|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
U.S. Government & Agency Obligations — 26.7%
|
|||||
|
U.S. Government Obligations — 26.7%
|
|||||
|
U.S. Treasury Bonds
|
4.750%
|
2/15/41
|
2,190,000
|
$2,128,663
|
|
|
U.S. Treasury Bonds
|
3.625%
|
8/15/43
|
570,000
|
469,471
|
|
|
U.S. Treasury Bonds
|
3.750%
|
11/15/43
|
3,600,000
|
3,007,969
(a)
|
|
|
U.S. Treasury Bonds
|
2.875%
|
5/15/49
|
260,000
|
176,932
|
|
|
U.S. Treasury Bonds
|
4.750%
|
2/15/56
|
20,000
|
18,522
|
|
|
U.S. Treasury Bonds
|
5.000%
|
5/15/56
|
10,000
|
9,640
|
|
|
U.S. Treasury Notes
|
3.375%
|
9/15/27
|
220,000
|
218,168
|
|
|
U.S. Treasury Notes
|
3.750%
|
12/31/28
|
2,150,000
|
2,120,521
(b)
|
|
|
U.S. Treasury Notes
|
3.625%
|
12/31/30
|
450,000
|
434,988
|
|
|
U.S. Treasury Notes
|
4.000%
|
1/31/31
|
1,490,000
|
1,461,248
|
|
|
U.S. Treasury Notes
|
3.625%
|
9/30/31
|
580,000
|
556,890
|
|
|
U.S. Treasury Notes
|
4.375%
|
5/15/36
|
60,000
|
58,308
|
|
|
|
|||||
|
Total U.S. Government & Agency Obligations (Cost — $11,814,308)
|
10,661,320
|
||||
|
Corporate Bonds & Notes — 24.5%
|
|||||
|
Communication Services — 6.3%
|
|||||
|
Diversified Telecommunication Services — 0.8%
|
|||||
|
AT&T Inc., Senior Notes
|
5.375%
|
8/15/35
|
70,000
|
68,446
|
|
|
Galaxy Helios Data Centers II LLC, Senior Secured Notes
|
9.875%
|
8/1/31
|
100,000
|
99,116
(c)
|
|
|
Space Exploration Technologies Corp., Senior Notes
|
5.350%
|
7/15/31
|
60,000
|
58,669
(c)
|
|
|
Space Exploration Technologies Corp., Senior Notes
|
5.650%
|
7/15/33
|
100,000
|
96,526
(c)
|
|
|
Total Diversified Telecommunication Services
|
322,757
|
||||
|
Entertainment — 2.1%
|
|||||
|
Netflix Inc., Senior Notes
|
3.875%
|
11/15/29
|
690,000
EUR
|
810,539
(d)
|
|
|
Netflix Inc., Senior Notes
|
5.250%
|
8/15/36
|
30,000
|
29,661
|
|
|
Total Entertainment
|
840,200
|
||||
|
Interactive Media & Services — 1.6%
|
|||||
|
Alphabet Inc., Senior Notes
|
4.875%
|
8/15/31
|
30,000
|
29,814
|
|
|
Alphabet Inc., Senior Notes
|
5.200%
|
8/15/33
|
10,000
|
9,967
|
|
|
Alphabet Inc., Senior Notes
|
5.450%
|
8/15/36
|
10,000
|
9,925
|
|
|
Alphabet Inc., Senior Notes
|
6.250%
|
8/15/46
|
60,000
|
60,331
|
|
|
Alphabet Inc., Senior Notes
|
5.650%
|
2/15/56
|
110,000
|
100,707
|
|
|
Alphabet Inc., Senior Notes
|
6.375%
|
8/15/56
|
50,000
|
50,344
|
|
|
Alphabet Inc., Senior Notes
|
5.750%
|
2/15/66
|
110,000
|
98,831
|
|
|
Meta Platforms Inc., Senior Notes
|
5.500%
|
11/15/45
|
160,000
|
138,926
|
|
|
Meta Platforms Inc., Senior Notes
|
6.200%
|
5/15/46
|
50,000
|
46,977
|
|
|
Meta Platforms Inc., Senior Notes
|
6.300%
|
5/15/56
|
10,000
|
9,213
|
|
|
Meta Platforms Inc., Senior Notes
|
6.450%
|
5/15/66
|
50,000
|
45,765
|
|
|
Sopaipilla Investor LLC, Senior Secured Notes
|
7.534%
|
11/30/48
|
40,000
|
40,995
(c)
|
|
|
Total Interactive Media & Services
|
641,795
|
||||
|
Media — 1.2%
|
|||||
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
4.250%
|
1/15/34
|
90,000
|
75,118
(c)
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
7.375%
|
2/1/36
|
30,000
|
29,025
(c)
|
|
|
Charter Communications Operating LLC/Charter Communications
Operating Capital Corp., Senior Secured Notes
|
5.500%
|
4/1/63
|
55,000
|
40,566
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Media — continued
|
|||||
|
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior
Secured Notes
|
9.250%
|
6/1/32
|
20,000
|
$20,890
(c)
|
|
|
DISH DBS Corp., Senior Secured Notes
|
5.750%
|
12/1/28
|
150,000
|
147,889
*(c)(e)
|
|
|
Time Warner Cable LLC, Senior Secured Notes
|
7.300%
|
7/1/38
|
130,000
|
130,634
|
|
|
Versant Media Group Inc., Senior Secured Notes
|
7.250%
|
1/30/31
|
10,000
|
10,376
(c)
|
|
|
Total Media
|
454,498
|
||||
|
Wireless Telecommunication Services — 0.6%
|
|||||
|
CSC Holdings LLC, Senior Notes
|
4.500%
|
11/15/31
|
480,000
|
252,000
(c)
|
|
|
|
|||||
|
Total Communication Services
|
2,511,250
|
||||
|
Consumer Discretionary — 6.9%
|
|||||
|
Automobile Components — 0.4%
|
|||||
|
ZF North America Capital Inc., Senior Notes
|
7.500%
|
3/24/31
|
160,000
|
164,148
(c)
|
|
|
Automobiles — 0.2%
|
|||||
|
PM General Purchaser LLC, Senior Secured Notes
|
9.500%
|
10/1/28
|
100,000
|
78,375
(c)
|
|
|
Broadline Retail — 1.2%
|
|||||
|
Amazon.com Inc., Senior Notes
|
4.800%
|
7/9/31
|
50,000
|
49,553
|
|
|
Amazon.com Inc., Senior Notes
|
4.875%
|
3/13/36
|
30,000
|
28,532
|
|
|
Amazon.com Inc., Senior Notes
|
5.300%
|
7/9/36
|
40,000
|
39,162
|
|
|
Amazon.com Inc., Senior Notes
|
5.650%
|
3/13/46
|
20,000
|
18,763
|
|
|
Amazon.com Inc., Senior Notes
|
5.800%
|
3/13/56
|
20,000
|
18,461
|
|
|
Amazon.com Inc., Senior Notes
|
5.950%
|
3/13/66
|
30,000
|
27,631
|
|
|
Prosus NV, Senior Notes
|
3.061%
|
7/13/31
|
310,000
|
279,944
(c)
|
|
|
Total Broadline Retail
|
462,046
|
||||
|
Hotels, Restaurants & Leisure — 4.9%
|
|||||
|
Carnival Corp. Ltd., Senior Notes
|
6.125%
|
2/15/33
|
60,000
|
60,181
(c)
|
|
|
Las Vegas Sands Corp., Senior Notes
|
3.900%
|
8/8/29
|
90,000
|
86,825
|
|
|
NCL Corp. Ltd., Senior Notes
|
5.875%
|
1/15/31
|
20,000
|
19,192
(c)
|
|
|
NCL Corp. Ltd., Senior Notes
|
6.250%
|
9/15/33
|
20,000
|
18,720
(c)
|
|
|
Royal Caribbean Cruises Ltd., Senior Notes
|
5.625%
|
9/30/31
|
40,000
|
40,070
(c)
|
|
|
Royal Caribbean Cruises Ltd., Senior Notes
|
6.000%
|
2/1/33
|
20,000
|
20,126
(c)
|
|
|
Sands China Ltd., Senior Notes
|
2.300%
|
3/8/27
|
500,000
|
494,255
|
|
|
Sands China Ltd., Senior Notes
|
5.400%
|
8/8/28
|
590,000
|
594,181
|
|
|
Sands China Ltd., Senior Notes
|
2.850%
|
3/8/29
|
330,000
|
312,743
|
|
|
Sands China Ltd., Senior Notes
|
3.250%
|
8/8/31
|
200,000
|
180,714
|
|
|
Viking Cruises Ltd., Senior Notes
|
9.125%
|
7/15/31
|
20,000
|
20,995
(c)
|
|
|
Viking Cruises Ltd., Senior Notes
|
5.875%
|
10/15/33
|
50,000
|
49,507
(c)
|
|
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior
Notes
|
7.125%
|
2/15/31
|
60,000
|
63,025
(c)
|
|
|
Total Hotels, Restaurants & Leisure
|
1,960,534
|
||||
|
Specialty Retail — 0.2%
|
|||||
|
Michaels Cos. Inc., Senior Secured Notes
|
8.500%
|
3/15/33
|
40,000
|
39,625
(c)
|
|
|
Petco Health & Wellness Co. Inc., Senior Secured Notes
|
8.250%
|
2/1/31
|
50,000
|
50,831
(c)
|
|
|
Total Specialty Retail
|
90,456
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
2,755,559
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Consumer Staples — 0.1%
|
|||||
|
Food Products — 0.1%
|
|||||
|
JBS NV/JBS USA Foods Group Holdings Inc./JBS USA Food Co.
