|
|
Principal
Amount
|
Value
|
|
|
U.S. Dollar Denominated Bonds & Notes–30.52%
|
|||
|
Argentina–0.78%
|
|||
|
Argentine Republic Government
International Bond,
|
|
|
|
|
0.75%, 07/09/2030(a)
|
|
$2,903,040
|
$2,541,611
|
|
3.50%, 07/09/2041(a)
|
|
5,400,000
|
4,004,100
|
|
Vista Energy Argentina S.A.U.,
7.63%, 12/10/2035(b)
|
|
1,800,000
|
1,885,050
|
|
YPF S.A.,
|
|
|
|
|
6.95%, 07/21/2027(b)
|
|
800,000
|
804,659
|
|
8.75%, 09/11/2031(b)
|
|
3,276,000
|
3,478,408
|
|
|
|
|
12,713,828
|
|
Belgium–0.25%
|
|||
|
Telenet Finance Luxembourg
Notes S.a.r.l., 5.50%,
03/01/2028(b)
|
|
4,200,000
|
4,154,123
|
|
Brazil–0.98%
|
|||
|
Arcos Dorados B.V., 6.38%,
01/29/2032(b)
|
|
3,145,000
|
3,255,819
|
|
Minerva Luxembourg S.A.,
8.88%, 09/13/2033(b)
|
|
1,800,000
|
1,864,440
|
|
Petrobras Global Finance B.V.,
|
|
|
|
|
6.50%, 07/03/2033(c)
|
|
1,800,000
|
1,830,825
|
|
6.25%, 01/10/2036(c)
|
|
1,875,000
|
1,830,469
|
|
Sitios Latinoamerica S.A.B. de
C.V., 5.38%,
04/04/2032(b)
|
|
4,745,000
|
4,673,721
|
|
Vale Overseas Ltd., 6.00%,
02/25/2056(b)(d)
|
|
2,520,000
|
2,515,968
|
|
|
|
|
15,971,242
|
|
Canada–1.75%
|
|||
|
Bell Canada, 6.88%,
09/15/2055(c)(d)
|
|
2,369,000
|
2,390,411
|
|
Brookfield Infrastructure
Finance ULC, 6.75%,
03/15/2055(c)(d)
|
|
1,112,000
|
1,128,421
|
|
Constellation Software, Inc.,
5.16%, 02/16/2029(b)
|
|
1,247,000
|
1,246,399
|
|
Element Fleet Management
Corp., 6.32%,
12/04/2028(b)
|
|
3,671,000
|
3,789,799
|
|
Enbridge, Inc., 7.38%,
01/15/2083(c)(d)
|
|
7,381,000
|
7,535,824
|
|
Northriver Midstream Finance
L.P., 6.75%,
07/15/2032(b)
|
|
294,000
|
296,578
|
|
Rogers Communications, Inc.,
7.00%, 04/15/2055(c)(d)
|
|
2,190,000
|
2,204,303
|
|
Saturn Oil & Gas, Inc., 8.50%,
07/30/2031(b)
|
|
163,000
|
163,553
|
|
South Bow Canadian
Infrastructure Holdings
Ltd., 7.63%,
03/01/2055(d)
|
|
3,819,000
|
3,974,338
|
|
TELUS Corp., 6.38%,
06/09/2056(c)(d)
|
|
2,178,000
|
2,151,428
|
|
|
Principal
Amount
|
Value
|
|
|
Canada–(continued)
|
|||
|
Transcanada Trust,
Series 16-A, 5.88%,
08/15/2076(d)
|
|
$3,609,000
|
$3,609,783
|
|
Wrangler Holdco Corp.,
6.63%, 04/01/2032(b)
|
|
219,000
|
219,539
|
|
|
|
|
28,710,376
|
|
Cayman Islands–0.06%
|
|||
|
Global Aircraft Leasing Co.
Ltd., 8.75%,
09/01/2027(b)
|
|
943,000
|
959,195
|
|
Chile–0.65%
|
|||
|
Banco de Credito e
Inversiones S.A.,
8.75%(b)(d)(e)
|
|
1,725,000
|
1,819,289
|
|
Banco del Estado de Chile,
7.95%(b)(d)(e)
|
|
1,003,000
|
1,050,931
|
|
Chile Electricity Lux MPC II
S.a.r.l., 5.58%,
10/20/2035(b)
|
|
1,461,370
|
1,451,140
|
|
DB Terra Chile HoldCo S.p.A.,
7.95%, 04/20/2031(b)
|
|
200,000
|
198,076
|
|
Sociedad Quimica y Minera de Chile
S.A.,
|
|
|
|
|
5.50%, 09/10/2034(b)
|
|
4,885,000
|
4,817,343
|
|
5.63%, 04/22/2056(b)(d)
|
|
1,400,000
|
1,360,450
|
|
|
|
|
10,697,229
|
|
China–0.10%
|
|||
|
Prosus N.V., 3.68%,
01/21/2030(b)
|
|
1,800,000
|
1,708,078
|
|
Colombia–0.42%
|
|||
|
Ecopetrol S.A.,
|
|
|
|
|
8.63%, 01/19/2029
|
|
4,600,000
|
4,879,648
|
|
7.75%, 02/01/2032
|
|
1,930,000
|
1,994,047
|
|
|
|
|
6,873,695
|
|
Dominican Republic–0.24%
|
|||
|
Aeropuertos Dominicanos
Siglo XXI S.A., 7.00%,
06/30/2034(b)
|
|
2,055,000
|
2,107,896
|
|
Dominican Republic International
Bond,
|
|
|
|
|
4.50%, 01/30/2030(b)
|
|
720,000
|
689,580
|
|
4.88%, 09/23/2032(b)
|
|
1,200,000
|
1,123,800
|
|
|
|
|
3,921,276
|
|
Egypt–0.16%
|
|||
|
Egypt Government
International Bond,
8.63%, 02/04/2030(b)
|
|
2,415,000
|
2,547,776
|
|
France–0.40%
|
|||
|
Electricite de France S.A.,
9.13%(b)(d)(e)
|
|
2,334,000
|
2,703,808
|
|
Societe Generale S.A.,
9.38%(b)(d)(e)
|
|
3,700,000
|
3,858,116
|
|
|
|
|
6,561,924
|
|
|
Principal
Amount
|
Value
|
|
|
Germany–0.28%
|
|||
|
Bayer US Finance LLC,
6.13%, 11/21/2026(b)
|
|
$4,573,000
|
$4,589,567
|
|
Greece–0.02%
|
|||
|
Danaos Corp., 6.88%,
10/15/2032(b)
|
|
327,000
|
334,369
|
|
Guatemala–0.09%
|
|||
|
Energuate Trust 2.0, 6.35%,
09/15/2035(b)
|
|
1,440,000
|
1,419,719
|
|
Hong Kong–0.02%
|
|||
|
Melco Resorts Finance Ltd.,
6.50%, 09/24/2033(b)(c)
|
|
306,000
|
295,548
|
|
India–0.94%
|
|||
|
GMR Hyderabad International
Airport Ltd., 4.25%,
10/27/2027(b)
|
|
4,650,000
|
4,579,540
|
|
Muthoot Finance Ltd.,
|
|
|
|
|
7.13%, 02/14/2028(b)
|
|
3,650,000
|
3,679,708
|
|
6.38%, 04/23/2029(b)
|
|
7,200,000
|
7,189,984
|
|
|
|
|
15,449,232
|
|
Ireland–0.15%
|
|||
|
BB Blue Financing DAC,
Series A1, 4.40%,
09/20/2037
|
|
1,677,083
|
1,590,724
|
|
Phoenix Aviation Capital Ltd.,
9.25%, 07/15/2030(b)
|
|
310,000
|
321,212
|
|
TrueNoord Capital DAC,
8.75%, 03/01/2030(b)
|
|
479,000
|
498,395
|
|
|
|
|
2,410,331
|
|
Israel–0.02%
|
|||
|
Teva Pharmaceutical Finance
Netherlands III B.V.,
4.10%, 10/01/2046
|
|
433,000
|
319,403
|
|
Italy–0.05%
|
|||
|
FiberCop S.p.A.,
|
|
|
|
|
6.00%, 09/30/2034(b)(c)
|
|
523,000
|
505,305
|
|
7.20%, 07/18/2036(b)
|
|
306,000
|
311,334
|
|
|
|
|
816,639
|
|
Japan–0.25%
|
|||
|
Nissan Motor Co. Ltd.,
4.81%, 09/17/2030(b)
|
|
520,000
|
482,165
|
|
RLGH Finance Bermuda Ltd.,
6.75%, 07/02/2035(b)
|
|
3,600,000
|
3,687,779
|
|
|
|
|
4,169,944
|
|
Luxembourg–0.33%
|
|||
|
Delphos Securities S.a.r.l. -
Compartment Verdant Rock,
|
|
|
|
|
0.00%,
04/29/2056(a)(b)(f)(g)
|
|
5,475,000
|
5,173,191
|
|
0.00%(b)(e)(g)
|
|
274,000
|
275,370
|
|
|
|
|
5,448,561
|
|
Macau–0.30%
|
|||
|
MGM China Holdings Ltd.,
4.75%, 02/01/2027(b)
|
|
2,960,000
|
2,943,294
|
|
Studio City Finance Ltd.,
5.00%, 01/15/2029(b)(c)
|
|
376,000
|
358,047
|
|
|
Principal
Amount
|
Value
|
|
|
Macau–(continued)
|
|||
|
Wynn Macau Ltd., 6.75%,
02/15/2034(b)(c)
|
|
$1,585,000
|
$1,558,327
|
|
|
|
|
4,859,668
|
|
Mexico–0.99%
|
|||
|
Banco Mercantil del Norte
S.A., 8.38%(b)(c)(d)(e)
|
|
1,850,000
|
1,913,372
|
|
BBVA Bancomer S.A., 7.63%,
02/11/2035(b)(d)
|
|
4,320,000
|
4,428,000
|
|
COX Asset Mexico S.A. de CV,
|
|
|
|
|
7.13%, 01/08/2032(b)
|
|
1,324,000
|
1,320,008
|
|
7.75%, 05/08/2036(b)(c)
|
|
1,372,000
|
1,377,488
|
|
Petroleos Mexicanos,
|
|
|
|
|
8.75%, 06/02/2029
|
|
6,400,000
|
6,809,715
|
|
5.95%, 01/28/2031
|
|
189,000
|
185,246
|
|
6.63%, 06/15/2035
|
|
158,000
|
149,971
|
|
|
|
|
16,183,800
|
|
Netherlands–0.43%
|
|||
|
ING Groep N.V., 5.75%(d)(e)
|
|
7,000,000
|
7,033,075
|
|
Norway–0.02%
|
|||
|
Seadrill Finance Ltd., 6.75%,
07/15/2034(b)(c)
|
|
403,000
|
388,253
|
|
Panama–0.10%
|
|||
|
Telecomunicaciones Digitales
S.A., 4.50%,
01/30/2030(b)
|
|
1,750,000
|
1,655,054
|
|
Peru–0.21%
|
|||
|
Compania de Minas
Buenaventura S.A.A.,
6.80%, 02/04/2032(b)
|
|
1,990,000
|
2,038,755
|
|
Orazul Energy Peru S.A.,
6.25%, 09/17/2032(b)
|
|
1,359,000
|
1,353,264
|
|
|
|
|
3,392,019
|
|
Serbia–0.11%
|
|||
|
Telecommunications Co.
Telekom Srbija AD
Belgrade, 7.00%,
10/28/2029(b)
|
|
1,877,000
|
1,870,967
|
|
Spain–0.22%
|
|||
|
Repsol E&P Capital Markets US LLC,
|
|
|
|
|
4.81%, 09/16/2028(b)
|
|
1,371,000
|
1,371,068
|
|
5.20%, 09/16/2030(b)
|
|
1,392,000
|
1,392,191
|
|
5.98%, 09/16/2035(b)
|
|
900,000
|
903,893
|
|
|
|
|
3,667,152
|
|
Sweden–0.23%
|
|||
|
Swedbank AB, 7.75%(b)(d)(e)
|
|
3,600,000
|
3,776,580
|
|
Switzerland–1.27%
|
|||
|
Argentum Netherlands B.V.
for Swiss Re Ltd., 5.63%,
08/15/2052(b)(d)
|
|
460,000
|
460,465
|
|
Credit Suisse Group AG,
6.25%(b)(d)(e)(h)(i)
|
|
7,385,000
|
2,102,879
|
|
UBS Group AG,
|
|
|
|
|
7.75%(b)(d)(e)
|
|
3,650,000
|
3,820,429
|
|
9.25%(b)(d)(e)
|
|
3,650,000
|
4,185,167
|
|
7.00%(b)(d)(e)
|
|
3,750,000
|
3,795,870
|
|
|
Principal
Amount
|
Value
|
|
|
Switzerland–(continued)
|
|||
|
Zurich Finance Ireland
Designated Activity Co.,
3.00%, 04/19/2051(b)(d)
|
|
$7,200,000
|
$6,448,705
|
|
|
|
|
20,813,515
|
|
Turkey–0.11%
|
|||
|
Akbank T.A.S., 7.88%,
09/04/2035(b)(d)
|
|
1,800,000
|
1,798,590
|
|
United Kingdom–2.21%
|
|||
|
Aberdeen Group PLC, 4.25%,
06/30/2028(b)
|
|
1,825,000
|
1,791,679
|
|
B.A.T. Capital Corp., 6.00%,
02/20/2034
|
|
2,730,000
|
2,835,517
|
|
British Telecommunications
PLC, 4.25%,
11/23/2081(b)(c)(d)
|
|
10,850,000
|
10,803,562
|
|
California Buyer Ltd./Atlantica
Sustainable Infrastructure
PLC, 6.38%,
02/15/2032(b)
|
|
477,000
|
470,669
|
|
Hiscox Ltd., 7.00%,
06/11/2036(b)(d)
|
|
1,800,000
|
1,874,743
|
|
HSBC Holdings PLC,
6.75%(d)(e)
|
|
3,700,000
|
3,722,070
|
|
Lancashire Holdings Ltd.,
5.63%, 09/18/2041(b)(d)
|
|
3,700,000
|
3,608,022
|
|
Legal & General Group PLC,
5.25%, 03/21/2047(b)(d)
|
|
866,000
|
866,339
|
|
M&G PLC, 6.50%,
10/20/2048(b)(d)
|
|
925,000
|
943,143
|
|
Standard Chartered PLC,
7.75%(b)(d)(e)
|
|
6,900,000
|
7,088,135
|
|
Vodafone Group PLC, 4.13%,
06/04/2081(d)
|
|
688,000
|
631,048
|
|
Weir Group, Inc., 5.35%,
05/06/2030(b)
|
|
1,568,000
|
1,571,897
|
|
|
|
|
36,206,824
|
|
United States–16.29%
|
|||
|
1261229 BC Ltd., 10.00%,
04/15/2032(b)
|
|
316,000
|
323,288
|
|
Advance Auto Parts, Inc.,
|
|
|
|
|
7.00%, 08/01/2030(b)
|
|
155,000
|
158,949
|
|
7.38%, 08/01/2033(b)(c)
|
|
308,000
|
318,146
|
|
AECOM, 6.00%,
08/01/2033(b)
|
|
481,000
|
478,774
|
|
AES Corp. (The), 7.60%,
01/15/2055(d)
|
|
5,140,000
|
5,229,606
|
|
Alliant Holdings
Intermediate LLC, 6.50%,
10/01/2031(b)
|
|
159,000
|
159,065
|
|
Allison Transmission, Inc.,
|
|
|
|
|
3.75%, 01/30/2031(b)
|
|
698,000
|
647,852
|
|
5.88%, 12/01/2033(b)
|
|
164,000
|
161,689
|
|
American Airlines
Pass-Through Trust,
Series B, 5.75%,
05/10/2035
|
|
155,000
|
152,640
|
|
American Airlines,
Inc./AAdvantage Loyalty IP
Ltd., 5.75%,
04/20/2029(b)
|
|
750,750
|
747,316
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
American Axle &
Manufacturing, Inc.,
7.75%, 10/15/2033(b)(c)
|
|
$665,000
|
$655,322
|
|
APLD ComputeCo 2 LLC,
6.75%, 03/15/2031(b)
|
|
171,000
|
167,326
|
|
APLD ComputeCo 3 LLC,
7.00%, 06/15/2031(b)
|
|
334,000
|
326,159
|
|
APLD ComputeCo LLC, 9.25%,
12/15/2030(b)(c)
|
|
609,000
|
647,700
|
|
Ares Capital Corp., 5.88%,
03/01/2029
|
|
4,550,000
|
4,571,083
|
|
Asurion LLC and Asurion Co-Issuer,
Inc.,
|
|
|
|
|
8.00%, 12/31/2032(b)
|
|
479,000
|
484,957
|
|
8.38%, 02/01/2034(b)
|
|
160,000
|
145,902
|
|
Ball Corp., 2.88%,
08/15/2030
|
|
355,000
|
321,224
|
|
Bath & Body Works, Inc.,
|
|
|
|
|
6.88%, 11/01/2035(c)
|
|
227,000
|
229,702
|
|
6.75%, 07/01/2036
|
|
156,000
|
154,399
|
|
7.60%, 07/15/2037
|
|
101,000
|
99,255
|
|
Beignet Investor LLC, 6.58%,
05/30/2049(b)
|
|
317,000
|
307,567
|
|
Berry Global, Inc., 5.65%,
01/15/2034(c)
|
|
2,019,000
|
2,034,913
|
|
BP Capital Markets PLC,
4.88%(d)(e)
|
|
1,315,000
|
1,285,523
|
|
Bread Financial Holdings, Inc.,
8.38%,
06/15/2035(b)(c)(d)
|
|
153,000
|
158,470
|
|
Brink’s Co. (The), 6.75%,
06/15/2032(b)
|
|
323,000
|
330,011
|
|
Bristow Group, Inc., 6.75%,
02/01/2033(b)
|
|
335,000
