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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21732
Mercer Funds
(Exact name of registrant as specified in charter)
99 High Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
Caroline Hulme, Esq.
Mercer Investments, LLC
99 High Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code
(617) 747-9500
Date of fiscal year end: March 31, 2023
Date of reporting period: September 30, 2022
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
Mercer US Large Cap Equity Fund |
Mercer US Small/Mid Cap Equity Fund |
Mercer Non-US Core Equity Fund |
Mercer Core Fixed Income Fund |
Mercer Opportunistic Fixed Income Fund |
Mercer Emerging Markets Equity Fund |
Mercer Global Low Volatility Equity Fund |
Shares | Description | Value ($) | |
COMMON STOCKS — 94.9% | |||
Basic Materials — 1.9% | |||
34,928 | Celanese Corp. Class A | 3,155,396 | |
33,510 | Dow, Inc. | 1,472,094 | |
183,721 | DuPont de Nemours, Inc. | 9,259,538 | |
38,307 | Eastman Chemical Co. | 2,721,712 | |
58,509 | Huntsman Corp. | 1,435,811 | |
31,845 | International Paper Co. | 1,009,487 | |
44,456 | Newmont Corp. | 1,868,486 | |
20,922,524 | |||
Communications — 17.4% | |||
115,000 | Airbnb, Inc. Class A* | 12,079,600 | |
75,000 | Alphabet, Inc. Class A* | 7,173,750 | |
264,900 | Alphabet, Inc. Class C* | 25,470,135 | |
377,335 | Amazon.com, Inc.* | 42,638,855 | |
197,426 | AT&T, Inc. | 3,028,515 | |
1,040 | Booking Holdings, Inc.* | 1,708,938 | |
7,270 | Charter Communications, Inc. Class A* | 2,205,354 | |
185,100 | Cisco Systems, Inc. | 7,404,000 | |
227,694 | Comcast Corp. Class A | 6,678,265 | |
22,563 | Fox Corp. Class A | 692,233 | |
131,049 | Liberty Global Plc Class C* | 2,162,309 | |
558,809 | Lumen Technologies, Inc. | 4,068,130 | |
4,361 | MercadoLibre, Inc.* | 3,609,949 | |
146,559 | Meta Platforms, Inc. Class A* | 19,885,125 | |
40,600 | Motorola Solutions, Inc. | 9,093,182 | |
48,882 | Netflix, Inc.* | 11,508,778 | |
16,921 | Spotify Technology SA* | 1,460,282 | |
48,427 | T-Mobile US, Inc.* | 6,497,451 | |
40,590 | Trade Desk, Inc. (The) Class A* | 2,425,252 | |
165,677 | Uber Technologies, Inc.* | 4,390,440 | |
191,000 | Verizon Communications, Inc. | 7,252,270 | |
122,481 | Walt Disney Co. (The)* | 11,553,633 | |
192,986,446 | |||
Consumer, Cyclical — 10.9% | |||
43,436 | Alaska Air Group, Inc.* | 1,700,519 | |
21,871 | Autoliv, Inc. | 1,457,265 | |
1,190 | AutoZone, Inc.* | 2,548,897 | |
23,338 | Bath & Body Works, Inc. | 760,819 | |
17,632 | Best Buy Co., Inc. | 1,116,811 | |
2,426 | Chipotle Mexican Grill, Inc. Class A* | 3,645,696 | |
11,954 | Costco Wholesale Corp. | 5,645,516 | |
14,693 | Darden Restaurants, Inc. | 1,856,020 | |
87,198 | Delta Air Lines, Inc.* | 2,446,776 | |
41,145 | Dollar General Corp. | 9,869,040 | |
67,200 | Dollar Tree, Inc.* | 9,145,920 | |
11,722 | Domino's Pizza, Inc. | 3,636,164 | |
33,523 | DR Horton, Inc. | 2,257,774 |
See accompanying Notes to the Financial Statements. | 1 |
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
105,244 | General Motors Co. | 3,377,280 | |
8,341 | Home Depot, Inc. (The) | 2,301,615 | |
8,066 | Lithia Motors, Inc. Class A | 1,730,560 | |
18,152 | LKQ Corp. | 855,867 | |
9,516 | Lowe's Cos., Inc. | 1,787,200 | |
11,208 | Lululemon Athletica, Inc.* | 3,133,308 | |
53,868 | LVMH Moet Hennessy Louis Vuitton SE, ADR | 6,329,490 | |
25,595 | Magna International, Inc. | 1,213,715 | |
18,000 | Marriott International, Inc. Class A | 2,522,520 | |
14,119 | MGM Resorts International | 419,617 | |
75,466 | NIKE, Inc. Class B | 6,272,734 | |
351 | NVR, Inc.* | 1,399,465 | |
109,958 | PulteGroup, Inc. | 4,123,425 | |
11,270 | Target Corp. | 1,672,355 | |
87,618 | Tesla, Inc.* | 23,240,674 | |
205,800 | TJX Cos., Inc. (The) | 12,784,296 | |
10,257 | Whirlpool Corp. | 1,382,746 | |
120,634,084 | |||
Consumer, Non-cyclical — 21.0% | |||
123,783 | Abbott Laboratories | 11,977,243 | |
288,550 | Adyen NV, ADR*(a) | 3,612,646 | |
9,670 | Align Technology, Inc.* | 2,002,754 | |
158,765 | Altria Group, Inc. | 6,410,931 | |
18,812 | Amgen, Inc. | 4,240,225 | |
111,100 | Archer-Daniels-Midland Co. | 8,937,995 | |
25,799 | AstraZeneca Plc, ADR | 1,414,817 | |
135,500 | Baxter International, Inc. | 7,298,030 | |
4,904 | Biogen, Inc.* | 1,309,368 | |
37,949 | Bristol-Myers Squibb Co. | 2,697,794 | |
54,762 | Cardinal Health, Inc. | 3,651,530 | |
34,200 | Cigna Corp. | 9,489,474 | |
367,089 | Conagra Brands, Inc. | 11,978,114 | |
139,513 | CVS Health Corp. | 13,305,355 | |
22,687 | Danaher Corp. | 5,859,825 | |
48,189 | DENTSPLY SIRONA, Inc. | 1,366,158 | |
31,444 | DexCom, Inc.* | 2,532,500 | |
24,066 | Eli Lilly & Co. | 7,781,741 | |
22,462 | Estee Lauder Cos., Inc. (The) Class A | 4,849,546 | |
36,179 | Gartner, Inc.* | 10,010,367 | |
27,364 | Global Payments, Inc. | 2,956,680 | |
75,050 | GSK Plc, ADR(a) | 2,208,721 | |
287,841 | Haleon Plc, ADR*(a) | 1,752,952 | |
9,713 | HCA Healthcare, Inc. | 1,785,152 | |
131,256 | Hologic, Inc.* | 8,468,637 | |
37,241 | Horizon Therapeutics Plc* | 2,304,845 | |
33,678 | Illumina, Inc.* | 6,425,426 | |
30,269 | Ingredion, Inc. | 2,437,260 | |
7,732 | Intuitive Surgical, Inc.* | 1,449,286 |
2 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
17,151 | Jazz Pharmaceuticals Plc* | 2,286,057 | |
68,211 | Johnson & Johnson | 11,142,949 | |
74,509 | Kroger Co. (The) | 3,259,769 | |
7,086 | McKesson Corp. | 2,408,319 | |
26,042 | Medtronic Plc | 2,102,891 | |
116,000 | Merck & Co., Inc. | 9,989,920 | |
36,129 | Novo Nordisk AS, ADR | 3,599,532 | |
84,686 | PayPal Holdings, Inc.* | 7,288,924 | |
48,852 | Pfizer, Inc. | 2,137,764 | |
43,580 | Quest Diagnostics, Inc. | 5,346,830 | |
8,901 | S&P Global, Inc. | 2,717,920 | |
31,176 | Tyson Foods, Inc. Class A | 2,055,434 | |
31,803 | UnitedHealth Group, Inc. | 16,061,787 | |
13,197 | Vertex Pharmaceuticals, Inc.* | 3,821,059 | |
146,230 | Viatris, Inc. | 1,245,880 | |
19,216 | Zimmer Biomet Holdings, Inc. | 2,009,033 | |
38,688 | Zoetis, Inc. | 5,737,044 | |
233,726,484 | |||
Energy — 3.9% | |||
98,674 | APA Corp. | 3,373,664 | |
113,428 | BP Plc, ADR | 3,238,369 | |
37,654 | Canadian Natural Resources, Ltd. | 1,753,547 | |
14,800 | Chevron Corp. | 2,126,316 | |
125,704 | ConocoPhillips | 12,864,547 | |
37,341 | Devon Energy Corp. | 2,245,314 | |
134,937 | Kinder Morgan, Inc. | 2,245,352 | |
128,387 | Marathon Oil Corp. | 2,898,979 | |
80,197 | Marathon Petroleum Corp. | 7,965,968 | |
55,910 | Schlumberger NV | 2,007,169 | |
52,143 | Shell Plc, ADR | 2,594,636 | |
43,313,861 | |||
Financial — 16.5% | |||
62,482 | AerCap Holdings NV* | 2,644,863 | |
27,274 | Ally Financial, Inc. | 759,035 | |
237,261 | American International Group, Inc. | 11,265,152 | |
18,145 | American Tower Corp. REIT | 3,895,732 | |
25,622 | Ameriprise Financial, Inc. | 6,455,463 | |
56,748 | Annaly Capital Management, Inc. REIT | 973,796 | |
138,056 | Bank of America Corp. | 4,169,291 | |
43,022 | Bank of New York Mellon Corp. (The) | 1,657,207 | |
14,091 | Berkshire Hathaway, Inc. Class B* | 3,762,579 | |
12,993 | Boston Properties, Inc. REIT | 974,085 | |
11,985 | Capital One Financial Corp. | 1,104,657 | |
42,194 | Charles Schwab Corp. (The) | 3,032,483 | |
315,998 | Citigroup, Inc. | 13,167,637 | |
31,766 | Comerica, Inc. | 2,258,563 | |
116,057 | Discover Financial Services | 10,551,902 |
See accompanying Notes to the Financial Statements. | 3 |
Shares | Description | Value ($) | |
Financial — continued | |||
42,766 | Equitable Holdings, Inc. | 1,126,884 | |
118,000 | Equity Residential REIT | 7,931,960 | |
163,425 | Host Hotels & Resorts, Inc. REIT | 2,595,189 | |
19,450 | Howard Hughes Corp. (The)* | 1,077,336 | |
41,980 | JPMorgan Chase & Co. | 4,386,910 | |
239,102 | KeyCorp. | 3,830,414 | |
30,279 | KKR & Co., Inc. | 1,301,997 | |
68,340 | Loews Corp. | 3,406,066 | |
57,567 | Mastercard, Inc. Class A | 16,368,601 | |
156,783 | MetLife, Inc. | 9,529,271 | |
224,664 | New York Community Bancorp, Inc.(a) | 1,916,384 | |
39,160 | Popular, Inc. | 2,821,870 | |
21,466 | Prudential Financial, Inc. | 1,841,353 | |
51,444 | Regency Centers Corp. REIT | 2,770,259 | |
20,795 | Reinsurance Group of America, Inc. | 2,616,219 | |
26,136 | Simon Property Group, Inc. REIT | 2,345,706 | |
111,648 | Synchrony Financial | 3,147,357 | |
174,900 | Truist Financial Corp. | 7,615,146 | |
182,500 | US Bancorp | 7,358,400 | |
98,293 | Visa, Inc. Class A | 17,461,751 | |
150,515 | Wells Fargo & Co. | 6,053,713 | |
197,407 | Weyerhaeuser Co. REIT | 5,637,944 | |
14,674 | Willis Towers Watson Plc | 2,948,594 | |
182,761,769 | |||
Industrial — 5.7% | |||
401,031 | Amcor Plc | 4,303,063 | |
40,583 | Builders FirstSource, Inc.* | 2,391,150 | |
36,976 | Crown Holdings, Inc. | 2,996,165 | |
64,997 | Dover Corp. | 7,577,350 | |
20,124 | FedEx Corp. | 2,987,810 | |
46,799 | Honeywell International, Inc. | 7,814,029 | |
20,918 | Johnson Controls International Plc | 1,029,584 | |
4,136 | L3Harris Technologies, Inc. | 859,585 | |
52,701 | Masco Corp. | 2,460,610 | |
32,550 | Northrop Grumman Corp. | 15,308,916 | |
110,389 | Raytheon Technologies Corp. | 9,036,443 | |
21,435 | Union Pacific Corp. | 4,175,967 | |
117,505 | Vontier Corp. | 1,963,509 | |
62,904,181 | |||
Technology — 16.3% | |||
33,235 | Accenture Plc Class A | 8,551,365 | |
52,983 | Adobe, Inc.* | 14,580,922 | |
123,912 | Apple, Inc. | 17,124,638 | |
3,478 | ASML Holding NV, ADR NYRS | 1,444,587 | |
20,848 | Atlassian Corp. Plc Class A* | 4,390,380 | |
50,072 | Autodesk, Inc.* | 9,353,450 | |
24,896 | Broadcom, Inc. | 11,054,073 |
4 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Technology — continued | |||
124,255 | Cognizant Technology Solutions Corp. Class A | 7,137,207 | |
24,351 | Crowdstrike Holdings, Inc. Class A* | 4,013,288 | |
60,276 | DocuSign, Inc. Class A* | 3,222,958 | |
8,895 | Fair Isaac Corp.* | 3,664,829 | |
89,252 | Fidelity National Information Services, Inc. | 6,744,774 | |
157,043 | HP, Inc. | 3,913,511 | |
33,436 | Intel Corp. | 861,646 | |
4,809 | KLA Corp. | 1,455,348 | |
28,779 | Micron Technology, Inc. | 1,441,828 | |
118,871 | Microsoft Corp. | 27,685,056 | |
55,007 | NVIDIA Corp. | 6,677,300 | |
4,933 | NXP Semiconductors NV | 727,667 | |
195,307 | Oracle Corp. | 11,927,398 | |
117,870 | salesforce, Inc.* | 16,954,421 | |
3,533 | Seagate Technology Holdings Plc | 188,062 | |
29,498 | ServiceNow, Inc.* | 11,138,740 | |
12,181 | Snowflake, Inc. Class A* | 2,070,283 | |
43,826 | Teradyne, Inc. | 3,293,524 | |
7,450 | Zebra Technologies Corp. Class A* | 1,951,974 | |
181,569,229 | |||
Utilities — 1.3% | |||
193,646 | Edison International | 10,956,491 | |
63,151 | FirstEnergy Corp. | 2,336,587 | |
49,704 | UGI Corp. | 1,606,930 | |
14,900,008 | |||
TOTAL COMMON STOCKS (COST $1,089,926,213) | 1,053,718,586 |
Par Value ($) | Description | Value ($) | |
Short-Term Investment — 0.3% | |||
Mutual Fund - Securities Lending Collateral — 0.3% | |||
3,901,467 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(b)(c) | 3,901,467 | |
TOTAL SHORT-TERM INVESTMENT (COST $3,901,467) | 3,901,467 | ||
TOTAL INVESTMENTS — 95.2% (Cost $1,093,827,680) | 1,057,620,053 | ||
Other Assets and Liabilities (net) — 4.8% | 53,153,036 | ||
NET ASSETS — 100.0% | $1,110,773,089 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(c) | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements. | 5 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buys | ||||||||
162 | S&P 500 E-mini Index | Dec 2022 | $29,172,150 | $(3,153,919) | ||||
8 | S&P Mid 400 E-mini Index | Dec 2022 | 1,766,560 | (204,437) | ||||
$(3,358,356) |
Abbreviations | ||
ADR | — | American Depository Receipt |
NYRS | — | New York Registry Shares |
REIT | — | Real Estate Investment Trust |
6 | See accompanying Notes to the Financial Statements. |
Asset Class Summary (Unaudited) | % of Net Assets |
Common Stocks | 94.9 |
Futures Contracts | (0.3) |
Short-Term Investment | 0.3 |
Other Assets and Liabilities (net) | 5.1 |
100.0% |
See accompanying Notes to the Financial Statements. | 7 |
Shares | Description | Value ($) | |
COMMON STOCKS — 97.0% | |||
Basic Materials — 2.6% | |||
148,548 | Axalta Coating Systems, Ltd.* | 3,128,421 | |
19,400 | Cabot Corp. | 1,239,466 | |
70,200 | Chemours Co. (The) | 1,730,430 | |
17,400 | Eastman Chemical Co. | 1,236,270 | |
333,961 | Element Solutions, Inc. | 5,433,546 | |
42,132 | FMC Corp. | 4,453,352 | |
80,900 | Huntsman Corp. | 1,985,286 | |
48,300 | Koppers Holdings, Inc. | 1,003,674 | |
46,900 | Mativ Holdings, Inc. | 1,035,552 | |
48,900 | Mosaic Co. (The) | 2,363,337 | |
23,169 | Quaker Chemical Corp.(a) | 3,345,140 | |
17,400 | Reliance Steel & Aluminum Co. | 3,034,734 | |
54,211 | RPM International, Inc. | 4,516,318 | |
45,400 | Steel Dynamics, Inc. | 3,221,130 | |
18,800 | Trinseo Plc | 344,416 | |
81,300 | Tronox Holdings Plc | 995,925 | |
39,066,997 | |||
Communications — 2.2% | |||
47,900 | AMC Networks, Inc. Class A* | 972,370 | |
108,300 | Audacy, Inc. Class A* | 41,815 | |
111,900 | Cars.com, Inc.* | 1,286,850 | |
94,710 | Ciena Corp.* | 3,829,125 | |
16,581 | Cogent Communications Holdings, Inc. | 864,865 | |
101,067 | ePlus, Inc.* | 4,198,323 | |
24,660 | F5, Inc.* | 3,569,042 | |
61,700 | Gray Television, Inc. | 883,544 | |
1 | Liberty Broadband Corp. Class C* | 74 | |
159,828 | Liberty Latin America, Ltd. Class A* | 989,335 | |
73,256 | Liberty Latin America, Ltd. Class C* | 450,525 | |
165,800 | Lumen Technologies, Inc. | 1,207,024 | |
14,200 | Nexstar Media Group, Inc. Class A | 2,369,270 | |
23,340 | Nice, Ltd., ADR*(a) | 4,393,522 | |
50,100 | Okta, Inc.* | 2,849,187 | |
9,700 | Preformed Line Products Co. | 690,155 | |
56,276 | Q2 Holdings, Inc.* | 1,812,087 | |
114,131 | Yelp, Inc. Class A* | 3,870,182 | |
34,277,295 | |||
Consumer, Cyclical — 16.0% | |||
46,055 | Advance Auto Parts, Inc. | 7,200,239 | |
34,300 | Alaska Air Group, Inc.* | 1,342,845 | |
62,800 | Allison Transmission Holdings, Inc. | 2,120,128 | |
133,400 | American Axle & Manufacturing Holdings, Inc.* | 911,122 | |
11,174 | Asbury Automotive Group, Inc.* | 1,688,391 | |
310,454 | BJ's Wholesale Club Holdings, Inc.* | 22,604,156 | |
44,400 | Bloomin' Brands, Inc. | 813,852 | |
58,700 | BorgWarner, Inc. | 1,843,180 |
8 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
47,545 | BRP, Inc.(a) | 2,926,870 | |
23,500 | Brunswick Corp. | 1,538,075 | |
24,736 | Burlington Stores, Inc.* | 2,767,711 | |
64,484 | Carter's, Inc.(a) | 4,225,637 | |
20,043 | Casey's General Stores, Inc. | 4,059,108 | |
22,125 | Cavco Industries, Inc.* | 4,552,440 | |
160,950 | Cheesecake Factory, Inc. (The)(a) | 4,712,616 | |
20,608 | Churchill Downs, Inc. | 3,794,963 | |
36,888 | Columbia Sportswear Co. | 2,482,562 | |
22,300 | Crocs, Inc.* | 1,531,118 | |
29,196 | Deckers Outdoor Corp.* | 9,126,962 | |
32,000 | Dick's Sporting Goods, Inc.(a) | 3,348,480 | |
48,312 | Dorman Products, Inc.* | 3,967,381 | |
55,800 | Ethan Allen Interiors, Inc. | 1,179,612 | |
94,865 | Five Below, Inc.* | 13,060,065 | |
49,900 | Foot Locker, Inc. | 1,553,387 | |
23,500 | Genesco, Inc.* | 924,020 | |
54,831 | Gentherm, Inc.* | 2,726,746 | |
33,600 | GMS, Inc.* | 1,344,336 | |
102,000 | Goodyear Tire & Rubber Co. (The)* | 1,029,180 | |
11,500 | Group 1 Automotive, Inc. | 1,643,005 | |
45,000 | Harley-Davidson, Inc. | 1,569,600 | |
47,600 | Haverty Furniture Cos., Inc. | 1,185,240 | |
33,000 | Hibbett, Inc. | 1,643,730 | |
88,039 | IAA, Inc.* | 2,804,042 | |
16,100 | Johnson Outdoors, Inc. Class A | 826,091 | |
47,700 | Kohl's Corp. | 1,199,655 | |
61,300 | La-Z-Boy, Inc. | 1,383,541 | |
10,200 | Lear Corp. | 1,220,838 | |
138,359 | Leslie's, Inc.*(a) | 2,035,261 | |
21,724 | Lithia Motors, Inc. Class A | 4,660,884 | |
189,090 | LKQ Corp. | 8,915,593 | |
65,900 | Macy's, Inc. | 1,032,653 | |
28,200 | MDC Holdings, Inc. | 773,244 | |
34,300 | Methode Electronics, Inc. | 1,274,245 | |
40,100 | Movado Group, Inc. | 1,130,018 | |
20,400 | MSC Industrial Direct Co., Inc. Class A | 1,485,324 | |
14,529 | Murphy USA, Inc. | 3,994,167 | |
147,931 | National Vision Holdings, Inc.* | 4,829,947 | |
70,840 | Nordstrom, Inc.(a) | 1,185,153 | |
21,000 | Nu Skin Enterprises, Inc. Class A | 700,770 | |
39,500 | ODP Corp. (The)* | 1,388,425 | |
53,113 | Planet Fitness, Inc. Class A* | 3,062,496 | |
86,768 | Polaris, Inc. | 8,299,359 | |
9,965 | Pool Corp. | 3,170,963 | |
43,500 | PulteGroup, Inc. | 1,631,250 | |
19,600 | PVH Corp. | 878,080 | |
109,000 | Qurate Retail, Inc. Series A | 219,090 | |
144,511 | Red Rock Resorts, Inc. Class A | 4,950,947 |
See accompanying Notes to the Financial Statements. | 9 |
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
89,800 | REV Group, Inc. | 990,494 | |
91,100 | Sally Beauty Holdings, Inc.* | 1,147,860 | |
36,400 | ScanSource, Inc.* | 961,324 | |
27,514 | SiteOne Landscape Supply, Inc.* | 2,865,308 | |
92,648 | Skechers USA, Inc. Class A* | 2,938,795 | |
34,300 | SkyWest, Inc.* | 557,718 | |
29,998 | Sleep Number Corp.* | 1,014,232 | |
30,500 | Sonic Automotive, Inc. Class A | 1,320,650 | |
145,230 | Tapestry, Inc. | 4,128,889 | |
119,776 | Texas Roadhouse, Inc. Class A | 10,451,654 | |
15,000 | Thor Industries, Inc. | 1,049,700 | |
47,400 | Toll Brothers, Inc. | 1,990,800 | |
105,600 | Tri Pointe Homes, Inc.* | 1,595,616 | |
42,509 | UniFirst Corp. | 7,151,289 | |
139,817 | Univar Solutions, Inc.* | 3,179,439 | |
14,940 | Vail Resorts, Inc. | 3,221,662 | |
11,600 | Veritiv Corp.* | 1,134,132 | |
32,178 | Visteon Corp.* | 3,412,799 | |
44,630 | WESCO International, Inc.* | 5,327,929 | |
21,200 | Whirlpool Corp. | 2,857,972 | |
11,300 | Williams-Sonoma, Inc. | 1,331,705 | |
23,200 | Winnebago Industries, Inc. | 1,234,472 | |
126,401 | World Fuel Services Corp. | 2,962,839 | |
241,296,071 | |||
Consumer, Non-cyclical — 24.8% | |||
150,081 | Acadia Healthcare Co., Inc.* | 11,733,333 | |
157,500 | ACCO Brands Corp. | 771,750 | |
479,830 | Alight, Inc. Class A*(a) | 3,517,154 | |
196,433 | AngioDynamics, Inc.* | 4,019,019 | |
6,507 | Argenx SE, ADR* | 2,297,296 | |
57,808 | Ascendis Pharma AS, ADR* | 5,969,254 | |
181,430 | Avantor, Inc.* | 3,556,028 | |
71,334 | Axonics, Inc.* | 5,024,767 | |
37,442 | Azenta, Inc. | 1,604,764 | |
123,021 | Bausch + Lomb Corp.* | 1,887,142 | |
19,511 | Bio-Rad Laboratories, Inc. Class A* | 8,138,819 | |
43,101 | Blueprint Medicines Corp.* | 2,839,925 | |
108,851 | Booz Allen Hamilton Holding Corp. Class A | 10,052,390 | |
30,357 | Bright Horizons Family Solutions, Inc.* | 1,750,081 | |
27,900 | Bunge, Ltd. | 2,303,703 | |
144,538 | Catalent, Inc.* | 10,458,770 | |
225,028 | Catalyst Pharmaceuticals, Inc.* | 2,887,109 | |
54,200 | Conagra Brands, Inc. | 1,768,546 | |
39,603 | CONMED Corp. | 3,174,972 | |
510,063 | CoreCivic, Inc.* | 4,508,957 | |
5,490 | CRA International, Inc. | 487,183 | |
29,400 | DaVita, Inc.* | 2,433,438 | |
43,400 | Deluxe Corp. | 722,610 |
10 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
77,432 | Driven Brands Holdings, Inc.* | 2,166,547 | |
353,774 | Dun & Bradstreet Holdings, Inc. | 4,383,260 | |
22,100 | Emergent BioSolutions, Inc.* | 463,879 | |
94,520 | Envista Holdings Corp.* | 3,101,201 | |
82,898 | EVERTEC, Inc. | 2,598,852 | |
87,600 | Exelixis, Inc.* | 1,373,568 | |
73,690 | Fate Therapeutics, Inc.*(a) | 1,651,393 | |
29,828 | FTI Consulting, Inc.* | 4,942,798 | |
39,310 | Gartner, Inc.* | 10,876,684 | |
86,200 | GEO Group, Inc. (The) REIT*(a) | 663,740 | |
131,000 | Globus Medical, Inc. Class A* | 7,803,670 | |
26,224 | Grand Canyon Education, Inc.* | 2,156,924 | |
52,540 | Guardant Health, Inc.* | 2,828,228 | |
72,732 | H&R Block, Inc. | 3,094,019 | |
166,763 | Halozyme Therapeutics, Inc.* | 6,593,809 | |
12,146 | Helen of Troy, Ltd.* | 1,171,360 | |
49,320 | Hologic, Inc.* | 3,182,126 | |
79,782 | Horizon Therapeutics Plc* | 4,937,708 | |
89,584 | Hostess Brands, Inc. Class A* | 2,081,932 | |
36,610 | ICON Plc, ADR* | 6,728,186 | |
15,496 | ICU Medical, Inc.* | 2,333,698 | |
21,930 | Incyte Corp.* | 1,461,415 | |
60,933 | Ingles Markets, Inc. Class A | 4,826,503 | |
39,200 | Ingredion, Inc. | 3,156,384 | |
132,416 | Innoviva, Inc.* | 1,537,350 | |
15,370 | Inspire Medical Systems, Inc.* | 2,726,177 | |
25,937 | Insulet Corp.* | 5,949,948 | |
50,673 | Integer Holdings Corp.* | 3,153,381 | |
70,529 | Intra-Cellular Therapies, Inc.* | 3,281,714 | |
247,100 | Ironwood Pharmaceuticals, Inc. Class A* | 2,559,956 | |
56,095 | Jazz Pharmaceuticals Plc* | 7,476,903 | |
12,100 | JM Smucker Co. (The) | 1,662,661 | |
120,601 | Krispy Kreme, Inc.(a) | 1,390,529 | |
28,309 | Lancaster Colony Corp. | 4,254,276 | |
53,360 | Lantheus Holdings, Inc.* | 3,752,809 | |
38,058 | LivaNova Plc* | 1,932,205 | |
27,500 | ManpowerGroup, Inc. | 1,778,975 | |
15,857 | Molina Healthcare, Inc.* | 5,230,273 | |
172,213 | Molson Coors Beverage Co. Class B | 8,264,502 | |
20,626 | Morningstar, Inc. | 4,379,312 | |
92,223 | Neurocrine Biosciences, Inc.* | 9,795,005 | |
68,411 | Pacira BioSciences, Inc.* | 3,638,781 | |
86,393 | Patterson Cos., Inc. | 2,075,160 | |
419,800 | Paya Holdings, Inc.* | 2,564,978 | |
76,324 | Paylocity Holding Corp.* | 18,438,352 | |
160,579 | Pediatrix Medical Group, Inc.* | 2,651,159 | |
67,600 | Perdoceo Education Corp.* | 696,280 | |
166,717 | Performance Food Group Co.* | 7,160,495 | |
38,300 | Pilgrim's Pride Corp.* | 881,666 |
See accompanying Notes to the Financial Statements. | 11 |
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
228,564 | Premier, Inc. Class A | 7,757,462 | |
31,500 | Prestige Consumer Healthcare, Inc.* | 1,569,645 | |
94,917 | PTC Therapeutics, Inc.* | 4,764,833 | |
60,900 | Quanex Building Products Corp. | 1,105,944 | |
13,900 | Quest Diagnostics, Inc. | 1,705,391 | |
216,990 | R1 RCM, Inc.* | 4,020,825 | |
39,700 | Rent-A-Center, Inc. | 695,147 | |
15,370 | Repligen Corp.* | 2,875,881 | |
70,900 | Ritchie Bros Auctioneers, Inc. | 4,429,832 | |
148,371 | Rocket Pharmaceuticals, Inc.* | 2,368,001 | |
29,100 | Sarepta Therapeutics, Inc.* | 3,216,714 | |
88,200 | Select Medical Holdings Corp. | 1,949,220 | |
136,135 | Simply Good Foods Co. (The)* | 4,354,959 | |
41,700 | SpartanNash Co. | 1,210,134 | |
74,000 | Sprouts Farmers Market, Inc.* | 2,053,500 | |
12,473 | STERIS Plc | 2,074,010 | |
70,985 | Syneos Health, Inc.* | 3,346,943 | |
65,720 | TransUnion | 3,909,683 | |
53,100 | Triton International, Ltd. | 2,906,163 | |
40,462 | United Therapeutics Corp.* | 8,471,934 | |
13,700 | Universal Corp. | 630,748 | |
19,400 | Universal Health Services, Inc. Class B | 1,710,692 | |
83,916 | Vericel Corp.* | 1,946,851 | |
31,961 | Viad Corp.* | 1,009,328 | |
122,700 | Viatris, Inc. | 1,045,404 | |
18,900 | Weis Markets, Inc. | 1,346,436 | |
35,885 | WEX, Inc.* | 4,555,242 | |
265,376 | WillScot Mobile Mini Holdings Corp.* | 10,702,614 | |
100,521 | Xencor, Inc.* | 2,611,536 | |
374,062,813 | |||
Energy — 4.3% | |||
98,000 | APA Corp. | 3,350,620 | |
282,313 | ChampionX Corp. | 5,524,865 | |
17,168 | Chesapeake Energy Corp.(a) | 1,617,397 | |
43,200 | Continental Resources, Inc. | 2,886,192 | |
110,024 | Diamondback Energy, Inc. | 13,253,491 | |
158,553 | HF Sinclair Corp. | 8,536,494 | |
341,472 | Magnolia Oil & Gas Corp. Class A | 6,764,560 | |
162,000 | Marathon Oil Corp. | 3,657,960 | |
39,557 | Matador Resources Co. | 1,935,129 | |
70,700 | National Energy Services Reunited Corp.* | 419,958 | |
139,586 | Ovintiv, Inc. | 6,420,956 | |
47,300 | PDC Energy, Inc. | 2,733,467 | |
439,372 | Permian Resources Corp. Class A* | 2,987,730 | |
179,847 | ProPetro Holding Corp.* | 1,447,768 | |
81,265 | SM Energy Co. | 3,056,377 | |
64,592,964 |
12 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Financial — 17.8% | |||
65,229 | Agree Realty Corp. REIT | 4,408,176 | |
61,500 | Ally Financial, Inc. | 1,711,545 | |
158,545 | American Equity Investment Life Holding Co. | 5,912,143 | |
68,668 | American Financial Group, Inc. | 8,441,357 | |
44,750 | Annaly Capital Management, Inc. REIT | 767,910 | |
128,400 | Apple Hospitality REIT, Inc. REIT | 1,805,304 | |
107,300 | Ares Capital Corp. | 1,811,224 | |
61,530 | Ares Management Corp. Class A | 3,811,784 | |
45,514 | Artisan Partners Asset Management, Inc. Class A | 1,225,692 | |
155,400 | Associated Banc-Corp. | 3,120,432 | |
120,694 | Atlantic Union Bankshares Corp. | 3,666,684 | |
94,882 | Axis Capital Holdings, Ltd. | 4,663,450 | |
82,586 | Axos Financial, Inc.* | 2,826,919 | |
68,600 | Banco Latinoamericano de Comercio Exterior SA | 895,916 | |
35,400 | Bank of NT Butterfield & Son, Ltd. (The) | 1,149,084 | |
257,200 | Braemar Hotels & Resorts, Inc. REIT | 1,105,960 | |
177,700 | Brandywine Realty Trust REIT | 1,199,475 | |
80,900 | Brixmor Property Group, Inc. REIT | 1,494,223 | |
6,897 | C&F Financial Corp. | 368,990 | |
303,768 | Cannae Holdings, Inc.* | 6,275,847 | |
65,200 | Cathay General Bancorp | 2,507,592 | |
99,300 | Chimera Investment Corp. REIT(a) | 518,346 | |
61,400 | Citizens Financial Group, Inc. | 2,109,704 | |
154,000 | City Office REIT, Inc. REIT | 1,535,380 | |
64,267 | CNA Financial Corp. | 2,371,452 | |
157,800 | CNO Financial Group, Inc. | 2,835,666 | |
51,500 | Comerica, Inc. | 3,661,650 | |
26,660 | Cullen/Frost Bankers, Inc. | 3,524,985 | |
205,659 | Easterly Government Properties, Inc. REIT Class A | 3,243,242 | |
18,023 | EastGroup Properties, Inc. REIT | 2,601,440 | |
77,200 | Equitable Holdings, Inc. | 2,034,220 | |
30,300 | Essent Group, Ltd. | 1,056,561 | |
9,800 | Federal Agricultural Mortgage Corp. Class C | 971,572 | |
117,391 | Fidelity National Financial, Inc. | 4,249,554 | |
48,200 | Fifth Third Bancorp | 1,540,472 | |
35,500 | Financial Institutions, Inc. | 854,485 | |
33,000 | First American Financial Corp. | 1,521,300 | |
67,453 | First Busey Corp. | 1,482,617 | |
14,900 | First Horizon Corp. | 341,210 | |
46,200 | Flagstar Bancorp, Inc. | 1,543,080 | |
105,300 | FNB Corp. | 1,221,480 | |
209,166 | Franklin Street Properties Corp. REIT | 550,107 | |
150,834 | FS KKR Capital Corp.(a) | 2,556,636 | |
28,400 | Gaming and Leisure Properties, Inc. REIT | 1,256,416 | |
912,540 | Genworth Financial, Inc. Class A* | 3,193,890 | |
132,994 | Glacier Bancorp, Inc. | 6,533,995 | |
99,100 | Global Net Lease, Inc. REIT | 1,055,415 | |
46,960 | Hamilton Lane, Inc. Class A | 2,799,286 | |
47,200 | Hancock Whitney Corp. | 2,162,232 |
See accompanying Notes to the Financial Statements. | 13 |
Shares | Description | Value ($) | |
Financial — continued | |||
66,600 | Hanmi Financial Corp. | 1,577,088 | |
32,800 | Heritage Insurance Holdings, Inc. | 74,128 | |
138,200 | Hope Bancorp, Inc. | 1,746,848 | |
86,500 | Horizon Bancorp, Inc. | 1,553,540 | |
134,052 | Hudson Pacific Properties, Inc. REIT | 1,467,869 | |
179,187 | Independence Realty Trust, Inc. REIT | 2,997,799 | |
69,000 | Independent Bank Corp. | 1,317,900 | |
64,000 | Industrial Logistics Properties Trust REIT | 352,000 | |
28,500 | Iron Mountain, Inc. REIT | 1,253,145 | |
87,500 | Jefferies Financial Group, Inc. | 2,581,250 | |
189,300 | KeyCorp. | 3,032,586 | |
40,972 | Kinsale Capital Group, Inc. | 10,465,068 | |
52,020 | Kite Realty Group Trust REIT | 895,784 | |
37,700 | Lincoln National Corp. | 1,655,407 | |
27,063 | LPL Financial Holdings, Inc. | 5,912,724 | |
121,600 | Medical Properties Trust, Inc. REIT | 1,442,176 | |
90,400 | MFA Financial, Inc. REIT | 703,312 | |
176,200 | MGIC Investment Corp. | 2,258,884 | |
98,074 | National Health Investors, Inc. REIT | 5,544,123 | |
55,504 | National Storage Affiliates Trust REIT | 2,307,856 | |
139,500 | Navient Corp. | 2,049,255 | |
221,300 | Necessity Retail REIT, Inc. (The) REIT | 1,301,244 | |
154,400 | New Mountain Finance Corp. | 1,780,232 | |
238,634 | Newmark Group, Inc. Class A | 1,923,390 | |
58,252 | NMI Holdings, Inc. Class A* | 1,186,593 | |
224,825 | Oaktree Specialty Lending Corp. | 1,348,950 | |
55,083 | Office Properties Income Trust REIT | 773,916 | |
73,500 | OFG Bancorp | 1,847,055 | |
46,100 | Omega Healthcare Investors, Inc. REIT | 1,359,489 | |
37,400 | OneMain Holdings, Inc. | 1,104,048 | |
87,733 | Pacific Premier Bancorp, Inc. | 2,716,214 | |
29,011 | Palomar Holdings, Inc.* | 2,428,801 | |
219,999 | Physicians Realty Trust REIT | 3,308,785 | |
122,100 | Piedmont Office Realty Trust, Inc. REIT Class A | 1,289,376 | |
80,916 | Pinnacle Financial Partners, Inc. | 6,562,288 | |
38,358 | Piper Sandler Cos. | 4,017,617 | |
25,500 | Popular, Inc. | 1,837,530 | |
66,500 | Radian Group, Inc. | 1,282,785 | |
156,700 | Redwood Trust, Inc. REIT | 899,458 | |
125,700 | Regions Financial Corp. | 2,522,799 | |
12,100 | Reinsurance Group of America, Inc. | 1,522,301 | |
117,600 | Sabra Health Care REIT, Inc. REIT | 1,542,912 | |
33,500 | Sandy Spring Bancorp, Inc. | 1,181,210 | |
59,600 | Service Properties Trust REIT | 309,324 | |
30,566 | Signature Bank | 4,615,466 | |
77,832 | StepStone Group, Inc. Class A | 1,907,662 | |
309,229 | Summit Hotel Properties, Inc. REIT | 2,078,019 | |
71,668 | Sun Communities, Inc. REIT | 9,698,830 | |
147,000 | Tanger Factory Outlet Centers, Inc. REIT | 2,010,960 |
14 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Financial — continued | |||
35,400 | Umpqua Holdings Corp. | 604,986 | |
172,600 | Uniti Group, Inc. REIT | 1,199,570 | |
72,400 | Universal Insurance Holdings, Inc. | 713,140 | |
77,500 | Unum Group | 3,007,000 | |
45,100 | Victory Capital Holdings, Inc. Class A | 1,051,281 | |
131,819 | Voya Financial, Inc. | 7,975,050 | |
91,726 | Western Alliance Bancorp | 6,030,067 | |
73,600 | Western Union Co. (The) | 993,600 | |
6,985 | White Mountains Insurance Group, Ltd. | 9,101,595 | |
77,100 | Zions Bancorp NA | 3,921,306 | |
268,639,691 | |||
Industrial — 18.5% | |||
16,000 | Acuity Brands, Inc. | 2,519,520 | |
104,933 | Advanced Drainage Systems, Inc. | 13,050,517 | |
45,244 | Advanced Energy Industries, Inc. | 3,502,338 | |
46,400 | �� | AGCO Corp. | 4,462,288 |
403,305 | Air Transport Services Group, Inc.* | 9,715,617 | |
42,100 | Apogee Enterprises, Inc. | 1,609,062 | |
24,336 | AptarGroup, Inc. | 2,312,650 | |
18,100 | ArcBest Corp. | 1,316,413 | |
106,868 | Argan, Inc. | 3,437,944 | |
72,678 | Armstrong World Industries, Inc. | 5,758,278 | |
26,450 | Arrow Electronics, Inc.* | 2,438,426 | |
163,682 | Atkore, Inc.* | 12,736,096 | |
7,220 | Atlas Air Worldwide Holdings, Inc.* | 690,015 | |
36,785 | Axon Enterprise, Inc.* | 4,257,864 | |
44,700 | Berry Global Group, Inc.* | 2,079,891 | |
21,600 | Boise Cascade Co. | 1,284,336 | |
15,577 | Chart Industries, Inc.* | 2,871,620 | |
117,465 | Cognex Corp. | 4,868,924 | |
37,440 | Coherent Corp.* | 1,304,784 | |
94,082 | Columbus McKinnon Corp. | 2,461,185 | |
119,893 | Comfort Systems USA, Inc. | 11,669,186 | |
20,200 | Crane Holdings Co. | 1,768,308 | |
13,851 | Curtiss-Wright Corp. | 1,927,505 | |
41,757 | Eagle Materials, Inc. | 4,475,515 | |
47,900 | Encore Wire Corp. | 5,534,366 | |
44,800 | Energizer Holdings, Inc. | 1,126,272 | |
14,745 | Enovis Corp.* | 679,302 | |
31,034 | Esab Corp. | 1,035,294 | |
42,526 | Exponent, Inc. | 3,728,254 | |
117,094 | Federal Signal Corp. | 4,369,948 | |
134,600 | Flex, Ltd.* | 2,242,436 | |
445,342 | Gates Industrial Corp. Plc* | 4,346,538 | |
77,364 | Gibraltar Industries, Inc.* | 3,166,509 | |
51,100 | Greif, Inc. Class A | 3,044,027 | |
42,594 | HEICO Corp. | 6,132,684 | |
155,846 | Hexcel Corp. | 8,060,355 |
See accompanying Notes to the Financial Statements. | 15 |
Shares | Description | Value ($) | |
Industrial — continued | |||
31,100 | Hillenbrand, Inc. | 1,141,992 | |
7,900 | Huntington Ingalls Industries, Inc. | 1,749,850 | |
25,430 | IDEX Corp. | 5,082,186 | |
185,428 | Ingersoll Rand, Inc. | 8,021,615 | |
65,700 | Jabil, Inc. | 3,791,547 | |
27,352 | John Bean Technologies Corp. | 2,352,272 | |
52,783 | Lincoln Electric Holdings, Inc. | 6,635,879 | |
22,100 | Louisiana-Pacific Corp. | 1,131,299 | |
9,700 | Matthews International Corp. Class A | 217,377 | |
145,821 | MDU Resources Group, Inc. | 3,988,204 | |
18,220 | Middleby Corp. (The)* | 2,335,257 | |
72,305 | Modine Manufacturing Co.* | 935,627 | |
14,100 | Mohawk Industries, Inc.* | 1,285,779 | |
31,900 | Moog, Inc. Class A | 2,244,165 | |
28,869 | Nordson Corp. | 6,128,023 | |
107,400 | O-I Glass, Inc.* | 1,390,830 | |
12,900 | Oshkosh Corp. | 906,741 | |
38,200 | Owens Corning | 3,002,902 | |
10,100 | Packaging Corp. of America | 1,134,129 | |
66,000 | Primoris Services Corp. | 1,072,500 | |
126,733 | Ranpak Holdings Corp. Class A* | 433,427 | |
49,353 | RBC Bearings, Inc.* | 10,256,047 | |
19,400 | Ryder System, Inc. | 1,464,506 | |
26,960 | Saia, Inc.* | 5,122,400 | |
38,000 | Sanmina Corp.* | 1,751,040 | |
107,470 | Schneider National, Inc. Class B | 2,181,641 | |
103,510 | Sensata Technologies Holding Plc | 3,858,853 | |
73,400 | Silgan Holdings, Inc. | 3,085,736 | |
12,200 | Snap-on, Inc. | 2,456,470 | |
85,360 | TD SYNNEX Corp. | 6,930,378 | |
12,765 | Teledyne Technologies, Inc.* | 4,307,805 | |
30,838 | Tetra Tech, Inc. | 3,963,608 | |
14,600 | Timken Co. (The) | 861,984 | |
63,836 | Toro Co. (The) | 5,520,537 | |
55,578 | TriMas Corp. | 1,393,341 | |
60,298 | Trimble, Inc.* | 3,272,373 | |
107,400 | TTM Technologies, Inc.* | 1,415,532 | |
81,767 | Universal Logistics Holdings, Inc. | 2,593,649 | |
15,839 | Valmont Industries, Inc. | 4,254,672 | |
120,700 | Vishay Intertechnology, Inc. | 2,147,253 | |
175,968 | Vontier Corp. | 2,940,425 | |
36,000 | Vulcan Materials Co. | 5,677,560 | |
58,900 | Westrock Co. | 1,819,421 | |
84,933 | Zurn Elkay Water Solutions Corp. | 2,080,859 | |
280,321,958 | |||
Technology — 9.4% | |||
203,390 | ACI Worldwide, Inc.* | 4,250,851 | |
46,600 | Alpha & Omega Semiconductor, Ltd.* | 1,433,416 |
16 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Technology — continued | |||
23,600 | Amdocs, Ltd. | 1,875,020 | |
136,400 | Amkor Technology, Inc. | 2,325,620 | |
83,298 | Avid Technology, Inc.*(a) | 1,937,512 | |
22,370 | Bill.com Holdings, Inc.* | 2,961,117 | |
159,841 | Box, Inc. Class A* | 3,898,522 | |
24,243 | Broadridge Financial Solutions, Inc. | 3,498,750 | |
16,455 | Concentrix Corp. | 1,836,872 | |
36,900 | CSG Systems International, Inc. | 1,951,272 | |
30,300 | Donnelley Financial Solutions, Inc.* | 1,120,191 | |
78,381 | DXC Technology Co.* | 1,918,767 | |
20,400 | Ebix, Inc.(a) | 386,988 | |
32,040 | Endava Plc, ADR* | 2,583,385 | |
60,745 | Entegris, Inc. | 5,043,050 | |
103,204 | Evolent Health, Inc. Class A* | 3,708,120 | |
28,199 | ExlService Holdings, Inc.* | 4,155,405 | |
25,775 | Globant SA* | 4,821,987 | |
25,111 | HubSpot, Inc.* | 6,782,983 | |
107,568 | KBR, Inc. | 4,649,089 | |
34,634 | Lumentum Holdings, Inc.* | 2,374,853 | |
59,549 | Manhattan Associates, Inc.* | 7,921,804 | |
99,775 | MaxLinear, Inc.* | 3,254,661 | |
73,211 | MKS Instruments, Inc. | 6,050,157 | |
16,650 | MongoDB, Inc. Class A* | 3,306,024 | |
6,177 | Monolithic Power Systems, Inc. | 2,244,722 | |
200,244 | NCR Corp.* | 3,806,638 | |
34,021 | Nova, Ltd.*(a) | 2,901,991 | |
78,100 | Photronics, Inc.* | 1,141,822 | |
68,320 | Power Integrations, Inc. | 4,394,342 | |
78,638 | Procore Technologies, Inc.* | 3,891,008 | |
219,536 | Pure Storage, Inc. Class A* | 6,008,700 | |
60,592 | Rapid7, Inc.* | 2,599,397 | |
41,400 | Seagate Technology Holdings Plc | 2,203,722 | |
56,532 | Semtech Corp.* | 1,662,606 | |
56,537 | Silicon Laboratories, Inc.* | 6,978,927 | |
103,300 | SMART Global Holdings, Inc.* | 1,639,371 | |
28,237 | Synaptics, Inc.* | 2,795,745 | |
116,530 | Tenable Holdings, Inc.* | 4,055,244 | |
9,764 | Tyler Technologies, Inc.* | 3,392,990 | |
29,700 | Ultra Clean Holdings, Inc.* | 764,775 | |
54,434 | Verint Systems, Inc.* | 1,827,894 | |
75,400 | Xerox Holdings Corp. | 986,232 | |
16,744 | Zebra Technologies Corp. Class A* | 4,387,095 | |
141,729,637 | |||
Utilities — 1.4% | |||
46,302 | IDACORP, Inc. | 4,584,361 | |
24,700 | National Fuel Gas Co. | 1,520,285 | |
94,200 | NRG Energy, Inc. | 3,605,034 | |
30,000 | OGE Energy Corp. | 1,093,800 |
See accompanying Notes to the Financial Statements. | 17 |
Shares | Description | Value ($) | |
Utilities — continued | |||
77,967 | Portland General Electric Co. | 3,388,446 | |
310,329 | Vistra Corp. | 6,516,909 | |
20,708,835 | |||
TOTAL COMMON STOCKS (COST $1,503,175,826) | 1,464,696,261 |
Par Value ($) | Description | Value ($) | |
Short-Term Investment — 0.8% | |||
Mutual Fund - Securities Lending Collateral — 0.8% | |||
12,334,611 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(b)(c) | 12,334,611 | |
TOTAL SHORT-TERM INVESTMENT (COST $12,334,611) | 12,334,611 | ||
TOTAL INVESTMENTS — 97.8% (Cost $1,515,510,437) | 1,477,030,872 | ||
Other Assets and Liabilities (net) — 2.2% | 32,939,317 | ||
NET ASSETS — 100.0% | $1,509,970,189 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(c) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buys | ||||||||
174 | Russell 2000 E-mini Index | Dec 2022 | $14,527,260 | $(1,536,516) | ||||
58 | S&P Mid 400 E-mini Index | Dec 2022 | 12,807,560 | (1,393,621) | ||||
$(2,930,137) |
Abbreviations | ||
ADR | — | American Depository Receipt |
REIT | — | Real Estate Investment Trust |
18 | See accompanying Notes to the Financial Statements. |
Asset Class Summary (Unaudited) | % of Net Assets |
Common Stocks | 97.0 |
Futures Contracts | (0.2) |
Short-Term Investment | 0.8 |
Other Assets and Liabilities (net) | 2.4 |
100.0% |
See accompanying Notes to the Financial Statements. | 19 |
Shares | Description | Value ($) | |
COMMON STOCKS — 92.8% | |||
Australia — 5.1% | |||
27,662 | Ampol, Ltd. | 513,383 | |
642,647 | APA Group | 3,944,251 | |
3,071,169 | Aurizon Holdings, Ltd. | 6,782,593 | |
277,760 | Australia & New Zealand Banking Group, Ltd. | 4,053,816 | |
681,000 | Bank of Queensland, Ltd.(a) | 2,838,975 | |
2,331,500 | Beach Energy, Ltd. | 2,241,155 | |
294,129 | BGP Holdings Plc* (b) (c) | — | |
252,787 | BHP Group, Ltd. | 6,328,115 | |
373,922 | BlueScope Steel, Ltd. | 3,636,128 | |
350,170 | Brambles, Ltd. | 2,553,814 | |
1,146,851 | Coles Group, Ltd. | 12,127,903 | |
95,200 | CSL, Ltd. | 17,350,995 | |
225,700 | Elders, Ltd.(a) | 1,721,028 | |
461,500 | Fortescue Metals Group, Ltd. | 4,971,594 | |
1,256,900 | Genworth Mortgage Insurance Australia, Ltd. | 2,179,035 | |
1,052,146 | Glencore Plc | 5,554,649 | |
1,558,600 | Harvey Norman Holdings, Ltd.(a) | 4,021,758 | |
731,800 | Inghams Group, Ltd.(a) | 1,114,092 | |
1,524,346 | Metcash, Ltd.(a) | 3,797,688 | |
1,454,500 | Mirvac Group REIT | 1,805,694 | |
35,640 | Origin Energy, Ltd. | 117,381 | |
1,626,284 | Orora, Ltd. | 3,119,727 | |
810,700 | Perenti Global, Ltd. | 480,941 | |
90,636 | Rio Tinto Plc | 4,908,063 | |
238,213 | Rio Tinto Plc, ADR | 13,116,008 | |
255,653 | Rio Tinto, Ltd. | 15,293,129 | |
91,145 | Santos, Ltd. | 414,950 | |
370,001 | South32, Ltd. | 859,628 | |
1,011,400 | Stockland REIT | 2,116,923 | |
345,218 | Super Retail Group, Ltd. | 1,954,229 | |
190,475 | Treasury Wine Estates, Ltd. | 1,541,539 | |
56,133 | Viva Energy Group, Ltd. 144A | 93,718 | |
81,191 | Wesfarmers, Ltd. | 2,217,987 | |
430,889 | Whitehaven Coal, Ltd. | 2,490,527 | |
209,649 | Woodside Energy Group, Ltd. | 4,287,002 | |
20,807 | Woodside Energy Group, Ltd. (London Exchange) | 427,022 | |
567,754 | Woolworths Group, Ltd. | 12,347,748 | |
139,249 | Yancoal Australia, Ltd. | 506,785 | |
153,829,973 | |||
Austria — 0.3% | |||
145,742 | OMV AG | 5,243,414 | |
9,905 | Raiffeisen Bank International AG | 117,550 | |
107,300 | Wienerberger AG | 2,150,360 | |
7,511,324 | |||
Belgium — 0.6% | |||
66,300 | Ageas SA | 2,404,556 |
20 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Belgium — continued | |||
143,260 | Anheuser-Busch InBev SA | 6,478,148 | |
79,250 | Anheuser-Busch InBev SA, ADR | 3,578,930 | |
27,730 | Groupe Bruxelles Lambert SA | 1,926,193 | |
21,907 | Proximus SADP | 226,895 | |
34,200 | Solvay SA | 2,615,031 | |
26,100 | UCB SA | 1,804,448 | |
19,034,201 | |||
Brazil — 1.1% | |||
1,330,300 | Petroleo Brasileiro SA | 8,135,985 | |
242,278 | Petroleo Brasileiro SA, ADR | 2,989,711 | |
369,255 | Petroleo Brasileiro SA, Preferred ADR | 4,091,346 | |
352,400 | Vale SA | 4,693,585 | |
135,492 | Wheaton Precious Metals Corp. | 4,410,725 | |
217,206 | Yara International ASA | 7,585,976 | |
31,907,328 | |||
Canada — 2.2% | |||
126,303 | Agnico Eagle Mines, Ltd. | 5,364,465 | |
868,200 | B2Gold Corp. | 2,805,435 | |
257,550 | Canadian Pacific Railway, Ltd. | 17,283,712 | |
28,200 | Canadian Tire Corp., Ltd. Class A | 3,017,947 | |
172,036 | Franco-Nevada Corp. | 20,658,593 | |
411,458 | GFL Environmental, Inc. | 10,405,773 | |
40,800 | Loblaw Cos., Ltd. | 3,247,847 | |
118,900 | Suncor Energy, Inc. | 3,366,115 | |
66,149,887 | |||
Chile — 0.0% | |||
289,452 | Enel Americas SA | 30,821 | |
China — 0.5% | |||
1,310,000 | Bank of China, Ltd. Class H | 427,588 | |
9,221 | China Construction Bank Corp. | 106,041 | |
1,310,000 | China Medical System Holdings, Ltd. | 1,563,654 | |
3,542,000 | China Resources Cement Holdings, Ltd. | 1,640,356 | |
574,000 | Hengan International Group Co., Ltd. | 2,555,015 | |
4,087,000 | Industrial & Commercial Bank of China, Ltd. Class H | 1,906,520 | |
3,714,000 | Jiangnan Group, Ltd.* | 117,334 | |
370,500 | Kingboard Holdings, Ltd. | 1,041,007 | |
1,940,000 | Lee & Man Paper Manufacturing, Ltd. | 620,303 | |
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 864,512 | |
1,289,000 | Shenzhen International Holdings, Ltd. | 983,192 | |
1,088,000 | Xinyi Glass Holdings, Ltd. | 1,575,815 | |
2,782,600 | Yangzijiang Shipbuilding Holdings, Ltd. | 1,991,552 | |
15,392,889 | |||
Denmark — 2.0% | |||
387 | AP Moller - Maersk AS Class A | 681,696 | |
4,065 | AP Moller - Maersk AS Class B | 7,360,205 |
See accompanying Notes to the Financial Statements. | 21 |
Shares | Description | Value ($) | |
Denmark — continued | |||
282,200 | Danske Bank AS | 3,490,817 | |
36,700 | DFDS AS | 949,769 | |
49,082 | Jyske Bank AS* | 2,531,078 | |
299,784 | Novo Nordisk AS Class B | 29,867,285 | |
241,508 | Novozymes AS Class B | 12,040,242 | |
47,900 | Pandora AS | 2,230,044 | |
65,084 | Sydbank AS | 1,781,079 | |
60,932,215 | |||
Finland — 0.7% | |||
1,658,619 | Nokia OYJ | 7,079,645 | |
232,117 | Nordea Bank Abp | 1,985,145 | |
796,647 | Nordea Bank Abp (Stockholm Exchange) | 6,816,563 | |
97,800 | TietoEVRY OYJ(a) | 2,204,906 | |
108,800 | Valmet OYJ | 2,193,375 | |
20,279,634 | |||
France — 11.1% | |||
86,663 | Air Liquide SA | 9,864,007 | |
32,000 | Arkema SA | 2,332,938 | |
215,006 | AXA SA | 4,705,580 | |
542,141 | BNP Paribas SA | 22,878,406 | |
158,600 | Bouygues SA(a) | 4,130,033 | |
576,010 | Bureau Veritas SA | 12,858,323 | |
136,517 | Capgemini SE | 21,807,947 | |
475,873 | Carrefour SA | 6,589,983 | |
98,400 | Cie de Saint-Gobain | 3,507,888 | |
266,227 | Cie Generale des Etablissements Michelin SCA | 5,928,825 | |
361,100 | Credit Agricole SA | 2,906,283 | |
551,298 | Dassault Systemes SE | 18,942,406 | |
506,456 | Engie SA | 5,808,622 | |
128,399 | EssilorLuxottica SA | 17,390,390 | |
52,300 | Ipsen SA | 4,828,220 | |
56,600 | IPSOS | 2,517,368 | |
7,100 | Kering SA | 3,138,470 | |
240,041 | Legrand SA | 15,502,448 | |
51,293 | L'Oreal SA | 16,325,937 | |
35,414 | LVMH Moet Hennessy Louis Vuitton SE | 20,809,086 | |
125,400 | Metropole Television SA | 1,516,486 | |
36,500 | Nexity SA | 735,909 | |
1,822,824 | Orange SA | 16,476,570 | |
160,135 | Pernod Ricard SA | 29,257,998 | |
35,500 | Quadient SA | 490,537 | |
180,000 | Rexel SA | 2,676,150 | |
179,896 | Sanofi | 13,724,105 | |
78,979 | Sanofi, ADR | 3,002,782 | |
44,300 | Societe BIC SA | 2,813,111 | |
129,400 | Societe Generale SA | 2,566,407 | |
18,000 | Sopra Steria Group SACA | 2,266,792 |
22 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
France — continued | |||
50,253 | Teleperformance | 12,690,848 | |
219,200 | Television Francaise 1 | 1,254,692 | |
93,380 | Thales SA | 10,295,598 | |
558,154 | TotalEnergies SE | 26,261,530 | |
101,207 | TotalEnergies SE, ADR | 4,708,150 | |
333,510,825 | |||
Georgia — 0.0% | |||
45,361 | Bank of Georgia Group Plc | 995,065 | |
Germany — 8.1% | |||
26,534 | adidas AG | 3,078,029 | |
89,088 | Allianz SE | 14,092,477 | |
41,700 | Aurubis AG | 2,201,934 | |
424,549 | Bayer AG | 19,584,053 | |
263,310 | Bayerische Motoren Werke AG | 17,994,921 | |
69,597 | Beiersdorf AG | 6,884,210 | |
6,807 | Continental AG | 305,703 | |
206,450 | Covestro AG 144A | 5,966,414 | |
34,298 | Daimler Truck Holding AG* | 784,620 | |
69,109 | Deutsche Boerse AG | 11,373,252 | |
233,239 | Deutsche Pfandbriefbank AG | 1,614,254 | |
311,200 | Deutsche Post AG | 9,465,447 | |
903,862 | Deutsche Telekom AG | 15,487,741 | |
134,914 | E.ON SE | 1,043,725 | |
247,500 | Evonik Industries AG | 4,171,818 | |
23,299 | Fresenius Medical Care AG & Co. KGaA | 661,956 | |
349,710 | Fresenius SE & Co. KGaA | 7,487,467 | |
195,851 | GEA Group AG | 6,401,788 | |
24,595 | Henkel AG & Co. KGaA | 1,403,273 | |
283,000 | Infineon Technologies AG | 6,268,871 | |
61,781 | Knorr-Bremse AG | 2,677,483 | |
44,691 | LEG Immobilien SE | 2,687,958 | |
418,889 | Mercedes-Benz Group AG | 21,412,248 | |
33,112 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 8,006,094 | |
139,865 | Puma SE | 6,545,543 | |
33,500 | Rheinmetall AG | 5,186,777 | |
159,899 | RWE AG | 5,881,043 | |
156,695 | SAP SE | 12,911,845 | |
101,603 | SAP SE, ADR | 8,255,244 | |
27,377 | Siltronic AG | 1,555,376 | |
128,800 | Softwareone Holding AG* | 1,399,912 | |
219,866 | Symrise AG Class A | 21,626,249 | |
187,154 | TAG Immobilien AG | 1,507,157 | |
42,000 | Talanx AG* | 1,498,779 | |
106,800 | United Internet AG | 2,013,550 | |
191,302 | Vonovia SE | 4,161,745 | |
56,277 | Zalando SE* | 1,115,386 | |
244,714,342 |
See accompanying Notes to the Financial Statements. | 23 |
Shares | Description | Value ($) | |
Hong Kong — 0.2% | |||
213,000 | Pacific Basin Shipping, Ltd. | 65,971 | |
9,510,000 | Tongda Group Holdings, Ltd.* | 114,224 | |
1,834,000 | United Laboratories International Holdings, Ltd. (The) | 762,510 | |
8,982,000 | WH Group, Ltd. 144A | 5,649,908 | |
6,592,613 | |||
Hungary — 0.1% | |||
384,700 | MOL Hungarian Oil & Gas Plc | 2,141,862 | |
95,800 | Richter Gedeon Nyrt | 1,639,678 | |
3,781,540 | |||
India — 0.4% | |||
652,350 | HDFC Bank, Ltd. | 11,309,436 | |
1,172,100 | Redington India, Ltd. | 1,997,153 | |
13,306,589 | |||
Indonesia — 0.2% | |||
5,529,000 | Bank Negara Indonesia Persero Tbk PT | 3,232,495 | |
7,888,300 | Golden Agri-Resources, Ltd. | 1,453,786 | |
4,686,281 | |||
Ireland — 0.4% | |||
8,884 | AerCap Holdings NV* | 376,060 | |
107,513 | CRH Plc(a) | 3,441,296 | |
48,876 | Kerry Group Plc Class A | 4,340,261 | |
77,405 | Ryanair Holdings Plc, ADR* | 4,522,000 | |
12,679,617 | |||
Israel — 0.4% | |||
209,233 | Bank Hapoalim BM | 1,765,412 | |
316,972 | Bank Leumi Le-Israel BM | 2,705,978 | |
585 | Delek Group, Ltd.* | 92,864 | |
42,386 | ICL Group, Ltd. | 340,576 | |
233 | Israel Corp., Ltd. (The) | 89,893 | |
249,942 | Israel Discount Bank, Ltd. Class A | 1,258,966 | |
47,772 | Mizrahi Tefahot Bank, Ltd. | 1,673,630 | |
11,864 | Nice, Ltd., ADR* | 2,233,279 | |
210,300 | Teva Pharmaceutical Industries, Ltd.* | 1,682,935 | |
5,613 | ZIM Integrated Shipping Services, Ltd. | 131,905 | |
11,975,438 | |||
Italy — 1.8% | |||
3,024,100 | A2A SpA | 2,930,308 | |
88,540 | Assicurazioni Generali SpA | 1,204,653 | |
49,600 | Coca-Cola HBC AG | 1,043,582 | |
1,019,004 | Enel SpA | 4,174,197 | |
1,575,973 | Eni SpA(a) | 16,735,826 | |
7,282 | Eni SpA, ADR | 153,941 | |
47,750 | Ferrari NV | 8,902,579 | |
2,398,684 | Intesa Sanpaolo SpA | 3,946,424 |
24 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Italy — continued | |||
989,706 | Leonardo SpA | 7,000,999 | |
341,220 | Mediobanca Banca di Credito Finanziario SpA | 2,666,449 | |
704,000 | Unipol Gruppo SpA | 2,724,459 | |
1,274,300 | UnipolSai Assicurazioni SpA | 2,639,705 | |
54,123,122 | |||
Japan — 19.6% | |||
151,500 | ADEKA Corp.(a) | 2,267,851 | |
35,800 | Aeon Co., Ltd. | 669,606 | |
2,500 | AEON REIT Investment Corp. REIT | 2,699,796 | |
237,800 | AGC, Inc. | 7,390,522 | |
10,500 | Air Water, Inc. | 124,158 | |
4,900 | Aisin Corp.(a) | 125,847 | |
99,300 | Alpen Co., Ltd.(a) | 1,408,053 | |
21,100 | Amada Co., Ltd. | 143,326 | |
107,400 | Amano Corp. | 1,806,689 | |
106,600 | Asahi Group Holdings, Ltd. | 3,306,531 | |
85,400 | ASKA Pharmaceutical Holdings Co., Ltd. | 652,075 | |
343,400 | Astellas Pharma, Inc. | 4,538,714 | |
21,600 | Bridgestone Corp. | 698,182 | |
184,900 | Brother Industries, Ltd. | 3,187,724 | |
272,200 | Canon, Inc. | 5,935,960 | |
27,255 | Canon, Inc., ADR | 594,159 | |
438,694 | Chiba Bank, Ltd. (The) | 2,361,928 | |
397,100 | Chubu Electric Power Co., Inc.(a) | 3,570,119 | |
5,700 | Chudenko Corp. | 82,427 | |
46,800 | Chugai Pharmaceutical Co., Ltd. | 1,168,431 | |
131,700 | Concordia Financial Group, Ltd. | 407,133 | |
4,700 | Cosmo Energy Holdings Co., Ltd. | 120,556 | |
261,600 | Credit Saison Co., Ltd. | 3,069,774 | |
14,200 | Dai Nippon Printing Co., Ltd. | 283,330 | |
615,900 | Daicel Corp. | 3,639,108 | |
354,500 | Dai-ichi Life Holdings, Inc. | 5,634,388 | |
154,200 | Daiwa House Industry Co., Ltd. | 3,142,134 | |
499,900 | Daiwa Securities Group, Inc.(a) | 1,958,584 | |
60,000 | Denka Co., Ltd. | 1,318,608 | |
89,500 | DIC Corp. | 1,490,986 | |
18,700 | Disco Corp. | 4,074,610 | |
52,800 | Eagle Industry Co., Ltd. | 396,129 | |
275,800 | EDION Corp.(a) | 2,236,452 | |
99,200 | Electric Power Development Co., Ltd. | 1,400,489 | |
1,251,100 | ENEOS Holdings, Inc. | 4,039,442 | |
16,200 | Enplas Corp. | 456,241 | |
114,700 | Ezaki Glico Co., Ltd. | 2,826,803 | |
111,900 | FUJIFILM Holdings Corp. | 5,120,096 | |
48,700 | Fujikura, Ltd. | 290,657 | |
31,000 | Fujitsu, Ltd. | 3,342,769 | |
195,000 | Fukuoka Financial Group, Inc. | 3,459,963 | |
87,100 | Furukawa Co., Ltd.(a) | 731,011 |
See accompanying Notes to the Financial Statements. | 25 |
Shares | Description | Value ($) | |
Japan — continued | |||
28,700 | Futaba Industrial Co., Ltd. | 64,369 | |
426,194 | Hachijuni Bank, Ltd. (The)(a) | 1,405,668 | |
11,400 | Hankyu Hanshin Holdings, Inc. | 343,102 | |
287,800 | Haseko Corp. | 3,127,603 | |
326,100 | Hazama Ando Corp.(a) | 1,887,239 | |
17,200 | Hino Motors, Ltd. | 70,964 | |
95,800 | Hirose Electric Co., Ltd. | 12,449,728 | |
132,800 | Hokkaido Electric Power Co., Inc. | 415,936 | |
1,171,400 | Honda Motor Co., Ltd. | 25,515,232 | |
123,340 | Honda Motor Co., Ltd., ADR | 2,662,911 | |
7,800 | Horiba, Ltd. | 303,064 | |
13,500 | Hoya Corp. | 1,297,821 | |
69,900 | Ichinen Holdings Co., Ltd.(a) | 585,801 | |
12,800 | Idemitsu Kosan Co., Ltd.(a) | 276,929 | |
477,000 | Inpex Corp. | 4,474,729 | |
256,000 | Isuzu Motors, Ltd. | 2,829,704 | |
152,300 | Ito En, Ltd. | 6,128,117 | |
347,100 | ITOCHU Corp. | 8,411,402 | |
62,400 | Jaccs Co., Ltd. | 1,549,833 | |
105,600 | Japan Airlines Co., Ltd.* | 1,886,918 | |
153,300 | Japan Aviation Electronics Industry, Ltd.(a) | 2,250,298 | |
500 | Japan Exchange Group, Inc. | 6,758 | |
108,700 | Japan Petroleum Exploration Co., Ltd. | 2,599,191 | |
627,900 | Japan Post Holdings Co., Ltd. | 4,157,278 | |
271,300 | Japan Post Insurance Co., Ltd. | 3,800,386 | |
3,100 | JTEKT Corp. | 19,728 | |
12,500 | Kaken Pharmaceutical Co., Ltd. | 329,873 | |
106,500 | Kamigumi Co., Ltd. | 1,960,994 | |
278,400 | Kandenko Co., Ltd. | 1,602,047 | |
70,000 | Kaneka Corp. | 1,750,141 | |
282,500 | Kanematsu Corp. | 2,789,457 | |
46,200 | Kansai Electric Power Co., Inc. (The) | 384,970 | |
185,300 | Kansai Paint Co., Ltd.(a) | 2,627,100 | |
212,808 | Kao Corp. | 8,628,128 | |
16,200 | Kato Sangyo Co., Ltd. | 374,299 | |
166,200 | KDDI Corp. | 4,874,131 | |
30,200 | Keyence Corp. | 10,025,451 | |
246,100 | Kirin Holdings Co., Ltd. | 3,789,838 | |
15,500 | Kissei Pharmaceutical Co., Ltd. | 273,897 | |
30,200 | Kito Corp. | 566,530 | |
102,600 | Kobayashi Pharmaceutical Co., Ltd. | 5,981,046 | |
436,700 | Kobe Bussan Co., Ltd. | 10,450,431 | |
267,600 | Kobe Steel, Ltd.(a) | 1,074,293 | |
76,200 | Kohnan Shoji Co., Ltd. | 1,773,014 | |
31,200 | Konica Minolta, Inc.(a) | 96,309 | |
17,586 | Kose Corp. | 1,789,994 | |
343,600 | K's Holdings Corp. | 2,828,038 | |
147,700 | Kuraray Co., Ltd. | 1,035,535 | |
35,700 | KYB Corp. | 765,054 |
26 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Japan — continued | |||
54,400 | Kyocera Corp. | 2,749,562 | |
18,500 | Kyushu Electric Power Co., Inc. | 98,279 | |
226,800 | Lion Corp.(a) | 2,555,935 | |
513,700 | Marubeni Corp. | 4,509,704 | |
63,400 | Maxell, Ltd. | 601,390 | |
35,500 | Mazda Motor Corp. | 234,963 | |
698,700 | Mebuki Financial Group, Inc. | 1,362,181 | |
23,494 | Medipal Holdings Corp. | 297,763 | |
997,900 | Mitsubishi Chemical Group Corp. | 4,581,833 | |
190,500 | Mitsubishi Electric Corp. | 1,720,703 | |
196,500 | Mitsubishi Gas Chemical Co., Inc. | 2,579,753 | |
682,200 | Mitsubishi HC Capital, Inc. | 2,934,455 | |
160,300 | Mitsubishi Heavy Industries, Ltd. | 5,343,904 | |
38,500 | Mitsubishi Motors Corp.* | 138,110 | |
1,183,300 | Mitsubishi UFJ Financial Group, Inc. | 5,335,451 | |
257,300 | Mitsui & Co., Ltd. | 5,519,532 | |
67,400 | Mitsui Chemicals, Inc. | 1,315,944 | |
139,800 | Mitsui OSK Lines, Ltd.(a) | 2,510,629 | |
716,500 | Mizuho Financial Group, Inc. | 7,740,231 | |
91,200 | Mizuho Leasing Co., Ltd.(a) | 1,963,751 | |
32,800 | Mochida Pharmaceutical Co., Ltd.(a) | 766,187 | |
582,700 | MonotaRO Co., Ltd. | 8,806,869 | |
131,000 | MS&AD Insurance Group Holdings, Inc. | 3,466,397 | |
16,100 | Nachi-Fujikoshi Corp. | 392,811 | |
5,800 | Nagase & Co., Ltd. | 79,136 | |
22,200 | NGK Insulators, Ltd. | 276,712 | |
11,800 | NHK Spring Co., Ltd.(a) | 69,537 | |
82,200 | Nihon Kohden Corp. | 1,736,279 | |
164,800 | Nikon Corp. | 1,560,481 | |
3,800 | Nippon Electric Glass Co., Ltd. | 65,573 | |
5,100 | NIPPON EXPRESS HOLDINGS, Inc. | 257,851 | |
49,200 | Nippon Gas Co., Ltd. | 695,877 | |
30,300 | Nippon Sanso Holdings Corp. | 478,526 | |
126,900 | Nippon Soda Co., Ltd. | 3,869,824 | |
324,100 | Nippon Steel Corp. | 4,510,669 | |
432,100 | Nippon Telegraph & Telephone Corp. | 11,655,990 | |
472,800 | Nippon Yusen KK(a) | 8,073,733 | |
134,500 | Nishio Rent All Co., Ltd.(a) | 2,654,604 | |
996,900 | Nissan Motor Co., Ltd. | 3,186,406 | |
42,200 | Nisshin Oillio Group, Ltd. (The) | 932,178 | |
20,300 | Nissin Foods Holdings Co., Ltd. | 1,409,175 | |
29,300 | Nitto Denko Corp. | 1,588,517 | |
2,056,100 | Nomura Holdings, Inc. | 6,787,033 | |
279,400 | Nomura Research Institute, Ltd. | 6,866,273 | |
579,241 | North Pacific Bank, Ltd. | 909,439 | |
4,600 | NS Solutions Corp. | 110,270 | |
166,700 | NTT Data Corp. | 2,154,168 | |
389,700 | Obayashi Corp. | 2,502,044 | |
51,600 | Obic Co., Ltd. | 6,840,758 |
See accompanying Notes to the Financial Statements. | 27 |
Shares | Description | Value ($) | |
Japan — continued | |||
99,800 | Omron Corp. | 4,548,180 | |
176,200 | Ono Pharmaceutical Co., Ltd. | 4,098,339 | |
594,400 | ORIX Corp. | 8,358,764 | |
169,800 | Osaka Gas Co., Ltd. | 2,556,362 | |
72,000 | Otsuka Holdings Co., Ltd. | 2,283,471 | |
20,800 | Plenus Co., Ltd.(a) | 276,985 | |
66,100 | Prima Meat Packers, Ltd. | 955,290 | |
199,700 | Recruit Holdings Co., Ltd. | 5,763,387 | |
340,500 | Rengo Co., Ltd. | 1,978,422 | |
1,001,100 | Resona Holdings, Inc. | 3,654,922 | |
160,500 | Ricoh Co., Ltd. | 1,171,121 | |
338,800 | Rohto Pharmaceutical Co., Ltd. | 10,800,198 | |
194,400 | Sanki Engineering Co., Ltd. | 2,128,835 | |
53,700 | Sankyu, Inc. | 1,551,311 | |
395,800 | Santen Pharmaceutical Co., Ltd. | 2,652,233 | |
3,500 | Sanyo Chemical Industries, Ltd. | 106,038 | |
40,100 | Sawai Group Holdings Co., Ltd. | 1,118,918 | |
2,500 | SCREEN Holdings Co., Ltd. | 136,629 | |
124,300 | Secom Co., Ltd. | 7,061,714 | |
9,600 | Seibu Holdings, Inc. | 96,025 | |
165,600 | Seiko Epson Corp. | 2,258,390 | |
145,900 | Seino Holdings Co., Ltd. | 1,171,262 | |
43,500 | Seven & i Holdings Co., Ltd. | 1,747,168 | |
386,500 | Shimadzu Corp. | 10,059,515 | |
27,700 | Shin-Etsu Chemical Co., Ltd. | 2,750,426 | |
20,900 | Shizuoka Bank, Ltd. (The)* (c) | 126,415 | |
378,600 | SKY Perfect JSAT Holdings, Inc. | 1,353,922 | |
20,900 | SMC Corp. | 8,430,663 | |
59,200 | Sohgo Security Services Co., Ltd. | 1,490,606 | |
345,840 | Sojitz Corp.(a) | 5,053,250 | |
173,900 | Sompo Holdings, Inc. | 6,930,098 | |
145,000 | Subaru Corp. | 2,174,658 | |
19,600 | Sumitomo Bakelite Co., Ltd. | 538,348 | |
93,000 | Sumitomo Chemical Co., Ltd. | 321,066 | |
125,800 | Sumitomo Corp. | 1,569,689 | |
10,100 | Sumitomo Dainippon Pharma Co., Ltd. | 72,071 | |
134,400 | Sumitomo Heavy Industries, Ltd. | 2,487,308 | |
391,600 | Sumitomo Mitsui Financial Group, Inc. | 10,896,170 | |
158,100 | Sumitomo Mitsui Trust Holdings, Inc. | 4,468,520 | |
330,400 | Sumitomo Rubber Industries, Ltd. | 2,633,111 | |
11,700 | Sumitomo Seika Chemicals Co., Ltd. | 241,275 | |
129,300 | Taiheiyo Cement Corp.(a) | 1,827,233 | |
14,000 | Takara Standard Co., Ltd. | 125,407 | |
3,900 | Takasago Thermal Engineering Co., Ltd. | 45,910 | |
189,800 | Takeda Pharmaceutical Co., Ltd. | 4,929,004 | |
190,638 | Takeda Pharmaceutical Co., Ltd., ADR | 2,472,575 | |
440,100 | Teijin, Ltd. | 4,269,377 | |
31,000 | Terumo Corp. | 874,685 | |
8,600 | Toagosei Co., Ltd. | 64,232 |
28 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Japan — continued | |||
26,600 | Tobu Railway Co., Ltd. | 627,505 | |
119,000 | Tohoku Electric Power Co., Inc. | 560,217 | |
463,500 | Tokio Marine Holdings, Inc. | 8,237,214 | |
195,800 | Tokuyama Corp.(a) | 2,359,703 | |
425,400 | Tokyo Electric Power Co. Holdings, Inc.* | 1,351,803 | |
20,900 | Tokyo Electron, Ltd. | 5,174,115 | |
14,748 | Tokyo Electron, Ltd., ADR | 912,459 | |
308,400 | Tokyo Gas Co., Ltd. | 5,207,998 | |
85,000 | Tokyo Seimitsu Co., Ltd. | 2,491,707 | |
150,100 | Tomy Co., Ltd. | 1,286,520 | |
6,100 | Topcon Corp. | 68,197 | |
34,300 | TOPPAN, Inc. | 511,783 | |
113,400 | Toray Industries, Inc. | 556,519 | |
16,900 | Tosoh Corp. | 188,693 | |
84,900 | Towa Pharmaceutical Co., Ltd.(a) | 1,240,794 | |
54,200 | Toyo Ink SC Holdings Co., Ltd. | 712,382 | |
8,100 | Toyo Seikan Group Holdings, Ltd. | 97,749 | |
243,500 | Toyo Suisan Kaisha, Ltd. | 10,033,752 | |
14,700 | Toyo Tanso Co., Ltd. | 334,366 | |
13,000 | Toyota Tsusho Corp. | 403,494 | |
40,400 | Trend Micro, Inc. | 2,187,771 | |
251,500 | TS Tech Co., Ltd. | 2,471,001 | |
16,600 | Tsubakimoto Chain Co. | 350,504 | |
15,500 | UACJ Corp. | 215,077 | |
152,200 | Ube Industries, Ltd. | 2,039,202 | |
123,700 | Ushio, Inc. | 1,286,321 | |
25,700 | Valor Holdings Co., Ltd.(a) | 316,183 | |
26,900 | Warabeya Nichiyo Holdings Co., Ltd. | 412,489 | |
145,000 | Yamaha Motor Co., Ltd. | 2,716,864 | |
36,200 | Yamaichi Electronics Co., Ltd. | 448,421 | |
234,500 | Yokogawa Electric Corp. | 3,695,016 | |
199,400 | Yokohama Rubber Co., Ltd. (The) | 3,065,920 | |
587,501,267 | |||
Malaysia — 0.1% | |||
1,152,700 | Tenaga Nasional Bhd | 1,997,939 | |
Netherlands — 5.5% | |||
105,096 | ABN AMRO Bank NV CVA, GDR 144A | 941,627 | |
8,909 | Adyen NV* | 11,078,699 | |
754,324 | Aegon NV | 2,996,539 | |
51,598 | ASML Holding NV | 21,393,658 | |
10,298 | ASML Holding NV, ADR NYRS | 4,277,274 | |
76,928 | ASR Nederland NV | 2,956,227 | |
88,471 | Euronext NV | 5,596,000 | |
7,467 | Heineken Holding NV | 509,605 | |
539,918 | ING Groep NV | 4,627,534 | |
107,470 | ING Groep NV, ADR | 913,495 | |
318,100 | Koninklijke Ahold Delhaize NV | 8,096,773 |
See accompanying Notes to the Financial Statements. | 29 |
Shares | Description | Value ($) | |
Netherlands — continued | |||
93,918 | Koninklijke DSM NV | 10,647,817 | |
318,729 | NN Group NV | 12,400,145 | |
39,200 | Randstad NV(a) | 1,694,431 | |
1,102,620 | Shell Plc | 27,427,355 | |
265,750 | Shell Plc, ADR | 13,223,720 | |
651,958 | Shell Plc (Amsterdam Exchange) | 16,257,124 | |
651,070 | Universal Music Group NV(a) | 12,267,710 | |
90,408 | Wolters Kluwer NV | 8,798,625 | |
166,104,358 | |||
Norway — 0.7% | |||
89,196 | Aker BP ASA | 2,555,539 | |
100,400 | Austevoll Seafood ASA | 677,165 | |
237,976 | DNB Bank ASA | 3,764,600 | |
266,276 | Equinor ASA | 8,775,684 | |
29,191 | Equinor ASA, ADR | 966,514 | |
432,700 | Orkla ASA | 3,139,274 | |
227,483 | Telenor ASA | 2,074,479 | |
21,953,255 | |||
Philippines — 0.0% | |||
5,079,800 | Vista Land & Lifescapes, Inc. | 138,792 | |
Portugal — 0.2% | |||
1,101,649 | EDP - Energias de Portugal SA | 4,767,238 | |
16,514 | Jeronimo Martins SGPS SA | 307,550 | |
5,074,788 | |||
Russia — 0.0% | |||
3,792,080 | Gazprom PJSC(b) (c) (d) | 143,928 | |
113,778 | LUKOIL PJSC(b) (c) (d) | 92,698 | |
8,430 | MMC Norilsk Nickel PJSC(b) (c) (d) | 27,583 | |
18,119 | Novatek PJSC(b) (c) (d) | 3,646 | |
169,349 | Rosneft Oil Co. PJSC(b) (c) (d) | 8,311 | |
1,092,670 | Sberbank of Russia PJSC* (b) (c) (d) | 23,239 | |
296,674 | Tatneft PJSC(b) (c) (d) | 17,861 | |
317,266 | |||
Singapore — 0.2% | |||
1,873,000 | IGG, Inc.* | 572,904 | |
259,300 | United Overseas Bank, Ltd. | 4,712,407 | |
112,800 | Venture Corp., Ltd. | 1,285,954 | |
6,571,265 | |||
South Africa — 0.5% | |||
17,400 | Anglo American Platinum, Ltd. | 1,230,442 | |
469,307 | Anglo American Plc | 14,173,823 | |
4,103 | Anglo American Plc, ADR | 61,545 | |
1,003,000 | Old Mutual, Ltd.(a) | 544,224 | |
16,010,034 |
30 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
South Korea — 1.2% | |||
20,976 | Hyundai Motor Co. | 2,569,273 | |
143,403 | Kia Corp. | 7,156,857 | |
17,457 | KT&G Corp. | 1,056,216 | |
656,591 | Samsung Electronics Co., Ltd. | 24,125,340 | |
42,819 | SK Telecom Co., Ltd. | 1,512,539 | |
3,944 | S-Oil Corp. | 222,820 | |
36,643,045 | |||
Spain — 2.0% | |||
149,217 | Amadeus IT Group SA* | 6,904,277 | |
384,863 | Banco Bilbao Vizcaya Argentaria SA(a) | 1,727,929 | |
48,347 | Banco Bilbao Vizcaya Argentaria SA, ADR | 215,144 | |
2,626,979 | Banco Santander SA | 6,103,258 | |
102,501 | Banco Santander SA, ADR | 237,802 | |
329,707 | Cellnex Telecom SA | 10,161,165 | |
1,916,000 | Iberdrola SA | 17,804,582 | |
20,191 | Let's GOWEX SA* (b) (c) | — | |
1,447,462 | Mapfre SA | 2,241,667 | |
481,400 | Mediaset Espana Comunicacion SA* (a) | 1,101,838 | |
885,118 | Repsol SA | 10,181,448 | |
599,123 | Telefonica SA | 1,974,345 | |
58,653,455 | |||
Sweden — 2.5% | |||
129,900 | Boliden AB | 4,017,470 | |
394,449 | Electrolux AB Class B (a) | 4,085,453 | |
367,924 | Epiroc AB Class A | 5,262,741 | |
210,645 | Essity AB Class B | 4,158,021 | |
315,927 | H & M Hennes & Mauritz AB Class B (a) | 2,919,845 | |
819,754 | Hexagon AB Class B | 7,600,264 | |
261,600 | Husqvarna AB Class B | 1,441,792 | |
351,911 | Investor AB Class B | 5,129,789 | |
312,100 | Securitas AB Class B (a) | 2,172,923 | |
12,636 | Skandinaviska Enskilda Banken AB Class A | 119,946 | |
370,500 | SKF AB Class B | 4,954,376 | |
50,912 | SSAB AB Class A | 223,008 | |
136,597 | SSAB AB Class B | 579,894 | |
284,155 | Svenska Cellulosa AB SCA Class B | 3,603,595 | |
701,033 | Swedbank AB Class A | 9,165,925 | |
713,415 | Swedish Match AB | 7,063,127 | |
1,998,895 | Telia Co. AB | 5,753,422 | |
390,400 | Volvo AB Class B | 5,508,714 | |
73,760,305 | |||
Switzerland — 5.9% | |||
107,500 | Adecco Group AG | 2,959,316 | |
171,459 | Alcon, Inc. | 9,953,910 | |
241 | Chocoladefabriken Lindt & Spruengli AG | 2,334,459 | |
91,650 | Cie Financiere Richemont SA Class A | 8,621,229 | |
358,000 | Credit Suisse Group AG | 1,414,429 |
See accompanying Notes to the Financial Statements. | 31 |
Shares | Description | Value ($) | |
Switzerland — continued | |||
11,842 | Geberit AG | 5,079,279 | |
5,173 | Givaudan SA | 15,634,978 | |
25,000 | Helvetia Holding AG | 2,341,155 | |
92,600 | Holcim AG* | 3,787,276 | |
138,950 | Julius Baer Group, Ltd. | 6,061,231 | |
30,495 | Lonza Group AG | 14,866,904 | |
566,403 | Novartis AG | 43,286,221 | |
44,389 | Schindler Holding AG | 6,902,694 | |
5,269 | SGS SA | 11,282,797 | |
61,718 | Sika AG | 12,389,684 | |
22,320 | Swatch Group AG (The) | 936,376 | |
25,706 | Swiss Life Holding AG | 11,354,058 | |
1,151,095 | UBS Group AG | 16,670,073 | |
175,876,069 | |||
Taiwan — 1.0% | |||
1,919,000 | ASE Technology Holding Co., Ltd. | 4,784,546 | |
1,513,000 | Chipbond Technology Corp. | 2,393,941 | |
1,714,000 | Compeq Manufacturing Co., Ltd. | 2,438,855 | |
1,210,650 | Fubon Financial Holding Co., Ltd. | 1,892,785 | |
780,000 | Hon Hai Precision Industry Co., Ltd. | 2,490,126 | |
144,000 | MediaTek, Inc. | 2,506,197 | |
201,000 | Novatek Microelectronics Corp. | 1,371,266 | |
195,913 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 13,431,795 | |
31,309,511 | |||
Thailand — 0.0% | |||
16,831,100 | Quality Houses PCL Class F | 954,893 | |
Turkey — 0.5% | |||
663,400 | BIM Birlesik Magazalar AS | 4,129,542 | |
280,700 | Coca-Cola Icecek AS | 2,037,466 | |
86,714 | Ford Otomotiv Sanayi AS | 1,523,372 | |
161,943 | Haci Omer Sabanci Holding AS | 224,643 | |
564,485 | Turk Hava Yollari AO* | 2,140,677 | |
236,222 | Turkiye Garanti Bankasi AS | 247,294 | |
215,545 | Turkiye Petrol Rafinerileri AS* | 3,364,550 | |
13,667,544 | |||
United Kingdom — 9.6% | |||
397,907 | 3i Group Plc | 4,776,662 | |
176,860 | Ashtead Group Plc | 7,894,297 | |
70,700 | Associated British Foods Plc | 985,451 | |
156,430 | AstraZeneca Plc | 17,198,756 | |
1,043,000 | BAE Systems Plc | 9,161,565 | |
300,744 | Balfour Beatty Plc | 1,020,041 | |
4,950,607 | Barclays Plc | 7,891,056 | |
288,541 | Barclays Plc, ADR | 1,846,662 | |
280,200 | Barratt Developments Plc | 1,061,157 | |
54,979 | Bellway Plc | 1,039,596 |
32 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
United Kingdom — continued | |||
1,124,647 | BP Plc | 5,346,894 | |
630,841 | BP Plc, ADR | 18,010,511 | |
235,600 | British American Tobacco Plc | 8,423,024 | |
64,284 | British American Tobacco Plc, ADR | 2,282,082 | |
1,821,700 | BT Group Plc | 2,462,504 | |
2,196,700 | Centrica Plc* | 1,728,732 | |
551,000 | CK Hutchison Holdings, Ltd. | 3,025,745 | |
262,400 | CNH Industrial NV | 2,928,259 | |
587,660 | Compass Group Plc | 11,744,224 | |
208,800 | Crest Nicholson Holdings Plc | 425,286 | |
44,379 | Croda International Plc | 3,169,469 | |
992,500 | Currys Plc | 620,160 | |
476,623 | Diageo Plc | 19,973,527 | |
35,005 | Diageo Plc, ADR | 5,944,199 | |
416,025 | Experian Plc | 12,193,957 | |
294,457 | Haleon Plc, ADR* | 1,793,243 | |
1,075,781 | Haleon Plc* | 3,327,817 | |
227,282 | Halma Plc | 5,116,544 | |
272,274 | Hiscox, Ltd. | 2,661,358 | |
3,122,800 | HSBC Holdings Plc | 16,247,730 | |
57,711 | HSBC Holdings Plc, ADR | 1,504,526 | |
634,228 | IMI Plc | 7,866,917 | |
229,500 | Imperial Brands Plc | 4,734,849 | |
139,620 | Intertek Group Plc | 5,742,760 | |
1,581,400 | J Sainsbury Plc | 3,053,677 | |
1,756,600 | Kingfisher Plc | 4,266,165 | |
7,342,700 | Lloyds Banking Group Plc | 3,353,865 | |
1,263,445 | Man Group Plc | 3,146,416 | |
1,094,200 | Marks & Spencer Group Plc* | 1,189,189 | |
222,500 | Micro Focus International Plc | 1,289,123 | |
681,500 | Mitchells & Butlers Plc* | 862,957 | |
938,321 | NatWest Group Plc | 2,341,186 | |
114,492 | Ocado Group Plc* | 594,387 | |
492,348 | Paragon Banking Group Plc | 2,150,670 | |
414,964 | QinetiQ Group Plc | 1,516,771 | |
258,041 | Reckitt Benckiser Group Plc | 17,050,465 | |
332,100 | Redrow Plc | 1,465,975 | |
192,666 | RELX Plc | 4,702,428 | |
20,220 | RELX Plc, ADR | 491,548 | |
1,040,480 | Segro Plc REIT | 8,716,489 | |
