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THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2026.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 53.5%
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Angola — 0.1%
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||
|
Azule Energy Finance plc 8.25%, 1/22/2031 (a)
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1,960
|
1,999
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Australia — 0.4%
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Glencore Funding LLC
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6.38%, 10/6/2030 (b)
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410
|
434
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2.85%, 4/27/2031 (b)
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7,500
|
6,842
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5.63%, 4/4/2034 (b)
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4,771
|
4,915
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5.67%, 4/1/2035 (b)
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4,440
|
4,568
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Santos Finance Ltd. 5.75%, 11/13/2035 (b)
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310
|
314
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Westpac Banking Corp. (USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 2.24%), 4.32%,
11/23/2031 (c) (d)
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900
|
899
|
|
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17,972
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Austria — 0.1%
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ams-OSRAM AG
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12.25%, 3/30/2029 (b)
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1,818
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1,929
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|
7.25%, 5/31/2032 (b) (e)
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EUR543
|
646
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Benteler International Austria GmbH 7.25%, 6/15/2031 (a)
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EUR744
|
923
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3,498
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Belgium — 0.3%
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Azelis Finance NV 4.13%, 3/10/2031 (b)
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EUR578
|
670
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KBC Group NV
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(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (a) (c) (d) (f) (g)
|
EUR7,200
|
9,049
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (d)
|
1,340
|
1,367
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Ontex Group NV 5.25%, 4/15/2030 (a)
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EUR680
|
698
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Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a)
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EUR2,000
|
2,325
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14,109
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Brazil — 0.6%
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Acu Petroleo Luxembourg SARL 7.50%, 1/13/2032 (a)
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3,050
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3,135
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Braskem Netherlands Finance BV 7.25%, 2/13/2033 (a)
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3,100
|
1,783
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Guara Norte SARL
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5.20%, 6/15/2034 (b)
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3,171
|
3,092
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5.20%, 6/15/2034 (a)
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1,801
|
1,756
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MV24 Capital BV
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6.75%, 6/1/2034 (b)
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2,235
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2,251
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6.75%, 6/1/2034 (a)
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1,736
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1,748
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Suzano Austria GmbH
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3.75%, 1/15/2031
|
806
|
753
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7.00%, 3/16/2047 (a)
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1,660
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1,782
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Vale Overseas Ltd.
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6.40%, 6/28/2054
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3,923
|
4,009
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 6.00%, 2/25/2056 (b) (d)
|
925
|
927
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Yinson Bergenia Production BV 8.50%, 1/31/2045 (b)
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4,337
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4,641
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25,877
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Canada — 0.7%
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1011778 BC ULC
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3.88%, 1/15/2028 (b)
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1,840
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1,808
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|
4.00%, 10/15/2030 (b)
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975
|
924
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
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Corporate Bonds — continued
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Canada — continued
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Bausch Health Cos., Inc.
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4.88%, 6/1/2028 (b)
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1,371
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1,268
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5.25%, 1/30/2030 (b)
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2,354
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1,445
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Bombardier, Inc.
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7.00%, 6/1/2032 (b)
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359
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374
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6.75%, 6/15/2033 (b)
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731
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761
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Emera US Finance LP 2.64%, 6/15/2031
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6,984
|
6,270
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Enbridge, Inc.
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Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%),
8.25%, 1/15/2084 (d)
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9,388
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9,924
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (d)
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1,077
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1,232
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Garda World Security Corp.
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6.50%, 1/15/2031 (b)
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396
|
403
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8.25%, 8/1/2032 (b)
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1,125
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1,154
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8.38%, 11/15/2032 (b)
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318
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329
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NOVA Chemicals Corp.
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5.25%, 6/1/2027 (b)
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1,073
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1,076
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9.00%, 2/15/2030 (b)
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1,000
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1,053
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RB Global Holdings, Inc. 7.75%, 3/15/2031 (b)
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500
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520
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TransCanada PipeLines Ltd.
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.25%), 6.13%, 10/17/2056 (d)
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513
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517
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.12%), 6.38%, 10/17/2056 (d)
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564
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570
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Transcanada Trust Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (d)
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988
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990
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Wrangler Holdco Corp. 6.63%, 4/1/2032 (b)
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275
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282
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30,900
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Chile — 0.0% ^
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Chile Electricity Lux Mpc II Sarl 5.58%, 10/20/2035 (a)
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743
|
755
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China — 0.1%
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CFAMC III Co. Ltd. 4.25%, 11/7/2027 (a)
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3,620
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3,594
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Far East Horizon Ltd. 5.88%, 3/5/2028 (a)
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1,835
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1,852
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5,446
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Colombia — 0.2%
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AI Candelaria -spain- SA
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7.50%, 12/15/2028 (a)
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710
|
717
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5.75%, 6/15/2033 (a)
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2,026
|
1,818
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5.75%, 6/15/2033 (b)
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1,869
|
1,677
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Ecopetrol SA 8.88%, 1/13/2033
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700
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739
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EnfraGen Energia Sur SA 5.38%, 12/30/2030 (a)
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3,223
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2,985
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Grupo Nutresa SA 9.00%, 5/12/2035 (a)
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1,590
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1,744
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9,680
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Denmark — 0.4%
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Danske Bank A/S (EURIBOR ICE Swap Rate 1 Year + 1.70%), 4.75%, 6/21/2030 (a) (d)
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EUR12,600
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15,336
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France — 3.7%
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Air France-KLM (EURIBOR ICE Swap Rate 5 Year + 3.58%), 5.75%, 5/21/2030 (a) (d) (f) (g)
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EUR400
|
467
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Alstom SA (EURIBOR ICE Swap Rate 5 Year + 2.93%), 5.87%, 5/29/2029 (a) (d) (f) (g)
|
EUR2,300
|
2,779
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
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Corporate Bonds — continued
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France — continued
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Altice France SA
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7.25%, 11/1/2029 (b)
|
EUR1,524
|
1,780
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|
9.50%, 11/1/2029 (b)
|
808
|
821
|
|
4.75%, 10/15/2030 (b)
|
EUR2,682
|
3,031
|
|
5.50%, 10/15/2031 (a)
|
EUR1,110
|
1,260
|
|
6.50%, 4/15/2032 (b)
|
1,225
|
1,192
|
|
6.88%, 7/15/2032 (b)
|
1,330
|
1,299
|
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AXA SA
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(EURIBOR 3 Month + 2.60%), 1.88%, 7/10/2042 (a) (d)
|
EUR2,500
|
2,616
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|
(EURIBOR 3 Month + 3.60%), 4.25%, 3/10/2043 (a) (d)
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EUR1,250
|
1,479
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Banijay Entertainment SAS 7.00%, 5/1/2029 (a)
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EUR1,791
|
2,154
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Bertrand Franchise Finance SAS 6.50%, 7/18/2030 (a)
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EUR697
|
813
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|
BNP Paribas SA
|
|
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (b) (c) (d) (f) (g)
|
8,200
|
8,658
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (b) (c) (d) (f) (g)
|
4,635
|
4,859
|
|
(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (a) (c) (d) (f) (g)
|
EUR3,000
|
3,814
|
|
BPCE SA
|
|
|
|
4.38%, 7/13/2028 (a)
|
EUR3,000
|
3,587
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (d)
|
3,640
|
3,220
|
|
(SOFR + 1.22%), 5.18%, 6/2/2032 (b) (d)
|
4,824
|
4,834
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (d)
|
1,765
|
1,569
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (b) (d)
|
4,435
|
4,846
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (b) (d)
|
2,070
|
2,165
|
|
(SOFR + 1.63%), 5.77%, 6/2/2037 (b) (d)
|
2,602
|
2,617
|
|
Cerba Healthcare SACA 3.50%, 5/31/2028 (a)
|
EUR500
|
421
|
|
Chrome Holdco SAS 5.00%, 5/31/2029 (a)
|
EUR377
|
53
|
|
Credit Agricole SA (EURIBOR ICE Swap Rate 5 Year + 4.21%), 6.50%, 9/23/2029 (a) (c) (d) (f) (g)
|
EUR1,500
|
1,845
|
|
Electricite de France SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 3.37%), 2.88%, 12/15/2026 (a) (d) (f) (g)
|
EUR2,200
|
2,555
|
|
(EUR Swap Annual 5 Year + 3.20%), 3.00%, 9/3/2027 (a) (d) (f) (g)
|
EUR2,200
|
2,541
|
|
(EUR Swap Annual 5 Year + 2.86%), 2.63%, 12/1/2027 (a) (d) (f) (g)
|
EUR2,800
|
3,194
|
|
5.70%, 5/23/2028 (b)
|
670
|
684
|
|
(EUR Swap Annual 5 Year + 4.86%), 7.50%, 9/6/2028 (a) (d) (f) (g)
|
EUR1,600
|
2,005
|
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (f) (g)
|
EUR3,200
|
3,559
|
|
Eutelsat Communications SACA
|
|
|
|
5.75%, 3/15/2031 (b)
|
EUR674
|
815
|
|
6.25%, 3/15/2033 (b)
|
EUR131
|
159
|
|
Eutelsat SA 1.50%, 10/13/2028 (a)
|
EUR2,100
|
2,348
|
|
Forvia SE
|
|
|
|
2.75%, 2/15/2027 (a)
|
EUR464
|
539
|
|
2.38%, 6/15/2027 (a)
|
EUR373
|
431
|
|
3.75%, 6/15/2028 (a)
|
EUR1,693
|
1,972
|
|
5.63%, 6/15/2030 (a)
|
EUR3,223
|
3,873
|
|
5.38%, 3/15/2031 (a)
|
EUR851
|
1,014
|
|
6.75%, 9/15/2033 (b)
|
200
|
201
|
|
Iliad Holding SAS 6.88%, 4/15/2031 (a)
|
EUR2,936
|
3,613
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
France — continued
|
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|
iliad SA
|
|
|
|
5.38%, 6/14/2027 (a)
|
EUR2,000
|
2,371
|
|
1.88%, 2/11/2028 (a)
|
EUR3,400
|
3,863
|
|
Loxam SAS 4.50%, 2/15/2027 (a)
|
EUR636
|
742
|
|
New Immo Holding SA
|
|
|
|
3.25%, 7/23/2027 (a)
|
EUR700
|
813
|
|
5.88%, 4/17/2028 (a)
|
EUR1,200
|
1,429
|
|
Paprec Holding SA
|
|
|
|
4.13%, 7/15/2030 (a)
|
EUR1,075
|
1,254
|
|
4.50%, 7/15/2032 (b)
|
EUR797
|
942
|
|
4.50%, 7/15/2032 (a)
|
EUR1,240
|
1,465
|
|
RCI Banque SA (EURIBOR ICE Swap Rate 5 Year + 2.75%), 5.50%, 10/9/2034 (a) (d)
|
EUR1,900
|
2,299
|
|
Renault SA
|
|
|
|
2.50%, 6/2/2027 (a)
|
EUR1,900
|
2,201
|
|
1.13%, 10/4/2027 (a)
|
EUR1,300
|
1,475
|
|
Societe Generale SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (b) (c) (d) (f) (g)
|
3,720
|
3,921
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.45%), 10.00%, 11/14/2028 (b) (c) (d) (f) (g)
|
1,580
|
1,730
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.13%, 11/21/2029 (b) (c) (d) (f) (g)
|
7,250
|
7,622
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (c) (d) (f) (g)
|
2,927
|
2,797
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (d)
|
3,040
|
3,162
|
|
(SOFR + 1.60%), 5.40%, 4/10/2037 (b) (d)
|
3,195
|
3,129
|
|
TotalEnergies Capital International SA
|
|
|
|
2.83%, 1/10/2030
|
4,885
|
4,626
|
|
3.13%, 5/29/2050
|
800
|
539
|
|
TotalEnergies Capital SA 5.28%, 9/10/2054
|
870
|
820
|
|
TotalEnergies SE (EURIBOR ICE Swap Rate 5 Year + 1.35%), 3.79%, 2/26/2031 (a) (d) (f) (g)
|
EUR3,500
|
4,018
|
|
Valeo SE
|
|
|
|
4.50%, 4/11/2030 (a)
|
EUR2,300
|
2,722
|
|
5.13%, 5/20/2031 (a)
|
EUR1,400
|
1,676
|
|
Veolia Environnement SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/28/2026 (a) (d) (f) (g)
|
EUR2,500
|
2,898
|
|
(EUR Swap Annual 5 Year + 2.82%), 5.99%, 11/22/2028 (a) (d) (f) (g)
|
EUR2,200
|
2,693
|
|
Viridien 8.50%, 10/15/2030 (a)
|
EUR840
|
1,040
|
|
|
|
153,929
|
|
Germany — 1.8%
|
||
|
Adler Pelzer Holding GmbH 9.50%, 4/1/2027 (a)
|
EUR368
|
404
|
|
Allianz SE (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%),
5.60%, 9/3/2054 (b) (d)
|
2,000
|
1,982
|
|
Aroundtown Finance SARL (EURIBOR ICE Swap Rate 5 Year + 3.04%), 5.13%, 7/3/2031 (a) (d) (f) (g)
|
EUR1,500
|
1,652
|
|
Bayer AG (EUR Swap Annual 5 Year + 3.90%), 7.00%, 9/25/2083 (a) (d)
|
EUR3,600
|
4,615
|
|
Birkenstock Financing SARL 5.25%, 4/30/2029 (a)
|
EUR2,359
|
2,768
|
|
Cheplapharm Arzneimittel GmbH
|
|
|
|
7.50%, 5/15/2030 (a)
|
EUR1,190
|
1,438
|
|
7.13%, 6/15/2031 (a)
|
EUR1,202
|
1,437
|
|
Cidron Atrium SE 5.63%, 2/15/2033 (b)
|
EUR404
|
464
|
|
Commerzbank AG (EURIBOR ICE Swap Rate 5 Year + 5.13%), 7.88%, 10/9/2031 (a) (c) (d) (f) (g)
|
EUR600
|
783
|
|
CT Investment GmbH 6.38%, 4/15/2030 (a)
|
EUR1,900
|
2,277
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Germany — continued
|
||
|
CTEC II GmbH 5.25%, 2/15/2030 (a)
|
EUR760
|
845
|
|
Deutsche Bank AG
|
|
|
|
(SOFR + 1.14%), 4.73%, 2/6/2032 (d)
|
2,575
|
2,535
|
|
(SOFR + 2.26%), 3.74%, 1/7/2033 (d)
|
4,391
|
4,021
|
|
Fressnapf Holding SE 5.25%, 10/31/2031 (a)
|
EUR1,635
|
1,929
|
|
IHO Verwaltungs GmbH
|
|
|
|
7.75% (Cash), 11/15/2030 (b) (h)
|
404
|
418
|
|
5.63% (Cash), 5/15/2031 (b) (h)
|
EUR525
|
630
|
|
7.00% (Cash), 11/15/2031 (a) (h)
|
EUR2,669
|
3,317
|
|
8.00% (Cash), 11/15/2032 (b) (h)
|
200
|
209
|
|
7.37% (Cash), 5/15/2033 (b) (h)
|
200
|
206
|
|
Nidda Healthcare Holding GmbH
|
|
|
|
5.63%, 2/21/2030 (a)
|
EUR2,030
|
2,404
|
|
7.00%, 2/21/2030 (a)
|
EUR800
|
967
|
|
5.38%, 10/23/2030 (b)
|
EUR1,355
|
1,602
|
|
Phoenix PIB Dutch Finance BV 4.88%, 7/10/2029 (a)
|
EUR1,900
|
2,277
|
|
Progroup AG 5.13%, 4/15/2029 (a)
|
EUR1,483
|
1,751
|
|
Schaeffler AG
|
|
|
|
3.38%, 10/12/2028 (a)
|
EUR2,300
|
2,662
|
|
5.38%, 4/1/2031 (a)
|
EUR1,700
|
2,056
|
|
Techem Verwaltungsgesellschaft 675 mbH 5.38%, 7/15/2029 (a)
|
EUR1,654
|
1,982
|
|
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a)
|
EUR98
|
114
|
|
TUI Cruises GmbH 6.25%, 4/15/2029 (a)
|
EUR406
|
489
|
|
Volkswagen Group of America Finance LLC 5.80%, 3/27/2035 (b)
|
425
|
432
|
|
Volkswagen International Finance NV (EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (a) (d) (f) (g)
|
EUR3,500
|
4,122
|
|
Volkswagen Leasing GmbH
|
|
|
|
0.50%, 1/12/2029 (a)
|
EUR4,300
|
4,685
|
|
0.63%, 7/19/2029 (a)
|
EUR3,100
|
3,332
|
|
Vonovia SE 4.25%, 4/10/2034 (a)
|
EUR5,800
|
6,866
|
|
ZF Europe Finance BV
|
|
|
|
7.00%, 6/12/2030 (a)
|
EUR1,000
|
1,242
|
|
5.50%, 2/17/2032 (a)
|
EUR1,800
|
2,079
|
|
ZF Finance GmbH 3.75%, 9/21/2028 (a)
|
EUR3,800
|
4,389
|
|
|
|
75,381
|
|
Greece — 0.0% ^
|
||
|
Intralot Capital Luxembourg SA 6.75%, 10/15/2031 (a)
|
EUR480
|
559
|
|
Hungary — 0.1%
|
||
|
OTP Bank Nyrt. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%),
7.30%, 7/30/2035 (a) (d)
|
2,800
|
2,923
|
|
India — 0.2%
|
||
|
Greenko Power II Ltd. 4.30%, 12/13/2028 (b)
|
4,173
|
3,995
|
|
Greenko Wind Projects Mauritius Ltd. 7.25%, 9/27/2028 (a)
|
2,019
|
2,041
|
|
Muthoot Finance Ltd. 5.75%, 8/4/2030 (a)
|
2,040
|
2,012
|
|
|
|
8,048
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Indonesia — 0.3%
|
||
|
Indonesia Asahan Aluminium PT
|
|
|
|
5.45%, 5/15/2030 (b)
|
2,380
|
2,409
|
|
6.76%, 11/15/2048 (a)
|
595
|
618
|
|
Medco Cypress Tree Pte. Ltd. 8.63%, 5/19/2030 (a)
|
1,890
|
1,977
|
|
Pertamina Persero PT 3.65%, 7/30/2029 (b)
|
3,619
|
3,490
|
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
|
|
|
|
3.00%, 6/30/2030 (b)
|
2,940
|
2,713
|
|
4.38%, 2/5/2050 (a)
|
879
|
659
|
|
|
|
11,866
|
|
Ireland — 1.5%
|
||
|
AerCap Ireland Capital DAC
|
|
|
|
2.45%, 10/29/2026
|
1,108
|
1,100
|
|
6.10%, 1/15/2027
|
5,715
|
5,768
|
|
4.13%, 2/28/2029
|
2,752
|
2,716
|
|
AIB Group plc
|
|
|
|
(SOFR + 2.33%), 6.61%, 9/13/2029 (b) (d)
|
1,040
|
1,084
|
|
(EURIBOR ICE Swap Rate 5 Year + 1.40%), 3.75%, 12/2/2036 (a) (d)
|
EUR4,000
|
4,599
|
|
Avolon Holdings Funding Ltd.
