
|
2,313,524
|
|
Vertiv Holdings Co., Class A
|
|
10,479
|
2,625,828
|
|
Vistance Networks, Inc.(e)
|
|
53,631
|
976,084
|
|
Vistra Corp.
|
|
28,546
|
4,291,320
|
|
Walmart, Inc.
|
|
149,866
|
18,625,346
|
|
Walt Disney Co.
|
|
81,057
|
7,812,274
|
|
Wealthfront Corp.(e)
|
|
55,831
|
516,437
|
|
Wells Fargo & Co.
|
|
68,032
|
5,416,027
|
|
Williams Cos., Inc.
|
|
99,570
|
7,246,705
|
|
Wolfspeed, Inc.(e)
|
|
1,112
|
18,148
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Wynn Resorts Ltd.
|
|
2,780
|
$ 282,309
|
|
Zeitview, Series E3(c)(e)
|
|
664,755
|
674,454
|
|
|
|
|
674,149,683
|
|
Total Common Stocks — 58.9%
(Cost: $625,683,663)
|
880,189,355
|
||
|
|
|
Par
(000)
|
|
|
Corporate Bonds
|
|||
|
Angola(b) — 0.1%
|
|||
|
Azule Energy Finance PLC
|
|
|
|
|
8.25%, 01/22/31
|
USD
|
350
|
353,339
|
|
8.63%, 01/22/33
|
|
250
|
251,877
|
|
|
|
|
605,216
|
|
Argentina(b) — 0.0%
|
|||
|
Telecom Argentina SA, 9.25%, 05/28/33
|
|
93
|
96,666
|
|
Vista Energy Argentina SAU, 8.50%, 06/10/33
|
|
51
|
53,339
|
|
|
|
|
150,005
|
|
Australia — 0.5%
|
|||
|
AGL Energy Ltd., 5.77%, 09/30/35(d)
|
AUD
|
200
|
131,359
|
|
Oceana Australian Fixed Income Trust, A Note
Upsize(c)
|
|
|
|
|
10.50%, 07/31/28
|
|
1,980
|
1,347,386
|
|
Class A, 12.50%, 07/31/26
|
|
2,822
|
1,956,775
|
|
Class A, 12.50%, 07/31/27
|
|
4,703
|
3,297,727
|
|
Pacific National Finance Pty. Ltd., 7.75%, 12/11/54(a)(d)
|
|
190
|
131,110
|
|
Tabcorp Finance Pty. Ltd., 5.99%, 05/28/31(d)
|
|
250
|
167,832
|
|
|
|
|
7,032,189
|
|
Belgium — 0.0%
|
|||
|
Telenet Finance Luxembourg Notes SARL, 5.50%,
03/01/28(b)
|
USD
|
200
|
196,262
|
|
Brazil — 0.1%
|
|||
|
LD Celulose International GmbH, 7.95%, 01/26/32(b)
|
|
200
|
205,595
|
|
MC Brazil Downstream Trading SARL, 7.25%,
06/30/31(d)
|
|
181
|
161,987
|
|
Petrobras Global Finance BV, 6.75%, 01/27/41
|
|
96
|
93,485
|
|
Samarco Mineracao SA(j)
|
|
|
|
|
(9.00% Cash or 9.00% PIK), 9.50%, 06/30/31(d)
|
|
159
|
156,131
|
|
(9.00% PIK), 9.50%, 06/30/31(b)
|
|
34
|
33,443
|
|
Vale Overseas Ltd., 6.40%, 06/28/54
|
|
58
|
58,358
|
|
|
|
|
708,999
|
|
Canada(b) — 0.8%
|
|||
|
Air Canada Pass-Through Trust, Series 2020-1,
Class C, 10.50%, 07/15/26
|
|
1,769
|
1,788,506
|
|
HR Ottawa LP, 11.00%, 03/31/31
|
|
9,417
|
10,464,540
|
|
|
|
|
12,253,046
|
|
Chile(b) — 0.0%
|
|||
|
AES Andes SA, (5-year CMT + 3.84%), 8.15%,
06/10/55(a)
|
|
285
|
298,751
|
|
Security
|
|
Par
(000)
|
Value
|
|
Chile (continued)
|
|||
|
WOM Chile Holdco SpA, (5.00% PIK), 5.00%,
04/01/32(j)(k)
|
USD
|
195
|
$ 177,189
|
|
WOM Mobile SA, (5.50% Cash and 6.25% PIK),
11.00%, 04/01/31(j)
|
|
14
|
13,598
|
|
|
|
|
489,538
|
|
China — 0.1%
|
|||
|
Alibaba Group Holding Ltd., 0.50%, 06/01/31(k)
|
|
223
|
309,301
|
|
Fantasia Holdings Group Co. Ltd.(d)(e)(l)
|
|
|
|
|
6.95%, 12/17/21
|
|
320
|
4,480
|
|
11.75%, 04/17/22
|
|
520
|
5,720
|
|
9.25%, 07/28/23
|
|
1,200
|
13,500
|
|
Fortune Star BVI Ltd., 6.80%, 09/09/29(d)
|
|
200
|
188,985
|
|
Prosus NV, 4.03%, 08/03/50(d)
|
|
303
|
202,177
|
|
|
|
|
724,163
|
|
Colombia — 0.0%
|
|||
|
ABRA Global Finance, (6.00% Cash + 8.00% PIK),
14.00%, 10/22/29(b)(j)
|
|
168
|
153,818
|
|
Ecopetrol SA, 8.88%, 01/13/33
|
|
228
|
240,654
|
|
|
|
|
394,472
|
|
Denmark — 0.0%
|
|||
|
SGL Group ApS, (3-mo. EURIBOR + 4.25%), 6.27%,
02/24/31(a)
|
EUR
|
143
|
151,922
|
|
Finland(d) — 0.0%
|
|||
|
Citycon Treasury BV, 5.38%, 07/08/31
|
|
100
|
106,491
|
|
Mehilainen Yhtiot OYJ, 5.13%, 06/30/32
|
|
152
|
175,077
|
|
|
|
|
281,568
|
|
France — 0.7%
|
|||
|
Atos SE, 9.73%, 12/18/29(d)(m)
|
|
208
|
271,097
|
|
Bertrand Franchise Finance SAS, (3-mo. EURIBOR +
3.75%), 5.78%, 07/18/30(a)(d)
|
|
100
|
112,244
|
|
Clariane SE, 0.88%, 03/06/27(d)(k)
|
|
247
|
168,137
|
|
Figeac Aero SA, (Acquired 07/16/25, Cost:
$4,095,695), 7.79%, 07/23/30(c)(f)
|
|
3,520
|
3,992,510
|
|
Forvia SE, 5.50%, 06/15/31(d)
|
|
249
|
284,956
|
|
FR Bondco SAS, 6.88%, 10/31/32(d)
|
|
113
|
124,323
|
|
Goldstory SAS, 6.75%, 02/01/30(d)
|
|
317
|
358,205
|
|
Iliad Holding SAS, 6.88%, 04/15/31(d)
|
|
100
|
120,415
|
|
IPD 3 BV, 5.50%, 06/15/31(d)
|
|
182
|
197,562
|
|
Loxam SAS, 6.38%, 05/31/29(d)
|
|
583
|
691,551
|
|
Lune Holdings SARL, 5.63%, 11/15/28(d)
|
|
305
|
7,533
|
|
New Immo Holding SA, 4.88%, 12/08/28(d)
|
|
200
|
225,772
|
|
RCI Banque SA(a)(d)
|
|
|
|
|
(5-year EURIBOR ICE Swap + 2.20%), 4.75%,
03/24/37
|
|
200
|
223,755
|
|
(5-year EURIBOR ICE Swap + 2.75%), 5.50%,
10/09/34
|
|
500
|
585,768
|
|
Sabena technics SAS, (3-mo. EURIBOR + 5.00%),
(Acquired 10/28/22, Cost: $2,059,466), 7.13%,
09/30/29(c)(f)
|
|
2,085
|
2,409,655
|
|
Schneider Electric SE, Series SUFP, 1.25%,
09/23/33(d)(k)
|
|
400
|
459,339
|
|
|
|
|
10,232,822
|
|
Germany — 0.6%
|
|||
|
alstria SARL(d)
|
|
|
|
|
4.25%, 10/15/29
|
|
200
|
220,536
|
|
5.50%, 03/20/31
|
|
100
|
114,447
|
|
Aroundtown Finance SARL, (5-year EURIBOR ICE
Swap + 3.43%), 5.25%(a)(d)(n)
|
|
611
|
642,639
|
|
Security
|
|
Par
(000)
|
Value
|
|
Germany (continued)
|
|||
|
BRANICKS Group AG, 2.25%, 09/22/26(d)
|
EUR
|
100
|
$ 63,717
|
|
DEMIRE Deutsche Mittelstand Real Estate AG, 5.00%,
12/31/27(d)(m)
|
|
352
|
372,156
|
|
Deutsche Lufthansa AG, (5-year EURIBOR ICE Swap
+ 2.86%), 5.25%, 01/15/55(a)(d)
|
|
200
|
226,335
|
|
Dynamo Newco II GmbH, 6.25%, 10/15/31(d)
|
|
118
|
120,960
|
|
Gruenenthal GmbH, 4.63%, 11/15/31(d)
|
|
111
|
125,730
|
|
IHO Verwaltungs GmbH, (7.00% Cash or 7.75% PIK),
7.00%, 11/15/31(d)(j)
|
|
249
|
300,903
|
|
Lanxess AG, (6-mo. EURIBOR at 0.00% Floor + 9.50%
and 12.00% Cash or 12.00% PIK), 12.00%,
04/01/31(c)(j)
|
|
4,051
|
3,798,695
|
|
Mahle GmbH, 6.50%, 05/02/31(d)
|
|
489
|
571,507
|
|
Nidda Healthcare Holding GmbH, (3-mo. EURIBOR +
3.25%), 5.23%, 10/15/32(a)(d)
|
|
284
|
325,649
|
|
PrestigeBidCo GmbH, (3-mo. EURIBOR + 3.75%),
5.77%, 07/01/29(a)(d)
|
|
236
|
272,439
|
|
Schaeffler AG(d)
|
|
|
|
|
4.25%, 04/01/28
|
|
100
|
114,232
|
|
5.38%, 04/01/31
|
|
100
|
116,854
|
|
TAG Immobilien AG, 0.63%, 03/11/31(d)(k)
|
|
100
|
118,796
|
|
TUI Cruises GmbH, 5.00%, 05/15/30(d)
|
|
104
|
117,015
|
|
Vonovia SE, Series B, 0.88%, 05/20/32(d)(k)
|
|
100
|
109,475
|
|
Wintershall Dea Finance 2 BV, (5-year EURIBOR ICE
Swap + 3.94%), 6.12%(a)(d)(n)
|
|
164
|
191,562
|
|
ZF Europe Finance BV(d)
|
|
|
|
|
7.00%, 06/12/30
|
|
200
|
235,810
|
|
5.50%, 02/17/32
|
|
100
|
109,047
|
|
ZF North America Capital, Inc.(b)
|
|
|
|
|
6.88%, 04/14/28
|
USD
|
150
|
152,146
|
|
7.13%, 04/14/30
|
|
150
|
147,894
|
|
|
|
|
8,568,544
|
|
India — 0.5%
|
|||
|
Acropolis Trade & Investments Ltd., (11.04% PIK),
11.04%, 04/02/30(c)(j)
|
|
2,472
|
2,536,607
|
|
Clean Renewable Power Mauritius Pte. Ltd., 4.25%,
03/25/27(d)
|
|
147
|
143,398
|
|
Continuum Energy Pte. Ltd., 5.00%, 09/11/27(b)(c)
|
|
887
|
883,300
|
|
India Cleantech Energy, 4.70%, 08/10/26(d)
|
|
185
|
183,985
|
|
Muthoot Finance Ltd.(d)
|
|
|
|
|
6.38%, 03/02/30
|
|
415
|
408,775
|
|
5.75%, 08/04/30
|
|
200
|
192,100
|
|
ReNew Pvt Ltd., 5.88%, 03/05/27(d)
|
|
200
|
197,292
|
|
Resurgent Trade & Investment Ltd., 9.52%, 12/01/27(c)
|
|
1,799
|
1,792,344
|
|
Vedanta Resources Finance II PLC
|
|
|
|
|
10.88%, 09/17/29(b)
|
|
389
|
407,283
|
|
10.88%, 09/17/29(d)
|
|
200
|
209,400
|
|
|
|
|
6,954,484
|
|
Indonesia(d) — 0.0%
|
|||
|
Freeport Indonesia PT, 6.20%, 04/14/52
|
|
200
|
193,786
|
|
Garuda Indonesia Persero Tbk PT, (6.50% Cash or
7.25% PIK), 6.50%, 12/28/31(j)
|
|
231
|
192,928
|
|
|
|
|
386,714
|
|
Ireland(d) — 0.0%
|
|||
|
Cedacri SpA, (3-mo. EURIBOR + 4.63%), 6.61%,
05/15/28(a)
|
EUR
|
102
|
114,198
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|||
|
Flutter Treasury DAC, 4.00%, 06/04/31
|
EUR
|
211
|
$ 235,400
|
|
Virgin Media O2 Vendor Financing Notes VII DAC,
7.50%, 07/15/33
|
|
100
|
101,292
|
|
|
|
|
450,890
|
|
Israel — 0.0%
|
|||
|
Energean PLC, 5.63%, 05/12/31(d)
|
|
100
|
112,455
|
|
Italy — 0.3%
|
|||
|
Agrifarma SpA, 4.50%, 10/31/28(b)
|
|
1,382
|
1,583,556
|
|
Almaviva-The Italian Innovation Co. SpA, 5.00%,
10/30/30(d)
|
|
109
|
119,390
|
|
Bubbles Bidco SpA(d)
|
|
|
|
|
6.50%, 09/30/31
|
|
236
|
272,608
|
|
(3-mo. EURIBOR + 4.25%), 6.38%, 09/30/31(a)
|
|
131
|
151,473
|
|
Dolcetto Holdco SpA(d)
|
|
|
|
|
5.63%, 07/14/32
|
|
156
|
179,103
|
|
(3-mo. EURIBOR + 3.63%), 5.78%, 07/14/32(a)
|
|
100
|
115,477
|
|
Duomo Bidco SpA, (3-mo. EURIBOR + 3.25%), 5.31%,
01/15/32(a)(d)
|
|
180
|
204,635
|
|
Engineering - Ingegneria Informatica - SpA, 11.13%,
05/15/28(d)
|
|
148
|
173,477
|
|
Eni SpA, (5-year EUR Swap + 2.40%), 4.88%(a)(d)(n)
|
|
200
|
229,033
|
|
Fedrigoni SpA, 6.13%, 06/15/31(d)
|
|
298
|
317,330
|
|
Fiber Midco SpA, (10.75% PIK), 10.75%, 06/15/29(d)(j)
|
|
229
|
191,748
|
|
Fibercop SpA, 5.13%, 06/30/32(d)
|
|
100
|
114,430
|
|
FIS Fabbrica Italiana Sintetici SpA, (3-mo. EURIBOR +
3.25%), 5.28%, 02/05/31(a)(d)
|
|
100
|
113,323
|
|
Italmatch Chemicals SpA, (3-mo. EURIBOR + 4.13%),
6.15%, 02/05/31(a)(d)
|
|
100
|
111,460
|
|
Itelyum Regeneration SpA, 5.75%, 04/15/30(d)
|
|
100
|
114,012
|
|
Lottomatica Group SpA(d)
|
|
|
|
|
4.88%, 01/31/31
|
|
148
|
172,417
|
|
(3-mo. EURIBOR + 3.25%), 5.26%, 06/01/31(a)
|
|
142
|
164,433
|
|
Pachelbel Bidco SpA(d)
|
|
|
|
|
7.13%, 05/17/31
|
|
137
|
158,417
|
|
(3-mo. EURIBOR + 4.25%), 6.28%, 05/17/31(a)
|
|
126
|
145,026
|
|
Rossini SARL, (3-mo. EURIBOR + 3.88%), 6.00%,
12/31/29(a)(d)
|
|
89
|
102,765
|
|
Telecom Italia Capital SA, 7.72%, 06/04/38
|
USD
|
74
|
82,413
|
|
|
|
|
4,816,526
|
|
Japan(d) — 0.1%
|
|||
|
Nissan Motor Co. Ltd., 5.25%, 07/17/29
|
EUR
|
214
|
244,851
|
|
SoftBank Group Corp.
|
|
|
|
|
3.38%, 07/06/29
|
|
100
|
108,830
|
|
5.25%, 10/10/29
|
|
100
|
113,693
|
|
5.88%, 07/10/31
|
|
256
|
288,224
|
|
5.75%, 07/08/32
|
|
249
|
273,045
|
|
6.38%, 07/10/33
|
|
228
|
252,853
|
|
|
|
|
1,281,496
|
|
Jersey(d) — 0.0%
|
|||
|
Aston Martin Capital Holdings Ltd., 10.38%, 03/31/29
|
GBP
|
285
|
289,483
|
|
Deepocean Ltd., 6.00%, 04/08/31
|
EUR
|
100
|
117,556
|
|
|
|
|
407,039
|
|
Kuwait — 0.0%
|
|||
|
EQUATE Petrochemical Co. KSC, 4.25%, 11/03/26(d)
|
USD
|
297
|
293,937
|
|
Luxembourg — 0.3%
|
|||
|
Adler Financing SARL, Series 1L, (8.25% PIK), 8.25%,
12/31/28(j)
|
EUR
|
227
|
290,304
|
|
Security
|
|
Par
(000)
|
Value
|
|
Luxembourg (continued)
|
|||
|
Albion Financing 1 SARL/Aggreko Holdings, Inc.,
5.38%, 05/21/30(d)
|
EUR
|
185
|
$ 214,304
|
|
Alexandrite Lake Lux Holdings SARL, 6.75%,
07/30/30(d)
|
|
284
|
320,876
|
|
Breakwater Energy Holdings SARL, 9.25%, 11/15/30(b)
|
USD
|
250
|
262,546
|
|
Garfunkelux Holdco 3 SA, 9.00%, 09/01/28(d)
|
EUR
|
439
|
509,613
|
|
INEOS Finance PLC(d)
|
|
|
|
|
6.38%, 04/15/29
|
|
384
|
417,865
|
|
7.25%, 03/31/31
|
|
186
|
195,420
|
|
ION Platform Finance SARL(d)
|
|
|
|
|
7.88%, 05/01/29
|
|
274
|
294,233
|
|
6.50%, 09/30/30
|
|
119
|
113,995
|
|
6.88%, 09/30/32
|
|
100
|
92,204
|
|
Kleopatra Finco SARL, (6.00% PIK), 6.00%,
01/30/31(j)
|
|
332
|
339,247
|
|
Luna 25 SARL, 5.50%, 07/01/32(d)
|
|
100
|
113,690
|
|
Maxam Prill SARL, 6.00%, 07/15/30(d)
|
|
452
|
516,308
|
|
Summer BC Holdco B SARL(d)
|
|
|
|
|
5.88%, 02/15/30
|
|
200
|
198,844
|
|
(3-mo. EURIBOR + 4.25%), 6.23%, 02/15/30(a)
|
|
127
|
127,550
|
|
Vivion Investments SARL(d)
|
|
|
|
|
5.63%, 06/08/30
|
|
302
|
326,249
|
|
(6.50% Cash and 1.75% PIK), 8.25%, 08/31/28(j)
|
|
73
|
84,262
|
|
(6.50% PIK), 6.50%, 02/28/29(j)
|
|
252
|
291,074
|
|
|
|
|
4,708,584
|
|
Macau(d) — 0.0%
|
|||
|
SJM International Ltd., 6.50%, 01/15/31
|
USD
|
200
|
191,154
|
|
Studio City Finance Ltd., 5.00%, 01/15/29
|
|
200
|
187,474
|
|
|
|
|
378,628
|
|
Mexico — 0.0%
|
|||
|
Petroleos Mexicanos
|
|
|
|
|
8.75%, 06/02/29
|
|
207
|
217,172
|
|
5.95%, 01/28/31
|
|
188
|
179,812
|
|
|
|
|
396,984
|
|
Morocco — 0.0%
|
|||
|
OCP SA, 7.50%, 05/02/54(b)
|
|
317
|
332,316
|
|
Netherlands — 0.1%
|
|||
|
Boels Topholding BV, 5.75%, 05/15/30(d)
|
EUR
|
328
|
380,908
|
|
VZ Secured Financing BV
|
|
|
|
|
5.00%, 01/15/32(b)
|
USD
|
200
|
171,439
|
|
5.25%, 01/15/33(d)
|
EUR
|
341
|
363,367
|
|
Ziggo Bond Co. BV, 5.13%, 02/28/30(b)
|
USD
|
602
|
516,567
|
|
|
|
|
1,432,281
|
|
Panama — 0.0%
|
|||
|
AES Panama Generation Holdings SRL, 4.38%,
05/31/30(d)
|
|
237
|
219,980
|
|
Peru(b) — 0.0%
|
|||
|
Marcobre SAC, 5.75%, 01/22/36
|
|
200
|
193,680
|
|
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA, 6.24%,
07/03/36
|
|
155
|
160,619
|
|
Volcan Cia Minera SAA, 8.50%, 10/28/32
|
|
99
|
100,722
|
|
|
|
|
455,021
|
|
Philippines — 0.0%
|
|||
|
San Miguel Global Power Holdings Corp., (5-year CMT
+ 7.12%), 8.38%(a)(d)(n)
|
|
200
|
195,844
|
|
Singapore — 0.0%
|
|||
|
GLP Pte. Ltd., 9.75%, 05/20/28(d)
|
|
200
|
163,500
|
|
Security
|
|
Par
(000)
|
Value
|
|
Slovenia — 0.0%
|
|||
|
United Group BV, 6.50%, 10/31/31(d)
|
EUR
|
102
|
$ 116,136
|
|
South Africa — 0.0%
|
|||
|
Sasol Financing USA LLC, 6.50%, 09/27/28
|
USD
|
200
|
201,814
|
|
Stillwater Mining Co., 4.50%, 11/16/29(b)
|
|
200
|
188,278
|
|
|
|
|
390,092
|
|
Spain(d) — 0.1%
|
|||
|
Cirsa Finance International SARL
|
|
|
|
|
6.50%, 03/15/29
|
EUR
|
200
|
235,229
|
|
4.88%, 10/15/31
|
|
100
|
113,788
|
|
(3-mo. EURIBOR + 3.00%), 5.15%, 10/15/32(a)
|
|
100
|
115,046
|
|
Grifols SA, 7.50%, 05/01/30
|
|
100
|
119,549
|
|
Iberdrola Finanzas SA, Series IBE, 1.50%, 03/27/30(k)
|
|
100
|
133,577
|
|
|
|
|
717,189
|
|
Sweden — 0.1%
|
|||
|
Heimstaden AB, 7.36%, 01/24/31(d)
|
|
107
|
120,629
|
|
Intrum Investments And Financing AB, 8.00%,
09/11/27(d)
|
|
210
|
241,837
|
|
Verisure Holding AB, 7.13%, 02/01/28(b)
|
|
237
|
278,575
|
|
Verisure Midholding AB, 5.25%, 02/15/29(d)
|
|
300
|
345,256
|
|
|
|
|
986,297
|
|
Switzerland(d) — 0.1%
|
|||
|
Allwyn Entertainment Financing U.K. PLC, 4.63%,
08/15/31
|
|
174
|
192,754
|
|
gategroup Finance Luxembourg SA, 3.00%, 02/28/27
|
CHF
|
255
|
320,080
|
|
|
|
|
512,834
|
|
Thailand(d) — 0.0%
|
|||
|
Muangthai Capital PCL
|
|
|
|
|
6.88%, 09/30/28
|
USD
|
200
|
197,844
|
|
7.55%, 07/21/30
|
|
250
|
247,500
|
|
|
|
|
445,344
|
|
Turkey — 0.0%
|
|||
|
Turkcell Iletisim Hizmetleri A/S, 7.65%, 01/24/32(b)
|
|
200
|
203,252
|
|
Ukraine(j) — 0.0%
|
|||
|
NAK Naftogaz Ukraine via Kondor Finance PLC
|
|
|
|
|
(7.13% PIK), 7.13%, 07/19/26(d)
|
EUR
|
232
|
220,556
|
|
(7.63% PIK), 7.63%, 11/08/28(b)
|
USD
|
270
|
210,371
|
|
|
|
|
430,927
|
|
United Kingdom — 0.7%
|
|||
|
10X Future Technologies Service Ltd., (Acquired
12/19/23, Cost: $1,735,609), 06/19/26(c)(f)(j)(o)
|
GBP
|
1,355
|
1,255,518
|
|
Amber Finco PLC, 6.63%, 07/15/29(d)
|
EUR
|
100
|
118,611
|
|
Ardonagh Finco Ltd., 6.88%, 02/15/31(d)
|
|
625
|
717,423
|
|
Avianca Midco 2 PLC, 9.00%, 12/01/28(d)
|
USD
|
41
|
39,538
|
|
BCP V Modular Services Finance II PLC
|
|
|
|
|
6.13%, 11/30/28(b)
|
GBP
|
255
|
315,537
|
|
6.50%, 07/10/31(d)
|
EUR
|
382
|
375,156
|
|
BCP V Modular Services Finance PLC, 6.75%,
11/30/29(b)
|
|
200
|
158,079
|
|
Bellis Acquisition Co. PLC, 8.00%, 07/01/31(d)
|
|
238
|
259,187
|
|
Biffa Group Holdings Ltd.(d)
|
|
|
|
|
5.25%, 06/15/31
|
|
114
|
127,469
|
|
7.38%, 06/15/31
|
GBP
|
200
|
258,497
|
|
Bracken MidCo1 PLC, (6.75% Cash or 7.50% PIK),
6.75%, 11/01/27(d)(j)
|
|
119
|
155,465
|
|
California Buyer Ltd./Atlantica Sustainable
Infrastructure PLC, 5.63%, 02/15/32(d)
|
EUR
|
196
|
218,986
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom (continued)
|
|||
|
CD&R Firefly Bidco PLC, 8.63%, 04/30/29(d)
|
GBP
|
100
|
$ 134,560
|
|
ContourGlobal Power Holdings SA, 5.00%, 02/28/30(d)
|
EUR
|
162
|
187,238
|
|
Deuce Finco PLC, (3-mo. EURIBOR + 3.50%), 5.65%,
11/20/32(a)(d)
|
|
126
|
145,283
|
|
Edge Finco PLC, 8.13%, 08/15/31(d)
|
GBP
|
495
|
675,847
|
|
Entain PLC, 4.88%, 11/30/31(d)
|
EUR
|
100
|
113,460
|
|
Froneri Lux FinCo SARL, 4.75%, 08/01/32(d)
|
|
300
|
327,554
|
|
Heathrow Finance PLC, 6.63%, 03/01/31(d)
|
GBP
|
298
|
391,183
|
|
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29(d)
|
EUR
|
174
|
166,155
|
|
Ithaca Energy North Sea PLC, 8.13%, 10/15/29(b)
|
USD
|
200
|
205,079
|
|
Mobico Group PLC, 4.88%, 09/26/31(d)
|
EUR
|
302
|
270,221
|
|
Motion Finco SARL, 7.38%, 06/15/30(d)
|
|
101
|
100,814
|
|
Ocado Group PLC, 11.00%, 06/15/30(d)
|
GBP
|
146
|
192,675
|
|
OEG Finance PLC, 7.25%, 09/27/29(d)
|
EUR
|
271
|
322,628
|
|
Stonegate Pub Co. Financing PLC(d)
|
|
|
|
|
10.75%, 07/31/29
|
GBP
|
138
|
180,849
|
|
(3-mo. EURIBOR + 6.63%), 8.62%, 07/31/29(a)
|
EUR
|
123
|
139,073
|
|
Thames Water Utilities Finance PLC, 4.00%,
06/19/27(d)
|
GBP
|
770
|
689,804
|
|
Vmed O2 U.K. Financing I PLC(d)
|
|
|
|
|
4.00%, 01/31/29
|
|
100
|
123,826
|
|
5.63%, 04/15/32
|
EUR
|
824
|
872,487
|
|
Zegona Finance PLC, 6.75%, 07/15/29(d)
|
|
350
|
419,849
|
|
|
|
|
9,658,051
|
|
United States — 6.2%
|
|||
|
Alexander Funding Trust II, 7.47%, 07/31/28(b)
|
USD
|
130
|
136,882
|
|
AMC Networks, Inc.
