American Century Investments®
Quarterly Portfolio Holdings
VP Inflation Protection Fund
September 30, 2021
VP Inflation Protection - Schedule of Investments | ||
SEPTEMBER 30, 2021 (UNAUDITED) |
Shares/ Principal Amount ($) | Value ($) | |||||||
U.S. TREASURY SECURITIES — 54.2% | ||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26(1) | 15,992,822 | 18,657,765 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 6,070,215 | 7,388,189 | ||||||
U.S. Treasury Inflation Indexed Bonds, 1.75%, 1/15/28 | 10,237,468 | 12,325,351 | ||||||
U.S. Treasury Inflation Indexed Bonds, 3.625%, 4/15/28 | 3,706,650 | 4,958,389 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 3,782,891 | 4,848,269 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/40 | 3,410,343 | 5,081,682 | ||||||
U.S. Treasury Inflation Indexed Bonds, 2.125%, 2/15/41 | 3,161,479 | 4,765,973 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 18,951,668 | 23,115,161 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 17,313,917 | 20,657,931 | ||||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 12,533,873 | 17,235,249 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 15,940,925 | 19,636,952 | ||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/46 | 230,436 | 300,526 | ||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/48 | 1,107,080 | 1,471,418 | ||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/49 | 216,982 | 291,252 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.25%, 2/15/50 | 9,588,776 | 10,824,890 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.125%, 2/15/51 | 4,980,803 | 5,471,092 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/25 | 2,642,300 | 2,835,600 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/25(1) | 10,591,132 | 11,561,004 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 10/15/25 | 10,784,640 | 11,673,925 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 20,853,443 | 23,026,022 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/26 | 24,203,250 | 26,212,298 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 8,541,975 | 9,322,473 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 1/15/27 | 1,130,170 | 1,248,364 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/27 | 13,559,886 | 15,092,504 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 17,210,274 | 19,279,256 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.75%, 7/15/28 | 706,934 | 809,935 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 7/15/29 | 13,127,544 | 14,615,231 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/30 | 23,874,750 | 26,249,486 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/30 | 15,971,850 | 17,628,619 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/31 | 56,527,086 | 62,093,902 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/31 | 5,092,950 | 5,613,370 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $365,510,252) | 404,292,078 | |||||||
CORPORATE BONDS — 11.8% | ||||||||
Aerospace and Defense — 0.1% | ||||||||
Raytheon Technologies Corp., 4.125%, 11/16/28 | 720,000 | 819,995 | ||||||
Automobiles — 0.3% | ||||||||
Ford Motor Credit Co. LLC, MTN, 4.39%, 1/8/26 | 470,000 | 501,725 | ||||||
General Motors Co., 5.15%, 4/1/38 | 1,140,000 | 1,361,989 | ||||||
1,863,714 | ||||||||
Banks — 2.2% | ||||||||
Banco Santander SA, 2.96%, 3/25/31 | 1,000,000 | 1,029,429 | ||||||
Bank of America Corp., MTN, VRN, 2.68%, 6/19/41 | 1,480,000 | 1,430,316 | ||||||
Bank of America Corp., VRN, 3.42%, 12/20/28 | 395,000 | 428,399 | ||||||
Bank of America Corp., VRN, 2.48%, 9/21/36 | 500,000 | 490,340 | ||||||
Bank of Ireland Group plc, VRN, 2.03%, 9/30/27(2) | 577,000 | 577,312 | ||||||
BNP Paribas SA, VRN, 4.375%, 3/1/33(2) | 2,005,000 | 2,199,668 | ||||||
Citigroup, Inc., VRN, 1.46%, 6/9/27 | 990,000 | 984,754 | ||||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | 1,013,000 | 1,102,276 |
Commonwealth Bank of Australia, VRN, 3.61%, 9/12/34(2) | 770,000 | 817,065 | ||||||
DNB Bank ASA, VRN, 1.61%, 3/30/28(2) | 446,000 | 443,979 | ||||||
HSBC Holdings plc, VRN, 2.80%, 5/24/32 | 440,000 | 446,240 | ||||||
JPMorgan Chase & Co., VRN, 1.58%, 4/22/27 | 485,000 | 486,278 | ||||||
JPMorgan Chase & Co., VRN, 2.07%, 6/1/29 | 1,740,000 | 1,744,983 | ||||||
