UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 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: March 31, 2023
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 |
Mercer US Large Cap Equity Fund
Mercer US Large Cap Equity Fund
Mercer US Large Cap Equity Fund
Mercer US Large Cap Equity Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer US Large Cap Equity Fund – Class Y-3 – 8/15/2005 | -10.94 % | 8.26 % | 10.74 % | 8.42 % |
Russell 1000® Index | -8.39 % | 10.87 % | 12.45 % | 9.78 % |
Mercer US Large Cap Equity Fund
March 31, 2023
Mercer US Small/Mid Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer US Small/Mid Cap Equity Fund – Class Y-3 – 8/15/2005 | -6.69 % | 6.90 % | 8.74 % | 8.00 % |
Russell 2500® Index | -10.39 % | 6.65 % | 9.30 % | 8.60 % |
Mercer US Small/Mid Cap Equity Fund
March 31, 2023
Mercer Non-US Core Equity Fund
Mercer Non-US Core Equity Fund
Mercer Non-US Core Equity Fund
Mercer Non-US Core Equity Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Non-US Core Equity Fund – Class Y-3 – 8/18/2006 | -2.17 % | 4.20 % | 6.39 % | 3.97 % |
Mercer Non-US Core Equity Fund – Class I – 7/22/2021 | -2.47 % | — | — | -4.99 % |
MSCI EAFE Index® | -1.38 % | 3.52 % | 5.00 % | 3.41 % |
Mercer Non-US Core Equity Fund
March 31, 2023
Mercer Core Fixed Income Fund
Mercer Core Fixed Income Fund
Mercer Core Fixed Income Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Core Fixed Income Fund – Class Y-3 – 8/15/2005 | -5.20 % | 1.31 % | 1.70 % | 3.28 % |
Mercer Core Fixed Income Fund – Class I – 12/27/2021 | -5.42 % | — | — | -9.01 % |
Bloomberg U.S. Aggregate Bond™ Index | -4.78 % | 0.91 % | 1.36 % | 3.10 % |
Mercer Core Fixed Income Fund
March 31, 2023
Mercer Opportunistic Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Opportunistic Fixed Income Fund – Class Y-3 – 8/21/2013 | -2.96 % | -0.16 % | — | 1.11 % |
ICE Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged | -2.47 % | -0.33 % | — | 1.52 % |
Secondary Index | -2.54 % | 0.55 % | — | 1.36 % |
Mercer Opportunistic Fixed Income Fund
March 31, 2023
Mercer Emerging Markets Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Emerging Markets Equity Fund
of futures relative to interest earned on cash.
Mercer Emerging Markets Equity Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Emerging Markets Equity Fund – Class Y-3 – 5/1/2012 | -9.51 % | -2.20 % | 0.99 % | 1.42 % |
MSCI Emerging Markets Index® | -10.70 % | -0.91 % | 2.00 % | 2.12 % |
Mercer Emerging Markets Equity Fund
March 31, 2023
Mercer Global Low Volatility Equity Fund
Mercer Global Low Volatility Equity Fund
Mercer Global Low Volatility Equity Fund
Mercer Global Low Volatility Equity Fund
March 31, 2023
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Global Low Volatility Equity Fund – Class Y-3 – 11/6/2012 | -4.53 % | 6.86 % | 8.18 % | 9.04 % |
MSCI World Index® | -7.02 % | 8.01 % | 8.85 % | 9.59 % |
Mercer Global Low Volatility Equity Fund
March 31, 2023
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
COMMON STOCKS — 96.7% | |||
Basic Materials — 2.6% | |||
15,442 | CF Industries Holdings, Inc. | 1,119,391 | |
100,797 | Dow, Inc. | 5,525,692 | |
116,500 | DuPont de Nemours, Inc. | 8,361,205 | |
45,264 | Eastman Chemical Co. | 3,817,566 | |
82,507 | International Paper Co. | 2,975,202 | |
34,068 | Mosaic Co. (The) | 1,563,040 | |
43,926 | Newmont Corp. | 2,153,252 | |
18,397 | Nucor Corp. | 2,841,785 | |
6,255 | Steel Dynamics, Inc. | 707,190 | |
29,064,323 | |||
Communications — 16.0% | |||
98,604 | Airbnb, Inc. Class A* | 12,266,338 | |
78,902 | Alphabet, Inc. Class A* | 8,184,504 | |
184,674 | Alphabet, Inc. Class C* | 19,206,096 | |
332,204 | Amazon.com, Inc.* | 34,313,351 | |
151,676 | AT&T, Inc. | 2,919,763 | |
8,258 | Charter Communications, Inc. Class A* | 2,953,143 | |
172,500 | Cisco Systems, Inc. | 9,017,437 | |
263,905 | Comcast Corp. Class A | 10,004,638 | |
113,343 | Liberty Global Plc Class C* | 2,309,930 | |
3,615 | MercadoLibre, Inc.* | 4,764,787 | |
33,422 | Meta Platforms, Inc. Class A* | 7,083,459 | |
31,700 | Motorola Solutions, Inc. | 9,070,321 | |
55,595 | Netflix, Inc.* | 19,206,961 | |
66,264 | T-Mobile US, Inc.* | 9,597,678 | |
19,680 | Trade Desk, Inc. (The) Class A* | 1,198,709 | |
137,361 | Uber Technologies, Inc.* | 4,354,344 | |
211,300 | Verizon Communications, Inc. | 8,217,457 | |
118,999 | Walt Disney Co. (The)* | 11,915,370 | |
176,584,286 | |||
Consumer, Cyclical — 10.7% | |||
42,916 | Alaska Air Group, Inc.* | 1,800,755 | |
21,611 | Autoliv, Inc. | 2,017,603 | |
1,236 | AutoZone, Inc.* | 3,038,273 | |
16,215 | Bath & Body Works, Inc. | 593,145 | |
24,212 | Best Buy Co., Inc. | 1,895,073 | |
808 | Chipotle Mexican Grill, Inc. Class A* | 1,380,298 | |
9,910 | Costco Wholesale Corp. | 4,923,982 | |
19,977 | Darden Restaurants, Inc. | 3,099,631 | |
103,528 | Delta Air Lines, Inc.* | 3,615,198 | |
38,445 | Dollar General Corp. | 8,091,135 | |
59,200 | Dollar Tree, Inc.* | 8,498,160 | |
2,886 | Domino's Pizza, Inc. | 952,005 | |
175,791 | Dr. Ing. h.c. F. Porsche AG, ADR* | 2,246,609 | |
103,994 | General Motors Co. | 3,814,500 | |
6,916 | Home Depot, Inc. (The) | 2,041,050 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
5,224 | Lennar Corp. Class A | 549,095 | |
7,976 | Lithia Motors, Inc. Class A | 1,825,946 | |
19,921 | LKQ Corp. | 1,130,716 | |
54,378 | Lowe's Cos., Inc. | 10,873,969 | |
9,853 | Lululemon Athletica, Inc.* | 3,588,364 | |
44,662 | LVMH Moet Hennessy Louis Vuitton SE, ADR | 8,205,749 | |
25,285 | Magna International, Inc.(a) | 1,354,517 | |
14,924 | Marriott International, Inc. Class A | 2,477,981 | |
11,282 | MGM Resorts International | 501,146 | |
66,319 | NIKE, Inc. Class B | 8,133,362 | |
615 | NVR, Inc.* | 3,426,897 | |
40,283 | PulteGroup, Inc. | 2,347,693 | |
19,750 | Tapestry, Inc. | 851,423 | |
11,140 | Target Corp. | 1,845,118 | |
49,878 | Tesla, Inc.* | 10,347,690 | |
157,969 | TJX Cos., Inc. (The) | 12,378,451 | |
626 | Ulta Beauty, Inc.* | 341,589 | |
118,187,123 | |||
Consumer, Non-cyclical — 21.8% | |||
101,201 | Abbott Laboratories | 10,247,613 | |
180,726 | Adyen NV, ADR*(a) | 2,862,700 | |
8,858 | Align Technology, Inc.* | 2,959,812 | |
158,765 | Altria Group, Inc. | 7,084,094 | |
19,232 | Amgen, Inc. | 4,649,336 | |
105,900 | Archer-Daniels-Midland Co. | 8,435,994 | |
58,160 | AstraZeneca Plc, ADR | 4,036,886 | |
223,953 | Baxter International, Inc. | 9,083,534 | |
47,689 | Bristol-Myers Squibb Co. | 3,305,325 | |
52,750 | Cardinal Health, Inc. | 3,982,625 | |
38,513 | Cigna Group (The) | 9,841,227 | |
307,039 | Conagra Brands, Inc. | 11,532,385 | |
152,113 | CVS Health Corp. | 11,303,517 | |
13,167 | Danaher Corp. | 3,318,611 | |
61,999 | DENTSPLY SIRONA, Inc. | 2,435,321 | |
24,544 | DexCom, Inc.* | 2,851,522 | |
17,740 | Eli Lilly & Co. | 6,092,271 | |
3,192 | Estee Lauder Cos., Inc. (The) Class A | 786,700 | |
46,200 | Exelixis, Inc.* | 896,742 | |
18,442 | Gartner, Inc.* | 6,007,850 | |
33,193 | Global Payments, Inc. | 3,493,231 | |
74,160 | GSK Plc, ADR | 2,638,613 | |
63,265 | Haleon Plc, ADR(a) | 514,977 | |
7,477 | HCA Healthcare, Inc. | 1,971,535 | |
107,056 | Hologic, Inc.* | 8,639,419 | |
12,129 | Horizon Therapeutics Plc* | 1,323,759 | |
32,767 | Illumina, Inc.* | 7,619,966 | |
16,419 | Ingredion, Inc. | 1,670,305 | |
11,277 | Intuitive Surgical, Inc.* | 2,880,935 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
20,261 | Jazz Pharmaceuticals Plc* | 2,964,792 | |
79,071 | Johnson & Johnson | 12,256,005 | |
124,362 | Kroger Co. (The) | 6,139,752 | |
33,066 | L'Oreal SA, ADR(a) | 2,947,503 | |
5,392 | McKesson Corp. | 1,919,822 | |
32,604 | Medtronic Plc | 2,628,534 | |
79,900 | Merck & Co., Inc. | 8,500,561 | |
3,378 | Moody's Corp. | 1,033,736 | |
37,287 | Novo Nordisk AS, ADR | 5,933,853 | |
27,650 | Organon & Co. | 650,328 | |
77,200 | PayPal Holdings, Inc.* | 5,862,568 | |
63,698 | Pfizer, Inc. | 2,598,878 | |
24,862 | Quest Diagnostics, Inc. | 3,517,476 | |
8,967 | S&P Global, Inc. | 3,091,553 | |
40,686 | Syneos Health, Inc.* | 1,449,235 | |
16,754 | Thermo Fisher Scientific, Inc. | 9,656,503 | |
55,086 | Tyson Foods, Inc. Class A | 3,267,701 | |
26,537 | UnitedHealth Group, Inc. | 12,541,121 | |
9,191 | Vertex Pharmaceuticals, Inc.* | 2,895,808 | |
144,500 | Viatris, Inc. | 1,390,090 | |
35,284 | Zoetis, Inc. | 5,872,669 | |
239,585,293 | |||
Energy — 4.1% | |||
82,394 | APA Corp. | 2,971,128 | |
112,088 | BP Plc, ADR | 4,252,619 | |
37,204 | Canadian Natural Resources, Ltd. | 2,059,241 | |
14,630 | Chevron Corp. | 2,387,031 | |
117,151 | ConocoPhillips | 11,622,551 | |
41,341 | Devon Energy Corp. | 2,092,268 | |
193,863 | Marathon Oil Corp. | 4,644,957 | |
65,531 | Marathon Petroleum Corp. | 8,835,545 | |
46,355 | Schlumberger NV | 2,276,031 | |
51,523 | Shell Plc, ADR | 2,964,633 | |
8,902 | Valero Energy Corp. | 1,242,719 | |
45,348,723 | |||
Financial — 14.7% | |||
61,742 | AerCap Holdings NV* | 3,471,753 | |
4,295 | American Express Co. | 708,460 | |
263,185 | American International Group, Inc. | 13,253,997 | |
17,106 | American Tower Corp. REIT | 3,495,440 | |
99,915 | Bank of America Corp. | 2,857,569 | |
79,577 | Bank of New York Mellon Corp. (The) | 3,615,979 | |
13,931 | Berkshire Hathaway, Inc. Class B* | 4,301,475 | |
12,993 | Boston Properties, Inc. REIT | 703,181 | |
6,329 | Capital One Financial Corp. | 608,597 | |
41,694 | Charles Schwab Corp. (The) | 2,183,932 | |
234,811 | Citigroup, Inc. | 11,010,288 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Financial — continued | |||
34,174 | Discover Financial Services | 3,377,758 | |
161,044 | Equitable Holdings, Inc. | 4,088,907 | |
132,900 | Equity Residential REIT | 7,974,000 | |
12,736 | Hartford Financial Services Group, Inc. (The) | 887,572 | |
246,491 | Host Hotels & Resorts, Inc. REIT | 4,064,637 | |
19,220 | Howard Hughes Corp. (The)* | 1,537,600 | |
41,480 | JPMorgan Chase & Co. | 5,405,259 | |
23,958 | Loews Corp. | 1,390,043 | |
49,064 | Mastercard, Inc. Class A | 17,830,348 | |
129,183 | MetLife, Inc. | 7,484,863 | |
5,941 | Morgan Stanley | 521,620 | |
368,175 | New York Community Bancorp, Inc. | 3,328,302 | |
20,989 | Principal Financial Group, Inc. | 1,559,902 | |
3,363 | Prudential Financial, Inc. | 278,255 | |
34,164 | Regency Centers Corp. REIT | 2,090,154 | |
12,919 | Reinsurance Group of America, Inc. | 1,715,126 | |
24,227 | Simon Property Group, Inc. REIT | 2,712,697 | |
128,000 | Synchrony Financial | 3,722,240 | |
184,100 | Truist Financial Corp. | 6,277,810 | |
180,900 | US Bancorp | 6,521,445 | |
82,345 | Visa, Inc. Class A | 18,565,504 | |
166,643 | Wells Fargo & Co. | 6,229,115 | |
190,534 | Weyerhaeuser Co. REIT | 5,740,789 | |
12,396 | Willis Towers Watson Plc | 2,880,582 | |
162,395,199 | |||
Industrial — 5.6% | |||
11,907 | 3M Co. | 1,251,545 | |
60,354 | Builders FirstSource, Inc.* | 5,358,228 | |
39,049 | CH Robinson Worldwide, Inc. | 3,880,299 | |
42,292 | Crown Holdings, Inc. | 3,497,971 | |
57,597 | Dover Corp. | 8,751,288 | |
15,714 | FedEx Corp. | 3,590,492 | |
44,299 | Honeywell International, Inc. | 8,466,425 | |
1,665 | L3Harris Technologies, Inc. | 326,740 | |
828 | Lockheed Martin Corp. | 391,420 | |
71,503 | Masco Corp. | 3,555,129 | |
24,287 | Northrop Grumman Corp. | 11,213,794 | |
86,589 | Raytheon Technologies Corp. | 8,479,661 | |
6,472 | Stanley Black & Decker, Inc. | 521,514 | |
79,695 | Vontier Corp. | 2,178,861 | |
61,463,367 | |||
Technology — 19.4% | |||
30,348 | Accenture Plc Class A | 8,673,762 | |
37,234 | Adobe, Inc.* | 14,348,867 | |
57,058 | Advanced Micro Devices, Inc.* | 5,592,255 | |
98,930 | Apple, Inc. | 16,313,557 | |
4,476 | ASML Holding NV, ADR NYRS | 3,046,858 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Technology — continued | |||
17,286 | Atlassian Corp., Ltd. Class A* | 2,958,845 | |
45,740 | Autodesk, Inc.* | 9,521,238 | |
20,280 | Broadcom, Inc. | 13,010,431 | |
7,908 | Cadence Design Systems, Inc.* | 1,661,392 | |
132,455 | Cognizant Technology Solutions Corp. Class A | 8,070,483 | |
12,204 | Crowdstrike Holdings, Inc. Class A* | 1,675,121 | |
19,163 | Dell Technologies, Inc. Class C | 770,544 | |
54,885 | DocuSign, Inc. Class A* | 3,199,796 | |
9,346 | Fair Isaac Corp.* | 6,567,341 | |
127,852 | Fidelity National Information Services, Inc. | 6,946,199 | |
138,066 | HP, Inc. | 4,052,237 | |
9,453 | KLA Corp. | 3,773,354 | |
48,709 | Micron Technology, Inc. | 2,939,101 | |
119,111 | Microsoft Corp. | 34,339,701 | |
58,227 | NVIDIA Corp. | 16,173,714 | |
118,696 | Oracle Corp. | 11,029,232 | |
84,597 | salesforce, Inc.* | 16,900,789 | |
21,737 | Seagate Technology Holdings Plc(a) | 1,437,250 | |
26,766 | ServiceNow, Inc.* | 12,438,696 | |
13,967 | Snowflake, Inc. Class A* | 2,154,968 | |
31,246 | Teradyne, Inc. | 3,359,257 | |
7,370 | Zebra Technologies Corp. Class A* | 2,343,660 | |
213,298,648 | |||
Utilities — 1.8% | |||
172,996 | Edison International | 12,211,787 | |
75,151 | FirstEnergy Corp. | 3,010,549 | |
78,810 | NRG Energy, Inc. | 2,702,395 | |
49,114 | UGI Corp. | 1,707,203 | |
19,631,934 | |||
TOTAL COMMON STOCKS (COST $978,835,420) | 1,065,558,896 |
Par Value ($) | Description | Value ($) | |
Short-Term Investment — 0.4% | |||
Mutual Fund - Securities Lending Collateral — 0.4% | |||
4,247,905 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(b)(c) | 4,247,905 | |
TOTAL SHORT-TERM INVESTMENT (COST $4,247,905) | 4,247,905 | ||
TOTAL INVESTMENTS — 97.1% (Cost $983,083,325) | 1,069,806,801 | ||
Other Assets and Liabilities (net) — 2.9% | 31,782,395 | ||
NET ASSETS — 100.0% | $1,101,589,196 |
Schedule of Investments (Continued)
March 31, 2023
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 March 31, 2023. |
(c) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
74 | S&P 500 E-mini Index | Jun 2023 | $15,309,675 | $680,298 |
4 | S&P Mid 400 E-mini Index | Jun 2023 | 1,011,880 | 29,087 |
$709,385 |
Abbreviations | ||
ADR | — | American Depository Receipt |
NYRS | — | New York Registry Shares |
REIT | — | Real Estate Investment Trust |
Schedule of Investments (Continued)
March 31, 2023
Asset Class Summary (Unaudited) | % of Net Assets |
Common Stocks | 96.7 |
Futures Contracts | 0.1 |
Short-Term Investment | 0.4 |
Other Assets and Liabilities (net) | 2.8 |
100.0% |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
COMMON STOCKS — 94.0% | |||
Basic Materials — 2.7% | |||
76,469 | ATI, Inc.* | 3,017,467 | |
20,992 | Axalta Coating Systems, Ltd.* | 635,848 | |
42,800 | Chemours Co. (The) | 1,281,432 | |
17,400 | Eastman Chemical Co. | 1,467,516 | |
257,761 | Element Solutions, Inc. | 4,977,365 | |
41,442 | FMC Corp. | 5,061,311 | |
80,900 | Huntsman Corp. | 2,213,424 | |
20,900 | Ingevity Corp.* | 1,494,768 | |
39,900 | Koppers Holdings, Inc. | 1,395,303 | |
46,900 | Mativ Holdings, Inc. | 1,006,943 | |
48,900 | Mosaic Co. (The) | 2,243,532 | |
22,179 | Quaker Chemical Corp. | 4,390,333 | |
17,400 | Reliance Steel & Aluminum Co. | 4,467,276 | |
51,621 | RPM International, Inc. | 4,503,416 | |
39,300 | Steel Dynamics, Inc. | 4,443,258 | |
18,800 | Trinseo Plc | 391,980 | |
81,300 | Tronox Holdings Plc | 1,169,094 | |
44,160,266 | |||
Communications — 2.6% | |||
47,900 | AMC Networks, Inc. Class A* | 842,082 | |
8,261 | Cable One, Inc. | 5,799,222 | |
96,447 | Ciena Corp.* | 5,065,396 | |
101,067 | ePlus, Inc.* | 4,956,326 | |
24,310 | F5, Inc.* | 3,541,724 | |
133,138 | Juniper Networks, Inc. | 4,582,610 | |
113,737 | Liberty Latin America, Ltd. Class A* | 945,154 | |
73,256 | Liberty Latin America, Ltd. Class C* | 605,095 | |
125,300 | Lumen Technologies, Inc.* | 332,045 | |
14,200 | Nexstar Media Group, Inc. Class A | 2,451,772 | |
15,380 | Nice, Ltd., ADR*(a) | 3,520,328 | |
49,510 | Okta, Inc.* | 4,269,742 | |
9,700 | Preformed Line Products Co. | 1,241,988 | |
143,434 | TripAdvisor, Inc.* | 2,848,599 | |
101,724 | Yelp, Inc. Class A* | 3,122,927 | |
44,125,010 | |||
Consumer, Cyclical — 17.1% | |||
44,521 | Advance Auto Parts, Inc. | 5,414,199 | |
42,870 | Alaska Air Group, Inc.* | 1,798,825 | |
62,800 | Allison Transmission Holdings, Inc. | 2,841,072 | |
133,400 | American Axle & Manufacturing Holdings, Inc.* | 1,041,854 | |
288,444 | BJ's Wholesale Club Holdings, Inc.* | 21,941,935 | |
89,400 | Bloomin' Brands, Inc. | 2,293,110 | |
58,700 | BorgWarner, Inc. | 2,882,757 | |
46,895 | BRP, Inc. | 3,667,189 | |
23,500 | Brunswick Corp. | 1,927,000 | |
23,556 | Burlington Stores, Inc.* | 4,760,668 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
62,264 | Carter's, Inc.(a) | 4,478,027 | |
14,054 | Casey's General Stores, Inc. | 3,042,129 | |
21,085 | Cavco Industries, Inc.* | 6,699,548 | |
158,860 | Cheesecake Factory, Inc. (The)(a) | 5,568,043 | |
21,320 | Churchill Downs, Inc. | 5,480,306 | |
35,067 | Columbia Sportswear Co. | 3,164,446 | |
4,283 | Core & Main, Inc. Class A* | 98,937 | |
15,300 | Crocs, Inc.* | 1,934,532 | |
27,909 | Deckers Outdoor Corp.* | 12,546,491 | |
13,200 | Dick's Sporting Goods, Inc. | 1,872,948 | |
45,962 | Dorman Products, Inc.* | 3,964,682 | |
91,269 | Five Below, Inc.* | 18,798,676 | |
49,900 | Foot Locker, Inc. | 1,980,531 | |
23,500 | Genesco, Inc.* | 866,680 | |
79,654 | Gentex Corp. | 2,232,702 | |
52,191 | Gentherm, Inc.* | 3,153,380 | |
33,600 | GMS, Inc.* | 1,945,104 | |
102,000 | Goodyear Tire & Rubber Co. (The)* | 1,124,040 | |
11,500 | Group 1 Automotive, Inc. | 2,603,830 | |
45,000 | Harley-Davidson, Inc. | 1,708,650 | |
47,600 | Haverty Furniture Cos., Inc. | 1,518,916 | |
33,000 | Hibbett, Inc. | 1,946,340 | |
10,800 | Johnson Outdoors, Inc. Class A | 680,508 | |
47,700 | Kohl's Corp. | 1,122,858 | |
61,300 | La-Z-Boy, Inc. | 1,782,604 | |
242,612 | Leslie's, Inc.* | 2,671,158 | |
41,443 | Light & Wonder, Inc.* | 2,488,652 | |
38,552 | Lithia Motors, Inc. Class A | 8,825,709 | |
178,771 | LKQ Corp. | 10,147,042 | |
65,900 | Macy's, Inc. | 1,152,591 | |
40,100 | Movado Group, Inc. | 1,153,677 | |
15,871 | MSC Industrial Direct Co., Inc. Class A | 1,333,164 | |
18,871 | Murphy USA, Inc. | 4,869,662 | |
124,201 | National Vision Holdings, Inc.* | 2,339,947 | |
21,000 | Nu Skin Enterprises, Inc. Class A | 825,510 | |
39,500 | ODP Corp. (The)* | 1,776,710 | |
50,491 | Planet Fitness, Inc. Class A* | 3,921,636 | |
81,227 | Polaris, Inc. | 8,986,143 | |
23,355 | Pool Corp. | 7,997,686 | |
43,500 | PulteGroup, Inc. | 2,535,180 | |
26,500 | PVH Corp. | 2,362,740 | |
109,000 | Qurate Retail, Inc. Series A* | 107,670 | |
126,851 | Red Rock Resorts, Inc. Class A | 5,653,749 | |
10,400 | REV Group, Inc. | 124,696 | |
57,600 | Sally Beauty Holdings, Inc.* | 897,408 | |
36,400 | ScanSource, Inc.* | 1,108,016 | |
26,156 | SiteOne Landscape Supply, Inc.* | 3,579,972 | |
57,808 | Skechers USA, Inc. Class A* | 2,747,036 | |
29,584 | Sleep Number Corp.* | 899,650 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
19,800 | Sonic Automotive, Inc. Class A | 1,075,932 | |
154,520 | Tapestry, Inc. | 6,661,357 | |
114,060 | Texas Roadhouse, Inc. Class A | 12,325,324 | |
15,000 | Thor Industries, Inc.(a) | 1,194,600 | |
47,400 | Toll Brothers, Inc. | 2,845,422 | |
114,289 | Topgolf Callaway Brands Corp.* | 2,470,928 | |
105,600 | Tri Pointe Homes, Inc.* | 2,673,792 | |
40,174 | UniFirst Corp. | 7,079,864 | |
27,700 | United Airlines Holdings, Inc.* | 1,225,725 | |
107,446 | Univar Solutions, Inc.* | 3,763,833 | |
14,280 | Vail Resorts, Inc. | 3,336,950 | |
11,600 | Veritiv Corp. | 1,567,624 | |
31,758 | Visteon Corp.* | 4,980,607 | |
38,900 | WESCO International, Inc. | 6,011,606 | |
21,200 | Whirlpool Corp. | 2,798,824 | |
11,300 | Williams-Sonoma, Inc. | 1,374,758 | |
23,200 | Winnebago Industries, Inc. | 1,338,640 | |
124,923 | World Fuel Services Corp. | 3,191,783 | |
283,306,490 | |||
Consumer, Non-cyclical — 22.5% | |||
109,747 | Acadia Healthcare Co., Inc.* | 7,929,221 | |
157,500 | ACCO Brands Corp. | 837,900 | |
115,500 | Albertsons Cos., Inc. Class A | 2,400,090 | |
479,830 | Alight, Inc. Class A* | 4,419,234 | |
39,490 | Apellis Pharmaceuticals, Inc.*(a) | 2,604,760 | |
61,538 | Ascendis Pharma AS, ADR* | 6,598,104 | |
179,070 | Avantor, Inc.* | 3,785,540 | |
29,467 | Avery Dennison Corp. | 5,272,530 | |
67,812 | Axonics, Inc.* | 3,699,823 | |
79,652 | Azenta, Inc.* | 3,554,072 | |
123,021 | Bausch + Lomb Corp.* | 2,141,796 | |
22,491 | Bio-Rad Laboratories, Inc. Class A* | 10,773,639 | |
111,820 | Booz Allen Hamilton Holding Corp. Class A | 10,364,596 | |
29,187 | Bright Horizons Family Solutions, Inc.* | 2,247,107 | |
27,900 | Bunge, Ltd. | 2,665,008 | |
183,723 | Catalent, Inc.* | 12,072,438 | |
85,500 | Conagra Brands, Inc. | 3,211,380 | |
43,862 | CONMED Corp. | 4,555,507 | |
513,147 | CoreCivic, Inc.* | 4,720,952 | |
5,490 | CRA International, Inc. | 591,932 | |
29,400 | DaVita, Inc.* | 2,384,634 | |
43,400 | Deluxe Corp. | 694,400 | |
73,613 | Driven Brands Holdings, Inc.* | 2,231,210 | |
341,510 | Dun & Bradstreet Holdings, Inc. | 4,009,327 | |
22,100 | Emergent BioSolutions, Inc.* | 228,956 | |
89,849 | Envista Holdings Corp.* | 3,673,027 | |
95,578 | EVERTEC, Inc. | 3,225,758 | |
87,600 | Exelixis, Inc.* | 1,700,316 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
6,400 | FleetCor Technologies, Inc.* | 1,349,440 | |
28,356 | FTI Consulting, Inc.* | 5,596,057 | |
71,624 | Globus Medical, Inc. Class A* | 4,056,783 | |
24,994 | Grand Canyon Education, Inc.* | 2,846,817 | |
59,700 | H&R Block, Inc. | 2,104,425 | |
199,168 | Halozyme Therapeutics, Inc.* | 7,606,226 | |
40,700 | Herbalife Nutrition, Ltd.* | 655,270 | |
46,970 | Hologic, Inc.* | 3,790,479 | |
36,160 | ICON Plc, ADR* | 7,723,414 | |
6,757 | ICU Medical, Inc.*(a) | 1,114,635 | |
26,400 | Incyte Corp.* | 1,907,928 | |
55,808 | Ingles Markets, Inc. Class A | 4,950,170 | |
39,200 | Ingredion, Inc. | 3,987,816 | |
6,100 | Innoviva, Inc.* | 68,625 | |
22,000 | Inspire Medical Systems, Inc.* | 5,149,540 | |
25,181 | Insulet Corp.* | 8,031,732 | |
57,048 | Integer Holdings Corp.* | 4,421,220 | |
82,134 | Intra-Cellular Therapies, Inc.* | 4,447,556 | |
247,100 | Ironwood Pharmaceuticals, Inc. Class A* | 2,599,492 | |
77,135 | Jazz Pharmaceuticals Plc* | 11,287,165 | |
115,621 | Krispy Kreme, Inc.(a) | 1,797,907 | |
26,989 | Lancaster Colony Corp. | 5,475,528 | |
62,780 | Lantheus Holdings, Inc.* | 5,183,117 | |
36,181 | LivaNova Plc* | 1,576,768 | |
27,500 | ManpowerGroup, Inc. | 2,269,575 | |
24,130 | MarketAxess Holdings, Inc. | 9,441,828 | |
12,857 | Molina Healthcare, Inc.* | 3,439,119 | |
172,213 | Molson Coors Beverage Co. Class B | 8,899,968 | |
19,608 | Morningstar, Inc. | 3,981,012 | |
48,826 | Natera, Inc.* | 2,710,820 | |
92,738 | Neurocrine Biosciences, Inc.* | 9,386,940 | |
197,859 | Paragon 28, Inc.* | 3,377,453 | |
86,393 | Patterson Cos., Inc. | 2,312,741 | |
70,404 | Paylocity Holding Corp.* | 13,994,907 | |
87,217 | Pediatrix Medical Group, Inc.* | 1,300,405 | |
67,600 | Perdoceo Education Corp.* | 907,868 | |
165,147 | Performance Food Group Co.* | 9,964,970 | |
208,238 | Premier, Inc. Class A | 6,740,664 | |
25,700 | Prestige Consumer Healthcare, Inc.* | 1,609,591 | |
44,852 | PROG Holdings, Inc.* | 1,067,029 | |
36,420 | Prometheus Biosciences, Inc.* | 3,908,594 | |
71,118 | PTC Therapeutics, Inc.* | 3,444,956 | |
60,900 | Quanex Building Products Corp. | 1,311,177 | |
12,100 | Quest Diagnostics, Inc. | 1,711,908 | |
22,450 | Repligen Corp.* | 3,779,682 | |
30,240 | Ritchie Bros Auctioneers, Inc. | 1,702,210 | |
180,628 | Rocket Pharmaceuticals, Inc.* | 3,094,158 | |
35,280 | Sarepta Therapeutics, Inc.* | 4,862,642 | |
70,300 | Select Medical Holdings Corp. | 1,817,255 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
108,760 | Simply Good Foods Co. (The)* | 4,325,385 | |
41,700 | SpartanNash Co. | 1,034,160 | |
74,000 | Sprouts Farmers Market, Inc.* | 2,592,220 | |
76,530 | TransUnion | 4,755,574 | |
53,100 | Triton International, Ltd. | 3,356,982 | |
31,800 | United Therapeutics Corp.* | 7,121,928 | |
19,400 | Universal Health Services, Inc. Class B | 2,465,740 | |
39,700 | Upbound Group, Inc. | 973,047 | |
77,466 | Vericel Corp.* | 2,271,303 | |
52,184 | Viad Corp.* | 1,087,515 | |
122,700 | Viatris, Inc. | 1,180,374 | |
54,378 | WEX, Inc.* | 9,999,570 | |
235,538 | WillScot Mobile Mini Holdings Corp.* | 11,042,021 | |
118,921 | Xencor, Inc.* | 3,316,707 | |
372,881,365 | |||
Energy — 4.2% | |||
98,000 | APA Corp. | 3,533,880 | |
34,911 | California Resources Corp. | 1,344,074 | |
268,930 | ChampionX Corp. | 7,296,071 | |
17,168 | Chesapeake Energy Corp. | 1,305,455 | |
16,760 | Chord Energy Corp | 2,255,896 | |
56,120 | Diamondback Energy, Inc. | 7,585,740 | |
103,064 | HF Sinclair Corp. | 4,986,236 | |
324,549 | Magnolia Oil & Gas Corp. Class A | 7,101,132 | |
162,000 | Marathon Oil Corp. | 3,881,520 | |
127,385 | Matador Resources Co. | 6,069,895 | |
183,609 | NOV, Inc. | 3,398,603 | |
208,236 | Ovintiv, Inc. | 7,513,155 | |
47,300 | PDC Energy, Inc. | 3,035,714 | |
439,372 | Permian Resources Corp. Class A | 4,613,406 | |
174,697 | ProPetro Holding Corp.* | 1,256,071 | |
138,229 | SM Energy Co. | 3,892,529 | |
10,298 | Vitesse Energy, Inc. | 195,971 | |
69,265,348 | |||
Financial — 14.6% | |||
61,839 | Agree Realty Corp. REIT | 4,242,774 | |
61,500 | Ally Financial, Inc. | 1,567,635 | |
57,000 | American Assets Trust, Inc. REIT | 1,059,630 | |
83,234 | American Equity Investment Life Holding Co. | 3,037,209 | |
14,500 | American Financial Group, Inc. | 1,761,750 | |
44,750 | Annaly Capital Management, Inc. REIT | 855,172 | |
128,400 | Apple Hospitality REIT, Inc. REIT | 1,992,768 | |
107,300 | Ares Capital Corp. | 1,960,907 | |
80,990 | Ares Management Corp. Class A | 6,757,806 | |
155,400 | Associated Banc-Corp. | 2,794,092 | |
114,814 | Atlantic Union Bankshares Corp. | 4,024,231 | |
91,515 | Axis Capital Holdings, Ltd. | 4,989,398 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Financial — continued | |||
57,442 | Axos Financial, Inc.* | 2,120,759 | |
35,400 | Bank of NT Butterfield & Son, Ltd. (The) | 955,800 | |
257,200 | Braemar Hotels & Resorts, Inc. REIT(a) | 992,792 | |
177,700 | Brandywine Realty Trust REIT | 840,521 | |
80,900 | Brixmor Property Group, Inc. REIT | 1,740,968 | |
6,897 | C&F Financial Corp. | 356,644 | |
298,662 | Cannae Holdings, Inc.* | 6,026,999 | |
65,200 | Cathay General Bancorp | 2,250,704 | |
99,300 | Chimera Investment Corp. REIT(a) | 560,052 | |
50,200 | Citizens Financial Group, Inc. | 1,524,574 | |
154,000 | City Office REIT, Inc. REIT | 1,062,600 | |
58,560 | CNA Financial Corp. | 2,285,597 | |
157,800 | CNO Financial Group, Inc. | 3,501,582 | |
51,500 | Comerica, Inc. | 2,236,130 | |
27,280 | Cullen/Frost Bankers, Inc. | 2,873,675 | |
195,449 | Easterly Government Properties, Inc. REIT Class A | 2,685,469 | |
24,723 | EastGroup Properties, Inc. REIT | 4,087,206 | |
41,000 | EPR Properties REIT | 1,562,100 | |
77,200 | Equitable Holdings, Inc. | 1,960,108 | |
30,300 | Essent Group, Ltd. | 1,213,515 | |
12,630 | Everest Re Group, Ltd. | 4,521,793 | |
3,678 | F&G Annuities & Life, Inc. | 66,645 | |
54,100 | Fidelity National Financial, Inc. | 1,889,713 | |
35,600 | Fifth Third Bancorp | 948,384 | |
35,500 | Financial Institutions, Inc. | 684,440 | |
33,000 | First American Financial Corp. | 1,836,780 | |
63,802 | First Busey Corp. | 1,297,733 | |
2,337 | First Citizens BancShares, Inc. Class A | 2,274,135 | |
105,300 | FNB Corp. | 1,221,480 | |
209,166 | Franklin Street Properties Corp. REIT(a) | 328,391 | |
131,708 | FS KKR Capital Corp.(a) | 2,436,598 | |
912,540 | Genworth Financial, Inc. Class A* | 4,580,951 | |
129,267 | Glacier Bancorp, Inc. | 5,430,507 | |
99,100 | Global Net Lease, Inc. REIT | 1,274,426 | |
44,642 | Hamilton Lane, Inc. Class A | 3,302,615 | |
38,500 | Hancock Whitney Corp. | 1,401,400 | |
66,600 | Hanmi Financial Corp. | 1,236,762 | |
32,800 | Heritage Insurance Holdings, Inc. | 101,024 | |
138,200 | Hope Bancorp, Inc. | 1,357,124 | |
86,500 | Horizon Bancorp, Inc. | 956,690 | |
87,600 | Host Hotels & Resorts, Inc. REIT | 1,444,524 | |
69,000 | Independent Bank Corp. | 1,226,130 | |
64,000 | Industrial Logistics Properties Trust REIT | 196,480 | |
87,500 | Jefferies Financial Group, Inc. | 2,777,250 | |
159,800 | KeyCorp. | 2,000,696 | |
35,805 | Kinsale Capital Group, Inc. | 10,746,871 | |
52,020 | Kite Realty Group Trust REIT | 1,088,258 | |
37,700 | Lincoln National Corp. | 847,119 | |
21,093 | LPL Financial Holdings, Inc. | 4,269,223 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Financial — continued | |||
200,100 | Medical Properties Trust, Inc. REIT(a) | 1,644,822 | |
176,200 | MGIC Investment Corp. | 2,364,604 | |
72,024 | National Storage Affiliates Trust REIT | 3,009,163 | |
139,500 | Navient Corp. | 2,230,605 | |
221,300 | Necessity Retail REIT, Inc. (The) REIT | 1,389,764 | |
154,400 | New Mountain Finance Corp. | 1,879,048 | |
185,497 | New York Community Bancorp, Inc. | 1,676,893 | |
238,634 | Newmark Group, Inc. Class A | 1,689,529 | |
108,437 | NMI Holdings, Inc. Class A* | 2,421,398 | |
74,941 | Oaktree Specialty Lending Corp. | 1,406,642 | |
55,083 | Office Properties Income Trust REIT | 677,521 | |
73,500 | OFG Bancorp | 1,833,090 | |
46,100 | Omega Healthcare Investors, Inc. REIT | 1,263,601 | |
26,400 | OneMain Holdings, Inc. | 978,912 | |
209,079 | Physicians Realty Trust REIT | 3,121,549 | |
122,100 | Piedmont Office Realty Trust, Inc. REIT Class A | 891,330 | |
77,156 | Pinnacle Financial Partners, Inc. | 4,255,925 | |
36,568 | Piper Sandler Cos. | 5,068,690 | |
25,500 | Popular, Inc. | 1,463,955 | |
184,708 | Radian Group, Inc. | 4,082,047 | |
156,700 | Redwood Trust, Inc. REIT(a) | 1,056,158 | |
125,700 | Regions Financial Corp. | 2,332,992 | |
30,595 | Reinsurance Group of America, Inc. | 4,061,792 | |
117,600 | Sabra Health Care REIT, Inc. REIT | 1,352,400 | |
33,500 | Sandy Spring Bancorp, Inc. | 870,330 | |
59,600 | Service Properties Trust REIT | 593,616 | |
73,987 | StepStone Group, Inc. Class A | 1,795,664 | |
40,112 | Stifel Financial Corp. | 2,370,218 | |
295,739 | Summit Hotel Properties, Inc. REIT | 2,070,173 | |
79,508 | Sun Communities, Inc. REIT | 11,201,087 | |
147,000 | Tanger Factory Outlet Centers, Inc. REIT | 2,885,610 | |
172,600 | Uniti Group, Inc. REIT | 612,730 | |
72,400 | Universal Insurance Holdings, Inc. | 1,319,128 | |
77,500 | Unum Group | 3,065,900 | |
45,100 | Victory Capital Holdings, Inc. Class A | 1,320,077 | |
126,799 | Voya Financial, Inc. | 9,061,056 | |
73,600 | Western Union Co. (The) | 820,640 | |
6,791 | White Mountains Insurance Group, Ltd. | 9,354,535 | |
37,983 | Wintrust Financial Corp. | 2,770,860 | |
77,100 | Zions Bancorp NA | 2,307,603 | |
242,196,966 | |||
Government — 0.1% | |||
68,600 | Banco Latinoamericano de Comercio Exterior SA | 1,192,268 | |
Industrial — 18.2% | |||
16,000 | Acuity Brands, Inc. | 2,923,680 | |
43,010 | Advanced Energy Industries, Inc. | 4,214,980 | |
42,800 | AGCO Corp. | 5,786,560 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Industrial — continued | |||
396,098 | Air Transport Services Group, Inc.* | 8,250,721 | |
42,100 | Apogee Enterprises, Inc. | 1,820,825 | |
23,256 | AptarGroup, Inc. | 2,748,627 | |
18,100 | ArcBest Corp. | 1,672,802 | |
97,039 | Argan, Inc. | 3,927,168 | |
70,829 | Armstrong World Industries, Inc. | 5,045,858 | |
26,450 | Arrow Electronics, Inc.* | 3,302,812 | |
174,500 | Atkore, Inc.* | 24,513,760 | |
29,767 | Axon Enterprise, Inc.* | 6,693,110 | |
44,700 | Berry Global Group, Inc. | 2,632,830 | |
21,600 | Boise Cascade Co. | 1,366,200 | |
66,010 | Builders FirstSource, Inc.* | 5,860,368 | |
111,585 | Cognex Corp. | 5,529,037 | |
50,997 | Coherent Corp.*(a) | 1,941,966 | |
89,422 | Columbus McKinnon Corp. | 3,322,922 | |
54,883 | Comfort Systems USA, Inc. | 8,010,723 | |
7,600 | Crane Holdings Co. | 862,600 | |
39,777 | Eagle Materials, Inc. | 5,837,275 | |
40,040 | Encore Wire Corp. | 7,420,613 | |
47,746 | Exponent, Inc. | 4,759,799 | |
91,372 | Federal Signal Corp. | 4,953,276 | |
134,600 | Flex, Ltd.* | 3,097,146 | |
30,549 | Forward Air Corp. | 3,291,960 | |
215,242 | Gates Industrial Corp. Plc* | 2,989,711 | |
76,914 | Gibraltar Industries, Inc.* | 3,730,329 | |
33,500 | Greif, Inc. Class A | 2,122,895 | |
37,674 | HEICO Corp. | 6,443,761 | |
148,158 | Hexcel Corp. | 10,111,783 | |
31,100 | Hillenbrand, Inc. | 1,478,183 | |
6,400 | Huntington Ingalls Industries, Inc. | 1,324,928 | |
25,120 | IDEX Corp. | 5,803,474 | |
109,354 | Ingersoll Rand, Inc. | 6,362,216 | |
45,238 | ITT, Inc. | 3,904,039 | |
53,500 | Jabil, Inc. | 4,716,560 | |
62,733 | Lincoln Electric Holdings, Inc. | 10,608,150 | |
22,100 | Louisiana-Pacific Corp. | 1,198,041 | |
24,025 | MasTec, Inc.* | 2,268,921 | |
145,821 | MDU Resources Group, Inc. | 4,444,624 | |
20,725 | Middleby Corp. (The)* | 3,038,492 | |
72,305 | Modine Manufacturing Co.* | 1,666,630 | |
9,900 | Mohawk Industries, Inc.* | 992,178 | |
31,900 | Moog, Inc. Class A | 3,213,925 | |
95,398 | Napco Security Technologies, Inc.* | 3,585,057 | |
27,549 | Nordson Corp. | 6,123,041 | |
48,300 | O-I Glass, Inc.* | 1,096,893 | |
38,200 | Owens Corning | 3,659,560 | |
66,000 | Primoris Services Corp. | 1,627,560 | |
119,713 | Ranpak Holdings Corp. Class A* | 624,902 | |
46,960 | RBC Bearings, Inc.* | 10,929,001 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Industrial — continued | |||
19,400 | Ryder System, Inc. | 1,731,256 | |
23,790 | Saia, Inc.* | 6,472,783 | |
38,000 | Sanmina Corp.* | 2,317,620 | |
126,773 | Schneider National, Inc. Class B | 3,391,178 | |
31,600 | Silgan Holdings, Inc. | 1,695,972 | |
12,200 | Snap-on, Inc. | 3,012,058 | |
85,360 | TD SYNNEX Corp. | 8,261,994 | |
12,595 | Teledyne Technologies, Inc.* | 5,634,499 | |
32,509 | Tetra Tech, Inc. | 4,775,897 | |
29,300 | Textron, Inc. | 2,069,459 | |
14,600 | Timken Co. (The) | 1,193,112 | |
48,380 | Toro Co. (The) | 5,377,921 | |
55,578 | TriMas Corp. | 1,548,403 | |
64,448 | Trimble, Inc.* | 3,378,364 | |
107,400 | TTM Technologies, Inc.* | 1,448,826 | |
81,767 | Universal Logistics Holdings, Inc. | 2,383,508 | |
15,053 | Valmont Industries, Inc. | 4,806,122 | |
120,700 | Vishay Intertechnology, Inc. | 2,730,234 | |
175,968 | Vontier Corp. | 4,810,965 | |
58,900 | Westrock Co. | 1,794,683 | |
302,687,326 | |||
Technology — 10.4% | |||
177,157 | ACI Worldwide, Inc.* | 4,779,696 | |
58,284 | Allegro MicroSystems, Inc.* | 2,797,049 | |
46,600 | Alpha & Omega Semiconductor, Ltd.* | 1,255,870 | |
23,600 | Amdocs, Ltd. | 2,266,308 | |
136,400 | Amkor Technology, Inc. | 3,549,128 | |
79,185 | Avid Technology, Inc.* | 2,532,336 | |
151,903 | Box, Inc. Class A* | 4,069,481 | |
36,900 | CSG Systems International, Inc. | 1,981,530 | |
31,860 | CyberArk Software, Ltd.* | 4,714,643 | |
16,500 | Diodes, Inc.* | 1,530,540 | |
30,300 | Donnelley Financial Solutions, Inc.* | 1,238,058 | |
78,381 | DXC Technology Co.* | 2,003,418 | |
20,400 | Ebix, Inc. | 269,076 | |
36,518 | Endava Plc, ADR* | 2,453,279 | |
58,455 | Entegris, Inc. | 4,793,895 | |
93,986 | Evolent Health, Inc. Class A* | 3,049,846 | |
18,134 | ExlService Holdings, Inc.* | 2,934,625 | |
7,711 | Fair Isaac Corp.* | 5,418,443 | |
89,500 | Genpact, Ltd. | 4,136,690 | |
53,538 | Globant SA* | 8,780,767 | |
28,911 | HubSpot, Inc.* | 12,395,591 | |
102,256 | KBR, Inc. | 5,629,193 | |
56,819 | Manhattan Associates, Inc.* | 8,798,422 | |
15,620 | MongoDB, Inc. Class A* | 3,641,334 | |
6,812 | Monolithic Power Systems, Inc. | 3,409,679 | |
200,244 | NCR Corp.* | 4,723,756 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Technology — continued | |||
34,493 | Nova, Ltd.*(a) | 3,603,484 | |
99,623 | PagerDuty, Inc.* | 3,484,813 | |
59,810 | Parsons Corp.* | 2,675,899 | |
78,100 | Photronics, Inc.* | 1,294,898 | |
77,132 | Power Integrations, Inc. | 6,528,453 | |
77,628 | Procore Technologies, Inc.* | 4,861,842 | |
208,694 | Pure Storage, Inc. Class A* | 5,323,784 | |
18,100 | Qorvo, Inc.* | 1,838,417 | |
57,272 | Rapid7, Inc.* | 2,629,358 | |
41,400 | Seagate Technology Holdings Plc(a) | 2,737,368 | |
55,758 | Silicon Laboratories, Inc.* | 9,762,668 | |
40,330 | Skyworks Solutions, Inc. | 4,758,133 | |
103,300 | SMART Global Holdings, Inc.* | 1,780,892 | |
6,667 | Synaptics, Inc.* | 741,037 | |
115,080 | Tenable Holdings, Inc.* | 5,467,451 | |
9,282 | Tyler Technologies, Inc.* | 3,291,768 | |
29,700 | Ultra Clean Holdings, Inc.* | 984,852 | |
75,410 | Verra Mobility Corp. Class A* | 1,275,937 | |
75,400 | Xerox Holdings Corp. | 1,161,160 | |
15,894 | Zebra Technologies Corp. Class A* | 5,054,292 | |
172,409,159 | |||
Utilities — 1.6% | |||
44,082 | IDACORP, Inc. | 4,775,403 | |
24,700 | National Fuel Gas Co. | 1,426,178 | |
42,459 | NorthWestern Corp. | 2,456,678 | |
94,200 | NRG Energy, Inc. | 3,230,118 | |
74,107 | Portland General Electric Co. | 3,623,091 | |
59,020 | Southwest Gas Holdings, Inc.* | 3,685,799 | |
345,629 | Vistra Corp. | 8,295,096 | |
27,492,363 | |||
TOTAL COMMON STOCKS (COST $1,422,287,153) | 1,559,716,561 |
Par Value ($) | Description | Value ($) | |
Short-Term Investment — 0.6% | |||
Mutual Fund - Securities Lending Collateral — 0.6% | |||
9,382,530 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(b)(c) | 9,382,530 | |
TOTAL SHORT-TERM INVESTMENT (COST $9,382,530) | 9,382,530 | ||
TOTAL INVESTMENTS — 94.6% (Cost $1,431,669,683) | 1,569,099,091 | ||
Other Assets and Liabilities (net) — 5.4% | 89,731,582 | ||
NET ASSETS — 100.0% | $1,658,830,673 |
Schedule of Investments (Continued)
March 31, 2023
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 March 31, 2023. |
(c) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
340 | Russell 2000 E-mini Index | Jun 2023 | $30,829,500 | $468,484 |
103 | S&P Mid 400 E-mini Index | Jun 2023 | 26,055,910 | 622,153 |
$1,090,637 |
Abbreviations | ||
ADR | — | American Depository Receipt |
REIT | — | Real Estate Investment Trust |
Schedule of Investments (Continued)
March 31, 2023
Asset Class Summary (Unaudited) | % of Net Assets |
Common Stocks | 94.0 |
Futures Contracts | 0.1 |
Short-Term Investment | 0.6 |
Other Assets and Liabilities (net) | 5.3 |
100.0% |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
COMMON STOCKS — 94.3% | |||
Australia — 4.3% | |||
316,506 | AGL Energy, Ltd. | 1,711,815 | |
27,662 | Ampol, Ltd. | 567,310 | |
13,587 | Ansell, Ltd. | 242,036 | |
256,300 | ANZ Group Holdings Ltd. | 3,955,783 | |
36,960 | Aristocrat Leisure, Ltd. | 926,003 | |
3,227,001 | Aurizon Holdings, Ltd. | 7,279,075 | |
681,000 | Bank of Queensland, Ltd.(a) | 2,972,112 | |
2,331,500 | Beach Energy, Ltd. | 2,211,873 | |
180,500 | BHP Group, Ltd. | 5,736,209 | |
464,742 | BlueScope Steel, Ltd. | 6,309,592 | |
192,844 | Brambles, Ltd. | 1,739,347 | |
890,143 | Coles Group, Ltd. | 10,753,477 | |
225,700 | Elders, Ltd. | 1,308,692 | |
194,900 | Fortescue Metals Group, Ltd. | 2,936,586 | |
2,637,987 | Glencore Plc | 15,209,046 | |
1,558,600 | Harvey Norman Holdings, Ltd.(a) | 3,752,020 | |
1,256,900 | Helia Group, Ltd. | 2,415,324 | |
731,800 | Inghams Group, Ltd. | 1,536,563 | |
7,700 | JB Hi-Fi, Ltd. | 219,021 | |
1,489,800 | Metcash, Ltd.(a) | 3,856,250 | |
1,454,500 | Mirvac Group REIT | 2,044,489 | |
72,922 | Origin Energy, Ltd. | 404,861 | |
1,100,031 | Orora, Ltd. | 2,531,720 | |
810,700 | Perenti, Ltd.* | 660,163 | |
91,147 | Qantas Airways, Ltd.* | 405,704 | |
90,636 | Rio Tinto Plc | 6,157,060 | |
236,881 | Rio Tinto Plc, ADR | 16,250,037 | |
235,420 | Rio Tinto, Ltd. | 18,992,264 | |
1,086,423 | South32, Ltd. | 3,228,532 | |
1,011,400 | Stockland REIT | 2,714,795 | |
532,282 | Super Retail Group, Ltd. | 4,494,511 | |
509,094 | Treasury Wine Estates, Ltd. | 4,474,650 | |
56,133 | Viva Energy Group, Ltd. 144A | 113,931 | |
222,222 | Whitehaven Coal, Ltd. | 1,002,578 | |
653,364 | Woodside Energy Group, Ltd.(a) | 14,750,367 | |
151,213 | Woolworths Group, Ltd. | 3,842,254 | |
321,683 | Yancoal Australia, Ltd.(a) | 1,253,165 | |
158,959,215 | |||
Austria — 0.4% | |||
119,931 | ams-OSRAM AG* | 938,446 | |
5,427 | BAWAG Group AG* 144A | 264,362 | |
20,339 | Erste Group Bank AG | 673,954 | |
145,742 | OMV AG | 6,686,796 | |
9,905 | Raiffeisen Bank International AG* | 152,443 | |
206,511 | Wienerberger AG | 5,999,999 | |
14,716,000 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Belgium — 0.7% | |||
66,300 | Ageas SA | 2,871,290 | |
177,164 | Anheuser-Busch InBev SA | 11,834,854 | |
79,250 | Anheuser-Busch InBev SA, ADR | 5,288,352 | |
21,907 | Proximus SADP | 212,238 | |
34,200 | Solvay SA* | 3,924,107 | |
24,130,841 | |||
Brazil — 1.0% | |||
1,219,100 | Petroleo Brasileiro SA | 6,369,303 | |
242,278 | Petroleo Brasileiro SA, ADR | 2,526,959 | |
685,685 | Petroleo Brasileiro SA, Preferred ADR | 6,363,157 | |
430,900 | Vale SA | 6,823,522 | |
143,750 | Wheaton Precious Metals Corp. | 6,913,723 | |
217,206 | Yara International ASA | 9,453,724 | |
38,450,388 | |||
Canada — 2.1% | |||
133,196 | Agnico Eagle Mines, Ltd. | 6,781,102 | |
273,190 | Canadian Pacific Railway, Ltd.(a) | 21,007,783 | |
20,100 | Canadian Tire Corp., Ltd. Class A | 2,619,453 | |
305,200 | Crescent Point Energy Corp. | 2,151,408 | |
181,896 | Franco-Nevada Corp.(a) | 26,495,111 | |
321,768 | GFL Environmental, Inc. | 11,081,690 | |
30,500 | Loblaw Cos., Ltd. | 2,775,841 | |
103,100 | Suncor Energy, Inc. | 3,196,569 | |
76,108,957 | |||
China — 1.1% | |||
1,919,500 | 3SBio, Inc. | 1,909,345 | |
1,310,000 | Bank of China, Ltd. Class H | 501,428 | |
15,892,000 | China Construction Bank Corp. Class H | 10,279,726 | |
1,310,000 | China Medical System Holdings, Ltd. | 2,075,512 | |
3,542,000 | China Resources Cement Holdings, Ltd. | 1,746,099 | |
815,000 | Hengan International Group Co., Ltd. | 3,765,976 | |
4,087,000 | Industrial & Commercial Bank of China, Ltd. Class H | 2,175,858 | |
370,500 | Kingboard Holdings, Ltd. | 1,140,626 | |
1,940,000 | Lee & Man Paper Manufacturing, Ltd. | 773,353 | |
1,334,500 | Li Ning Co., Ltd. | 10,518,700 | |
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 1,170,209 | |
327,000 | SITC International Holdings Co., Ltd. | 702,776 | |
1,088,000 | Xinyi Glass Holdings, Ltd. | 1,945,904 | |
3,951,600 | Yangzijiang Shipbuilding Holdings, Ltd. | 3,583,005 | |
42,288,517 | |||
Denmark — 2.0% | |||
387 | AP Moller - Maersk AS Class A | 686,501 | |
2,065 | AP Moller - Maersk AS Class B | 3,749,227 | |
1,487 | D/S Norden AS | 100,042 | |
181,400 | Danske Bank AS* | 3,655,168 | |
71,900 | DFDS AS | 2,913,651 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Denmark — continued | |||
51,760 | Jyske Bank AS* | 3,637,801 | |
290,014 | Novo Nordisk AS Class B | 46,108,991 | |
115,327 | Novozymes AS Class B | 5,918,431 | |
47,900 | Pandora AS | 4,599,041 | |
68,633 | Sydbank AS | 3,099,299 | |
74,468,152 | |||
Finland — 0.8% | |||
1,500 | Konecranes OYJ | 50,259 | |
1,658,619 | Nokia OYJ | 8,169,418 | |
349,153 | Nordea Bank Abp | 3,737,255 | |
892,833 | Nordea Bank Abp (Stockholm Exchange)(a) | 9,537,426 | |
97,800 | TietoEVRY OYJ | 3,074,726 | |
108,800 | Valmet OYJ(a) | 3,538,237 | |
28,107,321 | |||
France — 10.1% | |||
91,933 | Air Liquide SA | 15,429,173 | |
108,685 | Airbus SE | 14,586,305 | |
32,000 | Arkema SA | 3,170,833 | |
146,709 | AXA SA | 4,493,962 | |
302,889 | BNP Paribas SA | 18,148,284 | |
158,600 | Bouygues SA(a) | 5,358,830 | |
610,990 | Bureau Veritas SA | 17,588,007 | |
117,882 | Capgemini SE | 21,966,197 | |
475,873 | Carrefour SA | 9,637,455 | |
98,400 | Cie de Saint-Gobain | 5,612,744 | |
331,552 | Cie Generale des Etablissements Michelin SCA | 10,166,324 | |
456,200 | Credit Agricole SA(a) | 5,166,672 | |
234,592 | Dassault Systemes SE | 9,706,059 | |
506,456 | Engie SA | 8,023,851 | |
132,333 | EssilorLuxottica SA | 23,932,552 | |
52,300 | Ipsen SA | 5,775,047 | |
68,700 | IPSOS | 4,264,403 | |
225,621 | Legrand SA | 20,674,511 | |
23,350 | L'Oreal SA | 10,465,619 | |
32,732 | LVMH Moet Hennessy Louis Vuitton SE | 30,051,433 | |
125,400 | Metropole Television SA(a) | 2,038,699 | |
36,500 | Nexity SA | 920,094 | |
1,822,824 | Orange SA | 21,698,048 | |
121,272 | Pernod Ricard SA | 27,527,192 | |
35,500 | Quadient SA | 649,194 | |
220,900 | Rexel SA* | 5,289,649 | |
44,300 | Societe BIC SA | 2,798,535 | |
309,094 | Societe Generale SA | 6,989,641 | |
18,000 | Sopra Steria Group SACA | 3,793,266 | |
219,200 | Television Francaise 1 | 1,938,042 | |
910,412 | TotalEnergies SE(a) | 53,813,406 | |
371,674,027 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Georgia — 0.0% | |||
45,361 | Bank of Georgia Group Plc | 1,541,623 | |
Germany — 8.5% | |||
36,571 | adidas AG | 6,468,630 | |
20,800 | Allianz SE | 4,810,148 | |
41,700 | Aurubis AG | 3,855,166 | |
458,677 | Bayer AG | 29,268,438 | |
76,447 | Beiersdorf AG | 9,963,185 | |
284,258 | BMW AG | 31,179,869 | |
1,327 | Brenntag SE | 99,799 | |
6,807 | Continental AG | 509,679 | |
82,700 | Covestro AG | 3,426,694 | |
97,796 | Daimler Truck Holding AG* | 3,308,793 | |
94,727 | Deutsche Boerse AG | 18,469,058 | |
355,244 | Deutsche Lufthansa AG* | 3,959,686 | |
171,100 | Deutsche Pfandbriefbank AG | 1,484,802 | |
334,651 | Deutsche Post AG | 15,659,741 | |
857,862 | Deutsche Telekom AG | 20,815,552 | |
3,323 | Duerr AG | 119,286 | |
388,483 | E.ON SE | 4,854,555 | |
265,929 | Evonik Industries AG | 5,593,144 | |
23,299 | Fresenius Medical Care AG & Co. KGaA | 989,851 | |
349,710 | Fresenius SE & Co. KGaA | 9,443,957 | |
172,114 | GEA Group AG | 7,846,053 | |
12,304 | HeidelbergCement AG | 899,072 | |
29,462 | Henkel AG & Co. KGaA | 2,146,299 | |
3,553 | HUGO BOSS AG | 255,248 | |
486,630 | Infineon Technologies AG | 19,926,562 | |
74,449 | Knorr-Bremse AG | 4,958,057 | |
47,128 | LEG Immobilien SE | 2,585,099 | |
440,492 | Mercedes-Benz Group AG | 33,898,461 | |
3,670 | MTU Aero Engines AG | 919,415 | |
6,300 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 2,207,331 | |
202,205 | Puma SE | 12,493,185 | |
12,760 | Rheinmetall AG | 3,797,375 | |
103,209 | RWE AG | 4,444,796 | |
177,300 | SAP SE | 22,343,948 | |
27,377 | Siltronic AG | 1,998,839 | |
68,645 | Symrise AG Class A | 7,470,774 | |
197,364 | TAG Immobilien AG | 1,367,528 | |
42,000 | Talanx AG* | 1,946,849 | |
106,800 | United Internet AG | 1,841,868 | |
203,903 | Vonovia SE | 3,841,379 | |
60,177 | Zalando SE* | 2,522,885 | |
313,991,056 | |||
Hong Kong — 0.7% | |||
1,576,200 | AIA Group, Ltd. | 16,561,628 | |
15,600 | ASMPT, Ltd. | 154,418 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Hong Kong — continued | |||
213,000 | Pacific Basin Shipping, Ltd. | 82,691 | |
9,510,000 | Tongda Group Holdings, Ltd.* | 139,974 | |
1,834,000 | United Laboratories International Holdings, Ltd. (The) | 1,271,597 | |
9,635,000 | WH Group, Ltd. 144A | 5,726,695 | |
23,937,003 | |||
Hungary — 0.1% | |||
384,700 | MOL Hungarian Oil & Gas Plc | 2,817,516 | |
95,800 | Richter Gedeon Nyrt | 2,004,383 | |
4,821,899 | |||
India — 0.4% | |||
691,960 | HDFC Bank, Ltd. | 13,599,300 | |
1,172,100 | Redington, Ltd. | 2,391,289 | |
15,990,589 | |||
Indonesia — 0.0% | |||
7,888,300 | Golden Agri-Resources, Ltd. | 1,694,725 | |
Ireland — 1.1% | |||
3,020,080 | AIB Group Plc(a) | 12,322,752 | |
1,155,221 | Bank of Ireland Group Plc | 11,710,870 | |
170,676 | CRH Plc | 8,641,162 | |
81,630 | Ryanair Holdings Plc, ADR* | 7,696,893 | |
40,371,677 | |||
Israel — 0.4% | |||
209,233 | Bank Hapoalim BM | 1,740,155 | |
316,972 | Bank Leumi Le-Israel BM | 2,394,129 | |
126,656 | Bezeq The Israeli Telecommunication Corp., Ltd. | 172,447 | |
23,882 | Check Point Software Technologies, Ltd.* | 3,104,660 | |
42,386 | ICL Group, Ltd. | 286,366 | |
233 | Israel Corp., Ltd. (The) | 76,699 | |
249,942 | Israel Discount Bank, Ltd. Class A | 1,227,892 | |
47,772 | Mizrahi Tefahot Bank, Ltd. | 1,497,182 | |
13,316 | Nice, Ltd., ADR* | 3,047,899 | |
210,300 | Teva Pharmaceutical Industries, Ltd.* | 1,864,299 | |
4,557 | ZIM Integrated Shipping Services, Ltd. | 107,454 | |
15,519,182 | |||
Italy — 2.4% | |||
3,024,100 | A2A SpA(a) | 4,841,299 | |
88,540 | Assicurazioni Generali SpA | 1,770,630 | |
64,593 | Azimut Holding SpA(a) | 1,386,358 | |
121,310 | Banca Mediolanum SpA | 1,103,752 | |
27,085 | Banca Popolare di Sondrio SpA | 115,432 | |
92,178 | Banco BPM SpA | 361,845 | |
135,072 | Coca-Cola HBC AG* | 3,703,448 | |
1,662,873 | Eni SpA | 23,335,066 | |
7,282 | Eni SpA, ADR | 203,896 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Italy — continued | |||
56,230 | Ferrari NV | 15,256,643 | |
135,241 | Iveco Group NV* | 1,284,814 | |
989,706 | Leonardo SpA | 11,648,676 | |
340,700 | Mediobanca Banca di Credito Finanziario SpA | 3,436,884 | |
262,370 | Poste Italiane SpA 144A | 2,690,305 | |
574,748 | UniCredit SpA | 10,905,580 | |
729,363 | Unipol Gruppo SpA | 3,758,435 | |
1,274,300 | UnipolSai Assicurazioni SpA(a) | 3,227,287 | |
89,030,350 | |||
Japan — 19.5% | |||
25,300 | ADEKA Corp.(a) | 431,637 | |
20,800 | Advantest Corp.(a) | 1,922,572 | |
300 | Aeon Co., Ltd.(a) | 5,802 | |
2,500 | AEON REIT Investment Corp. REIT | 2,729,755 | |
247,000 | AGC, Inc. | 9,185,323 | |
37,100 | Air Water, Inc. | 464,611 | |
4,900 | Aisin Corp.(a) | 134,719 | |
11,000 | Ajinomoto Co., Inc. | 381,892 | |
68,400 | Alpen Co., Ltd.(a) | 1,026,687 | |
12,900 | Alps Alpine Co., Ltd.(a) | 123,773 | |
133,800 | Amada Co., Ltd. | 1,251,965 | |
122,700 | Amano Corp. | 2,311,019 | |
106,600 | Asahi Group Holdings, Ltd. | 3,959,325 | |
85,400 | ASKA Pharmaceutical Holdings Co., Ltd.(a) | 765,744 | |
343,400 | Astellas Pharma, Inc. | 4,873,094 | |
331,700 | BayCurrent Consulting, Inc. | 13,730,633 | |
184,900 | Brother Industries, Ltd. | 2,782,417 | |
272,200 | Canon, Inc. | 6,091,519 | |
13,500 | Canon, Inc., ADR | 300,375 | |
820,194 | Chiba Bank, Ltd. (The)(a) | 5,283,874 | |
397,100 | Chubu Electric Power Co., Inc. | 4,180,889 | |
28,700 | Chudenko Corp.(a) | 461,515 | |
4,700 | Cosmo Energy Holdings Co., Ltd. | 152,205 | |
261,600 | Credit Saison Co., Ltd.(a) | 3,320,530 | |
545,600 | Daicel Corp. | 4,106,147 | |
354,500 | Dai-ichi Life Holdings, Inc.(a) | 6,498,074 | |
118,900 | Daiwa House Industry Co., Ltd. | 2,794,280 | |
50,100 | DIC Corp. | 899,807 | |
63,300 | Disco Corp. | 7,347,302 | |
52,800 | Eagle Industry Co., Ltd. | 473,439 | |
275,800 | EDION Corp.(a) | 2,658,140 | |
99,200 | Electric Power Development Co., Ltd. | 1,591,687 | |
1,251,100 | ENEOS Holdings, Inc. | 4,377,862 | |
16,200 | Enplas Corp. | 597,833 | |
121,100 | Ezaki Glico Co., Ltd. | 3,039,777 | |
59,000 | Fast Retailing Co., Ltd. | 12,869,301 | |
98,300 | FUJIFILM Holdings Corp. | 4,981,719 | |
48,700 | Fujikura, Ltd. | 344,850 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Japan — continued | |||
20,200 | Fujitsu, Ltd. | 2,723,872 | |
195,000 | Fukuoka Financial Group, Inc. | 3,743,412 | |
87,100 | Furukawa Co., Ltd.(a) | 839,139 | |
28,700 | Futaba Industrial Co., Ltd.(a) | 92,318 | |
407,694 | Hachijuni Bank, Ltd. (The) | 1,767,928 | |
326,100 | Hazama Ando Corp.(a) | 2,103,885 | |
89,700 | Hirose Electric Co., Ltd. | 11,709,089 | |
73,300 | Hitachi, Ltd. | 4,019,546 | |
132,800 | Hokkaido Electric Power Co., Inc.* | 486,298 | |
1,171,400 | Honda Motor Co., Ltd.(a) | 31,086,354 | |
26,620 | Honda Motor Co., Ltd., ADR | 705,164 | |
57,700 | Horiba, Ltd. | 3,451,701 | |
41,200 | Hoya Corp. | 4,545,244 | |
69,900 | Ichinen Holdings Co., Ltd.(a) | 666,223 | |
12,800 | Idemitsu Kosan Co., Ltd.(a) | 279,260 | |
477,000 | Inpex Corp. | 5,063,293 | |
256,000 | Isuzu Motors, Ltd. | 3,056,719 | |
61,200 | Ito En, Ltd.(a) | 1,999,534 | |
169,300 | ITOCHU Corp.(a) | 5,499,865 | |
56,900 | Jaccs Co., Ltd. | 1,886,092 | |
90,800 | Japan Airlines Co., Ltd. | 1,766,311 | |
153,300 | Japan Aviation Electronics Industry, Ltd.(a) | 2,661,554 | |
108,700 | Japan Petroleum Exploration Co., Ltd.(a) | 3,653,818 | |
587,900 | Japan Post Holdings Co., Ltd. | 4,772,302 | |
267,800 | Japan Post Insurance Co., Ltd. | 4,171,076 | |
101,200 | Japan Tobacco, Inc. | 2,130,937 | |
3,100 | JTEKT Corp. | 23,914 | |
12,500 | Kaken Pharmaceutical Co., Ltd. | 348,013 | |
106,500 | Kamigumi Co., Ltd. | 2,230,436 | |
278,400 | Kandenko Co., Ltd. | 1,958,840 | |
70,000 | Kaneka Corp. | 1,824,012 | |
282,500 | Kanematsu Corp.(a) | 3,497,777 | |
46,200 | Kansai Electric Power Co., Inc. (The) | 448,995 | |
195,500 | Kansai Paint Co., Ltd. | 2,638,590 | |
129,700 | Kao Corp. | 5,052,388 | |
20,100 | Kato Sangyo Co., Ltd. | 532,323 | |
411,300 | Kawasaki Heavy Industries, Ltd.(a) | 8,978,388 | |
272,500 | Kawasaki Kisen Kaisha, Ltd.(a) | 6,223,259 | |
142,200 | KDDI Corp. | 4,380,959 | |
40,500 | Keyence Corp. | 19,808,801 | |
337,900 | Kirin Holdings Co., Ltd. | 5,334,772 | |
15,500 | Kissei Pharmaceutical Co., Ltd.(a) | 308,604 | |
19,300 | Kobayashi Pharmaceutical Co., Ltd. | 1,176,225 | |
267,600 | Kobe Steel, Ltd. | 2,129,983 | |
76,200 | Kohnan Shoji Co., Ltd.(a) | 1,861,801 | |
31,200 | Konica Minolta, Inc.(a) | 133,888 | |
18,586 | Kose Corp. | 2,202,331 | |
343,600 | K's Holdings Corp.(a) | 3,009,983 | |
8,800 | Kubota Corp. | 132,987 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Japan — continued | |||
147,700 | Kuraray Co., Ltd. | 1,355,343 | |
35,700 | KYB Corp. | 1,083,832 | |
152,100 | Kyocera Corp. | 7,915,612 | |
276,000 | Lion Corp.(a) | 2,973,853 | |
513,700 | Marubeni Corp. | 6,966,471 | |
63,400 | Maxell, Ltd. | 735,743 | |
35,000 | Mazda Motor Corp. | 325,084 | |
1,098,700 | Mebuki Financial Group, Inc. | 2,687,379 | |
23,000 | MEIJI Holdings Co., Ltd.(a) | 545,681 | |
513,900 | Mitsubishi Chemical Group Corp. | 3,050,474 | |
34,300 | Mitsubishi Corp. | 1,230,240 | |
501,600 | Mitsubishi Electric Corp. | 5,976,653 | |
196,500 | Mitsubishi Gas Chemical Co., Inc. | 2,911,949 | |
682,200 | Mitsubishi HC Capital, Inc. | 3,517,585 | |
253,200 | Mitsubishi Heavy Industries, Ltd. | 9,314,199 | |
28,100 | Mitsubishi Materials Corp.(a) | 457,302 | |
38,500 | Mitsubishi Motors Corp.*(a) | 151,833 | |
1,183,300 | Mitsubishi UFJ Financial Group, Inc. | 7,574,324 | |
264,500 | Mitsui & Co., Ltd. | 8,223,619 | |
92,400 | Mitsui Chemicals, Inc.(a) | 2,380,195 | |
505,500 | Mitsui OSK Lines, Ltd.(a) | 12,619,793 | |
27,800 | Mixi, Inc. | 557,594 | |
613,900 | Mizuho Financial Group, Inc. | 8,685,729 | |
91,200 | Mizuho Leasing Co., Ltd.(a) | 2,413,357 | |
31,500 | Mochida Pharmaceutical Co., Ltd.(a) | 793,248 | |
618,100 | MonotaRO Co., Ltd. | 7,752,152 | |
131,000 | MS&AD Insurance Group Holdings, Inc. | 4,058,293 | |
73,000 | Murata Manufacturing Co., Ltd. | 4,447,111 | |
16,100 | Nachi-Fujikoshi Corp. | 479,733 | |
5,800 | Nagase & Co., Ltd.(a) | 89,114 | |
118,100 | NEC Corp. | 4,548,914 | |
111,900 | NGK Insulators, Ltd.(a) | 1,477,864 | |
20,600 | NGK Spark Plug Co., Ltd.(a) | 425,020 | |
11,800 | NHK Spring Co., Ltd. | 84,531 | |
45,200 | Nikon Corp.(a) | 462,166 | |
219,400 | Nippon Electric Glass Co., Ltd. | 4,218,394 | |
12,400 | NIPPON EXPRESS HOLDINGS, Inc. | 745,513 | |
49,200 | Nippon Gas Co., Ltd. | 713,343 | |
42,300 | Nippon Sanso Holdings Corp.(a) | 761,742 | |
126,900 | Nippon Soda Co., Ltd. | 4,415,067 | |
324,100 | Nippon Steel Corp. | 7,630,841 | |
347,400 | Nippon Telegraph & Telephone Corp. | 10,351,410 | |
216,900 | Nippon Yusen KK(a) | 5,056,364 | |
130,700 | Nishio Rent All Co., Ltd.(a) | 3,055,218 | |
144,100 | Nissan Motor Co., Ltd.(a) | 546,922 | |
4,800 | Nissin Foods Holdings Co., Ltd. | 437,967 | |
42,300 | Nitto Denko Corp. | 2,727,156 | |
1,934,900 | Nomura Holdings, Inc. | 7,451,630 | |
294,600 | Nomura Research Institute, Ltd. | 6,834,474 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Japan — continued | |||
611,141 | North Pacific Bank, Ltd. | 1,283,095 | |
4,600 | NS Solutions Corp. | 122,746 | |
61,800 | NSK, Ltd.(a) | 352,707 | |
22,000 | NTT Data Corp. | 288,659 | |
430,000 | Obayashi Corp. | 3,283,967 | |
5,700 | Obic Co., Ltd. | 899,091 | |
238,300 | Ono Pharmaceutical Co., Ltd. | 4,959,755 | |
594,400 | ORIX Corp. | 9,779,999 | |
169,800 | Osaka Gas Co., Ltd. | 2,785,295 | |
72,000 | Otsuka Holdings Co., Ltd. | 2,290,111 | |
30,200 | Prima Meat Packers, Ltd.(a) | 500,569 | |
73,300 | Renesas Electronics Corp.* | 1,061,700 | |
209,500 | Rengo Co., Ltd.(a) | 1,355,322 | |
2,740,200 | Resona Holdings, Inc. | 13,214,838 | |
160,500 | Ricoh Co., Ltd. | 1,201,159 | |
35,700 | Rohm Co., Ltd. | 2,966,614 | |
632,600 | Rohto Pharmaceutical Co., Ltd. | 13,193,232 | |
1,500 | Sanken Electric Co., Ltd. | 120,099 | |
115,700 | Sanki Engineering Co., Ltd.(a) | 1,276,252 | |
2,500 | Sankyo Co., Ltd. | 104,123 | |
53,700 | Sankyu, Inc. | 1,988,351 | |
145,900 | Santen Pharmaceutical Co., Ltd.(a) | 1,242,000 | |
8,400 | Sanyo Chemical Industries, Ltd. | 270,484 | |
40,100 | Sawai Group Holdings Co., Ltd. | 1,101,676 | |
2,500 | SCREEN Holdings Co., Ltd.(a) | 220,958 | |
165,600 | Seiko Epson Corp.(a) | 2,350,720 | |
145,900 | Seino Holdings Co., Ltd. | 1,605,191 | |
100,900 | Sekisui Chemical Co., Ltd. | 1,427,946 | |
14,400 | Sekisui House, Ltd. | 292,738 | |
45,900 | Seven & i Holdings Co., Ltd. | 2,065,643 | |
407,400 | Shimadzu Corp. | 12,749,442 | |
335,000 | Shin-Etsu Chemical Co., Ltd. | 10,839,859 | |
378,600 | SKY Perfect JSAT Holdings, Inc. | 1,476,007 | |
21,900 | SMC Corp. | 11,583,828 | |
345,840 | Sojitz Corp.(a) | 7,212,211 | |
109,400 | Sompo Holdings, Inc. | 4,331,577 | |
145,000 | Subaru Corp. | 2,315,428 | |
1,016,300 | SUMCO Corp. | 15,251,147 | |
19,600 | Sumitomo Bakelite Co., Ltd. | 764,480 | |
93,000 | Sumitomo Chemical Co., Ltd.(a) | 312,089 | |
137,200 | Sumitomo Corp. | 2,424,242 | |
81,000 | Sumitomo Electric Industries, Ltd. | 1,038,248 | |
217,100 | Sumitomo Forestry Co., Ltd. | 4,285,222 | |
175,500 | Sumitomo Heavy Industries, Ltd. | 4,293,720 | |
182,300 | Sumitomo Mitsui Financial Group, Inc.(a) | 7,292,472 | |
158,100 | Sumitomo Mitsui Trust Holdings, Inc. | 5,403,463 | |
330,400 | Sumitomo Rubber Industries, Ltd. | 2,983,931 | |
26,200 | Sumitomo Seika Chemicals Co., Ltd. | 856,073 | |
10,400 | Suntory Beverage & Food, Ltd. | 386,670 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Japan — continued | |||
4,200 | Suzuken Co. Ltd. | 105,825 | |
41,300 | Taiheiyo Cement Corp.(a) | 774,167 | |
14,000 | Takara Standard Co., Ltd. | 155,046 | |
231,900 | Takeda Pharmaceutical Co., Ltd. | 7,598,875 | |
148,911 | Takeda Pharmaceutical Co., Ltd., ADR | 2,454,053 | |
440,100 | Teijin, Ltd. | 4,633,910 | |
31,000 | Terumo Corp. | 834,910 | |
8,600 | Toagosei Co., Ltd. | 79,912 | |
71,000 | Tokio Marine Holdings, Inc. | 1,365,725 | |
195,800 | Tokuyama Corp.(a) | 3,110,972 | |
425,400 | Tokyo Electric Power Co. Holdings, Inc.* | 1,514,666 | |
53,700 | Tokyo Electron, Ltd. | 6,550,458 | |
308,400 | Tokyo Gas Co., Ltd. | 5,793,561 | |
12,100 | Tokyo Ohka Kogyo Co., Ltd. | 703,170 | |
85,000 | Tokyo Seimitsu Co., Ltd. | 3,288,237 | |
34,300 | TOPPAN, Inc. | 689,329 | |
113,400 | Toray Industries, Inc. | 646,779 | |
51,500 | Tosoh Corp. | 698,081 | |
54,000 | Towa Pharmaceutical Co., Ltd.(a) | 770,951 | |
54,200 | Toyo Ink SC Holdings Co., Ltd. | 839,591 | |
8,100 | Toyo Seikan Group Holdings, Ltd.(a) | 111,559 | |
234,000 | Toyo Suisan Kaisha, Ltd. | 9,788,640 | |
11,600 | Toyo Tanso Co., Ltd. | 359,895 | |
13,000 | Toyota Tsusho Corp. | 552,798 | |
40,400 | Trend Micro, Inc. | 1,976,008 | |
251,500 | TS Tech Co., Ltd. | 3,186,939 | |
16,600 | Tsubakimoto Chain Co. | 403,087 | |
15,500 | UACJ Corp.(a) | 308,662 | |
126,300 | UBE Corp. | 1,956,145 | |
143,200 | Ushio, Inc.(a) | 1,803,049 | |
25,700 | Valor Holdings Co., Ltd. | 373,122 | |
26,900 | Warabeya Nichiyo Holdings Co., Ltd. | 366,595 | |
4,200 | Yakult Honsha Co., Ltd. | 304,616 | |
233,500 | Yamaha Motor Co., Ltd. | 6,104,197 | |
36,200 | Yamaichi Electronics Co., Ltd.(a) | 538,057 | |
267,000 | Yokogawa Electric Corp. | 4,335,697 | |
199,400 | Yokohama Rubber Co., Ltd. (The) | 4,209,829 | |
719,480,589 | |||
Luxembourg — 0.2% | |||
213,015 | ArcelorMittal SA | 6,470,997 | |
Malaysia — 0.1% | |||
1,152,700 | Tenaga Nasional Bhd | 2,411,781 | |
Malta — 0.0% | |||
14,746 | Kindred Group Plc, SDR | 165,020 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Netherlands — 5.6% | |||
287,500 | ABN AMRO Bank NV CVA, GDR | 4,574,845 | |
8,329 | Adyen NV* | 13,230,347 | |
666,700 | Aegon NV | 2,870,346 | |
8,523 | ASM International NV | 3,467,348 | |
52,397 | ASML Holding NV | 35,866,979 | |
10,298 | ASML Holding NV, ADR NYRS | 7,009,952 | |
76,928 | ASR Nederland NV | 3,072,123 | |
94,774 | Euronext NV | 7,270,100 | |
9,331 | Heineken Holding NV | 858,663 | |
3,003 | Heineken NV | 323,869 | |
338,300 | ING Groep NV | 4,032,017 | |
318,100 | Koninklijke Ahold Delhaize NV | 10,900,315 | |
112,378 | Koninklijke DSM NV | 13,306,128 | |
116,900 | Koninklijke Philips NV | 2,137,948 | |
318,729 | NN Group NV | 11,585,068 | |
67,254 | Randstad NV(a) | 3,999,755 | |
1,118,642 | Shell Plc | 32,107,111 | |
598,901 | Shell Plc (Amsterdam Exchange) | 17,247,454 | |
690,600 | Universal Music Group NV(a) | 17,489,082 | |
118,951 | Wolters Kluwer NV | 15,037,298 | |
206,386,748 | |||
Norway — 0.3% | |||
100,400 | Austevoll Seafood ASA | 899,882 | |
172,500 | DNB Bank ASA | 3,093,207 | |
113,576 | Equinor ASA | 3,228,991 | |
29,191 | Equinor ASA, ADR | 829,900 | |
85,044 | Norsk Hydro ASA | 635,770 | |
377,400 | Orkla ASA | 2,679,994 | |
11,367,744 | |||
Philippines — 0.0% | |||