|
|
|
|
|
4.25%, 02/15/29
|
|
1,617
|
1,362,294
|
|
4.25%, 02/15/29(k)
|
|
655
|
580,494
|
|
American Airlines Trust, Series 2025-1, Class B,
5.65%, 05/11/36
|
|
579
|
581,532
|
|
Ardagh Group SA
|
|
|
|
|
9.50%, 12/01/30(d)
|
|
304
|
319,006
|
|
(4.50% Cash + 7.50% PIK), 12.00%, 12/01/30(d)(j)
|
EUR
|
414
|
392,890
|
|
(5.50% Cash + 6.50% PIK), 12.00%, 12/01/30(b)(j)
|
USD
|
3,418
|
2,872,380
|
|
Bausch & Lomb Corp., 8.38%, 10/01/28(b)
|
|
40
|
41,300
|
|
Bausch & Lomb Netherlands BV & Bausch & Lomb,
Inc., (3-mo. EURIBOR + 3.88%), 5.89%,
01/15/31(a)(d)
|
EUR
|
100
|
115,588
|
|
BCPE Flavor Debt Merger Sub LLC and BCPE Flavor
Issuer, Inc., 9.50%, 07/01/32(b)
|
USD
|
79
|
71,639
|
|
Beach Acquisition Bidco LLC, 5.25%, 07/15/32(d)
|
EUR
|
128
|
141,897
|
|
Beignet Investor LLC, 6.58%, 05/30/49(b)
|
USD
|
3,027
|
3,112,229
|
|
Breeze Aviation Group, Inc., (20.00% PIK), (Acquired
01/26/24, Cost: $2,767,377), 20.00%,
01/30/28(c)(f)(j)
|
|
2,767
|
2,760,459
|
|
Centene Corp., 4.25%, 12/15/27
|
|
1,085
|
1,065,811
|
|
Cloud Software Group, Inc., 8.25%, 06/30/32(b)
|
|
159
|
150,801
|
|
Core Scientific, Inc., 0.00%, 06/15/31(b)(k)(p)
|
|
281
|
306,993
|
|
CSC Holdings LLC(b)
|
|
|
|
|
5.50%, 04/15/27
|
|
2,040
|
1,769,484
|
|
11.25%, 05/15/28
|
|
448
|
366,081
|
|
11.75%, 01/31/29
|
|
985
|
712,298
|
|
Darling Global Finance BV, 4.50%, 07/15/32(d)
|
EUR
|
196
|
225,428
|
|
Discovery Global Holdings, Inc., 3.76%, 03/15/27
|
USD
|
2,631
|
2,598,744
|
|
DISH Network Corp., 3.38%, 08/15/26(k)
|
|
174
|
167,736
|
|
EchoStar Corp.
|
|
|
|
|
(6.75% Cash or 6.75% PIK), 6.75%, 11/30/30(j)
|
|
35
|
35,342
|
|
10.75%, 11/30/29
|
|
35
|
37,809
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
First Citizens BancShares, Inc., (5-year CMT + 1.97%),
6.25%, 03/12/40(a)
|
USD
|
1,202
|
$ 1,175,320
|
|
Flyr Secured Notes, (1-mo. CME Term SOFR at 0.50%
Floor + 5.00%, 9.44% Cash and 3.75% PIK),
10.00%, 01/20/27(c)(j)
|
|
1,194
|
72,605
|
|
Ford Motor Credit Co. LLC
|
|
|
|
|
6.95%, 06/10/26
|
|
1,001
|
1,003,357
|
|
4.54%, 08/01/26
|
|
399
|
398,441
|
|
5.13%, 11/05/26
|
|
806
|
807,665
|
|
4.27%, 01/09/27
|
|
807
|
803,312
|
|
Forestar Group, Inc., 5.00%, 03/01/28(b)
|
|
1,950
|
1,929,065
|
|
Frontier Communications Holdings LLC(b)
|
|
|
|
|
6.75%, 05/01/29
|
|
660
|
660,826
|
|
6.00%, 01/15/30
|
|
75
|
75,449
|
|
8.75%, 05/15/30
|
|
1,250
|
1,282,607
|
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28
|
|
845
|
872,826
|
|
GoTo Group, Inc., 5.50%, 05/01/28(b)
|
|
1,003
|
443,294
|
|
Granite Ridge Resources, Inc., 8.88%, 11/05/29(b)
|
|
6,280
|
6,134,381
|
|
GS Finance Corp.(a)
|
|
|
|
|
6.11%, 02/17/31
|
|
507
|
492,449
|
|
7.35%, 02/17/31
|
|
1,052
|
1,023,856
|
|
ION Platform Finance U.S., Inc./ION Platform Finance
SARL, 5.75%, 05/15/28(b)
|
|
400
|
379,542
|
|
Iron Mountain, Inc., 4.75%, 01/15/34(d)
|
EUR
|
284
|
305,453
|
|
JetBlue Pass-Through Trust, Series 2019-1, Class AA,
2.75%, 11/15/33
|
USD
|
316
|
280,589
|
|
King U.S. Bidco, Inc., (3-mo. EURIBOR + 3.25%),
5.31%, 12/01/32(a)(d)
|
EUR
|
179
|
205,883
|
|
Kronos International, Inc., 9.50%, 03/15/29(d)
|
|
200
|
198,596
|
|
Lessen Holdings, Inc., 12.18%, 01/05/28(b)(c)
|
USD
|
2,041
|
1,533,211
|
|
Level 3 Financing, Inc., 8.50%, 01/15/36(b)
|
|
772
|
805,514
|
|
MKS, Inc., 4.25%, 02/15/34(d)
|
EUR
|
378
|
417,428
|
|
MPT Operating Partnership LP/MPT Finance Corp.,
7.00%, 02/15/32(d)
|
|
209
|
237,735
|
|
NCR Atleos Corp., 9.50%, 04/01/29(b)
|
USD
|
430
|
460,290
|
|
OAK-Eagle Acquireco, Inc., 07/01/33(d)(o)
|
EUR
|
356
|
420,291
|
|
Olympus Water U.S. Holding Corp., 6.13%, 02/15/33(d)
|
|
224
|
248,866
|
|
Pioneer Midco LLC, (10.50% Cash or 11.63% PIK),
10.50%, 11/18/30(b)(c)(j)
|
USD
|
5,527
|
5,520,124
|
|
Pitney Bowes, Inc., 6.88%, 03/15/27(b)
|
|
1,822
|
1,819,595
|
|
PRA Group Europe Holding II SARL, 6.25%,
09/30/32(d)
|
EUR
|
100
|
109,320
|
|
Resort Communities LoanCo LP, (13.00% PIK),
13.00%, 11/21/28(b)(c)(j)
|
USD
|
10,343
|
10,181,321
|
|
RingCentral, Inc., 8.50%, 08/15/30(b)
|
|
1,430
|
1,496,036
|
|
Sabre Financial Borrower LLC, 11.13%, 06/15/29(b)
|
|
595
|
608,877
|
|
Sabre GLBL, Inc.(b)
|
|
|
|
|
10.75%, 11/15/29
|
|
506
|
432,248
|
|
10.75%, 03/15/30
|
|
635
|
533,715
|
|
Seagate Data Storage Technology Pte. Ltd.(b)
|
|
|
|
|
8.25%, 12/15/29
|
|
639
|
671,070
|
|
5.88%, 07/15/30
|
|
55
|
55,904
|
|
8.50%, 07/15/31
|
|
326
|
341,793
|
|
9.63%, 12/01/32
|
|
550
|
611,274
|
|
Service Properties Trust, 0.00%, 09/30/28(b)(p)
|
|
1,185
|
1,078,107
|
|
Shift4 Payments LLC/Shift4 Payments Finance Sub,
Inc., 5.50%, 05/15/33(d)
|
EUR
|
300
|
326,906
|
|
Six Flags Entertainment Corp/Canada’s Wonderland
Co/Millennium Operations LLC, 8.63%, 01/15/32(b)
|
USD
|
235
|
235,379
|
|
SM Energy Co., 5.00%, 10/15/26(b)
|
|
812
|
810,676
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Solaris Energy Infrastructure, Inc.(k)
|
|
|
|
|
4.75%, 05/01/30
|
USD
|
1,454
|
$ 3,450,342
|
|
0.25%, 10/01/31
|
|
3,782
|
4,722,772
|
|
Sonder Holdings, Inc., (7.00% PIK), 7.00%,
12/10/27(c)(e)(j)(l)
|
|
10,938
|
1
|
|
Spirit Airlines Pass-Through Trust
|
|
|
|
|
Series 2015-1A, Class A, 4.10%, 10/01/29
|
|
45
|
43,973
|
|
Series 2015-1A, Class A, 3.65%, 08/15/31(e)(l)
|
|
1,341
|
1,225,031
|
|
Series 2017-1AA, Class AA, 3.38%, 08/15/31
|
|
511
|
477,562
|
|
Starz Capital Holdings 1, Inc., 6.00%, 04/15/30(b)
|
|
2,575
|
2,362,562
|
|
Starz Capital Holdings LLC, 5.50%, 04/15/29(b)
|
|
112
|
91,280
|
|
Stem, Inc., 0.50%, 12/01/28(b)(k)
|
|
200
|
81,887
|
|
Talen Energy Supply LLC, 8.63%, 06/01/30(b)
|
|
240
|
251,778
|
|
Texas Capital Bancshares, Inc.(a)
|
|
|
|
|
(1-day SOFR + 1.94%), 5.30%, 02/27/32
|
|
456
|
449,596
|
|
(5-year CMT + 3.15%), 4.00%, 05/06/31
|
|
794
|
792,688
|
|
United Airlines Pass-Through Trust, Series 2019-2,
Class A, 2.90%, 11/01/29
|
|
211
|
202,201
|
|
Venture Global LNG, Inc., 8.13%, 06/01/28(b)
|
|
45
|
46,022
|
|
Westbay, 11.00%, 02/06/30(c)
|
|
9,314
|
9,197,575
|
|
Windstream Services LLC, 7.50%, 10/15/33(b)
|
|
65
|
67,577
|
|
Wolfspeed, Inc.
|
|
|
|
|
2.50%, 06/15/31(k)
|
|
12
|
17,115
|
|
2.50%, 06/15/31(b)(k)
|
|
5
|
7,131
|
|
(7.00% Cash or 12.00% PIK), 7.00%, 06/15/31(j)
|
|
13
|
10,651
|
|
Xerox Corp.(b)
|
|
|
|
|
10.25%, 10/15/30
|
|
1,625
|
1,218,750
|
|
13.50%, 04/15/31
|
|
113
|
55,653
|
|
|
|
|
92,198,460
|
|
Vietnam — 0.0%
|
|||
|
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(d)
|
|
145
|
142,355
|
|
Total Corporate Bonds — 11.4%
(Cost: $182,761,198)
|
170,576,362
|
||
|
Fixed Rate Loan Interests
|
|||
|
United States — 0.6%
|
|||
|
AMF MF Portfolio, Term Loan, 7.89%, 11/01/28(c)
|
|
1,986
|
2,062,804
|
|
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27(c)
|
|
6,479
|
6,519,002
|
|
Redstone Holdco 2 LP, 2026 PIK Fixed Third Out Term
Loan B1, 12.00%, 12/31/30(j)
|
|
149
|
49,600
|
|
Total Fixed Rate Loan Interests — 0.6%
(Cost: $8,492,753)
|
8,631,406
|
||
|
Floating Rate Loan Interests(a)
|
|||
|
France — 0.1%
|
|||
|
Kersia International SAS, 2026 EUR Term Loan, (3-mo.
EURIBOR at 0.00% Floor + 3.50%), 5.63%,
12/18/30
|
EUR
|
1,000
|
1,142,269
|
|
Germany — 0.2%
|
|||
|
Aviv Group GmbH, 2026 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.50%), 6.10%,
04/23/32
|
|
288
|
313,537
|
|
Security
|
|
Par
(000)
|
Value
|
|
Germany (continued)
|
|||
|
Nidda Healthcare Holding AG, 2025 EUR Repriced
Term Loan B, (3-mo. EURIBOR at 0.00% Floor +
3.50%), 5.52%, 12/09/32
|
EUR
|
1,439
|
$ 1,658,533
|
|
Node AcquiCo GmbH, EUR Term Loan, (1-mo.
EURIBOR at 0.00% Floor + 3.50%), 5.46%,
12/08/32
|
|
1,000
|
1,149,516
|
|
|
|
|
3,121,586
|
|
Ireland — 0.0%
|
|||
|
Promontoria Beech Designated Activity Co., EUR Term
Loan, (1-mo. EURIBOR + 3.75%), 5.69%,
05/17/27(c)
|
|
691
|
798,620
|
|
Jersey(c) — 0.5%
|
|||
|
Vita Global FinCo Ltd.
|
|
|
|
|
EUR Term Loan B, (6-mo. EURIBOR at 0.00% Floor
+ 8.00%), 10.17%, 06/08/29
|
|
5,361
|
4,733,142
|
|
GBP Incremental Term Loan, (6-mo. SONIA +
8.00%), 11.73%, 06/08/29
|
GBP
|
3,339
|
3,237,339
|
|
|
|
|
7,970,481
|
|
Luxembourg — 0.7%
|
|||
|
Al Mansart (Luxembourg) Bidco SCS, Term Loan B,
(6-mo. CME Term SOFR + 5.25%), 8.99%,
06/23/28(c)
|
USD
|
510
|
508,192
|
|
Cobham Ultra SeniorCo SARL, EUR Term Loan B,
08/06/29(q)
|
EUR
|
1,000
|
1,150,799
|
|
Garfunkelux Holdco 3 SA, EUR Term Loan, (3-mo.
EURIBOR at 0.00% Floor + 4.75%), 6.88%,
08/01/28
|
|
3,515
|
3,913,830
|
|
INEOS Finance PLC, 2024 EUR 1st Lien Term Loan B,
(1-mo. EURIBOR at 0.00% Floor + 3.50%), 5.39%,
06/23/31
|
|
1,000
|
1,024,372
|
|
Speed Midco 3 SARL, 2025 EUR Term Loan, (6-mo.
EURIBOR at 0.00% Floor + 2.75%), 4.85%,
10/07/32
|
|
1,000
|
1,117,661
|
|
Tackle SARL, 2025 EUR Repriced Term Loan B2, (1-
mo. EURIBOR at 0.00% Floor + 3.25%), 5.14%,
05/22/28
|
|
1,226
|
1,413,779
|
|
Traviata BV, 2025 EUR PIK Term Loan, (1-mo.
EURIBOR at 0.00% Floor + 8.00%), 9.96%,
04/22/33(c)(j)
|
|
1,098
|
1,048,520
|
|
|
|
|
10,177,153
|
|
Netherlands — 0.1%
|
|||
|
Median BV, 2026 EUR Term Loan B, (3-mo. EURIBOR
at 0.00% Floor + 5.25%), 7.39%, 10/14/30
|
|
982
|
1,115,327
|
|
New Zealand — 0.1%
|
|||
|
FNZ NZ Finco Ltd., 2024 GBP Term Loan B, (1-mo.
SONIA at 0.00% Floor + 6.00%), 9.73%, 11/05/31
|
GBP
|
1,000
|
1,072,116
|
|
Norway — 0.0%
|
|||
|
Sector Alarm Holding AS, 2026 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 3.00%), 5.01%,
06/14/32
|
EUR
|
407
|
465,842
|
|
Security
|
|
Par
(000)
|
Value
|
|
Spain — 0.2%
|
|||
|
Aernnova Aerospace SAU, 2024 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 4.00%), 6.03%,
02/27/30
|
EUR
|
1,303
|
$ 1,454,833
|
|
Cervantes Bidco SL, 2026 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.00%), 5.02%,
12/03/31
|
|
742
|
853,106
|
|
|
|
|
2,307,939
|
|
Sweden — 0.1%
|
|||
|
Quimper AB, 2026 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.00%), 4.99%,
03/31/30
|
|
1,009
|
1,147,107
|
|
Verisure Holding AB, 2025 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 2.25%), 4.28%,
11/03/32
|
|
1,000
|
1,151,320
|
|
|
|
|
2,298,427
|
|
United Kingdom — 0.2%
|
|||
|
Boots Group Bidco Ltd., GBP Term Loan B, (1-mo.
SONIA at 0.00% Floor + 4.50%), 8.23%, 08/30/32
|
GBP
|
1,159
|
1,531,202
|
|
CD&R Firefly Bidco PLC, 2025 GBP Term Loan, (3-mo.
SONIA at 0.00% Floor + 4.75%), 8.48%, 04/29/29
|
|
1,000
|
1,318,491
|
|
|
|
|
2,849,693
|
|
United States — 3.4%
|
|||
|
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term SOFR
+ 6.88%), 10.54%, 12/21/27(c)
|
USD
|
3,010
|
2,934,398
|
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (12-mo.
