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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 — 33.2%
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Aerospace & Defense — 0.3%
|
||
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ATI, Inc. 5.88%, 12/1/2027
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6,088
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6,098
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Axon Enterprise, Inc.
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6.13%, 3/15/2030 (a)
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446
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455
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6.25%, 3/15/2033 (a)
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1,098
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1,126
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BAE Systems plc (United Kingdom)
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1.90%, 2/15/2031 (a)
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764
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675
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3.00%, 9/15/2050 (a)
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1,494
|
987
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Bombardier, Inc. (Canada) 8.75%, 11/15/2030 (a)
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1,975
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2,094
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BWX Technologies, Inc.
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4.13%, 6/30/2028 (a)
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675
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663
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4.13%, 4/15/2029 (a)
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1,633
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1,582
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Honeywell Aerospace, Inc.
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4.30%, 3/16/2031 (a)
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11,475
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11,304
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4.95%, 3/16/2036 (a)
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4,920
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4,867
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5.73%, 3/16/2056 (a)
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3,515
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3,516
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Howmet Aerospace, Inc. 4.75%, 4/15/2036
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3,170
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3,086
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ICITII 6.00%, 1/31/2033 ‡ (a)
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2,509
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1,231
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L3Harris Technologies, Inc. 5.60%, 7/31/2053
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2,166
|
2,124
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Leidos, Inc. 5.40%, 3/15/2032
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13,163
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13,429
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RTX Corp.
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4.50%, 6/1/2042
|
3,088
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2,760
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5.38%, 2/27/2053
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1,882
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1,790
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6.40%, 3/15/2054
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6,210
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6,785
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TransDigm, Inc.
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6.38%, 3/1/2029 (a)
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3,199
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3,262
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6.88%, 12/15/2030 (a)
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6,520
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6,721
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6.63%, 3/1/2032 (a)
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5,787
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5,952
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6.25%, 1/31/2034 (a)
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968
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991
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81,498
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Automobile Components — 0.2%
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Adient Global Holdings Ltd.
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7.00%, 4/15/2028 (a)
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2,837
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2,885
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7.50%, 2/15/2033 (a)
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2,142
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2,222
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Allison Transmission, Inc.
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4.75%, 10/1/2027 (a)
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243
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243
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5.88%, 6/1/2029 (a)
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4,019
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4,058
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3.75%, 1/30/2031 (a)
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3,433
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3,216
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5.88%, 12/1/2033 (a)
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1,131
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1,134
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American Axle & Manufacturing, Inc. 6.88%, 7/1/2028
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431
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433
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Clarios Global LP
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6.75%, 5/15/2028 (a)
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748
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762
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6.75%, 2/15/2030 (a)
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4,726
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4,885
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Cooper-Standard Automotive, Inc. 9.25%, 3/1/2031 (a)
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8,429
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8,524
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Cyprium Corp. 6.13%, 4/15/2031 (a)
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1,466
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1,466
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Forvia SE (France) 6.75%, 9/15/2033 (a)
|
587
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591
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Goodyear Tire & Rubber Co. (The)
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5.00%, 7/15/2029
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2,150
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2,053
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
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Corporate Bonds — continued
|
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Automobile Components — continued
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5.25%, 4/30/2031
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3,490
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3,117
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5.25%, 7/15/2031
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4,153
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3,686
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IHO Verwaltungs GmbH (Germany)
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8.00% (Cash), 11/15/2032 (a) (b)
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1,130
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1,180
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7.37% (Cash), 5/15/2033 (a) (b)
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424
|
436
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40,891
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Automobiles — 0.2%
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Ford Motor Co. 9.63%, 4/22/2030
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3,537
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4,048
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Hyundai Capital America
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1.50%, 6/15/2026 (a)
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3,398
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3,394
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3.00%, 2/10/2027 (a)
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3,883
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3,846
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2.38%, 10/15/2027 (a)
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1,088
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1,057
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Volkswagen Group of America Finance LLC (Germany)
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5.05%, 3/27/2028 (a)
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11,216
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11,284
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4.75%, 11/13/2028 (a)
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9,214
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9,208
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5.35%, 3/27/2030 (a)
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18,911
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19,181
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52,018
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Banks — 7.0%
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ABN AMRO Bank NV (Netherlands)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 4.99%, 12/3/2028 (a) (c)
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14,600
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14,686
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (c)
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5,000
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4,517
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AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (c)
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5,408
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5,637
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Banco Bilbao Vizcaya Argentaria SA (Spain) 5.38%, 3/13/2029
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24,600
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25,171
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Banco Nacional de Comercio Exterior SNC (Mexico)
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5.88%, 5/7/2030 (a)
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2,450
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2,489
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 2.72%, 8/11/2031 (a) (c)
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2,850
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2,829
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.96%), 6.00%, 5/14/2036 (a) (c)
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3,192
|
3,168
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Banco Santander SA (Spain)
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5.59%, 8/8/2028
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23,000
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23,501
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4.55%, 11/6/2030
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7,000
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6,893
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5.13%, 11/6/2035
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12,400
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12,171
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Bank of America Corp.
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(3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c)
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971
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965
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(SOFR + 1.99%), 6.20%, 11/10/2028 (c)
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3,223
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3,303
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(3-MONTH CME TERM SOFR + 1.33%), 3.97%, 3/5/2029 (c)
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266
|
264
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(SOFR + 1.63%), 5.20%, 4/25/2029 (c)
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2,369
|
2,399
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(SOFR + 1.06%), 2.09%, 6/14/2029 (c)
|
12,355
|
11,767
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(SOFR + 1.57%), 5.82%, 9/15/2029 (c)
|
22,241
|
22,839
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(3-MONTH CME TERM SOFR + 1.47%), 3.97%, 2/7/2030 (c)
|
11,190
|
11,011
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.63%, 5/1/2030 (c) (d) (e)
|
8,600
|
8,888
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.35%), 6.25%, 7/26/2030 (c) (d) (e)
|
15,805
|
16,040
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(3-MONTH CME TERM SOFR + 1.25%), 2.50%, 2/13/2031 (c)
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13,198
|
12,216
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(SOFR + 1.53%), 1.90%, 7/23/2031 (c)
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14,562
|
13,012
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(SOFR + 1.37%), 1.92%, 10/24/2031 (c)
|
7,165
|
6,359
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(SOFR + 0.87%), 4.46%, 2/6/2032 (c)
|
17,420
|
17,154
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Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c)
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4,854
|
4,408
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
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Corporate Bonds — continued
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Banks — continued
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(SOFR + 1.32%), 2.69%, 4/22/2032 (c)
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724
|
657
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(SOFR + 1.04%), 4.70%, 4/23/2032 (c)
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31,935
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31,742
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|
(SOFR + 1.22%), 2.30%, 7/21/2032 (c)
|
21,357
|
18,898
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(SOFR + 1.65%), 5.47%, 1/23/2035 (c)
|
10,662
|
10,903
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(SOFR + 1.91%), 5.43%, 8/15/2035 (c)
|
10,000
|
10,046
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|
(SOFR + 1.13%), 5.05%, 2/6/2037 (c)
|
20,460
|
20,169
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 3.85%, 3/8/2037 (c)
|
15,030
|
14,001
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|
(3-MONTH CME TERM SOFR + 1.58%), 4.08%, 4/23/2040 (c)
|
1,491
|
1,307
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|
(SOFR + 1.93%), 2.68%, 6/19/2041 (c)
|
8,412
|
6,102
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|
(3-MONTH CME TERM SOFR + 3.41%), 4.08%, 3/20/2051 (c)
|
3,398
|
2,684
|
|
Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (a) (c)
|
4,145
|
4,233
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Bank of Montreal (Canada) 5.51%, 6/4/2031
|
3,500
|
3,625
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Bank of Nova Scotia (The) (Canada) (SOFR + 1.44%), 4.74%, 11/10/2032 (c)
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7,050
|
7,032
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|
Banque Federative du Credit Mutuel SA (France) 5.79%, 7/13/2028 (a)
|
6,790
|
6,951
|
|
Barclays plc (United Kingdom)
|
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|
(SOFR + 1.56%), 4.94%, 9/10/2030 (c)
|
26,660
|
26,757
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|
(SOFR + 1.14%), 4.52%, 2/24/2032 (c)
|
16,655
|
16,306
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 7.44%, 11/2/2033 (c)
|
17,880
|
20,002
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|
(SOFR + 1.51%), 5.21%, 2/24/2037 (c)
|
5,485
|
5,340
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|
BNP Paribas SA (France)
|
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|
(SOFR + 1.61%), 1.90%, 9/30/2028 (a) (c)
|
1,000
|
966
|
|
(SOFR + 1.22%), 2.16%, 9/15/2029 (a) (c)
|
832
|
787
|
|
(SOFR + 1.52%), 5.18%, 1/9/2030 (a) (c)
|
21,495
|
21,777
|
|
(SOFR + 1.56%), 3.13%, 1/20/2033 (a) (c)
|
2,128
|
1,923
|
|
(SOFR + 1.92%), 5.91%, 11/19/2035 (a) (c)
|
14,140
|
14,425
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|
BPCE SA (France)
|
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|
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (c)
|
6,380
|
6,431
|
|
5.13%, 1/18/2028 (a)
|
17,959
|
18,153
|
|
(SOFR + 2.27%), 6.71%, 10/19/2029 (a) (c)
|
10,690
|
11,166
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)
|
2,015
|
1,782
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (c)
|
6,550
|
5,821
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (a) (c)
|
11,360
|
12,412
|
|
(SOFR + 2.04%), 6.29%, 1/14/2036 (a) (c)
|
13,100
|
13,703
|
|
CaixaBank SA (Spain)
|
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|
(SOFR + 2.08%), 6.68%, 9/13/2027 (a) (c)
|
3,445
|
3,466
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|
(SOFR + 1.79%), 5.58%, 7/3/2036 (a) (c)
|
3,600
|
3,641
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|
Canadian Imperial Bank of Commerce (Canada) (SOFR + 1.34%), 4.63%, 9/11/2030 (c)
|
4,300
|
4,299
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|
Citibank NA
|
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|
5.80%, 9/29/2028
|
4,000
|
4,135
|
|
4.84%, 8/6/2029
|
4,843
|
4,904
|
|
Citigroup, Inc.
|
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|
4.30%, 11/20/2026
|
2,427
|
2,429
|
|
6.63%, 1/15/2028
|
814
|
846
|
|
(3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c)
|
780
|
774
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|
(3-MONTH CME TERM SOFR + 1.41%), 3.52%, 10/27/2028 (c)
|
6,742
|
6,662
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|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (c) (d) (e)
|
19,925
|
20,346
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|
(SOFR + 1.36%), 5.17%, 2/13/2030 (c)
|
12,100
|
12,275
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (c) (d) (e)
|
14,790
|
14,931
|
|
Series FF, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.73%),
6.95%, 2/15/2030 (c) (d) (e)
|
8,296
|
8,443
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|
(3-MONTH CME TERM SOFR + 1.60%), 3.98%, 3/20/2030 (c)
|
3,495
|
3,434
|
|
(SOFR + 1.34%), 4.54%, 9/19/2030 (c)
|
53,407
|
53,192
|
|
(SOFR + 3.91%), 4.41%, 3/31/2031 (c)
|
16,707
|
16,522
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (c)
|
4,854
|
4,465
|
|
(SOFR + 1.17%), 4.50%, 9/11/2031 (c)
|
12,098
|
11,969
|
|
(SOFR + 1.17%), 2.56%, 5/1/2032 (c)
|
18,009
|
16,204
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (c)
|
2,345
|
2,083
|
|
(SOFR + 2.34%), 6.27%, 11/17/2033 (c)
|
10,460
|
11,187
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (c)
|
23,450
|
23,944
|
|
(SOFR + 1.47%), 5.33%, 3/27/2036 (c)
|
3,000
|
3,023
|
|
(SOFR + 1.49%), 5.17%, 9/11/2036 (c)
|
29,677
|
29,532
|
|
(SOFR + 4.55%), 5.32%, 3/26/2041 (c)
|
6,796
|
6,675
|
|
Credit Agricole SA (France)
|
||
|
(SOFR + 1.21%), 4.63%, 9/11/2028 (a) (c)
|
3,030
|
3,032
|
|
(SOFR + 1.86%), 6.32%, 10/3/2029 (a) (c)
|
12,130
|
12,569
|
|
(SOFR + 1.74%), 5.86%, 1/9/2036 (a) (c)
|
13,215
|
13,619
|
|
Danske Bank A/S (Denmark)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (c)
|
2,560
|
2,625
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (a) (c)
|
6,157
|
6,125
|
|
DNB Bank ASA (Norway)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, 3/30/2028 (a) (c)
|
1,115
|
1,090
|
|
(SOFR + 1.05%), 4.85%, 11/5/2030 (a) (c)
|
12,100
|
12,189
|
|
Fifth Third Bancorp (SOFR + 0.95%), 4.57%, 4/29/2032 (c)
|
7,250
|
7,130
|
|
HSBC Holdings plc (United Kingdom)
|
||
|
(SOFR + 1.57%), 5.89%, 8/14/2027 (c)
|
7,045
|
7,065
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (c)
|
11,902
|
11,999
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
28,997
|
28,070
|
|
(SOFR + 0.94%), 4.71%, 5/12/2030 (c)
|
6,245
|
6,232
|
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (c)
|
28,351
|
27,777
|
|
(SOFR + 1.29%), 5.29%, 11/19/2030 (c)
|
32,560
|
33,030
|
|
(SOFR + 1.29%), 5.13%, 3/3/2031 (c)
|
4,520
|
4,562
|
|
(SOFR + 1.19%), 4.62%, 11/6/2031 (c)
|
12,135
|
11,987
|
|
(SOFR + 1.52%), 5.73%, 5/17/2032 (c)
|
9,495
|
9,795
|
|
(SOFR + 1.19%), 2.80%, 5/24/2032 (c)
|
5,629
|
5,092
|
|
(SOFR + 4.25%), 8.11%, 11/3/2033 (c)
|
1,250
|
1,438
|
|
(SOFR + 1.32%), 5.21%, 5/12/2034 (c)
|
6,780
|
6,768
|
|
(SOFR + 1.55%), 5.28%, 3/10/2037 (c)
|
27,110
|
26,822
|
|
Huntington Bancshares, Inc. (SOFRINDX + 1.87%), 5.71%, 2/2/2035 (c)
|
4,207
|
4,312
|
|
Intesa Sanpaolo SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c)
|
15,549
|
13,405
|
|
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 1.07%), 4.93%, 10/16/2030 (a) (c)
|
7,455
|
7,491
|
|
KeyCorp (SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c)
|
12,620
|
12,736
|
|
Lloyds Banking Group plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c)
|
1,110
|
1,117
|
|
4.38%, 3/22/2028
|
633
|
632
|
|
(3-MONTH SOFR + 1.21%), 3.57%, 11/7/2028 (c)
|
7,000
|
6,913
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
M&T Bank Corp. (SOFR + 1.61%), 5.39%, 1/16/2036 (c)
|
11,089
|
11,065
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c)
|
3,760
|
3,745
|
|
3.20%, 7/18/2029
|
2,605
|
2,497
|
|
Series 8NC7, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%),
5.48%, 2/22/2031 (c)
|
2,070
|
2,120
|
|
3.75%, 7/18/2039
|
3,145
|
2,677
|
|
Mizuho Financial Group, Inc. (Japan)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 5.78%, 7/6/2029 (c)
|
3,490
|
3,579
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.38%, 7/10/2030 (c)
|
2,000
|
2,041
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 5.75%, 7/6/2034 (c)
|
1,900
|
1,975
|
|
Morgan Stanley Private Bank NA (SOFR + 1.02%), 4.47%, 11/19/2031 (c)
|
23,635
|
23,276
|
|
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (a) (f)
|
4,616
|
4,161
|
|
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.05%), 5.12%,
5/23/2031 (c)
|
3,860
|
3,896
|
|
NatWest Markets plc (United Kingdom)
|
||
|
5.41%, 5/17/2029 (a)
|
17,115
|
17,487
|
|
5.02%, 3/21/2030 (a)
|
16,190
|
16,349
|
|
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a)
|
610
|
619
|
|
PNC Bank NA 2.70%, 10/22/2029
|
4,150
|
3,908
|
|
PNC Financial Services Group, Inc. (The)
|
||
|
2.55%, 1/22/2030
|
1,918
|
1,789
|
|
(SOFR + 0.98%), 2.31%, 4/23/2032 (c)
|
971
|
867
|
|
(SOFR + 1.26%), 4.81%, 10/21/2032 (c)
|
6,840
|
6,824
|
|
(SOFR + 1.95%), 5.94%, 8/18/2034 (c)
|
2,100
|
2,210
|
|
(SOFR + 2.28%), 6.88%, 10/20/2034 (c)
|
11,680
|
12,908
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (c)
|
3,790
|
3,914
|
|
(SOFR + 1.42%), 5.37%, 7/21/2036 (c)
|
3,880
|
3,918
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 5.42%, 1/25/2041 (c)
|
7,775
|
7,641
|
|
Royal Bank of Canada (Canada) (SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c)
|
29,065
|
29,101
|
|
Santander UK Group Holdings plc (United Kingdom)
|
||
|
(SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c)
|
32,065
|
32,087
|
|
(SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c)
|
6,098
|
6,254
|
|
(SOFR + 1.48%), 2.90%, 3/15/2032 (c)
|
4,900
|
4,451
|
|
Societe Generale SA (France)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (c)
|
10,679
|
10,562
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (c)
|
3,000
|
3,084
|
|
3.00%, 1/22/2030 (a)
|
3,734
|
3,496
|
|
(SOFR + 1.65%), 5.51%, 5/22/2031 (a) (c)
|
13,035
|
13,277
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (a) (c)
|
3,095
|
2,786
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (a) (c)
|
19,245
|
20,016
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (a) (c)
|
13,063
|
13,546
|
|
(SOFR + 1.60%), 5.40%, 4/10/2037 (a) (c)
|
19,155
|
18,760
|
|
Standard Chartered plc (United Kingdom)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.85%), 6.19%, 7/6/2027 (a) (c)
|
1,400
|
1,402
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (a) (c)
|
4,030
|
4,070
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (c)
|
9,999
|
10,449
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 5.91%, 5/14/2035 (a) (c)
|
9,918
|
10,221
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 5.24%, 1/13/2037 (a) (c)
|
5,310
|
5,204
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
||
|
5.52%, 1/13/2028
|
3,000
|
3,053
|
|
3.04%, 7/16/2029
|
1,395
|
1,330
|
|
2.75%, 1/15/2030
|
3,500
|
3,276
|
|
5.42%, 7/9/2031
|
5,000
|
5,129
|
|
Svenska Handelsbanken AB (Sweden) 5.50%, 6/15/2028 (a)
|
14,707
|
15,023
|
|
TC Ziraat Bankasi A/S (Turkey) 7.25%, 2/4/2030 (a)
|
2,641
|
2,662
|
|
Toronto-Dominion Bank (The) (Canada)
|
||
|
5.52%, 7/17/2028
|
1,694
|
1,733
|
|
4.99%, 4/5/2029
|
6,990
|
7,085
|
|
Truist Financial Corp.
|
||
|
(SOFR + 2.05%), 6.05%, 6/8/2027 (c)
|
7,816
|
7,819
|
|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
6,330
|
6,696
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (c)
|
17,311
|
17,319
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (c)
|
4,385
|
4,572
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
3,680
|
3,792
|
|
(SOFR + 1.40%), 4.96%, 10/23/2036 (c)
|
3,240
|
3,141
|
|
US Bancorp
|
||
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c)
|
2,740
|
2,795
|
|
(SOFR + 1.25%), 5.10%, 7/23/2030 (c)
|
6,000
|
6,090
|
|
(SOFR + 1.30%), 5.08%, 5/15/2031 (c)
|
6,720
|
6,814
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
1,830
|
1,890
|
|
Wells Fargo & Co.
|
||
|
(3-MONTH CME TERM SOFR + 1.57%), 3.58%, 5/22/2028 (c)
|
8,228
|
8,165
|
|
(SOFR + 2.10%), 2.39%, 6/2/2028 (c)
|
1,942
|
1,904
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (c)
|
8,999
|
9,176
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (c) (d) (e)
|
14,430
|
14,954
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (c)
|
17,050
|
17,705
|
|
(SOFR + 1.11%), 5.24%, 1/24/2031 (c)
|
10,875
|
11,060
|
|
(3-MONTH CME TERM SOFR + 1.26%), 2.57%, 2/11/2031 (c)
|
6,796
|
6,303
|
|
(SOFR + 1.50%), 5.15%, 4/23/2031 (c)
|
47,331
|
48,034
|
|
(SOFR + 0.97%), 4.84%, 5/20/2032 (c)
|
13,650
|
13,639
|
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (c)
|
26,791
|
27,561
|
|
(SOFR + 2.06%), 6.49%, 10/23/2034 (c)
|
11,435
|
12,382
|
|
(SOFR + 1.38%), 5.21%, 12/3/2035 (c)
|
17,119
|
17,137
|
|
(SOFR + 1.74%), 5.61%, 4/23/2036 (c)
|
25,625
|
26,289
|
|
(SOFR + 1.10%), 4.96%, 1/23/2037 (c)
|
31,960
|
31,212
|
|
(SOFR + 2.53%), 3.07%, 4/30/2041 (c)
|
11,450
|
8,710
|
|
|
|
1,785,473
|
|
Beverages — 0.1%
|
||
|
Constellation Brands, Inc. 4.65%, 11/15/2028
|
2,913
|
2,919
|
|
Maple Parent Holdings Corp.
|
||
|
5.70%, 3/26/2036 (a)
|
3,244
|
3,279
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Beverages — continued
|
||
|
6.63%, 3/26/2056 (a)
|
3,481
|
3,627
|
|
PepsiCo, Inc. 3.60%, 8/13/2042
|
8,057
|
6,456
|
|
|
|
16,281
|
|
Biotechnology — 0.6%
|
||
|
AbbVie, Inc.
|
||
|
4.55%, 3/15/2035
|
10,000
|
9,715
|
|
4.75%, 3/15/2036
|
6,005
|
5,885
|
|
4.05%, 11/21/2039
|
24,345
|
21,470
|
|
4.25%, 11/21/2049
|
8,158
|
6,678
|
|
5.55%, 3/15/2056
|
9,800
|
9,612
|
|
5.50%, 3/15/2064
|
3,030
|
2,918
|
|
Amgen, Inc.
|
||
|
5.25%, 3/2/2030
|
3,893
|
3,979
|
|
4.85%, 2/19/2036
|
3,937
|
3,859
|
|
5.60%, 3/2/2043
|
3,883
|
3,854
|
|
4.66%, 6/15/2051
|
4,015
|
3,407
|
|
4.88%, 3/1/2053
|
33,147
|
28,876
|
|
5.65%, 3/2/2053
|
5,370
|
5,221
|
|
5.75%, 3/2/2063
|
297
|
288
|
|
Biogen, Inc.
|
||
|
2.25%, 5/1/2030
|
10,000
|
9,133
|
|
3.25%, 2/15/2051
|
5,102
|
3,337
|
|
6.45%, 5/15/2055
|
6,562
|
6,979
|
|
CSL Finance plc (Australia) 5.11%, 4/3/2034 (a)
|
9,560
|
9,598
|
|
Gilead Sciences, Inc.
|
||
|
1.65%, 10/1/2030
|
3,883
|
3,448
|
|
4.50%, 2/1/2045
|
6,310
|
5,506
|
|
|
|
143,763
|
|
Broadline Retail — 0.2%
|
||
|
Amazon.com, Inc.
|
||
|
4.88%, 3/13/2036
|
8,454
|
8,352
|
|
5.65%, 3/13/2046
|
7,155
|
7,145
|
|
5.80%, 3/13/2056
|
21,560
|
21,581
|
|
Nordstrom, Inc. 4.38%, 4/1/2030
|
3,582
|
3,425
|
|
Shutterfly Finance LLC
|
||
|
8.50% (Cash), 10/1/2027 (a) (b)
|
1,386
|
1,377
|
|
9.75%, 10/1/2027 (a)
|
155
|
155
|
|
Wayfair LLC
|
||
|
7.25%, 10/31/2029 (a)
|
5,578
|
5,739
|
|
7.13%, 5/31/2034 (a)
|
694
|
707
|
|
|
|
48,481
|
|
Building Products — 0.3%
|
||
|
Builders FirstSource, Inc.
|
||
|
4.25%, 2/1/2032 (a)
|
10,978
|
10,100
|
|
6.38%, 3/1/2034 (a)
|
1,960
|
1,958
|
|
EMRLD Borrower LP 6.63%, 12/15/2030 (a)
|
10,323
|
10,554
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Building Products — continued
|
||
|
Griffon Corp. 5.75%, 3/1/2028
|
5,514
|
5,513
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (a)
|
4,690
|
4,681
|
|
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a)
|
4,435
|
4,361
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (a)
|
5,933
|
6,041
|
|
Smyrna Ready Mix Concrete LLC 8.88%, 11/15/2031 (a)
|
7,100
|
7,485
|
|
Standard Building Solutions, Inc.
|
||
|
6.25%, 8/1/2033 (a)
|
4,630
|
4,637
|
|
5.88%, 3/15/2034 (a)
|
1,077
|
1,050
|
|
Standard Industries, Inc.
|
||
|
4.75%, 1/15/2028 (a)
|
3,377
|
3,361
|
|
4.38%, 7/15/2030 (a)
|
7,309
|
6,961
|
|
3.38%, 1/15/2031 (a)
|
3,609
|
3,285
|
|
|
|
69,987
|
|
Capital Markets — 2.5%
|
||
|
Bank of New York Mellon Corp. (The)
|
||
|
(SOFR + 1.60%), 6.32%, 10/25/2029 (c)
|
2,500
|
2,603
|
|
(SOFR + 1.85%), 6.47%, 10/25/2034 (c)
|
8,610
|
9,400
|
|
Charles Schwab Corp. (The) (SOFR + 1.23%), 4.91%, 11/14/2036 (c)
|
16,385
|
15,942
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (c)
|
3,050
|
3,015
|
|
(SOFR + 1.59%), 5.71%, 2/8/2028 (c)
|
2,141
|
2,159
|
|
(SOFR + 3.18%), 6.72%, 1/18/2029 (c)
|
2,523
|
2,605
|
|
5.41%, 5/10/2029
|
3,270
|
3,353
|
|
(SOFR + 2.51%), 6.82%, 11/20/2029 (c)
|
1,955
|
2,050
|
|
(SOFR + 1.10%), 4.47%, 12/10/2031 (c)
|
7,995
|
7,867
|
|
(SOFR + 1.14%), 4.73%, 2/6/2032 (c)
|
4,725
|
4,652
|
|
(SOFR + 2.26%), 3.74%, 1/7/2033 (c)
|
6,515
|
5,967
|
|
(SOFR + 3.65%), 7.08%, 2/10/2034 (c)
|
12,570
|
13,483
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
8,572
|
8,463
|
|
(SOFR + 1.85%), 3.62%, 3/15/2028 (c)
|
7,466
|
7,419
|
|
(3-MONTH CME TERM SOFR + 1.77%), 3.69%, 6/5/2028 (c)
|
5,902
|
5,861
|
|
(3-MONTH CME TERM SOFR + 1.42%), 3.81%, 4/23/2029 (c)
|
1,615
|
1,592
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (c) (d) (e)
|
7,601
|
7,972
|
|
(SOFR + 1.77%), 6.48%, 10/24/2029 (c)
|
26,145
|
27,224
|
|
Series Z, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%),
6.85%, 2/10/2030 (c) (d) (e)
|
11,366
|
11,656
|
|
(SOFR + 1.27%), 5.73%, 4/25/2030 (c)
|
3,695
|
3,796
|
|
(SOFR + 1.21%), 5.05%, 7/23/2030 (c)
|
2,050
|
2,069
|
|
(SOFR + 1.14%), 4.69%, 10/23/2030 (c)
|
7,010
|
6,999
|
|
(SOFR + 1.08%), 5.21%, 1/28/2031 (c)
|
13,385
|
13,562
|
|
(SOFR + 1.58%), 5.22%, 4/23/2031 (c)
|
14,210
|
14,418
|
|
(SOFR + 1.06%), 4.37%, 10/21/2031 (c)
|
37,535
|
36,790
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
16,408
|
14,778
|
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (c)
|
23,360
|
23,510
|
|
(SOFR + 1.42%), 5.02%, 10/23/2035 (c)
|
27,120
|
26,719
|
|
(SOFR + 1.33%), 4.94%, 10/21/2036 (c)
|
32,310
|
31,382
|
|
(SOFR + 1.19%), 5.07%, 1/21/2037 (c)
|
20,054
|
19,618
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
(3-MONTH CME TERM SOFR + 1.63%), 4.02%, 10/31/2038 (c)
|
1,262
|
1,108
|
|
(SOFR + 1.51%), 3.21%, 4/22/2042 (c)
|
2,194
|
1,656
|
|
(SOFR + 1.63%), 3.44%, 2/24/2043 (c)
|
1,064
|
816
|
|
Lehman Brothers Holdings, Inc.
|
||
|
5.75%, 3/2/2015 (g)
|
1,000
|
—
|
|
8.00%, 8/1/2015
|
295
|
—
|
|
Lehman Brothers Holdings, Inc., Escrow 3.60%, 3/13/2009 (g)
|
235
|
—
|
|
Macquarie Group Ltd. (Australia) (SOFR + 1.44%), 2.69%, 6/23/2032 (a) (c)
|
389
|
350
|
|
Morgan Stanley
|
||
|
3.13%, 7/27/2026
|
752
|
751
|
|
(3-MONTH CME TERM SOFR + 1.40%), 3.77%, 1/24/2029 (c)
|
1,348
|
1,332
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (c)
|
6,014
|
6,067
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (c)
|
6,097
|
6,204
|
|
(SOFR + 1.45%), 5.17%, 1/16/2030 (c)
|
13,950
|
14,121
|
|
(3-MONTH CME TERM SOFR + 1.89%), 4.43%, 1/23/2030 (c)
|
3,186
|
3,168
|
|
(SOFR + 1.22%), 5.04%, 7/19/2030 (c)
|
23,575
|
23,791
|
|
(SOFR + 1.10%), 4.65%, 10/18/2030 (c)
|
26,420
|
26,327
|
|
(SOFR + 1.11%), 5.23%, 1/15/2031 (c)
|
7,505
|
7,617
|
|
(SOFR + 1.14%), 2.70%, 1/22/2031 (c)
|
15,193
|
14,144
|
|
(SOFR + 1.51%), 5.19%, 4/17/2031 (c)
|
27,916
|
28,328
|
|
(SOFR + 0.95%), 4.49%, 1/16/2032 (c)
|
14,745
|
14,509
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
4,918
|
4,281
|
|
(SOFR + 1.20%), 4.71%, 3/12/2032 (c)
|
19,255
|
19,079
|
|
(SOFR + 1.02%), 1.93%, 4/28/2032 (c)
|
3,922
|
3,414
|
|
(SOFR + 1.29%), 2.94%, 1/21/2033 (c)
|
2,273
|
2,049
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (c)
|
7,539
|
7,684
|
|
(SOFR + 1.58%), 5.83%, 4/19/2035 (c)
|
4,110
|
4,276
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
8,520
|
8,605
|
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (c)
|
3,160
|
2,748
|
|
(SOFR + 1.18%), 5.07%, 1/30/2037 (c)
|
22,462
|
21,995
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (c)
|
11,981
|
12,397
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c)
|
5,267
|
4,875
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 5.31%, 1/18/2041 (c)
|
3,790
|
3,702
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (c)
|
5,340
|
4,083
|
|
S&P Global, Inc.
|
||
|
2.90%, 3/1/2032
|
6,500
|
5,930
|
|
3.25%, 12/1/2049
|
5,340
|
3,692
|
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%, 3/15/2029 (c) (d) (e)
|
2,625
|
2,699
|
|
UBS Group AG (Switzerland)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (c)
|
11,213
|
11,250
|
|
(3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (a) (c)
|
831
|
822
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (a) (c)
|
1,107
|
1,126
|
|
(3-MONTH SOFR + 1.47%), 3.13%, 8/13/2030 (a) (c)
|
27,883
|
26,527
|
|
(USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (c)
|
2,683
|
2,755
|
|
(SOFR + 1.34%), 5.01%, 3/23/2037 (a) (c)
|
7,900
|
7,701
|
|
|
|
648,903
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Chemicals — 0.4%
|
||
|
Avient Corp.
|
||
|
7.13%, 8/1/2030 (a)
|
4,708
|
4,790
|
|
6.25%, 11/1/2031 (a)
|
290
|
294
|
|
Axalta Coating Systems Dutch Holding B BV 7.25%, 2/15/2031 (a)
|
1,720
|
1,791
|
|
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a)
|
3,121
|
3,115
|
|
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (a)
|
8,200
|
5,043
|
|
Celanese US Holdings LLC
|
||
|
7.00%, 2/15/2031
|
5,741
|
5,950
|
|
7.38%, 7/15/2032 (h)
|
1,950
|
2,050
|
|
7.38%, 2/15/2034
|
11,139
|
11,634
|
|
CF Industries, Inc. 4.95%, 6/1/2043
|
1,020
|
928
|
|
Chemours Co. (The)
|
||
|
5.75%, 11/15/2028 (a)
|
2,278
|
2,274
|
|
7.88%, 3/15/2034 (a)
|
1,063
|
1,078
|
|
EIDP, Inc. 4.80%, 5/15/2033
|
3,680
|
3,634
|
|
Element Solutions, Inc. 3.88%, 9/1/2028 (a)
|
2,779
|
2,703
|
|
INEOS Finance plc (Luxembourg) 6.75%, 5/15/2028 (a)
|
1,000
|
1,006
|
|
INEOS Quattro Finance 2 plc (United Kingdom) 9.63%, 3/15/2029 (a)
|
1,181
|
1,127
|
|
LYB International Finance III LLC 5.88%, 1/15/2036
|
18,514
|
18,774
|
|
NOVA Chemicals Corp. (Canada)
|
||
|
8.50%, 11/15/2028 (a)
|
2,405
|
2,496
|
|
4.25%, 5/15/2029 (a)
|
1,063
|
1,038
|
|
9.00%, 2/15/2030 (a)
|
4,690
|
4,939
|
|
OCP SA (Morocco) 7.50%, 5/2/2054 (a)
|
4,366
|
4,677
|
|
Scotts Miracle-Gro Co. (The)
|
||
|
5.25%, 12/15/2026
|
1,961
|
1,958
|
|
4.50%, 10/15/2029
|
8,163
|
7,957
|
|
Solstice Advanced Materials, Inc. 5.63%, 9/30/2033 (a)
|
6,637
|
6,562
|
|
WR Grace Holdings LLC
|
||
|
6.63%, 8/15/2032 (a)
|
3,275
|
3,250
|
|
7.00%, 8/1/2033 (a)
|
604
|
599
|
|
|
|
99,667
|
|
Commercial Services & Supplies — 0.5%
|
||
|
ACCO Brands Corp. 4.25%, 3/15/2029 (a)
|
6,668
|
6,138
|
|
ADT Security Corp. (The)
|
||
|
4.13%, 8/1/2029 (a)
|
4,986
|
4,789
|
|
4.88%, 7/15/2032 (a)
|
7,112
|
6,734
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
2,807
|
2,765
|
|
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070
|
2,915
|
1,620
|
|
GFL Environmental, Inc.
|
||
|
4.00%, 8/1/2028 (a)
|
5,605
|
5,481
|
|
4.75%, 6/15/2029 (a)
|
5,097
|
5,019
|
|
6.75%, 1/15/2031 (a)
|
8,959
|
9,251
|
|
ILFC E-Capital Trust I 6.38%, 12/21/2065 (a) (i)
|
5,178
|
4,447
|
|
Jonah
|
||
|
12.00%, 6/1/2029 ‡
|
50,808
|
50,808
|
|
12.50%, 3/21/2033 ‡
|
20,000
|
20,000
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Commercial Services & Supplies — continued
|
||
|
Madison IAQ LLC 4.13%, 6/30/2028 (a)
|
2,166
|
2,139
|
|
Williams Scotsman, Inc.
|
||
|
4.63%, 8/15/2028 (a)
|
2,255
|
2,233
|
|
7.38%, 10/1/2031 (a)
|
2,245
|
2,344
|
|
Wrangler Holdco Corp. (Canada) 6.63%, 4/1/2032 (a)
|
2,320
|
2,382
|
|
|
|
126,150
|
|
Construction & Engineering — 0.1%
|
||
|
AECOM 6.00%, 8/1/2033 (a)
|
2,136
|
2,139
|
|
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (a)
|
1,296
|
1,082
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
2,438
|
2,395
|
|
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a)
|
7,860
|
7,848
|
|
Granite Construction, Inc. 6.38%, 6/15/2034 (a) (j)
|
896
|
915
|
|
MasTec, Inc. 6.63%, 8/15/2029 (a)
|
1,457
|
1,460
|
|
Quanta Services, Inc.