1,347,180 | Vista Land & Lifescapes, Inc. | 42,435 | |
Portugal — 0.1% | |||
290,426 | Banco Comercial Portugues SA Class R | 64,544 | |
301,480 | Galp Energia SGPS SA | 3,426,712 | |
16,514 | Jeronimo Martins SGPS SA | 387,965 | |
907,300 | Sonae SGPS SA | 991,914 | |
4,871,135 | |||
Russia — 0.0% | |||
3,792,080 | Gazprom PJSC(b)(c)(d) | 113,226 | |
113,778 | LUKOIL PJSC(b)(c)(d) | 72,923 | |
8,430 | MMC Norilsk Nickel PJSC(b)(c)(d) | 21,699 | |
18,119 | Novatek PJSC(b)(c)(d) | 2,868 | |
169,349 | Rosneft Oil Co. PJSC(b)(c)(d) | 6,539 | |
1,092,670 | Sberbank of Russia PJSC*(b)(c)(d) | 18,281 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Russia — continued | |||
296,674 | Tatneft PJSC(b)(c)(d) | 14,051 | |
249,587 | |||
Singapore — 0.3% | |||
390,100 | Genting Singapore, Ltd. | 329,168 | |
41,749 | STMicroelectronics NV | 2,237,426 | |
40,618 | STMicroelectronics NV (New York Stock Exchange) | 2,176,243 | |
259,300 | United Overseas Bank, Ltd. | 5,823,785 | |
112,800 | Venture Corp., Ltd. | 1,503,947 | |
12,070,569 | |||
South Africa — 0.4% | |||
17,400 | Anglo American Platinum, Ltd.(a) | 938,338 | |
379,068 | Anglo American Plc | 12,575,196 | |
1,003,000 | Old Mutual, Ltd. | 657,936 | |
52,305 | Tiger Brands, Ltd.(a) | 590,908 | |
14,762,378 | |||
South Korea — 1.3% | |||
101,210 | Doosan Bobcat, Inc. | 3,417,161 | |
1,496 | Hyundai Mobis Co., Ltd. | 249,554 | |
17,844 | Hyundai Motor Co. | 2,546,129 | |
143,403 | Kia Corp. | 8,982,157 | |
580,628 | Samsung Electronics Co., Ltd. | 28,792,363 | |
72,400 | SK Telecom Co., Ltd. | 2,691,802 | |
46,679,166 | |||
Spain — 2.5% | |||
157,358 | Amadeus IT Group SA* | 10,555,111 | |
384,863 | Banco Bilbao Vizcaya Argentaria SA(a) | 2,754,496 | |
48,347 | Banco Bilbao Vizcaya Argentaria SA, ADR | 340,846 | |
136,289 | Banco de Sabadell SA(a) | 146,792 | |
4,105,191 | Banco Santander SA | 15,320,176 | |
102,501 | Banco Santander SA, ADR | 378,229 | |
2,949,125 | CaixaBank SA | 11,502,000 | |
349,727 | Cellnex Telecom SA | 13,637,878 | |
1,328,664 | Iberdrola SA* | 16,579,950 | |
20,191 | Let's GOWEX SA*(b)(c) | — | |
1,599,120 | Mapfre SA* | 3,231,774 | |
481,400 | Mediaset Espana Comunicacion SA*(a) | 1,574,814 | |
885,118 | Repsol SA | 13,649,432 | |
599,123 | Telefonica SA | 2,589,978 | |
92,261,476 | |||
Sweden — 2.2% | |||
13,641 | Betsson AB Class B * | 129,808 | |
129,900 | Boliden AB | 5,113,747 | |
417,463 | Electrolux AB Class B (a) | 5,070,694 | |
360,112 | Epiroc AB Class A | 7,157,015 | |
360,584 | Essity AB Class B (a) | 10,320,911 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Sweden — continued | |||
537,896 | H & M Hennes & Mauritz AB Class B (a) | 7,687,475 | |
869,534 | Hexagon AB Class B | 10,015,097 | |
168,600 | Husqvarna AB Class B | 1,466,361 | |
490,442 | Securitas AB Class B (a) | 4,376,851 | |
370,500 | SKF AB Class B | 7,317,705 | |
305,697 | Svenska Cellulosa AB SCA Class B (a) | 4,023,917 | |
242,800 | Swedbank AB Class A (a) | 3,988,324 | |
2,292,411 | Telia Co. AB(a) | 5,830,428 | |
390,400 | Volvo AB Class B (a) | 8,059,747 | |
80,558,080 | |||
Switzerland — 5.8% | |||
25,195 | ABB, Ltd. | 865,313 | |
41,871 | ABB, Ltd., ADR | 1,436,175 | |
76,200 | Adecco Group AG | 2,777,679 | |
87,919 | Alcon, Inc. | 6,247,531 | |
966 | Baloise Holding AG | 150,963 | |
5,435 | Bucher Industries AG | 2,545,020 | |
257 | Chocoladefabriken Lindt & Spruengli AG | 3,045,191 | |
33,072 | Cie Financiere Richemont SA Class A | 5,309,595 | |
358,000 | Credit Suisse Group AG(a) | 323,051 | |
10,698 | Geberit AG | 5,991,651 | |
2,482 | Givaudan SA | 8,100,221 | |
25,000 | Helvetia Holding AG | 3,494,143 | |
199,277 | Julius Baer Group, Ltd. | 13,665,282 | |
34,545 | Lonza Group AG | 20,809,454 | |
618,403 | Novartis AG | 56,859,415 | |
46,809 | Schindler Holding AG | 10,370,486 | |
4,377 | SGS SA | 9,630,987 | |
55,583 | Sika AG | 15,625,286 | |
29,133 | Swatch Group AG (The) | 10,032,497 | |
25,598 | Swatch Group AG (The) (SIX Swiss Exchange) | 1,624,397 | |
10,618 | Swiss Life Holding AG | 6,557,378 | |
1,294,919 | UBS Group AG | 27,385,615 | |
212,847,330 | |||
Taiwan — 1.1% | |||
1,758,000 | ASE Technology Holding Co., Ltd. | 6,505,506 | |
1,513,000 | Chipbond Technology Corp. | 3,452,447 | |
1,714,000 | Compeq Manufacturing Co., Ltd. | 2,621,436 | |
1,210,650 | Fubon Financial Holding Co., Ltd. | 2,258,878 | |
64,000 | Grape King Bio, Ltd. | 379,212 | |
780,000 | Hon Hai Precision Industry Co., Ltd. | 2,675,696 | |
95,000 | MediaTek, Inc. | 2,479,838 | |
201,000 | Novatek Microelectronics Corp. | 2,860,039 | |
157,259 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 14,628,232 | |
2,199,000 | United Microelectronics Corp.* | 3,856,909 | |
41,718,193 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Thailand — 0.0% | |||
10,006,800 | Quality Houses PCL Class F | 696,482 | |
Turkey — 0.6% | |||
1,021,683 | Aselsan Elektronik Sanayi Ve Ticaret AS | 2,751,881 | |
663,400 | BIM Birlesik Magazalar AS | 5,124,658 | |
280,700 | Coca-Cola Icecek AS | 2,969,444 | |
26,070 | Dogan Sirketler Grubu Holding AS | 12,625 | |
8,449 | Dogus Otomotiv Servis ve Ticaret AS | 53,637 | |
745,634 | Enerjisa Enerji AS 144A | 1,059,808 | |
853,737 | Enka Insaat ve Sanayi AS | 1,297,681 | |
161,943 | Haci Omer Sabanci Holding AS | 332,559 | |
58,696 | Migros Ticaret AS* | 510,654 | |
16,550 | Tofas Turk Otomobil Fabrikasi AS | 160,424 | |
564,485 | Turk Hava Yollari AO* | 3,471,293 | |
971,903 | Turk Telekomunikasyon AS | 839,119 | |
468,860 | Turkiye Garanti Bankasi AS | 677,447 | |
211,559 | Turkiye Is Bankasi AS Class C | 142,201 | |
476,525 | Turkiye Sise ve Cam Fabrikalari AS | 1,046,336 | |
20,449,767 | |||
United Kingdom — 8.8% | |||
397,907 | 3i Group Plc | 8,316,214 | |
180,900 | Associated British Foods Plc | 4,351,656 | |
179,810 | AstraZeneca Plc | 25,015,316 | |
504,900 | Aviva Plc | 2,529,549 | |
513,900 | B&M European Value Retail SA | 3,073,174 | |
485,400 | BAE Systems Plc | 5,898,106 | |
482,200 | Balfour Beatty Plc | 2,221,121 | |
4,950,607 | Barclays Plc | 8,959,079 | |
288,541 | Barclays Plc, ADR | 2,074,610 | |
280,200 | Barratt Developments Plc | 1,621,706 | |
54,979 | Bellway Plc | 1,503,228 | |
1,208,153 | BP Plc | 7,666,422 | |
591,463 | BP Plc, ADR | 22,440,106 | |
235,600 | British American Tobacco Plc | 8,275,619 | |
60,095 | British American Tobacco Plc, ADR | 2,110,536 | |
1,821,700 | BT Group Plc | 3,285,465 | |
2,196,700 | Centrica Plc | 2,885,473 | |
759,500 | CK Hutchison Holdings, Ltd. | 4,716,040 | |
262,400 | CNH Industrial NV | 4,021,238 | |
555,190 | Compass Group Plc | 13,991,917 | |
208,800 | Crest Nicholson Holdings Plc | 564,277 | |
46,800 | Croda International Plc | 3,767,839 | |
992,500 | Currys Plc | 721,150 | |
403,065 | Diageo Plc | 18,030,516 | |
270,159 | Hiscox, Ltd. | 3,711,529 | |
2,746,400 | HSBC Holdings Plc | 18,678,664 | |
661,137 | IMI Plc | 12,546,865 | |
229,500 | Imperial Brands Plc | 5,290,041 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United Kingdom — continued | |||
147,238 | Intertek Group Plc | 7,396,788 | |
1,581,400 | J Sainsbury Plc | 5,458,305 | |
1,784,600 | Kingfisher Plc | 5,779,569 | |
7,342,700 | Lloyds Banking Group Plc | 4,341,803 | |
121,648 | Lloyds Banking Group Plc, ADR | 282,223 | |
124,394 | London Stock Exchange Group Plc | 12,117,071 | |
515,100 | Man Group Plc | 1,502,856 | |
1,541,300 | Marks & Spencer Group Plc | 3,192,780 | |
681,500 | Mitchells & Butlers Plc* | 1,386,029 | |
6,591,002 | NatWest Group Plc | 21,585,092 | |
127,432 | Ocado Group Plc*(a) | 847,693 | |
506,702 | Paragon Banking Group Plc | 3,258,776 | |
568,456 | QinetiQ Group Plc | 2,284,735 | |
158,400 | Reckitt Benckiser Group Plc | 12,062,178 | |
332,100 | Redrow Plc | 1,962,483 | |
192,666 | RELX Plc | 6,251,467 | |
32,882 | RELX Plc, ADR | 1,066,692 | |
63,493 | RELX Plc (London Exchange) | 2,059,730 | |
1,103,660 | Segro Plc REIT | 10,529,076 | |
523,712 | Smith & Nephew Plc | 7,303,446 | |
23,965 | Smith & Nephew Plc, ADR | 668,863 | |
46,764 | Spirax-Sarco Engineering Plc | 6,878,637 | |
16,051 | Subsea 7 SA | 190,208 | |
1,350,500 | Taylor Wimpey Plc | 1,993,984 | |
1,767,600 | Tesco Plc | 5,809,500 | |
125,400 | Vistry Group Plc | 1,213,968 | |
325,691,408 | |||
United States — 9.4% | |||
52,176 | Agilent Technologies, Inc. | 7,218,028 | |
78,507 | Analog Devices, Inc. | 15,483,151 | |
22,998 | ANSYS, Inc.* | 7,653,734 | |
105,948 | Bruker Corp. | 8,352,940 | |
105,471 | Cadence Design Systems, Inc.* | 22,158,402 | |
489 | Computershare, Ltd. | 7,102 | |
100,980 | CSL, Ltd. | 19,521,835 | |
423,559 | Experian Plc | 13,973,748 | |
969,504 | GSK Plc | 17,331,422 | |
520,618 | GSK Plc, ADR | 18,523,588 | |
2,160,418 | Haleon Plc | 8,638,990 | |
101,918 | Holcim AG* | 6,584,500 | |
67,720 | ICON Plc, ADR* | 14,464,315 | |
81,612 | Janus Henderson Group Plc | 2,174,144 | |
674,400 | JBS SA | 2,374,250 | |
257,038 | Nestle SA | 31,426,466 | |
11,098 | QIAGEN NV* | 509,731 | |
175,730 | Roche Holding AG | 50,368,780 | |
65,560 | Roche Holding AG, ADR | 2,350,982 | |
196,396 | Sanofi | 21,426,402 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
78,979 | Sanofi, ADR | 4,298,037 | |
314,526 | Schneider Electric SE | 52,673,519 | |
155,300 | Signify NV | 5,187,487 | |
177,711 | Stellantis NV(a) | 3,239,434 | |
255,527 | Stellantis NV (EN Paris Exchange) | 4,657,477 | |
39,890 | Swiss Re AG | 4,109,214 | |
70,070 | Tenaris SA | 998,327 | |
72,563 | Tenaris SA, ADR | 2,062,240 | |
347,768,245 | |||
TOTAL COMMON STOCKS (COST $3,369,569,496) | 3,482,750,652 |
Shares | Description | Value ($) | |
INVESTMENT COMPANIES — 0.4% | |||
United States — 0.4% | |||
1,855 | iShares MSCI EAFE ETF | 132,669 | |
282,258 | iShares MSCI Eurozone ETF | 12,724,191 | |
TOTAL INVESTMENT COMPANIES (COST $11,182,802) | 12,856,860 |
Shares | Description | Value ($) | |
PREFERRED STOCKS — 0.9% | |||
Brazil — 0.1% | |||
1,162,400 | Petroleo Brasileiro SA, 44.88% | 5,376,122 | |
Germany — 0.7% | |||
5,781 | BMW AG, 6.18% | 592,408 | |
20,700 | Henkel AG & Co. KGaA, 2.58% | 1,620,517 | |
99,582 | Porsche Automobil Holding SE, 4.84% | 5,725,483 | |
414,900 | Schaeffler AG, 7.15% | 3,162,833 | |
105,214 | Volkswagen AG, 21.22% | 14,382,729 | |
25,483,970 | |||
South Korea — 0.1% | |||
44,830 | Samsung Electronics Co., Ltd., 2.01% | 1,872,027 | |
TOTAL PREFERRED STOCKS (COST $42,206,242) | 32,732,119 | ||
WARRANT — 0.0% | |||
Switzerland — 0.0% | |||
236,912 | Cie Financiere Richemont SA Expires 11/22/23* | 298,231 | |
TOTAL WARRANT (COST $—) | 298,231 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 3.9% | |||
Mutual Fund - Securities Lending Collateral — 3.9% | |||
146,394,653 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(e)(f) | 146,394,653 | |
TOTAL SHORT-TERM INVESTMENT (COST $146,394,653) | 146,394,653 | ||
TOTAL INVESTMENTS — 99.5% (Cost $3,569,353,193) | 3,675,032,515 | ||
Other Assets and Liabilities (net) — 0.5% | 16,998,698 | ||
NET ASSETS — 100.0% | $3,692,031,213 |
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 are fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $249,587 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2023 was $30,137,646. |
(d) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at year end is $249,587 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2023 was $29,569,045. |
(e) | The rate disclosed is the 7-day net yield as of March 31, 2023. |
(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 year end is $9,855,101 which represents 0.3% of net assets. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buy | ||||
971 | MSCI EAFE Index | Jun 2023 | $101,785,075 | $4,744,689 |
Abbreviations | ||
ADR | — | American Depository Receipt |
CVA | — | Certificaten Van Aandelen |
GDR | — | Global Depository Receipt |
NYRS | — | New York Registry Shares |
REIT | — | Real Estate Investment Trust |
SDR | — | Swedish Depository Receipt |
Schedule of Investments (Continued)
March 31, 2023
Industry Sector Summary (Unaudited) | % of Net Assets |
Consumer, Non-cyclical | 23.4 |
Financial | 15.4 |
Industrial | 15.2 |
Consumer, Cyclical | 12.5 |
Technology | 8.9 |
Basic Materials | 8.1 |
Energy | 6.7 |
Communications | 3.3 |
Utilities | 1.7 |
Investment Companies | 0.4 |
Diversified | 0.0* |
Short-Term Investment | 3.9 |
Other Assets and Liabilities (net) | 0.5 |
100.0% |
* | Amount rounds to zero. |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 99.3% | |||
Asset Backed Securities — 11.0% | |||
201,000 | ABPCI Direct Lending Fund ABS I, Ltd., Series 2020-1A, Class A, 3.20%, due 12/20/30 144A | 181,528 | |
2,559,000 | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, due 08/15/46 144A | 2,261,267 | |
2,660,000 | American Express Credit Account Master Trust, Series 2022-3, Class A, 3.75%, due 08/15/27 | 2,614,749 | |
55,434 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, due 02/18/25 | 55,264 | |
236,998 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, due 04/18/25 | 234,936 | |
493,330 | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, due 07/18/25 | 487,619 | |
132,834 | AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, due 01/21/25 | 132,367 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, due 01/19/27 | 365,299 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, due 08/18/27 | 363,577 | |
700,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.80%, due 12/18/28 | 713,667 | |
295,000 | AMSR Trust, Series 2020-SFR4, Class A, 1.36%, due 11/17/37 144A | 268,528 | |
1,350,000 | AMSR Trust, Series 2021-SFR1, Class A, 1.95%, due 06/17/38(b) 144A | 1,156,958 | |
1,529,000 | AMSR Trust, Series 2021-SFR2, Class A, 1.53%, due 08/17/38 144A | 1,350,586 | |
2,742,000 | AMSR Trust, Series 2022-SFR3, Class A, 4.00%, due 10/17/39 144A | 2,636,158 | |
488,070 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/05/49 144A | 478,521 | |
243,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due 03/05/53(c) 144A | 246,256 | |
167,267 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 07/17/46 144A | 150,168 | |
754,650 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A | 664,483 | |
877,512 | ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, due 08/15/28 144A | 871,274 | |
3,390,693 | Atlas Static Senior Loan Fund CLO I, Ltd., Series 2022-1A, Class A, 7.26% (3 mo. TSFR + 2.60%), due 07/15/30(d) 144A | 3,390,988 | |
696,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, due 03/20/26 144A | 660,491 | |
470,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, due 08/20/26 144A | 441,796 | |
1,838,000 | BA Credit Card Trust, Series 2022-A2, Class A2, 5.00%, due 04/15/28 | 1,861,742 | |
2,500,000 | EUR | Barings Euro CLO DAC, Series 2015-1A, Class ARR, 3.43% (3 mo. EURIBOR + 0.98%), due 07/25/35(d) 144A | 2,597,414 |
1,250,000 | EUR | BNPP AM Euro CLO DAC, Series 2018-1A, Class AR, 2.89% (3 mo. EURIBOR + 0.60%), due 04/15/31(d) 144A | 1,315,143 |
248,638 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due 09/26/33 144A | 237,031 | |
366,000 | Capital Automotive REIT, LP, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A | 345,043 | |
1,750,000 | EUR | Carlyle Global Market Strategies Euro CLO, Ltd., Series 2014-2A, Class AR1, 3.40% (3 mo. EURIBOR + 0.75%), due 11/15/31(d) 144A | 1,849,190 |
282,000 | Carlyle US CLO, Ltd., Series 2019-2A, Class A1R, 5.91% (3 mo. USD LIBOR + 1.12%), due 07/15/32(d) 144A | 277,384 | |
400,000 | CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26 | 371,136 | |
300,000 | CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, due 02/16/27 | 277,134 | |
310,000 | CarMax Auto Owner Trust, Series 2021-3, Class C, 1.25%, due 05/17/27 | 282,812 | |
300,000 | CarMax Auto Owner Trust, Series 2021-4, Class C, 1.38%, due 07/15/27 | 270,983 | |
400,000 | CarMax Auto Owner Trust, Series 2022-1, Class C, 2.20%, due 11/15/27 | 369,095 | |
200,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.47%, due 07/17/28 | 182,079 | |
1,392,568 | CF Hippolyta LLC, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A | 1,265,982 | |
835,953 | CF Hippolyta LLC, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A | 738,871 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
792,773 | CIFC Funding CLO, Ltd., Series 2014-2RA, Class A1, 5.87% (3 mo. USD LIBOR + 1.05%), due 04/24/30(d) 144A | 786,801 | |
1,500,000 | CIFC Funding CLO, Ltd., Series 2015-1A, Class ARR, 5.93% (3 mo. USD LIBOR + 1.11%), due 01/22/31(d) 144A | 1,485,792 | |
1,200,000 | Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30 | 1,167,805 | |
785,990 | CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A | 693,844 | |
606,135 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A | 527,305 | |
551,454 | CLI Funding VIII LLC, Series 2022-1A, Class A1, 2.72%, due 01/18/47 144A | 481,935 | |
152,493 | Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42 144A | 136,850 | |
2,250,000 | Crown City CLO I, Series 2020-1A, Class A1AR, 6.00% (3 mo. USD LIBOR + 1.19%), due 07/20/34(d) 144A | 2,187,031 | |
1,250,000 | Crown Point CLO 11, Ltd., Series 2021-11A, Class A, 5.91% (3 mo. USD LIBOR + 1.12%), due 01/17/34(d) 144A | 1,228,466 | |
359,000 | DataBank Issuer, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A | 319,075 | |
1,309,425 | DB Master Finance LLC, Series 2021-1A, Class A23, 2.79%, due 11/20/51 144A | 1,061,199 | |
1,139,575 | DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, due 11/20/51 144A | 1,006,256 | |
112,000 | Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, due 04/15/49 144A | 89,774 | |
755,250 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47 144A | 714,919 | |
3,383,730 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, due 04/25/51 144A | 2,913,640 | |
472,360 | Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A | 405,349 | |
478,938 | Driven Brands Funding LLC, Series 2021-1A, Class A2, 2.79%, due 10/20/51 144A | 393,410 | |
459,000 | Elmwood CLO IV, Ltd., Series 2020-1A, Class A, 6.03% (3 mo. USD LIBOR + 1.24%), due 04/15/33(d) 144A | 453,234 | |
116 | FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 | 105 | |
455,501 | FirstKey Homes Trust, Series 2021-SFR1, Class A, 1.54%, due 08/17/38 144A | 401,874 | |
401,000 | FirstKey Homes Trust, Series 2021-SFR1, Class D, 2.19%, due 08/17/38 144A | 345,588 | |
395,970 | Five Guys Funding LLC, Series 2017-1A, Class A2, 4.60%, due 07/25/47 144A | 388,056 | |
300,000 | Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28 | 279,710 | |
300,000 | Ford Credit Auto Owner Trust, Series 2022-A, Class C, 2.14%, due 07/15/29 | 277,638 | |
2,282,000 | Ford Credit Auto Owner Trust, Series 2022-B, Class A4, 3.93%, due 08/15/27 | 2,247,478 | |
698,000 | Ford Credit Floorplan Master Owner Trust, Series 2020-2, Class A, 1.06%, due 09/15/27 | 637,978 | |
1,000,000 | Generate CLO-2, Ltd., Series 2A, Class AR, 5.97% (3 mo. USD LIBOR + 1.15%), due 01/22/31(d) 144A | 990,189 | |
3,500,000 | Generate CLO-4, Ltd., Series 4A, Class A1R, 5.90% (3 mo. USD LIBOR + 1.09%), due 04/20/32(d) 144A | 3,465,101 | |
300,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%, due 05/17/27 | 279,508 | |
164,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A3, 0.68%, due 09/16/26 | 155,640 | |
475,000 | Golub Capital Partners ABS Funding, Ltd., Series 2020-1A, Class A2, 3.21%, due 01/22/29 144A | 440,572 | |
434,000 | Golub Capital Partners ABS Funding, Ltd., Series 2021-1A, Class A2, 2.77%, due 04/20/29 144A | 401,187 | |
2,500,000 | EUR | Grosvenor Place CLO DAC, Series 2022-1A, Class A, 4.34% (3 mo. EURIBOR + 2.00%), due 11/24/35(d) 144A | 2,715,394 |
476,000 | HI-FI Music IP Issuer, LP, Series 2022-1A, Class A2, 3.94%, due 02/01/62 144A | 439,182 | |
66,470 | Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/28 144A | 65,855 | |
171,172 | Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, due 02/25/32 144A | 166,189 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
76,920 | Home Equity Asset Trust, Series 2003-8, Class M1, 5.93% (1 mo. USD LIBOR + 1.08%), due 04/25/34(d) | 74,187 | |
2,000,000 | EUR | Invesco Euro CLO I DAC, Series 1A, Class A1R, 2.94% (3 mo. EURIBOR + 0.65%), due 07/15/31(d) 144A | 2,117,676 |
191,100 | Jack In The Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A | 174,455 | |
484,120 | Jack In The Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, due 02/26/52 144A | 437,033 | |
150,867 | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 02/26/29 144A | 143,179 | |
21,548 | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2B, 2.81%, due 11/25/42 144A | 21,153 | |
1,000,000 | EUR | Madison Park Euro Funding CLO XIV DAC, Series 14A, Class A1R, 3.09% (3 mo. EURIBOR + 0.80%), due 07/15/32(d) 144A | 1,053,234 |
3,500,000 | Madison Park Funding CLO XXXIII, Ltd., Series 2019-33A, Class AR, 5.95% (3 mo. TSFR + 1.29%), due 10/15/32(d) 144A | 3,464,209 | |
2,000,000 | Madison Park Funding CLO XXXVIII, Ltd., Series 2021-38A, Class A, 5.91% (3 mo. USD LIBOR + 1.12%), due 07/17/34(d) 144A | 1,953,306 | |
285,000 | MetroNet Infrastructure Issuer LLC, Series 2023-1A, Class A2, 6.56%, due 04/20/53(c) 144A | 285,296 | |
741,126 | MidOcean Credit CLO III, Series 2014-3A, Class A1R, 5.94% (3 mo. USD LIBOR + 1.12%), due 04/21/31(d) 144A | 731,787 | |
56,688 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 5.87% (1 mo. USD LIBOR + 1.02%), due 10/25/33(d) | 55,592 | |
15,582 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC7, Class M1, 5.90% (1 mo. USD LIBOR + 1.05%), due 06/25/33(d) | 15,455 | |
46,754 | Navient Private Education Loan Trust, Series 2016-AA, Class A2A, 3.91%, due 12/15/45 144A | 45,247 | |
262,126 | Navient Private Education Refi Student Loan Trust, Series 2019-FA, Class A2, 2.60%, due 08/15/68 144A | 242,640 | |
348,280 | Navient Private Education Refi Student Loan Trust, Series 2020-HA, Class A, 1.31%, due 01/15/69 144A | 319,758 | |
705,435 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A | 602,087 | |
406,890 | Neighborly Issuer LLC, Series 2022-1A, Class A2, 3.70%, due 01/30/52 144A | 335,982 | |
146,377 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 3.88% (1 mo. USD LIBOR + 0.72%), due 10/25/33(d) 144A | 137,944 | |
785,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, due 10/20/61 144A | 678,335 | |
226,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, due 10/20/61 144A | 193,085 | |
2,643,000 | NextGear Floorplan Master Owner Trust, Series 2022-1A, Class A2, 2.80%, due 03/15/27 144A | 2,531,166 | |
1,500,000 | Northwoods Capital CLO 22, Ltd., Series 2020-22A, Class AR, 6.36% (3 mo. TSFR + 1.45%), due 09/01/31(d) 144A | 1,478,167 | |
100,584 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A, 3.10%, due 07/25/26 144A | 90,625 | |
1,818,794 | Oak Street Investment Grade Net Lease Fund, Series 2021-1A, Class A1, 1.48%, due 01/20/51 144A | 1,617,634 | |
725,053 | Oak Street Investment Grade Net Lease Fund, Series 2021-2A, Class A1, 2.38%, due 11/20/51 144A | 649,197 | |
1,250,000 | OCP CLO, Ltd., Series 2015-9A, Class A1R2, 5.88% (3 mo. TSFR + 1.25%), due 01/15/33(d) 144A | 1,227,894 | |
272,000 | OCP CLO, Ltd., Series 2020-19A, Class AR, 5.96% (3 mo. USD LIBOR + 1.15%), due 10/20/34(d) 144A | 265,410 | |
1,000,000 | OFSI BSL XI CLO, Ltd., Series 2022-11A, Class A1, 6.73% (3 mo. TSFR + 2.10%), due 07/18/31(d) 144A | 995,668 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
62,949 | Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, due 02/15/27 144A | 62,537 | |
2,190,714 | OZLM Funding IV CLO, Ltd., Series 2013-4A, Class A1R, 6.07% (3 mo. USD LIBOR + 1.25%), due 10/22/30(d) 144A | 2,173,648 | |
230,662 | OZLM XI CLO, Ltd., Series 2015-11A, Class A1R, 6.05% (3 mo. USD LIBOR + 1.25%), due 10/30/30(d) 144A | 228,836 | |
2,000,000 | Park Avenue Institutional Advisers CLO, Ltd., Series 2018-1A, Class A1AR, 5.81% (3 mo. USD LIBOR + 1.00%), due 10/20/31(d) 144A | 1,972,500 | |
2,492,000 | PFS Financing Corp., Series 2022-A, Class A, 2.47%, due 02/15/27 144A | 2,380,254 | |
1,327,323 | Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 10/17/36 144A | 1,270,060 | |
1,015,768 | Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A | 946,011 | |
1,360,245 | Progress Residential Trust, Series 2021-SFR2, Class A, 1.55%, due 04/19/38 144A | 1,217,744 | |
246,000 | Progress Residential Trust, Series 2021-SFR8, Class B, 1.68%, due 10/17/38 144A | 214,319 | |
1,570,000 | Progress Residential Trust, Series 2022-SFR2, Class A, 2.95%, due 04/17/27 144A | 1,455,294 | |
3,410 | Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 5.43%, due 08/25/35(e) | 3,349 | |
250,000 | Romark CLO II, Ltd., Series 2018-2A, Class A1, 5.99% (3 mo. USD LIBOR + 1.18%), due 07/25/31(d) 144A | 246,583 | |
3,908 | Santander Drive Auto Receivables Trust, Series 2020-2, Class C, 1.46%, due 09/15/25 | 3,901 | |
124,709 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, due 01/15/26 | 124,133 | |
150,156 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, due 01/15/26 | 148,952 | |
800,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class D, 1.35%, due 07/15/27 | 755,198 | |
700,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.95%, due 09/15/27 | 679,593 | |
900,000 | Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, due 02/16/27 | 856,639 | |
600,000 | Santander Drive Auto Receivables Trust, Series 2022-1, Class C, 2.56%, due 04/17/28 | 575,994 | |
200,000 | Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.09%, due 05/15/30 | 197,899 | |
482,500 | Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A | 455,746 | |
27,793 | Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, due 01/20/36 144A | 26,686 | |
361,839 | Silver Creek CLO, Ltd., Series 2014-1A, Class AR, 6.05% (3 mo. USD LIBOR + 1.24%), due 07/20/30(d) 144A | 359,615 | |
302,424 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, due 06/15/37 144A | 284,368 | |
539,128 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.34%, due 03/17/53 144A | 482,384 | |
481,238 | Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A | 445,361 | |
505,305 | Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, due 08/20/51 144A | 414,304 | |
476,439 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, due 02/25/44 144A | 468,115 | |
547,000 | Stack Infrastructure Issuer LLC, Series 2019-2A, Class A2, 3.08%, due 10/25/44 144A | 522,951 | |
2,178,000 | Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A | 1,937,248 | |
182,122 | Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A | 153,276 | |
1,002,313 | Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 08/25/51 144A | 874,672 | |
1,869,338 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.29%, due 08/25/51 144A | 1,566,400 | |
1,000,000 | TCW CLO, Ltd., Series 2019-2A, Class A1R, 5.92% (3 mo. TSFR + 1.28%), due 10/20/32(d) 144A | 984,174 | |
272,650 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A | 230,369 | |
1,526,131 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A | 1,428,062 | |
2,663,416 | Tricon Residential Trust, Series 2022-SFR2, Class A, 4.85%, due 07/17/40 144A | 2,612,575 | |
1,500,000 | Trimaran Cavu CLO, Ltd., Series 2021-1A, Class A, 6.03% (3 mo. USD LIBOR + 1.21%), due 04/23/32(d) 144A | 1,478,635 | |
615,825 | Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45 144A | 540,628 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
556,100 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46 144A | 478,651 | |
1,246,838 | U.S. Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 1,192,926 | |
876,181 | U.S. Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 840,302 | |
1,071,769 | U.S. Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 1,015,729 | |
472,364 | U.S. Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 449,510 | |
352,265 | U.S. Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 330,622 | |
2,017,731 | U.S. Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44 | 1,838,282 | |
840,767 | U.S. Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45 | 714,242 | |
1,935,327 | U.S. Small Business Administration, Series 2022-25A, Class 1, 2.04%, due 01/01/47 | 1,658,176 | |
2,485,422 | U.S. Small Business Administration, Series 2022-25D, Class 1, 3.50%, due 04/01/47 | 2,337,302 | |
1,706,820 | U.S. Small Business Administration, Series 2022-25E, Class 1, 3.94%, due 05/01/47 | 1,650,896 | |
2,661,982 | U.S. Small Business Administration, Series 2022-25G, Class 1, 3.93%, due 07/01/47 | 2,584,700 | |
2,281,000 | U.S. Small Business Administration, Series 2022-25J, Class 1, 5.04%, due 10/01/47 | 2,386,132 | |
2,357,000 | Vantage Data Centers Issuers LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45 144A | 2,123,594 | |
1,204,000 | Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A | 1,021,371 | |
112,747 | VCP RRL ABS I, Ltd., Series 2021-1A, Class A, 2.15%, due 10/20/31 144A | 103,927 | |
500,000 | Venture XIX CLO, Ltd., Series 2014-19A, Class ARR, 6.05% (3 mo. USD LIBOR + 1.26%), due 01/15/32(d) 144A | 492,089 | |
2,372,000 | Verizon Master Trust, Series 2021-2, Class A, 0.99%, due 04/20/28 | 2,237,563 | |
440,598 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A | 378,125 | |
148,222 | VSE VOI Mortgage LLC, Series 2017-A, Class A, 2.33%, due 03/20/35 144A | 143,199 | |
500,000 | Wellfleet CLO, Ltd., Series 2018-3A, Class A1A, 6.06% (3 mo. USD LIBOR + 1.25%), due 01/20/32(d) 144A | 492,207 | |
525,443 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 495,264 | |
2,019,037 | Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.37%, due 06/15/51 144A | 1,700,280 | |
114,078 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A | 91,419 | |
173,709 | World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, due 12/15/25 | 173,317 | |
200,000 | World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, due 12/15/25 | 197,583 | |
200,000 | World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, due 11/15/27 | 181,124 | |
448,175 | Zaxby's Funding LLC, Series 2021-1A, Class A2, 3.24%, due 07/30/51 144A | 377,108 | |
142,119,502 | |||
Corporate Debt — 34.2% | |||
225,000 | 1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A | 209,468 | |
770,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 144A | 660,968 | |
1,546,000 | AbbVie, Inc., 3.20%, due 11/21/29 | 1,435,316 | |
300,000 | AbbVie, Inc., 3.80%, due 03/15/25 | 295,249 | |
450,000 | AbbVie, Inc., 4.25%, due 11/21/49 | 397,519 | |
2,268,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 2,199,751 | |
640,000 | AbbVie, Inc., 4.55%, due 03/15/35 | 626,166 | |
170,000 | AbbVie, Inc., 4.70%, due 05/14/45 | 159,424 | |
290,000 | AbbVie, Inc., 4.75%, due 03/15/45 | 273,893 | |
200,000 | Abu Dhabi National Energy Co. PJSC, 2.00%, due 04/29/28 144A | 177,726 | |
222,000 | AdaptHealth LLC, 5.13%, due 03/01/30(f) 144A | 188,549 | |
1,340,000 | Advocate Health & Hospitals Corp., 2.21%, due 06/15/30(f) | 1,136,595 | |
125,000 | AECOM, 5.13%, due 03/15/27 | 123,943 | |
400,000 | AEP Texas, Inc., 3.80%, due 10/01/47 | 311,658 | |
260,000 | AEP Transmission Co. LLC, 3.80%, due 06/15/49 | 216,470 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
482,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26 | 432,034 | |
2,036,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, due 10/29/26 | 1,829,861 | |
505,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, due 10/29/28 | 441,244 | |
1,600,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26 | 1,538,419 | |
322,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 277,229 | |
370,000 | Aetna, Inc., 4.75%, due 03/15/44 | 337,664 | |
137,000 | Affinity Gaming, 6.88%, due 12/15/27 144A | 122,330 | |
149,393 | Air Canada Pass Through Trust, 3.70%, due 07/15/27 144A | 140,168 | |
106,000 | Air Canada Pass Through Trust, 10.50%, due 07/15/26 144A | 112,813 | |
600,710 | Air Canada Pass Through Trust, 3.60%, due 09/15/28 144A | 556,672 | |
158,098 | Air Canada Pass Through Trust, 4.13%, due 11/15/26 144A | 149,248 | |
298,000 | Air Lease Corp., 2.10%, due 09/01/28 | 248,608 | |
313,000 | Air Lease Corp., 3.63%, due 12/01/27 | 289,194 | |
270,000 | Air Lease Corp., (MTN), 2.88%, due 01/15/26 | 251,934 | |
1,750,000 | Aker BP ASA, 2.00%, due 07/15/26 144A | 1,575,446 | |
319,000 | Aker BP ASA, 3.00%, due 01/15/25 144A | 307,508 | |
473,000 | Aker BP ASA, 3.10%, due 07/15/31 144A | 400,367 | |
2,074,000 | Aker BP ASA, 3.75%, due 01/15/30 144A | 1,874,458 | |
842,000 | Aker BP ASA, 4.00%, due 01/15/31 144A | 765,280 | |
191,114 | Alaska Airlines Pass Through Trust, 8.00%, due 02/15/27 144A | 194,324 | |
325,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 3.50%, due 03/15/29 144A | 283,086 | |
232,000 | Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, due 10/15/26 144A | 206,808 | |
2,895,000 | Alexandria Real Estate Equities, Inc. REIT, 2.00%, due 05/18/32(f) | 2,231,119 | |
228,866 | Alfa Desarrollo SpA, 4.55%, due 09/27/51 144A | 168,021 | |
847,000 | Ally Financial, Inc., 5.13%, due 09/30/24 | 820,193 | |
326,000 | Ally Financial, Inc., 7.10%, due 11/15/27(f) | 331,504 | |
224,000 | Altera Infrastructure, LP/Teekay Offshore Finance Corp., 8.50%, due 07/15/23(g) | 6,160 | |
210,000 | Altria Group, Inc., 3.40%, due 05/06/30 | 186,901 | |
2,540,000 | Amazon.com, Inc., 4.10%, due 04/13/62 | 2,238,754 | |
283,198 | American Airlines Pass Through Trust, 2.88%, due 01/11/36 | 233,843 | |
419,480 | American Airlines Pass Through Trust, 3.15%, due 08/15/33 | 368,021 | |
58,434 | American Airlines Pass Through Trust, 3.25%, due 04/15/30 | 50,673 | |
1,294,778 | American Airlines Pass Through Trust, 3.38%, due 11/01/28 | 1,128,063 | |
410,270 | American Airlines Pass Through Trust, 3.50%, due 08/15/33 | 341,846 | |
249,413 | American Airlines Pass Through Trust, 3.60%, due 04/15/31 | 216,735 | |
260,570 | American Airlines Pass Through Trust, 3.65%, due 08/15/30 | 237,823 | |
183,629 | American Airlines Pass Through Trust, 3.70%, due 11/01/24 | 183,037 | |
147,203 | American Airlines Pass Through Trust, 3.85%, due 08/15/29 | 132,100 | |
265,490 | American Airlines Pass Through Trust, 3.95%, due 01/11/32 | 233,638 | |
200,930 | American Airlines Pass Through Trust, 4.00%, due 08/15/30 | 177,902 | |
404,696 | American Airlines Pass Through Trust, 4.10%, due 07/15/29 | 364,443 | |
232,000 | American Homes 4 Rent, LP REIT, 4.25%, due 02/15/28 | 217,952 | |
348,000 | American Tower Corp. REIT, 1.60%, due 04/15/26 | 314,897 | |
365,000 | American Tower Corp. REIT, 3.55%, due 07/15/27 | 344,204 | |
754,000 | American Tower Corp. REIT, 3.80%, due 08/15/29 | 701,319 | |
1,887,000 | American Tower Trust #1 REIT, 5.49%, due 03/15/53 144A | 1,908,001 | |
387,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25 | 371,662 | |
250,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.88%, due 08/20/26 | 239,469 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
490,000 | AmerisourceBergen Corp., 2.80%, due 05/15/30 | 430,272 | |
1,120,000 | Amgen, Inc., 2.80%, due 08/15/41 | 818,800 | |
152,000 | Amgen, Inc., 5.25%, due 03/02/30 | 155,516 | |
2,908,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | 2,845,605 | |
725,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48 | 684,930 | |
307,000 | Antero Midstream Partners, LP/Antero Midstream Finance Corp., 5.38%, due 06/15/29 144A | 289,289 | |
250,000 | Antero Midstream Partners, LP/Antero Midstream Finance Corp., 7.88%, due 05/15/26 144A | 254,806 | |
94,000 | Antero Resources Corp., 5.38%, due 03/01/30(f) 144A | 87,549 | |
750,000 | Apple, Inc., 3.85%, due 08/04/46 | 670,744 | |
770,000 | Apple, Inc., 4.10%, due 08/08/62 | 688,080 | |
980,000 | AptarGroup, Inc., 3.60%, due 03/15/32 | 865,103 | |
1,515,000 | Aptiv Plc/Aptiv Corp., 3.25%, due 03/01/32(f) | 1,320,869 | |
328,000 | APX Group, Inc., 5.75%, due 07/15/29 144A | 293,973 | |
225,000 | Aquarion Co., 4.00%, due 08/15/24 144A | 222,611 | |
614,000 | Ares Capital Corp., 2.15%, due 07/15/26 | 527,281 | |
389,000 | Ares Capital Corp., 2.88%, due 06/15/28 | 320,259 | |
235,000 | Ares Capital Corp., 3.25%, due 07/15/25 | 214,916 | |
448,000 | Ares Capital Corp., 3.88%, due 01/15/26 | 413,556 | |
141,000 | Ares Capital Corp., 4.20%, due 06/10/24 | 136,349 | |
55,000 | Asbury Automotive Group, Inc., 4.63%, due 11/15/29(f) 144A | 49,300 | |
200,000 | Asbury Automotive Group, Inc., 4.75%, due 03/01/30 | 179,237 | |
710,000 | Ascension Health, 2.53%, due 11/15/29 | 625,106 | |
150,000 | Ascension Health, 3.11%, due 11/15/39 | 120,626 | |
441,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 06/30/29(f) 144A | 389,621 | |
547,000 | Ashtead Capital, Inc., 2.45%, due 08/12/31 144A | 431,405 | |
290,000 | Ashtead Capital, Inc., 4.38%, due 08/15/27 144A | 278,090 | |
2,569,000 | AT&T, Inc., 2.30%, due 06/01/27 | 2,355,060 | |
122,000 | AT&T, Inc., 2.55%, due 12/01/33 | 98,199 | |
1,672,000 | AT&T, Inc., 3.50%, due 06/01/41 | 1,320,978 | |
1,140,000 | AT&T, Inc., 3.50%, due 09/15/53 | 829,120 | |
743,000 | AT&T, Inc., 3.65%, due 06/01/51 | 563,625 | |
410,000 | AT&T, Inc., 3.65%, due 09/15/59 | 293,502 | |
25,000 | AT&T, Inc., 4.30%, due 02/15/30 | 24,301 | |
115,000 | AT&T, Inc., 4.50%, due 05/15/35 | 107,782 | |
700,000 | AT&T, Inc., 6.33% (3 mo. USD LIBOR + 1.18%), due 06/12/24(d) | 702,968 | |
276,000 | Athene Holding, Ltd., 3.50%, due 01/15/31 | 229,715 | |
198,551 | Atlantica Transmision Sur SA, 6.88%, due 04/30/43 144A | 186,886 | |
168,000 | Autodesk, Inc., 2.85%, due 01/15/30 | 148,507 | |
408,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 383,836 | |
1,300,000 | Bacardi, Ltd., 4.70%, due 05/15/28 144A | 1,290,258 | |
696,000 | BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A | 675,439 | |
787,000 | BAE Systems Plc, 3.40%, due 04/15/30 144A | 722,952 | |
175,000 | Ball Corp., 3.13%, due 09/15/31(f) | 144,981 | |
200,000 | Banco Santander SA, 1.85%, due 03/25/26 | 179,590 | |
484,000 | Banco Santander SA, 4.38%, due 04/12/28 | 457,434 | |
265,000 | Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(d) | 240,124 | |
1,310,000 | Bank of America Corp., 2.30% (SOFR + 1.22%), due 07/21/32(d) | 1,056,718 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
775,000 | Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(d) | 656,774 | |
3,184,000 | Bank of America Corp., 2.69% (SOFR + 1.32%), due 04/22/32(d) | 2,659,102 | |
730,000 | Bank of America Corp., 3.85% (5 yr. CMT + 2.00%), due 03/08/37(d) | 623,052 | |
877,000 | Bank of America Corp., 4.24% (3 mo. USD LIBOR + 1.81%), due 04/24/38(d) | 785,831 | |
160,000 | Bank of America Corp., 5.13% (3 mo. USD LIBOR + 3.29%)(d)(h) | 153,671 | |
1,036,000 | Bank of America Corp., 6.30% (3 mo. USD LIBOR + 4.55%)(d)(h) | 1,039,885 | |
2,590,000 | Bank of America Corp., (MTN), 2.09% (SOFR + 1.06%), due 06/14/29(d) | 2,232,409 | |
610,000 | Bank of America Corp., (MTN), 2.50% (3 mo. USD LIBOR + 0.99%), due 02/13/31(d) | 517,087 | |
160,000 | Bank of America Corp., (MTN), 2.88% (3 mo. USD LIBOR + 1.19%), due 10/22/30(d) | 139,303 | |
584,000 | Bank of America Corp., (MTN), 3.25%, due 10/21/27 | 550,672 | |
755,000 | Bank of America Corp., (MTN), 3.59% (3 mo. USD LIBOR + 1.37%), due 07/21/28(d) | 710,093 | |
783,000 | Bank of America Corp., (MTN), 3.95%, due 04/21/25 | 758,158 | |
210,000 | Bank of America Corp., (MTN), 4.27% (3 mo. USD LIBOR + 1.31%), due 07/23/29(d) | 202,356 | |
159,000 | Bank of America Corp., (MTN), 4.33% (3 mo. USD LIBOR + 1.52%), due 03/15/50(d) | 136,598 | |
1,945,000 | Bank of America Corp., (MTN), 4.95% (SOFR + 2.04%), due 07/22/28(d) | 1,935,498 | |
575,000 | Barclays Plc, 3.93% (3 mo. USD LIBOR + 1.61%), due 05/07/25(d) | 559,661 | |
446,000 | Barclays Plc, 4.38% (5 yr. CMT + 3.41%)(d)(h) | 306,006 | |
400,000 | Barclays Plc, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(d) | 386,120 | |
1,032,000 | Barclays Plc, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(d) | 1,011,653 | |
265,000 | Barclays Plc, 8.00% (5 yr. CMT + 5.43%)(d)(h) | 226,906 | |
390,000 | BAT Capital Corp., 3.56%, due 08/15/27 | 362,810 | |
270,000 | Bayer US Finance II LLC, 4.20%, due 07/15/34 144A | 246,351 | |
255,000 | Beacon Roofing Supply, Inc., 4.13%, due 05/15/29(f) 144A | 225,313 | |
605,000 | Berkshire Hathaway Energy Co., 3.70%, due 07/15/30(f) | 574,848 | |
85,000 | Berkshire Hathaway Energy Co., 5.95%, due 05/15/37 | 91,730 | |
1,312,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,446,165 | |
1,408,000 | Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A | 1,171,405 | |
1,015,000 | Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A | 603,470 | |
542,000 | Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A | 499,365 | |
596,000 | Blackstone Private Credit Fund, 2.35%, due 11/22/24 | 554,529 | |
373,000 | Blackstone Private Credit Fund, 2.70%, due 01/15/25 | 343,770 | |
88,000 | Blackstone Private Credit Fund, 3.25%, due 03/15/27 | 74,862 | |
517,000 | Blackstone Private Credit Fund, 4.00%, due 01/15/29 | 431,639 | |
140,000 | Block, Inc., 3.50%, due 06/01/31 | 115,110 | |
304,000 | BlueLinx Holdings, Inc., 6.00%, due 11/15/29 144A | 251,361 | |
700,000 | BNP Paribas SA, 1.68% (SOFR + 0.91%), due 06/30/27(d) 144A | 616,624 | |
260,000 | BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(d) 144A | 216,932 | |
200,000 | BNP Paribas SA, 2.22% (SOFR + 2.07%), due 06/09/26(d) 144A | 183,829 | |
455,000 | BNP Paribas SA, 3.13% (SOFR + 1.56%), due 01/20/33(d) 144A | 380,615 | |
220,000 | BNP Paribas SA, 9.25% (5 yr. CMT + 4.97%)(d)(h) 144A | 223,961 | |
210,000 | BOC Aviation USA Corp., 1.63%, due 04/29/24 144A | 201,524 | |
2,080,000 | Boeing Co. (The), 2.20%, due 02/04/26 | 1,930,774 | |
282,000 | Boeing Co. (The), 3.20%, due 03/01/29 | 257,860 | |
190,000 | Boeing Co. (The), 3.90%, due 05/01/49 | 143,774 | |
295,000 | Boeing Co. (The), 3.95%, due 08/01/59 | 217,227 | |
810,000 | Boeing Co. (The), 5.04%, due 05/01/27 | 816,414 | |
3,094,000 | Boeing Co. (The), 5.15%, due 05/01/30 | 3,114,950 | |
470,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 473,786 | |
574,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 573,858 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
495,000 | BPCE SA, 4.50%, due 03/15/25 144A | 477,451 | |
222,000 | Braskem Idesa SAPI, 6.99%, due 02/20/32(f) 144A | 167,742 | |
527,000 | Braskem Netherlands Finance BV, 5.88%, due 01/31/50 144A | 396,259 | |
55,000 | Bristol-Myers Squibb Co., 4.13%, due 06/15/39 | 51,279 | |
112,677 | British Airways Pass Through Trust, 4.13%, due 03/20/33 144A | 98,719 | |
111,926 | British Airways Pass Through Trust, 4.25%, due 05/15/34 144A | 104,874 | |
111,568 | British Airways Pass Through Trust, 4.63%, due 12/20/25 144A | 110,305 | |
68,041 | British Airways Pass Through Trust, 8.38%, due 11/15/28 144A | 69,721 | |
1,055,000 | Brixmor Operating Partnership, LP REIT, 2.50%, due 08/16/31 | 816,159 | |
249,000 | Broadcom, Inc., 3.14%, due 11/15/35 144A | 191,690 | |
605,000 | Broadcom, Inc., 3.19%, due 11/15/36 144A | 458,992 | |
1,509,000 | Broadcom, Inc., 3.42%, due 04/15/33 144A | 1,263,664 | |
1,966,000 | Broadcom, Inc., 4.11%, due 09/15/28 | 1,880,080 | |
350,000 | Broadcom, Inc., 4.93%, due 05/15/37 144A | 318,607 | |
1,171,000 | Brookfield Finance, Inc., 2.72%, due 04/15/31 | 983,540 | |
162,000 | Brookfield Residential Properties, Inc./Brookfield Residential US LLC, 5.00%, due 06/15/29 144A | 124,243 | |
382,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 333,214 | |
32,000 | Builders FirstSource, Inc., 5.00%, due 03/01/30 144A | 29,665 | |
235,000 | Builders FirstSource, Inc., 6.38%, due 06/15/32 144A | 236,063 | |
350,000 | C&W Senior Financing DAC, 6.88%, due 09/15/27 144A | 313,416 | |
127,000 | Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A | 129,339 | |
750,000 | Calpine Corp., 3.75%, due 03/01/31 144A | 633,318 | |
636,000 | Canadian Pacific Railway Co., 3.00%, due 12/02/41 | 509,139 | |
509,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15(i) | 547,539 | |
556,000 | Cantor Fitzgerald, LP, 4.88%, due 05/01/24 144A | 549,321 | |
1,595,000 | Capital One Financial Corp., 3.30%, due 10/30/24 | 1,523,700 | |
221,000 | Capital One Financial Corp., 4.93% (SOFR + 2.06%), due 05/10/28(d) | 212,525 | |
113,000 | CCM Merger, Inc., 6.38%, due 05/01/26 144A | 110,459 | |
273,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 06/01/33 144A | 220,110 | |
160,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A | 147,093 | |
134,000 | CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29 | 118,015 | |
450,000 | CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24 | 449,926 | |
204,000 | Celulosa Arauco y Constitucion SA, 3.88%, due 11/02/27 | 187,323 | |
340,000 | Cemex SAB de CV, 3.88%, due 07/11/31 144A | 283,536 | |
279,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 257,598 | |
140,000 | Cenovus Energy, Inc., 3.75%, due 02/15/52(f) | 102,147 | |
240,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 223,603 | |
123,000 | Centene Corp., 2.45%, due 07/15/28 | 107,121 | |
454,000 | Centene Corp., 3.00%, due 10/15/30 | 382,713 | |
209,000 | Centene Corp., 3.38%, due 02/15/30 | 182,529 | |
335,000 | CenterPoint Energy, Inc., 3.70%, due 09/01/49 | 256,850 | |
262,000 | Century Communities, Inc., 3.88%, due 08/15/29 144A | 225,007 | |
475,000 | CGI, Inc., 1.45%, due 09/14/26 | 426,981 | |
125,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.30%, due 02/01/32 | 95,326 | |
750,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.80%, due 04/01/31 | 604,094 | |
857,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 06/01/52 | 567,534 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
782,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 740,590 | |
1,229,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 03/01/50 | 937,958 | |
270,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 05/01/47 | 223,029 | |
1,062,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.75%, due 04/01/48 | 917,583 | |
1,964,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35 | 1,958,348 | |
1,175,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45 | 1,114,461 | |
679,000 | Cheniere Energy Partners, LP, 4.00%, due 03/01/31 | 604,975 | |
607,000 | Cheniere Energy Partners, LP, 4.50%, due 10/01/29 | 564,477 | |
643,000 | Chevron Corp., 2.00%, due 05/11/27 | 589,266 | |
307,000 | Choice Hotels International, Inc., 3.70%, due 12/01/29 | 275,990 | |
233,000 | Choice Hotels International, Inc., 3.70%, due 01/15/31 | 206,864 | |
1,485,000 | Cigna Group (The), 3.40%, due 03/01/27 | 1,422,330 | |
525,000 | Citigroup, Inc., 2.56% (SOFR + 1.17%), due 05/01/32(d) | 435,914 | |
863,000 | Citigroup, Inc., 3.20%, due 10/21/26 | 814,939 | |
3,626,000 | Citigroup, Inc., 3.40%, due 05/01/26 | 3,463,203 | |
625,000 | Citigroup, Inc., 3.52% (3 mo. TSFR + 1.41%), due 10/27/28(d)(f) | 584,704 | |
310,000 | Citigroup, Inc., 3.67% (3 mo. TSFR + 1.65%), due 07/24/28(d) | 293,918 | |
1,585,000 | Citigroup, Inc., 3.89% (3 mo. TSFR + 1.82%), due 01/10/28(d) | 1,515,847 | |
1,400,000 | Citigroup, Inc., 4.08% (3 mo. TSFR + 1.45%), due 04/23/29(d) | 1,336,019 | |
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 175,593 | |
440,000 | Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(d) | 418,034 | |
832,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 815,556 | |
1,104,000 | Citigroup, Inc., 4.70% (SOFR + 3.23%)(d)(h) | 968,760 | |
596,000 | Citigroup, Inc., 6.25% (3 mo. TSFR + 4.78%)(d)(h) | 572,160 | |
875,000 | Citizens Financial Group, Inc., 3.25%, due 04/30/30(f) | 725,538 | |
524,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14(i) | 488,631 | |
187,000 | CNA Financial Corp., 2.05%, due 08/15/30 | 152,776 | |
197,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 195,098 | |
710,000 | CNO Financial Group, Inc., 5.25%, due 05/30/29 | 687,174 | |
91,000 | CNX Resources Corp., 7.38%, due 01/15/31(f) 144A | 89,739 | |
18,000 | Comcast Corp., 2.89%, due 11/01/51 | 12,304 | |
429,000 | Comcast Corp., 3.30%, due 04/01/27 | 412,606 | |
1,007,000 | Comcast Corp., 3.40%, due 04/01/30 | 942,014 | |
5,000 | Comcast Corp., 3.97%, due 11/01/47 | 4,211 | |
5,000 | Comcast Corp., 6.50%, due 11/15/35 | 5,757 | |
600,000 | Comision Federal de Electricidad, 4.69%, due 05/15/29 144A | 538,716 | |
969,000 | CommonSpirit Health, 2.76%, due 10/01/24 | 939,549 | |
357,000 | CommonSpirit Health, 4.19%, due 10/01/49 | 292,244 | |
350,000 | Commonwealth Edison Co., 4.00%, due 03/01/48 | 298,280 | |
200,000 | Consensus Cloud Solutions, Inc., 6.50%, due 10/15/28 144A | 166,040 | |
65,000 | Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56 | 54,715 | |
350,000 | Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45 | 312,606 | |
385,000 | Constellation Brands, Inc., 2.25%, due 08/01/31 | 316,535 | |
141,000 | Continental Resources, Inc., 4.50%, due 04/15/23 | 140,826 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
269,000 | Continental Resources, Inc., 4.90%, due 06/01/44 | 208,591 | |
332,000 | Coruripe Netherlands BV, 10.00%, due 02/10/27 144A | 234,060 | |
571,000 | CoStar Group, Inc., 2.80%, due 07/15/30 144A | 479,053 | |
970,000 | Cox Communications, Inc., 2.60%, due 06/15/31 144A | 801,916 | |
2,971,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 2,828,016 | |
320,000 | Credit Agricole SA, 2.81%, due 01/11/41 144A | 214,017 | |
819,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 687,792 | |
250,000 | Credit Agricole SA, 3.75%, due 04/24/23 144A | 249,704 | |
380,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(d)(f)(h) 144A | 373,916 | |
861,000 | Credit Suisse AG, 7.95%, due 01/09/25 | 876,291 | |
248,000 | Crown Castle, Inc. REIT, 3.80%, due 02/15/28 | 235,525 | |
270,000 | CSC Holdings LLC, 3.38%, due 02/15/31(f) 144A | 187,029 | |
247,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25(f) 144A | 235,579 | |
72,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25 144A | 68,671 | |
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 | 204,715 | |
124,000 | CVS Health Corp., 3.75%, due 04/01/30 | 116,103 | |
88,000 | CVS Health Corp., 3.88%, due 07/20/25 | 86,460 | |
470,000 | CVS Health Corp., 4.78%, due 03/25/38 | 448,377 | |
451,000 | CVS Health Corp., 5.05%, due 03/25/48 | 422,348 | |
130,000 | CVS Health Corp., 5.13%, due 07/20/45 | 123,438 | |
1,021,105 | CVS Pass-Through Trust, 5.77%, due 01/10/33 144A | 1,031,019 | |
540,480 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 557,422 | |
1,517,905 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 1,636,399 | |
461,000 | DAE Funding LLC, 2.63%, due 03/20/25 144A | 434,073 | |
375,000 | Dana, Inc., 4.50%, due 02/15/32 | 296,404 | |
445,000 | Danske Bank AS, 6.47% (1 yr. CMT + 2.10%), due 01/09/26(d) 144A | 445,715 | |
494,000 | DaVita, Inc., 3.75%, due 02/15/31 144A | 390,122 | |
481,000 | DaVita, Inc., 4.63%, due 06/01/30 144A | 411,014 | |
273,000 | DCP Midstream Operating, LP, 5.85% (3 mo. USD LIBOR + 3.85%), due 05/21/43(d) 144A | 267,075 | |
77,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28 144A | 69,202 | |
386,000 | Dell International LLC/EMC Corp., 5.30%, due 10/01/29 | 389,188 | |
224,000 | Dell International LLC/EMC Corp., 5.85%, due 07/15/25 | 227,775 | |
1,231,546 | Delta Air Lines Pass Through Trust, 2.00%, due 12/10/29 | 1,085,311 | |
834,000 | Delta Air Lines, Inc., 2.90%, due 10/28/24 | 798,772 | |
85,000 | Delta Air Lines, Inc., 3.80%, due 04/19/23 | 84,958 | |
418,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28(f) | 388,780 | |
78,833 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, due 10/20/25 144A | 77,559 | |
488,525 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, due 10/20/28 144A | 471,841 | |
427,000 | Deutsche Bank AG, 2.31% (SOFR + 1.22%), due 11/16/27(d) | 362,328 | |
573,000 | Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(d) | 415,073 | |
327,000 | Diamondback Energy, Inc., 3.13%, due 03/24/31(f) | 283,771 | |
865,000 | Diamondback Energy, Inc., 3.25%, due 12/01/26 | 820,132 | |
373,000 | Digital Realty Trust, LP REIT, 3.60%, due 07/01/29(f) | 335,409 | |
1,121,000 | Digital Realty Trust, LP REIT, 3.70%, due 08/15/27 | 1,035,770 | |
158,000 | Discover Financial Services, 4.10%, due 02/09/27 | 149,659 | |
587,000 | Dollar Tree, Inc., 4.20%, due 05/15/28 | 571,945 | |
115,000 | Dominion Energy, Inc., 2.85%, due 08/15/26 | 107,942 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
311,000 | Dominion Energy, Inc., 3.38%, due 04/01/30 | 282,976 | |
285,000 | DPL, Inc., 4.13%, due 07/01/25 | 272,567 | |
850,000 | DTE Electric Co., 2.25%, due 03/01/30 | 738,314 | |
1,595,038 | DTE Electric Securitization Funding I LLC, 2.64%, due 12/01/27 | 1,531,050 | |
1,740,000 | DTE Energy Co., 1.05%, due 06/01/25 | 1,600,072 | |
411,000 | Duke Energy Carolinas LLC, 3.95%, due 03/15/48 | 343,237 | |
420,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46 | 321,270 | |
220,000 | Duke Energy Ohio, Inc., 5.25%, due 04/01/33 | 226,524 | |
195,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46(f) | 152,508 | |
617,000 | eBay, Inc., 2.70%, due 03/11/30(f) | 541,047 | |
213,000 | Ecopetrol SA, 6.88%, due 04/29/30 | 196,501 | |
167,000 | Edgewell Personal Care Co., 4.13%, due 04/01/29 144A | 146,500 | |
152,000 | Edgewell Personal Care Co., 5.50%, due 06/01/28 144A | 145,830 | |
546,000 | EIG Pearl Holdings SARL, 3.55%, due 08/31/36 144A | 468,572 | |
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32(f) | 221,955 | |
300,000 | Elevance Health, Inc., 3.60%, due 03/15/51 | 233,991 | |
5,000 | Elevance Health, Inc., 5.10%, due 01/15/44 | 4,898 | |
42,000 | Embraer Netherlands Finance BV, 5.05%, due 06/15/25 | 40,660 | |
250,000 | Embraer Overseas, Ltd., 5.70%, due 09/16/23 144A | 249,827 | |
523,000 | Emera US Finance, LP, 3.55%, due 06/15/26 | 498,880 | |
457,000 | Enbridge, Inc., 5.50% (3 mo. USD LIBOR + 3.42%), due 07/15/77(d) | 402,905 | |
560,000 | Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(d) | 499,558 | |
442,000 | Enbridge, Inc., 6.25% (3 mo. USD LIBOR + 3.64%), due 03/01/78(d) | 402,289 | |
148,000 | Encompass Health Corp., 4.50%, due 02/01/28 | 138,105 | |
126,000 | Encompass Health Corp., 4.63%, due 04/01/31 | 110,187 | |
225,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 223,535 | |
230,000 | Energean Israel Finance, Ltd., 4.50%, due 03/30/24(j) 144A | 225,544 | |
365,000 | Energean Israel Finance, Ltd., 4.88%, due 03/30/26(j) 144A | 338,994 | |
106,000 | Energean Israel Finance, Ltd., 5.38%, due 03/30/28(j) 144A | 95,135 | |
185,000 | Energean Israel Finance, Ltd., 5.88%, due 03/30/31(j) 144A | 162,569 | |
302,000 | Energy Transfer, LP, 4.20%, due 04/15/27 | 289,717 | |
580,000 | Energy Transfer, LP, 5.15%, due 03/15/45 | 505,936 | |
1,138,000 | Energy Transfer, LP, 5.25%, due 04/15/29 | 1,134,742 | |
150,000 | Energy Transfer, LP, 5.30%, due 04/01/44 | 132,989 | |
450,000 | Energy Transfer, LP, 5.30%, due 04/15/47 | 395,148 | |
677,000 | Energy Transfer, LP, 5.40%, due 10/01/47 | 602,782 | |
1,352,000 | Energy Transfer, LP, 5.50%, due 06/01/27 | 1,367,721 | |
340,000 | Energy Transfer, LP, 6.25%, due 04/15/49 | 337,486 | |
817,000 | Energy Transfer, LP, 6.50% (5 yr. CMT + 5.69%)(d)(h) | 721,002 | |
330,000 | Enova International, Inc., 8.50%, due 09/15/25(f) 144A | 313,188 | |
1,100,000 | Enterprise Products Operating LLC, 4.90%, due 05/15/46 | 1,015,645 | |
939,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD LIBOR + 3.03%), due 08/16/77(d) | 796,385 | |
80,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/27 144A | 80,398 | |
56,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/30 144A | 54,316 | |
115,000 | EQT Corp., 5.68%, due 10/01/25 | 114,777 | |
375,000 | Equifax, Inc., 5.10%, due 12/15/27 | 377,596 | |
460,000 | Essential Utilities, Inc., 2.70%, due 04/15/30 | 398,102 | |
925,000 | Essex Portfolio, LP REIT, 1.70%, due 03/01/28(f) | 796,008 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,320,000 | Eversource Energy, 2.90%, due 10/01/24 | 1,273,694 | |
1,250,000 | Eversource Energy, 2.90%, due 03/01/27 | 1,167,177 | |
1,066,000 | Exelon Corp., 3.35%, due 03/15/32 | 950,520 | |
285,000 | Exelon Corp., 4.70%, due 04/15/50 | 258,783 | |
1,128,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,069,065 | |
265,000 | Expedia Group, Inc., 2.95%, due 03/15/31 | 221,366 | |
509,000 | Expedia Group, Inc., 4.63%, due 08/01/27 | 499,281 | |
632,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 629,644 | |
133,000 | Extra Space Storage, LP REIT, 5.70%, due 04/01/28 | 133,995 | |
1,000,000 | Fairfax Financial Holdings, Ltd., 5.63%, due 08/16/32 144A | 983,957 | |
600,000 | Falabella SA, 4.38%, due 01/27/25 144A | 579,414 | |
1,328,000 | Ferguson Finance Plc, 3.25%, due 06/02/30 144A | 1,154,225 | |
2,130,000 | Ferguson Finance Plc, 4.50%, due 10/24/28 144A | 2,044,741 | |
219,000 | Fifth Third Bancorp, 5.10% (3 mo. USD LIBOR + 3.03%)(d)(h) | 190,205 | |
184,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26(f) 144A | 178,661 | |
289,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 278,871 | |
200,000 | First Quantum Minerals, Ltd., 7.50%, due 04/01/25(f) 144A | 200,036 | |
194,000 | FirstEnergy Corp., 2.65%, due 03/01/30 | 165,215 | |
117,000 | FirstEnergy Corp., 3.40%, due 03/01/50 | 80,394 | |
1,815,000 | Florida Power & Light Co., 2.45%, due 02/03/32 | 1,551,160 | |
270,000 | Flowserve Corp., 3.50%, due 10/01/30(f) | 233,993 | |
196,000 | Ford Motor Co., 3.25%, due 02/12/32 | 154,324 | |
175,000 | Ford Motor Co., 4.75%, due 01/15/43 | 134,439 | |
253,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 215,330 | |
1,280,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,219,464 | |
606,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/17/27 | 556,069 | |
720,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 676,948 | |
273,000 | Freedom Mortgage Corp., 8.13%, due 11/15/24 144A | 263,056 | |
493,000 | Freeport-McMoRan, Inc., 4.25%, due 03/01/30 | 456,563 | |
364,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30 | 344,245 | |
584,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 546,925 | |
826,000 | Fresenius Medical Care US Finance III, Inc., 2.38%, due 02/16/31 144A | 621,708 | |
163,000 | Full House Resorts, Inc., 8.25%, due 02/15/28(f) 144A | 148,477 | |
1,463,000 | GA Global Funding Trust, 3.85%, due 04/11/25 144A | 1,417,947 | |
100,000 | Gap, Inc. (The), 3.63%, due 10/01/29(f) 144A | 71,420 | |
100,000 | Gap, Inc. (The), 3.88%, due 10/01/31(f) 144A | 69,477 | |
483,000 | Gartner, Inc., 4.50%, due 07/01/28 144A | 458,930 | |
348,000 | GCI LLC, 4.75%, due 10/15/28 144A | 300,625 | |
91,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26 144A | 88,575 | |
440,000 | General Motors Co., 5.00%, due 04/01/35 | 404,961 | |
596,000 | General Motors Co., 5.40%, due 10/15/29 | 591,208 | |
213,000 | General Motors Co., 5.40%, due 04/01/48 | 183,177 | |
450,000 | General Motors Co., 6.25%, due 10/02/43 | 433,197 | |
1,736,000 | General Motors Financial Co., Inc., 2.40%, due 10/15/28 | 1,486,289 | |
230,000 | General Motors Financial Co., Inc., 2.70%, due 06/10/31 | 184,437 | |
605,000 | General Motors Financial Co., Inc., 2.90%, due 02/26/25 | 577,839 | |
200,000 | General Motors Financial Co., Inc., 3.10%, due 01/12/32 | 163,130 | |
1,474,000 | General Motors Financial Co., Inc., 3.60%, due 06/21/30 | 1,292,616 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
878,000 | General Motors Financial Co., Inc., 6.00%, due 01/09/28 | 899,159 | |
337,000 | Global Infrastructure Solutions, Inc., 5.63%, due 06/01/29 144A | 278,392 | |
325,000 | Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A | 259,150 | |
239,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 3.25%, due 01/15/32 | 194,130 | |
211,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/30 | 187,364 | |
1,000,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/31 | 858,710 | |
589,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 5.38%, due 04/15/26 | 572,157 | |
1,350,000 | Goldman Sachs Group, Inc. (The), 0.86% (SOFR + 0.61%), due 02/12/26(d) | 1,236,655 | |
975,000 | Goldman Sachs Group, Inc. (The), 1.43% (SOFR + 0.80%), due 03/09/27(d) | 873,359 | |
1,100,000 | Goldman Sachs Group, Inc. (The), 1.54% (SOFR + 0.82%), due 09/10/27(d) | 968,589 | |
720,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR + 1.25%), due 07/21/32(d) | 585,032 | |
1,425,000 | Goldman Sachs Group, Inc. (The), 2.62% (SOFR + 1.28%), due 04/22/32(d) | 1,187,901 | |
566,000 | Goldman Sachs Group, Inc. (The), 2.65% (SOFR + 1.26%), due 10/21/32(d) | 468,050 | |
890,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR + 1.41%), due 02/24/33(d) | 764,986 | |
1,200,000 | Goldman Sachs Group, Inc. (The), 3.27% (3 mo. USD LIBOR + 1.20%), due 09/29/25(d) | 1,164,901 | |
140,000 | Goldman Sachs Group, Inc. (The), 3.50%, due 01/23/25 | 136,102 | |
85,000 | Goldman Sachs Group, Inc. (The), 3.75%, due 02/25/26 | 82,690 | |
1,131,000 | Goldman Sachs Group, Inc. (The), 3.80%, due 03/15/30 | 1,054,447 | |
815,000 | Goldman Sachs Group, Inc. (The), 3.81% (3 mo. USD LIBOR + 1.16%), due 04/23/29(d) | 766,264 | |
325,000 | Goldman Sachs Group, Inc. (The), 3.85%, due 01/26/27 | 313,808 | |
370,000 | Graphic Packaging International LLC, 3.50%, due 03/01/29 144A | 320,856 | |
275,000 | Graphic Packaging International LLC, 4.13%, due 08/15/24 | 268,861 | |