CME Term SOFR at 0.50% Floor + 5.60%), 9.11%,
02/01/30
|
|
2,548
|
2,388,973
|
|
Argento LLC, Term Loan A, 04/30/31(q)
|
|
1,874
|
1,799,040
|
|
Coreweave Compute Acquisition Co. II, LLC, Delayed
Draw Term Loan, (3-mo. CME Term SOFR at 0.00%
Floor + 9.62%), 13.47%, 07/31/28(c)
|
|
4,644
|
4,632,764
|
|
Coreweave Compute Acquisition Co. IV, LLC(c)
|
|
|
|
|
2024 Delayed Draw Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 6.00%), 9.70%, 05/16/29
|
|
333
|
333,880
|
|
2025 5th Amendment Delayed Draw Term Loan,
7.95%, 09/30/30
|
|
226
|
219,580
|
|
Coreweave Compute Acquisition Co., IV, LLC,
2026 Fixed Delayed Draw Term Loan, 12/31/31(q)
|
|
4,292
|
4,281,270
|
|
CPV Fairview LLC, 2025 Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 2.50%), 6.20%, 08/14/31
|
|
1,281
|
1,273,834
|
|
Crescent Midstream Operating LLC, Term Loan B,
(3-mo. CME Term SOFR at 0.00% Floor + 3.75%),
7.42%, 02/18/33
|
|
2,865
|
2,870,959
|
|
CSC Holdings LLC, 2019 Term Loan B5, (Prime +
1.50%), 8.25%, 04/15/27
|
|
570
|
501,269
|
|
EIS Group, Inc.(c)
|
|
|
|
|
Revolver, (1-mo. CME Term SOFR at 0.75% Floor +
7.00%), 10.67%, 07/10/28
|
|
373
|
338,385
|
|
Term Loan, (1-mo. CME Term SOFR at 0.75% Floor
+ 7.00%), 10.67%, 07/10/28
|
|
3,734
|
3,383,850
|
|
Electronic Arts, Inc., EUR Term Loan B, 03/24/33(q)
|
EUR
|
1,000
|
1,143,899
|
|
Galaxy Universal LLC, 1st Lien Term Loan, 10.05%,
05/12/28(c)
|
USD
|
13,161
|
12,289,670
|
|
GoTo Group, Inc.
|
|
|
|
|
2024 First Out Term Loan, (3-mo. CME Term SOFR
at 0.00% Floor + 4.90%), 8.57%, 04/28/28
|
|
204
|
167,064
|
|
2024 Second Out Term Loan, (3-mo. CME Term
SOFR + 4.90%), 8.57%, 04/28/28
|
|
459
|
136,181
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Hydrofarm Holdings LLC, 2021 Term Loan, (3-mo.
CME Term SOFR at 1.00% Floor + 5.76%), 9.43%,
10/25/28(c)
|
USD
|
1,772
|
$ 885,865
|
|
Indy U.S. Bidco LLC, 2025 EUR Term Loan B, (1-mo.
EURIBOR at 0.00% Floor + 2.75%), 4.64%,
10/31/30
|
EUR
|
884
|
1,006,949
|
|
Kestrel Acquisition, LLC, 2025 Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 3.00%), 6.76%,
11/06/31
|
USD
|
1,079
|
1,078,607
|
|
Maverick Gaming LLC, 2024 Second Out Term Loan,
0.00%, 04/01/28(c)(e)(l)
|
|
907
|
35,557
|
|
Medical Solutions Holdings, Inc., 2021 2nd Lien Term
Loan, (3-mo. CME Term SOFR at 0.50% Floor +
7.10%), 10.77%, 11/01/29
|
|
1,052
|
84,160
|
|
Montage Hotels & Resorts LLC(c)(j)
|
|
|
|
|
PIK Revolver, (3-mo. CME Term SOFR + 6.00%),
9.71%, 02/16/29
|
|
443
|
418,066
|
|
PIK Term Loan, (3-mo. CME Term SOFR at 0.00%
Floor + 6.00%), 9.65%, 02/16/29
|
|
1,284
|
1,212,049
|
|
Ohio Power Partners LLC, Term Loan, (1-mo. CME
Term SOFR at 0.00% Floor + 2.75%), 6.42%,
11/12/32(c)
|
|
1,033
|
1,035,810
|
|
Redstone Holdco 2 LP
|
|
|
|
|
2026 Second Out Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 5.50%), 9.17%, 12/31/30
|
|
1,092
|
402,017
|
|
2026 Tranche A1 First Out Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 5.50%), 9.14%,
12/31/30
|
|
1,500
|
1,309,995
|
|
2026 Tranche A2 First Out Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 5.25%), 8.92%,
12/31/30
|
|
265
|
198,327
|
|
RunItOneTime LLC(c)
|
|
|
|
|
2nd Amendment Final New Money DIP Term Loan,
(1-mo. CME Term SOFR at 2.00% Floor +
12.50%), 16.17%, 04/16/26
|
|
318
|
317,118
|
|
2nd Amendment Roll Up Term Loan, (1-mo. CME
Term SOFR at 2.00% Floor + 1.00% and 11.50%
PIK), 16.17%, 04/16/26(j)
|
|
550
|
543,260
|
|
Roll-Up DIP Term Loan, (1-mo. CME Term SOFR at
2.00% Floor + 1.00% and 11.50% PIK), 16.17%,
04/16/26(j)
|
|
27
|
26,530
|
|
Tenaska Westmoreland Management LLC, Term Loan
B, (3-mo. SOFR + 2.25%), 5.88%, 02/18/33(c)
|
|
835
|
830,825
|
|
Verifone Systems, Inc., 2025 Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 5.51%), 9.18%,
08/18/28
|
|
1,738
|
1,632,150
|
|
West Deptford Energy Holdings LLC, 2025 Term Loan,
(1-mo. CME Term SOFR at 0.00% Floor + 4.00%),
7.78%, 07/24/32
|
|
1,008
|
1,002,078
|
|
Xerox Corp., 2023 Non-CoOp Term Loan, (6-mo. CME
Term SOFR + 4.00%), 7.70%, 11/19/29
|
|
629
|
396,502
|
|
|
|
|
51,110,881
|
|
Total Floating Rate Loan Interests — 5.6%
(Cost: $92,442,304)
|
84,430,334
|
||
|
Security
|
|
Par
(000)
|
Value
|
|
Foreign Agency Obligations
|
|||
|
Angola — 0.0%
|
|
||
|
Angola Government International Bonds, 8.75%,
04/14/32(b)
|
USD
|
227
|
$ 220,304
|
|
Argentina — 0.0%
|
|
||
|
Argentine Republic Government International Bonds,
1.75%, 07/09/30(m)
|
|
109
|
91,711
|
|
Bahrain — 0.0%
|
|
||
|
Bahrain Government International Bonds, 5.45%,
09/16/32(d)
|
|
257
|
231,011
|
|
Barbados — 0.0%
|
|
||
|
Barbados Government International Bonds, 8.00%,
06/26/35(b)
|
|
196
|
200,116
|
|
Chile — 0.0%
|
|
||
|
Chile Government International Bonds
|
|
|
|
|
3.75%, 01/14/32
|
EUR
|
111
|
127,097
|
|
4.34%, 03/07/42
|
USD
|
278
|
243,806
|
|
|
|
|
370,903
|
|
Colombia — 0.0%
|
|
||
|
Colombia Government International Bonds, 7.75%,
11/07/36
|
|
243
|
248,601
|
|
Costa Rica — 0.0%
|
|
||
|
Costa Rica Government International Bonds, 7.30%,
11/13/54(b)
|
|
210
|
227,850
|
|
Dominican Republic(b) — 0.1%
|
|
||
|
Dominican Republic International Bonds
|
|
|
|
|
4.50%, 01/30/30
|
|
420
|
399,000
|
|
7.05%, 02/03/31
|
|
272
|
281,248
|
|
6.95%, 03/15/37
|
|
233
|
236,956
|
|
|
|
|
917,204
|
|
Egypt — 0.0%
|
|
||
|
Egypt Government International Bonds
|
|
|
|
|
5.63%, 04/16/30(d)
|
EUR
|
214
|
231,039
|
|
8.50%, 01/31/47(b)
|
USD
|
200
|
172,375
|
|
|
|
|
403,414
|
|
Gabon — 0.0%
|
|
||
|
Gabon Government International Bonds, Series 4Y,
9.50%, 02/18/29(d)
|
|
248
|
232,031
|
|
Guatemala(b) — 0.1%
|
|
||
|
Guatemala Government Bonds
|
|
|
|
|
7.05%, 10/04/32
|
|
210
|
224,700
|
|
6.60%, 06/13/36
|
|
230
|
240,741
|
|
|
|
|
465,441
|
|
Hungary — 0.1%
|
|
||
|
Hungary Government International Bonds, 5.50%,
03/26/36(b)
|
|
200
|
194,500
|
|
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(d)
|
EUR
|
254
|
307,813
|
|
|
|
|
502,313
|
|
Indonesia — 0.0%
|
|
||
|
Indonesia Government International Bonds, 3.88%,
01/15/33
|
|
110
|
123,568
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ivory Coast — 0.1%
|
|
||
|
Ivory Coast Government International Bonds
|
|
|
|
|
5.88%, 10/17/31(d)
|
EUR
|
251
|
$ 283,011
|
|
8.08%, 04/01/36(b)
|
USD
|
200
|
203,217
|
|
|
|
|
486,228
|
|
Kenya — 0.0%
|
|
||
|
Republic of Kenya Government International Bonds,
9.75%, 02/16/31(b)
|
|
249
|
255,462
|
|
Latvia — 0.0%
|
|
||
|
Latvia Government International Bonds, 5.13%,
07/30/34(b)
|
|
201
|
201,251
|
|
Mexico — 0.1%
|
|
||
|
Eagle Funding Luxco SARL, 5.50%, 08/17/30(b)
|
|
300
|
300,750
|
|
Mexico Government International Bonds
|
|
|
|
|
5.63%, 09/22/35
|
|
321
|
310,407
|
|
6.13%, 02/09/38
|
|
200
|
195,400
|
|
5.13%, 03/19/38
|
EUR
|
100
|
111,569
|
|
|
|
|
918,126
|
|
Montenegro — 0.0%
|
|
||
|
Montenegro Government International Bonds, 2.88%,
12/16/27(d)
|
|
186
|
209,546
|
|
Morocco(b) — 0.0%
|
|
||
|
Morocco Government International Bonds
|
|
|
|
|
5.95%, 03/08/28
|
USD
|
200
|
203,340
|
|
4.75%, 04/02/35
|
EUR
|
200
|
227,471
|
|
|
|
|
430,811
|
|
Nigeria — 0.0%
|
|
||
|
Nigeria Government International Bonds, 10.38%,
12/09/34(b)
|
USD
|
200
|
228,800
|
|
Oman — 0.0%
|
|
||
|
Oman Government International Bonds, 6.75%,
01/17/48(d)
|
|
227
|
236,708
|
|
Paraguay — 0.0%
|
|
||
|
Paraguay Government International Bonds, 2.74%,
01/29/33(d)
|
|
395
|
347,205
|
|
Peru — 0.1%
|
|
||
|
Corp. Financiera de Desarrollo SA, 5.50%, 05/06/30(b)
|
|
200
|
203,055
|
|
Peru Government International Bonds
|
|
|
|
|
2.78%, 01/23/31
|
|
152
|
138,772
|
|
1.86%, 12/01/32
|
|
142
|
117,008
|
|
|
|
|
458,835
|
|
Poland — 0.0%
|
|
||
|
Republic of Poland Government International Bonds
|
|
|
|
|
Series 10Y, 4.88%, 10/04/33
|
|
48
|
47,896
|
|
Series 30Y, 5.50%, 04/04/53
|
|
149
|
136,999
|
|
|
|
|
184,895
|
|
Republic of North Macedonia — 0.0%
|
|
||
|
North Macedonia Government International Bonds,
6.96%, 03/13/27(d)
|
EUR
|
187
|
219,293
|
|
Romania — 0.1%
|
|
||
|
Romanian Government International Bonds
|
|
|
|
|
5.25%, 11/25/27(b)
|
USD
|
46
|
45,965
|
|
2.12%, 07/16/31(d)
|
EUR
|
224
|
222,207
|
|
4.63%, 03/04/33(b)
|
|
120
|
129,426
|
|
6.25%, 09/10/34(b)
|
|
215
|
251,614
|
|
Security
|
|
Par
(000)
|
Value
|
|
Romania (continued)
|
|
||
|
Romanian Government International Bonds (continued)
|
|
|
|
|
6.75%, 07/11/39(b)
|
EUR
|
82
|
$ 94,437
|
|
6.50%, 10/07/45(b)
|
|
108
|
119,252
|
|
|
|
|
862,901
|
|
Saudi Arabia — 0.1%
|
|
||
|
Saudi Government International Bonds, 5.00%,
01/18/53(b)
|
USD
|
658
|
555,675
|
|
Serbia — 0.0%
|
|
||
|
Serbia International Bonds
|
|
|
|
|
6.50%, 09/26/33(d)
|
|
200
|
208,442
|
|
6.00%, 06/12/34(b)
|
|
236
|
236,000
|
|
|
|
|
444,442
|
|
South Africa — 0.0%
|
|
||
|
Republic of South Africa Government International
Bonds, Series 30Y, 5.75%, 09/30/49
|
|
475
|
368,125
|
|
Trinidad And Tobago — 0.0%
|
|
||
|
Trinidad & Tobago Government International Bonds,
6.50%, 01/28/36(b)
|
|
200
|
198,000
|
|
Turkey — 0.0%
|
|
||
|
Turkiye Government International Bonds, Series 7Y,
7.13%, 02/12/32
|
|
226
|
226,339
|
|
Ukraine(b)(m) — 0.0%
|
|
||
|
Ukraine Government International Bonds
|
|
|
|
|
6.00%, 02/01/29
|
|
75
|
52,698
|
|
3.00%, 02/01/30
|
|
7
|
4,002
|
|
3.00%, 02/01/34
|
|
26
|
10,910
|
|
6.00%, 02/01/34
|
|
50
|
26,650
|
|
3.00%, 02/01/35
|
|
22
|
9,913
|
|
3.00%, 02/01/36
|
|
18
|
8,242
|
|
|
|
|
112,415
|
|
Uruguay — 0.0%
|
|
||
|
Oriental Republic of Uruguay, 5.25%, 09/10/60
|
|
216
|
195,696
|
|
Uzbekistan — 0.0%
|
|
||
|
Republic of Uzbekistan International Bonds, 5.38%,
05/29/27(b)
|
EUR
|
221
|
257,044
|
|
Total Foreign Agency Obligations — 0.8%
(Cost: $11,431,160)
|
11,632,264
|
||
|
|
|
Shares
|
|
|
Grantor Trust
|
|||
|
United States — 1.1%
|
|
||
|
SPDR Gold Shares(e)(g)(h)
|
|
38,130
|
16,406,958
|
|
Total Grantor Trust — 1.1%
(Cost: $14,689,286)
|
16,406,958
|
||
|
Investment Companies
|
|||
|
United States — 1.2%
|
|
||
|
iShares China Large-Cap ETF(r)
|
|
77,200
|
2,771,480
|
|
iShares MSCI Brazil ETF(r)
|
|
13,963
|
536,040
|
|
iShares Russell 2000 ETF(r)
|
|
13,900
|
3,447,200
|
|
KraneShares CSI China Internet ETF
|
|
50,850
|
1,445,665
|
|
State Street SPDR S&P Biotech ETF
|
|
45,000
|
5,747,850
|
|
State Street SPDR S&P Homebuilders ETF
|
|
8,193
|
808,813
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
State Street SPDR S&P Regional Banking ETF
|
|
17,277
|
$ 1,125,597
|
|
VanEck Semiconductor ETF
|
|
3,593
|
1,377,556
|
|
Total Investment Companies — 1.2%
(Cost: $15,052,361)
|
17,260,201
|
||
|
|
|
Par
(000)
|
|
|
Municipal Bonds
|
|||
|
Arizona — 0.0%
|
|
||
|
Maricopa County Industrial Development Authority, RB,
7.38%, 10/01/29(b)
|
USD
|
315
|
332,084
|
|
Puerto Rico — 0.2%
|
|
||
|
Commonwealth of Puerto Rico, Notes, 0.00%,
11/01/51(a)(e)(l)
|
|
4,361
|
2,660,171
|
|
Texas — 0.0%
|
|
||
|
Port of Beaumont Navigation District, Refunding ARB,
Series B, 10.00%, 07/01/26(b)
|
|
520
|
520,442
|
|
Total Municipal Bonds — 0.2%
(Cost: $2,841,174)
|
3,512,697
|
||
|
Non-Agency Mortgage-Backed Securities
|
|||
|
United States — 3.5%
|
|||
|
Ajax Mortgage Loan Trust(b)
|
|
|
|
|
Series 2020-C, Class C, 0.01%, 09/27/60
|
|
9
|
175
|
|
Series 2021-E, Class B3, 3.82%, 12/25/60(a)
|
|
945
|
508,507
|
|
Series 2021-E, Class SA, 0.00%, 12/25/60(a)
|
|
2
|
744
|
|
Series 2021-E, Class XS, 0.00%, 12/25/60(a)
|
|
11,286
|
352,178
|
|
BFLD Trust, Series 2021-EYP, Class E, (1 mo. Term
SOFR + 3.81%), 7.49%, 10/15/35(a)(b)
|
|
790
|
5,933
|
|
CSMC(a)(b)
|
|
|
|
|
Series 2020-FACT, Class E, (1 mo. Term SOFR +
5.48%), 9.15%, 10/15/37
|
|
730
|
662,475
|
|
Series 2022-LION, Class A, (1 mo. Term SOFR +
3.44%), 7.11%, 02/15/27(c)
|
|
3,400
|
3,384,974
|
|
Deephaven Residential Mortgage Trust, Series 2021-1,
Class B2, 3.96%, 05/25/65(a)(b)
|
|
1,550
|
1,402,751
|
|
Freddie Mac Seasoned Credit Risk Transfer Trust,
Series 2020-3, Class BXS, 5.12%, 05/25/60(a)(b)
|
|
7,510
|
4,351,879
|
|
FREMF Trust, Series 2018-W5FX, Class C, 3.42%,
04/25/28(a)(b)
|
|
437
|
410,826
|
|
Imperial Fund Mortgage Trust, Series 2020-NQM1,
Class B1, 4.00%, 10/25/55(a)(b)
|
|
3,602
|
3,308,233
|
|
JP Morgan Mortgage Trust(a)(b)
|
|
|
|
|
Series 2021-1, Class A3X, 0.50%, 06/25/51
|
|
41,512
|
1,197,627
|
|
Series 2021-1, Class AX1, 0.12%, 06/25/51
|
|
168,456
|
1,025,728
|
|
Series 2021-1, Class AX4, 0.40%, 06/25/51
|
|
10,757
|
247,853
|
|
Series 2021-1, Class B4, 3.02%, 06/25/51
|
|
751
|
620,321
|
|
Series 2021-1, Class B5, 3.02%, 06/25/51
|
|
901
|
698,040
|
|
Series 2021-1, Class B6, 2.78%, 06/25/51
|
|
1,534
|
724,877
|
|
Series 2021-4, Class B4, 2.90%, 08/25/51
|
|
1,125
|
898,115
|
|
Series 2021-4, Class B5, 2.90%, 08/25/51
|
|
843
|
662,062
|
|
Series 2021-4, Class B6, 2.90%, 08/25/51
|
|
2,209
|
957,773
|
|
Lehman Brothers Small Balance Commercial Mortgage
Trust, Series 2007-2A, Class M2, (1 mo. Term
SOFR + 0.71%), 4.39%, 06/25/37(a)(b)
|
|
2,535
|
2,207,453
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
MCM Trust(c)
|
|
|
|
|
0.00%, 09/25/31
|
USD
|
4,375
|
$ 3,365,942
|
|
2.50%, 09/25/31
|
|
6,153
|
5,912,627
|
|
New Residential Mortgage Loan Trust(a)(b)
|
|
|
|
|
Series 2019-RPL2, Class B3, 3.95%, 02/25/59
|
|
9,329
|
7,526,684
|
|
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55
|
|
1,370
|
1,192,644
|
|
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55
|
|
1,022
|
908,509
|
|
Seasoned Loans Structured Transaction Trust(a)(b)
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60
|
|
1,398
|
1,390,645
|
|
Series 2020-3, Class M1, 4.75%, 04/26/60
|
|
1,394
|
1,382,122
|
|
Starwood Mortgage Residential Trust, Series 2020-
INV, Class B2, 4.26%, 11/25/55(b)
|
|
1,225
|
1,047,584
|
|
TVC DSCR(c)
|
|
|
|
|
Series 2021-1, 0.00%, 03/25/28
|
|
1,323
|
1,007,134
|
|
Series 2021-1, Class A, 2.38%, 02/01/51
|
|
2,034
|
1,920,083
|
|
Verus Securitization Trust, Series 2021-R2, Class B1,
3.25%, 02/25/64(a)(b)
|
|
2,735
|
2,336,721
|
|
WaMu Mortgage Pass-Through Certificates Trust,
Series 2007-OA6, Class 1A, (12-mo. MTA + 0.81%),
4.67%, 07/25/47(a)
|
|
902
|
768,097
|
|
Wells Fargo Commercial Mortgage Trust, Series 2019-
C50, Class XA, 1.39%, 05/15/52(a)
|
|
21,633
|
688,928
|
|
Total Non-Agency Mortgage-Backed Securities — 3.5%
(Cost: $56,163,888)
|
53,076,244
|
||
|
Preferred Securities
|
|||
|
Capital Trusts — 0.3%(a)
|
|||
|
France(d)(n) — 0.1%
|
|
||
|
Air France-KLM, 5.75%
|
EUR
|
100
|
112,462
|
|
Electricite de France SA, 5.63%
|
|
200
|
236,391
|
|
Unibail-Rodamco-Westfield SE, 4.75%
|
|
200
|
228,673
|
|
Veolia Environnement SA, 4.32%
|
|
100
|
112,118
|
|
|
|
|
689,644
|
|
Germany(d) — 0.1%
|
|
||
|
Bayer AG, 5.38%, 03/25/82
|
|
300
|
345,061
|
|
Volkswagen International Finance NV(n)
|
|
|
|
|
5.49%
|
|
100
|
115,359
|
|
5.99%
|
|
100
|
115,528
|
|
|
|
|
575,948
|
|
Hong Kong — 0.0%
|
|
||
|
Cas Capital No. 2 Ltd., 6.25%(d)(n)
|
USD
|
200
|
196,720
|
|
Japan — 0.0%
|
|
||
|
Rakuten Group, Inc., 4.25%(d)(n)
|
EUR
|
200
|
224,146
|
|
Luxembourg — 0.0%
|
|
||
|
Vivion Investments SARL, 8.13%(d)(n)
|
|
200
|
193,457
|
|
Singapore — 0.0%
|
|
||
|
Lendlease Asia Treasury Pte. Ltd., 3.90%(d)(n)
|
SGD
|
250
|
192,016
|
|
Spain — 0.0%
|
|
||
|
Telefonica Emisiones SA, 4.88%(d)(n)
|
EUR
|
200
|
219,587
|
|
Thailand — 0.0%
|
|
||
|
GC Treasury Center Co. Ltd., 6.50%(d)(n)
|
USD
|
250
|
242,075
|
|
United Kingdom — 0.0%
|
|
||
|
Centrica PLC, 6.50%, 05/21/55(d)
|
GBP
|
394
|
522,802
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States(n) — 0.1%
|
|
||
|
Stellantis NV(d)
|
|
|
|
|
6.88%
|
EUR
|
275
|
$ 299,631
|
|
8.25%
|
GBP
|
250
|
316,225
|
|
Venture Global LNG, Inc., 9.00%(b)
|
USD
|
953
|
949,232
|
|
|
|
|
1,565,088
|
|
|
|
|
4,621,483
|
|
|
|
Shares
|
|
|
Preferred Stocks — 4.8%
|
|||
|
China — 0.8%
|
|
||
|
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost:
$4,390,747)(c)(e)(f)
|
|
40,071
|
11,581,721
|
|
Finland — 0.1%
|
|
||
|
Aiven, Series D(c)(e)
|
|
37,890
|
1,883,133
|
|
Germany — 0.0%
|
|
||
|
Volocopter GmbH, Series D, (Acquired 03/03/21, Cost:
$4,145,649)(c)(e)(f)
|
|
780
|
—
|
|
United Kingdom — 0.0%