|
335,607
|
|
Brundage-Bone Concrete
Pumping Holdings, Inc.,
7.50%, 02/01/2032(b)(c)
|
|
320,000
|
328,237
|
|
Carnival Corp. Ltd., 6.13%,
02/15/2033(b)(c)
|
|
314,000
|
314,223
|
|
Carriage Services, Inc.,
4.25%, 05/15/2029(b)
|
|
348,000
|
330,167
|
|
Carrix, Inc., 6.13%,
08/01/2033(b)
|
|
372,000
|
371,212
|
|
Carvana Co., 0.00% PIK Rate,
9.00% Cash Rate,
06/01/2031(b)(j)
|
|
451,590
|
497,051
|
|
Caturus Energy LLC,
|
|
|
|
|
8.50%, 02/15/2030(b)
|
|
292,000
|
302,598
|
|
7.13%, 05/15/2031(b)
|
|
180,000
|
178,662
|
|
CCO Holdings LLC/CCO Holdings
Capital Corp.,
|
|
|
|
|
5.38%, 06/01/2029(b)
|
|
166,000
|
161,320
|
|
4.75%, 03/01/2030(b)
|
|
3,710,000
|
3,468,611
|
|
4.50%, 08/15/2030(b)(c)
|
|
3,883,000
|
3,545,945
|
|
7.38%, 03/01/2031(b)
|
|
230,000
|
229,310
|
|
4.75%, 02/01/2032(b)(c)
|
|
411,000
|
359,439
|
|
4.50%, 05/01/2032
|
|
437,000
|
377,151
|
|
7.38%, 02/01/2036(b)
|
|
163,000
|
155,180
|
|
Celanese US Holdings LLC,
7.70%, 11/15/2033
|
|
212,000
|
224,598
|
|
Centene Corp., 2.50%,
03/01/2031
|
|
403,000
|
350,654
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
CenterPoint Energy, Inc.,
6.70%, 05/15/2055(d)
|
|
$7,200,000
|
$7,350,595
|
|
Charles Schwab Corp. (The),
6.20%, 11/17/2029(d)
|
|
3,963,000
|
4,086,066
|
|
Cheniere Energy, Inc.,
5.65%, 04/15/2034
|
|
2,036,000
|
2,056,653
|
|
CHS/Community Health Systems,
Inc.,
|
|
|
|
|
5.25%, 05/15/2030(b)
|
|
232,000
|
214,388
|
|
4.75%, 02/15/2031(b)
|
|
114,000
|
101,776
|
|
Cipher Compute LLC, 7.13%,
11/15/2030(b)
|
|
156,000
|
159,317
|
|
Clarios Global L.P./Clarios US
Finance Co., 6.75%,
02/15/2030(b)
|
|
310,000
|
318,032
|
|
Clarivate Science Holdings
Corp., 4.88%,
07/01/2029(b)
|
|
193,000
|
177,905
|
|
Cloud Software Group LLC,
|
|
|
|
|
9.00%, 09/30/2029(b)
|
|
179,000
|
175,538
|
|
8.25%, 06/30/2032(b)
|
|
333,000
|
315,279
|
|
Clydesdale Acquisition Holdings,
Inc.,
|
|
|
|
|
8.75%, 04/15/2030(b)
|
|
17,000
|
16,262
|
|
6.75%, 04/15/2032(b)
|
|
484,000
|
461,309
|
|
CMS Energy Corp., 6.50%,
06/01/2055(c)(d)
|
|
6,859,000
|
6,954,738
|
|
Coeur Mining, Inc., 6.88%,
04/01/2032(b)
|
|
316,000
|
323,721
|
|
Comstock Resources, Inc.,
6.75%, 03/01/2029(b)
|
|
309,000
|
304,468
|
|
Core & Main L.P., 6.00%,
07/01/2034(b)
|
|
330,000
|
328,460
|
|
Core Scientific Finance I LLC,
7.75%, 05/15/2031(b)
|
|
164,000
|
160,791
|
|
CoreWeave, Inc.,
|
|
|
|
|
9.25%, 06/01/2030(b)
|
|
161,000
|
150,628
|
|
9.00%, 02/01/2031(b)
|
|
129,000
|
116,609
|
|
9.75%, 10/01/2031(b)
|
|
177,000
|
160,760
|
|
9.63%, 07/15/2032(b)
|
|
59,000
|
52,881
|
|
Cousins Properties L.P.,
5.25%, 07/15/2030
|
|
4,045,000
|
4,052,914
|
|
Crescent Energy Co., Conv.,
2.75%, 03/15/2031(b)
|
|
67,000
|
71,104
|
|
Crown Americas LLC, 5.25%,
04/01/2030
|
|
323,000
|
322,516
|
|
Cushman & Wakefield
U.S. Borrower LLC, 8.88%,
09/01/2031(b)
|
|
45,000
|
47,095
|
|
CVR Energy, Inc.,
|
|
|
|
|
7.50%, 02/15/2031(b)
|
|
207,000
|
209,834
|
|
7.88%, 02/15/2034(b)
|
|
332,000
|
337,589
|
|
CVS Health Corp., 6.75%,
12/10/2054(c)(d)
|
|
1,090,000
|
1,123,591
|
|
DaVita, Inc.,
|
|
|
|
|
6.88%, 09/01/2032(b)
|
|
145,000
|
149,127
|
|
6.75%, 07/15/2033(b)
|
|
155,000
|
159,046
|
|
Dell International LLC/EMC
Corp., 6.20%,
07/15/2030
|
|
7,515,000
|
7,817,607
|
|
Directv Financing LLC,
8.88%, 02/01/2030(b)
|
|
156,000
|
159,023
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Directv Financing LLC/Directv
Financing Co-Obligor, Inc.,
|
|
|
|
|
10.00%, 02/15/2031(b)
|
|
$306,000
|
$320,042
|
|
9.25%, 06/01/2032(b)
|
|
153,000
|
156,712
|
|
Discovery
Communications LLC,
6.35%, 06/01/2040
|
|
211,000
|
166,147
|
|
Discovery Global Holdings, Inc.,
|
|
|
|
|
4.28%, 03/15/2032
|
|
107,000
|
95,154
|
|
5.05%, 03/15/2042
|
|
223,000
|
155,543
|
|
5.14%, 03/15/2052
|
|
99,000
|
63,169
|
|
Diversified Healthcare Trust,
4.38%, 03/01/2031
|
|
370,000
|
338,650
|
|
EchoStar Corp., 6.75% PIK
Rate, 2.00% Cash Rate,
11/30/2030(j)
|
|
485,000
|
492,493
|
|
ELK Grove Village
Property LLC, 7.50%,
06/15/2031(b)(c)
|
|
331,000
|
319,245
|
|
Endo Finance Holdings L.P.,
8.50%, 04/15/2031(b)(c)
|
|
297,000
|
312,977
|
|
Energy Transfer L.P.,
|
|
|
|
|
8.00%, 05/15/2054(d)
|
|
2,105,000
|
2,210,408
|
|
7.13%, 10/01/2054(d)
|
|
10,852,000
|
11,089,181
|
|
EnerSys, 4.38%,
12/15/2027(b)
|
|
308,000
|
304,561
|
|
Enpro, Inc., 6.13%,
06/01/2033(b)
|
|
318,000
|
319,369
|
|
Entergy Corp., 7.13%,
12/01/2054(d)
|
|
5,559,000
|
5,702,267
|
|
ESAB Corp., 5.63%,
04/01/2031(b)
|
|
271,000
|
268,401
|
|
Excelerate Energy L.P.,
8.00%, 05/15/2030(b)
|
|
295,000
|
309,179
|
|
EZCORP, Inc., 7.38%,
04/01/2032(b)
|
|
873,000
|
914,875
|
|
Fedex Freight Holding Co., Inc.,
|
|
|
|
|
4.65%, 03/15/2031(b)(c)
|
|
1,105,000
|
1,076,256
|
|
5.25%, 03/15/2036(b)(c)
|
|
512,000
|
488,788
|
|
Fiesta Purchaser, Inc.,
7.88%, 03/01/2031(b)
|
|
159,000
|
159,184
|
|
FirstCash, Inc.,
|
|
|
|
|
6.88%, 03/01/2032(b)
|
|
188,000
|
190,936
|
|
6.13%, 05/01/2034(b)
|
|
299,000
|
294,908
|
|
FMC Corp.,
|
|
|
|
|
8.00%, 06/01/2031(b)
|
|
522,000
|
540,149
|
|
5.65%, 05/18/2033(c)
|
|
76,000
|
67,955
|
|
6.38%, 05/18/2053
|
|
45,000
|
35,072
|
|
Ford Motor Credit Co. LLC,
5.80%, 03/08/2029
|
|
12,000,000
|
12,080,500
|
|
Freedom Mortgage
Holdings LLC, 8.38%,
04/01/2032(b)
|
|
153,000
|
153,792
|
|
Freeport-McMoRan, Inc.,
4.63%, 08/01/2030
|
|
6,660,000
|
6,562,892
|
|
FS KKR Capital Corp., 6.13%,
01/15/2030
|
|
141,000
|
137,489
|
|
FTAI Aviation Investors LLC,
5.88%, 04/15/2033(b)
|
|
327,000
|
322,990
|
|
Gaia Purchaser, Inc., 7.63%,
07/15/2033(b)
|
|
326,000
|
327,173
|
|
General Motors Co., 6.80%,
10/01/2027
|
|
8,383,000
|
8,561,062
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Genesis Energy L.P./Genesis Energy
Finance Corp.,
|
|
|
|
|
7.88%, 05/15/2032
|
|
$224,000
|
$231,455
|
|
8.00%, 05/15/2033
|
|
48,000
|
49,962
|
|
6.75%, 03/15/2034
|
|
209,000
|
208,546
|
|
GFL Environmental Holdings (US),
Inc.,
|
|
|
|
|
5.63%, 07/01/2031(b)
|
|
79,000
|
76,811
|
|
5.50%, 02/01/2034(b)
|
|
28,000
|
25,937
|
|
Global Partners L.P./GLP
Finance Corp., 7.13%,
07/01/2033(b)
|
|
314,000
|
318,200
|
|
Goldman Sachs Group, Inc.
(The), Series AA,
6.50%(d)(e)
|
|
5,381,000
|
5,343,256
|
|
Goodyear Tire & Rubber Co.
(The), 5.25%,
07/15/2031(c)
|
|
369,000
|
328,106
|
|
Gray Media, Inc., 9.63%,
07/15/2032(b)
|
|
88,000
|
89,014
|
|
Greystar Real Estate
Partners LLC, 7.75%,
09/01/2030(b)
|
|
120,000
|
124,298
|
|
HA Sustainable Infrastructure
Capital, Inc.,
|
|
|
|
|
8.00%, 06/01/2056(d)
|
|
321,000
|
337,158
|
|
7.13%, 11/15/2056(d)
|
|
165,000
|
166,354
|
|
Harvest Midstream I L.P.,
6.75%, 05/15/2034(b)
|
|
332,000
|
333,483
|
|
Horizon Mutual Holdings, Inc.,
6.20%, 11/15/2034(b)
|
|
341,000
|
322,145
|
|
Hyundai Capital America,
4.90%, 06/23/2028(b)
|
|
7,133,000
|
7,135,787
|
|
Icahn Enterprises L.P./Icahn
Enterprises Finance Corp.,
10.00%, 11/15/2029(b)
|
|
65,000
|
65,188
|
|
ION Platform Finance US,
Inc./ION Platform Finance
S.a.r.l., 8.75%,
05/01/2029(b)
|
|
144,000
|
134,294
|
|
Iron Mountain Information
Management Services, Inc.,
5.00%, 07/15/2032(b)
|
|
320,000
|
304,259
|
|
Iron Mountain, Inc.,
|
|
|
|
|
7.00%, 02/15/2029(b)
|
|
198,000
|
201,283
|
|
4.50%, 02/15/2031(b)
|
|
336,000
|
318,244
|
|
6.25%, 01/15/2035(b)
|
|
141,000
|
139,402
|
|
J.M. Smucker Co. (The),
5.90%, 11/15/2028
|
|
3,489,000
|
3,579,600
|
|
Jane Street Group/JSG Finance,
Inc.,
|
|
|
|
|
4.50%, 11/15/2029(b)
|
|
255,000
|
247,572
|
|
6.13%, 11/01/2032(b)
|
|
317,000
|
315,611
|
|
6.75%, 05/01/2033(b)
|
|
297,000
|
302,895
|
|
Keurig Dr Pepper, Inc.,
4.35%, 05/15/2028
|
|
1,661,000
|
1,649,206
|
|
Lamar Media Corp., 4.88%,
01/15/2029
|
|
1,890,000
|
1,864,069
|
|
Level 3 Financing, Inc.,
|
|
|
|
|
7.00%, 03/31/2034(b)
|
|
156,167
|
158,984
|
|
8.50%, 01/15/2036(b)
|
|
443,000
|
461,248
|
|
Lithia Motors, Inc.,
|
|
|
|
|
5.50%, 10/01/2030(b)
|
|
177,000
|
174,581
|
|
4.38%, 01/15/2031(b)(c)
|
|
332,000
|
314,531
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Magnera Corp., 7.25%,
11/15/2031(b)
|
|
$166,000
|
$162,584
|
|
Marriott Ownership Resorts,
Inc., 6.50%,
10/01/2033(b)(c)
|
|
340,000
|
334,551
|
|
Mars, Inc., 4.80%,
03/01/2030(b)
|
|
1,214,000
|
1,210,148
|
|
Mattel, Inc., 6.20%,
10/01/2040
|
|
1,807,000
|
1,772,077
|
|
Meridian Arc Holdco LLC,
6.25%, 04/30/2031(b)
|
|
327,000
|
314,510
|
|
Michaels Cos., Inc. (The),
8.50%, 03/15/2033(b)
|
|
483,000
|
478,808
|
|
Molina Healthcare, Inc.,
6.25%, 01/15/2033(b)
|
|
100,000
|
98,955
|
|
MPT Operating Partnership
L.P./MPT Finance Corp.,
8.50%, 02/15/2032(b)
|
|
113,000
|
114,918
|
|
Nationstar Mortgage Holdings LLC,
|
|
|
|
|
6.50%, 08/01/2029(b)
|
|
546,000
|
541,905
|
|
7.13%, 02/01/2032(b)
|
|
294,000
|
291,060
|
|
Navient Corp.,
|
|
|
|
|
4.88%, 03/15/2028
|
|
63,000
|
61,623
|
|
9.38%, 07/25/2030
|
|
104,000
|
105,571
|
|
7.88%, 06/15/2032(c)
|
|
362,000
|
339,602
|
|
Neptune Bidco US, Inc.,
9.50%, 02/15/2033(b)
|
|
62,000
|
63,235
|
|
NESCO Holdings II, Inc.,
5.50%, 04/15/2029(b)
|
|
488,000
|
484,923
|
|
Newell Brands, Inc.,
|
|
|
|
|
6.38%, 05/15/2030
|
|
159,000
|
160,845
|
|
6.63%, 05/15/2032(c)
|
|
324,000
|
328,025
|
|
Nexstar Media, Inc.,
|
|
|
|
|
6.50%, 09/15/2033(b)
|
|
166,000
|
165,294
|
|
7.25%, 04/15/2034(b)
|
|
156,000
|
156,478
|
|
NextEra Energy Capital
Holdings, Inc., 6.75%,
06/15/2054(d)
|
|
4,614,000
|
4,738,906
|
|
NRG Energy, Inc., 5.75%,
07/15/2029(b)
|
|
650,000
|
650,019
|
|
Oak-Eagle AcquireCo, Inc.,
|
|
|
|
|
7.25%, 07/01/2033(b)
|
|
153,000
|
158,655
|
|
8.75%, 07/01/2034(b)
|
|
457,000
|
481,720
|
|
Oceaneering International,
Inc., 6.88%,
07/15/2034(b)
|
|
121,000
|
123,868
|
|
OneMain Finance Corp.,
|
|
|
|
|
4.00%, 09/15/2030
|
|
76,000
|
69,729
|
|
7.13%, 11/15/2031
|
|
109,000
|
110,529
|
|
6.75%, 03/15/2032
|
|
267,000
|
266,040
|
|
7.13%, 09/15/2032
|
|
191,000
|
193,239
|
|
ONEOK, Inc.,
|
|
|
|
|
5.55%, 11/01/2026
|
|
2,947,000
|
2,953,487
|
|
6.63%, 09/01/2053(c)
|
|
3,698,000
|
3,707,889
|
|
Organon & Co./Organon
Foreign Debt Co-Issuer
B.V., 7.88%,
05/15/2034(b)
|
|
200,000
|
213,610
|
|
Osaic Holdings, Inc., 6.75%,
08/01/2032(b)
|
|
315,000
|
316,285
|
|
PacifiCorp, 7.13%,
08/15/2056(d)
|
|
5,984,000
|
5,894,427
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Par Petroleum LLC, 7.38%,
06/01/2034(b)
|
|
$335,000
|
$346,875
|
|
Paramount Global,
|
|
|
|
|
4.95%, 01/15/2031
|
|
174,000
|
159,526
|
|
6.88%, 04/30/2036
|
|
177,000
|
161,874
|
|
4.38%, 03/15/2043
|
|
262,000
|
160,294
|
|
PBF Holding Co. LLC/PBF
Finance Corp., 7.25%,
06/01/2034(b)(c)
|
|
323,000
|
328,220
|
|
Penske Truck Leasing Co.