523,712 | Smith & Nephew Plc | 6,040,627 | |
60,163 | Smith & Nephew Plc, ADR | 1,396,985 | |
74,010 | Spirax-Sarco Engineering Plc | 8,499,646 | |
256,777 | Tate & Lyle Plc | 1,935,440 | |
1,350,500 | Taylor Wimpey Plc | 1,316,655 | |
1,767,600 | Tesco Plc | 4,046,399 | |
125,400 | Vistry Group Plc(a) | 821,452 | |
683,169 | Vodafone Group Plc, ADR | 7,740,305 | |
288,138,380 |
See accompanying Notes to the Financial Statements. | 33 |
Shares | Description | Value ($) | |
United States — 8.1% | |||
42,715 | Agilent Technologies, Inc. | 5,192,008 | |
90,515 | Analog Devices, Inc. | 12,612,360 | |
37,964 | ANSYS, Inc.* | 8,416,619 | |
89,713 | Bruker Corp. | 4,760,172 | |
124,297 | Cadence Design Systems, Inc.* | 20,313,859 | |
860,624 | GSK Plc | 12,550,235 | |
441,614 | GSK Plc, ADR | 12,996,700 | |
78,410 | ICON Plc, ADR* | 14,410,190 | |
81,612 | Janus Henderson Group Plc | 1,657,540 | |
674,400 | JBS SA | 3,132,076 | |
309,485 | Nestle SA | 33,594,333 | |
19,900 | Nordson Corp. | 4,224,173 | |
157,565 | Roche Holding AG | 51,503,376 | |
65,560 | Roche Holding AG, ADR | 2,663,047 | |
375,019 | Schneider Electric SE | 42,056,536 | |
155,300 | Signify NV | 4,017,684 | |
177,711 | Stellantis NV | 2,097,685 | |
255,527 | Stellantis NV (EN Paris Exchange) | 3,018,142 | |
39,890 | Swiss Re AG | 2,937,423 | |
72,563 | Tenaris SA, ADR | 1,875,028 | |
244,029,186 | |||
TOTAL COMMON STOCKS (COST $3,387,030,232) | 2,790,135,056 | ||
INVESTMENT COMPANIES — 1.0% | |||
United States — 1.0% | |||
311,440 | iShares MSCI EAFE ETF | 17,443,754 | |
351,261 | iShares MSCI Eurozone ETF | 11,233,327 | |
TOTAL INVESTMENT COMPANIES (COST $38,365,953) | 28,677,081 | ||
PREFERRED STOCKS — 1.5% | |||
Brazil — 0.2% | |||
1,162,400 | Petroleo Brasileiro SA, 38.60% | 6,404,230 | |
Germany — 1.2% | |||
5,781 | BMW AG, 8.79% | 377,853 | |
297,788 | Henkel AG & Co. KGaA, 3.04% | 17,792,213 | |
72,737 | Porsche Automobil Holding SE, 4.42% | 4,141,700 | |
414,900 | Schaeffler AG, 10.89% | 1,876,267 | |
105,214 | Volkswagen AG, 6.01% | 12,990,602 | |
37,178,635 | |||
South Korea — 0.1% | |||
56,818 | Samsung Electronics Co., Ltd., 2.31% | 1,848,773 | |
TOTAL PREFERRED STOCKS (COST $66,886,533) | 45,431,638 |
34 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
RIGHTS — 0.0% | |||
Sweden — 0.0% | |||
1,712,576 | Securitas AB* (a) | 714,506 | |
TOTAL RIGHTS (COST $1,003,546) | 714,506 | ||
WARRANT — 0.0% | |||
Switzerland — 0.0% | |||
236,912 | Cie Financiere Richemont SA, Expires 11/22/23* | 105,909 | |
TOTAL WARRANT (COST $—) | 105,909 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 1.6% | |||
Mutual Fund - Securities Lending Collateral — 1.6% | |||
47,009,916 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(e) (f) | 47,009,916 | |
TOTAL SHORT-TERM INVESTMENT (COST $47,009,916) | 47,009,916 | ||
TOTAL INVESTMENTS — 96.9% (Cost $3,540,296,180) | 2,912,074,106 | ||
Other Assets and Liabilities (net) — 3.1% | 93,470,234 | ||
NET ASSETS — 100.0% | $3,005,544,340 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(c) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $443,681 which represents 0.0% of net assets. The aggregate cost of these securities held at September 30, 2022 was $30,316,413. |
(d) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at period end is $317,266 which represents 0.0% of net assets. The aggregate cost of these securities held at September 30, 2022 was $29,569,045. |
(e) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(f) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $12,651,667 which represents 0.4% of net assets. |
See accompanying Notes to the Financial Statements. | 35 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buy | ||||||||
646 | MSCI EAFE Index | Dec 2022 | $53,637,380 | $(6,376,413) |
Abbreviations | ||
ADR | — | American Depository Receipt |
CVA | — | Certificaten Van Aandelen |
GDR | — | Global Depository Receipt |
NYRS | — | New York Registry Shares |
REIT | — | Real Estate Investment Trust |
36 | See accompanying Notes to the Financial Statements. |
Industry Sector Summary (Unaudited) | % of Net Assets |
Consumer, Non-cyclical | 26.9 |
Financial | 14.0 |
Industrial | 13.2 |
Consumer, Cyclical | 10.3 |
Basic Materials | 8.7 |
Technology | 8.4 |
Energy | 7.1 |
Communications | 3.6 |
Utilities | 2.1 |
Investment Companies | 1.0 |
Diversified | 0.0* |
Short-Term Investment | 1.6 |
Other Assets and Liabilities (net) | 3.1 |
100.0% |
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements. | 37 |
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 98.9% | |||
Asset Backed Securities — 11.1% | |||
2,559,000 | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, due 08/15/46 144A | 2,186,085 | |
2,660,000 | American Express Credit Account Master Trust, Series 2022-3, Class A, 3.75%, due 08/15/27 | 2,593,656 | |
158,828 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, due 02/18/25 | 158,293 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, due 04/18/25 | 396,497 | |
600,000 | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, due 07/18/25 | 591,176 | |
500,000 | AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, due 01/21/25 | 496,427 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, due 01/19/27 | 365,009 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, due 08/18/27 | 365,529 | |
179,000 | AMSR Trust, Series 2020-SFR4, Class A, 1.36%, due 11/17/37 144A | 159,996 | |
1,350,000 | AMSR Trust, Series 2021-SFR1, Class A, 1.95%, due 06/17/38(b) 144A | 1,121,274 | |
1,529,000 | AMSR Trust, Series 2021-SFR2, Class A, 1.53%, due 08/17/38 144A | 1,317,121 | |
123,000 | AMSR Trust, Series 2021-SFR4, Class A, 2.12%, due 12/17/38 144A | 107,076 | |
2,742,000 | AMSR Trust, Series 2022-SFR3, Class A, 4.00%, due 10/17/39 144A | 2,551,014 | |
3,500,000 | Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class AR2, 3.88% (3 mo. USD LIBOR + 1.09%), due 01/28/31(c) 144A | 3,430,899 | |
488,070 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/05/49 144A | 463,973 | |
190,740 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 07/17/46 144A | 172,839 | |
758,520 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A | 645,269 | |
1,550,000 | ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, due 08/15/28 144A | 1,537,591 | |
3,500,000 | Atlas Static Senior Loan Fund CLO I, Ltd., Series 2022-1A, Class A, 5.10% (3 mo. TSFR + 2.60%), due 07/15/30(c) 144A | 3,492,198 | |
696,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, due 03/20/26 144A | 652,407 | |
470,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, due 08/20/26 144A | 432,995 | |
2,500,000 | EUR | Barings Euro CLO, Series 2015-1A, Class ARR, 1.13% (3 mo. EURIBOR + 0.98%), due 07/25/35(c) 144A | 2,253,858 |
198,000 | BMW Vehicle Lease Trust, Series 2022-1, Class A3, 1.10%, due 03/25/25 | 190,670 | |
1,250,000 | EUR | BNPP AM Euro CLO BV, Series 2018-1A, Class AR, 0.60% (3 mo. EURIBOR + 0.60%), due 04/15/31(c) 144A | 1,180,301 |
116,332 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due 09/26/33 144A | 109,182 | |
366,000 | Capital Automotive REIT, LP CMO, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A | 339,420 | |
1,750,000 | EUR | Carlyle Global Market Strategies Euro CLO, Ltd., Series 2014-2A, Class AR1, 1.07% (3 mo. EURIBOR + 0.75%), due 11/15/31(c) 144A | 1,647,520 |
282,000 | Carlyle US CLO, Ltd., Series 2019-2A, Class A1R, 3.63% (3 mo. USD LIBOR + 1.12%), due 07/15/32(c) 144A | 272,058 | |
400,000 | CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26 | 368,325 | |
300,000 | CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, due 02/16/27 | 273,075 | |
310,000 | CarMax Auto Owner Trust, Series 2021-3, Class C, 1.25%, due 05/17/27 | 276,551 | |
300,000 | CarMax Auto Owner Trust, Series 2021-4, Class C, 1.38%, due 07/15/27 | 271,774 | |
281,000 | CarMax Auto Owner Trust, Series 2022-1, Class A3, 1.47%, due 12/15/26 | 268,801 | |
400,000 | CarMax Auto Owner Trust, Series 2022-1, Class C, 2.20%, due 11/15/27 | 362,242 | |
200,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.47%, due 07/17/28 | 180,666 | |
2,014,982 | CF Hippolyta LLC CMO, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A | 1,792,087 | |
852,623 | CF Hippolyta LLC CMO, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A | 734,651 |
38 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
847,806 | CIFC Funding CLO, Ltd., Series 2014-2RA, Class A1, 3.83% (3 mo. USD LIBOR + 1.05%), due 04/24/30(c) 144A | 831,524 | |
1,500,000 | CIFC Funding CLO, Ltd., Series 2015-1A, Class ARR, 3.87% (3 mo. USD LIBOR + 1.11%), due 01/22/31(c) 144A | 1,464,990 | |
1,200,000 | Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30 | 1,158,677 | |
838,460 | CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A | 729,561 | |
647,328 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A | 555,286 | |
576,014 | CLI Funding VIII LLC, Series 2022-1A, Class A1, 2.72%, due 01/18/47 144A | 494,284 | |
165,337 | Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42 144A | 152,257 | |
2,250,000 | Crown City CLO I, Series 2020-1A, Class A1AR, 3.90% (3 mo. USD LIBOR + 1.19%), due 07/20/34(c) 144A | 2,149,828 | |
1,250,000 | Crown Point CLO 11, Ltd., Series 2021-11A, Class A, 3.86% (3 mo. USD LIBOR + 1.12%), due 01/17/34(c) 144A | 1,205,288 | |
359,000 | DataBank Issuer, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A | 308,908 | |
260,715 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.03%, due 11/20/47 144A | 237,690 | |
2,338,330 | DB Master Finance LLC, Series 2021-1A, Class A23, 2.79%, due 11/20/51 144A | 1,841,439 | |
1,145,345 | DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, due 11/20/51 144A | 976,399 | |
112,000 | Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, due 04/15/49 144A | 92,210 | |
733,440 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47 144A | 676,730 | |
3,400,950 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, due 04/25/51 144A | 2,810,478 | |
141,779 | Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, due 07/15/25 | 141,329 | |
474,770 | Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A | 403,085 | |
481,363 | Driven Brands Funding LLC, Series 2021-1A, Class A2, 2.79%, due 10/20/51 144A | 380,031 | |
459,000 | Elmwood CLO IV, Ltd., Series 2020-1A, Class A, 3.75% (3 mo. USD LIBOR + 1.24%), due 04/15/33(c) 144A | 444,753 | |
561,546 | FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A | 503,452 | |
416,945 | FirstKey Homes Trust, Series 2021-SFR1, Class A, 1.54%, due 08/17/38 144A | 358,302 | |
401,000 | FirstKey Homes Trust, Series 2021-SFR1, Class D, 2.19%, due 08/17/38 144A | 340,168 | |
1,108,075 | FirstKey Homes Trust, Series 2022-SFR1, Class A, 4.15%, due 05/17/39 144A | 1,047,474 | |
2,643,000 | FirstKey Homes Trust, Series 2022-SFRA, Class A, 3.10%, due 03/17/39 144A | 2,400,914 | |
219,780 | Five Guys Funding LLC, Series 2017-1A, Class A2, 4.60%, due 07/25/47 144A | 212,849 | |
1,745,000 | Ford Credit Auto Owner Trust, Series 2020-2, Class A, 1.06%, due 04/15/33 144A | 1,547,098 | |
300,000 | Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28 | 274,769 | |
153,000 | Ford Credit Auto Owner Trust, Series 2022-A, Class A3, 1.29%, due 06/15/26 | 145,968 | |
300,000 | Ford Credit Auto Owner Trust, Series 2022-A, Class C, 2.14%, due 07/15/29 | 272,958 | |
2,282,000 | Ford Credit Auto Owner Trust, Series 2022-B, Class A4, 3.93%, due 08/15/27 | 2,232,097 | |
818,000 | Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, due 04/15/26 | 795,577 | |
698,000 | Ford Credit Floorplan Master Owner Trust, Series 2020-2, Class A, 1.06%, due 09/15/27 | 623,112 | |
1,000,000 | Generate CLO-2, Ltd., Series 2A, Class AR, 3.91% (3 mo. USD LIBOR + 1.15%), due 01/22/31(c) 144A | 977,419 | |
3,500,000 | Generate CLO-4, Ltd., Series 4A, Class A1R, 3.80% (3 mo. USD LIBOR + 1.09%), due 04/20/32(c) 144A | 3,419,510 | |
139,000 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A4, 0.41%, due 05/20/25 | 133,593 | |
300,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%, due 05/17/27 | 273,995 | |
164,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A3, 0.68%, due 09/16/26 | 154,583 |
See accompanying Notes to the Financial Statements. | 39 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
128,000 | GM Financial Consumer Automobile Receivables Trust, Series 2022-1, Class A3, 1.26%, due 11/16/26 | 121,797 | |
260,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.68%, due 08/15/25 144A | 251,209 | |
475,000 | Golub Capital Partners ABS Funding, Ltd., Series 2020-1A, Class A2, 3.21%, due 01/22/29 144A | 435,789 | |
434,000 | Golub Capital Partners ABS Funding, Ltd., Series 2021-1A, Class A2, 2.77%, due 04/20/29 144A | 402,896 | |
476,000 | HI-FI Music IP Issuer, LP, Series 2022-1A, Class A2, 3.94%, due 02/01/62 144A | 423,103 | |
86,772 | Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/28 144A | 85,415 | |
70,388 | Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, due 02/25/32 144A | 68,392 | |
96,120 | Home Equity Asset Trust, Series 2003-8, Class M1, 4.16% (1 mo. USD LIBOR + 1.08%), due 04/25/34(c) | 92,302 | |
241,455 | Home Partners of America Trust, Series 2021-2, Class A, 1.90%, due 12/17/26 144A | 209,828 | |
279,000 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A4, 0.55%, due 08/16/27 | 258,564 | |
238,000 | Hyundai Auto Lease Securitization Trust, Series 2022-A, Class A3, 1.16%, due 01/15/25 144A | 229,173 | |
2,000,000 | EUR | Invesco Euro CLO I DAC, Series 1A, Class A1R, 0.65% (3 mo. EURIBOR + 0.65%), due 07/15/31(c) 144A | 1,882,473 |
485,739 | Invitation Homes Trust, Series 2018-SFR1, Class A, 3.69% (1 mo. USD LIBOR + 0.70%), due 03/17/37(c) 144A | 479,764 | |
489,060 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, due 02/26/52 144A | 425,473 | |
192,075 | Jack In The Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A | 171,294 | |
201,316 | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 02/26/29 144A | 192,687 | |
34,591 | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2B, 2.81%, due 11/25/42 144A | 34,311 | |
1,000,000 | EUR | Madison Park Euro Funding CLO XIV DAC, Series 14A, Class A1R, 0.80% (3 mo. EURIBOR + 0.80%), due 07/15/32(c) 144A | 940,252 |
3,500,000 | Madison Park Funding CLO XXXIII, Ltd., Series 2019-33A, Class AR, 3.62% (3 mo. TSFR + 1.29%), due 10/15/32(c) 144A | 3,410,092 | |
2,000,000 | Madison Park Funding CLO XXXVIII, Ltd., Series 2021-38A, Class A, 3.86% (3 mo. USD LIBOR + 1.12%), due 07/17/34(c) 144A | 1,914,442 | |
338,000 | Mercedes-Benz Auto Receivables Trust, Series 2021-1, Class A3, 0.46%, due 06/15/26 | 319,879 | |
741,126 | MidOcean Credit CLO III, Series 2014-3A, Class A1R, 3.85% (3 mo. USD LIBOR + 1.12%), due 04/21/31(c) 144A | 717,484 | |
65,059 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 4.10% (1 mo. USD LIBOR + 1.02%), due 10/25/33(c) | 63,490 | |
20,864 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC7, Class M1, 4.13% (1 mo. USD LIBOR + 1.05%), due 06/25/33(c) | 20,630 | |
214,199 | MVW Owner Trust, Series 2018-1A, Class A, 3.45%, due 01/21/36 144A | 208,076 | |
54,175 | Navient Private Education Loan Trust, Series 2016-AA, Class A2A, 3.91%, due 12/15/45 144A | 52,722 | |
149,194 | Navient Private Education Refi Student Loan Trust, Series 2019-FA, Class A2, 2.60%, due 08/15/68 144A | 138,367 | |
410,154 | Navient Private Education Refi Student Loan Trust, Series 2020-HA, Class A, 1.31%, due 01/15/69 144A | 372,861 | |
289,545 | Neighborly Issuer, Series 2022-1A, Class A2, 3.70%, due 01/30/52 144A | 234,128 | |
709,025 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A | 589,025 | |
152,514 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 3.80% (1 mo. USD LIBOR + 0.72%), due 10/25/33(c) 144A | 143,206 | |
785,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, due 10/20/61 144A | 665,588 |
40 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
203,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, due 10/20/61 144A | 170,097 | |
2,643,000 | NextGear Floorplan Master Owner Trust, Series 2022-1A, Class A2, 2.80%, due 03/15/27 144A | 2,501,604 | |
513,368 | North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 0.92% (3 mo. USD LIBOR + 0.80%), due 07/25/36(c) | 504,368 | |
1,500,000 | Northwoods Capital CLO 22, Ltd., Series 2020-22A, Class AR, 4.40% (3 mo. TSFR + 1.45%), due 09/01/31(c) 144A | 1,470,941 | |
111,891 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A, 3.10%, due 07/25/26 144A | 97,969 | |
1,841,153 | Oak Street Investment Grade Net Lease Fund, Series 2021-1A, Class A1, 1.48%, due 01/20/51 144A | 1,628,105 | |
731,408 | Oak Street Investment Grade Net Lease Fund, Series 2021-2A, Class A1, 2.38%, due 11/20/51 144A | 639,217 | |
1,250,000 | OCP CLO, Ltd., Series 2015-9A, Class A1R2, 2.10% (3 mo. TSFR + 1.25%), due 01/15/33(c) 144A | 1,212,349 | |
272,000 | OCP CLO, Ltd., Series 2020-19A, Class AR, 3.86% (3 mo. USD LIBOR + 1.15%), due 10/20/34(c) 144A | 260,105 | |
1,000,000 | OFSI BSL XI CLO, Ltd., Series 2022-11A, Class A1, 3.62% (3 mo. TSFR + 2.10%), due 07/18/31(c) 144A | 989,690 | |
87,641 | Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, due 02/15/27 144A | 86,778 | |
2,340,084 | OZLM Funding IV CLO, Ltd., Series 2013-4A, Class A1R, 4.01% (3 mo. USD LIBOR + 1.25%), due 10/22/30(c) 144A | 2,291,121 | |
247,297 | OZLM XI CLO, Ltd., Series 2015-11A, Class A1R, 4.03% (3 mo. USD LIBOR + 1.25%), due 10/30/30(c) 144A | 241,329 | |
2,500,000 | Palmer Square CLO, Ltd., Series 2015-1A, Class A1A4, 4.11% (3 mo. USD LIBOR + 1.13%), due 05/21/34(c) 144A | 2,403,667 | |
750,000 | Palmer Square CLO, Ltd., Series 2018-2A, Class A1A, 3.84% (3 mo. USD LIBOR + 1.10%), due 07/16/31(c) 144A | 733,894 | |
2,000,000 | Park Avenue Institutional Advisers CLO, Ltd., Series 2018-1A, Class A1A4, 3.71% (3 mo. USD LIBOR + 1.00%), due 10/20/31(c) 144A | 1,936,824 | |
337,000 | PFS Financing Corp., Series 2020-E, Class A, 1.00%, due 10/15/25 144A | 323,453 | |
2,492,000 | PFS Financing Corp., Series 2022-A, Class A, 2.47%, due 02/15/27 144A | 2,343,601 | |
1,329,000 | Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 10/17/36 144A | 1,264,057 | |
1,311,728 | Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A | 1,215,323 | |
1,363,186 | Progress Residential Trust, Series 2021-SFR2, Class A, 1.55%, due 04/19/38 144A | 1,191,193 | |
246,000 | Progress Residential Trust, Series 2021-SFR8, Class B, 1.68%, due 10/17/38 144A | 210,683 | |
1,570,000 | Progress Residential Trust, Series 2022-SFR2, Class A, 2.95%, due 04/17/27 | 1,403,594 | |
3,960 | Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, due 08/25/35(d) | 3,838 | |
250,000 | Romark CLO II, Ltd., Series 2018-2A, Class A1, 3.96% (3 mo. USD LIBOR + 1.18%), due 07/25/31(c) 144A | 242,793 | |
739,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, due 04/20/45 144A | 701,882 | |
251,536 | Santander Drive Auto Receivables Trust, Series 2020-2, Class C, 1.46%, due 09/15/25 | 250,287 | |
428,069 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, due 01/15/26 | 424,992 | |
371,033 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, due 01/15/26 | 366,774 | |
400,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.90%, due 06/15/26 | 389,755 | |
800,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class D, 1.35%, due 07/15/27 | 754,310 | |
700,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.95%, due 09/15/27 | 676,359 | |
900,000 | Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, due 02/16/27 | 860,020 | |
600,000 | Santander Drive Auto Receivables Trust, Series 2022-1, Class C, 2.56%, due 04/17/28 | 567,992 | |
653,000 | Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, due 01/26/32 144A | 614,738 |
See accompanying Notes to the Financial Statements. | 41 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
485,000 | Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A | 446,785 | |
35,456 | Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, due 01/20/36 144A | 34,536 | |
419,514 | Silver Creek CLO, Ltd., Series 2014-1A, Class AR, 3.95% (3 mo. USD LIBOR + 1.24%), due 07/20/30(c) 144A | 413,134 | |
344,209 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, due 06/15/37 144A | 325,372 | |
625,127 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.34%, due 03/17/53 144A | 549,896 | |
483,708 | Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A | 440,568 | |
356,400 | Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, due 08/20/51 144A | 285,030 | |
651,777 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, due 02/25/44 144A | 643,943 | |
547,000 | Stack Infrastructure Issuer LLC, Series 2019-2A, Class A2, 3.08%, due 10/25/44 144A | 515,483 | |
2,178,000 | Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A | 1,880,826 | |
186,307 | Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A | 148,661 | |
1,007,387 | Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 08/25/51 144A | 844,697 | |
1,878,802 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.29%, due 08/25/51 144A | 1,506,887 | |
1,000,000 | TCW CLO, Ltd., Series 2019-2A, Class A1R, 3.76% (3 mo. TSFR + 1.28%), due 10/20/32(c) 144A | 976,329 | |
285,633 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A | 236,898 | |
1,204,000 | Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, due 11/25/31 144A | 1,160,809 | |
364,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, due 05/25/33 144A | 332,672 | |
2,200,000 | Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A, 1.07%, due 02/27/34 144A | 1,940,590 | |
417,000 | Toyota Auto Receivables Owner Trust, Series 2022-A, Class A3, 1.23%, due 06/15/26 | 395,583 | |
1,528,842 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A | 1,406,972 | |
2,667,000 | Tricon Residential Trust, Series 2022-SFR2, Class A, 4.85%, due 07/17/40 144A | 2,580,588 | |
1,500,000 | Trimaran Cavu CLO, Ltd., Series 2021-1A, Class A, 3.99% (3 mo. USD LIBOR + 1.21%), due 04/23/32(c) 144A | 1,448,525 | |
649,060 | Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45 144A | 559,848 | |
584,575 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46 144A | 491,811 | |
1,433,057 | U.S. Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 1,354,962 | |
1,033,925 | U.S. Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 980,127 | |
1,146,823 | U.S. Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 1,068,202 | |
551,185 | U.S. Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 518,308 | |
399,369 | U.S. Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 373,903 | |
2,182,263 | U.S. Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44 | 1,978,516 | |
874,204 | U.S. Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45 | 741,887 | |
2,011,420 | U.S. Small Business Administration, Series 2022-25A, Class 1, 2.04%, due 01/01/47 | 1,715,612 | |
2,534,000 | U.S. Small Business Administration, Series 2022-25D, Class 1, 3.50%, due 04/01/47 | 2,361,267 | |
1,741,000 | U.S. Small Business Administration, Series 2022-25E, Class 1, 3.94%, due 05/01/47 | 1,674,454 | |
2,711,000 | U.S. Small Business Administration, Series 2022-25G, Class 1, 3.93%, due 07/01/47 | 2,593,711 | |
2,332,000 | Vantage Data Centers Issuers LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45 144A | 2,051,802 | |
404,000 | Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A | 337,268 | |
123,217 | VCP RRL ABS I, Ltd., Series 2021-1A, Class A, 2.15%, due 10/20/31 144A | 112,036 |
42 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
500,000 | Venture XIX CLO, Ltd., Series 2014-19A, Class ARR, 3.77% (3 mo. USD LIBOR + 1.26%), due 01/15/32(c) 144A | 484,185 | |
2,372,000 | Verizon Master Trust, Series 2021-2, Class A, 0.99%, due 04/20/28 | 2,193,794 | |
345,000 | Verizon Master Trust, Series 2022-2, Class A, 1.53%, due 07/20/28 | 320,127 | |
24,234 | Verizon Owner Trust, Series 2019-B, Class A1A, 2.33%, due 12/20/23 | 24,215 | |
425,066 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A | 372,487 | |
181,321 | VSE VOI Mortgage LLC, Series 2017-A, Class A, 2.33%, due 03/20/35 144A | 173,554 | |
500,000 | Wellfleet CLO, Ltd., Series 2018-3A, Class A1A, 3.96% (3 mo. USD LIBOR + 1.25%), due 01/20/32(c) 144A | 487,846 | |
528,338 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 486,184 | |
2,029,312 | Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.37%, due 06/15/51 144A | 1,620,049 | |
117,146 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A | 93,888 | |
63,262 | World Omni Auto Receivables Trust, Series 2019-B, Class A3, 2.59%, due 07/15/24 | 63,232 | |
839,710 | World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, due 12/15/25 | 835,572 | |
200,000 | World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, due 12/15/25 | 197,456 | |
200,000 | World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, due 11/15/27 | 183,393 | |
450,450 | Zaxby's Funding LLC, Series 2021-1A, Class A2, 3.24%, due 07/30/51 144A | 370,036 | |
158,390,020 | |||
Corporate Debt — 33.6% | |||
225,000 | 1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A | 196,176 | |
770,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 144A | 608,208 | |
1,546,000 | AbbVie, Inc., 3.20%, due 11/21/29 | 1,354,692 | |
300,000 | AbbVie, Inc., 3.80%, due 03/15/25 | 290,823 | |
450,000 | AbbVie, Inc., 4.25%, due 11/21/49 | 361,822 | |
2,268,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 2,022,563 | |
640,000 | AbbVie, Inc., 4.55%, due 03/15/35 | 575,086 | |
170,000 | AbbVie, Inc., 4.70%, due 05/14/45 | 144,302 | |
290,000 | AbbVie, Inc., 4.75%, due 03/15/45 | 249,836 | |
200,000 | Abu Dhabi National Energy Co. PJSC, 2.00%, due 04/29/28 144A | 170,055 | |
323,000 | Adani Ports & Special Economic Zone, Ltd., 3.10%, due 02/02/31 144A | 232,646 | |
203,000 | AdaptHealth LLC, 5.13%, due 03/01/30 144A | 167,698 | |
436,000 | Advantage Sales & Marketing, Inc., 6.50%, due 11/15/28 144A | 346,182 | |
1,340,000 | Advocate Health & Hospitals Corp., 2.21%, due 06/15/30 | 1,088,629 | |
150,000 | AECOM, 5.13%, due 03/15/27 | 140,311 | |
400,000 | AEP Texas, Inc., 3.80%, due 10/01/47 | 286,795 | |
260,000 | AEP Transmission Co. LLC, 3.80%, due 06/15/49 | 197,827 | |
205,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, due 10/29/24 | 187,468 | |
482,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26(e) | 412,708 | |
2,036,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, due 10/29/26 | 1,720,104 | |
432,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, due 08/14/24 | 406,611 | |
1,600,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26 | 1,494,471 | |
322,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 254,253 | |
370,000 | Aetna, Inc., 4.75%, due 03/15/44 | 307,328 | |
137,000 | Affinity Gaming, 6.88%, due 12/15/27 144A | 111,947 | |
124,735 | Air Canada Pass Through Trust, 3.70%, due 07/15/27 144A | 110,651 | |
623,126 | Air Canada Pass Through Trust, 3.60%, due 09/15/28 144A | 555,861 | |
164,704 | Air Canada Pass Through Trust, 4.13%, due 11/15/26 144A | 145,716 | |
298,000 | Air Lease Corp., 2.10%, due 09/01/28 | 232,504 |
See accompanying Notes to the Financial Statements. | 43 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
219,000 | Air Lease Corp., 3.63%, due 12/01/27 | 189,763 | |
270,000 | Air Lease Corp., (MTN), 2.88%, due 01/15/26 | 241,953 | |
1,750,000 | Aker BP ASA, 2.00%, due 07/15/26 144A | 1,511,563 | |
250,000 | Aker BP ASA, 3.00%, due 01/15/25 144A | 234,423 | |
473,000 | Aker BP ASA, 3.10%, due 07/15/31 144A | 371,026 | |
2,065,000 | Aker BP ASA, 3.75%, due 01/15/30 144A | 1,758,296 | |
842,000 | Aker BP ASA, 4.00%, due 01/15/31 144A | 715,699 | |
134,084 | Alaska Airlines Pass Through Trust, 8.00%, due 02/15/27 144A | 132,910 | |
325,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 3.50%, due 03/15/29 144A | 262,654 | |
200,000 | Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, due 10/15/26 144A | 169,330 | |
2,895,000 | Alexandria Real Estate Equities, Inc. REIT, 2.00%, due 05/18/32 | 2,132,306 | |
229,162 | Alfa Desarrollo SpA, 4.55%, due 09/27/51 144A | 151,768 | |
847,000 | Ally Financial, Inc., 5.13%, due 09/30/24 | 842,414 | |
224,000 | Altera Infrastructure, LP/Teekay Offshore Finance Corp., 8.50%, due 07/15/23(f) 144A | 12,880 | |
210,000 | Altria Group, Inc., 3.40%, due 05/06/30 | 170,311 | |
600,000 | Altria Group, Inc., 3.40%, due 02/04/41 | 379,571 | |
500,000 | Amazon.com, Inc., 4.05%, due 08/22/47 | 423,209 | |
2,540,000 | Amazon.com, Inc., 4.10%, due 04/13/62 | 2,034,187 | |
291,000 | American Airlines Pass Through Trust, 2.88%, due 01/11/36 | 237,239 | |
280,939 | American Airlines Pass Through Trust, 3.15%, due 08/15/33 | 235,065 | |
1,347,058 | American Airlines Pass Through Trust, 3.38%, due 11/01/28 | 1,123,770 | |
337,992 | American Airlines Pass Through Trust, 3.50%, due 08/15/33 | 245,621 | |
258,316 | American Airlines Pass Through Trust, 3.60%, due 04/15/31 | 209,838 | |
269,286 | American Airlines Pass Through Trust, 3.65%, due 08/15/30 | 238,317 | |
205,429 | American Airlines Pass Through Trust, 3.70%, due 11/01/24 | 198,071 | |
164,000 | American Airlines Pass Through Trust, 3.95%, due 01/11/32 | 133,484 | |
101,257 | American Airlines Pass Through Trust, 4.00%, due 08/15/30 | 85,040 | |
367,896 | American Airlines Pass Through Trust, 4.10%, due 07/15/29 | 286,198 | |
700,000 | American Express Co., 3.40%, due 02/27/23 | 697,200 | |
232,000 | American Homes 4 Rent, LP REIT, 4.25%, due 02/15/28 | 214,007 | |
365,000 | American Tower Corp. REIT, 3.55%, due 07/15/27 | 330,054 | |
754,000 | American Tower Corp. REIT, 3.80%, due 08/15/29 | 662,465 | |
575,000 | American Water Capital Corp., 2.80%, due 05/01/30 | 486,677 | |
365,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25 | 339,439 | |
250,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.88%, due 08/20/26 | 226,893 | |
490,000 | AmerisourceBergen Corp., 2.80%, due 05/15/30 | 405,738 | |
1,120,000 | Amgen, Inc., 2.80%, due 08/15/41 | 767,220 | |
2,664,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | 2,321,499 | |
600,000 | Anheuser-Busch InBev Finance, Inc., 4.00%, due 01/17/43 | 466,001 | |
385,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48 | 319,962 | |
260,000 | Antero Midstream Partners, LP/Antero Midstream Finance Corp., 5.38%, due 06/15/29 144A | 230,082 | |
250,000 | Antero Midstream Partners, LP/Antero Midstream Finance Corp., 7.88%, due 05/15/26 144A | 251,582 | |
94,000 | Antero Resources Corp., 5.38%, due 03/01/30(e) 144A | 84,722 | |
750,000 | Apple, Inc., 3.85%, due 08/04/46 | 621,935 | |
770,000 | Apple, Inc., 4.10%, due 08/08/62 | 632,339 | |
980,000 | AptarGroup, Inc., 3.60%, due 03/15/32 | 804,913 | |
1,515,000 | Aptiv Plc/Aptiv Corp., 3.25%, due 03/01/32(e) | 1,208,067 |
44 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
291,000 | APX Group, Inc., 5.75%, due 07/15/29(e) 144A | 230,687 | |
225,000 | Aquarion Co., 4.00%, due 08/15/24(e) 144A | 219,359 | |
178,000 | Arconic Corp., 6.13%, due 02/15/28 144A | 157,631 | |
614,000 | Ares Capital Corp., 2.15%, due 07/15/26 | 515,283 | |
389,000 | Ares Capital Corp., 2.88%, due 06/15/28 | 306,770 | |
448,000 | Ares Capital Corp., 3.88%, due 01/15/26 | 408,068 | |
350,000 | Ares Capital Corp., 4.20%, due 06/10/24 | 339,114 | |
55,000 | Asbury Automotive Group, Inc., 4.63%, due 11/15/29 144A | 44,104 | |
200,000 | Asbury Automotive Group, Inc., 4.75%, due 03/01/30 | 156,517 | |
710,000 | Ascension Health, 2.53%, due 11/15/29 | 601,351 | |
150,000 | Ascension Health, 3.11%, due 11/15/39 | 113,789 | |
441,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 06/30/29(e) 144A | 393,284 | |
247,000 | Ashtead Capital, Inc., 2.45%, due 08/12/31 144A | 181,905 | |
290,000 | Ashtead Capital, Inc., 4.38%, due 08/15/27 144A | 266,648 | |
2,569,000 | AT&T, Inc., 2.30%, due 06/01/27 | 2,249,122 | |
2,108,000 | AT&T, Inc., 2.55%, due 12/01/33 | 1,562,678 | |
1,672,000 | AT&T, Inc., 3.50%, due 06/01/41 | 1,207,802 | |
1,140,000 | AT&T, Inc., 3.50%, due 09/15/53(e) | 761,485 | |
998,000 | AT&T, Inc., 3.65%, due 06/01/51 | 676,945 | |
410,000 | AT&T, Inc., 3.65%, due 09/15/59 | 266,495 | |
25,000 | AT&T, Inc., 4.30%, due 02/15/30 | 22,870 | |
700,000 | AT&T, Inc., 4.42% (3 mo. USD LIBOR + 1.18%), due 06/12/24(c) | 702,858 | |
144,000 | Atento Luxco 1 SA, 8.00%, due 02/10/26 144A | 63,024 | |
276,000 | Athene Holding, Ltd., 3.50%, due 01/15/31 | 221,405 | |
200,302 | Atlantica Transmision Sur SA, 6.88%, due 04/30/43 144A | 199,301 | |
168,000 | Autodesk, Inc., 2.85%, due 01/15/30 | 141,180 | |
249,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 219,294 | |
1,300,000 | Bacardi, Ltd., 4.70%, due 05/15/28 144A | 1,216,845 | |
942,000 | BAE Systems Finance, Inc., 7.50%, due 07/01/27 144A | 1,002,376 | |
696,000 | BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A | 663,320 | |
1,309,000 | BAE Systems Plc, 3.40%, due 04/15/30 144A | 1,135,107 | |
175,000 | Ball Corp., 3.13%, due 09/15/31(e) | 132,288 | |
200,000 | Banco Santander SA, 1.85%, due 03/25/26 | 172,917 | |
380,000 | Banco Santander SA, 4.38%, due 04/12/28 | 339,488 | |
265,000 | Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(c) | 229,860 | |
958,000 | Bank of America Corp., 1.73% (SOFR + 0.96%), due 07/22/27(c) | 822,821 | |
1,310,000 | Bank of America Corp., 2.30% (SOFR + 1.22%), due 07/21/32(c) | 980,690 | |
617,000 | Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(c) | 489,938 | |
3,371,000 | Bank of America Corp., 2.69% (SOFR + 1.32%), due 04/22/32(c) | 2,635,767 | |
730,000 | Bank of America Corp., 3.85% (5 yr. CMT + 2.00%), due 03/08/37(c) | 589,936 | |
877,000 | Bank of America Corp., 4.24% (3 mo. USD LIBOR + 1.81%), due 04/24/38(c) | 724,538 | |
1,945,000 | Bank of America Corp., 4.95% (SOFR + 2.04%), due 07/22/28(c) | 1,870,840 | |
160,000 | Bank of America Corp., 5.13% (3 mo. USD LIBOR + 3.29%)(c) (g) | 149,612 | |
1,036,000 | Bank of America Corp., 6.30% (3 mo. USD LIBOR + 4.55%)(c) (e) (g) | 1,022,843 | |
2,590,000 | Bank of America Corp., (MTN), 2.09% (SOFR + 1.06%), due 06/14/29(c) (e) | 2,106,745 | |
610,000 | Bank of America Corp., (MTN), 2.50% (3 mo. USD LIBOR + 0.99%), due 02/13/31(c) | 482,013 | |
160,000 | Bank of America Corp., (MTN), 2.88% (3 mo. USD LIBOR + 1.19%), due 10/22/30(c) | 131,378 | |
584,000 | Bank of America Corp., (MTN), 3.25%, due 10/21/27 | 524,123 |
See accompanying Notes to the Financial Statements. | 45 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
755,000 | Bank of America Corp., (MTN), 3.59% (3 mo. USD LIBOR + 1.37%), due 07/21/28(c) | 682,628 | |
783,000 | Bank of America Corp., (MTN), 3.95%, due 04/21/25 | 755,688 | |
210,000 | Bank of America Corp., (MTN), 4.27% (3 mo. USD LIBOR + 1.31%), due 07/23/29(c) | 191,788 | |
213,000 | Bank of America Corp., (MTN), 4.33% (3 mo. USD LIBOR + 1.52%), due 03/15/50(c) | 168,477 | |
825,000 | Bank of America Corp., (MTN), 4.45%, due 03/03/26 | 795,798 | |
256,000 | Barclays Plc, 1.01% (1 yr. CMT + 0.80%), due 12/10/24(c) | 241,097 | |
575,000 | Barclays Plc, 3.93% (3 mo. USD LIBOR + 1.61%), due 05/07/25(c) | 553,403 | |
446,000 | Barclays Plc, 4.38% (5 yr. CMT + 3.41%)(c) (g) | 275,985 | |
400,000 | Barclays Plc, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(c) | 360,526 | |
1,032,000 | Barclays Plc, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(c) | 992,202 | |
265,000 | Barclays Plc, 8.00% (5 yr. CMT + 5.43%)(c) (g) | 232,590 | |
390,000 | BAT Capital Corp., 3.56%, due 08/15/27 | 343,007 | |
270,000 | Bayer US Finance II LLC, 4.20%, due 07/15/34 144A | 228,179 | |
209,000 | Beacon Roofing Supply, Inc., 4.13%, due 05/15/29(e) 144A | 169,542 | |
605,000 | Berkshire Hathaway Energy Co., 3.70%, due 07/15/30 | 545,096 | |
85,000 | Berkshire Hathaway Energy Co., 5.95%, due 05/15/37 | 84,951 | |
1,312,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,344,658 | |
1,530,000 | Berry Global, Inc., 1.57%, due 01/15/26 | 1,335,528 | |
1,408,000 | Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A | 1,138,108 | |
1,015,000 | Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A | 609,860 | |
542,000 | Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A | 488,516 | |
596,000 | Blackstone Private Credit Fund, 2.35%, due 11/22/24 | 544,288 | |
373,000 | Blackstone Private Credit Fund, 2.70%, due 01/15/25 | 338,454 | |
88,000 | Blackstone Private Credit Fund, 3.25%, due 03/15/27 | 72,962 | |
517,000 | Blackstone Private Credit Fund, 4.00%, due 01/15/29 | 414,655 | |
140,000 | Block, Inc., 3.50%, due 06/01/31(e) | 108,819 | |
304,000 | BlueLinx Holdings, Inc., 6.00%, due 11/15/29 144A | 239,040 | |
1,536,000 | BMW US Capital LLC, 3.45%, due 04/01/27 144A | 1,431,109 | |
700,000 | BNP Paribas SA, 1.68% (SOFR + 0.91%), due 06/30/27(c) 144A | 592,935 | |
260,000 | BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(c) 144A | 203,675 | |
200,000 | BNP Paribas SA, 2.22% (SOFR + 2.07%), due 06/09/26(c) 144A | 179,987 | |
455,000 | BNP Paribas SA, 3.13% (SOFR + 1.56%), due 01/20/33(c) 144A | 345,839 | |
310,000 | BNP Paribas SA, 3.38%, due 01/09/25 144A | 295,188 | |
210,000 | BOC Aviation USA Corp., 1.63%, due 04/29/24 144A | 198,414 | |
2,080,000 | Boeing Co. (The), 2.20%, due 02/04/26 | 1,847,727 | |
282,000 | Boeing Co. (The), 3.20%, due 03/01/29 | 235,814 | |
190,000 | Boeing Co. (The), 3.90%, due 05/01/49 | 124,565 | |
295,000 | Boeing Co. (The), 3.95%, due 08/01/59(e) | 184,007 | |
1,065,000 | Boeing Co. (The), 5.04%, due 05/01/27 | 1,027,419 | |
3,094,000 | Boeing Co. (The), 5.15%, due 05/01/30 | 2,865,732 | |
470,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 409,478 | |
574,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 540,445 | |
388,000 | BPCE SA, 4.50%, due 03/15/25 144A | 368,806 | |
222,000 | Braskem Idesa SAPI, 6.99%, due 02/20/32 144A | 148,740 | |
527,000 | Braskem Netherlands Finance BV, 5.88%, due 01/31/50(e) 144A | 374,505 | |
230,000 | BRF SA, 5.75%, due 09/21/50 144A | 159,019 | |
500,000 | Bristol-Myers Squibb Co., 3.90%, due 03/15/62 | 379,047 | |
55,000 | Bristol-Myers Squibb Co., 4.13%, due 06/15/39 | 48,227 | |
118,795 | British Airways Pass Through Trust, 4.13%, due 03/20/33 144A | 98,584 |
46 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
115,847 | British Airways Pass Through Trust, 4.25%, due 05/15/34 144A | 104,556 | |
133,451 | British Airways Pass Through Trust, 4.63%, due 12/20/25 144A | 129,823 | |
73,429 | British Airways Pass Through Trust, 8.38%, due 11/15/28 144A | 74,387 | |
1,055,000 | Brixmor Operating Partnership, LP REIT, 2.50%, due 08/16/31 | 770,327 | |
249,000 | Broadcom, Inc., 3.14%, due 11/15/35 144A | 174,997 | |
605,000 | Broadcom, Inc., 3.19%, due 11/15/36 144A | 415,084 | |
1,517,000 | Broadcom, Inc., 3.42%, due 04/15/33 144A | 1,160,647 | |
1,966,000 | Broadcom, Inc., 4.11%, due 09/15/28 | 1,773,552 | |
1,638,000 | Broadcom, Inc., 4.75%, due 04/15/29 | 1,530,045 | |
1,171,000 | Brookfield Finance, Inc., 2.72%, due 04/15/31 | 931,752 | |
162,000 | Brookfield Residential Properties, Inc./Brookfield Residential US LLC, 5.00%, due 06/15/29 144A | 120,119 | |
323,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 248,484 | |
32,000 | Builders FirstSource, Inc., 5.00%, due 03/01/30 144A | 27,248 | |
235,000 | Builders FirstSource, Inc., 6.38%, due 06/15/32 144A | 209,300 | |
99,000 | Cable One, Inc., 4.00%, due 11/15/30 144A | 77,239 | |
137,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, due 07/01/25 144A | 132,369 | |
750,000 | Calpine Corp., 3.75%, due 03/01/31 144A | 588,090 | |
636,000 | Canadian Pacific Railway Co., 3.00%, due 12/02/41 | 452,045 | |
509,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15(h) | 482,139 | |
556,000 | Cantor Fitzgerald, LP, 4.88%, due 05/01/24 144A | 543,475 | |
504,000 | Capital One Financial Corp., 1.34% (SOFR + 0.69%), due 12/06/24(c) | 478,981 | |
1,595,000 | Capital One Financial Corp., 3.30%, due 10/30/24 | 1,538,029 | |
221,000 | Capital One Financial Corp., 4.93% (SOFR + 2.06%), due 05/10/28(c) (e) | 210,771 | |
113,000 | CCM Merger, Inc., 6.38%, due 05/01/26 144A | 103,328 | |
475,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.00%, due 03/01/23 144A | 472,862 | |
220,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 06/01/33 144A | 163,046 | |
160,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A | 140,400 | |
134,000 | CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29 | 108,996 | |
581,000 | CDW LLC/CDW Finance Corp., 3.57%, due 12/01/31 | 453,440 | |
450,000 | CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24 | 448,105 | |
204,000 | Celulosa Arauco y Constitucion SA, 3.88%, due 11/02/27 | 177,923 | |
340,000 | Cemex SAB de CV, 3.88%, due 07/11/31 144A | 268,394 | |
279,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 241,341 | |
140,000 | Cenovus Energy, Inc., 3.75%, due 02/15/52(e) | 95,208 | |
240,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47(e) | 206,166 | |
454,000 | Centene Corp., 3.00%, due 10/15/30 | 360,508 | |
209,000 | Centene Corp., 3.38%, due 02/15/30 | 171,312 | |
103,000 | Centene Corp., 4.25%, due 12/15/27 | 94,433 | |
335,000 | CenterPoint Energy, Inc., 3.70%, due 09/01/49 | 240,161 | |
391,000 | Century Communities, Inc., 3.88%, due 08/15/29 144A | 300,581 | |
278,000 | Century Communities, Inc., 6.75%, due 06/01/27 | 260,197 | |
475,000 | CGI, Inc., 1.45%, due 09/14/26 | 411,258 | |
125,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.30%, due 02/01/32(e) | 89,458 | |
750,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.80%, due 04/01/31 | 568,209 | |
857,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 06/01/52 | 532,614 |
See accompanying Notes to the Financial Statements. | 47 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
962,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 865,267 | |
1,229,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 03/01/50 | 889,757 | |
270,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 05/01/47 | 209,547 | |
1,021,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.75%, due 04/01/48 | 826,763 | |
1,964,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35 | 1,805,361 | |
1,025,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45 | 906,034 | |
679,000 | Cheniere Energy Partners, LP, 4.00%, due 03/01/31 | 570,693 | |
568,000 | Cheniere Energy Partners, LP, 4.50%, due 10/01/29 | 501,371 | |
643,000 | Chevron Corp., 2.00%, due 05/11/27 | 570,626 | |
290,000 | Choice Hotels International, Inc., 3.70%, due 12/01/29 | 244,812 | |
295,000 | Choice Hotels International, Inc., 3.70%, due 01/15/31 | 245,621 | |
2,885,000 | Cigna Corp., 3.40%, due 03/01/27 | 2,655,976 | |
660,000 | Cigna Corp., 4.38%, due 10/15/28 | 623,869 | |
295,000 | Cigna Corp., 4.80%, due 07/15/46 | 253,224 | |
701,000 | Cimpress Plc, 7.00%, due 06/15/26 144A | 478,033 | |
859,000 | Citigroup, Inc., 2.56% (SOFR + 1.17%), due 05/01/32(c) | 660,517 | |
863,000 | Citigroup, Inc., 3.20%, due 10/21/26 | 791,520 | |
3,626,000 | Citigroup, Inc., 3.40%, due 05/01/26 | 3,384,535 | |
625,000 | Citigroup, Inc., 3.52% (3 mo. USD LIBOR + 1.15%), due 10/27/28(c) | 558,708 | |
310,000 | Citigroup, Inc., 3.67% (3 mo. USD LIBOR + 1.39%), due 07/24/28(c) | 279,473 | |
1,585,000 | Citigroup, Inc., 3.89% (3 mo. USD LIBOR + 1.56%), due 01/10/28(c) | 1,460,456 | |
1,400,000 | Citigroup, Inc., 4.08% (3 mo. USD LIBOR + 1.19%), due 04/23/29(c) | 1,268,790 | |
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 175,159 | |
440,000 | Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(c) | 395,380 | |
1,176,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 1,147,878 | |
1,228,000 | Citigroup, Inc., 4.70% (SOFR + 3.23%)(c) (g) | 990,014 | |
596,000 | Citigroup, Inc., 6.25% (3 mo. USD LIBOR + 4.52%)(c) (g) | 571,564 | |
875,000 | Citizens Financial Group, Inc., 3.25%, due 04/30/30 | 716,654 | |
524,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14(e) (h) | 444,570 | |
194,000 | CNA Financial Corp., 2.05%, due 08/15/30 | 148,334 | |
197,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 194,684 | |
710,000 | CNO Financial Group, Inc., 5.25%, due 05/30/29 | 662,578 | |
91,000 | CNX Resources Corp., 7.38%, due 01/15/31 144A | 89,204 | |
18,000 | Comcast Corp., 2.89%, due 11/01/51 | 11,302 | |
429,000 | Comcast Corp., 3.30%, due 04/01/27 | 398,452 | |
1,007,000 | Comcast Corp., 3.40%, due 04/01/30 | 886,835 | |
2,400,000 | Comcast Corp., 3.95%, due 10/15/25 | 2,333,622 | |
5,000 | Comcast Corp., 3.97%, due 11/01/47 | 3,838 | |
5,000 | Comcast Corp., 6.50%, due 11/15/35 | 5,345 | |
600,000 | Comision Federal de Electricidad, 4.69%, due 05/15/29 144A | 503,196 | |
1,419,000 | CommonSpirit Health, 2.76%, due 10/01/24 | 1,351,405 | |
357,000 | CommonSpirit Health, 4.19%, due 10/01/49 | 268,049 | |
350,000 | Commonwealth Edison Co., 4.00%, due 03/01/48 | 281,461 | |
531,000 | Connect Finco SARL/Connect US Finco LLC, 6.75%, due 10/01/26 144A | 465,099 |
48 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
280,000 | Consensus Cloud Solutions, Inc., 6.50%, due 10/15/28 144A | 238,211 | |
65,000 | Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56 | 50,353 | |
350,000 | Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45 | 290,955 | |
385,000 | Constellation Brands, Inc., 2.25%, due 08/01/31 | 296,187 | |
141,000 | Continental Resources, Inc., 4.50%, due 04/15/23 | 140,468 | |
269,000 | Continental Resources, Inc., 4.90%, due 06/01/44 | 192,470 | |
332,000 | Coruripe Netherlands BV, 10.00%, due 02/10/27 144A | 284,690 | |
571,000 | CoStar Group, Inc., 2.80%, due 07/15/30 144A | 451,545 | |
970,000 | Cox Communications, Inc., 2.60%, due 06/15/31 144A | 754,485 | |
3,321,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 3,061,351 | |
1,750,000 | Cox Communications, Inc., 3.50%, due 08/15/27 144A | 1,604,809 | |
320,000 | Credit Agricole SA, 2.81%, due 01/11/41(i) | 190,267 | |
786,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 622,496 | |
250,000 | Credit Agricole SA, 3.75%, due 04/24/23 144A | 248,228 | |
380,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(c) (g) 144A | 365,477 | |
2,278,000 | Credit Suisse Group AG, 1.31% (SOFR + 0.98%), due 02/02/27(c) 144A | 1,855,067 | |
238,000 | Crown Castle, Inc., 3.80%, due 02/15/28 | 215,740 | |
270,000 | CSC Holdings LLC, 3.38%, due 02/15/31(e) 144A | 190,778 | |
247,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25(e) 144A | 215,768 | |
72,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25 144A | 62,896 | |
234,364 | CSI Compressco, LP/CSI Compressco Finance, Inc., 10.00% (10.00% Cash or 7.25% plus 3.50% PIK), due 04/01/26 144A | 204,984 | |
1,615,000 | CSL Finance Plc, 3.85%, due 04/27/27 144A | 1,530,474 | |
428,000 | CVS Health Corp., 3.75%, due 04/01/30 | 381,259 | |
203,000 | CVS Health Corp., 4.30%, due 03/25/28 | 191,818 | |
470,000 | CVS Health Corp., 4.78%, due 03/25/38 | 412,962 | |
451,000 | CVS Health Corp., 5.05%, due 03/25/48 | 398,235 | |
130,000 | CVS Health Corp., 5.13%, due 07/20/45 | 114,127 | |
1,059,154 | CVS Pass-Through Trust, 5.77%, due 01/10/33 144A | 1,025,949 | |
570,939 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 588,079 | |
1,579,502 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 1,670,975 | |
229,000 | DAE Funding LLC, 2.63%, due 03/20/25 144A | 210,222 | |
375,000 | Dana, Inc., 4.50%, due 02/15/32(e) | 268,203 | |
446,000 | DaVita, Inc., 3.75%, due 02/15/31 144A | 318,821 | |
422,000 | DaVita, Inc., 4.63%, due 06/01/30 144A | 327,559 | |
226,000 | DCP Midstream Operating, LP, 5.85% (3 mo. USD LIBOR + 3.85%), due 05/21/43(c) (e) 144A | 217,404 | |
77,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28(e) 144A | 67,990 | |
478,000 | Dell International LLC/EMC Corp., 3.45%, due 12/15/51 144A | 272,891 | |
951,000 | Dell International LLC/EMC Corp., 4.90%, due 10/01/26 | 917,410 | |
386,000 | Dell International LLC/EMC Corp., 5.30%, due 10/01/29 | 360,174 | |
224,000 | Dell International LLC/EMC Corp., 5.85%, due 07/15/25 | 225,939 | |
1,274,837 | Delta Air Lines Pass Through Trust, 2.00%, due 12/10/29 | 1,082,922 | |
834,000 | Delta Air Lines, Inc., 2.90%, due 10/28/24(e) | 773,613 | |
85,000 | Delta Air Lines, Inc., 3.80%, due 04/19/23 | 84,259 | |
445,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28(e) | 375,985 | |
86,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, due 10/20/25 144A | 83,528 | |
392,525 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, due 10/20/28 144A | 366,117 | |
739,000 | Deutsche Bank AG, 0.96%, due 11/08/23 | 703,516 |
See accompanying Notes to the Financial Statements. | 49 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
427,000 | Deutsche Bank AG, 2.31% (SOFR + 1.22%), due 11/16/27(c) | 346,882 | |
305,000 | EUR | DH Europe Finance II SARL, 1.35%, due 09/18/39 | 197,951 |
560,000 | Diageo Capital Plc, 2.13%, due 04/29/32 | 433,935 | |
321,000 | Diamondback Energy, Inc., 3.13%, due 03/24/31(e) | 260,851 | |
865,000 | Diamondback Energy, Inc., 3.25%, due 12/01/26 | 798,897 | |
373,000 | Digital Realty Trust, LP REIT, 3.60%, due 07/01/29(e) | 327,530 | |
1,121,000 | Digital Realty Trust, LP REIT, 3.70%, due 08/15/27(e) | 1,040,300 | |
158,000 | Discover Financial Services, 4.10%, due 02/09/27 | 145,487 | |
1,700,000 | Dollar General Corp., 5.00%, due 11/01/32 | 1,637,356 | |
115,000 | Dominion Energy, Inc., 2.85%, due 08/15/26 | 105,181 | |
311,000 | Dominion Energy, Inc., 3.38%, due 04/01/30 | 267,924 | |
285,000 | DPL, Inc., 4.13%, due 07/01/25 | 262,653 | |
850,000 | DTE Electric Co., 2.25%, due 03/01/30 | 701,912 | |
1,804,000 | DTE Electric Securitization Funding I LLC, 2.64%, due 12/01/27 | 1,719,808 | |
1,740,000 | DTE Energy Co., 1.05%, due 06/01/25 | 1,559,347 | |
411,000 | Duke Energy Carolinas LLC, 3.95%, due 03/15/48 | 325,061 | |
420,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46(e) | 297,084 | |
195,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46 | 147,607 | |
787,000 | eBay, Inc., 2.70%, due 03/11/30(e) | 642,129 | |
213,000 | Ecopetrol SA, 6.88%, due 04/29/30 | 179,381 | |
174,000 | Edgewell Personal Care Co., 4.13%, due 04/01/29 144A | 144,774 | |
152,000 | Edgewell Personal Care Co., 5.50%, due 06/01/28 144A | 136,112 | |
546,000 | EIG Pearl Holdings SARL, 3.55%, due 08/31/36 144A | 437,068 | |
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 212,419 | |
300,000 | Elevance Health, Inc., 3.60%, due 03/15/51 | 214,751 | |
5,000 | Elevance Health, Inc., 5.10%, due 01/15/44 | 4,553 | |
42,000 | Embraer Netherlands Finance BV, 5.05%, due 06/15/25 | 40,032 | |
250,000 | Embraer Overseas, Ltd., 5.70%, due 09/16/23 144A | 250,965 | |
450,000 | Emera US Finance, LP, 3.55%, due 06/15/26 | 418,459 | |
87,000 | Empire Communities Corp., 7.00%, due 12/15/25 144A | 72,292 | |
457,000 | Enbridge, Inc., 5.50% (3 mo. USD LIBOR + 3.42%), due 07/15/77(c) (e) | 402,613 | |
470,000 | Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(c) | 414,657 | |
442,000 | Enbridge, Inc., 6.25% (3 mo. USD LIBOR + 3.64%), due 03/01/78(c) | 397,801 | |
148,000 | Encompass Health Corp., 4.50%, due 02/01/28 | 127,069 | |
126,000 | Encompass Health Corp., 4.63%, due 04/01/31 | 99,824 | |
225,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 214,505 | |
230,000 | Energean Israel Finance, Ltd., 4.50%, due 03/30/24(j) 144A | 216,775 | |
365,000 | Energean Israel Finance, Ltd., 4.88%, due 03/30/26(j) 144A | 323,937 | |
106,000 | Energean Israel Finance, Ltd., 5.38%, due 03/30/28(j) 144A | 90,365 | |
185,000 | Energean Israel Finance, Ltd., 5.88%, due 03/30/31(j) 144A | 152,162 | |
922,000 | Energy Transfer, LP, 3.45%, due 01/15/23 | 917,308 | |
302,000 | Energy Transfer, LP, 4.20%, due 04/15/27 | 279,716 | |
580,000 | Energy Transfer, LP, 5.15%, due 03/15/45 | 457,934 | |
1,050,000 | Energy Transfer, LP, 5.25%, due 04/15/29 | 988,854 | |
150,000 | Energy Transfer, LP, 5.30%, due 04/01/44 | 120,491 | |
450,000 | Energy Transfer, LP, 5.30%, due 04/15/47 | 360,207 | |
501,000 | Energy Transfer, LP, 5.40%, due 10/01/47 | 406,946 | |
1,352,000 | Energy Transfer, LP, 5.50%, due 06/01/27 | 1,318,696 | |
340,000 | Energy Transfer, LP, 6.25%, due 04/15/49 | 302,630 |
50 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
545,000 | Energy Transfer, LP, 6.50% (5 yr. CMT + 5.69%)(c) (g) | 476,114 | |
302,000 | Enova International, Inc., 8.50%, due 09/15/25 144A | 265,174 | |
1,100,000 | Enterprise Products Operating LLC, 4.90%, due 05/15/46 | 938,067 | |
939,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD LIBOR + 3.03%), due 08/16/77(c) (e) | 786,073 | |
80,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/27 144A | 76,382 | |
56,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/30(e) 144A | 53,008 | |
115,000 | EQT Corp., 5.68%, due 10/01/25(k) | 114,435 | |
178,000 | EQT Corp., 7.00%, due 02/01/30(d) | 184,113 | |
1,215,000 | Equifax, Inc., 5.10%, due 12/15/27 | 1,177,511 | |
494,000 | Equinix, Inc. REIT, 1.55%, due 03/15/28 | 397,927 | |
268,000 | Equinix, Inc. REIT, 1.80%, due 07/15/27 | 224,372 | |
864,000 | Equinix, Inc. REIT, 2.50%, due 05/15/31(e) | 666,629 | |
258,000 | Equinix, Inc. REIT, 3.20%, due 11/18/29(e) | 218,474 | |
460,000 | Essential Utilities, Inc., 2.70%, due 04/15/30 | 377,226 | |
925,000 | Essex Portfolio, LP REIT, 1.70%, due 03/01/28 | 750,542 | |
1,320,000 | Eversource Energy, 2.90%, due 10/01/24 | 1,266,757 | |
1,250,000 | Eversource Energy, 2.90%, due 03/01/27 | 1,136,088 | |
1,066,000 | Exelon Corp., 3.35%, due 03/15/32(e) 144A | 895,328 | |
285,000 | Exelon Corp., 4.70%, due 04/15/50 | 239,173 | |
1,128,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,007,882 | |
375,000 | Expedia Group, Inc., 2.95%, due 03/15/31 | 291,437 | |
509,000 | Expedia Group, Inc., 4.63%, due 08/01/27 | 478,799 | |
632,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 622,179 | |
1,000,000 | Fairfax Financial Holdings, Ltd., 5.63%, due 08/16/32 144A | 923,625 | |
600,000 | Falabella SA, 4.38%, due 01/27/25 144A | 580,938 | |
1,328,000 | Ferguson Finance Plc, 3.25%, due 06/02/30 144A | 1,093,790 | |
2,130,000 | Ferguson Finance Plc, 4.50%, due 10/24/28 144A | 1,975,237 | |
219,000 | Fifth Third Bancorp, 5.10% (3 mo. USD LIBOR + 3.03%)(c) (g) | 197,700 | |
135,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26 144A | 124,733 | |
245,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 221,046 | |
200,000 | First Quantum Minerals, Ltd., 7.50%, due 04/01/25 144A | 192,757 | |
194,000 | FirstEnergy Corp., 2.65%, due 03/01/30 | 156,908 | |
1,815,000 | Florida Power & Light Co., 2.45%, due 02/03/32 | 1,476,270 | |
270,000 | Flowserve Corp., 3.50%, due 10/01/30(e) | 222,483 | |
196,000 | Ford Motor Co., 3.25%, due 02/12/32 | 141,523 | |
175,000 | Ford Motor Co., 4.75%, due 01/15/43 | 116,383 | |
915,000 | Ford Motor Credit Co. LLC, 3.35%, due 11/01/22 | 914,986 | |
215,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 168,179 | |
606,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/17/27 | 522,899 | |
720,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 626,411 | |
273,000 | Freedom Mortgage Corp., 8.13%, due 11/15/24 144A | 239,380 | |
493,000 | Freeport-McMoRan, Inc., 4.25%, due 03/01/30 | 422,235 | |
350,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30 | 307,405 | |
584,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 488,262 | |
826,000 | Fresenius Medical Care US Finance III, Inc., 2.38%, due 02/16/31(e) 144A | 601,446 | |
389,000 | FS Luxembourg SARL, 10.00%, due 12/15/25 144A | 393,301 | |
163,000 | Full House Resorts, Inc., 8.25%, due 02/15/28(e) 144A | 146,935 | |
2,747,000 | GA Global Funding Trust, 3.85%, due 04/11/25 144A | 2,619,959 |
See accompanying Notes to the Financial Statements. | 51 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
100,000 | Gap, Inc. (The), 3.63%, due 10/01/29(e) 144A | 65,158 | |
100,000 | Gap, Inc. (The), 3.88%, due 10/01/31(e) 144A | 63,796 | |
186,000 | Garda World Security Corp., 6.00%, due 06/01/29 144A | 136,737 | |
125,000 | Gartner, Inc., 3.63%, due 06/15/29 144A | 104,332 | |
540,000 | Gartner, Inc., 4.50%, due 07/01/28 144A | 483,627 | |
203,000 | GCI LLC, 4.75%, due 10/15/28 144A | 168,951 | |
305,000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 273,652 | |
233,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26 144A | 219,161 | |
820,000 | General Dynamics Corp., 4.25%, due 04/01/50 | 713,629 | |
440,000 | General Motors Co., 5.00%, due 04/01/35 | 361,727 | |
596,000 | General Motors Co., 5.40%, due 10/15/29 | 550,309 | |
205,000 | General Motors Co., 5.40%, due 04/01/48 | 160,481 | |
450,000 | General Motors Co., 6.25%, due 10/02/43 | 392,060 | |
2,781,000 | General Motors Financial Co., Inc., 2.40%, due 10/15/28(e) | 2,200,433 | |
605,000 | General Motors Financial Co., Inc., 2.90%, due 02/26/25 | 565,883 | |
430,000 | General Motors Financial Co., Inc., 3.10%, due 01/12/32(e) | 324,893 | |
1,474,000 | General Motors Financial Co., Inc., 3.60%, due 06/21/30 | 1,195,707 | |
261,000 | GFL Environmental, Inc., 4.38%, due 08/15/29 144A | 218,112 | |
275,000 | Global Infrastructure Solutions, Inc., 5.63%, due 06/01/29 144A | 204,016 | |
325,000 | Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A | 245,024 | |
239,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 3.25%, due 01/15/32 | 180,155 | |
211,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/30 | 176,655 | |
1,000,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/31 | 818,721 | |
582,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 5.38%, due 04/15/26 | 557,440 | |
1,350,000 | Goldman Sachs Group, Inc. (The), 0.86% (SOFR + 0.61%), due 02/12/26(c) | 1,205,278 | |
975,000 | Goldman Sachs Group, Inc. (The), 1.43% (SOFR + 0.80%), due 03/09/27(c) | 839,097 | |
1,100,000 | Goldman Sachs Group, Inc. (The), 1.54% (SOFR + 0.82%), due 09/10/27(c) | 930,443 | |
720,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR + 1.25%), due 07/21/32(c) | 543,704 | |
1,755,000 | Goldman Sachs Group, Inc. (The), 2.62% (SOFR + 1.28%), due 04/22/32(c) | 1,362,407 | |
566,000 | Goldman Sachs Group, Inc. (The), 2.65% (SOFR + 1.26%), due 10/21/32(c) | 434,491 | |
890,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR + 1.41%), due 02/24/33(c) | 707,966 | |
1,200,000 | Goldman Sachs Group, Inc. (The), 3.27% (3 mo. USD LIBOR + 1.20%), due 09/29/25(c) | 1,143,702 | |
140,000 | Goldman Sachs Group, Inc. (The), 3.50%, due 01/23/25 | 134,676 | |
85,000 | Goldman Sachs Group, Inc. (The), 3.75%, due 02/25/26 | 80,593 | |
1,131,000 | Goldman Sachs Group, Inc. (The), 3.80%, due 03/15/30 | 982,227 | |
815,000 | Goldman Sachs Group, Inc. (The), 3.81% (3 mo. USD LIBOR + 1.16%), due 04/23/29(c) | 723,718 | |
1,581,000 | Goldman Sachs Group, Inc. (The), 3.85%, due 01/26/27 | 1,470,872 | |
125,000 | Goldman Sachs Group, Inc. (The), 5.30% (3 mo. USD LIBOR + 3.83%)(c) (g) | 116,287 | |
370,000 | Graphic Packaging International LLC, 3.50%, due 03/01/29 144A | 305,020 | |
275,000 | Graphic Packaging International LLC, 4.13%, due 08/15/24 | 264,344 | |
14,000 | Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A | 11,304 | |
942,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 741,453 | |
389,000 | HCA, Inc., 4.13%, due 06/15/29 | 341,667 | |
410,000 | HCA, Inc., 4.38%, due 03/15/42 144A | 307,283 | |
418,000 | HCA, Inc., 5.25%, due 04/15/25 | 409,908 | |
332,000 | HCA, Inc., 5.25%, due 06/15/26 | 321,199 | |
25,000 | HCA, Inc., 5.38%, due 02/01/25 | 24,731 | |
275,000 | HCA, Inc., (MTN), 7.75%, due 07/15/36 | 297,774 |
52 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
646,000 | Healthpeak Properties, Inc. REIT, 3.25%, due 07/15/26 | 602,458 | |
89,000 | Hess Midstream Operations, LP, 4.25%, due 02/15/30 144A | 72,058 | |
43,000 | Hess Midstream Operations, LP, 5.50%, due 10/15/30 144A | 36,969 | |
150,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.00%, due 04/15/30 144A | 131,064 | |
200,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 177,454 | |
167,000 | Hillenbrand, Inc., 3.75%, due 03/01/31 | 129,349 | |
274,000 | Hilton Domestic Operating Co., Inc., 3.63%, due 02/15/32 144A | 210,308 | |
212,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.88%, due 07/01/31 144A | 162,131 | |
265,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.00%, due 06/01/29 144A | 214,272 | |
777,000 | Home Depot, Inc. (The), 3.30%, due 04/15/40 | 596,210 | |
588,000 | Home Depot, Inc. (The), 3.63%, due 04/15/52 | 445,095 | |
597,000 | Host Hotels & Resorts, LP REIT, 3.38%, due 12/15/29 | 484,413 | |
412,000 | Host Hotels & Resorts, LP REIT, 3.50%, due 09/15/30 | 329,091 | |
260,000 | Host Hotels & Resorts, LP REIT, 4.50%, due 02/01/26 | 247,136 | |
69,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 57,437 | |
368,000 | Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30 | 325,195 | |
390,000 | Huntsman International LLC, 2.95%, due 06/15/31 | 294,036 | |
870,000 | Huntsman International LLC, 4.50%, due 05/01/29 | 768,083 | |
248,000 | Hyatt Hotels Corp., 6.00%, due 04/23/30(d) | 240,740 | |
517,000 | Hyundai Capital America, 1.00%, due 09/17/24 144A | 472,735 | |
220,000 | Hyundai Capital America, 1.80%, due 10/15/25 144A | 195,880 | |
235,000 | Hyundai Capital America, 2.38%, due 10/15/27 144A | 196,537 | |
1,668,000 | Hyundai Capital America, 5.75%, due 04/06/23 144A | 1,673,337 | |
20,000 | IHS Markit, Ltd., 4.75%, due 08/01/28 | 18,609 | |
126,000 | Infor, Inc., 1.75%, due 07/15/25 144A | 113,474 | |
200,000 | Instituto Costarricense de Electricidad, 6.38%, due 05/15/43(e) 144A | 140,651 | |
223,000 | Intesa Sanpaolo SpA, 4.20% (1 yr. CMT + 2.60%), due 06/01/32(c) 144A | 150,588 | |
80,000 | IPALCO Enterprises, Inc., 4.25%, due 05/01/30 | 69,532 | |
106,000 | Iron Mountain Information Management Services, Inc. REIT, 5.00%, due 07/15/32 144A | 82,202 | |
210,000 | Iron Mountain, Inc. REIT, 4.88%, due 09/15/29 144A | 172,822 | |
221,000 | Iron Mountain, Inc. REIT, 5.25%, due 07/15/30 144A | 183,355 | |
845,000 | ITC Holdings Corp., 4.95%, due 09/22/27 144A | 825,734 | |
125,000 | Jacobs Entertainment, Inc., 6.75%, due 02/15/29 144A | 107,115 | |
107,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 99,087 | |
1,050,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, due 02/02/29(e) 144A | 860,429 | |
347,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.63%, due 01/15/32 144A | 271,796 | |
95,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, due 12/01/31 144A | 76,183 | |
222,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.13%, due 02/01/28 144A | 208,490 | |
605,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 144A | 547,912 | |
319,605 | JetBlue Pass Through Trust, 2.75%, due 11/15/33 | 262,955 | |
965,000 | Johnson & Johnson, 3.63%, due 03/03/37 | 835,893 | |
2,000,000 | JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(c) | 1,623,704 | |
709,000 | JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(c) | 561,384 |
See accompanying Notes to the Financial Statements. | 53 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
460,000 | JPMorgan Chase & Co., 2.58% (SOFR + 1.25%), due 04/22/32(c) | 357,053 | |
405,000 | JPMorgan Chase & Co., 2.96% (SOFR + 1.26%), due 01/25/33(c) | 318,847 | |
790,000 | JPMorgan Chase & Co., 2.96% (SOFR + 2.52%), due 05/13/31(c) | 626,809 | |
3,605,000 | JPMorgan Chase & Co., 3.78% (3 mo. USD LIBOR + 1.34%), due 02/01/28(c) | 3,309,371 | |
608,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.25%), due 01/29/27(c) | 574,266 | |
625,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.38%), due 11/15/48(c) | 469,417 | |
585,000 | JPMorgan Chase & Co., 4.00% (SOFR + 2.75%)(c) (e) (g) | 482,625 | |
340,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR + 1.12%), due 04/23/29(c) | 307,027 | |
2,450,000 | JPMorgan Chase & Co., 4.20% (3 mo. USD LIBOR + 1.26%), due 07/23/29(c) | 2,232,957 | |
1,207,000 | JPMorgan Chase & Co., 4.49% (SOFR + 3.79%), due 03/24/31(c) | 1,099,719 | |
551,000 | JPMorgan Chase & Co., 4.60% (SOFR + 3.13%)(c) (g) | 481,354 | |
995,000 | JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(c) (e) | 918,868 | |
180,000 | JPMorgan Chase & Co., 5.00% (SOFR + 3.38%)(c) (g) | 162,427 | |
843,000 | JPMorgan Chase & Co., 6.75% (3 mo. USD LIBOR + 3.78%)(c) (g) | 835,878 | |
107,000 | JW Aluminum Continuous Cast Co., 10.25%, due 06/01/26 144A | 109,830 | |
780,000 | Kaiser Foundation Hospitals, 2.81%, due 06/01/41 | 546,293 | |
200,000 | KazMunayGas National Co. JSC, 4.75%, due 04/24/25 144A | 185,538 | |
81,000 | KB Home, 7.25%, due 07/15/30 | 73,609 | |
175,000 | Ken Garff Automotive LLC, 4.88%, due 09/15/28 144A | 143,361 | |
383,000 | Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32 | 414,514 | |
640,000 | Kinder Morgan, Inc., 3.60%, due 02/15/51 | 416,605 | |
991,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A | 899,735 | |
257,000 | KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A | 179,697 | |
283,000 | KKR Group Finance Co. X LLC, 3.25%, due 12/15/51 144A | 184,833 | |
335,000 | KLA Corp., 4.10%, due 03/15/29 | 318,793 | |
333,000 | Kraft Heinz Foods Co., 3.00%, due 06/01/26 | 307,331 | |
646,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 503,584 | |
205,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 | 169,424 | |
244,000 | Kraft Heinz Foods Co., 5.00%, due 06/04/42 | 212,490 | |
115,000 | Kraft Heinz Foods Co., 5.20%, due 07/15/45 | 100,267 | |
378,000 | Kraft Heinz Foods Co., 5.50%, due 06/01/50 | 340,844 | |
397,000 | Lam Research Corp., 2.88%, due 06/15/50(e) | 259,876 | |
175,000 | Lamb Weston Holdings, Inc., 4.13%, due 01/31/30 144A | 148,385 | |
325,000 | Lamb Weston Holdings, Inc., 4.38%, due 01/31/32 144A | 269,118 | |
251,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 230,720 | |
106,000 | LCM Investments Holdings II LLC, 4.88%, due 05/01/29 144A | 82,241 | |
55,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due 02/01/26 144A | 47,382 | |
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86% (3 mo. USD LIBOR + 0.84%)(c) (f) (g) (l) (m) | — | |
890,000 | Lehman Brothers Holdings, Inc., 6.50%, due 07/19/17(f) (l) (m) | — | |
270,000 | Lehman Brothers Holdings, Inc., (MTN), 6.75%, due 12/28/17(f) (l) (m) | — | |
1,364,000 | Level 3 Financing, Inc., 3.40%, due 03/01/27 144A | 1,145,044 | |
511,000 | Leviathan Bond, Ltd., 6.50%, due 06/30/27(j) 144A | 471,397 | |
69,000 | Leviathan Bond, Ltd., 6.75%, due 06/30/30(j) 144A | 61,927 | |
230,000 | Liberty Mutual Group, Inc., 3.95%, due 10/15/50 144A | 155,346 | |
379,000 | Liberty Mutual Group, Inc., 4.13% (5 yr. CMT + 3.32%), due 12/15/51(c) 144A | 293,546 | |
254,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 251,713 | |
2,679,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 2,471,181 |
54 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
85,000 | Liberty Mutual Group, Inc., 5.50%, due 06/15/52 144A | 73,531 | |
2,434,000 | Lincoln National Corp., 3.40%, due 01/15/31(e) | 2,036,755 | |
343,000 | Lions Gate Capital Holdings LLC, 5.50%, due 04/15/29 144A | 256,207 | |
129,000 | Lithia Motors, Inc., 3.88%, due 06/01/29 144A | 103,737 | |
129,000 | Lithia Motors, Inc., 4.38%, due 01/15/31 144A | 105,803 | |
64,000 | Lithia Motors, Inc., 4.63%, due 12/15/27 144A | 55,687 | |
254,000 | Live Nation Entertainment, Inc., 4.75%, due 10/15/27(e) 144A | 221,038 | |
1,150,000 | Lloyds Banking Group Plc, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(c) | 1,057,496 | |
