UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09253
Allspring Funds Trust
(Exact name of registrant as specified in charter)
1415 Vantage Park Drive, 3rd Floor, Charlotte, NC 28203
(Address of principal executive offices) (Zip code)
Matthew Prasse
Allspring Funds Management, LLC
1415 Vantage Park Drive, 3rd Floor, Charlotte, NC 28203
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-222-8222
Date of fiscal year end: August 31
Registrant is making a filing for 10 of its series: Allspring Adjustable Rate Government Fund, Allspring Conservative Income Fund, Allspring Core Plus Bond Fund, Allspring Government Securities Fund, Allspring High Yield Bond Fund, Allspring Managed Account CoreBuilder® Shares - Series CP, Allspring Short Duration Government Bond Fund, Allspring Short-Term Bond Plus Fund, Allspring Short-Term High Income Bond Fund and Allspring Ultra Short-Term Income Fund
Date of reporting period: February 29, 2024
ITEM 1. REPORT TO STOCKHOLDERS
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g800272img80a8d7192.jpg)
Allspring Funds
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g800272imgb42c34953.jpg)
President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Michal Stanczyk |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (ESAAX) | 6-30-2000 | 2.78 | 1.50 | 1.01 | 4.90 | 1.91 | 1.22 | 0.85 | 0.74 |
Class C (ESACX) | 6-30-2000 | 3.12 | 1.27 | 0.64 | 4.12 | 1.27 | 0.64 | 1.60 | 1.49 |
Administrator Class (ESADX) | 7-30-2010 | – | – | – | 5.05 | 2.05 | 1.36 | 0.80 | 0.60 |
Institutional Class (EKIZX) | 10-1-1991 | – | – | – | 5.20 | 2.19 | 1.50 | 0.53 | 0.46 |
Bloomberg U.S. Aggregate Bond Index3 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg 6-Month Treasury Bill Index4 | – | – | – | – | 5.34 | 2.10 | 1.48 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.74% for Class A, 1.49% for Class C, 0.60% for Administrator Class and 0.46% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
4 | The Bloomberg 6-Month Treasury Bill Index tracks the performance and attributes of recently issued 6-Month U.S. Treasury bills. The index follows Bloomberg monthly rebalancing conventions. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
FRESB Mortgage Trust, 1.72%, 11-25-2041 | 2.04 |
FHLMC, 6.03%, 7-1-2038 | 1.65 |
FHLMC, 5.81%, 9-1-2036 | 1.63 |
FHLMC, 5.59%, 7-1-2031 | 1.32 |
FNMA, 5.71%, 7-25-2046 | 1.27 |
GNMA, 5.62%, 4-20-2070 | 1.26 |
FNMA, 4.28%, 4-25-2042 | 1.23 |
FHLMC Multifamily Structured Pass-Through Certificates, 1.48%, 5-25-2051 | 1.23 |
FHLMC, 5.82%, 2-15-2038 | 1.17 |
FNMA, 5.80%, 7-25-2049 | 1.11 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g800272img0c926b1e4.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,035.11 | $3.74 | 0.74 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.18 | $3.72 | 0.74 % |
Class C | ||||
Actual | $1,000.00 | $1,030.11 | $7.52 | 1.49 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.45 | $7.47 | 1.49 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,034.63 | $3.04 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.88 | $3.02 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,036.54 | $2.33 | 0.46 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.58 | $2.31 | 0.46 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 88.11% | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series KF46 Class A (30 Day Average U.S. SOFR+0.33%)± | 5.67 % | 3-25-2028 | $ | 82,196 | $81,751 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF62 Class A (30 Day Average U.S. SOFR+0.59%)± | 5.93 | 4-25-2026 | 1,273,575 | 1,273,434 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KF85 Class AL (30 Day Average U.S. SOFR+0.41%)± | 5.75 | 8-25-2030 | 138,075 | 137,058 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KX04 Class AFL (30 Day Average U.S. SOFR+0.44%)± | 5.78 | 3-25-2030 | 1,046,732 | 1,040,264 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series Q016 Class APT2±± | 1.48 | 5-25-2051 | 3,628,812 | 3,230,820 | ||
FHLMC STRIPS Series 20 Class F±± | 4.67 | 7-1-2029 | 704 | 709 | ||
FHLMC STRIPS Series 264 Class F1 (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 7-15-2042 | 527,819 | 516,319 | ||
FHLMC STRIPS Series 319 Class F1 (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 11-15-2043 | 755,539 | 734,612 | ||
FHLMC Structured Pass-Through Certificates Series T-15 Class A6 (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 11-25-2028 | 21,717 | 21,686 | ||
FHLMC Structured Pass-Through Certificates Series T-16 Class A (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 6-25-2029 | 715,350 | 679,758 | ||
FHLMC Structured Pass-Through Certificates Series T-20 Class A7 (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 12-25-2029 | 1,638,048 | 1,589,410 | ||
FHLMC Structured Pass-Through Certificates Series T-21 Class A (30 Day Average U.S. SOFR+0.47%)± | 5.80 | 10-25-2029 | 217,296 | 221,793 | ||
FHLMC Structured Pass-Through Certificates Series T-24 Class A (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 6-25-2030 | 71,453 | 71,353 | ||
FHLMC Structured Pass-Through Certificates Series T-27 Class A (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 10-25-2030 | 551,641 | 547,675 | ||
FHLMC Structured Pass-Through Certificates Series T-30 Class A7 (30 Day Average U.S. SOFR+0.35%)± | 5.68 | 12-25-2030 | 499,741 | 465,152 | ||
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30 Day Average U.S. SOFR+0.39%)± | 5.72 | 9-25-2031 | 911,786 | 920,206 | ||
FHLMC Structured Pass-Through Certificates Series T-48 Class 2A±± | 4.10 | 7-25-2033 | 877,644 | 805,069 | ||
FHLMC Structured Pass-Through Certificates Series T-54 Class 4A±± | 4.18 | 2-25-2043 | 466,057 | 419,854 | ||
FHLMC Structured Pass-Through Certificates Series T-55 Class 1A1 | 6.50 | 3-25-2043 | 26,683 | 26,736 | ||
FHLMC Structured Pass-Through Certificates Series T-56 Class 3AF (30 Day Average U.S. SOFR+1.11%)± | 6.44 | 5-25-2043 | 714,077 | 724,692 | ||
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1 (12 Month Treasury Average+1.20%)± | 6.28 | 10-25-2044 | 1,278,319 | 1,158,378 | ||
FHLMC Structured Pass-Through Certificates Series T-63 Class 1A1 (12 Month Treasury Average+1.20%)± | 6.28 | 2-25-2045 | 1,143,199 | 1,063,656 | ||
FHLMC Structured Pass-Through Certificates Series T-66 Class 2A1±± | 5.16 | 1-25-2036 | 763,601 | 701,993 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 1A1C±± | 4.25 | 3-25-2036 | 1,847,800 | 1,694,517 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 2A1C±± | 4.30 | 3-25-2036 | 1,769,080 | 1,634,301 | ||
FHLMC (1 Year Treasury Constant Maturity+1.20%)± | 4.70 | 4-1-2030 | 3,797 | 3,748 | ||
FHLMC (1 Year Treasury Constant Maturity+1.87%)± | 5.51 | 5-1-2035 | 206,079 | 204,572 | ||
FHLMC (1 Year Treasury Constant Maturity+1.96%)± | 5.59 | 8-1-2033 | 263,246 | 260,256 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FHLMC (1 Year Treasury Constant Maturity+1.99%)± | 6.11 % | 11-1-2034 | $ | 25,841 | $25,444 | |
FHLMC (1 Year Treasury Constant Maturity+2.03%)± | 3.91 | 3-1-2025 | 2,773 | 2,736 | ||
FHLMC (1 Year Treasury Constant Maturity+2.06%)± | 6.08 | 12-1-2035 | 127,923 | 126,950 | ||
FHLMC (1 Year Treasury Constant Maturity+2.10%)± | 5.97 | 10-1-2037 | 263,855 | 265,830 | ||
FHLMC (1 Year Treasury Constant Maturity+2.16%)± | 5.80 | 6-1-2033 | 236,003 | 232,204 | ||
FHLMC (1 Year Treasury Constant Maturity+2.17%)± | 5.23 | 5-1-2037 | 18,413 | 18,473 | ||
FHLMC (1 Year Treasury Constant Maturity+2.19%)± | 5.79 | 1-1-2037 | 240,524 | 237,687 | ||
FHLMC (1 Year Treasury Constant Maturity+2.19%)± | 5.85 | 6-1-2036 | 222,220 | 226,942 | ||
FHLMC (1 Year Treasury Constant Maturity+2.22%)± | 6.34 | 12-1-2033 | 214,742 | 212,122 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 4.36 | 2-1-2034 | 31,209 | 31,209 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 4.87 | 4-1-2034 | 60,343 | 59,912 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 5.23 | 4-1-2034 | 36,568 | 36,577 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 5.76 | 5-1-2038 | 188,927 | 188,312 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 6.23 | 11-1-2026 | 24,206 | 24,014 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 6.35 | 2-1-2034 | 213,766 | 211,751 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 5.17 | 8-1-2027 | 1,754 | 1,740 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 5.24 | 3-1-2027 | 14,327 | 14,253 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 6.36 | 4-1-2036 | 85,267 | 85,054 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.09 | 4-1-2034 | 18,823 | 18,548 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.11 | 4-1-2038 | 264,957 | 266,608 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 5-1-2034 | 92,573 | 92,687 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.56 | 2-1-2036 | 1,613,795 | 1,648,271 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.61 | 6-1-2035 | 24,454 | 25,005 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.27 | 9-1-2033 | 36,221 | 37,287 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.36 | 1-1-2037 | 20,238 | 20,771 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.37 | 12-1-2034 | 81,587 | 81,028 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.38 | 5-1-2034 | 23,356 | 23,528 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.38 | 2-1-2036 | 47,673 | 47,293 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 5.80 | 4-1-2037 | 835,762 | 857,178 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 5.97 | 9-1-2038 | 1,396,312 | 1,429,110 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 6.03 | 7-1-2038 | 4,244,503 | 4,335,355 | ||
FHLMC (1 Year Treasury Constant Maturity+2.27%)± | 5.81 | 9-1-2036 | 4,168,761 | 4,269,193 | ||
FHLMC (1 Year Treasury Constant Maturity+2.27%)± | 6.40 | 11-1-2029 | 22,746 | 22,567 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 6.25 | 7-1-2034 | 74,541 | 73,540 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 6.28 | 10-1-2036 | 39,976 | 39,595 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 6.41 | 1-1-2035 | 109,847 | 108,430 | ||
FHLMC (1 Year Treasury Constant Maturity+2.29%)± | 4.93 | 9-1-2033 | 125,393 | 124,526 | ||
FHLMC (1 Year Treasury Constant Maturity+2.29%)± | 6.37 | 11-1-2027 | 100,666 | 99,982 | ||
FHLMC (1 Year Treasury Constant Maturity+2.31%)± | 6.11 | 7-1-2027 | 80,160 | 80,202 | ||
FHLMC (1 Year Treasury Constant Maturity+2.34%)± | 5.95 | 4-1-2032 | 530,333 | 532,613 | ||
FHLMC (1 Year Treasury Constant Maturity+2.35%)± | 6.04 | 10-1-2033 | 241,628 | 239,347 | ||
FHLMC (1 Year Treasury Constant Maturity+2.35%)± | 6.35 | 7-1-2038 | 130,821 | 130,483 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 4.52 | 7-1-2031 | 20,073 | 19,504 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 5.36 | 4-1-2038 | 560,454 | 563,567 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 6.20 | 1-1-2028 | 671 | 666 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 6.36 | 1-1-2028 | 2,071 | 2,058 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 6.46 | 2-1-2035 | 221,677 | 218,753 | ||
FHLMC (1 Year Treasury Constant Maturity+2.37%)± | 5.91 | 2-1-2034 | 1,056,002 | 1,072,346 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.45 % | 7-1-2029 | $ | 10,265 | $10,254 | |
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.57 | 11-1-2029 | 23,081 | 22,849 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.89 | 1-1-2037 | 426,363 | 438,175 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 6.14 | 6-1-2035 | 164,196 | 166,324 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 6.40 | 7-1-2031 | 24,148 | 23,988 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 6.40 | 9-1-2031 | 24,856 | 24,692 | ||
FHLMC (1 Year Treasury Constant Maturity+2.43%)± | 5.43 | 6-1-2025 | 7,451 | 7,362 | ||
FHLMC (1 Year Treasury Constant Maturity+2.44%)± | 4.82 | 4-1-2029 | 1,094 | 1,094 | ||
FHLMC (1 Year Treasury Constant Maturity+2.47%)± | 6.22 | 7-1-2034 | 87,162 | 86,611 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.73 | 2-1-2030 | 17,413 | 17,436 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.91 | 6-1-2030 | 45,232 | 44,668 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 5.60 | 6-1-2035 | 115,648 | 115,740 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 6.17 | 6-1-2030 | 98,033 | 97,546 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 6.60 | 6-1-2030 | 13,423 | 13,295 | ||
FHLMC (1 Year Treasury Constant Maturity+2.49%)± | 6.60 | 12-1-2032 | 49,500 | 49,133 | ||
FHLMC (1 Year Treasury Constant Maturity+2.52%)± | 3.82 | 11-1-2029 | 31,458 | 30,399 | ||
FHLMC (1 Year Treasury Constant Maturity+2.55%)± | 6.67 | 9-1-2029 | 14,549 | 14,381 | ||
FHLMC (1 Year Treasury Constant Maturity+2.60%)± | 5.60 | 6-1-2032 | 112,331 | 112,440 | ||
FHLMC (1 Year Treasury Constant Maturity+2.61%)± | 3.99 | 9-1-2030 | 21,424 | 20,574 | ||
FHLMC (1 Year Treasury Constant Maturity+2.69%)± | 6.53 | 5-1-2028 | 49,616 | 49,107 | ||
FHLMC (1 Year Treasury Constant Maturity+2.84%)± | 6.06 | 9-1-2030 | 11,094 | 11,069 | ||
FHLMC (11th District COFI+1.25%)± | 4.26 | 1-1-2030 | 1,610 | 1,559 | ||
FHLMC (11th District COFI+1.25%)± | 4.26 | 7-1-2030 | 57,936 | 55,961 | ||
FHLMC (11th District COFI+1.25%)± | 4.76 | 11-1-2030 | 6,113 | 5,939 | ||
FHLMC (11th District COFI+1.28%)± | 4.36 | 2-1-2035 | 10,077 | 9,966 | ||
FHLMC (11th District COFI+2.57%)± | 4.31 | 12-1-2025 | 1,691 | 1,679 | ||
FHLMC (12 Month Treasury Average+1.93%)± | 4.56 | 5-1-2028 | 31,091 | 30,735 | ||
FHLMC (12 Month Treasury Average+2.46%)± | 5.02 | 10-1-2029 | 42,131 | 41,807 | ||
FHLMC (12 Month Treasury Average+2.52%)± | 5.77 | 6-1-2028 | 14,194 | 14,055 | ||
FHLMC (3 Year Treasury Constant Maturity+2.40%)± | 4.88 | 5-1-2031 | 25,652 | 25,186 | ||
FHLMC (3 Year Treasury Constant Maturity+2.44%)± | 5.10 | 5-1-2032 | 49,838 | 49,193 | ||
FHLMC (3 Year Treasury Constant Maturity+2.84%)± | 4.83 | 6-1-2035 | 141,508 | 139,804 | ||
FHLMC (30 Day Average U.S. SOFR+0.26%)± | 5.59 | 7-1-2031 | 3,500,000 | 3,474,570 | ||
FHLMC (5 Year Treasury Constant Maturity+2.13%)± | 4.00 | 8-1-2029 | 2,810 | 2,791 | ||
FHLMC (5 Year Treasury Constant Maturity+2.44%)± | 3.57 | 8-1-2027 | 13,717 | 13,264 | ||
FHLMC (RFUCCT1Y+1.51%)± | 5.76 | 2-1-2037 | 39,860 | 39,552 | ||
FHLMC (RFUCCT1Y+1.61%)± | 5.76 | 7-1-2044 | 75,141 | 76,389 | ||
FHLMC (RFUCCT1Y+1.62%)± | 2.88 | 11-1-2047 | 2,115,427 | 2,039,501 | ||
FHLMC (RFUCCT1Y+1.62%)± | 5.24 | 7-1-2045 | 364,864 | 370,339 | ||
FHLMC (RFUCCT1Y+1.64%)± | 2.62 | 6-1-2050 | 2,287,691 | 2,055,625 | ||
FHLMC (RFUCCT1Y+1.67%)± | 4.17 | 8-1-2035 | 104,861 | 104,372 | ||
FHLMC (RFUCCT1Y+1.73%)± | 5.16 | 5-1-2037 | 460,152 | 469,292 | ||
FHLMC (RFUCCT1Y+1.73%)± | 5.98 | 1-1-2035 | 136,926 | 136,304 | ||
FHLMC (RFUCCT1Y+1.74%)± | 5.99 | 12-1-2036 | 105,577 | 108,104 | ||
FHLMC (RFUCCT1Y+1.75%)± | 4.91 | 5-1-2033 | 42,376 | 42,048 | ||
FHLMC (RFUCCT1Y+1.75%)± | 5.02 | 4-1-2035 | 69,554 | 68,751 | ||
FHLMC (RFUCCT1Y+1.75%)± | 5.71 | 6-1-2033 | 144,931 | 144,636 | ||
FHLMC (RFUCCT1Y+1.77%)± | 5.32 | 10-1-2036 | 124,816 | 127,935 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FHLMC (RFUCCT1Y+1.77%)± | 5.59 % | 10-1-2035 | $ | 354,404 | $353,176 | |
FHLMC (RFUCCT1Y+1.77%)± | 5.70 | 9-1-2039 | 614,322 | 629,101 | ||
FHLMC (RFUCCT1Y+1.77%)± | 5.72 | 9-1-2037 | 117,969 | 120,805 | ||
FHLMC (RFUCCT1Y+1.77%)± | 6.02 | 6-1-2035 | 115,666 | 114,278 | ||
FHLMC (RFUCCT1Y+1.77%)± | 6.98 | 8-1-2042 | 87,643 | 89,727 | ||
FHLMC (RFUCCT1Y+1.78%)± | 6.03 | 11-1-2035 | 68,554 | 68,678 | ||
FHLMC (RFUCCT1Y+1.80%)± | 5.52 | 8-1-2037 | 541,397 | 554,646 | ||
FHLMC (RFUCCT1Y+1.80%)± | 5.78 | 10-1-2043 | 2,067,042 | 2,115,592 | ||
FHLMC (RFUCCT1Y+1.80%)± | 5.97 | 1-1-2040 | 766,578 | 787,111 | ||
FHLMC (RFUCCT1Y+1.81%)± | 4.45 | 4-1-2035 | 372,664 | 372,844 | ||
FHLMC (RFUCCT1Y+1.81%)± | 5.77 | 5-1-2039 | 177,604 | 177,101 | ||
FHLMC (RFUCCT1Y+1.81%)± | 5.95 | 9-1-2037 | 111,108 | 114,019 | ||
FHLMC (RFUCCT1Y+1.83%)± | 5.88 | 6-1-2043 | 2,371,541 | 2,439,133 | ||
FHLMC (RFUCCT1Y+1.85%)± | 5.85 | 7-1-2038 | 454,228 | 464,404 | ||
FHLMC (RFUCCT1Y+1.86%)± | 4.61 | 4-1-2037 | 123,362 | 122,945 | ||
FHLMC (RFUCCT1Y+1.86%)± | 5.96 | 9-1-2036 | 185,103 | 185,630 | ||
FHLMC (RFUCCT1Y+1.87%)± | 5.25 | 5-1-2035 | 9,713 | 9,564 | ||
FHLMC (RFUCCT1Y+1.91%)± | 4.63 | 3-1-2032 | 91,537 | 91,216 | ||
FHLMC (RFUCCT1Y+1.93%)± | 5.30 | 4-1-2037 | 32,926 | 32,546 | ||
FHLMC (RFUCCT1Y+1.93%)± | 6.20 | 4-1-2035 | 442,723 | 440,790 | ||
FHLMC (RFUCCT1Y+1.99%)± | 6.24 | 7-1-2036 | 101,614 | 101,159 | ||
FHLMC (RFUCCT1Y+2.06%)± | 4.72 | 3-1-2038 | 427,836 | 440,391 | ||
FHLMC (RFUCCT6M+1.42%)± | 5.67 | 2-1-2037 | 1,334 | 1,323 | ||
FHLMC (RFUCCT6M+1.68%)± | 5.50 | 1-1-2037 | 351,264 | 355,790 | ||
FHLMC (RFUCCT6M+1.83%)± | 5.81 | 6-1-2037 | 119,988 | 118,060 | ||
FHLMC (RFUCCT6M+2.12%)± | 5.91 | 5-1-2037 | 18,685 | 18,375 | ||
FHLMC (RFUCCT6M+2.20%)± | 6.29 | 6-1-2026 | 55,831 | 55,243 | ||
FHLMC (RFUCCT6M+3.83%)± | 7.21 | 11-1-2026 | 5,974 | 5,912 | ||
FHLMC Series 1709 Class FA (10 Year Treasury Constant Maturity+- 0.85%)± | 3.27 | 3-15-2024 | 20 | 20 | ||
FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity+- 0.60%)± | 3.52 | 5-15-2024 | 681 | 680 | ||
FHLMC Series 2315 Class FW (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 4-15-2027 | 10,236 | 10,223 | ||
FHLMC Series 2391 Class EF (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 6-15-2031 | 19,539 | 19,426 | ||
FHLMC Series 2454 Class SL (30 Day Average U.S. SOFR+7.89%)ı | 2.56 | 3-15-2032 | 44,754 | 3,794 | ||
FHLMC Series 2461 Class FI (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 4-15-2028 | 20,505 | 20,456 | ||
FHLMC Series 2464 Class FE (30 Day Average U.S. SOFR+1.11%)± | 6.44 | 3-15-2032 | 29,169 | 29,411 | ||
FHLMC Series 2466 Class FV (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 3-15-2032 | 54,107 | 53,968 | ||
FHLMC Series 2538 Class F (30 Day Average U.S. SOFR+0.71%)± | 6.04 | 12-15-2032 | 119,678 | 119,732 | ||
FHLMC Series 2781 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 4-15-2034 | 2,205,912 | 2,190,968 | ||
FHLMC Series 3067 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 11-15-2035 | 431,828 | 425,253 | ||
FHLMC Series 3114 Class FT (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 9-15-2030 | 135,098 | 134,510 | ||
FHLMC Series 3140 Class GF (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 3-15-2036 | 365,328 | 359,277 | ||
FHLMC Series 3146 Class FP (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 4-15-2036 | 331,743 | 326,841 | ||
FHLMC Series 3149 Class FB (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 5-15-2036 | 544,499 | 539,032 | ||
FHLMC Series 3240 Class FM (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 11-15-2036 | 594,279 | 583,716 | ||
FHLMC Series 3284 Class CF (30 Day Average U.S. SOFR+0.48%)± | 5.81 | 3-15-2037 | 382,018 | 373,717 | ||
FHLMC Series 3286 Class FA (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 3-15-2037 | 48,252 | 46,932 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FHLMC Series 3311 Class KF (30 Day Average U.S. SOFR+0.45%)± | 5.78 % | 5-15-2037 | $ | 674,180 | $659,955 | |
FHLMC Series 3312 Class FN (30 Day Average U.S. SOFR+0.33%)± | 5.66 | 7-15-2036 | 599,597 | 586,534 | ||
FHLMC Series 3436 Class A±± | 6.07 | 11-15-2036 | 199,878 | 202,423 | ||
FHLMC Series 3684 Class FM (30 Day Average U.S. SOFR+0.46%)± | 5.81 | 11-15-2036 | 768,333 | 753,905 | ||
FHLMC Series 3753 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 11-15-2040 | 952,648 | 933,299 | ||
FHLMC Series 3757 Class PF (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 8-15-2040 | 200,128 | 199,262 | ||
FHLMC Series 3822 Class FY (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 2-15-2033 | 368,516 | 366,708 | ||
FHLMC Series 3827 Class DF (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 3-15-2041 | 110,080 | 107,823 | ||
FHLMC Series 3925 Class FL (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 1-15-2041 | 35,091 | 34,962 | ||
FHLMC Series 3997 Class FQ (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 2-15-2042 | 414,848 | 406,050 | ||
FHLMC Series 4013 Class QF (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 3-15-2041 | 182,583 | 181,721 | ||
FHLMC Series 4039 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 5-15-2042 | 661,992 | 650,936 | ||
FHLMC Series 4136 Class DF (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 11-15-2042 | 409,589 | 395,488 | ||
FHLMC Series 4143 Class KF (30 Day Average U.S. SOFR+0.46%)± | 5.73 | 9-15-2037 | 1,059,200 | 1,025,184 | ||
FHLMC Series 4248 Class FL (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 5-15-2041 | 160,589 | 158,379 | ||
FHLMC Series 4316 Class JF (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 1-15-2044 | 597,888 | 584,432 | ||
FHLMC Series 4474 Class WF (30 Day Average U.S. SOFR+0.46%)± | 5.55 | 12-15-2036 | 861,651 | 844,803 | ||
FHLMC Series 4477 Class FG (30 Day Average U.S. SOFR+0.41%)± | 5.50 | 10-15-2040 | 842,460 | 822,315 | ||
FHLMC Series 4503 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.69 | 2-15-2042 | 1,052,901 | 1,018,589 | ||
FHLMC Series 4515 Class FA (30 Day Average U.S. SOFR+0.48%)± | 5.83 | 8-15-2038 | 142,475 | 140,895 | ||
FHLMC Series 4624 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.63 | 12-15-2038 | 1,772,536 | 1,756,274 | ||
FHLMC Series 4678 Class AF (30 Day Average U.S. SOFR+0.51%)± | 5.65 | 12-15-2042 | 759,128 | 745,331 | ||
FHLMC Series 4691 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 6-15-2047 | 416,455 | 401,619 | ||
FHLMC Series 4707 Class FD (30 Day Average U.S. SOFR+0.46%)± | 5.70 | 9-15-2044 | 2,146,402 | 2,117,833 | ||
FHLMC Series 4754 Class FM (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 2-15-2048 | 1,029,427 | 990,491 | ||
FHLMC Series 4779 Class WF (30 Day Average U.S. SOFR+0.46%)± | 5.61 | 7-15-2044 | 1,029,554 | 1,014,858 | ||
FHLMC Series 4821 Class FA (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 7-15-2048 | 305,746 | 293,617 | ||
FHLMC Series 4831 Class FD (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 10-15-2048 | 990,098 | 951,622 | ||
FHLMC Series 4842 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 11-15-2048 | 745,559 | 718,227 | ||
FHLMC Series 4906 Class WF (30 Day Average U.S. SOFR+0.51%)± | 5.85 | 12-15-2038 | 1,311,795 | 1,295,803 | ||
FHLMC Series 4908 Class FA (30 Day Average U.S. SOFR+0.55%)± | 5.69 | 12-15-2042 | 1,219,363 | 1,203,113 | ||
FHLMC Series 4915 Class FE (30 Day Average U.S. SOFR+0.51%)± | 5.82 | 2-15-2038 | 3,111,211 | 3,065,621 | ||
FHLMC Series 4921 Class FN (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 10-25-2049 | 850,906 | 824,527 | ||
FHLMC Series 4925 Class WF (30 Day Average U.S. SOFR+0.51%)± | 5.86 | 8-15-2038 | 2,863,486 | 2,809,756 | ||
FHLMC Series 4925 Class FY (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 10-25-2049 | 299,393 | 289,830 | ||
FHLMC Series 4933 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 12-25-2049 | 885,101 | 858,899 | ||
FNMA | 6.50 | 5-1-2031 | 19,430 | 19,951 | ||
FNMA | 7.06 | 1-1-2027 | 4,568 | 4,691 | ||
FNMA | 7.50 | 1-1-2031 | 11,682 | 11,663 | ||
FNMA | 7.50 | 1-1-2033 | 27,370 | 27,330 | ||
FNMA | 7.50 | 5-1-2033 | 56,575 | 56,508 | ||
FNMA | 7.50 | 8-1-2033 | 32,313 | 32,256 | ||
FNMA | 8.00 | 12-1-2026 | 11,775 | 11,769 | ||
FNMA | 8.00 | 3-1-2030 | 6 | 6 | ||
FNMA | 8.00 | 5-1-2033 | 27,378 | 27,266 | ||
FNMA | 8.50 | 8-15-2024 | 187 | 187 | ||
FNMA (1 Year Treasury Constant Maturity+1.50%)± | 5.02 | 8-1-2030 | 165,547 | 164,869 | ||
FNMA (1 Year Treasury Constant Maturity+1.52%)± | 5.52 | 8-1-2033 | 319,330 | 317,957 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+1.58%)± | 3.87 % | 3-1-2034 | $ | 159,187 | $157,641 | |
FNMA (1 Year Treasury Constant Maturity+1.63%)± | 6.63 | 11-1-2029 | 3,611 | 3,570 | ||
FNMA (1 Year Treasury Constant Maturity+1.66%)± | 5.69 | 7-1-2048 | 306,044 | 308,506 | ||
FNMA (1 Year Treasury Constant Maturity+1.70%)± | 5.82 | 2-1-2033 | 105,785 | 105,007 | ||
FNMA (1 Year Treasury Constant Maturity+1.76%)± | 5.51 | 8-1-2032 | 25,482 | 25,395 | ||
FNMA (1 Year Treasury Constant Maturity+1.85%)± | 5.88 | 7-1-2038 | 250,442 | 248,122 | ||
FNMA (1 Year Treasury Constant Maturity+1.88%)± | 5.64 | 8-1-2031 | 22,405 | 22,334 | ||
FNMA (1 Year Treasury Constant Maturity+1.96%)± | 5.08 | 3-1-2032 | 11,468 | 11,476 | ||
FNMA (1 Year Treasury Constant Maturity+2.03%)± | 5.32 | 12-1-2032 | 125,290 | 124,719 | ||
FNMA (1 Year Treasury Constant Maturity+2.07%)± | 5.85 | 12-1-2033 | 108,741 | 108,191 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 5.10 | 7-1-2035 | 33,686 | 33,586 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 5.17 | 9-1-2036 | 106,835 | 106,283 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 5.93 | 4-1-2040 | 43,986 | 44,868 | ||
FNMA (1 Year Treasury Constant Maturity+2.11%)± | 5.51 | 7-1-2035 | 69,507 | 69,513 | ||
FNMA (1 Year Treasury Constant Maturity+2.12%)± | 4.49 | 8-1-2026 | 1,997 | 1,986 | ||
FNMA (1 Year Treasury Constant Maturity+2.12%)± | 5.12 | 3-1-2031 | 11,094 | 11,075 | ||
FNMA (1 Year Treasury Constant Maturity+2.15%)± | 6.15 | 2-1-2033 | 27,391 | 27,393 | ||
FNMA (1 Year Treasury Constant Maturity+2.17%)± | 5.96 | 9-1-2030 | 12,734 | 12,693 | ||
FNMA (1 Year Treasury Constant Maturity+2.17%)± | 6.29 | 12-1-2039 | 72,054 | 71,820 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 5.65 | 6-1-2035 | 42,947 | 42,922 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 5.94 | 5-1-2036 | 493,637 | 498,828 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 6.20 | 1-1-2036 | 64,195 | 63,946 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 6.22 | 9-1-2035 | 289,317 | 297,947 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 6.30 | 12-1-2024 | 3,541 | 3,529 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 6.39 | 1-1-2036 | 193,859 | 193,127 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.44 | 3-1-2035 | 149,252 | 148,365 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 5.46 | 6-1-2027 | 20,299 | 20,237 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 5.63 | 9-1-2033 | 79,517 | 79,121 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 5.85 | 5-1-2034 | 186,977 | 184,845 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 6.19 | 8-1-2033 | 189,297 | 188,573 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 5.58 | 12-1-2040 | 2,153,564 | 2,205,453 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 5.95 | 12-1-2040 | 1,140,576 | 1,168,353 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 4.40 | 8-1-2026 | 2,923 | 2,903 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 4.58 | 1-1-2027 | 301 | 300 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.01 | 5-1-2037 | 268,285 | 267,571 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.45 | 9-1-2035 | 584,952 | 593,553 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.74 | 10-1-2034 | 417,437 | 427,981 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.96 | 1-1-2033 | 76,878 | 76,753 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 6.01 | 8-1-2035 | 187,154 | 188,918 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 4.44 | 7-1-2029 | 85,904 | 83,711 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.35 | 6-1-2035 | 123,407 | 124,244 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.97 | 7-1-2035 | 9,258 | 9,247 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.98 | 12-1-2040 | 924,433 | 947,111 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 6.16 | 7-1-2035 | 164,294 | 166,125 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 6.35 | 8-1-2031 | 66,280 | 65,503 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 6.35 | 10-1-2034 | 83,987 | 83,366 | ||
FNMA (1 Year Treasury Constant Maturity+2.23%)± | 5.50 | 7-1-2037 | 83,206 | 85,687 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.38 | 7-1-2028 | 32 | 32 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.83 % | 1-1-2037 | $ | 202,571 | $202,368 | |
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.84 | 4-1-2038 | 218,358 | 217,936 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.88 | 7-1-2038 | 1,159,372 | 1,191,250 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 6.01 | 11-1-2038 | 1,265,300 | 1,301,472 | ||
FNMA (1 Year Treasury Constant Maturity+2.25%)± | 5.92 | 10-1-2036 | 157,056 | 161,281 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 6.28 | 9-1-2026 | 7,090 | 7,054 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 5.89 | 6-1-2037 | 531,480 | 543,410 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 5.91 | 5-1-2034 | 86,161 | 85,839 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 6.29 | 12-1-2030 | 12,645 | 12,625 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 6.45 | 1-1-2031 | 23,619 | 23,427 | ||
FNMA (1 Year Treasury Constant Maturity+2.30%)± | 5.96 | 5-1-2033 | 105,398 | 104,771 | ||
FNMA (1 Year Treasury Constant Maturity+2.30%)± | 6.30 | 1-1-2026 | 13,498 | 13,445 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 5.97 | 12-1-2030 | 121,719 | 121,311 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 6.40 | 12-1-2034 | 129,958 | 130,164 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 4.57 | 4-1-2028 | 18,416 | 18,274 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 6.19 | 7-1-2030 | 52,935 | 52,698 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 6.44 | 5-1-2025 | 3,588 | 3,577 | ||
FNMA (1 Year Treasury Constant Maturity+2.33%)± | 6.33 | 11-1-2024 | 2,740 | 2,732 | ||
FNMA (1 Year Treasury Constant Maturity+2.35%)± | 5.35 | 6-1-2027 | 13,629 | 13,582 | ||
FNMA (1 Year Treasury Constant Maturity+2.35%)± | 5.87 | 9-1-2037 | 26,888 | 26,789 | ||
FNMA (1 Year Treasury Constant Maturity+2.36%)± | 6.39 | 11-1-2034 | 104,079 | 107,067 | ||
FNMA (1 Year Treasury Constant Maturity+2.37%)± | 4.51 | 9-1-2030 | 178,351 | 172,422 | ||
FNMA (1 Year Treasury Constant Maturity+2.37%)± | 6.50 | 7-1-2027 | 6,844 | 6,795 | ||
FNMA (1 Year Treasury Constant Maturity+2.38%)± | 6.38 | 7-1-2027 | 29,381 | 29,268 | ||
FNMA (1 Year Treasury Constant Maturity+2.40%)± | 6.53 | 9-1-2033 | 215,404 | 214,699 | ||
FNMA (1 Year Treasury Constant Maturity+2.41%)± | 5.67 | 5-1-2027 | 17,004 | 16,905 | ||
FNMA (1 Year Treasury Constant Maturity+2.44%)± | 5.69 | 7-1-2037 | 646,528 | 658,047 | ||
FNMA (1 Year Treasury Constant Maturity+2.46%)± | 5.89 | 5-1-2033 | 29,309 | 29,191 | ||
FNMA (1 Year Treasury Constant Maturity+2.47%)± | 6.45 | 7-1-2028 | 47,071 | 46,757 | ||
FNMA (1 Year Treasury Constant Maturity+2.47%)± | 6.47 | 9-1-2028 | 19,678 | 19,588 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 4.74 | 4-1-2038 | 131,887 | 130,657 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 5.61 | 7-1-2037 | 70,028 | 70,416 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 6.61 | 5-1-2035 | 273,281 | 277,525 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 4.52 | 9-1-2030 | 109,854 | 106,677 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 5.33 | 10-1-2029 | 77,991 | 77,692 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 6.50 | 3-1-2027 | 6,788 | 6,764 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 6.63 | 6-1-2032 | 58,101 | 57,633 | ||
FNMA (1 Year Treasury Constant Maturity+2.52%)± | 6.64 | 11-1-2024 | 2,981 | 2,968 | ||
FNMA (1 Year Treasury Constant Maturity+2.60%)± | 6.72 | 10-1-2025 | 1,758 | 1,749 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 5.64 | 3-1-2030 | 2,571 | 2,559 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 6.08 | 7-1-2028 | 21,341 | 21,277 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 6.77 | 10-1-2028 | 10,754 | 10,639 | ||
FNMA (1 Year Treasury Constant Maturity+2.70%)± | 5.76 | 5-1-2035 | 435,224 | 435,611 | ||
FNMA (1 Year Treasury Constant Maturity+2.72%)± | 5.10 | 8-1-2035 | 87,566 | 87,203 | ||
FNMA (1 Year Treasury Constant Maturity+2.89%)± | 6.70 | 9-1-2030 | 64,547 | 64,290 | ||
FNMA (1 Year Treasury Constant Maturity+3.03%)± | 7.16 | 1-1-2029 | 12,957 | 12,939 | ||
FNMA (11th District COFI+1.25%)± | 4.38 | 11-1-2024 | 15 | 15 | ||
FNMA (11th District COFI+1.25%)± | 4.39 | 4-1-2034 | 73,148 | 70,303 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA (11th District COFI+1.26%)± | 4.31 % | 1-1-2035 | $ | 87,560 | $84,422 | |
FNMA (11th District COFI+1.27%)± | 4.29 | 3-1-2033 | 31,332 | 30,395 | ||
FNMA (11th District COFI+1.27%)± | 5.10 | 1-1-2038 | 2,556 | 2,509 | ||
FNMA (11th District COFI+1.29%)± | 4.40 | 9-1-2037 | 594,907 | 574,353 | ||
FNMA (11th District COFI+1.69%)± | 4.81 | 1-1-2036 | 72,273 | 70,217 | ||
FNMA (11th District COFI+1.70%)± | 4.81 | 4-1-2030 | 242 | 238 | ||
FNMA (11th District COFI+1.82%)± | 4.13 | 5-1-2028 | 12,410 | 12,196 | ||
FNMA (11th District COFI+1.82%)± | 4.94 | 6-1-2034 | 26,963 | 26,573 | ||
FNMA (11th District COFI+1.84%)± | 4.95 | 10-1-2027 | 32,567 | 32,271 | ||
FNMA (11th District COFI+1.90%)± | 6.19 | 5-1-2034 | 19,333 | 19,492 | ||
FNMA (11th District COFI+1.91%)± | 4.99 | 3-1-2033 | 102,829 | 100,724 | ||
FNMA (11th District COFI+1.92%)± | 4.54 | 9-1-2030 | 99,769 | 98,102 | ||
FNMA (11th District COFI+1.93%)± | 5.11 | 12-1-2036 | 7,641 | 7,560 | ||
FNMA (12 Month Treasury Average+1.21%)± | 6.27 | 4-1-2042 | 510,128 | 504,220 | ||
FNMA (12 Month Treasury Average+1.73%)± | 6.81 | 6-1-2035 | 169,772 | 171,960 | ||
FNMA (12 Month Treasury Average+1.75%)± | 6.83 | 10-1-2035 | 254,092 | 255,218 | ||
FNMA (12 Month Treasury Average+1.83%)± | 6.93 | 7-1-2035 | 213,394 | 215,973 | ||
FNMA (12 Month Treasury Average+1.85%)± | 6.90 | 11-1-2035 | 221,576 | 222,747 | ||
FNMA (12 Month Treasury Average+1.85%)± | 6.90 | 11-1-2035 | 28,874 | 29,186 | ||
FNMA (12 Month Treasury Average+1.89%)± | 6.93 | 11-1-2035 | 9,991 | 10,172 | ||
FNMA (12 Month Treasury Average+1.90%)± | 6.96 | 7-1-2035 | 153,363 | 154,751 | ||
FNMA (12 Month Treasury Average+1.96%)± | 7.01 | 11-1-2035 | 220,998 | 222,106 | ||
FNMA (12 Month Treasury Average+2.07%)± | 7.11 | 10-1-2035 | 94,161 | 96,383 | ||
FNMA (12 Month Treasury Average+2.08%)± | 7.08 | 1-1-2035 | 200,323 | 202,853 | ||
FNMA (12 Month Treasury Average+2.11%)± | 7.16 | 8-1-2035 | 83,952 | 84,676 | ||
FNMA (12 Month Treasury Average+2.36%)± | 7.41 | 8-1-2040 | 244,623 | 247,478 | ||
FNMA (12 Month Treasury Average+2.48%)± | 5.45 | 6-1-2040 | 340,539 | 341,877 | ||
FNMA (3 Year Treasury Constant Maturity+2.15%)± | 2.90 | 8-1-2031 | 18,718 | 18,419 | ||
FNMA (5 Year Treasury Constant Maturity+1.90%)± | 3.49 | 9-1-2031 | 78,794 | 76,580 | ||
FNMA (5 Year Treasury Constant Maturity+2.43%)± | 4.87 | 6-1-2028 | 8,103 | 8,144 | ||
FNMA (Federal COFI+2.00%)± | 4.25 | 8-1-2029 | 15,780 | 15,784 | ||
FNMA (Federal COFI+2.46%)± | 5.53 | 2-1-2029 | 143,905 | 143,336 | ||
FNMA (RFUCCT1M+1.17%)± | 6.67 | 5-1-2029 | 23,932 | 24,076 | ||
FNMA (RFUCCT1Y+1.53%)± | 5.78 | 9-1-2035 | 210,485 | 214,444 | ||
FNMA (RFUCCT1Y+1.53%)± | 5.78 | 9-1-2036 | 161,250 | 159,657 | ||
FNMA (RFUCCT1Y+1.55%)± | 5.31 | 1-1-2040 | 41,500 | 41,193 | ||
FNMA (RFUCCT1Y+1.56%)± | 5.13 | 2-1-2044 | 28,360 | 28,863 | ||
FNMA (RFUCCT1Y+1.57%)± | 5.49 | 6-1-2043 | 2,013,817 | 2,045,438 | ||
FNMA (RFUCCT1Y+1.57%)± | 5.82 | 11-1-2044 | 61,705 | 61,683 | ||
FNMA (RFUCCT1Y+1.59%)± | 5.34 | 6-1-2044 | 336,939 | 344,377 | ||
FNMA (RFUCCT1Y+1.59%)± | 5.45 | 9-1-2044 | 515,523 | 526,514 | ||
FNMA (RFUCCT1Y+1.59%)± | 5.68 | 8-1-2045 | 215,161 | 219,819 | ||
FNMA (RFUCCT1Y+1.59%)± | 7.04 | 2-1-2043 | 213,443 | 215,955 | ||
FNMA (RFUCCT1Y+1.60%)± | 2.23 | 8-1-2050 | 1,923,684 | 1,706,582 | ||
FNMA (RFUCCT1Y+1.60%)± | 5.20 | 3-1-2046 | 573,460 | 584,950 | ||
FNMA (RFUCCT1Y+1.60%)± | 5.85 | 9-1-2037 | 325,883 | 323,318 | ||
FNMA (RFUCCT1Y+1.62%)± | 2.39 | 8-1-2050 | 2,451,419 | 2,189,219 | ||
FNMA (RFUCCT1Y+1.62%)± | 2.52 | 4-1-2050 | 1,169,899 | 1,093,826 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA (RFUCCT1Y+1.64%)± | 4.85 % | 11-1-2038 | $ | 77,588 | $77,561 | |
FNMA (RFUCCT1Y+1.64%)± | 7.21 | 9-1-2042 | 69,901 | 70,467 | ||
FNMA (RFUCCT1Y+1.67%)± | 5.64 | 6-1-2036 | 25,295 | 25,356 | ||
FNMA (RFUCCT1Y+1.67%)± | 5.64 | 6-1-2041 | 593,847 | 608,407 | ||
FNMA (RFUCCT1Y+1.67%)± | 5.75 | 7-1-2035 | 207,033 | 212,111 | ||
FNMA (RFUCCT1Y+1.71%)± | 5.35 | 4-1-2034 | 174,085 | 177,950 | ||
FNMA (RFUCCT1Y+1.72%)± | 5.73 | 6-1-2035 | 33,646 | 34,525 | ||
FNMA (RFUCCT1Y+1.73%)± | 5.16 | 2-1-2045 | 616,254 | 629,272 | ||
FNMA (RFUCCT1Y+1.73%)± | 5.73 | 7-1-2043 | 919,489 | 943,240 | ||
FNMA (RFUCCT1Y+1.74%)± | 5.33 | 9-1-2042 | 102,319 | 105,136 | ||
FNMA (RFUCCT1Y+1.75%)± | 4.53 | 4-1-2033 | 237,621 | 236,709 | ||
FNMA (RFUCCT1Y+1.75%)± | 4.67 | 4-1-2034 | 67,912 | 67,060 | ||
FNMA (RFUCCT1Y+1.75%)± | 4.79 | 5-1-2035 | 167,024 | 165,376 | ||
FNMA (RFUCCT1Y+1.75%)± | 5.62 | 7-1-2035 | 175,747 | 176,978 | ||
FNMA (RFUCCT1Y+1.75%)± | 6.00 | 1-1-2035 | 148,465 | 149,088 | ||
FNMA (RFUCCT1Y+1.77%)± | 5.87 | 7-1-2044 | 1,175,425 | 1,206,329 | ||
FNMA (RFUCCT1Y+1.78%)± | 5.90 | 1-1-2042 | 894,361 | 919,949 | ||
FNMA (RFUCCT1Y+1.83%)± | 6.08 | 1-1-2033 | 45,383 | 45,087 | ||
FNMA (RFUCCT1Y+1.90%)± | 6.15 | 10-1-2034 | 206,393 | 204,538 | ||
FNMA (RFUCCT1Y+1.91%)± | 5.89 | 5-1-2038 | 225,388 | 232,876 | ||
FNMA (RFUCCT1Y+1.93%)± | 5.68 | 5-1-2037 | 374,742 | 373,704 | ||
FNMA (RFUCCT1Y+2.02%)± | 6.27 | 9-1-2035 | 137,624 | 140,975 | ||
FNMA (RFUCCT6M+1.03%)± | 5.15 | 2-1-2033 | 83,614 | 82,669 | ||
FNMA (RFUCCT6M+1.16%)± | 5.50 | 8-1-2033 | 2,394 | 2,367 | ||
FNMA (RFUCCT6M+1.18%)± | 6.93 | 8-1-2033 | 30,860 | 30,863 | ||
FNMA (RFUCCT6M+1.31%)± | 5.18 | 10-1-2037 | 265,610 | 267,357 | ||
FNMA (RFUCCT6M+1.38%)± | 7.00 | 8-1-2031 | 81,390 | 81,423 | ||
FNMA (RFUCCT6M+1.38%)± | 7.13 | 12-1-2031 | 12,073 | 12,044 | ||
FNMA (RFUCCT6M+1.39%)± | 7.14 | 1-1-2032 | 47,250 | 47,215 | ||
FNMA (RFUCCT6M+1.42%)± | 7.29 | 12-1-2031 | 93,556 | 94,049 | ||
FNMA (RFUCCT6M+1.51%)± | 5.35 | 11-1-2034 | 246,989 | 244,694 | ||
FNMA (RFUCCT6M+1.55%)± | 7.35 | 3-1-2034 | 57,916 | 58,092 | ||
FNMA (RFUCCT6M+1.55%)± | 7.36 | 1-1-2035 | 281,476 | 285,030 | ||
FNMA (RFUCCT6M+1.62%)± | 7.48 | 6-1-2037 | 268,882 | 272,478 | ||
FNMA (RFUCCT6M+1.74%)± | 5.49 | 10-1-2024 | 4,622 | 4,590 | ||
FNMA (RFUCCT6M+1.74%)± | 5.87 | 12-1-2024 | 3,635 | 3,611 | ||
FNMA (RFUCCT6M+1.93%)± | 6.05 | 6-1-2032 | 46,357 | 46,138 | ||
FNMA (RFUCCT6M+1.96%)± | 6.28 | 1-1-2033 | 42,566 | 42,123 | ||
FNMA (RFUCCT6M+1.98%)± | 5.23 | 9-1-2033 | 39,278 | 38,789 | ||
FNMA (RFUCCT6M+2.25%)± | 6.22 | 3-1-2034 | 337,616 | 336,846 | ||
FNMA (RFUCCT6M+2.31%)± | 6.06 | 4-1-2033 | 134,461 | 133,070 | ||
FNMA (RFUCCT6M+2.35%)± | 6.54 | 5-1-2033 | 398,629 | 400,919 | ||
FNMA (RFUCCT6M+2.48%)± | 6.73 | 7-1-2033 | 23,049 | 22,811 | ||
FNMA (RFUCCT6M+2.51%)± | 6.13 | 4-1-2033 | 121,109 | 120,867 | ||
FNMA (RFUCCT6M+2.62%)± | 6.23 | 4-1-2024 | 499 | 496 | ||
FNMA (RFUCCT6M+3.36%)± | 7.07 | 12-1-2032 | 73,102 | 72,365 | ||
FNMA Series 2001-50 Class BA | 7.00 | 10-25-2041 | 43,336 | 43,703 | ||
FNMA Series 2001-63 Class FD (30 Day Average U.S. SOFR+0.71%)± | 6.04 | 12-18-2031 | 30,306 | 30,307 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA Series 2001-81 Class F (30 Day Average U.S. SOFR+0.66%)± | 5.99 % | 1-25-2032 | $ | 16,587 | $16,504 | |
FNMA Series 2001-T10 Class A2 | 7.50 | 12-25-2041 | 833,714 | 838,430 | ||
FNMA Series 2001-T12 Class A4±± | 4.76 | 8-25-2041 | 1,466,770 | 1,463,845 | ||
FNMA Series 2001-T12 Class A2 | 7.50 | 8-25-2041 | 63,409 | 64,073 | ||
FNMA Series 2001-T8 Class A1 | 7.50 | 7-25-2041 | 48,393 | 48,632 | ||
FNMA Series 2001-W1 Class AV1 (30 Day Average U.S. SOFR+0.23%)± | 5.56 | 8-25-2031 | 15,247 | 14,573 | ||
FNMA Series 2001-W3 Class A±± | 4.85 | 9-25-2041 | 178,704 | 173,453 | ||
FNMA Series 2002-5 Class FD (30 Day Average U.S. SOFR+1.01%)± | 6.34 | 2-25-2032 | 21,760 | 21,830 | ||
FNMA Series 2002-59 Class F (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 9-25-2032 | 49,201 | 49,020 | ||
FNMA Series 2002-66 Class A3±± | 4.28 | 4-25-2042 | 3,269,386 | 3,237,536 | ||
FNMA Series 2002-T12 Class A5±± | 4.97 | 10-25-2041 | 764,043 | 739,697 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 668,872 | 692,357 | ||
FNMA Series 2002-T18 Class A5±± | 4.71 | 5-25-2042 | 1,519,225 | 1,452,957 | ||
FNMA Series 2002-T19 Class A4±± | 4.84 | 3-25-2042 | 89,852 | 86,863 | ||
FNMA Series 2002-W1 Class 3A±± | 3.67 | 4-25-2042 | 363,749 | 336,335 | ||
FNMA Series 2002-W4 Class A6±± | 4.43 | 5-25-2042 | 652,234 | 628,545 | ||
FNMA Series 2003-63 Class A8±± | 4.06 | 1-25-2043 | 502,658 | 495,675 | ||
FNMA Series 2003-7 Class A2±± | 4.45 | 5-25-2042 | 268,331 | 265,775 | ||
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)± | 5.72 | 3-25-2033 | 564,169 | 554,023 | ||
FNMA Series 2003-W10 Class 2A±± | 3.84 | 6-25-2043 | 997,169 | 965,584 | ||
FNMA Series 2003-W18 Class 2A±± | 4.46 | 6-25-2043 | 1,140,063 | 1,108,872 | ||
FNMA Series 2003-W2 Class 1A3 | 7.50 | 7-25-2042 | 164,815 | 167,059 | ||
FNMA Series 2003-W4 Class 5A±± | 4.05 | 10-25-2042 | 353,847 | 339,651 | ||
FNMA Series 2003-W6 Class 6A±± | 4.27 | 8-25-2042 | 409,265 | 393,150 | ||
FNMA Series 2003-W8 Class 4A±± | 4.47 | 11-25-2042 | 511,436 | 490,931 | ||
FNMA Series 2003-W9 Class A (30 Day Average U.S. SOFR+0.23%)± | 5.56 | 6-25-2033 | 791,656 | 754,788 | ||
FNMA Series 2004-17 Class FT (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 4-25-2034 | 334,236 | 332,118 | ||
FNMA Series 2004-T1 Class 2A±± | 3.84 | 8-25-2043 | 643,068 | 594,940 | ||
FNMA Series 2004-T3 Class 2A±± | 4.49 | 8-25-2043 | 484,332 | 476,546 | ||
FNMA Series 2004-T3 Class 1A3 | 7.00 | 2-25-2044 | 220,249 | 225,780 | ||
FNMA Series 2004-W1 Class 3A±± | 4.60 | 1-25-2043 | 28,935 | 26,161 | ||
FNMA Series 2004-W1 Class 2A2 | 7.00 | 12-25-2033 | 102,801 | 106,127 | ||
FNMA Series 2004-W12 Class 2A±± | 4.36 | 6-25-2044 | 1,535,971 | 1,469,581 | ||
FNMA Series 2004-W15 Class 3A±± | 4.42 | 6-25-2044 | 2,046,853 | 1,986,736 | ||
FNMA Series 2004-W2 Class 5A | 7.50 | 3-25-2044 | 31,344 | 32,204 | ||
FNMA Series 2005-25 Class PF (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 4-25-2035 | 472,121 | 465,100 | ||
FNMA Series 2005-W3 Class 3A±± | 4.26 | 4-25-2045 | 418,239 | 398,958 | ||
FNMA Series 2006-112 Class LF (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 11-25-2036 | 843,324 | 830,445 | ||
FNMA Series 2006-16 Class FA (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 3-25-2036 | 300,642 | 296,465 | ||
FNMA Series 2006-44 Class FY (30 Day Average U.S. SOFR+0.68%)± | 6.01 | 6-25-2036 | 582,301 | 579,592 | ||
FNMA Series 2006-5 Class 1A±± | 5.18 | 8-25-2034 | 1,470,446 | 1,508,434 | ||
FNMA Series 2006-W1 Class 3A±± | 4.23 | 10-25-2045 | 1,257,867 | 1,228,573 | ||
FNMA Series 2007-109 Class PF (30 Day Average U.S. SOFR+0.76%)± | 6.09 | 12-25-2037 | 240,187 | 237,647 | ||
FNMA Series 2007-4 Class DF (30 Day Average U.S. SOFR+0.56%)± | 5.88 | 2-25-2037 | 480,062 | 470,480 | ||
FNMA Series 2007-86 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 9-25-2037 | 801,201 | 793,541 | ||
FNMA Series 2007-95 Class A2 (30 Day Average U.S. SOFR+0.36%)± | 4.37 | 8-27-2036 | 77,471 | 76,472 | ||
FNMA Series 2008-67 Class FG (30 Day Average U.S. SOFR+1.11%)± | 6.44 | 7-25-2038 | 467,514 | 471,096 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA Series 2009-106 Class FA (30 Day Average U.S. SOFR+0.86%)± | 6.19 % | 1-25-2040 | $ | 657,790 | $658,436 | |
FNMA Series 2009-11 Class FU (30 Day Average U.S. SOFR+1.11%)± | 6.44 | 3-25-2049 | 60,603 | 60,701 | ||
FNMA Series 2010-54 Class AF (30 Day Average U.S. SOFR+0.67%)± | 6.00 | 4-25-2037 | 180,660 | 178,921 | ||
FNMA Series 2011-121 Class PF (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 12-25-2041 | 177,484 | 173,079 | ||
FNMA Series 2012-122 Class FM (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 11-25-2042 | 794,581 | 773,050 | ||
FNMA Series 2012-47 Class FW (30 Day Average U.S. SOFR+1.81%)± | 7.14 | 5-25-2027 | 45,538 | 46,136 | ||
FNMA Series 2013-130 Class CF (30 Day Average U.S. SOFR+0.36%)± | 5.69 | 6-25-2043 | 256,203 | 252,804 | ||
FNMA Series 2013-23 Class LF (30 Day Average U.S. SOFR+0.46%)± | 5.81 | 3-25-2043 | 2,225,405 | 2,232,256 | ||
FNMA Series 2014-10 Class CF (30 Day Average U.S. SOFR+0.41%)± | 5.76 | 3-25-2044 | 483,264 | 471,302 | ||
FNMA Series 2014-49 Class AF (30 Day Average U.S. SOFR+0.43%)± | 5.68 | 8-25-2044 | 94,298 | 91,474 | ||
FNMA Series 2015-38 Class DF (30 Day Average U.S. SOFR+0.42%)± | 5.77 | 6-25-2055 | 1,165,943 | 1,146,283 | ||
FNMA Series 2015-4 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.81 | 2-25-2045 | 718,482 | 697,538 | ||
FNMA Series 2016-40 Class AF (30 Day Average U.S. SOFR+0.56%)± | 5.71 | 7-25-2046 | 3,388,987 | 3,348,589 | ||
FNMA Series 2016-58 Class FA (30 Day Average U.S. SOFR+0.59%)± | 5.91 | 8-25-2046 | 365,257 | 360,412 | ||
FNMA Series 2016-62 Class AF (30 Day Average U.S. SOFR+0.56%)± | 5.67 | 9-25-2046 | 448,439 | 443,237 | ||
FNMA Series 2016-64 Class KF (30 Day Average U.S. SOFR+0.58%)± | 5.84 | 9-25-2046 | 903,327 | 878,296 | ||
FNMA Series 2016-76 Class CF (30 Day Average U.S. SOFR+0.56%)± | 5.91 | 10-25-2046 | 541,561 | 528,626 | ||
FNMA Series 2016-82 Class FM (30 Day Average U.S. SOFR+0.51%)± | 5.85 | 11-25-2046 | 1,111,900 | 1,081,633 | ||
FNMA Series 2016-87 Class AF (30 Day Average U.S. SOFR+0.51%)± | 5.59 | 11-25-2046 | 224,897 | 221,868 | ||
FNMA Series 2017-45 Class FA (30 Day Average U.S. SOFR+0.43%)± | 5.75 | 6-25-2047 | 2,843,327 | 2,796,229 | ||
FNMA Series 2018-39 Class WF (30 Day Average U.S. SOFR+0.41%)± | 5.62 | 6-25-2048 | 2,448,258 | 2,414,376 | ||
FNMA Series 2018-47 Class PC | 3.50 | 9-25-2047 | 125,411 | 119,470 | ||
FNMA Series 2019-25 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 6-25-2049 | 230,597 | 223,765 | ||
FNMA Series 2019-38 Class AF (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 7-25-2049 | 2,967,879 | 2,916,560 | ||
FNMA Series 2019-42 Class MF (30 Day Average U.S. SOFR+0.51%)± | 5.77 | 8-25-2059 | 1,501,983 | 1,457,357 | ||
FNMA Series 2019-5 Class FE (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 3-25-2049 | 337,131 | 327,742 | ||
FNMA Series 2019-53 Class FA (30 Day Average U.S. SOFR+0.51%)± | 5.62 | 9-25-2049 | 1,165,498 | 1,129,543 | ||
FNMA Series 2020-10 Class Q | 3.00 | 3-25-2050 | 2,575,579 | 2,210,076 | ||
FNMA Series 2020-29 Class FA (30 Day Average U.S. SOFR+0.76%)± | 5.68 | 5-25-2050 | 720,933 | 722,129 | ||
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR+0.18%)± | 5.52 | 12-25-2051 | 2,817,509 | 2,775,373 | ||
GNMA | 6.45 | 4-20-2025 | 5,050 | 5,056 | ||
GNMA | 6.50 | 8-20-2034 | 106,576 | 104,041 | ||
GNMA | 9.00 | 1-20-2025 | 114 | 114 | ||
GNMA | 9.00 | 2-20-2025 | 263 | 263 | ||
GNMA (1 Year Treasury Constant Maturity+1.40%)± | 6.66 | 6-20-2058 | 5,756 | 5,781 | ||
GNMA (1 Year Treasury Constant Maturity+1.50%)± | 3.63 | 1-20-2034 | 675,061 | 672,044 | ||
GNMA (1 Year Treasury Constant Maturity+2.00%)± | 4.38 | 4-20-2041 | 24,775 | 24,602 | ||
GNMA (1 Year Treasury Constant Maturity+2.00%)± | 5.13 | 1-20-2041 | 21,691 | 21,696 | ||
GNMA (RFUCCT1M+0.62%)± | 6.06 | 5-20-2058 | 80,118 | 79,967 | ||
GNMA Series 2004-80 Class FA (U.S. SOFR 1 Month+0.51%)± | 5.83 | 10-20-2034 | 310,800 | 309,523 | ||
GNMA Series 2006-16 Class DF (U.S. SOFR 1 Month+0.22%)± | 5.54 | 4-20-2036 | 1,608,826 | 1,590,900 | ||
GNMA Series 2008-65 Class FG (U.S. SOFR 1 Month+0.86%)± | 6.18 | 8-20-2038 | 556,908 | 559,208 | ||
GNMA Series 2008-68 Class FA (U.S. SOFR 1 Month+1.06%)± | 6.38 | 8-20-2038 | 698,078 | 703,294 | ||
GNMA Series 2009-12 Class FA (U.S. SOFR 1 Month+1.06%)± | 6.38 | 3-20-2039 | 879,679 | 884,883 | ||
GNMA Series 2009-15 Class FL (U.S. SOFR 1 Month+1.06%)± | 6.38 | 3-20-2039 | 879,679 | 883,337 | ||
GNMA Series 2009-29 Class FL (U.S. SOFR 1 Month+0.76%)± | 6.09 | 5-16-2039 | 959,065 | 958,095 | ||
GNMA Series 2009-36 Class FE (U.S. SOFR 1 Month+0.91%)± | 6.23 | 9-20-2038 | 900,358 | 903,735 | ||
GNMA Series 2009-50 Class FW (U.S. SOFR 1 Month+1.11%)± | 6.43 | 7-20-2039 | 662,624 | 668,922 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
GNMA Series 2009-52 Class FD (U.S. SOFR 1 Month+1.06%)± | 6.39 % | 7-16-2039 | $ | 334,803 | $337,120 | |
GNMA Series 2010-25 Class FH (U.S. SOFR 1 Month+0.83%)± | 6.16 | 2-16-2040 | 473,195 | 471,508 | ||
GNMA Series 2010-79 Class YF (U.S. SOFR 1 Month+0.46%)± | 5.78 | 5-20-2035 | 1,492,674 | 1,477,629 | ||
GNMA Series 2011-117 Class FJ (U.S. SOFR 1 Month+0.98%)± | 6.30 | 8-20-2041 | 862,895 | 866,235 | ||
GNMA Series 2011-H12 Class FA (U.S. SOFR 1 Month+0.60%)± | 5.95 | 2-20-2061 | 237,569 | 236,598 | ||
GNMA Series 2011-H17 Class FA (U.S. SOFR 1 Month+0.64%)± | 5.99 | 6-20-2061 | 201,187 | 200,615 | ||
GNMA Series 2012-124 Class GF (U.S. SOFR 1 Month+0.36%)± | 5.68 | 10-20-2042 | 988,837 | 964,150 | ||
GNMA Series 2014-44 Class IAƒ | 3.50 | 5-20-2028 | 1,035,600 | 33,005 | ||
GNMA Series 2014-H16 Class FL (U.S. SOFR 1 Month+0.58%)± | 5.93 | 7-20-2064 | 563,726 | 558,273 | ||
GNMA Series 2014-H22 Class FC (U.S. SOFR 1 Month+0.59%)± | 5.94 | 11-20-2064 | 1,200,306 | 1,195,470 | ||
GNMA Series 2015-H23 Class TA (U.S. SOFR 1 Month+0.58%)± | 5.93 | 9-20-2065 | 1,234,777 | 1,229,143 | ||
GNMA Series 2016-H24 Class FD (U.S. SOFR 12 Month+1.02%)± | 6.45 | 11-20-2066 | 318,123 | 317,375 | ||
GNMA Series 2017-130 Class FH (U.S. SOFR 1 Month+0.41%)± | 5.73 | 8-20-2047 | 1,597,584 | 1,537,478 | ||
GNMA Series 2017-H11 Class FE (U.S. SOFR 12 Month+0.90%)± | 5.18 | 5-20-2067 | 2,397,308 | 2,375,198 | ||
GNMA Series 2018-120 Class FL (U.S. SOFR 1 Month+0.41%)± | 5.73 | 9-20-2048 | 226,061 | 217,788 | ||
GNMA Series 2018-49 Class FM (U.S. SOFR 1 Month+0.36%)± | 5.68 | 4-20-2048 | 1,049,539 | 1,009,181 | ||
GNMA Series 2018-H07 Class FD (U.S. SOFR 1 Month+0.41%)± | 5.76 | 5-20-2068 | 194,429 | 194,082 | ||
GNMA Series 2018-H13 Class FC (U.S. SOFR 1 Month+0.41%)± | 5.76 | 7-20-2068 | 195,748 | 194,110 | ||
GNMA Series 2019-103 Class FG (U.S. SOFR 1 Month+0.56%)± | 5.88 | 4-20-2049 | 914,510 | 888,285 | ||
GNMA Series 2019-129 Class WF (U.S. SOFR 1 Month+0.51%)± | 5.84 | 2-20-2046 | 1,098,403 | 1,052,174 | ||
GNMA Series 2019-H06 Class FD (U.S. SOFR 1 Month+0.83%)± | 6.18 | 1-20-2069 | 563,722 | 553,324 | ||
GNMA Series 2019-H09 Class FE (U.S. SOFR 1 Month+0.61%)± | 5.96 | 4-20-2069 | 839,599 | 834,655 | ||
GNMA Series 2019-H10 Class FB (U.S. SOFR 1 Month+0.71%)± | 6.06 | 6-20-2069 | 2,770,882 | 2,706,205 | ||