L.P./PTL Finance Corp.,
6.05%, 08/01/2028(b)
|
|
7,383,000
|
7,542,337
|
|
Petco Health & Wellness Co.,
Inc., 8.25%,
02/01/2031(b)
|
|
157,000
|
157,619
|
|
PetSmart LLC/PetSmart
Finance Corp., 7.50%,
09/15/2032(b)
|
|
319,000
|
322,575
|
|
Phinia, Inc., 6.63%,
10/15/2032(b)
|
|
321,000
|
324,483
|
|
PNC Financial Services Group,
Inc. (The), 6.62%,
10/20/2027(d)
|
|
4,193,000
|
4,211,097
|
|
PR RNO Property Owner 1 LLC,
6.50%, 05/01/2031(b)
|
|
489,000
|
461,053
|
|
Prairie Acquiror L.P., 9.00%,
08/01/2029(b)
|
|
88,000
|
90,823
|
|
Provident Funding Associates
L.P./PFG Finance Corp.,
9.75%, 09/15/2029(b)
|
|
432,000
|
446,352
|
|
RD Michigan Property Owner I
LLC, 7.50%,
03/30/2045(b)
|
|
169,000
|
163,925
|
|
Reinsurance Group of
America, Inc., 6.65%,
09/15/2055(c)(d)
|
|
723,000
|
721,477
|
|
Rithm Capital Corp., 8.50%,
06/01/2031(b)
|
|
154,000
|
154,569
|
|
Rocket Cos., Inc.,
|
|
|
|
|
6.13%, 08/01/2030(b)
|
|
305,000
|
307,639
|
|
6.13%, 08/01/2031(b)
|
|
95,000
|
95,485
|
|
6.38%, 08/01/2033(b)
|
|
74,000
|
74,532
|
|
S&S Holdings LLC, 8.38%,
10/01/2031(b)
|
|
169,000
|
163,340
|
|
Saks Global Enterprises LLC,
11.00%, 12/15/2029(g)(i)
|
|
339,720
|
0
|
|
Seagate Data Storage Technology
Pte. Ltd.,
|
|
|
|
|
4.13%, 01/15/2031
|
|
1,069,000
|
1,012,386
|
|
9.63%, 12/01/2032
|
|
1,512,800
|
1,659,610
|
|
Sempra,
|
|
|
|
|
4.13%, 04/01/2052(d)
|
|
10,842,000
|
10,764,705
|
|
6.38%, 04/01/2056(d)
|
|
2,088,000
|
2,102,507
|
|
Sensata Technologies, Inc.,
3.75%, 02/15/2031(b)
|
|
357,000
|
332,483
|
|
Sinclair Television Group, Inc.,
8.13%, 02/15/2033(b)
|
|
60,000
|
61,603
|
|
Six Flags Entertainment
Corp./Six Flags Theme
Parks, Inc./Canada’s
Wonderland Co., 6.63%,
05/01/2032(b)
|
|
160,000
|
161,353
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Solaris Energy
Infrastructure LLC, 6.38%,
05/15/2031(b)
|
|
$331,000
|
$325,325
|
|
Solventum Corp., 5.45%,
02/25/2027
|
|
1,556,000
|
1,563,164
|
|
Southern Co. (The),
Series 21-A, 3.75%,
09/15/2051(d)
|
|
5,367,000
|
5,360,588
|
|
Starz Capital Holdings 1, Inc.,
6.00%, 04/15/2030(b)
|
|
348,000
|
335,785
|
|
State Street Corp.,
|
|
|
|
|
Series I, 6.70%(c)(d)(e)
|
|
3,415,000
|
3,493,408
|
|
6.45%(d)(e)
|
|
8,733,000
|
8,872,824
|
|
Summit Midstream
Holdings LLC, 8.63%,
10/31/2029(b)(c)
|
|
297,000
|
308,601
|
|
Sunoco L.P.,
|
|
|
|
|
5.63%, 03/15/2031(b)
|
|
334,000
|
329,853
|
|
6.63%, 08/15/2032(b)
|
|
280,000
|
282,846
|
|
6.25%, 07/01/2033(b)
|
|
242,000
|
242,724
|
|
5.88%, 03/15/2034(b)
|
|
257,000
|
251,704
|
|
7.88%(b)(d)(e)
|
|
160,000
|
164,113
|
|
Tenet Healthcare Corp.,
|
|
|
|
|
6.75%, 05/15/2031
|
|
20,000
|
20,410
|
|
5.50%, 11/15/2032(b)
|
|
328,000
|
323,168
|
|
Tidewater, Inc., 9.13%,
07/15/2030(b)
|
|
298,000
|
318,691
|
|
TransDigm, Inc.,
|
|
|
|
|
6.75%, 08/15/2028(b)
|
|
3,600,000
|
3,627,039
|
|
6.38%, 03/01/2029(b)
|
|
720,000
|
729,562
|
|
6.00%, 01/15/2033(b)
|
|
13,000
|
13,014
|
|
6.25%, 01/31/2034(b)
|
|
301,000
|
304,183
|
|
6.13%, 07/31/2034(b)
|
|
383,000
|
379,177
|
|
Transocean International Ltd.,
7.88%, 10/15/2032(b)
|
|
326,000
|
339,763
|
|
U.S. International
Development Finance
Corp., Series 4, 3.13%,
04/15/2028
|
|
1,120,000
|
1,105,415
|
|
United Airlines Holdings, Inc.,
5.38%, 03/01/2031(c)
|
|
808,000
|
798,424
|
|
United Rentals (North
America), Inc., 6.00%,
12/15/2029(b)
|
|
7,500,000
|
7,586,993
|
|
Uniti Services LLC, 7.50%,
10/15/2033(b)
|
|
309,000
|
316,067
|
|
Univision Communications, Inc.,
|
|
|
|
|
8.50%, 07/31/2031(b)
|
|
184,000
|
183,726
|
|
9.38%, 08/01/2032(b)
|
|
130,000
|
129,942
|
|
Venture Global LNG, Inc.,
|
|
|
|
|
8.38%, 06/01/2031(b)
|
|
286,000
|
295,812
|
|
9.88%, 02/01/2032(b)(c)
|
|
326,000
|
347,237
|
|
9.00%(b)(c)(d)(e)
|
|
331,000
|
329,883
|
|
Venture Global Plaquemines
LNG LLC,
|
|
|
|
|
6.13%, 12/15/2030(b)
|
|
196,000
|
199,234
|
|
6.50%, 01/15/2034(b)
|
|
121,000
|
124,913
|
|
6.75%, 01/15/2036(b)(c)
|
|
334,000
|
349,772
|
|
Veritiv Operating Co.,
10.50%, 11/30/2030(b)
|
|
157,000
|
161,267
|
|
Verizon Communications, Inc.,
6.20%, 05/14/2056(d)
|
|
13,647,000
|
13,362,043
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Versant Media Group, Inc.,
7.25%, 01/30/2031(b)(c)
|
|
$308,000
|
$317,742
|
|
Viatris, Inc., 3.85%,
06/22/2040
|
|
2,254,000
|
1,724,985
|
|
VoltaGrid LLC, 7.38%,
11/01/2030(b)
|
|
661,000
|
664,679
|
|
Walker & Dunlop, Inc., 6.63%,
04/01/2033(b)
|
|
296,000
|
296,613
|
|
Wayfair LLC, 7.75%,
09/15/2030(b)
|
|
306,000
|
320,865
|
|
Whirlpool Corp., 7.50%,
07/01/2031(b)
|
|
490,000
|
488,166
|
|
WULF Compute LLC, 7.75%,
10/15/2030(b)
|
|
157,000
|
163,258
|
|
Yondr JK 1 LLC, 6.88%,
06/30/2031(b)
|
|
164,000
|
156,357
|
|
|
|
|
266,683,015
|
|
Uzbekistan–0.09%
|
|||
|
Navoi Mining & Metallurgical
Co., 6.70%,
10/17/2028(b)
|
|
1,380,000
|
1,409,285
|
|
Total U.S. Dollar Denominated Bonds & Notes
(Cost $505,581,356)
|
499,809,852
|
||
|
|
|
|
|
|
Non-U.S. Dollar Denominated Bonds & Notes–21.64%(k)
|
|||
|
Argentina–0.48%
|
|||
|
Argentina Treasury Bond,
29.50%, 05/27/2027(l)
|
ARS
|
10,335,000,000
|
7,812,922
|
|
Australia–0.72%
|
|||
|
Australia Government Bond,
2.50%, 09/20/2030(b)
|
AUD
|
10,670,000
|
11,737,322
|
|
Belgium–0.27%
|
|||
|
KBC Group N.V., 8.00%(b)(d)(e)
|
EUR
|
3,600,000
|
4,457,760
|
|
Brazil–6.76%
|
|||
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
Series B, 6.00%,
05/15/2055
|
BRL
|
26,010,000
|
20,256,126
|
|
Series F, 10.00%,
01/01/2031
|
BRL
|
523,000,000
|
90,395,326
|
|
|
|
|
110,651,452
|
|
Canada–0.68%
|
|||
|
Province of Ontario, 5.85%,
03/08/2033
|
CAD
|
13,800,000
|
11,069,040
|
|
France–1.79%
|
|||
|
BPCE S.A.,
|
|
|
|
|
5.13%, 01/25/2035(b)(d)
|
EUR
|
8,700,000
|
10,377,403
|
|
Series NC5, 1.50%,
01/13/2042(b)(d)
|
EUR
|
3,000,000
|
3,450,443
|
|
Credit Agricole S.A.,
4.00%(b)(d)(e)
|
EUR
|
3,700,000
|
4,261,833
|
|
Electricite de France S.A.,
|
|
|
|
|
7.50%(b)(d)(e)
|
EUR
|
2,600,000
|
3,182,648
|
|
7.38%(b)(d)(e)
|
GBP
|
3,700,000
|
5,166,856
|
|
4.38%(b)(d)(e)
|
EUR
|
2,600,000
|
2,924,675
|
|
|
|
|
29,363,858
|
|
|
Principal
Amount
|
Value
|
|
|
Germany–1.40%
|
|||
|
Deutsche Bank AG,
4.63%(b)(d)(e)
|
EUR
|
5,000,000
|
$5,747,327
|
|
Norddeutsche Landesbank -
Girozentrale, 4.38%,
12/10/2035(b)(d)
|
EUR
|
3,800,000
|
4,393,907
|
|
Volkswagen International Finance
N.V.,
|
|
|
|
|
3.88%(b)(d)(e)
|
EUR
|
7,500,000
|
8,417,603
|
|
5.49%(b)(d)(e)
|
EUR
|
3,700,000
|
4,288,116
|
|
|
|
|
22,846,953
|
|
Greece–0.13%
|
|||
|
Eurobank S.A., 5.88%,
11/28/2029(b)(d)
|
EUR
|
1,825,000
|
2,212,059
|
|
Ivory Coast–0.16%
|
|||
|
Ivory Coast Government
International Bond,
5.25%, 03/22/2030(b)
|
EUR
|
2,300,000
|
2,666,183
|
|
Mexico–4.96%
|
|||
|
Mexican Bonos, Series M,
8.50%, 02/28/2030
|
MXN
|
1,241,000,000
|
72,189,204
|
|
Mexican Udibonos, Series M,
4.00%, 08/24/2034
|
MXN
|
163,058,020
|
9,036,477
|
|
|
|
|
81,225,681
|
|
Netherlands–0.27%
|
|||
|
Athora Netherlands N.V.,
6.75%(b)(d)(e)
|
EUR
|
3,650,000
|
4,499,092
|
|
South Africa–2.42%
|
|||
|
Republic of South Africa
Government Bond,
|
|
|
|
|
Series 2040, 9.00%,
01/31/2040
|
ZAR
|
315,000,000
|
18,765,252
|
|
Series 2048, 8.75%,
02/28/2048
|
ZAR
|
361,910,000
|
20,801,096
|
|
|
|
|
39,566,348
|
|
Spain–0.27%
|
|||
|
Telefonica Europe, B.V.,
6.75%(b)(d)(e)
|
EUR
|
3,600,000
|
4,480,988
|
|
Supranational–0.36%
|
|||
|
International Finance Corp.,
|
|
|
|
|
0.00%, 02/15/2029(b)(g)
|
TRY
|
10,300,000
|
89,584
|
|
0.00%, 04/26/2052(g)
|
MXN
|
1,084,680,000
|
5,861,950
|
|
|
|
|
5,951,534
|
|
United Kingdom–0.46%
|
|||
|
Barclays PLC, 8.88%(b)(d)(e)
|
GBP
|
3,000,000
|
4,174,759
|
|
Pinewood Finco PLC, 6.38%,
07/31/2032(b)
|
GBP
|
119,000
|
160,716
|
|
Standard Life PLC,
5.75%(b)(d)(e)
|
GBP
|
2,185,000
|
2,916,020
|
|
VMED O2 UK Financing I PLC,
4.50%, 07/15/2031(b)
|
GBP
|
275,000
|
304,102
|
|
|
|
|
7,555,597
|
|
United States–0.51%
|
|||
|
General Mills, Inc., 4.75%,
07/16/2056(d)
|
EUR
|
7,300,000
|
8,283,404
|
|
Total Non-U.S. Dollar Denominated Bonds & Notes
(Cost $345,463,711)
|
354,380,193
|
||
|
|
Principal
Amount
|
Value
|
|
|
Asset-Backed Securities–18.74%
|
|||
|
Angel Oak Mortgage Trust,
|
|
|
|
|
Series 2024-8, Class A3,
5.75%, 05/27/2069(b)
|
|
$1,797,855
|
$1,795,391
|
|
Series 2024-12, Class A2,
5.86%, 10/25/2069(b)
|
|
529,732
|
530,780
|
|
Series 2024-12, Class A3,
6.01%, 10/25/2069(b)
|
|
860,036
|
861,560
|
|
Series 2025-6, Class A3,
5.92%, 04/25/2070(b)
|
|
2,178,978
|
2,180,219
|
|
Bear Stearns Adjustable Rate
Mortgage Trust,
Series 2006-1, Class A1,
0.65% (1 yr. U.S. Treasury
Yield Curve Rate + 2.25%),
02/25/2036(m)
|
|
7,540
|
7,255
|
|
Benchmark Mortgage Trust,
Series 2018-B1, Class XA,
IO, 0.50%,
01/15/2051(n)
|
|
7,548,722
|
48,223
|
|
BRAVO Residential Funding Trust,
|
|
|
|
|
Series 2023-NQM7,
Class A1, 7.13%,
09/25/2063(b)
|
|
1,606,144
|
1,608,672
|
|
Series 2023-NQM7,
Class A2, 7.38%,
09/25/2063(b)
|
|
2,261,570
|
2,264,866
|
|
CD Mortgage Trust,
Series 2017-CD6,
Class XA, IO, 0.86%,
11/13/2050(n)
|
|
3,708,080
|
26,397
|
|
Citigroup Commercial
Mortgage Trust,
Series 2017-C4, Class XA,
IO, 0.97%, 10/12/2050(n)
|
|
10,928,948
|
85,698
|
|
Citigroup Mortgage Loan Trust,
|
|
|
|
|
Series 2006-AR1,
Class 1A1, 5.90% (1 yr.
U.S. Treasury Yield Curve
Rate + 2.40%),
10/25/2035(m)
|
|
58,690
|
56,722
|
|
Series 2025-2, Class A10,
6.00%, 02/25/2055(b)(f)
|
|
1,264,499
|
1,261,261
|
|
Citigroup Mortgage Loan
Trust, Inc., Series 2005-2,
Class 1A3, 2.82%,
05/25/2035(f)
|
|
266,426
|
261,182
|
|
COLT Mortgage Loan Trust,
Series 2024-INV1,
Class A3, 6.48%,
12/25/2068(b)
|
|
645,598
|
646,807
|
|
Countrywide Home Loans Mortgage
Pass-Through Trust,
|
|
|
|
|
Series 2005-17,
Class 1A8, 5.50%,
09/25/2035
|
|
187,664
|
179,325
|
|
Series 2005-J4, Class A7,
5.50%, 11/25/2035
|
|
371,266
|
300,192
|
|
|
Principal
Amount
|
Value
|
|
|
Cross Mortgage Trust,
|
|
|
|
|
Series 2026-NQM8,
Class A2, 5.68%,
07/25/2071(b)
|
|
$3,641,164
|
$3,630,992
|
|
Series 2026-NQM8,
Class A3, 5.79%,
07/25/2071(b)
|
|
2,518,887
|
2,514,350
|
|
Series 2026-NQM8,
Class A1, 5.58%,
07/25/2071(b)(f)
|
|
1,356,708
|
1,356,504
|
|
CWHEQ Revolving Home Equity
Loan Trust, Series 2006-H,
Class 2A1A, 2.49% (1 mo.
Term SOFR + 0.26%),
11/15/2036(m)
|
|
16,001
|
14,426
|
|
FREMF Mortgage Trust,
Series 2017-K62, Class B,
3.89%, 01/25/2050(b)(f)
|
|
840,000
|
835,160
|
|
GCAT Trust,
|
|
|
|
|
Series 2024-INV3,
Class A17, 6.50%,
09/25/2054(b)(f)
|
|
273,027
|
277,624
|
|
Series 2025-NQM2,
Class A1, 5.60%,
04/25/2070(b)
|
|
1,639,407
|
1,638,361
|
|
GS Mortgage-Backed Securities
Trust,
|
|
|
|
|
Series 2025-HE1,
Class A1, 5.17% (30 Day
Average SOFR + 1.55%),
10/25/2055(b)(m)
|
|
3,842,151
|
3,859,146
|
|
Series 2025-HE1,
Class M1, 5.67% (30 Day
Average SOFR + 2.05%),
10/25/2055(b)(m)
|
|
710,000
|
716,616
|
|
Series 2025-NQM3,
Class A1, 5.14%,
11/25/2065(b)
|
|
4,068,761
|
4,047,305
|
|
Series 2025-NQM4,
Class A2, 5.31%,
10/25/2065(b)
|
|
1,595,328
|
1,586,275
|
|
Series 2025-NQM4,
Class A3, 5.46%,
10/25/2065(b)
|
|
1,595,328
|
1,586,262
|
|
Series 2025-NQM3,
Class A2, 5.34%,
11/25/2065(b)
|
|
1,017,195
|
1,012,659
|
|
Series 2025-CES2,
Class A1, 5.18%,
09/25/2055(b)
|
|
2,783,496
|
2,763,556
|
|
Series 2026-NQM4,
Class A1, 5.46%,
06/25/2066(b)(f)
|
|
3,414,508
|
3,400,935
|
|
Series 2026-NQM4,
Class A3, 5.82%,
06/25/2066(b)
|
|
1,574,467
|
1,569,000
|
|
GSR Mortgage Loan Trust,
Series 2005-AR4,
Class 6A1, 4.80%,
07/25/2035(f)
|
|
18,722
|
17,920
|
|
Hilton Grand Vacations Trust,
Series 2025-2A, Class A,
4.54%, 05/25/2044(b)
|
|
879,210
|
873,336
|
|
|
Principal
Amount
|
Value
|
|
|
J.P. Morgan Mortgage Trust,
|
|
|
|
|
Series 2007-A1,
Class 5A1, 5.04%,
07/25/2035(f)
|
|
$19,919
|
$19,858
|
|
Series 2025-NQM4,
Class A2, 5.16%,
03/25/2066(b)
|
|
1,860,025
|
1,838,574
|
|
Series 2025-NQM4,
Class A3, 5.26%,
03/25/2066(b)
|
|
1,860,025
|
1,837,019
|
|
Series 2026-CES1,
Class A1, 4.96%,
06/25/2056(b)
|
|
3,274,906
|
3,235,068
|
|
Series 2026-CES1,
Class M1, 5.73%,
06/25/2056(b)
|
|
1,500,000
|
1,477,278
|
|
Series 2026-5, Class A4,
5.50%, 12/25/2056(b)(f)
|
|
3,587,659
|
3,572,039
|
|
JPMBB Commercial Mortgage
Securities Trust,
Series 2014-C24, Class B,
4.12%, 11/15/2047(f)
|
|
1,655,000
|
1,555,924
|
|
Lightpath Fiber Issuer LLC,
|
|
|
|
|
Series 2026-1A, Class A2,
5.60%, 03/25/2056(b)
|
|
8,500,000
|
8,438,338
|
|
Series 2026-1A, Class B,
5.89%, 03/25/2056(b)
|
|
4,500,000
|
4,415,215
|
|
MASTR Asset Backed
Securities Trust,
Series 2006-WMC3,
Class A3, 4.04% (1 mo.
