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, 2024
Date of Reporting Period: March 31, 2024
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594imge8a81cda1.gif)
Mercer US Small/Mid Cap Equity Fund |
Mercer Emerging Markets Equity Fund |
Mercer Global Low Volatility Equity Fund |
Mercer Non-US Core Equity Fund |
Mercer Core Fixed Income Fund |
Mercer Opportunistic Fixed Income Fund |
Mercer Short Duration Fixed Income Fund |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594img0ee3f9792.jpg)
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 – 08/15/2005 | 21.61 % | 11.12 % | 8.68 % | 8.69 % |
Mercer US Small/Mid Cap Equity Fund – Class I – 06/27/2023 | — | — | — | 19.50 %* |
Russell 2500® Index | 21.43 % | 9.90 % | 8.84 % | 9.25 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594imgba062fe23.jpg)
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Emerging Markets Equity Fund – Class Y-3 – 05/01/2012 | 1.60 % | 0.26 % | 1.42 % | 1.43 % |
Mercer Emerging Markets Equity Fund – Class I – 06/27/2023 | — | — | — | 1.10 %* |
MSCI Emerging Markets® Index | 8.15 % | 2.22 % | 2.95 % | 2.61 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594img924c96ab4.jpg)
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 – 11/06/2012 | 18.14 % | 9.03 % | 8.53 % | 9.81 % |
Mercer Global Low Volatility Equity Fund – Class I – 06/27/2023 | — | — | — | 15.06 %* |
MSCI World® Index | 25.11 % | 12.07 % | 9.39 % | 10.87 % |
Secondary Index | 15.73 % | 8.30 % | 8.71 % | 9.72 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594img9a0db7d75.jpg)
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 – 08/18/2006 | 18.29 % | 8.68 % | 6.10 % | 4.74 % |
Mercer Non-US Core Equity Fund – Class I – 07/22/2021 | 18.08 % | — | — | 3.00 % |
MSCI EAFE Index® | 15.32 % | 7.33 % | 4.80 % | 4.95 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594img86455fba6.jpg)
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Core Fixed Income Fund – Class Y-3 – 08/15/2005 | 2.77 % | 1.00 % | 1.93 % | 3.25 % |
Mercer Core Fixed Income Fund – Class I – 12/27/2021 | 2.50 % | — | — | -4.09 % |
Bloomberg U.S. Aggregate Bond™ Index | 1.70 % | 0.36 % | 1.54 % | 3.03 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594img6993f6537.jpg)
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Opportunistic Fixed Income Fund – Class Y-3 – 08/21/2013 | 7.54 % | 2.38 % | 1.11 % | 1.70 % |
Mercer Opportunistic Fixed Income Fund – Class I – 06/27/2023 | — | — | — | 5.53 %* |
ICE Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged | 11.09 % | 3.12 % | 3.52 % | 4.11 % |
Secondary Index | 7.67 % | 2.21 % | 1.73 % | 1.94 % |
![](https://capedge.com/proxy/N-CSR/0001193125-24-153888/g831594imgd67229908.jpg)
AVERAGE ANNUAL TOTAL RETURNS | ||||
FUND AND INCEPTION DATE | 1 YEAR | 5 YEARS | 10 YEARS | SINCE INCEPTION |
Mercer Short Duration Fixed Income Fund – Class Y-3 – 12/01/2023 | — | — | — | 2.15 %* |
Bloomberg U.S. Gov/Credit 1-3 Year Index® | — | — | — | 1.62 % |
Shares | Description | Value ($) | |
COMMON STOCKS — 96.0% | |||
Basic Materials — 2.0% | |||
96,230 | ATI, Inc. * | 4,924,089 | |
42,800 | Chemours Co. | 1,123,928 | |
15,500 | Eastman Chemical Co. | 1,553,410 | |
210,941 | Element Solutions, Inc. | 5,269,306 | |
20,900 | Ingevity Corp. * | 996,930 | |
39,900 | Koppers Holdings, Inc. | 2,201,283 | |
48,900 | Mosaic Co. | 1,587,294 | |
23,284 | Quaker Chemical Corp. | 4,779,041 | |
11,000 | Reliance, Inc. | 3,675,980 | |
42,131 | RPM International, Inc. | 5,011,483 | |
33,300 | Steel Dynamics, Inc. | 4,936,059 | |
36,058,803 | |||
Communications — 2.6% | |||
47,900 | AMC Networks, Inc. Class A* | 581,027 | |
2,709 | Cable One, Inc. | 1,146,259 | |
48,000 | Cargurus, Inc. * | 1,107,840 | |
67,036 | Ciena Corp. * | 3,314,930 | |
66,785 | ePlus, Inc. * | 5,245,294 | |
19,500 | Expedia Group, Inc. * | 2,686,125 | |
21,338 | F5, Inc. * | 4,045,472 | |
59,500 | Fox Corp. Class A | 1,860,565 | |
73,100 | Gen Digital, Inc. | 1,637,440 | |
20,100 | Nexstar Media Group, Inc. | 3,463,029 | |
24,900 | Nice Ltd. ADR*(a) | 6,489,438 | |
9,700 | Preformed Line Products Co. | 1,248,099 | |
92,100 | TEGNA, Inc. | 1,375,974 | |
170,056 | TripAdvisor, Inc. * | 4,725,856 | |
16,861 | Wix.com Ltd. * | 2,318,050 | |
134,704 | Yelp, Inc. * | 5,307,338 | |
46,552,736 | |||
Consumer, Cyclical — 15.5% | |||
31,033 | Advance Auto Parts, Inc. | 2,640,598 | |
51,700 | Allison Transmission Holdings, Inc. | 4,195,972 | |
108,500 | American Axle & Manufacturing Holdings, Inc. * | 798,560 | |
25,100 | Autoliv, Inc. | 3,022,793 | |
280,340 | BJ's Wholesale Club Holdings, Inc. * | 21,207,721 | |
89,400 | Bloomin' Brands, Inc. | 2,563,992 | |
61,100 | BorgWarner, Inc. | 2,122,614 | |
20,800 | Brunswick Corp. | 2,007,616 | |
19,181 | Burlington Stores, Inc. * | 4,453,636 | |
32,500 | Capri Holdings Ltd. * | 1,472,250 | |
38,994 | Carter's, Inc. | 3,302,012 | |
13,711 | Casey's General Stores, Inc. | 4,366,268 | |
17,225 | Cavco Industries, Inc. * | 6,873,809 | |
54,411 | Churchill Downs, Inc. | 6,733,361 | |
34,213 | Columbia Sportswear Co. | 2,777,411 |
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
12,100 | Crocs, Inc. * | 1,739,980 | |
6,651 | Deckers Outdoor Corp. * | 6,260,320 | |
11,700 | Dick's Sporting Goods, Inc. | 2,630,862 | |
37,522 | Dorman Products, Inc. * | 3,616,746 | |
68,770 | Five Below, Inc. * | 12,473,503 | |
32,619 | Freshpet, Inc. * | 3,779,237 | |
101,984 | GCI Liberty, Inc. *(b)(c) | — | |
23,500 | Genesco, Inc. * | 661,290 | |
125,086 | Gentex Corp. | 4,518,106 | |
43,156 | Gentherm, Inc. * | 2,484,922 | |
33,600 | GMS, Inc. * | 3,270,624 | |
102,000 | Goodyear Tire & Rubber Co. * | 1,400,460 | |
20,304 | Group 1 Automotive, Inc. | 5,933,438 | |
56,889 | Guess?, Inc. | 1,790,297 | |
39,300 | Harley-Davidson, Inc. | 1,718,982 | |
47,600 | Haverty Furniture Cos., Inc. | 1,624,112 | |
27,400 | Hibbett, Inc. | 2,104,594 | |
14,500 | Jack in the Box, Inc. | 992,960 | |
47,700 | Kohl's Corp. | 1,390,455 | |
61,300 | La-Z-Boy, Inc. | 2,306,106 | |
56,788 | Light & Wonder, Inc. * | 5,797,487 | |
3,814 | Lithia Motors, Inc. | 1,147,480 | |
207,670 | LKQ Corp. | 11,091,655 | |
49,370 | M/I Homes, Inc. * | 6,728,637 | |
94,700 | Macy's, Inc. | 1,893,053 | |
96,500 | MillerKnoll, Inc. | 2,389,340 | |
40,100 | Movado Group, Inc. | 1,119,993 | |
13,027 | MSC Industrial Direct Co., Inc. Class A | 1,264,140 | |
18,475 | Murphy USA, Inc. | 7,744,720 | |
21,000 | Nu Skin Enterprises, Inc. Class A | 290,430 | |
39,500 | ODP Corp. * | 2,095,475 | |
144,030 | On Holding AG Class A*(a) | 5,095,781 | |
45,029 | OPENLANE, Inc. * | 779,002 | |
13,580 | Phinia, Inc. | 521,879 | |
80,235 | Polaris, Inc. | 8,033,128 | |
43,500 | PulteGroup, Inc. | 5,246,970 | |
25,100 | PVH Corp. | 3,529,311 | |
100,651 | Red Rock Resorts, Inc. Class A | 6,020,943 | |
81,900 | Sally Beauty Holdings, Inc. * | 1,017,198 | |
36,400 | ScanSource, Inc. * | 1,603,056 | |
46,155 | SiteOne Landscape Supply, Inc. * | 8,056,355 | |
69,319 | Skechers USA, Inc. Class A* | 4,246,482 | |
113,310 | Tapestry, Inc. | 5,379,959 | |
109,561 | Texas Roadhouse, Inc. | 16,923,888 | |
11,600 | Thor Industries, Inc. | 1,361,144 | |
38,700 | Toll Brothers, Inc. | 5,006,619 | |
130,089 | Tri Pointe Homes, Inc. * | 5,029,241 | |
46,084 | UniFirst Corp. | 7,992,348 | |
33,800 | United Airlines Holdings, Inc. * | 1,618,344 |
Shares | Description | Value ($) | |
Consumer, Cyclical — continued | |||
11,635 | Vail Resorts, Inc. | 2,592,627 | |
71,800 | Wabash National Corp. | 2,149,692 | |
36,463 | WESCO International, Inc. | 6,245,383 | |
17,700 | Whirlpool Corp. | 2,117,451 | |
6,900 | Williams-Sonoma, Inc. | 2,190,957 | |
6,960 | Wingstop, Inc. | 2,550,144 | |
19,100 | Winnebago Industries, Inc. | 1,413,400 | |
277,519,319 | |||
Consumer, Non-cyclical — 21.7% | |||
59,400 | ABM Industries, Inc. | 2,650,428 | |
93,142 | Acadia Healthcare Co., Inc. * | 7,378,709 | |
157,500 | ACCO Brands Corp. | 883,575 | |
119,000 | Albertsons Cos., Inc. Class A | 2,551,360 | |
551,615 | Alight, Inc. Class A* | 5,433,408 | |
101,060 | API Group Corp. * | 3,968,626 | |
79,148 | Ascendis Pharma AS ADR* | 11,964,803 | |
191,970 | Avantor, Inc. * | 4,908,673 | |
31,457 | Avery Dennison Corp. | 7,022,775 | |
27,675 | Axonics, Inc. * | 1,908,745 | |
65,122 | Azenta, Inc. * | 3,925,554 | |
133,315 | Bausch & Lomb Corp. *(a) | 2,306,349 | |
20,346 | Bio-Rad Laboratories, Inc. Class A* | 7,037,071 | |
31,710 | Booz Allen Hamilton Holding Corp. | 4,707,032 | |
84,567 | Bright Horizons Family Solutions, Inc. * | 9,586,515 | |
27,900 | Bunge Global SA | 2,860,308 | |
52,643 | Cimpress PLC * | 4,659,432 | |
453,441 | Clarivate PLC *(a) | 3,369,067 | |
52,900 | Conagra Brands, Inc. | 1,567,956 | |
455,341 | CoreCivic, Inc. * | 7,107,873 | |
5,000 | Corpay, Inc. * | 1,542,700 | |
24,960 | Cytokinetics, Inc. * | 1,749,946 | |
13,600 | DaVita, Inc. * | 1,877,480 | |
60,000 | Deluxe Corp. | 1,235,400 | |
394,128 | Dun & Bradstreet Holdings, Inc. | 3,957,045 | |
185,576 | Embecta Corp. | 2,462,593 | |
99,445 | Envista Holdings Corp. * | 2,126,134 | |
92,464 | EVERTEC, Inc. | 3,689,314 | |
50,857 | Exact Sciences Corp. * | 3,512,184 | |
124,400 | Exelixis, Inc. * | 2,952,012 | |
197,960 | Flywire Corp. * | 4,911,388 | |
14,954 | FTI Consulting, Inc. * | 3,144,677 | |
73,764 | Globus Medical, Inc. Class A* | 3,956,701 | |
20,434 | Grand Canyon Education, Inc. * | 2,783,315 | |
44,200 | H&R Block, Inc. | 2,170,662 | |
80,553 | Halozyme Therapeutics, Inc. * | 3,276,896 | |
57,438 | HealthEquity, Inc. * | 4,688,664 | |
26,900 | Henry Schein, Inc. * | 2,031,488 | |
40,700 | Herbalife Ltd. * | 409,035 |
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
68,515 | Hologic, Inc. * | 5,341,429 | |
43,500 | Incyte Corp. * | 2,478,195 | |
52,207 | Ingles Markets, Inc. Class A | 4,003,233 | |
29,900 | Ingredion, Inc. | 3,493,815 | |
83,674 | Insmed, Inc. * | 2,270,076 | |
20,280 | Inspire Medical Systems, Inc. * | 4,355,941 | |
14,960 | Insulet Corp. * | 2,564,144 | |
69,307 | Integer Holdings Corp. * | 8,086,741 | |
67,164 | Intra-Cellular Therapies, Inc. * | 4,647,749 | |
211,092 | Ironwood Pharmaceuticals, Inc. * | 1,838,611 | |
69,745 | Jazz Pharmaceuticals PLC * | 8,398,693 | |
22,014 | Lancaster Colony Corp. | 4,570,767 | |
58,460 | Lantheus Holdings, Inc. * | 3,638,550 | |
205,565 | Laureate Education, Inc. | 2,995,082 | |
96,860 | Legend Biotech Corp. ADR* | 5,432,877 | |
47,477 | LivaNova PLC * | 2,655,863 | |
33,000 | ManpowerGroup, Inc. | 2,562,120 | |
9,223 | MarketAxess Holdings, Inc. | 2,022,143 | |
308,860 | Marqeta, Inc. Class A* | 1,840,806 | |
27,340 | Masimo Corp. * | 4,014,879 | |
49,167 | Merit Medical Systems, Inc. * | 3,724,400 | |
107,510 | Molson Coors Beverage Co. Class B | 7,230,047 | |
70,754 | Natera, Inc. * | 6,471,161 | |
111,092 | Neurocrine Biosciences, Inc. * | 15,321,809 | |
149,066 | Nomad Foods Ltd. | 2,915,731 | |
196,270 | Option Care Health, Inc. * | 6,582,896 | |
112,000 | Organon & Co. | 2,105,600 | |
106,843 | Patterson Cos., Inc. | 2,954,209 | |
43,928 | Paylocity Holding Corp. * | 7,549,466 | |
12,945 | Penumbra, Inc. * | 2,889,065 | |
91,200 | Perdoceo Education Corp. | 1,601,472 | |
136,404 | Performance Food Group Co. * | 10,181,195 | |
22,800 | Prestige Consumer Healthcare, Inc. * | 1,654,368 | |
73,573 | PROCEPT BioRobotics Corp. *(a) | 3,635,978 | |
41,700 | PROG Holdings, Inc. | 1,436,148 | |
71,200 | Quanex Building Products Corp. | 2,736,216 | |
9,200 | Quest Diagnostics, Inc. | 1,224,612 | |
91,894 | Remitly Global, Inc. * | 1,905,882 | |
18,070 | Repligen Corp. * | 3,323,434 | |
159,111 | Rocket Pharmaceuticals, Inc. * | 4,286,450 | |
265,191 | Roivant Sciences Ltd. * | 2,795,113 | |
53,617 | Select Medical Holdings Corp. | 1,616,553 | |
34,740 | Shift4 Payments, Inc. Class A*(a) | 2,295,272 | |
14,763 | Shockwave Medical, Inc. * | 4,807,276 | |
97,027 | Simply Good Foods Co. * | 3,301,829 | |
41,700 | SpartanNash Co. | 842,757 | |
74,000 | Sprouts Farmers Market, Inc. * | 4,771,520 | |
110,622 | Tandem Diabetes Care, Inc. *(a) | 3,917,125 | |
30,479 | United Therapeutics Corp. * | 7,001,636 |
Shares | Description | Value ($) | |
Consumer, Non-cyclical — continued | |||
14,100 | Universal Health Services, Inc. Class B | 2,572,686 | |
61,200 | Upbound Group, Inc. | 2,154,852 | |
54,352 | Valvoline, Inc. * | 2,422,469 | |
48,240 | Vaxcyte, Inc. * | 3,295,274 | |
63,501 | Vericel Corp. * | 3,303,322 | |
39,642 | Vestis Corp. | 763,901 | |
69,586 | Viad Corp. * | 2,747,951 | |
198,700 | Viatris, Inc. | 2,372,478 | |
22,390 | Viking Therapeutics, Inc. *(a) | 1,835,980 | |
63,945 | WEX, Inc. * | 15,188,856 | |
121,550 | WillScot Mobile Mini Holdings Corp. * | 5,652,075 | |
388,876,671 | |||
Energy — 5.5% | |||
37,200 | APA Corp. | 1,278,936 | |
53,211 | California Resources Corp. | 2,931,926 | |
187,635 | ChampionX Corp. | 6,734,220 | |
17,815 | Chesapeake Energy Corp. (a) | 1,582,506 | |
31,027 | Chord Energy Corp. | 5,530,252 | |
118,300 | CNX Resources Corp. * | 2,806,076 | |
141,940 | Delek U.S. Holdings, Inc. | 4,363,236 | |
63,200 | Helmerich & Payne, Inc. | 2,658,192 | |
124,288 | HF Sinclair Corp. | 7,503,267 | |
57,700 | Liberty Energy, Inc. | 1,195,544 | |
292,474 | Magnolia Oil & Gas Corp. Class A | 7,589,700 | |
206,700 | Marathon Oil Corp. | 5,857,878 | |
113,642 | Matador Resources Co. | 7,587,876 | |
200,687 | NOV, Inc. | 3,917,410 | |
210,854 | Ovintiv, Inc. | 10,943,323 | |
64,200 | PBF Energy, Inc. Class A | 3,695,994 | |
720,936 | Permian Resources Corp. | 12,731,730 | |
126,480 | SM Energy Co. | 6,305,028 | |
10,298 | Vitesse Energy, Inc. | 244,372 | |
37,135 | Warrior Met Coal, Inc. | 2,254,095 | |
97,711,561 | |||
Financial — 15.2% | |||
50,414 | Agree Realty Corp. REIT | 2,879,648 | |
40,400 | Ally Financial, Inc. | 1,639,836 | |
81,800 | American Assets Trust, Inc. REIT | 1,792,238 | |
44,750 | Annaly Capital Management, Inc. REIT | 881,127 | |
82,800 | Apple Hospitality REIT, Inc. REIT | 1,356,264 | |
84,400 | ARES Capital Corp. | 1,757,208 | |
97,500 | Associated Banc-Corp. | 2,097,225 | |
93,789 | Atlantic Union Bankshares Corp. | 3,311,690 | |
110,352 | Axis Capital Holdings Ltd. | 7,175,087 | |
62,559 | Axos Financial, Inc. * | 3,380,688 | |
35,400 | Bank of NT Butterfield & Son Ltd. | 1,132,446 | |
118,200 | Blue Owl Capital Corp. (a) | 1,817,916 |
Shares | Description | Value ($) | |
Financial — continued | |||
327,353 | Blue Owl Capital, Inc. | 6,173,878 | |
177,700 | Brandywine Realty Trust REIT | 852,960 | |
80,900 | Brixmor Property Group, Inc. REIT | 1,897,105 | |
6,897 | C&F Financial Corp. | 337,953 | |
310,878 | Cannae Holdings, Inc. * | 6,913,927 | |
31,000 | Cathay General Bancorp | 1,172,730 | |
99,300 | Chimera Investment Corp. REIT | 457,773 | |
103,500 | Citizens Financial Group, Inc. | 3,756,015 | |
154,000 | City Office REIT, Inc. REIT | 802,340 | |
68,994 | CNA Financial Corp. | 3,133,707 | |
157,800 | CNO Financial Group, Inc. | 4,336,344 | |
36,200 | Comerica, Inc. | 1,990,638 | |
38,605 | East West Bancorp, Inc. | 3,054,042 | |
200,559 | Easterly Government Properties, Inc. REIT | 2,308,434 | |
20,233 | EastGroup Properties, Inc. REIT | 3,637,286 | |
37,200 | Employers Holdings, Inc. | 1,688,508 | |
71,700 | EPR Properties REIT | 3,043,665 | |
29,500 | Equitable Holdings, Inc. | 1,121,295 | |
31,600 | Essent Group Ltd. | 1,880,516 | |
43,725 | Fidelity National Financial, Inc. | 2,321,797 | |
70,300 | Fifth Third Bancorp | 2,615,863 | |
35,500 | Financial Institutions, Inc. | 668,110 | |
78,400 | First Busey Corp. | 1,885,520 | |
89,100 | First Commonwealth Financial Corp. | 1,240,272 | |
149,700 | First Horizon Corp. | 2,305,380 | |
134,300 | FNB Corp. | 1,893,630 | |
209,166 | Franklin Street Properties Corp. REIT | 474,807 | |
144,188 | FS KKR Capital Corp. (a) | 2,749,665 | |
827,755 | Genworth Financial, Inc. Class A* | 5,322,465 | |
62,756 | Glacier Bancorp, Inc. | 2,527,812 | |
46,457 | Hamilton Lane, Inc. Class A | 5,238,491 | |
28,700 | Hancock Whitney Corp. | 1,321,348 | |
79,956 | Hanmi Financial Corp. | 1,272,900 | |
85,614 | Healthpeak Properties, Inc. REIT | 1,605,262 | |
32,800 | Heritage Insurance Holdings, Inc. * | 349,320 | |
75,500 | Highwoods Properties, Inc. REIT | 1,976,590 | |
113,600 | Hope Bancorp, Inc. | 1,307,536 | |
86,500 | Horizon Bancorp, Inc. | 1,109,795 | |
148,700 | Host Hotels & Resorts, Inc. REIT | 3,075,116 | |
85,700 | Independent Bank Corp. | 2,172,495 | |
64,000 | Industrial Logistics Properties Trust REIT | 274,560 | |
89,694 | Jefferies Financial Group, Inc. | 3,955,505 | |
300,284 | KeyCorp | 4,747,490 | |
44,400 | Kilroy Realty Corp. REIT | 1,617,492 | |
21,938 | Kinsale Capital Group, Inc. | 11,511,746 | |
71,600 | Kite Realty Group Trust REIT | 1,552,288 | |
37,700 | Lincoln National Corp. | 1,203,761 | |
23,503 | LPL Financial Holdings, Inc. | 6,209,493 | |
11,891 | McGrath RentCorp | 1,466,993 |
Shares | Description | Value ($) | |
Financial — continued | |||
176,200 | MGIC Investment Corp. | 3,939,832 | |
59,179 | National Storage Affiliates Trust REIT | 2,317,450 | |
139,500 | Navient Corp. | 2,427,300 | |
199,800 | New Mountain Finance Corp. (a) | 2,531,466 | |
148,400 | New York Community Bancorp, Inc. (a) | 477,848 | |
131,848 | Newmark Group, Inc. Class A | 1,462,194 | |
81,303 | NMI Holdings, Inc. Class A* | 2,629,339 | |
57,200 | Oaktree Specialty Lending Corp. | 1,124,552 | |
81,808 | OceanFirst Financial Corp. | 1,342,469 | |
55,083 | Office Properties Income Trust REIT(a) | 112,369 | |
49,911 | OFG Bancorp | 1,837,224 | |
35,700 | Omega Healthcare Investors, Inc. REIT | 1,130,619 | |
26,400 | OneMain Holdings, Inc. | 1,348,776 | |
257,621 | P10, Inc. Class A(a) | 2,169,169 | |
195,700 | Piedmont Office Realty Trust, Inc. REIT Class A | 1,375,771 | |
62,901 | Pinnacle Financial Partners, Inc. | 5,401,938 | |
29,863 | Piper Sandler Cos. | 5,927,507 | |
25,500 | Popular, Inc. | 2,246,295 | |
7,300 | Preferred Bank | 560,421 | |
177,142 | Radian Group, Inc. | 5,928,943 | |
72,100 | Regions Financial Corp. | 1,516,984 | |
32,065 | Reinsurance Group of America, Inc. | 6,184,697 | |
97,100 | Sabra Health Care REIT, Inc. REIT | 1,434,167 | |
33,500 | Sandy Spring Bancorp, Inc. | 776,530 | |
19,924 | Selective Insurance Group, Inc. | 2,175,103 | |
153,100 | Service Properties Trust REIT | 1,038,018 | |
98,398 | StepStone Group, Inc. Class A | 3,516,744 | |
47,345 | Stifel Financial Corp. | 3,700,959 | |
72,183 | Sun Communities, Inc. REIT | 9,281,290 | |
56,200 | Synchrony Financial | 2,423,344 | |
42,300 | Tanger, Inc. REIT | 1,249,119 | |
34,827 | Tradeweb Markets, Inc. Class A | 3,627,929 | |
172,600 | Uniti Group, Inc. REIT | 1,018,340 | |
20,100 | Universal Insurance Holdings, Inc. | 408,432 | |
77,500 | Unum Group | 4,158,650 | |
127,700 | Valley National Bancorp | 1,016,492 | |
58,500 | Veritex Holdings, Inc. | 1,198,665 | |
48,700 | Victory Capital Holdings, Inc. Class A | 2,066,341 | |
83,209 | Voya Financial, Inc. | 6,150,809 | |
129,900 | Western Union Co. | 1,816,002 | |
6,394 | White Mountains Insurance Group Ltd. | 11,472,754 | |
42,123 | Wintrust Financial Corp. | 4,397,220 | |
54,300 | Zions Bancorp NA | 2,356,620 | |
273,030,682 | |||
Government — 0.1% | |||
58,816 | Banco Latinoamericano de Comercio Exterior SA | 1,742,130 |
Shares | Description | Value ($) | |
Industrial — 21.2% | |||
10,900 | Acuity Brands, Inc. | 2,929,157 | |
41,961 | Advanced Energy Industries, Inc. | 4,279,183 | |
44,200 | AGCO Corp. | 5,437,484 | |
379,331 | Air Transport Services Group, Inc. * | 5,219,595 | |
42,100 | Apogee Enterprises, Inc. | 2,492,320 | |
19,141 | AptarGroup, Inc. | 2,754,198 | |
11,500 | ArcBest Corp. | 1,638,750 | |
56,171 | Argan, Inc. | 2,838,882 | |
38,855 | Armstrong World Industries, Inc. | 4,826,568 | |
49,419 | Arrow Electronics, Inc. * | 6,397,784 | |
113,942 | Atkore, Inc. | 21,689,999 | |
48,433 | Axon Enterprise, Inc. * | 15,153,717 | |
128,115 | AZEK Co., Inc. * | 6,433,935 | |
78,600 | Berry Global Group, Inc. | 4,753,728 | |
21,600 | Boise Cascade Co. | 3,312,792 | |
11,438 | Brady Corp. Class A | 678,045 | |
72,500 | Builders FirstSource, Inc. * | 15,119,875 | |
41,387 | BWX Technologies, Inc. | 4,247,134 | |
20,400 | Chart Industries, Inc. *(a) | 3,360,288 | |
178,500 | CNH Industrial NV | 2,313,360 | |
109,623 | Cognex Corp. | 4,650,208 | |
53,824 | Coherent Corp. * | 3,262,811 | |
85,777 | Columbus McKinnon Corp. | 3,828,228 | |
49,685 | Comfort Systems USA, Inc. | 15,785,421 | |
31,587 | Covenant Logistics Group, Inc. | 1,464,373 | |
27,927 | Eagle Materials, Inc. | 7,589,162 | |
17,100 | Encore Wire Corp. | 4,493,538 | |
38,021 | Exponent, Inc. | 3,143,956 | |
63,383 | Federal Signal Corp. | 5,379,315 | |
217,820 | Flex Ltd. * | 6,231,830 | |
350,765 | Gates Industrial Corp. PLC * | 6,212,048 | |
49,509 | Gibraltar Industries, Inc. * | 3,986,960 | |
21,300 | Greif, Inc. Class A | 1,470,765 | |
22,500 | Griffon Corp. | 1,650,150 | |
22,320 | HEICO Corp. | 4,263,120 | |
157,246 | Hexcel Corp. | 11,455,371 | |
16,598 | Hubbell, Inc. | 6,889,000 | |
8,300 | Huntington Ingalls Industries, Inc. | 2,419,201 | |
49,545 | IDEX Corp. | 12,089,971 | |
26,720 | Ingersoll Rand, Inc. | 2,537,064 | |
66,724 | ITT, Inc. | 9,076,466 | |
36,000 | Jabil, Inc. | 4,822,200 | |
39,315 | Knife River Corp. * | 3,187,660 | |
47,468 | Lincoln Electric Holdings, Inc. | 12,125,226 | |
147,674 | MDU Resources Group, Inc. | 3,721,385 | |
21,459 | Middleby Corp. * | 3,450,393 | |
14,700 | Mohawk Industries, Inc. * | 1,924,083 | |
9,600 | Moog, Inc. Class A | 1,532,640 | |
73,000 | Mueller Industries, Inc. | 3,936,890 |
Shares | Description | Value ($) | |
Industrial — continued | |||
20,048 | NEXTracker, Inc. Class A* | 1,128,101 | |
22,474 | Nordson Corp. | 6,170,012 | |
64,000 | O-I Glass, Inc. * | 1,061,760 | |
26,000 | Oshkosh Corp. | 3,242,460 | |
28,400 | Owens Corning | 4,737,120 | |
28,840 | Plexus Corp. * | 2,734,609 | |
48,700 | Primoris Services Corp. | 2,073,159 | |
33,663 | RBC Bearings, Inc. * | 9,100,792 | |
22,570 | Regal Rexnord Corp. | 4,064,857 | |
27,400 | Ryder System, Inc. | 3,293,206 | |
40,300 | Ryerson Holding Corp. | 1,350,050 | |
9,031 | Saia, Inc. * | 5,283,135 | |
28,600 | Sanmina Corp. * | 1,778,348 | |
103,968 | Schneider National, Inc. Class B | 2,353,836 | |
10,700 | Snap-on, Inc. | 3,169,554 | |
65,250 | Summit Materials, Inc. Class A* | 2,908,192 | |
92,825 | TD SYNNEX Corp. | 10,498,507 | |
31,726 | Tetra Tech, Inc. | 5,860,109 | |
66,700 | Textron, Inc. | 6,398,531 | |
18,700 | Timken Co. | 1,634,941 | |
39,475 | Toro Co. | 3,617,094 | |
55,697 | TriMas Corp. | 1,488,781 | |
72,539 | Trimble, Inc. * | 4,668,610 | |
52,224 | Universal Logistics Holdings, Inc. | 1,925,499 | |
121,850 | Vertiv Holdings Co., Class A | 9,951,489 | |
58,200 | Vishay Intertechnology, Inc. | 1,319,976 | |
173,241 | Vontier Corp. | 7,858,212 | |
111,579 | World Kinect Corp. | 2,951,265 | |
381,078,434 | |||
Technology — 9.7% | |||
153,951 | ACI Worldwide, Inc. * | 5,112,713 | |
24,600 | Amdocs Ltd. | 2,223,102 | |
76,900 | Amkor Technology, Inc. | 2,479,256 | |
470,136 | CCC Intelligent Solutions Holdings, Inc. * | 5,622,827 | |
173,228 | Clearwater Analytics Holdings, Inc. Class A* | 3,064,403 | |
29,500 | CSG Systems International, Inc. | 1,520,430 | |
50,344 | CyberArk Software Ltd. * | 13,372,877 | |
40,450 | Descartes Systems Group, Inc. * | 3,702,389 | |
45,300 | Dropbox, Inc. Class A* | 1,100,790 | |
84,760 | Dynatrace, Inc. * | 3,936,254 | |
47,765 | Entegris, Inc. | 6,712,893 | |
112,938 | Evolent Health, Inc. Class A* | 3,703,237 | |
115,940 | Genpact Ltd. | 3,820,223 | |
43,459 | Globant SA * | 8,774,372 | |
22,734 | IPG Photonics Corp. * | 2,061,746 | |
61,328 | KBR, Inc. | 3,904,141 | |
70,925 | MACOM Technology Solutions Holdings, Inc. * | 6,783,267 | |
25,184 | Manhattan Associates, Inc. * | 6,301,792 |
Shares | Description | Value ($) | |
Technology — continued | |||
1,284 | MicroStrategy, Inc. Class A*(a) | 2,188,655 | |
21,185 | MKS Instruments, Inc. | 2,817,605 | |
22,540 | Monday.com Ltd. * | 5,091,110 | |
5,452 | Monolithic Power Systems, Inc. | 3,693,294 | |
71,020 | NCR Atleos Corp. * | 1,402,645 | |
232,918 | NCR Voyix Corp. * | 2,941,754 | |
32,212 | Nova Ltd. *(a) | 5,713,765 | |
45,522 | Parsons Corp. * | 3,776,050 | |
43,500 | Photronics, Inc. * | 1,231,920 | |
208,500 | Playtika Holding Corp. | 1,469,925 | |
48,147 | Power Integrations, Inc. | 3,444,918 | |
136,374 | PowerSchool Holdings, Inc. Class A* | 2,903,403 | |
138,414 | Privia Health Group, Inc. * | 2,711,530 | |
54,390 | Procore Technologies, Inc. * | 4,469,226 | |
35,200 | PTC, Inc. * | 6,650,688 | |
103,883 | Pure Storage, Inc. Class A* | 5,400,877 | |
46,562 | Rapid7, Inc. * | 2,283,401 | |
49,470 | Silicon Laboratories, Inc. * | 7,109,828 | |
29,212 | Silicon Motion Technology Corp. ADR | 2,247,571 | |
12,300 | Skyworks Solutions, Inc. | 1,332,336 | |
107,300 | SMART Global Holdings, Inc. * | 2,824,136 | |
79,430 | Smartsheet, Inc. Class A* | 3,058,055 | |
1,313 | Super Micro Computer, Inc. * | 1,326,169 | |
9,981 | Synaptics, Inc. * | 973,746 | |
10,490 | Tyler Technologies, Inc. * | 4,458,355 | |
37,752 | Workiva, Inc. * | 3,201,370 | |
107,700 | Xerox Holdings Corp. | 1,927,830 | |
12,959 | Zebra Technologies Corp. Class A* | 3,906,361 | |
174,753,235 | |||
Utilities — 2.5% | |||
35,932 | IDACORP, Inc. | 3,337,723 | |
24,700 | National Fuel Gas Co. | 1,326,884 | |
94,472 | Northwestern Energy Group, Inc. | 4,811,459 | |
39,200 | NRG Energy, Inc. | 2,653,448 | |
112,451 | PNM Resources, Inc. | 4,232,656 | |
74,992 | Portland General Electric Co. | 3,149,664 | |
62,638 | Southwest Gas Holdings, Inc. | 4,768,631 | |
16,572 | Talen Energy Corp. * | 1,563,568 | |
264,175 | Vistra Corp. | 18,399,789 | |
44,243,822 | |||
TOTAL COMMON STOCKS (COST $1,358,373,936) | 1,721,567,393 |
Par Value ($) | Description | Value ($) | |
Short-Term Investment — 0.4% | |||
Mutual Fund - Securities Lending Collateral — 0.4% | |||
7,104,368 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(d)(e) | 7,104,368 | |
TOTAL SHORT-TERM INVESTMENT (COST $7,104,368) | 7,104,368 | ||
TOTAL INVESTMENTS — 96.4% (Cost $1,365,478,304) | 1,728,671,761 | ||
Other Assets and Liabilities (net) — 3.6% | 65,232,735 | ||
NET ASSETS — 100.0% | $1,793,904,496 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(c) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $0. |
(d) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(e) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
195 | Russell 2000 E-mini Index | Jun 2024 | $20,922,525 | $383,033 |
66 | S&P Mid 400 E-mini Index | Jun 2024 | 20,310,840 | 580,252 |
$963,285 |
Abbreviations | ||
ADR | — | American Depository Receipt |
REIT | — | Real Estate Investment Trust |
Asset Class Summary (Unaudited) | % of Net Assets |
Common Stocks | 96.0 |
Futures Contracts | 0.1 |
Short-Term Investment | 0.4 |
Other Assets and Liabilities (net) | 3.5 |
100.0% |
Shares | Description | Value ($) | |
COMMON STOCKS — 71.9% | |||
Brazil — 5.6% | |||
792,200 | B3 SA - Brasil Bolsa Balcao | 1,897,589 | |
1,564,579 | Banco Bradesco SA | 3,982,127 | |
724,500 | Banco BTG Pactual SA | 5,272,854 | |
578,600 | Banco do Brasil SA | 6,544,802 | |
217,900 | BB Seguridade Participacoes SA | 1,415,650 | |
124,600 | Cia de Saneamento Basico do Estado de Sao Paulo SABESP | 2,108,384 | |
4,201,950 | Dexco SA | 6,447,039 | |
251,372 | Itau Unibanco Holding SA, ADR | 1,742,008 | |
6,220 | MercadoLibre, Inc.* | 9,404,391 | |
126,400 | PRIO SA | 1,230,781 | |
1,969,894 | Raia Drogasil SA | 10,771,244 | |
442,100 | Rumo SA | 1,966,047 | |
725,000 | TIM SA | 2,578,138 | |
546,500 | TOTVS SA | 3,098,495 | |
117,300 | Vale SA | 1,425,490 | |
345,600 | Vibra Energia SA | 1,726,774 | |
1,369,000 | WEG SA | 10,447,563 | |
72,059,376 | |||
Canada — 0.6% | |||
63,280 | Franco-Nevada Corp. | 7,540,445 | |
Chile — 0.2% | |||
200,899 | Cia Cervecerias Unidas SA, ADR(a) | 2,408,779 | |
China — 18.6% | |||
85,100 | 37 Interactive Entertainment Network Technology Group Co. Ltd. Class A | 207,703 | |
25,324 | 3peak, Inc. Class A | 345,796 | |
4,499,800 | Agricultural Bank of China Ltd. Class H | 1,897,328 | |
109,000 | Airtac International Group | 3,780,524 | |
838,191 | Alibaba Group Holding Ltd. | 7,523,579 | |
58,600 | Alibaba Group Holding Ltd., ADR | 4,240,296 | |
38,200 | Anjoy Foods Group Co. Ltd. Class A | 438,477 | |
129,600 | Anker Innovations Technology Co. Ltd. Class A | 1,372,667 | |
267,200 | ANTA Sports Products Ltd. | 2,840,501 | |
17,600 | APT Medical, Inc. Class A | 1,026,323 | |
94,400 | Asymchem Laboratories Tianjin Co. Ltd. Class H (a) | 741,792 | |
149,837 | Autohome, Inc., ADR | 3,928,726 | |
80,120 | Bafang Electric Suzhou Co. Ltd. Class A | 409,499 | |
491,900 | Baidu, Inc. Class A * | 6,454,795 | |
39,881 | Beijing Huafeng Test & Control Technology Co. Ltd. Class A | 576,575 | |
8,077 | Beijing Kingsoft Office Software, Inc. Class A | 334,135 | |
57,200 | Beijing Roborock Technology Co. Ltd. Class A | 2,706,127 | |
198,600 | Beijing Tiantan Biological Products Corp. Ltd. Class A | 700,704 | |
95,000 | BYD Co. Ltd. Class H (a) | 2,447,086 | |
323,200 | BYD Electronic International Co. Ltd. | 1,191,386 | |
30,100 | Changzhou Xingyu Automotive Lighting Systems Co. Ltd. Class A | 588,802 | |
73,300 | Chaozhou Three-Circle Group Co. Ltd. Class A | 252,127 |
Shares | Description | Value ($) | |
China — continued | |||
2,925,600 | China Construction Bank Corp. Class H | 1,764,380 | |
2,312,400 | China International Capital Corp. Ltd. Class H | 2,741,865 | |
294,600 | China Literature Ltd.*(a) | 984,328 | |
1,686,335 | China Mengniu Dairy Co. Ltd. | 3,619,831 | |
1,334,500 | China Merchants Bank Co. Ltd. Class H | 5,277,332 | |
354,000 | China Oilfield Services Ltd. Class H | 407,081 | |
7,080,000 | China Petroleum & Chemical Corp. Class H | 4,016,534 | |
900,000 | China Resources Beer Holdings Co. Ltd. | 4,145,558 | |
194,500 | China Wafer Level CSP Co. Ltd. Class A | 480,367 | |
430,000 | China Yuhua Education Corp. Ltd.* | 41,206 | |
145,404 | Contemporary Amperex Technology Co. Ltd. Class A | 3,797,933 | |
638,000 | CSPC Pharmaceutical Group Ltd. | 501,338 | |