|
|
||
|
10X Future Technologies Service Ltd., Series D,
(Acquired 12/19/23, Cost: $3,926,032)(c)(e)(f)
|
|
114,500
|
400,098
|
|
United States — 3.9%
|
|
||
|
Breeze Aviation Group, Inc., Series B, (Acquired
07/30/21, Cost: $1,800,187)(c)(e)(f)
|
|
3,333
|
410,359
|
|
Bright Machines, Inc.(c)(e)
|
|
|
|
|
Series C
|
|
472,899
|
99,309
|
|
Series C-1
|
|
985,059
|
78,805
|
|
Cap Hill Brands, Series B-2(c)(e)
|
|
1,185,824
|
12
|
|
Clarify Health, Series D-1(c)(e)
|
|
345,315
|
825,303
|
|
CoreWeave, Inc., Series C, 03/25/49(c)
|
|
1,579,000
|
1,500,050
|
|
Databricks, Inc., Series G, (Acquired 02/01/21, Cost:
$2,392,693)(c)(e)(f)
|
|
40,470
|
6,535,500
|
|
Davidson Homes, Inc.(c)(e)
|
|
7,345
|
8,100,213
|
|
Dream Finders Homes, Inc., Series A(c)
|
|
10,172
|
10,082,995
|
|
EXO Imaging, Inc., Series D, (Acquired 08/14/24, Cost:
$71,814)(c)(e)(f)
|
|
117,667
|
87,074
|
|
HawkEye 360, Inc., Series D-1(c)(e)
|
|
406,081
|
9,157,127
|
|
Jumpcloud, Inc.(c)(e)(f)
|
|
|
|
|
Series E-1, (Acquired 10/30/20, Cost: $2,052,443)
|
|
1,125,428
|
2,059,533
|
|
Series F, (Acquired 09/03/21, Cost: $443,302)
|
|
74,023
|
180,616
|
|
Lessen Holdings, Inc.(c)(e)
|
|
|
|
|
Series BX
|
|
489,075
|
5
|
|
Series CX
|
|
25,831
|
—
|
|
Noodle Partners, Inc., Series C, (Acquired 08/26/21,
Cost: $1,751,669)(c)(e)(f)
|
|
196,272
|
2
|
|
PsiQuantum Corp., Series D, (Acquired 05/21/21, Cost:
$945,402)(c)(e)(f)
|
|
36,048
|
1,490,585
|
|
RapidSOS, Series C-1(c)(e)
|
|
1,707,127
|
1,809,555
|
|
SambaNova Systems, Inc., Series D, (Acquired
04/09/21, Cost: $1,250,247)(c)(e)(f)
|
|
13,158
|
485,135
|
|
SCI PH Parent, Inc., Series A, (Acquired 02/10/23,
Cost: $1,183,000), 12/31/79(c)(e)(f)
|
|
1,183
|
1,608,312
|
|
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost:
$678,934)(c)(e)(f)
|
|
45,203
|
395,526
|
|
Ursa Major Technologies, Inc.(c)(e)(f)
|
|
|
|
|
Series C, (Acquired 09/13/21, Cost: $1,732,297)
|
|
290,420
|
1,396,920
|
|
Series D, (Acquired 10/14/22, Cost: $235,803)
|
|
35,579
|
175,760
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Usa Rare Earth, Inc., (Acquired 01/26/26, Cost:
$2,464,588)(e)(f)
|
|
114,632
|
$ 1,734,956
|
|
Verger Capital Fund LLC(c)(e)
|
|
341,505
|
54,641
|
|
Veritas Newco(c)(e)
|
|
|
|
|
Series G
|
|
8,968
|
170,392
|
|
Series G-1
|
|
6,197
|
117,743
|
|
Versa Networks, Inc., Series E, (Acquired 10/14/22,
Cost: $4,906,958), 10/07/32(c)(e)(f)
|
|
1,681,498
|
8,996,014
|
|
|
|
|
57,552,442
|
|
|
|
|
71,417,394
|
|
Total Preferred Securities — 5.1%
(Cost: $84,188,831)
|
76,038,877
|
||
|
|
|
Par
(000)
|
|
|
U.S. Government Sponsored Agency Securities
|
|||
|
Commercial Mortgage-Backed Securities — 0.1%
|
|
||
|
Freddie Mac Multifamily Structured Pass Through
Certificates, Series KL06, Class XFX, 1.36%,
12/25/29(a)
|
USD
|
17,820
|
748,294
|
|
Mortgage-Backed Securities(s) — 14.8%
|
|
||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
2.50%, 04/13/56
|
|
1,830
|
1,538,344
|
|
3.00%, 04/13/56
|
|
15,100
|
13,260,510
|
|
3.50%, 04/13/56 - 05/13/56
|
|
124,269
|
113,878,444
|
|
4.50%, 04/13/56
|
|
39,577
|
38,192,029
|
|
5.50%, 04/13/56
|
|
24,954
|
25,068,936
|
|
6.00%, 04/13/56 - 05/13/56
|
|
28,977
|
29,521,446
|
|
|
|
|
221,459,709
|
|
Total U.S. Government Sponsored Agency Securities — 14.9%
(Cost: $224,321,016)
|
222,208,003
|
||
|
|
|
Shares
|
|
|
Warrants
|
|||
|
Brazil — 0.0%
|
|
||
|
Lavoro Ltd., (Issued 12/27/22, Exercisable 12/27/23,
1 Share for 1 Warrant, Expires 12/27/27, Strike
Price USD 11.50)(e)
|
|
25,681
|
20
|
|
Israel — 0.0%
|
|
||
|
Deep Instinct Ltd., Series D, (Acquired 09/20/22, Cost:
$0), (Exercisable 09/20/22, 1 Share for 1 Warrant,
Expires 09/20/32, Strike Price USD 0.01)(c)(e)(f)
|
|
21,889
|
219
|
|
United Kingdom — 0.0%
|
|
||
|
10X Future Technologies Service Ltd., (Acquired
12/19/23, Cost: $0), (Issued 12/19/23, Expires
11/17/30, Strike Price GBP 0.01)(c)(e)(f)
|
|
137,950
|
7,304
|
|
United States(e) — 0.5%
|
|
||
|
Crown PropTech Acquisitions(c)
|
|
74,120
|
9,161
|
|
Crown PropTech Acquisitions, (Issued/Exercisable
01/25/21, 1 Share for 1 Warrant, Expires 12/31/27,
Strike Price USD 11.50)
|
|
44,352
|
2,661
|
|
Davidson Homes, Inc., Class A, (Issued 05/16/24,
Expires 05/16/34, Strike Price USD 8.47)(c)
|
|
50,977
|
34,664
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
EVgo, Inc., (Expires 06/28/26, Strike Price USD 11.50)
|
|
40,220
|
$ 965
|
|
Flyr AS, Series D, (Expires 12/31/49)(c)
|
|
5,990
|
—
|
|
HawkEye 360, Inc., Series D-1, (Issued 07/07/23,
1 Share for 1 Warrant, Expires 07/07/33, Strike
Price USD(c)
|
|
173,677
|
3,610,745
|
|
HawkEye 360, Inc., Series D-1, (Issued 07/07/23,
1 Share for 1 Warrant, Expires 07/07/33, Strike
Price USD 11.17)(c)
|
|
19,736
|
355,051
|
|
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21,
0.04 Shares for 1 Warrant, Expires 08/02/26, Strike
Price USD 287.50)
|
|
11,689
|
63
|
|
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for
1 Warrant, Expires 06/04/26, Strike Price USD
11.50)
|
|
10,196
|
4
|
|
New York Community Bancorp, Inc., Series C, PIPE,
(Acquired 03/07/24, Cost: $0), (Issued/Exercisable
03/11/24, 1,000 Shares for 1 Warrant, Expires
03/11/31, Strike Price USD 2.50)(c)(f)
|
|
550
|
1,446,929
|
|
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20,
1 Share for 1 Warrant, Expires 09/01/26, Strike
Price USD 11.50)
|
|
60,706
|
468
|
|
Palladyne AI Corp., (Issued/Exercisable 12/21/20,
1 Share for 1 Warrant, Expires 09/24/26, Strike
Price USD 11.50)
|
|
68,671
|
4,306
|
|
RapidSOS, Inc., Series C-1, (Issued 12/13/23, Expires
12/13/33, Strike Price USD 0.01)(c)
|
|
946,544
|
993,871
|
|
Sarcos Technology & Robotics Corp., (Issued
01/15/21, 1 Share for 1 Warrant, Expires 06/15/27,
Strike Price USD
|
|
25,291
|
1,586
|
|
Sonder Holdings, Inc., (Expires 04/11/30, Strike Price
USD 1.00)(c)
|
|
261,005
|
3
|
|
Sonder Holdings, Inc., (Expires 12/30/29, Strike Price
USD 0.01)(c)
|
|
26,165
|
—
|
|
Versa Networks, Inc., Series E, (Acquired 10/14/22,
Cost: $0), (Exercisable 10/14/22, 1 Share for
1 Warrant, Expires 10/07/32, Strike Price USD
0.01)(c)(f)
|
|
207,248
|
816,557
|
|
Volato Group, Inc., (Acquired 12/03/23, Cost: $48,765),
(Issued 12/04/23, Expires 12/03/28, Strike Price
USD 11.50)(f)
|
|
48,765
|
390
|
|
|
|
|
7,277,424
|
|
Total Warrants — 0.5%
(Cost: $614,235)
|
7,284,967
|
||
|
Total Long-Term Investments — 108.1%
(Cost: $1,388,722,077)
|
1,614,826,700
|
||
|
Short-Term Securities
|
|||
|
Money Market Funds — 2.0%
|
|
||
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares, 3.55%(r)(t)
|
|
29,223,021
|
29,223,021
|
|
Total Short-Term Securities — 2.0%
(Cost: $29,223,021)
|
29,223,021
|
||
|
Options Purchased — 0.2%
(Cost: $9,699,781)
|
3,425,655
|
||
|
Total Investments Before TBA Sale Commitments and
Options Written — 110.3%
(Cost: $1,427,644,879)
|
1,647,475,376
|
||
|
Security
|
|
Par
(000)
|
Value
|
|
TBA Sale Commitments(s)
|
|||
|
United States — (3.1)%
|
|
||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
3.50%, 04/13/56
|
USD
|
(35,401
)
|
$ (32,450,115
)
|
|
6.00%, 04/13/56
|
|
(12,900
)
|
(13,149,331
)
|
|
Total TBA Sale Commitments — (3.1)%
(Proceeds: $(45,404,462))
|
(45,599,446
)
|
||
|
Options Written — (0.7)%
(Premiums Received: $(10,568,534))
|
(10,815,092
)
|
||
|
Total Investments, Net of TBA Sale Commitments and
Options Written — 106.5%
(Cost: $1,371,671,883)
|
1,591,060,838
|
||
|
Liabilities in Excess of Other Assets — (6.5)%
|
(96,833,230
)
|
||
|
Net Assets — 100.0%
|
$ 1,494,227,608
|
||
|
(a)
|
Variable rate security. Interest rate resets periodically. The rate shown is the effective
interest rate as of period end. Security description also includes the reference rate
and
spread if published and available.
|
|
(b)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933,
as amended. These securities may be resold in transactions exempt from registration
to
qualified institutional investors.
|
|
(c)
|
Security is valued using significant unobservable inputs and is classified as Level
3 in the
fair value hierarchy.
|
|
(d)
|
This security may be resold to qualified foreign investors and foreign institutional
buyers
under Regulation S of the Securities Act of 1933.
|
|
(e)
|
Non-income producing security.
|
|
(f)
|
Restricted security as to resale, excluding 144A securities. The Trust held restricted
securities with a current value of $92,196,686, representing 6.2% of its net assets
as of
period end, and an original cost of $73,489,614.
|
|
(g)
|
All or a portion of the security has been pledged and/or segregated as collateral
in
connection with outstanding exchange-traded options written.
|
|
(h)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
(i)
|
Investment does not issue shares.
|
|
(j)
|
Payment-in-kind security which may pay interest/dividends in additional par/shares
and/or in cash. Rates shown are the current rate and possible payment rates.
|
|
(k)
|
Convertible security.
|
|
(l)
|
Issuer filed for bankruptcy and/or is in default.
|
|
(m)
|
Step coupon security. Coupon rate will either increase (step-up bond) or decrease
(step-
down bond) at regular intervals until maturity. Interest rate shown reflects the rate
currently in effect.
|
|
(n)
|
Perpetual security with no stated maturity date.
|
|
(o)
|
When-issued security.
|
|
(p)
|
Zero-coupon bond.
|
|
(q)
|
Represents an unsettled loan commitment at period end. Certain details associated
with
this purchase are not known prior to the settlement date, including coupon rate.
|
|
(r)
|
Affiliate of the Trust.
|
|
(s)
|
Represents or includes a TBA transaction.
|
|
(t)
|
Annualized 7-day yield as of period end.
|
|
Affiliated Issuer
|
Value at
12/31/25
|
Purchases
at Cost
|
Proceeds
from Sales
|
Net
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value at
03/31/26
|
Shares
Held at
03/31/26
|
Income
|
Capital Gain
Distributions
from
Underlying
Funds
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Shares
|
$ 19,221,797
|
$ 10,001,224
(a)
|
$ —
|
$ —
|
$ —
|
$ 29,223,021
|
29,223,021
|
$ 243,665
|
$ —
|
|
iShares China Large-Cap ETF
|
2,955,988
|
—
|
—
|
—
|
(184,508
)
|
2,771,480
|
77,200
|
—
|
—
|
|
iShares MSCI Brazil ETF
|
443,605
|
—
|
—
|
—
|
92,435
|
536,040
|
13,963
|
—
|
—
|
|
iShares Russell 2000 ETF
|
—
|
3,437,112
|
—
|
—
|
10,088
|
3,447,200
|
13,900
|
—
|
—
|
|
|
|
|
|
$ —
|
$ (81,985
)
|
$ 35,977,741
|
|
$ 243,665
|
$ —
|
|
(a)
|
Represents net amount purchased (sold).
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount (000)
|
Value/
Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts
|
|
|
|
|
|
NSE IFSC Nifty 50 Index
|
40
|
04/28/26
|
$ 1,820
|
$ (10,816
)
|
|
Euro BOBL
|
302
|
06/08/26
|
40,293
|
(604,448
)
|
|
Euro Bund
|
22
|
06/08/26
|
3,189
|
(65,118
)
|
|
Euro-Schatz
|
40
|
06/08/26
|
4,889
|
(41,417
)
|
|
Short Term Euro BTP
|
104
|
06/08/26
|
12,724
|
(116,057
)
|
|
KOSPI 200 Index
|
52
|
06/11/26
|
6,359
|
(668,759
)
|
|
Nikkei 225 Index
|
48
|
06/11/26
|
15,965
|
(412,048
)
|
|
10-Year Australian Treasury Bonds
|
51
|
06/15/26
|
3,792
|
(37,126
)
|
|
3-Year Australian Treasury Bonds
|
242
|
06/15/26
|
17,307
|
(89,974
)
|
|
E-mini Russell 2000 Index
|
68
|
06/18/26
|
8,541
|
(34,090
)
|
|
U.S. Long Bond
|
170
|
06/18/26
|
19,316
|
(573,992
)
|
|
Ultra U.S. Treasury Bond
|
171
|
06/18/26
|
19,889
|
(332,098
)
|
|
10-Year Canadian Bond
|
22
|
06/19/26
|
1,898
|
(38,171
)
|
|
Euro Stoxx Banks Index
|
192
|
06/19/26
|
2,593
|
(74,416
)
|
|
Long Gilt
|
26
|
06/26/26
|
3,021
|
(171,585
)
|
|
2-Year U.S. Treasury Note
|
1,656
|
06/30/26
|
343,568
|
(1,468,330
)
|
|
3-Month SOFR
|
88
|
03/14/28
|
21,251
|
(21,985
)
|
|
3-Month SOFR
|
88
|
03/20/29
|
21,229
|
4,437
|
|
|
|
|
|
(4,755,993
)
|
|
Short Contracts
|
|
|
|
|
|
30-Year Euro Buxl Bond
|
19
|
06/08/26
|
2,421
|
28,971
|
|
Euro BTP
|
18
|
06/08/26
|
2,419
|
83,343
|
|
Euro OAT
|
7
|
06/08/26
|
960
|
23,908
|
|
10-Year Japanese Government Treasury Bonds
|
14
|
06/15/26
|
11,495
|
146,404
|
|
10-Year U.S. Treasury Note
|
762
|
06/18/26
|
84,570
|
1,469,743
|
|
10-Year U.S. Ultra Long Treasury Note
|
1,543
|
06/18/26
|
175,034
|
3,440,866
|
|
NASDAQ 100 E-Mini Index
|
147
|
06/18/26
|
70,310
|
2,874,860
|
|
S&P 500 E-Mini Index
|
545
|
06/18/26
|
179,053
|
4,598,810
|
|
Euro Stoxx 50 Index
|
245
|
06/19/26
|
15,561
|
411,713
|
|
5-Year U.S. Treasury Note
|
760
|
06/30/26
|
82,211
|
178,761
|
|
|
|
|
|
13,257,379
|
|
|
|
|
|
$ 8,501,386
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
200,793
|
EUR
|
171,331
|
JPMorgan Chase Bank N.A.
|
04/16/26
|
$ 2,629
|
|
USD
|
259,004
|
EUR
|
221,000
|
JPMorgan Chase Bank N.A.
|
04/16/26
|
3,392
|
|
USD
|
297,437
|
EUR
|
253,794
|
JPMorgan Chase Bank N.A.
|
04/16/26
|
3,895
|
|
USD
|
116,826
|
EUR
|
99,679
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
1,536
|
|
USD
|
125,525
|
EUR
|
107,106
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
1,645
|
|
USD
|
129,648
|
EUR
|
110,624
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
1,699
|
|
USD
|
203,573
|
EUR
|
173,701
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
2,668
|
|
USD
|
232,697
|
EUR
|
198,552
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
3,049
|
|
USD
|
234,324
|
EUR
|
199,940
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
3,070
|
|
USD
|
448,345
|
EUR
|
382,556
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
5,875
|
|
USD
|
489,645
|
EUR
|
417,796
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
6,416
|
|
USD
|
579,795
|
EUR
|
494,718
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
7,597
|
|
USD
|
2,014,804
|
EUR
|
1,719,158
|
Morgan Stanley & Co. International PLC
|
04/16/26
|
26,401
|
|
USD
|
140,572
|
EUR
|
119,909
|
State Street Bank and Trust Co.
|
04/16/26
|
1,884
|
|
BRL
|
8,340,119
|
USD
|
1,556,457
|
HSBC Bank PLC
|
06/17/26
|
26,822
|
|
EUR
|
3,138,800
|
USD
|
3,629,300
|
Bank of America N.A.
|
06/17/26
|
11,289
|
|
EUR
|
1,390,464
|
USD
|
1,605,179
|
Citibank N.A.
|
06/17/26
|
7,574
|
|
EUR
|
3,302,145
|
USD
|
3,816,067
|
HSBC Bank PLC
|
06/17/26
|
13,981
|
|
EUR
|
4,297,240
|
USD
|
4,972,517
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
11,709
|
|
EUR
|
313,796
|
USD
|
363,646
|
State Street Bank and Trust Co.
|
06/17/26
|
315
|
|
EUR
|
379,799
|
USD
|
439,732
|
State Street Bank and Trust Co.
|
06/17/26
|
784
|
|
EUR
|
749,889
|
USD
|
868,110
|
State Street Bank and Trust Co.
|
06/17/26
|
1,661
|
|
JPY
|
33,233,084
|
USD
|
210,358
|
Societe Generale
|
06/17/26
|
380
|
|
JPY
|
54,325,745
|
USD
|
343,542
|
Societe Generale
|
06/17/26
|
949
|
|
JPY
|
57,269,179
|
USD
|
361,361
|
Societe Generale
|
06/17/26
|
1,795
|
|
USD
|
240,039
|
AUD
|
337,505
|
Deutsche Bank AG
|
06/17/26
|
7,436
|
|
USD
|
1,199,393
|
AUD
|
1,683,284
|
Deutsche Bank AG
|
06/17/26
|
39,301
|
|
USD
|
5,847,698
|
AUD
|
8,206,356
|
Deutsche Bank AG
|
06/17/26
|
192,008
|
|
USD
|
164,725
|
AUD
|
233,441
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
3,841
|
|
USD
|
10,972,008
|
CAD
|
14,838,101
|
Societe Generale
|
06/17/26
|
270,040
|
|
USD
|
204,431
|
CAD
|
278,430
|
Toronto-Dominion Bank
|
06/17/26
|
3,614
|
|
USD
|
6,825,599
|
CHF
|
5,255,786
|
UBS AG
|
06/17/26
|
197,786
|
|
USD
|
3,802,822
|
CNY
|
26,069,071
|
BNP Paribas SA
|
06/17/26
|
8,639
|
|
USD
|
9,894,684
|
DKK
|
63,244,277
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
73,639
|
|
USD
|
2,584,661
|
EUR
|
2,226,122
|
Bank of America N.A.
|
06/17/26
|
2,656
|
|
USD
|
5,281,040
|
EUR
|
4,545,000
|
Bank of America N.A.
|
06/17/26
|
9,446
|
|
USD
|
85,953,235
|
EUR
|
73,605,179
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
581,036
|
|
USD
|
147,183,460
|
EUR
|
126,043,970
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
989,250
|
|
USD
|
1,241,197
|
EUR
|
1,066,992
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
3,629
|
|
USD
|
854,958
|
EUR
|
735,229
|
Standard Chartered Bank
|
06/17/26
|
2,190
|
|
USD
|
195,003
|
EUR
|
167,376
|
State Street Bank and Trust Co.
|
06/17/26
|
869
|
|
USD
|
892,781
|
EUR
|
766,181
|
State Street Bank and Trust Co.