JPMorgan Chase & Co., VRN, 3.16%, 4/22/42 | 1,175,000 | 1,221,160 | ||||||
National Australia Bank Ltd., 2.99%, 5/21/31(2) | 860,000 | 870,895 | ||||||
Truist Financial Corp., MTN, VRN, 1.89%, 6/7/29 | 330,000 | 329,977 | ||||||
Wells Fargo & Co., MTN, VRN, 2.16%, 2/11/26 | 1,910,000 | 1,970,915 | ||||||
16,573,986 | ||||||||
Biotechnology — 0.1% | ||||||||
AbbVie, Inc., 4.45%, 5/14/46 | 590,000 | 711,943 | ||||||
Gilead Sciences, Inc., 3.65%, 3/1/26 | 300,000 | 328,957 | ||||||
1,040,900 | ||||||||
Capital Markets — 2.0% | ||||||||
Blackstone Holdings Finance Co. LLC, 1.625%, 8/5/28(2) | 1,155,000 | 1,129,425 | ||||||
Blue Owl Finance LLC, 3.125%, 6/10/31(2) | 521,000 | 515,686 | ||||||
Blue Owl Finance LLC, 4.125%, 10/7/51(2)(3) | 767,000 | 752,427 | ||||||
FS KKR Capital Corp., 4.25%, 2/14/25(2) | 641,000 | 677,375 | ||||||
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | 1,410,000 | 1,562,226 | ||||||
Goldman Sachs Group, Inc. (The), VRN, 2.91%, 7/21/42 | 895,000 | 883,614 | ||||||
Golub Capital BDC, Inc., 2.05%, 2/15/27 | 465,000 | 457,873 | ||||||
Hercules Capital, Inc., 2.625%, 9/16/26 | 598,000 | 598,140 | ||||||
Main Street Capital Corp., 3.00%, 7/14/26 | 760,000 | 775,654 | ||||||
Morgan Stanley, MTN, VRN, 0.53%, 1/25/24 | 2,305,000 | 2,307,136 | ||||||
Morgan Stanley, MTN, VRN, 2.24%, 7/21/32 | 180,000 | 177,014 | ||||||
Morgan Stanley, VRN, 1.59%, 5/4/27 | 1,938,000 | 1,944,896 | ||||||
Morgan Stanley, VRN, 2.48%, 9/16/36 | 903,000 | 884,269 | ||||||
Prospect Capital Corp., 3.71%, 1/22/26 | 745,000 | 767,888 | ||||||
Prospect Capital Corp., 3.44%, 10/15/28 | 720,000 | 700,812 | ||||||
UBS Group AG, VRN, 1.49%, 8/10/27(2) | 1,080,000 | 1,068,156 | ||||||
15,202,591 | ||||||||
Diversified Financial Services — 0.1% | ||||||||
Blackstone Private Credit Fund, 1.75%, 9/15/24(2) | 338,000 | 337,670 | ||||||
Block Financial LLC, 2.50%, 7/15/28 | 430,000 | 436,460 | ||||||
774,130 | ||||||||
Diversified Telecommunication Services — 1.1% | ||||||||
AT&T, Inc., 2.55%, 12/1/33 | 1,140,000 | 1,122,583 | ||||||
AT&T, Inc., 3.55%, 9/15/55 | 1,011,000 | 999,029 | ||||||
British Telecommunications plc, 3.25%, 11/8/29(2) | 1,430,000 | 1,497,053 | ||||||
Telefonica Emisiones SA, 4.90%, 3/6/48 | 1,275,000 | 1,535,692 | ||||||
Verizon Communications, Inc., 4.33%, 9/21/28 | 936,000 | 1,076,873 | ||||||
Verizon Communications, Inc., 1.75%, 1/20/31 | 725,000 | 689,624 | ||||||
Verizon Communications, Inc., 2.65%, 11/20/40 | 622,000 | 585,224 | ||||||
Verizon Communications, Inc., 2.99%, 10/30/56 | 485,000 | 448,926 | ||||||
7,955,004 | ||||||||
Electric Utilities — 0.3% | ||||||||
Duke Energy Florida LLC, 1.75%, 6/15/30 | 610,000 | 592,212 | ||||||
Duke Energy Progress LLC, 2.00%, 8/15/31 | 1,220,000 | 1,199,482 | ||||||
NextEra Energy Capital Holdings, Inc., 3.55%, 5/1/27 | 400,000 | 439,100 | ||||||
Southern Co. Gas Capital Corp., 3.95%, 10/1/46 | 300,000 | 333,437 | ||||||
2,564,231 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% | ||||||||
Broadstone Net Lease LLC, 2.60%, 9/15/31 | 375,000 | 370,837 | ||||||
Crown Castle International Corp., 3.80%, 2/15/28 | 1,122,000 | 1,234,865 |
Lexington Realty Trust, 2.375%, 10/1/31 | 975,000 | 946,539 | ||||||
Life Storage LP, 2.40%, 10/15/31(3) | 961,000 | 952,479 | ||||||
National Retail Properties, Inc., 3.00%, 4/15/52 | 2,000,000 | 1,897,451 | ||||||
Office Properties Income Trust, 2.40%, 2/1/27 | 608,000 | 601,228 | ||||||
Phillips Edison Grocery Center Operating Partnership I LP, 2.625%, 11/15/31(3) | 367,000 | 363,352 | ||||||
Piedmont Operating Partnership LP, 2.75%, 4/1/32 | 650,000 | 639,686 | ||||||
Rexford Industrial Realty LP, 2.15%, 9/1/31 | 513,000 | 494,988 | ||||||
Simon Property Group LP, 2.25%, 1/15/32 | 925,000 | 904,824 | ||||||
Sun Communities Operating LP, 2.30%, 11/1/28(3) | 531,000 | 532,313 | ||||||
8,938,562 | ||||||||
Food and Staples Retailing — 0.1% | ||||||||
Kroger Co. (The), 3.875%, 10/15/46 | 600,000 | 665,307 | ||||||
Food Products† | ||||||||
Mondelez International, Inc., 2.75%, 4/13/30 | 237,000 | 248,159 | ||||||
Health Care Providers and Services — 0.2% | ||||||||
Cigna Corp., 4.90%, 12/15/48 | 300,000 | 384,026 | ||||||
CVS Health Corp., 4.78%, 3/25/38 | 260,000 | 319,104 | ||||||
Duke University Health System, Inc., 3.92%, 6/1/47 | 467,000 | 551,598 | ||||||
