|
Asset-Backed Securities — 5.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
AASET Ltd., Series 2026-1A, Class B1, 6.572%,
7/16/51(1)
|
$ |
10,930 |
$ 10,915,911 |
|
AASET MT-1 Ltd., Series 2025-3A, Class B,
5.732%, 2/16/50(1)
|
|
7,911 |
7,706,901 |
|
Abry Liquid Credit CLO Ltd., Series 2025-1A,
Class D, 6.979%, (3 mo. SOFR + 3.25%),
10/20/38(1)(2)
|
|
5,000 |
5,024,655 |
|
ACHM Mortgage Trust, Series 2024-HE1, Class B,
7.26%, 5/25/39(1)
|
|
551 |
564,254 |
|
AIMCO CLO 11 Ltd., Series 2020-11A, Class D1R2,
6.70%, (3 mo. SOFR + 2.95%), 7/17/37(1)(2)
|
|
4,000 |
4,009,580 |
|
Allegany Park CLO Ltd., Series 2019-1A,
Class ERR, 10.129%, (3 mo. SOFR + 6.40%),
1/20/35(1)(2)
|
|
1,000 |
830,903 |
|
AMSR Trust: |
|
|
|
|
Series 2021-SFR1, Class G, 4.612%, 6/17/38(1)
|
|
2,250 |
2,179,120 |
|
Series 2022-SFR1, Class G, 5.00%, 3/17/39(1)
|
|
14,000 |
13,859,075 |
|
ARES LXI CLO Ltd., Series 2021-61A, Class ER,
10.569%, (3 mo. SOFR + 6.84%), 4/20/37(1)(2)
|
|
3,350 |
3,099,316 |
|
Babson CLO Ltd.: |
|
|
|
|
Series 2022-4A, Class D1R, 6.979%, (3 mo.
SOFR + 3.25%), 10/20/37(1)(2)
|
|
5,000 |
5,006,475 |
|
Series 2024-3A, Class E, 9.629%, (3 mo. SOFR
+ 5.90%), 7/20/37(1)(2)
|
|
2,000 |
2,010,690 |
|
Ballyrock CLO 14 Ltd., Series 2020-14A,
Class C2R, 7.979%, (3 mo. SOFR + 4.25%),
7/20/37(1)(2)
|
|
2,500 |
2,500,125 |
|
Ballyrock CLO 15 Ltd.: |
|
|
|
|
Series 2021-1A, Class D1R, 6.603%, (3 mo.
SOFR + 2.85%), 1/15/38(1)(2)
|
|
7,000 |
6,921,250 |
|
Series 2021-1A, Class ER, 9.003%, (3 mo.
SOFR + 5.25%), 1/15/38(1)(2)
|
|
2,000 |
1,853,208 |
|
Ballyrock CLO 16 Ltd.: |
|
|
|
|
Series 2021-16A, Class C1R, 6.479%, (3 mo.
SOFR + 2.75%), 4/20/38(1)(2)
|
|
3,000 |
2,959,731 |
|
Series 2021-16A, Class DR, 8.879%, (3 mo.
SOFR + 5.15%), 4/20/38(1)(2)
|
|
3,000 |
2,758,122 |
|
Ballyrock CLO 18 Ltd., Series 2021-18A, Class DR,
9.503%, (3 mo. SOFR + 5.75%), 4/15/38(1)(2)
|
|
2,000 |
1,896,224 |
|
Ballyrock CLO Ltd., Series 2019-2A, Class DR3,
9.96%, (3 mo. SOFR + 6.15%), 10/25/38(1)(2)
|
|
6,000 |
5,814,054 |
|
Barings CLO Ltd.: |
|
|
|
|
Series 2023-2A, Class ER, 8.829%, (3 mo.
SOFR + 5.10%), 10/20/38(1)(2)
|
|
3,000 |
2,962,332 |
|
Series 2025-1A, Class D2, 7.379%, (3 mo.
SOFR + 3.65%), 4/20/38(1)(2)
|
|
3,000 |
2,952,966 |
|
Series 2025-1A, Class E, 8.329%, (3 mo. SOFR
+ 4.60%), 4/20/38(1)(2)
|
|
4,000 |
3,953,988 |
|
Battalion CLO 18 Ltd., Series 2024-25A, Class D,
8.079%, (3 mo. SOFR + 4.35%), 3/13/37(1)(2)
|
|
5,000 |
5,021,735 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Battalion CLO XXII Ltd., Series 2021-22A, Class D,
7.341%, (3 mo. SOFR + 3.612%), 1/20/35(1)(2)
|
$ |
2,000 |
$ 1,896,144 |
|
Battalion CLO XXIX Ltd., Series 2025-29A,
Class D1, 7.053%, (3 mo. SOFR + 3.30%),
3/31/38(1)(2)
|
|
5,000 |
5,024,590 |
|
Battalion CLO XXX Ltd., Series 2025-30A, Class D1,
6.679%, (3 mo. SOFR + 2.95%), 1/20/39(1)(2)
|
|
4,000 |
4,008,220 |
|
Bear Mountain Park CLO Ltd., Series 2022-1A,
Class ER, 9.703%, (3 mo. SOFR + 5.95%),
7/15/37(1)(2)
|
|
1,375 |
1,256,966 |
|
Benefit Street Partners CLO 41 Ltd.,
Series 2025-41A, Class D1, 6.56%, (3 mo.
SOFR + 2.75%), 7/25/38(1)(2)
|
|
5,000 |
5,015,065 |
|
Benefit Street Partners CLO XII-B Ltd.,
Series 2017-12BRA, Class D1, 6.803%, (3 mo.
SOFR + 3.05%), 10/15/37(1)(2)
|
|
3,000 |
3,004,926 |
|
Benefit Street Partners CLO XVI Ltd.: |
|
|
|
|
Series 2018-16A, Class D1R2, 6.45%, (3 mo.
SOFR + 2.70%), 1/17/38(1)(2)
|
|
2,000 |
1,990,138 |
|
Series 2018-16A, Class D2R2, 7.75%, (3 mo.
SOFR + 4.00%), 1/17/38(1)(2)
|
|
2,500 |
2,463,745 |
|
Benefit Street Partners CLO XXII Ltd.: |
|
|
|
|
Series 2020-22A, Class DRR, 6.479%, (3 mo.
SOFR + 2.75%), 4/20/35(1)(2)
|
|
2,000 |
2,002,414 |
|
Series 2020-22A, Class ERR, 8.629%, (3 mo.
SOFR + 4.90%), 4/20/35(1)(2)
|
|
2,000 |
1,980,204 |
|
Benefit Street Partners CLO XXIII Ltd.,
Series 2021-23A, Class D1RR, 6.343%, (3 mo.
SOFR + 2.70%), 4/25/39(1)(2)
|
|
6,500 |
6,499,291 |
|
Birch Grove CLO 14 Ltd., Series 2025-14A,
Class D1R, 6.383%, (3 mo. SOFR + 2.65%),
7/22/39(1)(2)
|
|
5,000 |
5,006,915 |
|
Blueberry Park CLO Ltd., Series 2024-1A, Class D2,
7.979%, (3 mo. SOFR + 4.25%), 10/20/37(1)(2)
|
|
1,500 |
1,491,336 |
|
BlueMountain CLO Ltd.: |
|
|
|
|
Series 2015-3A, Class DR, 9.391%, (3 mo.
SOFR + 5.662%), 4/20/31(1)(2)
|
|
2,000 |
1,299,580 |
|
Series 2016-3A, Class ER, 9.863%, (3 mo.
SOFR + 6.212%), 11/15/30(1)(2)
|
|
1,000 |
776,483 |
|
BlueMountain CLO XXX Ltd., Series 2020-30A,
Class ER, 10.453%, (3 mo. SOFR + 6.70%),
4/15/35(1)(2)
|
|
2,000 |
1,884,962 |
|
BlueMountain CLO XXXIV Ltd., Series 2022-34A,
Class E, 11.279%, (3 mo. SOFR + 7.55%),
4/20/35(1)(2)
|
|
1,000 |
937,184 |
|
Bridge Trust: |
|
|
|
|
Series 2024-SFR1, Class E1, 4.30%, 8/17/40(1)
|
|
2,915 |
2,785,223 |
|
Series 2024-SFR1, Class E2, 5.50%, 8/17/40(1)
|
|
1,000 |
960,963 |
|
Series 2025-SFR1, Class E, 4.35%, 9/17/42(1)
|
|
1,445 |
1,320,788 |
|
Bryant Park Funding Ltd.: |
|
|
|
|
Series 2023-19A, Class D1R, 6.553%, (3 mo.
SOFR + 2.80%), 4/15/38(1)(2)
|
|
5,250 |
5,110,439 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Bryant Park Funding Ltd.: (continued) |
|
|
|
|
Series 2023-20A, Class DR, 7.153%, (3 mo.
SOFR + 3.40%), 4/15/38(1)(2)
|
$ |
5,000 |
$ 4,914,965 |
|
Series 2023-21A, Class D1R, 6.479%, (3 mo.
SOFR + 2.75%), 10/18/38(1)(2)
|
|
3,000 |
2,915,085 |
|
Series 2023-21A, Class ER, 8.979%, (3 mo.
SOFR + 5.25%), 10/18/38(1)(2)
|
|
3,000 |
2,919,468 |
|
Series 2024-22A, Class DR, 6.56%, (3 mo.
SOFR + 2.75%), 3/31/39(1)(2)
|
|
6,000 |
5,986,902 |
|
Cajun Global LLC: |
|
|
|
|
Series 2025-1A, Class A2, 6.554%, 2/20/55(1)
|
|
12,400 |
12,582,225 |
|
Series 2025-2A, Class A2, 5.912%, 11/20/55(1)
|
|
10,000 |
9,952,832 |
|
Series 2025-2A, Class M, 8.72%, 11/20/55(1)
|
|
17,500 |
17,283,222 |
|
Canyon Capital CLO Ltd.: |
|
|
|
|
Series 2016-1A, Class ER, 9.85%, (3 mo. SOFR
+ 6.012%), 7/15/31(1)(2)
|
|
4,000 |
3,569,288 |
|
Series 2016-2A, Class ER, 9.60%, (3 mo. SOFR
+ 6.262%), 10/15/31(1)(2)
|
|
1,000 |
716,796 |
|
Series 2022-1A, Class D, 6.993%, (3 mo. SOFR
+ 3.20%), 4/15/35(1)(2)
|
|
1,900 |
1,870,801 |
|
Carlyle U.S. CLO Ltd.: |
|
|
|
|
Series 2019-3A, Class ER3, 8.679%, (3 mo.
SOFR + 4.95%), 4/20/39(1)(2)
|
|
3,000 |
2,907,933 |
|
Series 2026-1A, Class E, 8.926%, (3 mo. SOFR
+ 5.25%), 4/25/39(1)(2)
|
|
3,250 |
3,273,225 |
|
Crown City CLO III, Series 2021-1A, Class C,
7.237%, (3 mo. SOFR + 3.562%), 7/20/34(1)(2)
|
|
1,000 |
982,718 |
|
Crown Point CLO 10 Ltd., Series 2021-10A,
Class E, 10.841%, (3 mo. SOFR + 7.112%),
7/20/34(1)(2)
|
|
2,000 |
1,935,132 |
|
Dryden CLO Ltd., Series 2018-55A, Class E,
9.415%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2)
|
|
1,000 |
993,320 |
|
Dryden Senior Loan Fund, Series 2016-42A,
Class ERR, 10.253%, (3 mo. SOFR + 6.50%),
7/15/37(1)(2)
|
|
2,000 |
1,942,208 |
|
Eldridge CLO Ltd., Series 2025-2A, Class E,
8.979%, (3 mo. SOFR + 5.25%), 1/20/39(1)(2)
|
|
3,000 |
3,026,688 |
|
Elmwood CLO 14 Ltd., Series 2022-1A, Class DR,
6.629%, (3 mo. SOFR + 2.90%), 10/20/38(1)(2)
|
|
2,000 |
2,006,740 |
|
Elmwood CLO 16 Ltd., Series 2022-3A,
Class D1RR, 7.229%, (3 mo. SOFR + 3.50%),
4/20/37(1)(2)
|
|
2,000 |
2,010,610 |
|
Elmwood CLO 32 Ltd., Series 2024-8A, Class D1,
6.579%, (3 mo. SOFR + 2.85%), 10/18/37(1)(2)
|
|
3,000 |
3,005,979 |
|
Elmwood CLO 40 Ltd., Series 2025-3A, Class E,
9.00%, (3 mo. SOFR + 5.25%), 3/22/38(1)(2)
|
|
2,000 |
2,010,786 |
|
Elmwood CLO VI Ltd.: |
|
|
|
|
Series 2020-3A, Class D1RR, 6.829%, (3 mo.
SOFR + 3.10%), 7/18/37(1)(2)
|
|
1,300 |
1,297,911 |
|
Series 2020-3A, Class ERR, 9.629%, (3 mo.
SOFR + 5.90%), 7/18/37(1)(2)
|
|
1,000 |
983,629 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
FirstKey Homes Trust: |
|
|
|
|
Series 2021-SFR1, Class G, 3.835%, 8/17/38(1)
|
$ |
37,071 |
$ 36,966,412 |
|
Series 2021-SFR2, Class G, 3.406%, 9/17/38(1)
|
|
12,501 |
12,427,859 |
|
Series 2021-SFR3, Class G, 3.981%,
12/17/38(1)
|
|
9,268 |
9,135,847 |
|
FMC Issuer Trust-FMSR, Series 2024-FT1, Class A,
6.559%, 9/25/29(1)
|
|
37,000 |
36,461,757 |
|
Galaxy 31 CLO Ltd., Series 2023-31A, Class DR,
6.953%, (3 mo. SOFR + 3.20%), 7/15/38(1)(2)
|
|
2,300 |
2,263,368 |
|
Galaxy 33 CLO Ltd.: |
|
|
|
|
Series 2024-33A, Class D1, 7.279%, (3 mo.
SOFR + 3.55%), 4/20/37(1)(2)
|
|
2,000 |
1,995,900 |
|
Series 2024-33A, Class E, 10.379%, (3 mo.
SOFR + 6.65%), 4/20/37(1)(2)
|
|
2,300 |
2,202,303 |
|
Galaxy 34 CLO Ltd., Series 2024-34A, Class E,
9.629%, (3 mo. SOFR + 5.90%), 10/20/37(1)(2)
|
|
3,000 |
2,963,262 |
|
GGAM Master Trust International Ltd.,
Series 2026-1A, Class Y, 9.317%, 9/30/60(1)
|
|
4,500 |
4,488,327 |
|
Goddard Funding LLC, Series 2022-1A, Class A2,
6.864%, 10/30/52(1)
|
|
6,773 |
6,766,223 |
|
Golub Capital Partners ABS Funding,
Series 2024-2A, Class B, 7.255%, 7/25/34(1)
|
|
5,000 |
4,864,075 |
|
Golub Capital Partners CLO 53B Ltd.,
Series 2021-53A, Class DR, 6.129%, (3 mo.
SOFR + 2.40%), 7/20/34(1)(2)
|
|
2,000 |
1,949,328 |
|
Gracie Point International Funding LLC,
Series 2025-1A, Class C, 6.382%, (30-day
SOFR Average + 2.75%), 8/15/28(1)(2)
|
|
750 |
750,660 |
|
HalseyPoint CLO 5 Ltd., Series 2021-5A, Class D,
7.605%, (3 mo. SOFR + 3.762%), 1/30/35(1)(2)
|
|
3,500 |
3,436,867 |
|
Harvest U.S. CLO Ltd.: |
|
|
|
|
Series 2024-2A, Class D1, 7.003%, (3 mo.
SOFR + 3.25%), 10/15/37(1)(2)
|
|
3,500 |
3,503,980 |
|
Series 2024-2A, Class E, 10.653%, (3 mo.
SOFR + 6.90%), 10/15/37(1)(2)
|
|
1,000 |
975,258 |
|
Series 2024-3A, Class D1, 7.029%, (3 mo.
SOFR + 3.30%), 1/18/38(1)(2)
|
|
1,000 |
1,003,016 |
|
Highbridge Loan Management, Series 3A-2014,
Class DR, 10.491%, (3 mo. SOFR + 6.762%),
7/18/29(1)(2)
|
|
2,770 |
2,468,201 |
|
Home Partners of America Trust: |
|
|
|
|
Series 2021-2, Class F, 3.799%, 12/17/26(1)
|
|
28,893 |
28,627,105 |
|
Series 2021-2, Class G, 4.505%, 12/17/26(1)
|
|
44,786 |
44,406,582 |
|
HTS Fund II LLC, Series 2025-1, Class B, 6.571%,
6/23/45(1)
|
|
1,150 |
1,148,737 |
|
KKR CLO 48 Ltd., Series 48-A, Class D1R, 6.625%,
(3 mo. SOFR + 2.95%), 10/20/38(1)(2)
|
|
4,000 |
4,005,572 |
|
KKR CLO 52 Ltd., Series 2023-52A, Class D1R,
6.893%, (3 mo. SOFR + 3.10%), 7/16/38(1)(2)
|
|
5,000 |
5,013,590 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
LoanDepot GMSR Trust: |
|
|
|
|
Series 2025-GT1, Class A, 6.555%, (1 mo.
SOFR + 2.85%), 5/16/30(1)(2)
|
$ |
78,929 |
$ 78,700,284 |
|
Series 2025-GT1, Class B, 7.255%, (1 mo.
SOFR + 3.55%), 5/16/30(1)(2)
|
|
13,071 |
13,079,225 |
|
Madison Park Funding XXII Ltd., Series 2016-22A,
Class D1R2, 6.653%, (3 mo. SOFR + 2.90%),
1/15/38(1)(2)
|
|
3,000 |
2,906,418 |
|
Madison Park Funding XXXVI Ltd., Series 2019-36A,
Class ERR, 9.353%, (3 mo. SOFR + 5.60%),
4/15/35(1)(2)
|
|
2,000 |
1,703,008 |
|
Magnetite XXII Ltd.: |
|
|
|
|
Series 2019-22A, Class DJ, 7.903%, (3 mo.
SOFR + 4.15%), 7/15/36(1)(2)
|
|
2,000 |
1,999,980 |
|
Series 2019-22A, Class DRR, 6.653%, (3 mo.
SOFR + 2.90%), 7/15/36(1)(2)
|
|
3,500 |
3,504,316 |
|
Marble Point CLO XXIV Ltd., Series 2022-1A,
Class D1R, 6.979%, (3 mo. SOFR + 3.25%),
4/20/35(1)(2)
|
|
2,500 |
2,458,650 |
|
MFA Trust, Series 2024-NPL1, Class A1, 6.33% to
8/25/26, 9/25/54(1)(3)
|
|
5,026 |
5,036,664 |
|
MidOcean Credit CLO XXII, Series 2026-22A,
Class E, 8.629%, (3 mo. SOFR + 4.90%),
4/20/39(1)(2)
|
|
3,875 |
3,868,757 |
|
Navigator Aviation Ltd., Series 2024-1, Class B,
6.09%, 8/15/49(1)
|
|
4,747 |
4,675,829 |
|
Neuberger Berman CLO XVII Ltd., Series 2014-17A,
Class D2R4, 7.945%, (3 mo. SOFR + 4.30%),
7/22/40(1)(2)
|
|
4,000 |
4,002,072 |
|
Neuberger Berman Loan Advisers CLO 28 Ltd.,
Series 2018-28A, Class ER, 10.679%, (3 mo.
SOFR + 6.95%), 10/20/38(1)(2)
|
|
3,000 |
2,994,888 |
|
Neuberger Berman Loan Advisers CLO 59 Ltd.,
Series 2024-59A, Class E, 8.552%, (3 mo.
SOFR + 4.80%), 1/23/39(1)(2)
|
|
2,000 |
1,967,522 |
|
New Mountain CLO 3 Ltd.: |
|
|
|
|
Series CLO-3A, Class D1R, 6.679%, (3 mo.
SOFR + 2.95%), 10/20/38(1)(2)
|
|
5,000 |
4,901,175 |
|
Series CLO-3A, Class ER, 9.079%, (3 mo. SOFR
+ 5.35%), 10/20/38(1)(2)
|
|
4,500 |
4,328,896 |
|
New Mountain CLO 6 Ltd., Series CLO-6A,
Class D2, 8.029%, (3 mo. SOFR + 4.30%),
10/15/37(1)(2)
|
|
2,000 |
2,002,006 |
|
New Mountain CLO 7 Ltd., Series CLO-7A,
Class D2, 7.579%, (3 mo. SOFR + 3.85%),
3/31/38(1)(2)
|
|
2,000 |
1,964,322 |
|
NRZ Excess Spread-Collateralized Notes,
Series 2024-FNT1, Class A, 7.398%,
11/25/31(1)
|
|
22,033 |
21,967,065 |
|
Oaktree CLO Ltd.: |
|
|
|
|
Series 2019-4A, Class ERR, 10.265%, (3 mo.
SOFR + 6.59%), 7/20/37(1)(2)
|
|
2,500 |
2,351,440 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Oaktree CLO Ltd.: (continued) |
|
|
|
|
Series 2025-32A, Class D3, 8.003%, (3 mo.
SOFR + 4.25%), 7/15/38(1)(2)
|
$ |
3,000 |
$ 2,966,250 |
|
Octagon 60 Ltd., Series 2022-1A, Class ER,
10.729%, (3 mo. SOFR + 7.00%),
10/20/37(1)(2)
|
|
2,500 |
2,506,520 |
|
Octagon Investment Partners 49 Ltd.,
Series 2020-5A, Class D1R, 7.803%, (3 mo.
SOFR + 4.05%), 4/15/37(1)(2)
|
|
2,000 |
1,992,516 |
|
Orion CLO Ltd.: |
|
|
|
|
Series 2023-1A, Class D1R, 6.71%, (3 mo.
SOFR + 2.90%), 10/25/38(1)(2)
|
|
4,000 |
3,905,040 |
|
Series 2024-4A, Class E, 9.729%, (3 mo. SOFR
+ 6.00%), 10/20/37(1)(2)
|
|
2,000 |
2,009,872 |
|
Series 2025-6A, Class E, 8.979%, (3 mo. SOFR
+ 5.25%), 10/20/38(1)(2)
|
|
6,000 |
6,007,182 |
|
Pagaya AI Technology in Housing Trust,
Series 2023-1, Class F, 3.60%, 10/25/40(1)
|
|
4,500 |
4,044,571 |
|
Palmer Square CLO Ltd.: |
|
|
|
|
Series 2018-1A, Class CR, 7.629%, (3 mo.
SOFR + 3.90%), 4/18/37(1)(2)
|
|
4,500 |
4,447,120 |
|
Series 2021-2A, Class ER, 8.853%, (3 mo.
SOFR + 5.10%), 2/15/38(1)(2)
|
|
2,000 |
1,867,714 |
|
Series 2023-2A, Class ER, 10.129%, (3 mo.
SOFR + 6.40%), 7/20/38(1)(2)
|
|
4,000 |
4,015,000 |
|
Progress Residential Trust: |
|
|
|
|
Series 2021-SFR9, Class F, 4.053%,
11/17/40(1)
|
|
1,000 |
961,303 |
|
Series 2022-SFR1, Class H, 5.25%, 2/17/41(1)
|
|
17,650 |
17,019,274 |
|
Series 2022-SFR3, Class F, 6.60%, 4/17/39(1)
|
|
2,500 |
2,492,865 |
|
RCO IX Mortgage LLC, Series 2026-2, Class A1,
5.765% to 5/25/27, 5/25/31(1)(3)
|
|
5,372 |
5,387,303 |
|
Regatta 31 Funding Ltd., Series 2025-1A, Class D,
8.71%, (3 mo. SOFR + 4.90%), 3/25/38(1)(2)
|
|
3,000 |
2,877,177 |
|
Retained Vantage Data Centers Issuer LLC,
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1)
|
|
10,000 |
7,164,147 |
|
RMF Buyout Issuance Trust, Series 2021-HB1,
Class M5, 6.00%, 11/25/31(1)(4)
|
|
4,500 |
4,192,133 |
|
RR 35 Ltd., Series 2024-35A, Class D, 9.103%,
(3 mo. SOFR + 5.35%), 1/15/40(1)(2)
|
|
7,500 |
7,523,632 |
|
RR 38 Ltd., Series 2025-38A, Class C2, 7.403%,
(3 mo. SOFR + 3.65%), 4/15/40(1)(2)
|
|
4,000 |
3,924,492 |
|
Saluda Grade Alternative Mortgage Trust,
Series 2025-NPL2, Class A1, 7.774% to
4/25/28, 5/25/30(1)(3)
|
|
20,541 |
20,494,447 |
|
Santander Bank Auto Credit-Linked Notes: |
|
|
|
|
Series 2024-A, Class E, 7.762%, 6/15/32(1)
|
|
911 |
926,368 |
|
Series 2024-B, Class F, 8.881%, 1/18/33(1)
|
|
1,355 |
1,388,197 |
|
Serval PLC, Series 2026-1A, Class E, 7.00%,
1/20/76(1)(4)
|
|
3,747 |
5,028,074 |
|
Service Experts Issuer LLC, Series 2025-1A,
Class B, 7.62%, 1/20/37(1)
|
|
1,250 |
1,252,972 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Silver Point CLO 12 Ltd., Series 2025-12A,
Class D1, 6.403%, (3 mo. SOFR + 2.65%),
10/15/38(1)(2)
|
$ |
4,000 |
$ 3,896,196 |
|
Sixth Street CLO XV Ltd., Series 2020-15A,
Class D1R, 6.925%, (3 mo. SOFR + 3.15%),
10/24/37(1)(2)
|
|
5,000 |
5,000,745 |
|
Sixth Street CLO XX Ltd., Series 2021-20A,
Class D1R, 6.70%, (3 mo. SOFR + 2.95%),
7/17/38(1)(2)
|
|
4,000 |
4,000,016 |
|
Sixth Street CLO XXII Ltd., Series 2023-22A,
Class D2R, 7.484%, (3 mo. SOFR + 3.75%),
4/21/38(1)(2)
|
|
1,400 |
1,379,006 |
|
Slam Ltd., Series 2026-1A, Class A, 5.547%,
7/15/51(1)
|
|
4,463 |
4,435,788 |
|
STAR Trust: |
|
|
|
|
Series 2021-SFR2, Class G, 7.191%, (1 mo.
SOFR + 3.514%), 1/17/39(1)(2)
|
|
4,000 |
4,002,035 |
|
Series 2024-SFR4, Class C, 6.126%, (1 mo.
SOFR + 2.45%), 10/17/41(1)(2)
|
|
8,576 |
8,587,838 |
|
Series 2024-SFR4, Class D, 6.626%, (1 mo.
SOFR + 2.95%), 10/17/41(1)(2)
|
|
14,650 |
14,678,260 |
|
Series 2025-SFR5, Class D, 6.127%, (1 mo.
SOFR + 2.45%), 2/17/42(1)(2)
|
|
9,670 |
9,704,153 |
|
Series 2025-SFR5, Class E, 6.627%, (1 mo.
SOFR + 2.95%), 2/17/42(1)(2)
|
|
2,500 |
2,507,228 |
|
Series 2025-SFR6, Class C, 5.677%, (1 mo.
SOFR + 2.00%), 8/17/42(1)(2)
|
|
2,450 |
2,457,356 |
|
Series 2025-SFR6, Class D, 6.077%, (1 mo.
SOFR + 2.40%), 8/17/42(1)(2)
|
|
5,050 |
5,076,270 |
|
TCW CLO Ltd., Series 2024-3A, Class E, 10.329%,
(3 mo. SOFR + 6.60%), 10/20/37(1)(2)
|
|
2,000 |
1,874,648 |
|
Texas Debt Capital CLO Ltd., Series 2025-1A,
Class E, 8.275%, (3 mo. SOFR + 4.50%),
4/24/38(1)(2)
|
|
3,000 |
2,956,503 |
|
TRESTLES CLO Ltd., Series 2017-1A, Class ERR,
9.617%, (3 mo. SOFR + 5.95%), 7/25/37(1)(2)
|
|
2,750 |
2,763,514 |
|
Tricon Residential Trust, Series 2025-SFR1,
Class D, 5.676%, (1 mo. SOFR + 2.00%),
3/17/42(1)(2)
|
|
4,000 |
4,006,963 |
|
Truist Bank Auto Credit-Linked Notes: |
|
|
|
|
Series 2025-1, Class C, 6.807%, 9/26/33(1)
|
|
3,123 |
3,114,472 |
|
Series 2026-1, Class C, 7.196%, 6/26/34(1)
|
|
2,960 |
2,959,461 |
|
U.S. Bank NA: |
|
|
|
|
Series 2026-RVM1, Class D, 7.056%,
12/25/46(1)
|
|
13,239 |
13,141,939 |
|
Series 2026-RVM1, Class F, 10.192%,
12/25/46(1)
|
|
6,178 |
6,174,195 |
|
UPX HIL Issuer Trust, Series 2025-1, Class C,
7.67%, 1/25/47(1)
|
|
4,857 |
4,869,689 |
|
VB-S1 Issuer LLC: |
|
|
|
|
Series 2024-1A, Class F, 8.871%, 5/15/54(1)
|
|
4,750 |
4,862,869 |
|
Series 2026-1A, Class F, 6.843%, 3/15/56(1)
|
|
5,984 |
5,989,802 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
VINE Trust: |
|
|
|
|
Series 2023-SFR1, Class E1, 4.75%,
12/17/40(1)
|
$ |
15,000 |
$ 14,379,205 |
|
Series 2024-SFR1, Class E1, 4.50%, 3/17/41(1)
|
|
5,000 |
4,743,731 |
|
Voya CLO Ltd.: |
|
|
|
|
Series 2013-1A, Class DR, 10.495%, (3 mo.
SOFR + 6.742%), 10/15/30(1)(2)
|
|
5,000 |
4,868,445 |
|
Series 2018-2A, Class E, 9.265%, (3 mo. SOFR
+ 5.512%), 7/15/31(1)(2)
|
|
1,000 |
941,396 |
|
Wellfleet CLO Ltd.: |
|
|
|
|
Series 2019-1A, Class CRR, 6.529%, (3 mo.
SOFR + 2.80%), 7/20/32(1)(2)
|
|
2,500 |
2,503,603 |
|
Series 2021-2A, Class E, 10.975%, (3 mo.