|
|
|
|
6.38%, 5/4/2028 (b)
|
2,593
|
2,665
|
|
5.75%, 3/1/2029 (b)
|
12,055
|
12,313
|
|
5.75%, 11/15/2029 (b)
|
3,479
|
3,564
|
|
5.15%, 1/15/2030 (b)
|
4,850
|
4,873
|
|
5.38%, 5/30/2030 (b)
|
545
|
551
|
|
4.90%, 10/10/2030 (b)
|
5,100
|
5,062
|
|
4.95%, 10/15/2032 (b)
|
13,185
|
12,859
|
|
eircom Finance DAC
|
|
|
|
5.75%, 12/15/2029 (a)
|
EUR1,990
|
2,395
|
|
5.00%, 4/30/2031 (a)
|
EUR1,480
|
1,740
|
|
Virgin Media O2 Vendor Financing Notes VII DAC 7.50%, 7/15/2033 (a)
|
EUR344
|
350
|
|
|
|
61,639
|
|
Italy — 3.2%
|
||
|
Agrifarma SpA 4.50%, 10/31/2028 (a)
|
EUR3,860
|
4,531
|
|
Dolcetto Holdco SpA 5.63%, 7/14/2032 (a)
|
EUR1,571
|
1,841
|
|
ENEL Finance International NV
|
|
|
|
3.50%, 4/6/2028 (b)
|
3,665
|
3,597
|
|
2.13%, 7/12/2028 (b) (i)
|
4,745
|
4,518
|
|
2.50%, 7/12/2031 (b) (i)
|
590
|
525
|
|
5.00%, 6/15/2032 (b)
|
3,570
|
3,569
|
|
Enel SpA
|
|
|
|
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (f) (g)
|
EUR7,000
|
7,451
|
|
(EUR Swap Annual 5 Year + 3.77%), 6.63%, 4/16/2031 (a) (d) (f) (g)
|
EUR2,500
|
3,206
|
|
Eni SpA
|
|
|
|
Series NC9, (EUR Swap Annual 5 Year + 3.64%), 3.38%, 7/13/2029 (a) (d) (f) (g)
|
EUR1,950
|
2,244
|
|
(EURIBOR ICE Swap Rate 5 Year + 1.64%), 4.13%, 1/19/2032 (a) (d) (f) (g)
|
EUR4,200
|
4,838
|
|
5.95%, 5/15/2054 (b)
|
850
|
848
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Italy — continued
|
||
|
Fibercop SpA
|
|
|
|
2.38%, 10/12/2027 (a)
|
EUR990
|
1,139
|
|
1.63%, 1/18/2029
|
EUR1,145
|
1,264
|
|
5.13%, 6/30/2032 (a)
|
EUR650
|
771
|
|
7.75%, 1/24/2033
|
EUR1,920
|
2,575
|
|
Series 2033, 6.38%, 11/15/2033 (b)
|
464
|
464
|
|
7.20%, 7/18/2036 (b)
|
550
|
550
|
|
Gruppo San Donato SpA 6.50%, 10/31/2031 (a)
|
EUR931
|
1,046
|
|
Guala Closures SpA 3.25%, 6/15/2028 (a)
|
EUR1,006
|
1,142
|
|
Infrastrutture Wireless Italiane SpA 1.63%, 10/21/2028 (a)
|
EUR1,840
|
2,044
|
|
Intesa Sanpaolo SpA
|
|
|
|
(EUR Swap Annual 5 Year + 5.85%), 5.50%, 3/1/2028 (a) (c) (d) (f) (g)
|
EUR776
|
919
|
|
(EUR Swap Annual 5 Year + 5.56%), 6.38%, 3/30/2028 (a) (c) (d) (f) (g)
|
EUR5,652
|
6,803
|
|
(EUR Swap Annual 5 Year + 4.27%), 4.13%, 2/27/2030 (a) (c) (d) (f) (g)
|
EUR2,000
|
2,281
|
|
4.88%, 5/19/2030 (a)
|
EUR3,000
|
3,714
|
|
(EURIBOR ICE Swap Rate 5 Year + 4.35%), 7.00%, 5/20/2032 (a) (c) (d) (f) (g)
|
EUR1,500
|
1,900
|
|
6.63%, 6/20/2033 (b)
|
10,220
|
11,114
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (d)
|
5,464
|
4,710
|
|
Lottomatica Group Spa
|
|
|
|
4.88%, 1/31/2031 (a)
|
EUR1,760
|
2,084
|
|
4.63%, 4/30/2032 (b)
|
EUR408
|
476
|
|
Lottomatica Group SpA 5.38%, 6/1/2030 (a)
|
EUR1,077
|
1,290
|
|
Mundys SpA
|
|
|
|
1.88%, 7/13/2027 (a)
|
EUR1,028
|
1,177
|
|
1.88%, 2/12/2028 (a)
|
EUR1,555
|
1,765
|
|
4.50%, 1/24/2030 (a)
|
EUR2,200
|
2,622
|
|
Neopharmed Gentili SpA 7.13%, 4/8/2030 (a)
|
EUR1,997
|
2,410
|
|
Pro-Gest SpA 3.25%, 12/15/2024 (a) (j)
|
EUR1,700
|
927
|
|
Rekeep SpA 9.00%, 9/15/2029 (a)
|
EUR651
|
585
|
|
Rossini SARL 6.75%, 12/31/2029 (a)
|
EUR2,449
|
2,965
|
|
Telecom Italia Capital SA 6.38%, 11/15/2033
|
78
|
81
|
|
Telecom Italia Finance SA 7.75%, 1/24/2033
|
EUR1,300
|
1,854
|
|
Telecom Italia SpA
|
|
|
|
7.88%, 7/31/2028 (a)
|
EUR2,790
|
3,525
|
|
1.63%, 1/18/2029 (a)
|
EUR565
|
629
|
|
UniCredit SpA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (f) (g)
|
EUR4,400
|
5,134
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (d)
|
2,806
|
2,806
|
|
(EUR Swap Annual 5 Year + 4.61%), 4.45%, 12/3/2027 (a) (c) (d) (f) (g)
|
EUR1,800
|
2,100
|
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (d)
|
EUR4,986
|
5,978
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (d)
|
4,935
|
4,543
|
|
(EURIBOR ICE Swap Rate 5 Year + 1.80%), 4.18%, 6/24/2037 (a) (d)
|
EUR10,000
|
11,768
|
|
|
|
134,323
|
|
Jamaica — 0.1%
|
||
|
Digicel International Finance Ltd. 8.63%, 8/1/2032 (b)
|
3,494
|
3,625
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Japan — 0.1%
|
||
|
Kioxia Holdings Corp. 6.25%, 7/24/2030 (b)
|
1,026
|
1,056
|
|
Nissan Motor Co. Ltd. 5.25%, 7/17/2029 (a)
|
EUR836
|
987
|
|
Rakuten Group, Inc. (EUR Swap Annual 5 Year + 4.74%), 4.25%, 4/22/2027 (a) (d) (f) (g)
|
EUR1,990
|
2,295
|
|
|
|
4,338
|
|
Jersey — 0.1%
|
||
|
Deepocean Ltd. 6.00%, 4/8/2031 (a)
|
EUR1,142
|
1,367
|
|
Waga Bondco Ltd. 8.50%, 6/15/2030 (a)
|
GBP1,503
|
1,664
|
|
|
|
3,031
|
|
Kazakhstan — 0.2%
|
||
|
KazMunayGas National Co. JSC
|
|
|
|
5.38%, 4/24/2030 (a)
|
2,735
|
2,773
|
|
5.75%, 4/19/2047 (a)
|
5,480
|
5,230
|
|
6.38%, 10/24/2048 (a)
|
1,824
|
1,839
|
|
|
|
9,842
|
|
Luxembourg — 0.5%
|
||
|
Altice Financing SA 3.00%, 1/15/2028 (a)
|
EUR700
|
594
|
|
Altice France Lux 3 10.00%, 1/15/2033 (b)
|
752
|
733
|
|
Essendi SA
|
|
|
|
6.38%, 10/15/2029 (a)
|
EUR2,595
|
3,147
|
|
5.50%, 11/15/2031 (a)
|
EUR700
|
824
|
|
Herens Midco SARL 5.25%, 5/15/2029 (a)
|
EUR471
|
350
|
|
INEOS Finance plc
|
|
|
|
6.63%, 5/15/2028 (a)
|
EUR800
|
941
|
|
6.38%, 4/15/2029 (a)
|
EUR1,069
|
1,235
|
|
7.50%, 4/15/2029 (b)
|
2,535
|
2,522
|
|
7.25%, 3/31/2031 (a)
|
EUR1,100
|
1,249
|
|
7.88%, 11/15/2031 (b)
|
EUR682
|
788
|
|
ION Platform Finance SARL 6.88%, 9/30/2032 (a)
|
EUR330
|
298
|
|
Maxam Prill SARL 6.00%, 7/15/2030 (a)
|
EUR1,600
|
1,896
|
|
Monitchem HoldCo 3 SA 8.75%, 5/1/2028 (a)
|
EUR460
|
547
|
|
PLT VII Finance Sarl 6.00%, 6/15/2031 (a)
|
EUR3,713
|
4,469
|
|
SES Financing Sarl (EURIBOR ICE Swap Rate 5 Year + 4.92%), 7.38%, 3/24/2031 (a) (d) (f) (g)
|
EUR1,200
|
1,397
|
|
SES SA (EURIBOR ICE Swap Rate 5 Year + 3.23%), 5.50%, 9/12/2054 (a) (d)
|
EUR660
|
780
|
|
|
|
21,770
|
|
Macau — 0.1%
|
||
|
Studio City Finance Ltd. 5.00%, 1/15/2029 (a)
|
2,110
|
2,022
|
|
Wynn Macau Ltd. 5.63%, 8/26/2028 (a)
|
1,858
|
1,851
|
|
|
|
3,873
|
|
Malaysia — 0.1%
|
||
|
Petronas Capital Ltd. 3.40%, 4/28/2061 (b)
|
6,007
|
4,047
|
|
Mexico — 1.0%
|
||
|
Alpek SAB de CV 3.25%, 2/25/2031 (a)
|
2,110
|
1,843
|
|
BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero BBVA Mexico (US Treasury
Yield Curve Rate T Note Constant
Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (b) (c) (d)
|
4,300
|
4,209
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Mexico — continued
|
||
|
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%),
5.13%, 6/28/2026 (b) (d) (f) (g)
|
5,558
|
5,539
|
|
Esentia Energy Development SAB de CV 6.50%, 7/30/2038 (b)
|
1,281
|
1,269
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple 7.25%, 1/31/2041 (b)
|
5,381
|
5,466
|
|
Orbia Advance Corp. SAB de CV 6.80%, 5/13/2030 (a)
|
1,744
|
1,753
|
|
Petroleos Mexicanos
|
|
|
|
5.95%, 1/28/2031
|
3,895
|
3,845
|
|
6.70%, 2/16/2032
|
2,810
|
2,830
|
|
10.00%, 2/7/2033
|
2,165
|
2,543
|
|
7.69%, 1/23/2050
|
7,100
|
6,500
|
|
Saavi Energia SARL 8.88%, 2/10/2035 (b)
|
3,887
|
4,211
|
|
|
|
40,008
|
|
Netherlands — 0.7%
|
||
|
BE Semiconductor Industries NV 4.50%, 7/15/2031 (a)
|
EUR340
|
408
|
|
Cooperatieve Rabobank UA
|
|
|
|
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (a) (c) (d) (f) (g)
|
EUR2,400
|
2,813
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (d)
|
5,350
|
5,315
|
|
Flora Food Management BV 6.88%, 7/2/2029 (a)
|
EUR1,500
|
1,679
|
|
House of HR Group BV 9.00%, 11/3/2029 (a)
|
EUR310
|
313
|
|
ING Groep NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%),
5.75%, 11/16/2026 (c) (d) (f) (g)
|
5,752
|
5,763
|
|
Q-Park Holding I BV
|
|
|
|
5.13%, 3/1/2029 (a)
|
EUR3,218
|
3,823
|
|
5.13%, 2/15/2030 (a)
|
EUR500
|
594
|
|
Sunrise HoldCo IV BV 3.88%, 6/15/2029 (a)
|
EUR1,060
|
1,219
|
|
Trivium Packaging Finance BV 6.63%, 7/15/2030 (a)
|
EUR1,143
|
1,385
|
|
VZ Vendor Financing II BV 2.88%, 1/15/2029 (a)
|
EUR2,830
|
3,158
|
|
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a)
|
EUR3,879
|
3,944
|
|
Ziggo BV 2.88%, 1/15/2030 (a)
|
EUR265
|
293
|
|
|
|
30,707
|
|
Nigeria — 0.1%
|
||
|
IHS Holding Ltd. 8.25%, 11/29/2031 (a)
|
1,900
|
1,985
|
|
Norway — 0.0% ^
|
||
|
Aker BP ASA
|
|
|
|
6.00%, 6/13/2033 (b)
|
292
|
305
|
|
5.25%, 10/30/2035 (b)
|
991
|
972
|
|
|
|
1,277
|
|
Panama — 0.1%
|
||
|
Generadora de Gatun SA 6.87%, 9/30/2044 (b)
|
3,099
|
3,160
|
|
Peru — 0.1%
|
||
|
Peru LNG Srl, 5.38%, 3/22/2030 (a)
|
2,429
|
2,356
|
|
Poland — 0.0% ^
|
||
|
ORLEN SA 6.00%, 1/30/2035 (a)
|
720
|
745
|
|
Portugal — 0.2%
|
||
|
EDP SA
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.40%), 4.63%, 9/16/2054 (a) (d)
|
EUR3,400
|
4,010
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Portugal — continued
|
||
|
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (a) (d)
|
EUR3,900
|
4,484
|
|
(EUR Swap Annual 5 Year + 3.18%), 5.94%, 4/23/2083 (a) (d)
|
EUR1,500
|
1,813
|
|
|
|
10,307
|
|
Saudi Arabia — 0.1%
|
||
|
Gaci First Investment Co. 4.88%, 2/14/2035 (a)
|
5,420
|
5,290
|
|
Slovenia — 0.0% ^
|
||
|
United Group BV 6.38%, 5/14/2033 (b)
|
EUR1,128
|
1,332
|
|
South Africa — 0.2%
|
||
|
Anglo American Capital plc
|
|
|
|
5.50%, 5/2/2033 (b)
|
7,480
|
7,654
|
|
5.25%, 3/19/2036 (b)
|
1,199
|
1,189
|
|
|
|
8,843
|
|
Spain — 1.3%
|
||
|
Abertis Infraestructuras Finance BV
|
|
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.62%), 4.87%, 11/28/2029 (a) (d) (f) (g)
|
EUR800
|
951
|
|
(EURIBOR ICE Swap Rate 5 Year + 2.35%), 4.75%, 11/23/2030 (a) (d) (f) (g)
|
EUR1,300
|
1,535
|
|
Banco Bilbao Vizcaya Argentaria SA (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 5.10%), 9.38%,
3/19/2029 (c) (d) (f) (g)
|
6,800
|
7,433
|
|
Banco Santander SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (c) (d) (f) (g)
|
3,000
|
3,271
|
|
(EUR Swap Annual 5 Year + 4.43%), 7.00%, 11/20/2029 (a) (c) (d) (f) (g)
|
EUR2,600
|
3,253
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (c) (d) (f) (g)
|
3,200
|
3,762
|
|
CaixaBank SA
|
|
|
|
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (a) (c) (d) (f) (g)
|
EUR3,400
|
4,054
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (d)
|
3,945
|
4,308
|
|
(SOFR + 1.79%), 5.58%, 7/3/2036 (b) (d)
|
2,200
|
2,225
|
|
Celsa Opco SA 8.25%, 12/15/2030 (a)
|
EUR520
|
641
|
|
Cirsa Finance International Sarl
|
|
|
|
6.50%, 3/15/2029 (a)
|
EUR524
|
634
|
|
4.88%, 10/15/2031 (a)
|
EUR1,718
|
2,024
|
|
eDreams ODIGEO SA 4.88%, 12/30/2030 (a)
|
EUR476
|
499
|
|
Grifols SA
|
|
|
|
3.88%, 10/15/2028 (a)
|
EUR1,367
|
1,585
|
|
4.75%, 10/15/2028 (b)
|
440
|
433
|
|
Grupo Antolin Irausa SA
|
|
|
|
3.50%, 4/30/2028 (a)
|
EUR1,055
|
566
|
|
10.38%, 1/30/2030 (a)
|
EUR725
|
350
|
|
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a)
|
EUR1,924
|
2,255
|
|
Lorca Telecom Bondco SA
|
|
|
|
4.00%, 9/18/2027 (a)
|
EUR477
|
556
|
|
5.75%, 4/30/2029 (a)
|
EUR1,000
|
1,201
|
|
Repsol Europe Finance Sarl (EURIBOR ICE Swap Rate 5 Year + 1.75%), 4.20%, 11/19/2031 (a) (d) (f) (g)
|
EUR1,800
|
2,076
|
|
Telefonica Emisiones SA 4.67%, 3/6/2038
|
1,950
|
1,782
|
|
Telefonica Europe BV
|
|
|
|
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (a) (d) (f) (g)
|
EUR5,100
|
6,315
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Spain — continued
|
||
|
(EURIBOR ICE Swap Rate 8 Year + 3.62%), 6.75%, 6/7/2031 (a) (d) (f) (g)
|
EUR2,800
|
3,572
|
|
(EURIBOR ICE Swap Rate 8 Year + 3.12%), 5.75%, 1/15/2032 (a) (d) (f) (g)
|
EUR500
|
616
|
|
|
|
55,897
|
|
Sweden — 0.4%
|
||
|
Asmodee Group AB
|
|
|
|
5.75%, 12/15/2029 (a)
|
EUR1,264
|
1,532
|
|
4.25%, 12/15/2031 (a)
|
EUR314
|
364
|
|
Heimstaden Bostad AB (EURIBOR ICE Swap Rate 5 Year + 4.19%), 6.25%, 12/4/2029 (a) (d) (f) (g)
|
EUR1,000
|
1,199
|
|
Samhallsbyggnadsbolaget I Norden Holding AB 1.13%, 9/26/2029 (a)
|
EUR940
|
909
|
|
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5
Year + 4.05%), 4.75%, 3/1/2031 (a) (c)
(d) (f) (g)
|
8,200
|
7,783
|
|
Verisure Holding AB 5.50%, 5/15/2030 (a)
|
EUR1,309
|
1,573
|
|
Verisure Midholding AB 5.25%, 2/15/2029 (a)
|
EUR3,322
|
3,893
|
|
|
|
17,253
|
|
Switzerland — 0.6%
|
||
|
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.58%), 5.00%,
4/2/2049 (b) (d)
|
200
|
200
|
|
UBS Group AG
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (d)
|
3,558
|
3,559
|
|
4.28%, 1/9/2028 (b)
|
6,530
|
6,511
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (b) (c) (d) (f) (g)
|
3,035
|
3,283
|
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (d)
|
1,585
|
1,567
|
|
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (d)
|
1,853
|
1,809
|
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (d)
|
5,132
|
4,711
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (b) (c) (d) (f) (g)
|
2,746
|
3,170
|
|
VistaJet Malta Finance plc 9.50%, 6/1/2028 (b)
|
515
|
513
|
|
|
|
25,323
|
|
Trinidad And Tobago — 0.1%
|
||
|
Trinidad Generation UnLtd 7.75%, 6/16/2033 (b)
|
2,136
|
2,259
|
|
Turkey — 0.1%
|
||
|
Turkcell Iletisim Hizmetleri A/S 7.45%, 1/24/2030 (a)
|
1,930
|
1,967
|
|
United Kingdom — 3.4%
|
||
|
888 Acquisitions Ltd.
|
|
|
|
(EURIBOR 3 Month + 5.50%), 7.70%, 7/15/2028 (a) (d)
|
EUR420
|
479
|
|
8.00%, 9/30/2031 (a)
|
EUR1,267
|
1,401
|
|
Amber Finco plc 6.63%, 7/15/2029 (a)
|
EUR1,477
|
1,787
|
|
Barclays plc
|
|
|
|
(SOFR + 2.22%), 6.49%, 9/13/2029 (d)
|
3,300
|
3,426
|
|
(3-MONTH SOFR + 3.05%), 5.09%, 6/20/2030 (d)
|
305
|
306
|
|
(SOFR + 1.51%), 5.21%, 2/24/2037 (d)
|
1,710
|
1,665
|
|
BAT Capital Corp. 7.08%, 8/2/2043
|
9,535
|
10,631
|
|
BCP V Modular Services Finance II plc 6.50%, 7/10/2031 (a)
|
EUR2,254
|
2,217
|
|
Bellis Acquisition Co. plc 8.00%, 7/1/2031 (a)
|
EUR1,037
|
1,165
|
|
Boots Group Finco LP 5.38%, 8/31/2032 (a)
|
EUR764
|
917
|
|
Cadent Finance plc 0.63%, 3/19/2030 (a)
|
EUR6,500
|
6,844
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United Kingdom — continued
|
||
|
EC Finance plc 3.25%, 10/15/2026 (a) (i)
|
EUR2,809
|
3,253
|
|
Heathrow Funding Ltd.
|
|
|
|
1.13%, 10/8/2030 (a)
|
EUR10,300
|
10,895
|
|
5.88%, 5/13/2041 (a)
|
GBP1,900
|
2,428
|
|
HSBC Holdings plc
|
|
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (d)
|
4,135
|
4,169
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (d)
|
8,500
|
8,228
|
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (d)
|
1,981
|
1,941
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (f) (g)
|
6,075
|
5,685
|
|
Iceland Bondco plc 10.88%, 12/15/2027 (a)
|
GBP640
|
896
|
|
INEOS Quattro Finance 2 plc
|
|
|
|
8.50%, 3/15/2029 (a)
|
EUR1,313
|
1,467
|
|
6.75%, 4/15/2030 (a)
|
EUR1,305
|
1,341
|
|
INEOS Styrolution Ludwigshafen GmbH 2.25%, 1/16/2027 (a)
|
EUR863
|
989
|
|
Lloyds Banking Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 1
Year + 1.48%), 5.99%, 8/7/2027 (d)
|
3,670
|
3,681
|
|
Mobico Group plc (U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.14%), 7.85%,
2/26/2031 (a) (d) (f) (g)
|
GBP299
|
231
|
|
National Grid plc
|
|
|
|
0.25%, 9/1/2028 (a)
|
EUR3,600
|
3,952
|
|
0.55%, 9/18/2029 (a)
|
EUR6,800
|
7,279
|
|
NatWest Group plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (d)
|
4,800
|
4,867
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (c) (d) (f) (g)
|
1,460
|
1,597
|
|
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (d)
|
EUR2,534
|
2,911
|
|
Nomad Foods Bondco plc 2.50%, 6/24/2028 (a)
|
EUR1,860
|
2,113
|
|
OEG Finance plc 7.25%, 9/27/2029 (a)
|
EUR959
|
1,162
|
|
PeopleCert Wisdom Issuer plc 5.50%, 6/15/2031 (a)
|
EUR470
|
536
|
|
Pinnacle Bidco plc 8.25%, 10/11/2028 (a)
|
EUR1,374
|
1,668
|
|
Punch Finance plc
|
|
|
|
7.88%, 12/30/2030 (b)
|
GBP1,073
|
1,463
|
|
7.88%, 12/30/2030 (a)
|
GBP1,000
|
1,363
|
|
RAC Bond Co. plc 5.25%, 11/4/2027 (a)
|
GBP2,398
|
3,202
|
|
Santander UK Group Holdings plc
|
|
|
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (d)
|
5,200
|
5,194
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (d)
|
7,950
|
8,182
|
|
Standard Chartered plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (d)
|
2,000
|
2,090
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (d)
|
1,007
|
999
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.24%, 1/13/2037 (b) (d)
|
1,515
|
1,485
|
|
Synthomer plc 7.38%, 5/2/2029 (a)
|
EUR1,400
|
1,381
|
|
Virgin Media Finance plc 3.75%, 7/15/2030 (a)
|
EUR1,325
|
1,343
|
|
Vmed O2 UK Financing I plc
|
|
|
|
3.25%, 1/31/2031 (a)
|
EUR1,700
|
1,799
|
|
5.63%, 4/15/2032 (a)
|
EUR800
|
872
|
|
Vodafone Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (d)
|
EUR3,570
|
3,984
|
|
(EUR Swap Annual 5 Year + 3.49%), 6.50%, 8/30/2084 (a) (d)
|
EUR4,050
|
5,064
|
|
|
|
140,548
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — 30.2%
|
||
|
1261229 BC Ltd. 10.00%, 4/15/2032 (b)
|
2,973
|
3,044
|
|
AbbVie, Inc.
|
|
|
|
4.70%, 5/14/2045
|
862
|
771
|
|
4.25%, 11/21/2049
|
14,597
|
11,949
|
|
Acadia Healthcare Co., Inc.
|
|
|
|
5.50%, 7/1/2028 (b)
|
430
|
428
|
|
5.00%, 4/15/2029 (b)
|
870
|
851
|
|
Accendra Health, Inc.
|
|
|
|
4.50%, 3/31/2029 (b)
|
525
|
414
|
|
6.63%, 4/1/2030 (b)
|
1,048
|
632
|
|
ACCO Brands Corp. 4.25%, 3/15/2029 (b)
|
926
|
852
|
|
Acushnet Co. 5.63%, 12/1/2033 (b)
|
209
|
207
|
|
Adient Global Holdings Ltd.