|
06/17/26
|
4,113
|
|
USD
|
1,265,199
|
GBP
|
951,039
|
Deutsche Bank AG
|
06/17/26
|
6,687
|
|
USD
|
1,008,838
|
GBP
|
755,137
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
9,563
|
|
USD
|
8,854,327
|
GBP
|
6,593,745
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
128,808
|
|
USD
|
42,204,648
|
GBP
|
31,425,699
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
618,943
|
|
USD
|
259,324
|
GBP
|
193,596
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
3,137
|
|
USD
|
304,431
|
GBP
|
228,740
|
Standard Chartered Bank
|
06/17/26
|
1,739
|
|
USD
|
409,988
|
GBP
|
305,457
|
Standard Chartered Bank
|
06/17/26
|
5,776
|
|
USD
|
469,220
|
GBP
|
350,960
|
State Street Bank and Trust Co.
|
06/17/26
|
4,793
|
|
USD
|
1,133,570
|
GBP
|
844,317
|
Toronto-Dominion Bank
|
06/17/26
|
16,283
|
|
USD
|
543,812
|
GBP
|
410,043
|
UBS AG
|
06/17/26
|
1,201
|
|
USD
|
1,046,021
|
GBP
|
782,717
|
UBS AG
|
06/17/26
|
10,249
|
|
USD
|
1,455,811
|
GBP
|
1,093,456
|
UBS AG
|
06/17/26
|
8,838
|
|
USD
|
12,597,542
|
HKD
|
98,146,050
|
Goldman Sachs International
|
06/17/26
|
31,022
|
|
USD
|
298,426
|
JPY
|
46,686,423
|
BNP Paribas SA
|
06/17/26
|
2,378
|
|
USD
|
602,150
|
JPY
|
94,151,766
|
Deutsche Bank AG
|
06/17/26
|
5,114
|
|
USD
|
211,262
|
JPY
|
33,280,913
|
Societe Generale
|
06/17/26
|
221
|
|
USD
|
508,937
|
JPY
|
79,098,588
|
Societe Generale
|
06/17/26
|
7,356
|
|
USD
|
669,095
|
JPY
|
105,392,912
|
Societe Generale
|
06/17/26
|
776
|
|
USD
|
949,530
|
JPY
|
148,441,206
|
Societe Generale
|
06/17/26
|
8,233
|
|
USD
|
10,248,440
|
JPY
|
1,604,936,109
|
Toronto-Dominion Bank
|
06/17/26
|
71,203
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
15,929,766
|
KRW
|
23,396,365,972
|
BNP Paribas SA
|
06/17/26
|
$ 343,099
|
|
USD
|
1,043,613
|
MXN
|
18,799,123
|
Citibank N.A.
|
06/17/26
|
1,174
|
|
USD
|
195,295
|
NOK
|
1,881,150
|
HSBC Bank PLC
|
06/17/26
|
1,129
|
|
USD
|
458,563
|
SEK
|
4,178,345
|
Barclays Bank PLC
|
06/17/26
|
15,495
|
|
USD
|
801,226
|
SEK
|
7,304,357
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
26,678
|
|
USD
|
202,704
|
SGD
|
256,172
|
State Street Bank and Trust Co.
|
06/17/26
|
2,396
|
|
USD
|
20,676,405
|
TWD
|
656,889,400
|
UBS AG
|
06/17/26
|
235,804
|
|
USD
|
765,842
|
ZAR
|
12,539,216
|
BNP Paribas SA
|
06/17/26
|
29,058
|
|
USD
|
771,491
|
AUD
|
1,080,000
|
Barclays Bank PLC
|
06/18/26
|
27,186
|
|
|
|
|
|
|
|
4,162,847
|
|
EUR
|
13,220
|
USD
|
15,493
|
Toronto-Dominion Bank
|
04/16/26
|
(203
)
|
|
AUD
|
318,906
|
USD
|
223,875
|
Toronto-Dominion Bank
|
06/17/26
|
(4,090
)
|
|
AUD
|
299,396
|
USD
|
207,067
|
UBS AG
|
06/17/26
|
(728
)
|
|
BRL
|
44,682,511
|
USD
|
8,483,001
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
(523
)
|
|
CAD
|
11,008,077
|
USD
|
8,141,633
|
BNP Paribas SA
|
06/17/26
|
(202,067
)
|
|
CHF
|
12,872
|
USD
|
16,717
|
Toronto-Dominion Bank
|
06/17/26
|
(485
)
|
|
CHF
|
69,608
|
USD
|
89,384
|
UBS AG
|
06/17/26
|
(1,604
)
|
|
CNH
|
27,643,764
|
USD
|
4,045,325
|
HSBC Bank PLC
|
06/17/26
|
(10,587
)
|
|
DKK
|
6,838,535
|
USD
|
1,069,714
|
Toronto-Dominion Bank
|
06/17/26
|
(7,775
)
|
|
EUR
|
16,989,301
|
USD
|
19,838,665
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
(133,340
)
|
|
EUR
|
338,536
|
USD
|
393,983
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
(1,326
)
|
|
EUR
|
162,951
|
USD
|
190,619
|
Toronto-Dominion Bank
|
06/17/26
|
(1,618
)
|
|
EUR
|
5,934,073
|
USD
|
6,909,062
|
Toronto-Dominion Bank
|
06/17/26
|
(26,327
)
|
|
EUR
|
893,162
|
USD
|
1,039,647
|
UBS AG
|
06/17/26
|
(3,698
)
|
|
EUR
|
932,220
|
USD
|
1,083,956
|
UBS AG
|
06/17/26
|
(2,706
)
|
|
GBP
|
140,521
|
USD
|
187,041
|
HSBC Bank PLC
|
06/17/26
|
(1,089
)
|
|
GBP
|
4,533,864
|
USD
|
6,089,348
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
(89,675
)
|
|
GBP
|
372,262
|
USD
|
498,292
|
Societe Generale
|
06/17/26
|
(5,676
)
|
|
GBP
|
227,696
|
USD
|
302,972
|
State Street Bank and Trust Co.
|
06/17/26
|
(1,661
)
|
|
HKD
|
872,797
|
USD
|
111,943
|
HSBC Bank PLC
|
06/17/26
|
(191
)
|
|
HKD
|
1,177,793
|
USD
|
151,199
|
UBS AG
|
06/17/26
|
(396
)
|
|
IDR
|
7,455,623,195
|
USD
|
441,297
|
Goldman Sachs International
|
06/17/26
|
(3,066
)
|
|
INR
|
74,786,626
|
USD
|
804,668
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
(15,975
)
|
|
JPY
|
3,021,780,014
|
USD
|
19,299,860
|
Deutsche Bank AG
|
06/17/26
|
(138,117
)
|
|
JPY
|
49,418,668
|
USD
|
316,095
|
HSBC Bank PLC
|
06/17/26
|
(2,721
)
|
|
JPY
|
28,059,338
|
USD
|
178,713
|
Societe Generale
|
06/17/26
|
(783
)
|
|
JPY
|
88,642,212
|
USD
|
563,096
|
Societe Generale
|
06/17/26
|
(998
)
|
|
MXN
|
42,036,021
|
USD
|
2,334,686
|
Bank of America N.A.
|
06/17/26
|
(3,727
)
|
|
MXN
|
109,878,455
|
USD
|
6,200,536
|
State Street Bank and Trust Co.
|
06/17/26
|
(107,616
)
|
|
MXN
|
28,770,585
|
USD
|
1,622,812
|
Toronto-Dominion Bank
|
06/17/26
|
(27,442
)
|
|
TRY
|
34,066,106
|
USD
|
708,589
|
Barclays Bank PLC
|
06/17/26
|
(4,900
)
|
|
TRY
|
34,820,842
|
USD
|
724,287
|
Barclays Bank PLC
|
06/17/26
|
(5,009
)
|
|
USD
|
3,278,000
|
BRL
|
17,389,790
|
Citibank N.A.
|
06/17/26
|
(23,258
)
|
|
USD
|
3,377,000
|
BRL
|
17,953,820
|
UBS AG
|
06/17/26
|
(31,333
)
|
|
USD
|
797,181
|
EUR
|
691,888
|
Barclays Bank PLC
|
06/17/26
|
(5,317
)
|
|
USD
|
3,717,891
|
EUR
|
3,218,800
|
BNP Paribas SA
|
06/17/26
|
(15,488
)
|
|
USD
|
230,499
|
EUR
|
199,213
|
Standard Chartered Bank
|
06/17/26
|
(561
)
|
|
USD
|
435,618
|
JPY
|
68,806,804
|
JPMorgan Chase Bank N.A.
|
06/17/26
|
(700
)
|
|
USD
|
246,752
|
JPY
|
38,941,698
|
Societe Generale
|
06/17/26
|
(185
)
|
|
USD
|
1,043,613
|
ZAR
|
17,866,341
|
Morgan Stanley & Co. International PLC
|
06/17/26
|
(6,184
)
|
|
ZAR
|
39,477,206
|
USD
|
2,334,686
|
Citibank N.A.
|
06/17/26
|
(15,070
)
|
|
ZAR
|
30,487,406
|
USD
|
1,859,934
|
State Street Bank and Trust Co.
|
06/17/26
|
(68,543
)
|
|
|
|
|
|
|
|
(972,758
)
|
|
|
$ 3,190,089
|
|||||
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
InvesCo QQQ Trust, Series 1
|
153
|
04/10/26
|
USD
|
608.00
|
USD
|
8,831
|
$ 4,966
|
|
Amazon.com, Inc.
|
277
|
04/17/26
|
USD
|
215.00
|
USD
|
5,769
|
92,102
|
|
Citizens Financial Group, Inc.
|
58
|
04/17/26
|
USD
|
65.00
|
USD
|
348
|
2,030
|
|
Delta Air Lines, Inc.
|
371
|
04/17/26
|
USD
|
75.00
|
USD
|
2,466
|
31,720
|
|
EssilorLuxottica SA
|
16
|
04/17/26
|
EUR
|
280.00
|
EUR
|
323
|
277
|
|
Home Depot, Inc.
|
10
|
04/17/26
|
USD
|
400.00
|
USD
|
329
|
105
|
|
InvesCo QQQ Trust, Series 1
|
62
|
04/17/26
|
USD
|
615.00
|
USD
|
3,579
|
3,319
|
|
iShares Expanded Tech-Software Sector ETF
|
210
|
04/17/26
|
USD
|
90.00
|
USD
|
1,681
|
2,837
|
|
iShares MSCI Emerging Markets ETF
|
541
|
04/17/26
|
USD
|
65.00
|
USD
|
3,072
|
1,399
|
|
Lowe’s Cos., Inc.
|
17
|
04/17/26
|
USD
|
300.00
|
USD
|
402
|
204
|
|
Safran SA
|
14
|
04/17/26
|
EUR
|
350.00
|
EUR
|
391
|
251
|
|
SPDR Gold Shares
|
940
|
04/17/26
|
USD
|
520.00
|
USD
|
40,447
|
31,837
|
|
SPDR S&P 500 ETF Trust(a)
|
171
|
04/17/26
|
USD
|
700.00
|
USD
|
11,121
|
1,903
|
|
United Airlines Holdings, Inc.
|
13
|
04/17/26
|
USD
|
115.00
|
USD
|
120
|
559
|
|
Vertiv Holdings Co., Class A
|
227
|
04/17/26
|
USD
|
260.00
|
USD
|
5,688
|
208,840
|
|
Walt Disney Co.
|
232
|
04/17/26
|
USD
|
110.00
|
USD
|
2,236
|
2,088
|
|
Williams Cos., Inc.
|
65
|
04/17/26
|
USD
|
75.00
|
USD
|
473
|
6,175
|
|
Nikkei 225 Index
|
5
|
05/08/26
|
JPY
|
56,000.00
|
JPY
|
255,319
|
18,588
|
|
Abbott Laboratories
|
28
|
05/15/26
|
USD
|
120.00
|
USD
|
287
|
686
|
|
AbbVie, Inc.
|
13
|
05/15/26
|
USD
|
250.00
|
USD
|
283
|
1,053
|
|
Alphabet, Inc., Class C
|
59
|
05/15/26
|
USD
|
340.00
|
USD
|
1,692
|
7,051
|
|
Amazon.com, Inc.
|
33
|
05/15/26
|
USD
|
235.00
|
USD
|
687
|
9,883
|
|
Apple, Inc.
|
60
|
05/15/26
|
USD
|
275.00
|
USD
|
1,523
|
16,650
|
|
Bank of America Corp.
|
63
|
05/15/26
|
USD
|
50.00
|
USD
|
307
|
10,836
|
|
Boeing Co.
|
14
|
05/15/26
|
USD
|
235.00
|
USD
|
279
|
2,177
|
|
Broadcom, Inc.
|
18
|
05/15/26
|
USD
|
380.00
|
USD
|
557
|
3,798
|
|
Cameco Corp.
|
27
|
05/15/26
|
USD
|
125.00
|
USD
|
293
|
9,720
|
|
Caterpillar, Inc.
|
4
|
05/15/26
|
USD
|
780.00
|
USD
|
283
|
7,330
|
|
Cisco Systems, Inc.
|
39
|
05/15/26
|
USD
|
85.00
|
USD
|
303
|
4,037
|
|
CSX Corp.
|
76
|
05/15/26
|
USD
|
45.00
|
USD
|
312
|
3,420
|
|
Edwards Lifesciences Corp.
|
36
|
05/15/26
|
USD
|
95.00
|
USD
|
288
|
1,890
|
|
Eli Lilly & Co.
|
7
|
05/15/26
|
USD
|
1,100.00
|
USD
|
644
|
5,880
|
|
Eli Lilly & Co.
|
23
|
05/15/26
|
USD
|
1,000.00
|
USD
|
2,115
|
62,330
|
|
GE Aerospace
|
9
|
05/15/26
|
USD
|
350.00
|
USD
|
255
|
1,143
|
|
GE Vernova, Inc.
|
36
|
05/15/26
|
USD
|
860.00
|
USD
|
3,142
|
282,060
|
|
GE Vernova, Inc.
|
4
|
05/15/26
|
USD
|
930.00
|
USD
|
349
|
17,940
|
|
Home Depot, Inc.
|
9
|
05/15/26
|
USD
|
385.00
|
USD
|
296
|
572
|
|
Honeywell International, Inc.
|
13
|
05/15/26
|
USD
|
260.00
|
USD
|
294
|
1,170
|
|
Intel Corp.
|
64
|
05/15/26
|
USD
|
52.50
|
USD
|
282
|
9,472
|
|
Intuitive Surgical, Inc.
|
6
|
05/15/26
|
USD
|
540.00
|
USD
|
277
|
2,430
|
|
iShares Expanded Tech-Software Sector ETF
|
452
|
05/15/26
|
USD
|
85.00
|
USD
|
3,618
|
81,549
|
|
JPMorgan Chase & Co.
|
11
|
05/15/26
|
USD
|
315.00
|
USD
|
324
|
4,868
|
|
Lam Research Corp.
|
14
|
05/15/26
|
USD
|
240.00
|
USD
|
299
|
14,280
|
|
Mastercard, Inc., Class A
|
6
|
05/15/26
|
USD
|
555.00
|
USD
|
300
|
2,100
|
|
McKesson Corp.
|
3
|
05/15/26
|
USD
|
1,020.00
|
USD
|
260
|
1,410
|
|
Merck & Co., Inc.
|
26
|
05/15/26
|
USD
|
130.00
|
USD
|
313
|
5,057
|
|
Meta Platforms, Inc., Class A
|
6
|
05/15/26
|
USD
|
720.00
|
USD
|
343
|
1,308
|
|
Micron Technology, Inc.
|
8
|
05/15/26
|
USD
|
460.00
|
USD
|
270
|
3,660
|
|
Microsoft Corp.
|
33
|
05/15/26
|
USD
|
445.00
|
USD
|
1,222
|
4,125
|
|
MongoDB, Inc., Class A
|
11
|
05/15/26
|
USD
|
300.00
|
USD
|
269
|
4,730
|
|
Netflix, Inc.
|
32
|
05/15/26
|
USD
|
105.00
|
USD
|
308
|
6,912
|
|
NVIDIA Corp.
|
113
|
05/15/26
|
USD
|
200.00
|
USD
|
1,971
|
16,441
|
|
Oracle Corp.
|
19
|
05/15/26
|
USD
|
180.00
|
USD
|
280
|
3,145
|
|
Palantir Technologies Inc, Class A
|
20
|
05/15/26
|
USD
|
165.00
|
USD
|
293
|
10,650
|
|
Philip Morris International, Inc.
|
18
|
05/15/26
|
USD
|
185.00
|
USD
|
298
|
3,285
|
|
Rockwell Automation, Inc.
|
37
|
05/15/26
|
USD
|
370.00
|
USD
|
1,328
|
61,420
|
|
SPDR Gold Shares
|
1,270
|
05/15/26
|
USD
|
495.00
|
USD
|
54,647
|
501,367
|
|
Tesla, Inc.
|
9
|
05/15/26
|
USD
|
450.00
|
USD
|
335
|
2,880
|
|
Thermo Fisher Scientific, Inc.
|
6
|
05/15/26
|
USD
|
540.00
|
USD
|
295
|
4,620
|
|
Trane Technologies PLC
|
7
|
05/15/26
|
USD
|
470.00
|
USD
|
292
|
2,608
|
|
UniCredit SpA
|
9
|
05/15/26
|
EUR
|
68.00
|
EUR
|
279
|
4,668
|
|
United Airlines Holdings, Inc.
|
185
|
05/15/26
|
USD
|
115.00
|
USD
|
1,703
|
32,837
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
Vertiv Holdings Co., Class A
|
11
|
05/15/26
|
USD
|
300.00
|
USD
|
276
|
$ 8,662
|
|
Vistra Corp.
|
19
|
05/15/26
|
USD
|
175.00
|
USD
|
286
|
8,218
|
|
Walmart, Inc.
|
49
|
05/15/26
|
USD
|
135.00
|
USD
|
609
|
5,464
|
|
Walt Disney Co.
|
30
|
05/15/26
|
USD
|
110.00
|
USD
|
289
|
2,430
|
|
Wells Fargo & Co.
|
40
|
05/15/26
|
USD
|
85.00
|
USD
|
318
|
7,500
|
|
Cheniere Energy, Inc.
|
17
|
06/18/26
|
USD
|
320.00
|
USD
|
482
|
15,300
|
|
|
|
|
|
|
|
|
1,692,222
|
|
Put
|
|
|
|
|
|
|
|
|
SPDR Gold Shares
|
752
|
04/17/26
|
USD
|
380.00
|
USD
|
32,358
|
141,084
|
|
Walmart, Inc.
|
127
|
04/17/26
|
USD
|
125.00
|
USD
|
1,578
|
40,322
|
|
Micron Technology, Inc.
|
45
|
05/15/26
|
USD
|
380.00
|
USD
|
1,520
|
260,325
|
|
NVIDIA Corp.
|
317
|
06/18/26
|
USD
|
170.00
|
USD
|
5,528
|
336,812
|
|
ASML Holding NV
|
23
|
06/19/26
|
EUR
|
1,120.00
|
EUR
|
2,574
|
281,331
|
|
NVIDIA Corp.
|
363
|
07/17/26
|
USD
|
180.00
|
USD
|
6,331
|
621,637
|
|
|
|
|
|
|
|
|
1,681,511
|
|
|
|
|
|
|
|
|
$ 3,373,733
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Description
|
Counterparty
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
|
KOSPI 200 Index
|
JPMorgan Chase Bank N.A.
|
12
|
05/14/26
|
KRW
|
870.00
|
KRW
|
2,233,710
|
$ 31,353
|
|
Put
|
|
|
|
|
|
|
|
|
|
USD Currency
|
HSBC Bank PLC
|
—
|
05/04/26
|
IDR
|
16,400.00
|
USD
|
1,270
|
202
|
|
|
|
|
|
|
|
|
|
$ 31,555
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Interest Rate Swap, 05/02/56
|
1-day SOFR,
3.68%
|
Annual
|
3.55%
|
Annual
|
Bank of America N.A.
|
04/30/26
|
3.55
%
|
USD
|
13,607
|
$ 2,228
|
|
1-Year Interest Rate Swap, 06/10/27
|
1-day SOFR,
3.68%
|
Annual
|
3.00%
|
Annual
|
Goldman Sachs
International
|
06/08/26
|
3.00
|
USD
|
66,223
|
18,139
|
|
|
|
|
|
|
|
|
|
|
|
$ 20,367
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
Delta Air Lines, Inc.
|
371
|
04/17/26
|
USD
|
90.00
|
USD
|
2,466
|
$ (8,904
)
|
|
iShares MSCI Emerging Markets ETF
|
541
|
04/17/26
|
USD
|
70.00
|
USD
|
3,072
|
(66
)
|
|
Safran SA
|
14
|
04/17/26
|
EUR
|
380.00
|
EUR
|
391
|
(518
)
|
|
SPDR Gold Shares
|
940
|
04/17/26
|
USD
|
545.00
|
USD
|
40,447
|
(17,062
)
|
|
Vertiv Holdings Co., Class A
|
227
|
04/17/26
|
USD
|
310.00
|
USD
|
5,688
|
(12,826
)
|
|
Vertiv Holdings Co., Class A
|
18
|
04/17/26
|
USD
|
290.00
|
USD
|
451
|
(4,005
)
|
|
Walmart, Inc.
|
127
|
04/17/26
|
USD
|
140.00
|
USD
|
1,578
|
(889
)
|
|
Eli Lilly & Co.
|
23
|
05/15/26
|
USD
|
1,080.00
|
USD
|
2,115
|
(24,955
)
|
|
GE Vernova, Inc.
|
30
|
05/15/26
|
USD
|
1,000.00
|
USD
|
2,619
|
(69,750
)
|
|
SPDR Gold Shares
|
1,270
|
05/15/26
|
USD
|
570.00
|
USD
|
54,647
|
(96,012
)
|
|
NVIDIA Corp.
|
317
|
06/18/26
|
USD
|
210.00
|
USD
|
5,528
|
(81,627
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
ASML Holding NV
|
34
|
06/19/26
|
EUR
|
1,480.00
|
EUR
|
3,805
|
$ (54,232
)
|
|
NVIDIA Corp.
|
330
|
09/18/26
|
USD
|
240.00
|
USD
|
5,755
|
(108,075
)
|
|
|
|
|
|
|
|
|
(478,921
)
|
|
Put
|
|
|
|
|
|
|
|
|
Boston Scientific Corp.
|
102
|
04/17/26
|
USD
|
75.00
|
USD
|
640
|
(128,010
)
|
|
Citizens Financial Group, Inc.
|
58
|
04/17/26
|
USD
|
57.50
|
USD
|
348
|
(5,945
)
|
|
Delta Air Lines, Inc.
|
371
|
04/17/26
|
USD
|
65.00
|
USD
|
2,466
|
(108,146
)
|
|
EssilorLuxottica SA
|
14
|
04/17/26
|
EUR
|
240.00
|
EUR
|
278
|
(66,823
)
|
|
Home Depot, Inc.