Holdings, Senior Notes
|
5.625%
|
3/10/37
|
40,000
|
$38,897
(c)
|
|
|
|
|||||
|
Energy — 2.6%
|
|||||
|
Oil, Gas & Consumable Fuels — 2.6%
|
|||||
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior
Notes
|
7.250%
|
7/15/32
|
20,000
|
20,686
(c)
|
|
|
Cheniere Energy Partners LP, Senior Notes
|
3.250%
|
1/31/32
|
30,000
|
27,188
|
|
|
Chord Energy Corp., Senior Notes
|
6.000%
|
10/1/30
|
50,000
|
50,615
(c)
|
|
|
Continental Resources Inc., Senior Notes
|
2.268%
|
11/15/26
|
30,000
|
29,873
(c)
|
|
|
Continental Resources Inc., Senior Notes
|
5.750%
|
1/15/31
|
50,000
|
50,654
(c)
|
|
|
Crescent Energy Finance LLC, Senior Notes
|
7.375%
|
1/15/33
|
40,000
|
40,872
(c)
|
|
|
Devon Energy Corp., Senior Notes
|
4.375%
|
3/15/29
|
30,000
|
29,648
(c)
|
|
|
Ecopetrol SA, Senior Notes
|
8.375%
|
1/19/36
|
10,000
|
10,584
|
|
|
Enterprise Products Operating LLC, Senior Notes (5.375% to
2/15/28 then 3 mo. Term SOFR + 2.832%)
|
5.375%
|
2/15/78
|
20,000
|
19,993
(f)
|
|
|
EQT Corp., Senior Notes
|
3.900%
|
10/1/27
|
12,000
|
11,900
|
|
|
KazMunayGas National Co. JSC, Senior Notes
|
3.500%
|
4/14/33
|
350,000
|
313,810
(c)
|
|
|
Permian Resources Operating LLC, Senior Notes
|
7.000%
|
1/15/32
|
100,000
|
103,362
(c)
|
|
|
Petrobras Global Finance BV, Senior Notes
|
6.500%
|
7/3/33
|
70,000
|
71,073
|
|
|
Venture Global LNG Inc., Senior Secured Notes
|
6.625%
|
6/15/36
|
10,000
|
10,044
(c)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
7.500%
|
5/1/33
|
10,000
|
10,868
(c)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
6.500%
|
6/15/34
|
20,000
|
20,690
(c)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
7.750%
|
5/1/35
|
10,000
|
11,126
(c)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
6.750%
|
1/15/36
|
70,000
|
73,722
(c)
|
|
|
Western Midstream Operating LP, Senior Notes
|
4.050%
|
2/1/30
|
110,000
|
106,192
|
|
|
Western Midstream Operating LP, Senior Notes
|
5.450%
|
4/1/44
|
20,000
|
17,822
|
|
|
|
|||||
|
Total Energy
|
1,030,722
|
||||
|
Financials — 2.0%
|
|||||
|
Banks — 1.0%
|
|||||
|
Citigroup Inc., Junior Subordinated Notes (6.625% to 2/15/31
then 5 year Treasury Constant Maturity Rate + 3.001%)
|
6.625%
|
2/15/31
|
80,000
|
81,182
(f)(g)
|
|
|
Lloyds Banking Group PLC, Junior Subordinated Notes (8.500% to
9/27/28 then U.K. Government Bonds 5 year Note Generic Bid
Yield + 5.143%)
|
8.500%
|
3/27/28
|
200,000
GBP
|
282,611
(f)(g)
|
|
|
Wells Fargo & Co., Junior Subordinated Notes (6.125% to
6/15/31 then 5 year Treasury Constant Maturity Rate + 2.340%)
|
6.125%
|
6/15/31
|
50,000
|
49,578
(f)(g)
|
|
|
Total Banks
|
413,371
|
||||
|
Capital Markets — 0.9%
|
|||||
|
Credit Suisse AG AT1 Claim
|
—
|
—
|
1,680,000
|
0
*(h)(i)(j)
|
|
|
Goldman Sachs Group Inc., Junior Subordinated Notes (6.500%
to 8/10/31 then 5 year Treasury Constant Maturity Rate +
2.175%)
|
6.500%
|
8/10/31
|
130,000
|
129,445
(f)(g)
|
|
|
UBS Group AG, Junior Subordinated Notes (7.125% to 2/10/35
then USD 5 year SOFR ICE Swap Rate + 3.179%)
|
7.125%
|
8/10/34
|
230,000
|
231,724
(c)(f)(g)
|
|
|
Total Capital Markets
|
361,169
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Financial Services — 0.1%
|
|||||
|
Rocket Cos. Inc., Senior Notes
|
6.500%
|
6/15/34
|
20,000
|
$20,330
(c)
|
|
|
|
|||||
|
Total Financials
|
794,870
|
||||
|
Health Care — 3.3%
|
|||||
|
Health Care Providers & Services — 1.2%
|
|||||
|
CVS Pass-Through Trust, Secured Trust
|
6.036%
|
12/10/28
|
14,135
|
14,230
|
|
|
Dignity Health, Secured Notes
|
5.267%
|
11/1/64
|
120,000
|
103,176
|
|
|
Humana Inc., Senior Notes
|
8.150%
|
6/15/38
|
280,000
|
322,126
|
|
|
LifePoint Health Inc., Senior Secured Notes
|
9.875%
|
8/15/30
|
40,000
|
42,103
(c)
|
|
|
Total Health Care Providers & Services
|
481,635
|
||||
|
Pharmaceuticals — 2.1%
|
|||||
|
Teva Pharmaceutical Finance Netherlands II BV, Senior Notes
|
7.375%
|
9/15/29
|
600,000
EUR
|
767,471
|
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
3.150%
|
10/1/26
|
77,000
|
76,897
|
|
|
Total Pharmaceuticals
|
844,368
|
||||
|
|
|||||
|
Total Health Care
|
1,326,003
|
||||
|
Industrials — 1.2%
|
|||||
|
Aerospace & Defense — 0.4%
|
|||||
|
Bombardier Inc., Senior Notes
|
7.250%
|
7/1/31
|
20,000
|
20,931
(c)
|
|
|
Bombardier Inc., Senior Notes
|
6.750%
|
6/15/33
|
30,000
|
31,013
(c)
|
|
|
Honeywell Aerospace Inc., Senior Notes
|
5.622%
|
3/16/46
|
50,000
|
47,791
|
|
|
Honeywell Aerospace Inc., Senior Notes
|
5.732%
|
3/16/56
|
50,000
|
47,543
|
|
|
Total Aerospace & Defense
|
147,278
|
||||
|
Building Products — 0.2%
|
|||||
|
Quikrete Holdings Inc., Senior Secured Notes
|
6.375%
|
3/1/32
|
70,000
|
70,906
(c)
|
|
|
Passenger Airlines — 0.2%
|
|||||
|
United Airlines Inc., Senior Secured Notes
|
4.625%
|
4/15/29
|
100,000
|
98,543
(c)
|
|
|
Trading Companies & Distributors — 0.4%
|
|||||
|
EquipmentShare.com Inc., Secured Notes
|
8.000%
|
3/15/33
|
40,000
|
41,073
(c)
|
|
|
Herc Holdings Inc., Senior Notes
|
7.250%
|
6/15/33
|
70,000
|
72,451
(c)
|
|
|
QXO Building Products Inc., Senior Notes
|