SOFR + 7.222%), 7/15/34(1)(2)
|
|
1,000 |
764,475 |
|
Willis Engine Structured Trust IX, Series 2025-B,
Class B, 5.696%, 12/15/50(1)
|
|
5,953 |
5,771,573 |
|
Wingspire Equipment Finance LLC,
Series 2025-1A, Class E, 7.45%, 9/20/33(1)
|
|
6,000 |
6,004,046 |
|
Total Asset-Backed Securities
(identified cost $893,019,239) |
|
|
$ 895,650,989 |
|
Closed-End Funds — 0.1% |
|
Security |
Shares |
Value | |
|
Nuveen Global High Income Fund |
|
83,400 |
$ 1,044,168 |
|
PGIM Global High Yield Fund, Inc. |
|
430,326 |
5,017,601 |
|
Western Asset High Income Opportunity Fund, Inc. |
|
383,997 |
1,355,510 |
|
Total Closed-End Funds
(identified cost $8,409,895) |
|
|
$ 7,417,279 |
|
Collateralized Mortgage Obligations — 37.8% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
A&D Mortgage Trust, Series 2024-NQM6,
Class B1A, 7.255%, 1/25/70(1)(4)
|
$ |
1,440 |
$ 1,455,551 |
|
Asset Based Lending LLC, Series 2024-RTL1,
Class A1, 6.075% to 3/25/27, 9/25/29(1)(3)
|
|
11,050 |
11,091,162 |
|
BofA Lending Facility: |
|
|
|
|
7.731%, (SOFR + 4.00%), 6/3/27(2)
|
|
9,291 |
9,273,280 |
|
7.981%, (SOFR + 4.25%), 5/14/27(2)
|
|
13,295 |
13,264,007 |
|
8.481%, (SOFR + 4.00%), 7/2/27(2)
|
|
11,748 |
11,742,819 |
|
Brean Asset-Backed Securities Trust: |
|
|
|
|
Series 2023-RM6, Class A1, 5.25% to 1/25/28,
1/25/63(1)(3)
|
|
3,397 |
3,393,615 |
|
Series 2023-SRM1, Class M4, 4.00%,
9/25/63(1)
|
|
8,731 |
7,351,053 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Brean Asset-Backed Securities Trust: (continued) |
|
|
|
|
Series 2023-SRM1, Class M5, 4.00%,
9/25/63(1)
|
$ |
8,620 |
$ 6,454,913 |
|
Cascade Funding Mortgage Trust,
Series 2025-HB16, Class M4, 3.00%,
3/25/35(1)(4)
|
|
9,300 |
8,882,663 |
|
Cascade MH Asset Trust, Series 2022-MH1,
Class A, 4.25% to 7/25/27, 8/25/54(1)(3)
|
|
2,302 |
2,261,156 |
|
Center Street Lending Resi-Investor ABS Mortgage
Trust, Series 2024-RTL1, Class A1, 6.892% to
5/25/27, 10/25/29(1)(3)
|
|
8,450 |
8,506,438 |
|
CFMT LLC: |
|
|
|
|
Series 2024-R1, Class M1, 4.00% to 10/25/26,
10/25/54(1)(3)
|
|
5,770 |
5,431,259 |
|
Series 2024-R1, Class M2, 4.00% to 10/25/26,
10/25/54(1)(3)
|
|
9,932 |
9,178,758 |
|
Series 2024-HB14, Class M2, 3.00%,
6/25/34(1)(4)
|
|
1,250 |
1,221,481 |
|
Series 2024-HB14, Class M3, 3.00%,
6/25/34(1)(4)
|
|
1,550 |
1,509,359 |
|
Series 2024-HB14, Class M4, 3.00%,
6/25/34(1)(4)
|
|
8,500 |
8,221,658 |
|
Series 2024-HB15, Class M3, 4.00%,
8/25/34(1)(4)
|
|
1,000 |
975,615 |
|
Series 2024-HB15, Class M4, 4.00%,
8/25/34(1)(4)
|
|
3,750 |
3,654,969 |
|
Champs Trust: |
|
|
|
|
Series 2024-1, Class A, 11.105%, 7/25/59(1)(4)
|
|
28,775 |
29,401,418 |
|
Series 2024-2, Class A, 7.997%, 11/25/59(1)(4)
|
|
23,764 |
24,417,381 |
|
Series 2024-3, Class A, 9.05%, 1/25/60(1)(4)
|
|
47,417 |
48,813,213 |
|
Series 2025-1, Class A, 8.324%, 4/25/60(1)(4)
|
|
55,506 |
57,300,492 |
|
Series 2025-2, Class A, 7.904%, 10/25/60(1)(4)
|
|
81,722 |
84,457,766 |
|
Series 2026-1, Class A, 8.913%, 9/25/61(1)
|
|
136,682 |
141,790,431 |
|
CHNGE Mortgage Trust, Series 2022-NQM1,
Class M1, 5.82% to 8/25/26, 6/25/67(1)(3)
|
|
1,764 |
1,764,966 |
|
Dominion Mortgage Trust, Series 2025-RTL1,
Class A2, 8.019% to 9/25/27, 3/25/30(1)(3)
|
|
9,000 |
9,079,091 |
|
EFMT, Series 2024-RM2, Class A1A, 5.00%,
7/25/54(1)
|
|
14,976 |
14,521,518 |
|
FARM Mortgage Trust: |
|
|
|
|
Series 2022-1, Class B, 2.959%, 1/25/52(1)(4)
|
|
2,251 |
1,687,186 |
|
Series 2023-1, Class B, 3.036%, 3/25/52(1)(4)
|
|
2,345 |
1,760,886 |
|
Series 2024-1, Class B, 5.05%, 10/1/53(1)(4)
|
|
2,974 |
2,593,035 |
|
Series 2025-1, Class B, 5.64%, 8/1/55(1)(4)
|
|
3,353 |
2,921,492 |
|
Federal Home Loan Mortgage Corp.: |
|
|
|
|
Series 2182, Class ZC, 7.50%, 9/15/29 |
|
8 |
7,768 |
|
Series 4273, Class SP, 2.009%, (11.695% -
30-day SOFR Average x 2.667), 11/15/43(5)
|
|
516 |
402,369 |
|
Series 5071, Class SP, 0.00%, (3.30% - 30-day
SOFR Average, Floor 0.00%), 2/25/51(5)
|
|
4,319 |
1,703,497 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
Series 5083, Class SK, 0.00%, (3.867% -
30-day SOFR Average x 1.333, Floor 0.00%),
3/25/51(5)
|
$ |
3,411 |
$ 1,383,046 |
|
Series 5152, Class ZP, 3.00%, 7/25/50 |
|
11,030 |
6,569,908 |
|
Series 5270, Class ZU, 6.00%, 11/25/52 |
|
3,960 |
4,040,065 |
|
Series 5300, Class EY, 6.00%, 12/25/52 |
|
10,900 |
11,174,034 |
|
Series 5324, Class MZ, 6.00%, 7/25/53 |
|
3,999 |
4,079,330 |
|
Series 5327, Class B, 6.00%, 8/25/53 |
|
20,000 |
20,507,238 |
|
Series 5343, Class CS, 8.652%, (19.50% -
30-day SOFR Average x 3.00), 10/25/53(5)
|
|
4,957 |
4,877,264 |
|
Series 5353, Class AZ, 6.50%, 11/25/53 |
|
10,159 |
10,702,104 |
|
Series 5362, Class JB, 6.00%, 12/25/53 |
|
14,599 |
14,957,118 |
|
Series 5379, Class EZ, 5.50%, 2/25/54 |
|
9,176 |
9,036,296 |
|
Series 5381, Class Z, 5.50%, 2/25/54 |
|
15,467 |
14,982,385 |
|
Series 5391, Class EZ, 5.50%, 3/25/54 |
|
18,269 |
17,990,046 |
|
Series 5399, Class MZ, 6.00%, 4/25/54 |
|
5,257 |
5,370,019 |
|
Series 5402, Class BZ, 6.00%, 4/25/54 |
|
9,199 |
9,393,460 |
|
Series 5410, Class KY, 6.00%, 5/25/54 |
|
10,000 |
10,216,425 |
|
Series 5413, Class LZ, 6.00%, 5/25/54 |
|
4,577 |
4,669,832 |
|
Series 5413, Class MZ, 6.00%, 5/25/54 |
|
13,446 |
13,734,194 |
|
Series 5414, Class CZ, 5.50%, 5/25/54 |
|
37,102 |
36,858,575 |
|
Series 5428, Class Z, 6.00%, 7/25/54 |
|
16,628 |
16,978,361 |
|
Series 5429, Class DZ, 6.00%, 7/25/54 |
|
13,672 |
13,992,212 |
|
Series 5446, Class AZ, 6.00%, 8/25/54 |
|
24,101 |
24,651,126 |
|
Series 5453, Class DZ, 5.50%, 9/25/54 |
|
14,873 |
14,600,354 |
|
Series 5461, Class Z, 6.50%, 10/25/54 |
|
278 |
277,599 |
|
Series 5478, Class SG, 7.555%, (15.51% -
30-day SOFR Average x 2.20), 12/25/54(5)
|
|
33,711 |
32,042,686 |
|
Series 5481, Class HZ, 5.50%, 12/25/54 |
|
9,415 |
9,171,771 |
|
Series 5489, Class S, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(5)
|
|
9,708 |
9,402,867 |
|
Series 5491, Class CZ, 5.50%, 1/25/55 |
|
14,492 |
14,188,527 |
|
Series 5493, Class KZ, 5.50%, 1/25/55 |
|
16,844 |
16,428,445 |
|
Series 5499, Class HZ, 5.50%, 2/25/55 |
|
8,049 |
7,842,869 |
|
Series 5499, Class MZ, 6.00%, 2/25/55 |
|
27,348 |
27,973,133 |
|
Series 5500, Class EZ, 5.50%, 1/25/54 |
|
13,496 |
13,331,112 |
|
Series 5500, Class SC, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 10/25/54(5)
|
|
22,715 |
23,708,192 |
|
Series 5500, Class ZG, 5.50%, 10/25/54 |
|
20,794 |
20,295,042 |
|
Series 5502, Class DZ, 5.50%, 2/25/55 |
|
23,887 |
23,363,993 |
|
Series 5508, Class AS, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(5)
|
|
22,396 |
23,479,639 |
|
Series 5508, Class DS, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(5)
|
|
8,722 |
9,151,314 |
|
Series 5508, Class SC, 10.152%, (21.00% -
30-day SOFR Average x 3.00), 2/25/55(5)
|
|
23,608 |
24,595,961 |
|
Series 5510, Class GZ, 5.50%, 2/25/55 |
|
18,946 |
18,481,650 |
|
Series 5511, Class LT, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(2)
|
|
3,997 |
4,012,985 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
Series 5511, Class SQ, 8.936%, (23.40% -
30-day SOFR Average x 4.00), 3/25/55(5)
|
$ |
13,929 |
$ 13,335,351 |
|
Series 5511, Class TE, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(2)
|
|
2,152 |
2,171,960 |
|
Series 5513, Class GZ, 5.50%, 6/25/54 |
|
43,122 |
42,307,081 |
|
Series 5513, Class MQ, 7.566%, (30-day SOFR
Average + 3.95%), 6/25/54(2)
|
|
51,825 |
52,023,503 |
|
Series 5516, Class HZ, 6.00%, 3/25/55 |
|
27,212 |
27,886,524 |
|
Series 5516, Class MC, 6.916%, (30-day SOFR
Average + 3.30%), 3/25/55(5)
|
|
6,585 |
6,704,405 |
|
Series 5517, Class NA, 7.566%, (30-day SOFR
Average + 3.95%), 3/25/55(2)
|
|
5,416 |
5,535,356 |
|
Series 5522, Class AZ, 5.50%, 3/25/55 |
|
73,893 |
72,933,664 |
|
Series 5535, Class MB, 7.666%, (30-day SOFR
Average + 4.05%), 5/25/55(2)
|
|
10,452 |
10,518,335 |
|
Series 5544, Class CZ, 6.00%, 5/25/55 |
|
53,616 |
54,787,621 |
|
Series 5545, Class DZ, 6.00%, 6/25/55 |
|
52,544 |
53,518,747 |
|
Series 5547, Class ME, 7.421%, (30-day SOFR
Average + 3.805%), 6/25/55(2)
|
|
5,694 |
5,781,603 |
|
Series 5549, Class MB, 8.316%, (30-day SOFR
Average + 4.70%), 2/25/55(2)
|
|
5,955 |
5,883,294 |
|
Series 5557, Class UM, 7.756%, (30-day SOFR
Average + 4.14%), 6/25/55(2)
|
|
7,803 |
7,786,173 |
|
Series 5563, Class TB, 8.25%, (21.15% -
30-day SOFR Average x 3.00), 6/25/55(5)
|
|
34,494 |
34,533,359 |
|
Series 5563, Class TV, 8.16%, (21.06% -
30-day SOFR Average x 3.00), 8/25/55(5)
|
|
21,048 |
21,141,487 |
|
Series 5572, Class GZ, 6.00%, 9/25/55 |
|
10,158 |
10,340,614 |
|
Series 5575, Class TA, 8.25%, (21.15% -
30-day SOFR Average x 3.00), 9/25/55(5)
|
|
31,098 |
31,317,445 |
|
Series 5592, Class TE, 7.20%, (21.30% -
30-day SOFR Average x 3.00), 10/25/55(5)
|
|
9,584 |
9,538,752 |
|
Series 5594, Class Z, 6.00%, 11/25/53 |
|
2,850 |
2,860,844 |
|
Series 5604, Class SQ, 10.637%, (30.525% -
30-day SOFR Average x 5.50), 12/25/55(5)
|
|
20,646 |
20,236,759 |
|
Series 5623, Class UZ, 6.00%, 8/25/55 |
|
2,073 |
1,992,797 |
|
Series 5644, Class SE, 9.291%, (22.55% -
30-day SOFR Average x 3.667), 4/25/56(5)
|
|
29,410 |
29,652,967 |
|
Series 5645, Class ZH, 6.00%, 11/25/53 |
|
10,544 |
10,291,704 |
|
Series 5648, Class CA, 6.00%, 2/25/55 |
|
4,380 |
4,320,994 |
|
Series 5659, Class SD, 8.618%, (18.563% -
30-day SOFR Average x 2.75), 5/25/56(5)
|
|
16,168 |
16,413,463 |
|
Series 5660, Class SC, 8.618%, (18.563% -
30-day SOFR Average x 2.75), 5/25/56(5)
|
|
23,227 |
23,633,809 |
|
Series 5662, Class SA, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 5/25/56(5)
|
|
42,374 |
42,633,622 |
|
Series 5664, Class PS, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 6/25/56(5)
|
|
90,456 |
91,810,170 |
|
Series 5668, Class SC, 7.913%, (16.35% -
30-day SOFR Average x 2.333), 6/25/56(5)
|
|
16,850 |
16,990,516 |
|
Series 5669, Class SA, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 6/25/56(5)
|
|
21,709 |
21,834,498 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: (continued) |
|
|
|
|
Series 5671, Class ZC, 6.00%, 6/25/56 |
$ |
13,082 |
$ 12,902,086 |
|
Series 5675, Class SA, 7.995%, (15.95% -
30-day SOFR Average x 2.20), 7/25/56(5)
|
|
14,519 |
14,637,204 |
|
Series 5677, Class ES, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 7/25/56(5)
|
|
35,288 |
35,632,381 |
|
Series 5677, Class S, 7.995%, (15.95% -
30-day SOFR Average x 2.20), 7/25/56(5)
|
|
20,630 |
20,821,333 |
|
Series 5677, Class Z, 6.00%, 9/25/55 |
|
10,127 |
9,816,291 |
|
Series 5681, Class SD, 7.995%, (15.95% -
30-day SOFR Average x 2.20), 7/25/56(5)
|
|
20,276 |
20,431,377 |
|
Interest Only:(6) |
|
|
|
|
Series 380, Class C1, 3.00%, 1/25/50 |
|
24,392 |
4,302,161 |
|
Series 380, Class C5, 3.50%, 1/25/50 |
|
7,374 |
1,453,824 |
|
Series 2956, Class SL, 3.26%, (6.886% -
30-day SOFR Average), 6/15/32(5)
|
|
223 |
12,085 |
|
Series 3114, Class TS, 2.91%, (6.536% -
30-day SOFR Average), 9/15/30(5)
|
|
229 |
5,315 |
|
Series 3153, Class JI, 2.88%, (6.506% -
30-day SOFR Average), 5/15/36(5)
|
|
625 |
32,660 |
|
Series 4007, Class JI, 4.00%, 2/15/42 |
|
398 |
55,884 |
|
Series 4067, Class JI, 3.50%, 6/15/27 |
|
127 |
1,287 |
|
Series 4070, Class S, 2.36%, (5.986% - 30-day
SOFR Average), 6/15/32(5)
|
|
2,502 |
100,809 |
|
Series 4095, Class HS, 2.36%, (5.986% -
30-day SOFR Average), 7/15/32(5)
|
|
291 |
6,094 |
|
Series 4109, Class ES, 2.41%, (6.036% -
30-day SOFR Average), 12/15/41(5)
|
|
81 |
7,085 |
|
Series 4109, Class SA, 2.46%, (6.086% -
30-day SOFR Average), 9/15/32(5)
|
|
1,147 |
49,000 |
|
Series 4149, Class S, 2.51%, (6.136% - 30-day
SOFR Average), 1/15/33(5)
|
|
780 |
34,291 |
|
Series 4163, Class GS, 2.46%, (6.086% -
30-day SOFR Average), 11/15/32(5)
|
|
724 |
32,672 |
|
Series 4169, Class AS, 2.51%, (6.136% -
30-day SOFR Average), 2/15/33(5)
|
|
879 |
39,878 |
|
Series 4188, Class AI, 3.50%, 4/15/28 |
|
30 |
188 |
|
Series 4189, Class SQ, 2.41%, (6.036% -
30-day SOFR Average), 12/15/42(5)
|
|
395 |
33,170 |
|
Series 4203, Class QS, 2.51%, (6.136% -
30-day SOFR Average), 5/15/43(5)
|
|
884 |
47,961 |
|
Series 4332, Class IK, 4.00%, 4/15/44 |
|
375 |
64,014 |
|
Series 4343, Class PI, 4.00%, 5/15/44 |
|
986 |
176,698 |
|
Series 4381, Class SK, 2.41%, (6.036% -
30-day SOFR Average), 6/15/44(5)
|
|
1,040 |
69,320 |
|
Series 4388, Class MS, 2.36%, (5.986% -
30-day SOFR Average), 9/15/44(5)
|
|
1,032 |
86,764 |
|
Series 4408, Class IP, 3.50%, 4/15/44 |
|
1,489 |
166,272 |
|
Series 4497, Class CS, 2.46%, (6.086% -
30-day SOFR Average), 9/15/44(5)
|
|
474 |
9,610 |
|
Series 4507, Class MI, 3.50%, 8/15/44 |
|
202 |
4,333 |
|
Series 4507, Class SJ, 2.44%, (6.066% -
30-day SOFR Average), 9/15/45(5)
|
|
2,677 |
256,312 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 4520, Class PI, 4.00%, 8/15/45 |
$ |
5,590 |
$ 632,654 |
|
Series 4528, Class BS, 2.41%, (6.036% -
30-day SOFR Average), 7/15/45(5)
|
|
1,242 |
84,842 |
|
Series 4629, Class QI, 3.50%, 11/15/46 |
|
1,318 |
228,375 |
|
Series 4637, Class IP, 3.50%, 4/15/44 |
|
4 |
3 |
|
Series 4644, Class TI, 3.50%, 1/15/45 |
|
1,087 |
130,850 |
|
Series 4744, Class IO, 4.00%, 11/15/47 |
|
1,260 |
253,563 |
|
Series 4749, Class IL, 4.00%, 12/15/47 |
|
997 |
201,603 |
|
Series 4768, Class IO, 4.00%, 3/15/48 |
|
1,226 |
247,314 |
|
Series 5051, Class S, 0.00%, (3.60% - 30-day
SOFR Average, Floor 0.00%), 12/25/50(5)
|
|
15,241 |
262,571 |
|
Series 5070, Class CI, 2.00%, 2/25/51 |
|
32,879 |
4,242,756 |
|
Series 5156, Class IP, 3.00%, 12/25/49 |
|
15,837 |
2,443,324 |
|
Series 5236, Class TI, 3.00%, 1/25/51 |
|
57,922 |
9,841,869 |
|
Series 5293, Class CI, 2.50%, 4/25/51 |
|
23,061 |
3,597,189 |
|
Series 5648, Class SA, 1.184%, (4.80% -
30-day SOFR Average), 2/25/56(5)
|
|
113,868 |
3,209,770 |
|
Series 5677, Class SW, 1.884%, (5.50% -
30-day SOFR Average), 7/25/56(5)
|
|
34,835 |
1,772,951 |
|
Series 5691, Class SG, 1.834%, (5.45% -
30-day SOFR Average), 8/25/56(5)
|
|
81,253 |
4,218,330 |
|
Principal Only:(7) |
|
|
|
|
Series 4417, Class KO, 0.00%, 12/15/43 |
|
497 |
350,874 |
|
Series 4478, Class PO, 0.00%, 5/15/45 |
|
660 |
476,404 |
|
Series 5357, Class EO, 0.00%, 11/25/53 |
|
3,021 |
2,438,876 |
|
Series 5473, Class AO, 0.00%, 11/25/54 |
|
7,405 |
5,532,383 |
|
Federal Home Loan Mortgage Corp. STACR REMICS
Trust: |
|
|
|
|
Series 2019-HQA3, Class B2, 11.231%,
(30-day SOFR Average + 7.614%),
9/25/49(1)(2)
|
|
1,250 |
1,393,937 |
|
Series 2020-DNA6, Class B2, 9.266%, (30-day
SOFR Average + 5.65%), 12/25/50(1)(2)
|
|
6,900 |
7,911,232 |
|
Series 2021-DNA2, Class B2, 9.616%, (30-day
SOFR Average + 6.00%), 8/25/33(1)(2)
|
|
6,610 |
8,278,994 |
|
Series 2021-DNA3, Class B2, 9.866%, (30-day
SOFR Average + 6.25%), 10/25/33(1)(2)
|
|
6,500 |
8,274,035 |
|
Series 2021-DNA5, Class B2, 9.116%, (30-day
SOFR Average + 5.50%), 1/25/34(1)(2)
|
|
53,570 |
65,444,840 |
|
Series 2021-DNA6, Class B2, 11.116%,
(30-day SOFR Average + 7.50%),
10/25/41(1)(2)
|
|
21,140 |
21,485,318 |
|
Series 2021-HQA1, Class B2, 8.616%, (30-day
SOFR Average + 5.00%), 8/25/33(1)(2)
|
|
35,825 |
42,758,445 |
|
Series 2021-HQA2, Class B2, 9.066%, (30-day
SOFR Average + 5.45%), 12/25/33(1)(2)
|
|
4,425 |
5,380,193 |
|
Series 2022-DNA4, Class B2, 13.866%,
(30-day SOFR Average + 10.25%),
5/25/42(1)(2)
|
|
32,500 |
34,755,497 |
|
Series 2022-DNA5, Class B2, 16.516%,
(30-day SOFR Average + 12.90%),
6/25/42(1)(2)
|
|
30,359 |
33,345,952 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal National Mortgage Association: |
|
|
|
|
Series 2009-62, Class WA, 5.596%, 8/25/39(4)
|
$ |
198 |
$ 199,490 |
|
Series 2013-6, Class TA, 1.50%, 1/25/43 |
|
291 |
260,036 |
|
Series 2021-56, Class GZ, 3.00%, 7/25/51 |
|
1,470 |
866,304 |
|
Series 2023-12, Class LW, 6.00%, 4/25/53 |
|
11,482 |
11,777,011 |
|
Series 2023-12, Class ZB, 6.00%, 4/25/53 |
|
5,427 |
5,540,723 |
|
Series 2023-14, Class EL, 6.00%, 4/25/53 |
|
63,163 |
64,722,864 |
|
Series 2024-39, Class HS, 6.977%, (17.825% -
30-day SOFR Average x 3.00), 6/25/54(5)
|
|
7,014 |
6,530,196 |
|
Series 2024-87, Class LZ, 6.00%, 12/25/54 |
|
1,889 |
1,855,778 |
|
Series 2024-90, Class ES, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 10/25/54(5)
|
|
39,914 |
39,440,557 |
|
Series 2024-98, Class S, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(5)
|
|
10,767 |
10,430,470 |
|
Series 2024-102, Class SA, 7.665%, (15.62% -
30-day SOFR Average x 2.20), 1/25/55(5)
|
|
15,154 |
14,716,442 |
|
Series 2024-105, Class AS, 8.558%, (21.817%
- 30-day SOFR Average x 3.667), 1/25/55(5)
|
|
17,693 |
16,923,987 |
|
Series 2024-105, Class KT, 0.125%, 1/25/55 |
|
22,787 |
17,901,363 |
|
Series 2025-3, Class BZ, 5.50%, 2/25/55 |
|
3,261 |
3,183,194 |
|
Series 2025-4, Class BZ, 5.50%, 7/25/54 |
|
11,981 |
11,685,281 |
|
Series 2025-4, Class HZ, 5.50%, 9/25/54 |
|
19,775 |
19,290,496 |
|
Series 2025-5, Class GZ, 6.00%, 2/25/55 |
|
1,094 |
1,115,850 |
|
Series 2025-7, Class EZ, 5.50%, 2/25/55 |
|
10,698 |
10,354,083 |
|
Series 2025-10, Class AS, 10.302%, (21.15% -
30-day SOFR Average x 3.00), 2/25/55(5)
|
|
9,234 |
9,655,796 |
|
Series 2025-12, Class ES, 10.302%, (21.15% -
30-day SOFR Average x 3.00), 3/25/55(5)
|
|
15,112 |
15,956,241 |
|
Series 2025-12, Class FM, 7.616%, (30-day
SOFR Average + 4.00%), 3/25/55(2)
|
|
8,040 |
8,103,163 |
|
Series 2025-13, Class BZ, 5.50%, 3/25/55 |
|
21,857 |
21,472,505 |
|
Series 2025-15, Class FM, 7.466%, (30-day
SOFR Average + 3.85%), 4/25/55(2)
|
|
7,814 |
7,893,433 |
|
Series 2025-19, Class DZ, 5.50%, 3/25/55 |
|
8,613 |
8,361,636 |
|
Series 2025-29, Class MH, 7.666%, (30-day
SOFR Average + 4.05%), 2/25/55(2)
|
|
9,384 |
9,646,463 |
|
Series 2025-35, Class MT, 8.616%, (30-day
SOFR Average + 5.00%), 5/25/55(2)
|
|
9,666 |
9,851,714 |
|
Series 2025-40, Class SG, 9.312%, (21.193% -
30-day SOFR Average x 3.286), 2/25/55(5)
|
|
22,724 |
22,469,925 |
|
Series 2025-40, Class SZ, 6.00%, 10/25/54 |
|
1,011 |
1,005,123 |
|
Series 2025-85, Class TH, 7.20%, (21.30% -
30-day SOFR Average x 3.00), 10/25/55(5)
|
|
44,579 |
44,303,389 |
|
Series 2025-85, Class TN, 6.60%, (36.60% -
30-day SOFR Average x 6.00, Cap 6.60%),
10/25/55(5)
|
|
22,536 |
21,561,048 |
|
Series 2025-88, Class ZN, 6.00%, 9/25/55 |
|
8,615 |
8,514,364 |
|
Series 2025-97, Class CZ, 6.00%, 11/25/55 |
|
1,019 |
1,005,504 |
|
Series 2025-97, Class ZD, 6.00%, 11/25/55 |
|
4,459 |
4,453,252 |
|
Series 2026-21, Class SJ, 8.618%, (18.563% -
30-day SOFR Average x 2.75), 12/25/55(5)
|
|
17,923 |
18,233,552 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal National Mortgage Association: (continued) |
|
|
|
|
Series 2026-24, Class SC, 6.468%, (13.70% -
30-day SOFR Average x 2.00), 1/25/55(5)
|
$ |
9,207 |
$ 8,777,544 |
|
Series 2026-30, Class SA, 8.343%, (18.288% -
30-day SOFR Average x 2.75), 5/25/56(5)
|
|
22,310 |
22,029,319 |
|
Series 2026-34, Class SA, 7.995%, (15.95% -
30-day SOFR Average x 2.20), 5/25/56(5)
|
|
12,435 |
12,355,786 |
|
Series 2026-34, Class SB, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 5/25/56(5)
|
|
12,879 |
12,947,897 |
|
Series 2026-38, Class SA, 8.618%, (18.562% -
30-day SOFR Average x 2.75), 6/25/56(5)
|
|
12,916 |
12,995,637 |
|
Series 2026-38, Class SB, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 6/25/56(5)
|
|
19,347 |
19,398,814 |
|
Series 2026-38, Class SC, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 6/25/56(5)
|
|
19,347 |
19,398,814 |
|
Series 2026-38, Class SD, 8.105%, (16.06% -
30-day SOFR Average x 2.20), 6/25/56(5)
|
|
19,347 |
19,398,814 |
|
Series 2026-39, Class HZ, 6.00%, 6/25/56 |
|
16,814 |
15,933,250 |
|
Series 2026-48, Class ZB, 6.00%, 6/25/56 |
|
8,729 |
8,686,022 |
|
Series 2026-67, Class SA, 7.974%, (15.95% -
30-day SOFR Average x 2.20), 8/25/56(5)
|
|
18,727 |
18,730,324 |
|
Series 2026-70, Class SA, 8.652%, (22.183% -
30-day SOFR Average x 3.667), 9/25/56(5)
|
|
13,636 |
13,390,678 |
|
Series 2026-71, Class SB, 8.652%, (22.183% -
30-day SOFR Average x 3.667), 9/25/56(5)
|
|
16,000 |
15,743,776 |
|
Interest Only:(6) |
|
|
|
|
Series 2004-46, Class SI, 2.269%, (5.886% -
30-day SOFR Average), 5/25/34(5)
|
|
344 |
9,099 |
|
Series 2005-17, Class SA, 2.969%, (6.586% -
30-day SOFR Average), 3/25/35(5)
|
|
546 |
36,932 |
|
Series 2005-105, Class S, 2.969%, (6.586% -
30-day SOFR Average), 12/25/35(5)
|
|
441 |
25,587 |
|
Series 2006-44, Class IS, 2.869%, (6.486% -
30-day SOFR Average), 6/25/36(5)
|
|
408 |
26,363 |
|
Series 2006-65, Class PS, 3.489%, (7.106% -
30-day SOFR Average), 7/25/36(5)
|
|
394 |
31,011 |
|
Series 2006-96, Class SN, 3.469%, (7.086% -
30-day SOFR Average), 10/25/36(5)
|
|
336 |
18,306 |
|
Series 2006-104, Class SD, 2.909%, (6.526% -
30-day SOFR Average), 11/25/36(5)
|
|
438 |
28,437 |
|
Series 2006-104, Class SE, 2.899%, (6.516% -
30-day SOFR Average), 11/25/36(5)
|
|
292 |
18,887 |
|
Series 2007-50, Class LS, 2.719%, (6.336% -
30-day SOFR Average), 6/25/37(5)
|
|
674 |
49,073 |
|
Series 2008-26, Class SA, 2.469%, (6.086% -
30-day SOFR Average), 4/25/38(5)
|
|
715 |
42,082 |
|
Series 2008-61, Class S, 2.369%, (5.986% -
30-day SOFR Average), 7/25/38(5)
|
|
1,063 |
43,472 |
|
Series 2011-104, Class IM, 3.50%, 10/25/26 |
|
3 |
3 |
|
Series 2012-52, Class DI, 3.50%, 5/25/27 |
|
51 |
254 |
|
Series 2012-124, Class IO, 1.647%,
11/25/42(4)
|
|
1,330 |
54,770 |
|
Series 2012-139, Class LS, 2.403%, (6.036% -
30-day SOFR Average), 12/25/42(5)
|
|
1,875 |
195,814 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2012-147, Class SA, 2.369%, (5.986% -
30-day SOFR Average), 1/25/43(5)
|
$ |
1,959 |
$ 157,282 |
|
Series 2012-150, Class PS, 2.419%, (6.036% -
30-day SOFR Average), 1/25/43(5)
|
|
2,936 |
244,290 |
|
Series 2012-150, Class SK, 2.419%, (6.036% -
30-day SOFR Average), 1/25/43(5)
|
|
3,234 |
284,261 |
|
Series 2013-11, Class IO, 4.00%, 1/25/43 |
|
4,730 |
491,859 |
|
Series 2013-12, Class SP, 1.919%, (5.536% -
30-day SOFR Average), 11/25/41(5)
|
|
90 |
590 |
|
Series 2013-15, Class DS, 2.469%, (6.086% -
30-day SOFR Average), 3/25/33(5)
|
|
1,545 |
69,483 |
|
Series 2013-23, Class CS, 2.519%, (6.136% -
30-day SOFR Average), 3/25/33(5)
|
|
817 |
37,485 |
|
Series 2013-64, Class PS, 2.519%, (6.136% -
30-day SOFR Average), 4/25/43(5)
|
|
1,172 |
68,213 |
|
Series 2013-66, Class JI, 3.00%, 7/25/43 |
|
2,282 |
328,228 |
|
Series 2013-75, Class SC, 2.519%, (6.136% -
30-day SOFR Average), 7/25/42(5)
|
|
668 |
7,908 |
|
Series 2014-32, Class EI, 4.00%, 6/25/44 |
|
574 |
102,319 |
|
Series 2014-41, Class SA, 2.319%, (5.936% -
30-day SOFR Average), 7/25/44(5)
|
|
919 |
99,804 |
|
Series 2014-43, Class PS, 2.369%, (5.986% -
30-day SOFR Average), 3/25/42(5)
|
|
621 |
26,881 |
|
Series 2014-55, Class IN, 3.50%, 7/25/44 |
|
1,314 |
235,317 |
|
Series 2014-67, Class IH, 4.00%, 10/25/44 |
|
882 |
177,721 |
|
Series 2014-80, Class CI, 3.50%, 12/25/44 |
|
737 |
128,508 |
|
Series 2014-89, Class IO, 3.50%, 1/25/45 |
|
1,302 |
237,947 |
|
Series 2015-6, Class IM, 0.359%, (5.181% -
30-day SOFR Average x 1.333), 6/25/43(5)
|
|
1,960 |
44,505 |
|
Series 2015-14, Class KI, 3.00%, 3/25/45 |
|
1,680 |
254,242 |
|
Series 2015-22, Class GI, 3.50%, 4/25/45 |
|
425 |
74,104 |
|
Series 2015-31, Class SG, 2.369%, (5.986% -
30-day SOFR Average), 5/25/45(5)
|
|
2,094 |
250,287 |
|
Series 2015-36, Class IL, 3.00%, 6/25/45 |
|
1,117 |
154,135 |
|
Series 2015-52, Class MI, 3.50%, 7/25/45 |
|
2,167 |
391,972 |
|
Series 2015-93, Class BS, 2.419%, (6.036% -
30-day SOFR Average), 8/25/45(5)
|
|
926 |
54,248 |
|
Series 2018-21, Class IO, 3.00%, 4/25/48 |
|
3,063 |
485,223 |
|
Series 2021-94, Class CI, 3.00%, 1/25/52 |
|
8,724 |
1,430,431 |
|
Series 2023-39, Class AI, 2.00%, 7/25/52 |
|
81,110 |
10,336,772 |
|
Series 2026-54, Class SB, 1.834%, (5.45% -
30-day SOFR Average), 7/25/56(5)
|
|
89,469 |
4,380,459 |
|
Series 2026-63, Class SA, 1.875%, (5.50% -
30-day SOFR Average), 8/25/56(5)
|
|
43,000 |
2,341,617 |
|
Series 2026-64, Class SC, 1.084%, (4.70% -
30-day SOFR Average), 8/25/56(5)
|
|
60,000 |
1,587,000 |
|
Federal National Mortgage Association Connecticut
Avenue Securities: |
|
|
|
|
Series 2019-R06, Class 2B1, 7.481%, (30-day
SOFR Average + 3.864%), 9/25/39(1)(2)
|
|
663 |
667,513 |
|
Series 2021-R01, Class 1B2, 9.616%, (30-day
SOFR Average + 6.00%), 10/25/41(1)(2)
|
|
8,500 |
8,608,350 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
FIGRE Trust: |
|
|
|
|
Series 2023-HE2, Class A, 6.512%,
5/25/53(1)(4)
|
$ |
2,845 |
$ 2,891,118 |
|
Series 2023-HE3, Class A, 6.436%,
11/25/53(1)(4)
|
|
2,503 |
2,531,686 |
|
Series 2024-HE1, Class C, 6.749%,
3/25/54(1)(4)
|
|
809 |
823,362 |
|
Series 2024-HE2, Class C, 6.72%, 5/25/54(1)(4)
|
|
1,107 |
1,125,569 |
|
Flagstar Mortgage Trust, Series 2021-6INV,
Class B4, 3.474%, 8/25/51(1)(4)
|
|
3,935 |
3,239,460 |
|
FREED Mortgage Trust, Series 2022-HE1, Class A,
7.00%, 10/25/37(1)(4)
|
|
976 |
993,721 |
|
GMAC Financiera SA de CV Sociedad Financiera de
Objeto Ltdo, Series 2007-2U, Class A, 3.99%,
3/25/36 |
|
619,665 |
6,547,453 |
|
Government National Mortgage Association: |
|
|
|
|
Series 2021-139, Class ZJ, 2.50%, 8/20/51 |
|
1,826 |
1,057,682 |
|
Series 2022-31, Class ZD, 3.00%, 2/20/52 |
|
307 |
158,750 |
|
Series 2022-173, Class S, 9.455%, (22.733% -
30-day SOFR Average x 3.667), 10/20/52(5)
|
|
4,864 |
4,981,458 |
|
Series 2022-189, Class US, 9.455%, (22.733%
- 30-day SOFR Average x 3.667), 11/20/52(5)
|
|
7,227 |
7,426,795 |
|
Series 2022-195, Class AS, 9.726%, (23.125%
- 30-day SOFR Average x 3.70), 11/20/52(5)
|
|
3,400 |
3,550,788 |
|
Series 2022-197, Class SW, 7.629%, (16.32%
- 30-day SOFR Average x 2.40), 11/20/52(5)
|
|
4,357 |
4,274,495 |
|
Series 2023-53, Class AL, 5.50%, 4/20/53 |
|
20,000 |
20,110,050 |
|
Series 2023-53, Class SE, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 4/20/53(5)
|
|
9,127 |
9,240,651 |
|
Series 2023-56, Class ZE, 6.00%, 4/20/53 |
|
18,826 |
19,310,938 |
|
Series 2023-63, Class LB, 6.00%, 5/20/53 |
|
12,347 |
12,692,492 |
|
Series 2023-63, Class S, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(5)
|
|
17,605 |
17,794,691 |
|
Series 2023-64, Class LB, 6.00%, 5/20/53 |
|
5,036 |
5,177,687 |
|
Series 2023-65, Class SB, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(5)
|
|
4,180 |
4,189,523 |
|
Series 2023-65, Class SD, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(5)
|
|
8,985 |
9,102,796 |
|
Series 2023-66, Class S, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(5)
|
|
3,244 |
3,272,566 |
|
Series 2023-66, Class SD, 9.272%, (22.55% -
30-day SOFR Average x 3.667), 5/20/53(5)
|
|
2,896 |
2,921,149 |
|