360,078 | East Money Information Co. Ltd. Class A | 641,693 | |
436,100 | ENN Energy Holdings Ltd. | 3,359,995 | |
147,200 | Eoptolink Technology, Inc. Ltd. Class A | 1,384,331 | |
142,002 | Foshan Haitian Flavouring & Food Co. Ltd. Class A | 777,652 | |
168,400 | Fuyao Glass Industry Group Co. Ltd. Class H | 847,761 | |
2,871,000 | Great Wall Motor Co. Ltd. Class H (a) | 3,191,447 | |
158,300 | Guangdong Xinbao Electrical Appliances Holdings Co. Ltd. Class A | 359,860 | |
1,025,600 | Haier Smart Home Co. Ltd. Class H | 3,190,892 | |
477,500 | Hangzhou Tigermed Consulting Co. Ltd. Class H (a) | 1,805,927 | |
439,106 | Hisense Visual Technology Co. Ltd. Class A | 1,436,256 | |
42,200 | Hithink RoyalFlush Information Network Co. Ltd. Class A | 787,194 | |
1,056,800 | HLA Group Corp. Ltd. Class A | 1,282,352 | |
200,660 | Hongfa Technology Co. Ltd. Class A | 676,044 | |
330,754 | Hubei Jumpcan Pharmaceutical Co. Ltd. Class A | 1,679,523 | |
188,500 | Innovent Biologics, Inc.* | 908,004 | |
285,700 | JD.com, Inc. Class A | 3,938,827 | |
38,400 | Jiangsu Hengrui Pharmaceuticals Co. Ltd. Class A | 245,517 | |
164,200 | Jiangsu King's Luck Brewery JSC Ltd. Class A | 1,349,278 | |
107,500 | Jiangsu Yoke Technology Co. Ltd. Class A | 794,115 | |
347,800 | Jiangsu Yuyue Medical Equipment & Supply Co. Ltd. Class A | 1,640,001 | |
318,197 | Jiayou International Logistics Co. Ltd. Class A | 1,041,219 | |
67,015 | KE Holdings, Inc., ADR | 920,116 | |
42,534 | Kingsemi Co. Ltd. Class A | 650,888 | |
25,800 | Kingsoft Corp. Ltd. | 79,446 | |
111,000 | Kuaishou Technology* | 695,660 | |
24,204 | Kweichow Moutai Co. Ltd. Class A | 5,698,621 | |
349,600 | Maoyan Entertainment* | 427,036 | |
409,150 | Meituan Class B * | 5,060,496 | |
408,094 | Midea Group Co. Ltd. Class A | 3,646,474 | |
54,149 | MINISO Group Holding Ltd., ADR(a) | 1,110,055 | |
597,900 | NARI Technology Co. Ltd. Class A | 1,994,530 | |
210,400 | NetEase, Inc. | 4,376,585 | |
583,000 | Netjoy Holdings Ltd.* | 46,929 | |
4,375 | New Oriental Education & Technology Group, Inc., ADR* | 379,838 | |
403,400 | Ningbo Sanxing Medical Electric Co. Ltd. Class A | 1,533,238 | |
23,677 | OPT Machine Vision Tech Co. Ltd. Class A | 330,874 | |
71,067 | PDD Holdings, Inc., ADR* | 8,261,539 |
Shares | Description | Value ($) | |
China — continued | |||
5,942,200 | PetroChina Co. Ltd. Class H | 5,079,355 | |
1,595,400 | PICC Property & Casualty Co. Ltd. Class H | 2,103,703 | |
55,390 | Ping An Insurance Group Co. of China Ltd. Class A | 311,842 | |
890,500 | Ping An Insurance Group Co. of China Ltd. Class H | 3,760,457 | |
113,300 | Proya Cosmetics Co. Ltd. Class A | 1,462,603 | |
27,529 | Pylon Technologies Co. Ltd. Class A | 331,188 | |
203,500 | Remegen Co. Ltd. Class H *(a) | 705,943 | |
724,200 | Sailun Group Co. Ltd. Class A | 1,459,933 | |
266,800 | Shaanxi Coal Industry Co. Ltd. Class A | 922,870 | |
356,500 | Shandong Gold Mining Co. Ltd. Class H (a) | 723,345 | |
319,500 | Shandong Sinocera Functional Material Co. Ltd. Class A | 753,278 | |
1,456,000 | Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 907,855 | |
314,400 | Shenzhen Inovance Technology Co. Ltd. Class A | 2,620,054 | |
122,626 | Shenzhen New Industries Biomedical Engineering Co. Ltd. Class A | 1,141,689 | |
83,200 | Shenzhen Transsion Holdings Co. Ltd. Class A | 1,879,855 | |
204,500 | Shenzhou International Group Holdings Ltd. | 1,936,184 | |
43,600 | Sichuan Injet Electric Co. Ltd. Class A | 310,013 | |
135,378 | Sieyuan Electric Co. Ltd. Class A | 1,090,524 | |
156,000 | Silergy Corp. | 1,593,951 | |
15,500 | StarPower Semiconductor Ltd. Class A | 310,881 | |
396,000 | Sunac China Holdings Ltd.*(a) | 56,669 | |
159,400 | Sungrow Power Supply Co. Ltd. Class A | 2,276,056 | |
250,800 | Sunny Optical Technology Group Co. Ltd. | 1,280,205 | |
125,381 | Suzhou TFC Optical Communication Co. Ltd. Class A | 2,633,757 | |
666,500 | Tencent Holdings Ltd. | 25,871,589 | |
244,200 | Tencent Music Entertainment Group, ADR* | 2,732,598 | |
2,684,000 | Tingyi Cayman Islands Holding Corp. | 2,942,422 | |
189,200 | Tongcheng Travel Holdings Ltd.* | 499,202 | |
102,943 | Trip.com Group Ltd., ADR* | 4,518,168 | |
275,197 | Venustech Group, Inc. Class A | 793,136 | |
148,800 | Vipshop Holdings Ltd., ADR | 2,462,640 | |
53,853 | Willfar Information Technology Co. Ltd. Class A | 258,556 | |
203,787 | WUS Printed Circuit Kunshan Co. Ltd. Class A | 858,858 | |
78,600 | WuXi AppTec Co. Ltd. Class A | 511,461 | |
30,000 | WuXi AppTec Co. Ltd. Class H | 142,210 | |
413,000 | Wuxi Biologics Cayman, Inc.* | 754,608 | |
1,510,800 | Xiaomi Corp. Class B * | 2,883,983 | |
3,099,000 | Xinyi Glass Holdings Ltd. | 3,282,550 | |
3,000,000 | Xinyi Solar Holdings Ltd. | 2,322,892 | |
471,600 | Yankuang Energy Group Co. Ltd. Class H | 990,628 | |
94,700 | Yantai Jereh Oilfield Services Group Co. Ltd. Class A | 389,416 | |
1,181,782 | Yifeng Pharmacy Chain Co. Ltd. Class A | 6,426,061 | |
146,600 | Yizumi Holdings Co. Ltd. Class A | 393,911 | |
108,600 | Zhejiang Dingli Machinery Co. Ltd. Class A | 842,661 | |
339,428 | Zhejiang Sanhua Intelligent Controls Co. Ltd. Class A | 1,127,599 | |
102,600 | Zhongji Innolight Co. Ltd. Class A | 2,195,960 | |
1,565,000 | Zijin Mining Group Co. Ltd. Class H | 3,123,421 | |
240,309,654 |
Shares | Description | Value ($) | |
Colombia — 0.2% | |||
80,441 | Bancolombia SA, ADR | 2,752,691 | |
Greece — 0.6% | |||
182,911 | Jumbo SA | 5,274,421 | |
269,798 | National Bank of Greece SA* | 2,114,267 | |
7,388,688 | |||
Hong Kong — 1.2% | |||
515,400 | AIA Group Ltd. | 3,460,607 | |
315,600 | ASMPT Ltd. | 3,967,960 | |
371,000 | Chow Sang Sang Holdings International Ltd. | 393,448 | |
2,574,000 | Hang Lung Properties Ltd. | 2,637,656 | |
23,200 | Hong Kong Exchanges & Clearing Ltd. | 675,269 | |
9,372,000 | Sino Biopharmaceutical Ltd. | 3,616,383 | |
26,000 | Techtronic Industries Co. Ltd. | 352,471 | |
936,000 | Vitasoy International Holdings Ltd.(a) | 802,479 | |
15,906,273 | |||
Hungary — 0.3% | |||
73,791 | OTP Bank Nyrt | 3,397,787 | |
India — 12.1% | |||
96,800 | Adani Ports & Special Economic Zone Ltd. | 1,558,677 | |
13,616 | Apollo Hospitals Enterprise Ltd. | 1,036,352 | |
415,000 | Ashok Leyland Ltd. | 854,854 | |
500,711 | Axis Bank Ltd. | 6,282,714 | |
41,116 | Bajaj Auto Ltd. | 4,489,767 | |
1,323,700 | Bharat Electronics Ltd. | 3,203,607 | |
197,800 | Bharat Petroleum Corp. Ltd. | 1,432,465 | |
25,690 | Britannia Industries Ltd. | 1,522,842 | |
254,200 | Canara Bank | 1,775,232 | |
789,596 | Cipla Ltd. | 14,163,072 | |
229,000 | Coal India Ltd. | 1,191,506 | |
65,100 | Coromandel International Ltd. | 841,435 | |
100,129 | Havells India Ltd. | 1,830,841 | |
185,165 | HCL Technologies Ltd. | 3,434,663 | |
1,028,747 | HDFC Bank Ltd. | 17,848,349 | |
212,161 | Hindustan Unilever Ltd. | 5,754,122 | |
619,200 | ICICI Bank Ltd. | 8,137,336 | |
352,569 | IndusInd Bank Ltd. | 6,551,288 | |
349,030 | Infosys Ltd. | 6,257,452 | |
66,912 | InterGlobe Aviation Ltd.* | 2,840,305 | |
455,930 | Kotak Mahindra Bank Ltd. | 9,784,981 | |
26,000 | Larsen & Toubro Ltd. | 1,173,675 | |
199,055 | Mahindra & Mahindra Ltd. | 4,571,326 | |
24,131 | MakeMyTrip Ltd.*(a) | 1,714,508 | |
11,300 | Maruti Suzuki India Ltd. | 1,708,091 | |
75,053 | Nestle India Ltd. | 2,367,563 | |
347,800 | NMDC Ltd. | 842,577 |
Shares | Description | Value ($) | |
India — continued | |||
74,194 | Pidilite Industries Ltd. | 2,682,647 | |
265,597 | Reliance Industries Ltd. | 9,458,982 | |
553,900 | State Bank of India | 5,000,558 | |
395,023 | Syngene International Ltd. | 3,329,650 | |
285,773 | Tata Consultancy Services Ltd. | 13,301,752 | |
145,376 | Tata Consumer Products Ltd. | 1,917,372 | |
116,200 | Tata Motors Ltd. | 1,386,277 | |
36,597 | Titan Co. Ltd. | 1,667,439 | |
680,400 | Union Bank of India Ltd. | 1,253,889 | |
504,582 | UPL Ltd. | 2,759,388 | |
243,044 | Yes Bank Ltd.* | 67,462 | |
155,995,016 | |||
Indonesia — 1.9% | |||
11,684,700 | Astra International Tbk. PT | 3,795,409 | |
15,844,300 | Bank Central Asia Tbk. PT | 10,068,201 | |
4,157,400 | Bank Mandiri Persero Tbk. PT | 1,901,050 | |
19,297,499 | Bank Rakyat Indonesia Persero Tbk. PT | 7,363,599 | |
6,799,300 | Telkom Indonesia Persero Tbk. PT | 1,488,084 | |
24,616,343 | |||
Italy — 0.8% | |||
298,248 | Coca-Cola HBC AG | 9,430,347 | |
107,700 | PRADA SpA | 853,184 | |
10,283,531 | |||
Japan — 0.5% | |||
365,200 | Nexon Co. Ltd. | 6,056,705 | |
Kazakhstan — 0.0% | |||
443,510 | Polymetal International PLC*(b) | — | |
Malaysia — 0.4% | |||
1,815,700 | Petronas Chemicals Group Bhd. | 2,604,818 | |
2,893,000 | Public Bank Bhd. | 2,573,321 | |
5,178,139 | |||
Mexico — 3.9% | |||
309,671 | Credito Real SAB de CV SOFOM ER*(b)(c) | 6,521 | |
1,439,300 | Fibra Uno Administracion SA de CV, REIT | 2,400,313 | |
85,800 | Fomento Economico Mexicano SAB de CV | 1,115,747 | |
132,756 | Fomento Economico Mexicano SAB de CV, ADR | 17,294,124 | |
176,900 | Grupo Aeroportuario del Pacifico SAB de CV Class B (a) | 2,851,707 | |
49,600 | Grupo Aeroportuario del Sureste SAB de CV Class B | 1,568,412 | |
760,700 | Grupo Financiero Banorte SAB de CV Class O | 8,084,904 | |
188,600 | Grupo Mexico SAB de CV Series B | 1,115,369 | |
162,906 | Unifin Financiera SAB de CV*(a)(b)(c) | 11,761 | |
3,865,234 | Wal-Mart de Mexico SAB de CV | 15,626,737 | |
50,075,595 |
Shares | Description | Value ($) | |
Mongolia — 0.3% | |||
156,000 | Galaxy Entertainment Group Ltd. | 783,344 | |
1,236,000 | Sands China Ltd.* | 3,482,268 | |
4,265,612 | |||
Netherlands — 0.6% | |||
87,055 | Heineken Holding NV(a) | 7,032,650 | |
Peru — 0.1% | |||
8,567 | Credicorp Ltd. | 1,451,507 | |
Philippines — 0.8% | |||
4,473,800 | Ayala Land, Inc. | 2,566,576 | |
1,365,230 | BDO Unibank, Inc. | 3,752,166 | |
1,790,140 | Universal Robina Corp. | 3,353,229 | |
9,671,971 | |||
Poland — 0.4% | |||
39,400 | Bank Polska Kasa Opieki SA | 1,796,725 | |
23,771 | Dino Polska SA* | 2,311,082 | |
123,800 | Powszechny Zaklad Ubezpieczen SA | 1,515,310 | |
5,623,117 | |||
Portugal — 0.4% | |||
250,070 | Jeronimo Martins SGPS SA | 4,963,989 | |
Russia — 0.0% | |||
214,920 | Evraz PLC*(b)(c)(d) | 5,430 | |
7,610 | Gazprom Neft PJSC(b)(c)(d) | 329 | |
1,043,282 | Gazprom PJSC*(b)(c)(d) | 26,145 | |
99,121 | Globaltrans Investment PLC, GDR*(b)(c)(d)(e) | 3,965 | |
5,000 | HeadHunter Group PLC, ADR*(b)(c)(d) | 750 | |
44,258 | LSR Group PJSC(b)(c)(d) | 2,486 | |
136,755 | LUKOIL PJSC(b)(c)(d) | 73,566 | |
8,543 | Magnit PJSC(b)(c)(d) | 2,861 | |
984,659 | Magnitogorsk Iron & Steel Works PJSC*(b)(c)(d) | 5,143 | |
16,459 | MMC Norilsk Nickel PJSC(b)(c)(d) | 35,558 | |
9 | MMC Norilsk Nickel PJSC, ADR*(b)(c)(d) | 2 | |
126,700 | Mobile TeleSystems PJSC, ADR*(b)(c)(d) | 7,602 | |
154,250 | Novatek PJSC(b)(c)(d) | 20,495 | |
1,715,500 | Novolipetsk Steel PJSC*(b)(c)(d) | 34,746 | |
5,323 | PhosAgro PJSC(b)(c)(d) | 2,958 | |
103 | PhosAgro PJSC, ADR*(b)(c)(d)(e) | 19 | |
2 | PhosAgro PJSC, GDR*(b)(c)(d)(e) | 0 | |
25,062 | Polyus PJSC*(b)(c)(d) | 30,115 | |
1 | Polyus PJSC, GDR*(b)(c)(d) | 1 | |
4,954 | Ros Agro PLC, GDR*(b)(c)(d)(e) | 495 | |
5,496,180 | Sberbank of Russia PJSC(b)(c)(d) | 77,181 | |
105,511 | Severstal PAO, GDR*(b)(c)(d)(e) | 16,882 | |
25,625,090 | Surgutneftegas PJSC(b)(c)(d) | 60,897 |
Shares | Description | Value ($) | |
Russia — continued | |||
598,704 | Tatneft PJSC(b)(c)(d) | 23,799 | |
8,773 | TCS Group Holding PLC, GDR*(b)(c)(d)(e)(f) | 3,158 | |
16,391 | TCS Group Holding PLC, GDR*(b)(c)(d)(e)(f) | 5,885 | |
47,122 | X5 Retail Group NV, GDR*(b)(c)(d)(e) | 5,655 | |
446,123 | |||
Saudi Arabia — 0.4% | |||
122,000 | Alinma Bank | 1,424,770 | |
510,547 | Saudi Arabian Oil Co. | 4,185,927 | |
5,610,697 | |||
South Africa — 1.6% | |||
244,358 | Absa Group Ltd. | 1,911,506 | |
64,000 | Bid Corp. Ltd.(a) | 1,560,808 | |
13,237 | Capitec Bank Holdings Ltd. | 1,465,019 | |
394,769 | Clicks Group Ltd. | 6,173,083 | |
59,600 | Gold Fields Ltd. | 956,496 | |
3,059,631 | Growthpoint Properties Ltd., REIT(a) | 1,819,338 | |
131,559 | Lewis Group Ltd. | 302,215 | |
126,600 | Nedbank Group Ltd. | 1,528,794 | |
2,572,228 | Sibanye Stillwater Ltd. | 2,946,287 | |
143,900 | Standard Bank Group Ltd. | 1,407,672 | |
20,071,218 | |||
South Korea — 6.2% | |||
35,662 | Amorepacific Corp. | 3,210,573 | |
43,800 | Hana Financial Group, Inc. | 1,916,301 | |
11,300 | HD Hyundai Electric Co. Ltd. | 1,499,952 | |
139,491 | HL Mando Co. Ltd. | 3,533,254 | |
6,600 | Hyundai Mobis Co. Ltd. | 1,282,006 | |
10,800 | Hyundai Motor Co. | 1,901,281 | |
33,900 | KB Financial Group, Inc. | 1,770,228 | |
71,400 | Kia Corp. | 5,940,056 | |
106,028 | Korea Electric Power Corp. | 1,740,553 | |
85,879 | Korea Investment Holdings Co. Ltd. | 4,248,499 | |
388,429 | Samsung Electronics Co. Ltd. | 23,312,953 | |
1,505 | Samsung Electronics Co. Ltd., GDR(e) | 2,237,935 | |
109,948 | Shinhan Financial Group Co. Ltd. | 3,854,816 | |
128,033 | SK Hynix, Inc. | 16,947,432 | |
90,008 | SK Telecom Co. Ltd. | 3,563,548 | |
35,568 | S-Oil Corp. | 2,058,122 | |
100,000 | Woori Financial Group, Inc. | 1,083,751 | |
80,101,260 | |||
Taiwan — 11.1% | |||
115,700 | Accton Technology Corp. | 1,657,583 | |
831,792 | Advantech Co. Ltd. | 10,578,198 | |
30,200 | Alchip Technologies Ltd. | 2,986,642 | |
153,300 | Asia Vital Components Co. Ltd. | 2,596,235 | |
12,000 | ASPEED Technology, Inc. | 1,248,613 |
Shares | Description | Value ($) | |
Taiwan — continued | |||
115,200 | Asustek Computer, Inc. | 1,524,433 | |
668,795 | Bizlink Holding, Inc. | 5,370,672 | |
2,518,000 | CTBC Financial Holding Co. Ltd. | 2,549,196 | |
118,600 | Elite Material Co. Ltd. | 1,493,455 | |
14,000 | eMemory Technology, Inc. | 1,049,885 | |
463,200 | Evergreen Marine Corp. Taiwan Ltd. | 2,547,321 | |
963,962 | Fubon Financial Holding Co. Ltd. | 2,087,352 | |
277,000 | Gold Circuit Electronics Ltd. | 2,116,222 | |
514,000 | Hiwin Technologies Corp. | 4,480,947 | |
63,000 | Largan Precision Co. Ltd. | 4,783,539 | |
169,200 | Makalot Industrial Co. Ltd. | 1,932,370 | |
414,800 | MediaTek, Inc. | 15,034,856 | |
218,800 | Micro-Star International Co. Ltd. | 1,141,738 | |
188,600 | Novatek Microelectronics Corp. | 3,471,039 | |
781,998 | President Chain Store Corp. | 6,487,430 | |
139,000 | Sinbon Electronics Co. Ltd. | 1,216,117 | |
1,679,624 | Taiwan Semiconductor Manufacturing Co. Ltd. | 40,359,050 | |
144,253 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 19,625,621 | |
98,000 | Voltronic Power Technology Corp. | 5,052,572 | |
32,000 | Wiwynn Corp. | 2,189,761 | |
143,580,847 | |||
Thailand — 1.6% | |||
1,418,000 | Airports of Thailand PCL Class F | 2,535,786 | |
2,798,100 | Bangkok Dusit Medical Services PCL Class F | 2,166,395 | |
128,000 | Bumrungrad Hospital PCL Class F | 782,295 | |
825,100 | Kasikornbank PCL Class F | 2,804,040 | |
1,309,600 | PTT Exploration & Production PCL Class F | 5,383,761 | |
295,800 | Siam Cement PCL Class F | 2,075,363 | |
7,582,600 | Thai Beverage PCL(a) | 2,753,019 | |
6,721,500 | Thai Union Group PCL Class F | 2,652,678 | |
21,153,337 | |||
Turkey — 0.5% | |||
1,190,000 | Akbank TAS | 1,720,703 | |
165,300 | BIM Birlesik Magazalar AS | 1,795,962 | |
133,000 | Turk Hava Yollari AO* | 1,224,059 | |
3,865,554 | Turkiye Is Bankasi AS Class C | 1,341,808 | |
6,082,532 | |||
United Arab Emirates — 0.3% | |||
1,287,459 | Abu Dhabi National Oil Co. for Distribution PJSC | 1,276,170 | |
761,589 | First Abu Dhabi Bank PJSC | 2,779,068 | |
4,055,238 | |||
United Kingdom — 0.4% | |||
107,173 | Unilever PLC | 5,382,282 | |
United States — 0.2% | |||
13,185 | Globant SA* | 2,662,051 |
Shares | Description | Value ($) | |
Vietnam — 0.1% | |||
646,300 | Vietnam Dairy Products JSC | 1,764,650 | |
TOTAL COMMON STOCKS (COST $980,568,959) | 927,888,103 |
Shares | Description | Value ($) | |
INVESTMENT COMPANIES — 7.2% | |||
United States — 7.2% | |||
600,561 | iShares Core MSCI Emerging Markets ETF | 30,988,948 | |
754,700 | iShares MSCI Emerging Markets ETF | 31,003,076 | |
741,608 | Vanguard FTSE Emerging Markets ETF | 30,976,966 | |
TOTAL INVESTMENT COMPANIES (COST $90,413,987) | 92,968,990 |
Shares | Description | Value ($) | |
PREFERRED STOCKS — 0.6% | |||
Brazil — 0.6% | |||
1,286,500 | Banco Bradesco SA, 7.81% | 3,665,030 | |
217,200 | Itau Unibanco Holding SA, 6.82% | 1,503,093 | |
267,800 | Petroleo Brasileiro SA, 8.54% | 1,998,783 | |
7,166,906 | |||
TOTAL PREFERRED STOCKS (COST $6,732,922) | 7,166,906 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 0.6% | |||
Mutual Fund - Securities Lending Collateral — 0.6% | |||
7,756,324 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(g)(h) | 7,756,324 | |
TOTAL SHORT-TERM INVESTMENT (COST $7,756,324) | 7,756,324 | ||
TOTAL INVESTMENTS — 80.3% (Cost $1,085,472,192) | 1,035,780,323 | ||
Other Assets and Liabilities (net) — 19.7% | 253,814,929 | ||
NET ASSETS — 100.0% | $1,289,595,252 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $464,405 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $94,698,977. |
(c) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(d) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at year end is $446,123 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $85,541,075. |
(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) | Securities are traded on separate exchanges for the same entity. |
(g) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(h) | Represents an investment of securities lending cash collateral. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
1,759 | MSCI Emerging Markets E-mini Index | Jun 2024 | $92,259,550 | $946 |
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
REIT | — | Real Estate Investment Trust |
Industry Sector Summary (Unaudited) | % of Net Assets |
Financial | 15.2 |
Technology | 15.1 |
Consumer, Non-cyclical | 10.9 |
Consumer, Cyclical | 10.0 |
Communications | 8.4 |
Investment Companies | 7.2 |
Industrial | 6.5 |
Energy | 3.5 |
Basic Materials | 2.1 |
Utilities | 0.6 |
Diversified | 0.2 |
Short-Term Investment | 0.6 |
Other Assets and Liabilities (net) | 19.7 |
100.0% |
Shares | Description | Value ($) | |
COMMON STOCKS — 92.9% | |||
Australia — 1.2% | |||
107,813 | ANZ Group Holdings Ltd. | 2,067,914 | |
22,038 | BlueScope Steel Ltd. | 342,906 | |
80,162 | Brambles Ltd. | 844,608 | |
125 | Cochlear Ltd. | 27,525 | |
24,704 | Northern Star Resources Ltd. | 233,211 | |
29,265 | Orica Ltd. | 348,629 | |
151,484 | Perseus Mining Ltd. | 212,481 | |
6,401 | Pro Medicus Ltd. | 433,261 | |
18,032 | Qube Holdings Ltd. | 40,115 | |
8,196 | REA Group Ltd.(a) | 991,721 | |
380 | Rio Tinto PLC | 24,083 | |
6,971 | Rio Tinto PLC, ADR | 444,331 | |
174,288 | Sonic Healthcare Ltd. | 3,344,078 | |
4,507 | Wesfarmers Ltd. | 201,121 | |
9,555,984 | |||
Belgium — 0.0% | |||
11 | Deme Group NV | 1,761 | |
Bermuda — 0.2% | |||
5,973 | RenaissanceRe Holdings Ltd. | 1,403,834 | |
Canada — 3.2% | |||
2,100 | Alamos Gold, Inc. Class A | 30,990 | |
68,100 | Atco Ltd. Class I (a) | 1,897,692 | |
740 | BCE, Inc. | 25,145 | |
2,900 | Canadian National Railway Co. | 382,245 | |
87,325 | Canadian Pacific Kansas City Ltd.(a) | 7,699,445 | |
500 | CCL Industries, Inc. Class B (a) | 25,579 | |
1,100 | Descartes Systems Group, Inc.* | 100,713 | |
27,100 | Dundee Precious Metals, Inc. | 206,266 | |
723 | E-L Financial Corp. Ltd. | 581,814 | |
79,100 | Empire Co. Ltd. Class A | 1,933,588 | |
6,100 | Evertz Technologies Ltd. | 66,804 | |
15,700 | George Weston Ltd. | 2,123,227 | |
800 | Great-West Lifeco, Inc. | 25,610 | |
8,100 | Loblaw Cos. Ltd. | 898,437 | |
24,000 | Metro, Inc., REIT(a) | 1,289,695 | |
300 | National Bank of Canada | 25,286 | |
70,200 | North West Co., Inc. | 2,036,098 | |
68,200 | Power Corp. of Canada(a) | 1,914,085 | |
4,000 | Royal Bank of Canada | 403,828 | |
115,444 | SSR Mining, Inc. | 514,880 | |
500 | Stantec, Inc. | 41,552 | |
28,200 | Sun Life Financial, Inc. | 1,540,190 | |
400 | Thomson Reuters Corp. | 62,309 | |
83,300 | TMX Group Ltd. | 2,199,379 | |
3,300 | Whitecap Resources, Inc.(a) | 24,995 |
Shares | Description | Value ($) | |
Canada — continued | |||
31,700 | Winpak Ltd. | 949,653 | |
26,999,505 | |||
China — 0.6% | |||
44,500 | BOC Hong Kong Holdings Ltd. | 119,119 | |
1,578,162 | CITIC Telecom International Holdings Ltd. | 510,161 | |
45,428 | NetEase, Inc., ADR | 4,700,435 | |
5,329,715 | |||
Denmark — 0.5% | |||
17 | AP Moller - Maersk AS Class B | 22,138 | |
7,348 | Ascendis Pharma AS, ADR* | 1,110,797 | |
2,299 | Carlsberg AS Class B | 314,101 | |
1,049 | Danske Bank AS | 31,380 | |
86 | Genmab AS* | 25,950 | |
260 | Novo Nordisk AS, ADR | 33,384 | |
16,266 | Novo Nordisk AS Class B | 2,075,614 | |
81 | Rockwool AS Class A * | 26,388 | |
327 | Schouw & Co. AS | 25,188 | |
1,148 | Sparekassen Sjaelland-Fyn AS | 35,405 | |
38,670 | Vestjysk Bank AS | 25,812 | |
3,726,157 | |||
France — 3.7% | |||
10,429 | Air Liquide SA | 2,172,018 | |
35,383 | Airbus SE | 6,523,832 | |
1,950 | Boiron SA(a) | 70,804 | |
24,430 | Bureau Veritas SA | 746,151 | |
17,694 | Danone SA | 1,144,469 | |
268 | Dassault Aviation SA | 59,046 | |
33,476 | Dassault Systemes SE | 1,483,763 | |
16,455 | Eiffage SA | 1,868,662 | |
20,644 | Legrand SA | 2,189,866 | |
2,172 | Orange SA | 25,541 | |
17,354 | Rubis SCA | 613,623 | |
26,723 | Safran SA | 6,062,219 | |
4,673 | Societe BIC SA | 334,101 | |
214 | Societe LDC SADIR | 31,432 | |
9,940 | SPIE SA | 373,800 | |
1,108 | Stef SA | 163,222 | |
540 | Vetoquinol SA | 58,028 | |
53,789 | Vinci SA | 6,899,020 | |
30,819,597 | |||
Georgia — 0.2% | |||
28,915 | Bank of Georgia Group PLC | 1,844,607 | |
Germany — 1.4% | |||
1,317 | Bayerische Motoren Werke AG | 152,135 | |
57,178 | Beiersdorf AG | 8,333,464 |
Shares | Description | Value ($) | |
Germany — continued | |||
2,035 | Deutsche Boerse AG | 416,813 | |
1,051 | Deutsche Telekom AG | 25,539 | |
12,479 | E.ON SE | 173,655 | |
55 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 26,867 | |
1,192 | Pfeiffer Vacuum Technology AG | 200,828 | |
9,527 | SAP SE | 1,856,782 | |
513 | Vossloh AG | 25,320 | |
2,879 | Wuestenrot & Wuerttembergische AG | 41,416 | |
11,252,819 | |||
Hong Kong — 0.5% | |||
104,251 | Bank of East Asia Ltd. | 124,146 | |
352,136 | Dah Sing Banking Group Ltd. | 250,611 | |
342,000 | Emperor International Holdings Ltd. | 17,261 | |
40,500 | HK Electric Investments & HK Electric Investments Ltd.(b) | 25,305 | |
1,209,000 | HKT Trust & HKT Ltd. | 1,410,367 | |
16,000 | Hong Kong Ferry Holdings Co. Ltd. | 9,159 | |
600 | Jardine Matheson Holdings Ltd. | 22,380 | |
249,000 | Langham Hospitality Investments & Langham Hospitality Investments Ltd. | 18,135 | |
12,000 | Miramar Hotel & Investment | 15,302 | |
593,000 | PCCW Ltd. | 293,225 | |
101,000 | Power Assets Holdings Ltd. | 591,047 | |
300,000 | Regal Hotels International Holdings Ltd.* | 101,195 | |
193,902 | Regal Real Estate Investment Trust, REIT | 11,644 | |
56,355 | SmarTone Telecommunications Holdings Ltd. | 27,578 | |
58,000 | Transport International Holdings Ltd. | 66,697 | |
230,163 | VTech Holdings Ltd. | 1,395,426 | |
3,000 | Wing On Co. International Ltd. | 4,592 | |
4,384,070 | |||
Israel — 1.1% | |||
39,742 | Check Point Software Technologies Ltd.* | 6,518,085 | |
25,519 | First International Bank Of Israel Ltd. | 1,065,700 | |
3 | Isracard Ltd. | 12 | |
450,823 | Isramco Negev 2 LP | 220,262 | |
1,369 | Nice Ltd., ADR*(a) | 356,789 | |
3,487 | Nova Ltd.* | 618,524 | |
14,476 | Radware Ltd.* | 270,991 | |
9,050,363 | |||
Italy — 0.1% | |||
10,839 | Coca-Cola HBC AG | 342,720 | |
16,100 | Ferretti SpA | 53,691 | |
136,967 | UnipolSai Assicurazioni SpA(a) | 397,029 | |
793,440 | |||
Japan — 4.4% | |||
12,100 | Aeon Co. Ltd. | 286,540 | |
13,100 | Aica Kogyo Co. Ltd. | 319,569 | |
23,300 | Amano Corp. | 593,027 |
Shares | Description | Value ($) | |
Japan — continued | |||
47,800 | Anritsu Corp. | 385,950 | |
39,200 | Arcs Co. Ltd. | 808,114 | |
1,400 | Artience Co. Ltd. | 27,094 | |
2,300 | Autobacs Seven Co. Ltd.(a) | 23,989 | |
17,600 | Axial Retailing, Inc. | 119,198 | |
1,000 | Belc Co. Ltd. | 45,855 | |
27,500 | Brother Industries Ltd. | 508,590 | |
12,100 | Canon Marketing Japan, Inc. | 355,617 | |
21,600 | Canon, Inc. | 642,384 | |
48,100 | COMSYS Holdings Corp. | 1,123,165 | |
800 | Dai Nippon Printing Co. Ltd. | 24,432 | |
700 | Dowa Holdings Co. Ltd. | 24,060 | |
310,500 | ENEOS Holdings, Inc. | 1,490,901 | |
40,600 | EXEO Group, Inc. | 430,023 | |
34,500 | Ezaki Glico Co. Ltd. | 961,974 | |
1,900 | Fujicco Co. Ltd. | 23,828 | |
31,200 | FUJIFILM Holdings Corp. | 698,441 | |
2,100 | Honda Motor Co. Ltd. | 25,857 | |
36,300 | House Foods Group, Inc. | 737,777 | |
1,900 | Inaba Denki Sangyo Co. Ltd. | 43,939 | |
2,400 | Japan Post Bank Co. Ltd. | 25,769 | |
2,500 | Japan Post Holdings Co. Ltd. | 25,149 | |
82,501 | Japan Tobacco, Inc. | 2,195,738 | |
25,455 | Kaken Pharmaceutical Co. Ltd. | 574,543 | |
38,200 | Kamigumi Co. Ltd. | 839,241 | |
11,600 | Kato Sangyo Co. Ltd. | 347,207 | |
22,300 | Kewpie Corp. | 413,230 | |
1,400 | Kinden Corp.(a) | 24,319 | |
600 | Kobayashi Pharmaceutical Co. Ltd. | 19,446 | |
56,800 | Kyorin Pharmaceutical Co. Ltd. | 681,923 | |
16,700 | Lawson, Inc. | 1,140,404 | |
1,400 | Mabuchi Motor Co. Ltd. | 25,443 | |
2,900 | Maruichi Steel Tube Ltd. | 77,144 | |
23,200 | McDonald's Holdings Co. Japan Ltd. | 1,042,387 | |
22,100 | Medipal Holdings Corp. | 337,461 | |
13,000 | Megmilk Snow Brand Co. Ltd. | 230,546 | |
95,400 | MEIJI Holdings Co. Ltd. | 2,080,148 | |
79,800 | Mitsubishi Electric Corp. | 1,329,517 | |
7,200 | Mitsubishi Shokuhin Co. Ltd. | 264,033 | |
25,900 | Mochida Pharmaceutical Co. Ltd.(a) | 546,767 | |
1,400 | Morinaga & Co. Ltd. | 23,996 | |
6,300 | NH Foods Ltd.(a) | 210,673 | |
13,700 | Nikkon Holdings Co. Ltd. | 263,735 | |
500 | Nintendo Co. Ltd. | 27,285 | |
55,700 | Nippn Corp.(a) | 853,837 | |
5,700 | Nippon Kayaku Co. Ltd. | 48,716 | |
30,200 | Nippon Light Metal Holdings Co. Ltd. | 357,184 | |
1,514,600 | Nippon Telegraph & Telephone Corp. | 1,801,368 | |
7,000 | Nisshin Oillio Group Ltd. | 234,497 |
Shares | Description | Value ($) | |
Japan — continued | |||
12,000 | NOF Corp. | 163,732 | |
200 | Obic Co. Ltd. | 30,150 | |
53,600 | Okinawa Cellular Telephone Co. | 1,262,572 | |
1,300 | Osaka Gas Co. Ltd. | 29,188 | |
23,300 | Otsuka Holdings Co. Ltd. | 965,439 | |
800 | S&B Foods, Inc. | 23,285 | |
10,100 | San-A Co. Ltd. | 312,320 | |
23,900 | Sankyo Co. Ltd.(a) | 260,800 | |
700 | Sankyu, Inc. | 24,023 | |
1,400 | SCSK Corp. | 25,966 | |
17,300 | Secom Co. Ltd. | 1,252,820 | |
1,500 | Seiko Epson Corp.(a) | 26,116 | |
1,100 | Sekisui House Ltd. | 24,959 | |
4,600 | Senko Group Holdings Co. Ltd.(a) | 34,376 | |
900 | Shimadzu Corp. | 24,994 | |
18,159 | Showa Sangyo Co. Ltd. | 414,545 | |
161,800 | SoftBank Corp.(a) | 2,075,085 | |
17,400 | Toho Holdings Co. Ltd.(a) | 412,739 | |
1,611 | TOKAI Holdings Corp. | 10,485 | |
2,000 | Tokyo Electron Ltd. | 518,815 | |
25,100 | Trend Micro, Inc. | 1,271,211 | |
74,800 | USS Co. Ltd. | 617,547 | |
35,900 | Vital KSK Holdings, Inc. | 294,373 | |
4,400 | Yaoko Co. Ltd.(a) | 264,241 | |
9,700 | Zenkoku Hosho Co. Ltd.(a) | 346,545 | |
36,428,356 | |||
Jordan — 0.0% | |||
1,226 | Hikma Pharmaceuticals PLC | 29,713 | |
Netherlands — 2.3% | |||
13,767 | ASML Holding NV | 13,265,550 | |
49,062 | Koninklijke Ahold Delhaize NV | 1,468,798 | |
152,168 | Koninklijke KPN NV | 569,607 | |
61,224 | Shell PLC(c) | 2,046,804 | |
3,693 | Shell PLC(c) | 122,461 | |
8,007 | Wolters Kluwer NV | 1,255,626 | |
18,728,846 | |||
New Zealand — 0.2% | |||
673,334 | Spark New Zealand Ltd. | 1,919,127 | |
Norway — 0.5% | |||
95,361 | DNB Bank ASA | 1,890,765 | |
3,317 | Kongsberg Gruppen ASA | 229,162 | |
3,506 | Orkla ASA | 24,736 | |
15,309 | SFL Corp. Ltd. | 201,773 | |
52,664 | SpareBank 1 SMN | 668,943 | |
12,750 | SpareBank 1 SR-Bank ASA | 159,836 |
Shares | Description | Value ($) | |
Norway — continued | |||
27,177 | Sparebanken Vest | 291,596 | |
71,955 | Telenor ASA | 800,893 | |
16,762 | Veidekke ASA | 182,320 | |
4,450,024 | |||
Singapore — 0.6% | |||
13,600 | Frasers Property Ltd. | 8,565 | |
12,000 | Great Eastern Holdings Ltd. | 162,004 | |
44,804 | Hong Leong Finance Ltd. | 82,663 | |
212,400 | Oversea-Chinese Banking Corp. Ltd. | 2,123,056 | |
11,100 | SBS Transit Ltd. | 21,384 | |
1,787,301 | Sheng Siong Group Ltd. | 2,026,208 | |
103,600 | Singapore Exchange Ltd. | 706,992 | |
33,000 | Singapore Land Group Ltd. | 43,768 | |
2,500 | United Overseas Bank Ltd. | 54,294 | |
5,228,934 | |||
South Korea — 0.3% | |||
1,927 | Samsung Electronics Co. Ltd., GDR(b) | 2,865,449 | |
Spain — 1.2% | |||
30,074 | Acerinox SA | 330,158 | |
622 | ACS Actividades de Construccion y Servicios SA | 26,051 | |
32,647 | Aena SME SA | 6,432,960 | |
60,089 | Cia de Distribucion Integral Logista Holdings SA | 1,680,810 | |
3,070 | Ebro Foods SA(a) | 51,193 | |
34,307 | Industria de Diseno Textil SA | 1,729,196 | |
10,250,368 | |||
Sweden — 0.1% | |||
28,060 | Skandinaviska Enskilda Banken AB Class A (a) | 380,384 | |
7,869 | Volvo AB Class B (a) | 213,493 | |
593,877 | |||
Switzerland — 1.6% | |||
45,057 | ABB Ltd. | 2,095,523 | |
1,249 | Banque Cantonale de Geneve | 399,369 | |
168 | Basellandschaftliche Kantonalbank | 155,559 | |
1,399 | Berner Kantonalbank AG(a) | 378,990 | |
2,312 | BKW AG | 355,258 | |
122 | Chocoladefabriken Lindt & Spruengli AG(a) | 1,461,508 | |
20,489 | Cie Financiere Richemont SA Class A | 3,127,831 | |
772 | Emmi AG | 767,114 | |
323 | Givaudan SA | 1,440,178 | |
15 | Graubuendner Kantonalbank | 29,144 | |
402 | Huber & Suhner AG(a) | 34,010 | |
1,515 | Kuehne & Nagel International AG | 422,188 | |
334 | Landis & Gyr Group AG | 25,679 | |
7,419 | Logitech International SA | 665,214 | |
22,202 | Novartis AG | 2,153,646 |
Shares | Description | Value ($) | |
Switzerland — continued | |||
130 | Schindler Holding AG | 32,778 | |
78 | Sonova Holding AG | 22,611 | |
43 | Swisscom AG* | 26,324 | |
13,592,924 | |||
United Kingdom — 3.8% | |||
225,185 | BAE Systems PLC | 3,838,854 | |
4,921 | BP PLC, ADR | 185,423 | |
34,715 | Bunzl PLC | 1,336,661 | |
1,742 | Cranswick PLC | 90,136 | |
228,822 | Diageo PLC | 8,456,432 | |
1,779 | Hill & Smith PLC | 43,958 | |