|
10
|
04/17/26
|
USD
|
355.00
|
USD
|
329
|
(27,050
)
|
|
InvesCo QQQ Trust, Series 1
|
62
|
04/17/26
|
USD
|
580.00
|
USD
|
3,579
|
(81,600
)
|
|
iShares Expanded Tech-Software Sector ETF
|
412
|
04/17/26
|
USD
|
72.00
|
USD
|
3,298
|
(22,237
)
|
|
iShares MSCI Emerging Markets ETF
|
541
|
04/17/26
|
USD
|
59.00
|
USD
|
3,072
|
(158,476
)
|
|
Lowe’s Cos., Inc.
|
17
|
04/17/26
|
USD
|
260.00
|
USD
|
402
|
(40,885
)
|
|
Safran SA
|
14
|
04/17/26
|
EUR
|
310.00
|
EUR
|
391
|
(52,235
)
|
|
SPDR S&P 500 ETF Trust(a)
|
192
|
04/17/26
|
USD
|
640.00
|
USD
|
12,487
|
(158,063
)
|
|
SPDR S&P 500 ETF Trust(a)
|
355
|
04/17/26
|
USD
|
645.00
|
USD
|
23,087
|
(347,966
)
|
|
United Airlines Holdings, Inc.
|
13
|
04/17/26
|
USD
|
95.00
|
USD
|
120
|
(9,425
)
|
|
Walt Disney Co.
|
232
|
04/17/26
|
USD
|
95.00
|
USD
|
2,236
|
(38,976
)
|
|
Williams Cos., Inc.
|
128
|
04/17/26
|
USD
|
65.00
|
USD
|
932
|
(2,560
)
|
|
Nikkei 225 Index
|
5
|
05/08/26
|
JPY
|
50,000.00
|
JPY
|
255,319
|
(63,640
)
|
|
AbbVie, Inc.
|
36
|
05/15/26
|
USD
|
185.00
|
USD
|
783
|
(6,822
)
|
|
Alphabet, Inc., Class C
|
48
|
05/15/26
|
USD
|
260.00
|
USD
|
1,377
|
(25,560
)
|
|
Alphabet, Inc., Class C
|
39
|
05/15/26
|
USD
|
265.00
|
USD
|
1,119
|
(25,545
)
|
|
Amazon.com, Inc.
|
108
|
05/15/26
|
USD
|
185.00
|
USD
|
2,249
|
(44,550
)
|
|
Apollo Global Management, Inc.
|
59
|
05/15/26
|
USD
|
105.00
|
USD
|
657
|
(30,090
)
|
|
Apple, Inc.
|
44
|
05/15/26
|
USD
|
235.00
|
USD
|
1,117
|
(19,690
)
|
|
Boston Scientific Corp.
|
99
|
05/15/26
|
USD
|
65.00
|
USD
|
621
|
(47,025
)
|
|
Boston Scientific Corp.
|
102
|
05/15/26
|
USD
|
70.00
|
USD
|
640
|
(84,150
)
|
|
Broadcom, Inc.
|
46
|
05/15/26
|
USD
|
250.00
|
USD
|
1,424
|
(16,560
)
|
|
Citigroup, Inc.
|
66
|
05/15/26
|
USD
|
100.00
|
USD
|
749
|
(14,619
)
|
|
Costco Wholesale Corp.
|
8
|
05/15/26
|
USD
|
860.00
|
USD
|
797
|
(2,700
)
|
|
CRH PLC
|
65
|
05/15/26
|
USD
|
105.00
|
USD
|
683
|
(35,425
)
|
|
D.R. Horton, Inc.
|
49
|
05/15/26
|
USD
|
135.00
|
USD
|
672
|
(35,525
)
|
|
Delta Air Lines, Inc.
|
114
|
05/15/26
|
USD
|
60.00
|
USD
|
758
|
(26,448
)
|
|
Edwards Lifesciences Corp.
|
97
|
05/15/26
|
USD
|
70.00
|
USD
|
777
|
(10,913
)
|
|
Eli Lilly & Co.
|
23
|
05/15/26
|
USD
|
840.00
|
USD
|
2,115
|
(61,410
)
|
|
Exxon Mobil Corp.
|
54
|
05/15/26
|
USD
|
125.00
|
USD
|
916
|
(1,998
)
|
|
Fifth Third Bancorp
|
143
|
05/15/26
|
USD
|
45.00
|
USD
|
664
|
(23,953
)
|
|
Freeport-McMoRan, Inc.
|
126
|
05/15/26
|
USD
|
50.00
|
USD
|
741
|
(18,522
)
|
|
GE Aerospace
|
26
|
05/15/26
|
USD
|
260.00
|
USD
|
738
|
(19,695
)
|
|
GE Vernova, Inc.
|
36
|
05/15/26
|
USD
|
700.00
|
USD
|
3,142
|
(59,760
)
|
|
GE Vernova, Inc.
|
6
|
05/15/26
|
USD
|
780.00
|
USD
|
524
|
(19,770
)
|
|
Goldman Sachs Group, Inc.
|
8
|
05/15/26
|
USD
|
760.00
|
USD
|
677
|
(14,420
)
|
|
Home Depot, Inc.
|
20
|
05/15/26
|
USD
|
325.00
|
USD
|
658
|
(23,150
)
|
|
Intuitive Surgical, Inc.
|
17
|
05/15/26
|
USD
|
400.00
|
USD
|
784
|
(11,730
)
|
|
iShares Expanded Tech-Software Sector ETF
|
452
|
05/15/26
|
USD
|
70.00
|
USD
|
3,618
|
(53,623
)
|
|
JPMorgan Chase & Co.
|
25
|
05/15/26
|
USD
|
270.00
|
USD
|
735
|
(13,688
)
|
|
MercadoLibre, Inc.
|
4
|
05/15/26
|
USD
|
1,700.00
|
USD
|
692
|
(39,120
)
|
|
Meta Platforms, Inc., Class A
|
12
|
05/15/26
|
USD
|
570.00
|
USD
|
687
|
(39,840
)
|
|
Micron Technology, Inc.
|
68
|
05/15/26
|
USD
|
270.00
|
USD
|
2,297
|
(57,460
)
|
|
Microsoft Corp.
|
24
|
05/15/26
|
USD
|
350.00
|
USD
|
888
|
(23,400
)
|
|
MongoDB, Inc., Class A
|
24
|
05/15/26
|
USD
|
250.00
|
USD
|
587
|
(50,640
)
|
|
Rockwell Automation, Inc.
|
69
|
05/15/26
|
USD
|
320.00
|
USD
|
2,476
|
(58,995
)
|
|
SPDR Gold Shares
|
726
|
05/15/26
|
USD
|
425.00
|
USD
|
31,239
|
(1,242,077
)
|
|
SPDR S&P 500 ETF Trust(a)
|
52
|
05/15/26
|
USD
|
635.00
|
USD
|
3,382
|
(67,689
)
|
|
Tesla, Inc.
|
37
|
05/15/26
|
USD
|
330.00
|
USD
|
1,375
|
(33,207
)
|
|
Tesla, Inc.
|
19
|
05/15/26
|
USD
|
320.00
|
USD
|
706
|
(13,348
)
|
|
Uber Technologies, Inc.
|
104
|
05/15/26
|
USD
|
60.00
|
USD
|
748
|
(9,984
)
|
|
UniCredit SpA
|
9
|
05/15/26
|
EUR
|
56.00
|
EUR
|
274
|
(13,133
)
|
|
United Airlines Holdings, Inc.
|
185
|
05/15/26
|
USD
|
100.00
|
USD
|
1,703
|
(232,637
)
|
|
United Airlines Holdings, Inc.
|
73
|
05/15/26
|
USD
|
87.50
|
USD
|
672
|
(43,435
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Put (continued)
|
|
|
|
|
|
|
|
|
Walmart, Inc.
|
61
|
05/15/26
|
USD
|
110.00
|
USD
|
758
|
$ (6,131
)
|
|
Walt Disney Co.
|
73
|
05/15/26
|
USD
|
95.00
|
USD
|
704
|
(28,288
)
|
|
Wells Fargo & Co.
|
84
|
05/15/26
|
USD
|
80.00
|
USD
|
669
|
(36,540
)
|
|
Abbott Laboratories
|
28
|
06/18/26
|
USD
|
95.00
|
USD
|
287
|
(7,462
)
|
|
AbbVie, Inc.
|
13
|
06/18/26
|
USD
|
195.00
|
USD
|
283
|
(6,305
)
|
|
Alphabet, Inc., Class C
|
59
|
06/18/26
|
USD
|
260.00
|
USD
|
1,692
|
(48,085
)
|
|
Amazon.com, Inc.
|
33
|
06/18/26
|
USD
|
180.00
|
USD
|
687
|
(16,170
)
|
|
Apollo Global Management, Inc.
|
219
|
06/18/26
|
USD
|
105.00
|
USD
|
2,440
|
(152,205
)
|
|
Apple, Inc.
|
60
|
06/18/26
|
USD
|
220.00
|
USD
|
1,523
|
(23,850
)
|
|
Bank of America Corp.
|
141
|
06/18/26
|
USD
|
45.00
|
USD
|
687
|
(20,657
)
|
|
Bank of America Corp.
|
63
|
06/18/26
|
USD
|
40.00
|
USD
|
307
|
(4,032
)
|
|
Boeing Co.
|
14
|
06/18/26
|
USD
|
180.00
|
USD
|
279
|
(9,030
)
|
|
Broadcom, Inc.
|
18
|
06/18/26
|
USD
|
280.00
|
USD
|
557
|
(27,765
)
|
|
Cameco Corp.
|
70
|
06/18/26
|
USD
|
85.00
|
USD
|
760
|
(20,160
)
|
|
Cameco Corp.
|
91
|
06/18/26
|
USD
|
90.00
|
USD
|
988
|
(37,082
)
|
|
Cameco Corp.
|
27
|
06/18/26
|
USD
|
95.00
|
USD
|
293
|
(14,918
)
|
|
Cameco Corp.
|
100
|
06/18/26
|
USD
|
80.00
|
USD
|
1,086
|
(19,800
)
|
|
Capital One Financial Corp.
|
35
|
06/18/26
|
USD
|
190.00
|
USD
|
639
|
(62,475
)
|
|
Caterpillar, Inc.
|
4
|
06/18/26
|
USD
|
600.00
|
USD
|
283
|
(7,670
)
|
|
Cheniere Energy, Inc.
|
17
|
06/18/26
|
USD
|
260.00
|
USD
|
482
|
(17,765
)
|
|
Cisco Systems, Inc.
|
96
|
06/18/26
|
USD
|
70.00
|
USD
|
745
|
(19,824
)
|
|
Cisco Systems, Inc.
|
39
|
06/18/26
|
USD
|
65.00
|
USD
|
303
|
(4,719
)
|
|
CSX Corp.
|
76
|
06/18/26
|
USD
|
35.00
|
USD
|
312
|
(4,370
)
|
|
Edwards Lifesciences Corp.
|
36
|
06/18/26
|
USD
|
70.00
|
USD
|
288
|
(5,760
)
|
|
Eli Lilly & Co.
|
7
|
06/18/26
|
USD
|
900.00
|
USD
|
644
|
(41,510
)
|
|
Eli Lilly & Co.
|
7
|
06/18/26
|
USD
|
850.00
|
USD
|
644
|
(28,367
)
|
|
Estee Lauder Cos., Inc., Class A
|
184
|
06/18/26
|
USD
|
85.00
|
USD
|
1,321
|
(299,000
)
|
|
GE Aerospace
|
9
|
06/18/26
|
USD
|
260.00
|
USD
|
255
|
(9,900
)
|
|
GE Vernova, Inc.
|
14
|
06/18/26
|
USD
|
700.00
|
USD
|
1,222
|
(37,450
)
|
|
Hilton Worldwide Holdings, Inc.
|
26
|
06/18/26
|
USD
|
260.00
|
USD
|
791
|
(12,870
)
|
|
Home Depot, Inc.
|
9
|
06/18/26
|
USD
|
300.00
|
USD
|
296
|
(7,943
)
|
|
Honeywell International, Inc.
|
13
|
06/18/26
|
USD
|
200.00
|
USD
|
294
|
(4,485
)
|
|
Intel Corp.
|
64
|
06/18/26
|
USD
|
36.00
|
USD
|
282
|
(11,296
)
|
|
Intel Corp.
|
513
|
06/18/26
|
USD
|
35.00
|
USD
|
2,264
|
(77,463
)
|
|
Intuitive Surgical, Inc.
|
6
|
06/18/26
|
USD
|
420.00
|
USD
|
277
|
(9,000
)
|
|
iShares Expanded Tech-Software Sector ETF
|
210
|
06/18/26
|
USD
|
75.00
|
USD
|
1,681
|
(61,212
)
|
|
JPMorgan Chase & Co.
|
11
|
06/18/26
|
USD
|
245.00
|
USD
|
324
|
(4,235
)
|
|
Lam Research Corp.
|
38
|
06/18/26
|
USD
|
155.00
|
USD
|
812
|
(23,655
)
|
|
Lam Research Corp.
|
14
|
06/18/26
|
USD
|
170.00
|
USD
|
299
|
(12,740
)
|
|
Lam Research Corp.
|
47
|
06/18/26
|
USD
|
165.00
|
USD
|
1,004
|
(36,895
)
|
|
Mastercard, Inc., Class A
|
6
|
06/18/26
|
USD
|
430.00
|
USD
|
300
|
(4,395
)
|
|
McKesson Corp.
|
3
|
06/18/26
|
USD
|
800.00
|
USD
|
260
|
(6,975
)
|
|
Merck & Co., Inc.
|
26
|
06/18/26
|
USD
|
100.00
|
USD
|
313
|
(4,017
)
|
|
Meta Platforms, Inc., Class A
|
6
|
06/18/26
|
USD
|
550.00
|
USD
|
343
|
(18,915
)
|
|
Micron Technology, Inc.
|
8
|
06/18/26
|
USD
|
320.00
|
USD
|
270
|
(25,960
)
|
|
Micron Technology, Inc.
|
21
|
06/18/26
|
USD
|
270.00
|
USD
|
709
|
(30,765
)
|
|
Microsoft Corp.
|
33
|
06/18/26
|
USD
|
345.00
|
USD
|
1,222
|
(39,187
)
|
|
MongoDB, Inc., Class A
|
11
|
06/18/26
|
USD
|
210.00
|
USD
|
269
|
(17,325
)
|
|
Netflix, Inc.
|
32
|
06/18/26
|
USD
|
80.00
|
USD
|
308
|
(5,440
)
|
|
NVIDIA Corp.
|
138
|
06/18/26
|
USD
|
150.00
|
USD
|
2,407
|
(64,170
)
|
|
NVIDIA Corp.
|
317
|
06/18/26
|
USD
|
140.00
|
USD
|
5,528
|
(92,564
)
|
|
NVIDIA Corp.
|
113
|
06/18/26
|
USD
|
155.00
|
USD
|
1,971
|
(65,257
)
|
|
Oracle Corp.
|
19
|
06/18/26
|
USD
|
130.00
|
USD
|
280
|
(15,865
)
|
|
Palantir Technologies Inc, Class A
|
20
|
06/18/26
|
USD
|
125.00
|
USD
|
293
|
(12,700
)
|
|
Philip Morris International, Inc.
|
18
|
06/18/26
|
USD
|
140.00
|
USD
|
298
|
(4,365
)
|
|
SPDR S&P 500 ETF Trust(a)
|
166
|
06/18/26
|
USD
|
625.00
|
USD
|
10,796
|
(260,980
)
|
|
SPDR S&P 500 ETF Trust(a)
|
144
|
06/18/26
|
USD
|
610.00
|
USD
|
9,365
|
(178,398
)
|
|
Tesla, Inc.
|
9
|
06/18/26
|
USD
|
335.00
|
USD
|
335
|
(13,883
)
|
|
Thermo Fisher Scientific, Inc.
|
6
|
06/18/26
|
USD
|
420.00
|
USD
|
295
|
(4,800
)
|
|
Trane Technologies PLC
|
7
|
06/18/26
|
USD
|
370.00
|
USD
|
292
|
(6,125
)
|
|
VanEck Vectors Semiconductor ETF
|
63
|
06/18/26
|
USD
|
320.00
|
USD
|
2,415
|
(53,676
)
|
|
Vertex Pharmaceuticals, Inc.
|
17
|
06/18/26
|
USD
|
380.00
|
USD
|
759
|
(11,560
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Put (continued)
|
|
|
|
|
|
|
|
|
Vertiv Holdings Co., Class A
|
11
|
06/18/26
|
USD
|
220.00
|
USD
|
276
|
$ (18,453
)
|
|
Vertiv Holdings Co., Class A
|
31
|
06/18/26
|
USD
|
200.00
|
USD
|
777
|
(32,472
)
|
|
Vistra Corp.
|
19
|
06/18/26
|
USD
|
130.00
|
USD
|
286
|
(13,633
)
|
|
Walmart, Inc.
|
49
|
06/18/26
|
USD
|
110.00
|
USD
|
609
|
(10,731
)
|
|
Walt Disney Co.
|
30
|
06/18/26
|
USD
|
85.00
|
USD
|
289
|
(5,760
)
|
|
Wells Fargo & Co.
|
40
|
06/18/26
|
USD
|
65.00
|
USD
|
318
|
(5,120
)
|
|
ASML Holding NV
|
34
|
06/19/26
|
EUR
|
920.00
|
EUR
|
3,805
|
(130,178
)
|
|
NVIDIA Corp.
|
544
|
07/17/26
|
USD
|
140.00
|
USD
|
9,487
|
(212,160
)
|
|
Alphabet, Inc., Class C
|
55
|
09/18/26
|
USD
|
210.00
|
USD
|
1,578
|
(23,650
)
|
|
Amazon.com, Inc.
|
74
|
09/18/26
|
USD
|
155.00
|
USD
|
1,541
|
(31,265
)
|
|
Broadcom, Inc.
|
48
|
09/18/26
|
USD
|
280.00
|
USD
|
1,486
|
(121,200
)
|
|
Broadcom, Inc.
|
51
|
09/18/26
|
USD
|
210.00
|
USD
|
1,579
|
(36,210
)
|
|
NVIDIA Corp.
|
76
|
09/18/26
|
USD
|
150.00
|
USD
|
1,325
|
(68,970
)
|
|
NVIDIA Corp.
|
92
|
09/18/26
|
USD
|
125.00
|
USD
|
1,604
|
(34,500
)
|
|
Taiwan Semiconductor Manufacturing Co., Ltd., ADR
|
46
|
09/18/26
|
USD
|
240.00
|
USD
|
1,555
|
(37,030
)
|
|
|
|
|
|
|
|
|
(6,982,081
)
|
|
|
|
|
|
|
|
|
$ (7,461,002
)
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Description
|
Counterparty
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
|
USD Currency
|
Bank of America N.A.
|
—
|
05/04/26
|
ZAR
|
16.74
|
USD
|
3,388
|
$ (86,360
)
|
|
USD Currency
|
Barclays Bank PLC
|
—
|
05/04/26
|
BRL
|
5.65
|
USD
|
3,386
|
(9,309
)
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
—
|
05/04/26
|
MXN
|
18.05
|
USD
|
3,386
|
(47,176
)
|
|
EUR Currency
|
Deutsche Bank AG
|
—
|
05/15/26
|
MXN
|
20.55
|
EUR
|
1,639
|
(37,968
)
|
|
USD Currency
|
HSBC Bank PLC
|
—
|
05/15/26
|
ZAR
|
17.50
|
USD
|
1,230
|
(15,063
)
|
|
USD Currency
|
HSBC Bank PLC
|
—
|
05/15/26
|
CLP
|
905.00
|
USD
|
820
|
(28,476
)
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
—
|
06/29/26
|
BRL
|
5.35
|
USD
|
2,060
|
(48,832
)
|
|
|
|
|
|
|
|
|
|
(273,184
)
|
|
Put
|
|
|
|
|
|
|
|
|
|
USD Currency
|
Barclays Bank PLC
|
—
|
05/04/26
|
BRL
|
5.15
|
USD
|
3,386
|
(36,261
)
|
|
USD Currency
|
Barclays Bank PLC
|
—
|
05/04/26
|
IDR
|
16,400.00
|
USD
|
1,270
|
(202
)
|
|
USD Currency
|
Barclays Bank PLC
|
—
|
05/04/26
|
COP
|
3,520.00
|
USD
|
847
|
(1,290
)
|
|
KOSPI 200 Index
|
JPMorgan Chase Bank N.A.
|
12
|
05/14/26
|
KRW
|
750.00
|
KRW
|
2,233,710
|
(114,868
)
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
—
|
05/14/26
|
ZAR
|
16.30
|
USD
|
4,107
|
(21,758
)
|
|
USD Currency
|
UBS AG
|
—
|
05/14/26
|
MXN
|
17.55
|
USD
|
4,098
|
(25,654
)
|
|
EUR Currency
|
Deutsche Bank AG
|
—
|
05/15/26
|
MXN
|
20.55
|
EUR
|
1,639
|
(12,498
)
|
|
USD Currency
|
HSBC Bank PLC
|
—
|
05/15/26
|
CLP
|
905.00
|
USD
|
820
|
(10,273
)
|
|
USD Currency
|
Morgan Stanley & Co. International PLC
|
—
|
06/29/26
|
BRL
|
5.35
|
USD
|
2,060
|
(73,901
)
|
|
SK Hynix, Inc.
|
Morgan Stanley & Co. International PLC
|
9,044
|
09/10/26
|
KRW
|
800,000.00
|
KRW
|
7,298,508
|
(991,895
)
|
|
|
|
|
|
|
|
|
|
(1,288,600
)
|
|
|
|
|
|
|
|
|
|
$ (1,561,784
)
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
|
|
Description
|
Rate/Reference
|
|
Rate/Reference
|
Frequency
|
Counterparty
|
Expiration
Date
|
Credit
Rating(a)
|
Exercise
Price
|
Notional
Amount (000)(b)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
|
Bought Protection on 5-Year
Credit Default Swap,
12/20/30
|
iTraxx.XO.44.V1
|
|
5.00%
|
Quarterly
|
JPMorgan Chase
Bank N.A.
|
06/17/26
|
—
|
EUR 300.00
|
EUR
|
3,209
|
$ (29,831
)
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold Protection on 5-Year Credit
Default Swap, 12/20/30
|
iTraxx.XO.44.V1
|
|
5.00%
|
Quarterly
|
JPMorgan Chase
Bank N.A.
|
06/17/26
|
N/R
|
EUR 300.00
|
EUR
|
3,209
|
(83,050
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (112,881
)
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Interest Rate Swap, 05/02/56
|
3.25%
|
Annual
|
1-day SOFR,
3.68%
|
Annual
|
Bank of America N.A.
|
04/30/26
|
3.25
%
|
USD
|
13,607
|
$ (232
)
|
|
1-Year Interest Rate Swap, 06/10/27
|
2.50%
|
Annual
|
1-day SOFR,
3.68%
|
Annual
|
Goldman Sachs
International
|
06/08/26
|
2.50
|
USD
|
66,223
|
(5,519
)
|
|
10-Year Interest Rate Swap, 12/18/36
|
3.20%
|
Annual
|
1-day SOFR,
3.68%
|
Annual
|
Citibank N.A.
|
12/16/26
|
3.20
|
USD
|
5,212
|
(27,515
)
|
|
|
|
|
|
|
|
|
|
|
|
(33,266
)
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 04/25/36
|
6-mo.