GNMA Series 2019-H15 Class FE (U.S. SOFR 1 Month+0.74%)± | 6.09 | 9-20-2069 | 1,787,296 | 1,773,981 | ||
GNMA Series 2020-H12 Class F (U.S. SOFR 1 Month+0.61%)± | 5.96 | 7-20-2070 | 737,602 | 718,221 | ||
GNMA Series 2020-H19 Class FB (U.S. SOFR 1 Month+0.56%)± | 5.91 | 11-20-2070 | 2,284,122 | 2,250,786 | ||
GNMA Series 2021-H01 Class FC (U.S. SOFR 1 Month+0.51%)± | 5.86 | 11-20-2070 | 1,320,790 | 1,281,077 | ||
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR+0.30%)± | 5.62 | 4-20-2070 | 3,453,116 | 3,315,896 | ||
Total agency securities (Cost $236,597,833) | 231,452,536 | |||||
Asset-backed securities: 2.21% | ||||||
Brazos Education Funding LLC Series 2015-1 Class A (30 Day Average U.S. SOFR+1.11%)144A± | 6.44 | 10-25-2056 | 935,190 | 932,648 | ||
EFS Volunteer LLC Series 2010-1 Class A2 (90 Day Average U.S. SOFR+1.11%)144A± | 6.47 | 10-25-2035 | 55,486 | 55,500 | ||
Navient Private Education Refinance Loan Trust Series 2020-GA Class A144A | 1.17 | 9-16-2069 | 870,551 | 780,973 | ||
Navient Student Loan Trust Series 2021-1A Class A1B (30 Day Average U.S. SOFR+0.71%)144A± | 6.04 | 12-26-2069 | 688,250 | 677,463 | ||
Nelnet Student Loan Trust Series 2019-4A Class A (U.S. SOFR 1 Month+0.98%)144A± | 6.31 | 9-26-2067 | 473,979 | 470,757 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (90 Day Average U.S. SOFR+0.93%)144A± | 6.28 | 12-17-2068 | 2,823,843 | 2,792,687 | ||
SLM Student Loan Trust Series 2004-10 Class A7B (90 Day Average U.S. SOFR+0.86%)144A± | 6.22 | 10-25-2029 | 98,406 | 98,400 | ||
Total asset-backed securities (Cost $5,945,684) | 5,808,428 |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 0.67% | ||||||
Energy: 0.67% | ||||||
Oil & gas services: 0.67% | ||||||
Cal Dive I-Title XI, Inc. | 4.93 % | 2-1-2027 | $ | 1,780,219 | $1,747,970 | |
Total corporate bonds and notes (Cost $1,820,773) | 1,747,970 | |||||
Non-agency mortgage-backed securities: 5.69% | ||||||
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 469,064 | 426,391 | ||
CSMC Trust Series 2022-NQM1 Class A1144A±± | 2.27 | 11-25-2066 | 2,557,022 | 2,224,328 | ||
FRESB Mortgage Trust Series 2022-SB94 Class A5H±± | 1.72 | 11-25-2041 | 5,716,618 | 5,363,839 | ||
GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ4 Class A2144A±± | 3.00 | 1-25-2051 | 597,752 | 500,936 | ||
Imperial Fund Mortgage Trust Series 2022-NQM1 Class A1144A±± | 2.49 | 2-25-2067 | 2,138,051 | 1,875,350 | ||
JP Morgan Mortgage Trust Series 2016-5 Class A1144A±± | 7.07 | 12-25-2046 | 328,984 | 325,390 | ||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 | 1-26-2065 | 237,516 | 211,515 | ||
New Residential Mortgage Loan Trust Series 2018-4A Class A1M (U.S. SOFR 1 Month+1.01%)144A± | 6.34 | 1-25-2048 | 793,458 | 766,558 | ||
New Residential Mortgage Loan Trust Series 2020-RPL1 Class A1144A±± | 2.75 | 11-25-2059 | 172,455 | 160,644 | ||
OBX Trust Series 2022-NQM1 Class A1144A±± | 2.31 | 11-25-2061 | 2,645,374 | 2,260,644 | ||
Starwood Mortgage Residential Trust Series 2021-2 Class A1144A±± | 0.94 | 5-25-2065 | 636,312 | 572,688 | ||
Towd Point Mortgage Trust Series 2017-5 Class A1 (U.S. SOFR 1 Month+0.71%)144A± | 5.91 | 2-25-2057 | 253,799 | 257,705 | ||
Total non-agency mortgage-backed securities (Cost $16,573,482) | 14,945,988 |
Yield | Shares | |||||
Short-term investments: 2.13% | ||||||
Investment companies: 2.13% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.24 | 5,604,942 | 5,604,942 | |||
Total short-term investments (Cost $5,604,942) | 5,604,942 | |||||
Total investments in securities (Cost $266,542,714) | 98.81 % | 259,559,864 | ||||
Other assets and liabilities, net | 1.19 | 3,113,736 | ||||
Total net assets | 100.00 % | $262,673,600 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
COFI | Cost of Funds Index |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
RFUCCT1M | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-month |
RFUCCT6M | Refinitiv USD IBOR Consumer Cash Fallbacks Term 6-month |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $7,537,678 | $41,932,613 | $(43,865,349 ) | $0 | $0 | $5,604,942 | 5,604,942 | $123,361 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Short | ||||||
10-Year U.S. Treasury Notes | (57 ) | 6-18-2024 | $(6,283,494 ) | $(6,294,938 ) | $0 | $(11,444 ) |
Ultra 10-Year U.S. Treasury Notes | (64 ) | 6-18-2024 | (7,289,300 ) | (7,307,000 ) | 0 | (17,700 ) |
2-Year U.S. Treasury Notes | (102 ) | 6-28-2024 | (20,865,212 ) | (20,884,500 ) | 0 | (19,288 ) |
5-Year U.S. Treasury Notes | (66 ) | 6-28-2024 | (7,046,652 ) | (7,055,812 ) | 0 | (9,160 ) |
$0 | $(57,592 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $260,937,772) | $253,954,922 |
Investments in affiliated securities, at value (cost $5,604,942) | 5,604,942 |
Cash | 15,737 |
Cash at broker segregated for futures contracts | 1,366,000 |
Receivable for interest | 1,187,972 |
Principal paydown receivable | 964,201 |
Receivable for Fund shares sold | 55,090 |
Receivable for daily variation margin on open futures contracts | 797 |
Prepaid expenses and other assets | 54,006 |
Total assets | 263,203,667 |
Liabilities | |
Payable for Fund shares redeemed | 312,136 |
Dividends payable | 58,149 |
Management fee payable | 48,018 |
Professional fees payable | 39,487 |
Administration fees payable | 20,441 |
Payable for daily variation margin on open futures contracts | 19,375 |
Trustees’ fees and expenses payable | 2,621 |
Distribution fee payable | 1,000 |
Accrued expenses and other liabilities | 28,840 |
Total liabilities | 530,067 |
Total net assets | $262,673,600 |
Net assets consist of | |
Paid-in capital | $270,052,446 |
Total distributable loss | (7,378,846 ) |
Total net assets | $262,673,600 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $63,966,289 |
Shares outstanding–Class A1 | 7,322,552 |
Net asset value per share–Class A | $8.74 |
Maximum offering price per share – Class A2 | $8.92 |
Net assets–Class C | $1,516,614 |
Shares outstanding–Class C1 | 173,942 |
Net asset value per share–Class C | $8.72 |
Net assets–Administrator Class | $4,510,520 |
Shares outstanding–Administrator Class1 | 516,201 |
Net asset value per share–Administrator Class | $8.74 |
Net assets–Institutional Class | $192,680,177 |
Shares outstanding–Institutional Class1 | 22,057,243 |
Net asset value per share–Institutional Class | $8.74 |
Investment income | |
Interest | $6,075,761 |
Income from affiliated securities | 123,361 |
Total investment income | 6,199,122 |
Expenses | |
Management fee | 478,924 |
Administration fees | |
Class A | 49,222 |
Class C | 1,600 |
Administrator Class | 2,218 |
Institutional Class | 80,589 |
Shareholder servicing fees | |
Class A | 81,600 |
Class C | 2,667 |
Administrator Class | 5,532 |
Distribution fee | |
Class C | 8,000 |
Custody and accounting fees | 14,714 |
Professional fees | 54,443 |
Registration fees | 30,136 |
Shareholder report expenses | 17,354 |
Trustees’ fees and expenses | 10,262 |
Other fees and expenses | 41,690 |
Total expenses | 878,951 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (126,213 ) |
Class A | (13,912 ) |
Class C | (449 ) |
Administrator Class | (2,963 ) |
Net expenses | 735,414 |
Net investment income | 5,463,708 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on | |
Unaffiliated securities | 5,550 |
Futures contracts | 187,584 |
Net realized gains on investments | 193,134 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 3,494,024 |
Futures contracts | 340,408 |
Net change in unrealized gains (losses) on investments | 3,834,432 |
Net realized and unrealized gains (losses) on investments | 4,027,566 |
Net increase in net assets resulting from operations | $9,491,274 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $5,463,708 | $9,780,707 | ||
Net realized gains on investments | 193,134 | 2,495,445 | ||
Net change in unrealized gains (losses) on investments | 3,834,432 | (2,320,527 ) | ||
Net increase in net assets resulting from operations | 9,491,274 | 9,955,625 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (1,895,316 ) | (3,321,383 ) | ||
Class C | (55,200 ) | (103,512 ) | ||
Administrator Class | (131,254 ) | (233,998 ) | ||
Institutional Class | (6,063,256 ) | (12,473,766 ) | ||
Total distributions to shareholders | (8,145,026 ) | (16,132,659 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 204,848 | 1,784,658 | 389,869 | 3,389,206 |
Class C | 3,724 | 32,403 | 127,961 | 1,119,816 |
Administrator Class | 2,255 | 19,557 | 27,630 | 243,694 |
Institutional Class | 1,772,385 | 15,443,965 | 5,820,602 | 51,054,703 |
17,280,583 | 55,807,419 | |||
Reinvestment of distributions | ||||
Class A | 188,942 | 1,644,150 | 332,081 | 2,877,025 |
Class C | 6,185 | 53,691 | 11,717 | 101,218 |
Administrator Class | 14,843 | 129,224 | 26,577 | 230,333 |
Institutional Class | 662,894 | 5,769,070 | 1,293,692 | 11,210,473 |
7,596,135 | 14,419,049 | |||
Payment for shares redeemed | ||||
Class A | (977,964 ) | (8,521,862 ) | (2,139,575 ) | (18,612,509 ) |
Class C | (117,780 ) | (1,022,040 ) | (210,246 ) | (1,830,767 ) |
Administrator Class | (11,965 ) | (104,416 ) | (264,335 ) | (2,306,022 ) |
Institutional Class | (4,419,974 ) | (38,524,694 ) | (23,140,378 ) | (201,979,605 ) |
(48,173,012 ) | (224,728,903 ) | |||
Net decrease in net assets resulting from capital share transactions | (23,296,294 ) | (154,502,435 ) | ||
Total decrease in net assets | (21,950,046 ) | (160,679,469 ) | ||
Net assets | ||||
Beginning of period | 284,623,646 | 445,303,115 | ||
End of period | $262,673,600 | $284,623,646 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.16 1 | 0.23 1 | 0.02 | 0.04 | 0.17 | 0.18 1 |
Net realized and unrealized gains (losses) on investments | 0.15 | 0.02 | (0.09 ) | 0.05 | (0.06 ) | 0.05 |
Total from investment operations | 0.31 | 0.25 | (0.07 ) | 0.09 | 0.11 | 0.23 |
Distributions to shareholders from | ||||||
Net investment income | (0.17 ) | (0.24 ) | (0.03 ) | (0.05 ) | (0.17 ) | (0.18 ) |
Net realized gains | (0.09 ) | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.26 ) | (0.38 ) | (0.07 ) | (0.05 ) | (0.17 ) | (0.18 ) |
Net asset value, end of period | $8.74 | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 |
Total return3 | 3.51 % | 2.95 % | (0.81 )% | 0.99 % | 1.25 % | 2.64 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.87 % | 0.87 % | 0.82 % | 0.82 % | 0.88 % | 0.88 % |
Net expenses | 0.74 % | 0.74 % | 0.74 % | 0.74 % | 0.74 % | 0.74 % |
Net investment income | 3.79 % | 2.68 % | 0.30 % | 0.49 % | 1.92 % | 2.04 % |
Supplemental data | ||||||
Portfolio turnover rate | 1 % | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $63,966 | $68,736 | $82,283 | $97,274 | $111,538 | $118,675 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.68 | $8.81 | $8.95 | $8.91 | $8.97 | $8.93 |
Net investment income (loss) | 0.13 1 | 0.16 1 | 0.00 1,2 | (0.00 )1,3 | 0.10 1 | 0.10 1 |
Net realized and unrealized gains (losses) on investments | 0.13 | 0.02 | (0.10 ) | 0.04 | (0.06 ) | 0.06 |
Total from investment operations | 0.26 | 0.18 | (0.10 ) | 0.04 | 0.04 | 0.16 |
Distributions to shareholders from | ||||||
Net investment income | (0.13 ) | (0.17 ) | (0.00 )2 | (0.00 )2 | (0.10 ) | (0.12 ) |
Net realized gains | (0.09 ) | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.22 ) | (0.31 ) | (0.04 ) | (0.00 )2 | (0.10 ) | (0.12 ) |
Net asset value, end of period | $8.72 | $8.68 | $8.81 | $8.95 | $8.91 | $8.97 |
Total return4 | 3.01 % | 2.19 % | (1.08 )% | 0.48 % | 0.50 % | 1.76 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.62 % | 1.61 % | 1.57 % | 1.57 % | 1.63 % | 1.62 % |
Net expenses | 1.49 % | 1.49 % | 1.02 %* | 1.27 %* | 1.49 % | 1.49 % |
Net investment income (loss) | 3.03 % | 1.90 % | 0.04 % | (0.02 )% | 1.17 % | 1.13 % |
Supplemental data | ||||||
Portfolio turnover rate | 1 % | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $1,517 | $2,445 | $3,104 | $3,304 | $4,702 | $6,594 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Year ended August 31, 2022 | 0.47% |
Year ended August 31, 2021 | 0.22% |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Amount is more than $(0.005). |
4 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.70 | $8.83 | $8.97 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.17 1 | 0.24 1 | 0.04 1 | 0.06 1 | 0.18 1 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | 0.13 | 0.02 | (0.10 ) | 0.05 | (0.06 ) | 0.06 |
Total from investment operations | 0.30 | 0.26 | (0.06 ) | 0.11 | 0.12 | 0.25 |
Distributions to shareholders from | ||||||
Net investment income | (0.17 ) | (0.25 ) | (0.04 ) | (0.06 ) | (0.18 ) | (0.20 ) |
Net realized gains | (0.09 ) | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.26 ) | (0.39 ) | (0.08 ) | (0.06 ) | (0.18 ) | (0.20 ) |
Net asset value, end of period | $8.74 | $8.70 | $8.83 | $8.97 | $8.92 | $8.98 |
Total return3 | 3.46 % | 3.10 % | (0.67 )% | 1.24 % | 1.40 % | 2.78 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.82 % | 0.80 % | 0.76 % | 0.76 % | 0.81 % | 0.81 % |
Net expenses | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % |
Net investment income | 3.94 % | 2.76 % | 0.43 % | 0.64 % | 1.98 % | 2.12 % |
Supplemental data | ||||||
Portfolio turnover rate | 1 % | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $4,511 | $4,444 | $6,367 | $8,299 | $8,076 | $5,337 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.18 1 | 0.25 1 | 0.05 1 | 0.07 1 | 0.19 1 | 0.22 |
Net realized and unrealized gains (losses) on investments | 0.14 | 0.02 | (0.10 ) | 0.04 | (0.06 ) | 0.04 |
Total from investment operations | 0.32 | 0.27 | (0.05 ) | 0.11 | 0.13 | 0.26 |
Distributions to shareholders from | ||||||
Net investment income | (0.18 ) | (0.26 ) | (0.05 ) | (0.07 ) | (0.19 ) | (0.21 ) |
Net realized gains | (0.09 ) | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.27 ) | (0.40 ) | (0.09 ) | (0.07 ) | (0.19 ) | (0.21 ) |
Net asset value, end of period | $8.74 | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 |
Total return3 | 3.65 % | 3.24 % | (0.53 )% | 1.27 % | 1.54 % | 2.93 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.55 % | 0.53 % | 0.49 % | 0.49 % | 0.54 % | 0.54 % |
Net expenses | 0.46 % | 0.46 % | 0.46 % | 0.46 % | 0.46 % | 0.46 % |
Net investment income | 4.07 % | 2.88 % | 0.59 % | 0.74 % | 2.12 % | 2.27 % |
Supplemental data | ||||||
Portfolio turnover rate | 1 % | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $192,680 | $208,999 | $353,549 | $444,150 | $288,045 | $158,147 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $911,562 |
Gross unrealized losses | (8,392,035 ) |
Net unrealized losses | $(7,480,473 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $231,452,536 | $0 | $231,452,536 |
Asset-backed securities | 0 | 5,808,428 | 0 | 5,808,428 |
Corporate bonds and notes | 0 | 1,747,970 | 0 | 1,747,970 |
Non-agency mortgage-backed securities | 0 | 14,945,988 | 0 | 14,945,988 |
Short-term investments | ||||
Investment companies | 5,604,942 | 0 | 0 | 5,604,942 |
Total assets | $5,604,942 | $253,954,922 | $0 | $259,559,864 |
Liabilities | ||||
Futures contracts | $57,592 | $0 | $0 | $57,592 |
Total liabilities | $57,592 | $0 | $0 | $57,592 |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.74 % |
Class C | 1.49 |
Administrator Class | 0.60 |
Institutional Class | 0.46 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g800272imga5e0f6251.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g800272img937a906a5.gif)
SAR0356 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804185img9c8474e52.jpg)
Allspring Funds
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804185img813573ad3.jpg)
President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (STYAX) | 7-13-1998 | -0.95 | 0.57 | 1.89 | 3.75 | 1.50 | 2.35 | 0.84 | 0.68 |
Class C (WFIPX) | 7-13-1998 | 2.07 | 0.74 | 1.73 | 3.07 | 0.74 | 1.73 | 1.59 | 1.43 |
Class R6 (STYJX)3 | 10-31-2016 | – | – | – | 4.13 | 1.87 | 2.71 | 0.47 | 0.31 |
Administrator Class (WIPDX) | 7-30-2010 | – | – | – | 3.88 | 1.60 | 2.46 | 0.79 | 0.61 |
Institutional Class (WIPIX) | 7-18-2008 | – | – | – | 4.17 | 1.84 | 2.67 | 0.52 | 0.36 |
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.67% for Class A, 1.42% for Class C, 0.30% for Class R6, 0.60% for Administrator Class and 0.35% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
U.S. Treasury Notes, 4.25%, 1-31-2026 | 2.83 |
GNMA, 6.00%, 3-20-2054 | 2.38 |
FHLMC, 2.50%, 6-1-2051 | 1.60 |
FHLMC, 5.50%, 3-1-2053 | 1.31 |
U.S. Treasury Notes, 4.88%, 11-30-2025 | 1.22 |
U.S. Treasury Notes, 4.00%, 1-31-2029 | 1.04 |
U.S. Treasury Bonds, 4.38%, 8-15-2043 | 1.04 |
U.S. Treasury Notes, 3.75%, 12-31-2028 | 0.95 |
U.S. Treasury Bonds, 3.13%, 5-15-2048 | 0.91 |
FNMA, 3.50%, 6-1-2052 | 0.90 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804185img9febdd5c4.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,028.05 | $3.38 | 0.67 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.53 | $3.37 | 0.67 % |
Class C | ||||
Actual | $1,000.00 | $1,025.21 | $7.15 | 1.42 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.80 | $7.12 | 1.42 % |
Class R6 | ||||
Actual | $1,000.00 | $1,030.81 | $1.51 | 0.30 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.37 | $1.51 | 0.30 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,029.11 | $3.03 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.88 | $3.02 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,030.57 | $1.77 | 0.35 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.12 | $1.76 | 0.35 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 29.86% | ||||||
FHLMC | 2.00 % | 10-1-2051 | $ | 44,308,964 | $34,975,428 | |
FHLMC | 2.00 | 1-1-2052 | 11,494,499 | 9,064,008 | ||
FHLMC | 2.50 | 8-1-2037 | 5,458,866 | 4,952,255 | ||
FHLMC | 2.50 | 9-1-2050 | 9,976,614 | 8,213,579 | ||
FHLMC | 2.50 | 6-1-2051 | 111,942,844 | 92,166,730 | ||
FHLMC | 2.50 | 11-1-2051 | 10,128,532 | 8,423,122 | ||
FHLMC | 2.50 | 12-1-2050 | 27,822,289 | 22,870,650 | ||
FHLMC | 3.00 | 9-1-2034 | 292,209 | 272,541 | ||
FHLMC | 3.00 | 6-1-2050 | 503,525 | 439,243 | ||
FHLMC | 3.00 | 7-1-2050 | 1,569,391 | 1,369,044 | ||
FHLMC | 3.00 | 8-1-2050 | 2,148,589 | 1,862,897 | ||
FHLMC | 3.00 | 11-1-2050 | 27,320,964 | 23,492,233 | ||
FHLMC | 3.00 | 3-1-2052 | 257,238 | 221,862 | ||
FHLMC | 3.00 | 5-1-2052 | 20,433,830 | 17,498,695 | ||
FHLMC | 3.00 | 6-1-2053 | 17,505,878 | 15,007,114 | ||
FHLMC | 3.50 | 12-1-2045 | 933,836 | 847,390 | ||
FHLMC | 3.50 | 5-1-2052 | 101,705 | 90,767 | ||
FHLMC | 3.50 | 12-1-2052 | 8,310,075 | 7,396,068 | ||
FHLMC | 4.00 | 6-1-2037 | 2,818,911 | 2,714,780 | ||
FHLMC | 4.00 | 4-1-2038 | 5,305,506 | 5,109,124 | ||
FHLMC | 4.00 | 6-1-2044 | 576,728 | 542,034 | ||
FHLMC | 4.00 | 5-1-2049 | 953,481 | 885,660 | ||
FHLMC | 4.00 | 8-1-2052 | 7,891,694 | 7,264,820 | ||
FHLMC | 4.50 | 6-1-2053 | 15,846,768 | 15,003,933 | ||
FHLMC | 5.00 | 6-1-2036 | 76,008 | 75,532 | ||
FHLMC | 5.00 | 8-1-2040 | 80,713 | 80,164 | ||
FHLMC | 5.00 | 7-1-2052 | 21,374,748 | 20,741,802 | ||
FHLMC | 5.00 | 11-1-2052 | 18,058,597 | 17,529,154 | ||
FHLMC | 5.00 | 5-1-2053 | 13,855,232 | 13,443,560 | ||
FHLMC | 5.50 | 8-1-2038 | 20,058 | 20,394 | ||
FHLMC | 5.50 | 12-1-2038 | 157,114 | 159,751 | ||
FHLMC | 5.50 | 6-1-2040 | 266,418 | 269,520 | ||
FHLMC | 5.50 | 11-1-2052 | 112,308 | 111,507 | ||
FHLMC | 5.50 | 3-1-2053 | 75,970,826 | 75,295,378 | ||
FHLMC | 8.00 | 2-1-2030 | 62 | 64 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A5 | 7.50 | 2-25-2042 | 843,474 | 847,831 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.98 | 7-25-2043 | 25,676 | 23,739 | ||
FHLMC Structured Pass-Through Certificates Series T-59 Class 2A1±± | 3.88 | 10-25-2043 | 115,225 | 92,274 | ||
FHLMC Whole Loan Securities Trust Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 115,272 | 100,476 | ||
FHLMC (RFUCCT1Y+1.33%)± | 5.62 | 1-1-2036 | 4,122 | 4,109 | ||
FNMA | 2.00 | 5-1-2051 | 29,422,811 | 23,172,708 | ||
FNMA | 2.00 | 8-1-2051 | 11,508,248 | 9,074,610 | ||
FNMA | 2.00 | 10-1-2051 | 61,464,224 | 48,495,922 | ||
FNMA | 2.00 | 12-1-2051 | 10,337,476 | 8,147,107 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA | 2.00 % | 1-1-2052 | $ | 53,358,500 | $42,063,519 | |
FNMA | 2.00 | 2-1-2052 | 34,656,996 | 27,344,179 | ||
FNMA%% | 2.00 | 3-13-2054 | 14,145,000 | 11,113,214 | ||
FNMA | 2.50 | 5-1-2037 | 20,688,654 | 18,752,605 | ||
FNMA | 2.50 | 12-1-2050 | 19,413,042 | 16,019,827 | ||
FNMA | 2.50 | 7-1-2051 | 15,865,965 | 13,045,325 | ||
FNMA | 2.50 | 10-1-2051 | 57,495,987 | 47,273,809 | ||
FNMA | 2.50 | 12-1-2051 | 6,345,290 | 5,224,205 | ||
FNMA | 2.50 | 1-1-2052 | 10,604,931 | 8,750,003 | ||
FNMA%% | 2.50 | 3-13-2054 | 19,700,000 | 16,183,743 | ||
FNMA | 3.00 | 11-1-2045 | 507,981 | 446,328 | ||
FNMA | 3.00 | 12-1-2045 | 1,314,875 | 1,157,334 | ||
FNMA | 3.00 | 12-1-2046 | 681,546 | 593,272 | ||
FNMA | 3.00 | 8-1-2050 | 1,830,638 | 1,580,908 | ||
FNMA | 3.00 | 10-1-2051 | 23,630,833 | 20,377,818 | ||
FNMA | 3.00 | 11-1-2051 | 37,059,403 | 31,869,571 | ||
FNMA | 3.00 | 1-1-2052 | 8,303,889 | 7,110,508 | ||
FNMA | 3.00 | 2-1-2052 | 7,873,014 | 6,791,513 | ||
FNMA | 3.48 | 3-1-2029 | 921,992 | 871,289 | ||
FNMA | 3.50 | 12-1-2037 | 16,494,201 | 15,602,099 | ||
FNMA | 3.50 | 10-1-2043 | 471,181 | 428,995 | ||
FNMA | 3.50 | 4-1-2045 | 75,389 | 68,458 | ||
FNMA | 3.50 | 8-1-2045 | 1,130,825 | 1,025,112 | ||
FNMA | 3.50 | 3-1-2048 | 2,375,260 | 2,152,388 | ||
FNMA | 3.50 | 5-1-2052 | 10,706,349 | 9,533,780 | ||
FNMA | 3.50 | 6-1-2052 | 57,790,216 | 51,436,251 | ||
FNMA%% | 3.50 | 4-11-2054 | 15,235,000 | 13,561,995 | ||
FNMA | 3.50 | 2-1-2053 | 16,840,466 | 14,986,939 | ||
FNMA | 3.62 | 3-1-2029 | 431,205 | 409,909 | ||
FNMA | 3.77 | 3-1-2029 | 1,006,201 | 963,275 | ||
FNMA | 4.00 | 8-1-2037 | 5,989,388 | 5,767,837 | ||
FNMA | 4.00 | 9-1-2037 | 5,154,056 | 4,976,366 | ||
FNMA | 4.00 | 1-1-2038 | 5,283,218 | 5,091,157 | ||
FNMA%% | 4.00 | 3-18-2039 | 11,745,000 | 11,311,371 | ||
FNMA | 4.00 | 2-1-2046 | 130,660 | 122,994 | ||
FNMA | 4.00 | 4-1-2046 | 740,489 | 697,121 | ||
FNMA | 4.00 | 6-1-2048 | 804,373 | 750,760 | ||
FNMA | 4.00 | 2-1-2050 | 1,075,245 | 998,591 | ||
FNMA | 4.00 | 10-1-2052 | 51,730,103 | 47,615,921 | ||
FNMA | 4.00 | 6-1-2052 | 5,669,209 | 5,219,154 | ||
FNMA | 4.50 | 11-1-2048 | 756,506 | 726,956 | ||
FNMA | 4.50 | 6-1-2052 | 41,715,774 | 39,499,001 | ||
FNMA | 4.50 | 9-1-2052 | 47,821,356 | 45,298,681 | ||
FNMA | 4.50 | 11-1-2052 | 7,833,619 | 7,417,346 | ||
FNMA | 4.50 | 4-1-2053 | 9,404,147 | 8,908,088 | ||
FNMA%% | 4.50 | 3-13-2054 | 10,285,000 | 9,735,036 | ||
FNMA | 4.50 | 7-1-2052 | 273,847 | 259,295 | ||
FNMA | 5.00 | 2-1-2036 | 8,929 | 8,860 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA | 5.00 % | 6-1-2040 | $ | 25,307 | $25,111 | |
FNMA | 5.00 | 8-1-2040 | 550,304 | 542,279 | ||
FNMA | 5.00 | 3-1-2053 | 7,795,964 | 7,580,743 | ||
FNMA | 5.50 | 8-1-2034 | 33,503 | 34,016 | ||
FNMA | 5.50 | 2-1-2035 | 9,781 | 9,931 | ||
FNMA | 5.50 | 8-1-2038 | 218,004 | 220,540 | ||
FNMA | 5.50 | 2-1-2053 | 43,945,869 | 43,564,393 | ||
FNMA | 5.50 | 6-1-2053 | 13,421,225 | 13,286,333 | ||
FNMA%% | 5.50 | 3-13-2054 | 22,060,000 | 21,821,152 | ||
FNMA | 6.00 | 10-1-2037 | 209,100 | 215,670 | ||
FNMA | 6.00 | 11-1-2037 | 10,642 | 10,976 | ||
FNMA | 6.50 | 7-1-2036 | 9,926 | 10,335 | ||
FNMA | 6.50 | 11-1-2036 | 1,716 | 1,766 | ||
FNMA | 7.00 | 7-1-2036 | 4,751 | 4,878 | ||
FNMA | 7.00 | 11-1-2037 | 2,668 | 2,695 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 6.01 | 11-1-2038 | 9,922 | 10,206 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 5.98 | 8-1-2036 | 204,912 | 210,404 | ||
FNMA (RFUCCT1Y+1.61%)± | 7.11 | 5-1-2046 | 139,608 | 142,990 | ||
FNMA (RFUCCT1Y+1.61%)± | 7.17 | 3-1-2046 | 205,184 | 209,852 | ||
FNMA (RFUCCT1Y+1.73%)± | 5.98 | 9-1-2036 | 5,546 | 5,556 | ||
FNMA (RFUCCT1Y+1.78%)± | 6.03 | 8-1-2036 | 16,141 | 16,601 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 3,413 | 3,532 | ||
FNMA Series 2003-W14 Class 2A±± | 4.57 | 1-25-2043 | 99,423 | 94,651 | ||
FNMA Series 2003-W8 Class 4A±± | 4.47 | 11-25-2042 | 59,860 | 57,460 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 605,942 | 601,396 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 201,848 | 208,467 | ||
FNMA Series 2005-W4 Class 3A±± | 4.22 | 6-25-2045 | 27,211 | 26,326 | ||
GNMA | 2.00 | 3-20-2052 | 34,057,283 | 27,725,534 | ||
GNMA | 2.50 | 12-20-2051 | 12,749,601 | 10,795,544 | ||
GNMA | 2.50 | 3-20-2052 | 15,175,948 | 12,845,933 | ||
GNMA | 2.50 | 4-20-2052 | 20,621,382 | 17,455,297 | ||
GNMA | 2.50 | 8-20-2051 | 43,743,689 | 37,039,711 | ||
GNMA | 2.50 | 9-20-2051 | 19,026,603 | 16,110,603 | ||
GNMA | 3.00 | 11-20-2045 | 1,048,624 | 935,278 | ||
GNMA | 3.00 | 4-20-2051 | 4,804,611 | 4,225,817 | ||
GNMA%% | 3.00 | 3-20-2054 | 5,955,000 | 5,220,291 | ||
GNMA | 3.00 | 4-20-2052 | 11,308,204 | 9,915,130 | ||
GNMA | 3.00 | 5-20-2052 | 55,614,108 | 48,762,927 | ||
GNMA | 3.50 | 9-20-2047 | 588,172 | 538,500 | ||
GNMA | 3.50 | 12-20-2047 | 1,266,916 | 1,159,626 | ||
GNMA | 3.50 | 8-20-2052 | 13,469,202 | 12,183,349 | ||
GNMA | 3.50 | 5-20-2052 | 5,556,803 | 5,026,329 | ||
GNMA | 3.50 | 9-20-2052 | 20,580,749 | 18,615,947 | ||
GNMA | 4.00 | 12-20-2047 | 688,801 | 649,403 | ||
GNMA | 4.00 | 11-20-2052 | 13,420,134 | 12,490,746 | ||
GNMA | 4.50 | 8-20-2049 | 231,079 | 222,401 | ||
GNMA | 4.50 | 7-20-2052 | 11,329,217 | 10,832,154 | ||
GNMA | 4.50 | 9-20-2052 | 7,429,462 | 7,100,435 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
GNMA | 4.50 % | 3-20-2053 | $ | 18,414,321 | $17,594,382 | |
GNMA | 5.00 | 7-20-2040 | 185,746 | 186,162 | ||
GNMA | 5.00 | 9-20-2052 | 8,972,772 | 8,772,737 | ||
GNMA | 5.00 | 6-20-2053 | 16,031,989 | 15,662,088 | ||
GNMA%% | 5.00 | 3-20-2054 | 8,500,000 | 8,301,982 | ||
GNMA | 5.00 | 4-20-2053 | 5,341,137 | 5,218,334 | ||
GNMA | 5.50 | 12-20-2052 | 15,789,852 | 15,703,872 | ||
GNMA | 5.50 | 4-20-2053 | 17,827,266 | 17,714,929 | ||
GNMA%% | 5.50 | 3-20-2054 | 23,830,000 | 23,670,823 | ||
GNMA%% | 6.00 | 3-20-2054 | 136,065,000 | 136,728,458 | ||
GNMA%% | 6.50 | 3-20-2054 | 15,865,000 | 16,080,165 | ||
GNMA | 7.50 | 12-15-2029 | 220 | 221 | ||
GNMA Series 2008-22 Class XMƒ±± | 1.30 | 2-16-2050 | 279,273 | 3,522 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 19,410,000 | 14,603,246 | ||
TVA Principal STRIPS¤ | 0.00 | 4-1-2056 | 37,270,000 | 6,906,904 | ||
Total agency securities (Cost $1,764,192,640) | 1,715,429,324 | |||||
Asset-backed securities: 9.68% | ||||||
ACHM Trust Series 2023-HE2 Class A144A±± | 7.50 | 10-25-2038 | 22,926,215 | 23,398,066 | ||
ACM Auto Trust Series 2023-1A Class A144A | 6.61 | 1-22-2030 | 239,289 | 239,425 | ||
Aligned Data Centers Issuer LLC Series 2021-1A Class A2144A | 1.94 | 8-15-2046 | 10,966,000 | 9,910,414 | ||
Apidos CLO XXXI Series 2019-31A Class DR (U.S. SOFR 3 Month+3.36%)144A± | 8.68 | 4-15-2031 | 3,000,000 | 2,982,996 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class B144A | 2.68 | 8-20-2026 | 8,700,000 | 8,323,206 | ||
Bain Capital Credit CLO Ltd. Series 2020-2A Class BR (U.S. SOFR 3 Month+1.96%)144A± | 7.27 | 7-19-2034 | 1,425,000 | 1,424,254 | ||
Bastion Funding I LLC Series 2023-1A Class A2144A‡ | 7.12 | 4-25-2038 | 10,686,034 | 10,740,639 | ||
BDS Ltd. Series 2021-FL9 Class B (U.S. SOFR 1 Month+1.81%)144A± | 7.13 | 11-16-2038 | 5,475,000 | 5,282,170 | ||
BHG Securitization Trust Series 2021-A Class B144A | 2.79 | 11-17-2033 | 6,515,000 | 5,896,632 | ||
Blue Bridge Funding LLC Series 2023-1A Class A144A | 7.37 | 11-15-2030 | 3,239,590 | 3,243,600 | ||
Blue Bridge Funding LLC Series 2023-1A Class B144A | 9.48 | 11-15-2030 | 1,168,000 | 1,167,956 | ||
Blue Stream Issuer LLC Series 2023-1A Class A2144A | 5.40 | 5-20-2053 | 3,500,000 | 3,361,485 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 18,878,737 | 17,790,967 | ||
BRSP Ltd. Series 2021-FL1 Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.58 | 8-19-2038 | 4,770,987 | 4,699,183 | ||
Cajun Global LLC Series 2021-1 Class A2144A | 3.93 | 11-20-2051 | 3,880,000 | 3,506,321 | ||
Carlyle Global Market Strategies CLO Ltd. Series 2016-1A Class CR2 (U.S. SOFR 3 Month+3.61%)144A± | 8.93 | 4-20-2034 | 1,500,000 | 1,493,088 | ||
CFMT LLC Series 2021-HB7 Class M2144A±± | 2.68 | 10-27-2031 | 5,750,000 | 5,419,584 | ||
Cologix Data Centers U.S. Issuer LLC Series 2021-1A Class B144A | 3.79 | 12-26-2051 | 1,400,000 | 1,258,132 | ||
CoreVest American Finance Trust Series 2021-3 Class B144A | 2.49 | 10-15-2054 | 355,000 | 324,239 | ||
CPS Auto Receivables Trust Series 2021-A Class D144A | 1.16 | 12-15-2026 | 787,879 | 771,698 | ||
DataBank Issuer LLC Series 2024-1A Class A2144A | 5.30 | 1-26-2054 | 11,350,000 | 10,629,331 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 % | 10-25-2045 | $ | 12,057,500 | $11,804,309 | |
Driven Brands Funding, LLC Series 2021-1A Class A2144A | 2.79 | 10-20-2051 | 2,834,750 | 2,458,871 | ||
Dryden 72 CLO Ltd. Series 2019-72A Class CR (U.S. SOFR 3 Month+2.11%)144A± | 7.42 | 5-15-2032 | 3,550,000 | 3,492,294 | ||
Dryden XXVIII Senior Loan Fund Series 2013-28A Class A2LR (U.S. SOFR 3 Month+1.91%)144A± | 7.22 | 8-15-2030 | 4,000,000 | 4,001,974 | ||
DT Auto Owner Trust Series 2021-1A Class C144A | 0.84 | 10-15-2026 | 1,473,082 | 1,461,543 | ||
ECMC Group Student Loan Trust Series 2020-3A Class A1B (30 Day Average U.S. SOFR+1.11%)144A± | 6.44 | 1-27-2070 | 2,598,899 | 2,584,436 | ||
Edsouth Indenture No. 9 LLC Series 2015-1 Class A (30 Day Average U.S. SOFR+0.91%)144A± | 6.24 | 10-25-2056 | 390,416 | 386,986 | ||
Enterprise Fleet Financing LLC Series 2023-2 Class A3144A | 5.50 | 4-22-2030 | 7,185,000 | 7,224,890 | ||
FIGRE Trust Series 2023-HE1 Class A144A | 5.85 | 3-25-2053 | 13,087,423 | 13,138,183 | ||
FIGRE Trust Series 2023-HE2 Class A144A±± | 6.51 | 5-25-2053 | 9,089,536 | 9,228,428 | ||
FIGRE Trust Series 2023-HE3 Class A144A±± | 6.44 | 1-25-2042 | 4,876,842 | 4,965,601 | ||
FirstKey Homes Trust Series 2021-SFR1 Class A144A | 1.54 | 8-17-2038 | 1,358,077 | 1,239,329 | ||
FirstKey Homes Trust Series 2021-SFR1 Class C144A | 1.89 | 8-17-2038 | 6,770,000 | 6,134,539 | ||
FirstKey Homes Trust Series 2021-SFR2 Class B144A | 1.61 | 9-17-2038 | 8,675,000 | 7,848,507 | ||
Five Guys Holdings, Inc. Series 2023-1A Class A2144A | 7.55 | 1-26-2054 | 5,365,000 | 5,562,949 | ||
Flagship Credit Auto Trust Series 2022-2 Class B144A | 4.76 | 5-17-2027 | 5,999,000 | 5,926,555 | ||
Flexential Issuer Series 2021-1A Class A2144A | 3.25 | 11-27-2051 | 5,490,000 | 4,963,188 | ||
FREED Mortgage Trust Series 2022-HE1 Class A144A | 7.00 | 10-25-2037 | 9,490,419 | 9,538,880 | ||
FREED Mortgage Trust Series 2022-HE1 Class B144A | 7.00 | 10-25-2037 | 6,890,597 | 6,791,973 | ||
FS Rialto Issuer LLC Series 2021-FL3 Class B (U.S. SOFR 1 Month+1.91%)144A± | 7.24 | 11-16-2036 | 3,000,000 | 2,919,918 | ||
GLS Auto Receivables Issuer Trust Series 2021-4A Class B144A | 1.53 | 4-15-2026 | 616,290 | 612,847 | ||
Golub Capital Partners ABS Funding Series 2024-1A Class A2144A♦%% | 6.89 | 1-25-2034 | 7,525,000 | 7,525,000 | ||
Gracie Point International Funding Series 2023-1A Class B (90 Day Average U.S. SOFR+2.60%)144A± | 7.96 | 9-1-2026 | 7,076,000 | 7,100,225 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class B144A | 1.56 | 12-26-2025 | 10,780,000 | 10,469,724 | ||
Hertz Vehicle Financing LLC Series 2022-1A Class B144A | 2.19 | 6-25-2026 | 2,450,000 | 2,347,149 | ||
Hertz Vehicle Financing LLC Series 2023-2A Class A144A | 5.57 | 9-25-2029 | 3,695,000 | 3,711,684 | ||
Hotwire Funding LLC Series 2023-1A Class A2144A | 5.69 | 5-20-2053 | 16,750,000 | 16,363,130 | ||
ICG U.S. CLO Ltd. Series 2014-1A Class BR2 (U.S. SOFR 3 Month+2.71%)144A± | 8.03 | 10-20-2034 | 4,400,000 | 4,404,766 | ||
Jonah Energy ABS I LLC Series 2022-1 Class A1144A | 7.20 | 12-10-2037 | 9,948,674 | 9,915,475 | ||
Lendmark Funding Trust Series 2021-1A Class A144A | 1.90 | 11-20-2031 | 2,065,000 | 1,884,357 | ||
Mercury Financial Credit Card Master Trust Series 2023-1A Class A144A | 8.04 | 9-20-2027 | 7,000,000 | 7,070,498 | ||
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1 Month+1.35%)144A± | 6.67 | 2-19-2037 | 6,500,000 | 6,426,875 | ||
MF1 Ltd. Series 2022-FL8 Class C (U.S. SOFR 1 Month+2.20%)144A± | 7.52 | 2-19-2037 | 8,750,000 | 8,052,635 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021- FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 | 7-15-2036 | 2,256,203 | 2,244,922 | ||
MNR ABS Issuer I LLC‡ | 8.12 | 12-15-2038 | 9,124,036 | 9,204,328 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
Neighborly Issuer LLC Series 2021-1A Class A2144A | 3.58 % | 4-30-2051 | $ | 7,780,000 | $6,895,225 | |
Oak Street Investment Grade Net Lease Fund Series 2020-1A Class A5144A | 3.39 | 11-20-2050 | 5,393,250 | 4,817,148 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3144A | 2.80 | 1-20-2051 | 4,922,948 | 4,315,442 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 105,838 | 104,464 | ||
Octane Receivables Trust Series 2021-1A Class B144A | 1.53 | 4-20-2027 | 3,000,000 | 2,890,570 | ||
Octane Receivables Trust Series 2022-2A Class A144A | 5.11 | 2-22-2028 | 3,039,750 | 3,024,869 | ||
Octane Receivables Trust Series 2023-1A Class A144A | 5.87 | 5-21-2029 | 2,147,770 | 2,147,877 | ||
Octane Receivables Trust Series 2023-1A Class B144A | 5.96 | 7-20-2029 | 3,045,000 | 3,039,123 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 12,640,000 | 12,504,203 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class B144A | 2.28 | 5-17-2027 | 4,000,000 | 3,960,051 | ||
Oxford Finance Credit Fund III LP Series 2024-A Class A2144A | 6.68 | 1-14-2032 | 9,035,000 | 8,976,321 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A144A | 1.22 | 1-16-2029 | 3,336,899 | 3,250,239 | ||
Pagaya AI Debt Selection Trust Series 2023-1 Class A144A | 7.56 | 7-15-2030 | 4,868,156 | 4,887,426 | ||
Pagaya AI Debt Selection Trust Series 2023-5 Class B144A | 7.63 | 4-15-2031 | 1,799,985 | 1,813,091 | ||
Pagaya AI Debt Selection Trust Series 2023-6 Class B144A | 7.46 | 6-16-2031 | 8,692,771 | 8,763,803 | ||
Parallel Ltd. Series 2021-1A Class D (U.S. SOFR 3 Month+3.71%)144A± | 9.03 | 7-15-2034 | 8,500,000 | 8,159,984 | ||
Pawnee Equipment Receivables LLC Series 2021-1 Class A2144A | 1.10 | 7-15-2027 | 507,016 | 497,470 | ||
Qdoba Funding LLC Series 2023-1A Class A2144A | 8.50 | 9-14-2053 | 6,000,000 | 6,202,537 | ||
RCKT Mortgage Trust Series 2023-CES3 Class A1A144A±± | 7.11 | 11-25-2043 | 16,777,624 | 17,014,665 | ||
Retained Vantage Data Centers Issuer LLC Series 2023-1A Class A2A144A | 5.00 | 9-15-2048 | 7,345,000 | 6,901,808 | ||
Saluda Grade Alternative Mortgage Trust Series 2023-FIG3 Class A144A±± | 7.07 | 8-25-2053 | 4,814,348 | 4,897,708 | ||
Saluda Grade Alternative Mortgage Trust Series 2023-FIG4 Class A144A±± | 6.72 | 11-25-2053 | 5,800,906 | 5,930,091 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class D | 2.22 | 9-15-2026 | 634,119 | 629,481 | ||
Service Experts Issuer LLC Series 2021-1A Class A144A | 2.67 | 2-2-2032 | 4,987,047 | 4,646,505 | ||
Service Experts Issuer LLC Series 2021-1A Class B144A | 3.28 | 2-2-2032 | 6,445,000 | 5,521,274 | ||
ServiceMaster Funding LLC Series 2020-1 Class A2II144A | 3.34 | 1-30-2051 | 2,768,141 | 2,350,185 | ||
Sesac Finance LLC Series 2024-1 Class A2144A | 6.42 | 1-25-2054 | 2,350,000 | 2,351,685 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (90 Day Average U.S. SOFR+0.93%)144A± | 6.28 | 12-17-2068 | 3,529,804 | 3,490,859 | ||
Sound Point CLO Ltd. Series 2013-2RA Class A1 (U.S. SOFR 3 Month+1.21%)144A± | 6.53 | 4-15-2029 | 228,743 | 228,446 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class BR (U.S. SOFR 3 Month+1.81%)144A± | 7.13 | 4-15-2030 | 10,340,000 | 10,345,437 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 2,027,459 | 1,876,243 | ||
Starwood Ltd. Series 2022-FL3 Class A (30 Day Average U.S. SOFR+1.35%)144A± | 6.67 | 11-15-2038 | 1,100,000 | 1,079,602 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
STORE Master Funding LLC Series 2023-1A Class A1144A | 6.19 % | 6-20-2053 | $ | 6,973,750 | $6,925,568 | |
Taco Bell Funding LLC Series 2021-1A Class A23144A | 2.54 | 8-25-2051 | 491,250 | 403,022 | ||
TierPoint Issuer LLC Series 2023-1A Class A2144A | 6.00 | 6-25-2053 | 20,000,000 | 19,321,647 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.04 | 1-25-2046 | 59,953 | 59,918 | ||
Towd Point HE Trust Series 2023-1 Class A1A144A | 6.88 | 2-25-2063 | 9,956,206 | 10,021,506 | ||
Towd Point Mortgage Trust Series 2024-CES1 Class A2144A±± | 6.44 | 1-25-2064 | 2,769,000 | 2,779,522 | ||
TRTX Issuer Ltd. Series 2022-FL5 Class A (30 Day Average U.S. SOFR+1.65%)144A± | 6.97 | 2-15-2039 | 1,260,000 | 1,244,250 | ||
Vantage Data Centers Issuer LLC Series 2020-1A Class A2144A | 1.65 | 9-15-2045 | 7,340,000 | 6,848,724 | ||
Venture CLO Ltd. Series 2017-30A Class B (U.S. SOFR 3 Month+1.86%)144A± | 7.18 | 1-15-2031 | 250,000 | 249,212 | ||
Wendy’s Funding LLC Series 2021-1A Class A2II144A | 2.78 | 6-15-2051 | 536,250 | 449,163 | ||
Westgate Resorts LLC Series 2022-1A Class C144A | 2.49 | 8-20-2036 | 7,818,619 | 7,440,124 | ||
Wingstop Funding LLC Series 2020-1A Class A2144A | 2.84 | 12-5-2050 | 3,584,415 | 3,239,489 | ||
Zais CLO 6 Ltd. Series 2017-1A Class CR (U.S. SOFR 3 Month+2.91%)144A± | 8.23 | 7-15-2029 | 7,450,000 | 7,453,990 | ||
Zais CLO Ltd. Series 2020-14A Class A1AR (U.S. SOFR 3 Month+1.46%)144A± | 6.78 | 4-15-2032 | 1,218,499 | 1,220,615 | ||
Zaxby’s Funding LLC Series 2021-1A Class A2144A | 3.24 | 7-30-2051 | 4,797,000 | 4,213,921 | ||
Total asset-backed securities (Cost $564,586,205) | 556,254,857 |
Shares | ||||||
Common stocks: 0.01% | ||||||
Consumer discretionary: 0.01% | ||||||
Hotels, restaurants & leisure: 0.01% | ||||||
Royal Caribbean Cruises Ltd.† | 3,642 | 449,241 | ||||
Total common stocks (Cost $527,970) | 449,241 |
Principal | ||||||
Corporate bonds and notes: 20.97% | ||||||
Basic materials: 0.22% | ||||||
Chemicals: 0.14% | ||||||
International Flavors & Fragrances, Inc.144A | 3.47 | 12-1-2050 | $ | 8,330,000 | 5,482,015 | |
Westlake Corp. | 1.63 | 7-17-2029 | 2,750,000 | 2,615,386 | ||
8,097,401 | ||||||
Mining: 0.08% | ||||||
Glencore Funding LLC144A | 3.38 | 9-23-2051 | 6,500,000 | 4,460,413 | ||
Communications: 1.55% | ||||||
Advertising: 0.03% | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 5.00 | 8-15-2027 | 1,900,000 | 1,827,857 |
Interest rate | Maturity date | Principal | Value | |||
Internet: 0.30% | ||||||
Booking Holdings, Inc. | 4.75 % | 11-15-2034 | $ | 6,000,000 | $7,009,248 | |
MercadoLibre, Inc. | 3.13 | 1-14-2031 | 12,050,000 | 10,089,634 | ||
17,098,882 | ||||||
Media: 0.77% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.25 | 1-15-2034 | 10,950,000 | 8,186,854 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.85 | 4-1-2061 | 9,860,000 | 5,727,063 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90 | 6-1-2052 | 5,910,000 | 3,715,610 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40 | 12-1-2061 | 6,000,000 | 3,857,042 | ||
CSC Holdings LLC144A | 11.25 | 5-15-2028 | 6,000,000 | 6,190,620 | ||
Sirius XM Radio, Inc.144A | 5.50 | 7-1-2029 | 10,920,000 | 10,326,553 | ||
Time Warner Cable LLC | 5.50 | 9-1-2041 | 7,605,000 | 6,269,476 | ||
44,273,218 | ||||||
Telecommunications: 0.45% | ||||||
AT&T, Inc. | 3.55 | 9-15-2055 | 10,330,000 | 7,037,088 | ||
AT&T, Inc. | 5.40 | 2-15-2034 | 8,000,000 | 8,010,567 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 1,228,125 | 1,219,833 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 5.15 | 3-20-2028 | 9,265,000 | 9,236,889 | ||
25,504,377 | ||||||
Consumer, cyclical: 2.96% | ||||||
Airlines: 0.35% | ||||||
American Airlines Pass-Through Trust Series 2017-2 Class B | 3.70 | 10-15-2025 | 3,897,581 | 3,751,126 | ||
British Airways Pass-Through Trust Series 2020-1 Class A144A | 4.25 | 11-15-2032 | 4,958,780 | 4,608,122 | ||
Delta Air Lines Pass-Through Trust Series 2020-1 Class AA | 2.00 | 6-10-2028 | 2,945,437 | 2,622,011 | ||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.144A | 6.50 | 6-20-2027 | 6,387,500 | 6,389,058 | ||
United Airlines Pass-Through Trust Series 2023-1 Class A | 5.80 | 1-15-2036 | 2,900,000 | 2,939,753 | ||
20,310,070 | ||||||
Apparel: 0.55% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 9,164,000 | 8,992,175 | ||
Tapestry, Inc. | 7.85 | 11-27-2033 | 13,179,000 | 14,256,330 | ||
VF Corp. | 2.95 | 4-23-2030 | 10,000,000 | 8,242,642 | ||
31,491,147 | ||||||
Auto manufacturers: 1.19% | ||||||
Daimler Truck Finance North America LLC144A | 5.13 | 1-19-2028 | 22,555,000 | 22,531,346 | ||
Ford Motor Co. | 3.25 | 2-12-2032 | 11,585,000 | 9,500,360 | ||
Ford Motor Credit Co. LLC | 4.00 | 11-13-2030 | 8,000,000 | 7,073,222 | ||
General Motors Financial Co., Inc. | 5.85 | 4-6-2030 | 7,520,000 | 7,619,302 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers(continued) | ||||||
Hyundai Capital America144A | 1.30 % | 1-8-2026 | $ | 4,205,000 | $3,897,268 | |
Hyundai Capital America144A | 5.30 | 1-8-2029 | 7,705,000 | 7,686,834 | ||
Hyundai Capital America144A | 5.65 | 6-26-2026 | 2,085,000 | 2,091,452 | ||
Nissan Motor Acceptance Co. LLC144A | 2.45 | 9-15-2028 | 9,000,000 | 7,699,322 | ||
68,099,106 | ||||||
Entertainment: 0.25% | ||||||
Cinemark USA, Inc.144A | 5.25 | 7-15-2028 | 700,000 | 653,870 | ||
Warnermedia Holdings, Inc. | 4.28 | 3-15-2032 | 10,980,000 | 9,686,414 | ||
Warnermedia Holdings, Inc. | 5.14 | 3-15-2052 | 5,135,000 | 4,172,678 | ||
14,512,962 | ||||||
Home builders: 0.16% | ||||||
KB Home | 4.00 | 6-15-2031 | 4,875,000 | 4,232,676 | ||
KB Home | 4.80 | 11-15-2029 | 2,000,000 | 1,875,000 | ||
Taylor Morrison Communities, Inc.144A | 5.13 | 8-1-2030 | 3,360,000 | 3,171,344 | ||
9,279,020 | ||||||
Lodging: 0.06% | ||||||
Genting New York LLC/GENNY Capital, Inc.144A | 3.30 | 2-15-2026 | 3,920,000 | 3,657,151 | ||
Retail: 0.28% | ||||||
Advance Auto Parts, Inc. | 5.90 | 3-9-2026 | 6,100,000 | 6,087,469 | ||
Macy’s Retail Holdings LLC144A | 5.88 | 3-15-2030 | 6,750,000 | 6,328,125 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 4.75 | 2-15-2028 | 4,145,000 | 3,885,129 | ||
16,300,723 | ||||||
Toys/games/hobbies: 0.12% | ||||||
Mattel, Inc.144A | 5.88 | 12-15-2027 | 6,555,000 | 6,559,163 | ||
Consumer, non-cyclical: 2.04% | ||||||
Agriculture: 0.51% | ||||||
Altria Group, Inc. | 1.70 | 6-15-2025 | 2,000,000 | 2,100,642 | ||
BAT Capital Corp. | 4.76 | 9-6-2049 | 3,260,000 | 2,522,065 | ||
Philip Morris International, Inc. | 5.25 | 2-13-2034 | 14,250,000 | 13,922,240 | ||
Philip Morris International, Inc. | 5.50 | 9-7-2030 | 10,000,000 | 10,093,296 | ||
Reynolds American, Inc. | 7.00 | 8-4-2041 | 450,000 | 461,495 | ||
29,099,738 | ||||||
Biotechnology: 0.03% | ||||||
Amgen, Inc. | 5.75 | 3-2-2063 | 1,485,000 | 1,485,138 | ||
Commercial services: 0.77% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 | 6-1-2029 | 1,750,000 | 1,448,965 | ||
Equifax, Inc. | 5.10 | 12-15-2027 | 13,252,000 | 13,208,080 | ||
Global Payments, Inc. | 5.95 | 8-15-2052 | 12,420,000 | 12,202,408 | ||
PECF USS Intermediate Holding III Corp.144A | 8.00 | 11-15-2029 | 3,500,000 | 1,527,492 |
Interest rate | Maturity date | Principal | Value | |||
Commercial services(continued) | ||||||
Sabre Global, Inc.144A | 11.25 % | 12-15-2027 | $ | 10,625,000 | $9,987,500 | |
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 6,200,000 | 5,934,144 | ||
44,308,589 | ||||||
Food: 0.11% | ||||||
Smithfield Foods, Inc.144A | 2.63 | 9-13-2031 | 8,000,000 | 6,116,477 | ||
Healthcare-products: 0.27% | ||||||
Danaher Corp. | 2.50 | 3-30-2030 | 15,000,000 | 15,416,891 | ||
Healthcare-services: 0.19% | ||||||
UnitedHealth Group, Inc. | 5.20 | 4-15-2063 | 9,360,000 | 8,925,858 | ||
UnitedHealth Group, Inc. | 6.05 | 2-15-2063 | 2,125,000 | 2,301,314 | ||
11,227,172 | ||||||
Pharmaceuticals: 0.16% | ||||||
Bristol-Myers Squibb Co. | 5.65 | 2-22-2064 | 9,175,000 | 9,258,969 | ||
Energy: 0.55% | ||||||
Oil & gas: 0.15% | ||||||
Apache Corp. | 5.25 | 2-1-2042 | 8,550,000 | 7,045,200 | ||
Devon Energy Corp. | 5.25 | 10-15-2027 | 1,587,000 | 1,583,539 | ||
8,628,739 | ||||||
Pipelines: 0.40% | ||||||
Energy Transfer LP (5 Year Treasury Constant Maturity+4.02%)± | 8.00 | 5-15-2054 | 6,900,000 | 7,169,100 | ||
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 2,275,000 | 2,293,377 | ||
Rockies Express Pipeline LLC144A | 4.95 | 7-15-2029 | 1,975,000 | 1,846,889 | ||
Rockies Express Pipeline LLC144A | 6.88 | 4-15-2040 | 1,000,000 | 984,687 | ||
Venture Global LNG, Inc.144A | 9.50 | 2-1-2029 | 10,000,000 | 10,662,134 | ||
22,956,187 | ||||||
Financial: 9.98% | ||||||
Banks: 3.51% | ||||||
Bank of America Corp. (U.S. SOFR+1.33%)± | 2.97 | 2-4-2033 | 14,400,000 | 12,094,646 | ||
Bank of America Corp. (U.S. SOFR+1.83%)± | 4.57 | 4-27-2033 | 17,475,000 | 16,428,807 | ||
Bank of America Corp. (U.S. SOFR 3 Month+0.90%)± | 2.02 | 2-13-2026 | 5,000,000 | 4,830,522 | ||
Bank of America Corp. (U.S. SOFR 3 Month+1.84%)± | 3.82 | 1-20-2028 | 6,000,000 | 5,763,290 | ||
Bank of America Corp. Series AA (U.S. SOFR 3 Month+4.16%)ʊ± | 6.10 | 3-17-2025 | 2,590,000 | 2,588,246 | ||
Bank of America Corp. Series N (U.S. SOFR+1.22%)± | 2.65 | 3-11-2032 | 7,655,000 | 6,406,371 | ||
Bank of America Corp. Series RR (5 Year Treasury Constant Maturity+2.76%)ʊ± | 4.38 | 1-27-2027 | 5,500,000 | 5,078,283 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+1.25%)± | 2.38 | 7-21-2032 | 5,535,000 | 4,504,295 | ||
HSBC USA, Inc. | 5.63 | 3-17-2025 | 3,585,000 | 3,589,355 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.02%)± | 2.07 | 6-1-2029 | 7,000,000 | 6,166,950 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.45%)± | 5.30 | 7-24-2029 | 5,000,000 | 5,012,751 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.75%)± | 4.57 | 6-14-2030 | 4,040,000 | 3,914,100 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
JPMorgan Chase & Co. (U.S. SOFR+1.85%)± | 5.35 % | 6-1-2034 | $ | 9,060,000 | $9,019,862 | |
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.70%)± | 1.04 | 2-4-2027 | 3,165,000 | 2,916,701 | ||
JPMorgan Chase & Co. Series KK (5 Year Treasury Constant Maturity+2.85%)ʊ± | 3.65 | 6-1-2026 | 4,000,000 | 3,719,634 | ||
JPMorgan Chase & Co. Series Q (U.S. SOFR 3 Month+3.51%)ʊ± | 8.82 | 5-1-2024 | 6,625,000 | 6,660,113 | ||
Morgan Stanley (U.S. SOFR+1.20%)± | 2.51 | 10-20-2032 | 6,850,000 | 5,608,993 | ||
Morgan Stanley (U.S. SOFR+1.36%)± | 2.48 | 9-16-2036 | 7,120,000 | 5,580,698 | ||
Morgan Stanley (U.S. SOFR+1.59%)± | 5.16 | 4-20-2029 | 8,000,000 | 7,954,245 | ||
Morgan Stanley (U.S. SOFR+1.73%)± | 5.12 | 2-1-2029 | 8,930,000 | 8,871,488 | ||
Morgan Stanley (U.S. SOFR+1.83%)± | 6.41 | 11-1-2029 | 7,365,000 | 7,687,957 | ||
Morgan Stanley (U.S. SOFR+1.88%)± | 5.42 | 7-21-2034 | 1,980,000 | 1,968,243 | ||
National Securities Clearing Corp.144A | 5.00 | 5-30-2028 | 5,000,000 | 5,035,941 | ||
Santander Holdings USA, Inc. (U.S. SOFR+3.28%)± | 7.66 | 11-9-2031 | 22,500,000 | 24,041,379 | ||
U.S. Bancorp (U.S. SOFR+1.56%)± | 5.38 | 1-23-2030 | 9,785,000 | 9,730,045 | ||
U.S. Bancorp (U.S. SOFR+2.26%)± | 5.84 | 6-12-2034 | 12,435,000 | 12,556,354 | ||
Wells Fargo & Co. (U.S. SOFR+1.32%)± | 3.91 | 4-25-2026 | 5,700,000 | 5,588,974 | ||
Wells Fargo & Co. (U.S. SOFR+1.50%)± | 3.35 | 3-2-2033 | 9,600,000 | 8,239,832 | ||
201,558,075 | ||||||
Diversified financial services: 1.48% | ||||||
Aircastle Ltd.144A | 5.95 | 2-15-2029 | 20,015,000 | 19,772,123 | ||
Blackstone Holdings Finance Co. LLC144A | 5.00 | 6-15-2044 | 1,015,000 | 916,663 | ||
Blackstone Holdings Finance Co. LLC144A | 6.20 | 4-22-2033 | 14,485,000 | 15,132,837 | ||
Charles Schwab Corp. Series I (5 Year Treasury Constant Maturity+3.17%)ʊ± | 4.00 | 6-1-2026 | 4,000,000 | 3,684,250 | ||
Computershare U.S., Inc. | 1.13 | 10-7-2031 | 7,450,000 | 6,299,672 | ||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 3,600,000 | 3,600,144 | ||
Private Export Funding Corp.144A | 0.55 | 7-30-2024 | 29,766,000 | 29,177,620 | ||
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 | 2-15-2026 | 5,630,000 | 4,874,931 | ||
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 | 2-15-2027 | 1,050,000 | 835,053 | ||
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 | 2-15-2028 | 1,150,000 | 855,721 | ||
85,149,014 | ||||||
Insurance: 1.94% | ||||||
Arthur J Gallagher & Co. | 5.75 | 7-15-2054 | 4,500,000 | 4,457,159 | ||
Arthur J Gallagher & Co. | 6.75 | 2-15-2054 | 9,010,000 | 10,156,762 | ||
Athene Global Funding | 0.37 | 9-10-2026 | 5,600,000 | 5,533,780 | ||
Athene Global Funding144A | 1.99 | 8-19-2028 | 2,860,000 | 2,452,110 | ||
Athene Global Funding144A | 2.55 | 11-19-2030 | 3,000,000 | 2,456,560 | ||
Cincinnati Financial Corp. | 6.13 | 11-1-2034 | 3,725,000 | 3,886,351 | ||
Guardian Life Insurance Co. of America144A | 4.85 | 1-24-2077 | 1,045,000 | 860,422 | ||
Hill City Funding Trust144A | 4.05 | 8-15-2041 | 6,955,000 | 5,001,157 | ||
Lincoln National Corp. | 4.35 | 3-1-2048 | 4,495,000 | 3,483,860 |
Interest rate | Maturity date | Principal | Value | |||
Insurance(continued) | ||||||
MetLife, Inc. Series G (5 Year Treasury Constant Maturity+3.58%)ʊ± | 3.85 % | 9-15-2025 | $ | 7,000,000 | $6,689,569 | |
Metropolitan Life Global Funding I144A | 5.15 | 3-28-2033 | 13,000,000 | 12,858,737 | ||
National Life Insurance Co. (3 Month LIBOR+3.31%)144A± | 5.25 | 7-19-2068 | 1,668,000 | 1,450,924 | ||
Northwestern Mutual Life Insurance Co.144A | 3.63 | 9-30-2059 | 1,500,000 | 1,049,276 | ||
OneAmerica Financial Partners, Inc.144A | 4.25 | 10-15-2050 | 570,000 | 394,377 | ||
PartnerRe Finance B LLC (5 Year Treasury Constant Maturity+3.82%)± | 4.50 | 10-1-2050 | 9,010,000 | 8,032,955 | ||
Prudential Financial, Inc. (5 Year Treasury Constant Maturity+3.16%)± | 5.13 | 3-1-2052 | 3,600,000 | 3,365,416 | ||
Reinsurance Group of America, Inc. | 6.00 | 9-15-2033 | 7,444,000 | 7,643,773 | ||
RGA Global Funding144A | 6.00 | 11-21-2028 | 21,325,000 | 21,767,081 | ||
Sammons Financial Group, Inc.144A | 4.75 | 4-8-2032 | 2,015,000 | 1,748,724 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 3,000,000 | 2,967,993 | ||
Transatlantic Holdings, Inc. | 8.00 | 11-30-2039 | 4,329,000 | 5,502,038 | ||
111,759,024 | ||||||
Investment Companies: 0.03% | ||||||
Ares Capital Corp. | 2.88 | 6-15-2028 | 1,980,000 | 1,734,080 | ||
Private equity: 0.06% | ||||||
KKR Group Finance Co. III LLC144A | 5.13 | 6-1-2044 | 2,390,000 | 2,176,723 | ||
KKR Group Finance Co. VIII LLC144A | 3.50 | 8-25-2050 | 1,910,000 | 1,308,162 | ||