7,399 | Imperial Brands PLC | 165,438 | |
23,500 | London Stock Exchange Group PLC | 2,817,237 | |
49,861 | RELX PLC | 2,156,672 | |
119,784 | Sage Group PLC | 1,914,918 | |
360,011 | Spirent Communications PLC | 909,568 | |
170,872 | St. James's Place PLC | 1,002,642 | |
7,618 | Tesco PLC | 28,543 | |
166,811 | Unilever PLC | 8,380,851 | |
31,327,333 | |||
United States — 65.2% | |||
4,200 | 3M Co. | 445,494 | |
34,400 | Abbott Laboratories | 3,909,904 | |
17,600 | AbbVie, Inc. | 3,204,960 | |
11,537 | Accenture PLC Class A | 3,998,840 | |
1,500 | Acuity Brands, Inc. | 403,095 | |
7,375 | Adobe, Inc.* | 3,721,425 | |
31,600 | Albertsons Cos., Inc. Class A | 677,504 | |
8,037 | Align Technology, Inc.* | 2,635,493 | |
4,000 | Allstate Corp. | 692,040 | |
138,542 | Alphabet, Inc. Class A * | 20,910,144 | |
60,500 | Altria Group, Inc. | 2,639,010 | |
73,391 | Amazon.com, Inc.* | 13,238,269 | |
30,171 | Amdocs Ltd. | 2,726,553 | |
13,700 | American Express Co. | 3,119,353 | |
200 | Ameriprise Financial, Inc. | 87,688 | |
9,300 | Amgen, Inc. | 2,644,176 | |
2,700 | Aon PLC Class A | 901,044 | |
28,800 | Apple, Inc. | 4,938,624 | |
14,700 | Arch Capital Group Ltd.* | 1,358,868 | |
4,000 | Arista Networks, Inc.* | 1,159,920 | |
101,800 | AT&T, Inc. | 1,791,680 | |
29,817 | Autodesk, Inc.* | 7,764,943 | |
38,651 | Automatic Data Processing, Inc. | 9,652,701 | |
160 | AutoZone, Inc.* | 504,264 | |
8,800 | Axis Capital Holdings Ltd. | 572,176 | |
9,300 | Bank of New York Mellon Corp. | 535,866 |
Shares | Description | Value ($) | |
United States — continued | |||
18,570 | Becton Dickinson & Co. | 4,595,146 | |
12,872 | Berkshire Hathaway, Inc. Class B * | 5,412,933 | |
6,100 | Biogen, Inc.* | 1,315,343 | |
5,600 | BioMarin Pharmaceutical, Inc.* | 489,104 | |
11,137 | Bio-Rad Laboratories, Inc. Class A * | 3,851,954 | |
2,630 | Booking Holdings, Inc. | 9,541,324 | |
30,855 | Bristol-Myers Squibb Co. | 1,673,267 | |
1,417 | Broadcom, Inc. | 1,878,106 | |
5,150 | CACI International, Inc. Class A * | 1,950,975 | |
11,735 | Cadence Design Systems, Inc.* | 3,652,871 | |
16,400 | Cardinal Health, Inc. | 1,835,160 | |
7,200 | Casey's General Stores, Inc. | 2,292,840 | |
64,826 | Catalent, Inc.* | 3,659,428 | |
600 | Caterpillar, Inc. | 219,858 | |
14,000 | Cboe Global Markets, Inc. | 2,572,220 | |
7,400 | CDW Corp. | 1,892,772 | |
6,500 | Cencora, Inc. | 1,579,435 | |
14,000 | Centene Corp.* | 1,098,720 | |
17,082 | Charter Communications, Inc. Class A * | 4,964,542 | |
3,200 | Chemed Corp. | 2,054,176 | |
11,900 | Cheniere Energy, Inc. | 1,919,232 | |
11,300 | Chevron Corp. | 1,782,462 | |
13,400 | Chubb Ltd. | 3,472,342 | |
6,250 | Cigna Group | 2,269,937 | |
88,800 | Cisco Systems, Inc. | 4,432,008 | |
11,600 | Clean Harbors, Inc.* | 2,335,196 | |
16,000 | CNA Financial Corp. | 726,720 | |
66,100 | Coca-Cola Co. | 4,043,998 | |
29,200 | Colgate-Palmolive Co. | 2,629,460 | |
39,300 | Comcast Corp. Class A | 1,703,655 | |
6,200 | ConocoPhillips | 789,136 | |
4,449 | Consolidated Edison, Inc. | 404,014 | |
30,373 | Cooper Cos., Inc. | 3,081,645 | |
6,300 | Costco Wholesale Corp. | 4,615,569 | |
8,600 | Curtiss-Wright Corp. | 2,201,084 | |
4,400 | Darden Restaurants, Inc. | 735,460 | |
19,400 | Donaldson Co., Inc. | 1,448,792 | |
22,577 | DTE Energy Co. | 2,531,785 | |
54,366 | Electronic Arts, Inc. | 7,212,737 | |
18,747 | Elevance Health, Inc. | 9,721,069 | |
6,817 | Eli Lilly & Co. | 5,303,353 | |
1,400 | EMCOR Group, Inc. | 490,280 | |
11,200 | Encompass Health Corp. | 924,896 | |
19,100 | Entergy Corp. | 2,018,488 | |
4,214 | Everest Group Ltd. | 1,675,065 | |
31,900 | Exxon Mobil Corp. | 3,708,056 | |
9,600 | F5, Inc.* | 1,820,064 | |
8,330 | FactSet Research Systems, Inc. | 3,785,069 | |
1,600 | FedEx Corp. | 463,584 |
Shares | Description | Value ($) | |
United States — continued | |||
10,700 | Ferguson PLC | 2,337,201 | |
48,093 | Fiserv, Inc.* | 7,686,223 | |
11,000 | General Dynamics Corp. | 3,107,390 | |
30,400 | Gilead Sciences, Inc. | 2,226,800 | |
200 | Globe Life, Inc. | 23,274 | |
7,700 | Grand Canyon Education, Inc.* | 1,048,817 | |
78,663 | GSK PLC | 1,697,853 | |
11,141 | GSK PLC, ADR | 477,615 | |
15,600 | Hartford Financial Services Group, Inc. | 1,607,580 | |
326 | Hershey Co. | 63,407 | |
1,700 | HF Sinclair Corp. | 102,629 | |
5,714 | Home Depot, Inc. | 2,191,890 | |
1,300 | Honeywell International, Inc. | 266,825 | |
1,500 | HP, Inc. | 45,330 | |
8,400 | Huntington Ingalls Industries, Inc. | 2,448,348 | |
24,718 | ICON PLC* | 8,304,012 | |
20,000 | Ingredion, Inc. | 2,337,000 | |
50,120 | Intercontinental Exchange, Inc. | 6,887,992 | |
12,900 | International Business Machines Corp. | 2,463,384 | |
16,980 | Intuit, Inc. | 11,037,000 | |
2,600 | IQVIA Holdings, Inc.* | 657,514 | |
400 | Jabil, Inc. | 53,580 | |
6,300 | JB Hunt Transport Services, Inc. | 1,255,275 | |
61,071 | Johnson & Johnson | 9,660,821 | |
12,200 | JPMorgan Chase & Co. | 2,443,660 | |
18,100 | Kimberly-Clark Corp. | 2,341,235 | |
2,700 | KLA Corp. | 1,886,139 | |
52,400 | Kroger Co. | 2,993,612 | |
2,200 | L3Harris Technologies, Inc. | 468,820 | |
5,700 | Landstar System, Inc. | 1,098,732 | |
5,300 | Leidos Holdings, Inc. | 694,777 | |
6,800 | Lockheed Martin Corp. | 3,093,116 | |
32,000 | Loews Corp. | 2,505,280 | |
1,200 | Lululemon Athletica, Inc.* | 468,780 | |
8,000 | Manhattan Associates, Inc.* | 2,001,840 | |
6,900 | Marathon Petroleum Corp. | 1,390,350 | |
1,590 | Markel Group, Inc.* | 2,419,153 | |
21,470 | Mastercard, Inc. Class A | 10,339,308 | |
6,300 | McDonald's Corp. | 1,776,285 | |
4,600 | McKesson Corp. | 2,469,510 | |
37,234 | Merck & Co., Inc. | 4,913,026 | |
4,900 | Meta Platforms, Inc. Class A | 2,379,342 | |
52,992 | Microsoft Corp. | 22,294,794 | |
5,000 | Molina Healthcare, Inc.* | 2,054,150 | |
25,337 | Monster Beverage Corp.* | 1,501,977 | |
22,081 | Moody's Corp. | 8,678,495 | |
5,919 | Motorola Solutions, Inc. | 2,101,127 | |
10,700 | MSC Industrial Direct Co., Inc. Class A | 1,038,328 | |
4,950 | Murphy USA, Inc. | 2,075,040 |
Shares | Description | Value ($) | |
United States — continued | |||
69,125 | Nestle SA | 7,348,417 | |
16,800 | NetApp, Inc. | 1,763,496 | |
1,600 | Neurocrine Biosciences, Inc.* | 220,672 | |
2,450 | NewMarket Corp. | 1,554,819 | |
17,851 | Newmont Corp. | 639,780 | |
5,400 | Northrop Grumman Corp. | 2,584,764 | |
420 | NVIDIA Corp. | 379,495 | |
48,000 | OGE Energy Corp. | 1,646,400 | |
23,414 | Oracle Corp. | 2,941,033 | |
15,750 | PACCAR, Inc. | 1,951,268 | |
1,600 | Parker-Hannifin Corp. | 889,264 | |
23,148 | PepsiCo, Inc. | 4,051,131 | |
96,035 | Philip Morris International, Inc. | 8,798,727 | |
6,200 | Phillips 66 | 1,012,708 | |
30,180 | Procter & Gamble Co. | 4,896,705 | |
3,000 | Progressive Corp. | 620,460 | |
2,100 | PTC, Inc.* | 396,774 | |
34,600 | Public Service Enterprise Group, Inc. | 2,310,588 | |
31,674 | Qiagen NV* | 1,361,665 | |
12,900 | QUALCOMM, Inc. | 2,183,970 | |
2,550 | Regeneron Pharmaceuticals, Inc.* | 2,454,349 | |
10,800 | Reinsurance Group of America, Inc. | 2,083,104 | |
15,104 | Republic Services, Inc. | 2,891,510 | |
23,174 | Roche Holding AG | 5,909,923 | |
6,300 | Roper Technologies, Inc. | 3,533,292 | |
4,700 | Royal Gold, Inc. | 572,507 | |
9,461 | S&P Global, Inc. | 4,025,182 | |
10,900 | Salesforce, Inc. | 3,282,862 | |
14,500 | Science Applications International Corp. | 1,890,655 | |
116 | Seaboard Corp. | 373,975 | |
4,100 | ServiceNow, Inc.* | 3,125,840 | |
6,900 | Snap-on, Inc. | 2,043,918 | |
3,486 | Spotify Technology SA* | 919,955 | |
10,300 | SS&C Technologies Holdings, Inc. | 663,011 | |
272 | Synopsys, Inc.* | 155,448 | |
3,300 | Sysco Corp. | 267,894 | |
11,700 | TD SYNNEX Corp. | 1,323,270 | |
7,900 | Tetra Tech, Inc. | 1,459,209 | |
7,800 | Texas Roadhouse, Inc. | 1,204,866 | |
28,300 | Textron, Inc. | 2,714,819 | |
11,967 | Thermo Fisher Scientific, Inc. | 6,955,340 | |
22,300 | T-Mobile U.S., Inc. | 3,639,806 | |
10,200 | Travelers Cos., Inc. | 2,347,428 | |
6,000 | United Therapeutics Corp.* | 1,378,320 | |
21,744 | UnitedHealth Group, Inc. | 10,756,757 | |
28,819 | VeriSign, Inc.* | 5,461,489 | |
101,812 | Verizon Communications, Inc. | 4,272,032 | |
5,800 | Vertex Pharmaceuticals, Inc.* | 2,424,458 | |
72,507 | Visa, Inc. Class A | 20,235,254 |
Shares | Description | Value ($) | |
United States — continued | |||
8,600 | W R Berkley Corp. | 760,584 | |
70,908 | Walmart, Inc. | 4,266,534 | |
14,885 | Waste Management, Inc. | 3,172,738 | |
840 | White Mountains Insurance Group Ltd. | 1,507,212 | |
2,100 | Workday, Inc. Class A * | 572,775 | |
25,959 | Xcel Energy, Inc. | 1,395,296 | |
13,800 | Zoetis, Inc. | 2,335,098 | |
15,200 | Zoom Video Communications, Inc. Class A * | 993,624 | |
543,346,470 | |||
TOTAL COMMON STOCKS (COST $639,122,559) | 773,923,273 | ||
PREFERRED STOCKS — 0.2% | |||
Germany — 0.2% | |||
3,219 | FUCHS SE, 2.33% | 159,572 | |
25,486 | Henkel AG & Co. KGaA, 2.49% | 2,050,604 | |
2,210,176 | |||
TOTAL PREFERRED STOCKS (COST $1,976,034) | 2,210,176 | ||
WARRANT — 0.0% | |||
Canada — 0.0% | |||
100 | Constellation Software, Inc. Expires 03/31/40*(d)(e) 144A | — | |
TOTAL WARRANT (COST $—) | — |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 1.8% | |||
Mutual Fund - Securities Lending Collateral — 1.8% | |||
14,584,436 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(f)(g) | 14,584,436 | |
TOTAL SHORT-TERM INVESTMENT (COST $14,584,436) | 14,584,436 | ||
TOTAL INVESTMENTS — 94.9% (Cost $655,683,029) | 790,717,885 | ||
Other Assets and Liabilities (net) — 5.1% | 42,534,121 | ||
NET ASSETS — 100.0% | $833,252,006 |
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) | Securities are traded on separate exchanges for the same entity. |
(d) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(e) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $0. |
(f) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(g) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $0 which represents 0.0% of net assets. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
5 | Canadian Dollar | Jun 2024 | $369,700 | $(808 ) |
31 | MSCI EAFE Index | Jun 2024 | 3,653,505 | 18,952 |
33 | S&P 500 E-mini Index | Jun 2024 | 8,759,025 | 106,996 |
2 | S&P/TSX 60 Index | Jun 2024 | 396,497 | 4,133 |
$129,273 |
Abbreviations | ||
ADR | — | American Depository Receipt |
GDR | — | Global Depository Receipt |
REIT | — | Real Estate Investment Trust |
Industry Sector Summary (Unaudited) | % of Net Assets |
Consumer, Non-cyclical | 31.4 |
Technology | 17.3 |
Financial | 12.3 |
Communications | 11.8 |
Industrial | 11.0 |
Consumer, Cyclical | 4.7 |
Energy | 1.8 |
Utilities | 1.6 |
Basic Materials | 1.2 |
Diversified | 0.0* |
Short-Term Investment | 1.8 |
Other Assets and Liabilities (net) | 5.1 |
100.0% |
* | Amount rounds to zero. |
Shares | Description | Value ($) | |
COMMON STOCKS — 94.5% | |||
Australia — 3.3% | |||
310,507 | AGL Energy Ltd. | 1,689,474 | |
44,424 | Ampol Ltd. | 1,153,202 | |
416,900 | ANZ Group Holdings Ltd. | 7,996,375 | |
36,960 | Aristocrat Leisure Ltd. | 1,036,846 | |
1,358,851 | Aurizon Holdings Ltd. | 3,546,057 | |
681,000 | Bank of Queensland Ltd.(a) | 2,807,877 | |
1,846,226 | Beach Energy Ltd. | 2,210,217 | |
336,600 | BlueScope Steel Ltd. | 5,237,408 | |
84,041 | Brambles Ltd. | 885,478 | |
41,228 | Downer EDI Ltd. | 137,175 | |
225,700 | Elders Ltd.(a) | 1,381,174 | |
194,900 | Fortescue Ltd. | 3,267,826 | |
1,854,586 | Glencore PLC | 10,198,233 | |
1,558,600 | Harvey Norman Holdings Ltd.(a) | 5,236,678 | |
1,256,900 | Helia Group Ltd. | 3,206,206 | |
86,000 | JB Hi-Fi Ltd. | 3,604,836 | |
1,489,800 | Metcash Ltd. | 3,800,307 | |
36,619 | New Hope Corp. Ltd. | 111,090 | |
1,431,210 | NEXTDC Ltd.*(a) | 16,610,903 | |
810,700 | Perenti Ltd. | 518,323 | |
5,487 | Premier Investments Ltd. | 117,451 | |
685,200 | Qantas Airways Ltd.* | 2,436,283 | |
38,488 | QBE Insurance Group Ltd. | 455,237 | |
121,500 | Rio Tinto Ltd. | 9,651,501 | |
76,675 | Rio Tinto PLC | 4,859,451 | |
964,100 | Stockland, REIT | 3,050,547 | |
662,097 | Super Retail Group Ltd. | 6,954,428 | |
17,814 | Technology One Ltd. | 197,223 | |
51,401 | Ventia Services Group Pty. Ltd. | 129,106 | |
56,133 | Viva Energy Group Ltd. 144A | 135,498 | |
174,455 | Wesfarmers Ltd. | 7,784,908 | |
49,471 | Whitehaven Coal Ltd. | 229,152 | |
714,357 | Woodside Energy Group Ltd. | 14,214,418 | |
124,850,888 | |||
Austria — 0.5% | |||
47,600 | ANDRITZ AG | 2,971,382 | |
5,427 | BAWAG Group AG 144A | 344,050 | |
20,339 | Erste Group Bank AG(b) | 907,201 | |
2,891 | Erste Group Bank AG(b) | 128,665 | |
145,742 | OMV AG | 6,903,623 | |
9,905 | Raiffeisen Bank International AG | 197,474 | |
233,450 | Wienerberger AG | 8,511,773 | |
19,964,168 | |||
Belgium — 0.2% | |||
66,300 | Ageas SA | 3,073,244 | |
21,907 | Proximus SADP | 177,399 |
Shares | Description | Value ($) | |
Belgium — continued | |||
38,788 | Solvay SA(a) | 1,059,843 | |
34,200 | Syensqo SA* | 3,242,242 | |
7,552,728 | |||
Brazil — 1.2% | |||
962,160 | NU Holdings Ltd. Class A * | 11,478,569 | |
1,219,100 | Petroleo Brasileiro SA | 9,323,081 | |
141,961 | Petroleo Brasileiro SA, ADR | 2,159,227 | |
554,342 | Petroleo Brasileiro SA, Preferred ADR | 8,259,696 | |
390,500 | Vale SA | 4,745,555 | |
172,176 | Wheaton Precious Metals Corp.(a) | 8,117,368 | |
63,900 | Yara International ASA | 2,019,736 | |
46,103,232 | |||
Canada — 1.3% | |||
106,350 | Agnico Eagle Mines Ltd.(a) | 6,347,600 | |
157,660 | Canadian Pacific Kansas City Ltd.(a) | 13,914,158 | |
20,100 | Canadian Tire Corp. Ltd. Class A (a) | 2,006,658 | |
201,507 | Franco-Nevada Corp. | 24,033,423 | |
78,900 | Suncor Energy, Inc. | 2,914,621 | |
49,216,460 | |||
Chile — 0.0% | |||
24,025 | Antofagasta PLC | 618,828 | |
China — 1.3% | |||
3,213,500 | 3SBio, Inc. 144A | 2,455,357 | |
5,072,000 | Agricultural Bank of China Ltd. Class H | 2,138,594 | |
2,077,000 | Bank of China Ltd. Class H | 857,184 | |
248,500 | Budweiser Brewing Co. APAC Ltd. 144A | 365,775 | |
443,500 | BYD Electronic International Co. Ltd. | 1,634,838 | |
439,500 | China Conch Venture Holdings Ltd. | 305,487 | |
12,250,000 | China Construction Bank Corp. Class H | 7,387,768 | |
1,310,000 | China Medical System Holdings Ltd. | 1,375,873 | |
412,000 | China Merchants Bank Co. Ltd. Class H | 1,629,270 | |
254,500 | CSC Financial Co. Ltd. Class H 144A | 192,831 | |
3,906,000 | CSPC Pharmaceutical Group Ltd. | 3,069,323 | |
44,886 | Daqo New Energy Corp., ADR* | 1,263,541 | |
91,000 | Dongfang Electric Corp. Ltd. Class H | 95,111 | |
247,000 | Fu Shou Yuan International Group Ltd. | 152,749 | |
656,000 | Fuyao Glass Industry Group Co. Ltd. Class H 144A | 3,302,442 | |
329,000 | Geely Automobile Holdings Ltd. | 388,421 | |
574,000 | Hengan International Group Co. Ltd. | 1,807,857 | |
171,000 | Hua Hong Semiconductor Ltd.* 144A | 333,416 | |
4,884,000 | Industrial & Commercial Bank of China Ltd. Class H | 2,458,709 | |
370,500 | Kingboard Holdings Ltd. | 755,538 | |
1,270,000 | Lenovo Group Ltd. | 1,471,791 | |
22,765 | Li Auto, Inc., ADR* | 689,324 | |
116,500 | NetEase, Inc. | 2,423,346 | |
148,600 | Pop Mart International Group Ltd. 144A | 545,873 |
Shares | Description | Value ($) | |
China — continued | |||
141,500 | Shandong Gold Mining Co. Ltd. Class H 144A | 287,106 | |
628,600 | Shanghai Pharmaceuticals Holding Co. Ltd. Class H | 907,586 | |
1,194,400 | Sinopharm Group Co. Ltd. Class H | 3,059,845 | |
313,000 | SITC International Holdings Co. Ltd. | 571,894 | |
250,000 | TravelSky Technology Ltd. Class H | 302,819 | |
7,000 | Wuxi Biologics Cayman, Inc.* 144A | 12,790 | |
3,513,000 | Xinyi Glass Holdings Ltd. | 3,721,070 | |
462,000 | Yadea Group Holdings Ltd. 144A | 748,508 | |
2,695,000 | Yangzijiang Shipbuilding Holdings Ltd. | 3,814,056 | |
59,000 | Zhongsheng Group Holdings Ltd. | 102,223 | |
50,628,315 | |||
Denmark — 2.6% | |||
387 | AP Moller - Maersk AS Class A | 495,062 | |
2,065 | AP Moller - Maersk AS Class B | 2,689,149 | |
49,100 | D/S Norden AS | 2,000,542 | |
181,400 | Danske Bank AS | 5,426,372 | |
71,900 | Dfds AS | 2,086,261 | |
9,876 | ISS AS | 179,746 | |
86,019 | Jyske Bank AS | 7,256,160 | |
480,428 | Novo Nordisk AS Class B | 61,304,741 | |
80,919 | Novozymes AS Class B | 4,747,467 | |
31,822 | Pandora AS | 5,135,107 | |
13,564 | Rockwool AS Class B * | 4,456,196 | |
5,488 | Spar Nord Bank AS | 91,539 | |
65,456 | Sydbank AS | 3,381,554 | |
99,249,896 | |||
Egypt — 0.0% | |||
288,540 | Centamin PLC | 411,518 | |
Finland — 1.0% | |||
39,094 | Kone OYJ Class B | 1,821,436 | |
74,821 | Konecranes OYJ | 3,887,609 | |
1,474,735 | Nokia OYJ | 5,241,621 | |
1,482,082 | Nordea Bank Abp(a)(b) | 16,522,097 | |
444,650 | Nordea Bank Abp(b) | 5,027,924 | |
11,956 | Nordea Bank Abp(b) | 135,218 | |
10,415 | Puuilo OYJ | 111,413 | |
49,000 | TietoEVRY OYJ(a) | 1,037,761 | |
99,800 | Valmet OYJ(a) | 2,628,852 | |
36,413,931 | |||
France — 8.0% | |||
101,173 | Air Liquide SA | 21,071,016 | |
32,000 | Arkema SA | 3,370,982 | |
120,900 | AXA SA | 4,545,864 | |
183,078 | BNP Paribas SA | 13,022,117 | |
158,600 | Bouygues SA | 6,479,824 | |
55,763 | Capgemini SE | 12,845,787 |
Shares | Description | Value ($) | |
France — continued | |||
251,878 | Carrefour SA | 4,318,448 | |
228,193 | Cie de Saint-Gobain SA | 17,727,035 | |
120,400 | Cie Generale des Etablissements Michelin SCA | 4,618,736 | |
456,200 | Credit Agricole SA | 6,807,087 | |
319,657 | Dassault Systemes SE | 14,168,220 | |
253,630 | Edenred SE | 13,548,102 | |
53,319 | EssilorLuxottica SA | 12,075,473 | |
2,526 | Eurazeo SE | 221,656 | |
42,600 | Ipsen SA | 5,074,682 | |
48,500 | IPSOS SA | 3,423,033 | |
198,113 | Legrand SA | 21,015,350 | |
6,442 | L'Oreal SA | 3,051,846 | |
33,258 | LVMH Moet Hennessy Louis Vuitton SE | 29,945,368 | |
125,400 | Metropole Television SA | 1,871,670 | |
31,377 | Nexity SA(a) | 321,081 | |
1,628,573 | Orange SA | 19,150,453 | |
84,990 | Pernod Ricard SA | 13,763,789 | |
35,500 | Quadient SA | 730,760 | |
220,900 | Rexel SA | 5,971,457 | |
45,386 | Societe BIC SA | 3,244,917 | |
44,351 | Societe Generale SA | 1,188,376 | |
18,000 | Sopra Steria Group | 4,362,336 | |
219,200 | Television Francaise 1 SA(a) | 2,005,154 | |
812,462 | TotalEnergies SE(a) | 55,692,316 | |
6,515 | Ubisoft Entertainment SA* | 137,241 | |
10,102 | Vallourec SACA* | 187,655 | |
65,600 | Verallia SA | 2,553,362 | |
308,511,193 | |||
Georgia — 0.1% | |||
45,361 | Bank of Georgia Group PLC | 2,893,765 | |
1,662 | TBC Bank Group PLC | 67,500 | |
2,961,265 | |||
Germany — 9.0% | |||
39,039 | adidas AG | 8,727,558 | |
7,105 | AIXTRON SE | 187,998 | |
38,045 | Allianz SE | 11,414,412 | |
38,500 | Aurubis AG | 2,710,184 | |
265,905 | Bayer AG | 8,164,453 | |
284,258 | Bayerische Motoren Werke AG | 32,836,572 | |
74,782 | Beiersdorf AG | 10,899,176 | |
2,099 | Bilfinger SE | 98,158 | |
6,807 | Continental AG | 491,819 | |
84,800 | Daimler Truck Holding AG | 4,300,784 | |
328,325 | Deutsche Bank AG(b) | 5,170,646 | |
115,553 | Deutsche Bank AG(b) | 1,822,271 | |
81,718 | Deutsche Boerse AG | 16,737,643 | |
118,200 | Deutsche Pfandbriefbank AG(a) | 631,131 |
Shares | Description | Value ($) | |
Germany — continued | |||
216,843 | Deutsche Post AG | 9,347,711 | |
201,993 | Deutsche Telekom AG | 4,908,430 | |
4,206 | Duerr AG | 97,300 | |
424,743 | E.ON SE | 5,910,638 | |
104,196 | Evonik Industries AG | 2,062,143 | |
16,677 | Fresenius Medical Care AG | 642,098 | |
303,548 | Fresenius SE & Co. KGaA | 8,195,795 | |
170,089 | GEA Group AG | 7,199,050 | |
57,756 | Heidelberg Materials AG | 6,359,282 | |
32,891 | Henkel AG & Co. KGaA | 2,371,467 | |
155,754 | HUGO BOSS AG | 9,187,865 | |
488,429 | Infineon Technologies AG | 16,624,266 | |
15,573 | K&S AG | 243,200 | |
85,207 | Knorr-Bremse AG | 6,450,851 | |
25,082 | LEG Immobilien SE* | 2,155,707 | |
360,278 | Mercedes-Benz Group AG | 28,719,486 | |
5,987 | MTU Aero Engines AG | 1,520,794 | |
14,583 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 7,123,562 | |
6,398 | Puma SE | 290,351 | |
418,863 | SAP SE | 81,635,052 | |
23,256 | SAP SE, ADR | 4,535,618 | |
72,905 | Siemens AG | 13,933,369 | |
55,825 | Symrise AG Class A | 6,689,286 | |
85,196 | TAG Immobilien AG* | 1,166,248 | |
42,000 | Talanx AG | 3,329,424 | |
8,599 | TeamViewer SE* 144A | 128,206 | |
106,800 | United Internet AG | 2,406,076 | |
599 | Volkswagen AG | 91,604 | |
191,830 | Vonovia SE | 5,676,633 | |
1,131 | Wacker Chemie AG | 127,706 | |
110,370 | Zalando SE* | 3,157,597 | |
346,479,620 | |||
Greece — 0.1% | |||
65,200 | Mytilineos SA | 2,518,076 | |
Guatemala — 0.0% | |||
8,684 | Millicom International Cellular SA, SDR* | 177,211 | |
Hong Kong — 0.4% | |||
15,600 | ASMPT Ltd. | 196,135 | |
7,600 | Jardine Matheson Holdings Ltd. | 283,480 | |
326,000 | Pacific Basin Shipping Ltd. | 94,137 | |
26,000 | Swire Pacific Ltd. Class A | 213,941 | |
376,000 | Techtronic Industries Co. Ltd. | 5,097,279 | |
9,510,000 | Tongda Group Holdings Ltd.* | 92,349 | |
1,834,000 | United Laboratories International Holdings Ltd. | 2,099,629 | |
9,820,000 | WH Group Ltd. 144A | 6,474,353 | |
14,551,303 |
Shares | Description | Value ($) | |
Hungary — 0.1% | |||
314,700 | MOL Hungarian Oil & Gas PLC | 2,553,124 | |
95,800 | Richter Gedeon Nyrt | 2,431,420 | |
4,984,544 | |||
India — 0.1% | |||
1,172,100 | Redington Ltd. | 2,916,811 | |
Indonesia — 0.0% | |||
7,888,300 | Golden Agri-Resources Ltd. | 1,578,128 | |
Ireland — 1.0% | |||
11,943 | AerCap Holdings NV* | 1,037,966 | |
3,694,687 | AIB Group PLC | 18,770,191 | |
1,347,073 | Bank of Ireland Group PLC | 13,748,226 | |
47,290 | Kerry Group PLC Class A | 4,057,255 | |
37,613,638 | |||
Israel — 0.6% | |||
209,233 | Bank Hapoalim BM | 1,969,144 | |
316,972 | Bank Leumi Le-Israel BM | 2,644,822 | |
126,656 | Bezeq The Israeli Telecommunication Corp. Ltd. | 163,449 | |
1,421 | First International Bank Of Israel Ltd. | 59,343 | |
233 | Israel Corp. Ltd.* | 63,597 | |
249,942 | Israel Discount Bank Ltd. Class A | 1,298,249 | |
47,772 | Mizrahi Tefahot Bank Ltd. | 1,798,116 | |
3,645 | Nice Ltd.* | 952,314 | |
32,313 | Nice Ltd., ADR* | 8,421,414 | |
10,974 | Phoenix Holdings Ltd. | 109,989 | |
266,400 | Teva Pharmaceutical Industries Ltd.* | 3,791,276 | |
21,271,713 | |||
Italy — 4.3% | |||
2,608,300 | A2A SpA | 4,714,189 | |
125,182 | Assicurazioni Generali SpA | 3,171,711 | |
64,593 | Azimut Holding SpA | 1,756,568 | |
3,634 | Banca Generali SpA | 144,508 | |
121,310 | Banca Mediolanum SpA | 1,333,731 | |
55,414 | Banca Monte dei Paschi di Siena SpA* | 251,358 | |
27,085 | Banca Popolare di Sondrio SpA | 203,007 | |
92,178 | Banco BPM SpA | 614,038 | |
65,697 | BPER Banca | 310,773 | |
5,974 | Buzzi SpA | 234,850 | |
222,700 | Coca-Cola HBC AG | 7,041,584 | |
1,286,870 | Davide Campari-Milano NV | 12,944,779 | |
1,576,888 | Eni SpA | 24,946,114 | |
29,260 | Ferrari NV | 12,766,722 | |
37,346 | FinecoBank Banca Fineco SpA | 560,033 | |
4,817,992 | Intesa Sanpaolo SpA | 17,499,138 | |
108,900 | Iveco Group NV* | 1,623,045 | |
812,206 | Leonardo SpA | 20,420,806 |
Shares | Description | Value ($) | |
Italy — continued | |||
376,604 | Mediobanca Banca di Credito Finanziario SpA | 5,616,973 | |
673,960 | MFE-MediaForEurope NV Class A (a) | 1,750,544 | |
519,790 | Pirelli & C SpA 144A | 3,186,354 | |
262,370 | Poste Italiane SpA 144A | 3,288,388 | |
55,614 | Ryanair Holdings PLC, ADR | 8,096,842 | |
161,621 | Saras SpA | 309,304 | |
574,748 | UniCredit SpA | 21,834,100 | |
729,363 | Unipol Gruppo SpA | 6,117,371 | |
957,500 | UnipolSai Assicurazioni SpA(a) | 2,775,524 | |
163,512,354 | |||
Japan — 21.7% | |||
38,000 | Acom Co. Ltd. | 100,835 | |
11,300 | AEON Financial Service Co. Ltd. | 102,775 | |
2,500 | AEON REIT Investment Corp., REIT | 2,296,078 | |
247,000 | AGC, Inc. | 8,946,804 | |
2,700 | Ain Holdings, Inc. | 97,139 | |
37,100 | Air Water, Inc. | 578,642 | |
41,500 | Aisin Corp. | 1,688,298 | |
11,400 | Alfresa Holdings Corp. | 165,187 | |
52,000 | Alpen Co. Ltd.(a) | 689,577 | |
133,800 | Amada Co. Ltd.(a) | 1,524,584 | |
82,400 | Amano Corp. | 2,097,227 | |
51,400 | Artience Co. Ltd. | 994,751 | |
10,000 | Asics Corp. | 469,523 | |
67,900 | ASKA Pharmaceutical Holdings Co. Ltd. | 991,503 | |
343,400 | Astellas Pharma, Inc. | 3,687,106 | |
14,500 | Autobacs Seven Co. Ltd.(a) | 151,232 | |
4,900 | BIPROGY, Inc. | 145,143 | |
163,300 | Brother Industries Ltd. | 3,020,098 | |
8,400 | Bunka Shutter Co. Ltd. | 94,187 | |
366,400 | Canon, Inc.(a) | 10,896,735 | |
871,494 | Chiba Bank Ltd. | 7,241,096 | |
397,100 | Chubu Electric Power Co., Inc. | 5,180,706 | |
21,300 | Chudenko Corp. | 421,933 | |
15,400 | Chugoku Electric Power Co., Inc.(a) | 115,796 | |
353,900 | Citizen Watch Co. Ltd.(a) | 2,321,997 | |
8,700 | Coca-Cola Bottlers Japan Holdings, Inc. | 128,162 | |
7,000 | COMSYS Holdings Corp. | 163,454 | |
3,800 | Cosmo Energy Holdings Co. Ltd. | 190,119 | |
270,800 | Credit Saison Co. Ltd. | 5,559,322 | |
447,500 | Daicel Corp. | 4,404,184 | |
1,700 | Daihen Corp. | 105,474 | |
346,600 | Dai-ichi Life Holdings, Inc. | 8,817,007 | |
99,600 | Daiwa House Industry Co. Ltd. | 2,952,890 | |
461,400 | Daiwa Securities Group, Inc. | 3,493,769 | |
32,900 | Disco Corp. | 11,997,430 | |
32,300 | Dowa Holdings Co. Ltd.(a) | 1,110,209 | |
4,600 | Duskin Co. Ltd. | 97,991 |
Shares | Description | Value ($) | |
Japan — continued | |||
18,400 | Eagle Industry Co. Ltd. | 221,391 | |
2,400 | Ebara Corp. | 217,014 | |
237,400 | EDION Corp.(a) | 2,385,843 | |
99,200 | Electric Power Development Co. Ltd. | 1,625,203 | |
1,251,100 | ENEOS Holdings, Inc. | 6,007,297 | |
113,900 | Ezaki Glico Co. Ltd. | 3,175,909 | |
56,400 | Fast Retailing Co. Ltd. | 17,406,878 | |
5,600 | Fuji Corp. | 98,591 | |
7,800 | Fuji Electric Co. Ltd. | 520,533 | |
856,200 | FUJIFILM Holdings Corp. | 19,166,841 | |
582,300 | Fujikura Ltd. | 8,579,927 | |
359,500 | Fujitsu Ltd. | 5,742,451 | |
94,000 | Fukuoka Financial Group, Inc.(a) | 2,501,781 | |
87,100 | Furukawa Co. Ltd. | 1,043,968 | |
106,100 | Furukawa Electric Co. Ltd.(a) | 2,231,433 | |
28,700 | Futaba Industrial Co. Ltd. | 222,439 | |
251,094 | Hachijuni Bank Ltd. | 1,689,777 | |
14,000 | Hankyu Hanshin Holdings, Inc. | 400,727 | |
296,200 | Hazama Ando Corp.(a) | 2,301,571 | |
61,400 | Hirose Electric Co. Ltd. | 6,288,282 | |
3,900 | Hisamitsu Pharmaceutical Co., Inc. | 100,834 | |
110,000 | Hitachi Ltd. | 9,997,357 | |
11,800 | Hitachi Zosen Corp. | 102,761 | |
132,800 | Hokkaido Electric Power Co., Inc. | 723,295 | |
11,500 | Hokuhoku Financial Group, Inc. | 145,132 | |
2,995,800 | Honda Motor Co. Ltd. | 36,887,068 | |
53,600 | Horiba Ltd. | 5,537,256 | |
33,000 | Hyakugo Bank Ltd. | 139,331 | |
41,900 | Ichinen Holdings Co. Ltd. | 483,382 | |
64,000 | Idemitsu Kosan Co. Ltd. | 436,830 | |
8,700 | IHI Corp.(a) | 231,835 | |
9,500 | Iida Group Holdings Co. Ltd.(a) | 122,497 | |
4,700 | Inabata & Co. Ltd. | 98,754 | |
11,900 | INFRONEER Holdings, Inc. | 113,854 | |
477,000 | Inpex Corp. | 7,247,425 | |
338,100 | Isuzu Motors Ltd.(a) | 4,555,062 | |
110,500 | ITOCHU Corp.(a) | 4,719,495 | |
2,800 | Iwatani Corp. | 150,652 | |
32,600 | Jaccs Co. Ltd. | 1,180,402 | |
101,700 | Japan Exchange Group, Inc. | 2,745,016 | |
108,700 | Japan Petroleum Exploration Co. Ltd.(a) | 4,912,670 | |
90,000 | Japan Post Bank Co. Ltd. | 966,335 | |
865,900 | Japan Post Holdings Co. Ltd. | 8,710,778 | |
356,600 | Japan Post Insurance Co. Ltd.(a) | 6,808,257 | |
82,300 | JFE Holdings, Inc.(a) | 1,358,661 | |
13,400 | JTEKT Corp. | 126,036 | |
4,700 | Juroku Financial Group, Inc. | 145,647 | |
106,500 | Kamigumi Co. Ltd.(a) | 2,339,770 | |
290,700 | Kandenko Co. Ltd. | 3,309,499 |
Shares | Description | Value ($) | |
Japan — continued | |||
71,400 | Kaneka Corp. | 1,771,496 | |
288,300 | Kanematsu Corp. | 4,905,167 | |
45,200 | Kansai Electric Power Co., Inc. | 641,810 | |
9,100 | Kansai Paint Co. Ltd. | 129,785 | |
22,400 | Kato Sangyo Co. Ltd. | 670,468 | |
25,500 | Kawasaki Kisen Kaisha Ltd.(a) | 342,454 | |
142,200 | KDDI Corp. | 4,198,022 | |
41,200 | Keyence Corp. | 19,080,300 | |
6,600 | Kinden Corp. | 114,648 | |
47,900 | Kirin Holdings Co. Ltd. | 665,273 | |
11,700 | Kitz Corp. | 104,673 | |
56,900 | Kobe Steel Ltd.(a) | 768,467 | |
76,200 | Kohnan Shoji Co. Ltd. | 2,195,196 | |
12,200 | Koito Manufacturing Co. Ltd. | 164,042 | |
165,700 | Komatsu Ltd. | 4,886,313 | |
30,100 | Konica Minolta, Inc. | 98,189 | |
18,986 | Kose Corp. | 1,014,627 | |
343,600 | K's Holdings Corp.(a) | 2,951,402 | |
35,700 | KYB Corp.(a) | 1,207,731 | |
16,100 | Kyowa Kirin Co. Ltd. | 288,820 | |
2,600 | Kyudenko Corp. | 107,560 | |
25,200 | Kyushu Electric Power Co., Inc. | 225,617 | |
29,900 | Lasertec Corp. | 8,481,331 | |
249,200 | Lion Corp. | 2,226,161 | |
207,500 | Lixil Corp. | 2,551,505 | |
344,400 | M3, Inc. | 4,935,767 | |
5,500 | Mabuchi Motor Co. Ltd. | 99,955 | |
2,300 | Makino Milling Machine Co. Ltd. | 95,286 | |
13,600 | Makita Corp. | 384,155 | |
706,100 | Marubeni Corp. | 12,179,286 | |
63,400 | Maxell Ltd. | 662,716 | |
35,000 | Mazda Motor Corp. | 407,364 | |
1,173,800 | Mebuki Financial Group, Inc. | 3,846,096 | |
11,700 | Medipal Holdings Corp. | 178,656 | |
1,900 | Micronics Japan Co. Ltd. | 103,571 | |
8,100 | Mirait One Corp. | 99,628 | |
513,900 | Mitsubishi Chemical Group Corp. | 3,121,532 | |
1,332,300 | Mitsubishi Electric Corp. | 22,196,931 | |
196,500 | Mitsubishi Gas Chemical Co., Inc.(a) | 3,286,144 | |
682,200 | Mitsubishi HC Capital, Inc. | 4,744,230 | |
700,700 | Mitsubishi Motors Corp.(a) | 2,294,075 | |
1,183,300 | Mitsubishi UFJ Financial Group, Inc. | 12,001,490 | |
7,000 | Mitsuboshi Belting Ltd. | 214,378 | |
73,600 | Mitsui & Co. Ltd. | 3,425,054 | |
73,600 | Mitsui Mining & Smelting Co. Ltd.(a) | 2,246,248 | |
285,400 | Mitsui OSK Lines Ltd.(a) | 8,697,115 | |
22,100 | MIXI, Inc. | 381,415 | |
480,200 | Mizuho Financial Group, Inc. | 9,480,575 | |
456,000 | Mizuho Leasing Co. Ltd. | 3,353,451 |
Shares | Description | Value ($) | |
Japan — continued | |||
3,100 | Mochida Pharmaceutical Co. Ltd. | 65,443 | |
5,600 | Morinaga & Co. Ltd. | 95,982 | |
6,800 | Morinaga Milk Industry Co. Ltd. | 138,970 | |
393,000 | MS&AD Insurance Group Holdings, Inc. | 6,918,950 | |