|
|
|
|
8.25%, 4/15/2031 (b)
|
1,360
|
1,418
|
|
7.50%, 2/15/2033 (b)
|
1,610
|
1,670
|
|
ADT Security Corp. (The)
|
|
|
|
4.13%, 8/1/2029 (b)
|
1,725
|
1,657
|
|
4.88%, 7/15/2032 (b)
|
860
|
814
|
|
Advanced Drainage Systems, Inc. 5.38%, 3/1/2034 (b)
|
170
|
166
|
|
AES Corp. (The) 3.95%, 7/15/2030 (b)
|
1,568
|
1,506
|
|
Ahead DB Holdings LLC 6.63%, 5/1/2028 (b)
|
1,115
|
1,117
|
|
Albertsons Cos., Inc.
|
|
|
|
4.88%, 2/15/2030 (b)
|
425
|
414
|
|
5.50%, 3/31/2031 (b)
|
166
|
163
|
|
5.63%, 3/31/2032 (b)
|
1,850
|
1,806
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (b)
|
500
|
493
|
|
Allison Transmission, Inc.
|
|
|
|
4.75%, 10/1/2027 (b)
|
277
|
277
|
|
5.88%, 6/1/2029 (b)
|
3,545
|
3,580
|
|
5.88%, 12/1/2033 (b)
|
596
|
598
|
|
Alumina Pty. Ltd.
|
|
|
|
6.13%, 3/15/2030 (b)
|
302
|
309
|
|
6.38%, 9/15/2032 (b)
|
349
|
358
|
|
Ameren Corp. 3.50%, 1/15/2031
|
850
|
806
|
|
American Express Co.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (d) (f) (g)
|
1,388
|
1,380
|
|
(SOFR + 1.79%), 5.67%, 4/25/2036 (d)
|
1,530
|
1,587
|
|
American Medical Systems Europe BV 1.63%, 3/8/2031
|
EUR200
|
217
|
|
AmeriGas Partners LP
|
|
|
|
9.50%, 6/1/2030 (b)
|
365
|
393
|
|
6.88%, 6/1/2031 (b)
|
430
|
440
|
|
Amgen, Inc.
|
|
|
|
4.85%, 2/19/2036
|
1,317
|
1,291
|
|
4.88%, 3/1/2053
|
956
|
833
|
|
5.75%, 3/2/2063
|
999
|
970
|
|
Amkor Technology, Inc. 5.88%, 10/1/2033 (b)
|
1,712
|
1,720
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Antero Midstream Partners LP
|
|
|
|
5.75%, 1/15/2028 (b)
|
1,015
|
1,015
|
|
5.38%, 6/15/2029 (b)
|
415
|
415
|
|
5.75%, 10/15/2033 (b)
|
360
|
356
|
|
Anywhere Real Estate Group LLC
|
|
|
|
5.25%, 4/15/2030 (b)
|
965
|
927
|
|
9.75%, 4/15/2030 (b)
|
496
|
534
|
|
APi Group DE, Inc.
|
|
|
|
4.13%, 7/15/2029 (b)
|
410
|
395
|
|
4.75%, 10/15/2029 (b)
|
498
|
490
|
|
APLD ComputeCo 2 LLC 6.75%, 3/15/2031 (b)
|
732
|
738
|
|
Arches Buyer, Inc.
|
|
|
|
4.25%, 6/1/2028 (b)
|
600
|
583
|
|
6.13%, 12/1/2028 (b)
|
1,215
|
1,179
|
|
Archrock Partners LP 6.63%, 9/1/2032 (b)
|
602
|
616
|
|
Archrock Services LP 6.00%, 2/1/2034 (b)
|
169
|
169
|
|
Ardagh Group SA
|
|
|
|
9.50%, 12/1/2030 (b)
|
2,040
|
2,178
|
|
12.00% (Blend (Cash 5.50% + PIK 6.50%)), 12/1/2030 (b) (h) (k)
|
935
|
838
|
|
12.00% (Blend (Cash 4.50% + PIK 7.50%)), 12/1/2030 (a) (h)
|
EUR2,115
|
2,159
|
|
Ardagh Metal Packaging Finance USA LLC 5.00%, 1/30/2031 (a)
|
EUR1,810
|
2,117
|
|
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (b)
|
1,236
|
1,200
|
|
Ascent Resources Utica Holdings LLC 6.63%, 10/15/2032 (b)
|
575
|
590
|
|
Asurion LLC 8.00%, 12/31/2032 (b)
|
670
|
699
|
|
AT&T, Inc.
|
|
|
|
4.90%, 11/1/2035
|
4,240
|
4,137
|
|
3.50%, 9/15/2053
|
3,980
|
2,632
|
|
3.55%, 9/15/2055
|
410
|
268
|
|
6.05%, 8/15/2056
|
3,665
|
3,622
|
|
6.20%, 10/30/2056
|
3,865
|
3,890
|
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b)
|
2,305
|
2,222
|
|
ATI, Inc. 4.88%, 10/1/2029
|
885
|
875
|
|
Avantor Funding, Inc.
|
|
|
|
3.88%, 7/15/2028 (a)
|
EUR1,135
|
1,319
|
|
4.63%, 7/15/2028 (b)
|
1,156
|
1,143
|
|
Avient Corp.
|
|
|
|
7.13%, 8/1/2030 (b)
|
190
|
193
|
|
6.25%, 11/1/2031 (b)
|
200
|
203
|
|
Avis Budget Car Rental LLC
|
|
|
|
5.75%, 7/15/2027 (b)
|
230
|
230
|
|
5.38%, 3/1/2029 (b)
|
4,245
|
4,160
|
|
8.25%, 1/15/2030 (b)
|
546
|
563
|
|
8.00%, 2/15/2031 (b)
|
150
|
151
|
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (b)
|
470
|
469
|
|
Baker Hughes Holdings LLC 5.00%, 6/15/2036
|
2,905
|
2,861
|
|
Ball Corp.
|
|
|
|
1.50%, 3/15/2027
|
EUR750
|
863
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
4.25%, 7/1/2032
|
EUR2,239
|
2,634
|
|
Bank of America Corp.
|
|
|
|
(SOFR + 0.96%), 1.73%, 7/22/2027 (d)
|
5,405
|
5,385
|
|
(SOFR + 1.05%), 2.55%, 2/4/2028 (d)
|
5,000
|
4,940
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (d)
|
5,085
|
5,149
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (d)
|
1,875
|
1,786
|
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (d)
|
2,035
|
2,090
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.63%, 5/1/2030 (d) (f) (g)
|
1,616
|
1,670
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.35%), 6.25%, 7/26/2030 (d) (f) (g)
|
3,525
|
3,578
|
|
(3-MONTH CME TERM SOFR + 1.45%), 2.88%, 10/22/2030 (d)
|
9,282
|
8,782
|
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (d)
|
6,260
|
5,594
|
|
(SOFR + 1.37%), 1.92%, 10/24/2031 (d)
|
3,490
|
3,097
|
|
(SOFR + 1.04%), 4.70%, 4/23/2032 (d)
|
1,145
|
1,138
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (d)
|
517
|
461
|
|
(SOFR + 1.91%), 5.43%, 8/15/2035 (d)
|
5,675
|
5,701
|
|
(SOFR + 1.13%), 5.05%, 2/6/2037 (d)
|
2,450
|
2,415
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 3.85%, 3/8/2037 (d)
|
4,603
|
4,288
|
|
(SOFR + 1.93%), 2.68%, 6/19/2041 (d)
|
1,965
|
1,425
|
|
Bath & Body Works, Inc. 7.50%, 6/15/2029
|
196
|
199
|
|
Bausch Health Americas, Inc. 8.50%, 1/31/2027 (b)
|
298
|
296
|
|
Beach Acquisition Bidco LLC 5.25%, 7/15/2032 (a)
|
EUR1,572
|
1,849
|
|
Beignet Investor LLC 6.58%, 5/30/2049 (b)
|
4,470
|
4,608
|
|
Berry Global, Inc. 5.80%, 6/15/2031
|
5,935
|
6,175
|
|
Big River Steel LLC 6.63%, 1/31/2029 (b)
|
400
|
400
|
|
Block, Inc.
|
|
|
|
5.63%, 8/15/2030 (b)
|
247
|
248
|
|
6.50%, 5/15/2032
|
522
|
532
|
|
6.00%, 8/15/2033 (b)
|
197
|
197
|
|
Boeing Co. (The)
|
|
|
|
5.71%, 5/1/2040
|
1,080
|
1,101
|
|
3.95%, 8/1/2059
|
3,333
|
2,389
|
|
Bond US Bidco 1, Inc. 7.13%, 6/15/2033 (b)
|
309
|
311
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (b)
|
1,590
|
1,566
|
|
BP Capital Markets plc
|
|
|
|
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 6/8/2026 (a) (d) (f) (g)
|
EUR7,100
|
8,281
|
|
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (a) (d) (f) (g)
|
EUR800
|
929
|
|
Brightstar Lottery plc 2.38%, 4/15/2028 (a)
|
EUR800
|
917
|
|
Bristol-Myers Squibb Co. 5.55%, 2/22/2054
|
1,379
|
1,343
|
|
Broadcom, Inc.
|
|
|
|
4.55%, 2/15/2032
|
1,240
|
1,228
|
|
5.20%, 7/15/2035
|
183
|
184
|
|
3.14%, 11/15/2035 (b)
|
4,887
|
4,163
|
|
Buckeye Partners LP
|
|
|
|
4.13%, 12/1/2027
|
435
|
429
|
|
4.50%, 3/1/2028 (b)
|
140
|
139
|
|
6.75%, 2/1/2030 (b)
|
1,060
|
1,098
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Builders FirstSource, Inc.
|
|
|
|
4.25%, 2/1/2032 (b)
|
1,317
|
1,212
|
|
6.38%, 3/1/2034 (b)
|
475
|
475
|
|
6.75%, 5/15/2035 (b)
|
303
|
306
|
|
Caesars Entertainment, Inc. 6.50%, 2/15/2032 (b)
|
541
|
527
|
|
Carnival Corp. Ltd.
|
|
|
|
5.75%, 1/15/2030 (a)
|
EUR2,100
|
2,590
|
|
5.75%, 8/1/2032 (b)
|
1,341
|
1,355
|
|
6.13%, 2/15/2033 (b)
|
1,040
|
1,053
|
|
Carnival plc 4.13%, 7/15/2031 (a)
|
EUR1,598
|
1,856
|
|
Caturus Energy LLC 7.13%, 5/15/2031 (b)
|
273
|
273
|
|
CCO Holdings LLC
|
|
|
|
5.13%, 5/1/2027 (b)
|
1,880
|
1,879
|
|
5.00%, 2/1/2028 (b)
|
3,665
|
3,629
|
|
5.38%, 6/1/2029 (b)
|
1,373
|
1,348
|
|
4.75%, 3/1/2030 (b)
|
7,188
|
6,793
|
|
4.50%, 8/15/2030 (b)
|
4,855
|
4,518
|
|
4.25%, 2/1/2031 (b)
|
4,492
|
4,067
|
|
7.38%, 3/1/2031 (b)
|
1,755
|
1,780
|
|
4.75%, 2/1/2032 (b)
|
920
|
820
|
|
7.00%, 2/1/2033 (b)
|
596
|
583
|
|
CD&R Smokey Buyer, Inc. 9.50%, 10/15/2029 (b)
|
1,524
|
915
|
|
Celanese US Holdings LLC
|
|
|
|
6.34%, 1/19/2029 (i)
|
EUR1,100
|
1,350
|
|
7.00%, 2/15/2031
|
1,104
|
1,144
|
|
5.00%, 4/15/2031
|
EUR700
|
823
|
|
7.38%, 2/15/2034
|
2,609
|
2,725
|
|
Cencora, Inc.
|
|
|
|
2.70%, 3/15/2031
|
5,053
|
4,615
|
|
4.90%, 2/13/2036
|
657
|
641
|
|
Central Garden & Pet Co. 4.13%, 10/15/2030
|
3,050
|
2,885
|
|
CF Industries, Inc. 4.95%, 6/1/2043
|
1,490
|
1,356
|
|
Chart Industries, Inc. 7.50%, 1/1/2030 (b)
|
700
|
725
|
|
Charter Communications Operating LLC
|
|
|
|
2.25%, 1/15/2029
|
1,280
|
1,195
|
|
3.50%, 6/1/2041
|
1,805
|
1,260
|
|
5.38%, 5/1/2047
|
2,844
|
2,294
|
|
5.13%, 7/1/2049
|
2,207
|
1,698
|
|
4.80%, 3/1/2050
|
1,725
|
1,280
|
|
3.90%, 6/1/2052
|
4,238
|
2,692
|
|
5.25%, 4/1/2053
|
1,155
|
901
|
|
Chemours Co. (The)
|
|
|
|
5.75%, 11/15/2028 (b)
|
934
|
932
|
|
8.00%, 1/15/2033 (b)
|
900
|
920
|
|
7.88%, 3/15/2034 (b)
|
329
|
334
|
|
Cheniere Energy Partners LP
|
|
|
|
4.50%, 10/1/2029
|
6,060
|
6,032
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
5.95%, 6/30/2033
|
4,670
|
4,899
|
|
5.75%, 8/15/2034
|
8,125
|
8,429
|
|
5.55%, 10/30/2035
|
3,150
|
3,214
|
|
Chord Energy Corp.
|
|
|
|
6.00%, 10/1/2030 (b)
|
311
|
315
|
|
6.75%, 3/15/2033 (b)
|
448
|
460
|
|
Ciena Corp. 4.00%, 1/31/2030 (b)
|
645
|
619
|
|
Cinemark USA, Inc.
|
|
|
|
5.25%, 7/15/2028 (b)
|
660
|
657
|
|
7.00%, 8/1/2032 (b)
|
214
|
222
|
|
Cipher Compute LLC 7.13%, 11/15/2030 (b)
|
1,770
|
1,845
|
|
Citigroup, Inc.
|
|
|
|
(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (d)
|
3,415
|
3,405
|
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (d) (f) (g)
|
5,130
|
5,238
|
|
(SOFR + 1.36%), 5.17%, 2/13/2030 (d)
|
2,080
|
2,110
|
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (d) (f) (g)
|
2,330
|
2,352
|
|
Series GG, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.89%),
6.88%, 8/15/2030 (d) (f) (g)
|
1,795
|
1,831
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (d)
|
5,530
|
5,508
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (d)
|
9,400
|
8,647
|
|
(SOFR + 1.17%), 4.50%, 9/11/2031 (d)
|
2,356
|
2,331
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (d)
|
375
|
333
|
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (d)
|
465
|
497
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (d)
|
3,345
|
3,416
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (d)
|
12,775
|
12,872
|
|
(EURIBOR 3 Month + 1.61%), 4.30%, 7/23/2036 (d)
|
EUR1,664
|
1,949
|
|
(SOFR + 1.49%), 5.17%, 9/11/2036 (d)
|
786
|
782
|
|
Clarios Global LP
|
|
|
|
6.75%, 2/15/2030 (b)
|
720
|
744
|
|
6.75%, 9/15/2032 (b)
|
2,669
|
2,734
|
|
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (b)
|
250
|
229
|
|
Clean Harbors, Inc. 5.75%, 10/15/2033 (b)
|
470
|
472
|
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
|
7.75%, 4/15/2028 (b)
|
2,040
|
2,044
|
|
7.50%, 6/1/2029 (b)
|
2,535
|
2,544
|
|
7.13%, 2/15/2031 (b)
|
1,784
|
1,844
|
|
7.50%, 3/15/2033 (b)
|
1,818
|
1,908
|
|
Cleveland-Cliffs, Inc.
|
|
|
|
4.63%, 3/1/2029 (b)
|
1,753
|
1,699
|
|
6.88%, 11/1/2029 (b)
|
340
|
348
|
|
7.50%, 9/15/2031 (b)
|
335
|
346
|
|
7.00%, 3/15/2032 (b)
|
251
|
254
|
|
Clydesdale Acquisition Holdings, Inc. 6.75%, 4/15/2032 (b)
|
1,362
|
1,309
|
|
Coherent Corp. 5.00%, 12/15/2029 (b)
|
5,309
|
5,255
|
|
Coinbase Global, Inc. 3.38%, 10/1/2028 (b)
|
1,430
|
1,373
|
|
Columbia Pipelines Operating Co. LLC
|
|
|
|
5.93%, 8/15/2030 (b)
|
8,155
|
8,496
|
|
6.04%, 11/15/2033 (b)
|
1,790
|
1,891
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Commercial Metals Co. 5.75%, 11/15/2033 (b)
|
349
|
349
|
|
Community Health Systems, Inc.
|
|
|
|
6.13%, 4/1/2030 (b)
|
765
|
696
|
|
5.25%, 5/15/2030 (b)
|
1,095
|
1,032
|
|
4.75%, 2/15/2031 (b)
|
1,964
|
1,806
|
|
10.88%, 1/15/2032 (b)
|
472
|
509
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (b)
|
2,382
|
2,340
|
|
Conduent Business Services LLC 6.00%, 11/1/2029 (b)
|
950
|
818
|
|
Connect Holding II LLC 10.50%, 4/3/2031 (b)
|
1,410
|
1,436
|
|
Constellation Energy Generation LLC 5.60%, 6/15/2042
|
716
|
708
|
|
Constellium SE
|
|
|
|
5.63%, 6/15/2028 (b)
|
930
|
931
|
|
5.38%, 8/15/2032 (a)
|
EUR670
|
811
|
|
Cooper-Standard Automotive, Inc. 9.25%, 3/1/2031 (b)
|
2,945
|
2,978
|
|
CoreWeave, Inc.
|
|
|
|
9.25%, 6/1/2030 (b)
|
1,194
|
1,218
|
|
9.00%, 2/1/2031 (b)
|
191
|
194
|
|
9.75%, 10/1/2031 (b)
|
670
|
691
|
|
Coterra Energy, Inc. 5.40%, 2/15/2035
|
12,724
|
12,895
|
|
Coty, Inc. 4.75%, 1/15/2029 (b)
|
420
|
407
|
|
Crescent Energy Finance LLC
|
|
|
|
7.63%, 4/1/2032 (b)
|
475
|
487
|
|
7.88%, 4/15/2032 (b)
|
1,840
|
1,886
|
|
7.38%, 1/15/2033 (b)
|
645
|
655
|
|
8.38%, 1/15/2034 (b)
|
1,132
|
1,187
|
|
Crown European Holdings SACA
|
|
|
|
5.00%, 5/15/2028 (a)
|
EUR2,100
|
2,523
|
|
4.50%, 1/15/2030 (a)
|
EUR731
|
875
|
|
3.75%, 9/30/2031 (b)
|
EUR980
|
1,137
|
|
CSC Holdings LLC 6.50%, 2/1/2029 (b)
|
5,295
|
3,112
|
|
Cyprium Corp. 6.13%, 4/15/2031 (b)
|
456
|
456
|
|
DaVita, Inc.
|
|
|
|
4.63%, 6/1/2030 (b)
|
2,975
|
2,891
|
|
3.75%, 2/15/2031 (b)
|
648
|
603
|
|
6.88%, 9/1/2032 (b)
|
396
|
410
|
|
DCP Midstream Operating LP 6.75%, 9/15/2037 (b)
|
535
|
583
|
|
Dexko Global, Inc. 7.50%, 4/15/2032 (b)
|
1,380
|
1,194
|
|
Diamondback Energy, Inc.
|
|
|
|
3.13%, 3/24/2031
|
3,145
|
2,946
|
|
5.75%, 4/18/2054
|
4,200
|
4,126
|
|
Diebold Nixdorf, Inc. 7.75%, 3/31/2030 (b)
|
1,911
|
1,999
|
|
Discovery Global Holdings, Inc. 4.28%, 3/15/2032
|
950
|
857
|
|
DISH DBS Corp.
|
|
|
|
7.75%, 7/1/2026
|
1,286
|
1,280
|
|
5.25%, 12/1/2026 (b)
|
2,995
|
2,984
|
|
5.75%, 12/1/2028 (b)
|
1,040
|
1,021
|
|
DISH Network Corp. 11.75%, 11/15/2027 (b)
|
5,473
|
5,639
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Dominion Energy, Inc.
|
|
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (d)
|
470
|
500
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (d)
|
730
|
757
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.21%), 6.63%, 5/15/2055 (d)
|
4,056
|
4,154
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.26%), 6.00%, 2/15/2056 (d)
|
4,190
|
4,213
|
|
Duke Energy Progress LLC 3.40%, 4/1/2032
|
1,410
|
1,320
|
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b)
|
1,920
|
1,693
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (b)
|
840
|
825
|
|
EchoStar Corp. 6.75% (Cash), 11/30/2030 (h)
|
700
|
715
|
|
Edged Compute LLC 7.50%, 4/30/2031 (b)
|
895
|
897
|
|
Edgewell Personal Care Co.
|
|
|
|
5.50%, 6/1/2028 (b)
|
2,281
|
2,273
|
|
4.13%, 4/1/2029 (b)
|
1,469
|
1,404
|
|
Elastic NV 4.13%, 7/15/2029 (b)
|
930
|
891
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (b)
|
1,325
|
1,289
|
|
EMRLD Borrower LP
|
|
|
|
6.38%, 12/15/2030 (a)
|
EUR2,617
|
3,146
|
|
6.63%, 12/15/2030 (b)
|
1,795
|
1,835
|
|
6.75%, 7/15/2031 (b)
|
277
|
286
|
|
Encompass Health Corp.
|
|
|
|
4.50%, 2/1/2028
|
20
|
20
|
|
4.75%, 2/1/2030
|
300
|
295
|
|
4.63%, 4/1/2031
|
1,590
|
1,539
|
|
Endo Finance Holdings LP 8.50%, 4/15/2031 (b)
|
223
|
238
|
|
Energizer Holdings, Inc.
|
|
|
|
4.75%, 6/15/2028 (b)
|
2,192
|
2,166
|
|
4.38%, 3/31/2029 (b)
|
1,875
|
1,805
|
|
Energy Transfer LP
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (d)
|
4,170
|
4,436
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.50%, 2/15/2056 (d)
|
5,125
|
5,167
|
|
Entegris, Inc.
|
|
|
|
4.38%, 4/15/2028 (b)
|
200
|
197
|
|
5.95%, 6/15/2030 (b)
|
6,005
|
6,067
|
|
Entergy Corp.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (d)
|
3,040
|
3,152
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.18%), 5.88%, 6/15/2056 (d)
|
2,229
|
2,237
|
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
1,355
|
1,185
|
|
EQT Corp.