200,000 | Greensaif Pipelines Bidco Sarl, 6.13%, due 02/23/38 144A | 205,939 | |
225,000 | Greensaif Pipelines Bidco Sarl, 6.51%, due 02/23/42 144A | 237,378 | |
120,000 | Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A | 105,804 | |
500,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 438,750 | |
410,000 | HCA, Inc., 4.38%, due 03/15/42 144A | 345,200 | |
418,000 | HCA, Inc., 5.25%, due 04/15/25 | 418,001 | |
332,000 | HCA, Inc., 5.25%, due 06/15/26 | 332,493 | |
25,000 | HCA, Inc., 5.38%, due 02/01/25 | 25,027 | |
275,000 | HCA, Inc., (MTN), 7.75%, due 07/15/36 | 308,808 | |
646,000 | Healthpeak Properties, Inc. REIT, 3.25%, due 07/15/26 | 614,263 | |
89,000 | Hess Midstream Operations, LP, 4.25%, due 02/15/30 144A | 79,592 | |
43,000 | Hess Midstream Operations, LP, 5.50%, due 10/15/30 144A | 40,048 | |
150,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.00%, due 04/15/30 144A | 138,510 | |
200,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 185,228 | |
167,000 | Hillenbrand, Inc., 3.75%, due 03/01/31 | 139,697 | |
247,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.88%, due 07/01/31 144A | 211,163 | |
312,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.00%, due 06/01/29 144A | 277,451 | |
777,000 | Home Depot, Inc. (The), 3.30%, due 04/15/40 | 646,754 | |
588,000 | Home Depot, Inc. (The), 3.63%, due 04/15/52 | 474,014 | |
597,000 | Host Hotels & Resorts, LP REIT, 3.38%, due 12/15/29 | 505,678 | |
350,000 | Host Hotels & Resorts, LP REIT, 3.50%, due 09/15/30 | 296,019 | |
260,000 | Host Hotels & Resorts, LP REIT, 4.50%, due 02/01/26 | 252,371 | |
1,368,000 | HSBC Holdings Plc, 7.39% (SOFR + 3.35%), due 11/03/28(d) | 1,457,181 | |
69,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 63,799 | |
368,000 | Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30 | 344,779 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
390,000 | Huntsman International LLC, 2.95%, due 06/15/31 | 320,733 | |
870,000 | Huntsman International LLC, 4.50%, due 05/01/29 | 817,795 | |
248,000 | Hyatt Hotels Corp., 6.00%, due 04/23/30(e) | 252,041 | |
226,000 | Hyundai Capital America, 1.80%, due 10/15/25 144A | 207,425 | |
235,000 | Hyundai Capital America, 2.38%, due 10/15/27 144A | 207,880 | |
20,000 | IHS Markit, Ltd., 4.75%, due 08/01/28 | 19,833 | |
126,000 | Infor, Inc., 1.75%, due 07/15/25 144A | 115,253 | |
200,000 | Instituto Costarricense de Electricidad, 6.38%, due 05/15/43(f) 144A | 162,500 | |
120,000 | Intel Corp., 5.63%, due 02/10/43 | 123,083 | |
223,000 | Intesa Sanpaolo SpA, 4.20% (1 yr. CMT + 2.60%), due 06/01/32(d) 144A | 162,479 | |
80,000 | IPALCO Enterprises, Inc., 4.25%, due 05/01/30 | 73,708 | |
106,000 | Iron Mountain Information Management Services, Inc. REIT, 5.00%, due 07/15/32 144A | 91,126 | |
210,000 | Iron Mountain, Inc. REIT, 4.88%, due 09/15/29 144A | 188,975 | |
221,000 | Iron Mountain, Inc. REIT, 5.25%, due 07/15/30 144A | 199,481 | |
125,000 | Jacobs Entertainment, Inc., 6.75%, due 02/15/29 144A | 109,326 | |
107,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 100,432 | |
1,050,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, due 02/02/29 144A | 897,146 | |
347,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.63%, due 01/15/32(f) 144A | 287,913 | |
95,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, due 12/01/31 144A | 78,523 | |
222,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.13%, due 02/01/28 144A | 214,808 | |
605,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 144A | 579,287 | |
325,570 | JetBlue Pass Through Trust, 2.75%, due 11/15/33 | 275,905 | |
2,000,000 | JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(d) | 1,736,813 | |
709,000 | JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(d) | 606,530 | |
460,000 | JPMorgan Chase & Co., 2.58% (SOFR + 1.25%), due 04/22/32(d) | 387,391 | |
405,000 | JPMorgan Chase & Co., 2.96% (SOFR + 1.26%), due 01/25/33(d) | 346,629 | |
790,000 | JPMorgan Chase & Co., 2.96% (SOFR + 2.52%), due 05/13/31(d) | 683,367 | |
3,605,000 | JPMorgan Chase & Co., 3.78% (3 mo. USD LIBOR + 1.34%), due 02/01/28(d) | 3,450,463 | |
625,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.38%), due 11/15/48(d) | 518,564 | |
585,000 | JPMorgan Chase & Co., 4.00% (3 mo. TSFR + 2.75%)(d)(f)(h) | 521,294 | |
340,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR + 1.12%), due 04/23/29(d) | 325,221 | |
2,450,000 | JPMorgan Chase & Co., 4.20% (3 mo. USD LIBOR + 1.26%), due 07/23/29(d) | 2,368,673 | |
1,207,000 | JPMorgan Chase & Co., 4.49% (3 mo. TSFR + 3.79%), due 03/24/31(d) | 1,173,649 | |
551,000 | JPMorgan Chase & Co., 4.60% (3 mo. TSFR + 3.13%)(d)(h) | 513,807 | |
180,000 | JPMorgan Chase & Co., 5.00% (3 mo. TSFR + 3.38%)(d)(h) | 172,930 | |
843,000 | JPMorgan Chase & Co., 6.75% (3 mo. USD LIBOR + 3.78%)(d)(f)(h) | 846,461 | |
92,000 | JW Aluminum Continuous Cast Co., 10.25%, due 06/01/26 144A | 92,588 | |
780,000 | Kaiser Foundation Hospitals, 2.81%, due 06/01/41 | 571,877 | |
200,000 | KazMunayGas National Co. JSC, 4.75%, due 04/24/25 144A | 194,265 | |
81,000 | KB Home, 7.25%, due 07/15/30 | 82,254 | |
383,000 | Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32 | 436,293 | |
640,000 | Kinder Morgan, Inc., 3.60%, due 02/15/51 | 454,459 | |
991,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43(f) 144A | 941,210 | |
257,000 | KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A | 177,667 | |
283,000 | KKR Group Finance Co. X LLC, 3.25%, due 12/15/51 144A | 179,027 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
335,000 | KLA Corp., 4.10%, due 03/15/29 | 330,060 | |
1,024,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 893,015 | |
228,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 | 212,087 | |
244,000 | Kraft Heinz Foods Co., 5.00%, due 06/04/42 | 234,229 | |
115,000 | Kraft Heinz Foods Co., 5.20%, due 07/15/45 | 111,609 | |
397,000 | Lam Research Corp., 2.88%, due 06/15/50 | 280,593 | |
100,000 | Lamb Weston Holdings, Inc., 4.13%, due 01/31/30 144A | 91,595 | |
325,000 | Lamb Weston Holdings, Inc., 4.38%, due 01/31/32 144A | 295,038 | |
450,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 429,539 | |
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86% (3 mo. USD LIBOR + 0.84%)(d)(g)(h)(k)(l) | — | |
890,000 | Lehman Brothers Holdings, Inc., 6.50%, due 07/19/17(g)(k)(l) | — | |
270,000 | Lehman Brothers Holdings, Inc., (MTN), 6.75%, due 12/28/17(g)(k)(l) | — | |
360,000 | Level 3 Financing, Inc., 3.40%, due 03/01/27 144A | 285,063 | |
511,000 | Leviathan Bond, Ltd., 6.50%, due 06/30/27(j) 144A | 491,837 | |
69,000 | Leviathan Bond, Ltd., 6.75%, due 06/30/30(j) 144A | 64,691 | |
230,000 | Liberty Mutual Group, Inc., 3.95%, due 10/15/50 144A | 174,830 | |
329,000 | Liberty Mutual Group, Inc., 4.13% (5 yr. CMT + 3.32%), due 12/15/51(d) 144A | 264,605 | |
254,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 252,618 | |
2,679,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29(f) 144A | 2,583,172 | |
2,434,000 | Lincoln National Corp., 3.40%, due 01/15/31(f) | 1,992,082 | |
129,000 | Lithia Motors, Inc., 3.88%, due 06/01/29(f) 144A | 111,748 | |
129,000 | Lithia Motors, Inc., 4.38%, due 01/15/31 144A | 111,283 | |
64,000 | Lithia Motors, Inc., 4.63%, due 12/15/27 144A | 59,600 | |
1,150,000 | Lloyds Banking Group Plc, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(d) | 1,079,161 | |
1,455,000 | Lloyds Banking Group Plc, 4.45%, due 05/08/25 | 1,416,332 | |
421,000 | Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(d)(h) | 398,312 | |
712,000 | Lockheed Martin Corp., 2.80%, due 06/15/50(f) | 517,746 | |
386,000 | Lowe's Cos., Inc., 3.70%, due 04/15/46 | 295,668 | |
953,000 | Lowe's Cos., Inc., 5.63%, due 04/15/53(f) | 957,574 | |
284,000 | LSC Communication Escrow, Inc., 8.75%, due 10/15/23(g)(k)(l) | 324 | |
720,000 | Lubrizol Corp. (The), 6.50%, due 10/01/34 | 863,794 | |
150,000 | LYB International Finance BV, 4.88%, due 03/15/44 | 132,650 | |
360,000 | LYB International Finance III LLC, 4.20%, due 05/01/50 | 282,071 | |
168,000 | M&T Bank Corp., 5.13% (3 mo. USD LIBOR + 3.52%)(d)(h) | 126,563 | |
320,000 | Macquarie Bank, Ltd., 3.62%, due 06/03/30 144A | 276,432 | |
416,000 | Macquarie Bank, Ltd., 4.88%, due 06/10/25 144A | 409,765 | |
943,000 | Macquarie Group, Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(d) 144A | 842,177 | |
149,000 | Macy's Retail Holdings LLC, 5.88%, due 04/01/29(f) 144A | 137,998 | |
64,000 | Macy's Retail Holdings LLC, 5.88%, due 03/15/30 144A | 56,878 | |
177,000 | Macy's Retail Holdings LLC, 6.13%, due 03/15/32(f) 144A | 155,971 | |
55,000 | Magellan Midstream Partners, LP, 4.25%, due 09/15/46 | 43,850 | |
200,000 | Magellan Midstream Partners, LP, 5.15%, due 10/15/43 | 181,189 | |
955,000 | Manulife Financial Corp., 3.70%, due 03/16/32(f) | 879,774 | |
420,000 | MARB BondCo Plc, 3.95%, due 01/29/31 144A | 319,725 | |
458,000 | Marriott International, Inc., 4.63%, due 06/15/30 | 444,920 | |
960,000 | Marriott International, Inc., 5.00%, due 10/15/27 | 962,715 | |
400,000 | Martin Marietta Materials, Inc., 2.50%, due 03/15/30 | 340,119 | |
733,000 | Marvell Technology, Inc., 2.45%, due 04/15/28 | 642,361 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
175,000 | Masonite International Corp., 3.50%, due 02/15/30 144A | 145,326 | |
460,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14(i) | 425,537 | |
1,255,000 | Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 144A | 921,748 | |
915,000 | Massachusetts Mutual Life Insurance Co., 5.67%, due 12/01/52 144A | 935,644 | |
224,000 | MasTec, Inc., 4.50%, due 08/15/28(f) 144A | 207,244 | |
132,000 | Match Group Holdings II LLC, 3.63%, due 10/01/31(f) 144A | 107,567 | |
162,000 | Match Group Holdings II LLC, 4.13%, due 08/01/30 144A | 139,698 | |
195,000 | Mauser Packaging Solutions Holding Co., 7.88%, due 08/15/26 144A | 195,176 | |
300,084 | MC Brazil Downstream Trading SARL, 7.25%, due 06/30/31 144A | 236,091 | |
900,000 | McDonald's Corp., (MTN), 4.20%, due 04/01/50 | 794,776 | |
202,000 | MDC Holdings, Inc., 2.50%, due 01/15/31 | 157,292 | |
475,000 | MetLife, Inc., 6.40%, due 12/15/36 | 460,230 | |
3,677,000 | Metropolitan Life Global Funding I, 3.30%, due 03/21/29 144A | 3,428,392 | |
200,000 | Mexico City Airport Trust, 5.50%, due 07/31/47(f) 144A | 154,200 | |
638,000 | MGM Resorts International, 4.75%, due 10/15/28 | 594,730 | |
426,000 | Michaels Cos, Inc. (The), 5.25%, due 05/01/28 144A | 355,484 | |
394,000 | Michaels Cos, Inc. (The), 7.88%, due 05/01/29(f) 144A | 276,172 | |
1,430,000 | Micron Technology, Inc., 4.19%, due 02/15/27 | 1,384,682 | |
1,346,000 | Micron Technology, Inc., 5.33%, due 02/06/29 | 1,355,004 | |
100,000 | MidAmerican Energy Co., 4.25%, due 07/15/49 | 89,579 | |
825,000 | Mid-Atlantic Interstate Transmission LLC, 4.10%, due 05/15/28 144A | 797,848 | |
483,000 | Midwest Connector Capital Co. LLC, 3.90%, due 04/01/24 144A | 474,680 | |
308,000 | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 05/01/29 144A | 268,107 | |
234,900 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 217,212 | |
300,000 | Mohegan Gaming & Entertainment, 8.00%, due 02/01/26 144A | 274,792 | |
950,000 | Moody's Corp., 3.25%, due 05/20/50 | 688,551 | |
1,529,000 | Morgan Stanley, 2.19% (SOFR + 1.99%), due 04/28/26(d) | 1,435,393 | |
710,000 | Morgan Stanley, 2.48% (SOFR + 1.36%), due 09/16/36(d) | 539,847 | |
1,478,000 | Morgan Stanley, 2.94% (SOFR + 1.29%), due 01/21/33(d)(f) | 1,253,273 | |
945,000 | Morgan Stanley, 3.59% (3 mo. USD LIBOR + 1.34%), due 07/22/28(d) | 893,336 | |
947,000 | Morgan Stanley, 4.21% (SOFR + 1.61%), due 04/20/28(d) | 920,077 | |
520,000 | Morgan Stanley, 6.34% (SOFR + 2.56%), due 10/18/33(d) | 568,395 | |
1,938,000 | Morgan Stanley, (MTN), 2.24% (SOFR + 1.18%), due 07/21/32(d) | 1,556,381 | |
785,000 | Morgan Stanley, (MTN), 2.70% (SOFR + 1.14%), due 01/22/31(d) | 676,625 | |
1,301,000 | Morgan Stanley, (MTN), 3.13%, due 07/27/26 | 1,233,155 | |
1,311,000 | Morgan Stanley, (MTN), 3.62% (SOFR + 3.12%), due 04/01/31(d) | 1,199,763 | |
620,000 | Morgan Stanley, (MTN), 3.77% (3 mo. USD LIBOR + 1.14%), due 01/24/29(d) | 587,690 | |
419,000 | Morgan Stanley, (MTN), 3.88%, due 01/27/26 | 409,185 | |
809,000 | Motorola Solutions, Inc., 2.30%, due 11/15/30 | 657,959 | |
624,000 | Motorola Solutions, Inc., 2.75%, due 05/24/31 | 515,702 | |
207,000 | Motorola Solutions, Inc., 4.60%, due 05/23/29 | 201,509 | |
385,000 | MPLX, LP, 4.00%, due 03/15/28 | 368,723 | |
87,000 | MPLX, LP, 4.13%, due 03/01/27 | 84,402 | |
297,000 | MPLX, LP, 4.25%, due 12/01/27 | 287,806 | |
250,000 | MPLX, LP, 4.50%, due 04/15/38 | 222,440 | |
355,000 | MPLX, LP, 4.70%, due 04/15/48 | 298,663 | |
290,000 | MPLX, LP, 4.95%, due 09/01/32 | 283,805 | |
257,000 | MPLX, LP, 5.00%, due 03/01/33 | 251,626 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
25,000 | MPLX, LP, 5.20%, due 03/01/47 | 22,434 | |
250,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31 | 168,525 | |
300,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27(f) | 247,081 | |
330,000 | MSCI, Inc., 3.63%, due 11/01/31 144A | 282,929 | |
145,000 | MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A | 142,173 | |
450,000 | Mylan, Inc., 5.40%, due 11/29/43(f) | 375,924 | |
119,000 | Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A | 91,567 | |
158,000 | Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A | 135,646 | |
62,000 | Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A | 56,324 | |
265,000 | NatWest Group Plc, 3.75% (5 yr. CMT + 2.10%), due 11/01/29(d) | 248,652 | |
210,000 | NatWest Group Plc, 5.08% (3 mo. USD LIBOR + 1.91%), due 01/27/30(d)(f) | 204,397 | |
430,000 | NatWest Group Plc, 6.00% (5 yr. CMT + 5.63%)(d)(h) | 393,278 | |
714,000 | NatWest Markets Plc, 1.60%, due 09/29/26 144A | 624,035 | |
329,000 | NBM US Holdings, Inc., 6.63%, due 08/06/29 144A | 304,884 | |
776,000 | Netflix, Inc., 4.88%, due 04/15/28 | 772,818 | |
439,000 | Netflix, Inc., 4.88%, due 06/15/30 144A | 437,494 | |
59,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 59,996 | |
617,000 | Netflix, Inc., 5.88%, due 11/15/28 | 649,917 | |
435,000 | Newmont Corp., 2.25%, due 10/01/30 | 365,636 | |
225,000 | Newmont Corp., 2.80%, due 10/01/29 | 199,136 | |
150,000 | Newmont Corp., 5.45%, due 06/09/44 | 150,445 | |
228,000 | News Corp., 3.88%, due 05/15/29 144A | 202,852 | |
136,000 | News Corp., 5.13%, due 02/15/32(f) 144A | 127,703 | |
661,000 | NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30 | 559,189 | |
358,000 | NextEra Energy Capital Holdings, Inc., 6.05%, due 03/01/25 | 364,380 | |
342,000 | NextEra Energy Operating Partners, LP, 3.88%, due 10/15/26 144A | 318,864 | |
75,000 | NextEra Energy Operating Partners, LP, 4.50%, due 09/15/27 144A | 71,695 | |
552,000 | Nippon Life Insurance Co., 2.75% (5 yr. CMT + 2.65%), due 01/21/51(d) 144A | 438,803 | |
311,000 | NiSource, Inc., 3.60%, due 05/01/30 | 287,223 | |
92,000 | NiSource, Inc., 5.25%, due 03/30/28 | 93,659 | |
239,000 | Nissan Motor Acceptance Co. LLC, 1.13%, due 09/16/24 144A | 223,535 | |
247,000 | Nissan Motor Acceptance Co. LLC, 1.85%, due 09/16/26 144A | 213,936 | |
245,000 | Nissan Motor Acceptance Co. LLC, 2.00%, due 03/09/26 144A | 217,267 | |
200,000 | Nomura Holdings, Inc., 2.61%, due 07/14/31 | 157,238 | |
970,000 | Norfolk Southern Corp., 4.84%, due 10/01/41 | 912,048 | |
195,000 | Northern States Power Co., 3.60%, due 09/15/47 | 157,125 | |
942,000 | Northrop Grumman Corp., 5.25%, due 05/01/50 | 976,985 | |
300,000 | NOVA Chemicals Corp., 4.88%, due 06/01/24 144A | 296,325 | |
621,000 | Novelis Corp., 4.75%, due 01/30/30 144A | 571,320 | |
531,000 | NRG Energy, Inc., 2.45%, due 12/02/27 144A | 454,713 | |
50,000 | NRG Energy, Inc., 3.38%, due 02/15/29 144A | 41,456 | |
194,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 155,774 | |
539,000 | NRG Energy, Inc., 3.88%, due 02/15/32 144A | 431,788 | |
312,000 | NRG Energy, Inc., 4.45%, due 06/15/29 144A | 283,215 | |
125,000 | NRG Energy, Inc., 5.25%, due 06/15/29(f) 144A | 116,221 | |
525,000 | NRG Energy, Inc., 5.75%, due 01/15/28(f) | 515,655 | |
402,000 | NRG Energy, Inc., 7.00%, due 03/15/33 144A | 416,840 | |
316,000 | NRG Energy, Inc., 10.25% (5 yr. CMT + 5.92%)(d)(h) 144A | 302,271 | |
250,000 | NSTAR Electric Co., 3.10%, due 06/01/51 | 179,463 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
315,000 | Nutrien, Ltd., 4.90%, due 06/01/43 | 290,004 | |
2,136,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25 | 2,028,332 | |
715,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26 | 690,902 | |
262,000 | Occidental Petroleum Corp., 6.45%, due 09/15/36 | 275,755 | |
215,000 | Occidental Petroleum Corp., 6.60%, due 03/15/46 | 226,287 | |
3,517,000 | Occidental Petroleum Corp., 6.85%, due 10/10/36(m) | 1,798,805 | |
256,000 | OCI NV, 6.70%, due 03/16/33 144A | 255,646 | |
150,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 137,670 | |
129,000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 125,130 | |
200,000 | OneMain Finance Corp., 8.25%, due 10/01/23 | 200,810 | |
655,000 | ONEOK, Inc., 3.10%, due 03/15/30 | 572,978 | |
390,000 | ONEOK, Inc., 4.45%, due 09/01/49 | 303,419 | |
200,000 | ONEOK, Inc., 4.95%, due 07/13/47 | 167,934 | |
1,200,000 | Oracle Corp., 1.65%, due 03/25/26 | 1,102,951 | |
964,000 | Oracle Corp., 2.95%, due 04/01/30 | 851,522 | |
1,106,000 | Oracle Corp., 3.95%, due 03/25/51 | 833,882 | |
790,000 | Oracle Corp., 4.90%, due 02/06/33 | 774,107 | |
425,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, due 04/30/28 144A | 388,879 | |
342,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A | 303,894 | |
208,000 | Oriflame Investment Holding Plc, 5.13%, due 05/04/26 144A | 126,880 | |
63,000 | Ovintiv, Inc., 7.20%, due 11/01/31 | 67,174 | |
62,000 | Owens Corning, 3.88%, due 06/01/30 | 57,462 | |
471,000 | Owens Corning, 3.95%, due 08/15/29 | 444,311 | |
350,000 | Owens Corning, 4.30%, due 07/15/47 | 288,267 | |
110,000 | Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27(f) 144A | 110,242 | |
330,000 | Pacific Gas & Electric Co., 6.70%, due 04/01/53 | 339,862 | |
265,000 | PacifiCorp, 2.70%, due 09/15/30(f) | 234,419 | |
195,000 | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due 10/15/28 144A | 170,671 | |
463,000 | Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due 10/15/27 144A | 416,337 | |
197,000 | Parkland Corp., 4.50%, due 10/01/29 144A | 175,285 | |
190,000 | Parkland Corp., 4.63%, due 05/01/30 144A | 169,192 | |
415,000 | PECO Energy Co., 3.05%, due 03/15/51(f) | 295,642 | |
205,000 | PECO Energy Co., 3.70%, due 09/15/47 | 166,395 | |
580,000 | Pennsylvania Electric Co., 3.60%, due 06/01/29 144A | 541,985 | |
76,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 46,797 | |
270,000 | Petroleos Mexicanos, 6.50%, due 03/13/27 | 245,610 | |
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 170,282 | |
338,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 219,974 | |
380,000 | Petroleos Mexicanos, 6.88%, due 08/04/26 | 361,112 | |
233,000 | Petroleos Mexicanos, 8.75%, due 06/02/29 | 216,913 | |
2,275,997 | PG&E Wildfire Recovery Funding LLC, 3.59%, due 06/01/32 | 2,175,103 | |
827,000 | PG&E Wildfire Recovery Funding LLC, 4.26%, due 06/01/38 | 801,696 | |
2,169,000 | PG&E Wildfire Recovery Funding LLC, 4.72%, due 06/01/39 | 2,172,183 | |
797,000 | Phillips 66 Co., 3.61%, due 02/15/25 144A | 774,774 | |
145,000 | Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29 | 134,811 | |
575,000 | Pilgrim's Pride Corp., 5.88%, due 09/30/27 144A | 572,073 | |
855,000 | Plains All American Pipeline, LP/PAA Finance Corp., 3.55%, due 12/15/29 | 765,367 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
63,000 | PNC Financial Services Group, Inc. (The), 3.15%, due 05/19/27 | 58,904 | |
722,000 | PNC Financial Services Group, Inc. (The), 3.40% (5 yr. CMT + 2.60%)(d)(h) | 574,365 | |
357,000 | PNC Financial Services Group, Inc. (The), 4.85% (3 mo. USD LIBOR + 3.04%)(d)(h) | 340,277 | |
2,074,000 | PNC Financial Services Group, Inc. (The), 5.35% (SOFR + 1.62%), due 12/02/28(d)(f) | 2,091,432 | |
364,000 | PNC Financial Services Group, Inc. (The), 6.25% (7 yr. CMT + 2.81%)(d)(h) | 339,430 | |
699,000 | PNC Financial Services Group, Inc. (The), 8.49% (3 mo. USD LIBOR + 3.68%)(d)(f)(h) | 691,943 | |
364,000 | Popular, Inc., 7.25%, due 03/13/28 | 360,447 | |
51,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A | 45,770 | |
136,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 127,288 | |
90,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 84,044 | |
284,000 | Prudential Financial, Inc., 5.13% (5 yr. CMT + 3.16%), due 03/01/52(d) | 250,954 | |
195,000 | Public Service Electric & Gas Co., (MTN), 2.70%, due 05/01/50 | 132,621 | |
445,000 | Public Service Electric & Gas Co., (MTN), 3.00%, due 05/15/27 | 420,791 | |
315,000 | Public Service Electric & Gas Co., (MTN), 3.20%, due 05/15/29 | 289,304 | |
1,700,000 | Public Service Enterprise Group, Inc., 2.88%, due 06/15/24 | 1,654,370 | |
515,000 | Public Storage REIT, 2.25%, due 11/09/31 | 427,716 | |
379,000 | Puget Energy, Inc., 2.38%, due 06/15/28 | 334,166 | |
900,000 | QatarEnergy, 1.38%, due 09/12/26 144A | 813,603 | |
275,000 | QatarEnergy, 2.25%, due 07/12/31 144A | 234,013 | |
282,000 | Qorvo, Inc., 3.38%, due 04/01/31 144A | 233,572 | |
130,000 | Radian Group, Inc., 4.50%, due 10/01/24 | 125,603 | |
1,761,000 | Raytheon Technologies Corp., 1.90%, due 09/01/31 | 1,438,930 | |
120,000 | Realty Income Corp. REIT, 2.85%, due 12/15/32 | 99,328 | |
330,000 | Realty Income Corp. REIT, 3.25%, due 01/15/31 | 291,095 | |
305,000 | Regal Rexnord Corp., 6.05%, due 02/15/26 144A | 306,653 | |
262,000 | Regal Rexnord Corp., 6.40%, due 04/15/33 144A | 262,474 | |
408,000 | Renesas Electronics Corp., 1.54%, due 11/26/24 144A | 381,183 | |
340,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29(f) 144A | 262,858 | |
346,000 | RHP Hotel Properties, LP/RHP Finance Corp. REIT, 4.50%, due 02/15/29(f) 144A | 312,947 | |
405,000 | Roper Technologies, Inc., 1.40%, due 09/15/27 | 351,405 | |
217,000 | Royalty Pharma Plc, 1.75%, due 09/02/27 | 188,181 | |
415,000 | RPM International, Inc., 2.95%, due 01/15/32 | 337,749 | |
258,000 | Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 | 248,034 | |
662,000 | Sabine Pass Liquefaction LLC, 4.50%, due 05/15/30 | 638,885 | |
231,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 | 230,353 | |
303,000 | Sabine Pass Liquefaction LLC, 5.88%, due 06/30/26 | 309,394 | |
247,000 | Sabre GLBL, Inc., 7.38%, due 09/01/25 144A | 220,941 | |
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 315,342 | |
290,000 | San Diego Gas & Electric Co., 4.15%, due 05/15/48 | 251,888 | |
466,000 | Santander Holdings USA, Inc., 2.49% (SOFR + 1.25%), due 01/06/28(d) | 403,440 | |
1,209,000 | Santander Holdings USA, Inc., 3.24%, due 10/05/26 | 1,096,632 | |
1,093,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 1,024,129 | |
620,000 | Santander Holdings USA, Inc., 3.50%, due 06/07/24 | 602,051 | |
199,000 | Santander Holdings USA, Inc., 4.40%, due 07/13/27 | 186,483 | |
267,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 223,560 | |
200,000 | Sasol Financing USA LLC, 5.88%, due 03/27/24 | 197,841 | |
200,000 | Sasol Financing USA LLC, 6.50%, due 09/27/28 | 187,098 | |
186,000 | SBA Tower Trust REIT, 6.60%, due 01/15/28 144A | 196,648 | |
411,000 | SBL Holdings, Inc., 5.00%, due 02/18/31 144A | 341,354 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,666,000 | Schlumberger Holdings Corp., 3.90%, due 05/17/28 144A | 1,603,130 | |
115,000 | Sensata Technologies, Inc., 3.75%, due 02/15/31(f) 144A | 100,729 | |
349,000 | Service Corp. International, 4.00%, due 05/15/31 | 306,806 | |
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 942,969 | |
344,000 | Sirius XM Radio, Inc., 4.00%, due 07/15/28 144A | 295,840 | |
593,000 | Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A | 555,819 | |
220,000 | SMBC Aviation Capital Finance DAC, 2.30%, due 06/15/28 144A | 185,864 | |
1,130,000 | Societe Generale SA, 1.79% (1 yr. CMT + 1.00%), due 06/09/27(d) 144A | 980,860 | |
710,000 | Societe Generale SA, 2.80% (1 yr. CMT + 1.30%), due 01/19/28(d) 144A | 627,592 | |
514,000 | Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(d)(f)(h) 144A | 371,332 | |
810,000 | Societe Generale SA, 5.60% (SOFR + 1.05%), due 01/21/26(d) 144A | 789,158 | |
281,000 | Societe Generale SA, 6.22% (1 yr. CMT + 3.20%), due 06/15/33(d) 144A | 261,512 | |
794,000 | Societe Generale SA, 6.45% (1 yr. CMT + 2.55%), due 01/10/29(d)(f) 144A | 797,190 | |
200,000 | Sotheby's, 7.38%, due 10/15/27(f) 144A | 189,400 | |
570,000 | Southern California Edison Co., 3.45%, due 02/01/52 | 418,418 | |
335,000 | Southern California Edison Co., 4.00%, due 04/01/47 | 275,883 | |
1,318,000 | Southern Co. (The), 3.25%, due 07/01/26 | 1,257,774 | |
1,260,000 | Southern Co. Gas Capital Corp., 2.45%, due 10/01/23 | 1,239,863 | |
755,000 | Southwest Airlines Co., 2.63%, due 02/10/30 | 637,711 | |
294,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 260,028 | |
1,701,000 | Spirit Realty, LP REIT, 2.10%, due 03/15/28 | 1,430,227 | |
300,000 | Sprint LLC, 7.13%, due 06/15/24 | 305,241 | |
243,000 | Stagwell Global LLC, 5.63%, due 08/15/29 144A | 213,353 | |
118,000 | Standard Industries, Inc., 3.38%, due 01/15/31 144A | 94,969 | |
590,000 | Standard Industries, Inc., 4.38%, due 07/15/30 144A | 513,967 | |
25,000 | Standard Industries, Inc., 4.75%, due 01/15/28(f) 144A | 23,390 | |
175,000 | Starwood Property Trust, Inc. REIT, 3.63%, due 07/15/26 144A | 145,581 | |
200,000 | State Grid Overseas Investment BVI, Ltd., 3.50%, due 05/04/27 144A | 194,322 | |
330,000 | State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(d) | 295,104 | |
920,000 | Steel Dynamics, Inc., 3.45%, due 04/15/30 | 837,473 | |
2,695,000 | Stellantis Finance US, Inc., 1.71%, due 01/29/27 144A | 2,385,950 | |
605,000 | Stellantis Finance US, Inc., 2.69%, due 09/15/31 144A | 489,117 | |
77,000 | Sunoco, LP/Sunoco Finance Corp., 4.50%, due 05/15/29 | 70,776 | |
329,000 | Sunoco, LP/Sunoco Finance Corp., 4.50%, due 04/30/30 | 297,911 | |
187,000 | Take-Two Interactive Software, Inc., 3.55%, due 04/14/25 | 182,217 | |
225,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 201,376 | |
740,000 | Targa Resources Corp., 4.95%, due 04/15/52 | 614,989 | |
467,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.00%, due 01/15/32 | 407,530 | |
125,000 | Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A | 115,502 | |
110,000 | Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A | 108,068 | |
150,000 | Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, due 03/01/24 144A | 149,132 | |
926,000 | Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A | 782,505 | |
34,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 38,203 | |
1,125,000 | Teledyne Technologies, Inc., 2.75%, due 04/01/31(f) | 960,180 | |
163,000 | Telesat Canada/Telesat LLC, 5.63%, due 12/06/26 144A | 84,263 | |
50,000 | Tenet Healthcare Corp., 4.38%, due 01/15/30 | 44,920 | |
223,000 | Tenet Healthcare Corp., 4.63%, due 07/15/24 | 220,206 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
50,000 | T-Mobile USA, Inc., 2.88%, due 02/15/31 | 43,185 | |
521,000 | T-Mobile USA, Inc., 3.38%, due 04/15/29 | 475,458 | |
2,019,000 | T-Mobile USA, Inc., 3.50%, due 04/15/25 | 1,963,645 | |
742,000 | T-Mobile USA, Inc., 3.88%, due 04/15/30 | 696,814 | |
1,000,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50 | 871,743 | |
1,595,000 | Toll Brothers Finance Corp., 4.35%, due 02/15/28 | 1,506,292 | |
1,475,000 | Toronto-Dominion Bank (The), 1.95%, due 01/12/27(f) | 1,321,337 | |
321,000 | Total Play Telecomunicaciones SA de CV, 6.38%, due 09/20/28(f) 144A | 157,662 | |
548,000 | Total Play Telecomunicaciones SA de CV, 7.50%, due 11/12/25 144A | 328,389 | |
1,453,000 | Toyota Motor Credit Corp., (MTN), 3.00%, due 04/01/25 | 1,408,349 | |
140,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50 | 111,649 | |
500,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48 | 440,065 | |
270,000 | TransDigm, Inc., 5.50%, due 11/15/27 | 254,881 | |
175,000 | Travel + Leisure Co., 4.63%, due 03/01/30 144A | 150,273 | |
166,000 | Travel + Leisure Co., 6.60%, due 10/01/25(e) | 166,999 | |
170,000 | TriNet Group, Inc., 3.50%, due 03/01/29 144A | 145,571 | |
156,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.13%, due 04/01/29 144A | 96,062 | |
215,000 | Tutor Perini Corp., 6.88%, due 05/01/25(f) 144A | 151,841 | |
538,000 | Uber Technologies, Inc., 4.50%, due 08/15/29 144A | 491,261 | |
316,000 | Uber Technologies, Inc., 7.50%, due 05/15/25 144A | 320,362 | |
493,000 | Uber Technologies, Inc., 7.50%, due 09/15/27 144A | 508,865 | |
765,000 | UBS Group AG, 1.49% (1 yr. CMT + 0.85%), due 08/10/27(d) 144A | 659,557 | |
375,000 | UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(d) 144A | 291,381 | |
1,897,000 | UBS Group AG, 4.13%, due 04/15/26 144A | 1,804,789 | |
474,850 | United Airlines Pass Through Trust, 3.45%, due 01/07/30 | 412,761 | |
374,502 | United Airlines Pass Through Trust, 3.65%, due 07/07/27 | 349,640 | |
505,694 | United Airlines Pass Through Trust, 3.75%, due 03/03/28 | 474,066 | |
2,090,258 | United Airlines Pass Through Trust, 4.00%, due 10/11/27 | 1,973,525 | |
379,275 | United Airlines Pass Through Trust, 4.55%, due 02/25/33 | 335,783 | |
181,377 | United Airlines Pass Through Trust, 4.60%, due 09/01/27 | 171,616 | |
191,728 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 185,546 | |
1,453,986 | United Airlines Pass Through Trust, 5.88%, due 04/15/29 | 1,451,539 | |
307,000 | United Airlines, Inc., 4.38%, due 04/15/26 144A | 294,069 | |
98,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 88,771 | |
150,000 | United Rentals North America, Inc., 3.75%, due 01/15/32 | 129,347 | |
251,000 | United Rentals North America, Inc., 3.88%, due 11/15/27 | 235,626 | |
37,000 | United Rentals North America, Inc., 3.88%, due 02/15/31 | 32,693 | |
748,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 716,060 | |
35,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 33,721 | |
390,000 | UnitedHealth Group, Inc., 3.05%, due 05/15/41 | 307,803 | |
155,000 | UnitedHealth Group, Inc., 3.25%, due 05/15/51 | 116,676 | |
1,328,000 | UnitedHealth Group, Inc., 5.05%, due 04/15/53 | 1,344,117 | |
433,000 | Universal Health Services, Inc., 1.65%, due 09/01/26 | 381,364 | |
430,000 | Universal Health Services, Inc., 2.65%, due 10/15/30(f) | 345,096 | |
120,000 | University of Chicago (The), 2.76%, due 04/01/45 | 93,944 | |
350,000 | University of Southern California, 2.95%, due 10/01/51 | 249,979 | |
122,000 | Univision Communications, Inc., 4.50%, due 05/01/29 144A | 102,622 | |
1,018,877 | US Airways Pass Through Trust, 4.63%, due 12/03/26 | 963,778 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
67,307 | US Airways Pass Through Trust, 5.90%, due 04/01/26 | 66,911 | |
66,968 | US Airways Pass Through Trust, 6.25%, due 10/22/24 | 66,915 | |
179,854 | US Airways Pass Through Trust, 7.13%, due 04/22/25 | 179,695 | |
1,481,000 | US Bancorp, 5.73% (SOFR + 1.43%), due 10/21/26(d) | 1,488,793 | |
403,000 | Valvoline, Inc., 3.63%, due 06/15/31 144A | 342,667 | |
413,000 | Var Energi ASA, 8.00%, due 11/15/32 144A | 440,310 | |
165,000 | Varex Imaging Corp., 7.88%, due 10/15/27 144A | 161,768 | |
325,000 | Vector Group, Ltd., 5.75%, due 02/01/29 144A | 289,599 | |
180,000 | Ventas Realty, LP REIT, 3.50%, due 02/01/25 | 173,467 | |
148,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A | 133,629 | |
243,000 | Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A | 213,740 | |
285,000 | VeriSign, Inc., 2.70%, due 06/15/31 | 241,831 | |
878,000 | Verisk Analytics, Inc., 3.63%, due 05/15/50 | 645,245 | |
1,300,000 | Verizon Communications, Inc., 2.55%, due 03/21/31 | 1,108,018 | |
578,000 | Verizon Communications, Inc., 2.88%, due 11/20/50 | 385,028 | |
1,224,000 | Verizon Communications, Inc., 3.55%, due 03/22/51(f) | 935,389 | |
190,000 | Viatris, Inc., 2.30%, due 06/22/27 | 166,619 | |
377,000 | Viatris, Inc., 2.70%, due 06/22/30 | 306,624 | |
325,000 | Viatris, Inc., 3.85%, due 06/22/40 | 228,395 | |
501,000 | Viatris, Inc., 4.00%, due 06/22/50 | 330,082 | |
106,000 | VICI Properties, LP REIT, 5.13%, due 05/15/32 | 99,962 | |
305,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 3.88%, due 02/15/29 144A | 271,494 | |
219,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.13%, due 08/15/30 144A | 193,637 | |
470,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.63%, due 12/01/29 144A | 428,280 | |
1,400,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 1,355,826 | |
460,000 | Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A | 444,363 | |
1,026,000 | Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A | 948,150 | |
881,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 789,603 | |
135,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 127,832 | |
241,000 | Vodafone Group Plc, 5.63%, due 02/10/53 | 238,297 | |
432,000 | Vodafone Group Plc, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(d) | 430,313 | |
72,000 | Volcan Cia Minera SAA, 4.38%, due 02/11/26 144A | 59,654 | |
340,000 | WakeMed, 3.29%, due 10/01/52 | 243,437 | |
576,000 | Warnermedia Holdings, Inc., 5.05%, due 03/15/42 144A | 482,307 | |
1,618,000 | Warnermedia Holdings, Inc., 5.14%, due 03/15/52 144A | 1,312,758 | |
1,237,000 | Waste Management, Inc., 4.15%, due 04/15/32 | 1,199,670 | |
1,497,000 | Wells Fargo & Co., 5.88% (3 mo. USD LIBOR + 3.99%)(d)(f)(h) | 1,474,545 | |
1,212,000 | Wells Fargo & Co., (MTN), 2.39% (SOFR + 2.10%), due 06/02/28(d) | 1,092,167 | |
765,000 | Wells Fargo & Co., (MTN), 2.57% (SOFR + 1.26%), due 02/11/31(d) | 648,831 | |
1,082,000 | Wells Fargo & Co., (MTN), 2.88% (3 mo. TSFR + 1.43%), due 10/30/30(d) | 940,996 | |
1,157,000 | Wells Fargo & Co., (MTN), 3.35% (SOFR + 1.50%), due 03/02/33(d) | 1,003,809 | |
3,670,000 | Wells Fargo & Co., (MTN), 4.81% (SOFR + 1.98%), due 07/25/28(d) | 3,626,972 | |
662,000 | Western Digital Corp., 4.75%, due 02/15/26 | 636,010 | |
394,000 | Western Midstream Operating, LP, 4.30%, due 02/01/30(e) | 359,032 | |
98,000 | Western Midstream Operating, LP, 6.15%, due 04/01/33(c) | 99,452 | |
350,000 | William Carter Co. (The), 5.63%, due 03/15/27 144A | 340,531 | |
477,000 | Williams Cos., Inc. (The), 3.75%, due 06/15/27 | 458,022 | |
416,000 | Williams Cos., Inc. (The), 4.65%, due 08/15/32 | 401,227 | |
530,000 | Williams Cos., Inc. (The), 5.40%, due 03/02/26 | 540,265 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
360,000 | WMG Acquisition Corp., 3.88%, due 07/15/30 144A | 316,445 | |
300,000 | Wolverine World Wide, Inc., 4.00%, due 08/15/29(f) 144A | 244,120 | |
988,000 | Workday, Inc., 3.50%, due 04/01/27 | 945,949 | |
665,000 | WP Carey, Inc. REIT, 2.25%, due 04/01/33(f) | 507,394 | |
140,000 | Wyndham Hotels & Resorts, Inc., 4.38%, due 08/15/28 144A | 129,105 | |
98,000 | XHR, LP REIT, 4.88%, due 06/01/29 144A | 83,217 | |
610,000 | Yale University, 2.40%, due 04/15/50(f) | 412,079 | |
1,070,000 | Yamana Gold, Inc., 2.63%, due 08/15/31 | 861,596 | |
1,220,000 | Yara International ASA, 4.75%, due 06/01/28 144A | 1,167,574 | |
259,000 | Yum! Brands, Inc., 3.63%, due 03/15/31 | 227,635 | |
153,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 146,336 | |
441,563,667 | |||
Mortgage Backed Securities - Private Issuers — 9.4% | |||
119,321 | Angel Oak Mortgage Trust CMO, Series 2020-R1, Class A1, 0.99%, due 04/25/53(b) 144A | 108,425 | |
190,731 | Angel Oak Mortgage Trust CMO, Series 2021-2, Class A1, 0.99%, due 04/25/66(b) 144A | 160,414 | |
373,433 | Angel Oak Mortgage Trust CMO, Series 2021-4, Class A1, 1.04%, due 01/20/65(b) 144A | 301,329 | |
365,300 | Angel Oak Mortgage Trust CMO, Series 2021-5, Class A1, 0.95%, due 07/25/66(b) 144A | 302,148 | |
1,800,000 | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due 05/15/53 144A | 1,524,112 | |
2,500,000 | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A4, 2.25%, due 06/15/54 144A | 2,020,136 | |
218,961 | Arroyo Mortgage Trust CMO, Series 2021-1R, Class A1, 1.18%, due 10/25/48(b) 144A | 178,281 | |
147,000 | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.72%, due 11/05/32(b) 144A | 105,066 | |
1,009,886 | BANK, Series 2019-BN20, Class A2, 2.76%, due 09/15/62 | 881,860 | |
850,000 | BANK, Series 2019-BN23, Class A2, 2.67%, due 12/15/52 | 733,177 | |
1,806,000 | BANK, Series 2020-BN26, Class A2, 2.04%, due 03/15/63 | 1,600,995 | |
1,800,000 | BANK, Series 2020-BN26, Class A3, 2.16%, due 03/15/63 | 1,492,302 | |
869,000 | BANK, Series 2020-BN30, Class A4, 1.93%, due 12/15/53 | 682,367 | |
3,000,000 | BANK, Series 2021-BN32, Class A4, 2.35%, due 04/15/54 | 2,498,232 | |
2,300,000 | BANK, Series 2021-BN34, Class A4, 2.16%, due 06/15/63 | 1,855,425 | |
200,000 | BBCMS Mortgage Trust, Series 2015-SRCH, Class D, 4.96%, due 08/10/35(b) 144A | 171,137 | |
3,000,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 5.56% (1 mo. USD LIBOR + 0.72%), due 03/15/37(d) 144A | 2,751,692 | |
2,000,000 | BBCMS Mortgage Trust, Series 2022-C14, Class A4, 2.69%, due 02/15/55 | 1,668,416 | |
184,463 | Bellemeade Re, Ltd. CMO, Series 2021-2A, Class M1A, 5.76% (SOFR 30-day average + 1.20%), due 06/25/31(d) 144A | 183,199 | |
1,350,000 | Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72 | 1,155,035 | |
600,000 | Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53 | 490,317 | |
1,200,000 | Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53 | 1,100,903 | |
1,800,000 | Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A | 1,695,424 | |
3,039,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54 | 2,749,185 | |
1,700,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54 | 1,338,279 | |
900,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54 | 774,236 | |
1,750,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54 | 1,439,200 | |
1,250,000 | Benchmark Mortgage Trust, Series 2021-B28, Class ASB, 1.98%, due 08/15/54 | 1,049,860 | |
1,800,000 | Benchmark Mortgage Trust, Series 2021-B31, Class A4, 2.42%, due 12/15/54 | 1,462,345 | |
1,800,000 | Benchmark Mortgage Trust, Series 2022-B33, Class A5, 3.46%, due 03/15/55 | 1,588,412 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
628,000 | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A, 6.60% (1 mo. TSFR + 1.77%), due 05/15/39(d) 144A | 610,755 | |
136,000 | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class B, 7.15% (1 mo. TSFR + 2.32%), due 05/15/39(d) 144A | 132,018 | |
1,038,000 | BPR Trust, Series 2022-OANA, Class A, 6.73% (1 mo. TSFR + 1.90%), due 04/15/37(d) 144A | 999,880 | |
205,261 | BRAVO Residential Funding Trust CMO, Series 2021-NQM1, Class A1, 0.94%, due 02/25/49(b) 144A | 180,960 | |
1,277,263 | BX Commercial Mortgage Trust, Series 2019-XL, Class A, 5.86% (1 mo. TSFR + 1.03%), due 10/15/36(d) 144A | 1,263,595 | |
379,271 | BX Commercial Mortgage Trust, Series 2020-VKNG, Class A, 5.87% (1 mo. TSFR + 1.04%), due 10/15/37(d) 144A | 371,175 | |
355,000 | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 5.54% (1 mo. USD LIBOR + 0.85%), due 11/15/38(d) 144A | 341,770 | |
1,531,000 | BX Commercial Mortgage Trust, Series 2021-CIP, Class A, 5.61% (1 mo. USD LIBOR + 0.92%), due 12/15/38(d) 144A | 1,477,811 | |
1,516,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, 5.38% (1 mo. USD LIBOR + 0.70%), due 09/15/36(d) 144A | 1,459,748 | |
342,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class C, 5.78% (1 mo. USD LIBOR + 1.10%), due 09/15/36(d) 144A | 322,999 | |
876,000 | BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 5.82% (1 mo. TSFR + 0.99%), due 01/17/39(d) 144A | 841,050 | |
427,000 | BX Trust, Series 2022-CLS, Class A, 5.76%, due 10/13/27 144A | 418,060 | |
1,200,000 | CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57 | 1,039,969 | |
981,459 | CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(b) 144A | 932,353 | |
585,267 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58 | 548,839 | |
2,349,356 | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49 | 2,175,234 | |
233,000 | CFK Trust CMO, Series 2020-MF2, Class A, 2.39%, due 03/15/39 144A | 204,539 | |
330,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72 | 285,977 | |
761,000 | Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class A, 4.15%, due 01/10/36 144A | 745,827 | |
27,500,000 | Citigroup Commercial Mortgage Trust, (IO), Series 2014-GC21, Class XB, 0.44%, due 05/10/47(b) 144A | 108,080 | |
265,054 | COLT Mortgage Loan Trust CMO, Series 2021-2, Class A1, 0.92%, due 08/25/66(b) 144A | 212,314 | |
398,850 | COLT Mortgage Loan Trust CMO, Series 2021-3, Class A1, 0.96%, due 09/27/66(b) 144A | 317,738 | |
269,099 | COLT Mortgage Loan Trust CMO, Series 2021-HX1, Class A1, 1.11%, due 10/25/66(b) 144A | 216,412 | |
520,723 | COLT Trust CMO, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(b) 144A | 450,743 | |
235,000 | Commercial Mortgage Trust, Series 2013-300P, Class D, 4.39%, due 08/10/30(b) 144A | 201,512 | |
856,717 | Commercial Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 821,319 | |
862,000 | Commercial Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48 | 825,177 | |
150,000 | Commercial Mortgage Trust, Series 2017-PANW, Class A, 3.24%, due 10/10/29 144A | 142,123 | |
223,000 | Commercial Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A | 208,007 | |
396,697 | Connecticut Avenue Securities Trust CMO, Series 2022-R03, Class 1M1, 6.66% (SOFR 30-day average + 2.10%), due 03/25/42(d) 144A | 396,147 | |
168,439 | Connecticut Avenue Securities Trust CMO, Series 2022-R04, Class 1M1, 6.56% (SOFR 30-day average + 2.00%), due 03/25/42(d) 144A | 168,624 | |
354,119 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 6.28% (1 mo. USD LIBOR + 1.60%), due 05/15/36(d) 144A | 346,388 | |
260,944 | Credit Suisse Mortgage Trust, Series 2020-NET, Class A, 2.26%, due 08/15/37 144A | 234,890 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
226,702 | Credit Suisse Mortgage Trust CMO, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(b) 144A | 214,610 | |
254,164 | Credit Suisse Mortgage Trust CMO, Series 2020-RPL6, Class A1, 2.69%, due 03/25/59(b) 144A | 246,509 | |
216,839 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM2, Class A1, 1.18%, due 02/25/66(b) 144A | 183,769 | |
198,665 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM3, Class A1, 1.02%, due 04/25/66(b) 144A | 162,558 | |
138,182 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM5, Class A1, 0.94%, due 05/25/66(b) 144A | 109,391 | |
353,938 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM6, Class A1, 1.17%, due 07/25/66(b) 144A | 285,862 | |
1,048,493 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50 | 951,100 | |
775,000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50 | 713,995 | |
1,050,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52 | 907,922 | |
1,817,313 | CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54 | 1,516,066 | |
322,519 | Ellington Financial Mortgage Trust CMO, Series 2021-1, Class A1, 0.80%, due 02/25/66(b) 144A | 270,659 | |
78,756 | Ellington Financial Mortgage Trust CMO, Series 2021-2, Class A1, 0.93%, due 06/25/66(b) 144A | 63,677 | |
1,089,222 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-2, Class MA, 3.50%, due 11/25/57 | 1,046,537 | |
399,049 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class MA, 3.50%, due 08/25/57(b) | 383,536 | |
1,596,126 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-4, Class MA, 3.50%, due 03/25/58 | 1,532,479 | |
668,580 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class MA, 3.50%, due 07/25/58 | 639,583 | |
1,225,432 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-2, Class MA, 3.50%, due 08/25/58 | 1,170,175 | |
932,538 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class MA, 3.00%, due 02/25/59 | 875,722 | |
843,454 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class MA, 2.50%, due 08/25/59 | 778,926 | |
2,126,549 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2022-1, Class MAU, 3.25%, due 11/25/61 | 1,988,788 | |
570,266 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA1, Class M1A, 5.56% (SOFR 30-day average + 1.00%), due 01/25/42(d) 144A | 559,182 | |
437,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA2, Class M1B, 6.96% (SOFR 30-day average + 2.40%), due 02/25/42(d) 144A | 425,067 | |
660,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA3, Class M1B, 7.46% (SOFR 30-day average + 2.90%), due 04/25/42(d) 144A | 655,916 | |
519,298 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA4, Class M1A, 6.76% (SOFR 30-day average + 2.20%), due 05/25/42(d) 144A | 521,892 | |
429,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA4, Class M1B, 7.91% (SOFR 30-day average + 3.35%), due 05/25/42(d) 144A | 432,508 | |
529,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA5, Class M1B, 9.06% (SOFR 30-day average + 4.50%), due 06/25/42(d) 144A | 549,641 | |
275,779 | Flagstar Mortgage Trust CMO, Series 2020-2, Class A2, 3.00%, due 08/25/50(b) 144A | 236,692 | |
475,812 | Flagstar Mortgage Trust CMO, Series 2021-1, Class A2, 2.50%, due 02/01/51(b) 144A | 389,115 | |
1,319,894 | Flagstar Mortgage Trust CMO, Series 2021-6INV, Class A4, 2.50%, due 08/25/51(b) 144A | 1,074,467 | |
212,705 | GCAT Trust CMO, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(b) 144A | 179,883 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
169,649 | GCAT Trust CMO, Series 2021-NQM2, Class A1, 1.04%, due 05/25/66(b) 144A | 139,666 | |
265,920 | GCAT Trust CMO, Series 2021-NQM3, Class A1, 1.09%, due 05/25/66(b) 144A | 218,332 | |
389,537 | GCAT Trust CMO, Series 2023-NQM2, Class A1, 5.84%, due 11/25/67(e) 144A | 386,267 | |
196,000 | GS Mortgage Securities Corp. Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37 144A | 181,866 | |
445,385 | GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 5.48% (1 mo. USD LIBOR + 0.70%), due 11/21/35(d) 144A | 418,793 | |
828,873 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 797,673 | |
2,636,551 | GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50 | 2,511,293 | |
1,600,000 | GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53 | 1,313,671 | |
1,062,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class A5, 2.01%, due 12/12/53 | 849,587 | |
1,143,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53 | 989,910 | |
1,900,000 | GS Mortgage Securities Trust, Series 2021-GSA3, Class A4, 2.37%, due 12/15/54 | 1,535,616 | |
114,589 | GS Mortgage-Backed Securities Corp. Trust CMO, Series 2021-NQM1, Class A1, 1.02%, due 07/25/61(b) 144A | 99,194 | |
46,225 | GS Mortgage-Backed Securities Trust CMO, Series 2020-NQM1, Class A1, 1.38%, due 09/27/60(b) 144A | 42,259 | |
75,439 | Home RE, Ltd. CMO, Series 2021-2, Class M1A, 5.81% (SOFR 30-day average + 1.25%), due 01/25/34(d) 144A | 75,388 | |
156,617 | Imperial Fund Mortgage Trust CMO, Series 2021-NQM1, Class A1, 1.07%, due 06/25/56(b) 144A | 133,268 | |
388,700 | Imperial Fund Mortgage Trust CMO, Series 2023-NQM1, Class A1, 5.94%, due 02/25/68(e) 144A | 385,007 | |
170,000 | IMT Trust, Series 2017-APTS, Class CFX, 3.50%, due 06/15/34(b) 144A | 162,045 | |
707,000 | INTOWN Mortgage Trust, Series 2022-STAY, Class A, 7.32% (1 mo. TSFR + 2.49%), due 08/15/39(d) 144A | 702,951 | |
335,000 | Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.17%, due 05/15/48(b) 144A | 325,732 | |
272,033 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 271,303 | |
663 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A2, 2.82%, due 11/15/48 | 661 | |
677,282 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49 | 637,774 | |
936,966 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due 03/15/50 | 883,565 | |
680,743 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3, 2.56%, due 08/15/49 | 629,774 | |
779,049 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3, 3.11%, due 07/15/50 | 753,768 | |
821,311 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%, due 06/13/52 | 797,913 | |
267,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX, 2.81%, due 01/16/37 144A | 243,028 | |
193,000 | KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 6.03% (1 mo. USD LIBOR + 1.35%), due 05/15/36(d) 144A | 188,419 | |
538,296 | Legacy Mortgage Asset Trust CMO, Series 2019-PR1, Class A1, 6.86%, due 09/25/59(e) 144A | 539,637 | |
196,607 | Legacy Mortgage Asset Trust CMO, Series 2020-GS1, Class A1, 5.88%, due 10/25/59(e) 144A | 196,573 | |
78,051 | Legacy Mortgage Asset Trust CMO, Series 2021-GS1, Class A1, 1.89%, due 10/25/66(e) 144A | 72,639 | |
481,655 | Life Mortgage Trust, Series 2021-BMR, Class A, 5.64% (1 mo. TSFR + 0.81%), due 03/15/38(d) 144A | 467,869 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
418,745 | Life Mortgage Trust, Series 2021-BMR, Class D, 6.34% (1 mo. TSFR + 1.51%), due 03/15/38(d) 144A | 396,517 | |
1,028,000 | Life Mortgage Trust, Series 2022-BMR2, Class A1, 6.12% (1 mo. TSFR + 1.30%), due 05/15/39(d) 144A | 1,006,720 | |
368,563 | MetLife Securitization Trust CMO, Series 2020-INV1, Class A2A, 2.50%, due 05/25/50(b) 144A | 306,599 | |
133,085 | MFA Trust CMO, Series 2021-NQM1, Class A1, 1.15%, due 04/25/65(b) 144A | 117,382 | |
1,737,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.31%, due 04/15/48 | 1,656,545 | |
800,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, 3.73%, due 05/15/48 | 768,663 | |
2,204,000 | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4, 3.81%, due 12/15/48 | 2,105,613 | |
1,562,383 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,426,075 | |
2,600,000 | Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52 | 2,325,805 | |
980,000 | Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53 | 792,672 | |
1,725,000 | Morgan Stanley Capital I Trust, Series 2021-L5, Class A4, 2.73%, due 05/15/54 | 1,440,957 | |
95,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.79%, due 11/15/32(b) 144A | 82,615 | |
165,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.32%, due 01/15/43(b) 144A | 140,676 | |
67,403 | New Residential Mortgage Loan Trust CMO, Series 2018-4A, Class A1S, 5.60% (1 mo. USD LIBOR + 0.75%), due 01/25/48(d) 144A | 65,318 | |
173,951 | NYMT Loan Trust CMO, Series 2022-CP1, Class A1, 2.04%, due 07/25/61 144A | 157,825 | |
95,243 | OBX Trust CMO, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(b) 144A | 79,468 | |
235,167 | OBX Trust CMO, Series 2021-NQM2, Class A1, 1.10%, due 05/25/61(b) 144A | 186,808 | |
395,157 | OBX Trust CMO, Series 2021-NQM3, Class A1, 1.05%, due 07/25/61(b) 144A | 302,432 | |
328,920 | Provident Funding Mortgage Trust CMO, Series 2020-F1, Class A2, 2.00%, due 01/25/36(b) 144A | 282,533 | |
1,721,114 | PSMC Trust CMO, Series 2021-2, Class A3, 2.50%, due 05/25/51(b) 144A | 1,497,184 | |
192,318 | Radnor RE, Ltd. CMO, Series 2020-1, Class M1B, 6.30% (1 mo. USD LIBOR + 1.45%), due 01/25/30(d) 144A | 191,415 | |
280,810 | Sequoia Mortgage Trust CMO, Series 2020-3, Class A4, 3.00%, due 04/25/50(b) 144A | 268,735 | |
1,693,709 | Sequoia Mortgage Trust CMO, Series 2021-1, Class A1, 2.50%, due 03/25/51(b) 144A | 1,387,209 | |
380,000 | SLG Office Trust, Series 2021-OVA, Class D, 2.85%, due 07/15/41 144A | 281,968 | |
953,000 | SMRT, Series 2022-MINI, Class A, 5.83% (1 mo. TSFR + 1.00%), due 01/15/39(d) 144A | 917,754 | |
412,485 | Starwood Mortgage Residential Trust CMO, Series 2022-1, Class A1, 2.45%, due 12/25/66(b) 144A | 357,335 | |
132,000 | Towd Point Mortgage Trust CMO, Series 2015-1, Class A5, 3.86%, due 10/25/53(b) 144A | 128,186 | |
189,197 | Towd Point Mortgage Trust CMO, Series 2018-1, Class A1, 3.00%, due 01/25/58(b) 144A | 183,891 | |
205,232 | Towd Point Mortgage Trust CMO, Series 2018-4, Class A1, 3.00%, due 06/25/58(b) 144A | 191,203 | |
26,727 | Towd Point Mortgage Trust CMO, Series 2018-5, Class A1A, 3.25%, due 07/25/58(b) 144A | 25,763 | |
140,324 | Towd Point Mortgage Trust CMO, Series 2018-6, Class A1A, 3.75%, due 03/25/58(b) 144A | 136,800 | |
238,795 | Towd Point Mortgage Trust CMO, Series 2019-1, Class A1, 3.75%, due 03/25/58(b) 144A | 227,613 | |
180,465 | Towd Point Mortgage Trust CMO, Series 2019-4, Class A1, 2.90%, due 10/25/59(b) 144A | 168,879 | |
32,263 | Towd Point Mortgage Trust CMO, Series 2019-HY3, Class A1A, 5.85% (1 mo. USD LIBOR + 1.00%), due 10/25/59(d) 144A | 32,083 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
589,360 | UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50 | 563,060 | |
82,447 | Verus Securitization Trust CMO, Series 2020-5, Class A1, 1.22%, due 05/25/65(e) 144A | 75,367 | |
281,402 | Verus Securitization Trust CMO, Series 2021-3, Class A1, 1.05%, due 06/25/66(b) 144A | 235,711 | |
167,187 | Verus Securitization Trust CMO, Series 2021-4, Class A1, 0.94%, due 07/25/66(b) 144A | 134,597 | |
439,008 | Verus Securitization Trust CMO, Series 2021-5, Class A1, 1.01%, due 09/25/66(b) 144A | 357,050 | |
130,150 | Verus Securitization Trust CMO, Series 2021-R1, Class A1, 0.82%, due 10/25/63(b) 144A | 117,305 | |
7,079 | WaMu Mortgage Pass Through Certificates CMO, Series 2003-AR9, Class 1A7, 4.16%, due 09/25/33(b) | 6,437 | |
1,490,923 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,360,774 | |
3,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49 | 2,775,289 | |
917,021 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due 07/15/50 | 846,273 | |
1,011,875 | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due 03/15/50 | 936,109 | |
1,605,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due 06/15/53 | 1,496,267 | |
1,900,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A3, 1.96%, due 04/15/54 | 1,621,929 | |
800,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class ASB, 2.13%, due 08/15/54 | 684,615 | |
1,466,000 | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.92%, due 10/15/57 | 1,421,078 | |
121,350,712 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 26.9% | |||
199,347 | FHLMC Gold, Pool # A89870, 4.50%, due 11/01/39 | 200,885 | |
132,145 | FHLMC Gold, Pool # A96970, 4.00%, due 02/01/41 | 129,591 | |
251,573 | FHLMC Gold, Pool # C91908, 3.00%, due 01/01/37 | 236,300 | |
195,582 | FHLMC Gold, Pool # G06231, 4.00%, due 12/01/40 | 191,802 | |
123,529 | FHLMC Gold, Pool # G06409, 6.00%, due 11/01/39 | 129,304 | |
64,225 | FHLMC Gold, Pool # G06875, 5.50%, due 12/01/38 | 66,511 | |
227,648 | FHLMC Gold, Pool # G07021, 5.00%, due 09/01/39 | 232,960 | |
443,527 | FHLMC Gold, Pool # G07816, 4.50%, due 09/01/42 | 446,951 | |
293,963 | FHLMC Gold, Pool # G08537, 3.00%, due 07/01/43 | 271,712 | |
177,948 | FHLMC Gold, Pool # G08672, 4.00%, due 10/01/45 | 173,915 | |
271,700 | FHLMC Gold, Pool # G08726, 3.00%, due 10/01/46 | 250,056 | |
46,352 | FHLMC Gold, Pool # G08735, 4.50%, due 10/01/46 | 46,337 | |
23,299 | FHLMC Gold, Pool # G08748, 3.50%, due 02/01/47 | 22,042 | |
340,263 | FHLMC Gold, Pool # G08749, 4.00%, due 02/01/47 | 332,064 | |
178,237 | FHLMC Gold, Pool # G08771, 4.00%, due 07/01/47 | 173,868 | |
168,236 | FHLMC Gold, Pool # G08786, 4.50%, due 10/01/47 | 168,026 | |
95,341 | FHLMC Gold, Pool # G16177, 2.00%, due 01/01/32 | 88,143 | |
649,336 | FHLMC Gold, Pool # G16634, 3.00%, due 10/01/31 | 623,933 | |
656,970 | FHLMC Gold, Pool # G60722, 3.00%, due 10/01/46 | 603,720 | |
300,225 | FHLMC Gold, Pool # G60767, 3.50%, due 10/01/46 | 284,035 | |
130,575 | FHLMC Gold, Pool # G60788, 3.50%, due 12/01/46 | 123,533 | |
638,735 | FHLMC Gold, Pool # G60804, 4.50%, due 05/01/42 | 642,168 | |
820,686 | FHLMC Gold, Pool # G60934, 3.50%, due 06/01/45 | 784,453 | |
982,559 | FHLMC Gold, Pool # G60985, 3.00%, due 05/01/47 | 902,553 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
547,284 | FHLMC Gold, Pool # G61748, 3.50%, due 11/01/48 | 517,931 | |
269,736 | FHLMC Gold, Pool # G61995, 4.00%, due 11/01/44 | 264,438 | |
174,913 | FHLMC Gold, Pool # J24414, 2.50%, due 06/01/28 | 168,315 | |
234,363 | FHLMC Gold, Pool # J34888, 2.50%, due 07/01/31 | 221,515 | |
531,908 | FHLMC Gold, Pool # Q09224, 4.00%, due 07/01/42 | 525,899 | |
77,601 | FHLMC Gold, Pool # Q11218, 3.50%, due 09/01/42 | 74,187 | |
170,349 | FHLMC Gold, Pool # Q12052, 3.50%, due 10/01/42 | 162,855 | |
483,569 | FHLMC Gold, Pool # Q12862, 3.50%, due 11/01/42 | 462,459 | |
192,127 | FHLMC Gold, Pool # Q17792, 3.50%, due 05/01/43 | 183,622 | |
467,557 | FHLMC Gold, Pool # Q36815, 4.00%, due 10/01/45 | 455,476 | |
375,582 | FHLMC Gold, Pool # Q41918, 3.50%, due 07/01/46 | 355,444 | |
409,417 | FHLMC Gold, Pool # Q42618, 3.00%, due 08/01/46 | 375,935 | |
607,966 | FHLMC Gold, Pool # Q44455, 3.50%, due 11/01/46 | 575,174 | |
178,499 | FHLMC Gold, Pool # Q44963, 3.50%, due 12/01/46 | 168,873 | |
588,914 | FHLMC Gold, Pool # Q45741, 3.50%, due 01/01/47 | 557,334 | |
47,939 | FHLMC Gold, Pool # Q49494, 4.50%, due 07/01/47 | 47,798 | |
150,201 | FHLMC Gold, Pool # Q52312, 4.00%, due 11/01/47 | 146,302 | |
136,609 | FHLMC Gold, Pool # Q54957, 4.00%, due 03/01/48 | 133,230 | |
138,740 | FHLMC Gold, Pool # V60565, 3.00%, due 06/01/29 | 133,551 | |
356,292 | FHLMC Gold, Pool # V60599, 3.00%, due 09/01/29 | 342,954 | |
425,747 | FHLMC Gold, Pool # V82292, 4.00%, due 04/01/46 | 415,928 | |
184,285 | FHLMC Gold, Pool # V82848, 3.00%, due 12/01/46 | 169,187 | |
11,942,353 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K106, Class X1, 1.35%, due 01/25/30(b) 144A | 877,308 | |
1,237,875 | FHLMC Non Gold, Pool # 841542, 5.17%, (SOFR 30-day average + 2.34%), due 02/01/53(d) | 1,242,523 | |
39,195 | FHLMC Reference REMIC CMO, Series R007, Class ZA, 6.00%, due 05/15/36 | 41,329 | |
1,226,138 | FHLMC REMIC CMO, Series 4682, Class KZ, 3.50%, due 09/15/46 | 1,144,630 | |
1,157,129 | FHLMC REMIC CMO, Series 4710, Class KZ, 3.50%, due 08/15/47 | 1,069,206 | |
1,347,076 | FHLMC REMIC CMO, Series 4739, Class Z, 3.50%, due 11/15/47 | 1,257,637 | |
1,000,000 | FHLMC REMIC CMO, Series 5250, Class NH, 3.00%, due 08/25/52 | 871,343 | |
624,853 | FNMA, Pool # BM4377, 3.79%, (12 mo. USD LIBOR + 1.89%), due 04/01/38(d) | 636,749 | |
653,945 | FNMA, Pool # BM6482, 3.83%, (12 mo. USD LIBOR + 1.58%), due 04/01/47(d) | 667,227 | |
491,406 | FNMA REMIC CMO, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 508,017 | |
1,363,027 | FNMA REMIC CMO, Series 2012-134, Class ZC, 2.50%, due 12/25/42 | 1,081,650 | |
3,175 | FNMA REMIC CMO, Series 2012-28, Class B, 6.50%, due 06/25/39 | 3,252 | |
987,409 | FNMA REMIC CMO, Series 2017-66, Class BD, 3.00%, due 09/25/47 | 908,695 | |
30,211 | FNMA-ACES, Series 2018-M10, Class A1, 3.36%, due 07/25/28(b) | 29,854 | |
1,166,909 | GNMA CMO, Series 2018-135, Class Z, 3.50%, due 10/20/48 | 1,048,620 | |
266,609 | GNMA I, Pool # 734152, 4.00%, due 01/15/41 | 257,006 | |
1,731,462 | GNMA I, Pool # 784369, 4.00%, due 08/15/45 | 1,686,348 | |
191,820 | GNMA I, Pool # 784605, 4.50%, due 01/15/42 | 193,835 | |
110,940 | GNMA I, Pool # AL8626, 3.00%, due 08/15/45 | 102,413 | |
127,011 | GNMA II, Pool # 004636, 4.50%, due 02/20/40 | 128,736 | |
22,623 | GNMA II, Pool # 004678, 4.50%, due 04/20/40 | 22,930 | |
143,416 | GNMA II, Pool # 004833, 4.00%, due 10/20/40 | 141,741 | |
132,235 | GNMA II, Pool # 004977, 4.00%, due 03/20/41 | 130,690 | |
337,245 | GNMA II, Pool # 004978, 4.50%, due 03/20/41 | 341,828 | |
520,968 | GNMA II, Pool # 005055, 4.50%, due 05/20/41 | 528,053 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
19,944 | GNMA II, Pool # 783637, 3.00%, due 06/20/42 | 18,564 | |
3,197,696 | GNMA II, Pool # 785283, 2.50%, due 01/20/51 | 2,830,356 | |
460,550 | GNMA II, Pool # 796468, 4.00%, due 09/20/42 | 455,168 | |
728,455 | GNMA II, Pool # AV9421, 3.50%, due 11/20/46 | 693,088 | |
462,397 | GNMA II, Pool # AY7555, 3.50%, due 04/20/47 | 439,588 | |
196,451 | GNMA II, Pool # MA0462, 3.50%, due 10/20/42 | 188,006 | |
29,294 | GNMA II, Pool # MA0624, 3.00%, due 12/20/42 | 27,297 | |
132,315 | GNMA II, Pool # MA0625, 3.50%, due 12/20/42 | 126,638 | |
74,463 | GNMA II, Pool # MA0698, 3.00%, due 01/20/43 | 69,407 | |
252,211 | GNMA II, Pool # MA0851, 3.00%, due 03/20/43 | 235,149 | |
203,489 | GNMA II, Pool # MA0852, 3.50%, due 03/20/43 | 195,116 | |
42,537 | GNMA II, Pool # MA1156, 3.00%, due 07/20/43 | 39,725 | |
139,243 | GNMA II, Pool # MA1376, 4.00%, due 10/20/43 | 137,409 | |
61,588 | GNMA II, Pool # MA1599, 3.00%, due 01/20/44 | 57,500 | |
127,687 | GNMA II, Pool # MA2371, 3.50%, due 11/20/44 | 121,730 | |
103,643 | GNMA II, Pool # MA2372, 4.00%, due 11/20/44 | 102,049 | |
93,715 | GNMA II, Pool # MA2825, 3.00%, due 05/20/45 | 87,431 | |
215,536 | GNMA II, Pool # MA3310, 3.50%, due 12/20/45 | 204,560 | |
86,723 | GNMA II, Pool # MA3377, 4.00%, due 01/20/46 | 84,907 | |
129,451 | GNMA II, Pool # MA3455, 4.00%, due 02/20/46 | 126,738 | |
243,719 | GNMA II, Pool # MA3456, 4.50%, due 02/20/46 | 246,569 | |
212,434 | GNMA II, Pool # MA3596, 3.00%, due 04/20/46 | 197,127 | |
404,921 | GNMA II, Pool # MA3803, 3.50%, due 07/20/46 | 385,465 | |
298,934 | GNMA II, Pool # MA3873, 3.00%, due 08/20/46 | 277,027 | |
485,743 | GNMA II, Pool # MA3936, 3.00%, due 09/20/46 | 450,414 | |
139,216 | GNMA II, Pool # MA4004, 3.50%, due 10/20/46 | 132,527 | |
83,039 | GNMA II, Pool # MA4071, 4.50%, due 11/20/46 | 83,902 | |