6.875%
|
7/15/34
|
10,000
|
10,124
(c)
|
|
|
United Rentals North America Inc., Senior Notes
|
6.125%
|
3/15/34
|
50,000
|
50,876
(c)
|
|
|
Total Trading Companies & Distributors
|
174,524
|
||||
|
|
|||||
|
Total Industrials
|
491,251
|
||||
|
Information Technology — 0.6%
|
|||||
|
IT Services — 0.2%
|
|||||
|
APLD ComputeCo 3 LLC, Senior Secured Notes
|
7.000%
|
6/15/31
|
10,000
|
9,640
(c)
|
|
|
Core Scientific Finance I LLC, Senior Secured Notes
|
7.750%
|
5/15/31
|
30,000
|
29,128
(c)
|
|
|
HUT 8 DC LLC, Senior Secured Notes
|
6.192%
|
11/15/42
|
30,000
|
29,150
(c)
|
|
|
Total IT Services
|
67,918
|
||||
|
Semiconductors & Semiconductor Equipment — 0.3%
|
|||||
|
Advanced Micro Devices Inc., Senior Notes
|
5.500%
|
8/17/36
|
40,000
|
39,290
|
|
|
Intel Corp., Senior Notes
|
6.125%
|
5/15/56
|
80,000
|
75,504
|
|
|
Total Semiconductors & Semiconductor Equipment
|
114,794
|
||||
|
Software — 0.1%
|
|||||
|
Oracle Corp., Senior Notes
|
6.550%
|
2/4/46
|
30,000
|
26,821
|
|
|
Oracle Corp., Senior Notes
|
6.700%
|
2/4/56
|
30,000
|
26,441
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Software — continued
|
|||||
|
Oracle Corp., Senior Notes
|
6.850%
|
2/4/66
|
10,000
|
$8,786
|
|
|
Total Software
|
62,048
|
||||
|
|
|||||
|
Total Information Technology
|
244,760
|
||||
|
Materials — 0.6%
|
|||||
|
Metals & Mining — 0.6%
|
|||||
|
First Quantum Minerals Ltd., Senior Notes
|
6.375%
|
2/15/36
|
200,000
|
195,142
(c)
|
|
|
Freeport-McMoRan Inc., Senior Notes
|
5.450%
|
3/15/43
|
70,000
|
65,796
|
|
|
|
|||||
|
Total Materials
|
260,938
|
||||
|
Real Estate — 0.2%
|
|||||
|
Specialized REITs — 0.2%
|
|||||
|
Meridian Arc Holdco LLC, Senior Secured Notes
|
6.250%
|
4/30/31
|
20,000
|
19,027
(c)
|
|
|
Millrose Properties Inc., Senior Notes
|
6.375%
|
8/1/30
|
40,000
|
40,592
(c)
|
|
|
Millrose Properties Inc., Senior Notes
|
6.250%
|
9/15/32
|
20,000
|
20,086
(c)
|
|
|
|
|||||
|
Total Real Estate
|
79,705
|
||||
|
Utilities — 0.7%
|
|||||
|
Electric Utilities — 0.7%
|
|||||
|
Entergy Louisiana LLC
|
5.500%
|
9/15/36
|
20,000
|
19,821
|
|
|
NRG Energy Inc., Senior Notes
|
5.750%
|
1/15/34
|
20,000
|
19,479
(c)
|
|
|
NRG Energy Inc., Senior Notes
|
6.000%
|
1/15/36
|
80,000
|
77,831
(c)
|
|
|
NRG Energy Inc., Senior Notes
|
6.125%
|
5/15/36
|
20,000
|
19,604
(c)
|
|
|
NRG Energy Inc., Senior Secured Notes
|
4.955%
|
4/30/31
|
20,000
|
19,462
(c)
|
|
|
Pacific Gas and Electric Co., First Mortgage Bonds
|
3.000%
|
6/15/28
|
40,000
|
38,731
|
|
|
Talen Energy Supply LLC, Senior Notes
|
6.375%
|
5/1/33
|
10,000
|
9,879
(c)
|
|
|
Talen Energy Supply LLC, Senior Notes
|
6.500%
|
2/1/36
|
30,000
|
29,457
(c)
|
|
|
Virginia Electric and Power Co., Senior Notes
|
5.650%
|
8/15/36
|
20,000
|
20,042
|
|
|
Virginia Electric and Power Co., Senior Notes
|
6.300%
|
8/15/56
|
10,000
|
10,110
|
|
|
|
|||||
|
Total Utilities
|
264,416
|
||||
|
Total Corporate Bonds & Notes (Cost — $10,156,340)
|
9,798,371
|
||||
|
Collateralized Mortgage Obligations(k) — 15.3%
|
|||||
|
Angel Oak Mortgage Trust, 2024-10 A1
|
5.348%
|
10/25/69
|
182,676
|
182,065
(c)
|
|
|
BANK, 2018-BN15 B
|
4.808%
|
11/15/61
|
350,000
|
329,121
(f)
|
|
|
BANK, 2022-BNK39 A4
|
2.928%
|
2/15/55
|
240,000
|
214,448
(f)
|
|
|
BDS LLC, 2026-FL17 A (1 mo. Term SOFR + 1.350%)
|
4.997%
|
5/19/43
|
100,000
|
100,127
(c)(f)
|
|
|
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR +
2.946%)
|
6.585%
|
4/15/34
|
330,000
|
313,339
(c)(f)
|
|
|
BXMT Ltd., 2026-FL6 A (1 mo. Term SOFR + 1.450%)
|
5.097%
|
8/19/43
|
100,000
|
99,781
(c)(f)
|
|
|
CD Mortgage Trust, 2017-CD5 A4
|
3.431%
|
8/15/50
|
340,000
|
335,639
|
|
|
CHL Mortgage Pass-Through Trust, 2001-HYB1 1A1
|
5.586%
|
6/19/31
|
1,619
|
1,609
(f)
|
|
|
CHL Mortgage Pass-Through Trust, 2003-60 1A1
|
6.116%
|
2/25/34
|
5,136
|
5,165
(f)
|
|
|
Citigroup Mortgage Loan Trust, 2005-9 1A1 (1 mo. Term SOFR +
0.374%)
|
4.042%
|
11/25/35
|
62,230
|
55,664
(f)
|
|
|
Cityfed Mortgage Trust, 2026-WEST A (1 mo. Term SOFR +
1.710%)
|
5.360%
|
9/15/43
|
100,000
|
99,750
(c)(f)
|
|
|
Countrywide Alternative Loan Trust, 2005-28CB 2A3
|
5.750%
|
8/25/35
|
681,357
|
408,147
|
|
|
Countrywide Alternative Loan Trust, 2005-76 3A1 (1 mo. Term
SOFR + 0.634%)
|
4.302%
|
1/25/46
|
41,421
|
38,552
(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(k) — continued
|
|||||
|
DC Commercial Mortgage Trust, 2023-DC A
|
6.314%
|
9/12/40
|
300,000
|
$302,873
(c)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2004-4
7AR2 (1 mo. Term SOFR + 0.564%)
|
4.232%
|
6/25/34
|
2,035
|
1,939
(f)
|
|
|
Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR +
2.600%)
|
6.239%
|
10/15/42
|
267,608
|
270,338
(c)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily
Structured Pass-Through Certificates, K514 X1, IO
|
1.159%
|
12/25/28
|
4,986,669
|
95,432
(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5449 FQ (30
Day Average SOFR + 1.500%)
|
5.143%
|
9/25/54
|
70,606
|
70,303
(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5482 FC (30
Day Average SOFR + 1.300%)