Series 2023-83, Class S, 9.18%, (22.868% -
30-day SOFR Average x 3.78), 6/20/53(5)
|
|
3,723 |
3,744,750 |
|
Series 2023-84, Class MW, 6.00%, 6/20/53 |
|
5,478 |
5,587,667 |
|
Series 2023-84, Class SN, 9.097%, (22.387% -
30-day SOFR Average x 3.67), 6/20/53(5)
|
|
3,855 |
3,863,668 |
|
Series 2023-89, Class SD, 8.905%, (22.183% -
30-day SOFR Average x 3.667), 6/20/53(5)
|
|
5,782 |
5,718,234 |
|
Series 2023-96, Class BL, 6.00%, 7/20/53 |
|
10,000 |
10,275,880 |
|
Series 2023-96, Class DB, 6.00%, 7/20/53 |
|
8,000 |
8,219,147 |
|
Series 2023-97, Class CB, 6.00%, 7/20/53 |
|
18,938 |
19,457,563 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2023-99, Class AL, 6.00%, 7/20/53 |
$ |
3,000 |
$ 3,082,215 |
|
Series 2023-100, Class AY, 6.00%, 7/20/53 |
|
13,236 |
13,602,309 |
|
Series 2023-100, Class JL, 6.00%, 7/20/53 |
|
11,099 |
11,407,554 |
|
Series 2023-107, Class DZ, 5.50%, 7/20/53 |
|
8,065 |
7,951,542 |
|
Series 2023-116, Class CY, 6.00%, 8/20/53 |
|
2,618 |
2,690,096 |
|
Series 2023-133, Class S, 10.736%, (21.60% -
30-day SOFR Average x 3.00), 9/20/53(5)
|
|
6,576 |
7,061,617 |
|
Series 2023-146, Class BY, 6.00%, 10/20/53 |
|
5,318 |
5,461,360 |
|
Series 2023-149, Class S, 10.586%, (21.45% -
30-day SOFR Average x 3.00), 10/20/53(5)
|
|
3,551 |
3,793,489 |
|
Series 2023-150, Class AS, 13.585%,
(27.528% - 30-day SOFR Average x 3.85),
10/20/53(5)
|
|
1,264 |
1,431,488 |
|
Series 2023-150, Class ZH, 6.00%, 10/20/53 |
|
2,617 |
2,686,391 |
|
Series 2023-151, Class DZ, 6.00%, 10/20/53 |
|
5,737 |
5,881,485 |
|
Series 2023-153, Class SM, 13.514%, (28.00%
- 30-day SOFR Average x 4.00), 10/20/53(5)
|
|
3,868 |
4,344,095 |
|
Series 2023-164, Class EL, 6.00%, 11/20/53 |
|
9,325 |
9,570,997 |
|
Series 2023-165, Class DY, 6.00%, 11/20/53 |
|
76,967 |
78,883,498 |
|
Series 2023-165, Class EY, 6.50%, 11/20/53 |
|
25,000 |
26,146,880 |
|
Series 2023-169, Class JW, 6.50%, 11/20/53 |
|
5,000 |
5,241,993 |
|
Series 2023-173, Class AX, 6.00%, 11/20/53 |
|
8,555 |
8,779,778 |
|
Series 2023-182, Class EL, 6.00%, 12/20/53 |
|
12,883 |
13,229,349 |
|
Series 2023-186, Class HL, 6.00%, 12/20/53 |
|
5,445 |
5,585,235 |
|
Series 2023-186, Class ZM, 5.50%, 12/20/53 |
|
34,569 |
34,718,314 |
|
Series 2024-1, Class GL, 6.00%, 1/20/54 |
|
2,500 |
2,569,180 |
|
Series 2024-3, Class CY, 6.00%, 1/20/54 |
|
2,073 |
2,132,085 |
|
Series 2024-6, Class CB, 6.00%, 1/20/54 |
|
5,000 |
5,138,363 |
|
Series 2024-6, Class LB, 6.00%, 1/20/54 |
|
6,784 |
6,971,351 |
|
Series 2024-14, Class CY, 5.50%, 1/20/54 |
|
12,142 |
12,204,404 |
|
Series 2024-23, Class KZ, 5.50%, 2/20/54 |
|
11,418 |
11,073,759 |
|
Series 2024-24, Class NZ, 6.00%, 2/20/54 |
|
3,054 |
3,145,948 |
|
Series 2024-25, Class GL, 6.00%, 2/20/54 |
|
2,804 |
2,881,999 |
|
Series 2024-26, Class NZ, 6.00%, 2/20/54 |
|
16,544 |
17,035,961 |
|
Series 2024-40, Class DB, 6.00%, 1/20/54 |
|
1,906 |
1,958,456 |
|
Series 2024-42, Class DZ, 6.00%, 3/20/54 |
|
10,016 |
10,215,082 |
|
Series 2024-44, Class LM, 6.00%, 3/20/54 |
|
24,976 |
25,636,372 |
|
Series 2024-44, Class ML, 6.00%, 3/20/54 |
|
10,835 |
11,121,566 |
|
Series 2024-45, Class DN, 6.00%, 3/20/54 |
|
4,214 |
4,299,422 |
|
Series 2024-46, Class AL, 6.00%, 3/20/54 |
|
30,945 |
31,760,864 |
|
Series 2024-59, Class LG, 6.00%, 4/20/54 |
|
12,663 |
13,007,278 |
|
Series 2024-81, Class HZ, 6.00%, 5/20/54 |
|
6,455 |
6,636,887 |
|
Series 2024-95, Class GZ, 5.50%, 6/20/54 |
|
10,938 |
10,966,518 |
|
Series 2024-99, Class DZ, 6.00%, 6/20/54 |
|
4,171 |
4,275,126 |
|
Series 2024-108, Class KZ, 6.00%, 7/20/54 |
|
43,084 |
44,173,116 |
|
Series 2024-112, Class EZ, 6.00%, 7/20/54 |
|
2,480 |
2,542,191 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2024-112, Class LZ, 6.00%, 7/20/54 |
$ |
3,139 |
$ 3,232,157 |
|
Series 2024-126, Class KY, 6.00%, 8/20/54 |
|
5,176 |
5,256,947 |
|
Series 2024-126, Class ZB, 6.00%, 8/20/54 |
|
8,716 |
8,962,119 |
|
Series 2024-127, Class UZ, 6.00%, 8/20/54 |
|
18,382 |
18,832,513 |
|
Series 2024-127, Class ZQ, 5.00%, 8/20/54 |
|
6,543 |
6,267,590 |
|
Series 2024-131, Class TL, 6.00%, 8/20/54 |
|
5,100 |
5,190,917 |
|
Series 2024-132, Class AZ, 6.00%, 8/20/54 |
|
5,475 |
5,601,949 |
|
Series 2024-148, Class GB, 6.00%, 9/20/54 |
|
4,685 |
4,814,795 |
|
Series 2024-148, Class LZ, 5.50%, 9/20/54 |
|
16,734 |
16,129,230 |
|
Series 2024-167, Class LZ, 5.50%, 10/20/54 |
|
9,247 |
8,984,891 |
|
Series 2024-167, Class MZ, 5.50%, 10/20/54 |
|
5,643 |
5,462,975 |
|
Series 2024-167, Class NZ, 6.00%, 10/20/54 |
|
1,419 |
1,460,575 |
|
Series 2024-172, Class BZ, 5.50%, 10/20/54 |
|
9,508 |
9,154,800 |
|
Series 2024-183, Class ZA, 6.00%, 8/20/54 |
|
6,972 |
7,135,865 |
|
Series 2024-196, Class Z, 5.50%, 12/20/54 |
|
3,139 |
3,022,609 |
|
Series 2025-39, Class CM, 7.521%, (30-day
SOFR Average + 3.90%), 3/20/55(2)
|
|
14,605 |
14,715,819 |
|
Series 2025-41, Class MT, 6.555%, (30-day
SOFR Average + 2.933%), 3/20/65(2)
|
|
10,049 |
10,237,273 |
|
Series 2025-41, Class QM, 7.521%, (30-day
SOFR Average + 3.90%), 3/20/55(2)
|
|
6,026 |
6,024,441 |
|
Series 2025-44, Class HZ, 6.00%, 3/20/55 |
|
5,834 |
6,008,072 |
|
Series 2025-62, Class FM, 7.821%, (30-day
SOFR Average + 4.20%), 4/20/55(2)
|
|
21,703 |
22,188,223 |
|
Series 2025-62, Class MF, 7.821%, (30-day
SOFR Average + 4.20%), 4/20/55(2)
|
|
9,113 |
9,044,050 |
|
Series 2025-63, Class FT, 8.00%, (26.40% -
30-day SOFR Average x 4.00, Cap 8.00%),
4/20/55(5)
|
|
6,015 |
5,986,253 |
|
Series 2025-64, Class FM, 7.881%, (30-day
SOFR Average + 4.26%), 4/20/55(2)
|
|
12,059 |
12,332,826 |
|
Series 2025-69, Class VN, 10.00%, (68.667% -
30-day SOFR Average x 13.333, Cap
10.00%), 4/20/55(5)
|
|
8,922 |
8,880,085 |
|
Series 2025-82, Class FL, 8.121%, (30-day
SOFR Average + 4.50%), 5/20/55(2)
|
|
3,274 |
3,280,023 |
|
Series 2025-83, Class MU, 7.921%, (30-day
SOFR Average + 4.30%), 4/20/55(2)
|
|
14,794 |
14,884,654 |
|
Series 2025-90, Class MB, 7.921%, (30-day
SOFR Average + 4.30%), 5/20/55(2)
|
|
10,959 |
11,025,670 |
|
Series 2025-98, Class GT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(5)
|
|
42,932 |
44,174,638 |
|
Series 2025-98, Class TA, 8.70%, (34.50% -
30-day SOFR Average x 6.00), 6/20/55(5)
|
|
10,370 |
10,360,437 |
|
Series 2025-98, Class TE, 8.40%, (25.60% -
30-day SOFR Average x 4.00), 6/20/55(5)
|
|
10,577 |
10,670,750 |
|
Series 2025-98, Class TK, 8.52%, (25.72% -
30-day SOFR Average x 4.00), 6/20/55(5)
|
|
6,533 |
6,656,923 |
|
Series 2025-105, Class TA, 8.40%, (25.60% -
30-day SOFR Average x 4.00), 6/20/55(5)
|
|
20,179 |
20,428,331 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2025-105, Class TM, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(5)
|
$ |
23,022 |
$ 23,574,381 |
|
Series 2025-110, Class DT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 6/20/55(5)
|
|
15,762 |
16,115,327 |
|
Series 2025-114, Class GT, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 7/20/55(5)
|
|
64,286 |
65,805,238 |
|
Series 2025-115, Class F, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 7/20/55(5)
|
|
28,064 |
28,737,840 |
|
Series 2025-118, Class SP, 8.40%, (21.30% -
30-day SOFR Average x 3.00), 7/20/55(5)
|
|
17,596 |
16,943,020 |
|
Series 2025-134, Class GZ, 6.00%, 8/20/55 |
|
4,155 |
4,277,489 |
|
Series 2025-139, Class MT, 6.921%, (30-day
SOFR Average + 3.30%), 4/20/55(2)
|
|
6,162 |
6,303,819 |
|
Series 2025-150, Class GZ, 6.00%, 8/20/55 |
|
2,865 |
2,856,324 |
|
Series 2025-174, Class TC, 7.60%, (26.40% -
30-day SOFR Average x 4.00), 10/20/55(5)
|
|
27,628 |
27,583,822 |
|
Series 2025-174, Class TH, 7.50%, (36.00% -
30-day SOFR Average x 6.00), 9/20/55(5)
|
|
13,643 |
13,429,575 |
|
Series 2025-205, Class SP, 10.057%,
(29.975% - 30-day SOFR Average x 5.50),
11/20/55(5)
|
|
103,163 |
104,457,998 |
|
Series 2026-5, Class PS, 10.057%, (29.975% -
30-day SOFR Average x 5.50), 1/20/56(5)
|
|
109,262 |
111,772,835 |
|
Series 2026-5, Class QS, 10.332%, (30.25% -
30-day SOFR Average x 5.50), 1/20/56(5)
|
|
87,429 |
89,887,402 |
|
Series 2026-28, Class PS, 10.332%, (30.25% -
30-day SOFR Average x 5.50), 2/20/56(5)
|
|
45,032 |
45,237,032 |
|
Series 2026-28, Class QS, 9.712%, (22.99% -
30-day SOFR Average x 3.667), 2/20/56(5)
|
|
18,920 |
18,991,128 |
|
Series 2026-28, Class SC, 9.712%, (22.99% -
30-day SOFR Average x 3.667), 2/20/56(5)
|
|
18,920 |
18,991,128 |
|
Series 2026-33, Class Z, 6.00%, 1/20/56 |
|
30,089 |
29,919,180 |
|
Series 2026-44, Class LS, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(5)
|
|
34,092 |
34,770,562 |
|
Series 2026-44, Class US, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 2/20/56(5)
|
|
99,398 |
101,551,470 |
|
Series 2026-47, Class AS, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(5)
|
|
49,979 |
50,771,552 |
|
Series 2026-47, Class SA, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(5)
|
|
39,729 |
40,514,208 |
|
Series 2026-48, Class BS, 9.638%, (22.917% -
30-day SOFR Average x 3.667), 3/20/56(5)
|
|
22,774 |
23,226,951 |
|
Series 2026-50, Class SM, 9.455%, (22.733%
- 30-day SOFR Average x 3.667), 3/20/56(5)
|
|
23,667 |
23,560,488 |
|
Series 2026-51, Class ZK, 6.00%, 3/20/56 |
|
12,290 |
12,203,716 |
|
Series 2026-63, Class SW, 9.275%, (21.95% -
30-day SOFR Average x 3.50), 4/20/56(5)
|
|
33,656 |
34,196,562 |
|
Series 2026-67, Class ZT, 6.00%, 4/20/66 |
|
467 |
466,103 |
|
Series 2026-67, Class ZU, 6.00%, 4/20/56 |
|
1,406 |
1,389,074 |
|
Series 2026-80, Class QS, 9.10%, (21.775% -
30-day SOFR Average x 3.50), 5/20/56(5)
|
|
47,011 |
48,308,949 |
|
Series 2026-80, Class SD, 9.10%, (21.775% -
30-day SOFR Average x 3.50), 5/20/56(5)
|
|
47,707 |
49,266,922 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association:
(continued) |
|
|
|
|
Series 2026-82, Class SC, 8.925%, (21.06% -
30-day SOFR Average x 3.50), 5/20/56(5)
|
$ |
27,289 |
$ 27,996,150 |
|
Series 2026-108, Class CZ, 6.00%, 6/20/56 |
|
28,559 |
27,887,560 |
|
Series 2026-108, Class HZ, 6.00%, 6/20/56 |
|
8,986 |
8,868,495 |
|
Series 2026-121, Class ZU, 6.00%, 7/20/56 |
|
24,665 |
24,556,782 |
|
Interest Only:(6) |
|
|
|
|
Series 2014-68, Class KI, 1.377%, 10/20/42(4)
|
|
1,580 |
52,269 |
|
Series 2017-104, Class SD, 2.416%, (6.086% -
1 mo. SOFR), 7/20/47(5)
|
|
3,150 |
321,894 |
|
Series 2017-121, Class DS, 0.716%, (4.386% -
1 mo. SOFR), 8/20/47(5)
|
|
2,093 |
59,207 |
|
Series 2017-137, Class AS, 0.716%, (4.386% -
1 mo. SOFR), 9/20/47(5)
|
|
2,835 |
79,298 |
|
Series 2020-116, Class MI, 2.00%, 8/20/50 |
|
13,842 |
1,728,181 |
|
Series 2020-134, Class LI, 2.50%, 9/20/50 |
|
5,751 |
833,534 |
|
Series 2020-146, Class IQ, 2.00%, 10/20/50 |
|
14,039 |
1,756,805 |
|
Series 2020-146, Class QI, 2.00%, 10/20/50 |
|
7,492 |
928,293 |
|
Series 2020-149, Class NI, 2.50%, 10/20/50 |
|
11,134 |
1,702,360 |
|
Series 2020-151, Class AI, 2.00%, 10/20/50 |
|
41,796 |
5,221,696 |
|
Series 2020-151, Class HI, 2.50%, 10/20/50 |
|
963 |
146,908 |
|
Series 2020-154, Class PI, 2.50%, 10/20/50 |
|
9,856 |
1,486,704 |
|
Series 2020-167, Class KI, 2.00%, 11/20/50 |
|
23,435 |
2,936,467 |
|
Series 2020-173, Class DI, 2.00%, 11/20/50 |
|
17,540 |
2,196,082 |
|
Series 2020-176, Class HI, 2.50%, 11/20/50 |
|
23,995 |
3,649,845 |
|
Series 2020-185, Class BI, 2.00%, 12/20/50 |
|
6,015 |
755,162 |
|
Series 2020-191, Class AI, 2.00%, 12/20/50 |
|
22,549 |
2,826,268 |
|
Series 2021-15, Class AI, 2.00%, 1/20/51 |
|
25,597 |
3,231,512 |
|
Series 2021-23, Class TI, 2.50%, 2/20/51 |
|
9,073 |
1,366,055 |
|
Series 2021-30, Class AI, 2.00%, 2/20/51 |
|
3,211 |
408,817 |
|
Series 2021-46, Class IM, 2.50%, 3/20/51 |
|
2,073 |
305,519 |
|
Series 2021-56, Class SE, 0.00%, (2.30% -
30-day SOFR Average, Floor 0.00%),
10/20/50(5)
|
|
4,275 |
17,316 |
|
Series 2021-77, Class SB, 0.00%, (3.636% -
1 mo. SOFR, Floor 0.00%), 5/20/51(5)
|
|
9,413 |
179,724 |
|
Series 2021-97, Class IG, 2.50%, 8/20/49 |
|
27,419 |
3,152,686 |
|
Series 2021-114, Class MI, 3.00%, 6/20/51 |
|
21,037 |
3,572,360 |
|
Series 2021-121, Class TI, 3.00%, 7/20/51 |
|
24,524 |
3,218,861 |
|
Series 2021-122, Class NI, 3.00%, 7/20/51 |
|
4,683 |
807,442 |
|
Series 2021-125, Class SA, 0.00%, (3.636% -
1 mo. SOFR, Floor 0.00%), 7/20/51(5)
|
|
12,835 |
207,666 |
|
Series 2021-154, Class MI, 3.00%, 9/20/51 |
|
33,761 |
4,806,056 |
|
Series 2021-160, Class IT, 2.50%, 9/20/51 |
|
13,049 |
1,420,240 |
|
Series 2021-175, Class AS, 0.00%, (1.686% -
1 mo. SOFR, Floor 0.00%), 10/20/51(5)
|
|
20,831 |
38,815 |
|
Series 2021-175, Class SB, 0.00%, (1.686% -
1 mo. SOFR, Floor 0.00%), 10/20/51(5)
|
|
10,561 |
19,648 |
|
Series 2021-193, Class IU, 3.00%, 11/20/49 |
|
30,984 |
4,429,464 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2021-193, Class YS, 0.00%, (2.45% -
30-day SOFR Average, Floor 0.00%),
11/20/51(5)
|
$ |
19,749 |
$ 107,004 |
|
Series 2021-201, Class PI, 3.00%, 11/20/51 |
|
18,313 |
2,074,693 |
|
Series 2021-209, Class IW, 3.00%, 11/20/51 |
|
13,612 |
1,820,459 |
|
Series 2022-104, Class IO, 2.50%, 6/20/51 |
|
19,201 |
2,742,241 |
|
Series 2022-119, Class CS, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
7/20/52(5)
|
|
150,003 |
794,520 |
|
Series 2022-119, Class SC, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
7/20/52(5)
|
|
16,667 |
88,280 |
|
Series 2022-119, Class TA, 0.279%, (3.90% -
30-day SOFR Average), 7/20/52(5)
|
|
33,334 |
345,040 |
|
Series 2022-119, Class TI, 0.229%, (3.85% -
30-day SOFR Average), 7/20/52(5)
|
|
333,340 |
2,926,990 |
|
Series 2022-126, Class AS, 0.069%, (3.69% -
30-day SOFR Average), 7/20/52(5)
|
|
44,731 |
501,035 |
|
Series 2022-126, Class SC, 0.109%, (3.73% -
30-day SOFR Average), 7/20/52(5)
|
|
33,334 |
389,997 |
|
Series 2022-135, Class SA, 0.00%, (3.00% -
30-day SOFR Average, Floor 0.00%),
6/20/52(5)
|
|
96,971 |
649,290 |
|
Series 2023-13, Class SA, 1.779%, (5.40% -
30-day SOFR Average), 1/20/53(5)
|
|
5,325 |
208,314 |
|
Series 2023-19, Class SD, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(5)
|
|
9,518 |
660,427 |
|
Series 2023-20, Class HS, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(5)
|
|
6,262 |
430,509 |
|
Series 2023-22, Class ES, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(5)
|
|
8,766 |
602,754 |
|
Series 2023-22, Class SA, 2.079%, (5.70% -
30-day SOFR Average), 2/20/53(5)
|
|
10,375 |
486,321 |
|
Series 2023-24, Class SB, 1.529%, (5.15% -
30-day SOFR Average), 2/20/53(5)
|
|
16,698 |
599,618 |
|
Series 2023-24, Class SG, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(5)
|
|
8,766 |
602,754 |
|
Series 2023-32, Class SA, 2.679%, (6.30% -
30-day SOFR Average), 2/20/53(5)
|
|
28,177 |
1,937,423 |
|
Series 2023-38, Class LS, 2.679%, (6.30% -
30-day SOFR Average), 3/20/53(5)
|
|
26,461 |
1,783,778 |
|
Series 2023-38, Class SD, 2.629%, (6.25% -
30-day SOFR Average), 3/20/53(5)
|
|
30,777 |
1,892,345 |
|
Series 2023-38, Class SG, 2.579%, (6.20% -
30-day SOFR Average), 3/20/53(5)
|
|
20,932 |
1,377,330 |
|
Series 2023-47, Class HS, 2.679%, (6.30% -
30-day SOFR Average), 3/20/53(5)
|
|
8,820 |
594,593 |
|
Series 2023-47, Class SC, 2.629%, (6.25% -
30-day SOFR Average), 3/20/53(5)
|
|
13,290 |
883,465 |
|
Series 2023-53, Class SK, 2.579%, (6.20% -
30-day SOFR Average), 4/20/53(5)
|
|
18,092 |
1,187,429 |
|
Series 2024-64, Class EI, 6.50%, 4/20/64 |
|
8,622 |
1,649,181 |
|
Series 2026-3, Class ES, 1.429%, (5.05% -
30-day SOFR Average), 1/20/66(5)
|
|
71,817 |
1,627,090 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Interest Only: (continued) |
|
|
|
|
Series 2026-25, Class SH, 1.479%, (5.10% -
30-day SOFR Average), 2/20/56(5)
|
$ |
66,873 |
$ 2,712,130 |
|
Series 2026-49, Class SE, 1.379%, (5.00% -
30-day SOFR Average), 3/20/56(5)
|
|
57,224 |
2,171,099 |
|
Series 2026-66, Class SN, 1.479%, (5.10% -
30-day SOFR Average), 4/20/56(5)
|
|
21,694 |
910,331 |
|
Series 2026-100, Class SH, 1.979%, (5.60% -
30-day SOFR Average), 6/20/66(5)
|
|
89,576 |
2,948,412 |
|
Series 2026-119, Class KS, 1.866%, (5.50% -
30-day SOFR Average), 7/20/56(5)
|
|
125,000 |
7,266,094 |
|
Series 2026-121, Class GS, 1.938%, (5.55% -
30-day SOFR Average), 7/20/66(5)
|
|
42,016 |
1,404,331 |
|
Series 2026-121, Class SG, 1.888%, (5.50% -
30-day SOFR Average), 7/20/66(5)
|
|
55,000 |
1,795,161 |
|
GS Mortgage-Backed Securities Trust: |
|
|
|
|
Series 2022-PJ6, Class B4, 3.186%,
1/25/53(1)(4)
|
|
1,801 |
1,091,763 |
|
Series 2024-PJ1, Class B3, 6.873%,
6/25/54(1)(4)
|
|
5,552 |
5,640,073 |
|
Series 2025-PJ8, Class B3, 6.525%,
2/25/56(1)(4)
|
|
3,386 |
3,248,107 |
|
Series 2025-NQM2, Class B1, 7.267%,
6/25/65(1)(4)
|
|
850 |
868,395 |
|
JPM Lending Facility, 9.981%, (SOFR + 7.00%),
7/15/29(2)
|
|
60,225 |
60,081,243 |
|
loanDepot FAMSR Master Trust, Series 2025-FT1,
Class A, 6.474%, (1 mo. SOFR + 2.75%),
12/19/30(1)(2)
|
|
95,000 |
95,423,942 |
|
LoanDepot GMSR Master Trust: |
|
|
|
|
Series 2025-GT2, Class A, 6.82%, (1 mo. SOFR
+ 3.15%), 7/16/30(1)(2)
|
|
20,000 |
20,309,440 |
|
Series 2025-GT2, Class B, 7.52%, (1 mo. SOFR
+ 3.85%), 7/16/30(1)(2)
|
|
12,000 |
12,059,868 |
|
Mello Warehouse Securitization Trust,
Series 2025-1, Class F, 10.224%, (1 mo. SOFR
+ 6.50%), 5/25/59(1)(2)
|
|
9,000 |
9,046,806 |
|
MFRA Trust, Series 2025-NQM1, Class B1,
7.034%, 3/25/70(1)(4)
|
|
2,736 |
2,762,028 |
|
NRZ Excess Spread-Collateralized Notes,
Series 2025-FHT1, Class A, 6.545%, 3/25/32(1)
|
|
49,711 |
50,255,286 |
|
Onity Loan Investment Trust: |
|
|
|
|
Series 2024-HB2, Class M3, 5.00%,
8/25/37(1)(4)
|
|
1,500 |
1,458,010 |
|
Series 2024-HB2, Class M4, 5.00%,
8/25/37(1)(4)
|
|
7,750 |
7,410,696 |
|
PNMAC GMSR Issuer Trust: |
|
|
|
|
Series 2024-GT1, Class A, 6.924%, (1 mo.
SOFR + 3.20%), 3/25/29(1)(2)
|
|
12,059 |
12,212,651 |
|
Series 2026-GT1, Class A, 3.648%, (1 mo.
SOFR), 5/25/31(1)(2)
|
|
158,500 |
158,893,381 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
PRMI Securitization Trust, Series 2025-CMG1,
Class M1, 6.432%, (30-day SOFR Average +
2.80%), 12/25/55(1)(2)
|
$ |
1,000 |
$ 1,000,737 |
|
PRPM LLC: |
|
|
|
|
Series 2024-NQM1, Class B1, 7.347%,
12/25/68(1)(4)
|
|
9,000 |
9,033,764 |
|
Series 2024-RCF4, Class M1, 4.00% to
8/25/26, 7/25/54(1)(3)
|
|
3,100 |
2,996,256 |
|
Series 2024-RCF5, Class M1, 4.00% to
8/25/26, 8/25/54(1)(3)
|
|
4,003 |
3,866,694 |
|
Series 2025-NQM1, Class M1A, 6.645%,
11/25/69(1)(4)
|
|
10,221 |
10,295,849 |
|
Series 2025-RCF1, Class M3, 4.50% to
2/25/27, 2/25/55(1)(3)
|
|
1,700 |
1,618,696 |
|
Series 2025-RCF3, Class M1A, 5.25%,
7/25/55(1)(4)
|
|
1,100 |
1,073,252 |
|
Series 2025-RCF3, Class M1B, 5.25%,
7/25/55(1)(4)
|
|
1,000 |
966,096 |
|
Rain City Mortgage Trust, Series 2024-RTL1,
Class A1, 6.53%, 9/25/29(1)(4)
|
|
7,350 |
7,402,397 |
|
RCO Trust, Series 2025-PR1, Class A, 6.25% to
7/28/28, 3/2/55(1)(3)
|
|
16,427 |
16,216,845 |
|
Saluda Grade Alternative Mortgage Trust,
Series 2024-RTL5, Class A1, 7.762% to
9/25/26, 4/25/30(1)(3)
|
|
7,364 |
7,364,503 |
|
Santander Mortgage Asset Receivable Trust,
Series 2025-NQM1, Class M1B, 6.966%,
1/25/65(1)(4)
|
|
3,000 |
3,023,045 |
|
Sequoia Mortgage Trust, Series 2024-3, Class B4,
5.966%, 4/25/54(1)(4)
|
|
1,490 |
1,424,140 |
|
SUA LLC, Series 2025-1, Class B, 6.995%,
5/25/40(1)
|
|
4,000 |
3,998,764 |
|
Unison Trust, Series 2021-1, Class A, 6.50%,
4/25/50(1)(4)
|
|
46,729 |
40,199,827 |
|
Total Collateralized Mortgage Obligations
(identified cost $5,838,985,764) |
|
|
$5,705,292,144 |
|
Commercial Mortgage-Backed Securities — 7.3% |
|
Security |
Principal
Amount*
(000's omitted) |
Value | |
|
Arena Finance Securities DAC: |
|
|
|
|
Series 2026-1A, Class B, 5.782%, (SONIA +
2.05%), 8/18/36(1)(2)
|
GBP |
5,000 |
6,750,452 |
|
Series 2026-1A, Class C, 6.232%, (SONIA +
2.50%), 8/18/36(1)(2)
|
GBP |
4,800 |
6,480,401 |
|
Series 2026-1A, Class D, 7.482%, (SONIA +
3.75%), 8/18/36(1)(2)
|
GBP |
6,000 |
8,103,906 |
|
Security |
Principal
Amount*
(000's omitted) |
Value | |
|
BAHA Trust: |
|
|
|
|
Series 2024-MAR, Class C, 7.516%,
12/10/41(1)(4)
|
|
7,823 |
8,026,047 |
|
Series 2024-MAR, Class D, 8.907%,
12/10/41(1)(4)
|
|
50,500 |
52,494,346 |
|
Series 2024-MAR, Class E, 10.957%,
12/10/41(1)(4)
|
|
36,000 |
37,937,513 |
|
BAMLL Trust: |
|
|
|
|
Series 2024-BHP, Class B, 6.576%, (1 mo. SOFR
+ 2.90%), 8/15/39(1)(2)
|
|
8,000 |
8,041,715 |
|
Series 2024-BHP, Class C, 7.276%, (1 mo. SOFR
+ 3.60%), 8/15/39(1)(2)
|
|
1,700 |
1,709,572 |
|
BAY Trust: |
|
|
|
|
Series 2026-MDWS, Class D, 6.868%, (1 mo.
SOFR + 3.191%), 6/15/41(1)(2)
|
|
7,600 |
7,605,493 |
|
Series 2026-MDWS, Class E, 7.417%, (1 mo.
SOFR + 3.74%), 6/15/41(1)(2)
|
|
74,100 |
74,010,709 |
|
Series 2026-MDWS, Class ELP, 1.00%,
6/15/41(1)(4)
|
|
700,000 |
1 |
|
Series 2026-MDWS, Class F, 8.416%, (1 mo.
SOFR + 4.739%), 6/15/41(1)(2)
|
|
5,600 |
5,593,239 |
|
Series 2026-MDWS, Class HRR, 9.863%, (1 mo.
SOFR + 6.186%), 6/15/41(1)(2)
|
|
35,000 |
34,957,951 |
|
BFLD Commercial Mortgage Trust: |
|
|
|
|
Series 2025-660F, Class C, 5.826%, (1 mo. SOFR
+ 2.15%), 11/15/42(1)(2)
|
|
6,400 |
6,420,698 |
|
Series 2025-660F, Class D, 6.426%, (1 mo. SOFR
+ 2.75%), 11/15/42(1)(2)
|
|
13,300 |
13,365,811 |
|
Series 2025-660F, Class E, 7.276%, (1 mo. SOFR
+ 3.60%), 11/15/42(1)(2)
|
|
16,000 |
16,065,411 |
|
BPR Commercial Mortgage Trust, Series 2024-PARK,
Class E, 9.687%, 11/5/39(1)(4)
|
|
7,300 |
7,752,798 |
|
BX Trust: |
|
|
|
|
Series 2025-DELC, Class E, 6.726%, (1 mo.
SOFR + 3.05%), 12/15/42(1)(2)
|
|
1,750 |
1,754,816 |
|
Series 2025-GW, Class D, 6.426%, (1 mo. SOFR
+ 2.75%), 7/15/42(1)(2)
|
|
3,950 |
3,978,472 |
|
Series 2025-GW, Class E, 7.326%, (1 mo. SOFR
+ 3.65%), 7/15/42(1)(2)
|
|
19,750 |
19,917,518 |
|
Series 2026-CLS, Class C, 6.026%, (1 mo. SOFR
+ 2.35%), 5/15/43(1)(2)
|
|
2,667 |
2,678,865 |
|
Series 2026-CLS, Class D, 7.126%, (1 mo. SOFR
+ 3.45%), 5/15/43(1)(2)
|
|
1,750 |
1,761,233 |
|
CHI Commercial Mortgage Trust: |
|
|
|
|
Series 2025-110W, Class E, 7.413%,
12/13/40(1)(4)
|
|
40,530 |
39,660,498 |
|
Series 2025-110W, Class HRR, 10.238%,
12/13/40(1)(4)
|
|
24,500 |
23,984,500 |
|
Series 2025-SFT, Class C, 6.599%, 4/15/42(1)(4)
|
|
1,500 |
1,521,084 |
|
COMM Mortgage Trust, Series 2025-167G, Class D,
6.951%, 8/10/40(1)(4)
|
|
20,220 |
19,958,893 |
|
CRSNT Trust: |
|
|
|
|
Series 2026-MOON, Class D, 6.076%, (1 mo.
SOFR + 2.40%), 2/15/43(1)(2)
|
|
1,250 |
1,256,712 |
|
Security |
Principal
Amount*
(000's omitted) |
Value | |
|
CRSNT Trust: (continued) |
|
|
|
|
Series 2026-MOON, Class E, 7.176%, (1 mo.
SOFR + 3.50%), 2/15/43(1)(2)
|
|
14,500 |
14,599,954 |
|
Durst Commercial Mortgage Trust, Series 2025-151,
Class D, 6.791%, 8/10/42(1)(4)
|
|
20,700 |
21,168,805 |
|
Extended Stay America Trust: |
|
|
|
|
Series 2025-ESH, Class D, 6.276%, (1 mo. SOFR
+ 2.60%), 10/15/42(1)(2)
|
|
6,501 |
6,571,729 |
|
Series 2025-ESH, Class E, 7.026%, (1 mo. SOFR
+ 3.35%), 10/15/42(1)(2)
|
|
15,506 |
15,703,448 |
|
Series 2025-ESH, Class F, 7.776%, (1 mo. SOFR
+ 4.10%), 10/15/42(1)(2)
|
|
5,553 |
5,633,954 |
|
Series 2026-ESH2, Class E, 6.576% (1 mo. SOFR
+ 2.90%), 2/15/43(1)(2)
|
|
8,807 |
8,890,651 |
|
Series 2026-ESH2, Class F, 7.426% (1 mo. SOFR
+ 3.75%), 2/15/43(1)(2)
|
|
7,121 |
7,201,915 |
|
Fontainebleau Miami Beach Mortgage Trust: |
|
|
|
|
Series 2024-FBLU, Class D, 6.276%, (1 mo.
SOFR + 2.60%), 12/15/39(1)(2)
|
|
36,400 |
36,681,161 |
|
Series 2024-FBLU, Class F, 7.926%, (1 mo. SOFR
+ 4.25%), 12/15/39(1)(2)
|
|
21,240 |
21,446,041 |
|
Series 2024-FBLU, Class G, 9.326%, (1 mo.
SOFR + 5.65%), 12/15/39(1)(2)
|
|
29,000 |
29,435,476 |
|
FS Trust: |
|
|
|
|
Series 2026-ORL, Class D, 6.076%, (1 mo. SOFR
+ 2.40%), 2/15/41(1)(2)
|
|
7,100 |
7,129,667 |
|
Series 2026-ORL, Class E, 6.926%, (1 mo. SOFR
+ 3.25%), 2/15/41(1)(2)
|
|
14,300 |
14,369,481 |
|
Great Wolf Trust: |
|
|
|
|
Series 2024-WOLF, Class E, 7.315%, (1 mo.
SOFR + 3.639%), 3/15/39(1)(2)
|
|
8,815 |
8,885,077 |
|
Series 2024-WOLF, Class F, 8.114%, (1 mo. SOFR
+ 4.438%), 3/15/39(1)(2)
|
|
7,500 |
7,565,874 |
|
GWT Trust: |
|
|
|
|
Series 2024-WLF2, Class D, 6.616%, (1 mo.
SOFR + 2.939%), 5/15/41(1)(2)
|
|
10,800 |
10,878,605 |
|
Series 2024-WLF2, Class E, 7.315%, (1 mo.
SOFR + 3.638%), 5/15/41(1)(2)
|
|
15,000 |
15,116,628 |
|
Harvest Commercial Capital Loan Trust,
Series 2019-1, Class M6, 7.712%, 9/25/46(1)(4)
|
|
9,500 |
9,095,960 |
|
HLTN Commercial Mortgage Trust,
Series 2026-DPLO, Class E, 7.926%, (1 mo.
SOFR + 4.25%), 4/15/41(1)(2)
|
|
30,500 |
30,825,337 |
|
Hudson Yards Mortgage Trust, Series 2025-SPRL,
Class F, 7.403%, 1/13/40(1)(4)
|
|
1,750 |
1,755,097 |
|
ICNQ Mortgage Trust, Series 2024-MF, Class E,
6.348%, 12/10/34(1)(4)
|
|
11,850 |
11,751,062 |
|
INTOWN Mortgage Trust, Series 2025-STAY, Class D,
6.526%, (1 mo. SOFR + 2.85%), 3/15/42(1)(2)
|
|
25,000 |
25,040,225 |
|
JP Morgan Chase Commercial Mortgage Securities
Trust, Series 2026-FUN, Class D, 6.426%, (1 mo.
SOFR + 2.75%), 6/15/39(1)(2)
|
|
2,500 |
2,515,398 |
|
Security |
Principal
Amount*
(000's omitted) |
Value | |
|
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class D, 4.513%, 9/15/47(1)(4)
|
|
806 |
521,928 |
|
JW Commercial Mortgage Trust: |
|
|
|
|
Series 2026-MRCO, Class D, 6.126% (1 mo.
SOFR + 2.45%), 6/15/39(1)(2)
|
|
688 |
693,500 |
|
Series 2026-MRCO, Class E, 7.176%, (1 mo.
SOFR + 3.50%), 6/15/39(1)(2)
|
|
2,500 |
2,525,344 |
|
JW Trust, Series 2024-BERY, Class E, 7.216%,
(1 mo. SOFR + 3.54%), 11/15/39(1)(2)
|
|
8,000 |
8,058,890 |
|
LBTY Commercial Mortgage Trust,
Series 2026-225L, Class E, 6.578%,
2/10/43(1)(4)
|
|
20,000 |
19,581,656 |
|
NYC Commercial Mortgage Trust, Series 2025-1155,
Class D, 7.358%, 6/10/42(1)(4)
|
|
10,000 |
9,960,559 |
|
ORL Trust: |
|
|
|
|
Series 2024-GLKS, Class E, 6.867%, (1 mo.
SOFR + 3.19%), 12/15/39(1)(2)
|
|
8,250 |
8,309,468 |
|
Series 2024-GLKS, Class F, 8.115%, (1 mo. SOFR
+ 4.438%), 12/15/39(1)(2)
|
|
33,550 |
33,705,779 |
|
PFDR Trust, Series 2026-DLVR, Class A, 5.376%,
(1 mo. SOFR + 1.70%), 6/15/43(1)(2)
|
|
16,000 |
16,038,678 |
|
PNW Trust, Series 2026-ARTE, Class B, 5.887%,
(1 mo. SOFR + 2.211%), 4/15/41(1)(2)
|
|
12,082 |
12,068,744 |
|
ROCK Trust: |
|
|
|
|
Series 2024-CNTR, Class D, 7.109%, 11/13/41(1)
|
|
1,750 |
1,804,603 |
|
Series 2024-CNTR, Class E, 8.819%, 11/13/41(1)
|
|
62,500 |
65,076,675 |
|
SHR Trust: |
|
|
|
|
Series 2024-LXRY, Class D, 7.276%, (1 mo. SOFR
+ 3.60%), 10/15/41(1)(2)
|
|
7,959 |
8,000,355 |
|
Series 2024-LXRY, Class E, 8.126%, (1 mo. SOFR
+ 4.45%), 10/15/41(1)(2)
|
|
5,500 |
5,539,791 |
|
SPGN Trust: |
|
|
|
|
Series 2026-TFLM, Class E, 7.426%, (1 mo.
SOFR + 3.75%), 2/15/41(1)(2)
|
|
50,120 |
50,342,633 |
|
Series 2026-TFLM, Class HRR, 9.326%, (1 mo.