16,100 | Nachi-Fujikoshi Corp. | 367,541 | |
5,800 | Nagase & Co. Ltd. | 97,245 | |
11,500 | Nagoya Railroad Co. Ltd. | 160,443 | |
7,400 | Namura Shipbuilding Co. Ltd. | 97,790 | |
6,700 | Nankai Electric Railway Co. Ltd. | 137,413 | |
172,900 | NEC Corp. | 12,583,789 | |
8,100 | NEC Networks & System Integration Corp. | 134,121 | |
111,900 | NGK Insulators Ltd. | 1,501,661 | |
5,100 | NH Foods Ltd. | 170,545 | |
26,300 | NHK Spring Co. Ltd. | 260,489 | |
3,800 | Nichias Corp. | 101,312 | |
5,000 | Nikkon Holdings Co. Ltd. | 96,254 | |
15,200 | Nintendo Co. Ltd. | 829,474 | |
8,400 | NIPPON EXPRESS HOLDINGS, Inc. | 427,867 | |
49,200 | Nippon Gas Co. Ltd. | 824,578 | |
24,500 | Nippon Light Metal Holdings Co. Ltd. | 289,768 | |
3,300 | Nippon Shinyaku Co. Ltd. | 97,837 | |
10,400 | Nippon Shokubai Co. Ltd. | 101,392 | |
126,900 | Nippon Soda Co. Ltd.(a) | 5,064,429 | |
324,100 | Nippon Steel Corp.(a) | 7,771,376 | |
7,908,900 | Nippon Telegraph & Telephone Corp. | 9,406,337 | |
7,400 | Nishi-Nippon Financial Holdings, Inc. | 92,362 | |
5,900 | Nishi-Nippon Railroad Co. Ltd. | 95,978 | |
125,300 | Nishio Holdings Co. Ltd. | 3,195,732 | |
151,400 | Nissan Motor Co. Ltd.(a) | 597,417 | |
12,400 | Nisshinbo Holdings, Inc. | 99,424 | |
20,600 | Niterra Co. Ltd.(a) | 681,517 | |
51,000 | Nitto Denko Corp. | 4,641,878 | |
7,700 | Nitto Kogyo Corp. | 211,394 | |
5,900 | Nojima Corp. | 65,610 | |
7,300 | NOK Corp. | 99,893 | |
1,373,800 | Nomura Holdings, Inc. | 8,752,307 | |
220,000 | Nomura Research Institute Ltd. | 6,188,113 | |
372,441 | North Pacific Bank Ltd. | 1,082,785 | |
11,000 | NS Solutions Corp. | 357,957 | |
23,100 | NSK Ltd. | 131,355 | |
187,300 | NTN Corp.(a) | 388,844 | |
36,200 | Obayashi Corp. | 428,985 | |
2,200 | OBIC Business Consultants Co. Ltd. | 102,990 | |
9,700 | Obic Co. Ltd. | 1,462,258 | |
44,100 | Oji Holdings Corp.(a) | 182,875 | |
26,000 | Okasan Securities Group, Inc. | 138,293 | |
10,700 | Okinawa Electric Power Co., Inc. | 81,022 | |
2,600 | Okumura Corp. | 86,240 | |
320,000 | Olympus Corp. | 4,595,593 |
Shares | Description | Value ($) | |
Japan — continued | |||
330,500 | Ono Pharmaceutical Co. Ltd.(a) | 5,409,155 | |
594,400 | ORIX Corp. | 12,952,732 | |
169,800 | Osaka Gas Co. Ltd. | 3,812,352 | |
72,000 | Otsuka Holdings Co. Ltd. | 2,983,329 | |
511,700 | Pan Pacific International Holdings Corp. | 13,540,973 | |
745,600 | Panasonic Holdings Corp. | 7,086,759 | |
20,100 | Raito Kogyo Co. Ltd. | 267,212 | |
221,600 | Rengo Co. Ltd. | 1,687,495 | |
2,930,000 | Resona Holdings, Inc. | 18,043,279 | |
6,000 | Resorttrust, Inc. | 102,580 | |
160,500 | Ricoh Co. Ltd. | 1,422,649 | |
434,700 | Rohto Pharmaceutical Co. Ltd. | 8,419,988 | |
15,700 | Ryohin Keikaku Co. Ltd. | 256,333 | |
7,400 | Saizeriya Co. Ltd. | 252,298 | |
12,100 | San-In Godo Bank Ltd. | 94,740 | |
12,500 | Sankyo Co. Ltd. | 136,402 | |
53,700 | Sankyu, Inc. | 1,842,927 | |
145,900 | Santen Pharmaceutical Co. Ltd. | 1,433,020 | |
11,400 | Sanwa Holdings Corp. | 198,330 | |
34,200 | Sanyo Chemical Industries Ltd. | 952,479 | |
5,000 | SCREEN Holdings Co. Ltd.(a) | 643,893 | |
3,600 | Sega Sammy Holdings, Inc. | 44,398 | |
11,500 | Seibu Holdings, Inc. | 179,553 | |
165,600 | Seiko Epson Corp.(a) | 2,883,187 | |
145,900 | Seino Holdings Co. Ltd.(a) | 2,000,829 | |
217,100 | Sekisui Chemical Co. Ltd. | 3,167,312 | |
70,700 | Seven Bank Ltd.(a) | 136,873 | |
417,300 | Shimadzu Corp. | 11,588,833 | |
2,700 | Shimamura Co. Ltd. | 153,745 | |
97,500 | Shimizu Corp. | 627,796 | |
299,400 | Shin-Etsu Chemical Co. Ltd. | 13,068,396 | |
86,300 | Shionogi & Co. Ltd. | 4,409,514 | |
185,100 | SKY Perfect JSAT Holdings, Inc. | 1,256,055 | |
10,100 | SMC Corp. | 5,668,466 | |
14,500 | Socionext, Inc.(a) | 393,003 | |
345,840 | Sojitz Corp.(a) | 9,085,598 | |
253,200 | Sompo Holdings, Inc. | 5,286,676 | |
5,500 | Sotetsu Holdings, Inc. | 98,120 | |
8,000 | Stanley Electric Co. Ltd. | 141,134 | |
185,600 | Subaru Corp. | 4,201,431 | |
22,300 | SUMCO Corp. | 350,903 | |
39,200 | Sumitomo Bakelite Co. Ltd. | 1,175,909 | |
245,300 | Sumitomo Corp. | 5,883,505 | |
168,600 | Sumitomo Electric Industries Ltd. | 2,601,216 | |
183,800 | Sumitomo Forestry Co. Ltd. | 5,763,750 | |
175,500 | Sumitomo Heavy Industries Ltd. | 5,502,313 | |
41,100 | Sumitomo Metal Mining Co. Ltd. | 1,217,426 | |
171,300 | Sumitomo Mitsui Financial Group, Inc. | 9,996,509 | |
156,200 | Sumitomo Mitsui Trust Holdings, Inc. | 3,362,513 |
Shares | Description | Value ($) | |
Japan — continued | |||
4,200 | Sumitomo Osaka Cement Co. Ltd.(a) | 104,983 | |
341,000 | Sumitomo Rubber Industries Ltd. | 4,186,316 | |
30,500 | Sumitomo Seika Chemicals Co. Ltd. | 1,015,693 | |
4,200 | Suzuken Co. Ltd. | 127,850 | |
267,200 | Suzuki Motor Corp. | 3,038,430 | |
3,000 | SWCC Corp. | 74,829 | |
29,800 | T&D Holdings, Inc. | 517,161 | |
11,900 | Tadano Ltd. | 101,352 | |
5,600 | Taikisha Ltd. | 174,277 | |
118,900 | Taisei Corp. | 4,323,279 | |
13,000 | Takara Holdings, Inc.(a) | 93,369 | |
5,400 | Takara Standard Co. Ltd.(a) | 68,185 | |
3,400 | Takasago Thermal Engineering Co. Ltd. | 107,945 | |
231,900 | Takeda Pharmaceutical Co. Ltd.(a) | 6,440,092 | |
2,800 | Takeuchi Manufacturing Co. Ltd. | 111,745 | |
7,900 | Takuma Co. Ltd. | 97,768 | |
1,900 | Tamron Co. Ltd. | 84,364 | |
199,900 | Teijin Ltd. | 1,810,188 | |
956,600 | Terumo Corp. | 17,441,856 | |
4,600 | Toho Gas Co. Ltd. | 101,608 | |
29,900 | Tohoku Electric Power Co., Inc. | 233,716 | |
28,000 | TOKAI Holdings Corp. | 182,233 | |
110,900 | Tokio Marine Holdings, Inc. | 3,462,305 | |
184,000 | Tokuyama Corp. | 3,209,620 | |
1,812,700 | Tokyo Electric Power Co. Holdings, Inc.* | 10,997,530 | |
105,400 | Tokyo Electron Ltd. | 27,341,531 | |
308,400 | Tokyo Gas Co. Ltd. | 7,001,635 | |
2,000 | Tokyo Kiraboshi Financial Group, Inc. | 61,912 | |
5,500 | Tomy Co. Ltd. | 100,155 | |
12,200 | Tosoh Corp.(a) | 165,292 | |
1,500 | Towa Corp.(a) | 98,913 | |
196,900 | Toyo Suisan Kaisha Ltd. | 12,022,550 | |
7,100 | Toyo Tire Corp. | 133,560 | |
5,500 | Toyota Boshoku Corp. | 93,360 | |
6,400 | Toyota Industries Corp. | 664,548 | |
13,000 | Toyota Tsusho Corp. | 887,310 | |
8,200 | Trend Micro, Inc. | 415,296 | |
259,100 | TS Tech Co. Ltd.(a) | 3,283,583 | |
16,600 | Tsubakimoto Chain Co. | 557,191 | |
10,500 | UACJ Corp. | 299,366 | |
126,300 | UBE Corp.(a) | 2,244,017 | |
2,500 | Ulvac, Inc. | 159,900 | |
7,500 | Ushio, Inc. | 95,618 | |
25,700 | Valor Holdings Co. Ltd. | 419,263 | |
26,900 | Warabeya Nichiyo Holdings Co. Ltd. | 486,118 | |
34,200 | Yamada Holdings Co. Ltd. | 99,022 | |
9,500 | Yamaguchi Financial Group, Inc. | 96,164 | |
513,600 | Yamaha Motor Co. Ltd. | 4,715,367 | |
36,200 | Yamaichi Electronics Co. Ltd. | 576,205 |
Shares | Description | Value ($) | |
Japan — continued | |||
2,000 | Yamato Kogyo Co. Ltd. | 113,410 | |
189,300 | Yokogawa Electric Corp. | 4,343,975 | |
200,000 | Yokohama Rubber Co. Ltd. | 5,373,154 | |
830,729,710 | |||
Luxembourg — 0.2% | |||
69,673 | ArcelorMittal SA, ADR NYRS | 1,921,581 | |
264,087 | ArcelorMittal SA | 7,260,121 | |
9,181,702 | |||
Netherlands — 5.4% | |||
566,888 | ABN AMRO Bank NV CVA, GDR 144A | 9,703,988 | |
8,690 | Adyen NV*(a) | 14,715,992 | |
666,700 | Aegon Ltd. | 4,068,203 | |
77,072 | ASML Holding NV | 74,264,724 | |
7,647 | ASML Holding NV, ADR NYRS | 7,421,184 | |
83,493 | ASR Nederland NV | 4,092,927 | |
4,645 | BE Semiconductor Industries NV | 711,856 | |
97,073 | Euronext NV | 9,246,785 | |
535,671 | ING Groep NV | 8,820,187 | |
245,500 | Koninklijke Ahold Delhaize NV | 7,349,680 | |
26,901 | Koninklijke BAM Groep NV | 102,034 | |
46,172 | Koninklijke Philips NV | 927,802 | |
4,267 | Koninklijke Vopak NV | 164,657 | |
232,391 | NN Group NV | 10,747,060 | |
39,200 | Randstad NV(a) | 2,071,077 | |
14,382 | SBM Offshore NV | 229,727 | |
1,166,022 | Shell PLC | 38,665,651 | |
2,965 | Van Lanschot Kempen NV, ADR | 100,869 | |
79,287 | Wolters Kluwer NV | 12,433,469 | |
205,837,872 | |||
New Zealand — 0.0% | |||
8,789 | Xero Ltd.* | 764,449 | |
Norway — 0.7% | |||
341,637 | Aker BP ASA | 8,496,365 | |
29,015 | Aker Solutions ASA | 103,826 | |
100,400 | Austevoll Seafood ASA | 788,496 | |
228,831 | DNB Bank ASA | 4,537,134 | |
113,576 | Equinor ASA | 2,998,374 | |
29,191 | Equinor ASA, ADR | 789,033 | |
5,399 | Frontline PLC(b) | 126,229 | |
4,327 | Frontline PLC(b) | 98,277 | |
7,218 | Golden Ocean Group Ltd.(b) | 90,952 | |
5,041 | Golden Ocean Group Ltd.(b) | 65,331 | |
20,143 | Kongsberg Gruppen ASA | 1,391,624 | |
196,900 | Mowi ASA | 3,610,904 | |
314,600 | Orkla ASA | 2,219,594 | |
48,962 | Telenor ASA | 544,970 |
Shares | Description | Value ($) | |
Norway — continued | |||
388,451 | Var Energi ASA | 1,276,504 | |
27,137,613 | |||
Portugal — 0.2% | |||
290,426 | Banco Comercial Portugues SA Class R * | 98,050 | |
338,295 | Galp Energia SGPS SA | 5,595,466 | |
1,891,900 | Sonae SGPS SA | 1,798,062 | |
7,491,578 | |||
Russia — 0.0% | |||
3,792,080 | Gazprom PJSC*(c)(d)(e) | 95,033 | |
113,778 | LUKOIL PJSC(c)(d)(e) | 61,206 | |
8,430 | MMC Norilsk Nickel PJSC(c)(d)(e) | 18,212 | |
18,119 | Novatek PJSC(c)(d)(e) | 2,407 | |
169,349 | Rosneft Oil Co. PJSC(c)(d)(e) | 5,488 | |
1,092,670 | Sberbank of Russia PJSC(c)(d)(e) | 15,344 | |
296,674 | Tatneft PJSC(c)(d)(e) | 11,793 | |
209,483 | |||
Singapore — 0.4% | |||
126,600 | ComfortDelGro Corp. Ltd. | 131,328 | |
390,100 | Genting Singapore Ltd. | 255,808 | |
16,364 | Hafnia Ltd. | 112,602 | |
96,800 | Jardine Cycle & Carriage Ltd. | 1,733,592 | |
78,300 | Singapore Technologies Engineering Ltd. | 233,229 | |
136,805 | STMicroelectronics NV(b) | 5,898,155 | |
11,916 | STMicroelectronics NV(a)(b) | 513,935 | |
56,012 | STMicroelectronics NV, ADR NYRS | 2,421,959 | |
259,300 | United Overseas Bank Ltd. | 5,631,360 | |
16,931,968 | |||
South Africa — 0.2% | |||
10,400 | Anglo American Platinum Ltd.(a) | 422,063 | |
119,600 | Anglo American PLC | 2,948,871 | |
347,000 | MTN Group Ltd.(a) | 1,717,752 | |
1,003,000 | Old Mutual Ltd.(a) | 627,818 | |
130,677 | Tiger Brands Ltd.(a) | 1,384,250 | |
7,100,754 | |||
South Korea — 1.1% | |||
103,600 | Doosan Bobcat, Inc. | 4,155,543 | |
1,496 | Hyundai Mobis Co. Ltd. | 290,588 | |
132,203 | Kia Corp. | 10,998,504 | |
398,963 | Samsung Electronics Co. Ltd. | 23,945,189 | |
72,400 | SK Telecom Co. Ltd. | 2,866,421 | |
42,256,245 | |||
Spain — 2.3% | |||
161,173 | Amadeus IT Group SA | 10,346,532 | |
384,863 | Banco Bilbao Vizcaya Argentaria SA | 4,588,798 |
Shares | Description | Value ($) | |
Spain — continued | |||
48,347 | Banco Bilbao Vizcaya Argentaria SA, ADR | 572,428 | |
3,551,626 | Banco de Sabadell SA | 5,581,025 | |
4,105,191 | Banco Santander SA | 20,046,549 | |
102,501 | Banco Santander SA, ADR | 496,105 | |
3,575,678 | CaixaBank SA(a) | 17,350,762 | |
321,457 | Cellnex Telecom SA* | 11,376,877 | |
7,958 | Indra Sistemas SA(a) | 165,103 | |
1,599,120 | Mapfre SA | 4,044,750 | |
885,118 | Repsol SA | 14,759,518 | |
75,349 | Unicaja Banco SA 144A | 93,339 | |
89,421,786 | |||
Sweden — 1.6% | |||
17,313 | Alfa Laval AB(a) | 681,341 | |
88,521 | Atlas Copco AB Class B | 1,309,279 | |
13,641 | Betsson AB Class B | 135,101 | |
20,210 | Dometic Group AB 144A | 163,569 | |
13,367 | Electrolux AB Class B *(a) | 119,536 | |
309,848 | Epiroc AB Class A | 5,827,435 | |
37,558 | Essity AB Class B | 892,883 | |
2,441 | Evolution AB 144A | 303,761 | |
9,596 | Granges AB | 103,924 | |
537,896 | H & M Hennes & Mauritz AB Class B (a) | 8,782,325 | |
3,799 | Hemnet Group AB | 116,465 | |
7,736 | Industrivarden AB Class A | 266,317 | |
9,210 | Industrivarden AB Class C (a) | 317,061 | |
169,186 | Investor AB Class B | 4,250,773 | |
2,986 | Lindab International AB | 64,230 | |
63,914 | Sandvik AB | 1,420,829 | |
421,700 | Securitas AB Class B (a) | 4,352,037 | |
98,000 | Skandinaviska Enskilda Banken AB Class A | 1,328,498 | |
286,400 | SKF AB Class B (a) | 5,852,496 | |
13,835 | SSAB AB Class A | 102,217 | |
35,824 | SSAB AB Class B | 264,343 | |
313,110 | Svenska Cellulosa AB SCA Class B (a) | 4,811,175 | |
90,042 | Svenska Handelsbanken AB Class A | 911,569 | |
296,409 | Swedbank AB Class A (a) | 5,885,157 | |
32,993 | Tele2 AB Class B | 271,224 | |
253,239 | Telefonaktiebolaget LM Ericsson, ADR | 1,395,347 | |
178,846 | Telefonaktiebolaget LM Ericsson Class B (a) | 964,095 | |
131,269 | Telia Co. AB(a) | 336,748 | |
14,137 | Trelleborg AB Class B | 506,243 | |
390,400 | Volvo AB Class B (a) | 10,591,909 | |
21,396 | Volvo Car AB Class B * | 81,201 | |
62,409,088 | |||
Switzerland — 5.8% | |||
265,821 | ABB Ltd.(b) | 12,362,875 | |
17,866 | ABB Ltd.(b) | 826,415 |
Shares | Description | Value ($) | |
Switzerland — continued | |||
6,656 | Accelleron Industries AG | 249,628 | |
85,970 | Adecco Group AG | 3,403,675 | |
2,829 | Baloise Holding AG | 443,808 | |
8,200 | Bucher Industries AG | 3,612,479 | |
225 | Chocoladefabriken Lindt & Spruengli AG(a) | 2,695,404 | |
30,194 | Cie Financiere Richemont SA Class A | 4,609,387 | |
148,958 | DSM-Firmenich AG | 16,956,186 | |
7,435 | EFG International AG | 92,948 | |
1,230 | Flughafen Zurich AG | 279,403 | |
126,264 | Galderma Group AG* | 8,880,675 | |
741 | Givaudan SA | 3,303,937 | |
172,941 | Julius Baer Group Ltd. | 9,999,742 | |
385 | Kardex Holding AG | 108,144 | |
18,615 | Landis & Gyr Group AG | 1,431,208 | |
70,468 | Logitech International SA(b) | 6,318,414 | |
49,002 | Logitech International SA(b) | 4,379,309 | |
421,591 | Novartis AG | 40,895,310 | |
349,610 | On Holding AG Class A * | 12,369,202 | |
54,940 | Sandoz Group AG* | 1,659,728 | |
25,960 | Schindler Holding AG | 6,545,482 | |
75,796 | SGS SA*(a) | 7,363,328 | |
21,606 | Sika AG | 6,443,179 | |
19,500 | Sulzer AG | 2,374,986 | |
17,074 | Swatch Group AG | 775,315 | |
12,074 | Swatch Group AG Bearer Shares (a) | 2,807,034 | |
4,367 | Swiss Life Holding AG | 3,065,191 | |
3,924 | Temenos AG | 280,914 | |
1,412,019 | UBS Group AG(b) | 43,487,740 | |
69,243 | UBS Group AG(b) | 2,127,145 | |
1,187 | Valiant Holding AG | 139,430 | |
20,557 | Zurich Insurance Group AG | 11,099,000 | |
221,386,621 | |||
Taiwan — 1.6% | |||
997,000 | ASE Technology Holding Co. Ltd. | 4,828,691 | |
1,290,000 | Chipbond Technology Corp. | 3,140,000 | |
1,107,000 | Compeq Manufacturing Co. Ltd. | 2,704,935 | |
573,000 | Hon Hai Precision Industry Co. Ltd. | 2,784,117 | |
91,000 | MediaTek, Inc. | 3,298,389 | |
139,000 | Novatek Microelectronics Corp. | 2,558,189 | |
503,000 | Sino-American Silicon Products, Inc. | 3,379,162 | |
554,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 13,311,857 | |
158,184 | Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 21,520,933 | |
1,786,000 | United Microelectronics Corp. | 2,901,933 | |
60,428,206 | |||
Thailand — 0.0% | |||
10,006,800 | Quality Houses PCL Class F | 603,356 |
Shares | Description | Value ($) | |
Turkey — 0.2% | |||
338,400 | BIM Birlesik Magazalar AS | 3,676,669 | |
229,900 | Coca-Cola Icecek AS | 3,993,688 | |
468,860 | Turkiye Garanti Bankasi AS | 1,036,211 | |
8,706,568 | |||
United Kingdom — 8.3% | |||
266,500 | 3i Group PLC | 9,456,670 | |
1,542 | 4imprint Group PLC | 123,499 | |
146,800 | Associated British Foods PLC | 4,632,418 | |
671,637 | Aviva PLC | 4,213,380 | |
403,600 | B&M European Value Retail SA | 2,782,749 | |
15,031 | Babcock International Group PLC | 98,737 | |
450,300 | BAE Systems PLC | 7,676,515 | |
1,074 | BAE Systems PLC, ADR | 74,482 | |
516,077 | Balfour Beatty PLC | 2,491,693 | |
6,539,153 | Barclays PLC | 15,133,391 | |
558,142 | Barclays PLC, ADR | 5,274,442 | |
116,600 | Barratt Developments PLC | 700,535 | |
44,969 | Bellway PLC | 1,513,341 | |
9,364 | Bodycote PLC | 82,389 | |
1,476,930 | BP PLC | 9,248,432 | |
462,751 | BP PLC, ADR | 17,436,458 | |
235,600 | British American Tobacco PLC | 7,160,778 | |
2,218,190 | BT Group PLC | 3,072,534 | |
2,196,700 | Centrica PLC | 3,542,263 | |
860,000 | CK Hutchison Holdings Ltd. | 4,153,607 | |
217,250 | Compass Group PLC | 6,375,265 | |
412,517 | Crest Nicholson Holdings PLC | 1,006,788 | |
55,310 | Croda International PLC | 3,425,045 | |
22,066 | Darktrace PLC* | 121,757 | |
412,838 | Diageo PLC | 15,256,996 | |
8,500 | Drax Group PLC | 53,838 | |
388,946 | Hiscox Ltd. | 6,092,566 | |
96,534 | IG Group Holdings PLC | 890,210 | |
562,756 | IMI PLC | 12,902,862 | |
229,500 | Imperial Brands PLC | 5,131,511 | |
84,237 | Informa PLC | 884,500 | |
125,711 | Intertek Group PLC | 7,916,400 | |
1,537,000 | J Sainsbury PLC | 5,250,127 | |
1,999,920 | Kingfisher PLC | 6,300,839 | |
11,190,710 | Lloyds Banking Group PLC | 7,317,137 | |
161,038 | London Stock Exchange Group PLC | 19,305,625 | |
590,451 | Man Group PLC | 1,994,502 | |
845,100 | Marks & Spencer Group PLC | 2,830,135 | |
1,534,664 | Melrose Industries PLC | 13,047,210 | |
681,500 | Mitchells & Butlers PLC* | 1,943,923 | |
32,159 | Moneysupermarket.com Group PLC | 89,293 | |
6,457,180 | NatWest Group PLC | 21,656,920 | |
339,837 | Ocado Group PLC* | 1,953,740 |
Shares | Description | Value ($) | |
United Kingdom — continued | |||
510,633 | Paragon Banking Group PLC | 4,454,119 | |
568,456 | QinetiQ Group PLC | 2,622,508 | |
333,353 | Redrow PLC | 2,802,475 | |
664,426 | RELX PLC(b) | 28,738,868 | |
87,667 | RELX PLC(b) | 3,801,416 | |
1,316,762 | Rolls-Royce Holdings PLC* | 7,097,726 | |
69,007 | Serco Group PLC | 165,367 | |
53,746 | Smith & Nephew PLC | 673,243 | |
39,305 | Spirax-Sarco Engineering PLC | 4,990,030 | |
114,695 | Standard Chartered PLC | 972,781 | |
14,210 | Subsea 7 SA | 226,014 | |
164,500 | Taylor Wimpey PLC | 284,796 | |
1,827,900 | Tesco PLC | 6,848,774 | |
50,139 | TP ICAP Group PLC | 142,637 | |
29,584 | Virgin Money U.K. PLC | 79,939 | |
125,400 | Vistry Group PLC | 1,948,462 | |
5,764,678 | Vodafone Group PLC | 5,131,059 | |
581,587 | Vodafone Group PLC, ADR | 5,176,124 | |
316,771,840 | |||
United States — 9.7% | |||
88,188 | Agilent Technologies, Inc. | 12,832,236 | |
54,849 | Analog Devices, Inc. | 10,848,584 | |
110,423 | Bruker Corp. | 10,373,137 | |
79,617 | Cadence Design Systems, Inc.* | 24,783,180 | |
355,701 | CRH PLC | 30,682,768 | |
70,000 | CSL Ltd. | 13,148,730 | |
2,574 | CyberArk Software Ltd.* | 683,732 | |
347,843 | Experian PLC | 15,177,312 | |
969,504 | GSK PLC | 20,925,666 | |
6,080,605 | Haleon PLC | 25,586,489 | |
288,042 | Holcim AG | 26,114,699 | |
59,770 | ICON PLC* | 20,079,731 | |
274,290 | James Hardie Industries PLC, CDI* | 11,024,912 | |
81,612 | Janus Henderson Group PLC | 2,684,219 | |
623,000 | JBS SA | 2,675,930 | |
125,474 | Roche Holding AG | 31,998,865 | |
159,296 | Sanofi SA | 15,648,728 | |
202,597 | Schneider Electric SE | 45,872,414 | |
162,784 | Signify NV 144A | 5,024,556 | |
426,609 | Stellantis NV(b) | 12,128,919 | |
126,036 | Stellantis NV(b) | 3,586,052 | |
633,923 | Stellantis NV(b) | 17,940,021 | |
103,590 | Swiss Re AG | 13,335,473 | |
373,156,353 | |||
TOTAL COMMON STOCKS (COST $3,066,424,169) | 3,622,611,012 |
Shares | Description | Value ($) | |
INVESTMENT COMPANIES — 0.3% | |||
United States — 0.3% | |||
130,997 | iShares MSCI EAFE ETF | 10,461,420 | |
29,635 | iShares MSCI Eurozone ETF | 1,513,163 | |
8,470 | Vanguard FTSE Developed Markets ETF | 424,940 | |
TOTAL INVESTMENT COMPANIES (COST $11,020,362) | 12,399,523 |
Shares | Description | Value ($) | |
PREFERRED STOCKS — 1.1% | |||
Brazil — 0.2% | |||
1,162,400 | Petroleo Brasileiro SA, 8.54% | 8,675,823 | |
Germany — 0.9% | |||
5,781 | Bayerische Motoren Werke AG, 8.59% | 620,602 | |
15,947 | Henkel AG & Co. KGaA, 2.49% | 1,283,095 | |
12,436 | Porsche Automobil Holding SE, 5.22% | 659,725 | |
38,990 | Sartorius AG, 0.39% | 15,521,450 | |
428,965 | Schaeffler AG, 7.19% | 2,895,513 | |
105,214 | Volkswagen AG, 7.16% | 13,958,446 | |
34,938,831 | |||
TOTAL PREFERRED STOCKS (COST $47,096,083) | 43,614,654 |
Par Value ($) | Description | Value ($) | |
SHORT-TERM INVESTMENT — 4.8% | |||
Mutual Fund - Securities Lending Collateral — 4.8% | |||
183,426,775 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(f)(g) | 183,426,775 | |
TOTAL SHORT-TERM INVESTMENT (COST $183,426,775) | 183,426,775 | ||
TOTAL INVESTMENTS — 100.7% (Cost $3,307,967,389) | 3,862,051,964 | ||
Other Assets and Liabilities (net) — (0.7)% | (26,238,640) | ||
NET ASSETS — 100.0% | $3,835,813,324 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | All or a portion of this security is out on loan. |
(b) | Securities are traded on separate exchanges for the same entity. |
(c) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(d) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $209,483 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $29,569,045. |
(e) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at year end is $209,483 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $29,569,045. |
(f) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(g) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $37,090,160 which represents 1.0% of net assets. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
782 | MSCI EAFE Index | Jun 2024 | $92,162,610 | $291,533 |
Abbreviations | ||
ADR | — | American Depository Receipt |
CDI | — | CREST Depository Interest |
CVA | — | Certificaten Van Aandelen |
GDR | — | Global Depository Receipt |
NYRS | — | New York Registry Shares |
REIT | — | Real Estate Investment Trust |
SDR | — | Swedish Depository Receipt |
Industry Sector Summary (Unaudited) | % of Net Assets |
Financial | 19.4 |
Consumer, Non-cyclical | 17.9 |
Industrial | 15.8 |
Consumer, Cyclical | 13.5 |
Technology | 11.8 |
Energy | 6.8 |
Basic Materials | 5.9 |
Communications | 3.2 |
Utilities | 1.3 |
Investment Companies | 0.3 |
Diversified | 0.0* |
Short-Term Investment | 4.8 |
Other Assets and Liabilities (net) | (0.7) |
100.0% |
* | Amount rounds to zero. |
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 98.3% | |||
Asset Backed Securities — 10.3% | |||
218,427 | ABPCI Direct Lending Fund ABS I Ltd., Series 2020-1A, Class A, 3.20%, due 12/20/30 144A | 208,733 | |
654,000 | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, due 08/15/46 144A | 594,970 | |
359,000 | Aligned Data Centers Issuer LLC, Series 2023-2A, Class A2, 6.50%, due 11/16/48 144A | 366,445 | |
2,660,000 | American Express Credit Account Master Trust, Series 2022-3, Class A, 3.75%, due 08/15/27 | 2,609,848 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, due 01/19/27 | 376,514 | |
400,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, due 08/18/27 | 372,950 | |
700,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.80%, due 12/18/28 | 706,011 | |
800,000 | AmeriCredit Automobile Receivables Trust, Series 2023-2, Class C, 6.00%, due 07/18/29 | 813,404 | |
1,350,000 | AMSR Trust, Series 2021-SFR1, Class A, 1.95%, due 06/17/38 144A | 1,187,797 | |
1,529,000 | AMSR Trust, Series 2021-SFR2, Class A, 1.53%, due 08/17/38 144A | 1,397,707 | |
2,742,000 | AMSR Trust, Series 2022-SFR3, Class A, 4.00%, due 10/17/39 144A | 2,635,332 | |
4,000,000 | EUR | Anchorage Capital Europe CLO 6 DAC, Series 6A, Class AR, 5.62% (3 mo. EURIBOR + 1.75%), due 01/22/38(b) 144A | 4,353,900 |
313,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due 03/05/53 144A | 324,455 | |
159,599 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 07/17/46 144A | 142,797 | |
920,610 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A | 852,676 | |
700,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A, 5.36%, due 06/20/30 144A | 705,211 | |
3,863,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class A, 5.23%, due 12/20/30 144A | 3,870,353 | |
1,838,000 | BA Credit Card Trust, Series 2022-A2, Class A2, 5.00%, due 04/15/28 | 1,835,134 | |
2,500,000 | EUR | Barings Euro CLO DAC, Series 2015-1A, Class ARR, 4.93% (3 mo. EURIBOR + 0.98%), due 07/25/35(b) 144A | 2,660,653 |
1,250,000 | EUR | BNPP AM Euro CLO DAC, Series 2018-1A, Class AR, 4.54% (3 mo. EURIBOR + 0.60%), due 04/15/31(b) 144A | 1,334,327 |
232,329 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due 09/26/33 144A | 223,546 | |
3,021,000 | Capital One Multi-Asset Execution Trust, Series 2023-A1, Class A, 4.42%, due 05/15/28 | 2,985,199 | |
1,746,180 | EUR | Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1, 4.65% (3 mo. EURIBOR + 0.75%), due 11/15/31(b) 144A | 1,875,628 |
405,000 | CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26 | 391,811 | |
300,000 | CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, due 02/16/27 | 285,017 | |
310,000 | CarMax Auto Owner Trust, Series 2021-3, Class C, 1.25%, due 05/17/27 | 290,753 | |
300,000 | CarMax Auto Owner Trust, Series 2021-4, Class C, 1.38%, due 07/15/27 | 279,409 | |
400,000 | CarMax Auto Owner Trust, Series 2022-1, Class C, 2.20%, due 11/15/27 | 375,603 | |
200,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.47%, due 07/17/28 | 186,986 | |
496,000 | CARS-DB4 LP, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A | 478,584 | |
839,189 | CF Hippolyta Issuer LLC, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A | 785,095 | |
733,224 | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A | 663,711 | |
1,818,152 | CIFC Funding Ltd., Series 2014-2RA, Class A1, 6.63% (3 mo. USD Term SOFR + 1.31%), due 04/24/30(b) 144A | 1,818,887 | |
1,947,564 | CIFC Funding Ltd., Series 2015-1A, Class ARR, 6.69% (3 mo. USD Term SOFR + 1.37%), due 01/22/31(b) 144A | 1,948,637 | |
1,200,000 | Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30 | 1,161,112 | |
842,530 | CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A | 759,437 | |
673,196 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A | 598,144 | |
600,510 | CLI Funding VIII LLC, Series 2022-1A, Class A, 2.72%, due 01/18/47 144A | 536,117 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
128,521 | Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42 144A | 117,099 | |
2,250,000 | Crown City CLO I, Series 2020-1A, Class A1AR, 6.77% (3 mo. USD Term SOFR + 1.45%), due 07/20/34(b) 144A | 2,250,812 | |
2,165,000 | Crown Point CLO 11 Ltd., Series 2021-11A, Class A, 6.70% (3 mo. USD Term SOFR + 1.38%), due 01/17/34(b) 144A | 2,165,606 | |
2,264,065 | EUR | CVC Cordatus Loan Fund VII DAC, Series 7A, Class ARR, 4.57% (3 mo. EURIBOR + 0.63%), due 09/15/31(b) 144A | 2,423,056 |
486,000 | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class A2, 4.30%, due 04/20/48 144A | 458,015 | |
449,000 | DataBank Issuer LLC, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A | 411,855 | |
262,260 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.03%, due 11/20/47 144A | 250,396 | |
1,196,460 | DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, due 11/20/51 144A | 1,096,608 | |
152,000 | Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, due 04/15/49 144A | 136,318 | |
878,900 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47 144A | 842,709 | |
4,080,610 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, due 04/25/51 144A | 3,637,886 | |
593,640 | Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A | 539,667 | |
678,385 | Driven Brands Funding LLC, Series 2021-1A, Class A2, 2.79%, due 10/20/51 144A | 591,923 | |
203,951 | FirstKey Homes Trust, Series 2020-SFR1, Class A, 1.34%, due 08/17/37 144A | 192,214 | |
161,944 | FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A | 151,603 | |
262,791 | FirstKey Homes Trust, Series 2021-SFR1, Class A, 1.54%, due 08/17/38 144A | 240,337 | |
531,000 | FirstKey Homes Trust, Series 2021-SFR1, Class D, 2.19%, due 08/17/38 144A | 482,566 | |
430,000 | Five Guys Holdings, Inc., Series 2023-1A, Class A2, 7.55%, due 01/26/54 144A | 447,831 | |
305,000 | Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28 | 293,615 | |
300,000 | Ford Credit Auto Owner Trust, Series 2022-A, Class C, 2.14%, due 07/15/29 | 283,081 | |
2,282,000 | Ford Credit Auto Owner Trust, Series 2022-B, Class A4, 3.93%, due 08/15/27 | 2,234,810 | |
641,000 | Ford Credit Auto Owner Trust, Series 2023-2, Class A, 5.28%, due 02/15/36 144A | 649,486 | |
1,800,000 | Ford Credit Auto Owner Trust, Series 2023-B, Class B, 5.56%, due 03/15/29 | 1,819,521 | |
2,135,000 | Ford Credit Floorplan Master Owner Trust A, Series 2023-1, Class A1, 4.92%, due 05/15/28 144A | 2,126,573 | |
1,124,679 | Generate CLO 2 Ltd., Series 2A, Class AR, 6.73% (3 mo. USD Term SOFR + 1.41%), due 01/22/31(b) 144A | 1,125,172 | |
3,253,883 | Generate CLO 4 Ltd., Series 4A, Class A1R, 6.67% (3 mo. USD Term SOFR + 1.35%), due 04/20/32(b) 144A | 3,256,158 | |
300,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%, due 05/17/27 | 289,347 | |
500,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-3, Class B, 5.72%, due 01/16/29 | 505,614 | |
700,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class B, 6.16%, due 04/16/29 | 718,962 | |
500,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class C, 6.41%, due 05/16/29 | 515,636 | |
998,000 | GM Financial Revolving Receivables Trust, Series 2024-1, Class A, 4.98%, due 12/11/36 144A | 1,003,835 | |
2,973,000 | GMF Floorplan Owner Revolving Trust, Series 2023-2, Class A, 5.34%, due 06/15/30 144A | 3,019,029 | |
331,417 | Golub Capital Partners ABS Funding Ltd., Series 2020-1A, Class A2, 3.21%, due 01/22/29 144A | 315,959 | |
488,001 | Golub Capital Partners ABS Funding Ltd., Series 2021-1A, Class A2, 2.77%, due 04/20/29 144A | 462,418 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
2,499,082 | EUR | Grosvenor Place CLO DAC, Series 2022-1A, Class A, 5.95% (3 mo. EURIBOR + 2.00%), due 11/24/35(b) 144A | 2,702,064 |
596,000 | HI-FI Music IP Issuer LP, Series 2022-1A, Class A2, 3.94%, due 02/01/62 144A | 560,579 | |
55,460 | Home Equity Asset Trust, Series 2003-8, Class M1, 6.52% (1 mo. USD Term SOFR + 1.19%), due 04/25/34(b) | 54,626 | |
2,000,000 | EUR | Invesco Euro CLO I DAC, Series 1A, Class A1R, 4.59% (3 mo. EURIBOR + 0.65%), due 07/15/31(b) 144A | 2,133,790 |
194,000 | Jack in the Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A | 184,539 | |
274,560 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, due 02/26/52 144A | 254,950 | |
2,600,000 | Kubota Credit Owner Trust, Series 2024-1A, Class A3, 5.19%, due 07/17/28 144A | 2,601,851 | |
2,528,000 | EUR | Madison Park Euro Funding XIV DAC, Series 14A, Class A1R, 4.74% (3 mo. EURIBOR + 0.80%), due 07/15/32(b) 144A | 2,706,759 |