1,455,000 | Lloyds Banking Group Plc, 4.45%, due 05/08/25 | 1,406,806 | |
421,000 | Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(c) (e) (g) | 391,423 | |
712,000 | Lockheed Martin Corp., 2.80%, due 06/15/50 | 473,042 | |
713,000 | Lockheed Martin Corp., 4.70%, due 05/15/46 | 652,880 | |
952,000 | Lowe’s Cos., Inc., 4.25%, due 04/01/52 | 730,115 | |
386,000 | Lowe's Cos., Inc., 3.70%, due 04/15/46 | 277,098 | |
212,000 | Lowe's Cos., Inc., 5.00%, due 04/15/40 | 188,521 | |
953,000 | Lowe's Cos., Inc., 5.63%, due 04/15/53 | 883,592 | |
104,000 | LSB Industries, Inc., 6.25%, due 10/15/28 144A | 89,408 | |
284,000 | LSC Communication Escrow, Inc., 8.75%, due 10/15/23(f) | 534 | |
720,000 | Lubrizol Corp. (The), 6.50%, due 10/01/34 | 788,852 | |
350,000 | Lumen Technologies, Inc., 6.75%, due 12/01/23(e) | 357,058 | |
150,000 | LYB International Finance BV, 4.88%, due 03/15/44 | 122,376 | |
380,000 | LYB International Finance III LLC, 4.20%, due 05/01/50 | 273,881 | |
168,000 | M&T Bank Corp., 5.13% (3 mo. USD LIBOR + 3.52%)(c) (g) | 149,310 | |
320,000 | Macquarie Bank, Ltd., 3.62%, due 06/03/30 144A | 259,390 | |
416,000 | Macquarie Bank, Ltd., 4.88%, due 06/10/25 144A | 406,630 | |
943,000 | Macquarie Group, Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(c) 144A | 808,066 | |
1,484,000 | Macquarie Group, Ltd., 4.15% (3 mo. USD LIBOR + 1.33%), due 03/27/24(c) 144A | 1,475,949 | |
74,000 | Macy's Retail Holdings LLC, 5.88%, due 04/01/29(e) 144A | 59,489 | |
25,000 | Macy's Retail Holdings LLC, 5.88%, due 03/15/30(e) 144A | 19,824 | |
46,000 | Macy's Retail Holdings LLC, 6.13%, due 03/15/32(e) 144A | 35,320 | |
55,000 | Magellan Midstream Partners, LP, 4.25%, due 09/15/46 | 41,284 | |
200,000 | Magellan Midstream Partners, LP, 5.15%, due 10/15/43 | 167,210 | |
2,101,000 | Manulife Financial Corp., 3.70%, due 03/16/32(e) | 1,826,980 | |
420,000 | MARB BondCo Plc, 3.95%, due 01/29/31 144A | 304,632 | |
169,000 | Marriott International, Inc., 3.13%, due 06/15/26 | 156,095 | |
458,000 | Marriott International, Inc., 4.63%, due 06/15/30(e) | 414,602 | |
960,000 | Marriott International, Inc., 5.00%, due 10/15/27 | 928,648 | |
400,000 | Martin Marietta Materials, Inc., 2.50%, due 03/15/30 | 321,798 | |
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 226,720 | |
733,000 | Marvell Technology, Inc., 2.45%, due 04/15/28 | 606,507 | |
175,000 | Masonite International Corp., 3.50%, due 02/15/30(e) 144A | 134,224 | |
460,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14(e) (h) | 392,310 | |
1,255,000 | Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50(i) | 859,387 | |
224,000 | MasTec, Inc., 4.50%, due 08/15/28 144A | 195,900 | |
132,000 | Match Group Holdings II LLC, 3.63%, due 10/01/31(e) 144A | 99,848 | |
162,000 | Match Group Holdings II LLC, 4.13%, due 08/01/30(e) 144A | 133,268 | |
311,000 | MC Brazil Downstream Trading SARL, 7.25%, due 06/30/31 144A | 234,534 | |
1,890,000 | McDonald's Corp., 4.60%, due 09/09/32 | 1,807,126 | |
392,000 | McDonald's Corp., (MTN), 3.50%, due 07/01/27 | 366,698 |
See accompanying Notes to the Financial Statements. | 55 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
900,000 | McDonald's Corp., (MTN), 4.20%, due 04/01/50 | 723,556 | |
202,000 | MDC Holdings, Inc., 2.50%, due 01/15/31 | 135,222 | |
240,000 | Mercedes-Benz Finance North America LLC, 3.50%, due 08/03/25 144A | 229,306 | |
415,000 | MetLife, Inc., 5.00%, due 07/15/52 | 379,297 | |
475,000 | MetLife, Inc., 6.40%, due 12/15/66 | 458,777 | |
3,677,000 | Metropolitan Life Global Funding I, 3.30%, due 03/21/29 144A | 3,250,857 | |
200,000 | Mexico City Airport Trust, 5.50%, due 07/31/47 144A | 125,247 | |
638,000 | MGM Resorts International, 4.75%, due 10/15/28(e) | 535,418 | |
250,000 | Micron Technology, Inc., 4.98%, due 02/06/26 | 244,926 | |
1,346,000 | Micron Technology, Inc., 5.33%, due 02/06/29 | 1,274,243 | |
100,000 | MidAmerican Energy Co., 4.25%, due 07/15/49 | 83,573 | |
825,000 | Mid-Atlantic Interstate Transmission LLC, 4.10%, due 05/15/28 144A | 765,359 | |
483,000 | Midwest Connector Capital Co. LLC, 3.90%, due 04/01/24 144A | 466,911 | |
252,000 | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 05/01/29 144A | 207,976 | |
234,900 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 199,754 | |
1,590,000 | Mitsubishi UFJ Financial Group, Inc., 5.13% (1 yr. CMT + 2.13%), due 07/20/33(c) | 1,487,582 | |
333,000 | Mohegan Gaming & Entertainment, 8.00%, due 02/01/26 144A | 278,410 | |
950,000 | Moody's Corp., 3.25%, due 05/20/50(e) | 647,981 | |
1,329,000 | Morgan Stanley, 2.19% (SOFR + 1.99%), due 04/28/26(c) | 1,219,932 | |
998,000 | Morgan Stanley, 2.48% (SOFR + 1.36%), due 09/16/36(c) | 716,603 | |
1,478,000 | Morgan Stanley, 2.94% (SOFR + 1.29%), due 01/21/33(c) | 1,170,254 | |
945,000 | Morgan Stanley, 3.59% (3 mo. USD LIBOR + 1.34%), due 07/22/28(c) | 851,062 | |
947,000 | Morgan Stanley, 4.21% (SOFR + 1.61%), due 04/20/28(c) | 886,926 | |
560,000 | Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(c) (e) | 519,385 | |
1,936,000 | Morgan Stanley, (MTN), 2.24% (SOFR + 1.18%), due 07/21/32(c) | 1,456,330 | |
785,000 | Morgan Stanley, (MTN), 2.70% (SOFR + 1.14%), due 01/22/31(c) | 637,241 | |
1,301,000 | Morgan Stanley, (MTN), 3.13%, due 07/27/26 | 1,199,612 | |
1,311,000 | Morgan Stanley, (MTN), 3.62% (SOFR + 3.12%), due 04/01/31(c) | 1,134,345 | |
620,000 | Morgan Stanley, (MTN), 3.77% (3 mo. USD LIBOR + 1.14%), due 01/24/29(c) | 558,437 | |
419,000 | Morgan Stanley, (MTN), 3.88%, due 01/27/26 | 399,928 | |
1,000,000 | Morgan Stanley, (MTN), 4.35%, due 09/08/26 | 953,746 | |
809,000 | Motorola Solutions, Inc., 2.30%, due 11/15/30 | 609,063 | |
624,000 | Motorola Solutions, Inc., 2.75%, due 05/24/31 | 477,041 | |
207,000 | Motorola Solutions, Inc., 4.60%, due 05/23/29 | 190,816 | |
385,000 | MPLX, LP, 4.00%, due 03/15/28 | 351,367 | |
87,000 | MPLX, LP, 4.13%, due 03/01/27 | 81,238 | |
297,000 | MPLX, LP, 4.25%, due 12/01/27 | 276,989 | |
250,000 | MPLX, LP, 4.50%, due 04/15/38 | 201,815 | |
290,000 | MPLX, LP, 4.95%, due 09/01/32 | 263,815 | |
25,000 | MPLX, LP, 5.20%, due 03/01/47 | 20,616 | |
1,168,000 | MPLX, LP, 6.88% (3 mo. USD LIBOR + 4.65%)(c) (e) (g) | 1,153,400 | |
250,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31 | 174,589 | |
300,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27(e) | 259,752 | |
325,000 | MSCI, Inc., 3.25%, due 08/15/33(e) 144A | 251,488 | |
330,000 | MSCI, Inc., 3.63%, due 11/01/31 144A | 265,191 | |
145,000 | MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A | 139,368 | |
435,000 | Mylan, Inc., 5.20%, due 04/15/48 | 300,201 | |
450,000 | Mylan, Inc., 5.40%, due 11/29/43 | 328,383 |
56 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
141,000 | Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A | 102,426 | |
158,000 | Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A | 124,279 | |
62,000 | Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A | 53,001 | |
265,000 | NatWest Group Plc, 3.75% (5 yr. CMT + 2.10%), due 11/01/29(c) | 244,864 | |
210,000 | NatWest Group Plc, 5.08% (3 mo. USD LIBOR + 1.91%), due 01/27/30(c) | 191,624 | |
430,000 | NatWest Group Plc, 6.00% (5 yr. CMT + 5.63%)(c) (g) | 376,250 | |
714,000 | NatWest Markets Plc, 1.60%, due 09/29/26(e) 144A | 603,797 | |
329,000 | NBM US Holdings, Inc., 6.63%, due 08/06/29(e) 144A | 300,906 | |
720,000 | Netflix, Inc., 4.88%, due 04/15/28 | 675,450 | |
439,000 | Netflix, Inc., 4.88%, due 06/15/30(e) 144A | 402,149 | |
59,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 55,586 | |
574,000 | Netflix, Inc., 5.88%, due 11/15/28 | 561,533 | |
271,000 | New York Life Insurance Co., 3.75%, due 05/15/50 144A | 201,213 | |
435,000 | Newmont Corp., 2.25%, due 10/01/30 | 337,144 | |
150,000 | Newmont Corp., 5.45%, due 06/09/44 | 137,523 | |
228,000 | News Corp., 3.88%, due 05/15/29(e) 144A | 194,015 | |
136,000 | News Corp., 5.13%, due 02/15/32 144A | 119,613 | |
435,000 | NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30 | 347,689 | |
1,041,000 | NextEra Energy Capital Holdings, Inc., 3.55%, due 05/01/27 | 964,444 | |
342,000 | NextEra Energy Operating Partners, LP, 3.88%, due 10/15/26 144A | 311,928 | |
75,000 | NextEra Energy Operating Partners, LP, 4.50%, due 09/15/27 144A | 68,418 | |
738,000 | Nippon Life Insurance Co., 2.75% (5 yr. CMT + 2.65%), due 01/21/51(c) 144A | 576,657 | |
545,000 | Nippon Life Insurance Co., 5.10% (5 yr. USD swap + 3.65%), due 10/16/44(c) 144A | 530,483 | |
670,000 | NiSource, Inc., 3.49%, due 05/15/27 | 616,538 | |
311,000 | NiSource, Inc., 3.60%, due 05/01/30 | 271,731 | |
239,000 | Nissan Motor Acceptance Co. LLC, 1.13%, due 09/16/24 144A | 217,402 | |
200,000 | Nomura Holdings, Inc., 2.61%, due 07/14/31 | 148,601 | |
970,000 | Norfolk Southern Corp., 4.84%, due 10/01/41 | 867,106 | |
195,000 | Northern States Power Co., 3.60%, due 09/15/47 | 147,249 | |
942,000 | Northrop Grumman Corp., 5.25%, due 05/01/50 | 902,375 | |
300,000 | NOVA Chemicals Corp., 4.88%, due 06/01/24(e) 144A | 282,318 | |
621,000 | Novelis Corp., 4.75%, due 01/30/30 144A | 510,791 | |
531,000 | NRG Energy, Inc., 2.45%, due 12/02/27 144A | 435,501 | |
50,000 | NRG Energy, Inc., 3.38%, due 02/15/29 144A | 40,554 | |
194,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 151,737 | |
474,000 | NRG Energy, Inc., 3.88%, due 02/15/32 144A | 370,763 | |
303,000 | NRG Energy, Inc., 4.45%, due 06/15/29 144A | 263,109 | |
125,000 | NRG Energy, Inc., 5.25%, due 06/15/29 144A | 109,629 | |
525,000 | NRG Energy, Inc., 5.75%, due 01/15/28 | 485,599 | |
250,000 | NSTAR Electric Co., 3.10%, due 06/01/51 | 167,850 | |
1,320,000 | Nucor Corp., 3.13%, due 04/01/32 | 1,079,562 | |
315,000 | Nutrien, Ltd., 4.90%, due 06/01/43 | 272,783 | |
2,136,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25 | 1,982,945 | |
188,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.25%, due 05/11/41 | 123,718 | |
715,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26 | 668,175 | |
3,517,000 | Occidental Petroleum Corp., 6.48%, due 10/10/36(n) | 1,814,139 | |
325,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 279,602 | |
62,000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 58,373 | |
200,000 | OneMain Finance Corp., 8.25%, due 10/01/23 | 202,516 |
See accompanying Notes to the Financial Statements. | 57 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
655,000 | ONEOK, Inc., 3.10%, due 03/15/30 | 533,082 | |
390,000 | ONEOK, Inc., 4.45%, due 09/01/49 | 280,182 | |
200,000 | ONEOK, Inc., 4.95%, due 07/13/47 | 154,477 | |
1,200,000 | Oracle Corp., 1.65%, due 03/25/26 | 1,052,509 | |
1,542,000 | Oracle Corp., 2.50%, due 04/01/25 | 1,438,216 | |
1,281,000 | Oracle Corp., 2.95%, due 04/01/30 | 1,034,066 | |
1,106,000 | Oracle Corp., 3.95%, due 03/25/51 | 735,603 | |
425,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, due 04/30/28 144A | 364,325 | |
342,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A | 280,724 | |
208,000 | Oriflame Investment Holding Plc, 5.13%, due 05/04/26 144A | 121,160 | |
63,000 | Ovintiv, Inc., 7.20%, due 11/01/31 | 64,341 | |
391,000 | Owens Corning, 3.95%, due 08/15/29 | 350,428 | |
350,000 | Owens Corning, 4.30%, due 07/15/47(e) | 257,589 | |
110,000 | Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27(e) 144A | 99,892 | |
265,000 | PacifiCorp, 2.70%, due 09/15/30(e) | 221,651 | |
195,000 | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due 10/15/28 144A | 161,620 | |
406,000 | Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due 10/15/27 144A | 341,201 | |
197,000 | Parkland Corp., 4.50%, due 10/01/29 144A | 159,501 | |
190,000 | Parkland Corp., 4.63%, due 05/01/30 144A | 154,331 | |
415,000 | PECO Energy Co., 3.05%, due 03/15/51(e) | 281,038 | |
205,000 | PECO Energy Co., 3.70%, due 09/15/47 | 159,113 | |
580,000 | Pennsylvania Electric Co., 3.60%, due 06/01/29 144A | 516,755 | |
2,450,000 | Penske Truck Leasing Co., LP/PTL Finance Corp., 3.90%, due 02/01/24 144A | 2,397,799 | |
76,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 40,966 | |
270,000 | Petroleos Mexicanos, 6.50%, due 03/13/27 | 226,570 | |
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 148,235 | |
338,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 188,981 | |
380,000 | Petroleos Mexicanos, 6.88%, due 08/04/26 | 342,741 | |
233,000 | Petroleos Mexicanos, 8.75%, due 06/02/29 144A | 199,754 | |
2,426,000 | PG&E Wildfire Recovery Funding LLC, 3.59%, due 06/01/32 | 2,287,820 | |
827,000 | PG&E Wildfire Recovery Funding LLC, 4.26%, due 06/01/38 | 750,996 | |
2,169,000 | PG&E Wildfire Recovery Funding LLC, 4.72%, due 06/01/39 | 2,027,485 | |
797,000 | Phillips 66 Co., 3.61%, due 02/15/25 144A | 765,998 | |
145,000 | Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29 | 127,816 | |
575,000 | Pilgrim's Pride Corp., 5.88%, due 09/30/27 144A | 560,481 | |
855,000 | Plains All American Pipeline, LP/PAA Finance Corp., 3.55%, due 12/15/29 | 713,390 | |
61,000 | Playtika Holding Corp., 4.25%, due 03/15/29(e) 144A | 48,866 | |
63,000 | PNC Financial Services Group, Inc. (The), 3.15%, due 05/19/27 | 57,877 | |
722,000 | PNC Financial Services Group, Inc. (The), 3.40% (5 yr. CMT + 2.60%)(c) (g) | 540,617 | |
357,000 | PNC Financial Services Group, Inc. (The), 4.85% (3 mo. USD LIBOR + 3.04%)(c) (g) | 325,647 | |
699,000 | PNC Financial Services Group, Inc. (The), 6.46% (3 mo. USD LIBOR + 3.68%)(c) (g) | 696,990 | |
292,000 | Post Holdings, Inc., 5.50%, due 12/15/29 144A | 252,878 | |
201,000 | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, due 09/01/29(e) 144A | 139,418 | |
51,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A | 42,957 | |
136,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 116,279 | |
90,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 83,913 | |
277,000 | Prudential Financial, Inc., 5.13% (5 yr. CMT + 3.16%), due 03/01/52(c) | 240,525 |
58 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
195,000 | Public Service Electric & Gas Co., (MTN), 2.70%, due 05/01/50 | 123,233 | |
445,000 | Public Service Electric & Gas Co., (MTN), 3.00%, due 05/15/27 | 410,105 | |
315,000 | Public Service Electric & Gas Co., (MTN), 3.20%, due 05/15/29 | 283,086 | |
1,700,000 | Public Service Enterprise Group, Inc., 2.88%, due 06/15/24 | 1,636,135 | |
515,000 | Public Storage REIT, 2.25%, due 11/09/31 | 405,988 | |
379,000 | Puget Energy, Inc., 2.38%, due 06/15/28 | 315,761 | |
900,000 | Qatar Energy, 1.38%, due 09/12/26 144A | 785,645 | |
275,000 | Qatar Energy, 2.25%, due 07/12/31 144A | 222,139 | |
348,000 | Qorvo, Inc., 1.75%, due 12/15/24 144A | 321,850 | |
282,000 | Qorvo, Inc., 3.38%, due 04/01/31 144A | 211,627 | |
130,000 | Radian Group, Inc., 4.50%, due 10/01/24 | 123,165 | |
191,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, due 09/15/28 144A | 133,622 | |
1,761,000 | Raytheon Technologies Corp., 1.90%, due 09/01/31 | 1,347,115 | |
790,000 | Realty Income Corp. REIT, 2.85%, due 12/15/32 | 633,655 | |
330,000 | Realty Income Corp. REIT, 3.25%, due 01/15/31 | 281,965 | |
408,000 | Renesas Electronics Corp., 1.54%, due 11/26/24 144A | 373,670 | |
340,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29(e) 144A | 259,066 | |
389,000 | RHP Hotel Properties, LP/RHP Finance Corp. REIT, 4.50%, due 02/15/29 144A | 323,234 | |
405,000 | Roper Technologies, Inc., 1.40%, due 09/15/27 | 335,670 | |
199,000 | Royal Caribbean Cruises, Ltd., 9.13%, due 06/15/23 144A | 202,729 | |
217,000 | Royalty Pharma Plc, 1.75%, due 09/02/27 | 179,648 | |
415,000 | RPM International, Inc., 2.95%, due 01/15/32 | 320,151 | |
2,180,000 | Ryder System, Inc., (MTN), 4.30%, due 06/15/27 | 2,065,519 | |
202,000 | S&P Global, Inc., 4.75%, due 08/01/28 144A | 197,467 | |
232,000 | Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 | 211,965 | |
662,000 | Sabine Pass Liquefaction LLC, 4.50%, due 05/15/30 | 604,038 | |
231,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 | 221,911 | |
288,000 | Sabine Pass Liquefaction LLC, 5.88%, due 06/30/26 | 288,470 | |
247,000 | Sabre GLBL, Inc., 7.38%, due 09/01/25 144A | 221,554 | |
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 303,690 | |
290,000 | San Diego Gas & Electric Co., 4.15%, due 05/15/48 | 233,293 | |
466,000 | Santander Holdings USA, Inc., 2.49% (SOFR + 1.25%), due 01/06/28(c) | 389,204 | |
1,209,000 | Santander Holdings USA, Inc., 3.24%, due 10/05/26 | 1,083,414 | |
1,093,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 1,024,383 | |
620,000 | Santander Holdings USA, Inc., 3.50%, due 06/07/24 | 601,295 | |
199,000 | Santander Holdings USA, Inc., 4.40%, due 07/13/27 | 183,342 | |
437,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31(e) | 330,643 | |
200,000 | Sasol Financing USA LLC, 5.88%, due 03/27/24 | 194,236 | |
200,000 | Sasol Financing USA LLC, 6.50%, due 09/27/28 | 180,515 | |
322,000 | SBA Tower Trust REIT, 2.84%, due 01/15/50 144A | 301,518 | |
411,000 | SBL Holdings, Inc., 5.00%, due 02/18/31 144A | 314,434 | |
1,666,000 | Schlumberger Holdings Corp., 3.90%, due 05/17/28 144A | 1,504,436 | |
115,000 | Sensata Technologies, Inc., 3.75%, due 02/15/31(e) 144A | 90,829 | |
254,000 | Service Corp. International, 4.00%, due 05/15/31 | 204,685 | |
950,000 | Shell International Finance BV, 5.50%, due 03/25/40 | 942,655 | |
425,000 | Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26 | 392,392 | |
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 882,102 | |
384,000 | Sirius XM Radio, Inc., 4.00%, due 07/15/28 144A | 327,433 | |
593,000 | Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A | 545,450 |
See accompanying Notes to the Financial Statements. | 59 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
220,000 | SMBC Aviation Capital Finance DAC, 2.30%, due 06/15/28 144A | 173,885 | |
1,130,000 | Societe Generale SA, 1.79% (1 yr. CMT + 1.00%), due 06/09/27(c) 144A | 941,894 | |
710,000 | Societe Generale SA, 2.80% (1 yr. CMT + 1.30%), due 01/19/28(c) 144A | 599,450 | |
810,000 | Societe Generale SA, 3.35% (SOFR + 1.05%), due 01/21/26(c) 144A | 781,888 | |
514,000 | Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(c) (g) 144A | 353,529 | |
281,000 | Societe Generale SA, 6.22% (1 yr. CMT + 3.20%), due 06/15/33(c) 144A | 249,484 | |
200,000 | Sotheby's, 7.38%, due 10/15/27 144A | 183,954 | |
570,000 | Southern California Edison Co., 3.45%, due 02/01/52 | 384,774 | |
335,000 | Southern California Edison Co., 4.00%, due 04/01/47 | 244,994 | |
1,318,000 | Southern Co. (The), 3.25%, due 07/01/26 | 1,222,641 | |
1,260,000 | Southern Co. Gas Capital Corp., 2.45%, due 10/01/23 | 1,231,195 | |
755,000 | Southwest Airlines Co., 2.63%, due 02/10/30 | 606,597 | |
144,000 | Southwestern Energy Co., 4.75%, due 02/01/32(e) | 121,003 | |
21,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, due 09/30/26 144A | 17,400 | |
1,701,000 | Spirit Realty, LP REIT, 2.10%, due 03/15/28 | 1,354,251 | |
300,000 | Sprint Corp., 7.13%, due 06/15/24 | 304,983 | |
598,000 | Stagwell Global LLC, 5.63%, due 08/15/29 144A | 492,976 | |
118,000 | Standard Industries, Inc., 3.38%, due 01/15/31 144A | 83,237 | |
590,000 | Standard Industries, Inc., 4.38%, due 07/15/30 144A | 452,772 | |
25,000 | Standard Industries, Inc., 4.75%, due 01/15/28 144A | 21,181 | |
175,000 | Starwood Property Trust, Inc. REIT, 3.63%, due 07/15/26 144A | 149,136 | |
200,000 | State Grid Overseas Investment BVI, Ltd., 3.50%, due 05/04/27 144A | 190,849 | |
330,000 | State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(c) (e) | 284,211 | |
1,740,000 | State Street Corp., 4.16% (SOFR + 1.73%), due 08/04/33(c) | 1,572,549 | |
920,000 | Steel Dynamics, Inc., 3.45%, due 04/15/30 | 777,524 | |
3,045,000 | Stellantis Finance US, Inc., 1.71%, due 01/29/27 144A | 2,538,205 | |
605,000 | Stellantis Finance US, Inc., 2.69%, due 09/15/31(e) 144A | 432,395 | |
77,000 | Sunoco, LP/Sunoco Finance Corp., 4.50%, due 05/15/29 | 64,013 | |
297,000 | Sunoco, LP/Sunoco Finance Corp., 4.50%, due 04/30/30 | 243,231 | |
68,000 | Switch, Ltd., 3.75%, due 09/15/28 144A | 67,651 | |
455,000 | Take-Two Interactive Software, Inc., 3.30%, due 03/28/24 | 443,718 | |
257,000 | Take-Two Interactive Software, Inc., 3.55%, due 04/14/25 | 246,874 | |
225,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 191,837 | |
740,000 | Targa Resources Corp., 4.95%, due 04/15/52 | 571,224 | |
467,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.00%, due 01/15/32 | 386,083 | |
150,000 | Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A | 121,291 | |
110,000 | Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A | 102,589 | |
150,000 | Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, due 03/01/24 144A | 147,043 | |
926,000 | Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A | 754,845 | |
34,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39(i) | 37,129 | |
111,000 | Telecom Argentina SA, 8.00%, due 07/18/26 144A | 96,991 | |
1,125,000 | Teledyne Technologies, Inc., 2.75%, due 04/01/31 | 888,863 | |
250,000 | Telefonica Celular del Paraguay SA, 5.88%, due 04/15/27 144A | 222,508 | |
163,000 | Telesat Canada/Telesat LLC, 5.63%, due 12/06/26 144A | 78,216 | |
50,000 | Tenet Healthcare Corp., 4.38%, due 01/15/30 144A | 41,843 | |
223,000 | Tenet Healthcare Corp., 4.63%, due 07/15/24 | 215,885 |
60 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
125,000 | Tenet Healthcare Corp., 6.13%, due 06/15/30 144A | 114,828 | |
50,000 | T-Mobile USA, Inc., 2.88%, due 02/15/31 | 40,360 | |
521,000 | T-Mobile USA, Inc., 3.38%, due 04/15/29 | 450,925 | |
2,019,000 | T-Mobile USA, Inc., 3.50%, due 04/15/25 | 1,931,523 | |
742,000 | T-Mobile USA, Inc., 3.88%, due 04/15/30 | 658,619 | |
1,000,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50 | 803,472 | |
1,595,000 | Toll Brothers Finance Corp., 4.35%, due 02/15/28 | 1,392,947 | |
1,475,000 | Toronto-Dominion Bank (The), 1.95%, due 01/12/27(e) | 1,284,921 | |
321,000 | Total Play Telecomunicaciones SA de CV, 6.38%, due 09/20/28(e) 144A | 228,636 | |
548,000 | Total Play Telecomunicaciones SA de CV, 7.50%, due 11/12/25 144A | 466,608 | |
88,000 | Townsquare Media, Inc., 6.88%, due 02/01/26(e) 144A | 80,542 | |
2,018,000 | Toyota Motor Credit Corp., (MTN), 3.00%, due 04/01/25 | 1,935,665 | |
251,000 | TransCanada PipeLines, Ltd., 4.25%, due 05/15/28 | 232,799 | |
140,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50 | 103,750 | |
500,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48 | 413,319 | |
623,000 | TransDigm, Inc., 5.50%, due 11/15/27 | 543,234 | |
175,000 | Travel + Leisure Co., 4.63%, due 03/01/30(e) 144A | 138,608 | |
166,000 | Travel + Leisure Co., 6.60%, due 10/01/25(d) | 162,268 | |
55,000 | Trident TPI Holdings, Inc., 6.63%, due 11/01/25 144A | 47,589 | |
170,000 | TriNet Group, Inc., 3.50%, due 03/01/29 144A | 138,822 | |
232,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.13%, due 04/01/29(e) 144A | 137,327 | |
1,040,000 | Truist Bank, 2.25%, due 03/11/30 | 816,671 | |
342,000 | Tutor Perini Corp., 6.88%, due 05/01/25(e) 144A | 256,150 | |
191,000 | Twitter, Inc., 3.88%, due 12/15/27(e) 144A | 179,515 | |
532,000 | Uber Technologies, Inc., 4.50%, due 08/15/29 144A | 448,210 | |
285,000 | Uber Technologies, Inc., 7.50%, due 05/15/25 144A | 284,706 | |
561,000 | Uber Technologies, Inc., 7.50%, due 09/15/27 144A | 550,636 | |
765,000 | UBS Group AG, 1.49% (1 yr. CMT + 0.85%), due 08/10/27(c) 144A | 643,577 | |
375,000 | UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(c) 144A | 273,127 | |
1,897,000 | UBS Group AG, 4.13%, due 04/15/26 144A | 1,795,885 | |
305,000 | UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(c) (g) 144A | 289,353 | |
492,500 | United Airlines Pass Through Trust, 3.45%, due 01/07/30 | 398,977 | |
306,062 | United Airlines Pass Through Trust, 3.65%, due 07/07/27 | 268,747 | |
529,511 | United Airlines Pass Through Trust, 3.75%, due 03/03/28 | 481,041 | |
2,185,787 | United Airlines Pass Through Trust, 4.00%, due 10/11/27 | 2,001,748 | |
247,715 | United Airlines Pass Through Trust, 4.55%, due 02/25/33 | 204,843 | |
74,666 | United Airlines Pass Through Trust, 4.60%, due 09/01/27 | 68,149 | |
202,980 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 189,847 | |
1,577,466 | United Airlines Pass Through Trust, 5.88%, due 04/15/29 | 1,524,018 | |
307,000 | United Airlines, Inc., 4.38%, due 04/15/26 144A | 274,532 | |
98,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 81,337 | |
150,000 | United Rentals North America, Inc., 3.75%, due 01/15/32 | 118,072 | |
251,000 | United Rentals North America, Inc., 3.88%, due 11/15/27 | 225,124 | |
37,000 | United Rentals North America, Inc., 3.88%, due 02/15/31(e) | 30,169 | |
245,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 225,166 | |
35,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 31,725 | |
390,000 | UnitedHealth Group, Inc., 3.05%, due 05/15/41 | 284,229 | |
155,000 | UnitedHealth Group, Inc., 3.25%, due 05/15/51 | 108,025 |
See accompanying Notes to the Financial Statements. | 61 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
433,000 | Universal Health Services, Inc., 1.65%, due 09/01/26 144A | 363,376 | |
430,000 | Universal Health Services, Inc., 2.65%, due 10/15/30 144A | 318,731 | |
120,000 | University of Chicago (The), 2.76%, due 04/01/45 | 90,238 | |
350,000 | University of Southern California, 2.95%, due 10/01/51 | 245,118 | |
122,000 | Univision Communications, Inc., 4.50%, due 05/01/29 144A | 99,764 | |
43,000 | Univision Communications, Inc., 7.38%, due 06/30/30(e) 144A | 41,132 | |
1,069,948 | US Airways Pass Through Trust, 4.63%, due 12/03/26 | 968,473 | |
72,294 | US Airways Pass Through Trust, 5.90%, due 04/01/26 | 70,087 | |
75,361 | US Airways Pass Through Trust, 6.25%, due 10/22/24 | 74,620 | |
194,715 | US Airways Pass Through Trust, 7.13%, due 04/22/25 | 193,584 | |
355,000 | Valvoline, Inc., 3.63%, due 06/15/31 144A | 261,951 | |
125,000 | Valvoline, Inc., 4.25%, due 02/15/30 144A | 118,403 | |
165,000 | Varex Imaging Corp., 7.88%, due 10/15/27 144A | 162,232 | |
325,000 | Vector Group, Ltd., 5.75%, due 02/01/29 144A | 265,784 | |
148,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A | 127,253 | |
219,000 | Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A | 182,125 | |
285,000 | VeriSign, Inc., 2.70%, due 06/15/31 | 221,486 | |
207,000 | VeriSign, Inc., 5.25%, due 04/01/25 | 206,592 | |
878,000 | Verisk Analytics, Inc., 3.63%, due 05/15/50 | 600,805 | |
1,300,000 | Verizon Communications, Inc., 2.55%, due 03/21/31 | 1,039,287 | |
578,000 | Verizon Communications, Inc., 2.88%, due 11/20/50 | 355,013 | |
1,224,000 | Verizon Communications, Inc., 3.55%, due 03/22/51(e) | 863,377 | |
1,235,000 | Verizon Communications, Inc., 4.33%, due 09/21/28 | 1,162,924 | |
190,000 | Viatris, Inc., 2.30%, due 06/22/27 | 155,395 | |
325,000 | Viatris, Inc., 3.85%, due 06/22/40 | 203,230 | |
501,000 | Viatris, Inc., 4.00%, due 06/22/50 | 300,959 | |
305,000 | VICI Properties, LP / VICI Note Co., Inc. REIT, 3.88%, due 02/15/29 144A | 256,506 | |
106,000 | VICI Properties, LP REIT, 5.13%, due 05/15/32 | 94,193 | |
219,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.13%, due 08/15/30(e) 144A | 183,354 | |
319,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.63%, due 12/01/29 144A | 277,450 | |
184,000 | Videotron, Ltd., 3.63%, due 06/15/29(e) 144A | 149,435 | |
1,400,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 1,318,003 | |
460,000 | Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A | 438,664 | |
1,026,000 | Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A | 910,045 | |
881,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 751,843 | |
135,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27(e) 144A | 122,240 | |
432,000 | Vodafone Group Plc, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(c) | 412,057 | |
72,000 | Volcan Cia Minera SAA, 4.38%, due 02/11/26 144A | 59,560 | |
340,000 | WakeMed, 3.29%, due 10/01/52 | 237,843 | |
598,000 | Walt Disney Co. (The), 4.70%, due 03/23/50(e) | 534,016 | |
345,000 | Warnermedia Holdings, Inc., 5.05%, due 03/15/42 144A | 258,748 | |
1,743,000 | Warnermedia Holdings, Inc., 5.14%, due 03/15/52 144A | 1,270,173 | |
240,000 | Waste Connections, Inc., 3.20%, due 06/01/32 | 201,312 | |
804,000 | Waste Management, Inc., 4.15%, due 04/15/32 | 744,851 | |
490,000 | Wells Fargo & Co., 3.07% (SOFR + 2.53%), due 04/30/41(c) | 337,450 | |
1,497,000 | Wells Fargo & Co., 5.88% (3 mo. USD LIBOR + 3.99%)(c) (e) (g) | 1,428,958 | |
1,067,000 | Wells Fargo & Co., (MTN), 2.39% (SOFR + 2.10%), due 06/02/28(c) | 916,359 | |
765,000 | Wells Fargo & Co., (MTN), 2.57% (SOFR + 1.26%), due 02/11/31(c) | 613,287 | |
1,082,000 | Wells Fargo & Co., (MTN), 2.88% (3 mo. TSFR + 1.43%), due 10/30/30(c) | 890,409 |
62 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
389,000 | Wells Fargo & Co., (MTN), 3.35% (SOFR + 1.50%), due 03/02/33(c) | 315,974 | |
6,390,000 | Wells Fargo & Co., (MTN), 4.81% (SOFR + 1.98%), due 07/25/28(c) | 6,100,907 | |
662,000 | Western Digital Corp., 4.75%, due 02/15/26 | 613,932 | |
350,000 | William Carter Co. (The), 5.63%, due 03/15/27 144A | 327,726 | |
416,000 | Williams Cos., Inc., 4.65%, due 08/15/32 | 377,882 | |
477,000 | Williams Cos., Inc. (The), 3.75%, due 06/15/27 | 440,536 | |
1,065,000 | Williams Cos., Inc. (The), 4.55%, due 06/24/24 | 1,055,338 | |
494,000 | WMG Acquisition Corp., 3.00%, due 02/15/31(e) 144A | 375,726 | |
324,000 | WMG Acquisition Corp., 3.88%, due 07/15/30 144A | 266,108 | |
300,000 | Wolverine World Wide, Inc., 4.00%, due 08/15/29(e) 144A | 229,311 | |
1,278,000 | Workday, Inc., 3.50%, due 04/01/27(e) | 1,184,007 | |
665,000 | WP Carey, Inc. REIT, 2.25%, due 04/01/33(e) | 474,020 | |
124,000 | WR Grace Holdings LLC, 4.88%, due 06/15/27 144A | 106,749 | |
140,000 | Wyndham Hotels & Resorts, Inc., 4.38%, due 08/15/28 144A | 123,269 | |
1,100,000 | Xcel Energy, Inc., 3.40%, due 06/01/30 | 956,054 | |
98,000 | XHR, LP REIT, 4.88%, due 06/01/29 144A | 80,999 | |
610,000 | Yale University, 2.40%, due 04/15/50 | 396,556 | |
1,070,000 | Yamana Gold, Inc., 2.63%, due 08/15/31 | 792,801 | |
1,220,000 | Yara International ASA, 4.75%, due 06/01/28 144A | 1,112,716 | |
201,000 | Yum! Brands, Inc., 3.63%, due 03/15/31 | 161,110 | |
153,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 134,049 | |
478,191,853 | |||
Mortgage Backed Securities - Private Issuers — 9.2% | |||
142,506 | Angel Oak Mortgage Trust CMO, Series 2020-R1, Class A1, 0.99%, due 04/25/53(b) 144A | 134,526 | |
167,811 | Angel Oak Mortgage Trust CMO, Series 2021-2, Class A1, 0.99%, due 04/25/66(b) 144A | 143,263 | |
392,417 | Angel Oak Mortgage Trust CMO, Series 2021-4, Class A1, 1.04%, due 01/20/65(b) 144A | 319,028 | |
397,978 | Angel Oak Mortgage Trust CMO, Series 2021-5, Class A1, 0.95%, due 07/25/66(b) 144A | 330,748 | |
1,800,000 | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due 05/15/53 144A | 1,490,246 | |
2,500,000 | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A4, 2.25%, due 06/15/54 144A | 1,968,851 | |
238,680 | Arroyo Mortgage Trust CMO, Series 2021-1R, Class A1, 1.18%, due 10/25/48(b) 144A | 205,336 | |
147,000 | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.84%, due 11/05/32(b) 144A | 112,204 | |
1,021,703 | BANK, Series 2019-BN20, Class A2, 2.76%, due 09/15/62 | 880,513 | |
850,000 | BANK, Series 2019-BN23, Class A2, 2.67%, due 12/15/52 | 725,435 | |
1,806,000 | BANK, Series 2020-BN26, Class A2, 2.04%, due 03/15/63 | 1,574,018 | |
1,800,000 | BANK, Series 2020-BN26, Class A3, 2.16%, due 03/15/63 | 1,469,916 | |
869,000 | BANK, Series 2020-BN30, Class A4, 1.93%, due 12/15/53 | 678,986 | |
3,000,000 | BANK, Series 2021-BN32, Class A4, 2.35%, due 04/15/54 | 2,448,989 | |
2,300,000 | BANK, Series 2021-BN34, Class A4, 2.16%, due 06/15/63 | 1,836,394 | |
193,000 | Barclays Commercial Mortgage Trust, Series 2019-C5, Class A2, 3.04%, due 11/15/52 | 184,572 | |
200,000 | BBCMS Mortgage Trust, Series 2015-SRCH, Class D, 5.12%, due 08/10/35(b) 144A | 169,116 | |
3,000,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 3.54% (1 mo. USD LIBOR + 0.72%), due 03/15/37(c) 144A | 2,828,722 | |
186,000 | BBCMS Mortgage Trust, Series 2020-C6, Class A2, 2.69%, due 02/15/53 | 175,218 | |
2,000,000 | BBCMS Mortgage Trust, Series 2022-C14, Class A4, 2.69%, due 02/15/55 | 1,644,537 |
See accompanying Notes to the Financial Statements. | 63 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
37,261 | Bellemeade Re, Ltd. CMO, Series 2019-3A, Class M1B, 4.68% (1 mo. USD LIBOR + 1.60%), due 07/25/29(c) 144A | 37,229 | |
235,700 | Bellemeade Re, Ltd. CMO, Series 2021-2A, Class M1A, 3.48% (SOFR 30-day average + 1.20%), due 06/25/31(c) 144A | 232,437 | |
447,498 | Benchmark Mortgage Trust, Series 2019-B12, Class A2, 3.00%, due 08/15/52 | 428,192 | |
270,000 | Benchmark Mortgage Trust, Series 2019-B13, Class A2, 2.89%, due 08/15/57 | 256,492 | |
1,350,000 | Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72 | 1,145,276 | |
600,000 | Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53 | 484,017 | |
1,200,000 | Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53 | 1,085,419 | |
1,800,000 | Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A | 1,681,118 | |
3,039,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54 | 2,685,653 | |
1,700,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54 | 1,325,354 | |
900,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54 | 758,814 | |
1,750,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54 | 1,421,277 | |
1,250,000 | Benchmark Mortgage Trust, Series 2021-B28, Class ASB, 1.98%, due 08/15/54 | 1,031,546 | |
1,800,000 | Benchmark Mortgage Trust, Series 2021-B31, Class A4, 2.42%, due 12/15/54 | 1,440,708 | |
1,800,000 | Benchmark Mortgage Trust, Series 2022-B33, Class A5, 3.46%, due 03/15/55 | 1,577,506 | |
628,000 | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A, 4.62% (1 mo. TSFR + 1.77%), due 05/15/39(c) 144A | 616,091 | |
136,000 | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class B, 5.16% (1 mo. TSFR + 2.32%), due 05/15/39(c) 144A | 132,618 | |
1,038,000 | BPR Trust, Series 2022-OANA, Class A, 4.74% (1 mo. TSFR + 1.90%), due 04/15/37(c) 144A | 1,024,755 | |
232,356 | BRAVO Residential Funding Trust CMO, Series 2021-NQM1, Class A1, 0.94%, due 02/25/49(b) 144A | 214,474 | |
1,281,958 | BX Commercial Mortgage Trust, Series 2019-XL, Class A, 3.74% (1 mo. USD LIBOR + 0.92%), due 10/15/36(c) 144A | 1,263,639 | |
473,844 | BX Commercial Mortgage Trust, Series 2020-VKNG, Class A, 3.75% (1 mo. USD LIBOR + 0.93%), due 10/15/37(c) 144A | 460,801 | |
269,000 | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 3.67% (1 mo. USD LIBOR + 0.85%), due 11/15/38(c) 144A | 258,681 | |
1,531,000 | BX Commercial Mortgage Trust, Series 2021-CIP, Class A, 3.74% (1 mo. USD LIBOR + 0.92%), due 12/15/38(c) 144A | 1,468,608 | |
1,516,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, 3.52% (1 mo. USD LIBOR + 0.70%), due 09/15/36(c) 144A | 1,449,715 | |
342,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class C, 3.92% (1 mo. USD LIBOR + 1.10%), due 09/15/36(c) 144A | 317,498 | |
876,000 | BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 3.84% (1 mo. TSFR + 0.99%), due 01/17/39(c) 144A | 841,473 | |
1,200,000 | CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57 | 1,023,541 | |
984,821 | CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(b) 144A | 925,686 | |
585,267 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58 | 541,336 | |
2,349,356 | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49 | 2,144,009 | |
233,000 | CFK Trust CMO, Series 2020-MF2, Class A, 2.39%, due 03/15/39 144A | 199,389 | |
523,569 | CIM Trust CMO, Series 2020-INV1, Class A2, 2.50%, due 04/25/50(b) 144A | 440,104 | |
330,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72 | 282,351 | |
761,000 | Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class A, 4.15%, due 01/10/36 144A | 742,958 | |
27,500,000 | Citigroup Commercial Mortgage Trust, (IO), Series 2014-GC21, Class XB, 0.60%, due 05/10/47(b) 144A | 193,949 | |
357,431 | COLT Mortgage Loan Trust CMO, Series 2021-2, Class A1, 0.92%, due 08/25/66(b) 144A | 297,206 |
64 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
497,358 | COLT Mortgage Loan Trust CMO, Series 2021-3, Class A1, 0.96%, due 09/27/66(b) 144A | 399,893 | |
365,776 | COLT Mortgage Loan Trust CMO, Series 2021-HX1, Class A1, 1.11%, due 10/25/66(b) 144A | 302,510 | |
538,322 | COLT Trust CMO, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(b) 144A | 466,132 | |
235,000 | Commercial Mortgage Trust, Series 2013-300P, Class D, 4.54%, due 08/10/30(b) 144A | 221,030 | |
296,924 | Commercial Mortgage Trust, Series 2013-LC6, Class A4, 2.94%, due 01/10/46 | 296,028 | |
862,643 | Commercial Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 819,532 | |
862,000 | Commercial Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48 | 819,380 | |
150,000 | Commercial Mortgage Trust, Series 2017-PANW, Class A, 3.24%, due 10/10/29 144A | 141,602 | |
223,000 | Commercial Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A | 204,924 | |
442,275 | Connecticut Avenue Securities Trust CMO, Series 2022-R03, Class 1M1, 4.38% (SOFR 30-day average + 2.10%), due 03/25/42(c) 144A | 437,286 | |
187,579 | Connecticut Avenue Securities Trust CMO, Series 2022-R04, Class 1M1, 4.28% (SOFR 30-day average + 2.00%), due 03/25/42(c) 144A | 185,506 | |
355,000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 4.42% (1 mo. USD LIBOR + 1.60%), due 05/15/36(c) 144A | 344,735 | |
261,349 | Credit Suisse Mortgage Trust, Series 2020-NET, Class A, 2.26%, due 08/15/37 144A | 236,793 | |
242,080 | Credit Suisse Mortgage Trust CMO, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(b) 144A | 229,073 | |
270,693 | Credit Suisse Mortgage Trust CMO, Series 2020-RPL6, Class A1, 2.69%, due 03/25/59(b) 144A | 259,681 | |
236,295 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM2, Class A1, 1.18%, due 02/25/66(b) 144A | 206,041 | |
211,069 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM3, Class A1, 1.02%, due 04/25/66(b) 144A | 175,636 | |
224,861 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM5, Class A1, 0.94%, due 05/25/66(b) 144A | 175,228 | |
372,606 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM6, Class A1, 1.17%, due 07/25/66(b) 144A | 299,512 | |
1,064,571 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50 | 960,175 | |
775,000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50 | 706,659 | |
1,050,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52 | 890,814 | |
1,900,000 | CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54 | 1,591,875 | |
100,789 | Ellington Financial Mortgage Trust CMO, Series 2021-1, Class A1, 0.80%, due 02/25/66(b) 144A | 85,357 | |
84,731 | Ellington Financial Mortgage Trust CMO, Series 2021-2, Class A1, 0.93%, due 06/25/66(b) 144A | 70,954 | |
1,183,616 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-2, Class MA, 3.50%, due 11/25/57 | 1,138,044 | |
424,813 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class MA, 3.50%, due 08/25/57(b) | 406,329 | |
1,722,364 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-4, Class MA, 3.50%, due 03/25/58 | 1,649,308 | |
719,922 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class MA, 3.50%, due 07/25/58 | 688,473 | |
1,302,381 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-2, Class MA, 3.50%, due 08/25/58 | 1,242,911 | |
986,728 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class MA, 3.00%, due 02/25/59 | 925,624 | |
896,404 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class MA, 2.50%, due 08/25/59 | 829,917 |
See accompanying Notes to the Financial Statements. | 65 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
2,222,503 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2022-1, Class MAU, 3.25%, due 11/25/61 | 2,074,485 | |
7,947 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2020-HQA3, Class M2, 6.68% (1 mo. USD LIBOR + 3.60%), due 07/25/50(c) 144A | 7,945 | |
1,265,094 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA1, Class M1A, 3.28% (SOFR 30-day average + 1.00%), due 01/25/42(c) 144A | 1,229,549 | |
494,075 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA2, Class M1A, 3.58% (SOFR 30-day average + 1.30%), due 02/25/42(c) 144A | 485,528 | |
437,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA2, Class M1B, 4.68% (SOFR 30-day average + 2.40%), due 02/25/42(c) 144A | 406,908 | |
601,352 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA3, Class M1A, 4.28% (SOFR 30-day average + 2.00%), due 04/25/42(c) 144A | 595,652 | |
660,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA3, Class M1B, 5.18% (SOFR 30-day average + 2.90%), due 04/25/42(c) 144A | 624,498 | |
792,762 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA4, Class M1A, 4.48% (SOFR 30-day average + 2.20%), due 05/25/42(c) 144A | 786,145 | |
429,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA4, Class M1B, 5.63% (SOFR 30-day average + 3.35%), due 05/25/42(c) 144A | 408,734 | |
529,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA5, Class M1B, 6.78% (SOFR 30-day average + 4.50%), due 06/25/42(c) 144A | 531,517 | |
287,234 | Flagstar Mortgage Trust CMO, Series 2020-2, Class A2, 3.00%, due 08/25/50(b) 144A | 243,856 | |
488,723 | Flagstar Mortgage Trust CMO, Series 2021-1, Class A2, 2.50%, due 02/01/51(b) 144A | 391,078 | |
1,358,823 | Flagstar Mortgage Trust CMO, Series 2021-6INV, Class A4, 2.50%, due 08/25/51(b) 144A | 1,085,643 | |
236,750 | GCAT Trust CMO, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(b) 144A | 203,930 | |
175,624 | GCAT Trust CMO, Series 2021-NQM2, Class A1, 1.04%, due 05/25/66(b) 144A | 149,294 | |
279,345 | GCAT Trust CMO, Series 2021-NQM3, Class A1, 1.09%, due 05/25/66(b) 144A | 233,283 | |
445,385 | GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 3.71% (1 mo. USD LIBOR + 0.70%), due 11/21/35(c) 144A | 431,361 | |
828,873 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 793,383 | |
2,636,551 | GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50 | 2,507,285 | |
300,000 | GS Mortgage Securities Trust, Series 2019-GC40, Class A2, 2.97%, due 07/10/52 | 288,381 | |
1,600,000 | GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53 | 1,283,999 | |
1,062,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class A5, 2.01%, due 12/12/53 | 828,468 | |
1,143,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53 | 965,767 | |
196,000 | GS Mortgage Securities Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37 144A | 180,473 | |
1,900,000 | GS Mortgage Securities Trust, Series 2021-GSA3, Class A4, 2.37%, due 12/15/54 | 1,495,446 | |
53,234 | GS Mortgage-Backed Securities Trust CMO, Series 2020-NQM1, Class A1, 1.38%, due 09/27/60(b) 144A | 48,798 | |
125,551 | GS Mortgage-Backed Securities Trust CMO, Series 2021-NQM1, Class A1, 1.02%, due 07/25/61(b) 144A | 108,025 | |
1,724,273 | GS Mortgage-Backed Securities Trust CMO, Series 2021-PJ2, Class A2, 2.50%, due 07/25/51(b) 144A | 1,397,299 | |
456,708 | Home RE, Ltd. CMO, Series 2021-2, Class M1A, 3.53% (SOFR 30-day average + 1.25%), due 01/25/34(c) 144A | 454,502 | |
165,860 | Imperial Fund Mortgage Trust CMO, Series 2021-NQM1, Class A1, 1.07%, due 06/25/56(b) 144A | 139,583 | |
170,000 | IMT Trust, Series 2017-APTS, Class CFX, 3.61%, due 06/15/34(b) 144A | 160,125 | |
707,000 | INTOWN Mortgage Trust CMO, Series 2022-STAY, Class A, 5.33% (1 mo. TSFR + 2.49%), due 08/15/37(c) 144A | 701,026 | |
335,000 | Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.28%, due 05/15/48(b) 144A | 329,721 | |
272,033 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 271,543 |
66 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
48,697 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A2, 2.82%, due 11/15/48 | 48,627 | |
700,000 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49 | 654,630 | |
936,966 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due 03/15/50 | 867,332 | |
1,421,361 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,409,018 | |
680,743 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3, 2.56%, due 08/15/49 | 617,636 | |
779,049 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3, 3.11%, due 07/15/50 | 753,014 | |
849,334 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%, due 06/13/52 | 823,144 | |
267,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX, 2.81%, due 01/16/37 144A | 242,770 | |
1,514,922 | JPMorgan Mortgage Trust CMO, Series 2021-3, Class A3, 2.50%, due 07/25/51(b) 144A | 1,217,904 | |
193,000 | KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 4.17% (1 mo. USD LIBOR + 1.35%), due 05/15/36(c) 144A | 186,457 | |
590,184 | Legacy Mortgage Asset Trust CMO, Series 2019-PR1, Class A1, 3.86%, due 09/25/59(d) 144A | 583,815 | |
208,627 | Legacy Mortgage Asset Trust CMO, Series 2020-GS1, Class A1, 2.88%, due 10/25/59(d) 144A | 207,477 | |
81,909 | Legacy Mortgage Asset Trust CMO, Series 2021-GS1, Class A1, 1.89%, due 10/25/66(d) 144A | 75,872 | |
378,443 | Life Mortgage Trust, Series 2021-BMR, Class A, 3.52% (1 mo. USD LIBOR + 0.70%), due 03/15/38(c) 144A | 364,292 | |
418,745 | Life Mortgage Trust, Series 2021-BMR, Class D, 4.22% (1 mo. USD LIBOR + 1.40%), due 03/15/38(c) 144A | 397,630 | |
1,028,000 | Life Mortgage Trust, Series 2022-BMR2, Class A1, 4.14% (1 mo. TSFR + 1.30%), due 05/15/39(c) 144A | 1,000,465 | |
391,073 | MetLife Securitization Trust CMO, Series 2020-INV1, Class A2A, 2.50%, due 05/25/50(b) 144A | 332,770 | |
145,390 | MFA Trust CMO, Series 2021-NQM1, Class A1, 1.15%, due 04/25/65(b) 144A | 134,454 | |
85,058 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 84,792 | |
1,737,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.31%, due 04/15/48 | 1,652,946 | |
800,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, 3.73%, due 05/15/48 | 765,603 | |
2,204,000 | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4, 3.81%, due 12/15/48 | 2,082,040 | |
1,562,383 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,406,905 | |
212,000 | Morgan Stanley Capital I Trust, Series 2017-CLS, Class D, 4.22% (1 mo. USD LIBOR + 1.40%), due 11/15/34(c) 144A | 210,272 | |
2,600,000 | Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52 | 2,269,545 | |
980,000 | Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53 | 779,751 | |
1,725,000 | Morgan Stanley Capital I Trust, Series 2021-L5, Class A4, 2.73%, due 05/15/54 | 1,431,797 | |
95,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.92%, due 11/15/32(b) 144A | 92,674 | |
165,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.46%, due 01/15/43(b) 144A | 142,816 | |
76,956 | New Residential Mortgage Loan Trust CMO, Series 2018-4A, Class A1S, 3.19% (1 mo. USD LIBOR + 0.75%), due 01/25/48(c) 144A | 74,711 |
See accompanying Notes to the Financial Statements. | 67 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
188,805 | NYMT Loan Trust CMO, Series 2022-CP1, Class A1, 2.04%, due 07/25/61 144A | 169,674 | |
100,704 | OBX Trust CMO, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(b) 144A | 89,267 | |
318,072 | OBX Trust CMO, Series 2021-NQM2, Class A1, 1.10%, due 05/25/61(b) 144A | 262,682 | |
409,874 | OBX Trust CMO, Series 2021-NQM3, Class A1, 1.05%, due 07/25/61(b) 144A | 329,012 | |
377,177 | PMT Credit Risk Transfer Trust CMO, Series 2020-2R, Class A, 6.93% (1 mo. USD LIBOR + 3.82%), due 12/25/22(c) 144A | 355,365 | |
347,078 | Provident Funding Mortgage Trust CMO, Series 2020-F1, Class A2, 2.00%, due 01/25/36(b) 144A | 301,707 | |
1,769,761 | PSMC Trust CMO, Series 2021-2, Class A3, 2.50%, due 05/25/51(b) 144A | 1,537,386 | |
12,953 | Radnor RE, Ltd. CMO, Series 2018-1, Class M1, 4.48% (1 mo. USD LIBOR + 1.40%), due 03/25/28(c) 144A | 12,953 | |
200,000 | Radnor RE, Ltd. CMO, Series 2020-1, Class M1B, 4.53% (1 mo. USD LIBOR + 1.45%), due 01/25/30(c) 144A | 197,810 | |
318,074 | Sequoia Mortgage Trust CMO, Series 2020-3, Class A4, 3.00%, due 04/25/50(b) 144A | 307,348 | |
1,730,511 | Sequoia Mortgage Trust CMO, Series 2021-1, Class A1, 2.50%, due 03/25/51(b) 144A | 1,376,854 | |
380,000 | SLG Office Trust, Series 2021-OVA, Class D, 2.85%, due 07/15/41 144A | 283,804 | |
953,000 | SMRT, Series 2022-MINI, Class A, 3.85% (1 mo. TSFR + 1.00%), due 01/15/39(c) 144A | 915,810 | |
431,722 | Starwood Mortgage Residential Trust CMO, Series 2022-1, Class A1, 2.45%, due 12/25/66(b) 144A | 380,158 | |
132,000 | Towd Point Mortgage Trust CMO, Series 2015-1, Class A5, 3.41%, due 10/25/53(b) 144A | 127,758 | |
223,815 | Towd Point Mortgage Trust CMO, Series 2018-1, Class A1, 3.00%, due 01/25/58(b) 144A | 217,606 | |
218,201 | Towd Point Mortgage Trust CMO, Series 2018-4, Class A1, 3.00%, due 06/25/58(b) 144A | 204,508 | |
29,727 | Towd Point Mortgage Trust CMO, Series 2018-5, Class A1A, 3.25%, due 07/25/58(b) 144A | 28,849 | |
515,086 | Towd Point Mortgage Trust CMO, Series 2018-6, Class A1, 3.75%, due 03/25/58(b) 144A | 494,456 | |
170,030 | Towd Point Mortgage Trust CMO, Series 2018-6, Class A1A, 3.75%, due 03/25/58(b) 144A | 167,283 | |
259,844 | Towd Point Mortgage Trust CMO, Series 2019-1, Class A1, 3.69%, due 03/25/58(b) 144A | 245,704 | |
170,267 | Towd Point Mortgage Trust CMO, Series 2019-4, Class A1, 2.90%, due 10/25/59(b) 144A | 161,093 | |
36,381 | Towd Point Mortgage Trust CMO, Series 2019-HY3, Class A1A, 4.08% (1 mo. USD LIBOR + 1.00%), due 10/25/59(c) 144A | 35,880 | |
419,198 | Towd Point Mortgage Trust CMO, Series 2020-4, Class A1, 1.75%, due 10/25/60 144A | 375,412 | |
663,785 | UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50 | 635,740 | |
81,452 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.53%, due 05/10/63 | 81,354 | |
74,763 | Verus Securitization Trust CMO, Series 2020-5, Class A1, 1.22%, due 05/25/65(d) 144A | 69,376 | |
304,942 | Verus Securitization Trust CMO, Series 2021-3, Class A1, 1.05%, due 06/25/66(b) 144A | 251,254 | |
180,349 | Verus Securitization Trust CMO, Series 2021-4, Class A1, 0.94%, due 07/25/66(b) 144A | 145,605 | |
545,016 | Verus Securitization Trust CMO, Series 2021-5, Class A1, 1.01%, due 09/25/66(b) 144A | 456,950 | |
145,349 | Verus Securitization Trust CMO, Series 2021-R1, Class A1, 0.82%, due 10/25/63(b) 144A | 133,293 | |
7,622 | WaMu Mortgage Pass Through Certificates CMO, Series 2003-AR9, Class 1A7, 4.14%, due 09/25/33(b) | 7,206 | |
1,490,923 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,335,987 | |
3,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49 | 2,745,756 |
68 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
925,256 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due 07/15/50 | 847,683 | |
1,179,124 | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due 03/15/50 | 1,100,956 | |
1,605,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due 06/15/53 | 1,477,048 | |
1,900,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A3, 1.96%, due 04/15/54 | 1,600,813 | |
800,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class ASB, 2.13%, due 08/15/54 | 669,165 | |
1,466,000 | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.92%, due 10/15/57 | 1,426,644 | |
131,475,098 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 24.7% | |||
210,854 | FHLMC Gold, Pool # A89870, 4.50%, due 11/01/39 | 207,067 | |
140,632 | FHLMC Gold, Pool # A96970, 4.00%, due 02/01/41 | 133,648 | |
267,444 | FHLMC Gold, Pool # C91908, 3.00%, due 01/01/37 | 244,946 | |
209,136 | FHLMC Gold, Pool # G06231, 4.00%, due 12/01/40 | 199,790 | |
130,681 | FHLMC Gold, Pool # G06409, 6.00%, due 11/01/39 | 137,595 | |
68,973 | FHLMC Gold, Pool # G06875, 5.50%, due 12/01/38 | 71,387 | |
241,549 | FHLMC Gold, Pool # G07021, 5.00%, due 09/01/39 | 243,932 | |
474,447 | FHLMC Gold, Pool # G07816, 4.50%, due 09/01/42 | 465,782 | |
308,566 | FHLMC Gold, Pool # G08537, 3.00%, due 07/01/43 | 276,662 | |
187,242 | FHLMC Gold, Pool # G08672, 4.00%, due 10/01/45 | 178,248 | |
284,668 | FHLMC Gold, Pool # G08726, 3.00%, due 10/01/46 | 254,243 | |
49,616 | FHLMC Gold, Pool # G08735, 4.50%, due 10/01/46 | 48,130 | |
24,464 | FHLMC Gold, Pool # G08748, 3.50%, due 02/01/47 | 22,472 | |
358,114 | FHLMC Gold, Pool # G08749, 4.00%, due 02/01/47 | 340,098 | |
189,928 | FHLMC Gold, Pool # G08771, 4.00%, due 07/01/47 | 180,263 | |
179,847 | FHLMC Gold, Pool # G08786, 4.50%, due 10/01/47 | 174,575 | |
104,603 | FHLMC Gold, Pool # G16177, 2.00%, due 01/01/32 | 93,918 | |
719,915 | FHLMC Gold, Pool # G16634, 3.00%, due 10/01/31 | 682,072 | |
689,690 | FHLMC Gold, Pool # G60722, 3.00%, due 10/01/46 | 615,016 | |
311,943 | FHLMC Gold, Pool # G60767, 3.50%, due 10/01/46 | 287,128 | |
136,549 | FHLMC Gold, Pool # G60788, 3.50%, due 12/01/46 | 125,715 | |
683,382 | FHLMC Gold, Pool # G60804, 4.50%, due 05/01/42 | 669,538 | |
863,224 | FHLMC Gold, Pool # G60934, 3.50%, due 06/01/45 | 794,580 | |
1,035,848 | FHLMC Gold, Pool # G60985, 3.00%, due 05/01/47 | 925,844 | |
577,891 | FHLMC Gold, Pool # G61748, 3.50%, due 11/01/48 | 529,020 | |
281,591 | FHLMC Gold, Pool # G61995, 4.00%, due 11/01/44 | 268,099 | |
207,487 | FHLMC Gold, Pool # J24414, 2.50%, due 06/01/28 | 198,146 | |
259,265 | FHLMC Gold, Pool # J34888, 2.50%, due 07/01/31 | 241,138 | |
573,327 | FHLMC Gold, Pool # Q09224, 4.00%, due 07/01/42 | 547,621 | |
81,494 | FHLMC Gold, Pool # Q11218, 3.50%, due 09/01/42 | 75,038 | |
180,577 | FHLMC Gold, Pool # Q12052, 3.50%, due 10/01/42 | 165,840 | |
497,430 | FHLMC Gold, Pool # Q12862, 3.50%, due 11/01/42 | 459,738 | |
206,704 | FHLMC Gold, Pool # Q17792, 3.50%, due 05/01/43 | 190,257 | |
496,485 | FHLMC Gold, Pool # Q36815, 4.00%, due 10/01/45 | 470,790 | |
430,338 | FHLMC Gold, Pool # Q41918, 3.50%, due 07/01/46 | 396,104 | |
464,827 | FHLMC Gold, Pool # Q42618, 3.00%, due 08/01/46 | 413,993 |
See accompanying Notes to the Financial Statements. | 69 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
651,550 | FHLMC Gold, Pool # Q44455, 3.50%, due 11/01/46 | 596,696 | |
185,358 | FHLMC Gold, Pool # Q44963, 3.50%, due 12/01/46 | 170,382 | |
617,111 | FHLMC Gold, Pool # Q45741, 3.50%, due 01/01/47 | 566,471 | |
51,300 | FHLMC Gold, Pool # Q49494, 4.50%, due 07/01/47 | 49,744 | |
157,723 | FHLMC Gold, Pool # Q52312, 4.00%, due 11/01/47 | 149,410 | |
152,749 | FHLMC Gold, Pool # Q54957, 4.00%, due 03/01/48 | 144,689 | |
161,537 | FHLMC Gold, Pool # V60565, 3.00%, due 06/01/29 | 153,711 | |
414,303 | FHLMC Gold, Pool # V60599, 3.00%, due 09/01/29 | 394,180 | |
439,260 | FHLMC Gold, Pool # V82292, 4.00%, due 04/01/46 | 417,600 | |
194,693 | FHLMC Gold, Pool # V82848, 3.00%, due 12/01/46 | 173,261 | |
2,776,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K140, Class A2, 2.25%, due 03/25/54 | 2,302,128 | |
2,077,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K142, Class A2, 2.40%, due 03/25/32 | 1,733,972 | |
11,954,506 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K106, Class X1, 1.48%, due 01/25/30(b) 144A | 921,122 | |
541,869 | FHLMC Non Gold, Pool # 841085, 3.00%, (12 mo. USD LIBOR + 1.63%), due 09/01/47(c) | 550,293 | |
42,515 | FHLMC Reference REMIC CMO, Series R007, Class ZA, 6.00%, due 05/15/36 | 43,897 | |
1,137,084 | FHLMC REMIC CMO, Series 4710, Class KZ, 3.50%, due 08/15/47 | 1,011,758 | |
1,323,741 | FHLMC REMIC CMO, Series 4739, Class Z, 3.50%, due 11/15/47 | 1,196,120 | |
694,015 | FNMA, Pool # BM4377, 2.68%, (12 mo. USD LIBOR + 1.89%), due 04/01/38(c) | 711,439 | |
746,192 | FNMA, Pool # BM6482, 3.04%, (12 mo. USD LIBOR + 1.58%), due 04/01/47(c) | 763,247 | |
529,705 | FNMA REMIC CMO, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 542,202 | |
1,346,113 | FNMA REMIC CMO, Series 2012-134, Class ZC, 2.50%, due 12/25/42 | 1,035,857 | |
4,793 | FNMA REMIC CMO, Series 2012-28, Class B, 6.50%, due 06/25/39 | 4,917 | |
46,108 | FNMA-ACES, Series 2018-M10, Class A1, 3.47%, due 07/25/28(b) | 45,752 | |
291,032 | GNMA I, Pool # 734152, 4.00%, due 01/15/41 | 277,370 | |
1,825,687 | GNMA I, Pool # 784369, 4.00%, due 08/15/45 | 1,767,438 | |
200,342 | GNMA I, Pool # 784605, 4.50%, due 01/15/42 | 197,810 | |
112,759 | GNMA I, Pool # AL8626, 3.00%, due 08/15/45 | 100,303 | |
134,663 | GNMA II, Pool # 004636, 4.50%, due 02/20/40 | 133,193 | |
24,099 | GNMA II, Pool # 004678, 4.50%, due 04/20/40 | 23,835 | |
152,375 | GNMA II, Pool # 004833, 4.00%, due 10/20/40 | 145,667 | |
141,017 | GNMA II, Pool # 004977, 4.00%, due 03/20/41 | 134,808 | |
357,353 | GNMA II, Pool # 004978, 4.50%, due 03/20/41 | 353,451 | |
552,456 | GNMA II, Pool # 005055, 4.50%, due 05/20/41 | 546,428 | |
20,875 | GNMA II, Pool # 783637, 3.00%, due 06/20/42 | 18,789 | |
3,371,207 | GNMA II, Pool # 785283, 2.50%, due 01/20/51 | 2,916,728 | |
484,613 | GNMA II, Pool # 796468, 4.00%, due 09/20/42 | 464,485 | |
755,876 | GNMA II, Pool # AV9421, 3.50%, due 11/20/46 | 693,076 | |
469,202 | GNMA II, Pool # AY7555, 3.50%, due 04/20/47 | 430,217 | |
207,481 | GNMA II, Pool # MA0462, 3.50%, due 10/20/42 | 191,795 | |
30,884 | GNMA II, Pool # MA0624, 3.00%, due 12/20/42 | 27,805 | |
139,461 | GNMA II, Pool # MA0625, 3.50%, due 12/20/42 | 129,547 | |
78,572 | GNMA II, Pool # MA0698, 3.00%, due 01/20/43 | 70,741 | |
265,890 | GNMA II, Pool # MA0851, 3.00%, due 03/20/43 | 239,403 | |
214,000 | GNMA II, Pool # MA0852, 3.50%, due 03/20/43 | 199,020 | |
44,825 | GNMA II, Pool # MA1156, 3.00%, due 07/20/43 | 40,352 | |
147,960 | GNMA II, Pool # MA1376, 4.00%, due 10/20/43 | 140,542 |
70 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
65,098 | GNMA II, Pool # MA1599, 3.00%, due 01/20/44 | 58,616 | |
135,648 | GNMA II, Pool # MA2371, 3.50%, due 11/20/44 | 125,759 | |
110,316 | GNMA II, Pool # MA2372, 4.00%, due 11/20/44 | 104,786 | |
99,241 | GNMA II, Pool # MA2825, 3.00%, due 05/20/45 | 89,343 | |
228,591 | GNMA II, Pool # MA3310, 3.50%, due 12/20/45 | 210,923 | |
92,728 | GNMA II, Pool # MA3377, 4.00%, due 01/20/46 | 88,090 | |
136,754 | GNMA II, Pool # MA3455, 4.00%, due 02/20/46 | 129,916 | |
259,001 | GNMA II, Pool # MA3456, 4.50%, due 02/20/46 | 256,821 | |
224,533 | GNMA II, Pool # MA3596, 3.00%, due 04/20/46 | 202,345 | |
429,628 | GNMA II, Pool # MA3803, 3.50%, due 07/20/46 | 397,385 | |
316,269 | GNMA II, Pool # MA3873, 3.00%, due 08/20/46 | 283,545 | |
515,275 | GNMA II, Pool # MA3936, 3.00%, due 09/20/46 | 462,996 | |
147,609 | GNMA II, Pool # MA4004, 3.50%, due 10/20/46 | 136,533 | |
88,610 | GNMA II, Pool # MA4071, 4.50%, due 11/20/46 | 88,243 | |
77,536 | GNMA II, Pool # MA4125, 2.50%, due 12/20/46 | 66,892 | |
121,928 | GNMA II, Pool # MA4263, 4.00%, due 02/20/47 | 115,683 | |
192,360 | GNMA II, Pool # MA4585, 3.00%, due 07/20/47 | 172,622 | |
181,534 | GNMA II, Pool # MA4586, 3.50%, due 07/20/47 | 167,752 | |
464,450 | GNMA II, Pool # MA4720, 4.00%, due 09/20/47 | 442,420 | |
132,701 | GNMA II, Pool # MA4838, 4.00%, due 11/20/47 | 126,083 | |
532,595 | GNMA II, Pool # MA5019, 3.50%, due 02/20/48 | 490,886 | |
64,502 | GNMA II, Pool # MA5021, 4.50%, due 02/20/48 | 62,780 | |
22,399 | GNMA II, Pool # MA5079, 4.50%, due 03/20/48 | 21,802 | |
261,424 | GNMA II, Pool # MA5264, 4.00%, due 06/20/48 | 247,004 | |
151,279 | GNMA II, Pool # MA5397, 3.50%, due 08/20/48 | 139,451 | |
151,597 | GNMA II, Pool # MA5466, 4.00%, due 09/20/48 | 143,172 | |
125,836 | GNMA II, Pool # MA5467, 4.50%, due 09/20/48 | 122,274 | |
53,720 | GNMA II, Pool # MA5530, 5.00%, due 10/20/48 | 52,992 | |
89,522 | GNMA II, Pool # MA5762, 3.50%, due 02/20/49 | 82,522 | |
85,670 | GNMA II, Pool # MA5817, 4.00%, due 03/20/49 | 81,033 | |
300,667 | GNMA II, Pool # MA5874, 3.00%, due 04/20/49 | 269,751 | |
584,811 | GNMA II, Pool # MA6038, 3.00%, due 07/20/49 | 522,116 | |
539,537 | GNMA II, Pool # MA6090, 3.50%, due 08/20/49 | 496,115 | |
207,250 | GNMA II, Pool # MA6338, 3.00%, due 12/20/49 | 184,995 | |
479,911 | GNMA II, Pool # MA6409, 3.00%, due 01/20/50 | 428,246 | |
400,391 | GNMA II, Pool # MA7254, 2.00%, due 03/20/51 | 336,450 | |
409,042 | GNMA II, Pool # MA7367, 2.50%, due 05/20/51 | 353,583 | |
485,935 | GNMA II, Pool # MA7471, 2.00%, due 07/20/51 | 407,691 | |
357,976 | GNMA II, Pool # MA7534, 2.50%, due 08/20/51 | 309,351 | |
649,210 | GNMA II, Pool # MA7588, 2.00%, due 09/20/51 | 544,221 | |
2,047,901 | GNMA II, Pool # MA7589, 2.50%, due 09/20/51 | 1,768,515 | |
468,346 | GNMA II, Pool # MA7706, 3.00%, due 11/20/51 | 415,583 | |
984,878 | GNMA II, Pool # MA7988, 3.00%, due 04/20/52 | 873,120 | |
6,000,000 | GNMA TBA, 3.50%, due 10/20/52 | 5,458,830 | |
2,000,000 | GNMA TBA, 4.00%, due 10/20/52 | 1,868,203 | |
1,000,000 | GNMA TBA, 4.50%, due 10/20/52 | 957,461 | |
211,773 | UMBS, Pool # 745148, 5.00%, due 01/01/36 | 213,635 | |
198,368 | UMBS, Pool # 932807, 4.00%, due 09/01/40 | 189,303 | |
130,094 | UMBS, Pool # 983471, 5.50%, due 05/01/38 | 133,109 |
See accompanying Notes to the Financial Statements. | 71 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
266,299 | UMBS, Pool # 985184, 5.50%, due 08/01/38 | 275,332 | |
172,677 | UMBS, Pool # 995245, 5.00%, due 01/01/39 | 171,655 | |
329,678 | UMBS, Pool # AB6212, 3.00%, due 09/01/42 | 296,174 | |
523,664 | UMBS, Pool # AB6802, 3.50%, due 11/01/42 | 481,510 | |
146,533 | UMBS, Pool # AB7059, 2.50%, due 11/01/42 | 124,743 | |
289,506 | UMBS, Pool # AB8703, 3.00%, due 03/01/38 | 255,525 | |
113,244 | UMBS, Pool # AB9383, 4.00%, due 05/01/43 | 107,926 | |
920,045 | UMBS, Pool # AB9659, 3.00%, due 06/01/43 | 824,444 | |
1,965,025 | UMBS, Pool # AC3668, 4.50%, due 10/01/39 | 1,927,261 | |
186,457 | UMBS, Pool # AD9153, 4.50%, due 08/01/40 | 182,860 | |
144,277 | UMBS, Pool # AE0469, 6.00%, due 12/01/39 | 151,864 | |
387,701 | UMBS, Pool # AH4404, 4.00%, due 01/01/41 | 369,931 | |
80,478 | UMBS, Pool # AI1892, 5.00%, due 05/01/41 | 80,926 | |
399,735 | UMBS, Pool # AI4815, 4.50%, due 06/01/41 | 390,965 | |
323,410 | UMBS, Pool # AJ9278, 3.50%, due 12/01/41 | 296,854 | |
155,541 | UMBS, Pool # AJ9317, 4.00%, due 01/01/42 | 147,772 | |
350,087 | UMBS, Pool # AL0215, 4.50%, due 04/01/41 | 343,298 | |
662,924 | UMBS, Pool # AL1895, 3.50%, due 06/01/42 | 611,154 | |
417,001 | UMBS, Pool # AL2466, 4.00%, due 09/01/42 | 397,858 | |
409,826 | UMBS, Pool # AL3000, 3.50%, due 12/01/42 | 376,799 | |
492,777 | UMBS, Pool # AL3316, 3.50%, due 03/01/43 | 453,054 | |
671,753 | UMBS, Pool # AL6663, 4.00%, due 03/01/39 | 641,107 | |
579,788 | UMBS, Pool # AL7594, 3.50%, due 08/01/45 | 533,369 | |
564,971 | UMBS, Pool # AL8191, 4.00%, due 12/01/45 | 532,155 | |
75,473 | UMBS, Pool # AO4109, 4.00%, due 06/01/42 | 71,643 | |
199,539 | UMBS, Pool # AQ7923, 3.00%, due 12/01/42 | 179,124 | |
333,347 | UMBS, Pool # AS5133, 3.50%, due 06/01/45 | 306,579 | |
81,927 | UMBS, Pool # AS6286, 4.00%, due 12/01/45 | 77,818 | |
111,578 | UMBS, Pool # AS6304, 4.00%, due 12/01/45 | 106,032 | |
171,859 | UMBS, Pool # AS6452, 3.50%, due 01/01/46 | 158,081 | |
127,062 | UMBS, Pool # AS7693, 2.00%, due 08/01/31 | 113,942 | |
194,052 | UMBS, Pool # AS8073, 2.50%, due 10/01/46 | 163,877 | |
136,912 | UMBS, Pool # AZ3743, 3.50%, due 11/01/45 | 125,935 | |
209,335 | UMBS, Pool # BC9468, 3.00%, due 06/01/46 | 186,716 | |
440,994 | UMBS, Pool # BD7043, 4.00%, due 03/01/47 | 416,833 | |
297,187 | UMBS, Pool # BE7192, 4.00%, due 03/01/47 | 281,968 | |
3,234,591 | UMBS, Pool # BJ0104, 3.50%, due 10/01/47 | 2,959,756 | |
453,221 | UMBS, Pool # BK1023, 4.50%, due 02/01/48 | 439,342 | |
255,380 | UMBS, Pool # BK7611, 4.50%, due 09/01/48 | 246,993 | |
638,435 | UMBS, Pool # BM1573, 3.50%, due 07/01/47 | 586,192 | |
874,045 | UMBS, Pool # BM1972, 3.50%, due 10/01/37 | 827,549 | |
483,811 | UMBS, Pool # BM3033, 3.00%, due 10/01/47 | 430,911 | |
159,786 | UMBS, Pool # BM3258, 3.00%, due 02/01/47 | 142,347 | |
177,712 | UMBS, Pool # BM3286, 4.50%, due 11/01/47 | 175,039 | |
2,653,838 | UMBS, Pool # BM3325, 3.00%, due 10/01/46 | 2,369,797 | |
367,080 | UMBS, Pool # BM3332, 3.50%, due 01/01/48 | 335,830 | |
331,459 | UMBS, Pool # BM3491, 4.50%, due 01/01/38 | 321,975 | |
543,613 | UMBS, Pool # BM3641, 4.00%, due 04/01/48 | 514,356 | |
531,294 | UMBS, Pool # BM4896, 3.00%, due 02/01/47 | 476,212 |
72 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
705,295 | UMBS, Pool # BM5213, 3.00%, due 07/01/45 | 630,248 | |
156,158 | UMBS, Pool # BM5293, 3.50%, due 02/01/49 | 142,890 | |
297,072 | UMBS, Pool # BM5694, 4.00%, due 06/01/48 | 281,369 | |
112,777 | UMBS, Pool # BM5874, 4.00%, due 01/01/48 | 107,137 | |
170,769 | UMBS, Pool # BM5950, 3.00%, due 11/01/48 | 152,486 | |
919,126 | UMBS, Pool # BN6216, 4.50%, due 03/01/49 | 890,635 | |
174,292 | UMBS, Pool # BO1420, 3.50%, due 09/01/49 | 158,810 | |
435,738 | UMBS, Pool # BO5387, 3.50%, due 12/01/49 | 398,747 | |
277,245 | UMBS, Pool # BP2898, 4.00%, due 03/01/50 | 259,793 | |
557,454 | UMBS, Pool # BP3048, 3.00%, due 03/01/50 | 489,993 | |
393,213 | UMBS, Pool # BP5462, 2.50%, due 06/01/50 | 333,281 | |
303,940 | UMBS, Pool # BP5568, 3.00%, due 06/01/50 | 267,020 | |
1,460,086 | UMBS, Pool # BP6618, 2.50%, due 08/01/50 | 1,236,217 | |
5,775,261 | UMBS, Pool # BP9250, 2.50%, due 07/01/50 | 4,891,832 | |
771,522 | UMBS, Pool # BQ3132, 2.00%, due 10/01/50 | 632,420 | |
534,151 | UMBS, Pool # BQ3138, 2.50%, due 10/01/50 | 452,712 | |
3,999,999 | UMBS, Pool # BU1410, 3.00%, due 01/01/52 | 3,490,014 | |
981,846 | UMBS, Pool # BU8763, 3.00%, due 04/01/52 | 858,068 | |
76,545 | UMBS, Pool # BU8885, 2.50%, due 03/01/52 | 64,480 | |
2,940,329 | UMBS, Pool # BV5624, 3.00%, due 06/01/52 | 2,565,399 | |
617,411 | UMBS, Pool # BV7064, 3.50%, due 04/01/52 | 557,510 | |
1,560,986 | UMBS, Pool # BV8474, 3.00%, due 05/01/52 | 1,376,445 | |
421,869 | UMBS, Pool # BW0002, 2.50%, due 07/01/52 | 355,079 | |
534,688 | UMBS, Pool # BW0046, 5.00%, due 07/01/52 | 522,131 | |
918,616 | UMBS, Pool # CA0623, 4.50%, due 10/01/47 | 890,876 | |
536,681 | UMBS, Pool # CA0655, 3.50%, due 11/01/47 | 490,936 | |
50,314 | UMBS, Pool # CA3828, 4.00%, due 07/01/49 | 47,441 | |
668,839 | UMBS, Pool # CA3986, 5.00%, due 08/01/49 | 660,031 | |
299,154 | UMBS, Pool # CA4149, 3.00%, due 09/01/49 | 263,131 | |
600,652 | UMBS, Pool # CA4831, 4.50%, due 12/01/49 | 577,596 | |
499,562 | UMBS, Pool # CA5229, 3.00%, due 02/01/50 | 438,460 | |
3,055,987 | UMBS, Pool # CA5354, 3.50%, due 03/01/50 | 2,784,842 | |
434,509 | UMBS, Pool # CA5571, 4.00%, due 04/01/50 | 407,843 | |
5,202,039 | UMBS, Pool # CA6097, 3.50%, due 06/01/50 | 4,723,118 | |
3,103,125 | UMBS, Pool # CA6635, 2.50%, due 08/01/50 | 2,629,920 | |
2,666,327 | UMBS, Pool # CA6738, 3.00%, due 08/01/50 | 2,342,723 | |
1,484,533 | UMBS, Pool # CA6777, 4.50%, due 08/01/50 | 1,422,724 | |
388,031 | UMBS, Pool # CA6799, 2.00%, due 08/01/50 | 317,888 | |
655,928 | UMBS, Pool # CA6871, 2.50%, due 08/01/35 | 595,015 | |
1,485,103 | UMBS, Pool # CA6872, 2.50%, due 08/01/35 | 1,354,511 | |
1,372,548 | UMBS, Pool # CA7030, 2.50%, due 09/01/50 | 1,163,338 | |
3,807,203 | UMBS, Pool # CA8062, 2.50%, due 12/01/50 | 3,222,314 | |
1,509,614 | UMBS, Pool # CA9227, 2.50%, due 02/01/51 | 1,279,277 | |
2,713,172 | UMBS, Pool # CB0671, 2.50%, due 06/01/51 | 2,313,569 | |
487,917 | UMBS, Pool # CB2858, 2.50%, due 02/01/52 | 412,521 | |
920,714 | UMBS, Pool # CB3865, 4.50%, due 06/01/52 | 882,481 | |
3,485,069 | UMBS, Pool # CB4088, 4.00%, due 07/01/52 | 3,252,068 | |
1,056,658 | UMBS, Pool # CB4304, 4.50%, due 08/01/52 | 1,010,459 | |
1,692,145 | UMBS, Pool # CB4395, 4.50%, due 08/01/52 | 1,618,162 |
See accompanying Notes to the Financial Statements. | 73 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