|
|
|
|
4.50%, 1/15/2029
|
463
|
460
|
|
4.75%, 1/15/2031
|
529
|
526
|
|
EquipmentShare.com, Inc.
|
|
|
|
9.00%, 5/15/2028 (b)
|
1,040
|
1,079
|
|
8.63%, 5/15/2032 (b)
|
890
|
935
|
|
8.00%, 3/15/2033 (b)
|
313
|
326
|
|
Esab Corp. 5.63%, 4/1/2031 (b)
|
276
|
277
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡ (j)
|
248
|
—
(l)
|
|
EUSHI Finance, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 2.51%), 6.25%, 4/1/2056 (d)
|
3,596
|
3,571
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Expand Energy Corp. 5.38%, 3/15/2030
|
5,915
|
5,968
|
|
Fair Isaac Corp. 6.00%, 5/15/2033 (b)
|
384
|
380
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
2,795
|
2,771
|
|
First Student Bidco, Inc. 4.00%, 7/31/2029 (b)
|
535
|
517
|
|
FirstEnergy Transmission LLC 2.87%, 9/15/2028 (b)
|
4,375
|
4,210
|
|
Flash Compute LLC 7.25%, 12/31/2030 (b)
|
1,220
|
1,258
|
|
Ford Motor Credit Co. LLC
|
|
|
|
4.95%, 5/28/2027
|
2,550
|
2,556
|
|
2.90%, 2/10/2029
|
6,075
|
5,732
|
|
5.73%, 9/5/2030
|
1,000
|
1,011
|
|
5.42%, 4/9/2031
|
4,150
|
4,137
|
|
5.75%, 4/6/2033
|
2,068
|
2,063
|
|
6.47%, 5/22/2036
|
6,800
|
6,975
|
|
Foundry JV Holdco LLC
|
|
|
|
5.50%, 1/25/2031 (b)
|
1,705
|
1,747
|
|
6.25%, 1/25/2035 (b)
|
3,700
|
3,913
|
|
6.10%, 1/25/2036 (b)
|
1,119
|
1,176
|
|
6.20%, 1/25/2037 (b)
|
452
|
477
|
|
Freeport-McMoRan, Inc. 4.13%, 3/1/2028
|
367
|
364
|
|
GCI LLC 4.75%, 10/15/2028 (b)
|
3,720
|
3,590
|
|
General Electric Co. 4.13%, 9/19/2035 (a)
|
EUR493
|
597
|
|
General Motors Co. 5.15%, 4/1/2038
|
1,600
|
1,525
|
|
General Motors Financial Co., Inc.
|
|
|
|
2.35%, 1/8/2031
|
2,300
|
2,062
|
|
5.60%, 6/18/2031
|
1,636
|
1,683
|
|
5.45%, 9/6/2034
|
6,980
|
7,024
|
|
5.90%, 1/7/2035
|
4,755
|
4,905
|
|
Genesis Energy LP
|
|
|
|
8.25%, 1/15/2029
|
235
|
244
|
|
8.00%, 5/15/2033
|
210
|
220
|
|
6.75%, 3/15/2034
|
344
|
345
|
|
GFL Environmental Holdings US, Inc. 5.50%, 2/1/2034 (b)
|
2,045
|
1,997
|
|
GFL Environmental, Inc.
|
|
|
|
4.00%, 8/1/2028 (b)
|
2,110
|
2,063
|
|
4.75%, 6/15/2029 (b)
|
875
|
862
|
|
4.38%, 8/15/2029 (b)
|
400
|
390
|
|
Global Infrastructure Solutions, Inc.
|
|
|
|
5.63%, 6/1/2029 (b)
|
345
|
345
|
|
7.50%, 4/15/2032 (b)
|
700
|
737
|
|
Global Medical Response, Inc. 7.38%, 10/1/2032 (b)
|
376
|
391
|
|
Global Payments, Inc. 5.55%, 11/15/2035
|
2,620
|
2,556
|
|
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (b)
|
790
|
790
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
(SOFR + 1.51%), 4.39%, 6/15/2027 (d)
|
4,905
|
4,905
|
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (d)
|
3,790
|
3,755
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (d)
|
4,540
|
4,483
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (d) (f) (g)
|
5,020
|
5,265
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Series Z, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%),
6.85%, 2/10/2030 (d) (f) (g)
|
1,328
|
1,362
|
|
(SOFR + 1.14%), 4.69%, 10/23/2030 (d)
|
1,000
|
998
|
|
(SOFR + 1.08%), 5.21%, 1/28/2031 (d)
|
2,090
|
2,118
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (d)
|
2,165
|
2,197
|
|
(SOFR + 1.06%), 4.37%, 10/21/2031 (d)
|
2,905
|
2,847
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (d)
|
1,730
|
1,558
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (d)
|
11,190
|
9,961
|
|
(SOFR + 1.33%), 4.94%, 10/21/2036 (d)
|
1,114
|
1,082
|
|
(SOFR + 1.19%), 5.07%, 1/21/2037 (d)
|
3,006
|
2,941
|
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (d)
|
2,665
|
2,340
|
|
Goodyear Tire & Rubber Co. (The)
|
|
|
|
5.00%, 7/15/2029
|
1,873
|
1,789
|
|
6.63%, 7/15/2030
|
242
|
237
|
|
Granite Construction, Inc. 6.38%, 6/15/2034 (b) (e)
|
302
|
308
|
|
Graphic Packaging International LLC 2.63%, 2/1/2029 (a)
|
EUR970
|
1,092
|
|
Gray Media, Inc.
|
|
|
|
10.50%, 7/15/2029 (b)
|
1,211
|
1,282
|
|
4.75%, 10/15/2030 (b)
|
1,525
|
1,155
|
|
7.25%, 8/15/2033 (b)
|
807
|
800
|
|
Griffon Corp. 5.75%, 3/1/2028
|
3,780
|
3,779
|
|
Group 1 Automotive, Inc. 6.38%, 1/15/2030 (b)
|
272
|
277
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (b)
|
577
|
592
|
|
Harvest Midstream I LP 6.75%, 5/15/2034 (b)
|
237
|
243
|
|
HCA, Inc.
|
|
|
|
4.50%, 2/15/2027
|
1,840
|
1,839
|
|
5.20%, 6/1/2028
|
1,740
|
1,763
|
|
5.63%, 9/1/2028
|
1,147
|
1,168
|
|
2.38%, 7/15/2031
|
4,335
|
3,846
|
|
4.60%, 11/15/2032
|
1,778
|
1,736
|
|
5.50%, 6/15/2047
|
181
|
168
|
|
5.25%, 6/15/2049
|
3,740
|
3,338
|
|
3.50%, 7/15/2051
|
1,470
|
984
|
|
5.95%, 9/15/2054
|
7,236
|
7,034
|
|
6.20%, 3/1/2055
|
77
|
77
|
|
Healthpeak OP LLC, REIT 5.25%, 12/15/2032
|
4,042
|
4,087
|
|
Herc Holdings, Inc. 7.00%, 6/15/2030 (b)
|
569
|
591
|
|
Hertz Corp. (The)
|
|
|
|
4.63%, 12/1/2026 (b)
|
682
|
644
|
|
12.63%, 7/15/2029 (b)
|
1,712
|
1,559
|
|
Hertz Corp. (The), Escrow
|
|
|
|
5.50%, 10/15/2024 ‡ (b) (j)
|
1,600
|
—
|
|
7.13%, 8/1/2026 ‡ (a) (j)
|
265
|
—
|
|
6.00%, 1/15/2028 ‡ (j)
|
685
|
—
|
|
Hess Midstream Operations LP
|
|
|
|
5.88%, 3/1/2028 (b)
|
200
|
202
|
|
5.13%, 6/15/2028 (b)
|
415
|
414
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (b)
|
1,205
|
1,202
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Hilton Domestic Operating Co., Inc.
|
|
|
|
5.50%, 9/15/2031 (b)
|
400
|
402
|
|
5.88%, 3/15/2033 (b)
|
628
|
635
|
|
5.75%, 9/15/2033 (b)
|
825
|
832
|
|
5.50%, 3/31/2034 (b)
|
1,769
|
1,761
|
|
Hilton Worldwide Finance LLC 4.88%, 4/1/2027
|
455
|
455
|
|
Howard Midstream Energy Partners LLC 6.63%, 1/15/2034 (b)
|
1,000
|
1,012
|
|
Huntington Bancshares, Inc. (SOFRINDX + 1.87%), 5.71%, 2/2/2035 (d)
|
204
|
209
|
|
Hyundai Capital America
|
|
|
|
3.50%, 11/2/2026 (b)
|
8,025
|
7,996
|
|
5.40%, 1/8/2031 (b)
|
3,460
|
3,524
|
|
ICITII 6.00%, 1/31/2033 ‡ (b)
|
392
|
192
|
|
iHeartCommunications, Inc.
|
|
|
|
9.13%, 5/1/2029 (b)
|
3,388
|
3,284
|
|
10.88%, 5/1/2030 (b)
|
2,182
|
1,854
|
|
7.75%, 8/15/2030 (b)
|
739
|
678
|
|
ILFC E-Capital Trust I 6.38%, 12/21/2065 (b) (k)
|
500
|
429
|
|
ILFC E-Capital Trust II 6.63%, 12/21/2065 (b) (k)
|
535
|
470
|
|
Infinity Natural Resources LLC 7.63%, 4/1/2031 (b)
|
210
|
212
|
|
Ingram Micro, Inc. 4.75%, 5/15/2029 (b)
|
2,295
|
2,256
|
|
Installed Building Products, Inc. 5.63%, 2/1/2034 (b)
|
217
|
213
|
|
ION Platform Finance US, Inc. 7.88%, 9/30/2032 (b)
|
604
|
468
|
|
IQVIA, Inc.
|
|
|
|
2.25%, 1/15/2028 (a)
|
EUR1,120
|
1,283
|
|
2.88%, 6/15/2028 (a)
|
EUR3,359
|
3,867
|
|
2.25%, 3/15/2029 (a)
|
EUR1,090
|
1,226
|
|
6.25%, 6/1/2032 (b)
|
1,363
|
1,392
|
|
Iron Mountain, Inc., REIT
|
|
|
|
4.88%, 9/15/2027 (b)
|
597
|
595
|
|
5.00%, 7/15/2028 (b)
|
1,100
|
1,097
|
|
4.88%, 9/15/2029 (b)
|
845
|
830
|
|
ITC Holdings Corp.
|
|
|
|
2.95%, 5/14/2030 (b)
|
7,371
|
6,878
|
|
5.50%, 4/15/2036 (b)
|
3,180
|
3,215
|
|
Jazz Securities DAC 4.38%, 1/15/2029 (b)
|
915
|
898
|
|
JBS NV
|
|
|
|
6.75%, 3/15/2034
|
441
|
480
|
|
5.95%, 4/20/2035
|
5,739
|
5,917
|
|
5.50%, 1/15/2036
|
6,610
|
6,595
|
|
5.63%, 3/10/2037 (b)
|
430
|
429
|
|
4.38%, 2/2/2052
|
1,177
|
890
|
|
7.25%, 11/15/2053
|
2,820
|
3,088
|
|
JELD-WEN Holding, Inc. 7.00%, 9/1/2032 (b)
|
395
|
242
|
|
JELD-WEN, Inc. 4.88%, 12/15/2027 (b)
|
870
|
715
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (b)
|
2,226
|
2,048
|
|
JH North America Holdings, Inc.
|
|
|
|
5.88%, 1/31/2031 (b)
|
252
|
252
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
6.13%, 7/31/2032 (b)
|
377
|
378
|
|
Kinder Morgan, Inc. 5.20%, 6/1/2033
|
3,440
|
3,500
|
|
Kinetik Holdings LP 5.88%, 6/15/2030 (b)
|
550
|
553
|
|
Kodiak Gas Services LLC
|
|
|
|
5.88%, 4/1/2031 (b)
|
235
|
236
|
|
6.50%, 10/1/2033 (b)
|
179
|
182
|
|
Labl
|
|
|
|
0.00%, 12/31/2026 ‡
|
74
|
73
|
|
0.00%, 12/31/2033 ‡
|
—
|
117
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (b)
|
270
|
258
|
|
Level 3 Financing, Inc.
|
|
|
|
6.88%, 6/30/2033 (b)
|
1,291
|
1,330
|
|
7.00%, 3/31/2034 (b)
|
671
|
696
|
|
Lithia Motors, Inc. 5.50%, 10/1/2030 (b)
|
365
|
362
|
|
Live Nation Entertainment, Inc.
|
|
|
|
6.50%, 5/15/2027 (b)
|
395
|
395
|
|
4.75%, 10/15/2027 (b)
|
2,500
|
2,491
|
|
Lsf12 Helix Parent LLC 7.13%, 2/1/2033 (b)
|
275
|
269
|
|
LSF12 Pillar Investments US, Inc. 5.75%, 5/15/2033 (b)
|
EUR990
|
1,155
|
|
LYB International Finance III LLC 5.88%, 1/15/2036
|
3,435
|
3,483
|
|
M&T Bank Corp. (SOFR + 1.61%), 5.39%, 1/16/2036 (d)
|
1,816
|
1,812
|
|
Madison IAQ LLC
|
|
|
|
4.13%, 6/30/2028 (b)
|
1,630
|
1,610
|
|
5.88%, 6/30/2029 (b)
|
1,475
|
1,475
|
|
Maple Parent Holdings Corp.
|
|
|
|
5.70%, 3/26/2036 (b)
|
1,023
|
1,034
|
|
6.63%, 3/26/2056 (b)
|
1,095
|
1,141
|
|
Mars, Inc. 5.20%, 3/1/2035 (b)
|
4,065
|
4,092
|
|
Marvell Technology, Inc.
|
|
|
|
2.95%, 4/15/2031
|
2,350
|
2,166
|
|
5.45%, 7/15/2035
|
690
|
706
|
|
5.30%, 4/15/2036
|
1,446
|
1,447
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (b)
|
3,956
|
3,949
|
|
Matador Resources Co.
|
|
|
|
6.25%, 4/15/2033 (b)
|
1,342
|
1,349
|
|
6.00%, 4/15/2034 (b)
|
336
|
332
|
|
Mauser Packaging Solutions Holding Co.
|
|
|
|
7.88%, 4/15/2030 (b)
|
2,490
|
2,515
|
|
9.25%, 4/15/2030 (b)
|
485
|
465
|
|
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (b)
|
790
|
785
|
|
Medline Borrower LP
|
|
|
|
3.88%, 4/1/2029 (b)
|
440
|
428
|
|
6.25%, 4/1/2029 (b)
|
563
|
578
|
|
5.25%, 10/1/2029 (b)
|
1,570
|
1,567
|
|
Merck & Co., Inc. 5.55%, 12/4/2055
|
2,820
|
2,772
|
|
Meridian Arc Holdco LLC 6.25%, 4/30/2031 (b)
|
2,599
|
2,612
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Meta Platforms, Inc.
|
|
|
|
4.88%, 11/15/2035
|
1,028
|
1,004
|
|
5.50%, 11/15/2045
|
2,440
|
2,290
|
|
4.45%, 8/15/2052
|
3,701
|
2,903
|
|
5.63%, 11/15/2055
|
214
|
197
|
|
6.30%, 5/15/2056
|
5,015
|
5,060
|
|
MetLife, Inc.
|
|
|
|
6.40%, 12/15/2036
|
435
|
446
|
|
9.25%, 4/8/2038 (b)
|
3,935
|
4,611
|
|
10.75%, 8/1/2039
|
280
|
362
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.82%), 5.85%, 3/15/2056 (d)
|
1,124
|
1,111
|
|
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b)
|
2,100
|
2,032
|
|
MGM Resorts International
|
|
|
|
5.50%, 4/15/2027
|
15
|
15
|
|
6.13%, 9/15/2029
|
581
|
590
|
|
6.50%, 4/15/2032
|
1,000
|
1,019
|
|
Midcontinent Communications 8.00%, 8/15/2032 (b)
|
1,308
|
1,235
|
|
Millrose Properties, Inc., REIT 6.38%, 8/1/2030 (b)
|
603
|
611
|
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (b)
|
680
|
635
|
|
MKS, Inc. 4.25%, 2/15/2034 (b)
|
EUR1,065
|
1,209
|
|
Molina Healthcare, Inc. 3.88%, 11/15/2030 (b)
|
800
|
740
|
|
Morgan Stanley
|
|
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (d)
|
967
|
966
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (d)
|
3,015
|
3,042
|
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (d)
|
965
|
975
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (d)
|
7,680
|
7,815
|
|
(SOFR + 1.10%), 4.65%, 10/18/2030 (d)
|
2,520
|
2,511
|
|
(SOFR + 1.11%), 5.23%, 1/15/2031 (d)
|
4,235
|
4,298
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (d)
|
11,330
|
10,547
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (d)
|
882
|
768
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (d)
|
535
|
474
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (d)
|
416
|
424
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (d)
|
3,570
|
3,606
|
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (d)
|
5,235
|
4,552
|
|
(SOFR + 1.18%), 5.07%, 1/30/2037 (d)
|
3,069
|
3,005
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d)
|
3,970
|
4,108
|
|
3.97%, 7/22/2038 (k)
|
3,985
|
3,510
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 5.31%, 1/18/2041 (d)
|
1,750
|
1,709
|
|
Morgan Stanley Private Bank NA (SOFR + 1.02%), 4.47%, 11/19/2031 (d)
|
3,875
|
3,816
|
|
MPT Operating Partnership LP, REIT 8.50%, 2/15/2032 (b)
|
413
|
430
|
|
NCL Corp. Ltd. 5.88%, 1/15/2031 (b)
|
1,373
|
1,327
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (b)
|
1,207
|
1,290
|
|
NCR Voyix Corp. 5.00%, 10/1/2028 (b)
|
815
|
801
|
|
Neptune Bidco US, Inc.
|
|
|
|
9.29%, 4/15/2029 (b)
|
625
|
639
|
|
9.50%, 2/15/2033 (b)
|
433
|
443
|
|
Netflix, Inc. 5.38%, 11/15/2029 (b)
|
9,956
|
10,248
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
New Albertsons LP
|
|
|
|
7.45%, 8/1/2029
|
197
|
206
|
|
8.00%, 5/1/2031
|
480
|
512
|
|
Newell Brands, Inc.
|
|
|
|
8.50%, 6/1/2028 (b)
|
490
|
512
|
|
6.63%, 9/15/2029
|
455
|
455
|
|
6.38%, 5/15/2030
|
285
|
281
|
|
6.63%, 5/15/2032
|
1,595
|
1,552
|
|
7.50%, 4/1/2046 (i)
|
300
|
262
|
|
Nexstar Media, Inc.
|
|
|
|
4.75%, 11/1/2028 (b)
|
1,160
|
1,142
|
|
6.50%, 9/15/2033 (b)
|
3,547
|
3,575
|
|
7.25%, 4/15/2034 (b)
|
2,385
|
2,400
|
|
NextEra Energy Capital Holdings, Inc.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (d)
|
1,700
|
1,774
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.36%), 6.70%, 9/1/2054 (d)
|
1,775
|
1,828
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 6.38%, 8/15/2055 (d)
|
705
|
722
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%), 6.50%, 8/15/2055 (d)
|
550
|
570
|
|
NGL Energy Operating LLC 8.13%, 2/15/2029 (b)
|
1,085
|
1,127
|
|
NiSource, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%),
6.95%, 11/30/2054 (d)
|
1,808
|
1,878
|
|
NNN REIT, Inc., REIT 5.50%, 6/15/2034
|
930
|
948
|
|
Noble Finance II LLC 8.00%, 4/15/2030 (b)
|
423
|
440
|
|
Novelis Corp.
|
|
|
|
4.75%, 1/30/2030 (b)
|
615
|
592
|
|
6.88%, 1/30/2030 (b)
|
157
|
161
|
|
Novelis Sheet Ingot GmbH 3.38%, 4/15/2029 (a)
|
EUR1,368
|
1,570
|
|
NRG Energy, Inc.
|
|
|
|
5.75%, 1/15/2028
|
200
|
200
|
|
5.25%, 6/15/2029 (b)
|
1,420
|
1,413
|
|
3.63%, 2/15/2031 (b)
|
865
|
802
|
|
5.88%, 5/15/2034 (b)
|
592
|
588
|
|
5.41%, 10/15/2035 (b)
|
1,641
|
1,611
|
|
6.13%, 5/15/2036 (b)
|
148
|
148
|
|
NuStar Logistics LP 5.63%, 4/28/2027
|
1,000
|
1,003
|
|
OAK-Eagle Acquireco, Inc.
|
|
|
|
6.25%, 7/1/2033 (b)
|
EUR571
|
694
|
|
7.25%, 7/1/2033 (b)
|
484
|
505
|
|
8.75%, 7/1/2034 (b)
|
523
|
553
|
|
OI European Group BV
|
|
|
|
6.25%, 5/15/2028 (a)
|
EUR100
|
119
|
|
6.25%, 5/15/2028 (b)
|
EUR989
|
1,173
|
|
5.25%, 6/1/2029 (a)
|
EUR1,043
|
1,231
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (b)
|
2,301
|
2,245
|
|
OneMain Finance Corp.
|
|
|
|
3.88%, 9/15/2028
|
2,150
|
2,080
|
|
4.00%, 9/15/2030
|
700
|
646
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Oracle Corp.
|
|
|
|
5.70%, 2/4/2036
|
206
|
202
|
|
6.55%, 2/4/2046
|
2,829
|
2,728
|
|
4.00%, 7/15/2046
|
430
|
299
|
|
3.60%, 4/1/2050
|
2,749
|
1,718
|
|
3.95%, 3/25/2051
|
815
|
535
|
|
5.38%, 9/27/2054
|
3,149
|
2,525
|
|
6.00%, 8/3/2055
|
160
|
140
|
|
6.70%, 2/4/2056
|
4,128
|
3,976
|
|
6.85%, 2/4/2066
|
2,605
|
2,495
|
|
Organon & Co.
|
|
|
|
2.88%, 4/30/2028 (a)
|
EUR1,576
|
1,820
|
|
4.13%, 4/30/2028 (b)
|
2,880
|
2,845
|
|
5.13%, 4/30/2031 (b)
|
850
|
843
|
|
Outfront Media Capital LLC
|
|
|
|
5.00%, 8/15/2027 (b)
|
545
|
545
|
|
4.63%, 3/15/2030 (b)
|
433
|
421
|
|
Pacific Gas and Electric Co.