73,086 | GNMA II, Pool # MA4125, 2.50%, due 12/20/46 | 65,353 | |
115,362 | GNMA II, Pool # MA4263, 4.00%, due 02/20/47 | 112,617 | |
180,797 | GNMA II, Pool # MA4585, 3.00%, due 07/20/47 | 167,588 | |
170,683 | GNMA II, Pool # MA4586, 3.50%, due 07/20/47 | 162,507 | |
435,913 | GNMA II, Pool # MA4720, 4.00%, due 09/20/47 | 427,049 | |
124,866 | GNMA II, Pool # MA4838, 4.00%, due 11/20/47 | 122,017 | |
500,190 | GNMA II, Pool # MA5019, 3.50%, due 02/20/48 | 476,211 | |
60,748 | GNMA II, Pool # MA5021, 4.50%, due 02/20/48 | 60,762 | |
20,983 | GNMA II, Pool # MA5079, 4.50%, due 03/20/48 | 20,988 | |
245,679 | GNMA II, Pool # MA5264, 4.00%, due 06/20/48 | 238,834 | |
141,465 | GNMA II, Pool # MA5397, 3.50%, due 08/20/48 | 134,495 | |
142,168 | GNMA II, Pool # MA5466, 4.00%, due 09/20/48 | 138,107 | |
116,725 | GNMA II, Pool # MA5467, 4.50%, due 09/20/48 | 116,488 | |
49,972 | GNMA II, Pool # MA5530, 5.00%, due 10/20/48 | 50,783 | |
84,067 | GNMA II, Pool # MA5762, 3.50%, due 02/20/49 | 79,818 | |
79,945 | GNMA II, Pool # MA5817, 4.00%, due 03/20/49 | 77,802 | |
283,013 | GNMA II, Pool # MA5874, 3.00%, due 04/20/49 | 261,169 | |
549,764 | GNMA II, Pool # MA6038, 3.00%, due 07/20/49 | 506,072 | |
507,560 | GNMA II, Pool # MA6090, 3.50%, due 08/20/49 | 480,785 | |
195,854 | GNMA II, Pool # MA6338, 3.00%, due 12/20/49 | 180,283 | |
453,156 | GNMA II, Pool # MA6409, 3.00%, due 01/20/50 | 417,023 | |
383,266 | GNMA II, Pool # MA7254, 2.00%, due 03/20/51 | 327,700 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
391,649 | GNMA II, Pool # MA7367, 2.50%, due 05/20/51 | 346,081 | |
467,093 | GNMA II, Pool # MA7471, 2.00%, due 07/20/51 | 398,802 | |
1,710,656 | GNMA II, Pool # MA7534, 2.50%, due 08/20/51 | 1,507,729 | |
623,626 | GNMA II, Pool # MA7588, 2.00%, due 09/20/51 | 531,634 | |
1,963,735 | GNMA II, Pool # MA7589, 2.50%, due 09/20/51 | 1,730,393 | |
477,793 | GNMA II, Pool # MA7649, 2.50%, due 10/20/51 | 421,113 | |
1,962,143 | GNMA II, Pool # MA7650, 3.00%, due 10/20/51 | 1,795,158 | |
447,918 | GNMA II, Pool # MA7706, 3.00%, due 11/20/51 | 409,660 | |
599,141 | GNMA II, Pool # MA7767, 2.50%, due 12/20/51 | 527,915 | |
989,892 | GNMA II, Pool # MA7936, 2.50%, due 03/20/52 | 871,867 | |
1,955,349 | GNMA II, Pool # MA7988, 3.00%, due 04/20/52 | 1,784,660 | |
3,487,656 | GNMA II, Pool # MA8642, 2.50%, due 02/20/53 | 3,073,376 | |
5,500,000 | GNMA TBA, 4.50%, due 04/20/53 | 5,417,666 | |
196,774 | UMBS, Pool # 745148, 5.00%, due 01/01/36 | 201,142 | |
185,903 | UMBS, Pool # 932807, 4.00%, due 09/01/40 | 182,117 | |
122,785 | UMBS, Pool # 983471, 5.50%, due 05/01/38 | 127,244 | |
232,507 | UMBS, Pool # 985184, 5.50%, due 08/01/38 | 241,609 | |
160,661 | UMBS, Pool # 995245, 5.00%, due 01/01/39 | 163,521 | |
311,192 | UMBS, Pool # AB6212, 3.00%, due 09/01/42 | 287,345 | |
496,988 | UMBS, Pool # AB6802, 3.50%, due 11/01/42 | 474,616 | |
140,443 | UMBS, Pool # AB7059, 2.50%, due 11/01/42 | 123,345 | |
274,169 | UMBS, Pool # AB8703, 3.00%, due 03/01/38 | 251,817 | |
109,824 | UMBS, Pool # AB9383, 4.00%, due 05/01/43 | 107,969 | |
871,930 | UMBS, Pool # AB9659, 3.00%, due 06/01/43 | 805,049 | |
1,812,588 | UMBS, Pool # AC3668, 4.50%, due 10/01/39 | 1,824,580 | |
180,627 | UMBS, Pool # AD9153, 4.50%, due 08/01/40 | 181,822 | |
134,027 | UMBS, Pool # AE0469, 6.00%, due 12/01/39 | 140,091 | |
366,791 | UMBS, Pool # AH4404, 4.00%, due 01/01/41 | 359,316 | |
77,301 | UMBS, Pool # AI1892, 5.00%, due 05/01/41 | 78,838 | |
371,775 | UMBS, Pool # AI4815, 4.50%, due 06/01/41 | 373,273 | |
306,107 | UMBS, Pool # AJ9278, 3.50%, due 12/01/41 | 292,326 | |
150,596 | UMBS, Pool # AJ9317, 4.00%, due 01/01/42 | 147,574 | |
319,745 | UMBS, Pool # AL0215, 4.50%, due 04/01/41(n) | 321,864 | |
616,657 | UMBS, Pool # AL1895, 3.50%, due 06/01/42 | 590,425 | |
386,619 | UMBS, Pool # AL2466, 4.00%, due 09/01/42 | 385,361 | |
393,981 | UMBS, Pool # AL3000, 3.50%, due 12/01/42 | 376,182 | |
456,694 | UMBS, Pool # AL3316, 3.50%, due 03/01/43 | 436,080 | |
622,142 | UMBS, Pool # AL6663, 4.00%, due 03/01/39 | 609,496 | |
544,812 | UMBS, Pool # AL7594, 3.50%, due 08/01/45 | 515,223 | |
535,847 | UMBS, Pool # AL8191, 4.00%, due 12/01/45 | 529,156 | |
70,869 | UMBS, Pool # AO4109, 4.00%, due 06/01/42 | 69,424 | |
186,786 | UMBS, Pool # AQ7923, 3.00%, due 12/01/42 | 172,461 | |
316,309 | UMBS, Pool # AS5133, 3.50%, due 06/01/45 | 299,033 | |
78,773 | UMBS, Pool # AS6286, 4.00%, due 12/01/45 | 76,874 | |
102,530 | UMBS, Pool # AS6304, 4.00%, due 12/01/45 | 100,059 | |
164,531 | UMBS, Pool # AS6452, 3.50%, due 01/01/46 | 155,492 | |
117,506 | UMBS, Pool # AS7693, 2.00%, due 08/01/31 | 108,507 | |
185,642 | UMBS, Pool # AS8073, 2.50%, due 10/01/46 | 162,362 | |
129,473 | UMBS, Pool # AZ3743, 3.50%, due 11/01/45 | 122,361 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
198,156 | UMBS, Pool # BC9468, 3.00%, due 06/01/46 | 182,224 | |
415,931 | UMBS, Pool # BD7043, 4.00%, due 03/01/47 | 405,562 | |
274,116 | UMBS, Pool # BE7192, 4.00%, due 03/01/47 | 268,475 | |
3,044,817 | UMBS, Pool # BJ0104, 3.50%, due 10/01/47 | 2,875,618 | |
422,504 | UMBS, Pool # BK1023, 4.50%, due 02/01/48 | 421,810 | |
238,213 | UMBS, Pool # BK7611, 4.50%, due 09/01/48 | 237,202 | |
606,153 | UMBS, Pool # BM1573, 3.50%, due 07/01/47 | 573,038 | |
808,273 | UMBS, Pool # BM1972, 3.50%, due 10/01/37 | 779,920 | |
462,971 | UMBS, Pool # BM3033, 3.00%, due 10/01/47 | 424,670 | |
150,600 | UMBS, Pool # BM3258, 3.00%, due 02/01/47 | 138,250 | |
164,142 | UMBS, Pool # BM3286, 4.50%, due 11/01/47 | 166,398 | |
346,496 | UMBS, Pool # BM3332, 3.50%, due 01/01/48 | 327,134 | |
302,405 | UMBS, Pool # BM3491, 4.50%, due 01/01/38 | 301,568 | |
522,286 | UMBS, Pool # BM3641, 4.00%, due 04/01/48 | 508,787 | |
506,839 | UMBS, Pool # BM4896, 3.00%, due 02/01/47 | 467,991 | |
679,426 | UMBS, Pool # BM5213, 3.00%, due 07/01/45 | 626,912 | |
148,761 | UMBS, Pool # BM5293, 3.50%, due 02/01/49 | 140,271 | |
278,225 | UMBS, Pool # BM5694, 4.00%, due 06/01/48 | 270,829 | |
107,605 | UMBS, Pool # BM5874, 4.00%, due 01/01/48 | 105,011 | |
162,942 | UMBS, Pool # BM5950, 3.00%, due 11/01/48 | 149,944 | |
810,723 | UMBS, Pool # BN6216, 4.50%, due 03/01/49 | 804,201 | |
152,542 | UMBS, Pool # BO1420, 3.50%, due 09/01/49 | 143,260 | |
400,880 | UMBS, Pool # BO5387, 3.50%, due 12/01/49 | 379,312 | |
274,741 | UMBS, Pool # BP2898, 4.00%, due 03/01/50 | 266,073 | |
550,824 | UMBS, Pool # BP3048, 3.00%, due 03/01/50 | 498,777 | |
370,375 | UMBS, Pool # BP5462, 2.50%, due 06/01/50 | 324,761 | |
290,746 | UMBS, Pool # BP5568, 3.00%, due 06/01/50 | 263,153 | |
1,407,983 | UMBS, Pool # BP6618, 2.50%, due 08/01/50 | 1,218,112 | |
5,538,701 | UMBS, Pool # BP9250, 2.50%, due 07/01/50 | 4,792,236 | |
738,723 | UMBS, Pool # BQ3132, 2.00%, due 10/01/50 | 621,984 | |
516,516 | UMBS, Pool # BQ3138, 2.50%, due 10/01/50 | 452,900 | |
93,055 | UMBS, Pool # BU3058, 2.50%, due 12/01/51 | 80,340 | |
960,524 | UMBS, Pool # BU8763, 3.00%, due 04/01/52 | 865,478 | |
1,421,203 | UMBS, Pool # BV8474, 3.00%, due 05/01/52 | 1,292,480 | |
506,639 | UMBS, Pool # BW0046, 5.00%, due 07/01/52 | 510,877 | |
846,827 | UMBS, Pool # CA0623, 4.50%, due 10/01/47 | 846,942 | |
504,241 | UMBS, Pool # CA0655, 3.50%, due 11/01/47 | 476,222 | |
46,378 | UMBS, Pool # CA3828, 4.00%, due 07/01/49 | 44,992 | |
640,275 | UMBS, Pool # CA3986, 5.00%, due 08/01/49 | 648,045 | |
291,364 | UMBS, Pool # CA4149, 3.00%, due 09/01/49 | 264,319 | |
565,499 | UMBS, Pool # CA4831, 4.50%, due 12/01/49 | 560,621 | |
486,337 | UMBS, Pool # CA5229, 3.00%, due 02/01/50 | 440,564 | |
2,933,419 | UMBS, Pool # CA5354, 3.50%, due 03/01/50 | 2,757,082 | |
385,820 | UMBS, Pool # CA5571, 4.00%, due 04/01/50 | 372,693 | |
5,073,889 | UMBS, Pool # CA6097, 3.50%, due 06/01/50 | 4,749,406 | |
2,989,980 | UMBS, Pool # CA6635, 2.50%, due 08/01/50 | 2,621,747 | |
1,231,442 | UMBS, Pool # CA6738, 3.00%, due 08/01/50 | 1,113,555 | |
1,422,153 | UMBS, Pool # CA6777, 4.50%, due 08/01/50 | 1,402,846 | |
374,151 | UMBS, Pool # CA6799, 2.00%, due 08/01/50 | 311,989 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
614,747 | UMBS, Pool # CA6871, 2.50%, due 08/01/35 | 573,983 | |
1,396,545 | UMBS, Pool # CA6872, 2.50%, due 08/01/35 | 1,304,352 | |
3,653,250 | UMBS, Pool # CA8062, 2.50%, due 12/01/50 | 3,175,569 | |
131,472 | UMBS, Pool # CA8895, 2.50%, due 02/01/51 | 113,474 | |
160,037 | UMBS, Pool # CA9090, 2.50%, due 02/01/51 | 138,146 | |
1,473,378 | UMBS, Pool # CA9227, 2.50%, due 02/01/51 | 1,284,648 | |
2,597,699 | UMBS, Pool # CB0671, 2.50%, due 06/01/51 | 2,277,765 | |
563,267 | UMBS, Pool # CB2287, 2.50%, due 12/01/51 | 489,521 | |
475,523 | UMBS, Pool # CB2858, 2.50%, due 02/01/52 | 413,039 | |
990,025 | UMBS, Pool # CB3120, 3.00%, due 03/01/52 | 889,559 | |
488,291 | UMBS, Pool # CB3126, 3.50%, due 03/01/52 | 458,015 | |
1,851,303 | UMBS, Pool # CB3512, 4.00%, due 05/01/52 | 1,782,632 | |
888,668 | UMBS, Pool # CB3865, 4.50%, due 06/01/52 | 877,524 | |
3,388,015 | UMBS, Pool # CB4088, 4.00%, due 07/01/52 | 3,269,678 | |
1,028,995 | UMBS, Pool # CB4304, 4.50%, due 08/01/52 | 1,010,046 | |
2,283,674 | UMBS, Pool # CB4337, 4.50%, due 08/01/52 | 2,262,832 | |
1,660,786 | UMBS, Pool # CB4395, 4.50%, due 08/01/52 | 1,630,203 | |
1,918,495 | UMBS, Pool # CB4908, 5.50%, due 10/01/52 | 1,957,538 | |
1,237,200 | UMBS, Pool # CB5434, 5.00%, due 01/01/53 | 1,251,367 | |
744,602 | UMBS, Pool # FM0030, 3.00%, due 02/01/49 | 682,828 | |
199,938 | UMBS, Pool # FM1001, 3.50%, due 11/01/48 | 188,828 | |
201,562 | UMBS, Pool # FM1266, 5.00%, due 07/01/49 | 204,186 | |
101,645 | UMBS, Pool # FM1347, 3.00%, due 12/01/48 | 93,765 | |
579,228 | UMBS, Pool # FM1467, 3.00%, due 12/01/47 | 536,478 | |
414,918 | UMBS, Pool # FM1588, 3.00%, due 10/01/49 | 378,170 | |
206,261 | UMBS, Pool # FM1715, 3.00%, due 12/01/45 | 189,976 | |
279,542 | UMBS, Pool # FM1790, 3.00%, due 11/01/49 | 253,593 | |
204,101 | UMBS, Pool # FM1864, 3.00%, due 11/01/49 | 185,154 | |
3,117,972 | UMBS, Pool # FM2217, 3.00%, due 03/01/47 | 2,878,937 | |
2,013,512 | UMBS, Pool # FM2226, 3.00%, due 09/01/46 | 1,859,132 | |
658,251 | UMBS, Pool # FM2274, 4.00%, due 08/01/49 | 639,934 | |
404,075 | UMBS, Pool # FM2336, 4.00%, due 01/01/50 | 391,996 | |
425,239 | UMBS, Pool # FM2461, 3.50%, due 03/01/50 | 399,275 | |
590,647 | UMBS, Pool # FM2570, 4.50%, due 04/01/48 | 594,554 | |
403,242 | UMBS, Pool # FM2674, 4.00%, due 03/01/50 | 390,148 | |
1,345,779 | UMBS, Pool # FM3250, 3.50%, due 05/01/50 | 1,264,725 | |
750,634 | UMBS, Pool # FM4330, 2.50%, due 10/01/50 | 658,185 | |
1,534,337 | UMBS, Pool # FM4532, 3.00%, due 09/01/50 | 1,389,370 | |
3,008,887 | UMBS, Pool # FM4765, 2.00%, due 11/01/50 | 2,525,924 | |
30,718 | UMBS, Pool # FM5035, 4.00%, due 07/01/50 | 29,811 | |
2,505,736 | UMBS, Pool # FM5721, 3.00%, due 12/01/40 | 2,344,794 | |
700,078 | UMBS, Pool # FM5875, 4.50%, due 04/01/50 | 696,711 | |
1,076,483 | UMBS, Pool # FM5996, 4.50%, due 03/01/49 | 1,073,135 | |
816,376 | UMBS, Pool # FM6273, 3.00%, due 12/01/34 | 781,481 | |
2,063,439 | UMBS, Pool # FM6497, 2.00%, due 03/01/51 | 1,732,112 | |
895,194 | UMBS, Pool # FM6585, 3.50%, due 11/01/40 | 849,443 | |
798,233 | UMBS, Pool # FM7341, 4.00%, due 03/01/48 | 778,611 | |
275,597 | UMBS, Pool # FM7441, 3.00%, due 05/01/51 | 248,450 | |
1,207,340 | UMBS, Pool # FM7785, 4.00%, due 05/01/49 | 1,173,800 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,919,924 | UMBS, Pool # FM7794, 4.00%, due 01/01/50 | 1,862,761 | |
2,030,377 | UMBS, Pool # FM8216, 4.00%, due 11/01/48 | 1,980,216 | |
962,019 | UMBS, Pool # FM8422, 2.50%, due 08/01/51 | 831,812 | |
725,688 | UMBS, Pool # FM8451, 2.50%, due 08/01/51 | 632,138 | |
1,613,145 | UMBS, Pool # FM8603, 4.00%, due 09/01/49 | 1,569,331 | |
1,662,257 | UMBS, Pool # FM9412, 2.50%, due 11/01/51 | 1,450,833 | |
1,514,181 | UMBS, Pool # FM9461, 3.50%, due 11/01/51 | 1,412,492 | |
991,289 | UMBS, Pool # FM9674, 3.50%, due 06/01/49 | 933,872 | |
790,379 | UMBS, Pool # FM9726, 2.50%, due 11/01/51 | 691,459 | |
4,146,486 | UMBS, Pool # FM9728, 2.50%, due 11/01/51 | 3,607,111 | |
450,183 | UMBS, Pool # FM9977, 4.00%, due 02/01/50 | 436,446 | |
1,119,933 | UMBS, Pool # FS0027, 2.50%, due 11/01/51 | 978,465 | |
1,238,552 | UMBS, Pool # FS0065, 4.50%, due 12/01/50 | 1,235,695 | |
918,859 | UMBS, Pool # FS0194, 2.50%, due 01/01/52 | 796,878 | |
2,147,923 | UMBS, Pool # FS0248, 3.00%, due 02/01/50 | 1,957,956 | |
951,090 | UMBS, Pool # FS0397, 3.00%, due 01/01/52 | 855,085 | |
2,392,887 | UMBS, Pool # FS0644, 3.00%, due 02/01/52 | 2,158,607 | |
106,999 | UMBS, Pool # FS0703, 4.00%, due 01/01/49 | 104,081 | |
1,908,748 | UMBS, Pool # FS0715, 3.00%, due 01/01/52 | 1,723,160 | |
2,338,007 | UMBS, Pool # FS1133, 4.00%, due 10/01/51 | 2,257,568 | |
476,534 | UMBS, Pool # FS1201, 3.00%, due 01/01/50 | 431,702 | |
632,373 | UMBS, Pool # FS1205, 3.50%, due 04/01/52 | 589,467 | |
1,412,465 | UMBS, Pool # FS1228, 3.00%, due 03/01/52 | 1,274,168 | |
471,918 | UMBS, Pool # FS1285, 3.50%, due 02/01/52 | 443,268 | |
445,956 | UMBS, Pool # FS1427, 3.00%, due 02/01/50 | 404,572 | |
1,376,592 | UMBS, Pool # FS1590, 2.50%, due 04/01/52 | 1,193,158 | |
287,965 | UMBS, Pool # FS1602, 4.00%, due 07/01/49 | 280,257 | |
434,662 | UMBS, Pool # FS1624, 2.50%, due 10/01/51 | 378,171 | |
195,779 | UMBS, Pool # FS1637, 4.00%, due 04/01/52 | 188,608 | |
3,053,710 | UMBS, Pool # FS1938, 2.50%, due 02/01/52 | 2,650,438 | |
1,147,086 | UMBS, Pool # FS1976, 4.00%, due 08/01/51 | 1,113,203 | |
2,050,741 | UMBS, Pool # FS2167, 4.50%, due 06/01/52 | 2,021,221 | |
2,164,130 | UMBS, Pool # FS2238, 4.00%, due 03/01/51 | 2,099,892 | |
62,132 | UMBS, Pool # FS2354, 4.00%, due 06/01/52 | 60,181 | |
231,979 | UMBS, Pool # FS2415, 4.50%, due 08/01/52 | 228,296 | |
3,910,814 | UMBS, Pool # FS2616, 5.00%, due 08/01/52 | 3,955,596 | |
1,388,657 | UMBS, Pool # FS2896, 4.50%, due 09/01/52 | 1,378,113 | |
1,317,780 | UMBS, Pool # FS2920, 3.00%, due 07/01/36 | 1,252,865 | |
3,962,221 | UMBS, Pool # FS3160, 3.00%, due 06/01/52 | 3,562,949 | |
490,337 | UMBS, Pool # FS3276, 4.50%, due 12/01/37 | 489,201 | |
1,446,200 | UMBS, Pool # FS3359, 5.50%, due 12/01/52 | 1,476,655 | |
556,043 | UMBS, Pool # FS3405, 5.50%, due 12/01/52 | 573,204 | |
777,635 | UMBS, Pool # FS3417, 5.00%, due 12/01/52 | 781,500 | |
862,504 | UMBS, Pool # FS3434, 5.50%, due 12/01/52 | 880,057 | |
110,011 | UMBS, Pool # MA2781, 2.50%, due 10/01/46 | 96,614 | |
2,666,896 | UMBS, Pool # MA2863, 3.00%, due 01/01/47 | 2,446,812 | |
333,488 | UMBS, Pool # MA3058, 4.00%, due 07/01/47 | 324,967 | |
92,072 | UMBS, Pool # MA3087, 3.50%, due 08/01/47 | 87,085 | |
90,579 | UMBS, Pool # MA3155, 3.00%, due 10/01/32 | 86,710 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
317,978 | UMBS, Pool # MA3182, 3.50%, due 11/01/47 | 300,309 | |
147,411 | UMBS, Pool # MA3211, 4.00%, due 12/01/47 | 143,766 | |
104,965 | UMBS, Pool # MA3238, 3.50%, due 01/01/48 | 99,108 | |
266,822 | UMBS, Pool # MA3332, 3.50%, due 04/01/48 | 251,747 | |
92,954 | UMBS, Pool # MA3364, 3.50%, due 05/01/33 | 90,618 | |
59,356 | UMBS, Pool # MA3385, 4.50%, due 06/01/48 | 59,203 | |
252,320 | UMBS, Pool # MA3414, 3.50%, due 07/01/48 | 237,854 | |
79,385 | UMBS, Pool # MA3442, 3.50%, due 08/01/48 | 74,833 | |
64,803 | UMBS, Pool # MA3521, 4.00%, due 11/01/48 | 62,937 | |
646,618 | UMBS, Pool # MA3871, 3.00%, due 12/01/49 | 586,591 | |
551,929 | UMBS, Pool # MA3937, 3.00%, due 02/01/50 | 500,199 | |
133,004 | UMBS, Pool # MA3960, 3.00%, due 03/01/50 | 120,458 | |
394,924 | UMBS, Pool # MA4014, 3.00%, due 05/01/35 | 375,461 | |
745,709 | UMBS, Pool # MA4018, 2.00%, due 05/01/50 | 619,707 | |
484,609 | UMBS, Pool # MA4048, 3.00%, due 06/01/50 | 438,851 | |
130,422 | UMBS, Pool # MA4120, 2.50%, due 09/01/50 | 113,182 | |
1,642,770 | UMBS, Pool # MA4158, 2.00%, due 10/01/50 | 1,366,173 | |
426,337 | UMBS, Pool # MA4181, 1.50%, due 11/01/50 | 336,252 | |
344,877 | UMBS, Pool # MA4204, 2.00%, due 12/01/40 | 298,567 | |
778,999 | UMBS, Pool # MA4208, 2.00%, due 12/01/50 | 647,129 | |
3,620,586 | UMBS, Pool # MA4209, 1.50%, due 12/01/50 | 2,851,249 | |
524,286 | UMBS, Pool # MA4232, 2.00%, due 01/01/41 | 450,668 | |
1,850,274 | UMBS, Pool # MA4237, 2.00%, due 01/01/51 | 1,536,959 | |
539,861 | UMBS, Pool # MA4268, 2.00%, due 02/01/41 | 461,994 | |
105,276 | UMBS, Pool # MA4281, 2.00%, due 03/01/51 | 87,416 | |
3,333,156 | UMBS, Pool # MA4305, 2.00%, due 04/01/51 | 2,767,172 | |
6,439,899 | UMBS, Pool # MA4325, 2.00%, due 05/01/51 | 5,345,871 | |
297,784 | UMBS, Pool # MA4333, 2.00%, due 05/01/41 | 257,795 | |
336,644 | UMBS, Pool # MA4356, 2.50%, due 06/01/51 | 290,956 | |
441,668 | UMBS, Pool # MA4380, 3.00%, due 07/01/51 | 397,905 | |
173,138 | UMBS, Pool # MA4398, 2.00%, due 08/01/51 | 143,669 | |
472,027 | UMBS, Pool # MA4399, 2.50%, due 08/01/51 | 407,886 | |
997,211 | UMBS, Pool # MA4414, 2.50%, due 09/01/51 | 861,594 | |
1,952,476 | UMBS, Pool # MA4437, 2.00%, due 10/01/51 | 1,617,160 | |
1,918,102 | UMBS, Pool # MA4493, 2.50%, due 12/01/51 | 1,656,733 | |
476,744 | UMBS, Pool # MA4512, 2.50%, due 01/01/52 | 411,755 | |
464,682 | UMBS, Pool # MA4548, 2.50%, due 02/01/52 | 401,369 | |
954,251 | UMBS, Pool # MA4549, 3.00%, due 02/01/52 | 858,318 | |
492,738 | UMBS, Pool # MA4600, 3.50%, due 05/01/52 | 458,408 | |
969,893 | UMBS, Pool # MA4644, 4.00%, due 05/01/52 | 928,916 | |
997,871 | UMBS, Pool # MA4656, 4.50%, due 07/01/52 | 978,647 | |
972,984 | UMBS, Pool # MA4686, 5.00%, due 06/01/52 | 971,628 | |
263,526 | UMBS, Pool # MA4733, 4.50%, due 09/01/52 | 258,436 | |
1,504,361 | UMBS, Pool # MA4839, 4.00%, due 12/01/52 | 1,440,181 | |
1,436,683 | UMBS, Pool # QA6328, 3.00%, due 01/01/50 | 1,309,901 | |
1,157,003 | UMBS, Pool # QA6367, 3.00%, due 01/01/50 | 1,049,566 | |
822,939 | UMBS, Pool # QA7234, 3.00%, due 02/01/50 | 746,178 | |
573,509 | UMBS, Pool # QA8518, 3.00%, due 04/01/50 | 520,251 | |
209,687 | UMBS, Pool # QB0220, 3.00%, due 06/01/50 | 189,781 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
781,738 | UMBS, Pool # QB4847, 2.50%, due 10/01/50 | 678,428 | |
771,820 | UMBS, Pool # QB6476, 2.50%, due 12/01/50 | 678,012 | |
287,463 | UMBS, Pool # QC0039, 2.50%, due 03/01/51 | 251,897 | |
1,562,023 | UMBS, Pool # QC4339, 2.00%, due 07/01/51 | 1,311,146 | |
877,660 | UMBS, Pool # QC5189, 2.50%, due 08/01/51 | 758,230 | |
448,100 | UMBS, Pool # QC6357, 2.50%, due 09/01/51 | 388,312 | |
498,081 | UMBS, Pool # QC6456, 3.00%, due 09/01/51 | 448,313 | |
496,855 | UMBS, Pool # QD6056, 3.00%, due 02/01/52 | 448,697 | |
132,624 | UMBS, Pool # QD9911, 2.50%, due 04/01/52 | 114,519 | |
940,078 | UMBS, Pool # QE0375, 4.00%, due 04/01/52 | 909,425 | |
58,535 | UMBS, Pool # QE1497, 4.00%, due 05/01/52 | 56,422 | |
1,539,723 | UMBS, Pool # RA1776, 3.00%, due 12/01/49 | 1,394,100 | |
961,149 | UMBS, Pool # RA1860, 3.00%, due 12/01/49 | 871,879 | |
511,316 | UMBS, Pool # RA2572, 3.50%, due 05/01/50 | 479,907 | |
1,825,655 | UMBS, Pool # RA2790, 2.50%, due 06/01/50 | 1,579,596 | |
1,818,501 | UMBS, Pool # RA2853, 2.50%, due 06/01/50 | 1,573,405 | |
686,094 | UMBS, Pool # RA3206, 2.00%, due 08/01/50 | 571,297 | |
251,695 | UMBS, Pool # RA5286, 2.50%, due 05/01/51 | 217,379 | |
210,376 | UMBS, Pool # RA5502, 3.00%, due 06/01/51 | 189,273 | |
3,844,587 | UMBS, Pool # RA5767, 2.50%, due 09/01/51 | 3,321,650 | |
263,072 | UMBS, Pool # RA6432, 2.50%, due 12/01/51 | 227,186 | |
1,470,555 | UMBS, Pool # RA6944, 3.50%, due 03/01/52 | 1,369,054 | |
508,552 | UMBS, Pool # RA6951, 3.50%, due 03/01/52 | 475,867 | |
1,285,682 | UMBS, Pool # RA7184, 4.00%, due 04/01/52 | 1,234,408 | |
3,446,811 | UMBS, Pool # RA7195, 3.50%, due 04/01/52 | 3,225,281 | |
2,133,646 | UMBS, Pool # RA7942, 5.50%, due 09/01/52 | 2,182,572 | |
1,489,852 | UMBS, Pool # RA8248, 5.00%, due 11/01/52 | 1,489,211 | |
1,905,111 | UMBS, Pool # RB5111, 2.00%, due 05/01/41 | 1,649,131 | |
1,405,693 | UMBS, Pool # SB8189, 4.00%, due 11/01/37 | 1,385,207 | |
292,477 | UMBS, Pool # SB8199, 4.50%, due 12/01/37 | 291,799 | |
1,919,657 | UMBS, Pool # SB8205, 4.50%, due 01/01/38 | 1,915,206 | |
455,771 | UMBS, Pool # SB8510, 2.00%, due 02/01/36 | 412,875 | |
719,952 | UMBS, Pool # SD0100, 3.00%, due 10/01/49 | 653,087 | |
1,822,478 | UMBS, Pool # SD0499, 3.00%, due 08/01/50 | 1,658,843 | |
1,225,818 | UMBS, Pool # SD0558, 2.50%, due 03/01/51 | 1,074,150 | |
1,311,955 | UMBS, Pool # SD0619, 4.00%, due 07/01/50 | 1,267,392 | |
828,804 | UMBS, Pool # SD0742, 2.50%, due 11/01/51 | 723,071 | |
464,392 | UMBS, Pool # SD0815, 3.00%, due 01/01/52 | 421,071 | |
481,859 | UMBS, Pool # SD1050, 4.50%, due 07/01/52 | 474,923 | |
3,190,771 | UMBS, Pool # SD1217, 2.00%, due 03/01/52 | 2,652,865 | |
1,174,635 | UMBS, Pool # SD1446, 4.50%, due 08/01/52 | 1,159,905 | |
297,406 | UMBS, Pool # SD1454, 4.50%, due 08/01/52 | 294,228 | |
1,494,583 | UMBS, Pool # SD1475, 4.50%, due 08/01/52 | 1,475,842 | |
810,797 | UMBS, Pool # SD1517, 4.50%, due 09/01/52 | 802,134 | |
749,963 | UMBS, Pool # SD1606, 4.50%, due 09/01/52 | 739,168 | |
802,249 | UMBS, Pool # SD1695, 5.00%, due 10/01/52 | 803,761 | |
3,808,215 | UMBS, Pool # SD1809, 4.50%, due 09/01/52 | 3,760,461 | |
398,920 | UMBS, Pool # SD1944, 5.00%, due 12/01/52 | 400,903 | |
787,916 | UMBS, Pool # SD2032, 5.00%, due 12/01/52 | 794,507 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,436,408 | UMBS, Pool # SD2318, 5.00%, due 02/01/53 | 1,436,627 | |
3,361,650 | UMBS, Pool # SD7543, 2.50%, due 08/01/51 | 2,939,691 | |
2,642,429 | UMBS, Pool # SD7548, 2.50%, due 11/01/51 | 2,313,564 | |
1,835,074 | UMBS, Pool # SD7551, 3.00%, due 01/01/52 | 1,666,813 | |
2,836 | UMBS, Pool # SD8025, 3.50%, due 11/01/49 | 2,668 | |
1,092,350 | UMBS, Pool # SD8075, 3.50%, due 07/01/50 | 1,024,841 | |
4,417,264 | UMBS, Pool # SD8090, 2.00%, due 09/01/50 | 3,669,954 | |
811,868 | UMBS, Pool # SD8104, 1.50%, due 11/01/50 | 640,320 | |
397,412 | UMBS, Pool # SD8113, 2.00%, due 12/01/50 | 330,099 | |
398,791 | UMBS, Pool # SD8121, 2.00%, due 01/01/51 | 331,283 | |
35,298 | UMBS, Pool # SD8140, 2.00%, due 04/01/51 | 29,301 | |
3,543,779 | UMBS, Pool # SD8141, 2.50%, due 04/01/51 | 3,064,068 | |
1,425,617 | UMBS, Pool # SD8183, 2.50%, due 12/01/51 | 1,231,357 | |
504,007 | UMBS, Pool # SD8189, 2.50%, due 01/01/52 | 435,302 | |
380,451 | UMBS, Pool # SD8221, 3.50%, due 06/01/52 | 353,895 | |
998,703 | UMBS, Pool # SD8231, 4.50%, due 07/01/52 | 979,392 | |
239,441 | UMBS, Pool # SD8245, 4.50%, due 09/01/52 | 234,816 | |
986,989 | UMBS, Pool # SD8257, 4.50%, due 10/01/52 | 967,924 | |
1,001,703 | UMBS, Pool # SD8258, 5.00%, due 10/01/52 | 999,882 | |
1,469,484 | UMBS, Pool # SD8267, 5.00%, due 11/01/52 | 1,467,020 | |
484,863 | UMBS, Pool # SD8278, 6.00%, due 12/01/52 | 495,820 | |
517,832 | UMBS, Pool # ZM1609, 2.00%, due 03/01/51 | 429,935 | |
790,731 | UMBS, Pool # ZM1609, 3.50%, due 09/01/46 | 749,653 | |
243,418 | UMBS, Pool # ZS4727, 4.00%, due 07/01/47 | 237,197 | |
152,508 | UMBS, Pool # ZS4760, 4.00%, due 03/01/48 | 147,929 | |
1,336,357 | UMBS, Pool # ZS4763, 3.50%, due 04/01/48 | 1,260,820 | |
421,325 | UMBS, Pool # ZT0657, 6.00%, due 07/01/40 | 440,602 | |
200,404 | UMBS, Pool # ZT1748, 5.00%, due 01/01/49 | 203,137 | |
2,500,000 | UMBS TBA, 4.00%, due 06/25/52 | 2,392,392 | |
1,500,000 | UMBS TBA, 4.50%, due 04/13/53 | 1,469,811 | |
1,926,000 | UMBS TBA, 5.00%, due 04/13/53 | 1,921,035 | |
3,861,000 | UMBS TBA, 5.50%, due 04/13/53 | 3,900,289 | |
3,000,000 | UMBS TBA, 5.50%, due 05/11/53 | 3,029,590 | |
347,082,008 | |||
Municipal Obligations — 1.2% | |||
60,000 | Alabama Economic Settlement Authority, 4.26%, due 09/15/32 | 57,619 | |
165,000 | Bay Area Toll Authority, 2.57%, due 04/01/31 | 149,866 | |
300,000 | Bay Area Toll Authority, 6.26%, due 04/01/49 | 364,709 | |
1,525,000 | California Health Facilities Financing Authority, 4.19%, due 06/01/37 | 1,430,473 | |
1,300,000 | Dallas Fort Worth International Airport, 1.93%, due 11/01/28 | 1,139,088 | |
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(i) | 85,825 | |
250,000 | Florida State Board of Administration Finance Corp., 1.71%, due 07/01/27 | 223,071 | |
257,000 | Golden State Tobacco Securitization Corp., 4.21%, due 06/01/50 | 201,875 | |
1,447,413 | Louisiana Local Government Environmental Facilities & Community Development Authority, 3.62%, due 02/01/29 | 1,411,365 | |
715,000 | Michigan Finance Authority, 2.37%, due 09/01/49(b) | 707,697 | |
456,000 | Michigan State University, 4.17%, due 08/15/22(i) | 361,522 | |
351,000 | Municipal Electric Authority of Georgia, 6.64%, due 04/01/57 | 385,614 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Municipal Obligations — continued | |||
407,000 | New Jersey Transportation Trust Fund Authority, 4.08%, due 06/15/39 | 362,238 | |
120,000 | New Jersey Transportation Trust Fund Authority, 4.13%, due 06/15/42 | 106,315 | |
980,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.77%, due 08/01/36 | 1,028,895 | |
1,350,000 | New York State Urban Development Corp., 5.77%, due 03/15/39 | 1,415,142 | |
2,195,000 | Port Authority of New York & New Jersey, 1.09%, due 07/01/23 | 2,173,918 | |
885,000 | State of California, 7.50%, due 04/01/34 | 1,107,677 | |
555,000 | State of California, 7.55%, due 04/01/39 | 719,957 | |
935,000 | State of Connecticut, 3.98%, due 06/15/29 | 916,059 | |
750,000 | University of Michigan, 4.45%, due 04/01/22(i) | 679,508 | |
595,000 | University of Virginia, 2.58%, due 11/01/51 | 408,344 | |
105,000 | University of Virginia, 4.18%, due 09/01/17(i) | 88,785 | |
15,525,562 | |||
Sovereign Debt Obligations — 0.3% | |||
960,000 | Argentine Republic Government International Bond, 3.50%, due 07/09/41(e) | 273,394 | |
200,000 | Bermuda Government International Bond, 2.38%, due 08/20/30 144A | 171,573 | |
215,000 | Export-Import Bank of India, 3.88%, due 02/01/28 144A | 203,137 | |
450,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 432,448 | |
200,000 | Japan Bank for International Cooperation, 3.38%, due 10/31/23 | 198,308 | |
200,000 | Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A | 192,141 | |
200,000 | Korea National Oil Corp., 4.75%, due 04/03/26(c) 144A | 198,966 | |
205,000 | Korea National Oil Corp., 4.88%, due 04/03/28(c) 144A | 206,037 | |
290,000 | Mexico Government International Bond, 3.50%, due 02/12/34 | 246,590 | |
45,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 38,521 | |
135,000 | Province of Alberta Canada, 1.30%, due 07/22/30 | 112,168 | |
85,000 | Province of Alberta Canada, 3.30%, due 03/15/28 | 82,568 | |
100,000 | Province of Manitoba Canada, 2.13%, due 06/22/26 | 94,308 | |
220,000 | Province of Quebec Canada, 2.75%, due 04/12/27 | 210,435 | |
801,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 815,753 | |
789,000 | Saudi Government International Bond, 4.38%, due 04/16/29 144A | 788,554 | |
185,000 | Uruguay Government International Bond, 4.98%, due 04/20/55 | 182,034 | |
65,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 65,298 | |
4,512,233 | |||
U.S. Government and Agency Obligations — 16.3% | |||
385,000 | FNMA, 0.88%, due 08/05/30 | 314,504 | |
210,000 | FNMA, 2.50%, due 02/05/24 | 206,023 | |
310,000 | FNMA, 6.63%, due 11/15/30 | 367,504 | |
210,000 | Tennessee Valley Authority, 1.50%, due 09/15/31 | 171,367 | |
25,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 29,627 | |
5,572,000 | U.S. Treasury Bond, 1.13%, due 08/15/40 | 3,687,750 | |
12,003,000 | U.S. Treasury Bond, 1.75%, due 08/15/41 | 8,700,300 | |
3,390,000 | U.S. Treasury Bond, 1.88%, due 02/15/41 | 2,538,329 | |
2,678,000 | U.S. Treasury Bond, 1.88%, due 02/15/51 | 1,830,664 | |
13,330,000 | U.S. Treasury Bond, 2.00%, due 11/15/41 | 10,071,179 | |
6,585,000 | U.S. Treasury Bond, 2.00%, due 08/15/51 | 4,634,837 | |
11,720,000 | U.S. Treasury Bond, 2.25%, due 05/15/41(n) | 9,317,629 | |
650,000 | U.S. Treasury Bond, 2.25%, due 08/15/49 | 489,176 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
U.S. Government and Agency Obligations — continued | |||
11,108,000 | U.S. Treasury Bond, 2.25%, due 02/15/52 | 8,288,911 | |
18,970,000 | U.S. Treasury Bond, 2.38%, due 02/15/42 | 15,265,292 | |
3,845,000 | U.S. Treasury Bond, 2.38%, due 11/15/49 | 2,972,966 | |
5,210,000 | U.S. Treasury Bond, 2.50%, due 02/15/46 | 4,142,357 | |
8,050,000 | U.S. Treasury Bond, 2.75%, due 11/15/47 | 6,703,040 | |
9,805,000 | U.S. Treasury Bond, 3.00%, due 02/15/49 | 8,590,099 | |
27,602,000 | U.S. Treasury Bond, 3.00%, due 08/15/52 | 24,255,257 | |
12,625,000 | U.S. Treasury Bond, 3.38%, due 08/15/42 | 11,859,609 | |
2,039,000 | U.S. Treasury Bond, 3.38%, due 11/15/48 | 1,908,456 | |
915,900 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 889,783 | |
405,000 | U.S. Treasury Bond, 3.63%, due 02/15/53 | 402,184 | |
1,895,000 | U.S. Treasury Bond, 3.88%, due 02/15/43 | 1,912,321 | |
17,393,000 | U.S. Treasury Bond, 4.00%, due 11/15/42 | 17,871,308 | |
8,274,000 | U.S. Treasury Bond, 4.00%, due 11/15/52 | 8,783,368 | |
2,394,750 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 01/15/30 | 2,233,038 | |
6,536,000 | U.S. Treasury Note, 2.75%, due 08/15/32 | 6,152,521 | |
3,615,000 | U.S. Treasury Note, 3.13%, due 08/31/27 | 3,536,769 | |
14,399,000 | U.S. Treasury Note, 3.50%, due 01/31/28 | 14,325,880 | |
7,026,000 | U.S. Treasury Note, 3.50%, due 02/15/33 | 7,037,527 | |
1,276,000 | U.S. Treasury Note, 4.00%, due 02/29/28 | 1,299,177 | |
4,841,000 | U.S. Treasury Note, 4.00%, due 02/28/30 | 4,969,589 | |
5,929,000 | U.S. Treasury STRIPS, 4.01%, due 08/15/30(m) | 4,557,963 | |
360,000 | U.S. Treasury STRIPS, 5.11%, due 02/15/39(m) | 196,799 | |
2,310,000 | U.S. Treasury STRIPS, 5.27%, due 02/15/40(m) | 1,209,665 | |
2,865,000 | U.S. Treasury STRIPS, 5.42%, due 11/15/40(m) | 1,448,356 | |
430,000 | U.S. Treasury STRIPS, 5.46%, due 02/15/41(m) | 215,076 | |
5,195,000 | U.S. Treasury STRIPS, 5.63%, due 11/15/41(m) | 2,503,658 | |
1,975,000 | U.S. Treasury STRIPS, 5.71%, due 05/15/42(m) | 931,602 | |
1,750,000 | U.S. Treasury STRIPS, 5.84%, due 11/15/42(m) | 804,365 | |
4,195,000 | U.S. Treasury STRIPS, 5.86%, due 02/15/43(m) | 1,911,304 | |
646,000 | U.S. Treasury STRIPS, 5.96%, due 11/15/43(m) | 285,429 | |
2,095,000 | U.S. Treasury STRIPS, 6.05%, due 08/15/44(m)(n) | 899,378 | |
210,721,936 | |||
TOTAL DEBT OBLIGATIONS (COST $1,401,474,238) | 1,282,875,620 |
Shares | Description | Value ($) | |
COMMON STOCK — 0.0% | |||
Industrial — 0.0% | |||
396 | Altera Infrastructure, LP/Teekay Offshore Finance Corp.*(k)(l) | 10,197 | |
TOTAL COMMON STOCK (COST $10,197) | 10,197 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value | Description | Value ($) | |
SHORT-TERM INVESTMENT — 1.1% | |||
Mutual Fund - Securities Lending Collateral — 1.1% | |||
14,825,703 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(o)(p) | 14,825,703 | |
TOTAL SHORT-TERM INVESTMENT (COST $14,825,703) | 14,825,703 | ||
TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS — 100.4% (Cost $1,416,310,138) | 1,297,711,520 | ||
TBA SALE COMMITMENTS — (0.1)% | |||
(500,000) | GNMA TBA, 2.50%, due 04/20/53 | (440,059) | |
(1,000,000) | UMBS TBA, 5.00%, due 04/13/53 | (997,422) | |
TOTAL TBA SALE COMMITMENTS (PROCEEDS $1,420,820) | (1,437,481) | ||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 100.3% (Cost $1,414,889,318) | 1,296,274,039 | ||
Other Assets and Liabilities (net) — (0.3)% | (3,882,153) | ||
NET ASSETS — 100.0% | $1,292,391,886 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate 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) | When-issued security. |
(d) | Variable or floating rate note. Rate shown is as of March 31, 2023. |
(e) | 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. |
(f) | All or a portion of this security is out on loan. |
(g) | Security is currently in default. |
(h) | Security is perpetual and has no stated maturity date. |
(i) | Year of maturity is greater than 2100. |
(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) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(l) | Securities are fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $10,521 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2023 was $1,575,752. |
(m) | Interest rate presented is yield to maturity. |
Schedule of Investments (Continued)
March 31, 2023
(n) | All or a portion of this security is pledged for open futures and open centrally cleared swaps collateral. |
(o) | The rate disclosed is the 7-day net yield as of March 31, 2023. |
(p) | 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 year end is $270,749,304 which represents 20.9% of net assets. |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
EUR | 10,896,770 | USD | 11,747,157 | 04/04/23 | Barclays Bank Plc | $91,637 |
USD | 11,766,140 | EUR | 10,896,770 | 05/02/23 | Barclays Bank Plc | (91,243 ) |
USD | 11,907,757 | EUR | 11,164,038 | 04/04/23 | JPMorgan Chase Bank N.A. | (221,411 ) |
$(221,017 ) |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
332 | U.S. Treasury Note 10-Year | Jun 2023 | $38,154,063 | $786,138 |
122 | U.S. Treasury Note 2-Year | Jun 2023 | 25,187,281 | 292,726 |
304 | U.S. Treasury Note 5-Year | Jun 2023 | 33,290,375 | 483,948 |
10 | U.S. Ultra Bond | Jun 2023 | 1,411,250 | (17,453 ) |
$1,545,359 | ||||
Sales | ||||
305 | U.S. Long Bond | Jun 2023 | $40,002,656 | $(1,587,383 ) |
189 | U.S. Ultra 10-Year | Jun 2023 | 22,895,578 | (688,745 ) |
$(2,276,128 ) |
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) | |
4.95% | Annual | SOFR | Annual | 03/08/25 | $— | USD | 3,816,000 | $57,636 | $57,636 |
5.09% | Annual | SOFR | Annual | 03/10/25 | — | USD | 10,650,000 | 188,887 | 188,887 |
5.11% | Annual | SOFR | Annual | 03/09/25 | — | USD | 4,664,000 | 84,590 | 84,590 |
$331,113 |
Currency Abbreviations | ||
EUR | — | Euro |
USD | — | U.S. Dollar |
Schedule of Investments (Continued)
March 31, 2023
Abbreviations | ||
ACES | — | Alternative Credit Enhancement Securities |
CLO | — | Collateralized Loan Obligation |
CMO | — | Collateralized Mortgage Obligation |
CMT | — | Constant Maturity Treasury Index |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FNMA | — | Federal National Mortgage Association |
GNMA | — | Government National Mortgage Association |
IO | — | Interest Only |
LIBOR | — | London Interbank Offered Rate |
MTN | — | Medium Term Note |
PIK | — | Payment In Kind |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities |
TBA | — | To Be Announced |
TSFR | — | Term Secured Overnight Financing Rate |
UMBS | — | Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA |
Schedule of Investments (Continued)
March 31, 2023
Asset Class Summary (Unaudited) | % of Net Assets |
Debt Obligations | 99.3 |
Swaps | 0.0* |
Equities | 0.0* |
Futures Contracts | (0.1) |
TBA Sale Commitments | (0.1) |
Forward Foreign Currency Contracts | (0.9) |
Short-Term Investment | 1.1 |
Other Assets and Liabilities (net) | 0.7 |
100.0 |
* | Amount rounds to zero. |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 88.7% | |||
Asset Backed Securities — 6.3% | |||
220,000 | AB BSL CLO 4, Ltd., Series 2023-4A, Class A, 1.00% (3 mo. TSFR + 2.00%), due 04/20/36(b)(c) 144A | 220,146 | |
675,508 | Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 5.49% (1 mo. USD LIBOR + 0.65%), due 12/25/35(c) | 629,283 | |
255,000 | AIG CLO, Ltd., Series 2019-1A, Class BR, 6.48% (3 mo. TSFR + 1.85%), due 04/18/35(c) 144A | 246,077 | |
500,000 | Aimco CLO 12, Ltd., Series 2020-12A, Class DR, 7.56% (3 mo. TSFR + 2.90%), due 01/17/32(c) 144A | 467,562 | |
650,000 | Alinea CLO, Ltd., Series 2018-1A, Class D, 7.91% (3 mo. USD LIBOR + 3.10%), due 07/20/31(c) 144A | 609,014 | |
1,000,000 | AMMC CLO 27, Ltd., Series 2022-27A, Class D, 10.61% (3 mo. TSFR + 6.01%), due 01/20/36(c) 144A | 982,537 | |
300,000 | Anchorage Capital CLO, Ltd., Series 2014-3RA, Class E, 10.30% (3 mo. USD LIBOR + 5.50%), due 01/28/31(c) 144A | 251,115 | |
3,640,000 | Anchorage Capital CLO, Ltd., Series 2021-17A, Class A1, 5.96% (3 mo. USD LIBOR + 1.17%), due 07/15/34(c) 144A | 3,559,552 | |
1,000,000 | Apex Credit CLO, Ltd., Series 2019-1A, Class BR, 7.19% (3 mo. USD LIBOR + 2.40%), due 04/18/32(c) 144A | 944,280 | |
420,000 | Apidos CLO XXII, Series 2015-22A, Class DR, 11.56% (3 mo. USD LIBOR + 6.75%), due 04/20/31(c) 144A | 388,446 | |
598,950 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/05/49 144A | 587,232 | |
850,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due 03/05/53(b) 144A | 861,389 | |
250,000 | Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 7.76% (3 mo. USD LIBOR + 2.90%), due 05/15/30(c) 144A | 230,674 | |
810,000 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class M1, 3.12% (1 mo. USD LIBOR + 0.42%), due 07/25/36(c) | 612,252 | |
180,860 | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4, 4.17% (1 mo. USD LIBOR + 0.14%), due 12/25/36(c) | 174,266 | |
410,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due 02/20/27 144A | 383,665 | |
500,000 | Bain Capital Credit CLO, Ltd., Series 2021-4A, Class D, 7.91% (3 mo. USD LIBOR + 3.10%), due 10/20/34(c) 144A | 441,844 | |
550,000 | Bain Capital Credit CLO, Ltd., Series 2022-2A, Class D1, 8.30% (3 mo. TSFR + 3.65%), due 04/22/35(c) 144A | 498,346 | |
1,050,000 | Bain Capital Credit CLO, Ltd., Series 2023-1A, Class AN, 6.57% (3 mo. TSFR + 1.83%), due 04/16/36(c) 144A | 1,046,492 | |
500,000 | Bain Capital Credit CLO, Ltd., Series 2023-1A, Class D, 9.64% (3 mo. TSFR + 4.90%), due 04/16/36(c) 144A | 485,349 | |
275,000 | Ballyrock CLO, Ltd., Series 2018-1A, Class C, 7.96% (3 mo. USD LIBOR + 3.15%), due 04/20/31(c) 144A | 250,815 | |
415,000 | Ballyrock CLO, Ltd., Series 2019-1A, Class A2R, 6.34% (3 mo. USD LIBOR + 1.55%), due 07/15/32(c) 144A | 405,621 | |
1,000,000 | Ballyrock CLO, Ltd., Series 2022-19A, Class D, 11.75% (3 mo. TSFR + 7.11%), due 04/20/35(c) 144A | 886,239 | |
250,000 | Barings CLO, Ltd., Series 2016-2A, Class ER2, 11.31% (3 mo. USD LIBOR + 6.50%), due 01/20/32(c) 144A | 224,182 | |
500,000 | Bavarian Sky UK 5 CLO Plc, Series 2014-1A, Class CR2, 8.44% (3 mo. USD LIBOR + 3.63%), due 10/20/34(c) 144A | 444,153 | |
850,000 | BlueMountain CLO XXIX, Ltd., Series 2020-29A, Class ER, 11.68% (3 mo. USD LIBOR + 6.86%), due 07/25/34(c) 144A | 778,638 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
250,000 | Bristol Park CLO, Ltd., Series 2016-1A, Class ER, 11.79% (3 mo. USD LIBOR + 7.00%), due 04/15/29(c) 144A | 219,971 | |
650,000 | Buckhorn Park CLO, Ltd., Series 2019-1A, Class DR, 7.89% (3 mo. USD LIBOR + 3.10%), due 07/18/34(c) 144A | 602,886 | |
500,000 | Canyon Capital CLO, Ltd., Series 2020-1A, Class BR, 6.49% (3 mo. USD LIBOR + 1.70%), due 07/15/34(c) 144A | 482,218 | |
280,000 | Canyon Capital CLO, Ltd., Series 2021-1A, Class E, 11.20% (3 mo. USD LIBOR + 6.41%), due 04/15/34(c) 144A | 246,874 | |
255,000 | Canyon CLO, Ltd., Series 2021-4A, Class B, 6.49% (3 mo. USD LIBOR + 1.70%), due 10/15/34(c) 144A | 245,508 | |
1,300,000 | Carlyle US CLO, Ltd., Series 2019-2A, Class DR, 11.29% (3 mo. USD LIBOR + 6.50%), due 07/15/32(c) 144A | 1,189,991 | |
1,475,000 | Carlyle US CLO, Ltd., Series 2019-4A, Class A2R, 6.41% (3 mo. TSFR + 1.75%), due 04/15/35(c) 144A | 1,412,400 | |
510,000 | Carlyle US CLO, Ltd., Series 2021-8A, Class B, 6.44% (3 mo. USD LIBOR + 1.65%), due 10/15/34(c) 144A | 496,464 | |
1,060,000 | CarVal CLO VII-C, Ltd., Series 2023-1A, Class A1, 6.88% (3 mo. TSFR + 2.20%), due 01/20/35(c) 144A | 1,056,240 | |
750,000 | Catskill Park CLO, Ltd., Series 2017-1A, Class D, 10.81% (3 mo. USD LIBOR + 6.00%), due 04/20/29(c) 144A | 625,247 | |
1,020,000 | CBAM CLO, Ltd., Series 2018-6A, Class B2R, 7.02% (3 mo. TSFR + 2.36%), due 01/15/31(c) 144A | 1,000,396 | |
275,000 | CIFC Funding CLO, Ltd., Series 2012-2RA, Class B, 6.36% (3 mo. USD LIBOR + 1.55%), due 01/20/28(c) 144A | 268,825 | |
250,000 | CIFC Funding CLO, Ltd., Series 2017-1A, Class D, 8.32% (3 mo. USD LIBOR + 3.50%), due 04/23/29(c) 144A | 243,809 | |
700,000 | CIFC Funding CLO, Ltd., Series 2017-3A, Class C, 8.46% (3 mo. USD LIBOR + 3.65%), due 07/20/30(c) 144A | 665,823 | |
500,000 | Dryden 64 CLO, Ltd., Series 2018-64A, Class D, 7.44% (3 mo. USD LIBOR + 2.65%), due 04/18/31(c) 144A | 458,773 | |
900,000 | Dryden 70 CLO, Ltd., Series 2018-70A, Class E, 10.88% (3 mo. USD LIBOR + 6.05%), due 01/16/32(c) 144A | 797,807 | |
630,000 | Eaton Vance CLO, Ltd., Series 2020-2A, Class ER, 11.29% (3 mo. USD LIBOR + 6.50%), due 01/15/35(c) 144A | 584,103 | |
350,000 | Elmwood CLO XI, Ltd., Series 2021-4A, Class B, 6.41% (3 mo. USD LIBOR + 1.60%), due 10/20/34(c) 144A | 340,966 | |
291,299 | Falcon Aerospace, Ltd., Series 2017-1, Class A, 4.58%, due 02/15/42(c) 144A | 274,958 | |
250,000 | Fortress Credit BSL CLO XII, Ltd., Series 2021-4A, Class E, 11.92% (3 mo. USD LIBOR + 7.13%), due 10/15/34(c) 144A | 220,439 | |
1,290,000 | FS Rialto Issuer CLO LLC, Series 2022-FL7, Class A, 7.59% (1 mo. TSFR + 2.90%), due 10/19/39(c) 144A | 1,285,346 | |
1,060,000 | Generate CLO 7, Ltd., Series 7A, Class B1, 6.67% (3 mo. USD LIBOR + 1.85%), due 01/22/33(c) 144A | 1,038,762 | |
250,000 | Gilbert Park CLO, Ltd., Series 2017-1A, Class D, 7.74% (3 mo. USD LIBOR + 2.95%), due 10/15/30(c) 144A | 232,555 | |
220,000 | Golub Capital Partners CLO 66B, Ltd., Series 2023-66A, Class A, 1.00% (3 mo. TSFR + 1.95%), due 04/25/36(b)(c) 144A | 219,065 | |
380,000 | Golub Capital Partners CLO, Ltd., Series 2021-53A, Class E, 11.51% (3 mo. USD LIBOR + 6.70%), due 07/20/34(c) 144A | 343,887 | |
250,000 | Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 9.74% (3 mo. USD LIBOR + 4.95%), due 04/15/31(c) 144A | 207,157 | |
750,000 | Greywolf CLO IV, Ltd., Series 2018-1A, Class D, 10.68% (3 mo. TSFR + 6.01%), due 04/26/31(c) 144A | 660,491 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
250,000 | Greywolf CLO IV, Ltd., Series 2019-1RA, Class CR, 8.54% (3 mo. TSFR + 3.91%), due 04/17/34(c) 144A | 228,401 | |
255,000 | GREYWOLF CLO VI, Ltd., Series 2018-1A, Class A2, 6.56% (3 mo. TSFR + 1.89%), due 04/26/31(c) 144A | 250,547 | |
74,944 | GSAA Home Equity Trust, Series 2007-7, Class A4, 5.39% (1 mo. USD LIBOR + 0.54%), due 07/25/37(c) | 70,748 | |
290,000 | Halsey Point CLO I, Ltd., Series 2019-1A, Class F, 12.44% (3 mo. USD LIBOR + 8.20%), due 01/20/33(c) 144A | 231,540 | |
200,000 | Hayfin US CLO XII, Ltd., Series 2018-9A, Class BR, 6.60% (3 mo. USD LIBOR + 1.80%), due 04/28/31(c) 144A | 195,868 | |
221,118 | KeyCorp Student Loan Trust, Series 2005-A, Class 2C, 6.43% (3 mo. USD LIBOR + 1.30%), due 12/27/38(c) | 205,019 | |
400,000 | KKR CLO 14, Ltd., Series 14, Class BR, 6.59% (3 mo. USD LIBOR + 1.80%), due 07/15/31(c) 144A | 389,659 | |
870,000 | KREF CLO, Ltd., Series 2022-FL3, Class A, 6.21% (1 mo. TSFR + 1.45%), due 02/17/39(c) 144A | 856,987 | |
177,045 | Long Beach Mortgage Loan Trust, Series 2005-1, Class M4, 6.12% (1 mo. USD LIBOR + 1.28%), due 02/25/35(c) | 170,172 | |
425,000 | Madison Park Funding CLO XLVIII, Ltd., Series 2017-25A, Class A2R, 6.47% (3 mo. USD LIBOR + 1.65%), due 04/25/29(c) 144A | 416,766 | |
250,000 | Madison Park Funding CLO XXV, Ltd., Series 2021-48A, Class B, 5.68% (3 mo. USD LIBOR + 1.45%), due 04/19/33(c) 144A | 244,951 | |
1,405,000 | Madison Park Funding CLO XXXIX, Ltd., Series 2021-39A, Class D, 7.87% (3 mo. USD LIBOR + 3.05%), due 10/22/34(c) 144A | 1,334,397 | |
400,000 | Magnetite CLO XII, Ltd., Series 2015-12A, Class ER, 10.47% (3 mo. USD LIBOR + 5.68%), due 10/15/31(c) 144A | 358,972 | |
1,435,000 | Magnetite CLO XXIV, Ltd., Series 2019-24A, Class BR, 6.41% (3 mo. TSFR + 1.75%), due 04/15/35(c) 144A | 1,373,794 | |
2,160,000 | Magnetite CLO XXVII, Ltd., Series 2020-27A, Class AR, 5.95% (3 mo. USD LIBOR + 1.14%), due 10/20/34(c) 144A | 2,107,147 | |
592,011 | Magnolia Financial X DAC, Series 2020-1, 3.98%, due 08/13/24 144A | 578,779 | |
250,000 | Marathon CLO 14, Ltd., Series 2019-2A, Class BA, 8.11% (3 mo. USD LIBOR + 3.30%), due 01/20/33(c) 144A | 241,432 | |
400,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 3.20%, due 09/21/26 144A | 372,752 | |
442,764 | Mill City Solar Loan, Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A | 408,608 | |
629,009 | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, due 12/20/46 144A | 550,691 | |
960,813 | National Collegiate Student Loan Trust, Series 2007-2, Class A4, 5.14% (1 mo. USD LIBOR + 0.29%), due 01/25/33(c) | 881,073 | |
370,000 | Navient Private Education Refi Student Loan Trust, Series 2018-CA, Class B, 4.22%, due 06/16/42 144A | 343,089 | |
760,000 | Navient Private Education Refi Student Loan Trust, Series 2020-GA, Class B, 2.50%, due 09/16/69 144A | 596,287 | |
250,000 | Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 10.74% (3 mo. USD LIBOR + 5.92%), due 10/21/30(c) 144A | 219,686 | |
250,000 | Neuberger Berman Loan Advisers CLO 25, Ltd., Series 2017-25A, Class DR, 7.64% (3 mo. USD LIBOR + 2.85%), due 10/18/29(c) 144A | 233,266 | |
750,000 | Neuberger Berman Loan Advisers CLO 33, Ltd., Series 2019-33A, Class DR, 7.69% (3 mo. USD LIBOR + 2.90%), due 10/16/33(c) 144A | 698,629 | |
2,805,000 | Neuberger Berman Loan Advisers CLO 36, Ltd., Series 2020-36A, Class A1R, 6.06% (3 mo. USD LIBOR + 1.25%), due 04/20/33(c) 144A | 2,763,876 | |
480,000 | Neuberger Berman Loan Advisers CLO 44, Ltd., Series 2021-44A, Class E, 10.79% (3 mo. USD LIBOR + 6.00%), due 10/16/34(c) 144A | 433,478 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
700,000 | Ocean Trails CLO IX, Series 2020-9A, Class CR, 7.34% (3 mo. USD LIBOR + 2.55%), due 10/15/34(c) 144A | 667,431 | |
650,000 | Ocean Trails CLO X, Series 2020-10A, Class ER, 12.36% (3 mo. USD LIBOR + 7.57%), due 10/15/34(c) 144A | 584,231 | |
930,000 | Ocean Trails CLO XIV, Ltd., Series 2023-14A, Class A1, 6.78% (3 mo. TSFR + 2.00%), due 01/20/35(c) 144A | 927,417 | |
1,285,000 | OCP CLO, Ltd., Series 2015-9A, Class BR2, 6.38% (3 mo. TSFR + 1.75%), due 01/15/33(c) 144A | 1,228,938 | |
325,000 | Octagon Investment Partners CLO 35, Ltd., Series 2018-1A, Class C, 6.84% (3 mo. USD LIBOR + 2.60%), due 01/20/31(c) 144A | 295,736 | |
275,000 | OHA Credit Funding CLO 2, Ltd., Series 2019-2A, Class BR, 6.42% (3 mo. USD LIBOR + 1.60%), due 04/21/34(c) 144A | 268,225 | |
1,000,000 | OHA Credit Funding CLO 4, Ltd., Series 2019-4A, Class BR, 6.47% (3 mo. USD LIBOR + 1.65%), due 10/22/36(c) 144A | 977,961 | |
850,000 | Option One Mortgage Loan Trust, Series 2005-3, Class M4, 5.78% (1 mo. USD LIBOR + 0.93%), due 08/25/35(c) | 659,820 | |
250,000 | Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L, 6.61% (3 mo. USD LIBOR + 1.80%), due 04/20/32(c) 144A | 246,716 | |
605,000 | OZLM CLO XXIII, Ltd., Series 2019-23A, Class B1R, 6.64% (3 mo. USD LIBOR + 1.85%), due 04/15/34(c) 144A | 580,784 | |
2,335,000 | Palmer Square CLO, Ltd., Series 2021-2A, Class A, 5.94% (3 mo. USD LIBOR + 1.15%), due 07/15/34(c) 144A | 2,280,261 | |
300,000 | Palmer Square CLO, Ltd., Series 2021-4A, Class B, 6.44% (3 mo. USD LIBOR + 1.65%), due 10/15/34(c) 144A | 292,346 | |
250,000 | Palmer Square Loan Funding CLO, Ltd., Series 2021-2A, Class A2, 6.17% (3 mo. USD LIBOR + 1.25%), due 05/20/29(c) 144A | 244,807 | |
250,000 | Palmer Square Loan Funding CLO, Ltd., Series 2021-2A, Class B, 6.32% (3 mo. USD LIBOR + 1.40%), due 05/20/29(c) 144A | 242,585 | |
890,000 | Palmer Square Loan Funding CLO, Ltd., Series 2022-3A, Class C, 9.41% (3 mo. TSFR + 5.40%), due 04/15/31(c) 144A | 873,436 | |
250,000 | Parallel CLO, Ltd., Series 2017-1A, Class CR, 6.81% (3 mo. USD LIBOR + 2.00%), due 07/20/29(c) 144A | 235,518 | |
575,000 | Park Avenue Institutional Advisers CLO, Ltd., Series 2021-2A, Class B, 6.54% (3 mo. USD LIBOR + 1.75%), due 07/15/34(c) 144A | 550,218 | |
390,000 | Peace Park CLO, Ltd., Series 2021-1A, Class E, 10.81% (3 mo. USD LIBOR + 6.00%), due 10/20/34(c) 144A | 363,827 | |
439,300 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 427,054 | |
1,005,000 | PPM CLO, Ltd., Series 2018-1A, Class B2, 6.64% (3 mo. USD LIBOR + 1.85%), due 07/15/31(c) 144A | 985,658 | |
1,070,000 | Rad CLO 15, Ltd., Series 2021-15A, Class A, 5.90% (3 mo. USD LIBOR + 1.09%), due 01/20/34(c) 144A | 1,053,083 | |
278,689 | Renaissance Home Equity Loan Trust, Series 2003-2, Class A, 4.45% (1 mo. USD LIBOR + 0.88%), due 08/25/33(c) | 252,115 | |
1,160,000 | Residential Asset Securities Trust, Series 2006-KS2, Class M3, 5.46% (1 mo. USD LIBOR + 0.62%), due 03/25/36(c) | 1,071,526 | |
1,485,000 | Rockford Tower CLO, Ltd., Series 2018-1A, Class A, 6.02% (3 mo. USD LIBOR + 1.10%), due 05/20/31(c) 144A | 1,465,178 | |
325,000 | Rockford Tower CLO, Ltd., Series 2021-3A, Class B, 6.56% (3 mo. USD LIBOR + 1.75%), due 10/20/34(c) 144A | 309,628 | |
720,000 | RR CLO 18, Ltd., Series 2021-18A, Class D, 11.04% (3 mo. USD LIBOR + 6.25%), due 10/15/34(c) 144A | 660,720 | |
180,000 | Saranac CLO III, Ltd., Series 2014-3A, Class DR, 8.20% (3 mo. USD LIBOR + 3.25%), due 06/22/30(c) 144A | 144,836 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
430,000 | Sculptor CLO XXVI, Ltd., Series 26A, Class E, 12.06% (3 mo. USD LIBOR + 7.25%), due 07/20/34(c) 144A | 381,729 | |
515,000 | Sixth Street CLO XVIII, Ltd., Series 2021-18A, Class D, 7.71% (3 mo. USD LIBOR + 2.90%), due 04/20/34(c) 144A | 491,211 | |
68,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 8.30%, due 06/15/32(d) | 67,964 | |
50,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 4.30%, due 03/15/33(d) | 50,074 | |
680,000 | SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53 144A | 623,534 | |
2,600,000 | Sound Point CLO XXVII, Ltd., Series 2020-2A, Class AR, 6.00% (3 mo. USD LIBOR + 1.18%), due 10/25/34(c) 144A | 2,513,888 | |
940,000 | Southwick Park CLO LLC, Series 2019-4A, Class DR, 7.76% (3 mo. USD LIBOR + 2.95%), due 07/20/32(c) 144A | 874,600 | |
704,092 | Stonepeak, Series 2021-1A, Class A, 2.68%, due 02/28/33 144A | 633,077 | |
1,050,000 | Sycamore Tree CLO, Ltd., Series 2023-2A, Class A, 7.01% (3 mo. TSFR + 2.33%), due 04/20/35(c) 144A | 1,051,219 | |
930,000 | Symphony CLO 37, Ltd., Series 2022-37A, Class A1A, 6.55% (3 mo. TSFR + 2.30%), due 10/20/34(c) 144A | 933,354 | |
280,000 | TCI-Symphony CLO, Ltd., Series 2016-1A, Class DR2, 7.92% (3 mo. USD LIBOR + 3.10%), due 10/13/32(c) 144A | 256,240 | |
800,000 | TCI-Symphony CLO, Ltd., Series 2016-1A, Class ER2, 11.57% (3 mo. USD LIBOR + 6.75%), due 10/13/32(c) 144A | 667,546 | |
465,000 | THL Credit Wind River CLO, Ltd., Series 2017-4A, Class B, 6.37% (3 mo. USD LIBOR + 1.45%), due 11/20/30(c) 144A | 448,555 | |
2,710,000 | Trinitas CLO XVI, Ltd., Series 2021-16A, Class A1, 5.99% (3 mo. USD LIBOR + 1.18%), due 07/20/34(c) 144A | 2,649,385 | |
650,000 | TSTAT CLO, Ltd., Series 2022-2A, Class C, 9.31% (3 mo. TSFR + 4.80%), due 01/20/31(c) 144A | 661,472 | |
500,000 | Venture 43 CLO, Ltd., Series 2021-43A, Class D, 8.26% (3 mo. USD LIBOR + 3.47%), due 04/15/34(c) 144A | 425,362 | |
500,000 | VERDE CLO, Ltd., Series 2019-1A, Class DR, 8.04% (3 mo. USD LIBOR + 3.25%), due 04/15/32(c) 144A | 465,028 | |
250,000 | Voya CLO, Ltd., Series 2016-3A, Class A1R, 5.98% (3 mo. USD LIBOR + 1.19%), due 10/18/31(c) 144A | 246,992 | |
660,000 | Voya CLO, Ltd., Series 2017-2A, Class A2AR, 6.44% (3 mo. USD LIBOR + 1.65%), due 06/07/30(c) 144A | 646,586 | |
260,000 | Voya CLO, Ltd., Series 2017-3A, Class DR, 11.76% (3 mo. USD LIBOR + 6.95%), due 04/20/34(c) 144A | 234,334 | |
350,000 | Wellfleet CLO, Ltd., Series 2017-2A, Class C, 8.21% (3 mo. USD LIBOR + 3.40%), due 10/20/29(c) 144A | 312,892 | |
255,000 | Whitebox CLO I, Ltd., Series 2019-1A, Class ANBR, 6.52% (3 mo. USD LIBOR + 1.70%), due 07/24/32(c) 144A | 249,468 | |
260,000 | Whitebox CLO II, Ltd., Series 2020-2A, Class A1R, 6.04% (3 mo. USD LIBOR + 1.22%), due 10/24/34(c) 144A | 255,306 | |
1,120,000 | Whitebox CLO IV, Ltd., Series 2023-4A, Class A1, 6.93% (3 mo. TSFR + 2.15%), due 04/20/36(c) 144A | 1,118,606 | |
410,000 | Whitehorse CLO XII, Ltd., Series 2018-12A, Class D, 8.44% (3 mo. USD LIBOR + 3.65%), due 10/15/31(c) 144A | 360,426 | |
250,000 | Wind River CLO, Ltd., Series 2021-4A, Class B, 6.46% (3 mo. USD LIBOR + 1.65%), due 01/20/35(c) 144A | 237,638 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
420,000 | Z Capital Credit Partners CLO, Ltd., Series 2021-1A, Class D, 8.99% (3 mo. USD LIBOR + 4.20%), due 07/15/33(c) 144A | 380,254 | |
83,913,539 | |||
Bank Loans — 11.1% | |||
1,958,233 | 19th Holdings Golf, LLC, 2022 Term Loan B, 7.80% (1 mo. SOFR + 3.00%), due 02/07/29(c) | 1,826,052 | |
745,662 | ACProducts, Inc., 2021 Term Loan B, 9.39% (3 mo. USD LIBOR + 4.25%), due 05/17/28(c) | 596,064 | |
122,407 | Acrisure, LLC, 2020 Term Loan B, 8.36% (1 mo. USD LIBOR + 3.50%), due 02/15/27(c) | 118,581 | |
992,462 | Acrisure, LLC, 2021 First Lien Term Loan B, 9.09% (1 mo. USD LIBOR + 4.25%), due 02/15/27(c) | 975,508 | |
807,975 | Acrisure, LLC, 2022 Incremental Term Loan, 10.45% (3 mo. SOFR + 5.75%), due 02/15/27(c) | 803,935 | |
534,061 | EUR | Adevinta ASA, EUR Term Loan B, 6.02% (3 mo. EURIBOR + 3.00%), due 06/26/28(c) | 576,362 |
639,681 | Adtalem Global Education Inc., 2021 Term Loan B, 8.84% (1 mo. USD LIBOR + 4.00%), due 08/12/28(c) | 640,024 | |
777,923 | Allen Media, LLC, 2021 Term Loan B, 10.55% (3 mo. USD LIBOR + 5.50%), due 02/10/27(c) | 665,124 | |
1,559,737 | Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 8.66% (1 mo. SOFR + 3.75%), due 05/12/28(c) | 1,482,725 | |
1,207,800 | AllSpring Buyer, LLC, Term Loan B, 8.16% (3 mo. USD LIBOR + 3.00%), due 11/01/28(c) | 1,205,284 | |
606,783 | Amentum Government Services Holdings, LLC, 2022 Term Loan, 8.76% (3 mo. SOFR + 4.00%), due 02/15/29(c) | 595,027 | |
683,467 | Amentum Government Services Holdings, LLC, 2022 Term Loan, 9.03% (3 mo. SOFR + 4.00%), due 02/15/29(c) | 670,224 | |
490,889 | Amentum Government Services Holdings, LLC, Term Loan B, 8.84% (3 mo. USD LIBOR + 4.00%), due 01/29/27(c) | 481,685 | |
1,710,562 | American Airlines, Inc., 2021 Term Loan, 9.56% (3 mo. USD LIBOR + 4.75%), due 04/20/28(c) | 1,738,835 | |
1,285,307 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 8.34% (1 mo. USD LIBOR + 3.50%), due 11/30/28(c) | 1,275,667 | |
1,261,769 | AmWINS Group, Inc., 2021 Term Loan B, 7.11% (1 mo. USD LIBOR + 2.25%), due 02/19/28(c) | 1,248,713 | |
344,638 | Anticimex International AB, 2021 USD Term Loan B1, 8.45% (3 mo. USD LIBOR + 3.50%), due 11/16/28(c) | 341,192 | |
146,302 | Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 8.34% (1 mo. USD LIBOR + 3.50%), due 03/11/28(c) | 126,551 | |
1,426,145 | Arctic Canadian Diamond Co., Ltd., 2nd Lien PIK Term Loan, 9.16% (3 mo. USD LIBOR + 4.00%, 12.50% PIK), due 12/31/27(c)(e)(f) | 1,235,469 | |
1,309,280 | EUR | Aruba Investments, Inc., 2020 EUR Term Loan, 6.93% (1 mo. EURIBOR + 4.00%), due 11/24/27(c) | 1,376,237 |
934,600 | Aruba Investments, Inc., 2020 USD Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 11/24/27(c) | 920,581 | |
900,000 | Asurion, LLC, 2021 Second Lien Term Loan B4, 10.09% (1 mo. USD LIBOR + 5.25%), due 01/20/29(c) | 747,450 | |
495,488 | Asurion, LLC, 2021 Term Loan B9, 8.09% (1 mo. USD LIBOR + 3.25%), due 07/31/27(c) | 455,849 | |
609,961 | Asurion, LLC, 2022 Term Loan B10, 8.91% (3 mo. SOFR + 4.00%), due 08/19/28(c) | 562,384 | |
600,099 | At Home Group Inc., Term Loan B, 9.00% (3 mo. USD LIBOR + 4.25%), due 07/24/28(c) | 471,078 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
106,176 | Athenahealth Group, Inc., 2022 Term Loan B, 8.26% (1 mo. SOFR + 3.50%), due 02/15/29(c) | 99,009 | |
1,480,497 | Autokiniton US Holdings, Inc., 2021 Term Loan B, 9.42% (1 mo. SOFR + 4.50%), due 04/06/28(c) | 1,440,894 | |
1,118,000 | EUR | Belron Luxembourg SARL, 2021 EUR Term Loan B, 5.05% (3 mo. EURIBOR + 2.50%), due 04/13/28(c) | 1,197,950 |
276,818 | Brown Group Holding, LLC, 2022 Incremental Term Loan B2, 8.56% (1 mo. SOFR + 3.75%), due 07/02/29(c) | 277,337 | |
718,182 | Brown Group Holding, LLC, 2022 Incremental Term Loan B2, 8.43% (3 mo. SOFR + 3.75%), due 07/02/29(c) | 719,528 | |
498,644 | Brown Group Holding, LLC, Term Loan B, 7.36% (1 mo. USD LIBOR + 2.50%), due 06/07/28(c) | 494,780 | |
320,000 | Caesars Entertainment Corp., Term Loan B, 8.16% (1 mo. SOFR + 3.25%), due 02/06/30(c) | 318,800 | |
419,109 | Camelot U.S. Acquisition, LLC, 2020 Incremental Term Loan B, 7.84% (1 mo. USD LIBOR + 3.00%), due 10/30/26(c) | 418,716 | |
667,639 | Camelot U.S. Acquisition, LLC, Term Loan B, 7.84% (1 mo. USD LIBOR + 3.00%), due 10/30/26(c) | 665,970 | |
1,773,034 | Cano Health, LLC, 2022 Term Loan, 8.91% (1 mo. SOFR + 4.00%), due 11/23/27(c) | 1,338,641 | |
560,682 | Cardinal Parent, Inc., 2020 Term Loan B, 9.66% (3 mo. USD LIBOR + 4.50%), due 11/12/27(c) | 499,007 | |
860,658 | EUR | Carnival Corp., EUR Term Loan B, 6.65% (1 mo. EURIBOR + 3.75%), due 06/30/25(c) | 923,374 |
796,251 | Carriage Purchaser, Inc., 2021 Term Loan B, 9.09% (1 mo. USD LIBOR + 4.25%), due 09/30/28(c) | 764,525 | |
997,500 | CDK Global, Inc., 2022 USD Term Loan B, 9.15% (3 mo. SOFR + 4.25%), due 07/06/29 | 996,342 | |
880,850 | Chamberlain Group, Inc., Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 11/03/28(c) | 847,818 | |
1,462,064 | Citadel Securities, LP, 2021 Term Loan B, 7.31% (1 mo. SOFR + 2.50%), due 02/02/28(c) | 1,451,830 | |
998,575 | City Brewing Company, LLC, Closing Date Term Loan, 8.33% (3 mo. USD LIBOR + 3.50%), due 04/05/28(c) | 422,730 | |
1,000,000 | Clarios Global, LP, 2021 USD Term Loan B, 8.11% (1 mo. USD LIBOR + 3.25%), due 04/30/26(c) | 996,875 | |
974,763 | Clear Channel Outdoor Holdings, Inc., Term Loan B, 8.33% (3 mo. USD LIBOR + 3.50%), due 08/21/26(c) | 911,251 | |
160,000 | Cloudera, Inc., 2021 Second Lien Term Loan, 10.84% (1 mo. USD LIBOR + 6.00%), due 10/08/29(c) | 142,400 | |
831,405 | ClubCorp Holdings, Inc., 2017 Term Loan B, 7.89% (3 mo. USD LIBOR + 2.75%), due 09/18/24(c) | 796,850 | |
724,525 | Clydesdale Acquisition Holdings, Inc., Term Loan B, 9.08% (1 mo. SOFR + 4.18%), due 04/13/29(c) | 709,705 | |
2,105,398 | CommScope, Inc., 2019 Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 04/06/26(c) | 2,030,831 | |
175,686 | CoreLogic, Inc., Term Loan, 8.38% (1 mo. USD LIBOR + 3.50%), due 06/02/28(c) | 150,321 | |
1,513,000 | Crown Subsea Communications Holding,Inc., 2023 Incremental Term Loan, 10.14% (3 mo. SOFR + 5.25%), due 04/27/27(c) | 1,499,761 | |
593,403 | CTC Holdings, LP, Term Loan B, 9.95% (3 mo. SOFR + 5.00%), due 02/20/29(c) | 578,568 | |
710,028 | DCert Buyer, Inc., 2019 Term Loan B, 8.70% (3 mo. SOFR + 4.00%), due 10/16/26(c) | 697,780 | |
915,200 | DCert Buyer, Inc., 2021 2nd Lien Term Loan, 11.70% (3 mo. USD LIBOR + 7.00%), due 02/19/29(c) | 852,966 | |
842,438 | Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 8.56% (1 mo. SOFR + 3.75%), due 04/09/27(c) | 817,866 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
288,100 | Deerfield Dakota Holding, LLC, 2021 USD 2nd Lien Term Loan, 11.91% (3 mo. USD LIBOR + 6.75%), due 04/07/28(c) | 266,673 | |
1,901,251 | DirecTV Financing, LLC, Term Loan, 9.84% (1 mo. USD LIBOR + 5.00%), due 08/02/27(c) | 1,834,470 | |
1,659,682 | Dun & Bradstreet Corp. (The), Term Loan, 8.10% (1 mo. USD LIBOR + 3.25%), due 02/06/26(c) | 1,657,014 | |
352,337 | Electron BidCo Inc., 2021 Term Loan, 7.84% (1 mo. USD LIBOR + 3.00%), due 11/01/28(c) | 348,021 | |
262,522 | Embecta Corp., Term Loan B, 7.79% (6 mo. SOFR + 3.00%), due 03/30/29(c) | 258,913 | |
839,000 | Embecta Corp., Term Loan B, TBD, due 03/30/29(g) | 827,464 | |
225,967 | Empire Today, LLC, 2021 Term Loan B, 9.71% (1 mo. USD LIBOR + 5.00%), due 04/03/28(c) | 178,137 | |
942,664 | Endure Digital, Inc., Term Loan, 8.22% (1 mo. USD LIBOR + 3.50%), due 02/10/28(c) | 879,035 | |
338,580 | EP Purchaser, LLC, 2021 Term Loan B, 8.66% (3 mo. USD LIBOR + 3.50%), due 11/06/28(c) | 337,310 | |
177,947 | Equinox Holdings, Inc., 2020 Term Loan B2, 14.16% (3 mo. USD LIBOR + 9.00%), due 03/08/24(c) | 164,156 | |
71,752 | EyeCare Partners, LLC, 2020 Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 02/18/27(c) | 59,330 | |
440,000 | EyeCare Partners, LLC, 2021 2nd Lien Term Loan, 11.59% (1 mo. USD LIBOR + 6.75%), due 11/15/29(c) | 341,733 | |
475,200 | EyeCare Partners, LLC, 2021 Incremental Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 11/15/28(c) | 388,179 | |
997,500 | EyeCare Partners, LLC, 2022 Incremental Term Loan, 9.41% (1 mo. SOFR + 4.50%), due 11/15/28(c) | 817,950 | |
819,625 | Fanatics Commerce Intermediate Holdco, LLC, Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 11/24/28(c) | 817,832 | |
190,000 | First Brands Group, LLC, 2021 2nd Lien Term Loan, 13.60% (3 mo. USD LIBOR + 8.50%), due 03/30/28(c) | 169,733 | |
481,651 | Focus Financial Partners, LLC, 2021 Term Loan B4, 7.31% (1 mo. SOFR + 2.50%), due 06/30/28(c) | 474,942 | |
113,573 | EUR | Froneri International, Ltd., 2020 EUR Term Loan B1, 5.07% (6 mo. EURIBOR + 2.13%), due 01/29/27(c) | 117,561 |
657,594 | Gainwell Acquisition Corp., Term Loan B, 9.00% (3 mo. SOFR + 4.00%), due 10/01/27(c) | 626,769 | |
2,323,926 | Garda World Security Corp., 2021 Term Loan B, 9.11% (1 mo. SOFR + 4.25%), due 10/30/26(c) | 2,308,433 | |
726,350 | Garda World Security Corp., 2022 Term Loan B, 9.01% (1 mo. SOFR + 4.25%), due 02/01/29(c) | 706,980 | |
992,327 | Genesee & Wyoming, Inc., Term Loan, 7.00% (3 mo. USD LIBOR + 2.00%), due 12/30/26(c) | 987,534 | |