|
||
|
4.50%, 1/15/2031
|
4,780
|
4,735
|
|
5.25%, 8/9/2034
|
7,380
|
7,463
|
|
|
|
28,037
|
|
Construction Materials — 0.0% ^
|
||
|
Knife River Corp. 7.75%, 5/1/2031 (a)
|
5,384
|
5,590
|
|
Consumer Finance — 1.0%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
3.00%, 10/29/2028
|
10,510
|
10,126
|
|
4.63%, 9/10/2029
|
10,000
|
9,978
|
|
3.30%, 1/30/2032
|
5,938
|
5,434
|
|
5.00%, 11/15/2035
|
1,729
|
1,679
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 6.95%, 3/10/2055 (c)
|
2,238
|
2,320
|
|
Ally Financial, Inc. 6.70%, 2/14/2033
|
1,220
|
1,260
|
|
American Express Co.
|
||
|
(SOFR + 1.00%), 5.10%, 2/16/2028 (c)
|
2,500
|
2,514
|
|
(SOFR + 1.44%), 5.02%, 4/25/2031 (c)
|
15,218
|
15,413
|
|
(SOFR + 1.22%), 4.92%, 7/20/2033 (c)
|
5,300
|
5,306
|
|
(SOFR + 1.79%), 5.67%, 4/25/2036 (c)
|
4,570
|
4,740
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
6.38%, 5/4/2028 (a)
|
3,660
|
3,762
|
|
5.75%, 3/1/2029 (a)
|
11,663
|
11,913
|
|
5.75%, 11/15/2029 (a)
|
34,030
|
34,859
|
|
5.15%, 1/15/2030 (a)
|
19,980
|
20,074
|
|
5.38%, 5/30/2030 (a)
|
865
|
874
|
|
4.90%, 10/10/2030 (a)
|
14,910
|
14,799
|
|
4.95%, 10/15/2032 (a)
|
2,070
|
2,019
|
|
Ford Motor Credit Co. LLC
|
||
|
5.11%, 5/3/2029
|
870
|
867
|
|
5.30%, 9/6/2029
|
1,000
|
1,001
|
|
7.20%, 6/10/2030
|
920
|
976
|
|
4.00%, 11/13/2030
|
8,551
|
8,079
|
|
5.42%, 4/9/2031
|
15,795
|
15,745
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
5.75%, 4/6/2033
|
28,366
|
28,299
|
|
6.47%, 5/22/2036
|
26,145
|
26,819
|
|
General Motors Financial Co., Inc. 5.95%, 4/4/2034
|
3,935
|
4,086
|
|
ILFC E-Capital Trust II 6.63%, 12/21/2065 (a) (i)
|
1,015
|
891
|
|
OneMain Finance Corp.
|
||
|
3.88%, 9/15/2028
|
1,740
|
1,684
|
|
6.63%, 5/15/2029
|
7,595
|
7,713
|
|
5.38%, 11/15/2029
|
7,234
|
7,058
|
|
Stellantis Financial Services US Corp.
|
||
|
5.40%, 6/15/2029 (a)
|
8,845
|
8,867
|
|
5.80%, 6/15/2031 (a)
|
5,900
|
5,911
|
|
|
|
265,066
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
Albertsons Cos., Inc.
|
||
|
3.50%, 3/15/2029 (a)
|
2,395
|
2,285
|
|
4.88%, 2/15/2030 (a)
|
1,136
|
1,106
|
|
5.50%, 3/31/2031 (a)
|
2,069
|
2,037
|
|
5.63%, 3/31/2032 (a)
|
5,239
|
5,115
|
|
5.75%, 3/31/2034 (a)
|
1,660
|
1,599
|
|
Performance Food Group, Inc.
|
||
|
6.13%, 9/15/2032 (a)
|
1,078
|
1,090
|
|
5.63%, 3/1/2034 (a)
|
1,243
|
1,215
|
|
Sysco Corp. 5.10%, 9/23/2030
|
3,885
|
3,934
|
|
|
|
18,381
|
|
Containers & Packaging — 0.3%
|
||
|
Amcor Flexibles North America, Inc. 5.10%, 3/17/2030
|
6,660
|
6,745
|
|
Ardagh Group SA
|
||
|
9.50%, 12/1/2030 (a)
|
3,592
|
3,835
|
|
12.00% (Blend (Cash 5.50% + PIK 6.50%)), 12/1/2030 (a) (b) (i)
|
9,786
|
8,768
|
|
Ball Corp.
|
||
|
6.00%, 6/15/2029
|
5,631
|
5,725
|
|
5.50%, 9/15/2033
|
2,820
|
2,833
|
|
Berry Global, Inc. 5.80%, 6/15/2031
|
25,745
|
26,785
|
|
Clydesdale Acquisition Holdings, Inc. 6.75%, 4/15/2032 (a)
|
3,465
|
3,330
|
|
Graphic Packaging International LLC
|
||
|
4.75%, 7/15/2027 (a)
|
2,157
|
2,144
|
|
6.38%, 7/15/2032 (a)
|
2,215
|
2,233
|
|
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2030 (a)
|
4,563
|
4,609
|
|
Packaging Corp. of America 3.05%, 10/1/2051
|
2,277
|
1,469
|
|
Sonoco Products Co. 3.13%, 5/1/2030
|
10,589
|
9,969
|
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
3,262
|
3,134
|
|
|
|
81,579
|
|
Distributors — 0.1%
|
||
|
American Builders & Contractors Supply Co., Inc.
|
||
|
4.00%, 1/15/2028 (a)
|
4,223
|
4,141
|
|
3.88%, 11/15/2029 (a)
|
1,825
|
1,736
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Distributors — continued
|
||
|
RB Global Holdings, Inc. (Canada) 7.75%, 3/15/2031 (a)
|
3,111
|
3,235
|
|
Resideo Funding, Inc. 6.50%, 7/15/2032 (a)
|
4,015
|
4,036
|
|
|
|
13,148
|
|
Diversified — 0.1%
|
||
|
Ygrene Frn 8.50%, 7/25/2045 ‡ (a)
|
16,738
|
16,822
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Service Corp. International
|
||
|
5.13%, 6/1/2029
|
5,850
|
5,843
|
|
5.75%, 10/15/2032
|
925
|
933
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
2,329
|
2,409
|
|
|
|
9,185
|
|
Diversified REITs — 0.0% ^
|
||
|
Simon Property Group LP 3.25%, 9/13/2049
|
5,086
|
3,500
|
|
WP Carey, Inc.
|
||
|
4.25%, 10/1/2026
|
2,092
|
2,092
|
|
2.25%, 4/1/2033
|
2,796
|
2,342
|
|
|
|
7,934
|
|
Diversified Telecommunication Services — 1.2%
|
||
|
APLD ComputeCo 2 LLC 6.75%, 3/15/2031 (a)
|
3,242
|
3,268
|
|
AT&T, Inc.
|
||
|
1.65%, 2/1/2028
|
8,737
|
8,359
|
|
4.90%, 11/1/2035
|
20,400
|
19,906
|
|
5.13%, 4/30/2036
|
8,290
|
8,175
|
|
3.50%, 6/1/2041
|
5,594
|
4,350
|
|
3.50%, 9/15/2053
|
13,080
|
8,650
|
|
5.70%, 11/1/2054
|
16,780
|
15,828
|
|
3.55%, 9/15/2055
|
28,665
|
18,741
|
|
6.05%, 8/15/2056
|
8,370
|
8,271
|
|
CCO Holdings LLC
|
||
|
4.75%, 3/1/2030 (a)
|
31,486
|
29,757
|
|
4.50%, 8/15/2030 (a)
|
16,861
|
15,692
|
|
4.25%, 2/1/2031 (a)
|
15,615
|
14,138
|
|
4.75%, 2/1/2032 (a)
|
3,125
|
2,786
|
|
4.50%, 5/1/2032
|
2,575
|
2,259
|
|
Cipher Compute LLC 7.13%, 11/15/2030 (a)
|
4,097
|
4,271
|
|
Comcast Corp.
|
||
|
1.95%, 1/15/2031
|
3,951
|
3,505
|
|
5.30%, 6/1/2034
|
3,540
|
3,597
|
|
3.90%, 3/1/2038
|
12,124
|
10,431
|
|
3.25%, 11/1/2039
|
10,222
|
7,908
|
|
3.97%, 11/1/2047
|
1,083
|
802
|
|
4.00%, 3/1/2048
|
4,990
|
3,704
|
|
4.00%, 11/1/2049
|
132
|
97
|
|
3.45%, 2/1/2050
|
4,085
|
2,707
|
|
5.35%, 5/15/2053
|
15,813
|
14,002
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Diversified Telecommunication Services — continued
|
||
|
2.94%, 11/1/2056
|
14,138
|
7,929
|
|
2.99%, 11/1/2063
|
1,152
|
618
|
|
Edged Compute LLC 7.50%, 4/30/2031 (a)
|
1,860
|
1,865
|
|
Fibercop SpA (Italy)
|
||
|
Series 2033, 6.38%, 11/15/2033 (a)
|
881
|
881
|
|
6.00%, 9/30/2034 (a)
|
2,780
|
2,671
|
|
Flash Compute LLC 7.25%, 12/31/2030 (a)
|
3,107
|
3,203
|
|
Level 3 Financing, Inc.
|
||
|
6.88%, 6/30/2033 (a)
|
4,445
|
4,579
|
|
7.00%, 3/31/2034 (a)
|
2,939
|
3,046
|
|
Meridian Arc Holdco LLC 6.25%, 4/30/2031 (a)
|
8,719
|
8,764
|
|
PR RNO Property Owner 1 LLC 6.50%, 5/1/2031 (a)
|
6,571
|
6,580
|
|
RD Michigan Property Owner I LLC 7.50%, 3/30/2045 (a)
|
29,608
|
29,667
|
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
4,475
|
4,715
|
|
Verizon Communications, Inc.
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.04%), 6.20%, 5/14/2056 (c)
|
7,107
|
7,214
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.81%), 6.05%, 5/14/2058 (c)
|
10,663
|
10,801
|
|
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a)
|
2,423
|
2,329
|
|
WULF Compute LLC 7.75%, 10/15/2030 (a)
|
6,947
|
7,300
|
|
|
|
313,366
|
|
Electric Utilities — 2.5%
|
||
|
AEP Transmission Co. LLC
|
||
|
3.15%, 9/15/2049
|
471
|
313
|
|
Series M, 3.65%, 4/1/2050
|
1,942
|
1,419
|
|
Series N, 2.75%, 8/15/2051
|
2,427
|
1,477
|
|
Alabama Power Co.
|
||
|
6.13%, 5/15/2038
|
865
|
926
|
|
5.50%, 3/15/2041
|
1,214
|
1,202
|
|
Series A, 4.30%, 7/15/2048
|
340
|
279
|
|
Alliant Energy Finance LLC 5.40%, 6/6/2027 (a)
|
1,850
|
1,867
|
|
Arizona Public Service Co.
|
||
|
4.70%, 1/15/2044
|
146
|
123
|
|
4.25%, 3/1/2049
|
971
|
764
|
|
Baltimore Gas and Electric Co.
|
||
|
4.25%, 9/15/2048
|
1,360
|
1,098
|
|
3.20%, 9/15/2049
|
1,432
|
955
|
|
2.90%, 6/15/2050
|
816
|
513
|
|
CenterPoint Energy Houston Electric LLC Series AD, 2.90%, 7/1/2050
|
1,942
|
1,239
|
|
Comision Ejecutiva Hidroelectrica del Rio Lempa (El Salvador) 8.65%, 1/24/2033 (a)
|
1,258
|
1,333
|
|
Comision Federal de Electricidad (Mexico) 6.50%, 1/28/2051 (a)
|
2,436
|
2,366
|
|
Commonwealth Edison Co. 4.00%, 3/1/2048
|
292
|
229
|
|
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048
|
1,637
|
1,297
|
|
Consumers 2023 Securitization Funding LLC Series A2, 5.21%, 9/1/2030
|
3,826
|
3,897
|
|
DTE Electric Co.
|
||
|
5.20%, 3/1/2034
|
3,400
|
3,475
|
|
3.95%, 6/15/2042
|
370
|
300
|
|
Series A, 4.00%, 4/1/2043
|
4,728
|
3,883
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Series B, 3.65%, 3/1/2052
|
636
|
462
|
|
DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037
|
3,700
|
3,978
|
|
Duke Energy Carolinas LLC 3.70%, 12/1/2047
|
971
|
730
|
|
Duke Energy Corp. 5.80%, 6/15/2054
|
3,300
|
3,209
|
|
Duke Energy Florida LLC
|
||
|
1.75%, 6/15/2030
|
4,223
|
3,795
|
|
5.90%, 3/1/2033
|
400
|
417
|
|
6.20%, 11/15/2053
|
1,985
|
2,100
|
|
Duke Energy Indiana LLC
|
||
|
Series YYY, 3.25%, 10/1/2049
|
2,170
|
1,481
|
|
5.40%, 4/1/2053
|
5,189
|
4,909
|
|
Duke Energy Ohio, Inc.
|
||
|
5.25%, 4/1/2033
|
9,542
|
9,752
|
|
4.30%, 2/1/2049
|
1,427
|
1,150
|
|
Duke Energy Progress LLC
|
||
|
4.10%, 5/15/2042
|
297
|
250
|
|
3.70%, 10/15/2046
|
195
|
147
|
|
5.55%, 3/15/2055
|
888
|
864
|
|
Electricite de France SA (France) 6.90%, 5/23/2053 (a)
|
2,693
|
2,913
|
|
Emera US Finance LP (Canada) 2.64%, 6/15/2031
|
18,635
|
16,731
|
|
Emera, Inc. (Canada) Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (c)
|
1,891
|
1,891
|
|
ENEL Finance International NV (Italy)
|
||
|
5.13%, 6/26/2029 (a)
|
6,590
|
6,668
|
|
2.50%, 7/12/2031 (a) (h)
|
4,904
|
4,368
|
|
5.50%, 6/26/2034 (a)
|
9,365
|
9,507
|
|
5.00%, 9/30/2035 (a)
|
10,200
|
9,948
|
|
5.75%, 9/30/2055 (a)
|
6,445
|
6,111
|
|
Entergy Corp.
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (c)
|
17,928
|
18,591
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.18%), 5.88%, 6/15/2056 (c)
|
372
|
373
|
|
Entergy Louisiana LLC
|
||
|
3.12%, 9/1/2027
|
729
|
720
|
|
1.60%, 12/15/2030
|
7,252
|
6,371
|
|
4.20%, 4/1/2050
|
1,360
|
1,071
|
|
2.90%, 3/15/2051
|
3,920
|
2,455
|
|
5.70%, 3/15/2054
|
6,300
|
6,208
|
|
Entergy Mississippi LLC
|
||
|
5.00%, 9/1/2033
|
3,252
|
3,262
|
|
3.85%, 6/1/2049
|
486
|
366
|
|
3.50%, 6/1/2051
|
1,534
|
1,069
|
|
5.85%, 6/1/2054
|
2,885
|
2,876
|
|
Entergy Texas Restoration Funding LLC Series A-2, 3.70%, 12/15/2035
|
2,825
|
2,677
|
|
Entergy Texas, Inc.
|
||
|
1.75%, 3/15/2031
|
17,722
|
15,497
|
|
3.55%, 9/30/2049
|
753
|
535
|
|
5.55%, 9/15/2054
|
4,283
|
4,088
|
|
Evergy Metro, Inc. 4.20%, 6/15/2047
|
714
|
578
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038
|
1,906
|
1,918
|
|
FirstEnergy Corp. Series B, 3.90%, 7/15/2027 (h)
|
7,920
|
7,870
|
|
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (a)
|
777
|
739
|
|
Florida Power & Light Co.
|
||
|
5.40%, 9/1/2035
|
583
|
597
|
|
3.70%, 12/1/2047
|
4,466
|
3,368
|
|
3.95%, 3/1/2048
|
646
|
509
|
|
Generadora de Gatun SA (Panama) 6.87%, 9/30/2044 (a)
|
4,687
|
4,779
|
|
Georgia Power Co. 5.25%, 3/15/2034
|
3,400
|
3,466
|
|
Interstate Power and Light Co. 4.10%, 9/26/2028
|
777
|
771
|
|
ITC Holdings Corp.
|
||
|
4.95%, 9/22/2027 (a)
|
5,867
|
5,896
|
|
2.95%, 5/14/2030 (a)
|
3,883
|
3,623
|
|
5.40%, 6/1/2033 (a)
|
5,973
|
6,067
|
|
5.65%, 5/9/2034 (a)
|
9,145
|
9,394
|
|
Jersey Central Power & Light Co. 6.15%, 6/1/2037
|
777
|
823
|
|
Massachusetts Electric Co. 5.90%, 11/15/2039 (a)
|
960
|
981
|
|
MidAmerican Energy Co. 3.65%, 8/1/2048
|
1,942
|
1,440
|
|
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)
|
7,631
|
7,574
|
|
Monongahela Power Co. 5.85%, 2/15/2034 (a)
|
9,250
|
9,684
|
|
Nevada Power Co.
|
||
|
5.38%, 9/15/2040
|
608
|
596
|
|
6.00%, 3/15/2054
|
1,510
|
1,530
|
|
NextEra Energy Capital Holdings, Inc.
|
||
|
5.25%, 2/28/2053
|
1,379
|
1,252
|
|
5.55%, 3/15/2054
|
2,650
|
2,510
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (c)
|
3,930
|
4,100
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 6.38%, 8/15/2055 (c)
|
11,405
|
11,675
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.98%), 6.50%, 8/15/2055 (c)
|
3,545
|
3,672
|
|
Niagara Mohawk Power Corp. 4.28%, 12/15/2028 (a)
|
631
|
626
|
|
Northern States Power Co.
|
||
|
6.20%, 7/1/2037
|
168
|
183
|
|
4.50%, 6/1/2052
|
2,602
|
2,184
|
|
NRG Energy, Inc.
|
||
|
2.45%, 12/2/2027 (a)
|
2,549
|
2,468
|
|
3.38%, 2/15/2029 (a)
|
4,731
|
4,515
|
|
5.25%, 6/15/2029 (a)
|
11,743
|
11,683
|
|
4.73%, 10/15/2030 (a)
|
2,650
|
2,610
|
|
3.63%, 2/15/2031 (a)
|
714
|
662
|
|
3.88%, 2/15/2032 (a)
|
148
|
136
|
|
6.00%, 2/1/2033 (a)
|
2,089
|
2,105
|
|
5.75%, 1/15/2034 (a)
|
6,934
|
6,859
|
|
5.88%, 5/15/2034 (a)
|
1,765
|
1,754
|
|
5.41%, 10/15/2035 (a)
|
8,627
|
8,471
|
|
6.00%, 1/15/2036 (a)
|
2,042
|
2,028
|
|
6.13%, 5/15/2036 (a)
|
441
|
440
|
|
OGE Energy Corp. 5.45%, 5/15/2029
|
3,085
|
3,151
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Ohio Power Co. Series R, 2.90%, 10/1/2051
|
6,567
|
3,996
|
|
Oncor Electric Delivery Co. LLC
|
||
|
3.10%, 9/15/2049
|
971
|
640
|
|
5.35%, 10/1/2052
|
534
|
499
|
|
Pacific Gas and Electric Co.
|
||
|
5.00%, 6/4/2028
|
5,433
|
5,470
|
|
4.65%, 8/1/2028
|
11,889
|
11,864
|
|
6.10%, 1/15/2029
|
1,282
|
1,323
|
|
5.05%, 10/15/2032
|
31,035
|
30,874
|
|
6.40%, 6/15/2033
|
11,604
|
12,349
|
|
5.70%, 3/1/2035
|
16,035
|
16,248
|
|
4.20%, 6/1/2041
|
1,622
|
1,332
|
|
4.60%, 6/15/2043
|
1,894
|
1,571
|
|
6.75%, 1/15/2053
|
3,032
|
3,188
|
|
5.90%, 10/1/2054
|
1,020
|
965
|
|
Palomino Funding Trust I 7.23%, 5/17/2028 (a)
|
2,000
|
2,081
|
|
PECO Energy Co. 2.80%, 6/15/2050
|
729
|
452
|
|
Pepco Holdings LLC 7.45%, 8/15/2032
|
971
|
1,083
|
|
PG&E Corp.
|
||
|
5.00%, 7/1/2028
|
3,733
|
3,715
|
|
5.25%, 7/1/2030
|
2,296
|
2,272
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.88%), 7.38%, 3/15/2055 (c)
|
22,320
|
22,730
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.85%, 9/15/2056 (c)
|
2,076
|
2,069
|
|
PG&E Recovery Funding LLC
|
||
|
Series A-2, 5.23%, 6/1/2042
|
3,830
|
3,804
|
|
Series A-3, 5.54%, 7/15/2047
|
3,951
|
3,886
|
|
Series A-3, 5.53%, 6/1/2049
|
4,550
|
4,493
|
|
PG&E Wildfire Recovery Funding LLC
|
||
|
Series A-2, 4.26%, 6/1/2036
|
1,059
|
1,017
|
|
Series A-4, 5.21%, 12/1/2047
|
777
|
733
|
|
Series A-5, 5.10%, 6/1/2052
|
2,850
|
2,612
|
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
1,384
|
1,296
|
|
Public Service Co. of Colorado
|
||
|
4.05%, 9/15/2049
|
2,573
|
1,993
|
|
2.70%, 1/15/2051
|
3,097
|
1,844
|
|
Public Service Co. of Oklahoma
|
||
|
5.25%, 1/15/2033
|
1,292
|
1,311
|
|
Series G, 6.63%, 11/15/2037
|
1,068
|
1,148
|
|
Public Service Electric and Gas Co. 5.80%, 5/1/2037
|
826
|
874
|
|
SCE Recovery Funding LLC
|
||
|
Series A-1, 4.70%, 6/15/2040
|
931
|
905
|
|
Series A-2, 5.11%, 12/15/2047
|
311
|
289
|
|
Sigeco Securitization I LLC
|
||
|
Series A1, 5.03%, 11/15/2036
|
617
|
620
|
|
Series A2, 5.17%, 5/15/2041
|
298
|
288
|
|
Southern California Edison Co.
|
||
|
5.25%, 3/15/2030
|
4,400
|
4,453
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
5.45%, 6/1/2031
|
3,540
|
3,613
|
|
5.20%, 6/1/2034
|
1,970
|
1,948
|
|
5.45%, 3/1/2035
|
2,547
|
2,545
|
|
Series 06-E, 5.55%, 1/15/2037
|
437
|
433
|
|
Series 08-A, 5.95%, 2/1/2038
|
277
|
281
|
|
Series C, 3.60%, 2/1/2045
|
1,233
|
883
|
|
Series C, 4.13%, 3/1/2048
|
971
|
731
|
|
Series 20A, 2.95%, 2/1/2051
|
8,553
|
5,145
|
|
5.70%, 3/1/2053
|
4,987
|
4,592
|
|
5.88%, 12/1/2053
|
6,850
|
6,514
|
|
5.75%, 4/15/2054
|
2,060
|
1,910
|
|
Southern Co. (The) 5.70%, 3/15/2034
|
1,995
|
2,070
|
|
Southwestern Electric Power Co.
|
||
|
5.30%, 4/1/2033
|
2,214
|
2,247
|
|
Series J, 3.90%, 4/1/2045
|
1,206
|
925
|
|
Trinidad Generation UnLtd (Trinidad And Tobago) 7.75%, 6/16/2033 (a)
|
3,473
|
3,673
|
|
Tucson Electric Power Co. 5.50%, 4/15/2053
|
1,230
|
1,174
|
|
Union Electric Co.
|
||
|
5.20%, 4/1/2034
|
2,310
|
2,350
|
|
4.00%, 4/1/2048
|
1,991
|
1,561
|
|
3.90%, 4/1/2052
|
1,262
|
953
|
|
5.25%, 1/15/2054
|
3,765
|
3,472
|
|
Virginia Electric and Power Co.
|
||
|
6.35%, 11/30/2037
|
229
|
248
|
|
8.88%, 11/15/2038
|
651
|
856
|
|
Virginia Power Fuel Securitization LLC Series A-2, 4.88%, 5/1/2031
|
1,085
|
1,093
|
|
Vistra Operations Co. LLC
|
||
|
5.05%, 12/30/2026 (a)
|
15,150
|
15,194
|
|
5.00%, 7/31/2027 (a)
|
6,294
|
6,290
|
|
4.30%, 10/15/2028 (a)
|
30,163
|
29,785
|
|
4.38%, 5/1/2029 (a)
|
3,473
|
3,406
|
|
4.30%, 7/15/2029 (a)
|
4,854
|
4,771
|
|
4.60%, 10/15/2030 (a)
|
1,152
|
1,129
|
|
4.70%, 1/31/2031 (a)
|
8,570
|
8,421
|
|
7.75%, 10/15/2031 (a)
|
5,995
|
6,284
|
|
6.00%, 4/15/2034 (a)
|
28,434
|
29,295
|
|
5.35%, 1/31/2036 (a)
|
6,030
|
5,896
|
|
VoltaGrid LLC 7.38%, 11/1/2030 (a)
|
2,138
|
2,226
|
|
Xcel Energy, Inc. 3.40%, 6/1/2030
|
2,185
|
2,084
|
|
|
|
652,067
|
|
Electrical Equipment — 0.1%
|
||
|
Eaton Corp.
|
||
|
4.80%, 3/6/2036
|
11,810
|
11,618
|
|
4.15%, 11/2/2042
|
2,427
|
2,096
|
|
EnerSys 6.63%, 1/15/2032 (a)
|
2,000
|
2,057
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electrical Equipment — continued
|
||
|
Sensata Technologies BV 5.88%, 9/1/2030 (a)
|
2,380
|
2,395
|
|
Solaris Energy Infrastructure LLC 6.38%, 5/15/2031 (a)
|
1,596
|
1,621
|
|
|
|
19,787
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
6,307
|
6,243
|
|
Ingram Micro, Inc. 4.75%, 5/15/2029 (a)
|
5,944
|
5,842
|
|
Sensata Technologies, Inc.
|
||
|
3.75%, 2/15/2031 (a)
|
3,619
|
3,394
|
|
6.63%, 7/15/2032 (a)
|
6,825
|
7,068
|
|
|
|
22,547
|
|
Energy Equipment & Services — 0.2%
|
||
|
Archrock Partners LP 6.63%, 9/1/2032 (a)
|
5,755
|
5,892
|
|
Archrock Services LP 6.00%, 2/1/2034 (a)
|
2,105
|
2,106
|
|
Baker Hughes Holdings LLC
|
||
|
5.00%, 6/15/2036
|
8,755
|
8,623
|
|
5.13%, 9/15/2040
|
877
|
847
|
|
4.08%, 12/15/2047
|
1,864
|
1,492
|
|
5.85%, 6/15/2056
|
5,035
|
5,019
|
|
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a)
|
3,212
|
3,379
|
|
Halliburton Co. 4.75%, 8/1/2043
|
263
|
234
|
|
Kodiak Gas Services LLC
|
||
|
5.88%, 4/1/2031 (a)
|
740
|
744
|
|
6.50%, 10/1/2033 (a)
|
4,211
|
4,285
|
|
Noble Finance II LLC 8.00%, 4/15/2030 (a)
|
3,285
|
3,416
|
|
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a)
|
754
|
748
|
|
Valaris Ltd. 8.38%, 4/30/2030 (a)
|
3,540
|
3,687
|
|
|
|
40,472
|
|
Entertainment — 0.1%
|
||
|
Cinemark USA, Inc. 5.25%, 7/15/2028 (a)
|
3,231
|
3,214
|
|
Discovery Global Holdings, Inc.
|
||
|
4.28%, 3/15/2032
|
2,080
|
1,877
|
|
5.05%, 3/15/2042
|
1,140
|
834
|
|
Live Nation Entertainment, Inc.
|
||
|
6.50%, 5/15/2027 (a)
|
3,721
|
3,725
|
|
4.75%, 10/15/2027 (a)
|
4,228
|
4,212
|
|
Take-Two Interactive Software, Inc.
|
||
|
3.70%, 4/14/2027
|
831
|
827
|
|
5.40%, 6/12/2029
|
3,301
|
3,370
|
|
5.60%, 6/12/2034
|
13,544
|
13,883
|
|
|
|
31,942
|
|
Financial Services — 1.6%
|
||
|
BCAP LLC 0.00%, 9/19/2027 ‡
|
27,661
|
27,662
|
|
BG Beta I Ltd. (Cayman Islands) 0.00%, 7/16/2054 ‡ (i)
|
23,640
|
23,382
|
|
Block, Inc.
|
||
|
5.63%, 8/15/2030 (a)
|
881
|
885
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Financial Services — continued
|
||
|
6.50%, 5/15/2032
|
12,484
|
12,721
|
|
6.00%, 8/15/2033 (a)
|
706
|
706
|
|
CFIN 2022-RTL1 Issuer LLC
|
||
|
Class A, 0.00%, 8/17/2027 ‡
|
18,320
|
18,297
|
|
Class B-1, 0.00%, 8/17/2027 ‡
|
8,731
|
8,720
|
|
CFIN LLC Class B-2, 0.00%, 8/17/2027 ‡
|
20,968
|
20,942
|
|
Commercial Credit, Inc. Series QIB, 8.75%, 8/30/2030 (a)
|
23,000
|
23,141
|
|
Equify Financial LLC Series QIB, 9.13%, 12/15/2030 (a)
|
74,000
|
73,848
|
|
Fidelity National Information Services, Inc. 4.50%, 8/15/2046
|
1,942
|
1,575
|
|
Gemini 10.50%, 2/20/2029 ‡
|
22,000
|
22,000
|
|
Global Payments, Inc.
|
||
|
4.88%, 11/15/2030
|
23,870
|
23,492
|
|
5.55%, 11/15/2035
|
5,820
|
5,678
|
|
Goodleap LLC Class B, 0.00%, 7/15/2042 ‡
|
39,189
|
41,050
|
|
National Rural Utilities Cooperative Finance Corp. 5.00%, 2/7/2031
|
1,210
|
1,231
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
3,996
|
4,272
|
|
NGF Holdings LLC 9.63%, 12/23/2029
|
45,500
|
45,743
|
|
NTT Finance Corp. (Japan) 5.14%, 7/2/2031 (a)
|
3,500
|
3,543
|
|
Rocket Cos., Inc.
|
||
|
6.13%, 8/1/2030 (a)
|
4,012
|
4,074
|
|
6.38%, 8/1/2033 (a)
|
2,353
|
2,390
|
|
Rocket Mortgage LLC
|
||
|
2.88%, 10/15/2026 (a)
|
3,127
|
3,102
|
|
3.63%, 3/1/2029 (a)
|
3,111
|
2,991
|
|
3.88%, 3/1/2031 (a)
|
2,750
|
2,555
|
|
4.00%, 10/15/2033 (a)
|
660
|
593
|
|
Shell International Finance BV 3.63%, 8/21/2042
|
6,407
|
5,098
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (a)
|
7,263
|
7,256
|
|
Siemens Financieringsmaatschappij NV (Germany) 3.30%, 9/15/2046 (a)
|
2,000
|
1,455
|
|
STReAM 2008 BV (Netherlands) 0.00%, 2/15/2030 ‡
|
13,403
|
13,738
|
|
Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡
|
10,345
|
10,345
|
|
|
|
412,485
|
|
Food Products — 0.7%
|
||
|
Bunge Ltd. Finance Corp. 3.20%, 4/21/2031
|
6,574
|
6,142
|
|
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a)
|
5,216
|
5,217
|
|
Grupo Nutresa SA (Colombia) 9.00%, 5/12/2035 (a)
|
4,300
|
4,716
|
|
JBS NV
|
||
|
3.75%, 12/1/2031
|
2,040
|
1,901
|
|
3.63%, 1/15/2032
|
12,930
|
11,938
|
|
3.00%, 5/15/2032
|
5,910
|
5,256
|
|
5.50%, 1/15/2036
|
26,040
|
25,981
|
|
5.63%, 3/10/2037 (a)
|
2,225
|
2,218
|
|
6.38%, 4/15/2066
|
2,540
|
2,482
|
|
Lamb Weston Holdings, Inc.
|
||
|
4.13%, 1/31/2030 (a)
|
3,161
|
3,020
|
|
4.38%, 1/31/2032 (a)
|
1,086
|
1,016
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Food Products — continued
|
||
|
Mars, Inc.
|
||
|
4.80%, 3/1/2030 (a)
|
48,750
|
49,099
|
|
5.00%, 3/1/2032 (a)
|
24,690
|
24,949
|
|
5.20%, 3/1/2035 (a)
|
33,640
|
33,866
|
|
5.65%, 5/1/2045 (a)
|
4,058
|
4,024
|
|
Post Holdings, Inc.
|
||
|
4.63%, 4/15/2030 (a)
|
3,184
|
3,097
|
|
6.25%, 2/15/2032 (a)
|
2,422
|
2,461
|
|
|
|
187,383
|
|
Gas Utilities — 0.1%
|
||
|
AmeriGas Partners LP 6.88%, 6/1/2031 (a)
|
1,279
|
1,307
|
|
Atmos Energy Corp.
|
||
|
5.50%, 6/15/2041
|
1,078
|
1,080
|
|
2.85%, 2/15/2052
|
928
|
578
|
|
5.75%, 10/15/2052
|
2,083
|
2,087
|
|
Brooklyn Union Gas Co. (The)
|
||
|
3.87%, 3/4/2029 (a)
|
1,000
|
979
|
|
4.27%, 3/15/2048 (a)
|
971
|
758
|
|
Piedmont Natural Gas Co., Inc.
|
||
|
3.50%, 6/1/2029
|
777
|
755
|
|
3.35%, 6/1/2050
|
2,800
|
1,909
|
|
Southern California Gas Co. Series XX, 2.55%, 2/1/2030
|
695
|
651
|
|
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a)
|
3,859
|
3,739
|
|
|
|
13,843
|
|
Ground Transportation — 0.4%
|
||
|
Avis Budget Car Rental LLC
|
||
|
5.75%, 7/15/2027 (a)
|
3,593
|
3,594
|
|
5.38%, 3/1/2029 (a)
|
2,047
|
2,006
|
|
8.00%, 2/15/2031 (a)
|
2,975
|
2,996
|
|
Burlington Northern Santa Fe LLC
|
||
|
6.15%, 5/1/2037
|
1,629
|
1,784
|
|
4.38%, 9/1/2042
|
2,437
|
2,146
|
|
3.55%, 2/15/2050
|
1,873
|
1,359
|
|
5.20%, 4/15/2054
|
12,708
|
11,817
|
|
5.50%, 3/15/2055
|
16,045
|
15,602
|
|
Canadian Pacific Railway Co. (Canada) 3.10%, 12/2/2051
|
1,752
|
1,144
|
|
Genesee & Wyoming, Inc. 6.25%, 4/15/2032 (a)
|
500
|
507
|
|
Hertz Corp. (The) 4.63%, 12/1/2026 (a)
|
2,697
|
2,548
|
|
Norfolk Southern Corp. 4.05%, 8/15/2052
|
971
|
749
|
|
Penske Truck Leasing Co. LP 5.25%, 7/1/2029 (a)
|
4,600
|
4,668
|
|
SMBC Aviation Capital Finance DAC (Ireland) 5.30%, 4/3/2029 (a)
|
6,840
|
6,938
|
|
Uber Technologies, Inc.
|
||
|
4.80%, 9/15/2034
|
21,125
|
20,673
|
|
4.80%, 9/15/2035
|
15,220
|
14,820
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Ground Transportation — continued
|
||
|
5.35%, 9/15/2054
|
1,440
|
1,341
|
|
XPO, Inc. 7.13%, 6/1/2031 (a)
|
7,075
|
7,302
|
|
|
|
101,994
|
|
Health Care Equipment & Supplies — 0.2%
|
||
|
Abbott Laboratories 4.65%, 3/15/2036
|
32,861
|
31,938
|
|
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
4,263
|
4,214
|
|
Bausch + Lomb Corp. 8.38%, 10/1/2028 (a)
|
2,051
|
2,118
|
|
Medline Borrower LP
|
||
|
3.88%, 4/1/2029 (a)
|
8,893
|
8,655
|
|
6.25%, 4/1/2029 (a)
|
1,348
|
1,383
|
|
5.25%, 10/1/2029 (a)
|
8,623
|
8,608
|
|
Solventum Corp. 5.60%, 3/23/2034
|
5,636
|
5,781
|
|
|
|
62,697
|
|
Health Care Providers & Services — 0.8%
|
||
|
Accendra Health, Inc. 6.63%, 4/1/2030 (a)
|
4,588
|
2,769
|
|
Adapthealth LLC 4.63%, 8/1/2029 (a)
|
2,216
|
2,139
|
|
Aetna, Inc. 4.50%, 5/15/2042
|
218
|
185
|
|
Cencora, Inc.
|
||
|
4.60%, 2/13/2033
|
9,135
|
8,966
|
|
5.13%, 2/15/2034
|
1,512
|
1,520
|
|
4.90%, 2/13/2036
|
4,789
|
4,674
|
|
Cigna Group (The) 5.13%, 5/15/2031
|
3,480
|
3,547
|
|
DaVita, Inc.
|
||
|
4.63%, 6/1/2030 (a)
|
2,323
|
2,257
|
|
3.75%, 2/15/2031 (a)
|
662
|
615
|
|
Encompass Health Corp.
|
||
|
4.50%, 2/1/2028
|
542
|
540
|
|
4.75%, 2/1/2030
|
3,414
|
3,359
|
|
4.63%, 4/1/2031
|
1,586
|
1,535
|
|
HCA, Inc.
