American Century Investments®
Quarterly Portfolio Holdings
VP Inflation Protection Fund
March 31, 2022
VP Inflation Protection - Schedule of Investments | ||
MARCH 31, 2022 (UNAUDITED) |
Shares/ Principal Amount ($) | Value ($) | ||||||||||
U.S. TREASURY SECURITIES — 50.7% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, 1/15/26(1) | 16,469,878 | 18,460,811 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, 1/15/27 | 6,251,324 | 7,254,993 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.75%, 1/15/28 | 10,542,909 | 12,076,302 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 3.625%, 4/15/28 | 3,817,241 | 4,837,395 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, 1/15/29 | 3,895,733 | 4,748,284 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 | 13,295,842 | 15,209,721 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.625%, 2/15/43 | 17,830,522 | 19,918,151 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.375%, 2/15/44 | 12,907,838 | 16,564,213 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, 2/15/45 | 16,416,538 | 18,867,088 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/46 | 8,721,216 | 10,626,888 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.875%, 2/15/47 | 1,397,628 | 1,675,164 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/48 | 1,140,110 | 1,417,052 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/49 | 223,456 | 279,805 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.25%, 2/15/50 | 9,601,457 | 10,097,694 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.125%, 2/15/51 | 8,909,010 | 9,136,430 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.125%, 2/15/52 | 12,674,998 | 13,166,672 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/25(1) | 7,943,252 | 8,402,913 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 10/15/25 | 21,941,888 | 23,007,302 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.625%, 1/15/26 | 21,475,625 | 22,903,252 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 4/15/26 | 16,348,915 | 17,095,371 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/26 | 8,796,825 | 9,249,924 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 10/15/26 | 4,629,915 | 4,868,871 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 1/15/27 | 1,163,890 | 1,234,131 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.375%, 7/15/27 | 10,516,370 | 11,206,452 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.50%, 1/15/28 | 17,723,735 | 18,969,048 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.75%, 7/15/28 | 728,026 | 796,657 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.25%, 7/15/29 | 7,474,016 | 7,984,013 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/30 | 24,586,875 | 25,971,841 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/30 | 16,448,400 | 17,456,819 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/31 | 20,412,567 | 21,620,799 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 7/15/31 | 17,832,660 | 18,982,555 | |||||||||
U.S. Treasury Inflation Indexed Notes, 0.125%, 1/15/32 | 13,387,836 | 14,251,299 | |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $370,044,770) | 388,337,910 | ||||||||||
CORPORATE BONDS — 16.9% | |||||||||||
Aerospace and Defense — 0.2% | |||||||||||
Raytheon Technologies Corp., 4.125%, 11/16/28 | 1,790,000 | 1,873,682 | |||||||||
Airlines — 0.1% | |||||||||||
British Airways Pass Through Trust, Series 2021-1, Class A, 2.90%, 9/15/36(2) | 631,579 | 582,427 | |||||||||
Automobiles — 1.0% | |||||||||||
BMW US Capital LLC, 3.25%, 4/1/25(2)(3) | 999,000 | 1,003,376 | |||||||||
Ford Motor Credit Co. LLC, 4.39%, 1/8/26 | 470,000 | 469,391 | |||||||||
General Motors Financial Co., Inc., 2.70%, 8/20/27 | 2,670,000 | 2,516,735 | |||||||||
Honda Motor Co. Ltd., 2.27%, 3/10/25 | 2,340,000 | 2,302,029 | |||||||||
Toyota Motor Credit Corp., 2.50%, 3/22/24 | 1,309,000 | 1,309,324 | |||||||||
7,600,855 | |||||||||||
Banks — 4.5% | |||||||||||
Banco Santander SA, 5.18%, 11/19/25 | 1,400,000 | 1,448,681 | |||||||||
Banco Santander SA, VRN, 4.18%, 3/24/28 | 400,000 | 402,297 |
Bank of America Corp., 4.18%, 11/25/27 | 830,000 | 847,250 | |||||||||
Bank of America Corp., VRN, 3.38%, 4/2/26 | 760,000 | 759,299 | |||||||||
Bank of America Corp., VRN, 3.42%, 12/20/28 | 1,449,000 | 1,435,438 | |||||||||
Bank of America Corp., VRN, 2.88%, 10/22/30 | 1,187,000 | 1,127,088 | |||||||||
Bank of Ireland Group PLC, VRN, 2.03%, 9/30/27(2) | 577,000 | 523,909 | |||||||||
Barclays PLC, VRN, 2.28%, 11/24/27 | 795,000 | 739,253 | |||||||||