Term SOFR + 0.31%),
08/25/2036(m)
|
|
2,732,038
|
907,495
|
|
MFA Trust, Series 2026-
INVR1, Class A1, 5.39%,
12/25/2059(b)(f)
|
|
918,577
|
912,838
|
|
Morgan Stanley Capital I Trust,
Series 2017-HR2,
Class XA, IO, 0.85%,
12/15/2050(n)
|
|
3,868,593
|
32,265
|
|
Morgan Stanley Re-REMIC
Trust, Series 2012-R3,
Class 1B, 6.00%,
11/26/2036(b)(f)
|
|
4,580,648
|
4,140,936
|
|
Morgan Stanley Residential
Mortgage Loan Trust,
|
|
|
|
|
Series 2024-NQM5,
Class A3, 6.00%,
10/25/2069(b)
|
|
1,294,730
|
1,295,432
|
|
Series 2025-NQM1,
Class A3, 6.14%,
11/25/2069(b)
|
|
2,029,027
|
2,034,782
|
|
Series 2024-NQM1,
Class A2, 6.41%,
12/25/2068(b)
|
|
1,224,880
|
1,227,275
|
|
Series 2024-NQM2,
Class A3, 6.79%,
05/25/2069(b)
|
|
2,138,269
|
2,149,172
|
|
New Residential Mortgage
Loan Trust, Series 2026-
NQM6, Class A1, 5.29%,
05/25/2066(b)(f)
|
|
3,893,006
|
3,867,232
|
|
|
Principal
Amount
|
Value
|
|
|
OBX Trust,
|
|
|
|
|
Series 2022-NQM7,
Class A3, 5.70%,
08/25/2062(b)
|
|
$582,496
|
$581,517
|
|
Series 2022-NQM7,
Class A2, 5.70%,
08/25/2062(b)
|
|
1,120,184
|
1,118,468
|
|
Series 2024-NQM12,
Class A1, 5.48%,
07/25/2064(b)
|
|
332,414
|
332,542
|
|
Series 2024-NQM12,
Class A2, 5.78%,
07/25/2064(b)
|
|
709,326
|
710,411
|
|
Series 2024-NQM12,
Class A3, 5.83%,
07/25/2064(b)
|
|
353,354
|
353,589
|
|
Series 2024-NQM12,
Class M1, 5.93%,
07/25/2064(b)(f)
|
|
690,000
|
690,714
|
|
Series 2024-NQM18,
Class A3, 5.87%,
10/25/2064(b)
|
|
1,583,121
|
1,584,458
|
|
Series 2025-HE2,
Class A1, 5.07% (30 Day
Average SOFR + 1.45%),
08/25/2055(b)(m)
|
|
3,746,995
|
3,757,053
|
|
PMT Loan Trust,
|
|
|
|
|
Series 2025-INV1,
Class A7, 6.00%,
01/25/2060(b)(f)
|
|
687,361
|
687,878
|
|
Series 2025-INV6,
Class A8, 6.00%,
06/25/2056(b)(f)
|
|
373,749
|
373,372
|
|
Qdoba Funding LLC,
Series 2026-1A, Class A2,
6.70%, 06/14/2056(b)
|
|
6,260,000
|
6,260,824
|
|
Rate Mortgage Trust,
|
|
|
|
|
Series 2024-J3, Class A2,
5.50%, 10/25/2054(b)(f)
|
|
529,274
|
519,459
|
|
Series 2025-J2, Class A5,
5.50%, 07/25/2055(b)(f)
|
|
2,646,571
|
2,636,161
|
|
RCKT Mortgage Trust,
|
|
|
|
|
Series 2025-CES5,
Class A1A, 5.69%,
05/25/2055(b)
|
|
523,170
|
524,536
|
|
Series 2025-CES5,
Class A1B, 5.84%,
05/25/2055(b)
|
|
1,373,322
|
1,377,674
|
|
Series 2025-CES6,
Class A1A, 5.47%,
06/25/2055(b)
|
|
765,648
|
765,368
|
|
Series 2026-CES1,
Class A1A, 4.83%,
01/25/2056(b)
|
|
1,393,481
|
1,375,865
|
|
Residential Accredit Loans,
Inc. Trust, Series 2006-
QS13, Class 1A8, 6.00%,
09/25/2036
|
|
16,946
|
13,442
|
|
SBNA Auto Receivables Trust,
|
|
|
|
|
Series 2025-SF1, Class C,
5.14%, 04/15/2031(b)
|
|
314,625
|
315,076
|
|
Series 2025-SF1, Class D,
5.34%, 09/15/2031(b)
|
|
700,000
|
700,273
|
|
Sequoia Mortgage Trust,
Series 2025-8, Class A4,
5.50%, 09/25/2055(b)(f)
|
|
2,681,312
|
2,675,325
|
|
|
Principal
Amount
|
Value
|
|
|
Sonic Capital LLC,
Series 2020-1A, Class A2I,
3.85%, 01/20/2050(b)
|
|
$2,140,396
|
$2,129,552
|
|
Subway Funding LLC,
Series 2024-1A, Class A2I,
6.27%, 07/30/2054(b)
|
|
281,978
|
283,769
|
|
Switch ABS Issuer LLC,
Series 2025-2A,
Class A22, 5.37%,
10/25/2055(b)
|
|
2,880,000
|
2,799,194
|
|
UBS Commercial Mortgage
Trust, Series 2017-C5,
Class XA, IO, 1.08%,
11/15/2050(n)
|
|
4,961,258
|
37,332
|
|
Vantage Data Centers
Issuer LLC, Series 2025-
2A, Class A2, 5.24%,
11/15/2055(b)
|
|
2,520,000
|
2,432,721
|
|
VB-S1 Issuer LLC,
|
|
|
|
|
Series 2026-1A, Class C2,
4.69%, 03/15/2056(b)
|
|
7,000,000
|
6,791,626
|
|
Series 2026-1A, Class D,
5.19%, 03/15/2056(b)
|
|
3,710,000
|
3,631,034
|
|
WaMu Mortgage Pass-Through
Ctfs. Trust, Series 2003-
AR10, Class A7, 5.63%,
10/25/2033(f)
|
|
16,239
|
15,670
|
|
Wells Fargo Commercial
Mortgage Trust,
Series 2017-C42,
Class XA, IO, 0.81%,
12/15/2050(n)
|
|
5,167,809
|
45,722
|
|
Westlake Automobile Receivables
Trust,
|
|
|
|
|
Series 2024-3A, Class D,
5.21%, 04/15/2030(b)
|
|
3,500,000
|
3,511,681
|
|
Series 2026-1A, Class C,
4.37%, 06/16/2031(b)
|
|
3,650,000
|
3,616,182
|
|
WFRBS Commercial Mortgage
Trust, Series 2013-C14,
Class AS, 3.49%,
06/15/2046
|
|
105,136
|
103,397
|
|
Alba PLC,
|
|
|
|
|
Series 2007-1, Class F,
7.12% (SONIA + 3.37%),
03/17/2039(b)(k)(m)
|
GBP
|
1,160,322
|
1,478,348
|
|
Series 2006-2, Class F,
7.12% (SONIA + 3.37%),
12/15/2038(b)(k)(m)
|
GBP
|
770,904
|
965,489
|
|
Auburn 15 PLC,
|
|
|
|
|
Series E, 5.74% (SONIA +
2.00%),
07/20/2045(b)(k)(m)
|
GBP
|
1,401,000
|
1,872,366
|
|
Series F, 6.24% (SONIA +
2.50%),
07/20/2045(b)(k)(m)
|
GBP
|
1,666,000
|
2,227,430
|
|
Bridgegate Funding PLC,
Series 2023-1A, Class BR,
0.00% (SONIA + 1.50%),
05/15/2080(b)(g)(m)
|
GBP
|
3,650,000
|
4,932,577
|
|
|
Principal
Amount
|
Value
|
|
|
Eurosail PLC,
|
|
|
|
|
Series 2006-2X,
Class E1C, 7.12% (SONIA +
3.37%),
12/15/2044(b)(k)(m)
|
GBP
|
5,550,000
|
$6,914,572
|
|
Series 2006-4X,
Class E1C, 6.87% (SONIA +
3.12%),
12/10/2044(b)(k)(m)
|
GBP
|
4,135,722
|
5,008,610
|
|
Series 2006-2X,
Class D1A, 3.20% (3 mo.
EURIBOR + 0.80%),
12/15/2044(b)(k)(m)
|
EUR
|
6,300,000
|
6,925,198
|
|
Eurosail-UK NC PLC,
|
|
|
|
|
Series 2007-1X,
Class D1C, 4.76% (SONIA +
1.01%),
03/13/2045(b)(k)(m)
|
GBP
|
1,750,000
|
2,086,421
|
|
Series 2007-1X,
Class D1A, 3.24% (3 mo.
EURIBOR + 0.84%),
03/13/2045(b)(k)(m)
|
EUR
|
2,800,000
|
2,839,382
|
|
Eurosail-UK NP PLC,
Series 2007-2X,
Class D1A, 3.20% (3 mo.
EURIBOR + 0.80%),
03/13/2045(b)(k)(m)
|
EUR
|
8,400,000
|
8,668,460
|
|
Frontier Mortgage Funding PLC,
|
|
|
|
|
Series 2025-1, Class E,
6.24% (SONIA + 2.50%),
12/20/2066(b)(k)(m)
|
GBP
|
2,000,000
|
2,695,048
|
|
Series 2025-1, Class F,
7.24% (SONIA + 3.50%),
12/20/2066(b)(k)(m)
|
GBP
|
1,000,000
|
1,347,575
|
|
Great Hall Mortgages No. 1
PLC, Series 2007-2X,
Class EB, 6.16% (3 mo.
EURIBOR + 3.75%),
06/18/2039(b)(k)(m)
|
EUR
|
4,570,000
|
5,147,607
|
|
Harvest Funding PLC,
|
|
|
|
|
Series 1A, Class C, 0.00%
(SONIA + 1.70%),
11/15/2069(b)(g)(k)(m)
|
GBP
|
1,770,000
|
2,383,460
|
|
Series 1A, Class A, 0.00%
(SONIA + 0.90%),
11/15/2069(b)(g)(k)(m)
|
GBP
|
2,190,000
|
2,951,474
|
|
Series 1A, Class B, 0.00%
(SONIA + 1.30%),
11/15/2069(b)(g)(k)(m)
|
GBP
|
1,825,000
|
2,448,963
|
|
Jupiter Mortgage No.1 PLC,
|
|
|
|
|
Series 1A, Class ER, 7.75%
(SONIA + 4.00%),
07/20/2055(b)(k)(m)
|
GBP
|
3,070,000
|
4,146,263
|
|
Series 1A, Class FR, 8.75%
(SONIA + 5.00%),
07/20/2055(b)(k)(m)
|
GBP
|
1,897,000
|
2,562,009
|
|
Ludgate Funding PLC,
|
|
|
|
|
Series 2007-1, Class MA,
4.11% (SONIA + 0.36%),
01/01/2061(b)(k)(m)
|
GBP
|
2,002,435
|
2,553,079
|
|
Series 2006-1X,
Class A2A, 4.06% (SONIA
+ 0.31%),
12/01/2060(b)(k)(m)
|
GBP
|
3,944,455
|
5,263,410
|
|
Mortgage Funding PLC,
Series 2008-1, Class B2,
7.07% (SONIA + 3.32%),
03/13/2046(b)(k)(m)
|
GBP
|
14,462,095
|
18,321,879
|
|
|
Principal
Amount
|
Value
|
|
|
Newday Funding Master Issuer PLC,
|
|
|
|
|
Series 2025-1X, Class E,
0.00% (SONIA + 3.30%),
04/15/2033(b)(g)(m)
|
GBP
|
3,490,000
|
$4,744,877
|
|
Series 2024-3X, Class E,
7.49% (SONIA + 3.75%),
11/15/2032(b)(m)
|
GBP
|
2,475,000
|
3,381,529
|
|
Series 2025-2X, Class E,
6.74% (SONIA + 3.00%),
07/15/2033(b)(m)
|
GBP
|
1,000,000
|
1,347,619
|
|
Newgate Funding PLC,
|
|
|
|
|
Series 2006-2, Class CB,
2.75% (3 mo. EURIBOR +
0.43%),
12/01/2050(b)(k)(m)
|
EUR
|
1,009,107
|
1,103,361
|
|
Series 2007-3X, Class CB,
3.90% (3 mo. EURIBOR +
1.50%),
12/15/2050(b)(k)(m)
|
EUR
|
589,782
|
662,669
|
|
Pavillion Consumer PLC,
|
|
|
|
|
Series 2025-1A, Class C,
5.34% (SONIA + 1.60%),
01/25/2036(b)(m)
|
GBP
|
7,200,000
|
9,714,353
|
|
Series 2025-1A, Class D,
5.64% (SONIA + 1.90%),
01/25/2036(b)(m)
|
GBP
|
3,600,000
|
4,844,702
|
|
RMAC Securities No. 1 PLC,
|
|
|
|
|
Series 2006-NS2X,
Class A2, 4.02% (SONIA +
0.27%),
06/12/2044(b)(k)(m)
|
GBP
|
718,896
|
961,439
|
|
Series 2006-NS4X,
Class A3, 4.04% (SONIA +
0.29%),
06/12/2044(b)(k)(m)
|
GBP
|
738,936
|
988,165
|
|
Series 2007-NS1X,
Class A2, 4.02% (SONIA +
0.27%),
06/12/2044(b)(k)(m)
|
GBP
|
780,948
|
1,038,188
|
|
Towd Point Mortgage Funding 2024
- Granite 6 PLC,
|
|
|
|
|
Series 2024-GR6X, Class F,
8.25% (SONIA + 4.50%),
07/20/2053(b)(k)(m)
|
GBP
|
1,380,000
|
1,862,290
|
|
Series 2024-GR6A,
Class F, 8.25% (SONIA +
4.50%),
07/20/2053(b)(k)(m)
|
GBP
|
2,126,000
|
2,869,006
|
|
Series 2024-GR6X, Class E,
7.25% (SONIA + 3.50%),
07/20/2053(b)(k)(m)
|
GBP
|
1,980,000
|
2,675,962
|
|
Towd Point Mortgage Funding
2024 - Granite 7 PLC,
Series 2024-GR7X, Class E,
6.99% (SONIA + 3.25%),
04/20/2051(b)(k)(m)
|
GBP
|
1,555,000
|
2,098,602
|
|
Prosil Acquisition S.A.,
Series 2019-1, Class A,
4.46% (3 mo. EURIBOR +
2.00%), 10/31/2039(b)(m)
|
EUR
|
2,255,445
|
2,188,881
|
|
SC Germany S.A.
Compartment Consumer,
Series 2021-1, Class E,
5.07% (1 mo. EURIBOR +
2.80%), 11/14/2035(b)(m)
|
EUR
|
7,047,113
|
8,094,969
|
|
|
Principal
Amount
|
Value
|
|
|
Alhambra SME Funding DAC,
Series 2019-1, Class D,
11.44% (1 mo. EURIBOR +
9.25%), 11/30/2028(b)(m)
|
EUR
|
35,676
|
$40,118
|
|
Hera Financing DAC,
|
|
|
|
|
Series 2024-1A, Class B,
6.70% (SONIA + 2.95%),
11/17/2034(b)(k)(m)
|
GBP
|
3,105,176
|
4,209,853
|
|
Series 2024-1A, Class C,
7.50% (SONIA + 3.75%),
11/17/2034(b)(k)(m)
|
GBP
|
1,774,386
|
2,417,724
|
|
Series 2024-1A, Class A,
5.65% (SONIA + 1.90%),
11/17/2034(b)(k)(m)
|
GBP
|
2,217,983
|
2,991,936
|
|
IM Pastor 4, FTA, Series B,
2.58% (3 mo. EURIBOR +
0.19%),
03/22/2044(b)(k)(m)
|
EUR
|
2,300,000
|
2,040,584
|
|
Santander Consumo 8 Fondo
de Titulizacion, Series E,
6.98% (3 mo. EURIBOR +
4.50%),
01/21/2040(b)(m)
|
EUR
|
4,053,619
|
4,722,577
|
|
Fideicomiso Dorrego Y Libertador,
|
|
|
|
|
Series 1A, 2.00%,
12/31/2043(i)
|
|
$7,698,968
|
6,902,125
|
|
0.00%, 12/31/2043(f)(g)(i)
|
ARS
|
83,227,881
|
0
|
|
Fideicomiso Financiero
Invernea Proteina 2, Serie
II, 0.00%,
08/25/2032(f)(g)(i)
|
ARS
|
311,500,000
|
1,716,746
|
|
Total Asset-Backed Securities
(Cost $309,094,729)
|
306,881,497
|
||
|
|
|
|
|
|
U.S. Government Sponsored Agency Mortgage-Backed
Securities–6.72%
|
|||
|
Fannie Mae Grantor Trust,
|
|
|
|
|
IO,
0.62%, 11/25/2040(n)
|
|
$1,214,333
|
101
|
|
0.37%, 12/25/2041(n)
|
|
7,252,407
|
35,956
|
|
Fannie Mae Interest STRIPS,
|
|
|
|
|
IO,
6.50%, 04/25/2029 -
07/25/2032(o)
|
|
396,552
|
40,651
|
|
7.50%, 11/25/2029(o)
|
|
13,888
|
1,177
|
|
6.00%, 12/25/2032 -
08/25/2035(o)
|
|
518,360
|
58,216
|
|
5.50%, 11/25/2033 -
06/25/2035(o)
|
|
459,952
|
55,678
|
|
|
Principal
Amount
|
Value
|
|
|
Fannie Mae REMICs,
|
|
|
|
|
6.50%, 10/25/2028 -
04/25/2029
|
|
$14,304
|
$14,398
|
|
6.00%, 05/25/2031 -
01/25/2032
|
|
34,321
|
34,942
|
|
4.73% (30 Day Average
SOFR + 1.11%),
04/25/2032 -
12/25/2032(m)
|
|
41,555
|
42,012
|
|
4.24% (30 Day Average
SOFR + 0.61%),
10/18/2032(m)
|
|
16,316
|
16,327
|
|
4.23% (30 Day Average
SOFR + 0.61%),
12/25/2032(m)
|
|
29,950
|
29,965
|
|
4.13% (30 Day Average
SOFR + 0.51%),
11/25/2033(m)
|
|
14,785
|
14,765
|
|
10.89% (24.57% - (3.67
x (30 Day Average SOFR +
0.11%))), 03/25/2036(m)
|
|
82,564
|
91,442
|
|
10.52% (24.20% - (3.67
x (30 Day Average SOFR +
0.11%))), 06/25/2036(m)
|
|
63,920
|
67,514
|
|
4.67% (30 Day Average
SOFR + 1.05%),
06/25/2037(m)
|
|
46,554
|
47,104
|
|
4.00%, 03/25/2041
|
|
58,301
|
54,853
|
|
IO,
4.16% (7.90% - (30 Day
Average SOFR + 0.11%)),
11/18/2031 -
12/18/2031(m)(o)
|
|
53,219
|
4,041
|
|
4.17% (7.90% - (30 Day
Average SOFR + 0.11%)),
11/25/2031(m)(o)
|
|
1,066
|
88
|
|
4.22% (7.95% - (30 Day
Average SOFR + 0.11%)),
01/25/2032(m)(o)
|
|
13,434
|
945
|
|
4.26% (8.00% - (30 Day
Average SOFR + 0.11%)),
03/18/2032(m)(o)
|
|
24,358
|
2,043
|
|
4.37% (8.10% - (30 Day
Average SOFR + 0.11%)),
03/25/2032 -
04/25/2032(m)(o)
|
|
35,907
|
3,052
|
|
3.27% (7.00% - (30 Day
Average SOFR + 0.11%)),
04/25/2032(m)(o)
|
|
15,656
|
1,006
|
|
4.07% (7.80% - (30 Day
Average SOFR + 0.11%)),
04/25/2032(m)(o)
|
|
12,108
|
1,050
|
|
4.27% (8.00% - (30 Day
Average SOFR + 0.11%)),
07/25/2032 -
09/25/2032(m)(o)
|
|
48,763
|
4,298
|
|
4.36% (8.10% - (30 Day
Average SOFR + 0.11%)),
12/18/2032(m)(o)
|
|
36,003
|
2,559
|
|
4.47% (8.20% - (30 Day