1,254,728 | ||||||||
Industrial Conglomerates — 0.2% | ||||||||
General Electric Co., 4.35%, 5/1/50 | 460,000 | 556,228 | ||||||
Honeywell International, Inc., 1.75%, 9/1/31 | 906,000 | 883,735 | ||||||
1,439,963 | ||||||||
Insurance — 1.0% | ||||||||
American International Group, Inc., 4.50%, 7/16/44 | 680,000 | 831,323 | ||||||
Assured Guaranty US Holdings, Inc., 3.60%, 9/15/51 | 710,000 | 723,529 | ||||||
Athene Global Funding, 1.99%, 8/19/28(2) | 1,297,000 | 1,281,434 | ||||||
Athene Global Funding, 2.67%, 6/7/31(2) | 1,395,000 | 1,407,799 | ||||||
Brighthouse Financial Global Funding, 2.00%, 6/28/28(2) | 1,061,000 | 1,057,429 | ||||||
Global Atlantic Fin Co., 3.125%, 6/15/31(2) | 395,000 | 399,549 | ||||||
Sammons Financial Group, Inc., 3.35%, 4/16/31(2) | 1,095,000 | 1,138,999 | ||||||
SBL Holdings, Inc., 5.125%, 11/13/26(2) | 540,000 | 599,896 | ||||||
7,439,958 | ||||||||
Internet and Direct Marketing Retail — 0.2% | ||||||||
Amazon.com, Inc., 2.875%, 5/12/41 | 1,340,000 | 1,383,944 | ||||||
Media — 0.7% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.50%, 6/1/41 | 820,000 | 806,374 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, 10/23/45 | 960,000 | 1,307,317 | ||||||
Comcast Corp., 3.75%, 4/1/40 | 200,000 | 224,950 | ||||||
Cox Communications, Inc., 2.60%, 6/15/31(2) | 453,000 | 458,845 | ||||||
Discovery Communications LLC, 4.65%, 5/15/50 | 430,000 | 499,296 | ||||||
Time Warner Cable LLC, 4.50%, 9/15/42 | 1,155,000 | 1,266,071 | ||||||
ViacomCBS, Inc., 4.375%, 3/15/43 | 530,000 | 607,423 | ||||||
5,170,276 | ||||||||
Multi-Utilities — 0.3% | ||||||||
CenterPoint Energy, Inc., 2.65%, 6/1/31 | 560,000 | 572,487 | ||||||
Dominion Energy, Inc., 2.25%, 8/15/31 | 480,000 | 478,880 | ||||||
Dominion Energy, Inc., 4.90%, 8/1/41 | 550,000 | 686,082 | ||||||
Sempra Energy, 3.25%, 6/15/27 | 350,000 | 379,381 | ||||||
2,116,830 | ||||||||
Oil, Gas and Consumable Fuels — 0.4% | ||||||||
Chevron Corp., 2.00%, 5/11/27 | 390,000 | 402,519 | ||||||
Enterprise Products Operating LLC, 4.85%, 3/15/44 | 250,000 | 301,174 | ||||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 331,000 | 335,551 | ||||||
Petroleos Mexicanos, 4.875%, 1/18/24 | 700,000 | 729,428 |
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 950,000 | 1,078,589 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 400,000 | 427,869 | ||||||
3,275,130 | ||||||||
Pharmaceuticals† | ||||||||
Viatris, Inc., 4.00%, 6/22/50(2) | 215,000 | 228,986 | ||||||
Road and Rail† | ||||||||
DAE Funding LLC, 1.55%, 8/1/24(2) | 245,000 | 243,067 | ||||||
Semiconductors and Semiconductor Equipment — 0.3% | ||||||||
Intel Corp., 2.80%, 8/12/41 | 990,000 | 987,978 | ||||||
Qorvo, Inc., 4.375%, 10/15/29 | 735,000 | 802,069 | ||||||
Qorvo, Inc., 3.375%, 4/1/31(2) | 370,000 | 390,591 | ||||||
2,180,638 | ||||||||
Software — 0.2% | ||||||||
Oracle Corp., 3.60%, 4/1/40 | 1,075,000 | 1,116,512 | ||||||
Specialty Retail — 0.1% | ||||||||
AutoNation, Inc., 1.95%, 8/1/28 | 600,000 | 592,163 | ||||||
Technology Hardware, Storage and Peripherals — 0.4% | ||||||||
Apple, Inc., 2.65%, 2/8/51 | 375,000 | 359,277 | ||||||
Dell International LLC / EMC Corp., 4.90%, 10/1/26 | 1,305,000 | 1,504,261 | ||||||
HP, Inc., 2.65%, 6/17/31(2) | 940,000 | 931,425 | ||||||
2,794,963 | ||||||||
Thrifts and Mortgage Finance — 0.1% | ||||||||
Nationwide Building Society, VRN, 4.125%, 10/18/32(2) | 980,000 | 1,071,562 | ||||||
Water Utilities — 0.1% | ||||||||
Essential Utilities, Inc., 2.70%, 4/15/30 | 560,000 | 578,501 | ||||||
Wireless Telecommunication Services — 0.1% | ||||||||
T-Mobile USA, Inc., 3.40%, 10/15/52(2) | 775,000 | 757,390 | ||||||
TOTAL CORPORATE BONDS (Cost $87,293,742) | 88,291,190 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 9.5% | ||||||||
Private Sponsor Collateralized Mortgage Obligations — 7.8% | ||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 24,198 | 24,754 | ||||||
Agate Bay Mortgage Loan Trust, Series 2014-3, Class A2, VRN, 3.50%, 11/25/44(2) | 202,795 | 204,590 | ||||||
Agate Bay Mortgage Loan Trust, Series 2015-7, Class A3, VRN, 3.50%, 10/25/45(2) | 246,230 | 248,712 | ||||||
Agate Bay Mortgage Loan Trust, Series 2016-1, Class A3, VRN, 3.50%, 12/25/45(2) | 335,888 | 340,031 | ||||||