3,369,181 | UMBS, Pool # CB4536, 2.50%, due 06/01/52 | 2,837,846 | |
775,994 | UMBS, Pool # FM0030, 3.00%, due 02/01/49 | 691,338 | |
208,509 | UMBS, Pool # FM1001, 3.50%, due 11/01/48 | 190,914 | |
213,957 | UMBS, Pool # FM1266, 5.00%, due 07/01/49 | 211,833 | |
108,018 | UMBS, Pool # FM1347, 3.00%, due 12/01/48 | 96,817 | |
603,909 | UMBS, Pool # FM1467, 3.00%, due 12/01/47 | 542,488 | |
433,023 | UMBS, Pool # FM1588, 3.00%, due 10/01/49 | 382,518 | |
216,574 | UMBS, Pool # FM1715, 3.00%, due 12/01/45 | 193,387 | |
287,416 | UMBS, Pool # FM1790, 3.00%, due 11/01/49 | 252,734 | |
213,575 | UMBS, Pool # FM1864, 3.00%, due 11/01/49 | 187,840 | |
3,286,896 | UMBS, Pool # FM2217, 3.00%, due 03/01/47 | 2,950,193 | |
2,107,981 | UMBS, Pool # FM2226, 3.00%, due 09/01/46 | 1,888,179 | |
698,217 | UMBS, Pool # FM2274, 4.00%, due 08/01/49 | 660,339 | |
431,676 | UMBS, Pool # FM2336, 4.00%, due 01/01/50 | 407,036 | |
1,804,475 | UMBS, Pool # FM2385, 3.00%, due 09/01/48 | 1,600,184 | |
453,950 | UMBS, Pool # FM2461, 3.50%, due 03/01/50 | 413,536 | |
629,673 | UMBS, Pool # FM2570, 4.50%, due 04/01/48 | 617,570 | |
425,180 | UMBS, Pool # FM2674, 4.00%, due 03/01/50 | 399,733 | |
1,431,271 | UMBS, Pool # FM3250, 3.50%, due 05/01/50 | 1,304,731 | |
1,073,983 | UMBS, Pool # FM3889, 3.00%, due 07/01/50 | 943,714 | |
787,745 | UMBS, Pool # FM4330, 2.50%, due 10/01/50 | 667,666 | |
824,678 | UMBS, Pool # FM4350, 2.00%, due 09/01/50 | 673,313 | |
1,605,036 | UMBS, Pool # FM4532, 3.00%, due 09/01/50 | 1,414,568 | |
1,967,078 | UMBS, Pool # FM5018, 2.50%, due 12/01/50 | 1,671,004 | |
32,568 | UMBS, Pool # FM5035, 4.00%, due 07/01/50 | 30,764 | |
2,641,038 | UMBS, Pool # FM5721, 3.00%, due 12/01/40 | 2,345,086 | |
708,541 | UMBS, Pool # FM5875, 4.50%, due 04/01/50 | 684,706 | |
1,172,600 | UMBS, Pool # FM5996, 4.50%, due 03/01/49 | 1,134,144 | |
1,325,560 | UMBS, Pool # FM6133, 3.50%, due 08/01/50 | 1,207,676 | |
890,999 | UMBS, Pool # FM6273, 3.00%, due 12/01/34 | 833,694 | |
2,134,020 | UMBS, Pool # FM6497, 2.00%, due 03/01/51 | 1,744,386 | |
943,584 | UMBS, Pool # FM6585, 3.50%, due 11/01/40 | 851,851 | |
852,492 | UMBS, Pool # FM7341, 4.00%, due 03/01/48 | 809,474 | |
1,301,025 | UMBS, Pool # FM7785, 4.00%, due 05/01/49 | 1,231,064 | |
2,043,737 | UMBS, Pool # FM7794, 4.00%, due 01/01/50 | 1,924,603 | |
2,181,303 | UMBS, Pool # FM8216, 4.00%, due 11/01/48 | 2,063,955 | |
989,217 | UMBS, Pool # FM8422, 2.50%, due 08/01/51 | 835,217 | |
751,386 | UMBS, Pool # FM8451, 2.50%, due 08/01/51 | 636,890 | |
1,703,836 | UMBS, Pool # FM8603, 4.00%, due 09/01/49 | 1,613,182 | |
2,889,910 | UMBS, Pool # FM8968, 3.00%, due 04/01/48 | 2,580,880 | |
1,764,074 | UMBS, Pool # FM9412, 2.50%, due 11/01/51 | 1,492,852 | |
4,295,991 | UMBS, Pool # FM9461, 3.50%, due 11/01/51 | 3,886,757 | |
1,048,178 | UMBS, Pool # FM9674, 3.50%, due 06/01/49 | 956,660 | |
825,965 | UMBS, Pool # FM9726, 2.50%, due 11/01/51 | 699,661 | |
4,289,928 | UMBS, Pool # FM9728, 2.50%, due 11/01/51 | 3,632,349 | |
476,027 | UMBS, Pool # FM9977, 4.00%, due 02/01/50 | 449,080 | |
1,160,534 | UMBS, Pool # FS0027, 2.50%, due 11/01/51 | 982,846 | |
1,312,628 | UMBS, Pool # FS0065, 4.50%, due 12/01/50 | 1,271,356 | |
951,016 | UMBS, Pool # FS0194, 2.50%, due 01/01/52 | 802,243 |
74 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
2,245,635 | UMBS, Pool # FS0248, 3.00%, due 02/01/50 | 1,987,720 | |
2,471,570 | UMBS, Pool # FS0644, 3.00%, due 02/01/52 | 2,162,823 | |
111,252 | UMBS, Pool # FS0703, 4.00%, due 01/01/49 | 105,301 | |
1,979,472 | UMBS, Pool # FS0715, 3.00%, due 01/01/52 | 1,734,639 | |
8,518,575 | UMBS, Pool # FS0731, 2.00%, due 02/01/52 | 6,944,242 | |
2,500,963 | UMBS, Pool # FS1133, 4.00%, due 10/01/51 | 2,349,136 | |
487,571 | UMBS, Pool # FS1201, 3.00%, due 01/01/50 | 428,317 | |
654,614 | UMBS, Pool # FS1205, 3.50%, due 04/01/52 | 591,171 | |
1,452,569 | UMBS, Pool # FS1228, 3.00%, due 03/01/52 | 1,270,693 | |
500,787 | UMBS, Pool # FS1285, 3.50%, due 02/01/52 | 456,231 | |
466,623 | UMBS, Pool # FS1427, 3.00%, due 02/01/50 | 410,606 | |
311,945 | UMBS, Pool # FS1602, 4.00%, due 07/01/49 | 295,569 | |
443,817 | UMBS, Pool # FS1624, 2.50%, due 10/01/51 | 376,436 | |
2,994,367 | UMBS, Pool # FS1629, 2.50%, due 04/01/52 | 2,523,854 | |
204,080 | UMBS, Pool # FS1637, 4.00%, due 04/01/52 | 190,421 | |
1,213,582 | UMBS, Pool # FS1976, 4.00%, due 08/01/51 | 1,146,530 | |
2,105,962 | UMBS, Pool # FS2167, 4.50%, due 06/01/52 | 2,016,635 | |
2,330,386 | UMBS, Pool # FS2238, 4.00%, due 03/01/51 | 2,201,028 | |
64,830 | UMBS, Pool # FS2354, 4.00%, due 06/01/52 | 60,669 | |
233,984 | UMBS, Pool # FS2415, 4.50%, due 08/01/52 | 223,754 | |
115,324 | UMBS, Pool # MA2781, 2.50%, due 10/01/46 | 97,819 | |
2,786,643 | UMBS, Pool # MA2863, 3.00%, due 01/01/47 | 2,475,192 | |
352,507 | UMBS, Pool # MA3058, 4.00%, due 07/01/47 | 333,879 | |
96,910 | UMBS, Pool # MA3087, 3.50%, due 08/01/47 | 88,206 | |
99,480 | UMBS, Pool # MA3155, 3.00%, due 10/01/32 | 92,816 | |
335,860 | UMBS, Pool # MA3182, 3.50%, due 11/01/47 | 306,513 | |
156,201 | UMBS, Pool # MA3211, 4.00%, due 12/01/47 | 148,234 | |
110,134 | UMBS, Pool # MA3238, 3.50%, due 01/01/48 | 100,830 | |
279,947 | UMBS, Pool # MA3332, 3.50%, due 04/01/48 | 255,566 | |
102,664 | UMBS, Pool # MA3364, 3.50%, due 05/01/33 | 97,431 | |
63,419 | UMBS, Pool # MA3385, 4.50%, due 06/01/48 | 61,419 | |
267,612 | UMBS, Pool # MA3414, 3.50%, due 07/01/48 | 244,711 | |
83,463 | UMBS, Pool # MA3442, 3.50%, due 08/01/48 | 76,164 | |
68,488 | UMBS, Pool # MA3521, 4.00%, due 11/01/48 | 64,712 | |
677,707 | UMBS, Pool # MA3871, 3.00%, due 12/01/49 | 594,944 | |
576,838 | UMBS, Pool # MA3937, 3.00%, due 02/01/50 | 507,220 | |
138,630 | UMBS, Pool # MA3960, 3.00%, due 03/01/50 | 121,671 | |
770,121 | UMBS, Pool # MA4018, 2.00%, due 05/01/50 | 629,158 | |
507,663 | UMBS, Pool # MA4048, 3.00%, due 06/01/50 | 445,794 | |
135,026 | UMBS, Pool # MA4120, 2.50%, due 09/01/50 | 114,451 | |
1,582,929 | UMBS, Pool # MA4158, 2.00%, due 10/01/50 | 1,292,697 | |
438,522 | UMBS, Pool # MA4181, 1.50%, due 11/01/50 | 338,026 | |
358,562 | UMBS, Pool # MA4204, 2.00%, due 12/01/40 | 300,896 | |
803,461 | UMBS, Pool # MA4208, 2.00%, due 12/01/50 | 654,819 | |
3,715,445 | UMBS, Pool # MA4209, 1.50%, due 12/01/50 | 2,862,926 | |
545,059 | UMBS, Pool # MA4232, 2.00%, due 01/01/41 | 452,996 | |
1,235,830 | UMBS, Pool # MA4237, 2.00%, due 01/01/51 | 1,008,640 | |
562,519 | UMBS, Pool # MA4268, 2.00%, due 02/01/41 | 471,964 | |
108,452 | UMBS, Pool # MA4281, 2.00%, due 03/01/51 | 88,452 |
See accompanying Notes to the Financial Statements. | 75 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
477,482 | UMBS, Pool # MA4325, 2.00%, due 05/01/51 | 389,254 | |
309,341 | UMBS, Pool # MA4333, 2.00%, due 05/01/41 | 259,572 | |
346,667 | UMBS, Pool # MA4356, 2.50%, due 06/01/51 | 293,551 | |
463,296 | UMBS, Pool # MA4380, 3.00%, due 07/01/51 | 406,182 | |
487,837 | UMBS, Pool # MA4399, 2.50%, due 08/01/51 | 411,938 | |
985,899 | UMBS, Pool # MA4437, 2.00%, due 10/01/51 | 802,498 | |
1,976,738 | UMBS, Pool # MA4493, 2.50%, due 12/01/51 | 1,666,837 | |
490,238 | UMBS, Pool # MA4512, 2.50%, due 01/01/52 | 413,268 | |
986,803 | UMBS, Pool # MA4549, 3.00%, due 02/01/52 | 861,284 | |
1,477,880 | UMBS, Pool # MA4578, 2.50%, due 04/01/52 | 1,244,733 | |
1,035,061 | UMBS, Pool # MA4624, 3.00%, due 06/01/52 | 903,938 | |
1,001,582 | UMBS, Pool # MA4644, 4.00%, due 05/01/52 | 931,809 | |
1,499,950 | UMBS, Pool # MA4653, 3.00%, due 07/01/52 | 1,309,827 | |
695,005 | UMBS, Pool # MA4730, 3.00%, due 09/01/52 | 606,938 | |
6,168,100 | UMBS, Pool # MA4781, 3.00%, due 10/01/52 | 5,387,046 | |
250,000 | UMBS, Pool # MA4782, 3.50%, due 10/01/52 | 225,589 | |
1,509,366 | UMBS, Pool # QA6328, 3.00%, due 01/01/50 | 1,336,200 | |
1,205,068 | UMBS, Pool # QA6367, 3.00%, due 01/01/50 | 1,061,730 | |
847,212 | UMBS, Pool # QA7234, 3.00%, due 02/01/50 | 744,347 | |
603,586 | UMBS, Pool # QA8518, 3.00%, due 04/01/50 | 530,299 | |
212,280 | UMBS, Pool # QB0220, 3.00%, due 06/01/50 | 186,417 | |
860,426 | UMBS, Pool # QB4847, 2.50%, due 10/01/50 | 728,057 | |
793,313 | UMBS, Pool # QB6476, 2.50%, due 12/01/50 | 676,536 | |
305,884 | UMBS, Pool # QC0039, 2.50%, due 03/01/51 | 259,178 | |
1,618,704 | UMBS, Pool # QC4339, 2.00%, due 07/01/51 | 1,319,572 | |
888,390 | UMBS, Pool # QC5189, 2.50%, due 08/01/51 | 749,415 | |
453,758 | UMBS, Pool # QC6357, 2.50%, due 09/01/51 | 382,964 | |
309,268 | UMBS, Pool # QD5507, 2.00%, due 01/01/52 | 251,968 | |
499,108 | UMBS, Pool # QD9176, 2.50%, due 03/01/52 | 420,539 | |
975,045 | UMBS, Pool # QE0375, 4.00%, due 04/01/52 | 911,594 | |
1,988,661 | UMBS, Pool # QE1044, 3.50%, due 04/01/52 | 1,795,719 | |
62,953 | UMBS, Pool # QE1497, 4.00%, due 05/01/52 | 58,740 | |
848,180 | UMBS, Pool # RA1741, 3.50%, due 11/01/49 | 772,100 | |
1,597,447 | UMBS, Pool # RA1776, 3.00%, due 12/01/49 | 1,407,491 | |
1,010,237 | UMBS, Pool # RA1860, 3.00%, due 12/01/49 | 887,637 | |
533,850 | UMBS, Pool # RA2572, 3.50%, due 05/01/50 | 485,634 | |
1,897,600 | UMBS, Pool # RA2790, 2.50%, due 06/01/50 | 1,605,627 | |
1,909,634 | UMBS, Pool # RA2853, 2.50%, due 06/01/50 | 1,615,811 | |
710,978 | UMBS, Pool # RA3206, 2.00%, due 08/01/50 | 580,291 | |
3,567,806 | UMBS, Pool # RA3607, 3.00%, due 09/01/50 | 3,135,499 | |
3,899,484 | UMBS, Pool # RA5767, 2.50%, due 09/01/51 | 3,291,219 | |
271,977 | UMBS, Pool # RA6432, 2.50%, due 12/01/51 | 229,277 | |
900,110 | UMBS, Pool # RA6509, 2.00%, due 12/01/51 | 732,514 | |
527,137 | UMBS, Pool # RA6951, 3.50%, due 03/01/52 | 477,468 | |
1,976,259 | UMBS, Pool # RB5111, 2.00%, due 05/01/41 | 1,657,806 | |
480,524 | UMBS, Pool # SB8510, 2.00%, due 02/01/36 | 424,498 | |
745,282 | UMBS, Pool # SD0100, 3.00%, due 10/01/49 | 656,630 | |
1,909,257 | UMBS, Pool # SD0499, 3.00%, due 08/01/50 | 1,680,582 | |
1,262,197 | UMBS, Pool # SD0558, 2.50%, due 03/01/51 | 1,069,458 |
76 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,384,297 | UMBS, Pool # SD0619, 4.00%, due 07/01/50 | 1,299,155 | |
860,068 | UMBS, Pool # SD0742, 2.50%, due 11/01/51 | 728,193 | |
272,768 | UMBS, Pool # SD0746, 2.00%, due 11/01/51 | 222,235 | |
479,916 | UMBS, Pool # SD0815, 3.00%, due 01/01/52 | 422,045 | |
493,064 | UMBS, Pool # SD1050, 4.50%, due 07/01/52 | 472,150 | |
2,212,448 | UMBS, Pool # SD1324, 4.00%, due 08/01/52 | 2,063,425 | |
1,206,484 | UMBS, Pool # SD1446, 4.50%, due 08/01/52 | 1,155,667 | |
302,620 | UMBS, Pool # SD1454, 4.50%, due 08/01/52 | 289,784 | |
1,533,749 | UMBS, Pool # SD1475, 4.50%, due 08/01/52 | 1,470,875 | |
770,000 | UMBS, Pool # SD1606, 4.50%, due 09/01/52 | 736,861 | |
5,487,268 | UMBS, Pool # SD7526, 2.50%, due 10/01/50 | 4,658,676 | |
4,826,938 | UMBS, Pool # SD7543, 2.50%, due 08/01/51 | 4,089,853 | |
2,742,578 | UMBS, Pool # SD7548, 2.50%, due 11/01/51 | 2,323,944 | |
1,911,800 | UMBS, Pool # SD7551, 3.00%, due 01/01/52 | 1,681,905 | |
2,991 | UMBS, Pool # SD8025, 3.50%, due 11/01/49 | 2,728 | |
1,134,736 | UMBS, Pool # SD8075, 3.50%, due 07/01/50 | 1,032,104 | |
4,550,751 | UMBS, Pool # SD8090, 2.00%, due 09/01/50 | 3,712,001 | |
835,606 | UMBS, Pool # SD8104, 1.50%, due 11/01/50 | 642,913 | |
409,564 | UMBS, Pool # SD8113, 2.00%, due 12/01/50 | 334,080 | |
411,344 | UMBS, Pool # SD8121, 2.00%, due 01/01/51 | 335,529 | |
190,660 | UMBS, Pool # SD8134, 2.00%, due 03/01/51 | 155,429 | |
3,664,202 | UMBS, Pool # SD8141, 2.50%, due 04/01/51 | 3,097,870 | |
1,467,759 | UMBS, Pool # SD8183, 2.50%, due 12/01/51 | 1,237,159 | |
3,451,510 | UMBS, Pool # SD8188, 2.00%, due 01/01/52 | 2,807,271 | |
995,556 | UMBS, Pool # SD8205, 2.50%, due 04/01/52 | 838,500 | |
621,516 | UMBS, Pool # SD8212, 2.50%, due 05/01/52 | 522,775 | |
4,981,791 | UMBS, Pool # SD8234, 2.50%, due 08/01/52 | 4,193,036 | |
196,116 | UMBS, Pool # SD8254, 3.00%, due 10/01/52 | 171,163 | |
1,000,000 | UMBS, Pool # SD8255, 3.50%, due 10/01/52 | 902,041 | |
828,511 | UMBS, Pool # ZM1609, 3.50%, due 09/01/46 | 764,801 | |
259,386 | UMBS, Pool # ZS4727, 4.00%, due 07/01/47 | 245,909 | |
161,941 | UMBS, Pool # ZS4760, 4.00%, due 03/01/48 | 152,763 | |
1,405,389 | UMBS, Pool # ZS4763, 3.50%, due 04/01/48 | 1,285,160 | |
455,681 | UMBS, Pool # ZT0657, 6.00%, due 07/01/40 | 479,397 | |
207,617 | UMBS, Pool # ZT1748, 5.00%, due 01/01/49 | 205,867 | |
500,000 | UMBS TBA, 2.50%, due 11/10/51 | 418,623 | |
500,000 | UMBS TBA, 2.50%, due 10/13/52 | 419,639 | |
3,000,000 | UMBS TBA, 3.00%, due 10/13/52 | 2,611,992 | |
6,000,000 | UMBS TBA, 3.00%, due 11/14/52 | 5,222,778 | |
4,500,000 | UMBS TBA, 3.50%, due 10/13/52 | 4,051,055 | |
2,500,000 | UMBS TBA, 3.50%, due 11/14/52 | 2,249,332 | |
5,216,000 | UMBS TBA, 4.50%, due 10/13/52 | 4,970,278 | |
2,500,000 | UMBS TBA, 4.50%, due 11/14/52 | 2,379,717 | |
1,766,000 | UMBS TBA, 5.00%, due 10/13/52 | 1,720,755 | |
3,000,000 | UMBS TBA, 5.00%, due 11/14/52 | 2,919,390 | |
350,995,056 | |||
Municipal Obligations — 1.1% | |||
60,000 | Alabama Economic Settlement Authority, 4.26%, due 09/15/32 | 56,685 |
See accompanying Notes to the Financial Statements. | 77 |
Par Value(a) | Description | Value ($) | |
Municipal Obligations — continued | |||
165,000 | Bay Area Toll Authority, 2.57%, due 04/01/31 | 141,854 | |
300,000 | Bay Area Toll Authority, 6.26%, due 04/01/49 | 342,364 | |
1,525,000 | California Health Facilities Financing Authority, 4.19%, due 06/01/37 | 1,332,674 | |
1,300,000 | Dallas Fort Worth International Airport, 1.93%, due 11/01/28 | 1,099,139 | |
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(h) | 79,209 | |
250,000 | Florida State Board of Administration Finance Corp., 1.71%, due 07/01/27 | 213,985 | |
257,000 | Golden State Tobacco Securitization Corp., 4.21%, due 06/01/50 | 178,381 | |
1,612,000 | Louisiana Local Government Environmental Facilities & Community Development Authority, 3.62%, due 02/01/29 | 1,563,863 | |
715,000 | Michigan Finance Authority, 2.37%, due 09/01/49(b) | 700,245 | |
550,000 | Michigan State University, 4.17%, due 08/15/22(h) | 410,630 | |
351,000 | Municipal Electric Authority of Georgia, 6.64%, due 04/01/57 | 381,163 | |
327,000 | New Jersey Transportation Trust Fund Authority, 4.08%, due 06/15/39 | 272,754 | |
25,000 | New Jersey Transportation Trust Fund Authority, 4.13%, due 06/15/42 | 20,096 | |
980,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.77%, due 08/01/36 | 1,016,936 | |
1,350,000 | New York State Urban Development Corp., 5.77%, due 03/15/39 | 1,397,241 | |
2,195,000 | Port Authority of New York & New Jersey, 1.09%, due 07/01/23 | 2,140,085 | |
885,000 | State of California, 7.50%, due 04/01/34 | 1,055,163 | |
555,000 | State of California, 7.55%, due 04/01/39 | 692,545 | |
935,000 | State of Connecticut, 3.98%, due 06/15/29 | 882,325 | |
695,000 | State of Illinois, 5.00%, due 11/01/22 | 695,764 | |
750,000 | University of Michigan, 4.45%, due 04/01/22(h) | 600,798 | |
595,000 | University of Virginia, 2.58%, due 11/01/51 | 376,824 | |
105,000 | University of Virginia, 4.18%, due 09/01/17(h) | 83,006 | |
15,733,729 | |||
Sovereign Debt Obligations — 0.3% | |||
1,407,000 | Argentine Republic Government International Bond, 4.88%, due 07/09/41(d) | 302,729 | |
200,000 | Bermuda Government International Bond, 2.38%, due 08/20/30 144A | 160,098 | |
55,000 | Corp. Andina de Fomento, 2.75%, due 01/06/23 | 54,731 | |
215,000 | Export-Import Bank of India, 3.88%, due 02/01/28 144A | 196,074 | |
450,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 409,744 | |
200,000 | Japan Bank for International Cooperation, 3.38%, due 10/31/23 | 197,427 | |
200,000 | Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A | 190,064 | |
290,000 | Mexico Government International Bond, 3.50%, due 02/12/34 | 221,085 | |
45,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 35,743 | |
135,000 | Province of Alberta Canada, 1.30%, due 07/22/30 | 107,204 | |
85,000 | Province of Alberta Canada, 3.30%, due 03/15/28 | 80,141 | |
100,000 | Province of Manitoba Canada, 2.13%, due 06/22/26 | 91,724 | |
220,000 | Province of Quebec Canada, 2.75%, due 04/12/27 | 206,107 | |
568,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 551,664 | |
789,000 | Saudi Government International Bond, 4.38%, due 04/16/29 144A | 773,302 | |
185,000 | Uruguay Government International Bond, 4.98%, due 04/20/55 | 165,837 | |
65,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 59,688 | |
3,803,362 | |||
U.S. Government and Agency Obligations — 18.9% | |||
495,000 | FNMA, 0.88%, due 08/05/30 | 387,447 |
78 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
U.S. Government and Agency Obligations — continued | |||
170,000 | FNMA, 2.38%, due 01/19/23 | 169,299 | |
210,000 | FNMA, 2.50%, due 02/05/24 | 204,930 | |
310,000 | FNMA, 6.63%, due 11/15/30 | 362,271 | |
210,000 | Tennessee Valley Authority, 1.50%, due 09/15/31 | 167,872 | |
25,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 29,665 | |
13,109,000 | U.S. Treasury Bond, 1.13%, due 08/15/40 | 8,128,092 | |
525,000 | U.S. Treasury Bond, 1.38%, due 11/15/40 | 339,702 | |
4,066,000 | U.S. Treasury Bond, 1.38%, due 08/15/50 | 2,356,692 | |
12,003,000 | U.S. Treasury Bond, 1.75%, due 08/15/41 | 8,214,319 | |
6,221,000 | U.S. Treasury Bond, 1.88%, due 02/15/41 | 4,409,741 | |
5,124,000 | U.S. Treasury Bond, 1.88%, due 02/15/51 | 3,394,250 | |
13,330,000 | U.S. Treasury Bond, 2.00%, due 11/15/41 | 9,548,914 | |
6,585,000 | U.S. Treasury Bond, 2.00%, due 08/15/51 | 4,500,950 | |
10,720,000 | U.S. Treasury Bond, 2.25%, due 05/15/41 | 8,110,141 | |
9,069,000 | U.S. Treasury Bond, 2.25%, due 02/15/52 | 6,592,029 | |
22,027,000 | U.S. Treasury Bond, 2.38%, due 02/15/42 | 16,888,514 | |
2,555,000 | U.S. Treasury Bond, 2.38%, due 05/15/51 | 1,912,657 | |
13,120,000 | U.S. Treasury Bond, 2.50%, due 02/15/46 | 9,972,225 | |
3,650,000 | U.S. Treasury Bond, 2.50%, due 05/15/46 | 2,770,008 | |
40,443,000 | U.S. Treasury Bond, 2.88%, due 05/15/52 | 33,927,885 | |
1,557,000 | U.S. Treasury Bond, 3.00%, due 02/15/47 | 1,303,136 | |
170,000 | U.S. Treasury Bond, 3.00%, due 05/15/47 | 142,455 | |
4,430,000 | U.S. Treasury Bond, 3.00%, due 02/15/48 | 3,731,583 | |
1,979,000 | U.S. Treasury Bond, 3.00%, due 08/15/52 | 1,708,434 | |
19,382,000 | U.S. Treasury Bond, 3.38%, due 08/15/42 | 17,561,909 | |
2,835,900 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 2,646,914 | |
5,554,492 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 10/15/24 | 5,342,427 | |
2,372,214 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 01/15/30 | 2,098,693 | |
528,657 | U.S. Treasury Inflation Indexed Bonds, 1.00%, due 02/15/49 | 431,355 | |
11,055,000 | U.S. Treasury Note, 0.75%, due 05/31/26 | 9,765,538 | |
22,003,000 | U.S. Treasury Note, 1.50%, due 01/31/27 | 19,728,784 | |
8,926,000 | U.S. Treasury Note, 1.88%, due 02/15/32 | 7,565,482 | |
16,026,000 | U.S. Treasury Note, 2.75%, due 08/15/32 | 14,656,278 | |
8,995,000 | U.S. Treasury Note, 2.88%, due 05/15/28(o) | 8,456,354 | |
20,315,000 | U.S. Treasury Note, 3.13%, due 08/31/27 | 19,489,703 | |
339,000 | U.S. Treasury Note, 3.13%, due 08/31/29 | 321,812 | |
15,746,000 | U.S. Treasury Note, 3.50%, due 09/15/25 | 15,426,159 | |
5,955,000 | U.S. Treasury STRIPS, 4.52%, due 08/15/30(n) | 4,367,693 | |
915,000 | U.S. Treasury STRIPS, 5.51%, due 08/15/38(n) | 481,928 | |
90,000 | U.S. Treasury STRIPS, 5.56%, due 11/15/38(n) | 46,855 | |
360,000 | U.S. Treasury STRIPS, 5.57%, due 02/15/39(n) | 185,856 | |
255,000 | U.S. Treasury STRIPS, 5.58%, due 08/15/39(n) | 129,580 | |
90,000 | U.S. Treasury STRIPS, 5.59%, due 05/15/39(n) | 46,053 | |
2,310,000 | U.S. Treasury STRIPS, 5.69%, due 02/15/40(n) | 1,145,149 | |
2,865,000 | U.S. Treasury STRIPS, 5.93%, due 11/15/40(n) | 1,360,133 | |
195,000 | U.S. Treasury STRIPS, 6.03%, due 05/15/41(n) | 90,443 | |
590,000 | U.S. Treasury STRIPS, 6.17%, due 08/15/41(n) | 268,203 | |
5,195,000 | U.S. Treasury STRIPS, 6.28%, due 11/15/41(n) | 2,320,933 | |
1,105,000 | U.S. Treasury STRIPS, 6.36%, due 05/15/42(n) | 482,988 |
See accompanying Notes to the Financial Statements. | 79 |
Par Value(a) | Description | Value ($) | |
U.S. Government and Agency Obligations — continued | |||
85,000 | U.S. Treasury STRIPS, 6.44%, due 08/15/42(n) | 36,630 | |
646,000 | U.S. Treasury STRIPS, 6.47%, due 11/15/43(n) | 268,041 | |
1,750,000 | U.S. Treasury STRIPS, 6.48%, due 11/15/42(n) | 745,630 | |
4,620,000 | U.S. Treasury STRIPS, 6.55%, due 02/15/43(n) | 1,942,802 | |
280,000 | U.S. Treasury STRIPS, 6.67%, due 05/15/44(n) | 112,482 | |
2,095,000 | U.S. Treasury STRIPS, 6.71%, due 08/15/44(n) | 832,108 | |
670,000 | U.S. Treasury STRIPS, 6.75%, due 02/15/45(n) | 261,590 | |
430,000 | U.S. Treasury STRIPS, 6.78%, due 11/15/45(n) | 164,064 | |
310,000 | U.S. Treasury STRIPS, 6.81%, due 02/15/46(n) | 117,180 | |
268,170,960 | |||
TOTAL DEBT OBLIGATIONS (COST $1,617,744,856) | 1,406,760,078 | ||
SHORT-TERM INVESTMENT — 1.7% | |||
Mutual Fund - Securities Lending Collateral — 1.7% | |||
23,507,187 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(p) (q) | 23,507,187 | |
TOTAL SHORT-TERM INVESTMENT (COST $23,507,187) | 23,507,187 | ||
TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS — 100.6% (Cost $1,641,252,043) | 1,430,267,265 | ||
TBA SALE COMMITMENTS — (0.4)% | |||
(3,000,000) | UMBS TBA, 2.00%, due 10/13/52 | (2,429,766) | |
(3,000,000) | UMBS TBA, 3.00%, due 10/13/52 | (2,611,992) | |
TOTAL TBA SALE COMMITMENTS (PROCEEDS $5,375,625) | (5,041,758) | ||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 100.2% (Cost $1,635,876,418) | 1,425,225,507 | ||
Other Assets and Liabilities (net) — (0.2)% | (2,904,993) | ||
NET ASSETS — 100.0% | $1,422,320,514 |
Notes to Schedule of Investments: | |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(c) | Variable or floating rate note. Rate shown is as of September 30, 2022. |
(d) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. Rate shown is current coupon rate. |
(e) | All or a portion of this security is out on loan. |
(f) | Security is currently in default. |
(g) | Security is perpetual and has no stated maturity date. |
(h) | Year of maturity is greater than 2100. |
80 | See accompanying Notes to the Financial Statements. |
(i) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of period end, the market value of restricted securities was $1,086,783, which is 0.1% of net assets. See details shown in the Restricted Securities table that follows. |
(j) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(k) | When-issued security. |
(l) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(m) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $0 which represents 0.0% of net assets. The aggregate cost of these securities held at September 30, 2022 was $1,565,555. |
(n) | Interest rate presented is yield to maturity. |
(o) | All or a portion of this security is pledged for open futures collateral. |
(p) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(q) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $303,541,766 which represents 21.3% of net assets. |
Restricted Securities | Acquisition Date | Principal Amount | Cost | Value | |||||
Credit Agricole SA, 2.81%, due 01/11/41 | 01/28/21 | USD | 320,000 | $ 308,324 | $ 190,267 | ||||
Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 | 04/13/20 | USD | 1,255,000 | 1,288,041 | 859,387 | ||||
Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 | 12/15/09 | USD | 34,000 | 35,269 | 37,129 | ||||
$1,086,783 |
See accompanying Notes to the Financial Statements. | 81 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
EUR | 8,768,748 | USD | 8,452,768 | 10/04/22 | JPMorgan Chase Bank N.A. | $ 137,534 | ||||
USD | 8,755,332 | EUR | 8,768,748 | 10/04/22 | Barclays Bank Plc | 165,030 | ||||
USD | 8,470,378 | EUR | 8,768,748 | 11/02/22 | JPMorgan Chase Bank N.A. | (137,013) | ||||
$ 165,551 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buys | ||||||||
245 | U.S. Treasury Note 10-Year | Dec 2022 | $27,455,313 | $(1,043,044) | ||||
291 | U.S. Treasury Note 2-Year | Dec 2022 | 59,768,672 | (969,952) | ||||
246 | U.S. Treasury Note 5-Year | Dec 2022 | 26,446,922 | (688,398) | ||||
56 | U.S. Ultra Bond | Dec 2022 | 7,672,000 | (713,797) | ||||
$(3,415,191) | ||||||||
Sales | ||||||||
1 | Euro-Bobl | Dec 2022 | $ 117,313 | $ 3,556 | ||||
3 | Euro-Bund | Dec 2022 | 407,015 | 21,306 | ||||
347 | U.S. Long Bond | Dec 2022 | 43,862,969 | 3,168,747 | ||||
213 | U.S. Ultra 10-Year | Dec 2022 | 25,237,172 | 1,615,693 | ||||
$ 4,809,302 |
Currency Abbreviations | ||
EUR | — | Euro |
USD | — | U.S. Dollar |
82 | See accompanying Notes to the Financial Statements. |
Abbreviations | ||
ACES | — | Alternative Credit Enhancement Securities |
CLO | — | Collateralized Loan Obligation |
CMO | — | Collateralized Mortgage Obligation |
CMT | — | Constant Maturity Treasury Index |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FNMA | — | Federal National Mortgage Association |
GNMA | — | Government National Mortgage Association |
IO | — | Interest Only |
LIBOR | — | London Interbank Offered Rate |
MTN | — | Medium Term Note |
PIK | — | Payment In Kind |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities |
TBA | — | To Be Announced |
TSFR | — | Term Secured Overnight Financing Rate |
UMBS | — | Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA |
See accompanying Notes to the Financial Statements. | 83 |
Asset Class Summary (Unaudited) | % of Net Assets |
Debt Obligations | 98.9 |
Futures Contracts | 0.1 |
TBA Sale Commitments | (0.4) |
Forward Foreign Currency Contracts | (0.6) |
Short-Term Investment | 1.7 |
Other Assets and Liabilities (net) | 0.3 |
100.0 |
84 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 90.3% | |||
Asset Backed Securities — 6.0% | |||
690,000 | Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 3.73% (1 mo. USD LIBOR + 0.65%), due 12/25/35(b) | 658,290 | |
500,000 | Aimco CLO 12, Ltd., Series 2020-12A, Class DR, 5.38% (3 mo. TSFR + 2.90%), due 01/17/32(b) 144A | 447,244 | |
650,000 | Alinea CLO, Ltd., Series 2018-1A, Class D, 5.81% (3 mo. USD LIBOR + 3.10%), due 07/20/31(b) 144A | 570,641 | |
300,000 | Anchorage Capital CLO, Ltd., Series 2014-3RA, Class E, 8.29% (3 mo. USD LIBOR + 5.50%), due 01/28/31(b) 144A | 236,108 | |
3,640,000 | Anchorage Capital CLO, Ltd., Series 2021-17A, Class A1, 3.68% (3 mo. USD LIBOR + 1.17%), due 07/15/34(b) 144A | 3,492,773 | |
1,000,000 | Apex Credit CLO, Ltd., Series 2019-1A, Class BR, 5.14% (3 mo. USD LIBOR + 2.40%), due 04/18/32(b) 144A | 909,698 | |
420,000 | Apidos CLO XXII, Series 2015-22A, Class DR, 9.46% (3 mo. USD LIBOR + 6.75%), due 04/20/31(b) 144A | 369,993 | |
598,950 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/05/49 144A | 569,378 | |
250,000 | Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 5.81% (3 mo. USD LIBOR + 2.90%), due 05/15/30(b) 144A | 222,281 | |
810,000 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class M1, 2.70% (1 mo. USD LIBOR + 0.42%), due 07/25/36(b) | 633,664 | |
197,896 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 3.22% (1 mo. USD LIBOR + 0.14%), due 12/25/36(b) | 193,620 | |
410,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due 02/20/27 144A | 371,008 | |
550,000 | Bain Capital Credit CLO, Ltd., Series 2022-2A, Class D1, 4.98% (3 mo. TSFR + 3.65%), due 04/22/35(b) 144A | 495,643 | |
250,000 | Ballyrock CLO, Ltd., Series 2016-1A, Class ER, 9.46% (3 mo. USD LIBOR + 6.95%), due 10/15/28(b) 144A | 241,586 | |
275,000 | Ballyrock CLO, Ltd., Series 2018-1A, Class C, 5.86% (3 mo. USD LIBOR + 3.15%), due 04/20/31(b) 144A | 242,521 | |
415,000 | Ballyrock CLO, Ltd., Series 2019-1A, Class A2R, 4.06% (3 mo. USD LIBOR + 1.55%), due 07/15/32(b) 144A | 388,458 | |
1,560,000 | Ballyrock CLO, Ltd., Series 2022-19A, Class D, 8.28% (3 mo. TSFR + 7.11%), due 04/20/35(b) 144A | 1,303,157 | |
250,000 | Barings CLO, Ltd., Series 2013-IA, Class CR, 4.21% (3 mo. USD LIBOR + 1.50%), due 01/20/28(b) 144A | 240,235 | |
250,000 | Barings CLO, Ltd., Series 2016-2A, Class ER2, 9.21% (3 mo. USD LIBOR + 6.50%), due 01/20/32(b) 144A | 213,605 | |
850,000 | BlueMountain CLO XXIX, Ltd., Series 2020-29A, Class ER, 9.64% (3 mo. USD LIBOR + 6.86%), due 07/25/34(b) 144A | 730,150 | |
250,000 | Bristol Park CLO, Ltd., Series 2016-1A, Class ER, 9.51% (3 mo. USD LIBOR + 7.00%), due 04/15/29(b) 144A | 219,575 | |
650,000 | Buckhorn Park CLO, Ltd., Series 2019-1A, Class DR, 5.84% (3 mo. USD LIBOR + 3.10%), due 07/18/34(b) 144A | 573,735 | |
280,000 | Canyon Capital CLO, Ltd., Series 2021-1A, Class E, 8.92% (3 mo. USD LIBOR + 6.41%), due 04/15/34(b) 144A | 218,141 | |
255,000 | Canyon CLO, Ltd., Series 2021-4A, Class B, 4.21% (3 mo. USD LIBOR + 1.70%), due 10/15/34(b) 144A | 238,500 | |
1,300,000 | Carlyle US CLO, Ltd., Series 2019-2A, Class DR, 9.01% (3 mo. USD LIBOR + 6.50%), due 07/15/32(b) 144A | 1,090,418 | |
1,475,000 | Carlyle US CLO, Ltd., Series 2019-4A, Class A2R, 4.08% (3 mo. TSFR + 1.75%), due 04/15/35(b) 144A | 1,367,037 |
See accompanying Notes to the Financial Statements. | 85 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
510,000 | Carlyle US CLO, Ltd., Series 2021-8A, Class B, 4.16% (3 mo. USD LIBOR + 1.65%), due 10/15/34(b) 144A | 479,607 | |
750,000 | Catskill Park CLO, Ltd., Series 2017-1A, Class D, 8.71% (3 mo. USD LIBOR + 6.00%), due 04/20/29(b) 144A | 629,682 | |
1,020,000 | CBAM CLO, Ltd., Series 2018-6A, Class B2R, 4.69% (3 mo. TSFR+ 2.36%), due 01/15/31(b) 144A | 1,002,347 | |
250,000 | CIFC Funding CLO, Ltd., Series 2017-1A, Class D, 6.23% (3 mo. USD LIBOR + 3.50%), due 04/23/29(b) 144A | 233,174 | |
700,000 | CIFC Funding CLO, Ltd., Series 2017-3A, Class C, 6.36% (3 mo. USD LIBOR + 3.65%), due 07/20/30(b) 144A | 648,635 | |
48,738 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.53%, due 01/21/31 144A | 47,854 | |
900,000 | Dryden 70 CLO, Ltd., Series 2018-70A, Class E, 8.79% (3 mo. USD LIBOR + 6.05%), due 01/16/32(b) 144A | 769,922 | |
630,000 | Eaton Vance CLO, Ltd., Series 2020-2A, Class ER, 9.01% (3 mo. USD LIBOR + 6.50%), due 01/15/35(b) 144A | 557,131 | |
350,000 | Elmwood CLO XI, Ltd., Series 2021-4A, Class B, 4.31% (3 mo. USD LIBOR + 1.60%), due 10/20/34(b) 144A | 328,304 | |
332,901 | Falcon Aerospace, Ltd., Series 2017-1, Class A, 4.58%, due 02/15/42 144A | 302,117 | |
250,000 | Fortress Credit BSL CLO XII, Ltd., Series 2021-4A, Class E, 9.64% (3 mo. USD LIBOR + 7.13%), due 10/15/34(b) 144A | 208,277 | |
1,060,000 | Generate CLO 7, Ltd., Series 7A, Class B1, 4.61% (3 mo. USD LIBOR + 1.85%), due 01/22/33(b) 144A | 1,003,907 | |
380,000 | Golub Capital Partners CLO, Ltd., Series 2021-53A, Class E, 9.41% (3 mo. USD LIBOR + 6.70%), due 07/20/34(b) 144A | 305,816 | |
250,000 | Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 7.46% (3 mo. USD LIBOR + 4.95%), due 04/15/31(b) 144A | 201,140 | |
750,000 | Greywolf CLO IV, Ltd., Series 2018-1A, Class D, 8.52% (3 mo. USD LIBOR + 5.75%), due 04/26/31(b) 144A | 603,422 | |
250,000 | Greywolf CLO IV, Ltd., Series 2019-1RA, Class CR, 6.39% (3 mo. TSFR + 3.91%), due 04/17/34(b) 144A | 226,783 | |
80,423 | GSAA Home Equity Trust, Series 2007-7, Class A4, 3.62% (1 mo. USD LIBOR + 0.54%), due 07/25/37(b) | 77,728 | |
290,000 | Halsey Point CLO I, Ltd., Series 2019-1A, Class F, 10.91% (3 mo. USD LIBOR + 8.20%), due 01/20/33(b) 144A | 237,056 | |
240,848 | KeyCorp Student Loan Trust, Series 2005-A, Class 2C, 4.93% (3 mo. USD LIBOR + 1.30%), due 12/27/38(b) | 224,501 | |
400,000 | KKR CLO 14, Ltd., Series 14, Class BR, 4.31% (3 mo. USD LIBOR + 1.80%), due 07/15/31(b) 144A | 380,288 | |
190,645 | Long Beach Mortgage Loan Trust, Series 2005-1, Class M4, 4.36% (1 mo. USD LIBOR + 1.28%), due 02/25/35(b) | 187,000 | |
425,000 | Madison Park Funding CLO XLVIII, Ltd., Series 2017-25A, Class A2R, 4.43% (3 mo. USD LIBOR + 1.65%), due 04/25/29(b) 144A | 408,773 | |
250,000 | Madison Park Funding CLO XXV, Ltd., Series 2021-48A, Class B, 4.19% (3 mo. USD LIBOR + 1.45%), due 04/19/33(b) 144A | 236,259 | |
1,405,000 | Madison Park Funding CLO XXXIX, Ltd., Series 2021-39A, Class D, 5.81% (3 mo. USD LIBOR + 3.05%), due 10/22/34(b) 144A | 1,254,919 | |
400,000 | Magnetite CLO XII, Ltd., Series 2015-12A, Class ER, 8.19% (3 mo. USD LIBOR + 5.68%), due 10/15/31(b) 144A | 336,081 | |
1,435,000 | Magnetite CLO XXIV, Ltd., Series 2019-24A, Class BR, 4.08% (3 mo. TSFR +1.75%), due 04/15/35(b) 144A | 1,346,085 | |
2,160,000 | Magnetite CLO XXVII, Ltd., Series 2020-27A, Class AR, 3.85% (3 mo. USD LIBOR + 1.14%), due 10/20/34(b) 144A | 2,068,790 | |
598,342 | Magnolia Financial X DAC, Series 2020-1, due 08/13/24 | 584,970 |
86 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
250,000 | Marathon CLO 14, Ltd., Series 2019-2A, Class BA, 6.01% (3 mo. USD LIBOR + 3.30%), due 01/20/33(b) 144A | 235,870 | |
400,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 1.00%, due 09/21/26 144A | 362,724 | |
467,691 | Mill City Solar Loan, Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A | 442,888 | |
683,047 | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, due 12/20/46 144A | 603,456 | |
1,080,327 | National Collegiate Student Loan Trust, Series 2007-2, Class A4, 3.37% (1 mo. USD LIBOR + 0.29%), due 01/25/33(b) | 1,014,369 | |
100,000 | Navient Private Education Loan Trust, Series 2020-A, Class B, 3.16%, due 11/15/68 144A | 82,196 | |
370,000 | Navient Private Education Refi Student Loan Trust, Series 2018-CA, Class B, 4.22%, due 06/16/42 144A | 344,777 | |
760,000 | Navient Private Education Refi Student Loan Trust, Series 2020-GA, Class B, 2.50%, due 09/16/69 144A | 592,607 | |
250,000 | Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 8.65% (3 mo. USD LIBOR + 5.92%), due 10/21/30(b) 144A | 211,334 | |
750,000 | Neuberger Berman Loan Advisers CLO 33, Ltd., Series 2019-33A, Class DR, 5.64% (3 mo. USD LIBOR + 2.90%), due 10/16/33(b) 144A | 671,462 | |
2,805,000 | Neuberger Berman Loan Advisers CLO 36, Ltd., Series 2020-36A, Class A1R, 3.96% (3 mo. USD LIBOR + 1.25%), due 04/20/33(b) 144A | 2,719,658 | |
480,000 | Neuberger Berman Loan Advisers CLO 44, Ltd., Series 2021-44A, Class E, 8.74% (3 mo. USD LIBOR + 6.00%), due 10/16/34(b) 144A | 414,741 | |
700,000 | Ocean Trails CLO IX, Series 2020-9A, Class CR, 5.06% (3 mo. USD LIBOR + 2.55%), due 10/15/34(b) 144A | 624,457 | |
650,000 | Ocean Trails CLO X, Series 2020-10A, Class ER, 10.08% (3 mo. USD LIBOR + 7.57%), due 10/15/34(b) 144A | 548,698 | |
1,160,000 | OCP CLO, Ltd., Series 2015-9A, Class BR2, 2.60% (3 mo. TSFR + 1.75%), due 01/15/33(b) 144A | 1,094,576 | |
325,000 | Octagon Investment Partners CLO 35, Ltd., Series 2018-1A, Class C, 5.31% (3 mo. USD LIBOR + 2.60%), due 01/20/31(b) 144A | 280,983 | |
275,000 | OHA Credit Funding 2, Ltd., Series 2019-2A, Class BR, 4.33% (3 mo. USD LIBOR + 1.60%), due 04/21/34(b) 144A | 258,949 | |
1,000,000 | OHA Credit Funding 4, Ltd., Series 2019-4A, Class BR, 4.41% (3 mo. USD LIBOR + 1.65%), due 10/22/36(b) 144A | 940,845 | |
850,000 | Option One Mortgage Loan Trust, Series 2005-3, Class M4, 4.01% (1 mo. USD LIBOR + 0.93%), due 08/25/35(b) | 667,693 | |
250,000 | Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L, 4.51% (3 mo. USD LIBOR + 1.80%), due 04/20/32(b) 144A | 242,641 | |
605,000 | OZLM CLO XXIII, Ltd., Series 2019-23A, Class B1R, 4.36% (3 mo. USD LIBOR + 1.85%), due 04/15/34(b) 144A | 560,862 | |
2,335,000 | Palmer Square CLO, Ltd., Series 2021-2A, Class A, 3.66% (3 mo. USD LIBOR + 1.15%), due 07/15/34(b) 144A | 2,233,789 | |
300,000 | Palmer Square CLO, Ltd., Series 2021-4A, Class B, 4.16% (3 mo. USD LIBOR + 1.65%), due 10/15/34(b) 144A | 282,121 | |
250,000 | Palmer Square Loan Funding CLO, Ltd., Series 2021-2A, Class A2, 4.23% (3 mo. USD LIBOR + 1.25%), due 05/20/29(b) 144A | 238,252 | |
890,000 | Palmer Square Loan Funding CLO, Ltd., Series 2022-3A, Class C, 1.00% (3 mo. TSFR + 5.40%), due 04/15/31(b) (c) 144A | 851,507 | |
250,000 | Parallel CLO, Ltd., Series 2017-1A, Class CR, 4.71% (3 mo. USD LIBOR + 2.00%), due 07/20/29(b) 144A | 235,391 | |
575,000 | Park Avenue Institutional Advisers CLO, Ltd., Series 2021-2A, Class B, 4.26% (3 mo. USD LIBOR + 1.75%), due 07/15/34(b) 144A | 531,506 | |
390,000 | Peace Park CLO, Ltd., Series 2021-1A, Class E, 8.71% (3 mo. USD LIBOR + 6.00%), due 10/20/34(b) 144A | 337,114 |
See accompanying Notes to the Financial Statements. | 87 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
441,600 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 417,259 | |
1,005,000 | PPM CLO, Ltd., Series 2018-1A, Class B2, 4.36% (3 mo. USD LIBOR + 1.85%), due 07/15/31(b) 144A | 943,148 | |
1,160,000 | Residential Asset Securities Trust, Series 2006-KS2, Class M3, 3.70% (1 mo. USD LIBOR + 0.62%), due 03/25/36(b) | 1,065,120 | |
1,485,000 | Rockford Tower CLO, Ltd., Series 2018-1A, Class A, 4.08% (3 mo. USD LIBOR + 1.10%), due 05/20/31(b) 144A | 1,444,335 | |
325,000 | Rockford Tower CLO, Ltd., Series 2021-3A, Class B, 4.46% (3 mo. USD LIBOR + 1.75%), due 10/20/34(b) 144A | 302,895 | |
720,000 | RR CLO 18, Ltd., Series 2021-18A, Class D, 8.76% (3 mo. USD LIBOR + 6.25%), due 10/15/34(b) 144A | 617,560 | |
180,000 | Saranac CLO III, Ltd., Series 2014-3A, Class DR, 6.85% (3 mo. USD LIBOR + 3.25%), due 06/22/30(b) 144A | 148,887 | |
430,000 | Sculptor CLO XXVI, Ltd., Series 26A, Class E, 9.96% (3 mo. USD LIBOR + 7.25%), due 07/20/34(b) 144A | 376,825 | |
515,000 | Sixth Street CLO XVIII, Ltd., Series 2021-18A, Class D, 5.61% (3 mo. USD LIBOR + 2.90%), due 04/20/34(b) 144A | 457,292 | |
81,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 4.28%, due 06/15/32(d) | 79,483 | |
50,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 4.30%, due 03/15/33(d) | 49,467 | |
680,000 | SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53 144A | 608,799 | |
2,600,000 | Sound Point CLO XXVII, Ltd., Series 2020-2A, Class AR, 3.96% (3 mo. USD LIBOR + 1.18%), due 10/25/34(b) 144A | 2,469,366 | |
940,000 | Southwick Park CLO LLC, Series 2019-4A, Class DR, 5.66% (3 mo. USD LIBOR + 2.95%), due 07/20/32(b) 144A | 839,552 | |
875,555 | Stonepeak, Series 2021-1A, Class A, 2.68%, due 02/28/33 144A | 767,869 | |
280,000 | TCI-Symphony CLO, Ltd., Series 2016-1A, Class DR2, 5.56% (3 mo. USD LIBOR + 3.10%), due 10/13/32(b) 144A | 245,792 | |
800,000 | TCI-Symphony CLO, Ltd., Series 2016-1A, Class ER2, 9.21% (3 mo. USD LIBOR + 6.75%), due 10/13/32(b) 144A | 658,862 | |
2,710,000 | Trinitas CLO XVI, Ltd., Series 2021-16A, Class A1, 3.89% (3 mo. USD LIBOR + 1.18%), due 07/20/34(b) 144A | 2,597,798 | |
500,000 | Venture 43 CLO, Ltd., Series 2021-43A, Class D, 5.98% (3 mo. USD LIBOR + 3.47%), due 04/15/34(b) 144A | 423,005 | |
250,000 | Voya CLO, Ltd., Series 2016-3A, Class A1R, 3.93% (3 mo. USD LIBOR + 1.19%), due 10/18/31(b) 144A | 244,044 | |
660,000 | Voya CLO, Ltd., Series 2017-2A, Class A2AR, 4.16% (3 mo. USD LIBOR + 1.65%), due 06/07/30(b) 144A | 629,912 | |
260,000 | Voya CLO, Ltd., Series 2017-3A, Class DR, 9.66% (3 mo. USD LIBOR + 6.95%), due 04/20/34(b) 144A | 220,806 | |
350,000 | Wellfleet CLO, Ltd., Series 2017-2A, Class C, 6.11% (3 mo. USD LIBOR + 3.40%), due 10/20/29(b) 144A | 311,887 | |
255,000 | Whitebox CLO I, Ltd., Series 2019-1A, Class ANBR, 4.48% (3 mo. USD LIBOR + 1.70%), due 07/24/32(b) 144A | 243,258 | |
260,000 | Whitebox CLO II, Ltd., Series 2020-2A, Class A1R, 4.00% (3 mo. USD LIBOR + 1.22%), due 10/24/34(b) 144A | 250,790 | |
410,000 | Whitehorse CLO XII, Ltd., Series 2018-12A, Class D, 6.16% (3 mo. USD LIBOR + 3.65%), due 10/15/31(b) 144A | 350,703 | |
250,000 | Wind River CLO, Ltd., Series 2021-4A, Class B, 4.36% (3 mo. USD LIBOR + 1.65%), due 01/20/35(b) 144A | 232,357 |
88 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
420,000 | Z Capital Credit Partners CLO, Ltd., Series 2021-1A, Class D, 6.71% (3 mo. USD LIBOR + 4.20%), due 07/15/33(b) 144A | 374,374 | |
66,124,938 | |||
Bank Loans — 16.4% | |||
2,376,000 | 19th Holdings Golf, LLC, 2022 Term Loan B, 5.70% (1 mo. SOFR + 3.00%), due 02/07/29(b) | 2,209,680 | |
615,029 | 8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 6.87% (1 mo. USD LIBOR + 3.75%), due 10/01/25(b) | 542,379 | |
278,101 | Academy, Ltd., 2021 Term Loan, 6.31% (1 mo. USD LIBOR + 3.75%), due 11/05/27(b) | 273,002 | |
299,880 | ACProducts, Inc., 2021 Term Loan B, 7.92% (3 mo. USD LIBOR + 4.25%), due 05/17/28(b) | 219,628 | |
908,820 | ACProducts, Inc., 2021 Term Loan B, 7.13% (6 mo. USD LIBOR + 4.25%), due 05/17/28(b) | 673,516 | |
123,038 | Acrisure, LLC, 2020 Term Loan B, 6.62% (1 mo. USD LIBOR + 3.50%), due 02/15/27(b) | 112,733 | |
997,487 | Acrisure, LLC, 2021 First Lien Term Loan B, 7.37% (1 mo. USD LIBOR + 4.25%), due 02/15/27(b) | 940,132 | |
694,900 | EUR | Adevinta ASA, EUR Term Loan B, 4.44% (3 mo. EURIBOR + 3.25%), due 06/26/28(b) | 647,572 |
745,123 | Adtalem Global Education Inc., 2021 Term Loan B, 7.05% (1 mo. USD LIBOR + 4.00%), due 08/12/28(b) | 736,508 | |
578,550 | Air Canada, 2021 Term Loan B, 6.42% (3 mo. USD LIBOR + 3.50%), due 08/11/28(b) | 550,828 | |
1,424,000 | EUR | Albion Financing 3 SARL, EUR Term Loan, 5.38% (3 mo. EURIBOR + 5.25%), due 08/17/26(b) | 1,321,783 |
781,934 | Allen Media, LLC, 2021 Term Loan B, 9.20% (3 mo. USD LIBOR + 5.50%), due 02/10/27(b) | 676,373 | |
1,068,913 | Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 6.78% (1 mo. USD LIBOR + 3.75%), due 05/12/28(b) | 942,814 | |
498,741 | Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, TBD, due 05/12/28(e) | 439,905 | |
1,213,900 | AllSpring Buyer LLC, Term Loan B, 6.92% (3 mo. USD LIBOR + 3.25%), due 11/01/28(b) | 1,181,024 | |
1,179,556 | Altar Bidco, Inc., 2021 Term Loan, 5.20% (6 mo. SOFR + 3.35%), due 02/01/29(b) | 1,107,308 | |
1,474,444 | Altar Bidco, Inc., 2021 Term Loan, 5.75% (6 mo. SOFR + 3.35%), due 02/01/29(b) | 1,384,134 | |
334,796 | AMC Entertainment Holdings, Inc., 2019 Term Loan B, 5.76% (3 mo. USD LIBOR + 3.00%), due 04/22/26(b) (e) | 263,094 | |
400,000 | Amentum Government Services Holdings LLC, 2020 2nd Lien Term Loan, 12.92% (6 mo. USD LIBOR + 8.75%), due 01/31/28(b) | 370,000 | |
610,033 | Amentum Government Services Holdings LLC, 2022 Term Loan, 7.21% (3 mo. SOFR + 4.00%), due 02/15/29(b) | 584,615 | |
686,717 | Amentum Government Services Holdings LLC, 2022 Term Loan, 7.56% (3 mo. SOFR + 4.00%), due 02/15/29(b) | 658,103 | |
81,772 | Amentum Government Services Holdings LLC, Term Loan B, 7.67% (3 mo. USD LIBOR + 4.00%), due 01/29/27(b) | 78,297 | |
41,168 | Amentum Government Services Holdings LLC, Term Loan B, 8.17% (3 mo. USD LIBOR + 4.00%), due 01/29/27(b) | 39,418 | |
370,473 | Amentum Government Services Holdings LLC, Term Loan B, 8.17% (6 mo. USD LIBOR + 4.00%), due 01/29/27(b) | 354,727 | |
1,000,000 | American Airlines, Inc., 2017 Incremental Term Loan, 4.82% (1 mo. USD LIBOR + 2.00%), due 12/15/23(b) | 989,766 | |
1,710,562 | American Airlines, Inc., 2021 Term Loan, 7.46% (3 mo. USD LIBOR + 4.75%), due 04/20/28(b) | 1,661,740 |
See accompanying Notes to the Financial Statements. | 89 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,291,815 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 6.61% (1 mo. USD LIBOR + 3.50%), due 11/30/28(b) | 1,232,069 | |
1,264,986 | AmWINS Group, Inc., 2021 Term Loan B, 5.37% (1 mo. USD LIBOR + 2.25%), due 02/19/28(b) | 1,212,127 | |
401,224 | Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, 7.62% (1 mo. USD LIBOR + 4.50%), due 02/28/25(b) | 390,023 | |
346,383 | Anticimex International AB, 2021 USD Term Loan B1, 6.57% (3 mo. USD LIBOR + 3.50%), due 11/16/28(b) | 329,064 | |
187,625 | Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 6.58% (1 mo. USD LIBOR + 3.50%), due 03/11/28(b) | 176,368 | |
537,300 | AppLovin Corp., 2021 Term Loan B, 6.67% (3 mo. USD LIBOR + 3.00%), due 10/25/28(b) | 519,032 | |
1,340,119 | Arctic Canadian Diamond Co., Ltd., 2nd Lien PIK Term Loan, 7.67% (3 mo. USD LIBOR + 4.00%, 12.5% PIK), due 12/31/27(b) (f) | 1,105,464 | |
1,312,637 | EUR | Aruba Investments, Inc., 2020 EUR Term Loan, 4.68% (1 mo. EURIBOR + 4.00%), due 11/24/27(b) | 1,192,695 |
939,344 | Aruba Investments, Inc., 2020 USD Term Loan, 7.08% (1 mo. USD LIBOR + 4.00%), due 11/24/27(b) | 868,111 | |
900,000 | Asurion LLC, 2021 Second Lien Term Loan B4, 8.37% (1 mo. USD LIBOR + 5.25%), due 01/20/29(b) | 693,000 | |
498,016 | Asurion LLC, 2021 Term Loan B9, 6.37% (1 mo. USD LIBOR + 3.25%), due 07/31/27(b) | 420,824 | |
111,773 | Asurion, LLC, 2022 Term Loan B10, 7.13% (3 mo. SOFR + 3.50%), due 08/19/28(b) | 96,230 | |
603,137 | At Home Group Inc., Term Loan B, 6.28% (3 mo. USD LIBOR + 4.00%), due 07/24/28(b) | 468,185 | |
102,352 | Athenahealth, Inc., 2022 Term Loan B, 6.58% (1 mo. SOFR + 3.50%), due 02/15/29(b) | 91,964 | |
1,488,031 | Autokiniton US Holdings, Inc., 2021 Term Loan B, 7.18% (1 mo. USD LIBOR + 4.50%), due 04/06/28(b) | 1,374,569 | |
1,118,000 | EUR | Belron Luxembourg SARL, 2021 EUR Term Loan B, 2.77% (3 mo. EURIBOR + 2.50%), due 04/13/28(b) | 1,019,950 |
1,000,000 | Brown Group Holding, LLC, 2022 Term Loan B2, 6.80% (1 mo. SOFR + 3.75%), due 07/02/29(b) | 970,938 | |
153,611 | Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 5.87% (1 mo. USD LIBOR + 2.75%), due 12/23/24(b) | 150,289 | |
1,404,595 | Caesars Resort Collection, LLC, 2020 Term Loan B1, 6.62% (1 mo. USD LIBOR + 3.50%), due 07/21/25(b) | 1,389,086 | |
494,198 | Camelot U.S. Acquisition, LLC, 2020 Incremental Term Loan B, 6.12% (1 mo. USD LIBOR + 3.00%), due 10/30/26(b) | 479,063 | |
787,232 | Camelot U.S. Acquisition, LLC, Term Loan B, 6.12% (1 mo. USD LIBOR + 3.00%), due 10/30/26(b) | 764,271 | |
1,782,012 | Cano Health LLC, 2022 Term Loan, 7.13% (1 mo. SOFR + 4.00%), due 11/23/27(b) | 1,724,096 | |
563,543 | Cardinal Parent, Inc., 2020 Term Loan B, 8.17% (3 mo. USD LIBOR + 4.50%), due 11/12/27(b) | 546,637 | |
865,083 | EUR | Carnival Corp., EUR Term Loan B, 3.98% (3 mo. EURIBOR + 3.75%), due 06/30/25(b) | 788,155 |
484,879 | Carnival Corp., 2021 Incremental Term Loan B, 6.13% (6 mo. USD LIBOR + 3.25%), due 10/18/28(b) | 424,269 | |
1,931 | Carnival Corp., USD Term Loan B, 5.88% (6 mo. USD LIBOR + 3.00%), due 06/30/25(b) | 1,767 | |
800,293 | Carriage Purchaser, Inc., 2021 Term Loan B, 7.37% (1 mo. USD LIBOR + 4.25%), due 09/30/28(b) | 743,272 | |
123,564 | Castle US Holding Corp., USD Term Loan B, 6.87% (1 mo. USD LIBOR + 3.75%), due 01/29/27(b) | 100,241 | |
1,000,000 | CDK Global, Inc., 2022 USD Term Loan B, 6.61% (3 mo. SOFR + 4.50%), due 07/06/29(b) | 965,156 |
90 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
885,310 | Chamberlain Group, Inc., Term Loan B, 6.62% (1 mo. USD LIBOR + 3.50%), due 11/03/28(b) | 807,845 | |
1,469,524 | Citadel Securities, LP, 2021 Term Loan B, 5.65% (1 mo. SOFR + 2.50%), due 02/02/28(b) | 1,432,480 | |
1,003,644 | City Brewing Company, LLC, Closing Date Term Loan, 6.18% (1 mo. USD LIBOR + 3.50%), due 04/05/28(b) | 787,861 | |
1,000,000 | Clarios Global, LP, 2021 USD Term Loan B, 6.37% (1 mo. USD LIBOR + 3.25%), due 04/30/26(b) | 949,167 | |
979,813 | Clear Channel Outdoor Holdings, Inc., Term Loan B, 6.31% (3 mo. USD LIBOR + 3.50%), due 08/21/26(b) | 877,342 | |
380,000 | Cloudera, Inc., 2021 Second Lien Term Loan, 9.12% (1 mo. USD LIBOR + 6.00%), due 10/08/29(b) | 326,800 | |
835,804 | ClubCorp Holdings, Inc., 2017 Term Loan B, 6.39% (3 mo. USD LIBOR + 2.75%), due 09/18/24(b) | 771,865 | |
728,175 | Clydesdale Acquisition Holdings, Inc., Term Loan B, 7.31% (1 mo. SOFR + 4.18%), due 04/13/29(b) | 688,905 | |
1,143,254 | CMG Media Corp., 2021 Term Loan, 6.62% (1 mo. USD LIBOR + 3.50%), due 12/17/26(b) | 1,072,753 | |
665,003 | CNT Holdings I Corp., 2020 Term Loan, 6.25% (1 mo. SOFR + 3.50%), due 11/08/27(b) | 634,870 | |
2,904,925 | CommScope, Inc., 2019 Term Loan B, 6.37% (1 mo. USD LIBOR + 3.25%), due 04/06/26(b) | 2,684,636 | |
1,091,767 | Conduent Business Services, LLC, 2021 Term Loan B, 7.37% (1 mo. USD LIBOR + 4.25%), due 10/16/28(b) | 1,050,371 | |
466,418 | CoreLogic, Inc., Term Loan, 6.63% (1 mo. USD LIBOR + 3.50%), due 06/02/28(b) | 353,700 | |
716,400 | CTC Holdings, LP, Term Loan B, 8.36% (3 mo. SOFR + 5.00%), due 02/20/29(b) | 687,744 | |
713,688 | DCert Buyer, Inc., 2019 Term Loan B, 6.90% (3 mo. USD LIBOR + 4.00%), due 10/16/26(b) | 682,592 | |
915,200 | DCert Buyer, Inc., 2021 2nd Lien Term Loan, 9.90% (3 mo. USD LIBOR + 7.00%), due 02/19/29(b) | 843,128 | |
98,682 | Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 6.80% (1 mo. SOFR + 3.75%), due 04/09/27(b) | 93,810 | |
748,087 | Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, TBD, due 04/09/27(e) | 711,150 | |
288,100 | Deerfield Dakota Holding, LLC, 2021 USD 2nd Lien Term Loan, 9.87% (1 mo. USD LIBOR + 6.75%), due 04/07/28(b) | 280,177 | |
850,000 | Del Monte Foods, Inc., 2022 Term Loan, 7.37% (1 mo. SOFR + 4.35%), due 05/16/29(b) | 814,937 | |
1,000,000 | Delta 2 (LUX) SARL, 2018 USD Term Loan, 5.62% (1 mo. USD LIBOR + 2.50%), due 02/01/24(b) | 991,786 | |
2,000,160 | DirecTV Financing, LLC, Term Loan, 8.12% (1 mo. USD LIBOR + 5.00%), due 08/02/27(b) | 1,868,588 | |
1,668,409 | Dun & Bradstreet Corp. (The), Term Loan, 6.33% (1 mo. USD LIBOR + 3.25%), due 02/06/26(b) | 1,617,731 | |
353,225 | Electron BidCo Inc., 2021 Term Loan, 6.12% (1 mo. USD LIBOR + 3.00%), due 11/01/28(b) | 335,637 | |
264,511 | Embecta Corp., Term Loan B, TBD, due 03/30/29(e) | 257,700 | |
413,600 | Empire Today, LLC, 2021 Term Loan B, 7.68% (1 mo. USD LIBOR + 5.00%), due 04/03/28(b) | 330,913 | |
945,057 | Endure Digital Inc., Term Loan, 6.18% (1 mo. USD LIBOR + 3.50%), due 02/10/28(b) | 803,298 | |
340,290 | EP Purchaser, LLC, 2021 Term Loan B, 7.17% (3 mo. USD LIBOR + 3.50%), due 11/06/28(b) | 332,988 | |
178,862 | Equinox Holdings, Inc., 2020 Term Loan B2, 12.67% (3 mo. USD LIBOR + 9.00%), due 03/08/24(b) | 147,561 | |
72,119 | EyeCare Partners, LLC, 2020 Term Loan, 7.42% (3 mo. USD LIBOR + 3.75%), due 02/18/27(b) | 65,568 |
See accompanying Notes to the Financial Statements. | 91 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
440,000 | EyeCare Partners, LLC, 2021 2nd Lien Term Loan, 10.42% (3 mo. USD LIBOR + 6.75%), due 11/15/29(b) | 404,800 | |
477,600 | EyeCare Partners, LLC, 2021 Incremental Term Loan, 7.42% (3 mo. USD LIBOR + 3.75%), due 11/15/28(b) | 433,422 | |
1,000,000 | EyeCare Partners, LLC, 2022 Incremental Term Loan, TBD, due 11/15/28(e) | 935,000 | |
823,775 | Fanatics Commerce Intermediate Holdco, LLC, Term Loan B, 6.06% (3 mo. USD LIBOR + 3.25%), due 11/24/28(b) | 797,002 | |
190,000 | First Brands Group, LLC, 2021 2nd Lien Term Loan, 11.87% (3 mo. USD LIBOR + 8.50%), due 03/30/28(b) | 182,400 | |
305,350 | First Brands Group, LLC, 2021 Term Loan, 8.37% (3 mo. SOFR + 5.00%), due 03/30/27(b) | 294,186 | |
158,475 | First Student Bidco, Inc., Term Loan B, 6.64% (3 mo. USD LIBOR + 3.00%), due 07/21/28(b) | 146,458 | |
484,102 | Focus Financial Partners, LLC, 2021 Term Loan B4, 5.62% (1 mo. USD LIBOR + 2.50%), due 06/30/28(b) | 469,700 | |
941,465 | Freeport LNG Investments, LLLP, Term Loan B, 6.21% (3 mo. USD LIBOR + 3.50%), due 12/21/28(b) | 872,032 | |
113,573 | EUR | Froneri International, Ltd., 2020 EUR Term Loan B1, 3.01% (6 mo. EURIBOR + 2.38%), due 01/29/27(b) | 100,581 |
431,931 | Froneri International, Ltd., 2020 USD Term Loan, 5.37% (1 mo. USD LIBOR + 2.25%), due 01/29/27(b) | 408,580 | |
2,159,358 | Gainwell Acquisition Corp., Term Loan B, 7.67% (3 mo. USD LIBOR + 4.00%), due 10/01/27(b) | 2,063,986 | |
2,323,926 | Garda World Security Corp., 2021 Term Loan B, 7.24% (3 mo. USD LIBOR + 4.25%), due 10/30/26(b) | 2,198,046 | |
730,000 | Garda World Security Corp., 2022 Term Loan B, 7.05% (3 mo. SOFR + 4.25%), due 02/01/29(b) | 682,322 | |
997,442 | Genesee & Wyoming, Inc., Term Loan, TBD, due 12/30/26(e) | 973,316 | |
327,114 | Global Medical Response, Inc., 2020 Term Loan B, 6.81% (1 mo. USD LIBOR + 4.25%), due 10/02/25(b) | 283,772 | |
170,637 | Global Tel*Link Corp., 2018 1st Lien Term Loan, 7.06% (3 mo. USD LIBOR + 4.25%), due 11/29/25(b) | 153,627 | |
798,651 | Graham Packaging Co. Inc., 2021 Term Loan, 6.12% (1 mo. USD LIBOR + 3.00%), due 08/04/27(b) | 760,549 | |
4,036,922 | Gray Television, Inc., 2021 Term Loan D, TBD, due 12/01/28(e) | 3,933,476 | |
1,498,735 | Great Outdoors Group, LLC, 2021 Term Loan B1, 6.87% (1 mo. USD LIBOR + 3.75%), due 03/06/28(b) | 1,387,266 | |
530,031 | Greystone Select Financial LLC, Term Loan B, 7.74% (3 mo. USD LIBOR + 5.00%), due 06/16/28(b) | 498,229 | |
1,285,880 | Griffon Corp., Term Loan B, 5.49% (3 mo. SOFR + 2.25%), due 01/24/29(b) | 1,238,866 | |
2,440,533 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 5.12% (1 mo. USD LIBOR + 2.00%), due 11/15/27(b) | 2,321,557 | |
957,600 | Hexion Holdings Corp., 2022 USD Term Loan, 7.41% (3 mo. SOFR + 4.50%), due 03/15/29(b) | 821,621 | |
664,615 | Hornblower Sub, LLC, 2020 Repriced Term Loan B, 8.17% (3 mo. USD LIBOR + 4.50%), due 04/27/25(b) | 469,662 | |
995,967 | Hudson River Trading LLC, 2021 Term Loan, 6.16% (3 mo. SOFR + 3.00%), due 03/20/28(b) | 902,179 | |
30,823 | Hyland Software, Inc., 2018 1st Lien Term Loan, 6.62% (1 mo. USD LIBOR + 3.50%), due 07/01/24(b) | 29,927 | |
1,325,000 | II-VI, Inc., 2022 Term Loan B, 5.31% (1 mo. USD LIBOR + 2.75%), due 07/02/29(b) | 1,286,354 | |
505,313 | Illuminate Buyer, LLC, 2021 Term Loan, 6.62% (1 mo. USD LIBOR + 3.50%), due 06/30/27(b) | 461,519 |
92 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
486,427 | EUR | Ineos Finance Plc, 2021 EUR Term Loan B, 3.44% (1 mo. EURIBOR + 2.75%), due 11/08/28(b) | 429,471 |
839,375 | Ingram Micro Inc., 2021 Term Loan B, 7.17% (3 mo. USD LIBOR + 3.50%), due 06/30/28(b) | 819,440 | |
702,620 | IRB Holding Corp., 2020 Term Loan B, 5.87% (1 mo. USD LIBOR + 2.75%), due 02/05/25(b) | 681,040 | |
442,125 | IRB Holding Corp., 2022 Term Loan B, 5.70% (1 mo. SOFR + 3.00%), due 12/15/27(b) | 414,216 | |
2,714,079 | Jazz Financing Lux SARL, USD Term Loan, 6.62% (1 mo. USD LIBOR + 3.50%), due 05/05/28(b) | 2,627,568 | |
1,951,193 | Jump Financial, LLC, Term Loan B, 8.31% (3 mo. SOFR + 4.50%), due 08/07/28(b) | 1,819,488 | |
756,200 | Knight Health Holdings LLC, Term Loan B, 8.37% (1 mo. USD LIBOR + 5.25%), due 12/23/28(b) | 554,232 | |
841,138 | Lakeshore Intermediate LLC, Term Loan, 6.13% (1 mo. USD LIBOR + 3.50%), due 09/29/28(b) | 809,069 | |
316,964 | Les Schwab Tire Centers, Term Loan B, 6.58% (3 mo. USD LIBOR + 3.25%), due 11/02/27(b) | 303,493 | |
303,155 | Leslie's Poolmart, Inc., 2021 Term Loan B, 5.62% (1 mo. USD LIBOR + 2.50%), due 03/09/28(b) | 289,817 | |
1,196,250 | LIDS Holdings, Inc., Term Loan, 8.99% (3 mo. SOFR + 5.50%), due 12/14/26(b) | 1,172,454 | |
1,176,000 | EUR | Lonza Group AG, EUR Term Loan B, 4.00% (3 mo. EURIBOR + 4.00%), due 07/03/28(b) | 1,008,060 |
694,750 | LRS Holdings, LLC, Term Loan B, 7.37% (1 mo. USD LIBOR + 4.25%), due 08/31/28(b) | 660,012 | |
10,177 | EUR | MA FinanceCo., LLC, 2020 EUR Term Loan B, 5.02% (3 mo. EURIBOR + 4.50%), due 06/05/25(b) | 9,852 |
1,490,731 | EUR | MA FinanceCo., LLC, 2020 EUR Term Loan B, 5.32% (3 mo. EURIBOR + 4.50%), due 06/05/25(b) | 1,443,052 |
246,875 | Madison IAQ LLC, Term Loan, 6.82% (3 mo. USD LIBOR + 3.25%), due 06/21/28(b) | 228,668 | |
744,375 | Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 7.87% (1 mo. USD LIBOR + 4.75%), due 07/27/28(b) | 673,659 | |
930,000 | Magenta Buyer LLC, 2021 USD 2nd Lien Term Loan, 11.37% (1 mo. USD LIBOR + 8.25%), due 07/27/29(b) | 853,275 | |
2,482,437 | MajorDrive Holdings IV LLC, Term Loan B, 7.13% (3 mo. USD LIBOR + 4.00%), due 06/01/28(b) | 2,290,048 | |
997,375 | Mavis Tire Express Services Corp., 2021 Term Loan B, 7.25% (1 mo. SOFR + 4.00%), due 05/04/28(b) | 938,363 | |
2,389 | McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 7.82% (3 mo. USD LIBOR + 4.75%), due 07/28/28(b) | 2,208 | |
943,651 | McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 8.32% (6 mo. USD LIBOR + 4.75%), due 07/28/28(b) | 872,287 | |
2,695,412 | Medline Borrower, LP, USD Term Loan B, 6.37% (1 mo. USD LIBOR + 3.25%), due 10/23/28(b) | 2,484,647 | |
136,707 | MH Sub I, LLC, 2020 Incremental Term Loan, 6.27% (1 mo. USD LIBOR + 3.75%), due 09/13/24(b) | 130,555 | |
592,673 | Michaels Cos, Inc., 2021 Term Loan B, 7.92% (3 mo. USD LIBOR + 4.25%), due 04/15/28(b) | 481,917 | |
242,040 | Mister Car Wash Holdings, Inc., 2019 Term Loan B, 6.12% (1 mo. USD LIBOR + 3.00%), due 05/14/26(b) | 234,079 | |
3,007,000 | MKS Instruments, Inc., 2022 USD Term Loan B, 5.87% (1 mo. SOFR + 2.75%), due 08/17/29(b) | 2,942,163 | |
710,411 | MKS Instruments, Inc., 2022 USD Term Loan B, TBD, due 08/17/29(e) | 695,093 | |
512,081 | Monitronics International Inc., Takeback Term Loan, 10.31% (3 mo. USD LIBOR + 7.50%), due 03/29/24(b) | 343,735 |
See accompanying Notes to the Financial Statements. | 93 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,235,126 | Naked Juice LLC, Term Loan, 6.90% (3 mo. SOFR + 3.25%), due 01/24/29(b) | 1,136,316 | |
1,466,338 | NCR Corp., 2019 Term Loan, 2.50% (3 mo. USD LIBOR), due 08/28/26(b) | 1,411,350 | |
1,470,117 | NCR Corp., 2019 Term Loan, TBD, due 08/28/26(e) | 1,414,988 | |
1,000,252 | Olympus Water US Holding Corp., 2021 USD Term Loan B, 7.42% (3 mo. USD LIBOR + 3.75%), due 11/09/28(b) | 914,606 | |
918,375 | One Call Corp., 2021 Term Loan, 8.31% (3 mo. USD LIBOR + 5.50%), due 04/22/27(b) | 711,741 | |
1,184,600 | EUR | Organon & Co., EUR Term Loan B, 3.00% (6 mo. EURIBOR + 3.00%), due 06/02/28(b) | 1,106,336 |
1,036,017 | Organon & Co., USD Term Loan, 6.19% (3 mo. USD LIBOR + 3.00%), due 06/02/28(b) | 1,014,002 | |
467,000 | Oscar AcquisitionCo, LLC, Term Loan B, 8.15% (3 mo. SOFR + 4.50%), due 04/29/29(b) | 431,099 | |
416,882 | Pacific Bells, LLC, Term Loan B, 8.31% (1 mo. USD LIBOR + 4.50%), due 11/10/28(b) | 393,433 | |
1,021,865 | Parexel International Corp., 2021 1st Lien Term Loan, 6.37% (1 mo. USD LIBOR + 3.25%), due 11/15/28(b) | 977,477 | |
266,512 | Particle Investments SARL, Term Loan, 8.92% (3 mo. USD LIBOR + 5.25%), due 02/18/27(b) | 259,849 | |
843,331 | EUR | Paysafe Holdings (US) Corp., EUR Term Loan B2, 3.69% (1 mo. EURIBOR + 3.00%), due 06/28/28(b) | 710,505 |
1,081,703 | PECF USS Intermediate Holding III Corp., Term Loan B, 7.37% (1 mo. USD LIBOR + 4.25%), due 12/15/28(b) | 928,236 | |
563,069 | Peraton Corp., 2nd Lien Term Loan B1, 10.57% (1 mo. USD LIBOR + 7.75%), due 02/01/29(b) | 532,804 | |
1,505,861 | Peraton Corp., Term Loan B, 6.87% (1 mo. USD LIBOR + 3.75%), due 02/01/28(b) | 1,431,132 | |
2,029,000 | PetSmart, Inc., 2021 Term Loan B, 6.87% (1 mo. USD LIBOR + 3.75%), due 02/11/28(b) | 1,925,013 | |
311,588 | PetSmart, Inc., 2021 Term Loan B, TBD, due 02/11/28(e) | 295,619 | |
997,462 | Planview Parent, Inc., Term Loan, TBD, due 12/17/27(e) | 951,745 | |
900,000 | Polyconcept Holding BV, Term Loan B, 9.05% (3 mo. SOFR + 5.50%), due 05/18/29(b) | 856,125 | |
10,076 | Presidio Holdings, Inc., 2020 Term Loan B, 6.62% (1 mo. USD LIBOR + 3.50%), due 01/22/27(b) | 9,799 | |
227,257 | Presidio Holdings, Inc., 2020 Term Loan B, 6.31% (3 mo. USD LIBOR + 3.50%), due 01/22/27(b) | 221,007 | |
20,298 | Prime Security Services Borrower, LLC, 2021 Term Loan, 5.30% (1 mo. USD LIBOR + 2.75%), due 09/23/26(b) | 19,698 | |
744,375 | Proofpoint, Inc., 1st Lien Term Loan, 6.32% (3 mo. USD LIBOR + 3.25%), due 08/31/28(b) | 700,736 | |
606,950 | Quikrete Holdings, Inc., 2021 Term Loan B1, 6.12% (1 mo. USD LIBOR + 3.00%), due 06/11/28(b) | 585,707 | |
951,732 | Rackspace Technology Global, Inc., 2021 Term Loan B, 5.62% (3 mo. USD LIBOR + 2.75%), due 02/15/28(b) | 683,164 | |
410,337 | Radiate Holdco, LLC, 2021 Term Loan B, 6.37% (1 mo. USD LIBOR + 3.25%), due 09/25/26(b) | 380,587 | |
194,337 | Radiology Partners, Inc., 2018 1st Lien Term Loan B, 4.36% (1 mo. USD LIBOR + 4.25%), due 07/09/25(b) | 165,186 | |
166,625 | Radiology Partners, Inc., 2018 1st Lien Term Loan B, 7.30% (1 mo. USD LIBOR + 4.25%), due 07/09/25(b) | 141,631 | |
870,000 | Redstone Holdco 2 LP, 2021 2nd Lien Term Loan, 10.52% (3 mo. USD LIBOR + 7.75%), due 04/27/29(b) | 626,400 | |
782,100 | Redstone Holdco 2 LP, 2021 Term Loan, 7.53% (3 mo. USD LIBOR + 4.75%), due 04/27/28(b) | 584,620 | |
288,330 | Resolute Investment Managers, Inc., 2020 Term Loan C, 8.14% (3 mo. USD LIBOR + 4.50%), due 04/30/24(b) | 257,334 | |
1,837,618 | RVR Dealership Holdings, LLC, Term Loan B, 6.87% (1 mo. SOFR + 3.75%), due 02/08/28(b) | 1,628,589 |
94 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
96,765 | Ryan Specialty Group, LLC, Term Loan, 6.04% (1 mo. SOFR + 3.00%), due 09/01/27(b) | 93,862 | |
997,500 | Scientific Games International, Inc., 2022 USD Term Loan, 5.91% (1 mo. SOFR + 3.00%), due 04/14/29(b) | 972,147 | |
1,023,408 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 6.37% (1 mo. USD LIBOR + 3.25%), due 12/31/25(b) | 971,811 | |
1,240,540 | Sinclair Television Group, Inc., 2022 Term Loan B4, 6.88% (1 mo. SOFR + 3.75%), due 04/21/29(b) | 1,176,445 | |
1,104,261 | Sinclair Television Group, Inc., 2022 Term Loan B4, TBD, due 04/21/29(e) | 1,047,207 | |
1,933,803 | SkyMiles IP, Ltd., 2020 Skymiles Term Loan B, 6.46% (3 mo. USD LIBOR + 3.75%), due 10/20/27(b) | 1,943,339 | |
2,236,901 | Solis IV BV, USD Term Loan B1, 6.34% (3 mo. SOFR + 3.50%), due 02/26/29(b) | 1,852,154 | |
1,126,487 | Southwestern Energy Co., 2021 Term Loan, 6.20% (3 mo. SOFR + 2.50%), due 06/22/27(b) | 1,110,998 | |
601,516 | Spencer Spirit IH LLC, Term Loan B, 8.81% (3 mo. USD LIBOR + 6.00%), due 06/19/26(b) | 589,486 | |
1,170,000 | SPX Flow, Inc., 2022 Term Loan, 7.63% (1 mo. SOFR + 4.50%), due 04/05/29(b) | 1,083,712 | |
492,053 | Station Casinos LLC, 2020 Term Loan B, 5.37% (1 mo. USD LIBOR + 2.25%), due 02/08/27(b) | 472,576 | |
820,761 | Summer (BC) Holdco B SARL, 2021 USD Term Loan B2, 8.17% (3 mo. USD LIBOR + 4.50%), due 12/04/26(b) | 774,593 | |
84,549 | Surf Holdings, LLC, USD Term Loan, 6.67% (3 mo. USD LIBOR + 3.50%), due 03/05/27(b) | 81,832 | |
470,800 | Telenet Financing USD LLC, 2020 USD Term Loan AR, 4.82% (1 mo. USD LIBOR + 2.00%), due 04/30/28(b) | 449,614 | |
309,045 | Thermostat Purchaser III, Inc., Term Loan, 7.57% (3 mo. USD LIBOR + 4.50%), due 08/31/28(b) | 288,957 | |
334,782 | TKC Holdings, Inc., 2021 Term Loan, 9.18% (3 mo. USD LIBOR + 5.50%), due 05/15/28(b) | 289,272 | |
750,501 | Triton Water Holdings, Inc., Term Loan, 7.17% (3 mo. USD LIBOR + 3.50%), due 03/31/28(b) | 674,513 | |
182,979 | TruGreen Limited Partnership, 2020 2nd Lien Term Loan, 11.62% (1 mo. USD LIBOR + 8.50%), due 11/02/28(b) | 164,681 | |
948,062 | Tutor Perini Corp., Term Loan B, 7.87% (1 mo. USD LIBOR + 4.75%), due 08/18/27(b) | 881,697 | |
631,889 | Twin River Worldwide Holdings, Inc., 2021 Term Loan B, 5.93% (1 mo. USD LIBOR + 3.25%), due 10/02/28(b) | 572,255 | |
1,896,725 | U.S. Renal Care, Inc., 2019 Term Loan B, 8.12% (1 mo. USD LIBOR + 5.00%), due 06/26/26(b) | 1,369,435 | |
787,059 | Uber Technologies, Inc., 2021 1st Lien Term Loan B, 6.57% (3 mo. USD LIBOR + 3.50%), due 04/04/25(b) | 772,711 | |
2,014,472 | Uber Technologies, Inc., 2021 Term Loan B, 6.57% (3 mo. USD LIBOR + 3.50%), due 02/25/27(b) | 1,969,146 | |
534,706 | Uber Technologies, Inc., 2021 Term Loan B, TBD, due 02/25/27(e) | 522,675 | |
1,082,208 | UFC Holdings, LLC, 2021 Term Loan B, 5.52% (3 mo. USD LIBOR + 2.75%), due 04/29/26(b) | 1,041,625 | |
500,000 | UFC Holdings, LLC, 2021 Term Loan B, TBD, due 04/29/26(e) | 481,250 | |
699,536 | Ultimate Software Group, Inc. (The), 2021 Term Loan, 5.54% (3 mo. USD LIBOR + 3.25%), due 05/04/26(b) | 663,467 | |
1,999,053 | United Airlines, Inc., 2021 Term Loan B, 6.53% (3 mo. USD LIBOR + 3.75%), due 04/21/28(b) | 1,916,280 | |
1,429,200 | UST Holdings, Ltd., Term Loan, 6.83% (1 mo. USD LIBOR + 3.75%), due 11/20/28(b) | 1,397,043 | |
1,726,512 | Verscend Holding Corp., 2021 Term Loan B, 7.12% (1 mo. USD LIBOR + 4.00%), due 08/27/25(b) | 1,684,788 |
See accompanying Notes to the Financial Statements. | 95 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,253,700 | Vertex Aerospace Services Corp., 2021 First Lien Term Loan, 6.87% (1 mo. USD LIBOR + 3.75%), due 12/06/28(b) | 1,222,357 | |
1,349,112 | Vertiv Group Corp., 2021 Term Loan B, 5.30% (1 mo. USD LIBOR + 2.75%), due 03/02/27(b) | 1,285,450 | |
350,000 | Vertiv Group Corp., 2021 Term Loan B, TBD, due 03/02/27(e) | 333,484 | |
420,000 | VFH Parent LLC, 2022 Term Loan B, 6.12% (1 mo. SOFR + 3.00%), due 01/13/29(b) | 402,675 | |
107,555 | ViaSat, Inc., Term Loan, 7.65% (1 mo. SOFR + 4.50%), due 03/02/29(b) | 95,589 | |
537,600 | Virgin Media Bristol LLC, 2020 USD Term Loan Q, 6.07% (1 mo. USD LIBOR + 3.25%), due 01/31/29(b) | 521,856 | |
1,649,297 | Virgin Media Bristol LLC, USD Term Loan N, 5.32% (1 mo. USD LIBOR + 2.50%), due 01/31/28(b) | 1,577,828 | |
330,000 | Virgin Pulse, Inc., 2021 2nd Lien Term Loan, 10.37% (1 mo. USD LIBOR + 7.25%), due 04/06/29(b) | 277,200 | |
1,367,391 | Virgin Pulse, Inc., 2021 Term Loan, 7.12% (1 mo. USD LIBOR + 4.00%), due 04/06/28(b) | 1,196,467 | |
2,357,444 | VM Consolidated, Inc., 2021 Term Loan B, 6.13% (6 mo. USD LIBOR + 3.25%), due 03/24/28(b) | 2,306,365 | |
320,000 | VT Topco, Inc., 2021 2nd Lien Term Loan, 9.87% (1 mo. USD LIBOR + 6.75%), due 07/31/26(b) | 312,000 | |
12,468 | VT Topco, Inc., 2021 Delayed Draw Term Loan, 6.87% (1 mo. USD LIBOR + 3.75%), due 08/01/25(b) | 12,000 | |
355,274 | VT Topco, Inc., 2021 Incremental Term Loan, 6.87% (1 mo. USD LIBOR + 3.75%), due 08/01/25(b) | 341,951 | |
3,300 | Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 7.28% (1 mo. USD LIBOR + 2.75%), due 08/18/28(b) | 2,954 | |
106,002 | Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 7.28% (3 mo. USD LIBOR + 4.50%), due 08/18/28(b) | 94,871 | |
1,071,900 | Western Dental Services, Inc., 2021 Term Loan B, 7.62% (1 mo. USD LIBOR + 4.50%), due 08/18/28(b) | 959,350 | |
734,450 | Worldwide Express Operations, LLC, 2021 1st Lien Term Loan, 7.67% (3 mo. USD LIBOR + 4.00%), due 07/26/28(b) | 671,655 | |
1,545,590 | WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, 6.92% (3 mo. USD LIBOR + 3.25%), due 12/22/28(b) | 1,481,283 | |
1,741,899 | WP CPP Holdings, LLC, 2018 Term Loan, 6.56% (3 mo. USD LIBOR + 3.75%), due 04/30/25(b) | 1,564,081 | |
380,000 | WP CPP Holdings, LLC, 2019 2nd Lien Incremental Term Loan, 10.56% (3 mo. USD LIBOR + 7.75%), due 04/30/26(b) | 320,150 | |
179,918,264 | |||
Convertible Debt — 0.6% | |||
225,000 | Airbnb, Inc., 5.66%, due 03/15/26(g) | 187,425 | |
480,000 | Apollo Commercial Real Estate Finance, Inc. REIT, 5.38%, due 10/15/23 | 471,900 | |
35,000 | Array Technologies, Inc., 1.00%, due 12/01/28 144A | 31,221 | |
200,000 | Blackstone Mortgage Trust, Inc. REIT, 5.50%, due 03/15/27 | 170,625 | |
155,000 | Booking Holdings, Inc., 0.75%, due 05/01/25 | 186,976 | |
925,000 | Cloudflare, Inc., 6.98%, due 08/15/26(g) | 723,350 | |
60,000 | Datadog, Inc., 0.13%, due 06/15/25 | 71,550 | |
990,000 | DISH Network Corp., 3.38%, due 08/15/26 | 683,595 | |
1,080,000 | DraftKings Holdings, Inc., 9.24%, due 03/15/28(g) | 707,872 | |
215,000 | Enphase Energy, Inc., 0.00%, due 03/01/28(g) | 256,280 | |
95,000 | EQT Corp., 1.75%, due 05/01/26 | 262,268 | |
185,000 | Expedia Group, Inc., 4.34%, due 02/15/26(g) | 160,937 |
96 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Convertible Debt — continued | |||
76,000 | Gannett Co., Inc., 6.00%, due 12/01/27 | 68,800 | |
140,000 | Liberty Latin America, Ltd., 2.00%, due 07/15/24(h) | 123,118 | |
470,000 | Liberty Media Corp.-Liberty Formula One, 2.25%, due 08/15/27 144A | 437,335 | |