3,484,885 | ||||||
Real estate: 0.16% | ||||||
CBRE Services, Inc. | 5.50 | 4-1-2029 | 9,190,000 | 9,196,583 | ||
REITS: 2.80% | ||||||
Alexandria Real Estate Equities, Inc. | 5.25 | 5-15-2036 | 10,000,000 | 9,599,531 | ||
Brandywine Operating Partnership LP | 7.80 | 3-15-2028 | 7,370,000 | 7,300,541 | ||
EPR Properties | 3.60 | 11-15-2031 | 10,220,000 | 8,343,248 | ||
EPR Properties | 3.75 | 8-15-2029 | 4,643,000 | 4,052,531 | ||
GLP Capital LP/GLP Financing II, Inc. | 3.25 | 1-15-2032 | 5,000,000 | 4,147,940 | ||
GLP Capital LP/GLP Financing II, Inc. | 4.00 | 1-15-2030 | 3,655,000 | 3,289,338 | ||
GLP Capital LP/GLP Financing II, Inc. | 6.75 | 12-1-2033 | 6,485,000 | 6,729,257 | ||
Invitation Homes Operating Partnership LP | 5.45 | 8-15-2030 | 10,665,000 | 10,617,512 | ||
Iron Mountain, Inc.144A | 4.50 | 2-15-2031 | 7,000,000 | 6,194,546 | ||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.144A | 5.25 | 10-1-2025 | 1,820,000 | 1,792,912 | ||
Omega Healthcare Investors, Inc. | 3.38 | 2-1-2031 | 2,930,000 | 2,466,841 | ||
Omega Healthcare Investors, Inc. | 3.63 | 10-1-2029 | 9,400,000 | 8,255,532 | ||
Omega Healthcare Investors, Inc. | 4.75 | 1-15-2028 | 4,288,000 | 4,113,612 | ||
Piedmont Operating Partnership LP | 2.75 | 4-1-2032 | 4,250,000 | 3,007,357 | ||
Piedmont Operating Partnership LP | 9.25 | 7-20-2028 | 6,095,000 | 6,439,280 | ||
Realty Income Corp. | 5.13 | 2-15-2034 | 15,900,000 | 15,383,350 | ||
Realty Income Corp. | 5.13 | 7-6-2034 | 7,700,000 | 8,925,263 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 17,040,000 | 16,731,091 | ||
SBA Tower Trust144A | 1.63 | 11-15-2026 | 6,595,000 | 5,921,970 |
Interest rate | Maturity date | Principal | Value | |||
REITS(continued) | ||||||
Service Properties Trust | 4.75 % | 10-1-2026 | $ | 2,000,000 | $1,850,157 | |
Service Properties Trust144A | 8.63 | 11-15-2031 | 3,000,000 | 3,168,336 | ||
Tanger Properties LP | 2.75 | 9-1-2031 | 13,614,000 | 10,984,189 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 9,604,000 | 9,470,831 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 4.75 | 9-17-2044 | 2,610,000 | 1,829,006 | ||
160,614,171 | ||||||
Industrial: 0.50% | ||||||
Aerospace/defense: 0.21% | ||||||
RTX Corp. | 6.00 | 3-15-2031 | 11,600,000 | 12,081,058 | ||
Building materials: 0.09% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 5,000,000 | 5,131,250 | ||
Packaging & containers: 0.13% | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 2.13 | 8-15-2026 | 1,750,000 | 1,704,459 | ||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 6,000,000 | 5,711,122 | ||
7,415,581 | ||||||
Trucking & leasing: 0.07% | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 6.20 | 6-15-2030 | 4,000,000 | 4,143,220 | ||
Technology: 1.06% | ||||||
Computers: 0.28% | ||||||
Kyndryl Holdings, Inc. | 2.05 | 10-15-2026 | 3,263,000 | 2,979,387 | ||
Kyndryl Holdings, Inc. | 6.35 | 2-20-2034 | 13,265,000 | 13,389,064 | ||
16,368,451 | ||||||
Semiconductors: 0.35% | ||||||
Entegris, Inc.144A | 4.75 | 4-15-2029 | 11,000,000 | 10,372,207 | ||
Intel Corp. | 5.70 | 2-10-2053 | 9,550,000 | 9,680,725 | ||
20,052,932 | ||||||
Software: 0.43% | ||||||
Oracle Corp. | 2.30 | 3-25-2028 | 13,930,000 | 12,483,461 | ||
Oracle Corp. | 3.95 | 3-25-2051 | 16,180,000 | 12,069,507 | ||
24,552,968 | ||||||
Utilities: 2.11% | ||||||
Electric: 1.92% | ||||||
Basin Electric Power Cooperative144A | 4.75 | 4-26-2047 | 2,315,000 | 1,979,564 | ||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.99 | 5-13-2024 | 1,240,000 | 1,240,196 | ||
Constellation Energy Generation LLC | 6.50 | 10-1-2053 | 4,310,000 | 4,730,226 | ||
Duke Energy Corp. | 3.10 | 6-15-2028 | 2,600,000 | 2,734,544 | ||
Duke Energy Corp. | 3.85 | 6-15-2034 | 4,400,000 | 4,604,340 | ||
Duke Energy Indiana LLC | 5.40 | 4-1-2053 | 5,000,000 | 4,822,315 | ||
Enel Finance America LLC144A | 2.88 | 7-12-2041 | 11,439,000 | 7,620,245 | ||
Entergy Louisiana LLC | 4.75 | 9-15-2052 | 9,575,000 | 8,361,302 | ||
Eversource Energy | 5.50 | 1-1-2034 | 13,735,000 | 13,594,488 |
Interest rate | Maturity date | Principal | Value | |||
Electric(continued) | ||||||
National Rural Utilities Cooperative Finance Corp. | 5.80 % | 1-15-2033 | $ | 13,015,000 | $13,460,826 | |
NextEra Energy Capital Holdings, Inc. | 5.25 | 2-28-2053 | 9,375,000 | 8,737,914 | ||
Oglethorpe Power Corp. | 5.05 | 10-1-2048 | 1,060,000 | 935,707 | ||
Oklahoma Gas & Electric Co. | 5.60 | 4-1-2053 | 5,465,000 | 5,504,495 | ||
Southern California Edison Co. | 3.65 | 2-1-2050 | 1,600,000 | 1,171,083 | ||
Southern California Edison Co.%% | 5.75 | 4-15-2054 | 8,880,000 | 8,844,205 | ||
Vistra Operations Co. LLC144A | 3.70 | 1-30-2027 | 7,475,000 | 7,070,287 | ||
Vistra Operations Co. LLC144A | 6.95 | 10-15-2033 | 14,345,000 | 14,945,984 | ||
110,357,721 | ||||||
Gas: 0.19% | ||||||
Southern California Gas Co. | 5.75 | 6-1-2053 | 10,765,000 | 10,883,609 | ||
Total corporate bonds and notes (Cost $1,219,351,092) | 1,204,452,012 | |||||
Foreign corporate bonds and notes: 4.35% | ||||||
Communications: 0.59% | ||||||
Media: 0.07% | ||||||
Tele Columbus AG144A | 3.88 | 5-2-2025 | EUR | 2,320,000 | 1,529,547 | |
Ziggo Bond Co. BV144A | 3.38 | 2-28-2030 | EUR | 2,500,000 | 2,306,918 | |
3,836,465 | ||||||
Telecommunications: 0.52% | ||||||
British Telecommunications PLC (UK Gilts 5 Year+3.82%)± | 8.38 | 12-20-2083 | GBP | 5,110,000 | 6,789,691 | |
Eutelsat SA | 1.50 | 10-13-2028 | EUR | 4,600,000 | 3,193,279 | |
Koninklijke KPN NV | 3.88 | 7-3-2031 | EUR | 4,600,000 | 5,037,900 | |
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 1,800,000 | 1,822,573 | |
Tele2 AB | 0.75 | 3-23-2031 | EUR | 5,400,000 | 4,933,637 | |
Telefonaktiebolaget LM Ericsson | 1.00 | 5-26-2029 | EUR | 1,550,000 | 1,402,172 | |
Telefonica Europe BV (EUR Swap Annual (vs. 6 Month EURIBOR) 7 Year+3.35%)ʊ± | 6.14 | 2-3-2030 | EUR | 6,000,000 | 6,583,677 | |
29,762,929 | ||||||
Consumer, cyclical: 0.68% | ||||||
Auto manufacturers: 0.09% | ||||||
Stellantis NV | 2.00 | 3-20-2025 | EUR | 1,800,000 | 1,906,667 | |
Volkswagen Leasing GmbH | 0.38 | 7-20-2026 | EUR | 3,530,000 | 3,519,581 | |
5,426,248 | ||||||
Auto parts & equipment: 0.05% | ||||||
Forvia SE | 7.25 | 6-15-2026 | EUR | 2,262,000 | 2,575,759 | |
Distribution/wholesale: 0.07% | ||||||
Azelis Finance NV144A | 5.75 | 3-15-2028 | EUR | 3,500,000 | 3,892,802 | |
Entertainment: 0.47% | ||||||
888 Acquisitions Ltd.144A | 7.56 | 7-15-2027 | EUR | 4,640,000 | 4,866,970 | |
Allwyn Entertainment Financing U.K. PLC144A | 7.25 | 4-30-2030 | EUR | 2,000,000 | 2,280,297 |
Interest rate | Maturity date | Principal | Value | |||
Entertainment(continued) | ||||||
Banijay Entertainment SASU144A | 7.00 % | 5-1-2029 | EUR | 4,640,000 | $5,240,580 | |
Cirsa Finance International Sarl144A | 10.38 | 11-30-2027 | EUR | 6,885,000 | 8,018,006 | |
International Game Technology PLC144A | 3.50 | 6-15-2026 | EUR | 1,500,000 | 1,601,035 | |
Universal Music Group NV | 4.00 | 6-13-2031 | EUR | 4,800,000 | 5,250,247 | |
27,257,135 | ||||||
Consumer, non-cyclical: 0.70% | ||||||
Agriculture: 0.09% | ||||||
BAT International Finance PLC | 2.25 | 1-16-2030 | EUR | 5,250,000 | 5,118,886 | |
Beverages: 0.07% | ||||||
Anheuser-Busch InBev SA | 1.13 | 7-1-2027 | EUR | 4,000,000 | 4,026,627 | |
Commercial services: 0.28% | ||||||
Rentokil Initial Finance BV | 3.88 | 6-27-2027 | EUR | 7,000,000 | 7,587,900 | |
Transurban Finance Co. Pty. Ltd. | 4.23 | 4-26-2033 | EUR | 6,000,000 | 6,692,933 | |
Verisure Holding AB144A | 9.25 | 10-15-2027 | EUR | 1,525,000 | 1,759,065 | |
16,039,898 | ||||||
Food: 0.02% | ||||||
Sigma Holdco BV144A | 5.75 | 5-15-2026 | EUR | 1,500,000 | 1,528,791 | |
Pharmaceuticals: 0.24% | ||||||
Bayer AG (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.11%)± | 3.13 | 11-12-2079 | EUR | 4,000,000 | 3,780,161 | |
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 | 11-12-2079 | EUR | 9,600,000 | 9,934,842 | |
13,715,003 | ||||||
Diversified: 0.05% | ||||||
Holding companies-divers: 0.05% | ||||||
Stena International SA | 7.25 | 2-15-2028 | EUR | 2,600,000 | 2,963,228 | |
Energy: 0.26% | ||||||
Oil & gas: 0.26% | ||||||
Aker BP ASA | 1.13 | 5-12-2029 | EUR | 4,000,000 | 3,760,551 | |
BP Capital Markets PLC (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.52%)ʊ± | 3.25 | 3-22-2026 | EUR | 6,200,000 | 6,464,386 | |
Repsol International Finance BV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+2.77%)ʊ± | 2.50 | 12-22-2026 | EUR | 4,500,000 | 4,532,873 | |
14,757,810 | ||||||
Financial: 1.10% | ||||||
Banks: 1.10% | ||||||
ABN AMRO Bank NV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.90%)ʊ± | 4.75 | 9-22-2027 | EUR | 3,300,000 | 3,303,599 | |
Banco BPM SpA | 0.88 | 7-15-2026 | EUR | 4,500,000 | 4,532,542 | |
Banco de Sabadell SA (EURIBOR ICE Swap Rate 11:00am+2.40%)± | 5.50 | 9-8-2029 | EUR | 5,100,000 | 5,754,807 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
BPER Banca (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+4.08%)± | 3.63 % | 11-30-2030 | EUR | 4,640,000 | $4,932,264 | |
CaixaBank SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.55%)± | 6.25 | 2-23-2033 | EUR | 2,800,000 | 3,164,622 | |
Credit Agricole SA (EURIBOR ICE Swap Rate 11:00am+4.44%)ʊ± | 7.25 | 9-23-2028 | EUR | 4,700,000 | 5,289,298 | |
Deutsche Bank AG (3 Month EURIBOR+2.95%)± | 5.00 | 9-5-2030 | EUR | 7,000,000 | 7,744,375 | |
Intesa Sanpaolo SpA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+7.19%)ʊ± | 7.75 | 1-11-2027 | EUR | 4,000,000 | 4,436,682 | |
KBC Group NV (EURIBOR ICE Swap Rate 11:00am+4.93%)ʊ± | 8.00 | 9-5-2028 | EUR | 5,800,000 | 6,612,535 | |
Nordea Bank Abp (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.00%)ʊ± | 3.50 | 3-12-2025 | EUR | 6,000,000 | 6,302,211 | |
Nykredit Realkredit AS (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+4.57%)ʊ± | 4.13 | 4-15-2026 | EUR | 5,400,000 | 5,559,092 | |
UBS Group AG (EURIBOR ICE Swap Rate 11:00am+4.95%)± | 7.75 | 3-1-2029 | EUR | 4,700,000 | 5,757,164 | |
63,389,191 | ||||||
Government securities: 0.06% | ||||||
Multi-national: 0.06% | ||||||
Banque Ouest Africaine de Developpement | 2.75 | 1-22-2033 | EUR | 4,000,000 | 3,242,269 | |
Industrial: 0.29% | ||||||
Engineering & construction: 0.12% | ||||||
Cellnex Finance Co. SA | 2.00 | 9-15-2032 | EUR | 3,800,000 | 3,497,233 | |
Infrastrutture Wireless Italiane SpA | 1.75 | 4-19-2031 | EUR | 3,800,000 | 3,614,744 | |
7,111,977 | ||||||
Packaging & containers: 0.17% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 | 11-1-2027 | EUR | 5,500,000 | 5,473,958 | |
OI European Group BV | 6.25 | 5-15-2028 | EUR | 3,750,000 | 4,205,058 | |
9,679,016 | ||||||
Utilities: 0.62% | ||||||
Electric: 0.39% | ||||||
Enel Finance International NV | 0.50 | 6-17-2030 | EUR | 4,000,000 | 3,578,847 | |
Energia Group Roi Financeco DAC144A | 6.88 | 7-31-2028 | EUR | 4,640,000 | 5,193,771 | |
RWE AG | 2.75 | 5-24-2030 | EUR | 8,330,000 | 8,532,290 | |
Vattenfall AB (UK Gilts 5 Year+1.90%)± | 2.50 | 6-29-2083 | GBP | 4,713,000 | 5,051,243 | |
22,356,151 | ||||||
Gas: 0.13% | ||||||
APA Infrastructure Ltd. | 2.00 | 7-15-2030 | EUR | 4,900,000 | 4,703,368 | |
Snam SpA | 0.63 | 6-30-2031 | EUR | 3,200,000 | 2,794,453 | |
7,497,821 | ||||||
Water: 0.10% | ||||||
Thames Water Utilities Finance PLC | 4.00 | 4-18-2027 | EUR | 5,400,000 | 5,538,455 | |
Total foreign corporate bonds and notes (Cost $251,735,328) | 249,716,461 |
Interest rate | Maturity date | Principal | Value | |||
Foreign government bonds: 3.52% | ||||||
Australia: 0.54% | ||||||
Australia | 2.75 % | 11-21-2028 | AUD | 32,175,000 | $20,009,007 | |
Australia | 3.00 | 11-21-2033 | AUD | 18,600,000 | 10,991,959 | |
31,000,966 | ||||||
Brazil: 0.90% | ||||||
Brazil¤ | 0.00 | 7-1-2024 | BRL | 60,000,000 | 11,676,989 | |
Brazil¤ | 0.00 | 10-1-2025 | BRL | 80,000,000 | 13,844,375 | |
Brazil | 10.00 | 1-1-2025 | BRL | 8,600,000 | 1,726,374 | |
Brazil | 10.00 | 1-1-2027 | BRL | 28,600,000 | 5,741,271 | |
Brazil | 10.00 | 1-1-2029 | BRL | 96,000,000 | 19,006,353 | |
51,995,362 | ||||||
France: 0.44% | ||||||
France | 0.75 | 2-25-2028 | EUR | 25,350,000 | 25,358,959 | |
Malaysia: 0.19% | ||||||
Malaysia | 3.88 | 3-14-2025 | MYR | 50,575,000 | 10,714,125 | |
Spain: 0.80% | ||||||
Spain¤ | 0.00 | 1-31-2028 | EUR | 47,905,000 | 46,210,330 | |
United Kingdom: 0.65% | ||||||
U.K. Gilts | 3.25 | 1-31-2033 | GBP | 31,435,000 | 37,282,103 | |
Total foreign government bonds (Cost $205,404,720) | 202,561,845 |
Shares | ||||||
Investment companies: 0.36% | ||||||
Exchange-traded funds: 0.36% | ||||||
SPDR Portfolio High Yield Bond ETF | 881,445 | 20,564,112 | ||||
Total investment companies (Cost $19,999,987) | 20,564,112 |
Principal | ||||||
Loans: 0.42% | ||||||
Communications: 0.03% | ||||||
Media: 0.03% | ||||||
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)± | 10.44 | 8-2-2027 | $ | 1,554,181 | 1,551,943 | |
Consumer, cyclical: 0.05% | ||||||
Airlines: 0.05% | ||||||
American Airlines, Inc. (U.S. SOFR 3 Month+4.75%)± | 10.33 | 4-20-2028 | 1,345,550 | 1,370,779 | ||
Mileage Plus Holdings LLC (U.S. SOFR 3 Month+5.25%)± | 10.77 | 6-21-2027 | 1,732,500 | 1,782,708 | ||
3,153,487 |
Interest rate | Maturity date | Principal | Value | |||
Consumer, non-cyclical: 0.10% | ||||||
Commercial services: 0.10% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+6.88%)± | 12.20 % | 3-23-2027 | $ | 3,540,105 | $3,620,855 | |
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)± | 9.85 | 9-1-2028 | 1,959,900 | 1,893,204 | ||
5,514,059 | ||||||
Financial: 0.23% | ||||||
Insurance: 0.23% | ||||||
Asurion LLC (U.S. SOFR 1 Month+3.25%)± | 8.69 | 12-23-2026 | 13,100,000 | 13,014,457 | ||
Industrial: 0.01% | ||||||
Building materials: 0.01% | ||||||
Standard Industries, Inc. (U.S. SOFR 1 Month+2.25%)± | 7.68 | 9-22-2028 | 862,147 | 861,501 | ||
Total loans (Cost $23,897,262) | 24,095,447 | |||||
Municipal obligations: 0.10% | ||||||
Illinois: 0.07% | ||||||
GO revenue: 0.03% | ||||||
Will County Community High School District No. 210 Lincoln- Way CAB (AGM Insured)¤ | 0.00 | 1-1-2025 | 1,820,000 | 1,764,161 | ||
Housing revenue: 0.03% | ||||||
Metropolitan Pier & Exposition Authority (AGM Insured)¤ | 0.00 | 6-15-2026 | 1,975,000 | 1,827,288 | ||
Tax revenue: 0.01% | ||||||
Metropolitan Pier & Exposition Authority Series B CAB¤ | 0.00 | 12-15-2051 | 765,000 | 189,364 | ||
3,780,813 | ||||||
Pennsylvania: 0.03% | ||||||
Housing revenue: 0.03% | ||||||
Commonwealth Financing Authority Pennsylvania Department of Education Series A | 4.14 | 6-1-2038 | 1,995,000 | 1,832,294 | ||
Total municipal obligations (Cost $5,629,392) | 5,613,107 | |||||
Non-agency mortgage-backed securities: 4.96% | ||||||
Agate Bay Mortgage Trust Series 2015-3 Class B3144A±± | 3.50 | 4-25-2045 | 706,090 | 619,740 | ||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 780,184 | 722,831 | ||
Bank Series 2022-BNK44 Class A5±± | 5.75 | 11-15-2055 | 1,085,000 | 1,131,987 | ||
Benchmark Mortgage Trust Series 2022-B33 Class A5 | 3.46 | 3-15-2055 | 14,391,000 | 12,702,993 | ||
Benchmark Mortgage Trust Series 2022-B35 Class A5±± | 4.44 | 5-15-2055 | 21,565,000 | 19,973,706 | ||
BMO Mortgage Trust Series 2023-C4 Class A5±± | 5.12 | 2-15-2056 | 7,705,000 | 7,678,363 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1144A | 2.72 | 11-25-2059 | 482,178 | 467,214 | ||
BX Commercial Mortgage Trust Series 2023-VLT3 Class B (U.S. SOFR 1 Month+2.69%)144A± | 8.01 | 11-15-2028 | 13,250,000 | 13,292,477 | ||
BX Trust Series 2019-OC11 Class A144A | 3.20 | 12-9-2041 | 4,975,000 | 4,397,799 | ||
BX Trust Series 2021-ARIA Class A (U.S. SOFR 1 Month+1.01%)144A± | 6.33 | 10-15-2036 | 3,680,000 | 3,631,700 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1 Month+2.01%)144A± | 7.33 % | 10-15-2036 | $ | 9,836,000 | $9,596,247 | |
BX Trust Series 2022-CLS Class C144A | 6.79 | 10-13-2027 | 1,000,000 | 911,496 | ||
BX Trust Series 2024-BIO Class C (U.S. SOFR 1 Month+2.64%)144A± | 7.94 | 2-15-2041 | 10,995,000 | 10,981,216 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 283,451 | 277,657 | ||
CD Mortgage Trust Series 2017-CD6 Class A5 | 3.46 | 11-13-2050 | 1,035,000 | 963,984 | ||
CHNGE Mortgage Trust Series 2022-1 Class A1144A±± | 3.01 | 1-25-2067 | 5,747,812 | 5,214,920 | ||
CHNGE Mortgage Trust Series 2023-3 Class A1144A | 7.10 | 7-25-2058 | 2,036,284 | 2,036,892 | ||
CHNGE Mortgage Trust Series 2023-4 Class A1144A | 7.57 | 9-25-2058 | 6,876,349 | 6,931,189 | ||
COLT Mortgage Loan Trust Series 2022-7 Class A1144A | 5.16 | 4-25-2067 | 5,553,859 | 5,443,744 | ||
COMM Mortgage Trust Series 2015-3BP Class A144A | 3.18 | 2-10-2035 | 7,295,000 | 6,912,447 | ||
CRSO Trust Series 2023-BRND Class A | 7.12 | 7-12-2040 | 17,995,000 | 18,680,205 | ||
CSMC Trust Series 2013-IVR2 Class B4144A±± | 3.40 | 4-25-2043 | 566,754 | 500,735 | ||
CSMC Trust Series 2014-IVR2 Class A2144A±± | 3.82 | 4-25-2044 | 1,164,901 | 1,066,729 | ||
CSMC Trust Series 2021-AFC1 Class A2144A±± | 1.07 | 3-25-2056 | 4,904,577 | 4,064,480 | ||
CSMLT Trust Series 2015-1 Class B4144A±± | 3.80 | 5-25-2045 | 2,255,211 | 2,065,219 | ||
Deephaven Residential Mortgage Trust Series 2021-3 Class A2144A±± | 1.40 | 8-25-2066 | 2,659,148 | 2,248,004 | ||
Financial Asset Securitization Inc. Series 1997-NAM2 Class B2†±± | 8.00 | 7-25-2027 | 15,908 | 2 | ||
FREMF Mortgage Trust Series 2020-KF76 Class B (30 Day Average U.S. SOFR+2.86%)144A± | 8.20 | 1-25-2030 | 1,588,530 | 1,488,667 | ||
GCAT Trust Series 2019-RPL1 Class A1144A±± | 2.65 | 10-25-2068 | 1,630,398 | 1,541,520 | ||
GS Mortgage Securities Trust Series 2017-GS7 Class A3 | 3.17 | 8-10-2050 | 990,000 | 915,460 | ||
GS Mortgage Securities Trust Series 2019-GSA1 Class C±± | 3.81 | 11-10-2052 | 500,000 | 414,784 | ||
GS Mortgage-Backed Securities Corp. Trust Series 2019-PJ2 Class A4144A±± | 4.00 | 11-25-2049 | 162,430 | 149,460 | ||
Homeward Opportunities Fund Trust Series 2020-2 Class A2144A±± | 2.64 | 5-25-2065 | 381,541 | 374,311 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 10-25-2055 | 711,768 | 637,388 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 1,317,077 | 1,113,914 | ||
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A2144A±± | 1.36 | 9-25-2056 | 4,393,080 | 3,584,808 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3144A±± | 4.45 | 5-25-2067 | 17,223,000 | 14,212,408 | ||
JP Morgan Mortgage Trust Series 2013-3 Class B4144A±± | 3.36 | 7-25-2043 | 3,616,907 | 2,598,840 | ||
JP Morgan Mortgage Trust Series 2014-2 Class B4144A±± | 3.41 | 6-25-2029 | 1,215,000 | 1,077,607 | ||
JP Morgan Mortgage Trust Series 2020-1 Class A15144A±± | 3.50 | 6-25-2050 | 1,146,668 | 997,557 | ||
JPMBB Commercial Mortgage Securities Trust Series 2013- C15 Class D144A±± | 4.76 | 11-15-2045 | 3,022,821 | 2,619,886 | ||
Med Trust Series 2021-MDLN Class B (U.S. SOFR 1 Month+1.56%)144A± | 6.88 | 11-15-2038 | 9,384,959 | 9,302,841 | ||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 | 1-26-2065 | 822,861 | 732,780 | ||
MFA Trust Series 2020-NQM3 Class M1144A±± | 2.65 | 1-26-2065 | 2,650,000 | 2,253,954 | ||
MFA Trust Series 2021-NQM1 Class A1144A±± | 1.15 | 4-25-2065 | 1,504,733 | 1,356,414 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
MFA Trust Series 2021-NQM1 Class A2144A±± | 1.38 % | 4-25-2065 | $ | 2,428,806 | $2,190,906 | |
MFA Trust Series 2022-NQM2 Class A1144A | 4.00 | 5-25-2067 | 6,423,249 | 6,090,320 | ||
Mill City Mortgage Loan Trust Series 2019-GS1 Class M2144A±± | 3.25 | 7-25-2059 | 4,592,000 | 3,958,544 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B±± | 3.31 | 9-15-2049 | 4,610,000 | 3,885,715 | ||
Morgan Stanley Capital I Trust Series 2014-150E Class A144A | 3.91 | 9-9-2032 | 6,695,000 | 5,652,651 | ||
New Residential Mortgage Loan Trust Series 2019-RPL3 Class M1144A±± | 3.25 | 7-25-2059 | 10,800,000 | 9,350,749 | ||
OBX Trust Series 2020-INV1 Class A21144A±± | 3.50 | 12-25-2049 | 1,540,441 | 1,346,703 | ||
OBX Trust Series 2022-NQM7 Class A1144A | 5.11 | 8-25-2062 | 4,689,821 | 4,599,929 | ||
ORL Trust Series 2023-GLKS Class A (U.S. SOFR 1 Month+2.35%)144A± | 7.67 | 10-19-2036 | 6,165,000 | 6,188,119 | ||
RCKT Mortgage Trust Series 2023-CES2 Class A1A144A±± | 6.81 | 9-25-2043 | 10,545,848 | 10,686,852 | ||
Residential Mortgage Loan Trust Series 2020-1 Class M1144A±± | 3.24 | 1-26-2060 | 5,000,000 | 4,388,889 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2144A±± | 1.10 | 1-25-2065 | 687,191 | 632,083 | ||
SFAVE Commercial Mortgage Securities Trust Series 2015- 5AVE Class D144A±± | 4.39 | 1-5-2043 | 1,927,000 | 1,087,832 | ||
SG Residential Mortgage Trust Series 2021-1 Class A2144A±± | 1.36 | 7-25-2061 | 5,901,862 | 4,660,584 | ||
Shellpoint Co.-Originator Trust Series 2016-1 Class B2144A±± | 3.55 | 11-25-2046 | 4,548,219 | 3,999,601 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1144A±± | 1.92 | 11-25-2066 | 2,019,086 | 1,669,358 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±± | 3.68 | 11-25-2060 | 1,429,618 | 1,412,980 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 602,862 | 577,363 | ||
Towd Point Mortgage Trust Series 2019-4 Class M1144A±± | 3.50 | 10-25-2059 | 4,000,000 | 3,443,129 | ||
Towd Point Mortgage Trust Series 2019-4 Class M2144A±± | 3.75 | 10-25-2059 | 3,680,000 | 3,126,349 | ||
Towd Point Mortgage Trust Series 2020-1 Class A1144A±± | 2.71 | 1-25-2060 | 7,709,539 | 7,198,153 | ||
TRK Trust Series 2021-INV1 Class A2144A±± | 1.41 | 7-25-2056 | 2,193,222 | 1,879,423 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 1,140,000 | 1,046,442 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.22 | 2-15-2032 | 2,545,036 | 2,532,887 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 1,707,603 | 1,508,030 | ||
Verus Securitization Trust Series 2022-4 Class A1144A | 4.47 | 4-25-2067 | 3,888,812 | 3,778,974 | ||
Total non-agency mortgage-backed securities (Cost $299,475,655) | 284,779,140 | |||||
U.S. Treasury securities: 14.99% | ||||||
U.S. Treasury Bonds | 1.88 | 11-15-2051 | 46,865,000 | 27,921,288 | ||
U.S. Treasury Bonds | 2.00 | 11-15-2041 | 50,835,000 | 35,195,294 | ||
U.S. Treasury Bonds | 3.00 | 2-15-2049 | 32,945,000 | 25,527,227 | ||
U.S. Treasury Bonds | 3.13 | 5-15-2048 | 65,580,000 | 52,107,921 | ||
U.S. Treasury Bonds | 3.63 | 2-15-2053 | 2,485,000 | 2,172,628 | ||
U.S. Treasury Bonds | 3.63 | 5-15-2053 | 10,975,000 | 9,602,268 | ||
U.S. Treasury Bonds | 3.88 | 2-15-2043 | 42,920,000 | 39,293,595 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities(continued) | ||||||
U.S. Treasury Bonds | 4.00 % | 11-15-2052 | $ | 13,110,000 | $12,275,262 | |
U.S. Treasury Bonds | 4.13 | 8-15-2053 | 18,745,000 | 17,945,409 | ||
U.S. Treasury Bonds | 4.25 | 2-15-2054 | 26,795,000 | 26,292,594 | ||
U.S. Treasury Bonds | 4.38 | 8-15-2043 | 60,825,000 | 59,551,476 | ||
U.S. Treasury Bonds | 4.75 | 11-15-2043 | 3,270,000 | 3,365,034 | ||
U.S. Treasury Bonds | 4.75 | 11-15-2053 | 47,060,000 | 50,067,428 | ||
U.S. Treasury Notes | 3.75 | 12-31-2028 | 55,680,000 | 54,414,150 | ||
U.S. Treasury Notes | 4.00 | 1-31-2029 | 60,735,000 | 60,032,751 | ||
U.S. Treasury Notes | 4.00 | 2-15-2034 | 49,230,000 | 48,268,477 | ||
U.S. Treasury Notes | 4.25 | 12-31-2025 | 37,100,000 | 36,810,156 | ||
U.S. Treasury Notes## | 4.25 | 1-31-2026 | 164,000,000 | 162,776,406 | ||
U.S. Treasury Notes | 4.25 | 2-28-2031 | 36,160,000 | 36,114,800 | ||
U.S. Treasury Notes | 4.63 | 6-30-2025 | 18,240,000 | 18,182,287 | ||
U.S. Treasury Notes | 4.88 | 11-30-2025 | 70,000,000 | 70,169,532 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2040 | 20,515,000 | 9,673,692 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2044 | 9,270,000 | 3,592,871 | ||
Total U.S. Treasury securities (Cost $888,805,324) | 861,352,546 | |||||
Yankee corporate bonds and notes: 7.97% | ||||||
Basic materials: 0.21% | ||||||
Chemicals: 0.11% | ||||||
Braskem Netherlands Finance BV144A | 7.25 | 2-13-2033 | 7,175,000 | 6,525,999 | ||
Mining: 0.10% | ||||||
Glencore Finance Canada Ltd.144A | 6.90 | 11-15-2037 | 5,000,000 | 5,423,559 | ||
Communications: 0.67% | ||||||
Internet: 0.23% | ||||||
Alibaba Group Holding Ltd. | 3.15 | 2-9-2051 | 4,135,000 | 2,728,089 | ||
Prosus NV144A | 3.83 | 2-8-2051 | 3,000,000 | 1,849,929 | ||
Prosus NV144A | 4.03 | 8-3-2050 | 10,105,000 | 6,432,363 | ||
Prosus NV144A | 4.99 | 1-19-2052 | 3,000,000 | 2,200,110 | ||
13,210,491 | ||||||
Telecommunications: 0.44% | ||||||
Colombia Telecomunicaciones SA ESP144A | 4.95 | 7-17-2030 | 5,000,000 | 3,361,333 | ||
Nokia OYJ | 6.63 | 5-15-2039 | 6,365,000 | 6,142,019 | ||
Rogers Communications, Inc. | 4.55 | 3-15-2052 | 11,975,000 | 9,882,426 | ||
Telefonica Emisiones SA | 5.21 | 3-8-2047 | 6,485,000 | 5,832,865 | ||
25,218,643 | ||||||
Consumer, cyclical: 0.88% | ||||||
Airlines: 0.17% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 | 7-15-2026 | 4,000,000 | 4,335,000 | ||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.144A | 9.50 | 6-1-2028 | 6,750,000 | 5,686,875 | ||
10,021,875 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers: 0.17% | ||||||
Nissan Motor Co. Ltd.144A | 3.52 % | 9-17-2025 | $ | 10,000,000 | $9,618,272 | |
Entertainment: 0.17% | ||||||
Genm Capital Labuan Ltd.144A | 3.88 | 4-19-2031 | 11,400,000 | 9,872,380 | ||
Leisure time: 0.37% | ||||||
Carnival Corp.144A | 6.00 | 5-1-2029 | 5,000,000 | 4,886,065 | ||
Royal Caribbean Cruises Ltd.144A | 5.50 | 4-1-2028 | 5,000,000 | 4,920,350 | ||
Royal Caribbean Cruises Ltd.144A%% | 6.25 | 3-15-2032 | 8,340,000 | 8,362,277 | ||
Royal Caribbean Cruises Ltd.144A | 11.63 | 8-15-2027 | 3,000,000 | 3,244,946 | ||
21,413,638 | ||||||
Consumer, non-cyclical: 0.42% | ||||||
Agriculture: 0.13% | ||||||
Viterra Finance BV144A | 4.90 | 4-21-2027 | 7,615,000 | 7,454,337 | ||
Pharmaceuticals: 0.29% | ||||||
Perrigo Finance Unlimited Co. | 4.90 | 12-15-2044 | 1,500,000 | 1,170,914 | ||
Pfizer Investment Enterprises Pte. Ltd. | 5.30 | 5-19-2053 | 9,185,000 | 8,984,740 | ||
Teva Pharmaceutical Finance Netherlands III BV | 8.13 | 9-15-2031 | 6,000,000 | 6,482,148 | ||
16,637,802 | ||||||
Energy: 0.70% | ||||||
Oil & gas: 0.44% | ||||||
BP Capital Markets PLC (5 Year Treasury Constant Maturity+2.15%)ʊ±%% | 6.45 | 12-1-2033 | 4,895,000 | 4,905,980 | ||
BP Capital Markets PLC (5 Year Treasury Constant Maturity+4.40%)ʊ± | 4.88 | 3-22-2030 | 4,950,000 | 4,671,557 | ||
Petroleos Mexicanos | 6.70 | 2-16-2032 | 2,650,000 | 2,136,511 | ||
QatarEnergy144A | 3.13 | 7-12-2041 | 6,000,000 | 4,396,836 | ||
Woodside Finance Ltd.144A | 3.65 | 3-5-2025 | 9,570,000 | 9,358,228 | ||
25,469,112 | ||||||
Pipelines: 0.26% | ||||||
Enbridge, Inc. | 5.70 | 3-8-2033 | 14,500,000 | 14,663,591 | ||
Financial: 4.29% | ||||||
Banks: 2.81% | ||||||
ABN AMRO Bank NV144A | 4.75 | 7-28-2025 | 1,800,000 | 1,765,872 | ||
Banco Industrial SA (5 Year Treasury Constant Maturity+4.44%)144A± | 4.88 | 1-29-2031 | 1,500,000 | 1,439,295 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.64%)144Aʊ± | 5.88 | 1-24-2027 | 6,050,000 | 5,753,567 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.97%)144Aʊ± | 6.75 | 9-27-2024 | 1,565,000 | 1,557,852 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (5 Year Treasury Constant Maturity+3.00%)144A± | 7.53 | 10-1-2028 | 1,700,000 | 1,758,057 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
Banco Santander SA (1 Year Treasury Constant Maturity+0.45%)± | 5.74 % | 6-30-2024 | $ | 9,000,000 | $9,001,473 | |
Barclays PLC (U.S. SOFR+2.22%)± | 6.49 | 9-13-2029 | 4,800,000 | 4,947,777 | ||
BBVA Bancomer SA (5 Year Treasury Constant Maturity+4.31%)144A± | 5.88 | 9-13-2034 | 1,800,000 | 1,664,055 | ||
BNP Paribas SA (5 Year Treasury Constant Maturity+3.73%)144Aʊ± | 8.00 | 8-22-2031 | 5,000,000 | 4,994,196 | ||
BNP Paribas SA (5 Year Treasury Constant Maturity+4.90%)144Aʊ± | 7.75 | 8-16-2029 | 5,400,000 | 5,437,886 | ||
Credit Suisse Group AG (U.S. SOFR+1.73%)144A± | 3.09 | 5-14-2032 | 8,695,000 | 7,306,739 | ||
Credit Suisse Group AG (U.S. SOFR+3.70%)144A± | 6.44 | 8-11-2028 | 4,200,000 | 4,316,603 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.40%)144A±%% | 5.71 | 3-1-2030 | 10,900,000 | 10,923,146 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.75%)144A± | 4.30 | 4-1-2028 | 10,000,000 | 9,630,865 | ||
Federation des Caisses Desjardins du Quebec144A | 5.70 | 3-14-2028 | 16,145,000 | 16,322,693 | ||
HSBC Holdings PLC (U.S. SOFR+0.71%)± | 0.98 | 5-24-2025 | 4,200,000 | 4,152,511 | ||
Intesa Sanpaolo SpA144A | 7.20 | 11-28-2033 | 10,310,000 | 10,793,087 | ||
Lloyds Banking Group PLC (5 Year Treasury Constant Maturity+4.82%)ʊ± | 6.75 | 6-27-2026 | 7,550,000 | 7,343,281 | ||
Macquarie Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.05 | 3-3-2036 | 8,875,000 | 7,225,716 | ||
National Australia Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.35 | 1-12-2037 | 8,835,000 | 7,371,147 | ||
NatWest Group PLC (1 Year Treasury Constant Maturity+1.50%)± | 5.78 | 3-1-2035 | 13,500,000 | 13,473,151 | ||
NatWest Markets PLC144A | 1.60 | 9-29-2026 | 4,000,000 | 3,643,119 | ||
UBS Group AG (1 Year Treasury Constant Maturity+0.85%)144A± | 1.49 | 8-10-2027 | 10,800,000 | 9,784,394 | ||
UBS Group AG (1 Year Treasury Constant Maturity+2.05%)144A± | 4.70 | 8-5-2027 | 4,480,000 | 4,391,249 | ||
UBS Group AG (5 Year Treasury Constant Maturity+3.40%)144Aʊ± | 4.88 | 2-12-2027 | 3,940,000 | 3,587,169 | ||
Unicredit SpA (5 Year Treasury Constant Maturity+4.75%)144A± | 5.46 | 6-30-2035 | 3,000,000 | 2,772,061 | ||
161,356,961 | ||||||
Diversified financial services: 0.29% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 11,015,000 | 10,160,134 | ||
Avolon Holdings Funding Ltd.144A | 5.50 | 1-15-2026 | 2,515,000 | 2,488,987 | ||
CI Financial Corp. | 4.10 | 6-15-2051 | 7,220,000 | 4,263,971 | ||
Unifin Financiera SAB de CV144A† | 9.88 | 1-28-2029 | 2,350,000 | 126,312 | ||
17,039,404 | ||||||
Insurance: 0.58% | ||||||
Allianz SE (5 Year Treasury Constant Maturity+3.23%)144A± | 6.35 | 9-6-2053 | 17,600,000 | 18,356,378 | ||
Nippon Life Insurance Co. (5 Year Treasury Constant Maturity+2.60%)144A± | 2.90 | 9-16-2051 | 2,000,000 | 1,645,061 | ||
RenaissanceRe Holdings Ltd. | 5.75 | 6-5-2033 | 7,910,000 | 7,974,019 |
Interest rate | Maturity date | Principal | Value | |||
Insurance(continued) | ||||||
Sompo International Holdings Ltd. | 7.00 % | 7-15-2034 | $ | 1,330,000 | $1,423,027 | |
Swiss Re Finance Luxembourg SA (5 Year Treasury Constant Maturity+3.58%)144A± | 5.00 | 4-2-2049 | 3,900,000 | 3,780,878 | ||
33,179,363 | ||||||
Private equity: 0.41% | ||||||
Brookfield Finance, Inc. | 3.63 | 2-15-2052 | 3,625,000 | 2,579,240 | ||
Brookfield Finance, Inc.%% | 5.97 | 3-4-2054 | 4,020,000 | 4,051,567 | ||
Brookfield Finance, Inc. | 6.35 | 1-5-2034 | 16,015,000 | 16,828,257 | ||
23,459,064 | ||||||
Savings & loans: 0.20% | ||||||
Nationwide Building Society144A | 4.85 | 7-27-2027 | 11,630,000 | 11,491,460 | ||
Government securities: 0.16% | ||||||
Multi-national: 0.16% | ||||||
African Export-Import Bank144A | 3.80 | 5-17-2031 | 2,600,000 | 2,185,763 | ||
Banque Ouest Africaine de Developpement144A | 5.00 | 7-27-2027 | 7,760,000 | 7,162,480 | ||
9,348,243 | ||||||
Industrial: 0.15% | ||||||
Engineering & construction: 0.06% | ||||||
Cellnex Finance Co. SA144A | 3.88 | 7-7-2041 | 4,120,000 | 3,206,102 | ||
Trucking & leasing: 0.09% | ||||||
SMBC Aviation Capital Finance DAC144A | 5.45 | 5-3-2028 | 5,245,000 | 5,234,375 | ||
Technology: 0.25% | ||||||
Semiconductors: 0.25% | ||||||
Renesas Electronics Corp.144A | 2.17 | 11-25-2026 | 15,635,000 | 14,197,573 | ||
Utilities: 0.24% | ||||||
Electric: 0.24% | ||||||
Comision Federal de Electricidad144A | 3.35 | 2-9-2031 | 10,565,000 | 8,907,696 | ||
Comision Federal de Electricidad144A | 3.88 | 7-26-2033 | 5,985,000 | 4,904,669 | ||
13,812,365 | ||||||
Total yankee corporate bonds and notes (Cost $476,756,830) | 457,854,609 | |||||
Yankee government bonds: 1.54% | ||||||
Argentina: 0.04% | ||||||
Argentinaøø | 0.75 | 7-9-2030 | 1,703,981 | 781,701 | ||
Argentina | 1.00 | 7-9-2029 | 206,310 | 95,501 | ||
Argentinaøø | 3.63 | 7-9-2035 | 1,817,118 | 673,487 | ||
Provincia de Cordoba144A | 6.88 | 12-10-2025 | 1,187,564 | 997,554 | ||
2,548,243 |
Interest rate | Maturity date | Principal | Value | |||
Bermuda: 0.15% | ||||||
Bermuda144A | 3.38 % | 8-20-2050 | $ | 7,024,000 | $4,670,960 | |
Bermuda144A | 5.00 | 7-15-2032 | 4,320,000 | 4,142,016 | ||
8,812,976 | ||||||
Colombia: 0.13% | ||||||
Colombia | 3.13 | 4-15-2031 | 4,800,000 | 3,783,758 | ||
Colombia | 8.00 | 11-14-2035 | 3,500,000 | 3,629,961 | ||
7,413,719 | ||||||
Dominican Republic: 0.06% | ||||||
Dominican Republic144A | 4.50 | 1-30-2030 | 1,000,000 | 906,313 | ||
Dominican Republic144A | 4.88 | 9-23-2032 | 1,800,000 | 1,598,823 | ||
Dominican Republic144A | 5.50 | 2-22-2029 | 800,000 | 772,656 | ||
3,277,792 | ||||||
Ivory Coast: 0.17% | ||||||
Ivory Coast144A | 8.25 | 1-30-2037 | 9,720,000 | 9,488,178 | ||
Kenya: 0.12% | ||||||
Kenya144A | 7.00 | 5-22-2027 | 5,000,000 | 4,780,690 | ||
Kenya144A | 8.25 | 2-28-2048 | 2,500,000 | 2,034,900 | ||
6,815,590 | ||||||
Mexico: 0.28% | ||||||
Mexico | 6.00 | 5-7-2036 | 4,255,000 | 4,234,689 | ||
Mexico | 6.35 | 2-9-2035 | 11,700,000 | 11,967,461 | ||
16,202,150 | ||||||
Oman: 0.03% | ||||||
Oman144A | 6.25 | 1-25-2031 | 1,700,000 | 1,738,250 | ||
Panama: 0.34% | ||||||
Panama | 4.50 | 1-19-2063 | 17,085,000 | 10,580,963 | ||
Panama | 6.40 | 2-14-2035 | 9,785,000 | 9,029,547 | ||
19,610,510 | ||||||
Paraguay: 0.07% | ||||||
Paraguay144A | 5.40 | 3-30-2050 | 4,550,000 | 3,901,625 | ||
Peru: 0.02% | ||||||
Corp. Financiera de Desarrollo SA (3 Month LIBOR+5.61%)144A± | 5.25 | 7-15-2029 | 1,185,000 | 1,170,188 | ||
Romania: 0.11% | ||||||
Romanian144A | 6.38 | 1-30-2034 | 6,410,000 | 6,364,745 | ||
Senegal: 0.01% | ||||||
Senegal144A | 6.25 | 5-23-2033 | 750,000 | 622,164 |
Interest rate | Maturity date | Principal | Value | |||
Ukraine: 0.01% | ||||||
Ukraine144A† | 7.38 % | 9-25-2034 | $ | 1,200,000 | $308,419 | |
Total yankee government bonds (Cost $94,327,334) | 88,274,549 |
Yield | Shares | |||||
Short-term investments: 5.54% | ||||||
Investment companies: 3.81% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 218,842,596 | 218,842,596 |
Principal | ||||||
U.S. Treasury securities: 1.73% | ||||||
U.S. Treasury Bills☼ | 5.10 | 3-26-2024 | $ | 100,000,000 | 99,632,639 | |
Total short-term investments (Cost $318,475,478) | 318,475,235 | |||||
Total investments in securities (Cost $6,133,165,217) | 104.27 % | 5,989,872,485 | ||||
Other assets and liabilities, net | (4.27 ) | (245,377,674 ) | ||||
Total net assets | 100.00 % | $5,744,494,811 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
‡ | Security is valued using significant unobservable inputs. |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
† | Non-income-earning security |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
øø | The interest rate is determined and reset by the issuer periodically depending upon the terms of the security. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
AUD | Australian dollar |
BRL | Brazilian real |
CAB | Capital appreciation bond |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
GO | General obligation |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
NPFGC | National Public Finance Guarantee Corporation |
REIT | Real estate investment trust |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
SBA | Small Business Authority |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $237,608,541 | $1,605,770,149 | $(1,624,536,094 ) | $0 | $0 | $218,842,596 | 218,842,596 | $3,624,542 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 12,334,950 | AUD | 18,000,000 | Morgan Stanley, Inc. | 4-2-2024 | $624,272 | $0 |
USD | 8,507,967 | AUD | 13,000,000 | Morgan Stanley, Inc. | 4-2-2024 | 50,255 | 0 |
USD | 282,347,960 | EUR | 257,267,000 | Citibank N.A. | 4-2-2024 | 3,965,966 | 0 |
USD | 16,864,038 | EUR | 15,300,000 | Citibank N.A. | 4-2-2024 | 308,302 | 0 |
USD | 15,376,480 | EUR | 14,000,000 | Citibank N.A. | 4-2-2024 | 227,441 | 0 |
USD | 12,926,015 | EUR | 11,800,000 | Citibank N.A. | 4-2-2024 | 157,539 | 0 |
USD | 7,594,121 | EUR | 6,900,000 | Citibank N.A. | 4-2-2024 | 127,808 | 0 |
USD | 2,034,379 | EUR | 1,850,000 | Citibank N.A. | 4-2-2024 | 32,542 | 0 |
USD | 8,491,704 | EUR | 7,800,000 | Citibank N.A. | 4-2-2024 | 51,525 | 0 |
EUR | 5,600,000 | USD | 6,093,589 | Citibank N.A. | 4-2-2024 | 0 | (33,973 ) |
USD | 14,140,392 | EUR | 13,100,000 | Citibank N.A. | 4-2-2024 | 0 | (34,781 ) |
USD | 16,724,965 | EUR | 15,500,000 | Citibank N.A. | 4-2-2024 | 0 | (47,186 ) |
USD | 42,549,670 | GBP | 33,620,000 | Citibank N.A. | 4-2-2024 | 103,730 | 0 |
JPY | 695,000,000 | USD | 4,914,695 | Citibank N.A. | 4-2-2024 | 0 | (257,736 ) |
USD | 10,515,021 | MYR | 49,000,000 | Morgan Stanley, Inc. | 4-2-2024 | 169,548 | 0 |
$5,818,928 | $(373,676 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
10-Year U.S. Treasury Notes | 290 | 6-18-2024 | $32,015,545 | $32,026,875 | $11,330 | $0 |
Ultra Long Term U.S. Treasury Bond | 137 | 6-18-2024 | 17,536,247 | 17,518,875 | 0 | (17,372 ) |
2-Year U.S. Treasury Notes | 5,573 | 6-28-2024 | 1,140,601,734 | 1,141,071,750 | 470,016 | 0 |
5-Year U.S. Treasury Notes | 5,158 | 6-28-2024 | 550,523,284 | 551,422,437 | 899,153 | 0 |
Short | ||||||
10-Year Euro BUND Index | (233 ) | 3-7-2024 | (33,709,113 ) | (33,404,756 ) | 304,357 | 0 |
2-Year Euro SCHATZ | (66 ) | 3-7-2024 | (7,568,663 ) | (7,500,640 ) | 68,023 | 0 |
5-Year Euro-BOBL Futures | (197 ) | 3-7-2024 | (25,070,738 ) | (24,745,272 ) | 325,466 | 0 |
Ultra 10-Year U.S. Treasury Notes | (2,063 ) | 6-18-2024 | (234,966,027 ) | (235,536,578 ) | 0 | (570,551 ) |
$2,078,345 | $(587,923 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $5,914,322,621) | $5,771,029,889 |
Investments in affiliated securities, at value (cost $218,842,596) | 218,842,596 |
Cash | 15,364,458 |
Cash at broker segregated for futures contracts | 16,166,000 |
Foreign currency, at value (cost $893,934) | 890,857 |
Receivable for Fund shares sold | 64,722,244 |
Receivable for investments sold | 58,974,126 |
Receivable for interest | 42,993,181 |
Unrealized gains on forward foreign currency contracts | 5,818,928 |
Receivable for daily variation margin on open futures contracts | 214,812 |
Principal paydown receivable | 27 |
Prepaid expenses and other assets | 435,566 |
Total assets | 6,195,452,684 |
Liabilities | |
Payable for when-issued transactions | 319,788,477 |
Payable for investments purchased | 121,425,400 |
Payable for Fund shares redeemed | 4,403,797 |
Cash due to broker | 2,690,000 |
Management fee payable | 1,099,315 |
Payable for daily variation margin on open futures contracts | 635,746 |
Unrealized losses on forward foreign currency contracts | 373,676 |
Administration fees payable | 358,412 |
Distribution fee payable | 24,100 |
Trustees’ fees and expenses payable | 910 |
Accrued expenses and other liabilities | 158,040 |
Total liabilities | 450,957,873 |
Total net assets | $5,744,494,811 |
Net assets consist of | |
Paid-in capital | $6,187,659,278 |
Total distributable loss | (443,164,467 ) |
Total net assets | $5,744,494,811 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $340,506,712 |
Shares outstanding–Class A1 | 30,609,749 |
Net asset value per share–Class A | $11.12 |
Maximum offering price per share – Class A2 | $11.64 |
Net assets–Class C | $40,836,356 |
Shares outstanding–Class C1 | 3,672,586 |
Net asset value per share–Class C | $11.12 |
Net assets–Class R6 | $431,230,820 |
Shares outstanding–Class R61 | 38,700,379 |
Net asset value per share–Class R6 | $11.14 |
Net assets–Administrator Class | $94,021,910 |
Shares outstanding–Administrator Class1 | 8,465,438 |
Net asset value per share–Administrator Class | $11.11 |
Net assets–Institutional Class | $4,837,899,013 |
Shares outstanding–Institutional Class1 | 434,357,857 |
Net asset value per share–Institutional Class | $11.14 |
Investment income | |
Interest | $121,592,140 |
Income from affiliated securities | 3,624,542 |
Dividends | 713,550 |
Total investment income | 125,930,232 |
Expenses | |
Management fee | 9,533,983 |
Administration fees | |
Class A | 225,151 |
Class C | 28,315 |
Class R6 | 44,785 |
Administrator Class | 54,203 |
Institutional Class | 1,622,222 |
Shareholder servicing fees | |
Class A | 375,250 |
Class C | 47,192 |
Administrator Class | 135,508 |
Distribution fee | |
Class C | 141,575 |
Custody and accounting fees | 78,054 |
Professional fees | 53,764 |
Registration fees | 93,681 |
Shareholder report expenses | 109,581 |
Trustees’ fees and expenses | 11,935 |
Other fees and expenses | 33,061 |
Total expenses | 12,588,260 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (3,431,886 ) |
Administrator Class | (12,361 ) |
Net expenses | 9,144,013 |
Net investment income | 116,786,219 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | $(51,299,258 ) |
Foreign currency and foreign currency translations | (529,219 ) |
Forward foreign currency contracts | (5,541,493 ) |
Futures contracts | (961,136 ) |
Swap contracts | 853,145 |
Net realized losses on investments | (57,477,961 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 78,092,998 |
Foreign currency and foreign currency translations | (25,060 ) |
Forward foreign currency contracts | 9,997,109 |
Futures contracts | (4,191,999 ) |
Swap contracts | 84,038 |
Net change in unrealized gains (losses) on investments | 83,957,086 |
Net realized and unrealized gains (losses) on investments | 26,479,125 |
Net increase in net assets resulting from operations | $143,265,344 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $116,786,219 | $140,746,842 | ||
Net realized losses on investments | (57,477,961 ) | (141,480,414 ) | ||
Net change in unrealized gains (losses) on investments | 83,957,086 | (9,275,266 ) | ||
Net increase (decrease) in net assets resulting from operations | 143,265,344 | (10,008,838 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (6,987,516 ) | (9,655,909 ) | ||
Class C | (740,708 ) | (1,016,439 ) | ||
Class R6 | (7,551,690 ) | (7,614,038 ) | ||
Administrator Class | (2,439,404 ) | (5,184,520 ) | ||
Institutional Class | (101,902,931 ) | (114,975,472 ) | ||
Total distributions to shareholders | (119,622,249 ) | (138,446,378 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 6,821,241 | 75,687,626 | 9,735,984 | 109,105,066 |
Class C | 820,477 | 9,076,162 | 1,167,020 | 13,078,492 |
Class R6 | 18,401,889 | 204,042,038 | 14,067,274 | 157,780,382 |
Administrator Class | 1,452,510 | 16,082,190 | 3,201,568 | 35,741,678 |
Institutional Class | 168,533,235 | 1,865,665,186 | 257,623,143 | 2,903,718,646 |
2,170,553,202 | 3,219,424,264 | |||
Reinvestment of distributions | ||||
Class A | 568,227 | 6,221,871 | 756,990 | 8,452,366 |
Class C | 64,426 | 704,667 | 85,548 | 955,716 |
Class R6 | 622,146 | 6,829,440 | 614,857 | 6,876,320 |
Administrator Class | 224,096 | 2,436,867 | 464,735 | 5,180,212 |
Institutional Class | 8,367,077 | 91,857,030 | 9,386,353 | 104,988,841 |
108,049,875 | 126,453,455 | |||
Payment for shares redeemed | ||||
Class A | (3,486,189 ) | (38,309,199 ) | (5,448,656 ) | (61,017,668 ) |
Class C | (543,550 ) | (5,982,652 ) | (767,269 ) | (8,596,609 ) |
Class R6 | (3,506,285 ) | (38,711,215 ) | (3,743,578 ) | (41,994,685 ) |
Administrator Class | (5,670,605 ) | (61,713,011 ) | (3,402,271 ) | (37,773,325 ) |
Institutional Class | (72,716,079 ) | (798,001,900 ) | (106,553,605 ) | (1,194,429,877 ) |
(942,717,977 ) | (1,343,812,164 ) | |||
Net increase in net assets resulting from capital share transactions | 1,335,885,100 | 2,002,065,555 | ||
Total increase in net assets | 1,359,528,195 | 1,853,610,339 | ||
Net assets | ||||
Beginning of period | 4,384,966,616 | 2,531,356,277 | ||
End of period | $5,744,494,811 | $4,384,966,616 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.07 | $11.57 | $13.52 | $13.77 | $13.09 | $12.27 |
Net investment income | 0.25 1 | 0.43 1 | 0.26 | 0.24 | 0.34 | 0.37 |
Net realized and unrealized gains (losses) on investments | 0.05 | (0.51 ) | (1.88 ) | 0.16 | 0.77 | 0.80 |
Total from investment operations | 0.30 | (0.08 ) | (1.62 ) | 0.40 | 1.11 | 1.17 |
Distributions to shareholders from | ||||||
Net investment income | (0.25 ) | (0.42 ) | (0.22 ) | (0.27 ) | (0.36 ) | (0.35 ) |
Net realized gains | 0.00 | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.25 ) | (0.42 ) | (0.33 ) | (0.65 ) | (0.43 ) | (0.35 ) |
Net asset value, end of period | $11.12 | $11.07 | $11.57 | $13.52 | $13.77 | $13.09 |
Total return2 | 2.81 % | (0.65 )% | (12.21 )% | 3.00 % | 8.72 % | 9.74 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.81 % | 0.84 % | 0.85 % | 0.85 % | 0.88 % | 0.91 % |
Net expenses | 0.67 % | 0.68 % | 0.69 % | 0.72 % | 0.72 % | 0.73 % |
Net investment income | 4.57 % | 3.84 % | 2.03 % | 1.90 % | 2.60 % | 2.99 % |
Supplemental data | ||||||
Portfolio turnover rate | 79 % | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $340,507 | $295,536 | $250,553 | $308,270 | $264,366 | $245,879 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.06 | $11.56 | $13.51 | $13.77 | $13.09 | $12.26 |
Net investment income | 0.21 1 | 0.34 1 | 0.16 | 0.14 | 0.23 | 0.28 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.51 ) | (1.88 ) | 0.15 | 0.78 | 0.81 |
Total from investment operations | 0.27 | (0.17 ) | (1.72 ) | 0.29 | 1.01 | 1.09 |
Distributions to shareholders from | ||||||
Net investment income | (0.21 ) | (0.33 ) | (0.12 ) | (0.17 ) | (0.26 ) | (0.26 ) |
Net realized gains | 0.00 | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.21 ) | (0.33 ) | (0.23 ) | (0.55 ) | (0.33 ) | (0.26 ) |
Net asset value, end of period | $11.12 | $11.06 | $11.56 | $13.51 | $13.77 | $13.09 |
Total return2 | 2.52 % | (1.44 )% | (12.89 )% | 2.16 % | 7.85 % | 8.91 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.56 % | 1.59 % | 1.60 % | 1.60 % | 1.63 % | 1.66 % |
Net expenses | 1.42 % | 1.43 % | 1.45 % | 1.48 % | 1.48 % | 1.48 % |
Net investment income | 3.82 % | 3.08 % | 1.28 % | 1.13 % | 1.85 % | 2.25 % |
Supplemental data | ||||||
Portfolio turnover rate | 79 % | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $40,836 | $36,849 | $32,889 | $39,628 | $28,342 | $18,195 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.08 | $11.58 | $13.54 | $13.79 | $13.11 | $12.28 |
Net investment income | 0.27 1 | 0.48 1 | 0.30 | 0.30 | 0.39 1 | 0.41 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.52 ) | (1.89 ) | 0.15 | 0.77 | 0.82 |
Total from investment operations | 0.33 | (0.04 ) | (1.59 ) | 0.45 | 1.16 | 1.23 |
Distributions to shareholders from | ||||||
Net investment income | (0.27 ) | (0.46 ) | (0.26 ) | (0.32 ) | (0.41 ) | (0.40 ) |
Net realized gains | 0.00 | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.27 ) | (0.46 ) | (0.37 ) | (0.70 ) | (0.48 ) | (0.40 ) |
Net asset value, end of period | $11.14 | $11.08 | $11.58 | $13.54 | $13.79 | $13.11 |
Total return2 | 3.08 % | (0.27 )% | (11.95 )% | 3.37 % | 9.10 % | 10.14 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.44 % | 0.46 % | 0.47 % | 0.47 % | 0.50 % | 0.53 % |
Net expenses | 0.30 % | 0.30 % | 0.31 % | 0.35 % | 0.35 % | 0.35 % |
Net investment income | 4.95 % | 4.25 % | 2.50 % | 2.28 % | 2.98 % | 3.36 % |
Supplemental data | ||||||
Portfolio turnover rate | 79 % | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $431,231 | $256,948 | $141,833 | $89,048 | $83,260 | $62,522 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.05 | $11.54 | $13.49 | $13.75 | $13.07 | $12.25 |
Net investment income | 0.25 1 | 0.44 1 | 0.26 | 0.26 | 0.35 | 0.38 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.50 ) | (1.87 ) | 0.14 | 0.77 | 0.81 |
Total from investment operations | 0.31 | (0.06 ) | (1.61 ) | 0.40 | 1.12 | 1.19 |
Distributions to shareholders from | ||||||
Net investment income | (0.25 ) | (0.43 ) | (0.23 ) | (0.28 ) | (0.37 ) | (0.37 ) |
Net realized gains | 0.00 | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.25 ) | (0.43 ) | (0.34 ) | (0.66 ) | (0.44 ) | (0.37 ) |
Net asset value, end of period | $11.11 | $11.05 | $11.54 | $13.49 | $13.75 | $13.07 |
Total return2 | 2.91 % | (0.50 )% | (12.18 )% | 3.04 % | 8.85 % | 9.88 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.76 % | 0.78 % | 0.79 % | 0.79 % | 0.82 % | 0.85 % |
Net expenses | 0.60 % | 0.60 % | 0.61 % | 0.62 % | 0.62 % | 0.62 % |
Net investment income | 4.64 % | 3.89 % | 2.09 % | 1.95 % | 2.71 % | 3.07 % |
Supplemental data | ||||||
Portfolio turnover rate | 79 % | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $94,022 | $137,624 | $140,779 | $278,294 | $80,099 | $57,316 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.08 | $11.58 | $13.53 | $13.79 | $13.11 | $12.28 |
Net investment income | 0.27 1 | 0.47 1 | 0.29 | 0.29 | 0.38 | 0.39 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.51 ) | (1.87 ) | 0.14 | 0.77 | 0.83 |
Total from investment operations | 0.33 | (0.04 ) | (1.58 ) | 0.43 | 1.15 | 1.22 |
Distributions to shareholders from | ||||||
Net investment income | (0.27 ) | (0.46 ) | (0.26 ) | (0.31 ) | (0.40 ) | (0.39 ) |
Net realized gains | 0.00 | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.27 ) | (0.46 ) | (0.37 ) | (0.69 ) | (0.47 ) | (0.39 ) |
Net asset value, end of period | $11.14 | $11.08 | $11.58 | $13.53 | $13.79 | $13.11 |
Total return2 | 3.06 % | (0.32 )% | (11.92 )% | 3.24 % | 9.05 % | 10.17 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.49 % | 0.51 % | 0.52 % | 0.52 % | 0.55 % | 0.58 % |
Net expenses | 0.35 % | 0.35 % | 0.37 % | 0.40 % | 0.40 % | 0.40 % |
Net investment income | 4.90 % | 4.21 % | 2.40 % | 2.19 % | 2.92 % | 3.29 % |
Supplemental data | ||||||
Portfolio turnover rate | 79 % | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $4,837,899 | $3,658,011 | $1,965,302 | $1,774,619 | $836,162 | $524,743 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
The Fund may enter into credit default swaps for hedging or speculative purposes to provide or receive a measure of protection against default on a referenced entity, obligation or index or a basket of single-name issuers or traded indexes. An index credit default swap references all the names in the index, and if a credit event is triggered, the credit event is settled based on that name’s weight in the index. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the protection seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring).