|
||
|
4.50%, 2/15/2027
|
19,711
|
19,703
|
|
5.63%, 9/1/2028
|
4,916
|
5,007
|
|
3.50%, 9/1/2030
|
1,095
|
1,040
|
|
2.38%, 7/15/2031
|
4,819
|
4,276
|
|
4.60%, 11/15/2032
|
11,936
|
11,653
|
|
5.60%, 4/1/2034
|
5,000
|
5,119
|
|
4.90%, 11/15/2035
|
6,145
|
5,948
|
|
5.25%, 6/15/2049
|
9,435
|
8,422
|
|
3.50%, 7/15/2051
|
1,273
|
852
|
|
5.90%, 6/1/2053
|
3,930
|
3,786
|
|
6.00%, 4/1/2054
|
15,000
|
14,664
|
|
5.95%, 9/15/2054
|
13,461
|
13,085
|
|
Quest Diagnostics, Inc.
|
||
|
4.63%, 12/15/2029
|
6,580
|
6,603
|
|
2.95%, 6/30/2030
|
971
|
910
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
Tenet Healthcare Corp.
|
||
|
5.13%, 11/1/2027
|
1,502
|
1,503
|
|
4.63%, 6/15/2028
|
6,081
|
6,041
|
|
4.25%, 6/1/2029
|
4,905
|
4,782
|
|
6.13%, 6/15/2030
|
13,218
|
13,343
|
|
6.75%, 5/15/2031
|
5,590
|
5,756
|
|
Triad Holdings III LLC 0.00%, 4/1/2052 ‡
|
37,527
|
37,902
|
|
UnitedHealth Group, Inc.
|
||
|
3.95%, 10/15/2042
|
598
|
492
|
|
3.75%, 10/15/2047
|
1,088
|
820
|
|
3.25%, 5/15/2051
|
1,898
|
1,276
|
|
5.88%, 2/15/2053
|
89
|
89
|
|
5.05%, 4/15/2053
|
5,042
|
4,510
|
|
3.88%, 8/15/2059
|
782
|
559
|
|
|
|
210,247
|
|
Health Care REITs — 0.0% ^
|
||
|
Alexandria Real Estate Equities, Inc.
|
||
|
3.38%, 8/15/2031
|
2,890
|
2,668
|
|
1.88%, 2/1/2033
|
2,801
|
2,277
|
|
Healthpeak OP LLC 3.00%, 1/15/2030
|
486
|
458
|
|
Sabra Health Care LP 3.20%, 12/1/2031
|
2,194
|
1,993
|
|
Ventas Realty LP
|
||
|
3.85%, 4/1/2027
|
600
|
598
|
|
5.63%, 7/1/2034
|
3,311
|
3,414
|
|
|
|
11,408
|
|
Health Care Technology — 0.1%
|
||
|
IQVIA, Inc.
|
||
|
5.00%, 5/15/2027 (a)
|
7,617
|
7,613
|
|
6.25%, 6/1/2032 (a)
|
9,998
|
10,214
|
|
|
|
17,827
|
|
Hotel & Resort REITs — 0.0% ^
|
||
|
RHP Hotel Properties LP
|
||
|
7.25%, 7/15/2028 (a)
|
1,126
|
1,150
|
|
6.50%, 4/1/2032 (a)
|
4,297
|
4,406
|
|
6.50%, 6/15/2033 (a)
|
2,052
|
2,111
|
|
5.75%, 3/15/2034 (a)
|
751
|
745
|
|
|
|
8,412
|
|
Hotels, Restaurants & Leisure — 0.7%
|
||
|
Acushnet Co. 5.63%, 12/1/2033 (a)
|
969
|
961
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
4,500
|
4,433
|
|
Caesars Entertainment, Inc.
|
||
|
7.00%, 2/15/2030 (a)
|
7,375
|
7,462
|
|
6.50%, 2/15/2032 (a)
|
10,192
|
9,937
|
|
Carnival Corp. Ltd.
|
||
|
5.88%, 6/15/2031 (a)
|
2,600
|
2,640
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Hotels, Restaurants & Leisure — continued
|
||
|
5.75%, 8/1/2032 (a)
|
4,208
|
4,251
|
|
6.13%, 2/15/2033 (a)
|
16,746
|
16,960
|
|
Churchill Downs, Inc. 6.75%, 5/1/2031 (a)
|
3,180
|
3,247
|
|
Hilton Domestic Operating Co., Inc.
|
||
|
3.75%, 5/1/2029 (a)
|
3,734
|
3,606
|
|
4.88%, 1/15/2030
|
2,257
|
2,233
|
|
4.00%, 5/1/2031 (a)
|
427
|
405
|
|
5.50%, 9/15/2031 (a)
|
1,193
|
1,200
|
|
3.63%, 2/15/2032 (a)
|
1,843
|
1,692
|
|
5.88%, 3/15/2033 (a)
|
10,016
|
10,130
|
|
5.75%, 9/15/2033 (a)
|
4,845
|
4,888
|
|
5.50%, 3/31/2034 (a)
|
1,108
|
1,103
|
|
McDonald's Corp. 5.15%, 9/9/2052
|
7,371
|
6,751
|
|
MGM Resorts International
|
||
|
4.63%, 9/1/2026
|
2,015
|
2,014
|
|
4.75%, 10/15/2028
|
3,570
|
3,538
|
|
6.13%, 9/15/2029
|
2,395
|
2,431
|
|
6.50%, 4/15/2032
|
1,945
|
1,982
|
|
NCL Corp. Ltd. 5.88%, 1/15/2031 (a)
|
1,900
|
1,836
|
|
Rivers Enterprise Borrower LLC 6.25%, 10/15/2030 (a)
|
1,439
|
1,450
|
|
Royal Caribbean Cruises Ltd.
|
||
|
5.63%, 9/30/2031 (a)
|
9,205
|
9,286
|
|
6.25%, 3/15/2032 (a)
|
6,965
|
7,114
|
|
6.00%, 2/1/2033 (a)
|
3,504
|
3,552
|
|
Six Flags Entertainment Corp.
|
||
|
6.50%, 10/1/2028
|
4,805
|
4,821
|
|
5.25%, 7/15/2029
|
1,906
|
1,846
|
|
7.25%, 5/15/2031 (a)
|
2,460
|
2,453
|
|
6.63%, 5/1/2032 (a)
|
3,166
|
3,235
|
|
Station Casinos LLC 4.50%, 2/15/2028 (a)
|
3,533
|
3,482
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
6,785
|
6,912
|
|
Viking Cruises Ltd. 5.88%, 10/15/2033 (a)
|
11,111
|
11,133
|
|
Wynn Las Vegas LLC 5.25%, 5/15/2027 (a)
|
2,801
|
2,803
|
|
Wynn Resorts Finance LLC
|
||
|
5.13%, 10/1/2029 (a)
|
13,691
|
13,589
|
|
6.25%, 3/15/2033 (a)
|
2,019
|
2,026
|
|
|
|
167,402
|
|
Household Durables — 0.1%
|
||
|
Installed Building Products, Inc. 5.63%, 2/1/2034 (a)
|
724
|
711
|
|
Newell Brands, Inc.
|
||
|
8.50%, 6/1/2028 (a)
|
1,702
|
1,777
|
|
6.63%, 9/15/2029
|
5,139
|
5,141
|
|
6.38%, 5/15/2030
|
1,195
|
1,179
|
|
6.63%, 5/15/2032
|
793
|
771
|
|
7.37%, 4/1/2036 (h)
|
4,374
|
4,205
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Household Durables — continued
|
||
|
Somnigroup International, Inc. 4.00%, 4/15/2029 (a)
|
9,468
|
9,101
|
|
TopBuild Corp. 5.63%, 1/31/2034 (a)
|
2,386
|
2,409
|
|
|
|
25,294
|
|
Household Products — 0.0% ^
|
||
|
Central Garden & Pet Co.
|
||
|
5.13%, 2/1/2028
|
520
|
519
|
|
4.13%, 10/15/2030
|
2,919
|
2,761
|
|
4.13%, 4/30/2031 (a)
|
889
|
834
|
|
Energizer Holdings, Inc. 4.75%, 6/15/2028 (a)
|
5,670
|
5,603
|
|
|
|
9,717
|
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
|
Constellation Energy Generation LLC
|
||
|
4.63%, 2/1/2029 (a)
|
14,080
|
14,009
|
|
5.00%, 2/1/2031 (a)
|
1,223
|
1,225
|
|
6.25%, 10/1/2039
|
195
|
206
|
|
5.75%, 10/1/2041
|
6,850
|
6,884
|
|
5.60%, 6/15/2042
|
2,342
|
2,317
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple (Mexico) 7.25%, 1/31/2041 (a)
|
5,614
|
5,703
|
|
Saavi Energia SARL (Mexico) 8.88%, 2/10/2035 (a)
|
6,259
|
6,781
|
|
Talen Energy Supply LLC
|
||
|
6.13%, 5/1/2031 (a)
|
3,044
|
3,043
|
|
6.38%, 5/1/2033 (a)
|
4,568
|
4,550
|
|
|
|
44,718
|
|
Industrial REITs — 0.0% ^
|
||
|
Prologis LP
|
||
|
1.75%, 7/1/2030
|
2,427
|
2,174
|
|
3.00%, 4/15/2050
|
4,989
|
3,294
|
|
2.13%, 10/15/2050
|
1,457
|
782
|
|
|
|
6,250
|
|
Insurance — 0.3%
|
||
|
Allianz SE (Germany) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 2.77%), 5.60%, 9/3/2054 (a) (c)
|
12,000
|
11,891
|
|
Aon Corp. 5.35%, 2/28/2033
|
864
|
883
|
|
Asurion LLC 8.00%, 12/31/2032 (a)
|
2,316
|
2,415
|
|
Berkshire Hathaway Finance Corp.
|
||
|
2.50%, 1/15/2051
|
2,190
|
1,297
|
|
3.85%, 3/15/2052
|
4,281
|
3,260
|
|
CNO Global Funding
|
||
|
5.88%, 6/4/2027 (a)
|
6,500
|
6,585
|
|
4.95%, 9/9/2029 (a)
|
1,705
|
1,710
|
|
Corebridge Global Funding 4.90%, 8/21/2032 (a)
|
4,775
|
4,730
|
|
Guardian Life Global Funding
|
||
|
5.74%, 10/2/2028 (a)
|
2,000
|
2,057
|
|
4.18%, 9/26/2029 (a)
|
2,620
|
2,593
|
|
MetLife, Inc.
|
||
|
6.50%, 12/15/2032
|
680
|
746
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Insurance — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.82%), 5.85%, 3/15/2056 (c)
|
3,457
|
3,418
|
|
Metropolitan Life Global Funding I
|
||
|
3.05%, 6/17/2029 (a)
|
1,500
|
1,433
|
|
5.15%, 3/28/2033 (a)
|
8,975
|
9,084
|
|
New York Life Global Funding 3.00%, 1/10/2028 (a)
|
2,749
|
2,691
|
|
New York Life Insurance Co. 6.75%, 11/15/2039 (a)
|
295
|
329
|
|
Northwestern Mutual Global Funding 5.16%, 5/28/2031 (a)
|
4,140
|
4,239
|
|
Northwestern Mutual Life Insurance Co. (The) 6.05%, 6/30/2056 (a)
|
8,772
|
8,960
|
|
Pine Street Trust III 6.22%, 5/15/2054 (a)
|
1,600
|
1,616
|
|
Principal Financial Group, Inc. 4.11%, 2/15/2028 (a)
|
2,000
|
1,984
|
|
Principal Life Global Funding II 5.10%, 1/25/2029 (a)
|
2,650
|
2,682
|
|
Protective Life Global Funding 1.30%, 9/20/2026 (a)
|
1,500
|
1,487
|
|
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a)
|
777
|
627
|
|
|
|
76,717
|
|
Interactive Media & Services — 0.4%
|
||
|
Alphabet, Inc. 4.80%, 2/15/2036
|
14,870
|
14,704
|
|
Meta Platforms, Inc.
|
||
|
4.88%, 11/15/2035
|
6,836
|
6,679
|
|
5.50%, 11/15/2045
|
16,255
|
15,258
|
|
5.60%, 5/15/2053
|
13,747
|
12,730
|
|
5.40%, 8/15/2054
|
14,512
|
12,992
|
|
5.63%, 11/15/2055
|
26,269
|
24,222
|
|
6.30%, 5/15/2056
|
15,540
|
15,680
|
|
Snap, Inc. 6.88%, 3/1/2033 (a)
|
943
|
935
|
|
|
|
103,200
|
|
IT Services — 0.1%
|
||
|
Beignet Investor LLC 6.58%, 5/30/2049 (a)
|
30,123
|
31,055
|
|
CGI, Inc. (Canada) 1.45%, 9/14/2026
|
3,626
|
3,595
|
|
|
|
34,650
|
|
Machinery — 0.1%
|
||
|
Chart Industries, Inc. 7.50%, 1/1/2030 (a)
|
8,624
|
8,928
|
|
Esab Corp.
|
||
|
6.25%, 4/15/2029 (a)
|
2,335
|
2,377
|
|
5.63%, 4/1/2031 (a)
|
861
|
865
|
|
Terex Corp.
|
||
|
5.00%, 5/15/2029 (a)
|
1,105
|
1,096
|
|
6.25%, 10/15/2032 (a)
|
3,767
|
3,825
|
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (a)
|
3,520
|
3,608
|
|
|
|
20,699
|
|
Marine Transportation — 0.0% ^
|
||
|
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (a)
|
1,853
|
1,866
|
|
Yinson Bergenia Production BV (Brazil) 8.50%, 1/31/2045 (a)
|
4,955
|
5,302
|
|
|
|
7,168
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — 0.7%
|
||
|
Charter Communications Operating LLC
|
||
|
2.25%, 1/15/2029
|
2,277
|
2,127
|
|
6.55%, 6/1/2034
|
18,400
|
18,878
|
|
5.85%, 12/1/2035
|
27,805
|
27,070
|
|
3.50%, 6/1/2041
|
1,854
|
1,295
|
|
3.50%, 3/1/2042
|
5,772
|
3,977
|
|
5.13%, 7/1/2049
|
1,479
|
1,138
|
|
3.90%, 6/1/2052
|
1,651
|
1,049
|
|
Clear Channel Outdoor Holdings, Inc.
|
||
|
7.13%, 2/15/2031 (a)
|
6,547
|
6,768
|
|
7.50%, 3/15/2033 (a)
|
3,133
|
3,287
|
|
CSC Holdings LLC
|
||
|
5.38%, 2/1/2028 (a)
|
2,039
|
1,294
|
|
4.50%, 11/15/2031 (a)
|
2,571
|
1,459
|
|
DISH DBS Corp.
|
||
|
5.25%, 12/1/2026 (a)
|
6,134
|
6,111
|
|
5.75%, 12/1/2028 (a)
|
2,327
|
2,284
|
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
4,607
|
4,747
|
|
EchoStar Corp. 10.75%, 11/30/2029
|
1,330
|
1,445
|
|
Gray Media, Inc.
|
||
|
10.50%, 7/15/2029 (a)
|
1,763
|
1,866
|
|
4.75%, 10/15/2030 (a)
|
2,089
|
1,582
|
|
5.38%, 11/15/2031 (a)
|
2,224
|
1,596
|
|
7.25%, 8/15/2033 (a)
|
4,335
|
4,297
|
|
iHeartCommunications, Inc.
|
||
|
9.13%, 5/1/2029 (a)
|
3,734
|
3,619
|
|
10.88%, 5/1/2030 (a)
|
1,522
|
1,293
|
|
7.75%, 8/15/2030 (a)
|
3,961
|
3,637
|
|
Lamar Media Corp.
|
||
|
4.88%, 1/15/2029
|
1,010
|
1,002
|
|
4.00%, 2/15/2030
|
6,088
|
5,846
|
|
5.38%, 11/1/2033 (a)
|
2,115
|
2,083
|
|
Nexstar Media, Inc.
|
||
|
4.75%, 11/1/2028 (a)
|
1,559
|
1,535
|
|
6.50%, 9/15/2033 (a)
|
10,775
|
10,861
|
|
7.25%, 4/15/2034 (a)
|
7,247
|
7,293
|
|
Outfront Media Capital LLC 7.38%, 2/15/2031 (a)
|
4,955
|
5,168
|
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a)
|
3,178
|
2,945
|
|
Sinclair Television Group, Inc.
|
||
|
4.38%, 12/31/2032 (a)
|
3,440
|
2,756
|
|
8.13%, 2/15/2033 (a)
|
1,363
|
1,400
|
|
Sirius XM Radio LLC
|
||
|
4.00%, 7/15/2028 (a)
|
12,313
|
11,995
|
|
5.50%, 7/1/2029 (a)
|
15,349
|
15,289
|
|
4.13%, 7/1/2030 (a)
|
3,482
|
3,282
|
|
5.88%, 4/15/2032 (a)
|
2,494
|
2,483
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
Stagwell Global LLC 5.63%, 8/15/2029 (a)
|
6,285
|
6,117
|
|
Time Warner Cable LLC 5.50%, 9/1/2041
|
7,750
|
6,687
|
|
|
|
187,561
|
|
Metals & Mining — 0.5%
|
||
|
Alumina Pty. Ltd.
|
||
|
6.13%, 3/15/2030 (a)
|
1,423
|
1,455
|
|
6.38%, 9/15/2032 (a)
|
2,069
|
2,123
|
|
Anglo American Capital plc (South Africa)
|
||
|
2.63%, 9/10/2030 (a)
|
14,390
|
13,207
|
|
5.25%, 3/19/2036 (a)
|
2,219
|
2,200
|
|
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033
|
1,942
|
1,953
|
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
2,778
|
2,777
|
|
Cleveland-Cliffs, Inc.
|
||
|
4.63%, 3/1/2029 (a)
|
2,799
|
2,712
|
|
6.88%, 11/1/2029 (a)
|
1,520
|
1,554
|
|
6.75%, 4/15/2030 (a)
|
3,205
|
3,221
|
|
7.50%, 9/15/2031 (a)
|
1,110
|
1,146
|
|
7.63%, 1/15/2034 (a)
|
905
|
931
|
|
Commercial Metals Co. 5.75%, 11/15/2033 (a)
|
3,961
|
3,964
|
|
Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (a)
|
2,062
|
2,192
|
|
Freeport-McMoRan, Inc. 4.63%, 8/1/2030
|
8,251
|
8,223
|
|
Glencore Finance Canada Ltd. (Australia) 6.90%, 11/15/2037 (a)
|
98
|
109
|
|
Glencore Funding LLC (Australia)
|
||
|
3.88%, 10/27/2027 (a)
|
3,883
|
3,852
|
|
5.19%, 4/1/2030 (a)
|
3,770
|
3,823
|
|
2.50%, 9/1/2030 (a)
|
850
|
775
|
|
2.85%, 4/27/2031 (a)
|
8,941
|
8,157
|
|
2.63%, 9/23/2031 (a)
|
8,632
|
7,737
|
|
5.70%, 5/8/2033 (a)
|
4,000
|
4,145
|
|
5.63%, 4/4/2034 (a)
|
28,840
|
29,712
|
|
5.51%, 4/1/2036 (a)
|
11,770
|
11,890
|
|
Novelis Corp. 6.38%, 8/15/2033 (a)
|
1,053
|
1,063
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
2,578
|
2,588
|
|
|
|
121,509
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.6%
|
||
|
Arbor Realty SR, Inc. Series QIB, 9.00%, 10/15/2027 (a)
|
17,715
|
17,540
|
|
Arbor Realty Trust, Inc.
|
||
|
Series QIB, 4.50%, 9/1/2026 (a)
|
18,930
|
18,831
|
|
Series QIB, 4.50%, 3/15/2027 (a)
|
29,123
|
28,094
|
|
Great Ajax Operating Partnership LP Series QIB, 9.88%, 9/1/2027 (a) (h)
|
28,328
|
28,482
|
|
ReadyCap Holdings LLC
|
||
|
Series QIB, 4.50%, 10/20/2026 (a)
|
25,000
|
24,409
|
|
Series QIB, 9.38%, 3/1/2028 (a)
|
37,000
|
36,623
|
|
Starwood Property Trust, Inc. 7.25%, 4/1/2029 (a)
|
5,420
|
5,621
|
|
|
|
159,600
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — 0.6%
|
||
|
Ameren Corp. 3.50%, 1/15/2031
|
2,321
|
2,202
|
|
Ameren Illinois Co.
|
||
|
4.95%, 6/1/2033
|
6,416
|
6,453
|
|
3.25%, 3/15/2050
|
3,835
|
2,602
|
|
5.55%, 7/1/2054
|
3,600
|
3,495
|
|
Berkshire Hathaway Energy Co.
|
||
|
6.13%, 4/1/2036
|
1,310
|
1,402
|
|
2.85%, 5/15/2051
|
7,514
|
4,604
|
|
4.60%, 5/1/2053
|
1,160
|
969
|
|
Consolidated Edison Co. of New York, Inc.
|
||
|
Series 06-E, 5.70%, 12/1/2036
|
389
|
398
|
|
Series 2017, 3.88%, 6/15/2047
|
1,238
|
955
|
|
Series E, 4.65%, 12/1/2048
|
1,651
|
1,416
|
|
4.50%, 5/15/2058
|
785
|
635
|
|
Consumers Energy Co.
|
||
|
4.63%, 5/15/2033
|
4,626
|
4,576
|
|
4.35%, 4/15/2049
|
486
|
401
|
|
4.35%, 8/31/2064
|
477
|
368
|
|
Dominion Energy, Inc.
|
||
|
Series F, 5.25%, 8/1/2033
|
763
|
774
|
|
7.00%, 6/15/2038
|
389
|
439
|
|
Series C, 4.90%, 8/1/2041
|
45
|
41
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (c)
|
2,750
|
2,928
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (c)
|
4,220
|
4,376
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.21%), 6.63%, 5/15/2055 (c)
|
13,230
|
13,550
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.26%), 6.00%, 2/15/2056 (c)
|
14,298
|
14,375
|
|
DTE Energy Co. 5.10%, 3/1/2029
|
2,800
|
2,841
|
|
National Grid plc (United Kingdom) 5.42%, 1/11/2034
|
1,800
|
1,837
|
|
NiSource, Inc.
|
||
|
5.20%, 7/1/2029
|
4,050
|
4,121
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (c)
|
5,497
|
5,709
|
|
Puget Sound Energy, Inc.
|
||
|
5.76%, 7/15/2040
|
874
|
872
|
|
2.89%, 9/15/2051
|
1,282
|
803
|
|
5.69%, 6/15/2054
|
14,682
|
14,463
|
|
San Diego Gas & Electric Co.
|
||
|
Series XXX, 3.00%, 3/15/2032
|
4,854
|
4,424
|
|
Series DDDD, 5.20%, 3/15/2036
|
8,850
|
8,861
|
|
6.00%, 6/1/2039
|
486
|
511
|
|
4.50%, 8/15/2040
|
242
|
218
|
|
Series UUU, 3.32%, 4/15/2050
|
4,641
|
3,128
|
|
5.35%, 4/1/2053
|
1,059
|
990
|
|
Sempra
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%, 10/1/2054 (c)
|
149
|
152
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.63%), 6.38%, 4/1/2056 (c)
|
2,745
|
2,777
|
|
Southern Co. Gas Capital Corp.
|
||
|
5.75%, 9/15/2033
|
14,250
|
14,842
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Multi-Utilities — continued
|
||
|
Series 21A, 3.15%, 9/30/2051
|
9,888
|
6,489
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.82%), 6.05%, 9/15/2056 (c)
|
6,512
|
6,542
|
|
|
|
146,539
|
|
Oil, Gas & Consumable Fuels — 3.5%
|
||
|
Aker BP ASA (Norway) 5.80%, 10/1/2054 (a)
|
2,560
|
2,408
|
|
Antero Midstream Partners LP
|
||
|
5.75%, 1/15/2028 (a)
|
3,765
|
3,766
|
|
5.38%, 6/15/2029 (a)
|
7,001
|
6,996
|
|
5.75%, 10/15/2033 (a)
|
1,879
|
1,859
|
|
Ascent Resources Utica Holdings LLC
|
||
|
6.63%, 10/15/2032 (a)
|
1,415
|
1,452
|
|
6.63%, 7/15/2033 (a)
|
1,445
|
1,481
|
|
Blue Racer Midstream LLC
|
||
|
7.00%, 7/15/2029 (a)
|
1,626
|
1,672
|
|
7.25%, 7/15/2032 (a)
|
1,136
|
1,181
|
|
BP Capital Markets America, Inc.
|
||
|
4.81%, 2/13/2033
|
4,476
|
4,473
|
|
4.89%, 9/11/2033
|
3,466
|
3,467
|
|
3.00%, 2/24/2050
|
5,102
|
3,340
|
|
2.77%, 11/10/2050
|
3,971
|
2,458
|
|
2.94%, 6/4/2051
|
5,194
|
3,307
|
|
3.00%, 3/17/2052
|
2,952
|
1,891
|
|
Buckeye Partners LP
|
||
|
3.95%, 12/1/2026
|
500
|
497
|
|
4.13%, 12/1/2027
|
2,201
|
2,170
|
|
Cheniere Energy Partners LP
|
||
|
4.50%, 10/1/2029
|
20,222
|
20,129
|
|
4.00%, 3/1/2031
|
22,638
|
21,838
|
|
5.75%, 8/15/2034
|
29,095
|
30,184
|
|
Cheniere Energy, Inc. 4.63%, 10/15/2028
|
11,386
|
11,380
|
|
Chord Energy Corp.
|
||
|
6.00%, 10/1/2030 (a)
|
2,542
|
2,574
|
|
6.75%, 3/15/2033 (a)
|
3,150
|
3,234
|
|
CNX Resources Corp. 5.88%, 3/1/2034 (a)
|
3,815
|
3,755
|
|
Columbia Pipelines Holding Co. LLC
|
||
|
5.10%, 10/1/2031 (a)
|
3,700
|
3,721
|
|
5.68%, 1/15/2034 (a)
|
7,295
|
7,494
|
|
Columbia Pipelines Operating Co. LLC
|
||
|
6.04%, 11/15/2033 (a)
|
17,257
|
18,229
|
|
6.50%, 8/15/2043 (a)
|
2,890
|
3,080
|
|
Comstock Resources, Inc. 6.75%, 3/1/2029 (a)
|
5,793
|
5,692
|
|
ConocoPhillips Co. 5.55%, 3/15/2054
|
17,910
|
17,402
|
|
Coterra Energy, Inc.
|
||
|
3.90%, 5/15/2027
|
2,825
|
2,815
|
|
5.40%, 2/15/2035
|
10,510
|
10,652
|
|
Crescent Energy Finance LLC
|
||
|
7.88%, 4/15/2032 (a)
|
4,325
|
4,433
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
7.38%, 1/15/2033 (a)
|
1,020
|
1,036
|
|
8.38%, 1/15/2034 (a)
|
1,822
|
1,911
|
|
Diversified Gas & Oil Corp.
|
||
|
9.75%, 4/9/2029 (a) (k)
|
54,000
|
54,667
|
|
Series FEB, 9.75%, 4/9/2029 (a) (k)
|
12,000
|
12,075
|
|
DT Midstream, Inc.
|
||
|
4.13%, 6/15/2029 (a)
|
2,061
|
2,021
|
|
4.38%, 6/15/2031 (a)
|
2,602
|
2,518
|
|
Eastern Energy Gas Holdings LLC 5.65%, 10/15/2054
|
11,180
|
10,684
|
|
Ecopetrol SA (Colombia)
|
||
|
8.88%, 1/13/2033
|
2,100
|
2,219
|
|
8.38%, 1/19/2036
|
1,912
|
1,961
|
|
Enbridge, Inc. (Canada)
|
||
|
Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%),
8.25%, 1/15/2084 (c)
|
8,500
|
8,985
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (c)
|
9,057
|
10,358
|
|
Energy Transfer LP
|
||
|
5.25%, 7/1/2029
|
6,650
|
6,775
|
|
5.00%, 5/15/2050
|
4,854
|
4,134
|
|
6.30%, 1/15/2056
|
15,510
|
15,662
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 6.50%, 2/15/2056 (c)
|
17,040
|
17,181
|
|
Eni SpA (Italy) 5.95%, 5/15/2054 (a)
|
18,688
|
18,637
|
|
Eni USA, Inc. (Italy) 7.30%, 11/15/2027
|
486
|
505
|
|
Enterprise Products Operating LLC
|
||
|
Series H, 6.65%, 10/15/2034
|
4,610
|
5,108
|
|
Series J, 5.75%, 3/1/2035
|
777
|
803
|
|
5.20%, 1/15/2036
|
4,680
|
4,713
|
|
Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%, 8/16/2077 (c)
|
1,457
|
1,455
|
|
EQT Corp. 4.75%, 1/15/2031
|
3,258
|
3,239
|
|
Esentia Energy Development SAB de CV (Mexico) 6.50%, 7/30/2038 (a)
|
2,006
|
1,987
|
|
Expand Energy Corp.
|
||
|
5.38%, 2/1/2029
|
2,501
|
2,496
|
|
5.38%, 3/15/2030
|
2,938
|
2,964
|
|
4.75%, 2/1/2032
|
37,496
|
36,799
|
|
FS Luxembourg SARL (Brazil)
|
||
|
8.88%, 2/12/2031 (a)
|
2,997
|
3,087
|
|
8.63%, 6/25/2033 (a)
|
3,420
|
3,394
|
|
Gray Oak Pipeline LLC 3.45%, 10/15/2027 (a)
|
1,423
|
1,399
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (a)
|
2,054
|
2,107
|
|
Harvest Midstream I LP
|
||
|
7.50%, 5/15/2032 (a)
|
3,930
|
4,083
|
|
6.75%, 5/15/2034 (a)
|
707
|
726
|
|
Hess Corp.
|
||
|
4.30%, 4/1/2027
|
11,740
|
11,750
|
|
5.60%, 2/15/2041
|
9,900
|
10,106
|
|
Hess Midstream Operations LP
|
||
|
5.88%, 3/1/2028 (a)
|
1,491
|
1,506
|
|
5.13%, 6/15/2028 (a)
|
2,680
|
2,675
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
5.50%, 10/15/2030 (a)
|
2,770
|
2,766
|
|
Hilcorp Energy I LP 5.75%, 2/1/2029 (a)
|
10,590
|
10,566
|
|
Howard Midstream Energy Partners LLC
|
||
|
7.38%, 7/15/2032 (a)
|
3,190
|
3,297
|
|
6.63%, 1/15/2034 (a)
|
2,260
|
2,287
|
|
Kinder Morgan, Inc.
|
||
|
5.15%, 6/1/2030
|
5,160
|
5,270
|
|
5.05%, 2/15/2046
|
3,350
|
3,035
|
|
3.25%, 8/1/2050
|
5,524
|
3,679
|
|
Kinetik Holdings LP
|
||
|
6.63%, 12/15/2028 (a)
|
7,264
|
7,418
|
|
5.88%, 6/15/2030 (a)
|
21,986
|
22,096
|
|
Matador Resources Co.
|
||
|
6.50%, 4/15/2032 (a)
|
4,125
|
4,180
|
|
6.25%, 4/15/2033 (a)
|
2,727
|
2,742
|
|
6.00%, 4/15/2034 (a)
|
1,082
|
1,069
|
|
MPLX LP
|
||
|
4.80%, 2/15/2031
|
23,010
|
22,996
|
|
5.20%, 3/1/2047
|
314
|
283
|
|
4.95%, 3/14/2052
|
1,219
|
1,036
|
|
NGL Energy Operating LLC 8.13%, 2/15/2029 (a)
|
2,035
|
2,114
|
|
NGPL PipeCo LLC 3.25%, 7/15/2031 (a)
|
3,030
|
2,787
|
|
Northriver Midstream Finance LP (Canada) 6.75%, 7/15/2032 (a)
|
250
|
254
|
|
NuStar Logistics LP
|
||
|
5.63%, 4/28/2027
|
3,876
|
3,888
|
|
6.38%, 10/1/2030
|
747
|
776
|
|
ONEOK Partners LP 6.65%, 10/1/2036
|
1,423
|
1,549
|
|
ONEOK, Inc.
|
||
|
6.50%, 9/1/2030 (a)
|
10,152
|
10,727
|
|
4.75%, 10/15/2031
|
7,170
|
7,127
|
|
5.60%, 4/1/2044
|
9,205
|
8,665
|
|
Ovintiv, Inc. 6.25%, 7/15/2033
|
5,620
|
5,961
|
|
Permian Resources Operating LLC
|
||
|
5.88%, 7/1/2029 (a)
|
6,955
|
6,962
|
|
9.88%, 7/15/2031 (a)
|
1,222
|
1,289
|
|
7.00%, 1/15/2032 (a)
|
2,265
|
2,362
|
|
6.25%, 2/1/2033 (a)
|
1,920
|
1,973
|
|
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (a)
|
1,934
|
1,876
|
|
Petroleos Mexicanos (Mexico)
|
||
|
6.84%, 1/23/2030
|
4,300
|
4,420
|
|
5.95%, 1/28/2031
|
3,398
|
3,354
|
|
6.70%, 2/16/2032
|
9,785
|
9,853
|
|
10.00%, 2/7/2033
|
7,907
|
9,287
|
|
7.69%, 1/23/2050
|
23,785
|
21,776
|
|
Pioneer Natural Resources Co. 1.90%, 8/15/2030
|
23,833
|
21,518
|
|
Rockies Express Pipeline LLC
|
||
|
4.95%, 7/15/2029 (a)
|
3,615
|
3,582
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
4.80%, 5/15/2030 (a)
|
2,250
|
2,205
|
|
Shell Finance US, Inc. 4.00%, 5/10/2046
|
2,913
|
2,337
|
|
SM Energy Co.
|
||
|
6.75%, 9/15/2026
|
4,864
|
4,864
|
|
6.63%, 1/15/2027
|
1,316
|
1,318
|
|
6.75%, 8/1/2029 (a)
|
1,962
|
2,012
|
|
8.63%, 11/1/2030 (a)
|
4,520
|
4,779
|
|
8.75%, 7/1/2031 (a)
|
8,125
|
8,506
|
|
7.00%, 8/1/2032 (a)
|
2,221
|
2,275
|
|
6.63%, 4/15/2034 (a)
|
1,595
|
1,604
|
|
Sonangol Finance Ltd. (Angola) 10.00%, 1/29/2031 (a)
|
4,030
|
4,152
|
|
South Bow USA Infrastructure Holdings LLC (Canada)
|
||
|
4.91%, 9/1/2027
|
8,250
|
8,281
|
|
5.03%, 10/1/2029
|
4,925
|
4,958
|
|
Sunoco LP
|
||
|
7.00%, 5/1/2029 (a)
|
1,422
|
1,468
|
|
4.50%, 5/15/2029
|
4,312
|
4,226
|
|
5.63%, 3/15/2031 (a)
|
8,820
|
8,831
|
|
7.25%, 5/1/2032 (a)
|
4,170
|
4,357
|
|
Tallgrass Energy Partners LP 5.50%, 1/15/2028 (a)
|
5,650
|
5,649
|
|
TotalEnergies Capital International SA (France)
|
||
|
3.46%, 7/12/2049
|
4,998
|
3,592
|
|
3.13%, 5/29/2050
|
6,549
|
4,412
|
|
TotalEnergies Capital SA (France)
|
||
|
5.49%, 4/5/2054
|
5,910
|
5,741
|
|
5.28%, 9/10/2054
|
6,340
|
5,976
|
|
5.64%, 4/5/2064
|
7,610
|
7,405
|
|
TransCanada PipeLines Ltd. (Canada)
|
||
|
4.63%, 3/1/2034
|
11,000
|
10,662
|
|
5.85%, 3/15/2036
|
800
|
834
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.25%), 6.13%, 10/17/2056 (c)
|
1,220
|
1,229
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.12%), 6.38%, 10/17/2056 (c)
|
1,341
|
1,354
|
|
Transcanada Trust (Canada) (3-MONTH CME TERM SOFR + 4.42%), 5.50%, 9/15/2079 (c)
|
16,507
|
16,424
|
|
Uzbekneftegaz JSC (Uzbekistan) 4.75%, 11/16/2028 (a)
|
2,500
|
2,431
|
|
Venture Global Calcasieu Pass LLC
|
||
|
3.88%, 8/15/2029 (a)
|
3,481
|
3,335
|
|
3.88%, 11/1/2033 (a)
|
8,553
|
7,624
|
|
6.00%, 5/1/2036 (a)
|
365
|
369
|
|
Venture Global LNG, Inc.
|
||
|
8.13%, 6/1/2028 (a)
|
6,637
|
6,785
|
|
9.50%, 2/1/2029 (a)
|
4,310
|
4,692
|
|
7.00%, 1/15/2030 (a)
|
2,485
|
2,549
|
|
8.38%, 6/1/2031 (a)
|
5,224
|
5,436
|
|
9.88%, 2/1/2032 (a)
|
3,385
|
3,619
|
|
Venture Global Plaquemines LNG LLC
|
||
|
6.13%, 12/15/2030 (a)
|
1,654
|
1,699
|
|
6.50%, 1/15/2034 (a)
|
9,166
|
9,583
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
6.50%, 6/15/2034 (a)
|
1,169
|
1,220
|
|
6.75%, 1/15/2036 (a)
|
1,955
|
2,074
|
|
Williams Cos., Inc. (The)
|
||
|
4.80%, 11/15/2029
|
3,410
|
3,437
|
|
4.65%, 8/15/2032
|
6,850
|
6,774
|
|
5.80%, 11/15/2054
|
11,000
|
10,754
|
|
|
|
907,408
|
|
Passenger Airlines — 0.1%
|
||
|
American Airlines, Inc.