186,846 | Geo Group, Inc. (The), 2022 Tranche 1 Term Loan, TBD, due 03/23/27(g) | 189,566 | |
325,449 | Global Medical Response, Inc., 2020 Term Loan B, 9.24% (3 mo. USD LIBOR + 4.25%), due 10/02/25(c) | 231,883 | |
794,597 | Graham Packaging Co. Inc., 2021 Term Loan, 7.84% (1 mo. USD LIBOR + 3.00%), due 08/04/27(c) | 788,539 | |
867,766 | Gray Television, Inc., 2021 Term Loan D, 7.66% (1 mo. USD LIBOR + 3.00%), due 12/01/28(c) | 844,807 | |
1,491,166 | Great Outdoors Group, LLC, 2021 Term Loan B1, 8.59% (1 mo. USD LIBOR + 3.75%), due 03/06/28(c) | 1,475,012 | |
526,708 | Greystone Select Financial, LLC, Term Loan B, 9.80% (3 mo. USD LIBOR + 5.00%), due 06/16/28(c) | 495,105 | |
1,464,000 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 6.84% (1 mo. USD LIBOR + 2.00%), due 11/15/27(c) | 1,434,415 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
378,100 | Hayward Industries, Inc., 2022 Term Loan, 8.16% (1 mo. SOFR + 3.25%), due 05/30/28(c) | 368,962 | |
180,000 | Howden Group Holdings, Ltd., 2023 USD Term Loan B, TBD, due 03/24/30(g) | 179,325 | |
990,911 | Hudson River Trading, LLC, 2021 Term Loan, 7.84% (1 mo. SOFR + 3.00%), due 03/20/28(c) | 931,456 | |
30,662 | Hyland Software, Inc., 2018 1st Lien Term Loan, 8.34% (1 mo. USD LIBOR + 3.50%), due 07/01/24(c) | 30,306 | |
1,269,634 | II-VI, Inc., 2022 Term Loan B, 7.59% (1 mo. USD LIBOR + 2.75%), due 07/02/29(c) | 1,260,112 | |
147,230 | Illuminate Buyer, LLC, 2021 Term Loan, 8.34% (1 mo. USD LIBOR + 3.50%), due 06/30/27(c) | 144,746 | |
835,125 | Ingram Micro Inc., 2021 Term Loan B, 8.60% (3 mo. USD LIBOR + 3.50%), due 06/30/28(c) | 829,697 | |
523,000 | IXS Holdings, Inc., 2020 Term Loan B, TBD, due 03/05/27(g) | 434,744 | |
1,619,089 | Jazz Financing Lux SARL, USD Term Loan, 8.34% (1 mo. USD LIBOR + 3.50%), due 05/05/28(c) | 1,614,873 | |
1,941,339 | Jump Financial, LLC, Term Loan B, 9.66% (3 mo. SOFR + 4.50%), due 08/07/28(c) | 1,790,885 | |
750,500 | Knight Health Holdings, LLC, Term Loan B, 10.09% (1 mo. USD LIBOR + 5.25%), due 12/23/28(c) | 396,827 | |
836,900 | Lakeshore Intermediate, LLC, Term Loan, 8.36% (1 mo. USD LIBOR + 3.50%), due 09/29/28(c) | 824,347 | |
301,617 | Leslie's Poolmart, Inc., 2021 Term Loan B, 7.66% (3 mo. USD LIBOR + 2.50%), due 03/09/28(c) | 298,008 | |
1,113,750 | LIDS Holdings, Inc., Term Loan, 10.39% (3 mo. SOFR + 5.50%), due 12/14/26(c) | 1,058,062 | |
476,000 | EUR | Lonza Group AG, EUR Term Loan B, 7.02% (3 mo. EURIBOR + 4.00%), due 07/03/28(c) | 477,556 |
691,250 | LRS Holdings, LLC, Term Loan B, 9.09% (1 mo. USD LIBOR + 4.25%), due 08/31/28(c) | 678,289 | |
738,750 | Magenta Buyer, LLC, 2021 USD 1st Lien Term Loan, 9.58% (3 mo. USD LIBOR + 4.75%), due 07/27/28(c) | 609,469 | |
930,000 | Magenta Buyer, LLC, 2021 USD 2nd Lien Term Loan, 13.08% (3 mo. USD LIBOR + 8.25%), due 07/27/29(c) | 703,700 | |
2,469,868 | MajorDrive Holdings IV, LLC, Term Loan B, 9.00% (3 mo. USD LIBOR + 4.00%), due 06/01/28(c) | 2,349,462 | |
2,389 | McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 9.59% (1 mo. USD LIBOR + 4.75%), due 07/28/28(c) | 2,238 | |
542,020 | McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 9.70% (3 mo. USD LIBOR + 4.75%), due 07/28/28(c) | 507,853 | |
399,242 | McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 9.99% (6 mo. USD LIBOR + 4.75%), due 07/28/28(c) | 374,076 | |
944,131 | Medline Borrower, LP, USD Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 10/23/28(c) | 921,642 | |
1,088,823 | MH Sub I, LLC, 2020 Incremental Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 09/13/24(c) | 1,073,074 | |
800,599 | Michaels Cos, Inc., 2021 Term Loan B, 9.41% (3 mo. USD LIBOR + 4.25%), due 04/15/28(c) | 737,981 | |
2,005,920 | MKS Instruments, Inc., 2022 USD Term Loan B, 7.61% (1 mo. SOFR + 2.75%), due 08/17/29(c) | 1,997,981 | |
316,679 | MRI Software, LLC, 2020 Term Loan B, TBD, due 02/10/26(g) | 305,215 | |
182,589 | MRI Software, LLC, 2020 Term Loan, TBD, due 02/10/26(g) | 175,290 | |
1,526,154 | NCL Corporation, Ltd., 2022 Term Loan A3, Class C, 7.25% (3 mo. SOFR + 2.35%), due 01/02/25(c) | 1,491,815 | |
2,145,014 | NCR Corp., 2019 Term Loan, 7.33% (3 mo. USD LIBOR + 2.50%), due 08/28/26(c) | 2,119,988 | |
1,909,000 | Neptune Bidco US, Inc., 2022 USD Term Loan B, TBD, due 04/11/29(g) | 1,699,010 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
623,000 | EUR | Olympus Water US Holding Corp., 2021 EUR Term Loan B, TBD, due 11/09/28(g) | 644,073 |
995,213 | Olympus Water US Holding Corp., 2021 USD Term Loan B, 8.94% (3 mo. USD LIBOR + 3.75%), due 11/09/28(c) | 944,209 | |
913,725 | One Call Corp., 2021 Term Loan, 10.38% (3 mo. USD LIBOR + 5.50%), due 04/22/27(c) | 688,339 | |
794,641 | EUR | Organon & Co., EUR Term Loan B, 5.80% (3 mo. EURIBOR + 3.00%), due 06/02/28(c) | 849,309 |
943,267 | Organon & Co., USD Term Loan, 8.00% (3 mo. USD LIBOR + 3.00%), due 06/02/28(c) | 944,447 | |
465,832 | Oscar AcquisitionCo, LLC, Term Loan B, 9.40% (3 mo. SOFR + 4.50%), due 04/29/29(c) | 450,256 | |
414,804 | Pacific Bells, LLC, Term Loan B, 9.66% (3 mo. USD LIBOR + 4.50%), due 11/10/28(c) | 398,212 | |
1,019,285 | Parexel International Corp., 2021 1st Lien Term Loan, 8.09% (1 mo. USD LIBOR + 3.25%), due 11/15/28(c) | 1,008,853 | |
843,331 | EUR | Paysafe Holdings (US) Corp., EUR Term Loan B2, 5.91% (1 mo. EURIBOR + 3.00%), due 06/28/28(c) | 850,497 |
1,076,254 | PECF USS Intermediate Holding III Corp., Term Loan B, 9.09% (1 mo. USD LIBOR + 4.25%), due 12/15/28(c) | 910,780 | |
563,069 | Peraton Corp., 2nd Lien Term Loan B1, 12.65% (3 mo. USD LIBOR + 7.75%), due 02/01/29(c) | 547,585 | |
1,498,075 | Peraton Corp., Term Loan B, 8.59% (1 mo. USD LIBOR + 3.75%), due 02/01/28(c) | 1,480,473 | |
2,018,753 | PetSmart, Inc., 2021 Term Loan B, 8.66% (1 mo. SOFR + 3.75%), due 02/11/28(c) | 2,005,715 | |
992,386 | Planview Parent, Inc., Term Loan, 9.16% (3 mo. USD LIBOR + 4.00%), due 12/17/27(c) | 943,593 | |
895,500 | Polyconcept Holding BV, Term Loan B, 10.31% (1 mo. SOFR + 5.50%), due 05/18/29(c) | 880,948 | |
161,624 | Prime Security Services Borrower, LLC, 2021 Term Loan, 7.52% (3 mo. USD LIBOR + 2.75%), due 09/23/26(c) | 161,311 | |
848,156 | Proofpoint, Inc., 1st Lien Term Loan, 8.09% (1 mo. USD LIBOR + 3.25%), due 08/31/28(c) | 830,795 | |
603,900 | Quikrete Holdings, Inc., 2021 Term Loan B1, 7.84% (1 mo. USD LIBOR + 3.00%), due 03/18/29(c) | 598,012 | |
1,200,000 | R.R. Donnelley & Sons Co., 2023 Term Loan B, TBD, due 03/17/28(g) | 1,189,998 | |
946,900 | Rackspace Technology Global, Inc., 2021 Term Loan B, 7.60% (3 mo. USD LIBOR + 2.75%), due 02/15/28(c) | 511,326 | |
408,999 | Radiate Holdco, LLC, 2021 Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 09/25/26(c) | 335,379 | |
953,000 | Rand Parent, LLC, 2023 Term Loan B, 9.13% (1 mo. SOFR + 0.00%), due 03/17/30(c) | 899,842 | |
740,000 | Redstone Holdco 2 LP, 2021 2nd Lien Term Loan, 12.56% (3 mo. USD LIBOR + 7.75%), due 04/27/29(c) | 388,500 | |
778,150 | Redstone Holdco 2 LP, 2021 Term Loan, 9.57% (3 mo. USD LIBOR + 4.75%), due 04/27/28(c) | 617,899 | |
286,152 | Resolute Investment Managers, Inc., 2020 Term Loan C, 9.39% (3 mo. USD LIBOR + 4.25%), due 04/30/24(c) | 212,468 | |
1,545,000 | Roper Industrial Products Investment Co. LLC, USD Term Loan, TBD, due 11/22/29(g) | 1,535,730 | |
945,838 | RVR Dealership Holdings, LLC, Term Loan B, 8.55% (1 mo. SOFR + 3.75%), due 02/08/28(c) | 818,150 | |
3,363,750 | Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 8.63% (3 mo. SOFR + 3.75%), due 02/17/28(c) | 3,328,710 | |
1,234,670 | Sinclair Television Group, Inc., 2022 Term Loan B4, 8.54% (1 mo. SOFR + 3.75%), due 04/21/29(c) | 1,126,636 | |
653,362 | SkyMiles IP, Ltd., 2020 Skymiles Term Loan B, 8.56% (3 mo. USD LIBOR + 3.75%), due 10/20/27(c) | 678,189 | |
847,864 | Smyrna Ready Mix Concrete, LLC, Term Loan B, 9.04% (1 mo. SOFR + 4.25%), due 04/02/29(c) | 845,745 | |
2,222,867 | Solis IV BV, USD Term Loan B1, 8.37% (3 mo. SOFR + 3.50%), due 02/26/29(c) | 2,010,027 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
800,000 | Sotera Health Holdings, LLC, 2023 Incremental Term Loan B, 8.82% (6 mo. SOFR + 3.75%), due 12/11/26(c) | 791,000 | |
586,512 | Spencer Spirit IH, LLC, Term Loan B, 10.85% (1 mo. USD LIBOR + 6.00%), due 06/19/26(c) | 581,527 | |
1,019,553 | SPX Flow, Inc., 2022 Term Loan, 9.41% (1 mo. SOFR + 4.50%), due 04/05/29(c) | 977,497 | |
489,500 | Station Casinos, LLC, 2020 Term Loan B, 7.10% (1 mo. USD LIBOR + 2.25%), due 02/08/27(c) | 486,440 | |
470,800 | Telenet Financing USD, LLC, 2020 USD Term Loan AR, 6.68% (1 mo. USD LIBOR + 2.00%), due 04/30/28(c) | 462,679 | |
306,716 | Thermostat Purchaser III, Inc., Term Loan, 9.45% (3 mo. USD LIBOR + 4.50%), due 08/31/28(c) | 294,447 | |
670,000 | Topgolf Callaway Brands Corp., Term Loan B, 8.26% (1 mo. SOFR + 0.00%), due 03/15/30(c) | 666,929 | |
746,701 | Triton Water Holdings, Inc., Term Loan, 8.66% (3 mo. USD LIBOR + 3.50%), due 03/31/28(c) | 674,458 | |
182,979 | TruGreen Limited Partnership, 2020 2nd Lien Term Loan, 13.33% (3 mo. USD LIBOR + 8.50%), due 11/02/28(c) | 123,511 | |
943,225 | Tutor Perini Corp., Term Loan B, 9.61% (1 mo. USD LIBOR + 4.75%), due 08/18/27(c) | 874,841 | |
1,886,948 | U.S. Renal Care, Inc., 2019 Term Loan B, 9.86% (1 mo. USD LIBOR + 5.00%), due 06/26/26(c) | 1,283,125 | |
1,600,373 | Uber Technologies, Inc., 2023 Term Loan B, 7.66% (3 mo. SOFR + 2.75%), due 02/28/30(c) | 1,599,040 | |
1,057,049 | UFC Holdings, LLC, 2021 Term Loan B, 7.57% (3 mo. USD LIBOR + 2.75%), due 04/29/26(c) | 1,052,057 | |
696,012 | Ultimate Software Group, Inc. (The), 2021 Term Loan, 8.03% (3 mo. USD LIBOR + 3.25%), due 05/04/26(c) | 679,109 | |
1,656,047 | United Airlines, Inc., 2021 Term Loan B, 8.57% (3 mo. USD LIBOR + 3.75%), due 04/21/28(c) | 1,649,492 | |
1,422,000 | UST Holdings, Ltd., Term Loan, 8.67% (1 mo. SOFR + 3.75%), due 11/20/28(c) | 1,414,890 | |
1,717,770 | Verscend Holding Corp., 2021 Term Loan B, 8.84% (1 mo. USD LIBOR + 4.00%), due 08/27/25(c) | 1,718,415 | |
1,746,141 | Vertex Aerospace Services Corp., 2021 First Lien Term Loan, 8.34% (1 mo. USD LIBOR + 3.50%), due 12/06/28(c) | 1,739,593 | |
1,339,721 | Vertiv Group Corp., 2021 Term Loan B, 7.42% (1 mo. USD LIBOR + 2.75%), due 03/02/27(c) | 1,315,438 | |
415,800 | VFH Parent LLC, 2022 Term Loan B, 7.86% (1 mo. SOFR + 3.00%), due 01/13/29(c) | 403,326 | |
1,649,297 | Virgin Media Bristol, LLC, USD Term Loan N, 7.18% (1 mo. USD LIBOR + 2.50%), due 01/31/28(c) | 1,627,797 | |
382,966 | Virgin Pulse, Inc., 2021 Term Loan, 8.84% (1 mo. USD LIBOR + 4.00%), due 04/06/28(c) | 316,904 | |
2,179,621 | VM Consolidated, Inc., 2021 Term Loan B, 8.09% (1 mo. USD LIBOR + 3.25%), due 03/24/28(c) | 2,180,643 | |
320,000 | VT Topco, Inc., 2021 2nd Lien Term Loan, 11.59% (1 mo. USD LIBOR + 6.75%), due 07/31/26(c) | 307,200 | |
9,949 | VT Topco, Inc., 2021 Delayed Draw Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 08/01/25(c) | 9,840 | |
365,847 | VT Topco, Inc., 2021 Incremental Term Loan, 8.59% (1 mo. USD LIBOR + 3.75%), due 08/01/25(c) | 361,845 | |
1,066,500 | Western Dental Services Inc., 2021 Term Loan B, 9.34% (1 mo. USD LIBOR + 4.50%), due 08/18/28(c) | 985,846 | |
108,751 | Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 9.34% (1 mo. USD LIBOR + 4.50%), due 08/18/28(c) | 100,527 | |
730,750 | Worldwide Express Operations, LLC, 2021 1st Lien Term Loan, 9.16% (3 mo. USD LIBOR + 4.00%), due 07/26/28(c) | 705,859 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,733,235 | WP CPP Holdings, LLC, 2018 Term Loan, 8.58% (3 mo. USD LIBOR + 3.75%), due 04/30/25(c) | 1,587,210 | |
380,000 | WP CPP Holdings, LLC, 2019 2nd Lien Incremental Term Loan, 12.58% (3 mo. USD LIBOR + 7.75%), due 04/30/26(c) | 313,500 | |
147,534,502 | |||
Convertible Debt — 0.8% | |||
225,000 | Airbnb, Inc., 1.10%, due 03/15/26(h) | 197,325 | |
410,000 | Apollo Commercial Real Estate Finance, Inc. REIT, 5.38%, due 10/15/23 | 401,288 | |
210,000 | Array Technologies, Inc., 1.00%, due 12/01/28 | 231,897 | |
770,000 | Beauty Health Co. (The), 1.25%, due 10/01/26 144A | 644,875 | |
235,000 | BioMarin Pharmaceutical, Inc., 1.25%, due 05/15/27(i) | 246,281 | |
410,000 | Block, Inc., 0.13%, due 03/01/25 | 393,805 | |
155,000 | Booking Holdings, Inc., 0.75%, due 05/01/25 | 232,872 | |
200,000 | Carnival Corp., 5.75%, due 12/01/27 144A | 216,900 | |
700,000 | Cloudflare, Inc., 3.61%, due 08/15/26(h) | 594,650 | |
260,000 | DISH Network Corp., 3.38%, due 08/15/26 | 135,200 | |
950,000 | DISH Network Corp., 15.88%, due 12/15/25(h) | 506,350 | |
990,000 | DraftKings Holdings, Inc., 5.03%, due 03/15/28(h) | 694,980 | |
76,000 | Gannett Co., Inc., 6.00%, due 12/01/27 | 56,186 | |
170,000 | HubSpot, Inc., 0.38%, due 06/01/25 | 270,045 | |
240,000 | Lantheus Holdings, Inc., 2.63%, due 12/15/27 144A | 312,133 | |
470,000 | Liberty Media Corp.-Liberty Formula One, 2.25%, due 08/15/27 144A | 506,799 | |
245,000 | Live Nation Entertainment, Inc., 2.00%, due 02/15/25 | 239,610 | |
85,000 | MercadoLibre, Inc., 2.00%, due 08/15/28 | 256,785 | |
215,000 | MongoDB, Inc., 0.25%, due 01/15/26 | 278,586 | |
75,000 | Pioneer Natural Resources Co., 0.25%, due 05/15/25 | 160,500 | |
160,000 | Royal Caribbean Cruises, Ltd., 6.00%, due 08/15/25 144A | 244,720 | |
110,000 | Sarepta Therapeutics, Inc., 1.50%, due 11/15/24 | 212,785 | |
185,000 | Southwest Airlines Co., 1.25%, due 05/01/25(i) | 210,854 | |
280,000 | Splunk, Inc., 1.13%, due 06/15/27 | 240,660 | |
2,820,000 | Stem, Inc., 0.50%, due 12/01/28 144A | 1,607,257 | |
245,000 | Uber Technologies, Inc., 3.76%, due 12/15/25(h)(i) | 216,771 | |
380,000 | Ziff Davis, Inc., 1.75%, due 11/01/26 144A | 373,350 | |
220,000 | Zscaler, Inc., 0.13%, due 07/01/25 | 233,090 | |
9,916,554 | |||
Corporate Debt — 32.2% | |||
950,000 | Abercrombie & Fitch Management Co., 8.75%, due 07/15/25(i) 144A | 958,197 | |
290,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 280,195 | |
315,000 | Abu Dhabi Crude Oil Pipeline, LLC, 4.60%, due 11/02/47 144A | 294,642 | |
427,350 | Accelerate360 Holdings LLC, 8.00%, due 03/01/28 144A | 457,207 | |
290,000 | Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, due 05/01/28 144A | 228,031 | |
370,000 | AdaptHealth LLC, 4.63%, due 08/01/29 144A | 308,446 | |
270,000 | AdaptHealth LLC, 6.13%, due 08/01/28 144A | 248,144 | |
245,000 | EUR | Adevinta ASA, 3.00%, due 11/15/27 144A | 240,600 |
155,431 | EUR | Adient Global Holdings, Ltd., 3.50%, due 08/15/24(j) | 168,553 |
355,000 | Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A | 337,211 | |
880,000 | Advanced Drainage Systems, Inc., 6.38%, due 06/15/30(i) 144A | 863,287 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
580,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32 | 480,931 | |
1,900,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 1,915,288 | |
250,000 | AES Corp. (The), 2.45%, due 01/15/31 | 203,771 | |
685,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 589,758 | |
1,090,000 | Air Canada, 3.88%, due 08/15/26 144A | 990,877 | |
1,015,000 | Akbank TAS, 6.80%, due 02/06/26(i) 144A | 984,448 | |
570,000 | Akumin Escrow, Inc., 7.50%, due 08/01/28 144A | 399,550 | |
470,000 | Akumin, Inc., 7.00%, due 11/01/25 144A | 370,720 | |
4,110,000 | Alibaba Group Holding, Ltd., 3.15%, due 02/09/51 | 2,693,773 | |
410,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, due 02/15/28 144A | 224,975 | |
910,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 875,420 | |
240,000 | Allison Transmission, Inc., 4.75%, due 10/01/27 144A | 226,982 | |
2,120,000 | Altice France Holding SA, 10.50%, due 05/15/27 144A | 1,623,708 | |
470,000 | AMC Entertainment Holdings, Inc., 7.50%, due 02/15/29 144A | 325,181 | |
6,650,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 345,114 |
686,565 | American Airlines Pass Through Trust, 4.95%, due 08/15/26 | 661,829 | |
670,000 | American Airlines, Inc., 7.25%, due 02/15/28 144A | 652,222 | |
640,000 | American Airlines, Inc., 11.75%, due 07/15/25 144A | 700,832 | |
580,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, due 04/20/26 144A | 571,498 | |
900,000 | American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.75%, due 04/20/29 144A | 864,271 | |
453,220 | American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26 144A | 514,971 | |
1,890,000 | American Tower Corp. REIT, 2.70%, due 04/15/31 | 1,586,340 | |
1,055,000 | Ameriprise Financial, Inc., 4.50%, due 05/13/32 | 1,011,118 | |
445,000 | Anglo American Capital Plc, 2.88%, due 03/17/31(i) 144A | 372,745 | |
365,000 | Anglo American Capital Plc, 3.88%, due 03/16/29 144A | 336,122 | |
295,000 | Anglo American Capital Plc, 3.95%, due 09/10/50 144A | 226,995 | |
685,000 | AngloGold Ashanti Holdings Plc, 3.75%, due 10/01/30 | 599,755 | |
2,255,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, due 06/01/30 | 2,127,473 | |
380,000 | Antares Holdings, LP, 3.95%, due 07/15/26 144A | 330,085 | |
1,055,000 | Antero Resources Corp., 7.63%, due 02/01/29(i) 144A | 1,079,771 | |
1,065,000 | Aon Corp./Aon Global Holdings Plc, 5.00%, due 09/12/32 | 1,070,600 | |
650,000 | Apollo Commercial Real Estate Finance, Inc. REIT, 4.63%, due 06/15/29 144A | 457,906 | |
164,820 | EUR | ARD Finance SA, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(j) | 134,434 |
750,000 | ARD Finance SA, 6.50% (6.50% Cash or 7.25% PIK), due 06/30/27 144A | 574,650 | |
1,540,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc, 4.00%, due 09/01/29 144A | 1,206,521 | |
210,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc, 6.00%, due 06/15/27 144A | 208,404 | |
650,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A | 640,864 | |
809,875 | Ardonagh Midco 2 Plc, 11.50% (11.50% Cash or 12.75% PIK), due 01/15/27 144A | 741,036 | |
557,000 | AT&T, Inc., 3.50%, due 09/15/53 | 405,105 | |
1,110,000 | AT&T, Inc., 3.55%, due 09/15/55 | 798,173 | |
450,000 | AT&T, Inc., 3.65%, due 09/15/59 | 322,138 | |
275,000 | AT&T, Inc., 3.80%, due 12/01/57 | 204,629 | |
1,350,000 | AthenaHealth Group, Inc., 6.50%, due 02/15/30(i) 144A | 1,095,875 | |
390,000 | Australia & New Zealand Banking Group, Ltd., 2.95% (5 yr. CMT + 1.29%), due 07/22/30(c) 144A | 360,640 | |
60,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 56,446 | |
640,000 | Aviation Capital Group LLC, 5.50%, due 12/15/24 144A | 632,332 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
735,000 | Avient Corp., 7.13%, due 08/01/30 144A | 758,704 | |
780,000 | Avnet, Inc., 5.50%, due 06/01/32 | 761,730 | |
650,000 | Avolon Holdings Funding, Ltd., 4.25%, due 04/15/26 144A | 611,864 | |
50,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 49,554 | |
400,000 | B3 SA - Brasil Bolsa Balcao, 4.13%, due 09/20/31 144A | 331,306 | |
2,265,000 | Bain Capital Specialty Finance, Inc., 2.55%, due 10/13/26 | 1,914,626 | |
330,000 | Ball Corp., 3.13%, due 09/15/31 | 273,393 | |
200,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, 5.88% (5 yr. EUR swap annual + 5.66%)(c)(j)(k) | 208,169 |
400,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, 6.00% (5 yr. EUR swap annual + 6.46%)(c)(j)(k) | 404,748 |
1,090,000 | Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(c)(i)(k) 144A | 943,304 | |
800,000 | Banco Santander SA, 4.18% (1 yr. CMT + 2.00%), due 03/24/28(c) | 751,763 | |
1,200,000 | Banco Santander SA, 7.50% (5 yr. USD ICE swap + 4.99%)(c)(j)(k) | 1,147,663 | |
220,000 | Bank of America Corp., 2.48% (5 yr. CMT + 1.20%), due 09/21/36(c) | 167,230 | |
1,645,000 | Bank of America Corp., 6.25% (3 mo. USD LIBOR + 3.71%)(c)(k) | 1,610,044 | |
560,000 | Barclays Plc, 3.33% (1 yr. CMT + 1.30%), due 11/24/42(c) | 403,129 | |
505,000 | Barclays Plc, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(c) | 495,043 | |
1,515,000 | Barclays Plc, 6.13% (5 yr. CMT + 5.87%)(c)(k) | 1,288,154 | |
535,000 | GBP | Barclays Plc, 6.38% (5 yr. UK Government Bond + 6.02%)(c)(j)(k) | 583,774 |
350,000 | Barclays Plc, 8.00% (5 yr. CMT + 5.67%)(c)(k) | 315,875 | |
700,000 | Bath & Body Works, Inc., 5.25%, due 02/01/28 | 669,522 | |
290,000 | Bath & Body Works, Inc., 6.63%, due 10/01/30 144A | 282,976 | |
30,000 | Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A | 22,287 | |
80,000 | Bausch Health Cos., Inc., 5.00%, due 01/30/28 144A | 30,502 | |
420,000 | Bausch Health Cos., Inc., 5.50%, due 11/01/25(i) 144A | 345,789 | |
340,000 | Bausch Health Cos., Inc., 6.13%, due 02/01/27(i) 144A | 220,395 | |
150,000 | Bausch Health Cos., Inc., 7.00%, due 01/15/28 144A | 60,555 | |
2,062,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 1,936,414 | |
2,010,000 | BGC Partners, Inc., 4.38%, due 12/15/25 | 1,913,609 | |
840,000 | BlackRock TCP Capital Corp., 2.85%, due 02/09/26 | 747,368 | |
2,105,000 | Blackstone Private Credit Fund, 2.63%, due 12/15/26 | 1,770,640 | |
2,680,000 | Blackstone Secured Lending Fund, 2.85%, due 09/30/28 | 2,201,942 | |
740,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A | 733,266 | |
1,365,000 | BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(c)(i)(k) 144A | 1,013,512 | |
1,930,000 | BNP Paribas SA, 4.63% (5 yr. CMT + 3.20%)(c)(k) 144A | 1,503,470 | |
1,820,000 | BNP Paribas SA, 7.75% (5 yr. CMT + 4.90%)(c)(k) 144A | 1,746,654 | |
2,075,000 | Boeing Co. (The), 5.71%, due 05/01/40 | 2,101,225 | |
1,200,000 | Boyne USA, Inc., 4.75%, due 05/15/29 144A | 1,072,721 | |
440,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 402,175 | |
2,325,000 | Brighthouse Financial, Inc., 3.85%, due 12/22/51 | 1,509,218 | |
805,000 | British Telecommunications Plc, 9.63%, due 12/15/30(l) | 1,004,106 | |
1,075,000 | Broadcom, Inc., 4.15%, due 04/15/32 144A | 980,053 | |
1,620,000 | Brunswick Corp., 2.40%, due 08/18/31 | 1,230,538 | |
420,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 366,361 | |
300,000 | Burford Capital Global Finance LLC, 6.88%, due 04/15/30 144A | 258,537 | |
1,460,000 | Caesars Entertainment, Inc., 4.63%, due 10/15/29(i) 144A | 1,278,281 | |
1,320,000 | Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A | 1,344,308 | |
250,000 | Caesars Entertainment, Inc., 8.13%, due 07/01/27 144A | 255,225 | |
1,285,000 | CaixaBank SA, 6.21% (SOFR + 2.70%), due 01/18/29(c) 144A | 1,294,039 | |
125,000 | Callon Petroleum Co., 6.38%, due 07/01/26 | 118,903 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
815,000 | Callon Petroleum Co., 7.50%, due 06/15/30(i) 144A | 766,886 | |
435,000 | Callon Petroleum Co., 8.00%, due 08/01/28(i) 144A | 431,346 | |
900,000 | Carnival Corp., 4.00%, due 08/01/28 144A | 775,687 | |
650,000 | Carnival Corp., 10.50%, due 06/01/30(i) 144A | 624,585 | |
540,000 | Carnival Plc, 7.88%, due 06/01/27 | 530,990 | |
250,000 | Carriage Purchaser, Inc., 7.88%, due 10/15/29 144A | 185,368 | |
545,000 | EUR | Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28(j) | 534,277 |
865,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 02/01/31 144A | 708,288 | |
1,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 05/01/32 | 1,228,365 | |
245,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A | 212,538 | |
1,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 02/01/32 144A | 1,261,661 | |
770,000 | Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A | 654,839 | |
910,000 | Cemex SAB de CV, 5.13% (5 yr. CMT + 4.53%)(c)(k) 144A | 815,542 | |
1,255,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 1,158,730 | |
305,000 | CenterPoint Energy Houston Electric LLC, 5.30%, due 04/01/53 | 316,172 | |
1,640,000 | Central Parent, Inc./CDK Global, Inc., 7.25%, due 06/15/29 144A | 1,613,397 | |
1,145,000 | Chart Industries, Inc., 7.50%, due 01/01/30 144A | 1,184,468 | |
530,000 | Chart Industries, Inc., 9.50%, due 01/01/31 144A | 559,656 | |
1,045,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.70%, due 04/01/51 | 670,069 | |
1,495,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 06/01/52 | 990,039 | |
300,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, due 07/01/49 | 237,776 | |
330,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 288,009 | |
185,000 | Chevron Corp., 3.08%, due 05/11/50 | 140,307 | |
2,070,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co., LP, 5.13%, due 04/01/25 144A | 2,083,951 | |
1,090,000 | Chord Energy Corp., 6.38%, due 06/01/26 144A | 1,080,937 | |
720,000 | CHS/Community Health Systems, Inc., 4.75%, due 02/15/31 144A | 532,296 | |
620,000 | CHS/Community Health Systems, Inc., 6.13%, due 04/01/30 144A | 374,189 | |
500,000 | CHS/Community Health Systems, Inc., 8.00%, due 03/15/26 144A | 483,750 | |
530,000 | EUR | Cirsa Finance International SARL, 4.50%, due 03/15/27 144A | 503,835 |
1,515,000 | Citigroup, Inc., 2.98% (SOFR + 1.42%), due 11/05/30(c) | 1,327,641 | |
170,000 | Citigroup, Inc., 6.30% (3 mo. TSFR + 3.68%)(c)(i)(k) | 162,138 | |
1,075,000 | Citigroup, Inc., 7.38% (5 yr. CMT + 3.21%)(c)(k) | 1,060,659 | |
1,585,000 | Citigroup, Inc., 9.09% (3 mo. USD LIBOR + 4.23%)(c)(i)(k) | 1,579,056 | |
1,600,000 | Clarios Global, LP/Clarios US Finance Co., 8.50%, due 05/15/27(i) 144A | 1,609,000 | |
495,000 | Clarivate Science Holdings Corp., 4.88%, due 07/01/29(i) 144A | 448,146 | |
1,150,000 | Clearway Energy Operating LLC, 3.75%, due 02/15/31 144A | 992,910 | |
375,000 | Clearway Energy Operating LLC, 3.75%, due 01/15/32 144A | 312,357 | |
235,000 | Clearway Energy Operating LLC, 4.75%, due 03/15/28 144A | 224,686 | |
980,000 | Clydesdale Acquisition Holdings, Inc., 8.75%, due 04/15/30 144A | 891,731 | |
960,000 | Coca-Cola Icecek AS, 4.50%, due 01/20/29 144A | 861,974 | |
1,125,000 | Coherent Corp., 5.00%, due 12/15/29(i) 144A | 1,022,344 | |
530,000 | Coinbase Global, Inc., 3.63%, due 10/01/31 144A | 297,375 | |
635,000 | Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A | 484,454 | |
380,000 | Comcast Corp., 4.25%, due 10/15/30 | 372,540 | |
620,000 | Comerica, Inc., 3.70%, due 07/31/23 | 594,554 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
530,000 | Commercial Metals Co., 3.88%, due 02/15/31 | 449,954 | |
1,600,000 | EUR | Commerzbank AG, 6.13% (5 yr. EUR swap annual + 6.36%)(c)(j)(k) | 1,497,284 |
226,000 | CommScope Technologies LLC, 6.00%, due 06/15/25 144A | 213,058 | |
620,000 | CommScope, Inc., 4.75%, due 09/01/29 144A | 517,390 | |
360,000 | CommScope, Inc., 6.00%, due 03/01/26 144A | 347,834 | |
980,000 | CommScope, Inc., 7.13%, due 07/01/28(i) 144A | 723,995 | |
660,000 | Continental Resources, Inc., 5.75%, due 01/15/31 144A | 634,669 | |
400,000 | EUR | Cooperatieve Rabobank UA, 4.63% (5 yr. EUR swap annual + 4.10%)(c)(j)(k) | 395,313 |
1,030,000 | CoreCivic, Inc., 8.25%, due 04/15/26(i) | 1,039,177 | |
260,000 | Corp. Nacional del Cobre de Chile, 5.13%, due 02/02/33 144A | 262,843 | |
450,000 | Country Garden Holdings Co., Ltd., 8.00%, due 01/27/24(j) | 391,815 | |
300,000 | EUR | Credit Agricole SA, 4.00% (5 yr. EUR swap annual + 4.37%)(c)(j)(k) | 272,677 |
2,238,000 | Credit Agricole SA, 4.75% (5 yr. CMT + 3.24%)(c)(k) 144A | 1,686,109 | |
1,160,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(c)(k) 144A | 1,141,427 | |
1,270,000 | Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(c)(k) 144A | 1,231,143 | |
250,000 | Credit Suisse AG, 0.52%, due 08/09/23 | 243,125 | |
770,000 | Credit Suisse AG, 1.00%, due 05/05/23 | 763,263 | |
1,230,000 | Credit Suisse AG, 4.75%, due 08/09/24 | 1,193,469 | |
2,425,000 | Credit Suisse AG, 7.95%, due 01/09/25 | 2,468,068 | |
450,000 | Credit Suisse AG, (MTN), 3.63%, due 09/09/24 | 428,747 | |
1,955,000 | Credit Suisse Group AG, 6.54% (SOFR + 3.92%), due 08/12/33(c) 144A | 2,013,650 | |
1,995,000 | Crescent Energy Finance LLC, 7.25%, due 05/01/26 144A | 1,877,135 | |
1,170,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29(i) | 1,022,143 | |
240,000 | Crown Castle, Inc. REIT, 3.30%, due 07/01/30 | 216,561 | |
200,000 | CSC Holdings LLC, 5.00%, due 11/15/31 144A | 101,518 | |
300,000 | CSC Holdings LLC, 5.50%, due 04/15/27 144A | 252,939 | |
450,000 | CSC Holdings LLC, 5.75%, due 01/15/30 144A | 237,375 | |
1,560,000 | CSC Holdings LLC, 6.50%, due 02/01/29 144A | 1,297,011 | |
835,000 | CVS Health Corp., 5.25%, due 02/21/33 | 852,536 | |
1,150,000 | Danske Bank AS, 6.47% (1 yr. CMT + 2.10%), due 01/09/26(c) 144A | 1,151,847 | |
1,540,000 | Darling Ingredients, Inc., 6.00%, due 06/15/30 144A | 1,536,150 | |
520,000 | DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A | 564,845 | |
334,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 | 407,396 | |
230,000 | Delta Air Lines, Inc., 7.00%, due 05/01/25 144A | 235,962 | |
660,000 | Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(c) | 492,773 | |
830,000 | Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(c) | 601,240 | |
1,200,000 | Deutsche Bank AG, 4.79% (5 yr. USD swap + 4.36%)(c)(j)(k) | 860,850 | |
830,000 | Deutsche Bank AG, 6.72% (SOFR + 3.18%), due 01/18/29(c) | 824,868 | |
975,000 | Deutsche Bank AG, 7.08% (SOFR + 3.65%), due 02/10/34(c) | 905,060 | |
200,000 | Deutsche Bank AG, 7.50% (5 yr. USD swap + 5.00%)(c)(k) | 163,214 | |
1,360,000 | DirecTV Financing LLC/ DirecTV Financing Co-Obligor, Inc., 5.88%, due 08/15/27 144A | 1,233,058 | |
580,000 | DISH DBS Corp., 5.75%, due 12/01/28 144A | 433,913 | |
2,020,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 1,803,456 | |
80,000 | Diversified Healthcare Trust REIT, 4.75%, due 05/01/24 | 72,139 | |
185,000 | Diversified Healthcare Trust REIT, 9.75%, due 06/15/25 | 179,183 | |
540,000 | DP World, Ltd., 5.63%, due 09/25/48 144A | 523,889 | |
255,000 | Dun & Bradstreet Corp. (The), 5.00%, due 12/15/29 144A | 221,081 | |
1,460,000 | Ecopetrol SA, 4.63%, due 11/02/31 | 1,124,621 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
2,110,000 | Eli Lilly & Co., 5.00%, due 02/27/26 | 2,129,606 | |
410,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 407,331 | |
1,690,000 | Endeavour Mining Plc, 5.00%, due 10/14/26 144A | 1,421,797 | |
755,000 | Enel Finance America LLC, 2.88%, due 07/12/41 144A | 497,667 | |
980,000 | Energean Israel Finance, Ltd., 5.88%, due 03/30/31(j) | 861,175 | |
1,065,000 | EUR | Energizer Gamma Acquisition BV, 3.50%, due 06/30/29 144A | 933,607 |
180,000 | Energy Transfer, LP, 5.35%, due 05/15/45 | 159,452 | |
210,000 | Energy Transfer, LP, 6.25%, due 04/15/49 | 208,448 | |
270,000 | Energy Transfer, LP, 7.13% (5 yr. CMT + 5.31%)(c)(k) | 227,745 | |
230,000 | Energy Transfer, LP, 8.89% (3 mo. USD LIBOR + 4.03%)(c)(i)(k) | 204,848 | |
1,020,000 | Entegris Escrow Corp., 5.95%, due 06/15/30 144A | 989,645 | |
1,235,000 | Enterprise Products Operating LLC, 5.05%, due 01/10/26 | 1,252,803 | |
500,000 | Enterprise Products Operating LLC, 5.38% (3 mo. USD LIBOR + 2.57%), due 02/15/78(c) | 402,595 | |
265,000 | EPR Properties REIT, 3.75%, due 08/15/29 | 203,396 | |
150,000 | EQM Midstream Partners, LP, 6.00%, due 07/01/25 144A | 148,473 | |
140,000 | EQM Midstream Partners, LP, 6.50%, due 07/01/27 144A | 135,846 | |
800,000 | EQM Midstream Partners, LP, 7.50%, due 06/01/30 144A | 775,948 | |
630,000 | EQT Corp., 7.00%, due 02/01/30(l) | 660,016 | |
1,250,000 | Equifax, Inc., 5.10%, due 12/15/27 | 1,258,654 | |
76,480,000 | MXN | European Investment Bank, (MTN), 4.25%, due 06/19/24 | 3,939,254 |
13,210,000 | MXN | European Investment Bank, (MTN), 7.75%, due 01/30/25 | 698,607 |
1,081,000 | FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, due 08/15/26 144A | 1,010,545 | |
300,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26(i) 144A | 291,295 | |
2,350,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 2,267,636 | |
420,000 | FirstCash, Inc., 5.63%, due 01/01/30 144A | 388,025 | |
730,000 | Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A | 657,551 | |
2,980,000 | Foot Locker, Inc., 4.00%, due 10/01/29 144A | 2,489,462 | |
1,300,000 | Ford Motor Co., 3.25%, due 02/12/32 | 1,023,577 | |
2,300,000 | Ford Motor Co., 6.10%, due 08/19/32(i) | 2,232,060 | |
1,020,000 | Ford Motor Credit Co. LLC, 3.63%, due 06/17/31 | 841,842 | |
660,000 | Ford Motor Credit Co. LLC, 6.95%, due 03/06/26 | 670,672 | |
1,855,000 | Freeport Indonesia PT, 5.32%, due 04/14/32 144A | 1,736,449 | |
585,000 | Freeport Indonesia PT, 6.20%, due 04/14/52 144A | 536,732 | |
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 | 430,306 | |
330,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 309,050 | |
1,030,000 | Full House Resorts, Inc., 8.25%, due 02/15/28 144A | 938,227 | |
1,348,787 | Galaxy Pipeline Assets Bidco, Ltd., 2.94%, due 09/30/40 144A | 1,095,871 | |
250,000 | Gannett Holdings LLC, 6.00%, due 11/01/26 144A | 210,318 | |
880,000 | Gen Digital, Inc., 7.13%, due 09/30/30(i) 144A | 876,392 | |
360,000 | General Motors Co., 6.60%, due 04/01/36 | 371,054 | |
1,440,000 | General Motors Financial Co., Inc., 5.00%, due 04/09/27 | 1,423,971 | |
630,000 | Genesis Energy, LP/Genesis Energy Finance Corp., 8.88%, due 04/15/30 | 638,442 | |
150,000 | GEO Group, Inc. (The), 9.50%, due 12/31/28 144A | 146,304 | |
719,000 | GEO Group, Inc. (The), 10.50%, due 06/30/28 | 727,332 | |
910,000 | Georgia Power Co., 5.13%, due 05/15/52 | 891,659 | |
290,000 | GFL Environmental, Inc., 4.75%, due 06/15/29 144A | 271,150 | |
390,000 | GFL Environmental, Inc., 5.13%, due 12/15/26 144A | 381,713 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
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 | 1,316,420 | |
280,000 | Global Atlantic Fin Co., 4.40%, due 10/15/29 144A | 248,370 | |
1,125,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A | 1,138,490 | |
965,000 | Gray Escrow II, Inc., 5.38%, due 11/15/31 144A | 641,855 | |
1,850,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 1,623,375 | |
285,000 | Haemonetics Corp., 6.51%, due 03/01/26(h) | 243,243 | |
1,870,000 | Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd., 5.75%, due 01/20/26 144A | 1,777,659 | |
80,000 | Healthpeak OP, LLC REIT, 3.50%, due 07/15/29 | 73,399 | |
545,000 | GBP | Heathrow Funding, Ltd., (MTN), 6.75%, due 12/03/28(j) | 700,485 |
780,000 | Hertz Corp. (The), 5.00%, due 12/01/29 144A | 646,885 | |
125,000 | Hess Midstream Operations, LP, 5.13%, due 06/15/28 144A | 118,795 | |
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 | 1,166,739 | |
560,000 | Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 518,638 | |
570,000 | Howard Midstream Energy Partners LLC, 6.75%, due 01/15/27 144A | 538,069 | |
1,535,000 | HSBC Holdings Plc, 4.60% (5 yr. CMT + 3.65%)(c)(k) | 1,150,216 | |
665,000 | HSBC Holdings Plc, 6.00% (5 yr. USD ICE swap + 3.75%)(c)(k) | 600,748 | |
2,140,000 | HSBC Holdings Plc, 8.00% (5 yr. CMT + 3.86%)(c)(i)(k) | 2,139,786 | |
320,000 | HSBC Holdings Plc, 8.11% (SOFR + 4.25%), due 11/03/33(c) | 358,707 | |
2,130,000 | HSBC USA, Inc., 5.63%, due 03/17/25 | 2,135,874 | |
190,000 | EUR | HSE Finance SARL, 5.63%, due 10/15/26 144A | 103,935 |
870,000 | HTA Group, Ltd., 7.00%, due 12/18/25 144A | 827,674 | |
260,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 240,402 | |
610,000 | Hudbay Minerals, Inc., 6.13%, due 04/01/29 144A | 577,045 | |
280,000 | iHeartCommunications, Inc., 4.75%, due 01/15/28 144A | 221,458 | |
320,000 | iHeartCommunications, Inc., 5.25%, due 08/15/27 144A | 261,907 | |
145,000 | iHeartCommunications, Inc., 6.38%, due 05/01/26 | 128,098 | |
740,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27(j) | 657,949 | |
705,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 626,830 | |
620,000 | IIP Operating Partnership, LP REIT, 5.50%, due 05/25/26 | 533,664 | |
1,590,000 | Iliad Holding SASU, 6.50%, due 10/15/26 144A | 1,516,732 | |
810,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A | 718,807 | |
265,000 | EUR | IMA Industria Macchine Automatiche SpA, 3.75%, due 01/15/28 144A | 254,233 |
260,000 | ING Groep NV, 5.75% (5 yr. CMT + 4.34%)(c)(k) | 225,159 | |
835,000 | ING Groep NV, 6.50% (5 yr. USD swap + 4.45%)(c)(k) | 753,194 | |
2,190,000 | Intel Corp., 5.20%, due 02/10/33 | 2,231,811 | |
1,855,000 | International Business Machines Corp., 4.40%, due 07/27/32 | 1,807,691 | |
38,940,000 | MXN | International Finance Corp., (MTN), 7.75%, due 01/18/30 | 2,037,363 |
200,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 174,188 | |
1,450,000 | Intesa Sanpaolo SpA, 4.95% (1 yr. CMT + 2.75%), due 06/01/42(c) 144A | 963,027 | |
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 331,950 | |
570,000 | Itau Unibanco Holding SA, 3.88% (5 yr. CMT + 3.45%), due 04/15/31(c) 144A | 507,040 | |
1,059,000 | Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(c)(k) 144A | 796,950 | |
1,195,000 | Jackson Financial, Inc., 3.13%, due 11/23/31(i) | 986,187 | |
690,000 | Jane Street Group/JSG Finance, Inc., 4.50%, due 11/15/29 144A | 618,557 | |
225,000 | Jazz Securities DAC, 4.38%, due 01/15/29 144A | 207,203 | |
905,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 144A | 866,537 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,045,000 | John Deere Capital Corp., (MTN), 4.80%, due 01/09/26 | 1,061,518 | |
1,155,000 | JPMorgan Chase & Co., 4.32% (SOFR + 1.56%), due 04/26/28(c) | 1,128,030 | |
2,520,000 | JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(c)(i) | 2,506,973 | |
1,450,000 | JPMorgan Chase & Co., 5.72% (SOFR + 2.58%), due 09/14/33(c) | 1,486,523 | |
460,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 423,932 | |
590,000 | KazTransGas JSC, 4.38%, due 09/26/27 144A | 530,419 | |
1,470,000 | Kenbourne Invest SA, 4.70%, due 01/22/28 144A | 847,335 | |
1,005,000 | Kosmos Energy, Ltd., 7.13%, due 04/04/26 144A | 863,510 | |
100,000 | Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.25%, due 02/01/27 144A | 79,096 | |
650,000 | Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.75%, due 06/15/29 144A | 470,545 | |
660,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 638,918 | |
20,000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 18,685 | |
1,180,000 | Latam Airlines Group SA, 13.38%, due 10/15/27 144A | 1,227,200 | |
425,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 405,675 | |
640,000 | Legacy LifePoint Health LLC, 6.75%, due 04/15/25 144A | 608,000 | |
650,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due 02/01/26 144A | 582,322 | |
460,000 | Leviathan Bond, Ltd., 6.50%, due 06/30/27(j) | 442,750 | |
320,000 | Liberty Interactive LLC, 8.50%, due 07/15/29 | 80,451 | |
1,590,000 | Liberty Mutual Group, Inc., 4.30%, due 02/01/61 144A | 947,143 | |
815,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 785,847 | |
960,000 | Liquid Telecommunications Financing Plc, 5.50%, due 09/04/26 144A | 655,200 | |
650,000 | Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(c)(k) | 614,972 | |
1,235,000 | EUR | Lorca Telecom Bondco SA, 4.00%, due 09/18/27 144A | 1,236,075 |
700,000 | LPL Holdings, Inc., 4.00%, due 03/15/29 144A | 630,686 | |
2,155,000 | Magna International, Inc., 5.98%, due 03/21/26 | 2,173,936 | |
500,000 | Match Group Holdings II LLC, 5.00%, due 12/15/27(i) 144A | 474,083 | |
596,444 | McClatchy Co. LLC (The), 11.00% (11.00% Cash or 12.50% PIK), due 07/15/27 144A | 676,218 | |
2,550,000 | Mclaren Finance Plc, 7.50%, due 08/01/26(i) 144A | 2,126,062 | |
130,000 | MDC Holdings, Inc., 6.00%, due 01/15/43 | 113,139 | |
1,110,000 | Medline Borrower, LP, 5.25%, due 10/01/29(i) 144A | 964,110 | |
790,000 | Medtronic Global Holdings SCA, 4.25%, due 03/30/28 | 789,033 | |
1,620,000 | MEG Energy Corp., 5.88%, due 02/01/29 144A | 1,562,344 | |
210,000 | MEG Energy Corp., 7.13%, due 02/01/27 144A | 214,411 | |
1,320,000 | MEGlobal Canada ULC, 5.88%, due 05/18/30 144A | 1,350,587 | |
200,000 | Melco Resorts Finance, Ltd., 4.88%, due 06/06/25(i) 144A | 188,300 | |
885,000 | Melco Resorts Finance, Ltd., 5.25%, due 04/26/26 144A | 798,495 | |
320,000 | Melco Resorts Finance, Ltd., 5.38%, due 12/04/29 144A | 262,240 | |
600,000 | MercadoLibre, Inc., 3.13%, due 01/14/31 | 473,250 | |
3,050,000 | Merck & Co., Inc., 2.90%, due 12/10/61 | 2,091,813 | |
145,000 | MetLife, Inc., 4.60%, due 05/13/46 | 129,966 | |
905,000 | MGM China Holdings, Ltd., 5.88%, due 05/15/26(j) | 852,863 | |
820,000 | Michaels Cos, Inc. (The), 5.25%, due 05/01/28 144A | 684,265 | |
510,000 | Michaels Cos, Inc. (The), 7.88%, due 05/01/29 144A | 357,482 | |
560,000 | Micron Technology, Inc., 3.37%, due 11/01/41 | 397,563 | |
1,410,000 | Micron Technology, Inc., 6.75%, due 11/01/29 | 1,498,581 | |
710,000 | Midcap Financial Issuer Trust, 6.50%, due 05/01/28 144A | 604,629 | |
747,000 | Millicom International Cellular SA, 4.50%, due 04/27/31(i) 144A | 600,644 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
324,000 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 299,603 | |
170,000 | Minerals Technologies, Inc., 5.00%, due 07/01/28 144A | 155,801 | |
890,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 02/01/30 144A | 753,327 | |
1,350,000 | Mohegan Tribal Gaming Authority, 13.25%, due 12/15/27 144A | 1,453,390 | |
1,105,000 | Moody's Corp., 2.75%, due 08/19/41 | 797,738 | |
1,330,000 | Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(c) | 1,308,048 | |
500,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31 | 337,050 | |
500,000 | MSCI, Inc., 3.88%, due 02/15/31 144A | 445,500 | |
1,120,000 | GBP | NatWest Group Plc, 4.50% (5 yr. UK Government Bond + 3.99%)(c)(k) | 1,027,282 |
1,090,000 | NatWest Group Plc, 6.02% (1 yr. CMT + 2.10%), due 03/02/34(c) | 1,130,606 | |
170,000 | Navient Corp., (MTN), 5.63%, due 08/01/33 | 126,331 | |
235,000 | NBM US Holdings, Inc., 7.00%, due 05/14/26 144A | 233,501 | |
640,000 | NCL Corp., Ltd., 3.63%, due 12/15/24 144A | 595,914 | |
1,370,000 | NCL Corp., Ltd., 5.88%, due 03/15/26 144A | 1,167,445 | |
500,000 | NCL Corp., Ltd., 5.88%, due 02/15/27 144A | 466,823 | |
170,000 | NCR Corp., 5.00%, due 10/01/28 144A | 149,600 | |
2,110,000 | NCR Corp., 5.13%, due 04/15/29 144A | 1,827,785 | |
115,000 | NCR Corp., 5.25%, due 10/01/30 144A | 93,987 | |
1,305,000 | Neptune Bidco US, Inc., 9.29%, due 04/15/29 144A | 1,211,170 | |
990,000 | Neptune Energy Bondco Plc, 6.63%, due 05/15/25 144A | 960,662 | |
1,065,000 | Netflix, Inc., 5.88%, due 11/15/28 | 1,121,818 | |
1,850,000 | Nexstar Media, Inc., 4.75%, due 11/01/28 144A | 1,647,499 | |
1,235,000 | Nexstar Media, Inc., 5.63%, due 07/15/27 144A | 1,142,542 | |
545,000 | NextEra Energy Capital Holdings, Inc., 6.05%, due 03/01/25 | 554,712 | |
1,020,000 | NMI Holdings, Inc., 7.38%, due 06/01/25 144A | 1,022,252 | |
700,000 | Northern Oil and Gas, Inc., 8.13%, due 03/01/28 144A | 694,995 | |
2,215,000 | Northern Star Resources Ltd., 6.13%, due 04/11/33(b) 144A | 2,199,604 | |
400,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(f)(m) | 24 | |
160,000 | EUR | Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A | 151,992 |
395,000 | NTT Finance Corp., 4.37%, due 07/27/27 144A | 391,700 | |
1,065,000 | Nutrien, Ltd., 4.90%, due 03/27/28 | 1,065,489 | |
255,000 | Nutrien, Ltd., 5.80%, due 03/27/53 | 262,953 | |
1,065,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 01/15/33 | 1,044,810 | |
1,910,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49 | 1,494,126 | |
1,430,000 | Occidental Petroleum Corp., 6.45%, due 09/15/36 | 1,505,075 | |
180,000 | Occidental Petroleum Corp., 7.50%, due 05/01/31 | 198,718 | |
1,150,000 | OCP SA, 5.13%, due 06/23/51 144A | 840,744 | |
965,000 | Olympus Water US Holding Corp., 4.25%, due 10/01/28 144A | 799,488 | |
225,000 | Olympus Water US Holding Corp., 6.25%, due 10/01/29(i) 144A | 166,751 | |
1,060,000 | Option Care Health, Inc., 4.38%, due 10/31/29 144A | 937,268 | |
565,000 | Oracle Corp., 3.95%, due 03/25/51 | 425,989 | |
2,155,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A | 1,914,885 | |
950,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, due 03/15/30 144A | 793,424 | |
390,000 | Oversea-Chinese Banking Corp., Ltd., (MTN), 4.25%, due 06/19/24(j) | 386,078 | |
650,000 | Pactiv LLC, 8.38%, due 04/15/27 | 642,629 | |
1,315,000 | Papa John's International, Inc., 3.88%, due 09/15/29(i) 144A | 1,142,656 | |
1,730,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27(i) | 1,341,499 | |
260,000 | Pattern Energy Operations, LP/Pattern Energy Operations, Inc., 4.50%, due 08/15/28 144A | 238,269 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
525,000 | Paysafe Finance Plc/Paysafe Holdings US Corp., 4.00%, due 06/15/29(i) 144A | 408,825 | |
1,260,000 | PerkinElmer, Inc., 2.25%, due 09/15/31 | 1,009,759 | |
3,280,000 | Permian Resources Operating LLC, 5.88%, due 07/01/29 144A | 3,109,440 | |
1,150,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15(i)(n) | 1,010,813 | |
1,215,000 | Petroleos Mexicanos, 6.70%, due 02/16/32 | 968,066 | |
890,000 | Petroleos Mexicanos, 10.00%, due 02/07/33(i) 144A | 853,772 | |
7,056,900 | MXN | Petroleos Mexicanos (GDN), 7.19%, due 09/12/24(j) | 363,057 |
1,500,000 | PetSmart, Inc./PetSmart Finance Corp., 7.75%, due 02/15/29 144A | 1,474,020 | |
935,000 | Phillips 66, 3.30%, due 03/15/52 | 662,676 | |
260,000 | Pinduoduo, Inc., 2.47%, due 12/01/25(h) | 246,480 | |
1,090,000 | Plains All American Pipeline, LP, 8.97% (3 mo. USD LIBOR + 4.11%)(c)(k) | 975,800 | |
280,000 | Playtika Holding Corp., 4.25%, due 03/15/29 144A | 233,443 | |
105,000 | EUR | PLT VII Finance SARL, 4.63%, due 01/05/26 144A | 107,404 |
1,070,000 | PM General Purchaser LLC, 9.50%, due 10/01/28 144A | 981,267 | |
545,000 | POSCO, 5.75%, due 01/17/28 144A | 562,818 | |
225,000 | Post Holdings, Inc., 2.50%, due 08/15/27 144A | 236,295 | |
600,000 | Precision Drilling Corp., 6.88%, due 01/15/29 144A | 545,040 | |
15,000 | Precision Drilling Corp., 7.13%, due 01/15/26 144A | 14,663 | |
110,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 102,953 | |
280,000 | Prosperous Ray, Ltd., 4.63%, due 11/12/23(j) | 279,457 | |
1,150,000 | Prosus NV, 3.06%, due 07/13/31 144A | 906,923 | |
1,815,000 | Prosus NV, 4.03%, due 08/03/50 144A | 1,195,153 | |
2,385,000 | Prosus NV, 4.19%, due 01/19/32 144A | 2,029,228 | |
45,000 | Prudential Financial, Inc., 5.63% (3 mo. USD LIBOR + 3.92%), due 06/15/43(c) | 44,364 | |
460,000 | QVC, Inc., 4.38%, due 09/01/28 | 186,937 | |
400,000 | QVC, Inc., 5.45%, due 08/15/34 | 149,876 | |
520,000 | Rackspace Technology Global, Inc., 3.50%, due 02/15/28 144A | 271,066 | |
575,000 | Radian Group, Inc., 6.63%, due 03/15/25 | 573,114 | |
710,000 | Radiology Partners, Inc., 9.25%, due 02/01/28 144A | 393,265 | |
1,210,000 | Range Resources Corp., 4.75%, due 02/15/30(i) 144A | 1,104,536 | |
2,140,000 | Range Resources Corp., 8.25%, due 01/15/29 | 2,257,593 | |
395,000 | Republic Services, Inc., 5.00%, due 04/01/34 | 402,692 | |
610,000 | ROCC Holdings LLC, 9.25%, due 08/15/26 144A | 643,476 | |
1,730,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.63%, due 03/01/29 144A | 1,487,800 | |
190,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.88%, due 03/01/31 144A | 157,726 | |
450,000 | Rockies Express Pipeline LLC, 7.50%, due 07/15/38 144A | 413,825 | |
1,920,000 | EUR | Rolls-Royce Plc, 4.63%, due 02/16/26(j) | 2,069,250 |
260,000 | Royal Caribbean Cruises, Ltd., 9.25%, due 01/15/29 144A | 276,501 | |
200,000 | Royal Caribbean Cruises, Ltd., 11.50%, due 06/01/25 144A | 213,438 | |
1,935,000 | Royal Caribbean Cruises, Ltd., 11.63%, due 08/15/27 144A | 2,080,125 | |
1,230,000 | Sabre GLBL, Inc., 11.25%, due 12/15/27(i) 144A | 1,146,932 | |
590,000 | GBP | Saga Plc, 5.50%, due 07/15/26(j) | 574,486 |
1,380,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 1,359,914 | |
230,000 | Sands China, Ltd., 2.80%, due 03/08/27(l) | 197,509 | |
200,000 | Sands China, Ltd., 3.35%, due 03/08/29(l) | 166,297 | |
200,000 | Sands China, Ltd., 5.63%, due 08/08/25(l) | 195,108 | |
240,000 | Sands China, Ltd., 5.90%, due 08/08/28(l) | 228,029 | |
420,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 351,668 | |
815,000 | Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A | 569,714 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,225,000 | Scientific Games International, Inc., 7.00%, due 05/15/28 144A | 1,213,944 | |
310,000 | EUR | SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, due 11/01/26 144A | 311,905 |
460,000 | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/01/26 144A | 420,733 | |
340,000 | Seagate HDD Cayman, 4.09%, due 06/01/29 144A | 300,695 | |
321,000 | Seagate HDD Cayman, 4.88%, due 06/01/27 | 307,336 | |
280,000 | Sealed Air Corp./Sealed Air Corp. US, 6.13%, due 02/01/28 144A | 283,416 | |
545,000 | Sempra Energy, 3.70%, due 04/01/29 | 506,770 | |
905,000 | SEPLAT Energy Plc, 7.75%, due 04/01/26 144A | 712,145 | |
230,000 | Service Properties Trust REIT, 5.50%, due 12/15/27 | 206,089 | |
1,070,000 | Service Properties Trust REIT, 7.50%, due 09/15/25 | 1,056,858 | |
1,120,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, due 03/01/29 144A | 911,579 | |
1,140,000 | Sinclair Television Group, Inc., 4.13%, due 12/01/30 144A | 920,493 | |
1,170,000 | Smyrna Ready Mix Concrete LLC, 6.00%, due 11/01/28 144A | 1,100,028 | |
1,060,000 | Societe Generale SA, 7.38% (5 yr. USD swap + 4.30%)(c)(k) 144A | 960,368 | |
1,165,000 | Societe Generale SA, 9.38% (5 yr. CMT + 5.39%)(c)(k) 144A | 1,105,294 | |
1,600,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 1,415,120 | |
1,220,000 | Southwestern Energy Co., 8.38%, due 09/15/28 | 1,283,769 | |
556,000 | Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A | 557,904 | |
600,000 | Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A | 604,314 | |
2,135,000 | Standard Chartered Plc, 4.30% (5 yr. CMT + 3.14%)(c)(i)(k) 144A | 1,540,809 | |
1,980,000 | Standard Chartered Plc, 6.17% (1 yr. CMT + 2.05%), due 01/09/27(c) 144A | 1,989,302 | |
1,550,000 | Starwood Property Trust, Inc. REIT, 4.38%, due 01/15/27 144A | 1,282,788 | |
1,030,000 | Stellantis Finance US, Inc., 5.63%, due 01/12/28 144A | 1,054,528 | |
1,090,000 | StoneMor, Inc., 8.50%, due 05/15/29 144A | 839,262 | |
1,359,000 | StoneX Group, Inc., 8.63%, due 06/15/25 144A | 1,367,155 | |
1,655,000 | Strathcona Resources, Ltd., 6.88%, due 08/01/26 144A | 1,317,762 | |
635,000 | Studio City Finance, Ltd., 6.00%, due 07/15/25 144A | 582,600 | |
470,000 | Studio City Finance, Ltd., 6.50%, due 01/15/28 144A | 396,036 | |
240,000 | Suburban Propane Partners, LP/Suburban Energy Finance Corp., 5.00%, due 06/01/31 144A | 209,994 | |
100,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A | 94,647 | |
400,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, due 10/15/26 144A | 384,408 | |
1,083,000 | Sunnova Energy Corp., 5.88%, due 09/01/26(i) 144A | 919,180 | |
940,000 | Suzano Austria GmbH, 3.13%, due 01/15/32(i) | 769,876 | |
1,190,000 | Suzano Austria GmbH, 7.00%, due 03/16/47(i)(j) | 1,230,519 | |
360,000 | Swire Pacific MTN Financing, Ltd., (MTN), 4.50%, due 10/09/23(j) | 359,005 | |
1,185,000 | Synchrony Financial, 4.88%, due 06/13/25 | 1,098,163 | |
330,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 295,352 | |
45,000 | Targa Resources Corp., 5.20%, due 07/01/27 | 44,655 | |
515,000 | Targa Resources Corp., 6.13%, due 03/15/33 | 533,584 | |
60,000 | Teck Resources, Ltd., 6.00%, due 08/15/40 | 60,747 | |
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 175,199 | |
1,690,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36(i) | 1,536,489 | |
735,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 1.88%, due 03/31/27(j) | 676,790 |
620,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, due 05/09/27 | 579,500 | |
860,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.13%, due 09/15/31(i) | 903,818 | |
690,000 | GBP | Time Warner Cable LLC, 5.25%, due 07/15/42 | 715,088 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
300,000 | Time Warner Cable LLC, 6.75%, due 06/15/39 | 295,794 | |
2,160,000 | Titan International, Inc., 7.00%, due 04/30/28 | 1,948,169 | |
270,000 | TKC Holdings, Inc., 6.88%, due 05/15/28(i) 144A | 228,254 | |
2,205,000 | T-Mobile USA, Inc., 4.95%, due 03/15/28 | 2,227,225 | |
550,000 | TMS Issuer SARL, 5.78%, due 08/23/32 144A | 574,486 | |
440,000 | TopBuild Corp., 3.63%, due 03/15/29 144A | 376,966 | |
1,100,000 | TransAlta Corp., 6.50%, due 03/15/40 | 1,014,023 | |
380,000 | TransAlta Corp., 7.75%, due 11/15/29 | 399,806 | |
2,155,000 | TransCanada PipeLines Ltd., 6.20%, due 03/09/26 | 2,170,617 | |
1,000,000 | TransDigm, Inc., 6.25%, due 03/15/26 144A | 1,001,925 | |
470,000 | TransDigm, Inc., 6.75%, due 08/15/28 144A | 475,288 | |
1,000,000 | TransDigm, Inc., 7.50%, due 03/15/27 | 998,515 | |
370,000 | TransDigm, Inc., 8.00%, due 12/15/25 144A | 377,169 | |
580,000 | Transnet SOC, Ltd., 8.25%, due 02/06/28 144A | 578,501 | |
420,000 | Transocean, Inc., 8.75%, due 02/15/30 144A | 428,778 | |
340,000 | Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A | 306,255 | |
1,920,000 | Triumph Group, Inc., 9.00%, due 03/15/28 144A | 1,924,416 | |
490,000 | Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A | 471,457 | |
690,000 | Tutor Perini Corp., 6.88%, due 05/01/25(i) 144A | 487,302 | |
640,000 | UBS Group AG, 4.75% (1 yr. CMT + 1.75%), due 05/12/28(c) 144A | 614,548 | |
1,110,000 | UBS Group AG, 4.99% (1 yr. CMT + 2.40%), due 08/05/33(c) 144A | 1,059,660 | |
1,120,000 | UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(c)(k) 144A | 1,065,355 | |
990,000 | UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(c) 144A | 816,660 | |
555,000 | UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(c) 144A | 512,477 | |
57,880 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 56,014 | |
509,310 | United Airlines Pass Through Trust, 5.88%, due 04/15/29 | 508,453 | |
100,000 | United Airlines, Inc., 4.38%, due 04/15/26 144A | 95,788 | |
430,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 389,503 | |
1,860,000 | United Parcel Service, Inc., 4.88%, due 03/03/33 | 1,910,181 | |
270,000 | United Rentals North America, Inc., 3.88%, due 02/15/31 | 238,572 | |
680,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 655,160 | |
520,000 | United Rentals North America, Inc., 5.50%, due 05/15/27 | 515,583 | |
3,540,000 | United Rentals North America, Inc., 6.00%, due 12/15/29 144A | 3,592,144 | |
2,145,000 | UnitedHealth Group, Inc., 4.50%, due 04/15/33 | 2,133,613 | |
1,850,000 | UnitedHealth Group, Inc., 5.88%, due 02/15/53 | 2,082,678 | |
700,000 | Upbound Group, Inc., 6.38%, due 02/15/29(i) 144A | 588,645 | |
490,000 | US Renal Care, Inc., 10.63%, due 07/15/27 144A | 129,447 | |
290,000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 230,353 | |
540,000 | Vale Overseas, Ltd., 6.88%, due 11/10/39 | 559,962 | |
500,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 11/01/33 144A | 420,573 | |
1,370,000 | Venture Global Calcasieu Pass LLC, 6.25%, due 01/15/30 144A | 1,381,618 | |
420,000 | Vericast Corp., 11.00%, due 09/15/26 144A | 443,625 | |
490,000 | Verizon Communications, Inc., 2.85%, due 09/03/41 | 359,300 | |
2,735,000 | Vertiv Group Corp., 4.13%, due 11/15/28 144A | 2,416,331 | |
220,000 | Viavi Solutions, Inc., 3.75%, due 10/01/29 144A | 188,365 | |
100,000 | Viking Cruises, Ltd., 13.00%, due 05/15/25 144A | 105,716 | |
300,000 | Viking Ocean Cruises Ship VII, Ltd., 5.63%, due 02/15/29 144A | 257,813 | |
970,000 | Viper Energy Partners, LP, 5.38%, due 11/01/27 144A | 933,742 | |
300,000 | Virgin Media Secured Finance Plc, 5.50%, due 05/15/29 144A | 279,716 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
190,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 6.38%, due 02/01/30 144A | 169,528 | |
580,000 | VistaJet Malta Finance Plc/XO Management Holding, Inc., 7.88%, due 05/01/27 144A | 561,420 | |
450,000 | Vmed O2 UK Financing I Plc, 4.75%, due 07/15/31 144A | 386,282 | |
660,000 | VOC Escrow, Ltd., 5.00%, due 02/15/28 144A | 586,506 | |
730,000 | VTR Comunicaciones SpA, 5.13%, due 01/15/28 144A | 451,511 | |
1,085,000 | Warnermedia Holdings, Inc., 6.41%, due 03/15/26 | 1,090,807 | |
315,000 | Waste Connections, Inc., 2.95%, due 01/15/52 | 219,425 | |
350,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44 144A | 255,559 | |
620,000 | Western Midstream Operating, LP, 3.35%, due 02/01/25(l) | 592,661 | |
570,000 | Western Midstream Operating, LP, 5.30%, due 03/01/48 | 483,845 | |
1,035,000 | Western Midstream Operating, LP, 5.45%, due 04/01/44 | 904,057 | |
60,000 | Williams Cos., Inc. (The), 8.75%, due 03/15/32 | 72,209 | |
360,000 | WW International, Inc., 4.50%, due 04/15/29 144A | 193,966 | |
2,270,000 | Wynn Macau, Ltd., 4.88%, due 10/01/24(i) 144A | 2,204,749 | |
905,000 | Wynn Macau, Ltd., 5.63%, due 08/26/28 144A | 770,716 | |
620,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, due 02/15/31(i) 144A | 629,467 | |
1,500,000 | XPO CNW, Inc., 6.70%, due 05/01/34 | 1,359,562 | |
190,000 | XPO Escrow Sub LLC, 7.50%, due 11/15/27 144A | 197,810 | |
180,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 172,191 | |
460,000 | YPF SA, 6.95%, due 07/21/27 144A | 342,153 | |
860,000 | YPF SA, 8.50%, due 07/28/25 144A | 756,168 | |
382,200 | YPF SA, 9.00%, due 02/12/26(l) 144A | 370,977 | |
85,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 81,298 | |
720,000 | ZF North America Capital, Inc., 4.75%, due 04/29/25 144A | 708,401 | |
900,000 | Ziff Davis, Inc., 4.63%, due 10/15/30(i) 144A | 777,361 | |
240,000 | ZipRecruiter, Inc., 5.00%, due 01/15/30 144A | 205,499 | |
429,282,785 | |||
Mortgage Backed Securities - Private Issuers — 5.3% | |||
910,000 | Angel Oak Mortgage Trust I LLC CMO, Series 2019-2, Class B1, 5.02%, due 03/25/49(d) 144A | 884,602 | |
355,000 | BANK, Series 2020-BN25, Class AS, 2.84%, due 01/15/63 | 297,341 | |
870,000 | BANK, Series 2023-BNK45, Class A5, 5.20%, due 02/15/56 | 871,186 | |
280,000 | Barclays Commercial Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52 | 247,789 | |
922,000 | BBCCRE Trust, Series 2015-GTP, Class F, 4.56%, due 08/10/33(d) 144A | 653,020 | |
345,000 | BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53 | 285,655 | |
390,000 | BBCMS Trust, Series 2018-CBM, Class D, 7.08% (1 mo. USD LIBOR + 2.39%), due 07/15/37(c) 144A | 366,237 | |
250,000 | Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(d) | 209,770 | |
1,000,000 | BHMS, Series 2018-MZB, Class MZB, 11.32% (1 mo. USD LIBOR + 6.64%), due 07/15/25(c) 144A | 866,395 | |
860,000 | BIG Commercial Mortgage Trust, Series 2022-BIG, Class F, 10.26% (1 mo. TSFR + 5.44%), due 02/15/39(c) 144A | 800,584 | |
859,532 | BRAVO Residential Funding Trust CMO, Series 2022-NQM1, Class A3, 4.09%, due 09/25/61(d) 144A | 754,326 | |
310,233 | BRAVO Residential Funding Trust CMO, Series 2022-NQM2, Class A3, 5.24%, due 11/25/61(d) 144A | 300,312 | |
250,795 | BRAVO Residential Funding Trust CMO, Series 2022-NQM3, Class A3, 5.50%, due 07/25/62(d) 144A | 241,163 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
590,000 | BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 6.83% (1 mo. USD LIBOR + 2.15%), due 04/15/34(c) 144A | 560,761 | |
1,110,067 | BX Commercial Mortgage Trust, Series 2021-21M, Class A, 5.41% (1 mo. USD LIBOR + 0.73%), due 10/15/36(c) 144A | 1,068,633 | |
890,000 | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 5.54% (1 mo. USD LIBOR + 0.85%), due 11/15/38(c) 144A | 856,832 | |
1,280,000 | BX Commercial Mortgage Trust, Series 2021-VINO, Class A, 5.34% (1 mo. USD LIBOR + 0.65%), due 05/15/38(c) 144A | 1,231,200 | |
690,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class G, 7.53% (1 mo. USD LIBOR + 2.85%), due 09/15/36(c) 144A | 633,435 | |
472,625 | BX Commercial Mortgage Trust, Series 2021-XL2, Class J, 8.57% (1 mo. USD LIBOR + 3.89%), due 10/15/38(c) 144A | 431,400 | |
1,260,000 | BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 5.82% (1 mo. TSFR + 0.99%), due 01/17/39(c) 144A | 1,209,729 | |
891,254 | BX Commercial Mortgage Trust, Series 2022-LP2, Class G, 8.93% (1 mo. TSFR + 4.11%), due 02/15/39(c) 144A | 821,236 | |
950,000 | BX Trust, Series 2018-BILT, Class B, 5.70% (1 mo. USD LIBOR + 1.02%), due 05/15/30(c) 144A | 920,200 | |
880,000 | BX Trust, Series 2021-SDMF, Class F, 6.62% (1 mo. USD LIBOR + 1.94%), due 09/15/34(c) 144A | 808,498 | |
830,000 | BX Trust, Series 2022-LBA6, Class D, 6.83% (1 mo. TSFR + 2.00%), due 01/15/39(c) 144A | 774,410 | |
227,717 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.08%, due 12/15/47(d) 144A | 209,910 | |
425,000 | CFK Trust, Series 2020-MF2, Class F, 3.46%, due 03/15/39(d) 144A | 325,283 | |
300,000 | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 5.63% (1 mo. USD LIBOR + 0.95%), due 11/15/36(c) 144A | 291,487 | |
305,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, due 10/15/45 144A | 266,023 | |
1,000,000 | Connecticut Avenue Securities Trust CMO, Series 2022-R04, Class 1M2, 7.66% (SOFR 30-day average + 3.10%), due 03/25/42(c) 144A | 991,991 | |
1,057,369 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class F, 7.33% (1 mo. USD LIBOR + 2.65%), due 05/15/36(c) 144A | 1,029,315 | |
300,000 | Credit Suisse Mortgage Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A | 249,575 | |
1,050,000 | Credit Suisse Mortgage Trust, Series 2020-TMIC, Class A, 8.18% (1 mo. USD LIBOR + 3.50%), due 12/15/35(c) 144A | 1,040,888 | |
450,000 | Credit Suisse Mortgage Trust LLC, Series 2014-USA, Class F, 4.37%, due 09/15/37 144A | 208,302 | |
932,038 | DBGS Mortgage Trust, Series 2018-BIOD, Class D, 5.98% (1 mo. USD LIBOR + 1.30%), due 05/15/35(c) 144A | 906,356 | |
1,083,183 | EFMT CMO, Series 2023-1, Class A3, 6.54%, due 02/25/68(l) 144A | 1,064,862 | |