Gross unrealized gains | $56,083,149 |
Gross unrealized losses | (194,694,680 ) |
Net unrealized losses | $(138,611,531 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $1,715,429,324 | $0 | $1,715,429,324 |
Asset-backed securities | 0 | 536,309,890 | 19,944,967 | 556,254,857 |
Common stocks | ||||
Consumer discretionary | 449,241 | 0 | 0 | 449,241 |
Corporate bonds and notes | 0 | 1,204,452,012 | 0 | 1,204,452,012 |
Foreign corporate bonds and notes | 0 | 249,716,461 | 0 | 249,716,461 |
Foreign government bonds | 0 | 202,561,845 | 0 | 202,561,845 |
Investment companies | 20,564,112 | 0 | 0 | 20,564,112 |
Loans | 0 | 24,095,447 | 0 | 24,095,447 |
Municipal obligations | 0 | 5,613,107 | 0 | 5,613,107 |
Non-agency mortgage-backed securities | 0 | 284,779,140 | 0 | 284,779,140 |
U.S. Treasury securities | 848,085,983 | 13,266,563 | 0 | 861,352,546 |
Yankee corporate bonds and notes | 0 | 457,854,609 | 0 | 457,854,609 |
Yankee government bonds | 0 | 88,274,549 | 0 | 88,274,549 |
Short-term investments | ||||
Investment companies | 218,842,596 | 0 | 0 | 218,842,596 |
U.S. Treasury securities | 99,632,639 | 0 | 0 | 99,632,639 |
1,187,574,571 | 4,782,352,947 | 19,944,967 | 5,989,872,485 | |
Forward foreign currency contracts | 0 | 5,818,928 | 0 | 5,818,928 |
Futures contracts | 2,078,345 | 0 | 0 | 2,078,345 |
Total assets | $1,189,652,916 | $4,788,171,875 | $19,944,967 | $5,997,769,758 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $373,676 | $0 | $373,676 |
Futures contracts | 587,923 | 0 | 0 | 587,923 |
Total liabilities | $587,923 | $373,676 | $0 | $961,599 |
Average daily net assets | Management fee |
First $500 million | 0.450 % |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.67 % |
Class C | 1.42 |
Class R6 | 0.30 |
Administrator Class | 0.60 |
Institutional Class | 0.35 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$3,720,780,661 | $1,461,578,499 | $3,043,851,646 | $711,623,104 |
Forward foreign currency contracts | |
Average contract amounts to buy | $32,581,104 |
Average contract amounts to sell | 424,034,167 |
Futures contracts | |
Average notional balance on long futures | $1,524,003,949 |
Average notional balance on short futures | 157,855,843 |
Swap contracts | |
Average notional balance | $6,247,429 |
Interest rate risk | Foreign currency risk | Total | |
Asset derivatives | |||
Forward foreign currency contracts | $0 | $5,818,928 | $5,818,928 |
Futures contracts | 2,078,345 * | 0 | 2,078,345 |
$2,078,345 | $5,818,928 | $7,897,273 | |
Liability derivatives | |||
Forward foreign currency contracts | $0 | $373,676 | $373,676 |
Futures contracts | 587,923 * | 0 | 587,923 |
$587,923 | $373,676 | $961,599 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of February 29, 2024 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Credit risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $(5,541,493 ) | $(5,541,493 ) |
Futures contracts | (961,136 ) | 0 | 0 | (961,136 ) |
Swap contracts | 0 | 853,145 | 0 | 853,145 |
$(961,136 ) | $853,145 | $(5,541,493 ) | $(5,649,484 ) | |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $9,997,109 | $9,997,109 |
Futures contracts | (4,191,999 ) | 0 | 0 | (4,191,999 ) |
Swap contracts | 0 | 84,038 | 0 | 84,038 |
$(4,191,999 ) | $84,038 | $9,997,109 | $5,889,148 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank N.A. | $4,974,853 | $(373,676 ) | $0 | $4,601,177 |
Morgan Stanley, Inc. | 844,075 | 0 | 0 | 844,075 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank N.A. | $373,676 | $(373,676 ) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804185img8bebadb21.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804185img64725e975.gif)
SAR0059 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804385imge565884c1.jpg)
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||
Expense ratios (%) | |||||
Inception date | 1 year | Since inception | Gross | Net1 | |
Allspring Managed Account CoreBuilder® Shares - Series CP (WFCPX) | 6-2-2021 | 5.32 | -2.30 | 0.69 | 0.00 |
Bloomberg U.S. Aggregate Bond Index2 | – | 3.33 | -3.38 * | – | – |
* | Based on the Fund’s inception date. |
1 | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
2 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
U.S. Treasury Notes, 4.00%, 1-31-2029 | 5.62 |
GNMA, 6.00%, 3-20-2054 | 4.57 |
U.S. Treasury Notes, 4.25%, 1-31-2026 | 3.65 |
U.S. Treasury Notes, 4.38%, 11-30-2028 | 2.16 |
U.S. Treasury Notes, 3.88%, 1-15-2026 | 2.01 |
FNMA, 5.50%, 3-13-2054 | 1.98 |
GNMA, 3.00%, 3-20-2054 | 1.97 |
U.S. Treasury Notes, 4.00%, 2-15-2034 | 1.94 |
Spain, 0.00%, 1-31-2028 | 1.51 |
U.K. Gilts, 3.25%, 1-31-2033 | 1.37 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804385img99a963f32.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804385img25f43a3c3.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Actual | $1,000.00 | $1,037.13 | $0.00 * | 0.00 %* |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.86 | $0.00 * | 0.00 %* |
1 | Expenses paid is equal to the annualized net expense ratio multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
* | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 13.83% | ||||||
FHLB | 5.63 % | 3-14-2036 | $ | 500,000 | $546,234 | |
FNMA%% | 2.00 | 3-13-2054 | 315,000 | 247,484 | ||
FNMA%% | 4.00 | 3-18-2039 | 265,000 | 255,216 | ||
FNMA%% | 5.00 | 3-1-2054 | 650,000 | 630,297 | ||
FNMA%% | 5.50 | 3-13-2054 | 2,265,000 | 2,240,476 | ||
FNMA | 6.21 | 8-6-2038 | 95,000 | 110,723 | ||
GNMA%% | 2.00 | 3-20-2054 | 455,000 | 370,274 | ||
GNMA%% | 2.50 | 3-20-2054 | 1,030,000 | 871,664 | ||
GNMA%% | 3.00 | 3-20-2054 | 2,545,000 | 2,231,006 | ||
GNMA%% | 4.00 | 3-20-2054 | 250,000 | 232,650 | ||
GNMA%% | 5.00 | 3-20-2054 | 430,000 | 419,983 | ||
GNMA%% | 5.50 | 3-20-2054 | 510,000 | 506,593 | ||
GNMA%% | 6.00 | 3-20-2054 | 5,150,000 | 5,175,112 | ||
GNMA%% | 6.50 | 3-20-2054 | 245,000 | 248,323 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 1,310,000 | 985,588 | ||
TVA | 3.50 | 12-15-2042 | 360,000 | 297,413 | ||
TVA | 4.88 | 1-15-2048 | 300,000 | 298,170 | ||
Total agency securities (Cost $15,643,856) | 15,667,206 | |||||
Asset-backed securities: 21.14% | ||||||
ACHM Trust Series 2023-HE2 Class A144A±± | 7.50 | 10-25-2038 | 406,642 | 415,012 | ||
Aligned Data Centers Issuer LLC Series 2021-1A Class A2144A | 1.94 | 8-15-2046 | 400,000 | 361,496 | ||
Auburn CLO Ltd. Series 2017-1A Class A2A (U.S. SOFR 3 Month+1.88%)144A± | 7.20 | 10-20-2030 | 250,000 | 250,276 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2023-6A Class A144A | 5.81 | 12-20-2029 | 260,000 | 264,714 | ||
BHG Securitization Trust Series 2021-A Class B144A | 2.79 | 11-17-2033 | 625,000 | 565,678 | ||
Blue Bridge Funding LLC Series 2023-1A Class A144A | 7.37 | 11-15-2030 | 92,560 | 92,674 | ||
Blue Bridge Funding LLC Series 2023-1A Class B144A | 9.48 | 11-15-2030 | 100,000 | 99,996 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 1,188,825 | 1,120,326 | ||
Cajun Global LLC Series 2021-1 Class A2144A | 3.93 | 11-20-2051 | 87,300 | 78,892 | ||
Carlyle U.S. CLO Ltd. Series 2017-2A Class A2R (U.S. SOFR 3 Month+1.86%)144A± | 7.18 | 7-20-2031 | 250,000 | 250,335 | ||
CFMT LLC Series 2021-HB7 Class M2144A±± | 2.68 | 10-27-2031 | 250,000 | 235,634 | ||
Cologix Data Centers U.S. Issuer LLC Series 2021-1A Class B144A | 3.79 | 12-26-2051 | 1,350,000 | 1,213,198 | ||
DataBank Issuer LLC Series 2021-1A Class B144A | 2.65 | 2-27-2051 | 250,000 | 222,790 | ||
DataBank Issuer LLC Series 2024-1A Class A2144A | 5.30 | 1-26-2054 | 620,000 | 580,633 | ||
DB Master Finance LLC Series 2021-1A Class A23144A | 2.79 | 11-20-2051 | 298,137 | 248,611 | ||
Driven Brands Funding, LLC Series 2021-1A Class A2144A | 2.79 | 10-20-2051 | 1,016,600 | 881,802 | ||
Dryden 78 CLO Ltd. Series 2020-78A Class A (U.S. SOFR 3 Month+1.44%)144A± | 6.76 | 4-17-2033 | 400,000 | 400,473 | ||
ECMC Group Student Loan Trust Series 2018-1A Class A (30 Day Average U.S. SOFR+0.86%)144A± | 6.19 | 2-27-2068 | 178,728 | 176,570 | ||
FIGRE Trust Series 2023-HE1 Class A144A | 5.85 | 3-25-2053 | 159,603 | 160,222 | ||
FIGRE Trust Series 2023-HE3 Class A144A±± | 6.44 | 1-25-2042 | 529,783 | 539,425 | ||
Five Guys Holdings, Inc. Series 2023-1A Class A2144A | 7.55 | 1-26-2054 | 50,000 | 51,845 | ||
Flexential Issuer Series 2021-1A Class A2144A | 3.25 | 11-27-2051 | 1,110,000 | 1,003,486 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
FREED Mortgage Trust Series 2022-HE1 Class B144A | 7.00 % | 10-25-2037 | $ | 105,000 | $103,497 | |
Golub Capital Partners ABS Funding Series 2024-1A Class A2144A♦%% | 6.89 | 1-25-2034 | 270,000 | 270,000 | ||
Gracie Point International Funding Series 2023-1A Class B (90 Day Average U.S. SOFR+2.60%)144A± | 7.96 | 9-1-2026 | 275,000 | 275,942 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class B144A | 1.56 | 12-26-2025 | 395,000 | 383,631 | ||
Home Partners of America Trust Series 2021-1 Class D144A | 2.48 | 9-17-2041 | 409,369 | 339,786 | ||
Madison Park Funding XLVI Ltd. Series 2020-46A Class B1R (U.S. SOFR 3 Month+1.91%)144A± | 7.23 | 10-15-2034 | 500,000 | 500,093 | ||
MF1 Ltd. Series 2021-FL7 Class A (U.S. SOFR 1 Month+1.19%)144A± | 6.51 | 10-16-2036 | 386,617 | 383,354 | ||
MF1 Ltd. Series 2022-FL8 Class C (U.S. SOFR 1 Month+2.20%)144A± | 7.52 | 2-19-2037 | 250,000 | 230,075 | ||
MNR ABS Issuer I LLC‡ | 8.12 | 12-15-2038 | 425,397 | 429,141 | ||
Neuberger Berman Loan Advisers CLO 25 Ltd. Series 2017-25A Class BR (U.S. SOFR 3 Month+1.61%)144A± | 6.91 | 10-18-2029 | 250,000 | 249,490 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3144A | 2.80 | 1-20-2051 | 249,896 | 219,058 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.26%)144A± | 6.58 | 3-17-2030 | 202,839 | 202,869 | ||
Octane Receivables Trust Series 2023-1A Class A144A | 5.87 | 5-21-2029 | 57,427 | 57,430 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 300,000 | 296,777 | ||
OneMain Financial Issuance Trust Series 2018-2A Class A144A | 3.57 | 3-14-2033 | 72,241 | 71,856 | ||
Oxford Finance Credit Fund III LP Series 2024-A Class A2144A | 6.68 | 1-14-2032 | 325,000 | 322,889 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A144A | 1.22 | 1-16-2029 | 268,680 | 261,703 | ||
Pagaya AI Debt Selection Trust Series 2023-6 Class B144A | 7.46 | 6-16-2031 | 999,744 | 1,007,913 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 300,000 | 298,081 | ||
PFS Financing Corp. Series 2024-B Class A144A | 4.95 | 2-15-2029 | 335,000 | 333,686 | ||
RCKT Mortgage Trust Series 2023-CES3 Class A1A144A±± | 7.11 | 11-25-2043 | 537,275 | 544,866 | ||
Retained Vantage Data Centers Issuer LLC Series 2023-1A Class A2A144A | 5.00 | 9-15-2048 | 260,000 | 244,312 | ||
Saluda Grade Alternative Mortgage Trust Series 2023-FIG3 Class A144A±± | 7.07 | 8-25-2053 | 1,300,800 | 1,323,323 | ||
Service Experts Issuer LLC Series 2021-1A Class B144A | 3.28 | 2-2-2032 | 330,000 | 282,703 | ||
ServiceMaster Funding LLC Series 2020-1 Class A2II144A | 3.34 | 1-30-2051 | 118,175 | 100,332 | ||
Sesac Finance LLC Series 2024-1 Class A2144A | 6.42 | 1-25-2054 | 450,000 | 450,323 | ||
Taco Bell Funding LLC Series 2021-1A Class A23144A | 2.54 | 8-25-2051 | 505,987 | 415,113 | ||
THL Credit Wind River CLO Ltd. Series 2018-2A Class A2 (U.S. SOFR 3 Month+1.71%)144A± | 7.03 | 7-15-2030 | 409,000 | 409,800 | ||
Towd Point HE Trust Series 2023-1 Class A1A144A | 6.88 | 2-25-2063 | 388,737 | 391,287 | ||
Towd Point Mortgage Trust Series 2024-CES1 Class A2144A±± | 6.44 | 1-25-2064 | 1,370,000 | 1,375,206 | ||
TRTX Issuer Ltd. Series 2022-FL5 Class A (30 Day Average U.S. SOFR+1.65%)144A± | 6.97 | 2-15-2039 | 1,000,000 | 987,500 | ||
Wendy’s Funding LLC Series 2021-1A Class A2II144A | 2.78 | 6-15-2051 | 243,750 | 204,165 | ||
Westlake Automobile Receivables Trust Series 2021-1A Class C144A | 0.95 | 3-16-2026 | 117,746 | 117,100 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
Wingstop Funding LLC Series 2020-1A Class A2144A | 2.84 % | 12-5-2050 | $ | 246,250 | $222,554 | |
Zaxby’s Funding LLC Series 2021-1A Class A2144A | 3.24 | 7-30-2051 | 1,623,375 | 1,426,053 | ||
Total asset-backed securities (Cost $24,010,204) | 23,945,996 | |||||
Corporate bonds and notes: 19.00% | ||||||
Basic materials: 0.26% | ||||||
Chemicals: 0.26% | ||||||
International Flavors & Fragrances, Inc.144A | 3.47 | 12-1-2050 | 300,000 | 197,431 | ||
Westlake Corp. | 1.63 | 7-17-2029 | 100,000 | 95,105 | ||
292,536 | ||||||
Communications: 1.73% | ||||||
Advertising: 0.17% | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 5.00 | 8-15-2027 | 200,000 | 192,406 | ||
Internet: 0.33% | ||||||
Arches Buyer, Inc.144A | 4.25 | 6-1-2028 | 100,000 | 85,431 | ||
MercadoLibre, Inc. | 3.13 | 1-14-2031 | 350,000 | 293,060 | ||
378,491 | ||||||
Media: 1.23% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.50 | 8-15-2030 | 450,000 | 373,284 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.85 | 4-1-2061 | 720,000 | 418,204 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90 | 6-1-2052 | 115,000 | 72,300 | ||
CSC Holdings LLC144A | 11.25 | 5-15-2028 | 225,000 | 232,148 | ||
Gray Television, Inc.144A | 7.00 | 5-15-2027 | 100,000 | 90,370 | ||
Scripps Escrow II, Inc.144A | 5.38 | 1-15-2031 | 225,000 | 128,314 | ||
Sirius XM Radio, Inc.144A | 5.50 | 7-1-2029 | 80,000 | 75,652 | ||
1,390,272 | ||||||
Consumer, cyclical: 3.27% | ||||||
Airlines: 0.32% | ||||||
American Airlines Pass-Through Trust Series 2017-2 Class B | 3.70 | 10-15-2025 | 97,662 | 93,992 | ||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.144A | 5.50 | 4-20-2026 | 75,000 | 74,312 | ||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 100,000 | 94,375 | ||
United Airlines Pass-Through Trust Series 2023-1 Class A | 5.80 | 1-15-2036 | 100,000 | 101,371 | ||
364,050 | ||||||
Apparel: 0.61% | ||||||
Crocs, Inc.144A | 4.13 | 8-15-2031 | 125,000 | 106,350 | ||
Tapestry, Inc. | 7.85 | 11-27-2033 | 350,000 | 378,611 | ||
VF Corp. | 2.95 | 4-23-2030 | 250,000 | 206,066 | ||
691,027 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers: 0.75% | ||||||
Ford Motor Co. | 3.25 % | 2-12-2032 | $ | 515,000 | $422,329 | |
Ford Motor Credit Co. LLC | 4.00 | 11-13-2030 | 320,000 | 282,929 | ||
Nissan Motor Acceptance Co. LLC144A | 2.45 | 9-15-2028 | 170,000 | 145,432 | ||
850,690 | ||||||
Entertainment: 0.53% | ||||||
Cinemark USA, Inc.144A | 5.25 | 7-15-2028 | 100,000 | 93,410 | ||
Warnermedia Holdings, Inc. | 4.28 | 3-15-2032 | 495,000 | 436,682 | ||
Warnermedia Holdings, Inc. | 5.14 | 3-15-2052 | 90,000 | 73,134 | ||
603,226 | ||||||
Home builders: 0.29% | ||||||
KB Home | 4.00 | 6-15-2031 | 125,000 | 108,530 | ||
KB Home | 4.80 | 11-15-2029 | 50,000 | 46,875 | ||
Taylor Morrison Communities, Inc.144A | 5.13 | 8-1-2030 | 180,000 | 169,894 | ||
325,299 | ||||||
Retail: 0.77% | ||||||
Advance Auto Parts, Inc. | 5.90 | 3-9-2026 | 400,000 | 399,178 | ||
Macy’s Retail Holdings LLC144A | 5.88 | 3-15-2030 | 250,000 | 234,375 | ||
NMG Holding Co., Inc./Neiman Marcus Group LLC144A | 7.13 | 4-1-2026 | 45,000 | 44,138 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 4.75 | 2-15-2028 | 200,000 | 187,461 | ||
865,152 | ||||||
Consumer, non-cyclical: 1.65% | ||||||
Agriculture: 0.20% | ||||||
Philip Morris International, Inc. | 5.25 | 2-13-2034 | 230,000 | 224,710 | ||
Commercial services: 1.09% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 | 6-1-2029 | 100,000 | 82,798 | ||
Global Payments, Inc. | 5.95 | 8-15-2052 | 270,000 | 265,270 | ||
MPH Acquisition Holdings LLC144A | 5.50 | 9-1-2028 | 60,000 | 52,350 | ||
PECF USS Intermediate Holding III Corp.144A | 8.00 | 11-15-2029 | 50,000 | 21,821 | ||
Sabre Global, Inc.144A | 8.63 | 6-1-2027 | 560,000 | 492,892 | ||
UL Solutions, Inc.144A | 6.50 | 10-20-2028 | 165,000 | 170,450 | ||
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 155,000 | 148,354 | ||
1,233,935 | ||||||
Food: 0.10% | ||||||
Smithfield Foods, Inc.144A | 2.63 | 9-13-2031 | 150,000 | 114,684 | ||
Healthcare-products: 0.09% | ||||||
Danaher Corp. | 2.50 | 3-30-2030 | 100,000 | 102,779 | ||
Pharmaceuticals: 0.17% | ||||||
Bristol-Myers Squibb Co. | 5.65 | 2-22-2064 | 195,000 | 196,785 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 0.97% | ||||||
Pipelines: 0.97% | ||||||
Energy Transfer LP (5 Year Treasury Constant Maturity+4.02%)± | 8.00 % | 5-15-2054 | $ | 230,000 | $238,970 | |
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 120,000 | 120,970 | ||
Prairie Acquiror LP144A%% | 9.00 | 8-1-2029 | 200,000 | 201,522 | ||
Rockies Express Pipeline LLC144A | 4.95 | 7-15-2029 | 100,000 | 93,513 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 12-31-2030 | 50,000 | 46,496 | ||
Venture Global LNG, Inc.144A | 9.50 | 2-1-2029 | 375,000 | 399,830 | ||
1,101,301 | ||||||
Financial: 7.41% | ||||||
Banks: 1.33% | ||||||
HSBC USA, Inc. | 5.63 | 3-17-2025 | 200,000 | 200,243 | ||
Morgan Stanley (U.S. SOFR+1.36%)± | 2.48 | 9-16-2036 | 55,000 | 43,109 | ||
Santander Holdings USA, Inc. (U.S. SOFR+3.28%)± | 7.66 | 11-9-2031 | 500,000 | 534,253 | ||
U.S. Bancorp (U.S. SOFR+2.26%)± | 5.84 | 6-12-2034 | 510,000 | 514,977 | ||
Wells Fargo & Co. (U.S. SOFR+1.32%)± | 3.91 | 4-25-2026 | 220,000 | 215,715 | ||
1,508,297 | ||||||
Diversified financial services: 1.77% | ||||||
Aircastle Ltd.144A | 5.95 | 2-15-2029 | 500,000 | 493,933 | ||
Blackstone Holdings Finance Co. LLC144A | 6.20 | 4-22-2033 | 775,000 | 809,662 | ||
Charles Schwab Corp. Series I (5 Year Treasury Constant Maturity+3.17%)ʊ± | 4.00 | 6-1-2026 | 200,000 | 184,213 | ||
Computershare U.S., Inc. | 1.13 | 10-7-2031 | 100,000 | 84,559 | ||
Encore Capital Group, Inc. | 4.88 | 10-15-2025 | 240,000 | 256,764 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 170,000 | 172,761 | ||
2,001,892 | ||||||
Insurance: 1.80% | ||||||
Arthur J Gallagher & Co. | 6.75 | 2-15-2054 | 400,000 | 450,911 | ||
AssuredPartners, Inc.144A | 5.63 | 1-15-2029 | 175,000 | 160,969 | ||
Athene Global Funding | 0.37 | 9-10-2026 | 100,000 | 98,818 | ||
Cincinnati Financial Corp. | 6.13 | 11-1-2034 | 75,000 | 78,249 | ||
Hill City Funding Trust144A | 4.05 | 8-15-2041 | 100,000 | 71,907 | ||
Lincoln National Corp. | 4.35 | 3-1-2048 | 85,000 | 65,880 | ||
National Life Insurance Co. (3 Month LIBOR+3.31%)144A± | 5.25 | 7-19-2068 | 40,000 | 34,794 | ||
OneAmerica Financial Partners, Inc.144A | 4.25 | 10-15-2050 | 25,000 | 17,297 | ||
PartnerRe Finance B LLC (5 Year Treasury Constant Maturity+3.82%)± | 4.50 | 10-1-2050 | 190,000 | 169,396 | ||
Reinsurance Group of America, Inc. | 6.00 | 9-15-2033 | 359,000 | 368,634 | ||
RGA Global Funding144A | 6.00 | 11-21-2028 | 460,000 | 469,536 | ||
Transatlantic Holdings, Inc. | 8.00 | 11-30-2039 | 43,000 | 54,652 | ||
2,041,043 | ||||||
REITS: 2.51% | ||||||
Brandywine Operating Partnership LP | 7.80 | 3-15-2028 | 90,000 | 89,152 | ||
EPR Properties | 3.60 | 11-15-2031 | 225,000 | 183,682 |
Interest rate | Maturity date | Principal | Value | |||
REITS(continued) | ||||||
EPR Properties | 3.75 % | 8-15-2029 | $ | 35,000 | $30,549 | |
GLP Capital LP/GLP Financing II, Inc. | 6.75 | 12-1-2033 | 150,000 | 155,650 | ||
Invitation Homes Operating Partnership LP | 5.45 | 8-15-2030 | 300,000 | 298,664 | ||
Iron Mountain, Inc.144A | 4.50 | 2-15-2031 | 250,000 | 221,234 | ||
Omega Healthcare Investors, Inc. | 3.63 | 10-1-2029 | 480,000 | 421,559 | ||
Realty Income Corp. | 5.13 | 2-15-2034 | 450,000 | 435,378 | ||
Realty Income Corp. | 5.13 | 7-6-2034 | 150,000 | 173,869 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 400,000 | 392,748 | ||
Service Properties Trust144A | 8.63 | 11-15-2031 | 190,000 | 200,661 | ||
Tanger Properties LP | 2.75 | 9-1-2031 | 300,000 | 242,049 | ||
2,845,195 | ||||||
Industrial: 0.89% | ||||||
Aerospace/defense: 0.38% | ||||||
Boeing Co. | 5.81 | 5-1-2050 | 35,000 | 33,736 | ||
RTX Corp. | 6.00 | 3-15-2031 | 380,000 | 395,759 | ||
429,495 | ||||||
Building materials: 0.14% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 150,000 | 153,938 | ||
Packaging & containers: 0.34% | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 2.13 | 8-15-2026 | 250,000 | 243,494 | ||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 150,000 | 142,778 | ||
386,272 | ||||||
Trucking & leasing: 0.03% | ||||||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 38,000 | 38,018 | ||
Technology: 0.62% | ||||||
Computers: 0.22% | ||||||
Kyndryl Holdings, Inc. | 6.35 | 2-20-2034 | 240,000 | 242,245 | ||
Semiconductors: 0.22% | ||||||
Intel Corp. | 5.70 | 2-10-2053 | 250,000 | 253,422 | ||
Software: 0.18% | ||||||
AthenaHealth Group, Inc.144A | 6.50 | 2-15-2030 | 225,000 | 201,437 | ||
Utilities: 2.20% | ||||||
Electric: 2.02% | ||||||
Duke Energy Corp. | 3.10 | 6-15-2028 | 100,000 | 105,175 | ||
Duke Energy Corp. | 3.85 | 6-15-2034 | 100,000 | 104,644 | ||
Duke Energy Indiana LLC | 5.40 | 4-1-2053 | 200,000 | 192,893 | ||
Enel Finance America LLC144A | 2.88 | 7-12-2041 | 400,000 | 266,465 | ||
Entergy Louisiana LLC | 4.75 | 9-15-2052 | 150,000 | 130,986 | ||
Eversource Energy | 5.50 | 1-1-2034 | 280,000 | 277,136 | ||
NextEra Energy Capital Holdings, Inc. | 5.25 | 2-28-2053 | 75,000 | 69,903 | ||
Oklahoma Gas & Electric Co. | 5.60 | 4-1-2053 | 200,000 | 201,445 |
Interest rate | Maturity date | Principal | Value | |||
Electric(continued) | ||||||
Southern California Edison Co. | 3.65 % | 2-1-2050 | $ | 75,000 | $54,895 | |
Southern California Edison Co.%% | 5.75 | 4-15-2054 | 170,000 | 169,315 | ||
Vistra Operations Co. LLC144A | 3.70 | 1-30-2027 | 175,000 | 165,525 | ||
Vistra Operations Co. LLC144A | 6.95 | 10-15-2033 | 285,000 | 296,940 | ||
Vistra Operations Co. LLC144A | 7.75 | 10-15-2031 | 250,000 | 258,599 | ||
2,293,921 | ||||||
Gas: 0.18% | ||||||
Southern California Gas Co. | 5.75 | 6-1-2053 | 200,000 | 202,204 | ||
Total corporate bonds and notes (Cost $21,445,278) | 21,524,722 | |||||
Foreign corporate bonds and notes: 10.18% | ||||||
Basic materials: 0.09% | ||||||
Forest products & paper: 0.09% | ||||||
Ahlstrom Holding 3 OYJ144A | 3.63 | 2-4-2028 | EUR | 100,000 | 101,055 | |
Communications: 1.79% | ||||||
Media: 0.14% | ||||||
Tele Columbus AG144A | 3.88 | 5-2-2025 | EUR | 100,000 | 65,929 | |
Ziggo Bond Co. BV144A | 3.38 | 2-28-2030 | EUR | 100,000 | 92,276 | |
158,205 | ||||||
Telecommunications: 1.65% | ||||||
British Telecommunications PLC (UK Gilts 5 Year+3.82%)± | 8.38 | 12-20-2083 | GBP | 100,000 | 132,871 | |
Chorus Ltd. | 3.63 | 9-7-2029 | EUR | 500,000 | 535,170 | |
Eutelsat SA | 1.50 | 10-13-2028 | EUR | 200,000 | 138,838 | |
Koninklijke KPN NV | 3.88 | 7-3-2031 | EUR | 400,000 | 438,078 | |
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 100,000 | 101,254 | |
Tele2 AB | 0.75 | 3-23-2031 | EUR | 200,000 | 182,727 | |
Telefonaktiebolaget LM Ericsson | 1.00 | 5-26-2029 | EUR | 250,000 | 226,157 | |
Telefonica Europe BV (EUR Swap Annual (vs. 6 Month EURIBOR) 7 Year+3.35%)ʊ± | 6.14 | 2-3-2030 | EUR | 100,000 | 109,728 | |
1,864,823 | ||||||
Consumer, cyclical: 1.29% | ||||||
Auto manufacturers: 0.27% | ||||||
Stellantis NV | 2.00 | 3-20-2025 | EUR | 100,000 | 105,926 | |
Volkswagen Leasing GmbH | 0.38 | 7-20-2026 | EUR | 200,000 | 199,410 | |
305,336 | ||||||
Distribution/wholesale: 0.24% | ||||||
Azelis Finance NV144A | 5.75 | 3-15-2028 | EUR | 250,000 | 278,057 | |
Entertainment: 0.78% | ||||||
888 Acquisitions Ltd.144A | 7.56 | 7-15-2027 | EUR | 100,000 | 104,892 | |
Allwyn Entertainment Financing U.K. PLC144A | 7.25 | 4-30-2030 | EUR | 250,000 | 285,037 | |
Banijay Entertainment SASU144A | 7.00 | 5-1-2029 | EUR | 100,000 | 112,944 |
Interest rate | Maturity date | Principal | Value | |||
Entertainment(continued) | ||||||
Cirsa Finance International Sarl144A | 10.38 % | 11-30-2027 | EUR | 90,000 | $104,810 | |
Universal Music Group NV | 4.00 | 6-13-2031 | EUR | 250,000 | 273,450 | |
881,133 | ||||||
Consumer, non-cyclical: 0.84% | ||||||
Agriculture: 0.11% | ||||||
BAT International Finance PLC | 2.25 | 1-16-2030 | EUR | 130,000 | 126,753 | |
Commercial services: 0.29% | ||||||
Rentokil Initial Finance BV | 3.88 | 6-27-2027 | EUR | 300,000 | 325,196 | |
Food: 0.09% | ||||||
Sigma Holdco BV144A | 5.75 | 5-15-2026 | EUR | 100,000 | 101,919 | |
Pharmaceuticals: 0.35% | ||||||
Bayer AG (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.11%)± | 3.13 | 11-12-2079 | EUR | 200,000 | 189,008 | |
Bayer AG (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.90%)± | 7.00 | 9-25-2083 | EUR | 100,000 | 108,268 | |
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 | 11-12-2079 | EUR | 100,000 | 103,488 | |
400,764 | ||||||
Diversified: 0.25% | ||||||
Holding companies-divers: 0.25% | ||||||
Stena International SA | 7.25 | 2-15-2028 | EUR | 250,000 | 284,926 | |
Energy: 0.62% | ||||||
Oil & gas: 0.62% | ||||||
Aker BP ASA | 1.13 | 5-12-2029 | EUR | 250,000 | 235,035 | |
BP Capital Markets PLC (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.52%)ʊ± | 3.25 | 3-22-2026 | EUR | 450,000 | 469,189 | |
704,224 | ||||||
Financial: 3.13% | ||||||
Banks: 2.86% | ||||||
ABN AMRO Bank NV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.90%)ʊ± | 4.75 | 9-22-2027 | EUR | 200,000 | 200,218 | |
Banco BPM SpA | 0.88 | 7-15-2026 | EUR | 100,000 | 100,723 | |
Banco de Sabadell SA (EURIBOR ICE Swap Rate 11:00am+2.40%)± | 5.50 | 9-8-2029 | EUR | 100,000 | 112,839 | |
BPER Banca (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+4.08%)± | 3.63 | 11-30-2030 | EUR | 250,000 | 265,747 | |
CaixaBank SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.55%)± | 6.25 | 2-23-2033 | EUR | 400,000 | 452,089 | |
Credit Agricole SA (EURIBOR ICE Swap Rate 11:00am+4.44%)ʊ± | 7.25 | 9-23-2028 | EUR | 100,000 | 112,538 | |
Deutsche Bank AG (3 Month EURIBOR+2.95%)± | 5.00 | 9-5-2030 | EUR | 200,000 | 221,268 | |
KBC Group NV (EURIBOR ICE Swap Rate 11:00am+4.93%)ʊ± | 8.00 | 9-5-2028 | EUR | 200,000 | 228,019 | |
Nordea Bank Abp (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.00%)ʊ± | 3.50 | 3-12-2025 | EUR | 400,000 | 420,148 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
Nykredit Realkredit AS (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+4.57%)ʊ± | 4.13 % | 4-15-2026 | EUR | 200,000 | $205,892 | |
UBS Group AG (EURIBOR ICE Swap Rate 11:00am+4.95%)± | 7.75 | 3-1-2029 | EUR | 750,000 | 918,696 | |
3,238,177 | ||||||
Insurance: 0.27% | ||||||
Assicurazioni Generali SpA | 2.43 | 7-14-2031 | EUR | 150,000 | 140,372 | |
AXA SA | 3.63 | 1-10-2033 | EUR | 150,000 | 165,800 | |
306,172 | ||||||
Industrial: 0.84% | ||||||
Engineering & construction: 0.24% | ||||||
Cellnex Finance Co. SA | 2.00 | 9-15-2032 | EUR | 300,000 | 276,097 | |
Environmental control: 0.26% | ||||||
Derichebourg SA | 2.25 | 7-15-2028 | EUR | 300,000 | 297,085 | |
Packaging & containers: 0.34% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 | 11-1-2027 | EUR | 100,000 | 99,527 | |
OI European Group BV | 6.25 | 5-15-2028 | EUR | 250,000 | 280,337 | |
379,864 | ||||||
Utilities: 1.33% | ||||||
Electric: 0.67% | ||||||
Enel Finance International NV | 0.50 | 6-17-2030 | EUR | 250,000 | 223,678 | |
Energia Group Roi Financeco DAC144A | 6.88 | 7-31-2028 | EUR | 200,000 | 223,869 | |
RWE AG | 2.75 | 5-24-2030 | EUR | 200,000 | 204,857 | |
Vattenfall AB (UK Gilts 5 Year+1.90%)± | 2.50 | 6-29-2083 | GBP | 100,000 | 107,177 | |
759,581 | ||||||
Gas: 0.43% | ||||||
APA Infrastructure Ltd. | 2.00 | 7-15-2030 | EUR | 100,000 | 95,987 | |
Snam SpA | 0.63 | 6-30-2031 | EUR | 450,000 | 392,970 | |
488,957 | ||||||
Water: 0.23% | ||||||
Thames Water Utilities Finance PLC | 4.00 | 4-18-2027 | EUR | 250,000 | 256,410 | |
Total foreign corporate bonds and notes (Cost $11,750,383) | 11,534,734 | |||||
Foreign government bonds: 7.35% | ||||||
Australia: 1.19% | ||||||
Australia | 2.75 | 11-21-2028 | AUD | 1,065,000 | 662,303 | |
Australia | 3.00 | 11-21-2033 | AUD | 1,150,000 | 679,610 | |
1,341,913 | ||||||
Brazil: 1.93% | ||||||
Brazil¤ | 0.00 | 7-1-2024 | BRL | 5,800,000 | 1,128,776 |
Interest rate | Maturity date | Principal | Value | |||
Brazil(continued) | ||||||
Brazil¤ | 0.00 % | 10-1-2025 | BRL | 3,800,000 | $657,608 | |
Brazil | 10.00 | 1-1-2027 | BRL | 2,000,000 | 401,681 | |
2,188,065 | ||||||
France: 0.98% | ||||||
France | 0.75 | 2-25-2028 | EUR | 1,110,000 | 1,110,392 | |
Malaysia: 0.37% | ||||||
Malaysia | 3.88 | 3-14-2025 | MYR | 1,975,000 | 418,397 | |
Spain: 1.51% | ||||||
Spain¤ | 0.00 | 1-31-2028 | EUR | 1,770,000 | 1,707,385 | |
United Kingdom: 1.37% | ||||||
U.K. Gilts | 3.25 | 1-31-2033 | GBP | 1,310,000 | 1,553,668 | |
Total foreign government bonds (Cost $8,345,527) | 8,319,820 |
Shares | ||||||
Investment companies: 0.34% | ||||||
Exchange-traded funds: 0.34% | ||||||
SPDR Portfolio High Yield Bond ETF | 16,306 | 380,419 | ||||
Total investment companies (Cost $369,983) | 380,419 |
Principal | ||||||
Loans: 0.92% | ||||||
Consumer, cyclical: 0.42% | ||||||
Airlines: 0.21% | ||||||
American Airlines, Inc. (U.S. SOFR 3 Month+4.75%)± | 10.33 | 4-20-2028 | $ | 236,111 | 240,538 | |
Retail: 0.21% | ||||||
Petco Health & Wellness Co., Inc. (U.S. SOFR 3 Month+3.25%)± | 8.86 | 3-3-2028 | 250,000 | 238,563 | ||
Consumer, non-cyclical: 0.21% | ||||||
Commercial services: 0.21% | ||||||
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)± | 9.85 | 9-1-2028 | 248,728 | 240,263 | ||
Energy: 0.09% | ||||||
Pipelines: 0.09% | ||||||
Prairie ECI Acquiror LP (U.S. SOFR 3 Month+4.75%)± | 10.07 | 2-22-2029 | 100,000 | 99,188 | ||
Financial: 0.20% | ||||||
Insurance: 0.20% | ||||||
Asurion LLC (U.S. SOFR 1 Month+3.25%)± | 8.69 | 12-23-2026 | 225,000 | 223,531 | ||
Total loans (Cost $1,040,474) | 1,042,083 | |||||
Non-agency mortgage-backed securities: 9.16% | ||||||
Bank Series 2022-BNK44 Class A5±± | 5.75 | 11-15-2055 | 380,000 | 396,456 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
Benchmark Mortgage Trust Series 2022-B33 Class A5 | 3.46 % | 3-15-2055 | $ | 475,000 | $419,284 | |
Benchmark Mortgage Trust Series 2022-B35 Class A5±± | 4.44 | 5-15-2055 | 280,000 | 259,339 | ||
BMO Mortgage Trust Series 2023-C4 Class A5±± | 5.12 | 2-15-2056 | 250,000 | 249,136 | ||
BX Commercial Mortgage Trust Series 2023-VLT3 Class B (U.S. SOFR 1 Month+2.69%)144A± | 8.01 | 11-15-2028 | 250,000 | 250,801 | ||
BX Trust Series 2019-OC11 Class A144A | 3.20 | 12-9-2041 | 250,000 | 220,995 | ||
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1 Month+2.01%)144A± | 7.33 | 10-15-2036 | 860,000 | 839,038 | ||
BX Trust Series 2022-CLS Class C144A | 6.79 | 10-13-2027 | 585,000 | 533,225 | ||
BX Trust Series 2024-BIO Class C (U.S. SOFR 1 Month+2.64%)144A± | 7.94 | 2-15-2041 | 750,000 | 749,060 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B144A±± | 4.00 | 10-25-2068 | 307,528 | 279,097 | ||
CHNGE Mortgage Trust Series 2023-4 Class A1144A | 7.57 | 9-25-2058 | 355,286 | 358,119 | ||
FREMF Mortgage Trust Series 2019-KF70 Class B (30 Day Average U.S. SOFR+2.41%)144A± | 7.75 | 9-25-2029 | 76,733 | 71,613 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 118,404 | 100,140 | ||
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A2144A±± | 1.36 | 9-25-2056 | 527,408 | 430,372 | ||
JP Morgan Mortgage Trust Series 2020-1 Class A15144A±± | 3.50 | 6-25-2050 | 80,509 | 70,040 | ||
JPMBB Commercial Mortgage Securities Trust Series 2013-C15 Class D144A±± | 4.76 | 11-15-2045 | 146,220 | 126,729 | ||
MFA Trust Series 2020-NQM3 Class M1144A±± | 2.65 | 1-26-2065 | 250,000 | 212,637 | ||
MFA Trust Series 2021-NQM1 Class A1144A±± | 1.15 | 4-25-2065 | 107,311 | 96,733 | ||
New Residential Mortgage Loan Trust Series 2022-NQM1 Class A1144A±± | 2.28 | 4-25-2061 | 411,408 | 349,970 | ||
OBX Trust Series 2022-NQM7 Class A1144A | 5.11 | 8-25-2062 | 1,065,868 | 1,045,438 | ||
OPG Trust Series 2021-PORT Class B (U.S. SOFR 1 Month+0.83%)144A± | 6.15 | 10-15-2036 | 987,530 | 969,036 | ||
ORL Trust Series 2023-GLKS Class A (U.S. SOFR 1 Month+2.35%)144A± | 7.67 | 10-19-2036 | 335,000 | 336,256 | ||
Residential Mortgage Loan Trust Series 2019-3 Class A3144A±± | 3.04 | 9-25-2059 | 20,437 | 19,834 | ||
SG Residential Mortgage Trust Series 2021-1 Class A2144A±± | 1.36 | 7-25-2061 | 1,738,547 | 1,372,896 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1144A±± | 1.03 | 11-25-2055 | 67,509 | 61,789 | ||
Towd Point Mortgage Trust Series 2019-HY3 Class A2 (U.S. SOFR 1 Month+1.41%)144A± | 6.74 | 10-25-2059 | 150,000 | 153,692 | ||
Towd Point Mortgage Trust Series 2020-4 Class A2144A | 2.50 | 10-25-2060 | 350,000 | 277,934 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 69,755 | 61,603 | ||
Verus Securitization Trust Series 2021-R3 Class A2144A±± | 1.28 | 4-25-2064 | 71,990 | 63,696 | ||
Total non-agency mortgage-backed securities (Cost $10,552,324) | 10,374,958 | |||||
U.S. Treasury securities: 18.11% | ||||||
U.S. Treasury Bonds | 4.25 | 2-15-2054 | 375,000 | 367,969 | ||
U.S. Treasury Bonds | 4.75 | 11-15-2043 | 1,245,000 | 1,281,183 | ||
U.S. Treasury Bonds | 4.75 | 11-15-2053 | 1,365,000 | 1,452,232 | ||
U.S. Treasury Notes## | 3.88 | 1-15-2026 | 2,305,000 | 2,272,046 | ||
U.S. Treasury Notes## | 4.00 | 1-31-2029 | 6,440,000 | 6,365,537 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities(continued) | ||||||
U.S. Treasury Notes | 4.00 % | 2-15-2034 | $ | 2,240,000 | $2,196,250 | |
U.S. Treasury Notes## | 4.25 | 1-31-2026 | 4,170,000 | 4,138,888 | ||
U.S. Treasury Notes## | 4.38 | 11-30-2028 | 2,435,000 | 2,445,272 | ||
Total U.S. Treasury securities (Cost $20,528,302) | 20,519,377 | |||||
Yankee corporate bonds and notes: 8.26% | ||||||
Basic materials: 0.24% | ||||||
Chemicals: 0.24% | ||||||
Braskem Netherlands Finance BV144A | 7.25 | 2-13-2033 | 300,000 | 272,864 | ||
Communications: 0.85% | ||||||
Internet: 0.16% | ||||||
Prosus NV144A | 4.03 | 8-3-2050 | 285,000 | 181,417 | ||
Telecommunications: 0.69% | ||||||
Nokia OYJ | 6.63 | 5-15-2039 | 105,000 | 101,322 | ||
Rogers Communications, Inc. | 4.55 | 3-15-2052 | 500,000 | 412,627 | ||
Telefonica Emisiones SA | 5.21 | 3-8-2047 | 300,000 | 269,832 | ||
783,781 | ||||||
Consumer, cyclical: 0.63% | ||||||
Airlines: 0.23% | ||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.144A | 9.50 | 6-1-2028 | 300,000 | 252,750 | ||
Leisure time: 0.40% | ||||||
Carnival Corp.144A | 6.00 | 5-1-2029 | 185,000 | 180,785 | ||
Royal Caribbean Cruises Ltd.144A | 5.50 | 4-1-2028 | 75,000 | 73,805 | ||
Royal Caribbean Cruises Ltd.144A%% | 6.25 | 3-15-2032 | 200,000 | 200,534 | ||
455,124 | ||||||
Consumer, non-cyclical: 0.45% | ||||||
Pharmaceuticals: 0.45% | ||||||
Pfizer Investment Enterprises Pte. Ltd. | 5.30 | 5-19-2053 | 305,000 | 298,350 | ||
Teva Pharmaceutical Finance Netherlands III BV | 8.13 | 9-15-2031 | 200,000 | 216,072 | ||
514,422 | ||||||
Energy: 0.38% | ||||||
Pipelines: 0.38% | ||||||
Enbridge, Inc. | 3.40 | 8-1-2051 | 400,000 | 279,557 | ||
Enbridge, Inc. (5 Year Treasury Constant Maturity+4.42%)± | 7.63 | 1-15-2083 | 150,000 | 151,909 | ||
431,466 | ||||||
Financial: 5.07% | ||||||
Banks: 3.28% | ||||||
Banco Industrial SA (5 Year Treasury Constant Maturity+4.44%)144A± | 4.88 | 1-29-2031 | 150,000 | 143,929 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.64%)144Aʊ± | 5.88 | 1-24-2027 | 400,000 | 380,401 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
Barclays PLC (U.S. SOFR+2.22%)± | 6.49 % | 9-13-2029 | $ | 250,000 | $257,697 | |
BBVA Bancomer SA (5 Year Treasury Constant Maturity+4.31%)144A± | 5.88 | 9-13-2034 | 200,000 | 184,895 | ||
BNP Paribas SA (5 Year Treasury Constant Maturity+3.73%)144Aʊ± | 8.00 | 8-22-2031 | 500,000 | 499,420 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.40%)144A±%% | 5.71 | 3-1-2030 | 520,000 | 521,104 | ||
Intesa Sanpaolo SpA144A | 7.20 | 11-28-2033 | 400,000 | 418,742 | ||
Lloyds Banking Group PLC (5 Year Treasury Constant Maturity+4.82%)ʊ± | 6.75 | 6-27-2026 | 200,000 | 194,524 | ||
Macquarie Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.05 | 3-3-2036 | 400,000 | 325,666 | ||
National Australia Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.35 | 1-12-2037 | 500,000 | 417,156 | ||
UBS Group AG (5 Year Treasury Constant Maturity+3.40%)144Aʊ± | 4.88 | 2-12-2027 | 200,000 | 182,090 | ||
Unicredit SpA (5 Year Treasury Constant Maturity+4.75%)144A± | 5.46 | 6-30-2035 | 200,000 | 184,804 | ||
3,710,428 | ||||||
Diversified financial services: 0.43% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 450,000 | 415,076 | ||
CI Financial Corp. | 4.10 | 6-15-2051 | 105,000 | 62,011 | ||
Unifin Financiera SAB de CV144A† | 9.88 | 1-28-2029 | 250,000 | 13,437 | ||
490,524 | ||||||
Insurance: 0.41% | ||||||
Allianz SE (5 Year Treasury Constant Maturity+3.23%)144A± | 6.35 | 9-6-2053 | 400,000 | 417,191 | ||
RenaissanceRe Holdings Ltd. | 5.75 | 6-5-2033 | 45,000 | 45,364 | ||
462,555 | ||||||
Private equity: 0.95% | ||||||
Brookfield Finance, Inc. | 3.63 | 2-15-2052 | 200,000 | 142,303 | ||
Brookfield Finance, Inc.%% | 5.97 | 3-4-2054 | 500,000 | 503,926 | ||
Brookfield Finance, Inc. | 6.35 | 1-5-2034 | 410,000 | 430,820 | ||
1,077,049 | ||||||
Industrial: 0.12% | ||||||
Aerospace/defense: 0.12% | ||||||
Bombardier, Inc.144A | 7.88 | 4-15-2027 | 140,000 | 140,179 | ||
Utilities: 0.52% | ||||||
Electric: 0.52% | ||||||
Comision Federal de Electricidad144A | 3.35 | 2-9-2031 | 500,000 | 421,566 | ||
Comision Federal de Electricidad144A | 3.88 | 7-26-2033 | 200,000 | 163,899 | ||
585,465 | ||||||
Total yankee corporate bonds and notes (Cost $9,502,710) | 9,358,024 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 2.37% | ||||||
Benin: 0.17% | ||||||
Benin144A | 7.96 % | 2-13-2038 | $ | 200,000 | $193,612 | |
Colombia: 0.32% | ||||||
Colombia | 3.13 | 4-15-2031 | 200,000 | 157,657 | ||
Colombia | 8.00 | 11-14-2035 | 200,000 | 207,426 | ||
365,083 | ||||||
Dominican Republic: 0.30% | ||||||
Dominican Republic144A | 4.88 | 9-23-2032 | 380,000 | 337,529 | ||
Ivory Coast: 0.26% | ||||||
Ivory Coast144A | 8.25 | 1-30-2037 | 300,000 | 292,845 | ||
Kenya: 0.18% | ||||||
Kenya144A | 8.25 | 2-28-2048 | 250,000 | 203,490 | ||
Mexico: 0.18% | ||||||
Mexico | 6.35 | 2-9-2035 | 200,000 | 204,572 | ||
Oman: 0.18% | ||||||
Oman144A | 6.25 | 1-25-2031 | 200,000 | 204,500 | ||
Panama: 0.44% | ||||||
Panama | 4.50 | 1-19-2063 | 500,000 | 309,657 | ||
Panama | 6.40 | 2-14-2035 | 200,000 | 184,559 | ||
494,216 | ||||||
Paraguay: 0.23% | ||||||
Paraguay144A | 5.40 | 3-30-2050 | 300,000 | 257,250 | ||
Romania: 0.11% | ||||||
Romanian144A | 6.38 | 1-30-2034 | 130,000 | 129,082 | ||
Total yankee government bonds (Cost $2,719,341) | 2,682,179 |
Yield | Shares | |||||
Short-term investments: 1.38% | ||||||
Investment companies: 1.38% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 1,564,264 | 1,564,264 | |||
Total short-term investments (Cost $1,564,264) | 1,564,264 | |||||
Total investments in securities (Cost $127,472,646) | 112.04 % | 126,913,782 | ||||
Other assets and liabilities, net | (12.04 ) | (13,634,373 ) | ||||
Total net assets | 100.00 % | $113,279,409 |
%% | The security is purchased on a when-issued basis. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
♦ | The security is fair valued in accordance with procedures approved by the Board of Trustees. |
‡ | Security is valued using significant unobservable inputs. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
AUD | Australian dollar |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $2,048,819 | $65,946,760 | $(66,431,315 ) | $0 | $0 | $1,564,264 | 1,564,264 | $66,670 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 328,932 | AUD | 480,000 | Morgan Stanley, Inc. | 4-2-2024 | $16,647 | $0 |
USD | 254,480 | AUD | 375,000 | Morgan Stanley, Inc. | 4-2-2024 | 10,507 | 0 |
USD | 111,338 | AUD | 170,000 | Morgan Stanley, Inc. | 4-2-2024 | 737 | 0 |
USD | 7,057,958 | EUR | 6,431,000 | Citibank N.A. | 4-2-2024 | 99,139 | 0 |
USD | 3,734,288 | EUR | 3,400,000 | Citibank N.A. | 4-2-2024 | 55,236 | 0 |
USD | 772,275 | EUR | 705,000 | Citibank N.A. | 4-2-2024 | 9,412 | 0 |
USD | 473,257 | EUR | 430,000 | Citibank N.A. | 4-2-2024 | 7,965 | 0 |
USD | 604,815 | EUR | 550,000 | Citibank N.A. | 4-2-2024 | 9,675 | 0 |
USD | 685,868 | EUR | 630,000 | Citibank N.A. | 4-2-2024 | 4,162 | 0 |
USD | 114,278 | EUR | 105,000 | Citibank N.A. | 4-2-2024 | 660 | 0 |
EUR | 150,000 | USD | 163,221 | Citibank N.A. | 4-2-2024 | 0 | (910 ) |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 539,515 | EUR | 500,000 | Citibank N.A. | 4-2-2024 | $0 | $(1,522 ) |
USD | 205,769 | EUR | 190,000 | Citibank N.A. | 4-2-2024 | 175 | 0 |
USD | 1,137,403 | EUR | 1,050,000 | Citibank N.A. | 4-2-2024 | 1,225 | 0 |
USD | 380,353 | EUR | 350,000 | Citibank N.A. | 4-2-2024 | 1,627 | 0 |
USD | 439,651 | EUR | 405,000 | Citibank N.A. | 4-2-2024 | 1,410 | 0 |
USD | 927,689 | GBP | 733,000 | Citibank N.A. | 4-2-2024 | 2,261 | 0 |
USD | 126,298 | GBP | 100,000 | Citibank N.A. | 4-2-2024 | 46 | 0 |
USD | 483,606 | GBP | 380,000 | Citibank N.A. | 4-2-2024 | 3,848 | 0 |
USD | 329,821 | GBP | 260,000 | Citibank N.A. | 4-2-2024 | 1,566 | 0 |
JPY | 16,500,000 | USD | 116,680 | Citibank N.A. | 4-2-2024 | 0 | (6,119 ) |
USD | 209,227 | MYR | 975,000 | Morgan Stanley, Inc. | 4-2-2024 | 3,374 | 0 |
USD | 214,278 | MYR | 1,025,000 | Morgan Stanley, Inc. | 4-2-2024 | 0 | (2,132 ) |
$229,672 | $(10,683 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
10-Year U.S. Treasury Notes | 7 | 6-18-2024 | $773,184 | $773,063 | $0 | $(121 ) |
Ultra Long Term U.S. Treasury Bond | 27 | 6-18-2024 | 3,454,924 | 3,452,625 | 0 | (2,299 ) |
2-Year U.S. Treasury Notes | 212 | 6-28-2024 | 43,389,886 | 43,407,000 | 17,114 | 0 |
5-Year U.S. Treasury Notes | 62 | 6-28-2024 | 6,617,379 | 6,628,187 | 10,808 | 0 |
Short | ||||||
10-Year Euro BUND Index | (1 ) | 3-7-2024 | (144,674 ) | (143,368 ) | 1,306 | 0 |
2-Year Euro SCHATZ | (2 ) | 3-7-2024 | (229,353 ) | (227,292 ) | 2,061 | 0 |
5-Year Euro-BOBL Futures | (4 ) | 3-7-2024 | (509,051 ) | (502,442 ) | 6,609 | 0 |
Ultra 10-Year U.S. Treasury Notes | (105 ) | 6-18-2024 | (11,959,008 ) | (11,988,047 ) | 0 | (29,039 ) |
$37,898 | $(31,459 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $125,908,382) | $125,349,518 |
Investments in affiliated securities, at value (cost $1,564,264) | 1,564,264 |
Cash | 182,345 |
Cash at broker segregated for futures contracts | 368,000 |
Foreign currency, at value (cost $451,682) | 449,938 |
Receivable for investments sold | 2,901,108 |
Receivable for interest | 1,066,051 |
Receivable for Fund shares sold | 646,798 |
Unrealized gains on forward foreign currency contracts | 229,672 |
Receivable for daily variation margin on open futures contracts | 18,938 |
Receivable from manager | 5,668 |
Prepaid expenses and other assets | 24,620 |
Total assets | 132,806,920 |
Liabilities | |
Payable for when-issued transactions | 16,428,644 |
Payable for investments purchased | 2,057,022 |
Payable for Fund shares redeemed | 709,101 |
Cash due to broker | 290,000 |
Payable for daily variation margin on open futures contracts | 24,861 |
Unrealized losses on forward foreign currency contracts | 10,683 |
Accrued expenses and other liabilities | 7,200 |
Total liabilities | 19,527,511 |
Total net assets | $113,279,409 |
Net assets consist of | |
Paid-in capital | $117,235,309 |
Total distributable loss | (3,955,900 ) |
Total net assets | $113,279,409 |
Computation of net asset value per share | |
Net assets | $113,279,409 |
Shares outstanding1 | 6,769,522 |
Net asset value per share | $16.73 |
Investment income | |
Interest (net of foreign withholding taxes of $618) | $1,700,910 |
Income from affiliated securities | 66,670 |
Dividends | 12,120 |
Total investment income | 1,779,700 |
Expenses | |
Custody and accounting fees | 2,461 |
Professional fees | 21,077 |
Registration fees | 22,787 |
Shareholder report expenses | 5,614 |
Trustees’ fees and expenses | 12,262 |
Other fees and expenses | 5,266 |
Total expenses | 69,467 |
Less: Fee waivers and/or expense reimbursements | (69,467 ) |
Net expenses | 0 |
Net investment income | 1,779,700 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (310,049 ) |
Foreign currency and foreign currency translations | (27,854 ) |
Forward foreign currency contracts | (159,511 ) |
Futures contracts | (253,544 ) |
Swap contracts | 13,042 |
Net realized losses on investments | (737,916 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 977,725 |
Foreign currency and foreign currency translations | (1,771 ) |
Forward foreign currency contracts | 274,569 |
Futures contracts | (73,934 ) |
Net change in unrealized gains (losses) on investments | 1,176,589 |
Net realized and unrealized gains (losses) on investments | 438,673 |
Net increase in net assets resulting from operations | $2,218,373 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $1,779,700 | $1,039,657 | ||
Net realized losses on investments | (737,916 ) | (2,336,202 ) | ||
Net change in unrealized gains (losses) on investments | 1,176,589 | 1,507,302 | ||
Net increase in net assets resulting from operations | 2,218,373 | 210,757 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | (1,835,345 ) | (984,333 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | 5,285,695 | 88,231,514 | 302,878 | 5,070,415 |
Reinvestment of distributions | 43,265 | 713,624 | 56,706 | 933,806 |
Payment for shares redeemed | (233,895 ) | (3,921,626 ) | 0 | 0 |
Net increase in net assets resulting from capital share transactions | 85,023,512 | 6,004,221 | ||
Total increase in net assets | 85,406,540 | 5,230,645 | ||
Net assets | ||||
Beginning of period | 27,872,869 | 22,642,224 | ||
End of period | $113,279,409 | $27,872,869 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||
2023 | 2022 | 20211 | ||
Net asset value, beginning of period | $16.65 | $17.22 | $20.27 | $20.00 |
Net investment income | 0.49 2 | 0.76 2 | 0.57 | 0.14 |
Net realized and unrealized gains (losses) on investments | 0.11 | (0.62 ) | (2.86 ) | 0.13 |
Total from investment operations | 0.60 | 0.14 | (2.29 ) | 0.27 |
Distributions to shareholders from | ||||
Net investment income | (0.52 ) | (0.71 ) | (0.72 ) | 0.00 |
Net realized gains | 0.00 | 0.00 | (0.04 ) | 0.00 |
Total distributions to shareholders | (0.52 ) | (0.71 ) | (0.76 ) | 0.00 |
Net asset value, end of period | $16.73 | $16.65 | $17.22 | $20.27 |
Total return3 | 3.71 % | 0.95 % | (11.59 )% | 1.35 % |
Ratios to average net assets (annualized) | ||||
Gross expenses | 0.23 % | 0.69 % | 0.96 % | 0.83 % |
Net expenses4 | 0.00 % | 0.00 % | 0.00 % | 0.00 % |
Net investment income | 5.98 % | 4.53 % | 3.04 % | 2.75 % |
Supplemental data | ||||
Portfolio turnover rate | 156 % | 249 % | 125 % | 27 % |
Net assets, end of period (000s omitted) | $113,279 | $27,873 | $22,642 | $25,337 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
4 | The manager has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment-related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses, and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
The Fund may enter into credit default swaps for hedging or speculative purposes to provide or receive a measure of protection against default on a referenced entity, obligation or index or a basket of single-name issuers or traded indexes. An index credit default swap references all the names in the index, and if a credit event is triggered, the credit event is settled based on that name’s weight in the index. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the protection seller in consideration for a promise from the protection
Gross unrealized gains | $1,365,387 |
Gross unrealized losses | (1,738,339 ) |
Net unrealized losses | $(372,952 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $15,667,206 | $0 | $15,667,206 |
Asset-backed securities | 0 | 23,516,855 | 429,141 | 23,945,996 |
Corporate bonds and notes | 0 | 21,524,722 | 0 | 21,524,722 |
Foreign corporate bonds and notes | 0 | 11,534,734 | 0 | 11,534,734 |
Foreign government bonds | 0 | 8,319,820 | 0 | 8,319,820 |
Investment companies | 380,419 | 0 | 0 | 380,419 |
Loans | 0 | 1,042,083 | 0 | 1,042,083 |
Non-agency mortgage-backed securities | 0 | 10,374,958 | 0 | 10,374,958 |
U.S. Treasury securities | 20,519,377 | 0 | 0 | 20,519,377 |
Yankee corporate bonds and notes | 0 | 9,358,024 | 0 | 9,358,024 |
Yankee government bonds | 0 | 2,682,179 | 0 | 2,682,179 |
Short-term investments | ||||
Investment companies | 1,564,264 | 0 | 0 | 1,564,264 |
22,464,060 | 104,020,581 | 429,141 | 126,913,782 | |
Forward foreign currency contracts | 0 | 229,672 | 0 | 229,672 |
Futures contracts | 37,898 | 0 | 0 | 37,898 |
Total assets | $22,501,958 | $104,250,253 | $429,141 | $127,181,352 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $10,683 | $0 | $10,683 |
Futures contracts | 31,459 | 0 | 0 | 31,459 |
Total liabilities | $31,459 | $10,683 | $0 | $42,142 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$124,859,368 | $77,467,085 | $96,093,059 | $10,226,748 |
Forward foreign currency contracts | |
Average contract amounts to buy | $458,847 |
Average contract amounts to sell | 10,353,208 |
Futures contracts | |
Average notional balance on long futures | $36,361,037 |
Average notional balance on short futures | 6,418,606 |
Swap contracts | |
Average notional balance | $52,857 |
Interest rate risk | Foreign currency risk | Total | |
Asset derivatives | |||
Forward foreign currency contracts | $0 | $229,672 | $229,672 |
Futures contracts | 37,898 * | 0 | 37,898 |
$37,898 | $229,672 | $267,570 | |
Liability derivatives | |||
Forward foreign currency contracts | $0 | $10,683 | $10,683 |
Futures contracts | 31,459 * | 0 | 31,459 |
$31,459 | $10,683 | $42,142 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of February 29, 2024 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Credit risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $(159,511 ) | $(159,511 ) |
Futures contracts | (253,544 ) | 0 | 0 | (253,544 ) |
Swap contracts | 0 | 13,042 | 0 | 13,042 |
$(253,544 ) | $13,042 | $(159,511 ) | $(400,013 ) | |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $274,569 | $274,569 |
Futures contracts | (73,934 ) | 0 | 0 | (73,934 ) |
$(73,934 ) | $0 | $274,569 | $200,635 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank N.A. | $198,407 | $(8,551 ) | $0 | $189,856 |
Morgan Stanley, Inc. | 31,265 | (2,132 ) | 0 | 29,133 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank N.A. | $8,551 | $(8,551 ) | $0 | $0 |
Morgan Stanley, Inc. | 2,132 | (2,132 ) | 0 | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804385imge565884c1.jpg)
Attn: Managed Account Services
P.O. Box 1450
Milwaukee, WI 53201
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g804385img50b7ab064.gif)
SAR4903 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803139img0fbbc0b52.jpg)
Allspring Funds
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803139img01d5ddbd3.jpg)
President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Andrew M. Greenberg, CFA, Anthony J. Melville, CFA, Jeffrey L. Weaver, CFA |
Average annual total returns (%) as of February 29, 2024 | ||||||
Expense ratios1 (%) | ||||||
Inception date | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A2 (WCIAX)3 | 5-29-2020 | 5.36 | 1.89 | 1.36 | 0.63 | 0.40 |
Institutional Class (WCIIX) | 5-31-2013 | 5.62 | 2.10 | 1.58 | 0.41 | 0.25 |
Bloomberg U.S. Aggregate Bond Index4 | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg 6-9 Month Treasury Bill Index5 | – | 4.58 | 1.73 | 1.23 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.40% for Class A2 and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class A2 shares prior to their inception reflects the performance of the Institutional Class shares, adjusted to reflect the higher expenses applicable to the Class A2 shares. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg 6-9 Month Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury bills that have a remaining maturity of less than nine months and more than six, are rated investment-grade, and have $250 million or more of outstanding face value. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
Capital One Prime Auto Receivables Trust, 5.20%, 5-15-2026 | 2.07 |
Bank of America NA, 5.65%, 8-18-2025 | 2.04 |
Morgan Stanley Bank NA, 5.48%, 7-16-2025 | 2.03 |
Mercedes-Benz Finance North America LLC, 0.75%, 3-1-2024 | 2.02 |
American Honda Finance Corp., 4.60%, 4-17-2025 | 2.01 |
Banque Federative du Credit Mutuel SA, 2.38%, 11-21-2024 | 1.98 |
JPMorgan Chase & Co., 3.85%, 6-14-2025 | 1.98 |
Skandinaviska Enskilda Banken AB, 0.65%, 9-9-2024 | 1.97 |
Bank of Montreal, 1.85%, 5-1-2025 | 1.95 |
Citibank NA, 5.86%, 9-29-2025 | 1.94 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803139img54f36e3c4.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A2 | ||||
Actual | $1,000.00 | $1,028.28 | $2.02 | 0.40 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.87 | $2.01 | 0.40 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,030.07 | $1.26 | 0.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.62 | $1.26 | 0.25 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 2.09% | ||||||
GNMA±± | 4.58 % | 8-20-2070 | $ | 1,620,059 | $1,583,955 | |
GNMA Series 2023-H13 Class BA±± | 4.65 | 5-20-2073 | 1,541,452 | 1,516,567 | ||
Total agency securities (Cost $3,217,607) | 3,100,522 | |||||
Asset-backed securities: 30.25% | ||||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class A2A | 4.20 | 12-18-2025 | 72,995 | 72,867 | ||
BMW Vehicle Lease Trust Series 2022-1 Class A3 | 1.10 | 3-25-2025 | 127,974 | 127,590 | ||
BMW Vehicle Lease Trust Series 2023-1 Class A3 | 5.16 | 11-25-2025 | 885,000 | 882,909 | ||
BMW Vehicle Lease Trust Series 2023-1 Class A2 | 5.27 | 2-25-2025 | 475,280 | 475,172 | ||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20 | 5-15-2026 | 3,074,910 | 3,070,724 | ||
CARDS II Trust Series 2021-1A Class A144A | 0.60 | 4-15-2027 | 2,000,000 | 1,986,901 | ||
CarMax Auto Owner Trust Series 2020-4 Class A3 | 0.50 | 8-15-2025 | 222,988 | 221,633 | ||
CarMax Auto Owner Trust Series 2021-4 Class A3 | 0.56 | 9-15-2026 | 2,142,962 | 2,071,260 | ||
Carvana Auto Receivables Trust Series 2022-P3 Class A2 | 4.42 | 12-10-2025 | 213,116 | 212,862 | ||
Chase Auto Owner Trust Series 2022-AA Class A2144A | 3.86 | 10-27-2025 | 129,948 | 129,749 | ||
Chase Auto Owner Trust Series 2023-AA Class A2144A | 5.90 | 3-25-2027 | 747,721 | 749,417 | ||
Chesapeake Funding II LLC Series 2020-1A Class A1144A | 0.87 | 8-15-2032 | 82,253 | 81,952 | ||
Daimler Trucks Retail Trust Series 2022-1 Class A2 | 5.07 | 9-16-2024 | 98,130 | 98,100 | ||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A1 (U.S. SOFR 1 Month+0.44%)144A± | 5.76 | 12-11-2034 | 188,970 | 189,087 | ||
Enterprise Fleet Financing LLC Series 2024-1 Class A2144A | 5.23 | 3-20-2030 | 2,000,000 | 1,995,785 | ||
Evergreen Credit Card Trust Series 2021-1 Class A144A | 0.90 | 10-15-2026 | 1,000,000 | 971,458 | ||
Evergreen Credit Card Trust Series 2022-CRT1 Class B144A | 5.61 | 7-15-2026 | 2,000,000 | 1,996,657 | ||
Evergreen Credit Card Trust Series 2022-CRT2 Class B144A | 6.56 | 11-15-2026 | 1,000,000 | 1,003,687 | ||
Ford Credit Auto Lease Trust Series 2024-A Class A3 | 5.06 | 5-15-2027 | 1,450,000 | 1,446,389 | ||
Ford Credit Auto Owner Trust Series 2022-C Class A2A | 4.52 | 4-15-2025 | 75,936 | 75,889 | ||
GM Financial Automobile Leasing Trust Series 2022-3 Class A4 | 4.11 | 8-20-2026 | 2,000,000 | 1,978,875 | ||
GM Financial Automobile Leasing Trust Series 2023-1 Class A2A | 5.27 | 6-20-2025 | 564,668 | 564,283 | ||
Honda Auto Receivables Owner Trust Series 2021-3 Class A3 | 0.41 | 11-18-2025 | 1,088,434 | 1,064,433 | ||
Honda Auto Receivables Owner Trust Series 2021-4 Class A4 | 1.14 | 6-21-2028 | 1,530,000 | 1,454,390 | ||
Honda Auto Receivables Owner Trust Series 2023-1 Class A2 | 5.22 | 10-21-2025 | 964,397 | 963,027 | ||
Hyundai Auto Lease Securitization Trust Series 2022-A Class A3144A | 1.16 | 1-15-2025 | 623,566 | 622,432 | ||
Hyundai Auto Receivables Trust Series 2023-A Class A2A | 5.19 | 12-15-2025 | 559,578 | 558,778 | ||
John Deere Owner Trust Series 2022-B Class A2 | 3.73 | 6-16-2025 | 139,225 | 139,000 | ||
John Deere Owner Trust Series 2022-C Class A2 | 4.98 | 8-15-2025 | 486,648 | 486,144 | ||
Mercedes-Benz Auto Lease Trust Series 2023-A Class A2 | 5.24 | 11-17-2025 | 1,731,937 | 1,730,261 | ||
Mercedes-Benz Auto Receivables Trust Series 2022-1 Class A2 | 5.26 | 10-15-2025 | 418,319 | 418,168 | ||
Nissan Auto Lease Trust Series 2022-A Class A3 | 3.81 | 5-15-2025 | 544,436 | 542,713 | ||
Nissan Auto Receivables Owner Trust Series 2023-A Class A2A | 5.34 | 2-17-2026 | 1,722,925 | 1,721,302 | ||
Porsche Financial Auto Securitization Trust Series 2023-1A Class A2144A | 5.42 | 12-22-2026 | 1,761,887 | 1,760,954 | ||
Porsche Financial Auto Securitization Trust Series 2023-2A Class A2A144A | 5.88 | 11-23-2026 | 850,000 | 852,034 | ||
SBNA Auto Lease Trust Series 2023-A Class A2144A | 6.27 | 4-20-2026 | 1,000,000 | 1,005,460 | ||
SBNA Auto Lease Trust Series 2023-A Class A3144A | 6.51 | 4-20-2027 | 2,000,000 | 2,033,868 | ||
Tesla Auto Lease Trust Series 2023-A Class A3144A | 5.89 | 6-22-2026 | 2,225,000 | 2,237,873 | ||
Toyota Auto Receivables Owner Trust Series 2023-A Class A2 | 5.05 | 1-15-2026 | 1,607,576 | 1,605,321 | ||
Toyota Lease Owner Trust Series 2023-A Class A2144A | 5.30 | 8-20-2025 | 710,555 | 709,674 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
Venture XXV CLO Ltd. Series 2016-25A Class ARR (U.S. SOFR 3 Month+1.28%)144A± | 6.60 % | 4-20-2029 | $ | 290,174 | $290,395 | |
Verizon Master Trust Series 2024-1 Class A1A | 5.00 | 12-20-2028 | 1,000,000 | 997,228 | ||
World Omni Auto Receivables Trust 2022-D Series 2022-D Class A3 | 5.61 | 2-15-2028 | 2,500,000 | 2,507,610 | ||
World Omni Automobile Lease Securitization Trust Series 2023-A Class A2A | 5.47 | 11-17-2025 | 739,197 | 738,657 | ||
Total asset-backed securities (Cost $44,898,072) | 44,842,968 | |||||
Corporate bonds and notes: 39.44% | ||||||
Basic materials: 3.02% | ||||||
Forest products & paper: 1.84% | ||||||
Georgia-Pacific LLC144A | 0.63 | 5-15-2024 | 2,750,000 | 2,722,693 | ||
Mining: 1.18% | ||||||
Glencore Funding LLC144A | 4.13 | 3-12-2024 | 1,750,000 | 1,749,283 | ||