SOFR + 5.65%), 2/15/41(1)(2)
|
|
25,750 |
25,813,942 |
|
Taurus U.K. DAC: |
|
|
|
|
Series 2025-UK3A, Class D, 6.533%, (SONIA +
2.80%), 7/20/35(1)(2)
|
GBP |
3,150 |
4,250,199 |
|
Series 2025-UK3A, Class E, 7.533%, (SONIA +
3.80%), 7/20/35(1)(2)
|
GBP |
3,750 |
5,059,918 |
|
TX Trust: |
|
|
|
|
Series 2024-HOU, Class D, 6.915%, (1 mo. SOFR
+ 3.239%), 6/15/39(1)(2)
|
|
2,450 |
2,461,872 |
|
Series 2024-HOU, Class E, 8.064%, (1 mo. SOFR
+ 4.387%), 6/15/39(1)(2)
|
|
6,000 |
6,041,243 |
|
U.K. Logistics DAC, Series 2024-1A, Class E,
8.747%, (SONIA + 5.00%), 5/17/34(1)(2)
|
GBP |
1,269 |
1,714,436 |
|
VCC Trust: |
|
|
|
|
Series 2025-MC1, Class A1, 8.163% to 5/25/28,
5/25/55(1)(3)
|
|
16,317 |
16,233,816 |
|
Security |
Principal
Amount*
(000's omitted) |
Value | |
|
VCC Trust: (continued) |
|
|
|
|
Series 2026-MC1, Class A1, 6.492% to 1/25/29,
1/27/31(1)(3)
|
|
17,280 |
17,250,985 |
|
Velocity Commercial Capital Loan Trust: |
|
|
|
|
Series 2025-4, Class M2, 6.17%, 9/25/55(1)(4)
|
|
1,221 |
1,206,491 |
|
Series 2025-4, Class M4, 9.35%, 9/25/55(1)(4)
|
|
1,495 |
1,455,320 |
|
Series 2025-5, Class M3, 6.70%, 12/25/55(1)(4)
|
|
2,486 |
2,427,958 |
|
Series 2025-5, Class M4, 9.19%, 12/25/55(1)(4)
|
|
1,989 |
1,945,560 |
|
Series 2026-1, Class M3, 6.26%, 2/25/56(1)(4)
|
|
3,233 |
3,148,485 |
|
Series 2026-1, Class M4, 8.48%, 2/25/56(1)(4)
|
|
2,487 |
2,422,870 |
|
Wells Fargo Commercial Mortgage Trust: |
|
|
|
|
Series 2025-1918, Class C, 6.692%,
9/15/40(1)(4)
|
|
5,455 |
5,326,428 |
|
Series 2026-1250B, Class D, 6.379%,
3/10/41(1)(4)
|
|
2,500 |
2,484,580 |
|
Series 2026-1250B, Class E, 7.828%,
3/10/41(1)(4)
|
|
17,000 |
17,117,620 |
|
WHARF Commercial Mortgage Trust,
Series 2025-DC, Class E, 7.724%, 7/15/40(1)(4)
|
|
16,250 |
16,315,754 |
|
Total Commercial Mortgage-Backed Securities
(identified cost $1,102,747,652) |
|
|
$1,098,956,279 |
|
Common Stocks — 0.9% |
|
Security |
Shares |
Value | |
|
Argentina — 0.0%† | |||
|
Vista Energy SAB de CV ADR(8)
|
|
18,800 |
$ 1,324,460 |
|
|
|
|
$ 1,324,460 |
|
Belgium — 0.0%† | |||
|
Cenergy Holdings SA |
|
10,900 |
$ 272,237 |
|
|
|
|
$ 272,237 |
|
Brazil — 0.1% | |||
|
Constellation Oil Services Holding SA(8)
|
|
104,100 |
$ 1,538,899 |
|
Petroleo Brasileiro SA - Petrobras ADR |
|
68,500 |
1,328,900 |
|
Suzano SA ADR |
|
330,200 |
2,813,304 |
|
|
|
|
$ 5,681,103 |
|
China — 0.0%† | |||
|
Kaisa Group Holdings Ltd.(8)
|
|
166,027 |
$ 824 |
|
Shimao Group Holdings Ltd.(8)
|
|
495,945 |
4,043 |
|
Sunac China Holdings Ltd.(8)
|
|
1,484,021 |
104,197 |
|
Times China Holdings Ltd.(8)
|
|
711,339 |
2,532 |
|
|
|
|
$ 111,596 |
|
Security |
Shares |
Value | |
|
Cyprus — 0.0%† | |||
|
Bank of Cyprus Holdings PLC |
|
380,939 |
$ 4,519,592 |
|
|
|
|
$ 4,519,592 |
|
Greece — 0.1% | |||
|
Alpha Bank SA |
|
174,998 |
$ 867,768 |
|
Athens International Airport SA |
|
10,800 |
131,619 |
|
CrediaBank SA(8)
|
|
416,995 |
481,984 |
|
Eurobank SA |
|
363,179 |
1,876,744 |
|
GEK TERNA SA |
|
16,723 |
875,367 |
|
Hellenic Telecommunications Organization SA |
|
27,300 |
630,060 |
|
Helleniq Energy Holdings SA |
|
12,100 |
181,010 |
|
Holding Co. ADMIE IPTO SA |
|
10,796 |
56,093 |
|
Ideal Holdings SA |
|
8,800 |
61,200 |
|
JUMBO SA |
|
17,700 |
494,602 |
|
LAMDA Development SA(8)
|
|
11,300 |
82,670 |
|
Metlen Energy & Metals PLC |
|
23,400 |
1,247,853 |
|
Motor Oil (Hellas) Corinth Refineries SA |
|
10,300 |
605,091 |
|
National Bank of Greece SA |
|
87,454 |
1,636,356 |
|
Optima bank SA |
|
27,732 |
335,964 |
|
Piraeus Bank SA(8)
|
|
127,346 |
1,485,372 |
|
Public Power Corp. SA |
|
68,900 |
1,775,421 |
|
Qualco Group SA(8)
|
|
18,822 |
124,573 |
|
Titan SA |
|
5,800 |
349,071 |
|
|
|
|
$ 13,298,818 |
|
Hungary — 0.1% | |||
|
Magyar Telekom Telecommunications PLC |
|
108,200 |
$ 937,964 |
|
MOL Hungarian Oil & Gas PLC(8)
|
|
129,100 |
1,848,414 |
|
OTP Bank Nyrt |
|
38,000 |
5,629,388 |
|
Richter Gedeon Nyrt |
|
19,000 |
707,924 |
|
|
|
|
$ 9,123,690 |
|
Iceland — 0.0%† | |||
|
Siminn Hf. |
|
2,023,336 |
$ 209,522 |
|
|
|
|
$ 209,522 |
|
Mexico — 0.0%† | |||
|
Orbia Advance Corp. SAB de CV(8)
|
|
1,917,600 |
$ 2,711,512 |
|
|
|
|
$ 2,711,512 |
|
Pakistan — 0.0%† | |||
|
VEON Ltd. ADR(8)
|
|
58,200 |
$ 3,043,278 |
|
|
|
|
$ 3,043,278 |
|
Security |
Shares |
Value | |
|
Peru — 0.0%† | |||
|
Auna SA, Class A(8)
|
|
559,000 |
$ 2,834,130 |
|
|
|
|
$ 2,834,130 |
|
Puerto Rico — 0.0%† | |||
|
Liberty Latin America Ltd., Class A(8)
|
|
4,420 |
$ 36,023 |
|
|
|
|
$ 36,023 |
|
Taiwan — 0.1% | |||
|
Cathay Financial Holding Co. Ltd. |
|
256,000 |
$ 796,744 |
|
CTBC Financial Holding Co. Ltd. |
|
400,000 |
798,373 |
|
E.Sun Financial Holding Co. Ltd. |
|
693,000 |
826,549 |
|
Fubon Financial Holding Co. Ltd. |
|
195,000 |
777,264 |
|
KGI Financial Holding Co. Ltd. |
|
1,024,000 |
967,456 |
|
SinoPac Financial Holdings Co. Ltd. |
|
736,000 |
917,895 |
|
Yuanta Financial Holding Co. Ltd. |
|
405,000 |
844,906 |
|
|
|
|
$ 5,929,187 |
|
United Arab Emirates — 0.0%† | |||
|
Aldar Properties PJSC |
|
617,100 |
$ 1,244,990 |
|
Emaar Properties PJSC |
|
640,500 |
1,911,617 |
|
Kyivstar Group Ltd.(8)
|
|
105,600 |
1,431,936 |
|
|
|
|
$ 4,588,543 |
|
United States — 0.0%† | |||
|
Gold Reserve Ltd.(8)
|
|
103,908 |
$ 471,742 |
|
|
|
|
$ 471,742 |
|
Uzbekistan — 0.0%† | |||
|
National Investment Fund of the Republic of
Uzbekistan JSC GDR(1)(8)
|
|
61,304 |
$ 2,007,706 |
|
|
|
|
$ 2,007,706 |
|
Vietnam — 0.5% | |||
|
Asia Commercial Bank JSC |
|
1,876,026 |
$ 1,560,462 |
|
Bank for Foreign Trade of Vietnam JSC |
|
911,200 |
2,048,657 |
|
Bank for Investment & Development of Vietnam JSC |
|
2,144,800 |
3,092,220 |
|
Coteccons Construction JSC |
|
901,177 |
2,088,067 |
|
Duc Giang Chemicals JSC |
|
254,500 |
377,319 |
|
FPT Corp. |
|
2,414,000 |
6,142,783 |
|
Gemadept Group Corp. |
|
765,600 |
2,239,603 |
|
Hoa Phat Group JSC |
|
2,874,960 |
2,368,448 |
|
IDICO Corp. JSC |
|
530,970 |
657,643 |
|
Khang Dien House Trading & Investment JSC(8)
|
|
2,283,900 |
1,515,100 |
|
Kinh Bac City Development Holding Corp.(8)
|
|
2,560,600 |
2,690,513 |
|
Masan Group Corp.(8)
|
|
779,800 |
1,956,661 |
|
Military Commercial Joint Stock Bank |
|
3,873,700 |
3,307,480 |
|
Security |
Shares |
Value | |
|
Vietnam (continued) | |||
|
Mobile World Investment Corp. |
|
2,850,100 |
$ 7,562,012 |
|
Nam Long Investment Corp. |
|
2,481,952 |
2,094,231 |
|
PetroVietnam Gas JSC |
|
707,500 |
1,842,440 |
|
Phat Dat Real Estate Development Corp.(8)
|
|
1,567,100 |
681,820 |
|
Refrigeration Electrical Engineering Corp. |
|
509,055 |
899,172 |
|
Saigon Treasure Commercial JSB(8)
|
|
1,515,300 |
4,104,560 |
|
SSI Securities Corp. |
|
4,940,460 |
4,413,675 |
|
Techcom Securities JSC |
|
1,828,080 |
2,848,112 |
|
Vietnam Dairy Products JSC |
|
1,583,200 |
3,662,793 |
|
Vietnam Joint Stock Commercial Bank for Industry &
Trade |
|
1,438,740 |
1,682,302 |
|
Vietnam Prosperity JSC Bank |
|
2,067,000 |
1,942,717 |
|
Vietnam Technological & Commercial Joint Stock Bank |
|
4,021,500 |
4,417,726 |
|
Vingroup JSC(8)
|
|
1,489,200 |
12,013,989 |
|
Vinh Hoan Corp. |
|
1,123,500 |
2,242,607 |
|
|
|
|
$ 80,453,112 |
|
Total Common Stocks
(identified cost $143,966,273) |
|
|
$ 136,616,251 |
|
Convertible Bonds — 2.0% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Australia — 0.1% | |||
|
IREN Ltd.: |
|
|
|
|
0.00%, 7/1/31(1)
|
USD |
3,025 |
$ 2,317,150 |
|
0.25%, 6/1/32(1)
|
USD |
3,200 |
2,996,000 |
|
|
|
|
$ 5,313,150 |
|
China — 0.2% | |||
|
Alibaba Group Holding Ltd.: |
|
|
|
|
0.00%, 7/9/32(9)
|
HKD |
13,000 |
$ 1,554,881 |
|
0.00%, 9/15/32(9)
|
USD |
11,715 |
11,345,978 |
|
0.50%, 6/1/31 |
USD |
3,204 |
4,424,724 |
|
JD.com, Inc., 0.25%, 6/1/29 |
USD |
4,535 |
4,730,005 |
|
Kaisa Group Holdings Ltd.: |
|
|
|
|
0.00%, 12/31/26(1)
|
USD |
28 |
135 |
|
0.00%, 12/31/27(1)
|
USD |
36 |
124 |
|
0.00%, 12/31/28(1)
|
USD |
57 |
156 |
|
0.00%, 12/31/29(1)
|
USD |
57 |
156 |
|
0.00%, 12/31/30(1)
|
USD |
71 |
195 |
|
0.00%, 12/31/31(1)
|
USD |
71 |
195 |
|
0.00%, 12/31/32(1)
|
USD |
134 |
368 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
China (continued) | |||
|
Ping An Insurance Group Co. of China Ltd., 0.00%,
6/11/30(9)
|
HKD |
21,000 |
$ 3,157,069 |
|
Sunac China Holdings Ltd., 0.00%, 6/23/28(1)
|
USD |
956 |
129,150 |
|
Times China Holdings Ltd.: |
|
|
|
|
0.00%, 3/30/27(1)
|
USD |
1,258 |
8,796 |
|
0.00%, 3/30/27(1)
|
USD |
257 |
1,554 |
|
Trip.com Group Ltd., 0.75%, 6/15/29 |
USD |
4,330 |
4,446,136 |
|
|
|
|
$ 29,799,622 |
|
Germany — 0.0%† | |||
|
TUI AG, 1.95%, 7/26/31(9)
|
EUR |
1,800 |
$ 2,396,737 |
|
|
|
|
$ 2,396,737 |
|
Israel — 0.0%† | |||
|
Check Point Software Technologies Ltd., 0.00%,
12/15/30(1)
|
USD |
1,450 |
$ 1,343,788 |
|
Nova Ltd., 0.00%, 9/15/30(1)
|
USD |
1,075 |
1,560,631 |
|
Wix.com Ltd., 0.00%, 9/15/30(1)
|
USD |
2,315 |
1,817,275 |
|
|
|
|
$ 4,721,694 |
|
Japan — 0.0%† | |||
|
Nippon Steel Corp., 0.00%, 2/14/31(9)
|
JPY |
260,000 |
$ 1,749,348 |
|
|
|
|
$ 1,749,348 |
|
Netherlands — 0.1% | |||
|
Nebius Group NV: |
|
|
|
|
1.00%, 9/15/30(1)
|
USD |
4,220 |
$ 6,736,175 |
|
2.625%, 3/15/33(1)
|
USD |
3,700 |
4,927,475 |
|
|
|
|
$ 11,663,650 |
|
Singapore — 0.0%† | |||
|
Grab Holdings Ltd., 0.00%, 6/15/30(9)
|
USD |
3,105 |
$ 2,968,380 |
|
|
|
|
$ 2,968,380 |
|
Spain — 0.0%† | |||
|
Cellnex Telecom SA: |
|
|
|
|
0.50%, 7/5/28(9)
|
EUR |
1,700 |
$ 2,073,605 |
|
2.125%, 8/11/30(9)
|
EUR |
2,300 |
2,802,771 |
|
|
|
|
$ 4,876,376 |
|
Taiwan — 0.0%† | |||
|
Wistron Corp., 0.00%, 10/23/30(9)
|
USD |
2,700 |
$ 2,870,100 |
|
|
|
|
$ 2,870,100 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
United Kingdom — 0.0%† | |||
|
Barclays Bank PLC, 1.00%, 2/16/29 |
USD |
1,686 |
$ 1,817,579 |
|
Ocado Group PLC, 6.25%, 8/6/29(9)
|
GBP |
900 |
1,175,046 |
|
|
|
|
$ 2,992,625 |
|
United States — 1.6% | |||
|
Advanced Energy Industries, Inc., 0.00%,
5/15/31(1)
|
USD |
1,000 |
$ 976,000 |
|
Affirm Holdings, Inc., 0.75%, 12/15/29 |
USD |
3,405 |
3,694,281 |
|
Akamai Technologies, Inc.: |
|
|
|
|
0.00%, 5/15/32(1)
|
USD |
2,750 |
2,505,250 |
|
0.25%, 5/15/33 |
USD |
1,515 |
2,171,753 |
|
1.125%, 2/15/29 |
USD |
3,195 |
3,773,295 |
|
Alphatec Holdings, Inc., 0.75%, 3/15/30 |
USD |
1,020 |
1,005,822 |
|
Amphastar Pharmaceuticals, Inc., 2.00%, 3/15/29 |
USD |
2,905 |
2,638,468 |
|
Avnet, Inc., 1.75%, 9/1/30(1)
|
USD |
2,525 |
3,536,262 |
|
Bill Holdings, Inc., 0.00%, 4/1/30 |
USD |
3,100 |
2,730,945 |
|
BlackLine, Inc., 1.00%, 6/1/29 |
USD |
2,525 |
2,354,563 |
|
Block, Inc., 0.25%, 11/1/27 |
USD |
1,615 |
1,535,028 |
|
Boston Properties LP, 2.00%, 10/1/30(1)
|
USD |
2,650 |
2,603,625 |
|
Bridgebio Pharma, Inc., 0.75%, 2/1/33(1)
|
USD |
4,180 |
4,318,358 |
|
CenterPoint Energy, Inc., 3.00%, 8/1/28(1)
|
USD |
3,065 |
3,197,561 |
|
Ciena Corp., 0.00%, 9/15/31(1)
|
USD |
2,600 |
2,458,300 |
|
Cleanspark, Inc., 0.00%, 2/15/32(1)
|
USD |
2,200 |
2,189,880 |
|
Cloudflare, Inc., 0.00%, 6/15/30 |
USD |
3,705 |
5,136,541 |
|
CMS Energy Corp., 3.375%, 5/1/28 |
USD |
2,450 |
2,653,962 |
|
Coinbase Global, Inc., 0.00%, 10/1/32(1)
|
USD |
6,820 |
5,249,653 |
|
CoreWeave, Inc.: |
|
|
|
|
1.75%, 12/1/31(1)
|
USD |
6,100 |
5,760,840 |
|
1.75%, 10/1/32(1)
|
USD |
285 |
250,230 |
|
Cytokinetics, Inc., 3.50%, 7/1/27 |
USD |
1,405 |
2,188,112 |
|
Datadog, Inc., 0.00%, 12/1/29 |
USD |
3,484 |
5,074,446 |
|
Dexcom, Inc., 0.375%, 5/15/28 |
USD |
1,825 |
1,732,381 |
|
Digital Realty Trust LP, 1.875%, 11/15/29(1)
|
USD |
3,815 |
4,154,535 |
|
DoorDash, Inc., 0.00%, 5/15/30 |
USD |
4,960 |
5,003,400 |
|
Duke Energy Corp., 3.00%, 3/15/29(1)
|
USD |
2,850 |
2,815,800 |
|
Enovis Corp., 3.875%, 10/15/28 |
USD |
3,105 |
3,102,177 |
|
Envista Holdings Corp., 1.75%, 8/15/28 |
USD |
2,760 |
2,753,546 |
|
Etsy, Inc., 0.25%, 6/15/28 |
USD |
3,750 |
3,438,375 |
|
Euronet Worldwide, Inc., 0.625%, 10/1/30(1)
|
USD |
2,315 |
2,095,075 |
|
Evergy, Inc., 4.50%, 12/15/27 |
USD |
1,910 |
2,599,128 |
|
Federal Realty OP LP, 3.25%, 1/15/29(1)
|
USD |
2,395 |
2,641,685 |
|
Five9, Inc., 1.00%, 3/15/29 |
USD |
1,835 |
1,687,650 |
|
Galaxy Digital Holdings LP, 0.50%, 5/1/31(1)
|
USD |
2,820 |
2,112,180 |
|
Global Payments, Inc., 1.50%, 3/1/31 |
USD |
3,665 |
3,384,627 |
|
Haemonetics Corp., 2.50%, 6/1/29 |
USD |
2,515 |
2,643,265 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
United States (continued) | |||
|
Halozyme Therapeutics, Inc., 0.00%, 2/15/31(1)
|
USD |
2,180 |
$ 2,414,350 |
|
Integer Holdings Corp., 1.875%, 3/15/30 |
USD |
2,790 |
2,949,588 |
|
Ionis Pharmaceuticals, Inc., 0.00%, 12/1/30(1)
|
USD |
2,685 |
2,377,903 |
|
Itron, Inc., 0.00%, 3/15/32(1)
|
USD |
2,150 |
2,197,300 |
|
Jazz Investments I Ltd., 3.125%, 9/15/30 |
USD |
2,330 |
4,107,790 |
|
Knight-Swift Transportation Holdings, Inc., 1.00%,
11/15/31(1)
|
USD |
300 |
327,225 |
|
Lantheus Holdings, Inc., 2.625%, 12/15/27 |
USD |
3,205 |
4,228,997 |
|
Liberty Media Corp.-Liberty Formula One, 2.25%,
8/15/27 |
USD |
1,855 |
2,341,938 |
|
Live Nation Entertainment, Inc.: |
|
|
|
|
2.875%, 1/15/30 |
USD |
3,325 |
3,853,675 |
|
2.875%, 10/15/31(1)
|
USD |
1,440 |
1,556,959 |
|
Lumentum Holdings, Inc., 0.375%, 3/15/32(1)
|
USD |
1,130 |
4,400,333 |
|
MARA Holdings, Inc., 0.00%, 6/1/31 |
USD |
3,115 |
2,942,896 |
|
Marriott Vacations Worldwide Corp., 3.25%,
12/15/27 |
USD |
2,870 |
2,824,080 |
|
Match Group Financeco 3, Inc., 2.00%, 1/15/30(1)
|
USD |
1,905 |
1,759,915 |
|
Merit Medical Systems, Inc., 3.00%, 2/1/29 |
USD |
2,180 |
2,552,780 |
|
Meritage Homes Corp., 1.75%, 5/15/28 |
USD |
1,750 |
1,738,625 |
|
Microchip Technology, Inc.: |
|
|
|
|
0.00%, 2/15/30(1)
|
USD |
2,500 |
2,670,000 |
|
0.75%, 6/1/30 |
USD |
3,475 |
3,602,039 |
|
MKS, Inc., 1.25%, 6/1/30 |
USD |
2,520 |
5,169,150 |
|
NCL Corp. Ltd., 0.75%, 9/15/30(1)
|
USD |
1,785 |
1,638,994 |
|
NextEra Energy Capital Holdings, Inc., 3.00%,
3/1/27 |
USD |
2,060 |
2,673,880 |
|
Northern Oil & Gas, Inc., 3.625%, 4/15/29 |
USD |
2,170 |
2,163,009 |
|
Nutanix, Inc., 0.50%, 12/15/29 |
USD |
3,095 |
3,221,895 |
|
ON Semiconductor Corp., 0.50%, 3/1/29 |
USD |
3,475 |
3,933,700 |
|
Onto Innovation, Inc., 0.00%, 6/1/31(1)
|
USD |
1,600 |
1,739,490 |
|
Parsons Corp., 2.625%, 3/1/29 |
USD |
2,995 |
2,892,571 |
|
PG&E Corp., 4.25%, 12/1/27 |
USD |
4,540 |
4,661,445 |
|
Post Holdings, Inc., 2.50%, 8/15/27 |
USD |
2,810 |
2,940,665 |
|
PPL Capital Funding, Inc., 2.875%, 3/15/28 |
USD |
3,095 |
3,434,681 |
|
Progress Software Corp., 3.50%, 3/1/30 |
USD |
2,720 |
2,710,344 |
|
Rapid7, Inc.: |
|
|
|
|
0.25%, 3/15/27 |
USD |
815 |
792,628 |
|
1.25%, 3/15/29 |
USD |
970 |
822,075 |
|
Rivian Automotive, Inc., 4.625%, 3/15/29 |
USD |
3,300 |
3,688,161 |
|
Rubrik, Inc., 0.00%, 6/15/30 |
USD |
3,370 |
3,348,095 |
|
Shift4 Payments, Inc., 0.50%, 8/1/27 |
USD |
3,655 |
3,495,145 |
|
Snowflake, Inc., 0.00%, 10/1/29 |
USD |
1,435 |
2,846,179 |
|
Southern Co., 3.25%, 6/15/28 |
USD |
4,240 |
4,278,160 |
|
Tyler Technologies, Inc., 0.50%, 7/15/31(1)
|
USD |
1,100 |
1,123,375 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
United States (continued) | |||
|
Uber Technologies, Inc.: |
|
|
|
|
0.00%, 5/15/28 |
USD |
3,270 |
$ 3,664,035 |
|
0.875%, 12/1/28 |
USD |
3,360 |
3,965,640 |
|
Workiva, Inc., 1.25%, 8/15/28 |
USD |
3,380 |
3,225,365 |
|
Ziff Davis, Inc., 1.75%, 11/1/26 |
USD |
1,230 |
1,220,775 |
|
Zoetis, Inc., 0.25%, 6/15/29(1)
|
USD |
3,400 |
3,124,600 |
|
Zscaler, Inc., 0.00%, 7/15/28 |
USD |
4,305 |
4,002,715 |
|
|
|
|
$ 233,790,164 |
|
Total Convertible Bonds
(identified cost $287,160,256) |
|
|
$ 303,141,846 |
|
Convertible Preferred Stocks — 0.2% |
|
Security |
Shares |
Value | |
|
United States — 0.2% | |||
|
Bank of America Corp., Series L, 7.25% |
|
3,300 |
$ 4,256,670 |
|
QXO, Inc., 4.75%(8)(10)(11)
|
|
3,021 |
21,671,357 |
|
Wells Fargo & Co., Series L, Class A, 7.50% |
|
3,400 |
4,031,176 |
|
Total Convertible Preferred Stocks
(identified cost $38,319,847) |
|
|
$ 29,959,203 |
|
Corporate Bonds — 5.9% |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States — 5.9% | |||
|
1261229 B.C. Ltd., 10.00%, 4/15/32(1)
|
USD |
12,000 |
$ 12,276,756 |
|
Acadia Healthcare Co., Inc.: |
|
|
|
|
5.00%, 4/15/29(1)
|
USD |
3,844 |
3,775,710 |
|
7.375%, 3/15/33(1)
|
USD |
3,844 |
3,968,919 |
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons
LP/Albertsons LLC, 3.50%, 3/15/29(1)
|
USD |
15,000 |
14,127,329 |
|
Alliant Holdings Intermediate LLC/Alliant Holdings
Co-Issuer, 4.25%, 10/15/27(1)
|
USD |
3,412 |
3,375,298 |
|
Allied Universal Holdco LLC/Allied Universal
Finance Corp./Atlas Luxco 4 SARL, 4.625%,
6/1/28(1)
|
USD |
14,625 |
14,437,385 |
|
Amentum Holdings, Inc., 7.25%, 8/1/32(1)
|
USD |
7,630 |
7,845,113 |
|
AmeriTex HoldCo Intermediate LLC, 7.625%,
8/15/33(1)
|
USD |
7,630 |
7,862,295 |
|
Amynta Agency Borrower, Inc. & Amynta Warranty
Borrower, Inc., 7.50%, 7/15/33(1)
|
USD |
6,350 |
6,211,570 |
|
APLD ComputeCo 2 LLC, 6.75%, 3/15/31(1)
|
USD |
8,630 |
8,444,572 |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States (continued) | |||
|
APLD ComputeCo 3 LLC, 7.00%, 6/15/31(1)
|
USD |
7,565 |
$ 7,387,412 |
|
APLD ComputeCo LLC, 9.25%, 12/15/30(1)
|
USD |
3,000 |
3,190,638 |
|
Arches Buyer, Inc., 6.125%, 12/1/28(1)
|
USD |
5,140 |
5,029,072 |
|
Ardagh Group SA, 9.50%, 12/1/30(1)
|
USD |
5,970 |
6,331,054 |
|
Ardagh Metal Packaging Finance USA LLC/Ardagh
Metal Packaging Finance PLC: |
|
|
|
|
3.00%, 9/1/29(9)
|
EUR |
1,235 |
1,380,150 |
|
3.25%, 9/1/28(1)
|
USD |
26,351 |
25,346,500 |
|
4.00%, 9/1/29(1)
|
USD |
7,870 |
7,477,249 |
|
Arsenale SpA, 9.291%, (3 mo. EURIBOR +
7.00%), 6/28/30(2)(9)
|
EUR |
1,900 |
2,161,769 |
|
Asbury Automotive Group, Inc.: |
|
|
|
|
4.625%, 11/15/29(1)
|
USD |
236 |
229,022 |
|
5.00%, 2/15/32(1)
|
USD |
9,530 |
9,085,365 |
|
Asurion LLC/Asurion Co-Issuer, Inc.: |
|
|
|
|
8.00%, 12/31/32(1)
|
USD |
4,823 |
4,882,979 |
|
8.375%, 2/1/34(1)
|
USD |
6,350 |
5,790,486 |
|
athenahealth Group, Inc.: |
|
|
|
|
6.50%, 2/15/30(1)
|
USD |
25,400 |
24,513,225 |
|
7.50%, 2/15/32(1)
|
USD |
1,090 |
1,118,852 |
|
Azorra Finance Ltd., 7.25%, 1/15/31(1)
|
USD |
5,080 |
5,236,266 |
|
Bausch & Lomb Netherlands BV & Bausch & Lomb,
Inc., 6.306%, (3 mo. EURIBOR + 3.875%),
1/15/31(2)(9)
|
EUR |
3,556 |
4,144,599 |
|
Beach Acquisition Bidco LLC: |
|
|
|
|
5.25%, 7/15/32(9)
|
EUR |
4,998 |
5,806,440 |
|
10.00%, (10.00% cash or 10.75% PIK),
7/15/33(1)(12)
|
USD |
16,095 |
17,289,655 |
|
Bond U.S. Bidco 1, Inc./Bidco 2/Bidco 3/German
Bidco 1 GmbH/German Bidco 2: |
|
|
|
|
6.50%, 6/15/33(9)
|
EUR |
5,380 |
6,242,679 |
|
7.125%, 6/15/33(1)
|
USD |
3,085 |
3,105,950 |
|
Brightstar Lottery PLC, 5.25%, 1/15/29(1)
|
USD |
12,034 |
11,901,733 |
|
Builders FirstSource, Inc., 4.25%, 2/1/32(1)
|
USD |
10,170 |
9,264,949 |
|
Carrix, Inc., 6.125%, 8/1/33(1)
|
USD |
3,240 |
3,233,135 |
|
CCO Holdings LLC/CCO Holdings Capital Corp.,
5.00%, 2/1/28(1)
|
USD |
14,750 |
14,573,882 |
|
Celanese U.S. Holdings LLC, 7.70%, 11/15/33 |
USD |
6,350 |
6,727,355 |
|
Century Communities, Inc., 6.625%, 9/15/33(1)
|
USD |
5,080 |
5,100,946 |
|
Champions Financing, Inc., 8.75%, 2/15/29(1)
|
USD |
907 |
898,098 |
|
Charter Communications Operating LLC/Charter
Communications Operating Capital, 3.70%,
4/1/51 |
USD |
15,250 |
9,023,111 |
|
Chobani LLC/Chobani Finance Corp., Inc., 6.375%,
4/15/34(1)
|
USD |
2,215 |
2,222,547 |
|
Cipher Compute LLC, 7.125%, 11/15/30(1)
|
USD |
4,190 |
4,279,084 |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States (continued) | |||
|
Clarios Global LP/Clarios U.S. Finance Co., 4.75%,
6/15/31(9)
|
EUR |
4,640 |
$ 5,374,797 |
|
Cleveland-Cliffs, Inc., 7.00%, 3/15/32(1)
|
USD |
8,900 |
8,929,770 |
|
Cloud Software Group LLC: |
|
|
|
|
6.50%, 3/31/29(1)
|
USD |
5,000 |
4,890,091 |
|
9.00%, 9/30/29(1)
|
USD |
9,000 |
8,825,955 |
|
Clydesdale Acquisition Holdings, Inc.: |
|
|
|
|
6.75%, 4/15/32(1)
|
USD |
4,269 |
4,068,857 |
|
8.75%, 4/15/30(1)
|
USD |
7,712 |
7,377,369 |
|
Dream Finders Homes, Inc., 6.875%, 9/15/30(1)
|
USD |
4,452 |
4,349,108 |
|
EchoStar Corp., 10.75%, 11/30/29 |
USD |
3,904 |
4,225,075 |
|
EMRLD Borrower LP/Emerald Co-Issuer, Inc.,
6.625%, 12/15/30(1)
|
USD |
20,000 |
20,352,940 |
|
Ferrellgas LP/Ferrellgas Finance Corp., 5.875%,
4/1/29(1)
|
USD |
870 |
849,410 |
|
Gaia Purchaser, Inc., 7.625%, 7/15/33(1)
|
USD |
6,195 |
6,217,299 |
|
Global Medical Response, Inc., 7.375%, 10/1/32(1)
|
USD |
6,170 |
6,283,536 |
|
Global Partners LP/GLP Finance Corp.: |
|
|
|
|
7.125%, 7/1/33(1)
|
USD |
5,080 |
5,147,945 |
|
8.25%, 1/15/32(1)
|
USD |
5,080 |
5,298,562 |
|
Group 1 Automotive, Inc., 4.00%, 8/15/28(1)
|
USD |
7,146 |
6,900,789 |
|
Herc Holdings, Inc.: |
|
|
|
|
5.75%, 3/15/31(1)
|
USD |
3,275 |
3,244,634 |
|
6.00%, 3/15/34(1)
|
USD |
3,290 |
3,228,988 |
|
Hightower Holding LLC, 9.125%, 1/31/30(1)
|
USD |
2,540 |
2,644,841 |
|
Howard Midstream Energy Partners LLC: |
|
|
|
|
6.625%, 1/15/34(1)
|
USD |
320 |
323,755 |
|
6.625%, 1/15/35(1)
|
USD |
1,315 |
1,314,923 |
|
Ingram Micro, Inc., 4.75%, 5/15/29(1)
|
USD |
11,500 |
11,200,203 |
|
JB Poindexter & Co., Inc., 8.75%, 12/15/31(1)
|
USD |
8,915 |
9,196,794 |
|
K Hovnanian Enterprises, Inc.: |
|
|
|
|
8.00%, 4/1/31(1)
|
USD |
3,560 |
3,631,517 |
|
8.375%, 10/1/33(1)
|
USD |
3,560 |
3,620,908 |
|
King U.S. Bidco, Inc., 5.681%, (3 mo. EURIBOR +
3.25%), 12/1/32(2)(9)
|
EUR |
4,700 |
5,488,620 |
|
LBM Acquisition LLC, 9.50%, 6/15/31(1)
|
USD |
3,000 |
2,526,449 |
|
Leeward Renewable Energy Operations LLC,
4.25%, 7/1/29(1)
|
USD |
9,530 |
9,049,332 |
|
Level 3 Financing, Inc., 7.00%, 3/31/34(1)
|
USD |
6,350 |
6,464,541 |
|
LifePoint Health, Inc.: |
|
|
|
|
5.375%, 1/15/29(1)
|
USD |
7,893 |
7,495,957 |
|
10.00%, 6/1/32(1)
|
USD |
1,270 |
1,220,874 |
|
Matador Resources Co., 6.00%, 4/15/34(1)
|
USD |
2,500 |
2,419,052 |
|
Men's Wearhouse LLC, 9.00%, 2/1/31(1)
|
USD |
8,900 |
9,496,807 |
|
Michaels Cos., Inc., 8.50%, 3/15/33(1)
|
USD |
6,975 |
6,914,465 |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States (continued) | |||
|
Midcap Financial Issuer Trust, 6.003%, (3 mo.
SOFR + 2.25%), 1/15/33(1)(2)
|
USD |
35,000 |
$ 37,111,200 |
|
Mohegan Tribal Gaming Authority/MS Digital
Entertainment Holdings LLC, 8.25%, 4/15/30(1)
|
USD |
6,990 |
7,274,165 |
|
Moog, Inc., 5.50%, 10/15/34(1)
|
USD |
950 |
921,429 |
|
National Mentor Holdings, Inc., 10.50%,
12/15/30(1)
|
USD |
6,670 |
7,040,238 |
|
Nexstar Media, Inc.: |
|
|
|
|
4.75%, 11/1/28(1)
|
USD |
3,000 |
2,943,521 |
|
6.50%, 9/15/33(1)
|
USD |
2,065 |
2,056,213 |
|
7.25%, 4/15/34(1)
|
USD |
1,860 |
1,865,693 |
|
NGL Energy Operating LLC/NGL Energy Finance
Corp.: |
|
|
|
|
8.125%, 2/15/29(1)
|
USD |
3,810 |
3,907,032 |
|
8.375%, 2/15/32(1)
|
USD |
1,270 |
1,321,189 |
|
Noble Finance II LLC, 6.25%, 6/15/34(1)
|
USD |
1,485 |
1,442,893 |
|
NRG Energy, Inc.: |
|
|
|
|
6.00%, 1/15/36(1)
|
USD |
3,645 |
3,568,254 |
|
6.125%, 5/15/36(1)
|
USD |
6,000 |
5,925,872 |
|
OAK-Eagle Acquireco, Inc.: |
|
|
|
|
6.25%, 7/1/33(1)
|
EUR |
1,600 |
1,932,974 |
|
8.75%, 7/1/34(1)
|
USD |
4,750 |
5,006,937 |
|
Olympus Water U.S. Holding Corp.: |
|
|
|
|
6.125%, 2/15/33(9)
|
EUR |
1,900 |
2,191,246 |
|
6.125%, 2/15/33(1)
|
EUR |
7,000 |
8,073,010 |
|
7.25%, 2/15/33(1)
|
USD |
3,810 |
3,734,826 |
|
Park River Holdings, Inc.: |
|
|
|
|
8.00%, 3/15/31(1)
|
USD |
5,080 |
5,061,114 |
|
8.75%, 12/31/30(1)
|
USD |
2,540 |
2,348,455 |
|
Performance Food Group, Inc., 4.25%, 8/1/29(1)
|
USD |
20,000 |
19,352,516 |
|
Perrigo Finance Unlimited Co.: |
|
|
|
|
4.90%, 12/15/44 |
USD |
4,700 |
3,415,109 |
|
5.375%, 9/30/32 |
EUR |
4,580 |
5,144,702 |
|
PetSmart LLC/PetSmart Finance Corp.: |
|
|
|
|
7.50%, 9/15/32(1)
|
USD |
4,450 |
4,499,876 |
|
10.00%, 9/15/33(1)
|
USD |
4,450 |
4,430,817 |
|
QXO Building Products, Inc.: |
|
|
|
|
6.50%, 7/15/31(1)
|
USD |
575 |
577,863 |
|
6.875%, 7/15/34(1)
|
USD |
1,340 |
1,343,020 |
|
Risewell Homes, Inc.: |
|
|
|
|
8.50%, 11/1/30(1)
|
USD |
2,540 |
2,594,008 |
|
9.25%, 10/1/29(1)
|
USD |
6,350 |
6,444,291 |
|
Rocket Cos., Inc.: |
|
|
|
|
6.125%, 8/1/31(1)
|
USD |
1,220 |
1,226,231 |
|
6.50%, 6/15/34(1)
|
USD |
815 |
822,461 |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States (continued) | |||
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 4.00%, 10/15/33(1)
|
USD |
7,630 |
$ 6,743,760 |
|
SCIH Salt Holdings, Inc.: |
|
|
|
|
6.625%, 8/15/31(1)(13)
|
USD |
2,305 |
2,307,468 |
|
8.00%, 8/15/32(1)(13)
|
USD |
2,240 |
2,225,869 |
|
Sinclair Television Group, Inc., 8.125%, 2/15/33(1)
|
USD |
6,350 |
6,519,697 |
|
Smyrna Ready Mix Concrete LLC, 6.00%,
11/1/28(1)
|
USD |
10,000 |
9,993,363 |
|
Somnigroup International, Inc., 4.00%, 4/15/29(1)
|
USD |
1,900 |
1,827,420 |
|
SS&C Technologies, Inc., 5.50%, 9/30/27(1)
|
USD |
12,000 |
11,991,947 |
|
Standard Industries, Inc., 4.75%, 1/15/28(1)
|
USD |
11,169 |
11,108,598 |
|
Stonebriar ABF Issuer LLC: |
|
|
|
|
7.00%, 8/15/31(1)
|
USD |
1,225 |
1,226,574 |
|
8.125%, 12/15/30(1)
|
USD |
8,160 |
8,500,876 |
|
Sunoco LP, 7.875% to 9/18/30(1)(14)(15)
|
USD |
17,790 |
18,247,345 |
|
Surgery Center Holdings, Inc., 7.25%, 4/15/32(1)
|
USD |
9,833 |
9,875,916 |
|
Sword Purchaser LLC, 8.25%, 4/15/33(1)
|
USD |
3,325 |
3,402,638 |
|
Synergy Infrastructure Holdings LLC: |
|
|
|
|
7.00%, 7/15/34(1)
|
USD |
710 |
716,725 |
|
7.875%, 12/1/30(1)
|
USD |
7,630 |
7,978,195 |
|
Talen Energy Supply LLC, 6.125%, 5/1/31(1)
|
USD |
4,000 |
3,978,053 |
|
TEAM Services Holding, Inc., 9.00%, 2/15/33(1)
|
USD |
7,630 |
7,732,334 |
|
TKC Holdings, Inc.: |
|
|
|
|
8.50%, 8/15/30(1)
|
USD |
7,535 |
7,707,167 |
|
12.00%, 2/15/31(1)
|
USD |
550 |
581,733 |
|
TransDigm, Inc., 4.625%, 1/15/29 |
USD |
15,000 |
14,715,603 |
|
Transocean International Ltd., 8.25%, 5/15/29(1)
|
USD |
3,810 |
3,930,190 |
|
U.S. Foods, Inc., 4.75%, 2/15/29(1)
|
USD |
7,030 |
6,933,026 |
|
UGI International LLC, 5.00%, 6/1/31(9)
|
EUR |
1,580 |
1,861,115 |
|
Uniti Group LP/Uniti Group Finance 2019, Inc./CSL
Capital LLC: |
|
|
|
|
8.625%, 6/15/32(1)
|
USD |
556 |
568,375 |
|
8.625%, 6/15/32(1)
|
USD |
6,350 |
6,491,332 |
|
Uniti Services LLC, 7.50%, 10/15/33(1)
|
USD |
6,348 |
6,493,179 |
|
Univision Communications, Inc.: |
|
|
|
|
8.50%, 7/31/31(1)
|
USD |
2,247 |
2,243,655 |
|
8.875%, 4/15/33(1)
|
USD |
845 |
818,784 |
|
9.375%, 8/1/32(1)
|
USD |
6,525 |
6,522,091 |
|
Venture Global Calcasieu Pass LLC: |
|
|
|
|
3.875%, 11/1/33(1)
|
USD |
6,350 |
5,574,468 |
|
6.00%, 5/1/36(1)
|
USD |
1,260 |
1,245,900 |
|
Venture Global LNG, Inc.: |
|
|
|
|
6.625%, 6/15/36(1)
|
USD |
1,385 |
1,358,191 |
|
9.00% to 9/30/29(1)(14)(15)
|
USD |
4,155 |
4,140,977 |
|
9.875%, 2/1/32(1)
|
USD |
2,000 |
2,130,286 |
|
Security |
Principal
Amount
(000s omitted) |
Value | |
|
United States (continued) | |||
|
Versant Media Group, Inc., 7.25%, 1/30/31(1)
|
USD |
6,850 |
$ 7,066,659 |
|
VoltaGrid LLC, 7.375%, 11/1/30(1)
|
USD |
9,530 |
9,583,040 |
|
Voyager Parent LLC, 9.25%, 7/1/32(1)
|
USD |
8,419 |
8,949,417 |
|
WBI Operating LLC: |
|
|
|
|
6.25%, 10/15/30(1)
|
USD |
2,540 |
2,540,965 |
|
6.50%, 10/15/33(1)
|
USD |
4,450 |
4,444,794 |
|