|
4.943%
|
12/25/54
|
67,124
|
67,469
(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-
R06 1M2 (30 Day Average SOFR + 2.700%)
|
6.343%
|
7/25/43
|
370,000
|
378,145
(c)(f)
|
|
|
First Horizon Alternative Mortgage Securities Trust, 2005-AA12
1A1
|
4.221%
|
2/25/36
|
25,145
|
17,638
(f)
|
|
|
GCAT Trust, 2024-INV3 A17
|
6.500%
|
9/25/54
|
58,678
|
59,659
(c)(f)
|
|
|
Government National Mortgage Association (GNMA), 2014-47 IA,
IO
|
0.171%
|
2/16/48
|
125,254
|
387
(f)
|
|
|
Government National Mortgage Association (GNMA), 2014-50 IO,
IO
|
0.586%
|
9/16/55
|
737,769
|
17,130
(f)
|
|
|
Government National Mortgage Association (GNMA), 2014-134
IA, IO
|
0.119%
|
1/16/55
|
21,001,676
|
47,406
(f)
|
|
|
Government National Mortgage Association (GNMA), 2017-21 IO,
IO
|
0.589%
|
10/16/58
|
2,441,305
|
79,954
(f)
|
|
|
Government National Mortgage Association (GNMA), 2017-41 IO,
IO
|
0.488%
|
7/16/58
|
299,164
|
7,297
(f)
|
|
|
Government National Mortgage Association (GNMA), 2022-9 GA
|
2.000%
|
1/20/52
|
128,188
|
103,736
|
|
|
GreenPoint Mortgage Funding Trust, 2006-AR3 3A1 (1 mo. Term
SOFR + 0.574%)
|
4.242%
|
4/25/36
|
3,254
|
3,258
(f)
|
|
|
HOMES Trust, 2024-NQM1 A1
|
5.915%
|
7/25/69
|
141,301
|
141,628
(c)
|
|
|
Lehman XS Trust, 2006-16N A4B (1 mo. Term SOFR + 0.594%)
|
4.262%
|
11/25/46
|
6,407
|
9,595
(f)
|
|
|
Lehman XS Trust, 2006-GP3 2A2 (1 mo. Term SOFR + 0.554%)
|
4.222%
|
6/25/46
|
9,615
|
24,129
(f)
|
|
|
MF1 LLC, 2024-FL16 A (1 mo. Term SOFR + 1.541%)
|
5.180%
|
11/18/39
|
350,000
|
350,767
(c)(f)
|
|
|
MF1 LLC, 2025-FL19 A (1 mo. Term SOFR + 1.488%)
|
5.127%
|
5/18/42
|
270,000
|
270,670
(c)(f)
|
|
|
MF1 LLC, 2026-FL21 A (1 mo. Term SOFR + 1.350%)
|
4.989%
|
2/18/41
|
100,000
|
100,062
(c)(f)
|
|
|
Morgan Stanley Capital I Trust, 2021-L7 XA, IO
|
1.171%
|
10/15/54
|
5,882,328
|
201,310
(f)
|
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2024-INV2 A1
|
6.500%
|
2/25/54
|
147,954
|
148,586
(c)(f)
|
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-DSC1 A2
|
5.020%
|
1/25/71
|
96,393
|
94,497
(c)
|
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-DSC2 A1
|
5.440%
|
4/27/71
|
96,180
|
95,525
(c)(f)
|
|
|
MSWF Commercial Mortgage Trust, 2023-1 A4
|
5.472%
|
5/15/56
|
160,000
|
161,486
|
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust, 2006-AF2
4A
|
5.467%
|
8/25/36
|
16,694
|
16,276
(f)
|
|
|
OAKRE Issuer LLC, 2026-FL1 A (1 mo. Term SOFR + 1.500%)
|
5.208%
|
2/18/44
|
100,000
|
100,154
(c)(f)
|
|
|
PRPM Trust, 2024-NQM4 A1
|
5.674%
|
12/26/69
|
184,364
|
184,197
(c)
|
|
|
SWCH Commercial Mortgage Trust, 2025-DATA A (1 mo. Term
SOFR + 1.443%)
|
5.082%
|
2/15/42
|
220,000
|
218,501
(c)(f)
|
|
|
UBS Commercial Mortgage Trust, 2017-C7 A3
|
3.418%
|
12/15/50
|
294,581
|
290,503
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $6,431,267)
|
6,114,257
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Asset-Backed Securities — 11.8%
|
|||||
|
Apollo Aviation Securitization Equity Trust, 2025-1A A
|
5.943%
|
2/16/50
|
221,266
|
$221,241
(c)
|
|
|
AutoNation Finance Trust, 2026-1A D
|
5.070%
|
1/11/34
|
100,000
|
98,565
(c)
|
|
|
Bayview Opportunity Master Fund LLC, 2025-EDU1 C (30 Day
Average SOFR + 1.800%)
|
5.443%
|
7/27/48
|
239,797
|
240,122
(c)(f)
|
|
|
Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR + 3.900%)
|
7.633%
|
11/22/34
|
280,000
|
281,249
(c)(f)
|
|
|
Blueberry Park CLO Ltd., 2024-1A D1 (3 mo. Term SOFR + 2.900%)
|
6.629%
|
10/20/37
|
260,000
|
258,922
(c)(f)
|
|
|
Countrywide Home Equity Loan Trust, 2007-A A (1 mo. Term SOFR
+ 0.234%)
|
3.874%
|
4/15/37
|
338,535
|
322,519
(f)
|
|
|
Fremont Home Loan Trust, 2006-B 2A2 (1 mo. Term SOFR +
0.314%)
|
3.982%
|
8/25/36
|
292,497
|
88,127
(f)
|
|
|
Galaxy CLO Ltd., 2018-25A CRR (3 mo. Term SOFR + 1.800%)
|
5.610%
|
4/25/36
|
320,000
|
320,900
(c)(f)
|
|
|
GoodLeap Sustainable Home Solutions Trust, 2022-1GS C
|
3.500%
|
1/20/49
|
655,630
|
200,248
(c)
|
|
|
Greywolf CLO Ltd., 2019-1A CR2 (3 mo. Term SOFR + 3.500%)
|
7.250%
|
4/17/34
|
140,000
|
138,736
(c)(f)
|
|
|
Hayfin US Ltd., 2024-15A D1 (3 mo. Term SOFR + 4.260%)
|
8.098%
|
4/28/37
|
320,000
|
322,791
(c)(f)
|
|
|
MAPS Trust, 2026-1A A
|
5.201%
|
1/15/51
|
95,757
|
93,746
(c)
|
|
|
MASTR Specialized Loan Trust, 2006-3 A (1 mo. Term SOFR +
0.634%)
|
4.302%
|
6/25/46
|
40,901
|
39,362
(c)(f)
|
|
|
Mosaic Solar Loan Trust, 2021-1A D
|
3.710%
|
12/20/46
|
268,367
|
198,658
(c)
|
|
|
Mountain View CLO Ltd., 2025-1A D1 (3 mo. Term SOFR +
3.400%)
|
7.150%
|
10/17/38
|
190,000
|
184,219
(c)(f)
|
|
|
Nelnet Student Loan Trust, 2021-A APT2
|
1.360%
|
4/20/62
|
226,140
|
215,285
(c)
|
|
|
New Mountain CLO Ltd., 5A D1R (3 mo. Term SOFR + 3.150%)
|
6.879%
|
7/20/36
|
200,000
|
200,730
(c)(f)
|
|
|
Oak Street Investment Grade Net Lease Fund, 2020-1A A2
|
2.210%
|
11/20/50
|
134,370
|
116,401
(c)
|
|
|
Obra CLO Ltd., 2026-5A D1 (3 mo. Term SOFR + 2.850%)
|
6.564%
|
10/20/39
|
150,000
|
150,181
(c)(f)
|
|
|
Park Avenue Institutional Advisers CLO Ltd., 2022-1A B1 (3 mo.