BNP Paribas SA, VRN, 4.375%, 3/1/33(2) | 705,000 | 700,473 | |||||||||
Canadian Imperial Bank of Commerce, 3.30%, 4/7/25(3) | 1,135,000 | 1,134,483 | |||||||||
Citigroup, Inc., VRN, 3.07%, 2/24/28 | 400,000 | 390,026 | |||||||||
Citigroup, Inc., VRN, 3.52%, 10/27/28 | 616,000 | 611,068 | |||||||||
Commonwealth Bank of Australia, VRN, 3.61%, 9/12/34(2) | 770,000 | 740,419 | |||||||||
Cooperatieve Rabobank, VRN, 3.65%, 4/6/28(2)(3) | 128,000 | 127,711 | |||||||||
Discover Bank, VRN, 4.68%, 8/9/28 | 2,545,000 | 2,582,039 | |||||||||
DNB Bank ASA, VRN, 2.97%, 3/28/25(2) | 1,535,000 | 1,534,219 | |||||||||
First-Citizens Bank & Trust Co., VRN, 3.93%, 6/19/24 | 2,540,000 | 2,566,883 | |||||||||
FNB Corp., 2.20%, 2/24/23 | 3,810,000 | 3,789,056 | |||||||||
HSBC Holdings PLC, VRN, 1.16%, 11/22/24 | 1,142,000 | 1,103,354 | |||||||||
HSBC Holdings PLC, VRN, 3.00%, 3/10/26 | 700,000 | 686,796 | |||||||||
HSBC Holdings PLC, VRN, 2.80%, 5/24/32 | 440,000 | 400,674 | |||||||||
JPMorgan Chase & Co., VRN, 1.58%, 4/22/27 | 485,000 | 452,204 | |||||||||
JPMorgan Chase & Co., VRN, 2.95%, 2/24/28 | 511,000 | 499,252 | |||||||||
JPMorgan Chase & Co., VRN, 2.07%, 6/1/29 | 2,260,000 | 2,084,822 | |||||||||
JPMorgan Chase & Co., VRN, 2.52%, 4/22/31 | 705,000 | 654,374 | |||||||||
National Australia Bank Ltd., 2.33%, 8/21/30(2) | 515,000 | 448,716 | |||||||||
Societe Generale SA, 5.00%, 1/17/24(2) | 1,840,000 | 1,875,980 | |||||||||
Swedbank AB, 3.36%, 4/4/25(2)(3) | 200,000 | 200,750 | |||||||||
UniCredit SpA, 7.83%, 12/4/23(2) | 2,395,000 | 2,546,351 | |||||||||
US Bancorp, VRN, 2.49%, 11/3/36 | 785,000 | 705,279 | |||||||||
Wells Fargo & Co., VRN, 3.53%, 3/24/28 | 663,000 | 662,199 | |||||||||
Westpac Banking Corp., VRN, 3.02%, 11/18/36 | 439,000 | 390,798 | |||||||||
34,171,141 | |||||||||||
Biotechnology — 0.2% | |||||||||||
AbbVie, Inc., 2.95%, 11/21/26 | 1,200,000 | 1,190,532 | |||||||||
Capital Markets — 2.6% | |||||||||||
Ares Capital Corp., 3.50%, 2/10/23 | 1,650,000 | 1,659,455 | |||||||||
Ares Capital Corp., 4.20%, 6/10/24 | 746,000 | 751,958 | |||||||||
Blackstone Private Credit Fund, 2.625%, 12/15/26(2) | 162,000 | 146,050 | |||||||||
Blackstone Private Credit Fund, 3.25%, 3/15/27(2) | 826,000 | 758,304 | |||||||||
Blue Owl Finance LLC, 3.125%, 6/10/31(2) | 139,000 | 118,521 | |||||||||
Charles Schwab Corp., 2.45%, 3/3/27 | 266,000 | 258,683 | |||||||||
Deutsche Bank AG, VRN, 3.96%, 11/26/25 | 1,825,000 | 1,825,266 | |||||||||
Deutsche Bank AG, VRN, 2.31%, 11/16/27 | 1,121,000 | 1,028,970 | |||||||||
FS KKR Capital Corp., 4.25%, 2/14/25(2) | 198,000 | 194,979 | |||||||||
FS KKR Capital Corp., 3.125%, 10/12/28 | 356,000 | 318,077 | |||||||||
Goldman Sachs Group, Inc., 4.25%, 10/21/25 | 1,410,000 | 1,445,871 | |||||||||
Goldman Sachs Group, Inc., VRN, 1.76%, 1/24/25 | 1,570,000 | 1,531,594 | |||||||||
Goldman Sachs Group, Inc., VRN, 1.95%, 10/21/27 | 266,000 | 247,579 | |||||||||
Goldman Sachs Group, Inc., VRN, 3.81%, 4/23/29 | 562,000 | 566,879 | |||||||||
Golub Capital BDC, Inc., 2.50%, 8/24/26 | 277,000 | 254,860 | |||||||||
Hercules Capital, Inc., 2.625%, 9/16/26 | 521,000 | 479,323 | |||||||||
Main Street Capital Corp., 5.20%, 5/1/24 | 1,138,000 | 1,162,129 | |||||||||
Main Street Capital Corp., 3.00%, 7/14/26 | 471,000 | 437,320 | |||||||||
Morgan Stanley, VRN, 0.53%, 1/25/24 | 1,938,000 | 1,907,240 | |||||||||
Morgan Stanley, VRN, 2.48%, 9/16/36 | 535,000 | 459,576 | |||||||||
Owl Rock Capital Corp., 3.40%, 7/15/26 | 2,850,000 | 2,680,028 |
Prospect Capital Corp., 3.71%, 1/22/26 | 665,000 | 627,644 | |||||||||
Prospect Capital Corp., 3.44%, 10/15/28 | 244,000 | 208,835 | |||||||||
UBS Group AG, VRN, 1.49%, 8/10/27(2) | 725,000 | 659,115 | |||||||||
19,728,256 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.15%, 10/29/23 | 1,008,000 | 965,449 | |||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.50%, 7/15/25 | 1,086,000 | 1,150,946 | |||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.00%, 10/29/28 | 1,353,000 | 1,250,345 | |||||||||
Avolon Holdings Funding Ltd., 2.53%, 11/18/27(2) | 202,000 | 178,796 | |||||||||
Avolon Holdings Funding Ltd., 2.75%, 2/21/28(2) | 898,000 | 800,145 | |||||||||
BOC Aviation USA Corp., 1.625%, 4/29/24(2) | 1,072,000 | 1,030,342 | |||||||||
5,376,023 | |||||||||||
Diversified Financial Services — 0.3% | |||||||||||
Block Financial LLC, 3.875%, 8/15/30 | 800,000 | 787,045 | |||||||||
Corebridge Financial, Inc., 3.85%, 4/5/29(2)(3) | 575,000 | 574,310 | |||||||||