4,865,000 | Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, 6.60% (3 mo. USD Term SOFR + 1.29%), due 10/15/32(b) 144A | 4,867,676 | |
2,000,000 | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, 6.70% (3 mo. USD Term SOFR + 1.38%), due 07/17/34(b) 144A | 2,001,706 | |
375,000 | MetroNet Infrastructure Issuer LLC, Series 2023-1A, Class A2, 6.56%, due 04/20/53 144A | 380,905 | |
856,376 | MidOcean Credit CLO III, Series 2014-3A, Class A1R, 6.70% (3 mo. USD Term SOFR + 1.38%), due 04/21/31(b) 144A | 856,956 | |
39,452 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 6.46% (1 mo. USD Term SOFR + 1.13%), due 10/25/33(b) | 39,052 | |
6,354 | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC7, Class M1, 6.49% (1 mo. USD Term SOFR + 1.16%), due 06/25/33(b) | 6,344 | |
241,715 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.60%, due 08/15/68 144A | 226,365 | |
253,654 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.31%, due 01/15/69 144A | 234,269 | |
78,613 | Navient Student Loan Trust, Series 2020-2A, Class A1A, 1.32%, due 08/26/69 144A | 69,078 | |
980,280 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A | 871,878 | |
510,580 | Neighborly Issuer LLC, Series 2022-1A, Class A2, 3.70%, due 01/30/52 144A | 448,970 | |
129,474 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 3.93% (1 mo. USD Term SOFR + 0.83%), due 10/25/33(b) 144A | 125,635 | |
976,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, due 10/20/61 144A | 856,157 | |
296,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, due 10/20/61 144A | 249,302 | |
2,643,000 | NextGear Floorplan Master Owner Trust, Series 2022-1A, Class A2, 2.80%, due 03/15/27 144A | 2,574,572 | |
3,163,000 | NextGear Floorplan Master Owner Trust, Series 2024-1A, Class A2, 5.12%, due 03/15/29 144A | 3,163,829 | |
66,336 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A, 3.10%, due 07/25/26 144A | 61,928 | |
2,435,000 | OCP CLO Ltd., Series 2015-9A, Class A1R2, 6.57% (3 mo. USD Term SOFR + 1.25%), due 01/15/33(b) 144A | 2,436,113 | |
994,832 | OZLM Funding IV Ltd., Series 2013-4A, Class A1R, 6.83% (3 mo. USD Term SOFR + 1.51%), due 10/22/30(b) 144A | 995,183 | |
323,219 | OZLM XI Ltd., Series 2015-11A, Class A1R, 6.83% (3 mo. USD Term SOFR + 1.51%), due 10/30/30(b) 144A | 323,317 | |
1,990,624 | Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, 6.58% (3 mo. USD Term SOFR + 1.26%), due 10/20/31(b) 144A | 1,992,003 | |
2,492,000 | PFS Financing Corp., Series 2022-A, Class A, 2.47%, due 02/15/27 144A | 2,426,312 | |
1,994,000 | PFS Financing Corp., Series 2024-B, Class A, 4.95%, due 02/15/29 144A | 1,988,338 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
1,014,458 | Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A | 974,993 | |
1,247,751 | Progress Residential Trust, Series 2021-SFR2, Class A, 1.55%, due 04/19/38 144A | 1,154,749 | |
316,000 | Progress Residential Trust, Series 2021-SFR8, Class B, 1.68%, due 10/17/38 144A | 286,245 | |
1,561,091 | Progress Residential Trust, Series 2022-SFR2, Class A, 2.95%, due 04/17/27 144A | 1,459,866 | |
2,014 | Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 5.43%, due 08/25/35(c) | 2,001 | |
602,000 | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2A, 5.00%, due 09/15/48 144A | 582,059 | |
638,781 | Romark CLO II Ltd., Series 2018-2A, Class A1, 6.76% (3 mo. USD Term SOFR + 1.44%), due 07/25/31(b) 144A | 639,260 | |
755,594 | Santander Drive Auto Receivables Trust, Series 2021-2, Class D, 1.35%, due 07/15/27 | 733,603 | |
600,000 | Santander Drive Auto Receivables Trust, Series 2022-1, Class C, 2.56%, due 04/17/28 | 588,802 | |
1,550,000 | Santander Drive Auto Receivables Trust, Series 2022-5, Class C, 4.74%, due 10/16/28 | 1,532,089 | |
200,000 | Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.09%, due 05/15/30 | 197,876 | |
600,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.77%, due 11/15/30 | 605,093 | |
900,000 | Santander Drive Auto Receivables Trust, Series 2023-4, Class C, 6.04%, due 12/15/31 | 916,136 | |
1,400,000 | Santander Drive Auto Receivables Trust, Series 2023-5, Class C, 6.43%, due 02/18/31 | 1,447,370 | |
400,000 | Santander Drive Auto Receivables Trust, Series 2023-6, Class B, 5.98%, due 04/16/29 | 406,906 | |
100,000 | Santander Drive Auto Receivables Trust, Series 2023-6, Class C, 6.40%, due 03/17/31 | 103,023 | |
500,000 | Santander Drive Auto Receivables Trust, Series 2024-1, Class C, 5.45%, due 03/15/30 | 498,973 | |
3,200,000 | SBA Small Business Investment Cos., Series 2024-10A, Class 1, 5.04%, due 03/10/34 | 3,214,054 | |
223,000 | SERVPRO Master Issuer LLC, Series 2024-1A, Class A2, 6.17%, due 01/25/54 144A | 226,121 | |
630,300 | Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A | 615,083 | |
49,965 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07%, due 01/15/53 144A | 44,118 | |
488,000 | SMB Private Education Loan Trust, Series 2024-A, Class A1A, 5.24%, due 03/15/56 144A | 488,109 | |
611,282 | Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A | 579,564 | |
617,175 | Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, due 08/20/51 144A | 535,500 | |
2,178,000 | Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A | 2,010,068 | |
191,414 | Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A | 173,496 | |
1,075,838 | Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 08/25/51 144A | 974,652 | |
1,859,872 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.29%, due 08/25/51 144A | 1,619,308 | |
3,000,000 | TCW CLO Ltd., Series 2019-2A, Class A1R, 6.60% (3 mo. USD Term SOFR + 1.28%), due 10/20/32(b) 144A | 3,002,097 | |
320,465 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A | 278,787 | |
4,000,000 | Tikehau U.S. CLO IV Ltd., Series 2023-1A, Class A1, 7.51% (3 mo. USD Term SOFR + 2.20%), due 07/15/34(b) 144A | 4,081,112 | |
2,860,000 | Toyota Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.63%, due 09/15/27 | 2,836,227 | |
1,518,352 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A | 1,439,862 | |
2,659,282 | Tricon Residential Trust, Series 2022-SFR2, Class A, 4.85%, due 07/17/40 144A | 2,627,576 | |
2,763,000 | Tricon Residential Trust, Series 2023-SFR2, Class A, 5.00%, due 12/17/40 144A | 2,726,520 | |
1,500,000 | Trimaran Cavu Ltd., Series 2021-1A, Class A, 6.79% (3 mo. USD Term SOFR + 1.47%), due 04/23/32(b) 144A | 1,500,723 | |
760,105 | Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45 144A | 681,316 | |
551,300 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46 144A | 484,692 | |
1,026,004 | U.S. Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 961,016 | |
743,667 | U.S. Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 701,217 | |
880,721 | U.S. Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 822,765 | |
392,515 | U.S. Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 367,631 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
299,531 | U.S. Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 275,966 | |
1,898,884 | U.S. Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44 | 1,650,936 | |
784,014 | U.S. Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45 | 642,536 | |
2,378,531 | U.S. Small Business Administration, Series 2022-25D, Class 1, 3.50%, due 04/01/47 | 2,159,863 | |
1,615,048 | U.S. Small Business Administration, Series 2022-25E, Class 1, 3.94%, due 05/01/47 | 1,509,227 | |
2,542,703 | U.S. Small Business Administration, Series 2022-25G, Class 1, 3.93%, due 07/01/47 | 2,375,340 | |
2,214,271 | U.S. Small Business Administration, Series 2022-25J, Class 1, 5.04%, due 10/01/47 | 2,214,264 | |
1,771,312 | U.S. Small Business Administration, Series 2023-25D, Class 1, 4.48%, due 04/01/48 | 1,712,681 | |
2,899,817 | U.S. Small Business Administration, Series 2023-25E, Class 1, 4.62%, due 05/01/48 | 2,830,246 | |
2,880,737 | U.S. Small Business Administration, Series 2023-25F, Class 1, 4.93%, due 06/01/48 | 2,862,391 | |
1,794,000 | U.S. Small Business Administration, Series 2023-25J, Class 1, 5.82%, due 10/01/48 | 1,862,808 | |
1,348,000 | U.S. Small Business Administration, Series 2023-25L, Class 1, 5.28%, due 12/01/48 | 1,365,681 | |
1,418,000 | Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45 144A | 1,329,092 | |
860,000 | Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A | 758,372 | |
500,000 | Venture XIX CLO Ltd., Series 2014-19A, Class ARR, 6.84% (3 mo. USD Term SOFR + 1.52%), due 01/15/32(b) 144A | 500,342 | |
2,372,000 | Verizon Master Trust, Series 2021-2, Class A, 0.99%, due 04/20/28 | 2,313,642 | |
481,857 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A | 432,590 | |
500,000 | Wellfleet CLO Ltd., Series 2018-3A, Class A1A, 6.83% (3 mo. USD Term SOFR + 1.51%), due 01/20/32(b) 144A | 500,313 | |
519,634 | Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 499,083 | |
2,143,960 | Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.37%, due 06/15/51 144A | 1,870,420 | |
146,433 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A | 134,230 | |
200,000 | World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, due 11/15/27 | 187,834 | |
560,625 | Zaxby's Funding LLC, Series 2021-1A, Class A2, 3.24%, due 07/30/51 144A | 497,270 | |
192,049,441 | |||
Corporate Debt — 32.5% | |||
225,000 | 1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A | 211,621 | |
128,000 | AAR Escrow Issuer LLC, 6.75%, due 03/15/29 144A | 129,145 | |
1,669,000 | AbbVie, Inc., 3.20%, due 11/21/29 | 1,538,368 | |
300,000 | AbbVie, Inc., 3.80%, due 03/15/25 | 295,804 | |
65,000 | AbbVie, Inc., 4.05%, due 11/21/39 | 57,913 | |
1,035,000 | AbbVie, Inc., 4.55%, due 03/15/35 | 1,000,842 | |
130,000 | AbbVie, Inc., 4.70%, due 05/14/45 | 121,660 | |
445,000 | AbbVie, Inc., 4.75%, due 03/15/45 | 419,419 | |
200,000 | Abu Dhabi National Energy Co. PJSC, 2.00%, due 04/29/28 144A | 178,460 | |
317,000 | AdaptHealth LLC, 5.13%, due 03/01/30(d) 144A | 276,743 | |
1,340,000 | Advocate Health & Hospitals Corp., 2.21%, due 06/15/30 | 1,146,448 | |
125,000 | AECOM, 5.13%, due 03/15/27 | 122,898 | |
400,000 | AEP Texas, Inc., 3.80%, due 10/01/47 | 300,794 | |
315,000 | AEP Transmission Co. LLC, 3.80%, due 06/15/49 | 246,388 | |
1,866,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, due 10/29/26 | 1,733,533 | |
1,100,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, due 10/29/28 | 995,883 | |
2,100,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26 | 2,066,132 | |
549,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.10%, due 01/19/29 | 546,040 | |
384,981 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 334,329 | |
370,000 | Aetna, Inc., 4.75%, due 03/15/44 | 327,862 | |
555,891 | Air Canada Pass-Through Trust, 3.60%, due 09/15/28 144A | 527,532 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
164,806 | Air Canada Pass-Through Trust, 3.70%, due 07/15/27 144A | 156,845 | |
197,192 | Air Canada Pass-Through Trust, 4.13%, due 11/15/26 144A | 192,874 | |
531,000 | Air Canada Pass-Through Trust, 10.50%, due 07/15/26 144A | 581,445 | |
331,000 | Air Lease Corp., 2.10%, due 09/01/28 | 289,990 | |
360,000 | Air Lease Corp., 3.63%, due 12/01/27 | 339,853 | |
1,177,000 | Aker BP ASA, 2.00%, due 07/15/26 144A | 1,088,148 | |
247,000 | Aker BP ASA, 3.10%, due 07/15/31 144A | 211,217 | |
2,225,000 | Aker BP ASA, 3.75%, due 01/15/30 144A | 2,034,559 | |
987,000 | Aker BP ASA, 4.00%, due 01/15/31 144A | 902,197 | |
172,479 | Alaska Airlines Pass-Through Trust, 8.00%, due 02/15/27 144A | 174,938 | |
300,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.50%, due 03/15/29 144A | 269,550 | |
362,000 | Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, due 10/15/26 144A | 359,051 | |
129,000 | Alcoa Nederland Holding BV, 7.13%, due 03/15/31 144A | 131,568 | |
2,895,000 | Alexandria Real Estate Equities, Inc., 2.00%, due 05/18/32 | 2,270,347 | |
228,376 | Alfa Desarrollo SpA, 4.55%, due 09/27/51 144A | 174,691 | |
565,000 | Algonquin Power & Utilities Corp., 5.37%, due 06/15/26(c) | 562,109 | |
200,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, due 06/01/29(d) 144A | 172,312 | |
605,000 | Ally Financial, Inc., 6.99% (SOFR + 3.26%), due 06/13/29(b) | 627,655 | |
320,000 | Ally Financial, Inc., 7.10%, due 11/15/27(d) | 334,564 | |
215,000 | Altria Group, Inc., 3.40%, due 05/06/30 | 195,406 | |
3,340,000 | Amazon.com, Inc., 4.10%, due 04/13/62 | 2,818,221 | |
107,000 | Amer Sports Co., 6.75%, due 02/16/31 144A | 106,802 | |
1,780,000 | Ameren Illinois Co., 4.95%, due 06/01/33 | 1,763,027 | |
234,497 | American Airlines Pass-Through Trust, 3.70%, due 04/01/28 | 225,202 | |
455,185 | American Airlines Pass-Through Trust, 2.88%, due 01/11/36 | 387,834 | |
462,752 | American Airlines Pass-Through Trust, 3.15%, due 08/15/33 | 414,611 | |
74,686 | American Airlines Pass-Through Trust, 3.25%, due 04/15/30 | 67,558 | |
1,173,535 | American Airlines Pass-Through Trust, 3.38%, due 11/01/28 | 1,110,015 | |
619,352 | American Airlines Pass-Through Trust, 3.50%, due 08/15/33 | 539,979 | |
261,119 | American Airlines Pass-Through Trust, 3.58%, due 07/15/29 | 244,906 | |
308,321 | American Airlines Pass-Through Trust, 3.60%, due 04/15/31 | 279,757 | |
425,325 | American Airlines Pass-Through Trust, 3.65%, due 08/15/30 | 402,136 | |
174,466 | American Airlines Pass-Through Trust, 3.85%, due 08/15/29 | 161,536 | |
531,110 | American Airlines Pass-Through Trust, 3.95%, due 01/11/32 | 489,606 | |
253,738 | American Airlines Pass-Through Trust, 4.00%, due 08/15/30 | 233,872 | |
581,360 | American Airlines Pass-Through Trust, 4.10%, due 07/15/29 | 544,623 | |
366,000 | American Airlines, Inc., 7.25%, due 02/15/28(d) 144A | 371,975 | |
250,000 | American Electric Power Co., Inc., 5.63%, due 03/01/33(d) | 253,930 | |
302,000 | American Homes 4 Rent LP, 4.25%, due 02/15/28 | 290,146 | |
423,000 | American Tower Corp., 3.55%, due 07/15/27 | 402,605 | |
884,000 | American Tower Corp., 3.80%, due 08/15/29 | 825,298 | |
1,405,000 | American Tower Corp., 5.20%, due 02/15/29 | 1,405,010 | |
2,967,000 | American Tower Trust #1, 5.49%, due 03/15/28 144A | 2,994,361 | |
415,000 | AmeriGas Partners LP/AmeriGas Finance Corp., 5.88%, due 08/20/26 | 414,589 | |
340,000 | Amgen, Inc., 2.80%, due 08/15/41 | 246,560 | |
1,270,000 | Amgen, Inc., 5.25%, due 03/02/30 | 1,289,784 | |
739,000 | Amgen, Inc., 5.25%, due 03/02/33 | 745,551 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
184,000 | AmWINS Group, Inc., 6.38%, due 02/15/29 144A | 185,108 | |
420,000 | Anglo American Capital PLC, 4.75%, due 04/10/27 144A | 411,726 | |
740,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | 703,689 | |
80,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48 | 73,189 | |
407,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, due 06/15/29 144A | 391,780 | |
309,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 6.63%, due 02/01/32 144A | 310,606 | |
550,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.88%, due 05/15/26 144A | 561,911 | |
114,000 | Antero Resources Corp., 5.38%, due 03/01/30 144A | 109,584 | |
1,000,000 | Apple, Inc., 3.85%, due 08/04/46 | 846,700 | |
770,000 | Apple, Inc., 4.10%, due 08/08/62(d) | 654,242 | |
980,000 | AptarGroup, Inc., 3.60%, due 03/15/32 | 864,215 | |
2,015,000 | Aptiv PLC/Aptiv Corp., 3.25%, due 03/01/32(d) | 1,753,545 | |
388,000 | APX Group, Inc., 5.75%, due 07/15/29 144A | 373,475 | |
225,000 | Aquarion Co., 4.00%, due 08/15/24 144A | 222,984 | |
606,000 | ARES Capital Corp., 2.15%, due 07/15/26 | 558,245 | |
452,000 | ARES Capital Corp., 2.88%, due 06/15/28 | 403,064 | |
305,000 | ARES Capital Corp., 3.25%, due 07/15/25 | 294,721 | |
347,000 | ARES Capital Corp., 5.88%, due 03/01/29 | 346,140 | |
206,000 | Arsenal AIC Parent LLC, 8.00%, due 10/01/30 144A | 216,534 | |
87,000 | Artera Services LLC, 8.50%, due 02/15/31 144A | 89,260 | |
125,000 | Asbury Automotive Group, Inc., 4.63%, due 11/15/29 144A | 115,481 | |
390,000 | Asbury Automotive Group, Inc., 4.75%, due 03/01/30 | 359,534 | |
710,000 | Ascension Health, 2.53%, due 11/15/29 | 633,462 | |
150,000 | Ascension Health, 3.11%, due 11/15/39 | 119,577 | |
557,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 06/30/29 144A | 531,573 | |
87,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 8.25%, due 12/31/28 144A | 89,441 | |
322,000 | Ashtead Capital, Inc., 2.45%, due 08/12/31(d) 144A | 261,690 | |
225,000 | Ashtead Capital, Inc., 4.25%, due 11/01/29 144A | 209,966 | |
338,000 | Ashtead Capital, Inc., 4.38%, due 08/15/27 144A | 324,450 | |
265,000 | Ashtead Capital, Inc., 5.55%, due 05/30/33 144A | 260,789 | |
269,000 | Ashtead Capital, Inc., 5.80%, due 04/15/34 144A | 268,850 | |
458,000 | Ashtead Capital, Inc., 5.95%, due 10/15/33 144A | 463,386 | |
3,369,000 | AT&T, Inc., 2.30%, due 06/01/27 | 3,106,368 | |
247,000 | AT&T, Inc., 2.55%, due 12/01/33 | 197,923 | |
814,000 | AT&T, Inc., 3.50%, due 06/01/41 | 635,790 | |
595,000 | AT&T, Inc., 3.65%, due 09/15/59 | 414,590 | |
305,000 | AT&T, Inc., 4.50%, due 05/15/35 | 285,019 | |
3,440,000 | AT&T, Inc., 5.40%, due 02/15/34 | 3,486,423 | |
700,000 | AT&T, Inc., 6.76% (3 mo. USD Term SOFR + 1.44%), due 06/12/24(b) | 701,212 | |
290,000 | Athene Holding Ltd., 3.50%, due 01/15/31 | 255,211 | |
259,307 | Atlantica Transmision Sur SA, 6.88%, due 04/30/43 144A | 264,493 | |
293,000 | Autodesk, Inc., 2.85%, due 01/15/30 | 262,032 | |
486,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 467,036 | |
1,939,000 | Aviation Capital Group LLC, 6.38%, due 07/15/30(d) 144A | 1,998,035 | |
1,300,000 | Bacardi Ltd., 4.70%, due 05/15/28 144A | 1,269,125 | |
696,000 | BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A | 679,523 | |
1,037,000 | BAE Systems PLC, 3.40%, due 04/15/30 144A | 946,270 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
2,532,000 | BAE Systems PLC, 5.13%, due 03/26/29 144A | 2,542,014 | |
175,000 | Ball Corp., 3.13%, due 09/15/31(d) | 148,908 | |
450,000 | Ball Corp., 6.00%, due 06/15/29(d) | 454,837 | |
200,000 | Banco Santander SA, 1.85%, due 03/25/26 | 186,931 | |
583,000 | Banco Santander SA, 4.38%, due 04/12/28 | 564,530 | |
265,000 | Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(b) | 246,939 | |
2,673,000 | Bank of America Corp., 2.09% (SOFR + 1.06%), due 06/14/29(b) | 2,362,852 | |
1,310,000 | Bank of America Corp., 2.30% (SOFR + 1.22%), due 07/21/32(b) | 1,072,334 | |
2,330,000 | Bank of America Corp., 2.50% (3 mo. USD Term SOFR + 1.25%), due 02/13/31(b) | 2,008,002 | |
914,000 | Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(b) | 788,328 | |
3,976,000 | Bank of America Corp., 2.69% (SOFR + 1.32%), due 04/22/32(b) | 3,366,726 | |
230,000 | Bank of America Corp., 2.88% (3 mo. USD Term SOFR + 1.45%), due 10/22/30(b) | 204,445 | |
1,145,000 | Bank of America Corp., 3.59% (3 mo. USD Term SOFR + 1.63%), due 07/21/28(b) | 1,088,663 | |
731,000 | Bank of America Corp., 3.85% (5 yr. CMT + 2.00%), due 03/08/37(b) | 646,756 | |
649,000 | Bank of America Corp., 3.97% (3 mo. USD Term SOFR + 1.33%), due 03/05/29(b) | 620,564 | |
310,000 | Bank of America Corp., 4.27% (3 mo. USD Term SOFR + 1.57%), due 07/23/29(b) | 298,925 | |
1,078,000 | Bank of America Corp., 4.57% (SOFR + 1.83%), due 04/27/33(b) | 1,024,381 | |
2,545,000 | Bank of America Corp., 4.95% (SOFR + 2.04%), due 07/22/28(b) | 2,526,536 | |
495,000 | Bank of America Corp., 5.13% (3 mo. USD Term SOFR + 3.55%)(b)(e) | 496,692 | |
863,000 | Bank of America Corp., 6.30% (3 mo. USD Term SOFR + 4.81%)(b)(d)(e) | 868,091 | |
767,000 | Bank of Montreal, 7.70% (5 yr. CMT + 3.45%), due 05/26/84(b) | 777,931 | |
1,784,000 | Bank of New York Mellon Corp., 4.98% (SOFR + 1.09%), due 03/14/30(b) | 1,786,264 | |
1,265,000 | Barclays PLC, 3.93% (3 mo. USD LIBOR + 1.61%), due 05/07/25(b) | 1,262,458 | |
576,000 | Barclays PLC, 4.38% (5 yr. CMT + 3.41%)(b)(e) | 473,638 | |
400,000 | Barclays PLC, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(b) | 392,132 | |
3,270,000 | Barclays PLC, 6.49% (SOFR + 2.22%), due 09/13/29(b) | 3,400,703 | |
274,000 | Barclays PLC, 8.00% (5 yr. CMT + 5.43%)(b)(e) | 274,120 | |
156,000 | BAT Capital Corp., 3.56%, due 08/15/27 | 147,772 | |
1,385,000 | BAT Capital Corp., 6.34%, due 08/02/30 | 1,443,788 | |
212,000 | Beacon Roofing Supply, Inc., 4.13%, due 05/15/29 144A | 192,502 | |
605,000 | Berkshire Hathaway Energy Co., 1.65%, due 05/15/31 | 484,954 | |
85,000 | Berkshire Hathaway Energy Co., 5.95%, due 05/15/37 | 88,664 | |
1,712,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,821,564 | |
1,960,000 | BHP Billiton Finance USA Ltd., 5.25%, due 09/08/30 | 1,994,205 | |
2,090,000 | BlackRock Funding, Inc., 5.00%, due 03/14/34 | 2,099,556 | |
1,858,000 | Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A | 1,617,728 | |
1,015,000 | Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A | 627,240 | |
542,000 | Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A | 508,431 | |
118,000 | Blackstone Private Credit Fund, 3.25%, due 03/15/27 | 108,945 | |
606,000 | Blackstone Private Credit Fund, 4.00%, due 01/15/29(d) | 556,404 | |
480,000 | Blackstone Private Credit Fund, 7.30%, due 11/27/28(d) 144A | 500,872 | |
190,000 | Block, Inc., 3.50%, due 06/01/31(d) | 165,535 | |
438,000 | BlueLinx Holdings, Inc., 6.00%, due 11/15/29 144A | 427,524 | |
945,000 | BNP Paribas SA, 1.68% (SOFR + 0.91%), due 06/30/27(b) 144A | 870,814 | |
260,000 | BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(b) 144A | 227,275 | |
200,000 | BNP Paribas SA, 2.22% (SOFR + 2.07%), due 06/09/26(b) 144A | 192,374 | |
1,035,000 | BNP Paribas SA, 3.13% (SOFR + 1.56%), due 01/20/33(b) 144A | 881,314 | |
472,000 | BNP Paribas SA, 5.50% (SOFR + 1.59%), due 05/20/30(b) 144A | 473,216 | |
233,000 | BNP Paribas SA, 9.25% (5 yr. CMT + 4.97%)(b)(e) 144A | 250,596 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
210,000 | BOC Aviation USA Corp., 1.63%, due 04/29/24 144A | 209,336 | |
2,545,000 | Boeing Co., 2.20%, due 02/04/26 | 2,383,714 | |
2,670,000 | Boeing Co., 3.60%, due 05/01/34(d) | 2,213,935 | |
270,000 | Boeing Co., 3.90%, due 05/01/49 | 192,646 | |
325,000 | Boeing Co., 3.95%, due 08/01/59 | 222,747 | |
548,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 541,542 | |
416,000 | BPCE SA, 5.72% (1 yr. CMT + 1.96%), due 01/18/30(b)(d) 144A | 418,175 | |
282,000 | Braskem Idesa SAPI, 6.99%, due 02/20/32(d) 144A | 219,089 | |
836,000 | Braskem Netherlands Finance BV, 4.50%, due 01/31/30 144A | 719,377 | |
125,071 | British Airways Pass-Through Trust, 4.13%, due 03/20/33 144A | 115,553 | |
220,936 | British Airways Pass-Through Trust, 4.25%, due 05/15/34 144A | 206,601 | |
80,018 | British Airways Pass-Through Trust, 8.38%, due 11/15/28 144A | 83,250 | |
1,055,000 | Brixmor Operating Partnership LP, 2.50%, due 08/16/31(d) | 866,920 | |
584,000 | Broadcom, Inc., 3.14%, due 11/15/35 144A | 472,034 | |
1,950,000 | Broadcom, Inc., 3.19%, due 11/15/36 144A | 1,552,679 | |
1,664,000 | Broadcom, Inc., 3.42%, due 04/15/33 144A | 1,443,065 | |
2,566,000 | Broadcom, Inc., 4.11%, due 09/15/28(d) | 2,480,321 | |
1,995,000 | Broadcom, Inc., 4.75%, due 04/15/29 | 1,971,147 | |
1,521,000 | Brookfield Finance, Inc., 2.72%, due 04/15/31 | 1,296,171 | |
212,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, due 06/15/29 144A | 192,905 | |
224,000 | Brunswick Corp., 5.85%, due 03/18/29(d) | 226,556 | |
427,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 383,241 | |
255,000 | Builders FirstSource, Inc., 6.38%, due 06/15/32 144A | 258,996 | |
456,000 | Builders FirstSource, Inc., 6.38%, due 03/01/34 144A | 458,452 | |
1,640,000 | Bunge Ltd. Finance Corp., 2.75%, due 05/14/31(d) | 1,413,005 | |
398,000 | C&W Senior Finance Ltd., 6.88%, due 09/15/27 144A | 376,256 | |
212,000 | Caesars Entertainment, Inc., 6.50%, due 02/15/32 144A | 213,999 | |
200,000 | Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A | 205,422 | |
395,000 | CaixaBank SA, 5.67% (SOFR + 1.78%), due 03/15/30(b) 144A | 395,002 | |
750,000 | Calpine Corp., 3.75%, due 03/01/31 144A | 657,516 | |
509,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15(f) | 540,676 | |
221,000 | Capital One Financial Corp., 4.93% (SOFR + 2.06%), due 05/10/28(b) | 218,224 | |
1,030,000 | Carrier Global Corp., 5.90%, due 03/15/34 | 1,083,000 | |
208,000 | CCM Merger, Inc., 6.38%, due 05/01/26(d) 144A | 207,985 | |
210,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A | 192,393 | |
184,000 | CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29 | 166,774 | |
450,000 | CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24 | 448,341 | |
204,000 | Celulosa Arauco y Constitucion SA, 3.88%, due 11/02/27 | 190,905 | |
450,000 | Cemex SAB de CV, 3.88%, due 07/11/31(d) 144A | 398,999 | |
424,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 410,104 | |
514,000 | Cencora, Inc., 2.80%, due 05/15/30 | 454,635 | |
145,000 | Cenovus Energy, Inc., 3.75%, due 02/15/52(d) | 106,707 | |
215,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 203,323 | |
163,000 | Centene Corp., 2.45%, due 07/15/28 | 144,710 | |
465,000 | Centene Corp., 3.00%, due 10/15/30 | 399,103 | |
279,000 | Centene Corp., 3.38%, due 02/15/30 | 247,075 | |
335,000 | CenterPoint Energy, Inc., 3.70%, due 09/01/49 | 248,795 | |
332,000 | Century Communities, Inc., 3.88%, due 08/15/29 144A | 299,244 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
594,000 | Charles Schwab Corp., 5.64% (SOFR + 2.21%), due 05/19/29(b) | 603,263 | |
603,000 | Charles Schwab Corp., 6.20% (SOFR + 1.88%), due 11/17/29(b) | 627,036 | |
165,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.30%, due 02/01/32(d) | 127,355 | |
990,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.80%, due 04/01/31 | 811,644 | |
929,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 876,038 | |
105,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 03/01/50 | 77,791 | |
1,104,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.75%, due 04/01/48 | 930,387 | |
3,748,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35 | 3,706,322 | |
662,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45 | 614,045 | |
863,000 | Cheniere Energy Partners LP, 4.00%, due 03/01/31 | 785,148 | |
801,000 | Cheniere Energy Partners LP, 4.50%, due 10/01/29 | 763,134 | |
251,000 | Cheniere Energy, Inc., 5.65%, due 04/15/34 144A | 252,949 | |
643,000 | Chevron Corp., 2.00%, due 05/11/27(d) | 594,678 | |
1,935,000 | Cigna Group, 3.40%, due 03/01/27 | 1,854,631 | |
188,000 | CIMIC Finance USA Pty. Ltd., 7.00%, due 03/25/34(d) 144A | 193,132 | |
525,000 | Citigroup, Inc., 2.56% (SOFR + 1.17%), due 05/01/32(b) | 438,017 | |
908,000 | Citigroup, Inc., 3.20%, due 10/21/26 | 865,002 | |
4,776,000 | Citigroup, Inc., 3.40%, due 05/01/26 | 4,600,177 | |
625,000 | Citigroup, Inc., 3.52% (3 mo. USD Term SOFR + 1.41%), due 10/27/28(b) | 589,516 | |
340,000 | Citigroup, Inc., 3.67% (3 mo. USD Term SOFR + 1.65%), due 07/24/28(b) | 323,267 | |
1,840,000 | Citigroup, Inc., 3.89% (3 mo. USD Term SOFR + 1.82%), due 01/10/28(b) | 1,774,806 | |
1,220,000 | Citigroup, Inc., 3.98% (3 mo. USD Term SOFR + 1.60%), due 03/20/30(b) | 1,149,909 | |
258,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 254,503 | |
440,000 | Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(b) | 419,551 | |
414,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 407,656 | |
3,006,000 | Citigroup, Inc., 4.70% (SOFR + 3.23%)(b)(e) | 2,939,845 | |
331,000 | Citigroup, Inc., 5.17% (SOFR + 1.36%), due 02/13/30(b) | 329,553 | |
668,000 | Citigroup, Inc., 6.17% (SOFR + 2.66%), due 05/25/34(b) | 678,695 | |
616,000 | Citigroup, Inc., 6.25% (3 mo. USD Term SOFR + 4.78%)(b)(e) | 619,122 | |
848,000 | Citizens Financial Group, Inc., 3.25%, due 04/30/30 | 747,404 | |
241,000 | Civitas Resources, Inc., 8.63%, due 11/01/30 144A | 258,945 | |
247,000 | CNA Financial Corp., 2.05%, due 08/15/30 | 206,742 | |
694,000 | CNO Financial Group, Inc., 5.25%, due 05/30/29 | 676,780 | |
374,000 | Columbia Pipelines Holding Co. LLC, 5.68%, due 01/15/34 144A | 371,712 | |
2,954,000 | Columbia Pipelines Operating Co. LLC, 5.93%, due 08/15/30 144A | 3,031,961 | |
662,000 | Columbia Pipelines Operating Co. LLC, 6.04%, due 11/15/33 144A | 686,236 | |
18,000 | Comcast Corp., 2.89%, due 11/01/51 | 11,694 | |
1,307,000 | Comcast Corp., 3.40%, due 04/01/30 | 1,209,068 | |
5,000 | Comcast Corp., 3.97%, due 11/01/47 | 4,022 | |
5,000 | Comcast Corp., 6.50%, due 11/15/35 | 5,550 | |
325,000 | Comerica, Inc., 5.98% (SOFR + 2.16%), due 01/30/30(b) | 321,293 | |
1,090,000 | Comision Federal de Electricidad, 4.69%, due 05/15/29 144A | 1,025,802 | |
969,000 | CommonSpirit Health, 2.76%, due 10/01/24 | 954,168 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,670,000 | CommonSpirit Health, 5.32%, due 12/01/34 | 1,673,475 | |
350,000 | Commonwealth Edison Co., 4.00%, due 03/01/48 | 284,303 | |
622,000 | Concentrix Corp., 6.60%, due 08/02/28(d) | 629,477 | |
525,000 | Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, due 10/01/26 144A | 515,001 | |
250,000 | Consensus Cloud Solutions, Inc., 6.50%, due 10/15/28 144A | 222,533 | |
95,000 | Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56 | 78,650 | |
350,000 | Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45 | 307,511 | |
385,000 | Constellation Brands, Inc., 2.25%, due 08/01/31 | 318,212 | |
250,000 | Constellation Energy Generation LLC, 6.13%, due 01/15/34(d) | 264,158 | |
299,000 | Constellation Energy Generation LLC, 6.50%, due 10/01/53 | 329,208 | |
1,885,000 | Constellation Software, Inc., 5.16%, due 02/16/29 144A | 1,884,401 | |
365,000 | Continental Resources, Inc., 2.88%, due 04/01/32 144A | 297,609 | |
359,000 | Continental Resources, Inc., 4.90%, due 06/01/44 | 298,694 | |
571,000 | Continental Resources, Inc., 5.75%, due 01/15/31 144A | 567,966 | |
246,000 | Corebridge Financial, Inc., 6.88% (5 yr. CMT + 3.85%), due 12/15/52(b) | 246,541 | |
570,000 | Corp. Andina de Fomento, 5.00%, due 01/24/29 | 568,234 | |
272,000 | Coruripe Netherlands BV, 10.00%, due 02/10/27 144A | 246,759 | |
680,000 | CoStar Group, Inc., 2.80%, due 07/15/30 144A | 580,327 | |
970,000 | Cox Communications, Inc., 2.60%, due 06/15/31 144A | 805,504 | |
3,921,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 3,751,908 | |