White Cap Supply Holdings LLC, 7.375%,
11/15/30(1)
|
USD |
10,000 |
10,082,960 |
|
WS Escrow LLC, 7.75%, 6/1/33(1)
|
USD |
1,685 |
1,744,416 |
|
WULF Compute LLC, 7.75%, 10/15/30(1)
|
USD |
7,000 |
7,279,034 |
|
XPLR Infrastructure Operating Partners LP: |
|
|
|
|
7.25%, 1/15/29(1)
|
USD |
1,910 |
1,970,839 |
|
8.375%, 1/15/31(1)
|
USD |
2,540 |
2,700,825 |
|
8.625%, 3/15/33(1)
|
USD |
4,450 |
4,756,805 |
|
Total Corporate Bonds
(identified cost $894,322,589) |
|
|
$ 886,263,071 |
|
Foreign Corporate Bonds — 5.6% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Angola — 0.2% | |||
|
Azule Energy Finance PLC: |
|
|
|
|
8.125%, 1/23/30(9)
|
USD |
7,007 |
$ 7,117,522 |
|
8.125%, 1/23/30(1)
|
USD |
8,402 |
8,534,526 |
|
8.625%, 1/22/33(9)
|
USD |
1,965 |
2,010,369 |
|
8.625%, 1/22/33(1)
|
USD |
2,602 |
2,662,076 |
|
Sonangol Finance Ltd., 10.00%, 1/29/31(9)
|
USD |
5,095 |
5,215,059 |
|
|
|
|
$ 25,539,552 |
|
Argentina — 0.2% | |||
|
Banco Macro SA: |
|
|
|
|
8.00%, 6/23/29(9)
|
USD |
963 |
$ 991,890 |
|
8.00%, 6/23/29(1)
|
USD |
4,267 |
4,395,010 |
|
Empresa Distribuidora de Electricidad de Mendoza
SA, 9.75%, 6/11/33(1)
|
USD |
10,993 |
10,599,670 |
|
Generacion Mediterranea SA/Central Termica Roca
SA: |
|
|
|
|
4.00%, 6/30/36(1)(12)
|
USD |
625 |
257,810 |
|
7.50%, 12/31/34(1)
|
USD |
4,537 |
3,667,132 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Argentina (continued) | |||
|
IRSA Inversiones y Representaciones SA, 8.00%,
3/31/35(1)
|
USD |
3,497 |
$ 3,625,509 |
|
Petroquimica Comodoro Rivadavia SA/Luz de Tres
Picos SA, 8.50%, 7/28/34(9)
|
USD |
1,040 |
1,027,832 |
|
|
|
|
$ 24,564,853 |
|
Armenia — 0.0%† | |||
|
Ardshinbank CJSC Via Dilijan Finance BV, 6.60%,
1/22/31(9)
|
USD |
3,024 |
$ 3,028,001 |
|
|
|
|
$ 3,028,001 |
|
Austria — 0.0%† | |||
|
Constantia Flexibles GmbH: |
|
|
|
|
6.25%, 7/15/32(1)
|
EUR |
895 |
$ 1,037,084 |
|
6.25%, 7/15/32(9)
|
EUR |
2,380 |
2,757,831 |
|
|
|
|
$ 3,794,915 |
|
Brazil — 1.0% | |||
|
Braskem Netherlands Finance BV: |
|
|
|
|
4.50%, 1/10/28(9)
|
USD |
2,164 |
$ 1,224,175 |
|
4.50%, 1/31/30(9)
|
USD |
10,867 |
5,916,104 |
|
7.25%, 2/13/33(9)
|
USD |
1,897 |
1,026,751 |
|
8.00%, 10/15/34(9)
|
USD |
2,524 |
1,370,885 |
|
8.50%, 1/12/31(9)
|
USD |
1,087 |
625,688 |
|
12.004% to 10/24/30, 1/23/81(9)(15)
|
USD |
4,834 |
1,426,030 |
|
Constellation Oil Services Holding SA: |
|
|
|
|
7.70%, 8/3/33(1)(13)
|
USD |
3,700 |
3,727,750 |
|
9.375%, 11/7/29(9)
|
USD |
988 |
1,043,328 |
|
9.375%, 11/7/29(1)
|
USD |
5,245 |
5,538,720 |
|
CSN Inova Ventures, 6.75%, 1/28/28(9)
|
USD |
6,862 |
5,757,939 |
|
CSN Resources SA: |
|
|
|
|
4.625%, 6/10/31(9)
|
USD |
2,649 |
1,638,067 |
|
5.875%, 4/8/32(9)
|
USD |
4,403 |
2,721,736 |
|
FS Luxembourg SARL, 8.125%, 2/11/36(1)
|
USD |
10,785 |
9,833,493 |
|
Gol Finance, Inc.: |
|
|
|
|
14.375%, 6/6/30(9)
|
USD |
1,350 |
1,304,438 |
|
14.375%, 6/6/30(1)
|
USD |
5,319 |
5,139,484 |
|
InterCement Financial Operations BV, 6.50%,
6/15/31(9)(12)
|
USD |
1,637 |
1,516,979 |
|
MC Brazil Downstream Trading SARL, 7.25%,
6/30/31(9)
|
USD |
9,134 |
8,990,772 |
|
Movida Europe SA: |
|
|
|
|
9.70%, 10/11/33(9)
|
USD |
1,460 |
1,377,510 |
|
9.70%, 10/11/33(1)
|
USD |
11,980 |
11,303,130 |
|
MV24 Capital BV, 6.748%, 6/1/34(9)
|
USD |
3,174 |
3,214,593 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Brazil (continued) | |||
|
Oceanica Lux, 11.25%, 5/8/31(1)
|
USD |
14,610 |
$ 14,656,752 |
|
OHI Group SA: |
|
|
|
|
13.00%, 7/22/29(9)
|
USD |
3,354 |
3,403,358 |
|
13.00%, 7/22/29(1)
|
USD |
10,441 |
10,592,723 |
|
OI SA, 10.00%, (10.00% cash or 7.50% cash and
6.00% PIK), 6/30/27(1)(12)
|
USD |
3,657 |
1,778,009 |
|
Raizen Fuels Finance SA: |
|
|
|
|
5.70%, 1/17/35(9)
|
USD |
6,671 |
3,546,570 |
|
6.25%, 7/8/32(9)
|
USD |
1,081 |
575,470 |
|
6.25%, 7/8/32(1)
|
USD |
7,037 |
3,746,147 |
|
6.45%, 3/5/34(9)
|
USD |
2,635 |
1,408,078 |
|
6.70%, 2/25/37(9)
|
USD |
8,105 |
4,284,383 |
|
Samarco Mineracao SA, 9.00%, (4.00% cash and
5.00% PIK), 6/30/31(9)
|
USD |
19,800 |
19,962,605 |
|
Unigel Luxembourg SA, 13.50%, (13.50% cash or
15.00% PIK), 12/31/27(9)(12)
|
USD |
310 |
18,595 |
|
Vale SA, Series A6, 0.00%(14)(16)
|
BRL |
50,226 |
3,913,758 |
|
Yinson Boronia Production BV: |
|
|
|
|
8.947%, 7/31/42(9)
|
USD |
1,883 |
2,076,932 |
|
8.947%, 7/31/42(1)
|
USD |
2,660 |
2,933,759 |
|
|
|
|
$ 147,594,711 |
|
Canada — 0.2% | |||
|
1011778 BC ULC/New Red Finance, Inc.: |
|
|
|
|
3.875%, 1/15/28(1)
|
USD |
15,891 |
$ 15,580,131 |
|
4.375%, 1/15/28(1)
|
USD |
2,000 |
1,972,798 |
|
Aris Gold Corp., 7.50%, 8/26/27 |
USD |
750 |
755,288 |
|
New Flyer Holdings, Inc., 9.25%, 7/1/30(1)
|
USD |
5,080 |
5,441,721 |
|
Polaris Renewable Energy, Inc., 9.50%, 12/3/29 |
USD |
3,125 |
3,281,250 |
|
Toucan FinCo Ltd./Toucan FinCo Can, Inc./Toucan
FinCo U.S. LLC: |
|
|
|
|
8.25%, 5/15/30(9)
|
EUR |
1,000 |
1,032,964 |
|
9.50%, 5/15/30(1)
|
USD |
939 |
849,057 |
|
|
|
|
$ 28,913,209 |
|
China — 0.1% | |||
|
Kaisa Group Holdings Ltd.: |
|
|
|
|
6.25%, (5.25% cash or 6.25% PIK),
12/28/28(1)(12)
|
USD |
49 |
$ 857 |
|
6.50%, (5.50% cash or 6.50% PIK),
12/28/29(1)(12)
|
USD |
82 |
1,436 |
|
6.75%, (5.75% cash or 6.75% PIK),
12/28/30(1)(12)
|
USD |
99 |
1,486 |
|
7.00%, (6.00% cash or 7.00% PIK),
12/28/31(1)(12)
|
USD |
149 |
2,521 |
|
7.25%, (6.25% cash or 7.25% PIK),
12/28/32(1)(12)
|
USD |
141 |
2,111 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
China (continued) | |||
|
Kaisa Group Holdings Ltd.: (continued) |
|
|
|
|
7.721%, (6.72% cash or 7.721% PIK),
12/28/28(1)(12)
|
USD |
33 |
$ 627 |
|
KWG Group Holdings Ltd., 7.875%, 8/30/24(17)
|
USD |
519 |
16,219 |
|
Longfor Group Holdings Ltd.: |
|
|
|
|
3.375%, 4/13/27(9)
|
USD |
1,943 |
1,874,220 |
|
3.95%, 9/16/29(9)
|
USD |
10,420 |
8,794,311 |
|
4.50%, 1/16/28(9)
|
USD |
1,915 |
1,790,055 |
|
Shimao Group Holdings Ltd.: |
|
|
|
|
2.00%, (2.00% cash or 3.00% PIK),
7/21/32(1)(12)
|
USD |
485 |
10,372 |
|
2.00%, (2.00% cash or 3.00% PIK),
7/21/33(1)(12)
|
USD |
728 |
9,097 |
|
2.00%, (2.00% cash or 3.00% PIK),
1/21/34(1)(12)
|
USD |
728 |
9,097 |
|
5.95%, (0.05% cash and 5.90% PIK),
7/21/31(1)
|
USD |
2,730 |
37,533 |
|
Times China Holdings Ltd.: |
|
|
|
|
4.00%, (1.00% cash and 3.00% PIK),
3/30/29(1)
|
USD |
282 |
8,101 |
|
4.20%, (0.00% cash and 4.20% PIK),
9/30/32(1)
|
USD |
1,051 |
24,965 |
|
|
|
|
$ 12,583,008 |
|
Colombia — 0.2% | |||
|
ABRA Global Finance, 14.00%, (6.00% cash and
8.00% PIK), 10/22/29(1)
|
USD |
6,009 |
$ 5,904,552 |
|
Banco Davivienda SA: |
|
|
|
|
6.65% to 4/22/31(9)(14)(15)
|
USD |
10,535 |
9,827,308 |
|
8.125% to 7/2/30, 7/2/35(9)(15)
|
USD |
920 |
945,760 |
|
8.125% to 7/2/30, 7/2/35(1)(15)
|
USD |
6,519 |
6,701,532 |
|
Banco de Occidente SA, 10.875% to 5/13/29,
8/13/34(9)(15)
|
USD |
5,797 |
6,396,990 |
|
|
|
|
$ 29,776,142 |
|
Dominican Republic — 0.0%† | |||
|
AES Espana BV, 7.75%, 8/3/33(1)(13)
|
USD |
2,504 |
$ 2,517,383 |
|
|
|
|
$ 2,517,383 |
|
France — 0.1% | |||
|
Banijay Gaming SAS, 5.125%, 12/10/31(9)
|
EUR |
6,230 |
$ 7,282,215 |
|
Egis SA, 5.125%, 5/15/31(9)
|
EUR |
2,700 |
3,168,390 |
|
Eutelsat SA, 1.50%, 10/13/28(9)
|
EUR |
3,600 |
4,000,679 |
|
HomeVi SASU: |
|
|
|
|
6.625%, 10/31/31(9)
|
EUR |
1,050 |
1,223,282 |
|
6.625%, 10/31/31(1)
|
EUR |
1,110 |
1,293,183 |
|
|
|
|
$ 16,967,749 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Georgia — 0.1% | |||
|
Bank of Georgia JSC: |
|
|
|
|
9.50% to 7/16/29(1)(14)(15)
|
USD |
200 |
$ 210,809 |
|
9.50% to 7/16/29(9)(14)(15)
|
USD |
9,577 |
10,094,559 |
|
TBC Bank Group PLC, 22.00%, 6/5/28(1)
|
UZS |
16,650,000 |
1,399,080 |
|
TBC Bank JSC: |
|
|
|
|
8.894% to 11/6/26(9)(14)(15)
|
USD |
3,481 |
3,513,396 |
|
10.25% to 7/30/29(9)(14)(15)
|
USD |
6,004 |
6,451,948 |
|
|
|
|
$ 21,669,792 |
|
Germany — 0.1% | |||
|
alstria SARL, 4.25%, 10/15/29(9)
|
EUR |
2,400 |
$ 2,711,560 |
|
Cerdia Finanz GmbH, 9.375%, 10/3/31(1)
|
USD |
5,080 |
4,517,441 |
|
Dynamo Newco II GmbH, 6.25%, 10/15/31(9)
|
EUR |
3,273 |
3,526,435 |
|
HT Troplast GmbH, 7.625%, 7/15/31(9)
|
EUR |
1,500 |
1,747,801 |
|
IHO Verwaltungs GmbH: |
|
|
|
|
5.625%, (5.625% cash or 6.375% PIK),
5/15/31(9)(12)
|
EUR |
670 |
805,706 |
|
7.375%, (7.375% cash or 8.125% PIK),
5/15/33(1)(12)
|
USD |
425 |
440,838 |
|
7.75%, (7.75% cash or 8.50% PIK),
11/15/30(1)(12)
|
USD |
1,000 |
1,039,801 |
|
|
|
|
$ 14,789,582 |
|
Ghana — 0.0%† | |||
|
Tullow Holdco 2 Ltd., 15.00%, (12.00% cash and
3.00% PIK), 11/15/28(9)
|
USD |
4,240 |
$ 4,351,069 |
|
|
|
|
$ 4,351,069 |
|
Greece — 0.1% | |||
|
Aktor SA Holding Co. Technical & Energy Projects,
7.875%, 8/3/31(9)(13)
|
EUR |
8,844 |
$ 10,186,219 |
|
Intralot Capital Luxembourg SA, 6.75%,
10/15/31(9)
|
EUR |
3,890 |
4,566,484 |
|
Piraeus Bank SA, 6.125% to 10/15/32(9)(14)(15)
|
EUR |
3,128 |
3,593,877 |
|
|
|
|
$ 18,346,580 |
|
Guyana — 0.0%† | |||
|
Secure International Finance Co., Inc.: |
|
|
|
|
10.00%, 6/3/29(1)
|
USD |
1,059 |
$ 1,064,118 |
|
10.00%, 6/3/29(9)
|
USD |
2,281 |
2,292,109 |
|
|
|
|
$ 3,356,227 |
|
Hong Kong — 0.0%† | |||
|
Li & Fung Ltd., 8.375%, 2/5/29(9)
|
USD |
1,600 |
$ 1,632,096 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Hong Kong (continued) | |||
|
Yuexiu REIT MTN Co. Ltd., 6.50%, 2/12/29(9)
|
USD |
1,798 |
$ 1,834,109 |
|
|
|
|
$ 3,466,205 |
|
Hungary — 0.0%† | |||
|
MBH Bank Nyrt, 5.25% to 1/29/29, 1/29/30(9)(15)
|
EUR |
3,101 |
$ 3,590,948 |
|
|
|
|
$ 3,590,948 |
|
Iceland — 0.0% | |||
|
Wow Air Hf., 0.00%, (3 mo. EURIBOR +
9.00%)(10)(14)(17)
|
EUR |
920 |
$ 0 |
|
|
|
|
$ 0 |
|
India — 0.1% | |||
|
ICICI Bank Ltd./IFSC, 5.459%, 7/30/31(1)
|
USD |
3,901 |
$ 3,921,175 |
|
Porteast Investment Pvt Ltd., 0.00%, 5/29/28 |
INR |
730,000 |
9,582,536 |
|
|
|
|
$ 13,503,711 |
|
Indonesia — 0.0%† | |||
|
Nickel Industries Ltd., 9.00%, 9/30/30(1)
|
USD |
1,010 |
$ 1,030,926 |
|
Pakuwon Jati Tbk. PT, 4.875%, 4/29/28(9)
|
USD |
1,520 |
1,483,800 |
|
|
|
|
$ 2,514,726 |
|
Ireland — 0.1% | |||
|
Phoenix Aviation Capital Ltd., 9.25%, 7/15/30(1)
|
USD |
7,630 |
$ 7,905,954 |
|
|
|
|
$ 7,905,954 |
|
Italy — 0.1% | |||
|
CEME SpA, 6.791%, (3 mo. EURIBOR + 4.50%),
9/30/31(2)(9)
|
EUR |
370 |
$ 419,197 |
|
FIS Fabbrica Italiana Sintetici SpA: |
|
|
|
|
5.25%, 2/5/31(1)
|
EUR |
2,500 |
2,906,727 |
|
5.25%, 2/5/31(9)
|
EUR |
3,100 |
3,604,342 |
|
5.399%, (3 mo. EURIBOR + 3.25%),
2/5/31(1)(2)
|
EUR |
180 |
209,650 |
|
5.399%, (3 mo. EURIBOR + 3.25%),
2/5/31(2)(9)
|
EUR |
555 |
646,421 |
|
Infrastrutture Wireless Italiane SpA: |
|
|
|
|
1.75%, 4/19/31(9)
|
EUR |
1,285 |
1,331,842 |
|
3.625%, 10/13/32(9)
|
EUR |
1,215 |
1,320,060 |
|
La Doria SpA, 5.82%, (3 mo. EURIBOR +
3.375%), 12/30/30(2)(9)
|
EUR |
1,400 |
1,632,045 |
|
TeamSystem SpA: |
|
|
|
|
6.50%, 7/1/32(1)
|
EUR |
845 |
968,475 |
|
6.50%, 7/1/32(9)
|
EUR |
2,705 |
3,100,267 |
|
|
|
|
$ 16,139,026 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Jamaica — 0.1% | |||
|
Digicel International Finance Ltd./Difl U.S. LLC: |
|
|
|
|
8.625%, 8/1/32(9)
|
USD |
302 |
$ 312,062 |
|
8.625%, 8/1/32(1)
|
USD |
2,152 |
2,223,698 |
|
NCB Financial Group Ltd., 11.00%, 7/31/30(1)
|
USD |
7,070 |
7,489,887 |
|
|
|
|
$ 10,025,647 |
|
Kazakhstan — 0.2% | |||
|
Bank RBK JSC, 7.70%, 5/19/31(9)
|
USD |
10,856 |
$ 10,701,391 |
|
ForteBank JSC: |
|
|
|
|
7.75%, 2/4/30(1)
|
USD |
6,910 |
7,089,280 |
|
9.75% to 11/3/30(9)(14)(15)
|
USD |
8,957 |
9,262,576 |
|
|
|
|
$ 27,053,247 |
|
Kyrgyzstan — 0.1% | |||
|
Eldik Bank OAO, 8.50%, 4/23/31(9)
|
USD |
7,280 |
$ 7,267,778 |
|
|
|
|
$ 7,267,778 |
|
Luxembourg — 0.3% | |||
|
Aegis Lux 1a SARL, 5.625%, 10/29/31(9)
|
EUR |
4,640 |
$ 5,435,689 |
|
Alexandrite Lake Lux Holdings SARL: |
|
|
|
|
6.75%, 7/30/30(1)
|
EUR |
1,000 |
1,163,569 |
|
6.75%, 7/30/30(9)
|
EUR |
4,000 |
4,654,274 |
|
Currenta Group Holdings SARL, 6.283%, (3 mo.
EURIBOR + 4.00%), 5/15/32(2)(9)
|
EUR |
4,640 |
5,384,110 |
|
Essendi SA, 6.375%, 10/15/29(9)
|
EUR |
3,690 |
4,414,560 |
|
FORESEA Holding SA, 7.50%, 6/15/30(9)
|
USD |
3,523 |
3,500,134 |
|
INEOS Finance PLC: |
|
|
|
|
7.25%, 3/31/31(9)
|
EUR |
2,120 |
2,297,675 |
|
7.875%, 11/15/31(9)
|
EUR |
1,500 |
1,649,887 |
|
J&F Luxembourg Finance SARL, 8.50%, 12/1/32(1)
|
USD |
10,177 |
10,164,279 |
|
LHMC Finco 2 SARL: |
|
|
|
|
8.625%, (8.625% cash or 9.375% PIK),
5/15/30(1)(12)
|
EUR |
1,582 |
1,886,561 |
|
8.625%, (8.625% cash or 9.375% PIK),
5/15/30(9)(12)
|
EUR |
3,468 |
4,135,366 |
|
|
|
|
$ 44,686,104 |
|
Malaysia — 0.0%† | |||
|
RED Cap Funding Ltd., 9.70% to 3/10/27,
9/10/27(3)(9)
|
USD |
5,056 |
$ 5,167,586 |
|
|
|
|
$ 5,167,586 |
|
Mexico — 0.4% | |||
|
Alpha Holding SA de CV: |
|
|
|
|
9.00%, 2/10/25(9)(17)
|
USD |
2,654 |
$ 23,884 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Mexico (continued) | |||
|
Alpha Holding SA de CV: (continued) |
|
|
|
|
10.00%, 12/19/22(9)(17)
|
USD |
1,440 |
$ 12,958 |
|
Banca Mifel SA, 9.25% to 5/14/31(1)(14)(15)
|
USD |
7,290 |
7,356,521 |
|
Banco Mercantil del Norte SA: |
|
|
|
|
5.875% to 1/24/27(9)(14)(15)
|
USD |
736 |
733,165 |
|
8.00% to 1/24/33(1)(14)(15)
|
USD |
3,565 |
3,564,109 |
|
8.45% to 6/24/36(1)(14)(15)
|
USD |
3,776 |
3,776,000 |
|
BBVA Mexico SA Institucion De Banca Multiple
Grupo Financiero BBVA Mexico: |
|
|
|
|
8.45% to 6/29/33, 6/29/38(9)(15)
|
USD |
1,486 |
1,593,613 |
|
8.45% to 6/29/33, 6/29/38(1)(15)
|
USD |
1,771 |
1,899,252 |
|
Braskem Idesa SAPI: |
|
|
|
|
6.99%, 2/20/32(9)(17)
|
USD |
7,187 |
4,719,056 |
|
7.45%, 11/15/29(9)(17)
|
USD |
2,952 |
1,960,010 |
|
Controladora Mabe SA de CV, 5.60%, 10/23/28(9)
|
USD |
2,287 |
2,079,535 |
|
Fideicomiso Irrevocable de Administracion y Fuente
de Pago Numero CIB: |
|
|
|
|
13.00% to 9/12/27, (11.00% cash and 2.00%
PIK), 9/12/30(9)(17)
|
USD |
6,229 |
2,701,699 |
|
13.00% to 9/12/27, (11.00% cash and 2.00%
PIK), 9/12/31(1)(17)
|
USD |
1,693 |
734,339 |
|
Financiera Independencia SAB de CV SOFOM ENR,
12.00%, 3/1/28(9)
|
USD |
1,121 |
1,123,802 |
|
Grupo Aeromexico SAB de CV: |
|
|
|
|
8.625%, 11/15/31(9)
|
USD |
2,656 |
2,682,560 |
|
8.625%, 11/15/31(1)
|
USD |
6,345 |
6,408,450 |
|
Orbia Advance Corp. SAB de CV: |
|
|
|
|
6.80%, 5/13/30(9)
|
USD |
1,562 |
1,561,360 |
|
7.50%, 5/13/35(9)
|
USD |
1,962 |
1,983,682 |
|
Petroleos Mexicanos, 6.84%, 1/23/30 |
USD |
8,000 |
8,126,160 |
|
|
|
|
$ 53,040,155 |
|
Mongolia — 0.1% | |||
|
Golomt Bank, 7.95%, 5/14/29(9)
|
USD |
8,613 |
$ 8,647,369 |
|
Mongolian Mining Corp., 8.44%, 4/3/30(9)
|
USD |
3,327 |
3,394,046 |
|
State Bank JSC, 8.90%, 9/25/28(9)
|
USD |
6,640 |
6,668,761 |
|
|
|
|
$ 18,710,176 |
|
Netherlands — 0.1% | |||
|
Sampa Finance & Investment BV, 9.50%, 7/7/31(9)
|
EUR |
5,876 |
$ 6,706,527 |
|
|
|
|
$ 6,706,527 |
|
Nigeria — 0.2% | |||
|
Access Bank PLC, 6.125%, 9/21/26(9)
|
USD |
6,696 |
$ 6,697,521 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Nigeria (continued) | |||
|
Dangote Fertiliser Ltd., 7.75%, 5/5/31(9)
|
USD |
14,286 |
$ 14,369,795 |
|
Dangote Petroleum Refinery & Petrochemicals FZE,
7.50%, 7/16/31(9)
|
USD |
3,628 |
3,622,547 |
|
|
|
|
$ 24,689,863 |
|
Pakistan — 0.0%† | |||
|
Veon Midco BV, 3.375%, 11/25/27(9)
|
USD |
571 |
$ 555,583 |
|
|
|
|
$ 555,583 |
|
Paraguay — 0.0%† | |||
|
Frigorifico Concepcion SA: |
|
|
|
|
7.70%, 7/21/28(1)
|
USD |
907 |
$ 123,352 |
|
7.70%, 7/21/28(9)
|
USD |
914 |
124,304 |
|
Ueno Bank SA, 6.70%, 3/6/31(9)
|
USD |
207 |
190,289 |
|
|
|
|
$ 437,945 |
|
Peru — 0.1% | |||
|
Auna SA: |
|
|
|
|
10.00%, 12/18/29(9)
|
USD |
3,516 |
$ 3,722,632 |
|
10.00%, 12/18/29(1)
|
USD |
5,370 |
5,685,607 |
|
Integratel Peru SAA, 7.375%, 4/10/27(9)(17)
|
PEN |
4,500 |
503,163 |
|
|
|
|
$ 9,911,402 |
|
Russia — 0.0% | |||
|
Tinkoff Bank JSC Via TCS Finance Ltd., 6.00% to
12/20/26(9)(10)(14)(15)(17)
|
USD |
1,226 |
$ 0 |
|
|
|
|
$ 0 |
|
Slovenia — 0.0%† | |||
|
Summer BidCo BV: |
|
|
|
|
8.875% PIK, 1/31/31(1)
|
EUR |
483 |
$ 572,182 |
|
8.875% PIK, 1/31/31(9)
|
EUR |
1,902 |
2,252,205 |
|
United Group BV, 6.50%, 10/31/31(9)
|
EUR |
2,220 |
2,624,772 |
|
|
|
|
$ 5,449,159 |
|
South Africa — 0.1% | |||
|
Sasol Financing USA LLC, 8.75%, 4/10/33(9)
|
USD |
8,674 |
$ 9,071,052 |
|
|
|
|
$ 9,071,052 |
|
Spain — 0.0%† | |||
|
Atlantica Sustainable Infrastructure PLC, 4.125%,
6/15/28(1)
|
USD |
2,000 |
$ 1,970,532 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Spain (continued) | |||
|
Molins Finance SA, 5.50%, 6/15/33(9)
|
EUR |
1,465 |
$ 1,753,586 |
|
OHL Operaciones SA, 9.75%, (5.10% cash and
4.65% PIK), 12/31/29(9)
|
EUR |
2,042 |
2,228,054 |
|
|
|
|
$ 5,952,172 |
|
Switzerland — 0.1% | |||
|
VistaJet Malta Finance PLC/Vista Management
Holding, Inc.: |
|
|
|
|
6.375%, 2/1/30(1)
|
USD |
3,615 |
$ 3,414,563 |
|
9.50%, 6/1/28(1)
|
USD |
3,810 |
3,872,576 |
|
|
|
|
$ 7,287,139 |
|
Togo — 0.0%† | |||
|
Ecobank Transnational, Inc., 10.125%, 10/15/29(1)
|
USD |
1,504 |
$ 1,664,337 |
|
|
|
|
$ 1,664,337 |
|
Turkey — 0.2% | |||
|
Akbank TAS: |
|
|
|
|
8.25% to 9/8/31, 12/8/36(9)(15)
|
USD |
3,308 |
$ 3,317,046 |
|
9.369% to 3/14/29(9)(14)(15)
|
USD |
5,527 |
5,613,271 |
|
Guermat Elektrik Ueretim AS, 10.748%, 5/21/35(9)
|
USD |
7,440 |
7,362,608 |
|
Limak Iskenderun Uluslararasi Liman Isletmeciligi
AS, 9.50%, 7/10/36(9)
|
USD |
3,556 |
3,604,411 |
|
Limak Yenilenebilir Enerji AS: |
|
|
|
|
9.625%, 8/12/30(9)
|
USD |
2,024 |
1,998,413 |
|
9.625%, 8/12/30(1)
|
USD |
2,400 |
2,369,660 |
|
Turkiye Garanti Bankasi AS, 8.125% to 10/8/30,
1/8/36(9)(15)
|
USD |
2,805 |
2,824,393 |
|
Turkiye Is Bankasi AS, 8.40% to 4/23/33,
7/23/38(9)(15)
|
USD |
8,906 |
8,829,087 |
|
WE Soda Investments Holding PLC, 9.50%,
10/6/28(9)
|
USD |
739 |
743,825 |
|
|
|
|
$ 36,662,714 |
|
Ukraine — 0.1% | |||
|
Kernel Holding SA, 6.75%, 10/27/27(9)
|
USD |
10,116 |
$ 9,888,779 |
|
MHP Lux SA: |
|
|
|
|
6.25%, 9/19/29(1)
|
USD |
415 |
388,361 |
|
6.25%, 9/19/29(9)
|
USD |
3,272 |
3,061,966 |
|
10.50%, 7/28/29(9)
|
USD |
4,102 |
4,270,115 |
|
|
|
|
$ 17,609,221 |
|
United Arab Emirates — 0.0%† | |||
|
Alpha Star Holding IX Ltd., 7.00%, 8/26/28(9)
|
USD |
484 |
$ 473,424 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
United Arab Emirates (continued) | |||
|
Alpha Star Holding VIII Ltd., 8.375%, 4/12/27(9)
|
USD |
626 |
$ 627,207 |
|
Alpha Star Holding X Ltd., 6.125%, 8/5/29(9)
|
USD |
2,233 |
2,119,325 |
|
|
|
|
$ 3,219,956 |
|
United Kingdom — 0.5% | |||
|
Alexandrite Monnet U.K. Holdco PLC, 6.875%,
5/31/31(9)
|
EUR |
2,640 |
$ 3,099,828 |
|
Allwyn Entertainment Financing U.K. PLC: |
|
|
|
|
4.625%, 8/15/31(9)
|
EUR |
900 |
1,029,640 |
|
4.625%, 8/15/31(1)
|
EUR |
3,360 |
3,843,989 |
|
Avianca Midco 2 PLC: |
|
|
|
|
9.50%, 1/28/31(1)
|
USD |
1,504 |
1,408,485 |
|
9.625%, 2/14/30(9)
|
USD |
1,620 |
1,566,313 |
|
9.625%, 2/14/30(1)
|
USD |
2,515 |
2,431,653 |
|
B&M European Value Retail PLC, 4.00%,
11/15/28(9)
|
GBP |
2,800 |
3,707,088 |
|
Biffa Group Holdings Ltd.: |
|
|
|
|
5.25%, 6/15/31(9)
|
EUR |
2,315 |
2,655,960 |
|
7.375%, 6/15/31(9)
|
GBP |
5,030 |
6,827,312 |
|
Boots Group Finco LP: |
|
|
|
|
5.375%, 8/31/32(9)
|
EUR |
1,520 |
1,792,326 |
|
7.375%, 8/31/32(9)
|
GBP |
3,180 |
4,390,013 |
|
California Buyer Ltd./Atlantica Sustainable
Infrastructure PLC, 6.375%, 2/15/32(1)
|
USD |
2,100 |
2,072,130 |
|
CD&R Firefly Bidco PLC, 8.625%, 4/30/29(9)
|
GBP |
3,000 |
4,169,343 |
|
CPUK Finance Ltd., 6.875%, 8/28/32(9)
|
GBP |
4,960 |
6,735,082 |
|
Edge Finco PLC, 8.125%, 8/15/31(9)
|
GBP |
6,290 |
8,827,506 |
|
Froneri Lux FinCo SARL, 4.75%, 8/1/32(9)
|
EUR |
3,430 |
3,844,352 |
|
Global Auto Holdings Ltd./AAG FH U.K. Ltd.,
8.375%, 1/15/29(1)
|
USD |
800 |
794,393 |
|
NES Fircroft Bondco AS, 10.00%, 8/13/31(9)(13)
|
USD |
3,000 |
3,044,115 |
|
Nomad Foods Bondco PLC, 5.25%, 7/15/33(9)
|
EUR |
3,150 |
3,631,155 |
|
Ocado Group PLC, 11.00%, 6/15/30(9)
|
GBP |
775 |
1,091,552 |
|
Sherwood Financing PLC, 7.625%, 12/15/29(9)
|
EUR |
2,800 |
3,293,970 |
|
Virgin Media Secured Finance PLC, 4.125%,
8/15/30(9)
|
GBP |
4,930 |
5,620,483 |
|
Zegona Finance PLC, 4.25%, 1/15/32(9)
|
EUR |
1,850 |
2,121,165 |
|
|
|
|
$ 77,997,853 |
|
Uzbekistan — 0.1% | |||
|
Aloqabank JSC, 7.70%, 5/18/31(9)
|
USD |
5,520 |
$ 5,501,487 |
|
Heritage Lending Group BV, 19.50%, 5/5/29 |
UZS |
16,857,000 |
1,411,237 |
|
Ipoteka-Bank ATIB: |
|
|
|
|
17.50%, 10/9/28(9)
|
UZS |
19,980,000 |
1,723,532 |
|
20.50%, 4/25/27(9)
|
UZS |
51,340,000 |
4,455,858 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Uzbekistan (continued) | |||
|
JSCB Agrobank, 20.75%, 9/15/28 |
UZS |
13,770,000 |
$ 1,221,582 |
|
Uzbek Industrial & Construction Bank ATB, 9.45%
to 10/23/30(9)(14)(15)
|
USD |
6,970 |
7,243,383 |
|
|
|
|
$ 21,557,079 |
|
Venezuela — 0.3% | |||
|
Petroleos de Venezuela SA: |
|
|
|
|
5.375%, 4/12/27(9)(17)
|
USD |
3,636 |
$ 1,334,412 |
|
5.50%, 4/12/37(9)(17)
|
USD |
109 |
40,145 |
|
6.00%, 10/28/22(9)(17)
|
USD |
11,888 |
4,338,958 |
|
6.00%, 5/16/24(9)(17)
|
USD |
20,537 |
7,749,996 |
|
6.00%, 11/15/26(9)(17)
|
USD |
46,483 |
17,617,024 |
|
9.00%, 11/17/21(9)(17)
|
USD |
2,526 |
1,095,948 |
|
9.75%, 5/17/35(9)(17)
|
USD |
2,154 |
980,919 |
|
12.75%, 2/17/22(9)(17)
|
USD |
13,240 |
6,586,751 |
|
|
|
|
$ 39,744,153 |
|
Total Foreign Corporate Bonds
(identified cost $837,526,934) |
|
|
$ 839,380,191 |
|
Government National Mortgage Association Participation Agreements —
1.3% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Government National Mortgage Association
Participation Agreements, 5.481%, 1/1/59(18)
|
$ |
143,386 |
$ 144,033,559 |
|
Government National Mortgage Association
Participation Agreements, Mezzanine Tranche,
7.831%, 9/10/27(18)
|
|
56,073 |
56,528,311 |
|
Total Government National Mortgage Association
Participation Agreements
(identified cost $199,459,669) |
|
|
$ 200,561,870 |
|
Insurance Linked Securities — 3.7% |
|
Security |
Shares |
Value | |
|
Reinsurance Side Cars — 2.0% |
|
|
|
|
Beacon RE(8)(10)(19)(20)
|
|
27,008,881 |
$ 27,524,751 |
|
Beacon RE(8)(10)(19)(20)
|
|
32,491,119 |
32,491,119 |
|
Eden Re II Ltd.: |
|
|
|
|
Series 2023A, 0.00%, 3/19/27(1)(10)(20)
|
|
257,143 |
694,954 |
|
Series 2023B, 0.00%, 3/19/27(1)(10)(20)
|
|
31,162 |
472,596 |
|
Series 2024A, 0.00%, 3/17/28(1)(10)(20)
|
|
81,053 |
224,467 |
|
Series 2024B, 0.00%, 3/17/28(1)(10)(20)
|
|
64,938 |
968,515 |
|
Security |
Shares |
Value | |
|
Reinsurance Side Cars (continued) |
|
|
|
|
Eden Re II Ltd.: (continued) |
|
|
|
|
Series 2025A, 0.00%, 3/19/30(1)(10)(20)
|
|
174,419 |
$ 4,282,413 |
|
George Street RE(8)(10)(20)
|
|
992 |
63,666,068 |
|
Mt. Logan Re Ltd.: |
|
|
|
|
Participating Units(8)(10)(19)(20)
|
|
38,000,000 |
41,948,200 |
|
Series 13, Participating Units(10)(11)(20)
|
|
10,000 |
39,598,553 |
|
Series 17, Participating Units(8)(10)(11)(20)
|
|
860 |
3,360,740 |
|
Series 19, Participating Units(8)(10)(11)(20)
|
|
7,464 |
17,763,930 |
|
PartnerRe Ltd.(8)(10)(20)
|
|
67 |
72,474,643 |
|
|
|
|
$ 305,470,949 |
|
Segregated Account/Funds — 1.7% |
|
|
|
|
1863 Fund Ltd. - Core Nat Cat Fund(8)(10)(20)
|
|
80,048,206 |
$ 110,682,655 |
|
PartnerRe ILS Fund SAC Ltd.(8)(10)(11)(20)
|
|
34,000,000 |
49,640,000 |
|
Voussoir Re Ltd.(8)(10)(20)
|
|
7,480 |
10,759,099 |
|
Jaffa Capital Fund(8)(10)(19)(20)
|
|
330,000 |
33,135,300 |
|
Voussoir Re Ltd.(8)(10)(20)
|
|
41,584 |
56,044,864 |
|
|
|
|
$ 260,261,918 |
|
Total Insurance Linked Securities
(identified cost $470,722,288) |
|
|
$ 565,732,867 |
|
Preferred Stocks — 0.2% |
|
Security |
Principal
Amount/
Shares |
Value | |
|
Puerto Rico — 0.0%† | |||
|
Liberty Latin America Ltd., Series A, 9.00% |
|
38,500 |
$ 779,240 |
|
|
|
|
$ 779,240 |
|
United States — 0.2% | |||
|
AH Parent, Inc. (Alliant), Series A, 10.00% cash or
10.50% PIK(8)(11)(12)
|
$ |
8,224,000 |
$ 8,243,614 |
|
Alphabet, Inc.: |
|
|
|
|
Series A, 6.25% |
|
17,650 |
885,324 |
|
Series B, 6.25% |
|
17,650 |
886,030 |
|
Boeing Co., 6.00% |
|
52,000 |
3,474,120 |
|
Hewlett Packard Enterprise Co., 7.625% |
|
51,000 |
6,351,030 |
|
Oracle Corp., 6.50% |
|
44,000 |
1,839,200 |
|
PG&E Corp., Series A, 6.00% |
|
58,000 |
2,459,780 |
|
|
|
|
$ 24,139,098 |
|
Total Preferred Stocks
(identified cost $21,125,917) |
|
|
$ 24,918,338 |
|
Senior Floating-Rate Loans — 1.3%(21)
|
|
Borrower/Description |
Principal
Amount*
(000’s omitted) |
Value | |
|
Argentina — 0.1% | |||
|
VMOS SA: |
|
|
|
|
Term Loan, 9.338% - 9.342%, (6 mo. USD Term
SOFR + 5.50%), 7/8/30 |
|
13,708 |
$ 14,104,086 |
|
Term Loan, 7/8/30(22)
|
|
4,282 |
4,281,620 |
|
|
|
|
$ 18,385,706 |
|
Brazil — 0.1% | |||
|
Usina Caete SA, Term Loan, 10.49%, (3 mo. USD
Term SOFR + 5.50%), 5/31/28 |
|
10,125 |
$ 10,125,000 |
|
|
|
|
$ 10,125,000 |
|
Canada — 0.1% | |||
|
ABC Technologies, Inc.: |
|
|
|
|
Term Loan, 8.316%, (1 mo. EURIBOR +
6.13%), 8/22/31(10)
|
EUR |
3,573 |
3,992,898 |
|
Term Loan, 9.731% - 9.732%, (1 mo. USD Term
SOFR + 6.00%, 3 mo. USD Term SOFR +
6.00%), 8/22/31(10)
|
|
6,002 |
$ 5,816,435 |
|
Term Loan, 11.981% - 11.982%, (1 mo. USD
Term SOFR + 8.25%, 3 mo. USD Term SOFR
+ 8.25%), 8/22/31(10)
|
|
7,302 |
7,148,961 |
|
|
|
|
$ 16,958,294 |
|
Jamaica — 0.0%† | |||
|
Digicel International Finance Ltd.: |
|
|
|
|
Term Loan, 8.232%, (3 mo. USD Term SOFR +
4.50%), 8/6/32 |
|
3,357 |
$ 3,384,012 |
|
Term Loan, 8/6/32(23)
|
|
881 |
887,699 |
|
|
|
|
$ 4,271,711 |
|
Luxembourg — 0.0%† | |||
|
INEOS Finance PLC, Term Loan, 6/25/32(23)
|
|
5,000 |
$ 4,650,000 |
|
INEOS U.S. Finance LLC, Term Loan, 6.981%,
(1 mo. USD Term SOFR + 3.25%), 2/18/30 |
|
1,383 |
1,314,250 |
|
|
|
|
$ 5,964,250 |
|
Paraguay — 0.0%† | |||
|
Frigorifico Concepcion SA, Term Loan, 9.326%,
(3 mo. USD Term SOFR + 5.50%), 12/8/26 |
|
2,323 |
$ 315,930 |
|
|
|
|
$ 315,930 |
|
Borrower/Description |
Principal
Amount*
(000’s omitted) |
Value | |
|
Puerto Rico — 0.0%† | |||
|
Coral-US Co-Borrower LLC, Term Loan, 7.003%,
(3 mo. USD Term SOFR + 3.25%), 1/31/32 |
|
5,892 |
$ 5,776,330 |
|
|
|
|
$ 5,776,330 |
|
Singapore — 0.1% | |||
|
HGDC Holdings Ltd., Term Loan, 8.582%, (3 mo.
USD Term SOFR + 4.85%), 3/31/29 |
|
10,690 |
$ 10,720,830 |
|
Princeton Digital Group Ltd.: |
|
|
|
|
Term Loan, 8.393%, (3 mo. USD Term SOFR +
4.65%), 5/6/29 |
|
5,029 |
5,010,468 |
|
Term Loan, 9.153%, (3 mo. USD Term SOFR +
5.50%), 12/1/26 |
|
2,011 |
2,011,429 |
|
|
|
|
$ 17,742,727 |
|
Suriname — 0.4% | |||
|
Staatsolie Maatschappij Suriname NV: |
|
|
|
|
Revolving Loan, 4/26/32(22)
|
|
47,054 |
$ 47,053,511 |
|
Term Loan, 9.31% - 9.413%, (3 mo. USD Term
SOFR + 5.50%), 5/24/32 |
|
5,346 |
5,445,003 |
|
|
|
|
$ 52,498,514 |
|
Tanzania — 0.0%† | |||
|
PIH Communication LLC, Term Loan, 7.177%,
(3 mo. USD Term SOFR + 3.50%), 12/12/29 |
|
5,457 |
$ 5,448,450 |
|
|
|
|
$ 5,448,450 |
|
United States — 0.4% | |||
|
Asurion LLC, Term Loan, 7.573%, (3 mo. USD Term
SOFR + 3.75%), 2/23/33 |
|
1,524 |
$ 1,431,388 |
|
Bausch Health Cos., Inc., Term Loan, 10/8/30(23)
|
|
1,000 |
972,725 |
|
Clydesdale Acquisition Holdings, Inc., Term Loan,
6.906%, (1 mo. USD Term SOFR + 3.18%),
4/13/29 |
|
1,125 |
1,100,672 |
|
Coreweave Financing DDTL V LLC, Term Loan,
8.12% - 8.14%, (1 mo. USD Term SOFR +
4.50%), 11/17/31 |
|
2,033 |
2,034,459 |
|
CP Atlas Buyer, Inc., Term Loan, 8.981%, (1 mo.