Angel Oak Mortgage Trust, Series 2019-4, Class A3 SEQ, VRN, 3.30%, 7/26/49(2) | 357,931 | 360,974 | ||||||
Angel Oak Mortgage Trust, Series 2019-5, Class A3, VRN, 2.92%, 10/25/49(2) | 944,838 | 945,800 | ||||||
Angel Oak Mortgage Trust, Series 2019-6, Class A3 SEQ, VRN, 2.93%, 11/25/59(2) | 973,912 | 977,465 | ||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A2 SEQ, VRN, 1.48%, 10/25/48(2) | 822,088 | 823,700 | ||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A3 SEQ, VRN, 1.64%, 10/25/48(2) | 670,651 | 670,785 | ||||||
Bellemeade Re Ltd., Series 2021-2A, Class M1C, VRN, 1.90%, (SOFR plus 1.85%), 6/25/31(2) | 3,200,000 | 3,212,318 | ||||||
Bellemeade Re Ltd., Series 2021-3A, Class M1A, VRN, 1.05%, (SOFR plus 1.00%), 9/25/31(2) | 2,250,000 | 2,251,758 | ||||||
Cendant Mort Capital LLC, Series 2003-6, Class A3, 5.25%, 7/25/33 | 169,877 | 175,372 | ||||||
Chase Mortgage Finance Corp., Series 2021-CL1, Class M1, VRN, 1.25%, (SOFR plus 1.20%), 2/25/50(2) | 870,107 | 872,355 | ||||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1, VRN, 2.72%, 7/25/49(2) | 635,179 | 641,147 | ||||||
COLT Mortgage Loan Trust, Series 2021-HX1, Class A3, VRN, 1.45%, 10/25/66(2) | 4,075,000 | 4,076,688 | ||||||
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10, VRN, 3.50%, 12/25/44(2) | 434,701 | 441,504 | ||||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3 SEQ, VRN, 1.54%, 2/25/66(2) | 797,711 | 798,005 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3, VRN, 1.55%, 8/25/66(2) | 2,050,000 | 2,049,982 | ||||||
Farm Mortgage Trust, Series 2021-1, Class A, VRN, 2.18%, 1/25/51(2)(3) | 3,630,000 | 3,628,520 | ||||||
GCAT Trust, Series 2019-NQM1, Class A3 SEQ, 3.40%, 2/25/59(2) | 1,083,500 | 1,087,672 | ||||||
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3 SEQ, VRN, 1.62%, 6/25/56(2) | 814,442 | 814,737 | ||||||
JP Morgan Mortgage Trust, Series 2013-1, Class 2A2 SEQ, VRN, 2.50%, 3/25/43(2) | 472,313 | 477,484 | ||||||
JP Morgan Mortgage Trust, Series 2014-5, Class A1, VRN, 2.89%, 10/25/29(2) | 1,049,427 | 1,077,968 | ||||||
JP Morgan Mortgage Trust, Series 2016-1, Class A7 SEQ, VRN, 3.50%, 5/25/46(2) | 2,036,716 | 2,079,903 |
JP Morgan Mortgage Trust, Series 2017-1, Class A2, VRN, 3.48%, 1/25/47(2) | 889,314 | 901,940 | ||||||
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 SEQ, VRN, 2.89%, 5/24/60(2) | 2,090,000 | 2,145,406 | ||||||
Sequoia Mortgage Trust, Series 2017-7, Class A7 SEQ, VRN, 3.50%, 10/25/47(2) | 1,298,077 | 1,318,220 | ||||||
Sequoia Mortgage Trust, Series 2019-4, Class A7 SEQ, VRN, 3.50%, 11/25/49(2) | 6,132,083 | 6,265,976 | ||||||
Sequoia Mortgage Trust, Series 2021-5, Class A4 SEQ, VRN, 2.50%, 7/25/51(2) | 2,890,706 | 2,947,241 | ||||||
SG Residential Mortgage Trust, Series 2021-1, Class A3 SEQ, VRN, 1.56%, 7/25/61(2) | 1,738,761 | 1,737,075 | ||||||
STAR Trust, Series 2021-1, Class A1 SEQ, VRN, 1.22%, 5/25/65(2) | 2,544,561 | 2,551,817 | ||||||
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E, VRN, 3.00%, 4/25/60(2) | 3,765,000 | 3,763,583 | ||||||
Verus Securitization Trust, Series 2019-4, Class A3, 3.00%, 11/25/59(2) | 1,760,195 | 1,786,605 | ||||||
Verus Securitization Trust, Series 2020-1, Class A3 SEQ, VRN, 2.72%, 1/25/60(2) | 1,187,251 | 1,201,410 | ||||||
Verus Securitization Trust, Series 2021-1, Class A3, VRN, 1.16%, 1/25/66(2) | 2,126,546 | 2,124,311 | ||||||
Verus Securitization Trust, Series 2021-5, Class A3, VRN, 1.37%, 9/25/66(2) | 2,000,000 | 2,001,117 | ||||||
Vista Point Securitization Trust, Series 2020-2, Class A3, VRN, 2.50%, 4/25/65(2) | 1,218,326 | 1,230,199 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 105,310 | 109,455 | ||||||
58,366,579 | ||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 1.7% | ||||||||
FHLMC, Series K088, Class A2 SEQ, 3.69%, 1/25/29 | 5,000,000 | 5,735,529 | ||||||
FHLMC, Series K108, Class A2 SEQ, 1.52%, 3/25/30 | 6,000,000 | 5,976,744 | ||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 2.69%, (1-month LIBOR plus 2.60%), 5/25/24 | 760,568 | 769,914 | ||||||
12,482,187 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $70,584,303) | 70,848,766 | |||||||
ASSET-BACKED SECURITIES — 7.8% | ||||||||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B, 2.48%, 8/15/46(2) | 3,600,000 | 3,627,109 | ||||||