|
|
|
|
4.65%, 8/1/2028
|
4,230
|
4,221
|
|
6.15%, 1/15/2033
|
2,570
|
2,695
|
|
6.40%, 6/15/2033
|
5,220
|
5,555
|
|
6.00%, 8/15/2035
|
1,352
|
1,395
|
|
3.75%, 8/15/2042 (i)
|
1,530
|
1,154
|
|
4.60%, 6/15/2043
|
2,692
|
2,232
|
|
4.75%, 2/15/2044
|
294
|
249
|
|
Performance Food Group, Inc.
|
|
|
|
4.25%, 8/1/2029 (b)
|
895
|
867
|
|
6.13%, 9/15/2032 (b)
|
261
|
264
|
|
5.63%, 3/1/2034 (b)
|
390
|
381
|
|
Permian Resources Operating LLC
|
|
|
|
7.00%, 1/15/2032 (b)
|
2,020
|
2,106
|
|
6.25%, 2/1/2033 (b)
|
458
|
471
|
|
Perrigo Finance Unlimited Co.
|
|
|
|
5.38%, 9/30/2032
|
EUR630
|
714
|
|
6.13%, 9/30/2032
|
330
|
315
|
|
Petco Health & Wellness Co., Inc. 8.25%, 2/1/2031 (b)
|
548
|
549
|
|
PetSmart LLC 7.50%, 9/15/2032 (b)
|
1,137
|
1,146
|
|
PG&E Corp.
|
|
|
|
5.00%, 7/1/2028
|
463
|
461
|
|
5.25%, 7/1/2030
|
410
|
406
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.88%), 7.38%, 3/15/2055 (d)
|
5,548
|
5,650
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.85%, 9/15/2056 (d)
|
322
|
321
|
|
Philip Morris International, Inc. 5.63%, 11/17/2029
|
3,000
|
3,104
|
|
Piedmont Natural Gas Co., Inc. 3.35%, 6/1/2050
|
853
|
582
|
|
Pioneer Opco LLC 7.00%, 5/15/2033 (b)
|
202
|
206
|
|
PNC Financial Services Group, Inc. (The)
|
|
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 2.81%),
6.25%, 3/15/2030 (d) (f) (g)
|
3,486
|
3,560
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (d)
|
1,975
|
1,970
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (d)
|
1,055
|
1,089
|
|
(SOFR + 1.42%), 5.37%, 7/21/2036 (d)
|
500
|
505
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 5.42%, 1/25/2041 (d)
|
590
|
580
|
|
Post Holdings, Inc. 4.63%, 4/15/2030 (b)
|
1,000
|
973
|
|
PR RNO Property Owner 1 LLC 6.50%, 5/1/2031 (b)
|
2,545
|
2,549
|
|
Prairie Acquiror LP 9.00%, 8/1/2029 (b)
|
560
|
584
|
|
Prestige Brands, Inc. 5.13%, 1/15/2028 (b)
|
1,270
|
1,266
|
|
Primo Water Holdings, Inc. 6.25%, 4/1/2029 (b)
|
586
|
587
|
|
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.40%), 6.50%, 3/15/2054 (d)
|
2,395
|
2,466
|
|
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030
|
2,695
|
2,380
|
|
Qnity Electronics, Inc.
|
|
|
|
5.75%, 8/15/2032 (b)
|
198
|
199
|
|
6.25%, 8/15/2033 (b)
|
727
|
741
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (b)
|
2,052
|
2,089
|
|
QXO Building Products, Inc. 6.75%, 4/30/2032 (b)
|
920
|
937
|
|
Radiology Partners, Inc. 8.50%, 7/15/2032 (b)
|
1,213
|
1,243
|
|
Range Resources Corp. 4.75%, 2/15/2030 (b)
|
575
|
563
|
|
Raven Acquisition Holdings LLC 6.88%, 11/15/2031 (b)
|
506
|
496
|
|
RD Michigan Property Owner I LLC 7.50%, 3/30/2045 (b)
|
8,060
|
8,076
|
|
RHP Hotel Properties LP, REIT
|
|
|
|
4.50%, 2/15/2029 (b)
|
755
|
741
|
|
6.50%, 6/15/2033 (b)
|
196
|
202
|
|
5.75%, 3/15/2034 (b)
|
234
|
232
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (b)
|
3,169
|
3,323
|
|
Rocket Cos., Inc.
|
|
|
|
6.13%, 8/1/2030 (b)
|
799
|
811
|
|
7.13%, 2/1/2032 (b)
|
985
|
1,020
|
|
6.38%, 8/1/2033 (b)
|
424
|
431
|
|
Rocket Mortgage LLC
|
|
|
|
2.88%, 10/15/2026 (b)
|
1,170
|
1,161
|
|
3.63%, 3/1/2029 (b)
|
640
|
615
|
|
4.00%, 10/15/2033 (b)
|
435
|
390
|
|
Rockies Express Pipeline LLC 6.75%, 3/15/2033 (b)
|
344
|
358
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
5.63%, 9/30/2031 (b)
|
556
|
561
|
|
6.25%, 3/15/2032 (b)
|
470
|
480
|
|
6.00%, 2/1/2033 (b)
|
693
|
703
|
|
San Diego Gas & Electric Co. Series DDDD, 5.20%, 3/15/2036
|
1,390
|
1,392
|
|
SBA Communications Corp., REIT 3.13%, 2/1/2029
|
295
|
283
|
|
SCIL IV LLC 9.50%, 7/15/2028 (a)
|
EUR960
|
1,155
|
|
Scotts Miracle-Gro Co. (The)
|
|
|
|
5.25%, 12/15/2026
|
395
|
394
|
|
4.50%, 10/15/2029
|
1,537
|
1,498
|
|
4.00%, 4/1/2031
|
2,495
|
2,321
|
|
4.38%, 2/1/2032
|
2,680
|
2,493
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Seagate Data Storage Technology Pte. Ltd.
|
|
|
|
4.09%, 6/1/2029 (b)
|
1,369
|
1,342
|
|
8.25%, 12/15/2029 (b)
|
825
|
860
|
|
5.75%, 12/1/2034 (b)
|
485
|
493
|
|
Sempra
|
|
|
|
3.80%, 2/1/2038
|
1,865
|
1,583
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.63%), 6.38%, 4/1/2056 (d)
|
831
|
841
|
|
Sensata Technologies BV
|
|
|
|
4.00%, 4/15/2029 (b)
|
1,217
|
1,187
|
|
5.88%, 9/1/2030 (b)
|
200
|
201
|
|
Sensata Technologies, Inc.
|
|
|
|
3.75%, 2/15/2031 (b)
|
11
|
10
|
|
6.63%, 7/15/2032 (b)
|
2,800
|
2,900
|
|
Service Corp. International
|
|
|
|
5.13%, 6/1/2029
|
325
|
325
|
|
3.38%, 8/15/2030
|
974
|
906
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (b)
|
392
|
392
|
|
Shutterfly Finance LLC
|
|
|
|
8.50% (Cash), 10/1/2027 (b) (h)
|
1,329
|
1,321
|
|
9.75%, 10/1/2027 (b)
|
173
|
173
|
|
Silgan Holdings, Inc.
|
|
|
|
2.25%, 6/1/2028
|
EUR433
|
491
|
|
4.25%, 2/15/2031 (a)
|
EUR1,500
|
1,731
|
|
Sinclair Television Group, Inc. 8.13%, 2/15/2033 (b)
|
1,197
|
1,230
|
|
Sirius XM Radio LLC
|
|
|
|
4.00%, 7/15/2028 (b)
|
1,583
|
1,542
|
|
5.50%, 7/1/2029 (b)
|
2,426
|
2,417
|
|
4.13%, 7/1/2030 (b)
|
600
|
566
|
|
5.88%, 4/15/2032 (b)
|
774
|
770
|
|
Six Flags Entertainment Corp.
|
|
|
|
5.25%, 7/15/2029
|
409
|
396
|
|
8.63%, 1/15/2032 (b)
|
358
|
368
|
|
6.63%, 5/1/2032 (b)
|
1,170
|
1,196
|
|
SM Energy Co.
|
|
|
|
6.63%, 1/15/2027
|
2,180
|
2,183
|
|
6.75%, 8/1/2029 (b)
|
469
|
481
|
|
8.75%, 7/1/2031 (b)
|
995
|
1,042
|
|
7.00%, 8/1/2032 (b)
|
402
|
412
|
|
9.63%, 6/15/2033 (b)
|
264
|
294
|
|
6.63%, 4/15/2034 (b)
|
488
|
491
|
|
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (b)
|
1,215
|
1,281
|
|
Snap, Inc. 6.88%, 3/1/2033 (b)
|
252
|
250
|
|
Solaris Energy Infrastructure LLC 6.38%, 5/15/2031 (b)
|
536
|
544
|
|
Solstice Advanced Materials, Inc. 5.63%, 9/30/2033 (b)
|
952
|
941
|
|
Solventum Corp. 5.60%, 3/23/2034
|
370
|
380
|
|
Somnigroup International, Inc.
|
|
|
|
4.00%, 4/15/2029 (b)
|
3,965
|
3,811
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
3.88%, 10/15/2031 (b)
|
435
|
398
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b)
|
2,310
|
2,264
|
|
Southern California Edison Co.
|
|
|
|
Series A, 4.20%, 3/1/2029
|
2,217
|
2,189
|
|
5.45%, 3/1/2035
|
91
|
91
|
|
Series 13-A, 3.90%, 3/15/2043
|
564
|
431
|
|
3.65%, 2/1/2050
|
1,513
|
1,046
|
|
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031
|
1,724
|
1,520
|
|
Spectrum Brands, Inc. 3.88%, 3/15/2031 (b)
|
217
|
189
|
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
4,210
|
4,436
|
|
SS&C Technologies, Inc.
|
|
|
|
5.50%, 9/30/2027 (b)
|
2,035
|
2,035
|
|
6.50%, 6/1/2032 (b)
|
2,615
|
2,638
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (b)
|
1,464
|
1,425
|
|
Standard Building Solutions, Inc. 6.25%, 8/1/2033 (b)
|
2,692
|
2,696
|
|
Standard Industries, Inc.
|
|
|
|
4.75%, 1/15/2028 (b)
|
1,365
|
1,358
|
|
4.38%, 7/15/2030 (b)
|
420
|
400
|
|
Staples, Inc.
|
|
|
|
10.75%, 9/1/2029 (b)
|
3,005
|
2,859
|
|
12.75%, 1/15/2030 (b)
|
403
|
309
|
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%, 3/15/2029 (d) (f)
(g)
|
821
|
844
|
|
Station Casinos LLC 6.63%, 3/15/2032 (b)
|
505
|
512
|
|
Stellantis Finance US, Inc.
|
|
|
|
5.75%, 3/18/2030 (b)
|
1,181
|
1,186
|
|
6.45%, 3/18/2035 (b)
|
2,660
|
2,683
|
|
Stellantis Financial Services US Corp.
|
|
|
|
5.40%, 6/15/2029 (b)
|
2,900
|
2,907
|
|
5.80%, 6/15/2031 (b)
|
1,935
|
1,939
|
|
Stellantis NV (EURIBOR ICE Swap Rate 5 Year + 4.24%), 6.88%, 12/16/2033 (a) (d) (f) (g)
|
EUR2,000
|
2,319
|
|
Sunoco LP
|
|
|
|
4.50%, 4/30/2030
|
250
|
243
|
|
5.38%, 7/15/2031 (b)
|
310
|
309
|
|
Surgery Center Holdings, Inc. 7.25%, 4/15/2032 (b)
|
650
|
652
|
|
SV RNO Property Owner 1 LLC 5.88%, 3/1/2031 (b)
|
905
|
894
|
|
Synaptics, Inc. 4.00%, 6/15/2029 (b)
|
2,590
|
2,481
|
|
Synopsys, Inc. 5.70%, 4/1/2055
|
1,117
|
1,089
|
|
Take-Two Interactive Software, Inc.
|
|
|
|
5.40%, 6/12/2029
|
305
|
311
|
|
5.60%, 6/12/2034
|
1,220
|
1,251
|
|
Talen Energy Supply LLC
|
|
|
|
6.13%, 5/1/2031 (b)
|
1,024
|
1,024
|
|
6.38%, 5/1/2033 (b)
|
1,538
|
1,532
|
|
6.25%, 2/1/2034 (b)
|
1,676
|
1,670
|
|
Tallgrass Energy Partners LP
|
|
|
|
5.50%, 1/15/2028 (b)
|
105
|
105
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
7.38%, 2/15/2029 (b)
|
1,320
|
1,363
|
|
6.00%, 12/31/2030 (b)
|
400
|
402
|
|
6.00%, 9/1/2031 (b)
|
1,500
|
1,500
|
|
6.75%, 3/15/2034 (b)
|
1,162
|
1,187
|
|
Tenet Healthcare Corp.
|
|
|
|
5.13%, 11/1/2027
|
1,237
|
1,238
|
|
4.63%, 6/15/2028
|
1,665
|
1,654
|
|
6.13%, 10/1/2028
|
243
|
244
|
|
4.25%, 6/1/2029
|
420
|
409
|
|
6.13%, 6/15/2030
|
25
|
25
|
|
6.75%, 5/15/2031
|
735
|
757
|
|
Terex Corp.
|
|
|
|
5.00%, 5/15/2029 (b)
|
1,220
|
1,209
|
|
6.25%, 10/15/2032 (b)
|
781
|
793
|
|
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031
|
EUR200
|
207
|
|
T-Mobile USA, Inc.
|
|
|
|
3.38%, 4/15/2029
|
4,380
|
4,251
|
|
2.25%, 11/15/2031
|
3,778
|
3,330
|
|
TopBuild Corp. 5.63%, 1/31/2034 (b)
|
352
|
355
|
|
TransDigm, Inc.
|
|
|
|
6.38%, 3/1/2029 (b)
|
611
|
623
|
|
6.63%, 3/1/2032 (b)
|
612
|
629
|
|
Transocean International Ltd. 8.25%, 5/15/2029 (b)
|
678
|
704
|
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (b)
|
1,370
|
1,404
|
|
Trinseo Luxco Finance SPV SARL 7.63%, 5/3/2029 (b) (j)
|
637
|
—
|
|
Truist Financial Corp.
|
|
|
|
(SOFR + 2.30%), 6.12%, 10/28/2033 (d)
|
945
|
1,000
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (d)
|
3,876
|
3,878
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (d)
|
3,181
|
3,317
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (d)
|
580
|
598
|
|
(SOFR + 1.40%), 4.96%, 10/23/2036 (d)
|
3,330
|
3,229
|
|
Uber Technologies, Inc. 4.80%, 9/15/2035
|
3,875
|
3,773
|
|
UGI International LLC
|
|
|
|
2.50%, 12/1/2029 (a)
|
EUR905
|
988
|
|
5.00%, 6/1/2031 (b)
|
EUR580
|
688
|
|
Union Electric Co. 3.90%, 4/1/2052
|
885
|
668
|
|
United Airlines Holdings, Inc. 4.88%, 3/1/2029
|
445
|
439
|
|
United Rentals North America, Inc. 5.38%, 11/15/2033 (b)
|
1,824
|
1,801
|
|
Univision Communications, Inc.
|
|
|
|
9.38%, 8/1/2032 (b)
|
1,559
|
1,596
|
|
8.88%, 4/15/2033 (b)
|
408
|
406
|
|
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (d)
|
1,100
|
1,136
|
|
US Foods, Inc. 4.75%, 2/15/2029 (b)
|
135
|
133
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (b)
|
410
|
418
|
|
Ventas Realty LP, REIT 5.00%, 1/15/2035
|
2,645
|
2,604
|
|
Venture Global Calcasieu Pass LLC 6.00%, 5/1/2036 (b)
|
122
|
123
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Venture Global LNG, Inc.
|
|
|
|
8.13%, 6/1/2028 (b)
|
550
|
562
|
|
9.50%, 2/1/2029 (b)
|
1,405
|
1,530
|
|
7.00%, 1/15/2030 (b)
|
640
|
657
|
|
9.88%, 2/1/2032 (b)
|
748
|
800
|
|
Venture Global Plaquemines LNG LLC
|
|
|
|
6.13%, 12/15/2030 (b)
|
479
|
492
|
|
6.50%, 6/15/2034 (b)
|
338
|
353
|
|
Verizon Communications, Inc.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.04%), 6.20%, 5/14/2056 (d)
|
1,907
|
1,936
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.81%), 6.05%, 5/14/2058 (d)
|
5,130
|
5,196
|
|
VF Corp.
|
|
|
|
4.25%, 3/7/2029
|
EUR1,000
|
1,177
|
|
2.95%, 4/23/2030
|
1,120
|
1,014
|
|
Viavi Solutions, Inc. 3.75%, 10/1/2029 (b)
|
222
|
211
|
|
VICI Properties LP, REIT
|
|
|
|
5.75%, 2/1/2027 (b)
|
258
|
259
|
|
4.63%, 12/1/2029 (b)
|
664
|
653
|
|
Viking Cruises Ltd. 5.88%, 10/15/2033 (b)
|
1,364
|
1,367
|
|
Vistra Operations Co. LLC
|
|
|
|
3.70%, 1/30/2027 (b)
|
3,157
|
3,141
|
|
4.38%, 5/1/2029 (b)
|
1,126
|
1,104
|
|
4.60%, 10/15/2030 (b)
|
579
|
568
|
|
6.88%, 4/15/2032 (b)
|
457
|
475
|
|
6.00%, 4/15/2034 (b)
|
4,180
|
4,307
|
|
5.70%, 12/30/2034 (b)
|
2,357
|
2,384
|
|
5.25%, 10/15/2035 (b)
|
1,398
|
1,358
|
|
5.35%, 1/31/2036 (b)
|
2,785
|
2,723
|
|
VoltaGrid LLC 7.38%, 11/1/2030 (b)
|
1,175
|
1,224
|
|
Wabash National Corp. 4.50%, 10/15/2028 (b)
|
2,825
|
2,403
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (b)
|
856
|
885
|
|
Wayfair LLC
|
|
|
|
7.25%, 10/31/2029 (b)
|
1,560
|
1,605
|
|
7.75%, 9/15/2030 (b)
|
693
|
721
|
|
6.75%, 11/15/2032 (b)
|
1,495
|
1,519
|
|
7.13%, 5/31/2034 (b)
|
234
|
238
|
|
Weekley Homes LLC 4.88%, 9/15/2028 (b)
|
980
|
956
|
|
Wells Fargo & Co.
|
|
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (d)
|
4,820
|
4,787
|
|
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (d)
|
3,320
|
3,294
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (d)
|
7,130
|
7,270
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (d) (f) (g)
|
2,450
|
2,539
|
|
(SOFR + 1.11%), 5.24%, 1/24/2031 (d)
|
3,080
|
3,133
|
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (d)
|
7,420
|
7,578
|
|
(SOFR + 1.74%), 5.61%, 4/23/2036 (d)
|
5,965
|
6,120
|
|
(SOFR + 1.10%), 4.96%, 1/23/2037 (d)
|
2,820
|
2,754
|
|
4.90%, 11/17/2045
|
1,210
|
1,059
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Welltower OP LLC, REIT 3.85%, 6/15/2032
|
1,390
|
1,324
|
|
WESCO Distribution, Inc.
|
|
|
|
6.38%, 3/15/2029 (b)
|
803
|
821
|
|
5.25%, 4/15/2031 (b)
|
268
|
265
|
|
6.63%, 3/15/2032 (b)
|
470
|
485
|
|
6.38%, 3/15/2033 (b)
|
300
|
308
|
|
Williams Scotsman, Inc.