Average SOFR + 0.11%)),
01/25/2033(m)(o)
|
|
166,068
|
13,157
|
|
4.52% (8.25% - (30 Day
Average SOFR + 0.11%)),
02/25/2033 -
05/25/2033(m)(o)
|
|
90,562
|
9,151
|
|
|
Principal
Amount
|
Value
|
|
|
7.00%, 03/25/2033 -
04/25/2033(o)
|
|
$227,459
|
$29,550
|
|
3.82% (7.55% - (30 Day
Average SOFR + 0.11%)),
10/25/2033(m)(o)
|
|
71,008
|
6,955
|
|
2.32% (6.05% - (30 Day
Average SOFR + 0.11%)),
03/25/2035 -
07/25/2038(m)(o)
|
|
74,829
|
4,045
|
|
3.02% (6.75% - (30 Day
Average SOFR + 0.11%)),
03/25/2035 -
05/25/2035(m)(o)
|
|
44,107
|
1,329
|
|
2.87% (6.60% - (30 Day
Average SOFR + 0.11%)),
05/25/2035(m)(o)
|
|
125,836
|
4,492
|
|
2.97% (6.70% - (30 Day
Average SOFR + 0.11%)),
05/25/2035(m)(o)
|
|
242,592
|
16,320
|
|
3.50% (7.23% - (30 Day
Average SOFR + 0.11%)),
09/25/2036(m)(o)
|
|
247,262
|
10,045
|
|
2.81% (6.54% - (30 Day
Average SOFR + 0.11%)),
06/25/2037(m)(o)
|
|
442,435
|
32,083
|
|
4.00%, 04/25/2041(o)
|
|
343,860
|
22,651
|
|
2.82% (6.55% - (30 Day
Average SOFR + 0.11%)),
10/25/2041(m)(o)
|
|
64,458
|
3,952
|
|
2.42% (6.15% - (30 Day
Average SOFR + 0.11%)),
12/25/2042(m)(o)
|
|
248,179
|
21,157
|
|
1.88% (30 Day Average
SOFR + 5.50%),
09/25/2054(m)(o)
|
|
38,570,159
|
1,437,159
|
|
2.18% (30 Day Average
SOFR + 5.80%),
01/25/2055(m)(o)
|
|
31,162,891
|
1,414,929
|
|
Federal Home Loan Mortgage Corp.,
|
|
|
|
|
8.50%, 08/01/2031
|
|
10,597
|
10,901
|
|
5.00%, 09/01/2052 -
03/01/2053(p)
|
|
26,046,173
|
25,374,289
|
|
4.50%, 10/01/2052
|
|
18,128,304
|
17,217,843
|
|
Federal National Mortgage
Association,
|
|
|
|
|
7.50%, 03/01/2033
|
|
3,906
|
4,006
|
|
7.00%, 12/01/2033
|
|
8,434
|
8,836
|
|
5.50%, 02/01/2035 -
03/01/2053(p)
|
|
25,315,977
|
25,264,590
|
|
4.50%, 07/01/2052
|
|
14,549,338
|
13,809,947
|
|
5.00%, 10/01/2054
|
|
5,192,907
|
5,036,493
|
|
Freddie Mac Multifamily
Structured Pass-Through
Ctfs., Series K093,
Class X1, IO, 0.94%,
05/25/2029(n)
|
|
41,497,951
|
922,541
|
|
Freddie Mac STRIPS,
|
|
|
|
|
IO,
7.00%, 04/01/2027 -
04/01/2030(o)
|
|
39,849
|
2,814
|
|
6.50%, 02/01/2028 -
06/01/2031(o)
|
|
11,950
|
1,058
|
|
7.50%, 12/15/2029(o)
|
|
15,429
|
1,244
|
|
6.00%, 12/15/2032(o)
|
|
34,056
|
3,726
|
|
|
Principal
Amount
|
Value
|
|
|
Freddie Mac REMICs,
|
|
|
|
|
6.50%, 02/15/2028 -
06/15/2032
|
|
$25,318
|
$25,927
|
|
4.19% (30 Day Average
SOFR + 0.56%),
02/15/2029(m)
|
|
1,830
|
1,830
|
|
4.39% (30 Day Average
SOFR + 0.76%),
07/15/2029(m)
|
|
2,218
|
2,222
|
|
4.74% (30 Day Average
SOFR + 1.11%),
02/15/2032 -
03/15/2032(m)
|
|
81,224
|
82,091
|
|
3.50%, 05/15/2032
|
|
25,458
|
24,924
|
|
4.24% (30 Day Average
SOFR + 0.61%),
01/15/2033(m)
|
|
2,735
|
2,735
|
|
11.04% (24.75% - (3.67
x (30 Day Average SOFR +
0.11%))), 08/15/2035(m)
|
|
55,115
|
61,096
|
|
4.00%, 06/15/2038
|
|
36,268
|
34,199
|
|
IO,
7.00%, 03/15/2028 -
04/15/2028(o)
|
|
5,578
|
214
|
|
4.36% (8.10% - (30 Day
Average SOFR + 0.11%)),
06/15/2029(m)(o)
|
|
14,205
|
610
|
|
5.21% (8.95% - (30 Day
Average SOFR + 0.11%)),
08/15/2029(m)(o)
|
|
1,506
|
32
|
|
3.31% (7.05% - (30 Day
Average SOFR + 0.11%)),
10/15/2033(m)(o)
|
|
109,000
|
5,547
|
|
2.96% (6.70% - (30 Day
Average SOFR + 0.11%)),
01/15/2035(m)(o)
|
|
182,145
|
9,083
|
|
3.01% (6.75% - (30 Day
Average SOFR + 0.11%)),
02/15/2035(m)(o)
|
|
10,494
|
500
|
|
2.98% (6.72% - (30 Day
Average SOFR + 0.11%)),
05/15/2035(m)(o)
|
|
293,868
|
17,087
|
|
2.41% (6.15% - (30 Day
Average SOFR + 0.11%)),
07/15/2035(m)(o)
|
|
102,531
|
3,415
|
|
3.26% (7.00% - (30 Day
Average SOFR + 0.11%)),
12/15/2037(m)(o)
|
|
61,908
|
4,960
|
|
2.26% (6.00% - (30 Day
Average SOFR + 0.11%)),
04/15/2038(m)(o)
|
|
36,252
|
2,273
|
|
2.33% (6.07% - (30 Day
Average SOFR + 0.11%)),
05/15/2038(m)(o)
|
|
116,486
|
7,200
|
|
2.51% (6.25% - (30 Day
Average SOFR + 0.11%)),
12/15/2039(m)(o)
|
|
44,440
|
2,313
|
|
2.38% (30 Day Average
SOFR + 6.00%),
04/25/2054(m)(o)
|
|
19,849,111
|
1,060,427
|
|
2.18% (30 Day Average
SOFR + 5.80%),
02/25/2055 -
08/25/2055(m)(o)
|
|
63,090,513
|
3,113,975
|
|
1.50% (30 Day Average
SOFR + 5.12%),
03/25/2055(m)(o)
|
|
43,780,788
|
1,378,749
|
|
|
Principal
Amount
|
Value
|
|
|
1.53% (30 Day Average
SOFR + 5.15%),
03/25/2055(m)(o)
|
|
$47,810,755
|
$1,577,850
|
|
2.33% (30 Day Average
SOFR + 5.95%),
04/25/2055(m)(o)
|
|
55,372,377
|
2,857,946
|
|
1.42% (30 Day Average
SOFR + 5.03%),
05/25/2055(m)(o)
|
|
66,251,453
|
1,946,163
|
|
1.48% (30 Day Average
SOFR + 5.10%),
08/25/2055(m)(o)
|
|
35,218,764
|
1,171,094
|
|
Government National Mortgage
Association,
|
|
|
|
|
ARM, 5.38% (1 yr.
U.S. Treasury Yield Curve
Rate + 1.50%),
07/20/2027(m)
|
|
85
|
85
|
|
7.00%, 01/15/2028 -
01/20/2030
|
|
24,500
|
24,834
|
|
8.00%, 01/15/2028 -
09/15/2028
|
|
16,444
|
16,668
|
|
IO,
2.73% (6.55% - (1 mo.
Term SOFR + 0.11%)),
04/16/2037(m)(o)
|
|
186,781
|
7,296
|
|
2.83% (6.65% - (1 mo.
Term SOFR + 0.11%)),
04/16/2041(m)(o)
|
|
264,288
|
12,647
|
|
1.28% (30 Day Average
SOFR + 4.90%),
10/20/2054(m)(o)
|
|
18,827,694
|
489,330
|
|
0.62% (30 Day Average
SOFR + 4.24%),
04/20/2055(m)(o)
|
|
39,451,737
|
463,455
|
|
0.73% (30 Day Average
SOFR + 4.35%),
04/20/2055(m)(o)
|
|
66,160,071
|
899,446
|
|
0.83% (30 Day Average
SOFR + 4.45%),
07/20/2055(m)(o)
|
|
44,902,253
|
698,917
|
|
2.28% (30 Day Average
SOFR + 5.90%),
07/20/2055(m)(o)
|
|
22,614,744
|
831,569
|
|
0.78% (30 Day Average
SOFR + 4.40%),
08/20/2055(m)(o)
|
|
136,073,970
|
1,866,731
|
|
Total U.S. Government Sponsored Agency
Mortgage-Backed Securities
(Cost $123,309,913)
|
110,014,886
|
||
|
U.S. Treasury Securities–5.41%
|
|||
|
U.S. Treasury Bills–2.56%
|
|||
|
3.62 - 3.71%,
09/17/2026(p)(q)(r)
|
|
41,992,126
|
41,997,502
|
|
3.84%, 01/14/2027(r)
|
|
1,965
|
1,966
|
|
|
|
|
41,999,468
|
|
U.S. Treasury Bonds–2.85%
|
|||
|
5.50%, 08/15/2028
|
|
47,350,358
|
46,623,354
|
|
Total U.S. Treasury Securities
(Cost $89,344,449)
|
88,622,822
|
||
|
|
Principal
Amount
|
Value
|
|
|
Agency Credit Risk Transfer Notes–5.20%
|
|||
|
United States–5.20%
|
|||
|
Fannie Mae Connecticut Avenue
Securities,
|
|
|
|
|
Series 2022-R04,
Class 1M2, 6.72% (30 Day
Average SOFR + 3.10%),
03/25/2042(b)(m)
|
|
$6,795,000
|
$6,881,620
|
|
Series 2022-R08,
Class 1M2, 7.22% (30 Day
Average SOFR + 3.60%),
07/25/2042(b)(m)
|
|
3,150,000
|
3,229,405
|
|
Series 2023-R03,
Class 2M1, 6.12% (30 Day
Average SOFR + 2.50%),
04/25/2043(b)(m)
|
|
2,996,176
|
3,014,106
|
|
Series 2023-R04,
Class 1M1, 5.92% (30 Day
Average SOFR + 2.30%),
05/25/2043(b)(m)
|
|
1,287,539
|
1,305,260
|
|
Series 2023-R06,
Class 1M1, 5.32% (30 Day
Average SOFR + 1.70%),
07/25/2043(b)(m)
|
|
433,389
|
434,394
|
|
Series 2023-R06,
Class 1M2, 6.32% (30 Day
Average SOFR + 2.70%),
07/25/2043(b)(m)
|
|
1,145,000
|
1,173,269
|
|
Series 2023-R06,
Class 1B1, 7.52% (30 Day
Average SOFR + 3.90%),
07/25/2043(b)(m)
|
|
1,310,000
|
1,373,068
|
|
Series 2023-R08,
Class 1M2, 6.12% (30 Day
Average SOFR + 2.50%),
10/25/2043(b)(m)
|
|
655,000
|
667,535
|
|
Series 2023-R08,
Class 1M1, 5.12% (30 Day
Average SOFR + 1.50%),
10/25/2043(b)(m)
|
|
133,231
|
133,287
|
|
Series 2024-R02,
Class 1M2, 5.42% (30 Day
Average SOFR + 1.80%),
02/25/2044(b)(m)
|
|
6,900,000
|
6,960,808
|
|
Series 2024-R03,
Class 2M2, 5.57% (30 Day
Average SOFR + 1.95%),
03/25/2044(b)(m)
|
|
7,070,000
|
7,128,991
|
|
Series 2026-R01,
Class 2M2, 4.97% (30 Day
Average SOFR + 1.35%),
01/25/2046(b)(m)
|
|
4,250,000
|
4,246,713
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Freddie Mac,
|
|
|
|
|
Series 2022-DNA3,
Class M1B, STACR®, 6.52%
(30 Day Average SOFR +
2.90%),
04/25/2042(b)(m)
|
|
$7,000,000
|
$7,094,150
|
|
Series 2022-HQA3,
Class M1, STACR®, 7.17%
(30 Day Average SOFR +
3.55%),
08/25/2042(b)(m)
|
|
3,500,000
|
3,595,691
|
|
Series 2022-HQA3,
Class M2, STACR®, 8.97%
(30 Day Average SOFR +
5.35%),
08/25/2042(b)(m)
|
|
3,745,000
|
3,910,698
|
|
Series 2022-DNA6,
Class M1, STACR®, 5.77%
(30 Day Average SOFR +
2.15%),
09/25/2042(b)(m)
|
|
72,691
|
72,785
|
|
Series 2023-DNA1,
Class M1, STACR®, 5.72%
(30 Day Average SOFR +
2.10%),
03/25/2043(b)(m)
|
|
1,099,474
|
1,111,142
|
|
Series 2023-HQA1,
Class M1, STACR®, 7.12%
(30 Day Average SOFR +
3.50%),
05/25/2043(b)(m)
|
|
6,498,100
|
6,749,599
|
|
Series 2023-HQA2,
Class M1, STACR®, 5.62%
(30 Day Average SOFR +
2.00%), 06/25/2043(b)(m)
|
|
323,168
|
323,502
|
|
Series 2023-HQA2,
Class M1, STACR®, 6.97%
(30 Day Average SOFR +
3.35%), 06/25/2043(b)(m)
|
|
2,100,000
|
2,157,963
|
|
Series 2023-HQA3,
Class M2, STACR®, 6.97%
(30 Day Average SOFR +
3.35%), 11/25/2043(b)(m)
|
|
6,900,000
|
7,173,253
|
|
Series 2024-DNA1,
Class M2, STACR®, 5.57%
(30 Day Average SOFR +
1.95%), 02/25/2044(b)(m)
|
|
3,450,000
|
3,482,282
|
|
Series 2024-HQA1,
Class M2, STACR®, 5.62%
(30 Day Average SOFR +
2.00%),
03/25/2044(b)(m)
|
|
3,719,100
|
3,753,193
|
|
Series 2024-DNA2,
Class M2, STACR®, 5.32%
(30 Day Average SOFR +
1.70%), 05/25/2044(b)(m)
|
|
862,500
|
867,200
|
|
Series 2024-HQA2,
Class M2, STACR®, 5.42%
(30 Day Average SOFR +
1.80%), 08/25/2044(b)(m)
|
|
3,450,000
|
3,470,334
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
Series 2025-DNA2,
Class A1, STACR®, 4.72%
(30 Day Average SOFR +
1.10%), 05/25/2045(b)(m)
|
|
$785,200
|
$787,528
|
|
Series 2026-HQA1,
Class M1, STACR®, 4.87%
(30 Day Average SOFR +
1.25%), 05/25/2046(b)(m)
|
|
4,038,578
|
4,044,974
|
|
Total Agency Credit Risk Transfer Notes
(Cost $84,650,533)
|
85,142,750
|
||
|
|
Shares |
|
|
|
Common Stocks & Other Equity Interests–1.82%
|
|||
|
Argentina–1.80%
|
|||
|
Banco BBVA Argentina S.A.
|
860,393
|
5,786,096
|
|
|
Banco Macro S.A., Class B
|
938,301
|
9,082,895
|
|
|
Cresud S.A. Comercial Inmobiliaria
Financiera y Agropecuaria
|
2,295,000
|
2,728,328
|
|
|
Grupo Financiero Galicia S.A.,
Class B
|
2,117,302
|
11,252,738
|
|
|
Pampa Energia S.A., ADR(s)
|
7,565
|
668,141
|
|
|
|
|
|
29,518,198
|
|
United States–0.02%
|
|||
|
ACNR Holdings, Inc.
|
1,116
|
149,767
|
|
|
Claire’s Holdings LLC, Class S(i)
|
614
|
0
|
|
|
McDermott International Ltd.(s)
|
750
|
25,287
|
|
|
McDermott International Ltd.,
Series A, Wts., expiring
06/30/2027(i)(s)
|
76,715
|
2,301
|
|
|
McDermott International Ltd.,
Series B, Wts., expiring
06/30/2027(i)(s)
|
85,239
|
2,557
|
|
|
Sabine Oil & Gas Holdings, Inc.(i)(s)
|
2,510
|
176
|
|
|
VCI Compute II LLC(i)(s)
|
85,000
|
85,000
|
|
|
Windstream Services LLC, Wts.(i)
|
399
|
6,185
|
|
|
|
|
|
271,273
|
|
Total Common Stocks & Other Equity Interests
(Cost $30,672,867)
|
29,789,471
|
||
|
|
Principal
Amount
|
|
|
|
Variable Rate Senior Loan Interests–0.30%(t)(u)
|
|||
|
United States–0.30%
|
|||
|
ACNR Holdings, Inc., Term
Loan, 13.00%,
12/11/2029
|
|
$59,391
|
60,022
|
|
Bausch and Lomb, Inc., Term
Loan, 7.48% (3 mo. SOFR
+ 3.75%), 01/30/2031
|
|
620,320
|
623,112
|
|
Carrix Holdings, LLC, Term
Loan, -%, 07/16/2033(v)
|
|
375,000
|
374,531
|
|
Carrix Holdings, LLC, Delayed
Draw Term Loan, -%,
07/16/2033(v)
|
|
75,000
|
74,906
|
|
Claire’s Stores, Inc., Term
Loan, 0.00%,
12/18/2026(h)(i)(w)
|
|
196,049
|
14,704
|
|
Clear Channel Outdoor
Holdings, Inc., Term Loan
B, 7.85% (1 mo. Term
SOFR + 4.11%),
08/23/2028
|
|
618,223
|
620,705
|
|
|
Principal
Amount
|
Value
|
|
|
United States–(continued)
|
|||
|
CoreWeave Compute
Acquisition Co. VIII LLC,
Delayed Draw Term Loan,
5.95% (1 mo. Term SOFR
+ 2.25%), 03/31/2032(i)
|
|
$114,439
|
$114,725
|
|
CoreWeave Compute
Acquisition Co. VIII LLC,
Delayed Draw Term Loan,
0.00%, 03/31/2032(i)(x)
|
|
219,561
|
220,110
|
|
Cushman & Wakefield
U.S. Borrower LLC, Term
Loan, 5.98% (1 mo. Term
SOFR + 2.25%),
06/13/2033
|
|
278,638
|
279,101
|
|
EMRLD Borrower L.P.
(Copeland), Incremental
Term Loan B, 6.07% (3
mo. Term SOFR + 2.25%),
08/04/2031
|
|
454,665
|
455,188
|
|
Greystar Real Estate
Partners LLC, Term Loan B,
5.92% (3 mo. Term SOFR
+ 2.25%), 08/21/2030(i)
|
|
178,111
|
178,334
|
|
Iris Holding, Inc. (Intertape),
First Lien Term Loan,
8.67% (3 mo. Term SOFR
+ 4.85%), 06/28/2028
|
|
183,049
|
173,096
|
|
Prairie ECI Acquiror L.P., Term
Loan B, 6.98% (1 mo.