Blackbird Capital Aircraft, Series 2021-1A, Class A SEQ, 2.44%, 7/15/46(2) | 1,385,417 | 1,390,464 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(2) | 342,370 | 350,357 | ||||||
Capital Automotive REIT, Series 2021-1A, Class A4 SEQ, 2.76%, 8/15/51(2) | 1,500,000 | 1,469,297 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.97%, 10/19/37(2) | 1,900,000 | 1,894,576 | ||||||
Global SC Finance SRL, Series 2021-2A, Class A SEQ, 1.95%, 8/17/41(2) | 2,330,168 | 2,336,977 | ||||||
Global SC Finance VII Srl, Series 2020-1A, Class A SEQ, 2.17%, 10/17/40(2) | 1,595,310 | 1,617,478 | ||||||
Goodgreen Trust, Series 2020-1A, Class A SEQ, 2.63%, 4/15/55(2) | 1,390,812 | 1,416,425 | ||||||
Goodgreen Trust, Series 2021-1A, Class A SEQ, 2.66%, 10/15/56(2) | 846,695 | 855,971 | ||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(2) | 1,116,414 | 1,141,273 | ||||||
Hilton Grand Vacations Trust, Series 2019-AA, Class B, 2.54%, 7/25/33(2) | 1,749,679 | 1,787,785 | ||||||
InStar Leasing III LLC, Series 2021-1A, Class A SEQ, 2.30%, 2/15/54(2) | 2,518,406 | 2,519,179 | ||||||
Mosaic Solar Loan Trust, Series 2021-1A, Class A SEQ, 1.51%, 12/20/46(2) | 2,229,681 | 2,214,859 | ||||||
MVW LLC, Series 2019-2A, Class A SEQ, 2.22%, 10/20/38(2) | 1,279,868 | 1,303,199 | ||||||
MVW Owner Trust, Series 2016-1A, Class A SEQ, 2.25%, 12/20/33(2) | 198,664 | 200,355 | ||||||
Progress Residential Trust, Series 2019-SFR1, Class A SEQ, 3.42%, 8/17/35(2) | 2,997,040 | 3,032,715 | ||||||
Progress Residential Trust, Series 2021-SFR1, Class D, 1.81%, 4/17/38(2) | 1,500,000 | 1,485,740 | ||||||
Progress Residential Trust, Series 2021-SFR2, Class C, 2.00%, 4/19/38(2) | 7,625,000 | 7,635,245 | ||||||
Progress Residential Trust, Series 2021-SFR8, Class E1, 2.38%, 10/17/38(2) | 1,600,000 | 1,589,260 | ||||||
ServiceMaster Funding LLC, Series 2020-1, Class A2I SEQ, 2.84%, 1/30/51(2) | 1,865,625 | 1,908,430 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A SEQ, 3.20%, 1/20/36(2) | 664,099 | 685,916 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class B, 2.75%, 8/20/36(2) | 2,449,895 | 2,491,617 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B, 1.34%, 11/20/37(2) | 4,262,233 | 4,264,570 | ||||||
Taco Bell Funding LLC, Series 2021-1A, Class A23 SEQ, 2.54%, 8/25/51(2) | 3,595,000 | 3,606,590 | ||||||
Taco Bell Funding LLC, Series 2021-1A, Class A2II SEQ, 2.29%, 8/25/51(2) | 1,500,000 | 1,500,273 | ||||||
Tricon American Homes Trust, Series 2020-SFR2, Class B, 1.83%, 11/17/39(2) | 2,200,000 | 2,172,522 | ||||||
Wendy's Funding LLC, Series 2021-1A, Class A2II SEQ, 2.78%, 6/15/51(2) | 3,466,313 | 3,540,259 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $57,829,955) | 58,038,441 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 5.5% | ||||||||
Anchorage Capital CLO Ltd., Series 2021-19A, Class B1, VRN, 1.98%, (3-month LIBOR plus 1.85%), 10/15/34(2) | 1,425,000 | 1,425,013 | ||||||
Ares XXXIX CLO Ltd., Series 2016-39A, Class BR2, VRN, 1.73%, (3-month LIBOR plus 1.60%), 4/18/31(2) | 3,500,000 | 3,499,523 |
Bean Creek CLO Ltd., Series 2015-1A, Class AR, VRN, 1.15%, (3-month LIBOR plus 1.02%), 4/20/31(2) | 1,750,000 | 1,751,046 | ||||||
BlueMountain CLO Ltd., Series 2016-2A, Class BR2, VRN, 2.36%, (3-month LIBOR plus 2.25%), 8/20/32(2) | 1,025,000 | 1,025,563 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class CR3, VRN, 2.74%, (3-month LIBOR plus 2.60%), 4/22/32(2) | 1,700,000 | 1,698,134 | ||||||
Dryden CLO Ltd., Series 2018-64A, Class A, VRN, 1.10%, (3-month LIBOR plus 0.97%), 4/18/31(2) | 3,400,000 | 3,400,663 | ||||||
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2, 3.09%, 4/20/34(2) | 3,000,000 | 2,985,089 | ||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 1.25%, (3-month LIBOR plus 1.12%), 7/20/31(2) | 1,700,000 | 1,700,899 | ||||||
KKR CLO Ltd., Series 2019, Class A2, VRN, 1.63%, (3-month LIBOR plus 1.50%), 10/15/30(2) | 3,300,000 | 3,288,430 | ||||||
KKR CLO Ltd., Series 2022A, Class A, VRN, 1.28%, (3-month LIBOR plus 1.15%), 7/20/31(2) | 2,250,000 | 2,248,952 | ||||||
Magnetite VIII Ltd., Series 2014-8A, Class AR2, VRN, 1.11%, (3-month LIBOR plus 0.98%), 4/15/31(2) | 2,500,000 | 2,505,116 | ||||||
Magnetite XXIX Ltd., Series 2021-29A, Class B, VRN, 1.53%, (3-month LIBOR plus 1.40%), 1/15/34(2) | 2,600,000 | 2,595,067 | ||||||