Consumer, cyclical: 7.31% | ||||||
Auto manufacturers: 7.31% | ||||||
American Honda Finance Corp. Series A | 4.60 | 4-17-2025 | 3,000,000 | 2,979,264 | ||
BMW U.S. Capital LLC144A | 5.30 | 8-11-2025 | 2,200,000 | 2,206,173 | ||
Daimler Truck Finance North America LLC144A | 5.20 | 1-17-2025 | 1,500,000 | 1,495,520 | ||
Hyundai Capital America144A | 5.80 | 6-26-2025 | 500,000 | 501,877 | ||
Hyundai Capital America144A | 6.25 | 11-3-2025 | 650,000 | 657,440 | ||
Mercedes-Benz Finance North America LLC144A | 0.75 | 3-1-2024 | 3,000,000 | 3,000,000 | ||
10,840,274 | ||||||
Consumer, non-cyclical: 4.66% | ||||||
Agriculture: 2.68% | ||||||
BAT Capital Corp. | 2.79 | 9-6-2024 | 1,500,000 | 1,476,951 | ||
Philip Morris International, Inc. | 5.13 | 11-15-2024 | 2,500,000 | 2,493,592 | ||
3,970,543 | ||||||
Beverages: 0.89% | ||||||
Keurig Dr Pepper, Inc. | 0.75 | 3-15-2024 | 1,321,000 | 1,318,979 | ||
Pharmaceuticals: 1.09% | ||||||
Bristol-Myers Squibb Co. | 4.95 | 2-20-2026 | 1,625,000 | 1,622,223 | ||
Financial: 21.33% | ||||||
Banks: 12.20% | ||||||
Bank of America NA | 5.65 | 8-18-2025 | 3,000,000 | 3,021,665 | ||
Bank of New York Mellon Corp. | 3.25 | 9-11-2024 | 1,500,000 | 1,482,312 | ||
Bank of New York Mellon (U.S. SOFR+0.80%)± | 5.22 | 11-21-2025 | 2,000,000 | 1,996,074 | ||
Citibank NA | 5.86 | 9-29-2025 | 2,850,000 | 2,883,484 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.98%)± | 3.85 | 6-14-2025 | 2,948,000 | 2,930,036 | ||
Morgan Stanley Bank NA | 5.48 | 7-16-2025 | 3,000,000 | 3,012,464 | ||
Wells Fargo Bank NA | 5.55 | 8-1-2025 | 2,750,000 | 2,761,251 | ||
18,087,286 |
Interest rate | Maturity date | Principal | Value | |||
Insurance: 6.67% | ||||||
Athene Global Funding (U.S. SOFR+0.70%)144A± | 6.04 % | 5-24-2024 | $ | 2,500,000 | $2,501,847 | |
Brighthouse Financial Global Funding (U.S. SOFR+0.76%)144A± | 6.11 | 4-12-2024 | 1,200,000 | 1,200,815 | ||
GA Global Funding Trust (U.S. SOFR+1.36%)144A± | 6.71 | 4-11-2025 | 2,000,000 | 2,005,268 | ||
New York Life Global Funding144A | 3.60 | 8-5-2025 | 1,800,000 | 1,762,507 | ||
Principal Life Global Funding II144A | 0.75 | 4-12-2024 | 305,000 | 303,390 | ||
Principal Life Global Funding II (U.S. SOFR+0.38%)144A± | 5.72 | 8-23-2024 | 670,000 | 670,409 | ||
Protective Life Global Funding144A | 1.65 | 1-13-2025 | 1,500,000 | 1,452,232 | ||
9,896,468 | ||||||
REITS: 2.46% | ||||||
Public Storage Operating Co. (U.S. SOFR+0.47%)± | 5.82 | 4-23-2024 | 1,195,000 | 1,195,030 | ||
Simon Property Group LP | 2.00 | 9-13-2024 | 2,500,000 | 2,447,987 | ||
3,643,017 | ||||||
Industrial: 0.78% | ||||||
Trucking & leasing: 0.78% | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 1.20 | 11-15-2025 | 1,250,000 | 1,161,101 | ||
Technology: 1.01% | ||||||
Computers: 1.01% | ||||||
Hewlett Packard Enterprise Co. | 5.90 | 10-1-2024 | 1,500,000 | 1,501,677 | ||
Utilities: 1.33% | ||||||
Electric: 1.33% | ||||||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.99 | 5-13-2024 | 723,000 | 723,114 | ||
NextEra Energy Capital Holdings, Inc. | 4.95 | 1-29-2026 | 1,000,000 | 992,193 | ||
NextEra Energy Capital Holdings, Inc. | 6.05 | 3-1-2025 | 250,000 | 250,899 | ||
1,966,206 | ||||||
Total corporate bonds and notes (Cost $58,359,031) | 58,479,750 | |||||
Yankee corporate bonds and notes: 26.37% | ||||||
Financial: 26.37% | ||||||
Banks: 25.08% | ||||||
Bank of Montreal | 1.85 | 5-1-2025 | 3,000,000 | 2,882,975 | ||
Bank of Nova Scotia | 0.65 | 7-31-2024 | 2,736,000 | 2,682,009 | ||
Banque Federative du Credit Mutuel SA144A | 2.38 | 11-21-2024 | 3,000,000 | 2,933,500 | ||
Canadian Imperial Bank of Commerce | 1.00 | 10-18-2024 | 2,000,000 | 1,945,030 | ||
Commonwealth Bank of Australia | 5.08 | 1-10-2025 | 2,000,000 | 1,995,638 | ||
Cooperatieve Rabobank UA | 4.85 | 1-9-2026 | 1,550,000 | 1,543,447 | ||
Federation des Caisses Desjardins du Quebec (U.S. SOFR+0.43%)144A± | 5.77 | 5-21-2024 | 2,050,000 | 2,050,917 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.55%)± | 5.06 | 9-12-2025 | 2,750,000 | 2,738,420 | ||
National Australia Bank Ltd. | 4.75 | 12-10-2025 | 1,850,000 | 1,841,189 | ||
NatWest Markets PLC (U.S. SOFR+0.53%)144A± | 5.87 | 8-12-2024 | 1,250,000 | 1,250,554 | ||
Nordea Bank Abp144A | 0.63 | 5-24-2024 | 1,000,000 | 988,739 | ||
Royal Bank of Canada | 5.66 | 10-25-2024 | 2,000,000 | 2,000,692 | ||
Skandinaviska Enskilda Banken AB144A | 0.65 | 9-9-2024 | 3,000,000 | 2,921,448 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
Sumitomo Mitsui Trust Bank Ltd. (U.S. SOFR+0.44%)144A± | 5.79 % | 9-16-2024 | $ | 1,200,000 | $1,200,902 | |
Toronto-Dominion Bank | 4.29 | 9-13-2024 | 2,500,000 | 2,482,597 | ||
UBS AG | 5.80 | 9-11-2025 | 1,500,000 | 1,510,750 | ||
UBS AG (U.S. SOFR+0.45%)144A± | 5.79 | 8-9-2024 | 1,500,000 | 1,501,350 | ||
Westpac Banking Corp. | 5.51 | 11-17-2025 | 700,000 | 705,405 | ||
Westpac Banking Corp. (U.S. SOFR+0.30%)± | 5.64 | 11-18-2024 | 2,000,000 | 2,000,700 | ||
37,176,262 | ||||||
Savings & loans: 1.29% | ||||||
Nationwide Building Society144A | 1.00 | 8-28-2025 | 1,000,000 | 938,580 | ||
Nationwide Building Society144A | 3.90 | 7-21-2025 | 1,000,000 | 980,117 | ||
1,918,697 | ||||||
Total yankee corporate bonds and notes (Cost $39,017,941) | 39,094,959 |
Short-term investments: 1.89% | ||||||
Commercial paper: 1.89% | ||||||
Eversource Energy144A | 5.55 | 3-1-2024 | 1,000,000 | 999,850 | ||
Western Union Co.144A | 5.53 | 3-1-2024 | 1,800,000 | 1,799,728 | ||
2,799,578 | ||||||
Total short-term investments (Cost $2,800,424) | 2,799,578 | |||||
Total investments in securities (Cost $148,293,075) | 100.04 % | 148,317,777 | ||||
Other assets and liabilities, net | (0.04 ) | (64,324 ) | ||||
Total net assets | 100.00 % | $148,253,453 |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
Abbreviations: | |
GNMA | Government National Mortgage Association |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $666,357 | $77,737,007 | $(78,403,364 ) | $0 | $0 | $0 | 0 | $41,751 |
Assets | |
Investments in unaffiliated securities, at value (cost $148,293,075) | $148,317,777 |
Cash | 643,567 |
Receivable for interest | 946,347 |
Prepaid expenses and other assets | 63,504 |
Total assets | 149,971,195 |
Liabilities | |
Payable for investments purchased | 1,166,392 |
Dividends payable | 450,636 |
Payable for Fund shares redeemed | 41,754 |
Administration fees payable | 10,319 |
Management fee payable | 5,695 |
Trustees’ fees and expenses payable | 910 |
Accrued expenses and other liabilities | 42,036 |
Total liabilities | 1,717,742 |
Total net assets | $148,253,453 |
Net assets consist of | |
Paid-in capital | $155,097,190 |
Total distributable loss | (6,843,737 ) |
Total net assets | $148,253,453 |
Computation of net asset value per share | |
Net assets–Class A2 | $184,578 |
Shares outstanding–Class A21 | 18,643 |
Net asset value per share–Class A2 | $9.90 |
Net assets–Institutional Class | $148,068,875 |
Shares outstanding–Institutional Class1 | 14,962,497 |
Net asset value per share–Institutional Class | $9.90 |
Investment income | |
Interest | $4,771,891 |
Income from affiliated securities | 41,751 |
Total investment income | 4,813,642 |
Expenses | |
Management fee | 219,515 |
Administration fees | |
Class A2 | 136 |
Institutional Class | 70,172 |
Shareholder servicing fees | |
Class A2 | 136 |
Custody and accounting fees | 4,524 |
Professional fees | 41,215 |
Registration fees | 18,357 |
Shareholder report expenses | 10,905 |
Trustees’ fees and expenses | 11,935 |
Other fees and expenses | 4,908 |
Total expenses | 381,803 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (162,082 ) |
Class A2 | (70 ) |
Net expenses | 219,651 |
Net investment income | 4,593,991 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (182,685 ) |
Net change in unrealized gains (losses) on investments | 705,650 |
Net realized and unrealized gains (losses) on investments | 522,965 |
Net increase in net assets resulting from operations | $5,116,956 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $4,593,991 | $9,278,449 | ||
Net realized losses on investments | (182,685 ) | (2,459,784 ) | ||
Net change in unrealized gains (losses) on investments | 705,650 | 2,473,829 | ||
Net increase in net assets resulting from operations | 5,116,956 | 9,292,494 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A2 | (4,734 ) | (10,083 ) | ||
Institutional Class | (4,687,581 ) | (9,306,063 ) | ||
Total distributions to shareholders | (4,692,315 ) | (9,316,146 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A2 | 606 | 6,000 | 16,246 | 160,394 |
Institutional Class | 804,576 | 7,945,120 | 1,181,753 | 11,649,365 |
7,951,120 | 11,809,759 | |||
Reinvestment of distributions | ||||
Class A2 | 479 | 4,734 | 956 | 9,429 |
Institutional Class | 180,934 | 1,789,933 | 459,490 | 4,527,831 |
1,794,667 | 4,537,260 | |||
Payment for shares redeemed | ||||
Class A2 | (1,212 ) | (12,010 ) | (20,313 ) | (200,287 ) |
Institutional Class | (5,367,286 ) | (53,076,989 ) | (11,465,507 ) | (112,972,138 ) |
(53,088,999 ) | (113,172,425 ) | |||
Net decrease in net assets resulting from capital share transactions | (43,343,212 ) | (96,825,406 ) | ||
Total decrease in net assets | (42,918,571 ) | (96,849,058 ) | ||
Net assets | ||||
Beginning of period | 191,172,024 | 288,021,082 | ||
End of period | $148,253,453 | $191,172,024 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | ||||
Class A2 | 2023 | 2022 | 2021 | 20201 | |
Net asset value, beginning of period | $9.88 | $9.87 | $10.02 | $10.05 | $10.02 |
Net investment income | 0.25 2 | 0.37 | 0.07 | 0.04 | 0.02 |
Net realized and unrealized gains (losses) on investments | 0.03 | 0.02 | (0.16 ) | (0.03 ) | 0.03 |
Total from investment operations | 0.28 | 0.39 | (0.09 ) | 0.01 | 0.05 |
Distributions to shareholders from | |||||
Net investment income | (0.26 ) | (0.38 ) | (0.06 ) | (0.04 ) | (0.02 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.00 )3 | 0.00 |
Total distributions to shareholders | (0.26 ) | (0.38 ) | (0.06 ) | (0.04 ) | (0.02 ) |
Net asset value, end of period | $9.90 | $9.88 | $9.87 | $10.02 | $10.05 |
Total return4 | 2.83 % | 4.05 % | (0.92 )% | 0.11 % | 0.53 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.66 % | 0.64 % | 0.68 % | 0.70 % | 0.70 % |
Net expenses | 0.40 % | 0.40 % | 0.43 % | 0.49 % | 0.50 % |
Net investment income | 5.09 % | 3.70 % | 0.70 % | 0.35 % | 0.78 % |
Supplemental data | |||||
Portfolio turnover rate | 39 % | 105 % | 112 % | 111 % | 102 % |
Net assets, end of period (000s omitted) | $185 | $185 | $216 | $173 | $71 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Calculated based upon average shares outstanding |
3 | Amount is less than $0.005. |
4 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $9.87 | $9.87 | $10.02 | $10.05 | $10.00 | $9.99 |
Net investment income | 0.26 1 | 0.40 | 0.09 | 0.06 | 0.17 | 0.26 |
Net realized and unrealized gains (losses) on investments | 0.03 | 0.00 2 | (0.16 ) | (0.02 ) | 0.06 | 0.01 |
Total from investment operations | 0.29 | 0.40 | (0.07 ) | 0.04 | 0.23 | 0.27 |
Distributions to shareholders from | ||||||
Net investment income | (0.26 ) | (0.40 ) | (0.08 ) | (0.07 ) | (0.18 ) | (0.26 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.00 )2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.26 ) | (0.40 ) | (0.08 ) | (0.07 ) | (0.18 ) | (0.26 ) |
Net asset value, end of period | $9.90 | $9.87 | $9.87 | $10.02 | $10.05 | $10.00 |
Total return3 | 3.01 % | 4.10 % | (0.69 )% | 0.35 % | 2.30 % | 2.71 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.43 % | 0.41 % | 0.39 % | 0.37 % | 0.38 % | 0.37 % |
Net expenses | 0.25 % | 0.25 % | 0.25 % | 0.26 % | 0.27 % | 0.27 % |
Net investment income | 5.23 % | 3.89 % | 0.81 % | 0.61 % | 1.74 % | 2.54 % |
Supplemental data | ||||||
Portfolio turnover rate | 39 % | 105 % | 112 % | 111 % | 102 % | 171 % |
Net assets, end of period (000s omitted) | $148,069 | $190,987 | $287,805 | $371,584 | $384,253 | $332,551 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $273,505 |
Gross unrealized losses | (301,129 ) |
Net unrealized losses | $(27,624 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $3,100,522 | $0 | $3,100,522 |
Asset-backed securities | 0 | 44,842,968 | 0 | 44,842,968 |
Corporate bonds and notes | 0 | 58,479,750 | 0 | 58,479,750 |
Yankee corporate bonds and notes | 0 | 39,094,959 | 0 | 39,094,959 |
Short-term investments | ||||
Commercial paper | 0 | 2,799,578 | 0 | 2,799,578 |
Total assets | $0 | $148,317,777 | $0 | $148,317,777 |
Average daily net assets | Management fee |
First $1 billion | 0.250 % |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A2 | 0.15 % |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A2 | 0.40 % |
Institutional Class | 0.25 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
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SAR3174 02-24
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Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Michal Stanczyk |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SGVDX) | 8-31-1999 | -3.10 | -1.33 | 0.07 | 1.46 | -0.42 | 0.53 | 0.90 | 0.84 |
Class C (WGSCX) | 12-26-2002 | -0.30 | -1.17 | -0.06 | 0.70 | -1.17 | -0.06 | 1.65 | 1.59 |
Administrator Class (WGSDX) | 4-8-2005 | – | – | – | 1.67 | -0.23 | 0.74 | 0.85 | 0.64 |
Institutional Class (SGVIX) | 8-31-1999 | – | – | – | 1.83 | -0.06 | 0.91 | 0.58 | 0.48 |
Bloomberg U.S. Aggregate Bond Index3 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg U.S. Aggregate ex Credit Index4 | – | – | – | – | 2.39 | 0.06 | 1.01 | – | – |
Bloomberg U.S. Government Intermediate Bond Index5 | – | – | – | – | 3.61 | 0.79 | 1.06 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.84% for Class A, 1.59% for Class C, 0.64% for Administrator Class and 0.48% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate ex Credit Index is composed of the Bloomberg U.S. Government Index and the Bloomberg U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, and mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg U.S. Government Intermediate Bond Index is an unmanaged index composed of U.S. government securities with maturities in the 1- to 10-year range, including securities issued by the U.S. Treasury and U.S. government agencies. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
FNMA, 2.00%, 2-1-2052 | 7.29 |
U.S. Treasury Notes, 4.25%, 1-31-2026 | 3.57 |
Resolution Funding Corp. Principal STRIPS, 0.00%, 1-15-2030 | 2.47 |
FHLMC, 2.50%, 6-1-2051 | 2.03 |
FNMA, 4.50%, 9-1-2052 | 2.01 |
Private Export Funding Corp., 0.55%, 7-30-2024 | 1.90 |
GNMA, 2.50%, 4-20-2052 | 1.78 |
GNMA, 6.00%, 3-20-2054 | 1.78 |
GNMA, 2.00%, 3-20-2052 | 1.56 |
FHLMC, 2.50%, 11-1-2051 | 1.48 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803129img86c421d84.jpg)
1 | Figures represent the percentage of the Fund’s long positions. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,016.55 | $4.21 | 0.84 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.69 | $4.22 | 0.84 % |
Class C | ||||
Actual | $1,000.00 | $1,012.76 | $7.96 | 1.59 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.96 | $7.97 | 1.59 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,016.49 | $3.21 | 0.64 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.22 | 0.64 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,018.36 | $2.41 | 0.48 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.48 | $2.41 | 0.48 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 70.09% | ||||||
FHLMC¤ | 0.00 % | 7-15-2032 | $ | 9,900,000 | $6,757,352 | |
FHLMC | 2.50 | 9-1-2050 | 1,104,325 | 909,172 | ||
FHLMC | 2.50 | 6-1-2051 | 12,370,188 | 10,184,838 | ||
FHLMC | 2.50 | 11-1-2051 | 8,886,704 | 7,390,389 | ||
FHLMC | 2.50 | 12-1-2051 | 1,898,604 | 1,564,409 | ||
FHLMC | 3.00 | 6-1-2050 | 413,421 | 360,641 | ||
FHLMC | 3.00 | 7-1-2050 | 1,288,130 | 1,123,688 | ||
FHLMC | 3.00 | 8-1-2050 | 3,185,420 | 2,758,086 | ||
FHLMC | 3.50 | 8-1-2045 | 1,154,035 | 1,047,214 | ||
FHLMC | 3.50 | 11-1-2045 | 2,043,262 | 1,854,125 | ||
FHLMC | 3.50 | 12-1-2045 | 1,851,060 | 1,679,707 | ||
FHLMC | 4.00 | 6-1-2037 | 4,151,174 | 3,997,829 | ||
FHLMC | 4.00 | 11-1-2042 | 4,792,914 | 4,490,439 | ||
FHLMC | 4.00 | 6-1-2044 | 1,085,364 | 1,020,072 | ||
FHLMC | 4.00 | 5-1-2049 | 630,047 | 585,232 | ||
FHLMC | 4.00 | 9-1-2049 | 239,921 | 222,972 | ||
FHLMC | 4.50 | 3-1-2042 | 87,008 | 84,988 | ||
FHLMC | 4.50 | 9-1-2044 | 1,311,273 | 1,274,311 | ||
FHLMC | 4.50 | 9-1-2049 | 2,435,425 | 2,334,184 | ||
FHLMC | 5.00 | 6-1-2026 | 17,879 | 17,745 | ||
FHLMC | 5.00 | 8-1-2040 | 377,136 | 374,573 | ||
FHLMC | 5.00 | 7-1-2052 | 2,244,268 | 2,177,811 | ||
FHLMC | 5.00 | 9-1-2052 | 2,431,298 | 2,358,299 | ||
FHLMC | 5.50 | 7-1-2035 | 1,138,091 | 1,157,117 | ||
FHLMC | 5.50 | 12-1-2038 | 628,883 | 639,439 | ||
FHLMC | 5.50 | 3-1-2053 | 1,395,787 | 1,383,482 | ||
FHLMC | 6.00 | 10-1-2032 | 9,637 | 9,883 | ||
FHLMC | 6.00 | 1-1-2053 | 2,728,217 | 2,744,183 | ||
FHLMC | 6.50 | 9-1-2028 | 4,066 | 4,141 | ||
FHLMC | 6.50 | 7-1-2031 | 1 | 1 | ||
FHLMC | 7.00 | 12-1-2026 | 100 | 103 | ||
FHLMC | 7.00 | 4-1-2029 | 453 | 466 | ||
FHLMC | 7.00 | 5-1-2029 | 2,210 | 2,272 | ||
FHLMC | 7.00 | 4-1-2032 | 32,297 | 33,199 | ||
FHLMC | 7.50 | 11-1-2031 | 49,554 | 49,269 | ||
FHLMC | 7.50 | 4-1-2032 | 73,296 | 74,491 | ||
FHLMC | 8.00 | 6-1-2024 | 144 | 144 | ||
FHLMC | 8.00 | 8-1-2026 | 2,383 | 2,420 | ||
FHLMC | 8.00 | 11-1-2026 | 2,503 | 2,535 | ||
FHLMC | 8.00 | 11-1-2028 | 584 | 585 | ||
FHLMC | 8.50 | 12-1-2025 | 585 | 586 | ||
FHLMC | 8.50 | 5-1-2026 | 139 | 139 | ||
FHLMC | 8.50 | 8-1-2026 | 1,388 | 1,390 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K039 Class A2 | 3.30 | 7-25-2024 | 273,412 | 271,038 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K075 Class A2±± | 3.65 | 2-25-2028 | 4,370,000 | 4,198,752 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series K153 Class A3±± | 3.12 % | 10-25-2031 | $ | 160,000 | $142,623 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF80 Class AS (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 6-25-2030 | 871,356 | 868,658 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2 Class A1 | 2.75 | 3-25-2027 | 2,529,232 | 2,435,680 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KW03 Class A1 | 2.62 | 12-25-2026 | 1,614,292 | 1,575,301 | ||
FHLMC Structured Pass-Through Certificates Series T-15 Class A6 (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 11-25-2028 | 3,991 | 3,985 | ||
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30 Day Average U.S. SOFR+0.39%)± | 5.72 | 9-25-2031 | 259,905 | 262,305 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 469,706 | 517,259 | ||
FHLMC Structured Pass-Through Certificates Series T-55 Class 2A1±± | 3.35 | 3-25-2043 | 199,010 | 183,497 | ||
FHLMC Structured Pass-Through Certificates Series T-56 Class A4 | 6.00 | 5-25-2043 | 2,631,331 | 2,555,313 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.98 | 7-25-2043 | 1,138,437 | 1,052,530 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 1A1 | 6.50 | 7-25-2043 | 603,256 | 613,798 | ||
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1 (12 Month Treasury Average+1.20%)± | 6.28 | 10-25-2044 | 424,414 | 384,592 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 1A1C±± | 4.25 | 3-25-2036 | 437,356 | 401,075 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 2A1C±± | 4.30 | 3-25-2036 | 685,959 | 633,699 | ||
FHLMC Whole Loan Securities Trust Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 299,183 | 260,781 | ||
FHLMC (1 Year Treasury Constant Maturity+2.13%)± | 6.88 | 1-1-2026 | 3,978 | 3,927 | ||
FHLMC (1 Year Treasury Constant Maturity+2.16%)± | 5.54 | 10-1-2026 | 18,397 | 18,242 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.38 | 6-1-2032 | 2,620 | 2,621 | ||
FHLMC (11th District COFI+1.25%)± | 4.64 | 7-1-2032 | 118,292 | 114,388 | ||
FHLMC (3 Year Treasury Constant Maturity+2.09%)± | 2.96 | 5-1-2026 | 383 | 377 | ||
FHLMC (30 Day Average U.S. SOFR+0.26%)± | 5.59 | 7-1-2031 | 3,013,000 | 2,991,108 | ||
FHLMC (RFUCCT1Y+1.66%)± | 5.84 | 6-1-2043 | 650,643 | 658,951 | ||
FHLMC (RFUCCT1Y+1.67%)± | 5.65 | 7-1-2038 | 398,880 | 408,525 | ||
FHLMC (RFUCCT1Y+1.91%)± | 6.16 | 9-1-2031 | 28,153 | 28,023 | ||
FHLMC Series 2733 Class FB (30 Day Average U.S. SOFR+0.71%)± | 6.04 | 10-15-2033 | 164,401 | 164,466 | ||
FHLMC Series 3070 Class FT (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 11-15-2035 | 290,510 | 288,630 | ||
FHLMC Series 3614 Class QB | 4.00 | 12-15-2024 | 69,407 | 68,891 | ||
FHLMC Series 3830 Class FD (30 Day Average U.S. SOFR+0.47%)± | 5.80 | 3-15-2041 | 124,642 | 123,509 | ||
FHLMC Series 4057 Class FN (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 12-15-2041 | 107,798 | 106,589 | ||
FHLMC Series 4068 Class FK (30 Day Average U.S. SOFR+0.41%)± | 5.74 | 6-15-2040 | 26,861 | 26,823 | ||
FHLMC Series 4093 Class FB (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 7-15-2039 | 71,913 | 71,836 | ||
FHLMC Series 4159 Class AF (30 Day Average U.S. SOFR+1.29%)± | 6.62 | 12-15-2036 | 115,020 | 117,503 | ||
FHLMC Series 4218 Class DF (30 Day Average U.S. SOFR+0.36%)± | 5.69 | 7-15-2042 | 173,518 | 169,956 | ||
FHLMC Series 4409 Class MA | 3.00 | 1-15-2054 | 13,674 | 13,273 | ||
FHLMC Series 4620 Class AF (30 Day Average U.S. SOFR+0.55%)± | 5.60 | 11-15-2042 | 1,325,592 | 1,304,288 | ||
FHLMC Series 5198 Class FB (30 Day Average U.S. SOFR+0.25%)± | 3.37 | 6-15-2049 | 1,935,967 | 1,853,428 | ||
FNMA | 1.38 | 7-1-2030 | 3,879,865 | 3,220,499 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA | 1.65 % | 6-1-2030 | $ | 1,353,480 | $1,140,842 | |
FNMA | 1.65 | 7-1-2030 | 2,346,387 | 1,956,828 | ||
FNMA | 1.66 | 7-1-2032 | 3,950,167 | 3,172,104 | ||
FNMA | 1.97 | 5-1-2030 | 4,263,558 | 3,667,812 | ||
FNMA | 2.00 | 2-1-2052 | 46,126,003 | 36,444,750 | ||
FNMA | 2.32 | 1-1-2026 | 3,887,480 | 3,695,672 | ||
FNMA | 2.35 | 2-1-2032 | 2,217,404 | 1,883,509 | ||
FNMA | 2.50 | 9-1-2050 | 350,683 | 290,654 | ||
FNMA | 2.50 | 12-1-2050 | 1,243,404 | 1,024,705 | ||
FNMA | 2.50 | 7-1-2051 | 1,754,912 | 1,442,925 | ||
FNMA | 2.50 | 10-1-2051 | 5,801,517 | 4,770,069 | ||
FNMA | 2.50 | 1-1-2052 | 2,893,873 | 2,387,700 | ||
FNMA | 2.51 | 9-1-2031 | 4,984,665 | 4,332,509 | ||
FNMA | 2.65 | 2-1-2032 | 4,981,657 | 4,320,817 | ||
FNMA | 2.75 | 9-1-2031 | 876,342 | 767,392 | ||
FNMA | 2.86 | 7-1-2029 | 957,275 | 873,842 | ||
FNMA | 3.00 | 5-1-2027 | 169,603 | 164,439 | ||
FNMA | 3.00 | 6-1-2034 | 1,877,136 | 1,750,833 | ||
FNMA | 3.00 | 4-1-2045 | 28,707 | 25,330 | ||
FNMA | 3.00 | 11-1-2045 | 2,516,237 | 2,210,846 | ||
FNMA | 3.00 | 12-1-2045 | 5,912,461 | 5,204,060 | ||
FNMA | 3.00 | 12-1-2046 | 223,478 | 194,533 | ||
FNMA | 3.00 | 9-1-2050 | 3,271,209 | 2,832,901 | ||
FNMA | 3.00 | 4-1-2052 | 2,349,851 | 2,030,159 | ||
FNMA | 3.00 | 8-1-2050 | 30,459 | 26,304 | ||
FNMA | 3.48 | 3-1-2029 | 857,452 | 810,298 | ||
FNMA | 3.50 | 4-1-2034 | 1,925,954 | 1,869,833 | ||
FNMA | 3.50 | 2-1-2043 | 15,445 | 14,134 | ||
FNMA | 3.50 | 2-1-2045 | 344,210 | 314,279 | ||
FNMA | 3.50 | 4-1-2045 | 1,509,567 | 1,370,793 | ||
FNMA | 3.50 | 8-1-2045 | 128,748 | 116,712 | ||
FNMA | 3.50 | 12-1-2045 | 568,308 | 515,887 | ||
FNMA | 3.50 | 2-1-2046 | 534,732 | 484,571 | ||
FNMA | 3.50 | 5-1-2052 | 5,501,499 | 4,898,970 | ||
FNMA | 3.86 | 3-1-2029 | 780,607 | 750,305 | ||
FNMA | 4.00 | 8-1-2037 | 1,858,640 | 1,789,888 | ||
FNMA | 4.00 | 4-1-2046 | 4,045,262 | 3,808,344 | ||
FNMA | 4.00 | 3-1-2047 | 978,526 | 921,186 | ||
FNMA | 4.00 | 9-1-2048 | 71,478 | 67,025 | ||
FNMA | 4.00 | 10-1-2052 | 2,888,102 | 2,658,406 | ||
FNMA | 4.38 | 7-1-2032 | 1,031,000 | 1,000,631 | ||
FNMA | 4.50 | 1-1-2026 | 2,571 | 2,540 | ||
FNMA | 4.50 | 10-1-2046 | 84,082 | 81,472 | ||
FNMA | 4.50 | 9-1-2049 | 698,852 | 670,371 | ||
FNMA | 4.50 | 9-1-2052 | 10,638,205 | 10,077,821 | ||
FNMA | 4.50 | 11-1-2052 | 2,544,531 | 2,409,316 | ||
FNMA | 4.94 | 10-1-2032 | 1,581,000 | 1,578,624 | ||
FNMA | 5.00 | 3-1-2034 | 154,039 | 152,850 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA | 5.00 % | 8-1-2040 | $ | 2,096,302 | $2,065,732 | |
FNMA | 5.00 | 10-1-2040 | 196,491 | 194,969 | ||
FNMA | 5.00 | 1-1-2042 | 166,158 | 164,855 | ||
FNMA | 5.00 | 12-1-2048 | 193,463 | 189,732 | ||
FNMA | 5.05 | 11-1-2030 | 1,600,000 | 1,621,196 | ||
FNMA | 5.16 | 10-1-2031 | 2,760,000 | 2,822,660 | ||
FNMA | 5.50 | 1-1-2025 | 152 | 152 | ||
FNMA | 5.50 | 9-1-2033 | 901,299 | 915,084 | ||
FNMA | 5.50 | 8-1-2035 | 271,384 | 275,537 | ||
FNMA | 5.50 | 1-1-2037 | 201,899 | 204,994 | ||
FNMA | 5.50 | 4-1-2040 | 516,048 | 523,958 | ||
FNMA | 5.50 | 2-1-2053 | 5,348,977 | 5,302,545 | ||
FNMA | 5.63 | 7-15-2037 | 1,225,000 | 1,347,714 | ||
FNMA | 6.00 | 1-1-2028 | 193,261 | 194,054 | ||
FNMA | 6.00 | 2-1-2035 | 347,176 | 349,000 | ||
FNMA | 6.00 | 11-1-2037 | 137,364 | 141,670 | ||
FNMA | 6.00 | 7-1-2038 | 57,056 | 58,861 | ||
FNMA | 6.50 | 3-1-2028 | 4,831 | 4,863 | ||
FNMA | 6.50 | 12-1-2029 | 51,903 | 52,803 | ||
FNMA | 6.50 | 11-1-2031 | 10,681 | 10,867 | ||
FNMA | 6.50 | 7-1-2036 | 162,708 | 169,246 | ||
FNMA | 7.00 | 11-1-2026 | 744 | 764 | ||
FNMA | 7.00 | 1-1-2032 | 1,052 | 1,080 | ||
FNMA | 7.00 | 2-1-2032 | 22,612 | 23,215 | ||
FNMA | 7.00 | 10-1-2032 | 74,511 | 76,501 | ||
FNMA | 7.00 | 2-1-2034 | 1,244 | 1,277 | ||
FNMA | 7.00 | 4-1-2034 | 36,580 | 37,603 | ||
FNMA | 7.50 | 9-1-2031 | 27,722 | 28,163 | ||
FNMA | 7.50 | 2-1-2032 | 12,583 | 12,781 | ||
FNMA | 7.50 | 10-1-2037 | 292,640 | 304,174 | ||
FNMA | 8.00 | 6-1-2028 | 93 | 92 | ||
FNMA | 8.00 | 2-1-2030 | 11,796 | 11,780 | ||
FNMA | 8.00 | 7-1-2031 | 171,996 | 173,938 | ||
FNMA | 8.50 | 5-1-2026 | 4,696 | 4,692 | ||
FNMA | 8.50 | 7-1-2026 | 994 | 992 | ||
FNMA | 8.50 | 11-1-2026 | 10,896 | 10,897 | ||
FNMA | 8.50 | 12-1-2026 | 31,278 | 31,677 | ||
FNMA | 8.50 | 3-1-2027 | 215 | 216 | ||
FNMA | 9.00 | 1-1-2025 | 89 | 88 | ||
FNMA | 9.00 | 3-1-2025 | 397 | 397 | ||
FNMA | 9.00 | 7-1-2028 | 143 | 143 | ||
FNMA | 9.50 | 7-1-2028 | 434 | 434 | ||
FNMA Principal STRIPS¤ | 0.00 | 7-15-2037 | 7,810,000 | 4,102,499 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 6.32 | 11-1-2031 | 59,976 | 59,609 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 5.95 | 12-1-2040 | 44,032 | 45,104 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 6.02 | 12-1-2034 | 132,940 | 131,661 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.45 | 9-1-2035 | 94,086 | 95,469 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.34 | 6-1-2032 | 57,964 | 58,113 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.79 % | 12-1-2040 | $ | 13,770 | $13,705 | |
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 6.07 | 9-1-2031 | 14,075 | 14,056 | ||
FNMA (1 Year Treasury Constant Maturity+2.42%)± | 6.33 | 10-1-2027 | 12,121 | 12,060 | ||
FNMA (11th District COFI+1.25%)± | 4.42 | 9-1-2027 | 34,757 | 34,097 | ||
FNMA (11th District COFI+1.26%)± | 4.53 | 5-1-2036 | 117,425 | 114,966 | ||
FNMA (11th District COFI+1.29%)± | 4.39 | 5-1-2036 | 225,248 | 217,304 | ||
FNMA (RFUCCT1Y+1.61%)± | 7.11 | 5-1-2046 | 522,972 | 535,643 | ||
FNMA (RFUCCT1Y+1.62%)± | 2.39 | 8-1-2050 | 1,340,833 | 1,197,420 | ||
FNMA (RFUCCT1Y+1.73%)± | 5.98 | 9-1-2036 | 151,062 | 151,341 | ||
FNMA (RFUCCT1Y+1.77%)± | 5.87 | 7-1-2044 | 61,335 | 62,948 | ||
FNMA (RFUCCT1Y+1.78%)± | 6.03 | 8-1-2036 | 422,005 | 434,018 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 319,811 | 322,138 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 349,266 | 359,870 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 91,368 | 95,701 | ||
FNMA Series 2002-5 Class F (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 2-25-2032 | 30,435 | 30,406 | ||
FNMA Series 2002-T1 Class A3 | 7.50 | 11-25-2031 | 130,296 | 134,372 | ||
FNMA Series 2002-T12 Class A5±± | 4.97 | 10-25-2041 | 430,891 | 417,161 | ||
FNMA Series 2002-T16 Class A1 | 6.50 | 7-25-2042 | 807,049 | 834,290 | ||
FNMA Series 2002-T19 Class A1 | 6.50 | 7-25-2042 | 1,951,488 | 2,014,914 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 267,599 | 268,008 | ||
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)± | 5.72 | 3-25-2033 | 648,794 | 637,126 | ||
FNMA Series 2003-W1 Class 1A1±± | 4.78 | 12-25-2042 | 363,268 | 342,746 | ||
FNMA Series 2003-W11 Class A1±± | 6.72 | 6-25-2033 | 25,248 | 25,368 | ||
FNMA Series 2003-W3 Class 1A4±± | 4.31 | 8-25-2042 | 1,132,108 | 1,054,234 | ||
FNMA Series 2003-W5 Class A (1 Month LIBOR+0.11%)± | 5.55 | 4-25-2033 | 183,575 | 180,414 | ||
FNMA Series 2003-W6 Class 6A±± | 4.27 | 8-25-2042 | 455,216 | 437,292 | ||
FNMA Series 2003-W6 Class PT4±± | 8.26 | 10-25-2042 | 631,492 | 668,683 | ||
FNMA Series 2003-W8 Class PT1±± | 8.05 | 12-25-2042 | 226,773 | 228,357 | ||
FNMA Series 2003-W9 Class A (30 Day Average U.S. SOFR+0.23%)± | 5.56 | 6-25-2033 | 43,504 | 41,478 | ||
FNMA Series 2004-T1 Class 1A2 | 6.50 | 1-25-2044 | 158,801 | 160,571 | ||
FNMA Series 2004-W1 Class 2A2 | 7.00 | 12-25-2033 | 502,325 | 518,579 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 256,441 | 264,851 | ||
FNMA Series 2005-71 Class DB | 4.50 | 8-25-2025 | 4,040 | 4,003 | ||
FNMA Series 2006-50 Class BF (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 6-25-2036 | 367,935 | 364,224 | ||
FNMA Series 2007-101 Class A2 (30 Day Average U.S. SOFR+0.36%)± | 6.96 | 6-27-2036 | 41,193 | 41,120 | ||
FNMA Series 2007-W10 Class 2A±± | 6.26 | 8-25-2047 | 118,273 | 121,315 | ||
FNMA Series 2008-17 Class DP | 4.75 | 2-25-2038 | 431,688 | 418,923 | ||
FNMA Series 2010-136 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 12-25-2040 | 481,671 | 471,684 | ||
FNMA Series 2011-110 Class FE (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 4-25-2041 | 36,247 | 36,111 | ||
FNMA Series 2011-128 Class FK (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 7-25-2041 | 76,502 | 76,054 | ||
FNMA Series 2013-114 Class LM | 4.00 | 3-25-2042 | 641,921 | 599,429 | ||
FNMA Series 2014-17 Class FE (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 4-25-2044 | 946,532 | 926,103 | ||
FNMA Series 2014-20 Class TM±± | 4.50 | 4-25-2044 | 278,795 | 46,835 | ||
FNMA Series 2017-M2 Class A2±± | 2.82 | 2-25-2027 | 5,999,812 | 5,699,622 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA Series 2018-M1 Class A2±± | 2.99 % | 12-25-2027 | $ | 615,255 | $579,796 | |
FNMA Series 2018-M13 Class A2±± | 3.74 | 9-25-2030 | 355,769 | 337,675 | ||
FNMA Series 2019-M5 Class A2 | 3.27 | 2-25-2029 | 5,061,078 | 4,762,283 | ||
GNMA | 2.00 | 3-20-2052 | 9,603,516 | 7,818,081 | ||
GNMA | 2.50 | 3-20-2052 | 4,517,168 | 3,823,632 | ||
GNMA | 2.50 | 4-20-2052 | 10,544,876 | 8,925,878 | ||
GNMA | 2.50 | 9-20-2051 | 1,497,241 | 1,267,775 | ||
GNMA | 3.00 | 11-20-2045 | 2,682,148 | 2,392,233 | ||
GNMA | 3.00 | 4-20-2051 | 4,063,140 | 3,573,668 | ||
GNMA | 3.00 | 5-20-2052 | 2,622,127 | 2,299,103 | ||
GNMA | 3.50 | 12-20-2047 | 2,402,496 | 2,199,038 | ||
GNMA | 3.50 | 7-20-2051 | 2,006,970 | 1,823,557 | ||
GNMA | 4.00 | 11-15-2024 | 56,187 | 55,836 | ||
GNMA | 4.00 | 12-20-2047 | 1,644,387 | 1,550,331 | ||
GNMA | 4.25 | 6-20-2036 | 174,601 | 165,911 | ||
GNMA | 4.50 | 8-20-2049 | 363,631 | 349,974 | ||
GNMA | 4.50 | 7-20-2052 | 2,471,414 | 2,362,982 | ||
GNMA | 4.50 | 9-20-2052 | 1,067,985 | 1,020,688 | ||
GNMA | 4.50 | 3-20-2053 | 2,867,449 | 2,739,769 | ||
GNMA | 5.00 | 7-20-2040 | 364,409 | 365,225 | ||
GNMA | 5.00 | 9-20-2052 | 1,957,363 | 1,913,726 | ||
GNMA | 5.00 | 6-20-2053 | 2,842,725 | 2,777,136 | ||
GNMA | 5.50 | 4-20-2053 | 2,773,130 | 2,755,656 | ||
GNMA | 6.00 | 8-20-2034 | 21,626 | 21,442 | ||
GNMA%% | 6.00 | 3-20-2054 | 8,865,000 | 8,908,226 | ||
GNMA | 6.50 | 12-15-2025 | 1,853 | 1,885 | ||
GNMA | 6.50 | 5-15-2029 | 124 | 126 | ||
GNMA | 6.50 | 5-15-2031 | 493 | 506 | ||
GNMA | 6.50 | 9-20-2033 | 17,175 | 17,503 | ||
GNMA%% | 6.50 | 3-20-2054 | 1,250,000 | 1,266,953 | ||
GNMA | 7.00 | 5-15-2026 | 327 | 327 | ||
GNMA | 7.00 | 3-15-2028 | 1,783 | 1,779 | ||
GNMA | 7.00 | 4-15-2031 | 384 | 382 | ||
GNMA | 7.00 | 8-15-2031 | 13,372 | 13,378 | ||
GNMA | 7.00 | 3-15-2032 | 10,216 | 10,202 | ||
GNMA Series 2005-23 Class IOƒ±± | 0.00 | 6-17-2045 | 525,275 | 1 | ||
GNMA Series 2006-32 Class XMƒ±± | 0.13 | 11-16-2045 | 2,094,753 | 14 | ||
GNMA Series 2008-22 Class XMƒ±± | 1.30 | 2-16-2050 | 3,820,933 | 48,187 | ||
GNMA Series 2010-158 Class EIƒ | 4.00 | 12-16-2025 | 582,238 | 9,303 | ||
GNMA Series 2012-H12 Class HD | 2.00 | 5-20-2062 | 17,652 | 16,106 | ||
GNMA Series 2018-H01 Class BF (U.S. SOFR 1 Month+0.51%)± | 5.86 | 1-20-2068 | 2,103,711 | 2,092,565 | ||
GNMA Series 2019-H06 Class HIƒ±± | 1.82 | 4-20-2069 | 2,324,408 | 59,303 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 1-15-2030 | 16,245,000 | 12,384,613 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 9,185,000 | 6,910,397 | ||
TVA Principal STRIPS¤ | 0.00 | 11-1-2025 | 5,650,000 | 5,212,059 | ||
TVA Principal STRIPS¤ | 0.00 | 6-15-2035 | 2,448,000 | 1,420,427 | ||
TVA Principal STRIPS¤ | 0.00 | 1-15-2048 | 1,000,000 | 286,652 | ||
U.S. International Development Finance Corp. Series AA-1¤ | 0.00 | 1-17-2026 | 2,000,000 | 2,089,016 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
Vendee Mortgage Trust Series 1995-1 Class 4±± | 8.51 % | 2-15-2025 | $ | 7,526 | $7,566 | |
Vendee Mortgage Trust Series 1995-2C Class 3A | 8.79 | 6-15-2025 | 22,087 | 22,425 | ||
Total agency securities (Cost $379,546,903) | 350,881,138 | |||||
Asset-backed securities: 0.64% | ||||||
FirstKey Homes Trust Series 2021-SFR1 Class A144A | 1.54 | 8-17-2038 | 1,218,662 | 1,112,105 | ||
Navient Student Loan Trust Series 2019-2A Class A2 (30 Day Average U.S. SOFR+1.11%)144A± | 6.44 | 2-27-2068 | 2,118,336 | 2,114,692 | ||
Total asset-backed securities (Cost $3,334,770) | 3,226,797 | |||||
Corporate bonds and notes: 4.05% | ||||||
Consumer, non-cyclical: 0.51% | ||||||
Commercial services: 0.51% | ||||||
Rockefeller Foundation Series 2020 | 2.49 | 10-1-2050 | 4,000,000 | 2,537,668 | ||
Financial: 3.05% | ||||||
Diversified financial services: 2.29% | ||||||
GTP Acquisition Partners I LLC Series 2015-2 Class A144A | 3.48 | 6-16-2025 | 2,000,000 | 1,948,349 | ||
Private Export Funding Corp.144A | 0.55 | 7-30-2024 | 9,715,000 | 9,522,965 | ||
11,471,314 | ||||||
REITS: 0.76% | ||||||
American Tower Trust #1144A | 3.65 | 3-23-2028 | 4,000,000 | 3,785,565 | ||
Government securities: 0.49% | ||||||
Multi-national: 0.49% | ||||||
Inter-American Development Bank | 7.00 | 6-15-2025 | 2,000,000 | 2,042,674 | ||
International Bank for Reconstruction & Development Series C¤ | 0.00 | 3-11-2031 | 615,000 | 443,348 | ||
2,486,022 | ||||||
Total corporate bonds and notes (Cost $22,344,889) | 20,280,569 | |||||
Non-agency mortgage-backed securities: 5.17% | ||||||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 468,110 | 433,699 | ||
Arroyo Mortgage Trust Series 2019-1 Class A1144A±± | 3.81 | 1-25-2049 | 982,275 | 923,008 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 199,190 | 190,909 | ||
Benchmark Mortgage Trust Series 2019-B9 Class A5 | 4.02 | 3-15-2052 | 784,571 | 729,377 | ||
BRAVO Residential Funding Trust Series 2020-RPL1 Class A1144A±± | 2.50 | 5-26-2059 | 1,400,739 | 1,340,415 | ||
BX Trust Series 2019-OC11 Class A144A | 3.20 | 12-9-2041 | 3,030,000 | 2,678,458 | ||
CD Mortgage Trust Series 2017-CD6 Class A5 | 3.46 | 11-13-2050 | 2,340,000 | 2,179,442 | ||
GCAT Trust Series 2022-HX1 Class A1144A±± | 2.89 | 12-27-2066 | 800,543 | 712,092 | ||
GS Mortgage Securities Trust Series 2014-GC24 Class A4 | 3.67 | 9-10-2047 | 3,090,008 | 3,058,602 | ||
JPMBB Commercial Mortgage Securities Trust Series 2015-C28 Class A4 | 3.23 | 10-15-2048 | 5,000,000 | 4,844,172 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1144A±± | 3.00 | 9-25-2059 | 2,089,004 | 1,962,289 | ||
New Residential Mortgage Loan Trust Series 2020-NQM2 Class A1144A±± | 1.65 | 5-24-2060 | 314,145 | 295,085 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1144A±± | 1.92 | 11-25-2066 | 3,614,940 | 2,988,792 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±± | 3.68 | 11-25-2060 | 877,337 | 867,127 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 % | 11-15-2050 | $ | 2,581,000 | $2,369,181 | |
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 366,912 | 324,029 | ||
Total non-agency mortgage-backed securities (Cost $28,108,068) | 25,896,677 | |||||
U.S. Treasury securities: 12.28% | ||||||
U.S. Treasury Bonds | 3.63 | 2-15-2044 | 2,030,000 | 1,784,655 | ||
U.S. Treasury Bonds | 4.13 | 8-15-2053 | 5,535,000 | 5,298,898 | ||
U.S. Treasury Bonds | 4.25 | 2-15-2054 | 3,500,000 | 3,434,375 | ||
U.S. Treasury Bonds | 4.38 | 8-15-2043 | 6,795,000 | 6,652,730 | ||
U.S. Treasury Bonds | 4.75 | 11-15-2043 | 1,475,000 | 1,517,867 | ||
U.S. Treasury Notes | 2.75 | 4-30-2027 | 7,380,000 | 7,022,243 | ||
U.S. Treasury Notes | 4.00 | 2-15-2034 | 5,100,000 | 5,000,390 | ||
U.S. Treasury Notes | 4.25 | 12-31-2025 | 2,795,000 | 2,773,164 | ||
U.S. Treasury Notes## | 4.25 | 1-31-2026 | 18,000,000 | 17,865,703 | ||
U.S. Treasury Notes | 4.25 | 2-28-2031 | 2,520,000 | 2,516,850 | ||
U.S. Treasury Principal STRIPS¤ | 0.00 | 5-15-2039 | 7,980,000 | 4,163,257 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2040 | 7,275,000 | 3,430,471 | ||
Total U.S. Treasury securities (Cost $64,935,753) | 61,460,603 |
Yield | Shares | |||||
Short-term investments: 10.09% | ||||||
Investment companies: 2.01% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 10,083,115 | 10,083,115 |
Principal | ||||||
U.S. Treasury securities: 8.08% | ||||||
U.S. Treasury Bills☼ | 4.21 | 3-5-2024 | $ | 13,000,000 | 12,992,387 | |
U.S. Treasury Bills☼ | 4.83 | 3-12-2024 | 10,000,000 | 9,983,870 | ||
U.S. Treasury Bills☼ | 4.91 | 3-14-2024 | 7,500,000 | 7,485,718 | ||
U.S. Treasury Bills☼ | 5.10 | 3-26-2024 | 10,000,000 | 9,963,264 | ||
40,425,239 | ||||||
Total short-term investments (Cost $50,508,467) | 50,508,354 | |||||
Total investments in securities (Cost $548,778,850) | 102.32 % | 512,254,138 | ||||
Other assets and liabilities, net | (2.32 ) | (11,613,558 ) | ||||
Total net assets | 100.00 % | $500,640,580 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
COFI | Cost of Funds Index |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $24,023,931 | $191,504,359 | $(205,445,175 ) | $0 | $0 | $10,083,115 | 10,083,115 | $504,836 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
Ultra Long Term U.S. Treasury Bond | 29 | 6-18-2024 | $3,712,052 | $3,708,375 | $0 | $(3,677 ) |
2-Year U.S. Treasury Notes | 639 | 6-28-2024 | 130,781,358 | 130,835,250 | 53,892 | 0 |
5-Year U.S. Treasury Notes | 584 | 6-28-2024 | 62,331,446 | 62,433,250 | 101,804 | 0 |
Short | ||||||
Ultra 10-Year U.S. Treasury Notes | (116 ) | 6-18-2024 | (13,211,856 ) | (13,243,938 ) | 0 | (32,082 ) |
$155,696 | $(35,759 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $538,695,735) | $502,171,023 |
Investments in affiliated securities, at value (cost $10,083,115) | 10,083,115 |
Cash | 53 |
Cash at broker segregated for futures contracts | 2,666,000 |
Receivable for interest | 1,415,231 |
Receivable for Fund shares sold | 409,785 |
Principal paydown receivable | 76,336 |
Receivable for daily variation margin on open futures contracts | 31,781 |
Prepaid expenses and other assets | 149,310 |
Total assets | 517,002,634 |
Liabilities | |
Payable for when-issued transactions | 10,258,441 |
Payable for investments purchased | 3,425,000 |
Payable for Fund shares redeemed | 1,946,370 |
Dividends payable | 365,098 |
Management fee payable | 136,793 |
Administration fees payable | 41,705 |
Payable for daily variation margin on open futures contracts | 28,554 |
Trustees’ fees and expenses payable | 910 |
Distribution fee payable | 780 |
Accrued expenses and other liabilities | 158,403 |
Total liabilities | 16,362,054 |
Total net assets | $500,640,580 |
Net assets consist of | |
Paid-in capital | $604,795,489 |
Total distributable loss | (104,154,909 ) |
Total net assets | $500,640,580 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $151,876,916 |
Shares outstanding–Class A1 | 15,870,845 |
Net asset value per share–Class A | $9.57 |
Maximum offering price per share – Class A2 | $10.02 |
Net assets–Class C | $1,257,729 |
Shares outstanding–Class C1 | 131,423 |
Net asset value per share–Class C | $9.57 |
Net assets–Administrator Class | $65,572,573 |
Shares outstanding–Administrator Class1 | 6,855,469 |
Net asset value per share–Administrator Class | $9.57 |
Net assets–Institutional Class | $281,933,362 |
Shares outstanding–Institutional Class1 | 29,472,885 |
Net asset value per share–Institutional Class | $9.57 |
Investment income | |
Interest | $9,359,486 |
Income from affiliated securities | 504,836 |
Total investment income | 9,864,322 |
Expenses | |
Management fee | 1,157,782 |
Administration fees | |
Class A | 116,604 |
Class C | 1,012 |
Administrator Class | 33,928 |
Institutional Class | 116,366 |
Shareholder servicing fees | |
Class A | 192,619 |
Class C | 1,679 |
Administrator Class | 84,080 |
Distribution fee | |
Class C | 5,030 |
Custody and accounting fees | 13,457 |
Professional fees | 55,482 |
Registration fees | 22,890 |
Shareholder report expenses | 22,275 |
Trustees’ fees and expenses | 11,935 |
Other fees and expenses | 6,686 |
Total expenses | 1,841,825 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (128,925 ) |
Class A | (6,650 ) |
Administrator Class | (53,738 ) |
Institutional Class | (73,465 ) |
Net expenses | 1,579,047 |
Net investment income | 8,285,275 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (13,433,384 ) |
Futures contracts | 551,284 |
Net realized losses on investments | (12,882,100 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 12,927,952 |
Futures contracts | (446,379 ) |
Net change in unrealized gains (losses) on investments | 12,481,573 |
Net realized and unrealized gains (losses) on investments | (400,527 ) |
Net increase in net assets resulting from operations | $7,884,748 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $8,285,275 | $14,059,786 | ||
Net realized losses on investments | (12,882,100 ) | (23,841,693 ) | ||
Net change in unrealized gains (losses) on investments | 12,481,573 | (8,292,655 ) | ||
Net increase (decrease) in net assets resulting from operations | 7,884,748 | (18,074,562 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,405,544 ) | (4,233,304 ) | ||
Class C | (15,736 ) | (28,397 ) | ||
Administrator Class | (1,117,063 ) | (1,987,567 ) | ||
Institutional Class | (5,021,374 ) | (7,695,817 ) | ||
Total distributions to shareholders | (8,559,717 ) | (13,945,085 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 601,276 | 5,704,132 | 1,276,603 | 12,457,472 |
Class C | 27,600 | 268,134 | 35,023 | 340,085 |
Administrator Class | 552,479 | 5,291,970 | 1,204,604 | 11,758,415 |
Institutional Class | 5,571,346 | 53,234,389 | 22,873,292 | 225,010,726 |
64,498,625 | 249,566,698 | |||
Reinvestment of distributions | ||||
Class A | 222,130 | 2,106,813 | 383,936 | 3,735,705 |
Class C | 1,340 | 12,699 | 2,473 | 24,064 |
Administrator Class | 115,462 | 1,094,450 | 200,913 | 1,954,695 |
Institutional Class | 331,085 | 3,139,162 | 550,772 | 5,358,154 |
6,353,124 | 11,072,618 | |||
Payment for shares redeemed | ||||
Class A | (2,251,412 ) | (21,246,146 ) | (3,839,053 ) | (37,403,872 ) |
Class C | (63,185 ) | (598,238 ) | (77,498 ) | (761,613 ) |
Administrator Class | (1,322,163 ) | (12,558,146 ) | (2,155,311 ) | (20,952,556 ) |
Institutional Class | (9,530,435 ) | (90,395,365 ) | (15,659,991 ) | (152,540,390 ) |
(124,797,895 ) | (211,658,431 ) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (53,946,146 ) | 48,980,885 | ||
Total increase (decrease) in net assets | (54,621,115 ) | 16,961,238 | ||
Net assets | ||||
Beginning of period | 555,261,695 | 538,300,457 | ||
End of period | $500,640,580 | $555,261,695 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $9.56 | $10.11 | $11.49 | $11.67 | $11.31 | $10.65 |
Net investment income | 0.14 1 | 0.24 1 | 0.14 | 0.12 1 | 0.18 1 | 0.23 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.56 ) | (1.39 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | 0.16 | (0.32 ) | (1.25 ) | (0.05 ) | 0.56 | 0.91 |
Distributions to shareholders from | ||||||
Net investment income | (0.15 ) | (0.23 ) | (0.13 ) | (0.11 ) | (0.19 ) | (0.25 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.15 ) | (0.23 ) | (0.13 ) | (0.13 ) | (0.20 ) | (0.25 ) |
Net asset value, end of period | $9.57 | $9.56 | $10.11 | $11.49 | $11.67 | $11.31 |
Total return2 | 1.65 % | (3.14 )% | (10.95 )% | (0.40 )% | 5.02 % | 8.65 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.90 % | 0.91 % | 0.89 % | 0.89 % | 0.91 % | 0.91 % |
Net expenses | 0.84 % | 0.85 % | 0.84 % | 0.84 % | 0.84 % | 0.85 % |
Net investment income | 2.99 % | 2.42 % | 1.28 % | 1.00 % | 1.56 % | 2.20 % |
Supplemental data | ||||||
Portfolio turnover rate | 40 % | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $151,877 | $165,441 | $196,839 | $265,018 | $276,310 | $271,986 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $9.56 | $10.10 | $11.49 | $11.67 | $11.31 | $10.65 |
Net investment income | 0.11 1 | 0.16 1 | 0.06 1 | 0.03 1 | 0.09 1 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | 0.01 | (0.54 ) | (1.40 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | 0.12 | (0.38 ) | (1.34 ) | (0.14 ) | 0.47 | 0.83 |
Distributions to shareholders from | ||||||
Net investment income | (0.11 ) | (0.16 ) | (0.05 ) | (0.02 ) | (0.10 ) | (0.17 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.11 ) | (0.16 ) | (0.05 ) | (0.04 ) | (0.11 ) | (0.17 ) |
Net asset value, end of period | $9.57 | $9.56 | $10.10 | $11.49 | $11.67 | $11.31 |
Total return2 | 1.28 % | (3.77 )% | (11.71 )% | (1.16 )% | 4.24 % | 7.84 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.64 % | 1.65 % | 1.63 % | 1.64 % | 1.66 % | 1.66 % |
Net expenses | 1.59 % | 1.60 % | 1.60 % | 1.60 % | 1.60 % | 1.60 % |
Net investment income | 2.23 % | 1.67 % | 0.52 % | 0.24 % | 0.81 % | 1.44 % |
Supplemental data | ||||||
Portfolio turnover rate | 40 % | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $1,258 | $1,584 | $2,078 | $3,042 | $7,560 | $11,026 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Net investment income | 0.15 1 | 0.26 1 | 0.16 1 | 0.14 1 | 0.20 1 | 0.26 1 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.55 ) | (1.39 ) | (0.16 ) | 0.37 | 0.67 |
Total from investment operations | 0.17 | (0.29 ) | (1.23 ) | (0.02 ) | 0.57 | 0.93 |
Distributions to shareholders from | ||||||
Net investment income | (0.16 ) | (0.25 ) | (0.15 ) | (0.14 ) | (0.21 ) | (0.27 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.16 ) | (0.25 ) | (0.15 ) | (0.16 ) | (0.22 ) | (0.27 ) |
Net asset value, end of period | $9.57 | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 |
Total return2 | 1.65 % | (2.84 )% | (10.78 )% | (0.21 )% | 5.15 % | 8.88 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.85 % | 0.85 % | 0.83 % | 0.83 % | 0.85 % | 0.85 % |
Net expenses | 0.64 % | 0.64 % | 0.64 % | 0.64 % | 0.64 % | 0.64 % |
Net investment income | 3.19 % | 2.63 % | 1.49 % | 1.21 % | 1.75 % | 2.42 % |
Supplemental data | ||||||
Portfolio turnover rate | 40 % | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $65,573 | $71,787 | $83,432 | $111,639 | $120,181 | $106,355 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Net investment income | 0.16 1 | 0.28 1 | 0.17 | 0.16 1 | 0.21 1 | 0.27 1 |
Net realized and unrealized gains (losses) on investments | 0.01 | (0.55 ) | (1.38 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | 0.17 | (0.27 ) | (1.21 ) | (0.01 ) | 0.59 | 0.95 |
Distributions to shareholders from | ||||||
Net investment income | (0.16 ) | (0.27 ) | (0.17 ) | (0.15 ) | (0.23 ) | (0.29 ) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.16 ) | (0.27 ) | (0.17 ) | (0.17 ) | (0.24 ) | (0.29 ) |
Net asset value, end of period | $9.57 | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 |
Total return2 | 1.84 % | (2.69 )% | (10.63 )% | (0.05 )% | 5.31 % | 9.05 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.58 % | 0.58 % | 0.56 % | 0.56 % | 0.58 % | 0.58 % |
Net expenses | 0.48 % | 0.48 % | 0.48 % | 0.48 % | 0.48 % | 0.48 % |
Net investment income | 3.35 % | 2.83 % | 1.66 % | 1.36 % | 1.87 % | 2.56 % |
Supplemental data | ||||||
Portfolio turnover rate | 40 % | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $281,933 | $316,449 | $255,952 | $306,431 | $329,083 | $210,424 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $1,507,360 |
Gross unrealized losses | (47,904,460 ) |
Net unrealized losses | $(46,397,100 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $350,881,138 | $0 | $350,881,138 |
Asset-backed securities | 0 | 3,226,797 | 0 | 3,226,797 |
Corporate bonds and notes | 0 | 20,280,569 | 0 | 20,280,569 |
Non-agency mortgage-backed securities | 0 | 25,896,677 | 0 | 25,896,677 |
U.S. Treasury securities | 53,866,875 | 7,593,728 | 0 | 61,460,603 |
Short-term investments | ||||
Investment companies | 10,083,115 | 0 | 0 | 10,083,115 |
U.S. Treasury securities | 40,425,239 | 0 | 0 | 40,425,239 |
104,375,229 | 407,878,909 | 0 | 512,254,138 | |
Futures contracts | 155,696 | 0 | 0 | 155,696 |
Total assets | $104,530,925 | $407,878,909 | $0 | $512,409,834 |
Liabilities | ||||
Futures contracts | $35,759 | $0 | $0 | $35,759 |
Total liabilities | $35,759 | $0 | $0 | $35,759 |
Average daily net assets | Management fee |
First $500 million | 0.450 % |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.84 % |
Class C | 1.59 |
Administrator Class | 0.64 |
Institutional Class | 0.48 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$194,482,776 | $1,456,513 | $260,275,576 | $326,118 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803129img1585635f1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803129img76bf61d05.gif)
SAR3004 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803621imgc263c2c52.jpg)
Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA, Michael J. Schueller, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (EKHAX) | 1-20-1998 | 4.41 | 2.10 | 2.96 | 9.42 | 3.03 | 3.45 | 1.02 | 0.92 |
Class C (EKHCX) | 1-21-1998 | 7.97 | 2.32 | 2.86 | 8.97 | 2.32 | 2.86 | 1.77 | 1.67 |
Administrator Class (EKHYX) | 4-14-1998 | – | – | – | 9.55 | 3.09 | 3.61 | 0.97 | 0.80 |
Institutional Class (EKHIX)3 | 10-31-2014 | – | – | – | 9.85 | 3.37 | 3.83 | 0.70 | 0.53 |
Bloomberg U.S. Universal Bond Index4 | – | – | – | – | 4.06 | 0.85 | 1.73 | – | – |
ICE BofA U.S. High Yield Constrained Index5 | – | – | – | – | 10.97 | 3.97 | 4.26 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.92% for Class A, 1.67% for Class C, 0.80% for Administrator Class and 0.53% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and includes the higher expenses applicable to the Administrator Class shares. If these expenses had not been included, returns for the Institutional Class shares would be higher. |
4 | The Bloomberg U.S. Universal Bond Index is an unmanaged market-value-weighted performance benchmark for the U.S.-dollar-denominated bond market, which includes investment-grade, high-yield, and emerging markets debt securities with maturities of one year or more. You cannot invest directly in an index. |
5 | The ICE BofA U.S. High Yield Constrained Index is a market-value-weighted index of all domestic and Yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB-/Baa3 but are not in default. The ICE BofA U.S. High Yield Constrained Index limits any individual issuer to a maximum of 2% benchmark exposure. Returns shown are net of transaction costs beginning on July 1, 2022. You cannot invest directly in an index. Copyright 2024. ICE Data Indices, LLC. All rights reserved. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
Geo Group, Inc., 12.20%, 3-23-2027 | 1.50 |
CoreCivic, Inc., 8.25%, 4-15-2026 | 1.26 |
Match Group Holdings II LLC, 5.63%, 2-15-2029 | 1.20 |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1-15-2034 | 1.12 |
CCM Merger, Inc., 6.38%, 5-1-2026 | 1.11 |
GIP III Stetson I LP, 9.68%, 10-31-2028 | 1.08 |
Iron Mountain, Inc., 4.50%, 2-15-2031 | 1.03 |
Sirius XM Radio, Inc., 4.13%, 7-1-2030 | 1.03 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8-15-2028 | 1.02 |
PG&E Corp., 5.25%, 7-1-2030 | 1.02 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g803621img015b82394.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,049.48 | $4.69 | 0.92 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.29 | $4.62 | 0.92 % |
Class C | ||||
Actual | $1,000.00 | $1,045.55 | $8.49 | 1.67 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.56 | $8.37 | 1.67 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,050.10 | $4.08 | 0.80 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.89 | $4.02 | 0.80 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,051.51 | $2.70 | 0.53 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.23 | $2.66 | 0.53 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 76.18% | ||||||
Basic materials: 0.24% | ||||||
Chemicals: 0.24% | ||||||
SCIH Salt Holdings, Inc.144A | 6.63 % | 5-1-2029 | $ | 770,000 | $700,130 | |
Communications: 10.87% | ||||||
Advertising: 1.53% | ||||||
Clear Channel Outdoor Holdings, Inc.144A | 7.50 | 6-1-2029 | 1,060,000 | 877,150 | ||
Clear Channel Outdoor Holdings, Inc.144A | 9.00 | 9-15-2028 | 955,000 | 996,065 | ||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 4.63 | 3-15-2030 | 820,000 | 727,836 | ||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 5.00 | 8-15-2027 | 775,000 | 745,573 | ||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 7.38 | 2-15-2031 | 1,050,000 | 1,095,853 | ||
4,442,477 | ||||||
Internet: 2.98% | ||||||
Arches Buyer, Inc.144A | 4.25 | 6-1-2028 | 725,000 | 619,372 | ||
Arches Buyer, Inc.144A | 6.13 | 12-1-2028 | 850,000 | 720,147 | ||
Cablevision Lightpath LLC144A | 3.88 | 9-15-2027 | 860,000 | 779,537 | ||
Cablevision Lightpath LLC144A | 5.63 | 9-15-2028 | 800,000 | 665,769 | ||
Match Group Holdings II LLC144A | 5.63 | 2-15-2029 | 3,635,000 | 3,489,600 | ||
Uber Technologies, Inc.144A | 4.50 | 8-15-2029 | 1,500,000 | 1,404,493 | ||
Uber Technologies, Inc.144A | 8.00 | 11-1-2026 | 995,000 | 1,012,508 | ||
8,691,426 | ||||||
Media: 6.17% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.25 | 1-15-2034 | 4,375,000 | 3,271,003 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.50 | 8-15-2030 | 3,000,000 | 2,488,560 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.00 | 2-1-2028 | 975,000 | 899,678 | ||
CSC Holdings LLC144A | 5.75 | 1-15-2030 | 1,415,000 | 832,126 | ||
CSC Holdings LLC144A | 11.25 | 5-15-2028 | 995,000 | 1,026,611 | ||
CSC Holdings LLC144A | 11.75 | 1-31-2029 | 890,000 | 930,337 | ||
Directv Financing LLC/Directv Financing Co-Obligor, Inc.144A | 5.88 | 8-15-2027 | 625,000 | 589,919 | ||
DISH Network Corp.144A | 11.75 | 11-15-2027 | 900,000 | 938,320 | ||
Nexstar Media, Inc.144A | 5.63 | 7-15-2027 | 905,000 | 857,650 | ||
Scripps Escrow II, Inc.144A | 5.38 | 1-15-2031 | 1,150,000 | 655,828 | ||
Sirius XM Radio, Inc.144A | 4.13 | 7-1-2030 | 3,475,000 | 2,989,743 | ||
Townsquare Media, Inc.144A | 6.88 | 2-1-2026 | 2,595,000 | 2,503,421 | ||
17,983,196 | ||||||
Telecommunications: 0.19% | ||||||
CommScope, Inc.144A | 6.00 | 3-1-2026 | 630,000 | 567,000 | ||
Consumer, cyclical: 13.59% | ||||||
Airlines: 0.79% | ||||||
Hawaiian Airlines Pass-Through Certificates Series 2013-1 Class A | 3.90 | 1-15-2026 | 624,834 | 583,274 | ||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 1,210,000 | 1,141,938 | ||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.144A | 8.00 | 9-20-2025 | 795,000 | 574,992 | ||
2,300,204 |
Interest rate | Maturity date | Principal | Value | |||
Apparel: 1.24% | ||||||
Crocs, Inc.144A | 4.13 % | 8-15-2031 | $ | 605,000 | $514,733 | |
Crocs, Inc.144A | 4.25 | 3-15-2029 | 1,700,000 | 1,525,769 | ||
Hanesbrands, Inc.144A | 4.88 | 5-15-2026 | 725,000 | 699,642 | ||
Tapestry, Inc. | 7.85 | 11-27-2033 | 810,000 | 876,214 | ||
3,616,358 | ||||||
Auto manufacturers: 0.33% | ||||||
Ford Motor Co. | 4.75 | 1-15-2043 | 1,200,000 | 970,820 | ||
Auto parts & equipment: 0.24% | ||||||
Adient Global Holdings Ltd.144A | 8.25 | 4-15-2031 | 660,000 | 694,874 | ||
Distribution/wholesale: 0.45% | ||||||
G-III Apparel Group Ltd.144A | 7.88 | 8-15-2025 | 1,290,000 | 1,299,894 | ||
Entertainment: 2.87% | ||||||
CCM Merger, Inc.144A | 6.38 | 5-1-2026 | 3,270,000 | 3,225,776 | ||
Churchill Downs, Inc.144A | 4.75 | 1-15-2028 | 1,655,000 | 1,565,519 | ||
Churchill Downs, Inc.144A | 6.75 | 5-1-2031 | 320,000 | 320,191 | ||
Cinemark USA, Inc.144A | 5.25 | 7-15-2028 | 805,000 | 751,951 | ||
Cinemark USA, Inc.144A | 8.75 | 5-1-2025 | 1,179,000 | 1,180,136 | ||
Live Nation Entertainment, Inc.144A | 3.75 | 1-15-2028 | 575,000 | 529,230 | ||
Live Nation Entertainment, Inc.144A | 5.63 | 3-15-2026 | 800,000 | 789,966 | ||
8,362,769 | ||||||
Home builders: 0.52% | ||||||
Taylor Morrison Communities, Inc.144A | 5.13 | 8-1-2030 | 365,000 | 344,506 | ||
Tri Pointe Homes, Inc. | 5.70 | 6-15-2028 | 1,180,000 | 1,160,306 | ||
1,504,812 | ||||||
Housewares: 0.50% | ||||||
Newell Brands, Inc. | 5.20 | 4-1-2026 | 1,500,000 | 1,456,592 | ||
Leisure time: 1.74% | ||||||
Carnival Holdings Bermuda Ltd.144A | 10.38 | 5-1-2028 | 2,275,000 | 2,481,943 | ||
NCL Corp. Ltd.144A | 5.88 | 3-15-2026 | 720,000 | 703,260 | ||
NCL Corp. Ltd.144A | 5.88 | 2-15-2027 | 680,000 | 672,059 | ||
NCL Corp. Ltd.144A | 7.75 | 2-15-2029 | 830,000 | 850,875 | ||
NCL Corp. Ltd.144A | 8.13 | 1-15-2029 | 335,000 | 352,448 | ||
5,060,585 | ||||||
Retail: 4.91% | ||||||
Bath & Body Works, Inc.144A | 6.63 | 10-1-2030 | 1,070,000 | 1,075,875 | ||
Dave & Buster’s, Inc.144A | 7.63 | 11-1-2025 | 535,000 | 536,397 | ||
FirstCash, Inc.144A | 4.63 | 9-1-2028 | 1,410,000 | 1,304,167 | ||
FirstCash, Inc.144A | 6.88 | 3-1-2032 | 585,000 | 579,219 | ||
Kohl’s Corp. | 4.63 | 5-1-2031 | 1,090,000 | 858,375 | ||
LSF9 Atlantis Holdings LLC/Victra Finance Corp.144A | 7.75 | 2-15-2026 | 1,450,000 | 1,436,402 | ||