USD Term SOFR + 5.25%), 7/8/30 |
|
6,318 |
5,512,635 |
|
Crash Champions LLC, Term Loan, 8.416%, (3 mo.
USD Term SOFR + 4.75%), 2/23/29 |
|
6,455 |
6,292,955 |
|
E.W. Scripps Co., Term Loan, 7.132%, (1 mo. USD
Term SOFR + 3.35%), 11/30/29 |
|
8,351 |
8,049,541 |
|
LBM Acquisition LLC, Term Loan, 7.574%, (1 mo.
USD Term SOFR + 3.75%), 6/6/31 |
|
6,995 |
5,623,153 |
|
Men's Wearhouse, Inc., Term Loan, 9.414%,
(3 mo. USD Term SOFR + 5.75%), 1/28/31 |
|
1,684 |
1,700,695 |
|
Oak-Eagle AcquireCo, Inc., Term Loan, 8/4/33(23)
|
|
2,000 |
2,014,630 |
|
Borrower/Description |
Principal
Amount*
(000’s omitted) |
Value | |
|
United States (continued) | |||
|
Park River Holdings, Inc., Term Loan, 8.225%,
(3 mo. USD Term SOFR + 4.50%), 3/15/31 |
|
5,055 |
$ 5,063,825 |
|
Peninsula Pacific Entertainment LLC, Term Loan,
8.596%, (6 mo. USD Term SOFR + 4.75%),
10/1/32 |
|
1,145 |
1,151,446 |
|
Proofpoint, Inc., Term Loan, 8/30/30(23)
|
|
654 |
643,168 |
|
Specialty Building Products Holdings LLC, Term
Loan, 7.581%, (1 mo. USD Term SOFR +
3.75%), 10/16/28 |
|
3,964 |
3,712,334 |
|
Sword Purchaser LLC, Term Loan, 7.731%, (1 mo.
USD Term SOFR + 4.00%), 4/11/33 |
|
5,000 |
4,829,475 |
|
Venture Global Calcasieu Pass LLC, Term Loan,
6.954%, (6 mo. USD Term SOFR + 3.25%),
4/11/33 |
|
1,133 |
1,142,532 |
|
Worthington Steel, Inc., Term Loan, 6/1/33(23)
|
|
1,585 |
1,593,123 |
|
|
|
|
$ 52,868,756 |
|
Uzbekistan — 0.1% | |||
|
Joint Stock Commercial Bank Agrobank, Term Loan,
17.25%, 7/21/28(24)
|
UZS |
8,880,000 |
743,303 |
|
JSCB Agrobank, Term Loan, 5.908%, (3 mo.
EURIBOR + 3.50%), 12/21/26(10)
|
EUR |
10,000 |
11,531,498 |
|
|
|
|
$ 12,274,801 |
|
Total Senior Floating-Rate Loans
(identified cost $205,532,345) |
|
|
$ 202,630,469 |
|
Sovereign Government Bonds — 13.9% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Argentina — 0.2% | |||
|
Argentina Bonar Bonds, 0.75% to 7/9/27,
7/9/30(3)
|
USD |
24,000 |
$ 13,101,360 |
|
Argentina Republic Government International
Bonds: |
|
|
|
|
3.50% to 7/9/29, 7/9/41(3)
|
USD |
5,000 |
3,707,500 |
|
4.125% to 7/9/27, 7/9/35(3)
|
USD |
4,500 |
3,568,500 |
|
6.055%, 12/15/35(4)
|
EUR |
15,340 |
2,323,719 |
|
Province of Santa Fe, 8.10%, 12/11/34(9)
|
USD |
2,152 |
2,152,000 |
|
Provincia de Cordoba, 9.75%, 7/2/32(9)
|
USD |
4,000 |
4,281,000 |
|
Provincia del Chubut Argentina, 9.45%, 4/29/36(9)
|
USD |
4,000 |
4,266,880 |
|
|
|
|
$ 33,400,959 |
|
Brazil — 4.1% | |||
|
Brazil Letras do Tesouro Nacional, 0.00%, 10/1/26 |
BRL |
3,122,700 |
$ 602,581,767 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Brazil (continued) | |||
|
Brazil Notas do Tesouro Nacional, 6.00%,
5/15/35(25)
|
BRL |
19,465 |
$ 16,103,157 |
|
|
|
|
$ 618,684,924 |
|
Colombia — 2.2% | |||
|
Colombia TES: |
|
|
|
|
6.50%, 1/22/31 |
COP |
74,323,857 |
$ 23,775,152 |
|
7.25%, 10/18/34 |
COP |
83,117,000 |
19,856,272 |
|
11.75%, 1/24/35 |
COP |
287,497,200 |
89,093,543 |
|
12.50%, 2/27/30 |
COP |
533,048,400 |
168,481,326 |
|
13.25%, 2/9/33 |
COP |
71,821,300 |
23,771,455 |
|
|
|
|
$ 324,977,748 |
|
Hungary — 0.1% | |||
|
Hungary Government Bonds, 7.00%, 10/24/35 |
HUF |
4,706,560 |
$ 16,394,644 |
|
|
|
|
$ 16,394,644 |
|
Iceland — 0.1% | |||
|
Republic of Iceland: |
|
|
|
|
4.50%, 2/17/42 |
ISK |
1,145,294 |
$ 7,260,027 |
|
6.50%, 1/24/31 |
ISK |
45,514 |
354,387 |
|
7.00%, 9/17/35 |
ISK |
384,686 |
3,104,262 |
|
|
|
|
$ 10,718,676 |
|
Kazakhstan — 0.2% | |||
|
Kazakhstan Government Bonds: |
|
|
|
|
5.00%, 4/18/28 |
KZT |
93,325 |
$ 167,514 |
|
7.90%, 12/20/38 |
KZT |
623,606 |
861,815 |
|
10.55%, 7/28/29 |
KZT |
185,948 |
353,723 |
|
14.00%, 5/12/31 |
KZT |
265,171 |
541,399 |
|
14.00%, 2/13/35 |
KZT |
182,343 |
382,992 |
|
14.10%, 5/22/38 |
KZT |
8,376,819 |
17,756,138 |
|
14.45%, 6/5/33 |
KZT |
43,565 |
94,058 |
|
14.94%, 6/18/31 |
KZT |
1,559,016 |
3,364,815 |
|
15.10%, 3/12/34 |
KZT |
4,165,610 |
9,216,887 |
|
15.18%, 2/5/32 |
KZT |
1,247,212 |
2,716,497 |
|
16.95%, 10/9/30 |
KZT |
309,913 |
703,960 |
|
|
|
|
$ 36,159,798 |
|
Kenya — 0.0%† | |||
|
Republic of Kenya Government International
Bonds: |
|
|
|
|
8.25%, 2/28/48(9)
|
USD |
515 |
$ 480,871 |
|
8.70%, 2/26/39(9)
|
USD |
2,236 |
2,154,753 |
|
8.80%, 10/9/38(9)
|
USD |
640 |
624,553 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Kenya (continued) | |||
|
Republic of Kenya Government International
Bonds: (continued) |
|
|
|
|
9.50%, 3/5/36(9)
|
USD |
534 |
$ 551,631 |
|
|
|
|
$ 3,811,808 |
|
Mexico — 2.0% | |||
|
Mexican Bonos, 8.00%, 2/21/36 |
MXN |
5,586,000 |
$ 298,691,914 |
|
|
|
|
$ 298,691,914 |
|
New Zealand — 1.9% | |||
|
New Zealand Government Bonds: |
|
|
|
|
2.75%, 4/15/37(9)
|
NZD |
40,000 |
$ 19,613,849 |
|
4.25%, 5/15/36 |
NZD |
293,000 |
166,842,935 |
|
New Zealand Government Bonds Inflation-Linked,
3.25%, 9/20/50(25)
|
NZD |
153,883 |
91,315,709 |
|
|
|
|
$ 277,772,493 |
|
Peru — 0.1% | |||
|
Peru Government Bonds: |
|
|
|
|
6.90%, 8/12/37 |
PEN |
23,115 |
$ 6,970,101 |
|
7.60%, 8/12/39(9)
|
PEN |
37,775 |
11,924,949 |
|
|
|
|
$ 18,895,050 |
|
Poland — 0.2% | |||
|
Republic of Poland Government Bonds, 2.00%,
8/25/36(25)
|
PLN |
100,960 |
$ 24,371,440 |
|
|
|
|
$ 24,371,440 |
|
Serbia — 0.2% | |||
|
Serbia Treasury Bonds, 4.50%, 8/20/32 |
RSD |
3,319,480 |
$ 31,151,976 |
|
|
|
|
$ 31,151,976 |
|
South Africa — 2.3% | |||
|
Republic of South Africa Government Bonds: |
|
|
|
|
6.25%, 3/31/36 |
ZAR |
637,100 |
$ 32,399,260 |
|
8.50%, 1/31/37 |
ZAR |
2,338,386 |
137,888,280 |
|
8.875%, 2/28/35 |
ZAR |
2,602,771 |
160,286,672 |
|
10.875%, 3/31/38 |
ZAR |
230,000 |
15,736,864 |
|
|
|
|
$ 346,311,076 |
|
United Kingdom — 0.1% | |||
|
U.K. Gilts, 4.125%, 1/29/27(9)(26)
|
GBP |
11,800 |
$ 15,909,199 |
|
|
|
|
$ 15,909,199 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Uzbekistan — 0.0%† | |||
|
Republic of Uzbekistan Bonds, 16.25%,
10/12/26(9)
|
UZS |
6,450,000 |
$ 547,810 |
|
|
|
|
$ 547,810 |
|
Venezuela — 0.2% | |||
|
Venezuela Government International Bonds: |
|
|
|
|
6.00%, 12/9/20(9)(17)
|
USD |
531 |
$ 226,103 |
|
7.00%, 3/31/38(9)(17)
|
USD |
183 |
80,245 |
|
7.65%, 4/21/25(9)(17)
|
USD |
10,276 |
4,655,131 |
|
7.75%, 10/13/19(9)(17)
|
USD |
11,340 |
5,247,421 |
|
8.25%, 10/13/24(9)(17)
|
USD |
4,663 |
2,170,766 |
|
9.00%, 5/7/23(9)(17)
|
USD |
122 |
59,170 |
|
9.25%, 9/15/27(17)
|
USD |
22,489 |
11,206,718 |
|
9.25%, 5/7/28(9)(17)
|
USD |
10,905 |
5,329,868 |
|
9.375%, 1/13/34(17)
|
USD |
1,120 |
550,491 |
|
11.75%, 10/21/26(9)(17)
|
USD |
1,521 |
836,495 |
|
11.95%, 8/5/31(9)(17)
|
USD |
4,558 |
2,504,566 |
|
12.75%, 8/23/22(9)(17)
|
USD |
551 |
307,903 |
|
|
|
|
$ 33,174,877 |
|
Total Sovereign Government Bonds
(identified cost $2,022,097,023) |
|
|
$2,090,974,392 |
|
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.1% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
FRESB Mortgage Trust: |
|
|
|
|
Interest Only:(6) |
|
|
|
|
Series 2021-SB91, Class X1, 0.655%,
8/25/41(4)
|
$ |
20,396 |
$ 491,133 |
|
Series 2021-SB92, Class X1, 0.522%,
8/25/41(4)
|
|
17,894 |
457,828 |
|
Government National Mortgage Association: |
|
|
|
|
Interest Only:(6) |
|
|
|
|
Series 2021-101, Class IO, 0.662%, 4/16/63(4)
|
|
23,059 |
1,156,589 |
|
Series 2021-132, Class IO, 0.71%, 4/16/63(4)
|
|
59,948 |
3,046,970 |
|
Series 2021-144, Class IO, 0.808%, 4/16/63(4)
|
|
23,109 |
1,345,253 |
|
Series 2021-186, Class IO, 0.736%, 5/16/63(4)
|
|
42,171 |
2,317,472 |
|
Series 2022-3, Class IO, 0.64%, 2/16/61(4)
|
|
64,024 |
2,899,733 |
|
Total U.S. Government Agency Commercial
Mortgage-Backed Securities
(identified cost $14,812,861) |
|
|
$ 11,714,978 |
|
U.S. Government Agency Mortgage-Backed Securities — 25.3% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Federal Home Loan Mortgage Corp.: |
|
|
|
|
4.23%, (COF + 1.254%), with maturity at
2035(27)
|
$ |
12 |
$ 11,657 |
|
4.637%, (COF + 1.25%), with maturity at
2030(27)
|
|
15 |
15,254 |
|
6.00%, with various maturities to 2055 |
|
8,125 |
8,253,929 |
|
6.50%, with maturity at 2053 |
|
4,083 |
4,245,736 |
|
7.00%, with various maturities to 2053 |
|
922 |
976,659 |
|
Federal National Mortgage Association: |
|
|
|
|
3.988%, (COF + 1.254%), with maturity at
2035(27)
|
|
2 |
2,294 |
|
4.985%, (COF + 1.793%), with maturity at
2035(27)
|
|
161 |
159,823 |
|
5.50%, with maturity at 2054 |
|
1,150 |
1,147,670 |
|
6.00%, with various maturities to 2053 |
|
11,210 |
11,407,683 |
|
6.50%, with various maturities to 2055 |
|
47,936 |
49,582,120 |
|
8.50%, with maturity at 2032 |
|
36 |
37,496 |
|
Government National Mortgage Association: |
|
|
|
|
5.00%, 30-Year, TBA(28)
|
|
468,700 |
453,950,456 |
|
5.00%, with maturity at 2052 |
|
13,634 |
13,343,260 |
|
5.50%, 30-Year, TBA(28)
|
|
196,000 |
194,873,578 |
|
5.50%, with various maturities to 2063 |
|
51,004 |
51,047,359 |
|
5.50%, with maturity at 2056(26)
|
|
121,200 |
120,641,916 |
|
6.00%, with various maturities to 2066 |
|
257,990 |
263,719,363 |
|
6.00%, 30-Year, TBA(28)
|
|
262,000 |
265,597,640 |
|
6.50%, with various maturities to 2066 |
|
313,117 |
323,256,425 |
|
7.00%, with various maturities to 2064 |
|
18,512 |
19,232,899 |
|
7.50%, with various maturities to 2054 |
|
2,220 |
2,308,985 |
|
8.00%, with various maturities to 2054 |
|
1,404 |
1,452,548 |
|
Uniform Mortgage-Backed Security: |
|
|
|
|
5.00%, 30-Year, TBA(28)
|
|
942,300 |
909,908,485 |
|
5.50%, 30-Year, TBA(28)
|
|
1,139,800 |
1,128,669,112 |
|
Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $3,833,086,696) |
|
|
$3,823,842,347 |
|
U.S. Government Guaranteed Small Business Administration Loans —
0.0%†
|
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
SBA IO Trust:
Interest Only:(29)(30) Series 2018-1, Class A, 2.786%, 3/25/44(1)(4)
|
$ |
97,109 |
$ 5,207,990 |
|
Total U.S. Government Guaranteed Small Business
Administration Loans
(identified cost $30,340,116) |
|
|
$ 5,207,990 |
|
Short-Term Investments — 7.1% |
|
Affiliated Fund — 5.9% |
|
Security |
Shares |
Value | |
|
Morgan Stanley Institutional Liquidity Funds -
Government Portfolio, Institutional Class, 3.59%(31)
|
|
885,770,468 |
$ 885,770,468 |
|
Total Affiliated Fund
(identified cost $885,770,468) |
|
|
$ 885,770,468 |
|
Sovereign Government Securities — 0.4% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
Hungary — 0.4% | |||
|
National Bank of Hungary Bills, 0.00%, 8/6/26 |
HUF |
22,063,000 |
$ 69,714,188 |
|
Total Sovereign Government Securities
(identified cost $69,524,610) |
|
|
$ 69,714,188 |
|
U.S. Treasury Obligations — 0.8% |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
U.S. Treasury Bills: |
|
|
|
|
0.00%, 8/6/26(26)
|
$ |
15,798 |
$ 15,793,067 |
|
0.00%, 8/13/26(26)
|
|
14,960 |
14,945,040 |
|
0.00%, 9/3/26 |
|
15,040 |
14,992,964 |
|
0.00%, 9/10/26(26)
|
|
10,202 |
10,163,162 |
|
0.00%, 9/17/26(26)
|
|
10,000 |
9,954,374 |
|
0.00%, 10/8/26(26)
|
|
8,000 |
7,946,161 |
|
0.00%, 10/15/26(26)
|
|
5,500 |
5,458,989 |
|
0.00%, 10/22/26(26)
|
|
14,890 |
14,768,363 |
|
0.00%, 10/29/26(26)
|
|
11,900 |
11,794,408 |
|
Security |
Principal
Amount
(000's omitted) |
Value | |
|
U.S. Treasury Bills: (continued) |
|
|
|
|
0.00%, 11/5/26(26)
|
$ |
9,600 |
$ 9,507,268 |
|
Total U.S. Treasury Obligations
(identified cost $115,297,978) |
|
|
$ 115,323,796 |
|
Total Short-Term Investments
(identified cost $1,070,593,056) |
|
|
$1,070,808,452 |
|
|
|
| |
|
Total Purchased Options and Swaptions — 0.0%†
(identified cost $2,261,589) |
|
|
$ 2,163,544 |
|
Total Investments — 118.6%
(identified cost $17,914,490,009) |
|
|
$17,901,232,500 |
|
Less Unfunded Loan Commitments — (0.3)% |
|
|
$ (52,486,833) |
|
Net Investments — 118.3%
(identified cost $17,862,003,176) |
|
|
$17,848,745,667 |
|
Total Written Options and Swaptions — (0.0)%†
(premiums received $633,841) |
|
|
$ (599,764) |
|
Other Assets, Less Liabilities — (18.3)% |
|
|
$(2,755,059,904) |
|
Net Assets — 100.0% |
|
|
$15,093,085,999 |
|
The percentage shown for each investment category in the Consolidated
Portfolio of Investments is based on net assets. | |
|
†
|
Amount is less than 0.05% or (0.05)%, as applicable. |
|
* |
In U.S. dollars unless otherwise indicated. |
|
(1)
|
Security exempt from registration under Rule 144A of the Securities Act
of 1933, as amended. These securities may be sold in certain
transactions in reliance on an exemption from registration (normally to
qualified institutional buyers). At July 31, 2026, the aggregate value of
these securities is $4,406,410,772 or 29.2% of the Portfolio's net
assets. |
|
(2)
|
Variable rate security. The stated interest rate represents the rate in effect
at July 31, 2026. |
|
(3)
|
Step coupon security. Interest rate represents the rate in effect at
July 31, 2026. |
|
(4)
|
Weighted average fixed-rate coupon that changes/updates monthly. Rate
shown is the rate at July 31, 2026. |
|
(5)
|
Inverse floating-rate security whose coupon varies inversely with changes
in the interest rate index. The stated interest rate represents the coupon
rate in effect at July 31, 2026. |
|
(6)
|
Interest only security that entitles the holder to receive only interest
payments on the underlying mortgages. Principal amount shown is the
notional amount of the underlying mortgages on which coupon interest is
calculated. |
|
(7)
|
Principal only security that entitles the holder to receive only principal
payments on the underlying mortgages. |
|
(8)
|
Non-income producing security. |
|
(9)
|
Security exempt from registration under Regulation S of the Securities
Act of 1933, as amended, which exempts from registration securities
offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in
a transaction not subject to, the registration requirements of the
Securities Act of 1933, as amended. At July 31, 2026, the aggregate
value of these securities is $707,362,551 or 4.7% of the Portfolio's net
assets. |
|
(10)
|
Security is valued using significant unobservable inputs and is
categorized as Level 3 in the fair value hierarchy. |
|
(11)
|
Restricted security. |
|
(12)
|
Represents a payment-in-kind security which may pay interest in
additional principal at the issuer’s discretion. |
|
(13)
|
When-issued security. |
|
(14)
|
Perpetual security with no stated maturity date but may be subject to
calls by the issuer. |
|
(15)
|
Security converts to variable rate after the indicated fixed-rate coupon
period. |
|
(16)
|
Variable rate security whose coupon rate is linked to the issuer’s mining
activity revenue. The coupon rate shown represents the rate in effect at
July 31, 2026. |
|
(17)
|
Issuer is in default with respect to interest and/or principal payments or
has declared bankruptcy and is non-income producing. For a variable
rate security, interest rate has been adjusted to reflect non-accrual
status. |
|
(18)
|
Represents a participation interest, through a participation agreement
with a financial institution, in mortgage loans guaranteed by Government
National Mortgage Association. |
|
(19)
|
Quantity held represents principal in USD. |
|
(20)
|
Security is subject to risk of loss depending on the occurrence, frequency
and severity of the loss events that are covered by underlying reinsurance
contracts and that may occur during a specified risk period. |
|
(21)
|
Senior floating-rate loans (Senior Loans) often require prepayments from
excess cash flows or permit the borrowers to repay at their election. The
degree to which borrowers repay, whether as a contractual requirement
or at their election, cannot be predicted with accuracy. As a result, the
actual remaining maturity may be substantially less than the stated
maturities shown. However, Senior Loans will typically have an expected
average life of approximately two to four years. Senior Loans typically
have rates of interest which are redetermined periodically by reference to
a base lending rate, plus a spread. These base lending rates are
primarily the Secured Overnight Financing Rate (“SOFR”) and
secondarily, the prime rate offered by one or more major United States
banks (the “Prime Rate”). Base lending rates may be subject to a floor,
or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and
may also be subject to a credit spread adjustment. Senior Loans are
generally subject to contractual restrictions that must be satisfied before
they can be bought or sold. |
|
(22)
|
Unfunded or partially unfunded loan commitments. The stated interest
rate reflects the reference rate and spread for the funded portion, if any.
At July 31, 2026, the total value of unfunded loan commitments is
$51,335,131. |
|
(23)
|
This Senior Loan will settle after July 31, 2026, at which time the
interest rate will be determined. |
|
(24)
|
Fixed-rate loan. |
|
(25)
|
Inflation-linked security whose principal is adjusted for inflation based on
changes in a designated inflation index or inflation rate for the applicable
country. Interest is calculated based on the inflation-adjusted principal. |
|
(26)
|
Security (or a portion thereof) has been pledged to cover collateral
requirements on open derivative contracts. |
|
(27)
|
Adjustable rate mortgage security whose interest rate generally adjusts
monthly based on a weighted average of interest rates on the underlying
mortgages. The coupon rate may not reflect the applicable index value
as interest rates on the underlying mortgages may adjust on various
dates and at various intervals and may be subject to lifetime ceilings and
lifetime floors and lookback periods. Rate shown is the coupon rate at
July 31, 2026. |
|
(28)
|
TBA (To Be Announced) securities are purchased or sold on a forward
commitment basis with an approximate principal amount and maturity
date. The actual principal amount, which is not expected to differ
significantly from the commitment amount, and maturity date are
determined upon settlement. |
|
(29)
|
Interest only security that entitles the holder to receive only a portion of
the interest payments on the underlying loans. Principal amount shown
is the notional amount of the underlying loans on which coupon interest
is calculated. |
|
(30)
|
The stated interest rate represents the weighted average fixed interest
rate at July 31, 2026 of all interest only securities comprising the trust. |
|
(31)
|
May be deemed to be an affiliated investment company. The rate shown
is the annualized seven-day yield as of July 31, 2026. |
|
Purchased Currency Options (OTC) — 0.0%† | |||||||
|
Description |
Counterparty |
Notional Amount |
Exercise
Price |
Expiration
Date |
Value | ||
|
Put USD vs. Call CLP |
Bank of America, N.A. |
USD |
951,318 |
CLP |
875.00 |
10/26/26 |
$126,311 |
|
Put USD vs. Call CLP |
Bank of America, N.A. |
USD |
8,767,000 |
CLP |
886.00 |
1/27/27 |
112,822 |
|
Put USD vs. Call CNH |
Standard Chartered Bank |
USD |
43,300,000 |
CNH |
6.60 |
11/10/26 |
34,164 |
|
Put USD vs. Call INR |
Bank of America, N.A. |
USD |
300,000 |
INR |
92.00 |
9/30/26 |
7,392 |
|
Put USD vs. Call INR |
Bank of America, N.A. |
USD |
160,000 |
INR |
92.00 |
10/1/26 |
4,034 |
|
Put USD vs. Call INR |
Barclays Bank PLC |
USD |
6,000,000 |
INR |
94.00 |
9/10/26 |
7,716 |
|
Put USD vs. Call INR |
Barclays Bank PLC |
USD |
200,000 |
INR |
92.00 |
9/30/26 |
4,928 |
|
Put USD vs. Call INR |
Barclays Bank PLC |
USD |
74,000 |
INR |
92.00 |
10/1/26 |
1,866 |
|
Put USD vs. Call INR |
Goldman Sachs International |
USD |
5,000,000 |
INR |
94.00 |
9/10/26 |
6,430 |
|
Put USD vs. Call INR |
Goldman Sachs International |
USD |
9,500,000 |
INR |
95.00 |
10/16/26 |
46,550 |
|
Put USD vs. Call INR |
JPMorgan Chase Bank, N.A. |
USD |
250,000 |
INR |
92.00 |
9/30/26 |
6,160 |
|
Put USD vs. Call INR |
JPMorgan Chase Bank, N.A. |
USD |
9,000,000 |
INR |
95.00 |
10/16/26 |
44,100 |
|
Total |
|
|
|
|
|
|
$402,473 |
|
†
|
Amount is less than 0.05% or (0.05)%, as applicable. |
|
Purchased Interest Rate Swaptions (OTC) — 0.0%† | |||||
|
Description |
Counterparty |
Notional Amount |
Expiration
Date |
Value | |
|
Option to enter into interest rate swap expiring
6/11/32 to receive 3-month ZAR-JIBAR and pay
8.02% |
JPMorgan Chase Bank, N.A. |
ZAR |
247,820,000 |
6/11/27 |
$250,804 |
|
Option to enter into interest rate swap expiring
6/11/32 to receive 6-month PLN-WIBOR and
pay 4.88% |
JPMorgan Chase Bank, N.A. |
PLN |
47,646,000 |
6/9/27 |
137,575 |
|
Option to enter into interest rate swap expiring
6/14/32 to receive 3-month ZAR-JIBAR and pay
7.86% |
JPMorgan Chase Bank, N.A. |
ZAR |
173,099,000 |
6/14/27 |
207,007 |
|
Option to enter into interest rate swap expiring
6/15/32 to receive 6-month PLN-WIBOR and
pay 4.77% |
Bank of America, N.A. |
PLN |
17,729,000 |
6/11/27 |
60,019 |
|
Option to enter into interest rate swap expiring
6/23/32 to receive 6-month PLN-WIBOR and
pay 4.47% |
JPMorgan Chase Bank, N.A. |
PLN |
24,178,000 |
6/21/27 |
154,383 |
|
Option to enter into interest rate swap expiring
6/9/32 to receive 3-month ZAR-JIBAR and pay
8.09% |
JPMorgan Chase Bank, N.A. |
ZAR |
246,954,000 |
6/9/27 |
229,813 |
|
Total |
|
|
|
|
$1,039,601 |
|
† Amount is less than 0.05% or (0.05)%, as applicable. |
|
Purchased Put Options (Exchange-Traded) — 0.0%† | |||||||
|
Description |
Number of
Contracts |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value | ||
|
CBOT 2 - Year U.S. Treasury Notes Futures 09/26 |
834 |
$ |
171,478,220 |
$ |
102.75 |
8/21/26 |
$247,595 |
|
CBOT 2 - Year U.S. Treasury Notes Futures 09/26 |
174 |
|
35,776,031 |
|
103 |
8/21/26 |
97,875 |
|
CBOT 5 - Year U.S. Treasury Notes Futures 09/26 |
313 |
|
33,170,664 |
|
106 |
8/21/26 |
127,156 |
|
CBOT 5 - Year U.S. Treasury Notes Futures 09/26 |
209 |
|
22,149,102 |
|
106.25 |
8/21/26 |
111,031 |
|
CBOT 5 - Year U.S. Treasury Notes Futures 11/26 |
168 |
|
17,804,063 |
|
106 |
10/23/26 |
137,813 |
|
Total |
|
|
|
|
|
|
$721,470 |
|
†
|
Amount is less than 0.05% or (0.05)%, as applicable. |
|
Written Currency Options (OTC) — (0.0)%† | |||||||
|
Description |
Counterparty |
Notional Amount |
Exercise
Price |
Expiration
Date |
Value | ||
|
Call EUR vs. Put HUF |
BNP Paribas |
EUR |
2,062,000 |
HUF |
414.70 |
7/18/28 |
$(51,453
) |
|
Call EUR vs. Put HUF |
JPMorgan Chase Bank, N.A. |
EUR |
1,851,000 |
HUF |
397.40 |
6/7/28 |
(62,886
) |
|
Call EUR vs. Put HUF |
JPMorgan Chase Bank, N.A. |
EUR |
1,851,000 |
HUF |
400.76 |
6/8/28 |
(58,453
) |
|
Call EUR vs. Put HUF |
JPMorgan Chase Bank, N.A. |
EUR |
2,484,000 |
HUF |
397.40 |
6/29/28 |
(87,322
) |
|
Call EUR vs. Put HUF |
JPMorgan Chase Bank, N.A. |
EUR |
4,123,000 |
HUF |
399.60 |
7/13/28 |
(140,960
) |
|
Call HUF vs. Put EUR |
BNP Paribas |
EUR |
2,062,000 |
HUF |
351.90 |
7/18/28 |
(30,861
) |
|
Call HUF vs. Put EUR |
JPMorgan Chase Bank, N.A. |
EUR |
1,851,000 |
HUF |
348.10 |
6/7/28 |
(21,846
) |
|
Call HUF vs. Put EUR |
JPMorgan Chase Bank, N.A. |
EUR |
1,851,000 |
HUF |
350.40 |
6/8/28 |
(24,722
) |
|
Call HUF vs. Put EUR |
JPMorgan Chase Bank, N.A. |
EUR |
2,484,000 |
HUF |
350.30 |
6/29/28 |
(33,648
) |
|
Written Currency Options (OTC) (continued) | |||||||
|
Description |
Counterparty |
Notional Amount |
Exercise
Price |
Expiration
Date |
Value | ||
|
Call HUF vs. Put EUR |
JPMorgan Chase Bank, N.A. |
EUR |
4,123,000 |
HUF |
353.10 |
7/13/28 |
$(65,202
) |
|
Call USD vs. Put INR |
Barclays Bank PLC |
USD |
6,000,000 |
INR |
100.00 |
9/10/26 |
(1,572
) |
|
Call USD vs. Put INR |
Goldman Sachs International |
USD |
5,000,000 |
INR |
100.00 |
9/10/26 |
(1,310
) |
|
Call USD vs. Put INR |
Goldman Sachs International |
USD |
9,500,000 |
INR |
100.50 |
10/16/26 |
(8,693
) |
|
Call USD vs. Put INR |
JPMorgan Chase Bank, N.A. |
USD |
9,000,000 |
INR |
100.00 |
10/16/26 |
(10,836
) |
|
Total |
|
|
|
|
|
|
$(599,764
) |
|
† Amount is less than 0.05% or (0.05)%, as applicable. |
|
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
|
Currency Purchased |
Currency Sold |
Settlement
Date |
Value/Unrealized
Appreciation
(Depreciation) | ||
|
EUR |
2,940,523 |
USD |
3,363,955 |
9/16/26 |
$32,678 |
|
EUR |
333,904 |
USD |
386,007 |
9/16/26 |
(310
) |
|
EUR |
494,826 |
USD |
572,039 |
9/16/26 |
(460
) |
|
EUR |
1,084,472 |
USD |
1,253,694 |
9/16/26 |
(1,008
) |
|
EUR |
1,114,601 |
USD |
1,288,525 |
9/16/26 |
(1,036
) |
|
KRW |
73,804,000,000 |
USD |
48,702,653 |
9/16/26 |
2,463,693 |
|
KRW |
45,657,000,000 |
USD |
30,110,796 |
9/16/26 |
1,541,985 |
|
KRW |
36,782,000,000 |
USD |
24,187,545 |
9/16/26 |
1,312,435 |
|
KRW |
35,671,000,000 |
USD |
23,466,991 |
9/16/26 |
1,262,762 |
|
KRW |
11,615,000,000 |
USD |
7,623,400 |
9/16/26 |
428,970 |
|
KRW |
7,035,300,000 |
USD |
4,798,159 |
9/16/26 |
79,227 |
|
PEN |
94,730,000 |
USD |
27,874,062 |
9/16/26 |
(45,697
) |
|
TWD |
271,604,400 |
USD |
8,411,149 |
9/16/26 |
9,927 |
|
TWD |
118,826,869 |
USD |
3,678,167 |
9/16/26 |
6,052 |
|
TWD |
175,410,731 |
USD |
5,432,859 |
9/16/26 |
5,738 |
|
TWD |
146,894,944 |
USD |
4,633,471 |
9/16/26 |
(79,004
) |
|
TWD |
154,538,662 |
USD |
4,885,857 |
9/16/26 |
(94,396
) |
|
TWD |
216,828,018 |
USD |
6,829,874 |
9/16/26 |
(107,137
) |
|
TWD |
173,667,776 |
USD |
5,500,733 |
9/16/26 |
(116,176
) |
|
TWD |
228,239,955 |
USD |
7,197,826 |
9/16/26 |
(121,262
) |
|
TWD |
237,785,550 |
USD |
7,516,965 |
9/16/26 |
(144,441
) |
|
TWD |
281,055,421 |
USD |
8,867,500 |
9/16/26 |
(153,397
) |
|
TWD |
359,001,300 |
USD |
11,308,196 |
9/16/26 |
(177,386
) |
|
TWD |
387,386,649 |
USD |
12,250,155 |
9/16/26 |
(239,259
) |
|
TWD |
393,713,646 |
USD |
12,447,353 |
9/16/26 |
(240,289
) |
|
TWD |
538,670,249 |
USD |
16,995,701 |
9/16/26 |
(294,268
) |
|
TWD |
684,719,867 |
USD |
21,592,231 |
9/16/26 |
(362,539
) |
|
TWD |
787,428,523 |
USD |
24,843,073 |
9/16/26 |
(428,907
) |
|
TWD |
1,116,069,440 |
USD |
35,211,792 |
9/16/26 |
(608,137
) |
|
USD |
9,062,481 |
COP |
32,282,823,000 |
9/16/26 |
(1,068,861
) |
|
USD |
13,280,807 |
COP |
46,436,340,000 |
9/16/26 |
(1,292,345
) |
|
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
|
Currency Purchased |
Currency Sold |
Settlement
Date |
Value/Unrealized
Appreciation
(Depreciation) | ||
|
USD |
15,029,473 |
COP |
53,798,000,000 |
9/16/26 |
$(1,853,993
) |
|
USD |
14,649,262 |
COP |
52,902,000,000 |
9/16/26 |
(1,953,012
) |
|
USD |
19,868,318 |
COP |
69,598,719,000 |
9/16/26 |
(1,973,899
) |
|
USD |
17,511,569 |
COP |
64,120,360,000 |
9/16/26 |
(2,611,371
) |
|
USD |
31,982,600 |
COP |
116,032,873,000 |
9/16/26 |
(4,432,083
) |
|
USD |
40,047,297 |
COP |
145,369,686,000 |
9/16/26 |
(5,574,179
) |
|
USD |
85,858,628 |
COP |
301,836,008,000 |
9/16/26 |
(8,866,790
) |
|
USD |
46,869,362 |
EUR |
40,543,000 |
9/16/26 |
37,669 |
|
USD |
26,211,671 |
EUR |
22,673,655 |
9/16/26 |
21,067 |
|
USD |
18,595,058 |
EUR |
16,085,123 |
9/16/26 |
14,945 |
|
USD |
11,560,408 |
EUR |
10,000,000 |
9/16/26 |
9,291 |
|
USD |
8,462,759 |
EUR |
7,320,467 |
9/16/26 |
6,802 |
|
USD |
7,164,088 |
EUR |
6,197,089 |
9/16/26 |
5,758 |
|
USD |
3,579,550 |
EUR |
3,096,388 |
9/16/26 |
2,877 |
|
USD |
3,399,365 |
EUR |
2,940,523 |
9/16/26 |
2,732 |
|
USD |
1,040,437 |
EUR |
900,000 |
9/16/26 |
836 |
|
USD |
460,636 |
EUR |
398,460 |
9/16/26 |
370 |
|
USD |
381,986 |
EUR |
333,904 |
9/16/26 |
(3,711
) |
|
USD |
7,726,591 |
INR |
742,000,000 |
9/16/26 |
(20,988
) |
|
USD |
27,846,204 |
PEN |
94,730,000 |
9/16/26 |
17,838 |
|
USD |
527,964 |
PEN |
1,796,080 |
9/16/26 |
338 |
|
USD |
60,321,994 |
BRL |
328,163,710 |
10/1/26 |
(3,554,716
) |
|
USD |
110,153,959 |
BRL |
599,568,000 |
10/1/26 |
(6,551,300
) |
|
USD |
109,754,758 |
BRL |
599,568,290 |
10/1/26 |
(6,950,558
) |
|
USD |
68,930,641 |
BRL |
354,400,000 |
10/2/26 |
(39,357
) |
|
USD |
137,935,060 |
BRL |
709,000,000 |
10/2/26 |
(43,859
) |
|
USD |
103,483,826 |
BRL |
532,000,000 |
10/2/26 |
(49,016
) |
|
|
|
|
|
|
$(42,791,157
) |
|
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
EUR |
8,844,000 |
USD |
10,078,468 |
UBS AG |
8/3/26 |
$119,989 |
$ — |
|
KZT |
3,134,162,097 |
USD |
6,592,130 |
Citibank, N.A. |
8/3/26 |
15,914 |
— |
|
KZT |
3,134,162,097 |
USD |
6,614,808 |
Deutsche Bank AG |
8/3/26 |
— |
(6,764
) |
|
PHP |
124,446,000 |
USD |
2,017,345 |
Societe Generale |
8/3/26 |
15,422 |
— |
|
PHP |
109,512,400 |
USD |
1,777,193 |
Societe Generale |
8/3/26 |
11,641 |
— |
|
PHP |
83,513,880 |
USD |
1,352,934 |
Societe Generale |
8/3/26 |
11,227 |
— |
|
PHP |
84,084,800 |
USD |
1,363,243 |
Societe Generale |
8/3/26 |
10,243 |
— |
|
PHP |
82,216,296 |
USD |
1,333,684 |
Societe Generale |
8/3/26 |
9,280 |
— |
|
PHP |
82,216,296 |
USD |
1,334,052 |
Societe Generale |
8/3/26 |
8,913 |
— |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
PHP |
55,011,500 |
USD |
893,029 |
Societe Generale |
8/3/26 |
$5,558 |
$ — |
|
TRY |
281,617,790 |
USD |
5,914,849 |
JPMorgan Chase Bank, N.A. |
8/3/26 |
11,607 |
— |
|
USD |
6,614,808 |
KZT |
3,134,162,097 |
Citibank, N.A. |
8/3/26 |
6,764 |
— |
|
USD |
6,214,876 |
KZT |
3,134,162,097 |
Deutsche Bank AG |
8/3/26 |
— |
(393,167
) |
|
USD |
2,668,382 |
PHP |
163,944,300 |
Citibank, N.A. |
8/3/26 |
— |
(9,571
) |
|
USD |
2,019,221 |
PHP |
124,200,272 |
Societe Generale |
8/3/26 |
— |
(9,532
) |
|
USD |
5,412,390 |
PHP |
332,856,600 |
Societe Generale |
8/3/26 |
— |
(24,666
) |
|
USD |
5,937,546 |
TRY |
281,617,790 |
JPMorgan Chase Bank, N.A. |
8/3/26 |
11,089 |
— |
|
USD |
60,878,681 |
ZAR |
1,003,190,874 |
Citibank, N.A. |
8/3/26 |
157,436 |
— |
|
BRL |
100,000,000 |
USD |
19,649,840 |
Goldman Sachs International |
8/4/26 |
77,334 |
— |
|
BRL |
11,271,000 |
USD |
2,164,320 |
Societe Generale |
8/4/26 |
59,130 |
— |
|
BRL |
19,829,000 |
USD |
3,882,710 |
Societe Generale |
8/4/26 |
28,991 |
— |
|
BRL |
20,000,000 |
USD |
3,928,470 |
Societe Generale |
8/4/26 |
16,964 |
— |
|
BRL |
164 |
USD |
31 |
Societe Generale |
8/4/26 |
1 |
— |
|
TRY |
443,970,836 |
USD |
9,326,041 |
Barclays Bank PLC |
8/4/26 |
9,784 |
— |
|
USD |
19,695,507 |
BRL |