|
||
|
7.25%, 2/15/2028 (a)
|
895
|
908
|
|
5.75%, 4/20/2029 (a)
|
13,172
|
13,157
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (a)
|
4,635
|
4,263
|
|
United Airlines Holdings, Inc. 4.88%, 3/1/2029
|
1,475
|
1,456
|
|
United Airlines Pass-Through Trust Series 2016-2, Class A, 3.10%, 10/7/2028
|
3,471
|
3,315
|
|
United Airlines, Inc. 4.63%, 4/15/2029 (a)
|
4,915
|
4,848
|
|
|
|
27,947
|
|
Personal Care Products — 0.0% ^
|
||
|
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a)
|
5,787
|
5,767
|
|
Haleon US Capital LLC 3.38%, 3/24/2027
|
2,616
|
2,599
|
|
Perrigo Finance Unlimited Co. 6.13%, 9/30/2032
|
3,733
|
3,563
|
|
|
|
11,929
|
|
Pharmaceuticals — 0.3%
|
||
|
1261229 BC Ltd. 10.00%, 4/15/2032 (a)
|
4,009
|
4,105
|
|
Bausch Health Cos., Inc. (Canada) 4.88%, 6/1/2028 (a)
|
660
|
610
|
|
Bristol-Myers Squibb Co.
|
||
|
4.13%, 6/15/2039
|
5,823
|
5,211
|
|
2.35%, 11/13/2040
|
3,883
|
2,724
|
|
5.55%, 2/22/2054
|
11,293
|
11,001
|
|
Eli Lilly & Co. 4.95%, 2/27/2063
|
2,400
|
2,137
|
|
Merck & Co., Inc.
|
||
|
4.00%, 3/7/2049
|
2,110
|
1,672
|
|
5.55%, 12/4/2055
|
18,200
|
17,888
|
|
2.90%, 12/10/2061
|
2,340
|
1,353
|
|
Organon & Co.
|
||
|
4.13%, 4/30/2028 (a)
|
4,616
|
4,560
|
|
5.13%, 4/30/2031 (a)
|
4,295
|
4,257
|
|
Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053
|
5,170
|
4,852
|
|
Pfizer, Inc.
|
||
|
4.10%, 9/15/2038
|
2,913
|
2,638
|
|
3.90%, 3/15/2039
|
2,874
|
2,506
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 3.18%, 7/9/2050
|
5,254
|
3,485
|
|
Wyeth LLC 5.95%, 4/1/2037
|
1,068
|
1,136
|
|
Zoetis, Inc. 5.60%, 11/16/2032
|
1,870
|
1,948
|
|
|
|
72,083
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Professional Services — 0.0% ^
|
||
|
Science Applications International Corp. 5.88%, 11/1/2033 (a)
|
1,916
|
1,892
|
|
Real Estate Management & Development — 0.2%
|
||
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (a)
|
603
|
601
|
|
Triad Properties Corp. 0.00%, 4/1/2052 ‡
|
45,465
|
47,056
|
|
|
|
47,657
|
|
Residential REITs — 0.1%
|
||
|
Camden Property Trust 3.15%, 7/1/2029
|
2,869
|
2,754
|
|
Essex Portfolio LP 5.50%, 4/1/2034
|
6,395
|
6,518
|
|
Mid-America Apartments LP 4.20%, 6/15/2028
|
1,258
|
1,253
|
|
UDR, Inc.
|
||
|
2.10%, 8/1/2032
|
923
|
785
|
|
5.13%, 9/1/2034
|
4,430
|
4,413
|
|
|
|
15,723
|
|
Retail REITs — 0.0% ^
|
||
|
NNN REIT, Inc.
|
||
|
3.60%, 12/15/2026
|
921
|
918
|
|
4.30%, 10/15/2028
|
777
|
774
|
|
5.50%, 6/15/2034
|
1,200
|
1,223
|
|
3.50%, 4/15/2051
|
4,170
|
2,913
|
|
Realty Income Corp.
|
||
|
2.70%, 2/15/2032
|
4,675
|
4,173
|
|
1.80%, 3/15/2033
|
1,068
|
884
|
|
|
|
10,885
|
|
Semiconductors & Semiconductor Equipment — 0.5%
|
||
|
Amkor Technology, Inc. 5.88%, 10/1/2033 (a)
|
4,289
|
4,309
|
|
ams-OSRAM AG (Austria) 12.25%, 3/30/2029 (a)
|
1,900
|
2,016
|
|
Broadcom, Inc.
|
||
|
4.90%, 7/15/2032
|
10,510
|
10,571
|
|
3.47%, 4/15/2034
|
674
|
607
|
|
5.20%, 7/15/2035
|
1,188
|
1,195
|
|
3.14%, 11/15/2035 (a)
|
31,220
|
26,595
|
|
5.70%, 1/15/2056
|
1,130
|
1,128
|
|
Entegris, Inc.
|
||
|
4.38%, 4/15/2028 (a)
|
2,597
|
2,561
|
|
5.95%, 6/15/2030 (a)
|
7,347
|
7,423
|
|
Foundry JV Holdco LLC
|
||
|
5.50%, 1/25/2031 (a)
|
4,720
|
4,836
|
|
6.25%, 1/25/2035 (a)
|
14,665
|
15,508
|
|
6.10%, 1/25/2036 (a)
|
4,789
|
5,032
|
|
Kioxia Holdings Corp. (Japan) 6.25%, 7/24/2030 (a)
|
7,354
|
7,572
|
|
KLA Corp. 3.30%, 3/1/2050
|
761
|
527
|
|
Marvell Technology, Inc.
|
||
|
4.75%, 7/15/2030
|
1,805
|
1,811
|
|
2.95%, 4/15/2031
|
6,485
|
5,976
|
|
5.45%, 7/15/2035
|
4,446
|
4,549
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Semiconductors & Semiconductor Equipment — continued
|
||
|
5.30%, 4/15/2036
|
3,327
|
3,328
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
2,750
|
2,683
|
|
Qnity Electronics, Inc.
|
||
|
5.75%, 8/15/2032 (a)
|
7,653
|
7,703
|
|
6.25%, 8/15/2033 (a)
|
505
|
515
|
|
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031
|
6,873
|
6,228
|
|
|
|
122,673
|
|
Software — 0.6%
|
||
|
Elastic NV 4.13%, 7/15/2029 (a)
|
4,440
|
4,251
|
|
Fair Isaac Corp. 6.00%, 5/15/2033 (a)
|
2,346
|
2,323
|
|
NCR Voyix Corp.
|
||
|
5.00%, 10/1/2028 (a)
|
6,112
|
6,007
|
|
5.13%, 4/15/2029 (a)
|
1,125
|
1,102
|
|
OAK-Eagle Acquireco, Inc. 7.25%, 7/1/2033 (a)
|
3,665
|
3,822
|
|
Oracle Corp.
|
||
|
3.90%, 5/15/2035
|
1,500
|
1,291
|
|
5.70%, 2/4/2036
|
2,062
|
2,026
|
|
3.85%, 7/15/2036
|
1,705
|
1,432
|
|
3.65%, 3/25/2041
|
3,350
|
2,453
|
|
4.13%, 5/15/2045
|
5,145
|
3,660
|
|
6.55%, 2/4/2046
|
10,209
|
9,844
|
|
4.00%, 7/15/2046
|
1,380
|
960
|
|
3.95%, 3/25/2051
|
4,013
|
2,636
|
|
5.38%, 9/27/2054
|
428
|
343
|
|
4.38%, 5/15/2055
|
7,026
|
4,817
|
|
6.00%, 8/3/2055
|
31,588
|
27,697
|
|
6.70%, 2/4/2056
|
20,025
|
19,286
|
|
6.85%, 2/4/2066
|
19,935
|
19,096
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
4,715
|
4,944
|
|
Roper Technologies, Inc.
|
||
|
4.45%, 9/15/2030
|
3,630
|
3,577
|
|
1.75%, 2/15/2031
|
1,165
|
1,010
|
|
4.75%, 2/15/2032
|
2,620
|
2,588
|
|
4.90%, 10/15/2034
|
10,280
|
9,930
|
|
SS&C Technologies, Inc.
|
||
|
5.50%, 9/30/2027 (a)
|
3,359
|
3,359
|
|
6.50%, 6/1/2032 (a)
|
2,580
|
2,603
|
|
Synopsys, Inc.
|
||
|
5.00%, 4/1/2032
|
9,252
|
9,309
|
|
5.70%, 4/1/2055
|
6,004
|
5,854
|
|
|
|
156,220
|
|
Specialized REITs — 0.2%
|
||
|
Crown Castle, Inc. 2.50%, 7/15/2031
|
11,859
|
10,561
|
|
Extra Space Storage LP 2.20%, 10/15/2030
|
1,427
|
1,282
|
|
Iron Mountain, Inc.
|
||
|
4.88%, 9/15/2027 (a)
|
7,104
|
7,079
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Specialized REITs — continued
|
||
|
5.25%, 3/15/2028 (a)
|
1,027
|
1,027
|
|
4.88%, 9/15/2029 (a)
|
1,642
|
1,613
|
|
5.25%, 7/15/2030 (a)
|
2,880
|
2,849
|
|
6.25%, 1/15/2033 (a)
|
2,285
|
2,320
|
|
Millrose Properties, Inc.
|
||
|
6.38%, 8/1/2030 (a)
|
2,156
|
2,186
|
|
6.25%, 9/15/2032 (a)
|
1,045
|
1,050
|
|
Public Storage Operating Co. 5.10%, 8/1/2033
|
4,280
|
4,360
|
|
SBA Communications Corp. 3.13%, 2/1/2029
|
6,021
|
5,775
|
|
|
|
40,102
|
|
Specialty Retail — 0.2%
|
||
|
Asbury Automotive Group, Inc.
|
||
|
4.50%, 3/1/2028
|
3,887
|
3,860
|
|
4.75%, 3/1/2030
|
1,454
|
1,415
|
|
Bath & Body Works, Inc.
|
||
|
7.50%, 6/15/2029
|
7,028
|
7,133
|
|
6.88%, 11/1/2035
|
1,753
|
1,754
|
|
6.75%, 7/1/2036
|
2,170
|
2,141
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡ (g)
|
354
|
—
(l)
|
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
6,062
|
5,675
|
|
Home Depot, Inc. (The)
|
||
|
4.95%, 6/25/2034
|
11,760
|
11,816
|
|
3.63%, 4/15/2052
|
2,585
|
1,861
|
|
Lithia Motors, Inc.
|
||
|
4.63%, 12/15/2027 (a)
|
444
|
442
|
|
3.88%, 6/1/2029 (a)
|
3,540
|
3,393
|
|
5.50%, 10/1/2030 (a)
|
808
|
801
|
|
4.38%, 1/15/2031 (a)
|
1,867
|
1,769
|
|
Penske Automotive Group, Inc. 3.75%, 6/15/2029
|
5,058
|
4,848
|
|
PetSmart LLC 7.50%, 9/15/2032 (a)
|
4,313
|
4,346
|
|
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
3,487
|
3,418
|
|
|
|
54,672
|
|
Technology Hardware, Storage & Peripherals — 0.1%
|
||
|
Apple, Inc.
|
||
|
3.75%, 11/13/2047
|
971
|
757
|
|
2.70%, 8/5/2051
|
11,155
|
6,898
|
|
Seagate Data Storage Technology Pte. Ltd.
|
||
|
4.09%, 6/1/2029 (a)
|
3,589
|
3,518
|
|
3.13%, 7/15/2029 (a)
|
2,141
|
1,960
|
|
4.13%, 1/15/2031 (a)
|
3,545
|
3,385
|
|
8.50%, 7/15/2031 (a)
|
2,716
|
2,840
|
|
9.63%, 12/1/2032 (a)
|
800
|
889
|
|
Xerox Holdings Corp. 8.88%, 11/30/2029 (a)
|
3,235
|
1,456
|
|
|
|
21,703
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Tobacco — 0.6%
|
||
|
Altria Group, Inc.
|
||
|
4.50%, 8/6/2030
|
5,590
|
5,563
|
|
2.45%, 2/4/2032
|
3,883
|
3,421
|
|
5.63%, 2/6/2035
|
7,990
|
8,209
|
|
3.40%, 2/4/2041
|
9,538
|
7,273
|
|
BAT Capital Corp. (United Kingdom)
|
||
|
3.56%, 8/15/2027
|
1,875
|
1,858
|
|
2.26%, 3/25/2028
|
267
|
257
|
|
4.39%, 8/15/2037
|
24,553
|
22,462
|
|
5.65%, 3/16/2052
|
6,410
|
6,042
|
|
Imperial Brands Finance plc (United Kingdom) 5.88%, 7/1/2034 (a)
|
27,669
|
28,540
|
|
Japan Tobacco, Inc. (Japan)
|
||
|
5.25%, 6/15/2030 (a)
|
17,171
|
17,564
|
|
5.85%, 6/15/2035 (a)
|
5,490
|
5,756
|
|
Philip Morris International, Inc.
|
||
|
5.38%, 2/15/2033
|
9,368
|
9,646
|
|
5.63%, 9/7/2033
|
13,190
|
13,777
|
|
5.25%, 2/13/2034
|
13,569
|
13,820
|
|
4.38%, 11/15/2041
|
11,926
|
10,467
|
|
|
|
154,655
|
|
Trading Companies & Distributors — 0.2%
|
||
|
Herc Holdings, Inc. 7.00%, 6/15/2030 (a)
|
6,548
|
6,804
|
|
QXO Building Products, Inc. 6.75%, 4/30/2032 (a)
|
3,257
|
3,319
|
|
United Rentals North America, Inc.
|
||
|
4.88%, 1/15/2028
|
3,309
|
3,310
|
|
5.25%, 1/15/2030
|
4,585
|
4,586
|
|
4.00%, 7/15/2030
|
6,610
|
6,316
|
|
5.38%, 11/15/2033 (a)
|
5,342
|
5,275
|
|
6.13%, 3/15/2034 (a)
|
4,440
|
4,557
|
|
WESCO Distribution, Inc.
|
||
|
7.25%, 6/15/2028 (a)
|
3,207
|
3,213
|
|
6.38%, 3/15/2029 (a)
|
4,557
|
4,659
|
|
5.25%, 4/15/2031 (a)
|
862
|
854
|
|
6.63%, 3/15/2032 (a)
|
2,445
|
2,522
|
|
6.38%, 3/15/2033 (a)
|
1,075
|
1,104
|
|
|
|
46,519
|
|
Water Utilities — 0.0% ^
|
||
|
American Water Capital Corp.
|
||
|
3.45%, 6/1/2029
|
602
|
585
|
|
5.15%, 3/1/2034
|
3,400
|
3,461
|
|
|
|
4,046
|
|
Wireless Telecommunication Services — 0.2%
|
||
|
Digicel International Finance Ltd. (Jamaica) 8.63%, 8/1/2032 (a)
|
7,286
|
7,559
|
|
T-Mobile USA, Inc.
|
||
|
2.63%, 2/15/2029
|
11,295
|
10,764
|
|
3.38%, 4/15/2029
|
14,785
|
14,349
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Wireless Telecommunication Services — continued
|
||
|
5.05%, 7/15/2033
|
2,300
|
2,315
|
|
6.70%, 12/15/2033
|
2,918
|
3,209
|
|
3.40%, 10/15/2052
|
8,020
|
5,338
|
|
5.50%, 1/15/2055
|
1,890
|
1,767
|
|
|
|
45,301
|
|
Total Corporate Bonds
(Cost $8,629,189)
|
|
8,517,770
|
|
Mortgage-Backed Securities — 19.8%
|
||
|
FHLMC
|
|
|
|
Pool # 1G1861, ARM, 6.17%, 3/1/2036 (i)
|
10
|
10
|
|
Pool # 1J1380, ARM, 6.84%, 3/1/2036 (i)
|
2
|
2
|
|
Pool # 1J1393, ARM, 6.26%, 10/1/2036 (i)
|
6
|
6
|
|
Pool # 1Q0476, ARM, 6.55%, 10/1/2037 (i)
|
31
|
32
|
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91025, 7.00%, 1/1/2027
|
3
|
3
|
|
Pool # G30591, 6.00%, 2/1/2028
|
26
|
26
|
|
Pool # D98914, 4.00%, 1/1/2032
|
793
|
783
|
|
Pool # G31099, 4.00%, 1/1/2038
|
4,640
|
4,527
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # C00496, 7.50%, 2/1/2027
|
—
|
—
|
|
Pool # G00747, 8.00%, 8/1/2027
|
1
|
2
|
|
Pool # D86005, 7.00%, 2/1/2028
|
1
|
1
|
|
Pool # G02210, 7.00%, 12/1/2028
|
4
|
4
|
|
Pool # C21930, 6.00%, 2/1/2029
|
2
|
2
|
|
Pool # C00785, 6.50%, 6/1/2029
|
2
|
2
|
|
Pool # A27201, 6.50%, 3/1/2032
|
5
|
5
|
|
Pool # A13067, 4.00%, 9/1/2033
|
12
|
12
|
|
Pool # G60154, 5.00%, 2/1/2034
|
3,413
|
3,432
|
|
Pool # G60214, 5.00%, 7/1/2035
|
3,344
|
3,365
|
|
Pool # C02641, 7.00%, 10/1/2036
|
11
|
12
|
|
Pool # C02660, 6.50%, 11/1/2036
|
19
|
20
|
|
Pool # G06172, 5.50%, 12/1/2038
|
473
|
486
|
|
Pool # G06576, 5.00%, 9/1/2040
|
1,859
|
1,879
|
|
Pool # A96733, 4.50%, 2/1/2041
|
4,089
|
4,056
|
|
Pool # G06493, 4.50%, 5/1/2041
|
188
|
186
|
|
Pool # G61864, 5.50%, 6/1/2041
|
1,633
|
1,684
|
|
Pool # Q05956, 4.50%, 2/1/2042
|
689
|
681
|
|
Pool # Q11285, 3.50%, 9/1/2042
|
1,482
|
1,401
|
|
Pool # Q12174, 3.50%, 10/1/2042
|
1,770
|
1,672
|
|
Pool # G07239, 3.00%, 12/1/2042
|
1,801
|
1,647
|
|
Pool # Q13796, 3.50%, 12/1/2042
|
2,630
|
2,485
|
|
Pool # Q15767, 3.00%, 2/1/2043
|
1,443
|
1,323
|
|
Pool # Q33869, 4.00%, 6/1/2045
|
1,580
|
1,501
|
|
Pool # G61462, 4.00%, 7/1/2045
|
6,628
|
6,403
|
|
Pool # Q37784, 3.50%, 12/1/2045
|
1,306
|
1,216
|
|
Pool # Q39092, 4.00%, 2/1/2046
|
1,905
|
1,824
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # Q39412, 3.50%, 3/1/2046
|
630
|
585
|
|
Pool # Q40797, 3.50%, 5/1/2046
|
2,740
|
2,545
|
|
Pool # Q40922, 3.50%, 6/1/2046
|
741
|
688
|
|
Pool # Q41602, 3.50%, 7/1/2046
|
343
|
319
|
|
Pool # Q42079, 3.50%, 7/1/2046
|
294
|
273
|
|
Pool # Q42657, 3.50%, 8/1/2046
|
3,937
|
3,655
|
|
Pool # Q42656, 4.00%, 8/1/2046
|
414
|
394
|
|
Pool # Q43241, 3.50%, 9/1/2046
|
3,348
|
3,106
|
|
Pool # Q43237, 4.00%, 9/1/2046
|
804
|
765
|
|
Pool # G61565, 4.50%, 4/1/2048
|
10,252
|
10,046
|
|
Pool # Z40179, 4.00%, 7/1/2048
|
4,061
|
3,850
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # G20027, 10.00%, 10/1/2030
|
—
|
—
|
|
Pool # B90491, 7.50%, 1/1/2032
|
33
|
34
|
|
Pool # U89009, 3.50%, 9/1/2032
|
156
|
152
|
|
Pool # WN1179, 3.85%, 9/1/2032
|
16,891
|
16,242
|
|
Pool # U80074, 3.50%, 10/1/2032
|
447
|
434
|
|
Pool # WA3237, 3.55%, 11/1/2032
|
14,199
|
13,407
|
|
Pool # WN1167, 4.17%, 10/1/2034
|
19,415
|
18,790
|
|
Pool # G20028, 7.50%, 12/1/2036
|
33
|
34
|
|
Pool # U90690, 3.50%, 6/1/2042
|
700
|
655
|
|
Pool # U90975, 4.00%, 6/1/2042
|
161
|
155
|
|
Pool # U90230, 4.50%, 9/1/2042
|
422
|
418
|
|
Pool # U90281, 4.00%, 10/1/2042
|
439
|
424
|
|
Pool # U92021, 5.00%, 9/1/2043
|
752
|
744
|
|
Pool # U99076, 4.50%, 12/1/2043
|
1,641
|
1,635
|
|
Pool # U99084, 4.50%, 2/1/2044
|
1,278
|
1,264
|
|
Pool # U92996, 3.50%, 6/1/2045
|
172
|
160
|
|
Pool # U93026, 3.50%, 7/1/2045
|
414
|
387
|
|
Pool # U99134, 4.00%, 1/1/2046
|
1,862
|
1,788
|
|
Pool # U93155, 3.50%, 5/1/2046
|
387
|
360
|
|
Pool # U93158, 3.50%, 6/1/2046
|
291
|
270
|
|
Pool # U93167, 3.50%, 7/1/2046
|
392
|
363
|
|
Pool # U93172, 3.50%, 7/1/2046
|
454
|
423
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # RA2008, 4.00%, 1/1/2050
|
5,924
|
5,621
|
|
Pool # SD8089, 2.50%, 7/1/2050
|
31,539
|
26,689
|
|
Pool # RA3605, 2.50%, 10/1/2050
|
56,556
|
47,966
|
|
Pool # RA5276, 2.50%, 5/1/2051
|
10,443
|
8,865
|
|
Pool # RA5801, 2.50%, 9/1/2051
|
7,241
|
6,188
|
|
Pool # QC9443, 2.50%, 10/1/2051
|
16,366
|
14,020
|
|
Pool # RA6135, 2.50%, 10/1/2051
|
13,322
|
11,413
|
|
Pool # RA6350, 3.00%, 11/1/2051
|
6,787
|
5,983
|
|
Pool # SD2968, 2.00%, 12/1/2051
|
12,477
|
10,139
|
|
Pool # RA6459, 2.50%, 12/1/2051
|
11,083
|
9,284
|
|
Pool # QD4350, 3.00%, 1/1/2052
|
18,506
|
16,314
|
|
Pool # SD8190, 3.00%, 1/1/2052
|
9,462
|
8,294
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
20,154
|
17,256
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # RA6988, 3.00%, 3/1/2052
|
21,069
|
18,514
|
|
Pool # SD2301, 3.50%, 3/1/2052
|
18,091
|
16,571
|
|
Pool # SD7145, 2.50%, 4/1/2052
|
26,282
|
22,466
|
|
Pool # SD7554, 2.50%, 4/1/2052
|
14,281
|
12,228
|
|
Pool # SL1568, 2.50%, 5/1/2052
|
29,068
|
24,751
|
|
Pool # SD3015, 3.00%, 5/1/2052
|
28,285
|
24,766
|
|
Pool # RA7468, 4.00%, 6/1/2052
|
43,389
|
41,057
|
|
Pool # SD1293, 4.50%, 7/1/2052
|
17,430
|
16,822
|
|
Pool # SD1303, 4.50%, 7/1/2052
|
9,437
|
9,111
|
|
Pool # QE8091, 4.00%, 8/1/2052
|
26,528
|
24,960
|
|
Pool # QE6769, 4.50%, 8/1/2052
|
3,540
|
3,427
|
|
Pool # QE7915, 4.50%, 8/1/2052
|
12,425
|
11,972
|
|
Pool # SD1794, 4.50%, 8/1/2052
|
15,064
|
14,543
|
|
Pool # QF1849, 4.50%, 10/1/2052
|
11,334
|
10,921
|
|
Pool # QF3378, 5.00%, 11/1/2052
|
11,506
|
11,450
|
|
Pool # QF3433, 5.00%, 11/1/2052
|
14,865
|
14,821
|
|
Pool # QF5369, 5.00%, 12/1/2052
|
15,442
|
15,396
|
|
Pool # RA8766, 5.00%, 3/1/2053
|
30,504
|
30,297
|
|
Pool # SL0784, 4.50%, 8/1/2053
|
24,532
|
23,738
|
|
Pool # SL2912, 4.50%, 9/1/2053
|
1,953
|
1,886
|
|
Pool # SL1956, 4.50%, 6/1/2054
|
36,795
|
35,635
|
|
Pool # RJ1781, 6.00%, 6/1/2054
|
9,152
|
9,467
|
|
Pool # RJ2912, 5.50%, 11/1/2054
|
26,639
|
26,972
|
|
Pool # RJ2914, 5.50%, 11/1/2054
|
46,588
|
47,046
|
|
Pool # SL1998, 4.00%, 1/1/2055
|
46,055
|
43,338
|
|
FNMA
|
|
|
|
Pool # 766610, ARM, 5.91%, 1/1/2034 (i)
|
8
|
8
|
|
Pool # 823660, ARM, 5.84%, 5/1/2035 (i)
|
21
|
22
|
|
Pool # 910181, ARM, 5.82%, 3/1/2037 (i)
|
7
|
8
|
|
Pool # 888304, ARM, 5.29%, 4/1/2037 (i)
|
1
|
1
|
|
Pool # 888750, ARM, 6.04%, 4/1/2037 (i)
|
11
|
12
|
|
Pool # 948208, ARM, 5.59%, 7/1/2037 (i)
|
5
|
5
|
|
FNMA UMBS, 15 Year Pool # CA4723, 3.50%, 11/1/2034
|
2,649
|
2,579
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # MA0602, 3.50%, 12/1/2030
|
40
|
39
|
|
Pool # BM3254, 4.00%, 1/1/2038
|
3,562
|
3,465
|
|
Pool # BM3566, 4.00%, 2/1/2038
|
3,628
|
3,545
|
|
Pool # CA1234, 4.00%, 2/1/2038
|
1,452
|
1,409
|
|
Pool # CA1238, 4.00%, 2/1/2038
|
1,379
|
1,340
|
|
Pool # FS0795, 3.00%, 1/1/2042
|
9,085
|
8,294
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 250854, 7.50%, 3/1/2027
|
—
|
—
|
|
Pool # 251569, 7.00%, 3/1/2028
|
—
|
—
|
|
Pool # 252570, 6.50%, 7/1/2029
|
3
|
3
|
|
Pool # 517679, 6.50%, 7/1/2029
|
13
|
14
|
|
Pool # 323866, 6.50%, 8/1/2029
|
2
|
2
|
|
Pool # 995656, 7.00%, 6/1/2033
|
36
|
38
|
|
Pool # AL6168, 5.00%, 9/1/2033
|
1,754
|
1,750
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 725229, 6.00%, 3/1/2034
|
275
|
283
|
|
Pool # AA0918, 5.50%, 9/1/2034
|
59
|
60
|
|
Pool # 735503, 6.00%, 4/1/2035
|
29
|
30
|
|
Pool # 745948, 6.50%, 10/1/2036
|
5
|
5
|
|
Pool # AL0379, 8.00%, 12/1/2036
|
183
|
190
|
|
Pool # 995149, 6.50%, 10/1/2038
|
16
|
16
|
|
Pool # 995504, 7.50%, 11/1/2038
|
23
|
24
|
|
Pool # AC3237, 5.00%, 10/1/2039
|
202
|
204
|
|
Pool # AL0038, 5.00%, 2/1/2041
|
1,693
|
1,709
|
|
Pool # AX5292, 5.00%, 1/1/2042
|
7,029
|
7,096
|
|
Pool # BM1065, 5.50%, 2/1/2042
|
2,652
|
2,731
|
|
Pool # AL2059, 4.00%, 6/1/2042
|
5,471
|
5,300
|
|
Pool # AB7575, 3.00%, 1/1/2043
|
1,341
|
1,223
|
|
Pool # AR6380, 3.00%, 2/1/2043
|
1,789
|
1,634
|
|
Pool # 890564, 3.00%, 6/1/2043
|
2,279
|
2,081
|
|
Pool # AT5907, 4.00%, 6/1/2043
|
3,151
|
3,038
|
|
Pool # AL6848, 5.00%, 6/1/2044
|
668
|
675
|
|
Pool # BA2343, 4.00%, 9/1/2045
|
1,866
|
1,782
|
|
Pool # BE5080, 3.50%, 4/1/2046
|
3,756
|
3,470
|
|
Pool # BA1210, 3.50%, 5/1/2046
|
523
|
485
|
|
Pool # BA7485, 3.50%, 6/1/2046
|
493
|
457
|
|
Pool # BC2969, 3.50%, 6/1/2046
|
393
|
364
|
|
Pool # BD1371, 3.50%, 6/1/2046
|
163
|
151
|
|
Pool # BA7492, 4.00%, 6/1/2046
|
548
|
524
|
|
Pool # BC9368, 4.00%, 6/1/2046
|
2,096
|
1,993
|
|
Pool # BD1372, 4.00%, 6/1/2046
|
744
|
708
|
|
Pool # BD2956, 3.50%, 7/1/2046
|
3,957
|
3,668
|
|
Pool # BD5456, 3.50%, 8/1/2046
|
1,359
|
1,260
|
|
Pool # BM1169, 4.00%, 9/1/2046
|
5,991
|
5,744
|
|
Pool # BE0280, 3.50%, 10/1/2046
|
1,343
|
1,246
|
|
Pool # AS8335, 4.50%, 11/1/2046
|
3,372
|
3,308
|
|
Pool # FS0976, 2.50%, 3/1/2047
|
5,148
|
4,396
|
|
Pool # BM1906, 4.00%, 5/1/2047
|
3,494
|
3,332
|
|
Pool # AS9811, 5.00%, 6/1/2047
|
1,101
|
1,105
|
|
Pool # BH7565, 4.00%, 8/1/2047
|
7,353
|
6,988
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
3,011
|
2,914
|
|
Pool # CA0346, 4.50%, 9/1/2047
|
4,272
|
4,185
|
|
Pool # BH6687, 4.00%, 11/1/2047
|
930
|
885
|
|
Pool # BM3044, 4.00%, 11/1/2047
|
2,764
|
2,627
|
|
Pool # BE8347, 4.00%, 12/1/2047
|
478
|
455
|
|
Pool # BJ5254, 4.00%, 12/1/2047
|
2,103
|
1,999
|
|
Pool # BM3499, 4.00%, 12/1/2047
|
26,366
|
25,059
|
|
Pool # BH6689, 4.00%, 1/1/2048
|
580
|
551
|
|
Pool # BJ7311, 4.00%, 1/1/2048
|
11,515
|
10,948
|
|
Pool # BJ8238, 4.00%, 1/1/2048
|
4,250
|
4,039
|
|
Pool # BJ8265, 4.00%, 1/1/2048
|
2,026
|
1,925
|
|
Pool # BK1008, 4.00%, 1/1/2048
|
907
|
862
|
|
Pool # BJ4617, 4.00%, 2/1/2048
|
2,587
|
2,466
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BJ5772, 4.00%, 2/1/2048
|
2,953
|
2,791
|
|
Pool # BK1581, 4.00%, 2/1/2048
|
490
|
466
|
|
Pool # FM0035, 3.50%, 3/1/2048
|
4,640
|
4,294
|
|
Pool # BJ5803, 4.00%, 3/1/2048
|
2,212
|
2,091
|
|
Pool # BK1963, 4.00%, 3/1/2048
|
1,878
|
1,790
|
|
Pool # BM3665, 4.00%, 3/1/2048
|
10,625
|
10,115
|
|
Pool # BJ5789, 4.50%, 3/1/2048
|
847
|
819
|
|
Pool # BE2789, 4.00%, 4/1/2048
|
797
|
753
|
|
Pool # CA1710, 4.50%, 5/1/2048
|
2,045
|
1,996
|
|
Pool # BK5943, 5.00%, 6/1/2048
|
582
|
589
|
|
Pool # BK4130, 4.50%, 7/1/2048
|
43
|
42
|
|
Pool # BK6562, 4.50%, 7/1/2048
|
970
|
943
|
|
Pool # BK6589, 4.50%, 7/1/2048
|
869
|
843
|
|
Pool # BN0133, 4.00%, 8/1/2048
|
1,115
|
1,060
|
|
Pool # BK9292, 5.00%, 8/1/2048
|
2,086
|
2,114
|
|
Pool # CA4662, 3.50%, 9/1/2048
|
4,344
|
3,976
|
|
Pool # BN1312, 4.00%, 9/1/2048
|
4,926
|
4,681
|
|
Pool # 890863, 5.00%, 9/1/2048
|
10,424
|
10,798
|
|
Pool # BN0234, 5.00%, 9/1/2048
|
955
|
968
|
|
Pool # MA3496, 4.50%, 10/1/2048
|
1,326
|
1,294
|
|
Pool # BN0861, 5.00%, 10/1/2048
|
715
|
712
|
|
Pool # BK9556, 4.00%, 12/1/2048
|
2,127
|
2,020
|
|
Pool # BK1176, 5.00%, 1/1/2049
|
1,282
|
1,282
|
|
Pool # BK8748, 4.50%, 5/1/2049
|
3,528
|
3,422
|
|
Pool # BO2428, 3.50%, 7/1/2049
|
2,156
|
1,981
|
|
Pool # BO0592, 4.00%, 7/1/2049
|
511
|
484
|
|
Pool # CA5702, 2.50%, 5/1/2050
|
19,361
|
16,533
|
|
Pool # BP6439, 2.50%, 7/1/2050
|
36,127
|
30,309
|
|
Pool # CA6361, 2.50%, 7/1/2050
|
18,618
|
15,950
|
|
Pool # CA6708, 2.50%, 8/1/2050
|
11,073
|
9,507
|
|
Pool # CA6989, 2.50%, 9/1/2050
|
22,060
|
18,864
|
|
Pool # CA7528, 2.50%, 10/1/2050
|
81,218
|
68,236
|
|
Pool # FM5179, 2.00%, 12/1/2050
|
20,501
|
16,659
|
|
Pool # FM5173, 2.50%, 12/1/2050
|
19,963
|
17,109
|
|
Pool # CA8862, 2.50%, 1/1/2051
|
19,040
|
16,347
|
|
Pool # FM5778, 2.50%, 2/1/2051
|
21,009
|
18,016
|
|
Pool # BR6358, 2.00%, 3/1/2051
|
7,790
|
6,297
|
|
Pool # BR4928, 2.00%, 4/1/2051
|
73,617
|
59,417
|
|
Pool # CB0189, 3.00%, 4/1/2051
|
4,784
|
4,244
|
|
Pool # CB0458, 2.50%, 5/1/2051
|
27,444
|
23,206
|
|
Pool # CB0674, 2.50%, 5/1/2051
|
18,319
|
15,549
|
|
Pool # FM7957, 2.50%, 7/1/2051
|
10,232
|
8,764
|
|
Pool # FS3615, 2.50%, 7/1/2051
|
7,712
|
6,550
|
|
Pool # FM8336, 2.50%, 8/1/2051
|
16,339
|
14,024
|
|
Pool # BT7165, 3.00%, 8/1/2051
|
5,055
|
4,452
|
|
Pool # BT7188, 3.00%, 8/1/2051
|
6,859
|
6,055
|
|
Pool # CB1411, 3.00%, 8/1/2051
|
19,728
|
17,429
|
|
Pool # BT4392, 2.50%, 9/1/2051
|
17,568
|
14,790
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CB1814, 2.50%, 9/1/2051
|
14,957
|
12,624
|
|
Pool # CB1789, 2.50%, 10/1/2051
|
29,677
|
25,271
|
|
Pool # CB1901, 2.50%, 10/1/2051
|
16,429
|
14,146
|
|
Pool # FA2073, 2.50%, 10/1/2051
|
3,752
|
3,185
|
|
Pool # FM9195, 2.50%, 10/1/2051
|
9,363
|
8,021
|
|
Pool # FM9198, 2.50%, 11/1/2051
|
10,147
|
8,679
|
|
Pool # CB2093, 3.00%, 11/1/2051
|
41,334
|
36,438
|
|
Pool # CB2376, 2.50%, 12/1/2051
|
15,763
|
13,458
|
|
Pool # CB2410, 2.50%, 12/1/2051
|
7,485
|
6,312
|
|
Pool # CB2411, 2.50%, 12/1/2051
|
14,226
|
11,996
|
|
Pool # FS2559, 3.00%, 12/1/2051
|
6,110
|
5,397
|
|
Pool # FS4108, 4.00%, 12/1/2051
|
7,447
|
7,017
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
23,518
|
20,152
|
|
Pool # FS8807, 3.00%, 1/1/2052
|
16,758
|
14,815
|
|
Pool # FS7409, 2.00%, 2/1/2052
|
38,667
|
31,556
|
|
Pool # BU1322, 2.50%, 2/1/2052
|
10,146
|
8,694
|
|
Pool # BV2784, 2.50%, 2/1/2052
|
14,221
|
11,970
|
|
Pool # CB2750, 2.50%, 2/1/2052
|
19,605
|
16,556
|
|
Pool # CB2869, 2.50%, 2/1/2052
|
28,745
|
24,500
|
|
Pool # FS5670, 2.50%, 2/1/2052
|
11,370
|
9,653
|
|
Pool # FS5986, 2.50%, 2/1/2052
|
7,944
|
6,805
|
|
Pool # MA4548, 2.50%, 2/1/2052
|
79,301
|
66,764
|
|
Pool # CB3031, 2.50%, 3/1/2052
|
34,527
|
29,092
|
|
Pool # FS4533, 2.50%, 3/1/2052
|
6,374
|
5,413
|
|
Pool # FS7150, 2.50%, 3/1/2052
|
46,540
|
39,504
|
|
Pool # FS0957, 3.00%, 3/1/2052
|
21,678
|
18,979
|
|
Pool # FS1954, 3.00%, 3/1/2052
|
21,519
|
19,293
|
|
Pool # FS7410, 2.00%, 4/1/2052
|
45,957
|
37,263
|
|
Pool # BV5360, 2.50%, 4/1/2052
|
30,210
|
25,436
|
|
Pool # FS5499, 2.50%, 4/1/2052
|
17,729
|
15,180
|
|
Pool # FS1538, 3.00%, 4/1/2052
|
56,717
|
50,311
|
|
Pool # CB3369, 3.50%, 4/1/2052
|
17,213
|
15,668
|
|
Pool # FS2707, 3.50%, 4/1/2052
|
14,766
|
13,530
|
|
Pool # CB3378, 4.00%, 4/1/2052
|
10,162
|
9,556
|
|
Pool # FS1255, 4.00%, 4/1/2052
|
6,779
|
6,445
|
|
Pool # CB3608, 3.50%, 5/1/2052
|
74,139
|
67,488
|
|
Pool # CB3677, 4.00%, 5/1/2052
|
20,617
|
19,395
|
|
Pool # FS4195, 3.00%, 6/1/2052
|
36,376
|
32,134
|
|
Pool # FS3577, 3.00%, 7/1/2052
|
21,858
|
19,323
|
|
Pool # CB4128, 4.50%, 7/1/2052
|
1,834
|
1,771
|
|
Pool # FS2588, 4.50%, 8/1/2052
|
38,770
|
37,430
|
|
Pool # FS3536, 4.50%, 8/1/2052
|
16,764
|
16,238
|
|
Pool # FA0839, 2.50%, 9/1/2052
|
14,929
|
12,610
|
|
Pool # FS3829, 4.50%, 9/1/2052
|
5,018
|
4,844
|
|
Pool # CB4624, 5.00%, 9/1/2052
|
19,236
|
19,069
|
|
Pool # CB4628, 5.00%, 9/1/2052
|
29,961
|
29,750
|
|
Pool # FS2982, 5.00%, 9/1/2052
|
14,381
|
14,282
|
|
Pool # BX0098, 5.00%, 10/1/2052
|
11,105
|
11,045
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # FS3457, 4.50%, 11/1/2052
|
22,300
|
21,559
|
|
Pool # BW1328, 5.00%, 11/1/2052
|
38,721
|
38,335
|
|
Pool # FS3428, 4.00%, 12/1/2052
|
20,884
|
19,730
|
|
Pool # CB5907, 5.50%, 3/1/2053
|
14,695
|
14,875
|
|
Pool # FS5296, 4.50%, 5/1/2053
|
10,421
|
10,041
|
|
Pool # CB6314, 5.00%, 5/1/2053
|
13,920
|
13,802
|
|
Pool # BY4714, 5.00%, 6/1/2053
|
46,277
|
45,727
|
|
Pool # BY4776, 5.00%, 7/1/2053
|
39,687
|
39,114
|
|
Pool # BY7130, 6.00%, 9/1/2053
|
17,182
|
17,735
|
|
Pool # BY9849, 6.00%, 10/1/2053
|
10,192
|
10,521
|
|
Pool # FA1854, 4.50%, 9/1/2054
|
7,377
|
7,132
|
|
Pool # FA0229, 4.00%, 12/1/2054
|
54,346
|
51,005
|
|
Pool # CC0876, 6.00%, 8/1/2055
|
40,630
|
41,880
|
|
FNMA, 30 Year Pool # CA2171, 4.00%, 8/1/2048
|
8,090
|
7,619
|
|
FNMA, Other
|
|
|