1,137,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 1,010,071 | |
650,000 | Credit Agricole SA, 6.32% (SOFR + 1.86%), due 10/03/29(b) 144A | 674,199 | |
861,000 | Credit Suisse AG, 7.95%, due 01/09/25 | 875,471 | |
270,000 | CSC Holdings LLC, 3.38%, due 02/15/31 144A | 183,731 | |
456,000 | CVS Health Corp., 3.75%, due 04/01/30 | 425,103 | |
635,000 | CVS Health Corp., 4.78%, due 03/25/38 | 586,699 | |
578,000 | CVS Health Corp., 5.05%, due 03/25/48 | 525,275 | |
130,000 | CVS Health Corp., 5.13%, due 07/20/45 | 119,882 | |
124,000 | CVS Health Corp., 5.25%, due 01/30/31 | 124,997 | |
941,641 | CVS Pass-Through Trust, 5.77%, due 01/10/33 144A | 932,836 | |
476,306 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 488,046 | |
1,387,575 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 1,437,013 | |
145,000 | Dana, Inc., 4.50%, due 02/15/32(d) | 125,438 | |
780,000 | Danske Bank AS, 6.26% (1 yr. CMT + 1.18%), due 09/22/26(b) 144A | 787,812 | |
355,000 | DaVita, Inc., 3.75%, due 02/15/31 144A | 297,533 | |
733,000 | DaVita, Inc., 4.63%, due 06/01/30 144A | 656,727 | |
197,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28 144A | 196,262 | |
448,000 | Dell International LLC/EMC Corp., 5.30%, due 10/01/29 | 453,641 | |
940,000 | Dell International LLC/EMC Corp., 5.40%, due 04/15/34 | 942,562 | |
1,144,964 | Delta Air Lines Pass-Through Trust, 2.00%, due 12/10/29 | 1,035,643 | |
533,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28(d) | 517,668 | |
690,525 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, due 10/20/28 144A | 675,602 | |
649,000 | Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(b) | 536,482 | |
460,000 | Deutsche Bank AG, 5.71% (SOFR + 1.59%), due 02/08/28(b) | 459,485 | |
447,000 | Deutsche Bank AG, 6.82% (SOFR + 2.51%), due 11/20/29(b) | 467,550 | |
865,000 | Diamondback Energy, Inc., 3.25%, due 12/01/26 | 829,467 | |
208,000 | Discover Financial Services, 4.10%, due 02/09/27 | 200,733 | |
180,000 | Dominion Energy, Inc., 2.85%, due 08/15/26 | 170,315 | |
337,000 | Dominion Energy, Inc., 3.38%, due 04/01/30 | 306,455 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
278,000 | EUR | DP World Ltd., 2.38%, due 09/25/26 144A | 290,001 |
850,000 | DTE Electric Co., 2.25%, due 03/01/30 | 737,279 | |
1,210,637 | DTE Electric Securitization Funding I LLC, 2.64%, due 12/01/27 | 1,160,933 | |
2,290,000 | DTE Energy Co., 1.05%, due 06/01/25 | 2,175,139 | |
411,000 | Duke Energy Carolinas LLC, 3.95%, due 03/15/48 | 328,232 | |
180,000 | Duke Energy Corp., 2.45%, due 06/01/30 | 155,167 | |
599,000 | Duke Energy Corp., 5.75%, due 09/15/33 | 615,699 | |
435,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46 | 320,448 | |
220,000 | Duke Energy Ohio, Inc., 5.25%, due 04/01/33 | 222,565 | |
200,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46 | 154,527 | |
428,000 | Ecopetrol SA, 6.88%, due 04/29/30 | 418,152 | |
790,000 | Ecopetrol SA, 8.63%, due 01/19/29 | 837,861 | |
575,000 | Edison International, 5.25%, due 11/15/28 | 573,226 | |
546,000 | EIG Pearl Holdings SARL, 3.55%, due 08/31/36 144A | 467,314 | |
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 219,124 | |
409,000 | Electricite de France SA, 9.13% (5 yr. CMT + 5.41%)(b)(e) 144A | 451,612 | |
3,158,000 | Element Fleet Management Corp., 5.64%, due 03/13/27 144A | 3,168,795 | |
300,000 | Elevance Health, Inc., 3.60%, due 03/15/51(d) | 225,034 | |
15,000 | Elevance Health, Inc., 5.10%, due 01/15/44 | 14,282 | |
398,000 | Embraer Netherlands Finance BV, 7.00%, due 07/28/30 144A | 417,017 | |
537,000 | Emera U.S. Finance LP, 3.55%, due 06/15/26(d) | 515,861 | |
568,000 | EMRLD Borrower LP/Emerald Co.-Issuer, Inc., 6.63%, due 12/15/30 144A | 574,159 | |
505,000 | Enbridge, Inc., 5.50% (3 mo. USD Term SOFR + 3.68%), due 07/15/77(b) | 479,617 | |
674,000 | Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(b) | 638,685 | |
481,000 | Enbridge, Inc., 6.25% (3 mo. USD Term SOFR + 3.90%), due 03/01/78(b) | 468,988 | |
315,000 | Enbridge, Inc., 8.50% (5 yr. CMT + 4.43%), due 01/15/84(b) | 343,046 | |
380,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 383,318 | |
228,000 | Energean Israel Finance Ltd., 5.38%, due 03/30/28(g) | 208,699 | |
245,000 | Energean Israel Finance Ltd., 5.88%, due 03/30/31(g) | 215,416 | |
331,000 | Energy Transfer LP, 4.20%, due 04/15/27 | 321,972 | |
685,000 | Energy Transfer LP, 5.15%, due 03/15/45 | 623,087 | |
570,000 | Energy Transfer LP, 5.25%, due 04/15/29 | 570,815 | |
150,000 | Energy Transfer LP, 5.30%, due 04/01/44 | 138,030 | |
590,000 | Energy Transfer LP, 5.30%, due 04/15/47 | 537,196 | |
791,000 | Energy Transfer LP, 5.40%, due 10/01/47 | 730,539 | |
1,722,000 | Energy Transfer LP, 5.50%, due 06/01/27 | 1,733,264 | |
720,000 | Energy Transfer LP, 6.25%, due 04/15/49 | 739,679 | |
120,000 | Energy Transfer LP, 6.40%, due 12/01/30 | 126,753 | |
1,073,000 | Energy Transfer LP, 6.50% (5 yr. CMT + 5.69%)(b)(e) | 1,054,375 | |
65,000 | Energy Transfer LP, 6.55%, due 12/01/33 | 69,818 | |
1,606,000 | Energy Transfer LP, 7.13% (5 yr. CMT + 5.31%)(b)(e) | 1,571,931 | |
1,450,000 | Enterprise Products Operating LLC, 4.90%, due 05/15/46 | 1,356,335 | |
958,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD Term SOFR + 3.29%), due 08/16/77(b) | 911,447 | |
159,000 | EQM Midstream Partners LP, 6.38%, due 04/01/29 144A | 160,293 | |
100,000 | EQM Midstream Partners LP, 7.50%, due 06/01/27 144A | 102,617 | |
66,000 | EQM Midstream Partners LP, 7.50%, due 06/01/30 144A | 70,611 | |
375,000 | Equifax, Inc., 5.10%, due 12/15/27 | 374,819 | |
70,000 | Esab Corp., 6.25%, due 04/15/29(h) 144A | 70,415 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
225,000 | Eskom Holdings SOC Ltd., 6.35%, due 08/10/28 144A | 215,709 | |
925,000 | Essex Portfolio LP, 1.70%, due 03/01/28 | 811,963 | |
1,320,000 | Eversource Energy, 2.90%, due 10/01/24 | 1,300,462 | |
2,050,000 | Eversource Energy, 2.90%, due 03/01/27 | 1,927,958 | |
1,416,000 | Exelon Corp., 3.35%, due 03/15/32 | 1,253,196 | |
285,000 | Exelon Corp., 4.70%, due 04/15/50 | 249,998 | |
1,478,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,370,691 | |
1,000,000 | Fairfax Financial Holdings Ltd., 5.63%, due 08/16/32 | 1,000,034 | |
675,000 | Fairfax Financial Holdings Ltd., 6.00%, due 12/07/33 144A | 689,009 | |
600,000 | Falabella SA, 4.38%, due 01/27/25 144A | 590,510 | |
2,378,000 | Ferguson Finance PLC, 3.25%, due 06/02/30 144A | 2,128,911 | |
2,130,000 | Ferguson Finance PLC, 4.50%, due 10/24/28 144A | 2,086,068 | |
73,000 | Fiesta Purchaser, Inc., 7.88%, due 03/01/31 144A | 75,443 | |
1,200,000 | Fifth Third Bancorp, 6.34% (SOFR + 2.34%), due 07/27/29(b) | 1,237,507 | |
319,000 | Fifth Third Bancorp, 8.60% (3 mo. USD Term SOFR + 3.29%)(b)(e) | 313,480 | |
565,000 | First Quantum Minerals Ltd., 6.88%, due 10/15/27 144A | 542,355 | |
200,000 | First Quantum Minerals Ltd., 8.63%, due 06/01/31(d) 144A | 194,666 | |
359,000 | FirstEnergy Corp., 2.65%, due 03/01/30 | 308,909 | |
157,000 | FirstEnergy Corp., 3.40%, due 03/01/50 | 108,372 | |
580,000 | FirstEnergy Pennsylvania Electric Co., 3.60%, due 06/01/29 144A | 539,302 | |
2,365,000 | Florida Power & Light Co., 2.45%, due 02/03/32 | 1,992,060 | |
294,000 | Flowserve Corp., 3.50%, due 10/01/30 | 261,517 | |
910,000 | FMC Corp., 5.15%, due 05/18/26 | 904,959 | |
370,000 | Ford Motor Co., 3.25%, due 02/12/32 | 307,976 | |
310,000 | Ford Motor Co., 4.75%, due 01/15/43 | 257,719 | |
611,000 | Ford Motor Co., 6.10%, due 08/19/32 | 619,523 | |
5,540,000 | Ford Motor Credit Co. LLC, 2.90%, due 02/10/29 | 4,887,878 | |
300,000 | Ford Motor Credit Co. LLC, 3.38%, due 11/13/25 | 288,760 | |
1,382,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 1,234,990 | |
920,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 893,694 | |
678,000 | Ford Motor Credit Co. LLC, 5.80%, due 03/08/29(d) | 681,012 | |
1,597,000 | Ford Motor Credit Co. LLC, 6.80%, due 05/12/28 | 1,659,997 | |
482,000 | Foundry JV Holdco LLC, 5.88%, due 01/25/34 144A | 483,262 | |
665,000 | Freeport-McMoRan, Inc., 4.25%, due 03/01/30 | 630,960 | |
436,000 | Freeport-McMoRan, Inc., 5.40%, due 11/14/34 | 431,072 | |
713,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 683,221 | |
1,009,000 | Fresenius Medical Care U.S. Finance III, Inc., 2.38%, due 02/16/31(d) 144A | 795,774 | |
213,000 | Full House Resorts, Inc., 8.25%, due 02/15/28(d) 144A | 203,731 | |
1,913,000 | GA Global Funding Trust, 3.85%, due 04/11/25 144A | 1,877,739 | |
165,000 | Gap, Inc., 3.63%, due 10/01/29 144A | 144,699 | |
235,000 | Gap, Inc., 3.88%, due 10/01/31 144A | 199,028 | |
606,000 | Gartner, Inc., 4.50%, due 07/01/28 144A | 577,986 | |
458,000 | GCI LLC, 4.75%, due 10/15/28 144A | 420,362 | |
200,000 | GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26 144A | 200,424 | |
570,000 | General Motors Co., 5.00%, due 04/01/35 | 540,619 | |
228,000 | General Motors Co., 5.40%, due 04/01/48(d) | 209,335 | |
3,886,000 | General Motors Financial Co., Inc., 2.40%, due 10/15/28 | 3,440,893 | |
1,060,000 | General Motors Financial Co., Inc., 2.70%, due 06/10/31 | 884,027 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
605,000 | General Motors Financial Co., Inc., 2.90%, due 02/26/25 | 590,345 | |
495,000 | General Motors Financial Co., Inc., 3.10%, due 01/12/32(d) | 419,473 | |
1,694,000 | General Motors Financial Co., Inc., 3.60%, due 06/21/30 | 1,530,122 | |
878,000 | General Motors Financial Co., Inc., 6.00%, due 01/09/28 | 900,492 | |
320,000 | Georgia Power Co., 4.95%, due 05/17/33 | 315,693 | |
383,000 | Global Atlantic Fin Co., 4.70% (5 yr. CMT + 3.80%), due 10/15/51(b) 144A | 345,399 | |
397,000 | Global Infrastructure Solutions, Inc., 5.63%, due 06/01/29 144A | 364,441 | |
109,000 | Global Partners LP/GLP Finance Corp., 8.25%, due 01/15/32 144A | 113,108 | |
259,000 | Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A | 226,774 | |
240,000 | GLP Capital LP/GLP Financing II, Inc., 3.25%, due 01/15/32 | 202,280 | |
271,000 | GLP Capital LP/GLP Financing II, Inc., 4.00%, due 01/15/30 | 247,581 | |
1,259,000 | GLP Capital LP/GLP Financing II, Inc., 4.00%, due 01/15/31 | 1,124,295 | |
200,000 | GLP Capital LP/GLP Financing II, Inc., 5.38%, due 04/15/26 | 198,391 | |
200,000 | GN Bondco LLC, 9.50%, due 10/15/31(d) 144A | 199,843 | |
1,350,000 | Goldman Sachs Group, Inc., 0.86% (SOFR + 0.61%), due 02/12/26(b) | 1,293,378 | |
1,175,000 | Goldman Sachs Group, Inc., 1.43% (SOFR + 0.80%), due 03/09/27(b) | 1,088,575 | |
1,100,000 | Goldman Sachs Group, Inc., 1.54% (SOFR + 0.82%), due 09/10/27(b) | 1,005,398 | |
1,260,000 | Goldman Sachs Group, Inc., 2.38% (SOFR + 1.25%), due 07/21/32(b) | 1,033,986 | |
2,883,000 | Goldman Sachs Group, Inc., 2.62% (SOFR + 1.28%), due 04/22/32(b) | 2,420,449 | |
826,000 | Goldman Sachs Group, Inc., 2.65% (SOFR + 1.26%), due 10/21/32(b) | 687,505 | |
1,200,000 | Goldman Sachs Group, Inc., 3.27% (3 mo. USD Term SOFR + 1.46%), due 09/29/25(b) | 1,185,683 | |
371,000 | Goldman Sachs Group, Inc., 3.50%, due 01/23/25 | 365,133 | |
215,000 | Goldman Sachs Group, Inc., 3.75%, due 02/25/26 | 210,009 | |
2,331,000 | Goldman Sachs Group, Inc., 3.80%, due 03/15/30(d) | 2,183,687 | |
1,065,000 | Goldman Sachs Group, Inc., 3.81% (3 mo. USD Term SOFR + 1.42%), due 04/23/29(b) | 1,009,909 | |
455,000 | Goldman Sachs Group, Inc., 3.85%, due 01/26/27 | 441,241 | |
367,000 | Graphic Packaging International LLC, 3.50%, due 03/01/29 144A | 330,438 | |
365,000 | Graphic Packaging International LLC, 4.13%, due 08/15/24 | 362,215 | |
200,000 | Greensaif Pipelines Bidco SARL, 6.13%, due 02/23/38 144A | 203,466 | |
225,000 | Greensaif Pipelines Bidco SARL, 6.51%, due 02/23/42 144A | 234,000 | |
225,000 | Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A | 207,555 | |
500,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28(d) 144A | 458,354 | |
410,000 | HCA, Inc., 4.38%, due 03/15/42 | 344,300 | |
220,000 | HCA, Inc., 5.38%, due 02/01/25 | 219,416 | |
421,000 | HCA, Inc., 5.45%, due 04/01/31(d) | 423,342 | |
275,000 | HCA, Inc., 7.75%, due 07/15/36 | 315,641 | |
646,000 | Healthpeak OP LLC, 3.25%, due 07/15/26 | 618,297 | |
119,000 | Hess Midstream Operations LP, 4.25%, due 02/15/30 144A | 109,454 | |
53,000 | Hess Midstream Operations LP, 5.50%, due 10/15/30(d) 144A | 51,400 | |
250,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.00%, due 04/15/30 144A | 245,010 | |
380,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 375,064 | |
447,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.00%, due 06/01/29 144A | 417,210 | |
411,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 6.63%, due 01/15/32 144A | 412,961 | |
2,348,000 | Honeywell International, Inc., 5.25%, due 03/01/54 | 2,371,384 | |
1,818,000 | HSBC Holdings PLC, 7.39% (SOFR + 3.35%), due 11/03/28(b) | 1,934,980 | |
89,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 86,296 | |
357,000 | Huntington Bancshares, Inc., 6.21% (SOFR + 2.02%), due 08/21/29(b) | 365,619 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
384,000 | Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30 | 360,358 | |
390,000 | Huntsman International LLC, 2.95%, due 06/15/31 | 324,902 | |
870,000 | Huntsman International LLC, 4.50%, due 05/01/29(d) | 831,310 | |
239,000 | Hyundai Capital America, 2.38%, due 10/15/27 144A | 216,782 | |
237,000 | Hyundai Capital America, 5.30%, due 01/08/29 144A | 237,418 | |
524,000 | Hyundai Capital America, 5.68%, due 06/26/28 144A | 531,468 | |
20,000 | IHS Markit Ltd., 4.75%, due 08/01/28 | 18,694 | |
300,000 | ING Groep NV, 5.34% (SOFR + 1.44%), due 03/19/30(b) | 299,375 | |
256,000 | ING Groep NV, 6.11% (SOFR + 2.09%), due 09/11/34(b) | 265,996 | |
200,000 | ING Groep NV, 6.50% (5 yr. USD swap + 4.45%)(b)(d)(e) | 197,696 | |
114,000 | Ingersoll Rand, Inc., 5.40%, due 08/14/28 | 115,591 | |
120,000 | Intel Corp., 5.63%, due 02/10/43 | 124,147 | |
170,000 | IPALCO Enterprises, Inc., 4.25%, due 05/01/30 | 158,397 | |
298,000 | IQVIA, Inc., 6.25%, due 02/01/29 | 309,665 | |
136,000 | Iron Mountain Information Management Services, Inc., 5.00%, due 07/15/32 144A | 124,341 | |
291,000 | Iron Mountain, Inc., 5.25%, due 07/15/30 144A | 275,598 | |
165,000 | Jacobs Entertainment, Inc., 6.75%, due 02/15/29 144A | 160,429 | |
209,000 | JB Poindexter & Co., Inc., 8.75%, due 12/15/31 144A | 216,290 | |
1,050,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, due 02/02/29 | 930,462 | |
447,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.63%, due 01/15/32 | 382,748 | |
125,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, due 12/01/31 | 108,157 | |
780,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 | 768,933 | |
1,435,000 | Jefferies Financial Group, Inc., 5.88%, due 07/21/28 | 1,461,614 | |
346,453 | JetBlue Pass-Through Trust, 2.75%, due 11/15/33 | 299,127 | |
2,000,000 | JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(b) | 1,774,699 | |
1,097,000 | JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(b) | 948,485 | |
760,000 | JPMorgan Chase & Co., 2.58% (3 mo. USD Term SOFR + 1.25%), due 04/22/32(b) | 642,757 | |
838,000 | JPMorgan Chase & Co., 2.96% (3 mo. USD Term SOFR + 2.52%), due 05/13/31(b) | 732,792 | |
2,145,000 | JPMorgan Chase & Co., 2.96% (SOFR + 1.26%), due 01/25/33(b) | 1,832,084 | |
3,817,000 | JPMorgan Chase & Co., 3.78% (3 mo. USD Term SOFR + 1.60%), due 02/01/28(b) | 3,676,872 | |
965,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD Term SOFR + 1.38%), due 04/23/29(b) | 925,238 | |
3,600,000 | JPMorgan Chase & Co., 4.20% (3 mo. USD Term SOFR + 1.52%), due 07/23/29(b) | 3,471,907 | |
246,000 | JPMorgan Chase & Co., 4.45% (3 mo. USD Term SOFR + 1.59%), due 12/05/29(b) | 239,893 | |
1,207,000 | JPMorgan Chase & Co., 4.49% (3 mo. USD Term SOFR + 3.79%), due 03/24/31(b) | 1,167,410 | |
2,329,000 | JPMorgan Chase & Co., 4.60% (3 mo. USD Term SOFR + 3.13%)(b)(e) | 2,295,494 | |
440,000 | JPMorgan Chase & Co., 5.00% (3 mo. USD Term SOFR + 3.38%)(b)(d)(e) | 438,838 | |
581,000 | JPMorgan Chase & Co., 5.01% (SOFR + 1.31%), due 01/23/30(b) | 578,860 | |
780,000 | Kaiser Foundation Hospitals, 2.81%, due 06/01/41 | 576,344 | |
330,000 | KB Home, 4.00%, due 06/15/31 | 292,784 | |
295,000 | KeyCorp, 6.40% (SOFR + 2.42%), due 03/06/35(b) | 301,437 | |
308,000 | Kinder Morgan Energy Partners LP, 7.75%, due 03/15/32 | 349,811 | |
720,000 | Kinder Morgan, Inc., 3.60%, due 02/15/51 | 503,103 | |
1,291,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43(d) 144A | 1,252,226 | |
257,000 | KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A | 187,687 | |
283,000 | KKR Group Finance Co. X LLC, 3.25%, due 12/15/51 144A | 190,691 | |
240,000 | Kohl's Corp., 4.63%, due 05/01/31 | 202,200 | |
1,482,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 1,252,546 | |
279,000 | Kraft Heinz Foods Co., 5.00%, due 06/04/42 | 262,086 | |
80,000 | Kyndryl Holdings, Inc., 6.35%, due 02/20/34 | 82,159 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,920,000 | L3Harris Technologies, Inc., 5.25%, due 06/01/31 | 1,917,062 | |
397,000 | Lam Research Corp., 2.88%, due 06/15/50 | 271,439 | |
145,000 | Lamb Weston Holdings, Inc., 4.13%, due 01/31/30 144A | 132,347 | |
485,000 | Lamb Weston Holdings, Inc., 4.38%, due 01/31/32 144A | 435,329 | |
539,000 | Lazard Group LLC, 4.38%, due 03/11/29(d) | 517,228 | |
200,000 | LCPR Senior Secured Financing DAC, 5.13%, due 07/15/29 144A | 167,668 | |
676,000 | Leviathan Bond Ltd., 6.50%, due 06/30/27(g) | 654,567 | |
99,000 | Leviathan Bond Ltd., 6.75%, due 06/30/30(g) | 92,088 | |
450,000 | Liberty Mutual Group, Inc., 3.95%, due 10/15/50 144A | 338,852 | |
414,000 | Liberty Mutual Group, Inc., 4.13% (5 yr. CMT + 3.32%), due 12/15/51(b) 144A | 374,739 | |
3,324,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 3,240,651 | |
311,000 | Lincoln National Corp., 3.40%, due 01/15/31(d) | 274,012 | |
169,000 | Lithia Motors, Inc., 3.88%, due 06/01/29 144A | 152,465 | |
169,000 | Lithia Motors, Inc., 4.38%, due 01/15/31 144A | 151,524 | |
164,000 | Lithia Motors, Inc., 4.63%, due 12/15/27 144A | 157,632 | |
1,500,000 | Lloyds Banking Group PLC, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(b) | 1,458,608 | |
490,000 | Lloyds Banking Group PLC, 7.50% (5 yr. USD swap + 4.76%)(b)(e) | 487,461 | |
154,840 | LLPL Capital Pte. Ltd., 6.88%, due 02/04/39 144A | 155,035 | |
386,000 | Lowe's Cos., Inc., 3.70%, due 04/15/46 | 295,785 | |
1,253,000 | Lowe's Cos., Inc., 5.63%, due 04/15/53 | 1,266,906 | |
970,000 | Lubrizol Corp., 6.50%, due 10/01/34(d) | 1,098,929 | |
830,000 | LYB International Finance III LLC, 4.20%, due 05/01/50 | 650,020 | |
228,000 | M&T Bank Corp., 5.13% (3 mo. USD Term SOFR + 3.78%)(b)(e) | 202,683 | |
410,000 | Macquarie Bank Ltd., 3.62%, due 06/03/30 144A | 364,888 | |
1,243,000 | Macquarie Group Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(b) 144A | 1,153,435 | |
236,000 | Macy's Retail Holdings LLC, 5.88%, due 04/01/29(d) 144A | 231,756 | |
213,000 | Macy's Retail Holdings LLC, 5.88%, due 03/15/30(d) 144A | 207,248 | |
364,000 | Macy's Retail Holdings LLC, 6.13%, due 03/15/32 144A | 353,197 | |
1,255,000 | Manulife Financial Corp., 3.70%, due 03/16/32(d) | 1,157,989 | |
781,000 | MARB BondCo PLC, 3.95%, due 01/29/31 144A | 644,548 | |
960,000 | Marriott International, Inc., 5.00%, due 10/15/27 | 957,447 | |
400,000 | Martin Marietta Materials, Inc., 2.50%, due 03/15/30 | 349,127 | |
698,000 | Marvell Technology, Inc., 2.45%, due 04/15/28 | 629,686 | |
175,000 | Masonite International Corp., 3.50%, due 02/15/30(d) 144A | 154,992 | |
460,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14(f) | 423,351 | |
1,255,000 | Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 144A | 877,396 | |
1,615,000 | Massachusetts Mutual Life Insurance Co., 5.67%, due 12/01/52 144A | 1,615,014 | |
241,000 | MasTec, Inc., 4.50%, due 08/15/28(d) 144A | 229,359 | |
162,000 | Match Group Holdings II LLC, 3.63%, due 10/01/31 144A | 137,807 | |
297,000 | Match Group Holdings II LLC, 4.13%, due 08/01/30 144A | 264,445 | |
245,000 | Mauser Packaging Solutions Holding Co., 7.88%, due 08/15/26 144A | 249,778 | |
471,059 | MC Brazil Downstream Trading SARL, 7.25%, due 06/30/31 144A | 426,766 | |
1,200,000 | McDonald's Corp., 4.20%, due 04/01/50 | 1,003,324 | |
252,000 | MDC Holdings, Inc., 2.50%, due 01/15/31 | 217,206 | |
568,000 | MetLife, Inc., 6.40%, due 12/15/66 | 582,508 | |
4,827,000 | Metropolitan Life Global Funding I, 3.30%, due 03/21/29 144A | 4,460,859 | |
221,000 | Mexico City Airport Trust, 4.25%, due 10/31/26 144A | 214,350 | |
445,000 | Mexico City Airport Trust, 5.50%, due 07/31/47 144A | 377,421 | |
712,000 | MGM Resorts International, 4.75%, due 10/15/28 | 677,868 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
553,000 | Michaels Cos., Inc., 5.25%, due 05/01/28 144A | 471,703 | |
499,000 | Michaels Cos., Inc., 7.88%, due 05/01/29 144A | 374,845 | |
680,000 | Microchip Technology, Inc., 5.05%, due 03/15/29 | 680,383 | |
440,000 | Micron Technology, Inc., 2.70%, due 04/15/32 | 367,495 | |
527,000 | Micron Technology, Inc., 4.19%, due 02/15/27(d) | 513,710 | |
333,000 | Micron Technology, Inc., 5.30%, due 01/15/31 | 335,048 | |
577,000 | Micron Technology, Inc., 5.33%, due 02/06/29 | 582,458 | |
1,067,000 | Micron Technology, Inc., 6.75%, due 11/01/29 | 1,145,754 | |
285,000 | MidAmerican Energy Co., 4.25%, due 07/15/49 | 242,854 | |
825,000 | Mid-Atlantic Interstate Transmission LLC, 4.10%, due 05/15/28 144A | 793,860 | |
474,000 | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 05/01/29 144A | 439,290 | |
423,900 | Millicom International Cellular SA, 6.25%, due 03/25/29(d) 144A | 414,263 | |
200,000 | Millicom International Cellular SA, 7.38%, due 04/02/32(h) 144A | 201,000 | |
328,000 | Mohegan Tribal Gaming Authority, 8.00%, due 02/01/26 144A | 321,232 | |
1,250,000 | Moody's Corp., 3.25%, due 05/20/50(d) | 896,280 | |
715,000 | Morgan Stanley, 1.93% (SOFR + 1.02%), due 04/28/32(b) | 574,096 | |
2,463,000 | Morgan Stanley, 2.24% (SOFR + 1.18%), due 07/21/32(b) | 2,012,650 | |
925,000 | Morgan Stanley, 2.48% (SOFR + 1.36%), due 09/16/36(b) | 731,986 | |
1,755,000 | Morgan Stanley, 2.70% (SOFR + 1.14%), due 01/22/31(b) | 1,533,767 | |
2,133,000 | Morgan Stanley, 2.94% (SOFR + 1.29%), due 01/21/33(b) | 1,813,501 | |
1,301,000 | Morgan Stanley, 3.13%, due 07/27/26 | 1,244,709 | |
1,185,000 | Morgan Stanley, 3.59%, due 07/22/28(i) | 1,126,226 | |
2,461,000 | Morgan Stanley, 3.62% (SOFR + 3.12%), due 04/01/31(b) | 2,257,940 | |
910,000 | Morgan Stanley, 3.77% (3 mo. USD Term SOFR + 1.40%), due 01/24/29(b) | 866,528 | |
1,247,000 | Morgan Stanley, 4.21% (SOFR + 1.61%), due 04/20/28(b)(d) | 1,212,190 | |
466,000 | Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b) | 465,764 | |
684,000 | Morgan Stanley, 5.17% (SOFR + 1.45%), due 01/16/30(b) | 684,798 | |
749,000 | Motorola Solutions, Inc., 2.30%, due 11/15/30 | 629,161 | |
737,000 | Motorola Solutions, Inc., 2.75%, due 05/24/31 | 624,817 | |
1,685,000 | Motorola Solutions, Inc., 5.40%, due 04/15/34 | 1,682,316 | |
1,705,000 | MPLX LP, 1.75%, due 03/01/26 | 1,594,782 | |
377,000 | MPLX LP, 4.25%, due 12/01/27 | 366,800 | |
370,000 | MPLX LP, 4.50%, due 04/15/38 | 328,739 | |
530,000 | MPLX LP, 4.70%, due 04/15/48 | 452,430 | |
319,000 | MPLX LP, 4.95%, due 09/01/32 | 310,030 | |
322,000 | MPLX LP, 5.00%, due 03/01/33 | 312,711 | |
105,000 | MPLX LP, 5.20%, due 03/01/47 | 96,133 | |
255,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.50%, due 03/15/31(d) | 175,316 | |
410,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, due 10/15/27(d) | 343,795 | |
621,000 | MSCI, Inc., 3.63%, due 11/01/31 144A | 539,552 | |
695,000 | Mylan, Inc., 5.40%, due 11/29/43 | 610,456 | |
1,721,000 | National Grid PLC, 5.81%, due 06/12/33 | 1,759,206 | |
2,436,000 | National Securities Clearing Corp., 5.00%, due 05/30/28 144A | 2,453,823 | |
159,000 | Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A | 144,398 | |
333,000 | Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A | 319,063 | |
202,000 | Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A | 199,280 | |
284,000 | NatWest Group PLC, 3.75% (5 yr. CMT + 2.10%), due 11/01/29(b) | 279,225 | |
645,000 | NatWest Group PLC, 6.00% (5 yr. CMT + 5.63%)(b)(e) | 631,449 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
563,000 | NatWest Markets PLC, 1.60%, due 09/29/26 144A | 514,889 | |
559,000 | NBM U.S. Holdings, Inc., 6.63%, due 08/06/29 144A | 555,792 | |
764,000 | Netflix, Inc., 4.88%, due 04/15/28 | 763,166 | |
194,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 198,030 | |
793,000 | Netflix, Inc., 5.88%, due 11/15/28 | 824,651 | |
435,000 | Newmont Corp., 2.25%, due 10/01/30(d) | 370,427 | |
230,000 | Newmont Corp., 2.80%, due 10/01/29 | 206,469 | |
150,000 | Newmont Corp., 5.45%, due 06/09/44 | 147,860 | |
1,695,000 | Newmont Corp./Newcrest Finance Pty. Ltd., 5.35%, due 03/15/34 144A | 1,706,475 | |
351,000 | News Corp., 3.88%, due 05/15/29 144A | 321,266 | |
662,000 | NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30 | 563,978 | |
2,085,000 | NextEra Energy Capital Holdings, Inc., 5.75%, due 09/01/25 | 2,094,641 | |
240,000 | NextEra Energy Capital Holdings, Inc., 6.05%, due 03/01/25 | 240,989 | |
541,000 | NextEra Energy Capital Holdings, Inc., 6.70% (5 yr. CMT + 2.36%), due 09/01/54(b) | 544,119 | |
442,000 | NextEra Energy Operating Partners LP, 3.88%, due 10/15/26 144A | 412,543 | |
165,000 | NextEra Energy Operating Partners LP, 4.50%, due 09/15/27 144A | 154,555 | |
195,000 | NiSource, Inc., 1.70%, due 02/15/31 | 155,908 | |
337,000 | NiSource, Inc., 3.60%, due 05/01/30 | 310,607 | |
122,000 | NiSource, Inc., 5.25%, due 03/30/28 | 122,899 | |
638,000 | Nissan Motor Acceptance Co. LLC, 1.85%, due 09/16/26 144A | 577,499 | |
305,000 | Nissan Motor Acceptance Co. LLC, 2.00%, due 03/09/26 144A | 282,554 | |
200,000 | Nomura Holdings, Inc., 2.61%, due 07/14/31(d) | 166,371 | |
970,000 | Norfolk Southern Corp., 4.84%, due 10/01/41 | 913,684 | |
195,000 | Northern States Power Co., 3.60%, due 09/15/47 | 148,281 | |
1,242,000 | Northrop Grumman Corp., 5.25%, due 05/01/50 | 1,219,695 | |
330,000 | NOVA Chemicals Corp., 4.88%, due 06/01/24 144A | 329,176 | |
496,000 | Novelis Corp., 4.75%, due 01/30/30 144A | 458,035 | |
478,000 | NRG Energy, Inc., 2.45%, due 12/02/27 144A | 429,915 | |
264,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 228,088 | |
1,041,000 | NRG Energy, Inc., 3.88%, due 02/15/32 144A | 892,951 | |
359,000 | NRG Energy, Inc., 4.45%, due 06/15/29 144A | 339,694 | |
140,000 | NRG Energy, Inc., 5.25%, due 06/15/29 144A | 133,961 | |
640,000 | NRG Energy, Inc., 5.75%, due 01/15/28 | 636,928 | |
485,000 | NRG Energy, Inc., 7.00%, due 03/15/33 144A | 517,993 | |
381,000 | NRG Energy, Inc., 10.25% (5 yr. CMT + 5.92%)(b)(e) 144A | 409,060 | |
250,000 | NSTAR Electric Co., 3.10%, due 06/01/51(d) | 170,870 | |
355,000 | Nutrien Ltd., 4.90%, due 06/01/43 | 322,565 | |
2,786,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25 | 2,704,406 | |
3,517,000 | Occidental Petroleum Corp., 4.48%, due 10/10/36(j) | 1,868,416 | |
619,000 | Occidental Petroleum Corp., 6.45%, due 09/15/36 | 660,405 | |
265,000 | Occidental Petroleum Corp., 6.60%, due 03/15/46 | 285,772 | |
638,000 | Occidental Petroleum Corp., 6.63%, due 09/01/30 | 676,637 | |
336,000 | OCI NV, 6.70%, due 03/16/33 144A | 335,184 | |
133,000 | OneMain Finance Corp., 3.88%, due 09/15/28 | 118,780 | |
62,000 | OneMain Finance Corp., 6.63%, due 01/15/28(d) | 62,245 | |
298,000 | OneMain Finance Corp., 9.00%, due 01/15/29 | 316,429 | |
655,000 | ONEOK, Inc., 3.10%, due 03/15/30 | 586,045 | |
75,000 | ONEOK, Inc., 4.25%, due 09/15/46 | 60,321 | |
238,000 | ONEOK, Inc., 5.65%, due 11/01/28 | 243,421 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,950,000 | ONEOK, Inc., 6.05%, due 09/01/33 | 2,034,703 | |
766,000 | ONEOK, Inc., 6.63%, due 09/01/53 | 844,781 | |
1,600,000 | Oracle Corp., 1.65%, due 03/25/26 | 1,494,227 | |
640,000 | Oracle Corp., 2.95%, due 04/01/30 | 569,747 | |
1,456,000 | Oracle Corp., 3.95%, due 03/25/51(d) | 1,110,201 | |
749,000 | Oracle Corp., 4.30%, due 07/08/34 | 691,149 | |
425,000 | Organon & Co./Organon Foreign Debt Co.-Issuer BV, 4.13%, due 04/30/28 144A | 396,364 | |
580,000 | Ovintiv, Inc., 5.65%, due 05/15/25 | 580,238 | |
256,000 | Ovintiv, Inc., 5.65%, due 05/15/28(d) | 260,370 | |
192,000 | Ovintiv, Inc., 6.25%, due 07/15/33 | 199,720 | |
83,000 | Ovintiv, Inc., 7.20%, due 11/01/31 | 90,245 | |
82,000 | Owens Corning, 3.88%, due 06/01/30 | 76,662 | |
654,000 | Owens Corning, 3.95%, due 08/15/29(d) | 618,787 | |
205,000 | Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27(d) 144A | 205,285 | |
170,000 | Owens-Brockway Glass Container, Inc., 7.25%, due 05/15/31(d) 144A | 173,358 | |
490,000 | Pacific Gas & Electric Co., 4.95%, due 07/01/50(d) | 421,914 | |
1,155,000 | Pacific Gas & Electric Co., 5.80%, due 05/15/34 | 1,166,224 | |
265,000 | PacifiCorp, 2.70%, due 09/15/30 | 229,683 | |
530,000 | Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due 10/15/27 144A | 495,018 | |
612,000 | Panther Escrow Issuer LLC, 7.13%, due 06/01/31(h) 144A | 622,716 | |
171,000 | Paramount Global, 4.20%, due 05/19/32(d) | 142,168 | |
352,000 | Paramount Global, 4.38%, due 03/15/43 | 239,180 | |
716,000 | Paramount Global, 4.95%, due 05/19/50 | 509,459 | |
267,000 | Parkland Corp., 4.50%, due 10/01/29 144A | 247,194 | |
301,000 | Parkland Corp., 4.63%, due 05/01/30 144A | 277,758 | |
415,000 | PECO Energy Co., 3.05%, due 03/15/51 | 284,418 | |
205,000 | PECO Energy Co., 3.70%, due 09/15/47 | 161,842 | |
32,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 20,427 | |
875,000 | Petroleos Mexicanos, 6.50%, due 03/13/27 | 824,786 | |
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 173,328 | |
290,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 193,076 | |
380,000 | Petroleos Mexicanos, 6.88%, due 08/04/26 | 369,088 | |
1,012,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 728,571 | |
293,000 | Petroleos Mexicanos, 8.75%, due 06/02/29 | 285,922 | |
1,997,276 | PG&E Wildfire Recovery Funding LLC, 3.59%, due 06/01/32 | 1,917,105 | |
1,612,339 | PG&E Wildfire Recovery Funding LLC, 4.02%, due 06/01/33 | 1,559,791 | |