Term SOFR + 2.250%)
|
5.979%
|
4/20/35
|
250,000
|
251,025
(c)(f)
|
|
|
QTS Issuer ABS LLC, 2026-7A A21
|
5.589%
|
7/5/56
|
100,000
|
97,478
(c)
|
|
|
Service Experts Issuer LLC, 2025-1A A
|
5.380%
|
1/20/37
|
82,388
|
81,256
(c)
|
|
|
Subway Funding LLC, 2024-1A A2I
|
6.028%
|
7/30/54
|
245,625
|
246,460
(c)
|
|
|
Switch ABS Issuer LLC, 2025-1A A2
|
5.036%
|
3/25/55
|
250,000
|
241,330
(c)
|
|
|
UCFC Manufactured Housing Contract, 1997-3 M
|
7.115%
|
1/15/29
|
93,956
|
93,434
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost — $5,418,175)
|
4,702,985
|
||||
|
Mortgage-Backed Securities — 8.4%
|
|||||
|
FHLMC — 0.9%
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
4.600%
|
3/1/35
|
300,000
|
293,616
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
2.000%
|
12/1/41
|
74,216
|
63,748
|
|
|
Total FHLMC
|
357,364
|
||||
|
FNMA — 2.9%
|
|||||
|
Federal National Mortgage Association (FNMA)
|
4.350%
|
10/1/34
|
200,000
|
192,849
|
|
|
Federal National Mortgage Association (FNMA)
|
4.360%
|
12/1/35
|
200,000
|
191,416
|
|
|
Federal National Mortgage Association (FNMA)
|
1.500%
|
2/1/42
|
163,522
|
136,685
|
|
|
Federal National Mortgage Association (FNMA)
|
2.500%
|
3/1/42
|
261,779
|
231,476
|
|
|
Federal National Mortgage Association (FNMA)
|
3.000%
|
4/1/42
|
65,167
|
59,564
|
|
|
Federal National Mortgage Association (FNMA)
|
4.500%
|
10/1/52-
8/1/58
|
83,404
|
79,355
|
|
|
Federal National Mortgage Association (FNMA)
|
3.500%
|
9/1/56
|
100,000
|
88,676
(l)
|
|
|
Federal National Mortgage Association (FNMA)
|
5.500%
|
9/1/56
|
100,000
|
98,987
(l)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
FNMA — continued
|
|||||
|
Federal National Mortgage Association (FNMA)
|
6.000%
|
9/1/56
|
100,000
|
$101,102
(l)
|
|
|
Total FNMA
|
1,180,110
|
||||
|
GNMA — 4.6%
|
|||||
|
Government National Mortgage Association (GNMA)
|
3.000%
|
10/15/42-
11/15/42
|
168,037
|
151,015
|
|
|
Government National Mortgage Association (GNMA)
|
4.000%
|
3/15/50
|
24,835
|
22,651
|
|
|
Government National Mortgage Association (GNMA)
|
3.500%
|
5/15/50
|
27,936
|
24,582
|
|
|
Government National Mortgage Association (GNMA) II
|
4.000%
|
1/20/50-
4/20/50
|
320,764
|
291,057
|
|
|
Government National Mortgage Association (GNMA) II
|
3.500%
|
2/20/50
|
73,415
|
64,291
|
|
|
Government National Mortgage Association (GNMA) II
|
5.500%
|
3/20/55-
5/20/55
|
294,525
|
293,097
(m)
|
|
|
Government National Mortgage Association (GNMA) II
|
3.000%
|
9/1/56
|
900,000
|
782,324
(l)
|
|
|
Government National Mortgage Association (GNMA) II
|
6.000%
|
9/1/56
|
100,000
|
101,402
(l)
|
|
|
Government National Mortgage Association (GNMA) II
|
6.500%
|
9/1/56
|
100,000
|
103,073
(l)
|
|
|
Total GNMA
|
1,833,492
|
||||
|
|
|||||
|
Total Mortgage-Backed Securities (Cost — $3,495,853)
|
3,370,966
|
||||
|
Sovereign Bonds — 6.1%
|
|||||
|
Argentina — 0.5%
|
|||||
|
Argentine Republic Government International Bond, Senior Notes,
Step bond (0.750% to 7/9/27 then 1.750%)
|
0.750%
|
7/9/30
|
11,584
|
10,061
|
|
|
Argentine Republic Government International Bond, Senior Notes,
Step bond (4.125% to 7/9/27 then 4.750%)
|
4.125%
|
7/9/35
|
110,000
|
83,325
|
|
|
Provincia de Buenos Aires, Senior Notes
|
6.625%
|
9/1/37
|
114,627
|
91,874
(c)
|
|
|
Total Argentina
|
185,260
|
||||
|
Brazil — 0.3%
|
|||||
|
|
|||||
|
Brazil Letras do Tesouro Nacional
|
0.000%
|
1/1/28
|
800,000
BRL
|
130,044
|
|
|
Chile — 0.2%
|
|||||
|
|
|||||
|
Bonos de la Tesoreria de la Republica en pesos, Bonds
|
6.000%
|
4/1/33
|
60,000,000
CLP
|
65,471
(d)
|
|
|
Colombia — 0.6%
|
|||||
|
Colombian TES, Bonds
|
6.000%
|
4/28/28
|
678,500,000
COP
|
191,363
|
|
|
Colombian TES, Bonds
|
7.000%
|
3/26/31
|
288,000,000
COP
|
72,875
|
|
|
Total Colombia
|
264,238
|
||||
|
India — 3.3%
|
|||||
|
|
|||||
|
India Government Bond, Senior Notes
|
5.790%
|
5/11/30
|
128,260,000
INR
|
1,315,761
|
|
|
Malaysia — 0.2%
|
|||||
|
|
|||||
|
Malaysia Government Bond
|
4.254%
|
5/31/35
|
290,000
MYR
|
74,033
|
|
|
Mexico — 0.6%
|
|||||
|
|
|||||
|
Eagle Funding Luxco Sarl, Senior Notes
|
5.500%
|
8/17/30
|
250,000
|
249,937
(c)
|
|
|
Peru — 0.2%
|
|||||
|
|
|||||
|
Peru Government Bond, Senior Notes
|
5.400%
|
8/12/34
|
260,000
PEN
|
74,573
|
|
|
Uruguay — 0.2%
|
|||||
|
Uruguay Government International Bond, Senior Notes
|
8.250%
|
5/21/31
|
3,830,000
UYU
|
99,226
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $2,851,745)
|
2,458,543
|
||||
|
U.S. Treasury Inflation Protected Securities — 3.1%
|
|||||
|
U.S. Treasury Bonds, Inflation Indexed (Cost — $1,223,638)
|
2.375%
|
2/15/56
|
1,391,094
|
1,222,662
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Senior Loans — 2.5%
|
|||||
|
Communication Services — 0.1%
|
|||||
|
Diversified Telecommunication Services — 0.1%
|
|||||
|
QTS Thunder Managing LLC, Term Loan (3 mo. Term SOFR +
2.250%)
|
6.025%
|
7/22/33
|
40,000
|
$39,825
(f)(n)(o)
|
|
|
|
|||||
|
Consumer Discretionary — 0.3%
|
|||||
|
Specialty Retail — 0.3%
|
|||||
|
Harbor Freight Tools USA Inc., Initial Term Loan (1 mo. Term SOFR
+ 2.250%)
|
5.936%
|
6/11/31
|
76,719
|
77,005
(f)(n)(o)
|
|
|
Petco Health & Wellness Co. Inc., 2026 Term Loan (3 mo. Term
SOFR + 4.250%)
|
7.982%
|
2/3/31
|
39,900
|
39,939
(f)(n)(o)
|
|
|
|
|||||
|
Total Consumer Discretionary
|
116,944
|
||||
|
Financials — 0.9%
|
|||||
|
Banks — 0.1%
|
|||||
|
Ascensus Group Holdings Inc., 2024 Term Loan B (1 mo. Term
SOFR + 3.000%)
|
6.686%
|
11/24/32
|
29,925
|
29,563
(f)(n)(o)
|
|
|
Capital Markets — 0.2%
|
|||||
|
Focus Financial Partners LLC, Incremental Term Loan B (1 mo.
Term SOFR + 2.500%)
|
6.186%
|
9/15/31
|
79,599
|
78,808
(f)(n)(o)
|
|
|
Insurance — 0.6%
|
|||||
|
AmWINS Group Inc., 2026 Refinancing Term Loan (3 mo. Term
SOFR + 2.000%)
|
5.732%
|
1/30/32
|
79,596
|
78,943
(f)(n)(o)
|
|
|
Asurion LLC, New Term Loan B14 (3 mo. Term SOFR + 3.750%)
|
7.573%
|
2/23/33
|
39,900
|
38,321
(f)(n)(o)
|
|
|
HUB International Ltd., 2025 Incremental Term Loan (3 mo. Term
SOFR + 2.250%)
|
5.984%
|
6/20/30
|
49,704
|
49,883
(f)(n)(o)
|
|
|
Sedgwick Claims Management Services Inc., 2024 Term Loan (1
mo. Term SOFR + 2.500%)
|
6.186%
|
7/31/31
|
79,598
|
79,698
(f)(n)(o)
|
|
|
Truist Insurance Holdings LLC, 2024 Term Loan B (3 mo. Term
SOFR + 2.750%)
|
6.482%
|
5/6/31
|
20,000
|
19,740
(f)(n)(o)
|
|
|
Total Insurance
|
266,585
|
||||
|
|
|||||
|
Total Financials
|
374,956
|
||||
|
Health Care — 0.2%
|
|||||
|
Health Care Technology — 0.2%
|
|||||
|
AthenaHealth Group Inc., Fourth Amendment Term Loan (1 mo.