930,000 | Ellington Financial Mortgage Trust CMO, Series 2020-1, Class B1, 5.11%, due 05/25/65(d) 144A | 870,452 | |
770,000 | ELP Commercial Mortgage Trust, Series 2021-ELP, Class D, 6.20% (1 mo. USD LIBOR + 1.52%), due 11/15/38(c) 144A | 724,640 | |
478,334 | Extended Stay America Trust, Series 2021-ESH, Class F, 8.39% (1 mo. USD LIBOR + 3.70%), due 07/15/38(c) 144A | 450,449 | |
101,229 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-1, Class M1, 4.00%, due 01/25/56(d) 144A | 99,849 | |
342,819 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-2, Class M1, 4.00%, due 08/25/56(d) 144A | 334,587 | |
413,380 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-3, Class M1, 4.00%, due 07/25/56(d) 144A | 406,655 | |
415,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class M, 4.75%, due 08/25/57(d) 144A | 371,500 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
280,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class M, 4.75%, due 07/25/58(d) 144A | 249,400 | |
790,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-3, Class M, 4.75%, due 10/25/58(d) 144A | 707,145 | |
560,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class M, 4.50%, due 02/25/59(d) 144A | 488,407 | |
370,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class M, 4.25%, due 08/25/59(d) 144A | 315,372 | |
640,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-2, Class M, 4.25%, due 11/25/59(d) 144A | 553,065 | |
590,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-3, Class M, 4.25%, due 05/25/60(d) 144A | 519,570 | |
500,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2021-1, Class M, 4.25%, due 09/25/60 144A | 435,573 | |
605,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-HRP1, Class B1, 9.45% (1 mo. USD LIBOR + 4.60%), due 12/25/42(c) | 617,016 | |
209,639 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-SPI1, Class B, 4.12%, due 09/25/47(d) 144A | 129,103 | |
840,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2018-DNA1, Class B1, 8.00% (1 mo. USD LIBOR + 3.15%), due 07/25/30(c) 144A | 846,852 | |
910,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA2, Class B1, 7.96% (SOFR 30-day average + 3.40%), due 08/25/33(c) 144A | 868,110 | |
1,580,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2020-DNA1, Class B1, 7.15% (1 mo. USD LIBOR + 2.30%), due 01/25/50(c) 144A | 1,529,682 | |
125,790 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2020-DNA2, Class M2, 6.70% (1 mo. USD LIBOR + 1.85%), due 02/25/50(c) 144A | 125,076 | |
1,101,813 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2020-DNA3, Class B1, 9.95% (1 mo. USD LIBOR + 5.10%), due 06/25/50(c) 144A | 1,168,994 | |
830,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2020-DNA5, Class B1, 9.36% (SOFR 30-day average + 4.80%), due 10/25/50(c) 144A | 875,738 | |
1,060,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2020-DNA6, Class B1, 7.56% (SOFR 30-day average + 3.00%), due 12/25/50(c) 144A | 1,011,966 | |
970,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA1, Class B2, 9.31% (SOFR 30-day average + 4.75%), due 01/25/51(c) 144A | 809,115 | |
380,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA3, Class B1, 8.06% (SOFR 30-day average + 3.50%), due 10/25/33(c) 144A | 363,781 | |
1,140,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA3, Class M2, 6.66% (SOFR 30-day average + 2.10%), due 10/25/33(c) 144A | 1,102,903 | |
1,270,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA5, Class B1, 7.61% (SOFR 30-day average + 3.05%), due 01/25/34(c) 144A | 1,169,971 | |
994,512 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA5, Class M2, 6.21% (SOFR 30-day average + 1.65%), due 01/25/34(c) 144A | 976,475 | |
400,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA6, Class M2, 6.06% (SOFR 30-day average + 1.50%), due 10/25/41(c) 144A | 381,079 | |
930,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA7, Class B1, 8.21% (SOFR 30-day average + 3.65%), due 11/25/41(c) 144A | 875,389 | |
1,000,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2021-DNA7, Class M2, 6.36% (SOFR 30-day average + 1.80%), due 11/25/41(c) 144A | 951,467 | |
1,090,000 | FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA3, Class M1B, 7.46% (SOFR 30-day average + 2.90%), due 04/25/42(c) 144A | 1,083,255 | |
298,198 | FHLMC Structured Asset Mortgage Investments II Trust CMO, Series 2005-AR2, Class 2A2, 5.41% (1 mo. USD LIBOR + 0.56%), due 05/25/45(c) | 216,922 | |
445,293 | FNMA Connecticut Avenue Securities CMO, Series 2014-C04, Class 1M2, 9.75% (1 mo. USD LIBOR + 4.90%), due 11/25/24(c) 144A | 464,138 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
440,000 | FNMA Connecticut Avenue Securities CMO, Series 2017-C07, Class 1B1, 8.85% (1 mo. USD LIBOR + 4.00%), due 05/25/30(c) 144A | 461,006 | |
610,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1B1, 8.40% (1 mo. USD LIBOR + 3.55%), due 07/25/30(c) 144A | 629,344 | |
1,210,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1B1, 9.10% (1 mo. USD LIBOR + 4.25%), due 01/25/31(c) 144A | 1,276,162 | |
492,500 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1B1, 8.60% (1 mo. USD LIBOR + 3.75%), due 03/25/31(c) 144A | 511,666 | |
800,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2018-R07, Class 1B1, 9.20% (1 mo. USD LIBOR + 4.35%), due 04/25/31(c) 144A | 829,841 | |
680,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2019-R07, Class 1B1, 8.25% (1 mo. USD LIBOR + 3.40%), due 10/25/39(c) 144A | 669,658 | |
148,648 | FNMA Connecticut Avenue Securities Trust CMO, Series 2020-R01, Class 1M2, 6.90% (1 mo. USD LIBOR + 2.05%), due 01/25/40(c) 144A | 149,193 | |
780,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R01, Class 1B1, 7.66% (SOFR 30-day average + 3.10%), due 10/25/41(c) 144A | 737,193 | |
800,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R03, Class 1B1, 7.31% (SOFR 30-day average + 2.75%), due 12/25/41(c) 144A | 736,444 | |
510,000 | GS Mortgage Securities Corp. Trust, Series 2018-LUAU, Class G, 9.13% (1 mo. USD LIBOR + 4.45%), due 11/15/32(c) 144A | 478,182 | |
570,000 | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 5.78% (1 mo. USD LIBOR + 1.10%), due 12/15/36(c) 144A | 561,044 | |
265,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.16%, due 08/10/44(d) 144A | 103,149 | |
280,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.69%, due 06/10/47(d) 144A | 207,894 | |
158,409 | HarborView Mortgage Loan Trust CMO, Series 2005-9, Class 2A1C, 5.66% (1 mo. USD LIBOR + 0.90%), due 06/20/35(c) | 139,116 | |
1,390,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 13.19% (1 mo. USD LIBOR + 8.51%), due 06/15/35(c) 144A | 14 | |
1,210,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL, 7.85% (1 mo. USD LIBOR + 3.15%), due 07/05/33(c) 144A | 990,514 | |
530,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 7.53% (1 mo. USD LIBOR + 2.85%), due 09/15/29(c) 144A | 443,555 | |
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F, 8.33% (1 mo. USD LIBOR + 3.65%), due 09/15/29(c) 144A | 646,641 | |
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F, 7.78% (1 mo. USD LIBOR + 3.10%), due 12/15/36(c) 144A | 312,000 | |
760,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX, 4.69%, due 01/16/37(d) 144A | 567,025 | |
810,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class F, 8.95% (1 mo. USD LIBOR + 4.27%), due 11/15/38(c) 144A | 761,337 | |
537,498 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D, 6.99% (1 mo. TSFR + 2.17%), due 04/15/37(c) 144A | 481,012 | |
625,480 | KIND Trust, Series 2021-KIND, Class D, 7.24% (1 mo. TSFR + 2.41%), due 08/15/38(c) 144A | 583,006 | |
1,156,901 | Legacy Mortgage Asset Trust CMO, Series 2020-GS4, Class A1, 3.25%, due 02/25/60(l) 144A | 1,148,668 | |
170,585 | Legacy Mortgage Asset Trust CMO, Series 2020-GS5, Class A1, 3.25%, due 06/25/60(l) 144A | 170,567 | |
533,415 | Med Trust, Series 2021-MDLN, Class C, 6.49% (1 mo. USD LIBOR + 1.80%), due 11/15/38(c) 144A | 509,900 | |
578,282 | Med Trust, Series 2021-MDLN, Class E, 7.84% (1 mo. USD LIBOR + 3.15%), due 11/15/38(c) 144A | 544,501 | |
1,744,816 | Med Trust, Series 2021-MDLN, Class G, 9.94% (1 mo. USD LIBOR + 5.25%), due 11/15/38(c) 144A | 1,600,020 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
890,000 | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 5.49% (1 mo. USD LIBOR + 0.80%), due 04/15/38(c) 144A | 861,837 | |
590,000 | MHC Trust, Series 2021-MHC2, Class E, 6.63% (1 mo. USD LIBOR + 1.95%), due 05/15/38(c) 144A | 548,749 | |
320,000 | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.28%, due 07/11/40(d) 144A | 284,056 | |
353,986 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%, due 10/15/30 144A | 285,401 | |
461,805 | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 8.10% (1 mo. USD LIBOR + 3.25%), due 10/25/49(c) 144A | 424,996 | |
460,000 | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 8.60% (1 mo. USD LIBOR + 3.75%), due 03/25/50(c) 144A | 427,911 | |
320,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 6.41% (1 mo. TSFR + 1.58%), due 07/15/36(c) 144A | 307,547 | |
384,341 | New Residential Mortgage Loan Trust CMO, Series 2017-5A, Class B4, 4.21%, due 06/25/57(d) 144A | 365,242 | |
445,181 | OBX Trust CMO, Series 2022-NQM6, Class A1, 4.70%, due 07/25/62(l) 144A | 431,205 | |
685,374 | OPG Trust, Series 2021-PORT, Class D, 5.82% (1 mo. USD LIBOR + 1.13%), due 10/15/36(c) 144A | 637,221 | |
73,679 | PMT Credit Risk Transfer Trust CMO, Series 2019-3R, Class A, 8.55% (1 mo. USD LIBOR + 3.70%), due 11/27/31(c) 144A | 71,321 | |
500,000 | Radnor RE, Ltd. CMO, Series 2020-1, Class M1C, 6.60% (1 mo. USD LIBOR + 1.75%), due 01/25/30(c) 144A | 494,509 | |
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 7.44% (1 mo. USD LIBOR + 2.75%), due 11/15/27(c)(f) 144A | 85,576 | |
900,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 8.19% (1 mo. USD LIBOR + 3.50%), due 11/15/27(c)(f) 144A | 200,848 | |
766,336 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class E, 8.19% (1 mo. USD LIBOR + 3.48%), due 11/11/34(c) 144A | 722,372 | |
761,476 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class F, 8.96% (1 mo. USD LIBOR + 4.25%), due 11/11/34(c) 144A | 711,901 | |
940,000 | Towd Point Mortgage Trust CMO, Series 2017-5, Class B1, 4.21% (1 mo. USD LIBOR + 1.80%), due 02/25/57(c) 144A | 904,525 | |
590,000 | Towd Point Mortgage Trust CMO, Series 2019-4, Class B1B, 3.50%, due 10/25/59(d) 144A | 431,850 | |
247,093 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR1, Class A1B, 5.63% (1 mo. USD LIBOR + 0.78%), due 01/25/45(c) | 222,787 | |
470,588 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR6, Class 2A1A, 5.31% (1 mo. USD LIBOR + 0.46%), due 04/25/45(c) | 449,176 | |
344,583 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2006-AR16, Class 2A2, 3.40%, due 12/25/36(d) | 290,666 | |
1,190,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D, 2.80%, due 12/15/50(d) 144A | 720,817 | |
239,605 | Wells Fargo Mortgage Backed Securities Trust CMO, Series 2006-AR5, Class 2A1, 4.36%, due 04/25/36(d) | 220,091 | |
71,121,658 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.0% | |||
127,851 | FNMA, Pool # BM6224, 2.79%, due 01/01/35(d) | 112,148 | |
237,518 | UMBS, Pool # BM5520, 3.50%, due 02/01/47 | 224,470 | |
336,618 | |||
Sovereign Debt Obligations — 32.6% | |||
940,000 | Abu Dhabi Government International Bond, 3.13%, due 09/30/49 144A | 705,086 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
240,000 | Angolan Government International Bond, 8.75%, due 04/14/32 144A | 203,400 | |
935,000 | Angolan Government International Bond, (MTN), 8.00%, due 11/26/29(j) | 804,474 | |
5,505 | Argentine Republic Government International Bond, 1.00%, due 07/09/29 | 1,554 | |
327,438 | Argentine Republic Government International Bond, 1.50%, due 07/09/46(l) | 88,227 | |
975,000 | Bahrain Government International Bond, (MTN), 5.63%, due 05/18/34(i)(j) | 854,774 | |
1,130,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.30%, due 10/01/28(j) | 1,235,395 |
2,780,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.50%, due 03/01/25 | 3,272,831 |
1,365,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 1,652,197 |
1,430,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 09/01/30(j) | 1,747,721 |
1,240,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 10/01/28(j) | 1,575,815 |
115,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 144,910 |
505,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43 | 712,929 |
25,641,000 | BRL | Brazil Letras do Tesouro Nacional, 10.86%, due 01/01/24(h) | 4,609,515 |
6,227,000 | BRL | Brazil Letras do Tesouro Nacional, 11.36%, due 07/01/24(h) | 1,062,574 |
8,519,000 | BRL | Brazil Letras do Tesouro Nacional, 13.37%, due 07/01/25(h) | 1,306,012 |
25,629,000 | BRL | Brazil Letras do Tesouro Nacional, 13.64%, due 01/01/26(h) | 3,697,611 |
140,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 25.59%, due 05/15/35 | 111,703 |
214,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 25.59%, due 05/15/45 | 167,742 |
302,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 25.59%, due 08/15/50 | 236,683 |
42,056,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/25 | 8,054,547 |
56,213,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/27 | 10,424,818 |
78,524,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/29 | 13,979,806 |
82,560,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/31 | 14,282,960 |
4,430,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/33 | 745,203 |
1,000,000 | Brazilian Government International Bond, 4.63%, due 01/13/28(i) | 979,888 | |
1,760,000 | Brazilian Government International Bond, 4.75%, due 01/14/50 | 1,306,275 | |
90,000 | EUR | Bundesrepublik Deutschland Bundesanleihe, 0.01%, due 08/15/26(j) | 90,209 |
1,068,000 | Chile Government International Bond, 2.55%, due 01/27/32(i) | 914,360 | |
403,000 | Chile Government International Bond, 4.34%, due 03/07/42(i) | 357,143 | |
14,260,000 | CNY | China Government Bond, 1.99%, due 04/09/25 | 2,055,919 |
3,930,000 | CNY | China Government Bond, 2.68%, due 05/21/30 | 565,522 |
7,320,000 | CNY | China Government Bond, 2.85%, due 06/04/27 | 1,073,410 |
9,090,000 | CNY | China Government Bond, 3.02%, due 10/22/25 | 1,341,845 |
3,970,000 | CNY | China Government Bond, 3.02%, due 05/27/31 | 586,327 |
8,120,000 | CNY | China Government Bond, 3.13%, due 11/21/29 | 1,207,452 |
1,270,000 | CNY | China Government Bond, 3.25%, due 11/22/28 | 190,727 |
6,770,000 | CNY | China Government Bond, 3.27%, due 11/19/30 | 1,021,482 |
6,300,000 | CNY | China Government Bond, 3.28%, due 12/03/27 | 944,526 |
3,630,000 | CNY | China Government Bond, 3.29%, due 05/23/29 | 547,112 |
1,240,000 | CNY | China Government Bond, 3.72%, due 04/12/51 | 195,532 |
6,950,000 | CNY | China Government Bond, 3.81%, due 09/14/50 | 1,116,532 |
270,000 | Ciudad Autonoma De Buenos Aires/Government Bonds, 7.50%, due 06/01/27(j) | 242,371 | |
800,000 | Colombia Government International Bond, 3.13%, due 04/15/31 | 612,243 | |
1,485,000 | Colombia Government International Bond, 4.13%, due 05/15/51 | 918,742 | |
1,065,000 | Colombia Government International Bond, 4.50%, due 03/15/29 | 941,281 | |
741,000 | Colombia Government International Bond, 7.50%, due 02/02/34 | 729,772 | |
4,192,000,000 | COP | Colombian TES, 5.75%, due 11/03/27 | 729,377 |
34,481,700,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 5,937,553 |
7,785,500,000 | COP | Colombian TES, 6.25%, due 11/26/25 | 1,498,218 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
16,776,600,000 | COP | Colombian TES, 6.25%, due 07/09/36 | 2,283,077 |
22,996,100,000 | COP | Colombian TES, 7.00%, due 03/26/31 | 3,800,025 |
1,517,200,000 | COP | Colombian TES, 7.00%, due 03/26/31 | 250,712 |
50,494,600,000 | COP | Colombian TES, 7.00%, due 06/30/32 | 8,038,040 |
18,528,300,000 | COP | Colombian TES, 7.25%, due 10/18/34 | 2,857,221 |
7,097,000,000 | COP | Colombian TES, 7.25%, due 10/26/50 | 944,829 |
21,887,400,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 4,232,327 |
20,566,400,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 3,609,385 |
13,514,800,000 | COP | Colombian TES, 9.25%, due 05/28/42 | 2,293,676 |
12,476,000,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 2,653,402 |
870,000 | Costa Rica Government International Bond, 7.00%, due 04/04/44(j) | 853,428 | |
9,720,000 | CZK | Czech Republic Government Bond, 0.25%, due 02/10/27 | 377,849 |
29,900,000 | CZK | Czech Republic Government Bond, 0.95%, due 05/15/30(j) | 1,074,338 |
15,220,000 | CZK | Czech Republic Government Bond, 1.00%, due 06/26/26(j) | 623,059 |
31,660,000 | CZK | Czech Republic Government Bond, 1.20%, due 03/13/31 | 1,131,892 |
20,910,000 | CZK | Czech Republic Government Bond, 1.25%, due 02/14/25 | 899,950 |
39,270,000 | CZK | Czech Republic Government Bond, 1.75%, due 06/23/32 | 1,439,062 |
40,820,000 | CZK | Czech Republic Government Bond, 2.00%, due 10/13/33 | 1,487,144 |
4,270,000 | CZK | Czech Republic Government Bond, 2.40%, due 09/17/25(j) | 185,068 |
4,900,000 | CZK | Czech Republic Government Bond, 2.50%, due 08/25/28(j) | 202,588 |
24,930,000 | CZK | Czech Republic Government Bond, 2.75%, due 07/23/29 | 1,031,100 |
3,220,000 | CZK | Czech Republic Government Bond, 4.20%, due 12/04/36(j) | 143,036 |
4,340,000 | CZK | Czech Republic Government Bond, 6.00%, due 02/26/26 | 206,366 |
4,440,000 | CZK | Czech Republic Government Bond, 6.08%, due 12/12/24(h) | 187,698 |
580,000 | Dominican Republic International Bond, 4.88%, due 09/23/32(j) | 493,947 | |
350,000 | Dominican Republic International Bond, 5.50%, due 02/22/29 144A | 330,515 | |
510,000 | Dominican Republic International Bond, 5.50%, due 02/22/29(j) | 481,607 | |
1,005,000 | Dominican Republic International Bond, 6.00%, due 07/19/28 144A | 984,455 | |
910,000 | Dominican Republic International Bond, 6.00%, due 02/22/33 144A | 836,305 | |
430,000 | Dominican Republic International Bond, 7.05%, due 02/03/31(i) 144A | 437,676 | |
7,061,000 | EGP | Egypt Government Bond, 14.66%, due 10/06/30 | 168,870 |
6,937,000 | EGP | Egypt Government Bond, 14.82%, due 07/06/31 | 166,076 |
601,000 | Egypt Government International Bond, 8.88%, due 05/29/50(j) | 356,219 | |
1,290,000 | Egyptian Financial Co. for Sovereign Taskeek (The), 10.88%, due 02/28/26 144A | 1,187,971 | |
5,140,000 | ZAR | European Investment Bank, (MTN), 8.50%, due 09/17/24(j) | 291,636 |
1,230,000 | Export-Import Bank of India, 5.50%, due 01/18/33 144A | 1,230,434 | |
1,035,000 | Export-Import Bank of Korea, 5.00%, due 01/11/28 | 1,058,029 | |
490,000 | Gabon Government International Bond, 7.00%, due 11/24/31 144A | 375,561 | |
1,025,000 | Guatemala Government Bond, 4.88%, due 02/13/28(j) | 999,198 | |
121,750,000 | HUF | Hungary Government Bond, 1.50%, due 04/22/26 | 269,385 |
262,400,000 | HUF | Hungary Government Bond, 2.75%, due 12/22/26 | 582,896 |
266,700,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 579,931 |
325,920,000 | HUF | Hungary Government Bond, 3.00%, due 08/21/30 | 656,141 |
630,370,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/38 | 1,002,585 |
332,570,000 | HUF | Hungary Government Bond, 4.00%, due 04/28/51 | 544,097 |
848,320,000 | HUF | Hungary Government Bond, 4.50%, due 03/23/28 | 1,970,770 |
373,910,000 | HUF | Hungary Government Bond, 4.50%, due 05/27/32 | 801,627 |
1,074,240,000 | HUF | Hungary Government Bond, 4.75%, due 11/24/32 | 2,330,377 |
92,440,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 233,556 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
321,930,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 819,271 |
1,985,000 | Hungary Government International Bond, 6.13%, due 05/22/28 144A | 2,038,111 | |
882,000 | Hungary Government International Bond, 6.25%, due 09/22/32 144A | 901,276 | |
1,530,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 1,470,322 | |
895,000 | Indonesia Government International Bond, 3.55%, due 03/31/32 | 822,808 | |
835,000 | Indonesia Government International Bond, 4.55%, due 01/11/28 | 835,886 | |
14,660,000,000 | IDR | Indonesia Treasury Bond, 5.50%, due 04/15/26 | 954,129 |
7,852,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 516,903 |
44,311,000,000 | IDR | Indonesia Treasury Bond, 6.25%, due 06/15/36 | 2,785,229 |
5,420,000,000 | IDR | Indonesia Treasury Bond, 6.38%, due 08/15/28 | 362,133 |
76,261,000,000 | IDR | Indonesia Treasury Bond, 6.38%, due 04/15/32 | 4,983,603 |
61,067,000,000 | IDR | Indonesia Treasury Bond, 6.50%, due 06/15/25 | 4,087,288 |
23,261,000,000 | IDR | Indonesia Treasury Bond, 6.50%, due 02/15/31 | 1,542,770 |
15,470,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,014,895 |
52,311,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 3,566,128 |
24,257,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 09/15/30 | 1,655,096 |
26,027,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 02/15/33 | 1,766,580 |
4,546,000,000 | IDR | Indonesia Treasury Bond, 7.38%, due 05/15/48 | 312,253 |
22,149,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 08/15/32 | 1,549,669 |
19,649,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 05/15/38 | 1,366,368 |
80,760,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 04/15/40 | 5,620,803 |
23,542,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/29 | 1,712,036 |
2,658,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 196,245 |
38,524,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/36 | 2,840,774 |
2,683,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 183,048 |
24,937,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 1,768,349 |
73,023,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 5,403,249 |
50,810,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 04/15/39 | 3,814,181 |
30,008,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 2,251,626 |
8,328,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 622,719 |
6,017,000,000 | IDR | Indonesia Treasury Bond, 9.50%, due 07/15/31 | 473,497 |
5,494,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 449,703 |
18,078,000,000 | IDR | Indonesia Treasury Bond, 11.00%, due 09/15/25 | 1,334,282 |
170,000 | EUR | Ivory Coast Government International Bond, 4.88%, due 01/30/32 144A | 141,269 |
185,053 | Ivory Coast Government International Bond, 5.75%, due 12/31/32(j)(l) | 173,255 | |
740,000 | Ivory Coast Government International Bond, 6.13%, due 06/15/33(j) | 642,653 | |
1,110,000 | Ivory Coast Government International Bond, 6.38%, due 03/03/28(j) | 1,068,408 | |
820,000 | Jordan Government International Bond, 7.75%, due 01/15/28 144A | 834,350 | |
510,000 | Kazakhstan Government International Bond, (MTN), 5.13%, due 07/21/25(j) | 526,315 | |
18,626,000 | MYR | Malaysia Government Bond, 2.63%, due 04/15/31 | 3,847,093 |
8,437,000 | MYR | Malaysia Government Bond, 3.50%, due 05/31/27 | 1,908,958 |
16,207,000 | MYR | Malaysia Government Bond, 3.58%, due 07/15/32 | 3,581,153 |
18,659,000 | MYR | Malaysia Government Bond, 3.73%, due 06/15/28 | 4,235,932 |
1,022,000 | MYR | Malaysia Government Bond, 3.76%, due 05/22/40 | 218,153 |
6,029,000 | MYR | Malaysia Government Bond, 3.83%, due 07/05/34 | 1,335,314 |
2,226,000 | MYR | Malaysia Government Bond, 3.84%, due 04/15/33 | 498,100 |
12,155,000 | MYR | Malaysia Government Bond, 3.88%, due 03/14/25 | 2,789,579 |
2,586,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 592,692 |
21,709,000 | MYR | Malaysia Government Bond, 3.89%, due 08/15/29 | 4,927,323 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
14,726,000 | MYR | Malaysia Government Bond, 3.90%, due 11/30/26 | 3,385,290 |
6,866,000 | MYR | Malaysia Government Bond, 3.90%, due 11/16/27 | 1,579,929 |
23,156,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 5,328,035 |
6,292,000 | MYR | Malaysia Government Bond, 4.06%, due 09/30/24 | 1,445,100 |
1,341,000 | MYR | Malaysia Government Bond, 4.07%, due 06/15/50 | 286,227 |
624,000 | MYR | Malaysia Government Bond, 4.13%, due 04/15/32 | 143,532 |
3,880,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 890,957 |
1,205,000 | MYR | Malaysia Government Bond, 4.23%, due 06/30/31 | 278,882 |
11,727,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 2,729,387 |
5,033,000 | MYR | Malaysia Government Bond, 4.50%, due 04/30/29 | 1,180,963 |
9,044,000 | MYR | Malaysia Government Bond, 4.50%, due 04/15/30 | 2,135,893 |
1,295,000 | MYR | Malaysia Government Bond, 4.70%, due 10/15/42 | 312,751 |
1,597,000 | MYR | Malaysia Government Bond, 4.74%, due 03/15/46 | 380,060 |
2,852,000 | MYR | Malaysia Government Bond, 4.76%, due 04/07/37 | 683,669 |
2,733,000 | MYR | Malaysia Government Bond, 4.89%, due 06/08/38 | 670,428 |
84,733,000 | MXN | Mexican Bonos, 5.00%, due 03/06/25 | 4,259,222 |
26,124,600 | MXN | Mexican Bonos, 5.50%, due 03/04/27 | 1,274,840 |
96,218,000 | MXN | Mexican Bonos, 5.75%, due 03/05/26 | 4,811,940 |
118,617,800 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 6,233,019 |
11,875,400 | MXN | Mexican Bonos, 7.50%, due 05/26/33 | 600,028 |
158,936,700 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 8,264,603 |
22,096,500 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,129,521 |
114,798,800 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 5,547,899 |
15,053,300 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 814,499 |
38,912,200 | MXN | Mexican Bonos, 8.00%, due 09/05/24 | 2,078,724 |
73,469,900 | MXN | Mexican Bonos, 8.00%, due 11/07/47 | 3,624,057 |
67,738,200 | MXN | Mexican Bonos, 8.00%, due 07/31/53 | 3,325,741 |
8,178,800 | MXN | Mexican Bonos, 8.00%, due 07/31/53 | 401,554 |
36,848,300 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 2,009,902 |
19,187,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 1,046,561 |
30,172,600 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 1,596,578 |
48,920,000 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 2,588,593 |
70,766,900 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 3,894,012 |
21,394,000 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 1,177,224 |
12,947,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 783,273 |
16,352,500 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 989,301 |
21,831,883 | MXN | Mexican Udibonos, 4.50%, due 11/22/35 | 1,244,306 |
1,220,000 | Mexico Government International Bond, 2.66%, due 05/24/31(i) | 1,021,202 | |
595,000 | Mexico Government International Bond, 4.88%, due 05/19/33 | 570,387 | |
320,000 | Mongolia Government International Bond, 8.65%, due 01/19/28 144A | 315,200 | |
1,495,000 | Nigeria Government International Bond, (MTN), 8.38%, due 03/24/29(j) | 1,235,603 | |
865,000 | Oman Government International Bond, 5.63%, due 01/17/28 144A | 866,315 | |
930,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 694,484 | |
390,000 | Panama Government International Bond, 6.40%, due 02/14/35 | 407,524 | |
1,520,000 | Paraguay Government International Bond, 5.40%, due 03/30/50(j) | 1,314,382 | |
276,194 | PEN | Peru Government Bond, 5.35%, due 08/12/40 | 57,496 |
7,006,000 | PEN | Peru Government Bond, 5.40%, due 08/12/34 | 1,564,545 |
8,427,000 | PEN | Peru Government Bond, 5.94%, due 02/12/29 | 2,116,566 |
5,049,000 | PEN | Peru Government Bond, 6.15%, due 08/12/32 | 1,227,891 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
1,838,000 | PEN | Peru Government Bond, 6.35%, due 08/12/28 | 476,879 |
2,491,000 | PEN | Peru Government Bond, 6.90%, due 08/12/37 | 621,310 |
3,314,000 | PEN | Peru Government Bond, 6.95%, due 08/12/31 | 858,771 |
740,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 633,453 | |
6,789,000 | PEN | Peruvian Government International Bond (GDN), 6.35%, due 08/12/28(j) | 1,761,444 |
8,929,000 | PEN | Peruvian Government International Bond (GDN), 6.95%, due 08/12/31(j) | 2,292,046 |
3,571,000 | PEN | Peruvian Government International Bond (GDN), 8.20%, due 08/12/26(j) | 994,695 |
1,780,031 | Provincia de Buenos Aires/Government Bonds, 5.25%, due 09/01/37(l) 144A | 630,692 | |
421,629 | Provincia de Cordoba, 6.88%, due 12/10/25(l) 144A | 359,857 | |
490,000 | Qatar Government International Bond, 4.82%, due 03/14/49 144A | 481,445 | |
200,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 203,684 | |
265,000 | Republic of Kenya Government International Bond, 8.00%, due 05/22/32(j) | 215,816 | |
10,600,000 | PLN | Republic of Poland Government Bond, 0.25%, due 10/25/26 | 2,019,218 |
16,480,000 | PLN | Republic of Poland Government Bond, 1.25%, due 10/25/30 | 2,756,711 |
24,643,000 | PLN | Republic of Poland Government Bond, 1.75%, due 04/25/32 | 4,060,213 |
23,758,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/26 | 4,950,662 |
3,743,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/27 | 756,585 |
10,427,000 | PLN | Republic of Poland Government Bond, 2.75%, due 04/25/28 | 2,088,879 |
18,099,000 | PLN | Republic of Poland Government Bond, 2.75%, due 10/25/29 | 3,490,361 |
1,395,000 | PLN | Republic of Poland Government Bond, 3.25%, due 07/25/25 | 305,205 |
5,989,000 | PLN | Republic of Poland Government Bond, 3.75%, due 05/25/27 | 1,273,746 |
54,099,506 | ZAR | Republic of South Africa Government Bond, 6.25%, due 03/31/36 | 2,049,485 |
59,206,391 | ZAR | Republic of South Africa Government Bond, 6.50%, due 02/28/41 | 2,101,631 |
104,527,966 | ZAR | Republic of South Africa Government Bond, 7.00%, due 02/28/31 | 4,879,248 |
59,905,347 | ZAR | Republic of South Africa Government Bond, 8.00%, due 01/31/30 | 3,077,229 |
66,096,033 | ZAR | Republic of South Africa Government Bond, 8.25%, due 03/31/32 | 3,252,182 |
140,868,395 | ZAR | Republic of South Africa Government Bond, 8.50%, due 01/31/37 | 6,394,556 |
127,800,215 | ZAR | Republic of South Africa Government Bond, 8.75%, due 01/31/44 | 5,585,609 |
246,571,891 | ZAR | Republic of South Africa Government Bond, 8.75%, due 02/28/48 | 10,699,490 |
75,780,000 | ZAR | Republic of South Africa Government Bond, 8.75%, due 02/28/48(i) | 3,288,320 |
85,328,308 | ZAR | Republic of South Africa Government Bond, 8.88%, due 02/28/35 | 4,127,788 |
35,145,074 | ZAR | Republic of South Africa Government Bond, 9.00%, due 01/31/40 | 1,612,009 |
55,853,295 | ZAR | Republic of South Africa Government Bond, 10.50%, due 12/21/26 | 3,351,623 |
1,050,000 | Republic of South Africa Government International Bond, 4.85%, due 09/30/29 | 944,842 | |
940,000 | Republic of South Africa Government International Bond, 5.88%, due 04/20/32 | 856,373 | |
2,940,000 | RON | Romania Government Bond, 3.25%, due 06/24/26 | 575,646 |
1,500,000 | RON | Romania Government Bond, 3.65%, due 09/24/31 | 255,110 |
1,235,000 | RON | Romania Government Bond, 4.15%, due 10/24/30 | 222,272 |
2,650,000 | RON | Romania Government Bond, 4.25%, due 04/28/36 | 427,090 |
4,755,000 | RON | Romania Government Bond, 4.75%, due 10/11/34 | 828,025 |
995,000 | RON | Romania Government Bond, 4.85%, due 07/25/29 | 191,726 |
1,570,000 | RON | Romania Government Bond, 5.00%, due 02/12/29 | 307,661 |
1,560,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 324,912 |
3,670,000 | RON | Romania Government Bond, 6.70%, due 02/25/32 | 770,019 |
735,000 | RON | Romania Government Bond, 8.25%, due 09/29/32 | 169,956 |
618,000 | EUR | Romanian Government International Bond, 2.75%, due 02/26/26 144A | 633,787 |
134,000 | EUR | Romanian Government International Bond, 3.62%, due 05/26/30 144A | 123,559 |
790,000 | EUR | Romanian Government International Bond, 6.63%, due 09/27/29 144A | 878,843 |
868,000 | Romanian Government International Bond, 7.13%, due 01/17/33(i) 144A | 921,395 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
42,983,000 | RUB | Russian Federal Bond - OFZ, 5.70%, due 05/17/28(o) | 170,106 |
52,609,000 | RUB | Russian Federal Bond - OFZ, 6.10%, due 07/18/35(o) | 208,202 |
59,072,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 05/23/29(o) | 233,779 |
86,446,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28(o) | 342,113 |
18,639,000 | RUB | Russian Federal Bond - OFZ, 7.10%, due 10/16/24(o) | 73,764 |
32,547,000 | RUB | Russian Federal Bond - OFZ, 7.25%, due 05/10/34(o) | 128,806 |
40,966,000 | RUB | Russian Federal Bond - OFZ, 7.65%, due 04/10/30(o) | 162,124 |
60,698,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/23/33(o) | 240,214 |
24,639,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/16/39(o) | 98,302 |
72,599,000 | RUB | Russian Federal Bond - OFZ, 7.75%, due 09/16/26(o) | 287,313 |
71,354,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27(o) | 282,386 |
29,262,000 | RUB | Russian Federal Bond - OFZ, 8.50%, due 09/17/31(o) | 115,805 |
1,011,000 | EUR | Serbia International Bond, 1.00%, due 09/23/28 144A | 849,954 |
735,000 | Serbia International Bond, 6.25%, due 05/26/28(i) 144A | 744,055 | |
139,863,000 | THB | Thailand Government Bond, 2.13%, due 12/17/26 | 4,124,246 |
1,220,000 | Turkey Government International Bond, 9.38%, due 01/19/33 | 1,244,351 | |
600,000 | Turkiye Ihracat Kredi Bankasi AS, 9.38%, due 01/31/26 144A | 606,750 | |
7,884,000 | UYU | Uruguay Government International Bond, 8.50%, due 03/15/28(j) | 188,987 |
435,000,628 | |||
U.S. Government and Agency Obligations — 0.4% | |||
3,930,000 | U.S. Treasury Note, 0.13%, due 07/15/23(i) | 3,878,320 | |
914,600 | U.S. Treasury Note, 1.75%, due 05/15/23(p) | 911,422 | |
4,789,742 | |||
TOTAL DEBT OBLIGATIONS (COST $1,248,698,339) | 1,181,896,026 |
Shares | Description | Value ($) | |
COMMON STOCKS — 0.0% | |||
Energy — 0.0% | |||
10 | Amplify Energy Corp.* | 69 | |
Industrial — 0.0% | |||
1,282 | Arctic Canadian Diamond Co., Ltd.*(e)(f) | — | |
TOTAL COMMON STOCKS (COST $0) | 69 | ||
CONVERTIBLE PREFERRED STOCKS — 0.3% | |||
Energy — 0.3% | |||
103,220 | MPLX, LP, 9.54%(k)(l) | 3,667,762 | |
Utilities — 0.0% | |||
4,442 | NextEra Energy, Inc., 6.22% | 216,947 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $3,592,976) | 3,884,709 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Notional Value | Description | Value ($) | |
PURCHASED OPTIONS — 0.0% | |||
PURCHASED CURRENCY OPTIONS — 0.0% | |||
Put Options — 0.0% | |||
6,010,000 | USD/EUR Option with BNP Paribas S.A., Strike Price EUR 1.09, Expires 05/31/23 | 90,030 | |
4,510,000 | USD/EUR Option with BNP Paribas S.A., Strike Price EUR 1.09, Expires 05/31/23 | 46,507 | |
TOTAL PURCHASED CURRENCY OPTIONS (PREMIUMS PAID $111,960) | 136,537 |
Number of Contracts | Notional Value ($) | Description | Value ($) |
PURCHASED FUTURES OPTIONS — 0.0% | |||
Call Option — 0.0% | |||
20,000 | 1,908,800 | Euro 90-Day Futures with Citigroup Global Markets, Inc., Strike Price $99.00, Expires 12/18/23 | 800 |
Put Options — 0.0% | |||
2,300 | 9,516,825 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,600.00, Expires 05/19/23 | 27,600 |
1,100 | 4,551,525 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,800.00, Expires 05/19/23 | 29,425 |
800 | 3,310,200 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,700.00, Expires 05/19/23 | 14,200 |
2,300 | 9,516,825 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,600.00, Expires 06/16/23 | 58,075 |
1,800 | 7,447,950 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,700.00, Expires 06/16/23 | 62,100 |
1,000 | 4,137,750 | S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,800.00, Expires 06/16/23 | 47,250 |
TOTAL PURCHASED FUTURES OPTIONS (PREMIUMS PAID $600,870) | 239,450 | ||
TOTAL PURCHASED OPTIONS (PREMIUMS PAID $712,830) | 375,987 |
Par Value | Description | Value ($) | |
SHORT-TERM INVESTMENT — 3.2% | |||
Mutual Fund - Securities Lending Collateral — 3.2% | |||
43,309,368 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(q)(r) | 43,309,368 | |
TOTAL SHORT-TERM INVESTMENT (COST $43,309,368) | 43,309,368 | ||
TOTAL INVESTMENTS — 92.2% (Cost $1,296,313,513) | 1,229,466,159 | ||
Other Assets and Liabilities (net)(s) — 7.8% | 103,312,761 | ||
NET ASSETS — 100.0% | $1,332,778,920 |
Schedule of Investments (Continued)
March 31, 2023
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | When-issued security. |
(c) | Variable or floating rate note. Rate shown is as of March 31, 2023. |
(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) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(f) | Securities are fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,521,917 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2023 was $2,785,445. |
(g) | 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. |
(h) | Interest rate presented is yield to maturity. |
(i) | All or a portion of this security is out on loan. |
(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) | Security is perpetual and has no stated maturity date. |
(l) | 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. |
(m) | Security is currently in default. |
(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 year end is $2,342,914 which represents 0.2% of net assets. The aggregate cost of these securities held at March 31, 2023 was $8,413,179. |
(p) | All or a portion of this security is pledged for forward foreign currency contracts, OTC swaps, and/or OTC options collateral. |
(q) | The rate disclosed is the 7-day net yield as of March 31, 2023. |
(r) | Represents an investment of securities lending cash collateral. |
(s) | As of March 31, 2023, the value of unfunded loan commitments was $59,771 for the Fund. See Notes to the Financial Statements. |
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 year end is $407,860,381 which represents 30.6% of net assets. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
AUD | 3,952,396 | USD | 2,618,018 | 05/15/23 | Deutsche Bank AG | $33,012 |
AUD | 6,417,000 | USD | 4,315,047 | 04/27/23 | HSBC Bank USA, N.A. | (13,711 ) |
AUD | 3,430,000 | USD | 2,286,692 | 04/18/23 | JPMorgan Chase Bank N.A. | 11,709 |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
AUD | 12,364,351 | USD | 8,622,986 | 04/18/23 | Morgan Stanley Capital Services, Inc. | $(337,785 ) |
BRL | 2,325,300 | USD | 457,700 | 04/04/23 | Bank of America, N.A. | 916 |
BRL | 2,880,000 | USD | 549,199 | 04/04/23 | Barclays Bank Plc | 18,820 |
BRL | 3,970,000 | USD | 781,435 | 04/04/23 | Goldman Sachs International | 1,564 |
BRL | 86,127,944 | USD | 16,794,980 | 04/04/23 | HSBC Bank Plc | 191,944 |
BRL | 14,100,600 | USD | 2,714,763 | 04/04/23 | JPMorgan Chase Bank N.A. | 66,284 |
BRL | 4,125,758 | USD | 770,335 | 04/18/23 | JPMorgan Chase Bank N.A. | 41,621 |
BRL | 6,888,100 | USD | 1,312,378 | 05/23/23 | JPMorgan Chase Bank N.A. | 34,493 |
BRL | 5,821,000 | USD | 1,139,005 | 05/23/23 | JPMorgan Chase Bank N.A. | (791 ) |
BRL | 11,216,000 | USD | 2,136,381 | 04/03/23 | Morgan Stanley Capital Services, Inc. | 75,739 |
BRL | 5,089,000 | USD | 965,635 | 04/04/23 | UBS AG | 38,063 |
CAD | 5,625,072 | USD | 4,211,802 | 04/18/23 | JPMorgan Chase Bank N.A. | (54,501 ) |
CAD | 764,600 | USD | 554,677 | 05/15/23 | JPMorgan Chase Bank N.A. | 10,651 |
CAD | 944,900 | USD | 689,292 | 05/15/23 | Morgan Stanley and Co. International Plc | 9,346 |
CAD | 1,263,000 | USD | 918,963 | 05/15/23 | State Street Bank London | 14,872 |
CHF | 1,584,700 | USD | 1,715,728 | 05/15/23 | Morgan Stanley and Co. International Plc | 26,604 |
CLP | 1,724,779,893 | USD | 2,131,990 | 05/15/23 | Bank of America, N.A. | 39,479 |
CLP | 493,290,000 | USD | 595,344 | 05/15/23 | Goldman Sachs International | 25,700 |
CLP | 2,220,193,200 | USD | 2,714,339 | 05/16/23 | JPMorgan Chase Bank N.A. | 80,546 |
CLP | 1,284,637,900 | USD | 1,584,155 | 05/22/23 | JPMorgan Chase Bank N.A. | 31,964 |
CLP | 772,508,300 | USD | 953,275 | 05/15/23 | Morgan Stanley and Co. International Plc | 19,299 |
CLP | 1,788,125,000 | USD | 2,166,768 | 04/03/23 | Morgan Stanley Capital Services, Inc. | 94,935 |
CNH | 16,457,113 | USD | 2,376,245 | 05/15/23 | HSBC Bank Plc | 27,992 |
CNH | 12,688,600 | USD | 1,879,013 | 05/15/23 | JPMorgan Chase Bank N.A. | (25,322 ) |
CNH | 20,452,600 | USD | 2,983,431 | 05/15/23 | JPMorgan Chase Bank N.A. | 4,511 |
CNH | 55,730,200 | USD | 8,134,959 | 06/05/23 | JPMorgan Chase Bank N.A. | 20,720 |
CNH | 715,000 | USD | 104,709 | 06/12/23 | JPMorgan Chase Bank N.A. | (14 ) |
CNY | 2,960,000 | USD | 426,053 | 04/18/23 | JPMorgan Chase Bank N.A. | 5,200 |
CNY | 6,043,000 | USD | 882,154 | 05/15/23 | State Street Bank London | 281 |
COP | 4,336,967,976 | USD | 888,847 | 05/15/23 | Barclays Bank Plc | 33,997 |
COP | 6,472,706,400 | USD | 1,381,154 | 05/15/23 | Barclays Bank Plc | (3,855 ) |
COP | 1,247,000,000 | USD | 265,066 | 05/15/23 | Citibank N.A. | 278 |
COP | 351,792,024 | USD | 72,079 | 05/15/23 | Goldman Sachs International | 2,778 |
COP | 3,953,187,000 | USD | 848,471 | 04/20/23 | JPMorgan Chase Bank N.A. | (2,703 ) |
COP | 10,401,947,000 | USD | 2,162,117 | 04/03/23 | Morgan Stanley Capital Services, Inc. | 70,391 |
CZK | 91,133,300 | USD | 4,054,482 | 06/06/23 | JPMorgan Chase Bank N.A. | 149,397 |
CZK | 3,907,000 | USD | 180,314 | 06/06/23 | JPMorgan Chase Bank N.A. | (88 ) |
CZK | 110,816,648 | USD | 4,947,669 | 05/15/23 | Morgan Stanley and Co. International Plc | 169,681 |
CZK | 8,590,000 | USD | 378,058 | 05/15/23 | State Street Bank London | 18,616 |
CZK | 3,930,000 | USD | 174,735 | 05/15/23 | UBS AG | 6,746 |
EGP | 84,676,200 | USD | 2,720,214 | 04/27/23 | Bank of America, N.A. | (86,060 ) |
EUR | 1,750,000 | USD | 1,879,710 | 04/18/23 | Bank of America, N.A. | 23,055 |
EUR | 2,100,000 | USD | 2,239,305 | 05/15/23 | Bank of America, N.A. | 47,524 |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
EUR | 487,000 | USD | 530,927 | 04/03/23 | Barclays Bank Plc | $(1,826 ) |
EUR | 359,000 | USD | 391,303 | 04/03/23 | BNP Paribas S.A. | (1,267 ) |
EUR | 2,910,000 | USD | 3,115,784 | 04/18/23 | BNP Paribas S.A. | 48,241 |
EUR | 811,000 | USD | 869,800 | 04/03/23 | Citibank N.A. | 11,311 |
EUR | 1,063,000 | USD | 1,159,435 | 04/03/23 | Citibank N.A. | (4,539 ) |
EUR | 7,693,300 | USD | 8,257,437 | 05/15/23 | HSBC Bank Plc | 120,306 |
EUR | 17,550,000 | USD | 19,194,965 | 05/15/23 | HSBC Bank Plc | (83,607 ) |
EUR | 3,975,000 | USD | 4,337,321 | 04/27/23 | HSBC Bank USA, N.A. | (13,126 ) |
EUR | 7,217,700 | USD | 7,867,255 | 05/15/23 | JPMorgan Chase Bank N.A. | (7,423 ) |
GBP | 1,020,000 | USD | 1,214,761 | 04/18/23 | Goldman Sachs & Co. | 46,783 |
GBP | 3,370,000 | USD | 4,014,016 | 04/18/23 | Morgan Stanley Capital Services, Inc. | 154,026 |
GBP | 591,000 | USD | 730,890 | 04/03/23 | Standard Chartered Bank | (148 ) |
GBP | 631,800 | USD | 774,535 | 05/15/23 | State Street Bank London | 7,312 |
HUF | 236,997,184 | USD | 666,273 | 05/15/23 | Citibank N.A. | 1,723 |
HUF | 56,633,782 | USD | 152,489 | 05/15/23 | HSBC Bank Plc | 7,138 |
HUF | 497,490,300 | USD | 1,305,714 | 04/17/23 | JPMorgan Chase Bank N.A. | 109,142 |
HUF | 3,793,090,334 | USD | 10,371,725 | 05/15/23 | JPMorgan Chase Bank N.A. | 319,412 |
HUF | 793,408,400 | USD | 2,172,627 | 05/24/23 | JPMorgan Chase Bank N.A. | 57,472 |
HUF | 186,564,000 | USD | 524,800 | 05/24/23 | JPMorgan Chase Bank N.A. | (409 ) |
HUF | 1,397,007,838 | USD | 3,820,488 | 05/15/23 | Toronto Dominion Bank | 117,094 |
HUF | 197,470,000 | USD | 516,697 | 05/15/23 | UBS AG | 39,888 |
IDR | 59,389,000,000 | USD | 3,860,175 | 04/18/23 | JPMorgan Chase Bank N.A. | 98,963 |
IDR | 43,185,935,641 | USD | 2,866,070 | 04/19/23 | JPMorgan Chase Bank N.A. | 12,824 |
IDR | 5,868,507,300 | USD | 384,392 | 05/02/23 | JPMorgan Chase Bank N.A. | 6,686 |
IDR | 6,428,410,000 | USD | 428,504 | 05/02/23 | JPMorgan Chase Bank N.A. | (113 ) |
IDR | 28,834,790,000 | USD | 1,875,445 | 05/15/23 | Morgan Stanley and Co. International Plc | 52,526 |
IDR | 32,761,531,000 | USD | 2,134,580 | 04/03/23 | Morgan Stanley Capital Services, Inc. | 50,323 |
IDR | 27,504,537,000 | USD | 1,812,352 | 05/15/23 | Natwest Markets Plc | 26,675 |
ILS | 3,185,000 | USD | 889,982 | 05/15/23 | JPMorgan Chase Bank N.A. | (4,314 ) |
INR | 118,690,000 | USD | 1,433,395 | 05/15/23 | HSBC Bank Plc | 7,481 |
INR | 76,198,200 | USD | 923,491 | 04/12/23 | JPMorgan Chase Bank N.A. | 3,297 |
INR | 68,722,400 | USD | 834,719 | 05/15/23 | JPMorgan Chase Bank N.A. | (441 ) |
INR | 107,780,000 | USD | 1,295,944 | 05/15/23 | JPMorgan Chase Bank N.A. | 12,487 |
JPY | 307,880,400 | USD | 2,348,237 | 05/15/23 | Bank of America, N.A. | (21,167 ) |
JPY | 992,837,021 | USD | 7,584,632 | 04/18/23 | Goldman Sachs & Co. | (109,759 ) |
JPY | 778,030,000 | USD | 5,741,336 | 04/18/23 | Goldman Sachs & Co. | 116,298 |
JPY | 387,919,900 | USD | 2,932,766 | 05/15/23 | HSBC Bank Plc | (729 ) |
JPY | 181,257,300 | USD | 1,387,836 | 05/15/23 | JPMorgan Chase Bank N.A. | (17,829 ) |
JPY | 115,870,000 | USD | 867,536 | 05/15/23 | Morgan Stanley and Co. International Plc | 8,251 |
JPY | 179,927,100 | USD | 1,370,375 | 05/15/23 | Morgan Stanley and Co. International Plc | (10,422 ) |
JPY | 1,198,003,100 | USD | 8,844,184 | 05/15/23 | Natwest Markets Plc | 210,750 |
KRW | 14,400,691,000 | USD | 11,449,164 | 05/22/23 | JPMorgan Chase Bank N.A. | (355,122 ) |
KRW | 621,599,000 | USD | 477,932 | 05/22/23 | JPMorgan Chase Bank N.A. | 937 |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
KZT | 626,660,000 | USD | 1,300,799 | 06/20/23 | JPMorgan Chase Bank N.A. | $43,265 |
MXN | 17,560,000 | USD | 917,589 | 05/15/23 | Bank of America, N.A. | 47,258 |
MXN | 117,906,503 | USD | 6,205,650 | 04/18/23 | Goldman Sachs & Co. | 306,291 |
MXN | 11,490,000 | USD | 604,700 | 05/15/23 | HSBC Bank Plc | 26,627 |
MXN | 40,155,000 | USD | 2,128,996 | 04/03/23 | HSBC Bank USA, N.A. | 94,918 |
MXN | 24,435,500 | USD | 1,288,240 | 05/15/23 | JPMorgan Chase Bank N.A. | 54,386 |
MXN | 11,810,000 | USD | 644,445 | 06/12/23 | JPMorgan Chase Bank N.A. | 988 |
MXN | 25,342,000 | USD | 1,385,176 | 06/12/23 | JPMorgan Chase Bank N.A. | (200 ) |
MXN | 17,320,000 | USD | 909,158 | 05/15/23 | State Street Bank London | 42,504 |
MYR | 3,379,960 | USD | 750,269 | 05/15/23 | Morgan Stanley and Co. International Plc | 18,833 |
NOK | 50,532,624 | USD | 5,070,909 | 04/18/23 | Morgan Stanley Capital Services, Inc. | (242,776 ) |
NZD | 2,087,600 | USD | 1,289,962 | 05/15/23 | Bank of America, N.A. | 16,207 |
NZD | 731,900 | USD | 451,875 | 05/15/23 | Deutsche Bank AG | 6,060 |
NZD | 17,941 | USD | 11,227 | 04/18/23 | JPMorgan Chase Bank N.A. | (1 ) |
NZD | 1,262,200 | USD | 789,252 | 05/15/23 | Morgan Stanley and Co. International Plc | 481 |
PEN | 621,000 | USD | 165,076 | 04/24/23 | JPMorgan Chase Bank N.A. | (211 ) |
PHP | 190,819,300 | USD | 3,418,874 | 04/17/23 | JPMorgan Chase Bank N.A. | 89,662 |
PHP | 103,562,200 | USD | 1,895,008 | 05/10/23 | JPMorgan Chase Bank N.A. | 8,135 |
PHP | 79,606,700 | USD | 1,448,501 | 05/23/23 | JPMorgan Chase Bank N.A. | 13,898 |
PHP | 111,450,100 | USD | 2,019,571 | 06/08/23 | JPMorgan Chase Bank N.A. | 26,934 |
PHP | 20,865,000 | USD | 383,689 | 06/08/23 | JPMorgan Chase Bank N.A. | (555 ) |
PHP | 58,360,000 | USD | 1,060,683 | 05/15/23 | Natwest Markets Plc | 13,098 |
PLN | 9,581,000 | USD | 2,182,410 | 04/03/23 | Barclays Bank Plc | 41,566 |
PLN | 2,010,000 | USD | 452,482 | 05/15/23 | Citibank N.A. | 12,906 |
PLN | 40,362,618 | USD | 9,075,660 | 05/15/23 | HSBC Bank Plc | 269,763 |
PLN | 32,488,750 | USD | 7,542,854 | 05/15/23 | JPMorgan Chase Bank N.A. | (20,520 ) |
PLN | 16,585,100 | USD | 3,729,643 | 05/15/23 | JPMorgan Chase Bank N.A. | 110,414 |
PLN | 1,945,700 | USD | 450,913 | 05/15/23 | Toronto Dominion Bank | (413 ) |
RON | 3,090,000 | USD | 665,061 | 05/15/23 | JPMorgan Chase Bank N.A. | 12,592 |
RON | 12,996,200 | USD | 2,791,905 | 06/06/23 | JPMorgan Chase Bank N.A. | 56,001 |
RON | 558,000 | USD | 122,372 | 06/06/23 | JPMorgan Chase Bank N.A. | (96 ) |
THB | 597,694,813 | USD | 17,260,797 | 05/15/23 | Citibank N.A. | 293,453 |
THB | 63,432,800 | USD | 1,862,657 | 05/15/23 | HSBC Bank Plc | 359 |
THB | 130,073,000 | USD | 3,916,456 | 05/15/23 | JPMorgan Chase Bank N.A. | (96,222 ) |
THB | 20,548,400 | USD | 600,747 | 05/15/23 | JPMorgan Chase Bank N.A. | 2,758 |
THB | 23,456,600 | USD | 667,804 | 05/15/23 | Morgan Stanley and Co. International Plc | 21,115 |
THB | 31,690,400 | USD | 933,994 | 05/15/23 | Morgan Stanley and Co. International Plc | (3,249 ) |
THB | 19,485,000 | USD | 569,171 | 05/15/23 | Natwest Markets Plc | 3,102 |
THB | 31,520,000 | USD | 917,084 | 05/15/23 | UBS AG | 8,656 |
TWD | 3,525,648 | USD | 116,213 | 05/15/23 | Bank of America, N.A. | (265 ) |
TWD | 28,776,352 | USD | 948,588 | 05/15/23 | JPMorgan Chase Bank N.A. | (2,219 ) |
USD | 1,095,928 | AUD | 1,550,000 | 04/18/23 | Morgan Stanley Capital Services, Inc. | 57,292 |
USD | 444,133 | BRL | 2,325,300 | 04/04/23 | Bank of America, N.A. | (14,484 ) |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 566,885 | BRL | 2,880,000 | 04/04/23 | Barclays Bank Plc | $(1,135 ) |
USD | 762,533 | BRL | 3,970,000 | 04/04/23 | Goldman Sachs International | (20,466 ) |
USD | 16,748,522 | BRL | 86,127,944 | 04/04/23 | HSBC Bank Plc | (238,402 ) |
USD | 6,335,527 | BRL | 32,800,622 | 05/03/23 | HSBC Bank Plc | (102,831 ) |
USD | 2,744,644 | BRL | 14,100,600 | 04/04/23 | JPMorgan Chase Bank N.A. | (36,404 ) |
USD | 250,465 | BRL | 1,300,000 | 04/18/23 | JPMorgan Chase Bank N.A. | (5,377 ) |
USD | 978,521 | BRL | 4,982,000 | 05/03/23 | JPMorgan Chase Bank N.A. | 616 |
USD | 3,065,967 | BRL | 16,179,100 | 05/23/23 | JPMorgan Chase Bank N.A. | (97,626 ) |
USD | 2,143,936 | BRL | 11,216,000 | 04/03/23 | Morgan Stanley Capital Services, Inc. | (68,184 ) |
USD | 1,001,693 | BRL | 5,089,000 | 04/04/23 | UBS AG | (2,005 ) |
USD | 1,340,597 | CAD | 1,834,800 | 05/15/23 | Bank of America, N.A. | (16,014 ) |
USD | 2,081,947 | CAD | 2,770,000 | 04/18/23 | JPMorgan Chase Bank N.A. | 34,733 |
USD | 1,791,482 | CAD | 2,462,700 | 05/15/23 | Natwest Markets Plc | (29,385 ) |
USD | 2,220,956 | CHF | 2,074,800 | 05/15/23 | HSBC Bank Plc | (60,228 ) |
USD | 803,843 | CHF | 730,000 | 05/15/23 | JPMorgan Chase Bank N.A. | 1,229 |
USD | 1,436,997 | CHF | 1,324,500 | 05/15/23 | Morgan Stanley and Co. International Plc | (19,253 ) |
USD | 780,283 | CLP | 622,744,200 | 05/15/23 | Bank of America, N.A. | (3,741 ) |
USD | 619,123 | CLP | 496,305,800 | 05/15/23 | Barclays Bank Plc | (5,717 ) |
USD | 1,360,797 | CLP | 1,107,589,600 | 05/15/23 | Deutsche Bank AG | (33,639 ) |
USD | 453,479 | CLP | 366,647,000 | 05/15/23 | Morgan Stanley and Co. International Plc | (8,123 ) |
USD | 303,800 | CLP | 240,837,800 | 05/15/23 | Morgan Stanley and Co. International Plc | 590 |
USD | 2,189,720 | CLP | 1,788,125,000 | 04/03/23 | Morgan Stanley Capital Services, Inc. | (71,983 ) |
USD | 1,906,543 | CNH | 13,050,000 | 04/18/23 | JPMorgan Chase Bank N.A. | 4,130 |
USD | 1,435,831 | CNH | 9,650,400 | 05/15/23 | JPMorgan Chase Bank N.A. | 25,995 |
USD | 601,909 | CNH | 4,175,600 | 05/15/23 | JPMorgan Chase Bank N.A. | (8,109 ) |
USD | 6,147,327 | CNH | 42,197,100 | 06/12/23 | JPMorgan Chase Bank N.A. | (31,461 ) |
USD | 431,518 | CNY | 2,960,000 | 04/18/23 | JPMorgan Chase Bank N.A. | 266 |
USD | 719,730 | COP | 3,411,519,100 | 05/15/23 | Bank of America, N.A. | (6,193 ) |
USD | 1,310,528 | COP | 6,295,380,000 | 05/15/23 | Barclays Bank Plc | (29,039 ) |
USD | 378,258 | COP | 1,768,620,000 | 05/15/23 | Citibank N.A. | 1,921 |
USD | 366,205 | COP | 1,749,590,000 | 05/15/23 | Deutsche Bank AG | (6,082 ) |
USD | 1,528,926 | COP | 7,267,445,900 | 04/20/23 | JPMorgan Chase Bank N.A. | (25,914 ) |
USD | 662,275 | COP | 3,190,716,900 | 05/15/23 | JPMorgan Chase Bank N.A. | (16,663 ) |
USD | 4,763,517 | COP | 22,828,204,495 | 05/15/23 | Morgan Stanley and Co. International Plc | (93,997 ) |
USD | 1,118,809 | COP | 5,222,655,100 | 05/15/23 | Morgan Stanley and Co. International Plc | 7,503 |
USD | 2,123,713 | COP | 10,401,947,000 | 04/03/23 | Morgan Stanley Capital Services, Inc. | (108,795 ) |
USD | 918,368 | CZK | 20,261,500 | 05/15/23 | Citibank N.A. | (17,278 ) |
USD | 611,042 | CZK | 13,237,300 | 05/15/23 | JPMorgan Chase Bank N.A. | (237 ) |
USD | 1,694,505 | CZK | 37,593,500 | 05/15/23 | Morgan Stanley and Co. International Plc | (41,508 ) |
USD | 175,477 | EGP | 5,594,200 | 04/27/23 | Morgan Stanley and Co. International Plc | 1,449 |
USD | 284,508 | EUR | 266,000 | 04/05/23 | Bank of America, N.A. | (4,503 ) |
USD | 1,276,647 | EUR | 1,199,000 | 04/21/23 | Bank of America, N.A. | (27,240 ) |
USD | 926,779 | EUR | 860,000 | 04/28/23 | Bank of America, N.A. | (8,823 ) |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 790,926 | EUR | 735,000 | 05/15/23 | Bank of America, N.A. | $(9,464 ) |
USD | 8,554,935 | EUR | 7,825,700 | 05/15/23 | Bank of America, N.A. | 33,013 |
USD | 516,351 | EUR | 487,000 | 04/03/23 | Barclays Bank Plc | (12,751 ) |
USD | 258,855 | EUR | 245,000 | 04/18/23 | Barclays Bank Plc | (7,532 ) |
USD | 338,159 | EUR | 310,000 | 04/27/23 | Barclays Bank Plc | 926 |
USD | 286,653 | EUR | 266,000 | 04/28/23 | Barclays Bank Plc | (2,731 ) |
USD | 531,819 | EUR | 487,000 | 05/03/23 | Barclays Bank Plc | 1,857 |
USD | 387,330 | EUR | 359,000 | 04/03/23 | BNP Paribas S.A. | (2,706 ) |
USD | 5,073,548 | EUR | 4,703,942 | 04/18/23 | BNP Paribas S.A. | (41,020 ) |
USD | 2,375,175 | EUR | 2,203,000 | 04/28/23 | BNP Paribas S.A. | (21,489 ) |
USD | 391,955 | EUR | 359,000 | 05/03/23 | BNP Paribas S.A. | 1,285 |
USD | 2,052,975 | EUR | 1,920,000 | 06/02/23 | BNP Paribas S.A. | (40,003 ) |
USD | 1,996,107 | EUR | 1,874,000 | 04/03/23 | Citibank N.A. | (39,900 ) |
USD | 2,531,917 | EUR | 2,349,000 | 04/28/23 | Citibank N.A. | (23,583 ) |
USD | 1,161,377 | EUR | 1,063,000 | 05/03/23 | Citibank N.A. | 4,602 |
USD | 711,061 | EUR | 660,000 | 04/28/23 | Commonwealth Bank of Australia | (6,959 ) |
USD | 1,157,247 | EUR | 1,072,000 | 04/24/23 | Deutsche Bank AG | (8,728 ) |
USD | 226,950 | EUR | 210,000 | 05/15/23 | Deutsche Bank AG | (1,733 ) |
USD | 192,783 | EUR | 179,000 | 04/28/23 | Goldman Sachs & Co. | (1,953 ) |
USD | 8,210,782 | EUR | 7,601,700 | 05/15/23 | HSBC Bank Plc | (67,214 ) |
USD | 1,863,134 | EUR | 1,708,000 | 05/15/23 | HSBC Bank Plc | 3,179 |
USD | 1,418,005 | EUR | 1,300,000 | 04/28/23 | HSBC Bank USA, N.A. | 3,723 |
USD | 9,098,270 | EUR | 8,420,490 | 05/15/23 | JPMorgan Chase Bank N.A. | (71,359 ) |
USD | 121,895 | EUR | 114,000 | 04/05/23 | Morgan Stanley Capital Services, Inc. | (1,967 ) |
USD | 550,761 | EUR | 505,000 | 04/27/23 | Morgan Stanley Capital Services, Inc. | 1,397 |
USD | 927,295 | EUR | 860,000 | 04/28/23 | Morgan Stanley Capital Services, Inc. | (8,307 ) |
USD | 918,131 | EUR | 850,000 | 04/24/23 | Standard Chartered Bank | (6,383 ) |
USD | 82,920 | EUR | 77,000 | 04/28/23 | Standard Chartered Bank | (849 ) |
USD | 788,754 | EUR | 732,000 | 04/28/23 | State Street Bank and Trust | (7,596 ) |
USD | 644,138 | EUR | 605,000 | 04/21/23 | UBS AG | (13,787 ) |
USD | 1,620,788 | EUR | 1,500,000 | 04/24/23 | UBS AG | (10,707 ) |
USD | 678,439 | GBP | 554,000 | 04/24/23 | Bank of America, N.A. | (6,837 ) |
USD | 685,558 | GBP | 560,000 | 04/24/23 | BNP Paribas S.A. | (7,141 ) |
USD | 924,733 | GBP | 758,000 | 05/15/23 | JPMorgan Chase Bank N.A. | (13,286 ) |
USD | 1,429,659 | GBP | 1,162,600 | 05/15/23 | Morgan Stanley and Co. International Plc | (9,049 ) |
USD | 12,835,849 | GBP | 10,529,928 | 04/18/23 | Morgan Stanley Capital Services, Inc. | (187,647 ) |
USD | 711,071 | GBP | 591,000 | 04/03/23 | Standard Chartered Bank | (19,671 ) |
USD | 569,219 | GBP | 460,000 | 05/03/23 | Standard Chartered Bank | 111 |
USD | 489,895 | HUF | 183,728,100 | 05/15/23 | Bank of America, N.A. | (27,958 ) |
USD | 1,436,306 | HUF | 519,918,600 | 05/15/23 | Citibank N.A. | (29,127 ) |
USD | 569,363 | HUF | 202,480,000 | 05/15/23 | Goldman Sachs International | (1,344 ) |
USD | 669,273 | HUF | 243,663,200 | 05/15/23 | HSBC Bank Plc | (17,511 ) |
USD | 137,497 | HUF | 50,594,600 | 04/17/23 | JPMorgan Chase Bank N.A. | (6,394 ) |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 5,423,910 | HUF | 2,024,209,600 | 05/15/23 | JPMorgan Chase Bank N.A. | $(281,490 ) |
USD | 108,482 | HUF | 39,288,900 | 05/24/23 | JPMorgan Chase Bank N.A. | (1,950 ) |
USD | 878,318 | HUF | 319,562,900 | 05/15/23 | Morgan Stanley and Co. International Plc | (22,396 ) |
USD | 464,206 | HUF | 170,762,700 | 05/15/23 | UBS AG | (17,103 ) |
USD | 490,732 | IDR | 7,385,963,200 | 05/15/23 | Barclays Bank Plc | (3,113 ) |
USD | 442,817 | IDR | 6,832,662,936 | 05/15/23 | Deutsche Bank AG | (14,033 ) |
USD | 4,896,535 | IDR | 76,514,472,712 | 04/18/23 | JPMorgan Chase Bank N.A. | (204,264 ) |
USD | 2,792,856 | IDR | 43,185,935,641 | 04/19/23 | JPMorgan Chase Bank N.A. | (86,037 ) |
USD | 6,131,309 | IDR | 94,268,869,900 | 04/28/23 | JPMorgan Chase Bank N.A. | (151,439 ) |
USD | 6,342,003 | IDR | 96,591,487,600 | 05/02/23 | JPMorgan Chase Bank N.A. | (94,867 ) |
USD | 2,864,454 | IDR | 43,185,935,641 | 05/19/23 | JPMorgan Chase Bank N.A. | (12,078 ) |
USD | 2,638,664 | IDR | 40,291,449,081 | 05/15/23 | Morgan Stanley and Co. International Plc | (55,329 ) |
USD | 2,147,171 | IDR | 32,761,531,000 | 04/03/23 | Morgan Stanley Capital Services, Inc. | (37,732 ) |
USD | 876,440 | INR | 72,204,900 | 05/15/23 | Citibank N.A. | (115 ) |
USD | 2,653,523 | INR | 218,345,114 | 05/15/23 | Deutsche Bank AG | 2,851 |
USD | 1,865,153 | INR | 153,769,700 | 05/15/23 | JPMorgan Chase Bank N.A. | (1,584 ) |
USD | 897,133 | JPY | 117,620,000 | 05/15/23 | Barclays Bank Plc | 8,119 |
USD | 1,845,250 | JPY | 243,494,000 | 05/15/23 | Deutsche Bank AG | 4,836 |
USD | 7,582,851 | JPY | 997,770,000 | 04/18/23 | Goldman Sachs & Co. | 70,837 |
USD | 3,604,083 | JPY | 482,350,000 | 04/18/23 | Goldman Sachs & Co. | (27,435 ) |
USD | 3,577,388 | JPY | 463,326,600 | 05/15/23 | HSBC Bank Plc | 75,401 |
USD | 2,301,723 | JPY | 290,750,000 | 04/18/23 | JPMorgan Chase Bank N.A. | 112,724 |
USD | 1,669,070 | JPY | 221,510,000 | 05/15/23 | JPMorgan Chase Bank N.A. | (5,181 ) |
USD | 1,588,354 | JPY | 208,600,000 | 05/15/23 | JPMorgan Chase Bank N.A. | 11,680 |
USD | 872,099 | JPY | 115,590,000 | 05/15/23 | Morgan Stanley and Co. International Plc | (1,571 ) |
USD | 1,197,571 | MXN | 23,370,000 | 04/18/23 | Bank of America, N.A. | (93,147 ) |
USD | 1,546,716 | MXN | 29,820,000 | 04/18/23 | Goldman Sachs & Co. | (100,233 ) |
USD | 3,105,522 | MXN | 57,983,600 | 05/15/23 | HSBC Bank Plc | (80,433 ) |
USD | 2,195,783 | MXN | 40,155,000 | 04/03/23 | HSBC Bank USA, N.A. | (28,132 ) |
USD | 6,270,223 | MXN | 113,946,003 | 05/15/23 | JPMorgan Chase Bank N.A. | 9,371 |
USD | 904,837 | MXN | 17,060,000 | 05/15/23 | JPMorgan Chase Bank N.A. | (32,538 ) |
USD | 2,595,435 | MXN | 48,102,400 | 06/12/23 | JPMorgan Chase Bank N.A. | (33,430 ) |
USD | 393,090 | MXN | 7,330,000 | 05/15/23 | Morgan Stanley and Co. International Plc | (9,663 ) |
USD | 873,668 | MXN | 16,172,900 | 05/15/23 | State Street Bank London | (14,964 ) |
USD | 246,848 | MYR | 1,088,600 | 05/15/23 | Barclays Bank Plc | (860 ) |
USD | 177,432 | MYR | 780,700 | 05/15/23 | Morgan Stanley and Co. International Plc | (215 ) |
USD | 1,300,206 | NZD | 2,094,000 | 05/15/23 | Bank of America, N.A. | (9,967 ) |
USD | 1,847,929 | NZD | 2,987,900 | 05/15/23 | Morgan Stanley and Co. International Plc | (21,540 ) |
USD | 456,229 | PEN | 1,726,600 | 05/15/23 | Bank of America, N.A. | (1,517 ) |
USD | 1,331,020 | PEN | 5,036,900 | 05/15/23 | Deutsche Bank AG | (4,335 ) |
USD | 481,075 | PEN | 1,809,800 | 05/15/23 | Goldman Sachs International | 1,271 |
USD | 546,515 | PEN | 2,074,900 | 04/14/23 | JPMorgan Chase Bank N.A. | (4,748 ) |
USD | 2,680,311 | PEN | 10,169,100 | 04/24/23 | JPMorgan Chase Bank N.A. | (19,409 ) |
Schedule of Investments (Continued)
March 31, 2023
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 1,312,414 | PEN | 4,993,080 | 05/15/23 | JPMorgan Chase Bank N.A. | $(11,323 ) |
USD | 951,233 | PHP | 51,756,600 | 05/15/23 | Bank of America, N.A. | (1,050 ) |
USD | 342,389 | PHP | 18,577,366 | 05/15/23 | Citibank N.A. | 580 |
USD | 1,204,581 | PHP | 66,700,060 | 05/15/23 | Deutsche Bank AG | (22,650 ) |
USD | 485,083 | PHP | 26,824,600 | 05/15/23 | JPMorgan Chase Bank N.A. | (8,470 ) |
USD | 608,371 | PHP | 33,105,100 | 05/15/23 | Morgan Stanley and Co. International Plc | (738 ) |
USD | 135,806 | PHP | 7,366,933 | 05/15/23 | UBS AG | 259 |
USD | 2,177,550 | PLN | 9,581,000 | 04/03/23 | Barclays Bank Plc | (46,427 ) |
USD | 922,512 | PLN | 4,030,000 | 05/15/23 | Citibank N.A. | (10,580 ) |
USD | 551,536 | PLN | 2,420,000 | 05/15/23 | Goldman Sachs International | (8,783 ) |
USD | 14,378,358 | PLN | 63,966,800 | 05/15/23 | JPMorgan Chase Bank N.A. | (432,297 ) |
USD | 752,870 | PLN | 3,241,600 | 05/15/23 | JPMorgan Chase Bank N.A. | 2,321 |
USD | 183,124 | PLN | 800,000 | 05/15/23 | Morgan Stanley and Co. International Plc | (2,105 ) |
USD | 314,423 | PLN | 1,400,000 | 05/15/23 | State Street Bank London | (9,728 ) |
USD | 1,399,401 | PLN | 6,019,900 | 05/15/23 | UBS AG | 5,574 |
USD | 3,224,828 | RON | 15,017,700 | 05/15/23 | Goldman Sachs International | (68,629 ) |
USD | 1,512,577 | RON | 6,961,800 | 05/15/23 | UBS AG | (14,181 ) |
USD | 1,316,315 | THB | 45,750,200 | 05/15/23 | HSBC Bank Plc | (27,365 ) |
USD | 74,069 | THB | 2,404,000 | 05/15/23 | JPMorgan Chase Bank N.A. | 3,464 |
USD | 290,402 | THB | 10,005,900 | 05/15/23 | JPMorgan Chase Bank N.A. | (3,471 ) |
USD | 3,054,789 | THB | 104,580,700 | 06/13/23 | JPMorgan Chase Bank N.A. | (25,126 ) |