EURIBOR,
2.48%
|
Semi-Annual
|
2.94%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
04/23/26
|
2.94
|
EUR
|
13,198
|
(220,743
)
|
|
1-Year Interest Rate Swap, 06/10/27
|
1-day SOFR,
3.68%
|
Annual
|
3.50%
|
Annual
|
Goldman Sachs
International
|
06/08/26
|
3.50
|
USD
|
66,223
|
(194,566
)
|
|
2-Year Interest Rate Swap, 08/05/28
|
1-day SOFR,
3.68%
|
Annual
|
3.70%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
08/03/26
|
3.70
|
USD
|
50,890
|
(199,310
)
|
|
2-Year Interest Rate Swap, 09/16/28
|
1-day SOFR,
3.68%
|
Annual
|
3.80%
|
Annual
|
Deutsche Bank AG
|
09/14/26
|
3.80
|
USD
|
50,220
|
(187,495
)
|
|
2-Year Interest Rate Swap, 10/23/28
|
1-day SOFR,
3.68%
|
Annual
|
3.85%
|
Annual
|
Goldman Sachs
International
|
10/21/26
|
3.85
|
USD
|
60,310
|
(229,439
)
|
|
10-Year Interest Rate Swap, 12/18/36
|
1-day SOFR,
3.68%
|
Annual
|
4.60%
|
Annual
|
Citibank N.A.
|
12/16/26
|
4.60
|
USD
|
2,606
|
(18,048
)
|
|
2-Year Interest Rate Swap, 09/22/29
|
1-day SOFR,
3.68%
|
Annual
|
4.30%
|
Annual
|
Goldman Sachs
International
|
09/20/27
|
4.30
|
USD
|
72,339
|
(281,676
)
|
|
2-Year Interest Rate Swap, 12/10/29
|
1-day SOFR,
3.68%
|
Annual
|
4.00%
|
Annual
|
Nomura International
PLC
|
12/08/27
|
4.00
|
USD
|
27,884
|
(164,177
)
|
|
2-Year Interest Rate Swap, 12/18/29
|
1-day SOFR,
3.68%
|
Annual
|
4.50%
|
Annual
|
Deutsche Bank AG
|
12/16/27
|
4.50
|
USD
|
42,042
|
(150,705
)
|
|
|
|
|
|
|
|
|
|
|
|
(1,646,159
)
|
|
|
|
|
|
|
|
|
|
|
|
$ (1,679,425
)
|
|
Reference Obligation/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.44.V2
|
5.00
%
|
Quarterly
|
06/20/30
|
USD
|
4,174
|
$ (250,483
)
|
$ (248,120
)
|
$ (2,363
)
|
|
CDX.NA.HY.45.V2
|
5.00
|
Quarterly
|
12/20/30
|
USD
|
1,388
|
(75,494
)
|
(87,381
)
|
11,887
|
|
iTraxx.XO.45.V1
|
5.00
|
Quarterly
|
06/20/31
|
EUR
|
9,079
|
(673,910
)
|
(664,733
)
|
(9,177
)
|
|
|
|
|
|
|
|
$ (999,887
)
|
$ (1,000,234
)
|
$ 347
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.41.V2
|
5.00
%
|
Quarterly
|
12/20/28
|
B-
|
USD
|
3,368
|
$ 177,648
|
$ 58,602
|
$ 119,046
|
|
iTraxx.XO.42.V4
|
5.00
|
Quarterly
|
12/20/29
|
CCC
|
EUR
|
22,763
|
1,927,961
|
1,509,189
|
418,772
|
|
iTraxx.XO.43.V3
|
5.00
|
Quarterly
|
06/20/30
|
CCC+
|
EUR
|
938
|
86,729
|
78,470
|
8,259
|
|
|
|
|
|
|
|
|
$ 2,192,338
|
$ 1,646,261
|
$ 546,077
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
1-day SOFR, 3.68%
|
Annual
|
4.40%
|
Annual
|
N/A
|
04/08/26
|
USD
|
43,825
|
$ 113,067
|
$ 2
|
$ 113,065
|
|
1-day SOFR, 3.68%
|
Annual
|
4.45%
|
Annual
|
N/A
|
04/09/26
|
USD
|
16,044
|
49,889
|
1
|
49,888
|
|
1-day SOFR, 3.68%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/18/26
|
USD
|
25,216
|
(19,590
)
|
3
|
(19,593
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.30%
|
Annual
|
N/A
|
04/24/26
|
USD
|
30,249
|
56,762
|
4
|
56,758
|
|
1-day SOFR, 3.68%
|
Annual
|
4.50%
|
Annual
|
N/A
|
05/08/26
|
USD
|
25,254
|
105,489
|
6
|
105,483
|
|
1-day SOFR, 3.68%
|
Annual
|
4.35%
|
Annual
|
N/A
|
07/22/26
|
USD
|
11,267
|
45,536
|
8
|
45,528
|
|
4.69%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
10/02/26
|
USD
|
115,533
|
(1,010,177
)
|
(4,338
)
|
(1,005,839
)
|
|
1-day SOFR, 3.68%
|
At Termination
|
4.17%
|
At Termination
|
N/A
|
10/23/26
|
USD
|
19,696
|
76,889
|
20
|
76,869
|
|
1-day SOFR, 3.68%
|
At Termination
|
4.21%
|
At Termination
|
N/A
|
10/27/26
|
USD
|
39,419
|
173,181
|
41
|
173,140
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
10/28/26
|
USD
|
39,747
|
91,439
|
53
|
91,386
|
|
1-day SOFR, 3.68%
|
Annual
|
4.07%
|
Annual
|
N/A
|
01/14/27
|
USD
|
36,165
|
126,345
|
66
|
126,279
|
|
1-day SOFR, 3.68%
|
Annual
|
3.47%
|
Annual
|
N/A
|
03/10/27
|
USD
|
9,910
|
(23,157
)
|
21
|
(23,178
)
|
|
1-day MIBOR, 6.98%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/27
|
INR
|
203,365
|
5,185
|
16
|
5,169
|
|
1-day SOFR, 3.68%
|
Annual
|
4.10%
|
Annual
|
N/A
|
05/30/27
|
USD
|
30,153
|
132,044
|
79
|
131,965
|
|
1-day SOFR, 3.68%
|
Annual
|
4.15%
|
Annual
|
N/A
|
05/30/27
|
USD
|
30,153
|
161,845
|
84
|
161,761
|
|
1-day SOFR, 3.68%
|
Annual
|
3.30%
|
Annual
|
N/A
|
10/23/27
|
USD
|
7,036
|
(57,024
)
|
25
|
(57,049
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.20%
|
Annual
|
N/A
|
10/23/27
|
USD
|
10,250
|
97,480
|
37
|
97,443
|
|
1-day SOFR, 3.68%
|
Annual
|
3.92%
|
Annual
|
N/A
|
11/03/27
|
USD
|
4,880
|
21,078
|
18
|
21,060
|
|
1-day SOFR, 3.68%
|
Annual
|
3.95%
|
Annual
|
N/A
|
11/03/27
|
USD
|
4,880
|
23,935
|
18
|
23,917
|
|
1-day SOFR, 3.68%
|
Annual
|
3.99%
|
Annual
|
N/A
|
11/03/27
|
USD
|
9,761
|
54,535
|
36
|
54,499
|
|
1-day SOFR, 3.68%
|
Annual
|
4.07%
|
Annual
|
N/A
|
11/03/27
|
USD
|
19,787
|
143,444
|
72
|
143,372
|
|
1-day SOFR, 3.68%
|
Annual
|
3.86%
|
Annual
|
N/A
|
11/10/27
|
USD
|
20,267
|
66,608
|
75
|
66,533
|
|
1-day SOFR, 3.68%
|
At Termination
|
3.23%
|
At Termination
|
12/11/26
(a)
|
12/11/27
|
USD
|
32,850
|
(122,799
)
|
59
|
(122,858
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.48%
|
Annual
|
N/A
|
01/23/28
|
USD
|
27,289
|
(91,779
)
|
107
|
(91,886
)
|
|
3.45%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
01/26/28
|
USD
|
24,493
|
98,439
|
97
|
98,342
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/26/28
|
USD
|
24,493
|
162,244
|
97
|
162,147
|
|
3.27%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
02/05/28
|
USD
|
24,747
|
181,922
|
99
|
181,823
|
|
1-day SOFR, 3.68%
|
Annual
|
3.87%
|
Annual
|
N/A
|
02/05/28
|
USD
|
24,747
|
105,876
|
99
|
105,777
|
|
1-day SONIA, 3.73%
|
At Termination
|
3.18%
|
At Termination
|
02/10/27
(a)
|
02/10/28
|
GBP
|
42,829
|
(596,575
)
|
262
|
(596,837
)
|
|
1.32%
|
Annual
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
N/A
|
03/30/28
|
JPY
|
491,226
|
2,187
|
15
|
2,172
|
|
1.32%
|
Annual
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
N/A
|
03/30/28
|
JPY
|
483,502
|
2,286
|
14
|
2,272
|
|
1.34%
|
Annual
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
N/A
|
03/30/28
|
JPY
|
486,151
|
1,108
|
14
|
1,094
|
|
1.38%
|
Annual
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
N/A
|
03/30/28
|
JPY
|
448,965
|
(1,428
)
|
15
|
(1,443
)
|
|
1.39%
|
Annual
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
N/A
|
03/30/28
|
JPY
|
486,379
|
(1,907
)
|
14
|
(1,921
)
|
|
1-day SONIA, 3.73%
|
Annual
|
4.86%
|
Annual
|
N/A
|
06/20/28
|
GBP
|
6,480
|
168,000
|
(10
)
|
168,010
|
|
1-day SOFR, 3.68%
|
Annual
|
3.50%
|
Annual
|
N/A
|
08/20/28
|
USD
|
22,532
|
(122,422
)
|
80
|
(122,502
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.42%
|
Annual
|
N/A
|
10/02/28
|
USD
|
81,301
|
1,811,251
|
10,174
|
1,801,077
|
|
1-day SOFR, 3.68%
|
Annual
|
4.40%
|
Annual
|
N/A
|
10/31/28
|
USD
|
13,191
|
292,875
|
68
|
292,807
|
|
1-day SONIA, 3.73%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/17/28
|
GBP
|
6,091
|
(12,100
)
|
157
|
(12,257
)
|
|
1-day SONIA, 3.73%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/21/28
|
GBP
|
6,085
|
(11,957
)
|
160
|
(12,117
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.25%
|
Annual
|
12/15/26
(a)
|
12/15/28
|
USD
|
21,232
|
(117,159
)
|
97
|
(117,256
)
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
6-mo. EURIBOR, 2.48%
|
Semi-Annual
|
3.00%
|
Annual
|
N/A
|
03/05/29
|
EUR
|
15,660
|
$ 114,855
|
$ 100
|
$ 114,755
|
|
1-day MIBOR, 6.98%
|
Semi-Annual
|
6.26%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
62,930
|
(5,552
)
|
8
|
(5,560
)
|
|
1-day MIBOR, 6.98%
|
Semi-Annual
|
6.30%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
76,915
|
(5,969
)
|
10
|
(5,979
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.79%
|
Annual
|
N/A
|
03/29/29
|
USD
|
35,313
|
204,670
|
199
|
204,471
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/08/29
|
USD
|
21,208
|
218,461
|
124
|
218,337
|
|
1-day SOFR, 3.68%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/09/29
|
USD
|
16,044
|
196,386
|
94
|
196,292
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/18/29
|
USD
|
25,216
|
264,970
|
149
|
264,821
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/24/29
|
USD
|
12,604
|
134,337
|
75
|
134,262
|
|
6-mo. EURIBOR, 2.48%
|
Semi-Annual
|
2.90%
|
Annual
|
N/A
|
04/30/29
|
EUR
|
17,653
|
398,655
|
115
|
398,540
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
05/06/29
|
USD
|
25,231
|
276,212
|
151
|
276,061
|
|
6-mo. EURIBOR, 2.48%
|
Semi-Annual
|
2.87%
|
Annual
|
N/A
|
06/11/29
|
EUR
|
12,874
|
259,495
|
90
|
259,405
|
|
1-day SOFR, 3.68%
|
Annual
|
3.66%
|
Annual
|
N/A
|
10/10/29
|
USD
|
12,616
|
17,800
|
86
|
17,714
|
|
1-day TIIEFONDEO, 6.94%
|
Monthly
|
9.04%
|
Monthly
|
N/A
|
11/14/29
|
MXN
|
81,548
|
156,903
|
28
|
156,875
|
|
1-day SONIA, 3.73%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/16/30
|
GBP
|
6,749
|
(56,544
)
|
181
|
(56,725
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/23/30
|
USD
|
13,498
|
204,059
|
99
|
203,960
|
|
1-day SOFR, 3.68%
|
Annual
|
3.23%
|
Annual
|
N/A
|
02/19/30
|
USD
|
14,200
|
(195,649
)
|
107
|
(195,756
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.90%
|
Annual
|
N/A
|
02/24/30
|
USD
|
12,058
|
137,515
|
91
|
137,424
|
|
6-mo. EURIBOR, 2.48%
|
Semi-Annual
|
2.20%
|
Annual
|
N/A
|
06/04/30
|
EUR
|
2,989
|
(50,028
)
|
29
|
(50,057
)
|
|
0.02%
|
Annual
|
6-mo. EURIBOR, 2.48%
|
Semi-Annual
|
N/A
|
08/26/31
|
EUR
|
9,317
|
1,550,855
|
113
|
1,550,742
|
|
1-day ESTR, 2,435.99%
|
Annual
|
2.34%
|
Annual
|
01/19/28
(a)
|
01/19/33
|
EUR
|
7,414
|
(159,495
)
|
104
|
(159,599
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.14%
|
Annual
|
05/12/28
(a)
|
05/12/33
|
USD
|
13,769
|
(381,427
)
|
127
|
(381,554
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.31%
|
Annual
|
N/A
|
09/29/33
|
USD
|
121,626
|
4,651,401
|
8,295
|
4,643,106
|
|
4.40%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
11/01/33
|
USD
|
11,317
|
(504,046
)
|
150
|
(504,196
)
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/12/34
|
USD
|
9,940
|
159,527
|
128
|
159,399
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/17/34
|
USD
|
2,863
|
45,721
|
37
|
45,684
|
|
1-day MIBOR, 6.98%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
25,865
|
(9,709
)
|
5
|
(9,714
)
|
|
1-day MIBOR, 6.98%
|
Semi-Annual
|
6.35%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
25,865
|
(9,546
)
|
5
|
(9,551
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.66%
|
Annual
|
N/A
|
10/10/34
|
USD
|
8,496
|
(99,809
)
|
123
|
(99,932
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.67%
|
Annual
|
N/A
|
12/26/34
|
USD
|
13,998
|
(155,095
)
|
207
|
(155,302
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.70%
|
Annual
|
N/A
|
01/06/35
|
USD
|
10,993
|
(97,678
)
|
163
|
(97,841
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.75%
|
Annual
|
N/A
|
03/27/35
|
USD
|
10,876
|
(58,842
)
|
165
|
(59,007
)
|
|
1-day SOFR, 3.68%
|
Annual
|
3.75%
|
Annual
|
N/A
|
07/09/35
|
USD
|
5,392
|
(48,160
)
|
82
|
(48,242
)
|
|
3.46%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
12/15/26
(a)
|
12/15/36
|
USD
|
4,853
|
183,818
|
80
|
183,738
|
|
4.25%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
09/29/43
|
USD
|
1,467
|
(21,535
)
|
918
|
(22,453
)
|
|
3.65%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
447,384
|
162
|
447,222
|
|
1-day SOFR, 3.68%
|
Annual
|
4.00%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
(136,949
)
|
162
|
(137,111
)
|
|
3.65%
|
Annual
|
1-day SOFR, 3.68%
|
Annual
|
N/A
|
11/02/54
|
USD
|
31,110
|
2,659,720
|
9,650
|
2,650,070
|
|
1-day SONIA, 3.73%
|
Annual
|
4.10%
|
Annual
|
N/A
|
11/07/54
|
GBP
|
2,400
|
(347,467
)
|
11,198
|
(358,665
)
|
|
1-day SONIA, 3.73%
|
Annual
|
4.45%
|
Annual
|
N/A
|
12/04/55
|
GBP
|
2,108
|
(148,847
)
|
63
|
(148,910
)
|
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
2.87%
|
Annual
|
N/A
|
03/30/56
|
JPY
|
138,799
|
(27,044
)
|
31
|
(27,075
)
|
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
2.88%
|
Annual
|
N/A
|
03/30/56
|
JPY
|
138,957
|
(24,229
)
|
31
|
(24,260
)
|
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
2.89%
|
Annual
|
N/A
|
03/30/56
|
JPY
|
139,859
|
(23,223
)
|
31
|
(23,254
)
|
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
2.95%
|
Annual
|
N/A
|
03/30/56
|
JPY
|
138,699
|
(12,821
)
|
31
|
(12,852
)
|
|
Tokyo Overnight Average
Rate, 0.73%
|
Annual
|
2.98%
|
Annual
|
N/A
|
03/30/56
|
JPY
|
163,477
|
(7,787
)
|
36
|
(7,823
)
|
|
|
|
|
$ 11,878,158
|
$ 41,798
|
$ 11,836,360
|
|||||
|
(a)
|
Forward Swap.
|
|
Paid by the Trust
|
Received by the Trust
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
|
|||||
|
Eurostat Eurozone HICP Ex
Tobacco Unrevised
|
At Termination
|
2.69%
|
At Termination
|
08/15/32
|
EUR
|
1,425
|
$ 17,241
|
$ 30
|
$ 17,211
|
|
Reference Obligations/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
UBS Group AG
|
1.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
3,700
|
$ (65,340
)
|
$ 60,229
|
$ (125,569
)
|
|
UBS Group AG
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
2,160
|
(38,145
)
|
33,927
|
(72,072
)
|
|
Boeing, Co.
|
1.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
USD
|
800
|
(11,023
)
|
(2,226
)
|
(8,797
)
|
|
Boeing, Co.
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/29
|
USD
|
800
|
(11,830
)
|
6,429
|
(18,259
)
|
|
|
|
|
|
|
|
|
$ (126,338
)
|
$ 98,359
|
$ (224,697
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Altice France SA
|
5.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/27
|
CCC+
|
EUR
|
332
|
$ 12,651
|
$ 6,699
|
$ 5,952
|
|
Altice France SA
|
5.00
|
Quarterly
|
Morgan Stanley & Co.
International PLC
|
06/20/27
|
CCC+
|
EUR
|
105
|
4,001
|
2,840
|
1,161
|
|
Altice France SA
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/27
|
CCC+
|
EUR
|
130
|
6,543
|
6,199
|
344
|
|
Altice France SA
|
5.00
|
Quarterly
|
Morgan Stanley & Co.
International PLC
|
12/20/27
|
CCC+
|
EUR
|
82
|
4,126
|
3,118
|
1,008
|
|
Virgin Media Finance PLC
|
5.00
|
Quarterly
|
Goldman Sachs International
|
12/20/28
|
B-
|
EUR
|
90
|
5,445
|
7,148
|
(1,703
)
|
|
Virgin Media Finance PLC
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/28
|
B-
|
EUR
|
148
|
8,953
|
12,186
|
(3,233
)
|
|
ZF Europe Finance B.V.
|
5.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
BB-
|
EUR
|
145
|
10,868
|
9,585
|
1,283
|
|
iTraxx.XO.42 10-20%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
CCC
|
EUR
|
290
|
2,177
|
18,461
|
(16,284
)
|
|
iTraxx.XO.42 10-20%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
CCC
|
EUR
|
290
|
2,178
|
18,900
|
(16,722
)
|
|
iTraxx.XO.42.V3 20-35%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
CCC
|
EUR
|
662
|
80,062
|
82,778
|
(2,716
)
|
|
Eutelsat S.A.
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/30
|
N/R
|
EUR
|
143
|
23,806
|
17,577
|
6,229
|
|
Eutelsat S.A.
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/30
|
N/R
|
EUR
|
191
|
31,720
|
24,506
|
7,214
|
|
Faurecia SE
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/30
|
BB-
|
EUR
|
103
|
9,873
|
9,494
|
379
|
|
Vistra Operations Company LLC
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/30
|
N/R
|
USD
|
80
|
13,424
|
13,921
|
(497
)
|
|
Ziggo Bond Company B.V.
|
5.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/30
|
B-
|
EUR
|
169
|
(5,402
)
|
4,772
|
(10,174
)
|
|
|
|
|
|
|
|
|
|
$ 210,425
|
$ 238,184
|
$ (27,759
)
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
China Fixing Repo
Rates 7-day,
1.49%
|
Quarterly
|
2.60%
|
Quarterly
|
Morgan Stanley & Co.
International PLC
|
N/A
|
09/15/26
|
CNY
|
157,107
|
$ 125,035
|
$ —
|
$ 125,035
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.06%
|
At Termination
|
JPMorgan Chase Bank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,158
|
(329,963
)
|
—
|
(329,963
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.03%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
12,635
|
(298,029
)
|
—
|
(298,029
)
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.12%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
96
|
$ (2,202
)
|
$ —
|
$ (2,202
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.16%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
17,910
|
(411,189
)
|
—
|
(411,189
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.12%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
17,183
|
(394,185
)
|
—
|
(394,185
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.35%
|
At Termination
|
Barclays Bank PLC
|
N/A
|
01/04/27
|
BRL
|
29,050
|
(608,652
)
|
—
|
(608,652
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
9.99%
|
At Termination
|
Citibank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,191
|
(338,652
)
|
—
|
(338,652
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.00%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
14,578
|
(342,261
)
|
—
|
(342,261
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
10.03%
|
At Termination
|
Morgan Stanley & Co.