Macy’s Retail Holdings LLC144A | 5.88 | 4-1-2029 | 885,000 | 852,317 |
Interest rate | Maturity date | Principal | Value | |||
Retail(continued) | ||||||
Macy’s Retail Holdings LLC144A | 6.13 % | 3-15-2032 | $ | 1,530,000 | $1,424,078 | |
Michaels Cos., Inc.144A | 7.88 | 5-1-2029 | 1,625,000 | 1,049,268 | ||
NMG Holding Co., Inc./Neiman Marcus Group LLC144A | 7.13 | 4-1-2026 | 1,210,000 | 1,186,815 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 4.75 | 2-15-2028 | 1,410,000 | 1,321,600 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 7.75 | 2-15-2029 | 1,510,000 | 1,492,132 | ||
Raising Cane’s Restaurants LLC144A | 9.38 | 5-1-2029 | 1,040,000 | 1,107,822 | ||
Sally Holdings LLC/Sally Capital, Inc. | 6.75 | 3-1-2032 | 95,000 | 94,727 | ||
14,319,194 | ||||||
Consumer, non-cyclical: 10.94% | ||||||
Commercial services: 5.26% | ||||||
Allied Universal Holdco LLC144A | 7.88 | 2-15-2031 | 485,000 | 481,644 | ||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 | 6-1-2029 | 2,205,000 | 1,825,696 | ||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.63 | 7-15-2026 | 411,000 | 409,755 | ||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 3,580,000 | 3,658,474 | ||
MPH Acquisition Holdings LLC144A | 5.75 | 11-1-2028 | 2,235,000 | 1,782,412 | ||
PECF USS Intermediate Holding III Corp.144A | 8.00 | 11-15-2029 | 2,230,000 | 973,230 | ||
Prime Security Services Borrower LLC/Prime Finance, Inc.144A | 6.25 | 1-15-2028 | 1,100,000 | 1,085,352 | ||
Sabre Global, Inc.144A | 11.25 | 12-15-2027 | 2,165,000 | 2,035,100 | ||
Sotheby’s/Bidfair Holdings, Inc.144A | 5.88 | 6-1-2029 | 1,205,000 | 1,058,086 | ||
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 2,095,000 | 2,005,166 | ||
15,314,915 | ||||||
Food: 0.97% | ||||||
B&G Foods, Inc. | 5.25 | 9-15-2027 | 530,000 | 492,776 | ||
B&G Foods, Inc.144A | 8.00 | 9-15-2028 | 2,260,000 | 2,352,791 | ||
2,845,567 | ||||||
Healthcare-services: 4.40% | ||||||
Catalent Pharma Solutions, Inc.144A | 5.00 | 7-15-2027 | 1,535,000 | 1,511,303 | ||
CHS/Community Health Systems, Inc.144A | 5.25 | 5-15-2030 | 1,055,000 | 841,709 | ||
CHS/Community Health Systems, Inc.144A | 5.63 | 3-15-2027 | 840,000 | 768,538 | ||
CHS/Community Health Systems, Inc.144A | 8.00 | 3-15-2026 | 378,000 | 374,243 | ||
IQVIA, Inc.144A | 6.50 | 5-15-2030 | 1,260,000 | 1,277,463 | ||
ModivCare Escrow Issuer, Inc.144A | 5.00 | 10-1-2029 | 875,000 | 645,312 | ||
Pediatrix Medical Group, Inc.144A | 5.38 | 2-15-2030 | 1,690,000 | 1,518,930 | ||
Select Medical Corp.144A | 6.25 | 8-15-2026 | 1,775,000 | 1,770,525 | ||
Star Parent, Inc.144A | 9.00 | 10-1-2030 | 1,515,000 | 1,598,884 | ||
Tenet Healthcare Corp.144A | 6.75 | 5-15-2031 | 2,485,000 | 2,506,744 | ||
12,813,651 | ||||||
Pharmaceuticals: 0.31% | ||||||
AdaptHealth LLC144A | 5.13 | 3-1-2030 | 1,075,000 | 898,969 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 15.33% | ||||||
Energy-alternate sources: 1.51% | ||||||
Enviva Partners LP/Enviva Partners Finance Corp.144A | 6.50 % | 1-15-2026 | $ | 3,940,000 | $1,459,899 | |
TerraForm Power Operating LLC144A | 5.00 | 1-31-2028 | 3,095,000 | 2,924,521 | ||
4,384,420 | ||||||
Oil & gas: 3.54% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 2,270,000 | 2,279,394 | ||
Encino Acquisition Partners Holdings LLC144A | 8.50 | 5-1-2028 | 1,975,000 | 1,971,830 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 5.75 | 2-1-2029 | 1,175,000 | 1,136,318 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.00 | 4-15-2030 | 350,000 | 339,794 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.25 | 11-1-2028 | 1,230,000 | 1,220,994 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.25 | 4-15-2032 | 350,000 | 338,625 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 8.38 | 11-1-2033 | 100,000 | 107,425 | ||
Nabors Industries Ltd.144A | 7.50 | 1-15-2028 | 1,185,000 | 1,090,200 | ||
Nabors Industries, Inc.144A | 7.38 | 5-15-2027 | 1,465,000 | 1,459,609 | ||
Nabors Industries, Inc.144A | 9.13 | 1-31-2030 | 100,000 | 102,500 | ||
Talos Production, Inc.144A | 9.00 | 2-1-2029 | 270,000 | 275,957 | ||
10,322,646 | ||||||
Oil & gas services: 1.71% | ||||||
Bristow Group, Inc.144A | 6.88 | 3-1-2028 | 2,750,000 | 2,692,250 | ||
Oceaneering International, Inc. | 6.00 | 2-1-2028 | 2,325,000 | 2,286,254 | ||
4,978,504 | ||||||
Pipelines: 8.57% | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.144A | 6.63 | 2-1-2032 | 1,815,000 | 1,807,577 | ||
Buckeye Partners LP144A | 4.50 | 3-1-2028 | 1,025,000 | 952,951 | ||
CQP Holdco LP/BIP-V Chinook Holdco LLC144A | 5.50 | 6-15-2031 | 2,075,000 | 1,933,175 | ||
CQP Holdco LP/BIP-V Chinook Holdco LLC144A | 7.50 | 12-15-2033 | 885,000 | 902,314 | ||
DT Midstream, Inc.144A | 4.38 | 6-15-2031 | 1,245,000 | 1,120,856 | ||
Energy Transfer LP (5 Year Treasury Constant Maturity+4.02%)± | 8.00 | 5-15-2054 | 695,000 | 722,105 | ||
EnLink Midstream LLC144A | 6.50 | 9-1-2030 | 1,855,000 | 1,901,497 | ||
EnLink Midstream Partners LP | 5.60 | 4-1-2044 | 1,145,000 | 1,037,713 | ||
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 1,545,000 | 1,557,480 | ||
Hess Midstream Operations LP144A | 5.50 | 10-15-2030 | 530,000 | 509,333 | ||
Kinetik Holdings LP144A | 5.88 | 6-15-2030 | 1,615,000 | 1,573,679 | ||
Kinetik Holdings LP144A | 6.63 | 12-15-2028 | 285,000 | 288,507 | ||
Prairie Acquiror LP144A%% | 9.00 | 8-1-2029 | 455,000 | 458,462 | ||
Rockies Express Pipeline LLC144A | 6.88 | 4-15-2040 | 1,880,000 | 1,851,212 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 12-31-2030 | 3,155,000 | 2,933,918 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 9-1-2031 | 155,000 | 141,985 | ||
Venture Global Calcasieu Pass LLC144A | 6.25 | 1-15-2030 | 2,215,000 | 2,211,495 | ||
Venture Global LNG, Inc.144A | 8.38 | 6-1-2031 | 2,015,000 | 2,038,094 | ||
Venture Global LNG, Inc.144A | 9.88 | 2-1-2032 | 975,000 | 1,026,559 | ||
24,968,912 |
Interest rate | Maturity date | Principal | Value | |||
Financial: 10.23% | ||||||
Banks: 1.18% | ||||||
Bank of America Corp. Series JJ (U.S. SOFR 3 Month+3.55%)ʊ± | 5.13 % | 6-20-2024 | $ | 730,000 | $725,384 | |
Bank of America Corp. Series RR (5 Year Treasury Constant Maturity+2.76%)ʊ± | 4.38 | 1-27-2027 | 835,000 | 770,976 | ||
Citigroup, Inc. Series X (5 Year Treasury Constant Maturity+3.42%)ʊ± | 3.88 | 2-18-2026 | 1,295,000 | 1,216,496 | ||
JPMorgan Chase & Co. Series HH (U.S. SOFR 3 Month+3.13%)ʊ± | 4.60 | 2-1-2025 | 735,000 | 715,516 | ||
3,428,372 | ||||||
Diversified financial services: 3.90% | ||||||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 2,095,000 | 2,095,084 | ||
Nationstar Mortgage Holdings, Inc.144A | 5.00 | 2-1-2026 | 1,400,000 | 1,359,948 | ||
Nationstar Mortgage Holdings, Inc.144A | 7.13 | 2-1-2032 | 990,000 | 973,748 | ||
Navient Corp. | 5.00 | 3-15-2027 | 825,000 | 782,086 | ||
Navient Corp. | 5.88 | 10-25-2024 | 350,000 | 349,175 | ||
Navient Corp. | 11.50 | 3-15-2031 | 100,000 | 109,383 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 575,000 | 584,339 | ||
Oppenheimer Holdings, Inc. | 5.50 | 10-1-2025 | 825,000 | 814,894 | ||
PRA Group, Inc.144A | 5.00 | 10-1-2029 | 2,730,000 | 2,286,102 | ||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.144A | 4.00 | 10-15-2033 | 765,000 | 635,133 | ||
United Wholesale Mortgage LLC144A | 5.50 | 11-15-2025 | 585,000 | 574,965 | ||
United Wholesale Mortgage LLC144A | 5.50 | 4-15-2029 | 850,000 | 793,404 | ||
11,358,261 | ||||||
Insurance: 2.49% | ||||||
AmWINS Group, Inc.144A | 4.88 | 6-30-2029 | 1,905,000 | 1,756,985 | ||
AmWINS Group, Inc.144A | 6.38 | 2-15-2029 | 735,000 | 735,479 | ||
AssuredPartners, Inc.144A | 5.63 | 1-15-2029 | 1,645,000 | 1,513,111 | ||
BroadStreet Partners, Inc.144A | 5.88 | 4-15-2029 | 1,230,000 | 1,140,895 | ||
HUB International Ltd.144A | 5.63 | 12-1-2029 | 585,000 | 542,963 | ||
HUB International Ltd.144A | 7.25 | 6-15-2030 | 205,000 | 209,122 | ||
HUB International Ltd.144A | 7.38 | 1-31-2032 | 1,370,000 | 1,374,340 | ||
7,272,895 | ||||||
Private equity: 0.13% | ||||||
HAT Holdings I LLC/HAT Holdings II LLC144A | 6.00 | 4-15-2025 | 395,000 | 390,986 | ||
REITS: 2.53% | ||||||
Iron Mountain, Inc.144A | 4.50 | 2-15-2031 | 3,385,000 | 2,995,505 | ||
Service Properties Trust | 4.75 | 10-1-2026 | 50,000 | 46,254 | ||
Service Properties Trust144A | 8.63 | 11-15-2031 | 2,055,000 | 2,170,310 | ||
Starwood Property Trust, Inc.144A | 4.38 | 1-15-2027 | 1,495,000 | 1,401,563 | ||
Starwood Property Trust, Inc. | 4.75 | 3-15-2025 | 760,000 | 749,907 | ||
7,363,539 | ||||||
Industrial: 8.02% | ||||||
Aerospace/defense: 1.28% | ||||||
Spirit AeroSystems, Inc.144A | 9.38 | 11-30-2029 | 1,185,000 | 1,281,404 |
Interest rate | Maturity date | Principal | Value | |||
Aerospace/defense(continued) | ||||||
Spirit AeroSystems, Inc.144A | 9.75 % | 11-15-2030 | $ | 955,000 | $1,023,146 | |
TransDigm, Inc.144A | 6.63 | 3-1-2032 | 705,000 | 709,405 | ||
TransDigm, Inc. | 7.50 | 3-15-2027 | 700,000 | 699,432 | ||
3,713,387 | ||||||
Building materials: 1.47% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 2,640,000 | 2,709,300 | ||
Emerald Debt Merger Sub LLC144A | 6.63 | 12-15-2030 | 1,580,000 | 1,585,530 | ||
4,294,830 | ||||||
Hand/machine tools: 1.38% | ||||||
Werner FinCo LP/Werner FinCo, Inc.144A | 11.50 | 6-15-2028 | 1,540,000 | 1,652,162 | ||
Werner FinCo LP/Werner FinCo, Inc. (PIK at 5.75%)144A¥ | 14.50 | 10-15-2028 | 2,624,504 | 2,358,995 | ||
4,011,157 | ||||||
Machinery-diversified: 1.06% | ||||||
Chart Industries, Inc.144A | 7.50 | 1-1-2030 | 315,000 | 324,926 | ||
Chart Industries, Inc.144A | 9.50 | 1-1-2031 | 525,000 | 564,044 | ||
TK Elevator U.S. Newco, Inc.144A | 5.25 | 7-15-2027 | 2,300,000 | 2,209,256 | ||
3,098,226 | ||||||
Packaging & containers: 1.95% | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 4.00 | 9-1-2029 | 910,000 | 739,067 | ||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 6.00 | 6-15-2027 | 1,050,000 | 1,030,996 | ||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 2,095,000 | 1,994,134 | ||
Mauser Packaging Solutions Holding Co.144A | 7.88 | 8-15-2026 | 490,000 | 496,525 | ||
Owens-Brockway Glass Container, Inc.144A | 7.25 | 5-15-2031 | 1,035,000 | 1,048,962 | ||
Sealed Air Corp./Sealed Air Corp. U.S.144A | 7.25 | 2-15-2031 | 365,000 | 376,820 | ||
5,686,504 | ||||||
Trucking & leasing: 0.88% | ||||||
Fortress Transportation & Infrastructure Investors LLC144A | 5.50 | 5-1-2028 | 1,805,000 | 1,728,217 | ||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 830,000 | 830,402 | ||
2,558,619 | ||||||
Technology: 2.43% | ||||||
Computers: 1.03% | ||||||
McAfee Corp.144A | 7.38 | 2-15-2030 | 670,000 | 591,327 | ||
Seagate HDD Cayman144A | 8.25 | 12-15-2029 | 210,000 | 225,017 | ||
Seagate HDD Cayman144A | 8.50 | 7-15-2031 | 1,340,000 | 1,448,831 | ||
Western Digital Corp. | 4.75 | 2-15-2026 | 740,000 | 723,213 | ||
2,988,388 | ||||||
Software: 1.40% | ||||||
AthenaHealth Group, Inc.144A | 6.50 | 2-15-2030 | 990,000 | 886,324 | ||
Cloud Software Group, Inc.144A | 6.50 | 3-31-2029 | 1,025,000 | 954,539 |
Interest rate | Maturity date | Principal | Value | |||
Software(continued) | ||||||
Cloud Software Group, Inc.144A | 9.00 % | 9-30-2029 | $ | 1,230,000 | $1,147,970 | |
SS&C Technologies, Inc.144A | 5.50 | 9-30-2027 | 1,125,000 | 1,095,525 | ||
4,084,358 | ||||||
Utilities: 4.53% | ||||||
Electric: 4.53% | ||||||
Edison International (5 Year Treasury Constant Maturity+3.86%)± | 8.13 | 6-15-2053 | 725,000 | 744,061 | ||
NextEra Energy Operating Partners LP144A | 4.50 | 9-15-2027 | 795,000 | 741,688 | ||
NextEra Energy Operating Partners LP144A | 7.25 | 1-15-2029 | 825,000 | 838,605 | ||
NSG Holdings LLC/NSG Holdings, Inc.144A | 7.75 | 12-15-2025 | 321,861 | 320,503 | ||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.144A | 4.50 | 8-15-2028 | 3,250,000 | 2,981,079 | ||
PG&E Corp. | 5.25 | 7-1-2030 | 3,160,000 | 2,970,584 | ||
Sempra (5 Year Treasury Constant Maturity+2.87%)± | 4.13 | 4-1-2052 | 820,000 | 752,325 | ||
Vistra Corp. (5 Year Treasury Constant Maturity+5.74%)144Aʊ± | 7.00 | 12-15-2026 | 1,895,000 | 1,833,413 | ||
Vistra Operations Co. LLC144A | 5.63 | 2-15-2027 | 1,000,000 | 974,449 | ||
Vistra Operations Co. LLC144A | 7.75 | 10-15-2031 | 1,005,000 | 1,039,569 | ||
13,196,276 | ||||||
Total corporate bonds and notes (Cost $227,684,367) | 221,943,713 | |||||
Loans: 6.01% | ||||||
Communications: 0.45% | ||||||
Advertising: 0.20% | ||||||
Clear Channel Outdoor Holdings, Inc. (U.S. SOFR 3 Month+3.50%)± | 9.07 | 8-21-2026 | 578,984 | 575,447 | ||
Media: 0.25% | ||||||
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)± | 10.44 | 8-2-2027 | 341,162 | 340,671 | ||
Hubbard Radio LLC (U.S. SOFR 1 Month+4.25%)± | 9.70 | 3-28-2025 | 534,982 | 406,586 | ||
747,257 | ||||||
Consumer, cyclical: 1.22% | ||||||
Airlines: 0.65% | ||||||
Mileage Plus Holdings LLC (U.S. SOFR 3 Month+5.25%)± | 10.77 | 6-21-2027 | 980,000 | 1,008,401 | ||
SkyMiles IP Ltd. (U.S. SOFR 3 Month+3.75%)± | 9.07 | 10-20-2027 | 857,763 | 881,154 | ||
1,889,555 | ||||||
Auto parts & equipment: 0.14% | ||||||
First Brands Group LLC (U.S. SOFR 3 Month+5.00%)± | 10.57 | 3-30-2027 | 420,000 | 420,525 | ||
Leisure time: 0.19% | ||||||
Carnival Corp. (U.S. SOFR 1 Month+3.00%)± | 8.32 | 8-8-2027 | 552,225 | 552,341 | ||
Retail: 0.24% | ||||||
Petco Health & Wellness Co., Inc. (U.S. SOFR 3 Month+3.25%)± | 8.86 | 3-3-2028 | 740,000 | 706,145 | ||
Consumer, non-cyclical: 1.87% | ||||||
Commercial services: 1.87% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+6.88%)± | 12.20 | 3-23-2027 | 4,250,923 | 4,347,887 |
Interest rate | Maturity date | Principal | Value | |||
Commercial services(continued) | ||||||
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)± | 9.85 % | 9-1-2028 | $ | 817,908 | $790,075 | |
PECF USS Intermediate Holding III Corp. (U.S. SOFR 1 Month+4.25%)± | 9.69 | 12-15-2028 | 383,046 | 296,102 | ||
5,434,064 | ||||||
Energy: 1.23% | ||||||
Pipelines: 1.23% | ||||||
GIP III Stetson I LP (U.S. SOFR 1 Month+4.25%)± | 9.68 | 10-31-2028 | 3,129,104 | 3,136,926 | ||
Prairie ECI Acquiror LP (U.S. SOFR 3 Month+4.75%)± | 10.07 | 2-22-2029 | 450,000 | 446,346 | ||
3,583,272 | ||||||
Financial: 1.24% | ||||||
Diversified financial services: 0.23% | ||||||
Resolute Investment Managers, Inc. (U.S. SOFR 3 Month+4.25%)‡± | 9.86 | 4-30-2024 | 1,052,885 | 668,582 | ||
Insurance: 1.01% | ||||||
Asurion LLC (U.S. SOFR 1 Month+3.25%)± | 8.69 | 12-23-2026 | 2,597,022 | 2,580,063 | ||
Asurion LLC (U.S. SOFR 1 Month+5.25%)± | 10.69 | 1-31-2028 | 370,000 | 352,558 | ||
2,932,621 | ||||||
Total loans (Cost $17,582,433) | 17,509,809 | |||||
Yankee corporate bonds and notes: 12.80% | ||||||
Basic materials: 0.28% | ||||||
Chemicals: 0.28% | ||||||
Braskem Netherlands Finance BV144A | 4.50 | 1-31-2030 | 990,000 | 809,523 | ||
Communications: 0.54% | ||||||
Telecommunications: 0.54% | ||||||
Altice France SA144A | 8.13 | 2-1-2027 | 1,710,000 | 1,571,361 | ||
Consumer, cyclical: 5.54% | ||||||
Airlines: 1.30% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 | 7-15-2026 | 2,475,000 | 2,682,281 | ||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.144A | 9.50 | 6-1-2028 | 1,335,000 | 1,124,738 | ||
3,807,019 | ||||||
Entertainment: 0.42% | ||||||
Banijay Entertainment SASU144A | 8.13 | 5-1-2029 | 1,175,000 | 1,215,215 | ||
Leisure time: 3.82% | ||||||
Carnival Corp.144A | 6.00 | 5-1-2029 | 1,925,000 | 1,881,135 | ||
Carnival Corp.144A | 7.00 | 8-15-2029 | 405,000 | 420,104 | ||
Carnival Corp.144A | 7.63 | 3-1-2026 | 560,000 | 567,286 | ||
Royal Caribbean Cruises Ltd.144A | 5.38 | 7-15-2027 | 200,000 | 196,159 | ||
Royal Caribbean Cruises Ltd.144A | 5.50 | 4-1-2028 | 2,655,000 | 2,612,706 | ||
Royal Caribbean Cruises Ltd.144A%% | 6.25 | 3-15-2032 | 2,230,000 | 2,235,956 |
Interest rate | Maturity date | Principal | Value | |||
Leisure time(continued) | ||||||
Royal Caribbean Cruises Ltd.144A | 9.25 % | 1-15-2029 | $ | 905,000 | $973,501 | |
Royal Caribbean Cruises Ltd.144A | 11.63 | 8-15-2027 | 2,075,000 | 2,244,421 | ||
11,131,268 | ||||||
Consumer, non-cyclical: 0.37% | ||||||
Pharmaceuticals: 0.37% | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 8.13 | 9-15-2031 | 1,000,000 | 1,080,358 | ||
Energy: 1.68% | ||||||
Oil & gas: 0.47% | ||||||
Borr IHC Ltd./Borr Finance LLC144A | 10.00 | 11-15-2028 | 1,320,000 | 1,361,250 | ||
Pipelines: 1.21% | ||||||
Enbridge, Inc. (5 Year Treasury Constant Maturity+4.42%)± | 7.63 | 1-15-2083 | 1,140,000 | 1,154,506 | ||
Northriver Midstream Finance LP144A | 5.63 | 2-15-2026 | 2,420,000 | 2,372,411 | ||
3,526,917 | ||||||
Financial: 2.56% | ||||||
Banks: 1.40% | ||||||
BBVA Bancomer SA (5 Year Treasury Constant Maturity+4.21%)144A± | 8.13 | 1-8-2039 | 420,000 | 435,376 | ||
BNP Paribas SA (5 Year Treasury Constant Maturity+3.73%)144Aʊ± | 8.00 | 8-22-2031 | 250,000 | 249,710 | ||
HSBC Holdings PLC (USD ICE Swap Rate 11:00am NY 5 Year+3.75%)ʊ± | 6.00 | 5-22-2027 | 760,000 | 719,097 | ||
Intesa Sanpaolo SpA (5 Year USD Swap Rate+5.46%)144Aʊ± | 7.70 | 9-17-2025 | 1,130,000 | 1,117,220 | ||
UBS Group AG (5 Year Treasury Constant Maturity+3.40%)144Aʊ± | 4.88 | 2-12-2027 | 1,255,000 | 1,142,614 | ||
UBS Group AG (USD SOFR ICE Swap Rate 11:00am NY 5 Year+4.16%)144Aʊ± | 7.75 | 4-12-2031 | 400,000 | 400,111 | ||
4,064,128 | ||||||
Diversified financial services: 1.16% | ||||||
Castlelake Aviation Finance DAC144A | 5.00 | 4-15-2027 | 1,740,000 | 1,650,774 | ||
Macquarie Airfinance Holdings Ltd.144A | 8.38 | 5-1-2028 | 1,650,000 | 1,728,342 | ||
3,379,116 | ||||||
Industrial: 1.20% | ||||||
Aerospace/defense: 0.35% | ||||||
Bombardier, Inc.144A | 8.75 | 11-15-2030 | 975,000 | 1,021,322 | ||
Electronics: 0.60% | ||||||
Sensata Technologies BV144A | 4.00 | 4-15-2029 | 785,000 | 711,938 | ||
Sensata Technologies BV144A | 5.88 | 9-1-2030 | 1,060,000 | 1,032,378 | ||
1,744,316 | ||||||
Machinery-diversified: 0.25% | ||||||
TK Elevator Holdco GmbH144A | 7.63 | 7-15-2028 | 745,000 | 728,953 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 0.63% | ||||||
Electric: 0.63% | ||||||
Drax Finco PLC144A | 6.63 % | 11-1-2025 | $ | 1,865,000 | $1,841,688 | |
Total yankee corporate bonds and notes (Cost $36,802,582) | 37,282,434 |
Yield | Shares | |||||
Short-term investments: 5.05% | ||||||
Investment companies: 5.05% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 14,716,569 | 14,716,569 | |||
Total short-term investments (Cost $14,716,569) | 14,716,569 | |||||
Total investments in securities (Cost $296,785,951) | 100.04 % | 291,452,525 | ||||
Other assets and liabilities, net | (0.04 ) | (119,683 ) | ||||
Total net assets | 100.00 % | $291,332,842 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
¥ | A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end. |
‡ | Security is valued using significant unobservable inputs. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
Abbreviations: | |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $2,217,123 | $58,029,538 | $(45,530,092 ) | $0 | $0 | $14,716,569 | 14,716,569 | $145,229 |
Assets | |
Investments in unaffiliated securities, at value (cost $282,069,382) | $276,735,956 |
Investments in affiliated securities, at value (cost $14,716,569) | 14,716,569 |
Cash | 800 |
Receivable for interest | 4,662,775 |
Receivable for Fund shares sold | 38,110 |
Prepaid expenses and other assets | 117,311 |
Total assets | 296,271,521 |
Liabilities | |
Payable for when-issued transactions | 2,697,356 |
Payable for investments purchased | 1,490,680 |
Payable for Fund shares redeemed | 393,294 |
Dividends payable | 96,277 |
Management fee payable | 94,748 |
Administration fees payable | 28,076 |
Trustees’ fees and expenses payable | 2,621 |
Distribution fee payable | 1,088 |
Accrued expenses and other liabilities | 134,539 |
Total liabilities | 4,938,679 |
Total net assets | $291,332,842 |
Net assets consist of | |
Paid-in capital | $375,526,926 |
Total distributable loss | (84,194,084 ) |
Total net assets | $291,332,842 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $172,266,225 |
Shares outstanding–Class A1 | 57,842,491 |
Net asset value per share–Class A | $2.98 |
Maximum offering price per share – Class A2 | $3.12 |
Net assets–Class C | $1,798,486 |
Shares outstanding–Class C1 | 602,095 |
Net asset value per share–Class C | $2.99 |
Net assets–Administrator Class | $12,840,948 |
Shares outstanding–Administrator Class1 | 4,306,092 |
Net asset value per share–Administrator Class | $2.98 |
Net assets–Institutional Class | $104,427,183 |
Shares outstanding–Institutional Class1 | 35,015,858 |
Net asset value per share–Institutional Class | $2.98 |
Investment income | |
Interest | $10,748,306 |
Income from affiliated securities | 145,229 |
Total investment income | 10,893,535 |
Expenses | |
Management fee | 776,912 |
Administration fees | |
Class A | 128,013 |
Class C | 1,306 |
Administrator Class | 6,453 |
Institutional Class | 38,873 |
Shareholder servicing fees | |
Class A | 213,100 |
Class C | 2,172 |
Administrator Class | 16,093 |
Distribution fee | |
Class C | 6,519 |
Custody and accounting fees | 7,519 |
Professional fees | 36,054 |
Registration fees | 16,189 |
Shareholder report expenses | 20,697 |
Trustees’ fees and expenses | 10,262 |
Other fees and expenses | 6,651 |
Total expenses | 1,286,813 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (139,826 ) |
Administrator Class | (4,363 ) |
Institutional Class | (33,781 ) |
Net expenses | 1,108,843 |
Net investment income | 9,784,692 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (7,074,965 ) |
Net change in unrealized gains (losses) on investments | 11,186,357 |
Net realized and unrealized gains (losses) on investments | 4,111,392 |
Net increase in net assets resulting from operations | $13,896,084 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $9,784,692 | $18,864,484 | ||
Net realized losses on investments | (7,074,965 ) | (16,719,564 ) | ||
Net change in unrealized gains (losses) on investments | 11,186,357 | 19,539,865 | ||
Net increase in net assets resulting from operations | 13,896,084 | 21,684,785 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (5,996,754 ) | (11,129,654 ) | ||
Class C | (54,510 ) | (104,729 ) | ||
Administrator Class | (460,863 ) | (859,200 ) | ||
Institutional Class | (3,608,856 ) | (7,102,278 ) | ||
Total distributions to shareholders | (10,120,983 ) | (19,195,861 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,168,247 | 3,451,774 | 2,078,328 | 6,040,894 |
Class C | 147,716 | 429,905 | 48,015 | 140,508 |
Administrator Class | 50,412 | 149,758 | 717,656 | 2,101,807 |
Institutional Class | 4,321,260 | 12,763,062 | 14,027,526 | 40,177,740 |
16,794,499 | 48,460,949 | |||
Reinvestment of distributions | ||||
Class A | 1,874,315 | 5,492,811 | 3,496,017 | 10,174,721 |
Class C | 18,527 | 54,486 | 35,917 | 104,718 |
Administrator Class | 146,610 | 430,136 | 275,686 | 803,194 |
Institutional Class | 1,213,153 | 3,560,045 | 2,400,931 | 6,995,628 |
9,537,478 | 18,078,261 | |||
Payment for shares redeemed | ||||
Class A | (4,999,098 ) | (14,639,261 ) | (9,707,582 ) | (28,202,430 ) |
Class C | (155,719 ) | (457,197 ) | (307,246 ) | (895,417 ) |
Administrator Class | (706,454 ) | (2,073,840 ) | (985,757 ) | (2,872,253 ) |
Institutional Class | (4,607,536 ) | (13,467,460 ) | (16,213,778 ) | (47,131,304 ) |
(30,637,758 ) | (79,101,404 ) | |||
Net decrease in net assets resulting from capital share transactions | (4,305,781 ) | (12,562,194 ) | ||
Total decrease in net assets | (530,680 ) | (10,073,270 ) | ||
Net assets | ||||
Beginning of period | 291,863,522 | 301,936,792 | ||
End of period | $291,332,842 | $291,863,522 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $2.94 | $2.92 | $3.45 | $3.33 | $3.29 | $3.28 |
Net investment income | 0.10 1 | 0.18 1 | 0.13 | 0.11 | 0.13 | 0.14 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 2 | 0.00 |
Net realized and unrealized gains (losses) on investments | 0.04 | 0.02 | (0.53 ) | 0.12 | 0.04 | 0.01 |
Total from investment operations | 0.14 | 0.20 | (0.40 ) | 0.23 | 0.17 | 0.15 |
Distributions to shareholders from | ||||||
Net investment income | (0.10 ) | (0.18 ) | (0.13 ) | (0.11 ) | (0.13 ) | (0.14 ) |
Net asset value, end of period | $2.98 | $2.94 | $2.92 | $3.45 | $3.33 | $3.29 |
Total return3 | 4.95 % | 7.17 % | (11.76 )% | 7.07 % | 5.31 %4 | 4.79 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.02 % | 1.03 % | 1.01 % | 1.01 % | 1.04 % | 1.04 % |
Net expenses | 0.92 % | 0.93 % | 0.92 % | 0.92 % | 0.93 % | 0.93 % |
Net investment income | 6.79 % | 6.13 % | 4.08 % | 3.29 % | 4.01 % | 4.36 % |
Supplemental data | ||||||
Portfolio turnover rate | 27 % | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $172,266 | $175,674 | $186,532 | $238,817 | $251,410 | $273,553 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
4 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had an impact of less than 0.005% on total return. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $2.95 | $2.93 | $3.46 | $3.34 | $3.29 | $3.28 |
Net investment income | 0.09 1 | 0.16 1 | 0.11 1 | 0.09 1 | 0.11 1 | 0.12 1 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 |
Net realized and unrealized gains (losses) on investments | 0.04 | 0.02 | (0.53 ) | 0.12 | 0.03 | 0.01 |
Total from investment operations | 0.13 | 0.18 | (0.42 ) | 0.21 | 0.15 | 0.13 |
Distributions to shareholders from | ||||||
Net investment income | (0.09 ) | (0.16 ) | (0.11 ) | (0.09 ) | (0.10 ) | (0.12 ) |
Net asset value, end of period | $2.99 | $2.95 | $2.93 | $3.46 | $3.34 | $3.29 |
Total return2 | 4.55 % | 6.37 % | (12.39 )% | 6.25 % | 4.83 %3 | 4.00 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.77 % | 1.78 % | 1.76 % | 1.76 % | 1.79 % | 1.79 % |
Net expenses | 1.67 % | 1.68 % | 1.68 % | 1.68 % | 1.68 % | 1.68 % |
Net investment income | 6.03 % | 5.35 % | 3.26 % | 2.57 % | 3.25 % | 3.64 % |
Supplemental data | ||||||
Portfolio turnover rate | 27 % | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $1,798 | $1,743 | $2,384 | $4,123 | $8,265 | $12,220 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
3 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had a 0.31% impact on the total return. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 | $3.29 |
Net investment income | 0.10 1 | 0.18 1 | 0.14 | 0.12 1 | 0.13 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | 0.04 | 0.03 | (0.54 ) | 0.12 | 0.05 | 0.00 |
Total from investment operations | 0.14 | 0.21 | (0.40 ) | 0.24 | 0.18 | 0.15 |
Distributions to shareholders from | ||||||
Net investment income | (0.10 ) | (0.19 ) | (0.14 ) | (0.12 ) | (0.13 ) | (0.15 ) |
Net asset value, end of period | $2.98 | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 |
Total return2 | 5.01 % | 7.30 % | (11.91 )% | 7.20 % | 5.76 % | 4.60 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.97 % | 0.97 % | 0.95 % | 0.95 % | 0.99 % | 0.98 % |
Net expenses | 0.80 % | 0.80 % | 0.80 % | 0.79 % | 0.79 % | 0.80 % |
Net investment income | 6.90 % | 6.26 % | 4.20 % | 3.42 % | 4.14 % | 4.48 % |
Supplemental data | ||||||
Portfolio turnover rate | 27 % | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $12,841 | $14,165 | $14,045 | $18,317 | $21,185 | $24,667 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 | $3.28 |
Net investment income | 0.10 1 | 0.19 1 | 0.14 | 0.12 | 0.14 | 0.15 |
Net realized and unrealized gains (losses) on investments | 0.05 | 0.02 | (0.54 ) | 0.13 | 0.05 | 0.01 |
Total from investment operations | 0.15 | 0.21 | (0.40 ) | 0.25 | 0.19 | 0.16 |
Distributions to shareholders from | ||||||
Net investment income | (0.11 ) | (0.19 ) | (0.14 ) | (0.13 ) | (0.14 ) | (0.15 ) |
Net asset value, end of period | $2.98 | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 |
Total return2 | 5.15 % | 7.59 % | (11.68 )% | 7.48 % | 6.04 % | 5.20 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.70 % | 0.70 % | 0.68 % | 0.69 % | 0.71 % | 0.71 % |
Net expenses | 0.53 % | 0.53 % | 0.53 % | 0.53 % | 0.53 % | 0.53 % |
Net investment income | 7.19 % | 6.53 % | 4.50 % | 3.66 % | 4.39 % | 4.75 % |
Supplemental data | ||||||
Portfolio turnover rate | 27 % | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $104,427 | $100,281 | $98,975 | $120,658 | $73,568 | $75,877 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $5,111,322 |
Gross unrealized losses | (10,716,960 ) |
Net unrealized losses | $(5,605,638 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $0 | $221,943,713 | $0 | $221,943,713 |
Loans | 0 | 16,841,227 | 668,582 | 17,509,809 |
Yankee corporate bonds and notes | 0 | 37,282,434 | 0 | 37,282,434 |
Short-term investments | ||||
Investment companies | 14,716,569 | 0 | 0 | 14,716,569 |
Total assets | $14,716,569 | $276,067,374 | $668,582 | $291,452,525 |
Average daily net assets | Management fee |
First $500 million | 0.550 % |
Next $500 million | 0.525 |
Next $2 billion | 0.500 |
Next $2 billion | 0.475 |
Next $5 billion | 0.440 |
Over $10 billion | 0.430 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.92 % |
Class C | 1.67 |
Administrator Class | 0.80 |
Institutional Class | 0.53 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
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SAR4323 02-24
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Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Maulik Bhansali, CFA, Jarad Vasquez |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (MSDAX) | 3-11-1996 | 2.07 | 0.14 | 0.34 | 4.16 | 0.55 | 0.54 | 0.82 | 0.77 |
Class C (MSDCX) | 5-31-2002 | 2.26 | -0.22 | -0.06 | 3.26 | -0.22 | -0.06 | 1.57 | 1.52 |
Class R6 (MSDRX) | 11-30-2012 | – | – | – | 4.58 | 0.95 | 0.96 | 0.45 | 0.37 |
Administrator Class (MNSGX) | 12-18-1992 | – | – | – | 4.22 | 0.71 | 0.73 | 0.77 | 0.60 |
Institutional Class (WSGIX) | 4-8-2005 | – | – | – | 4.41 | 0.89 | 0.91 | 0.50 | 0.42 |
Bloomberg U.S. Aggregate Bond Index3 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg U.S. 1-3 Year Government Bond Index4 | – | – | – | – | 4.29 | 1.20 | 1.02 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.77% for Class A, 1.52% for Class C, 0.37% for Class R6, 0.60% for Administrator Class and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
4 | The Bloomberg U.S. 1–3 Year Government Bond Index is composed of all publicly issued, nonconvertible domestic debt of the U.S. government and its agencies. The index also includes corporate debt guaranteed by the U.S. government. Only notes and bonds with a minimum maturity of 1 year up to a maximum maturity of 2.9 years are included. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
FHLMC, 5.65%, 2-1-2046 | 8.31 |
FNMA, 3.45%, 7-1-2049 | 8.18 |
FHLMC, 3.37%, 5-1-2049 | 7.09 |
U.S. Treasury Notes, 4.13%, 2-15-2027 | 5.21 |
GNMA, 3.00%, 11-20-2038 | 4.53 |
FHLMC, 6.77%, 6-1-2043 | 3.96 |
FHLMC, 3.30%, 2-1-2050 | 3.55 |
FNMA, 2.50%, 8-1-2031 | 2.63 |
FHLMC, 2.50%, 5-15-2047 | 2.22 |
FNMA, 5.84%, 10-25-2040 | 2.08 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g782799img5d681f374.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,030.19 | $3.89 | 0.77 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.03 | $3.87 | 0.77 % |
Class C | ||||
Actual | $1,000.00 | $1,026.34 | $7.66 | 1.52 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.31 | $7.62 | 1.52 % |
Class R6 | ||||
Actual | $1,000.00 | $1,032.20 | $1.87 | 0.37 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.02 | $1.86 | 0.37 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,029.87 | $3.03 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.88 | $3.02 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,031.97 | $2.12 | 0.42 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.78 | $2.11 | 0.42 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 82.34% | ||||||
FHLMC STRIPS Series 317 Class F3 (30 Day Average U.S. SOFR+0.63%)± | 5.96 % | 11-15-2043 | $ | 3,423,633 | $3,339,230 | |
FHLMC (30 Day Average U.S. SOFR+2.13%)± | 4.21 | 6-1-2052 | 4,272,298 | 4,059,693 | ||
FHLMC (RFUCCT1Y+1.62%)± | 5.32 | 8-1-2046 | 4,113,371 | 4,174,686 | ||
FHLMC (RFUCCT1Y+1.62%)± | 5.65 | 2-1-2046 | 16,761,257 | 17,025,269 | ||
FHLMC (RFUCCT1Y+1.62%)± | 6.94 | 10-1-2043 | 2,983,488 | 3,039,311 | ||
FHLMC (RFUCCT1Y+1.63%)± | 3.30 | 2-1-2050 | 7,385,312 | 7,268,642 | ||
FHLMC (RFUCCT1Y+1.63%)± | 7.08 | 10-1-2043 | 3,521,120 | 3,581,476 | ||
FHLMC (RFUCCT1Y+1.64%)± | 3.37 | 5-1-2049 | 14,446,523 | 14,529,412 | ||
FHLMC (RFUCCT1Y+1.66%)± | 6.77 | 6-1-2043 | 7,956,430 | 8,110,917 | ||
FHLMC (RFUCCT1Y+1.66%)± | 6.79 | 9-1-2045 | 2,996,412 | 3,054,543 | ||
FHLMC (RFUCCT1Y+1.85%)± | 5.62 | 5-1-2042 | 473,979 | 484,914 | ||
FHLMC Series 4683 Class EA | 2.50 | 5-15-2047 | 4,876,009 | 4,550,533 | ||
FHLMC Series 5335 Class FB (30 Day Average U.S. SOFR+0.81%)± | 6.14 | 10-15-2039 | 2,071,087 | 2,073,291 | ||
FNMA | 2.00 | 2-1-2031 | 3,542,361 | 3,284,082 | ||
FNMA | 2.50 | 8-1-2031 | 5,673,907 | 5,391,819 | ||
FNMA | 3.00 | 8-1-2036 | 2,687,038 | 2,509,408 | ||
FNMA | 3.00 | 11-1-2039 | 3,599,046 | 3,335,525 | ||
FNMA | 3.50 | 7-1-2043 | 1,892,585 | 1,787,900 | ||
FNMA | 4.00 | 3-1-2031 | 2,176,561 | 2,143,491 | ||
FNMA | 4.00 | 2-1-2034 | 1,836,965 | 1,773,922 | ||
FNMA | 4.00 | 6-1-2038 | 4,054,029 | 3,940,819 | ||
FNMA (1 Year Treasury Constant Maturity+2.05%)± | 3.94 | 3-1-2049 | 2,226,116 | 2,183,296 | ||
FNMA (RFUCCT1Y+1.57%)± | 6.73 | 9-1-2045 | 371,595 | 379,290 | ||
FNMA (RFUCCT1Y+1.58%)± | 5.51 | 6-1-2045 | 476,198 | 485,276 | ||
FNMA (RFUCCT1Y+1.58%)± | 5.60 | 1-1-2046 | 536,849 | 547,087 | ||
FNMA (RFUCCT1Y+1.61%)± | 3.45 | 7-1-2049 | 17,672,175 | 16,770,074 | ||
FNMA (RFUCCT1Y+1.62%)± | 6.31 | 9-1-2043 | 1,362,223 | 1,388,989 | ||
FNMA (RFUCCT1Y+1.69%)± | 7.40 | 11-1-2042 | 320,783 | 328,550 | ||
FNMA Series 2008-7 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 2-25-2038 | 349,489 | 346,811 | ||
FNMA Series 2010-111 Class KF (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 10-25-2040 | 4,311,439 | 4,270,333 | ||
FNMA Series 2012-115 Class DF (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 10-25-2042 | 2,837,117 | 2,755,221 | ||
FNMA Series 2012-124 Class FE (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 11-25-2042 | 12,696 | 12,294 | ||
FNMA Series 2013-130 Class FD (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 1-25-2044 | 1,320,120 | 1,291,466 | ||
FNMA Series 2014-74 Class FC (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 11-25-2044 | 994,905 | 968,314 | ||
FNMA Series 2016-84 Class FT (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 11-25-2046 | 58,187 | 56,535 | ||
FNMA Series 2017-112 Class FC (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 1-25-2048 | 1,066,099 | 1,025,976 | ||
FNMA Series 2017-30 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.79 | 5-25-2047 | 3,010,048 | 2,916,171 | ||
FNMA Series 2019-33 Class FN (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 7-25-2049 | 3,028,929 | 2,949,608 | ||
FNMA Series 2019-35 Class FA (30 Day Average U.S. SOFR+0.51%)± | 5.84 | 7-25-2049 | 1,223,785 | 1,191,143 | ||
FNMA Series 2019-49 Class FB (30 Day Average U.S. SOFR+0.59%)± | 5.92 | 9-25-2049 | 1,892,737 | 1,835,224 | ||
FNMA Series 2019-50 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.89 | 9-25-2049 | 3,476,176 | 3,389,979 | ||
FNMA Series 2020-37 Class DA | 1.50 | 6-25-2050 | 1,797,669 | 1,542,368 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA Series 2023-37 Class FG (30 Day Average U.S. SOFR+0.41%)± | 5.74 % | 8-25-2050 | $ | 1,580,017 | $1,523,117 | |
FNMA Series 2023-38 Class FC (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 6-25-2040 | 2,031,258 | 2,009,874 | ||
FNMA Series 2023-38 Class FD (30 Day Average U.S. SOFR+0.86%)± | 6.19 | 10-25-2039 | 4,061,653 | 4,043,850 | ||
GNMA Series 2010-167 Class FL (U.S. SOFR 1 Month+0.46%)± | 5.78 | 12-20-2040 | 1,633,522 | 1,605,708 | ||
GNMA Series 2016-167 Class AC | 2.25 | 3-20-2039 | 2,162,545 | 1,966,330 | ||
GNMA Series 2019-125 Class DF (U.S. SOFR 1 Month+0.56%)± | 5.88 | 10-20-2049 | 2,308,514 | 2,239,393 | ||
GNMA Series 2022-107 Class DA | 3.00 | 11-20-2038 | 9,697,871 | 9,293,586 | ||
Total agency securities (Cost $171,373,415) | 168,774,746 | |||||
Asset-backed securities: 3.89% | ||||||
Hyundai Auto Lease Securitization Trust Series 2023-C Class A4144A | 5.84 | 9-15-2027 | 1,079,000 | 1,090,677 | ||
Navient Private Education Refinance Loan Trust Series 2020-GA Class A144A | 1.17 | 9-16-2069 | 1,007,601 | 903,921 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (90 Day Average U.S. SOFR+0.42%)± | 5.78 | 1-25-2037 | 1,177,917 | 1,166,669 | ||
SFS Auto Receivables Securitization Trust Series 2024-1A Class A4144A | 4.94 | 1-21-2031 | 1,055,000 | 1,048,303 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX144A | 1.95 | 2-15-2046 | 521,680 | 475,216 | ||
Synchrony Card Funding LLC Series 2023-A1 Class A | 5.54 | 7-15-2029 | 1,176,000 | 1,185,576 | ||
T-Mobile U.S. Trust Series 2024-1A Class A144A | 5.05 | 9-20-2029 | 1,048,000 | 1,047,958 | ||
WF Card Issuance Trust Series 2024-A1 Class A%% | 4.94 | 2-15-2029 | 1,060,000 | 1,060,000 | ||
Total asset-backed securities (Cost $8,119,808) | 7,978,320 | |||||
Non-agency mortgage-backed securities: 3.10% | ||||||
Angel Oak Mortgage Trust Series 2020-5 Class A1144A±± | 1.37 | 5-25-2065 | 498,323 | 460,386 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1144A | 2.88 | 7-25-2049 | 407,206 | 382,640 | ||
BX Commercial Mortgage Trust Series 2021-VOLT Class A (U.S. SOFR 1 Month+0.81%)144A± | 6.13 | 9-15-2036 | 2,545,000 | 2,516,227 | ||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class AAB | 3.37 | 10-10-2047 | 63,677 | 63,304 | ||
NewRez Warehouse Securitization Trust Series 2021-1 Class A (U.S. SOFR 1 Month+0.86%)144A± | 6.19 | 5-25-2055 | 1,761,933 | 1,761,407 | ||
Verus Securitization Trust Series 2019-4 Class A1144A | 3.64 | 11-25-2059 | 140,035 | 135,496 | ||
Verus Securitization Trust Series 2019-INV3 Class A1144A±± | 3.69 | 11-25-2059 | 300,433 | 289,572 | ||
Verus Securitization Trust Series 2021-3 Class A1144A±± | 1.05 | 6-25-2066 | 895,860 | 741,724 | ||
Total non-agency mortgage-backed securities (Cost $6,613,163) | 6,350,756 | |||||
U.S. Treasury securities: 8.22% | ||||||
U.S. Treasury Notes | 1.13 | 10-31-2026 | 354,000 | 324,449 | ||
U.S. Treasury Notes | 4.00 | 1-15-2027 | 1,702,000 | 1,682,055 | ||
U.S. Treasury Notes | 4.13 | 2-15-2027 | 10,773,000 | 10,684,628 | ||
U.S. Treasury Notes | 4.25 | 1-31-2026 | 4,176,000 | 4,144,843 | ||
U.S. Treasury Notes | 4.50 | 11-30-2024 | 18,000 | 17,903 | ||
Total U.S. Treasury securities (Cost $16,901,463) | 16,853,878 |
Yield | Shares | Value | ||||
Short-term investments: 3.29% | ||||||
Investment companies: 3.29% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 % | 6,748,552 | $6,748,552 | |||
Total short-term investments (Cost $6,748,552) | 6,748,552 | |||||
Total investments in securities (Cost $209,756,401) | 100.84 % | 206,706,252 | ||||
Other assets and liabilities, net | (0.84 ) | (1,719,095 ) | ||||
Total net assets | 100.00 % | $204,987,157 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
%% | The security is purchased on a when-issued basis. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $4,619,516 | $71,942,885 | $(69,813,849 ) | $0 | $0 | $6,748,552 | 6,748,552 | $185,239 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
2-Year U.S. Treasury Notes | 516 | 6-28-2024 | $105,573,607 | $105,651,000 | $77,393 | $0 |
Short | ||||||
Ultra 10-Year U.S. Treasury Notes | (52 ) | 6-18-2024 | (5,921,412 ) | (5,936,938 ) | 0 | (15,526 ) |
5-Year U.S. Treasury Notes | (183 ) | 6-28-2024 | (19,536,387 ) | (19,563,844 ) | 0 | (27,457 ) |
$77,393 | $(42,983 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $203,007,849) | $199,957,700 |
Investments in affiliated securities, at value (cost $6,748,552) | 6,748,552 |
Cash | 37,712 |
Cash at broker segregated for futures contracts | 1,174,000 |
Principal paydown receivable | 1,267,298 |
Receivable for investments sold | 1,001,762 |
Receivable for interest | 871,614 |
Receivable for Fund shares sold | 75,966 |
Prepaid expenses and other assets | 100,713 |
Total assets | 211,235,317 |
Liabilities | |
Payable for investments purchased | 4,670,025 |
Payable for when-issued transactions | 1,059,712 |
Payable for Fund shares redeemed | 256,903 |
Dividends payable | 141,122 |
Management fee payable | 36,546 |
Payable for daily variation margin on open futures contracts | 17,585 |
Administration fees payable | 13,430 |
Trustees’ fees and expenses payable | 803 |
Distribution fee payable | 741 |
Accrued expenses and other liabilities | 51,293 |
Total liabilities | 6,248,160 |
Total net assets | $204,987,157 |
Net assets consist of | |
Paid-in capital | $336,877,612 |
Total distributable loss | (131,890,455 ) |
Total net assets | $204,987,157 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $22,501,933 |
Shares outstanding–Class A1 | 2,543,628 |
Net asset value per share–Class A | $8.85 |
Maximum offering price per share – Class A2 | $9.03 |
Net assets–Class C | $1,196,245 |
Shares outstanding–Class C1 | 135,013 |
Net asset value per share–Class C | $8.86 |
Net assets–Class R6 | $31,958,453 |
Shares outstanding–Class R61 | 3,600,295 |
Net asset value per share–Class R6 | $8.88 |
Net assets–Administrator Class | $17,889,882 |
Shares outstanding–Administrator Class1 | 2,018,325 |
Net asset value per share–Administrator Class | $8.86 |
Net assets–Institutional Class | $131,440,644 |
Shares outstanding–Institutional Class1 | 14,837,237 |
Net asset value per share–Institutional Class | $8.86 |
Investment income | |
Interest | $4,732,373 |
Income from affiliated securities | 185,239 |
Total investment income | 4,917,612 |
Expenses | |
Management fee | 361,356 |
Administration fees | |
Class A | 17,232 |
Class C | 1,007 |
Class R6 | 5,053 |
Administrator Class | 9,011 |
Institutional Class | 52,185 |
Shareholder servicing fees | |
Class A | 28,720 |
Class C | 1,664 |
Administrator Class | 22,365 |
Distribution fee | |
Class C | 4,992 |
Custody and accounting fees | 7,476 |
Professional fees | 40,064 |
Registration fees | 28,652 |
Shareholder report expenses | 15,722 |
Trustees’ fees and expenses | 11,828 |
Other fees and expenses | 7,410 |
Total expenses | 614,737 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (92,600 ) |
Class R6 | (4,612 ) |
Administrator Class | (10,437 ) |
Institutional Class | (18,064 ) |
Net expenses | 489,024 |
Net investment income | 4,428,588 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (963,558 ) |
Futures contracts | (301,289 ) |
Net realized losses on investments | (1,264,847 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 3,163,194 |
Futures contracts | (24,052 ) |
Net change in unrealized gains (losses) on investments | 3,139,142 |
Net realized and unrealized gains (losses) on investments | 1,874,295 |
Net increase in net assets resulting from operations | $6,302,883 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $4,428,588 | $9,590,844 | ||
Net realized losses on investments | (1,264,847 ) | (19,966,445 ) | ||
Net change in unrealized gains (losses) on investments | 3,139,142 | 9,792,335 | ||
Net increase (decrease) in net assets resulting from operations | 6,302,883 | (583,266 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (505,150 ) | (776,407 ) | ||
Class C | (24,431 ) | (44,066 ) | ||
Class R6 | (806,948 ) | (1,313,290 ) | ||
Administrator Class | (411,193 ) | (678,320 ) | ||
Institutional Class | (3,094,205 ) | (8,064,585 ) | ||
Total distributions to shareholders | (4,841,927 ) | (10,876,668 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 118,934 | 1,044,409 | 103,898 | 921,903 |
Class C | 0 | 0 | 6,088 | 54,117 |
Class R6 | 95,187 | 844,546 | 410,399 | 3,651,257 |
Administrator Class | 15,286 | 135,151 | 251,249 | 2,249,946 |
Institutional Class | 2,180,464 | 19,319,733 | 5,726,191 | 50,821,066 |
21,343,839 | 57,698,289 | |||
Reinvestment of distributions | ||||
Class A | 54,767 | 482,974 | 84,224 | 744,518 |
Class C | 2,767 | 24,431 | 4,977 | 44,063 |
Class R6 | 79,661 | 704,822 | 131,680 | 1,168,038 |
Administrator Class | 46,333 | 409,344 | 75,932 | 672,494 |
Institutional Class | 265,016 | 2,339,961 | 758,037 | 6,713,571 |
3,961,532 | 9,342,684 | |||
Payment for shares redeemed | ||||
Class A | (279,676 ) | (2,465,430 ) | (946,327 ) | (8,379,462 ) |
Class C | (34,121 ) | (300,798 ) | (132,017 ) | (1,173,532 ) |
Class R6 | (678,856 ) | (6,000,223 ) | (1,192,121 ) | (10,595,972 ) |
Administrator Class | (161,473 ) | (1,421,764 ) | (1,214,436 ) | (10,771,868 ) |
Institutional Class | (3,239,469 ) | (28,514,942 ) | (27,736,964 ) | (245,586,462 ) |
(38,703,157 ) | (276,507,296 ) | |||
Net decrease in net assets resulting from capital share transactions | (13,397,786 ) | (209,466,323 ) | ||
Total decrease in net assets | (11,936,830 ) | (220,926,257 ) | ||
Net assets | ||||
Beginning of period | 216,923,987 | 437,850,244 | ||
End of period | $204,987,157 | $216,923,987 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.78 | $9.04 | $9.71 | $9.85 | $9.73 | $9.60 |
Net investment income | 0.18 1 | 0.22 1 | 0.04 1 | 0.00 1,2 | 0.15 | 0.21 |
Net realized and unrealized gains (losses) on investments | 0.08 | (0.22 ) | (0.59 ) | (0.04 ) | 0.18 | 0.16 |
Total from investment operations | 0.26 | 0.00 | (0.55 ) | (0.04 ) | 0.33 | 0.37 |
Distributions to shareholders from | ||||||
Net investment income | (0.19 ) | (0.26 ) | (0.12 ) | (0.10 ) | (0.21 ) | (0.24 ) |
Net asset value, end of period | $8.85 | $8.78 | $9.04 | $9.71 | $9.85 | $9.73 |
Total return3 | 3.02 % | 0.02 % | (5.65 )% | (0.45 )% | 3.41 % | 3.92 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.86 % | 0.83 % | 0.79 % | 0.79 % | 0.81 % | 0.81 % |
Net expenses | 0.77 % | 0.78 % | 0.78 % | 0.78 % | 0.78 % | 0.78 % |
Net investment income | 4.00 % | 2.53 % | 0.38 % | 0.01 % | 1.32 % | 2.22 % |
Supplemental data | ||||||
Portfolio turnover rate | 80 % | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $22,502 | $23,260 | $30,817 | $67,959 | $60,425 | $29,618 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Net investment income (loss) | 0.14 1 | 0.16 1 | (0.03 )1 | (0.07 )1 | 0.07 | 0.14 1 |
Net realized and unrealized gains (losses) on investments | 0.09 | (0.24 ) | (0.58 ) | (0.06 ) | 0.18 | 0.16 |
Total from investment operations | 0.23 | (0.08 ) | (0.61 ) | (0.13 ) | 0.25 | 0.30 |
Distributions to shareholders from | ||||||
Net investment income | (0.16 ) | (0.19 ) | (0.05 ) | (0.02 ) | (0.13 ) | (0.17 ) |
Net asset value, end of period | $8.86 | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 |
Total return2 | 2.63 % | (0.84 )% | (6.26 )% | (1.29 )% | 2.64 % | 3.14 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.60 % | 1.57 % | 1.53 % | 1.54 % | 1.56 % | 1.56 % |
Net expenses | 1.52 % | 1.53 % | 1.52 % | 1.53 % | 1.53 % | 1.53 % |
Net investment income (loss) | 3.23 % | 1.75 % | (0.34 )% | (0.69 )% | 0.61 % | 1.49 % |
Supplemental data | ||||||
Portfolio turnover rate | 80 % | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $1,196 | $1,463 | $2,602 | $4,963 | $8,868 | $10,032 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.81 | $9.07 | $9.74 | $9.89 | $9.77 | $9.64 |
Net investment income | 0.19 1 | 0.26 1 | 0.09 | 0.04 | 0.19 | 0.25 1 |
Net realized and unrealized gains (losses) on investments | 0.09 | (0.22 ) | (0.60 ) | (0.05 ) | 0.18 | 0.16 |
Total from investment operations | 0.28 | 0.04 | (0.51 ) | (0.01 ) | 0.37 | 0.41 |
Distributions to shareholders from | ||||||
Net investment income | (0.21 ) | (0.30 ) | (0.16 ) | (0.14 ) | (0.25 ) | (0.28 ) |
Net asset value, end of period | $8.88 | $8.81 | $9.07 | $9.74 | $9.89 | $9.77 |
Total return2 | 3.22 % | 0.43 % | (5.24 )% | (0.13 )% | 3.83 % | 4.34 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.49 % | 0.45 % | 0.42 % | 0.41 % | 0.43 % | 0.43 % |
Net expenses | 0.37 % | 0.37 % | 0.37 % | 0.37 % | 0.37 % | 0.37 % |
Net investment income | 4.39 % | 2.95 % | 0.93 % | 0.42 % | 1.77 % | 2.62 % |
Supplemental data | ||||||
Portfolio turnover rate | 80 % | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $31,958 | $36,155 | $43,142 | $47,471 | $48,371 | $41,987 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.80 | $9.06 | $9.73 | $9.87 | $9.75 | $9.62 |
Net investment income | 0.18 1 | 0.24 1 | 0.06 | 0.02 1 | 0.16 1 | 0.23 1 |
Net realized and unrealized gains (losses) on investments | 0.08 | (0.22 ) | (0.59 ) | (0.05 ) | 0.19 | 0.16 |
Total from investment operations | 0.26 | 0.02 | (0.53 ) | (0.03 ) | 0.35 | 0.39 |
Distributions to shareholders from | ||||||
Net investment income | (0.20 ) | (0.28 ) | (0.14 ) | (0.11 ) | (0.23 ) | (0.26 ) |
Net asset value, end of period | $8.86 | $8.80 | $9.06 | $9.73 | $9.87 | $9.75 |
Total return2 | 2.99 % | 0.20 % | (5.47 )% | (0.26 )% | 3.60 % | 4.10 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.81 % | 0.76 % | 0.73 % | 0.73 % | 0.75 % | 0.75 % |
Net expenses | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % |
Net investment income | 4.16 % | 2.67 % | 0.68 % | 0.20 % | 1.54 % | 2.41 % |
Supplemental data | ||||||
Portfolio turnover rate | 80 % | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $17,890 | $18,632 | $27,229 | $32,375 | $36,262 | $38,816 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Net investment income | 0.19 1 | 0.25 1 | 0.07 1 | 0.04 1 | 0.17 | 0.25 |
Net realized and unrealized gains (losses) on investments | 0.09 | (0.23 ) | (0.57 ) | (0.06 ) | 0.19 | 0.16 |
Total from investment operations | 0.28 | 0.02 | (0.50 ) | (0.02 ) | 0.36 | 0.41 |
Distributions to shareholders from | ||||||
Net investment income | (0.21 ) | (0.29 ) | (0.16 ) | (0.13 ) | (0.24 ) | (0.28 ) |
Net asset value, end of period | $8.86 | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 |
Total return2 | 3.20 % | 0.27 % | (5.20 )% | (0.19 )% | 3.78 % | 4.29 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.54 % | 0.49 % | 0.46 % | 0.46 % | 0.48 % | 0.48 % |
Net expenses | 0.42 % | 0.42 % | 0.42 % | 0.42 % | 0.42 % | 0.42 % |
Net investment income | 4.34 % | 2.81 % | 0.79 % | 0.37 % | 1.72 % | 2.57 % |
Supplemental data | ||||||
Portfolio turnover rate | 80 % | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $131,441 | $137,415 | $334,060 | $570,276 | $451,715 | $445,211 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $542,387 |
Gross unrealized losses | (3,660,835 ) |
Net unrealized losses | $(3,118,448 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $168,774,746 | $0 | $168,774,746 |
Asset-backed securities | 0 | 7,978,320 | 0 | 7,978,320 |
Non-agency mortgage-backed securities | 0 | 6,350,756 | 0 | 6,350,756 |
U.S. Treasury securities | 16,853,878 | 0 | 0 | 16,853,878 |
Short-term investments | ||||
Investment companies | 6,748,552 | 0 | 0 | 6,748,552 |
23,602,430 | 183,103,822 | 0 | 206,706,252 | |
Futures contracts | 77,393 | 0 | 0 | 77,393 |
Total assets | $23,679,823 | $183,103,822 | $0 | $206,783,645 |
Liabilities | ||||
Futures contracts | $42,983 | $0 | $0 | $42,983 |
Total liabilities | $42,983 | $0 | $0 | $42,983 |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.77 % |
Class C | 1.52 |
Class R6 | 0.37 |
Administrator Class | 0.60 |
Institutional Class | 0.42 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$162,835,536 | $5,286,994 | $154,282,927 | $9,761,816 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g782799img231c06a51.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
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SAR0932 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g683078imgd494417b2.jpg)
Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SSTVX) | 8-31-1999 | 3.42 | 1.60 | 1.42 | 5.53 | 2.01 | 1.62 | 0.81 | 0.62 |
Class C (WFSHX) | 3-31-2008 | 3.85 | 1.25 | 1.02 | 4.85 | 1.25 | 1.02 | 1.56 | 1.37 |
Class R6 (SSTYX)3 | 7-31-2018 | – | – | – | 5.91 | 2.31 | 1.91 | 0.44 | 0.25 |
Institutional Class (SSHIX) | 8-31-1999 | – | – | – | 5.86 | 2.26 | 1.89 | 0.49 | 0.30 |
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg U.S. 1-3 Year Government/Credit Bond Index5 | – | – | – | – | 4.58 | 1.41 | 1.24 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.61% for Class A, 1.36% for Class C, 0.24% for Class R6 and 0.29% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg U.S. 1-3 Year Government/Credit Bond Index is the one- to three-year component of the Bloomberg U.S. Government/Credit Bond Index that includes securities in the Government and Credit Indexes. The Government Index includes Treasuries (that is, public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (that is, publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
U.S. Treasury Notes, 0.38%, 12-31-2025 | 9.98 |
U.S. Treasury Notes, 1.13%, 1-15-2025 | 6.18 |
U.S. Treasury Notes, 4.25%, 1-31-2026 | 5.99 |
U.S. Treasury Notes, 3.25%, 8-31-2024 | 3.73 |
U.S. Treasury Notes, 5.00%, 8-31-2025 | 2.25 |
U.S. Treasury Notes, 4.25%, 12-31-2025 | 1.67 |
GNMA, 6.00%, 3-20-2054 | 1.48 |
GNMA, 6.50%, 3-20-2054 | 0.81 |
Avis Budget Rental Car Funding AESOP LLC, 3.35%, 9-22-2025 | 0.69 |
Anchorage Capital CLO 6 Ltd., 7.43%, 7-15-2030 | 0.64 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g683078img2cfdde704.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,033.49 | $3.08 | 0.61 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.83 | $3.07 | 0.61 % |
Class C | ||||
Actual | $1,000.00 | $1,029.59 | $6.86 | 1.36 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.10 | $6.82 | 1.36 % |
Class R6 | ||||
Actual | $1,000.00 | $1,034.17 | $1.21 | 0.24 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.67 | $1.21 | 0.24 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,035.12 | $1.47 | 0.29 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.42 | $1.46 | 0.29 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 2.83% | ||||||
FHLMC | 4.00 % | 5-1-2025 | $ | 54,811 | $54,180 | |
FHLMC Multifamily Structured Pass-Through Certificates Series Q004 Class AFL (12 Month Treasury Average+0.74%)± | 5.83 | 5-25-2044 | 274,847 | 274,841 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 189,898 | 209,123 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.98 | 7-25-2043 | 44,291 | 40,949 | ||
FHLMC Structured Pass-Through Certificates Series T-59 Class 2A1±± | 3.88 | 10-25-2043 | 453,111 | 362,860 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 4-1-2032 | 10,125 | 10,146 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.17 | 4-1-2038 | 64,200 | 65,292 | ||
FHLMC (3 Year Treasury Constant Maturity+2.09%)± | 2.96 | 5-1-2026 | 335 | 330 | ||
FHLMC (RFUCCT1Y+1.91%)± | 6.16 | 9-1-2031 | 1,499 | 1,494 | ||
FHLMC Series 2597 Class AE | 5.50 | 4-15-2033 | 5,573 | 5,526 | ||
FHLMC Series 3735 Class KL | 3.50 | 10-15-2025 | 46,248 | 45,486 | ||
FNMA | 6.00 | 3-1-2033 | 40,975 | 41,514 | ||
FNMA | 6.50 | 8-1-2031 | 100,158 | 102,442 | ||
FNMA | 9.00 | 11-1-2024 | 3,077 | 3,075 | ||
FNMA (1 Year Treasury Constant Maturity+1.27%)± | 5.40 | 8-1-2034 | 41,009 | 40,574 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 6.32 | 11-1-2031 | 19,992 | 19,870 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 5.98 | 8-1-2036 | 307,368 | 315,607 | ||
FNMA (RFUCCT1Y+1.77%)± | 5.87 | 7-1-2044 | 206,884 | 212,323 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 12,099 | 13,106 | ||
FNMA Series 2002-T12 Class A4 | 9.50 | 5-25-2042 | 279,192 | 287,308 | ||
FNMA Series 2003-W11 Class A1±± | 6.72 | 6-25-2033 | 3,468 | 3,484 | ||
FNMA Series 2003-W6 Class 6A±± | 4.27 | 8-25-2042 | 213,079 | 204,689 | ||
FNMA Series 2003-W6 Class PT4±± | 8.26 | 10-25-2042 | 28,737 | 30,430 | ||
FNMA Series 2005-84 Class MB | 5.75 | 10-25-2035 | 68,333 | 68,587 | ||
FNMA Series 2006-W1 Class 2AF2 (30 Day Average U.S. SOFR+0.30%)± | 5.63 | 2-25-2046 | 876,212 | 866,936 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 11,765 | 11,711 | ||
FNMA Series 2011-48 Class CN | 4.00 | 6-25-2026 | 58,391 | 57,300 | ||
GNMA%% | 6.00 | 3-20-2054 | 9,185,000 | 9,229,786 | ||
GNMA%% | 6.50 | 3-20-2054 | 5,000,000 | 5,067,811 | ||
GNMA Series 2005-27 Class PA | 4.50 | 4-20-2035 | 15,692 | 15,340 | ||
Total agency securities (Cost $17,779,883) | 17,662,120 | |||||
Asset-backed securities: 14.22% | ||||||
ACHM Trust Series 2023-HE2 Class A144A±± | 7.50 | 10-25-2038 | 1,907,012 | 1,946,261 | ||
Anchorage Capital CLO 6 Ltd. Series 2015-6A Class B2RR (U.S. SOFR 3 Month+2.11%)144A± | 7.43 | 7-15-2030 | 4,000,000 | 4,005,683 | ||
Aqua Finance Trust Series 2021-A Class A144A | 1.54 | 7-17-2046 | 1,366,509 | 1,217,793 | ||
Auburn CLO Ltd. Series 2017-1A Class A2A (U.S. SOFR 3 Month+1.88%)144A± | 7.20 | 10-20-2030 | 470,000 | 470,519 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2019-2A Class A144A | 3.35 | 9-22-2025 | 4,330,000 | 4,296,803 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class B144A | 2.68 | 8-20-2026 | 2,220,000 | 2,123,852 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
BHG Securitization Trust Series 2021-A Class A144A | 1.42 % | 11-17-2033 | $ | 1,000,475 | $952,432 | |
BHG Securitization Trust Series 2021-A Class B144A | 2.79 | 11-17-2033 | 1,335,000 | 1,208,289 | ||
Black Diamond CLO Ltd. Series 2017-1A Class A1AR (U.S. SOFR 3 Month+1.31%)144A± | 6.63 | 4-24-2029 | 884,186 | 885,145 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 2,186,062 | 2,060,104 | ||
BRAVO Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR+0.75%)144A± | 6.07 | 11-25-2069 | 1,377,867 | 1,367,220 | ||
Cajun Global LLC Series 2021-1 Class A2144A | 3.93 | 11-20-2051 | 970,000 | 876,580 | ||
CFMT LLC Series 2021-AL1 Class B144A | 1.39 | 9-22-2031 | 716,492 | 698,589 | ||
CIFC Funding Ltd. Series 2018-1A Class A (U.S. SOFR 3 Month+1.26%)144A± | 6.56 | 4-18-2031 | 3,675,544 | 3,676,646 | ||
Commonbond Student Loan Trust Series 2018-BGS Class A1144A | 3.56 | 9-25-2045 | 642,399 | 601,718 | ||
Contimortgage Home Equity Loan Trust Series 1996-2 Class IOƒ±± | 0.00 | 7-15-2027 | 353,076 | 4,140 | ||
CPS Auto Receivables Trust Series 2021-A Class D144A | 1.16 | 12-15-2026 | 3,037,096 | 2,974,720 | ||