PG&E Energy Recovery Funding LLC, 2.82%, 7/15/48 | 1,400,000 | 1,258,637 | |||||||||
2,619,992 | |||||||||||
Diversified Telecommunication Services — 1.2% | |||||||||||
AT&T, Inc., 4.25%, 3/1/27 | 1,795,000 | 1,879,577 | |||||||||
AT&T, Inc., 4.35%, 3/1/29 | 1,595,000 | 1,689,660 | |||||||||
AT&T, Inc., 5.25%, 3/1/37 | 851,000 | 970,136 | |||||||||
AT&T, Inc., 4.90%, 8/15/37 | 680,000 | 750,902 | |||||||||
AT&T, Inc., 5.15%, 3/15/42 | 900,000 | 1,014,782 | |||||||||
AT&T, Inc., 4.80%, 6/15/44 | 169,000 | 180,307 | |||||||||
AT&T, Inc., 4.55%, 3/9/49 | 610,000 | 640,670 | |||||||||
Telefonica Emisiones SA, 4.90%, 3/6/48 | 1,275,000 | 1,323,405 | |||||||||
Verizon Communications, Inc., 4.33%, 9/21/28 | 936,000 | 988,855 | |||||||||
Verizon Communications, Inc., 1.75%, 1/20/31 | 60,000 | 52,396 | |||||||||
9,490,690 | |||||||||||
Electric Utilities — 0.2% | |||||||||||
Duke Energy Florida LLC, 1.75%, 6/15/30 | 610,000 | 543,759 | |||||||||
Duke Energy Progress LLC, 2.00%, 8/15/31 | 1,220,000 | 1,093,050 | |||||||||
1,636,809 | |||||||||||
Entertainment — 0.1% | |||||||||||
Magallanes, Inc., 3.64%, 3/15/25(2) | 622,000 | 626,442 | |||||||||
Magallanes, Inc., 3.76%, 3/15/27(2) | 472,000 | 471,928 | |||||||||
1,098,370 | |||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||
American Tower Corp., 3.65%, 3/15/27(3) | 413,000 | 412,174 | |||||||||
American Tower Corp., 3.95%, 3/15/29 | 150,000 | 150,381 | |||||||||
Broadstone Net Lease LLC, 2.60%, 9/15/31 | 375,000 | 334,563 | |||||||||
LXP Industrial Trust, 2.375%, 10/1/31 | 975,000 | 866,534 | |||||||||
Office Properties Income Trust, 2.40%, 2/1/27 | 608,000 | 541,735 | |||||||||
Phillips Edison Grocery Center Operating Partnership I LP, 2.625%, 11/15/31 | 367,000 | 324,798 | |||||||||
Piedmont Operating Partnership LP, 2.75%, 4/1/32 | 650,000 | 580,328 | |||||||||
Rexford Industrial Realty LP, 2.15%, 9/1/31 | 901,000 | 783,597 | |||||||||
STORE Capital Corp., 2.70%, 12/1/31 | 377,000 | 334,584 | |||||||||
4,328,694 | |||||||||||
Food Products — 0.1% | |||||||||||
Mondelez International, Inc., 2.125%, 3/17/24 | 308,000 | 305,953 | |||||||||
Mondelez International, Inc., 2.75%, 4/13/30 | 109,000 | 104,422 | |||||||||
410,375 | |||||||||||
Health Care Providers and Services — 0.6% | |||||||||||
CVS Health Corp., 1.30%, 8/21/27 | 1,220,000 | 1,111,523 | |||||||||
Duke University Health System, Inc., 3.92%, 6/1/47 | 467,000 | 487,926 |
HCA, Inc., 3.125%, 3/15/27(2) | 1,162,000 | 1,137,209 | |||||||||
Roche Holdings, Inc., 2.31%, 3/10/27(2) | 1,930,000 | 1,875,416 | |||||||||
4,612,074 | |||||||||||
Household Durables — 0.3% | |||||||||||
Lennar Corp., 4.75%, 5/30/25 | 1,310,000 | 1,357,570 | |||||||||
Safehold Operating Partnership LP, 2.85%, 1/15/32 | 837,000 | 739,461 | |||||||||
2,097,031 | |||||||||||
Insurance — 1.0% | |||||||||||
American International Group, Inc., 3.90%, 4/1/26 | 2,142,000 | 2,198,791 | |||||||||
Aon Corp. / Aon Global Holdings PLC, 2.85%, 5/28/27 | 932,000 | 913,376 | |||||||||
Assured Guaranty US Holdings, Inc., 3.60%, 9/15/51 | 470,000 | 407,507 | |||||||||
Athene Global Funding, 1.99%, 8/19/28(2) | 558,000 | 491,045 | |||||||||
Brighthouse Financial Global Funding, 2.00%, 6/28/28(2) | 372,000 | 331,716 | |||||||||
Global Atlantic Fin Co., 3.125%, 6/15/31(2) | 395,000 | 354,069 | |||||||||
Protective Life Global Funding, 3.22%, 3/28/25(2) | 188,000 | 187,818 | |||||||||
Sammons Financial Group, Inc., 3.35%, 4/16/31(2) | 2,365,000 | 2,182,423 | |||||||||
SBL Holdings, Inc., 5.125%, 11/13/26(2) | 540,000 | 546,278 | |||||||||
7,613,023 | |||||||||||
IT Services† | |||||||||||
Global Payments, Inc., 3.75%, 6/1/23 | 320,000 | 323,040 | |||||||||
Media — 0.4% | |||||||||||
Discovery Communications LLC, 4.65%, 5/15/50 | 430,000 | 418,624 | |||||||||
Omnicom Group, Inc., 2.60%, 8/1/31 | 585,000 | 541,814 | |||||||||
Paramount Global, 4.20%, 6/1/29 | 515,000 | 521,556 | |||||||||
Paramount Global, 4.375%, 3/15/43 | 530,000 | 505,820 | |||||||||
Time Warner Cable LLC, 4.50%, 9/15/42 | 1,155,000 | 1,071,136 | |||||||||
3,058,950 | |||||||||||
Multi-Utilities — 0.7% | |||||||||||
Ameren Corp., 1.95%, 3/15/27 | 2,220,000 | 2,082,603 | |||||||||
CenterPoint Energy, Inc., 2.65%, 6/1/31 | 560,000 | 517,405 | |||||||||
Dominion Energy, Inc., 1.45%, 4/15/26 | 2,050,000 | 1,908,887 | |||||||||
Sempra Energy, 3.30%, 4/1/25 | 767,000 | 768,767 | |||||||||
Sempra Energy, 3.25%, 6/15/27 | 350,000 | 345,595 | |||||||||
5,623,257 | |||||||||||
Oil, Gas and Consumable Fuels — 0.6% | |||||||||||
Enbridge, Inc., 1.60%, 10/4/26 | 1,910,000 | 1,768,192 | |||||||||