100,000,000 |
Goldman Sachs International |
8/4/26 |
— |
(31,666
) |
|
USD |
1,741,527 |
BRL |
9,000,000 |
Societe Generale |
8/4/26 |
— |
(33,919
) |
|
USD |
1,958,993 |
BRL |
10,140,000 |
Societe Generale |
8/4/26 |
— |
(41,343
) |
|
USD |
4,876,954 |
BRL |
25,000,000 |
Societe Generale |
8/4/26 |
— |
(54,839
) |
|
USD |
2,898,551 |
BRL |
15,000,000 |
Societe Generale |
8/4/26 |
— |
(60,525
) |
|
USD |
5,797,662 |
BRL |
30,000,000 |
Societe Generale |
8/4/26 |
— |
(120,490
) |
|
USD |
12,087,947 |
BRL |
61,960,000 |
Societe Generale |
8/4/26 |
— |
(135,010
) |
|
TRY |
301,669,778 |
USD |
6,333,609 |
JPMorgan Chase Bank, N.A. |
8/5/26 |
4,995 |
— |
|
PHP |
112,281,200 |
USD |
1,826,007 |
Societe Generale |
8/6/26 |
8,310 |
— |
|
PHP |
110,339,300 |
USD |
1,794,602 |
Societe Generale |
8/6/26 |
7,991 |
— |
|
PHP |
112,281,200 |
USD |
1,826,453 |
Societe Generale |
8/6/26 |
7,865 |
— |
|
PHP |
55,161,800 |
USD |
896,488 |
Societe Generale |
8/6/26 |
4,680 |
— |
|
PHP |
54,983,700 |
USD |
894,393 |
Societe Generale |
8/6/26 |
3,866 |
— |
|
USD |
7,218,933 |
PHP |
445,047,200 |
Societe Generale |
8/6/26 |
— |
(51,723
) |
|
EUR |
1,157,404 |
USD |
1,320,928 |
Societe Generale |
8/7/26 |
13,890 |
— |
|
EUR |
390,000 |
USD |
445,101 |
Societe Generale |
8/7/26 |
4,680 |
— |
|
EUR |
1,075,556 |
USD |
1,232,982 |
UBS AG |
8/7/26 |
7,441 |
— |
|
PHP |
221,213,228 |
USD |
3,594,041 |
Societe Generale |
8/7/26 |
20,048 |
— |
|
PHP |
81,818,400 |
USD |
1,328,782 |
Societe Generale |
8/7/26 |
7,933 |
— |
|
TRY |
475,101,596 |
USD |
9,966,574 |
JPMorgan Chase Bank, N.A. |
8/7/26 |
694 |
— |
|
USD |
5,589,332 |
EUR |
4,890,000 |
BNP Paribas |
8/7/26 |
— |
(50,235
) |
|
USD |
236,311 |
EUR |
206,966 |
Citibank, N.A. |
8/7/26 |
— |
(2,380
) |
|
USD |
78,729 |
EUR |
69,000 |
JPMorgan Chase Bank, N.A. |
8/7/26 |
— |
(848
) |
|
USD |
1,342,490 |
EUR |
1,176,297 |
Societe Generale |
8/7/26 |
— |
(14,116
) |
|
USD |
6,154,366 |
EUR |
5,392,488 |
Societe Generale |
8/7/26 |
— |
(64,713
) |
|
USD |
6,572,067 |
EUR |
5,758,480 |
Societe Generale |
8/7/26 |
— |
(69,106
) |
|
USD |
10,382,830 |
EUR |
9,097,491 |
Societe Generale |
8/7/26 |
— |
(109,176
) |
|
USD |
48,971,505 |
EUR |
42,909,094 |
Societe Generale |
8/7/26 |
— |
(514,938
) |
|
USD |
3,889,194 |
EUR |
3,400,000 |
Standard Chartered Bank |
8/7/26 |
— |
(31,977
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
USD |
934,784 |
EUR |
820,000 |
State Street Bank and Trust Company |
8/7/26 |
$ — |
$(10,910
) |
|
USD |
622,884 |
EUR |
544,425 |
UBS AG |
8/7/26 |
— |
(4,993
) |
|
USD |
10,080,148 |
EUR |
8,844,000 |
UBS AG |
8/7/26 |
— |
(119,510
) |
|
USD |
1,838,384 |
KZT |
873,048,657 |
Deutsche Bank AG |
8/7/26 |
246 |
— |
|
USD |
98,134 |
KZT |
48,666,533 |
Goldman Sachs International |
8/7/26 |
— |
(4,330
) |
|
USD |
4,929,732 |
PHP |
303,031,628 |
Societe Generale |
8/7/26 |
— |
(21,072
) |
|
TRY |
281,617,790 |
USD |
5,905,794 |
JPMorgan Chase Bank, N.A. |
8/10/26 |
— |
(11,341
) |
|
USD |
6,577,465 |
KZT |
3,134,162,097 |
Citibank, N.A. |
8/10/26 |
— |
(12,002
) |
|
USD |
3,145,089 |
KZT |
1,562,008,283 |
Deutsche Bank AG |
8/10/26 |
— |
(138,979
) |
|
USD |
5,599,074 |
KZT |
2,780,780,220 |
Deutsche Bank AG |
8/10/26 |
— |
(247,419
) |
|
PEN |
21,000,000 |
USD |
6,201,093 |
Societe Generale |
8/11/26 |
— |
(23,532
) |
|
PEN |
13,000,000 |
USD |
3,868,472 |
Societe Generale |
8/11/26 |
— |
(44,268
) |
|
ISK |
3,530,543,310 |
EUR |
24,510,853 |
JPMorgan Chase Bank, N.A. |
8/17/26 |
352,340 |
— |
|
ISK |
1,438,368,676 |
EUR |
9,995,613 |
JPMorgan Chase Bank, N.A. |
8/20/26 |
127,127 |
— |
|
EGP |
450,000,000 |
USD |
8,840,864 |
Standard Chartered Bank |
8/25/26 |
— |
(128,583
) |
|
USD |
1,087,257 |
KZT |
522,807,304 |
Deutsche Bank AG |
8/27/26 |
— |
(5,359
) |
|
USD |
1,087,257 |
KZT |
522,970,393 |
Deutsche Bank AG |
8/27/26 |
— |
(5,700
) |
|
CLP |
3,193,195,886 |
USD |
3,423,921 |
Societe Generale |
8/31/26 |
11,177 |
— |
|
USD |
1,144,524 |
KZT |
551,088,180 |
Deutsche Bank AG |
8/31/26 |
— |
(5,611
) |
|
USD |
2,289,047 |
KZT |
1,102,176,360 |
Deutsche Bank AG |
8/31/26 |
— |
(11,223
) |
|
USD |
902,040 |
KZT |
430,633,816 |
Deutsche Bank AG |
9/4/26 |
4,531 |
— |
|
USD |
2,110,944 |
KZT |
1,076,898,096 |
Deutsche Bank AG |
9/4/26 |
— |
(133,482
) |
|
KZT |
30,575,349,413 |
USD |
63,198,325 |
Deutsche Bank AG |
9/14/26 |
303,754 |
— |
|
USD |
528,330 |
KZT |
264,350,063 |
Citibank, N.A. |
9/14/26 |
— |
(20,700
) |
|
USD |
1,346,073 |
KZT |
673,171,000 |
Citibank, N.A. |
9/14/26 |
— |
(52,039
) |
|
USD |
1,135,870 |
KZT |
551,805,775 |
Deutsche Bank AG |
9/14/26 |
— |
(10,178
) |
|
USD |
1,135,870 |
KZT |
552,146,535 |
Deutsche Bank AG |
9/14/26 |
— |
(10,885
) |
|
USD |
1,135,870 |
KZT |
552,260,123 |
Deutsche Bank AG |
9/14/26 |
— |
(11,121
) |
|
USD |
1,135,870 |
KZT |
552,487,297 |
Deutsche Bank AG |
9/14/26 |
— |
(11,593
) |
|
MYR |
56,000,000 |
USD |
13,886,822 |
Goldman Sachs International |
9/15/26 |
— |
(166,160
) |
|
EGP |
450,000,000 |
USD |
8,288,819 |
Goldman Sachs International |
9/16/26 |
348,948 |
— |
|
EUR |
42,590,831 |
HUF |
14,987,172,376 |
Barclays Bank PLC |
9/16/26 |
1,918,688 |
— |
|
EUR |
14,974,672 |
HUF |
5,364,301,760 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
375,212 |
— |
|
EUR |
7,133,462 |
HUF |
2,555,384,408 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
178,739 |
— |
|
EUR |
6,160,299 |
PLN |
26,749,065 |
Barclays Bank PLC |
9/16/26 |
— |
(44,210
) |
|
EUR |
2,927,142 |
PLN |
12,709,762 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(20,904
) |
|
EUR |
1,686,368 |
PLN |
7,328,180 |
Societe Generale |
9/16/26 |
— |
(13,623
) |
|
EUR |
2,360,915 |
PLN |
10,262,993 |
Societe Generale |
9/16/26 |
— |
(20,021
) |
|
EUR |
21,792,435 |
PLN |
92,870,207 |
Standard Chartered Bank |
9/16/26 |
313,711 |
— |
|
EUR |
4,500,000 |
USD |
5,202,184 |
Societe Generale |
9/16/26 |
— |
(4,181
) |
|
GBP |
17,000,000 |
USD |
22,661,484 |
State Street Bank and Trust Company |
9/16/26 |
249,753 |
— |
|
HUF |
1,728,172,912 |
EUR |
4,826,355 |
Barclays Bank PLC |
9/16/26 |
— |
(123,291
) |
|
HUF |
7,243,840,396 |
EUR |
20,214,264 |
Deutsche Bank AG |
9/16/26 |
— |
(498,340
) |
|
HUF |
150,235,871 |
EUR |
420,917 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(12,272
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
HUF |
6,015,159,067 |
EUR |
16,791,567 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
$ — |
$(420,737
) |
|
ILS |
30,121,700 |
USD |
10,351,455 |
Deutsche Bank AG |
9/16/26 |
— |
(482,748
) |
|
ILS |
40,160,260 |
USD |
13,810,862 |
Goldman Sachs International |
9/16/26 |
— |
(653,242
) |
|
ILS |
3,012,170 |
USD |
1,032,393 |
UBS AG |
9/16/26 |
— |
(45,523
) |
|
ILS |
15,436,933 |
USD |
5,304,429 |
UBS AG |
9/16/26 |
— |
(246,860
) |
|
KRW |
4,748,000,000 |
USD |
3,131,306 |
Citibank, N.A. |
9/16/26 |
160,355 |
— |
|
KRW |
3,709,000,000 |
USD |
2,440,051 |
Citibank, N.A. |
9/16/26 |
131,300 |
— |
|
KRW |
2,849,000,000 |
USD |
1,878,916 |
Citibank, N.A. |
9/16/26 |
96,220 |
— |
|
KRW |
2,226,000,000 |
USD |
1,464,426 |
Citibank, N.A. |
9/16/26 |
78,801 |
— |
|
KRW |
7,675,000,000 |
USD |
5,064,669 |
Societe Generale |
9/16/26 |
256,204 |
— |
|
KRW |
4,605,000,000 |
USD |
3,038,802 |
Societe Generale |
9/16/26 |
153,722 |
— |
|
KRW |
3,825,000,000 |
USD |
2,515,289 |
Societe Generale |
9/16/26 |
136,482 |
— |
|
KRW |
2,295,000,000 |
USD |
1,509,173 |
Societe Generale |
9/16/26 |
81,889 |
— |
|
KRW |
1,208,000,000 |
USD |
792,860 |
Societe Generale |
9/16/26 |
44,614 |
— |
|
KRW |
725,000,000 |
USD |
475,847 |
Societe Generale |
9/16/26 |
26,776 |
— |
|
NZD |
5,400,000 |
USD |
3,147,079 |
Standard Chartered Bank |
9/16/26 |
37,909 |
— |
|
NZD |
530,000 |
USD |
300,017 |
Standard Chartered Bank |
9/16/26 |
12,584 |
— |
|
PEN |
18,000,000 |
USD |
5,269,321 |
Citibank, N.A. |
9/16/26 |
18,450 |
— |
|
PEN |
19,000,000 |
USD |
5,577,409 |
Societe Generale |
9/16/26 |
4,128 |
— |
|
PEN |
28,730,000 |
USD |
8,445,281 |
Societe Generale |
9/16/26 |
— |
(5,410
) |
|
PHP |
163,944,300 |
USD |
2,663,765 |
Citibank, N.A. |
9/16/26 |
10,755 |
— |
|
PHP |
445,047,200 |
USD |
7,208,176 |
Societe Generale |
9/16/26 |
52,141 |
— |
|
PHP |
332,856,600 |
USD |
5,403,779 |
Societe Generale |
9/16/26 |
26,306 |
— |
|
PHP |
303,031,628 |
USD |
4,921,965 |
Societe Generale |
9/16/26 |
21,568 |
— |
|
PHP |
124,200,272 |
USD |
2,015,944 |
Societe Generale |
9/16/26 |
10,208 |
— |
|
SEK |
2,900,000 |
USD |
299,390 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
5,854 |
— |
|
SEK |
29,700,000 |
USD |
3,164,849 |
State Street Bank and Trust Company |
9/16/26 |
— |
(38,737
) |
|
SGD |
4,212,000 |
USD |
3,293,419 |
Citibank, N.A. |
9/16/26 |
1,036 |
— |
|
SGD |
580,000 |
USD |
450,030 |
Deutsche Bank AG |
9/16/26 |
3,622 |
— |
|
SGD |
1,944,000 |
USD |
1,521,769 |
Deutsche Bank AG |
9/16/26 |
— |
(1,251
) |
|
SGD |
1,944,000 |
USD |
1,521,090 |
Goldman Sachs International |
9/16/26 |
— |
(572
) |
|
TWD |
10,014,503 |
USD |
315,956 |
Citibank, N.A. |
9/16/26 |
— |
(5,457
) |
|
TWD |
1,318,090 |
USD |
41,576 |
Societe Generale |
9/16/26 |
— |
(709
) |
|
TWD |
1,386,681 |
USD |
43,841 |
Societe Generale |
9/16/26 |
— |
(847
) |
|
TWD |
1,945,600 |
USD |
61,285 |
Societe Generale |
9/16/26 |
— |
(961
) |
|
TWD |
1,558,327 |
USD |
49,358 |
Societe Generale |
9/16/26 |
— |
(1,042
) |
|
TWD |
2,048,000 |
USD |
64,586 |
Societe Generale |
9/16/26 |
— |
(1,088
) |
|
TWD |
2,133,658 |
USD |
67,450 |
Societe Generale |
9/16/26 |
— |
(1,296
) |
|
TWD |
2,521,913 |
USD |
79,568 |
Societe Generale |
9/16/26 |
— |
(1,376
) |
|
TWD |
3,221,300 |
USD |
101,468 |
Societe Generale |
9/16/26 |
— |
(1,592
) |
|
TWD |
3,532,797 |
USD |
111,690 |
Societe Generale |
9/16/26 |
— |
(2,156
) |
|
TWD |
3,476,033 |
USD |
109,950 |
Societe Generale |
9/16/26 |
— |
(2,176
) |
|
TWD |
4,833,494 |
USD |
152,503 |
Societe Generale |
9/16/26 |
— |
(2,640
) |
|
TWD |
6,143,999 |
USD |
193,747 |
Societe Generale |
9/16/26 |
— |
(3,253
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
TWD |
7,065,605 |
USD |
222,917 |
Societe Generale |
9/16/26 |
$ — |
$(3,849
) |
|
USD |
3,120,704 |
AED |
11,457,936 |
Societe Generale |
9/16/26 |
948 |
— |
|
USD |
81,755 |
AED |
300,175 |
Societe Generale |
9/16/26 |
23 |
— |
|
USD |
19,936,969 |
CAD |
27,664,000 |
Goldman Sachs International |
9/16/26 |
166,256 |
— |
|
USD |
6,405,964 |
CAD |
8,888,742 |
Goldman Sachs International |
9/16/26 |
53,420 |
— |
|
USD |
2,089,980 |
CAD |
2,900,000 |
Goldman Sachs International |
9/16/26 |
17,428 |
— |
|
USD |
1,924,538 |
CAD |
2,700,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(5,079
) |
|
USD |
4,125,046 |
CNH |
27,738,106 |
Citibank, N.A. |
9/16/26 |
4,943 |
— |
|
USD |
419,290 |
CNH |
2,823,124 |
Goldman Sachs International |
9/16/26 |
— |
(45
) |
|
USD |
4,307,328 |
CNH |
29,001,694 |
Goldman Sachs International |
9/16/26 |
— |
(463
) |
|
USD |
1,000,539 |
CNH |
6,736,876 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(129
) |
|
USD |
6,158,868 |
CNH |
41,469,200 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(793
) |
|
USD |
478,918 |
COP |
1,706,024,000 |
Citibank, N.A. |
9/16/26 |
— |
(56,485
) |
|
USD |
1,773,851 |
COP |
6,213,800,000 |
Citibank, N.A. |
9/16/26 |
— |
(176,230
) |
|
USD |
514,588 |
COP |
1,799,000,000 |
Societe Generale |
9/16/26 |
— |
(49,993
) |
|
USD |
701,684 |
COP |
2,453,438,000 |
Societe Generale |
9/16/26 |
— |
(68,280
) |
|
USD |
925,099 |
COP |
3,387,342,000 |
Societe Generale |
9/16/26 |
— |
(137,953
) |
|
USD |
1,689,783 |
COP |
6,130,531,000 |
Societe Generale |
9/16/26 |
— |
(234,167
) |
|
USD |
2,389,761 |
COP |
8,391,000,000 |
Societe Generale |
9/16/26 |
— |
(243,593
) |
|
USD |
7,664,803 |
COP |
26,945,615,000 |
Societe Generale |
9/16/26 |
— |
(791,559
) |
|
USD |
7,207,990 |
COP |
25,801,000,000 |
Societe Generale |
9/16/26 |
— |
(889,157
) |
|
USD |
7,025,565 |
COP |
25,371,000,000 |
Societe Generale |
9/16/26 |
— |
(936,635
) |
|
USD |
19,206,106 |
COP |
69,717,206,000 |
Societe Generale |
9/16/26 |
— |
(2,673,296
) |
|
USD |
3,511,853 |
EUR |
3,013,769 |
Citibank, N.A. |
9/16/26 |
30,613 |
— |
|
USD |
152,467,474 |
EUR |
131,229,321 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
882,953 |
— |
|
USD |
4,681,864 |
EUR |
4,029,698 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
27,113 |
— |
|
USD |
25,366,815 |
EUR |
21,942,837 |
Societe Generale |
9/16/26 |
20,387 |
— |
|
USD |
22,866,573 |
EUR |
19,780,075 |
Societe Generale |
9/16/26 |
18,378 |
— |
|
USD |
17,276,208 |
EUR |
14,944,289 |
Societe Generale |
9/16/26 |
13,885 |
— |
|
USD |
8,220,372 |
EUR |
7,110,797 |
Societe Generale |
9/16/26 |
6,607 |
— |
|
USD |
4,890,053 |
EUR |
4,230,000 |
Societe Generale |
9/16/26 |
3,930 |
— |
|
USD |
78,728 |
EUR |
68,663 |
Standard Chartered Bank |
9/16/26 |
— |
(585
) |
|
USD |
1,714,657 |
EUR |
1,500,000 |
Standard Chartered Bank |
9/16/26 |
— |
(18,010
) |
|
USD |
3,423,600 |
EUR |
3,000,000 |
Standard Chartered Bank |
9/16/26 |
— |
(41,735
) |
|
USD |
7,688,993 |
EUR |
6,700,000 |
Standard Chartered Bank |
9/16/26 |
— |
(50,255
) |
|
USD |
1,714,792 |
EUR |
1,500,000 |
UBS AG |
9/16/26 |
— |
(17,875
) |
|
USD |
4,010,650 |
EUR |
3,500,000 |
UBS AG |
9/16/26 |
— |
(32,241
) |
|
USD |
3,423,315 |
EUR |
3,000,000 |
UBS AG |
9/16/26 |
— |
(42,020
) |
|
USD |
734,360 |
GBP |
547,205 |
Barclays Bank PLC |
9/16/26 |
— |
(3,120
) |
|
USD |
4,521,095 |
GBP |
3,364,739 |
Citibank, N.A. |
9/16/26 |
— |
(13,631
) |
|
USD |
11,505,032 |
GBP |
8,575,719 |
Citibank, N.A. |
9/16/26 |
— |
(52,635
) |
|
USD |
48,893,986 |
GBP |
36,445,017 |
Citibank, N.A. |
9/16/26 |
— |
(223,687
) |
|
USD |
1,715,632 |
GBP |
1,300,000 |
Deutsche Bank AG |
9/16/26 |
— |
(36,404
) |
|
USD |
2,111,731 |
GBP |
1,575,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(10,927
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
USD |
10,029,901 |
GBP |
7,480,636 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
$ — |
$(51,900
) |
|
USD |
19,974,969 |
GBP |
14,898,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(103,362
) |
|
USD |
21,050,276 |
GBP |
15,700,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(108,926
) |
|
USD |
21,077,984 |
GBP |
15,800,000 |
Societe Generale |
9/16/26 |
— |
(215,990
) |
|
USD |
1,874,448 |
GBP |
1,400,000 |
Standard Chartered Bank |
9/16/26 |
— |
(12,360
) |
|
USD |
9,247,885 |
GBP |
6,900,000 |
State Street Bank and Trust Company |
9/16/26 |
— |
(51,382
) |
|
USD |
5,559,832 |
GBP |
4,115,835 |
Wells Fargo Bank, N.A. |
9/16/26 |
12,839 |
— |
|
USD |
4,694,485 |
HKD |
36,678,111 |
BNP Paribas |
9/16/26 |
10,534 |
— |
|
USD |
1,053,689 |
ILS |
3,221,443 |
Bank of America, N.A. |
9/16/26 |
— |
(1,746
) |
|
USD |
1,144,755 |
ILS |
3,500,087 |
Bank of America, N.A. |
9/16/26 |
— |
(1,971
) |
|
USD |
1,154,839 |
ILS |
3,532,422 |
Bank of America, N.A. |
9/16/26 |
— |
(2,481
) |
|
USD |
956,875 |
ILS |
2,914,910 |
Barclays Bank PLC |
9/16/26 |
1,870 |
— |
|
USD |
30,332,295 |
ILS |
88,731,063 |
Citibank, N.A. |
9/16/26 |
1,261,528 |
— |
|
USD |
7,562,113 |
ILS |
23,018,316 |
Goldman Sachs International |
9/16/26 |
20,672 |
— |
|
USD |
1,758,066 |
ILS |
5,345,574 |
Goldman Sachs International |
9/16/26 |
6,707 |
— |
|
USD |
1,930,618 |
ILS |
5,896,994 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(1,401
) |
|
USD |
5,706,596 |
ILS |
17,391,879 |
Standard Chartered Bank |
9/16/26 |
8,532 |
— |
|
USD |
1,141,165 |
ILS |
3,478,376 |
UBS AG |
9/16/26 |
1,552 |
— |
|
USD |
1,698,607 |
JPY |
270,000,000 |
Goldman Sachs International |
9/16/26 |
— |
(4,103
) |
|
USD |
2,107,531 |
JPY |
335,000,000 |
Goldman Sachs International |
9/16/26 |
— |
(5,091
) |
|
USD |
19,987,235 |
JPY |
3,177,047,000 |
Goldman Sachs International |
9/16/26 |
— |
(48,284
) |
|
USD |
1,923,280 |
JPY |
312,300,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(46,188
) |
|
USD |
1,158,167 |
KZT |
559,973,882 |
Bank of America, N.A. |
9/16/26 |
— |
(4,036
) |
|
USD |
1,176,262 |
KZT |
570,016,530 |
Bank of America, N.A. |
9/16/26 |
— |
(6,784
) |
|
USD |
3,956,793 |
KZT |
1,905,631,000 |
Deutsche Bank AG |
9/16/26 |
1,733 |
— |
|
USD |
2,672,485 |
NZD |
4,572,360 |
Goldman Sachs International |
9/16/26 |
— |
(24,351
) |
|
USD |
4,839,248 |
NZD |
8,279,480 |
Goldman Sachs International |
9/16/26 |
— |
(44,094
) |
|
USD |
18,118,074 |
NZD |
30,998,250 |
Goldman Sachs International |
9/16/26 |
— |
(165,086
) |
|
USD |
42,516,964 |
NZD |
72,742,360 |
Goldman Sachs International |
9/16/26 |
— |
(387,401
) |
|
USD |
2,141,829 |
NZD |
3,668,610 |
Standard Chartered Bank |
9/16/26 |
— |
(21,964
) |
|
USD |
3,878,348 |
NZD |
6,642,990 |
Standard Chartered Bank |
9/16/26 |
— |
(39,771
) |
|
USD |
4,266,083 |
NZD |
7,320,072 |
Standard Chartered Bank |
9/16/26 |
— |
(51,389
) |
|
USD |
7,724,879 |
NZD |
13,254,942 |
Standard Chartered Bank |
9/16/26 |
— |
(93,053
) |
|
USD |
3,383,883 |
NZD |
5,930,000 |
Standard Chartered Bank |
9/16/26 |
— |
(113,706
) |
|
USD |
14,520,492 |
NZD |
24,871,280 |
Standard Chartered Bank |
9/16/26 |
— |
(148,903
) |
|
USD |
28,921,840 |
NZD |
49,626,317 |
Standard Chartered Bank |
9/16/26 |
— |
(348,389
) |
|
USD |
34,074,643 |
NZD |
58,364,410 |
Standard Chartered Bank |
9/16/26 |
— |
(349,425
) |
|
USD |
67,869,698 |
NZD |
116,456,045 |
Standard Chartered Bank |
9/16/26 |
— |
(817,551
) |
|
USD |
1,597,332 |
NZD |
2,739,140 |
UBS AG |
9/16/26 |
— |
(18,247
) |
|
USD |
2,892,394 |
NZD |
4,959,940 |
UBS AG |
9/16/26 |
— |
(33,041
) |
|
USD |
10,829,079 |
NZD |
18,569,940 |
UBS AG |
9/16/26 |
— |
(123,707
) |
|
USD |
25,412,152 |
NZD |
43,577,310 |
UBS AG |
9/16/26 |
— |
(290,297
) |
|
USD |
4,704,864 |
PEN |
16,029,000 |
Citibank, N.A. |
9/16/26 |
— |
(3,897
) |
|
USD |
2,461,047 |
PEN |
8,403,000 |
Citibank, N.A. |
9/16/26 |
— |
(7,461
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
USD |
2,929,802 |
PEN |
10,000,000 |
Societe Generale |
9/16/26 |
$ — |
$(7,849
) |
|
USD |
2,574,347 |
PEN |
8,821,000 |
Societe Generale |
9/16/26 |
— |
(16,955
) |
|
USD |
5,170,810 |
PEN |
17,679,000 |
Societe Generale |
9/16/26 |
— |
(22,663
) |
|
USD |
4,445,969 |
PEN |
15,231,000 |
Societe Generale |
9/16/26 |
— |
(28,367
) |
|
USD |
6,491,418 |
PHP |
394,496,476 |
Societe Generale |
9/16/26 |
55,765 |
— |
|
USD |
1,882,361 |
PHP |
114,611,300 |
Societe Generale |
9/16/26 |
12,639 |
— |
|
USD |
1,536,913 |
PHP |
94,796,344 |
Societe Generale |
9/16/26 |
— |
(9,555
) |
|
USD |
6,226,763 |
PHP |
383,026,850 |
Societe Generale |
9/16/26 |
— |
(21,780
) |
|
USD |
6,201,403 |
PHP |
382,149,030 |
Societe Generale |
9/16/26 |
— |
(32,819
) |
|
USD |
4,852,134 |
SAR |
18,220,000 |
Goldman Sachs International |
9/16/26 |
1,826 |
— |
|
USD |
3,371,204 |
SEK |
32,600,000 |
JPMorgan Chase Bank, N.A. |
9/16/26 |
— |
(60,151
) |
|
USD |
6,746,909 |
SGD |
8,680,000 |
Goldman Sachs International |
9/16/26 |
— |
(42,233
) |
|
USD |
84,522,337 |
ZAR |
1,397,365,538 |
Bank of America, N.A. |
9/16/26 |
225,795 |
— |
|
USD |
4,743,231 |
ZAR |
80,361,723 |
Bank of America, N.A. |
9/16/26 |
— |
(104,616
) |
|
USD |
1,718,849 |
ZAR |
28,362,765 |
Barclays Bank PLC |
9/16/26 |
7,856 |
— |
|
USD |
1,031,819 |
ZAR |
17,386,696 |
Barclays Bank PLC |
9/16/26 |
— |
(17,039
) |
|
USD |
60,315,515 |
ZAR |
1,003,190,874 |
BNP Paribas |
9/16/26 |
— |
(202,309
) |
|
USD |
189,755,690 |
ZAR |
3,146,731,873 |
Deutsche Bank AG |
9/16/26 |
— |
(71,960
) |
|
USD |
36,272,046 |
ZAR |
600,421,619 |
Goldman Sachs International |
9/16/26 |
51,411 |
— |
|
USD |
2,968,549 |
ZAR |
49,177,872 |
HSBC Bank USA, N.A. |
9/16/26 |
1,877 |
— |
|
USD |
2,966,758 |
ZAR |
49,177,872 |
HSBC Bank USA, N.A. |
9/16/26 |
87 |
— |
|
USD |
14,933,251 |
ZAR |
247,691,862 |
HSBC Bank USA, N.A. |
9/16/26 |
— |
(8,843
) |
|
USD |
1,643,943 |
ZAR |
27,841,000 |
HSBC Bank USA, N.A. |
9/16/26 |
— |
(35,574
) |
|
VND |
63,361,000,000 |
USD |
2,383,785 |
Citibank, N.A. |
9/16/26 |
18,589 |
— |
|
MXN |
18,200,492 |
USD |
1,036,593 |
Goldman Sachs International |
9/17/26 |
10,399 |
— |
|
MYR |
2,940,000 |
USD |
731,707 |
Barclays Bank PLC |
9/17/26 |
— |
(11,338
) |
|
USD |
12,359,065 |
IDR |
220,000,000,000 |
Societe Generale |
9/17/26 |
207,119 |
— |
|
USD |
8,987,148 |
IDR |
160,000,000,000 |
Societe Generale |
9/17/26 |
149,370 |
— |
|
USD |
85,387 |
IDR |
1,552,595,000 |
Societe Generale |
9/17/26 |
— |
(373
) |
|
USD |
85,555 |
IDR |
1,557,340,000 |
Societe Generale |
9/17/26 |
— |
(466
) |
|
USD |
157,519 |
IDR |
2,867,795,000 |
Societe Generale |
9/17/26 |
— |
(887
) |
|
USD |
193,439 |
IDR |
3,518,270,000 |
Societe Generale |
9/17/26 |
— |
(896
) |
|
USD |
15,924,682 |
IDR |
289,240,000,000 |
Societe Generale |
9/17/26 |
— |
(51,812
) |
|
USD |
1,395,375 |
MXN |
24,500,000 |
Goldman Sachs International |
9/17/26 |
— |
(13,999
) |
|
USD |
1,661,995 |
MXN |
29,181,300 |
Goldman Sachs International |
9/17/26 |
— |
(16,674
) |
|
USD |
6,999,658 |
MXN |
122,900,000 |
Goldman Sachs International |
9/17/26 |
— |
(70,222
) |
|
USD |
14,427,327 |
MXN |
253,315,000 |
Goldman Sachs International |
9/17/26 |
— |
(144,739
) |
|
USD |
305,092,243 |
MXN |
5,374,688,000 |
Goldman Sachs International |
9/17/26 |
— |
(4,089,228
) |
|
BRL |
61,960,000 |
USD |
11,923,371 |
Societe Generale |
10/2/26 |
134,702 |
— |
|
BRL |
25,000,000 |
USD |
4,810,699 |
Societe Generale |
10/2/26 |
54,566 |
— |
|
TWD |
565,000,000 |
USD |
17,836,229 |
Societe Generale |
10/8/26 |
— |
(320,542
) |
|
TWD |
26,678,800 |
USD |
833,712 |
Societe Generale |
10/13/26 |
— |
(6,671
) |
|
TWD |
53,358,400 |
USD |
1,667,658 |
Societe Generale |
10/13/26 |
— |
(13,552
) |
|
TWD |
80,037,200 |
USD |
2,495,859 |
Societe Generale |
10/13/26 |
— |
(14,711
) |
|
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
|
Currency Purchased |
Currency Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation |
Unrealized
(Depreciation) | ||
|
TWD |
90,958,448 |
USD |
2,837,371 |
Societe Generale |
10/13/26 |
$ — |
$(17,665
) |
|
TWD |
71,484,900 |
USD |
2,234,951 |
Societe Generale |
10/13/26 |
— |
(18,924
) |
|
TWD |
95,689,300 |
USD |
2,987,238 |
Societe Generale |
10/13/26 |
— |
(20,876
) |
|
TWD |
140,792,952 |
USD |
4,400,880 |
Societe Generale |
10/13/26 |
— |
(36,308
) |
|
USD |
2,170,031 |
KZT |
1,052,790,502 |
Deutsche Bank AG |
10/15/26 |
6,266 |
— |
|
USD |
483,291 |
KZT |
236,329,174 |
Deutsche Bank AG |
10/15/26 |
— |
(2,429
) |
|
USD |
1,135,870 |
KZT |
554,418,276 |
Deutsche Bank AG |
10/15/26 |
— |
(3,607
) |
|
USD |
1,135,870 |
KZT |
555,326,972 |
Deutsche Bank AG |
10/15/26 |
— |
(5,474
) |
|
USD |
1,135,870 |
KZT |
555,440,559 |
Deutsche Bank AG |
10/15/26 |
— |
(5,708
) |
|
USD |
2,077,645 |
KZT |
1,002,671,434 |
Deutsche Bank AG |
10/27/26 |
24,736 |
— |
|
USD |
1,038,822 |
KZT |
502,374,539 |
Deutsche Bank AG |
10/27/26 |
10,241 |
— |
|
USD |
1,038,822 |
KZT |
503,413,362 |
Deutsche Bank AG |
10/27/26 |
8,114 |
— |
|
USD |
3,416,096 |
CLP |
3,193,195,886 |
Bank of America, N.A. |
10/28/26 |
— |
(21,027
) |
|
USD |
7,275,695 |
OMR |
2,802,227 |
Standard Chartered Bank |
10/29/26 |
— |
(3,384
) |
|
USD |
8,003,264 |
OMR |
3,082,449 |
Standard Chartered Bank |
10/29/26 |
— |
(3,722
) |
|
USD |
8,730,834 |
OMR |
3,362,672 |
Standard Chartered Bank |
10/29/26 |
— |
(4,061
) |
|
USD |
9,607,391 |
OMR |
3,700,277 |
Standard Chartered Bank |
10/29/26 |
— |
(4,467
) |
|
CLP |
2,535,176,352 |
USD |
2,714,128 |
Societe Generale |
10/30/26 |
14,778 |
— |
|
MYR |
7,000,000 |
USD |
1,694,915 |
Barclays Bank PLC |
12/16/26 |
24,362 |
— |
|
MYR |
2,900,000 |
USD |
708,267 |
Barclays Bank PLC |
12/16/26 |
4,005 |
— |
|
MYR |
9,000,000 |
USD |
2,181,871 |
State Street Bank and Trust Company |
12/16/26 |
28,628 |
— |
|
USD |
2,713,595 |
CLP |
2,535,176,352 |
Bank of America, N.A. |
1/29/27 |
— |
(18,231
) |
|
USD |
79,742,697 |
SAR |
300,000,000 |
Standard Chartered Bank |
3/3/27 |
— |
(44,489
) |
|
USD |
48,541,424 |
AED |
178,229,545 |
Deutsche Bank AG |
4/1/27 |
— |
(6,901
) |
|
USD |
60,406,519 |
AED |
221,770,455 |
Standard Chartered Bank |
4/1/27 |
— |
(2,006
) |
|
|
|
|
|
|
|
$9,860,812 |
$(21,914,880
) |
|
Forward Volatility Agreements (OTC) | |||||
|
Reference Entity |
Counterparty |
Strike
Volatility Rate |
Expiration
Date(1) |
Notional
Amount
(000s omitted) |
Value/Unrealized
Appreciation
(Depreciation) |
|
EUR vs. HUF, 1 year term |
BNP Paribas |
7.80% |
6/15/27 |
$4,003 |
$24,867 |
|
EUR vs. HUF, 1 year term |
JPMorgan Chase Bank, N.A. |
8.11 |
6/11/27 |
1,871 |
6,498 |
|
|
|
|
|
|
$31,365 |
|
(1)
|
At the expiration date, the Portfolio will purchase from the counterparty an option straddle expiring in 12 months with a strike rate to be determined on
this date. |
|
Non-Deliverable Bond Forward Contracts1 | ||||||
|
Settlement Date |
Notional Amount
(000's omitted) |
Reference Entity |
Counterparty |
Aggregate Cost |
Unrealized
Appreciation
(Depreciation) | |
|
8/10/26 |
COP |
22,996,900 |
Republic of Colombia,
11.75%, 1/24/35 |
Goldman Sachs International |
$7,288,987 |
$(134,846
) |
|
9/1/26 |
COP |
44,539,100 |
Republic of Colombia,
12.50%, 2/27/30 |
Bank of America, N.A. |
14,116,899 |
(195,533
) |
|
|
|
|
|
|
|
$(330,379
) |
|
1
|
Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
|
Futures Contracts | |||||
|
Description |
Number of
Contracts |
Position |
Expiration
Date |
Notional
Amount |
Value/Unrealized
Appreciation
(Depreciation) |
|
Equity Futures |
|
|
|
|
|
|
FTSE Taiwan Index |
51 |
Long |
8/28/26 |
$7,571,970 |
$50,800 |
|
OMX Stockholm 30 Index |
237 |
Long |
8/21/26 |
8,108,903 |
219,460 |
|
STOXX Europe 600 Index |
383 |
Long |
6/19/26 |
14,081,110 |
5,474 |
|
MSCI Emerging Markets Index |
(736
) |
Short |
9/18/26 |
(60,436,640
) |
2,684,488 |
|
OMX Stockholm 30 Index |
(237
) |
Short |
6/18/26 |
(7,905,160
) |
(231,819
) |
|
STOXX Europe 600 Banks Index |
(326
) |
Short |
6/19/26 |
(5,571,988
) |
(535,977
) |
|
STOXX Europe 600 Index |
(383
) |
Short |
9/18/26 |
(14,360,457
) |
(242,599
) |
|
Interest Rate Futures |
|
|
|
|
|
|
U.S. 2-Year Treasury Note |
156 |
Long |
9/30/26 |
32,075,063 |
(119,948
) |
|
U.S. 5-Year Treasury Note |
15,311 |
Long |
9/30/26 |
1,622,607,156 |
(9,035,455
) |
|
U.S. 10-Year Treasury Note |
2,916 |
Long |
9/21/26 |
314,928,000 |
(3,667,800
) |
|
U.S. Long Treasury Bond |
223 |
Long |
9/21/26 |
24,153,688 |
(592,869
) |
|
U.S. Ultra 10-Year Treasury Note |
205 |
Long |
9/21/26 |
22,489,141 |
(205,107
) |
|
U.S. Ultra-Long Treasury Bond |
160 |
Long |
9/21/26 |
17,550,000 |
(429,883
) |
|
Euro-Bobl |
(159
) |
Short |
9/8/26 |
(20,872,658
) |
122,765 |
|
U.S. 2-Year Treasury Note |
(62
) |
Short |
9/30/26 |
(12,747,781
) |
48,889 |
|
U.S. 5-Year Treasury Note |
(133
) |
Short |
9/30/26 |
(14,094,883
) |
78,047 |
|
U.S. 10-Year Treasury Note |
(197
) |
Short |
9/21/26 |
(21,276,000
) |
235,458 |
|
U.S. Long Treasury Bond |
(4
) |
Short |
9/21/26 |
(433,250
) |
25,109 |
|
U.S. Ultra 10-Year Treasury Note |
(5,057
) |
Short |
9/21/26 |
(554,768,703
) |
7,411,142 |
|
U.S. Ultra-Long Treasury Bond |
(6,871
) |
Short |
9/21/26 |
(753,662,813
) |
16,675,687 |
|
|
|
|
|
|
$12,495,862 |
|
Inflation Swaps (Centrally Cleared) |
|
|
| ||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/Receives
Return on
Reference
Index |
Reference Index |
Portfolio
Pays/Receives
Rate |
Annual
Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
USD |
19,500 |
Pays |
Return on CPI-U
(NSA)
(pays upon
termination) |
Receives |
2.09%
(pays upon
termination) |
4/2/29 |
$(3,091,444
) |
$618,266 |
$(2,473,178
) |
|
|
|
|
|
|
|
|
$(3,091,444
) |
$618,266 |
$(2,473,178
) |
|
Inflation Swaps (OTC) | ||||||||
|
Counterparty |
Notional
Amount
(000's omitted) |
Portfolio
Pays/Receives
Return on
Reference
Index |
Reference Index |
Portfolio
Pays/Receives
Rate |
Annual
Rate |
Termination
Date |
Value/Unrealized
Appreciation
(Depreciation) | |
|
Bank of America, N.A. |
USD |
19,500 |
Receives |
Return on CPI-U (NSA)
(pays upon termination) |
Pays |
2.09%
(pays upon
termination) |
4/2/29 |
$3,094,749 |
|
|
|
|
|
|
|
|
|
$3,094,749 |
|
Interest Rate Swaps (Centrally Cleared) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
CLP |
49,305,000 |
Receives |
6-month Sinacofi Chile
Interbank Rate
(pays semi-annually) |
4.97%
(pays semi-annually) |
9/16/31 |
$ 571,699 |
$ — |
$571,699 |
|
CNY |
81,210 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.50%
(pays quarterly) |
6/17/31 |
21,293 |
— |
21,293 |
|
CNY |
430,000 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.57%
(pays quarterly) |
6/17/31 |
316,907 |
— |
316,907 |
|
CNY |
114,111 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.45%
(pays quarterly) |
9/16/31 |
(15,731) |
— |
(15,731
) |
|
CNY |
79,117 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.45%
(pays quarterly) |
9/16/31 |
(7,582) |
— |
(7,582
) |
|
CNY |
108,000 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.45%
(pays quarterly) |
9/16/31 |
(13,735) |
— |
(13,735
) |
|
CNY |
213,724 |
Pays |
7-day China Fixing Repo
Rates
(pays quarterly) |
1.46%
(pays quarterly) |
9/16/31 |
(18,805) |
— |
(18,805
) |
|
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
COP |
73,402,000 |
Receives |
Colombia Overnight
Interbank Reference Rate
(pays quarterly) |
10.20%
(pays quarterly) |
9/16/31 |
$ 190,425 |
$ — |
$190,425 |
|
CZK |
866,700 |
Receives |
6-month CZK PRIBOR
(pays semi-annually) |
4.35%
(pays annually) |
9/16/31 |
337,222 |
— |
337,222 |
|
CZK |
147,000 |
Receives |
6-month CZK PRIBOR
(pays semi-annually) |
4.48%
(pays annually) |
6/17/36 |
82,610 |
— |
82,610 |
|
EUR |
42,040 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.03%
(pays annually) |
9/16/31 |
165,054 |
— |
165,054 |
|
EUR |