|
Pool # AN1497, 2.61%, 6/1/2026
|
9,826
|
9,801
|
|
Pool # AN2689, 2.20%, 10/1/2026
|
5,356
|
5,311
|
|
Pool # AL6937, 3.53%, 12/1/2026 (i)
|
9
|
9
|
|
Pool # AN4917, 3.13%, 3/1/2027
|
12,138
|
12,034
|
|
Pool # BL3525, 2.60%, 9/1/2027
|
10,097
|
9,888
|
|
Pool # BL0497, 3.84%, 10/1/2027
|
4,327
|
4,304
|
|
Pool # AN1449, 2.97%, 4/1/2028
|
5,648
|
5,523
|
|
Pool # AN2005, 2.73%, 7/1/2028
|
9,144
|
8,855
|
|
Pool # 387807, 3.55%, 8/1/2028
|
6,809
|
6,710
|
|
Pool # AN3685, 2.69%, 12/1/2028
|
14,536
|
14,010
|
|
Pool # AN4004, 3.27%, 12/1/2028
|
7,817
|
7,641
|
|
Pool # BL1040, 3.81%, 12/1/2028
|
15,532
|
15,356
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
280
|
277
|
|
Pool # AN4154, 3.17%, 1/1/2029
|
16,343
|
15,867
|
|
Pool # AN4349, 3.35%, 1/1/2029
|
7,228
|
7,074
|
|
Pool # AN1872, 2.90%, 5/1/2029
|
3,192
|
3,069
|
|
Pool # BL3509, 2.66%, 8/1/2029
|
21,045
|
20,024
|
|
Pool # BL3491, 2.84%, 8/1/2029
|
15,435
|
14,766
|
|
Pool # BS6621, 3.50%, 9/1/2029
|
10,000
|
9,737
|
|
Pool # BS5424, 3.42%, 5/1/2030
|
12,389
|
11,964
|
|
Pool # BS5172, 2.59%, 9/1/2030
|
8,913
|
8,366
|
|
Pool # AN9293, 3.71%, 9/1/2030
|
24,332
|
23,660
|
|
Pool # BS5171, 2.51%, 10/1/2030
|
24,458
|
22,734
|
|
Pool # AN2308, 2.87%, 8/1/2031
|
7,028
|
6,574
|
|
Pool # AN2625, 2.50%, 10/1/2031
|
10,481
|
9,575
|
|
Pool # BS3695, 1.67%, 11/1/2031
|
24,318
|
21,057
|
|
Pool # BL3368, 2.84%, 11/1/2031
|
4,344
|
4,011
|
|
Pool # BZ2211, 3.90%, 11/1/2031
|
20,000
|
19,440
|
|
Pool # BS4644, 1.99%, 1/1/2032
|
11,210
|
9,958
|
|
Pool # BS4654, 2.39%, 3/1/2032
|
7,221
|
6,517
|
|
Pool # BL6367, 1.82%, 4/1/2032
|
32,847
|
28,582
|
|
Pool # BL6302, 2.07%, 5/1/2032
|
14,715
|
12,796
|
|
Pool # BS5332, 3.09%, 5/1/2032
|
6,067
|
5,628
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BS5452, 3.09%, 5/1/2032
|
23,025
|
21,266
|
|
Pool # BS5500, 3.13%, 5/1/2032
|
11,164
|
10,380
|
|
Pool # BS5440, 3.26%, 5/1/2032
|
14,265
|
13,356
|
|
Pool # AO7654, 3.50%, 5/1/2032
|
558
|
542
|
|
Pool # AO5230, 3.50%, 6/1/2032
|
274
|
267
|
|
Pool # AO7057, 3.50%, 6/1/2032
|
295
|
286
|
|
Pool # AO7746, 3.50%, 6/1/2032
|
72
|
69
|
|
Pool # AO8038, 3.50%, 7/1/2032
|
598
|
578
|
|
Pool # AP0645, 3.50%, 7/1/2032
|
660
|
641
|
|
Pool # AP0682, 3.50%, 7/1/2032
|
718
|
696
|
|
Pool # AP1314, 3.50%, 8/1/2032
|
913
|
884
|
|
Pool # AQ1534, 3.50%, 10/1/2032
|
215
|
209
|
|
Pool # BS8959, 4.73%, 10/1/2032
|
17,812
|
17,954
|
|
Pool # BL8708, 1.40%, 11/1/2032
|
8,000
|
6,621
|
|
Pool # AQ1607, 3.50%, 11/1/2032
|
181
|
177
|
|
Pool # BS7320, 4.88%, 12/1/2032
|
7,766
|
7,890
|
|
Pool # 650236, 5.00%, 12/1/2032
|
6
|
6
|
|
Pool # BS7496, 4.33%, 1/1/2033
|
24,161
|
23,836
|
|
Pool # BS7843, 3.90%, 2/1/2033
|
18,570
|
17,860
|
|
Pool # AR7961, 3.50%, 3/1/2033
|
218
|
212
|
|
Pool # BS7740, 4.11%, 4/1/2033
|
31,064
|
30,164
|
|
Pool # BS8141, 4.48%, 4/1/2033
|
14,803
|
14,714
|
|
Pool # BS8546, 4.37%, 5/1/2033
|
16,163
|
15,952
|
|
Pool # BS9007, 4.32%, 7/1/2033
|
16,740
|
16,486
|
|
Pool # BS9089, 4.51%, 7/1/2033
|
14,561
|
14,508
|
|
Pool # BL3453, 3.16%, 8/1/2033
|
14,260
|
12,992
|
|
Pool # BS9146, 4.35%, 8/1/2033
|
31,048
|
30,676
|
|
Pool # BS3020, 1.96%, 9/1/2033
|
8,251
|
6,878
|
|
Pool # BS9471, 4.45%, 10/1/2033
|
10,000
|
9,936
|
|
Pool # BS9182, 4.52%, 10/1/2033
|
13,955
|
13,928
|
|
Pool # BZ0430, 4.32%, 2/1/2034
|
23,000
|
22,632
|
|
Pool # BZ0420, 4.60%, 2/1/2034
|
50,000
|
49,944
|
|
Pool # BZ0401, 4.52%, 3/1/2034
|
10,500
|
10,431
|
|
Pool # BS5184, 2.67%, 4/1/2034
|
19,415
|
16,965
|
|
Pool # BS5271, 2.98%, 4/1/2034
|
1,391
|
1,257
|
|
Pool # BS6427, 3.75%, 9/1/2034
|
12,918
|
12,123
|
|
Pool # 886320, 6.50%, 7/1/2036
|
6
|
6
|
|
Pool # BS2829, 2.14%, 8/1/2036
|
11,682
|
9,479
|
|
Pool # AO6757, 4.00%, 6/1/2042
|
1,057
|
1,017
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
702
|
677
|
|
Pool # MA1213, 3.50%, 10/1/2042
|
3,325
|
3,109
|
|
Pool # MA1283, 3.50%, 12/1/2042
|
513
|
480
|
|
Pool # MA1328, 3.50%, 1/1/2043
|
1,737
|
1,625
|
|
Pool # MA1404, 3.50%, 4/1/2043
|
949
|
887
|
|
Pool # MA1462, 3.50%, 6/1/2043
|
469
|
442
|
|
Pool # MA1463, 3.50%, 6/1/2043
|
1,333
|
1,246
|
|
Pool # MA1510, 4.00%, 7/1/2043
|
1,028
|
991
|
|
Pool # MA1546, 3.50%, 8/1/2043
|
2,110
|
1,973
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AU8840, 4.50%, 11/1/2043
|
531
|
524
|
|
Pool # AV2613, 4.50%, 11/1/2043
|
1,398
|
1,377
|
|
Pool # MA1711, 4.50%, 12/1/2043
|
978
|
966
|
|
Pool # AL6167, 3.50%, 1/1/2044
|
7,390
|
6,910
|
|
Pool # MA2346, 3.50%, 6/1/2045
|
221
|
206
|
|
Pool # MA2462, 4.00%, 11/1/2045
|
1,678
|
1,609
|
|
Pool # MA2482, 4.00%, 12/1/2045
|
1,849
|
1,773
|
|
Pool # MA2519, 4.00%, 1/1/2046
|
1,942
|
1,853
|
|
Pool # BC0784, 3.50%, 4/1/2046
|
144
|
134
|
|
Pool # MA2593, 4.00%, 4/1/2046
|
4,377
|
4,176
|
|
Pool # MA2631, 4.00%, 5/1/2046
|
4,733
|
4,516
|
|
Pool # MA2658, 3.50%, 6/1/2046
|
1,686
|
1,567
|
|
Pool # MA2690, 3.50%, 7/1/2046
|
3,280
|
3,048
|
|
Pool # BF0533, 2.50%, 11/1/2050
|
14,956
|
12,826
|
|
Pool # BF0090, 3.50%, 5/1/2056
|
16,374
|
14,853
|
|
Pool # BF0131, 3.50%, 8/1/2056
|
22,905
|
20,636
|
|
Pool # BM6734, 4.00%, 8/1/2059
|
9,032
|
8,438
|
|
Pool # BF0440, 3.00%, 1/1/2060
|
24,733
|
21,450
|
|
Pool # BM7075, 3.00%, 3/1/2061
|
9,436
|
8,107
|
|
Pool # BF0584, 4.50%, 12/1/2061
|
5,948
|
5,733
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
31,233
|
25,559
|
|
Pool # BF0674, 2.50%, 4/1/2062
|
28,632
|
23,430
|
|
Pool # BF0759, 2.50%, 5/1/2062
|
42,933
|
35,133
|
|
Pool # BF0673, 2.50%, 6/1/2062
|
15,231
|
12,464
|
|
Pool # BF0654, 3.00%, 6/1/2062
|
18,594
|
15,930
|
|
Pool # BF0655, 3.50%, 6/1/2062
|
14,289
|
12,831
|
|
Pool # BF0677, 4.00%, 9/1/2062
|
38,468
|
35,570
|
|
Pool # BF0694, 2.50%, 12/1/2062
|
23,297
|
19,500
|
|
Pool # BF0700, 2.50%, 12/1/2062
|
20,300
|
16,612
|
|
Pool # BF0732, 2.50%, 6/1/2063
|
12,339
|
10,151
|
|
Pool # BF0733, 3.00%, 6/1/2063
|
47,783
|
40,935
|
|
Pool # BF0736, 4.00%, 6/1/2063
|
49,896
|
46,138
|
|
Pool # BF0770, 4.50%, 9/1/2063
|
17,135
|
16,452
|
|
Pool # BF0809, 4.00%, 4/1/2064
|
12,752
|
11,902
|
|
Pool # BF0810, 4.50%, 4/1/2064
|
20,119
|
19,392
|
|
Pool # BF0812, 4.50%, 4/1/2064
|
16,636
|
15,973
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 4.50%, 6/25/2056 (j)
|
59,355
|
56,975
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 460982, 7.00%, 11/15/2027
|
—
|
—
|
|
Pool # 460759, 6.50%, 2/15/2028
|
2
|
2
|
|
Pool # 781118, 6.50%, 10/15/2029
|
5
|
5
|
|
Pool # 783867, 6.00%, 8/15/2036
|
1,013
|
1,055
|
|
Pool # AS4934, 4.50%, 5/15/2046
|
347
|
340
|
|
Pool # AT7538, 4.00%, 7/15/2046
|
2,818
|
2,677
|
|
Pool # AT7652, 4.00%, 8/15/2046
|
1,800
|
1,702
|
|
Pool # BM1819, 5.00%, 4/15/2049
|
2,104
|
2,145
|
|
GNMA II
|
|
|
|
Pool # CK2783, ARM, 5.48%, 2/20/2072 (i)
|
33,810
|
35,318
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # CL4592, ARM, 5.34%, 3/20/2072 (i)
|
18,333
|
19,081
|
|
Pool # CK2802, ARM, 5.43%, 3/20/2072 (i)
|
18,571
|
19,390
|
|
Pool # CK2795, ARM, 5.47%, 3/20/2072 (i)
|
43,140
|
45,113
|
|
Pool # CM9946, ARM, 5.47%, 3/20/2072 (i)
|
11,422
|
11,944
|
|
Pool # CM9934, ARM, 5.50%, 3/20/2072 (i)
|
12,769
|
13,330
|
|
Pool # CK2792, ARM, 5.52%, 3/20/2072 (i)
|
28,894
|
30,306
|
|
Pool # CL8122, ARM, 5.52%, 3/20/2072 (i)
|
31,006
|
32,540
|
|
Pool # CK2804, ARM, 5.43%, 4/20/2072 (i)
|
31,809
|
33,235
|
|
Pool # BL8377, ARM, 5.51%, 4/20/2072 (i)
|
19,170
|
20,150
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 2270, 8.00%, 8/20/2026
|
—
|
—
|
|
Pool # 2285, 8.00%, 9/20/2026
|
—
|
—
|
|
Pool # 2379, 8.00%, 2/20/2027
|
—
|
—
|
|
Pool # 2397, 8.00%, 3/20/2027
|
—
|
—
|
|
Pool # 2445, 8.00%, 6/20/2027
|
—
|
—
|
|
Pool # 2457, 7.50%, 7/20/2027
|
2
|
2
|
|
Pool # 2538, 8.00%, 1/20/2028
|
—
|
—
|
|
Pool # 2714, 6.50%, 2/20/2029
|
1
|
1
|
|
Pool # 4901, 8.00%, 9/20/2031
|
86
|
89
|
|
Pool # 5020, 7.50%, 5/20/2032
|
32
|
33
|
|
Pool # 738210, 7.00%, 6/20/2032
|
76
|
77
|
|
Pool # 738062, 6.00%, 11/20/2032
|
110
|
112
|
|
Pool # 738059, 6.00%, 10/20/2033
|
79
|
80
|
|
Pool # 738049, 6.00%, 3/20/2035
|
85
|
86
|
|
Pool # 737987, 6.00%, 4/20/2036
|
5
|
5
|
|
Pool # 737975, 6.00%, 9/20/2036
|
7
|
7
|
|
Pool # 5034, 7.00%, 8/20/2038
|
6
|
6
|
|
Pool # 4245, 6.00%, 9/20/2038
|
33
|
34
|
|
Pool # 4930, 7.00%, 10/20/2038
|
94
|
97
|
|
Pool # 4964, 7.00%, 12/20/2038
|
6
|
6
|
|
Pool # 4872, 7.00%, 1/20/2039
|
76
|
79
|
|
Pool # 5072, 6.50%, 10/20/2039
|
33
|
35
|
|
Pool # 5218, 6.50%, 10/20/2039
|
75
|
80
|
|
Pool # AS8103, 3.50%, 6/20/2046
|
1,025
|
929
|
|
Pool # AS8104, 3.75%, 6/20/2046
|
934
|
862
|
|
Pool # AS8105, 4.00%, 6/20/2046
|
758
|
709
|
|
Pool # AS8106, 3.50%, 7/20/2046
|
1,391
|
1,264
|
|
Pool # AS8107, 3.75%, 7/20/2046
|
1,692
|
1,564
|
|
Pool # AY0571, 4.50%, 11/20/2047
|
2,875
|
2,775
|
|
Pool # BB8791, 4.00%, 12/20/2047
|
2,962
|
2,757
|
|
Pool # BD6195, 4.00%, 1/20/2048
|
2,797
|
2,603
|
|
Pool # BE9507, 4.50%, 3/20/2048
|
1,350
|
1,315
|
|
Pool # BG2382, 4.50%, 3/20/2048
|
1,039
|
1,007
|
|
Pool # BA7568, 4.50%, 4/20/2048
|
3,873
|
3,757
|
|
Pool # BD0512, 5.00%, 4/20/2048
|
1,230
|
1,220
|
|
Pool # BD0532, 5.00%, 6/20/2048
|
2,606
|
2,585
|
|
Pool # BG3833, 4.50%, 7/20/2048
|
5,613
|
5,444
|
|
Pool # BD0549, 5.00%, 8/20/2048
|
1,772
|
1,740
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # BH9109, 4.50%, 10/20/2048
|
3,359
|
3,243
|
|
Pool # BJ7085, 5.00%, 12/20/2048
|
2,216
|
2,249
|
|
Pool # BK7188, 4.50%, 2/20/2049
|
1,688
|
1,644
|
|
Pool # BK7189, 5.00%, 2/20/2049
|
1,983
|
1,998
|
|
Pool # BN2622, 4.00%, 6/20/2049
|
5,443
|
5,152
|
|
Pool # BM9677, 4.50%, 6/20/2049
|
3,040
|
2,981
|
|
Pool # BM9683, 5.00%, 6/20/2049
|
3,205
|
3,241
|
|
Pool # BJ1310, 4.50%, 7/20/2049
|
3,670
|
3,642
|
|
Pool # BO2717, 4.50%, 7/20/2049
|
4,887
|
4,899
|
|
Pool # BO3146, 4.50%, 7/20/2049
|
2,428
|
2,379
|
|
Pool # BO3147, 4.50%, 7/20/2049
|
2,215
|
2,147
|
|
Pool # BO3157, 4.50%, 7/20/2049
|
2,203
|
2,163
|
|
Pool # BO3158, 4.50%, 7/20/2049
|
1,456
|
1,427
|
|
Pool # BO3159, 4.50%, 7/20/2049
|
631
|
608
|
|
Pool # BM9690, 5.00%, 7/20/2049
|
839
|
849
|
|
Pool # BM9701, 4.50%, 8/20/2049
|
7,047
|
6,785
|
|
Pool # MA7534, 2.50%, 8/20/2051
|
25,817
|
22,100
|
|
Pool # CH2866, 3.50%, 10/20/2051
|
13,265
|
12,175
|
|
Pool # CH2907, 3.50%, 10/20/2051
|
8,481
|
7,784
|
|
Pool # CH2908, 3.50%, 10/20/2051
|
3,012
|
2,741
|
|
Pool # CH2964, 3.50%, 10/20/2051
|
7,496
|
6,917
|
|
Pool # CJ3728, 3.50%, 11/20/2051
|
954
|
869
|
|
Pool # 786362, 3.00%, 2/20/2052
|
9,520
|
8,346
|
|
Pool # MA7883, 3.50%, 2/20/2052
|
6,815
|
6,201
|
|
Pool # MA7936, 2.50%, 3/20/2052
|
74,500
|
63,788
|
|
Pool # CL5064, 3.50%, 3/20/2052
|
11,905
|
10,735
|
|
Pool # CM2176, 3.50%, 3/20/2052
|
4,922
|
4,528
|
|
Pool # CL5137, 4.00%, 4/20/2052
|
7,786
|
7,283
|
|
Pool # MA8097, 2.50%, 6/20/2052
|
6,141
|
5,258
|
|
Pool # MA8148, 3.00%, 7/20/2052
|
63,532
|
56,596
|
|
Pool # MA8196, 2.00%, 8/20/2052
|
17,384
|
14,284
|
|
Pool # MA8200, 4.00%, 8/20/2052
|
21,142
|
19,835
|
|
Pool # MA8796, 3.00%, 4/20/2053
|
15,121
|
13,546
|
|
Pool # 786842, 4.00%, 4/20/2053
|
33,103
|
31,159
|
|
Pool # CS4391, 5.50%, 7/20/2053
|
16,953
|
17,151
|
|
Pool # MA9100, 2.50%, 8/20/2053
|
22,412
|
19,236
|
|
Pool # MA9419, 3.50%, 1/20/2054
|
20,145
|
18,621
|
|
Pool # DL3306, 6.50%, 8/20/2055
|
30,632
|
32,494
|
|
GNMA II, Single Family, 30 Year
|
|
|
|
TBA, 5.00%, 6/15/2056 (j)
|
260,500
|
257,223
|
|
TBA, 5.50%, 6/15/2056 (j)
|
45,000
|
45,278
|
|
Par Health, Inc. 0.00%, 10/11/2026 ‡
|
14,228
|
14,114
|
|
Total Mortgage-Backed Securities
(Cost $5,141,110)
|
|
5,084,112
|
|
Asset-Backed Securities — 12.9%
|
||
|
ACC Trust
|
|
|
|
Series 2022-1, Class C, 3.24%, 10/20/2025 (a)
|
7,453
|
676
|
|
Series 2021-1, Class D, 5.25%, 3/22/2027 (a)
|
2,508
|
141
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (a)
|
292
|
282
|
|
Accelerated LLC Series 2021-1H, Class D, 3.58%, 10/20/2040 (a)
|
1,805
|
1,631
|
|
Air Canada Pass-Through Trust (Canada)
|
|
|
|
Series 2015-1, Class A, 3.60%, 3/15/2027 (a)
|
2,027
|
2,009
|
|
Series 2015-2, Class AA, 3.75%, 12/15/2027 (a)
|
579
|
571
|
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)
|
5,630
|
5,357
|
|
Series 2017-1, Class A, 3.55%, 1/15/2030 (a)
|
719
|
681
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2015-2, Class A, 4.00%, 9/22/2027
|
1,533
|
1,505
|
|
Series 2016-2, Class AA, 3.20%, 6/15/2028
|
568
|
552
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
722
|
698
|
|
American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (a)
|
2,942
|
2,954
|
|
AMSR Trust
|
|
|
|
Series 2023-SFR2G, Class G1, 4.50%, 8/19/2028 ‡
|
15,078
|
13,203
|
|
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a)
|
12,377
|
12,355
|
|
Series 2022-SFR3, Class F, 4.00%, 10/17/2039 (a)
|
27,165
|
26,129
|
|
Series 2023-SFR1, Class F, 4.00%, 4/17/2040 (a)
|
22,105
|
20,998
|
|
Series 2024-SFR1, Class D, 4.29%, 7/17/2041 (a) (h)
|
20,175
|
19,430
|
|
Series 2024-SFR2, Class F1, 4.15%, 11/17/2041 (a)
|
6,534
|
6,069
|
|
Aqua Finance Trust
|
|
|
|
Series 2019-A, Class B, 3.47%, 7/16/2040 (a)
|
6,517
|
6,343
|
|
Series 2020-AA, Class C, 3.97%, 7/17/2046 (a)
|
2,509
|
2,415
|
|
Series 2020-AA, Class D, 7.15%, 7/17/2046 (a)
|
2,943
|
2,978
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2023-6A, Class D, 7.37%, 12/20/2029 (a)
|
3,250
|
3,299
|
|
Series 2023-8A, Class D, 7.52%, 2/20/2030 (a)
|
6,750
|
6,783
|
|
Series 2024-1A, Class D, 7.20%, 6/20/2030 (a)
|
7,812
|
7,898
|
|
BankBoston Home Equity Loan Trust Series 1998-1, Class A6, 6.35%, 7/25/2028
|
—
|
—
|
|
Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (a)
|
13,002
|
13,072
|
|
Bastion Funding LLC Series 2023-1A, Class B, 8.06%, 4/25/2038 ‡ (a)
|
8,360
|
8,438
|
|
Bayview Opportunity Master Fund Trust Series 2024-SN1, Class E, 8.00%, 10/15/2029 (a)
|
8,000
|
8,158
|
|
Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 5.97%, 6/25/2043 (i)
|
83
|
83
|
|
BG Beta Ltd. (Cayman Islands)
|
|
|
|
6.28%, 7/16/2054 ‡
|
23,642
|
23,671
|
|
7.12%, 7/16/2054 ‡
|
29,904
|
29,716
|
|
BRAVO Residential Funding Trust Series 2026-CES1, Class A1A, 5.25%, 4/25/2056 (a) (h)
|
13,739
|
13,718
|
|
Bridge Trust Series 2024-SFR1, Class E2, 5.50%, 8/17/2040 (a)
|
5,900
|
5,675
|
|
Bridgecrest Lending Auto Securitization Trust
|
|
|
|
Series 2024-1, Class D, 6.03%, 11/15/2029
|
10,000
|
10,141
|
|
Series 2024-2, Class D, 6.30%, 2/15/2030
|
6,000
|
6,118
|
|
Series 2024-1, Class E, 8.43%, 10/15/2030 (a)
|
26,250
|
27,122
|
|
Series 2024-2, Class E, 8.21%, 1/15/2031 (a)
|
13,900
|
14,346
|
|
Series 2024-3, Class E, 7.70%, 4/15/2031 (a)
|
32,500
|
33,334
|
|
Series 2025-4, Class D, 5.41%, 8/15/2031
|
19,555
|
19,642
|
|
Series 2024-4, Class E, 7.47%, 8/15/2031 (a)
|
17,950
|
18,355
|
|
Series 2025-1, Class E, 7.46%, 2/17/2032 (a)
|
26,790
|
27,258
|
|
British Airways Pass-Through Trust (United Kingdom)
|
|
|
|
Series 2019-1, Class A, 3.35%, 6/15/2029 (a)
|
551
|
536
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)
|
348
|
340
|
|
Series 2018-1, Class A, 4.13%, 9/20/2031 (a)
|
1,048
|
1,013
|
|
Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)
|
385
|
366
|
|
Business Jet Securities LLC
|
|
|
|
Series 2022-1A, Class C, 6.41%, 6/15/2037 ‡ (a)
|
4,916
|
4,885
|
|
Series 2024-2A, Class C, 7.97%, 9/15/2039 ‡ (a)
|
9,383
|
9,317
|
|
BXG Receivables Note Trust Series 2023-A, Class C, 7.38%, 11/15/2038 (a)
|
9,672
|
9,814
|
|
Camden 0.00%, 9/15/2031 ‡
|
19,747
|
19,395
|
|
CarNow Auto Receivables Trust Series 2022-1A, Class E, 8.29%, 8/15/2028 (a)
|
11,649
|
1
|
|
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)
|
5,478
|
5,245
|
|
CARS-DB4 LP
|
|
|
|
Series 2020-1A, Class A6, 3.81%, 2/15/2050 (a)
|
4,497
|
4,249
|
|
Series 2020-1A, Class B2, 4.52%, 2/15/2050 (a)
|
8,698
|
8,604
|
|
Series 2020-1A, Class B3, 4.95%, 2/15/2050 (a)
|
9,698
|
9,101
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2022-N1, Class E, 6.01%, 12/11/2028 (a)
|
5,859
|
5,757
|
|
Series 2023-N4, Class D, 7.22%, 2/11/2030 (a)
|
7,860
|
8,109
|
|
Series 2024-N3, Class D, 5.38%, 12/10/2030 (a)
|
19,000
|
19,032
|
|
Cascade MH Asset Trust
|
|
|
|
Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (i)
|
16,503
|
15,506
|
|
Series 2021-MH1, Class B1, 4.57%, 2/25/2046 (a)
|
2,500
|
2,108
|
|
Series 2021-MH1, Class B2, 5.57%, 2/25/2046 (a)
|
2,550
|
2,178
|
|
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (h)
|
12,957
|
10,399
|
|
Centex Home Equity Loan Trust Series 2001-B, Class A6, 6.36%, 7/25/2032
|
8
|
8
|
|
CFIN Issuer LLC
|
|
|
|
Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (a) (h)
|
1,652
|
1,641
|
|
Series 2022-RTL1, Class AB, 6.50%, 2/16/2026 ‡ (a) (h)
|
1,906
|
1,889
|
|
Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039
|
1,372
|
1,499
|
|
COOF Securitization Trust Ltd. Series 2014-1, Class A, 3.13%, 6/25/2040 (a) (i)
|
803
|
51
|
|
CoreVest American Finance Trust Series 2020-2, Class B, 4.24%, 5/15/2052 (a) (i)
|
3,154
|
3,137
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
5,519
|
5,527
|
|
Series 2023-1A, Class C, 7.71%, 7/15/2033 (a)
|
33,457
|
33,783
|
|
Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
|
966
|
967
|
|
Series 2023-2A, Class C, 7.15%, 9/15/2033 (a)
|
21,842
|
22,052
|
|
Series 2023-3A, Class C, 7.62%, 12/15/2033 (a)
|
26,700
|
27,238
|
|
Series 2023-5A, Class B, 6.71%, 2/15/2034 (a)
|
17,250
|
17,457
|
|
7.68%, 4/17/2034 ‡
|
38,893
|
39,087
|
|
Series 2024-2A, Class C, 6.70%, 10/16/2034 (a)
|
42,168
|
43,350
|
|
Credit One (Nigeria) 6.47%, 2/25/2029 ‡ (a)
|
30,000
|
29,982
|
|
CWABS, Inc. Asset-Backed Certificates
|
|
|
|
Series 2004-1, Class M1, 4.45%, 3/25/2034 (i)
|
13
|
14
|
|
Series 2004-1, Class 3A, 4.26%, 4/25/2034 (i)
|
288
|
275
|
|
CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.60%, 10/25/2034 (i)
|
31
|
31
|
|
D2 Multifamily Credit Issuer Ltd. (Cayman Islands) Series 2026-FL1, Class A, 5.11%,
11/19/2043 (a) (i)
|
19,140
|
19,157
|
|
Dec
|
|
|
|
6.02%, 3/13/2030 ‡ (a)
|
18,000
|
18,000
|
|
6.91%, 1/15/2031 ‡ (a)
|
10,000
|
10,000
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Delta Air Lines Pass-Through Trust
|
|
|
|
Series 2015-1, Class AA, 3.63%, 7/30/2027
|
2,241
|
2,214
|
|
Series 2020-1, Class AA, 2.00%, 6/10/2028
|
3,526
|
3,414
|
|
Diversified ABS Holdings LLC Series 2024-2A, Class B, 11.50%, 9/30/2044 ‡ (a)
|
3,229
|
3,248
|
|
Diversified ABS LLC Series 2025-1A, Class B, 10.40%, 2/28/2045 (a)
|
27,148
|
27,121
|
|
Diversified ABS Phase LLC Series 2024-1A, Class A2, 7.67%, 5/30/2044 (a)
|
20,310
|
20,435
|
|
DLLAA LLC Series 2023-1A, Class A3, 5.64%, 2/22/2028 (a)
|
5,695
|
5,737
|
|
DP Lion Holdco LLC
|
|
|
|
Series 2023-1A, Class A, 8.24%, 11/30/2043
|
4,277
|
4,370
|
|
Series 2023-1A, Class B, 12.73%, 11/30/2043
|
5,075
|
5,187
|
|
Drive Auto Receivables Trust Series 2024-2, Class D, 4.94%, 5/17/2032
|
14,500
|
14,590
|
|
DT Auto Owner Trust
|
|
|
|
Series 2023-2A, Class E, 11.06%, 4/15/2030 (a)
|
11,500
|
12,062
|
|
Series 2023-3A, Class E, 10.21%, 5/15/2030 (a)
|
12,880
|
13,574
|
|
E3 (Cayman Islands) Series 2019-1, Class A, 3.10%, 9/20/2055 (a)
|
3,562
|
3,109
|
|
EJ Hugoton
|
|
|
|
Series 2026-1 B, 10.29%, 10/10/2041 ‡
|
29,000
|
29,000
|
|
Series 2026-1 B, 14.50%, 10/10/2041 ‡
|
13,500
|
13,500
|
|
Series 2026-1 B, 14.10%, 12/15/2041 ‡
|
6,266
|
6,266
|
|
Elara HGV Timeshare Issuer LLC Series 2021-A, Class D, 3.32%, 8/27/2035 (a)
|
759
|
726
|
|
Energy Assets 8.11%, 8/25/2044 ‡
|
8,247
|
8,293
|
|
EQV ABS Issuer LLC 10.76%, 12/15/2040 ‡
|
14,148
|
14,183
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2021-4A, Class E, 4.02%, 1/17/2028 (a)
|
9,500
|
9,487
|
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (a)
|
33,750
|
32,814
|
|
Series 2022-3A, Class E, 9.09%, 1/15/2030 (a)
|
34,500
|
34,665
|
|
Series 2023-5A, Class D, 7.13%, 2/15/2030
|
20,049
|
20,623
|
|
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a)
|
12,000
|
12,203
|
|
Series 2023-2A, Class E, 9.75%, 11/15/2030 (a)
|
6,137
|
6,632
|
|
Series 2023-3A, Class E, 9.98%, 1/15/2031 (a)
|
10,500
|
11,343
|
|
Series 2023-4A, Class E, 9.57%, 2/18/2031 (a)
|
11,565
|
12,386
|
|
Series 2025-1A, Class E, 7.48%, 9/15/2032 (a)
|
5,000
|
5,167
|
|
Series 2025-5A, Class E, 7.15%, 6/15/2033 (a)
|
6,368
|
6,388
|
|
FIGRE Trust Series 2026-HE4, Class A, 5.30%, 5/25/2056 (a) (i)
|
27,194
|
27,088
|
|
FirstKey Homes Trust
|
|
|
|
Series 2022-SFR3, Class F1, PO, 7/17/2038 ‡ (a)
|
31,898
|
31,672
|
|
Series 2022-SFR3, Class F2, PO, 7/17/2038 ‡ (a)
|
6,469
|
6,422
|
|
Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (a)
|
9,708
|
9,640
|
|
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a)
|
19,967
|
19,849
|
|
Series 2021-SFR1, Class F2, 3.45%, 8/17/2038 (a)
|
16,851
|
16,754
|
|
Series 2021-SFR1, Class F3, 3.69%, 8/17/2038 (a)
|
14,566
|
14,485
|
|
Series 2021-SFR2, Class F2, 3.16%, 9/17/2038 (a)
|
10,577
|
10,469
|
|
Series 2021-SFR3, Class F2, 3.83%, 12/17/2038 (a)
|
9,294
|
9,159
|
|
Series 2022-SFR1, Class F1, PO, 5/19/2039 ‡ (a)
|
28,086
|
26,424
|
|
Series 2022-SFR1, Class F2, PO, 5/19/2039 ‡ (a)
|
11,500
|
10,814
|
|
FMC GMSR Issuer Trust
|
|
|
|
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (i)
|
7,766
|
7,533
|
|
Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (i)
|
21,942
|
21,260
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (i)
|
40,000
|
39,638
|
|
Series 2022-GT1, Class A, 6.19%, 4/25/2027 (a)
|
9,707
|
9,713
|
|
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a)
|
22,424
|
22,461
|
|
Series 2020-GT1, Class A, 4.45%, 1/25/2028 (a) (i)
|
14,562
|
14,367
|
|
Fortiva Retail Credit Master Note Business Trust
|
|
|
|
Series 2025-TWO, Class B, 6.90%, 5/15/2031 ‡ (a)
|
6,875
|
6,892
|
|
Series 2025-TWO, Class C, 12.52%, 5/15/2031 ‡ (a)
|
7,700
|
7,738
|
|
FRTKL Series 2021-SFR1, Class F, 3.17%, 9/17/2038 (a)
|
4,272
|
4,225
|
|
FTF 3.00%, 8/15/2026 ‡
|
5,054
|
3,538
|
|
FW Energy Asset Issuer LLC 7.15%, 8/25/2044 ‡
|
26,831
|
27,128
|
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class A6, 6.70%, 4/25/2029 (i)
|
48
|
49
|
|
GGAM Master Trust International Ltd. (Cayman Islands) Series 2025-1A, Class Y, 9.70%,
9/30/2060 ‡ (a)
|
31,946
|
32,134
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a)
|
4,306
|
4,305
|
|
Series 2023-2A, Class C, 5.69%, 3/15/2029 (a)
|
4,570
|
4,580
|
|
Series 2022-1A, Class E, 5.64%, 5/15/2029 (a)
|
14,000
|
14,065
|
|
Series 2023-4A, Class D, 7.18%, 8/15/2029 (a)
|
18,943
|
19,432
|
|
Series 2023-3A, Class E, 9.27%, 8/15/2030 (a)
|
4,900
|
5,159
|
|
Series 2024-4A, Class E, 7.51%, 8/15/2031 (a)
|
3,500
|
3,629
|
|
Series 2025-3A, Class E, 6.52%, 8/16/2032 (a)
|
3,400
|
3,409
|
|
GLS Auto Select Receivables Trust Series 2023-1A, Class B, 6.09%, 3/15/2029 (a)
|
5,825
|
5,901
|
|
Goodgreen (Cayman Islands)
|
|
|
|
Series 2018-1A, Class A, 3.93%, 10/15/2053 (a) (i)
|
2,998
|
2,781
|
|
Series 2023-1A, Class A, 5.90%, 1/17/2061 (a)
|
17,256
|
17,074
|
|
Goodgreen Ltd. Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (a)
|
19,853
|
19,850
|
|
Goodgreen Trust
|
|
|
|
Series 2017-1A, Class A, 3.74%, 10/15/2052 (a)
|
523
|
485
|
|
Series 2016-1A, Class B, 5.24%, 10/15/2052 (a)
|
394
|
351
|
|
Series 2017-2A, Class A, 3.26%, 10/15/2053 (a)
|
3,389
|
3,048
|
|
GoodLeap Home Improvement Solutions Trust Series 2025-3A, Class A, 5.00%, 10/20/2049 (a)
|
16,547
|
16,375
|
|
Granite Park Equipment Leasing LLC Series 2023-1A, Class E, 7.00%, 6/20/2035 (a)
|
9,428
|
9,420
|
|
Grene Energy Senio0.00, 1/25/2027‡
|
5,236
|
4,242
|
|
Grit Parent, Inc. 10.00%, 3/27/2030 ‡
|
50,000
|
49,500
|
|
HERO Funding (Cayman Islands)
|
|
|
|
Series 2017-3A, Class A1, 3.19%, 9/20/2048 (a)
|
1,464
|
1,336
|
|
Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)
|
1,205
|
1,125
|
|
HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 (a)
|
1,503
|
1,318
|
|
HERO Funding Trust
|
|
|
|
Series 2015-3A, Class A, 4.28%, 9/20/2041 (a)
|
791
|
768
|
|
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a)
|
363
|
339
|
|
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a)
|
1,353
|
1,282
|
|
Series 2017-2A, Class A2, 4.07%, 9/20/2048 (a)
|
1,361
|
1,279
|
|
Hertz Vehicle Financing LLC Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
12,360
|
12,458
|
|
Hilton Grand Vacations Trust
|
|
|
|
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a)
|
1,168
|
1,168
|
|
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a)
|
1,637
|
1,677
|
|
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a)
|
1,219
|
1,225
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
HINNT LLC
|
|
|
|
Series 2022-A, Class D, 6.50%, 5/15/2041 (a)
|
4,376
|
4,340
|
|
Series 2022-A, Class E, 8.00%, 5/15/2041 (a)
|
697
|
687
|
|
Series 2024-A, Class D, 7.00%, 3/15/2043 (a)
|
2,136
|
2,131
|
|
Home Partners of America Trust
|
|
|
|