International PLC
|
N/A
|
01/04/27
|
BRL
|
14,173
|
(334,015
)
|
—
|
(334,015
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
12.95%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
6,259
|
(40,309
)
|
—
|
(40,309
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
13.00%
|
At Termination
|
Barclays Bank PLC
|
N/A
|
01/02/29
|
BRL
|
11,207
|
(68,071
)
|
—
|
(68,071
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
13.00%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
7,285
|
(44,246
)
|
—
|
(44,246
)
|
|
1-day BZDIOVER,
0.05%
|
At Termination
|
13.12%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
29,259
|
(155,264
)
|
—
|
(155,264
)
|
|
|
|
|
|
$ (3,242,003
)
|
$ —
|
$ (3,242,003
)
|
|||||
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate/Reference
|
Frequency
|
Rate/Reference
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Microsoft Corp.
|
Quarterly
|
1-day SOFR plus
0.25%, 3.68%
|
Quarterly
|
JPMorgan Chase
Bank N.A.
|
N/A
|
06/18/26
|
USD
|
226
|
$ 12,618
|
$ —
|
$ 12,618
|
|
Rheinmetall AG
|
At Termination
|
1-day ESTR ,
2,435.99%
|
At Termination
|
Citibank N.A.
|
N/A
|
06/19/26
|
EUR
|
844
|
40,859
|
(52
)
|
40,911
|
|
iShares iBoxx $
High Yield
Corporate Bond
ETF
|
At Termination
|
1-day SOFR minus
1.35%, 3.68%
|
At Termination
|
Citibank N.A.
|
N/A
|
06/22/26
|
USD
|
2,637
|
(19,870
)
|
—
|
(19,870
)
|
|
1-day SOFR minus
1.00%, 3.68%
|
At Termination
|
iShares iBoxx $
High Yield
Corporate Bond
ETF
|
At Termination
|
Morgan Stanley &
Co. International
PLC
|
N/A
|
06/22/26
|
USD
|
1,799
|
13,270
|
131
|
13,139
|
|
1-day SOFR minus
0.80%, 3.68%
|
At Termination
|
iShares iBoxx $
High Yield
Corporate Bond
ETF
|
At Termination
|
BNP Paribas SA
|
N/A
|
06/22/26
|
USD
|
4,214
|
31,181
|
—
|
31,181
|
|
1-day SOFR minus
0.70%, 3.68%
|
At Termination
|
iShares iBoxx $
High Yield
Corporate Bond
ETF
|
At Termination
|
JPMorgan Chase
Bank N.A.
|
N/A
|
06/22/26
|
USD
|
2,280
|
16,811
|
—
|
16,811
|
|
1-day SOFR plus
0.21%, 3.68%
|
At Termination
|
iShares Broad USD
High Yield
Corporate Bond
ETF
|
At Termination
|
BNP Paribas SA
|
N/A
|
06/22/26
|
USD
|
2,362
|
17,117
|
—
|
17,117
|
|
|
|
|
|
|
|
|
|
|
$ 111,986
|
$ 79
|
$ 111,907
|
|
Reference Entity
|
Counterparty
|
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts(a)
|
||||||||
|
AMC Networks, Inc., Class A
|
Barclays Bank PLC
|
$ 188,593
|
08/23/26
|
0.20%
|
1D OBFR01
|
Monthly
|
$ (3,810
)
|
|
|
AMC Networks, Inc., Class A
|
JPMorgan Chase Bank N.A.
|
446,735
|
02/09/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(69,924
)
|
|
|
Eagle Bancorp, Inc.
|
JPMorgan Chase Bank N.A.
|
85,332
|
02/09/27
|
0.20%
|
1D OBFR01
|
Monthly
|
(376
)
|
|
|
Total long positions of equity swaps
|
|
|
|
|
(74,110
)
|
|||
|
Short Contracts(b)
|
||||||||
|
Community Bank System, Inc.
|
JPMorgan Chase Bank N.A.
|
(82,553)
|
02/09/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(495
)
|
|
|
CVB Financial Corp.
|
JPMorgan Chase Bank N.A.
|
(71,977)
|
02/09/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(561
)
|
|
|
iShares iBoxx $ Investment Grade
Corporate Bond ETF
|
JPMorgan Chase Bank N.A.
|
(2,388,503)
|
02/09/27
|
(3.27)%
|
1D OBFR01
|
Monthly
|
39,442
|
|
|
LANXESS AG
|
JPMorgan Chase Bank N.A.
|
(460,051)
|
02/10/27
|
0.00%
|
1D ESTR
|
Monthly
|
(270,388
)
|
|
|
Pagaya Technologies, Ltd., Class A
|
Barclays Bank PLC
|
(492,804)
|
08/23/26
|
(0.38)%
|
1D OBFR01
|
Monthly
|
2,106
|
|
|
Pagaya Technologies, Ltd., Class A
|
JPMorgan Chase Bank N.A.
|
(240,667)
|
02/09/27
|
(0.15)%
|
1D OBFR01
|
Monthly
|
(1,455
)
|
|
|
SPDR Bloomberg High Yield Bond
ETF
|
Citibank N.A.
|
(4,749,406)
|
02/24/28
|
(3.14)%
|
1D OBFR01
|
Monthly
|
(10,941
)
|
|
|
Vanguard Intermediate-Term
Corporate Bond ETF
|
JPMorgan Chase Bank N.A.
|
(1,610,641)
|
02/09/27
|
(0.47)%
|
1D OBFR01
|
Monthly
|
22,834
|
|
|
Total short positions of equity swaps
|
|
|
|
|
(219,458
)
|
|||
|
Total long and short positions of equity swaps
|
|
|
|
|
(293,568
)
|
|||
|
Net dividends and financing fees
|
|
|
|
|
(16,647
)
|
|||
|
Total equity swap contracts including dividends and financing fees
|
|
|
|
|
$ (310,215
)
|
|||
|
(a)
|
The Trust receives the total return on a reference entity and pays a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon the
country and/or currency of the individual underlying position.
|
|
(b)
|
The Trust pays the total return on a reference entity and receives a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon the
country and/or currency of the individual underlying position.
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Long-Term Investments
|
|
|
|
|
|
Asset-Backed Securities
|
$ —
|
$ 57,625,522
|
$ 5,953,510
|
$ 63,579,032
|
|
Common Stocks
|
|
|
|
|
|
Brazil
|
323,327
|
—
|
—
|
323,327
|
|
Canada
|
24,207,098
|
—
|
—
|
24,207,098
|
|
Chile
|
—
|
—
|
13,777
|
13,777
|
|
China
|
361,701
|
11,416,892
|
—
|
11,778,593
|
|
Denmark
|
—
|
6,117,158
|
—
|
6,117,158
|
|
France
|
—
|
23,983,357
|
—
|
23,983,357
|
|
Germany
|
—
|
2,720,248
|
—
|
2,720,248
|
|
India
|
—
|
4,292,687
|
—
|
4,292,687
|
|
Israel
|
—
|
—
|
3,966
|
3,966
|
|
Italy
|
—
|
22,704,339
|
—
|
22,704,339
|
|
Luxembourg
|
—
|
—
|
49,932
|
49,932
|
|
Macau
|
—
|
275,396
|
—
|
275,396
|
|
Netherlands
|
—
|
21,682,634
|
—
|
21,682,634
|
|
South Korea
|
—
|
8,237,107
|
—
|
8,237,107
|
|
Spain
|
—
|
623,236
|
—
|
623,236
|
|
Sweden
|
—
|
—
|
—
|
—
|
|
Taiwan
|
25,058,993
|
3,354,402
|
—
|
28,413,395
|
|
United Kingdom
|
622,136
|
49,711,805
|
279,481
|
50,613,422
|
|
United States
|
620,674,696
|
7,721,518
|
41,738,316
|
670,134,530
|
|
Corporate Bonds
|
|
|
|
|
|
Angola
|
—
|
605,216
|
—
|
605,216
|
|
Argentina
|
—
|
150,005
|
—
|
150,005
|
|
Australia
|
—
|
430,301
|
6,601,888
|
7,032,189
|
|
Belgium
|
—
|
196,262
|
—
|
196,262
|
|
Brazil
|
—
|
708,999
|
—
|
708,999
|
|
Canada
|
—
|
12,253,046
|
—
|
12,253,046
|
|
Chile
|
—
|
489,538
|
—
|
489,538
|
|
China
|
—
|
724,163
|
—
|
724,163
|
|
Colombia
|
—
|
394,472
|
—
|
394,472
|
|
Denmark
|
—
|
151,922
|
—
|
151,922
|
|
Finland
|
—
|
281,568
|
—
|
281,568
|
|
France
|
627,476
|
3,203,181
|
6,402,165
|
10,232,822
|
|
Germany
|
228,271
|
4,541,578
|
3,798,695
|
8,568,544
|
|
India
|
—
|
1,742,233
|
5,212,251
|
6,954,484
|
|
Indonesia
|
—
|
386,714
|
—
|
386,714
|
|
Ireland
|
—
|
450,890
|
—
|
450,890
|
|
Israel
|
—
|
112,455
|
—
|
112,455
|
|
Italy
|
—
|
4,816,526
|
—
|
4,816,526
|
|
Japan
|
—
|
1,281,496
|
—
|
1,281,496
|
|
Jersey
|
—
|
407,039
|
—
|
407,039
|
|
Kuwait
|
—
|
293,937
|
—
|
293,937
|
|
Luxembourg
|
—
|
4,708,584
|
—
|
4,708,584
|
|
Macau
|
—
|
378,628
|
—
|
378,628
|
|
Mexico
|
—
|
396,984
|
—
|
396,984
|
|
Morocco
|
—
|
332,316
|
—
|
332,316
|
|
Netherlands
|
—
|
1,432,281
|
—
|
1,432,281
|
|
Panama
|
—
|
219,980
|
—
|
219,980
|
|
Peru
|
—
|
455,021
|
—
|
455,021
|
|
Philippines
|
—
|
195,844
|
—
|
195,844
|
|
Singapore
|
—
|
163,500
|
—
|
163,500
|
|
Slovenia
|
—
|
116,136
|
—
|
116,136
|
|
South Africa
|
—
|
390,092
|
—
|
390,092
|
|
Spain
|
—
|
717,189
|
—
|
717,189
|
|
Sweden
|
—
|
986,297
|
—
|
986,297
|
|
Switzerland
|
—
|
512,834
|
—
|
512,834
|
|
Thailand
|
—
|
445,344
|
—
|
445,344
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Corporate Bonds (continued)
|
|
|
|
|
|
Turkey
|
$ —
|
$ 203,252
|
$ —
|
$ 203,252
|
|
Ukraine
|
—
|
430,927
|
—
|
430,927
|
|
United Kingdom
|
—
|
8,402,533
|
1,255,518
|
9,658,051
|
|
United States
|
—
|
62,933,164
|
29,265,296
|
92,198,460
|
|
Vietnam
|
—
|
142,355
|
—
|
142,355
|
|
Fixed Rate Loan Interests
|
—
|
49,600
|
8,581,806
|
8,631,406
|
|
Floating Rate Loan Interests
|
—
|
44,666,914
|
39,763,420
|
84,430,334
|
|
Foreign Agency Obligations
|
—
|
11,632,264
|
—
|
11,632,264
|
|
Grantor Trust
|
16,406,958
|
—
|
—
|
16,406,958
|
|
Investment Companies
|
17,260,201
|
—
|
—
|
17,260,201
|
|
Municipal Bonds
|
—
|
3,512,697
|
—
|
3,512,697
|
|
Non-Agency Mortgage-Backed Securities
|
—
|
37,485,484
|
15,590,760
|
53,076,244
|
|
Preferred Securities
|
|
|
|
|
|
Capital Trusts
|
—
|
4,621,483
|
—
|
4,621,483
|
|
Preferred Stocks
|
—
|
1,734,956
|
69,682,438
|
71,417,394
|
|
U.S. Government Sponsored Agency Securities
|
—
|
222,208,003
|
—
|
222,208,003
|
|
Warrants
|
|
|
|
|
|
Brazil
|
20
|
—
|
—
|
20
|
|
Israel
|
—
|
—
|
219
|
219
|
|
United Kingdom
|
—
|
—
|
7,304
|
7,304
|
|
United States
|
8,467
|
1,976
|
7,266,981
|
7,277,424
|
|
Short-Term Securities
|
|
|
|
|
|
Money Market Funds
|
29,223,021
|
—
|
—
|
29,223,021
|
|
Options Purchased
|
|
|
|
|
|
Equity Contracts
|
3,373,733
|
31,353
|
—
|
3,405,086
|
|
Foreign Currency Exchange Contracts
|
—
|
202
|
—
|
202
|
|
Interest Rate Contracts
|
—
|
20,367
|
—
|
20,367
|
|
Liabilities
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Unfunded Floating Rate Loan Interests(a)
|
—
|
—
|
(5,178
)
|
(5,178
)
|
|
TBA Sale Commitments
|
—
|
(45,599,446
)
|
—
|
(45,599,446
)
|
|
|
$ 738,376,098
|
$ 618,016,956
|
$ 241,462,545
|
1,597,855,599
|
|
Investments Valued at NAV(b)
|
|
|
|
4,015,153
|
|
|
|
|
|
$ 1,601,870,752
|
|
Derivative Financial Instruments(c)
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Credit Contracts
|
$ —
|
$ 581,534
|
$ —
|
$ 581,534
|
|
Equity Contracts
|
7,885,383
|
196,159
|
—
|
8,081,542
|
|
Foreign Currency Exchange Contracts
|
—
|
4,162,847
|
—
|
4,162,847
|
|
Interest Rate Contracts
|
5,376,433
|
16,747,549
|
—
|
22,123,982
|
|
Other Contracts
|
—
|
17,211
|
—
|
17,211
|
|
Liabilities
|
|
|
|
|
|
Credit Contracts
|
—
|
(400,447
)
|
—
|
(400,447
)
|
|
Equity Contracts
|
(8,238,267
)
|
(1,924,094
)
|
—
|
(10,162,361
)
|
|
Foreign Currency Exchange Contracts
|
—
|
(1,427,779
)
|
—
|
(1,427,779
)
|
|
Interest Rate Contracts
|
(3,560,301
)
|
(9,832,617
)
|
—
|
(13,392,918
)
|
|
|
$ 1,463,248
|
$ 8,120,363
|
$ —
|
$ 9,583,611
|
|
(a)
|
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation)
on the commitment.
|
|
(b)
|
Certain investments of the Trust were fair valued using NAV as a practical expedient
as no quoted market value is available and therefore have been excluded from the fair
value
hierarchy.
|
|
(c)
|
Derivative financial instruments are swaps, futures contracts, forward foreign currency
exchange contracts and options written. Swaps, futures contracts and forward foreign
currency
exchange contracts are valued at the unrealized appreciation (depreciation) on the
instrument and options written are shown at value.
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Fixed
Rate Loan
Interests
|
Floating
Rate Loan
Interests
|
Non-Agency
Mortgage-Backed
Securities
|
Preferred
Stocks
|
|
Assets
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2025
|
$ 6,048,210
|
$ 30,746,323
|
$ 57,112,667
|
$ 8,779,441
|
$ 42,179,586
|
$ 15,116,399
|
$ 72,876,415
|
|
Transfers into Level 3(a)
|
—
|
—
|
1,799,000
|
—
|
498,880
|
—
|
—
|
|
Transfers out of Level 3(b)
|
—
|
—
|
(6,003,510
)
|
—
|
—
|
—
|
—
|
|
Accrued discounts/premiums
|
4,020
|
—
|
31,416
|
1,295
|
38,482
|
62,798
|
—
|
|
Net realized gain (loss)
|
—
|
—
|
—
|
1,479
|
19,137
|
7,900
|
—
|
|
Net change in unrealized appreciation (depreciation)(c)
|
(98,720
)
|
9,575,312
|
(1,610,305
)
|
(6,763
)
|
(2,048,577
)
|
(467,943
)
|
(2,530,976
)
|
|
Purchases
|
—
|
1,763,837
|
1,206,545
|
—
|
2,529,460
|
1,607,772
|
—
|
|
Sales
|
—
|
—
|
—
|
(193,646
)
|
(3,453,548
)
|
(736,166
)
|
(663,001
)
|
|
Closing balance, as of March 31, 2026
|
$ 5,953,510
|
$ 42,085,472
|
$ 52,535,813
|
$ 8,581,806
|
$ 39,763,420
|
$ 15,590,760
|
$ 69,682,438
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
March 31, 2026(c)
|
$ (98,720
)
|
$ 9,575,312
|
$ (1,610,305
)
|
$ (6,763
)
|
$ (2,025,723
)
|
$ (467,943
)
|
$ (2,565,932
)
|
|
|
Unfunded
Floating Rate Loan
Interests
|
Warrants
|
Total
|
|
Assets
|
|
|
|
|
Opening balance, as of December 31, 2025
|
$ (5,073
)
|
$ 6,667,515
|
$ 239,521,483
|
|
Transfers into Level 3(a)
|
—
|
—
|
2,297,880
|
|
Transfers out of Level 3(b)
|
—
|
(1
)
|
(6,003,511
)
|
|
Accrued discounts/premiums
|
—
|
—
|
138,011
|
|
Net realized gain (loss)
|
—
|
(1
)
|
28,515
|
|
Net change in unrealized appreciation (depreciation)(c)
|
(105
)
|
606,991
|
3,418,914
|
|
Purchases
|
—
|
—
|
7,107,614
|
|
Sales
|
—
|
—
|
(5,046,361
)
|
|
Closing balance, as of March 31, 2026
|
$ (5,178
)
|
$ 7,274,504
|
$ 241,462,545
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
March 31, 2026(c)
|
$ 4,496
|
$ 607,010
|
$ 3,411,432
|
|
(a)
|
As of December 31, 2025, the Trust used observable inputs in determining the value
of certain investments. As of March 31, 2026, the Trust used significant unobservable
inputs
in determining the value of the same investments. As a result, investments at beginning
of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
|
|
(b)
|
As of December 31, 2025, the Trust used observable inputs in determining the value
of certain investments. As of March 31, 2026, the Trust used significant unobservable
inputs in
determining the value of the same investments. As a result, investments at beginning
of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
|
|
(c)
|
Any difference between net change in unrealized appreciation (depreciation) and net
change in unrealized appreciation (depreciation) on investments still held at March
31, 2026 is
generally due to investments no longer held or categorized as Level 3 at period end.
|
|
|
Value
|
Valuation
Approach
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
Utilized(a)
|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value
|
|
Assets
|
|
|
|
|
|
|
Common Stocks
|
$42,021,756
|
Market
|
Revenue Multiple
|
1.05x - 32.10x
|
4.82x
|
|
|
|
|
Volatility
|
49% - 80%
|
67%
|
|
|
|
|
Time to Exit
|
1.0 - 3.0 years
|
2.2 years
|
|
|
|
|
EBITDA
|
19.75x - 71.43x
|
67.33x
|
|
|
|
|
Gross Profit Multiple
|
5.25x
|
—
|
|
|
|
|
Discount for lack of marketability
|
11%
|
—
|
|
|
|
|
Risk Free Rate
|
4%
|
—
|
|
|
|
Income
|
Discount Rate
|
10%
|
—
|
|
|
|
|
|
|
|
|
Asset Backed Securities
|
4,696,350
|
Income
|
Discount Rate
|
7%
|
—
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities
|
3,384,974
|
Income
|
Discount Rate
|
8%
|
—
|
|
|
Value
|
Valuation
Approach
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
Utilized(a)
|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
52,535,811
|
Income
|
Discount Rate
|
7% - 34%
|
13%
|
|
|
|
Market
|
Revenue Multiple
|
0.60x
|
—
|
|
|
|
|
Volatility
|
55%
|
—
|
|
|
|
|
Time to Exit
|
0.2 - 1.8 years
|
1.3 years
|
|
|
|
|
Direct Profit Multiple
|
2.00x
|
—
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests
|
37,010,921
|
Income
|
Discount Rate
|
6% - 21%
|
15%
|
|
|
|
|
|
|
|
|
Fixed Rate Loan Interests
|
8,581,806
|
Income
|
Discount Rate
|
7% - 8%
|
7%
|
|
|
|
|
|
|
|
|
Preferred Stocks (b)
|
69,394,284
|
Market
|
Revenue Multiple
|
1.60x - 20.0x
|
7.8x
|
|
|
|
|
Volatility
|
52% - 90%
|
77%
|
|
|
|
|
Time to Exit
|
1.0 - 4.0 years
|
3.1 years
|
|
|
|
|
EBITDA Multiple
|
8.50x
|
—
|
|
|
|
|
EBITDAR Multiple
|
8.25x
|
—
|
|
|
|
|
Market Adjustment Multiple
|
0.20x - 1.10x
|
1.07x
|
|
|
|
Income
|
Discount Rate
|
11% - 16%
|
13%
|
|
|
|
|
|
|
|
|
Warrants
|
7,265,340
|
Market
|
Revenue Multiple
|
5.0x -9.75x
|
9.10x
|
|
|
|
|
Volatility
|
50% - 80%
|
72%
|
|
|
|
|
Time to Exit
|
1.0 - 5.0 years
|
3.5 years
|
|
|
|
|
Discount for lack of marketability
|
|
—
|
|
|
$224,891,242
|
|
|
|
|
|
(a)
|
A significant change in unobservable input could result in a correlated or inverse
change in value.
|
|
(b)
|
The fund valued certain of its Level 3 Preferred Stock using recent transactions
as the best approximation of fair value. The value of Level 3 investments obtained
using recent prior
transaction prices, for which inputs are unobservable, is $6,921,584 as of March 31,
2026.
|
|
Currency Abbreviation
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CHF
|
Swiss Franc
|
|
CLP
|
Chilean Peso
|
|
CNH
|
Chinese Yuan
|
|
CNY
|
Chinese Yuan
|
|
COP
|
Colombian Peso
|
|
DKK
|
Danish Krone
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
HKD
|
Hong Kong Dollar
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
KRW
|
South Korean Won
|
|
MXN
|
Mexican Peso
|
|
NOK
|
Norwegian Krone
|
|
Currency Abbreviation (continued)
|
|
|
SEK
|
Swedish Krona
|
|
SGD
|
Singapore Dollar
|
|
TRY
|
Turkish Lira
|
|
TWD
|
New Taiwan Dollar
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
Portfolio Abbreviation
|
|
|
1D ESTR
|
EUR - 1D Euro Short Term Rate
|
|
1D OBFR01
|
USD - 1D Overnight Bank Funding Rate
|
|
ABS
|
Asset-Backed Security
|
|
ADR
|
American Depositary Receipt
|
|
ARB
|
Airport Revenue Bonds
|
|
BZDIOVER
|
Overnight Brazil Interbank Deposit (CETIP)
|
|
CLO
|
Collateralized Loan Obligation
|
|
CME
|
Chicago Mercantile Exchange
|
|
CMT
|
Constant Maturity Treasury
|
|
CR
|
Custodian Receipt
|
|
DAC
|
Designated Activity Company
|
|
Portfolio Abbreviation (continued)
|
|
|
DIP
|
Debtor-In-Possession
|
|
ESTR
|
Euro Short Term Rate
|
|
ETF
|
Exchange-Traded Fund
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FREMF
|
Freddie Mac Multifamily Securities
|
|
KOSPI
|
Korea Composite Stock Price Index
|
|
MIBOR
|
Mumbai Interbank Offered Rate
|
|
MSCI
|
Morgan Stanley Capital International
|
|
MTA
|
Month Treasury Average
|
|
PCL
|
Public Company Limited
|
|
PIK
|
Payment-in-Kind
|
|
PIPE
|
Private Investment in Public Equity
|
|
RB
|
Revenue Bonds
|
|
S&P
|
Standard & Poor’s
|
|
SAN
|
State Aid Notes
|
|
SCA
|
Societe en Commandite par Actions
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SONIA
|
Sterling Overnight Interbank Average Rate
|
|
SPDR
|
Standard & Poor’s Depository Receipt
|
|
TBA
|
To-Be-Announced
|
|
TIIEFONDEO
|
MXN - Overnight TIIE Funding Rate
|