Term SOFR + 3.25%),
08/01/2029
|
|
324,061
|
326,492
|
|
TransDigm, Inc., Term Loan L,
6.23% (3 mo. Term SOFR
+ 2.50%), 01/19/2032
|
|
602,163
|
603,611
|
|
VCI Asset Holdings 2 LLC,
Term Loan, 7.38%,
02/06/2031
|
|
800,556
|
828,576
|
|
Total Variable Rate Senior Loan Interests
(Cost $5,062,723)
|
4,947,213
|
||
|
|
Shares |
|
|
|
Preferred Stocks–0.13%
|
|||
|
United States–0.13%
|
|||
|
Citigroup, Inc., 6.25%, Series II,
Pfd.
|
87,725
|
2,155,403
|
|
|
Claire’s Holdings LLC, Series A,
Pfd.(i)
|
195
|
0
|
|
|
Total Preferred Stocks (Cost $2,290,323)
|
2,155,403
|
||
|
|
Principal
Amount
|
|
|
|
Commercial Paper–0.04%(r)
|
|||
|
Argentina–0.04%
|
|||
|
TMF Trust Co. (Argentina)
S.A., 12.00%,
01/07/2027(i)
|
|
$376,159
|
379,430
|
|
TMF Trust Co. (Argentina)
S.A., 12.00%,
04/07/2027(i)
|
|
166,318
|
168,608
|
|
Total Commercial Paper (Cost $542,477)
|
548,038
|
||
|
|
Shares |
|
|
|
Exchange-Traded Funds–0.01%
|
|||
|
United States–0.01%
|
|||
|
Invesco Short Duration High Yield
ETF(y) (Cost $183,402)
|
7,200
|
181,829
|
|
|
|
Shares
|
Value
|
|
|
Money Market Funds–4.02%
|
|||
|
Invesco Government & Agency
Portfolio, Institutional Class,
3.64%(y)(z)
|
23,048,759
|
$23,048,759
|
|
|
Invesco Treasury Portfolio,
Institutional Class, 3.63%(y)(z)
|
42,804,816
|
42,804,816
|
|
|
Total Money Market Funds (Cost $65,853,575)
|
65,853,575
|
||
|
|
|||
|
Options Purchased–2.80%
|
|||
|
(Cost $53,241,092)(aa)
|
45,841,174
|
||
|
TOTAL INVESTMENTS IN
SECURITIES (excluding
Investments purchased
with cash collateral from
securities on
loan)-97.35%
(Cost $1,615,291,150)
|
|
|
1,594,168,703
|
|
|
Shares
|
Value
|
|
|
Investments Purchased with Cash Collateral from
Securities on Loan
|
|||
|
Money Market Funds–2.83%
|
|||
|
Invesco Private Government Fund,
3.69%(y)(z)(bb)
|
12,876,848
|
$12,876,848
|
|
|
Invesco Private Prime Fund,
3.82%(y)(z)(bb)
|
33,453,747
|
33,457,092
|
|
|
Total Investments Purchased with Cash Collateral
from Securities on Loan (Cost $46,333,607)
|
46,333,940
|
||
|
TOTAL INVESTMENTS IN SECURITIES—100.18%
(Cost $1,661,624,757)
|
1,640,502,643
|
||
|
OTHER ASSETS LESS LIABILITIES–(0.18)%
|
(2,937,280
)
|
||
|
NET ASSETS–100.00%
|
$1,637,565,363
|
||
|
ADR
|
– American Depositary Receipt
|
|
ARM
|
– Adjustable Rate Mortgage
|
|
ARS
|
– Argentina Peso
|
|
AUD
|
– Australian Dollar
|
|
BRL
|
– Brazilian Real
|
|
CAD
|
– Canadian Dollar
|
|
Conv.
|
– Convertible
|
|
Ctfs.
|
– Certificates
|
|
ETF
|
– Exchange-Traded Fund
|
|
EUR
|
– Euro
|
|
EURIBOR
|
– Euro Interbank Offered Rate
|
|
GBP
|
– British Pound Sterling
|
|
IO
|
– Interest Only
|
|
MXN
|
– Mexican Peso
|
|
Pfd.
|
– Preferred
|
|
PIK
|
– Pay-in-Kind
|
|
REMICs
|
– Real Estate Mortgage Investment Conduits
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
SONIA
|
– Sterling Overnight Index Average
|
|
STACR®
|
– Structured Agency Credit Risk
|
|
STRIPS
|
– Separately Traded Registered Interest and Principal Security
|
|
TRY
|
– Turkish Lira
|
|
Wts.
|
– Warrants
|
|
ZAR
|
– South African Rand
|
|
(a)
|
Step coupon bond. The interest rate represents the coupon rate at which the bond will
accrue at a specified future date.
|
|
(b)
|
Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be
resold pursuant to an exemption from registration under the 1933 Act, typically to
qualified institutional buyers. The aggregate value of these securities at
July 31, 2026 was $717,776,354, which represented 43.83% of the Fund’s Net Assets.
|
|
(c)
|
All or a portion of this security was out on loan at July 31, 2026.
|
|
(d)
|
Security issued at a fixed rate for a specific period of time, after which it will
convert to a variable rate.
|
|
(e)
|
Perpetual bond with no specified maturity date.
|
|
(f)
|
Interest rate is redetermined periodically based on the cash flows generated by the
pool of assets backing the security, less any applicable fees. The rate shown is
the rate in effect on July 31, 2026.
|
|
(g)
|
Zero coupon bond issued at a discount.
|
|
(h)
|
Defaulted security. Currently, the issuer is in default with respect to principal
and/or interest payments. The value of this security at July 31, 2026 represented
less than 1% of the Fund’s Net Assets.
|
|
(i)
|
Security valued using significant unobservable inputs (Level 3). See Note 1.
|
|
(j)
|
All or a portion of this security is Pay-in-Kind. Pay-in-Kind securities pay interest
income in the form of securities.
|
|
(k)
|
Foreign denominated security. Principal amount is denominated in the currency indicated.
|
|
(l)
|
Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity
date reflects such call or put.
|
|
(m)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on July 31, 2026.
|
|
(n)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security. Interest rate is redetermined
periodically based on the cash flows generated by the pool of assets backing the security,
less any applicable fees. The rate shown is the rate in effect on July 31,
2026.
|
|
(o)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security.
|
|
(p)
|
All or a portion of the value was designated as collateral to cover margin requirements
for swap agreements.
|
|
(q)
|
All or a portion of the value was pledged as collateral to cover margin requirements
for open futures contracts.
|
|
(r)
|
Security traded on a discount basis. The interest rate shown represents the discount
rate at the time of purchase by the Fund.
|
|
(s)
|
Non-income producing security.
|
|
(t)
|
Variable rate senior loan interests often require prepayments from excess cash flow
or permit the borrower to repay at its election. The degree to which borrowers
repay, whether as a contractual requirement or at their election, cannot be predicted
with any accuracy. As a result, the actual remaining maturity may be
substantially less than the stated maturities shown. However, it is anticipated that
the variable rate senior loan interests will have an expected average life of three
to five years.
|
|
(u)
|
Variable rate senior loan interests are, at present, not readily marketable, not registered under the Securities Act of 1933, as amended (the “1933 Act”) and may
be subject to contractual and legal restrictions on sale. Variable rate senior loan interests in the Fund’s portfolio generally have variable rates which adjust to a
base, such as the Secured Overnight Financing Rate ("SOFR"), on set dates, typically
every 30 days, but not greater than one year, and/or have interest rates that
float at margin above a widely recognized base lending rate such as the Prime Rate
of a designated U.S. bank.
|
|
(v)
|
This variable rate interest will settle after July 31, 2026, at which time the interest
rate will be determined.
|
|
(w)
|
Acquired as part of a bankruptcy restructuring.
|
|
(x)
|
All or a portion of this holding is subject to unfunded loan commitments. Interest
rate will be determined at the time of funding.
|
|
(y)
|
Affiliated holding. Affiliated holdings are investments in entities which are under
common ownership or control of Invesco Ltd. or are investments in entities in
which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in
affiliates for the nine months ended July 31, 2026.
|
|
|
Value
October 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Realized
Gain
(Loss)
|
Value
July 31, 2026
|
Dividend Income
|
|
Invesco Short Duration High Yield ETF
|
$-
|
$183,402
|
$-
|
$(1,573)
|
$-
|
$181,829
|
$1,921
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
17,724,155
|
261,814,229
|
(256,489,625)
|
-
|
-
|
23,048,759
|
550,078
|
|
Invesco Treasury Portfolio, Institutional Class
|
32,916,233
|
486,226,425
|
(476,337,842)
|
-
|
-
|
42,804,816
|
1,014,087
|
|
Investments Purchased with Cash Collateral
from Securities on Loan:
|
|
|
|
|
|
|
|
|
Invesco Private Government Fund
|
20,114,749
|
59,558,999
|
(66,796,900)
|
-
|
-
|
12,876,848
|
397,200*
|
|
Invesco Private Prime Fund
|
52,330,029
|
125,411,977
|
(144,276,520)
|
(304)
|
(8,090)
|
33,457,092
|
1,079,488*
|
|
Total
|
$123,085,166
|
$933,195,032
|
$(943,900,887)
|
$(1,877)
|
$(8,090)
|
$112,369,344
|
$3,042,774
|
|
*
|
Represents the income earned on the investment of cash collateral. Does not include
rebates and fees paid to lending agent or premiums received from
borrowers, if any.
|
|
(z)
|
The rate shown is the 7-day SEC standardized yield as of July 31, 2026.
|
|
(aa)
|
The table below details options purchased.
|
|
(bb)
|
The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of
the securities loaned.
|
|
Open Over-The-Counter Foreign Currency Options Purchased
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
Currency Risk
|
||||||||
|
AUD versus USD
|
Call
|
Deutsche Bank AG
|
08/31/2026
|
USD
|
0.73
|
AUD
|
3,665,000
|
$56,312
|
|
AUD versus USD
|
Call
|
Goldman Sachs International
|
09/10/2026
|
USD
|
0.72
|
AUD
|
5,485,000
|
512,166
|
|
AUD versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
08/04/2026
|
USD
|
0.74
|
AUD
|
2,750,000
|
2
|
|
AUD versus USD
|
Call
|
Merrill Lynch International
|
10/21/2026
|
USD
|
0.72
|
AUD
|
3,645,000
|
258,840
|
|
EUR versus USD
|
Call
|
Deutsche Bank AG
|
10/09/2026
|
USD
|
1.19
|
EUR
|
3,650,000
|
204,183
|
|
EUR versus USD
|
Call
|
Goldman Sachs International
|
08/07/2026
|
USD
|
1.20
|
EUR
|
5,495,000
|
444
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
08/13/2026
|
USD
|
1.20
|
EUR
|
5,485,000
|
3,643
|
|
EUR versus USD
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
10/09/2026
|
USD
|
1.19
|
EUR
|
5,500,000
|
261,145
|
|
EUR versus USD
|
Call
|
UBS AG
|
08/14/2026
|
USD
|
1.20
|
EUR
|
3,655,000
|
3,338
|
|
Subtotal — Foreign Currency Call Options Purchased
|
1,300,073
|
|||||||
|
Currency Risk
|
||||||||
|
CHF versus JPY
|
Put
|
Goldman Sachs International
|
07/21/2027
|
JPY
|
147.00
|
CHF
|
14,130,000
|
47,767
|
|
CHF versus JPY
|
Put
|
UBS AG
|
09/17/2026
|
JPY
|
161.00
|
CHF
|
5,400,000
|
6,305
|
|
CHF versus JPY
|
Put
|
UBS AG
|
10/23/2026
|
JPY
|
165.00
|
CHF
|
5,420,000
|
18,249
|
|
CHF versus JPY
|
Put
|
UBS AG
|
01/20/2027
|
JPY
|
170.00
|
CHF
|
5,480,000
|
83,205
|
|
EUR versus HUF
|
Put
|
Goldman Sachs International
|
11/30/2026
|
HUF
|
335.00
|
EUR
|
36,525,000
|
5,602
|
|
EUR versus HUF
|
Put
|
Merrill Lynch International
|
03/16/2027
|
HUF
|
330.00
|
EUR
|
5,500,000
|
88,983
|
|
EUR versus INR
|
Put
|
Barclays Bank PLC
|
10/13/2026
|
INR
|
106.00
|
EUR
|
3,645,000
|
222,612
|
|
EUR versus NOK
|
Put
|
Deutsche Bank AG
|
09/14/2026
|
NOK
|
11.00
|
EUR
|
54,660,000
|
132,050
|
|
EUR versus NOK
|
Put
|
Goldman Sachs International
|
11/12/2026
|
NOK
|
10.25
|
EUR
|
4,580,000
|
136,720
|
|
USD versus BRL
|
Put
|
Barclays Bank PLC
|
09/16/2026
|
BRL
|
4.85
|
USD
|
1,840,000
|
74,881
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
09/10/2026
|
BRL
|
4.65
|
USD
|
9,180,000
|
16,386
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
09/29/2026
|
BRL
|
4.83
|
USD
|
3,665,000
|
200,857
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
10/19/2026
|
BRL
|
5.00
|
USD
|
54,660,000
|
97,623
|
|
USD versus BRL
|
Put
|
Goldman Sachs International
|
12/21/2026
|
BRL
|
4.75
|
USD
|
7,310,000
|
836,717
|
|
USD versus BRL
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
10/14/2026
|
BRL
|
5.03
|
USD
|
3,660,000
|
400,854
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
08/12/2026
|
BRL
|
4.75
|
USD
|
7,344,000
|
4,245
|
|
USD versus BRL
|
Put
|
Merrill Lynch International
|
09/29/2026
|
BRL
|
4.80
|
USD
|
3,665,000
|
148,645
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
855.00
|
USD
|
36,500,000
|
193,121
|
|
USD versus CLP
|
Put
|
Merrill Lynch International
|
10/26/2026
|
CLP
|
910.00
|
USD
|
3,645,000
|
310,736
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
870.00
|
USD
|
36,555,000
|
87,915
|
|
USD versus JPY
|
Put
|
Deutsche Bank AG
|
09/11/2026
|
JPY
|
150.00
|
USD
|
7,285,000
|
506,307
|
|
USD versus JPY
|
Put
|
Goldman Sachs International
|
05/12/2027
|
JPY
|
120.00
|
USD
|
9,050,000
|
43,630
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/13/2026
|
JPY
|
135.00
|
USD
|
5,520,000
|
3,638
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
02/04/2027
|
JPY
|
140.00
|
USD
|
5,495,000
|
205,997
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
08/18/2027
|
JPY
|
117.50
|
USD
|
9,030,000
|
55,589
|
|
USD versus JPY
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
11/11/2027
|
JPY
|
115.00
|
USD
|
9,050,000
|
63,368
|
|
USD versus JPY
|
Put
|
UBS AG
|
10/16/2026
|
JPY
|
145.00
|
USD
|
7,335,000
|
240,082
|
|
USD versus KRW
|
Put
|
Goldman Sachs International
|
02/04/2027
|
KRW
|
1,310.00
|
USD
|
3,665,000
|
320,387
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
11/10/2026
|
KRW
|
1,350.00
|
USD
|
2,750,000
|
294,690
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,200.00
|
USD
|
9,030,000
|
292,509
|
|
USD versus KRW
|
Put
|
Merrill Lynch International
|
06/04/2027
|
KRW
|
1,250.00
|
USD
|
18,375,000
|
2,014,010
|
|
USD versus MXN
|
Put
|
Deutsche Bank AG
|
09/25/2026
|
MXN
|
17.20
|
USD
|
3,660,000
|
576,293
|
|
USD versus MXN
|
Put
|
Goldman Sachs International
|
08/13/2026
|
MXN
|
16.90
|
USD
|
4,580,000
|
86,695
|
|
USD versus MXN
|
Put
|
Goldman Sachs International
|
10/21/2026
|
MXN
|
17.10
|
USD
|
3,645,000
|
1,859
|
|
USD versus MXN
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
10/14/2026
|
MXN
|
16.25
|
USD
|
3,670,000
|
56,059
|
|
USD versus TWD
|
Put
|
Merrill Lynch International
|
12/14/2026
|
TWD
|
32.00
|
USD
|
54,630,000
|
85,550
|
|
USD versus ZAR
|
Put
|
Deutsche Bank AG
|
09/11/2026
|
ZAR
|
16.15
|
USD
|
1,830,000
|
269,597
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/16/2026
|
ZAR
|
16.05
|
USD
|
36,555,000
|
105,900
|
|
Open Over-The-Counter Foreign Currency Options Purchased—(continued)
|
||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
Notional
Value
|
Value
|
||
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/22/2026
|
ZAR
|
16.10
|
USD
|
3,670,000
|
$540,573
|
|
USD versus ZAR
|
Put
|
J.P. Morgan Chase Bank, N.A.
|
12/02/2026
|
ZAR
|
16.10
|
USD
|
3,640,000
|
324,011
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
16.25
|
USD
|
36,800,000
|
218,702
|
|
USD versus ZAR
|
Put
|
UBS AG
|
11/10/2026
|
ZAR
|
16.00
|
USD
|
27,480,000
|
171,008
|
|
Subtotal — Foreign Currency Put Options Purchased
|
9,589,927
|
|||||||
|
Total Foreign Currency Options Purchased
|
$10,890,000
|
|||||||
|
Open Over-The-Counter Interest Rate Swaptions Purchased
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
2.85%
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
281,570,000
|
$2,429,173
|
|
2 Year Interest Rate Swap
|
Call
|
Goldman Sachs
International
|
3.39
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
05/13/2033
|
EUR
|
113,345,000
|
1,492,042
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.70
|
Receive
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
48,000,000
|
1,974,309
|
|
20 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
2.12
|
Receive
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
96,260,000
|
2,185,993
|
|
Subtotal — Interest Rate Call Swaptions Purchased
|
|
|
|
|
|
|
|
8,081,517
|
||
|
Interest Rate Risk
|
||||||||||
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.18
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/28/2027
|
EUR
|
47,070,000
|
3,077,967
|
|
15 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase Bank,
N.A.
|
1.76
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
03/15/2039
|
EUR
|
62,100,000
|
13,893,540
|
|
10 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.20
|
Pay
|
SOFR
|
Annually
|
09/24/2035
|
USD
|
48,000,000
|
3,282,580
|
|
20 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
6.12
|
Pay
|
SOFR
|
Annually
|
10/17/2035
|
USD
|
96,260,000
|
6,528,443
|
|
Subtotal — Interest Rate Put Swaptions Purchased
|
|
|
|
|
|
|
|
26,782,530
|
||
|
Total Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
$34,864,047
|
||
|
Open Over-The-Counter Credit Default Swaptions Purchased
|
||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread
|
Notional
Value
|
Value
|
|
|
Credit Risk
|
||||||||||
|
Goldman Sachs
International
|
Put
|
60.00%
|
Markit CDX North America
Investment Grade Index,
Series 46, Version 1
|
(1.00)
|
Quarterly
|
09/16/2026
|
0.529%
|
USD
|
116,800,000
|
$87,127
|
|
Open Over-The-Counter Credit Default Swaptions Written
|
||||||||||||
|
Counterparty
|
Type of
Contract
|
Exercise
Rate
|
Reference
Entity
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Implied
Credit
Spread
|
|
Notional
Value
|
|
Value
|
|
|
Credit Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
Put
|
105.00
%
|
Markit CDX North America High Yield
Index, Series 46, Version 1
|
(5.00
)%
|
Quarterly
|
09/16/2026
|
3.115
%
|
|
USD
|
73,000,000
|
|
$(179,769
)
|
|
Goldman Sachs International
|
Put
|
312.50
|
Markit iTraxx Europe Crossover Index,
Series 45, Version 1
|
(5.00
)
|
Quarterly
|
09/16/2026
|
2.613
|
|
EUR
|
38,500,000
|
|
(129,365
)
|
|
J.P. Morgan Chase Bank, N.A.
|
Put
|
350.00
|
Markit iTraxx Europe Crossover Index,
Series 45, Version 1
|
(5.00
)
|
Quarterly
|
12/16/2026
|
2.613
|
|
EUR
|
43,800,000
|
|
(386,126
)
|
|
Total Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
$(695,260
)
|
|
|
Open Over-The-Counter Foreign Currency Options Written
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Expiration
Date
|
Exercise
Price
|
|
Notional
Value
|
|
Value
|
||
|
Currency Risk
|
||||||||||
|
EUR versus HUF
|
Call
|
Merrill Lynch International
|
06/16/2027
|
HUF
|
375.00
|
|
EUR
|
45,810,000
|
|
$(1,447,955
)
|
|
EUR versus NOK
|
Call
|
Goldman Sachs International
|
11/12/2026
|
NOK
|
11.15
|
|
EUR
|
45,805,000
|
|
(462,228
)
|
|
USD versus BRL
|
Call
|
Goldman Sachs International
|
12/21/2026
|
BRL
|
5.50
|
|
USD
|
18,275,000
|
|
(340,025
)
|
|
USD versus CLP
|
Call
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
950.00
|
|
USD
|
36,500,000
|
|
(850,450
)
|
|
USD versus CLP
|
Call
|
Merrill Lynch International
|
10/26/2026
|
CLP
|
1,000.00
|
|
USD
|
27,330,000
|
|
(148,539
)
|
|
USD versus CLP
|
Call
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
930.00
|
|
USD
|
36,555,000
|
|
(782,204
)
|
|
USD versus KRW
|
Call
|
Morgan Stanley and Co.