90,000 | Liberty TripAdvisor Holdings, Inc., 0.50%, due 06/30/51 144A | 64,485 | |
85,000 | MercadoLibre, Inc., 2.00%, due 08/15/28 | 167,748 | |
110,000 | MongoDB, Inc., 0.25%, due 01/15/26 | 128,673 | |
75,000 | Pioneer Natural Resources Co., 0.25%, due 05/15/25 | 162,825 | |
160,000 | Pure Storage, Inc., 0.13%, due 04/15/23 | 181,040 | |
110,000 | Sarepta Therapeutics, Inc., 1.50%, due 11/15/24 | 183,590 | |
155,000 | Southwest Airlines Co., 1.25%, due 05/01/25 | 177,514 | |
245,000 | Stem, Inc., 0.50%, due 12/01/28 144A | 183,015 | |
500,000 | Sunrun, Inc., 11.40%, due 02/01/26(g) | 357,233 | |
245,000 | Uber Technologies, Inc., 6.01%, due 12/15/25(g) (h) | 204,552 | |
210,000 | Vishay Intertechnology, Inc., 2.25%, due 06/15/25 | 195,699 | |
175,000 | Wolfspeed, Inc., 0.25%, due 02/15/28 144A | 183,925 | |
185,000 | Zscaler, Inc., 0.13%, due 07/01/25 | 236,522 | |
6,970,073 | |||
Corporate Debt — 32.1% | |||
100,000 | AbbVie, Inc., 4.05%, due 11/21/39 | 80,724 | |
90,000 | Abercrombie & Fitch Management Co., 8.75%, due 07/15/25 144A | 87,870 | |
290,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 279,311 | |
1,220,000 | Abu Dhabi Crude Oil Pipeline, LLC, 4.60%, due 11/02/47 144A | 1,091,683 | |
427,350 | Accelerate360 Holdings LLC, 8.00%, due 03/01/28 144A | 456,329 | |
290,000 | Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, due 05/01/28 144A | 243,355 | |
370,000 | AdaptHealth LLC, 4.63%, due 08/01/29 144A | 297,282 | |
270,000 | AdaptHealth LLC, 6.13%, due 08/01/28 144A | 242,383 | |
245,000 | EUR | Adevinta ASA, 3.00%, due 11/15/27 144A | 206,562 |
1,040,000 | EUR | Adient Global Holdings, Ltd., 3.50%, due 08/15/24(i) | 943,258 |
355,000 | Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A | 320,261 | |
2,045,000 | Advanced Drainage Systems, Inc., 6.38%, due 06/15/30 144A | 1,986,165 | |
430,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32 | 323,910 | |
1,900,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 1,897,923 | |
250,000 | AES Corp. (The), 2.45%, due 01/15/31 | 191,627 | |
685,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 540,879 | |
400,000 | AFC Gamma, Inc. REIT, 5.75%, due 05/01/27 144A | 321,339 | |
240,000 | Air Canada, 3.88%, due 08/15/26 144A | 206,400 | |
1,015,000 | Akbank TAS, 6.80%, due 02/06/26(h) 144A | 907,304 | |
570,000 | Akumin Escrow, Inc., 7.50%, due 08/01/28 144A | 436,193 | |
190,000 | Akumin, Inc., 7.00%, due 11/01/25 144A | 156,355 | |
4,110,000 | Alibaba Group Holding, Ltd., 3.15%, due 02/09/51 | 2,413,630 | |
410,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, due 02/15/28 144A | 203,700 | |
500,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, due 06/01/29(h) 144A | 323,739 | |
440,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 392,951 | |
240,000 | Allison Transmission, Inc., 4.75%, due 10/01/27 144A | 211,734 | |
1,900,000 | Altice France Holding SA, 10.50%, due 05/15/27 144A | 1,492,536 | |
580,000 | Altria Group, Inc., 5.95%, due 02/14/49 | 481,832 |
See accompanying Notes to the Financial Statements. | 97 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
180,000 | AMC Entertainment Holdings, Inc., 7.50%, due 02/15/29 144A | 139,359 | |
90,000 | AMC Entertainment Holdings, Inc., 10.00% (10.00% Cash or 12.00% PIK, 5.00% Cash or 6.00% PIK), due 06/15/26 144A | 61,573 | |
6,650,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 303,785 |
340,230 | American Airlines Pass Through Trust, 4.95%, due 08/15/26 | 309,856 | |
870,000 | American Airlines, Inc., 11.75%, due 07/15/25 144A | 909,950 | |
350,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, due 04/20/26 144A | 329,292 | |
1,020,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.75%, due 04/20/29 144A | 891,761 | |
190,000 | American Axle & Manufacturing, Inc., 5.00%, due 10/01/29 | 144,159 | |
431,639 | American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26 144A | 477,501 | |
1,890,000 | American Tower Corp. REIT, 2.70%, due 04/15/31 | 1,485,731 | |
440,000 | American Transmission Systems, Inc., 2.65%, due 01/15/32 144A | 346,075 | |
1,055,000 | Ameriprise Financial, Inc., 4.50%, due 05/13/32 | 994,573 | |
445,000 | Anglo American Capital Plc, 2.88%, due 03/17/31 144A | 345,335 | |
365,000 | Anglo American Capital Plc, 3.88%, due 03/16/29 144A | 314,067 | |
295,000 | Anglo American Capital Plc, 3.95%, due 09/10/50 144A | 201,498 | |
685,000 | AngloGold Ashanti Holdings Plc, 3.75%, due 10/01/30 | 532,318 | |
200,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, due 01/23/59 | 191,717 | |
380,000 | Antares Holdings, LP, 3.95%, due 07/15/26 144A | 325,357 | |
1,645,000 | Aon Corp./Aon Global Holdings Plc, 5.00%, due 09/12/32 | 1,578,185 | |
470,000 | Apollo Commercial Real Estate Finance, Inc. REIT, 4.63%, due 06/15/29 144A | 354,991 | |
164,820 | EUR | ARD Finance SA, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(i) | 111,008 |
750,000 | ARD Finance SA, 6.50% (6.50% Cash or 7.25% PIK), due 06/30/27 144A | 515,048 | |
1,540,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc, 4.00%, due 09/01/29 144A | 1,130,503 | |
210,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc, 6.00%, due 06/15/27 144A | 198,251 | |
650,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A | 608,933 | |
809,875 | Ardonagh Midco 2 Plc, 11.50% (11.50% Cash or 12.75% PIK), due 01/15/27 144A | 826,073 | |
1,370,000 | Ares Capital Corp., 2.88%, due 06/15/28 | 1,080,398 | |
900,000 | Ashtead Capital, Inc., 2.45%, due 08/12/31 144A | 662,813 | |
365,000 | At Home Group, Inc., 4.88%, due 07/15/28(h) 144A | 255,633 | |
557,000 | AT&T, Inc., 3.50%, due 09/15/53 | 372,059 | |
1,110,000 | AT&T, Inc., 3.55%, due 09/15/55 | 731,434 | |
450,000 | AT&T, Inc., 3.65%, due 09/15/59 | 292,495 | |
275,000 | AT&T, Inc., 3.80%, due 12/01/57 | 186,345 | |
1,350,000 | AthenaHealth Group, Inc., 6.50%, due 02/15/30(h) 144A | 1,069,808 | |
390,000 | Australia & New Zealand Banking Group, Ltd., 2.95% (5 yr. CMT + 1.29%), due 07/22/30(b) 144A | 354,739 | |
60,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 52,842 | |
160,000 | Aviation Capital Group LLC, 5.50%, due 12/15/24 144A | 155,043 | |
735,000 | Avient Corp., 7.13%, due 08/01/30 144A | 680,033 | |
780,000 | Avnet, Inc., 5.50%, due 06/01/32 | 709,469 | |
650,000 | Avolon Holdings Funding, Ltd., 4.25%, due 04/15/26 144A | 583,553 | |
50,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 49,185 | |
400,000 | B3 SA - Brasil Bolsa Balcao, 4.13%, due 09/20/31 144A | 313,613 | |
2,265,000 | Bain Capital Specialty Finance, Inc., 2.55%, due 10/13/26 | 1,857,465 | |
330,000 | Ball Corp., 3.13%, due 09/15/31 | 249,457 | |
200,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, 5.88% (5 yr. EUR swap annual + 5.66%)(b) (i) (j) | 179,621 |
1,090,000 | Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(b) (j) 144A | 931,487 |
98 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
800,000 | Banco Santander SA, 4.18% (1 yr. CMT + 2.00%), due 03/24/28(b) | 722,014 | |
1,200,000 | Banco Santander SA, 7.50% (5 yr. USD ICE swap + 4.99%)(b) (i) (j) | 1,119,606 | |
220,000 | Bank of America Corp., 2.48% (5 yr. CMT + 1.20%), due 09/21/36(b) | 159,235 | |
1,175,000 | Barclays Plc, 4.38% (5 yr. CMT + 3.41%)(b) (j) | 727,090 | |
1,515,000 | Barclays Plc, 6.13% (5 yr. CMT + 5.87%)(b) (j) | 1,278,433 | |
535,000 | GBP | Barclays Plc, 6.38% (5 yr. UK Government Bond + 6.02%)(b) (i) (j) | 493,453 |
350,000 | Barclays Plc, 8.00% (5 yr. CMT + 5.67%)(b) (j) | 325,553 | |
700,000 | Bath & Body Works, Inc., 5.25%, due 02/01/28 | 608,218 | |
290,000 | Bath & Body Works, Inc., 6.63%, due 10/01/30 144A | 252,806 | |
30,000 | Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A | 17,840 | |
80,000 | Bausch Health Cos., Inc., 5.00%, due 01/30/28 144A | 29,608 | |
420,000 | Bausch Health Cos., Inc., 5.50%, due 11/01/25 144A | 334,315 | |
340,000 | Bausch Health Cos., Inc., 6.13%, due 02/01/27 144A | 236,232 | |
150,000 | Bausch Health Cos., Inc., 7.00%, due 01/15/28 144A | 57,447 | |
1,090,000 | Bed Bath & Beyond, Inc., 5.17%, due 08/01/44 | 165,399 | |
2,062,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 1,821,024 | |
1,200,000 | BGC Partners, Inc., 4.38%, due 12/15/25 | 1,122,087 | |
850,000 | Bimbo Bakeries USA, Inc., 4.00%, due 05/17/51(h) 144A | 624,732 | |
840,000 | BlackRock TCP Capital Corp., 2.85%, due 02/09/26 | 741,389 | |
1,585,000 | Blackstone Holdings Finance Co. LLC, 2.00%, due 01/30/32 144A | 1,175,853 | |
2,105,000 | Blackstone Private Credit Fund, 2.63%, due 12/15/26 | 1,730,548 | |
2,680,000 | Blackstone Secured Lending Fund, 2.85%, due 09/30/28 | 2,035,265 | |
740,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A | 711,525 | |
850,000 | BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(b) 144A | 665,859 | |
1,285,000 | BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(b) (h) (j) 144A | 876,322 | |
1,515,000 | BNP Paribas SA, 4.63% (5 yr. CMT + 3.20%)(b) (j) 144A | 1,131,705 | |
1,820,000 | BNP Paribas SA, 7.75% (5 yr. CMT + 4.90%)(b) (j) 144A | 1,684,046 | |
50,000 | Boeing Co. (The), 2.70%, due 02/01/27 | 43,434 | |
410,000 | Boeing Co. (The), 3.25%, due 02/01/35 | 290,222 | |
230,000 | Boeing Co. (The), 3.75%, due 02/01/50 | 150,363 | |
230,000 | Boeing Co. (The), 5.15%, due 05/01/30 | 213,031 | |
1,025,000 | Boeing Co. (The), 5.71%, due 05/01/40 | 897,861 | |
780,000 | Boeing Co. (The), 5.93%, due 05/01/60 | 669,854 | |
1,200,000 | Boyne USA, Inc., 4.75%, due 05/15/29 144A | 1,006,991 | |
440,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 373,428 | |
2,325,000 | Brighthouse Financial, Inc., 3.85%, due 12/22/51 | 1,412,334 | |
1,075,000 | Broadcom, Inc., 4.15%, due 04/15/32 144A | 901,336 | |
2,555,000 | Broadstone Net Lease LLC REIT, 2.60%, due 09/15/31 | 1,884,608 | |
1,620,000 | Brunswick Corp., 2.40%, due 08/18/31 | 1,127,779 | |
420,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 323,106 | |
300,000 | Burford Capital Global Finance LLC, 6.88%, due 04/15/30 144A | 262,239 | |
1,460,000 | Caesars Entertainment, Inc., 4.63%, due 10/15/29(h) 144A | 1,119,145 | |
685,000 | Caesars Entertainment, Inc., 8.13%, due 07/01/27(h) 144A | 655,826 | |
125,000 | Callon Petroleum Co., 6.38%, due 07/01/26 | 112,868 | |
205,000 | Callon Petroleum Co., 8.00%, due 08/01/28(h) 144A | 189,517 | |
650,000 | Carnival Corp., 10.50%, due 06/01/30 144A | 521,131 | |
2,210,000 | Carnival Plc, 7.88%, due 06/01/27 | 2,133,406 | |
250,000 | Carriage Purchaser, Inc., 7.88%, due 10/15/29 144A | 187,071 | |
320,000 | Carrols Restaurant Group, Inc., 5.88%, due 07/01/29(h) 144A | 214,221 |
See accompanying Notes to the Financial Statements. | 99 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
545,000 | EUR | Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28(i) | 413,908 |
765,000 | EUR | Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28 144A | 580,990 |
865,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 02/01/31 144A | 664,960 | |
1,970,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 08/15/30 144A | 1,562,811 | |
1,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 05/01/32 | 1,146,690 | |
245,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A | 199,359 | |
1,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 02/01/32 144A | 1,170,638 | |
770,000 | Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A | 545,294 | |
1,390,000 | Cemex SAB de CV, 5.13% (5 yr. CMT + 4.53%)(b) (j) 144A | 1,115,475 | |
1,255,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 1,085,600 | |
350,000 | Centene Corp., 4.25%, due 12/15/27 | 320,889 | |
1,190,000 | Central Parent, Inc./CDK Global, Inc., 7.25%, due 06/15/29 144A | 1,133,832 | |
200,000 | Century Communities, Inc., 3.88%, due 08/15/29 144A | 153,750 | |
530,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, due 06/01/41 | 339,799 | |
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.50%, due 03/01/42 | 95,518 | |
1,045,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.70%, due 04/01/51 | 636,013 | |
1,495,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 06/01/52 | 929,122 | |
300,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, due 07/01/49 | 220,662 | |
100,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 81,247 | |
1,900,000 | Cheniere Energy Partners, LP, 3.25%, due 01/31/32 | 1,462,772 | |
185,000 | Chevron Corp., 3.08%, due 05/11/50 | 131,480 | |
1,090,000 | Chord Energy Corp., 6.38%, due 06/01/26 144A | 1,040,819 | |
620,000 | CHS/Community Health Systems, Inc., 6.13%, due 04/01/30 144A | 293,725 | |
880,000 | CHS/Community Health Systems, Inc., 6.88%, due 04/15/29 144A | 427,013 | |
300,000 | Cigna Corp., 4.80%, due 08/15/38 | 266,630 | |
530,000 | EUR | Cirsa Finance International SARL, 4.50%, due 03/15/27 144A | 416,699 |
1,515,000 | Citigroup, Inc., 2.98% (SOFR + 1.42%), due 11/05/30(b) | 1,246,916 | |
170,000 | Citigroup, Inc., 6.30% (3 mo. USD LIBOR + 3.42%)(b) (j) | 158,956 | |
850,000 | Clarios Global, LP/Clarios US Finance Co., 8.50%, due 05/15/27(h) 144A | 813,280 | |
745,000 | Clarivate Science Holdings Corp., 4.88%, due 07/01/29(h) 144A | 584,534 | |
210,000 | Clear Channel Outdoor Holdings, Inc., 7.50%, due 06/01/29(h) 144A | 152,583 | |
980,000 | Clydesdale Acquisition Holdings, Inc., 8.75%, due 04/15/30 144A | 812,650 | |
960,000 | Coca-Cola Icecek AS, 4.50%, due 01/20/29 144A | 790,338 | |
2,945,000 | Coherent Corp., 5.00%, due 12/15/29 144A | 2,443,231 | |
530,000 | Coinbase Global, Inc., 3.63%, due 10/01/31 144A | 294,940 | |
3,080,000 | Colgate Energy Partners III LLC, 5.88%, due 07/01/29 144A | 2,756,338 | |
635,000 | Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A | 483,899 | |
380,000 | Comcast Corp., 4.25%, due 10/15/30 | 352,618 | |
530,000 | Commercial Metals Co., 3.88%, due 02/15/31 | 416,960 | |
1,600,000 | EUR | Commerzbank AG, 6.13% (5 yr. EUR swap annual + 6.36%)(b) (i) (j) | 1,325,146 |
226,000 | CommScope Technologies LLC, 6.00%, due 06/15/25 144A | 201,124 | |
550,000 | CommScope, Inc., 4.75%, due 09/01/29 144A | 449,653 | |
910,000 | CommScope, Inc., 7.13%, due 07/01/28(h) 144A | 704,431 | |
160,000 | CommScope, Inc., 8.25%, due 03/01/27 144A | 132,437 |
100 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,380,000 | Continental Resources, Inc., 2.27%, due 11/15/26 144A | 1,179,299 | |
560,000 | Continental Resources, Inc., 5.75%, due 01/15/31 144A | 507,418 | |
400,000 | EUR | Cooperatieve Rabobank UA, 4.63% (5 yr. EUR swap annual + 4.10%)(b) (i) (j) | 343,301 |
1,030,000 | CoreCivic, Inc., 8.25%, due 04/15/26 | 1,026,910 | |
450,000 | Country Garden Holdings Co., Ltd., 8.00%, due 01/27/24(i) | 176,605 | |
810,000 | Covanta Holding Corp., 4.88%, due 12/01/29 144A | 656,092 | |
2,025,000 | Credit Agricole SA, 4.75% (5 yr. CMT + 3.24%)(b) (j) 144A | 1,400,409 | |
675,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b) (j) 144A | 649,202 | |
950,000 | Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(b) (j) 144A | 917,961 | |
2,655,000 | Credit Suisse Group AG, 6.54% (SOFR + 3.92%), due 08/12/33(b) 144A | 2,389,547 | |
200,000 | Credit Suisse Group AG, 7.50% (5 yr. USD swap + 4.60%)(b) (j) 144A | 172,000 | |
1,440,000 | Credit Suisse Group AG, 9.75% (5 yr. CMT + 6.38%)(b) (j) 144A | 1,416,066 | |
1,995,000 | Crescent Energy Finance LLC, 7.25%, due 05/01/26 144A | 1,796,956 | |
470,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29(h) | 395,942 | |
240,000 | Crown Castle, Inc., 3.30%, due 07/01/30 | 201,284 | |
600,000 | CSC Holdings LLC, 4.50%, due 11/15/31 144A | 451,680 | |
300,000 | CSC Holdings LLC, 5.50%, due 04/15/27 144A | 264,527 | |
210,000 | CSC Holdings LLC, 5.75%, due 01/15/30 144A | 149,646 | |
960,000 | CSC Holdings LLC, 6.50%, due 02/01/29 144A | 849,374 | |
3,080,000 | CT Trust, 5.13%, due 02/03/32 144A | 2,324,122 | |
90,000 | CVS Health Corp., 4.78%, due 03/25/38 | 79,078 | |
90,000 | CVS Health Corp., 5.05%, due 03/25/48 | 79,470 | |
890,000 | Darling Ingredients, Inc., 6.00%, due 06/15/30 144A | 849,033 | |
30,000 | DCP Midstream Operating, LP, 5.63%, due 07/15/27 | 29,044 | |
130,000 | DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A | 126,251 | |
770,000 | DCP Midstream, LP, 7.38% (3 mo. USD LIBOR + 5.15%)(b) (j) | 761,545 | |
334,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 | 361,198 | |
440,000 | Delta Air Lines, Inc., 7.00%, due 05/01/25 144A | 443,307 | |
110,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, due 10/20/28 144A | 102,600 | |
660,000 | Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(b) | 445,276 | |
830,000 | Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(b) | 539,326 | |
1,200,000 | Deutsche Bank AG, 4.79% (5 yr. USD swap + 4.36%)(b) (i) (j) | 873,050 | |
200,000 | Deutsche Bank AG, 7.50% (5 yr. USD swap + 5.00%)(b) (j) | 169,560 | |
640,000 | Devon Energy Corp., 5.00%, due 06/15/45 | 534,188 | |
100,000 | Diamondback Energy, Inc., 3.13%, due 03/24/31 | 81,262 | |
200,000 | Diamondback Energy, Inc., 3.50%, due 12/01/29 | 172,897 | |
1,360,000 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, due 08/15/27 144A | 1,175,550 | |
1,795,000 | DISH DBS Corp., 5.13%, due 06/01/29 | 1,057,435 | |
580,000 | DISH DBS Corp., 5.75%, due 12/01/28 144A | 439,417 | |
710,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 634,680 | |
20,000 | DISH DBS Corp., 7.75%, due 07/01/26 | 15,371 | |
245,000 | Diversified Healthcare Trust REIT, 9.75%, due 06/15/25 | 222,137 | |
540,000 | DP World Plc, 5.63%, due 09/25/48 144A | 474,183 | |
255,000 | Dun & Bradstreet Corp. (The), 5.00%, due 12/15/29(h) 144A | 210,903 | |
1,460,000 | Ecopetrol SA, 4.63%, due 11/02/31 | 1,024,154 | |
410,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 390,876 | |
1,690,000 | Endeavour Mining PLC, 5.00%, due 10/14/26 144A | 1,349,972 | |
755,000 | Enel Finance International NV, 2.88%, due 07/12/41 144A | 432,034 | |
980,000 | Energean Israel Finance, Ltd., 5.88%, due 03/30/31(i) 144A | 806,050 |
See accompanying Notes to the Financial Statements. | 101 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,065,000 | EUR | Energizer Gamma Acquisition BV, 3.50%, due 06/30/29 144A | 750,416 |
180,000 | Energy Transfer, LP, 5.35%, due 05/15/45 | 145,247 | |
210,000 | Energy Transfer, LP, 6.25%, due 04/15/49 | 186,919 | |
230,000 | Energy Transfer, LP, 6.25% (3 mo. USD LIBOR + 4.03%)(b) (j) | 188,888 | |
270,000 | Energy Transfer, LP, 7.13% (5 yr. CMT + 5.31%)(b) (j) | 222,492 | |
395,000 | Enstar Group, Ltd., 3.10%, due 09/01/31 | 281,008 | |
205,000 | Enstar Group, Ltd., 4.95%, due 06/01/29 | 184,373 | |
1,020,000 | Entegris Escrow Corp., 5.95%, due 06/15/30 144A | 933,239 | |
170,000 | Enterprise Products Operating LLC, 3.20%, due 02/15/52 | 108,833 | |
590,000 | Enterprise Products Operating LLC, 3.70%, due 01/31/51 | 415,996 | |
160,000 | Enterprise Products Operating LLC, 3.95%, due 01/31/60 | 110,805 | |
630,000 | Enterprise Products Operating, LLC, 2.80%, due 01/31/30 | 527,028 | |
265,000 | EPR Properties REIT, 3.75%, due 08/15/29 | 205,019 | |
150,000 | EQM Midstream Partners, LP, 6.00%, due 07/01/25 144A | 138,887 | |
140,000 | EQM Midstream Partners, LP, 6.50%, due 07/01/27 144A | 129,576 | |
800,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/30 144A | 757,252 | |
590,000 | EQT Corp., 3.13%, due 05/15/26 144A | 538,001 | |
810,000 | EQT Corp., 3.90%, due 10/01/27 | 738,779 | |
200,000 | EQT Corp., 6.13%, due 02/01/25(k) | 200,548 | |
330,000 | EQT Corp., 7.00%, due 02/01/30(k) | 341,334 | |
1,250,000 | Equifax, Inc., 5.10%, due 12/15/27 | 1,211,431 | |
1,081,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, due 08/15/26 144A | 962,776 | |
360,000 | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.63%, due 01/15/29 144A | 298,476 | |
300,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26 144A | 277,185 | |
2,350,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 2,120,240 | |
420,000 | FirstCash, Inc., 5.63%, due 01/01/30 144A | 359,757 | |
1,150,000 | Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A | 916,059 | |
2,480,000 | Foot Locker, Inc., 4.00%, due 10/01/29(h) 144A | 1,926,332 | |
1,000,000 | Ford Motor Co., 3.25%, due 02/12/32 | 722,055 | |
1,260,000 | Ford Motor Co., 6.10%, due 08/19/32 | 1,112,958 | |
390,000 | Ford Motor Credit Co. LLC, 2.90%, due 02/16/28 | 307,084 | |
1,020,000 | Ford Motor Credit Co. LLC, 3.63%, due 06/17/31 | 759,268 | |
380,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 297,247 | |
480,000 | Ford Motor Credit Co. LLC, 4.95%, due 05/28/27 | 429,566 | |
1,855,000 | Freeport Indonesia PT, 5.32%, due 04/14/32 144A | 1,544,287 | |
585,000 | Freeport Indonesia PT, 6.20%, due 04/14/52 144A | 450,143 | |
1,000,000 | Freeport Minerals Corp., 7.13%, due 11/01/27 | 1,057,500 | |
455,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30 | 399,626 | |
1,220,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 1,019,999 | |
380,000 | Full House Resorts, Inc., 8.25%, due 02/15/28(h) 144A | 342,547 | |
1,372,473 | Galaxy Pipeline Assets Bidco, Ltd., 2.94%, due 09/30/40 144A | 1,047,351 | |
250,000 | Gannett Holdings LLC, 6.00%, due 11/01/26 144A | 192,504 | |
360,000 | General Motors Co., 6.60%, due 04/01/36 | 337,378 | |
1,440,000 | General Motors Financial Co., Inc., 5.00%, due 04/09/27 | 1,366,775 | |
150,000 | GEO Group, Inc. (The), 6.00%, due 04/15/26 | 122,988 | |
719,000 | GEO Group, Inc. (The), 10.50%, due 06/30/28 | 711,860 | |
910,000 | Georgia Power Co., 5.13%, due 05/15/52 | 823,523 | |
390,000 | GFL Environmental, Inc., 5.13%, due 12/15/26 144A | 363,675 |
102 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,457,168 | Global Aircraft Leasing Co., Ltd., 6.50% (6.50% Cash or 7.25% PIK), due 09/15/24 144A | 1,098,967 | |
280,000 | Global Atlantic Fin Co., 4.40%, due 10/15/29 144A | 237,980 | |
1,125,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A | 1,057,813 | |
90,000 | Goldman Sachs Group, Inc. (The), 5.15%, due 05/22/45 | 75,376 | |
330,000 | Goldman Sachs Group, Inc. (The), 6.75%, due 10/01/37 | 329,583 | |
480,000 | Granite US Holdings Corp., 11.00%, due 10/01/27(h) 144A | 453,381 | |
965,000 | Gray Escrow II, Inc., 5.38%, due 11/15/31 144A | 759,030 | |
1,460,000 | Guitar Center, Inc., 8.50%, due 01/15/26 144A | 1,294,910 | |
850,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 669,039 | |
1,770,000 | Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd., 5.75%, due 01/20/26 144A | 1,563,786 | |
80,000 | Healthpeak Properties, Inc. REIT, 3.50%, due 07/15/29 | 70,384 | |
780,000 | Hertz Corp. (The), 5.00%, due 12/01/29 144A | 581,279 | |
125,000 | Hess Midstream Operations, LP, 5.13%, due 06/15/28 144A | 109,619 | |
1,260,000 | Highlands Holdings Bond Issuer, Ltd./Highlands Holdings Bond Co-Issuer, Inc., 7.63% (7.63% Cash or 8.38% PIK), due 10/15/25 144A | 1,190,687 | |
560,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 496,871 | |
570,000 | Howard Midstream Energy Partners LLC, 6.75%, due 01/15/27 144A | 508,709 | |
415,000 | Howmet Aerospace, Inc., 5.90%, due 02/01/27 | 399,857 | |
955,000 | HSBC Holdings Plc, 4.60% (5 yr. CMT + 3.65%)(b) (j) | 664,671 | |
665,000 | HSBC Holdings Plc, 6.00% (5 yr. USD ICE swap + 3.75%)(b) (j) | 552,615 | |
850,000 | HSBC Holdings Plc, 6.50% (5 yr. USD ICE swap + 3.61%)(b) (j) | 713,504 | |
190,000 | EUR | HSE Finance SARL, 5.63%, due 10/15/26 144A | 119,982 |
870,000 | HTA Group, Ltd., 7.00%, due 12/18/25 144A | 762,285 | |
260,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 216,429 | |
610,000 | Hudbay Minerals, Inc., 6.13%, due 04/01/29 144A | 492,868 | |
280,000 | iHeartCommunications, Inc., 4.75%, due 01/15/28 144A | 233,741 | |
320,000 | iHeartCommunications, Inc., 5.25%, due 08/15/27 144A | 274,008 | |
145,000 | iHeartCommunications, Inc., 6.38%, due 05/01/26 | 134,796 | |
740,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27(i) | 623,820 | |
2,035,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 1,715,505 | |
620,000 | IIP Operating Partnership, LP REIT, 5.50%, due 05/25/26 | 554,457 | |
900,000 | Iliad Holding SASU, 6.50%, due 10/15/26 144A | 788,450 | |
810,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A | 673,867 | |
265,000 | EUR | IMA Industria Macchine Automatiche SpA, 3.75%, due 01/15/28 144A | 206,348 |
470,000 | InterGen NV, 7.00%, due 06/30/23 144A | 457,545 | |
1,855,000 | International Business Machines Corp., 4.40%, due 07/27/32 | 1,715,147 | |
200,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 165,661 | |
1,450,000 | Intesa Sanpaolo SpA, 4.95% (1 yr. CMT + 2.75%), due 06/01/42(b) 144A | 863,104 | |
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 318,695 | |
570,000 | Itau Unibanco Holding SA, 3.88% (5 yr. CMT + 3.45%), due 04/15/31(b) 144A | 487,906 | |
1,059,000 | Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(b) (j) 144A | 828,292 | |
1,195,000 | Jackson Financial, Inc., 3.13%, due 11/23/31 | 902,045 | |
690,000 | Jane Street Group/JSG Finance, Inc., 4.50%, due 11/15/29 144A | 594,369 | |
225,000 | Jazz Securities DAC, 4.38%, due 01/15/29 144A | 194,841 | |
1,975,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 144A | 1,788,639 | |
1,675,000 | JPMorgan Chase & Co., 4.32% (SOFR + 1.56%), due 04/26/28(b) | 1,571,079 | |
1,185,000 | JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(b) | 1,094,330 |
See accompanying Notes to the Financial Statements. | 103 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,450,000 | JPMorgan Chase & Co., 5.72% (SOFR + 2.58%), due 09/14/33(b) | 1,373,259 | |
640,967 | K2016470219 South Africa, Ltd., 3.00% (3.00% Cash or PIK), due 12/31/22 | 1,830 | |
223,090 | K2016470260 South Africa, Ltd., 25.00% (25.00% Cash or PIK), due 12/31/22 | 580 | |
460,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 386,067 | |
590,000 | KazTransGas JSC, 4.38%, due 09/26/27 144A | 501,500 | |
2,575,000 | Kenbourne Invest SA, 4.70%, due 01/22/28 144A | 1,962,262 | |
735,000 | KKR Group Finance Co. XII LLC, 4.85%, due 05/17/32 144A | 677,475 | |
620,000 | Kohl's Corp., 3.38%, due 05/01/31(h) (k) | 383,951 | |
1,005,000 | Kosmos Energy, Ltd., 7.13%, due 04/04/26 144A | 825,944 | |
290,000 | Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.25%, due 02/01/27 144A | 233,957 | |
360,000 | Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.75%, due 06/15/29 144A | 270,108 | |
40,000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 35,043 | |
425,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 390,662 | |
650,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due 02/01/26 144A | 559,975 | |
460,000 | Leviathan Bond, Ltd., 6.50%, due 06/30/27(i) 144A | 424,350 | |
320,000 | Liberty Interactive LLC, 8.50%, due 07/15/29(h) | 212,298 | |
1,590,000 | Liberty Mutual Group, Inc., 4.30%, due 02/01/61(h) 144A | 1,004,470 | |
815,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 751,778 | |
960,000 | Liquid Telecommunications Financing Plc, 5.50%, due 09/04/26 144A | 763,200 | |
1,235,000 | EUR | Lorca Telecom Bondco SA, 4.00%, due 09/18/27 144A | 1,056,104 |
400,000 | Lukoil International Finance BV, 4.75%, due 11/02/26 144A | 314,000 | |
2,550,000 | Mclaren Finance Plc, 7.50%, due 08/01/26 144A | 2,084,306 | |
130,000 | MDC Holdings, Inc., 6.00%, due 01/15/43 | 97,789 | |
2,390,000 | Medline Borrower, LP, 3.88%, due 04/01/29 144A | 1,919,995 | |
1,000,000 | MEG Energy Corp., 5.88%, due 02/01/29 144A | 899,015 | |
210,000 | MEG Energy Corp., 7.13%, due 02/01/27 144A | 213,556 | |
1,320,000 | MEGlobal Canada ULC, 5.88%, due 05/18/30 144A | 1,311,321 | |
200,000 | Melco Resorts Finance, Ltd., 4.88%, due 06/06/25 144A | 148,466 | |
320,000 | Melco Resorts Finance, Ltd., 5.38%, due 12/04/29 144A | 195,040 | |
600,000 | MercadoLibre, Inc., 3.13%, due 01/14/31(h) | 436,026 | |
3,050,000 | Merck & Co., Inc., 2.90%, due 12/10/61 | 1,920,503 | |
1,100,000 | Meta Platforms, Inc., 4.45%, due 08/15/52 144A | 899,553 | |
145,000 | MetLife, Inc., 4.60%, due 05/13/46 | 127,169 | |
770,000 | Michaels Cos, Inc. (The), 5.25%, due 05/01/28 144A | 542,169 | |
560,000 | Michaels Cos, Inc. (The), 7.88%, due 05/01/29(h) 144A | 324,159 | |
560,000 | Micron Technology, Inc., 3.37%, due 11/01/41 | 361,126 | |
710,000 | Midcap Financial Issuer Trust, 6.50%, due 05/01/28 144A | 607,838 | |
747,000 | Millicom International Cellular SA, 4.50%, due 04/27/31(h) 144A | 534,269 | |
324,000 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 275,523 | |
170,000 | Minerals Technologies, Inc., 5.00%, due 07/01/28 144A | 148,340 | |
890,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 02/01/30 144A | 660,524 | |
1,105,000 | Moody's Corp., 2.75%, due 08/19/41 | 736,184 | |
1,330,000 | Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(b) | 1,233,540 | |
500,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31 | 349,178 | |
160,000 | GBP | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.69%, due 06/05/28 | 132,321 |
500,000 | MSCI, Inc., 3.25%, due 08/15/33 144A | 386,905 | |
295,000 | Mylan, Inc., 5.40%, due 11/29/43 | 215,273 |
104 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
985,000 | Nationwide Building Society, 4.85%, due 07/27/27(h) 144A | 936,547 | |
1,380,000 | Natura Cosmeticos SA, 4.13%, due 05/03/28 144A | 1,092,367 | |
245,000 | NatWest Group Plc, 4.27% (3 mo. USD LIBOR + 1.76%), due 03/22/25(b) | 238,365 | |
1,120,000 | GBP | NatWest Group Plc, 4.50% (5 yr. UK Government Bond + 3.99%)(b) (j) | 848,593 |
450,000 | NatWest Group Plc, 5.52% (1 yr. CMT + 2.27%), due 09/30/28(b) | 427,658 | |
170,000 | Navient Corp., (MTN), 5.63%, due 08/01/33 | 114,614 | |
235,000 | NBM US Holdings, Inc., 7.00%, due 05/14/26 144A | 227,295 | |
210,000 | NCL Corp., Ltd., 3.63%, due 12/15/24 144A | 176,836 | |
450,000 | NCL Corp., Ltd., 5.88%, due 03/15/26 144A | 343,035 | |
1,240,000 | NCL Corp., Ltd., 5.88%, due 02/15/27 144A | 1,034,892 | |
660,000 | NCR Corp., 5.13%, due 04/15/29 144A | 496,346 | |
990,000 | Neptune Energy Bondco Plc, 6.63%, due 05/15/25 144A | 920,433 | |
1,980,000 | Nestle Holdings, Inc., 4.70%, due 01/15/53 144A | 1,852,010 | |
1,195,000 | Newell Brands, Inc., 6.63%, due 09/15/29 | 1,171,243 | |
1,850,000 | Nexstar Media, Inc., 4.75%, due 11/01/28 144A | 1,576,218 | |
1,950,000 | Nexstar Media, Inc., 5.63%, due 07/15/27 144A | 1,796,686 | |
1,020,000 | NMI Holdings, Inc., 7.38%, due 06/01/25 144A | 990,859 | |
700,000 | Northern Oil and Gas, Inc., 8.13%, due 03/01/28 144A | 657,692 | |
400,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(l) (m) | 24 | |
880,000 | NortonLifeLock, Inc., 7.13%, due 09/30/30(h) 144A | 853,068 | |
160,000 | EUR | Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A | 124,169 |
60,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 46,929 | |
395,000 | NTT Finance Corp., 4.37%, due 07/27/27 144A | 383,478 | |
1,065,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 01/15/33 | 957,825 | |
280,000 | Occidental Petroleum Corp., 4.50%, due 07/15/44 | 234,603 | |
30,000 | Occidental Petroleum Corp., 6.45%, due 09/15/36 | 30,074 | |
180,000 | Occidental Petroleum Corp., 7.20%, due 03/15/29 | 186,319 | |
1,610,000 | OCP SA, 5.13%, due 06/23/51 144A | 1,031,068 | |
1,490,000 | Olympus Water US Holding Corp., 4.25%, due 10/01/28 144A | 1,147,754 | |
225,000 | Olympus Water US Holding Corp., 6.25%, due 10/01/29(h) 144A | 154,568 | |
1,130,000 | Option Care Health, Inc., 4.38%, due 10/31/29 144A | 956,986 | |
565,000 | Oracle Corp., 3.95%, due 03/25/51 | 375,783 | |
1,240,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A | 1,017,829 | |
950,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, due 03/15/30 144A | 741,483 | |
390,000 | Oversea-Chinese Banking Corp., Ltd., (MTN), 4.25%, due 06/19/24(i) | 385,208 | |
160,000 | Pactiv LLC, 7.95%, due 12/15/25 | 148,878 | |
440,000 | Pactiv LLC, 8.38%, due 04/15/27 | 395,745 | |
1,315,000 | Papa John's International, Inc., 3.88%, due 09/15/29(h) 144A | 1,052,537 | |
580,000 | EUR | Paprec Holding SA, 3.50%, due 07/01/28 144A | 438,279 |
630,000 | Par Pharmaceutical, Inc., 7.50%, due 04/01/27(l) 144A | 499,199 | |
880,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27 | 661,663 | |
250,000 | Parsley Energy LLC/Parsley Finance Corp., 5.63%, due 10/15/27 144A | 257,001 | |
260,000 | Pattern Energy Operations, LP/Pattern Energy Operations, Inc., 4.50%, due 08/15/28 144A | 225,966 | |
525,000 | Paysafe Finance Plc/Paysafe Holdings US Corp., 4.00%, due 06/15/29(h) 144A | 367,776 | |
910,000 | Penn Virginia Escrow LLC, 9.25%, due 08/15/26 144A | 856,538 | |
1,260,000 | PerkinElmer, Inc., 2.25%, due 09/15/31 | 949,246 | |
1,150,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15(n) | 899,515 | |
1,590,000 | Petroleos Mexicanos, 6.70%, due 02/16/32 | 1,118,009 |
See accompanying Notes to the Financial Statements. | 105 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
7,056,900 | MXN | Petroleos Mexicanos, 7.19%, due 09/12/24(i) | 317,833 |
935,000 | Phillips 66, 3.30%, due 03/15/52 | 613,877 | |
470,000 | Plains All American Pipeline, LP, 6.13% (3 mo. USD LIBOR + 4.11%)(b) (j) | 387,803 | |
280,000 | Playtika Holding Corp., 4.25%, due 03/15/29 144A | 224,301 | |
105,000 | EUR | PLT VII Finance SARL, 4.63%, due 01/05/26 144A | 92,569 |
1,070,000 | PM General Purchaser LLC, 9.50%, due 10/01/28 144A | 897,093 | |
600,000 | Precision Drilling Corp., 6.88%, due 01/15/29 144A | 530,874 | |
15,000 | Precision Drilling Corp., 7.13%, due 01/15/26 144A | 14,091 | |
110,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 94,049 | |
280,000 | Prosperous Ray, Ltd., 4.63%, due 11/12/23(i) | 279,780 | |
680,000 | Prosus NV, 3.06%, due 07/13/31 144A | 467,888 | |
1,815,000 | Prosus NV, 4.03%, due 08/03/50 144A | 1,014,643 | |
1,440,000 | Prosus NV, 4.19%, due 01/19/32 144A | 1,058,678 | |
45,000 | Prudential Financial, Inc., 5.63% (3 mo. USD LIBOR + 3.92%), due 06/15/43(b) | 44,439 | |
870,000 | QUALCOMM, Inc., 4.25%, due 05/20/32 | 822,568 | |
400,000 | QVC, Inc., 5.45%, due 08/15/34(h) | 247,192 | |
520,000 | Rackspace Technology Global, Inc., 3.50%, due 02/15/28(h) 144A | 344,510 | |
575,000 | Radian Group, Inc., 6.63%, due 03/15/25 | 561,166 | |
710,000 | Radiology Partners, Inc., 9.25%, due 02/01/28 144A | 464,287 | |
1,210,000 | Range Resources Corp., 4.75%, due 02/15/30(h) 144A | 1,051,980 | |
130,000 | Range Resources Corp., 5.00%, due 03/15/23 | 129,748 | |
870,000 | Range Resources Corp., 8.25%, due 01/15/29 | 887,074 | |
120,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, due 01/15/29 144A | 86,706 | |
660,000 | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, due 12/01/26 144A | 591,644 | |
700,000 | Rent-A-Center, Inc, 6.38%, due 02/15/29(h) 144A | 547,449 | |
1,165,000 | ROBLOX Corp., 3.88%, due 05/01/30 144A | 950,413 | |
470,000 | Rockies Express Pipeline LLC, 7.50%, due 07/15/38 144A | 401,798 | |
210,000 | Roller Bearing Co. of America, Inc., 4.38%, due 10/15/29 144A | 177,395 | |
1,635,000 | Royal Caribbean Cruises, Ltd., 11.63%, due 08/15/27 144A | 1,490,916 | |
590,000 | GBP | Saga Plc, 5.50%, due 07/15/26(i) | 480,474 |
860,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 816,166 | |
230,000 | Sands China, Ltd., 2.80%, due 03/08/27(k) | 183,088 | |
200,000 | Sands China, Ltd., 3.35%, due 03/08/29(k) | 148,853 | |
200,000 | Sands China, Ltd., 5.63%, due 08/08/25(k) | 181,504 | |
240,000 | Sands China, Ltd., 5.90%, due 08/08/28(k) | 202,261 | |
420,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31(h) | 317,780 | |
815,000 | Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A | 548,721 | |
1,225,000 | Scientific Games International, Inc., 7.00%, due 05/15/28 144A | 1,157,503 | |
1,050,000 | Scientific Games International, Inc., 8.63%, due 07/01/25 144A | 1,076,271 | |
310,000 | EUR | SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, due 11/01/26 144A | 243,526 |
750,000 | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/01/26 144A | 580,320 | |
340,000 | Seagate HDD Cayman, 4.09%, due 06/01/29 | 273,443 | |
321,000 | Seagate HDD Cayman, 4.88%, due 06/01/27 | 290,155 | |
545,000 | Sempra Energy, 3.70%, due 04/01/29 | 487,394 | |
905,000 | SEPLAT Energy Plc, 7.75%, due 04/01/26 144A | 744,598 | |
480,000 | Service Properties Trust REIT, 5.50%, due 12/15/27 | 390,489 | |
400,000 | Service Properties Trust REIT, 7.50%, due 09/15/25 | 374,500 |
106 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
620,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, due 03/01/29 144A | 508,251 | |
1,140,000 | Sinclair Television Group, Inc., 4.13%, due 12/01/30 144A | 859,674 | |
1,115,000 | Societe Generale SA, 2.89% (1 yr. CMT + 1.30%), due 06/09/32(b) 144A | 816,106 | |
1,095,000 | Societe Generale SA, 3.63%, due 03/01/41(m) | 653,377 | |
805,000 | Societe Generale SA, 4.03% (1 yr. CMT + 1.90%), due 01/21/43(b) 144A | 500,022 | |
1,565,000 | Societe Generale SA, 7.38% (5 yr. USD swap + 4.30%)(b) (h) (j) 144A | 1,426,662 | |
920,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 773,076 | |
2,600,000 | Southwestern Energy Co., 7.75%, due 10/01/27(h) | 2,648,332 | |
670,000 | Southwestern Energy Co., 8.38%, due 09/15/28 | 695,375 | |
556,000 | Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A | 559,970 | |
1,170,000 | SRM Escrow Issuer LLC, 6.00%, due 11/01/28 144A | 953,281 | |
2,135,000 | Standard Chartered Plc, 4.30% (5 yr. CMT + 3.14%)(b) (h) (j) 144A | 1,388,390 | |
1,500,000 | Starwood Property Trust, Inc. REIT, 3.63%, due 07/15/26 144A | 1,278,308 | |
1,550,000 | Starwood Property Trust, Inc. REIT, 4.38%, due 01/15/27 144A | 1,323,777 | |
1,965,000 | Stellantis Finance US, Inc., 5.63%, due 01/12/28 144A | 1,895,823 | |
1,300,000 | StoneMor, Inc., 8.50%, due 05/15/29 144A | 1,099,300 | |
680,000 | StoneX Group, Inc., 8.63%, due 06/15/25 144A | 688,225 | |
1,305,000 | Strathcona Resources, Ltd., 6.88%, due 08/01/26 144A | 1,108,921 | |
240,000 | Suburban Propane Partners, LP/Suburban Energy Finance Corp., 5.00%, due 06/01/31 144A | 197,286 | |
100,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A | 88,125 | |
400,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, due 10/15/26 144A | 376,088 | |
1,083,000 | Sunnova Energy Corp., 5.88%, due 09/01/26(h) 144A | 969,055 | |
940,000 | Suzano Austria GmbH, 3.13%, due 01/15/32 | 677,900 | |
1,190,000 | Suzano Austria GmbH, 7.00%, due 03/16/47(i) | 1,084,685 | |
360,000 | Swire Pacific MTN Financing, Ltd., (MTN), 4.50%, due 10/09/23(i) | 359,466 | |
400,000 | Switch, Ltd., 3.75%, due 09/15/28 144A | 397,946 | |
280,000 | Switch, Ltd., 4.13%, due 06/15/29 144A | 277,717 | |
1,185,000 | Synchrony Financial, 4.88%, due 06/13/25 | 1,144,538 | |
330,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 281,361 | |
835,000 | Tap Rock Resources LLC, 7.00%, due 10/01/26 144A | 764,868 | |
45,000 | Targa Resources Corp., 5.20%, due 07/01/27 | 43,357 | |
810,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.88%, due 02/01/31 | 697,945 | |
1,190,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 6.50%, due 07/15/27 | 1,178,847 | |
620,000 | Teck Resources, Ltd., 5.40%, due 02/01/43 | 504,182 | |
60,000 | Teck Resources, Ltd., 6.00%, due 08/15/40 | 53,052 | |
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 152,661 | |
940,000 | Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/30 144A | 770,798 | |
1,690,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36 | 1,395,728 | |
635,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 6.00%, due 01/31/25 | 609,074 |
620,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, due 05/09/27 | 527,347 | |
300,000 | Time Warner Cable LLC, 6.75%, due 06/15/39 | 268,869 | |
750,000 | Titan International, Inc., 7.00%, due 04/30/28 | 682,035 | |
270,000 | TKC Holdings, Inc., 6.88%, due 05/15/28 144A | 218,608 | |
2,210,000 | T-Mobile USA, Inc., 3.50%, due 04/15/31 | 1,860,643 |
See accompanying Notes to the Financial Statements. | 107 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
415,000 | T-Mobile USA, Inc., 4.38%, due 04/15/40 | 338,971 | |
1,860,000 | T-Mobile USA, Inc., 5.65%, due 01/15/53 | 1,761,477 | |
440,000 | TopBuild Corp., 3.63%, due 03/15/29 144A | 348,291 | |
1,150,000 | TransAlta Corp., 6.50%, due 03/15/40 | 1,056,227 | |
480,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, due 05/15/30 | 406,441 | |
240,000 | TransDigm, Inc., 5.50%, due 11/15/27 | 209,272 | |
250,000 | TransDigm, Inc., 7.50%, due 03/15/27 | 238,300 | |
420,000 | TransDigm, Inc., 8.00%, due 12/15/25 144A | 426,611 | |
340,000 | Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A | 292,279 | |
880,000 | Triumph Group, Inc., 7.75%, due 08/15/25(h) | 673,493 | |
140,000 | Triumph Group, Inc., 8.88%, due 06/01/24 144A | 138,452 | |
490,000 | Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A | 431,112 | |
580,000 | Tutor Perini Corp., 6.88%, due 05/01/25(h) 144A | 434,406 | |
460,000 | Twitter, Inc., 3.88%, due 12/15/27(h) 144A | 432,340 | |
1,600,000 | UBS Group AG, 4.75% (1 yr. CMT + 1.75%), due 05/12/28(b) 144A | 1,503,915 | |
1,960,000 | UBS Group AG, 4.99% (1 yr. CMT + 2.40%), due 08/05/33(b) 144A | 1,764,006 | |
920,000 | UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(b) (j) 144A | 872,804 | |
990,000 | UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(b) 144A | 737,279 | |
555,000 | UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(b) 144A | 471,713 | |
148,750 | Uniquify, Inc., 6.00%, due 06/15/24 144A | 144,634 | |
63,680 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 59,560 | |
100,000 | United Airlines, Inc., 4.38%, due 04/15/26 144A | 89,424 | |
430,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 356,887 | |
680,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 616,379 | |
2,330,000 | United Rentals North America, Inc., 5.50%, due 05/15/27 | 2,256,605 | |
490,000 | US Renal Care, Inc., 10.63%, due 07/15/27 144A | 228,368 | |
290,000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 205,263 | |
540,000 | Vale Overseas, Ltd., 6.88%, due 11/10/39 | 508,234 | |
500,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 11/01/33 144A | 389,718 | |
450,000 | Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A | 374,229 | |
420,000 | Vericast Corp., 11.00%, due 09/15/26 144A | 414,225 | |
490,000 | Verizon Communications, Inc., 2.85%, due 09/03/41 | 328,084 | |
580,000 | Verizon Communications, Inc., 3.40%, due 03/22/41 | 424,860 | |
130,000 | Verizon Communications, Inc., 3.55%, due 03/22/51 | 91,699 | |
100,000 | Verizon Communications, Inc., 3.70%, due 03/22/61 | 68,096 | |
2,505,000 | Vertiv Group Corp., 4.13%, due 11/15/28 144A | 2,020,320 | |
220,000 | Viavi Solutions, Inc., 3.75%, due 10/01/29 144A | 176,317 | |
300,000 | Viking Ocean Cruises Ship VII, Ltd., 5.63%, due 02/15/29 144A | 233,831 | |
830,000 | Viper Energy Partners, LP, 5.38%, due 11/01/27 144A | 766,398 | |
300,000 | Virgin Media Secured Finance Plc, 5.50%, due 05/15/29 144A | 257,563 | |
190,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 6.38%, due 02/01/30 144A | 155,795 | |
450,000 | Vmed O2 UK Financing I Plc, 4.75%, due 07/15/31 144A | 348,273 | |
410,000 | VOC Escrow, Ltd., 5.00%, due 02/15/28 144A | 334,326 | |
730,000 | VTR Comunicaciones SpA, 5.13%, due 01/15/28 144A | 494,236 | |
1,020,000 | Warnermedia Holdings, Inc., 3.76%, due 03/15/27 144A | 913,867 | |
315,000 | Waste Connections, Inc., 2.95%, due 01/15/52 | 204,711 | |
350,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44 144A | 243,295 | |
1,955,000 | Wells Fargo & Co., (MTN), 3.91% (SOFR + 1.32%), due 04/25/26(b) | 1,869,903 |
108 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
310,000 | Wells Fargo & Co., (MTN), 5.01% (SOFR + 4.50%), due 04/04/51(b) | 268,414 | |
837,000 | Wendy's International LLC, 7.00%, due 12/15/25 | 842,152 | |
620,000 | Western Midstream Operating, LP, 3.35%, due 02/01/25(k) | 578,751 | |
470,000 | Western Midstream Operating, LP, 5.30%, due 03/01/48 | 387,546 | |
1,035,000 | Western Midstream Operating, LP, 5.45%, due 04/01/44 | 850,482 | |
60,000 | Williams Cos., Inc. (The), 8.75%, due 03/15/32 | 69,949 | |
750,000 | WW International, Inc., 4.50%, due 04/15/29(h) 144A | 393,406 | |
220,000 | Wynn Macau, Ltd., 4.88%, due 10/01/24(h) 144A | 177,100 | |
620,000 | Wynn Macau, Ltd., 5.13%, due 12/15/29 144A | 404,296 | |
200,000 | Wynn Macau, Ltd., 5.50%, due 01/15/26 144A | 151,984 | |
370,000 | Wynn Macau, Ltd., 5.63%, due 08/26/28 144A | 247,182 | |
500,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, due 04/15/25 144A | 488,954 | |
1,500,000 | XPO CNW, Inc., 6.70%, due 05/01/34 | 1,395,982 | |
180,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 164,183 | |
460,000 | YPF SA, 6.95%, due 07/21/27 144A | 269,958 | |
860,000 | YPF SA, 8.50%, due 07/28/25 144A | 608,742 | |
414,050 | YPF SA, 9.00%, due 02/12/26(k) 144A | 348,976 | |
85,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 74,472 | |
520,000 | ZF North America Capital, Inc., 4.75%, due 04/29/25 144A | 473,853 | |
900,000 | Ziff Davis, Inc., 4.63%, due 10/15/30(h) 144A | 739,944 | |
240,000 | ZipRecruiter, Inc., 5.00%, due 01/15/30 144A | 194,268 | |
400,000 | ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, due 02/01/29 144A | 327,248 | |
352,471,720 | |||
Mortgage Backed Securities - Private Issuers — 4.9% | |||
355,000 | BANK, Series 2020-BN25, Class AS, 2.84%, due 01/15/63 | 287,582 | |
280,000 | Barclays Commercial Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52 | 243,909 | |
922,000 | BBCCRE Trust, Series 2015-GTP, Class F, 4.71%, due 08/10/33(d) 144A | 766,394 | |
345,000 | BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53 | 281,187 | |
390,000 | BBCMS Trust, Series 2018-CBM, Class D, 5.21% (1 mo. USD LIBOR + 2.39%), due 07/15/37(b) 144A | 373,425 | |
250,000 | Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(d) | 205,539 | |
1,000,000 | BHMS, Series 2018-MZB, Class MZB, 9.45% (1 mo. USD LIBOR + 6.64%), due 07/15/25(b) 144A | 969,667 | |
860,000 | BIG Commercial Mortgage Trust, Series 2022-BIG, Class F, 8.28% (1 mo. TSFR + 5.44%), due 02/15/39(b) 144A | 806,740 | |
324,400 | BRAVO Residential Funding Trust CMO, Series 2022-NQM2, Class A3, 5.24%, due 11/25/61(d) 144A | 316,599 | |
262,592 | BRAVO Residential Funding Trust CMO, Series 2022-NQM3, Class A3, 5.50%, due 07/25/62(d) 144A | 253,658 | |
590,000 | BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 4.97% (1 mo. USD LIBOR + 2.15%), due 04/15/34(b) 144A | 557,576 | |
690,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class G, 5.67% (1 mo. USD LIBOR + 2.85%), due 09/15/36(b) 144A | 634,320 | |
476,066 | BX Commercial Mortgage Trust, Series 2021-XL2, Class J, 6.71% (1 mo. USD LIBOR + 3.89%), due 10/15/38(b) 144A | 440,098 | |
896,472 | BX Commercial Mortgage Trust, Series 2022-LP2, Class G, 7.03% (1 mo. TSFR + 4.11%), due 02/15/39(b) 144A | 825,253 | |
950,000 | BX Trust, Series 2018-BILT, Class B, 3.84% (1 mo. USD LIBOR + 1.02%), due 05/15/30(b) 144A | 908,650 |
See accompanying Notes to the Financial Statements. | 109 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
880,000 | BX Trust, Series 2021-SDMF, Class F, 4.76% (1 mo. USD LIBOR + 1.94%), due 09/15/34(b) 144A | 789,903 | |
830,000 | BX Trust, Series 2022-LBA6, Class D, 4.85% (1 mo. TSFR + 2.00%), due 01/15/39(b) 144A | 785,152 | |
227,717 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.25%, due 12/15/47(d) 144A | 223,823 | |
425,000 | CFK Trust, Series 2020-MF2, Class F, 3.57%, due 03/15/39(d) 144A | 333,969 | |
300,000 | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 3.77% (1 mo. USD LIBOR + 0.95%), due 11/15/36(b) 144A | 291,299 | |
305,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, due 10/15/45 144A | 284,946 | |
102,995 | Credit Suisse Commercial Mortgage, Series 2018-TOP, Class F, 5.57% (1 mo. USD LIBOR + 2.75%), due 08/15/35(b) 144A | 101,658 | |
1,060,000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class F, 5.47% (1 mo. USD LIBOR + 2.65%), due 05/15/36(b) 144A | 1,017,435 | |
737,485 | Credit Suisse Mortgage Trust, Series 2019-RIO, Class B, 9.82% (1 mo. USD LIBOR + 7.00%), due 12/15/22(b) (m) | 729,981 | |
300,000 | Credit Suisse Mortgage Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A | 249,009 | |
1,050,000 | Credit Suisse Mortgage Trust, Series 2020-TMIC, Class A, 5.82% (1 mo. USD LIBOR + 3.00%), due 12/15/35(b) 144A | 1,046,199 | |
450,000 | Credit Suisse Mortgage Trust LLC, Series 2014-USA, Class F, 4.37%, due 09/15/37 144A | 310,358 | |
770,000 | ELP Commercial Mortgage Trust, Series 2021-ELP, Class D, 4.34% (1 mo. USD LIBOR + 1.52%), due 11/15/38(b) 144A | 725,731 | |
487,003 | Extended Stay America Trust, Series 2021-ESH, Class F, 6.52% (1 mo. USD LIBOR + 3.70%), due 07/15/38(b) 144A | 461,992 | |
135,307 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-1, Class M1, 4.00%, due 01/25/56(d) 144A | 133,130 | |
404,823 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-2, Class M1, 4.00%, due 08/25/56(d) 144A | 394,758 | |
556,370 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-3, Class M1, 4.00%, due 07/25/56144A (d) | 544,980 | |
415,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class M, 4.75%, due 08/25/57(d) 144A | 358,388 | |
280,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class M, 4.75%, due 07/25/58(d) 144A | 247,532 | |
790,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-3, Class M, 4.75%, due 10/25/58144A (d) | 705,197 | |
560,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class M, 4.50%, due 02/25/59(d) 144A | 475,916 | |
370,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class M, 4.25%, due 08/25/59(d) 144A | 309,202 | |
640,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-2, Class M, 4.25%, due 11/25/59(d) 144A | 548,881 | |
590,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-3, Class M, 4.25%, due 05/25/60(d) 144A | 551,608 | |
183,506 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2015-HQ1, Class B, 13.83% (1 mo. USD LIBOR + 10.75%), due 03/25/25(b) | 183,393 | |
605,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-HRP1, Class B1, 7.68% (1 mo. USD LIBOR + 4.60%), due 12/25/42(b) | 595,906 | |
209,639 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-SPI1, Class B, 4.12%, due 09/25/47(d) 144A | 181,263 | |
1,580,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA1, Class B1, 5.38% (1 mo. USD LIBOR + 2.30%), due 01/25/50(b) 144A | 1,450,911 |
110 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
142,589 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA2, Class M2, 4.93% (1 mo. USD LIBOR + 1.85%), due 02/25/50(b) 144A | 140,475 | |
1,191,333 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA3, Class B1, 8.18% (1 mo. USD LIBOR + 5.10%), due 06/25/50(b) 144A | 1,205,579 | |
830,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA5, Class B1, 7.08% (SOFR 30-day average + 4.80%), due 10/25/50(b) 144A | 837,834 | |
1,060,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA6, Class B1, 5.28% (SOFR 30-day average + 3.00%), due 12/25/50(b) 144A | 983,327 | |
970,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA1, Class B2, 7.03% (SOFR 30-day average + 4.75%), due 01/25/51(b) 144A | 738,073 | |
910,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA2, Class B1, 5.68% (SOFR 30-day average + 3.40%), due 08/25/33(b) 144A | 822,584 | |
380,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA3, Class B1, 5.78% (SOFR 30-day average + 3.50%), due 10/25/33(b) 144A | 351,438 | |
910,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA5, Class B1, 5.33% (SOFR 30-day average + 3.05%), due 01/25/34(b) 144A | 810,695 | |
400,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA6, Class M2, 3.78% (SOFR 30-day average + 1.50%), due 10/25/41(b) 144A | 363,891 | |
930,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA7, Class B1, 5.93% (SOFR 30-day average + 3.65%), due 11/25/41(b) 144A | 822,552 | |
1,090,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO , Series 2022-DNA3, Class M1B, 5.18% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A | 1,031,367 | |
328,525 | FHLMC Structured Asset Mortgage Investments II Trust CMO, Series 2005-AR2, Class 2A2, 3.64% (1 mo. USD LIBOR + 0.56%), due 05/25/45(b) | 244,561 | |
484,814 | FNMA Connecticut Avenue Securities CMO, Series 2014-C04, Class 1M2, 7.98% (1 mo. USD LIBOR + 4.90%), due 11/25/24144A (b) | 501,357 | |
440,000 | FNMA Connecticut Avenue Securities CMO, Series 2017-C07, Class 1B1, 7.08% (1 mo. USD LIBOR + 4.00%), due 05/25/30144A (b) | 446,335 | |
610,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1B1, 6.63% (1 mo. USD LIBOR + 3.55%), due 07/25/30144A (b) | 609,014 | |
1,210,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1B1, 7.33% (1 mo. USD LIBOR + 4.25%), due 01/25/31144A (b) | 1,230,038 | |
492,500 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1B1, 6.83% (1 mo. USD LIBOR + 3.75%), due 03/25/31144A (b) | 488,031 | |
404,910 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1M2, 5.08% (1 mo. USD LIBOR + 2.00%), due 03/25/31144A (b) | 400,765 | |
610,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2018-R07, Class 1B1, 7.43% (1 mo. USD LIBOR + 4.35%), due 04/25/31(b) 144A | 612,103 | |
680,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2019-R07, Class 1B1, 6.48% (1 mo. USD LIBOR + 3.40%), due 10/25/39(b) 144A | 654,128 | |
170,041 | FNMA Connecticut Avenue Securities Trust CMO, Series 2020-R01, Class 1M2, 5.13% (1 mo. USD LIBOR + 2.05%), due 01/25/40(b) 144A | 167,681 | |
780,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R01, Class 1B1, 5.38% (SOFR 30-day average + 3.10%), due 10/25/41(b) 144A | 709,353 | |
800,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R03, Class 1B1, 5.03% (SOFR 30-day average + 2.75%), due 12/25/41(b) 144A | 680,542 | |
510,000 | GS Mortgage Securities Corp. Trust, Series 2018-LUAU, Class G, 7.27% (1 mo. USD LIBOR + 4.45%), due 11/15/32(b) 144A | 473,069 | |
570,000 | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 3.92% (1 mo. USD LIBOR + 1.10%), due 12/15/36(b) 144A | 559,153 | |
265,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.30%, due 08/10/44(d) 144A | 116,649 | |
280,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.84%, due 06/10/47(d) 144A | 250,189 | |
163,991 | HarborView Mortgage Loan Trust CMO, Series 2005-9, Class 2A1C, 3.89% (1 mo. USD LIBOR + 0.90%), due 06/20/35(b) | 150,269 |
See accompanying Notes to the Financial Statements. | 111 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
1,390,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 11.33% (1 mo. USD LIBOR + 8.51%), due 06/15/35(b) 144A | 1,391 | |
1,210,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL, 5.78% (1 mo. USD LIBOR + 3.15%), due 07/05/33(b) 144A | 1,164,253 | |
530,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 5.67% (1 mo. USD LIBOR + 2.60%), due 09/15/29(b) 144A | 502,347 | |
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F, 6.47% (1 mo. USD LIBOR + 3.40%), due 09/15/29(b) 144A | 758,851 | |
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F, 5.67% (1 mo. USD LIBOR + 2.85%), due 12/15/36(b) 144A | 612,911 | |
760,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX, 4.84%, due 01/16/37(d) 144A | 615,264 | |
810,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class F, 7.08% (1 mo. USD LIBOR + 4.27%), due 11/15/38(b) 144A | 734,418 | |
960,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D, 5.01% (1 mo. TSFR + 2.17%), due 04/15/37(b) 144A | 896,170 | |
625,480 | KIND Trust, Series 2021-KIND, Class D, 5.12% (1 mo. USD LIBOR + 2.30%), due 08/15/38(b) 144A | 580,753 | |
181,142 | Legacy Mortgage Asset Trust CMO, Series 2020-GS5, Class A1, 3.25%, due 06/25/60(k) 144A | 177,006 | |
535,000 | Med Trust, Series 2021-MDLN, Class C, 4.62% (1 mo. USD LIBOR + 1.80%), due 11/15/38(b) 144A | 510,925 | |
580,000 | Med Trust, Series 2021-MDLN, Class E, 5.97% (1 mo. USD LIBOR + 3.15%), due 11/15/38(b) 144A | 548,189 | |
590,000 | MHC Trust, Series 2021-MHC2, Class E, 4.77% (1 mo. USD LIBOR + 1.95%), due 05/15/38(b) 144A | 556,149 | |
320,000 | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.42%, due 07/11/40(d) 144A | 284,196 | |
364,449 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%, due 10/15/30 144A | 349,353 | |
478,019 | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 6.33% (1 mo. USD LIBOR + 3.25%), due 10/25/49(b) 144A | 454,623 | |
460,000 | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 6.83% (1 mo. USD LIBOR + 3.75%), due 03/25/50(b) 144A | 431,555 | |
320,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 4.32% (1 mo. USD LIBOR + 1.50%), due 07/15/36(b) 144A | 315,080 | |
407,024 | New Residential Mortgage Loan Trust CMO, Series 2017-5A, Class B4, 3.30%, due 06/25/57(d) 144A | 387,299 | |
685,374 | OPG Trust, Series 2021-PORT, Class D, 3.95% (1 mo. USD LIBOR + 1.13%), due 10/15/36(b) 144A | 626,837 | |
80,116 | PMT Credit Risk Transfer Trust CMO, Series 2019-3R, Class A, 5.81% (1 mo. USD LIBOR + 2.70%), due 10/27/22(b) 144A | 77,309 | |
500,000 | Radnor RE, Ltd. CMO, Series 2020-1, Class M1C, 4.83% (1 mo. USD LIBOR + 1.75%), due 01/25/30(b) 144A | 475,573 | |
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 5.57% (1 mo. USD LIBOR + 2.75%), due 11/15/27(b) (f) (m) | 117,641 | |
900,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 6.32% (1 mo. USD LIBOR + 3.50%), due 11/15/27(b) (f) (m) | 260,262 | |
766,336 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class E, 6.12% (1 mo. USD LIBOR + 3.48%), due 11/11/34(b) 144A | 720,853 | |
761,476 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class F, 6.90% (1 mo. USD LIBOR + 4.25%), due 11/11/34(b) 144A | 716,280 | |
940,000 | Towd Point Mortgage Trust CMO, Series 2017-5, Class B1, 3.28% (1 mo. USD LIBOR + 1.80%), due 02/25/57(b) 144A | 915,379 |
112 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
590,000 | Towd Point Mortgage Trust CMO, Series 2019-4, Class B1B, 3.50%, due 10/25/59(d) 144A | 442,510 | |
264,352 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR1, Class A1B, 3.86% (1 mo. USD LIBOR + 0.78%), due 01/25/45(b) | 245,477 | |
519,731 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR6, Class 2A1A, 3.54% (1 mo. USD LIBOR + 0.46%), due 04/25/45(b) | 500,701 | |
353,546 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2006-AR16, Class 2A2, 2.43%, due 12/25/36(d) | 313,577 | |
256,862 | Wells Fargo Mortgage Backed Securities Trust CMO, Series 2006-AR5, Class 2A1, 2.76%, due 04/25/36(d) | 243,794 | |
53,841,095 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.1% | |||
60,000 | FNMA, Pool # BL5547, 2.68%, due 01/01/35 | 49,423 | |
128,355 | FNMA, Pool # BM6224, 2.79%, due 01/01/35(d) | 109,840 | |
251,412 | UMBS, Pool # BM5520, 3.50%, due 02/01/47 | 230,755 | |
390,018 | |||
Sovereign Debt Obligations — 28.9% | |||
940,000 | Abu Dhabi Government International Bond, 3.13%, due 09/30/49 144A | 664,909 | |
240,000 | Angolan Government International Bond, 8.75%, due 04/14/32 144A | 178,596 | |
5,505 | Argentine Republic Government International Bond, 1.00%, due 07/09/29 | 1,066 | |
327,438 | Argentine Republic Government International Bond, 5.00%, due 07/09/46(k) | 62,738 | |
1,425,000 | Bahrain Government International Bond (MTN), 5.63%, due 05/18/34(i) | 1,119,762 | |
1,130,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.30%, due 10/01/28(i) | 916,388 |
655,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.80%, due 10/01/33(i) 144A | 481,403 |
1,205,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 1,150,858 |
1,115,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 09/01/30(i) | 1,018,493 |
1,825,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 10/01/28(i) 144A | 1,733,647 |
115,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 102,591 |
375,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43 | 358,025 |
20,349,000 | BRL | Brazil Letras do Tesouro Nacional, 0.00%, due 07/01/23(g) | 3,425,939 |
30,965,000 | BRL | Brazil Letras do Tesouro Nacional, 0.00%, due 01/01/24(g) | 4,928,949 |
6,227,000 | BRL | Brazil Letras do Tesouro Nacional, 0.00%, due 07/01/24(g) | 944,478 |
8,519,000 | BRL | Brazil Letras do Tesouro Nacional, 0.00%, due 07/01/25(g) | 1,169,442 |
140,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 24.76%, due 05/15/35 | 104,816 |
202,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 24.76%, due 08/15/50 | 152,237 |
214,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 24.86%, due 05/15/45 | 160,671 |
13,168,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/23 | 2,409,788 |
19,056,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/25 | 3,418,179 |
43,683,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/27 | 7,610,451 |
52,992,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/29 | 9,013,606 |
57,691,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/31 | 9,636,962 |
1,000,000 | Brazilian Government International Bond, 4.63%, due 01/13/28 | 930,165 | |
1,760,000 | Brazilian Government International Bond, 4.75%, due 01/14/50 | 1,203,611 | |
90,000 | EUR | Bundesrepublik Deutschland Bundesanleihe, 0.01%, due 08/15/26(i) | 82,288 |
14,260,000 | CNY | China Government Bond, 1.99%, due 04/09/25 | 1,995,863 |
11,780,000 | CNY | China Government Bond, 2.68%, due 05/21/30 | 1,653,486 |
16,020,000 | CNY | China Government Bond, 2.75%, due 02/17/32 | 2,243,318 |
510,000 | CNY | China Government Bond, 2.76%, due 05/15/32 | 71,686 |
See accompanying Notes to the Financial Statements. | 113 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
7,320,000 | CNY | China Government Bond, 2.85%, due 06/04/27 | 1,046,503 |
12,590,000 | CNY | China Government Bond, 3.02%, due 10/22/25 | 1,811,604 |
22,460,000 | CNY | China Government Bond, 3.02%, due 05/27/31 | 3,214,277 |
8,120,000 | CNY | China Government Bond, 3.13%, due 11/21/29 | 1,177,547 |
10,530,000 | CNY | China Government Bond, 3.25%, due 11/22/28 | 1,537,747 |
6,090,000 | CNY | China Government Bond, 3.27%, due 11/19/30 | 893,504 |
4,920,000 | CNY | China Government Bond, 3.29%, due 05/23/29 | 722,007 |
1,240,000 | CNY | China Government Bond, 3.72%, due 04/12/51 | 190,751 |
6,950,000 | CNY | China Government Bond, 3.81%, due 09/14/50 | 1,083,192 |
270,000 | Ciudad Autonoma De Buenos Aires/Government Bonds, 7.50%, due 06/01/27(i) | 235,745 | |
1,770,000 | Colombia Government International Bond, 4.13%, due 05/15/51 | 954,769 | |
1,065,000 | Colombia Government International Bond, 4.50%, due 03/15/29 | 877,240 | |
3,012,700,000 | COP | Colombian TES, 5.75%, due 11/03/27 | 495,646 |
27,482,700,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 4,468,081 |
6,852,200,000 | COP | Colombian TES, 6.25%, due 11/26/25 | 1,270,905 |
12,635,500,000 | COP | Colombian TES, 6.25%, due 07/09/36 | 1,610,281 |
2,320,200,000 | COP | Colombian TES, 7.00%, due 03/26/31 | 359,433 |
1,517,200,000 | COP | Colombian TES, 7.00%, due 03/26/31 | 235,037 |
30,338,700,000 | COP | Colombian TES, 7.00%, due 06/30/32 | 4,542,331 |
13,094,300,000 | COP | Colombian TES, 7.25%, due 10/18/34 | 1,912,318 |
6,650,400,000 | COP | Colombian TES, 7.25%, due 10/26/50 | 839,525 |
19,911,700,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 3,710,849 |
16,857,600,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 2,786,026 |
1,500,100,000 | COP | Colombian TES, 9.25%, due 05/28/42 | 242,168 |
20,503,900,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 4,343,620 |
4,440,000 | CZK | Czech Republic Government Bond, 0.00%, due 12/12/24(g) | 156,928 |
9,720,000 | CZK | Czech Republic Government Bond, 0.25%, due 02/10/27 | 310,788 |
29,900,000 | CZK | Czech Republic Government Bond, 0.95%, due 05/15/30(i) | 872,461 |
15,220,000 | CZK | Czech Republic Government Bond, 1.00%, due 06/26/26(i) | 517,983 |
12,320,000 | CZK | Czech Republic Government Bond, 1.20%, due 03/13/31 | 356,555 |
20,910,000 | CZK | Czech Republic Government Bond, 1.25%, due 02/14/25 | 749,023 |
12,910,000 | CZK | Czech Republic Government Bond, 1.75%, due 06/23/32 | 379,086 |
33,120,000 | CZK | Czech Republic Government Bond, 2.00%, due 10/13/33 | 967,958 |
4,270,000 | CZK | Czech Republic Government Bond, 2.40%, due 09/17/25(i) | 155,767 |
4,900,000 | CZK | Czech Republic Government Bond, 2.50%, due 08/25/28(i) | 167,764 |
24,930,000 | CZK | Czech Republic Government Bond, 2.75%, due 07/23/29 | 849,541 |
3,220,000 | CZK | Czech Republic Government Bond, 4.20%, due 12/04/36(i) | 114,530 |
8,840,000 | CZK | Czech Republic Government Bond, 5.70%, due 05/25/24(i) | 351,070 |
4,340,000 | CZK | Czech Republic Government Bond, 6.00%, due 02/26/26 | 175,066 |
350,000 | Dominican Republic International Bond, 5.50%, due 02/22/29 144A | 302,574 | |
510,000 | Dominican Republic International Bond, 5.50%, due 02/22/29(i) | 440,893 | |
1,005,000 | Dominican Republic International Bond, 6.00%, due 07/19/28 144A | 915,574 | |
2,290,000 | Dominican Republic International Bond, 6.00%, due 02/22/33 144A | 1,869,571 | |
7,061,000 | EGP | Egypt Government Bond, 14.66%, due 10/06/30 | 304,895 |
6,937,000 | EGP | Egypt Government Bond, 14.82%, due 07/06/31 | 300,953 |
117,080,000 | MXN | European Investment Bank, (MTN), 5.50%, due 01/23/23 | 5,675,389 |
5,140,000 | ZAR | European Investment Bank, (MTN), 8.50%, due 09/17/24(i) | 287,352 |
490,000 | Gabon Government International Bond, 7.00%, due 11/24/31 144A | 324,571 | |
1,160,000 | Ghana Government International Bond, 7.63%, due 05/16/29 144A | 446,600 |
114 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
200,000 | Ghana Government International Bond, 8.13%, due 03/26/32 144A | 75,722 | |
161,890,000 | HUF | Hungary Government Bond, 1.00%, due 11/26/25 | 273,548 |
121,750,000 | HUF | Hungary Government Bond, 1.50%, due 04/22/26 | 203,855 |
82,840,000 | HUF | Hungary Government Bond, 1.50%, due 08/26/26 | 135,573 |
103,180,000 | HUF | Hungary Government Bond, 2.50%, due 10/24/24 | 196,324 |
262,400,000 | HUF | Hungary Government Bond, 2.75%, due 12/22/26 | 445,765 |
266,700,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 446,617 |
205,360,000 | HUF | Hungary Government Bond, 3.00%, due 08/21/30 | 305,387 |
152,850,000 | HUF | Hungary Government Bond, 4.00%, due 04/28/51 | 166,896 |
163,750,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 321,328 |
174,190,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 344,356 |
985,000 | Hungary Government International Bond, 5.50%, due 06/16/34 144A | 834,843 | |
1,530,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 1,393,129 | |
1,800,000 | Indonesia Government International Bond, 3.55%, due 03/31/32 | 1,565,185 | |
5,936,000,000 | IDR | Indonesia Treasury Bond, 5.50%, due 04/15/26 | 374,914 |
7,852,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 491,828 |
21,081,000,000 | IDR | Indonesia Treasury Bond, 6.25%, due 06/15/36 | 1,247,347 |
42,237,000,000 | IDR | Indonesia Treasury Bond, 6.38%, due 04/15/32 | 2,585,271 |
10,000,000,000 | IDR | Indonesia Treasury Bond, 6.50%, due 06/15/25 | 651,768 |
18,728,000,000 | IDR | Indonesia Treasury Bond, 6.50%, due 02/15/31 | 1,165,545 |
10,023,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 617,500 |
12,152,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 798,445 |
24,257,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 09/15/30 | 1,563,471 |
4,546,000,000 | IDR | Indonesia Treasury Bond, 7.38%, due 05/15/48 | 297,255 |
25,799,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 08/15/32 | 1,703,302 |
72,006,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 05/15/38 | 4,755,257 |