|
|
|
|
6.63%, 6/15/2029 (b)
|
1,045
|
1,071
|
|
6.63%, 4/15/2030 (b)
|
159
|
164
|
|
WP Carey, Inc., REIT
|
|
|
|
2.40%, 2/1/2031
|
580
|
521
|
|
2.25%, 4/1/2033
|
1,302
|
1,090
|
|
WR Grace Holdings LLC
|
|
|
|
5.63%, 8/15/2029 (b)
|
1,580
|
1,513
|
|
6.63%, 8/15/2032 (b)
|
1,267
|
1,257
|
|
7.00%, 8/1/2033 (b)
|
164
|
163
|
|
WULF Compute LLC 7.75%, 10/15/2030 (b)
|
4,032
|
4,237
|
|
Wynn Resorts Finance LLC
|
|
|
|
5.13%, 10/1/2029 (b)
|
3,544
|
3,518
|
|
6.25%, 3/15/2033 (b)
|
436
|
438
|
|
Xerox Corp. 10.25%, 10/15/2030 (b)
|
332
|
291
|
|
Xerox Holdings Corp. 8.88%, 11/30/2029 (b)
|
623
|
280
|
|
XPO, Inc. 7.13%, 2/1/2032 (b)
|
1,655
|
1,714
|
|
|
|
1,260,246
|
|
Total Corporate Bonds
(Cost $2,222,730)
|
|
2,234,269
|
|
Foreign Government Securities — 18.9%
|
||
|
Angola — 0.2%
|
||
|
Republic of Angola 9.88%, 10/15/2035 (a)
|
7,800
|
8,321
|
|
Argentina — 0.4%
|
||
|
Argentine Republic
|
|
|
|
4.12%, 7/9/2035 (i)
|
16,110
|
12,413
|
|
3.50%, 7/9/2041 (i)
|
5,700
|
4,092
|
|
|
|
16,505
|
|
Benin — 0.2%
|
||
|
Benin Government Bond
|
|
|
|
7.96%, 2/13/2038 (b)
|
2,428
|
2,561
|
|
7.96%, 2/13/2038 (a)
|
7,552
|
7,967
|
|
|
|
10,528
|
|
Brazil — 1.8%
|
||
|
Notas do Tesouro Nacional
|
|
|
|
10.00%, 1/1/2031
|
BRL340,000
|
58,931
|
|
10.00%, 1/1/2037
|
BRL92,000
|
14,365
|
|
|
|
73,296
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Canada — 1.6%
|
||
|
Canada Government Bond 3.25%, 6/1/2035
|
CAD94,811
|
68,097
|
|
Colombia — 1.8%
|
||
|
Republic of Colombia
|
|
|
|
6.13%, 1/21/2031
|
1,843
|
1,835
|
|
5.00%, 9/19/2032
|
EUR2,368
|
2,666
|
|
13.25%, 2/9/2033
|
COP115,125,900
|
30,140
|
|
7.50%, 2/2/2034
|
640
|
665
|
|
11.75%, 1/24/2035
|
COP161,328,400
|
39,096
|
|
|
|
74,402
|
|
Congo, Democratic Republic of the — 0.3%
|
||
|
Republic of Congo
|
|
|
|
8.75%, 4/16/2032 (b)
|
3,380
|
3,417
|
|
9.50%, 2/17/2035 (a)
|
4,000
|
4,031
|
|
9.50%, 5/26/2036 (a)
|
3,484
|
3,477
|
|
9.50%, 4/16/2037 (b)
|
1,670
|
1,703
|
|
|
|
12,628
|
|
Costa Rica — 0.3%
|
||
|
Republic of Costa Rica
|
|
|
|
6.00%, 1/16/2036 (b)
|
EUR6,750
|
8,272
|
|
7.30%, 11/13/2054 (b)
|
2,994
|
3,343
|
|
|
|
11,615
|
|
Czech Republic — 1.0%
|
||
|
Czech Republic
|
|
|
|
4.90%, 4/14/2034
|
CZK434,150
|
21,208
|
|
3.50%, 5/30/2035
|
CZK504,790
|
22,191
|
|
|
|
43,399
|
|
Ecuador — 0.4%
|
||
|
Republic of Ecuador
|
|
|
|
8.75%, 1/29/2034 (b)
|
2,858
|
2,899
|
|
6.90%, 7/31/2035 (a) (i)
|
7,458
|
6,845
|
|
9.25%, 1/29/2039 (b)
|
1,244
|
1,279
|
|
5.00%, 7/31/2040 (a) (i)
|
5,722
|
4,781
|
|
|
|
15,804
|
|
Egypt — 0.2%
|
||
|
Arab Republic of Egypt
|
|
|
|
7.63%, 5/29/2032 (a)
|
3,680
|
3,773
|
|
7.63%, 5/20/2034 (b)
|
4,450
|
4,473
|
|
|
|
8,246
|
|
Guatemala — 0.2%
|
||
|
Republic of Guatemala 6.05%, 8/6/2031 (b)
|
6,433
|
6,661
|
|
Honduras — 0.1%
|
||
|
Republic of Honduras 8.63%, 11/27/2034 (a)
|
3,400
|
3,874
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Ivory Coast — 0.3%
|
||
|
Republic of Cote d'Ivoire
|
|
|
|
6.13%, 6/15/2033 (a)
|
1,130
|
1,124
|
|
8.08%, 4/1/2036 (b)
|
3,908
|
4,252
|
|
8.25%, 1/30/2037 (a)
|
2,135
|
2,350
|
|
6.88%, 10/17/2040 (b)
|
EUR3,987
|
4,704
|
|
|
|
12,430
|
|
Japan — 0.4%
|
||
|
Japan Government Bond 3.10%, 3/20/2065
|
JPY2,960,600
|
15,797
|
|
Kenya — 0.2%
|
||
|
Republic of Kenya 9.75%, 2/16/2031 (a)
|
7,329
|
7,916
|
|
Mexico — 4.5%
|
||
|
Eagle Funding Luxco SARL 5.50%, 8/17/2030 (b)
|
7,092
|
7,127
|
|
Mex Bonos Desarr Fix Rt
|
|
|
|
8.50%, 2/28/2030
|
MXN924,400
|
53,598
|
|
7.75%, 5/29/2031
|
MXN721,220
|
40,269
|
|
7.75%, 11/23/2034
|
MXN834,000
|
44,206
|
|
8.00%, 5/24/2035
|
MXN647,590
|
34,646
|
|
United Mexican States
|
|
|
|
5.38%, 5/16/2040
|
EUR3,036
|
3,533
|
|
3.77%, 5/24/2061
|
7,068
|
4,247
|
|
|
|
187,626
|
|
Morocco — 0.3%
|
||
|
Kingdom of Morocco
|
|
|
|
6.50%, 9/8/2033 (a)
|
3,220
|
3,425
|
|
5.13%, 5/26/2038 (b)
|
EUR3,704
|
4,342
|
|
4.00%, 12/15/2050 (a)
|
5,210
|
3,680
|
|
|
|
11,447
|
|
Nigeria — 0.1%
|
||
|
Federal Republic of Nigeria 6.13%, 9/28/2028 (a)
|
4,500
|
4,541
|
|
Pakistan — 0.1%
|
||
|
Islamic Republic of Pakistan
|
|
|
|
6.88%, 12/5/2027 (a)
|
3,800
|
3,807
|
|
6.98%, 4/24/2029 (b)
|
2,369
|
2,324
|
|
|
|
6,131
|
|
Panama — 0.2%
|
||
|
Republic of Panama
|
|
|
|
5.66%, 2/23/2038
|
2,401
|
2,404
|
|
3.87%, 7/23/2060
|
11,600
|
7,949
|
|
|
|
10,353
|
|
Paraguay — 0.2%
|
||
|
Republic of Paraguay
|
|
|
|
3.85%, 6/28/2033 (b)
|
1,521
|
1,424
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Paraguay—continued
|
||
|
6.00%, 2/9/2036 (a)
|
5,200
|
5,468
|
|
5.60%, 3/13/2048 (a)
|
622
|
584
|
|
|
|
7,476
|
|
Poland — 0.4%
|
||
|
Republic of Poland
|
|
|
|
2.00%, 8/25/2036
|
PLN42,246
|
10,573
|
|
5.50%, 3/18/2054
|
8,439
|
7,818
|
|
|
|
18,391
|
|
Republic of North Macedonia — 0.1%
|
||
|
Republic of North Macedonia 4.75%, 1/21/2034 (b)
|
EUR3,438
|
3,941
|
|
Romania — 0.2%
|
||
|
Romania Government Bond
|
|
|
|
6.75%, 7/11/2039 (a)
|
EUR972
|
1,190
|
|
2.88%, 4/13/2042 (a)
|
EUR4,900
|
3,819
|
|
4.00%, 2/14/2051 (a)
|
5,950
|
4,047
|
|
|
|
9,056
|
|
South Africa — 1.8%
|
||
|
Republic of South Africa
|
|
|
|
8.50%, 1/31/2037
|
ZAR189,290
|
11,484
|
|
9.00%, 1/31/2040
|
ZAR912,962
|
56,359
|
|
5.65%, 9/27/2047
|
2,621
|
2,205
|
|
7.95%, 11/19/2054 (a)
|
1,800
|
1,917
|
|
7.25%, 12/11/2055 (b)
|
1,994
|
1,965
|
|
|
|
73,930
|
|
Suriname — 0.1%
|
||
|
Suriname Government International Bond
|
|
|
|
7.70%, 11/6/2030 (b)
|
1,249
|
1,289
|
|
8.50%, 11/6/2035 (b)
|
3,434
|
3,679
|
|
|
|
4,968
|
|
Turkey — 1.3%
|
||
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
3,120
|
3,348
|
|
Republic of Turkiye (The)
|
|
|
|
36.00%, 8/12/2026
|
TRY1,062,297
|
22,986
|
|
30.00%, 9/12/2029
|
TRY328,411
|
6,201
|
|
7.25%, 5/29/2032
|
10,266
|
10,482
|
|
6.30%, 3/14/2033
|
6,009
|
5,838
|
|
5.75%, 5/11/2047
|
5,000
|
3,925
|
|
|
|
52,780
|
|
Uzbekistan — 0.2%
|
||
|
Republic of Uzbekistan International Bond 6.95%, 5/25/2032 (a)
|
6,975
|
7,490
|
|
Total Foreign Government Securities
(Cost $766,581)
|
|
787,649
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — 8.5%
|
||
|
United States — 8.5%
|
||
|
FHLMC UMBS, 30 Year Pool # SD8342, 5.50%, 7/1/2053
|
2,749
|
2,771
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # FS8290, 5.50%, 9/1/2053
|
35,338
|
35,943
|
|
Pool # FS8365, 5.50%, 6/1/2054
|
11,568
|
11,666
|
|
Pool # MA5879, 5.50%, 11/1/2055
|
44,000
|
44,220
|
|
GNMA II, 30 Year Pool # MA8200, 4.00%, 8/20/2052
|
73,140
|
68,619
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 5.00%, 6/15/2056 (e)
|
88,604
|
87,489
|
|
TBA, 5.50%, 6/15/2056 (e)
|
100,000
|
100,617
|
|
Par Health, Inc., 0.00%, 10/11/2026 ‡
|
2,923
|
2,899
|
|
Total Mortgage-Backed Securities
(Cost $354,161)
|
|
354,224
|
|
U.S. Treasury Obligations — 5.9%
|
||
|
United States — 5.9%
|
||
|
U.S. Treasury Notes
|
|
|
|
3.88%, 3/31/2028
|
146,120
|
145,789
|
|
3.75%, 4/30/2028
|
36,400
|
36,229
|
|
4.00%, 5/31/2028
|
65,660
|
65,663
|
|
Total U.S. Treasury Obligations
(Cost $248,271)
|
|
247,681
|
|
Convertible Bonds — 3.7%
|
||
|
Austria — 0.1%
|
||
|
ams-OSRAM AG 2.13%, 11/3/2027 (a)
|
EUR1,700
|
1,943
|
|
China — 0.1%
|
||
|
Alibaba Group Holding Ltd. 0.50%, 6/1/2031
|
4,035
|
5,574
|
|
Country Garden Holdings Co. Ltd.
|
|
|
|
Series AI, Zero Coupon, 12/31/2031
|
4,304
|
387
|
|
Series AI, Zero Coupon, 12/31/2034
|
138
|
4
|
|
|
|
5,965
|
|
Israel — 0.1%
|
||
|
Wix.com Ltd. Zero Coupon, 9/15/2030 (b)
|
3,188
|
2,472
|
|
United States — 3.4%
|
||
|
Alarm.com Holdings, Inc. 2.25%, 6/1/2029
|
3,235
|
3,051
|
|
Box, Inc. 1.50%, 9/15/2029
|
2,429
|
2,365
|
|
Cheesecake Factory, Inc. (The)
|
|
|
|
0.38%, 6/15/2026
|
876
|
891
|
|
2.00%, 3/15/2030
|
1,130
|
1,268
|
|
Cipher Digital, Inc. Zero Coupon, 10/1/2031 (b)
|
2,313
|
3,932
|
|
Compass, Inc. 0.25%, 4/15/2031 (b)
|
5,275
|
4,823
|
|
Dropbox, Inc. Zero Coupon, 3/1/2028
|
1,606
|
1,603
|
|
Euronet Worldwide, Inc. 0.63%, 10/1/2030 (b)
|
2,245
|
2,015
|
|
Five9, Inc. 1.00%, 3/15/2029
|
4,007
|
3,555
|
|
Fluor Corp. 1.13%, 8/15/2029
|
1,203
|
1,464
|
|
Greenbrier Cos., Inc. (The) 2.88%, 4/15/2028
|
4,164
|
4,659
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — continued
|
||
|
United States — continued
|
||
|
Itron, Inc.
|
|
|
|
1.38%, 7/15/2030
|
3,589
|
3,501
|
|
Zero Coupon, 3/15/2032 (b)
|
113
|
104
|
|
Jazz Investments I Ltd. 3.13%, 9/15/2030
|
4,215
|
7,058
|
|
JetBlue Airways Corp. 2.50%, 9/1/2029
|
955
|
1,019
|
|
Kite Realty Group LP REIT, 0.75%, 4/1/2027 (b)
|
2,431
|
2,878
|
|
Knight-Swift Transportation Holdings, Inc. 1.00%, 11/15/2031 (b)
|
571
|
652
|
|
Life360, Inc. Zero Coupon, 6/1/2030 (b)
|
2,730
|
2,570
|
|
Live Nation Entertainment, Inc.
|
|
|
|
3.13%, 1/15/2029
|
1,075
|
1,778
|
|
2.88%, 1/15/2030
|
3,750
|
4,288
|
|
2.88%, 10/15/2031 (b)
|
226
|
240
|
|
Lyft, Inc.
|
|
|
|
0.63%, 3/1/2029
|
1,591
|
1,659
|
|
Zero Coupon, 9/15/2030 (b)
|
595
|
576
|
|
Meritage Homes Corp. 1.75%, 5/15/2028
|
3,022
|
2,956
|
|
Microchip Technology, Inc. 0.75%, 6/1/2030
|
3,792
|
4,188
|
|
MKS, Inc. 1.25%, 6/1/2030
|
3,575
|
7,874
|
|
NCL Corp. Ltd. 0.75%, 9/15/2030 (b)
|
3,085
|
2,855
|
|
ON Semiconductor Corp.
|
|
|
|
Zero Coupon, 5/1/2027
|
5,171
|
11,805
|
|
Zero Coupon, 5/1/2031 (b)
|
571
|
619
|
|
PG&E Corp. 4.25%, 12/1/2027
|
3,345
|
3,410
|
|
Semtech Corp. Zero Coupon, 10/15/2030 (b)
|
113
|
197
|
|
Snowflake, Inc. Zero Coupon, 10/1/2027
|
3,654
|
6,139
|
|
SoFi Technologies, Inc. 1.25%, 3/15/2029 (b)
|
1,390
|
2,840
|
|
Southern Co. (The) 4.50%, 6/15/2027
|
4,500
|
4,882
|
|
Spectrum Brands, Inc. 3.38%, 6/1/2029
|
4,349
|
4,390
|
|
Synaptics, Inc. 0.75%, 12/1/2031
|
5,492
|
8,763
|
|
Terawulf, Inc.
|
|
|
|
1.00%, 9/1/2031 (b)
|
2,270
|
5,077
|
|
Zero Coupon, 5/1/2032 (b)
|
3,458
|
5,270
|
|
Uber Technologies, Inc. Series 2028, 0.88%, 12/1/2028
|
2,558
|
3,002
|
|
Veeco Instruments, Inc. 2.88%, 6/1/2029
|
3,349
|
6,919
|
|
Wayfair, Inc. 3.25%, 9/15/2027
|
1,318
|
1,727
|
|
Zoetis, Inc. 0.25%, 6/15/2029 (b)
|
3,725
|
3,410
|
|
|
|
142,272
|
|
Total Convertible Bonds
(Cost $124,599)
|
|
152,652
|
|
Loan Assignments — 2.3% (m)
|
||
|
Canada — 0.1%
|
||
|
NorthRiver Midstream Finance LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%),
5.94%, 8/16/2030 (d)
|
2,193
|
2,194
|
|
United Kingdom — 0.0% ^
|
||
|
Crown Finance US, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.50%), 8.15%,
12/2/2031 (d)
|
1,481
|
1,483
|
|
United States — 2.2%
|
||
|
1261229 BC Ltd., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 6.25%), 9.87%, 10/8/2030 (d)
|
487
|
470
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.93%,
4/20/2028 (d)
|
1,514
|
1,507
|
|
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.00%), 5.62%, 1/31/2031 (d)
|
1,387
|
1,384
|
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 2.50%), 6.20%,
2/3/2031 (d)
|
1,164
|
1,161
|
|
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 5.87%,
9/20/2032 (d)
|
1,552
|
1,558
|
|
Altafiber Virginia LLC, 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 2.25%), 5.90%,
11/23/2028 (d)
|
2,623
|
2,615
|
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.35%), 6.86%, 2/1/2029 (d)
|
2,269
|
2,258
|
|
Altar Bidco, Inc., 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 9.11%, 2/1/2030 (d)
|
725
|
676
|
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 9.40%,
2/15/2029 (d)
|
1,967
|
1,965
|
|
AWS Claire's LLC, 1st Lien Term Loan 10.00%, 9/18/2030 ‡
|
145
|
145
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 6.37%,
11/25/2031 (d)
|
5,415
|
5,373
|
|
Belron Finance 2019 LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 5.66%,
10/16/2031 (d)
|
2,463
|
2,466
|
|
Boxer Parent Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 6.67%,
7/30/2031 (d)
|
1,796
|
1,679
|
|
Chariot Buyer LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 6.40%, 9/8/2032 (d)
|
3,040
|
3,041
|
|
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.48%,
5/17/2028 (d)
|
2,681
|
2,203
|
|
Dayforce Bidco LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 6.66%, 2/4/2033 (d)
|
1,436
|
1,366
|
|
EMRLD Borrower LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 5.92%, 5/31/2030 (d)
|
2,001
|
2,001
|
|
FGI Operating Co. LLC, 1st Lien Term Loan 0.00%, 12/31/2026 ‡ (j) (k)
|
41
|
—
|
|
First Student Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.25%),
5.67%, 8/15/2030 (d)
|
1,701
|
1,705
|
|
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 2.25%), 5.95%,
8/15/2030 (d)
|
311
|
312
|
|
GB AIT Buyer, Inc., 1st Lien Term Loan (12-MONTH CME TERM SOFR + 4.25%), 7.98%, 4/29/2033 (d)
|
508
|
508
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 5.45%,
4/10/2031 (d)
|
2,660
|
2,656
|
|
Genesys Cloud Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%),
6.12%, 1/30/2032 (d)
|
3,612
|
3,474
|
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.92%,
6/20/2030 (d)
|
2,333
|
2,337
|
|
Icon Parent I, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 6.44%, 11/13/2031 (d)
|
5,970
|
5,700
|
|
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 5.62%, 1/17/2031 (d)
|
1,950
|
1,948
|
|
LABL, Inc., 1st Lien Term Loan B (PRIME + 4.00%), 12.75%, 10/30/2028 (d)
|
889
|
376
|
|
LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%),
6.65%, 12/2/2031 (d)
|
1,816
|
1,827
|
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 6.37%, 3/28/2031 (d)
|
1,869
|
1,828
|
|
Modena Buyer LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 7.91%, 7/1/2031 (d)
|
985
|
891
|
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan (15.83% (PIK)), 15.24%,
6/30/2026 ‡ (h) (k)
|
26
|
25
|
|
Moran Foods LLC, 1st Lien Term Loan
|
|
|
|
(3-MONTH CME TERM SOFR + 7.25%), 11.02%, 12/29/2028 ‡ (d)
|
924
|
197
|
|
(3-MONTH CME TERM SOFR + 7.25%), 11.02%, 12/29/2028 ‡ (d)
|
296
|
—
(l)
|
|
(3-MONTH CME TERM SOFR + 12.13% (PIK)), 15.79%, 1/2/2029 ‡ (d) (h)
|
131
|
125
|
|
Moran Foods LLC, 1st Lien Term Loan A (3-MONTH CME TERM SOFR + 6.13% (PIK)), 9.79%,
1/2/2029 ‡ (d) (h)
|
139
|
132
|
|
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 6.69%, 4/16/2029 (d)
|
334
|
333
|
|
Neon Maple US Debt Mergersub, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR
+ 2.50%), 6.12%, 11/17/2031 (d)
|
1,485
|
1,476
|
|
Neptune Bidco US, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 8.77%,
2/3/2033 (d)
|
1,840
|
1,818
|
|
PAREXEL International Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.12%,
12/12/2031 (d)
|
1,696
|
1,698
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%),
7.95%, 1/31/2031 (d)
|
739
|
719
|
|
PetSmart LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.00%), 7.58%, 8/18/2032 (d)
|
1,676
|
1,670
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 5.87%,
3/19/2029 (d)
|
1,215
|
1,216
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 5.90%,
2/10/2032 (d)
|
990
|
990
|
|
Raven Acquisition Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%),
6.62%, 11/19/2031 (d)
|
2,274
|
2,259
|
|
Rocket Software, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 7.37%,
11/28/2028 (d)
|
1,215
|
1,182
|
|
Sanmina Corp., 1st Lien Term Loan B-1
|
|
|
|
(1-MONTH CME TERM SOFR + 1.75%), 5.36%, 10/27/2032 (d)
|
2,410
|
2,413
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
Serta Simmons Bedding LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 7.50%), 11.31%,
6/29/2028 (d)
|
342
|
320
|
|
SS&C Technologies, Inc., 1st Lien Term Loan B-8 (1-MONTH CME TERM SOFR + 2.00%), 5.65%,
5/9/2031 (d)
|
909
|
907
|
|
Station Casinos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 5.62%,
3/14/2031 (d)
|
2,758
|
2,765
|
|
TKO Worldwide Holdings LLC, 1st Lien Term Loan B-5 (3-MONTH CME TERM SOFR + 2.00%),
5.64%, 11/21/2031 (d)
|
1,496
|
1,496
|
|
UKG, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.91%, 2/10/2031 (d)
|
2,129
|
2,055
|
|
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.95%, 9/27/2030 (d)
|
2,044
|
2,043
|
|
Varsity Brands, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 6.45%, 8/26/2031 (d)
|
3,720
|
3,723
|
|
Vista Management Holding, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%),
7.44%, 4/1/2031 (d)
|
695
|
689
|
|
VSE Corp., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.00%), 5.47%, 5/5/2033 (d)
|
236
|
237
|
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 5.65%,
1/27/2031 (d)
|
3,598
|
3,600
|
|
Whatabrands LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.50%), 6.15%, 8/3/2028 (d)
|
1,215
|
1,217
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
6.90%, 10/19/2029 (d)
|
910
|
903
|
|
Zekelman Industries, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 5.89%,
1/24/2031 (d)
|
1,470
|
1,473
|
|
|
|
93,111
|
|
Total Loan Assignments
(Cost $99,779)
|
|
96,788
|
|
Commercial Mortgage-Backed Securities — 1.0%
|
||
|
United States — 1.0%
|
||
|
A10 Revolving Asset Financing I LLC Series 2012-RAF1, Class B, 10.67%, 1/15/2020 ‡ (b) (k)
|
250
|
249
|
|
BANK
|
|
|
|
Series 2018-BN13, Class C, 4.56%, 8/15/2061 (k)
|
1,703
|
1,530
|
|
Series 2019-BN20, Class XA, IO, 0.80%, 9/15/2062 (k)
|
7,356
|
164
|
|
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (k)
|
5,352
|
4,192
|
|
BX Commercial Mortgage Trust Series 2024-MF, Class B, 5.32%, 2/15/2039 (b) (k)
|
2,409
|
2,414
|
|
BX Trust Series 2022-LBA6, Class A, 4.63%, 1/15/2039 (b) (k)
|
10,375
|
10,372
|
|
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.38%, 11/15/2050 (k)
|
484
|
458
|
|
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (k)