Series 2021-2, Class F, 3.80%, 12/17/2026 (a)
|
7,195
|
7,109
|
|
Series 2019-2, Class E, 3.32%, 10/19/2039 (a)
|
8,957
|
8,709
|
|
Series 2021-3, Class E2, 3.35%, 1/17/2041 (a)
|
12,814
|
11,876
|
|
HPA (Australia) 3.95%, 7/10/2026 ‡
|
5,646
|
5,589
|
|
Identity Digital Capital LLC 6.79%, 3/20/2065 ‡
|
23,800
|
23,705
|
|
Ista Jet Seri 6.97%, 4/5/2032 ‡ (a)
|
39,468
|
39,468
|
|
JBHP 10.28%, 4/14/2041 ‡
|
10,500
|
10,500
|
|
Jonah 0.00%, 12/10/2037 ‡ (a)
|
14,839
|
14,854
|
|
Jonah Energy ABS LLC
|
|
|
|
Series 2022-1, Class A1, 7.20%, 12/10/2037 (a)
|
7,591
|
7,691
|
|
Series 2022-1, Class C, 12.66%, 8/10/2039 ‡ (a)
|
39,000
|
39,113
|
|
Series 2025-1A, Class A2, 7.36%, 12/10/2040 (a)
|
33,575
|
33,465
|
|
Series 2025-1A, Class B, 11.25%, 12/10/2040 (a)
|
14,769
|
14,745
|
|
Series 2025-2A, Class A2, 6.62%, 1/10/2041 ‡ (a)
|
13,198
|
13,212
|
|
KGS-Alpha SBA COOF Trust
|
|
|
|
Series 2012-4, Class A, IO, 0.89%, 9/25/2037 ‡ (a) (i)
|
1,152
|
20
|
|
Series 2012-2, Class A, IO, 0.90%, 8/25/2038 (a) (i)
|
1,029
|
16
|
|
Series 2013-2, Class A, IO, 1.77%, 3/25/2039 (a) (i)
|
848
|
21
|
|
Koda Gnb ABS LLC Series 2023-1A, Class A2, 7.85%, 4/28/2040 ‡ (a)
|
16,433
|
16,641
|
|
Lendbuzz Securitization Trust Series 2024-1A, Class A2, 6.19%, 8/15/2029 (a)
|
1,613
|
1,619
|
|
Lendingpoint Asset Securitization Trust Series 2022-B, Class C, 8.45%, 10/15/2029 (a)
|
9,214
|
2,553
|
|
LendingPoint Asset Securitization Trust
|
|
|
|
Series 2020-REV1, Class C, 7.70%, 10/15/2028 (a)
|
737
|
737
|
|
Series 2020-REV1, Class D, 10.00%, 10/15/2028 ‡ (a)
|
7,000
|
918
|
|
Lendmark Funding Trust
|
|
|
|
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a)
|
18,000
|
17,255
|
|
Series 2021-2A, Class D, 4.46%, 4/20/2032 (a)
|
14,200
|
13,307
|
|
Series 2024-2A, Class E, 8.47%, 2/21/2034 (a)
|
11,827
|
12,045
|
|
Series 2025-1A, Class E, 8.91%, 9/20/2034 (a)
|
9,420
|
9,736
|
|
Series 2026-1A, Class D, 5.90%, 11/20/2035 (a)
|
4,500
|
4,474
|
|
Liberty 7.25%, 5/14/2031 ‡
|
75,000
|
75,062
|
|
LP LMS Asset Securitization Trust Series 2021-2A, Class C, 3.85%, 1/15/2029 (a)
|
162
|
162
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2021-AA, Class E, 5.40%, 3/20/2036 (a)
|
13,100
|
12,626
|
|
Series 2024-AA, Class E, 9.02%, 9/22/2036 (a)
|
10,516
|
10,740
|
|
Series 2021-BA, Class E, 4.68%, 11/20/2036 (a)
|
8,500
|
7,973
|
|
Series 2025-AA, Class E, 8.64%, 5/20/2038 (a)
|
10,000
|
10,228
|
|
Series 2025-BA, Class E, 7.51%, 11/22/2038 (a)
|
9,845
|
9,773
|
|
Mercury Financial Credit Card Master Trust
|
|
|
|
Series 2025-1A, Class C, 8.29%, 12/22/2031 (a)
|
25,000
|
24,844
|
|
Series 2026-1A, Class C, 8.45%, 2/20/2032 (a)
|
18,700
|
18,520
|
|
Series 2026-1A, Class D, 11.85%, 2/20/2032 (a)
|
14,900
|
14,763
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Midcon Energy Asset Issuer LLC
|
|
|
|
5.31%, 2/27/2051 ‡ (i)
|
7,556
|
7,556
|
|
6.53%, 2/27/2051 ‡
|
9,768
|
9,768
|
|
Mid-State Capital Corp. Trust
|
|
|
|
Series 2005-1, Class A, 5.75%, 1/15/2040
|
3
|
3
|
|
Series 2005-1, Class M1, 6.11%, 1/15/2040
|
66
|
66
|
|
Series 2006-1, Class A, 5.79%, 10/15/2040 (a)
|
371
|
372
|
|
Series 2006-1, Class M1, 6.08%, 10/15/2040 (a)
|
450
|
452
|
|
Series 2006-1, Class M2, 6.74%, 10/15/2040 (a)
|
185
|
187
|
|
Mission Lane Credit Card Master Trust Series 2025-B, Class A, 5.06%, 9/15/2031 (a)
|
10,830
|
10,827
|
|
Mpire Frn
|
|
|
|
Series 2026, 8.29%, 9/13/2030 ‡ (a)
|
21,981
|
22,043
|
|
Series 2026, 11.16%, 9/19/2030 ‡ (a)
|
9,284
|
9,310
|
|
MVW LLC
|
|
|
|
Series 2022-1A, Class D, 7.35%, 11/21/2039 (a)
|
2,750
|
2,765
|
|
Series 2023-1A, Class D, 8.83%, 10/20/2040 (a)
|
3,443
|
3,552
|
|
Series 2023-2A, Class D, 9.33%, 11/20/2040 (a)
|
2,999
|
3,096
|
|
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a)
|
5,059
|
5,148
|
|
New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.84%, 11/25/2033 (h)
|
144
|
142
|
|
Nexgen, Inc. 0.00%, 11/16/2033 ‡ (i)
|
20,988
|
20,962
|
|
Nexus Nova 6.50%, 11/8/2028 ‡
|
18,000
|
18,001
|
|
NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a)
|
4,917
|
4,868
|
|
Octane Receivables Trust
|
|
|
|
Series 2023-3A, Class D, 7.58%, 9/20/2029 (a)
|
4,640
|
4,789
|
|
Series 2022-1A, Class E, 7.33%, 12/20/2029 (a)
|
2,000
|
2,016
|
|
Series 2024-1A, Class C, 5.82%, 5/20/2030 (a)
|
3,500
|
3,548
|
|
Oneslt 8.00%, 12/15/2030 ‡
|
17,979
|
17,979
|
|
Oportun Issuance Trust
|
|
|
|
Series 2021-B, Class B, 1.96%, 5/8/2031 (a)
|
662
|
653
|
|
Series 2021-B, Class C, 3.65%, 5/8/2031 (a)
|
995
|
987
|
|
Series 2025-D, Class C, 5.80%, 2/8/2033 (a)
|
10,910
|
10,913
|
|
P2 Series 2021 A1, 0.00%, 12/20/2031 ‡ (a)
|
29,145
|
29,128
|
|
Pagaya AI Technology in Housing Trust Series 2023-1, Class E1, 3.60%, 10/25/2040 (a)
|
26,822
|
24,816
|
|
Piper ABS Issuer I LLC Series 2025-1A, Class B, 9.81%, 1/15/2046 ‡
|
23,384
|
23,384
|
|
Post Road Equipment Finance LLC Series 2024-1A, Class E, 8.50%, 12/15/2031 (a)
|
3,250
|
3,322
|
|
Progress Residential Trust
|
|
|
|
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a)
|
21,356
|
21,029
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a)
|
23,973
|
23,718
|
|
Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (a)
|
19,522
|
19,458
|
|
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a)
|
11,918
|
11,905
|
|
Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (a)
|
12,578
|
12,092
|
|
Series 2022-SFR1, Class F, 4.88%, 2/17/2041 (a)
|
14,250
|
13,749
|
|
Series 2024-SFR4, Class E1, 3.33%, 7/17/2041 (a)
|
13,000
|
12,102
|
|
Prometheus 0.00%, 9/12/2029 ‡
|
40,800
|
40,392
|
|
Purewest ABS Issuer LLC
|
|
|
|
Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (a)
|
9,876
|
9,837
|
|
Series 2025-1, Class B, 10.28%, 4/5/2040 ‡ (a)
|
31,303
|
31,303
|
|
Raisa Funding LLC 11.71%, 6/15/2038 ‡
|
7,322
|
7,530
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Rcfii Baml Frn 0.00%, 12/17/2026 ‡ (a)
|
12,439
|
12,393
|
|
RCKT Mortgage Trust Series 2026-CES2, Class A1A, 4.76%, 2/25/2056 (a) (h)
|
38,148
|
37,746
|
|
Renew
|
|
|
|
12.50, 12/20/2049‡
|
428,760
|
15,678
|
|
Series 2017-1A, Class A, 3.67%, 9/20/2052 (a)
|
694
|
639
|
|
Series 2017-2A, Class A, 3.22%, 9/22/2053 (a)
|
7,613
|
6,838
|
|
Series 2023-1A, Class A, 5.90%, 11/20/2058 (a)
|
8,564
|
8,621
|
|
Retium-rcaf 0.00%, 12/17/2026 ‡ (a)
|
8,620
|
8,588
|
|
Revolution III Abs LLC
|
|
|
|
6.18%, 3/28/2046 ‡
|
17,692
|
17,692
|
|
9.76%, 3/28/2046 ‡
|
4,779
|
4,779
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2024-4, Class C, 4.95%, 4/15/2030
|
7,500
|
7,543
|
|
Series 2023-2, Class C, 5.47%, 12/16/2030
|
23,085
|
23,296
|
|
Series 2022-5, Class D, 5.67%, 12/16/2030
|
31,674
|
31,856
|
|
Series 2022-6, Class D, 5.69%, 2/18/2031
|
27,300
|
27,476
|
|
Series 2024-2, Class D, 6.28%, 8/15/2031
|
7,941
|
8,137
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a)
|
4,126
|
4,142
|
|
Series 2023-1A, Class E, 7.00%, 7/21/2036 (a)
|
19,500
|
19,839
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%,
1/25/2036 (h)
|
117
|
100
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a)
|
2,158
|
2,158
|
|
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a)
|
1,860
|
1,926
|
|
Series 2023-1A, Class D, 9.80%, 1/20/2040 (a)
|
1,368
|
1,428
|
|
Series 2023-2A, Class D, 9.72%, 4/20/2040 (a)
|
1,593
|
1,663
|
|
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a)
|
1,044
|
1,062
|
|
Series 2023-3A, Class D, 9.44%, 9/20/2040 (a)
|
1,324
|
1,379
|
|
Series 2024-3A, Class D, 6.93%, 8/20/2041 (a)
|
1,930
|
1,930
|
|
Series 2024-1A, Class D, 8.02%, 1/20/2043 (a)
|
707
|
720
|
|
Soundview Home Loan Trust Series 2007-OPT1, Class 2A1, 3.78%, 6/25/2037 (i)
|
617
|
427
|
|
SRT Issuer I LLC 0.00%, 7/7/2031 ‡ (i)
|
43,000
|
42,946
|
|
SRT Issuer LLC 0.00%, 12/7/2031 ‡ (i)
|
43,000
|
43,019
|
|
Stream Innovations Issuer Trust Series 2025-1A, Class D, 8.40%, 9/15/2045 (a)
|
2,452
|
2,503
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2026-CES1, Class A1, 4.96%, 1/25/2066 (a) (h)
|
35,046
|
34,796
|
|
Series 2026-FIX2, Class A1A, 5.31%, 4/25/2066 (a) (h)
|
17,793
|
17,743
|
|
Ucielo 2025-assi 10.51%, 8/9/2033 ‡
|
212
|
213
|
|
Ucielo 2025-assic
|
|
|
|
8.01%, 8/9/2033 ‡
|
100
|
100
|
|
10.51%, 8/9/2033 ‡
|
275
|
275
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2014-2, Class A, 3.75%, 9/3/2026
|
663
|
661
|
|
Series 2016-1, Class AA, 3.10%, 7/7/2028
|
729
|
708
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
1,015
|
976
|
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
7,454
|
7,222
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
772
|
738
|
|
Series 2019-1, Class AA, 4.15%, 8/25/2031
|
997
|
970
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2019-1, Class A, 4.55%, 8/25/2031
|
1,190
|
1,149
|
|
Series 2019-2, Class AA, 2.70%, 5/1/2032
|
1,275
|
1,164
|
|
Series 2024-1, Class AA, 5.45%, 2/15/2037
|
6,420
|
6,574
|
|
UOG ABS Issuer LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (a)
|
12,489
|
12,791
|
|
UPG HI Issuer Trust Series 2025-2, Class A, 5.00%, 9/25/2047 (a)
|
10,426
|
10,401
|
|
Upstart Frn Series 2025-TE, 6.80%, 3/29/2029 ‡ (a)
|
24,000
|
23,970
|
|
US Auto Funding Series 2021-1A, Class D, 4.36%, 3/15/2027 (a)
|
10,500
|
—
|
|
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 ‡ (a)
|
16,000
|
—
|
|
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a)
|
5,813
|
5,884
|
|
VistaJet Pass Through Trust Series 2021-1C, 9.50%, 8/15/2031 ‡ (a)
|
24,929
|
24,365
|
|
vMobo, Inc. 9.46%, 7/18/2027 ‡
|
55,000
|
53,740
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (a) (h)
|
148
|
148
|
|
Westgate Resorts LLC
|
|
|
|
Series 2023-1A, Class C, 7.49%, 12/20/2037 (a)
|
1,681
|
1,709
|
|
Series 2024-1A, Class D, 9.26%, 1/20/2038 (a)
|
3,990
|
4,059
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2023-3A, Class D, 6.47%, 3/15/2029 (a)
|
18,976
|
19,254
|
|
Series 2023-4A, Class D, 7.19%, 7/16/2029 (a)
|
15,900
|
16,312
|
|
Wolf Energy Asset Issuer LLC
|
|
|
|
5.70%, 7/25/2050 ‡
|
6,854
|
6,854
|
|
6.61%, 7/25/2050 ‡
|
3,953
|
3,953
|
|
Ygrene 11.00%, 5/1/2028 ‡
|
13,084
|
12,328
|
|
Total Asset-Backed Securities
(Cost $3,327,276)
|
|
3,291,250
|
|
U.S. Treasury Obligations — 11.5%
|
||
|
U.S. Treasury Bonds
|
|
|
|
1.13%, 5/15/2040
|
96,228
|
60,428
|
|
1.13%, 8/15/2040
|
109,111
|
67,832
|
|
1.38%, 11/15/2040
|
61,230
|
39,326
|
|
2.25%, 5/15/2041
|
46,603
|
33,800
|
|
2.00%, 11/15/2041
|
45,879
|
31,590
|
|
3.13%, 11/15/2041
|
40,953
|
33,276
|
|
4.00%, 11/15/2042
|
136,621
|
122,826
|
|
3.63%, 8/15/2043
|
11,821
|
10,021
|
|
4.38%, 8/15/2043
|
25,275
|
23,663
|
|
3.75%, 11/15/2043
|
63,896
|
54,968
|
|
4.75%, 11/15/2043
|
110,957
|
108,660
|
|
3.38%, 5/15/2044
|
47,111
|
38,204
|
|
2.50%, 2/15/2045
|
66,979
|
46,610
|
|
4.88%, 8/15/2045
|
150,340
|
148,455
|
|
3.00%, 2/15/2047
|
141,111
|
104,334
|
|
3.00%, 8/15/2048
|
93,566
|
68,040
|
|
3.38%, 11/15/2048
|
101,186
|
78,609
|
|
1.88%, 2/15/2051
|
30,232
|
16,630
|
|
2.38%, 5/15/2051
|
174,542
|
108,128
|
|
2.25%, 2/15/2052
|
28,956
|
17,266
|
|
4.50%, 11/15/2054
|
204,598
|
188,981
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — continued
|
||
|
U.S. Treasury Notes
|
|
|
|
1.13%, 10/31/2026 (m)
|
165,946
|
164,130
|
|
0.50%, 8/31/2027
|
183,364
|
175,736
|
|
3.63%, 8/31/2029
|
345,545
|
340,821
|
|
4.13%, 11/30/2029
|
58,850
|
58,924
|
|
3.63%, 8/31/2030
|
245,935
|
241,208
|
|
3.88%, 3/31/2031
|
22,365
|
22,108
|
|
4.25%, 11/15/2034
|
214,794
|
212,923
|
|
4.63%, 2/15/2035
|
46,970
|
47,775
|
|
U.S. Treasury STRIPS Bonds
|
|
|
|
4.69%, 5/15/2031 (n)
|
141,586
|
115,187
|
|
5.23%, 11/15/2033 (n)
|
30,160
|
21,841
|
|
5.23%, 5/15/2040 (n)
|
63,558
|
32,040
|
|
3.34%, 8/15/2040 (n)
|
37,081
|
18,396
|
|
3.26%, 8/15/2041 (n)
|
129,383
|
60,429
|
|
4.26%, 2/15/2042 (n)
|
10,407
|
4,716
|
|
3.81%, 5/15/2042 (n)
|
18,492
|
8,264
|
|
3.96%, 11/15/2042 (n)
|
7,625
|
3,304
|
|
2.45%, 11/15/2043 (n)
|
24,977
|
10,194
|
|
Total U.S. Treasury Obligations
(Cost $3,232,022)
|
|
2,939,643
|
|
Commercial Mortgage-Backed Securities — 11.2%
|
||
|
20 Times Square Trust Series 2018-20TS, Class F, 3.10%, 5/15/2035 (a) (i)
|
23,414
|
19,902
|
|
Acrc (France) 5.25%, 11/15/2026 ‡ (a)
|
24,000
|
23,388
|
|
BAMLL Re-REMIC Trust
|
|
|
|
Series 2025-FRR5, Class DK73, 1.01%, 2/27/2051 ‡ (a) (i)
|
7,518
|
6,759
|
|
Series 2025-FRR5, Class CK73, 1.02%, 2/27/2051 ‡ (a) (i)
|
7,519
|
6,877
|
|
Series 2025-FRR5, Class CK86, PO, 11/27/2051 (a)
|
8,773
|
7,455
|
|
Series 2025-FRR5, Class DK86, PO, 11/27/2051 (a)
|
7,496
|
6,187
|
|
Series 2025-FRR5, Class C736, 1.26%, 9/27/2052 ‡ (a) (i)
|
10,609
|
10,513
|
|
Series 2025-FRR5, Class D736, 1.26%, 9/27/2052 ‡ (a) (i)
|
10,608
|
10,495
|
|
BANK Series 2019-BN19, Class A3, 3.18%, 8/15/2061
|
9,707
|
9,201
|
|
BBCCRE Trust Series 2015-GTP, Class A, 3.97%, 8/10/2033 (a)
|
8,973
|
8,379
|
|
BOFAS Re-REMIC Trust
|
|
|
|
Series 2026-FRR7, Class BGX1, 3.59%, 10/27/2037 (a) (i)
|
8,920
|
8,564
|
|
Series 2026-FRR8, Class D124, 1.23%, 12/27/2053 ‡ (a) (i)
|
8,775
|
6,911
|
|
Series 2026-FRR8, Class C124, 1.43%, 12/27/2053 ‡ (a) (i)
|
5,394
|
4,368
|
|
Series 2026-FRR8, Class D129, 1.34%, 4/27/2054 ‡ (a) (i)
|
10,000
|
7,771
|
|
Series 2026-FRR8, Class C129, 1.47%, 4/27/2054 ‡ (a) (i)
|
4,957
|
3,899
|
|
BWAY Mortgage Trust Series 2013-1515, Class F, 3.93%, 3/10/2033 (a) (i)
|
4,854
|
4,235
|
|
Cascade Funding Mortgage Trust
|
|
|
|
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a)
|
17,231
|
13,753
|
|
Series 2021-FRR1, Class AK99, 0.00%, 9/29/2029 (a)
|
11,736
|
9,517
|
|
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a)
|
14,852
|
11,375
|
|
Series 2021-FRR1, Class BK58, 2.37%, 9/29/2029 (a) (i)
|
10,863
|
10,668
|
|
CFCRE Commercial Mortgage Trust Series 2011-C2, Class D, 5.25%, 12/15/2047 (a) (i)
|
899
|
885
|
|
Commercial Mortgage Trust Series 2018-HOME, Class A, 3.82%, 4/10/2033 (a) (i)
|
23,201
|
22,702
|
|
Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 (a) (i)
|
8,802
|
2
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a)
|
14,756
|
12,399
|
|
CSTL Commercial Mortgage Trust Series 2025-GATE2, Class E, 6.35%, 11/10/2042 (a) (i)
|
28,800
|
28,298
|
|
DLIC Re-REMIC Trust Series 2025-FRR1, Class BGX1, 3.59%, 10/27/2037 ‡ (a) (i)
|
9,390
|
9,031
|
|
FHLMC Series 2025-MN11, Class M2, 6.26%, 7/25/2045 (a) (i)
|
15,955
|
15,848
|
|
FHLMC MSCR Trust
|
|
|
|
Series 2023-MN7, Class M2, 9.31%, 9/25/2043 (a) (i)
|
11,110
|
11,866
|
|
Series 2025-MN12, Class M2, 6.36%, 11/25/2045 (a) (i)
|
18,100
|
18,023
|
|
Series 2026-MN13, Class M2, 6.56%, 3/25/2046 (a) (i)
|
27,500
|
27,563
|
|
Series 2021-MN1, Class M2, 7.36%, 1/25/2051 (a) (i)
|
54,613
|
56,545
|
|
Series 2021-MN3, Class M1, 5.91%, 11/25/2051 (a) (i)
|
1,229
|
1,229
|
|
Series 2021-MN3, Class M2, 7.61%, 11/25/2051 (a) (i)
|
9,418
|
9,729
|
|
FHLMC, Multi-Family Structured Credit Risk Series 2022-MN4, Class M2, 10.11%, 5/25/2052 (a) (i)
|
6,067
|
6,650
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KS06, Class A2, 2.72%, 7/25/2026
|
2,653
|
2,644
|
|
Series K065, Class A2, 3.24%, 4/25/2027
|
6,439
|
6,387
|
|
Series KJ26, Class A2, 2.61%, 7/25/2027
|
4,654
|
4,614
|
|
Series K070, Class A2, 3.30%, 11/25/2027 (i)
|
5,868
|
5,796
|
|
Series W5FX, Class AFX, 3.21%, 4/25/2028 (i)
|
9,620
|
9,442
|
|
Series KL05, Class X1P, IO, 0.89%, 6/25/2029 (i)
|
170,657
|
4,182
|
|
Series KS11, Class AFX2, 2.65%, 6/25/2029
|
48,537
|
46,109
|
|
Series K753, Class A2, 4.40%, 10/25/2030
|
23,410
|
23,381
|
|
Series K152, Class A2, 3.08%, 1/25/2031
|
8,584
|
8,121
|
|
Series K128, Class X3, IO, 2.78%, 4/25/2031 (i)
|
12,474
|
1,388
|
|
Series K142, Class AM, 2.40%, 3/25/2032
|
21,356
|
19,053
|
|
Series K145, Class A2, 2.58%, 5/25/2032
|
18,119
|
16,325
|
|
Series K146, Class A2, 2.92%, 6/25/2032
|
13,105
|
12,025
|
|
Series K146, Class AM, 2.92%, 7/25/2032
|
12,620
|
11,528
|
|
Series K-152, Class A2, 3.78%, 11/25/2032 (i)
|
34,000
|
32,606
|
|
Series K-160, Class A2, 4.50%, 8/25/2033 (i)
|
34,000
|
33,800
|
|
Series KX04, Class XFX, IO, 1.33%, 1/25/2034 (i)
|
108,632
|
3,365
|
|
Series K-1515, Class A2, 1.94%, 2/25/2035
|
34,947
|
28,283
|
|
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (i)
|
4,320
|
958
|
|
Series Q014, Class X, IO, 2.73%, 10/25/2055 (i)
|
19,700
|
2,737
|
|
FNMA ACES
|
|
|
|
Series 2016-M7, Class A2, 2.50%, 9/25/2026
|
2,927
|
2,919
|
|
Series 2017-M1, Class A2, 2.42%, 10/25/2026 (i)
|
6,140
|
6,098
|
|
Series 2017-M3, Class A2, 2.48%, 12/25/2026 (i)
|
8,517
|
8,443
|
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (i)
|
3,632
|
3,606
|
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (i)
|
5,977
|
5,918
|
|
Series 2018-M2, Class A2, 2.93%, 1/25/2028 (i)
|
22,194
|
21,745
|
|
Series 2018-M7, Class A2, 3.03%, 3/25/2028 (i)
|
24,538
|
24,084
|
|
Series 2018-M4, Class A2, 3.07%, 3/25/2028 (i)
|
6,609
|
6,491
|
|
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (i)
|
9,387
|
9,233
|
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (i)
|
31,667
|
31,186
|
|
Series 2020-M38, Class X2, IO, 1.97%, 11/25/2028 (i)
|
28,748
|
899
|
|
Series 2017-M5, Class A2, 3.02%, 4/25/2029 (i)
|
12,910
|
12,511
|
|
Series 2019-M7, Class A2, 3.14%, 4/25/2029
|
15,004
|
14,534
|
|
Series 2019-M12, Class A2, 2.89%, 6/25/2029 (i)
|
25,032
|
24,058
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (i)
|
4,157
|
3,993
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
4,540
|
4,409
|
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (i)
|
75,038
|
2,110
|
|
Series 2026-M10, Class A1, 1.85%, 6/25/2031 (i)
|
20,496
|
18,920
|
|
Series 2026-M9, Class A1, 1.57%, 10/25/2031 (i)
|
20,093
|
18,093
|
|
Series 2022-M2S, Class A2, 3.76%, 8/25/2032 (i)
|
13,417
|
12,900
|
|
Series 2026-M9, Class A, 1.57%, 1/25/2033 (i)
|
20,195
|
17,862
|
|
Series 2026-M9, Class A2, 1.57%, 1/25/2033 (i)
|
94,362
|
79,513
|
|
Series 2023-M8, Class A2, 4.48%, 3/25/2033 (i)
|
32,285
|
32,201
|
|
Series 2023-M1S, Class A2, 4.50%, 4/25/2033 (i)
|
6,868
|
6,847
|
|
Series 2024-M2, Class A2, 3.75%, 8/25/2033
|
56,000
|
53,116
|
|
Series 2026-M10, Class X1, IO, 0.00%, 7/25/2035
|
161,465
|
24
|
|
Series 2026-M10, Class A2, 1.85%, 7/25/2035 (i)
|
116,999
|
99,082
|
|
Series 2026-M10, Class PS, 1.85%, 7/25/2035 (i)
|
23,970
|
20,889
|
|
FREMF Series 20K-1517, Class C, PO, 8/25/2035 (a)
|
37,986
|
19,070
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2018-KHG1, Class C, 3.90%, 12/25/2027 (a) (i)
|
32,247
|
30,941
|
|
Series 2018-KW06, Class C, 0.00%, 6/25/2028 (a)
|
12,112
|
10,423
|
|
Series 2018-KW06, Class X2A, IO, 0.10%, 6/25/2028 (a)
|
97,004
|
141
|
|
Series 2018-KW06, Class X2B, IO, 0.10%, 6/25/2028 (a)
|
16,149
|
27
|
|
Series 2018-K82, Class X2A, IO, 0.10%, 9/25/2028 (a)
|
553,625
|
987
|
|
Series 2021-KHG3, Class CFX, 2.40%, 9/25/2028 (a) (i)
|
26,000
|
23,682
|
|
Series 2021-KHG3, Class CFL, 9.05%, 9/25/2028 (a) (i)
|
18,002
|
18,071
|
|
Series 2018-K82, Class D, PO, 10/25/2028 (a)
|
55,000
|
45,674
|
|
Series 2018-K82, Class X2B, IO, 0.10%, 10/25/2028 (a)
|
144,000
|
302
|
|
Series 2018-K84, Class D, PO, 11/25/2028 (a)
|
63,510
|
51,612
|
|
Series 2019-KBF3, Class C, 8.51%, 1/25/2029 (a) (i)
|
8,342
|
8,085
|
|
Series 2019-KL05, Class BHG, 4.37%, 2/25/2029 (a) (i)
|
3,500
|
3,268
|
|
Series 2019-KL05, Class CHG, 4.37%, 2/25/2029 (a)
|
11,274
|
10,224
|
|
Series 2019-K92, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
806,543
|
1,751
|
|
Series 2019-KG01, Class X2A, IO, 0.10%, 4/25/2029 (a)
|
139,850
|
299
|
|
Series 2019-KG01, Class C, PO, 5/25/2029 (a)
|
24,000
|
19,526
|
|
Series 2019-KG01, Class X2B, IO, 0.10%, 5/25/2029 (a)
|
32,370
|
77
|
|
Series 2019-KS11, Class C, 4.82%, 6/25/2029 (a) (i)
|
21,859
|
19,659
|
|
Series 2019-K92, Class X2B, IO, 0.10%, 7/25/2029 (a)
|
180,000
|
456
|
|
Series 2019-KC07, Class C, 3.58%, 10/25/2029 (a) (i)
|
27,300
|
23,233
|
|
Series 2020-K107, Class D, 3.51%, 2/25/2030 (a) (i)
|
41,999
|
34,728
|
|
Series 2023-K752, Class D, PO, 8/25/2030 (a)
|
26,400
|
18,648
|
|
Series 2023-K752, Class X2B, IO, 0.10%, 8/25/2030 (a)
|
90,300
|
303
|
|
Series 2020-KSG1, Class C, PO, 9/25/2030 (a)
|
19,200
|
13,601
|
|
Series 2020-KSG1, Class X2A, IO, 0.10%, 9/25/2030 (a)
|
222,675
|
718
|
|
Series 2020-KSG1, Class X2B, IO, 0.10%, 9/25/2030 (a)
|
19,200
|
67
|
|
Series 2018-KW07, Class C, PO, 10/25/2031 (a)
|
12,620
|
10,337
|
|
Series 2018-KW07, Class X2A, IO, 0.10%, 10/25/2031 (a)
|
96,245
|
162
|
|
Series 2018-KW07, Class X2B, IO, 0.10%, 10/25/2031 (a)
|
16,457
|
32
|
|
Series 2019-KW10, Class C, PO, 10/25/2032 (a)
|
24,000
|
18,141
|
|
Series 2019-KW10, Class X2A, IO, 0.10%, 10/25/2032 (a)
|
265,175
|
661
|
|
Series 2019-KW10, Class X2B, IO, 0.10%, 10/25/2032 (a)
|
32,000
|
85
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2019-KW10, Class B, 3.63%, 10/25/2032 (a) (i)
|
8,902
|
8,248
|
|
Series 2018-K155, Class X2A, IO, 0.10%, 4/25/2033 (a)
|
427,439
|
1,831
|
|
Series 2018-K155, Class C, PO, 5/25/2033 (a)
|
36,871
|
21,000
|
|
Series 2018-K155, Class X2B, IO, 0.10%, 5/25/2033 (a)
|
49,744
|
264
|
|
Series 2018-K157, Class C, PO, 9/25/2033 (a)
|
50,000
|
27,727
|
|
Series 2018-K159, Class C, PO, 11/25/2033 (a)
|
32,953
|
18,937
|
|
Series 2018-K159, Class X2B, IO, 0.10%, 11/25/2033 (a)
|
22,000
|
123
|
|
Series 19K-1510, Class C, 0.00%, 1/25/2034 (a)
|
51,057
|
27,467
|
|
Series 19K-1511, Class C, PO, 4/25/2034 (a)
|
30,000
|
15,863
|
|
Series 19K-1514, Class C, 0.00%, 10/25/2034 (a)
|
22,975
|
11,975
|
|
Series 21K-1519, Class C, PO, 12/25/2035 (a)
|
52,000
|
25,449
|
|
Series 21K-1519, Class X2B, IO, 0.10%, 12/25/2035 (a)
|
52,000
|
350
|
|
Series 2016-K56, Class B, 3.84%, 6/25/2049 (a) (i)
|
3,445
|
3,435
|
|
Series 2017-K68, Class D, PO, 10/25/2049 (a)
|
53,000
|
47,699
|
|
Series 2017-K69, Class D, PO, 10/25/2049 (a)
|
61,000
|
54,096
|
|
Series 2017-K69, Class X2B, IO, 0.10%, 10/25/2049 (a)
|
228,310
|
270
|
|
Series 2017-K68, Class B, 3.84%, 10/25/2049 (a) (i)
|
9,147
|
9,023
|
|
Series 2016-K59, Class B, 3.56%, 11/25/2049 (a) (i)
|
4,576
|
4,551
|
|
Series 2017-K61, Class C, 3.70%, 12/25/2049 (a) (i)
|
5,189
|
5,139
|
|
Series 2017-K63, Class B, 3.88%, 2/25/2050 (a) (i)
|
11,547
|
11,477
|
|
Series 2017-K63, Class C, 3.88%, 2/25/2050 (a) (i)
|
4,854
|
4,814
|
|
Series 2018-K74, Class B, 4.09%, 2/25/2051 (a) (i)
|
9,707
|
9,538
|
|
Series 2018-K81, Class D, PO, 9/25/2051 (a)
|
56,700
|
46,338
|
|
Series 2018-K83, Class D, PO, 11/25/2051 (a)
|
33,400
|
27,185
|
|
Series 2019-K92, Class D, PO, 5/25/2052 (a)
|
76,852
|
60,676
|
|
Series 2020-K116, Class D, PO, 9/25/2052 (a)
|
87,436
|
59,792
|
|
Series 2020-K116, Class X2A, IO, 0.10%, 9/25/2052 (a)
|
896,255
|
2,708
|
|
Series 2020-K116, Class X2B, IO, 0.10%, 9/25/2052 (a)
|
223,000
|
735
|
|
Series 2019-K98, Class B, 3.74%, 10/25/2052 (a) (i)
|
10,678
|
10,282
|
|
Series 2020-K740, Class D, PO, 11/25/2052 (a)
|
38,200
|
34,209
|
|
Series 2020-K740, Class X2A, IO, 0.10%, 11/25/2052 (a)
|
395,153
|
378
|
|
Series 2020-K740, Class X2B, IO, 0.10%, 11/25/2052 (a)
|
93,600
|
104
|
|
Series 2020-K105, Class D, PO, 3/25/2053 (a)
|
63,425
|
44,771
|
|
Series 2020-K105, Class X2A, IO, 0.10%, 3/25/2053 (a)
|
659,181
|
1,813
|
|
Series 2020-K105, Class X2B, IO, 0.10%, 3/25/2053 (a)
|
153,315
|
473
|
|
Series 2020-K109, Class D, PO, 5/25/2053 (a)
|
37,171
|
25,671
|
|
Series 2020-K113, Class D, PO, 5/25/2053 (a)
|
58,000
|
41,158
|
|
Series 2020-K109, Class X2A, IO, 0.10%, 5/25/2053 (a)
|
365,811
|
1,099
|
|
Series 2020-K109, Class X2B, IO, 0.10%, 5/25/2053 (a)
|
90,000
|
288
|
|
Series 2020-K115, Class D, PO, 9/25/2053 (a)
|
46,661
|
34,545
|
|
Series 2020-K115, Class X2A, IO, 0.10%, 9/25/2053 (a)
|
495,418
|
1,595
|
|
Series 2020-K115, Class X2B, IO, 0.10%, 9/25/2053 (a)
|
113,645
|
386
|
|
Series 2020-K118, Class D, PO, 10/25/2053 (a)
|
44,300
|
31,721
|
|
Series 2020-K118, Class X2A, IO, 0.10%, 10/25/2053 (a)
|
478,351
|
1,585
|
|
Series 2020-K118, Class X2B, IO, 0.10%, 10/25/2053 (a)
|
98,937
|
345
|
|
Series 2020-K739, Class D, PO, 11/25/2053 (a)
|
40,021
|
34,641
|
|
Series 2020-K739, Class X2A, IO, 0.10%, 11/25/2053 (a)
|
383,580
|
290
|
|
Series 2020-K739, Class X2B, IO, 0.10%, 11/25/2053 (a)
|
99,553
|
98
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2020-K122, Class D, PO, 1/25/2054 (a)
|
82,131
|
55,361
|
|
Series 2021-K126, Class D, PO, 1/25/2054 (a)
|
42,427
|
29,074
|
|
Series 2020-K122, Class X2B, IO, 0.10%, 1/25/2054 (a)
|
200,000
|
709
|
|
Series 2021-K126, Class X2A, IO, 0.10%, 1/25/2054 (a)
|
432,696
|
1,531
|
|
Series 2021-K126, Class X2B, IO, 0.10%, 1/25/2054 (a)
|
111,000
|
423
|
|
Series 2023-K752, Class X2A, IO, 0.10%, 9/25/2060 (a)
|
434,947
|
1,358
|
|
FREMF Trust Series 2018-KW04, Class C, PO, 12/25/2032 (a)
|
23,362
|
16,395
|
|
GAM Re-REMIC Trust
|
|
|
|
Series 2021-FRR1, Class 1D, PO, 11/29/2050 ‡ (a)