Petroleos Mexicanos, 3.50%, 1/30/23 | 331,000 | 331,457 | |||||||||
Petroleos Mexicanos, 6.70%, 2/16/32 | 425,000 | 404,192 | |||||||||
Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 950,000 | 1,005,052 | |||||||||
Sabine Pass Liquefaction LLC, 5.875%, 6/30/26 | 500,000 | 541,038 | |||||||||
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30 | 400,000 | 390,665 | |||||||||
4,440,596 | |||||||||||
Personal Products — 0.2% | |||||||||||
GSK Consumer Healthcare Capital PLC, 3.125%, 3/24/25(2) | 1,512,000 | 1,508,397 | |||||||||
Pharmaceuticals† | |||||||||||
Viatris, Inc., 4.00%, 6/22/50 | 141,000 | 118,919 | |||||||||
Real Estate Management and Development — 0.1% | |||||||||||
Ontario Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31(2) | 474,000 | 434,337 | |||||||||
Road and Rail — 0.1% | |||||||||||
DAE Funding LLC, 1.55%, 8/1/24(2) | 429,000 | 405,549 | |||||||||
Semiconductors and Semiconductor Equipment — 0.3% | |||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 1/15/27 | 487,000 | 491,019 | |||||||||
Broadcom, Inc., 4.00%, 4/15/29(2)(3) | 362,000 | 362,434 | |||||||||
NXP BV / NXP Funding LLC, 4.625%, 6/1/23(2) | 200,000 | 203,229 |
Qorvo, Inc., 4.375%, 10/15/29 | 735,000 | 736,617 | |||||||||
Qorvo, Inc., 3.375%, 4/1/31(2) | 515,000 | 469,126 | |||||||||
2,262,425 | |||||||||||
Software — 0.1% | |||||||||||
Workday, Inc., 3.50%, 4/1/27(3) | 415,000 | 415,175 | |||||||||
Specialty Retail — 0.3% | |||||||||||
AutoNation, Inc., 1.95%, 8/1/28 | 459,000 | 411,739 | |||||||||
Home Depot, Inc., 2.70%, 4/15/25 | 836,000 | 833,738 | |||||||||
Lowe's Cos., Inc., 3.35%, 4/1/27 | 1,357,000 | 1,366,466 | |||||||||
2,611,943 | |||||||||||
Technology Hardware, Storage and Peripherals — 0.1% | |||||||||||
Dell International LLC / EMC Corp., 4.90%, 10/1/26 | 680,000 | 713,938 | |||||||||
HP, Inc., 4.00%, 4/15/29 | 335,000 | 334,054 | |||||||||
1,047,992 | |||||||||||
Thrifts and Mortgage Finance — 0.1% | |||||||||||
Nationwide Building Society, VRN, 4.125%, 10/18/32(2) | 980,000 | 966,084 | |||||||||
Trading Companies and Distributors — 0.1% | |||||||||||
Air Lease Corp., 2.875%, 1/15/26 | 1,194,000 | 1,153,958 | |||||||||
Water Utilities — 0.1% | |||||||||||
Essential Utilities, Inc., 2.70%, 4/15/30 | 560,000 | 528,987 | |||||||||
TOTAL CORPORATE BONDS (Cost $135,047,102) | 129,329,583 | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 7.7% | |||||||||||
Private Sponsor Collateralized Mortgage Obligations — 6.3% | |||||||||||
ABN Amro Mortgage Corp., Series 2003-4, Class A4, 5.50%, 3/25/33 | 23,352 | 22,805 | |||||||||
Agate Bay Mortgage Loan Trust, Series 2015-7, Class A3, VRN, 3.50%, 10/25/45(2) | 186,284 | 186,067 | |||||||||
Agate Bay Mortgage Loan Trust, Series 2016-1, Class A3, VRN, 3.50%, 12/25/45(2) | 260,888 | 260,710 | |||||||||
Angel Oak Mortgage Trust, Series 2019-4, Class A3 SEQ, VRN, 3.30%, 7/26/49(2) | 143,834 | 143,825 | |||||||||
Angel Oak Mortgage Trust, Series 2019-5, Class A3, VRN, 2.92%, 10/25/49(2) | 553,902 | 552,821 | |||||||||
Angel Oak Mortgage Trust, Series 2019-6, Class A3 SEQ, VRN, 2.93%, 11/25/59(2) | 570,515 | 570,499 | |||||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A2 SEQ, VRN, 1.48%, 10/25/48(2) | 657,417 | 628,296 | |||||||||
Arroyo Mortgage Trust, Series 2021-1R, Class A3 SEQ, VRN, 1.64%, 10/25/48(2) | 536,314 | 513,727 | |||||||||
Bellemeade Re Ltd., Series 2021-2A, Class M1C, VRN, 1.95%, (30-day average SOFR plus 1.85%), 6/25/31(2) | 3,200,000 | 3,122,601 | |||||||||
Bellemeade Re Ltd., Series 2021-3A, Class M1A, VRN, 1.10%, (30-day average SOFR plus 1.00%), 9/25/31(2) | 2,250,000 | 2,230,995 | |||||||||
Cendant Mort Capital LLC, Series 2003-6, Class A3, 5.25%, 7/25/33 | 163,888 | 161,872 | |||||||||
Chase Mortgage Finance Corp., Series 2021-CL1, Class M1, VRN, 1.30%, (30-day average SOFR plus 1.20%), 2/25/50(2) | 666,142 | 656,229 | |||||||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1, VRN, 2.72%, 7/25/49(2) | 353,801 | 350,647 | |||||||||
Credit Suisse Mortgage Trust, Series 2015-WIN1, Class A10, VRN, 3.50%, 12/25/44(2) | 301,336 | 296,437 | |||||||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3 SEQ, VRN, 1.54%, 2/25/66(2) | 599,750 | 579,782 | |||||||||
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3 SEQ, 2.86%, 5/25/65(2) | 2,225,000 | 2,215,428 | |||||||||
Deephaven Residential Mortgage Trust, Series 2021-3, Class A3, VRN, 1.55%, 8/25/66(2) | 1,695,628 | 1,612,231 | |||||||||