Term SOFR + 3.250%)
|
6.936%
|
2/17/32
|
69,824
|
69,886
(f)(n)(o)
|
|
|
|
|||||
|
Industrials — 0.1%
|
|||||
|
Passenger Airlines — 0.1%
|
|||||
|
Spirit Airlines LLC, Contingent DIP Facility
|
—
|
11/17/26
|
80,301
|
22,484
*(e)(i)
|
|
|
Spirit Airlines LLC, Contingent DIP Facility Initial Term Loan
|
—
|
11/17/26
|
30,593
|
172
*(e)(i)
|
|
|
Spirit Airlines LLC, New Money Term Loan (1 mo. Term SOFR +
8.000%)
|
11.644%
|
9/14/26
|
11,110
|
10,554
(f)(i)(n)(o)(p)
|
|
|
Spirit Airlines LLC, Second New Money Term Loan (1 mo. Term
SOFR + 8.000%)
|
11.644%
|
9/14/26
|
2,755
|
2,617
(f)(i)(n)(o)(p)
|
|
|
Spirit Airlines LLC, Third DIP New Money Term Loan (1 mo. Term
SOFR + 8.000%)
|
11.644%
|
9/14/26
|
5,442
|
5,170
(f)(i)(n)(o)(p)
|
|
|
|
|||||
|
Total Industrials
|
40,997
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Information Technology — 0.6%
|
|||||
|
Software — 0.6%
|
|||||
|
Cloud Software Group Inc., Tenth Amendment Term Loan B2 (3
mo. Term SOFR + 3.250%)
|
6.982%
|
3/21/31
|
79,399
|
$76,124
(f)(n)(o)
|
|
|
Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%)
|
7.536%
|
10/8/28
|
79,583
|
73,283
(f)(n)(o)
|
|
|
UKG Inc., Term Loan B (3 mo. Term SOFR + 2.250%)
|
6.073%
|
2/10/31
|
79,599
|
77,505
(f)(n)(o)
|
|
|
|
|||||
|
Total Information Technology
|
226,912
|
||||
|
Materials — 0.2%
|
|||||
|
Containers & Packaging — 0.2%
|
|||||
|
Clydesdale Acquisition Holdings Inc., 2025 Incremental Closing
Date Term Loan B (1 mo. Term SOFR + 3.250%)
|
6.936%
|
4/1/32
|
79,598
|
78,603
(f)(n)(o)
|
|
|
|
|||||
|
Utilities — 0.1%
|
|||||
|
Independent Power and Renewable Electricity Producers — 0.1%
|
|||||
|
Pathfinder Power LLC, Term Loan B
|
—
|
6/22/33
|
40,000
|
40,050
(q)
|
|
|
|
|||||
|
Total Senior Loans (Cost — $1,065,062)
|
988,173
|
||||
|
|
|
Expiration
Date
|
Contracts
|
Notional
Amount†
|
|
|
Purchased Options — 0.1%
|
|||||
|
Exchange-Traded Purchased Options — 0.1%
|
|||||
|
3-Month SOFR Futures, Call @ $96.250
|
9/11/26
|
48
|
120,000
|
300
|
|
|
3-Month SOFR Futures, Call @ $96.875
|
9/11/26
|
43
|
107,500
|
269
|
|
|
3-Month SOFR Futures, Call @ $97.000
|
9/11/26
|
24
|
60,000
|
150
|
|
|
3-Month SOFR Futures, Call @ $96.625
|
12/11/26
|
26
|
65,000
|
812
|
|
|
3-Month SOFR Futures, Put @ $95.625
|
9/11/26
|
1
|
2,500
|
6
|
|
|
3-Month SOFR Futures, Put @ $96.063
|
9/11/26
|
32
|
80,000
|
1,200
|
|
|
3-Month SOFR Futures, Put @ $96.000
|
12/11/26
|
26
|
65,000
|
12,350
|
|
|
SOFR 1-Year Mid-Curve Futures, Call @ $96.875
|
9/11/26
|
15
|
37,500
|
94
|
|
|
SOFR 1-Year Mid-Curve Futures, Call @ $96.375
|
12/11/26
|
26
|
65,000
|
2,438
|
|
|
SOFR 1-Year Mid-Curve Futures, Call @ $96.500
|
12/11/26
|
63
|
157,500
|
3,938
|
|
|
U.S. Treasury 5-Year Notes Futures, Call @ $106.500
|
9/4/26
|
10
|
10,000
|
78
|
|
|
U.S. Treasury 5-Year Notes Futures, Call @ $106.750
|
9/4/26
|
20
|
20,000
|
20
|
|
|
U.S. Treasury 5-Year Notes Futures, Put @ $105.750
|
9/4/26
|
20
|
20,000
|
3,906
|
|
|
U.S. Treasury 5-Year Notes Futures, Put @ $106.000
|
9/4/26
|
10
|
10,000
|
3,594
|
|
|
U.S. Treasury Long-Term Bonds Futures, Call @ $110.500
|
9/4/26
|
1
|
1,000
|
31
|
|
|
U.S. Treasury Long-Term Bonds Futures, Call @ $111.000
|
9/4/26
|
2
|
2,000
|
31
|
|
|
U.S. Treasury Long-Term Bonds Futures, Put @ $108.000
|
9/4/26
|
2
|
2,000
|
469
|
|
|
U.S. Treasury Long-Term Bonds Futures, Put @ $108.500
|
9/4/26
|
1
|
1,000
|
422
|
|
|
|
|||||
|
Total Purchased Options (Cost — $65,800)
|
30,108
|
||||
|
|
|
|
|
Shares
|
|
|
Common Stocks — 0.0%††
|
|||||
|
Industrials — 0.0%††
|
|||||
|
Passenger Airlines — 0.0%††
|
|||||
|
Spirit Airlines LLC
|
|
56
|
1
*(r)
|
||
|
Spirit Aviation Holdings Inc.
|
|
9,649
|
96
*
|
||
|
|
|||||
|
Total Common Stocks (Cost — $135,524)
|
97
|
||||
|
Security
|
|
|
Expiration
Date
|
Warrants
|
Value
|
|
Warrants — 0.0%††
|
|||||
|
Industrials — 0.0%††
|
|||||
|
Passenger Airlines — 0.0%††
|
|||||
|
Spirit Airlines LLC (Cost — $83,461)
|
|
3/12/30
|
6,856
|
$69
*(c)(h)(r)
|
|
|
Total Investments before Short-Term Investments (Cost — $42,741,173)
|
39,347,551
|
||||
|
|
|
Rate
|
|
Shares
|
|
|
Short-Term Investments — 1.6%
|
|||||
|
Western Asset Premier Institutional Government Reserves,
Premium Shares (Cost — $622,186)
|
3.616%
|
|
622,186
|
622,186
(s)(t)
|
|
|
Total Investments — 100.1% (Cost — $43,363,359)
|
39,969,737
|
||||
|
Liabilities in Excess of Other Assets — (0.1)%
|
(35,061
)
|
||||
|
Total Net Assets — 100.0%
|
$39,934,676
|
||||
|
†
|
Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.
|
|
††
|
Represents less than 0.1%.
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is held at the broker as collateral for open centrally
cleared swap contracts.
|
|
(b)
|
All or a portion of this security is held at the broker as collateral for open futures
contracts and exchange-traded options.
|
|
(c)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Directors.
|
|
(d)
|
Security is exempt from registration under Regulation S of the Securities Act of 1933.
Regulation S applies to securities offerings that are made outside of
the United States and do not involve direct selling efforts in the United States.
This security has been deemed liquid pursuant to guidelines approved by the
Board of Directors.
|
|
(e)
|
The coupon payment on this security is currently in default as of August 31, 2026.
|
|
(f)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(g)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(h)
|
Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1).
|
|
(i)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
(j)
|
Value is less than $1.
|
|
(k)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(l)
|
This security is traded on a to-be-announced (“TBA”) basis. At August 31, 2026, the Fund held TBA securities with a total cost of $1,283,164.
|
|
(m)
|
Securities traded on a when-issued or delayed delivery basis.
|
|
(n)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(o)
|
Senior loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
|
|
(p)
|
Payment-in-kind security for which the issuer has the option at each interest payment
date of making interest payments in cash or additional securities.
|
|
(q)
|
All or a portion of this loan has not settled as of August 31, 2026. Interest rates
are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
|
|
(r)
|
Restricted security (Note 3).