MF1 Ltd., Series 2021-FL7, Class AS, VRN, 1.55%, (1-month LIBOR plus 1.45%), 10/18/36(2) | 2,300,000 | 2,306,216 | ||||||
Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, VRN, 1.78%, (3-month LIBOR plus 1.65%), 4/20/34(2) | 3,000,000 | 2,981,053 | ||||||
Rockford Tower CLO Ltd., Series 2020-1A, Class B, VRN, 1.93%, (3-month LIBOR plus 1.80%), 1/20/32(2) | 1,800,000 | 1,801,213 | ||||||
Rockford Tower CLO Ltd., Series 2021-2A, Class B, VRN, 1.86%, (3-month LIBOR plus 1.75%), 7/20/34(2) | 2,000,000 | 2,001,123 | ||||||
THL Credit Wind River Clo Ltd., Series 2019-3A, Class CR, VRN, 2.28%, (3-month LIBOR plus 2.20%), 4/15/31(2) | 2,550,000 | 2,560,386 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class ARR, VRN, 1.20%, (3-month LIBOR plus 1.07%), 10/20/28(2) | 1,568,093 | 1,568,786 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $41,313,901) | 41,342,272 | |||||||
EXCHANGE-TRADED FUNDS — 3.6% | ||||||||
Vanguard Intermediate-Term Corporate Bond ETF | 141,600 | 13,368,456 | ||||||
Vanguard Short-Term Corporate Bond ETF | 159,400 | 13,136,154 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $26,315,639) | 26,504,610 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 2.9% | ||||||||
BX Commercial Mortgage Trust, Series 2020-VIVA, Class D, VRN, 3.67%, 3/11/44(2) | 3,000,000 | 3,082,096 | ||||||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class E, VRN, 2.10%, (1-month LIBOR plus 2.00%), 9/15/36(2) | 1,900,000 | 1,906,781 | ||||||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class F, VRN, 2.50%, (1-month LIBOR plus 2.40%), 9/15/36(2) | 2,200,000 | 2,208,722 | ||||||
BX Trust , Series 2019-OC11, Class A SEQ, 3.20%, 12/9/41(2) | 2,801,000 | 3,001,038 | ||||||
BX Trust , Series 2019-OC11, Class C, 3.86%, 12/9/41(2) | 2,050,000 | 2,206,211 | ||||||
BXMT Ltd., Series 2020-FL2, Class B, VRN, 1.56%, (SOFR plus 1.51%), 2/15/38(2) | 2,400,000 | 2,398,988 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, VRN, 1.68%, (1-month LIBOR plus 1.60%), 5/15/36(2) | 1,900,000 | 1,908,244 | ||||||
GS Mortgage Securities Corp. Trust, Series 2017-STAY, Class D, VRN, 2.53%, (1-month LIBOR plus 2.45%), 7/15/32(2) | 1,875,000 | 1,882,373 | ||||||
SLG Office Trust, Series 2021-OVA, Class C, 2.85%, 7/15/41(2) | 2,815,000 | 2,903,995 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $21,562,905) | 21,498,448 | |||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.4% | ||||||||
Tennessee Valley Authority, Series B, 4.70%, 7/15/33 (Cost $3,278,992) | 2,400,000 | 3,099,278 | ||||||
MUNICIPAL SECURITIES — 0.1% | ||||||||
Golden State Tobacco Securitization Corp. Rev., 2.75%, 6/1/34(2)(3) (Cost $400,000) | 400,000 | 405,440 | ||||||
TEMPORARY CASH INVESTMENTS(4) — 5.6% | ||||||||
Chariot Funding LLC, 0.09%, 10/19/21(2)(5) | 15,000,000 | 14,999,303 | ||||||
Landesbank Baden-Wuerttemberg, 0.00%, 10/1/21(2)(5) | 15,268,000 | 15,267,964 | ||||||
LMA-Americas LLC, 0.07%, 10/14/21(2)(5) | 11,000,000 | 10,999,641 | ||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 3,773 | 3,773 | ||||||
TOTAL TEMPORARY CASH INVESTMENTS (Cost $41,270,820) | 41,270,681 | |||||||
TOTAL INVESTMENT SECURITIES — 101.4% (Cost $715,360,509) | 755,591,204 | |||||||
OTHER ASSETS AND LIABILITIES — (1.4)% | (10,141,233) | |||||||
TOTAL NET ASSETS — 100.0% | $ | 745,449,971 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 920,967 | AUD | 1,248,836 | Bank of America N.A. | 12/15/21 | $ | 17,824 | |||||||||||||
CAD | 11,518,928 | USD | 9,099,039 | Bank of America N.A. | 12/15/21 | (4,797) | ||||||||||||||
USD | 7,075,596 | CAD | 8,970,264 | Bank of America N.A. | 12/15/21 | (6,465) | ||||||||||||||
$ | 6,562 |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 5-Year Notes | 411 | December 2021 | $ | 50,447,039 | $ | (360,426) |
^Amount represents value and unrealized appreciation (depreciation).
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 10-Year Notes | 45 | December 2021 | $ | 5,922,422 | $ | 24,943 | ||||||||
U.S. Treasury Long Bonds | 49 | December 2021 | 7,801,718 | 195,904 | ||||||||||
U.S. Treasury Ultra Bonds | 46 | December 2021 | 8,788,875 | 312,986 | ||||||||||
$ | 22,513,015 | $ | 533,833 |
^Amount represents value and unrealized appreciation (depreciation).