827,000 | PG&E Wildfire Recovery Funding LLC, 4.26%, due 06/01/38 | 783,260 | |
2,169,000 | PG&E Wildfire Recovery Funding LLC, 4.72%, due 06/01/39 | 2,119,965 | |
1,700,000 | Philip Morris International, Inc., 5.25%, due 02/13/34 | 1,685,705 | |
797,000 | Phillips 66 Co., 3.61%, due 02/15/25 | 783,882 | |
145,000 | Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29 | 135,169 | |
434,000 | Pilgrim's Pride Corp., 6.25%, due 07/01/33 | 444,041 | |
960,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.55%, due 12/15/29 | 881,378 | |
877,000 | PNC Financial Services Group, Inc., 3.40% (5 yr. CMT + 2.60%)(b)(e) | 768,725 | |
1,980,000 | PNC Financial Services Group, Inc., 5.58% (SOFR + 1.84%), due 06/12/29(b) | 2,004,700 | |
3,032,000 | PNC Financial Services Group, Inc., 5.68% (SOFR + 1.90%), due 01/22/35(b) | 3,060,986 | |
546,000 | PNC Financial Services Group, Inc., 5.94% (SOFR + 1.95%), due 08/18/34(b) | 560,487 | |
420,000 | PNC Financial Services Group, Inc., 6.25% (7 yr. CMT + 2.81%)(b)(e) | 408,102 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
329,000 | PNC Financial Services Group, Inc., 8.64% (3 mo. USD Term SOFR + 3.30%)(b)(e) | 330,212 | |
499,000 | Popular, Inc., 7.25%, due 03/13/28 | 511,713 | |
71,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A | 65,285 | |
371,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 363,711 | |
130,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 121,797 | |
195,000 | Public Service Electric & Gas Co., 2.70%, due 05/01/50 | 128,047 | |
445,000 | Public Service Electric & Gas Co., 3.00%, due 05/15/27 | 420,868 | |
315,000 | Public Service Electric & Gas Co., 3.20%, due 05/15/29 | 292,796 | |
2,250,000 | Public Service Enterprise Group, Inc., 2.88%, due 06/15/24 | 2,235,894 | |
515,000 | Public Storage Operating Co., 2.25%, due 11/09/31 | 427,860 | |
275,000 | QatarEnergy, 2.25%, due 07/12/31 144A | 230,919 | |
372,000 | Qorvo, Inc., 3.38%, due 04/01/31 144A | 320,260 | |
1,701,000 | Realty Income Corp., 2.10%, due 03/15/28 | 1,523,406 | |
120,000 | Realty Income Corp., 2.85%, due 12/15/32 | 99,875 | |
350,000 | Realty Income Corp., 3.25%, due 01/15/31 | 312,463 | |
355,000 | Regal Rexnord Corp., 6.05%, due 02/15/26 144A | 357,021 | |
294,000 | Regal Rexnord Corp., 6.40%, due 04/15/33 144A | 305,209 | |
649,000 | Regeneron Pharmaceuticals, Inc., 1.75%, due 09/15/30 | 531,416 | |
450,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29 144A | 411,053 | |
325,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/06/31(d) 144A | 284,679 | |
400,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 8.45%, due 07/27/30 144A | 431,955 | |
405,000 | Roper Technologies, Inc., 1.40%, due 09/15/27 | 359,480 | |
114,000 | Royal Caribbean Cruises Ltd., 6.25%, due 03/15/32 144A | 114,980 | |
287,000 | Royalty Pharma PLC, 1.75%, due 09/02/27 | 256,386 | |
415,000 | RPM International, Inc., 2.95%, due 01/15/32 | 351,603 | |
2,311,000 | RTX Corp., 1.90%, due 09/01/31 | 1,863,856 | |
2,404,000 | Ryder System, Inc., 5.25%, due 06/01/28 | 2,416,230 | |
353,000 | Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 | 341,939 | |
916,000 | Sabine Pass Liquefaction LLC, 4.50%, due 05/15/30 | 881,287 | |
301,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 | 300,226 | |
290,000 | San Diego Gas & Electric Co., 4.15%, due 05/15/48 | 242,749 | |
200,000 | Sands China Ltd., 5.40%, due 08/08/28 | 196,268 | |
532,000 | Santander Holdings USA, Inc., 2.49% (SOFR + 1.25%), due 01/06/28(b) | 483,689 | |
1,218,000 | Santander Holdings USA, Inc., 3.24%, due 10/05/26 | 1,151,141 | |
782,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 760,330 | |
259,000 | Santander Holdings USA, Inc., 4.40%, due 07/13/27 | 251,323 | |
347,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 292,630 | |
200,000 | Sasol Financing USA LLC, 6.50%, due 09/27/28(d) | 191,805 | |
236,000 | SBA Tower Trust, 6.60%, due 01/15/28 144A | 242,091 | |
401,000 | SBL Holdings, Inc., 5.00%, due 02/18/31 144A | 339,181 | |
2,216,000 | Schlumberger Holdings Corp., 3.90%, due 05/17/28 144A | 2,136,964 | |
471,000 | Sempra, 5.50%, due 08/01/33 | 472,577 | |
185,000 | Sensata Technologies, Inc., 3.75%, due 02/15/31 144A | 160,213 | |
850,000 | Simon Property Group LP, 6.75%, due 02/01/40 | 951,064 | |
343,000 | Sirius XM Radio, Inc., 4.00%, due 07/15/28 144A | 314,029 | |
600,000 | Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A | 577,646 | |
200,000 | SMBC Aviation Capital Finance DAC, 2.30%, due 06/15/28 144A | 177,082 | |
1,130,000 | Societe Generale SA, 1.79% (1 yr. CMT + 1.00%), due 06/09/27(b) 144A | 1,035,431 | |
1,365,000 | Societe Generale SA, 2.80% (1 yr. CMT + 1.30%), due 01/19/28(b) 144A | 1,260,889 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
512,000 | Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(b)(e) 144A | 432,698 | |
324,000 | Societe Generale SA, 5.63% (1 yr. CMT + 1.75%), due 01/19/30(b)(d) 144A | 322,800 | |
311,000 | Societe Generale SA, 6.22% (1 yr. CMT + 3.20%), due 06/15/33(b)(d) 144A | 311,928 | |
810,000 | Societe Generale SA, 6.40% (SOFR + 1.05%), due 01/21/26(b) 144A | 811,179 | |
733,000 | Societe Generale SA, 6.45% (1 yr. CMT + 2.55%), due 01/10/29(b) 144A | 752,362 | |
466,000 | Solventum Corp., 5.40%, due 03/01/29 144A | 467,066 | |
894,000 | Solventum Corp., 5.45%, due 03/13/31 144A | 891,990 | |
200,000 | Sotheby's, 7.38%, due 10/15/27(d) 144A | 186,452 | |
570,000 | Southern California Edison Co., 3.45%, due 02/01/52 | 403,406 | |
335,000 | Southern California Edison Co., 4.00%, due 04/01/47 | 265,441 | |
1,718,000 | Southern Co., 3.25%, due 07/01/26 | 1,651,672 | |
1,941,000 | Southern Co., 4.85%, due 06/15/28 | 1,931,695 | |
478,000 | Southern Co., 5.70%, due 03/15/34 | 493,291 | |
755,000 | Southwest Airlines Co., 2.63%, due 02/10/30(d) | 657,372 | |
344,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 316,949 | |
555,000 | Sprint LLC, 7.13%, due 06/15/24 | 556,298 | |
183,000 | Standard Industries, Inc., 3.38%, due 01/15/31 144A | 153,636 | |
680,000 | Standard Industries, Inc., 4.38%, due 07/15/30 144A | 611,483 | |
25,000 | Standard Industries, Inc., 4.75%, due 01/15/28 144A | 23,879 | |
100,000 | Standard Industries, Inc., 5.00%, due 02/15/27 144A | 97,083 | |
244,000 | Star Parent, Inc., 9.00%, due 10/01/30(d) 144A | 258,532 | |
175,000 | Starwood Property Trust, Inc., 3.63%, due 07/15/26(d) 144A | 164,342 | |
84,000 | Starwood Property Trust, Inc., 7.25%, due 04/01/29 144A | 84,774 | |
200,000 | State Grid Overseas Investment BVI Ltd., 3.50%, due 05/04/27 144A | 192,616 | |
330,000 | State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(b)(d) | 296,480 | |
920,000 | Steel Dynamics, Inc., 3.45%, due 04/15/30 | 844,422 | |
3,545,000 | Stellantis Finance U.S., Inc., 1.71%, due 01/29/27 144A | 3,230,114 | |
114,000 | Summit Materials LLC/Summit Materials Finance Corp., 7.25%, due 01/15/31 144A | 118,576 | |
1,550,000 | Sun Communities Operating LP, 2.30%, due 11/01/28 | 1,355,284 | |
419,000 | Sunoco LP/Sunoco Finance Corp., 4.50%, due 04/30/30 | 384,060 | |
375,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 356,529 | |
48,000 | Talos Production, Inc., 9.00%, due 02/01/29 144A | 51,011 | |
60,000 | Talos Production, Inc., 9.38%, due 02/01/31 144A | 64,010 | |
295,000 | Tapestry, Inc., 7.70%, due 11/27/30 | 314,821 | |
236,000 | Tapestry, Inc., 7.85%, due 11/27/33 | 256,336 | |
654,000 | Targa Resources Corp., 4.95%, due 04/15/52 | 573,546 | |
1,873,000 | Targa Resources Corp., 6.15%, due 03/01/29 | 1,952,644 | |
543,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.00%, due 01/15/32 | 489,178 | |
140,000 | Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A | 133,835 | |
210,000 | Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A | 209,929 | |
622,000 | Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A | 516,216 | |
38,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 43,246 | |
1,125,000 | Teledyne Technologies, Inc., 2.75%, due 04/01/31 | 964,114 | |
213,000 | Telesat Canada/Telesat LLC, 5.63%, due 12/06/26 144A | 106,687 | |
70,000 | Tenet Healthcare Corp., 4.38%, due 01/15/30 | 64,757 | |
310,000 | Thermo Fisher Scientific, Inc., 4.98%, due 08/10/30 | 312,389 | |
3,178,000 | T-Mobile USA, Inc., 3.38%, due 04/15/29 | 2,941,670 | |
1,831,000 | T-Mobile USA, Inc., 3.88%, due 04/15/30 | 1,715,788 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,065,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50(d) | 923,805 | |
1,925,000 | Toronto-Dominion Bank, 1.95%, due 01/12/27(d) | 1,779,892 | |
411,000 | Total Play Telecomunicaciones SA de CV, 6.38%, due 09/20/28 144A | 202,162 | |
140,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50 | 110,821 | |
500,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48 | 443,073 | |
320,000 | TransDigm, Inc., 5.50%, due 11/15/27 | 313,454 | |
199,000 | Travel & Leisure Co., 4.63%, due 03/01/30 144A | 181,823 | |
175,000 | TriNet Group, Inc., 3.50%, due 03/01/29 144A | 157,110 | |
686,000 | Truist Financial Corp., 5.44% (SOFR + 1.62%), due 01/24/30(b) | 685,392 | |
3,100,000 | Truist Financial Corp., 5.71% (SOFR + 1.92%), due 01/24/35(b) | 3,114,833 | |
806,000 | Truist Financial Corp., 5.87% (SOFR + 2.36%), due 06/08/34(b) | 816,181 | |
800,000 | Truist Financial Corp., 7.16% (SOFR + 2.45%), due 10/30/29(b) | 853,394 | |
527,000 | Trust Fibra Uno, 7.38%, due 02/13/34 144A | 526,516 | |
978,547 | U.S. Airways Pass-Through Trust, 4.63%, due 12/03/26 | 962,913 | |
419,000 | U.S. Bancorp, 5.38% (SOFR + 1.56%), due 01/23/30(b) | 420,959 | |
2,743,000 | U.S. Bancorp, 5.68% (SOFR + 1.86%), due 01/23/35(b) | 2,770,846 | |
889,000 | U.S. Bancorp, 5.84% (SOFR + 2.26%), due 06/12/34(b)(d) | 906,456 | |
588,000 | U.S. Bancorp, 6.79% (SOFR + 1.88%), due 10/26/27(b) | 609,046 | |
705,000 | Uber Technologies, Inc., 4.50%, due 08/15/29(d) 144A | 670,238 | |
765,000 | UBS Group AG, 1.49% (1 yr. CMT + 0.85%), due 08/10/27(b) 144A | 695,844 | |
375,000 | UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(b) 144A | 300,594 | |
2,497,000 | UBS Group AG, 4.13%, due 04/15/26 144A | 2,431,532 | |
453,000 | UBS Group AG, 5.43% (1 yr. CMT + 1.52%), due 02/08/30(b) 144A | 453,815 | |
364,000 | UBS Group AG, 6.30% (1 yr. CMT + 2.00%), due 09/22/34(b) 144A | 381,235 | |
281,000 | UBS Group AG, 9.25% (5 yr. CMT + 4.75%)(b)(e) 144A | 305,159 | |
209,000 | UBS Group AG, 9.25% (5 yr. CMT + 4.76%)(b)(e) 144A | 236,387 | |
465,173 | United Airlines Pass-Through Trust, 3.45%, due 01/07/30 | 422,749 | |
372,847 | United Airlines Pass-Through Trust, 3.65%, due 07/07/27 | 355,035 | |
590,892 | United Airlines Pass-Through Trust, 3.75%, due 03/03/28 | 572,963 | |
1,899,983 | United Airlines Pass-Through Trust, 4.00%, due 10/11/27 | 1,842,246 | |
436,333 | United Airlines Pass-Through Trust, 4.55%, due 02/25/33 | 401,802 | |
200,790 | United Airlines Pass-Through Trust, 4.60%, due 09/01/27 | 193,903 | |
261,876 | United Airlines Pass-Through Trust, 4.88%, due 07/15/27 | 257,834 | |
565,000 | United Airlines Pass-Through Trust, 5.80%, due 07/15/37 | 576,666 | |
1,135,050 | United Airlines Pass-Through Trust, 5.88%, due 04/15/29 | 1,132,462 | |
622,000 | United Airlines, Inc., 4.38%, due 04/15/26(d) 144A | 601,731 | |
243,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 226,261 | |
175,000 | United Rentals North America, Inc., 3.75%, due 01/15/32 | 152,954 | |
321,000 | United Rentals North America, Inc., 3.88%, due 11/15/27 | 304,196 | |
167,000 | United Rentals North America, Inc., 3.88%, due 02/15/31(d) | 149,796 | |
575,000 | United Rentals North America, Inc., 4.88%, due 01/15/28(d) | 560,021 | |
465,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 453,937 | |
885,000 | UnitedHealth Group, Inc., 3.05%, due 05/15/41 | 670,408 | |
155,000 | UnitedHealth Group, Inc., 3.25%, due 05/15/51 | 111,540 | |
535,000 | UnitedHealth Group, Inc., 4.75%, due 05/15/52(d) | 496,575 | |
538,000 | UnitedHealth Group, Inc., 5.05%, due 04/15/53 | 522,906 | |
495,000 | Universal Health Services, Inc., 2.65%, due 10/15/30 | 420,012 | |
120,000 | University of Chicago, 2.76%, due 04/01/45 | 93,948 | |
350,000 | University of Southern California, 2.95%, due 10/01/51 | 249,074 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
384,000 | Valvoline, Inc., 3.63%, due 06/15/31 144A | 331,346 | |
1,360,000 | Var Energi ASA, 7.50%, due 01/15/28 144A | 1,440,670 | |
1,021,000 | Var Energi ASA, 8.00%, due 11/15/32 144A | 1,147,570 | |
225,000 | Varex Imaging Corp., 7.88%, due 10/15/27 144A | 228,637 | |
705,000 | Vector Group Ltd., 5.75%, due 02/01/29 144A | 653,866 | |
203,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A | 182,915 | |
313,000 | Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A | 278,556 | |
495,000 | Venture Global LNG, Inc., 9.50%, due 02/01/29 144A | 533,852 | |
306,000 | VeriSign, Inc., 2.70%, due 06/15/31 | 256,421 | |
878,000 | Verisk Analytics, Inc., 3.63%, due 05/15/50 | 654,031 | |
145,000 | Verizon Communications, Inc., 1.68%, due 10/30/30 | 118,188 | |
873,000 | Verizon Communications, Inc., 2.55%, due 03/21/31 | 746,054 | |
578,000 | Verizon Communications, Inc., 2.88%, due 11/20/50 | 377,841 | |
1,624,000 | Verizon Communications, Inc., 3.55%, due 03/22/51(d) | 1,206,527 | |
867,000 | Viatris, Inc., 2.70%, due 06/22/30 | 735,518 | |
515,000 | Viatris, Inc., 3.85%, due 06/22/40 | 380,681 | |
1,788,000 | Viatris, Inc., 4.00%, due 06/22/50(d) | 1,232,925 | |
257,000 | VICI Properties LP, 5.13%, due 05/15/32 | 246,074 | |
268,000 | VICI Properties LP/VICI Note Co., Inc., 3.88%, due 02/15/29 144A | 246,884 | |
289,000 | VICI Properties LP/VICI Note Co., Inc., 4.13%, due 08/15/30 144A | 262,970 | |
559,000 | VICI Properties LP/VICI Note Co., Inc., 4.63%, due 12/01/29 144A | 529,009 | |
3,016,000 | Virginia Power Fuel Securitization LLC, 4.88%, due 05/01/33 | 3,005,670 | |
161,000 | Vistra Corp., 8.00% (5 yr. CMT + 6.93%)(b)(e) 144A | 164,911 | |
460,000 | Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A | 456,736 | |
997,000 | Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A | 947,782 | |
955,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 896,517 | |
370,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 358,580 | |
537,000 | Vistra Operations Co. LLC, 6.95%, due 10/15/33 144A | 573,670 | |
163,000 | Vital Energy, Inc., 7.88%, due 04/15/32 144A | 165,714 | |
326,000 | Vodafone Group PLC, 5.63%, due 02/10/53(d) | 324,220 | |
437,000 | Vodafone Group PLC, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(b) | 451,443 | |
340,000 | WakeMed, 3.29%, due 10/01/52 | 244,549 | |
459,000 | Warnermedia Holdings, Inc., 4.28%, due 03/15/32 | 410,229 | |
576,000 | Warnermedia Holdings, Inc., 5.05%, due 03/15/42 | 495,344 | |
2,540,000 | Warnermedia Holdings, Inc., 5.14%, due 03/15/52 | 2,109,839 | |
1,486,000 | Wells Fargo & Co., 2.39% (SOFR + 2.10%), due 06/02/28(b) | 1,360,544 | |
1,871,000 | Wells Fargo & Co., 2.57% (3 mo. USD Term SOFR + 1.26%), due 02/11/31(b) | 1,613,329 | |
1,182,000 | Wells Fargo & Co., 2.88% (3 mo. USD Term SOFR + 1.43%), due 10/30/30(b) | 1,045,267 | |
1,442,000 | Wells Fargo & Co., 3.35% (SOFR + 1.50%), due 03/02/33(b) | 1,251,597 | |
3,670,000 | Wells Fargo & Co., 4.81% (SOFR + 1.98%), due 07/25/28(b) | 3,617,222 | |
895,000 | Wells Fargo & Co., 5.20% (SOFR + 1.50%), due 01/23/30(b) | 893,373 | |
1,406,000 | Wells Fargo & Co., 5.88%(d)(e)(i) | 1,406,422 | |
509,000 | Western Midstream Operating LP, 4.05%, due 02/01/30 | 475,229 | |
345,000 | Westinghouse Air Brake Technologies Corp., 5.61%, due 03/11/34 | 349,592 | |
350,000 | William Carter Co., 5.63%, due 03/15/27 144A | 347,861 | |
195,000 | Williams Cos., Inc., 3.75%, due 06/15/27 | 187,716 | |
246,000 | Williams Cos., Inc., 4.65%, due 08/15/32 | 237,207 | |
530,000 | Williams Cos., Inc., 5.40%, due 03/02/26 | 531,615 | |
224,000 | WMG Acquisition Corp., 3.88%, due 07/15/30 144A | 198,610 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
300,000 | Wolverine World Wide, Inc., 4.00%, due 08/15/29(d) 144A | 241,045 | |
665,000 | WP Carey, Inc., 2.25%, due 04/01/33 | 515,390 | |
50,000 | XPO, Inc., 7.13%, due 06/01/31(d) 144A | 51,337 | |
610,000 | Yale University, 2.40%, due 04/15/50(d) | 395,590 | |
1,070,000 | Yamana Gold, Inc., 2.63%, due 08/15/31(d) | 892,705 | |
1,220,000 | Yara International ASA, 4.75%, due 06/01/28 144A | 1,187,123 | |
335,000 | Zayo Group Holdings, Inc., 4.00%, due 03/01/27(d) 144A | 276,049 | |
603,018,707 | |||
Mortgage Backed Securities - Private Issuers — 7.6% | |||
109,062 | Angel Oak Mortgage Trust, Series 2020-R1, Class A1, 0.99%, due 04/25/53(i) 144A | 100,303 | |
219,055 | Angel Oak Mortgage Trust, Series 2021-2, Class A1, 0.99%, due 04/25/66(i) 144A | 182,023 | |
422,264 | Angel Oak Mortgage Trust, Series 2021-4, Class A1, 1.04%, due 01/20/65(i) 144A | 344,620 | |
409,019 | Angel Oak Mortgage Trust, Series 2021-5, Class A1, 0.95%, due 07/25/66(i) 144A | 345,115 | |
409,293 | Angel Oak Mortgage Trust, Series 2024-3, Class A1, 4.80%, due 11/26/68(c) 144A | 396,747 | |
1,800,000 | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due 05/15/53 144A | 1,580,157 | |
2,500,000 | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A4, 2.25%, due 06/15/54 144A | 2,110,294 | |
233,907 | Arroyo Mortgage Trust, Series 2021-1R, Class A1, 1.18%, due 10/25/48(i) 144A | 203,192 | |
217,000 | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.72%, due 11/05/32(i) 144A | 77,044 | |
3,110,000 | Bank, Series 2017-BNK5, Class A4, 3.13%, due 06/15/60 | 2,932,289 | |
984,917 | Bank, Series 2019-BN20, Class A2, 2.76%, due 09/15/62 | 867,901 | |
2,050,000 | Bank, Series 2019-BN23, Class A2, 2.67%, due 12/15/52 | 1,819,628 | |
1,806,000 | Bank, Series 2020-BN26, Class A2, 2.04%, due 03/15/63 | 1,594,227 | |
1,800,000 | Bank, Series 2020-BN26, Class A3, 2.16%, due 03/15/63 | 1,539,695 | |
3,000,000 | Bank, Series 2021-BN32, Class A4, 2.35%, due 04/15/54 | 2,569,767 | |
2,300,000 | Bank, Series 2021-BN34, Class A4, 2.16%, due 06/15/63 | 1,863,437 | |
6,900,000 | Bank5, Series 2023-5YR2, Class A3, 6.66%, due 07/15/56(i) | 7,285,219 | |
3,000,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 6.25% (1 mo. USD Term SOFR + 0.92%), due 03/15/37(b) 144A | 2,883,589 | |
78,079 | BBCMS Mortgage Trust, Series 2019-C5, Class A2, 3.04%, due 11/15/52 | 76,322 | |
60,000 | BBCMS Mortgage Trust, Series 2020-C6, Class A2, 2.69%, due 02/15/53 | 56,706 | |
2,000,000 | BBCMS Mortgage Trust, Series 2022-C14, Class A4, 2.69%, due 02/15/55 | 1,705,940 | |
1,300,000 | BBCMS Mortgage Trust, Series 2023-C21, Class A2, 6.30%, due 09/15/56(i) | 1,345,426 | |
122,108 | Benchmark Mortgage Trust, Series 2019-B12, Class A2, 3.00%, due 08/15/52 | 115,209 | |
118,787 | Benchmark Mortgage Trust, Series 2019-B13, Class A2, 2.89%, due 08/15/57 | 110,327 | |
1,350,000 | Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72 | 1,177,040 | |
600,000 | Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53 | 498,728 | |
1,200,000 | Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53 | 1,131,848 | |
1,742,396 | Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A | 1,680,899 | |
3,039,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54 | 2,811,545 | |
1,700,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54 | 1,365,954 | |
900,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54 | 795,415 | |
1,750,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54 | 1,462,771 | |
1,250,000 | Benchmark Mortgage Trust, Series 2021-B28, Class ASB, 1.98%, due 08/15/54 | 1,094,706 | |
1,800,000 | Benchmark Mortgage Trust, Series 2021-B31, Class A4, 2.42%, due 12/15/54 | 1,508,032 | |
1,800,000 | Benchmark Mortgage Trust, Series 2022-B33, Class A5, 3.46%, due 03/15/55 | 1,606,047 | |
3,000,000 | Benchmark Mortgage Trust, Series 2023-B39, Class A2, 6.57%, due 07/15/56(i) | 3,102,083 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
1,200,000 | Benchmark Mortgage Trust, Series 2023-B40, Class A2, 6.93%, due 12/15/56 | 1,273,190 | |
2,265,000 | Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.81%, due 05/15/55(i) | 2,317,567 | |
2,700,000 | BMO Mortgage Trust, Series 2023-5C1, Class A3, 6.53%, due 08/15/56(i) | 2,837,851 | |
3,100,000 | BMO Mortgage Trust, Series 2023-5C2, Class A3, 7.05%, due 11/15/56(i) | 3,353,431 | |
205,561 | BRAVO Residential Funding Trust, Series 2021-NQM1, Class A1, 0.94%, due 02/25/49(i) 144A | 182,584 | |
1,425,480 | BRAVO Residential Funding Trust, Series 2023-RPL1, Class A1, 5.00%, due 05/25/63(i) 144A | 1,403,751 | |
1,516,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, 6.14% (1 mo. USD Term SOFR + 0.81%), due 09/15/36(b) 144A | 1,505,729 | |
2,438,000 | BX Trust, Series 2022-CLS, Class A, 5.76%, due 10/13/27 144A | 2,448,419 | |
1,200,000 | CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57 | 1,065,575 | |
971,890 | CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(i) 144A | 945,061 | |
547,281 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58 | 524,879 | |
2,307,919 | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49 | 2,193,333 | |
233,000 | CFK Trust, Series 2020-MF2, Class A, 2.39%, due 03/15/39 144A | 206,423 | |
27,500,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class XB, 0.41%, due 05/10/47(i) | 1,331 | |
330,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72 | 293,403 | |
380,000 | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A, 5.82%, due 10/12/40(i) 144A | 386,932 | |
314,863 | COLT Mortgage Loan Trust, Series 2021-2, Class A1, 0.92%, due 08/25/66(i) 144A | 254,923 | |
455,592 | COLT Mortgage Loan Trust, Series 2021-3, Class A1, 0.96%, due 09/27/66(i) 144A | 367,683 | |
318,505 | COLT Mortgage Loan Trust, Series 2021-HX1, Class A1, 1.11%, due 10/25/66(i) 144A | 264,944 | |
686,809 | COLT Trust, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(i) 144A | 572,941 | |
295,000 | COMM Mortgage Trust, Series 2013-300P, Class D, 4.39%, due 08/10/30(i) 144A | 242,512 | |
3,500,000 | COMM Mortgage Trust, Series 2015-CR22, Class A5, 3.31%, due 03/10/48 | 3,417,105 | |
786,835 | COMM Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 768,561 | |
862,000 | COMM Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48 | 835,647 | |
190,000 | COMM Mortgage Trust, Series 2017-PANW, Class A, 3.24%, due 10/10/29 144A | 175,740 | |
303,000 | COMM Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A | 292,603 | |
362,000 | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A1, 5.25%, due 02/25/49 144A | 359,256 | |
993,500 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50 | 923,410 | |
1,335,000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50 | 1,252,799 | |
1,050,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52 | 919,360 | |
1,799,610 | CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54 | 1,529,649 | |
202,553 | CSMC Trust, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(i) 144A | 191,844 | |
280,588 | CSMC Trust, Series 2020-NET, Class A, 2.26%, due 08/15/37 144A | 260,994 | |
665,596 | CSMC Trust, Series 2020-RPL6, Class A1, 3.40%, due 03/25/59(i) 144A | 661,194 | |
253,079 | CSMC Trust, Series 2021-NQM2, Class A1, 1.18%, due 02/25/66(i) 144A | 220,013 | |
225,110 | CSMC Trust, Series 2021-NQM3, Class A1, 1.02%, due 04/25/66(i) 144A | 183,995 | |
156,137 | CSMC Trust, Series 2021-NQM5, Class A1, 0.94%, due 05/25/66(i) 144A | 126,010 | |
525,434 | CSMC Trust, Series 2021-NQM6, Class A1, 1.17%, due 07/25/66(i) 144A | 430,118 | |
296,112 | Ellington Financial Mortgage Trust, Series 2021-1, Class A1, 0.80%, due 02/25/66(i) 144A | 249,611 | |
140,413 | Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, due 06/25/66(i) 144A | 113,423 | |
452,737 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA1, Class M1A, 6.32% (SOFR 30-day average + 1.00%), due 01/25/42(b) 144A | 452,855 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
390,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2, Class M1B, 7.72% (SOFR 30-day average + 2.40%), due 02/25/42(b) 144A | 397,619 | |
380,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA3, Class M1B, 8.22% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A | 393,452 | |
502,214 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R02, Class 1M1, 7.62% (SOFR 30-day average + 2.30%), due 01/25/43(b) 144A | 514,468 | |
249,076 | Flagstar Mortgage Trust, Series 2020-2, Class A2, 3.00%, due 08/25/50(i) 144A | 211,782 | |
591,004 | Flagstar Mortgage Trust, Series 2021-1, Class A2, 2.50%, due 02/01/51(i) 144A | 476,350 | |
218,063 | GCAT Trust, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(i) 144A | 183,757 | |
191,961 | GCAT Trust, Series 2021-NQM2, Class A1, 1.04%, due 05/25/66(i) 144A | 158,587 | |
300,854 | GCAT Trust, Series 2021-NQM3, Class A1, 1.09%, due 05/25/66(i) 144A | 250,836 | |
337,776 | GCAT Trust, Series 2023-NQM2, Class A1, 5.84%, due 11/25/67(c) 144A | 335,779 | |
172,000 | GS Mortgage Securities Corp. Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37 144A | 164,164 | |
823,511 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 817,134 | |
2,636,551 | GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50 | 2,570,322 | |
1,600,000 | GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53 | 1,357,290 | |
1,143,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53 | 1,028,123 | |
1,900,000 | GS Mortgage Securities Trust, Series 2021-GSA3, Class A4, 2.37%, due 12/15/54 | 1,570,839 | |
131,795 | GS Mortgage-Backed Securities Corp. Trust, Series 2021-NQM1, Class A1, 1.02%, due 07/25/61(i) 144A | 112,721 | |
47,398 | GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class A1, 1.38%, due 09/27/60(i) 144A | 43,591 | |
189,004 | Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A1, 1.07%, due 06/25/56(i) 144A | 162,348 | |
321,831 | Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1, 5.94%, due 02/25/68(c) 144A | 319,182 | |
664,659 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3, 2.56%, due 08/15/49 | 631,362 | |
357,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX, 2.81%, due 01/16/37 144A | 306,441 | |
2,038,110 | JP Morgan Mortgage Trust, Series 2023-4, Class 1A4A, 5.50%, due 11/25/53(i) 144A | 2,011,929 | |
779,049 | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3, 3.11%, due 07/15/50 | 742,602 | |
675,977 | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%, due 06/13/52 | 673,700 | |
677,282 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49 | 647,403 | |
1,137,148 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due 03/15/50 | 1,071,065 | |
1,292,230 | Legacy Mortgage Asset Trust, Series 2019-PR1, Class A1, 7.86%, due 09/25/59(c) 144A | 1,292,100 | |
650,142 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 6.88%, due 10/25/59(c) 144A | 650,651 | |
70,087 | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1, 4.89%, due 10/25/66(c) 144A | 69,245 | |
128,439 | MFA Trust, Series 2021-NQM1, Class A1, 1.15%, due 04/25/65(i) 144A | 117,298 | |
800,000 | Mill City Mortgage Trust, Series 2015-1, Class M3, 3.82%, due 06/25/56(i) 144A | 780,754 | |
1,737,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.31%, due 04/15/48 | 1,693,743 | |
800,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, 3.73%, due 05/15/48 | 777,320 | |
2,077,982 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A4, 2.60%, due 09/15/49 | 1,972,849 | |
1,562,383 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,470,071 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
2,000,000 | Morgan Stanley Capital I Trust, Series 2018-L1, Class A3, 4.14%, due 10/15/51 | 1,914,298 | |
2,600,000 | Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52 | 2,376,083 | |
980,000 | Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53 | 822,460 | |
195,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.32%, due 01/15/43(i) 144A | 162,272 | |
128,484 | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 6.19% (1 mo. USD Term SOFR + 0.86%), due 01/25/48(b) 144A | 124,896 | |
192,647 | NYMT Loan Trust, Series 2022-CP1, Class A1, 2.04%, due 07/25/61 144A | 175,580 | |
124,766 | OBX Trust, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(i) 144A | 102,332 | |
277,981 | OBX Trust, Series 2021-NQM2, Class A1, 1.10%, due 05/25/61(i) 144A | 222,335 | |
460,905 | OBX Trust, Series 2021-NQM3, Class A1, 1.05%, due 07/25/61(i) 144A | 359,799 | |
412,401 | Provident Funding Mortgage Trust, Series 2020-F1, Class A2, 2.00%, due 01/25/36(i) 144A | 355,526 | |
939,360 | Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.50%, due 11/25/57 | 888,144 | |
342,283 | Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, due 08/25/57(i) | 324,208 | |
1,403,454 | Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA, 3.50%, due 03/25/58 | 1,316,805 | |
577,519 | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50%, due 07/25/58 | 542,965 | |
827,813 | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50%, due 08/25/58 | 774,382 | |
835,614 | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA, 3.00%, due 02/25/59 | 759,730 | |
741,575 | Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MA, 2.50%, due 08/25/59 | 667,049 | |
1,961,761 | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU, 3.25%, due 11/25/61 | 1,758,172 | |
219,328 | Sequoia Mortgage Trust, Series 2020-3, Class A4, 3.00%, due 04/25/50(i) 144A | 211,023 | |
510,000 | SLG Office Trust, Series 2021-OVA, Class D, 2.85%, due 07/15/41 144A | 401,058 | |
486,292 | Starwood Mortgage Residential Trust, Series 2022-1, Class A1, 2.45%, due 12/25/66(i) 144A | 418,452 | |
248,987 | Towd Point Mortgage Trust, Series 2018-4, Class A1, 3.00%, due 06/25/58(i) 144A | 231,358 | |
259,481 | Towd Point Mortgage Trust, Series 2019-1, Class A1, 3.75%, due 03/25/58(i) 144A | 247,392 | |
211,605 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.90%, due 10/25/59(i) 144A | 198,032 | |
90,604 | Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 6.44% (1 mo. USD Term SOFR + 1.11%), due 10/25/59(b) 144A | 91,347 | |
309,567 | Towd Point Mortgage Trust, Series 2020-4, Class A1, 1.75%, due 10/25/60 144A | 273,270 | |
500,000 | Towd Point Mortgage Trust, Series 2021-SJ2, Class A1B, 2.25%, due 12/25/61(i) 144A | 433,611 | |