|
|
(s)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(t)
|
In this instance, as defined in the Investment Company Act of 1940, as amended (the
“1940 Act”), an “Affiliated Company” represents Fund ownership of at
least 5% of the outstanding voting securities of an issuer, or a company which is
under common ownership or control with the Fund. At August 31, 2026,
the total market value of investments in Affiliated Companies was $622,186 and the
cost was $622,186 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
CLP
|
—
|
Chilean Peso
|
|
COP
|
—
|
Colombian Peso
|
|
DIP
|
—
|
Debtor-in-possession
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
ICE
|
—
|
Intercontinental Exchange
|
|
INR
|
—
|
Indian Rupee
|
|
IO
|
—
|
Interest Only
|
|
JSC
|
—
|
Joint Stock Company
|
|
MYR
|
—
|
Malaysian Ringgit
|
|
PEN
|
—
|
Peruvian Nuevo Sol
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
USD
|
—
|
United States Dollar
|
|
UYU
|
—
|
Uruguayan Peso
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Securities Sold Short — (0.2)%
|
|
|
|
|
|
|
Mortgage-Backed Securities — (0.2)%
|
|
||||
|
FNMA — (0.2)%
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Proceeds — $(88,906))
|
3.500%
|
10/1/56
|
$(100,000
)
|
$(88,598
) (a)
|
|
|
(a)
|
This security is traded on a to-be-announced (“TBA”) basis and is part of a mortgage dollar roll agreement.
|
|
Exchange-Traded Written Options
|
||||||
|
Security
|
|
Expiration
Date
|
Strike
Price
|
Contracts
|
Notional
Amount
|
Value
|
|
3-Month SOFR Futures, Call
|
9/11/26
|
$97.125
|
26
|
$65,000
|
$(163)
|
|
|
3-Month SOFR Futures, Call
|
12/11/26
|
97.500
|
61
|
152,500
|
(763)
|
|
|
3-Month SOFR Futures, Call
|
12/11/26
|
98.000
|
44
|
110,000
|
(550)
|
|
|
3-Month SOFR Futures, Call
|
3/12/27
|
97.500
|
155
|
387,500
|
(6,781)
|
|
|
3-Month SOFR Futures, Call
|
9/10/27
|
97.625
|
28
|
70,000
|
(2,625)
|
|
|
3-Month SOFR Futures, Call
|
12/10/27
|
96.500
|
21
|
52,500
|
(8,531)
|
|
|
3-Month SOFR Futures, Call
|
12/10/27
|
97.375
|
26
|
65,000
|
(4,225)
|
|
|
3-Month SOFR Futures, Put
|
12/11/26
|
96.500
|
41
|
102,500
|
(61,244)
|
|
|
SOFR 1-Year Mid-Curve Futures, Put
|
12/11/26
|
95.750
|
26
|
65,000
|
(12,838)
|
|
|
U.S. Treasury 5-Year Notes Futures, Call
|
9/4/26
|
106.250
|
10
|
10,000
|
(234)
|
|
|
U.S. Treasury 5-Year Notes Futures, Call
|
9/25/26
|
106.000
|
1
|
1,000
|
(227)
|
|
|
U.S. Treasury 5-Year Notes Futures, Call
|
9/25/26
|
106.250
|
10
|
10,000
|
(1,484)
|
|
|
U.S. Treasury 5-Year Notes Futures, Put
|
9/4/26
|
106.250
|
10
|
10,000
|
(5,703)
|
|
|
U.S. Treasury 5-Year Notes Futures, Put
|
9/25/26
|
106.000
|
1
|
1,000
|
(523)
|
|
|
U.S. Treasury 5-Year Notes Futures, Put
|
9/25/26
|
106.250
|
10
|
10,000
|
(6,953)
|
|
|
U.S. Treasury 10-Year Notes Futures, Call
|
9/25/26
|
108.000
|
5
|
5,000
|
(1,797)
|
|
|
U.S. Treasury 10-Year Notes Futures, Put
|
9/25/26
|
108.000
|
5
|
5,000
|
(3,516)
|
|
|
U.S. Treasury Long-Term Bonds Futures, Call
|
9/4/26
|
109.500
|
1
|
1,000
|
(156)
|
|
|
U.S. Treasury Long-Term Bonds Futures, Call
|
9/25/26
|
109.000
|
1
|
1,000
|
(875)
|
|
|
U.S. Treasury Long-Term Bonds Futures, Put
|
9/4/26
|
109.500
|
1
|
1,000
|
(1,031)
|
|
|
U.S. Treasury Long-Term Bonds Futures, Put
|
9/25/26
|
109.000
|
1
|
1,000
|
(1,250)
|
|
|
Total Exchange-Traded Written Options (Premiums received — $145,065)
|
$(121,469)
|
|||||
|
Abbreviation(s) used in this schedule:
|
||
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
3-Month SOFR
|
28
|
12/27
|
$6,737,574
|
$6,700,750
|
$(36,824)
|
|
Australian 10-Year Bonds
|
14
|
9/26
|
1,088,089
|
1,073,693
|
(14,396)
|
|
U.S. Treasury 2-Year Notes
|
42
|
12/26
|
8,640,055
|
8,619,844
|
(20,211)
|
|
U.S. Treasury 5-Year Notes
|
136
|
12/26
|
14,437,992
|
14,375,626
|
(62,366)
|
|
U.S. Treasury Long-Term Bonds
|
14
|
12/26
|
1,528,744
|
1,520,750
|
(7,994)
|
|
U.S. Treasury Ultra 10-Year Notes
|
10
|
12/26
|
1,095,950
|
1,094,219
|
(1,731)
|
|
United Kingdom Long Gilt Bonds
|
2
|
12/26
|
233,956
|
233,439
|
(517)
|
|
|
|
|
|
|
(144,039)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
U.S. Treasury 10-Year Notes
|
127
|
12/26
|
13,790,874
|
13,672,344
|
118,530
|
|
U.S. Treasury Ultra Long-Term Bonds
|
38
|
12/26
|
4,229,650
|
4,181,188
|
48,462
|
|
|
|
|
|
|
166,992
|
|
Net unrealized appreciation on open futures contracts
|
$22,953
|
||||
|
Abbreviation(s) used in this table:
|
||
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BRL
|
9,993,373
|
USD
|
1,938,504
|
Bank of America N.A.
|
9/2/26
|
$(10,533)
|
|
USD
|
1,928,627
|
BRL
|
9,993,373
|
Bank of America N.A.
|
9/2/26
|
656
|
|
BRL
|
9,993,373
|
USD
|
1,928,627
|
JPMorgan Chase & Co.
|
9/2/26
|
(656)
|
|
USD
|
1,933,066
|
BRL
|
9,993,373
|
JPMorgan Chase & Co.
|
9/2/26
|
5,096
|
|
USD
|
50,177
|
AUD
|
70,000
|
Bank of America N.A.
|
10/16/26
|
51
|
|
USD
|
50,545
|
AUD
|
70,599
|
Bank of America N.A.
|
10/16/26
|
(10)
|
|
USD
|
77,341
|
CAD
|
108,000
|
Bank of America N.A.
|
10/16/26
|
(749)
|
|
USD
|
46,233
|
EUR
|
40,000
|
Bank of America N.A.
|
10/16/26
|
(312)
|
|
USD
|
49,994
|
EUR
|
43,227
|
Bank of America N.A.
|
10/16/26
|
(306)
|
|
CAD
|
150,732
|
USD
|
107,386
|
BNP Paribas SA
|
10/16/26
|
1,601
|
|
USD
|
28,607
|
CAD
|
40,000
|
BNP Paribas SA
|
10/16/26
|
(315)
|
|
USD
|
46,479
|
CAD
|
65,069
|
BNP Paribas SA
|
10/16/26
|
(570)
|
|
USD
|
57,099
|
CAD
|
80,000
|
BNP Paribas SA
|
10/16/26
|
(745)
|
|
USD
|
1,400,281
|
EUR
|
1,221,387
|
BNP Paribas SA
|
10/16/26
|
(20,957)
|
|
USD
|
6,151
|
MXN
|
108,294
|
BNP Paribas SA
|
10/16/26
|
(197)
|
|
CAD
|
147,000
|
USD
|
103,832
|
Citibank N.A.
|
10/16/26
|
2,457
|
|
JPY
|
16,244,492
|
USD
|
100,852
|
Citibank N.A.
|
10/16/26
|
1,204
|
|
USD
|
46,331
|
EUR
|
40,000
|
Citibank N.A.
|
10/16/26
|
(214)
|
|
USD
|
51,045
|
EUR
|
44,000
|
Citibank N.A.
|
10/16/26
|
(155)
|
|
USD
|
423,332
|
EUR
|
365,917
|
Citibank N.A.
|
10/16/26
|
(2,458)
|
|
USD
|
470,671
|
GBP
|
352,462
|
Citibank N.A.
|
10/16/26
|
(6,950)
|
|
USD
|
1,310,897
|
INR
|
126,161,993
|
Citibank N.A.
|
10/16/26
|
(10,264)
|
|
USD
|
28,363
|
JPY
|
4,490,291
|
Citibank N.A.