Farm Mortgage Trust, Series 2021-1, Class A, VRN, 2.18%, 1/25/51(2) | 3,403,483 | 3,163,080 | |||||||||
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3 SEQ, VRN, 1.62%, 6/25/56(2) | 657,545 | 621,244 | |||||||||
JP Morgan Mortgage Trust, Series 2014-5, Class A1, VRN, 2.86%, 10/25/29(2) | 873,757 | 861,524 | |||||||||
JP Morgan Mortgage Trust, Series 2016-1, Class A7 SEQ, VRN, 3.50%, 5/25/46(2) | 1,476,307 | 1,460,633 | |||||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A2, VRN, 3.46%, 1/25/47(2) | 676,300 | 660,807 | |||||||||
New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2 SEQ, VRN, 2.89%, 5/24/60(2) | 2,090,000 | 2,047,951 | |||||||||
Sequoia Mortgage Trust, Series 2017-7, Class A7 SEQ, VRN, 3.50%, 10/25/47(2) | 967,176 | 951,208 | |||||||||
Sequoia Mortgage Trust, Series 2019-4, Class A7 SEQ, VRN, 3.50%, 11/25/49(2) | 4,167,111 | 4,050,866 | |||||||||
Sequoia Mortgage Trust, Series 2021-5, Class A4 SEQ, VRN, 2.50%, 7/25/51(2) | 2,594,893 | 2,499,360 | |||||||||
SG Residential Mortgage Trust, Series 2021-1, Class A3 SEQ, VRN, 1.56%, 7/25/61(2) | 1,422,114 | 1,353,740 | |||||||||
STAR Trust, Series 2021-1, Class A1 SEQ, VRN, 1.22%, 5/25/65(2) | 1,909,880 | 1,874,789 | |||||||||
Starwood Mortgage Residential Trust, Series 2020-2, Class B1E, VRN, 3.00%, 4/25/60(2) | 3,765,000 | 3,778,096 | |||||||||
Verus Securitization Trust, Series 2019-4, Class A3, 3.00%, 11/25/59(2) | 1,083,758 | 1,083,487 |
Verus Securitization Trust, Series 2020-1, Class A3 SEQ, VRN, 2.72%, 1/25/60(2) | 1,980,713 | 1,972,017 | |||||||||
Verus Securitization Trust, Series 2021-1, Class A3, VRN, 1.16%, 1/25/66(2) | 1,503,402 | 1,450,676 | |||||||||
Verus Securitization Trust, Series 2021-5, Class A3, VRN, 1.37%, 9/25/66(2) | 1,810,858 | 1,675,007 | |||||||||
Verus Securitization Trust, Series 2022-3, Class A3, VRN, 4.13%, 2/25/67(2) | 3,725,000 | 3,676,948 | |||||||||
Vista Point Securitization Trust, Series 2020-2, Class A3, VRN, 2.50%, 4/25/65(2) | 795,435 | 775,879 | |||||||||
WaMu Mortgage Pass-Through Certificates, Series 2003-S11, Class 3A5, 5.95%, 11/25/33 | 90,290 | 89,440 | |||||||||
48,151,724 | |||||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 1.4% | |||||||||||
FHLMC, Series K088, Class A2 SEQ, 3.69%, 1/25/29 | 5,000,000 | 5,261,886 | |||||||||
FHLMC, Series K108, Class A2 SEQ, 1.52%, 3/25/30 | 6,000,000 | 5,456,239 | |||||||||
FNMA, Series 2014-C02, Class 2M2, VRN, 3.06%, (1-month LIBOR plus 2.60%), 5/25/24 | 563,853 | 563,530 | |||||||||
11,281,655 | |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $61,660,336) | 59,433,379 | ||||||||||
ASSET-BACKED SECURITIES — 5.8% | |||||||||||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class B, 2.48%, 8/15/46(2) | 3,600,000 | 3,318,812 | |||||||||
Blackbird Capital Aircraft, Series 2021-1A, Class A SEQ, 2.44%, 7/15/46(2) | 1,339,583 | 1,226,671 | |||||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A SEQ, 2.94%, 5/25/29(2) | 288,117 | 286,416 | |||||||||
Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2 SEQ, 4.94%, 1/25/52(2) | CAD | 2,950,000 | 2,281,799 | ||||||||
FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.97%, 10/19/37(2) | $ | 1,900,000 | 1,742,200 | ||||||||
Global SC Finance VII Srl, Series 2020-1A, Class A SEQ, 2.17%, 10/17/40(2) | 1,501,591 | 1,428,141 | |||||||||
Global SC Finance VII Srl, Series 2021-1A, Class A, 1.86%, 4/17/41(2) | 2,289,798 | 2,108,138 | |||||||||
Global SC Finance VII Srl, Series 2021-2A, Class A SEQ, 1.95%, 8/17/41(2) | 1,148,131 | 1,073,562 | |||||||||
Goodgreen Trust, Series 2020-1A, Class A SEQ, 2.63%, 4/15/55(2) | 1,231,472 | 1,160,136 | |||||||||
Goodgreen Trust, Series 2021-1A, Class A SEQ, 2.66%, 10/15/56(2) | 795,655 | 747,881 | |||||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A SEQ, 2.66%, 12/26/28(2) | 892,074 | 891,707 | |||||||||
Hilton Grand Vacations Trust, Series 2019-AA, Class B, 2.54%, 7/25/33(2) | 1,432,832 | 1,402,315 | |||||||||
Mosaic Solar Loan Trust, Series 2021-1A, Class A SEQ, 1.51%, 12/20/46(2) | 1,961,171 | 1,801,407 | |||||||||
MVW LLC, Series 2019-2A, Class A SEQ, 2.22%, 10/20/38(2) | 1,038,435 | 1,010,584 | |||||||||
Progress Residential Trust, Series 2021-SFR1, Class D, 1.81%, 4/17/38(2) | 1,500,000 | 1,329,691 | |||||||||
Progress Residential Trust, Series 2021-SFR2, Class C, 2.00%, 4/19/38(2) | 7,625,000 | 7,004,328 | |||||||||
Progress Residential Trust, Series 2021-SFR8, Class E1, 2.38%, 10/17/38(2) | 800,000 | 707,781 | |||||||||