22,659 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.18%
(pays annually) |
9/16/36 |
171,439 |
— |
171,439 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.22%
(pays annually) |
9/16/36 |
2,240 |
— |
2,240 |
|
EUR |
2,726 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
8,156 |
— |
8,156 |
|
EUR |
1,876 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
5,336 |
— |
5,336 |
|
EUR |
772 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
2,083 |
— |
2,083 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
1,771 |
— |
1,771 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
1,637 |
— |
1,637 |
|
EUR |
750 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.23%
(pays annually) |
9/16/36 |
1,764 |
— |
1,764 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.24%
(pays annually) |
9/16/36 |
1,536 |
— |
1,536 |
|
EUR |
1,510 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.24%
(pays annually) |
9/16/36 |
3,033 |
— |
3,033 |
|
EUR |
1,363 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.24%
(pays annually) |
9/16/36 |
2,536 |
— |
2,536 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.24%
(pays annually) |
9/16/36 |
1,201 |
— |
1,201 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.24%
(pays annually) |
9/16/36 |
933 |
— |
933 |
|
EUR |
1,334 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.25%
(pays annually) |
9/16/36 |
1,171 |
— |
1,171 |
|
EUR |
681 |
Receives |
6-month EURIBOR
(pays semi-annually) |
3.25%
(pays annually) |
9/16/36 |
464 |
— |
464 |
|
HUF |
9,678,000 |
Receives |
6-month HUF BUBOR
(pays semi-annually) |
5.16%
(pays annually) |
9/16/31 |
146,375 |
— |
146,375 |
|
HUF |
2,271,698 |
Pays |
6-month HUF BUBOR
(pays semi-annually) |
5.00%
(pays annually) |
9/16/36 |
(93,824) |
— |
(93,824
) |
|
HUF |
1,845,755 |
Pays |
6-month HUF BUBOR
(pays semi-annually) |
5.04%
(pays annually) |
9/16/36 |
(59,044) |
— |
(59,044
) |
|
HUF |
283,962 |
Pays |
6-month HUF BUBOR
(pays semi-annually) |
5.05%
(pays annually) |
9/16/36 |
(8,824) |
— |
(8,824
) |
|
HUF |
1,618,585 |
Pays |
6-month HUF BUBOR
(pays semi-annually) |
5.10%
(pays annually) |
9/16/36 |
(30,434) |
— |
(30,434
) |
|
ILS |
163,000 |
Receives |
3-month ILS TELBOR
(pays annually) |
3.49%
(pays annually) |
9/16/31 |
(102,680) |
— |
(102,680
) |
|
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
INR |
3,250,000 |
Pays |
1-day INR FBIL MIBOR
(pays semi-annually) |
6.77%
(pays semi-annually) |
6/17/31 |
$ 592,480 |
$ — |
$592,480 |
|
INR |
1,998,000 |
Receives |
1-day INR FBIL MIBOR
(pays semi-annually) |
6.44%
(pays semi-annually) |
9/16/31 |
(13,236) |
— |
(13,236
) |
|
INR |
2,198,000 |
Receives |
1-day INR FBIL MIBOR
(pays semi-annually) |
6.45%
(pays semi-annually) |
9/16/31 |
(20,219) |
— |
(20,219
) |
|
KRW |
26,226,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.21%
(pays quarterly) |
3/18/31 |
(566,371) |
— |
(566,371
) |
|
KRW |
78,658,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.37%
(pays quarterly) |
3/18/31 |
(1,278,691) |
— |
(1,278,691
) |
|
KRW |
118,136,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.38%
(pays quarterly) |
3/18/31 |
(1,916,735) |
— |
(1,916,735
) |
|
KRW |
61,822,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.38%
(pays quarterly) |
3/18/31 |
(991,561) |
— |
(991,561
) |
|
KRW |
58,993,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.39%
(pays quarterly) |
3/18/31 |
(938,567) |
— |
(938,567
) |
|
KRW |
80,000,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.43%
(pays quarterly) |
3/18/31 |
(1,173,241) |
— |
(1,173,241
) |
|
KRW |
159,000,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.43%
(pays quarterly) |
3/18/31 |
(2,323,382) |
— |
(2,323,382
) |
|
KRW |
159,000,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.44%
(pays quarterly) |
3/18/31 |
(2,240,723) |
— |
(2,240,723
) |
|
KRW |
104,065,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.47%
(pays quarterly) |
3/18/31 |
(1,371,847) |
— |
(1,371,847
) |
|
KRW |
61,500,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.92%
(pays quarterly) |
6/17/31 |
41,898 |
— |
41,898 |
|
KRW |
28,080,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
3.99%
(pays quarterly) |
6/17/31 |
81,683 |
— |
81,683 |
|
KRW |
42,861,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
4.03%
(pays quarterly) |
6/17/31 |
177,723 |
— |
177,723 |
|
KRW |
56,025,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
4.05%
(pays quarterly) |
6/17/31 |
282,231 |
— |
282,231 |
|
KRW |
36,068,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
4.10%
(pays quarterly) |
9/16/31 |
125,470 |
— |
125,470 |
|
KRW |
33,854,000 |
Pays |
3-month KRW Certificate
of Deposit Rate
(pays quarterly) |
4.12%
(pays quarterly) |
9/16/31 |
139,422 |
— |
139,422 |
|
MXN |
1,983,500 |
Pays |
Mexico Interbank TIIE
28 Day
(pays monthly) |
7.46%
(pays monthly) |
6/14/28 |
825,073 |
— |
825,073 |
|
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
MXN |
344,000 |
Pays |
Mexico Interbank TIIE
28 Day
(pays monthly) |
7.19%
(pays monthly) |
7/26/28 |
$ 26,347 |
$ — |
$26,347 |
|
MXN |
25,000 |
Pays |
Mexico Interbank TIIE
28 Day
(pays monthly) |
7.28%
(pays monthly) |
9/14/28 |
1,638 |
— |
1,638 |
|
MXN |
212,000 |
Pays |
Mexico Interbank TIIE
28 Day
(pays monthly) |
7.40%
(pays monthly) |
9/14/28 |
42,225 |
— |
42,225 |
|
MYR |
291,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.58%
(pays quarterly) |
6/18/31 |
318,368 |
— |
318,368 |
|
MYR |
179,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.59%
(pays quarterly) |
6/18/31 |
191,696 |
— |
191,696 |
|
MYR |
160,372 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.59%
(pays quarterly) |
6/18/31 |
161,560 |
— |
161,560 |
|
MYR |
118,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.59%
(pays quarterly) |
6/18/31 |
116,148 |
— |
116,148 |
|
MYR |
180,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.60%
(pays quarterly) |
6/18/31 |
155,344 |
— |
155,344 |
|
MYR |
195,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.61%
(pays quarterly) |
6/18/31 |
163,785 |
— |
163,785 |
|
MYR |
109,000 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.61%
(pays quarterly) |
6/18/31 |
89,034 |
— |
89,034 |
|
MYR |
62,860 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.61%
(pays quarterly) |
6/18/31 |
50,983 |
— |
50,983 |
|
MYR |
327,200 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.61%
(pays quarterly) |
6/18/31 |
238,924 |
— |
238,924 |
|
MYR |
108,833 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.61%
(pays quarterly) |
6/18/31 |
83,870 |
— |
83,870 |
|
MYR |
69,180 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.62%
(pays quarterly) |
6/18/31 |
48,918 |
— |
48,918 |
|
MYR |
61,200 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
36,912 |
— |
36,912 |
|
MYR |
50,754 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
29,733 |
— |
29,733 |
|
MYR |
95,897 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
56,074 |
— |
56,074 |
|
MYR |
75,910 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
43,155 |
— |
43,155 |
|
MYR |
91,770 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
50,581 |
— |
50,581 |
|
MYR |
109,180 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
57,662 |
— |
57,662 |
|
MYR |
89,103 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.63%
(pays quarterly) |
6/18/31 |
46,442 |
— |
46,442 |
|
MYR |
32,180 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.64%
(pays quarterly) |
6/18/31 |
15,878 |
— |
15,878 |
|
MYR |
47,091 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.64%
(pays quarterly) |
6/18/31 |
20,787 |
— |
20,787 |
|
MYR |
71,180 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.64%
(pays quarterly) |
6/18/31 |
27,722 |
— |
27,722 |
|
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
MYR |
50,290 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.65%
(pays quarterly) |
6/18/31 |
$ 17,553 |
$ — |
$17,553 |
|
MYR |
181,900 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.70%
(pays quarterly) |
9/17/31 |
27,722 |
— |
27,722 |
|
MYR |
150,100 |
Receives |
3-month MYR KLIBOR
(pays quarterly) |
3.70%
(pays quarterly) |
9/17/31 |
22,038 |
— |
22,038 |
|
PLN |
154,000 |
Receives |
6-month PLN WIBOR
(pays semi-annually) |
4.20%
(pays annually) |
9/16/31 |
380,980 |
— |
380,980 |
|
PLN |
399,914 |
Receives |
6-month PLN WIBOR
(pays quarterly) |
4.49%
(pays annually) |
8/12/32 |
355,696 |
— |
355,696 |
|
PLN |
399,914 |
Pays |
6-month PLN WIBOR
(pays semi-annually) |
4.59%
(pays annually) |
8/12/32 |
(318,869) |
— |
(318,869
) |
|
PLN |
1,716,360 |
Receives |
6-month PLN WIBOR
(pays quarterly) |
4.61%
(pays annually) |
9/9/32 |
691,662 |
— |
691,662 |
|
PLN |
1,716,360 |
Pays |
6-month PLN WIBOR
(pays semi-annually) |
4.71%
(pays annually) |
9/9/32 |
(574,134) |
— |
(574,134
) |
|
PLN |
35,258 |
Receives |
6-month PLN WIBOR
(pays semi-annually) |
4.77%
(pays annually) |
6/17/36 |
(51,092) |
— |
(51,092
) |
|
PLN |
18,985 |
Receives |
6-month PLN WIBOR
(pays semi-annually) |
4.79%
(pays annually) |
6/17/36 |
(35,689) |
— |
(35,689
) |
|
THB |
511,139 |
Receives |
Thai Overnight Repurchase
Rate
(pays quarterly) |
1.74%
(pays quarterly) |
9/16/31 |
34,142 |
— |
34,142 |
|
THB |
445,513 |
Receives |
Thai Overnight Repurchase
Rate
(pays quarterly) |
1.75%
(pays quarterly) |
9/16/31 |
27,180 |
— |
27,180 |
|
THB |
583,048 |
Receives |
Thai Overnight Repurchase
Rate
(pays quarterly) |
1.75%
(pays quarterly) |
9/16/31 |
33,882 |
— |
33,882 |
|
TWD |
139,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.29%
(pays quarterly) |
6/17/31 |
2,447 |
— |
2,447 |
|
TWD |
118,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.30%
(pays quarterly) |
6/17/31 |
1,571 |
— |
1,571 |
|
TWD |
138,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.30%
(pays quarterly) |
6/17/31 |
62 |
— |
62 |
|
TWD |
160,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.32%
(pays quarterly) |
6/17/31 |
(3,360) |
— |
(3,360
) |
|
TWD |
1,426,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.36%
(pays quarterly) |
6/17/31 |
(102,346) |
— |
(102,346
) |
|
TWD |
39,500 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.22%
(pays quarterly) |
9/16/31 |
8,395 |
— |
8,395 |
|
TWD |
94,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.22%
(pays quarterly) |
9/16/31 |
19,913 |
— |
19,913 |
|
TWD |
100,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.22%
(pays quarterly) |
9/16/31 |
20,977 |
— |
20,977 |
|
TWD |
126,000 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.23%
(pays quarterly) |
9/16/31 |
25,477 |
— |
25,477 |
|
TWD |
136,500 |
Receives |
3-month TWD TAIBOR
(pays quarterly) |
2.23%
(pays quarterly) |
9/16/31 |
27,130 |
— |
27,130 |
|
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
|
Notional Amount
(000's omitted) |
Portfolio
Pays/
Receives
Floating
Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
ZAR |
1,643,200 |
Pays |
3-month ZAR JIBAR
(pays quarterly) |
8.47%
(pays quarterly) |
9/17/35 |
$ 1,726,219 |
$ — |
$1,726,219 |
|
Total |
|
|
|
|
|
$(4,471,025) |
$ — |
$(4,471,025
) |
|
Interest Rate Swaps (OTC) | |||||||
|
Counterparty |
Notional Amount
(000's omitted) |
Portfolio
Pays/Receives
Floating Rate |
Floating Rate |
Annual
Fixed Rate |
Termination
Date |
Value/Unrealized
Appreciation
(Depreciation) | |
|
JPMorgan Chase Bank, N.A. |
TRY |
348,367 |
Receives |
1-day TRY TRLEF
(pays quarterly) |
39.34%
(pays quarterly) |
6/3/27 |
$(29,636) |
|
JPMorgan Chase Bank, N.A. |
TRY |
348,367 |
Receives |
1-day TRY TRLEF
(pays quarterly) |
39.37%
(pays quarterly) |
6/4/27 |
(31,495) |
|
JPMorgan Chase Bank, N.A. |
TRY |
348,366 |
Receives |
1-day TRY TRLEF
(pays quarterly) |
39.35%
(pays quarterly) |
6/12/27 |
(34,148) |
|
JPMorgan Chase Bank, N.A. |
TRY |
204,214 |
Receives |
1-day TRY TRLEF
(pays annually) |
37.48%
(pays annually) |
6/3/28 |
37,173 |
|
Total |
|
|
|
|
|
|
$(58,106) |
|
Credit Default Swaps - Buy Protection (Centrally Cleared) |
| ||||||
|
Reference Entity |
Notional
Amount
(000's omitted) |
Contract
Annual
Fixed Rate(1) |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) | |
|
Indonesia |
$ |
67,800 |
1.00%
(pays quarterly)(2)
|
6/20/31 |
$(268,038
) |
$237,307 |
$(30,731
) |
|
Korea |
|
53,000 |
1.00%
(pays quarterly)(2)
|
6/20/31 |
(1,859,926
) |
1,803,039 |
(56,887
) |
|
Markit CDX Emerging Markets Index
(CDX.EM.43.V1) |
|
50 |
1.00%
(pays quarterly)(2)
|
6/20/30 |
19 |
(1,358
) |
(1,339
) |
|
Occidental Petroleum Corp. |
|
36,570 |
1.00%
(pays quarterly)(2)
|
6/20/31 |
(524,346
) |
359,441 |
(164,905
) |
|
Petroleo Brasileiro S.A. |
|
15,372 |
1.00%
(pays quarterly)(2)
|
6/20/31 |
193,248 |
(312,201
) |
(118,953
) |
|
Qatar |
|
20,000 |
1.00%
(pays quarterly)(2)
|
6/20/31 |
(571,834
) |
576,027 |
4,193 |
|
Total |
|
|
|
|
$(3,030,877
) |
$2,662,255 |
$(368,622
) |
|
Credit Default Swaps - Sell Protection (OTC) | ||||||||
|
Reference Entity |
Counterparty |
Notional
Amount(3)
(000's omitted) |
Contract Annual
Fixed Rate(1) |
Current
Market
Annual
Fixed Rate(4) |
Termination
Date |
Value |
Unamortized
Upfront
Receipts
(Payments) |
Unrealized
Appreciation
(Depreciation) |
|
U.K. Single
Family Rental |
Goldman Sachs
International |
$11,220 |
4.50%
(pays quarterly) |
4.60
% |
1/25/32 |
$(12,499
) |
$15,392 |
$2,893 |
|
U.S. Land
Banking |
Goldman Sachs
International |
110,000 |
5.50%
(pays monthly) |
6.01 |
10/10/29 |
(1,347,415
) |
— |
(1,347,415
) |
|
U.S. Single
Family Rental |
Goldman Sachs
International |
20,470 |
7.85%
(pays monthly) |
8.22 |
3/18/28 |
151,599 |
11,442 |
163,041 |
|
Total |
|
$141,690 |
|
|
|
$(1,208,315
) |
$26,834 |
$(1,181,481
) |
|
(1)
|
The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer
of protection) on the notional amount of the credit default swap contract. |
|
(2)
|
Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
|
(3)
|
If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required
to make if a credit event, as defined in the credit default swap agreement, were to occur. At July 31, 2026, such maximum potential amount for all
open credit default swaps in which the Portfolio is the seller was $141,690,000. |
|
(4)
|
Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the
market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a
particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may
include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit
event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
|
Total Return Swaps (OTC) | ||||||
|
Counterparty |
Notional Amount
(000's omitted) |
Portfolio Receives |
Portfolio Pays |
Termination
Date |
Value/Unrealized
Appreciation
(Depreciation) | |
|
Bank of America, N.A. |
USD |
75,571 |
Positive return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
Negative return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
1/8/27 |
$517,949 |
|
Bank of America, N.A. |
USD |
15,000 |
Positive return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
Negative return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
1/8/27 |
(80,492
) |
|
Bank of America, N.A. |
USD |
15,000 |
Positive return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
Negative return on
Diversified Volatility Risk
Premium Strategy (pays
monthly) |
1/8/27 |
107,372 |
|
Goldman Sachs
International |
USD |
2,530 |
SOFR - 0.25% on
Notional Amount (pays
upon termination) |
Total Return on iShares
Semiconductor ETF (pays
upon termination) |
8/5/26 |
— |
|
JPMorgan Chase Bank,
N.A. |
AUD |
7,022 |
Australian Overnight
Index Average Rate on
Notional Amount (pays
upon termination) |
Total Return on S&P/ASX
200 Banks Index (pays
upon termination) |
11/30/26 |
(329,056
) |
|
JPMorgan Chase Bank,
N.A. |
AUD |
3,458 |
Australian Overnight
Index Average Rate on
Notional Amount (pays
upon termination) |
Total Return on S&P/ASX
200 Banks Index (pays
upon termination) |
11/30/26 |
(290,805
) |
|
Total Return Swaps (OTC) (continued) | ||||||
|
Counterparty |
Notional Amount
(000's omitted) |
Portfolio Receives |
Portfolio Pays |
Termination
Date |
Value/Unrealized
Appreciation
(Depreciation) | |
|
JPMorgan Chase Bank,
N.A. |
USD |
19,709 |
Total Return on
EGP 1,163,725,000 Egypt
Treasury Bills, 0.00%,
3/16/27 (pays upon
termination) |
SOFR + 0.75% on
Notional Amount (pays
upon termination) |
3/16/27 |
$(99,411
) |
|
JPMorgan Chase Bank,
N.A. |
USD |
100,000 |
Total Return on iBoxx
USD Liquid High Yield
Index (pays quarterly) |
SOFR (pays quarterly) |
12/20/26 |
(149,568
) |
|
Standard Chartered Bank |
USD |
22,257 |
Total Return on
EGP 1,143,825,000 Egypt
Treasury Bills, 0.00%,
9/15/26 (pays upon
termination) |
SOFR + 0.75% on
Notional Amount (pays
upon termination) |
9/15/26 |
(603,025
) |
|
Standard Chartered Bank |
USD |
31,573 |
Total Return on
EGP 1,830,125,000 Egypt
Treasury Bills, 0.00%,
3/16/27 (pays upon
termination) |
SOFR + 0.75% on
Notional Amount (pays
upon termination) |
10/14/26 |
(742,543
) |
|
UBS AG |
USD |
197,233 |
Positive return on
Diversified Volatility Risk
Premia Strategy*(a) (pays
monthly) |
Negative return on
Diversified Volatility Risk
Premia Strategy*(a) (pays
monthly) |
4/7/27 |
2,690,664 |
|
|
|
|
|
|
|
$1,021,085 |
|
(a) The Components of the Volatility Swap along with the value of each Component are listed below: |
|
Component |
Notional Amount
(000's omitted) |
Value/Unrealized
Appreciation
(Depreciation) |
Percentage of Notional
Amount |
|
AU Short Variance Replication Strategy(1)
|
$16,863 |
$589,915 |
8.6
% |
|
EU Short Variance Replication Strategy(2)
|
11,933 |
342,717 |
6.1 |
|
US 5-Year Rates Short Volatility Strategy(3)
|
14,871 |
202,876 |
7.5 |
|
Gold Short Volatility Strategy(4)
|
22,366 |
105,197 |
11.3 |
|
US Equity (NASDAQ) Upside Volatility Premium Strategy(5)
|
25,700 |
(409,118
) |
13.0 |
|
USD Swaption Triangle L1 Strategy(6)
|
20,414 |
858,264 |
10.4 |
|
US 10-Year Rates Short Volatility Strategy(7)
|
10,158 |
78,592 |
5.2 |
|
US Short Variance Replication Strategy(8)
|
14,871 |
542,747 |
7.5 |
|
US Equity (S&P) Upside Volatility Premium Strategy(9)
|
23,392 |
179,166 |
11.9 |
|
Brent Volatility Carry with Protection Strategy(10)
|
11,735 |
(99,807
) |
5.9 |
|
WTI Volatility Carry with Protection Strategy(11)
|
10,828 |
(92,192
) |
5.5 |
|
VIX Volatility Carry with Protection Strategy(12)
|
14,102 |
392,307 |
7.1 |
|
Total |
$197,233 |
$2,690,664 |
100.0
% |
|
(1)
|
The strategy seeks to replicate short variance exposure to the S&P/ASX 200 Index by combining a position in the underlying index with an option
overlay. The option overlay consists of exchange-traded written put and call options on the S&P/ASX 200 Index. |
|
(2)
|
The strategy seeks to replicate short variance exposure to the EURO STOXX 50 Index by combining a short futures position in the underlying index with
an option overlay. The option overlay consists of exchange-traded written put and call options on the EURO STOXX 50 Index. |
|
(3)
|
The strategy seeks to replicate short variance exposure to the S&P 500 Index by combining a short futures position in the underlying index with an
option overlay. The option overlay consists of exchange-traded written put and call options on the S&P 500 Index. |
|
(4)
|
The strategy seeks to provide exposure to long-dated U.S. dollar interest rates by combining positions in 30-year interest rate swap indexes with an
overlay of swaption contracts. The overlay consists of both written and purchased swaptions with 30-, 20-, and 10-year maturities. |
|
(5)
|
The strategy seeks to replicate short variance exposure to gold by combining a position in the SPDR Gold Trust (GLD) ETF with an option overlay. The
option overlay consists of exchange-traded written put and call options on GLD ETF. |
|
(6)
|
The strategy seeks to provide exposure to Brent crude oil by holding long futures positions across multiple maturities, complemented by an option
overlay. This overlay consists of both purchased and written put and call options on Brent crude oil futures. |
|
(7)
|
The strategy seeks to provide exposure to WTI crude oil by holding long futures positions across a range of maturities, complemented by an option
overlay. This overlay consists of both purchased and written put and call options on WTI crude oil futures. |
|
(8)
|
The strategy seeks to provide exposure to volatility in U.S. equity markets by holding short futures positions on the S&P 500 VIX index, complemented
by an option overlay. This overlay consists of written put and call options, as well as purchased call options on VIX futures. |
|
(9)
|
The strategy seeks to capture the volatility risk premium in 5-Year treasury futures. The strategy consists of written options and a position in the
underlying futures. |
|
(10)
|
The strategy seeks to generate positive returns by monetizing the implied vs. realized volatility premia in the U.S. equity market. This strategy consists
of exchange-traded written put and call options on the NASDAQ Index, combined with a futures position in the underlying index. |
|
(11)
|
The strategy seeks to capture the volatility risk premium in 10-Year treasury futures. The strategy consists of written options and a position in the
underlying futures. |
|
(12)
|
The strategy seeks to generate positive returns by monetizing the implied vs. realized volatility premia in the U.S. equity market. This strategy consists
of exchange-traded written put and call options on the S&P 500 Index, combined with a futures position in the underlying index. |
|
Abbreviations: | |
|
ABS |
– Asset-Backed Securities |
|
ADR |
– American Depositary Receipt |
|
BUBOR |
– Budapest Interbank Offered Rate |
|
COF |
– Cost of Funds 11th District |
|
CPI-U (NSA) |
– Consumer Price Index for All Urban Consumers (Not
Seasonally Adjusted) |
|
EURIBOR |
– Euro Interbank Offered Rate |
|
FBIL |
– Financial Benchmarks India Ltd. |
|
FTSE |
– Financial Times Stock Exchange |
|
GDR |
– Global Depositary Receipt |
|
JIBAR |
– Johannesburg Interbank Average Rate |
|
KLIBOR |
– Kuala Lumpur Interbank Offered Rate |
|
MIBOR |
– Mumbai Interbank Offered Rate |
|
| |
|
OTC |
– Over-the-counter |
|
PIK |
– Payment In Kind |
|
PRIBOR |
– Prague Interbank Offered Rate |
|
SOFR |
– Secured Overnight Financing Rate |
|
SONIA |
– Sterling Overnight Interbank Average |
|
STACR |
– Structured Agency Credit Risk |
|
TAIBOR |
– Taipei Interbank Offered Rate |
|
TBA |
– To Be Announced |
|
TELBOR |
– Tel Aviv Interbank Offered Rate |
|
TRLEF |
Turkish Lira Overnight Reference Rate |
|
WIBOR |
– Warsaw Interbank Offered Rate |
|
Currency Abbreviations: | |
|
AED |
– United Arab Emirates Dirham |
|
AUD |
– Australian Dollar |
|
BRL |
– Brazilian Real |
|
CAD |
– Canadian Dollar |
|
CLP |
– Chilean Peso |
|
CNH |
– Yuan Renminbi Offshore |
|
CNY |
– Yuan Renminbi |
|
COP |
– Colombian Peso |
|
CZK |
– Czech Koruna |
|
EGP |
– Egyptian Pound |
|
EUR |
– Euro |
|
GBP |
– British Pound Sterling |
|
HKD |
– Hong Kong Dollar |
|
HUF |
– Hungarian Forint |
|
IDR |
– Indonesian Rupiah |
|
| |
|
ILS |
– Israeli Shekel |
|
INR |
– Indian Rupee |
|
ISK |
– Icelandic Krona |
|
JPY |
– Japanese Yen |
|
KRW |
– South Korean Won |
|
KZT |
– Kazakhstani Tenge |
|
MXN |
– Mexican Peso |
|
MYR |
– Malaysian Ringgit |
|
NZD |
– New Zealand Dollar |
|
OMR |
– Omani Rial |
|
PEN |
– Peruvian Sol |
|
PHP |
– Philippine Peso |
|
PLN |
– Polish Zloty |
|
RSD |
– Serbian Dinar |
|
SAR |
– Saudi Riyal |
|
| |
|
SEK |
– Swedish Krona |
|
SGD |
– Singapore Dollar |
|
THB |
– Thai Baht |
|
TRY |
– Turkish Lira |
|
TWD |
– New Taiwan Dollar |
|
| |
|
USD |
– United States Dollar |
|
UZS |
– Uzbekistani Som |
|
VND |
– Viet Nam Dong |
|
ZAR |
– South African Rand |
|
Description |
Date(s) of
Acquisition |
Principal Amount/
Shares |
Cost |
Value |
|
Convertible Preferred Stocks |
|
|
|
|
|
QXO, Inc., 4.75% |
3/20/26, 6/25/26 |
3,021 |
$30,211,329 |
$21,671,357 |
|
Total Convertible Preferred Stocks |
|
|
$30,211,329 |
$21,671,357 |
|
Insurance Linked Securities |
|
|
|
|
|
Mt. Logan Re Ltd., Series 13, Participating Units |
1/2/18 |
10,000 |
$6,658,283 |
$39,598,553 |
|
Mt. Logan Re Ltd., Series 17, Participating Units |
1/26/21 |
860 |
572,931 |
3,360,740 |
|
Mt. Logan Re Ltd., Series 19, Participating Units |
2/6/24 |
7,464 |
7,463,900 |
17,763,930 |
|
PartnerRe ILS Fund SAC Ltd. |
1/2/24 |
34,000,000 |
34,000,000 |
49,640,000 |
|
Total Insurance Linked Securities |
|
|
$48,695,114 |
$110,363,223 |
|
Preferred Stocks |
|
|
|
|
|
AH Parent, Inc. (Alliant), Series A |
9/25/24 |
$8,224,000 |
$8,104,000 |
$8,243,614 |
|
Total Preferred Stocks |
|
|
$8,104,000 |
$8,243,614 |
|
Total Restricted Securities |
|
|
$87,010,443 |
$140,278,194 |
|
Name |
Value,
beginning
of period |
Purchases |
Sales
proceeds |
Net
realized
gain (loss) |
Change in
unrealized
appreciation
(depreciation) |
Value, end
of period |
Dividend
income |
Shares,
end of period |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
|
Liquidity Fund, Institutional Class (1)
|
$279,205,233 |
$8,032,691,861 |
$(7,426,126,626) |
$ — |
$ — |
$885,770,468 |
$28,488,726 |
885,770,468 |
|
(1)
|
Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
|
Asset Description |
Level 1 |
Level 2 |
Level 3 |
Total |
|
Asset-Backed Securities |
$ — |
$895,650,989 |
$ — |
$895,650,989 |
|
Closed-End Funds |
7,417,279 |
— |
— |
7,417,279 |
|
Collateralized Mortgage Obligations |
— |
5,705,292,144 |
— |
5,705,292,144 |
|
Commercial Mortgage-Backed Securities |
— |
1,098,956,279 |
— |
1,098,956,279 |
|
Common Stocks |
18,002,991 |
118,613,260
* |
— |
136,616,251 |
|
Convertible Bonds |
— |
303,141,846 |
— |
303,141,846 |
|
Convertible Preferred Stocks |
8,287,846 |
— |
21,671,357 |
29,959,203 |
|
Corporate Bonds |
— |
886,263,071 |
— |
886,263,071 |
|
Foreign Corporate Bonds |
— |
839,380,191 |
0 |
839,380,191 |
|
Government National Mortgage Association Participation
Agreements |
— |
200,561,870 |
— |
200,561,870 |
|
Insurance Linked Securities |
— |
— |
565,732,867 |
565,732,867 |
|
Preferred Stocks |
14,835,524 |
10,082,814 |
— |
24,918,338 |
|
Senior Floating-Rate Loans (Less Unfunded Loan
Commitments) |
— |
121,653,844 |
28,489,792 |
150,143,636 |
|
Sovereign Government Bonds |
— |
2,090,974,392 |
— |
2,090,974,392 |
|
U.S. Government Agency Commercial Mortgage-Backed
Securities |
— |
11,714,978 |
— |
11,714,978 |
|
U.S. Government Agency Mortgage-Backed Securities |
— |
3,823,842,347 |
— |
3,823,842,347 |
|
U.S. Government Guaranteed Small Business Administration
Loans |
— |
5,207,990 |
— |
5,207,990 |
|
Short-Term Investments: |
|
|
|
|
|
Affiliated Fund |
885,770,468 |
— |
— |
885,770,468 |
|
Sovereign Government Securities |
— |
69,714,188 |
— |
69,714,188 |
|
U.S. Treasury Obligations |
— |
115,323,796 |
— |
115,323,796 |
|
Purchased Currency Options |
— |
402,473 |
— |
402,473 |
|
Purchased Interest Rate Swaptions |
— |
1,039,601 |
— |
1,039,601 |
|
Purchased Put Options |
721,470 |
— |
— |
721,470 |
|
Total Investments |
$935,035,578 |
$16,297,816,073 |
$615,894,016 |
$17,848,745,667 |
|
Forward Foreign Currency Exchange Contracts |
$ — |
$17,124,802 |
$ — |
$17,124,802 |
|
Forward Volatility Agreements |
— |
31,365 |
— |
31,365 |
|
Futures Contracts |
27,506,519 |
50,800 |
— |
27,557,319 |
|
Swap Contracts |
— |
16,592,470 |
— |
16,592,470 |
|
Total |
$962,542,097 |
$16,331,615,510 |
$615,894,016 |
$17,910,051,623 |
|
Liability Description |
|
|
|
|
|
Written Currency Options |
$ — |
$(599,764
) |
$ — |
$(599,764
) |
|
Forward Foreign Currency Exchange Contracts |
— |
(71,970,027
) |
— |
(71,970,027
) |
|
Non-Deliverable Bond Forward Contracts |
— |
(330,379
) |
— |
(330,379
) |
|
Futures Contracts |
(15,061,457
) |
— |
— |
(15,061,457
) |
|
Swap Contracts |
— |
(24,336,403
) |
— |
(24,336,403
) |
|
Total |
$(15,061,457
) |
$(97,236,573
) |
$ — |
$(112,298,030
) |
|
* |
Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that
occurred after the close of trading in their applicable foreign markets. |
|
|
Convertible
Preferred Stocks |
Foreign
Corporate Bonds |
Insurance
Linked
Securities* |
Loan
Participation Notes |
Senior
Floating-Rate
Loans |
Total |
|
Balance as of October 31, 2025 |
$ — |
$0 |
$201,424,147 |
$153,735 |
$— |
$201,577,882 |
|
Realized gains (losses) |
— |
— |
115,452 |
(4,864
) |
2,588 |
113,176 |
|
Change in net unrealized appreciation
(depreciation) |
(8,539,972
) |
— |
34,923,507 |
2,782 |
272,724 |
26,659,041 |
|
Cost of purchases |
30,211,329 |
22,372 |
370,695,756 |
— |
28,234,907 |
429,164,364 |
|
Proceeds from sales, including return of
capital |
— |
(22,372
) |
(74,561,295
) |
(153,663
) |
(76,525
) |
(74,813,855
) |
|
Accrued discount (premium) |
— |
— |
— |
2,010 |
56,098 |
58,108 |
|
Transfers to Level 3 |
— |
— |
— |
— |
— |
— |
|
Transfers from Level 3 |
— |
— |
— |
— |
— |
— |
|
Balance as of July 31, 2026 |
$21,671,357 |
$0 |
$532,597,567 |
$ — |
$28,489,792 |
$582,758,716 |
|
Change in net unrealized appreciation
(depreciation) on investments still held as
of July 31, 2026 |
$(8,539,972
) |
$0 |
$37,363,567 |
$ — |
$272,723 |
$29,096,318 |
|
* |
The Portfolio’s investments in Insurance Linked Securities were primarily valued on the basis of broker quotations. |
|
Type of Investment |
Fair Value as of
July 31, 2026 |
Valuation Technique |
Unobservable Input |
Input |
Impact to
Valuation from an
Increase to Input* |
|
Convertible Preferred Stocks |
$21,671,357 |
Hybrid bond and
option-pricing model |
Liquidity Discount Percentage |
20% |
Decrease |
|
Foreign Corporate Bonds |
0 |
Estimated Recovery
Value |
Estimated Recovery Value Percentage |
0% |
Increase |
|
* |
Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable
input. A decrease to the unobservable input would have the opposite effect. |