|
10/16/26
|
153
|
|
AUD
|
267,635
|
USD
|
185,361
|
JPMorgan Chase & Co.
|
10/16/26
|
6,288
|
|
USD
|
102,179
|
JPY
|
16,619,050
|
JPMorgan Chase & Co.
|
10/16/26
|
(2,231)
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(40,116)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
AUD
|
—
|
Australian Dollar
|
|
BRL
|
—
|
Brazilian Real
|
|
CAD
|
—
|
Canadian Dollar
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
INR
|
—
|
Indian Rupee
|
|
JPY
|
—
|
Japanese Yen
|
|
MXN
|
—
|
Mexican Peso
|
|
USD
|
—
|
United States Dollar
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS
|
|||||||
|
|
Notional
Amount*
|
Termination
Date
|
Payments
Made by
the Fund†
|
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
11,430,000MXN
|
3/14/28
|
Daily MXN
TIIE - Banxico
Compound
every 28 days
|
7.225%
every 28 days
|
$2,109
|
—
|
$2,109
|
|
|
1,112,000
|
5/21/29
|
Daily SOFR
Compound
annually
|
4.090%
annually
|
(3,739)
|
$259
|
(3,998)
|
|
|
902,000
|
6/29/31
|
2.368%**
|
CPURNSA**
|
3,339
|
—
|
3,339
|
|
|
1,140,000
|
7/30/31
|
CPURNSA**
|
2.316%**
|
(2,858)
|
—
|
(2,858)
|
|
|
4,478,000
|
5/31/33
|
4.110%
annually
|
Daily SOFR
Compound
annually
|
43,073
|
2,158
|
40,915
|
|
|
1,140,000
|
7/30/36
|
2.346%**
|
CPURNSA**
|
4,610
|
—
|
4,610
|
|
|
262,000
|
5/21/37
|
4.340%
annually
|
Daily SOFR
Compound
annually
|
1,905
|
63
|
1,842
|
|
Total
|
|
|
|
|
$48,439
|
$2,480
|
$45,959
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
|
||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received by
the Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
Markit CDX.NA.HY.46 Index
|
$687,960
|
6/20/31
|
5.000% quarterly
|
$54,482
|
$25,336
|
$29,146
|
|
Markit CDX.NA.IG.46 Index
|
3,410,000
|
6/20/31
|
1.000% quarterly
|
72,925
|
51,730
|
21,195
|
|
Total
|
$4,097,960
|
|
|
$127,407
|
$77,066
|
$50,341
|
|
OTC TOTAL RETURN SWAPS
|
|||||||
|
Swap
Counterparty
|
Notional
Amount
|
Termination
Date
|
Periodic
Payments
Made by
the Fund†
|
Periodic
Payments
Received by
the Fund‡
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
JPMorgan Chase & Co.
|
$355,000
|
10/9/26
|
Daily SOFR
Compound +
1.100%**
|
JPEIFNTR^**
|
$(2,419)
|
—
|
$(2,419)
|
|
1
|
If the Fund is a seller of protection and a credit event occurs, as defined under
the terms of that particular swap agreement, the Fund will either (i) pay to
the buyer of protection an amount equal to the notional amount of the swap and take
delivery of the referenced obligation or underlying securities
comprising the referenced index or (ii) pay a net settlement amount in the form of
cash or securities equal to the notional amount of the swap less the
recovery value of the referenced obligation or underlying securities comprising the
referenced index.
|
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event
occurs as defined under the terms of that particular swap agreement.
|
|
3
|
The quoted market prices and resulting values for credit default swap agreements on
asset-backed securities and credit indices serve as an indicator of the
current status of the payment/performance risk and represent the likelihood of an
expected loss (or profit) for the credit derivative had the notional amount
of the swap agreement been closed/sold as of the period end. Decreasing market values
(sell protection) or increasing market values (buy protection), when
compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement.
|
|
†
|
Percentage shown is an annual percentage rate.
|
|
‡
|
Periodic payments made/received by the Fund are based on the total return of the referenced
entity.
|
|
^
|
Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier
sector.
|
|
*
|
Notional amount denominated in U.S. dollars, unless otherwise noted.
|
|
**
|
One time payment made at termination date.
|
|
Reference Index
|
Reference
Rate
|
|
CPURNSA
|
3.350%
|
|
Daily MXN TIIE - Banxico Compound
|
6.766%
|
|
Daily SOFR Compound
|
3.680%
|
|
Abbreviation(s) used in this table:
|
||
|
CPURNSA
|
—
|
U.S. CPI Urban Consumers NSA Index
|
|
JPEIFNTR
|
—
|
Western Asset Management Emerging Markets Frontier Custom Basket
|
|
MXN
|
—
|
Mexican Peso
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
U.S. Government & Agency Obligations
|
—
|
$10,661,320
|
—
|
$10,661,320
|
|
Corporate Bonds & Notes:
|
|
|
|
|
|
Financials
|
—
|
794,870
|
$0
*
|
794,870
|
|
Other Corporate Bonds & Notes
|
—
|
9,003,501
|
—
|
9,003,501
|
|
Collateralized Mortgage Obligations
|
—
|
6,114,257
|
—
|
6,114,257
|
|
Asset-Backed Securities
|
—
|
4,702,985
|
—
|
4,702,985
|
|
Mortgage-Backed Securities
|
—
|
3,370,966
|
—
|
3,370,966
|
|
Sovereign Bonds
|
—
|
2,458,543
|
—
|
2,458,543
|
|
U.S. Treasury Inflation Protected Securities
|
—
|
1,222,662
|
—
|
1,222,662
|
|
Senior Loans:
|
|
|
|
|
|
Industrials
|
—
|
—
|
40,997
|
40,997
|
|
Other Senior Loans
|
—
|
947,176
|
—
|
947,176
|
|
Purchased Options
|
$30,108
|
—
|
—
|
30,108
|
|
Common Stocks:
|
|
|
|
|
|
Industrials
|
96
|
1
|
—
|
97
|
|
Warrants
|
—
|
69
|
—
|
69
|
|
Total Long-Term Investments
|
30,204
|
39,276,350
|
40,997
|
39,347,551
|
|
Short-Term Investments†
|
622,186
|
—
|
—
|
622,186
|
|
Total Investments
|
$652,390
|
$39,276,350
|
$40,997
|
$39,969,737
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$166,992
|
—
|
—
|
$166,992
|
|
Forward Foreign Currency Contracts††
|
—
|
$17,506
|
—
|
17,506
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
52,815
|
—
|
52,815
|
|
Centrally Cleared Credit Default Swaps on Credit Indices — Sell
Protection††
|
—
|
50,341
|
—
|
50,341
|
|
Total Other Financial Instruments
|
$166,992
|
$120,662
|
—
|
$287,654
|
|
Total
|
$819,382
|
$39,397,012
|
$40,997
|
$40,257,391
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Securities Sold Short†:
|
|
|
|
|
|
Mortgage-Backed Securities
|
—
|
$88,598
|
—
|
$88,598
|
|
Other Financial Instruments:
|
|
|
|
|
|
Written Options
|
$121,469
|
—
|
—
|
121,469
|
|
Futures Contracts††
|
144,039
|
—
|
—
|
144,039
|
|
Forward Foreign Currency Contracts††
|
—
|
57,622
|
—
|
57,622
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
6,856
|
—
|
6,856
|
|
OTC Total Return Swaps
|
—
|
2,419
|
—
|
2,419
|
|
Total Other Financial Instruments
|
$265,508
|
$66,897
|
—
|
$332,405
|
|
Total
|
$265,508
|
$155,495
|
—
|
$421,003
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
*
|
Amount represents less than $1.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
May 31, 2026
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
—
|
$825,333
|
825,333
|
$203,147
|
203,147
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
August 31,
2026
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$335
|
—
|
$622,186
|
|
Security
|
Number of
Shares/Warrants
|
Acquisition
Date
|
Cost
|
Fair Value
at 8/31/2026
|
Value Per
Share/Warrant
|
Percent of
Net Assets
|
|
Spirit Airlines LLC, Common Shares
|
56
|
3/25
|
$681
|
$1
|
$0.02
|
0.00
%(a)
|
|
Spirit Airlines LLC, Warrants
|
6,856
|
3/25
|
83,461
|
69
(b)
|
0.01
|
0.00
(a)
|
|
Total
|
|
|
$84,142
|
$70
|
|
0.00
%(a)
|
|
(a)
|
Amount represents less than 0.005%.
|
|
(b)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board.
|