International PLC
|
11/25/2026
|
KRW
|
1,560.00
|
|
USD
|
36,645,000
|
|
(143,172
)
|
|
USD versus MXN
|
Call
|
Goldman Sachs International
|
11/12/2026
|
MXN
|
18.00
|
|
USD
|
36,645,000
|
|
(351,645
)
|
|
USD versus MXN
|
Call
|
Merrill Lynch International
|
09/29/2026
|
MXN
|
18.25
|
|
USD
|
91,920,000
|
|
(290,559
)
|
|
USD versus TRY
|
Call
|
Goldman Sachs International
|
08/02/2027
|
TRY
|
63.75
|
|
USD
|
64,070,000
|
|
(5,149,114
)
|
|
USD versus TWD
|
Call
|
Merrill Lynch International
|
12/14/2026
|
TWD
|
33.00
|
|
USD
|
25,495,000
|
|
(187,031
)
|
|
USD versus ZAR
|
Call
|
Deutsche Bank AG
|
08/27/2026
|
ZAR
|
17.05
|
|
USD
|
36,680,000
|
|
(128,490
)
|
|
USD versus ZAR
|
Call
|
Goldman Sachs International
|
12/23/2026
|
ZAR
|
17.50
|
|
USD
|
36,555,000
|
|
(459,167
)
|
|
USD versus ZAR
|
Call
|
J.P. Morgan Chase Bank, N.A.
|
02/01/2027
|
ZAR
|
18.35
|
|
USD
|
36,200,000
|
|
(292,677
)
|
|
USD versus ZAR
|
Call
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
17.50
|
|
USD
|
36,800,000
|
|
(107,456
)
|
|
USD versus ZAR
|
Call
|
UBS AG
|
11/10/2026
|
ZAR
|
17.85
|
|
USD
|
27,480,000
|
|
(151,552
)
|
|
Subtotal — Foreign Currency Call Options Written
|
|
|
|
|
|
|
(11,292,264
)
|
|||
|
Currency Risk
|
||||||||||
|
AUD versus USD
|
Put
|
Goldman Sachs International
|
10/27/2026
|
USD
|
0.69
|
|
AUD
|
73,525,000
|
|
(406,644
)
|
|
USD versus CLP
|
Put
|
Goldman Sachs International
|
01/15/2027
|
CLP
|
805.00
|
|
USD
|
73,000,000
|
|
(75,555
)
|
|
USD versus CLP
|
Put
|
Morgan Stanley and Co.
International PLC
|
10/15/2026
|
CLP
|
830.00
|
|
USD
|
36,555,000
|
|
(12,794
)
|
|
USD versus MXN
|
Put
|
Merrill Lynch International
|
09/29/2026
|
MXN
|
17.00
|
|
USD
|
91,920,000
|
|
(325,305
)
|
|
USD versus ZAR
|
Put
|
Goldman Sachs International
|
09/16/2026
|
ZAR
|
15.60
|
|
USD
|
36,555,000
|
|
(13,818
)
|
|
USD versus ZAR
|
Put
|
Merrill Lynch International
|
09/16/2026
|
ZAR
|
15.55
|
|
USD
|
36,800,000
|
|
(10,819
)
|
|
USD versus ZAR
|
Put
|
UBS AG
|
11/10/2026
|
ZAR
|
15.00
|
|
USD
|
27,480,000
|
|
(8,519
)
|
|
Subtotal — Foreign Currency Put Options Written
|
|
|
|
|
|
|
(853,454
)
|
|||
|
Total Foreign Currency Options Written
|
|
|
|
|
|
|
$(12,145,718
)
|
|||
|
Open Over-The-Counter Interest Rate Swaptions Written
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
Interest Rate Risk
|
||||||||||
|
10 Year Interest Rate
Swap
|
Call
|
B.NP Paribas S.A
|
3.26%
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/22/2027
|
EUR
|
47,485,000
|
$(759,187
)
|
|
30 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.10
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
7,285,000
|
(4,823
)
|
|
10 Year Interest Rate
Swap
|
Call
|
BNP Paribas S.A.
|
3.10
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/16/2026
|
EUR
|
72,880,000
|
(299,432
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.10
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
7,285,000
|
(4,823
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.09
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/15/2026
|
EUR
|
89,890,000
|
(336,213
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.11
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
10/16/2026
|
EUR
|
87,460,000
|
(392,858
)
|
|
5 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.98
|
Receive
|
SOFR
|
Annually
|
11/16/2026
|
USD
|
486,666,666
|
(2,292,185
)
|
|
2 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
4.05
|
Receive
|
SOFR
|
Annually
|
12/14/2026
|
USD
|
728,820,000
|
(2,370,589
)
|
|
Open Over-The-Counter Interest Rate Swaptions Written—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
2 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
4.05%
|
Receive
|
SOFR
|
Annually
|
12/14/2026
|
USD
|
728,820,000
|
$(2,370,589
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Goldman Sachs
International
|
3.02
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/12/2030
|
EUR
|
25,600,000
|
(1,937,245
)
|
|
10 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
4.08
|
Receive
|
SOFR
|
Annually
|
10/16/2026
|
USD
|
207,715,000
|
(813,412
)
|
|
10 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
3.26
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/22/2027
|
EUR
|
47,485,000
|
(751,914
)
|
|
30 Year Interest Rate
Swap
|
Call
|
J.P. Morgan Chase
Bank, N.A.
|
2.42
|
Receive
|
SOFR
|
Annually
|
07/11/2029
|
USD
|
41,365,000
|
(566,654
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Merrill Lynch
International
|
3.15
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
7,285,000
|
(12,048
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Merrill Lynch
International
|
4.00
|
Receive
|
SOFR
|
Annually
|
12/15/2026
|
USD
|
305,360,000
|
(1,617,455
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.16
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
7,285,000
|
(13,556
)
|
|
10 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
4.00
|
Receive
|
SOFR
|
Annually
|
12/15/2026
|
USD
|
183,840,000
|
(973,778
)
|
|
30 Year Interest Rate
Swap
|
Call
|
Morgan Stanley and Co.
International PLC
|
3.00
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
01/28/2028
|
EUR
|
17,930,000
|
(664,206
)
|
|
Subtotal—Interest Rate Call Swaptions Written
|
|
|
|
|
|
(16,180,967
)
|
||||
|
Interest Rate Risk
|
||||||||||
|
5 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
02/15/2027
|
EUR
|
58,830,000
|
(784,794
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Barclays Bank PLC
|
5.55
|
Pay
|
SONIA
|
Annually
|
05/10/2027
|
GBP
|
46,480,000
|
(1,373,466
)
|
|
30 Year Interest Rate
Swap
|
Put
|
BNP Paribas S.A.
|
3.40
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
7,285,000
|
(40,154
)
|
|
10 Year Interest Rate
Swap
|
Put
|
BNP Paribas S.A.
|
4.45
|
Pay
|
SOFR
|
Annually
|
10/30/2026
|
USD
|
138,475,000
|
(1,325,017
)
|
|
2 Year Interest Rate
Swap
|
Put
|
BNP Paribas S.A.
|
3.04
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/01/2026
|
EUR
|
220,800,000
|
(1,055,290
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.40
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
08/28/2026
|
EUR
|
7,285,000
|
(40,154
)
|
|
1 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
4.25
|
Pay
|
SONIA
|
At Maturity
|
04/27/2027
|
GBP
|
274,840,000
|
(1,460,864
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
3.68
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/28/2027
|
EUR
|
94,130,000
|
(2,041,112
)
|
|
1 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
2.75
|
Pay
|
3 Month EURIBOR
|
Quarterly
|
04/27/2028
|
EUR
|
329,805,000
|
(1,920,159
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Goldman Sachs
International
|
2.93
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
05/15/2028
|
EUR
|
113,345,000
|
(1,223,271
)
|
|
5 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
4.15
|
Pay
|
SOFR
|
Annually
|
10/13/2026
|
USD
|
291,825,000
|
(2,449,713
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
331,200,000
|
(1,680,871
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.08
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/04/2027
|
EUR
|
164,775,000
|
(811,591
)
|
|
2 Year Interest Rate
Swap
|
Put
|
J.P. Morgan Chase
Bank, N.A.
|
3.08
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/21/2027
|
EUR
|
294,400,000
|
(1,520,034
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
3.45
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
7,285,000
|
(26,844
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
5.00
|
Pay
|
6 Month BBSW
|
Semi-Annually
|
12/04/2026
|
AUD
|
145,380,000
|
(1,883,266
)
|
|
10 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
5.00
|
Pay
|
6 Month BBSW
|
Semi-Annually
|
12/11/2026
|
AUD
|
363,490,000
|
(4,835,181
)
|
|
Open Over-The-Counter Interest Rate Swaptions Written—(continued)
|
||||||||||
|
Description
|
Type of
Contract
|
Counterparty
|
Exercise
Rate
|
Pay/
Receive
Exercise
Rate
|
Floating
Rate Index
|
Payment
Frequency
|
Expiration
Date
|
Notional
Value
|
Value
|
|
|
2 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
3.05%
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
220,800,000
|
$(1,108,563
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Merrill Lynch
International
|
4.25
|
Pay
|
SOFR
|
Annually
|
01/29/2027
|
USD
|
777,405,000
|
(3,690,404
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.46
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
09/01/2026
|
EUR
|
7,285,000
|
(24,086
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.42
|
Pay
|
SONIA
|
Annually
|
11/23/2026
|
GBP
|
117,175,000
|
(598,887
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.20
|
Pay
|
SOFR
|
Annually
|
12/09/2026
|
USD
|
2,178,935,000
|
(9,719,183
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.05
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
12/21/2026
|
EUR
|
408,360,000
|
(2,050,239
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.42
|
Pay
|
SONIA
|
Annually
|
12/22/2026
|
GBP
|
184,000,000
|
(1,084,555
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.07
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
01/04/2027
|
EUR
|
170,750,000
|
(861,230
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
5.00
|
Pay
|
SONIA
|
Annually
|
10/22/2027
|
GBP
|
19,250,000
|
(1,680,309
)
|
|
30 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
4.95
|
Pay
|
SONIA
|
Annually
|
02/14/2028
|
GBP
|
17,650,000
|
(1,802,047
)
|
|
2 Year Interest Rate
Swap
|
Put
|
Morgan Stanley and Co.
International PLC
|
3.00
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
06/02/2028
|
EUR
|
262,995,000
|
(2,672,669
)
|
|
Subtotal—Interest Rate Put Swaptions Written
|
|
|
|
|
|
(49,763,953
)
|
||||
|
Total Interest Rate Swaptions Written
|
|
|
|
|
|
$(65,944,920
)
|
||||
|
Open Futures Contracts
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 2 Year Notes
|
44
|
September-2026
|
$9,046,813
|
$(34,442
)
|
$(34,442
)
|
|
U.S. Treasury 10 Year Notes
|
578
|
September-2026
|
62,424,000
|
(655,731
)
|
(655,731
)
|
|
Subtotal—Long Futures Contracts
|
(690,173
)
|
(690,173
)
|
|||
|
Short Futures Contracts
|
|
|
|
|
|
|
Interest Rate Risk
|
|||||
|
Long Gilt
|
170
|
September-2026
|
(19,816,382
)
|
121,185
|
121,185
|
|
U.S. Treasury 5 Year Notes
|
99
|
September-2026
|
(10,491,680
)
|
86,943
|
86,943
|
|
U.S. Treasury 10 Year Ultra Notes
|
16
|
September-2026
|
(1,755,250
)
|
20,723
|
20,723
|
|
U.S. Treasury Long Bonds
|
21
|
September-2026
|
(2,274,563
)
|
42,456
|
42,456
|
|
U.S. Treasury Ultra Bonds
|
32
|
September-2026
|
(3,510,000
)
|
81,903
|
81,903
|
|
Subtotal—Short Futures Contracts
|
353,210
|
353,210
|
|||
|
Total Futures Contracts
|
$(336,963
)
|
$(336,963
)
|
|||
|
Open Forward Foreign Currency Contracts
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
09/16/2026
|
Deutsche Bank AG
|
CNY
|
460,197,445
|
USD
|
68,070,000
|
$25,961
|
|
09/16/2026
|
Deutsche Bank AG
|
PLN
|
159,271
|
USD
|
43,798
|
1,165
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
2,442,842
|
KRW
|
3,700,319,581
|
122,491
|
|
09/16/2026
|
Goldman Sachs International
|
USD
|
86,993,244
|
EUR
|
75,461,796
|
173,558
|
|
01/26/2027
|
Goldman Sachs International
|
USD
|
27,480,000
|
TRY
|
1,575,428,400
|
1,118,326
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
03/19/2027
|
Goldman Sachs International
|
INR
|
15,445,512,500
|
USD
|
173,750,000
|
$15,195,209
|
|
08/04/2026
|
HSBC Bank USA
|
USD
|
4,192,366
|
BRL
|
21,285,900
|
6,740
|
|
09/16/2026
|
HSBC Bank USA
|
EUR
|
3,725,000
|
USD
|
4,326,037
|
23,246
|
|
09/16/2026
|
HSBC Bank USA
|
USD
|
3,575,080
|
EUR
|
3,124,328
|
33,868
|
|
09/16/2026
|
HSBC Bank USA
|
USD
|
18,354,692
|
JPY
|
2,968,436,500
|
365,260
|
|
08/04/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
190,383,977
|
BRL
|
976,851,790
|
2,321,268
|
|
09/02/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
26,814,276
|
BRL
|
138,169,945
|
238,108
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
CAD
|
16,521,786
|
USD
|
11,990,407
|
182,733
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
176,895,792
|
USD
|
206,226,745
|
1,892,348
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
2,210,680
|
EUR
|
1,931,313
|
20,203
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
39,399,640
|
GBP
|
29,287,888
|
72,227
|
|
09/17/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
41,320,131
|
MXN
|
728,040,525
|
560,744
|
|
09/16/2026
|
Merrill Lynch International
|
CNY
|
52,980,000
|
USD
|
7,879,942
|
46,406
|
|
09/16/2026
|
Merrill Lynch International
|
CZK
|
11,455,819
|
USD
|
551,184
|
5,537
|
|
09/16/2026
|
Merrill Lynch International
|
NOK
|
3,427,015
|
USD
|
368,664
|
7,296
|
|
09/16/2026
|
Merrill Lynch International
|
NZD
|
4,281,000
|
USD
|
2,546,396
|
21,408
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
18,123,825
|
COP
|
66,329,575,500
|
2,692,435
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
9,912,664
|
INR
|
956,324,301
|
72,778
|
|
09/16/2026
|
Merrill Lynch International
|
ZAR
|
97,282,500
|
USD
|
5,946,000
|
77,401
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
HUF
|
63,792,317
|
USD
|
208,465
|
7,226
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
SEK
|
244,000
|
USD
|
26,380
|
697
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
ZAR
|
558,655,154
|
USD
|
34,150,340
|
449,281
|
|
09/17/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
12,219,256
|
MXN
|
215,000,000
|
148,721
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
JPY
|
785,281,332
|
USD
|
4,956,069
|
3,822
|
|
09/16/2026
|
UBS AG
|
AUD
|
8,986,664
|
USD
|
6,438,612
|
119,904
|
|
09/16/2026
|
UBS AG
|
EUR
|
20,913,096
|
USD
|
24,356,741
|
199,779
|
|
09/16/2026
|
UBS AG
|
USD
|
5,091,954
|
EUR
|
4,450,103
|
48,411
|
|
09/17/2026
|
UBS AG
|
USD
|
1,221,442
|
MXN
|
21,283,377
|
2,895
|
|
Subtotal—Appreciation
|
26,257,452
|
|||||
|
Currency Risk
|
|
|
|
|
|
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
24,146,027
|
EUR
|
20,833,500
|
(81,007
)
|
|
09/16/2026
|
Deutsche Bank AG
|
USD
|
196,616
|
PLN
|
715,000
|
(5,229
)
|
|
09/16/2026
|
Goldman Sachs International
|
EUR
|
16,475,000
|
USD
|
18,927,880
|
(102,585
)
|
|
09/17/2026
|
Goldman Sachs International
|
MXN
|
637,215,275
|
USD
|
36,281,068
|
(375,043
)
|
|
01/26/2027
|
Goldman Sachs International
|
TRY
|
1,586,970,000
|
USD
|
27,480,000
|
(1,327,837
)
|
|
03/19/2027
|
Goldman Sachs International
|
USD
|
173,750,000
|
INR
|
15,445,512,500
|
(15,195,209
)
|
|
08/04/2026
|
HSBC Bank USA
|
BRL
|
21,285,900
|
USD
|
4,066,137
|
(132,970
)
|
|
08/04/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
976,851,790
|
USD
|
188,050,221
|
(4,655,024
)
|
|
09/02/2026
|
J.P. Morgan Chase Bank, N.A.