|
303
|
179
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K739, Class X1, IO, 1.17%, 9/25/2027 (k)
|
35,375
|
303
|
|
Series K104, Class X1, IO, 1.10%, 1/25/2030 (k)
|
24,337
|
836
|
|
Series K108, Class X1, IO, 1.69%, 3/25/2030 (k)
|
11,774
|
639
|
|
Series K117, Class X1, IO, 1.21%, 8/25/2030 (k)
|
41,090
|
1,732
|
|
Series K724, Class X3, IO, 3.82%, 12/25/2044 (k)
|
213
|
—
|
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (k)
|
12,354
|
399
|
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (k)
|
11,650
|
671
|
|
Series K078, Class X3, IO, 2.21%, 6/25/2046 (k)
|
10,990
|
438
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (k)
|
11,410
|
660
|
|
Series K094, Class X3, IO, 2.12%, 7/25/2047 (k)
|
4,450
|
275
|
|
FNMA ACES Series 2020-M39, Class X2, IO, 1.41%, 8/25/2031 (k)
|
9,042
|
408
|
|
FREMF Series 2018-KF46, Class B, 5.71%, 3/25/2028 (b) (k)
|
52
|
51
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KF38, Class B, 6.26%, 9/25/2024 (b) (k)
|
233
|
232
|
|
Series 2017-KF41, Class B, 6.26%, 11/25/2024 (b) (k)
|
304
|
316
|
|
Series 2017-KF40, Class B, 6.46%, 11/25/2027 (b) (k)
|
537
|
534
|
|
Series 2018-KF50, Class B, 5.66%, 7/25/2028 (b) (k)
|
645
|
633
|
|
GS Mortgage Securities Trust Series 2015-GC30, Class C, 4.00%, 5/10/2050 (k)
|
605
|
523
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
HCFT , 7.25%, 1/13/2027 ‡
|
6,283
|
6,227
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.11%, 7/15/2048 (k)
|
860
|
702
|
|
Series 2015-C31, Class C, 4.53%, 8/15/2048 (k)
|
395
|
307
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%,
12/15/2049 (k)
|
484
|
448
|
|
Morgan Stanley Capital I Trust Series 2015-MS1, Class B, 4.03%, 5/15/2048 (k)
|
254
|
247
|
|
SDR Commercial Mortgage Trust Series 2024-DSNY, Class B, 5.37%, 5/15/2039 (b) (k)
|
3,090
|
3,094
|
|
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (k)
|
1,795
|
1,739
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (k)
|
471
|
461
|
|
Series 2019-3, Class A, 3.03%, 10/25/2049 (b) (k)
|
351
|
337
|
|
Series 2020-1, Class AFX, 2.61%, 2/25/2050 (b) (k)
|
1,260
|
1,183
|
|
Total Commercial Mortgage-Backed Securities
(Cost $45,477)
|
|
42,953
|
|
Collateralized Mortgage Obligations — 0.3%
|
||
|
United States — 0.3%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-25CB, Class A1, 6.00%, 12/25/2034
|
1,253
|
1,081
|
|
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035
|
29
|
25
|
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035
|
475
|
363
|
|
Angel Oak Mortgage Trust Series 2020-1, Class A1, 2.47%, 12/25/2059 (b) (k)
|
181
|
178
|
|
Chase Mortgage Finance Trust Series 2007-A1, Class 2A3, 5.71%, 2/25/2037 (k)
|
11
|
11
|
|
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037
|
893
|
357
|
|
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 4.25%, 8/19/2045 (k)
|
321
|
290
|
|
FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1B, 6.51%, 4/25/2042 (b) (k)
|
1,700
|
1,727
|
|
FHLMC, REMIC
|
|
|
|
Series 4030, Class IL, IO, 3.50%, 4/15/2027
|
1
|
—
|
|
Series 4043, Class PI, IO, 2.50%, 5/15/2027
|
59
|
—
|
|
Series 4120, Class UI, IO, 3.00%, 10/15/2027
|
56
|
1
|
|
Series 4313, Class UI, IO, 3.00%, 3/15/2029
|
88
|
2
|
|
Series 3459, Class JS, IF, IO, 2.49%, 6/15/2038 (k)
|
111
|
10
|
|
Series 4018, Class HI, IO, 4.50%, 3/15/2041
|
19
|
—
|
|
Series 4073, Class IQ, IO, 4.00%, 7/15/2042
|
89
|
11
|
|
Series 4173, Class I, IO, 4.00%, 3/15/2043
|
235
|
34
|
|
Series 4305, Class SK, IF, IO, 2.84%, 2/15/2044 (k)
|
2,396
|
321
|
|
Series 4585, Class JI, IO, 4.00%, 5/15/2045
|
765
|
87
|
|
Series 4694, Class SA, IF, IO, 2.34%, 6/15/2047 (k)
|
2,208
|
246
|
|
Series 4689, Class SD, IF, IO, 2.39%, 6/15/2047 (k)
|
3,950
|
424
|
|
Series 5022, IO, 3.00%, 9/25/2050
|
5,200
|
857
|
|
Series 5023, Class MI, IO, 3.00%, 10/25/2050
|
9,289
|
1,490
|
|
Series 5072, Class DI, IO, 3.50%, 2/25/2051
|
8,292
|
1,511
|
|
FHLMC, STRIPS Series 319, Class S2, IF, IO, 2.24%, 11/15/2043 (k)
|
4,681
|
558
|
|
FNMA, REMIC
|
|
|
|
Series 2013-15, IO, 2.50%, 3/25/2028
|
139
|
2
|
|
Series 2014-35, Class KI, IO, 3.00%, 6/25/2029
|
84
|
1
|
|
Series 2014-44, Class QI, IO, 3.00%, 8/25/2029
|
28
|
—
|
|
Series 2013-66, Class IE, IO, 3.00%, 8/25/2032
|
502
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Series 2013-61, Class HI, IO, 3.00%, 6/25/2033
|
1,219
|
80
|
|
Series 2013-64, Class LI, IO, 3.00%, 6/25/2033
|
300
|
20
|
|
Series 2012-93, Class SE, IF, IO, 2.37%, 9/25/2042 (k)
|
1,046
|
103
|
|
Series 2012-93, Class SG, IF, IO, 2.37%, 9/25/2042 (k)
|
217
|
22
|
|
Series 2014-14, Class SA, IF, IO, 2.22%, 4/25/2044 (k)
|
3,281
|
311
|
|
Series 2015-40, Class LS, IF, IO, 2.44%, 6/25/2045 (k)
|
1,647
|
163
|
|
Series 2015-85, Class SA, IF, IO, 1.89%, 11/25/2045 (k)
|
2,058
|
158
|
|
Series 2016-39, Class LS, IF, IO, 2.27%, 7/25/2046 (k)
|
6,255
|
643
|
|
Series 2016-61, Class ST, IF, IO, 2.27%, 9/25/2046 (k)
|
4,111
|
415
|
|
FNMA, STRIPS Series 401, Class C6, IO, 4.50%, 10/25/2029
|
22
|
—
|
|
GNMA
|
|
|
|
Series 2011-13, Class S, IF, IO, 2.21%, 1/16/2041 (k)
|
208
|
18
|
|
Series 2015-H13, Class GI, IO, 1.55%, 4/20/2065 (k)
|
289
|
9
|
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (b) (k)
|
124
|
12
|
|
HarborView Mortgage Loan Trust Series 2007-6, Class 2A1A, 3.92%, 8/19/2037 (k)
|
73
|
66
|
|
JPMorgan Alternative Loan Trust Series 2006-A2, Class 1A1, 4.06%, 5/25/2036 (k)
|
1,065
|
899
|
|
MASTR Alternative Loan Trust Series 2003-5, Class 30B1, 5.81%, 8/25/2033 (k)
|
59
|
29
|
|
Starwood Mortgage Residential Trust Series 2020-1, Class A1, 2.27%, 2/25/2050 (b) (k)
|
79
|
76
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 5A1, 4.59%, 2/25/2035 (k)
|
44
|
43
|
|
Total Collateralized Mortgage Obligations
(Cost $14,694)
|
|
12,661
|
|
Asset-Backed Securities — 0.2%
|
||
|
United States — 0.2%
|
||
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b)
|
157
|
152
|
|
ACE Securities Corp. Home Equity Loan Trust Series 2004-OP1, Class M2, 5.27%, 4/25/2034 (k)
|
7
|
6
|
|
Amur Equipment Finance Receivables LLC Series 2022-2A, Class A2, 5.30%, 6/21/2028 (b)
|
2
|
2
|
|
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W3, Class
A3, 3.51%, 2/25/2034 (k)
|
29
|
31
|
|
Countrywide Asset-Backed Certificates Series 2002-4, Class M1, 4.82%, 12/25/2032 (k)
|
9
|
9
|
|
Exeter Automobile Receivables Trust Series 2024-3A, Class D, 5.98%, 9/16/2030
|
2,100
|
2,142
|
|
GLS Auto Receivables Issuer Trust Series 2022-3A, Class D, 6.42%, 6/15/2028 (b)
|
296
|
298
|
|
JetBlue Pass-Through Trust Series 2019-1, Class A, 2.95%, 5/15/2028
|
417
|
390
|
|
Merrill Lynch Mortgage Investors Trust Series 2003-OPT1, Class M1, 4.67%, 7/25/2034 (k)
|
4
|
4
|
|
Mid-State Capital Corp. Trust Series 2006-1, Class M2, 6.74%, 10/15/2040 (b)
|
32
|
32
|
|
MVW LLC Series 2021-1WA, Class D, 3.17%, 1/22/2041 (b)
|
1,220
|
1,188
|
|
Renaissance Home Equity Loan Trust
|
|
|
|
Series 2005-1, Class AF6, 5.47%, 5/25/2035 (i)
|
15
|
14
|
|
Series 2005-2, Class M1, 5.55%, 8/25/2035 (i)
|
501
|
474
|
|
Santander Drive Auto Receivables Trust Series 2022-6, Class C, 4.96%, 11/15/2028
|
55
|
55
|
|
Saxon Asset Securities Trust Series 2004-3, Class M1, 4.60%, 12/26/2034 (k)
|
53
|
52
|
|
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b)
|
1,218
|
930
|
|
Total Asset-Backed Securities
(Cost $6,080)
|
|
5,779
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — 0.1%
|
||
|
France — 0.0% ^
|
||
|
Altice France SA ‡ *
|
3
|
52
|
|
Luxembourg — 0.0% ^
|
||
|
Ardagh Holdings SA ‡ *
|
59
|
394
|
|
Ardagh Holdings SA ‡ * (b)
|
15
|
98
|
|
|
|
492
|
|
United States — 0.1%
|
||
|
Altice France SA ‡
|
72
|
1,469
|
|
Clear Channel Outdoor Holdings, Inc. *
|
71
|
170
|
|
Endo GUC Trust ‡ *
|
22
|
13
|
|
iHeartMedia, Inc., Class A *
|
25
|
106
|
|
Incora Intermediate LLC ‡ *
|
18
|
215
|
|
Keenova Therapeutics plc
|
13
|
1,227
|
|
Moran Foods Backstop Equity ‡ *
|
3,408,992
|
3
|
|
MYT Holding LLC ‡ *
|
247
|
62
|
|
New Evhc Physical Equity *
|
3
|
55
|
|
NMG Parent LLC, Escrow ‡ *
|
2
|
1
|
|
Par Health, Inc.
|
13
|
51
|
|
Serta Simmons Bedding LLC *
|
84
|
728
|
|
SSB Equipment Co., Inc. ‡ *
|
84
|
—
|
|
|
|
4,100
|
|
Total Common Stocks
(Cost $5,264)
|
|
4,644
|
|
Preferred Stocks — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $402)
|
419
|
542
|
|
|
NO. OF RIGHTS
(000)
|
|
|
Rights — 0.0% ^
|
||
|
Luxembourg — 0.0% ^
|
||
|
SES SA ‡ * (Cost $—) (l)
|
35
|
536
|
|
|
NO. OF
WARRANTS
(000)
|
|
|
Warrants — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
Audacy, Inc.
|
|
|
|
expiring 12/31/2049, price 1.00 USD *
|
1
|
3
|
|
expiring 12/31/2049, price 1.00 USD ‡ *
|
1
|
—
|
|
expiring 9/30/2028, price 1.00 USD ‡ *
|
—
|
—
|
|
Total Warrants
(Cost $614)
|
|
3
|
|
INVESTMENTS
|
|
VALUE
($000)
|
|
Short-Term Investments — 8.6%
|
|
|
|
Investment Companies — 8.6%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.64% (n) (o)
(Cost $359,264)
|
359,217
|
359,289
|
|
Total Investments — 103.0%
(Cost $4,247,916)
|
|
4,299,670
|
|
Liabilities in Excess of Other Assets — (3.0)%
|
|
(124,802
)
|
|
NET ASSETS — 100.0%
|
|
4,174,868
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CME
|
Chicago Mercantile Exchange
|
|
COP
|
Colombian Peso
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GBP
|
British Pound
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2026. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
JPY
|
Japanese Yen
|
|
JSC
|
Joint Stock Company
|
|
MXN
|
Mexican Peso
|
|
PIK
|
Payment In Kind
|
|
PLN
|
Polish Zloty
|
|
PT
|
Limited liability company
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
TRY
|
Turkish Lira
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(c)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2026 is $121,190 or 2.90% of the Fund’s net
assets as of May 31, 2026.
|
|
|
(d)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2026.
|
|
|
(e)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(f)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(g)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon
rate for this security is fixed for a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects
the next call date. The coupon rate shown is the rate in
effect as of May 31, 2026.
|
|
|
(h)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(i)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
|
(j)
|
Defaulted security.
|
|
|
(k)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2026.
|
|
|
(l)
|
Value is zero.
|
|
|
(m)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(n)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(o)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
Euro-Bobl
|
1,966
|
06/08/2026
|
EUR
|
265,982
|
(2,369
)
|
|
Euro-BTP
|
1,299
|
06/08/2026
|
EUR
|
180,318
|
(1,487
)
|
|
Euro-Buxl 30 Year Bond
|
28
|
06/08/2026
|
EUR
|
3,581
|
(70
)
|
|
Euro-Schatz
|
4,747
|
06/08/2026
|
EUR
|
586,801
|
(3,512
)
|
|
Australia 10 Year Bond
|
3,508
|
06/15/2026
|
AUD
|
274,900
|
1,957
|
|
Canada 10 Year Bond
|
727
|
09/18/2026
|
CAD
|
63,464
|
779
|
|
U.S. Treasury 10 Year Note
|
202
|
09/21/2026
|
USD
|
22,198
|
222
|
|
U.S. Treasury 10 Year Ultra Note
|
1,074
|
09/21/2026
|
USD
|
120,506
|
661
|
|
U.S. Treasury Long Bond
|
2
|
09/21/2026
|
USD
|
225
|
—
(a)
|
|
Long Gilt
|
218
|
09/28/2026
|
GBP
|
26,052
|
140
|
|
U.S. Treasury 2 Year Note
|
2,386
|
09/30/2026
|
USD
|
493,007
|
556
|
|
|
|
|
|
|
(3,123
)
|
|
Short Contracts
|
|
|
|
|
|
|
Euro-Bobl
|
(621
)
|
06/08/2026
|
EUR
|
(84,015
)
|
640
|
|
Euro-Bund
|
(491
)
|
06/08/2026
|
EUR
|
(72,315
)
|
235
|
|
Euro-Schatz
|
(1
)
|
06/08/2026
|
EUR
|
(124
)
|
—
(a)
|
|
Japan 10 Year Bond
|
(72
)
|
06/15/2026
|
JPY
|
(58,255
)
|
1,347
|
|
U.S. Treasury 10 Year Ultra Note
|
(1,323
)
|
09/21/2026
|
USD
|
(148,445
)
|
(1,575
)
|
|
U.S. Treasury Long Bond
|
(114
)
|
09/21/2026
|
USD
|
(12,814
)
|
(236
)
|
|
U.S. Treasury Ultra Bond
|
(1,702
)
|
09/21/2026
|
USD
|
(195,092
)
|
(4,060
)
|
|
U.S. Treasury 5 Year Note
|
(3,490
)
|
09/30/2026
|
USD
|
(374,384
)
|
(1,516
)
|
|
|
|
|
|
|
(5,165
)
|
|
|
|
|
|
|
(8,288
)
|
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
CAD
|
Canadian Dollar
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
JPY
|
Japanese Yen
|
|
USD
|
United States Dollar
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
BRL
|
50,943
|
USD
|
10,074
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
25
|
|
CHF
|
8,024
|
JPY
|
1,614,158
|
BNP Paribas
|
6/2/2026
|
144
|
|
CHF
|
8,024
|
JPY
|
1,614,425
|
Citibank, NA
|
6/2/2026
|
143
|
|
CNY
|
694,236
|
USD
|
102,213
|
Goldman Sachs International**
|
6/2/2026
|
404
|
|
COP
|
241,841,395
|
USD
|
63,810
|
Goldman Sachs International**
|
6/2/2026
|
1,787
|
|
CZK
|
422,500
|
EUR
|
17,345
|
BNP Paribas
|
6/2/2026
|
60
|
|
GBP
|
15,147
|
EUR
|
17,357
|
Goldman Sachs International
|
6/2/2026
|
154
|
|
GBP
|
7,547
|
USD
|
10,118
|
BNP Paribas
|
6/2/2026
|
45
|
|
GBP
|
3,781
|
USD
|
5,070
|
HSBC Bank, NA
|
6/2/2026
|
23
|
|
INR
|
1,789,213
|
USD
|
18,674
|
Citibank, NA**
|
6/2/2026
|
160
|
|
MXN
|
357,326
|
USD
|
20,084
|
Morgan Stanley
|
6/2/2026
|
527
|
|
TRY
|
832,460
|
USD
|
17,857
|
Barclays Bank plc
|
6/2/2026
|
283
|
|
TWD
|
644,228
|
USD
|
20,363
|
Barclays Bank plc**
|
6/2/2026
|
202
|
|
TWD
|
638,293
|
USD
|
20,111
|
BNP Paribas**
|
6/2/2026
|
265
|
|
TWD
|
646,525
|
USD
|
20,434
|
Goldman Sachs International**
|
6/2/2026
|
205
|
|
USD
|
14,439
|
BRL
|
72,678
|
Goldman Sachs International**
|
6/2/2026
|
32
|
|
USD
|
68,705
|
CAD
|
94,327
|
BNP Paribas
|
6/2/2026
|
285
|
|
USD
|
41,566
|
CLP
|
36,957,608
|
Goldman Sachs International**
|
6/2/2026
|
42
|
|
USD
|
66,811
|
COP
|
241,841,395
|
Goldman Sachs International**
|
6/2/2026
|
1,213
|
|
USD
|
24,622
|
CZK
|
508,890
|
Goldman Sachs International
|
6/2/2026
|
181
|
|
USD
|
224,825
|
EUR
|
191,346
|
BNP Paribas
|
6/2/2026
|
1,638
|
|
USD
|
20,292
|
EUR
|
17,279
|
Goldman Sachs International
|
6/2/2026
|
137
|
|
USD
|
20,491
|
EUR
|
17,469
|
HSBC Bank, NA
|
6/2/2026
|
116
|
|
USD
|
20,540
|
EUR
|
17,434
|
Morgan Stanley
|
6/2/2026
|
205
|
|
USD
|
20,456
|
GBP
|
15,153
|
Citibank, NA
|
6/2/2026
|
50
|
|
USD
|
30,540
|
GBP
|
22,541
|
Goldman Sachs International
|
6/2/2026
|
183
|
|
USD
|
18
|
GBP
|
13
|
Morgan Stanley
|
6/2/2026
|
—
(a)
|
|
USD
|
9,919
|
IDR
|
176,443,413
|
Citibank, NA**
|
6/2/2026
|
45
|
|
USD
|
57,586
|
IDR
|
988,177,865
|
Goldman Sachs International**
|
6/2/2026
|
2,288
|
|
USD
|
39,023
|
IDR
|
689,104,950
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
461
|
|
USD
|
26,654
|
IDR
|
474,143,053
|
Standard Chartered Bank**
|
6/2/2026
|
121
|
|
USD
|
19,047
|
INR
|
1,789,213
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
213
|
|
USD
|
20,217
|
JPY
|
3,173,523
|
Goldman Sachs International
|
6/2/2026
|
291
|
|
USD
|
3,349
|
KRW
|
4,942,535
|
BNP Paribas**
|
6/2/2026
|
70
|
|
USD
|
20,198
|
KRW
|
29,888,886
|
Goldman Sachs International**
|
6/2/2026
|
365
|
|
USD
|
200,292
|
MXN
|
3,465,210
|
Goldman Sachs International
|
6/2/2026
|
418
|
|
USD
|
58,050
|
PHP
|
3,495,992
|
Goldman Sachs International**
|
6/2/2026
|
1,295
|
|
USD
|
16,079
|
PLN
|
57,911
|
Goldman Sachs International
|
6/2/2026
|
111
|
|
USD
|
40,213
|
SGD
|
51,125
|
Goldman Sachs International
|
6/2/2026
|
155
|
|
ZAR
|
168,400
|
USD
|
10,144
|
Citibank, NA
|
6/2/2026
|
241
|
|
ZAR
|
646,187
|
USD
|
39,386
|
HSBC Bank, NA
|
6/2/2026
|
465
|
|
EUR
|
444,166
|
USD
|
516,953
|
HSBC Bank, NA
|
6/3/2026
|
1,146
|
|
GBP
|
8,394
|
USD
|
11,258
|
Standard Chartered Bank
|
6/3/2026
|
45
|
|
USD
|
508,728
|
EUR
|
435,152
|
BNP Paribas
|
6/3/2026
|
1,145
|
|
USD
|
18,036
|
EUR
|
15,362
|
Morgan Stanley
|
6/3/2026
|
117
|
|
USD
|
11,323
|
GBP
|
8,394
|
BNP Paribas
|
6/3/2026
|
19
|
|
AUD
|
6,580
|
GBP
|
3,502
|
BNP Paribas
|
6/22/2026
|
12
|
|
CLP
|
9,292,738
|
USD
|
10,392
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
50
|
|
EUR
|
387
|
JPY
|
71,321
|
BNP Paribas
|
6/22/2026
|
3
|
|
EUR
|
2,946
|
USD
|
3,433
|
BNP Paribas
|
6/22/2026
|
6
|
|
EUR
|
12,868
|
USD
|
14,999
|
Goldman Sachs International
|
6/22/2026
|
24
|
|
GBP
|
2,456
|
USD
|
3,301
|
Deutsche Bank AG
|
6/22/2026
|
6
|
|
GBP
|
15,344
|
USD
|
20,515
|
Goldman Sachs International
|
6/22/2026
|
147
|
|
GBP
|
15,386
|
USD
|
20,664
|
HSBC Bank, NA
|
6/22/2026
|
56
|
|
GBP
|
3,088
|
USD
|
4,124
|
Morgan Stanley
|
6/22/2026
|
35
|
|
THB
|
667,996
|
USD
|
20,491
|
BNP Paribas
|
6/22/2026
|
68
|
|
TRY
|
357,397
|
USD
|
7,602
|
Barclays Bank plc
|
6/22/2026
|
45
|
|
TWD
|
1,284,091
|
USD
|
40,672
|
Goldman Sachs International**
|
6/22/2026
|
95
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
USD
|
44,222
|
AUD
|
61,008
|
Morgan Stanley
|
6/22/2026
|
390
|
|
USD
|
10,070
|
BRL
|
50,721
|
Citibank, NA**
|
6/22/2026
|
63
|
|
USD
|
4,319
|
BRL
|
21,735
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
31
|
|
USD
|
68,847
|
CAD
|
94,327
|
Citibank, NA
|
6/22/2026
|
368
|
|
USD
|
26,214
|
COP
|
96,310,002
|
Standard Chartered Bank**
|
6/22/2026
|
229
|
|
USD
|
4,160
|
CZK
|
86,390
|
Goldman Sachs International
|
6/22/2026
|
10
|
|
USD
|
64,722
|
EUR
|
55,175
|
BNP Paribas
|
6/22/2026
|
308
|
|
USD
|
6,592
|
EUR
|
5,592
|
HSBC Bank, NA
|
6/22/2026
|
64
|
|
USD
|
3,786
|
EUR
|
3,228
|
Morgan Stanley
|
6/22/2026
|
17
|
|
USD
|
20,204
|
GBP
|
14,943
|
BNP Paribas
|
6/22/2026
|
81
|
|
USD
|
660
|
GBP
|
485
|
State Street Corp.