61,976,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 04/15/40 | 4,091,983 |
23,542,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/29 | 1,622,933 |
2,658,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 184,191 |
30,556,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/36 | 2,112,623 |
2,683,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 181,501 |
24,937,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 1,720,837 |
73,023,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 5,097,104 |
50,810,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 04/15/39 | 3,586,914 |
25,272,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 1,790,375 |
8,328,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 594,262 |
6,017,000,000 | IDR | Indonesia Treasury Bond, 9.50%, due 07/15/31 | 447,872 |
5,494,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 430,684 |
22,300,000,000 | IDR | Inter-American Development Bank, (MTN), 7.88%, due 03/14/23 | 1,472,437 |
840,000 | Israel Government International Bond, 3.88%, due 07/03/50 | 680,051 | |
170,000 | EUR | Ivory Coast Government International Bond, 4.88%, due 01/30/32 144A | 112,124 |
194,353 | Ivory Coast Government International Bond, 5.75%, due 12/31/32(i) (k) | 166,687 | |
740,000 | Ivory Coast Government International Bond, 6.13%, due 06/15/33(i) | 566,100 | |
820,000 | Jordan Government International Bond, 7.75%, due 01/15/28 144A | 776,950 | |
510,000 | Kazakhstan Government International Bond, (MTN), 5.13%, due 07/21/25(i) | 522,036 | |
18,475,000 | MYR | Malaysia Government Bond, 2.63%, due 04/15/31 | 3,454,085 |
8,437,000 | MYR | Malaysia Government Bond, 3.50%, due 05/31/27 | 1,776,011 |
2,231,000 | MYR | Malaysia Government Bond, 3.58%, due 07/15/32 | 448,092 |
19,983,000 | MYR | Malaysia Government Bond, 3.73%, due 06/15/28 | 4,180,600 |
See accompanying Notes to the Financial Statements. | 115 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
1,022,000 | MYR | Malaysia Government Bond, 3.76%, due 05/22/40 | 190,874 |
7,355,000 | MYR | Malaysia Government Bond, 3.80%, due 08/17/23 | 1,595,703 |
6,029,000 | MYR | Malaysia Government Bond, 3.83%, due 07/05/34 | 1,196,415 |
2,226,000 | MYR | Malaysia Government Bond, 3.84%, due 04/15/33 | 450,023 |
13,227,000 | MYR | Malaysia Government Bond, 3.88%, due 03/14/25 | 2,859,513 |
661,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 141,632 |
11,843,000 | MYR | Malaysia Government Bond, 3.89%, due 08/15/29 | 2,481,395 |
13,201,000 | MYR | Malaysia Government Bond, 3.90%, due 11/30/26 | 2,833,214 |
6,454,000 | MYR | Malaysia Government Bond, 3.90%, due 11/16/27 | 1,379,315 |
13,930,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 3,010,263 |
6,292,000 | MYR | Malaysia Government Bond, 4.06%, due 09/30/24 | 1,369,019 |
624,000 | MYR | Malaysia Government Bond, 4.13%, due 04/15/32 | 129,802 |
953,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 207,340 |
1,205,000 | MYR | Malaysia Government Bond, 4.23%, due 06/30/31 | 254,432 |
10,249,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 2,239,551 |
4,041,000 | MYR | Malaysia Government Bond, 4.50%, due 04/15/30 | 876,325 |
1,597,000 | MYR | Malaysia Government Bond, 4.74%, due 03/15/46 | 332,826 |
2,852,000 | MYR | Malaysia Government Bond, 4.76%, due 04/07/37 | 619,671 |
2,733,000 | MYR | Malaysia Government Bond, 4.89%, due 06/08/38 | 593,053 |
54,456,000 | MXN | Mexican Bonos, 5.00%, due 03/06/25 | 2,407,669 |
7,390,100 | MXN | Mexican Bonos, 5.50%, due 03/04/27 | 311,498 |
56,189,300 | MXN | Mexican Bonos, 5.75%, due 03/05/26 | 2,454,948 |
69,699,300 | MXN | Mexican Bonos, 6.75%, due 03/09/23 | 3,414,217 |
98,046,800 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 4,469,266 |
114,205,500 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 5,045,120 |
13,291,700 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 570,550 |
79,632,200 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 3,288,217 |
34,255,100 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 1,654,006 |
38,912,200 | MXN | Mexican Bonos, 8.00%, due 09/05/24 | 1,855,865 |
66,316,900 | MXN | Mexican Bonos, 8.00%, due 11/07/47 | 2,783,661 |
36,251,300 | MXN | Mexican Bonos, 8.00%, due 07/31/53 | 1,521,867 |
26,246,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 1,230,765 |
18,748,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 879,158 |
18,941,600 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 850,490 |
44,694,000 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 2,006,790 |
70,766,900 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 3,497,044 |
39,600,000 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 1,956,889 |
10,209,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 520,876 |
16,352,500 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 834,325 |
19,350,000 | MXN | Mexican Udibonos, 4.50%, due 11/22/35 | 951,597 |
1,220,000 | Mexico Government International Bond, 2.66%, due 05/24/31 | 938,405 | |
595,000 | Mexico Government International Bond, 4.88%, due 05/19/33 | 524,186 | |
845,000 | Oman Government International Bond, 5.63%, due 01/17/28(i) | 787,587 | |
1,535,000 | Oman Government International Bond, 5.63%, due 01/17/28 144A | 1,430,706 | |
930,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 630,980 | |
4,983,000 | PEN | Peru Government Bond, 5.40%, due 08/12/34 | 935,801 |
3,892,000 | PEN | Peru Government Bond, 5.94%, due 02/12/29 | 857,065 |
1,710,000 | PEN | Peru Government Bond, 6.15%, due 08/12/32 | 355,173 |
1,838,000 | PEN | Peru Government Bond, 6.35%, due 08/12/28 | 420,598 |
116 | See accompanying Notes to the Financial Statements. |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
2,657,000 | PEN | Peru Government Bond, 6.95%, due 08/12/31 | 595,030 |
740,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 587,773 | |
6,789,000 | PEN | Peruvian Government International Bond (GDN), 6.35%, due 08/12/28(i) | 1,553,557 |
5,543,000 | PEN | Peruvian Government International Bond (GDN), 6.95%, due 08/12/31(i) | 1,227,539 |
3,571,000 | PEN | Peruvian Government International Bond (GDN), 8.20%, due 08/12/26(i) | 929,842 |
1,780,031 | Provincia de Buenos Aires/Government Bonds, 6.63%, due 09/01/37(k) 144A | 558,485 | |
421,629 | Provincia de Cordoba, 6.98%, due 12/10/25(k) 144A | 321,703 | |
490,000 | Qatar Government International Bond, 4.82%, due 03/14/49 144A | 454,679 | |
200,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 194,248 | |
700,000 | GHS | Republic of Ghana Government Bonds, 20.75%, due 03/06/23 | 63,551 |
265,000 | Republic of Kenya Government International Bond, 8.00%, due 05/22/32(i) | 180,438 | |
10,600,000 | PLN | Republic of Poland Government Bond, 0.25%, due 10/25/26 | 1,630,348 |
19,947,000 | PLN | Republic of Poland Government Bond, 1.25%, due 10/25/30 | 2,611,809 |
19,700,000 | PLN | Republic of Poland Government Bond, 1.75%, due 04/25/32 | 2,537,387 |
3,783,000 | PLN | Republic of Poland Government Bond, 2.25%, due 10/25/24 | 693,654 |
8,468,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/26 | 1,443,966 |
2,456,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/27 | 402,189 |
13,189,000 | PLN | Republic of Poland Government Bond, 2.75%, due 04/25/28 | 2,131,309 |
18,420,000 | PLN | Republic of Poland Government Bond, 2.75%, due 10/25/29 | 2,825,469 |
1,395,000 | PLN | Republic of Poland Government Bond, 3.25%, due 07/25/25 | 253,297 |
6,308,000 | PLN | Republic of Poland Government Bond, 3.75%, due 05/25/27 | 1,098,606 |
54,099,506 | ZAR | Republic of South Africa Government Bond, 6.25%, due 03/31/36 | 1,913,237 |
51,641,391 | ZAR | Republic of South Africa Government Bond, 6.50%, due 02/28/41 | 1,739,099 |
43,547,776 | ZAR | Republic of South Africa Government Bond, 7.00%, due 02/28/31 | 1,875,056 |
49,246,117 | ZAR | Republic of South Africa Government Bond, 8.00%, due 01/31/30 | 2,347,428 |
31,459,774 | ZAR | Republic of South Africa Government Bond, 8.25%, due 03/31/32 | 1,441,049 |
109,820,658 | ZAR | Republic of South Africa Government Bond, 8.50%, due 01/31/37 | 4,720,654 |
118,571,470 | ZAR | Republic of South Africa Government Bond, 8.75%, due 01/31/44 | 5,005,765 |
187,105,820 | ZAR | Republic of South Africa Government Bond, 8.75%, due 02/28/48 | 7,871,510 |
33,240,000 | ZAR | Republic of South Africa Government Bond, 8.75%, due 02/28/48 | 1,398,401 |
43,668,448 | ZAR | Republic of South Africa Government Bond, 8.88%, due 02/28/35 | 1,988,011 |
20,399,230 | ZAR | Republic of South Africa Government Bond, 9.00%, due 01/31/40 | 895,591 |
52,982,270 | ZAR | Republic of South Africa Government Bond, 10.50%, due 12/21/26 | 3,052,690 |
1,050,000 | Republic of South Africa Government International Bond, 4.85%, due 09/30/29 | 870,397 | |
1,690,000 | Republic of South Africa Government International Bond, 5.88%, due 04/20/32 | 1,400,324 | |
1,345,000 | RON | Romania Government Bond, 3.25%, due 04/29/24 | 247,541 |
2,940,000 | RON | Romania Government Bond, 3.25%, due 06/24/26 | 486,956 |
1,500,000 | RON | Romania Government Bond, 3.65%, due 09/24/31 | 207,464 |
860,000 | RON | Romania Government Bond, 4.00%, due 10/25/23 | 163,883 |
1,235,000 | RON | Romania Government Bond, 4.15%, due 10/24/30 | 183,201 |
1,195,000 | RON | Romania Government Bond, 4.25%, due 06/28/23 | 230,446 |
2,315,000 | RON | Romania Government Bond, 4.75%, due 10/11/34 | 328,560 |
995,000 | RON | Romania Government Bond, 4.85%, due 07/25/29 | 159,642 |
1,570,000 | RON | Romania Government Bond, 5.00%, due 02/12/29 | 256,916 |
1,560,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 275,343 |
618,000 | EUR | Romanian Government International Bond, 2.75%, due 02/26/26 144A | 550,435 |
134,000 | EUR | Romanian Government International Bond, 3.62%, due 05/26/30 144A | 99,154 |
42,983,000 | RUB | Russian Federal Bond - OFZ, 5.70%, due 05/17/28(o) | 200,412 |
52,609,000 | RUB | Russian Federal Bond - OFZ, 6.10%, due 07/18/35(o) | 236,687 |
See accompanying Notes to the Financial Statements. | 117 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
103,487,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 05/23/29(o) | 482,516 |
40,222,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23(o) | 187,538 |
86,446,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28(o) | 403,061 |
18,639,000 | RUB | Russian Federal Bond - OFZ, 7.10%, due 10/16/24(o) | 86,906 |
125,568,000 | RUB | Russian Federal Bond - OFZ, 7.25%, due 05/10/34(o) | 564,928 |
56,819,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 12/07/22(o) | 264,923 |
40,966,000 | RUB | Russian Federal Bond - OFZ, 7.65%, due 04/10/30(o) | 191,007 |
85,421,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/23/33(o) | 384,307 |
24,639,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/16/39(o) | 110,850 |
135,970,000 | RUB | Russian Federal Bond - OFZ, 7.75%, due 09/16/26(o) | 633,971 |
47,137,000 | RUB | Russian Federal Bond - OFZ, 7.95%, due 10/07/26(o) | 219,780 |
71,354,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27(o) | 332,693 |
83,475,000 | RUB | Russian Federal Bond - OFZ, 8.50%, due 09/17/31(o) | 389,209 |
781,000 | EUR | Serbia International Bond, 1.00%, due 09/23/28 144A | 513,100 |
55,023,000 | THB | Thailand Government Bond, 2.13%, due 12/17/26 | 1,436,388 |
3,718,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 100,064 |
720,000 | UAE International Government Bond, 4.95%, due 07/07/52(h) 144A | 693,900 | |
7,884,000 | UYU | Uruguay Government International Bond, 8.50%, due 03/15/28(i) | 168,135 |
317,224,984 | |||
U.S. Government and Agency Obligations — 1.3% | |||
1,870,000 | U.S. Treasury Note, 0.13%, due 12/31/22 | 1,854,788 | |
1,575,600 | U.S. Treasury Note, 2.00%, due 02/15/23 | 1,565,719 | |
3,088,500 | U.S. Treasury Note, 2.38%, due 01/31/23 | 3,075,033 | |
3,158,000 | U.S. Treasury Note, 2.50%, due 03/31/23 | 3,137,722 | |
4,280,000 | U.S. Treasury Note, 2.50%, due 05/31/24 | 4,156,700 | |
120,000 | U.S. Treasury Note, 2.88%, due 05/15/32 | 110,972 | |
13,900,934 | |||
TOTAL DEBT OBLIGATIONS (COST $1,145,560,679) | 990,842,026 |
Shares | Description | Value ($) | |
COMMON STOCKS — 0.0% | |||
Energy — 0.0% | |||
10 | Amplify Energy Corp.* | 66 | |
Industrial — 0.0% | |||
1,282 | Arctic Canadian Diamond Co., Ltd.* (f) (p) | — | |
TOTAL COMMON STOCKS (COST $0) | 66 | ||
CONVERTIBLE PREFERRED STOCKS — 0.4% | |||
Consumer, Non-cyclical — 0.0% | |||
144 | Danaher Corp., 5.00%(h) | 194,038 | |
979 | Elanco Animal Health, Inc., 5.00% | 20,471 | |
214,509 |
118 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Energy — 0.3% | |||
103,220 | MPLX, LP, 8.46%(j) (k) | 3,734,105 | |
Utilities — 0.1% | |||
2,054 | AES Corp. (The), 6.88% | 181,512 | |
3,924 | American Electric Power Co., Inc., 6.13%(h) | 194,238 | |
3,659 | NextEra Energy, Inc., 6.22% | 177,681 | |
1,886 | NiSource, Inc., 7.75% | 189,713 | |
743,144 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $4,438,946) | 4,691,758 | ||
PREFERRED STOCKS — 0.1% | |||
Financial — 0.1% | |||
8,000 | B Riley Financial, Inc., 5.50% | 191,280 | |
7,150 | B Riley Financial, Inc., 5.25% | 150,722 | |
342,002 | |||
TOTAL PREFERRED STOCKS (COST $378,750) | 342,002 |
Notional Value | Description | Value ($) | |
PURCHASED OPTIONS — 0.2% | |||
PURCHASED CURRENCY OPTIONS — 0.0% | |||
Call Option — 0.0% | |||
4,100,000 | USD/GBP Option with Morgan Stanley & Co., Strike Price GBP 1.19, Expires 10/07/22 | 253,962 | |
Put Options — 0.0% | |||
1,318,000 | USD/CAD Option with Citigroup Global Markets, Inc., Strike Price CAD 1.27, Expires 10/11/22 | 1 | |
438,000 | USD/CAD Option with Citigroup Global Markets, Inc., Strike Price CAD 1.26, Expires 10/11/22 | 1 | |
438,000 | USD/CAD Option with Citigroup Global Markets, Inc., Strike Price CAD 1.27, Expires 10/11/22 | 1 | |
1,342,000 | USD/CAD Option with Goldman Sachs & Co., Strike Price CAD 1.27, Expires 10/14/22 | 5 | |
904,000 | USD/CAD Option with Morgan Stanley & Co., Strike Price CAD 1.27, Expires 10/07/22 | 1 | |
9,961,000 | USD/JPY Option with Morgan Stanley & Co., Strike Price JPY 128.57, Expires 11/07/22 | 7,829 | |
3,200,000 | USD/MXN Option with Citigroup Global Markets, Inc., Strike Price MXN 20.62, Expires 10/13/22 | 85,325 | |
TOTAL PURCHASED CURRENCY OPTIONS (PREMIUMS PAID $434,374) | 347,125 |
Number of Contracts | Notional Value ($) | Description | Value ($) |
PURCHASED FUTURES OPTIONS — 0.2% | |||
Call Option — 0.0% | |||
20,000 | 1,910,200 | Euro 90-Day Futures with Citigroup Global Markets, Inc., Strike Price $99.00, Expires 12/18/23 | 950 |
See accompanying Notes to the Financial Statements. | 119 |
Number of Contracts | Notional Value ($) | Description | Value ($) |
Put Options — 0.2% | |||
1,100 | 3,961,650 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,600.00, Expires 10/21/22 | 111,650 |
1,600 | 5,762,400 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,400.00, Expires 11/18/22 | 128,000 |
1,200 | 4,321,800 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,500.00, Expires 11/18/22 | 131,700 |
4,200 | 15,126,300 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,700.00, Expires 12/16/22 | 949,200 |
1,700 | 6,122,550 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,500.00, Expires 12/16/22 | 238,425 |
TOTAL PURCHASED FUTURES OPTIONS (PREMIUMS PAID $843,653) | 1,559,925 | ||
TOTAL PURCHASED OPTIONS (PREMIUMS PAID $1,278,027) | 1,907,050 |
Par Value | Description | Value ($) | |
SHORT-TERM INVESTMENTS — 2.4% | |||
Mutual Fund - Securities Lending Collateral — 1.8% | |||
19,636,697 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(q) (r) | 19,636,697 | |
U.S. Government and Agency Obligation — 0.6% | |||
7,240,000 | U.S. Treasury Bill, 3.69%, due 06/15/23(g) | 7,054,773 | |
TOTAL SHORT-TERM INVESTMENTS (COST $26,729,238) | 26,691,470 | ||
TOTAL INVESTMENTS — 93.4% (Cost $1,178,385,640) | 1,024,474,372 | ||
Other Assets and Liabilities (net)(s) — 6.6% | 72,647,188 | ||
NET ASSETS — 100.0% | $1,097,121,560 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate note. Rate shown is as of September 30, 2022. |
(c) | When-issued security. |
(d) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(e) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(f) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $1,483,367 which represents 0.1% of net assets. The aggregate cost of these securities held at September 30, 2022 was $2,299,419. |
120 | See accompanying Notes to the Financial Statements. |
(g) | Interest rate presented is yield to maturity. |
(h) | All or a portion of this security is out on loan. |
(i) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(j) | Security is perpetual and has no stated maturity date. |
(k) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. Rate shown is current coupon rate. |
(l) | Security is currently in default. |
(m) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of period end, the market value of restricted securities was $1,761,285, which is 0.2% of net assets. See details shown in the Restricted Securities table that follows. |
(n) | Year of maturity is greater than 2100. |
(o) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at period end is $4,688,788 which represents 0.0% of net assets. The aggregate cost of these securities held at September 30, 2022 was $15,102,904. |
(p) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(q) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(r) | Represents an investment of securities lending cash collateral. |
(s) | As of September 30, 2022, the value of unfunded loan commitments was $71,594 for the Fund. See Notes to the Schedule of Investments. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $338,791,236 which represents 30.9% of net assets. |
Restricted Securities | Acquisition Date | Principal Amount | Cost | Value | |||||
Credit Suisse Mortgage Trust, Series 2019-RIO, 9.82%, Class B, (1 mo. USD LIBOR + 7.00%), due 12/15/22 | 12/16/19 | USD | 737,485 | $ 737,485 | $ 729,981 | ||||
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22 | 01/25/19 | USD | 400,000 | 395,275 | 24 | ||||
Societe Generale SA, 3.63%, due 03/01/41 | 02/22/21 | USD | 1,095,000 | 1,094,411 | 653,377 | ||||
Starwood Retail Property Trust, Series 2014-STAR, 5.57%, Class C, (1 mo. USD LIBOR + 2.75%), due 11/15/27 | 07/25/18 | USD | 230,000 | 226,550 | 117,641 | ||||
Starwood Retail Property Trust, Series 2014-STAR, 6.32%, Class D, (1 mo. USD LIBOR + 3.50%), due 11/15/27 | 12/21/18 | USD | 900,000 | 732,750 | 260,262 | ||||
$1,761,285 |
See accompanying Notes to the Financial Statements. | 121 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
BRL | 2,031,600 | USD | 372,482 | 11/07/22 | Goldman Sachs International | $ 69 | ||||
CHF | 395,300 | USD | 401,051 | 11/07/22 | Bank of America, N.A. | 1,793 | ||||
CLP | 462,267,168 | USD | 477,677 | 11/07/22 | Bank of America, N.A. | 2,319 | ||||
CLP | 4,413,333,900 | USD | 4,276,156 | 10/17/22 | JPMorgan Chase Bank N.A. | 323,384 | ||||
CLP | 380,770,232 | USD | 385,364 | 11/07/22 | Morgan Stanley and Co. International Plc | 10,009 | ||||
CNH | 5,587,700 | USD | 771,505 | 11/07/22 | UBS AG | 12,545 | ||||
CNY | 450,000 | USD | 63,380 | 10/18/22 | JPMorgan Chase Bank N.A. | 93 | ||||
EUR | 170,000 | USD | 164,075 | 11/07/22 | HSBC Bank Plc | 2,854 | ||||
EUR | 2,387,000 | USD | 2,309,646 | 11/07/22 | Morgan Stanley and Co. International Plc | 34,242 | ||||
GBP | 5,189,000 | USD | 5,767,314 | 10/27/22 | Bank of America, N.A. | 28,033 | ||||
GBP | 562,400 | USD | 614,370 | 11/07/22 | Morgan Stanley and Co. International Plc | 13,863 | ||||
IDR | 11,178,745,100 | USD | 729,255 | 11/07/22 | Deutsche Bank AG | 1,496 | ||||
IDR | 11,580,323,600 | USD | 756,044 | 11/07/22 | HSBC Bank Plc | 958 | ||||
INR | 7,761,900 | USD | 94,968 | 11/07/22 | Citibank N.A. | 120 | ||||
INR | 61,894,400 | USD | 752,090 | 11/07/22 | HSBC Bank Plc | 6,154 | ||||
MXN | 1,700,000 | USD | 82,894 | 11/07/22 | Bank of America, N.A. | 1,129 | ||||
MXN | 13,400,700 | USD | 655,571 | 11/07/22 | Deutsche Bank AG | 6,767 | ||||
MXN | 57,660,000 | USD | 2,719,811 | 10/18/22 | Goldman Sachs & Co. | 140,464 | ||||
MXN | 8,966,500 | USD | 439,794 | 11/07/22 | JPMorgan Chase Bank N.A. | 3,381 | ||||
MXN | 7,248,900 | USD | 357,891 | 11/07/22 | Morgan Stanley and Co. International Plc | 391 | ||||
MXN | 57,790,000 | USD | 2,761,548 | 10/18/22 | Morgan Stanley Capital Services, Inc. | 105,178 | ||||
MYR | 1,783,200 | USD | 383,237 | 11/07/22 | Barclays Bank Plc | 316 | ||||
PHP | 44,723,500 | USD | 752,338 | 11/07/22 | Citibank N.A. | 7,490 | ||||
PLN | 1,990,000 | USD | 397,547 | 11/07/22 | Goldman Sachs International | 3,169 | ||||
PLN | 1,020,000 | USD | 204,970 | 11/07/22 | HSBC Bank Plc | 422 | ||||
RON | 7,592,700 | USD | 1,494,350 | 11/07/22 | Deutsche Bank AG | 705 | ||||
THB | 18,214,900 | USD | 481,812 | 11/07/22 | HSBC Bank Plc | 1,922 | ||||
USD | 1,570,044 | AUD | 2,274,800 | 10/18/22 | Citibank N.A. | 107,267 | ||||
USD | 400,789 | AUD | 580,200 | 11/07/22 | HSBC Bank Plc | 27,613 | ||||
USD | 126,327 | AUD | 186,000 | 10/18/22 | JPMorgan Chase Bank N.A. | 6,722 | ||||
USD | 394,112 | AUD | 572,400 | 11/07/22 | Morgan Stanley and Co. International Plc | 25,953 | ||||
USD | 220,062 | AUD | 324,100 | 11/07/22 | UBS AG | 11,606 | ||||
USD | 375,402 | BRL | 2,040,000 | 11/07/22 | Barclays Bank Plc | 1,310 | ||||
USD | 4,386,378 | BRL | 23,303,736 | 11/07/22 | Goldman Sachs International | 112,975 | ||||
USD | 2,613,303 | BRL | 13,667,400 | 11/07/22 | HSBC Bank Plc | 106,997 | ||||
USD | 856,370 | BRL | 4,446,100 | 11/21/22 | JPMorgan Chase Bank N.A. | 43,384 | ||||
USD | 1,733,180 | BRL | 9,055,000 | 10/04/22 | Morgan Stanley Capital Services, Inc. | 59,072 | ||||
USD | 1,675,518 | BRL | 9,055,000 | 11/03/22 | Morgan Stanley Capital Services, Inc. | 13,613 | ||||
USD | 939,038 | CAD | 1,198,350 | 10/12/22 | Citibank N.A. | 66,920 | ||||
USD | 574,844 | CAD | 735,800 | 10/17/22 | Goldman Sachs & Co. | 39,364 | ||||
USD | 638,667 | CAD | 829,700 | 11/07/22 | HSBC Bank Plc | 34,881 | ||||
USD | 3,896,042 | CAD | 5,285,000 | 10/26/22 | HSBC Bank USA, N.A. | 50,006 | ||||
USD | 178,218 | CAD | 231,500 | 11/07/22 | Morgan Stanley and Co. International Plc | 9,752 | ||||
USD | 388,271 | CAD | 495,550 | 10/11/22 | Morgan Stanley Capital Services, Inc. | 27,625 |
122 | See accompanying Notes to the Financial Statements. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
USD | 1,044,826 | CAD | 1,370,000 | 11/07/22 | NatWest Markets Plc | $ 47,855 | ||||
USD | 400,168 | CAD | 519,200 | 11/07/22 | UBS AG | 22,338 | ||||
USD | 1,439,598 | CHF | 1,388,900 | 11/07/22 | HSBC Bank Plc | 24,191 | ||||
USD | 765,900 | CHF | 734,000 | 11/07/22 | JPMorgan Chase Bank N.A. | 17,893 | ||||
USD | 553,975 | CHF | 530,700 | 11/07/22 | The BNY Mellon | 13,147 | ||||
USD | 841,968 | CLP | 746,405,000 | 11/07/22 | Bank of America, N.A. | 66,937 | ||||
USD | 72,157 | CLP | 69,168,700 | 10/17/22 | JPMorgan Chase Bank N.A. | 70 | ||||
USD | 692,183 | CLP | 633,458,300 | 11/07/22 | Morgan Stanley and Co. International Plc | 34,431 | ||||
USD | 1,873,207 | CNH | 12,690,000 | 10/18/22 | Citibank N.A. | 92,999 | ||||
USD | 818,473 | CNH | 5,693,900 | 11/07/22 | HSBC Bank Plc | 19,522 | ||||
USD | 10,130,802 | CNH | 68,033,400 | 10/17/22 | JPMorgan Chase Bank N.A. | 586,954 | ||||
USD | 1,603,988 | CNH | 11,215,900 | 11/07/22 | JPMorgan Chase Bank N.A. | 30,206 | ||||
USD | 6,277,348 | CNH | 43,549,100 | 12/13/22 | JPMorgan Chase Bank N.A. | 161,791 | ||||
USD | 265,841 | CNH | 1,850,000 | 11/07/22 | Toronto Dominion Bank | 6,255 | ||||
USD | 441,208 | CNY | 2,960,000 | 10/18/22 | Citibank N.A. | 23,695 | ||||
USD | 1,030,574 | CNY | 7,184,600 | 11/07/22 | State Street Bank London | 16,389 | ||||
USD | 414,253 | COP | 1,824,743,800 | 11/08/22 | Deutsche Bank AG | 19,787 | ||||
USD | 384,169 | COP | 1,694,761,300 | 11/08/22 | Goldman Sachs International | 17,802 | ||||
USD | 4,844,350 | COP | 21,726,822,250 | 11/08/22 | HSBC Bank Plc | 147,534 | ||||
USD | 5,482,527 | COP | 24,583,651,300 | 10/12/22 | JPMorgan Chase Bank N.A. | 139,410 | ||||
USD | 998,525 | COP | 4,530,948,000 | 11/08/22 | JPMorgan Chase Bank N.A. | 19,043 | ||||
USD | 1,674,360 | COP | 7,454,550,000 | 10/04/22 | Morgan Stanley Capital Services, Inc. | 51,690 | ||||
USD | 1,651,612 | COP | 7,454,550,000 | 11/03/22 | Morgan Stanley Capital Services, Inc. | 38,653 | ||||
USD | 449,491 | CZK | 10,910,300 | 11/07/22 | Morgan Stanley and Co. International Plc | 16,057 | ||||
USD | 750,560 | CZK | 18,365,000 | 11/07/22 | UBS AG | 20,973 | ||||
USD | 1,204,058 | EUR | 1,199,000 | 10/17/22 | Bank of America, N.A. | 28,415 | ||||
USD | 854,472 | EUR | 860,000 | 10/26/22 | Bank of America, N.A. | 10,704 | ||||
USD | 1,596,643 | EUR | 1,595,000 | 10/19/22 | Barclays Bank Plc | 32,500 | ||||
USD | 309,920 | EUR | 310,000 | 10/24/22 | Barclays Bank Plc | 5,813 | ||||
USD | 262,793 | EUR | 266,000 | 10/26/22 | Barclays Bank Plc | 1,814 | ||||
USD | 4,490,669 | EUR | 4,427,942 | 10/18/22 | BNP Paribas S.A. | 148,689 | ||||
USD | 1,425,000 | EUR | 1,425,000 | 10/24/22 | BNP Paribas S.A. | 27,088 | ||||
USD | 1,187,414 | EUR | 1,201,000 | 10/26/22 | BNP Paribas S.A. | 9,082 | ||||
USD | 833,090 | EUR | 830,000 | 10/18/22 | Citibank N.A. | 19,203 | ||||
USD | 955,267 | EUR | 950,000 | 10/17/22 | Commonwealth Bank of Australia | 23,774 | ||||
USD | 1,073,652 | EUR | 1,072,000 | 10/19/22 | Deutsche Bank AG | 22,391 | ||||
USD | 2,394,551 | EUR | 2,382,000 | 11/07/22 | Deutsche Bank AG | 55,573 | ||||
USD | 1,299,548 | EUR | 1,300,000 | 10/24/22 | HSBC Bank USA, N.A. | 24,259 | ||||
USD | 6,951,723 | EUR | 6,961,000 | 11/07/22 | JPMorgan Chase Bank N.A. | 116,448 | ||||
USD | 1,245,764 | EUR | 1,230,000 | 11/07/22 | Morgan Stanley and Co. International Plc | 37,979 | ||||
USD | 1,170,128 | EUR | 1,169,000 | 10/19/22 | Morgan Stanley Capital Services, Inc. | 23,744 | ||||
USD | 504,885 | EUR | 505,000 | 10/24/22 | Morgan Stanley Capital Services, Inc. | 9,485 | ||||
USD | 949,854 | EUR | 950,000 | 10/25/22 | Morgan Stanley Capital Services, Inc. | 17,848 |
See accompanying Notes to the Financial Statements. | 123 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
USD | 850,806 | EUR | 850,000 | 10/19/22 | Standard Chartered Bank | $ 17,250 | ||||
USD | 1,502,442 | EUR | 1,500,000 | 10/19/22 | UBS AG | 31,461 | ||||
USD | 400,615 | GBP | 341,200 | 11/07/22 | Bank of America, N.A. | 19,475 | ||||
USD | 6,105,769 | GBP | 5,084,985 | 10/18/22 | Goldman Sachs & Co. | 427,702 | ||||
USD | 1,823,737 | GBP | 1,591,600 | 11/07/22 | HSBC Bank Plc | 45,828 | ||||
USD | 372,054 | GBP | 318,100 | 11/07/22 | Morgan Stanley and Co. International Plc | 16,717 | ||||
USD | 703,447 | GBP | 600,000 | 10/18/22 | Morgan Stanley Capital Services, Inc. | 33,467 | ||||
USD | 675,395 | GBP | 591,000 | 10/24/22 | Standard Chartered Bank | 15,378 | ||||
USD | 799,831 | HUF | 322,437,700 | 11/07/22 | HSBC Bank Plc | 60,613 | ||||
USD | 371,767 | HUF | 150,446,500 | 11/07/22 | Morgan Stanley and Co. International Plc | 26,855 | ||||
USD | 411,860 | HUF | 162,336,200 | 11/07/22 | UBS AG | 39,690 | ||||
USD | 5,069,395 | IDR | 76,514,472,712 | 10/18/22 | Citibank N.A. | 46,735 | ||||
USD | 374,900 | IDR | 5,567,036,337 | 11/07/22 | Citibank N.A. | 10,984 | ||||
USD | 1,020,624 | IDR | 15,240,538,263 | 11/07/22 | HSBC Bank Plc | 24,354 | ||||
USD | 6,940,130 | IDR | 103,748,006,541 | 10/17/22 | JPMorgan Chase Bank N.A. | 129,558 | ||||
USD | 2,972,216 | IDR | 44,208,740,400 | 10/18/22 | JPMorgan Chase Bank N.A. | 70,210 | ||||
USD | 2,971,092 | IDR | 44,212,815,400 | 10/21/22 | JPMorgan Chase Bank N.A. | 69,092 | ||||
USD | 3,110,922 | IDR | 46,505,178,500 | 10/26/22 | JPMorgan Chase Bank N.A. | 58,938 | ||||
USD | 368,556 | IDR | 5,506,960,000 | 11/07/22 | JPMorgan Chase Bank N.A. | 8,568 | ||||
USD | 3,149,438 | IDR | 48,044,680,000 | 01/18/23 | JPMorgan Chase Bank N.A. | 5,290 | ||||
USD | 3,815,138 | IDR | 57,036,972,240 | 11/07/22 | Morgan Stanley and Co. International Plc | 86,648 | ||||
USD | 1,746,214 | IDR | 26,076,905,000 | 10/17/22 | Morgan Stanley Capital Services, Inc. | 34,386 | ||||
USD | 360,718 | IDR | 5,364,968,300 | 11/07/22 | NatWest Markets Plc | 10,012 | ||||
USD | 4,332,989 | INR | 347,501,530 | 11/07/22 | JPMorgan Chase Bank N.A. | 75,884 | ||||
USD | 932,971 | INR | 74,493,900 | 11/07/22 | Morgan Stanley and Co. International Plc | 20,375 | ||||
USD | 604,985 | JPY | 78,840,000 | 10/18/22 | BNP Paribas S.A. | 59,600 | ||||
USD | 262,005 | JPY | 37,679,000 | 10/18/22 | Goldman Sachs & Co. | 1,357 | ||||
USD | 1,561,677 | JPY | 220,695,400 | 11/07/22 | Goldman Sachs International | 32,067 | ||||
USD | 2,425,605 | JPY | 340,072,300 | 11/07/22 | HSBC Bank Plc | 68,610 | ||||
USD | 1,425,821 | JPY | 201,230,000 | 10/18/22 | Morgan Stanley Capital Services, Inc. | 33,791 | ||||
USD | 544,004 | MXN | 10,882,100 | 11/07/22 | Bank of America, N.A. | 6,150 | ||||
USD | 339,097 | MXN | 6,837,000 | 11/07/22 | Citibank N.A. | 1,174 | ||||
USD | 1,001,449 | MXN | 20,070,100 | 11/07/22 | Morgan Stanley and Co. International Plc | 9,473 | ||||
USD | 495,806 | MXN | 9,990,000 | 10/18/22 | Morgan Stanley Capital Services, Inc. | 243 | ||||
USD | 1,057,943 | MYR | 4,817,900 | 11/07/22 | Barclays Bank Plc | 21,648 | ||||
USD | 2,657,322 | MYR | 12,049,800 | 11/07/22 | Morgan Stanley and Co. International Plc | 65,500 | ||||
USD | 1,556,038 | NOK | 15,491,678 | 10/18/22 | BNP Paribas S.A. | 134,387 | ||||
USD | 576,701 | NZD | 937,600 | 11/07/22 | HSBC Bank Plc | 46,293 | ||||
USD | 1,243,263 | NZD | 2,042,400 | 11/07/22 | Morgan Stanley and Co. International Plc | 87,859 | ||||
USD | 527,217 | PEN | 2,066,900 | 11/07/22 | Bank of America, N.A. | 9,833 | ||||
USD | 916,156 | PEN | 3,633,400 | 11/07/22 | Citibank N.A. | 6,649 | ||||
USD | 2,341,275 | PEN | 9,079,700 | 10/12/22 | JPMorgan Chase Bank N.A. | 61,119 | ||||
USD | 212,294 | PEN | 822,300 | 10/21/22 | JPMorgan Chase Bank N.A. | 6,027 |
124 | See accompanying Notes to the Financial Statements. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
USD | 2,153,547 | PEN | 8,456,404 | 11/07/22 | JPMorgan Chase Bank N.A. | $ 36,753 | ||||
USD | 1,541,901 | PEN | 6,070,896 | 11/07/22 | Morgan Stanley and Co. International Plc | 22,243 | ||||
USD | 1,681,085 | PHP | 96,383,600 | 11/07/22 | Barclays Bank Plc | 43,579 | ||||
USD | 2,649,595 | PHP | 151,439,600 | 11/07/22 | Citibank N.A. | 76,715 | ||||
USD | 353,185 | PHP | 20,178,100 | 11/07/22 | Goldman Sachs International | 10,370 | ||||
USD | 759,566 | PHP | 44,654,900 | 11/07/22 | HSBC Bank Plc | 903 | ||||
USD | 88,417 | PLN | 418,000 | 11/07/22 | Morgan Stanley and Co. International Plc | 4,246 | ||||
USD | 634,761 | PLN | 2,955,300 | 11/07/22 | The BNY Mellon | 39,666 | ||||
USD | 377,394 | PLN | 1,755,400 | 11/07/22 | Toronto Dominion Bank | 23,917 | ||||
USD | 1,579,895 | RON | 7,703,600 | 11/07/22 | HSBC Bank Plc | 63,002 | ||||
USD | 1,898,258 | RON | 9,238,500 | 11/07/22 | UBS AG | 79,134 | ||||
USD | 9,116 | THB | 338,139 | 11/07/22 | Bank of America, N.A. | 136 | ||||
USD | 618,205 | THB | 22,923,661 | 11/07/22 | Barclays Bank Plc | 9,420 | ||||
USD | 1,521,261 | THB | 55,399,300 | 11/07/22 | Goldman Sachs International | 50,019 | ||||
USD | 99,148 | THB | 3,597,900 | 11/07/22 | HSBC Bank Plc | 3,598 | ||||
USD | 643,146 | THB | 23,230,300 | 11/07/22 | JPMorgan Chase Bank N.A. | 26,218 | ||||
USD | 86,209 | THB | 3,119,900 | 12/15/22 | JPMorgan Chase Bank N.A. | 3,096 | ||||
USD | 363,218 | THB | 13,291,400 | 11/07/22 | Morgan Stanley and Co. International Plc | 10,237 | ||||
USD | 603,981 | THB | 22,033,300 | 11/07/22 | UBS AG | 18,842 | ||||
USD | 1,645,838 | ZAR | 28,862,000 | 10/17/22 | Bank of America, N.A. | 41,832 | ||||
USD | 634,032 | ZAR | 11,244,846 | 11/07/22 | Barclays Bank Plc | 10,265 | ||||
USD | 1,017,022 | ZAR | 17,443,000 | 11/07/22 | Citibank N.A. | 49,434 | ||||
USD | 179,480 | ZAR | 3,127,400 | 11/07/22 | JPMorgan Chase Bank N.A. | 5,998 | ||||
USD | 8,081,686 | ZAR | 131,766,667 | 11/21/22 | JPMorgan Chase Bank N.A. | 780,998 | ||||
USD | 1,161,668 | ZAR | 20,124,200 | 12/12/22 | JPMorgan Chase Bank N.A. | 48,685 | ||||
USD | 995,593 | ZAR | 17,451,700 | 11/07/22 | Morgan Stanley and Co. International Plc | 27,522 | ||||
USD | 48,354 | ZAR | 858,554 | 11/07/22 | Toronto Dominion Bank | 729 | ||||
ZAR | 6,225,900 | USD | 342,775 | 11/07/22 | Barclays Bank Plc | 2,584 | ||||
ZAR | 1,140,000 | USD | 62,879 | 11/07/22 | Morgan Stanley and Co. International Plc | 359 | ||||
AUD | 3,838,390 | USD | 2,590,302 | 11/07/22 | Bank of America, N.A. | (121,507) | ||||
AUD | 7,305,151 | USD | 5,004,679 | 10/18/22 | Citibank N.A. | (307,206) | ||||
AUD | 232,400 | USD | 153,403 | 11/07/22 | Deutsche Bank AG | (3,927) | ||||
AUD | 922,600 | USD | 621,446 | 11/07/22 | Morgan Stanley and Co. International Plc | (28,043) | ||||
BRL | 15,525,000 | USD | 2,910,973 | 11/07/22 | Citibank N.A. | (64,022) | ||||
BRL | 5,827,500 | USD | 1,099,979 | 11/07/22 | HSBC Bank Plc | (31,341) | ||||
BRL | 9,055,000 | USD | 1,687,382 | 10/04/22 | Morgan Stanley Capital Services, Inc. | (13,274) | ||||
BRL | 1,236,700 | USD | 235,906 | 11/07/22 | NatWest Markets Plc | (9,122) | ||||
CAD | 8,054,772 | USD | 6,213,073 | 10/18/22 | Citibank N.A. | (351,221) | ||||
CAD | 2,120,000 | USD | 1,612,171 | 11/07/22 | Morgan Stanley and Co. International Plc | (69,413) | ||||
CAD | 830,400 | USD | 604,994 | 11/07/22 | State Street Bank London | (699) | ||||
CHF | 759,100 | USD | 778,266 | 11/07/22 | HSBC Bank Plc | (4,679) | ||||
CLP | 1,539,741,300 | USD | 1,695,651 | 11/07/22 | Bank of America, N.A. | (96,859) | ||||
CLP | 726,687,800 | USD | 762,687 | 10/17/22 | JPMorgan Chase Bank N.A. | (5,339) |
See accompanying Notes to the Financial Statements. | 125 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
CLP | 2,331,564,484 | USD | 2,599,581 | 11/07/22 | JPMorgan Chase Bank N.A. | $ (178,599) | ||||
CLP | 2,180,063,400 | USD | 2,428,499 | 11/21/22 | JPMorgan Chase Bank N.A. | (171,121) | ||||
CNH | 3,424,400 | USD | 488,826 | 11/07/22 | HSBC Bank Plc | (8,324) | ||||
CNH | 6,950,000 | USD | 1,004,110 | 10/18/22 | JPMorgan Chase Bank N.A. | (29,134) | ||||
CNH | 10,980,900 | USD | 1,582,372 | 11/07/22 | JPMorgan Chase Bank N.A. | (41,564) | ||||
CNH | 82,467,800 | USD | 12,033,825 | 12/05/22 | JPMorgan Chase Bank N.A. | (455,293) | ||||
CNH | 6,282,100 | USD | 897,625 | 11/07/22 | Morgan Stanley and Co. International Plc | (16,140) | ||||
CNH | 5,740,000 | USD | 830,886 | 10/18/22 | Morgan Stanley Capital Services, Inc. | (25,653) | ||||
CNH | 19,242,120 | USD | 2,765,710 | 11/07/22 | UBS AG | (65,712) | ||||
CNY | 2,270,000 | USD | 321,644 | 10/18/22 | JPMorgan Chase Bank N.A. | (1,455) | ||||
COP | 896,020,000 | USD | 203,868 | 11/08/22 | Citibank N.A. | (10,171) | ||||
COP | 2,308,850,000 | USD | 506,281 | 11/08/22 | Goldman Sachs International | (7,163) | ||||
COP | 3,340,215,000 | USD | 735,730 | 11/08/22 | HSBC Bank Plc | (13,656) | ||||
COP | 4,164,334,868 | USD | 923,099 | 11/08/22 | JPMorgan Chase Bank N.A. | (22,870) | ||||
COP | 2,639,295,332 | USD | 594,246 | 11/08/22 | Morgan Stanley and Co. International Plc | (23,694) | ||||
COP | 7,454,550,000 | USD | 1,662,070 | 10/04/22 | Morgan Stanley Capital Services, Inc. | (39,401) | ||||
CZK | 7,796,600 | USD | 316,284 | 11/07/22 | Barclays Bank Plc | (6,549) | ||||
CZK | 21,313,400 | USD | 857,510 | 11/07/22 | Deutsche Bank AG | (10,792) | ||||
CZK | 1,527,200 | USD | 61,209 | 11/07/22 | Morgan Stanley and Co. International Plc | (538) | ||||
CZK | 100,659,460 | USD | 4,085,479 | 11/07/22 | UBS AG | (86,578) | ||||
EUR | 830,000 | USD | 827,360 | 10/18/22 | Citibank N.A. | (13,473) | ||||
EUR | 1,612,000 | USD | 1,602,036 | 11/07/22 | Goldman Sachs International | (19,151) | ||||
EUR | 3,934,300 | USD | 3,933,396 | 11/07/22 | HSBC Bank Plc | (70,155) | ||||
EUR | 2,361,000 | USD | 2,373,745 | 11/07/22 | JPMorgan Chase Bank N.A. | (55,387) | ||||
EUR | 133,996 | USD | 134,461 | 11/07/22 | Morgan Stanley and Co. International Plc | (2,885) | ||||
EUR | 2,440,000 | USD | 2,433,423 | 10/18/22 | Morgan Stanley Capital Services, Inc. | (40,792) | ||||
GBP | 2,210,000 | USD | 2,607,452 | 10/18/22 | Goldman Sachs & Co. | (139,691) | ||||
GBP | 2,372,800 | USD | 2,748,070 | 11/07/22 | Morgan Stanley and Co. International Plc | (97,515) | ||||
GBP | 1,610,000 | USD | 1,886,700 | 10/18/22 | Morgan Stanley Capital Services, Inc. | (88,919) | ||||
GBP | 522,700 | USD | 596,522 | 11/07/22 | The BNY Mellon | (12,636) | ||||
GBP | 147,400 | USD | 165,968 | 11/07/22 | Toronto Dominion Bank | (1,314) | ||||
HUF | 1,555,036,034 | USD | 3,846,297 | 11/07/22 | HSBC Bank Plc | (281,236) | ||||
HUF | 2,053,368,400 | USD | 4,989,236 | 10/17/22 | JPMorgan Chase Bank N.A. | (252,464) | ||||
HUF | 2,613,303,200 | USD | 6,583,291 | 11/14/22 | JPMorgan Chase Bank N.A. | (603,968) | ||||
HUF | 75,120,000 | USD | 172,410 | 11/07/22 | Morgan Stanley and Co. International Plc | (191) | ||||
HUF | 161,571,200 | USD | 390,830 | 11/07/22 | UBS AG | (20,414) | ||||
IDR | 5,934,170,500 | USD | 388,578 | 11/07/22 | Deutsche Bank AG | (663) | ||||
IDR | 3,410,650,000 | USD | 224,385 | 11/07/22 | Goldman Sachs International | (1,432) | ||||
IDR | 16,115,850,100 | USD | 1,070,430 | 11/07/22 | HSBC Bank Plc | (16,941) | ||||
IDR | 39,390,492,500 | USD | 2,639,760 | 10/14/22 | JPMorgan Chase Bank N.A. | (53,713) | ||||
IDR | 48,044,680,000 | USD | 3,167,085 | 10/18/22 | JPMorgan Chase Bank N.A. | (13,275) | ||||
IDR | 6,989,328,300 | USD | 459,220 | 11/07/22 | JPMorgan Chase Bank N.A. | (2,330) | ||||
INR | 40,245,900 | USD | 501,157 | 11/07/22 | Deutsche Bank AG | (8,120) |
126 | See accompanying Notes to the Financial Statements. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
INR | 9,886,534 | USD | 123,052 | 11/07/22 | HSBC Bank Plc | $ (1,936) | ||||
INR | 116,684,066 | USD | 1,452,541 | 11/07/22 | Morgan Stanley and Co. International Plc | (23,090) | ||||
JPY | 159,634,300 | USD | 1,112,341 | 11/07/22 | Bank of America, N.A. | (5,937) | ||||
JPY | 804,266,021 | USD | 5,944,856 | 10/18/22 | BNP Paribas S.A. | (381,259) | ||||
JPY | 310,460,000 | USD | 2,224,727 | 10/18/22 | Goldman Sachs & Co. | (77,087) | ||||
JPY | 219,811,167 | USD | 1,574,891 | 11/07/22 | HSBC Bank Plc | (51,410) | ||||
JPY | 181,322,200 | USD | 1,279,731 | 11/07/22 | State Street Bank London | (23,012) | ||||
KRW | 13,204,080,500 | USD | 10,169,893 | 11/21/22 | JPMorgan Chase Bank N.A. | (930,617) | ||||
MXN | 7,732,100 | USD | 383,216 | 11/07/22 | Bank of America, N.A. | (1,052) | ||||
MXN | 5,970,000 | USD | 298,053 | 11/07/22 | Goldman Sachs International | (2,982) | ||||
MXN | 11,365,900 | USD | 562,040 | 11/07/22 | HSBC Bank Plc | (274) | ||||
MXN | 7,859,600 | USD | 388,658 | 11/07/22 | Morgan Stanley and Co. International Plc | (193) | ||||
MXN | 8,275,600 | USD | 409,615 | 11/07/22 | The BNY Mellon | (588) | ||||
MYR | 4,026,600 | USD | 879,974 | 11/07/22 | Goldman Sachs International | (13,883) | ||||
MYR | 11,486,260 | USD | 2,562,302 | 11/07/22 | Morgan Stanley and Co. International Plc | (91,693) | ||||
NOK | 66,024,302 | USD | 6,548,341 | 10/18/22 | Morgan Stanley Capital Services, Inc. | (489,379) | ||||
NZD | 1,967,350 | USD | 1,198,565 | 11/07/22 | Bank of America, N.A. | (85,618) | ||||
NZD | 17,941 | USD | 11,007 | 10/18/22 | Citibank N.A. | (858) | ||||
NZD | 1,012,600 | USD | 573,359 | 11/07/22 | State Street Bank London | (522) | ||||
PEN | 8,828,520 | USD | 2,273,517 | 11/07/22 | Bank of America, N.A. | (63,575) | ||||
PHP | 96,499,940 | USD | 1,691,794 | 11/07/22 | Barclays Bank Plc | (52,312) | ||||
PHP | 88,220,100 | USD | 1,517,857 | 11/07/22 | Citibank N.A. | (19,046) | ||||
PHP | 45,682,500 | USD | 779,565 | 11/07/22 | HSBC Bank Plc | (3,444) | ||||
PHP | 84,091,200 | USD | 1,513,896 | 10/11/22 | JPMorgan Chase Bank N.A. | (79,761) | ||||
PHP | 28,309,500 | USD | 501,408 | 10/17/22 | JPMorgan Chase Bank N.A. | (18,664) | ||||
PHP | 155,170,800 | USD | 2,725,881 | 10/18/22 | JPMorgan Chase Bank N.A. | (79,907) | ||||
PLN | 34,736,401 | USD | 7,316,894 | 11/07/22 | HSBC Bank Plc | (322,189) | ||||
PLN | 5,883,000 | USD | 1,228,395 | 11/07/22 | JPMorgan Chase Bank N.A. | (43,763) | ||||
PLN | 35,966,750 | USD | 7,711,071 | 11/14/22 | JPMorgan Chase Bank N.A. | (476,203) | ||||
PLN | 851,500 | USD | 179,093 | 11/07/22 | Morgan Stanley and Co. International Plc | (7,630) | ||||
RON | 3,432,500 | USD | 694,476 | 11/07/22 | UBS AG | (18,593) | ||||
THB | 16,882,400 | USD | 458,624 | 11/07/22 | Goldman Sachs International | (10,277) | ||||
THB | 15,936,300 | USD | 431,056 | 11/07/22 | HSBC Bank Plc | (7,834) | ||||
THB | 610,951,450 | USD | 16,664,570 | 11/07/22 | JPMorgan Chase Bank N.A. | (439,493) | ||||
THB | 19,285,500 | USD | 518,519 | 11/07/22 | Morgan Stanley and Co. International Plc | (6,353) | ||||
THB | 19,657,500 | USD | 526,545 | 11/07/22 | NatWest Markets Plc | (4,499) | ||||
THB | 12,972,000 | USD | 347,080 | 11/07/22 | UBS AG | (2,581) | ||||
USD | 239,752 | BRL | 1,344,242 | 10/18/22 | Goldman Sachs & Co. | (7,894) | ||||
USD | 675,602 | CLP | 662,691,600 | 11/07/22 | Goldman Sachs International | (12,504) | ||||
USD | 2,905,900 | CLP | 2,850,659,800 | 10/17/22 | JPMorgan Chase Bank N.A. | (65,035) | ||||
USD | 787,971 | CNH | 5,620,700 | 11/07/22 | JPMorgan Chase Bank N.A. | (709) | ||||
USD | 383,696 | CNY | 2,720,000 | 01/18/23 | JPMorgan Chase Bank N.A. | (1,684) | ||||
USD | 61,655 | CZK | 1,555,600 | 11/07/22 | Barclays Bank Plc | (144) |
See accompanying Notes to the Financial Statements. | 127 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||||||
USD | 436,416 | CZK | 11,020,000 | 11/07/22 | Morgan Stanley and Co. International Plc | $ (1,376) | ||||
USD | 257,801 | EUR | 266,000 | 10/28/22 | Bank of America, N.A. | (3,214) | ||||
USD | 1,177,093 | EUR | 1,210,600 | 11/07/22 | Bank of America, N.A. | (11,642) | ||||
USD | 1,321,340 | EUR | 1,366,000 | 10/28/22 | Barclays Bank Plc | (19,062) | ||||
USD | 1,037,313 | EUR | 1,063,000 | 10/27/22 | Citibank N.A. | (5,696) | ||||
USD | 3,209,239 | EUR | 3,313,000 | 10/28/22 | Citibank N.A. | (41,679) | ||||
USD | 773,520 | EUR | 799,000 | 10/28/22 | Commonwealth Bank of Australia | (10,508) | ||||
USD | 173,238 | EUR | 179,000 | 10/28/22 | Goldman Sachs & Co. | (2,408) | ||||
USD | 111,197 | EUR | 114,000 | 10/28/22 | Morgan Stanley Capital Services, Inc. | (667) | ||||
USD | 75,070 | EUR | 77,000 | 10/27/22 | Standard Chartered Bank | (482) | ||||
USD | 708,184 | EUR | 732,000 | 10/28/22 | State Street Bank and Trust | (10,099) | ||||
USD | 5,714,231 | GBP | 5,189,000 | 10/27/22 | Bank of America, N.A. | (81,116) | ||||
USD | 2,337,276 | GBP | 2,121,000 | 10/18/22 | Goldman Sachs & Co. | (31,104) | ||||
USD | 742,460 | GBP | 675,800 | 11/07/22 | JPMorgan Chase Bank N.A. | (12,447) | ||||
USD | 750,520 | GBP | 680,000 | 11/07/22 | The BNY Mellon | (9,079) | ||||
USD | 751,733 | MXN | 15,215,600 | 11/07/22 | Bank of America, N.A. | (307) | ||||
USD | 1,312,000 | MXN | 27,675,984 | 10/17/22 | Citibank N.A. | (61,143) | ||||
USD | 3,786,218 | MXN | 76,709,174 | 11/07/22 | Deutsche Bank AG | (5,180) | ||||
USD | 1,753,180 | MXN | 35,379,000 | 10/19/22 | HSBC Bank USA, N.A. | (1,506) | ||||
USD | 2,039,080 | MXN | 41,989,900 | 12/13/22 | JPMorgan Chase Bank N.A. | (23,084) | ||||
USD | 325,595 | MXN | 6,591,600 | 11/07/22 | Morgan Stanley and Co. International Plc | (198) | ||||
USD | 6,794,465 | MXN | 140,942,393 | 10/18/22 | Morgan Stanley Capital Services, Inc. | (197,106) | ||||
USD | 375,340 | MXN | 7,690,200 | 11/07/22 | State Street Bank London | (4,752) | ||||
USD | 379,405 | PEN | 1,516,100 | 11/07/22 | JPMorgan Chase Bank N.A. | (103) | ||||
USD | 547,526 | PLN | 2,721,200 | 11/07/22 | UBS AG | (429) | ||||
USD | 727,016 | RON | 3,700,000 | 11/07/22 | Morgan Stanley and Co. International Plc | (1,540) | ||||
USD | 251,753 | THB | 9,538,400 | 11/07/22 | Goldman Sachs International | (1,559) | ||||
USD | 284,305 | THB | 10,775,000 | 11/07/22 | HSBC Bank Plc | (1,848) | ||||
USD | 69,185 | ZAR | 1,250,000 | 11/07/22 | Morgan Stanley and Co. International Plc | (154) | ||||
ZAR | 6,536,500 | USD | 365,055 | 11/07/22 | Bank of America, N.A. | (2,466) | ||||
ZAR | 4,760,000 | USD | 274,147 | 11/07/22 | HSBC Bank Plc | (10,103) | ||||
ZAR | 6,845,900 | USD | 390,891 | 11/07/22 | JPMorgan Chase Bank N.A. | (11,139) | ||||
ZAR | 35,251,914 | USD | 2,017,276 | 11/07/22 | Morgan Stanley and Co. International Plc | (61,802) | ||||
$(1,435,699) |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buys | ||||||||
31 | 10-Year Australian Bond Futures | Dec 2022 | $ 2,334,301 | $ (64,320) | ||||
186 | Euro 90-Day | Dec 2022 | 44,319,150 | (1,001,816) |
128 | See accompanying Notes to the Financial Statements. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
528 | Euro 90-Day | Dec 2023 | $126,073,200 | $ (2,051,296) | ||||
52 | Long Gilt Futures | Dec 2022 | 5,595,786 | (798,915) | ||||
3 | SOFR 90-Day | Sep 2023 | 717,113 | (7,094) | ||||
297 | U.S. Treasury Note 10-Year | Dec 2022 | 33,282,562 | (997,537) | ||||
256 | U.S. Treasury Note 2-Year | Dec 2022 | 52,580,000 | (842,799) | ||||
87 | U.S. Treasury Note 5-Year | Dec 2022 | 9,353,180 | (240,053) | ||||
180 | U.S. Ultra 10-Year | Dec 2022 | 21,327,191 | (426,913) | ||||
418 | U.S. Ultra Bond | Dec 2022 | 57,266,000 | (3,890,801) | ||||
$(10,321,544) | ||||||||
Sales | ||||||||
78 | U.S. Long Bond | Dec 2022 | $ 9,859,688 | $ 842,689 | ||||
102 | U.S. Treasury Note 5-Year | Dec 2022 | 10,965,797 | 346,605 | ||||
$ 1,189,294 |
Type of Contract | Counterparty | Notional Value | Premiums Received | Value at September 30, 2022 | |||||
CALL — USD/GBP Option Strike @ GBP 1.15 Expires 10/07/2022 | Morgan Stanley & Co. | USD | (8,200,000) | $ (35,235) | $(256,931) | ||||
PUT— USD/JPY Option Strike @ JPY 121.00 Expires 11/07/2022 | Morgan Stanley & Co. | USD | (9,961,000) | (104,561) | (2,540) | ||||
Total Written Currency Options | $(139,796) | $(259,471) |
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at September 30, 2022 | |||||
CALL — Euro 90-Day Futures Option Strike @ $96.50 Expires 12/19/2022 | Citigroup Global Markets, Inc. | 177,500 | $(16,917,525) | $ (46,889) | $ (4,437) | |||||
PUT— S&P 500 E-mini Futures Option Strike @ $3,300.00 Expires 10/21/2022 | JPMorgan Chase Bank N.A. | 1,100 | (3,961,650) | (28,279) | (24,750) |
See accompanying Notes to the Financial Statements. | 129 |
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at September 30, 2022 | |||||
PUT— S&P 500 E-mini Futures Option Strike @ $3,300.00 Expires 12/16/2022 | JPMorgan Chase Bank N.A. | 3,100 | $(11,164,650) | $(138,757) | $(259,625) | |||||
Total Written Futures Options | $(213,925) | $(288,812) | ||||||||
Total Written Options | $(353,721) | $(548,283) |
Payments Received by Fund | Payment Frequency | Payments Made by Fund | Payment Frequency | Maturity Date | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||
1-Month TIIE | Monthly | 9.42% | Monthly | 09/21/27 | $ 7 | MXN | 16,997,357 | $ (4,141) | $ (4,148) | ||||||||
1-Month TIIE | Monthly | 9.26% | Monthly | 09/20/27 | 9 | MXN | 19,469,059 | 1,234 | 1,225 | ||||||||
1-Month TIIE | Monthly | 7.50% | Monthly | 09/17/31 | 4 | MXN | 4,768,972 | 24,286 | 24,283 | ||||||||
7.20% | Monthly | 1-Month TIIE | Monthly | 07/17/24 | — | MXN | 116,734,200 | (291,272) | (291,272) | ||||||||
3-Month JIBAR | Quarterly | 9.50% | Quarterly | 03/15/33 | 10 | ZAR | 9,244,694 | 11,903 | 11,894 | ||||||||
3-Month JIBAR | Quarterly | 9.27% | Quarterly | 03/15/33 | 15 | ZAR | 16,874,094 | 35,165 | 35,149 | ||||||||
6-Month BUBOR | Semi-Annual | 10.30% | Annual | 03/15/28 | 6 | HUF | 235,549,003 | 524 | 518 | ||||||||
6-Month WIBOR | Semi-Annual | 7.08% | Annual | 03/15/28 | 9 | PLN | 4,170,610 | (3,530) | (3,539) | ||||||||
6-Month WIBOR | Semi-Annual | 6.76% | Annual | 03/15/28 | 8 | PLN | 3,724,846 | 6,225 | 6,216 | ||||||||
6-Month WIBOR | Semi-Annual | 6.42% | Annual | 03/15/28 | 10 | PLN | 4,473,315 | 19,083 | 19,073 | ||||||||
7-Day CNRR | Quarterly | 2.48% | Quarterly | 03/15/28 | 5 | CNY | 3,094,073 | 2,700 | 2,695 | ||||||||
CPI-U | Annual | 3.97% | Annual | 11/18/23 | (17,982) | USD | 4,870,000 | 134,604 | 152,586 | ||||||||
3.37% | Annual | CPI-U | Annual | 11/18/26 | 51,775 | USD | 4,870,000 | (59,209) | (110,984) | ||||||||
SOFR | Annual | 3.05% | Annual | 02/15/48 | 68,527 | USD | 2,223,000 | 51,089 | (17,438) | ||||||||
SOFR | Annual | 2.65% | Annual | 08/15/47 | 59,195 | USD | 4,982,000 | 466,162 | 406,967 | ||||||||
SOFR | Annual | 2.62% | Annual | 02/15/48 | (348) | USD | 1,780,000 | 173,010 | 173,359 | ||||||||
SOFR | Annual | 2.51% | Annual | 02/15/48 | 31,755 | USD | 1,747,000 | 202,410 | 170,655 | ||||||||
SOFR | Annual | 1.52% | Annual | 11/20/26 | (9,498) | USD | 5,530,000 | 325,847 | 335,344 | ||||||||
Thai Baht Interest Rate Fixing | Quarterly | 2.25% | Quarterly | 09/21/32 | 19,107 | THB | 17,628,168 | 34,441 | 15,335 | ||||||||
2.25% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 09/21/32 | 9 | THB | 17,628,168 | (34,441) | (34,450) | ||||||||
2.52% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/28 | 28 | THB | 92,838,269 | (56,408) | (56,437) | ||||||||
2.84% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 66 | THB | 131,410,959 | (99,310) | (99,376) | ||||||||
2.84% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 6 | THB | 11,427,040 | (8,553) | (8,559) | ||||||||
$ 729,096 |
130 | See accompanying Notes to the Financial Statements. |
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | |||||||||
13,295,000 | USD | 06/20/27 | Morgan Stanley & Co. | (1.00%) | Quarterly | CDX.EM.37** | $151,180 | $1,199,607 | $1,350,787 | |||||||||
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | (1.00%) | Quarterly | Daimler AG, 1.40%, 01/12/24 | 17,190 | (19,195) | (2,005) | |||||||||
Total Buy Protection | $168,370 | $1,180,412 | $1,348,782 |
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | |||||||||
820,000 | USD | 06/20/26 | Morgan Stanley & Co. | 5.00% | Quarterly | Netflix, Inc., 4.88%, 06/30/30 (Moody’s rating: Ba1; S&P rating: BB+) | $ (89,821) | $ 180,545 | $ 90,724 | |||||||||
410,000 | USD | 06/20/26 | Morgan Stanley & Co. | 5.00% | Quarterly | Netflix, Inc., 4.88%, 06/30/30 (Moody’s rating: Ba1; S&P rating: BB+) | (45,300) | 90,662 | 45,362 | |||||||||
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | 1.00% | Quarterly | Volkswagen International Finance N.V., 0.50%, 03/30/21 (Moody’s rating: A3; S&P rating: BBB+) | (15,079) | 9,255 | (5,825) | |||||||||
Total Sell Protection | $(150,200) | $ 280,462 | $ 130,261 | |||||||||||||||
Total OTC Credit Default Swaps | $ 18,170 | $1,460,874 | $1,479,043 |
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value | ||||||||
11,286,000 | USD | 06/20/27 | (5.00%) | Quarterly | CDX.NA.HY.38*** | $ 98,779 | $ 164,650 | $ 263,429 | ||||||||
1,435,500 | USD | 06/20/27 | (5.00%) | Quarterly | CDX.NA.HY.38*** | 43,411 | (9,905) | 33,506 | ||||||||
6,130,000 | USD | 12/20/27 | (5.00%) | Quarterly | CDX.NA.HY.39*** | (58,114) | 312,630 | 254,516 | ||||||||
6,940,000 | USD | 12/20/27 | (5.00%) | Quarterly | CDX.NA.HY.39*** | (72,733) | 360,880 | 288,147 | ||||||||
6,940,000 | USD | 12/20/27 | (5.00%) | Quarterly | CDX.NA.HY.39*** | (72,040) | 360,186 | 288,146 | ||||||||
3,158,400 | USD | 12/20/27 | (5.00%) | Quarterly | CDX.NA.HY.39*** | 1,840 | 129,296 | 131,136 | ||||||||
1,380,000 | USD | 06/20/26 | (5.00%) | Quarterly | General Motors Co. | 137,218 | (264,657) | (127,439) | ||||||||
615,000 | USD | 06/20/26 | (1.00%) | Quarterly | ViacomCBS, Inc. | 18,675 | (9,500) | 9,175 | ||||||||
615,000 | USD | 06/20/26 | (1.00%) | Quarterly | Walt Disney Co. (The) | 9,411 | (18,723) | (9,312) | ||||||||
Total Buy Protection | $106,447 | $1,024,857 | $1,131,304 |
See accompanying Notes to the Financial Statements. | 131 |
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value | ||||||||
1,380,000 | USD | 06/20/26 | 5.00% | Quarterly | Ford Motor Co. | $(151,980) | $ 196,911 | $ 44,931 | ||||||||
Total Centrally Cleared Credit Default Swaps | $ (45,533) | $1,221,768 | $1,176,235 |
* | The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts entered into by the Fund for the same referenced debt obligation. |
** | CDX.EM — Markit CDX Emerging Markets Index. Represents an index composed of fifteen (15) sovereign reference entities that trade in the credit default swaps (CDS) market. |
*** | CDX.NA.HY — Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated BB and B. |
132 | See accompanying Notes to the Financial Statements. |
Currency Abbreviations | ||
AUD | — | Australian Dollar |
BRL | — | Brazilian Real |
CAD | — | Canadian Dollar |
CHF | — | Swiss Franc |
CLP | — | Chilean Peso |
CNH | — | Chinese Yuan Renminbi |
CNY | — | Chinese Yuan |
COP | — | Colombian Peso |
CZK | — | Czech Koruna |
EGP | — | Egyptian Pound |
EUR | — | Euro |
GBP | — | United Kingdom Pound |
GHS | — | New Ghanaian Cedi |
HUF | — | Hungarian Forint |
IDR | — | Indonesian Rupiah |
INR | — | Indian Rupee |
JPY | — | Japanese Yen |
KRW | — | South Korean Won |
MXN | — | Mexican Peso |
MYR | — | Malaysian Ringgit |
NOK | — | Norwegian Krona |
NZD | — | New Zealand Dollar |
PEN | — | Peruvian Nuevo Sol |
PHP | — | Philippines Peso |
PLN | — | Polish Zloty |
RON | — | Romanian New Leu |
RUB | — | Russian Ruble |
THB | — | Thai Baht |
USD | — | U.S. Dollar |
UYU | — | Uruguayan Peso |
ZAR | — | South African Rand |
See accompanying Notes to the Financial Statements. | 133 |
Abbreviations | ||
BUBOR | — | Budapest Interbank Offered Rate |
CLO | — | Collateralized Loan Obligation |
CMO | — | Collateralized Mortgage Obligation |
CMT | — | Constant Maturity Treasury Index |
CNRR | — | China Fixing Repo Rates |
CPI-U | — | Consumer Price Index for All Urban Consumers |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FNMA | — | Federal National Mortgage Association |
GDN | — | Global Depository Note |
ICE | — | Intercontinental Exchange |
JIBAR | — | Johannesburg Interbank Average Rate |
LIBOR | — | London Interbank Offered Rate |
MTN | — | Medium Term Note |
OTC | — | Over-The-Counter |
PIK | — | Payment In Kind |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
TBD | — | To Be Determined |
TIIE | — | Mexican Interbank Equilibrium Interest Rate |
TSFR | — | Term Secured Overnight Financing Rate |
UMBS | — | Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA |
WIBOR | — | Warsaw Interbank Offer Rate |
134 | See accompanying Notes to the Financial Statements. |
Asset Class Summary (Unaudited) | % of Net Assets |
Corporate Debt | 32.1 |
Sovereign Debt Obligations | 28.9 |
Bank Loans | 16.4 |
Asset Backed Securities | 6.0 |
Mortgage Backed Securities - Private Issuers | 4.9 |
U.S. Government and Agency Obligations | 1.3 |
Convertible Debt | 0.7 |
Convertible Preferred Stocks | 0.4 |
Purchased Futures Options | 0.2 |
OTC Credit Default Swaps | 0.1 |
Centrally Cleared Credit Default Swaps | 0.1 |
Centrally Cleared Interest Rate Swaps | 0.1 |
Mortgage Backed Securities - U.S. Government Agency Obligations | 0.1 |
Purchased Currency Options | 0.0* |
Preferred Stocks | 0.0* |
Common Stocks | 0.0* |
Written Currency Options | (0.0)* |
Written Futures Options | (0.1) |
Futures Contracts | (0.8) |
Forward Foreign Currency Contracts | (1.8) |
Short-Term Investments | 2.4 |
Other Assets and Liabilities (net) | 9.0 |
100.0% |
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements. | 135 |
Shares | Description | Value ($) | |
COMMON STOCKS — 94.6% | |||
Australia — 0.3% | |||
359,003 | Newcrest Mining, Ltd. | 3,926,135 | |
Brazil — 5.7% | |||
1,168,200 | Ambev SA | 3,356,319 | |
2,775,100 | B3 SA - Brasil Bolsa Balcao | 6,695,518 | |
1,090,179 | Banco Bradesco SA | 3,287,357 | |
531,000 | Banco BTG Pactual SA | 2,435,658 | |
991,000 | Banco do Brasil SA | 7,057,567 | |
33,900 | CPFL Energia SA | 211,591 | |
1,626,700 | Dexco SA | 2,811,992 | |
21,400 | EDP - Energias do Brasil SA | 86,370 | |
149,146 | Enauta Participacoes SA | 400,381 | |
197,763 | Eneva SA* | 517,364 | |
8,400 | Engie Brasil Energia SA | 59,806 | |
147,558 | Localiza Rent a Car SA | 1,666,587 | |
1,103,900 | Locaweb Servicos de Internet SA* | 1,836,823 | |
737,700 | Marfrig Global Foods SA | 1,346,146 | |
13,666 | MercadoLibre, Inc.* | 11,312,442 | |
191,000 | Petro Rio SA* | 972,153 | |
1,638,633 | Raia Drogasil SA | 6,886,146 | |
719,300 | Rumo SA | 2,457,577 | |
172,000 | Sendas Distribuidora SA | 558,085 | |
1,071,300 | TOTVS SA | 5,813,187 | |
53,600 | Transmissora Alianca de Energia Eletrica SA | 385,982 | |
203,200 | Vale SA | 2,706,403 | |
1,673,300 | WEG SA | 9,942,938 | |
72,804,392 | |||
Canada — 0.6% | |||
31,388 | Canadian Solar, Inc.* | 1,169,203 | |
55,580 | Franco-Nevada Corp. | 6,640,698 | |
7,809,901 | |||
Chile — 0.3% | |||
4,273,218 | Banco de Chile | 379,932 | |
22,291 | CAP SA | 145,669 | |
99,205 | Cencosud SA | 126,863 | |
62,626 | Cencosud Shopping SA | 66,030 | |
287,220 | Cia Cervecerias Unidas SA, ADR | 3,096,231 | |
1,999,467 | Colbun SA | 177,418 | |
13,513 | Empresas Copec SA | 87,476 | |
4,079,619 | |||
China — 32.1% | |||
1,118,000 | 361 Degrees International, Ltd.* | 519,837 | |
400,000 | Agile Group Holdings, Ltd.* (a) | 92,701 | |
3,574,500 | Agricultural Bank of China, Ltd. Class A | 1,440,233 | |
17,165,000 | Agricultural Bank of China, Ltd. Class H | 5,118,837 |
136 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
China — continued | |||
2,032,000 | Air China, Ltd. Class H * (a) | 1,548,346 | |
133,000 | Airtac International Group | 3,042,632 | |
1,874,491 | Alibaba Group Holding, Ltd.* | 18,802,222 | |
90,293 | Alibaba Group Holding, Ltd., ADR* | 7,222,537 | |
509,250 | A-Living Smart City Services Co., Ltd. | 400,216 | |
16,869 | Anhui Conch Cement Co., Ltd. Class A | 68,281 | |
86,000 | Anhui Expressway Co., Ltd. Class H | 54,430 | |
948,677 | Anhui Guangxin Agrochemical Co., Ltd. Class A | 3,450,638 | |
309,999 | Anhui Jinhe Industrial Co., Ltd. Class A | 1,654,658 | |
159,800 | ANTA Sports Products, Ltd. | 1,683,133 | |
112,900 | Autohome, Inc., ADR | 3,247,004 | |
42,800 | Autohome, Inc. Class A (a) | 307,867 | |
1,975,683 | Bank of Chengdu Co., Ltd. Class A | 4,555,775 | |
5,342,800 | Bank of China, Ltd. Class A | 2,324,991 | |
23,343,700 | Bank of China, Ltd. Class H | 7,619,451 | |
127,950 | Beijing Easpring Material Technology Co., Ltd. Class A | 1,185,621 | |
118,000 | Beijing United Information Technology Co., Ltd. Class A | 1,792,877 | |
112,546 | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 1,814,104 | |
120,000 | Bosideng International Holdings, Ltd. | 59,291 | |
205,000 | C&D International Investment Group, Ltd. | 523,121 | |
795,000 | Chengdu Wintrue Holding Co., Ltd. Class A | 1,357,103 | |
328,000 | China BlueChemical, Ltd. Class H | 67,972 | |
969,993 | China Coal Energy Co., Ltd. Class A | 1,450,211 | |
87,000 | China Coal Energy Co., Ltd. Class H | 78,670 | |
1,604,000 | China Communications Services Corp., Ltd. Class H | 538,792 | |
24,103,000 | China Construction Bank Corp. Class H | 13,869,967 | |
768,000 | China Dongxiang Group Co., Ltd.* | 31,724 | |
480,000 | China Education Group Holdings, Ltd. | 354,020 | |
5,800,000 | China Feihe, Ltd. | 4,047,515 | |
1,681,200 | China Hongqiao Group, Ltd. | 1,372,438 | |
332,263 | China Lesso Group Holdings, Ltd. | 306,967 | |
256,000 | China Medical System Holdings, Ltd. | 305,569 | |
1,368,000 | China Meidong Auto Holdings, Ltd. | 2,164,395 | |
534,000 | China Mengniu Dairy Co., Ltd.* | 2,094,467 | |
3,312,300 | China Merchants Bank Co., Ltd. Class H | 15,324,314 | |
456,000 | China Oriental Group Co., Ltd. | 72,943 | |
107,500 | China Overseas Land & Investment, Ltd. | 277,243 | |
109,492 | China Pacific Insurance Group Co., Ltd. Class A | 312,790 | |
864,200 | China Pacific Insurance Group Co., Ltd. Class H | 1,584,827 | |
8,651,590 | China Petroleum & Chemical Corp. Class A | 5,231,527 | |
2,136,000 | China Petroleum & Chemical Corp. Class H | 910,289 | |
1,781,000 | China Reinsurance Group Corp. Class H | 109,517 | |
840,000 | China Resources Beer Holdings Co., Ltd. | 5,818,394 | |
56,000 | China Resources Cement Holdings, Ltd. | 25,935 | |
53,100 | China Resources Gas Group, Ltd. | 167,598 | |
504,000 | China Resources Land, Ltd. | 1,964,792 | |
1,722,487 | China Shenhua Energy Co., Ltd. Class A | 7,669,947 | |
1,440,600 | China Shenhua Energy Co., Ltd. Class H | 4,274,429 | |
332,896 | China Tourism Group Duty Free Corp., Ltd. Class A | 9,243,800 |
See accompanying Notes to the Financial Statements. | 137 |
Shares | Description | Value ($) | |
China — continued | |||
54,000 | China Traditional Chinese Medicine Holdings Co., Ltd. | 18,654 | |
202,000 | China Yuhua Education Corp., Ltd.* (a) | 20,651 | |
76,994 | China Zhenhua Group Science & Technology Co., Ltd. Class A | 1,258,308 | |
118,500 | Contemporary Amperex Technology Co., Ltd. Class A | 6,651,643 | |
1,164,000 | COSCO SHIPPING Holdings Co., Ltd. Class H | 1,360,228 | |
3,763,100 | CSPC Pharmaceutical Group, Ltd. | 3,695,062 | |
14,000 | Daqo New Energy Corp., ADR* | 743,120 | |
274,000 | Dongyue Group, Ltd. | 272,448 | |
370,000 | ENN Energy Holdings, Ltd. | 4,923,214 | |
713,000 | ENN Natural Gas Co., Ltd. Class A | 1,869,790 | |
530,016 | Foshan Haitian Flavouring & Food Co., Ltd. Class A | 6,161,512 | |
474,800 | Fuyao Glass Industry Group Co., Ltd. Class H | 1,906,673 | |
58,300 | Gongniu Group Co., Ltd. Class A | 1,152,805 | |
1,667,500 | Great Wall Motor Co., Ltd. Class H | 1,904,134 | |
261,000 | Greenland Hong Kong Holdings, Ltd. | 17,815 | |
152,000 | Greentown Management Holdings Co., Ltd. | 128,878 | |
492,000 | Guangdong Investment, Ltd. | 393,649 | |
400,400 | Guangzhou R&F Properties Co., Ltd. Class H * (a) | 67,211 | |
712,000 | Haichang Ocean Park Holdings, Ltd.* (a) | 697,106 | |
26,300 | Hangzhou Tigermed Consulting Co., Ltd. Class A | 337,699 | |
518,400 | Hangzhou Tigermed Consulting Co., Ltd. Class H 144A | 4,180,919 | |
295,000 | Han's Laser Technology Industry Group Co., Ltd. Class A | 1,078,545 | |
105,900 | Hello Group, Inc., ADR | 489,258 | |
727,000 | Henan Shenhuo Coal & Power Co., Ltd. Class A | 1,713,260 | |
12,000 | Hengan International Group Co., Ltd. | 53,415 | |
309,584 | Hisense Home Appliances Group Co., Ltd. Class A | 488,579 | |
40,410 | Hisense Home Appliances Group Co., Ltd. Class H | 36,614 | |
11,953 | Hollysys Automation Technologies, Ltd. | 204,396 | |
303,980 | Hongfa Technology Co., Ltd. Class A | 1,485,791 | |
36,700 | Hubei Jumpcan Pharmaceutical Co., Ltd. Class A | 118,531 | |
2,665,100 | Industrial & Commercial Bank of China, Ltd. Class A | 1,632,867 | |
10,011,535 | Industrial & Commercial Bank of China, Ltd. Class H | 4,670,221 | |
465,200 | Inner Mongolia ERDOS Resources Co., Ltd. Class A | 992,452 | |
15,200 | Inner Mongolia Yitai Coal Co., Ltd. Class H | 19,956 | |
147,200 | Jafron Biomedical Co., Ltd. Class A | 1,005,770 | |
209,819 | JD.com, Inc. Class A | 5,298,035 | |
172,459 | Jiangsu Hengli Hydraulic Co., Ltd. Class A | 1,097,384 | |
479,124 | Jiangsu Hengrui Medicine Co., Ltd. Class A | 2,369,169 | |
124,993 | Jiangsu Yangnong Chemical Co., Ltd. Class A | 1,761,699 | |
17,310 | JinkoSolar Holding Co., Ltd., ADR* (a) | 958,801 | |
484,841 | Joyoung Co., Ltd. Class A | 1,008,665 | |
108,377 | KE Holdings, Inc., ADR* | 1,898,765 | |
14,000 | Kingboard Holdings, Ltd. | 39,336 | |
687,800 | Kingsoft Corp., Ltd. | 1,820,906 | |
191,500 | Koolearn Technology Holding, Ltd.* (a) | 718,433 | |
101,000 | Kuaishou Technology* | 650,789 | |
59,513 | Kweichow Moutai Co., Ltd. Class A | 15,654,120 | |
765,000 | KWG Group Holdings, Ltd.* | 93,837 | |
335,000 | Lee & Man Paper Manufacturing, Ltd. | 107,114 |
138 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
China — continued | |||
4,683,000 | Lenovo Group, Ltd. | 3,217,035 | |
153,700 | Li Ning Co., Ltd. | 1,167,962 | |
342,435 | Lier Chemical Co., Ltd. Class A | 913,886 | |
116,000 | Logan Group Co., Ltd.(a) | 8,128 | |
462,500 | Longfor Group Holdings, Ltd. | 1,310,626 | |
491,912 | LONGi Green Energy Technology Co., Ltd. Class A | 3,303,901 | |
250,000 | Lonking Holdings, Ltd. | 36,603 | |
102,491 | Luoyang Xinqianglian Slewing Bearing Co., Ltd. Class A | 1,265,000 | |
343,100 | Meituan Class B * | 7,190,832 | |
789,200 | Midea Group Co., Ltd. Class A | 5,483,697 | |
119,267 | MINISO Group Holding, Ltd., ADR(a) | 654,776 | |
468,000 | MMG, Ltd.* | 111,114 | |
398,012 | NARI Technology Co., Ltd. Class A | 1,389,482 | |
269,000 | NetEase, Inc. | 4,084,812 | |
54,900 | NetEase, Inc., ADR | 4,150,440 | |
2,446,000 | Netjoy Holdings, Ltd.(a) | 372,415 | |
244,000 | Nexteer Automotive Group, Ltd.(a) | 131,966 | |
1,136,770 | Ningxia Baofeng Energy Group Co., Ltd. Class A | 2,128,949 | |
106,265 | NIO, Inc. Class A * | 1,676,974 | |
30,300 | People's Insurance Co. Group of China, Ltd. (The) Class A | 21,396 | |
2,851,168 | PetroChina Co., Ltd. Class A | 2,057,698 | |
4,688,600 | PetroChina Co., Ltd. Class H | 1,927,972 | |
4,880,000 | PICC Property & Casualty Co., Ltd. Class H | 5,047,441 | |
64,256 | Pinduoduo, Inc., ADR* | 4,021,140 | |
636,600 | Ping An Insurance Group Co. of China, Ltd. Class A | 3,718,374 | |
48,500 | Ping An Insurance Group Co. of China, Ltd. Class H | 241,149 | |
2,598,900 | Postal Savings Bank of China Co., Ltd. Class A | 1,629,908 | |
469,000 | Powerlong Real Estate Holdings, Ltd.(a) | 47,600 | |
1,257,000 | Sany Heavy Industry Co., Ltd. Class A | 2,458,135 | |
192,100 | SF Holding Co., Ltd. Class A | 1,278,165 | |
875,100 | Shaanxi Coal Industry Co., Ltd. Class A | 2,802,747 | |
2,064,750 | Shandong Gold Mining Co., Ltd. Class H (a) | 3,274,360 | |
750,496 | Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 3,081,358 | |
389,000 | Shandong Sinocera Functional Material Co., Ltd. Class A | 1,587,785 | |
27,783 | Shanghai Friendess Electronic Technology Corp., Ltd. Class A | 740,697 | |
160,000 | Shanghai Fudan Microelectronics Group Co., Ltd. Class H | 729,366 | |
39,000 | Shenzhen Dynanonic Co., Ltd. Class A | 1,547,746 | |
382,400 | Shenzhen Inovance Technology Co., Ltd. Class A | 3,088,922 | |
196,100 | Shenzhou International Group Holdings, Ltd. | 1,504,085 | |
150,000 | Shougang Fushan Resources Group, Ltd. | 43,457 | |
83,000 | Silergy Corp. | 1,087,994 | |
520,878 | Sinopec Engineering Group Co., Ltd. Class H | 207,966 | |
418,387 | Sinoseal Holding Co., Ltd. Class A | 2,101,058 | |
484,963 | Sinotruk Hong Kong, Ltd. | 404,880 | |
585,500 | SITC International Holdings Co., Ltd. | 1,072,271 | |
1,200 | Sohu.com, Ltd., ADR* (a) | 19,284 | |
396,000 | Sunac China Holdings, Ltd.* (a) | 231,045 | |
235,800 | Sunny Optical Technology Group Co., Ltd. | 2,216,248 | |
240,514 | Sunresin New Materials Co., Ltd. Class A | 2,468,940 |
See accompanying Notes to the Financial Statements. | 139 |
Shares | Description | Value ($) | |
China — continued | |||
82,100 | Suzhou Maxwell Technologies Co., Ltd. Class A | 5,609,731 | |
1,085,400 | Tencent Holdings, Ltd. | 36,654,960 | |
32,219 | Tencent Holdings, Ltd., ADR(a) | 1,089,647 | |
113,675 | Thunder Software Technology Co., Ltd. Class A | 1,691,131 | |
45,993 | Tianqi Lithium Corp. Class A * | 646,925 | |
444,300 | Toly Bread Co., Ltd. Class A | 833,592 | |