ServiceMaster Funding LLC, Series 2020-1, Class A2I SEQ, 2.84%, 1/30/51(2) | 1,856,250 | 1,689,705 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class B, 2.75%, 8/20/36(2) | 1,950,432 | 1,909,547 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B, 1.34%, 11/20/37(2) | 3,274,872 | 3,120,244 | |||||||||
Taco Bell Funding LLC, Series 2021-1A, Class A23 SEQ, 2.54%, 8/25/51(2) | 1,142,138 | 993,308 | |||||||||
Tricon American Homes Trust, Series 2020-SFR2, Class B, 1.83%, 11/17/39(2) | 2,200,000 | 1,967,905 | |||||||||
Triton Container Finance VIII LLC, Series 2020-1A, Class A SEQ, 2.11%, 9/20/45(2) | 2,094,000 | 1,934,532 | |||||||||
Wendy's Funding LLC, Series 2021-1A, Class A2II SEQ, 2.78%, 6/15/51(2) | 3,448,938 | 3,059,743 | |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $47,377,508) | 44,196,553 | ||||||||||
COLLATERALIZED LOAN OBLIGATIONS — 3.8% | |||||||||||
Ares XXXIX CLO Ltd., Series 2016-39A, Class BR2, VRN, 1.84%, (3-month LIBOR plus 1.60%), 4/18/31(2) | 3,500,000 | 3,469,373 | |||||||||
Bean Creek CLO Ltd., Series 2015-1A, Class AR, VRN, 1.27%, (3-month LIBOR plus 1.02%), 4/20/31(2) | 1,750,000 | 1,737,266 | |||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class CR3, VRN, 2.86%, (3-month LIBOR plus 2.60%), 4/22/32(2) | 1,700,000 | 1,691,290 | |||||||||
Dryden Senior Loan Fund, Series 2016-43A, Class B2R2, 3.09%, 4/20/34(2) | 3,000,000 | 2,985,684 | |||||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class AR, VRN, 1.37%, (3-month LIBOR plus 1.12%), 7/20/31(2) | 1,700,000 | 1,690,730 | |||||||||
KKR CLO Ltd., Series 2022A, Class A, VRN, 1.40%, (3-month LIBOR plus 1.15%), 7/20/31(2) | 2,250,000 | 2,237,233 | |||||||||
Magnetite VIII Ltd., Series 2014-8A, Class AR2, VRN, 1.22%, (3-month LIBOR plus 0.98%), 4/15/31(2) | 2,500,000 | 2,485,205 | |||||||||
Magnetite XXIX Ltd., Series 2021-29A, Class B, VRN, 1.64%, (3-month LIBOR plus 1.40%), 1/15/34(2) | 2,600,000 | 2,568,765 | |||||||||
Marathon Clo Ltd., Series 2021-17A, Class B2, 4.03%, 1/20/35(2) | 3,000,000 | 2,999,285 | |||||||||
MF1 Ltd., Series 2021-FL7, Class AS, VRN, 1.88%, (1-month LIBOR plus 1.45%), 10/16/36(2) | 1,830,000 | 1,781,831 | |||||||||
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, VRN, 1.37%, (3-month LIBOR plus 1.13%), 1/17/31(2) | 1,250,000 | 1,244,062 |
Rockford Tower CLO Ltd., Series 2020-1A, Class B, VRN, 2.05%, (3-month LIBOR plus 1.80%), 1/20/32(2) | 1,800,000 | 1,792,806 | |||||||||
Stratus CLO Ltd., Series 2021-1A, Class A, 0.89%, 12/29/29(2) | 1,500,000 | 1,486,564 | |||||||||
Treman Park CLO Ltd., Series 2015-1A, Class ARR, VRN, 1.32%, (3-month LIBOR plus 1.07%), 10/20/28(2) | 1,142,113 | 1,139,756 | |||||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $29,485,196) | 29,309,850 | ||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.8% | |||||||||||
BX Commercial Mortgage Trust, Series 2020-VIV2, Class C, VRN, 3.54%, 3/9/44(2) | 2,873,000 | 2,637,826 | |||||||||
BX Commercial Mortgage Trust, Series 2020-VIVA, Class D, VRN, 3.55%, 3/11/44(2) | 3,000,000 | 2,702,179 | |||||||||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class E, VRN, 2.40%, (1-month LIBOR plus 2.00%), 9/15/36(2) | 1,900,000 | 1,833,143 | |||||||||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class F, VRN, 2.80%, (1-month LIBOR plus 2.40%), 9/15/36(2) | 2,200,000 | 2,128,747 | |||||||||
BX Trust , Series 2019-OC11, Class A SEQ, 3.20%, 12/9/41(2) | 2,801,000 | 2,709,930 | |||||||||
BX Trust , Series 2019-OC11, Class C, 3.86%, 12/9/41(2) | 2,050,000 | 1,949,845 | |||||||||
BXMT Ltd., Series 2020-FL2, Class B, VRN, 1.56%, (30-day average SOFR plus 1.51%), 2/15/38(2) | 2,400,000 | 2,382,380 | |||||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class B, VRN, 1.63%, (1-month LIBOR plus 1.23%), 5/15/36(2) | 1,375,000 | 1,362,346 | |||||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, VRN, 2.00%, (1-month LIBOR plus 1.60%), 5/15/36(2) | 3,306,000 | 3,272,266 | |||||||||
Extended Stay America Trust, Series 2021-ESH, Class E, VRN, 3.25%, (1-month LIBOR plus 2.85%), 7/15/38(2) | 2,586,084 | 2,549,996 | |||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A SEQ, 4.13%, 7/5/31(2) | 3,055,000 | 3,081,206 | |||||||||
SLG Office Trust, Series 2021-OVA, Class C, 2.85%, 7/15/41(2) | 2,815,000 | 2,514,452 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $30,745,713) | 29,124,316 | ||||||||||
EXCHANGE-TRADED FUNDS — 2.4% | |||||||||||
Vanguard Intermediate-Term Corporate Bond ETF | 141,600 | 12,183,264 | |||||||||
Vanguard Short-Term Corporate Bond ETF | 78,800 | 6,153,492 | |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $19,681,050) | 18,336,756 | ||||||||||