|
BRL
|
702,481,000
|
USD
|
136,328,634
|
(1,210,587
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
EUR
|
30,944,489
|
USD
|
35,487,451
|
(256,892
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
GBP
|
115,055,965
|
USD
|
154,878,749
|
(184,458
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
JPY
|
1,109,773,800
|
USD
|
6,939,474
|
(59,130
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
4,449
|
CAD
|
6,130
|
(68
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
228,142,892
|
EUR
|
195,192,911
|
(2,673,279
)
|
|
09/16/2026
|
J.P. Morgan Chase Bank, N.A.
|
USD
|
12,220
|
THB
|
398,313
|
(251
)
|
|
01/08/2027
|
J.P. Morgan Chase Bank, N.A.
|
AUD
|
12,420,000
|
USD
|
8,328,852
|
(389,068
)
|
|
09/16/2026
|
Merrill Lynch International
|
COP
|
75,769,214,000
|
USD
|
20,703,102
|
(3,075,606
)
|
|
09/16/2026
|
Merrill Lynch International
|
INR
|
1,629,720,000
|
USD
|
16,892,667
|
(124,024
)
|
|
09/16/2026
|
Merrill Lynch International
|
PEN
|
3,661,000
|
USD
|
1,067,814
|
(7,660
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
12,285,486
|
CLP
|
10,909,019,959
|
(548,456
)
|
|
Open Forward Foreign Currency Contracts—(continued)
|
||||||
|
Settlement
Date
|
Counterparty
|
Contract to
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Deliver
|
Receive
|
|||||
|
09/16/2026
|
Merrill Lynch International
|
USD
|
76,861,588
|
CNY
|
516,771,203
|
$(452,646
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
556,197
|
CZK
|
11,560,000
|
(5,587
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
203,764
|
IDR
|
3,654,919,400
|
(1,862
)
|
|
09/16/2026
|
Merrill Lynch International
|
USD
|
2,381,985
|
NZD
|
4,004,593
|
(20,026
)
|
|
09/16/2026
|
Morgan Stanley and Co. International PLC
|
USD
|
65,450
|
SGD
|
83,090
|
(460
)
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
EUR
|
12,258,688
|
USD
|
14,027,211
|
(132,943
)
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
TRY
|
29,641,000
|
USD
|
585,108
|
(16,434
)
|
|
09/16/2026
|
Standard Chartered Bank PLC
|
USD
|
9,601,117
|
JPY
|
1,521,282,069
|
(7,404
)
|
|
09/16/2026
|
UBS AG
|
USD
|
3,404,895
|
AUD
|
4,752,367
|
(63,408
)
|
|
09/17/2026
|
UBS AG
|
MXN
|
1,780,796,215
|
USD
|
102,198,947
|
(242,198
)
|
|
Subtotal—Depreciation
|
(31,347,351
)
|
|||||
|
Total Forward Foreign Currency Contracts
|
$(5,089,899
)
|
|||||
|
Open Centrally Cleared Credit Default Swap Agreements
|
||||||||||
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity Date
|
Implied
Credit
Spread
|
Notional Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
||||||||||
|
UBS AG
|
Sell
|
1.00%
|
Quarterly
|
12/20/2028
|
0.254%
|
EUR
|
5,170,000
|
$37,445
|
$105,303
|
$67,858
|
|
BNP Paribas S.A.
|
Sell
|
1.00
|
Quarterly
|
12/20/2030
|
0.408
|
EUR
|
9,000,000
|
251,564
|
253,999
|
2,435
|
|
Subtotal - Appreciation
|
|
|
|
|
|
289,009
|
359,302
|
70,293
|
||
|
Credit Risk
|
||||||||||
|
Brazil Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2026
|
0.450
|
USD
|
8,280,000
|
(614
)
|
(17,744
)
|
(17,130
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2028
|
0.205
|
EUR
|
5,170,000
|
(26,314
)
|
(111,569
)
|
(85,255
)
|
|
Mexico Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2029
|
0.631
|
USD
|
3,795,000
|
22,703
|
(45,453
)
|
(68,156
)
|
|
Intesa Sanpaolo S.p.A.
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
0.339
|
EUR
|
9,000,000
|
(267,414
)
|
(284,438
)
|
(17,024
)
|
|
Turkey Government International
Bonds
|
Buy
|
(1.00)
|
Quarterly
|
12/20/2030
|
2.213
|
USD
|
3,600,000
|
201,822
|
167,062
|
(34,760
)
|
|
Markit iTraxx Europe Crossover
Index, Series 45, Version 1
|
Buy
|
(5.00)
|
Quarterly
|
06/20/2031
|
2.613
|
EUR
|
60,299,000
|
(6,437,532
)
|
(6,926,608
)
|
(489,076
)
|
|
Markit CDX North America High
Yield Index, Series 46,
Version 1
|
Buy
|
(5.00)
|
Quarterly
|
06/20/2031
|
3.115
|
USD
|
113,454,000
|
(7,641,266
)
|
(8,583,930
)
|
(942,664
)
|
|
Subtotal - Depreciation
|
|
|
|
|
|
(14,148,615
)
|
(15,802,680
)
|
(1,654,065
)
|
||
|
Total Centrally Cleared Credit Default Swap Agreements
|
|
|
|
$(13,859,606
)
|
$(15,443,378
)
|
$(1,583,772
)
|
||||
|
Open Centrally Cleared Interest Rate Swap Agreements
|
||||||||||
|
Pay/
Receive
Floating
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Interest Rate Risk
|
||||||||||
|
Pay
|
ZARONIA
|
Annually
|
9.44%
|
Annually
|
07/24/2036
|
ZAR
|
113,877,500
|
$—
|
$18,938
|
$18,938
|
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
(3.37)
|
Annually
|
07/24/2036
|
EUR
|
23,685,000
|
—
|
60,316
|
60,316
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.55
|
Quarterly
|
06/10/2029
|
AUD
|
185,205,000
|
—
|
60,472
|
60,472
|
|
Receive
|
3 Month EURIBOR
|
Quarterly
|
(2.95)
|
Annually
|
08/03/2028
|
EUR
|
100,155,000
|
—
|
73,262
|
73,262
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(5.00)
|
Semi-Annually
|
06/12/2036
|
AUD
|
21,885,000
|
—
|
81,735
|
81,735
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
14.18
|
At Maturity
|
01/02/2029
|
BRL
|
163,052,371
|
—
|
102,053
|
102,053
|
|
Receive
|
SOFR
|
Annually
|
(4.11)
|
Annually
|
09/23/2028
|
USD
|
143,325,000
|
—
|
185,030
|
185,030
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(5.02)
|
Semi-Annually
|
06/10/2036
|
AUD
|
65,310,000
|
—
|
189,012
|
189,012
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
14.17
|
At Maturity
|
01/02/2029
|
BRL
|
328,804,080
|
—
|
191,000
|
191,000
|
|
Open Centrally Cleared Interest Rate Swap Agreements—(continued)
|
||||||||||
|
Pay/
Receive
Floating
Rate
|
Floating Rate
Index
|
Payment
Frequency
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Receive
|
6 Month BBSW
|
Semi-Annually
|
(4.99)%
|
Semi-Annually
|
06/11/2036
|
AUD
|
43,865,000
|
$—
|
$207,034
|
$207,034
|
|
Receive
|
SOFR
|
Annually
|
(4.10)
|
Annually
|
09/23/2028
|
USD
|
139,650,000
|
—
|
220,146
|
220,146
|
|
Receive
|
SOFR
|
Annually
|
(4.02)
|
Annually
|
06/30/2029
|
USD
|
78,215,000
|
—
|
283,000
|
283,000
|
|
Receive
|
SOFR
|
Annually
|
(4.02)
|
Annually
|
08/06/2028
|
USD
|
124,985,000
|
—
|
309,195
|
309,195
|
|
Receive
|
SOFR
|
Annually
|
(3.92)
|
Annually
|
06/22/2028
|
USD
|
253,440,000
|
—
|
1,031,149
|
1,031,149
|
|
Receive
|
SOFR
|
Annually
|
(4.30)
|
Annually
|
04/19/2058
|
USD
|
31,545,000
|
—
|
1,118,386
|
1,118,386
|
|
Receive
|
SOFR
|
Annually
|
(3.96)
|
Annually
|
07/08/2036
|
USD
|
95,205,000
|
3,488
|
2,796,611
|
2,793,123
|
|
Receive
|
6 Month EURIBOR
|
Semi-Annually
|
(2.38)
|
Annually
|
12/20/2054
|
EUR
|
19,860,000
|
—
|
4,089,448
|
4,089,448
|
|
Subtotal — Appreciation
|
|
|
|
3,488
|
11,016,787
|
11,013,299
|
||||
|
Interest Rate Risk
|
||||||||||
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
2.38
|
Annually
|
12/20/2054
|
EUR
|
19,860,000
|
—
|
(4,099,985
)
|
(4,099,985
)
|
|
Pay
|
KWCDC
|
Quarterly
|
2.82
|
Quarterly
|
11/16/2027
|
KRW
|
66,736,600,000
|
—
|
(2,223,439
)
|
(2,223,439
)
|
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
2.76
|
Annually
|
06/22/2028
|
EUR
|
214,450,000
|
—
|
(1,173,517
)
|
(1,173,517
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.23
|
At Maturity
|
01/02/2031
|
BRL
|
87,074,267
|
—
|
(806,553
)
|
(806,553
)
|
|
Pay
|
6 Month EURIBOR
|
Semi-Annually
|
2.70
|
Annually
|
08/06/2028
|
EUR
|
110,340,000
|
—
|
(802,572
)
|
(802,572
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.30
|
At Maturity
|
01/02/2031
|
BRL
|
84,150,830
|
—
|
(716,583
)
|
(716,583
)
|
|
Pay
|
TONAR
|
Annually
|
2.60
|
Annually
|
02/16/2046
|
JPY
|
844,210,000
|
—
|
(590,889
)
|
(590,889
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.52
|
At Maturity
|
01/02/2031
|
BRL
|
87,270,594
|
—
|
(577,547
)
|
(577,547
)
|
|
Pay
|
3 Month JIBAR
|
Quarterly
|
7.67
|
Quarterly
|
03/18/2056
|
ZAR
|
99,215,000
|
—
|
(519,426
)
|
(519,426
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.38
|
Quarterly
|
06/25/2029
|
AUD
|
113,365,000
|
—
|
(330,204
)
|
(330,204
)
|
|
Pay
|
BZDIOVRA
|
At Maturity
|
13.60
|
At Maturity
|
01/02/2031
|
BRL
|
43,338,252
|
—
|
(250,737
)
|
(250,737
)
|
|
Receive
|
SOFR
|
Annually
|
(4.22)
|
Annually
|
09/23/2028
|
USD
|
222,230,000
|
—
|
(186,715
)
|
(186,715
)
|
|
Receive
|
SOFR
|
Annually
|
(4.23)
|
Annually
|
09/23/2028
|
USD
|
123,460,000
|
—
|
(122,523
)
|
(122,523
)
|
|
Pay
|
3 Month JIBAR
|
Quarterly
|
8.18
|
Quarterly
|
06/17/2036
|
ZAR
|
174,800,000
|
—
|
(82,446
)
|
(82,446
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.50
|
Quarterly
|
06/11/2029
|
AUD
|
124,285,000
|
—
|
(77,044
)
|
(77,044
)
|
|
Pay
|
3 Month CZK
PRIBOR
|
Quarterly
|
4.45
|
Annually
|
08/03/2028
|
CZK
|
2,440,155,000
|
—
|
(61,825
)
|
(61,825
)
|
|
Pay
|
6 Month CZK
PRIBOR
|
Semi-Annually
|
4.77
|
Annually
|
07/24/2036
|
CZK
|
645,005,000
|
—
|
(42,487
)
|
(42,487
)
|
|
Pay
|
3 Month BBSW
|
Quarterly
|
4.50
|
Quarterly
|
06/12/2029
|
AUD
|
62,280,000
|
—
|
(38,866
)
|
(38,866
)
|
|
Pay
|
3 Month JIBAR
|
Quarterly
|
8.26
|
Quarterly
|
06/17/2036
|
ZAR
|
90,160,000
|
—
|
(14,497
)
|
(14,497
)
|
|
Pay
|
28 Day MXN TIEF
|
28 days
|
7.12
|
28 days
|
07/03/2028
|
MXN
|
334,465,000
|
14,541
|
735
|
(13,806
)
|
|
Subtotal — Depreciation
|
|
|
|
14,541
|
(12,717,120
)
|
(12,731,661
)
|
||||
|
Total Centrally Cleared Interest Rate Swap Agreements
|
|
|
|
$18,029
|
$(1,700,333
)
|
$(1,718,362
)
|
||||
|
Open Over-The-Counter Credit Default Swap Agreements
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
|||||||||||
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
Sell
|
5.00%
|
Quarterly
|
12/20/2030
|
1.81%
|
EUR
|
30,850,000
|
$4,505,961
|
$4,637,519
|
$131,558
|
|
Open Over-The-Counter Credit Default Swap Agreements—(continued)
|
|||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell
Protection
|
(Pay)/
Receive
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Implied
Credit
Spread
|
Notional
Value
|
Upfront
Payments Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Credit Risk
|
|||||||||||
|
Goldman Sachs
International
|
Markit CDX North America High
Yield Index, Series 39,
Version 1
|
Buy
|
(5.00)%
|
Quarterly
|
12/20/2027
|
0.055%
|
USD
|
595,939
|
$(38,177
)
|
$(39,246
)
|
$(1,069
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit CDX North America High
Yield Index, Series 39,
Version 1
|
Buy
|
(5.00)
|
Quarterly
|
12/20/2027
|
0.055
|
USD
|
20,857,846
|
(1,064,687
)
|
(1,373,613
)
|
(308,926
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
Sell
|
5.00
|
Quarterly
|
12/20/2030
|
1.81
|
EUR
|
58,400,000
|
8,806,454
|
8,778,965
|
(27,489
)
|
|
J.P. Morgan
Chase Bank,
N.A.
|
Markit iTraxx Europe Crossover
Index, Series 44, Version 1
|
Sell
|
5.00
|
Quarterly
|
12/20/2030
|
0.543
|
EUR
|
73,000,000
|
15,022,404
|
14,973,631
|
(48,773
)
|
|
Subtotal—Depreciation
|
|
|
|
|
22,725,994
|
22,339,737
|
(386,257
)
|
||||
|
Total Over-The-Counter Credit Default Swap Agreements
|
|
|
|
|
$27,231,955
|
$26,977,256
|
$(254,699
)
|
||||
|
Abbreviations:
|
|
|
AUD
|
—Australian Dollar
|
|
BBSW
|
—Bank Bill Swap Rate
|
|
BRL
|
—Brazilian Real
|
|
BZDIOVRA
|
—Brazil Ceptip DI Interbank Deposit Rate
|
|
CAD
|
—Canadian Dollar
|
|
CHF
|
—Swiss Franc
|
|
CLP
|
—Chile Peso
|
|
CNY
|
—Chinese Yuan Renminbi
|
|
COP
|
—Colombia Peso
|
|
CZK
|
—Czech Koruna
|
|
EUR
|
—Euro
|
|
EURIBOR
|
—Euro Interbank Offered Rate
|
|
GBP
|
—British Pound Sterling
|
|
HUF
|
—Hungarian Forint
|
|
IDR
|
—Indonesian Rupiah
|
|
INR
|
—Indian Rupee
|
|
JIBAR
|
—Johannesburg Interbank Average Rate
|
|
JPY
|
—Japanese Yen
|
|
KRW
|
—South Korean Won
|
|
KWCDC
|
—South Korean Won Certificate of Deposit
|
|
MXN
|
—Mexican Peso
|
|
NOK
|
—Norwegian Krone
|
|
NZD
|
—New Zealand Dollar
|
|
PEN
|
—Peruvian Sol
|
|
PLN
|
—Polish Zloty
|
|
PRIBOR
|
—Prague Interbank Offerred Rate
|
|
SEK
|
—Swedish Krona
|
|
SGD
|
—Singapore Dollar
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
SONIA
|
—Sterling Overnight Index Average
|
|
THB
|
—Thai Baht
|
|
TIEF
|
—Overnight TIIE Funding Rate
|
|
TONAR
|
—Tokyo Overnight Average Rate
|
|
TRY
|
—Turkish Lira
|
|
TWD
|
—New Taiwan Dollar
|
|
USD
|
—U.S. Dollar
|
|
ZAR
|
—South African Rand
|
|
ZARONIA
|
—South African Rand Overnight Index Average
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
U.S. Dollar Denominated Bonds & Notes
|
$—
|
$497,706,973
|
$2,102,879
|
$499,809,852
|
|
Non-U.S. Dollar Denominated Bonds & Notes
|
—
|
354,380,193
|
—
|
354,380,193
|
|
Asset-Backed Securities
|
—
|
298,262,626
|
8,618,871
|
306,881,497
|
|
U.S. Government Sponsored Agency Mortgage-Backed Securities
|
—
|
110,014,886
|
—
|
110,014,886
|
|
U.S. Treasury Securities
|
—
|
88,622,822
|
—
|
88,622,822
|
|
Agency Credit Risk Transfer Notes
|
—
|
85,142,750
|
—
|
85,142,750
|
|
Common Stocks & Other Equity Interests
|
29,518,198
|
175,054
|
96,219
|
29,789,471
|
|
Variable Rate Senior Loan Interests
|
—
|
4,419,340
|
527,873
|
4,947,213
|
|
Preferred Stocks
|
2,155,403
|
—
|
0
|
2,155,403
|
|
Commercial Paper
|
—
|
—
|
548,038
|
548,038
|
|
Exchange-Traded Funds
|
181,829
|
—
|
—
|
181,829
|
|
Money Market Funds
|
65,853,575
|
46,333,940
|
—
|
112,187,515
|
|
Options Purchased
|
—
|
45,841,174
|
—
|
45,841,174
|
|
Total Investments in Securities
|
97,709,005
|
1,530,899,758
|
11,893,880
|
1,640,502,643
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
353,210
|
—
|
—
|
353,210
|
|
Forward Foreign Currency Contracts
|
—
|
26,257,452
|
—
|
26,257,452
|
|
Swap Agreements
|
—
|
11,215,150
|
—
|
11,215,150
|
|
|
353,210
|
37,472,602
|
—
|
37,825,812
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(690,173
)
|
—
|
—
|
(690,173
)
|
|
Forward Foreign Currency Contracts
|
—
|
(31,347,351
)
|
—
|
(31,347,351
)
|
|
Options Written
|
—
|
(78,785,898
)
|
—
|
(78,785,898
)
|
|
Swap Agreements
|
—
|
(14,771,983
)
|
—
|
(14,771,983
)
|
|
|
(690,173
)
|
(124,905,232
)
|
—
|
(125,595,405
)
|
|
Total Other Investments
|
(336,963
)
|
(87,432,630
)
|
—
|
(87,769,593
)
|
|
Total Investments
|
$97,372,042
|
$1,443,467,128
|
$11,893,880
|
$1,552,733,050
|
|
*
|
Forward foreign currency contracts, futures contracts and swap agreements are valued
at unrealized appreciation (depreciation). Options written are shown at
value.
|