811,600 | Tongcheng Travel Holdings, Ltd.* | 1,585,195 | |
278,300 | Tongwei Co., Ltd. Class A | 1,841,025 | |
2,171,000 | TravelSky Technology, Ltd. Class H (a) | 3,313,682 | |
410,119 | Vipshop Holdings, Ltd., ADR* | 3,449,101 | |
173,163 | Wanhua Chemical Group Co., Ltd. Class A | 2,244,630 | |
125,000 | Want Want China Holdings, Ltd. | 81,688 | |
911,000 | Weichai Power Co., Ltd. Class H | 862,209 | |
188,557 | Weifu High-Technology Group Co., Ltd. Class A | 458,429 | |
331,000 | Wuxi Biologics Cayman, Inc.* | 1,983,105 | |
574,311 | Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 3,825,693 | |
96,000 | Xtep International Holdings, Ltd.(a) | 101,652 | |
156,000 | Yangzhou Yangjie Electronic Technology Co., Ltd. Class A | 1,085,147 | |
348,139 | Yankuang Energy Group Co., Ltd. Class A | 2,452,850 | |
106,000 | Yankuang Energy Group Co., Ltd. Class H (a) | 385,010 | |
58,000 | YongXing Special Materials Technology Co., Ltd. Class A | 1,008,709 | |
67,196 | Yunnan Energy New Material Co., Ltd. Class A | 1,648,971 | |
109,431 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 4,102,894 | |
410,000 | Zhejiang Expressway Co., Ltd. Class H | 278,413 | |
219,800 | Zhejiang Jiecang Linear Motion Technology Co., Ltd. Class A | 805,776 | |
212,000 | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 2,011,334 | |
249,628 | Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 865,085 | |
954,835 | Zhengzhou Coal Mining Machinery Group Co., Ltd. Class A | 1,742,205 | |
3,144,000 | Zijin Mining Group Co., Ltd. Class H | 3,030,457 | |
1,330,400 | Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 460,153 | |
322,000 | Zylox-Tonbridge Medical Technology Co., Ltd.* | 407,797 | |
410,600,166 | |||
Czech Republic — 0.0% | |||
143,387 | Moneta Money Bank AS | 403,273 | |
91 | Philip Morris CR AS | 59,549 | |
462,822 | |||
Egypt — 0.0% | |||
249,399 | Commercial International Bank Egypt SAE | 320,698 | |
Hong Kong — 1.1% | |||
297,800 | AIA Group, Ltd. | 2,472,423 | |
68,000 | China High Speed Transmission Equipment Group Co., Ltd.* (a) | 30,483 | |
33,900 | Hong Kong Exchanges & Clearing, Ltd. | 1,150,974 | |
168,000 | Huabao International Holdings, Ltd.(a) | 77,045 | |
301,500 | Kingboard Laminates Holdings, Ltd. | 269,532 | |
169,500 | Orient Overseas International, Ltd.(a) | 2,956,066 | |
80,000 | Truly International Holdings, Ltd.(a) | 12,384 |
140 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Hong Kong — continued | |||
2,203,000 | Vinda International Holdings, Ltd.(a) | 5,175,652 | |
1,106,000 | Vitasoy International Holdings, Ltd.* | 1,374,583 | |
13,519,142 | |||
Hungary — 0.3% | |||
97,084 | MOL Hungarian Oil & Gas Plc | 540,527 | |
154,518 | OTP Bank Nyrt | 2,818,929 | |
13,270 | Richter Gedeon Nyrt | 227,124 | |
3,586,580 | |||
India — 15.7% | |||
307,248 | Ashok Leyland, Ltd. | 573,479 | |
104,182 | Asian Paints, Ltd. | 4,314,831 | |
19,864 | Astral, Ltd. | 536,808 | |
324,602 | Axis Bank, Ltd. | 2,906,126 | |
95,272 | Bajaj Auto, Ltd. | 4,121,303 | |
5,166 | Bajaj Consumer Care, Ltd. | 9,831 | |
100,951 | Bajaj Finance, Ltd. | 9,014,859 | |
4,411,800 | Bharat Electronics, Ltd. | 5,460,627 | |
68,186 | Britannia Industries, Ltd. | 3,212,457 | |
18 | Chambal Fertilisers and Chemicals, Ltd. | 70 | |
1,281,122 | Cipla, Ltd. | 17,408,977 | |
4,763 | Clean Science & Technology, Ltd. | 101,183 | |
125,631 | Coal India, Ltd. | 326,022 | |
318,396 | Colgate-Palmolive India, Ltd. | 6,339,857 | |
203,900 | Coromandel International, Ltd. | 2,469,320 | |
26,631 | Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. | 207,894 | |
47,622 | Gujarat State Fertilizers & Chemicals, Ltd. | 75,983 | |
154,742 | Havells India, Ltd. | 2,552,372 | |
742,721 | HCL Technologies, Ltd. | 8,396,607 | |
619,838 | HDFC Bank, Ltd. | 10,745,793 | |
43,700 | Hindustan Zinc, Ltd. | 142,476 | |
857,033 | Housing Development Finance Corp., Ltd. | 23,874,437 | |
884,525 | ICICI Bank, Ltd. | 9,317,133 | |
165,240 | Indian Hotels Co., Ltd. | 674,993 | |
753,917 | Infosys, Ltd. | 12,922,018 | |
492,756 | Infosys, Ltd., ADR | 8,362,069 | |
221,414 | InterGlobe Aviation, Ltd.* | 5,012,527 | |
261,000 | ITC, Ltd. | 1,060,070 | |
14,550 | Jindal Stainless Hisar, Ltd.* | 43,752 | |
57 | Jindal Stainless, Ltd.* | 88 | |
28,167 | Karnataka Bank, Ltd. (The) | 26,984 | |
283,903 | Kotak Mahindra Bank, Ltd. | 6,279,736 | |
9,350 | Mahanagar Gas, Ltd. | 95,240 | |
38,011 | Mindtree, Ltd. | 1,451,611 | |
682,248 | Motherson Sumi Wiring India, Ltd. | 723,311 | |
62,831 | NBCC India, Ltd. | 23,744 | |
87,362 | NCC, Ltd. | 75,984 | |
562 | Oil India, Ltd. | 1,205 |
See accompanying Notes to the Financial Statements. | 141 |
Shares | Description | Value ($) | |
India — continued | |||
110,920 | Petronet LNG, Ltd. | 271,088 | |
13,394 | Prestige Estates Projects, Ltd. | 73,364 | |
55,586 | Redington India, Ltd. | 94,714 | |
559,805 | Reliance Industries, Ltd. | 16,180,504 | |
8 | Sobha, Ltd. | 63 | |
1,054,000 | State Bank of India | 6,827,601 | |
12,117 | Sun TV Network, Ltd. | 75,391 | |
287,120 | Syngene International, Ltd. | 1,974,407 | |
415,571 | Tata Consultancy Services, Ltd. | 15,210,134 | |
15,021 | Tata Elxsi, Ltd. | 1,570,884 | |
52,618 | Titan Co., Ltd. | 1,670,994 | |
18,532 | Tube Investments of India, Ltd. | 614,462 | |
836,867 | UPL, Ltd. | 6,886,822 | |
47,508 | Varun Beverages, Ltd. | 609,344 | |
69,117 | Welspun Corp., Ltd. | 224,428 | |
243,044 | Yes Bank, Ltd.* | 46,642 | |
201,192,619 | |||
Indonesia — 2.7% | |||
2,891,800 | Adaro Energy Indonesia Tbk PT | 747,510 | |
4,000,991 | Astra International Tbk PT | 1,726,106 | |
31,370,100 | Bank Central Asia Tbk PT | 17,511,989 | |
3,304,000 | Bank Mandiri Persero Tbk PT | 2,025,834 | |
1,710,400 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 79,675 | |
31,199,324 | Bank Rakyat Indonesia Persero Tbk PT | 9,177,918 | |
2,592,700 | Bukit Asam Tbk PT | 706,427 | |
262,600 | Indika Energy Tbk PT | 51,456 | |
259,900 | Indo Tambangraya Megah Tbk PT | 705,101 | |
25,602,900 | Panin Financial Tbk PT | 823,838 | |
273,200 | United Tractors Tbk PT | 586,787 | |
34,142,641 | |||
Italy — 0.6% | |||
274,420 | Coca-Cola HBC AG* | 5,773,785 | |
284,800 | Prada SpA | 1,307,371 | |
7,081,156 | |||
Japan — 0.4% | |||
325,800 | Nexon Co., Ltd. | 5,697,160 | |
Macau — 0.1% | |||
321,000 | Galaxy Entertainment Group, Ltd. | 1,874,204 | |
Malaysia — 0.0% | |||
150,200 | Kossan Rubber Industries Bhd | 34,896 | |
Mexico — 4.3% | |||
2,084,885 | America Movil SAB de CV Series L | 1,720,166 | |
43,866 | America Movil SAB de CV Series L, ADR (a) | 722,473 |
142 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Mexico — continued | |||
39,000 | Arca Continental SAB de CV | 281,258 | |
182,856 | Banco del Bajio SA | 463,699 | |
309,671 | Credito Real SAB de CV SOFOM ER* (a) | 5,390 | |
1,082 | El Puerto de Liverpool SAB de CV Class C1 (a) | 4,737 | |
266,626 | Fomento Economico Mexicano SAB de CV, ADR | 16,730,781 | |
17,500 | Grupo Aeroportuario del Centro Norte SAB de CV Class B | 110,261 | |
773,500 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 9,809,399 | |
1,856,396 | Grupo Financiero Banorte SAB de CV Series O | 11,910,663 | |
148,308 | Grupo Mexico SAB de CV Series B | 501,699 | |
19,300 | Orbia Advance Corp. SAB de CV | 32,539 | |
69,090 | Qualitas Controladora SAB de CV | 285,775 | |
89,918 | Regional SAB de CV | 507,646 | |
104,244 | Sitios Latinoamerica SAB de CV | 46,607 | |
162,906 | Unifin Financiera SAB de CV* (a) | 15,474 | |
3,202,400 | Wal-Mart de Mexico SAB de CV | 11,264,740 | |
54,413,307 | |||
Netherlands — 1.0% | |||
189,480 | Heineken Holding NV(a) | 12,931,563 | |
Panama — 0.0% | |||
498,551 | BAC Holding International Co.* | 20,402 | |
Peru — 0.4% | |||
33,738 | Credicorp, Ltd. | 4,143,026 | |
9,000 | Southern Copper Corp. | 403,560 | |
4,546,586 | |||
Philippines — 0.4% | |||
24,260 | GT Capital Holdings, Inc. | 171,704 | |
25,050 | Manila Electric Co. | 112,398 | |
9,529,300 | Megaworld Corp. | 331,922 | |
188,700 | Puregold Price Club, Inc. | 90,990 | |
2,556,390 | Universal Robina Corp. | 4,970,569 | |
5,677,583 | |||
Poland — 0.5% | |||
33,609 | Bank Polska Kasa Opieki SA | 408,931 | |
7,718 | Budimex SA | 358,625 | |
66,521 | Dino Polska SA* | 4,048,053 | |
2,058 | KGHM Polska Miedz SA | 36,099 | |
32 | LPP SA | 50,064 | |
129,597 | Polski Koncern Naftowy ORLEN SA | 1,397,005 | |
293,008 | Polskie Gornictwo Naftowe i Gazownictwo SA* | 285,618 | |
10,725 | Powszechny Zaklad Ubezpieczen SA | 49,846 | |
6,634,241 | |||
Portugal — 0.3% | |||
206,474 | Jeronimo Martins SGPS SA | 3,845,294 |
See accompanying Notes to the Financial Statements. | 143 |
Shares | Description | Value ($) | |
Qatar — 0.1% | |||
37,464 | Doha Bank QPSC | 23,879 | |
16,324 | Qatar Electricity & Water Co. QSC | 78,585 | |
276,534 | Qatar National Bank QPSC | 1,509,108 | |
201,610 | Qatar National Cement Co. QSC | 254,200 | |
1,865,772 | |||
Russia — 0.1% | |||
214,920 | Evraz Plc(b) (c) (d) | 4,798 | |
7,610 | Gazprom Neft PJSC(b) (c) (d) | 499 | |
1,043,282 | Gazprom PJSC(b) (c) (d) | 39,598 | |
99,121 | Globaltrans Investment Plc, GDR* (b) (c) (d) (e) | 3,965 | |
5,000 | HeadHunter Group Plc, ADR(b) (c) (d) | 750 | |
44,258 | LSR Group PJSC* (b) (c) (d) | 3,765 | |
136,755 | LUKOIL PJSC(b) (c) (d) | 111,418 | |
8,543 | Magnit PJSC(b) (c) (d) | 4,333 | |
4 | Magnit PJSC, GDR(b) (c) (d) (e) | 0 | |
984,659 | Magnitogorsk Iron & Steel Works PJSC(b) (c) (d) | 7,789 | |
16,459 | MMC Norilsk Nickel PJSC(b) (c) (d) | 53,854 | |
9 | MMC Norilsk Nickel PJSC, ADR(b) (c) (d) | 2 | |
126,700 | Mobile Telesystems PJSC, ADR* (b) (c) (d) | 7,602 | |
154,250 | Novatek PJSC(b) (c) (d) | 31,039 | |
1,715,500 | Novolipetsk Steel PJSC(b) (c) (d) | 52,623 | |
5,323 | PhosAgro PJSC(b) (c) (d) | 4,480 | |
103 | PhosAgro PJSC, ADR(b) (c) (d) | 19 | |
2 | PhosAgro PJSC, GDR(b) (c) (d) (e) | 0 | |
443,510 | Polymetal International Plc* | 965,968 | |
25,062 | Polyus PJSC(b) (c) (d) | 45,610 | |
4,954 | Ros Agro Plc, GDR* (b) (c) (d) (e) | 495 | |
5,496,180 | Sberbank of Russia PJSC* (b) (c) (d) | 116,892 | |
105,511 | Severstal PAO, GDR(b) (c) (d) (e) | 16,882 | |
25,625,090 | Surgutneftegas PJSC(b) (c) (d) | 92,229 | |
598,704 | Tatneft PJSC(b) (c) (d) | 36,045 | |
16,391 | TCS Group Holding Plc, GDR* (b) (c) (d) (e) | 8,913 | |
8,773 | TCS Group Holding Plc (London Exchange), GDR* (b) (c) (d) (e) | 3,158 | |
109,700 | VEON, Ltd., ADR* | 35,104 | |
47,122 | X5 Retail Group NV, GDR(b) (c) (d) (e) | 5,655 | |
1,653,485 | |||
South Africa — 2.9% | |||
381,600 | Absa Group, Ltd.(a) | 3,726,130 | |
25,218 | Anglo American Platinum, Ltd. | 1,783,292 | |
3,394 | AVI, Ltd. | 13,715 | |
69,348 | Capitec Bank Holdings, Ltd. | 5,986,690 | |
496,964 | Clicks Group, Ltd. | 7,853,842 | |
2,059,347 | FirstRand, Ltd. | 6,900,884 | |
3,993 | Impala Platinum Holdings, Ltd. | 37,314 | |
96,494 | Investec, Ltd. | 382,647 | |
46,105 | Kumba Iron Ore, Ltd. | 984,217 | |
159,125 | Lewis Group, Ltd. | 406,706 |
144 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
South Africa — continued | |||
59,939 | Mr Price Group, Ltd. | 572,737 | |
138,000 | Nedbank Group, Ltd. | 1,523,498 | |
83,691 | Ninety One, Ltd. | 162,409 | |
79,258 | Old Mutual, Ltd. | 42,970 | |
8,927 | Omnia Holdings, Ltd. | 33,474 | |
918,188 | RMB Holdings, Ltd. | 101,564 | |
124,000 | Sasol, Ltd. | 1,964,537 | |
64,647 | Sibanye Stillwater, Ltd. | 150,685 | |
369,343 | SPAR Group, Ltd. (The) | 2,936,235 | |
49,882 | Tiger Brands, Ltd. | 468,528 | |
125,797 | Truworths International, Ltd.(a) | 346,479 | |
23,808 | Vodacom Group, Ltd. | 160,760 | |
36,539,313 | |||
South Korea — 7.1% | |||
4,356 | AfreecaTV Co., Ltd. | 190,832 | |
172 | BGF retail Co., Ltd. | 19,837 | |
35,185 | BNK Financial Group, Inc. | 147,250 | |
13,000 | Celltrion, Inc. | 1,578,868 | |
10,825 | Cheil Worldwide, Inc. | 170,612 | |
2,616 | Daeduck Electronics Co., Ltd. | 38,338 | |
3,228 | Daou Data Corp. | 31,663 | |
17,389 | DB HiTek Co., Ltd. | 447,679 | |
3,119 | DB Insurance Co., Ltd. | 119,464 | |
5,457 | DL E&C Co., Ltd. | 129,366 | |
355 | DL Holdings Co., Ltd. | 14,116 | |
80,646 | Dongwon Development Co., Ltd. | 181,252 | |
11,832 | Ecopro BM Co., Ltd.(a) | 721,341 | |
2,202 | Fila Holdings Corp. | 47,684 | |
32,593 | GS Engineering & Construction Corp. | 508,696 | |
163,095 | Hana Financial Group, Inc. | 4,005,687 | |
46,184 | HDC Hyundai Development Co-Engineering & Construction | 331,031 | |
43,983 | Hyundai Engineering & Construction Co., Ltd. | 1,150,881 | |
3,181 | Hyundai Glovis Co., Ltd. | 358,119 | |
8,307 | Hyundai Marine & Fire Insurance Co., Ltd. | 169,333 | |
12,476 | Hyundai Mobis Co., Ltd. | 1,663,123 | |
4,357 | Industrial Bank of Korea | 28,837 | |
1,625 | INTOPS Co., Ltd. | 34,213 | |
41,706 | JYP Entertainment Corp. | 1,696,420 | |
44,485 | Kakao Corp. | 1,751,065 | |
151,605 | KB Financial Group, Inc. | 4,592,216 | |
197 | KCC Corp. | 31,516 | |
1,698 | KCC Glass Corp. | 47,360 | |
153,959 | Kia Corp. | 7,683,679 | |
1,492 | KIWOOM Securities Co., Ltd. | 78,336 | |
1,145 | Korea Investment Holdings Co., Ltd. | 37,715 | |
1,943 | Korea Petrochemical Ind Co., Ltd. | 139,103 | |
23,947 | Korea Real Estate Investment & Trust Co., Ltd. | 22,908 | |
3,632 | Korea Zinc Co., Ltd. | 1,499,607 |
See accompanying Notes to the Financial Statements. | 145 |
Shares | Description | Value ($) | |
South Korea — continued | |||
129,517 | KT&G Corp. | 7,836,276 | |
20,483 | Kumho Petrochemical Co., Ltd. | 1,647,389 | |
10,000 | L&F Co., Ltd.* | 1,220,064 | |
34,696 | LG Corp. | 1,792,235 | |
15,005 | LG H&H Co., Ltd. | 6,580,946 | |
15,389 | LG Innotek Co., Ltd. | 2,902,682 | |
22,073 | LOTTE Fine Chemical Co., Ltd. | 861,384 | |
19,917 | LX Semicon Co., Ltd.(a) | 1,055,716 | |
463 | MegaStudyEdu Co., Ltd. | 22,977 | |
9,347 | Meritz Securities Co., Ltd. | 23,822 | |
2,593 | NCSoft Corp. | 621,038 | |
1,509 | Orion Corp. | 108,133 | |
15,285 | POSCO Holdings, Inc. | 2,250,618 | |
3,700 | POSCO Holdings, Inc., ADR(a) | 135,457 | |
1,644 | Samsung Electro-Mechanics Co., Ltd. | 127,016 | |
401,808 | Samsung Electronics Co., Ltd. | 14,763,764 | |
3,105 | Samsung Electronics Co., Ltd., GDR | 2,814,798 | |
569 | Samsung Electronics Co., Ltd. (London Exchange), GDR(a) | 459,702 | |
22,061 | Samsung Fire & Marine Insurance Co., Ltd. | 2,829,773 | |
589 | Samsung Life Insurance Co., Ltd. | 25,544 | |
7,544 | Samsung SDS Co., Ltd. | 601,254 | |
3,339 | Samsung Securities Co., Ltd. | 71,163 | |
54,556 | SD Biosensor, Inc. | 1,003,778 | |
27,975 | Seegene, Inc.(a) | 520,542 | |
142,458 | Shinhan Financial Group Co., Ltd. | 3,313,721 | |
45,000 | SIMMTECH Co., Ltd.(a) | 913,416 | |
34,061 | SK Hynix, Inc. | 1,954,357 | |
1,621 | SK Square Co., Ltd.* | 40,462 | |
4,442 | SL Corp. | 99,166 | |
2,039 | TKG Huchems Co., Ltd. | 26,834 | |
1,580 | TY Holdings Co., Ltd.* | 13,219 | |
479 | Unid Co., Ltd. | 27,728 | |
3,562 | Webzen, Inc.* | 36,550 | |
497,650 | Woori Financial Group, Inc. | 3,697,423 | |
126,257 | Woori Technology Investment Co., Ltd.* | 406,402 | |
745 | Youngone Corp. | 22,976 | |
90,496,472 | |||
Taiwan — 14.2% | |||
205,000 | Accton Technology Corp. | 1,738,302 | |
128,000 | Acer, Inc. | 87,821 | |
22,454 | Acter Group Corp., Ltd. | 70,739 | |
865,003 | Advantech Co., Ltd. | 7,897,634 | |
78,953 | AmTRAN Technology Co., Ltd. | 24,089 | |
78,000 | Asia Cement Corp. | 96,369 | |
412,000 | Asia Vital Components Co., Ltd. | 1,445,948 | |
12,000 | ASROCK, Inc. | 31,792 | |
570,998 | Asustek Computer, Inc. | 4,190,324 | |
28,531 | Aten International Co., Ltd. | 68,150 |
146 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Taiwan — continued | |||
1,525,000 | Catcher Technology Co., Ltd. | 8,239,808 | |
2,441,595 | Cathay Financial Holding Co., Ltd. | 3,056,461 | |
808,191 | Chailease Holding Co., Ltd. | 4,598,096 | |
26,000 | Channel Well Technology Co., Ltd. | 22,587 | |
250,110 | Chicony Electronics Co., Ltd. | 646,619 | |
434,000 | China Development Financial Holding Corp. | 162,814 | |
15,000 | China Motor Corp. | 19,129 | |
46,000 | Chipbond Technology Corp. | 72,783 | |
14,000 | ChipMOS Technologies, Inc. | 13,253 | |
176,013 | Chong Hong Construction Co., Ltd. | 405,533 | |
160,000 | Chunghwa Telecom Co., Ltd. | 573,360 | |
7,400 | Chunghwa Telecom Co., Ltd., ADR | 262,922 | |
9,000 | Cleanaway Co., Ltd. | 49,335 | |
286,416 | Coretronic Corp. | 493,892 | |
29,000 | Co-Tech Development Corp. | 34,626 | |
31,000 | CTCI Corp. | 44,439 | |
468,500 | E Ink Holdings, Inc. | 3,095,393 | |
3,901,470 | E.Sun Financial Holding Co., Ltd. | 3,153,614 | |
55,517 | Elite Material Co., Ltd. | 276,675 | |
74,000 | Elite Semiconductor Microelectronics Technology, Inc. | 149,177 | |
45,000 | eMemory Technology, Inc. | 1,588,890 | |
803,400 | Evergreen Marine Corp. Taiwan, Ltd. | 3,662,800 | |
80,000 | Far Eastern New Century Corp. | 81,074 | |
90,000 | Far EasTone Telecommunications Co., Ltd. | 204,815 | |
177,092 | Farglory Land Development Co., Ltd. | 320,531 | |
273,960 | First Financial Holding Co., Ltd. | 223,555 | |
7,000 | FLEXium Interconnect, Inc.* | 19,064 | |
78,000 | Formosa Chemicals & Fibre Corp. | 168,528 | |
10,000 | Formosa International Hotels Corp. | 60,396 | |
1,388,000 | Formosa Plastics Corp. | 3,768,563 | |
192,518 | Foxconn Technology Co., Ltd. | 276,065 | |
4,853,030 | Fubon Financial Holding Co., Ltd. | 7,587,447 | |
35,000 | Gamania Digital Entertainment Co., Ltd. | 63,737 | |
30,000 | Getac Technology Corp. | 39,668 | |
356,000 | Gigabyte Technology Co., Ltd. | 979,534 | |
100,000 | Global Unichip Corp. | 1,827,896 | |
473,400 | Gold Circuit Electronics, Ltd.* | 1,386,740 | |
850,777 | Grand Pacific Petrochemical | 469,473 | |
20,000 | Greatek Electronics, Inc. | 30,858 | |
741,000 | HannStar Display Corp. | 265,738 | |
90,000 | Holtek Semiconductor, Inc. | 187,332 | |
1,510,777 | Hon Hai Precision Industry Co., Ltd. | 4,823,109 | |
188,759 | Huaku Development Co., Ltd. | 538,007 | |
91,000 | IEI Integration Corp. | 159,868 | |
3,000 | International Games System Co., Ltd. | 33,766 | |
76,000 | King's Town Bank Co., Ltd. | 80,515 | |
39,000 | Kung Long Batteries Industrial Co., Ltd. | 169,163 | |
67,000 | Largan Precision Co., Ltd. | 3,493,920 | |
790,443 | Lite-On Technology Corp., ADR | 1,577,149 |
See accompanying Notes to the Financial Statements. | 147 |
Shares | Description | Value ($) | |
Taiwan — continued | |||
131,442 | Lotes Co., Ltd. | 3,160,147 | |
325,000 | Lotus Pharmaceutical Co., Ltd.* | 1,665,469 | |
20,000 | Makalot Industrial Co., Ltd. | 114,847 | |
232,219 | MediaTek, Inc. | 4,041,574 | |
280,680 | Mercuries Life Insurance Co., Ltd.* | 55,366 | |
818,899 | Micro-Star International Co., Ltd. | 2,746,421 | |
220,000 | Mitac Holdings Corp. | 186,377 | |
596,000 | Nan Ya Plastics Corp. | 1,252,327 | |
96,000 | Nantex Industry Co., Ltd. | 107,639 | |
660,000 | Nanya Technology Corp. | 1,008,048 | |
6,000 | Nien Made Enterprise Co., Ltd. | 47,237 | |
664,622 | Novatek Microelectronics Corp. | 4,534,198 | |
7,692 | Pharmally International Holding Co., Ltd.* (b) (c) | — | |
225,000 | Phison Electronics Corp. | 1,858,773 | |
28,000 | Pou Chen Corp. | 24,969 | |
641,998 | President Chain Store Corp. | 5,694,211 | |
106,000 | Primax Electronics, Ltd. | 211,299 | |
2,437 | Quanta Computer, Inc. | 5,875 | |
43,000 | Radiant Opto-Electronics Corp. | 135,424 | |
6,000 | Raydium Semiconductor Corp. | 40,572 | |
144,000 | Shanghai Commercial & Savings Bank, Ltd. (The) | 222,366 | |
13,000 | Shin Zu Shing Co., Ltd. | 36,767 | |
92,190 | Shinkong Insurance Co., Ltd. | 141,669 | |
81,985 | Simplo Technology Co., Ltd. | 676,621 | |
379,760 | SinoPac Financial Holdings Co., Ltd. | 205,918 | |
19,000 | Soft-World International Corp. | 42,163 | |
11,000 | Standard Foods Corp. | 13,219 | |
124,000 | Syncmold Enterprise Corp. | 247,384 | |
59,000 | Synnex Technology International Corp. | 97,343 | |
344,000 | T3EX Global Holdings Corp. | 680,726 | |
10,066 | Tah Hsin Industrial Corp. | 21,226 | |
33,000 | TaiDoc Technology Corp. | 169,882 | |
5,000 | Taiwan Hon Chuan Enterprise Co., Ltd. | 13,143 | |
1,806,659 | Taiwan Semiconductor Manufacturing Co., Ltd. | 23,747,241 | |
539,603 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 36,995,182 | |
47,000 | Taiwan Union Technology Corp. | 66,426 | |
20,000 | Test Research, Inc. | 39,249 | |
5,000 | Thinking Electronic Industrial Co., Ltd. | 18,203 | |
5,000 | Topco Scientific Co., Ltd. | 24,362 | |
261,583 | Transcend Information, Inc. | 531,255 | |
176,822 | Tripod Technology Corp. | 517,801 | |
10,000 | Tung Ho Steel Enterprise Corp. | 15,596 | |
1,700,351 | Uni-President Enterprises Corp. | 3,582,649 | |
116,356 | United Integrated Services Co., Ltd. | 549,495 | |
158,772 | Universal, Inc. | 112,217 | |
95,000 | Walsin Technology Corp. | 220,807 | |
1,142,550 | Wan Hai Lines, Ltd. | 2,373,430 | |
34,000 | WPG Holdings, Ltd. | 49,503 | |
35,000 | WT Microelectronics Co., Ltd. | 64,625 |
148 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Taiwan — continued | |||
4,114,000 | Yang Ming Marine Transport Corp. | 7,867,535 | |
104,000 | Youngtek Electronics Corp. | 189,574 | |
656,110 | Yuanta Financial Holding Co., Ltd. | 402,482 | |
5,506 | Yulon Nissan Motor Co., Ltd. | 32,838 | |
181,969,555 | |||
Thailand — 0.9% | |||
334,300 | Advanced Info Service PCL, NVDR | 1,725,605 | |
6,220,000 | Bangkok Dusit Medical Services PCL Class F | 4,823,304 | |
91,900 | CP ALL PCL, NVDR | 136,923 | |
63,200 | CP ALL PCL Class F | 94,247 | |
7,900 | Kasikornbank PCL, NVDR | 29,990 | |
33,700 | Kasikornbank PCL Class F | 129,977 | |
874,800 | Pruksa Holding PCL Class F | 278,303 | |
717,800 | PTT Exploration & Production PCL Class F | 3,054,266 | |
552,000 | SCB X PCL Class F | 1,521,951 | |
611,500 | Sri Trang Gloves Thailand PCL, NVDR | 184,607 | |
137,600 | Supalai PCL Class F | 68,946 | |
12,048,119 | |||
Turkey — 1.0% | |||
4,569,319 | Akbank TAS | 2,773,957 | |
17,848 | Aksa Akrilik Kimya Sanayii AS | 55,382 | |
281,000 | BIM Birlesik Magazalar AS | 1,749,173 | |
118,041 | Enerjisa Enerji AS | 110,412 | |
192,074 | Ford Otomotiv Sanayi AS | 3,374,313 | |
1,218,342 | KOC Holding AS | 2,974,120 | |
33,509 | Koza Altin Isletmeleri AS | 328,794 | |
16,126 | Mavi Giyim Sanayi Ve Ticaret AS Class B | 62,515 | |
213,006 | Sasa Polyester Sanayi AS* | 782,050 | |
12,210,716 | |||
United Arab Emirates — 0.1% | |||
762,040 | Multiply Group* | 636,184 | |
United Kingdom — 0.7% | |||
206,315 | Unilever Plc | 9,075,792 | |
United States — 0.6% | |||
34,769 | Globant SA* | 6,504,585 | |
247,400 | JBS SA | 1,148,985 | |
7,653,570 | |||
Uruguay — 0.1% | |||
67,218 | Dlocal, Ltd.* (a) | 1,379,313 | |
TOTAL COMMON STOCKS (COST $1,583,581,750) | 1,210,729,398 |
See accompanying Notes to the Financial Statements. | 149 |
Shares | Description | Value ($) | |
PREFERRED STOCKS — 1.5% | |||
Brazil — 1.2% | |||
769,676 | Banco Bradesco SA, 3.17% | 2,823,220 | |
17,001 | Cia Energetica de Minas Gerais, 12.82% | 33,821 | |
2,176,800 | Petroleo Brasileiro SA, 38.60% | 11,993,056 | |
4,300 | Unipar Carbocloro SA, 16.85%, Class B | 76,311 | |
14,926,408 | |||
Chile — 0.0% | |||
147,146 | Embotelladora Andina SA, 16.21%, Series B | 257,462 | |
Colombia — 0.0% | |||
182,223 | Grupo Aval Acciones y Valores SA, 5.06% | 23,006 | |
South Korea — 0.3% | |||
120,305 | Samsung Electronics Co., Ltd., 2.31% | 3,914,545 | |
Taiwan — 0.0% | |||
41,879 | Chailease Holding Co., Ltd., 3.85% | 130,029 | |
TOTAL PREFERRED STOCKS (COST $21,403,340) | 19,251,450 | ||
RIGHTS — 0.0% | |||
Brazil — 0.0% | |||
452 | Localiza Rent a Car SA | 919 | |
TOTAL RIGHTS (COST $—) | 919 | ||
WARRANTS — 0.1% | |||
China — 0.1% | |||
158,675 | Guangdong Yizumi Precision Machinery Co. Ltd., Expires 05/26/23* (c) | 408,144 | |
10,954 | iRay Technology Co. Ltd., Expires 06/13/23* | 805,404 | |
47,189 | Ninebot, Ltd., Expires 08/28/23* | 254,937 | |
1,468,485 | |||
TOTAL WARRANTS (COST $1,437,995) | 1,468,485 |
150 | See accompanying Notes to the Financial Statements. |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 0.5% | |||
Mutual Fund - Securities Lending Collateral — 0.5% | |||
6,273,318 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(f) (g) | 6,273,318 | |
TOTAL SHORT-TERM INVESTMENT (COST $6,273,317) | 6,273,318 | ||
TOTAL INVESTMENTS — 96.7% (Cost $1,612,696,402) | 1,237,723,570 | ||
Other Assets and Liabilities (net) — 3.3% | 42,102,883 | ||
NET ASSETS — 100.0% | $1,279,826,453 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(c) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $1,060,557 which represents 0.1% of net assets. The aggregate cost of these securities held at September 30, 2022 was $85,925,823. |
(d) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at period end is $652,413 which represents 0.0% of net assets. The aggregate cost of these securities held at September 30, 2022 was $85,475,145. |
(e) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of period end, the market value of restricted securities was $39,068, which is 0.0% of net assets. See details shown in the Restricted Securities table that follows. |
(f) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(g) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $4,180,919 which represents 0.3% of net assets. |
Restricted Securities | Acquisition Date | Share Amount | Cost | Value | |||||
Globaltrans Investment Plc | 03/05/21 | USD | 99,121 | $ 680,748 | $ 3,965 | ||||
Magnit PJSC | 07/22/22 | USD | 4 | 0 | 0 | ||||
PhosAgro PJSC | 08/11/22 | USD | 2 | 40 | 0 | ||||
Ros Agro Plc | 02/09/22 | USD | 4,954 | 71,692 | 495 | ||||
Severstal PAO | 03/04/21 | USD | 105,511 | 2,093,359 | 16,882 | ||||
TCS Group Holding Plc | 10/20/21 | RUB | 16,391 | 1,550,503 | 8,913 | ||||
TCS Group Holding Plc (London Exchange) | 03/04/21 | USD | 8,773 | 527,567 | 3,158 |
See accompanying Notes to the Financial Statements. | 151 |
Restricted Securities — (continued) | Acquisition Date | Share Amount | Cost | Value | |||||
X5 Retail Group NV | 03/05/21 | USD | 47,122 | $1,547,335 | $ 5,655 | ||||
$39,068 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buy | ||||||||
1,241 | MSCI Emerging Markets E-mini Index | Dec 2022 | $54,076,575 | $(2,513,284) | ||||
Sales | ||||||||
41 | SGX Nifty 50 Index | Oct 2022 | $ 1,401,216 | $ 16,163 |
Currency Abbreviations | ||
RUB | — | Russian Ruble |
USD | — | U.S. Dollar |
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
NVDR | — | Non-Voting Depository Receipt |
152 | See accompanying Notes to the Financial Statements. |
Industry Sector Summary (Unaudited) | % of Net Assets |
Financial | 22.7 |
Technology | 16.0 |
Consumer, Non-cyclical | 15.7 |
Industrial | 9.9 |
Communications | 9.0 |
Consumer, Cyclical | 8.7 |
Basic Materials | 6.8 |
Energy | 6.4 |
Utilities | 0.7 |
Diversified | 0.3 |
Short-Term Investment | 0.5 |
Other Assets and Liabilities (net) | 3.3 |
100.0% |
See accompanying Notes to the Financial Statements. | 153 |
Shares | Description | Value ($) | |
COMMON STOCKS — 94.7% | |||
Australia — 1.4% | |||
121,781 | Aurizon Holdings, Ltd. | 268,950 | |
82,414 | Australia & New Zealand Banking Group, Ltd. | 1,202,805 | |
19,464 | Australian Clinical Labs, Ltd. | 44,241 | |
262,655 | Charter Hall Long Wale REIT REIT | 670,314 | |
15,177 | EBOS Group, Ltd. | 321,747 | |
177,785 | Newcrest Mining, Ltd. | 1,944,295 | |
17,473 | Orica, Ltd. | 147,457 | |
707,752 | Perseus Mining, Ltd. | 700,739 | |
27,146 | Rio Tinto Plc | 1,469,993 | |
5,957 | Rio Tinto Plc, ADR(a) | 327,992 | |
294,228 | Sonic Healthcare, Ltd. | 5,754,688 | |
58,141 | South32, Ltd. | 135,080 | |
798,475 | Telstra Corp., Ltd.(a) | 1,967,116 | |
14,955,417 | |||
Austria — 0.0% | |||
14,180 | Telekom Austria AG Class A * | 81,807 | |
Belgium — 0.0% | |||
1,029 | Deme Group NV* | 106,666 | |
Bermuda — 0.0% | |||
3,573 | RenaissanceRe Holdings, Ltd. | 501,613 | |
Brazil — 0.1% | |||
35,240 | Yara International ASA | 1,230,766 | |
Burkina Faso — 0.0% | |||
25,166 | Endeavour Mining Plc | 456,772 | |
Canada — 3.6% | |||
48,200 | Atco, Ltd. Class I | 1,489,094 | |
4,900 | Bank of Nova Scotia (The) | 234,293 | |
51,090 | BCE, Inc. | 2,142,715 | |
165,935 | Canadian Pacific Railway, Ltd. | 11,071,183 | |
82,200 | Canadian Utilities, Ltd. Class A | 2,149,446 | |
6,200 | Canadian Western Bank | 101,480 | |
47,600 | Cenovus Energy, Inc. | 735,106 | |
4,500 | Cogeco, Inc. | 180,452 | |
641 | E-L Financial Corp., Ltd. | 397,699 | |
6,100 | Emera, Inc. | 248,120 | |
73,200 | Empire Co., Ltd. Class A | 1,830,466 | |
6,900 | Evertz Technologies, Ltd. | 61,666 | |
27,900 | George Weston, Ltd. | 2,936,703 | |
93,600 | Great-West Lifeco, Inc. | 2,031,332 | |
26,000 | Loblaw Cos., Ltd. | 2,069,706 | |
12,700 | National Bank of Canada | 800,237 | |
58,100 | North West Co., Inc. (The)(a) | 1,352,657 |
154 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Canada — continued | |||
14,200 | Power Corp. of Canada(a) | 321,710 | |
900 | Richelieu Hardware, Ltd.(a) | 25,106 | |
25,400 | Royal Bank of Canada | 2,299,042 | |
5,246 | SmartCentres Real Estate Investment Trust REIT | 99,075 | |
76,400 | Stella-Jones, Inc. | 2,156,248 | |
31,700 | Sun Life Financial, Inc. | 1,267,262 | |
19,900 | TMX Group, Ltd. | 1,840,176 | |
104,600 | Western Forest Products, Inc. | 100,485 | |
39,600 | Winpak, Ltd. | 1,294,879 | |
39,236,338 | |||
China — 0.6% | |||
2,331,162 | CITIC Telecom International Holdings, Ltd. | 754,357 | |
151,000 | Kerry Logistics Network, Ltd. | 241,218 | |
81,329 | NetEase, Inc., ADR | 6,148,472 | |
7,144,047 | |||
Denmark — 0.6% | |||
918 | AP Moller - Maersk AS Class B | 1,662,157 | |
2,874 | DSV AS | 332,965 | |
4,799 | Genmab AS* | 1,546,211 | |
22,523 | Novo Nordisk AS Class B | 2,243,952 | |
7,490 | Novozymes AS Class B | 373,410 | |
6,158,695 | |||
Finland — 0.1% | |||
675 | Orion OYJ Class A | 28,746 | |
15,009 | Orion OYJ Class B | 632,356 | |
661,102 | |||
France — 2.8% | |||
18,224 | Air Liquide SA | 2,074,261 | |
9,271 | Arkema SA | 675,896 | |
1,035 | Boiron SA | 44,775 | |
7,951 | Bureau Veritas SA | 177,491 | |
9,347 | Cie des Alpes* | 112,512 | |
24,501 | Danone SA | 1,153,939 | |
1,590 | Dassault Aviation SA | 180,508 | |
7,390 | Dassault Systemes SE | 253,918 | |
4,394 | IPSOS | 195,430 | |
25,875 | Legrand SA | 1,671,072 | |
3,852 | L'Oreal SA | 1,226,045 | |
552 | Manutan International | 32,425 | |
158,695 | Orange SA | 1,434,450 | |
811 | Pernod Ricard SA | 148,176 | |
97,593 | Safran SA | 8,869,979 | |
27,169 | Sanofi | 2,072,699 | |
304 | Savencia SA | 15,183 | |
4,673 | Societe BIC SA | 296,742 | |
214 | Societe LDC SA | 19,453 |
See accompanying Notes to the Financial Statements. | 155 |
Shares | Description | Value ($) | |
France — continued | |||
1,227 | Somfy SA | 114,346 | |
554 | Stef SA | 40,348 | |
2,355 | Thales SA | 259,650 | |
397 | Trigano SA | 34,814 | |
1,091 | Vetoquinol SA | 84,653 | |
1,167 | Vilmorin & Cie SA | 45,701 | |
107,500 | Vinci SA | 8,631,457 | |
11,064 | Wendel SE | 791,044 | |
30,656,967 | |||
Georgia — 0.0% | |||
6,424 | Bank of Georgia Group Plc | 140,921 | |
Germany — 1.3% | |||
17,931 | Bayer AG | 827,140 | |
8,323 | Bayerische Motoren Werke AG | 568,804 | |
91,368 | Beiersdorf AG | 9,037,695 | |
11,517 | Deutsche Boerse AG | 1,895,350 | |
14,007 | Evonik Industries AG | 236,100 | |
14,012 | Freenet AG | 267,218 | |
7,861 | GEA Group AG | 256,953 | |
2,128 | McKesson Europe AG | 42,029 | |
3,491 | Merck KGaA | 569,510 | |
6,041 | Symrise AG Class A | 594,199 | |
14,294,998 | |||
Hong Kong — 0.8% | |||
77,200 | Bank of East Asia, Ltd. (The) | 84,264 | |
131,000 | CLP Holdings, Ltd. | 987,134 | |
352,136 | Dah Sing Banking Group, Ltd. | 231,981 | |
342,000 | Emperor International Holdings, Ltd. | 26,521 | |
580,500 | HK Electric Investments & HK Electric Investments, Ltd. | 406,855 | |
1,666,000 | HKT Trust & HKT, Ltd. | 1,948,465 | |
16,000 | Hong Kong Ferry Holdings Co., Ltd.(a) | 13,096 | |
49,000 | Kowloon Development Co., Ltd. | 56,616 | |
249,000 | Langham Hospitality Investments and Langham Hospitality Investments, Ltd. | 24,837 | |
38,000 | Liu Chong Hing Investment, Ltd. | 32,387 | |
12,000 | Miramar Hotel & Investment(a) | 18,324 | |
3,690,000 | PCCW, Ltd. | 1,666,903 | |
373,000 | Power Assets Holdings, Ltd. | 1,864,236 | |
300,000 | Regal Hotels International Holdings, Ltd.* | 111,976 | |
219,000 | Regal Real Estate Investment Trust REIT | 29,851 | |
110,855 | SmarTone Telecommunications Holdings, Ltd. | 58,014 | |
58,000 | Transport International Holdings, Ltd. | 70,547 | |
230,163 | VTech Holdings, Ltd. | 1,315,219 | |
3,000 | Wing On Co. International, Ltd. | 5,427 | |
8,952,653 | |||
Indonesia — 0.0% | |||
229,900 | Bumitama Agri, Ltd. | 91,360 |
156 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Israel — 1.1% | |||
119,697 | Bank Hapoalim BM | 1,009,948 | |
48,659 | Bank Leumi Le-Israel BM | 415,400 | |
65,471 | Check Point Software Technologies, Ltd.* | 7,334,061 | |
17,432 | First International Bank Of Israel, Ltd. (The) | 707,387 | |
15,037 | ICL Group, Ltd. | 120,824 | |
3 | Isracard, Ltd. | 8 | |
634,876 | Isramco Negev 2, LP* | 216,653 | |
1,038 | Mizrahi Tefahot Bank, Ltd. | 36,365 | |
33,680 | Radware, Ltd.* | 733,887 | |
41,344 | Strauss Group, Ltd. | 983,413 | |
11,557,946 | |||
Italy — 0.2% | |||
190,687 | Eni SpA | 2,024,974 | |
91,801 | Snam SpA | 370,684 | |
2,395,658 | |||
Japan — 4.5% | |||
5,500 | Amano Corp. | 92,521 | |
50,700 | Arcs Co., Ltd. | 722,120 | |
71,200 | Autobacs Seven Co., Ltd. | 687,035 | |
7,200 | Axial Retailing, Inc.(a) | 161,246 | |
2,100 | Belc Co., Ltd. | 77,944 | |
2,500 | Benesse Holdings, Inc.(a) | 37,028 | |
19,300 | Calbee, Inc. | 412,539 | |
12,100 | Canon Marketing Japan, Inc. | 267,886 | |
3,500 | Canon, Inc.(a) | 76,326 | |
6,500 | Cawachi, Ltd. | 95,338 | |
11,900 | Doshisha Co., Ltd. | 118,639 | |
30,189 | Earth Corp. | 1,078,193 | |
28,000 | Ezaki Glico Co., Ltd. | 690,065 | |
4,800 | Fujicco Co., Ltd. | 63,397 | |
18,900 | Heiwado Co., Ltd.(a) | 259,895 | |
114,700 | Hitachi Metals, Ltd.* | 1,724,326 | |
18,500 | Hokuto Corp. | 242,207 | |
19,200 | House Foods Group, Inc. | 383,083 | |
65,700 | Hyakugo Bank, Ltd. (The) | 144,048 | |
3,700 | Inaba Denki Sangyo Co., Ltd. | 69,735 | |
18,400 | Itochu Enex Co., Ltd. | 130,049 | |
148,901 | Japan Tobacco, Inc. | 2,443,761 | |
7,300 | J-Oil Mills, Inc.(a) | 78,163 | |
43,855 | Kaken Pharmaceutical Co., Ltd. | 1,157,327 | |
15,300 | Kato Sangyo Co., Ltd.(a) | 353,504 | |
77,200 | KDDI Corp. | 2,264,037 | |
26,300 | Kewpie Corp. | 431,353 | |
1,900 | Komeri Co., Ltd. | 36,319 | |
30,700 | Kuraray Co., Ltd. | 215,240 | |
82,500 | KYORIN Holdings, Inc. | 1,006,249 | |
15,500 | Lawson, Inc. | 506,230 |
See accompanying Notes to the Financial Statements. | 157 |
Shares | Description | Value ($) | |
Japan — continued | |||
23,800 | Lintec Corp. | 365,814 | |
2,900 | Maruichi Steel Tube, Ltd. | 59,389 | |
16,600 | McDonald's Holdings Co. Japan, Ltd. | 578,179 | |
47,700 | MEIJI Holdings Co., Ltd. | 2,115,695 | |
5,600 | Miroku Jyoho Service Co., Ltd. | 55,516 | |
96,700 | Mitsubishi Electric Corp. | 873,449 | |
26,600 | Mitsubishi Shokuhin Co., Ltd. | 598,472 | |
93,100 | Mizuho Financial Group, Inc. | 1,005,744 | |
28,800 | Mochida Pharmaceutical Co., Ltd. | 672,750 | |
5,200 | Morinaga & Co., Ltd. | 142,582 | |
8,700 | Morinaga Milk Industry Co., Ltd. | 255,021 | |
18,300 | MS&AD Insurance Group Holdings, Inc. | 484,237 | |
37,000 | Nichirei Corp. | 610,280 | |
68,100 | Nippn Corp. | 731,539 | |
3,000 | Nippon Kanzai Co., Ltd. | 52,454 | |
17,100 | Nippon Kayaku Co., Ltd.(a) | 137,088 | |
96,000 | Nippon Telegraph & Telephone Corp. | 2,589,621 | |
19,100 | Nisshin Oillio Group, Ltd. (The) | 421,910 | |
69,500 | Nisshin Seifun Group, Inc.(a) | 705,521 | |
2,500 | Nissin Foods Holdings Co., Ltd. | 173,544 | |
1,300 | Ohsho Food Service Corp. | 57,468 | |
57,600 | Okinawa Cellular Telephone Co. | 1,012,152 | |
22,900 | Okinawa Electric Power Co., Inc. (The)(a) | 166,919 | |
41,800 | Otsuka Holdings Co., Ltd. | 1,325,682 | |
800 | S&B Foods, Inc. | 20,562 | |
15,300 | San-A Co., Ltd. | 461,767 | |
96,200 | Sankyo Co., Ltd. | 2,900,943 | |
9,200 | Santen Pharmaceutical Co., Ltd. | 61,649 | |
36,500 | Secom Co., Ltd. | 2,073,633 | |
301,300 | Seven Bank, Ltd. | 539,589 | |
51,900 | Shinmaywa Industries, Ltd. | 348,678 | |
25,859 | Showa Sangyo Co., Ltd.(a) | 443,026 | |
9,800 | SKY Perfect JSAT Holdings, Inc. | 35,046 | |
220,200 | Softbank Corp.(a) | 2,201,926 | |
21,100 | Sompo Holdings, Inc. | 840,857 | |
3,100 | Takeda Pharmaceutical Co., Ltd. | 80,505 | |
131,100 | Teijin, Ltd.(a) | 1,271,791 | |
34,100 | Toho Holdings Co., Ltd.(a) | 457,183 | |
64,100 | TOKAI Holdings Corp. | 386,024 | |
83,400 | Tokio Marine Holdings, Inc. | 1,482,165 | |
32,400 | Tokuyama Corp.(a) | 390,472 | |
4,800 | Toyo Ink SC Holdings Co., Ltd. | 63,089 | |
48,600 | Trend Micro, Inc. | 2,631,823 | |
1,500 | Tv Tokyo Holdings Corp. | 19,590 | |
35,200 | United Super Markets Holdings, Inc.(a) | 255,582 | |
4,600 | Valor Holdings Co., Ltd.(a) | 56,593 | |
50,400 | Vital KSK Holdings, Inc. | 226,269 | |
4,300 | Wowow, Inc. | 39,546 | |
5,400 | Yaoko Co., Ltd.(a) | 244,913 |
158 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Japan — continued | |||
18,400 | ZERIA Pharmaceutical Co., Ltd.(a) | 262,031 | |
49,012,081 | |||
Jordan — 0.1% | |||
42,227 | Hikma Pharmaceuticals Plc | 639,194 | |
Netherlands — 1.4% | |||
24,647 | ASML Holding NV | 10,219,185 | |
30,252 | Koninklijke Ahold Delhaize NV | 770,021 | |
16,414 | Shell Plc | 408,293 | |
75,047 | Shell Plc (Amsterdam Exchange) | 1,871,360 | |
21,598 | Wolters Kluwer NV | 2,101,946 | |
15,370,805 | |||
New Zealand — 0.3% | |||
18,258 | Arvida Group, Ltd. | 14,888 | |
4,996 | Fletcher Building, Ltd. | 13,692 | |
123,665 | Freightways, Ltd. | 685,982 | |
6,051 | Mainfreight, Ltd. | 230,134 | |
12,042 | Port of Tauranga, Ltd. | 43,948 | |
791,811 | Spark New Zealand, Ltd. | 2,241,902 | |
3,702 | Warehouse Group, Ltd. (The) | 6,480 | |
3,237,026 | |||
Norway — 0.4% | |||
3,424 | DNB Bank ASA | 54,165 | |
63,340 | Equinor ASA | 2,087,503 | |
14,309 | Kongsberg Gruppen ASA | 433,699 | |
39,139 | Orkla ASA | 283,957 | |
32,239 | SpareBank 1 SMN | 328,927 | |
12,453 | Sparebanken Vest | 93,501 | |
112,637 | Telenor ASA | 1,027,167 | |
16,762 | Veidekke ASA | 124,858 | |
4,433,777 | |||
Portugal — 0.1% | |||
7,715 | Corticeira Amorim SGPS SA | 68,734 | |
71,652 | Jeronimo Martins SGPS SA | 1,334,420 | |
1,403,154 | |||
Puerto Rico — 0.2% | |||
27,300 | Popular, Inc. | 1,967,238 | |
Singapore — 0.6% | |||
4,600 | Best World International, Ltd.* (a) (b) (c) | — | |
1,900 | DBS Group Holdings, Ltd. | 43,969 | |
13,600 | Frasers Property, Ltd. | 9,293 | |
12,000 | Great Eastern Holdings, Ltd. | 156,973 | |
44,804 | Hong Leong Finance, Ltd.(a) | 73,854 | |
22,000 | Hour Glass, Ltd. (The) | 32,094 |
See accompanying Notes to the Financial Statements. | 159 |
Shares | Description | Value ($) | |
Singapore — continued | |||
39,200 | Jardine Cycle & Carriage, Ltd. | 917,903 | |
2,804,449 | NetLink NBN Trust | 1,767,837 | |
48,700 | Oversea-Chinese Banking Corp., Ltd. | 399,299 | |
11,900 | SBS Transit, Ltd. | 22,428 | |
1,888,801 | Sheng Siong Group, Ltd. | 2,077,414 | |
19,400 | Singapore Exchange, Ltd. | 127,309 | |
33,000 | Singapore Land Group, Ltd. | 53,859 | |
556,300 | Singapore Technologies Engineering, Ltd. | 1,380,295 | |
723 | STMicroelectronics NV | 22,299 | |
7,084,826 | |||
South Africa — 0.0% | |||
12,779 | Anglo American Plc | 385,946 | |
South Korea — 0.3% | |||
3,448 | Samsung Electronics Co., Ltd., GDR(d) | 3,125,740 | |
Spain — 0.6% | |||
53,846 | Aena SME SA* | 5,569,323 | |
60,089 | Cia de Distribucion Integral Logista Holdings SA | 1,092,991 | |
6,662,314 | |||
Sweden — 0.3% | |||
35,072 | Axfood AB | 802,067 | |
67,353 | Swedish Orphan Biovitrum AB* | 1,303,836 | |
132,061 | Telefonaktiebolaget LM Ericsson Class B (a) | 769,098 | |
2,875,001 | |||
Switzerland — 1.1% | |||
4,888 | AEVIS VICTORIA SA | 93,764 | |
1,348 | Banque Cantonale de Geneve | 230,650 | |
13,729 | Banque Cantonale Vaudoise | 1,302,647 | |
529 | Barry Callebaut AG | 997,141 | |
168 | Basellandschaftliche Kantonalbank | 156,969 | |
1,567 | Berner Kantonalbank AG(a) | 342,095 | |
12,362 | BKW AG | 1,476,329 | |
147 | Chocoladefabriken Lindt & Spruengli AG | 1,423,923 | |
1,163 | Emmi AG | 907,327 | |
15 | Graubuendner Kantonalbank | 25,844 | |
402 | Huber + Suhner AG | 31,698 | |
307 | Luzerner Kantonalbank AG | 126,512 | |
33,537 | Novartis AG | 2,562,998 | |
5,540 | Sonova Holding AG | 1,221,332 | |
934 | St. Galler Kantonalbank AG | 428,592 | |
4,973 | Swiss Prime Site AG | 396,584 | |
52 | Swisscom AG | 24,348 | |
603 | Thurgauer Kantonalbank | 72,251 | |
796 | TX Group AG | 97,181 | |
4,965 | Valiant Holding AG | 471,754 | |
44 | Walliser Kantonalbank | 4,963 |
160 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
Switzerland — continued | |||
10 | Warteck Invest AG | 21,927 | |
45 | Zug Estates Holding AG Class B | 77,580 | |
12,494,409 | |||
United Kingdom — 3.1% | |||
561,417 | Alliance Pharma Plc | 349,612 | |
1,193,775 | BAE Systems Plc | 10,485,951 | |
23,292 | BP Plc, ADR | 664,987 | |
17,163 | Bunzl Plc | 522,189 | |
5,442 | Croda International Plc | 388,658 | |
24,859 | Diageo Plc | 1,041,750 | |
88,135 | Howden Joinery Group Plc | 490,271 | |
13,428 | Impact Healthcare Reit Plc REIT Class B | 15,395 | |
103,917 | Imperial Brands Plc | 2,143,927 | |
27,142 | Inchcape Plc | 204,207 | |
175,040 | Pan African Resources Plc | 34,230 | |
9,491 | PZ Cussons Plc | 20,554 | |
12,176 | Reckitt Benckiser Group Plc | 804,548 | |
84,456 | RELX Plc | 2,061,330 | |
214,288 | Sage Group Plc (The) | 1,648,306 | |
116,570 | Spirent Communications Plc | 341,521 | |
300,220 | St. James's Place Plc | 3,423,856 | |
205,408 | Tesco Plc | 470,221 | |
211,651 | Unilever Plc | 9,330,765 | |
3,263 | Victrex Plc | 60,303 | |
34,502,581 | |||
United States — 69.1% | |||
21,200 | 3M Co. | 2,342,600 | |
48,000 | Abbott Laboratories | 4,644,480 | |
28,300 | AbbVie, Inc. | 3,798,143 | |
19,437 | Accenture Plc Class A | 5,001,140 | |
12,575 | Adobe, Inc.* | 3,460,640 | |
76,600 | Albertsons Cos., Inc. Class A | 1,904,276 | |
182,220 | Alphabet, Inc. Class A * | 17,429,343 | |
84,800 | Altria Group, Inc. | 3,424,224 | |
84,894 | Amazon.com, Inc.* | 9,593,022 | |
50,671 | Amdocs, Ltd. | 4,025,811 | |
2,550 | Amerco | 1,298,511 | |
6,178 | Ameren Corp. | 497,638 | |
32,113 | American Electric Power Co., Inc. | 2,776,169 | |
6,500 | American Water Works Co., Inc. | 846,040 | |
21,500 | AmerisourceBergen Corp. Class A | 2,909,595 | |
16,300 | Amgen, Inc. | 3,674,020 | |
6,546 | ANSYS, Inc.* | 1,451,248 | |
42,200 | Apple, Inc. | 5,832,040 | |
18,300 | Arch Capital Group, Ltd.* | 833,382 | |
43,900 | Archer-Daniels-Midland Co. | 3,531,755 | |
14,300 | Arrow Electronics, Inc.* | 1,318,317 |
See accompanying Notes to the Financial Statements. | 161 |
Shares | Description | Value ($) | |
United States — continued | |||
15,984 | Arthur J. Gallagher & Co. | 2,736,780 | |
2,400 | Aspen Technology, Inc.* | 571,680 | |
38,342 | Autodesk, Inc.* | 7,162,286 | |
46,658 | Automatic Data Processing, Inc. | 10,553,573 | |
1,500 | AutoNation, Inc.* | 152,805 | |
1,100 | AutoZone, Inc.* | 2,356,123 | |
14,200 | AvalonBay Communities, Inc. REIT | 2,615,498 | |
6,500 | Avery Dennison Corp. | 1,057,550 | |
29,800 | Axis Capital Holdings, Ltd. | 1,464,670 | |
102,477 | Baxter International, Inc. | 5,519,411 | |
64,049 | Becton Dickinson and Co. | 14,272,039 | |
19,672 | Berkshire Hathaway, Inc. Class B * | 5,252,817 | |
2,900 | Biogen, Inc.* | 774,300 | |
9,800 | BioMarin Pharmaceutical, Inc.* | 830,746 | |
13,400 | Bio-Rad Laboratories, Inc. Class A * | 5,589,676 | |
8,300 | BJ's Wholesale Club Holdings, Inc.* | 604,323 | |
12,300 | BOK Financial Corp. | 1,092,978 | |
6,162 | Booking Holdings, Inc.* | 10,125,460 | |
79,655 | Bristol-Myers Squibb Co. | 5,662,674 | |
11,800 | Broadcom, Inc. | 5,239,318 | |
6,600 | CACI International, Inc. Class A * | 1,722,996 | |
26,535 | Cadence Design Systems, Inc.* | 4,336,615 | |
21,200 | Camden Property Trust REIT | 2,532,340 | |
4,000 | Campbell Soup Co. | 188,480 | |
13,700 | Casey's General Stores, Inc. | 2,774,524 | |
90,400 | Catalent, Inc.* | 6,541,344 | |
12,900 | Cboe Global Markets, Inc. | 1,514,073 | |
6,500 | CDW Corp. | 1,014,520 | |
18,700 | Celanese Corp. Class A | 1,689,358 | |
28,700 | CH Robinson Worldwide, Inc. | 2,764,097 | |
70,802 | Charles Schwab Corp. (The) | 5,088,540 | |
31,000 | Charter Communications, Inc. Class A * | 9,403,850 | |
5,700 | Chemed Corp. | 2,488,392 | |
3,100 | Chevron Corp. | 445,377 | |
20,200 | Chubb, Ltd. | 3,673,976 | |
11,000 | Cirrus Logic, Inc.* | 756,800 | |
115,800 | Cisco Systems, Inc. | 4,632,000 | |
18,800 | Clean Harbors, Inc.* | 2,067,624 | |
51,883 | CMS Energy Corp. | 3,021,666 | |
89,800 | Coca-Cola Co. (The) | 5,030,596 | |
42,300 | Colgate-Palmolive Co. | 2,971,575 | |
29,149 | Consolidated Edison, Inc. | 2,499,818 | |
22,405 | Cooper Cos., Inc. (The) | 5,912,680 | |
9,500 | Copart, Inc.* | 1,010,800 | |
13,000 | Costco Wholesale Corp. | 6,139,510 | |
113,000 | CVS Health Corp. | 10,776,810 | |
1,022 | Danaher Corp. | 263,972 | |
28,100 | Dell Technologies, Inc. Class C | 960,177 | |
32,240 | Diversified Energy Co. Plc | 46,521 |
162 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
United States — continued | |||
29,277 | DTE Energy Co. | 3,368,319 | |
33,400 | Duke Energy Corp. | 3,106,868 | |
1,700 | Ecolab, Inc. | 245,514 | |
87,772 | Electronic Arts, Inc. | 10,156,098 | |
9,600 | Elevance Health, Inc. | 4,360,704 | |
22,467 | Eli Lilly & Co. | 7,264,704 | |
6,860 | Embecta Corp. | 197,499 | |
8,800 | Essex Property Trust, Inc. REIT | 2,131,624 | |
33,582 | Estee Lauder Cos., Inc. (The) Class A | 7,250,354 | |
11,514 | Everest Re Group, Ltd. | 3,021,734 | |
51,800 | Evergy, Inc. | 3,076,920 | |
57,700 | Exelon Corp. | 2,161,442 | |
35,900 | Expeditors International of Washington, Inc. | 3,170,329 | |
17,100 | Extra Space Storage, Inc. REIT | 2,953,341 | |
41,300 | Exxon Mobil Corp. | 3,605,903 | |
16,113 | Factset Research Systems, Inc. | 6,446,972 | |
500 | Fair Isaac Corp.* | 206,005 | |
10,500 | FedEx Corp. | 1,558,935 | |
107,900 | Fiserv, Inc.* | 10,096,203 | |
18,500 | Flowers Foods, Inc. | 456,765 | |
132,913 | Fox Corp. Class A | 4,077,771 | |
4,400 | FTI Consulting, Inc.* | 729,124 | |
15,000 | General Dynamics Corp. | 3,182,550 | |
7,900 | General Mills, Inc. | 605,219 | |
64,029 | Genpact, Ltd. | 2,802,549 | |
46,900 | Gilead Sciences, Inc. | 2,893,261 | |
82,141 | GSK Plc | 1,197,839 | |
772 | GSK Plc, ADR(a) | 22,720 | |
13,046 | Hanover Insurance Group, Inc. (The) | 1,671,714 | |
46,000 | Hartford Financial Services Group, Inc. (The) | 2,849,240 | |
51,400 | Hawaiian Electric Industries, Inc. | 1,781,524 | |
31,100 | Henry Schein, Inc.* | 2,045,447 | |
20,226 | Hershey Co. (The) | 4,459,226 | |
10,200 | Highwoods Properties, Inc. REIT | 274,992 | |
9,164 | Home Depot, Inc. (The) | 2,528,714 | |
1,400 | Humana, Inc. | 679,266 | |
10,200 | Huntington Ingalls Industries, Inc. | 2,259,300 | |
30,281 | ICON Plc, ADR* | 5,565,042 | |
23,200 | IDACORP, Inc. | 2,297,032 | |
21,131 | Illumina, Inc.* | 4,031,584 | |
27,200 | Ingredion, Inc. | 2,190,144 | |
49,848 | Intercontinental Exchange, Inc. | 4,503,767 | |
20,100 | International Business Machines Corp. | 2,388,081 | |
35,186 | Intuit, Inc. | 13,628,242 | |
9,200 | IQVIA Holdings, Inc.* | 1,666,488 | |
500 | Jack Henry & Associates, Inc. | 91,135 | |
12,800 | Jazz Pharmaceuticals Plc* | 1,706,112 | |
23,400 | JB Hunt Transport Services, Inc. | 3,660,228 | |
100,982 | Johnson & Johnson | 16,496,420 |
See accompanying Notes to the Financial Statements. | 163 |
Shares | Description | Value ($) | |
United States — continued | |||
31,500 | JPMorgan Chase & Co. | 3,291,750 | |
15,500 | Keysight Technologies, Inc.* | 2,439,080 | |
15,600 | Kraft Heinz Co. (The) | 520,260 | |
90,500 | Kroger Co. (The) | 3,959,375 | |
12,700 | Laboratory Corp. of America Holdings | 2,601,087 | |
300 | Lam Research Corp. | 109,800 | |
17,800 | Landstar System, Inc. | 2,569,786 | |
16,500 | Life Storage, Inc. REIT | 1,827,540 | |
300 | Littelfuse, Inc. | 59,607 | |
9,100 | Lockheed Martin Corp. | 3,515,239 | |
2,100 | Loews Corp. | 104,664 | |
3,200 | Lowe's Cos., Inc. | 600,992 | |
12,700 | LyondellBasell Industries NV Class A | 956,056 | |
9,900 | Manhattan Associates, Inc.* | 1,316,997 | |
2,520 | Markel Corp.* | 2,732,234 | |
35,721 | Mastercard, Inc. Class A | 10,156,909 | |
13,900 | McKesson Corp. | 4,724,193 | |
18,306 | Medtronic Plc | 1,478,210 | |
69,134 | Merck & Co., Inc. | 5,953,820 | |
51,300 | Meta Platforms, Inc. Class A * | 6,960,384 | |
118,026 | Microsoft Corp. | 27,488,255 | |
17,625 | Mid-America Apartment Communities, Inc. REIT | 2,733,109 | |
6,300 | Molina Healthcare, Inc.* | 2,077,992 | |
62,862 | Moody's Corp. | 15,282,381 | |
118,618 | Nestle SA | 12,875,883 | |
3,300 | NewMarket Corp. | 992,739 | |
70,051 | Newmont Corp. | 2,944,244 | |
12,880 | NextEra Energy, Inc. | 1,009,921 | |
2,400 | Northrop Grumman Corp. | 1,128,768 | |
12,000 | Old Dominion Freight Line, Inc. | 2,985,240 | |
56,300 | Old Republic International Corp. | 1,178,359 | |
53,414 | Oracle Corp. | 3,261,993 | |
2,800 | O'Reilly Automotive, Inc.* | 1,969,380 | |
16,200 | Organon & Co. | 379,080 | |
300 | PACCAR, Inc. | 25,107 | |
18,300 | Packaging Corp. of America | 2,054,907 | |
1,200 | Paychex, Inc. | 134,652 | |
35,948 | PepsiCo, Inc. | 5,868,870 | |
128,434 | Pfizer, Inc. | 5,620,272 | |
153,845 | Philip Morris International, Inc. | 12,770,673 | |
48,880 | Procter & Gamble Co. (The) | 6,171,100 | |
12,600 | Public Storage REIT | 3,689,406 | |
53,168 | QIAGEN NV* | 2,194,775 | |
20,595 | QIAGEN NV (London Exchange)* | 866,319 | |
2,900 | QUALCOMM, Inc. | 327,642 | |
28,650 | Raymond James Financial, Inc. | 2,831,193 | |
4,250 | Regeneron Pharmaceuticals, Inc.* | 2,927,698 | |
30,504 | Republic Services, Inc. Class A | 4,149,764 | |
34,953 | Roche Holding AG | 11,425,110 |
164 | See accompanying Notes to the Financial Statements. |
Shares | Description | Value ($) | |
United States — continued | |||
8,700 | Roper Technologies, Inc. | 3,128,868 | |
27,000 | Royal Gold, Inc. | 2,533,140 | |
20,447 | S&P Global, Inc. | 6,243,491 | |
59,800 | Schneider National, Inc. Class B | 1,213,940 | |
17,600 | Science Applications International Corp. | 1,556,368 | |
100 | Seaboard Corp. | 340,266 | |
4,300 | Seagen, Inc.* | 588,369 | |
12,500 | Sempra Energy | 1,874,250 | |
27,000 | Service Corp. International | 1,558,980 | |
1,350 | ServiceNow, Inc.* | 509,774 | |
23,800 | Southern Co. (The) | 1,618,400 | |
13,500 | SS&C Technologies Holdings, Inc. | 644,625 | |
13,772 | Synopsys, Inc.* | 4,207,484 | |
6,100 | Target Corp. | 905,179 | |
14,000 | Tetra Tech, Inc. | 1,799,420 | |
31,300 | Texas Instruments, Inc. | 4,844,614 | |
26,300 | Textron, Inc. | 1,532,238 | |
25,700 | TFS Financial Corp. | 334,100 | |
18,327 | Thermo Fisher Scientific, Inc. | 9,295,271 | |
31,100 | T-Mobile US, Inc.* | 4,172,687 | |
20,500 | Travelers Cos., Inc. (The) | 3,140,600 | |
2,200 | Tyler Technologies, Inc.* | 764,500 | |
37,200 | Tyson Foods, Inc. Class A | 2,452,596 | |
3,400 | Ulta Beauty, Inc.* | 1,364,046 | |
24,200 | United Parcel Service, Inc. Class B | 3,909,268 | |
7,300 | United Therapeutics Corp.* | 1,528,474 | |
28,502 | UnitedHealth Group, Inc. | 14,394,650 | |
52,995 | VeriSign, Inc.* | 9,205,232 | |
133,712 | Verizon Communications, Inc. | 5,077,045 | |
9,500 | Vertex Pharmaceuticals, Inc.* | 2,750,630 | |
118,727 | Visa, Inc. Class A | 21,091,852 | |
29,281 | VMware, Inc. Class A | 3,117,255 | |
40,236 | Walmart, Inc. | 5,218,609 | |
28,585 | Waste Management, Inc. | 4,579,603 | |
37,500 | WEC Energy Group, Inc. | 3,353,625 | |
1,000 | White Mountains Insurance Group, Ltd. | 1,303,020 | |
6,400 | Wintrust Financial Corp. | 521,920 | |
35,959 | Xcel Energy, Inc. | 2,301,376 | |
46,800 | Zions Bancorp NA | 2,380,248 | |
26,000 | Zoetis, Inc. | 3,855,540 | |
758,071,464 | |||
TOTAL COMMON STOCKS (COST $1,102,921,784) | 1,039,889,282 |
See accompanying Notes to the Financial Statements. | 165 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 0.5% | |||
Mutual Fund - Securities Lending Collateral — 0.5% | |||
5,399,677 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 2.94%(e) (f) | 5,399,677 | |
TOTAL SHORT-TERM INVESTMENT (COST $5,399,677) | 5,399,677 | ||
TOTAL INVESTMENTS — 95.2% (Cost $1,108,321,461) | 1,045,288,959 | ||
Other Assets and Liabilities (net) — 4.8% | 52,161,361 | ||
NET ASSETS — 100.0% | $1,097,450,320 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Security fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the security at period end is $0 which represents 0.0% of net assets. The aggregate tax cost of this security held at September 30, 2022 was $6,501. |
(c) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(d) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(e) | The rate disclosed is the 7-day net yield as of September 30, 2022. |
(f) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) | ||||
Buys | ||||||||
5 | Canadian Dollar | Dec 2022 | $ 361,975 | $ (18,162) | ||||
13 | MSCI EAFE Index | Dec 2022 | 1,079,390 | (60,845) | ||||
16 | S&P 500 E-mini Index | Dec 2022 | 2,881,200 | (157,155) | ||||
2 | S&P/TSX 60 Index | Dec 2022 | 324,879 | (22,989) | ||||
$(259,151) |
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
REIT | — | Real Estate Investment Trust |
166 | See accompanying Notes to the Financial Statements. |
Industry Sector Summary (Unaudited) | % of Net Assets |
Consumer, Non-cyclical | 35.9 |
Technology | 14.7 |
Financial | 12.2 |
Communications | 10.8 |
Industrial | 10.3 |
Utilities | 4.1 |
Consumer, Cyclical | 3.5 |
Basic Materials | 2.1 |
Energy | 1.1 |
Short-Term Investment | 0.5 |
Other Assets and Liabilities (net) | 4.8 |
100.0% |
See accompanying Notes to the Financial Statements. | 167 |
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | ||||
Assets | |||||||
Investments, at value(a)(b) | 1,057,620,053 | 1,477,030,872 | 2,912,074,106 | 1,430,267,265 | |||
Foreign currency, at value(c) | — | — | 9,263,719 | 39,691 | |||
Cash and cash equivalents | 60,186,933 | 57,826,335 | 117,734,244 | 58,835,188 | |||
Receivable for investments sold | 4,610,892 | 4,397,479 | 5,110,040 | 2,953,274 | |||
Receivable for TBA sold | — | — | — | 71,971,692 | |||
Receivable for fund shares sold | — | — | 559,823 | — | |||
Dividend and interest receivable | 1,256,129 | 1,059,518 | 10,968,611 | 9,305,349 | |||
Cash collateral held at broker on open futures contracts | 1,815,000 | 2,088,000 | 6,351,000 | — | |||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | 302,564 | |||
Receivable for variation margin on open futures contracts | — | — | — | 32,905 | |||
Foreign tax reclaims receivable | 43,796 | — | 10,126,111 | — | |||
Securities lending income receivable | 1,208 | 4,089 | 48,726 | 5,096 | |||
Prepaid expenses | 17,367 | 23,930 | 51,360 | 23,236 | |||
Receivable for advisory fee waived | 834,751 | 1,992,700 | 3,248,618 | 904,093 | |||
Total assets | 1,126,386,129 | 1,544,422,923 | 3,075,536,358 | 1,574,640,353 | |||
Liabilities | |||||||
Payable for investments purchased | 8,664,315 | 9,244,128 | 6,027,655 | 14,632,513 | |||
Payable for TBA and when-issued securities purchased | — | — | — | 103,770,962 | |||
Obligation to return securities lending collateral | 3,901,467 | 12,334,611 | 47,009,916 | 23,507,187 | |||
Payable for fund shares repurchased | 674,120 | 8,600,654 | 9,665,878 | 3,554,886 | |||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 137,013 | |||
Payable for foreign capital gains tax | — | — | 143,607 | — | |||
TBA Sale Commitments, at value(d) | — | — | — | 5,041,758 | |||
Payable to affiliates for: | |||||||
Advisory fees | 1,600,078 | 3,684,884 | 5,972,738 | 1,254,741 | |||
Trustees fees | 17,957 | 25,604 | 50,005 | 25,219 | |||
Administrative service fees - Class I | — | — | 36,252 | 25,215 | |||
Payable for variation margin on open futures contracts | 440,918 | 169,126 | 267,643 | — | |||
Interest payable on TBA securities | — | — | — | 5,000 | |||
Accrued expenses | 314,185 | 393,727 | 818,324 | 365,345 | |||
Total liabilities | 15,613,040 | 34,452,734 | 69,992,018 | 152,319,839 | |||
Net assets | $1,110,773,089 | $1,509,970,189 | $3,005,544,340 | $1,422,320,514 | |||
168 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | ||||
Net assets consist of: | |||||||
Paid-in capital | $ 1,061,914,086 | 1,450,919,211 | $ 3,573,905,575 | $ 1,653,690,173 | |||
Distributable earnings (Accumulated loss) | 48,859,003 | 59,050,978 | (568,361,235) | (231,369,659) | |||
Net assets | $ 1,110,773,089 | $1,509,970,189 | $ 3,005,544,340 | $ 1,422,320,514 | |||
Net assets attributable to: | |||||||
Class Y-3 | $ 1,110,773,089 | $1,509,970,189 | $ 2,909,509,097 | $ 1,361,563,074 | |||
Class I | $ — | $ — | $ 96,035,243 | $ 60,757,440 | |||
Shares outstanding: | |||||||
Class Y-3 | 120,111,759 | 154,710,536 | 363,864,147 | 154,147,808 | |||
Class I | — | — | 12,032,279 | 6,895,847 | |||
Net asset value per unit: | |||||||
Class Y-3 | $ 9.25 | $ 9.76 | $ 8.00 | $ 8.83 | |||
Class I | $ — | $ — | $ 7.98 | $ 8.81 | |||
(a) Investments, at cost | $ 1,093,827,680 | $1,515,510,437 | $ 3,540,296,180 | $ 1,641,252,043 | |||
(b) Securities loaned, at value | $ 5,087,900 | $ 28,356,050 | $ 85,751,284 | $ 28,694,370 | |||
(c) Foreign currency, at cost | $ — | $ — | $ 9,373,427 | $ 40,639 | |||
(d) Proceeds for TBA Sale Commitments | $ — | $ — | $ — | $ 5,375,625 |
See accompanying Notes to the Financial Statements. | 169 |
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||
Assets | |||||
Investments, at value(a)(b) | 1,024,474,372 | 1,237,723,570 | 1,045,288,959 | ||
Foreign currency, at value(c) | 9,349,127 | 3,818,567 | 176,875 | ||
Cash and cash equivalents | 39,719,906 | 46,562,728 | 39,137,008 | ||
Receivable for investments sold | 8,404,627 | 2,614,702 | 17,682,857 | ||
Receivable for fund shares sold | 32,442,398 | — | 1,094,274 | ||
Dividend and interest receivable | 13,377,276 | 1,471,441 | 1,591,336 | ||
Cash collateral held at broker on open centrally cleared swap contracts | 12,009,821 | — | — | ||
Cash collateral held at broker on open futures contracts | 1,368,039 | 5,279,000 | 518,000 | ||
Unrealized appreciation on open forward foreign currency contracts | 7,232,507 | — | — | ||
Receivable for variation margin on open futures contracts | 2,033,567 | — | — | ||
OTC — Swap contracts, at value (up-front net premiums received of $1,470,814, $— and $—, respectively) | 1,486,873 | — | — | ||
Receivable for variation margin on open centrally cleared swap contracts | 499,575 | — | — | ||
Foreign tax reclaims receivable | 184,251 | 85,256 | 1,247,615 | ||
Securities lending income receivable | 11,476 | 32,934 | 2,451 | ||
Prepaid expenses | 18,305 | 22,505 | 19,033 | ||
Receivable for advisory fee waived | 1,201,509 | 1,497,745 | 1,527,285 | ||
Total assets | 1,153,826,323 | 1,299,108,448 | 1,108,285,693 | ||
Liabilities | |||||
Payable for investments purchased | 19,138,643 | 529,207 | 15,684 | ||
Payable for TBA and when-issued securities purchased | 848,170 | — | — | ||
Obligation to return securities lending collateral | 19,636,697 | 6,273,318 | 5,399,677 | ||
Payable for fund shares repurchased | 3,251,692 | 6,747,924 | 2,721,483 | ||
Unrealized depreciation on open forward foreign currency contracts | 8,668,206 | — | — | ||
OTC — Swap contracts, at value (up-front net premiums paid of $9,940, $— and $—, respectively) | 7,830 | — | — | ||
Cash collateral due to broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 2,012,831 | — | — | ||
Payable for foreign capital gains tax | 43,727 | 1,682,180 | — | ||
Written options, at value(d) | 548,283 | — | — | ||
Payable to affiliates for: | |||||
Advisory fees | 2,157,260 | 2,885,728 | 2,270,985 | ||
Trustees fees | 14,359 | 20,885 | 18,604 | ||
Payable for variation margin on open futures contracts | — | 283,670 | 48,181 | ||
Unrealized loss on unfunded loan commitments | 5,467 | — | — | ||
Accrued expenses | 371,598 | 859,083 | 360,759 | ||
Total liabilities | 56,704,763 | 19,281,995 | 10,835,373 | ||
Net assets | $1,097,121,560 | $1,279,826,453 | $1,097,450,320 | ||
170 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||
Net assets consist of: | |||||
Paid-in capital | $ 1,304,757,960 | $ 1,776,130,773 | $ 1,069,508,784 | ||
Distributable earnings (Accumulated loss) | (207,636,400) | (496,304,320) | 27,941,536 | ||
Net assets | $ 1,097,121,560 | $ 1,279,826,453 | $ 1,097,450,320 | ||
Net assets attributable to: | |||||
Class Y-3 | $ 1,097,121,560 | $ 1,279,826,453 | $ 1,097,450,320 | ||
Shares outstanding: | |||||
Class Y-3 | 138,988,509 | 191,186,347 | 94,099,538 | ||
Net asset value per unit: | |||||
Class Y-3 | $ 7.89 | $ 6.69 | $ 11.66 | ||
(a) Investments, at cost | $ 1,178,385,640 | $ 1,612,696,402 | $ 1,108,321,461 | ||
(b) Securities loaned, at value | $ 21,297,295 | $ 20,416,779 | $ 7,187,749 | ||
(c) Foreign currency, at cost | $ 8,724,212 | $ 3,925,607 | $ 177,629 | ||
(d) Premiums on written options | $ 353,721 | $ — | $ — |
See accompanying Notes to the Financial Statements. | 171 |
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | ||||
Investment Income: | |||||||
Dividends | $ 10,114,973 | $ 13,293,480 | $ 87,565,011 | $ — | |||
Interest | 151,151 | 228,300 | 3,277,759 | 20,827,184 | |||
Withholding taxes | (34,441) | (12,810) | (7,625,299) | — | |||
Securities lending income | 8,283 | 25,395 | 268,310 | 45,391 | |||
Other income | — | — | — | 7,055 | |||
Total investment income | 10,239,966 | 13,534,365 | 83,485,781 | 20,879,630 | |||
Expenses: | |||||||
Advisory fees | 3,284,126 | 7,245,060 | 11,983,150 | 2,405,411 | |||
Custodian and fund accounting fees | 131,555 | 165,259 | 437,305 | 161,144 | |||
Audit and tax fees | 41,070 | 44,904 | 116,385 | 41,313 | |||
Transfer agent fees | 12,238 | 13,018 | 13,196 | 13,712 | |||
Legal fees | 81,600 | 102,902 | 212,699 | 89,322 | |||
Trustees fees | 59,853 | 77,259 | 158,308 | 69,446 | |||
Registration fees | 18,296 | 26,839 | 43,492 | 34,001 | |||
Administration service fees: | |||||||
Class I | — | — | 41,114 | 56,352 | |||
Shareholder service fees: | |||||||
Class I | — | — | 27,409 | 37,568 | |||
Tax expense | — | — | 1,405 | — | |||
Miscellaneous | 60,476 | 68,839 | 123,250 | 57,283 | |||
Total expenses | 3,689,214 | 7,744,080 | 13,157,713 | 2,965,552 | |||
Advisory fee waiver | (1,688,147) | (3,937,805) | (6,588,578) | (1,740,119) | |||
Net expenses | 2,001,067 | 3,806,275 | 6,569,135 | 1,225,433 | |||
Net investment income | 8,238,899 | 9,728,090 | 76,916,646 | 19,654,197 | |||
Realized and Unrealized Gain (Loss): | |||||||
Net realized gain (loss) on: | |||||||
Investments | 3,538,919 | 24,181,731 | (45,118,839) | (34,473,458) | |||
Closed futures contracts | (1,278,124) | 833,882 | (8,735,136) | (783,943) | |||
Forward foreign currency contracts | — | — | 1,264 | 1,292,130 | |||
Foreign currency related transactions | (134) | (172) | (3,455,103) | (7,740) | |||
Net realized gain (loss) | 2,260,661 | 25,015,441 | (57,307,814) | (33,973,011) | |||
Change in net unrealized appreciation (depreciation) on: | |||||||
Investments | (317,403,421) | (335,888,116) | (861,162,357) | (136,417,801) | |||
TBA sale commitments | — | — | — | 333,867 | |||
Open futures contracts | (3,951,384) | (3,424,473) | (10,394,631) | 1,769,146 | |||
Forward foreign currency contracts | — | — | — | (33,095) | |||
Foreign currency related transactions | (940) | (9) | (1,176,350) | (6,237) | |||
Change in net unrealized appreciation (depreciation) | (321,355,745) | (339,312,598) | (872,733,338) | (134,354,120) | |||
Net realized and unrealized loss | (319,095,084) | (314,297,157) | (930,041,152) | (168,327,131) | |||
Net decrease in net assets resulting from operations | $(310,856,185) | $(304,569,067) | $(853,124,506) | $(148,672,934) |
172 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||
Investment Income: | |||||
Dividends | $ 606,860 | $ 39,322,348 | $ 13,063,965 | ||
Interest | 30,578,071 | 260,773 | 181,292 | ||
Withholding taxes | (234,793) | (4,178,666) | (664,240) | ||
Securities lending income | 69,042 | 161,626 | 18,421 | ||
Total investment income | 31,019,180 | 35,566,081 | 12,599,438 | ||
Expenses: | |||||
Advisory fees | 4,267,862 | 5,822,909 | 4,612,472 | ||
Custodian and fund accounting fees | 261,302 | 377,075 | 147,842 | ||
Audit and tax fees | 43,046 | 68,242 | 52,345 | ||
Transfer agent fees | 12,059 | 12,335 | 12,370 | ||
Legal fees | 62,842 | 93,876 | 78,406 | ||
Trustees fees | 47,891 | 68,450 | 59,053 | ||
Registration fees | 21,033 | 22,514 | 22,456 | ||
Tax expense | 64 | — | — | ||
Miscellaneous | 49,438 | 64,370 | 53,436 | ||
Total expenses | 4,765,537 | 6,529,771 | 5,038,380 | ||
Advisory fee waiver | (2,368,760) | (2,980,316) | (3,077,112) | ||
Net expenses | 2,396,777 | 3,549,455 | 1,961,268 | ||
Net investment income | 28,622,403 | 32,016,626 | 10,638,170 | ||
Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | (48,823,087) | (80,608,595) | 7,736,274 | ||
Purchased option contracts | 526,239 | — | — | ||
Swap contracts | (1,022,855) | — | — | ||
Closed futures contracts | (8,277,600) | (13,787,917) | (3,873,809) | ||
Written option contracts | (170,573) | — | — | ||
Forward foreign currency contracts | (1,675,905) | — | — | ||
Foreign currency related transactions | (2,484,633) | (1,273,229) | (201,690) | ||
Net realized gain (loss) | (61,928,414) | (95,669,741) | 3,660,775 | ||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments | (94,409,570) | (300,172,889) | (257,044,504) | ||
Purchased option contracts | 738,427 | — | — | ||
Unfunded loan commitments | (4,371) | — | — | ||
Swap contracts | 920,923 | — | — | ||
Open futures contracts | (6,593,080) | (5,906,320) | (320,819) | ||
Written option contracts | 167,685 | — | — | ||
Forward foreign currency contracts | 316,877 | — | — | ||
Foreign currency related transactions | 50,040 | 2,623,851 | (147,387) | ||
Change in net unrealized appreciation (depreciation) | (98,813,069) | (303,455,358) | (257,512,710) | ||
Net realized and unrealized loss | (160,741,483) | (399,125,099) | (253,851,935) | ||
Net decrease in net assets resulting from operations | $(132,119,080) | $(367,108,473) | $(243,213,765) |
See accompanying Notes to the Financial Statements. | 173 |
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | ||||||
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | ||||
Increase (decrease) in Net Assets: | |||||||
Operations: | |||||||
Net investment income | $ 8,238,899 | $ 15,222,323 | $ 9,728,090 | $ 12,433,004 | |||
Net realized gain | 2,260,661 | 171,348,118 | 25,015,441 | 214,705,824 | |||
Change in net unrealized depreciation | (321,355,745) | (53,627,936) | (339,312,598) | (155,728,990) | |||
Net increase (decrease) in net assets resulting from operations | (310,856,185) | 132,942,505 | (304,569,067) | 71,409,838 | |||
Distributions to shareholders (See Note 2): | |||||||
Class Y-3 | — | (153,164,374) | — | (327,497,452) | |||
Total distributions | — | (153,164,374) | — | (327,497,452) | |||
Net share transactions (See Note 7): | |||||||
Class Y-3 | (51,148,897) | (11,793,535) | 40,239,946 | 163,218,893 | |||