CENTRALLY CLEARED TOTAL RETURN SWAP AGREEMENTS | |||||||||||||||||||||||
Floating Rate Index | Pay/Receive Floating Rate Index at Termination | Fixed Rate | Termination Date | Notional Amount | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Value | ||||||||||||||||
CPURNSA | Receive | 2.21% | 1/19/24 | $ | 22,000,000 | $ | 575 | $ | 1,031,537 | $ | 1,032,112 | ||||||||||||
CPURNSA | Receive | 2.27% | 1/26/24 | $ | 5,000,000 | 517 | 224,344 | 224,861 | |||||||||||||||
CPURNSA | Receive | 1.78% | 6/6/24 | $ | 19,000,000 | (654) | 1,199,192 | 1,198,538 | |||||||||||||||
CPURNSA | Receive | 1.71% | 6/20/24 | $ | 12,600,000 | (600) | 825,987 | 825,387 | |||||||||||||||
CPURNSA | Receive | 1.86% | 7/30/24 | $ | 12,500,000 | (601) | 722,055 | 721,454 | |||||||||||||||
CPURNSA | Receive | 1.86% | 8/1/24 | $ | 13,600,000 | (611) | 787,279 | 786,668 | |||||||||||||||
CPURNSA | Receive | 1.62% | 10/17/24 | $ | 12,500,000 | (601) | 917,094 | 916,493 | |||||||||||||||
CPURNSA | Receive | 2.26% | 2/1/25 | $ | 12,000,000 | 573 | 595,543 | 596,116 | |||||||||||||||
CPURNSA | Receive | 1.08% | 6/4/25 | $ | 4,000,000 | 525 | 447,218 | 447,743 | |||||||||||||||
CPURNSA | Receive | 2.24% | 1/12/26 | $ | 9,000,000 | 555 | 492,368 | 492,923 | |||||||||||||||
CPURNSA | Receive | 2.33% | 2/2/26 | $ | 20,000,000 | 622 | 997,462 | 998,084 | |||||||||||||||
CPURNSA | Receive | 2.70% | 8/27/26 | $ | 15,000,000 | 580 | 98,387 | 98,967 | |||||||||||||||
CPURNSA | Receive | 2.15% | 11/20/27 | $ | 5,000,000 | (554) | 315,663 | 315,109 | |||||||||||||||
CPURNSA | Receive | 2.31% | 3/28/28 | $ | 11,500,000 | (624) | 475,691 | 475,067 | |||||||||||||||
CPURNSA | Receive | 1.79% | 10/16/29 | $ | 6,100,000 | (574) | 647,076 | 646,502 | |||||||||||||||
CPURNSA | Receive | 1.80% | 10/21/29 | $ | 6,100,000 | (566) | 644,806 | 644,240 | |||||||||||||||
CPURNSA | Receive | 1.88% | 11/21/29 | $ | 1,000,000 | (516) | 98,401 | 97,885 | |||||||||||||||
CPURNSA | Receive | 1.87% | 11/25/29 | $ | 5,000,000 | (554) | 496,067 | 495,513 | |||||||||||||||
CPURNSA | Receive | 1.29% | 5/19/30 | $ | 3,000,000 | 532 | 488,768 | 489,300 | |||||||||||||||
CPURNSA | Receive | 1.63% | 6/25/30 | $ | 8,000,000 | 586 | 1,128,436 | 1,129,022 | |||||||||||||||
CPURNSA | Receive | 2.51% | 8/27/31 | $ | 7,500,000 | 575 | 102,483 | 103,058 | |||||||||||||||
CPURNSA | Receive | 2.50% | 9/3/31 | $ | 10,000,000 | 603 | 136,087 | 136,690 | |||||||||||||||
$ | (212) | $ | 12,871,944 | $ | 12,871,732 |
TOTAL RETURN SWAP AGREEMENTS | ||||||||||||||||||||
Counterparty | Floating Rate Index | Pay/Receive Floating Rate Index at Termination | Fixed Rate | Termination Date | Notional Amount | Value* | ||||||||||||||
Bank of America N.A. | CPURNSA | Receive | 2.67% | 4/1/22 | $ | 5,000,000 | $ | (483,058) | ||||||||||||
Bank of America N.A. | CPURNSA | Receive | 2.53% | 8/19/24 | $ | 4,000,000 | (158,124) | |||||||||||||
Bank of America N.A. | CPURNSA | Receive | 1.79% | 8/27/25 | $ | 3,000,000 | 235,136 | |||||||||||||
Bank of America N.A. | CPURNSA | Receive | 2.24% | 4/11/27 | $ | 7,000,000 | 313,865 | |||||||||||||
Bank of America N.A. | CPURNSA | Receive | 2.22% | 4/13/27 | $ | 1,750,000 | 82,845 | |||||||||||||
Bank of America N.A. | CPURNSA | Receive | 2.24% | 4/28/27 | $ | 4,000,000 | 183,008 | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.59% | 7/23/24 | $ | 2,300,000 | (108,206) | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.39% | 9/19/24 | $ | 6,000,000 | (124,455) | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.36% | 9/29/24 | $ | 6,500,000 | (113,057) | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.31% | 9/30/24 | $ | 3,600,000 | (39,140) | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.90% | 12/21/27 | $ | 15,100,000 | (3,258,866) | |||||||||||||
Barclays Bank plc | CPURNSA | Receive | 2.78% | 7/2/44 | $ | 3,600,000 | (684,161) | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.87% | 5/23/26 | $ | 1,500,000 | 138,297 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.92% | 5/31/26 | $ | 13,000,000 | 1,115,435 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.77% | 6/16/26 | $ | 12,500,000 | 1,276,957 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 2.25% | 11/15/26 | $ | 2,500,000 | 118,933 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 2.28% | 11/16/26 | $ | 2,500,000 | 108,470 | |||||||||||||
$ | (1,396,121) |
*Amount represents value and unrealized appreciation (depreciation).
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||
AUD | - | Australian Dollar | ||||||
CAD | - | Canadian Dollar | ||||||
CPURNSA | - | U.S. Consumer Price Index Urban Consumers Not Seasonally Adjusted Index | ||||||
FHLMC | - | Federal Home Loan Mortgage Corporation | ||||||
FNMA | - | Federal National Mortgage Association | ||||||
LIBOR | - | London Interbank Offered Rate | ||||||
MTN | - | Medium Term Note | ||||||
SEQ | - | Sequential Payer | ||||||
SOFR | - | Secured Overnight Financing Rate | ||||||
USD | - | United States Dollar | ||||||
VRN | - | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. The security's effective maturity date may be shorter than the final maturity date shown. |
†Category is less than 0.05% of total net assets.
(1)Security, or a portion thereof, has been pledged at the custodian bank or with a broker for collateral requirements on forward foreign currency exchange contracts, futures contracts and/or swap agreements. At the period end, the aggregate value of securities pledged was $13,200,026.