U.S. GOVERNMENT AGENCY SECURITIES — 0.4% | |||||||||||
Tennessee Valley Authority, Series B, 4.70%, 7/15/33 (Cost $3,244,574) | 2,400,000 | 2,812,028 | |||||||||
MUNICIPAL SECURITIES — 0.1% | |||||||||||
Golden State Tobacco Securitization Corp. Rev., 2.75%, 6/1/34 (Cost $1,126,255) | 1,120,000 | 1,020,400 | |||||||||
SHORT-TERM INVESTMENTS(4) — 7.4% | |||||||||||
Commercial Paper — 6.5% | |||||||||||
BNP Paribas SA, 0.21%, 4/29/22(2)(5) | 15,000,000 | 14,994,224 | |||||||||
Landesbank Baden-Wuerttemberg, 0.32%, 4/1/22(2)(5) | 15,000,000 | 14,999,867 | |||||||||
Walmart, Inc., 0.36%, 4/18/22(2)(5) | 20,000,000 | 19,996,950 | |||||||||
49,991,041 | |||||||||||
Money Market Funds — 0.9% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 6,680,618 | 6,680,618 | |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $56,674,863) | 56,671,659 | ||||||||||
TOTAL INVESTMENT SECURITIES — 99.0% (Cost $755,087,367) | 758,572,434 | ||||||||||
OTHER ASSETS AND LIABILITIES — 1.0% | 8,003,922 | ||||||||||
TOTAL NET ASSETS — 100.0% | $ | 766,576,356 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 883,787 | AUD | 1,204,233 | UBS AG | 6/15/22 | $ | (18,427) | |||||||||||||
USD | 2,398,429 | CAD | 3,063,154 | UBS AG | 6/15/22 | (51,346) | ||||||||||||||
$ | (69,773) |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury Long Bonds | 37 | June 2022 | $ | 5,552,312 | $ | (125,385) |
^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 | 94 | June 2022 | $ | 11,550,250 | $ | (4,964) |
^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 | $ | 574 | $ | 2,167,743 | $ | 2,168,317 | |||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.27% | 1/26/24 | $ | 5,000,000 | 517 | 483,388 | 483,905 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.78% | 6/6/24 | $ | 19,000,000 | (654) | 2,241,184 | 2,240,530 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.71% | 6/20/24 | $ | 12,600,000 | (601) | 1,516,261 | 1,515,660 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.86% | 7/30/24 | $ | 12,500,000 | (601) | 1,412,725 | 1,412,124 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.86% | 8/1/24 | $ | 13,600,000 | (610) | 1,538,885 | 1,538,275 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.62% | 10/17/24 | $ | 12,500,000 | (601) | 1,609,050 | 1,608,449 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.26% | 2/1/25 | $ | 12,000,000 | 573 | 1,275,228 | 1,275,801 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.08% | 6/4/25 | $ | 4,000,000 | 525 | 669,171 | 669,696 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.24% | 1/12/26 | $ | 9,000,000 | 554 | 1,024,210 | 1,024,764 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.33% | 2/2/26 | $ | 20,000,000 | 622 | 2,185,191 | 2,185,813 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.70% | 8/27/26 | $ | 15,000,000 | 592 | 1,008,873 | 1,009,465 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.15% | 11/20/27 | $ | 5,000,000 | (554) | 644,280 | 643,726 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.31% | 3/28/28 | $ | 11,500,000 | (624) | 1,244,653 | 1,244,029 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.79% | 10/16/29 | $ | 6,100,000 | (575) | 1,051,695 | 1,051,120 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.80% | 10/21/29 | $ | 6,100,000 | (566) | 1,049,810 | 1,049,244 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.88% | 11/21/29 | $ | 1,000,000 | (516) | 165,437 | 164,921 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.87% | 11/25/29 | $ | 5,000,000 | (554) | 831,003 | 830,449 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.29% | 5/19/30 | $ | 3,000,000 | 532 | 681,076 | 681,608 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 1.63% | 6/25/30 | $ | 8,000,000 | 587 | 1,660,976 | 1,661,563 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.51% | 8/27/31 | $ | 7,500,000 | 581 | 668,507 | 669,088 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
CPURNSA | Receive | 2.50% | 9/3/31 | $ | 10,000,000 | 608 | 890,070 | 890,678 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
$ | (191) | $ | 26,019,416 | $ | 26,019,225 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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.(6) | CPURNSA | Receive | 2.67% | 4/1/22 | $ | 5,000,000 | (372,169) | |||||||||||||
Bank of America N.A.(6) | CPURNSA | Receive | 2.53% | 8/19/24 | $ | 4,000,000 | 97,047 | |||||||||||||
Bank of America N.A.(6) | CPURNSA | Receive | 1.79% | 8/27/25 | $ | 3,000,000 | 423,101 | |||||||||||||