|
6/22/2026
|
7
|
|
USD
|
20,487
|
IDR
|
362,689,181
|
Citibank, NA**
|
6/22/2026
|
169
|
|
USD
|
29,258
|
IDR
|
513,348,175
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
500
|
|
USD
|
18,565
|
JPY
|
2,923,025
|
BNP Paribas
|
6/22/2026
|
181
|
|
USD
|
20,650
|
JPY
|
3,267,598
|
Goldman Sachs International
|
6/22/2026
|
100
|
|
USD
|
3,460
|
KRW
|
5,152,191
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
42
|
|
USD
|
184,356
|
MXN
|
3,179,335
|
Morgan Stanley
|
6/22/2026
|
1,283
|
|
USD
|
10,159
|
PHP
|
616,159
|
Goldman Sachs International**
|
6/22/2026
|
155
|
|
USD
|
4,197
|
PHP
|
254,256
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
69
|
|
USD
|
7,506
|
PLN
|
27,213
|
HSBC Bank, NA
|
6/22/2026
|
3
|
|
ZAR
|
75,680
|
USD
|
4,531
|
HSBC Bank, NA
|
6/22/2026
|
128
|
|
Total unrealized appreciation
|
22,265
|
|||||
|
AUD
|
61,008
|
USD
|
44,240
|
Morgan Stanley
|
6/2/2026
|
(391
)
|
|
BRL
|
21,735
|
USD
|
4,338
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
(30
)
|
|
CAD
|
94,327
|
USD
|
68,789
|
Citibank, NA
|
6/2/2026
|
(370
)
|
|
CHF
|
8,664
|
USD
|
11,150
|
BNP Paribas
|
6/2/2026
|
(50
)
|
|
CHF
|
7,888
|
USD
|
10,156
|
Goldman Sachs International
|
6/2/2026
|
(51
)
|
|
CLP
|
36,957,608
|
USD
|
41,732
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
(209
)
|
|
CZK
|
86,390
|
USD
|
4,159
|
Goldman Sachs International
|
6/2/2026
|
(10
)
|
|
EUR
|
25,919
|
CHF
|
23,816
|
BNP Paribas
|
6/2/2026
|
(279
)
|
|
EUR
|
192,873
|
USD
|
227,665
|
BNP Paribas
|
6/2/2026
|
(2,697
)
|
|
EUR
|
17,357
|
USD
|
20,315
|
Goldman Sachs International
|
6/2/2026
|
(70
)
|
|
EUR
|
42,081
|
USD
|
49,571
|
HSBC Bank, NA
|
6/2/2026
|
(486
)
|
|
GBP
|
21,988
|
USD
|
29,758
|
HSBC Bank, NA
|
6/2/2026
|
(147
)
|
|
GBP
|
7,451
|
USD
|
10,173
|
Merrill Lynch International
|
6/2/2026
|
(139
)
|
|
IDR
|
176,443,413
|
USD
|
10,195
|
Citibank, NA**
|
6/2/2026
|
(321
)
|
|
IDR
|
988,177,865
|
USD
|
55,550
|
Goldman Sachs International**
|
6/2/2026
|
(252
)
|
|
IDR
|
689,104,950
|
USD
|
39,159
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
(598
)
|
|
IDR
|
474,143,053
|
USD
|
27,200
|
Standard Chartered Bank**
|
6/2/2026
|
(667
)
|
|
JPY
|
6,402,106
|
USD
|
40,494
|
BNP Paribas
|
6/2/2026
|
(297
)
|
|
KRW
|
34,831,421
|
USD
|
23,969
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
(856
)
|
|
MXN
|
3,179,335
|
USD
|
184,671
|
Morgan Stanley
|
6/2/2026
|
(1,286
)
|
|
PHP
|
620,901
|
USD
|
10,124
|
Goldman Sachs International**
|
6/2/2026
|
(44
)
|
|
PHP
|
2,875,091
|
USD
|
46,696
|
HSBC Bank (Hong Kong)**
|
6/2/2026
|
(21
)
|
|
PLN
|
27,213
|
USD
|
7,507
|
HSBC Bank, NA
|
6/2/2026
|
(3
)
|
|
PLN
|
30,698
|
USD
|
8,539
|
Morgan Stanley
|
6/2/2026
|
(75
)
|
|
SGD
|
25,765
|
USD
|
20,289
|
Barclays Bank plc
|
6/2/2026
|
(101
)
|
|
SGD
|
25,360
|
USD
|
19,995
|
Goldman Sachs International
|
6/2/2026
|
(125
)
|
|
USD
|
43,264
|
AUD
|
61,008
|
Merrill Lynch International
|
6/2/2026
|
(585
)
|
|
USD
|
10,205
|
CHF
|
7,967
|
BNP Paribas
|
6/2/2026
|
(3
)
|
|
USD
|
1,045
|
CHF
|
816
|
Citibank, NA
|
6/2/2026
|
—
(a)
|
|
USD
|
20,397
|
CNY
|
138,521
|
BNP Paribas**
|
6/2/2026
|
(78
)
|
|
USD
|
81,960
|
CNY
|
555,715
|
Goldman Sachs International**
|
6/2/2026
|
(182
)
|
|
USD
|
4,062
|
GBP
|
3,033
|
Goldman Sachs International
|
6/2/2026
|
(23
)
|
|
USD
|
20,419
|
GBP
|
15,173
|
Standard Chartered Bank
|
6/2/2026
|
(15
)
|
|
USD
|
4,070
|
MXN
|
71,451
|
Goldman Sachs International
|
6/2/2026
|
(51
)
|
|
USD
|
7,744
|
TRY
|
357,397
|
Barclays Bank plc
|
6/2/2026
|
(44
)
|
|
USD
|
10,205
|
TRY
|
475,063
|
Morgan Stanley
|
6/2/2026
|
(147
)
|
|
USD
|
61,121
|
TWD
|
1,929,046
|
Goldman Sachs International**
|
6/2/2026
|
(459
)
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
USD
|
20,502
|
ZAR
|
337,688
|
Citibank, NA
|
6/2/2026
|
(323
)
|
|
USD
|
2,114
|
ZAR
|
34,723
|
Goldman Sachs International
|
6/2/2026
|
(27
)
|
|
USD
|
26,872
|
ZAR
|
442,174
|
Morgan Stanley
|
6/2/2026
|
(398
)
|
|
EUR
|
6,348
|
USD
|
7,439
|
Barclays Bank plc
|
6/3/2026
|
(34
)
|
|
BRL
|
50,583
|
USD
|
10,210
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
(230
)
|
|
CLP
|
36,957,608
|
USD
|
41,572
|
Goldman Sachs International**
|
6/22/2026
|
(42
)
|
|
CNY
|
555,715
|
USD
|
82,076
|
Goldman Sachs International**
|
6/22/2026
|
(230
)
|
|
EUR
|
129,121
|
USD
|
151,517
|
BNP Paribas
|
6/22/2026
|
(778
)
|
|
EUR
|
10,411
|
USD
|
12,245
|
Morgan Stanley
|
6/22/2026
|
(90
)
|
|
GBP
|
15,514
|
USD
|
20,917
|
Barclays Bank plc
|
6/22/2026
|
(25
)
|
|
GBP
|
14,956
|
USD
|
20,379
|
Morgan Stanley
|
6/22/2026
|
(239
)
|
|
IDR
|
106,332,586
|
USD
|
6,131
|
BNP Paribas**
|
6/22/2026
|
(174
)
|
|
IDR
|
405,760,545
|
USD
|
23,353
|
Goldman Sachs International**
|
6/22/2026
|
(622
)
|
|
JPY
|
3,180,246
|
USD
|
20,410
|
Goldman Sachs International
|
6/22/2026
|
(409
)
|
|
KRW
|
31,275,776
|
USD
|
20,788
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
(40
)
|
|
PHP
|
639,997
|
USD
|
10,401
|
Citibank, NA**
|
6/22/2026
|
(9
)
|
|
PLN
|
12,920
|
USD
|
3,592
|
Barclays Bank plc
|
6/22/2026
|
(30
)
|
|
PLN
|
38,577
|
USD
|
10,741
|
BNP Paribas
|
6/22/2026
|
(105
)
|
|
SGD
|
51,125
|
USD
|
40,268
|
Goldman Sachs International
|
6/22/2026
|
(152
)
|
|
USD
|
5,326
|
AUD
|
7,472
|
Goldman Sachs International
|
6/22/2026
|
(42
)
|
|
USD
|
63,560
|
COP
|
241,841,395
|
Goldman Sachs International**
|
6/22/2026
|
(1,690
)
|
|
USD
|
10,394
|
EUR
|
8,936
|
HSBC Bank, NA
|
6/22/2026
|
(38
)
|
|
USD
|
4,242
|
EUR
|
3,651
|
Morgan Stanley
|
6/22/2026
|
(20
)
|
|
USD
|
18,632
|
INR
|
1,789,213
|
Citibank, NA**
|
6/22/2026
|
(159
)
|
|
USD
|
46,644
|
PHP
|
2,875,091
|
HSBC Bank (Hong Kong)**
|
6/22/2026
|
(37
)
|
|
USD
|
10,190
|
ZAR
|
168,820
|
Citibank, NA
|
6/22/2026
|
(204
)
|
|
USD
|
39,323
|
ZAR
|
646,187
|
HSBC Bank, NA
|
6/22/2026
|
(463
)
|
|
USD
|
10,313
|
ZAR
|
170,281
|
Morgan Stanley
|
6/22/2026
|
(172
)
|
|
USD
|
517,694
|
EUR
|
444,166
|
HSBC Bank, NA
|
7/6/2026
|
(1,149
)
|
|
USD
|
11,258
|
GBP
|
8,394
|
Standard Chartered Bank
|
7/6/2026
|
(45
)
|
|
Total unrealized depreciation
|
(19,138
)
|
|||||
|
Net unrealized appreciation
|
3,127
|
|||||
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CHF
|
Swiss Franc
|
|
CLP
|
Chile Peso
|
|
CNY
|
China Yuan
|
|
COP
|
Colombian Peso
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
KRW
|
Korean Republic Won
|
|
MXN
|
Mexican Peso
|
|
PHP
|
Philippines Peso
|
|
PLN
|
Polish Zloty
|
|
SGD
|
Singapore Dollar
|
|
THB
|
Thai Baht
|
|
TRY
|
Turkish Lira
|
|
TWD
|
Taiwan Dollar
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
**
|
Non-deliverable forward.
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.HY.46-V2
|
5.00
|
Quarterly
|
6/20/2031
|
3.01
|
USD 156,018
|
(5,679
)
|
(8,624
)
|
(14,303
)
|
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic
payments and may also pay or receive an upfront premium to or from
the protection seller, in exchange for the right to receive a contingent payment,
upon occurrence of a credit event with respect to an underlying reference
obligation, as defined under the terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of
swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads
would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute
terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit
indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would
be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads,
interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
FLOATING RATE INDEX (a)
|
FIXED RATE
%
|
PAY/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
VALUE ($)
|
|
6 month EURIBOR semi-annually
|
2.89 annually
|
Pay
|
6/14/2029
|
EUR461,000
|
—
|
897
|
897
|
|
6 month EURIBOR semi-annually
|
2.92 annually
|
Receive
|
7/14/2057
|
EUR34,940
|
—
|
1,868
|
1,868
|
|
6 month EURIBOR semi-annually
|
2.96 annually
|
Receive
|
7/16/2057
|
EUR31,535
|
—
|
1,431
|
1,431
|
|
6 month PRIBOR semi-annually
|
3.59 annually
|
Pay
|
7/24/2028
|
CZK448,305
|
—
|
182
|
182
|
|
6 month PRIBOR semi-annually
|
3.64 annually
|
Pay
|
7/22/2028
|
CZK120,819
|
—
|
55
|
55
|
|
6 month PRIBOR semi-annually
|
3.64 annually
|
Pay
|
7/22/2028
|
CZK120,819
|
—
|
55
|
55
|
|
6 month PRIBOR semi-annually
|
3.66 annually
|
Pay
|
7/22/2028
|
CZK706,120
|
—
|
342
|
342
|
|
1 day SONIA annually
|
4.23 annually
|
Pay
|
9/15/2028
|
GBP166,645
|
—
|
297
|
297
|
|
|
|
|
|
|
—
|
5,127
|
5,127
|
|
6 month EURIBOR semi-annually
|
2.28 annually
|
Pay
|
12/18/2029
|
EUR65,120
|
—
|
(1,119
)
|
(1,119
)
|
|
6 month EURIBOR semi-annually
|
2.39 annually
|
Pay
|
12/15/2028
|
EUR1,349,150
|
29
|
(4,626
)
|
(4,597
)
|
|
1 day CDI at termination
|
12.73 at termination
|
Pay
|
1/2/2029
|
BRL108,035
|
—
|
(786
)
|
(786
)
|
|
1 day SONIA annually
|
3.76 annually
|
Pay
|
9/15/2028
|
GBP968,735
|
—
|
(3,918
)
|
(3,918
)
|
|
1 day CDI at termination
|
13.26 at termination
|
Pay
|
1/2/2029
|
BRL83,253
|
—
|
(378
)
|
(378
)
|
|
1 day CDI at termination
|
12.94 at termination
|
Pay
|
1/2/2029
|
BRL146,705
|
—
|
(793
)
|
(793
)
|
|
1 day SONIA annually
|
3.70 annually
|
Pay
|
9/15/2028
|
GBP306,730
|
18
|
(1,500
)
|
(1,482
)
|
|
1 day CDI at termination
|
13.19 at termination
|
Pay
|
1/2/2029
|
BRL110,372
|
—
|
(348
)
|
(348
)
|
|
6 month PRIBOR semi-annually
|
4.11 annually
|
Pay
|
4/14/2029
|
CZK660,650
|
—
|
(29
)
|
(29
)
|
|
6 month PRIBOR semi-annually
|
4.08 annually
|
Pay
|
4/14/2029
|
CZK609,830
|
—
|
(49
)
|
(49
)
|
|
|
|
|
|
|
47
|
(13,546
)
|
(13,499
)
|
|
|
|
|
|
|
47
|
(8,419
)
|
(8,372
)
|
|
Abbreviations
|
|
|
BRL
|
Brazilian Real
|
|
CDI
|
Certificate of interbank deposits
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
GBP
|
British Pound
|
|
PRIBOR
|
Prague Interbank Offered Rate
|
|
SONIA
|
Sterling Overnight Index Average
|
|
(a)
|
Value of floating rate index at May 31, 2026 was as follows:
|
|||||||
|
FLOATING RATE INDEX
|
VALUE
|
|
1 day CDI
|
2.36%
|
|
1 day SONIA
|
3.73
|
|
6 month EURIBOR
|
2.55
|
|
6 month PRIBOR
|
3.68
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$5,779
|
$—
|
$5,779
|
|
Collateralized Mortgage Obligations
|
—
|
12,661
|
—
|
12,661
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
United States
|
—
|
36,477
|
6,476
|
42,953
|
|
Common Stocks
|
|
|
|
|
|
France
|
—
|
—
|
52
|
52
|
|
Luxembourg
|
—
|
—
|
492
|
492
|
|
United States
|
276
|
2,061
|
1,763
|
4,100
|
|
Total Common Stocks
|
276
|
2,061
|
2,307
|
4,644
|
|
Convertible Bonds
|
—
|
152,652
|
—
|
152,652
|
|
Corporate Bonds
|
|
|
|
|
|
Angola
|
—
|
1,999
|
—
|
1,999
|
|
Australia
|
—
|
17,972
|
—
|
17,972
|
|
Austria
|
—
|
3,498
|
—
|
3,498
|
|
Belgium
|
—
|
14,109
|
—
|
14,109
|
|
Brazil
|
—
|
25,877
|
—
|
25,877
|
|
Canada
|
—
|
30,900
|
—
|
30,900
|
|
Chile
|
—
|
755
|
—
|
755
|
|
China
|
—
|
5,446
|
—
|
5,446
|
|
Colombia
|
—
|
9,680
|
—
|
9,680
|
|
Denmark
|
—
|
15,336
|
—
|
15,336
|
|
France
|
—
|
153,929
|
—
|
153,929
|
|
Germany
|
—
|
75,381
|
—
|
75,381
|
|
Greece
|
—
|
559
|
—
|
559
|
|
Hungary
|
—
|
2,923
|
—
|
2,923
|
|
India
|
—
|
8,048
|
—
|
8,048
|
|
Indonesia
|
—
|
11,866
|
—
|
11,866
|
|
Ireland
|
—
|
61,639
|
—
|
61,639
|
|
Italy
|
—
|
134,323
|
—
|
134,323
|
|
Jamaica
|
—
|
3,625
|
—
|
3,625
|
|
Japan
|
—
|
4,338
|
—
|
4,338
|
|
Jersey
|
—
|
3,031
|
—
|
3,031
|
|
Kazakhstan
|
—
|
9,842
|
—
|
9,842
|
|
Luxembourg
|
—
|
21,770
|
—
|
21,770
|
|
Macau
|
—
|
3,873
|
—
|
3,873
|
|
Malaysia
|
—
|
4,047
|
—
|
4,047
|
|
Mexico
|
—
|
40,008
|
—
|
40,008
|
|
Netherlands
|
—
|
30,707
|
—
|
30,707
|
|
Nigeria
|
—
|
1,985
|
—
|
1,985
|
|
Norway
|
—
|
1,277
|
—
|
1,277
|
|
Panama
|
—
|
3,160
|
—
|
3,160
|
|
Peru
|
—
|
2,356
|
—
|
2,356
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Poland
|
$—
|
$745
|
$—
|
$745
|
|
Portugal
|
—
|
10,307
|
—
|
10,307
|
|
Saudi Arabia
|
—
|
5,290
|
—
|
5,290
|
|
Slovenia
|
—
|
1,332
|
—
|
1,332
|
|
South Africa
|
—
|
8,843
|
—
|
8,843
|
|
Spain
|
—
|
55,897
|
—
|
55,897
|
|
Sweden
|
—
|
17,253
|
—
|
17,253
|
|
Switzerland
|
—
|
25,323
|
—
|
25,323
|
|
Trinidad And Tobago
|
—
|
2,259
|
—
|
2,259
|
|
Turkey
|
—
|
1,967
|
—
|
1,967
|
|
United Kingdom
|
—
|
140,548
|
—
|
140,548
|
|
United States
|
—
|
1,259,864
|
382
|
1,260,246
|
|
Total Corporate Bonds
|
—
|
2,233,887
|
382
|
2,234,269
|
|
Foreign Government Securities
|
—
|
787,649
|
—
|
787,649
|
|
Loan Assignments
|
|
|
|
|
|
Canada
|
—
|
2,194
|
—
|
2,194
|
|
United Kingdom
|
—
|
1,483
|
—
|
1,483
|
|
United States
|
—
|
92,487
|
624
|
93,111
|
|
Total Loan Assignments
|
—
|
96,164
|
624
|
96,788
|
|
Mortgage-Backed Securities
|
|
|
|
|
|
United States
|
—
|
351,325
|
2,899
|
354,224
|
|
Preferred Stocks
|
—
|
—
|
542
|
542
|
|
Rights
|
—
|
—
|
536
|
536
|
|
U.S. Treasury Obligations
|
—
|
247,681
|
—
|
247,681
|
|
Warrants
|
—
|
3
|
—
(a)
|
3
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
359,289
|
—
|
—
|
359,289
|
|
Total Investments in Securities
|
$359,565
|
$3,926,339
|
$13,766
|
$4,299,670
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$22,265
|
$—
|
$22,265
|
|
Futures Contracts
|
4,580
|
1,957
|
—
|
6,537
|
|
Swaps
|
—
|
5,127
|
—
|
5,127
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$(19,138
)
|
$—
|
$(19,138
)
|
|
Futures Contracts
|
(14,825
)
|
—
|
—
|
(14,825
)
|
|
Swaps
|
—
|
(22,170
)
|
—
|
(22,170
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$(10,245
)
|
$(11,959
)
|
$—
|
$(22,204
)
|
|
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
|||||||||
|
For the period ended May 31, 2026
|
|||||||||
|
Security Description
|
Value at
February 28,
2026
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2026
|
Shares at
May 31,
2026
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 3.64% (a) (b)
|
$253,766
|
$515,355
|
$409,776
|
$(40
)
|
$(16
)
|
$359,289
|
359,217
|
$2,742
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2026.
|