USD | 1,651,186 | THB | 56,999,900 | 05/15/23 | Morgan Stanley and Co. International Plc | (22,898 ) |
USD | 1,178,777 | TWD | 35,840,000 | 05/15/23 | Deutsche Bank AG | 106 |
USD | 644,180 | TWD | 19,752,100 | 05/15/23 | Deutsche Bank AG | (5,408 ) |
USD | 422,219 | ZAR | 7,678,900 | 05/15/23 | HSBC Bank Plc | (9,021 ) |
USD | 2,011,515 | ZAR | 36,790,000 | 05/15/23 | JPMorgan Chase Bank N.A. | (54,575 ) |
USD | 7,325,262 | ZAR | 131,766,667 | 05/22/23 | JPMorgan Chase Bank N.A. | (70,186 ) |
USD | 4,958,639 | ZAR | 91,033,600 | 06/12/23 | JPMorgan Chase Bank N.A. | (141,502 ) |
USD | 3,644,511 | ZAR | 67,604,883 | 05/15/23 | Morgan Stanley and Co. International Plc | (152,114 ) |
USD | 375,605 | ZAR | 6,815,100 | 05/15/23 | State Street Bank London | (7,124 ) |
USD | 737,631 | ZAR | 13,570,000 | 05/15/23 | Toronto Dominion Bank | (24,447 ) |
USD | 2,034,802 | ZAR | 37,069,000 | 04/03/23 | UBS AG | (54,475 ) |
USD | 414,070 | ZAR | 7,539,200 | 05/15/23 | UBS AG | (9,324 ) |
ZAR | 9,410,000 | USD | 510,005 | 05/15/23 | HSBC Bank Plc | 18,451 |
ZAR | 3,629,500 | USD | 201,846 | 05/22/23 | JPMorgan Chase Bank N.A. | 1,861 |
ZAR | 3,612,000 | USD | 196,470 | 06/12/23 | JPMorgan Chase Bank N.A. | 5,892 |
ZAR | 7,439,000 | USD | 416,888 | 06/12/23 | JPMorgan Chase Bank N.A. | (119 ) |
ZAR | 12,530,000 | USD | 679,497 | 05/15/23 | State Street Bank London | 24,175 |
ZAR | 8,410,000 | USD | 454,512 | 05/15/23 | Toronto Dominion Bank | 17,785 |
ZAR | 37,069,000 | USD | 2,001,890 | 04/03/23 | UBS AG | 87,387 |
$(847,221 ) |
Schedule of Investments (Continued)
March 31, 2023
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
31 | 10-Year Australian Bond Futures | Jun 2023 | $2,551,400 | $82,045 |
34 | 3-Month SONIA | Sep 2023 | 10,031,103 | (33,411 ) |
58 | 3-Month SONIA | Mar 2024 | 17,124,431 | (95,383 ) |
93 | 3-Month SONIA | Dec 2023 | 27,425,080 | (20,871 ) |
33 | Long Gilt Futures | Jun 2023 | 4,216,975 | 118,124 |
75 | SOFR 90-Day | Mar 2025 | 18,164,062 | 47,155 |
16 | U.S. Long Bond | Jun 2023 | 2,098,500 | 94,816 |
597 | U.S. Treasury Note 10-Year | Jun 2023 | 68,608,359 | 1,642,605 |
451 | U.S. Treasury Note 2-Year | Jun 2023 | 93,110,360 | 876,143 |
81 | U.S. Ultra 10-Year | Jun 2023 | 9,812,391 | 325,125 |
398 | U.S. Ultra Bond | Jun 2023 | 56,167,750 | 1,842,463 |
$4,878,811 | ||||
Sales | ||||
32 | SOFR 90-Day | Sep 2023 | $7,610,000 | $27,233 |
329 | SOFR 90-Day | Mar 2024 | 78,713,250 | 307,875 |
16 | U.S. Treasury Note 10-Year | Jun 2023 | 1,838,750 | 28,372 |
48 | U.S. Treasury Note 5-Year | Jun 2023 | 5,256,375 | (8,263 ) |
23 | U.S. Ultra 10-Year | Jun 2023 | 2,786,234 | (13,175 ) |
$342,042 |
Type of Contract | Counterparty | Notional Value | Premiums Received | Value at March 31, 2023 | |
PUT— USD/EUR Option Strike @ EUR 1.12 Expires 05/31/2023 | BNP Paribas S.A. | USD | (9,020,000 ) | $(43,370 ) | $(30,271 ) |
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at March 31, 2023 |
CALL — U.S. Treasury Note 5-Year Strike @ $112.00 Expires 05/26/2023 | Morgan Stanley & Co. | 61,000 | $(6,679,977 ) | $(74,785 ) | $(23,352 ) |
PUT— S&P 500 E-mini Futures Option Strike @ $3,300.00 Expires 05/19/2023 | JPMorgan Chase Bank N.A. | 800 | (3,310,200 ) | (20,416 ) | (3,600 ) |
Schedule of Investments (Continued)
March 31, 2023
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at March 31, 2023 |
PUT— S&P 500 E-mini Futures Option Strike @ $3,500.00 Expires 05/19/2023 | JPMorgan Chase Bank N.A. | 1,100 | $(4,551,525 ) | $(28,554 ) | $(9,075 ) |
PUT— S&P 500 E-mini Futures Option Strike @ $3,200.00 Expires 06/16/2023 | JPMorgan Chase Bank N.A. | 1,050 | (4,344,638 ) | (29,493 ) | (8,925 ) |
PUT— S&P 500 E-mini Futures Option Strike @ $3,500.00 Expires 06/16/2023 | JPMorgan Chase Bank N.A. | 1,000 | (4,137,750 ) | (31,958 ) | (18,500 ) |
Total Written Futures Options | $(185,206 ) | $(63,452 ) | |||
Total Written Options | $(228,576 ) | $(93,723 ) |
Payments Received by Fund | Payment Frequency | Payments Made by Fund | Payment Frequency | Maturity Date | Counterparty | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |
8.97% | Monthly | 1-Month TIIE | Monthly | 03/01/30 | UBS CME | $— | MXN | (93,573,000) | $149,848 | $149,848 |
11.99% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (2,070,994) | (647) | (647) |
12.34% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | HSBC Sec. New York | — | BRL | (5,981,518) | 9,901 | 9,901 |
12.41% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (6,477,775) | 12,516 | 12,516 |
12.51% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Goldman Sachs & Co. | — | BRL | (5,745,974) | 13,565 | 13,565 |
12.64% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Bank of America, N.A. | — | BRL | (5,297,719) | 14,621 | 14,621 |
12.74% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | — | BRL | (3,360,353) | 7,445 | 7,445 |
12.78% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (7,055,245) | 23,917 | 23,917 |
12.97% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Bank of America, N.A. | — | BRL | (5,879,143) | 25,016 | 25,016 |
$0 | $256,182 | $256,182 |
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) | |
7.20% | Monthly | 1-Month TIIE | Monthly | 07/17/24 | $— | MXN | 116,734,200 | $(294,023 ) | $(294,023 ) |
8.88% | Monthly | 1-Month TIIE | Monthly | 03/15/28 | 5 | MXN | 10,708,183 | 7,584 | 7,579 |
9.29% | Monthly | 1-Month TIIE | Monthly | 02/17/28 | 12 | MXN | 23,052,759 | 36,621 | 36,609 |
4.34% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 7 | CZK | 13,938,490 | (5,929 ) | (5,936 ) |
4.39% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 10 | CZK | 20,234,576 | (6,512 ) | (6,522 ) |
4.43% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 11 | CZK | 22,351,894 | (5,242 ) | (5,253 ) |
4.77% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 24 | CZK | 46,857,498 | 20,974 | 20,950 |
4.80% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 13 | CZK | 26,288,963 | 13,368 | 13,355 |
4.88% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 9 | CZK | 18,261,885 | 12,252 | 12,243 |
4.94% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 9 | CZK | 17,311,147 | 13,723 | 13,714 |
4.96% | Annual | 6-Month PRIBOR | Semi-Annual | 09/20/28 | 10 | CZK | 20,097,274 | 16,748 | 16,738 |
Schedule of Investments (Continued)
March 31, 2023
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) | |
6-Month WIBOR | Semi-Annual | 6.76% | Annual | 03/15/28 | $6 | PLN | 2,684,400 | $(32,170 ) | $(32,176 ) |
6-Month WIBOR | Semi-Annual | 7.08% | Annual | 03/15/28 | 2 | PLN | 1,036,294 | (15,675 ) | (15,677 ) |
7-Day CNRR | Quarterly | 2.48% | Quarterly | 03/15/28 | 5 | CNY | 3,094,073 | 6,755 | 6,750 |
7-Day CNRR | Quarterly | 2.92% | Quarterly | 03/15/28 | 22 | CNY | 13,220,554 | (10,118 ) | (10,140 ) |
7-Day CNRR | Quarterly | 2.94% | Quarterly | 03/15/28 | 22 | CNY | 13,189,149 | (12,136 ) | (12,158 ) |
SOFR | Annual | 2.51% | Annual | 02/15/48 | 31,755 | USD | 1,747,000 | 166,045 | 134,290 |
SOFR | Annual | 2.62% | Annual | 02/15/48 | (116 ) | USD | 594,000 | 45,234 | 45,350 |
SOFR | Annual | 2.65% | Annual | 08/15/47 | 59,195 | USD | 4,982,000 | 358,122 | 298,927 |
SOFR | Annual | 2.94% | Annual | 01/19/53 | — | USD | 5,240,000 | 26,121 | 26,121 |
SOFR | Annual | 3.05% | Annual | 02/15/48 | 68,527 | USD | 2,223,000 | 5,090 | (63,437 ) |
SOFR | Annual | 3.25% | Annual | 09/30/29 | 2,582 | USD | 5,905,000 | 7,583 | 5,001 |
3.25% | Annual | SOFR | Annual | 12/31/29 | (25,245 ) | USD | 6,222,000 | 22,974 | 48,219 |
3.35% | Annual | SOFR | Annual | 01/19/28 | — | USD | 22,515,000 | (54,591 ) | (54,591 ) |
3.40% | Annual | SOFR | Annual | 12/31/29 | (385 ) | USD | 1,823,000 | 22,484 | 22,869 |
SOFR | Annual | 3.85% | Annual | 06/30/29 | 7,458 | USD | 5,950,000 | (186,911 ) | (194,369 ) |
2.52% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/28 | 28 | THB | 92,838,269 | 45,895 | 45,867 |
2.64% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 5 | THB | 9,169,411 | 3,723 | 3,718 |
2.84% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 66 | THB | 131,410,959 | 120,639 | 120,573 |
2.84% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 6 | THB | 11,427,040 | 10,581 | 10,575 |
3.27% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 03/15/33 | 9 | THB | 18,689,901 | 38,586 | 38,577 |
$233,743 |
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value |
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | (1.00%) | Quarterly | Daimler AG, 1.40%, 01/12/24 | $10,372 | $(19,195 ) | $(8,823 ) |
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value |
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+) | $(3,883 ) | $9,254 | $5,371 |
Total OTC Credit Default Swaps | $6,489 | $(9,941 ) | $(3,452 ) |
Schedule of Investments (Continued)
March 31, 2023
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value |
3,058,400 | USD | 06/20/28 | (5.00%) | Quarterly | CDX.NA.HY.40** | $(51,541 ) | $9,271 | $(42,270 ) |
1,380,000 | USD | 06/20/26 | (5.00%) | Quarterly | General Motors Co. | 116,309 | (264,657 ) | (148,348 ) |
Total Buy Protection | $64,768 | $(255,386 ) | $(190,618 ) |
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. | $(90,069 ) | $196,911 | $106,842 |
Total Centrally Cleared Credit Default Swaps | $(25,301 ) | $(58,475 ) | $(83,776 ) |
* | 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.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. |
Schedule of Investments (Continued)
March 31, 2023
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 |
HUF | — | Hungarian Forint |
IDR | — | Indonesian Rupiah |
ILS | — | Israel Shekel |
INR | — | Indian Rupee |
JPY | — | Japanese Yen |
KRW | — | South Korean Won |
KZT | — | Kazakhstani Tenge |
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 |
TWD | — | Taiwan Dollar |
USD | — | U.S. Dollar |
UYU | — | Uruguayan Peso |
ZAR | — | South African Rand |
Schedule of Investments (Continued)
March 31, 2023
Abbreviations | ||
CDI | — | CREST Depository Interest |
CLO | — | Collateralized Loan Obligation |
CMO | — | Collateralized Mortgage Obligation |
CMT | — | Constant Maturity Treasury Index |
CNRR | — | China Fixing Repo Rates |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FNMA | — | Federal National Mortgage Association |
GDN | — | Global Depository Note |
ICE | — | Intercontinental Exchange |
LIBOR | — | London Interbank Offered Rate |
MTN | — | Medium Term Note |
PIK | — | Payment In Kind |
PRIBOR | — | Prague Interbank Offered Rate |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average |
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 |
Schedule of Investments (Continued)
March 31, 2023
Asset Class Summary (Unaudited) | % of Net Assets |
Sovereign Debt Obligations | 32.6 |
Corporate Debt | 32.2 |
Bank Loans | 11.1 |
Asset Backed Securities | 6.3 |
Mortgage Backed Securities - Private Issuers | 5.3 |
Convertible Debt | 0.8 |
Futures Contracts | 0.4 |
U.S. Government and Agency Obligations | 0.4 |
Convertible Preferred Stocks | 0.3 |
Mortgage Backed Securities - U.S. Government Agency Obligations | 0.0* |
OTC Interest Rate Swaps | 0.0* |
Purchased Futures Options | 0.0* |
Centrally Cleared Interest Rate Swaps | 0.0* |
Purchased Currency Options | 0.0* |
Common Stocks | 0.0* |
OTC Credit Default Swaps | 0.0* |
Centrally Cleared Credit Default Swaps | 0.0* |
Written Currency Option | 0.0* |
Written Futures Options | 0.0* |
Forward Foreign Currency Contracts | (0.1) |
Short-Term Investment | 3.2 |
Other Assets and Liabilities (net) | 7.5 |
100.0% |
* | Amount rounds to zero. |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
COMMON STOCKS — 94.3% | |||
Brazil — 6.7% | |||
1,094,300 | Ambev SA* | 3,092,810 | |
3,032,100 | B3 SA - Brasil Bolsa Balcao | 6,189,485 | |
1,422,979 | Banco Bradesco SA* | 3,325,734 | |
1,346,800 | Banco BTG Pactual S.A | 5,219,589 | |
1,080,200 | Banco do Brasil SA | 8,332,256 | |
602,900 | BB Seguridade Participacoes SA | 3,865,742 | |
1,190,000 | Cielo SA* | 1,138,307 | |
7,271,450 | Dexco SA* | 8,432,745 | |
2,111,200 | Locaweb Servicos de Internet SA* | 1,994,507 | |
12,219 | MercadoLibre, Inc.* | 16,105,375 | |
208,200 | Petro Rio SA* | 1,280,757 | |
2,437,233 | Raia Drogasil SA | 11,752,940 | |
995,900 | Rumo SA | 3,702,522 | |
98,100 | Suzano SA | 804,883 | |
2,158,500 | TIM SA | 5,355,541 | |
1,022,100 | TOTVS SA* | 5,676,709 | |
221,500 | Vale SA | 3,507,566 | |
1,940,600 | WEG SA | 15,520,207 | |
105,297,675 | |||
Canada — 0.7% | |||
72,780 | Franco-Nevada Corp. | 10,611,324 | |
Chile — 0.4% | |||
18,139,800 | Banco de Chile | 1,771,281 | |
270,461 | Cia Cervecerias Unidas SA, ADR(a) | 4,227,306 | |
5,998,587 | |||
China — 31.9% | |||
5,343,200 | Agricultural Bank of China, Ltd. Class H | 1,980,284 | |
210,969 | AIMA Technology Group Co., Ltd. Class A | 2,200,542 | |
1,898,000 | Air China, Ltd. Class H *(a) | 1,702,156 | |
135,000 | Airtac International Group | 5,298,944 | |
2,279,091 | Alibaba Group Holding, Ltd.* | 28,984,630 | |
92,800 | Alibaba Group Holding, Ltd., ADR* | 9,482,304 | |
1,034,077 | Anhui Guangxin Agrochemical Co., Ltd. Class A | 4,966,453 | |
2,881 | Baidu, Inc., ADR* | 434,801 | |
952,450 | Baidu, Inc. Class A * | 18,058,268 | |
19,007,000 | Bank of China, Ltd. Class H | 7,275,304 | |
1,627,400 | Bank of Jiangsu Co., Ltd. Class A | 1,666,224 | |
128,600 | Beijing United Information Technology Co., Ltd. Class A | 1,555,755 | |
122,646 | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A | 2,070,036 | |
13,093 | Bilibili, Inc., ADR* | 307,685 | |
86,260 | Bilibili, Inc. Class Z * | 2,025,047 | |
2,512,000 | BOC Hong Kong Holdings, Ltd. | 7,806,719 | |
6,871,000 | China Construction Bank Corp. Class H | 4,444,500 | |
5,096,800 | China International Capital Corp., Ltd. Class H (a) | 10,283,621 | |
148,600 | China Literature, Ltd.*(a) | 759,288 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
China — continued | |||
1,300,000 | China Meidong Auto Holdings, Ltd. | 2,817,182 | |
663,000 | China Mengniu Dairy Co., Ltd.* | 2,718,899 | |
2,243,500 | China Merchants Bank Co., Ltd. Class H | 11,430,932 | |
774,000 | China Pacific Insurance Group Co., Ltd. Class H | 2,068,544 | |
20,979,000 | China Petroleum & Chemical Corp. Class H | 12,363,215 | |
822,000 | China Resources Beer Holdings Co., Ltd. | 6,618,689 | |
226,000 | China Resources Land, Ltd. | 1,035,617 | |
146,000 | China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 1,221,282 | |
734,195 | China Shenhua Energy Co., Ltd. Class H | 2,315,595 | |
383,596 | China Tourism Group Duty Free Corp., Ltd. Class A | 10,300,644 | |
430,000 | China Yuhua Education Corp., Ltd.*(a) | 72,306 | |
71,896 | Chongqing Brewery Co., Ltd. Class A | 1,313,059 | |
99,900 | Cloud Music, Inc.* | 844,943 | |
139,836 | Contemporary Amperex Technology Co., Ltd. Class A | 8,328,964 | |
3,198,000 | CSPC Pharmaceutical Group, Ltd. | 3,141,597 | |
508,399 | East Money Information Co., Ltd. Class A | 1,491,071 | |
567,100 | ENN Energy Holdings, Ltd. | 7,746,615 | |
777,200 | ENN Natural Gas Co., Ltd. Class A | 2,360,576 | |
4,562,700 | Focus Media Information Technology Co., Ltd. Class A | 4,582,276 | |
643,516 | Foshan Haitian Flavouring & Food Co., Ltd. Class A | 7,167,233 | |
367,200 | Fuyao Glass Industry Group Co., Ltd. Class H | 1,594,574 | |
35,600 | Gongniu Group Co., Ltd. Class A | 819,101 | |
53,000 | GoodWe Technologies Co., Ltd. Class A | 2,247,267 | |
2,257,400 | Haier Smart Home Co., Ltd. Class H | 7,079,152 | |
92,560 | Hangzhou First Applied Material Co., Ltd. Class A | 792,404 | |
551,500 | Hangzhou Tigermed Consulting Co., Ltd. Class H | 5,195,637 | |
439,142 | Han's Laser Technology Industry Group Co., Ltd. Class A | 1,946,708 | |
792,400 | Henan Shenhuo Coal & Power Co., Ltd. Class A | 2,051,286 | |
397,360 | Hongfa Technology Co., Ltd. Class A | 1,891,180 | |
453,500 | Hualan Biological Engineering, Inc. Class A | 1,442,519 | |
284,000 | Hundsun Technologies, Inc. Class A | 2,207,044 | |
140,000 | Hygeia Healthcare Holdings Co., Ltd.*(a) | 1,000,874 | |
3,506,500 | Industrial & Commercial Bank of China, Ltd. Class H | 1,866,809 | |
719,569 | JD.com, Inc. Class A | 15,770,458 | |
46,454 | JinkoSolar Holding Co., Ltd., ADR*(a) | 2,370,083 | |
134,853 | KE Holdings, Inc., ADR* | 2,540,631 | |
1,095,000 | Kingnet Network Co., Ltd. Class A * | 1,931,109 | |
377,400 | Kingsoft Corp., Ltd. | 1,850,652 | |
57,213 | Kweichow Moutai Co., Ltd. Class A | 15,123,903 | |
43,347 | Leader Harmonious Drive Systems Co., Ltd. Class A | 683,219 | |
666,000 | Longfor Group Holdings, Ltd. | 1,875,022 | |
491,912 | LONGi Green Energy Technology Co., Ltd. Class A | 2,899,099 | |
56,700 | Luzhou Laojiao Co., Ltd. Class A | 2,097,516 | |
558,680 | Meituan Class B * | 10,147,587 | |
864,500 | Midea Group Co., Ltd. Class A | 6,788,439 | |
107,554 | MINISO Group Holding, Ltd., ADR | 1,908,008 | |
398,012 | NARI Technology Co., Ltd. Class A | 1,572,519 | |
224,500 | NetEase, Inc. | 3,968,048 | |
2,446,000 | Netjoy Holdings, Ltd.(a) | 339,502 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
China — continued | |||
11,410,000 | Nexteer Automotive Group, Ltd. | 7,240,156 | |
21,300 | Ningbo Deye Technology Co., Ltd. Class A | 800,590 | |
70,056 | PDD Holdings, Inc., ADR* | 5,317,250 | |
3,282,000 | People's Insurance Co. Group of China, Ltd. (The) Class H | 1,098,795 | |
8,892,600 | PetroChina Co., Ltd. Class H | 5,275,147 | |
10,414,400 | PICC Property & Casualty Co., Ltd. Class H | 10,637,840 | |
159,690 | Ping An Insurance Group Co. of China, Ltd. Class A | 1,056,595 | |
1,671,500 | Ping An Insurance Group Co. of China, Ltd. Class H | 10,833,523 | |
52,152 | Pylon Technologies Co., Ltd. Class A | 1,873,543 | |
989,600 | Sany Heavy Industry Co., Ltd. Class A | 2,468,216 | |
713,250 | Shandong Gold Mining Co., Ltd. Class H (a) | 1,446,932 | |
817,996 | Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 4,201,399 | |
389,000 | Shandong Sinocera Functional Material Co., Ltd. Class A | 1,607,785 | |
4,790,800 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 7,686,834 | |
37,562 | Shanghai Friendess Electronic Technology Corp., Ltd. Class A | 1,001,534 | |
168,700 | Shanghai Moons' Electric Co., Ltd. Class A | 1,039,556 | |
840,392 | Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 2,680,056 | |
389,800 | Shenzhen Inovance Technology Co., Ltd. Class A | 3,994,548 | |
59,500 | Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 2,711,760 | |
275,900 | Shenzhou International Group Holdings, Ltd. | 2,881,247 | |
1,477,693 | Sichuan Road and Bridge Group Co., Ltd. Class A | 2,972,958 | |
84,000 | Silergy Corp. | 1,348,659 | |
418,387 | Sinoseal Holding Co., Ltd. Class A | 2,634,093 | |
396,000 | Sunac China Holdings, Ltd.*(a) | 231,044 | |
131,200 | Sunny Optical Technology Group Co., Ltd. | 1,594,050 | |
93,997 | Suzhou Maxwell Technologies Co., Ltd. Class A | 4,180,112 | |
92,533 | Suzhou Nanomicro Technology Co., Ltd. Class A | 674,863 | |
1,039,200 | Tencent Holdings, Ltd. | 50,778,467 | |
599,517 | Tencent Music Entertainment Group, ADR* | 4,964,001 | |
141,975 | Thunder Software Technology Co., Ltd. Class A | 2,243,476 | |
50,093 | Tianqi Lithium Corp. Class A * | 553,802 | |
4,554,000 | Tingyi Cayman Islands Holding Corp. | 7,609,945 | |
188,300 | Tofflon Science & Technology Group Co., Ltd. Class A | 740,004 | |
499,200 | Tongcheng Travel Holdings, Ltd.* | 1,091,302 | |
303,300 | Tongwei Co., Ltd. Class A | 1,725,172 | |
228,800 | Vipshop Holdings, Ltd., ADR* | 3,473,184 | |
5,056,000 | Weichai Power Co., Ltd. Class H | 8,154,547 | |
71,200 | Wuliangye Yibin Co., Ltd. Class A | 2,035,799 | |
270,000 | Wuxi Biologics Cayman, Inc.* | 1,670,012 | |
824,911 | Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 4,885,382 | |
462,323 | Yadea Group Holdings, Ltd. | 1,187,434 | |
40,939 | Yankershop Food Co., Ltd. Class A | 803,602 | |
63,200 | YongXing Special Materials Technology Co., Ltd. Class A | 774,223 | |
111,531 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 4,627,349 | |
129,000 | Zhejiang Dingli Machinery Co., Ltd. Class A | 1,029,720 | |
290,120 | Zhejiang Huayou Cobalt Co., Ltd. Class A | 2,334,398 | |
219,800 | Zhejiang Jiecang Linear Motion Technology Co., Ltd. Class A | 789,126 | |
231,100 | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 2,202,702 | |
700,228 | Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 2,633,055 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
China — continued | |||
3,229,000 | Zijin Mining Group Co., Ltd. Class H | 5,385,741 | |
504,423,678 | |||
Greece — 0.4% | |||
379,577 | OPAP SA | 6,109,771 | |
Hong Kong — 2.7% | |||
342,600 | AIA Group, Ltd. | 3,599,806 | |
705,900 | ASMPT, Ltd. | 6,987,413 | |
188,000 | Chow Sang Sang Holdings International, Ltd. | 262,652 | |
4,540,000 | Hang Lung Properties, Ltd. | 8,511,139 | |
30,600 | Hong Kong Exchanges & Clearing, Ltd. | 1,358,165 | |
1,680,500 | Hongkong Land Holdings, Ltd. | 7,400,942 | |
15,494,000 | Sino Biopharmaceutical, Ltd. | 8,661,403 | |
1,732,000 | Vinda International Holdings, Ltd. | 4,185,869 | |
1,054,000 | Vitasoy International Holdings, Ltd. | 2,128,200 | |
43,095,589 | |||
Hungary — 0.3% | |||
191,776 | OTP Bank Nyrt | 5,470,608 | |
India — 11.5% | |||
62,735 | Asian Paints, Ltd. | 2,115,661 | |
928,033 | Axis Bank, Ltd. | 9,694,928 | |
114,024 | Bajaj Auto, Ltd. | 5,385,522 | |
61,225 | Bajaj Finance, Ltd. | 4,194,847 | |
3,204,900 | Bharat Electronics, Ltd. | 3,806,945 | |
69,493 | Britannia Industries, Ltd. | 3,660,818 | |
302,000 | Canara Bank | 1,044,496 | |
1,493,170 | Cipla, Ltd. | 16,369,977 | |
263,932 | Colgate-Palmolive India, Ltd. | 4,852,268 | |
222,300 | Coromandel International, Ltd. | 2,369,888 | |
157,707 | Havells India, Ltd. | 2,287,993 | |
641,965 | HCL Technologies, Ltd. | 8,517,507 | |
491,854 | HDFC Bank, Ltd. | 9,666,556 | |
823,750 | Housing Development Finance Corp., Ltd. | 26,339,445 | |
735,400 | ICICI Bank, Ltd. | 7,883,445 | |
562,342 | IndusInd Bank, Ltd. | 7,326,187 | |
475,222 | Infosys, Ltd. | 8,284,833 | |
334,002 | Infosys, Ltd., ADR | 5,824,995 | |
225,657 | InterGlobe Aviation, Ltd.* | 5,264,271 | |
444,500 | ITC, Ltd. | 2,074,195 | |
335,972 | Kotak Mahindra Bank, Ltd. | 7,091,952 | |
322,391 | Reliance Industries, Ltd. | 9,164,050 | |
1,148,900 | State Bank of India | 7,330,207 | |
352,171 | Syngene International, Ltd. | 2,538,671 | |
347,582 | Tata Consultancy Services, Ltd. | 13,605,257 | |
520,437 | UPL, Ltd. | 4,548,734 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
India — continued | |||
243,044 | Yes Bank, Ltd.* | 44,322 | |
181,287,970 | |||
Indonesia — 2.4% | |||
4,624,000 | Adaro Energy Indonesia Tbk PT | 896,067 | |
18,569,300 | Astra International Tbk PT | 7,454,452 | |
29,745,100 | Bank Central Asia Tbk PT | 17,380,064 | |
5,229,800 | Bank Mandiri Persero Tbk PT | 3,595,530 | |
28,367,599 | Bank Rakyat Indonesia Persero Tbk PT | 8,963,135 | |
38,289,248 | |||
Italy — 0.8% | |||
390,290 | Coca-Cola HBC AG* | 10,701,097 | |
308,700 | Prada SpA | 2,198,587 | |
12,899,684 | |||
Japan — 0.5% | |||
329,900 | Nexon Co., Ltd. | 7,857,929 | |
Macau — 1.0% | |||
2,230,000 | Galaxy Entertainment Group, Ltd.* | 14,824,108 | |
454,800 | Sands China, Ltd.* | 1,587,357 | |
16,411,465 | |||
Malaysia — 0.4% | |||
1,142,996 | CIMB Group Holdings Bhd | 1,376,746 | |
3,286,500 | Petronas Chemicals Group Bhd | 5,278,802 | |
6,655,548 | |||
Mexico — 5.1% | |||
309,671 | Credito Real SAB de CV SOFOM ER* | 6,003 | |
4,348,400 | Fibra Uno Administracion SA de CV REIT | 6,076,104 | |
183,286 | Fomento Economico Mexicano SAB de CV, ADR | 17,446,994 | |
643,180 | Gruma SAB de CV Class B | 9,509,133 | |
355,400 | Grupo Aeroportuario del Pacifico SAB de CV Class B (a) | 6,919,238 | |
1,312,900 | Grupo Financiero Banorte SAB de CV Class O | 11,031,967 | |
5,964,300 | Kimberly-Clark de Mexico SAB de CV Class A | 12,548,945 | |
162,906 | Unifin Financiera SAB de CV*(a) | 10,827 | |
4,123,200 | Wal-Mart de Mexico SAB de CV(a) | 16,441,648 | |
79,990,859 | |||
Netherlands — 1.0% | |||
181,241 | Heineken Holding NV | 16,678,263 | |
Peru — 0.3% | |||
34,384 | Credicorp, Ltd. | 4,552,098 | |
Philippines — 1.3% | |||
12,181,900 | Ayala Land, Inc. | 5,947,435 | |
3,765,820 | BDO Unibank, Inc. | 8,937,204 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Philippines — continued | |||
2,264,280 | Universal Robina Corp. | 6,003,227 | |
20,887,866 | |||
Poland — 0.4% | |||
69,871 | Dino Polska SA* | 6,344,056 | |
Portugal — 0.5% | |||
309,011 | Jeronimo Martins SGPS SA | 7,259,637 | |
Russia — 0.1% | |||
214,920 | Evraz Plc*(b)(c)(d) | 5,315 | |
7,610 | Gazprom Neft PJSC(b)(c)(d) | 392 | |
1,043,282 | Gazprom PJSC(b)(c)(d) | 31,151 | |
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 Class A *(b)(c)(d) | 2,962 | |
136,755 | LUKOIL PJSC(b)(c)(d) | 87,650 | |
8,543 | Magnit PJSC*(b)(c)(d) | 3,408 | |
4 | Magnit PJSC, ADR*(b)(c)(d)(e) | 0 | |
984,659 | Magnitogorsk Iron & Steel Works PJSC*(b)(c)(d) | 6,127 | |
16,459 | MMC Norilsk Nickel PJSC(b)(c)(d) | 42,365 | |
9 | MMC Norilsk Nickel PJSC, ADR*(b)(c) | 2 | |
126,700 | Mobile Telesystems PJSC, ADR*(b)(c)(d) | 7,602 | |
154,250 | Novatek PJSC(b)(c)(d) | 24,418 | |
1,715,500 | Novolipetsk Steel PJSC*(b)(c)(d) | 41,397 | |
5,323 | PhosAgro PJSC(b)(c)(d) | 3,525 | |
103 | PhosAgro PJSC, ADR*(b)(c)(d) | 19 | |
2 | PhosAgro PJSC, GDR*(b)(c)(d)(e) | 0 | |
443,510 | Polymetal International Plc* | 1,249,436 | |
25,062 | Polyus PJSC*(b)(c)(d) | 35,880 | |
4,954 | Ros Agro Plc, GDR*(b)(c)(d)(e) | 495 | |
5,496,180 | Sberbank of Russia PJSC*(b)(c)(d) | 91,957 | |
105,511 | Severstal PAO, ADR*(b)(c)(d)(e) | 16,882 | |
25,625,090 | Surgutneftegas PJSC(b)(c)(d) | 72,555 | |
598,704 | Tatneft PJSC(b)(c)(d) | 28,356 | |
16,391 | TCS Group Holding Plc, GDR*(b)(c)(d)(e) | 7,012 | |
8,773 | TCS Group Holding Plc (London Exchange), GDR*(b)(c)(d)(e) | 3,158 | |
47,122 | X5 Retail Group NV, GDR*(b)(c)(d)(e) | 5,655 | |
1,772,434 | |||
Saudi Arabia — 0.2% | |||
436,140 | Saudi Arabian Oil Co. | 3,757,086 | |
Singapore — 0.4% | |||
3,330,200 | Singapore Telecommunications, Ltd. | 6,176,804 | |
South Africa — 2.9% | |||
261,900 | Absa Group, Ltd. | 2,688,101 | |
76,000 | Bid Corp., Ltd.(a) | 1,707,436 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
South Africa — continued | |||
63,453 | Capitec Bank Holdings, Ltd. | 6,043,700 | |
630,166 | Clicks Group, Ltd. | 9,133,435 | |
705,300 | FirstRand, Ltd.(a) | 2,403,373 | |
449,008 | Gold Fields, Ltd. | 5,983,633 | |
10,763,106 | Growthpoint Properties, Ltd. REIT | 7,907,285 | |
131,559 | Lewis Group, Ltd. | 303,796 | |
150,400 | Nedbank Group, Ltd. | 1,838,656 | |
171,100 | Standard Bank Group, Ltd. | 1,666,844 | |
801,938 | Vodacom Group, Ltd. | 5,518,549 | |
45,194,808 | |||
South Korea — 7.1% | |||
55,085 | Amorepacific Corp.(a) | 5,791,682 | |
568 | Celltrion, Inc. | 65,812 | |
29,232 | Ecopro BM Co., Ltd. | 5,101,162 | |
120,700 | Hana Financial Group, Inc. | 3,795,487 | |
156,207 | Hankook Tire & Technology Co., Ltd. | 4,199,780 | |
69,531 | HL Mando Co., Ltd. | 2,467,710 | |
6,500 | Hyundai Mobis Co., Ltd. | 1,084,293 | |
44,700 | JYP Entertainment Corp. | 2,670,237 | |
66,300 | KB Financial Group, Inc. | 2,435,197 | |
215,801 | Korea Investment Holdings Co., Ltd. | 9,186,650 | |
10,900 | L&F Co., Ltd. | 2,662,340 | |
13,180 | LG H&H Co., Ltd. | 6,102,035 | |
4,000 | NCSoft Corp. | 1,150,366 | |
32,664 | POSCO Holdings, Inc. | 9,312,377 | |
381,003 | Samsung Electronics Co., Ltd. | 18,893,296 | |
300 | Samsung Electronics Co., Ltd., GDR(e) | 368,550 | |
3,105 | Samsung Electronics Co., Ltd. (London Exchange), GDR(e) | 3,838,387 | |
70,900 | Samsung Engineering Co., Ltd.* | 1,737,311 | |
8,056 | Samsung SDI Co., Ltd. | 4,591,447 | |
371,709 | Shinhan Financial Group Co., Ltd.(a) | 10,121,321 | |
203,620 | SK Hynix, Inc. | 14,043,848 | |
18,000 | SM Entertainment Co., Ltd.(a) | 1,294,956 | |
118,800 | Woori Financial Group, Inc. | 1,047,039 | |
111,961,283 | |||
Taiwan — 11.9% | |||
223,500 | Accton Technology Corp. | 2,365,365 | |
960,003 | Advantech Co., Ltd. | 11,778,636 | |
449,100 | Asia Vital Components Co., Ltd. | 2,092,779 | |
20,000 | ASPEED Technology, Inc. | 1,732,672 | |
1,222,000 | Bizlink Holding, Inc. | 11,254,756 | |
5,419,135 | Cathay Financial Holding Co., Ltd. | 7,472,198 | |
612,103 | Chailease Holding Co., Ltd. | 4,528,856 | |
510,300 | Delta Electronics, Inc. | 5,068,520 | |
3,976,470 | E.Sun Financial Holding Co., Ltd. | 3,310,100 | |
37,000 | eMemory Technology, Inc. | 2,288,843 | |
2,151,202 | Fubon Financial Holding Co., Ltd. | 4,013,796 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Taiwan — continued | |||
124,700 | Global Unichip Corp. | 4,503,950 | |
516,000 | Gold Circuit Electronics, Ltd. | 1,658,276 | |
970,000 | Hiwin Technologies Corp. | 7,991,351 | |
86,000 | Largan Precision Co., Ltd. | 6,183,349 | |
143,242 | Lotes Co., Ltd. | 4,320,977 | |
271,000 | Lotus Pharmaceutical Co., Ltd.* | 2,245,822 | |
741,619 | MediaTek, Inc. | 19,358,896 | |
140,000 | Novatek Microelectronics Corp. | 1,992,067 | |
2,839,000 | Pegatron Corp. | 6,526,283 | |
7,692 | Pharmally International Holding Co., Ltd.*(b)(c) | — | |
636,998 | President Chain Store Corp. | 5,667,727 | |
1,881,424 | Taiwan Semiconductor Manufacturing Co., Ltd. | 33,331,066 | |
369,461 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 34,367,262 | |
1,533,351 | Uni-President Enterprises Corp. | 3,632,209 | |
187,685,756 | |||
Thailand — 1.9% | |||
581,000 | Bangkok Bank PCL Class F | 2,574,105 | |
5,263,500 | Bangkok Dusit Medical Services PCL Class F | 4,540,817 | |
3,306,700 | PTT Exploration & Production PCL Class F | 14,553,542 | |
601,700 | SCB X PCL Class F | 1,803,604 | |
15,560,100 | Thai Beverage PCL | 7,382,653 | |
30,854,721 | |||
Turkey — 0.7% | |||
306,300 | BIM Birlesik Magazalar AS | 2,366,118 | |
137,554 | Ford Otomotiv Sanayi AS | 4,176,451 | |
1,130,930 | KOC Holding AS | 4,488,207 | |
11,030,776 | |||
United Kingdom — 0.5% | |||
151,558 | Unilever Plc | 7,870,036 | |
United States — 0.3% | |||
28,513 | Globant SA* | 4,676,417 | |
TOTAL COMMON STOCKS (COST $1,605,742,828) | 1,491,101,976 | ||
PREFERRED STOCKS — 0.9% | |||
Brazil — 0.9% | |||
2,066,000 | Banco Bradesco SA, 7.64% | 5,366,446 | |
2,977,601 | Cia Energetica de Minas Gerais, 12.61% | 6,718,358 | |
352,100 | Itau Unibanco Holding SA, 5.12% | 1,718,052 | |
13,802,856 | |||
TOTAL PREFERRED STOCKS (COST $13,216,550) | 13,802,856 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
WARRANT — 0.0% | |||
China — 0.0% | |||
55,894 | Ningbo Yongxin Optics Co., Ltd., Expires 03/14/24*(c) | 705,136 | |
TOTAL WARRANT (COST $821,526) | 705,136 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 1.3% | |||
Mutual Fund - Securities Lending Collateral — 1.3% | |||
21,409,984 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(f)(g) | 21,409,984 | |
TOTAL SHORT-TERM INVESTMENT (COST $21,409,984) | 21,409,984 | ||
TOTAL INVESTMENTS — 96.5% (Cost $1,641,190,888) | 1,527,019,952 | ||
Other Assets and Liabilities (net) — 3.5% | 54,731,999 | ||
NET ASSETS — 100.0% | $1,581,751,951 |
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 are fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,228,134 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2023 was $86,403,581. |
(d) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at year end is $522,996 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2023 was $85,540,823. |
(e) | 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. |
(f) | The rate disclosed is the 7-day net yield as of March 31, 2023. |
(g) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buy | ||||
909 | MSCI Emerging Markets E-mini Index | Jun 2023 | $45,245,475 | $1,462,974 |
Schedule of Investments (Continued)
March 31, 2023
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
REIT | — | Real Estate Investment Trust |
Schedule of Investments (Continued)
March 31, 2023
Industry Sector Summary (Unaudited) | % of Net Assets |
Financial | 22.9 |
Consumer, Non-cyclical | 16.3 |
Technology | 15.0 |
Communications | 12.7 |
Consumer, Cyclical | 10.5 |
Industrial | 7.7 |
Basic Materials | 4.5 |
Energy | 4.2 |
Utilities | 1.1 |
Diversified | 0.3 |
Short-Term Investment | 1.3 |
Other Assets and Liabilities (net) | 3.5 |
100.0% |
Schedule of Investments
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
COMMON STOCKS — 95.6% | |||
Australia — 1.4% | |||
122,322 | ANZ Group Holdings Ltd. | 1,887,941 | |
22,038 | BlueScope Steel, Ltd. | 299,200 | |
233,796 | Brambles, Ltd. | 2,108,712 | |
78,954 | Lottery Corp., Ltd. (The) | 271,723 | |
130,352 | Newcrest Mining, Ltd. | 2,338,233 | |
17,473 | Orica, Ltd. | 180,915 | |
631,645 | Perseus Mining, Ltd. | 1,003,011 | |
14,067 | PWR Holdings, Ltd. | 94,442 | |
27,146 | Rio Tinto Plc | 1,844,075 | |
5,957 | Rio Tinto Plc, ADR(a) | 408,650 | |
228,927 | Sonic Healthcare, Ltd. | 5,361,462 | |
169,212 | Telstra Group, Ltd. | 478,932 | |
16,277,296 | |||
Austria — 0.0% | |||
14,180 | Telekom Austria AG Class A * | 107,015 | |
Belgium — 0.0% | |||
187 | Deme Group NV* | 23,969 | |
1,469 | Tessenderlo Group SA* | 46,045 | |
70,014 | |||
Bermuda — 0.2% | |||
12,473 | RenaissanceRe Holdings, Ltd. | 2,498,841 | |
Brazil — 0.1% | |||
35,240 | Yara International ASA | 1,533,794 | |
Burkina Faso — 0.0% | |||
15,319 | Endeavour Mining Plc | 377,793 | |
Canada — 3.6% | |||
64,800 | Atco, Ltd. Class I | 2,074,213 | |
43,253 | BCE, Inc.(a) | 1,937,302 | |
146,461 | Canadian Pacific Railway, Ltd. | 11,268,709 | |
67,500 | Canadian Utilities, Ltd. Class A (a) | 1,878,339 | |
541 | E-L Financial Corp., Ltd.(a) | 362,976 | |
78,300 | Empire Co., Ltd. Class A | 2,096,139 | |
6,100 | Evertz Technologies, Ltd. | 49,806 | |
200 | Franco-Nevada Corp. | 29,132 | |
23,300 | George Weston, Ltd. | 3,083,482 | |
70,100 | Great-West Lifeco, Inc.(a) | 1,855,383 | |
21,900 | Loblaw Cos., Ltd. | 1,993,145 | |
12,100 | Metro, Inc. | 664,657 | |
12,700 | National Bank of Canada | 907,163 | |
51,700 | North West Co., Inc. (The) | 1,443,635 | |
70,400 | Power Corp. of Canada(a) | 1,796,738 | |
12,900 | Royal Bank of Canada | 1,231,998 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Canada — continued | |||
60,600 | SSR Mining, Inc.(a) | 916,272 | |
67,600 | Stella-Jones, Inc. | 2,586,917 | |
33,100 | Sun Life Financial, Inc. | 1,544,267 | |
19,900 | TMX Group, Ltd. | 2,007,130 | |
41,000 | Winpak, Ltd. | 1,300,573 | |
41,027,976 | |||
China — 0.7% | |||
2,331,162 | CITIC Telecom International Holdings, Ltd. | 948,819 | |
151,000 | Kerry Logistics Network, Ltd. | 235,460 | |
74,202 | NetEase, Inc., ADR(a) | 6,562,425 | |
7,746,704 | |||
Denmark — 0.6% | |||
314 | AP Moller - Maersk AS Class B | 570,101 | |
10,210 | Carlsberg AS Class B | 1,581,619 | |
4,532 | Genmab AS* | 1,714,468 | |
15,392 | Novo Nordisk AS Class B | 2,447,156 | |
8,933 | Spar Nord Bank AS | 141,114 | |
1,148 | Sparekassen Sjaelland-Fyn AS | 30,647 | |
6,485,105 | |||
Finland — 0.3% | |||
5,989 | Elisa OYJ | 361,590 | |
48,702 | Kemira OYJ | 858,057 | |
90,159 | Nordea Bank Abp(a) | 963,097 | |
675 | Orion OYJ Class A | 31,200 | |
15,009 | Orion OYJ Class B | 672,328 | |
9,317 | TietoEVRY OYJ | 292,916 | |
3,179,188 | |||
France — 4.5% | |||
18,224 | Air Liquide SA | 3,058,545 | |
78,832 | Airbus SE | 10,579,819 | |
9,271 | Arkema SA | 918,650 | |
1,035 | Boiron SA | 44,656 | |
54 | Christian Dior SE | 48,370 | |
4,479 | Danone SA | 278,952 | |
1,590 | Dassault Aviation SA | 315,508 | |
1,541 | Dassault Systemes SE | 63,758 | |
3,675 | Eiffage SA | 398,534 | |
805 | Hermes International | 1,633,549 | |
2,642 | Interparfums SA | 199,360 | |
4,394 | IPSOS | 272,748 | |
26,632 | Legrand SA | 2,440,392 | |
3,852 | L'Oreal SA | 1,726,491 | |
208,037 | Orange SA | 2,476,376 | |
88,362 | Safran SA | 13,145,856 | |
304 | Savencia SA | 20,323 | |
4,673 | Societe BIC SA | 295,204 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
France — continued | |||
214 | Societe LDC SA | 26,244 | |
1,108 | Stef SA | 126,408 | |
3,380 | Thales SA | 500,596 | |
540 | Vetoquinol SA | 51,996 | |
1,167 | Vilmorin & Cie SA | 55,223 | |
107,500 | Vinci SA | 12,357,754 | |
2,151 | Wendel SE | 228,233 | |
51,263,545 | |||
Georgia — 0.2% | |||
55,445 | Bank of Georgia Group Plc | 1,884,334 | |
Germany — 1.5% | |||
90,278 | Beiersdorf AG | 11,765,752 | |
11,483 | Deutsche Boerse AG | 2,238,857 | |
76,055 | Deutsche Telekom AG | 1,845,433 | |
7,861 | GEA Group AG | 358,354 | |
2,128 | McKesson Europe AG | 56,019 | |
1,776 | Merck KGaA | 330,788 | |
1,489 | Wuestenrot & Wuerttembergische AG | 26,099 | |
16,621,302 | |||
Hong Kong — 0.8% | |||
104,251 | Bank of East Asia, Ltd. (The) | 132,930 | |
352,136 | Dah Sing Banking Group, Ltd. | 270,250 | |
342,000 | Emperor International Holdings, Ltd. | 28,004 | |
580,500 | HK Electric Investments & HK Electric Investments, Ltd. | 363,853 | |
1,620,000 | HKT Trust & HKT, Ltd. | 2,156,727 | |
16,000 | Hong Kong Ferry Holdings Co., Ltd. | 14,478 | |
249,000 | Langham Hospitality Investments and Langham Hospitality Investments, Ltd. | 33,314 | |
12,000 | Miramar Hotel & Investment(a) | 18,248 | |
3,525,000 | PCCW, Ltd. | 1,762,412 | |
406,000 | Power Assets Holdings, Ltd. | 2,175,460 | |
300,000 | Regal Hotels International Holdings, Ltd.* | 119,151 | |
219,000 | Regal Real Estate Investment Trust REIT(a) | 32,764 | |
110,855 | SmarTone Telecommunications Holdings, Ltd. | 71,093 | |
58,000 | Transport International Holdings, Ltd. | 78,228 | |
230,163 | VTech Holdings, Ltd. | 1,377,914 | |
3,000 | Wing On Co. International, Ltd. | 5,159 | |
8,639,985 | |||
Israel — 1.0% | |||
145,989 | Bank Hapoalim BM | 1,214,166 | |
48,659 | Bank Leumi Le-Israel BM | 367,527 | |
61,299 | Check Point Software Technologies, Ltd.* | 7,968,870 | |
27,984 | First International Bank Of Israel, Ltd. (The) | 988,896 | |
3 | Isracard, Ltd. | 12 | |
628,126 | Isramco Negev 2, LP* | 220,415 | |
1,737 | Nice, Ltd., ADR*(a) | 397,582 | |
17,263 | Radware, Ltd.* | 371,845 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Israel — continued | |||
1,234 | Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 73,213 | |
8,176 | Strauss Group, Ltd.* | 184,586 | |
11,787,112 | |||
Italy — 0.0% | |||
9,851 | Eni SpA(a) | 138,239 | |
16,100 | Ferretti SpA | 46,965 | |
50,666 | Snam SpA | 269,426 | |
454,630 | |||
Japan — 4.3% | |||
11,000 | Amano Corp. | 207,182 | |
50,700 | Arcs Co., Ltd.(a) | 857,368 | |
57,800 | Autobacs Seven Co., Ltd.(a) | 628,490 | |
7,200 | Axial Retailing, Inc. | 186,380 | |
3,500 | Belc Co., Ltd. | 147,671 | |
12,600 | Calbee, Inc.(a) | 262,549 | |
12,100 | Canon Marketing Japan, Inc. | 287,705 | |
4,000 | Cawachi, Ltd.(a) | 68,900 | |
26,700 | Chugin Financial Group, Inc. | 178,984 | |
29,100 | COLOPL, Inc.(a) | 131,293 | |
30,400 | COMSYS Holdings Corp.(a) | 559,562 | |
11,900 | Doshisha Co., Ltd.(a) | 173,757 | |
24,089 | Earth Corp. | 859,715 | |
50,400 | Ezaki Glico Co., Ltd. | 1,265,110 | |
4,800 | Fujicco Co., Ltd.(a) | 66,952 | |
18,900 | Heiwado Co., Ltd. | 289,692 | |
3,700 | Hokuto Corp.(a) | 51,628 | |
43,000 | House Foods Group, Inc. | 909,775 | |
48,000 | Hyakugo Bank, Ltd. (The)(a) | 134,362 | |
18,400 | Itochu Enex Co., Ltd. | 156,499 | |
139,201 | Japan Tobacco, Inc. | 2,931,112 | |
400 | J-Oil Mills, Inc.(a) | 4,583 | |
43,855 | Kaken Pharmaceutical Co., Ltd. | 1,220,969 | |
5,500 | Kamigumi Co., Ltd. | 115,187 | |
14,200 | Kato Sangyo Co., Ltd.(a) | 376,069 | |
28,300 | Kewpie Corp. | 474,309 | |
1,900 | Komeri Co., Ltd. | 39,117 | |
64,300 | KYORIN Holdings, Inc.(a) | 825,766 | |
15,500 | Lawson, Inc. | 654,236 | |
20,300 | Lintec Corp. | 331,503 | |
2,900 | Maruichi Steel Tube, Ltd. | 63,696 | |
1,700 | McDonald's Holdings Co. Japan, Ltd. | 70,525 | |
22,300 | Megmilk Snow Brand Co., Ltd. | 296,153 | |
95,400 | MEIJI Holdings Co., Ltd.(a) | 2,263,389 | |
5,600 | Miroku Jyoho Service Co., Ltd. | 69,525 | |
82,400 | Mitsubishi Electric Corp. | 981,811 | |
26,600 | Mitsubishi Shokuhin Co., Ltd. | 652,259 | |
132,000 | Mizuho Financial Group, Inc. | 1,867,594 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Japan — continued | |||
28,800 | Mochida Pharmaceutical Co., Ltd.(a) | 725,255 | |
9,400 | Morinaga & Co., Ltd. | 265,710 | |
8,700 | Morinaga Milk Industry Co., Ltd.(a) | 311,987 | |
32,200 | Nichirei Corp. | 649,187 | |
68,100 | Nippn Corp. | 850,775 | |
17,100 | Nippon Kayaku Co., Ltd. | 154,422 | |
101 | NIPPON REIT Investment Corp. REIT | 243,373 | |
56,000 | Nippon Telegraph & Telephone Corp. | 1,668,621 | |
4,600 | Nissan Chemical Corp.(a) | 208,513 | |
7,000 | Nisshin Oillio Group, Ltd. (The) | 171,207 | |
6,300 | Nissin Foods Holdings Co., Ltd. | 574,832 | |
2,200 | Noevir Holdings Co., Ltd. | 89,383 | |
57,600 | Okinawa Cellular Telephone Co. | 1,313,478 | |
70,500 | Otsuka Holdings Co., Ltd. | 2,242,400 | |
800 | S&B Foods, Inc. | 21,225 | |
17,700 | San-A Co., Ltd.(a) | 543,823 | |
73,300 | Sankyo Co., Ltd. | 3,052,882 | |
1,500 | Sankyu, Inc. | 55,540 | |
36,500 | Secom Co., Ltd. | 2,241,274 | |
24,700 | Shinmaywa Industries, Ltd.(a) | 219,838 | |
18,159 | Showa Sangyo Co., Ltd.(a) | 346,907 | |
9,800 | SKY Perfect JSAT Holdings, Inc. | 38,206 | |
8,700 | Socionext, Inc.(a) | 642,386 | |
129,600 | Softbank Corp.(a) | 1,491,442 | |
26,000 | Sundrug Co., Ltd. | 711,541 | |
13,000 | Takara Holdings, Inc.(a) | 100,337 | |
55,000 | Takeda Pharmaceutical Co., Ltd. | 1,802,234 | |
10,900 | TBS Holdings, Inc. | 156,500 | |
134,700 | Teijin, Ltd. | 1,418,286 | |
32,400 | Toho Holdings Co., Ltd.(a) | 573,003 | |
1,611 | TOKAI Holdings Corp.(a) | 10,588 | |
32,400 | Tokuyama Corp.(a) | 514,788 | |
4,800 | Toyo Ink SC Holdings Co., Ltd. | 74,355 | |
48,600 | Trend Micro, Inc. | 2,377,079 | |
7,100 | Tsuruha Holdings, Inc. | 473,648 | |
1,500 | Tv Tokyo Holdings Corp. | 28,007 | |
35,200 | United Super Markets Holdings, Inc. | 295,120 | |
4,600 | Valor Holdings Co., Ltd.(a) | 66,784 | |
35,900 | Vital KSK Holdings, Inc. | 241,791 | |
34,800 | Yamato Holdings Co., Ltd. | 595,530 | |
5,400 | Yaoko Co., Ltd.(a) | 280,478 | |
1,300 | Zenkoku Hosho Co., Ltd.(a) | 48,913 | |
48,553,025 | |||
Netherlands — 2.0% | |||
22,486 | ASML Holding NV | 15,392,196 | |
11,224 | Flow Traders, Ltd. | 325,972 | |
49,331 | Koninklijke Ahold Delhaize NV | 1,690,423 | |
16,414 | Shell Plc | 471,112 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Netherlands — continued | |||
72,738 | Shell Plc (Amsterdam Exchange) | 2,094,746 | |
21,598 | Wolters Kluwer NV | 2,730,331 | |
22,704,780 | |||
New Zealand — 0.3% | |||
61,543 | Freightways Group, Ltd. | 364,271 | |
584 | Mainfreight, Ltd. | 25,629 | |
791,811 | Spark New Zealand, Ltd. | 2,512,554 | |
2,902,454 | |||
Norway — 0.4% | |||
3,424 | DNB Bank ASA | 61,398 | |
63,340 | Equinor ASA | 1,800,770 | |
7,744 | Kongsberg Gruppen ASA | 312,673 | |
103,425 | Orkla ASA | 734,442 | |
32,239 | SpareBank 1 SMN | 381,031 | |
12,453 | Sparebanken Vest | 109,571 | |
90,515 | Telenor ASA | 1,062,259 | |
16,762 | Veidekke ASA | 178,015 | |
4,640,159 | |||
Portugal — 0.0% | |||
8,069 | Jeronimo Martins SGPS SA | 189,566 | |
Puerto Rico — 0.1% | |||
28,000 | Popular, Inc. | 1,607,480 | |
Singapore — 0.7% | |||
13,600 | Frasers Property, Ltd. | 8,958 | |
12,000 | Great Eastern Holdings, Ltd. | 158,196 | |
44,804 | Hong Leong Finance, Ltd. | 83,933 | |
1,201,149 | NetLink NBN Trust | 777,634 | |
227,800 | Oversea-Chinese Banking Corp., Ltd. | 2,126,143 | |
11,900 | SBS Transit, Ltd. | 24,449 | |
1,888,801 | Sheng Siong Group, Ltd. | 2,404,692 | |
33,000 | Singapore Land Group, Ltd. | 54,237 | |
603,300 | Singapore Technologies Engineering, Ltd. | 1,666,202 | |
7,304,444 | |||
South Korea — 0.3% | |||
3,146 | Samsung Electronics Co., Ltd., GDR(b) | 3,889,071 | |
Spain — 0.9% | |||
55,132 | Aena SME SA* | 8,942,818 | |
60,089 | Cia de Distribucion Integral Logista Holdings SA | 1,502,387 | |
1,669 | Red Electrica Corp. SA | 29,411 | |
10,474,616 | |||
Sweden — 0.1% | |||
14,393 | Skandinaviska Enskilda Banken AB Class A * | 158,879 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
Sweden — continued | |||
29,397 | Swedish Orphan Biovitrum AB* | 685,792 | |
844,671 | |||
Switzerland — 1.0% | |||
60,510 | ABB, Ltd. | 2,078,193 | |
6,814 | Alcon, Inc. | 484,203 | |
1,348 | Banque Cantonale de Geneve | 289,225 | |
168 | Basellandschaftliche Kantonalbank | 167,061 | |
1,719 | Berner Kantonalbank AG(a) | 430,918 | |
147 | Chocoladefabriken Lindt & Spruengli AG | 1,741,802 | |
1,163 | Emmi AG | 1,170,648 | |
15 | Graubuendner Kantonalbank | 28,823 | |
402 | Huber + Suhner AG | 34,539 | |
98 | Luzerner Kantonalbank AG | 43,400 | |
30,837 | Novartis AG | 2,835,325 | |
4,729 | Sonova Holding AG | 1,396,641 | |
213 | St. Galler Kantonalbank AG | 114,828 | |
726 | Swiss Prime Site AG | 60,533 | |
430 | Thurgauer Kantonalbank | 56,023 | |
208 | TX Group AG | 24,370 | |
10 | Warteck Invest AG | 22,550 | |
10,979,082 | |||
United Kingdom — 3.1% | |||
641,260 | BAE Systems Plc | 7,791,965 | |
50,969 | BP Plc, ADR | 1,933,764 | |
44,770 | Bunzl Plc | 1,695,605 | |
30,578 | Diageo Plc | 1,367,862 | |
2,425 | Games Workshop Group Plc | 289,827 | |
27,495 | Grafton Group Plc | 301,770 | |
103,917 | Imperial Brands Plc | 2,395,317 | |
27,142 | Inchcape Plc | 260,835 | |
175,040 | Pan African Resources Plc | 35,830 | |
83,739 | Redde Northgate Plc | 358,523 | |
84,456 | RELX Plc | 2,740,359 | |
214,288 | Sage Group Plc (The) | 2,057,985 | |
264,530 | Spirent Communications Plc | 565,119 | |
273,908 | St. James's Place Plc | 4,112,893 | |
188,699 | Unilever Plc | 9,776,817 | |
35,684,471 | |||
United States — 67.5% | |||
100 | 3M Co. | 10,511 | |
45,600 | Abbott Laboratories | 4,617,456 | |
26,500 | AbbVie, Inc. | 4,223,305 | |
18,237 | Accenture Plc Class A | 5,212,317 | |
4,100 | Acuity Brands, Inc. | 749,193 | |
2,275 | Adobe, Inc.* | 876,717 | |
76,100 | Albertsons Cos., Inc. Class A | 1,581,358 | |
164,945 | Alphabet, Inc. Class A * | 17,109,745 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
68,800 | Altria Group, Inc. | 3,069,856 | |
91,864 | Amazon.com, Inc.* | 9,488,633 | |
39,371 | Amdocs, Ltd. | 3,780,797 | |
6,178 | Ameren Corp. | 533,717 | |
32,113 | American Electric Power Co., Inc. | 2,921,962 | |
15,500 | American Express Co. | 2,556,725 | |
200 | Ameriprise Financial, Inc. | 61,300 | |
20,600 | AmerisourceBergen Corp. | 3,298,266 | |
15,400 | Amgen, Inc. | 3,722,950 | |
346 | ANSYS, Inc.* | 115,149 | |
19,800 | Apple, Inc. | 3,265,020 | |
17,700 | Arch Capital Group, Ltd.* | 1,201,299 | |
42,600 | Archer-Daniels-Midland Co. | 3,393,516 | |
9,200 | Arrow Electronics, Inc.* | 1,148,804 | |
14,484 | Arthur J. Gallagher & Co. | 2,770,934 | |
34,982 | Autodesk, Inc.* | 7,281,853 | |
40,676 | Automatic Data Processing, Inc. | 9,055,698 | |
1,500 | AutoNation, Inc.* | 201,540 | |
1,100 | AutoZone, Inc.* | 2,703,965 | |
29,700 | Axis Capital Holdings, Ltd. | 1,619,244 | |
12,300 | Bank of New York Mellon Corp. (The) | 558,912 | |
57,368 | Becton Dickinson & Co. | 14,200,876 | |
6,472 | Berkshire Hathaway, Inc. Class B * | 1,998,359 | |
7,100 | Biogen, Inc.* | 1,974,013 | |
9,800 | BioMarin Pharmaceutical, Inc.* | 952,952 | |
15,379 | Bio-Rad Laboratories, Inc. Class A * | 7,366,849 | |
10,600 | BJ's Wholesale Club Holdings, Inc.* | 806,342 | |
11,900 | BOK Financial Corp. | 1,004,479 | |
5,688 | Booking Holdings, Inc.* | 15,086,908 | |
71,355 | Bristol-Myers Squibb Co. | 4,945,615 | |
10,950 | Broadcom, Inc. | 7,024,863 | |
6,300 | CACI International, Inc. Class A * | 1,866,564 | |
20,335 | Cadence Design Systems, Inc.* | 4,272,180 | |
13,600 | Campbell Soup Co. | 747,728 | |
20,500 | Cardinal Health, Inc. | 1,547,750 | |
13,500 | Casey's General Stores, Inc. | 2,922,210 | |
90,653 | Catalent, Inc.* | 5,956,809 | |
18,900 | Cboe Global Markets, Inc. | 2,537,136 | |
7,400 | CDW Corp. | 1,442,186 | |
23,600 | CH Robinson Worldwide, Inc. | 2,345,132 | |
48,522 | Charles Schwab Corp. (The) | 2,541,582 | |
32,186 | Charter Communications, Inc. Class A * | 11,510,035 | |
5,300 | Chemed Corp. | 2,850,075 | |
34,800 | Chevron Corp. | 5,677,968 | |
19,000 | Chubb, Ltd. | 3,689,420 | |
8,000 | Cigna Group (The) | 2,044,240 | |
21,100 | Cirrus Logic, Inc.* | 2,307,918 | |
116,300 | Cisco Systems, Inc. | 6,079,582 | |
18,600 | Clean Harbors, Inc.* | 2,651,616 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
27,083 | CMS Energy Corp. | 1,662,355 | |
17,600 | CNA Financial Corp. | 686,928 | |
86,400 | Coca-Cola Co. (The) | 5,359,392 | |
30,400 | Colgate-Palmolive Co. | 2,284,560 | |
10,100 | ConocoPhillips | 1,002,021 | |
30,749 | Consolidated Edison, Inc. | 2,941,757 | |
23,172 | Cooper Cos., Inc. (The) | 8,651,498 | |
11,900 | Costco Wholesale Corp. | 5,912,753 | |
10,500 | Curtiss-Wright Corp. | 1,850,730 | |
104,511 | CVS Health Corp. | 7,766,212 | |
18,700 | Darden Restaurants, Inc. | 2,901,492 | |
6,300 | Dell Technologies, Inc. Class C | 253,323 | |
11,800 | Donaldson Co., Inc. | 771,012 | |
27,977 | DTE Energy Co. | 3,064,601 | |
80,988 | Electronic Arts, Inc. | 9,755,005 | |
9,050 | Elevance Health, Inc. | 4,161,280 | |
18,367 | Eli Lilly & Co. | 6,307,595 | |
13,300 | Entergy Corp. | 1,432,942 | |
30,639 | Estee Lauder Cos., Inc. (The) Class A | 7,551,288 | |
9,514 | Everest Re Group, Ltd. | 3,406,202 | |
49,900 | Evergy, Inc. | 3,049,888 | |
32,100 | Expeditors International of Washington, Inc. | 3,534,852 | |
54,500 | Exxon Mobil Corp. | 5,976,470 | |
13,605 | Factset Research Systems, Inc. | 5,647,299 | |
3,300 | First Citizens BancShares, Inc. Class A | 3,211,230 | |
5,500 | FirstEnergy Corp. | 220,330 | |
92,836 | Fiserv, Inc.* | 10,493,253 | |
18,500 | Flowers Foods, Inc. | 507,085 | |
121,265 | Fox Corp. Class A | 4,129,073 | |
14,200 | General Dynamics Corp. | 3,240,582 | |
7,900 | General Mills, Inc. | 675,134 | |
62,029 | Genpact, Ltd. | 2,866,980 | |
44,400 | Gilead Sciences, Inc. | 3,683,868 | |
82,141 | GSK Plc | 1,468,401 | |
26,089 | GSK Plc, ADR | 928,247 | |
12,746 | Hanover Insurance Group, Inc. (The) | 1,637,861 | |
45,400 | Hartford Financial Services Group, Inc. (The) | 3,163,926 | |
51,300 | Hawaiian Electric Industries, Inc. | 1,969,920 | |
1,600 | Henry Schein, Inc.* | 130,464 | |
16,526 | Hershey Co. (The) | 4,204,380 | |
5,664 | Home Depot, Inc. (The) | 1,671,560 | |
1,300 | Honeywell International, Inc. | 248,456 | |
1,600 | Humana, Inc. | 776,736 | |
10,100 | Huntington Ingalls Industries, Inc. | 2,090,902 | |
27,627 | ICON Plc, ADR* | 5,900,851 | |
22,700 | IDACORP, Inc. | 2,459,091 | |
21,131 | Illumina, Inc.* | 4,914,014 | |
18,500 | Incyte Corp.* | 1,336,995 | |
26,800 | Ingredion, Inc. | 2,726,364 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
83,077 | Intercontinental Exchange, Inc. | 8,664,100 | |
6,500 | International Business Machines Corp. | 852,085 | |
30,547 | Intuit, Inc. | 13,618,769 | |
5,400 | IQVIA Holdings, Inc.* | 1,074,006 | |
400 | Jabil, Inc. | 35,264 | |
12,800 | Jazz Pharmaceuticals Plc* | 1,873,024 | |
18,700 | JB Hunt Transport Services, Inc. | 3,281,102 | |
4,700 | JM Smucker Co. (The) | 739,639 | |
91,714 | Johnson & Johnson | 14,215,670 | |
29,700 | JPMorgan Chase & Co. | 3,870,207 | |
15,500 | Keysight Technologies, Inc.* | 2,502,940 | |
4,600 | Kraft Heinz Co. (The) | 177,882 | |
83,700 | Kroger Co. (The) | 4,132,269 | |
10,100 | L3Harris Technologies, Inc. | 1,982,024 | |
12,300 | Laboratory Corp. of America Holdings | 2,821,866 | |
15,300 | Landstar System, Inc. | 2,742,678 | |
300 | Littelfuse, Inc. | 80,427 | |
8,600 | Lockheed Martin Corp. | 4,065,478 | |
5,800 | Loews Corp. | 336,516 | |
4,500 | Lowe's Cos., Inc. | 899,865 | |
10,000 | LyondellBasell Industries NV Class A | 938,900 | |
9,900 | Manhattan Associates, Inc.* | 1,533,015 | |
1,930 | Markel Corp.* | 2,465,401 | |
29,753 | Mastercard, Inc. Class A | 10,812,538 | |
11,300 | McKesson Corp. | 4,023,365 | |
60,634 | Merck & Co., Inc. | 6,450,851 | |
21,731 | Meta Platforms, Inc. Class A * | 4,605,668 | |
124,650 | Microsoft Corp. | 35,936,595 | |
6,300 | Molina Healthcare, Inc.* | 1,685,187 | |
56,197 | Moody's Corp. | 17,197,406 | |
110,986 | Nestle SA | 13,569,580 | |
3,300 | NewMarket Corp. | 1,204,434 | |
67,751 | Newmont Corp. | 3,321,154 | |
8,900 | NiSource, Inc. | 248,844 | |
6,800 | Northrop Grumman Corp. | 3,139,696 | |
54,600 | OGE Energy Corp. | 2,056,236 | |
3,800 | Old Dominion Freight Line, Inc. | 1,295,192 | |
85,800 | Old Republic International Corp. | 2,142,426 | |
36,414 | Oracle Corp. | 3,383,589 | |
2,800 | O'Reilly Automotive, Inc.* | 2,377,144 | |
15,750 | PACCAR, Inc. | 1,152,900 | |
18,200 | Packaging Corp. of America | 2,526,706 | |
500 | Penske Automotive Group, Inc. | 70,905 | |
32,748 | PepsiCo, Inc. | 5,969,960 | |
124,234 | Pfizer, Inc. | 5,068,747 | |
148,697 | Philip Morris International, Inc. | 14,460,783 | |
600 | Pilgrim's Pride Corp.* | 13,908 | |
42,080 | Procter & Gamble Co. (The) | 6,256,875 | |
2,100 | PTC, Inc.* | 269,283 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
59,141 | QIAGEN NV* | 2,716,346 | |
13,338 | QIAGEN NV (London Exchange)* | 607,394 | |
2,900 | QUALCOMM, Inc. | 369,982 | |
20,550 | Raymond James Financial, Inc. | 1,916,699 | |
4,150 | Regeneron Pharmaceuticals, Inc.* | 3,409,931 | |
3,900 | Reinsurance Group of America, Inc. | 517,764 | |
28,604 | Republic Services, Inc. Class A | 3,867,833 | |
32,662 | Roche Holding AG | 9,361,777 | |
8,400 | Roper Technologies, Inc. | 3,701,796 | |
23,900 | Royal Gold, Inc. | 3,100,069 | |
15,455 | S&P Global, Inc. | 5,328,420 | |
15,482 | Sanofi | 1,689,055 | |
59,800 | Schneider National, Inc. Class B | 1,599,650 | |
17,800 | Science Applications International Corp. | 1,912,788 | |
100 | Seaboard Corp. | 377,001 | |
2,000 | Seagen, Inc.* | 404,940 | |
14,100 | Sempra Energy | 2,131,356 | |
8,800 | Service Corp. International | 605,264 | |
16,600 | Southern Co. (The) | 1,155,028 | |
10,300 | SS&C Technologies Holdings, Inc. | 581,641 | |
10,272 | Synopsys, Inc.* | 3,967,560 | |
6,100 | Target Corp. | 1,010,343 | |
14,700 | Teradata Corp.* | 592,116 | |
14,000 | Tetra Tech, Inc. | 2,056,740 | |
26,700 | Texas Instruments, Inc. | 4,966,467 | |
36,800 | Textron, Inc. | 2,599,184 | |
25,700 | TFS Financial Corp. | 324,591 | |
12,689 | Thermo Fisher Scientific, Inc. | 7,313,559 | |
29,700 | T-Mobile US, Inc.* | 4,301,748 | |
19,400 | Travelers Cos., Inc. (The) | 3,325,354 | |
11,800 | Tyson Foods, Inc. Class A | 699,976 | |
5,400 | Ulta Beauty, Inc.* | 2,946,618 | |
7,600 | United Parcel Service, Inc. Class B | 1,474,324 | |
7,300 | United Therapeutics Corp.* | 1,634,908 | |
28,284 | UnitedHealth Group, Inc. | 13,366,736 | |
10,000 | US Bancorp | 360,500 | |
47,873 | VeriSign, Inc.* | 10,117,001 | |
123,412 | Verizon Communications, Inc. | 4,799,493 | |
9,400 | Vertex Pharmaceuticals, Inc.* | 2,961,658 | |
110,206 | Visa, Inc. Class A | 24,847,045 | |
27,981 | VMware, Inc. Class A * | 3,493,428 | |
25,700 | W R Berkley Corp. | 1,600,082 | |
36,036 | Walmart, Inc. | 5,313,508 | |
26,785 | Waste Management, Inc. | 4,370,508 | |
35,800 | WEC Energy Group, Inc. | 3,393,482 | |
38,500 | Wells Fargo & Co. | 1,439,130 | |
1,000 | White Mountains Insurance Group, Ltd. | 1,377,490 | |
21,200 | Wintrust Financial Corp. | 1,546,540 | |
43,159 | Xcel Energy, Inc. | 2,910,643 |
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2023
Shares | Description | Value ($) | |
United States — continued | |||
44,300 | Zions Bancorp NA | 1,325,899 | |
19,100 | Zoetis, Inc. | 3,179,004 | |
767,182,755 | |||
TOTAL COMMON STOCKS (COST $1,000,624,094) | 1,086,911,208 | ||
PREFERRED STOCKS — 0.1% | |||
Germany — 0.1% | |||
4,606 | Dr. Ing. h.c. F. Porsche AG, 0.00% * | 590,557 | |
3,219 | Fuchs Petrolub SE, 2.75% | 131,284 | |
4,923 | Henkel AG & Co. KGaA, 2.58% | 385,401 | |
1,107,242 | |||
TOTAL PREFERRED STOCKS (COST $895,129) | 1,107,242 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 1.4% | |||
Mutual Fund - Securities Lending Collateral — 1.4% | |||
16,149,865 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.70%(c)(d) | 16,149,865 | |
TOTAL SHORT-TERM INVESTMENT (COST $16,149,865) | 16,149,865 | ||
TOTAL INVESTMENTS — 97.1% (Cost $1,017,669,088) | 1,104,168,315 | ||
Other Assets and Liabilities (net) — 2.9% | 33,016,738 | ||
NET ASSETS — 100.0% | $1,137,185,053 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | 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. |
(c) | The rate disclosed is the 7-day net yield as of March 31, 2023. |
(d) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
10 | Canadian Dollar | Jun 2023 | $739,900 | $11,975 |
55 | MSCI EAFE Index | Jun 2023 | 5,765,375 | 308,642 |
Schedule of Investments (Continued)
March 31, 2023
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
66 | S&P 500 E-mini Index | Jun 2023 | $13,654,575 | $618,437 |
4 | S&P/TSX 60 Index | Jun 2023 | 714,789 | 19,355 |
$958,409 |
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
REIT | — | Real Estate Investment Trust |
Schedule of Investments (Continued)
March 31, 2023
Industry Sector Summary (Unaudited) | % of Net Assets |
Consumer, Non-cyclical | 34.4 |
Technology | 15.1 |
Industrial | 12.2 |
Financial | 11.9 |
Communications | 10.7 |
Consumer, Cyclical | 4.2 |
Utilities | 3.4 |
Basic Materials | 2.1 |
Energy | 1.7 |
Short-Term Investment | 1.4 |
Other Assets and Liabilities (net) | 2.9 |
100.0% |
Statements of Assets and Liabilities
March 31, 2023
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) | 1,069,806,801 | 1,569,099,091 | 3,675,032,515 | 1,297,711,520 |
Foreign currency, at value(c) | — | — | 15,338,518 | 290,556 |
Cash and cash equivalents | 32,960,088 | 87,526,103 | 120,480,003 | 21,795,903 |
Receivable for investments sold | 29,004,001 | 215,682 | 14,668,918 | 3,737,102 |
Receivable for TBA sold | — | — | — | 10,218,582 |
Receivable for Fund shares sold | — | 8,841,743 | 6,198,285 | 527,531 |
Dividend and interest receivable | 1,162,617 | 1,074,357 | 20,459,518 | 8,931,287 |
Cash collateral held at broker on open futures contracts | 970,000 | 3,808,000 | 3,656,000 | — |
Unrealized appreciation on open forward foreign currency contracts | — | — | — | 91,637 |
Receivable for variation margin on open futures contracts | 231,431 | 1,032,818 | 427,234 | — |
Receivable for variation margin on open centrally cleared swap contracts | — | — | — | 12,068 |
Foreign tax reclaims receivable | 30,095 | — | 11,565,916 | 13,836 |
Securities lending income receivable | 5,940 | 4,617 | 166,806 | 6,543 |
Prepaid expenses | 6,382 | 8,387 | 17,459 | 7,930 |
Receivable from affiliate for advisory fee waived | 771,413 | 1,948,285 | 3,346,072 | 765,821 |
Total assets | 1,134,948,768 | 1,673,559,083 | 3,871,357,244 | 1,344,110,316 |
Liabilities | ||||
Payable for investments purchased | 1,397,365 | 1,291,703 | 8,702,767 | 5,965,650 |
Payable for TBA and when-issued securities purchased | — | — | — | 27,614,677 |
Obligation to return securities lending collateral | 4,247,905 | 9,382,530 | 146,394,653 | 14,825,703 |
Payable for Fund shares repurchased | 26,020,035 | 205,603 | 17,025,759 | 16,502 |
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 312,654 |
Payable for foreign capital gains tax | — | — | 445,021 | — |
TBA Sale Commitments, at value(d) | — | — | — | 1,437,481 |
Payable to affiliates for: | ||||
Accrued advisory fees | 1,491,421 | 3,581,001 | 6,117,317 | 1,055,497 |
Trustees fees | 23,858 | 35,909 | 80,367 | 28,768 |
Administrative service fees - Class I | — | — | 49,066 | 18,706 |
Payable for variation margin on open futures contracts | — | — | — | 193,882 |
Interest payable on TBA securities | — | — | — | 13,243 |
Accrued expenses | 178,988 | 231,664 | 511,081 | 235,667 |
Total liabilities | 33,359,572 | 14,728,410 | 179,326,031 | 51,718,430 |
Net assets | $1,101,589,196 | $1,658,830,673 | $3,692,031,213 | $1,292,391,886 |
Statements of Assets and Liabilities (Continued)
March 31, 2023
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 | $991,030,775 | 1,532,013,158 | $3,601,887,350 | $1,493,129,278 |
Distributable earnings (Accumulated loss) | 110,558,421 | 126,817,515 | 90,143,863 | (200,737,392 ) |
Net assets | $1,101,589,196 | $1,658,830,673 | $3,692,031,213 | $1,292,391,886 |
Net assets attributable to: | ||||
Class Y-3 | $1,101,589,196 | $1,658,830,673 | $3,550,298,650 | $1,242,702,154 |
Class I | $— | $— | $141,732,563 | $49,689,732 |
Shares outstanding: | ||||
Class Y-3 | 113,395,636 | 163,314,874 | 362,948,798 | 138,003,782 |
Class I | — | — | 14,517,937 | 5,520,430 |
Net asset value per unit: | ||||
Class Y-3 | $9.71 | $10.16 | $9.78 | $9.00 |
Class I | $— | $— | $9.76 | $9.00 |
(a) Investments, at cost | $983,083,325 | $1,431,669,683 | $3,569,353,193 | $1,416,310,138 |
(b) Securities loaned, at value | $6,771,633 | $29,455,775 | $229,914,418 | $21,635,832 |
(c) Foreign currency, at cost | $— | $— | $15,288,846 | $283,585 |
(d) Proceeds for TBA Sale Commitments | $— | $— | $— | $1,420,820 |
Statements of Assets and Liabilities (Continued)
March 31, 2023
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |
Assets | |||
Investments, at value(a)(b) | 1,229,466,159 | 1,527,019,952 | 1,104,168,315 |
Foreign currency, at value(c) | 9,968,170 | 68,153 | 612,818 |