|
2,134
|
1,980
|
|
Series 2022-FRR3, Class CK89, PO, 1/27/2052 ‡ (a)
|
8,540
|
7,012
|
|
GAM Re-REMIC TRUST
|
|
|
|
Series 2021-FRR2, Class CK78, PO, 9/27/2051 ‡ (a)
|
14,300
|
11,567
|
|
Series 2021-FRR2, Class BK78, 2.34%, 9/27/2051 (a) (i)
|
5,734
|
5,136
|
|
GS Mortgage Securities Trust Series 2019-GC38, Class A4, 3.97%, 2/10/2052
|
30,190
|
29,641
|
|
HCFT 7.25%, 1/13/2027 ‡
|
28,011
|
27,764
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class F, 2.72%, 12/15/2036 (a)
|
40,772
|
26,269
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-01, Class M10, 6.98%, 10/25/2049 (a) (i)
|
27,844
|
28,115
|
|
Series 2020-01, Class M10, 7.48%, 3/25/2050 (a) (i)
|
38,879
|
39,454
|
|
Series 2023-01, Class M10, 10.11%, 11/25/2053 (a) (i)
|
55,430
|
63,317
|
|
Series 2025-01, Class M1, 6.01%, 5/25/2055 (a) (i)
|
15,985
|
16,207
|
|
NW Re-REMIC TRUST Series 2021-FRR1, Class BK88, 2.59%, 12/18/2051 ‡ (a) (i)
|
8,882
|
7,718
|
|
PRM7 Trust Series 2025-PRM7, Class E, 6.62%, 11/10/2042 (a) (i)
|
13,390
|
13,342
|
|
RFT TRUST
|
|
|
|
Series 2024-2, Class A1, 7.11%, 9/27/2028 (a) (h)
|
20,384
|
20,247
|
|
Series 2024-2, Class A2, 8.81%, 9/27/2028 (a) (h)
|
33,333
|
33,079
|
|
ROCK Trust Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (a)
|
15,550
|
15,769
|
|
SBALR Commercial Mortgage Trust
|
|
|
|
Series 2020-RR1, Class XA, IO, 1.20%, 2/13/2053 (a) (i)
|
50,402
|
1,698
|
|
Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (a)
|
30,590
|
26,628
|
|
SMRT Series 2022-MINI, Class E, 6.33%, 1/15/2039 (a) (i)
|
3,000
|
2,993
|
|
WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.22%, 3/15/2045 (a) (i)
|
5,887
|
5,372
|
|
WHARF Commercial Mortgage Trust Series 2025-DC, Class D, 6.61%, 7/15/2040 (a) (i)
|
6,095
|
6,274
|
|
Total Commercial Mortgage-Backed Securities
(Cost $2,891,865)
|
|
2,877,001
|
|
Collateralized Mortgage Obligations — 3.9%
|
||
|
ABL
|
|
|
|
Series 2024-RTL1, Class A1, 6.08%, 9/25/2029 (a) (h)
|
9,350
|
9,372
|
|
Series 2025-RTL1, Class A1, 6.04%, 6/25/2030 (a) (h)
|
39,010
|
39,306
|
|
Series 2025-RTL1, Class A2, 8.02%, 6/25/2030 (a) (h)
|
12,000
|
12,079
|
|
Al, 5.59%, 10/25/2029 ‡
|
40,000
|
40,000
|
|
Alternative Loan Trust
|
|
|
|
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025
|
—
|
—
|
|
Series 2003-J3, Class 2A1, 6.25%, 12/25/2033
|
9
|
9
|
|
Series 2004-22CB, Class 1A1, 6.00%, 10/25/2034
|
149
|
151
|
|
Series 2005-23CB, Class A2, 5.50%, 7/25/2035
|
104
|
82
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
420
|
315
|
|
Series 2005-86CB, Class A11, 5.50%, 2/25/2036
|
270
|
146
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-26CB, Class A9, 6.50%, 9/25/2036
|
110
|
50
|
|
American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (i)
|
—
|
—
|
|
Anchor Mortgage Trust
|
|
|
|
8.23%, 3/25/2031 ‡ (i)
|
10,735
|
10,762
|
|
10.14%, 3/25/2031 ‡ (i)
|
7,500
|
7,578
|
|
Series 2025-RTL1, Class M1, 7.96%, 5/25/2040 (a) (i)
|
7,600
|
7,609
|
|
Banc of America Alternative Loan Trust Series 2004-6, Class 4A1, 5.00%, 7/25/2019
|
9
|
8
|
|
Banc of America Funding Trust
|
|
|
|
Series 2005-5, Class 3A5, 5.50%, 8/25/2035
|
418
|
412
|
|
Series 2005-7, Class 30, PO, 11/25/2035
|
16
|
16
|
|
Banc of America Mortgage Trust Series 2004-F, Class 1A1, 5.78%, 7/25/2034 (i)
|
32
|
31
|
|
Bear Stearns ARM Trust Series 2003-7, Class 3A, 6.25%, 10/25/2033 (i)
|
8
|
8
|
|
Center Street Lending Resi-Investor ABS Mortgage Trust Series 2024-RTL1, Class A2,
8.34%, 10/25/2029 ‡ (a) (h)
|
8,691
|
8,767
|
|
Chase Mortgage Finance Trust Series 2007-A2, Class 2A1, 6.14%, 6/25/2035 (i)
|
168
|
169
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2004-3, Class A25, 5.75%, 4/25/2034
|
48
|
48
|
|
Series 2004-5, Class 2A9, 5.25%, 5/25/2034
|
53
|
52
|
|
Series 2005-22, Class 2A1, 4.78%, 11/25/2035 (i)
|
112
|
93
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2004-UST1, Class A3, 6.41%, 8/25/2034 (i)
|
22
|
21
|
|
Series 2004-HYB4, Class AA, 4.03%, 12/25/2034 (i)
|
14
|
13
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) Series 2005-7,
Class 5A1, 4.75%, 8/25/2020
|
1
|
—
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2005-10, Class 6A13, 5.50%, 11/25/2035
|
166
|
57
|
|
Series 2005-10, Class 10A4, 6.00%, 11/25/2035
|
194
|
43
|
|
CVS Pass-Through Trust
|
|
|
|
Series 2009, 8.35%, 7/10/2031 (a)
|
158
|
171
|
|
5.77%, 1/10/2033 (a)
|
215
|
216
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2017-2, Class HB, 3.00%, 8/25/2056 (h)
|
12,000
|
9,664
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
7,371
|
6,707
|
|
Series 2018-4, Class HZ, 3.00%, 3/25/2058
|
13,053
|
9,195
|
|
Series 2019-3, Class MT, 3.50%, 10/25/2058
|
31,639
|
28,536
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
11,385
|
10,677
|
|
Series 2019-4, Class MB, 3.00%, 2/25/2059
|
41,680
|
31,801
|
|
Series 2020-1, Class MB, 2.50%, 8/25/2059
|
31,961
|
23,354
|
|
Series 2021-1, Class BXS, 11.62%, 9/25/2060 (a) (i)
|
10,069
|
7,626
|
|
Series 2021-2, Class BXS, 12.76%, 11/25/2060 (a) (i)
|
4,716
|
3,529
|
|
Series 2022-1, Class MTU, 3.25%, 11/25/2061
|
24,514
|
21,192
|
|
Series 2023-1, Class MT, 3.00%, 10/25/2062
|
21,024
|
17,604
|
|
Series 2024-2, Class MT, 3.50%, 5/25/2064
|
35,696
|
31,270
|
|
FHLMC, REMIC
|
|
|
|
Series 4030, Class IL, IO, 3.50%, 4/15/2027
|
4
|
—
|
|
Series 4060, Class TB, 2.50%, 6/15/2027
|
674
|
668
|
|
Series 2022, Class PE, 6.50%, 1/15/2028
|
1
|
1
|
|
Series 2036, Class PG, 6.50%, 1/15/2028
|
7
|
7
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
2
|
—
|
|
Series 2091, Class PG, 6.00%, 11/15/2028
|
30
|
30
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2116, Class ZA, 6.00%, 1/15/2029
|
8
|
8
|
|
Series 2148, Class ZA, 6.00%, 4/15/2029
|
2
|
2
|
|
Series 2995, Class FT, 4.01%, 5/15/2029 (i)
|
14
|
13
|
|
Series 2530, Class SK, IF, IO, 4.34%, 6/15/2029 (i)
|
47
|
2
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
3
|
3
|
|
Series 3648, Class CY, 4.50%, 3/15/2030
|
77
|
77
|
|
Series 2293, Class ZA, 6.00%, 3/15/2031
|
10
|
11
|
|
Series 2310, Class Z, 6.00%, 4/15/2031
|
2
|
2
|
|
Series 2313, Class LA, 6.50%, 5/15/2031
|
1
|
1
|
|
Series 2325, Class JO, PO, 6/15/2031
|
15
|
14
|
|
Series 2330, Class PE, 6.50%, 6/15/2031
|
27
|
28
|
|
Series 2410, Class QB, 6.25%, 2/15/2032
|
68
|
69
|
|
Series 2534, Class SI, IF, 11.29%, 2/15/2032 (i)
|
8
|
9
|
|
Series 2427, Class GE, 6.00%, 3/15/2032
|
171
|
175
|
|
Series 2430, Class WF, 6.50%, 3/15/2032
|
114
|
118
|
|
Series 2594, Class IV, IO, 7.00%, 3/15/2032
|
18
|
2
|
|
Series 2643, Class SA, IF, 21.08%, 3/15/2032 (i)
|
2
|
2
|
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
12
|
13
|
|
Series 4146, Class KI, IO, 3.00%, 12/15/2032
|
1,358
|
89
|
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
74
|
76
|
|
Series 2557, Class HL, 5.30%, 1/15/2033
|
39
|
39
|
|
Series 2586, IO, 6.50%, 3/15/2033
|
67
|
5
|
|
Series 2610, Class UI, IO, 6.50%, 5/15/2033
|
60
|
7
|
|
Series 2764, Class S, IF, 4.36%, 7/15/2033 (i)
|
9
|
9
|
|
Series 2656, Class AC, 6.00%, 8/15/2033
|
28
|
29
|
|
Series 2733, Class SB, IF, 4.63%, 10/15/2033 (i)
|
77
|
75
|
|
Series 3005, Class PV, IF, 6.82%, 10/15/2033 (i)
|
—
|
—
|
|
Series 2699, Class W, 5.50%, 11/15/2033
|
69
|
71
|
|
Series 3611, PO, 7/15/2034
|
18
|
16
|
|
Series 2845, Class QH, 5.00%, 8/15/2034
|
52
|
53
|
|
Series 2912, Class EH, 5.50%, 1/15/2035
|
288
|
294
|
|
Series 3059, Class B, 5.00%, 2/15/2035
|
—
|
—
|
|
Series 2980, Class QB, 6.50%, 5/15/2035
|
9
|
9
|
|
Series 3031, Class BN, IF, 6.94%, 8/15/2035 (i)
|
143
|
143
|
|
Series 3117, Class EO, PO, 2/15/2036
|
35
|
31
|
|
Series 3134, PO, 3/15/2036
|
11
|
10
|
|
Series 3152, Class MO, PO, 3/15/2036
|
69
|
61
|
|
Series 3184, Class YO, PO, 3/15/2036
|
166
|
144
|
|
Series 3138, PO, 4/15/2036
|
14
|
12
|
|
Series 3187, Class Z, 5.00%, 7/15/2036
|
334
|
336
|
|
Series 3542, Class TN, IF, 6.00%, 7/15/2036 (i)
|
7
|
8
|
|
Series 3201, Class IN, IF, IO, 2.49%, 8/15/2036 (i)
|
67
|
4
|
|
Series 3202, Class HI, IF, IO, 2.89%, 8/15/2036 (i)
|
243
|
20
|
|
Series 3855, Class AM, 6.50%, 11/15/2036
|
28
|
29
|
|
Series 3274, Class B, 6.00%, 2/15/2037
|
42
|
44
|
|
Series 3292, Class DO, PO, 3/15/2037
|
18
|
16
|
|
Series 3305, Class IW, IF, IO, 2.69%, 4/15/2037 (i)
|
91
|
4
|
|
Series 3306, Class TC, IF, 5.97%, 4/15/2037 (i)
|
7
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 3306, Class TB, IF, 6.51%, 4/15/2037 (i)
|
8
|
8
|
|
Series 3331, PO, 6/15/2037
|
17
|
15
|
|
Series 3605, Class NC, 5.50%, 6/15/2037
|
208
|
213
|
|
Series 3383, Class OP, PO, 11/15/2037
|
29
|
25
|
|
Series 3409, Class DB, 6.00%, 1/15/2038
|
131
|
136
|
|
Series 3546, Class A, 5.87%, 2/15/2039 (i)
|
25
|
26
|
|
Series 3531, Class SM, IF, IO, 2.34%, 5/15/2039 (i)
|
9
|
1
|
|
Series 3572, Class JS, IF, IO, 3.04%, 9/15/2039 (i)
|
17
|
1
|
|
Series 3592, Class BZ, 5.00%, 10/15/2039
|
798
|
802
|
|
Series 3609, Class SA, IF, IO, 2.58%, 12/15/2039 (i)
|
121
|
7
|
|
Series 3610, Class CA, 4.50%, 12/15/2039
|
68
|
67
|
|
Series 3653, Class HJ, 5.00%, 4/15/2040
|
33
|
33
|
|
Series 3677, Class PB, 4.50%, 5/15/2040
|
452
|
452
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (i)
|
68
|
66
|
|
Series 4796, Class CZ, 4.00%, 5/15/2048
|
8,935
|
8,376
|
|
Series 4830, Class WZ, 4.00%, 9/15/2048
|
9,093
|
8,516
|
|
Series 4995, Class QE, 1.25%, 7/25/2050
|
29,112
|
22,515
|
|
Series 5354, PO, 10/25/2053
|
2,643
|
1,816
|
|
FHLMC, STRIPS
|
|
|
|
Series 186, PO, 8/1/2027
|
6
|
6
|
|
Series 262, Class 35, 3.50%, 7/15/2042
|
1,250
|
1,164
|
|
Series 279, Class 35, 3.50%, 9/15/2042
|
329
|
306
|
|
Series 323, Class 300, 3.00%, 1/15/2044
|
1,250
|
1,134
|
|
Series 334, Class 300, 3.00%, 8/15/2044
|
1,207
|
1,096
|
|
Series 406, PO, 10/25/2053
|
10,306
|
8,792
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan Series T-76, Class 2A, 2.11%,
10/25/2037 (i)
|
161
|
147
|
|
First Horizon Alternative Mortgage Securities Trust Series 2004-AA3, Class A1, 4.79%,
9/25/2034 (i)
|
22
|
22
|
|
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.33%, 12/25/2034 (i)
|
34
|
34
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2003-W3, Class 2A5, 5.36%, 6/25/2042
|
5
|
5
|
|
Series 2003-W6, Class 1A41, 5.40%, 10/25/2042
|
53
|
54
|
|
Series 2004-W2, Class 1A, 6.00%, 2/25/2044
|
51
|
51
|
|
Series 2004-W9, Class 1A3, 6.05%, 2/25/2044
|
115
|
118
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
12
|
12
|
|
Series 2004-W8, Class 3A, 7.50%, 6/25/2044
|
23
|
23
|
|
Series 2005-W4, Class 1A1, 6.00%, 8/25/2045
|
47
|
48
|
|
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027
|
95,475
|
94,184
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 2001-T12, IO, 0.50%, 8/25/2041 (i)
|
4,391
|
13
|
|
Series 2002-T4, IO, 0.40%, 12/25/2041 (i)
|
11,435
|
242
|
|
Series 2002-T4, Class A2, 7.00%, 12/25/2041
|
135
|
139
|
|
Series 2002-T4, Class A4, 9.50%, 12/25/2041
|
234
|
252
|
|
Series 2002-T19, Class A1, 6.50%, 7/25/2042
|
202
|
210
|
|
Series 2002-T16, Class A2, 7.00%, 7/25/2042
|
256
|
268
|
|
Series 2004-T2, Class 1A3, 7.00%, 11/25/2043
|
66
|
68
|
|
Series 2004-T2, Class 1A4, 7.50%, 11/25/2043
|
70
|
70
|
|
Series 2004-T1, Class 1A1, 6.00%, 1/25/2044
|
88
|
91
|
|
Series 2004-T3, Class 14, IO, 0.62%, 2/25/2044 (i)
|
1,606
|
6
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FNMA, REMIC
|
|
|
|
Series 1997-11, Class E, 7.00%, 3/18/2027
|
—
|
—
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
—
|
—
|
|
Series 2012-46, Class KI, IO, 3.50%, 5/25/2027
|
38
|
—
|
|
Series 1997-42, Class EG, 8.00%, 7/18/2027
|
2
|
2
|
|
Series 2013-13, Class IK, IO, 2.50%, 3/25/2028
|
464
|
7
|
|
Series 1999-47, Class JZ, 8.00%, 9/18/2029
|
12
|
12
|
|
Series 2000-8, Class Z, 7.50%, 2/20/2030
|
19
|
19
|
|
Series 2001-36, Class ST, IF, IO, 4.77%, 11/25/2030 (i)
|
29
|
2
|
|
Series 2001-14, Class Z, 6.00%, 5/25/2031
|
11
|
11
|
|
Series 2001-16, Class Z, 6.00%, 5/25/2031
|
12
|
13
|
|
Series 2001-72, Class SB, IF, IO, 3.77%, 12/25/2031 (i)
|
74
|
4
|
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
136
|
141
|
|
Series 2002-19, Class SC, IF, 7.60%, 3/17/2032 (i)
|
—
|
—
|
|
Series 2002-56, Class PE, 6.00%, 9/25/2032
|
185
|
189
|
|
Series 2002-86, Class PG, 6.00%, 12/25/2032
|
132
|
135
|
|
Series 2012-148, Class IE, IO, 3.00%, 1/25/2033
|
1,403
|
87
|
|
Series 2003-25, Class KP, 5.00%, 4/25/2033
|
341
|
338
|
|
Series 2003-22, Class Z, 6.00%, 4/25/2033
|
98
|
101
|
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
112
|
115
|
|
Series 2003-64, Class SX, IF, 4.34%, 7/25/2033 (i)
|
7
|
7
|
|
Series 2003-91, Class SD, IF, 6.29%, 9/25/2033 (i)
|
2
|
2
|
|
Series 2003-130, Class HZ, 6.00%, 1/25/2034
|
3,239
|
3,357
|
|
Series 2004-72, Class F, 4.23%, 9/25/2034 (i)
|
13
|
13
|
|
Series 2005-19, Class PB, 5.50%, 3/25/2035
|
598
|
611
|
|
Series 2005-42, Class PS, IF, 7.68%, 5/25/2035 (i)
|
1
|
1
|
|
Series 2005-51, Class MO, PO, 6/25/2035
|
16
|
11
|
|
Series 2005-53, Class CS, IF, IO, 2.97%, 6/25/2035 (i)
|
79
|
3
|
|
Series 2005-65, Class KO, PO, 8/25/2035
|
18
|
17
|
|
Series 2005-72, Class WS, IF, IO, 3.02%, 8/25/2035 (i)
|
29
|
2
|
|
Series 2005-84, Class XM, 5.75%, 10/25/2035
|
17
|
18
|
|
Series 2005-90, Class ES, IF, 7.56%, 10/25/2035 (i)
|
9
|
9
|
|
Series 2005-106, Class US, IF, 10.90%, 11/25/2035 (i)
|
5
|
5
|
|
Series 2006-9, Class KZ, 6.00%, 3/25/2036
|
79
|
82
|
|
Series 2006-22, Class AO, PO, 4/25/2036
|
39
|
35
|
|
Series 2006-27, Class OB, PO, 4/25/2036
|
342
|
285
|
|
Series 2006-27, Class OH, PO, 4/25/2036
|
7
|
7
|
|
Series 2006-20, Class IB, IF, IO, 2.86%, 4/25/2036 (i)
|
78
|
7
|
|
Series 2011-19, Class ZY, 6.50%, 7/25/2036
|
70
|
74
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
32
|
33
|
|
Series 2006-110, PO, 11/25/2036
|
39
|
34
|
|
Series 2006-128, PO, 1/25/2037
|
44
|
38
|
|
Series 2007-10, Class Z, 6.00%, 2/25/2037
|
14
|
15
|
|
Series 2007-22, Class SC, IF, IO, 2.35%, 3/25/2037 (i)
|
4
|
—
|
|
Series 2007-54, Class IB, IF, IO, 2.68%, 6/25/2037 (i)
|
1,338
|
132
|
|
Series 2007-109, Class YI, IF, IO, 2.72%, 12/25/2037 (i)
|
666
|
66
|
|
Series 2008-91, Class SI, IF, IO, 2.27%, 3/25/2038 (i)
|
118
|
4
|
|
Series 2010-70, Class SA, IF, IO, 6.00%, 4/25/2038 (i)
|
289
|
37
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2008-62, Class SM, IF, IO, 2.47%, 7/25/2038 (i)
|
269
|
16
|
|
Series 2009-29, Class LA, 1.06%, 5/25/2039 (i)
|
136
|
123
|
|
Series 2009-52, Class PI, IO, 5.00%, 7/25/2039
|
80
|
11
|
|
Series 2009-112, Class ST, IF, IO, 2.52%, 1/25/2040 (i)
|
147
|
13
|
|
Series 2009-112, Class SW, IF, IO, 2.52%, 1/25/2040 (i)
|
96
|
8
|
|
Series 2010-10, Class NT, 5.00%, 2/25/2040
|
358
|
362
|
|
Series 2010-49, Class SC, IF, 5.21%, 3/25/2040 (i)
|
51
|
49
|
|
Series 2010-35, Class SB, IF, IO, 2.69%, 4/25/2040 (i)
|
135
|
8
|
|
Series 2010-129, Class PZ, 4.50%, 11/25/2040
|
1,246
|
1,183
|
|
Series 2011-126, Class KB, 4.00%, 12/25/2041
|
4,227
|
4,148
|
|
Series 2016-33, Class JA, 3.00%, 7/25/2045
|
5,137
|
4,849
|
|
Series 2016-38, Class NA, 3.00%, 1/25/2046
|
4,240
|
3,949
|
|
Series 2007-71, Class GZ, 6.00%, 7/25/2047
|
51
|
54
|
|
Series 2019-20, Class H, 3.50%, 5/25/2049
|
5,089
|
4,616
|
|
Series 2025-18, Class MA, 0.50%, 9/25/2054
|
62,121
|
52,610
|
|
Series 2026-40, Class DT, 0.25%, 6/25/2056
|
24,000
|
19,315
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2002-W7, Class 1, IO, 0.85%, 6/25/2029 (i)
|
1,675
|
29
|
|
Series 2001-W3, Class A, 7.00%, 9/25/2041 (i)
|
71
|
71
|
|
Series 2002-W10, IO, 0.91%, 8/25/2042 (i)
|
933
|
38
|
|
Series 2003-W4, Class 2A, 4.96%, 10/25/2042 (i)
|
37
|
37
|
|
Series 2004-W11, Class 11, IO, 0.34%, 5/25/2044 (i)
|
5,728
|
187
|
|
FNMA, STRIPS
|
|
|
|
Series 313, Class 1, PO, 6/25/2031
|
141
|
130
|
|
Series 380, Class S36, IF, IO, 4.17%, 7/25/2037 (i)
|
51
|
6
|
|
Series 383, Class 68, IO, 6.50%, 9/25/2037
|
31
|
6
|
|
Series 383, Class 86, IO, 7.00%, 9/25/2037 (i)
|
18
|
3
|
|
Series 383, Class 69, IO, 6.50%, 10/25/2037 (i)
|
42
|
7
|
|
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.03%, 6/19/2035 (i)
|
15
|
14
|
|
GNMA
|
|
|
|
Series 2014-60, Class W, 4.08%, 2/20/2029 (i)
|
44
|
44
|
|
Series 2003-52, Class SB, IF, 5.01%, 6/16/2033 (i)
|
18
|
17
|
|
Series 2003-101, Class SK, IF, IO, 2.82%, 10/17/2033 (i)
|
222
|
1
|
|
Series 2004-2, Class SA, IF, 6.73%, 1/16/2034 (i)
|
75
|
75
|
|
Series 2004-19, Class KE, 5.00%, 3/16/2034
|
631
|
630
|
|
Series 2004-86, Class SP, IF, IO, 2.38%, 9/20/2034 (i)
|
8
|
—
|
|
Series 2004-90, Class SI, IF, IO, 2.38%, 10/20/2034 (i)
|
117
|
3
|
|
Series 2010-31, Class SK, IF, IO, 2.38%, 11/20/2034 (i)
|
81
|
—
|
|
Series 2004-105, Class SN, IF, IO, 2.38%, 12/20/2034 (i)
|
270
|
1
|
|
Series 2005-56, Class IC, IO, 5.50%, 7/20/2035
|
19
|
2
|
|
Series 2006-26, Class S, IF, IO, 2.78%, 6/20/2036 (i)
|
219
|
1
|
|
Series 2006-33, Class PK, 6.00%, 7/20/2036
|
66
|
67
|
|
Series 2009-81, Class A, 5.75%, 9/20/2036
|
33
|
33
|
|
Series 2007-7, Class EI, IF, IO, 2.48%, 2/20/2037 (i)
|
317
|
17
|
|
Series 2007-9, Class CI, IF, IO, 2.48%, 3/20/2037 (i)
|
212
|
11
|
|
Series 2007-17, Class JO, PO, 4/16/2037
|
23
|
19
|
|
Series 2007-16, Class KU, IF, IO, 2.93%, 4/20/2037 (i)
|
198
|
1
|
|
Series 2007-22, Class PK, 5.50%, 4/20/2037
|
330
|
333
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2007-26, Class SC, IF, IO, 2.48%, 5/20/2037 (i)
|
68
|
—
|
|
Series 2007-24, Class SA, IF, IO, 2.79%, 5/20/2037 (i)
|
304
|
12
|
|
Series 2009-16, Class SJ, IF, IO, 3.08%, 5/20/2037 (i)
|
324
|
10
|
|
Series 2008-34, Class OC, PO, 6/20/2037
|
67
|
51
|
|
Series 2009-106, Class XL, IF, IO, 3.03%, 6/20/2037 (i)
|
93
|
3
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
47
|
39
|
|
Series 2007-67, Class SI, IF, IO, 2.79%, 11/20/2037 (i)
|
65
|
—
|
|
Series 2008-40, Class SA, IF, IO, 2.66%, 5/16/2038 (i)
|
175
|
7
|
|
Series 2008-40, Class PS, IF, IO, 2.76%, 5/16/2038 (i)
|
81
|
4
|
|
Series 2008-50, Class SA, IF, IO, 2.51%, 6/20/2038 (i)
|
500
|
25
|
|
Series 2008-49, Class PH, 5.25%, 6/20/2038
|
354
|
353
|
|
Series 2008-55, Class PL, 5.50%, 6/20/2038
|
334
|
334
|
|
Series 2009-12, Class IE, IO, 5.50%, 3/20/2039
|
136
|
1
|
|
Series 2009-75, Class IY, IO, 5.50%, 6/20/2039
|
40
|
1
|
|
Series 2009-72, Class SM, IF, IO, 2.51%, 8/16/2039 (i)
|
110
|
7
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
111
|
95
|
|
Series 2015-157, Class GA, 3.00%, 1/20/2045
|
166
|
160
|
|
Series 2025-6, Class GA, 3.50%, 1/20/2048
|
51,162
|
48,792
|
|
Series 2022-83, Class GZ, 3.00%, 5/20/2052
|
16,280
|
13,179
|
|
Series 2012-H11, Class FA, 4.48%, 2/20/2062 (i)
|
480
|
481
|
|
Series 2012-H18, Class FA, 4.33%, 8/20/2062 (i)
|
54
|
54
|
|
Series 2013-H04, Class BA, 1.65%, 2/20/2063
|
5
|
5
|
|
Series 2013-H20, Class FB, 4.78%, 8/20/2063 (i)
|
126
|
127
|
|
Series 2013-H23, Class FA, 5.08%, 9/20/2063 (i)
|
175
|
176
|
|
Series 2015-H02, Class HA, 2.50%, 1/20/2065
|
67
|
64
|
|
Series 2015-H04, Class FL, 4.25%, 2/20/2065 (i)
|
687
|
686
|
|
Series 2015-H23, Class FB, 4.30%, 9/20/2065 (i)
|
773
|
773
|
|
Series 2015-H32, Class FH, 4.44%, 12/20/2065 (i)
|
84
|
85
|
|
Series 2016-H16, Class FD, 5.16%, 6/20/2066 (i)
|
1,205
|
1,215
|
|
Series 2016-H17, Class FC, 4.61%, 8/20/2066 (i)
|
967
|
972
|
|
Series 2017-H08, Class XI, IO, 2.20%, 3/20/2067 (i)
|
3,888
|
163
|
|
Series 2017-H11, Class XI, IO, 1.76%, 5/20/2067 (i)
|
12,633
|
438
|
|
Series 2017-H14, Class XI, IO, 1.85%, 6/20/2067 (i)
|
5,529
|
138
|
|
Series 2017-H14, Class AI, IO, 2.26%, 6/20/2067 (i)
|
4,299
|
176
|
|
Series 2017-H23, Class FA, 4.26%, 10/20/2067 (i)
|
4,563
|
4,557
|
|
Series 2019-H09, Class FA, 4.28%, 5/20/2069 (i)
|
3,928
|
3,924
|
|
Series 2021-H10, Class AF, 5.13%, 6/20/2071 (i)
|
22,074
|
22,615
|
|
GS Mortgage-Backed Securities Trust Series 2025-RPL3, Class A1, 4.10%, 7/25/2065 (a) (h)
|
18,652
|
18,088
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2003-7F, Class 1A4, 5.25%, 6/25/2033
|
26
|
26
|
|
Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
27
|
27
|
|
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034
|
38
|
38
|
|
Series 2004-8F, Class 2A3, 6.00%, 9/25/2034
|
12
|
12
|
|
Series 2005-5F, Class 8A1, 4.20%, 6/25/2035 (i)
|
6
|
6
|
|
Series 2005-5F, Class 8A3, 4.20%, 6/25/2035 (i)
|
4
|
4
|
|
Home RE Ltd. (Bermuda) Series 2022-1, Class M1C, 9.11%, 10/25/2034 (a) (i)
|
10,656
|
10,914
|
|
ICAP Trust Series 2025-RTL1, Class A1, 6.47%, 7/25/2030 (a) (h)
|
20,000
|
20,209
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Impac CMB Trust
|
|
|
|
Series 2004-10, Class 3A1, 4.40%, 3/25/2035 (i)
|
57
|
56
|
|
Series 2004-10, Class 3A2, 4.50%, 3/25/2035 (i)
|
37
|
37
|
|
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033
|
3
|
2
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2004-S2, Class 5A1, 5.50%, 12/25/2019
|
14
|
14
|
|
Series 2006-A2, Class 5A3, 6.31%, 11/25/2033 (i)
|
16
|
16
|
|
Series 2006-A2, Class 4A1, 6.25%, 8/25/2034 (i)
|
40
|
41
|
|
Series 2004-S1, Class 3A1, 5.50%, 9/25/2034
|
14
|
14
|
|
Series 2004-S2, Class 4A5, 6.00%, 11/25/2034
|
144
|
130
|
|
Series 2007-A1, Class 5A2, 5.81%, 7/25/2035 (i)
|
9
|
9
|
|
LOANDEPOT GMSR Master Trust Series 2025-GT2, Class A, 6.78%, 7/16/2030 (a) (i)
|
20,000
|
20,036
|
|
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 6.02%, 4/21/2034 (i)
|
10
|
10
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-8, Class 6A1, 5.50%, 9/25/2019
|
—
|
—
|
|
Series 2004-6, Class 7A1, 6.00%, 7/25/2034
|
125
|
122
|
|
Series 2004-6, Class 6A1, 6.50%, 7/25/2034
|
132
|
133
|
|
Series 2004-7, Class 30, PO, 8/25/2034
|
12
|
8
|
|
Series 2004-7, Class 3A1, 6.50%, 8/25/2034
|
7
|
7
|
|
MASTR Asset Securitization Trust
|
|
|
|
Series 2004-6, Class 15, PO, 7/25/2019 ‡
|
—
|
—
|
|
Series 2004-6, Class 3A1, 5.25%, 7/25/2019 ‡
|
—
|
—
|
|
Series 2004-P7, Class A6, 5.50%, 12/27/2033 (a)
|
21
|
18
|
|
MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (a)
|
6
|
4
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2004-C, Class A2, 4.63%, 7/25/2029 (i)
|
14
|
14
|
|
Series 2004-D, Class A3, 5.73%, 9/25/2029 (i)
|
5
|
5
|
|
MFA Trust Series 2024-NPL1, Class A1, 6.33%, 9/25/2054 (a) (h)
|
10,119
|
10,134
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2004-3, Class 4A, 5.65%, 4/25/2034 (i)
|
71
|
70
|
|
Series 2004-7AR, Class 2A6, 5.23%, 9/25/2034 (i)
|
17
|
17
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (i)
|
51
|
44
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (h)
|
11,142
|
11,155
|
|
Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (a) (h)
|
15,200
|
15,268
|
|
NRM FHT1 Excess Owner LLC Series 2025-FHT1, Class A, 6.55%, 3/25/2032 (a) (h)
|
49,868
|
49,899
|
|
NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (a) (h)
|
13,629
|
13,628
|
|
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038
|
38
|
35
|
|
Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034
|
20
|
20
|
|
PRPM LLC Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (a) (h)
|
2,519
|
2,488
|
|
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 10.36%, 9/25/2032 (a) (i)
|
7,188
|
7,429
|
|
RALI Trust Series 2005-QS5, Class A4, 5.75%, 4/25/2035
|
475
|
416
|
|
Residential Asset Securitization Trust
|
|
|
|
Series 2003-A8, Class A1, 3.75%, 10/25/2018
|
8
|
7
|
|
Series 2006-A6, Class 2A13, 6.00%, 7/25/2036
|
82
|
36
|
|
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036 ‡ (a)
|
8
|
7
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2025-1, Class MTU, 3.25%, 11/25/2064
|
23,204
|
19,872
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2025-2, Class MTU, 3.25%, 6/25/2065
|
33,258
|
28,083
|
|
Seasoned Loans Structured Transaction Trust Series 2024-2, Class VF, 4.86%, 10/25/2034 (a) (i)
|
31,140
|
31,696
|
|
Sequoia Mortgage Trust Series 2004-8, Class A2, 4.76%, 9/20/2034 (i)
|
82
|
78
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-14, Class 1A, 4.83%, 10/25/2034 (i)
|
11
|
11
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-26A, Class 3A5, 5.08%, 9/25/2033 (i)
|
161
|
156
|
|
Series 2003-37A, Class 2A, 5.05%, 12/25/2033 (i)
|
24
|
24
|
|
Series 2003-37A, Class 1A, 5.46%, 12/25/2033 (i)
|
324
|
325
|
|
Towd Point Mortgage Trust
|
|
|
|
Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (a) (h)
|
767
|
761
|
|
Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (i)
|
32,231
|
28,802
|
|
Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a)
|
29,122
|
24,297
|
|
Vendee Mortgage Trust
|
|
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
9
|
9
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
85
|
86
|
|
Series 1999-1, Class 2Z, 6.50%, 1/15/2029
|
16
|
16
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-AR8, Class A, 5.18%, 8/25/2033 (i)
|
39
|
38
|
|
Series 2003-AR9, Class 1A6, 5.28%, 9/25/2033 (i)
|
30
|
30
|
|
Series 2004-AR3, Class A1, 4.90%, 6/25/2034 (i)
|
12
|