(2)Security was purchased pursuant to Rule 144A or Section 4(2) under the Securities Act of 1933 and may be sold in transactions exempt from registration, normally to qualified institutional investors. The aggregate value of these securities at the period end was $241,462,190, which represented 32.4% of total net assets. Of these securities, 1.3% of total net assets were deemed illiquid under policies approved by the Board of Directors.
(3)When-issued security. The issue price and yield are fixed on the date of the commitment, but payment and delivery are scheduled for a future date.
(4)Category includes collateral received at the custodian bank for collateral requirements on swap agreements. At the period end, the aggregate value of cash deposits received was $2,680,000.
(5)The rate indicated is the yield to maturity at purchase.
SUPPLEMENTARY NOTES TO SCHEDULE OF INVESTMENTS
1. Investment Valuations
The fund determines the fair value of its investments and computes its net asset value (NAV) per share at the close of regular trading (usually 4 p.m. Eastern time) on the New York Stock Exchange (NYSE) on each day the NYSE is open. The Board of Directors has adopted valuation policies and procedures to guide the investment advisor in the fund’s investment valuation process and to provide methodologies for the oversight of the fund’s pricing function.
Fixed income securities are valued at the evaluated mean as provided by independent pricing services or at the mean of the most recent bid and asked prices as provided by investment dealers. Corporate bonds, U.S. Treasury and Government Agency securities, convertible bonds, municipal securities, and sovereign governments and agencies are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information. Mortgage-related and asset-backed securities are valued based on models that consider trade data, prepayment and default projections, benchmark yield and spread data and estimated cash flows of each tranche of the issuer. Collateralized loan obligations are valued based on discounted cash flow models that consider trade and economic data, prepayment assumptions and default projections. Commercial paper is valued using a curve-based approach that considers money market rates for specific instruments, programs, currencies and maturity points from a variety of active market makers. Fixed income securities initially expressed in local currencies are translated into U.S. dollars at the mean of the appropriate currency exchange rate at the close of the NYSE as provided by an independent pricing service.
Open-end management investment companies are valued at the reported NAV per share. Exchange-traded futures contracts are valued at the settlement price as provided by the appropriate exchange. Swap agreements are valued at an evaluated mean as provided by independent pricing services or independent brokers. Forward foreign currency exchange contracts are valued at the mean of the appropriate forward exchange rate at the close of the NYSE as provided by an independent pricing service.
If the fund determines that the market price for an investment is not readily available or the valuation methods mentioned above do not reflect an investment’s fair value, such investment is valued as determined in good faith by the Board of Directors or its delegate, in accordance with policies and procedures adopted by the Board of Directors. In its determination of fair value, the fund may review several factors including, but not limited to, market information regarding the specific investment or comparable investments and correlation with other investment types, futures indices or general market indicators. Circumstances that may cause the fund to use these procedures to value an investment include, but are not limited to: an investment has been declared in default or is distressed; trading in a security has been suspended during the trading day or a security is not actively trading on its principal exchange; prices received from a regular pricing source are deemed unreliable; or there is a foreign market holiday and no trading occurred.
The fund monitors for significant events occurring after the close of an investment’s primary exchange but before the fund’s NAV per share is determined. Significant events may include, but are not limited to: corporate announcements and transactions; governmental action and political unrest that could impact a specific investment or an investment sector; or armed conflicts, natural disasters and similar events that could affect investments in a specific country or region.
2. Fair Value Measurements
The fund’s investments valuation process is based on several considerations and may use multiple inputs to determine the fair value of the investments held by the fund. In conformity with accounting principles generally accepted in the United States of America, the inputs used to determine a valuation are classified into three broad levels.
•Level 1 valuation inputs consist of unadjusted quoted prices in an active market for identical investments.
•Level 2 valuation inputs consist of direct or indirect observable market data (including quoted prices for comparable investments, evaluations of subsequent market events, interest rates, prepayment speeds, credit risk, etc.). These inputs also consist of quoted prices for identical investments initially expressed in local currencies that are adjusted through translation into U.S. dollars.
•Level 3 valuation inputs consist of unobservable data (including a fund’s own assumptions).
The level classification is based on the lowest level input that is significant to the fair valuation measurement. The valuation inputs are not necessarily an indication of the risks associated with investing in these securities or other financial instruments.
The following is a summary of the level classifications as of period end. The Schedule of Investments provides additional information on the fund’s portfolio holdings.
Level 1 ($) | Level 2 ($) | Level 3 ($) | |||||||||
Assets | |||||||||||
Investment Securities | |||||||||||
U.S. Treasury Securities | — | 404,292,078 | — | ||||||||
Corporate Bonds | — | 88,291,190 | — | ||||||||
Collateralized Mortgage Obligations | — | 70,848,766 | — | ||||||||
Asset-Backed Securities | — | 58,038,441 | — | ||||||||
Collateralized Loan Obligations | — | 41,342,272 | — | ||||||||
Exchange-Traded Funds | 26,504,610 | — | — | ||||||||
Commercial Mortgage-Backed Securities | — | 21,498,448 | — | ||||||||
U.S. Government Agency Securities | — | 3,099,278 | — | ||||||||
Municipal Securities | — | 405,440 | — | ||||||||
Temporary Cash Investments | 3,773 | 41,266,908 | — | ||||||||
26,508,383 | 729,082,821 | — | |||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | 533,833 | — | — | ||||||||
Swap Agreements | — | 16,444,678 | — | ||||||||
Forward Foreign Currency Exchange Contracts | — | 17,824 | — | ||||||||
533,833 | 16,462,502 | — | |||||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | 360,426 | — | — | ||||||||
Swap Agreements | — | 4,969,067 | — | ||||||||
Forward Foreign Currency Exchange Contracts | — | 11,262 | — | ||||||||
360,426 | 4,980,329 | — |
This schedule of investments provides information about the fund’s portfolio holdings as of the date on the schedule. It is unaudited, and American Century Investments assumes no obligation to update or supplement the schedule to reflect subsequent changes. More information is available in the fund’s most recent annual or semiannual shareholder report.