DataBank Issuer LLC Series 2024-1A Class A2144A | 5.30 | 1-26-2054 | 2,760,000 | 2,584,753 | ||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 | 10-25-2045 | 3,060,750 | 2,996,479 | ||
Dryden 72 CLO Ltd. Series 2019-72A Class CR (U.S. SOFR 3 Month+2.11%)144A± | 7.42 | 5-15-2032 | 1,000,000 | 983,745 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (U.S. SOFR 1 Month+1.24%)± | 6.56 | 9-25-2033 | 93,553 | 91,768 | ||
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 1,114,664 | 1,093,956 | ||
FIGRE Trust Series 2023-HE2 Class A144A±± | 6.51 | 5-25-2053 | 1,399,997 | 1,421,390 | ||
FirstKey Homes Trust Series 2021-SFR1 Class C144A | 1.89 | 8-17-2038 | 1,835,000 | 1,662,759 | ||
FirstKey Homes Trust Series 2021-SFR2 Class B144A | 1.61 | 9-17-2038 | 2,235,000 | 2,022,065 | ||
Five Guys Holdings, Inc. Series 2023-1A Class A2144A | 7.55 | 1-26-2054 | 615,000 | 637,691 | ||
FREED Mortgage Trust Series 2022-HE1 Class A144A | 7.00 | 10-25-2037 | 1,849,939 | 1,859,386 | ||
FS Rialto Issuer LLC Series 2021-FL3 Class B (U.S. SOFR 1 Month+1.91%)144A± | 7.24 | 11-16-2036 | 2,000,000 | 1,946,612 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A144A | 1.21 | 12-26-2025 | 2,325,000 | 2,262,909 | ||
HGI CRE CLO Ltd. Series 2021-FL1 Class A (U.S. SOFR 1 Month+1.16%)144A± | 6.49 | 6-16-2036 | 702,148 | 695,133 | ||
HGI CRE CLO Ltd. Series 2021-FL2 Class C (U.S. SOFR 1 Month+1.91%)144A± | 7.24 | 9-17-2036 | 1,000,000 | 948,574 | ||
Jonah Energy ABS I LLC Series 2022-1 Class A1144A | 7.20 | 12-10-2037 | 2,330,018 | 2,322,243 | ||
MF1 Ltd. Series 2021-FL7 Class A (U.S. SOFR 1 Month+1.19%)144A± | 6.51 | 10-16-2036 | 245,172 | 243,103 | ||
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1 Month+1.35%)144A± | 6.67 | 2-19-2037 | 3,800,000 | 3,757,250 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 | 7-15-2036 | 615,328 | 612,251 | ||
MNR ABS Issuer I LLC‡ | 8.12 | 12-15-2038 | 1,046,379 | 1,055,587 | ||
Navient Private Education Refinance Loan Trust Series 2021-EA Class A144A | 0.97 | 12-16-2069 | 1,938,752 | 1,663,372 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 157,471 | 155,427 | ||
Octane Receivables Trust Series 2022-2A Class A144A | 5.11 | 2-22-2028 | 762,965 | 759,230 | ||
Octane Receivables Trust Series 2023-1A Class A144A | 5.87 | 5-21-2029 | 453,673 | 453,696 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
Octane Receivables Trust Series 2023-1A Class B144A | 5.96 % | 7-20-2029 | $ | 645,000 | $643,755 | |
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 2,855,000 | 2,824,328 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A144A | 1.22 | 1-16-2029 | 751,554 | 732,036 | ||
Pagaya AI Debt Selection Trust Series 2023-1 Class A144A | 7.56 | 7-15-2030 | 1,627,644 | 1,634,086 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 2,010,000 | 1,997,145 | ||
PFS Financing Corp. Series 2021-A Class B144A | 0.96 | 4-15-2026 | 1,000,000 | 994,099 | ||
Prodigy Finance CM2021-1 DAC Series 2021-1A Class A (U.S. SOFR 1 Month+1.36%)144A± | 6.69 | 7-25-2051 | 1,030,862 | 1,028,340 | ||
RCKT Mortgage Trust Series 2023-CES3 Class A1A144A±± | 7.11 | 11-25-2043 | 1,943,958 | 1,971,423 | ||
Service Experts Issuer LLC Series 2021-1A Class A144A | 2.67 | 2-2-2032 | 1,600,122 | 1,490,857 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (90 Day Average U.S. SOFR+0.93%)144A± | 6.28 | 12-17-2068 | 1,764,902 | 1,745,429 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 5-26-2055 | 534,180 | 523,689 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class AR (U.S. SOFR 3 Month+1.34%)144A± | 6.66 | 4-15-2030 | 335,945 | 336,485 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class BR (U.S. SOFR 3 Month+1.81%)144A± | 7.13 | 4-15-2030 | 2,660,000 | 2,661,399 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 660,103 | 610,870 | ||
Store Master Funding I-VII Series 2018-1A Class A2144A | 4.29 | 10-20-2048 | 953,104 | 888,256 | ||
THL Credit Wind River CLO Ltd. Series 2013-2A Class AR2 (U.S. SOFR 3 Month+1.26%)144A± | 6.56 | 10-18-2030 | 2,513,292 | 2,508,391 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.04 | 1-25-2046 | 44,965 | 44,939 | ||
Venture XXIX CLO Ltd. Series 2017-29A Class AR (U.S. SOFR 3 Month+1.25%)144A± | 6.56 | 9-7-2030 | 2,009,402 | 2,011,412 | ||
Vibrant CLO VI Ltd. Series 2017-6A Class AR (U.S. SOFR 3 Month+1.21%)144A± | 6.58 | 6-20-2029 | 427,312 | 426,629 | ||
Zais CLO 6 Ltd. Series 2017-1A Class CR (U.S. SOFR 3 Month+2.91%)144A± | 8.23 | 7-15-2029 | 2,050,000 | 2,051,098 | ||
Total asset-backed securities (Cost $90,510,298) | 88,720,539 |
Shares | ||||||
Common stocks: 0.01% | ||||||
Consumer discretionary: 0.01% | ||||||
Hotels, restaurants & leisure: 0.01% | ||||||
Royal Caribbean Cruises Ltd.† | 535 | 65,992 | ||||
Total common stocks (Cost $116,969) | 65,992 |
Principal | ||||||
Corporate bonds and notes: 27.54% | ||||||
Basic materials: 0.62% | ||||||
Chemicals: 0.22% | ||||||
International Flavors & Fragrances, Inc.144A | 1.23 | 10-1-2025 | $ | 1,500,000 | 1,397,900 |
Interest rate | Maturity date | Principal | Value | |||
Mining: 0.40% | ||||||
Glencore Funding LLC144A | 5.40 % | 5-8-2028 | $ | 2,465,000 | $2,478,487 | |
Communications: 0.56% | ||||||
Media: 0.32% | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.15 | 11-10-2026 | 2,000,000 | 2,017,481 | ||
Telecommunications: 0.24% | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 625,000 | 620,780 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 5.15 | 3-20-2028 | 850,000 | 847,421 | ||
1,468,201 | ||||||
Consumer, cyclical: 5.59% | ||||||
Airlines: 0.50% | ||||||
American Airlines Pass-Through Trust Series 2017-2 Class B | 3.70 | 10-15-2025 | 1,331,747 | 1,281,706 | ||
Delta Air Lines, Inc./SkyMiles IP Ltd.144A | 4.50 | 10-20-2025 | 1,432,083 | 1,414,289 | ||
United Airlines Pass-Through Trust Series 2020-1 Class B | 4.88 | 1-15-2026 | 450,360 | 443,817 | ||
3,139,812 | ||||||
Apparel: 0.85% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 2,241,000 | 2,198,981 | ||
Tapestry, Inc. | 7.00 | 11-27-2026 | 3,000,000 | 3,081,157 | ||
5,280,138 | ||||||
Auto manufacturers: 2.38% | ||||||
American Honda Finance Corp. | 5.80 | 10-3-2025 | 3,000,000 | 3,028,440 | ||
Daimler Truck Finance North America LLC144A | 5.15 | 1-16-2026 | 2,000,000 | 1,993,869 | ||
Ford Motor Credit Co. LLC | 2.30 | 2-10-2025 | 4,000,000 | 3,869,149 | ||
Hyundai Capital America144A | 1.30 | 1-8-2026 | 1,115,000 | 1,033,402 | ||
Hyundai Capital America144A | 5.30 | 1-8-2029 | 1,800,000 | 1,795,756 | ||
Hyundai Capital America144A | 5.65 | 6-26-2026 | 1,080,000 | 1,083,342 | ||
Nissan Motor Acceptance Co. LLC144A | 6.95 | 9-15-2026 | 2,000,000 | 2,053,256 | ||
14,857,214 | ||||||
Entertainment: 0.39% | ||||||
Warnermedia Holdings, Inc. | 3.64 | 3-15-2025 | 1,000,000 | 978,898 | ||
Warnermedia Holdings, Inc. | 3.76 | 3-15-2027 | 1,500,000 | 1,419,358 | ||
2,398,256 | ||||||
Housewares: 0.35% | ||||||
Newell Brands, Inc. | 5.20 | 4-1-2026 | 2,250,000 | 2,184,888 | ||
Lodging: 0.50% | ||||||
Genting New York LLC/GENNY Capital, Inc.144A | 3.30 | 2-15-2026 | 1,080,000 | 1,007,582 | ||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 2,155,000 | 2,128,203 | ||
3,135,785 |
Interest rate | Maturity date | Principal | Value | |||
Retail: 0.40% | ||||||
Advance Auto Parts, Inc. | 5.95 % | 3-9-2028 | $ | 2,500,000 | $2,497,541 | |
Toys/games/hobbies: 0.22% | ||||||
Mattel, Inc.144A | 5.88 | 12-15-2027 | 1,370,000 | 1,370,870 | ||
Consumer, non-cyclical: 2.17% | ||||||
Agriculture: 0.73% | ||||||
Altria Group, Inc. | 1.70 | 6-15-2025 | 1,515,000 | 1,591,236 | ||
Philip Morris International, Inc. | 4.88 | 2-15-2028 | 3,000,000 | 2,983,481 | ||
4,574,717 | ||||||
Commercial services: 0.97% | ||||||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 2,500,000 | 2,554,800 | ||
Global Payments, Inc. | 4.45 | 6-1-2028 | 2,220,000 | 2,141,198 | ||
UL Solutions, Inc.144A | 6.50 | 10-20-2028 | 1,275,000 | 1,317,116 | ||
6,013,114 | ||||||
Healthcare-services: 0.47% | ||||||
CHRISTUS Health Series C | 4.34 | 7-1-2028 | 3,025,000 | 2,951,509 | ||
Financial: 14.84% | ||||||
Banks: 5.22% | ||||||
Bank of America Corp. (U.S. SOFR+0.65%)± | 1.53 | 12-6-2025 | 2,500,000 | 2,420,557 | ||
Bank of America Corp. Series N (U.S. SOFR+0.91%)± | 1.66 | 3-11-2027 | 2,370,000 | 2,199,109 | ||
Citigroup, Inc. (U.S. SOFR+1.55%)± | 5.61 | 9-29-2026 | 3,000,000 | 3,003,806 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+0.91%)± | 1.95 | 10-21-2027 | 3,000,000 | 2,746,346 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.49%)± | 0.77 | 8-9-2025 | 2,000,000 | 1,954,773 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.33%)± | 6.07 | 10-22-2027 | 3,000,000 | 3,057,661 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.54%)± | 0.82 | 6-1-2025 | 1,220,000 | 1,203,922 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.70%)± | 1.04 | 2-4-2027 | 835,000 | 769,493 | ||
Morgan Stanley (U.S. SOFR+0.56%)± | 1.16 | 10-21-2025 | 2,000,000 | 1,940,743 | ||
Morgan Stanley (U.S. SOFR+1.73%)± | 5.12 | 2-1-2029 | 2,035,000 | 2,021,666 | ||
Morgan Stanley (U.S. SOFR+1.99%)± | 2.19 | 4-28-2026 | 2,305,000 | 2,218,232 | ||
Santander Holdings USA, Inc. (U.S. SOFR+1.38%)± | 4.26 | 6-9-2025 | 800,000 | 794,289 | ||
Santander Holdings USA, Inc. (U.S. SOFR+2.33%)± | 5.81 | 9-9-2026 | 1,250,000 | 1,248,363 | ||
Truist Financial Corp. (U.S. SOFR+2.05%)± | 6.05 | 6-8-2027 | 1,000,000 | 1,010,101 | ||
U.S. Bancorp (U.S. SOFR+2.02%)± | 5.78 | 6-12-2029 | 3,135,000 | 3,167,717 | ||
Wells Fargo & Co. (U.S. SOFR+1.51%)± | 3.53 | 3-24-2028 | 3,000,000 | 2,844,365 | ||
32,601,143 | ||||||
Diversified financial services: 1.94% | ||||||
Aircastle Ltd.144A | 6.50 | 7-18-2028 | 1,500,000 | 1,515,415 | ||
Aviation Capital Group LLC144A | 6.75 | 10-25-2028 | 1,000,000 | 1,036,234 | ||
Blackstone Holdings Finance Co. LLC144A | 5.90 | 11-3-2027 | 2,145,000 | 2,192,080 | ||
Cantor Fitzgerald LP144A | 7.20 | 12-12-2028 | 2,750,000 | 2,822,630 | ||
Capital One Financial Corp. | 0.80 | 6-12-2024 | 2,500,000 | 2,674,287 | ||
GTP Acquisition Partners I LLC Series 2015-2 Class A144A | 3.48 | 6-16-2025 | 1,900,000 | 1,850,932 | ||
12,091,578 |
Interest rate | Maturity date | Principal | Value | |||
Insurance: 4.83% | ||||||
Allied World Assurance Co. Holdings Ltd. | 4.35 % | 10-29-2025 | $ | 2,880,000 | $2,793,254 | |
Athene Global Funding | 0.37 | 9-10-2026 | 2,000,000 | 1,976,350 | ||
Brighthouse Financial Global Funding144A | 1.00 | 4-12-2024 | 2,000,000 | 1,988,979 | ||
Equitable Financial Life Global Funding144A | 5.50 | 12-2-2025 | 2,080,000 | 2,074,998 | ||
Farmers Exchange Capital144A | 7.05 | 7-15-2028 | 1,015,000 | 1,022,225 | ||
GA Global Funding Trust144A | 1.00 | 4-8-2024 | 3,022,000 | 3,005,346 | ||
Guardian Life Global Funding144A | 5.55 | 10-28-2027 | 2,815,000 | 2,873,563 | ||
Metropolitan Life Global Funding I144A | 4.40 | 6-30-2027 | 2,000,000 | 1,947,023 | ||
Minnesota Life Insurance Co.144A | 8.25 | 9-15-2025 | 3,000,000 | 3,081,194 | ||
New York Life Global Funding144A | 4.90 | 6-13-2028 | 3,000,000 | 2,991,322 | ||
Northwestern Mutual Global Funding144A | 4.90 | 6-12-2028 | 3,000,000 | 2,968,224 | ||
Pine Street Trust I144A | 4.57 | 2-15-2029 | 952,000 | 900,237 | ||
Protective Life Global Funding144A | 1.62 | 4-15-2026 | 2,370,000 | 2,192,356 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 335,000 | 331,426 | ||
30,146,497 | ||||||
Investment Companies: 0.23% | ||||||
Ares Capital Corp. | 5.88 | 3-1-2029 | 1,490,000 | 1,456,192 | ||
REITS: 2.62% | ||||||
Boston Properties LP | 3.20 | 1-15-2025 | 500,000 | 488,783 | ||
Brandywine Operating Partnership LP | 7.80 | 3-15-2028 | 1,140,000 | 1,129,256 | ||
EPR Properties | 4.50 | 4-1-2025 | 1,500,000 | 1,472,467 | ||
Omega Healthcare Investors, Inc. | 4.50 | 4-1-2027 | 1,500,000 | 1,442,460 | ||
Omega Healthcare Investors, Inc. | 4.75 | 1-15-2028 | 145,000 | 139,103 | ||
Piedmont Operating Partnership LP | 9.25 | 7-20-2028 | 980,000 | 1,035,356 | ||
Prologis Targeted U.S. Logistics Fund LP144A%% | 5.25 | 4-1-2029 | 1,555,000 | 1,546,867 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 1,490,000 | 1,462,989 | ||
SITE Centers Corp. | 4.70 | 6-1-2027 | 380,000 | 373,706 | ||
Starwood Property Trust, Inc.144A | 3.75 | 12-31-2024 | 65,000 | 63,699 | ||
Tanger Properties LP | 3.13 | 9-1-2026 | 3,109,000 | 2,901,783 | ||
VICI Properties LP | 4.38 | 5-15-2025 | 1,835,000 | 1,802,187 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 2,500,000 | 2,465,335 | ||
16,323,991 | ||||||
Industrial: 1.41% | ||||||
Transportation: 0.48% | ||||||
TTX Co.144A | 5.50 | 9-25-2026 | 3,000,000 | 3,008,164 | ||
Trucking & leasing: 0.93% | ||||||
DAE Funding LLC144A | 1.55 | 8-1-2024 | 1,000,000 | 980,813 | ||
GATX Corp.%% | 5.40 | 3-15-2027 | 2,000,000 | 2,004,062 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 5.75 | 5-24-2026 | 1,800,000 | 1,809,343 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 6.05 | 8-1-2028 | 1,000,000 | 1,022,831 | ||
5,817,049 | ||||||
Technology: 0.29% | ||||||
Computers: 0.29% | ||||||
Kyndryl Holdings, Inc. | 2.05 | 10-15-2026 | 2,010,000 | 1,835,295 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 2.06% | ||||||
Electric: 2.06% | ||||||
Alliant Energy Finance LLC144A | 5.95 % | 3-30-2029 | $ | 1,250,000 | $1,279,469 | |
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.99 | 5-13-2024 | 340,000 | 340,054 | ||
Evergy Missouri West, Inc.144A | 5.15 | 12-15-2027 | 2,500,000 | 2,490,290 | ||
National Rural Utilities Cooperative Finance Corp. | 4.85 | 2-7-2029 | 3,000,000 | 2,972,502 | ||
Southern California Edison Co.%% | 5.15 | 6-1-2029 | 800,000 | 800,185 | ||
Southern California Edison Co.%% | 5.35 | 3-1-2026 | 2,000,000 | 2,001,610 | ||
Vistra Operations Co. LLC144A | 3.55 | 7-15-2024 | 3,000,000 | 2,973,043 | ||
12,857,153 | ||||||
Total corporate bonds and notes (Cost $173,218,714) | 171,902,975 | |||||
Foreign corporate bonds and notes: 1.98% | ||||||
Communications: 0.32% | ||||||
Telecommunications: 0.32% | ||||||
Eutelsat SA | 1.50 | 10-13-2028 | EUR | 500,000 | 347,096 | |
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 1,625,000 | 1,645,378 | |
1,992,474 | ||||||
Consumer, cyclical: 0.71% | ||||||
Auto manufacturers: 0.19% | ||||||
Volkswagen Leasing GmbH | 0.38 | 7-20-2026 | EUR | 1,200,000 | 1,196,458 | |
Auto parts & equipment: 0.41% | ||||||
Conti-Gummi Finance BV | 1.13 | 9-25-2024 | EUR | 2,000,000 | 2,127,359 | |
Forvia SE | 7.25 | 6-15-2026 | EUR | 364,000 | 414,490 | |
2,541,849 | ||||||
Entertainment: 0.11% | ||||||
Cirsa Finance International Sarl144A | 10.38 | 11-30-2027 | EUR | 585,000 | 681,269 | |
Consumer, non-cyclical: 0.37% | ||||||
Commercial services: 0.27% | ||||||
Rentokil Initial Finance BV | 3.88 | 6-27-2027 | EUR | 1,250,000 | 1,354,982 | |
Verisure Holding AB144A | 9.25 | 10-15-2027 | EUR | 300,000 | 346,046 | |
1,701,028 | ||||||
Pharmaceuticals: 0.10% | ||||||
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 | 11-12-2079 | EUR | 600,000 | 620,927 | |
Financial: 0.34% | ||||||
Banks: 0.09% | ||||||
Banco BPM SpA | 0.88 | 7-15-2026 | EUR | 540,000 | 543,905 | |
Real estate: 0.25% | ||||||
Aedas Homes Opco SLU144A | 4.00 | 8-15-2026 | EUR | 1,500,000 | 1,582,482 |
Interest rate | Maturity date | Principal | Value | |||
Industrial: 0.24% | ||||||
Packaging & containers: 0.24% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 % | 11-1-2027 | EUR | 1,500,000 | $1,492,897 | |
Total foreign corporate bonds and notes (Cost $13,137,570) | 12,353,289 | |||||
Foreign government bonds: 2.09% | ||||||
Australia: 0.40% | ||||||
Australia | 2.75 | 11-21-2028 | AUD | 3,965,000 | 2,465,756 | |
Brazil: 0.56% | ||||||
Brazil¤ | 0.00 | 10-1-2025 | BRL | 20,000,000 | 3,461,094 | |
France: 0.23% | ||||||
France | 0.75 | 2-25-2028 | EUR | 1,455,000 | 1,455,514 | |
Malaysia: 0.11% | ||||||
Malaysia | 3.88 | 3-14-2025 | MYR | 3,300,000 | 699,093 | |
Spain: 0.41% | ||||||
Spain¤ | 0.00 | 1-31-2028 | EUR | 2,680,000 | 2,585,193 | |
United Kingdom: 0.38% | ||||||
U.K. Gilts | 1.63 | 10-22-2028 | GBP | 2,100,000 | 2,386,078 | |
Total foreign government bonds (Cost $13,258,079) | 13,052,728 |
Shares | ||||||
Investment companies: 0.55% | ||||||
Exchange-traded funds: 0.55% | ||||||
iShares 0-5 Year High Yield Corporate Bond ETF | 80,600 | 3,416,634 | ||||
Total investment companies (Cost $3,310,905) | 3,416,634 |
Principal | ||||||
Municipal obligations: 0.11% | ||||||
Indiana: 0.11% | ||||||
Education revenue: 0.11% | ||||||
Indiana Secondary Market for Education Loans, Inc. (U.S. SOFR 1 Month+0.80%)± | 6.25 | 2-25-2044 | $ | 708,343 | 706,889 | |
Total municipal obligations (Cost $702,224) | 706,889 | |||||
Non-agency mortgage-backed securities: 7.71% | ||||||
Ajax Mortgage Loan Trust Series 2021-E Class A1144A±± | 1.74 | 12-25-2060 | 2,819,070 | 2,391,120 | ||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 312,074 | 289,133 | ||
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 469,064 | 426,391 | ||
Brean Asset-Backed Securities Trust Series 2021-RM2 Class A144A±± | 1.75 | 10-25-2061 | 1,695,927 | 1,506,383 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1144A | 2.72 | 11-25-2059 | 192,764 | 186,782 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1 Month+2.01%)144A± | 7.33 % | 10-15-2036 | $ | 2,165,000 | $2,112,228 | |
BX Trust Series 2024-BIO Class C (U.S. SOFR 1 Month+2.64%)144A± | 7.94 | 2-15-2041 | 3,010,000 | 3,006,226 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 156,833 | 153,628 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B144A±± | 4.00 | 10-25-2068 | 922,585 | 837,291 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1±± | 6.01 | 6-19-2031 | 54,063 | 52,198 | ||
COLT Mortgage Loan Trust Series 2020-2 Class A1144A±± | 1.85 | 3-25-2065 | 11,096 | 11,038 | ||
COMM Mortgage Trust Series 2014-CR14 Class B±± | 3.74 | 2-10-2047 | 386,616 | 368,295 | ||
CSAIL Commercial Mortgage Trust Series 2016-C5 Class A4 | 3.49 | 11-15-2048 | 817,720 | 790,900 | ||
CSMC Trust Series 2020-AFC1 Class A3144A±± | 3.51 | 2-25-2050 | 555,388 | 509,229 | ||
CSMC Trust Series 2021-AFC1 Class A2144A±± | 1.07 | 3-25-2056 | 1,262,773 | 1,046,474 | ||
FWD Securitization Trust Series 2020-INV1 Class A3144A±± | 2.44 | 1-25-2050 | 645,213 | 591,599 | ||
GCAT Trust Series 2021-NQM1 Class A1144A±± | 0.87 | 1-25-2066 | 995,882 | 804,514 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A144A±± | 8.00 | 9-19-2027 | 95,587 | 90,263 | ||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class A10144A | 4.15 | 8-5-2034 | 2,215,000 | 2,066,053 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1144A±± | 1.60 | 11-25-2056 | 2,326,586 | 1,901,503 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3144A±± | 4.45 | 5-25-2067 | 4,005,000 | 3,304,923 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.58 | 6-15-2035 | 566,915 | 523,180 | ||
JP Morgan Mortgage Trust Series 2020-2 Class A7144A±± | 3.50 | 7-25-2050 | 900,618 | 787,945 | ||
MASTR Adjustable Rate Mortgages Trust Series 2002-3 Class 4A1±± | 4.75 | 10-25-2032 | 685 | 648 | ||
Med Trust Series 2021-MDLN Class B (U.S. SOFR 1 Month+1.56%)144A± | 6.88 | 11-15-2038 | 2,985,671 | 2,959,546 | ||
Merrill Lynch Golden National MTGE Asset Backed Certificates Series 1998-GN1 Class M2 | 8.02 | 2-25-2027 | 34,322 | 33,710 | ||
MFA Trust Series 2020-NQM1 Class A2144A±± | 1.79 | 8-25-2049 | 414,129 | 381,130 | ||
MFA Trust Series 2021-NQM1 Class A2144A±± | 1.38 | 4-25-2065 | 671,290 | 605,538 | ||
Morgan Stanley Capital I Trust Series 2014-150E Class A144A | 3.91 | 9-9-2032 | 800,000 | 675,448 | ||
New Residential Mortgage Loan Trust Series 2018-5A Class A1A144A±± | 4.25 | 12-25-2057 | 1,512,650 | 1,433,318 | ||
New Residential Mortgage Loan Trust Series 2019-6A Class A1B144A±± | 3.50 | 9-25-2059 | 964,383 | 887,570 | ||
NYMT Loan Trust Series 2022-CP1 Class A1144A | 2.04 | 7-25-2061 | 2,290,046 | 2,077,429 | ||
OBX Trust Series 2019-EXP1 Class 1A3144A±± | 4.00 | 1-25-2059 | 665,720 | 639,578 | ||
OPG Trust Series 2021-PORT Class B (U.S. SOFR 1 Month+0.83%)144A± | 6.15 | 10-15-2036 | 3,028,425 | 2,971,710 | ||
PKHL Commercial Mortgage Trust Series 2021-MF Class B (U.S. SOFR 1 Month+1.29%)144A± | 6.61 | 7-15-2038 | 3,342,000 | 2,994,976 | ||
RCKT Mortgage Trust Series 2023-CES2 Class A1A144A±± | 6.81 | 9-25-2043 | 1,280,701 | 1,297,825 | ||
Ready Capital Mortgage Trust Series 2019-5 Class A144A | 3.78 | 2-25-2052 | 19,254 | 19,213 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2144A±± | 1.10 | 1-25-2065 | 196,340 | 180,595 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A3144A±± | 2.56 % | 2-25-2050 | $ | 1,089,276 | $1,013,257 | |
Towd Point Mortgage Trust Series 2017-1 Class A1144A±± | 2.75 | 10-25-2056 | 31,725 | 31,591 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 281,048 | 269,161 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1144A±± | 2.90 | 10-25-2059 | 763,858 | 715,044 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.22 | 2-15-2032 | 1,459,270 | 1,452,304 | ||
Verus Securitization Trust Series 2021-2 Class A1144A±± | 1.03 | 2-25-2066 | 1,453,182 | 1,251,253 | ||
Verus Securitization Trust Series 2021-8 Class A2144A±± | 2.29 | 11-25-2066 | 1,901,690 | 1,586,065 | ||
Verus Securitization Trust Series 2021-R1 Class A2144A±± | 1.06 | 10-25-2063 | 98,709 | 89,126 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 837,061 | 739,230 | ||
Wilshire Funding Corp. Series 1996-3 Class M2±± | 7.56 | 8-25-2032 | 47,308 | 47,356 | ||
Wilshire Funding Corp. Series 1996-3 Class M3±± | 7.56 | 8-25-2032 | 23,930 | 23,443 | ||
Wilshire Funding Corp. Series 1998-WFC2 Class M1 (12 Month Treasury Average+2.00%)± | 7.01 | 12-28-2037 | 2,999 | 2,956 | ||
Total non-agency mortgage-backed securities (Cost $52,353,813) | 48,136,316 | |||||
U.S. Treasury securities: 30.19% | ||||||
U.S. Treasury Notes## | 0.38 | 12-31-2025 | 67,370,000 | 62,327,777 | ||
U.S. Treasury Notes | 1.13 | 1-15-2025 | 39,905,000 | 38,564,441 | ||
U.S. Treasury Notes | 3.25 | 8-31-2024 | 23,505,000 | 23,266,277 | ||
U.S. Treasury Notes | 4.25 | 12-31-2025 | 10,500,000 | 10,417,969 | ||
U.S. Treasury Notes | 4.25 | 1-31-2026 | 37,645,000 | 37,364,133 | ||
U.S. Treasury Notes | 4.63 | 2-28-2025 | 2,480,000 | 2,469,634 | ||
U.S. Treasury Notes | 5.00 | 8-31-2025 | 14,000,000 | 14,036,094 | ||
Total U.S. Treasury securities (Cost $189,745,554) | 188,446,325 | |||||
Yankee corporate bonds and notes: 12.70% | ||||||
Communications: 0.71% | ||||||
Internet: 0.29% | ||||||
Prosus NV144A | 3.26 | 1-19-2027 | 2,000,000 | 1,840,844 | ||
Telecommunications: 0.42% | ||||||
Rogers Communications, Inc. | 5.00 | 2-15-2029 | 2,620,000 | 2,596,671 | ||
Consumer, non-cyclical: 0.60% | ||||||
Agriculture: 0.32% | ||||||
Viterra Finance BV144A | 4.90 | 4-21-2027 | 2,000,000 | 1,957,804 | ||
Beverages: 0.28% | ||||||
JDE Peet’s NV144A | 0.80 | 9-24-2024 | 1,810,000 | 1,756,681 | ||
Energy: 0.97% | ||||||
Oil & gas: 0.97% | ||||||
BP Capital Markets PLC (5 Year Treasury Constant Maturity+4.04%)ʊ± | 4.38 | 6-22-2025 | 3,000,000 | 2,956,103 |
Interest rate | Maturity date | Principal | Value | |||
Oil & gas(continued) | ||||||
Woodside Finance Ltd.144A | 3.65 % | 3-5-2025 | $ | 1,750,000 | $1,711,274 | |
Woodside Finance Ltd.144A | 3.70 | 3-15-2028 | 1,500,000 | 1,397,210 | ||
6,064,587 | ||||||
Financial: 8.54% | ||||||
Banks: 7.05% | ||||||
Banco Santander SA (1 Year Treasury Constant Maturity+0.45%)± | 5.74 | 6-30-2024 | 2,000,000 | 2,000,327 | ||
Banque Federative du Credit Mutuel SA144A | 4.52 | 7-13-2025 | 3,000,000 | 2,965,081 | ||
BNP Paribas SA (U.S. SOFR+1.00%)144A± | 1.32 | 1-13-2027 | 1,545,000 | 1,428,919 | ||
BPCE SA144A | 4.75 | 7-19-2027 | 2,560,000 | 2,509,396 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+0.55%)144A± | 0.98 | 9-10-2025 | 2,000,000 | 1,947,536 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+2.10%)144A± | 6.47 | 1-9-2026 | 1,000,000 | 1,003,946 | ||
Deutsche Bank AG (U.S. SOFR+1.59%)± | 5.71 | 2-8-2028 | 3,045,000 | 3,023,923 | ||
Federation des Caisses Desjardins du Quebec144A | 5.25 | 4-26-2029 | 2,000,000 | 1,981,927 | ||
Federation des Caisses Desjardins du Quebec144A | 5.70 | 3-14-2028 | 1,490,000 | 1,506,399 | ||
HSBC Holdings PLC (U.S. SOFR+0.71%)± | 0.98 | 5-24-2025 | 600,000 | 593,216 | ||
HSBC Holdings PLC (U.S. SOFR+1.10%)± | 2.25 | 11-22-2027 | 1,760,000 | 1,612,239 | ||
Intesa Sanpaolo SpA Series XR144A | 3.25 | 9-23-2024 | 2,000,000 | 1,969,698 | ||
Macquarie Group Ltd. (U.S. SOFR+1.07%)144A± | 1.34 | 1-12-2027 | 1,885,000 | 1,739,445 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.08%)± | 5.72 | 2-20-2026 | 3,000,000 | 3,001,757 | ||
Mizuho Financial Group, Inc. (U.S. SOFR 3 Month+1.24%)± | 2.84 | 7-16-2025 | 1,000,000 | 989,233 | ||
NatWest Group PLC (1 Year Treasury Constant Maturity+1.10%)± | 5.58 | 3-1-2028 | 3,200,000 | 3,202,766 | ||
Skandinaviska Enskilda Banken AB144A%% | 5.38 | 3-5-2029 | 3,000,000 | 2,989,313 | ||
Swedbank AB144A | 6.14 | 9-12-2026 | 3,000,000 | 3,036,923 | ||
UBS Group AG (1 Year Treasury Constant Maturity+0.85%)144A± | 1.49 | 8-10-2027 | 2,000,000 | 1,811,925 | ||
UBS Group AG (1 Year Treasury Constant Maturity+1.08%)144A± | 1.36 | 1-30-2027 | 2,000,000 | 1,842,550 | ||
UBS Group AG (U.S. SOFR+2.04%)144A± | 2.19 | 6-5-2026 | 3,000,000 | 2,870,469 | ||
44,026,988 | ||||||
Diversified financial services: 0.53% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1.65 | 10-29-2024 | 654,000 | 636,319 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust144A | 6.45 | 4-15-2027 | 1,665,000 | 1,704,228 | ||
Avolon Holdings Funding Ltd.144A | 5.50 | 1-15-2026 | 965,000 | 955,018 | ||
3,295,565 | ||||||
Insurance: 0.39% | ||||||
Fairfax Financial Holdings Ltd. | 4.85 | 4-17-2028 | 2,515,000 | 2,458,835 | ||
Real estate: 0.26% | ||||||
Ontario Teachers’ Cadillac Fairview Properties Trust144A | 3.88 | 3-20-2027 | 1,687,000 | 1,589,559 |
Interest rate | Maturity date | Principal | Value | |||
REITS: 0.31% | ||||||
Scentre Group Trust 1/Scentre Group Trust 2144A | 3.63 % | 1-28-2026 | $ | 2,000,000 | $1,933,368 | |
Government securities: 1.14% | ||||||
Multi-national: 1.14% | ||||||
African Export-Import Bank144A | 2.63 | 5-17-2026 | 2,185,000 | 2,024,848 | ||
Banque Ouest Africaine de Developpement144A | 5.00 | 7-27-2027 | 3,000,000 | 2,769,000 | ||
Central American Bank for Economic Integration144A | 1.14 | 2-9-2026 | 2,500,000 | 2,297,188 | ||
7,091,036 | ||||||
Industrial: 0.16% | ||||||
Trucking & leasing: 0.16% | ||||||
SMBC Aviation Capital Finance DAC144A | 5.45 | 5-3-2028 | 1,005,000 | 1,002,964 | ||
Technology: 0.58% | ||||||
Semiconductors: 0.58% | ||||||
Renesas Electronics Corp.144A | 1.54 | 11-26-2024 | 2,830,000 | 2,737,014 | ||
SK Hynix, Inc.144A | 5.50 | 1-16-2027 | 895,000 | 894,105 | ||
3,631,119 | ||||||
Total yankee corporate bonds and notes (Cost $80,730,417) | 79,246,021 |
Yield | Shares | |||||
Short-term investments: 2.45% | ||||||
Investment companies: 2.45% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 15,299,554 | 15,299,554 | |||
Total short-term investments (Cost $15,299,554) | 15,299,554 | |||||
Total investments in securities (Cost $650,163,980) | 102.38 % | 639,009,382 | ||||
Other assets and liabilities, net | (2.38 ) | (14,838,654 ) | ||||
Total net assets | 100.00 % | $624,170,728 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
‡ | Security is valued using significant unobservable inputs. |
† | Non-income-earning security |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
AUD | Australian dollar |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $13,985,749 | $180,189,663 | $(178,875,858 ) | $0 | $0 | $15,299,554 | 15,299,554 | $509,683 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 1,713,187 | AUD | 2,500,000 | Morgan Stanley Inc. | 4-2-2024 | $86,704 | $0 |
USD | 850,797 | AUD | 1,300,000 | Morgan Stanley Inc. | 4-2-2024 | 5,026 | 0 |
USD | 21,371,695 | EUR | 19,473,000 | Morgan Stanley Inc. | 4-2-2024 | 300,464 | 0 |
EUR | 830,000 | USD | 902,996 | Morgan Stanley Inc. | 4-2-2024 | 0 | (4,874 ) |
USD | 2,590,090 | EUR | 2,400,000 | Morgan Stanley Inc. | 4-2-2024 | 0 | (6,889 ) |
USD | 2,272,132 | GBP | 1,795,000 | Morgan Stanley Inc. | 4-2-2024 | 5,908 | 0 |
JPY | 42,000,000 | USD | 296,926 | Morgan Stanley Inc. | 4-2-2024 | 0 | (15,498 ) |
USD | 678,112 | MYR | 3,160,000 | Morgan Stanley Inc. | 4-2-2024 | 10,934 | 0 |
$409,036 | $(27,261 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
2-Year U.S. Treasury Notes | 1,040 | 6-28-2024 | $212,852,288 | $212,940,000 | $87,712 | $0 |
Short | ||||||
5-Year Euro-BOBL Futures | (39 ) | 3-7-2024 | (4,963,242 ) | (4,898,810 ) | 64,432 | 0 |
10-Year U.S. Treasury Notes | (40 ) | 6-18-2024 | (4,409,469 ) | (4,417,500 ) | 0 | (8,031 ) |
5-Year U.S. Treasury Notes | (533 ) | 6-28-2024 | (56,907,060 ) | (56,981,031 ) | 0 | (73,971 ) |
$152,144 | $(82,002 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $634,864,426) | $623,709,828 |
Investments in affiliated securities, at value (cost $15,299,554) | 15,299,554 |
Cash | 3,043,980 |
Cash at broker segregated for futures contracts | 1,835,000 |
Foreign currency, at value (cost $74,481) | 74,479 |
Receivable for interest | 3,809,744 |
Receivable for investments sold | 1,945,658 |
Receivable for Fund shares sold | 1,205,657 |
Unrealized gains on forward foreign currency contracts | 409,036 |
Prepaid expenses and other assets | 117,661 |
Total assets | 651,450,597 |
Liabilities | |
Payable for when-issued transactions | 23,724,157 |
Payable for investments purchased | 1,810,635 |
Payable for Fund shares redeemed | 1,125,174 |
Cash collateral due to broker for forward foreign currency contracts | 277,603 |
Management fee payable | 77,728 |
Administration fees payable | 46,073 |
Payable for daily variation margin on open futures contracts | 28,139 |
Unrealized losses on forward foreign currency contracts | 27,261 |
Distribution fee payable | 1,734 |
Trustees’ fees and expenses payable | 798 |
Accrued expenses and other liabilities | 160,567 |
Total liabilities | 27,279,869 |
Total net assets | $624,170,728 |
Net assets consist of | |
Paid-in capital | $652,493,755 |
Total distributable loss | (28,323,027 ) |
Total net assets | $624,170,728 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $125,544,089 |
Shares outstanding–Class A1 | 14,899,952 |
Net asset value per share–Class A | $8.43 |
Maximum offering price per share – Class A2 | $8.60 |
Net assets–Class C | $2,888,235 |
Shares outstanding–Class C1 | 343,223 |
Net asset value per share–Class C | $8.42 |
Net assets–Class R6 | $15,309,118 |
Shares outstanding–Class R61 | 1,817,636 |
Net asset value per share–Class R6 | $8.42 |
Net assets–Institutional Class | $480,429,286 |
Shares outstanding–Institutional Class1 | 56,999,756 |
Net asset value per share–Institutional Class | $8.43 |
Investment income | |
Interest | $12,915,398 |
Income from affiliated securities | 509,683 |
Dividends | 111,707 |
Total investment income | 13,536,788 |
Expenses | |
Management fee | 1,032,792 |
Administration fees | |
Class A | 94,330 |
Class C | 2,137 |
Class R6 | 2,127 |
Institutional Class | 178,946 |
Shareholder servicing fees | |
Class A | 156,979 |
Class C | 3,551 |
Distribution fee | |
Class C | 10,653 |
Custody and accounting fees | 16,915 |
Professional fees | 51,066 |
Registration fees | 33,073 |
Shareholder report expenses | 25,599 |
Trustees’ fees and expenses | 11,822 |
Other fees and expenses | 11,197 |
Total expenses | 1,631,187 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (562,513 ) |
Net expenses | 1,068,674 |
Net investment income | 12,468,114 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (1,190,195 ) |
Foreign currency and foreign currency translations | (104,121 ) |
Forward foreign currency contracts | (537,222 ) |
Futures contracts | (83,147 ) |
Net realized losses on investments | (1,914,685 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 8,718,508 |
Foreign currency and foreign currency translations | (1,201 ) |
Forward foreign currency contracts | 897,618 |
Futures contracts | (248,537 ) |
Net change in unrealized gains (losses) on investments | 9,366,388 |
Net realized and unrealized gains (losses) on investments | 7,451,703 |
Net increase in net assets resulting from operations | $19,919,817 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $12,468,114 | $20,967,312 | ||
Net realized losses on investments | (1,914,685 ) | (11,836,940 ) | ||
Net change in unrealized gains (losses) on investments | 9,366,388 | 6,104,630 | ||
Net increase in net assets resulting from operations | 19,919,817 | 15,235,002 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,649,274 ) | (4,184,146 ) | ||
Class C | (48,734 ) | (82,342 ) | ||
Class R6 | (320,561 ) | (468,196 ) | ||
Institutional Class | (10,188,232 ) | (15,818,576 ) | ||
Total distributions to shareholders | (13,206,801 ) | (20,553,260 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 595,655 | 5,005,764 | 1,520,269 | 12,650,875 |
Class C | 72,802 | 609,433 | 33,557 | 279,900 |
Class R6 | 822,765 | 6,851,884 | 247,240 | 2,055,487 |
Institutional Class | 15,628,230 | 131,265,497 | 31,678,230 | 263,290,807 |
143,732,578 | 278,277,069 | |||
Reinvestment of distributions | ||||
Class A | 300,908 | 2,511,936 | 477,435 | 3,966,133 |
Class C | 5,834 | 48,657 | 9,925 | 82,335 |
Class R6 | 19,911 | 166,514 | 16,522 | 137,208 |
Institutional Class | 896,893 | 7,493,304 | 1,428,058 | 11,868,020 |
10,220,411 | 16,053,696 | |||
Payment for shares redeemed | ||||
Class A | (1,491,318 ) | (12,474,096 ) | (3,364,492 ) | (27,990,635 ) |
Class C | (109,114 ) | (910,245 ) | (172,942 ) | (1,435,938 ) |
Class R6 | (482,997 ) | (4,040,747 ) | (777,901 ) | (6,469,610 ) |
Institutional Class | (11,351,115 ) | (95,285,963 ) | (34,372,447 ) | (286,091,490 ) |
(112,711,051 ) | (321,987,673 ) | |||
Net increase (decrease) in net assets resulting from capital share transactions | 41,241,938 | (27,656,908 ) | ||
Total increase (decrease) in net assets | 47,954,954 | (32,975,166 ) | ||
Net assets | ||||
Beginning of period | 576,215,774 | 609,190,940 | ||
End of period | $624,170,728 | $576,215,774 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.33 | $8.41 | $9.02 | $9.09 | $8.84 | $8.65 |
Net investment income | 0.17 1 | 0.27 | 0.11 1 | 0.14 | 0.19 | 0.20 |
Net realized and unrealized gains (losses) on investments | 0.11 | (0.09 ) | (0.54 ) | 0.02 | 0.24 | 0.19 |
Total from investment operations | 0.28 | 0.18 | (0.43 ) | 0.16 | 0.43 | 0.39 |
Distributions to shareholders from | ||||||
Net investment income | (0.18 ) | (0.26 ) | (0.11 ) | (0.13 ) | (0.18 ) | (0.20 ) |
Net realized gains | 0.00 | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.18 ) | (0.26 ) | (0.18 ) | (0.23 ) | (0.18 ) | (0.20 ) |
Net asset value, end of period | $8.43 | $8.33 | $8.41 | $9.02 | $9.09 | $8.84 |
Total return2 | 3.35 % | 2.16 % | (4.83 )% | 1.76 % | 4.96 % | 4.60 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.80 % | 0.81 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Net expenses | 0.61 % | 0.68 % | 0.70 % | 0.70 % | 0.71 % | 0.72 % |
Net investment income | 3.98 % | 3.13 % | 1.30 % | 1.48 % | 2.10 % | 2.33 % |
Supplemental data | ||||||
Portfolio turnover rate | 33 % | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $125,544 | $129,076 | $141,782 | $175,111 | $170,975 | $170,345 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.32 | $8.40 | $9.01 | $9.07 | $8.83 | $8.64 |
Net investment income | 0.13 1 | 0.21 | 0.05 | 0.06 | 0.12 | 0.14 |
Net realized and unrealized gains (losses) on investments | 0.11 | (0.10 ) | (0.55 ) | 0.04 | 0.24 | 0.19 |
Total from investment operations | 0.24 | 0.11 | (0.50 ) | 0.10 | 0.36 | 0.33 |
Distributions to shareholders from | ||||||
Net investment income | (0.14 ) | (0.19 ) | (0.04 ) | (0.06 ) | (0.12 ) | (0.14 ) |
Net realized gains | 0.00 | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.14 ) | (0.19 ) | (0.11 ) | (0.16 ) | (0.12 ) | (0.14 ) |
Net asset value, end of period | $8.42 | $8.32 | $8.40 | $9.01 | $9.07 | $8.83 |
Total return2 | 2.96 % | 1.38 % | (5.57 )% | 1.10 % | 4.10 % | 3.82 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.55 % | 1.56 % | 1.55 % | 1.56 % | 1.56 % | 1.57 % |
Net expenses | 1.36 % | 1.43 % | 1.47 % | 1.47 % | 1.47 % | 1.47 % |
Net investment income | 3.22 % | 2.35 % | 0.53 % | 0.71 % | 1.36 % | 1.57 % |
Supplemental data | ||||||
Portfolio turnover rate | 33 % | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $2,888 | $3,109 | $4,225 | $5,286 | $5,773 | $7,146 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.33 | $8.40 | $9.02 | $9.08 | $8.83 | $8.66 |
Net investment income | 0.18 1 | 0.32 | 0.14 1 | 0.16 | 0.21 | 0.23 |
Net realized and unrealized gains (losses) on investments | 0.10 | (0.10 ) | (0.56 ) | 0.03 | 0.25 | 0.17 |
Total from investment operations | 0.28 | 0.22 | (0.42 ) | 0.19 | 0.46 | 0.40 |
Distributions to shareholders from | ||||||
Net investment income | (0.19 ) | (0.29 ) | (0.13 ) | (0.15 ) | (0.21 ) | (0.23 ) |
Net realized gains | 0.00 | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.19 ) | (0.29 ) | (0.20 ) | (0.25 ) | (0.21 ) | (0.23 ) |
Net asset value, end of period | $8.42 | $8.33 | $8.40 | $9.02 | $9.08 | $8.83 |
Total return2 | 3.42 % | 2.63 % | (4.65 )% | 2.18 % | 5.28 % | 4.69 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.43 % | 0.43 % | 0.43 % | 0.43 % | 0.44 % | 0.44 % |
Net expenses | 0.24 % | 0.35 % | 0.40 % | 0.40 % | 0.40 % | 0.40 % |
Net investment income | 4.34 % | 3.43 % | 1.55 % | 1.79 % | 2.41 % | 2.71 % |
Supplemental data | ||||||
Portfolio turnover rate | 33 % | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $15,309 | $12,141 | $16,575 | $32,131 | $35,301 | $30,585 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.33 | $8.41 | $9.03 | $9.09 | $8.84 | $8.65 |
Net investment income | 0.18 1 | 0.29 | 0.13 | 0.15 | 0.21 | 0.23 |
Net realized and unrealized gains (losses) on investments | 0.11 | (0.09 ) | (0.55 ) | 0.04 | 0.24 | 0.19 |
Total from investment operations | 0.29 | 0.20 | (0.42 ) | 0.19 | 0.45 | 0.42 |
Distributions to shareholders from | ||||||
Net investment income | (0.19 ) | (0.28 ) | (0.13 ) | (0.15 ) | (0.20 ) | (0.23 ) |
Net realized gains | 0.00 | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.19 ) | (0.28 ) | (0.20 ) | (0.25 ) | (0.20 ) | (0.23 ) |
Net asset value, end of period | $8.43 | $8.33 | $8.41 | $9.03 | $9.09 | $8.84 |
Total return2 | 3.51 % | 2.45 % | (4.69 )% | 2.13 % | 5.23 % | 4.88 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.48 % | 0.48 % | 0.48 % | 0.48 % | 0.49 % | 0.49 % |
Net expenses | 0.29 % | 0.39 % | 0.45 % | 0.45 % | 0.45 % | 0.45 % |
Net investment income | 4.30 % | 3.43 % | 1.57 % | 1.69 % | 2.37 % | 2.60 % |
Supplemental data | ||||||
Portfolio turnover rate | 33 % | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $480,429 | $431,890 | $446,610 | $406,333 | $251,480 | $226,517 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $3,077,194 |
Gross unrealized losses | (13,339,026 ) |
Net unrealized losses | $(10,261,832 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $17,662,120 | $0 | $17,662,120 |
Asset-backed securities | 0 | 87,664,952 | 1,055,587 | 88,720,539 |
Common stocks | ||||
Consumer discretionary | 65,992 | 0 | 0 | 65,992 |
Corporate bonds and notes | 0 | 171,902,975 | 0 | 171,902,975 |
Foreign corporate bonds and notes | 0 | 12,353,289 | 0 | 12,353,289 |
Foreign government bonds | 0 | 13,052,728 | 0 | 13,052,728 |
Investment companies | 3,416,634 | 0 | 0 | 3,416,634 |
Municipal obligations | 0 | 706,889 | 0 | 706,889 |
Non-agency mortgage-backed securities | 0 | 48,136,316 | 0 | 48,136,316 |
U.S. Treasury securities | 188,446,325 | 0 | 0 | 188,446,325 |
Yankee corporate bonds and notes | 0 | 79,246,021 | 0 | 79,246,021 |
Short-term investments | ||||
Investment companies | 15,299,554 | 0 | 0 | 15,299,554 |
207,228,505 | 430,725,290 | 1,055,587 | 639,009,382 | |
Forward foreign currency contracts | 0 | 409,036 | 0 | 409,036 |
Futures contracts | 152,144 | 0 | 0 | 152,144 |
Total assets | $207,380,649 | $431,134,326 | $1,055,587 | $639,570,562 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $27,261 | $0 | $27,261 |
Futures contracts | 82,002 | 0 | 0 | 82,002 |
Total liabilities | $82,002 | $27,261 | $0 | $109,263 |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.61 % |
Class C | 1.36 |
Class R6 | 0.24 |
Institutional Class | 0.29 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$144,922,667 | $119,634,520 | $54,580,868 | $132,665,897 |
Forward foreign currency contracts | |
Average contract amounts to buy | $3,338,998 |
Average contract amounts to sell | 35,108,039 |
Futures contracts | |
Average notional balance on long futures | $242,127,534 |
Average notional balance on short futures | 67,200,800 |
Interest rate risk | Foreign currency risk | Total | |
Asset derivatives | |||
Forward foreign currency contracts | $0 | $409,036 | $409,036 |
Futures contracts | 152,144 * | 0 | 152,144 |
$152,144 | $409,036 | $561,180 | |
Liability derivatives | |||
Forward foreign currency contracts | $0 | $27,261 | $27,261 |
Futures contracts | 82,002 * | 0 | 82,002 |
$82,002 | $27,261 | $109,263 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of February 29, 2024 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $(537,222 ) | $(537,222 ) |
Futures contracts | (83,147 ) | 0 | (83,147 ) |
$(83,147 ) | $(537,222 ) | $(620,369 ) | |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $897,618 | $897,618 |
Futures contracts | (248,537 ) | 0 | (248,537 ) |
$(248,537 ) | $897,618 | $649,081 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Morgan Stanley Inc. | $409,036 | $(27,261 ) | $(277,603 ) | $104,172 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Morgan Stanley Inc. | $27,261 | $(27,261 ) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g683078imgd249248e1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g683078img97ac5fd75.gif)
SAR3005 02-24
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g801779img2a162d292.jpg)
Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA, Michael J. Schueller, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SSTHX) | 2-29-2000 | 3.34 | 3.00 | 2.71 | 6.54 | 3.63 | 3.03 | 0.90 | 0.82 |
Class C (WFHYX) | 3-31-2008 | 4.61 | 2.85 | 2.41 | 5.61 | 2.85 | 2.41 | 1.65 | 1.57 |
Administrator Class (WDHYX) | 7-30-2010 | – | – | – | 6.71 | 3.82 | 3.19 | 0.85 | 0.66 |
Institutional Class (STYIX) | 11-30-2012 | – | – | – | 6.87 | 3.97 | 3.34 | 0.58 | 0.51 |
Bloomberg U.S. Universal Bond Index3 | – | – | – | – | 4.06 | 0.85 | 1.73 | – | – |
ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index4 | – | – | – | – | 7.86 | 4.03 | 3.88 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.81% for Class A, 1.56% for Class C, 0.65% for Administrator Class and 0.50% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Universal Bond Index is an unmanaged market-value-weighted performance benchmark for the U.S.-dollar-denominated bond market, which includes investment-grade, high-yield, and emerging markets debt securities with maturities of one year or more. You cannot invest directly in an index. |
4 | The ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index, a subset of the ICE BofA U.S. High Yield Master II Index, tracks the performance of U.S- dollar denominated below investment grade rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a given investment grade rating BB with maturities between one to three years. Returns shown are net of transaction costs beginning on July 1, 2022. You cannot invest directly in an index. Copyright 2024. ICE Data Indices, LLC. All rights reserved |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
Enact Holdings, Inc., 6.50%, 8-15-2025 | 1.91 |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 5-1-2027 | 1.82 |
Celanese U.S. Holdings LLC, 6.05%, 3-15-2025 | 1.66 |
Northriver Midstream Finance LP, 5.63%, 2-15-2026 | 1.62 |
CoreCivic, Inc., 8.25%, 4-15-2026 | 1.56 |
Dave & Buster’s, Inc., 7.63%, 11-1-2025 | 1.50 |
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10-1-2025 | 1.46 |
Tenet Healthcare Corp., 4.88%, 1-1-2026 | 1.40 |
Kinetik Holdings LP, 6.63%, 12-15-2028 | 1.38 |
Air Canada Pass-Through Trust, 10.50%, 7-15-2026 | 1.34 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g801779imge810c3054.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g801779imgde66de005.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,030.88 | $4.09 | 0.81 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.84 | $4.07 | 0.81 % |
Class C | ||||
Actual | $1,000.00 | $1,025.76 | $7.86 | 1.56 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.11 | $7.82 | 1.56 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,031.70 | $3.28 | 0.65 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.63 | $3.27 | 0.65 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,032.47 | $2.53 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.38 | $2.51 | 0.50 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 77.48% | ||||||
Basic materials: 2.30% | ||||||
Chemicals: 2.03% | ||||||
Avient Corp.144A | 5.75 % | 5-15-2025 | $ | 6,760,000 | $6,720,470 | |
Celanese U.S. Holdings LLC | 6.05 | 3-15-2025 | 29,775,000 | 29,848,677 | ||
36,569,147 | ||||||
Iron/steel: 0.27% | ||||||
Cleveland-Cliffs, Inc.144A | 6.75 | 3-15-2026 | 4,885,000 | 4,921,730 | ||
Communications: 7.07% | ||||||
Advertising: 0.20% | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 5.00 | 8-15-2027 | 3,760,000 | 3,617,233 | ||
Internet: 2.11% | ||||||
Arches Buyer, Inc.144A | 4.25 | 6-1-2028 | 19,130,000 | 16,342,891 | ||
Gen Digital, Inc.144A | 5.00 | 4-15-2025 | 9,412,000 | 9,317,880 | ||
Gen Digital, Inc.144A | 6.75 | 9-30-2027 | 12,350,000 | 12,413,460 | ||
38,074,231 | ||||||
Media: 3.61% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.13 | 5-1-2027 | 34,750,000 | 32,844,481 | ||
Nexstar Media, Inc.144A | 5.63 | 7-15-2027 | 9,275,000 | 8,789,727 | ||
Sirius XM Radio, Inc.144A | 5.00 | 8-1-2027 | 24,710,000 | 23,539,422 | ||
65,173,630 | ||||||
Telecommunications: 1.15% | ||||||
Sprint LLC | 7.13 | 6-15-2024 | 18,109,000 | 18,156,989 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 2,693,750 | 2,675,562 | ||
20,832,551 | ||||||
Consumer, cyclical: 20.94% | ||||||
Airlines: 2.55% | ||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.144A | 5.50 | 4-20-2026 | 22,267,501 | 22,063,381 | ||
Delta Air Lines, Inc. | 7.38 | 1-15-2026 | 2,600,000 | 2,681,250 | ||
Hawaiian Airlines Pass-Through Certificates Series 2013-1 Class A | 3.90 | 1-15-2026 | 3,094,329 | 2,888,514 | ||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 15,355,000 | 14,491,281 | ||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.144A | 6.50 | 6-20-2027 | 3,892,000 | 3,892,950 | ||
46,017,376 | ||||||
Apparel: 0.98% | ||||||
Hanesbrands, Inc.144A | 4.88 | 5-15-2026 | 12,170,000 | 11,744,333 | ||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 6,045,000 | 5,931,656 | ||
17,675,989 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers: 1.70% | ||||||
Ford Motor Credit Co. LLC | 4.13 % | 8-17-2027 | $ | 8,900,000 | $8,423,169 | |
Ford Motor Credit Co. LLC | 5.13 | 6-16-2025 | 3,955,000 | 3,914,943 | ||
Ford Motor Credit Co. LLC | 5.58 | 3-18-2024 | 18,425,000 | 18,422,826 | ||
30,760,938 | ||||||
Auto parts & equipment: 1.18% | ||||||
Adient Global Holdings Ltd.144A | 4.88 | 8-15-2026 | 10,605,000 | 10,279,017 | ||
Clarios Global LP/Clarios U.S. Finance Co.144A | 6.25 | 5-15-2026 | 6,605,000 | 6,587,085 | ||
Goodyear Tire & Rubber Co. | 5.00 | 5-31-2026 | 4,624,000 | 4,502,877 | ||
21,368,979 | ||||||
Distribution/wholesale: 0.99% | ||||||
G-III Apparel Group Ltd.144A | 7.88 | 8-15-2025 | 17,750,000 | 17,886,143 | ||
Entertainment: 4.93% | ||||||
CCM Merger, Inc.144A | 6.38 | 5-1-2026 | 3,145,000 | 3,102,466 | ||
Churchill Downs, Inc.144A | 5.50 | 4-1-2027 | 19,140,000 | 18,797,834 | ||
Cinemark USA, Inc.144A | 5.88 | 3-15-2026 | 4,435,000 | 4,368,717 | ||
Cinemark USA, Inc.144A | 8.75 | 5-1-2025 | 9,269,000 | 9,277,932 | ||
Live Nation Entertainment, Inc.144A | 6.50 | 5-15-2027 | 21,600,000 | 21,785,911 | ||
SeaWorld Parks & Entertainment, Inc.144A | 8.75 | 5-1-2025 | 19,407,000 | 19,454,905 | ||
Six Flags Theme Parks, Inc.144A | 7.00 | 7-1-2025 | 12,225,000 | 12,253,398 | ||
89,041,163 | ||||||
Home builders: 1.05% | ||||||
LGI Homes, Inc.144A | 8.75 | 12-15-2028 | 2,790,000 | 2,924,269 | ||
Taylor Morrison Communities, Inc.144A | 5.75 | 1-15-2028 | 2,733,000 | 2,677,838 | ||
Tri Pointe Group, Inc./Tri Pointe Homes, Inc. | 5.88 | 6-15-2024 | 13,313,000 | 13,304,879 | ||
18,906,986 | ||||||
Housewares: 1.04% | ||||||
Newell Brands, Inc. | 5.20 | 4-1-2026 | 19,310,000 | 18,751,194 | ||
Leisure time: 1.33% | ||||||
Carnival Holdings Bermuda Ltd.144A | 10.38 | 5-1-2028 | 7,530,000 | 8,214,959 | ||
NCL Corp. Ltd.144A | 8.13 | 1-15-2029 | 2,020,000 | 2,125,206 | ||
NCL Corp. Ltd.144A | 8.38 | 2-1-2028 | 12,985,000 | 13,631,185 | ||
23,971,350 | ||||||
Lodging: 2.05% | ||||||
Hilton Domestic Operating Co., Inc.144A | 5.38 | 5-1-2025 | 17,777,000 | 17,691,343 | ||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 11,900,000 | 11,752,025 | ||
MGM Resorts International | 6.75 | 5-1-2025 | 7,660,000 | 7,670,663 | ||
37,114,031 | ||||||
Retail: 3.08% | ||||||
Bath & Body Works, Inc.144A | 9.38 | 7-1-2025 | 18,686,000 | 19,473,411 | ||
Dave & Buster’s, Inc.144A | 7.63 | 11-1-2025 | 27,091,000 | 27,161,729 | ||
Lithia Motors, Inc.144A | 4.63 | 12-15-2027 | 4,710,000 | 4,487,341 |
Interest rate | Maturity date | Principal | Value | |||
Retail(continued) | ||||||
Penske Automotive Group, Inc. | 3.50 % | 9-1-2025 | $ | 375,000 | $363,826 | |
PetSmart, Inc./PetSmart Finance Corp.144A | 4.75 | 2-15-2028 | 4,495,000 | 4,213,185 | ||
55,699,492 | ||||||
Toys/games/hobbies: 0.06% | ||||||
Mattel, Inc.144A | 3.38 | 4-1-2026 | 1,150,000 | 1,091,392 | ||
Consumer, non-cyclical: 6.66% | ||||||
Commercial services: 3.32% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.63 | 7-15-2026 | 5,524,000 | 5,507,270 | ||
Block, Inc. | 2.75 | 6-1-2026 | 1,760,000 | 1,641,799 | ||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 27,495,000 | 28,097,690 | ||
Prime Security Services Borrower LLC/Prime Finance, Inc.144A | 5.75 | 4-15-2026 | 14,175,000 | 14,067,799 | ||
Sabre Global, Inc.144A | 11.25 | 12-15-2027 | 11,325,000 | 10,645,500 | ||
59,960,058 | ||||||
Food: 1.29% | ||||||
B&G Foods, Inc.144A | 8.00 | 9-15-2028 | 8,400,000 | 8,744,888 | ||
Performance Food Group, Inc.144A | 6.88 | 5-1-2025 | 14,552,000 | 14,589,544 | ||
23,334,432 | ||||||
Healthcare-services: 2.05% | ||||||
IQVIA, Inc.144A | 5.00 | 10-15-2026 | 9,540,000 | 9,324,796 | ||
Tenet Healthcare Corp. | 4.63 | 6-15-2028 | 2,655,000 | 2,526,948 | ||
Tenet Healthcare Corp. | 4.88 | 1-1-2026 | 25,255,000 | 25,228,894 | ||
37,080,638 | ||||||
Energy: 14.43% | ||||||
Energy-alternate sources: 0.33% | ||||||
TerraForm Power Operating LLC144A | 5.00 | 1-31-2028 | 6,370,000 | 6,019,127 | ||
Oil & gas: 4.41% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 16,375,000 | 16,442,768 | ||
Antero Resources Corp.144A | 7.63 | 2-1-2029 | 2,650,000 | 2,729,330 | ||
Antero Resources Corp.144A | 8.38 | 7-15-2026 | 6,395,000 | 6,629,370 | ||
Callon Petroleum Co.144A | 8.00 | 8-1-2028 | 16,220,000 | 16,942,082 | ||
EQT Corp. | 6.13 | 2-1-2025 | 5,546,000 | 5,555,450 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.25 | 11-1-2028 | 6,360,000 | 6,313,435 | ||
Nabors Industries, Inc.144A | 7.38 | 5-15-2027 | 10,525,000 | 10,486,268 | ||
Range Resources Corp. | 8.25 | 1-15-2029 | 1,910,000 | 1,992,641 | ||
Southwestern Energy Co. | 5.70 | 1-23-2025 | 12,702,000 | 12,633,216 | ||
79,724,560 | ||||||
Oil & gas services: 1.55% | ||||||
Archrock Partners LP/Archrock Partners Finance Corp.144A | 6.88 | 4-1-2027 | 1,330,000 | 1,323,306 | ||
Oceaneering International, Inc. | 6.00 | 2-1-2028 | 11,745,000 | 11,549,269 |
Interest rate | Maturity date | Principal | Value | |||
Oil & gas services(continued) | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.88 % | 4-1-2026 | $ | 13,340,000 | $13,321,838 | |
USA Compression Partners LP/USA Compression Finance Corp. | 6.88 | 9-1-2027 | 1,795,000 | 1,785,777 | ||
27,980,190 | ||||||
Pipelines: 8.14% | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.144A | 5.75 | 1-15-2028 | 8,670,000 | 8,499,494 | ||
Antero Midstream Partners LP/Antero Midstream Finance Corp.144A | 7.88 | 5-15-2026 | 7,618,000 | 7,781,444 | ||
Buckeye Partners LP144A | 4.13 | 3-1-2025 | 6,795,000 | 6,644,801 | ||
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 8,640,000 | 8,620,744 | ||
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 5,917,000 | 5,768,613 | ||
EQM Midstream Partners LP | 4.00 | 8-1-2024 | 7,785,000 | 7,727,432 | ||
EQM Midstream Partners LP144A | 7.50 | 6-1-2027 | 5,845,000 | 5,980,031 | ||
Hess Midstream Operations LP144A | 5.63 | 2-15-2026 | 9,850,000 | 9,710,623 | ||
Kinetik Holdings LP144A | 6.63 | 12-15-2028 | 24,690,000 | 24,993,786 | ||
Rockies Express Pipeline LLC144A | 3.60 | 5-15-2025 | 16,795,000 | 16,283,941 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 3-1-2027 | 20,290,000 | 20,026,230 | ||
Venture Global LNG, Inc.144A | 8.13 | 6-1-2028 | 17,830,000 | 18,113,615 | ||
Western Midstream Operating LP | 3.95 | 6-1-2025 | 1,735,000 | 1,692,553 | ||
Western Midstream Operating LP | 4.65 | 7-1-2026 | 5,335,000 | 5,219,396 | ||
147,062,703 | ||||||
Financial: 11.76% | ||||||
Banks: 0.10% | ||||||
Citigroup, Inc. Series X (5 Year Treasury Constant Maturity+3.42%)ʊ± | 3.88 | 2-18-2026 | 1,837,000 | 1,725,640 | ||
Diversified financial services: 6.91% | ||||||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 34,467,000 | 34,468,379 | ||
Nationstar Mortgage Holdings, Inc.144A | 5.00 | 2-1-2026 | 5,365,000 | 5,211,517 | ||
Nationstar Mortgage Holdings, Inc.144A | 6.00 | 1-15-2027 | 13,165,000 | 12,943,433 | ||
Navient Corp. | 5.88 | 10-25-2024 | 14,850,000 | 14,814,985 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 16,950,000 | 17,225,302 | ||
PRA Group, Inc.144A | 7.38 | 9-1-2025 | 11,880,000 | 11,858,378 | ||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.144A | 2.88 | 10-15-2026 | 11,865,000 | 10,915,800 | ||
United Wholesale Mortgage LLC144A | 5.50 | 11-15-2025 | 17,745,000 | 17,440,602 | ||
124,878,396 | ||||||
Insurance: 0.26% | ||||||
AmWINS Group, Inc.144A | 6.38 | 2-15-2029 | 4,695,000 | 4,698,062 | ||
Private equity: 0.63% | ||||||
HAT Holdings I LLC/HAT Holdings II LLC144A | 6.00 | 4-15-2025 | 11,550,000 | 11,432,631 | ||
REITS: 3.86% | ||||||
Boston Properties LP | 3.65 | 2-1-2026 | 1,750,000 | 1,682,807 | ||
Iron Mountain, Inc.144A | 5.25 | 3-15-2028 | 16,550,000 | 15,950,814 |
Interest rate | Maturity date | Principal | Value | |||
REITS(continued) | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.144A | 5.25 % | 10-1-2025 | $ | 7,505,000 | $7,393,299 | |
MPT Operating Partnership LP/MPT Finance Corp. | 5.25 | 8-1-2026 | 9,890,000 | 8,806,260 | ||
Service Properties Trust | 7.50 | 9-15-2025 | 11,905,000 | 12,061,170 | ||
Starwood Property Trust, Inc.144A | 3.63 | 7-15-2026 | 2,930,000 | 2,732,225 | ||
Starwood Property Trust, Inc.144A | 3.75 | 12-31-2024 | 11,434,000 | 11,205,165 | ||
Starwood Property Trust, Inc. | 4.75 | 3-15-2025 | 10,120,000 | 9,985,606 | ||
69,817,346 | ||||||
Industrial: 9.25% | ||||||
Aerospace/defense: 1.09% | ||||||
Spirit AeroSystems, Inc.144A | 9.38 | 11-30-2029 | 1,735,000 | 1,876,149 | ||
TransDigm, Inc.144A | 6.38 | 3-1-2029 | 17,700,000 | 17,780,008 | ||
19,656,157 | ||||||
Electrical components & equipment: 1.62% | ||||||
WESCO Distribution, Inc.144A%% | 6.38 | 3-15-2029 | 13,275,000 | 13,276,221 | ||
WESCO Distribution, Inc.144A | 7.13 | 6-15-2025 | 15,902,000 | 15,997,015 | ||
29,273,236 | ||||||
Environmental control: 0.95% | ||||||
Stericycle, Inc.144A | 5.38 | 7-15-2024 | 17,165,000 | 17,156,418 | ||
Machinery-diversified: 0.72% | ||||||
TK Elevator U.S. Newco, Inc.144A | 5.25 | 7-15-2027 | 13,585,000 | 13,049,019 | ||
Packaging & containers: 3.10% | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 6.00 | 6-15-2027 | 17,170,000 | 16,859,240 | ||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.144A | 5.25 | 4-30-2025 | 9,114,000 | 9,018,473 | ||
Berry Global, Inc.144A | 4.88 | 7-15-2026 | 1,750,000 | 1,708,749 | ||
Berry Global, Inc.144A | 5.63 | 7-15-2027 | 140,000 | 138,027 | ||
Mauser Packaging Solutions Holding Co.144A | 7.88 | 8-15-2026 | 4,075,000 | 4,129,267 | ||
Owens-Brockway Glass Container, Inc.144A | 6.63 | 5-13-2027 | 8,990,000 | 8,970,111 | ||
Sealed Air Corp.144A | 5.13 | 12-1-2024 | 7,629,000 | 7,571,782 | ||
Sealed Air Corp.144A | 5.50 | 9-15-2025 | 7,550,000 | 7,535,655 | ||
55,931,304 | ||||||
Trucking & leasing: 1.77% | ||||||
DAE Funding LLC144A | 2.63 | 3-20-2025 | 5,910,000 | 5,678,257 | ||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 26,291,000 | 26,303,725 | ||
31,981,982 | ||||||
Technology: 1.25% | ||||||
Computers: 1.21% | ||||||
Western Digital Corp. | 4.75 | 2-15-2026 | 22,383,000 | 21,875,229 | ||
Semiconductors: 0.04% | ||||||
ON Semiconductor Corp.144A | 3.88 | 9-1-2028 | 795,000 | 727,051 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 3.82% | ||||||
Electric: 3.82% | ||||||
NextEra Energy Operating Partners LP144A | 4.25 % | 7-15-2024 | $ | 22,682,000 | $22,386,054 | |
NextEra Energy Operating Partners LP144A | 4.50 | 9-15-2027 | 4,770,000 | 4,450,131 | ||
NextEra Energy Operating Partners LP144A | 7.25 | 1-15-2029 | 6,980,000 | 7,095,107 | ||
NSG Holdings LLC/NSG Holdings, Inc.144A | 7.75 | 12-15-2025 | 2,254,142 | 2,244,630 | ||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.144A | 4.50 | 8-15-2028 | 5,859,000 | 5,374,196 | ||
Vistra Operations Co. LLC144A | 5.50 | 9-1-2026 | 4,781,000 | 4,707,735 | ||
Vistra Operations Co. LLC144A | 5.63 | 2-15-2027 | 23,400,000 | 22,802,115 | ||
69,059,968 | ||||||