11
|
|
Series 2004-AR3, Class A2, 4.90%, 6/25/2034 (i)
|
108
|
103
|
|
Series 2004-S2, Class 2A4, 5.50%, 6/25/2034
|
88
|
86
|
|
Series 2004-AR11, Class A, 5.89%, 10/25/2034 (i)
|
74
|
69
|
|
Series 2005-AR2, Class 2A21, 4.36%, 1/25/2045 (i)
|
9
|
9
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class
CB7, 5.50%, 6/25/2035
|
182
|
168
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA1, Class
2A, 7.00%, 3/25/2034
|
63
|
64
|
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
Series 2004-K, Class 1A2, 6.49%, 7/25/2034 (i)
|
19
|
19
|
|
Series 2004-U, Class A1, 6.50%, 10/25/2034 (i)
|
45
|
45
|
|
Total Collateralized Mortgage Obligations
(Cost $1,038,579)
|
|
1,007,676
|
|
Foreign Government Securities — 1.4%
|
||
|
Arab Republic of Egypt
|
|
|
|
7.60%, 3/1/2029 (k)
|
1,400
|
1,446
|
|
8.63%, 2/4/2030 (a)
|
1,613
|
1,724
|
|
5.88%, 2/16/2031 (k)
|
1,600
|
1,557
|
|
7.63%, 5/29/2032 (k)
|
4,900
|
5,024
|
|
9.45%, 2/4/2033 (a)
|
1,938
|
2,148
|
|
7.30%, 9/30/2033 (k)
|
2,500
|
2,492
|
|
7.63%, 5/20/2034 (a)
|
8,841
|
8,885
|
|
8.50%, 1/31/2047 (k)
|
5,800
|
5,514
|
|
8.70%, 3/1/2049 (k)
|
2,500
|
2,394
|
|
8.88%, 5/29/2050 (k)
|
3,600
|
3,525
|
|
Argentine Republic
|
|
|
|
4.12%, 7/9/2035 (h)
|
29,440
|
22,684
|
|
3.50%, 7/9/2041 (h)
|
8,900
|
6,389
|
|
Benin Government Bond 7.96%, 2/13/2038 (a)
|
4,189
|
4,419
|
|
Commonwealth of the Bahamas 8.25%, 6/24/2036 (a)
|
4,143
|
4,631
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Dominican Republic Government Bond
|
|
|
|
6.00%, 2/22/2033 (a)
|
4,043
|
4,067
|
|
6.00%, 2/22/2033 (k)
|
5,243
|
5,274
|
|
5.88%, 1/30/2060 (a)
|
3,545
|
3,105
|
|
Federal Republic of Nigeria
|
|
|
|
6.13%, 9/28/2028 (a)
|
4,080
|
4,117
|
|
9.13%, 1/13/2046 (a)
|
9,070
|
10,136
|
|
Federative Republic of Brazil 7.13%, 5/13/2054
|
5,000
|
5,005
|
|
Hashemite Kingdom of Jordan
|
|
|
|
5.75%, 11/12/2032 (a)
|
11,892
|
11,684
|
|
7.38%, 10/10/2047 (k)
|
4,000
|
3,918
|
|
Islamic Republic of Pakistan
|
|
|
|
7.38%, 4/8/2031 (a)
|
9,000
|
8,841
|
|
8.88%, 4/8/2051 (a)
|
8,000
|
7,730
|
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
5,450
|
5,849
|
|
Plurinational State of Bolivia 9.45%, 5/14/2031 (a)
|
5,100
|
4,973
|
|
Republic of Angola
|
|
|
|
8.00%, 11/26/2029 (a)
|
657
|
668
|
|
9.88%, 10/15/2035 (a)
|
4,800
|
5,120
|
|
9.88%, 3/31/2037 (a)
|
3,700
|
3,878
|
|
Republic of Colombia
|
|
|
|
6.13%, 1/21/2031
|
2,669
|
2,658
|
|
7.50%, 2/2/2034
|
1,491
|
1,550
|
|
7.75%, 11/7/2036
|
2,090
|
2,188
|
|
Republic of Congo
|
|
|
|
8.75%, 4/16/2032 (a)
|
7,020
|
7,097
|
|
9.50%, 5/26/2036 (k)
|
5,489
|
5,477
|
|
9.50%, 4/16/2037 (a)
|
3,750
|
3,824
|
|
Republic of Costa Rica 7.30%, 11/13/2054 (a)
|
2,925
|
3,266
|
|
Republic of Cote d'Ivoire
|
|
|
|
6.13%, 6/15/2033 (k)
|
8,166
|
8,124
|
|
8.08%, 4/1/2036 (a)
|
6,350
|
6,910
|
|
8.25%, 1/30/2037 (a)
|
1,468
|
1,616
|
|
6.75%, 2/25/2041 (a)
|
7,483
|
7,151
|
|
Republic of Ecuador
|
|
|
|
8.75%, 1/29/2034 (a)
|
3,556
|
3,607
|
|
6.90%, 7/31/2035 (a) (h)
|
15,557
|
14,279
|
|
9.25%, 1/29/2039 (a)
|
13,681
|
14,064
|
|
5.00%, 7/31/2040 (a) (h)
|
6,311
|
5,273
|
|
Republic of El Salvador 9.65%, 11/21/2054 (a)
|
8,725
|
9,797
|
|
Republic of Guatemala 6.25%, 8/15/2036 (a)
|
4,546
|
4,729
|
|
Republic of Honduras 8.63%, 11/27/2034 (a)
|
4,900
|
5,584
|
|
Republic of Kenya
|
|
|
|
7.88%, 10/9/2033 (a)
|
4,080
|
4,020
|
|
9.50%, 3/5/2036 (a)
|
7,034
|
7,341
|
|
8.80%, 10/9/2038 (a)
|
5,750
|
5,737
|
|
Republic of Montenegro 7.25%, 3/12/2031 (a)
|
2,200
|
2,321
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Republic of Paraguay
|
|
|
|
5.60%, 3/13/2048 (k)
|
1,589
|
1,491
|
|
5.40%, 3/30/2050 (k)
|
11,431
|
10,404
|
|
Republic of South Africa
|
|
|
|
7.10%, 11/19/2036 (a)
|
7,049
|
7,525
|
|
7.30%, 4/20/2052
|
2,000
|
1,998
|
|
7.95%, 11/19/2054 (a)
|
6,371
|
6,785
|
|
7.25%, 12/11/2055 (a)
|
4,998
|
4,924
|
|
Republic of Srpska International Government Bond 6.38%, 5/8/2033 (a)
|
EUR2,350
|
2,722
|
|
Romania Government Bond 6.00%, 9/24/2044 (a)
|
EUR8,293
|
9,320
|
|
Suriname Government International Bond
|
|
|
|
7.70%, 11/6/2030 (a)
|
5,190
|
5,358
|
|
8.50%, 11/6/2035 (a)
|
8,515
|
9,122
|
|
Total Foreign Government Securities
(Cost $329,861)
|
|
343,459
|
|
Loan Assignments — 0.8% (o)
|
||
|
Aerospace & Defense — 0.0% ^
|
||
|
VSE Corp., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.00%), 5.47%, 5/5/2033 (c)
|
624
|
625
|
|
Automobile Components — 0.0% ^
|
||
|
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.00%), 5.62%, 1/31/2031 (c)
|
6,348
|
6,339
|
|
Building Products — 0.1%
|
||
|
EMRLD Borrower LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 5.92%, 5/31/2030 (c)
|
8,759
|
8,760
|
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 6.37%, 3/28/2031 (c)
|
3,211
|
3,141
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 5.87%,
3/19/2029 (c)
|
5,083
|
5,087
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 5.90%,
2/10/2032 (c)
|
3,564
|
3,564
|
|
|
|
20,552
|
|
Chemicals — 0.0% ^
|
||
|
Axalta Coating Systems US Holdings, Inc., 1st Lien Term Loan B-7 (3-MONTH CME TERM
SOFR + 1.75%), 5.45%, 12/20/2029 (c)
|
3,828
|
3,838
|
|
INEOS US Finance LLC, 1st Lien Term Loan (Luxembourg) (1-MONTH CME TERM SOFR + 3.25%),
6.90%, 2/18/2030 (c)
|
5,072
|
4,801
|
|
|
|
8,639
|
|
Consumer Staples Distribution & Retail — 0.0% ^
|
||
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan (15.83% (PIK)), 15.24%,
6/30/2026 ‡ (b) (i)
|
39
|
37
|
|
Moran Foods LLC, 1st Lien Term Loan
|
|
|
|
(3-MONTH CME TERM SOFR + 7.25%), 11.02%, 12/29/2028 ‡ (c)
|
1,604
|
341
|
|
(3-MONTH CME TERM SOFR + 7.25%), 11.02%, 12/29/2028 ‡ (c)
|
1,093
|
—
|
|
(3-MONTH CME TERM SOFR + 12.13% (PIK)), 15.79%, 1/2/2029 ‡ (b) (c)
|
293
|
279
|
|
Moran Foods LLC, 1st Lien Term Loan A (3-MONTH CME TERM SOFR + 6.13% (PIK)), 9.79%,
1/2/2029 ‡ (b) (c)
|
312
|
296
|
|
|
|
953
|
|
Containers & Packaging — 0.0% ^
|
||
|
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 5.87%,
1/26/2033 (c)
|
991
|
992
|
|
Diversified Consumer Services — 0.0% ^
|
||
|
Wand NewCo 3, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.15%, 1/30/2031 (c)
|
3,466
|
3,456
|
|
Financial Services — 0.0% ^
|
||
|
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 6.69%, 4/16/2029 (c)
|
1,446
|
1,441
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Ground Transportation — 0.1%
|
||
|
First Student Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.25%),
5.67%, 8/15/2030 (c)
|
3,302
|
3,311
|
|
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 2.25%), 5.95%,
8/15/2030 (c)
|
604
|
606
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 5.45%,
4/10/2031 (c)
|
6,304
|
6,294
|
|
|
|
10,211
|
|
Hotels, Restaurants & Leisure — 0.0% ^
|
||
|
Station Casinos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 5.62%,
3/14/2031 (c)
|
1,166
|
1,169
|
|
Independent Power and Renewable Electricity Producers — 0.0% ^
|
||
|
Talen Energy Supply LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 5.62%,
11/25/2032 (c)
|
1,175
|
1,164
|
|
Insurance — 0.1%
|
||
|
Asurion LLC, 1st Lien Term Loan B-13 (3-MONTH CME TERM SOFR + 4.25%), 7.91%, 9/19/2030 (c)
|
1,047
|
1,047
|
|
Asurion LLC, 1st Lien Term Loan B-14 (3-MONTH CME TERM SOFR + 3.75%), 7.41%, 2/23/2033 (c)
|
3,496
|
3,408
|
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.92%,
6/20/2030 (c)
|
4,335
|
4,343
|
|
USI, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.95%, 9/27/2030 (c)
|
5,196
|
5,194
|
|
|
|
13,992
|
|
IT Services — 0.0% ^
|
||
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 2.50%), 6.20%,
2/3/2031 (c)
|
3,872
|
3,864
|
|
MH Sub I LLC, 1st Lien Term Loan
|
|
|
|
(1-MONTH CME TERM SOFR + 4.25%), 7.87%, 5/3/2028 (c)
|
1,433
|
1,385
|
|
(1-MONTH CME TERM SOFR + 4.25%), 7.87%, 12/31/2031 (c)
|
2,425
|
2,090
|
|
|
|
7,339
|
|
Leisure Products — 0.0% ^
|
||
|
FGI Operating Co. LLC, 1st Lien Term Loan, 0.00%, 12/31/2026 ‡ (g) (i)
|
123
|
1
|
|
Machinery — 0.0% ^
|
||
|
Terex Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 5.40%, 10/8/2031 (c)
|
2,599
|
2,610
|
|
Media — 0.0% ^
|
||
|
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR
+ 2.00%), 5.69%, 12/9/2030 (c)
|
8,319
|
8,243
|
|
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR +
4.00%), 7.73%, 8/23/2028 (c)
|
1,096
|
1,097
|
|
|
|
9,340
|
|
Oil, Gas & Consumable Fuels — 0.1%
|
||
|
Buckeye Partners LP, 1st Lien Term Loan B-7 (1-MONTH CME TERM SOFR + 1.75%), 5.37%,
11/22/2032 (c)
|
8,491
|
8,528
|
|
NorthRiver Midstream Finance LP, 1st Lien Term Loan B (Canada) (3-MONTH CME TERM SOFR
+ 2.25%), 5.94%, 8/16/2030 (c)
|
4,400
|
4,404
|
|
|
|
12,932
|
|
Passenger Airlines — 0.0% ^
|
||
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.93%,
4/20/2028 (c)
|
7,787
|
7,751
|
|
Personal Care Products — 0.0% ^
|
||
|
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.48%,
5/17/2028 (c)
|
3,657
|
3,005
|
|
Knowlton Development Corp., Inc., 1st Lien Term Loan (Canada) (1-MONTH CME TERM SOFR
+ 3.50%), 7.15%, 8/15/2028 (c)
|
3,498
|
3,467
|
|
|
|
6,472
|
|
Pharmaceuticals — 0.0% ^
|
||
|
1261229 BC Ltd., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 6.25%), 9.87%, 10/8/2030 (c)
|
2,337
|
2,254
|
|
Elanco Animal Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%),
5.40%, 10/29/2032 (c)
|
1,511
|
1,510
|
|
|
|
3,764
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Professional Services — 0.1%
|
||
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 5.65%,
1/27/2031 (c)
|
12,641
|
12,645
|
|
Semiconductors & Semiconductor Equipment — 0.1%
|
||
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.35%), 6.86%, 2/1/2029 (c)
|
10,152
|
10,103
|
|
Software — 0.2%
|
||
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 9.40%,
2/15/2029 (c)
|
4,173
|
4,168
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 6.37%,
11/25/2031 (c)
|
8,049
|
7,988
|
|
Genesys Cloud Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%),
6.12%, 1/30/2032 (c)
|
9,855
|
9,481
|
|
Icon Parent I, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 6.44%, 11/13/2031 (c)
|
6,526
|
6,231
|
|
UKG, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%), 5.91%, 2/10/2031 (c)
|
9,218
|
8,897
|
|
|
|
36,765
|
|
Specialty Retail — 0.0% ^
|
||
|
AWS Claire's LLC, 1st Lien Term Loan, 10.00%, 9/18/2030 ‡
|
132
|
132
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%),
7.95%, 1/31/2031 (c)
|
2,588
|
2,517
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
6.90%, 10/19/2029 (c)
|
5,624
|
5,581
|
|
|
|
8,230
|
|
Textiles, Apparel & Luxury Goods — 0.0% ^
|
||
|
Varsity Brands, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 6.45%, 8/26/2031 (c)
|
4,718
|
4,721
|
|
Total Loan Assignments
(Cost $197,527)
|
|
192,206
|
|
Municipal Bonds — 0.1% (p)
|
||
|
Texas — 0.0% ^
|
||
|
Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds Series
2023A-2, Rev., 5.17%, 4/1/2041
|
855
|
859
|
|
Virginia — 0.1%
|
||
|
FHLMC Multifamily ML Certificates, Class B, Zero Coupon, 5/25/2033 (a)
|
23,057
|
13,765
|
|
Total Municipal Bonds
(Cost $14,642)
|
|
14,624
|
|
|
SHARES
(000)
|
|
|
Common Stocks — 0.0% ^
|
||
|
Aerospace & Defense — 0.0% ^
|
||
|
Incora Intermediate LLC ‡ *
|
113
|
1,379
|
|
Broadline Retail — 0.0% ^
|
||
|
Moran Foods Backstop Equity ‡ *
|
7,629,209
|
8
|
|
MYT Holding LLC ‡ *
|
935
|
234
|
|
NMG Parent LLC, Escrow ‡ *
|
9
|
4
|
|
|
|
246
|
|
Containers & Packaging — 0.0% ^
|
||
|
Ardagh Holdings SA (Luxembourg) ‡ * (a)
|
68
|
459
|
|
Financial Services — 0.0% ^
|
||
|
ACC Claims Holdings LLC ‡
|
1,551
|
3
|
|
Keenova Therapeutics plc
|
16
|
1,491
|
|
Par Health, Inc.
|
16
|
62
|
|
|
|
1,556
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
New Evhc Physical Equity *
|
4
|
76
|
|
Media — 0.0% ^
|
||
|
Clear Channel Outdoor Holdings, Inc. *
|
502
|
1,211
|
|
iHeartMedia, Inc., Class A *
|
127
|
545
|
|
|
|
1,756
|
|
Oil, Gas & Consumable Fuels — 0.0% ^
|
||
|
Gulfport Energy Corp. *
|
21
|
3,600
|
|
Specialty Retail — 0.0% ^
|
||
|
Neiman Marcus Group, Inc. ‡ *
|
2
|
1
|
|
Total Common Stocks
(Cost $8,747)
|
|
9,073
|
|
Preferred Stocks — 0.0% ^
|
||
|
Broadline Retail — 0.0% ^
|
||
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
(Cost $1,987)
|
2,070
|
2,677
|
|
|
NO. OF
RIGHTS
(000)
|
|
|
Rights — 0.0% ^
|
||
|
Media — 0.0% ^
|
||
|
SES SA (Luxembourg) ‡ *
(Cost $—) (l)
|
70
|
1,059
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 5.8%
|
||
|
Investment Companies — 5.8%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.64% (q) (r)
(Cost $1,489,609)
|
1,489,405
|
1,489,703
|
|
Total Investments — 100.6%
(Cost $26,302,414)
|
|
25,770,253
|
|
Liabilities in Excess of Other Assets — (0.6)%
|
|
(143,731
)
|
|
NET ASSETS — 100.0%
|
|
25,626,522
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May
31, 2026.
|
|
CME
|
Chicago Mercantile Exchange
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
EUR
|
Euro
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
FRN
|
Floating Rate Note
|
|
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.
|
|
JSC
|
Joint Stock Company
|
|
PIK
|
Payment In Kind
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
Rev.
|
Revenue
|
|
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.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(b)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2026.
|
|
|
(d)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(e)
|
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.
|
|
|
(f)
|
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 $4,161 or 0.02% of the Fund’s net assets
as of May 31, 2026.
|
|
|
(g)
|
Defaulted security.
|
|
|
(h)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2026.
|
|
|
(i)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2026.
|
|
|
(j)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(k)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
|
(l)
|
Value is zero.
|
|
|
(m)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
|
(n)
|
The rate shown is the effective yield as of May 31, 2026.
|
|
|
(o)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(p)
|
The date shown represents the earliest of the prerefunded date, next put date or final
maturity date.
|
|
|
(q)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(r)
|
The rate shown is the current yield as of May 31, 2026.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
7,733
|
09/21/2026
|
USD
|
849,784
|
7,698
|
|
U.S. Treasury 10 Year Ultra Note
|
2,923
|
09/21/2026
|
USD
|
327,970
|
4,700
|
|
U.S. Treasury Long Bond
|
2,791
|
09/21/2026
|
USD
|
313,726
|
6,417
|
|
U.S. Treasury Ultra Bond
|
7,815
|
09/21/2026
|
USD
|
895,794
|
18,358
|
|
U.S. Treasury 2 Year Note
|
9,737
|
09/30/2026
|
USD
|
2,011,908
|
4,156
|
|
U.S. Treasury 5 Year Note
|
14,747
|
09/30/2026
|
USD
|
1,581,961
|
8,065
|
|
|
|
|
|
|
49,394
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
EUR
|
2,302
|
USD
|
2,681
|
HSBC Bank, NA
|
6/30/2026
|
8
|
|
USD
|
2,693
|
EUR
|
2,302
|
HSBC Bank, NA
|
6/30/2026
|
5
|
|
Total unrealized appreciation
|
13
|
|||||
|
USD
|
12,616
|
EUR
|
10,842
|
BNP Paribas
|
6/30/2026
|
(46
)
|
|
Total unrealized depreciation
|
(46
)
|
|||||
|
Net unrealized depreciation
|
(33
)
|
|||||
|
Abbreviations
|
|
|
EUR
|
Euro
|
|
USD
|
United States Dollar
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$1,972,246
|
$1,319,004
|
$3,291,250
|
|
Collateralized Mortgage Obligations
|
—
|
940,562
|
67,114
|
1,007,676
|
|
Commercial Mortgage-Backed Securities
|
—
|
2,730,948
|
146,053
|
2,877,001
|
|
Common Stocks
|
|
|
|
|
|
Aerospace & Defense
|
—
|
—
|
1,379
|
1,379
|
|
Broadline Retail
|
—
|
—
|
246
|
246
|
|
Containers & Packaging
|
—
|
—
|
459
|
459
|
|
Financial Services
|
—
|
1,553
|
3
|
1,556
|
|
Health Care Equipment & Supplies
|
—
|
76
|
—
|
76
|
|
Media
|
1,756
|
—
|
—
|
1,756
|
|
Oil, Gas & Consumable Fuels
|
3,600
|
—
|
—
|
3,600
|
|
Specialty Retail
|
—
|
—
|
1
|
1
|
|
Total Common Stocks
|
5,356
|
1,629
|
2,088
|
9,073
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense
|
—
|
80,267
|
1,231
|
81,498
|
|
Automobile Components
|
—
|
40,891
|
—
|
40,891
|
|
Automobiles
|
—
|
52,018
|
—
|
52,018
|
|
Banks
|
—
|
1,785,473
|
—
|
1,785,473
|
|
Beverages
|
—
|
16,281
|
—
|
16,281
|
|
Biotechnology
|
—
|
143,763
|
—
|
143,763
|
|
Broadline Retail
|
—
|
48,481
|
—
|
48,481
|
|
Building Products
|
—
|
69,987
|
—
|
69,987
|
|
Capital Markets
|
—
|
648,903
|
—
|
648,903
|
|
Chemicals
|
—
|
99,667
|
—
|
99,667
|
|
Commercial Services & Supplies
|
—
|
55,342
|
70,808
|
126,150
|
|
Construction & Engineering
|
—
|
28,037
|
—
|
28,037
|
|
Construction Materials
|
—
|
5,590
|
—
|
5,590
|
|
Consumer Finance
|
—
|
265,066
|
—
|
265,066
|
|
Consumer Staples Distribution & Retail
|
—
|
18,381
|
—
|
18,381
|
|
Containers & Packaging
|
—
|
81,579
|
—
|
81,579
|
|
Distributors
|
—
|
13,148
|
—
|
13,148
|
|
Diversified
|
—
|
—
|
16,822
|
16,822
|
|
Diversified Consumer Services
|
—
|
9,185
|
—
|
9,185
|
|
Diversified REITs
|
—
|
7,934
|
—
|
7,934
|
|
Diversified Telecommunication Services
|
—
|
313,366
|
—
|
313,366
|
|
Electric Utilities
|
—
|
652,067
|
—
|
652,067
|
|
Electrical Equipment
|
—
|
19,787
|
—
|
19,787
|
|
Electronic Equipment, Instruments & Components
|
—
|
22,547
|
—
|
22,547
|
|
Energy Equipment & Services
|
—
|
40,472
|
—
|
40,472
|
|
Entertainment
|
—
|
31,942
|
—
|
31,942
|
|
Financial Services
|
—
|
226,349
|
186,136
|
412,485
|
|
Food Products
|
—
|
187,383
|
—
|
187,383
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Gas Utilities
|
$—
|
$13,843
|
$—
|
$13,843
|
|
Ground Transportation
|
—
|
101,994
|
—
|
101,994
|
|
Health Care Equipment & Supplies
|
—
|
62,697
|
—
|
62,697
|
|
Health Care Providers & Services
|
—
|
172,345
|
37,902
|
210,247
|
|
Health Care REITs
|
—
|
11,408
|
—
|
11,408
|
|
Health Care Technology
|
—
|
17,827
|
—
|
17,827
|
|
Hotel & Resort REITs
|
—
|
8,412
|
—
|
8,412
|
|
Hotels, Restaurants & Leisure
|
—
|
167,402
|
—
|
167,402
|
|
Household Durables
|
—
|
25,294
|
—
|
25,294
|
|
Household Products
|
—
|
9,717
|
—
|
9,717
|
|
Independent Power and Renewable Electricity Producers
|
—
|
44,718
|
—
|
44,718
|
|
Industrial REITs
|
—
|
6,250
|
—
|
6,250
|
|
Insurance
|
—
|
76,717
|
—
|
76,717
|
|
Interactive Media & Services
|
—
|
103,200
|
—
|
103,200
|
|
IT Services
|
—
|
34,650
|
—
|
34,650
|
|
Machinery
|
—
|
20,699
|
—
|
20,699
|
|
Marine Transportation
|
—
|
7,168
|
—
|
7,168
|
|
Media
|
—
|
187,561
|
—
|
187,561
|
|
Metals & Mining
|
—
|
121,509
|
—
|
121,509
|
|
Mortgage Real Estate Investment Trusts (REITs)
|
—
|
159,600
|
—
|
159,600
|
|
Multi-Utilities
|
—
|
146,539
|
—
|
146,539
|
|
Oil, Gas & Consumable Fuels
|
—
|
907,408
|
—
|
907,408
|
|
Passenger Airlines
|
—
|
27,947
|
—
|
27,947
|
|
Personal Care Products
|
—
|
11,929
|
—
|
11,929
|
|
Pharmaceuticals
|
—
|
72,083
|
—
|
72,083
|
|
Professional Services
|
—
|
1,892
|
—
|
1,892
|
|
Real Estate Management & Development
|
—
|
601
|
47,056
|
47,657
|
|
Residential REITs
|
—
|
15,723
|
—
|
15,723
|
|
Retail REITs
|
—
|
10,885
|
—
|
10,885
|
|
Semiconductors & Semiconductor Equipment
|
—
|
122,673
|
—
|
122,673
|
|
Software
|
—
|
156,220
|
—
|
156,220
|
|
Specialized REITs
|
—
|
40,102
|
—
|
40,102
|
|
Specialty Retail
|
—
|
54,672
|
—
(a)
|
54,672
|
|
Technology Hardware, Storage & Peripherals
|
—
|
21,703
|
—
|
21,703
|
|
Tobacco
|
—
|
154,655
|
—
|
154,655
|
|
Trading Companies & Distributors
|
—
|
46,519
|
—
|
46,519
|
|
Water Utilities
|
—
|
4,046
|
—
|
4,046
|
|
Wireless Telecommunication Services
|
—
|
45,301
|
—
|
45,301
|
|
Total Corporate Bonds
|
—
|
8,157,815
|
359,955
|
8,517,770
|
|
Foreign Government Securities
|
—
|
343,459
|
—
|
343,459
|
|
Loan Assignments
|
|
|
|
|
|
Aerospace & Defense
|
—
|
625
|
—
|
625
|
|
Automobile Components
|
—
|
6,339
|
—
|
6,339
|
|
Building Products
|
—
|
20,552
|
—
|
20,552
|
|
Chemicals
|
—
|
8,639
|
—
|
8,639
|
|
Consumer Staples Distribution & Retail
|
—
|
—
|
953
|
953
|
|
Containers & Packaging
|
—
|
992
|
—
|
992
|
|
|
||||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Diversified Consumer Services
|
$—
|
$3,456
|
$—
|
$3,456
|
|
Financial Services
|
—
|
1,441
|
—
|
1,441
|
|
Ground Transportation
|
—
|
10,211
|
—
|
10,211
|
|
Hotels, Restaurants & Leisure
|
—
|
1,169
|
—
|
1,169
|
|
Independent Power and Renewable Electricity Producers
|
—
|
1,164
|
—
|
1,164
|
|
Insurance
|
—
|
13,992
|
—
|
13,992
|
|
IT Services
|
—
|
7,339
|
—
|
7,339
|
|
Leisure Products
|
—
|
—
|
1
|
1
|
|
Machinery
|
—
|
2,610
|
—
|
2,610
|
|
Media
|
—
|
9,340
|
—
|
9,340
|
|
Oil, Gas & Consumable Fuels
|
—
|
12,932
|
—
|
12,932
|
|
Passenger Airlines
|
—
|
7,751
|
—
|
7,751
|
|
Personal Care Products
|
—
|
6,472
|
—
|
6,472
|
|
Pharmaceuticals
|
—
|
3,764
|
—
|
3,764
|
|
Professional Services
|
—
|
12,645
|
—
|
12,645
|
|
Semiconductors & Semiconductor Equipment
|
—
|
10,103
|
—
|
10,103
|
|
Software
|
—
|
36,765
|
—
|
36,765
|
|
Specialty Retail
|
—
|
8,098
|
132
|
8,230
|
|
Textiles, Apparel & Luxury Goods
|
—
|
4,721
|
—
|
4,721
|
|
Total Loan Assignments
|
—
|
191,120
|
1,086
|
192,206
|
|
Mortgage-Backed Securities
|
—
|
5,069,998
|
14,114
|
5,084,112
|
|
Municipal Bonds
|
—
|
14,624
|
—
|
14,624
|
|
Preferred Stocks
|
—
|
—
|
2,677
|
2,677
|
|
Rights
|
—
|
—
|
1,059
|
1,059
|
|
U.S. Treasury Obligations
|
—
|
2,939,643
|
—
|
2,939,643
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
1,489,703
|
—
|
—
|
1,489,703
|
|
Total Investments in Securities
|
$1,495,059
|
$22,362,044
|
$1,913,150
|
$25,770,253
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$13
|
$—
|
$13
|
|
Futures Contracts
|
49,394
|
—
|
—
|
49,394
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$(46
)
|
$—
|
$(46
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$49,394
|
$(33
)
|
$—
|
$49,361
|
|
|
|
|
(a)
|
Value is zero.
|
|
|
Balance as of
February 28,
2026
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Other(a)
|
Balance as of
May 31,
2026
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$1,025,264
|
$1,527
|
$(9,462
)
|
$217
|
$315,420
|
$(71,185
)
|
$65,926
|
$(8,703
)
|
$—
|
$1,319,004
|
|
Collateralized Mortgage Obligations
|
29,034
|
—
|
(155
)
|
—
(b)
|
40,000
|
(1,765
)
|
—
|
—
|
—
|
67,114
|
|
Commercial Mortgage-Backed Securities
|
177,218
|
(26
)
|
(43
)
|
90
|
23,507
|
(40,552
)
|
—
|
—
|
(14,141
)
|
146,053
|
|
Common Stocks
|
3,681
|
—
|
(121
)
|
—
|
—
|
(1,472
)
|
—
|
—
|
—
|
2,088
|
|
Corporate Bonds
|
215,124
|
—
(b)
|
88
|
(25
)
|
158,989
|
(14,221
)
|
—
|
—
|
—
|
359,955
|
|
Loan Assignments
|
987
|
(3
)
|
(55
)
|
4
|
2,913
|
(2,760
)
|
—
|
—
|
—
|
1,086
|
|
Mortgage-Backed Securities
|
—
|
—
|
(27
)
|
—
|
—
|
—
|
—
|
—
|
14,141
|
14,114
|
|
Preferred Stocks
|
2,640
|
—
|
37
|
—
|
—
|
—
|
—
|
—
|
—
|
2,677
|
|
Rights
|
1,055
|
—
|
4
|
—
|
—
|
—
|
—
|
—
|
—
|
1,059
|
|
Total
|
$1,455,003
|
$1,498
|
$(9,734
)
|
$286
|
$540,829
|
$(131,955
)
|
$65,926
|
$(8,703
)
|
$—
|
$1,913,150
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Certain Level 3 investments were re-classified between Commercial Mortgage-Backed
Securities and Mortgage-Backed Securities.
|
|
(b)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value
at May 31, 2026
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$34,644
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
6.17% - 7.22% (6.69%)
|
|
|
|
|
|
|
|
Commercial
Mortgage-Backed
Securities
|
34,644
|
|
|
|
|
|
62,761
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
7.15% - 22.05% (9.00%)
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
62,761
|
|
|
|
|
|
1,231
|
Market Comparable Companies
|
EBITDA Multiple (b)
|
12.42x (12.42x)
|
|
|
|
|
Liquidity Discount
|
60.00% (60.00%)
|
|
|
|
|
|
|
|
Corporate Bonds
|
1,231
|
|
|
|
|
|
599
|
Terms of Restructuring
|
Expected Recovery
|
0.00% - 100.00% (75.22%)
|
|
|
|
|
|
|
|
Loan Assignments
|
599
|
|
|
|
|
|
1,379
|
Market Comparable Companies
|
EBITDA Multiple (b)
|
12.42x (12.42x)
|
|
|
Fair Value
at May 31, 2026
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
12
|
Terms of Restructuring
|
Expected Recovery
|
$0.00 - $124.50 ($82.31)
|
|
|
|
|
|
|
|
Common Stocks
|
1,391
|
|
|
|
|
Total
|
$100,626
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At May 31, 2026, the value of
these investments was $1,812,524.The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
(b)
|
Represents amounts used when the reporting entity has determined that market participants
would take into account such multiples when
pricing the investments.
|
|
|
|||||||||
|
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)
|
$1,550,277
|
$1,365,491
|
$1,425,721
|
$(140
)
|
$(204
)
|
$1,489,703
|
1,489,405
|
$10,974
|
$—
|
|
|
|
|
(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.
|