Cash and cash equivalents | 33,809,408 | 73,642,396 | 43,355,553 |
Receivable for investments sold | 13,978,406 | 1,629,714 | 2,236,157 |
Receivable for Fund shares sold | 84,857,658 | 6,404,999 | 13,828,006 |
Dividend and interest receivable | 18,092,894 | 4,432,390 | 1,930,627 |
Cash collateral held at broker on open centrally cleared swap contracts | 10,195,639 | — | — |
Cash collateral held at broker on open futures contracts | 4,898,077 | 1,573,000 | 1,108,000 |
Cash collateral held at broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 923,335 | — | — |
Unrealized appreciation on open forward foreign currency contracts | 5,389,066 | — | — |
Receivable for variation margin on open futures contracts | 1,602,700 | — | 224,073 |
OTC — Swap contracts, at value (up-front net premiums paid of $9,254, $— and $—, respectively) | 262,200 | — | — |
Receivable for variation margin on open centrally cleared swap contracts | 94,719 | — | — |
Foreign tax reclaims receivable | 222,495 | 75,612 | 1,281,877 |
Securities lending income receivable | 23,903 | 27,852 | 15,524 |
Prepaid expenses | 5,495 | 7,660 | 6,337 |
Receivable from affiliate for advisory fee waived | 1,297,369 | 1,606,230 | 1,362,403 |
Total assets | 1,415,087,693 | 1,616,487,958 | 1,170,129,690 |
Liabilities | |||
Payable for investments purchased | 26,071,645 | 2,383,705 | 2,842,389 |
Payable for TBA and when-issued securities purchased | 3,482,752 | — | — |
Obligation to return securities lending collateral | 43,309,368 | 21,409,984 | 16,149,865 |
Payable for Fund shares repurchased | 89,705 | 6,907,079 | 11,687,600 |
Unrealized depreciation on open forward foreign currency contracts | 6,236,287 | — | — |
OTC — Swap contracts, at value (up-front net premiums received of $19,195, $— and $—, respectively) | 9,470 | — | — |
Cash collateral due to broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 260,000 | — | — |
Payable for foreign capital gains tax | 118,161 | 627,569 | — |
Written options, at value(d) | 93,723 | — | — |
Payable to affiliates for: | |||
Accrued advisory fees | 2,348,493 | 2,937,720 | 2,028,210 |
Trustees fees | 27,504 | 33,683 | 24,072 |
Payable for variation margin on open futures contracts | — | 108,812 | — |
Unrealized loss on unfunded loan commitments | 2,959 | — | — |
Accrued expenses | 258,706 | 327,455 | 212,501 |
Total liabilities | 82,308,773 | 34,736,007 | 32,944,637 |
Net assets | $1,332,778,920 | $1,581,751,951 | $1,137,185,053 |
Statements of Assets and Liabilities (Continued)
March 31, 2023
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |
Net assets consist of: | |||
Paid-in capital | $1,476,881,195 | $1,914,793,343 | $1,022,990,556 |
Distributable earnings (Accumulated loss) | (144,102,275 ) | (333,041,392 ) | 114,194,497 |
Net assets | $1,332,778,920 | $1,581,751,951 | $1,137,185,053 |
Net assets attributable to: | |||
Class Y-3 | $1,332,778,920 | $1,581,751,951 | $1,137,185,053 |
Shares outstanding: | |||
Class Y-3 | 159,675,508 | 209,221,590 | 90,567,609 |
Net asset value per unit: | |||
Class Y-3 | $8.35 | $7.56 | $12.56 |
(a) Investments, at cost | $1,296,313,513 | $1,641,190,888 | $1,017,669,088 |
(b) Securities loaned, at value | $44,322,699 | $34,566,094 | $19,839,699 |
(c) Foreign currency, at cost | $10,128,979 | $67,799 | $605,850 |
(d) Premiums on written options | $228,576 | $— | $— |
Statements of Operations
Year Ended March 31, 2023
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 | $19,282,786 | $23,570,138 | $138,580,365 | $— |
Interest | 832,710 | 1,140,950 | 5,053,843 | 45,708,155 |
Withholding taxes | (68,058 ) | (24,640 ) | (12,658,542 ) | — |
Securities lending income | 20,852 | 46,242 | 621,710 | 71,578 |
Other income | 153 | 82 | 47,297 | 8,517 |
Total investment income | 20,068,443 | 24,732,772 | 131,644,673 | 45,788,250 |
Expenses: | ||||
Advisory fees | 6,304,422 | 14,304,212 | 23,806,933 | 4,623,135 |
Custodian and fund accounting fees | 260,043 | 329,313 | 831,328 | 336,880 |
Audit and tax fees | 66,313 | 69,287 | 246,167 | 82,543 |
Transfer agent fees | 23,659 | 24,511 | 78,122 | 57,675 |
Legal fees | 129,155 | 175,435 | 382,139 | 146,140 |
Trustees fees | 116,765 | 156,566 | 327,859 | 135,859 |
Registration fees | 52,239 | 57,804 | 80,144 | 63,365 |
Administration service fees: | ||||
Class I | — | — | 131,563 | 96,651 |
Shareholder service fees: | ||||
Class I | — | — | 88,448 | 64,243 |
Tax expense | — | — | 1,405 | — |
Miscellaneous | 70,722 | 88,712 | 185,460 | 76,878 |
Total expenses | 7,023,318 | 15,205,840 | 26,159,568 | 5,683,369 |
Advisory fee waiver | (3,261,262 ) | (7,774,354 ) | (13,057,835 ) | (3,348,963 ) |
Net expenses | 3,762,056 | 7,431,486 | 13,101,733 | 2,334,406 |
Net investment income | 16,306,387 | 17,301,286 | 118,542,940 | 43,453,844 |
Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 20,316,191 | 29,554,342 | (76,111,545 ) | (76,501,347 ) |
Swap contracts | — | — | — | 5,004 |
Closed futures contracts | (3,363,450 ) | (2,249,444 ) | (5,887,753 ) | 301,044 |
Forward foreign currency contracts | — | — | 1,264 | 748,913 |
Foreign currency related transactions | (665 ) | (162 ) | (2,776,553 ) | (107,376 ) |
Net realized gain (loss) | 16,952,076 | 27,304,736 | (84,774,587 ) | (75,553,762 ) |
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | (194,472,318 ) | (159,979,143 ) | (127,260,961 ) | (44,031,641 ) |
TBA sale commitments | — | — | — | (16,661 ) |
Swap contracts | — | — | — | 331,113 |
Open futures contracts | 116,357 | 596,301 | 726,471 | (355,734 ) |
Forward foreign currency contracts | — | — | — | (419,663 ) |
Foreign currency related transactions | 119 | 10 | (360,624 ) | 11,772 |
Change in net unrealized appreciation (depreciation) | (194,355,842 ) | (159,382,832 ) | (126,895,114 ) | (44,480,814 ) |
Net realized and unrealized loss | (177,403,766 ) | (132,078,096 ) | (211,669,701 ) | (120,034,576 ) |
Net decrease in net assets resulting from operations | $(161,097,379 ) | $(114,776,810 ) | $(93,126,761 ) | $(76,580,732 ) |
Statements of Operations (Continued)
Year Ended March 31, 2023
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |
Investment Income: | |||
Dividends | $1,254,161 | $56,680,191 | $23,150,406 |
Interest | 71,947,823 | 1,235,510 | 754,204 |
Withholding taxes | (504,940 ) | (6,148,870 ) | (1,126,767 ) |
Securities lending income | 176,410 | 291,089 | 53,577 |
Other income | 45,734 | — | — |
Total investment income | 72,919,188 | 52,057,920 | 22,831,420 |
Expenses: | |||
Advisory fees | 8,847,594 | 11,422,804 | 8,697,294 |
Custodian and fund accounting fees | 529,111 | 797,576 | 288,247 |
Audit and tax fees | 86,010 | 104,704 | 71,006 |
Transfer agent fees | 34,978 | 39,384 | 33,575 |
Legal fees | 123,055 | 162,492 | 124,328 |
Trustees fees | 107,634 | 140,424 | 113,761 |
Registration fees | 59,256 | 59,486 | 52,237 |
Tax expense | 213 | — | — |
Miscellaneous | 81,091 | 94,255 | 65,819 |
Total expenses | 9,868,942 | 12,821,125 | 9,446,267 |
Advisory fee waiver | (4,912,192 ) | (5,659,008 ) | (5,777,483 ) |
Net expenses | 4,956,750 | 7,162,117 | 3,668,784 |
Net investment income | 67,962,438 | 44,895,803 | 19,162,636 |
Realized and Unrealized Gain (Loss): | |||
Net realized gain (loss) on: | |||
Investments | (79,540,450 ) | (155,210,109 ) | 13,928,877 |
Purchased option contracts | (1,254,571 ) | — | — |
Swap contracts | (1,284,269 ) | — | — |
Closed futures contracts | (18,680,529 ) | (16,414,479 ) | (4,737,874 ) |
Written option contracts | 311,761 | — | — |
Forward foreign currency contracts | 5,267,377 | — | — |
Foreign currency related transactions | (1,939,920 ) | (3,141,071 ) | (151,575 ) |
Net realized gain (loss) | (97,120,601 ) | (174,765,659 ) | 9,039,428 |
Change in net unrealized appreciation (depreciation) on: | |||
Investments | (6,379,790 ) | (39,370,993 ) | (107,512,775 ) |
Purchased option contracts | (227,439 ) | — | — |
Unfunded loan commitments | (1,863 ) | — | — |
Swap contracts | 690,303 | — | — |
Open futures contracts | 7,760,023 | (1,946,225 ) | 896,741 |
Written option contracts | 497,100 | — | — |
Forward foreign currency contracts | 905,355 | — | — |
Foreign currency related transactions | 224,608 | 3,814,704 | (10,013 ) |
Change in net unrealized appreciation (depreciation) | 3,468,297 | (37,502,514 ) | (106,626,047 ) |
Net realized and unrealized loss | (93,652,304 ) | (212,268,173 ) | (97,586,619 ) |
Net decrease in net assets resulting from operations | $(25,689,866 ) | $(167,372,370 ) | $(78,423,983 ) |
Statements of Changes in Net Assets
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | |||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $16,306,387 | $15,222,323 | $17,301,286 | $12,433,004 |
Net realized gain | 16,952,076 | 171,348,118 | 27,304,736 | 214,705,824 |
Change in net unrealized depreciation | (194,355,842 ) | (53,627,936 ) | (159,382,832 ) | (155,728,990 ) |
Net increase (decrease) in net assets resulting from operations | (161,097,379 ) | 132,942,505 | (114,776,810 ) | 71,409,838 |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (88,059,388 ) | (153,164,374 ) | (122,025,720 ) | (327,497,452 ) |
Total distributions | (88,059,388 ) | (153,164,374 ) | (122,025,720 ) | (327,497,452 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | (122,032,208 ) | (11,793,535 ) | 121,333,893 | 163,218,893 |
Increase (decrease) in net assets resulting from net shares transactions | (122,032,208 ) | (11,793,535 ) | 121,333,893 | 163,218,893 |
Net decrease in net assets | (371,188,975 ) | (32,015,404 ) | (115,468,637 ) | (92,868,721 ) |
Net assets: | ||||
Beginning of year | 1,472,778,171 | 1,504,793,575 | 1,774,299,310 | 1,867,168,031 |
End of year | $1,101,589,196 | $1,472,778,171 | $1,658,830,673 | $1,774,299,310 |
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $118,542,940 | $91,846,759 | $43,453,844 | $28,435,177 |
Net realized gain (loss) | (84,774,587 ) | 233,577,964 | (75,553,762 ) | (12,121,316 ) |
Change in net unrealized depreciation | (126,895,114 ) | (353,682,676 ) | (44,480,814 ) | (79,348,788 ) |
Net decrease in net assets resulting from operations | (93,126,761 ) | (28,257,953 ) | (76,580,732 ) | (63,034,927 ) |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (98,022,880 ) | (600,419,082 ) | (39,902,531 ) | (32,157,234 ) |
Class I | (3,469,767 ) | (495,675 )* | (1,570,728 ) | — |
Total distributions | (101,492,647 ) | (600,914,757 ) | (41,473,259 ) | (32,157,234 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | 65,130,852 | 489,527,726 | (17,821,193 ) | 205,333,836 |
Class I | 128,699,318 | 3,655,660* | (38,390,375 ) | 100,564,079** |
Increase (decrease) in net assets resulting from net shares transactions | 193,830,170 | 493,183,386 | (56,211,568 ) | 305,897,915 |
Net increase (decrease) in net assets | (789,238 ) | (135,989,324 ) | (174,265,559 ) | 210,705,754 |
Net assets: | ||||
Beginning of year | 3,692,820,451 | 3,828,809,775 | 1,466,657,445 | 1,255,951,691 |
End of year | $3,692,031,213 | $3,692,820,451 | $1,292,391,886 | $1,466,657,445 |
* | The Class commenced operations on July 22, 2021. |
** | The Class commenced operations on December 27, 2021. |
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $67,962,438 | $41,747,719 | $44,895,803 | $27,968,023 |
Net realized loss | (97,120,601 ) | (12,355,536 ) | (174,765,659 ) | (14,955,357 ) |
Change in net unrealized appreciation (depreciation) | 3,468,297 | (72,338,326 ) | (37,502,514 ) | (284,268,458 ) |
Net decrease in net assets resulting from operations | (25,689,866 ) | (42,946,143 ) | (167,372,370 ) | (271,255,792 ) |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (42,956,028 ) | (35,988,286 ) | (36,473,175 ) | (198,529,530 ) |
Total distributions | (42,956,028 ) | (35,988,286 ) | (36,473,175 ) | (198,529,530 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | 295,089,569 | 331,110,996 | 149,003,245 | 587,725,437 |
Increase in net assets resulting from net shares transactions | 295,089,569 | 331,110,996 | 149,003,245 | 587,725,437 |
Net increase (decrease) in net assets | 226,443,675 | 252,176,567 | (54,842,300 ) | 117,940,115 |
Net assets: | ||||
Beginning of year | 1,106,335,245 | 854,158,678 | 1,636,594,251 | 1,518,654,136 |
End of year | $1,332,778,920 | $1,106,335,245 | $1,581,751,951 | $1,636,594,251 |
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |
Increase (decrease) in Net Assets: | ||
Operations: | ||
Net investment income | $19,162,636 | $15,613,062 |
Net realized gain | 9,039,428 | 146,679,740 |
Change in net unrealized depreciation | (106,626,047 ) | (41,102,348 ) |
Net increase (decrease) in net assets resulting from operations | (78,423,983 ) | 121,190,454 |
Distributions to shareholders (See Note 2): | ||
Class Y-3 | (78,536,821 ) | (156,786,038 ) |
Total distributions | (78,536,821 ) | (156,786,038 ) |
Net share transactions (See Note 7): | ||
Class Y-3 | (104,197,421 ) | 234,481,562 |
Increase (decrease) in net assets resulting from net shares transactions | (104,197,421 ) | 234,481,562 |
Net increase (decrease) in net assets | (261,158,225 ) | 198,885,978 |
Net assets: | ||
Beginning of year | 1,398,343,278 | 1,199,457,300 |
End of year | $1,137,185,053 | $1,398,343,278 |
Financial Highlights
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $11.78 | $11.97 | $7.35 | $8.58 | $10.85 |
Net investment income† | 0.13 | 0.12 | 0.12 | 0.14 | 0.12 |
Net realized and unrealized gain (loss) on investments | (1.46 ) | 0.98 | 4.63 | (1.00 ) | 0.18 |
Total from investment operations | (1.33 ) | 1.10 | 4.75 | (0.86 ) | 0.30 |
Less dividends and distributions: | |||||
From net investment income | — | (0.10 ) | (0.13 ) | (0.05 ) | (0.14 ) |
From net realized capital gains on investments | (0.74 ) | (1.19 ) | — | (0.32 ) | (2.43 ) |
Total dividends and distributions | (0.74 ) | (1.29 ) | (0.13 ) | (0.37 ) | (2.57 ) |
Net asset value, end of year | $9.71 | $11.78 | $11.97 | $7.35 | $8.58 |
Total investment return | (10.94 )%(a) | 8.62 %(a) | 64.71 %(a) | (10.95 )%(a) | 4.81 % |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 1.33 % | 0.96 % | 1.22 % | 1.53 % | 1.21 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.57 % | 0.56 % | 0.57 % | 0.62 % | 0.63 % |
Net expenses to average daily net assets | 0.31 %(b) | 0.30 %(b) | 0.30 %(b) | 0.33 %(b) | 0.63 % |
Portfolio turnover rate | 29 % | 30 % | 43 % | 76 %(c) | 74 % |
Net assets at end of year (in 000’s) | $1,101,589 | $1,472,778 | $1,504,794 | $882,215 | $389,415 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $11.80 | $13.83 | $7.71 | $10.13 | $12.29 |
Net investment income† | 0.11 | 0.09 | 0.07 | 0.10 | 0.05 |
Net realized and unrealized gain (loss) on investments | (0.93 ) | 0.49 | 6.38 | (2.20 ) | (0.23 ) |
Total from investment operations | (0.82 ) | 0.58 | 6.45 | (2.10 ) | (0.18 ) |
Less dividends and distributions: | |||||
From net investment income | (0.10 ) | (0.09 ) | (0.07 ) | (0.06 ) | (0.05 ) |
From net realized capital gains on investments | (0.72 ) | (2.52 ) | (0.26 ) | (0.26 ) | (1.93 ) |
Total dividends and distributions | (0.82 ) | (2.61 ) | (0.33 ) | (0.32 ) | (1.98 ) |
Net asset value, end of year | $10.16 | $11.80 | $13.83 | $7.71 | $10.13 |
Total investment return | (6.69 )%(a) | 3.45 %(a) | 84.20 %(a) | (21.65 )%(a) | 0.19 % |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 1.05 % | 0.66 % | 0.68 % | 0.95 % | 0.47 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.92 % | 0.92 % | 0.93 % | 0.97 % | 0.98 % |
Net expenses to average daily net assets | 0.45 %(b) | 0.46 %(b) | 0.46 %(b) | 0.49 %(b) | 0.98 % |
Portfolio turnover rate | 42 % | 36 % | 59 % | 73 %(c) | 47 % |
Net assets at end of year (in 000’s) | $1,658,831 | $1,774,299 | $1,867,168 | $1,048,545 | $794,403 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $10.31 | $12.36 | $8.46 | $9.87 | $11.51 |
Net investment income† | 0.32 | 0.30 | 0.19 | 0.25 | 0.22 |
Net realized and unrealized gain (loss) on investments | (0.57 ) | (0.30 ) | 4.14 | (1.44 ) | (0.76 ) |
Total from investment operations | (0.25 ) | — | 4.33 | (1.19 ) | (0.54 ) |
Less dividends and distributions: | |||||
From net investment income | (0.05 ) | (0.35 ) | (0.18 ) | (0.22 ) | (0.20 ) |
From net realized capital gains on investments | (0.23 ) | (1.70 ) | (0.25 ) | — | (0.90 ) |
Total dividends and distributions | (0.28 ) | (2.05 ) | (0.43 ) | (0.22 ) | (1.10 ) |
Net asset value, end of year | $9.78 | $10.31 | $12.36 | $8.46 | $9.87 |
Total investment return | (2.17 )%(a) | (1.07 )%(a) | 51.42 %(a) | (12.55 )%(a) | (4.00 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 3.51 % | 2.42 % | 1.78 % | 2.45 % | 2.03 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.76 % | 0.76 % | 0.76 % | 0.79 % | 0.79 % |
Net expenses to average daily net assets | 0.38 %(b) | 0.39 %(b) | 0.39 %(b) | 0.42 %(b) | 0.79 % |
Portfolio turnover rate | 48 % | 57 % | 81 % | 74 %(c) | 81 % |
Net assets at end of year (in 000’s) | $3,550,299 | $3,689,849 | $3,828,810 | $2,673,838 | $2,155,585 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 $395,102,338 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Period Ended March 31, 2022 | |
For a Class I Share Outstanding Throughout Each Year: | ||
Net asset value, beginning of year | $10.31 | $12.99(a ) |
Net investment income† | 0.23 | 0.17 |
Net realized and unrealized gain (loss) on investments | (0.51 ) | (0.82 ) |
Total from investment operations | (0.28 ) | (0.65 ) |
Less dividends and distributions: | ||
From net investment income | (0.04 ) | (0.33 ) |
From net realized capital gains on investments | (0.23 ) | (1.70 ) |
Total dividends and distributions | (0.27 ) | (2.03 ) |
Net asset value, end of year | $9.76 | $10.31 |
Total investment return | (2.47 )%(b) | (5.97 )%*(b) |
Ratios/Supplemental Data: | ||
Net investment income to average net assets | 2.54 % | 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 | 48 % | 57 % |
Net assets at end of year (in 000’s) | $141,733 | $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 years 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 year. |
* | Not annualized. |
** | Annualized. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $9.80 | $10.46 | $10.48 | $10.00 | $9.90 |
Net investment income† | 0.28 | 0.22 | 0.25 | 0.27 | 0.31 |
Net realized and unrealized gain (loss) on investments | (0.79 ) | (0.62 ) | 0.20 | 0.51 | 0.11 |
Total from investment operations | (0.51 ) | (0.40 ) | 0.45 | 0.78 | 0.42 |
Less dividends and distributions: | |||||
From net investment income | (0.29 ) | (0.22 ) | (0.25 ) | (0.30 ) | (0.32 ) |
From net realized capital gains on investments | — | (0.04 ) | (0.22 ) | — | — |
Total dividends and distributions | (0.29 ) | (0.26 ) | (0.47 ) | (0.30 ) | (0.32 ) |
Net asset value, end of year | $9.00 | $9.80 | $10.46 | $10.48 | $10.00 |
Total investment return | (5.20 )%(a) | (4.01 )%(a) | 4.23 %(a) | 7.81 %(a) | 4.37 % |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 3.08 % | 2.09 % | 2.33 % | 2.64 % | 3.17 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.39 % | 0.39 % | 0.40 % | 0.45 % | 0.43 % |
Net expenses to average daily net assets | 0.15 %(b) | 0.16 %(b) | 0.15 %(b) | 0.19 %(b) | 0.43 % |
Portfolio turnover rate | 203 %(c) | 131 %(c) | 127 %(c) | 158 %(c) | 80 %(c) |
Net assets at end of year (in 000’s) | $1,242,702 | $1,371,901 | $1,255,952 | $950,017 | $548,600 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 125%, 96%, 100%, 139% and 74% for the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020 and March 31, 2019, respectively. |
† | Computed using average shares outstanding throughout the year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Period Ended March 31, 2022 | |
For a Class I Share Outstanding Throughout Each Year: | ||
Net asset value, beginning of year | $9.79 | $10.43(a ) |
Net investment income† | 0.25 | 0.03 |
Net realized and unrealized gain (loss) on investments | (0.78 ) | (0.67 ) |
Total from investment operations | (0.53 ) | (0.64 ) |
Less dividends and distributions: | ||
From net investment income | (0.26 ) | — |
Total dividends and distributions | (0.26 ) | — |
Net asset value, end of year | $9.00 | $9.79 |
Total investment return | (5.42 )%(b) | (6.14 )%*(b) |
Ratios/Supplemental Data: | ||
Net investment income to average net assets | 2.77 % | 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 | 203 %(d) | 131 %(d) |
Net assets at end of year (in 000’s) | $49,690 | $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 years 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 125% and 96% for the year ended March 31, 2023 and March 31, 2022, respectively. |
† | Computed using average shares outstanding throughout the year. |
* | Not annualized. |
** | Annualized. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $8.93 | $9.58 | $8.45 | $9.08 | $9.80 |
Net investment income† | 0.50 | 0.42 | 0.46 | 0.44 | 0.43 |
Net realized and unrealized gain (loss) on investments | (0.78 ) | (0.74 ) | 1.00 | (0.85 ) | (0.94 ) |
Total from investment operations | (0.28 ) | (0.32 ) | 1.46 | (0.41 ) | (0.51 ) |
Less dividends and distributions: | |||||
From net investment income | (0.30 ) | (0.30 ) | (0.33 ) | (0.22 ) | (0.21 ) |
From net realized capital gains on investments | — | (0.03 ) | — | — | — |
Total dividends and distributions | (0.30 ) | (0.33 ) | (0.33 ) | (0.22 ) | (0.21 ) |
Net asset value, end of year | $8.35 | $8.93 | $9.58 | $8.45 | $9.08 |
Total investment return | (2.96 )%(a) | (3.44 )%(a) | 17.12 % | (4.72 )%(a) | (5.15 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 6.05 % | 4.35 % | 4.83 % | 4.74 % | 4.74 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.88 % | 0.90 % | 0.87 % | 0.92 % | 0.92 %(b) |
Net expenses to average daily net assets | 0.44 %(c) | 0.45 %(c) | 0.45 % | 0.43 %(c) | 0.92 %(b) |
Portfolio turnover rate | 66 % | 77 % | 117 %(d) | 148 %(e) | 243 %(e) |
Net assets at end of year (in 000’s) | $1,332,779 | $1,106,335 | $854,159 | $966,298 | $812,580 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $8.57 | $11.47 | $7.19 | $9.05 | $11.75 |
Net investment income† | 0.23 | 0.19 | 0.14 | 0.19 | 0.17 |
Net realized and unrealized gain (loss) on investments | (1.06 ) | (1.82 ) | 4.29 | (1.93 ) | (1.48 ) |
Total from investment operations | (0.83 ) | (1.63 ) | 4.43 | (1.74 ) | (1.31 ) |
Less dividends and distributions: | |||||
From net investment income | (0.18 ) | (0.32 ) | (0.15 ) | (0.12 ) | (0.01 ) |
From net realized capital gains on investments | — | (0.95 ) | — | — | (1.38 ) |
Total dividends and distributions | (0.18 ) | (1.27 ) | (0.15 ) | (0.12 ) | (1.39 ) |
Net asset value, end of year | $7.56 | $8.57 | $11.47 | $7.19 | $9.05 |
Total investment return | (9.51 )%(a) | (15.35 )%(a) | 61.78 %(a) | (19.55 )%(a) | (10.20 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 3.04 % | 1.75 % | 1.47 % | 2.05 % | 1.66 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.87 % | 0.87 % | 0.87 % | 0.91 % | 0.92 %(b) |
Net expenses to average daily net assets | 0.49 %(c) | 0.47 %(c) | 0.48 %(c) | 0.53 %(c) | 0.92 %(b) |
Portfolio turnover rate | 95 % | 51 % | 106 % | 81 %(d) | 57 % |
Net assets at end of year (in 000’s) | $1,581,752 | $1,636,594 | $1,518,654 | $943,024 | $1,018,647 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years 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 year. |
Financial Highlights (Continued)
Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $14.18 | $14.55 | $11.23 | $13.13 | $12.28 |
Net investment income† | 0.21 | 0.18 | 0.19 | 0.24 | 0.18 |
Net realized and unrealized gain (loss) on investments | (0.90 ) | 1.32 | 3.75 | (1.14 ) | 0.67 |
Total from investment operations | (0.69 ) | 1.50 | 3.94 | (0.90 ) | 0.85 |
Less dividends and distributions: | |||||
From net investment income | (0.18 ) | (0.21 ) | (0.21 ) | (0.17 ) | — |
From net realized capital gains on investments | (0.75 ) | (1.66 ) | (0.41 ) | (0.83 ) | — |
Total dividends and distributions | (0.93 ) | (1.87 ) | (0.62 ) | (1.00 ) | — |
Net asset value, end of year | $12.56 | $14.18 | $14.55 | $11.23 | $13.13 |
Total investment return | (4.53 )%(a) | 9.95 %(a) | 35.29 %(a) | (8.16 )%(a) | 6.92 % |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 1.62 % | 1.18 % | 1.42 % | 1.75 % | 1.40 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.80 % | 0.80 % | 0.80 % | 0.82 % | 0.83 % |
Net expenses to average daily net assets | 0.31 %(b) | 0.31 %(b) | 0.30 %(b) | 0.31 %(b) | 0.83 % |
Portfolio turnover rate | 29 % | 59 % | 54 % | 38 % | 80 % |
Net assets at end of year (in 000’s) | $1,137,185 | $1,398,343 | $1,199,457 | $1,038,720 | $955,878 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the years shown. |
(b) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the year. |
Notes to Financial Statements
March 31, 2023
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 |
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
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 | $16,469,058 | $142,490,157 | $— | $158,959,215 |
Austria | — | 14,716,000 | — | 14,716,000 |
Belgium | 5,288,352 | 18,842,489 | — | 24,130,841 |
Brazil | 28,996,664 | 9,453,724 | — | 38,450,388 |
Canada | 76,108,957 | — | — | 76,108,957 |
China | — | 42,288,517 | — | 42,288,517 |
Denmark | — | 74,468,152 | — | 74,468,152 |
Finland | 50,259 | 28,057,062 | — | 28,107,321 |
France | — | 371,674,027 | — | 371,674,027 |
Georgia | — | 1,541,623 | — | 1,541,623 |
Germany | — | 313,991,056 | — | 313,991,056 |
Hong Kong | — | 23,937,003 | — | 23,937,003 |
Hungary | — | 4,821,899 | — | 4,821,899 |
India | — | 15,990,589 | — | 15,990,589 |
Indonesia | — | 1,694,725 | — | 1,694,725 |
Ireland | 7,696,893 | 32,674,784 | — | 40,371,677 |
Israel | 6,260,013 | 9,259,169 | — | 15,519,182 |
Italy | 203,896 | 88,826,454 | — | 89,030,350 |
Japan | 3,459,592 | 716,020,997 | — | 719,480,589 |
Luxembourg | — | 6,470,997 | — | 6,470,997 |
Malaysia | — | 2,411,781 | — | 2,411,781 |
Malta | — | 165,020 | — | 165,020 |
Netherlands | 7,009,952 | 199,376,796 | — | 206,386,748 |
Norway | 829,900 | 10,537,844 | — | 11,367,744 |
Philippines | — | 42,435 | — | 42,435 |
Portugal | — | 4,871,135 | — | 4,871,135 |
Russia | — | — | 249,587 | 249,587 |
Singapore | — | 12,070,569 | — | 12,070,569 |
South Africa | — | 14,762,378 | — | 14,762,378 |
South Korea | — | 46,679,166 | — | 46,679,166 |
Spain | 719,075 | 91,542,401 | 0* | 92,261,476 |
Sweden | — | 80,558,080 | — | 80,558,080 |
Switzerland | 1,436,175 | 211,411,155 | — | 212,847,330 |
Taiwan | 14,628,232 | 27,089,961 | — | 41,718,193 |
Notes to Financial Statements (Continued)
March 31, 2023
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Thailand | $— | $696,482 | $— | $696,482 |
Turkey | — | 20,449,767 | — | 20,449,767 |
United Kingdom | 28,643,030 | 297,048,378 | — | 325,691,408 |
United States | 107,623,542 | 240,144,703 | — | 347,768,245 |
Total Common Stocks | 305,423,590 | 3,177,077,475 | 249,587 | 3,482,750,652 |
Investment Companies | 12,856,860 | — | — | 12,856,860 |
Preferred Stocks | ||||
Brazil | 5,376,122 | — | — | 5,376,122 |
Germany | — | 25,483,970 | — | 25,483,970 |
South Korea | — | 1,872,027 | — | 1,872,027 |
Total Preferred Stocks | 5,376,122 | 27,355,997 | — | 32,732,119 |
Warrant | 298,231 | — | — | 298,231 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 146,394,653 | — | — | 146,394,653 |
Futures Contracts† | ||||
Buy | 4,744,689 | — | — | 4,744,689 |
Total | $475,094,145 | $3,204,433,472 | $249,587 | $3,679,777,204 |
* | Represents one or more Level 3 securities at $0 value as of March 31, 2023. |
† | 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 | ||||
Asset Backed Securities | $— | $142,119,502 | $— | $142,119,502 |
Corporate Debt | — | 441,563,343 | 324 | 441,563,667 |
Mortgage Backed Securities - Private Issuers | — | 121,350,712 | — | 121,350,712 |
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 347,082,008 | — | 347,082,008 |
Notes to Financial Statements (Continued)
March 31, 2023
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Municipal Obligations | $— | $15,525,562 | $— | $15,525,562 |
Sovereign Debt Obligations | — | 4,512,233 | — | 4,512,233 |
U.S. Government and Agency Obligations | — | 210,721,936 | — | 210,721,936 |
Total Debt Obligations | — | 1,282,875,296 | 324 | 1,282,875,620 |
Common Stock | — | — | 10,197 | 10,197 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 14,825,703 | — | — | 14,825,703 |
Futures Contracts† | ||||
Buys | 1,562,812 | — | — | 1,562,812 |
Swaps | ||||
Centrally Cleared Interest Rate Swaps† | — | 331,113 | — | 331,113 |
Forward Foreign Currency Contract† | — | 91,637 | — | 91,637 |
Total | $16,388,515 | $1,283,298,046 | $10,521 | $1,299,697,082 |
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 | $— | $(1,437,481 ) | $— | $(1,437,481 ) |
Futures Contracts† | ||||
Buy | (17,453 ) | — | — | (17,453 ) |
Sales | (2,276,128 ) | — | — | (2,276,128 ) |
Total Futures Contracts | (2,293,581 ) | — | — | (2,293,581 ) |
Forward Foreign Currency Contracts† | — | (312,654 ) | — | (312,654 ) |
Total | $(2,293,581 ) | $(1,750,135 ) | $— | $(4,043,716 ) |
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Notes to Financial Statements (Continued)
March 31, 2023
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 | ||||
Asset Backed Securities | $— | $83,913,539 | $— | $83,913,539 |
Bank Loans | — | 146,299,033 | 1,235,469 | 147,534,502 |
Convertible Debt | — | 9,916,554 | — | 9,916,554 |
Corporate Debt | — | 429,282,785 | — | 429,282,785 |
Mortgage Backed Securities - Private Issuers | — | 71,121,658 | — | 71,121,658 |
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 336,618 | — | 336,618 |
Sovereign Debt Obligations | — | 435,000,628 | — | 435,000,628 |
U.S. Government and Agency Obligations | — | 4,789,742 | — | 4,789,742 |
Total Debt Obligations | — | 1,180,660,557 | 1,235,469 | 1,181,896,026 |
Common Stocks | ||||
Energy | 69 | — | — | 69 |
Industrial | — | — | 0* | — |
Total Common Stocks | 69 | — | 0 | 69 |
Convertible Preferred Stocks | ||||
Energy | — | 3,667,762 | — | 3,667,762 |
Utilities | 216,947 | — | — | 216,947 |
Total Convertible Preferred Stocks | 216,947 | 3,667,762 | — | 3,884,709 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 43,309,368 | — | — | 43,309,368 |
Purchased Options | ||||
Purchased Currency Options | — | 136,537 | — | 136,537 |
Purchased Futures Options | 239,450 | — | — | 239,450 |
Total Purchased Options | 239,450 | 136,537 | — | 375,987 |
Futures Contracts† | ||||
Buys | 5,028,476 | — | — | 5,028,476 |
Sales | 363,480 | — | — | 363,480 |
Total Futures Contracts | 5,391,956 | — | — | 5,391,956 |
Notes to Financial Statements (Continued)
March 31, 2023
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Swaps | ||||
OTC Interest Rate Swaps | $— | $256,829 | $— | $256,829 |
Centrally Cleared Interest Rate Swaps† | — | 928,025 | — | 928,025 |
OTC Credit Default Swap | — | 5,371 | — | 5,371 |
Centrally Cleared Credit Default Swap† | — | 116,309 | — | 116,309 |
Total Swaps | — | 1,306,534 | — | 1,306,534 |
Forward Foreign Currency Contracts† | — | 5,389,066 | — | 5,389,066 |
Total | $49,157,790 | $1,191,160,456 | $1,235,469 | $1,241,553,715 |
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 | $(149,665 ) | $— | $— | $(149,665 ) |
Sales | (21,438 ) | — | — | (21,438 ) |
Total Futures Contracts | (171,103 ) | — | — | (171,103 ) |
Swaps | ||||
OTC Interest Rate Swap | — | (647 ) | — | (647 ) |
Centrally Cleared Interest Rate Swaps† | — | (694,282 ) | — | (694,282 ) |
OTC Credit Default Swap | — | (8,823 ) | — | (8,823 ) |
Centrally Cleared Credit Default Swaps† | — | (141,610 ) | — | (141,610 ) |
Total Swaps | — | (845,362 ) | — | (845,362 ) |
Forward Foreign Currency Contracts† | — | (6,236,287 ) | — | (6,236,287 ) |
Written Options | ||||
Written Currency Option | — | (30,271 ) | — | (30,271 ) |
Written Futures Options | (63,452 ) | — | — | (63,452 ) |
Total Written Options | (63,452 ) | (30,271 ) | — | (93,723 ) |
Total | $(234,555 ) | $(7,111,920 ) | $— | $(7,346,475 ) |
* | Represents one or more Level 3 securities at $0 value as of March 31, 2023. |
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Notes to Financial Statements (Continued)
March 31, 2023
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 | ||||
Brazil | $105,297,675 | $— | $— | $105,297,675 |
Canada | 10,611,324 | — | — | 10,611,324 |
Chile | 5,998,587 | — | — | 5,998,587 |
China | 31,101,297 | 473,322,381 | — | 504,423,678 |
Greece | — | 6,109,771 | — | 6,109,771 |
Hong Kong | — | 43,095,589 | — | 43,095,589 |
Hungary | — | 5,470,608 | — | 5,470,608 |
India | 5,824,995 | 175,462,975 | — | 181,287,970 |
Indonesia | — | 38,289,248 | — | 38,289,248 |
Italy | — | 12,899,684 | — | 12,899,684 |
Japan | — | 7,857,929 | — | 7,857,929 |
Macau | — | 16,411,465 | — | 16,411,465 |
Malaysia | — | 6,655,548 | — | 6,655,548 |
Mexico | 79,990,859 | — | — | 79,990,859 |
Netherlands | — | 16,678,263 | — | 16,678,263 |
Peru | 4,552,098 | — | — | 4,552,098 |
Philippines | — | 20,887,866 | — | 20,887,866 |
Poland | — | 6,344,056 | — | 6,344,056 |
Portugal | — | 7,259,637 | — | 7,259,637 |
Russia | — | 1,249,436 | 522,998 | 1,772,434 |
Saudi Arabia | — | 3,757,086 | — | 3,757,086 |
Singapore | — | 6,176,804 | — | 6,176,804 |
South Africa | — | 45,194,808 | — | 45,194,808 |
South Korea | 368,550 | 111,592,733 | — | 111,961,283 |
Taiwan | 34,367,262 | 153,318,494 | — | 187,685,756 |
Thailand | — | 30,854,721 | — | 30,854,721 |
Turkey | — | 11,030,776 | — | 11,030,776 |
United Kingdom | — | 7,870,036 | — | 7,870,036 |
United States | 4,676,417 | — | — | 4,676,417 |
Total Common Stocks | 282,789,064 | 1,207,789,914 | 522,998 | 1,491,101,976 |
Preferred Stocks | 13,802,856 | — | — | 13,802,856 |
Warrant | — | 705,136 | — | 705,136 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 21,409,984 | — | — | 21,409,984 |
Notes to Financial Statements (Continued)
March 31, 2023
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 | $1,462,974 | $— | $— | $1,462,974 |
Total | $319,464,878 | $1,208,495,050 | $522,998 | $1,528,482,926 |
† | 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 | $408,650 | $15,868,646 | $— | $16,277,296 |
Austria | — | 107,015 | — | 107,015 |
Belgium | — | 70,014 | — | 70,014 |
Bermuda | 2,498,841 | — | — | 2,498,841 |
Brazil | — | 1,533,794 | — | 1,533,794 |
Burkina Faso | — | 377,793 | — | 377,793 |
Canada | 41,027,976 | — | — | 41,027,976 |
China | 6,562,425 | 1,184,279 | — | 7,746,704 |
Denmark | — | 6,485,105 | — | 6,485,105 |
Finland | — | 3,179,188 | — | 3,179,188 |
France | — | 51,263,545 | — | 51,263,545 |
Georgia | — | 1,884,334 | — | 1,884,334 |
Germany | — | 16,621,302 | — | 16,621,302 |
Hong Kong | 5,159 | 8,634,826 | — | 8,639,985 |
Israel | 8,738,297 | 3,048,815 | — | 11,787,112 |
Italy | — | 454,630 | — | 454,630 |
Japan | — | 48,553,025 | — | 48,553,025 |
Netherlands | — | 22,704,780 | — | 22,704,780 |
New Zealand | — | 2,902,454 | — | 2,902,454 |
Norway | — | 4,640,159 | — | 4,640,159 |
Portugal | — | 189,566 | — | 189,566 |
Puerto Rico | 1,607,480 | — | — | 1,607,480 |
Singapore | — | 7,304,444 | — | 7,304,444 |
Notes to Financial Statements (Continued)
March 31, 2023
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
South Korea | $— | $3,889,071 | $— | $3,889,071 |
Spain | — | 10,474,616 | — | 10,474,616 |
Sweden | — | 844,671 | — | 844,671 |
Switzerland | — | 10,979,082 | — | 10,979,082 |
United Kingdom | 1,933,764 | 33,750,707 | — | 35,684,471 |
United States | 740,486,548 | 26,696,207 | — | 767,182,755 |
Total Common Stocks | 803,269,140 | 283,642,068 | — | 1,086,911,208 |
Preferred Stocks | — | 1,107,242 | — | 1,107,242 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 16,149,865 | — | — | 16,149,865 |
Futures Contracts† | ||||
Buys | 958,409 | — | — | 958,409 |
Total | $820,377,414 | $284,749,310 | $— | $1,105,126,724 |
† | 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. |
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Large Cap | |||||
Asset Derivatives | |||||
Futures Contracts(1) | $— | $— | $— | $709,385 | $709,385 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | (3,363,450 ) | (3,363,450 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | 116,357 | 116,357 |
Small/Mid Cap | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 1,090,637 | 1,090,637 |
Notes to Financial Statements (Continued)
March 31, 2023
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | $— | $— | $— | $(2,249,444 ) | $(2,249,444 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | 596,301 | 596,301 |
Non-US Core Equity | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 4,744,689 | 4,744,689 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | (5,887,753 ) | (5,887,753 ) |
Forward Foreign Currency Contracts | — | 1,264 | — | — | 1,264 |
Total Realized Gain (Loss) | $— | $1,264 | $— | $(5,887,753 ) | $(5,886,489 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | 726,471 | 726,471 |
Core Fixed | |||||
Asset Derivatives | |||||
Futures Contracts(1) | 1,562,812 | — | — | — | 1,562,812 |
Forward Foreign Currency Contracts(4) | — | 91,637 | — | — | 91,637 |
Centrally Cleared Swap Contracts(5) | 331,113 | — | — | — | 331,113 |
Total Value | $1,893,925 | $91,637 | $— | $— | $1,985,562 |
Liability Derivatives | |||||
Futures Contracts(1) | (2,293,581 ) | — | — | — | (2,293,581 ) |
Forward Foreign Currency Contracts(6) | — | (312,654 ) | — | — | (312,654 ) |
Total Value | $(2,293,581 ) | $(312,654 ) | $— | $— | $(2,606,235 ) |
Net Realized Gain (Loss)(2) | |||||
Swaps Contracts | 5,004 | — | — | — | 5,004 |
Futures Contracts | 301,044 | — | — | — | 301,044 |
Forward Foreign Currency Contracts | — | 748,913 | — | — | 748,913 |
Total Realized Gain (Loss) | $306,048 | $748,913 | $— | $— | $1,054,961 |
Change in Appreciation (Depreciation)(3) | |||||
Swaps Contracts | 331,113 | — | — | — | 331,113 |
Futures Contracts | (355,734 ) | — | — | — | (355,734 ) |
Forward Foreign Currency Contracts | — | (419,663 ) | — | — | (419,663 ) |
Total Change in Appreciation (Depreciation) | $(24,621 ) | $(419,663 ) | $— | $— | $(444,284 ) |
Notes to Financial Statements (Continued)
March 31, 2023
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Opportunistic Fixed | |||||
Asset Derivatives | |||||
Options Purchased(7) | $— | $137,337 | $— | $238,650 | $375,987 |
Futures Contracts(1) | 5,391,956 | — | — | — | 5,391,956 |
Forward Foreign Currency Contracts(4) | — | 5,389,066 | — | — | 5,389,066 |
OTC Swaps Contracts | 256,829 | — | 5,371 | — | 262,200 |
Centrally Cleared Swap Contracts(5) | 928,025 | — | 116,309 | — | 1,044,334 |
Total Value | $6,576,810 | $5,526,403 | $121,680 | $238,650 | $12,463,543 |
Liability Derivatives | |||||
Options Written(8) | (23,352 ) | (30,271 ) | — | (40,100 ) | (93,723 ) |
Futures Contracts(1) | (171,103 ) | — | — | — | (171,103 ) |
Forward Foreign Currency Contracts(6) | — | (6,236,287 ) | — | — | (6,236,287 ) |
OTC Swaps Contracts | (647 ) | — | (8,823 ) | — | (9,470 ) |
Centrally Cleared Swap Contracts(5) | (694,282 ) | — | (141,610 ) | — | (835,892 ) |
Total Value | $(889,384 ) | $(6,266,558 ) | $(150,433 ) | $(40,100 ) | $(7,346,475 ) |
Net Realized Gain (Loss)(2) | |||||
Options Purchased | 1,090,837 | (1,124,417 ) | — | (1,220,991 ) | (1,254,571 ) |
Options Written | (359,095 ) | 493,759 | — | 177,097 | 311,761 |
Swaps Contracts | 109,245 | — | (1,393,514 ) | — | (1,284,269 ) |
Futures Contracts | (18,680,529 ) | — | — | — | (18,680,529 ) |
Forward Foreign Currency Contracts | — | 5,267,377 | — | — | 5,267,377 |
Total Realized Gain (Loss) | $(17,839,542 ) | $4,636,719 | $(1,393,514 ) | $(1,043,894 ) | $(15,640,231 ) |
Change in Appreciation (Depreciation)(3) | |||||
Options Purchased | (610,788 ) | 123,178 | — | 260,171 | (227,439 ) |
Options Written | 224,078 | 196,611 | — | 76,411 | 497,100 |
Swaps Contracts | 521,393 | — | 168,910 | — | 690,303 |
Futures Contracts | 7,760,023 | — | — | — | 7,760,023 |
Forward Foreign Currency Contracts | — | 905,355 | — | — | 905,355 |
Total Change in Appreciation (Depreciation) | $7,894,706 | $1,225,144 | $168,910 | $336,582 | $9,625,342 |
Emerging Markets | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 1,462,974 | 1,462,974 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | (16,414,479 ) | (16,414,479 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | (1,946,225 ) | (1,946,225 ) |
Notes to Financial Statements (Continued)
March 31, 2023
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Global Low Volatility | |||||
Asset Derivatives | |||||
Futures Contracts(1) | $— | $11,975 | $— | $946,434 | $958,409 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | (85,937 ) | — | (4,651,937 ) | (4,737,874 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | 11,975 | — | 884,766 | 896,741 |
(1) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under “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, if any. |
(4) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(5) | 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 Statements of Assets and Liabilities. |
(6) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(7) | Statements of Assets and Liabilities location: Investments, at value. |
(8) | Statements of Assets and Liabilities location: Written options, at value. |
For the year ended March 31, 2023, 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 | $— | $— | $30,319,388 | $— | $— | $— |
Small/Mid Cap | — | — | 42,366,069 | — | — | — |
Non-US Core Equity | — | — | 89,750,608 | — | — | 643,758 |
Core Fixed | — | 19,130,000 | 120,251,524 | (66,529,368 ) | — | 28,636,499 |
Opportunistic Fixed | 21,596,221 | 79,367,527 | 373,916,175 | (52,443,753 ) | (12,625,175 ) | 531,953,697 |
Emerging Markets | — | — | 60,255,583 | (1,397,503 ) | — | — |
Global Low Volatility | — | — | 21,381,295 | — | — | — |
(1) | Amounts disclosed represent average notional value for the months that the Funds held such derivatives during the year ended March 31, 2023. |
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
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 | $91,637 | $(91,243 ) | $— | $— | $394 |
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) |
Barclays Bank Plc | $(91,243 ) | $91,243 | $— | $— | $— |
JPMorgan Chase Bank N.A. | (221,411 ) | — | — | — | (221,411 ) |
Total | $(312,654 ) | $91,243 | $— | $— | $(221,411 ) |
(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. | $247,089 | $(247,089 ) | $— | $— | $— |
Barclays Bank Plc | 105,285 | (105,285 ) | — | — | — |
BNP Paribas S.A. | 186,063 | (143,897 ) | (42,166 ) | — | — |
Citibank N.A. | 326,774 | (125,122 ) | (28,899 ) | (90,000 ) | 82,753 |
Deutsche Bank AG | 46,865 | (46,865 ) | — | — | — |
Goldman Sachs & Co. | 553,774 | (239,380 ) | — | (40,000 ) | 274,394 |
Goldman Sachs International | 31,313 | (31,313 ) | — | — | — |
HSBC Bank Plc | 748,641 | (687,341 ) | (9,975 ) | — | 51,325 |
HSBC Bank USA, N.A. | 98,641 | (54,969 ) | — | — | 43,672 |
HSBC Sec. New York | 17,346 | — | — | — | 17,346 |
JPMorgan Chase Bank N.A. | 1,748,064 | (1,748,064 ) | — | — | — |
Morgan Stanley & Co. | 5,371 | (5,371 ) | — | — | — |
Morgan Stanley and Co. International Plc | 335,678 | (335,678 ) | — | — | — |
Morgan Stanley Capital Services, Inc. | 504,103 | (504,103 ) | — | — | — |
Notes to Financial Statements (Continued)
March 31, 2023
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) |
Natwest Markets Plc | $253,625 | $(29,385 ) | $(31,559 ) | $— | $192,681 |
Standard Chartered Bank | 111 | (111 ) | — | — | — |
State Street Bank London | 107,760 | (31,816 ) | — | — | 75,944 |
Toronto Dominion Bank | 134,879 | (24,860 ) | — | — | 110,019 |
UBS AG | 186,573 | (121,582 ) | — | (30,000 ) | 34,991 |
UBS CME | 149,848 | — | — | — | 149,848 |
Total | $5,787,803 | $(4,482,231 ) | $(112,599 ) | $(160,000 ) | $1,032,973 |
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. | $(338,430 ) | $247,089 | $— | $— | $(91,341 ) |
Barclays Bank Plc | (114,986 ) | 105,285 | — | — | (9,701 ) |
BNP Paribas S.A. | (143,897 ) | 143,897 | — | — | — |
Citibank N.A. | (125,122 ) | 125,122 | — | — | — |
Deutsche Bank AG | (96,608 ) | 46,865 | 49,743 | — | — |
Goldman Sachs & Co. | (239,380 ) | 239,380 | — | — | — |
Goldman Sachs International | (99,222 ) | 31,313 | — | — | (67,909 ) |
HSBC Bank Plc | (687,341 ) | 687,341 | — | — | — |
HSBC Bank USA, N.A. | (54,969 ) | 54,969 | — | — | — |
JPMorgan Chase Bank N.A. | (2,578,655 ) | 1,748,064 | — | 753,528 | (77,063 ) |
Morgan Stanley & Co. | (8,823 ) | 5,371 | 3,452 | — | — |
Morgan Stanley and Co. International Plc | (474,170 ) | 335,678 | — | — | (138,492 ) |
Morgan Stanley Capital Services, Inc. | (1,065,176 ) | 504,103 | — | — | (561,073 ) |
Natwest Markets Plc | (29,385 ) | 29,385 | — | — | — |
Standard Chartered Bank | (27,051 ) | 111 | — | — | (26,940 ) |
State Street Bank and Trust | (7,596 ) | — | — | — | (7,596 ) |
State Street Bank London | (31,816 ) | 31,816 | — | — | — |
Toronto Dominion Bank | (24,860 ) | 24,860 | — | — | — |
UBS AG | (121,582 ) | 121,582 | — | — | — |
Total | $(6,269,069 ) | $4,482,231 | $53,195 | $753,528 | $(980,115 ) |
(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. |
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | |
Large Cap | $6,771,633 | $4,247,905 | $2,573,780 |
Small/Mid Cap | 29,455,775 | 9,382,530 | 20,485,248 |
Non-US Core Equity | 229,914,418 | 146,394,653 | 97,199,498 |
Core Fixed | 21,635,832 | 14,825,703 | 7,085,453 |
Opportunistic Fixed | 44,322,699 | 43,309,368 | 1,622,483 |
Emerging Markets | 34,566,094 | 21,409,984 | 14,842,438 |
Global Low Volatility | 19,839,699 | 16,149,865 | 4,553,777 |
Remaining Contractual Maturity of the Agreements As of March 31, 2023 | |||||
Overnight and Continuous | ˂ 30 days | Between 30 & 90 days | ˃ 90 days | Total | |
Securities Lending Transactions | |||||
Convertible Debt | $284,634 | $— | $— | $— | $284,634 |
Corporate Debt | 35,513,051 | — | — | — | 35,513,051 |
Sovereign Debt Obligations | 3,575,831 | — | — | — | 3,575,831 |
U.S. Government and Agency Obligations | 3,935,852 | — | — | — | 3,935,852 |
Total Borrowings | $43,309,368 | $— | $— | $— | $43,309,368 |
Gross amount of recognized liabilities for securities lending transaction | $43,309,368 |
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Borrower | Par | Cost | Value | Unrealized Gain (Loss) |
Athenahealth Group, Inc. | $13,043 | $13,043 | $12,163 | $(880 ) |
Thermostat Purchaser III, Inc. | 49,431 | 49,531 | 47,454 | (2,077 ) |
VT Topco, Inc. | 156 | 156 | 154 | (2 ) |
$62,630 | $62,730 | $59,771 | $(2,959 ) |
Unlimited | |
Non-US Core Equity | $70,946,522 |
Core Fixed | $89,708,127 |
Opportunistic Fixed | $93,462,345 |
Emerging Markets | $185,454,377 |
Notes to Financial Statements (Continued)
March 31, 2023
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Large Cap | $991,070,885 | $159,725,072 | $(80,989,156 ) | $78,735,916 |
Small/Mid Cap | 1,438,661,680 | 257,310,735 | (126,873,324 ) | 130,437,411 |
Non-US Core Equity | 3,613,513,330 | 376,765,625 | (315,246,440 ) | 61,519,185 |
Core Fixed | 1,417,989,401 | 7,140,438 | (128,524,687 ) | (121,384,249 ) |
Opportunistic Fixed | 1,302,599,731 | 16,112,550 | (89,246,122 ) | (73,133,572 ) |
Emerging Markets | 1,680,123,738 | 103,768,640 | (256,872,426 ) | (153,103,786 ) |
Global Low Volatility | 1,019,869,272 | 135,091,651 | (50,792,608 ) | 84,299,043 |
2023 | 2022 | |||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | Return of Capital | |
Large Cap | $— | $88,059,388 | $— | $20,757,558 | $132,406,816 | $— |
Small/Mid Cap | 15,024,409 | 107,001,311 | — | 104,275,807 | 223,221,645 | — |
Non-US Core Equity | 18,028,047 | 83,464,600 | — | 265,504,360 | 335,410,397 | — |
Core Fixed | 41,473,259 | — | — | 27,671,089 | 4,486,145 | — |
Opportunistic Fixed | 42,956,028 | — | — | 35,988,286 | — | — |
Emerging Markets | 36,473,175 | — | — | 93,881,557 | 104,647,973 | — |
Notes to Financial Statements (Continued)
March 31, 2023
2023 | 2022 | |||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | Return of Capital | |
Global Low Volatility | $31,766,487 | $46,770,334 | $— | $22,655,390 | $134,130,648 | $— |
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Losses and Other Temporary Differences | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | |
Large Cap | $15,968,499 | $15,853,655 | $— | $78,736,267 | $110,558,421 |
Small/Mid Cap | 1,663,073 | — | (5,282,979 ) | 130,437,421 | 126,817,515 |
Non-US Core Equity | 100,003,025 | — | (70,946,522 ) | 61,087,360 | 90,143,863 |
Core Fixed | 10,343,049 | — | (89,708,127 ) | (121,372,314 ) | (200,737,392 ) |
Opportunistic Fixed | 21,925,286 | — | (93,462,345 ) | (72,560,568 ) | (144,097,627 ) |
Emerging Markets | 6,157,165 | — | (185,454,377 ) | (153,744,180 ) | (333,041,392 ) |
Global Low Volatility | 19,219,163 | 10,641,662 | — | 84,333,672 | 114,194,497 |
Notes to Financial Statements (Continued)
March 31, 2023
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. |
Notes to Financial Statements (Continued)
March 31, 2023
Long-Term U.S. Government Securities | Other Long-Term Securities | |
Purchases | ||
Large Cap | $— | $347,867,426 |
Small/Mid Cap | — | 669,299,158 |
Non-US Core Equity | — | 1,735,694,924 |
Core Fixed | 2,644,131,519 * | 207,786,364 |
Opportunistic Fixed | 24,759,573 | 885,042,813 |
Emerging Markets | — | 1,488,650,064 |
Global Low Volatility | — | 325,543,455 |
Long-Term U.S. Government Securities | Other Long-Term Securities | |
Sales | ||
Large Cap | $— | $532,723,840 |
Small/Mid Cap | — | 691,756,465 |
Non-US Core Equity | — | 1,565,668,069 |
Core Fixed | 2,636,312,445 * | 262,018,774 |
Opportunistic Fixed | 58,363,618 | 621,966,582 |
Emerging Markets | — | 1,327,680,319 |
Global Low Volatility | — | 471,639,320 |
* | Includes purchases of $1,125,208,747 and sales of $1,124,570,412 for TBA securities. |
Notes to Financial Statements (Continued)
March 31, 2023
Large Cap | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 4,537,342 | $44,446,890 | 3,292,166 | $41,900,630 |
Shares issued to shareholders in reinvestment of distributions | 9,519,934 | 88,059,388 | 12,381,922 | 153,164,374 |
Shares repurchased | (25,700,471 ) | (254,538,486 ) | (16,361,027 ) | (206,858,539 ) |
Net decrease | (11,643,195 ) | $(122,032,208 ) | (686,939 ) | $(11,793,535 ) |
Small/Mid Cap | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 23,572,091 | $243,402,511 | 17,437,012 | $231,465,353 |
Shares issued to shareholders in reinvestment of distributions | 12,355,061 | 121,820,903 | 26,672,924 | 327,010,046 |
Shares repurchased | (23,024,747 ) | (243,889,521 ) | (28,752,187 ) | (395,256,506 ) |
Net increase | 12,902,405 | $121,333,893 | 15,357,749 | $163,218,893 |
Notes to Financial Statements (Continued)
March 31, 2023
Non-US Core Equity | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 58,499,693 | $546,682,413 | 81,023,506 | $991,262,362 |
Shares issued to shareholders in reinvestment of distributions | 10,802,945 | 97,766,654 | 54,329,508 | 599,254,468 |
Shares repurchased | (64,076,147 ) | (579,318,215 ) | (87,361,191 ) | (1,100,989,104 ) |
Net increase | 5,226,491 | $65,130,852 | 47,991,823 | $489,527,726 |
Class I:* | ||||
Shares sold | 15,313,425 | 138,015,825 | 243,263 | 3,159,985 |
Shares issued to shareholders in reinvestment of distributions | 384,249 | 3,469,767 | 44,939 | 495,675 |
Shares repurchased | (1,467,939 ) | (12,786,274 ) | — | — |
Net increase | 14,229,735 | $128,699,318 | 288,202 | $3,655,660 |
Core Fixed | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 40,524,008 | $370,789,113 | 45,916,697 | $480,297,012 |
Shares issued to shareholders in reinvestment of distributions | 4,433,061 | 39,631,562 | 3,063,726 | 31,985,302 |
Shares repurchased | (46,949,983 ) | (428,241,868 ) | (29,088,916 ) | (306,948,478 ) |
Net increase (decrease) | (1,992,914 ) | $(17,821,193 ) | 19,891,507 | $205,333,836 |
Class I:** | ||||
Shares sold | 105,724 | 945,640 | 10,280,356 | 106,539,496 |
Shares issued to shareholders in reinvestment of distributions | 175,697 | 1,570,728 | — | — |
Shares repurchased | (4,442,428 ) | (40,906,743 ) | (598,919 ) | (5,975,417 ) |
Net increase (decrease) | (4,161,007 ) | $(38,390,375 ) | 9,681,437 | $100,564,079 |
Notes to Financial Statements (Continued)
March 31, 2023
Opportunistic Fixed | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 52,090,362 | $428,562,412 | 47,045,253 | $450,031,319 |
Shares issued to shareholders in reinvestment of distributions | 5,322,132 | 42,896,383 | 3,837,019 | 35,914,494 |
Shares repurchased | (21,623,694 ) | (176,369,226 ) | (16,191,116 ) | (154,834,817 ) |
Net increase | 35,788,800 | $295,089,569 | 34,691,156 | $331,110,996 |
Emerging Markets | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 54,693,138 | $413,230,593 | 70,433,580 | $743,231,851 |
Shares issued to shareholders in reinvestment of distributions | 5,102,088 | 36,377,884 | 20,700,953 | 198,108,117 |
Shares repurchased | (41,503,685 ) | (300,605,232 ) | (32,569,435 ) | (353,614,531 ) |
Net increase | 18,291,541 | $149,003,245 | 58,565,098 | $587,725,437 |
Global Low Volatility | ||||
Year Ended March 31, 2023 | Year Ended March 31, 2022 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 14,165,096 | $180,218,543 | 33,074,478 | $499,899,757 |
Shares issued to shareholders in reinvestment of distributions | 6,561,138 | 78,536,821 | 10,738,770 | 156,786,038 |
Shares repurchased | (28,791,956 ) | (362,952,785 ) | (27,607,264 ) | (422,204,233 ) |
Net increase (decrease) | (8,065,722 ) | $(104,197,421 ) | 16,205,984 | $234,481,562 |
* | The Class commenced operations on July 22, 2021. |
** | The Class commenced operations on December 27, 2021. |
Notes to Financial Statements (Continued)
March 31, 2023
Notes to Financial Statements (Continued)
March 31, 2023
Boston, Massachusetts
May 23, 2023
Additional Information (Unaudited)
Fund | |
Large Cap | $88,059,388 |
Small/Mid Cap | 107,001,311 |
Non-US Core Equity | 83,464,600 |
Global Low Volatility | 46,770,334 |
Fund | |
Small/Mid Cap | $18,032,554 |
Non-US Core Equity | 124,445,329 |
Opportunistic Fixed | 944,599 |
Emerging Markets | 28,200,280 |
Global Low Volatility | 21,470,131 |
Additional Information (Unaudited) (Continued)
Fund | |
Small/Mid Cap | 100.00% |
Non-US Core Equity | 0.04% |
Opportunistic Fixed | 1.10% |
Emerging Markets | 0.05% |
Global Low Volatility | 34.48% |
Additional Information (Unaudited) (Continued)
Additional Information (Unaudited) (Continued)
Additional Information (Unaudited) (Continued)
Additional Information (Unaudited) (Continued)
Understanding Your Fund’s Expenses (Unaudited)
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.30 % | $1,000.00 | $1,134.20 | $1,067.10 | $1.60 |
Hypothetical | 0.30 | 1,000.00 | 1,023.44 | 1,011.72 | 1.51 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.45 % | $1,000.00 | $1,128.10 | $1,064.05 | $2.39 |
Hypothetical | 0.45 | 1,000.00 | 1,022.69 | 1,011.35 | 2.27 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 182/365. |
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.38 % | $1,000.00 | $1,260.80 | $1,130.40 | $2.14 |
Hypothetical | 0.38 | 1,000.00 | 1,023.04 | 1,011.52 | 1.92 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.38%, multiplied by the average account value over the period, multiplied by 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.63 % | $1,000.00 | $1,260.00 | $1,130.00 | $3.55 |
Hypothetical | 0.63 | 1,000.00 | 1,021.79 | 1,010.90 | 3.18 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.15 % | $1,000.00 | $1,052.20 | $1,026.10 | $0.77 |
Hypothetical | 0.15 | 1,000.00 | 1,024.18 | 1,012.09 | 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 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.40 % | $1,000.00 | $1,051.00 | $1,025.50 | $2.05 |
Hypothetical | 0.40 | 1,000.00 | 1,022.94 | 1,011.47 | 2.02 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 182/365. |
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.44 % | $1,000.00 | $1,096.90 | $1,048.45 | $2.30 |
Hypothetical | 0.44 | 1,000.00 | 1,022.74 | 1,011.37 | 2.22 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.44%, multiplied by the average account value over the period, multiplied by 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.50 % | $1,000.00 | $1,159.20 | $1,079.60 | $2.69 |
Hypothetical | 0.50 | 1,000.00 | 1,022.44 | 1,011.22 | 2.52 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.50%, multiplied by the average account value over the period, multiplied by 182/365. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |
Actual | 0.31 % | $1,000.00 | $1,161.00 | $1,080.50 | $1.67 |
Hypothetical | 0.31 | 1,000.00 | 1,023.39 | 1,011.70 | 1.56 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 182/365. |
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 (65) | 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 (74) | 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 (60) | 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 (69) | 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** (58) | 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 |
Stephen Gouthro (55) | Vice President and Assistant Treasurer | 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 (54) | 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 (53) | Vice President, Treasurer and Chief Financial Officer | 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 (62) | 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 (46) | 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 (42) | 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 |
Nicole Wong (56) | Vice President and Chief Compliance Officer | Since 2022 | Ms. Wong serves as Chief Compliance Officer of Mercer Trust Company LLC since December 2022. Prior to joining Mercer, Ms. Wong was Director – Compliance, Schwab Asset Management from 2019-2022. Ms. Wong also served in various Compliance leadership roles at State Street Corporation from 2009 to 2019, where she was most recently Vice President, Alternative Investment Solutions Risk and Compliance Director. |
Kevin McKiernan (59) | 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) Not applicable.
Item 2. | Code of Ethics. |
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. During the period covered by this report, there were no amendments to the provisions of this code of ethics, nor were there any waivers, including implicit waivers, granted from the provisions of this code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 13(a)(1).
Item 3. | Audit Committee Financial Expert. |
The Registrant’s Board of Trustees has determined that Joan E. Steel, Adela M. Cepeda, Harrison M. Bains, Jr. and Luis Ubinas are “audit committee financial experts,” as such term is defined in Item 3 of Form N-CSR. Ms. Steel, Ms.Cepeda, Mr. Bains and Mr. Ubinas are “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Ms. Steel, Ms. Cepeda, Mr. Bains and Mr. Ubinas as “audit committee financial experts” pursuant to Item 3 of Form N-CSR does not (i) impose upon them any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon them as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees.
Item 4. | Principal Accountant Fees and Services. |
(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements was $405,500 and $391,900 for the fiscal years ended March 31, 2022 and March 31, 2023, respectively.
(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2022 and March 31, 2023 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.
(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $71,390 and $73,540 for the fiscal years ended March 31, 2022 and March 31, 2023, respectively. Fees in the amount of $31,942 and $72,566 were billed in the fiscal years ended March 31, 2022 and March 31, 2023, respectively, for review of non-US capital gains and the preparation and filing of return of income for Mercer Non-US Core Equity Fund and Mercer Emerging Markets Equity Fund.
(d) All Other Fees – Fees in the amount of $4,500 and $140,676.16 where billed in the fiscal year ended March 31, 2022 and March 31, 2023, respectively, for tax advisory services related to the reclamation of taxes paid by Mercer Non-US Core Equity Fund and Mercer Global Low Volatility Equity Fund in certain European Union countries.
(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2023 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | There were no aggregate fees billed for the fiscal year ended March 31, 2023 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant. |
(h) | Not applicable. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of 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 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 Trustees that have been implemented since 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 the 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)(3) Not applicable.
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 5/23/23 |
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 5/23/23 | ||
By (Signature and Title) | /s/ Jeffrey Coleman | |
Jeffrey Coleman | ||
Vice President, Treasurer and Chief Financial Officer | ||
(Principal Financial Officer) | ||
Date 5/23/23 |