Total corporate bonds and notes (Cost $1,397,685,615) | 1,399,897,702 |
Shares | ||||||
Investment companies: 0.56% | ||||||
Exchange-traded funds: 0.56% | ||||||
SPDR Bloomberg Short Term High Yield Bond ETF | 405,000 | 10,197,900 | ||||
Total investment companies (Cost $9,938,700) | 10,197,900 |
Principal | ||||||
Loans: 5.44% | ||||||
Communications: 0.21% | ||||||
Media: 0.21% | ||||||
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)± | 10.44 | 8-2-2027 | $ | 3,777,075 | 3,771,637 | |
Consumer, cyclical: 2.12% | ||||||
Airlines: 1.24% | ||||||
Mileage Plus Holdings LLC (U.S. SOFR 3 Month+5.25%)± | 10.77 | 6-21-2027 | 6,562,500 | 6,752,681 | ||
SkyMiles IP Ltd. (U.S. SOFR 3 Month+3.75%)± | 9.07 | 10-20-2027 | 15,294,079 | 15,711,149 | ||
22,463,830 | ||||||
Auto parts & equipment: 0.15% | ||||||
First Brands Group LLC (U.S. SOFR 3 Month+5.00%)± | 10.57 | 3-30-2027 | 2,635,000 | 2,638,294 | ||
Leisure time: 0.48% | ||||||
Carnival Corp. (U.S. SOFR 1 Month+3.00%)± | 8.32 | 8-8-2027 | 8,726,150 | 8,727,982 | ||
Retail: 0.25% | ||||||
Petco Health & Wellness Co., Inc. (U.S. SOFR 3 Month+3.25%)± | 8.86 | 3-3-2028 | 4,690,000 | 4,475,432 | ||
Consumer, non-cyclical: 1.25% | ||||||
Commercial services: 0.95% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+6.88%)± | 12.20 | 3-23-2027 | 16,691,704 | 17,072,442 | ||
Healthcare-services: 0.30% | ||||||
Select Medical Corp. (U.S. SOFR 1 Month+3.00%)± | 8.33 | 3-6-2027 | 5,452,360 | 5,442,164 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 0.58% | ||||||
Pipelines: 0.58% | ||||||
AL NGPL Holdings LLC (U.S. SOFR 3 Month+3.50%)± | 8.83 % | 4-13-2028 | $ | 1,903,038 | $1,903,837 | |
GIP III Stetson I LP (U.S. SOFR 1 Month+4.25%)± | 9.68 | 10-31-2028 | 2,290,225 | 2,295,951 | ||
Prairie ECI Acquiror LP (U.S. SOFR 3 Month+4.75%)± | 10.07 | 2-22-2029 | 6,340,000 | 6,288,519 | ||
10,488,307 | ||||||
Financial: 0.96% | ||||||
Insurance: 0.96% | ||||||
Asurion LLC (U.S. SOFR 1 Month+3.25%)± | 8.69 | 12-23-2026 | 17,371,879 | 17,258,441 | ||
Utilities: 0.32% | ||||||
Electric: 0.32% | ||||||
Constellation Renewables LLC (U.S. SOFR 3 Month+2.50%)± | 8.10 | 12-15-2027 | 5,887,180 | 5,855,919 | ||
Total loans (Cost $97,482,342) | 98,194,448 | |||||
Yankee corporate bonds and notes: 10.74% | ||||||
Basic materials: 0.31% | ||||||
Mining: 0.31% | ||||||
Constellium SE144A | 5.88 | 2-15-2026 | 5,594,000 | 5,548,188 | ||
Communications: 0.63% | ||||||
Media: 0.63% | ||||||
Videotron Ltd.144A | 5.38 | 6-15-2024 | 11,523,000 | 11,484,945 | ||
Consumer, cyclical: 3.56% | ||||||
Airlines: 1.34% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 | 7-15-2026 | 22,234,000 | 24,096,097 | ||
Auto parts & equipment: 0.39% | ||||||
Clarios Global LP144A | 6.75 | 5-15-2025 | 7,058,000 | 7,053,136 | ||
Entertainment: 0.18% | ||||||
International Game Technology PLC144A | 6.50 | 2-15-2025 | 3,290,000 | 3,294,958 | ||
Leisure time: 1.65% | ||||||
Carnival Corp.144A | 7.63 | 3-1-2026 | 8,485,000 | 8,595,392 | ||
Royal Caribbean Cruises Ltd.144A | 5.38 | 7-15-2027 | 21,690,000 | 21,273,422 | ||
29,868,814 | ||||||
Consumer, non-cyclical: 0.71% | ||||||
Pharmaceuticals: 0.71% | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 12,848,000 | 12,831,454 | ||
Energy: 2.40% | ||||||
Oil & gas: 0.78% | ||||||
Baytex Energy Corp.144A | 8.75 | 4-1-2027 | 4,995,000 | 5,181,568 | ||
Borr IHC Ltd./Borr Finance LLC144A | 10.00 | 11-15-2028 | 8,580,000 | 8,848,125 | ||
14,029,693 |
Interest rate | Maturity date | Principal | Value | |||
Pipelines: 1.62% | ||||||
Northriver Midstream Finance LP144A | 5.63 % | 2-15-2026 | $ | 29,885,000 | $29,297,312 | |
Financial: 1.15% | ||||||
Banks: 0.47% | ||||||
Intesa Sanpaolo SpA (5 Year USD Swap Rate+5.46%)144Aʊ± | 7.70 | 9-17-2025 | 8,550,000 | 8,453,300 | ||
Diversified financial services: 0.68% | ||||||
Macquarie Airfinance Holdings Ltd.144A | 8.38 | 5-1-2028 | 11,845,000 | 12,407,401 | ||
Industrial: 1.25% | ||||||
Aerospace/defense: 0.57% | ||||||
Bombardier, Inc.144A | 7.13 | 6-15-2026 | 10,226,000 | 10,311,633 | ||
Electronics: 0.29% | ||||||
Sensata Technologies BV144A | 4.00 | 4-15-2029 | 5,815,000 | 5,273,785 | ||
Packaging & containers: 0.39% | ||||||
Trivium Packaging Finance BV144A | 5.50 | 8-15-2026 | 7,120,000 | 6,943,404 | ||
Technology: 0.10% | ||||||
Software: 0.10% | ||||||
Open Text Corp.144A | 6.90 | 12-1-2027 | 1,800,000 | 1,858,147 | ||
Utilities: 0.63% | ||||||
Electric: 0.63% | ||||||
Drax Finco PLC144A | 6.63 | 11-1-2025 | 11,462,000 | 11,318,725 | ||
Total yankee corporate bonds and notes (Cost $191,593,040) | 194,070,992 |
Yield | Shares | |||||
Short-term investments: 6.15% | ||||||
Investment companies: 6.15% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 111,081,519 | 111,081,519 | |||
Total short-term investments (Cost $111,081,519) | 111,081,519 | |||||
Total investments in securities (Cost $1,807,781,216) | 100.37 % | 1,813,442,561 | ||||
Other assets and liabilities, net | (0.37 ) | (6,691,952 ) | ||||
Total net assets | 100.00 % | $1,806,750,609 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
Abbreviations: | |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $72,874,106 | $392,694,200 | $(354,486,787 ) | $0 | $0 | $111,081,519 | 111,081,519 | $2,138,822 |
Assets | |
Investments in unaffiliated securities, at value (cost $1,696,699,697) | $1,702,361,042 |
Investments in affiliated securities, at value (cost $111,081,519) | 111,081,519 |
Cash | 14,857 |
Receivable for interest | 26,328,155 |
Receivable for Fund shares sold | 6,075,533 |
Receivable for investments sold | 3,506,061 |
Prepaid expenses and other assets | 270,997 |
Total assets | 1,849,638,164 |
Liabilities | |
Payable for investments purchased | 24,487,743 |
Payable for when-issued transactions | 13,275,000 |
Payable for Fund shares redeemed | 4,226,418 |
Management fee payable | 557,919 |
Administration fees payable | 121,789 |
Dividends payable | 121,082 |
Distribution fee payable | 13,996 |
Trustees’ fees and expenses payable | 798 |
Accrued expenses and other liabilities | 82,810 |
Total liabilities | 42,887,555 |
Total net assets | $1,806,750,609 |
Net assets consist of | |
Paid-in capital | $1,890,917,348 |
Total distributable loss | (84,166,739 ) |
Total net assets | $1,806,750,609 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $115,521,899 |
Shares outstanding–Class A1 | 14,787,409 |
Net asset value per share–Class A | $7.81 |
Maximum offering price per share – Class A2 | $8.05 |
Net assets–Class C | $24,090,736 |
Shares outstanding–Class C1 | 3,082,674 |
Net asset value per share–Class C | $7.81 |
Net assets–Administrator Class | $44,081,788 |
Shares outstanding–Administrator Class1 | 5,643,179 |
Net asset value per share–Administrator Class | $7.81 |
Net assets–Institutional Class | $1,623,056,186 |
Shares outstanding–Institutional Class1 | 208,067,670 |
Net asset value per share–Institutional Class | $7.80 |
Investment income | |
Interest | $53,154,045 |
Income from affiliated securities | 2,138,822 |
Dividends | 378,180 |
Total investment income | 55,671,047 |
Expenses | |
Management fee | 4,047,218 |
Administration fees | |
Class A | 83,971 |
Class C | 17,063 |
Administrator Class | 22,306 |
Institutional Class | 614,625 |
Shareholder servicing fees | |
Class A | 139,952 |
Class C | 28,439 |
Administrator Class | 55,702 |
Distribution fee | |
Class C | 85,316 |
Custody and accounting fees | 31,543 |
Professional fees | 40,798 |
Registration fees | 30,010 |
Shareholder report expenses | 45,736 |
Trustees’ fees and expenses | 11,822 |
Other fees and expenses | 11,974 |
Total expenses | 5,266,475 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (614,362 ) |
Class A | (6,525 ) |
Class C | (1,328 ) |
Administrator Class | (26,967 ) |
Net expenses | 4,617,293 |
Net investment income | 51,053,754 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (25,251,642 ) |
Net change in unrealized gains (losses) on investments | 29,227,126 |
Net realized and unrealized gains (losses) on investments | 3,975,484 |
Net increase in net assets resulting from operations | $55,029,238 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $51,053,754 | $81,800,751 | ||
Net realized losses on investments | (25,251,642 ) | (11,191,875 ) | ||
Net change in unrealized gains (losses) on investments | 29,227,126 | 28,500,977 | ||
Net increase in net assets resulting from operations | 55,029,238 | 99,109,853 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (3,290,385 ) | (5,426,839 ) | ||
Class C | (583,123 ) | (911,565 ) | ||
Administrator Class | (1,345,500 ) | (2,435,496 ) | ||
Institutional Class | (47,546,652 ) | (74,116,325 ) | ||
Total distributions to shareholders | (52,765,660 ) | (82,890,225 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,806,509 | 14,041,692 | 4,709,766 | 36,497,197 |
Class C | 618,726 | 4,814,105 | 1,204,927 | 9,355,025 |
Administrator Class | 646,020 | 5,023,570 | 1,971,602 | 15,329,867 |
Institutional Class | 60,595,093 | 470,369,346 | 160,573,025 | 1,243,088,265 |
494,248,713 | 1,304,270,354 | |||
Reinvestment of distributions | ||||
Class A | 414,536 | 3,224,124 | 682,626 | 5,299,433 |
Class C | 74,964 | 583,084 | 117,335 | 911,379 |
Administrator Class | 172,544 | 1,341,336 | 312,794 | 2,425,799 |
Institutional Class | 6,033,862 | 46,852,302 | 9,315,015 | 72,257,999 |
52,000,846 | 80,894,610 | |||
Payment for shares redeemed | ||||
Class A | (1,813,148 ) | (14,106,333 ) | (3,945,529 ) | (30,544,674 ) |
Class C | (473,939 ) | (3,684,620 ) | (993,494 ) | (7,714,141 ) |
Administrator Class | (1,051,165 ) | (8,173,308 ) | (4,241,969 ) | (32,917,656 ) |
Institutional Class | (52,454,958 ) | (406,774,393 ) | (103,684,941 ) | (803,288,440 ) |
(432,738,654 ) | (874,464,911 ) | |||
Net increase in net assets resulting from capital share transactions | 113,510,905 | 510,700,053 | ||
Total increase in net assets | 115,774,483 | 526,919,681 | ||
Net assets | ||||
Beginning of period | 1,690,976,126 | 1,164,056,445 | ||
End of period | $1,806,750,609 | $1,690,976,126 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $7.80 | $7.72 | $8.25 | $8.09 | $8.07 | $7.99 |
Net investment income | 0.22 1 | 0.40 | 0.29 | 0.28 | 0.26 | 0.25 |
Net realized and unrealized gains (losses) on investments | 0.02 | 0.08 | (0.51 ) | 0.18 | 0.02 | 0.09 |
Total from investment operations | 0.24 | 0.48 | (0.22 ) | 0.46 | 0.28 | 0.34 |
Distributions to shareholders from | ||||||
Net investment income | (0.23 ) | (0.40 ) | (0.31 ) | (0.30 ) | (0.26 ) | (0.26 ) |
Net asset value, end of period | $7.81 | $7.80 | $7.72 | $8.25 | $8.09 | $8.07 |
Total return2 | 3.09 % | 6.33 % | (2.73 )% | 5.73 % | 3.61 % | 4.40 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.89 % | 0.90 % | 0.92 % | 0.93 % | 0.94 % | 0.94 % |
Net expenses | 0.81 % | 0.81 % | 0.81 % | 0.80 % | 0.81 % | 0.81 % |
Net investment income | 5.68 % | 5.08 % | 3.65 % | 3.46 % | 3.19 % | 3.18 % |
Supplemental data | ||||||
Portfolio turnover rate | 21 % | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $115,522 | $112,193 | $99,828 | $123,375 | $97,985 | $104,671 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $7.81 | $7.72 | $8.26 | $8.09 | $8.07 | $8.00 |
Net investment income | 0.19 1 | 0.33 | 0.24 | 0.24 | 0.20 | 0.19 |
Net realized and unrealized gains (losses) on investments | 0.01 | 0.10 | (0.53 ) | 0.17 | 0.02 | 0.08 |
Total from investment operations | 0.20 | 0.43 | (0.29 ) | 0.41 | 0.22 | 0.27 |
Distributions to shareholders from | ||||||
Net investment income | (0.20 ) | (0.34 ) | (0.25 ) | (0.24 ) | (0.20 ) | (0.20 ) |
Net asset value, end of period | $7.81 | $7.81 | $7.72 | $8.26 | $8.09 | $8.07 |
Total return2 | 2.58 % | 5.67 % | (3.58 )% | 5.06 % | 2.84 % | 3.49 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.64 % | 1.65 % | 1.67 % | 1.68 % | 1.69 % | 1.69 % |
Net expenses | 1.56 % | 1.56 % | 1.56 % | 1.56 % | 1.56 % | 1.56 % |
Net investment income | 4.93 % | 4.33 % | 2.88 % | 2.73 % | 2.43 % | 2.43 % |
Supplemental data | ||||||
Portfolio turnover rate | 21 % | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $24,091 | $22,345 | $19,567 | $29,136 | $46,066 | $59,113 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $7.80 | $7.72 | $8.25 | $8.09 | $8.06 | $7.99 |
Net investment income | 0.23 1 | 0.41 | 0.30 | 0.30 1 | 0.27 | 0.27 |
Net realized and unrealized gains (losses) on investments | 0.01 | 0.08 | (0.51 ) | 0.17 | 0.03 | 0.08 |
Total from investment operations | 0.24 | 0.49 | (0.21 ) | 0.47 | 0.30 | 0.35 |
Distributions to shareholders from | ||||||
Net investment income | (0.23 ) | (0.41 ) | (0.32 ) | (0.31 ) | (0.27 ) | (0.28 ) |
Net asset value, end of period | $7.81 | $7.80 | $7.72 | $8.25 | $8.09 | $8.06 |
Total return2 | 3.17 % | 6.50 % | (2.58 )% | 5.90 % | 3.90 % | 4.44 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.84 % | 0.84 % | 0.86 % | 0.87 % | 0.88 % | 0.87 % |
Net expenses | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Net investment income | 5.83 % | 5.17 % | 3.80 % | 3.63 % | 3.29 % | 3.34 % |
Supplemental data | ||||||
Portfolio turnover rate | 21 % | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $44,082 | $45,839 | $60,460 | $82,124 | $52,406 | $86,892 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $7.79 | $7.71 | $8.24 | $8.08 | $8.05 | $7.98 |
Net investment income | 0.23 1 | 0.41 | 0.32 | 0.31 1 | 0.29 | 0.28 |
Net realized and unrealized gains (losses) on investments | 0.02 | 0.09 | (0.52 ) | 0.17 | 0.03 | 0.08 |
Total from investment operations | 0.25 | 0.50 | (0.20 ) | 0.48 | 0.32 | 0.36 |
Distributions to shareholders from | ||||||
Net investment income | (0.24 ) | (0.42 ) | (0.33 ) | (0.32 ) | (0.29 ) | (0.29 ) |
Net asset value, end of period | $7.80 | $7.79 | $7.71 | $8.24 | $8.08 | $8.05 |
Total return2 | 3.25 % | 6.66 % | (2.44 )% | 6.06 % | 4.06 % | 4.59 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.57 % | 0.57 % | 0.59 % | 0.60 % | 0.61 % | 0.61 % |
Net expenses | 0.50 % | 0.50 % | 0.50 % | 0.50 % | 0.50 % | 0.50 % |
Net investment income | 5.99 % | 5.42 % | 3.99 % | 3.78 % | 3.47 % | 3.49 % |
Supplemental data | ||||||
Portfolio turnover rate | 21 % | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $1,623,056 | $1,510,599 | $984,201 | $823,568 | $554,044 | $701,157 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $15,677,365 |
Gross unrealized losses | (13,334,005 ) |
Net unrealized gains | $2,343,360 |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $0 | $1,399,897,702 | $0 | $1,399,897,702 |
Investment companies | 10,197,900 | 0 | 0 | 10,197,900 |
Loans | 0 | 98,194,448 | 0 | 98,194,448 |
Yankee corporate bonds and notes | 0 | 194,070,992 | 0 | 194,070,992 |
Short-term investments | ||||
Investment companies | 111,081,519 | 0 | 0 | 111,081,519 |
Total assets | $121,279,419 | $1,692,163,142 | $0 | $1,813,442,561 |
Average daily net assets | Management fee |
First $500 million | 0.500 % |
Next $500 million | 0.475 |
Next $2 billion | 0.450 |
Next $2 billion | 0.425 |
Next $5 billion | 0.390 |
Over $10 billion | 0.380 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.81 % |
Class C | 1.56 |
Administrator Class | 0.65 |
Institutional Class | 0.50 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
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SAR3017 02-24
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Allspring Funds
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President
Allspring Funds
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of February 29, 2024 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SADAX) | 8-31-1999 | 3.93 | 1.87 | 1.45 | 6.05 | 2.29 | 1.65 | 0.68 | 0.51 |
Class A2 (WUSNX)3 | 5-29-2020 | – | – | – | 6.28 | 2.31 | 1.67 | 0.58 | 0.41 |
Class C (WUSTX) | 7-18-2008 | 4.27 | 1.56 | 1.05 | 5.27 | 1.56 | 1.05 | 1.43 | 1.26 |
Administrator Class (WUSDX) | 4-8-2005 | – | – | – | 6.07 | 2.32 | 1.73 | 0.63 | 0.51 |
Institutional Class (SADIX) | 8-31-1999 | – | – | – | 6.44 | 2.58 | 1.97 | 0.36 | 0.26 |
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | 3.33 | 0.56 | 1.43 | – | – |
Bloomberg Short-Term Government/Corporate Bond Index5 | – | – | – | – | 5.31 | 2.03 | 1.48 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.50% for Class A, 0.40% for Class A2, 1.25% for Class C, 0.50% for Administrator Class and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance for the Class A2 shares prior to their inception reflects the performance of the Class A shares, and includes the higher expenses applicable to the Class A shares. If these expenses had not been included, returns for the Class A2 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.–dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Short-Term Government/Corporate Bond Index contains securities that have fallen out of the Bloomberg Government/Credit Bond Index because of the standard minimum one-year-to-maturity constraint. Securities in the Bloomberg Short-Term Government/Corporate Bond Index must have a maturity from 1 up to (but not including) 12 months. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 29, 20241 | |
U.S. Treasury Notes, 4.25%, 1-31-2026 | 4.79 |
SPDR Portfolio Short Term Corporate Bond ETF | 1.94 |
GA Global Funding Trust, 1.00%, 4-8-2024 | 1.59 |
SPGN Mortgage Trust, 6.87%, 2-15-2039 | 1.52 |
Danske Bank AS, 3.77%, 3-28-2025 | 1.30 |
OPG Trust, 5.92%, 10-15-2036 | 1.25 |
Palmer Square CLO Ltd., 6.58%, 10-17-2031 | 1.23 |
Domino’s Pizza Master Issuer LLC, 4.47%, 10-25-2045 | 1.19 |
Renesas Electronics Corp., 1.54%, 11-26-2024 | 1.17 |
TRTX Issuer Ltd., 6.97%, 2-15-2039 | 1.14 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 29, 20241 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-126822/g789202imga8cf83754.jpg)
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2023 | Ending account value 2-29-2024 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,033.60 | $2.53 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.38 | $2.51 | 0.50 % |
Class A2 | ||||
Actual | $1,000.00 | $1,035.32 | $2.02 | 0.40 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.87 | $2.01 | 0.40 % |
Class C | ||||
Actual | $1,000.00 | $1,029.79 | $6.31 | 1.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.65 | $6.27 | 1.25 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,033.67 | $2.53 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.38 | $2.51 | 0.50 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,036.09 | $1.27 | 0.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.62 | $1.26 | 0.25 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 182 divided by 366 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 1.20% | ||||||
FHLMC | 4.50 % | 6-1-2024 | $ | 11,809 | $11,732 | |
FHLMC | 4.50 | 9-1-2026 | 53,752 | 53,481 | ||
FHLMC | 7.00 | 6-1-2031 | 127,327 | 130,883 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series Q004 Class AFL (12 Month Treasury Average+0.74%)± | 5.83 | 5-25-2044 | 861,472 | 861,455 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 365,188 | 402,159 | ||
FHLMC (1 Year Treasury Constant Maturity+2.21%)± | 4.87 | 5-1-2035 | 62,526 | 63,002 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 5.73 | 3-1-2035 | 234,327 | 239,491 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 4-1-2032 | 24,048 | 24,096 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.38 | 6-1-2032 | 202 | 202 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.87 | 10-1-2038 | 215,483 | 213,382 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.93 | 9-1-2038 | 406,930 | 413,328 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.12 | 11-1-2035 | 519,613 | 534,852 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.17 | 4-1-2038 | 193,503 | 196,793 | ||
FHLMC Series 3924 Class MF (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 9-15-2041 | 480,032 | 469,466 | ||
FHLMC Series 4889 Class CD | 3.00 | 4-15-2049 | 577,788 | 505,933 | ||
FHLMC Series 4938 Class BF (30 Day Average U.S. SOFR+0.61%)± | 5.94 | 12-25-2049 | 2,708,105 | 2,636,671 | ||
FNMA | 4.50 | 1-1-2027 | 114,329 | 113,390 | ||
FNMA | 5.00 | 6-1-2024 | 3,301 | 3,272 | ||
FNMA | 6.50 | 8-1-2031 | 161,142 | 164,817 | ||
FNMA (1 Year Treasury Constant Maturity+2.02%)± | 6.09 | 12-1-2034 | 90,986 | 93,072 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 6.32 | 11-1-2031 | 28,734 | 28,559 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 5.95 | 12-1-2040 | 994,138 | 1,018,349 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.45 | 9-1-2035 | 101,246 | 102,734 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.74 | 10-1-2034 | 2,508 | 2,571 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.34 | 6-1-2032 | 48,690 | 48,815 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.35 | 6-1-2034 | 314,676 | 317,292 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.79 | 12-1-2040 | 72,291 | 71,951 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.88 | 7-1-2038 | 840,978 | 864,102 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 6.01 | 11-1-2038 | 234,148 | 240,842 | ||
FNMA (1 Year Treasury Constant Maturity+2.26%)± | 6.38 | 11-1-2035 | 35,232 | 34,972 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 5.98 | 8-1-2036 | 522,525 | 536,531 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 6.00 | 5-1-2036 | 165,209 | 167,930 | ||
FNMA (1 Year Treasury Constant Maturity+2.36%)± | 6.39 | 11-1-2034 | 261,780 | 269,296 | ||
FNMA (12 Month Treasury Average+2.05%)± | 7.05 | 8-1-2045 | 139,612 | 142,299 | ||
FNMA (RFUCCT1Y+1.77%)± | 5.87 | 7-1-2044 | 620,651 | 636,969 | ||
FNMA (RFUCCT6M+1.38%)± | 7.00 | 10-1-2031 | 31,827 | 31,887 | ||
FNMA (RFUCCT6M+1.51%)± | 5.37 | 9-1-2037 | 160,412 | 162,417 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 153,598 | 154,716 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 229,401 | 236,366 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 200,815 | 210,339 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 225,712 | 244,495 | ||
FNMA Series 2002-W4 Class A6±± | 4.43 | 5-25-2042 | 264,248 | 254,651 | ||
FNMA Series 2003-W11 Class A1±± | 6.72 | 6-25-2033 | 8,941 | 8,984 | ||
FNMA Series 2003-W3 Class 1A4±± | 4.31 | 8-25-2042 | 15,839 | 14,750 | ||
FNMA Series 2007-W2 Class 1A1 (30 Day Average U.S. SOFR+0.43%)± | 5.76 | 3-25-2037 | 177,759 | 173,698 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 35,442 | 35,278 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities(continued) | ||||||
FNMA Series 2013-23 Class LF (30 Day Average U.S. SOFR+0.46%)± | 5.81 % | 3-25-2043 | $ | 2,108,094 | $2,114,584 | |
FNMA Series 2014-19 Class HA | 2.00 | 6-25-2040 | 121,392 | 114,429 | ||
GNMA | 7.00 | 6-15-2033 | 181,591 | 189,564 | ||
Total agency securities (Cost $15,570,807) | 15,560,847 | |||||
Asset-backed securities: 20.97% | ||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A (U.S. SOFR 1 Month+1.51%)144A± | 6.84 | 1-15-2037 | 3,776,274 | 3,743,231 | ||
Aqua Finance Trust Series 2021-A Class A144A | 1.54 | 7-17-2046 | 1,496,328 | 1,333,484 | ||
BHG Securitization Trust Series 2021-A Class A144A | 1.42 | 11-17-2033 | 1,696,871 | 1,615,387 | ||
Black Diamond CLO Ltd. Series 2017-1A Class A1AR (U.S. SOFR 3 Month+1.31%)144A± | 6.63 | 4-24-2029 | 242,290 | 242,553 | ||
BRAVO Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR+0.75%)144A± | 6.07 | 11-25-2069 | 3,984,193 | 3,953,406 | ||
Carlyle C17 CLO Ltd. Series C17A Class A1AR (U.S. SOFR 3 Month+1.29%)144A± | 6.61 | 4-30-2031 | 2,725,501 | 2,729,576 | ||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3 (U.S. SOFR 3 Month+1.24%)144A± | 6.56 | 7-20-2031 | 9,903,598 | 9,904,588 | ||
CCG Receivables Trust Series 2022-1 Class A2144A | 3.91 | 7-16-2029 | 2,483,199 | 2,452,017 | ||
CFMT LLC Series 2021-AL1 Class B144A | 1.39 | 9-22-2031 | 3,582,458 | 3,492,944 | ||
CFMT LLC Series 2021-EBO1 Class A144A±± | 0.98 | 11-25-2050 | 2,557,431 | 2,434,765 | ||
CFMT LLC Series 2021-HB7 Class A144A±± | 1.15 | 10-27-2031 | 2,539,781 | 2,459,924 | ||
CIFC Funding Ltd. Series 2018-1A Class A (U.S. SOFR 3 Month+1.26%)144A± | 6.56 | 4-18-2031 | 1,608,050 | 1,608,533 | ||
Commonbond Student Loan Trust Series 2018-BGS Class A1144A | 3.56 | 9-25-2045 | 1,955,780 | 1,831,927 | ||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 | 10-25-2045 | 15,767,500 | 15,436,405 | ||
Dryden 30 Senior Loan Fund Series 2013-30A Class AR (U.S. SOFR 3 Month+1.08%)144A± | 6.39 | 11-15-2028 | 2,661,805 | 2,657,812 | ||
Dryden 80 CLO Ltd. Series 2019-80A Class AR (U.S. SOFR 3 Month+1.25%)144A± | 6.57 | 1-17-2033 | 11,000,000 | 11,007,003 | ||
DT Auto Owner Trust Series 2019-4A Class D144A | 2.85 | 7-15-2025 | 498,078 | 497,260 | ||
ECMC Group Student Loan Trust Series 2020-2A Class A (30 Day Average U.S. SOFR+1.26%)144A± | 6.59 | 11-25-2069 | 4,164,349 | 4,161,029 | ||
Enterprise Fleet Funding LLC Series 2021-1 Class A2144A | 0.44 | 12-21-2026 | 579,838 | 575,803 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (U.S. SOFR 1 Month+1.24%)± | 6.56 | 9-25-2033 | 123,873 | 121,509 | ||
Exeter Automobile Receivables Trust Series 2020-1A Class D144A | 2.73 | 12-15-2025 | 1,806,192 | 1,786,982 | ||
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 5,212,910 | 5,116,067 | ||
GLS Auto Receivables Issuer Trust Series 2020-1A Class C144A | 2.72 | 11-17-2025 | 640,049 | 639,160 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A144A | 1.21 | 12-26-2025 | 11,325,000 | 11,022,555 | ||
HGI CRE CLO Ltd. Series 2021-FL2 Class A (U.S. SOFR 1 Month+1.11%)144A± | 6.44 | 9-17-2036 | 4,423,969 | 4,377,229 | ||
MF1 Ltd. Series 2021-FL7 Class A (U.S. SOFR 1 Month+1.19%)144A± | 6.51 | 10-16-2036 | 11,315,608 | 11,220,127 | ||
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1 Month+1.35%)144A± | 6.67 | 2-19-2037 | 13,025,000 | 12,878,469 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities(continued) | ||||||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 % | 7-15-2036 | $ | 3,281,749 | $3,265,340 | |
MNR ABS Issuer I LLC‡ | 8.12 | 12-15-2038 | 2,796,864 | 2,821,477 | ||
Navient Private Education Refinance Loan Trust Series 2018-CA Class A2144A | 3.52 | 6-16-2042 | 125,096 | 124,225 | ||
Navient Private Education Refinance Loan Trust Series 2021-EA Class A144A | 0.97 | 12-16-2069 | 6,071,273 | 5,208,913 | ||
Navient Student Loan Trust Series 2017-3A Class A3 (30 Day Average U.S. SOFR+1.16%)144A± | 6.49 | 7-26-2066 | 4,827,191 | 4,841,665 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.26%)144A± | 6.58 | 3-17-2030 | 9,249,454 | 9,250,841 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 1,604,250 | 1,583,428 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 8,500,000 | 8,408,681 | ||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A144A | 0.87 | 7-14-2028 | 8,968,340 | 8,635,541 | ||
Palmer Square CLO Ltd. Series 2013-2A Class A1A3 (U.S. SOFR 3 Month+1.26%)144A± | 6.58 | 10-17-2031 | 15,943,652 | 15,967,891 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 9,340,000 | 9,280,266 | ||
Santander Drive Auto Receivables Trust Series 2020-4 Class D | 1.48 | 1-15-2027 | 12,800,941 | 12,566,090 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (90 Day Average U.S. SOFR+0.93%)144A± | 6.28 | 12-17-2068 | 13,437,966 | 13,289,699 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (30 Day Average U.S. SOFR+0.66%)± | 5.99 | 5-26-2055 | 2,880,120 | 2,823,556 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class AR (U.S. SOFR 3 Month+1.34%)144A± | 6.66 | 4-15-2030 | 4,712,614 | 4,720,193 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 2,027,458 | 1,876,243 | ||
TCI-Symphony CLO Ltd. Series 2016-1A Class AR2 (U.S. SOFR 3 Month+1.28%)144A± | 6.60 | 10-13-2032 | 7,530,915 | 7,514,724 | ||
THL Credit Wind River CLO Ltd. Series 2013-2A Class AR2 (U.S. SOFR 3 Month+1.26%)144A± | 6.56 | 10-18-2030 | 10,618,661 | 10,597,954 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.04 | 1-25-2046 | 89,930 | 89,877 | ||
TRTX Issuer Ltd. Series 2022-FL5 Class A (30 Day Average U.S. SOFR+1.65%)144A± | 6.97 | 2-15-2039 | 15,000,000 | 14,812,500 | ||
U.S. Bank NA Series 2023-1 Class B144A | 6.79 | 8-25-2032 | 2,004,225 | 2,016,911 | ||
Voya CLO Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.21%)144A± | 6.53 | 4-17-2030 | 4,844,806 | 4,851,616 | ||
Zais CLO Ltd. Series 2020-14A Class A1AR (U.S. SOFR 3 Month+1.46%)144A± | 6.78 | 4-15-2032 | 7,920,242 | 7,933,995 | ||
Total asset-backed securities (Cost $276,003,749) | 271,781,371 | |||||
Corporate bonds and notes: 23.50% | ||||||
Basic materials: 0.12% | ||||||
Chemicals: 0.12% | ||||||
Celanese U.S. Holdings LLC | 6.05 | 3-15-2025 | 1,515,000 | 1,518,749 |
Interest rate | Maturity date | Principal | Value | |||
Communications: 0.78% | ||||||
Media: 0.62% | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.15 % | 11-10-2026 | $ | 8,000,000 | $8,069,924 | |
Telecommunications: 0.16% | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 2,086,562 | 2,072,474 | ||
Consumer, cyclical: 4.64% | ||||||
Airlines: 0.47% | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.144A | 4.50 | 10-20-2025 | 5,833,336 | 5,760,857 | ||
U.S. Airways Pass-Through Trust Series 2013-1 Class A | 3.95 | 11-15-2025 | 331,793 | 322,576 | ||
6,083,433 | ||||||
Apparel: 0.92% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 9,074,000 | 8,903,862 | ||
Tapestry, Inc. | 7.05 | 11-27-2025 | 3,000,000 | 3,056,009 | ||
11,959,871 | ||||||
Auto manufacturers: 2.12% | ||||||
Daimler Truck Finance North America LLC144A | 5.15 | 1-16-2026 | 7,800,000 | 7,776,087 | ||
Ford Motor Credit Co. LLC | 2.30 | 2-10-2025 | 8,000,000 | 7,738,299 | ||
General Motors Financial Co., Inc. | 5.40 | 4-6-2026 | 5,000,000 | 5,002,265 | ||
Hyundai Capital America144A | 5.25 | 1-8-2027 | 7,000,000 | 6,975,001 | ||
27,491,652 | ||||||
Lodging: 1.13% | ||||||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 14,845,000 | 14,660,404 | ||
Consumer, non-cyclical: 0.73% | ||||||
Agriculture: 0.53% | ||||||
Philip Morris International, Inc. | 4.75 | 2-12-2027 | 7,000,000 | 6,913,065 | ||
Pharmaceuticals: 0.20% | ||||||
Bayer U.S. Finance LLC144A | 6.13 | 11-21-2026 | 2,500,000 | 2,517,742 | ||
Financial: 13.70% | ||||||
Banks: 5.88% | ||||||
Bank of America Corp. (U.S. SOFR+0.65%)± | 1.53 | 12-6-2025 | 4,500,000 | 4,357,002 | ||
Citigroup, Inc. (U.S. SOFR+0.67%)± | 0.98 | 5-1-2025 | 2,000,000 | 1,982,518 | ||
Citigroup, Inc. (U.S. SOFR+0.69%)± | 6.03 | 10-30-2024 | 8,000,000 | 8,008,880 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+0.49%)± | 5.83 | 10-21-2024 | 8,000,000 | 8,003,840 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.49%)± | 0.77 | 8-9-2025 | 6,000,000 | 5,864,318 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.92%)± | 6.26 | 2-24-2026 | 5,000,000 | 5,021,100 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.54%)± | 0.82 | 6-1-2025 | 6,280,000 | 6,197,238 | ||
Morgan Stanley (U.S. SOFR+0.56%)± | 1.16 | 10-21-2025 | 8,000,000 | 7,762,972 | ||
Morgan Stanley (U.S. SOFR+1.16%)± | 3.62 | 4-17-2025 | 10,000,000 | 9,969,989 | ||
National Securities Clearing Corp.144A | 5.15 | 5-30-2025 | 4,000,000 | 4,000,413 |
Interest rate | Maturity date | Principal | Value | |||
Banks(continued) | ||||||
Santander Holdings USA, Inc. (U.S. SOFR+1.38%)± | 4.26 % | 6-9-2025 | $ | 7,900,000 | $7,843,601 | |
U.S. Bancorp (U.S. SOFR+1.88%)± | 6.79 | 10-26-2027 | 7,000,000 | 7,232,391 | ||
76,244,262 | ||||||
Insurance: 6.00% | ||||||
Allied World Assurance Co. Holdings Ltd. | 4.35 | 10-29-2025 | 4,700,000 | 4,558,435 | ||
Athene Global Funding144A | 0.91 | 8-19-2024 | 5,000,000 | 4,876,697 | ||
Brighthouse Financial Global Funding144A | 1.75 | 1-13-2025 | 11,340,000 | 10,934,330 | ||
Equitable Financial Life Global Funding144A | 5.50 | 12-2-2025 | 10,615,000 | 10,589,471 | ||
GA Global Funding Trust144A | 1.00 | 4-8-2024 | 20,775,000 | 20,660,510 | ||
Met Tower Global Funding144A | 0.70 | 4-5-2024 | 12,000,000 | 11,946,957 | ||
Principal Life Global Funding II144A | 1.38 | 1-10-2025 | 13,000,000 | 12,578,085 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 1,665,000 | 1,647,236 | ||
77,791,721 | ||||||
REITS: 1.82% | ||||||
EPR Properties | 4.75 | 12-15-2026 | 3,000,000 | 2,882,336 | ||
Omega Healthcare Investors, Inc. | 4.50 | 1-15-2025 | 3,640,000 | 3,601,998 | ||
Tanger Properties LP | 3.13 | 9-1-2026 | 6,975,000 | 6,510,111 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 10,766,000 | 10,616,719 | ||
23,611,164 | ||||||
Industrial: 1.19% | ||||||
Hand/machine tools: 0.41% | ||||||
Regal Rexnord Corp.144A | 6.05 | 2-15-2026 | 5,255,000 | 5,276,757 | ||
Trucking & leasing: 0.78% | ||||||
DAE Funding LLC144A | 1.55 | 8-1-2024 | 5,250,000 | 5,149,270 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 5.75 | 5-24-2026 | 5,000,000 | 5,025,951 | ||
10,175,221 | ||||||
Utilities: 2.34% | ||||||
Electric: 2.34% | ||||||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.99 | 5-13-2024 | 1,920,000 | 1,920,303 | ||
National Rural Utilities Cooperative Finance Corp. | 4.80 | 2-5-2027 | 7,000,000 | 6,965,112 | ||
NextEra Energy Operating Partners LP144A | 4.25 | 7-15-2024 | 2,030,000 | 2,003,513 | ||
Oncor Electric Delivery Co. LLC | 2.95 | 4-1-2025 | 5,105,000 | 4,978,854 | ||
Southern California Edison Co.%% | 5.35 | 3-1-2026 | 5,000,000 | 5,004,026 | ||
Vistra Operations Co. LLC144A | 3.55 | 7-15-2024 | 9,500,000 | 9,414,637 | ||
30,286,445 | ||||||
Total corporate bonds and notes (Cost $307,544,104) | 304,672,884 |
Shares | Value | |||||
Investment companies: 2.97% | ||||||
Exchange-traded funds: 2.97% | ||||||
iShares 0-5 Year High Yield Corporate Bond ETF | 314,900 | $13,348,611 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 847,800 | 25,196,616 | ||||
Total investment companies (Cost $39,934,659) | 38,545,227 |
Interest rate | Maturity date | Principal | ||||
Municipal obligations: 0.12% | ||||||
Indiana: 0.12% | ||||||
Education revenue: 0.12% | ||||||
Indiana Secondary Market for Education Loans, Inc. (U.S. SOFR 1 Month+0.80%)± | 6.25 % | 2-25-2044 | $ | 1,576,635 | 1,573,398 | |
Total municipal obligations (Cost $1,563,015) | 1,573,398 | |||||
Non-agency mortgage-backed securities: 13.85% | ||||||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 624,147 | 578,265 | ||
Angel Oak Mortgage Trust Series 2020-5 Class A2144A±± | 1.58 | 5-25-2065 | 498,323 | 461,382 | ||
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 1,821,070 | 1,655,400 | ||
BRAVO Residential Funding Trust Series 2020-RPL1 Class A1144A±± | 2.50 | 5-26-2059 | 700,370 | 670,207 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1144A | 2.88 | 7-25-2049 | 958,089 | 900,287 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 385,608 | 377,726 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 1A1±± | 5.26 | 6-19-2031 | 73,875 | 71,457 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1±± | 6.01 | 6-19-2031 | 46,156 | 44,564 | ||
CHNGE Mortgage Trust Series 2022-2 Class A1144A±± | 3.76 | 3-25-2067 | 11,781,680 | 10,903,574 | ||
Citigroup Global Markets Mortgage Securities VII, Inc. Series 1990-2 Class A±± | 0.20 | 11-25-2049 | 65,811 | 65,811 | ||
COLT Mortgage Loan Trust Series 2020-2 Class A1144A±± | 1.85 | 3-25-2065 | 26,554 | 26,416 | ||
COLT Mortgage Loan Trust Series 2021-HX1 Class A1144A±± | 1.11 | 10-25-2066 | 10,287,252 | 8,471,215 | ||
COLT Pass-Through Certificates Series 2021-1R Class A1144A±± | 0.86 | 5-25-2065 | 2,377,200 | 2,007,175 | ||
CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A2 | 4.14 | 8-15-2051 | 569,490 | 561,493 | ||
CSMC Trust Series 2020-AFC1 Class A3144A±± | 3.51 | 2-25-2050 | 1,362,109 | 1,248,902 | ||
CSMC Trust Series 2021-NQM2 Class A1144A±± | 1.18 | 2-25-2066 | 3,851,284 | 3,328,529 | ||
CSMC Trust Series 2022-NQM1 Class A1144A±± | 2.27 | 11-25-2066 | 5,966,385 | 5,190,098 | ||
Ellington Financial Mortgage Trust Series 2020-1 Class A1144A±± | 2.01 | 5-25-2065 | 219,339 | 211,597 | ||
Ellington Financial Mortgage Trust Series 2021-1 Class A1144A±± | 0.80 | 2-25-2066 | 562,533 | 469,030 | ||
GCAT Trust Series 2022-HX1 Class A1144A±± | 2.89 | 12-27-2066 | 13,609,238 | 12,105,561 | ||
GS Mortgage-Backed Securities Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 9-27-2060 | 952,075 | 867,809 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A144A±± | 8.00 | 9-19-2027 | 21,985 | 20,760 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 10-25-2055 | 2,120,160 | 1,898,602 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 1,771,327 | 1,498,095 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1144A±± | 1.60 | 11-25-2056 | 5,856,016 | 4,786,082 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A1144A | 4.38 | 5-25-2067 | 12,434,393 | 11,980,031 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.58 | 6-15-2035 | 3,571,081 | 3,295,589 | ||
JP Morgan Mortgage Trust Series 2019-7 Class B2A144A±± | 2.99 | 2-25-2050 | 2,239,116 | 1,856,401 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1144A±± | 3.00 | 9-25-2059 | 6,857,479 | 6,441,519 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities(continued) | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2002-3 Class 4A1±± | 4.75 % | 10-25-2032 | $ | 1,371 | $1,296 | |
Med Trust Series 2021-MDLN Class A (U.S. SOFR 1 Month+1.06%)144A± | 6.38 | 11-15-2038 | 7,961,789 | 7,902,076 | ||
MFA Trust Series 2020-NQM1 Class A1144A±± | 1.48 | 3-25-2065 | 906,984 | 842,284 | ||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 | 1-26-2065 | 927,209 | 825,705 | ||
MFA Trust Series 2021-NQM1 Class A1144A±± | 1.15 | 4-25-2065 | 2,921,232 | 2,633,292 | ||
Mill City Mortgage Loan Trust Series 2017-2 Class A1144A±± | 2.75 | 7-25-2059 | 733 | 730 | ||
Mill City Mortgage Loan Trust Series 2018-2 Class A1144A±± | 3.50 | 5-25-2058 | 425,990 | 418,734 | ||
New Residential Mortgage Loan Trust Series 2021-INV1 Class A6144A±± | 2.50 | 6-25-2051 | 5,169,136 | 4,525,795 | ||
NewRez Warehouse Securitization Trust Series 2021-1 Class A (U.S. SOFR 1 Month+0.86%)144A± | 6.19 | 5-25-2055 | 8,666,667 | 8,664,080 | ||
OBX Trust Series 2020-EXP1 Class 1A8144A±± | 3.50 | 2-25-2060 | 615,140 | 543,040 | ||
OBX Trust Series 2021-NQM3 Class A1144A±± | 1.05 | 7-25-2061 | 4,016,345 | 3,105,876 | ||
OPG Trust Series 2021-PORT Class A (U.S. SOFR 1 Month+0.60%)144A± | 5.92 | 10-15-2036 | 16,458,829 | 16,211,946 | ||
Ready Capital Mortgage Trust Series 2019-5 Class A144A | 3.78 | 2-25-2052 | 48,701 | 48,598 | ||
Residential Mortgage Loan Trust Series 2019-2 Class A1144A±± | 2.91 | 5-25-2059 | 35,975 | 35,630 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A1144A±± | 0.86 | 1-25-2065 | 1,963,402 | 1,804,531 | ||
SPGN Mortgage Trust Series 2022-TFLM Class A (U.S. SOFR 1 Month+1.55%)144A± | 6.87 | 2-15-2039 | 20,000,000 | 19,650,052 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3144A±± | 2.56 | 2-25-2050 | 2,671,154 | 2,484,737 | ||
Starwood Mortgage Residential Trust Series 2021-2 Class A1144A±± | 0.94 | 5-25-2065 | 2,130,261 | 1,917,260 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1144A±± | 2.75 | 10-25-2056 | 44,612 | 44,425 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 693,517 | 664,184 | ||
Towd Point Mortgage Trust Series 2017-6 Class A1144A±± | 2.75 | 10-25-2057 | 728,495 | 702,072 | ||
Towd Point Mortgage Trust Series 2018-2 Class A1144A±± | 3.25 | 3-25-2058 | 1,218,269 | 1,178,889 | ||
Towd Point Mortgage Trust Series 2018-3 Class A1144A±± | 3.75 | 5-25-2058 | 2,796,726 | 2,686,574 | ||
TRK Trust Series 2021-INV2 Class A1144A±± | 1.97 | 11-25-2056 | 11,198,561 | 9,336,916 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.22 | 2-15-2032 | 3,574,342 | 3,557,280 | ||
Verus Securitization Trust Series 2019-INV3 Class A1144A±± | 3.69 | 11-25-2059 | 916,804 | 883,660 | ||
Verus Securitization Trust Series 2020-2 Class A1144A±± | 2.23 | 5-25-2060 | 85,953 | 84,658 | ||
Verus Securitization Trust Series 2020-INV1 Class A1144A±± | 1.98 | 3-25-2060 | 79,626 | 78,956 | ||
Verus Securitization Trust Series 2021-1 Class A2144A±± | 1.05 | 1-25-2066 | 2,861,807 | 2,488,335 | ||
Verus Securitization Trust Series 2021-2 Class A1144A±± | 1.03 | 2-25-2066 | 1,657,005 | 1,426,754 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 2,942,268 | 2,598,395 | ||
Wilshire Funding Corp. Series 1996-3 Class M2±± | 7.56 | 8-25-2032 | 78,194 | 78,273 | ||
Wilshire Funding Corp. Series 1996-3 Class M3±± | 7.56 | 8-25-2032 | 34,896 | 34,187 | ||
Wilshire Funding Corp. Series 1998-WFC2 Class M1 (12 Month Treasury Average+2.00%)± | 7.01 | 12-28-2037 | 57,288 | 56,450 | ||
Total non-agency mortgage-backed securities (Cost $195,950,803) | 179,509,247 | |||||
U.S. Treasury securities: 5.88% | ||||||
U.S. Treasury Notes | 4.25 | 1-31-2026 | 62,580,000 | 62,113,094 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities(continued) | ||||||
U.S. Treasury Notes | 4.63 % | 2-28-2025 | $ | 4,800,000 | $4,779,938 | |
U.S. Treasury Notes | 4.63 | 3-15-2026 | 9,380,000 | 9,380,366 | ||
Total U.S. Treasury securities (Cost $76,551,184) | 76,273,398 | |||||
Yankee corporate bonds and notes: 8.33% | ||||||
Energy: 0.85% | ||||||
Oil & gas: 0.85% | ||||||
Harvest Operations Corp.144A | 1.00 | 4-26-2024 | 5,000,000 | 4,964,500 | ||
Woodside Finance Ltd.144A | 3.65 | 3-5-2025 | 6,250,000 | 6,111,695 | ||
11,076,195 | ||||||
Financial: 6.15% | ||||||
Banks: 6.15% | ||||||
Banco Santander SA | 3.89 | 5-24-2024 | 10,000,000 | 9,961,680 | ||
Banque Federative du Credit Mutuel SA144A | 4.94 | 1-26-2026 | 5,000,000 | 4,963,837 | ||
Credit Suisse AG | 3.63 | 9-9-2024 | 4,000,000 | 3,960,313 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.45%)144A± | 3.77 | 3-28-2025 | 16,850,000 | 16,817,488 | ||
Federation des Caisses Desjardins du Quebec144A | 4.40 | 8-23-2025 | 12,000,000 | 11,831,112 | ||
HSBC Holdings PLC (U.S. SOFR 3 Month+1.47%)± | 3.80 | 3-11-2025 | 10,000,000 | 9,994,974 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.08%)± | 5.72 | 2-20-2026 | 5,000,000 | 5,002,928 | ||
Sumitomo Mitsui Financial Group, Inc. | 5.46 | 1-13-2026 | 10,000,000 | 10,036,540 | ||
UBS Group AG (1 Year Treasury Constant Maturity+1.60%)144A± | 6.33 | 12-22-2027 | 7,000,000 | 7,140,806 | ||
79,709,678 | ||||||
Technology: 1.33% | ||||||
Semiconductors: 1.33% | ||||||
Renesas Electronics Corp.144A | 1.54 | 11-26-2024 | 15,670,000 | 15,155,130 | ||
SK Hynix, Inc.144A | 5.50 | 1-16-2027 | 2,035,000 | 2,032,965 | ||
17,188,095 | ||||||
Total yankee corporate bonds and notes (Cost $108,654,630) | 107,973,968 |
Yield | Shares | |||||
Short-term investments: 23.10% | ||||||
Investment companies: 5.26% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.24 | 68,220,854 | 68,220,854 |
Principal | ||||||
U.S. Treasury securities: 17.84% | ||||||
U.S. Treasury Bills☼ | 4.21 | 3-5-2024 | $ | 30,000,000 | 29,982,432 | |
U.S. Treasury Bills☼ | 4.83 | 3-12-2024 | 30,000,000 | 29,951,609 | ||
U.S. Treasury Bills☼ | 4.91 | 3-14-2024 | 25,000,000 | 24,952,392 | ||
U.S. Treasury Bills☼ | 5.03 | 3-21-2024 | 30,000,000 | 29,911,833 | ||
U.S. Treasury Bills☼ | 5.10 | 3-26-2024 | 27,000,000 | 26,900,813 | ||
U.S. Treasury Bills☼ | 5.10 | 3-28-2024 | 20,000,000 | 19,920,800 | ||
U.S. Treasury Bills☼ | 5.13 | 4-2-2024 | 20,000,000 | 19,905,778 |
Yield | Maturity date | Principal | Value | |||
U.S. Treasury securities(continued) | ||||||
U.S. Treasury Bills☼ | 5.16 % | 4-4-2024 | $ | 25,000,000 | $24,875,176 | |
U.S. Treasury Bills☼ | 5.19 | 4-11-2024 | 25,000,000 | 24,849,667 | ||
231,250,500 | ||||||
Total short-term investments (Cost $299,472,654) | 299,471,354 | |||||
Total investments in securities (Cost $1,321,245,605) | 99.92 % | 1,295,361,694 | ||||
Other assets and liabilities, net | 0.08 | 1,001,821 | ||||
Total net assets | 100.00 % | $1,296,363,515 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
‡ | Security is valued using significant unobservable inputs. |
%% | The security is purchased on a when-issued basis. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
REIT | Real estate investment trust |
RFUCCT1Y | Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year |
RFUCCT6M | Refinitiv USD IBOR Consumer Cash Fallbacks Term 6-month |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $79,386,475 | $471,750,877 | $(482,916,498 ) | $0 | $0 | $68,220,854 | 68,220,854 | $1,743,462 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Short | ||||||
10-Year U.S. Treasury Notes | (334 ) | 6-18-2024 | $(36,819,065 ) | $(36,886,125 ) | $0 | $(67,060 ) |
2-Year U.S. Treasury Notes | (107 ) | 6-28-2024 | (21,888,016 ) | (21,908,250 ) | 0 | (20,234 ) |
$0 | $(87,294 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $1,253,024,751) | $1,227,140,840 |
Investments in affiliated securities, at value (cost $68,220,854) | 68,220,854 |
Cash | 139,270 |
Cash at broker segregated for futures contracts | 2,919,000 |
Receivable for interest | 5,639,056 |
Receivable for Fund shares sold | 1,162,562 |
Principal paydown receivable | 35,280 |
Receivable for daily variation margin on open futures contracts | 836 |
Prepaid expenses and other assets | 97,036 |
Total assets | 1,305,354,734 |
Liabilities | |
Payable for when-issued transactions | 5,000,000 |
Payable for Fund shares redeemed | 2,165,876 |
Dividends payable | 1,367,189 |
Management fee payable | 123,512 |
Administration fees payable | 94,540 |
Payable for daily variation margin on open futures contracts | 31,312 |
Distribution fee payable | 2,744 |
Trustees’ fees and expenses payable | 910 |
Accrued expenses and other liabilities | 205,136 |
Total liabilities | 8,991,219 |
Total net assets | $1,296,363,515 |
Net assets consist of | |
Paid-in capital | $1,346,753,388 |
Total distributable loss | (50,389,873 ) |
Total net assets | $1,296,363,515 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $176,110,807 |
Shares outstanding–Class A1 | 20,258,874 |
Net asset value per share–Class A | $8.69 |
Maximum offering price per share – Class A2 | $8.87 |
Net assets–Class A2 | $47,400,482 |
Shares outstanding–Class A21 | 5,456,431 |
Net asset value per share–Class A2 | $8.69 |
Net assets–Class C | $4,463,277 |
Shares outstanding–Class C1 | 514,037 |
Net asset value per share–Class C | $8.68 |
Net assets–Administrator Class | $9,993,912 |
Shares outstanding–Administrator Class1 | 1,154,954 |
Net asset value per share–Administrator Class | $8.65 |
Net assets–Institutional Class | $1,058,395,037 |
Shares outstanding–Institutional Class1 | 121,836,581 |
Net asset value per share–Institutional Class | $8.69 |
Investment income | |
Interest | $24,441,152 |
Income from affiliated securities | 1,743,462 |
Dividends | 1,014,524 |
Total investment income | 27,199,138 |
Expenses | |
Management fee | 1,607,596 |
Administration fees | |
Class A | 127,895 |
Class A2 | 35,074 |
Class C | 3,220 |
Administrator Class | 5,435 |
Institutional Class | 434,406 |
Shareholder servicing fees | |
Class A | 212,942 |
Class A2 | 35,074 |
Class C | 5,362 |
Administrator Class | 13,447 |
Distribution fee | |
Class C | 16,086 |
Custody and accounting fees | 26,708 |
Professional fees | 51,192 |
Registration fees | 70,057 |
Shareholder report expenses | 30,497 |
Trustees’ fees and expenses | 11,935 |
Other fees and expenses | 24,414 |
Total expenses | 2,711,340 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (705,515 ) |
Class A | (56,720 ) |
Class A2 | (15,586 ) |
Class C | (1,413 ) |
Administrator Class | (729 ) |
Net expenses | 1,931,377 |
Net investment income | 25,267,761 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | $(1,138,336 ) |
Futures contracts | 689,559 |
Net realized losses on investments | (448,777 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 20,210,495 |
Futures contracts | 235,728 |
Net change in unrealized gains (losses) on investments | 20,446,223 |
Net realized and unrealized gains (losses) on investments | 19,997,446 |
Net increase in net assets resulting from operations | $45,265,207 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31, 2023 | |||
Operations | ||||
Net investment income | $25,267,761 | $47,505,706 | ||
Net realized gains (losses) on investments | (448,777 ) | 2,134,222 | ||
Net change in unrealized gains (losses) on investments | 20,446,223 | 22,783,560 | ||
Net increase in net assets resulting from operations | 45,265,207 | 72,423,488 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (3,090,926 ) | (5,093,296 ) | ||
Class A2 | (871,226 ) | (1,605,528 ) | ||
Class C | (62,066 ) | (83,726 ) | ||
Administrator Class | (195,213 ) | (352,925 ) | ||
Institutional Class | (20,956,714 ) | (40,162,958 ) | ||
Total distributions to shareholders | (25,176,145 ) | (47,298,433 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,245,878 | 10,795,040 | 2,254,764 | 18,983,214 |
Class A2 | 1,716,264 | 14,782,884 | 1,495,986 | 12,666,422 |
Class C | 121,432 | 1,046,076 | 107,180 | 903,269 |
Administrator Class | 56,667 | 488,712 | 529,764 | 4,449,222 |
Institutional Class | 23,208,473 | 199,870,471 | 70,983,692 | 599,098,072 |
226,983,183 | 636,100,199 | |||
Reinvestment of distributions | ||||
Class A | 327,161 | 2,825,779 | 545,169 | 4,611,755 |
Class A2 | 101,084 | 871,226 | 190,063 | 1,605,182 |
Class C | 6,273 | 54,145 | 8,552 | 72,295 |
Administrator Class | 22,680 | 194,929 | 41,646 | 350,886 |
Institutional Class | 1,520,514 | 13,122,511 | 2,820,264 | 23,841,917 |
17,068,590 | 30,482,035 | |||
Payment for shares redeemed | ||||
Class A | (1,718,739 ) | (14,802,893 ) | (11,516,526 ) | (96,944,926 ) |
Class A2 | (2,020,150 ) | (17,387,906 ) | (7,914,549 ) | (66,487,856 ) |
Class C | (92,059 ) | (794,041 ) | (258,669 ) | (2,177,878 ) |
Administrator Class | (413,249 ) | (3,536,982 ) | (843,293 ) | (7,086,213 ) |
Institutional Class | (41,909,820 ) | (360,249,144 ) | (155,827,769 ) | (1,312,343,086 ) |
(396,770,966 ) | (1,485,039,959 ) | |||
Net decrease in net assets resulting from capital share transactions | (152,719,193 ) | (818,457,725 ) | ||
Total decrease in net assets | (132,630,131 ) | (793,332,670 ) | ||
Net assets | ||||
Beginning of period | 1,428,993,646 | 2,222,326,316 | ||
End of period | $1,296,363,515 | $1,428,993,646 |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.56 | $8.41 | $8.61 | $8.60 | $8.54 | $8.46 |
Net investment income | 0.16 1 | 0.22 | 0.07 | 0.07 | 0.16 | 0.17 1 |
Net realized and unrealized gains (losses) on investments | 0.13 | 0.15 | (0.20 ) | 0.01 | 0.06 | 0.08 |
Total from investment operations | 0.29 | 0.37 | (0.13 ) | 0.08 | 0.22 | 0.25 |
Distributions to shareholders from | ||||||
Net investment income | (0.16 ) | (0.22 ) | (0.07 ) | (0.07 ) | (0.16 ) | (0.17 ) |
Net asset value, end of period | $8.69 | $8.56 | $8.41 | $8.61 | $8.60 | $8.54 |
Total return2 | 3.36 % | 4.50 % | (1.51 )% | 0.99 % | 2.62 % | 3.04 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.68 % | 0.68 % | 0.65 % | 0.66 % | 0.77 % | 0.80 % |
Net expenses | 0.50 % | 0.50 % | 0.49 % | 0.49 % | 0.64 % | 0.70 % |
Net investment income | 3.63 % | 2.61 % | 0.79 % | 0.84 % | 1.92 % | 2.05 % |
Supplemental data | ||||||
Portfolio turnover rate | 14 % | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $176,111 | $174,660 | $244,894 | $287,697 | $232,660 | $215,503 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | ||||
Class A2 | 2023 | 2022 | 2021 | 20201 | |
Net asset value, beginning of period | $8.55 | $8.40 | $8.60 | $8.59 | $8.52 |
Net investment income | 0.16 2 | 0.23 | 0.07 | 0.07 | 0.03 |
Net realized and unrealized gains (losses) on investments | 0.14 | 0.15 | (0.20 ) | 0.01 | 0.07 |
Total from investment operations | 0.30 | 0.38 | (0.13 ) | 0.08 | 0.10 |
Distributions to shareholders from | |||||
Net investment income | (0.16 ) | (0.23 ) | (0.07 ) | (0.07 ) | (0.03 ) |
Net asset value, end of period | $8.69 | $8.55 | $8.40 | $8.60 | $8.59 |
Total return3 | 3.53 % | 4.61 % | (1.49 )% | 0.97 % | 1.22 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.58 % | 0.58 % | 0.62 % | 0.65 % | 0.66 % |
Net expenses | 0.40 % | 0.40 % | 0.47 % | 0.50 % | 0.50 % |
Net investment income | 3.74 % | 2.63 % | 0.75 % | 0.73 % | 1.38 % |
Supplemental data | |||||
Portfolio turnover rate | 14 % | 25 % | 77 % | 106 % | 68 % |
Net assets, end of period (000s omitted) | $47,400 | $48,414 | $99,902 | $181,131 | $29,971 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Net investment income | 0.12 1 | 0.15 | 0.01 | 0.01 1 | 0.10 | 0.11 |
Net realized and unrealized gains (losses) on investments | 0.13 | 0.16 | (0.19 ) | 0.01 | 0.05 | 0.08 |
Total from investment operations | 0.25 | 0.31 | (0.18 ) | 0.02 | 0.15 | 0.19 |
Distributions to shareholders from | ||||||
Net investment income | (0.12 ) | (0.16 ) | (0.02 ) | (0.01 ) | (0.10 ) | (0.11 ) |
Net asset value, end of period | $8.68 | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 |
Total return2 | 2.98 % | 3.72 % | (2.13 )% | 0.28 % | 1.73 % | 2.27 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.43 % | 1.43 % | 1.38 % | 1.40 % | 1.51 % | 1.55 % |
Net expenses | 1.25 % | 1.25 % | 1.11 %* | 1.19 %* | 1.40 % | 1.45 % |
Net investment income | 2.89 % | 1.86 % | 0.18 % | 0.13 % | 1.16 % | 1.31 % |
Supplemental data | ||||||
Portfolio turnover rate | 14 % | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $4,463 | $4,090 | $5,219 | $6,230 | $5,187 | $5,257 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Year ended August 31, 2022 | 0.14% |
Year ended August 31, 2021 | 0.06% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.52 | $8.37 | $8.57 | $8.56 | $8.51 | $8.43 |
Net investment income | 0.15 1 | 0.21 | 0.07 1 | 0.07 1 | 0.17 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | 0.13 | 0.16 | (0.20 ) | 0.01 | 0.05 | 0.08 |
Total from investment operations | 0.28 | 0.37 | (0.13 ) | 0.08 | 0.22 | 0.27 |
Distributions to shareholders from | ||||||
Net investment income | (0.15 ) | (0.22 ) | (0.07 ) | (0.07 ) | (0.17 ) | (0.19 ) |
Net asset value, end of period | $8.65 | $8.52 | $8.37 | $8.57 | $8.56 | $8.51 |
Total return2 | 3.37 % | 4.51 % | (1.53 )% | 0.98 % | 2.61 % | 3.19 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.62 % | 0.62 % | 0.59 % | 0.60 % | 0.71 % | 0.74 % |
Net expenses | 0.50 % | 0.50 % | 0.50 % | 0.50 % | 0.54 % | 0.55 % |
Net investment income | 3.61 % | 2.64 % | 0.77 % | 0.82 % | 2.03 % | 2.20 % |
Supplemental data | ||||||
Portfolio turnover rate | 14 % | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $9,994 | $12,686 | $14,740 | $21,336 | $15,359 | $13,748 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Six months ended February 29, 2024 (unaudited) | Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Net investment income | 0.17 1 | 0.24 | 0.09 | 0.09 | 0.19 | 0.20 |
Net realized and unrealized gains (losses) on investments | 0.14 | 0.15 | (0.20 ) | 0.02 | 0.05 | 0.08 |
Total from investment operations | 0.31 | 0.39 | (0.11 ) | 0.11 | 0.24 | 0.28 |
Distributions to shareholders from | ||||||
Net investment income | (0.17 ) | (0.24 ) | (0.09 ) | (0.10 ) | (0.19 ) | (0.20 ) |
Net asset value, end of period | $8.69 | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 |
Total return2 | 3.61 % | 4.76 % | (1.28 )% | 1.23 % | 2.83 % | 3.40 % |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.36 % | 0.35 % | 0.32 % | 0.33 % | 0.44 % | 0.47 % |
Net expenses | 0.25 % | 0.25 % | 0.25 % | 0.25 % | 0.32 % | 0.35 % |
Net investment income | 3.87 % | 2.83 % | 1.01 % | 1.03 % | 2.25 % | 2.41 % |
Supplemental data | ||||||
Portfolio turnover rate | 14 % | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $1,058,395 | $1,189,143 | $1,857,572 | $2,706,735 | $1,004,777 | $836,456 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $1,458,528 |
Gross unrealized losses | (27,106,711 ) |
Net unrealized losses | $(25,648,183 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $15,560,847 | $0 | $15,560,847 |
Asset-backed securities | 0 | 268,959,894 | 2,821,477 | 271,781,371 |
Corporate bonds and notes | 0 | 304,672,884 | 0 | 304,672,884 |
Investment companies | 38,545,227 | 0 | 0 | 38,545,227 |
Municipal obligations | 0 | 1,573,398 | 0 | 1,573,398 |
Non-agency mortgage-backed securities | 0 | 179,509,247 | 0 | 179,509,247 |
U.S. Treasury securities | 76,273,398 | 0 | 0 | 76,273,398 |
Yankee corporate bonds and notes | 0 | 107,973,968 | 0 | 107,973,968 |
Short-term investments | ||||
Investment companies | 68,220,854 | 0 | 0 | 68,220,854 |
U.S. Treasury securities | 231,250,500 | 0 | 0 | 231,250,500 |
Total assets | $414,289,979 | $878,250,238 | $2,821,477 | $1,295,361,694 |
Liabilities | ||||
Futures contracts | $87,294 | $0 | $0 | $87,294 |
Total liabilities | $87,294 | $0 | $0 | $87,294 |
Average daily net assets | Management fee |
First $1 billion | 0.250 % |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A | 0.15 % |
Class A2 | 0.15 |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.50 % |
Class A2 | 0.40 |
Class C | 1.25 |
Administrator Class | 0.50 |
Institutional Class | 0.25 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$62,175,101 | $87,149,465 | $27,231,530 | $306,625,358 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Serves on the Investment Company Institute’s Board of Governors since 2022 and Executive Committee since 2023 as well as the Vice Chairman of the Governing Council of the Independent Directors Council since 2023. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since January 2018# | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019# | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
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SAR3006 02-24
ITEM 2. CODE OF ETHICS
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. INVESTMENTS
A Portfolio of Investments for the series of Allspring Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The President and Treasurer have concluded that the Allspring Funds Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13. EXHIBITS
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 25, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 25, 2024 | ||
By: | /s/Jeremy DePalma | |
Jeremy DePalma | ||
Treasurer | ||
Date: April 25, 2024 |