Bank of America N.A.(6) | CPURNSA | Receive | 2.24% | 4/11/27 | $ | 7,000,000 | 777,471 | |||||||||||||
Bank of America N.A.(6) | CPURNSA | Receive | 2.22% | 4/13/27 | $ | 1,750,000 | 198,494 | |||||||||||||
Bank of America N.A.(6) | CPURNSA | Receive | 2.24% | 4/28/27 | $ | 4,000,000 | 447,993 | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.59% | 7/23/24 | $ | 2,300,000 | 38,447 | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.39% | 9/19/24 | $ | 6,000,000 | 256,276 | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.36% | 9/29/24 | $ | 6,500,000 | 299,458 | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.31% | 9/30/24 | $ | 3,600,000 | 188,332 | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.90% | 12/21/27 | $ | 15,100,000 | (1,833,016) | |||||||||||||
Barclays Bank PLC | CPURNSA | Receive | 2.78% | 7/2/44 | $ | 3,600,000 | (211,626) | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.87% | 5/23/26 | $ | 1,500,000 | 234,112 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.92% | 5/31/26 | $ | 13,000,000 | 1,949,786 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 1.77% | 6/16/26 | $ | 12,500,000 | 2,066,797 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 2.25% | 11/15/26 | $ | 2,500,000 | 284,952 | |||||||||||||
Goldman Sachs & Co. | CPURNSA | Receive | 2.28% | 11/16/26 | $ | 2,500,000 | 275,061 | |||||||||||||
$ | 5,120,516 |
*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 | ||||||
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 $9,091,570.
(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 $227,797,760, which represented 29.7% of total net assets.
(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 securities purchased with cash collateral received at the custodian bank for collateral requirements on swap agreements. At the period end, the aggregate value of cash deposits received was $4,970,000.
(5)The rate indicated is the yield to maturity at purchase.
(6)Collateral has been received at the custodian for collateral requirements on swap agreements. At the period end, the aggregate value of securities received was $1,733,530.
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.
Equity securities that are listed or traded on a domestic securities exchange are valued at the last reported sales price or at the official closing price as provided by the exchange. Equity securities traded on foreign securities exchanges are generally valued at the closing price of such securities on the exchange where primarily traded or at the close of the NYSE, if that is earlier. If no last sales price is reported, or if local convention or regulation so provides, the mean of the latest bid and asked prices may be used. Securities traded over-the-counter are valued at the mean of the latest bid and asked prices, the last sales price, or the official closing price.
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. The fund also monitors for significant fluctuations between domestic and foreign markets, as evidenced by the U.S. market or such other indicators that the Board of Directors, or its delegate, deems appropriate. The fund may apply a model-derived factor to the closing price of equity securities traded on foreign securities exchanges. The factor is based on observable market data as provided by an independent pricing service.
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.
Level 1 ($) | Level 2 ($) | Level 3 ($) | |||||||||
Assets | |||||||||||
Investment Securities | |||||||||||
U.S. Treasury Securities | — | 388,337,910 | — | ||||||||
Corporate Bonds | — | 129,329,583 | — | ||||||||
Collateralized Mortgage Obligations | — | 59,433,379 | — | ||||||||
Asset-Backed Securities | — | 44,196,553 | — | ||||||||
Collateralized Loan Obligations | — | 29,309,850 | — | ||||||||
Commercial Mortgage-Backed Securities | — | 29,124,316 | — | ||||||||
Exchange-Traded Funds | 18,336,756 | — | — | ||||||||
U.S. Government Agency Securities | — | 2,812,028 | — | ||||||||
Municipal Securities | — | 1,020,400 | — | ||||||||
Short-Term Investments | 6,680,618 | 49,991,041 | — | ||||||||
25,017,374 | 733,555,060 | — | |||||||||
Other Financial Instruments | |||||||||||
Swap Agreements | — | 33,556,552 | — | ||||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | 130,349 | — | — | ||||||||
Swap Agreements | — | 2,416,811 | — | ||||||||
Forward Foreign Currency Exchange Contracts | — | 69,773 | — | ||||||||
130,349 | 2,486,584 | — |
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.