Increase (decrease) in net assets resulting from net shares transactions | (51,148,897) | (11,793,535) | 40,239,946 | 163,218,893 | |||
Net decrease in net assets | (362,005,082) | (32,015,404) | (264,329,121) | (92,868,721) | |||
Net assets: | |||||||
Beginning of period | 1,472,778,171 | 1,504,793,575 | 1,774,299,310 | 1,867,168,031 | |||
End of period | $1,110,773,089 | $1,472,778,171 | $1,509,970,189 | $1,774,299,310 |
174 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | ||||||
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | ||||
Increase (decrease) in Net Assets: | |||||||
Operations: | |||||||
Net investment income | $ 76,916,646 | $ 91,846,759 | $ 19,654,197 | $ 28,435,177 | |||
Net realized gain (loss) | (57,307,814) | 233,577,964 | (33,973,011) | (12,121,316) | |||
Change in net unrealized depreciation | (872,733,338) | (353,682,676) | (134,354,120) | (79,348,788) | |||
Net decrease in net assets resulting from operations | (853,124,506) | (28,257,953) | (148,672,934) | (63,034,927) | |||
Distributions to shareholders (See Note 2): | |||||||
Class Y-3 | — | (600,419,082) | — | (32,157,234) | |||
Class I | — | (495,675)* | — | — | |||
Total distributions | — | (600,914,757) | — | (32,157,234) | |||
Net share transactions (See Note 7): | |||||||
Class Y-3 | 60,260,596 | 489,527,726 | 130,521,190 | 205,333,836 | |||
Class I | 105,587,799 | 3,655,660* | (26,185,187) | 100,564,079** | |||
Increase in net assets resulting from net shares transactions | 165,848,395 | 493,183,386 | 104,336,003 | 305,897,915 | |||
Net increase (decrease) in net assets | (687,276,111) | (135,989,324) | (44,336,931) | 210,705,754 | |||
Net assets: | |||||||
Beginning of period | 3,692,820,451 | 3,828,809,775 | 1,466,657,445 | 1,255,951,691 | |||
End of period | $3,005,544,340 | $3,692,820,451 | $1,422,320,514 | $1,466,657,445 |
* | The Class commenced operations on July 22, 2021. |
** | The Class commenced operations on December 27, 2021. |
See accompanying Notes to the Financial Statements. | 175 |
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | ||||||
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | ||||
Increase (decrease) in Net Assets: | |||||||
Operations: | |||||||
Net investment income | $ 28,622,403 | $ 41,747,719 | $ 32,016,626 | $ 27,968,023 | |||
Net realized loss | (61,928,414) | (12,355,536) | (95,669,741) | (14,955,357) | |||
Change in net unrealized depreciation | (98,813,069) | (72,338,326) | (303,455,358) | (284,268,458) | |||
Net decrease in net assets resulting from operations | (132,119,080) | (42,946,143) | (367,108,473) | (271,255,792) | |||
Distributions to shareholders (See Note 2): | |||||||
Class Y-3 | — | (35,988,286) | — | (198,529,530) | |||
Total distributions | — | (35,988,286) | — | (198,529,530) | |||
Net share transactions (See Note 7): | |||||||
Class Y-3 | 122,905,395 | 331,110,996 | 10,340,675 | 587,725,437 | |||
Increase in net assets resulting from net shares transactions | 122,905,395 | 331,110,996 | 10,340,675 | 587,725,437 | |||
Net increase (decrease) in net assets | (9,213,685) | 252,176,567 | (356,767,798) | 117,940,115 | |||
Net assets: | |||||||
Beginning of period | 1,106,335,245 | 854,158,678 | 1,636,594,251 | 1,518,654,136 | |||
End of period | $1,097,121,560 | $1,106,335,245 | $1,279,826,453 | $1,636,594,251 |
176 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund | |||
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | ||
Increase (decrease) in Net Assets: | |||
Operations: | |||
Net investment income | $ 10,638,170 | $ 15,613,062 | |
Net realized gain | 3,660,775 | 146,679,740 | |
Change in net unrealized depreciation | (257,512,710) | (41,102,348) | |
Net increase (decrease) in net assets resulting from operations | (243,213,765) | 121,190,454 | |
Distributions to shareholders (See Note 2): | |||
Class Y-3 | — | (156,786,038) | |
Total distributions | — | (156,786,038) | |
Net share transactions (See Note 7): | |||
Class Y-3 | (57,679,193) | 234,481,562 | |
Increase (decrease) in net assets resulting from net shares transactions | (57,679,193) | 234,481,562 | |
Net increase (decrease) in net assets | (300,892,958) | 198,885,978 | |
Net assets: | |||
Beginning of period | 1,398,343,278 | 1,199,457,300 | |
End of period | $1,097,450,320 | $1,398,343,278 |
See accompanying Notes to the Financial Statements. | 177 |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 11.78 | $ 11.97 | $ 7.35 | $ 8.58 | $ 10.85 | $ 10.61 | |||||
Net investment income† | 0.07 | 0.12 | 0.12 | 0.14 | 0.12 | 0.14 | |||||
Net realized and unrealized gain (loss) on investments | (2.60) | 0.98 | 4.63 | (1.00) | 0.18 | 1.68 | |||||
Total from investment operations | (2.53) | 1.10 | 4.75 | (0.86) | 0.30 | 1.82 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.10) | (0.13) | (0.05) | (0.14) | (0.16) | |||||
From net realized capital gains on investments | — | (1.19) | — | (0.32) | (2.43) | (1.42) | |||||
Total dividends and distributions | — | (1.29) | (0.13) | (0.37) | (2.57) | (1.58) | |||||
Net asset value, end of period | $ 9.25 | $ 11.78 | $ 11.97 | $ 7.35 | $ 8.58 | $ 10.85 | |||||
Total investment return | (21.48)%* (a) | 8.62% (a) | 64.71% (a) | (10.95)% (a) | 4.81% | 17.26% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 1.28%** | 0.96% | 1.22% | 1.53% | 1.21% | 1.28% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.57%** | 0.56% | 0.57% | 0.62% | 0.63% | 0.60% | |||||
Net expenses to average daily net assets | 0.31%** (b) | 0.30% (b) | 0.30% (b) | 0.33% (b) | 0.63% | 0.60% | |||||
Portfolio turnover rate | 14%* | 30% | 43% | 76% (c) | 74% | 64% | |||||
Net assets at end of period (in 000’s) | $1,110,773 | $1,472,778 | $1,504,794 | $882,215 | $389,415 | $512,558 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(c) | Portfolio turnover calculation does not include $769,614,365 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
178 | See accompanying Notes to the Financial Statements. |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 11.80 | $ 13.83 | $ 7.71 | $ 10.13 | $ 12.29 | $ 12.12 | |||||
Net investment income† | 0.06 | 0.09 | 0.07 | 0.10 | 0.05 | 0.04 | |||||
Net realized and unrealized gain (loss) on investments | (2.10) | 0.49 | 6.38 | (2.20) | (0.23) | 1.46 | |||||
Total from investment operations | (2.04) | 0.58 | 6.45 | (2.10) | (0.18) | 1.50 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.09) | (0.07) | (0.06) | (0.05) | (0.06) | |||||
From net realized capital gains on investments | — | (2.52) | (0.26) | (0.26) | (1.93) | (1.27) | |||||
Total dividends and distributions | — | (2.61) | (0.33) | (0.32) | (1.98) | (1.33) | |||||
Net asset value, end of period | $ 9.76 | $ 11.80 | $ 13.83 | $ 7.71 | $ 10.13 | $ 12.29 | |||||
Total investment return | (17.29)%* (a) | 3.45% (a) | 84.20% (a) | (21.65)% (a) | 0.19% | 12.64% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 1.17%** | 0.66% | 0.68% | 0.95% | 0.47% | 0.31% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.93%** | 0.92% | 0.93% | 0.97% | 0.98% | 0.95% | |||||
Net expenses to average daily net assets | 0.46%** (b) | 0.46% (b) | 0.46% (b) | 0.49% (b) | 0.98% | 0.95% | |||||
Portfolio turnover rate | 20%* | 36% | 59% | 73% (c) | 47% | 49% | |||||
Net assets at end of period (in 000’s) | $1,509,970 | $1,774,299 | $1,867,168 | $1,048,545 | $794,403 | $907,944 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(c) | Portfolio turnover calculation does not include $550,516,305 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
See accompanying Notes to the Financial Statements. | 179 |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 10.31 | $ 12.36 | $ 8.46 | $ 9.87 | $ 11.51 | $ 10.44 | |||||
Net investment income† | 0.21 | 0.30 | 0.19 | 0.25 | 0.22 | 0.19 | |||||
Net realized and unrealized gain (loss) on investments | (2.52) | (0.30) | 4.14 | (1.44) | (0.76) | 1.75 | |||||
Total from investment operations | (2.31) | — | 4.33 | (1.19) | (0.54) | 1.94 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.35) | (0.18) | (0.22) | (0.20) | (0.23) | |||||
From net realized capital gains on investments | — | (1.70) | (0.25) | — | (0.90) | (0.64) | |||||
Total dividends and distributions | — | (2.05) | (0.43) | (0.22) | (1.10) | (0.87) | |||||
Net asset value, end of period | $ 8.00 | $ 10.31 | $ 12.36 | $ 8.46 | $ 9.87 | $ 11.51 | |||||
Total investment return | (22.41)%* (a) | (1.07)% (a) | 51.42% (a) | (12.55)% (a) | (4.00)% | 18.80% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 4.51%** | 2.42% | 1.78% | 2.45% | 2.03% | 1.64% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.76%** | 0.76% | 0.76% | 0.79% | 0.79% | 0.79% (b) | |||||
Net expenses to average daily net assets | 0.38%** (c) | 0.39% (c) | 0.39% (c) | 0.42% (c) | 0.79% | 0.79% (b) | |||||
Portfolio turnover rate | 22%* | 57% | 81% | 74% (d) | 81% | 81% | |||||
Net assets at end of period (in 000’s) | $2,909,509 | $3,689,849 | $3,828,810 | $2,673,838 | $2,155,585 | $2,159,299 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(d) | Portfolio turnover calculation does not include $395,102,338 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
180 | See accompanying Notes to the Financial Statements. |
Period Ended September 30, 2022 (Unaudited) | Period Ended March 31, 2022 | ||
For a Class I Share Outstanding Throughout Each Period: | |||
Net asset value, beginning of period | $ 10.31 | $12.99 (a) | |
Net investment income† | 0.14 | 0.17 | |
Net realized and unrealized gain (loss) on investments | (2.47) | (0.82) | |
Total from investment operations | (2.33) | (0.65) | |
From net investment income | — | (0.33) | |
From net realized capital gains on investments | — | (1.70) | |
Total dividends and distributions | — | (2.03) | |
Net asset value, end of period | $ 7.98 | $ 10.31 | |
Total investment return | (22.60)%* (b) | (5.97)%* (b) | |
Ratios/Supplemental Data: | |||
Net investment income to average net assets | 3.08%** | 2.00%** | |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.02%** | 1.01%** | |
Net expenses to average daily net assets | 0.63%** (c) | 0.63%** (c) | |
Portfolio turnover rate | 22%* | 57% | |
Net assets at end of period (in 000’s) | $96,035 | $ 2,971 |
(a) | The Class commenced operations on July 22, 2021. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
See accompanying Notes to the Financial Statements. | 181 |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 9.80 | $ 10.46 | $ 10.48 | $ 10.00 | $ 9.90 | $ 9.96 | |||||
Net investment income† | 0.12 | 0.22 | 0.25 | 0.27 | 0.31 | 0.27 | |||||
Net realized and unrealized gain (loss) on investments | (1.09) | (0.62) | 0.20 | 0.51 | 0.11 | (0.09) | |||||
Total from investment operations | (0.97) | (0.40) | 0.45 | 0.78 | 0.42 | 0.18 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.22) | (0.25) | (0.30) | (0.32) | (0.24) | |||||
From net realized capital gains on investments | — | (0.04) | (0.22) | — | — | — | |||||
Total dividends and distributions | — | (0.26) | (0.47) | (0.30) | (0.32) | (0.24) | |||||
Net asset value, end of period | $ 8.83 | $ 9.80 | $ 10.46 | $ 10.48 | $ 10.00 | $ 9.90 | |||||
Total investment return | (9.90)%* (a) | (4.01)% (a) | 4.23% (a) | 7.81% (a) | 4.37% | 1.80% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 2.66%** | 2.09% | 2.33% | 2.64% | 3.17% | 2.71% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.39%** | 0.39% | 0.40% | 0.45% | 0.43% | 0.43% | |||||
Net expenses to average daily net assets | 0.15%** (b) | 0.16% (b) | 0.15% (b) | 0.19% (b) | 0.43% | 0.43% | |||||
Portfolio turnover rate | 98%* (c) | 131% (c) | 127% (c) | 158% (c) | 80% (c) | 113% (c) | |||||
Net assets at end of period (in 000’s) | $1,361,563 | $1,371,901 | $1,255,952 | $950,017 | $548,600 | $857,947 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(c) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have been 61%, 96%, 100%, 139%, 74% and 81% for the period ended September 30, 2022 and the years ended March 31, 2022, March 31, 2021, March 31, 2020, March 31, 2019 and March 31, 2018, respectively. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
182 | See accompanying Notes to the Financial Statements. |
Period Ended September 30, 2022 (Unaudited) | Period Ended March 31, 2022 | ||
For a Class I Share Outstanding Throughout Each Period: | |||
Net asset value, beginning of period | $ 9.79 | $10.43 (a) | |
Net investment income† | 0.11 | 0.03 | |
Net realized and unrealized gain (loss) on investments | (1.09) | (0.67) | |
Total from investment operations | (0.98) | (0.64) | |
Net asset value, end of period | $ 8.81 | $ 9.79 | |
Total investment return | (10.01)%* (b) | (6.14)%* (b) | |
Ratios/Supplemental Data: | |||
Net investment income to average net assets | 2.38%** | 0.98%** | |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.64%** | 0.66%** | |
Net expenses to average daily net assets | 0.40%** (c) | 0.42%** (c) | |
Portfolio turnover rate | 98%* (d) | 131% (d) | |
Net assets at end of period (in 000’s) | $60,757 | $ 94,756 |
(a) | The Class commenced operations on December 27, 2021. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(d) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have been 61% and 96% for the periods ended September 30, 2022 and March 31, 2022, respectively. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
See accompanying Notes to the Financial Statements. | 183 |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 8.93 | $ 9.58 | $ 8.45 | $ 9.08 | $ 9.80 | $ 9.31 | |||||
Net investment income† | 0.22 | 0.42 | 0.46 | 0.44 | 0.43 | 0.53 | |||||
Net realized and unrealized gain (loss) on investments | (1.26) | (0.74) | 1.00 | (0.85) | (0.94) | 0.33 | |||||
Total from investment operations | (1.04) | (0.32) | 1.46 | (0.41) | (0.51) | 0.86 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.30) | (0.33) | (0.22) | (0.21) | (0.37) | |||||
From net realized capital gains on investments | — | (0.03) | — | — | — | — | |||||
Total dividends and distributions | — | (0.33) | (0.33) | (0.22) | (0.21) | (0.37) | |||||
Net asset value, end of period | $ 7.89 | $ 8.93 | $ 9.58 | $ 8.45 | $ 9.08 | $ 9.80 | |||||
Total investment return | (11.65)%* (a) | (3.44)% (a) | 17.12% | (4.72)% (a) | (5.15)% | 9.42% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 5.30%** | 4.35% | 4.83% | 4.74% | 4.74% | 5.49% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.88%** | 0.90% | 0.87% | 0.92% | 0.92% (b) | 0.92% (b) | |||||
Net expenses to average daily net assets | 0.44%** (c) | 0.45% (c) | 0.45% | 0.43% (c) | 0.92% (b) | 0.92% (b) | |||||
Portfolio turnover rate | 41%* | 77% | 117% (d) | 148% (e) | 243% (e) | 72% | |||||
Net assets at end of period (in 000’s) | $1,097,122 | $1,106,335 | $854,159 | $966,298 | $812,580 | $647,222 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(d) | Portfolio turnover calculation does not include $400,305,493 of securities transferred out of the Fund as part of in-kind redemptions. |
(e) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have remained the same for the year ended March 31, 2020 and 218% for the year ended March 31, 2019, respectively. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
184 | See accompanying Notes to the Financial Statements. |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 8.57 | $ 11.47 | $ 7.19 | $ 9.05 | $ 11.75 | $ 9.77 | |||||
Net investment income† | 0.16 | 0.19 | 0.14 | 0.19 | 0.17 | 0.18 | |||||
Net realized and unrealized gain (loss) on investments | (2.04) | (1.82) | 4.29 | (1.93) | (1.48) | 2.05 | |||||
Total from investment operations | (1.88) | (1.63) | 4.43 | (1.74) | (1.31) | 2.23 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.32) | (0.15) | (0.12) | (0.01) | (0.25) | |||||
From net realized capital gains on investments | — | (0.95) | — | — | (1.38) | — | |||||
Total dividends and distributions | — | (1.27) | (0.15) | (0.12) | (1.39) | (0.25) | |||||
Net asset value, end of period | $ 6.69 | $ 8.57 | $ 11.47 | $ 7.19 | $ 9.05 | $ 11.75 | |||||
Total investment return | (21.94)%* (a) | (15.35)% (a) | 61.78% (a) | (19.55)% (a) | (10.20)% | 22.92% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 4.25%** | 1.75% | 1.47% | 2.05% | 1.66% | 1.62% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.87%** | 0.87% | 0.87% | 0.91% | 0.92% (b) | 0.95% (b) | |||||
Net expenses to average daily net assets | 0.47%** (c) | 0.47% (c) | 0.48% (c) | 0.53% (c) | 0.92% (b) | 0.95% (b) | |||||
Portfolio turnover rate | 40%* | 51% | 106% | 81% (d) | 57% | 93% | |||||
Net assets at end of period (in 000’s) | $1,279,826 | $1,636,594 | $1,518,654 | $943,024 | $1,018,647 | $1,116,127 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(d) | Portfolio turnover calculation does not include $10,686,440 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
See accompanying Notes to the Financial Statements. | 185 |
Period Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | ||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||
Net asset value, beginning of period | $ 14.18 | $ 14.55 | $ 11.23 | $ 13.13 | $ 12.28 | $ 12.62 | |||||
Net investment income† | 0.11 | 0.18 | 0.19 | 0.24 | 0.18 | 0.18 | |||||
Net realized and unrealized gain (loss) on investments | (2.63) | 1.32 | 3.75 | (1.14) | 0.67 | 1.39 | |||||
Total from investment operations | (2.52) | 1.50 | 3.94 | (0.90) | 0.85 | 1.57 | |||||
Less dividends and distributions: | |||||||||||
From net investment income | — | (0.21) | (0.21) | (0.17) | — | (0.18) | |||||
From net realized capital gains on investments | — | (1.66) | (0.41) | (0.83) | — | (1.73) | |||||
Total dividends and distributions | — | (1.87) | (0.62) | (1.00) | — | (1.91) | |||||
Net asset value, end of period | $ 11.66 | $ 14.18 | $ 14.55 | $ 11.23 | $ 13.13 | $ 12.28 | |||||
Total investment return | (17.77)%* (a) | 9.95% (a) | 35.29% (a) | (8.16)% (a) | 6.92% | 12.47% | |||||
Ratios/Supplemental Data: | |||||||||||
Net investment income to average net assets | 1.69%** | 1.18% | 1.42% | 1.75% | 1.40% | 1.35% | |||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.80%** | 0.80% | 0.80% | 0.82% | 0.83% | 0.80% (b) | |||||
Net expenses to average daily net assets | 0.31%** (c) | 0.31% (c) | 0.30% (c) | 0.31% (c) | 0.83% | 0.80% (b) | |||||
Portfolio turnover rate | 15%* | 59% | 54% | 38% | 80% | 36% | |||||
Net assets at end of period (in 000’s) | $1,097,450 | $1,398,343 | $1,199,457 | $1,038,720 | $955,878 | $920,610 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
186 | See accompanying Notes to the Financial Statements. |
1. | Organization |
Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). Mercer Investments LLC (the “Adviser”), a Delaware limited liability company, serves as the investment adviser to the Funds. The Adviser manages each Fund using a “manager of managers” approach by selecting one or more sub-advisers (each a “Sub-adviser,” and collectively referred to as the “Sub-advisers”) to manage each Fund's assets. The Funds are open-end investment companies and accordingly follow the open-end investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies. | |
Under the 1940 Act, each Fund is classified as diversified. | |
The investment objectives of the Funds are: |
Fund | Investment Objective | |
Large Cap | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap | Long-term total return, comprised primarily of capital appreciation | |
Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
Core Fixed | Total return, consisting of both current income and capital appreciation | |
Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
Emerging Markets | Long-term total return, which includes capital appreciation and income | |
Global Low Volatility | Long-term total return, which includes capital appreciation and income |
2. | Significant Accounting Policies |
The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates. |
(a) Security Valuation | |
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities and exchange-traded funds listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Adviser or the applicable Sub-adviser as the primary market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ official closing price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the NYSE. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share. | |
Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market value. | |
Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker/dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates. | |
Bank loans are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data. | |
The Board has delegated its responsibility for valuing portfolio securities to the Adviser, subject to continuing Board oversight. The Adviser has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for |
which market quotations are not readily available or (in the opinion of the Adviser or the applicable Sub-adviser) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board. In that regard, at September 30, 2022, substantially all foreign equity securities held by Non-US Core Equity, Emerging Markets and Global Low Volatility were fair valued using valuations provided by an independent valuation service consistent with the valuation procedures approved by the Board. | |
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that the Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. The Fund’s value for a particular security may be different from the last quoted market price. | |
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. |
• | Level 1 — quoted prices unadjusted in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Australia | $ 13,116,008 | $ 140,713,965 | $ 0* | $ 153,829,973 | ||||
Austria | — | 7,511,324 | — | 7,511,324 | ||||
Belgium | 3,578,930 | 15,455,271 | — | 19,034,201 | ||||
Brazil | 24,321,352 | 7,585,976 | — | 31,907,328 | ||||
Canada | 66,149,887 | — | — | 66,149,887 | ||||
Chile | 30,821 | — | — | 30,821 | ||||
China | 106,041 | 15,286,848 | — | 15,392,889 | ||||
Denmark | — | 60,932,215 | — | 60,932,215 | ||||
Finland | — | 20,279,634 | — | 20,279,634 | ||||
France | 7,710,932 | 325,799,893 | — | 333,510,825 | ||||
Georgia | — | 995,065 | — | 995,065 | ||||
Germany | 8,255,244 | 236,459,098 | — | 244,714,342 | ||||
Hong Kong | — | 6,592,613 | — | 6,592,613 | ||||
Hungary | — | 3,781,540 | — | 3,781,540 | ||||
India | — | 13,306,589 | — | 13,306,589 | ||||
Indonesia | — | 4,686,281 | — | 4,686,281 | ||||
Ireland | 4,898,060 | 7,781,557 | — | 12,679,617 | ||||
Israel | 2,365,184 | 9,610,254 | — | 11,975,438 | ||||
Italy | 153,941 | 53,969,181 | — | 54,123,122 | ||||
Japan | 6,642,104 | 580,859,163 | — | 587,501,267 | ||||
Malaysia | — | 1,997,939 | — | 1,997,939 | ||||
Netherlands | 18,414,489 | 147,689,869 | — | 166,104,358 | ||||
Norway | 966,514 | 20,986,741 | — | 21,953,255 | ||||
Philippines | — | 138,792 | — | 138,792 | ||||
Portugal | — | 5,074,788 | — | 5,074,788 | ||||
Russia | — | — | 317,266 | 317,266 | ||||
Singapore | — | 6,571,265 | — | 6,571,265 | ||||
South Africa | 61,545 | 15,948,489 | — | 16,010,034 | ||||
South Korea | — | 36,643,045 | — | 36,643,045 | ||||
Spain | 452,946 | 58,200,509 | 0* | 58,653,455 | ||||
Sweden | — | 73,760,305 | — | 73,760,305 | ||||
Switzerland | — | 175,876,069 | — | 175,876,069 | ||||
Taiwan | 13,431,795 | 17,877,716 | — | 31,309,511 | ||||
Thailand | — | 954,893 | — | 954,893 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Turkey | $ — | $ 13,667,544 | $ — | $ 13,667,544 | ||||
United Kingdom | 41,010,061 | 247,128,319 | — | 288,138,380 | ||||
United States | 92,253,772 | 151,775,414 | — | 244,029,186 | ||||
Total Common Stocks | 303,919,626 | 2,485,898,164 | 317,266 | 2,790,135,056 | ||||
Investment Companies | 28,677,081 | — | — | 28,677,081 | ||||
Preferred Stocks | ||||||||
Brazil | 6,404,230 | — | — | 6,404,230 | ||||
Germany | — | 37,178,635 | — | 37,178,635 | ||||
South Korea | — | 1,848,773 | — | 1,848,773 | ||||
Total Preferred Stocks | 6,404,230 | 39,027,408 | — | 45,431,638 | ||||
Rights | 714,506 | — | — | 714,506 | ||||
Warrant | 105,909 | — | — | 105,909 | ||||
Short-Term Investment | ||||||||
Mutual Fund - Securities Lending Collateral | 47,009,916 | — | — | 47,009,916 | ||||
Total | $386,831,268 | $2,524,925,572 | $ 317,266 | $2,912,074,106 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Futures Contracts† | ||||||||
Buy | $(6,376,413) | $ — | $ — | $(6,376,413) | ||||
Total | $(6,376,413) | $ — | $ — | $(6,376,413) |
* | Represents one or more Level 3 securities at $0 value as of September 30, 2022. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Debt Obligations | $ — | $1,406,760,078 | $ — | $1,406,760,078 | ||||
Asset Backed Securities | — | 158,390,020 | — | 158,390,020 | ||||
Corporate Debt | — | 478,191,853 | 0* | 478,191,853 | ||||
Mortgage Backed Securities - Private Issuers | — | 131,475,098 | — | 131,475,098 | ||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 350,995,056 | — | 350,995,056 | ||||
Municipal Obligations | — | 15,733,729 | — | 15,733,729 | ||||
Sovereign Debt Obligations | — | 3,803,362 | — | 3,803,362 | ||||
U.S. Government and Agency Obligations | — | 268,170,960 | — | 268,170,960 | ||||
Total Debt Obligations | — | 1,406,760,078 | 0 | 1,406,760,078 | ||||
Short-Term Investment | ||||||||
Mutual Fund - Securities Lending Collateral | 23,507,187 | — | — | 23,507,187 | ||||
Futures Contracts† | ||||||||
Sales | 4,809,302 | — | — | 4,809,302 | ||||
Forward Foreign Currency Contracts† | — | 302,564 | — | 302,564 | ||||
Total | $28,316,489 | $1,407,062,642 | $ — | $1,435,379,131 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
TBA Sale Commitments | $ — | $(5,041,758) | $ — | $(5,041,758) | ||||
Futures Contracts† | ||||||||
Buys | (3,415,191) | — | — | (3,415,191) | ||||
Forward Foreign Currency Contract† | — | (137,013) | — | (137,013) | ||||
Total | $(3,415,191) | $(5,178,771) | $ — | $(8,593,962) |
* | Represents one or more Level 3 securities at $0 value as of September 30, 2022. |
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Debt Obligations | $ — | $ 990,842,026 | $ — | $ 990,842,026 | ||||
Common Stocks | ||||||||
Energy | 66 | — | — | 66 | ||||
Industrial | — | — | 0* | 0 | ||||
Total Common Stocks | 66 | — | 0 | 66 | ||||
Convertible Preferred Stocks | ||||||||
Consumer, Non-cyclical | 214,509 | — | — | 214,509 | ||||
Energy | — | 3,734,105 | — | 3,734,105 | ||||
Utilities | 743,144 | — | — | 743,144 | ||||
Total Convertible Preferred Stocks | 957,653 | 3,734,105 | — | 4,691,758 | ||||
Preferred Stocks | 342,002 | — | — | 342,002 | ||||
Short-Term Investments | ||||||||
Mutual Fund - Securities Lending Collateral | 19,636,697 | — | — | 19,636,697 | ||||
U.S. Government and Agency Obligation | — | 7,054,773 | — | 7,054,773 | ||||
Total Short-Term Investments | 19,636,697 | 7,054,773 | — | 26,691,470 | ||||
Purchased Options | ||||||||
Purchased Currency Options | — | 347,125 | — | 347,125 | ||||
Purchased Futures Options | 1,559,925 | — | — | 1,559,925 | ||||
Total Purchased Options | 1,559,925 | 347,125 | — | 1,907,050 | ||||
Futures Contracts† | ||||||||
Sales | 1,189,294 | — | — | 1,189,294 | ||||
Swaps | ||||||||
Centrally Cleared Interest Rate Swaps† | — | 1,355,299 | — | 1,355,299 | ||||
OTC Credit Default Swaps | — | 1,486,873 | — | 1,486,873 | ||||
Centrally Cleared Credit Default Swaps† | — | 309,334 | — | 309,334 | ||||
Total Swaps | — | 3,151,506 | — | 3,151,506 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Forward Foreign Currency Contracts† | $ — | $ 7,232,507 | $ — | $ 7,232,507 | ||||
Total | $23,685,637 | $1,012,362,042 | $ 0 | $1,036,047,679 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Futures Contracts† | ||||||||
Buys | $(10,321,544) | $ — | $ — | $(10,321,544) | ||||
Swaps | ||||||||
Centrally Cleared Interest Rate Swaps† | — | (626,203) | — | (626,203) | ||||
OTC Credit Default Swaps | — | (7,830) | — | (7,830) | ||||
Centrally Cleared Credit Default Swaps† | — | (354,867) | — | (354,867) | ||||
Total Swaps | — | (988,900) | — | (988,900) | ||||
Forward Foreign Currency Contracts† | — | (8,668,206) | — | (8,668,206) | ||||
Written Options | ||||||||
Written Currency Options | — | (259,471) | — | (259,471) | ||||
Written Futures Options | (288,812) | — | — | (288,812) | ||||
Total Written Options | (288,812) | (259,471) | — | (548,283) | ||||
Total | $(10,610,356) | $(9,916,577) | $ — | $(20,526,933) |
* | Represents one or more Level 3 securities at $0 value as of September 30, 2022. |
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Australia | $ — | $ 3,926,135 | $ — | $ 3,926,135 | ||||
Brazil | 72,804,392 | — | — | 72,804,392 | ||||
Canada | 7,809,901 | — | — | 7,809,901 | ||||
Chile | 4,079,619 | — | — | 4,079,619 | ||||
China | 30,686,507 | 379,913,659 | — | 410,600,166 | ||||
Czech Republic | — | 462,822 | — | 462,822 | ||||
Egypt | — | 320,698 | — | 320,698 | ||||
Hong Kong | — | 13,519,142 | — | 13,519,142 | ||||
Hungary | — | 3,586,580 | — | 3,586,580 | ||||
India | 8,362,069 | 192,830,550 | — | 201,192,619 | ||||
Indonesia | — | 34,142,641 | — | 34,142,641 | ||||
Italy | — | 7,081,156 | — | 7,081,156 | ||||
Japan | — | 5,697,160 | — | 5,697,160 | ||||
Macau | — | 1,874,204 | — | 1,874,204 | ||||
Malaysia | — | 34,896 | — | 34,896 | ||||
Mexico | 54,413,307 | — | — | 54,413,307 | ||||
Netherlands | — | 12,931,563 | — | 12,931,563 | ||||
Panama | 20,402 | — | — | 20,402 | ||||
Peru | 4,546,586 | — | — | 4,546,586 | ||||
Philippines | — | 5,677,583 | — | 5,677,583 | ||||
Poland | — | 6,634,241 | — | 6,634,241 | ||||
Portugal | — | 3,845,294 | — | 3,845,294 | ||||
Qatar | — | 1,865,772 | — | 1,865,772 | ||||
Russia | 35,104 | 965,968 | 652,413 | 1,653,485 | ||||
South Africa | — | 36,539,313 | — | 36,539,313 | ||||
South Korea | 135,457 | 90,361,015 | — | 90,496,472 | ||||
Taiwan | 37,258,104 | 144,711,451 | 0* | 181,969,555 | ||||
Thailand | 6,439,502 | 5,608,617 | — | 12,048,119 | ||||
Turkey | — | 12,210,716 | — | 12,210,716 | ||||
United Arab Emirates | — | 636,184 | — | 636,184 | ||||
United Kingdom | — | 9,075,792 | — | 9,075,792 | ||||
United States | 7,653,570 | — | — | 7,653,570 | ||||
Uruguay | 1,379,313 | — | — | 1,379,313 | ||||
Total Common Stocks | 235,623,833 | 974,453,152 | 652,413 | 1,210,729,398 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Preferred Stocks | ||||||||
Brazil | $ 14,926,408 | $ — | $ — | $ 14,926,408 | ||||
Chile | 257,462 | — | — | 257,462 | ||||
Colombia | 23,006 | — | — | 23,006 | ||||
South Korea | — | 3,914,545 | — | 3,914,545 | ||||
Taiwan | — | 130,029 | — | 130,029 | ||||
Total Preferred Stocks | 15,206,876 | 4,044,574 | — | 19,251,450 | ||||
Rights | 919 | — | — | 919 | ||||
Warrants | — | 1,468,485 | — | 1,468,485 | ||||
Short-Term Investment | ||||||||
Mutual Fund - Securities Lending Collateral | 6,273,318 | — | — | 6,273,318 | ||||
Futures Contracts† | ||||||||
Sales | 16,163 | — | — | 16,163 | ||||
Total | $257,121,109 | $979,966,211 | $ 652,413 | $1,237,739,733 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Futures Contracts† | ||||||||
Buy | $(2,513,284) | $ — | $ — | $(2,513,284) | ||||
Total | $(2,513,284) | $ — | $ — | $(2,513,284) |
* | Represents one or more Level 3 securities at $0 value as of September 30, 2022. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Common Stocks | ||||||||
Australia | $ 327,992 | $ 14,627,425 | $ — | $ 14,955,417 | ||||
Austria | — | 81,807 | — | 81,807 | ||||
Belgium | — | 106,666 | — | 106,666 | ||||
Bermuda | 501,613 | — | — | 501,613 | ||||
Brazil | — | 1,230,766 | — | 1,230,766 | ||||
Burkina Faso | — | 456,772 | — | 456,772 | ||||
Canada | 39,236,338 | — | — | 39,236,338 | ||||
China | 6,148,472 | 995,575 | — | 7,144,047 | ||||
Denmark | — | 6,158,695 | — | 6,158,695 | ||||
Finland | — | 661,102 | — | 661,102 | ||||
France | — | 30,656,967 | — | 30,656,967 | ||||
Georgia | — | 140,921 | — | 140,921 | ||||
Germany | — | 14,294,998 | — | 14,294,998 | ||||
Hong Kong | 5,427 | 8,947,226 | — | 8,952,653 | ||||
Indonesia | — | 91,360 | — | 91,360 | ||||
Israel | 8,067,948 | 3,489,998 | — | 11,557,946 | ||||
Italy | — | 2,395,658 | — | 2,395,658 | ||||
Japan | — | 49,012,081 | — | 49,012,081 | ||||
Jordan | — | 639,194 | — | 639,194 | ||||
Netherlands | — | 15,370,805 | — | 15,370,805 | ||||
New Zealand | — | 3,237,026 | — | 3,237,026 | ||||
Norway | — | 4,433,777 | — | 4,433,777 | ||||
Portugal | — | 1,403,154 | — | 1,403,154 | ||||
Puerto Rico | 1,967,238 | — | — | 1,967,238 | ||||
Singapore | — | 7,084,826 | 0* | 7,084,826 | ||||
South Africa | — | 385,946 | — | 385,946 | ||||
South Korea | — | 3,125,740 | — | 3,125,740 | ||||
Spain | — | 6,662,314 | — | 6,662,314 | ||||
Sweden | — | 2,875,001 | — | 2,875,001 | ||||
Switzerland | — | 12,494,409 | — | 12,494,409 | ||||
United Kingdom | 664,987 | 33,837,594 | — | 34,502,581 | ||||
United States | 731,659,792 | 26,411,672 | — | 758,071,464 | ||||
Total Common Stocks | 788,579,807 | 251,309,475 | 0 | 1,039,889,282 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Short-Term Investment | ||||||||
Mutual Fund - Securities Lending Collateral | $ 5,399,677 | $ — | $ — | $ 5,399,677 | ||||
Total | $793,979,484 | $251,309,475 | $ 0 | $1,045,288,959 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||
Futures Contracts† | ||||||||
Buys | $(259,151) | $ — | $ — | $(259,151) | ||||
Total | $(259,151) | $ — | $ — | $(259,151) |
* | Represents one or more Level 3 securities at $0 value as of September 30, 2022. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Liability Derivatives | ||||||
Equity Risk | Total | |||||
Futures Contracts(1) | $(3,358,356) | $(3,358,356) | ||||
Net Realized Gain (Loss)(2) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $(1,278,124) | $(1,278,124) | ||||
Change in Appreciation (Depreciation)(3) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $(3,951,384) | $(3,951,384) |
Liability Derivatives | ||||||
Equity Risk | Total | |||||
Futures Contracts(1) | $(2,930,137) | $(2,930,137) | ||||
Net Realized Gain (Loss)(2) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $ 833,882 | $ 833,882 | ||||
Change in Appreciation (Depreciation)(3) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $(3,424,473) | $(3,424,473) |
Liability Derivatives | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts(1) | $ — | $ (6,376,413) | $ (6,376,413) | ||||
Net Realized Gain (Loss)(2) | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts | $ — | $ (8,735,136) | $ (8,735,136) | ||||
Forward Foreign Currency Contracts | 1,264 | — | 1,264 | ||||
Total Realized Gain (Loss) | $ 1,264 | $ (8,735,136) | $ (8,733,872) | ||||
Change in Appreciation (Depreciation)(3) | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts | $ — | $(10,394,631) | $(10,394,631) |
Asset Derivatives | |||||
Interest Rate Risk | Foreign Currency Risk | Total | |||
Futures Contracts(1) | $ 4,809,302 | $ — | $ 4,809,302 | ||
Forward Foreign Currency Contracts(4) | — | 302,564 | 302,564 | ||
Total Value | $ 4,809,302 | $ 302,564 | $ 5,111,866 |
Liability Derivatives | |||||||
Interest Rate Risk | Foreign Currency Risk | Total | |||||
Futures Contracts(1) | $(3,415,191) | $ — | $(3,415,191) | ||||
Forward Foreign Currency Contracts(5) | — | (137,013) | (137,013) | ||||
Total Value | $(3,415,191) | $ (137,013) | $(3,552,204) | ||||
Net Realized Gain (Loss)(2) | |||||||
Interest Rate Risk | Foreign Currency Risk | Total | |||||
Futures Contracts | $ (783,943) | $ — | $ (783,943) | ||||
Forward Foreign Currency Contracts | — | 1,292,130 | 1,292,130 | ||||
Total Realized Gain (Loss) | $ (783,943) | $1,292,130 | $ 508,187 | ||||
Change in Appreciation (Depreciation)(3) | |||||||
Interest Rate Risk | Foreign Currency Risk | Total | |||||
Futures Contracts | $ 1,769,146 | $ — | $ 1,769,146 | ||||
Forward Foreign Currency Contracts | — | (33,095) | (33,095) | ||||
Total Change in Appreciation (Depreciation) | $ 1,769,146 | $ (33,095) | $ 1,736,051 |
Asset Derivatives | |||||||||
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |||||
Options Purchased(6) | $ — | $ 347,125 | $ — | $1,559,925 | $ 1,907,050 | ||||
Futures Contracts(1) | 1,189,294 | — | — | — | 1,189,294 | ||||
Forward Foreign Currency Contracts(4) | — | 7,232,507 | — | — | 7,232,507 | ||||
OTC Swaps Contracts | — | — | 1,486,873 | — | 1,486,873 | ||||
Centrally Cleared Swap Contracts(7) | 1,355,299 | — | 309,334 | — | 1,664,633 | ||||
Total Value | $ 2,544,593 | $ 7,579,632 | $ 1,796,207 | $1,559,925 | $ 13,480,357 |
Liability Derivatives | |||||||||
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |||||
Options Written(8) | $ — | $ (259,471) | $ — | $ (288,812) | $ (548,283) | ||||
Futures Contracts(1) | (10,321,544) | — | — | — | (10,321,544) | ||||
Forward Foreign Currency Contracts(5) | — | (8,668,206) | — | — | (8,668,206) | ||||
OTC Swaps Contracts | — | — | (7,830) | — | (7,830) | ||||
Centrally Cleared Swap Contracts(7) | (626,203) | — | (354,867) | — | (981,070) | ||||
Total Value | $(10,947,747) | $(8,927,677) | $ (362,697) | $ (288,812) | $(20,526,933) | ||||
Net Realized Gain (Loss)(2) | |||||||||
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |||||
Options Purchased | $ 1,249,338 | $ (595,118) | $ — | $ (127,981) | $ 526,239 | ||||
Options Written | (450,368) | 307,074 | — | (27,279) | (170,573) | ||||
Swaps Contracts | 198,447 | — | (1,221,302) | — | (1,022,855) | ||||
Futures Contracts | (8,277,600) | — | — | — | (8,277,600) | ||||
Forward Foreign Currency Contracts | — | (1,675,905) | — | — | (1,675,905) | ||||
Total Realized Gain (Loss) | $ (7,280,183) | $(1,963,949) | $(1,221,302) | $ (155,260) | $(10,620,694) | ||||
Change in Appreciation (Depreciation)(3) | |||||||||
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |||||
Options Purchased | $ (610,788) | $ 12,469 | $ — | $1,336,746 | $ 738,427 | ||||
Options Written | 172,645 | 63,837 | — | (68,797) | 167,685 | ||||
Swaps Contracts | 760,564 | — | 160,359 | — | 920,923 | ||||
Futures Contracts | (6,593,080) | — | — | — | (6,593,080) | ||||
Forward Foreign Currency Contracts | — | 316,877 | — | — | 316,877 | ||||
Total Change in Appreciation (Depreciation) | $ (6,270,659) | $ 393,183 | $ 160,359 | $1,267,949 | $ (4,449,168) |
Asset Derivatives | |||
Equity Risk | Total | ||
Futures Contracts(1) | $ 16,163 | $ 16,163 |
Liability Derivatives | ||||||
Equity Risk | Total | |||||
Futures Contracts(1) | $ (2,513,284) | $ (2,513,284) | ||||
Net Realized Gain (Loss)(2) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $(13,787,917) | $(13,787,917) | ||||
Change in Appreciation (Depreciation)(3) | ||||||
Equity Risk | Total | |||||
Futures Contracts | $ (5,906,320) | $ (5,906,320) |
Liability Derivatives | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts(1) | $(18,162) | $ (240,989) | $ (259,151) | ||||
Net Realized Gain (Loss)(2) | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts | $(34,837) | $(3,838,972) | $(3,873,809) | ||||
Change in Appreciation (Depreciation)(3) | |||||||
Foreign Currency Risk | Equity Risk | Total | |||||
Futures Contracts | $(18,162) | $ (302,657) | $ (320,819) |
(1) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. |
(2) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts, Closed futures contracts, Purchased option contracts, Written option contracts and Swap contracts, if any. |
(3) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts, Open futures contracts, Purchased option contracts, Written option contracts and Swap contracts. |
(4) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(6) | Statements of Assets and Liabilities location: Investments, at value. |
(7) | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day's variation margin, if any, is reported on the Statement of Assets and Liabilities. |
(8) | Statements of Assets and Liabilities location: Written options, at value. |
For the period ended September 30, 2022, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:(1) | |||||||||||
Options Purchased | Swaps Contracts | Long Futures Contracts | Short Futures Contracts | Options Written | Forward Foreign Currency Contracts | ||||||
Large Cap | $ — | $ — | $ 30,733,469 | $ — | $ — | $ — | |||||
Small/Mid Cap | — | — | 38,936,908 | — | — | — | |||||
Non-US Core Equity | — | — | 100,048,805 | — | — | 643,758 | |||||
Core Fixed | — | — | 121,705,862 | (66,114,148) | — | 27,341,631 | |||||
Opportunistic Fixed | 27,152,815 | 73,803,490 | 339,806,932 | (70,410,279) | (15,629,250) | 461,627,173 | |||||
Emerging Markets | — | — | 73,439,452 | 1,383,593 | — | — | |||||
Global Low Volatility | — | — | 18,367,175 | — | — | — |
(1) | Amounts disclosed represent average notional value for the months that the Fund held such derivatives during the period ended September 30, 2022. |
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Non-cash Collateral Received | Cash Collateral Received* | Net Amount of Derivative Assets(a) | |||||
Barclays Bank Plc | $165,030 | $ — | $ — | $ — | $165,030 | |||||
JPMorgan Chase Bank N.A. | 137,534 | (137,013) | — | — | 521 | |||||
Total | $302,564 | $ (137,013) | $ — | $ — | $165,551 |
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Non-cash Collateral Pledged | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | |||||
JPMorgan Chase Bank N.A. | $(137,013) | $137,013 | $ — | $ — | $ — |
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Non-cash Collateral Received | Cash Collateral Received* | Net Amount of Derivative Assets(a) | |||||
Bank of America, N.A. | $ 216,756 | $ (216,756) | $ — | $ — | $ — | |||||
Barclays Bank Plc | 129,249 | (78,067) | — | — | 51,182 | |||||
BNP Paribas S.A. | 378,846 | (378,846) | — | — | — | |||||
Citibank N.A. | 509,385 | (509,385) | — | — | — | |||||
Citigroup Global Markets, Inc. | 85,328 | — | — | (70,000) | 15,328 | |||||
Deutsche Bank AG | 106,719 | (28,682) | — | (20,000) | 58,037 | |||||
Goldman Sachs & Co. | 608,892 | (258,184) | — | (100,000) | 250,708 | |||||
Goldman Sachs International | 226,471 | (68,951) | — | — | 157,520 | |||||
HSBC Bank Plc | 686,249 | (686,249) | — | — | — | |||||
HSBC Bank USA, N.A. | 74,265 | (1,506) | (72,759) | — | — | |||||
JPMorgan Chase Bank N.A. | 2,835,213 | (2,835,213) | — | — | — | |||||
Morgan Stanley & Co. | 1,748,665 | (267,301) | — | (1,481,364) | — | |||||
Morgan Stanley and Co. International Plc | 560,711 | (432,448) | — | — | 128,263 | |||||
Morgan Stanley Capital Services, Inc. | 448,795 | (448,795) | — | — | — | |||||
NatWest Markets Plc | 57,867 | (13,621) | (10,000) | — | 34,246 | |||||
Standard Chartered Bank | 32,628 | (482) | — | — | 32,146 | |||||
State Street Bank London | 16,389 | (16,389) | — | — | — | |||||
The BNY Mellon | 52,813 | (22,303) | — | — | 30,510 | |||||
Toronto Dominion Bank | 30,901 | (1,314) | — | — | 29,587 | |||||
UBS AG | 236,589 | (194,307) | — | — | 42,282 | |||||
Total | $9,042,731 | $(6,458,799) | $ (82,759) | $(1,671,364) | $ 829,809 |
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Non-cash Collateral Pledged | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | |||||
Bank of America, N.A. | $ (473,293) | $ 216,756 | $ — | $ — | $ (256,537) | |||||
Barclays Bank Plc | (78,067) | 78,067 | — | — | — | |||||
BNP Paribas S.A. | (381,259) | 378,846 | — | — | (2,413) | |||||
Citibank N.A. | (874,515) | 509,385 | — | — | (365,130) | |||||
Deutsche Bank AG | (28,682) | 28,682 | — | — | — | |||||
Goldman Sachs & Co. | (258,184) | 258,184 | — | — | — | |||||
Goldman Sachs International | (68,951) | 68,951 | — | — | — | |||||
HSBC Bank Plc | (825,370) | 686,249 | — | — | (139,121) | |||||
HSBC Bank USA, N.A. | (1,506) | 1,506 | — | — | — | |||||
JPMorgan Chase Bank N.A. | (4,069,121) | 2,835,213 | — | — | (1,233,908) |
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Non-cash Collateral Pledged | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | |||||
Morgan Stanley & Co. | $ (267,301) | $ 267,301 | $ — | $ — | $ — | |||||
Morgan Stanley and Co. International Plc | (432,448) | 432,448 | — | — | — | |||||
Morgan Stanley Capital Services, Inc. | (895,191) | 448,795 | — | — | (446,396) | |||||
NatWest Markets Plc | (13,621) | 13,621 | — | — | — | |||||
Standard Chartered Bank | (482) | 482 | — | — | — | |||||
State Street Bank and Trust | (10,099) | — | — | — | (10,099) | |||||
State Street Bank London | (28,985) | 16,389 | — | — | (12,596) | |||||
The BNY Mellon | (22,303) | 22,303 | — | — | — | |||||
Toronto Dominion Bank | (1,314) | 1,314 | — | — | — | |||||
UBS AG | (194,307) | 194,307 | — | — | — | |||||
Total | $(8,924,999) | $6,458,799 | $ — | $ — | $(2,466,200) |
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | |||
Large Cap | $ 5,087,900 | $ 3,901,467 | $ 1,363,410 | ||
Small/Mid Cap | 28,356,050 | 12,334,611 | 17,250,732 | ||
Non-US Core Equity | 85,751,284 | 47,009,916 | 42,714,670 | ||
Core Fixed | 28,694,370 | 23,507,188 | 5,765,390 | ||
Opportunistic Fixed | 21,297,295 | 19,636,697 | 2,103,847 | ||
Emerging Markets | 20,416,779 | 6,273,318 | 15,166,968 | ||
Global Low Volatility | 7,187,749 | 5,399,677 | 2,209,860 |
Remaining Contractual Maturity of the Agreements As of September 30, 2022 | |||||||||
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $46,327,083 | $ — | $ — | $ — | $46,327,083 | ||||
Rights | 682,833 | — | — | — | 682,833 | ||||
Total Borrowings | $47,009,916 | $ — | $ — | $ — | $47,009,916 | ||||
Gross amount of recognized liabilities for securities lending transaction | $47,009,916 |
Remaining Contractual Maturity of the Agreements As of September 30, 2022 | |||||||||
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | |||||
Securities Lending Transactions | |||||||||
Convertible Debt | $ 45,545 | $ — | $ — | $ — | $ 45,545 | ||||
Convertible Preferred Stocks | 402,183 | — | — | — | 402,183 | ||||
Corporate Debt | 19,188,969 | — | — | — | 19,188,969 | ||||
Total Borrowings | $19,636,697 | $ — | $ — | $ — | $19,636,697 | ||||
Gross amount of recognized liabilities for securities lending transaction | $19,636,697 |
Borrower | Par | Cost | Value | Unrealized Gain (Loss) | ||||
Athenahealth, Inc. | $17,391 | $17,391 | $15,626 | $(1,765) | ||||
Thermostat Purchaser III, Inc. | 49,431 | 49,540 | 46,218 | (3,322) | ||||
VT Topco, Inc. | 22,598 | 10,130 | 9,750 | (380) | ||||
$89,420 | $77,061 | $71,594 | $(5,467) |
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Large Cap | $1,096,973,015 | $119,789,346 | $(159,142,308) | $ (39,352,962) | |||
Small/Mid Cap | 1,520,817,208 | 163,612,478 | (207,398,814) | (43,786,336) | |||
Non-US Core Equity | 3,571,809,294 | 52,054,282 | (711,789,470) | (659,735,188) | |||
Core Fixed | 1,641,794,389 | 487,988 | (217,056,870) | (216,568,882) | |||
Opportunistic Fixed | 1,184,223,200 | 3,142,647 | (162,891,475) | (159,748,828) | |||
Emerging Markets | 1,649,921,112 | 32,113,990 | (444,311,532) | (412,197,542) | |||
Global Low Volatility | 1,110,347,271 | 82,113,693 | (147,172,005) | (65,058,312) |
3. | Credit agreement |
The Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a committed, unsecured revolving line of credit through December 8, 2022. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Adjusted Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.25% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to 1% plus the higher of (i) the Federal Funds Rate or (ii) the Federal Reserve Bank of New York Overnight Bank Funding Rate. The Funds did not borrow under the Agreement during the period ended September 30, 2022. | |
4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. | |
5. | Fees and other transactions with affiliates |
As of September 30, 2022, the Adviser provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Adviser a fee for managing the Fund’s investments at an annual rate of: |
Investment Advisory Fee* on Net Assets | |||||
Average net assets up to $750 million | Average net assets in excess of $750 million up to $1 billion | Average net assets in excess of $1 billion | |||
Large Cap | 0.53% | 0.51% | 0.46% | ||
Small/Mid Cap | 0.90% | 0.88% | 0.83% | ||
Non-US Core Equity | 0.75% | 0.73% | 0.68% | ||
Core Fixed | 0.35% | 0.33% | 0.28% | ||
Opportunistic Fixed | 0.80% | 0.78% | 0.73% | ||
Emerging Markets | 0.80% | 0.78% | 0.73% | ||
Global Low Volatility | 0.75% | 0.73% | 0.68% |
* Consists of the total advisory fee payable by the Funds to the Adviser. The Adviser is responsible for paying the subadvisory fees. |
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended September 30, 2022, were as follows: |
Long-Term U.S. Government Securities | Other Long-Term Securities | ||
Purchases | |||
Large Cap | $ — | $171,652,831 | |
Small/Mid Cap | — | 384,101,431 | |
Non-US Core Equity | — | 928,254,967 | |
Core Fixed | 1,420,201,420* | 131,863,764 | |
Opportunistic Fixed | 11,647,419 | 482,991,631 | |
Emerging Markets | — | 638,947,128 | |
Global Low Volatility | — | 172,376,842 |
Long-Term U.S. Government Securities | Other Long-Term Securities | ||
Sales | |||
Large Cap | $ — | $229,010,391 | |
Small/Mid Cap | — | 322,697,669 | |
Non-US Core Equity | — | 718,266,341 | |
Core Fixed | 1,333,201,014* | 98,047,696 | |
Opportunistic Fixed | 43,781,746 | 359,674,070 | |
Emerging Markets | — | 565,922,414 | |
Global Low Volatility | — | 211,107,618 |
* | Includes purchases of $561,540,504 and sales of $546,030,105 for TBA securities. |
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows: |
Large Cap | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 1,412,567 | $ 14,363,877 | 3,292,166 | $ 41,900,630 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 12,381,922 | 153,164,374 | |||
Shares repurchased | (6,339,639) | (65,512,774) | (16,361,027) | (206,858,539) | |||
Net decrease | (4,927,072) | $(51,148,897) | (686,939) | $ (11,793,535) |
Small/Mid Cap | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 13,944,905 | $ 143,018,090 | 17,437,012 | $ 231,465,353 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 26,672,924 | 327,010,046 | |||
Shares repurchased | (9,646,838) | (102,778,144) | (28,752,187) | (395,256,506) | |||
Net increase | 4,298,067 | $ 40,239,946 | 15,357,749 | $ 163,218,893 |
Non-US Core Equity | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 28,576,022 | $ 259,373,910 | 81,023,506 | $ 991,262,362 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 54,329,508 | 599,254,468 | |||
Shares repurchased | (22,434,182) | (199,113,314) | (87,361,191) | (1,100,989,104) | |||
Net increase | 6,141,840 | $ 60,260,596 | 47,991,823 | $ 489,527,726 | |||
Class I:* | |||||||
Shares sold | 11,901,779 | 106,943,462 | 243,263 | 3,159,985 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 44,939 | 495,675 | |||
Shares repurchased | (157,702) | (1,355,663) | — | — | |||
Net increase | 11,744,077 | $ 105,587,799 | 288,202 | $ 3,655,660 |
Core Fixed | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 32,295,269 | $ 297,863,367 | 45,916,697 | $ 480,297,012 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 3,063,726 | 31,985,302 | |||
Shares repurchased | (18,144,157) | (167,342,177) | (29,088,916) | (306,948,478) | |||
Net increase | 14,151,112 | $ 130,521,190 | 19,891,507 | $ 205,333,836 | |||
Class I:** | |||||||
Shares sold | 11,413 | 104,928 | 10,280,356 | 106,539,496 | |||
Shares repurchased | (2,797,003) | (26,290,115) | (598,919) | (5,975,417) | |||
Net increase (decrease) | (2,785,590) | $ (26,185,187) | 9,681,437 | $ 100,564,079 |
Opportunistic Fixed | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 24,878,456 | $203,939,305 | 47,045,253 | $ 450,031,319 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 3,837,019 | 35,914,494 | |||
Shares repurchased | (9,776,655) | (81,033,910) | (16,191,116) | (154,834,817) | |||
Net increase | 15,101,801 | $122,905,395 | 34,691,156 | $ 331,110,996 |
Emerging Markets | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 19,862,984 | $ 151,656,033 | 70,433,580 | $ 743,231,851 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 20,700,953 | 198,108,117 | |||
Shares repurchased | (19,606,686) | (141,315,358) | (32,569,435) | (353,614,531) | |||
Net increase | 256,298 | $ 10,340,675 | 58,565,098 | $ 587,725,437 |
Global Low Volatility | |||||||
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Class Y-3: | |||||||
Shares sold | 7,117,014 | $ 92,850,339 | 33,074,478 | $ 499,899,757 | |||
Shares issued to shareholders in reinvestment of distributions | — | — | 10,738,770 | 156,786,038 | |||
Shares repurchased | (11,650,807) | (150,529,532) | (27,607,264) | (422,204,233) | |||
Net increase (decrease) | (4,533,793) | $ (57,679,193) | 16,205,984 | $ 234,481,562 |
* | The Class commenced operations on July 22, 2021. |
** | The Class commenced operations on December 27, 2021. |
8. | Recent accounting pronouncements and regulatory updates |
In January 2021, FASB issued Accounting Standards Update 2021-01 — Reference Rate Reform (Topic 848) — Scope (“ASU 2021-01”) as an update to Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) —Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in order to make certain clarifications. ASU 2020-04 and ASU 2021-01 provide optional temporary financial reporting relief from the effect of certain types of contract |
modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 and ASU 2021-01 will have a material impact on the financial statements. | |
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. The rule imposes new limits on the amount of derivatives a fund can enter into, replaces the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and requires funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and for the boards of such funds to appoint a derivatives risk manager. The effective date for the rule was February 19, 2021 and the compliance date for the new rule was August 19, 2022. Management has finalized its evaluation and determined there are no material impacts to the financial statements. | |
In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of determining whether a fund should value a security at its market value (as opposed to fair value) under the 1940 Act, and the SEC noted that this definition would apply in all contexts under the 1940 Act. The effective date for the rule was March 8, 2021 and the compliance date for both the new rule and the associated new recordkeeping requirements was September 8, 2022. Management has finalized its evaluation and determined there are no material impacts to the financial statements. | |
9. | Certain risks |
In the normal course of business, the Funds invest in securities or other instruments and may enter into transactions, and such activities subject each Fund to various risks, including fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations (credit risk). Investments in foreign securities involve certain risks, including foreign currency fluctuations and those related to political or economic instability. | |
Additional risks associated with certain of the Funds’ investments are described above within the respective security type notes. A more complete description of risks is included in the Funds' prospectus and statement of additional information. | |
The coronavirus (COVID-19) pandemic and the ongoing responses of the U.S. government and various state, local and foreign governments have adversely affected global business activities and have resulted in significant uncertainty in the global economy and volatility in financial markets. Given the significant global health, market, employment and economic impacts of COVID-19 and the uncertainty of its duration, the Funds cannot reliably predict the ultimate impact of COVID-19 on financial markets or its financial results. | |
Russia’s large-scale invasion of Ukraine on February 24, 2022 and the resulting responses by the United States and other countries could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia, certain Russian individuals, banking entities and corporations, and Belarus, as a response to Russia’s invasion of Ukraine and may impose sanctions on other countries that provide military or economic support to Russia. The extent and duration of Russia’s military actions or future escalation of such hostilities, and the extent and impact of the resulting sanctions (including any retaliatory actions or countermeasures that may be taken by those subject to sanctions, including cyber-attacks) are impossible to predict, but could result in significant market disruptions, including in certain industries or sectors, such as the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. These and any related events could |
have a significant impact on a Fund’s performance and the value of the Fund’s investments, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion. | |
LIBOR Transition Risk: The market is in the process of transitioning away from a commonly used interest rate, the London Interbank Offered Rate (“LIBOR”). The terms of many investments, financings or other transactions to which a Fund may be a party have been historically tied to LIBOR, which may be a significant factor in determining a Fund’s payment obligations under a derivative investment, the cost of financing to a Fund or an investment’s value or return to a Fund. Although many LIBOR rates were phased out at the end of 2021, a selection of widely used USD LIBOR rates will continue to be published until June 2023 in order to assist with the transition. The process of transitioning to a new rate might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. | |
10. | Subsequent events |
Management has evaluated the impact of subsequent events through November 14, 2022, the date the financial statements were issued, for possible adjustment and/or disclosure in the Funds' financial statements. Management has determined that there are no material events that would require adjustment and/or disclosure in the Funds' financial statements through this date. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.31% | $1,000.00 | $ 785.20 | $ 892.60 | $1.39 | ||||
Hypothetical | 0.31 | 1,000.00 | 1,023.51 | 1,011.76 | 1.57 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.46% | $1,000.00 | $ 827.10 | $ 913.55 | $2.11 | ||||
Hypothetical | 0.46 | 1,000.00 | 1,022.76 | 1,011.38 | 2.33 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.46%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.38% | $1,000.00 | $ 775.90 | $ 887.95 | $1.69 | ||||
Hypothetical | 0.38 | 1,000.00 | 1,023.16 | 1,011.58 | 1.93 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.38%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.63% | $1,000.00 | $ 774.00 | $ 887.00 | $2.80 | ||||
Hypothetical | 0.63 | 1,000.00 | 1,021.91 | 1,010.96 | 3.19 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.15% | $1,000.00 | $ 901.00 | $ 950.50 | $0.71 | ||||
Hypothetical | 0.15 | 1,000.00 | 1,024.32 | 1,012.16 | 0.76 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.40% | $1,000.00 | $ 899.90 | $ 949.95 | $1.91 | ||||
Hypothetical | 0.40 | 1,000.00 | 1,023.06 | 1,011.53 | 2.03 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.44% | $1,000.00 | $ 883.50 | $ 941.75 | $2.08 | ||||
Hypothetical | 0.44 | 1,000.00 | 1,022.86 | 1,011.43 | 2.23 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.44%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.47% | $1,000.00 | $ 780.60 | $ 890.30 | $2.10 | ||||
Hypothetical | 0.47 | 1,000.00 | 1,022.71 | 1,011.36 | 2.38 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.47%, multiplied by the average account value over the period, multiplied by 183/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||
Actual | 0.31% | $1,000.00 | $ 822.30 | $ 911.15 | $1.42 | ||||
Hypothetical | 0.31 | 1,000.00 | 1,023.51 | 1,011.76 | 1.57 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 183/365. |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex* Overseen by Trustee | Other Directorships Held by Trustee | |||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (79) | Trustee | Trustee since 2005 | Mr. Bains is retired. | 7 | Mr. Bains is a director of Cara Therapeutics, Inc.; Mr. Bains was a director of BG Medicine, Inc.(2007 to 2014) and a trustee of BofA Funds Series Trust (11 portfolios) (2011 to 2016). | |||||
Adela M. Cepeda 99 High Street Boston, MA 02110 (64) | Trustee | Trustee since 2005 | Ms. Cepeda was Managing Director of PFM Financial Advisors LLC (a financial advisory firm) from September 2016 to December 2019. Ms. Cepeda was previously Founder and President of A.C. Advisory, Inc. (a financial advisory firm) 1995 — 2016. | 7 | Ms. Cepeda is a director or trustee of: The UBS Funds (12 portfolios); UBS Relationship Funds; SMA Relationship Trust (1 portfolio); Morgan Stanley Pathway Funds (11 portfolios); BMO Financial Corp. (U.S. holding company for BMO Harris Bank N.A.); Ms. Cepeda was a director of Fort Dearborn Income Securities, Inc. (2000 to 2016). | |||||
Gail A. Schneider 99 High Street Boston, MA 02110 (73) | Chairperson and Trustee | Chairperson since 2022; Trustee since 2009 | Ms. Schneider is a selfemployed consultant since 2007. Ms. Schneider was previously an Executive Vice President at JPMorgan Chase & Co. | 7 | None |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex* Overseen by Trustee | Other Directorships Held by Trustee | |||||
Luis A. Ubiñas 99 High Street Boston, MA 02110 (59) | Trustee | Trustee since 2019 | Mr. Ubiñas is retired. Mr. Ubiñas previously served as President of the Ford Foundation (a not-for profit organization) from 2008 to 2013 and prior to that he served as a Senior Partner for McKinsey & Company (a global consulting firm). | 7 | Mr. Ubiñas is a Director of: ATT, Electronic Arts, Inc., and Tanger Factory Outlet Centers, Inc. | |||||
Joan E. Steel 99 High Street Boston, MA 02110 (68) | Trustee | Trustee since 2020 | Ms. Steel is the Founder and Chief Executive Officer of Alpha Wealth Advisors LLC since September 2009. Prior to founding her own firm, Ms. Steel was a Senior Vice President, Private Wealth Advisor for the Capital Group, a large global asset manager. | 7 | Ms. Steel was an independent director of The Hershey Trust Company from 2012 to 2016. |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex* Overseen by Trustee | Other Directorships Held by Trustee | |||||
Richard S. Joseph** (57) | Trustee, President, and Chief Executive Officer | Since 2016 | Mr. Joseph is Vice President and US Wealth Distribution Leader for Mercer Investments LLC since December 2015. Prior to December 2015, he was Chief Operating Officer of Mercer Investments LLC. | 7 | Mr. Joseph is a trustee of Mercer Trust Company LLC and was a director of Mercer Investments LLC from January 2017 to March 2019. |
Name and Age | Position(s) Held with the Trust | Term of Office+ and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Samantha Davidson (47) | Vice President | Since 2021 | Ms. Davidson is a Senior Partner at Mercer for Mercer’s OCIO Business. Prior to joining Mercer in 2020, Ms. Davidson spent 17 years in various positions, most recently as Managing Director and head of client solutions for Goldman Sachs Personal Financial Management. | |||
Stephen Gouthro (54) | Vice President, Treasurer and Chief Financial Officer | Since 2018 | Mr. Gouthro is a partner at Mercer and U.S. Chief Operating Officer for Mercer’s U.S. Business Solutions Group. Mr. Gouthro joined Mercer in 2018. Prior to joining Mercer, Mr. Gouthro was at Putnam Investments in various leadership roles in Operations, Technology, and Investments. | |||
Barry Vallan (53) | Vice President and Assistant Treasurer | Since 2021 | Mr. Vallan is a Principal and the Head of Fund Administration at Mercer Investments LLC. Prior to joining Mercer in 2020, Mr. Vallan was Vice President of Fund Administration at J.P. Morgan (from 2017 to 2020). | |||
Jeff Coleman (52) | Vice President and Assistant Treasurer | Since 2019 | Mr. Coleman is Head of Investment Operations at Mercer Investments LLC since 2019. Prior to joining Mercer, Mr. Coleman was a Vice President at Fidelity Investments from 2016 to 2018. | |||
Stan Mavromates (61) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investments LLC since 2012. | |||
Colin Dean (45) | Vice President and Assistant Secretary | Since 2021++ | Mr. Dean is Global Chief Counsel Investments since 2018. He has also served as Senior Legal Counsel — Investments for Mercer Investments LLC from 2010 to 2018. | |||
Caroline Hulme (37) | Vice President, Chief Legal Officer and Secretary | Since 2021++ | Ms. Hulme is Senior Legal Counsel, Investments since 2018. She served as Legal Counsel — Investments for Mercer Investments LLC from 2014 to 2018. Prior to 2014, she was an Associate in the investment management practice group of Bingham McCutchen LLP. | |||
Larry Vasquez (55) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investments LLC since 2012. | |||
Erin Lefkowitz (41) | Vice President | Since 2021 | Ms. Lefkowitz is a Vice President and Senior Portfolio Manager of Mercer Investments LLC. Prior to joining Mercer in 2021, Ms. Lefkowitz held various roles in risk management, portfolio construction, trading and global fixed income portfolio management at Putnam Investments. |
Name and Age | Position(s) Held with the Trust | Term of Office+ and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Tammy Choe (41) | Vice President and Chief Compliance Officer | Since 2022 | Ms. Choe serves as Chief Compliance Officer of Mercer Investments LLC since March 2022 and Mercer Trust Company LLC since May 2022. Prior to joining Mercer, Ms. Choe was Chief Compliance Officer at Cadre (CCV, LLC) from June to December 2021. Ms. Choe also served in various compliance positions for Prudential Financial including Chief Compliance Officer from 2020-2021 of QMA LLC (a PGIM subsidiary), and Deputy Chief Compliance Officer from 2015-2020. | |||
Kevin McKiernan (58) | Vice President and Deputy Chief Compliance Officer | Since 2021 | Mr. McKiernan is a Senior Compliance Officer at Mercer Investments LLC. Prior to joining Mercer in 2019, he served as a compliance consultant for Mission Critical Services Corp. From 2004 to 2018, Mr. McKiernan held various positions with Prudential Financial, most recently as Director, PGIM Investments. |
(b) Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule
Not Applicable
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.
The Registrant’s full schedules of investments are 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 the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable
Item 13. Exhibits.
(a) | File the exhibits listed below as part of this Form. |
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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.
(Registrant) | Mercer Funds |
By (Signature and Title) | /S/ Richard Joseph | |
Richard Joseph | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) |
Date 11/15/22
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 person on behalf of the Registrant and in the capacities and on the date indicated.
By (Signature and Title) | /S/ Richard Joseph | |
Richard Joseph | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) |
Date 11/15/22
By (Signature and Title) | /S/ Stephen Gouthro | |
Stephen Gouthro | ||
Vice President, Treasurer and Chief Financial Officer | ||
(Principal Financial Officer) |
Date 11/15/22
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