433,480 | UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50 | 419,146 | |
81,859 | Verus Securitization Trust, Series 2020-5, Class A1, 1.22%, due 05/25/65(c) 144A | 77,014 | |
317,547 | Verus Securitization Trust, Series 2021-3, Class A1, 1.05%, due 06/25/66(i) 144A | 264,742 | |
196,007 | Verus Securitization Trust, Series 2021-4, Class A1, 0.94%, due 07/25/66(i) 144A | 155,737 | |
456,071 | Verus Securitization Trust, Series 2021-5, Class A1, 1.01%, due 09/25/66(i) 144A | 380,766 | |
127,283 | Verus Securitization Trust, Series 2021-R1, Class A1, 0.82%, due 10/25/63(i) 144A | 115,635 | |
6,374 | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A7, 5.69%, due 09/25/33(i) | 5,884 | |
1,490,923 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,396,562 | |
3,100,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49 | 2,947,124 | |
872,795 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due 07/15/50 | 826,059 | |
1,590,090 | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due 03/15/50 | 1,488,672 | |
1,605,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due 06/15/53 | 1,517,676 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
1,900,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A3, 1.96%, due 04/15/54 | 1,678,628 | |
800,000 | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class ASB, 2.13%, due 08/15/54 | 714,421 | |
1,466,000 | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.92%, due 10/15/57 | 1,441,944 | |
141,906,360 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 27.1% | |||
176,071 | Federal Home Loan Mortgage Corp., Pool # A89870, 4.50%, due 11/01/39 | 172,961 | |
118,738 | Federal Home Loan Mortgage Corp., Pool # A96970, 4.00%, due 02/01/41 | 112,059 | |
223,687 | Federal Home Loan Mortgage Corp., Pool # C91908, 3.00%, due 01/01/37 | 206,031 | |
172,566 | Federal Home Loan Mortgage Corp., Pool # G06231, 4.00%, due 12/01/40 | 163,780 | |
110,322 | Federal Home Loan Mortgage Corp., Pool # G06409, 6.00%, due 11/01/39 | 114,459 | |
56,019 | Federal Home Loan Mortgage Corp., Pool # G06875, 5.50%, due 12/01/38 | 57,275 | |
201,285 | Federal Home Loan Mortgage Corp., Pool # G07021, 5.00%, due 09/01/39 | 202,678 | |
381,836 | Federal Home Loan Mortgage Corp., Pool # G07816, 4.50%, due 09/01/42 | 375,093 | |
267,610 | Federal Home Loan Mortgage Corp., Pool # G08537, 3.00%, due 07/01/43 | 239,350 | |
161,116 | Federal Home Loan Mortgage Corp., Pool # G08672, 4.00%, due 10/01/45 | 152,853 | |
541,700 | Federal Home Loan Mortgage Corp., Pool # G08721, 3.00%, due 09/01/46 | 477,643 | |
249,698 | Federal Home Loan Mortgage Corp., Pool # G08726, 3.00%, due 10/01/46 | 220,067 | |
41,775 | Federal Home Loan Mortgage Corp., Pool # G08735, 4.50%, due 10/01/46 | 40,770 | |
21,231 | Federal Home Loan Mortgage Corp., Pool # G08748, 3.50%, due 02/01/47 | 19,390 | |
304,337 | Federal Home Loan Mortgage Corp., Pool # G08749, 4.00%, due 02/01/47 | 288,441 | |
161,022 | Federal Home Loan Mortgage Corp., Pool # G08771, 4.00%, due 07/01/47 | 152,561 | |
146,192 | Federal Home Loan Mortgage Corp., Pool # G08786, 4.50%, due 10/01/47 | 142,295 | |
78,999 | Federal Home Loan Mortgage Corp., Pool # G16177, 2.00%, due 01/01/32 | 72,736 | |
507,029 | Federal Home Loan Mortgage Corp., Pool # G16634, 3.00%, due 10/01/31 | 483,698 | |
46,503 | Federal Home Loan Mortgage Corp., Pool # G60359, 3.00%, due 12/01/45 | 41,320 | |
210,920 | Federal Home Loan Mortgage Corp., Pool # G60581, 3.50%, due 05/01/46 | 192,641 | |
862,848 | Federal Home Loan Mortgage Corp., Pool # G60722, 3.00%, due 10/01/46 | 761,596 | |
315,174 | Federal Home Loan Mortgage Corp., Pool # G60767, 3.50%, due 10/01/46 | 285,812 | |
136,649 | Federal Home Loan Mortgage Corp., Pool # G60788, 3.50%, due 12/01/46 | 125,169 | |
544,722 | Federal Home Loan Mortgage Corp., Pool # G60804, 4.50%, due 05/01/42 | 533,178 | |
733,469 | Federal Home Loan Mortgage Corp., Pool # G60934, 3.50%, due 06/01/45 | 675,541 | |
892,677 | Federal Home Loan Mortgage Corp., Pool # G60985, 3.00%, due 05/01/47 | 789,337 | |
96,321 | Federal Home Loan Mortgage Corp., Pool # G60989, 3.00%, due 12/01/46 | 84,945 | |
66,501 | Federal Home Loan Mortgage Corp., Pool # G61022, 3.00%, due 04/01/45 | 59,448 | |
79,232 | Federal Home Loan Mortgage Corp., Pool # G61581, 4.00%, due 08/01/48 | 74,888 | |
491,880 | Federal Home Loan Mortgage Corp., Pool # G61748, 3.50%, due 11/01/48 | 450,515 | |
242,407 | Federal Home Loan Mortgage Corp., Pool # G61995, 4.00%, due 11/01/44 | 230,059 | |
59,801 | Federal Home Loan Mortgage Corp., Pool # G67700, 3.50%, due 08/01/46 | 54,828 | |
261,738 | Federal Home Loan Mortgage Corp., Pool # G67701, 3.00%, due 10/01/46 | 231,601 | |
161,621 | Federal Home Loan Mortgage Corp., Pool # G67703, 3.50%, due 04/01/47 | 148,108 | |
23,281 | Federal Home Loan Mortgage Corp., Pool # G67708, 3.50%, due 03/01/48 | 21,306 | |
122,207 | Federal Home Loan Mortgage Corp., Pool # J24414, 2.50%, due 06/01/28 | 117,053 | |
186,433 | Federal Home Loan Mortgage Corp., Pool # J34888, 2.50%, due 07/01/31 | 174,834 | |
488,001 | Federal Home Loan Mortgage Corp., Pool # Q09224, 4.00%, due 07/01/42 | 467,307 | |
70,725 | Federal Home Loan Mortgage Corp., Pool # Q11218, 3.50%, due 09/01/42 | 65,177 | |
154,343 | Federal Home Loan Mortgage Corp., Pool # Q12052, 3.50%, due 10/01/42 | 142,218 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
444,987 | Federal Home Loan Mortgage Corp., Pool # Q12862, 3.50%, due 11/01/42 | 411,428 | |
171,901 | Federal Home Loan Mortgage Corp., Pool # Q17792, 3.50%, due 05/01/43 | 158,215 | |
400,643 | Federal Home Loan Mortgage Corp., Pool # Q36815, 4.00%, due 10/01/45 | 378,983 | |
44,486 | Federal Home Loan Mortgage Corp., Pool # Q37986, 3.50%, due 12/01/45 | 40,757 | |
310,237 | Federal Home Loan Mortgage Corp., Pool # Q41918, 3.50%, due 07/01/46 | 284,386 | |
376,503 | Federal Home Loan Mortgage Corp., Pool # Q42618, 3.00%, due 08/01/46 | 331,901 | |
57,398 | Federal Home Loan Mortgage Corp., Pool # Q44399, 3.50%, due 11/01/46 | 52,423 | |
165,502 | Federal Home Loan Mortgage Corp., Pool # Q44963, 3.50%, due 12/01/46 | 151,157 | |
533,265 | Federal Home Loan Mortgage Corp., Pool # Q45741, 3.50%, due 01/01/47 | 488,570 | |
27,406 | Federal Home Loan Mortgage Corp., Pool # Q46015, 3.50%, due 02/01/47 | 25,102 | |
12,963 | Federal Home Loan Mortgage Corp., Pool # Q47384, 4.00%, due 04/01/47 | 12,295 | |
51,075 | Federal Home Loan Mortgage Corp., Pool # Q48463, 4.00%, due 06/01/47 | 48,475 | |
43,958 | Federal Home Loan Mortgage Corp., Pool # Q49494, 4.50%, due 07/01/47 | 42,800 | |
170,011 | Federal Home Loan Mortgage Corp., Pool # Q52312, 4.00%, due 11/01/47 | 160,797 | |
132,344 | Federal Home Loan Mortgage Corp., Pool # Q54957, 4.00%, due 03/01/48 | 125,117 | |
1,205,796 | Federal Home Loan Mortgage Corp., Pool # QA6367, 3.00%, due 01/01/50 | 1,054,031 | |
744,962 | Federal Home Loan Mortgage Corp., Pool # QA7234, 3.00%, due 02/01/50 | 648,867 | |
530,140 | Federal Home Loan Mortgage Corp., Pool # QA8518, 3.00%, due 04/01/50 | 461,755 | |
194,842 | Federal Home Loan Mortgage Corp., Pool # QB0220, 3.00%, due 06/01/50 | 169,485 | |
1,327,602 | Federal Home Loan Mortgage Corp., Pool # QB3535, 2.00%, due 09/01/50 | 1,059,224 | |
705,477 | Federal Home Loan Mortgage Corp., Pool # QB4847, 2.50%, due 10/01/50 | 584,484 | |
729,267 | Federal Home Loan Mortgage Corp., Pool # QB6476, 2.50%, due 12/01/50 | 616,623 | |
259,031 | Federal Home Loan Mortgage Corp., Pool # QC0039, 2.50%, due 03/01/51 | 218,399 | |
1,344,994 | Federal Home Loan Mortgage Corp., Pool # QC4339, 2.00%, due 07/01/51 | 1,087,339 | |
832,507 | Federal Home Loan Mortgage Corp., Pool # QC5189, 2.50%, due 08/01/51 | 691,106 | |
414,829 | Federal Home Loan Mortgage Corp., Pool # QC6357, 2.50%, due 09/01/51 | 345,331 | |
461,239 | Federal Home Loan Mortgage Corp., Pool # QD6056, 3.00%, due 02/01/52 | 401,693 | |
1,150,992 | Federal Home Loan Mortgage Corp., Pool # QD6057, 3.00%, due 02/01/52 | 998,156 | |
125,881 | Federal Home Loan Mortgage Corp., Pool # QD9911, 2.50%, due 04/01/52 | 104,269 | |
843,215 | Federal Home Loan Mortgage Corp., Pool # QE0375, 4.00%, due 04/01/52 | 791,277 | |
67,300 | Federal Home Loan Mortgage Corp., Pool # QE1497, 4.00%, due 05/01/52 | 63,448 | |
2,079,508 | Federal Home Loan Mortgage Corp., Pool # QN1779, 2.50%, due 03/01/35 | 1,907,678 | |
242,492 | Federal Home Loan Mortgage Corp., Pool # RA1343, 3.00%, due 09/01/49 | 211,565 | |
1,559,611 | Federal Home Loan Mortgage Corp., Pool # RA1776, 3.00%, due 12/01/49 | 1,363,314 | |
888,402 | Federal Home Loan Mortgage Corp., Pool # RA1860, 3.00%, due 12/01/49 | 773,988 | |
450,587 | Federal Home Loan Mortgage Corp., Pool # RA2572, 3.50%, due 05/01/50 | 409,592 | |
636,008 | Federal Home Loan Mortgage Corp., Pool # RA3206, 2.00%, due 08/01/50 | 512,564 | |
957,423 | Federal Home Loan Mortgage Corp., Pool # RA4912, 3.00%, due 03/01/51 | 824,342 | |
236,384 | Federal Home Loan Mortgage Corp., Pool # RA5286, 2.50%, due 05/01/51 | 195,675 | |
309,590 | Federal Home Loan Mortgage Corp., Pool # RA6432, 2.50%, due 12/01/51 | 258,586 | |
1,539,735 | Federal Home Loan Mortgage Corp., Pool # RA6944, 3.50%, due 03/01/52 | 1,384,342 | |
598,606 | Federal Home Loan Mortgage Corp., Pool # RA6951, 3.50%, due 03/01/52 | 541,144 | |
3,699,380 | Federal Home Loan Mortgage Corp., Pool # RA7195, 3.50%, due 04/01/52 | 3,339,864 | |
2,051,960 | Federal Home Loan Mortgage Corp., Pool # RA7407, 4.00%, due 05/01/52 | 1,908,353 | |
2,050,716 | Federal Home Loan Mortgage Corp., Pool # RA7545, 4.00%, due 06/01/52 | 1,902,744 | |
2,199,667 | Federal Home Loan Mortgage Corp., Pool # RA7779, 4.50%, due 08/01/52 | 2,096,357 | |
3,714,806 | Federal Home Loan Mortgage Corp., Pool # RA7881, 5.00%, due 09/01/52 | 3,629,945 | |
2,460,997 | Federal Home Loan Mortgage Corp., Pool # RA7942, 5.50%, due 09/01/52 | 2,474,636 | |
1,851,392 | Federal Home Loan Mortgage Corp., Pool # RA8248, 5.00%, due 11/01/52 | 1,809,530 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,760,829 | Federal Home Loan Mortgage Corp., Pool # RB5111, 2.00%, due 05/01/41 | 1,486,618 | |
1,293,208 | Federal Home Loan Mortgage Corp., Pool # RC1916, 2.00%, due 06/01/36 | 1,153,448 | |
4,447,038 | Federal Home Loan Mortgage Corp., Pool # SB0307, 2.50%, due 02/01/35 | 4,090,635 | |
2,398,705 | Federal Home Loan Mortgage Corp., Pool # SB0385, 3.00%, due 07/01/35 | 2,250,244 | |
413,725 | Federal Home Loan Mortgage Corp., Pool # SB8166, 3.50%, due 06/01/37 | 393,350 | |
1,214,606 | Federal Home Loan Mortgage Corp., Pool # SB8189, 4.00%, due 11/01/37 | 1,177,329 | |
321,634 | Federal Home Loan Mortgage Corp., Pool # SB8199, 4.50%, due 12/01/37 | 316,677 | |
1,639,273 | Federal Home Loan Mortgage Corp., Pool # SB8205, 4.50%, due 01/01/38 | 1,615,880 | |
425,859 | Federal Home Loan Mortgage Corp., Pool # SB8212, 4.50%, due 02/01/38 | 419,296 | |
351,037 | Federal Home Loan Mortgage Corp., Pool # SB8213, 5.00%, due 02/01/38 | 350,946 | |
228,727 | Federal Home Loan Mortgage Corp., Pool # SB8260, 5.00%, due 10/01/38 | 228,468 | |
720,305 | Federal Home Loan Mortgage Corp., Pool # SB8262, 5.00%, due 09/01/38 | 719,490 | |
154,181 | Federal Home Loan Mortgage Corp., Pool # SB8277, 5.00%, due 01/01/39 | 153,982 | |
408,744 | Federal Home Loan Mortgage Corp., Pool # SB8510, 2.00%, due 02/01/36 | 365,087 | |
874,513 | Federal Home Loan Mortgage Corp., Pool # SD0100, 3.00%, due 10/01/49 | 764,445 | |
3,025,300 | Federal Home Loan Mortgage Corp., Pool # SD0436, 2.50%, due 09/01/50 | 2,526,071 | |
1,667,827 | Federal Home Loan Mortgage Corp., Pool # SD0499, 3.00%, due 08/01/50 | 1,464,217 | |
1,091,750 | Federal Home Loan Mortgage Corp., Pool # SD0558, 2.50%, due 03/01/51 | 920,489 | |
1,189,573 | Federal Home Loan Mortgage Corp., Pool # SD0619, 4.00%, due 07/01/50 | 1,112,323 | |
1,009,129 | Federal Home Loan Mortgage Corp., Pool # SD0742, 2.50%, due 11/01/51 | 846,990 | |
434,374 | Federal Home Loan Mortgage Corp., Pool # SD0815, 3.00%, due 01/01/52 | 378,841 | |
433,747 | Federal Home Loan Mortgage Corp., Pool # SD0905, 3.00%, due 03/01/52 | 377,618 | |
577,878 | Federal Home Loan Mortgage Corp., Pool # SD1050, 4.50%, due 07/01/52 | 553,832 | |
2,986,618 | Federal Home Loan Mortgage Corp., Pool # SD1217, 2.00%, due 03/01/52 | 2,398,144 | |
3,185,499 | Federal Home Loan Mortgage Corp., Pool # SD1265, 4.50%, due 06/01/52 | 3,046,193 | |
2,230,433 | Federal Home Loan Mortgage Corp., Pool # SD1295, 5.00%, due 07/01/52 | 2,200,646 | |
1,639,576 | Federal Home Loan Mortgage Corp., Pool # SD1325, 4.00%, due 08/01/52 | 1,524,233 | |
1,397,844 | Federal Home Loan Mortgage Corp., Pool # SD1446, 4.50%, due 08/01/52 | 1,336,930 | |
355,168 | Federal Home Loan Mortgage Corp., Pool # SD1454, 4.50%, due 08/01/52 | 341,348 | |
1,755,833 | Federal Home Loan Mortgage Corp., Pool # SD1475, 4.50%, due 08/01/52 | 1,687,506 | |
2,739,267 | Federal Home Loan Mortgage Corp., Pool # SD1483, 4.00%, due 08/01/52 | 2,589,782 | |
978,807 | Federal Home Loan Mortgage Corp., Pool # SD1517, 4.50%, due 09/01/52 | 940,717 | |
904,063 | Federal Home Loan Mortgage Corp., Pool # SD1606, 4.50%, due 09/01/52 | 866,445 | |
955,194 | Federal Home Loan Mortgage Corp., Pool # SD1695, 5.00%, due 10/01/52 | 936,707 | |
547,247 | Federal Home Loan Mortgage Corp., Pool # SD1807, 4.50%, due 07/01/52 | 524,532 | |
3,772,510 | Federal Home Loan Mortgage Corp., Pool # SD1809, 4.50%, due 09/01/52 | 3,607,474 | |
473,744 | Federal Home Loan Mortgage Corp., Pool # SD1944, 5.00%, due 12/01/52 | 466,016 | |
765,494 | Federal Home Loan Mortgage Corp., Pool # SD1999, 5.00%, due 12/01/52 | 750,682 | |
963,172 | Federal Home Loan Mortgage Corp., Pool # SD2032, 5.00%, due 12/01/52 | 950,308 | |
3,279,568 | Federal Home Loan Mortgage Corp., Pool # SD2172, 5.50%, due 02/01/53 | 3,294,487 | |
478,457 | Federal Home Loan Mortgage Corp., Pool # SD2273, 4.50%, due 12/01/52 | 458,534 | |
1,707,572 | Federal Home Loan Mortgage Corp., Pool # SD2318, 5.00%, due 02/01/53 | 1,668,440 | |
1,622,076 | Federal Home Loan Mortgage Corp., Pool # SD2526, 4.00%, due 08/01/49 | 1,517,010 | |
443,768 | Federal Home Loan Mortgage Corp., Pool # SD2683, 4.50%, due 04/01/53 | 426,499 | |
1,823,531 | Federal Home Loan Mortgage Corp., Pool # SD2954, 4.50%, due 04/01/53 | 1,752,556 | |
2,524,228 | Federal Home Loan Mortgage Corp., Pool # SD3159, 5.00%, due 06/01/53 | 2,475,978 | |
391,565 | Federal Home Loan Mortgage Corp., Pool # SD3338, 5.50%, due 06/01/53 | 393,428 | |
850,087 | Federal Home Loan Mortgage Corp., Pool # SD3372, 5.00%, due 07/01/53 | 834,011 | |
2,931,210 | Federal Home Loan Mortgage Corp., Pool # SD3401, 5.00%, due 07/01/53 | 2,881,134 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
432,430 | Federal Home Loan Mortgage Corp., Pool # SD3425, 5.50%, due 07/01/53 | 434,830 | |
1,043,782 | Federal Home Loan Mortgage Corp., Pool # SD3435, 5.00%, due 07/01/53 | 1,024,851 | |
502,324 | Federal Home Loan Mortgage Corp., Pool # SD3507, 4.00%, due 04/01/53 | 470,020 | |
1,516,543 | Federal Home Loan Mortgage Corp., Pool # SD3562, 4.50%, due 08/01/53 | 1,457,696 | |
1,966,772 | Federal Home Loan Mortgage Corp., Pool # SD3563, 4.50%, due 08/01/53 | 1,890,347 | |
1,285,552 | Federal Home Loan Mortgage Corp., Pool # SD3566, 5.00%, due 08/01/53 | 1,265,637 | |
896,628 | Federal Home Loan Mortgage Corp., Pool # SD3780, 4.00%, due 08/01/52 | 832,020 | |
2,419,022 | Federal Home Loan Mortgage Corp., Pool # SD4220, 5.00%, due 09/01/53 | 2,366,982 | |
1,049,522 | Federal Home Loan Mortgage Corp., Pool # SD4253, 3.50%, due 07/01/52 | 940,294 | |
3,298,100 | Federal Home Loan Mortgage Corp., Pool # SD4287, 4.50%, due 09/01/53 | 3,183,779 | |
562,413 | Federal Home Loan Mortgage Corp., Pool # SD4660, 4.00%, due 08/01/52 | 521,856 | |
540,053 | Federal Home Loan Mortgage Corp., Pool # SD4904, 3.50%, due 07/01/52 | 485,588 | |
584,050 | Federal Home Loan Mortgage Corp., Pool # SD4934, 4.00%, due 04/01/53 | 542,988 | |
3,105,633 | Federal Home Loan Mortgage Corp., Pool # SD7543, 2.50%, due 08/01/51 | 2,610,101 | |
3,019,349 | Federal Home Loan Mortgage Corp., Pool # SD7544, 3.00%, due 07/01/51 | 2,646,022 | |
2,431,416 | Federal Home Loan Mortgage Corp., Pool # SD7548, 2.50%, due 11/01/51 | 2,048,727 | |
1,680,140 | Federal Home Loan Mortgage Corp., Pool # SD7551, 3.00%, due 01/01/52 | 1,469,448 | |
2,042,586 | Federal Home Loan Mortgage Corp., Pool # SD7557, 4.50%, due 12/01/52 | 1,969,426 | |
2,580 | Federal Home Loan Mortgage Corp., Pool # SD8025, 3.50%, due 11/01/49 | 2,349 | |
965,765 | Federal Home Loan Mortgage Corp., Pool # SD8075, 3.50%, due 07/01/50 | 877,450 | |
4,157,561 | Federal Home Loan Mortgage Corp., Pool # SD8090, 2.00%, due 09/01/50 | 3,317,743 | |
766,581 | Federal Home Loan Mortgage Corp., Pool # SD8104, 1.50%, due 11/01/50 | 578,030 | |
373,335 | Federal Home Loan Mortgage Corp., Pool # SD8113, 2.00%, due 12/01/50 | 297,169 | |
540,028 | Federal Home Loan Mortgage Corp., Pool # SD8121, 2.00%, due 01/01/51 | 430,776 | |
2,592,127 | Federal Home Loan Mortgage Corp., Pool # SD8128, 2.00%, due 02/01/51 | 2,066,079 | |
1,106,589 | Federal Home Loan Mortgage Corp., Pool # SD8134, 2.00%, due 03/01/51 | 877,957 | |
33,180 | Federal Home Loan Mortgage Corp., Pool # SD8140, 2.00%, due 04/01/51 | 26,421 | |
3,316,831 | Federal Home Loan Mortgage Corp., Pool # SD8141, 2.50%, due 04/01/51 | 2,759,005 | |
973,978 | Federal Home Loan Mortgage Corp., Pool # SD8151, 2.50%, due 06/01/51 | 809,355 | |
1,683,796 | Federal Home Loan Mortgage Corp., Pool # SD8167, 2.50%, due 09/01/51 | 1,398,145 | |
2,084 | Federal Home Loan Mortgage Corp., Pool # SD8177, 2.00%, due 11/01/51 | 1,654 | |
1,333,581 | Federal Home Loan Mortgage Corp., Pool # SD8183, 2.50%, due 12/01/51 | 1,106,272 | |
471,252 | Federal Home Loan Mortgage Corp., Pool # SD8189, 2.50%, due 01/01/52 | 390,841 | |
361,328 | Federal Home Loan Mortgage Corp., Pool # SD8221, 3.50%, due 06/01/52 | 323,675 | |
2,863,640 | Federal Home Loan Mortgage Corp., Pool # SD8227, 4.00%, due 07/01/52 | 2,652,988 | |
5,180,040 | Federal Home Loan Mortgage Corp., Pool # SD8236, 3.50%, due 08/01/52 | 4,640,094 | |
1,939,351 | Federal Home Loan Mortgage Corp., Pool # SD8243, 3.50%, due 09/01/52 | 1,737,199 | |
446,810 | Federal Home Loan Mortgage Corp., Pool # SD8278, 6.00%, due 12/01/52 | 451,831 | |
3,916,060 | Federal Home Loan Mortgage Corp., Pool # SD8288, 5.00%, due 01/01/53 | 3,824,547 | |
1,460,792 | Federal Home Loan Mortgage Corp., Pool # SD8289, 5.50%, due 01/01/53 | 1,455,029 | |
100,750 | Federal Home Loan Mortgage Corp., Pool # V60565, 3.00%, due 06/01/29 | 96,749 | |
283,036 | Federal Home Loan Mortgage Corp., Pool # V60599, 3.00%, due 09/01/29 | 271,292 | |
398,654 | Federal Home Loan Mortgage Corp., Pool # V82292, 4.00%, due 04/01/46 | 378,210 | |
231,417 | Federal Home Loan Mortgage Corp., Pool # V82848, 3.00%, due 12/01/46 | 205,589 | |
31,028 | Federal Home Loan Mortgage Corp., Pool # V82980, 3.50%, due 02/01/47 | 28,338 | |
712,819 | Federal Home Loan Mortgage Corp., Pool # ZM1609, 3.50%, due 09/01/46 | 656,001 | |
219,908 | Federal Home Loan Mortgage Corp., Pool # ZS4727, 4.00%, due 07/01/47 | 208,090 | |
138,348 | Federal Home Loan Mortgage Corp., Pool # ZS4760, 4.00%, due 03/01/48 | 130,294 | |
1,199,101 | Federal Home Loan Mortgage Corp., Pool # ZS4763, 3.50%, due 04/01/48 | 1,093,739 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
4,080,155 | Federal Home Loan Mortgage Corp., Pool # ZS7930, 3.00%, due 01/01/33 | 3,828,252 | |
1,016,757 | Federal Home Loan Mortgage Corp., Pool # ZT0536, 3.50%, due 03/01/48 | 929,315 | |
368,682 | Federal Home Loan Mortgage Corp., Pool # ZT0657, 6.00%, due 07/01/40 | 382,041 | |
182,959 | Federal Home Loan Mortgage Corp., Pool # ZT1748, 5.00%, due 01/01/49 | 181,398 | |
342,739 | Federal Home Loan Mortgage Corp., Pool # ZT2100, 3.00%, due 04/01/47 | 300,323 | |
11,309,911 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K106, Class X1, 1.32%, due 01/25/30(i) | 703,587 | |
33,566 | Federal Home Loan Mortgage Corp. Reference REMICS, Series R007, Class ZA, 6.00%, due 05/15/36 | 34,543 | |
1,000,000 | Federal Home Loan Mortgage Corp. REMICS, Series 5250, Class NH, 3.00%, due 08/25/52 | 855,588 | |
169,444 | Federal National Mortgage Association, Pool # 745148, 5.00%, due 01/01/36 | 170,400 | |
161,021 | Federal National Mortgage Association, Pool # 932807, 4.00%, due 09/01/40 | 152,749 | |
92,956 | Federal National Mortgage Association, Pool # 983471, 5.50%, due 05/01/38 | 94,926 | |
156,906 | Federal National Mortgage Association, Pool # 985184, 5.50%, due 08/01/38 | 159,825 | |
137,923 | Federal National Mortgage Association, Pool # 995245, 5.00%, due 01/01/39 | 138,093 | |
9,570 | Federal National Mortgage Association, Pool # AB5369, 3.50%, due 06/01/42 | 8,814 | |
286,063 | Federal National Mortgage Association, Pool # AB6212, 3.00%, due 09/01/42 | 256,147 | |
464,337 | Federal National Mortgage Association, Pool # AB6802, 3.50%, due 11/01/42 | 427,514 | |
126,201 | Federal National Mortgage Association, Pool # AB7059, 2.50%, due 11/01/42 | 108,177 | |
249,390 | Federal National Mortgage Association, Pool # AB8703, 3.00%, due 03/01/38 | 225,535 | |
101,681 | Federal National Mortgage Association, Pool # AB9383, 4.00%, due 05/01/43 | 96,388 | |
786,356 | Federal National Mortgage Association, Pool # AB9659, 3.00%, due 06/01/43 | 702,414 | |
1,621,264 | Federal National Mortgage Association, Pool # AC3668, 4.50%, due 10/01/39 | 1,590,641 | |
159,028 | Federal National Mortgage Association, Pool # AD9153, 4.50%, due 08/01/40 | 156,024 | |
121,148 | Federal National Mortgage Association, Pool # AE0469, 6.00%, due 12/01/39 | 125,558 | |
329,269 | Federal National Mortgage Association, Pool # AH4404, 4.00%, due 01/01/41 | 312,108 | |
67,392 | Federal National Mortgage Association, Pool # AI1892, 5.00%, due 05/01/41 | 67,254 | |
322,231 | Federal National Mortgage Association, Pool # AI4815, 4.50%, due 06/01/41 | 316,139 | |
273,503 | Federal National Mortgage Association, Pool # AJ9278, 3.50%, due 12/01/41 | 252,070 | |
138,323 | Federal National Mortgage Association, Pool # AJ9317, 4.00%, due 01/01/42 | 131,158 | |
286,707 | Federal National Mortgage Association, Pool # AL0215, 4.50%, due 04/01/41 | 281,286 | |
542,859 | Federal National Mortgage Association, Pool # AL1895, 3.50%, due 06/01/42 | 499,979 | |
344,882 | Federal National Mortgage Association, Pool # AL2466, 4.00%, due 09/01/42 | 330,294 | |
356,066 | Federal National Mortgage Association, Pool # AL3000, 3.50%, due 12/01/42 | 327,382 | |
406,372 | Federal National Mortgage Association, Pool # AL3316, 3.50%, due 03/01/43 | 373,714 | |
25,329 | Federal National Mortgage Association, Pool # AL5939, 3.50%, due 09/01/43 | 23,336 | |
523,833 | Federal National Mortgage Association, Pool # AL6663, 4.00%, due 03/01/39 | 503,553 | |
512,612 | Federal National Mortgage Association, Pool # AL7594, 3.50%, due 08/01/45 | 468,025 | |
457,686 | Federal National Mortgage Association, Pool # AL8191, 4.00%, due 12/01/45 | 434,150 | |
37,360 | Federal National Mortgage Association, Pool # AL8673, 3.50%, due 06/01/46 | 34,197 | |
40,202 | Federal National Mortgage Association, Pool # AL9515, 3.50%, due 07/01/46 | 36,673 | |
105,134 | Federal National Mortgage Association, Pool # AL9657, 3.50%, due 01/01/47 | 96,206 | |
63,886 | Federal National Mortgage Association, Pool # AO4109, 4.00%, due 06/01/42 | 60,555 | |
45,006 | Federal National Mortgage Association, Pool # AQ3381, 3.00%, due 11/01/42 | 40,202 | |
162,959 | Federal National Mortgage Association, Pool # AQ7923, 3.00%, due 12/01/42 | 145,652 | |
29,665 | Federal National Mortgage Association, Pool # AR8749, 3.00%, due 03/01/43 | 26,502 | |
287,631 | Federal National Mortgage Association, Pool # AS5133, 3.50%, due 06/01/45 | 262,540 | |
33,164 | Federal National Mortgage Association, Pool # AS5593, 3.50%, due 08/01/45 | 30,377 | |
9,173 | Federal National Mortgage Association, Pool # AS6187, 3.50%, due 11/01/45 | 8,395 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
121,312 | Federal National Mortgage Association, Pool # AS6188, 3.50%, due 11/01/45 | 111,020 | |
69,302 | Federal National Mortgage Association, Pool # AS6286, 4.00%, due 12/01/45 | 65,666 | |
92,903 | Federal National Mortgage Association, Pool # AS6304, 4.00%, due 12/01/45 | 88,029 | |
151,736 | Federal National Mortgage Association, Pool # AS6452, 3.50%, due 01/01/46 | 138,419 | |
67,853 | Federal National Mortgage Association, Pool # AS7010, 3.50%, due 04/01/46 | 61,666 | |
96,940 | Federal National Mortgage Association, Pool # AS7693, 2.00%, due 08/01/31 | 89,405 | |
172,381 | Federal National Mortgage Association, Pool # AS8073, 2.50%, due 10/01/46 | 145,967 | |
1,510,384 | Federal National Mortgage Association, Pool # AS8483, 3.00%, due 12/01/46 | 1,324,478 | |
32,886 | Federal National Mortgage Association, Pool # AS8647, 3.00%, due 01/01/47 | 29,044 | |
111,675 | Federal National Mortgage Association, Pool # AZ3743, 3.50%, due 11/01/45 | 101,715 | |
71,577 | Federal National Mortgage Association, Pool # BC1489, 3.00%, due 08/01/46 | 63,227 | |
28,486 | Federal National Mortgage Association, Pool # BC9078, 4.00%, due 12/01/46 | 26,980 | |
182,699 | Federal National Mortgage Association, Pool # BC9468, 3.00%, due 06/01/46 | 161,475 | |
389,326 | Federal National Mortgage Association, Pool # BD7043, 4.00%, due 03/01/47 | 368,618 | |
70,506 | Federal National Mortgage Association, Pool # BD7118, 3.50%, due 04/01/47 | 64,317 | |
29,535 | Federal National Mortgage Association, Pool # BE2974, 4.00%, due 01/01/47 | 28,246 | |
236,433 | Federal National Mortgage Association, Pool # BE7192, 4.00%, due 03/01/47 | 224,122 | |
393,622 | Federal National Mortgage Association, Pool # BK1023, 4.50%, due 02/01/48 | 380,379 | |
206,215 | Federal National Mortgage Association, Pool # BK7611, 4.50%, due 09/01/48 | 199,934 | |
114,733 | Federal National Mortgage Association, Pool # BM1013, 3.50%, due 03/01/47 | 104,999 | |
105,661 | Federal National Mortgage Association, Pool # BM1277, 4.00%, due 05/01/47 | 100,030 | |
627,351 | Federal National Mortgage Association, Pool # BM1573, 3.50%, due 07/01/47 | 574,211 | |
716,345 | Federal National Mortgage Association, Pool # BM1972, 3.50%, due 10/01/37 | 672,328 | |
483,297 | Federal National Mortgage Association, Pool # BM3033, 3.00%, due 10/01/47 | 426,088 | |
43,505 | Federal National Mortgage Association, Pool # BM3077, 3.00%, due 11/01/47 | 38,355 | |
173,470 | Federal National Mortgage Association, Pool # BM3258, 3.00%, due 02/01/47 | 153,932 | |
140,186 | Federal National Mortgage Association, Pool # BM3286, 4.50%, due 11/01/47 | 137,014 | |
340,549 | Federal National Mortgage Association, Pool # BM3332, 3.50%, due 01/01/48 | 310,653 | |
261,769 | Federal National Mortgage Association, Pool # BM3491, 4.50%, due 01/01/38 | 257,463 | |
126,791 | Federal National Mortgage Association, Pool # BM3628, 3.50%, due 03/01/48 | 116,835 | |
692,433 | Federal National Mortgage Association, Pool # BM3641, 4.00%, due 04/01/48 | 654,098 | |
459,671 | Federal National Mortgage Association, Pool # BM4377, 5.78%, (1 yr. RFUCC Treasury + 1.88%), due 04/01/38(b) | 474,069 | |
8,706 | Federal National Mortgage Association, Pool # BM4426, 3.50%, due 06/01/48 | 7,958 | |
461,864 | Federal National Mortgage Association, Pool # BM4896, 3.00%, due 02/01/47 | 412,619 | |
611,079 | Federal National Mortgage Association, Pool # BM5213, 3.00%, due 07/01/45 | 543,885 | |
137,221 | Federal National Mortgage Association, Pool # BM5293, 3.50%, due 02/01/49 | 125,173 | |
44,991 | Federal National Mortgage Association, Pool # BM5682, 3.50%, due 03/01/49 | 41,041 | |
250,306 | Federal National Mortgage Association, Pool # BM5694, 4.00%, due 06/01/48 | 236,551 | |
97,193 | Federal National Mortgage Association, Pool # BM5874, 4.00%, due 01/01/48 | 92,094 | |
217,133 | Federal National Mortgage Association, Pool # BM5950, 3.00%, due 11/01/48 | 191,551 | |
8,066 | Federal National Mortgage Association, Pool # BM5971, 3.50%, due 06/01/49 | 7,341 | |
524,883 | Federal National Mortgage Association, Pool # BM6482, 5.79%, (1 yr. RFUCC Treasury + 1.58%), due 04/01/47(b) | 537,591 | |
730,782 | Federal National Mortgage Association, Pool # BN6216, 4.50%, due 03/01/49 | 716,776 | |
194,058 | Federal National Mortgage Association, Pool # BO1420, 3.50%, due 09/01/49 | 176,415 | |
8,338 | Federal National Mortgage Association, Pool # BO1439, 3.00%, due 10/01/49 | 7,263 | |
369,174 | Federal National Mortgage Association, Pool # BO5387, 3.50%, due 12/01/49 | 338,985 | |
233,963 | Federal National Mortgage Association, Pool # BP2898, 4.00%, due 03/01/50 | 219,475 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
338,324 | Federal National Mortgage Association, Pool # BP5462, 2.50%, due 06/01/50 | 285,686 | |
272,495 | Federal National Mortgage Association, Pool # BP5568, 3.00%, due 06/01/50 | 236,993 | |
1,320,817 | Federal National Mortgage Association, Pool # BP6618, 2.50%, due 08/01/50 | 1,100,742 | |
661,796 | Federal National Mortgage Association, Pool # BQ3132, 2.00%, due 10/01/50 | 541,036 | |
463,825 | Federal National Mortgage Association, Pool # BQ3138, 2.50%, due 10/01/50 | 391,837 | |
899,324 | Federal National Mortgage Association, Pool # BU8763, 3.00%, due 04/01/52 | 776,496 | |
1,242,152 | Federal National Mortgage Association, Pool # BV8474, 3.00%, due 05/01/52 | 1,091,581 | |
3,060,506 | Federal National Mortgage Association, Pool # BW9918, 5.00%, due 10/01/52 | 3,008,490 | |
745,157 | Federal National Mortgage Association, Pool # CA0623, 4.50%, due 10/01/47 | 725,305 | |
456,626 | Federal National Mortgage Association, Pool # CA0655, 3.50%, due 11/01/47 | 417,389 | |
285,501 | Federal National Mortgage Association, Pool # CA0855, 3.50%, due 12/01/47 | 260,437 | |
12,437 | Federal National Mortgage Association, Pool # CA1545, 4.00%, due 04/01/48 | 11,746 | |
242,774 | Federal National Mortgage Association, Pool # CA3828, 4.00%, due 07/01/49 | 228,078 | |
605,559 | Federal National Mortgage Association, Pool # CA3986, 5.00%, due 08/01/49 | 599,625 | |
401,623 | Federal National Mortgage Association, Pool # CA4149, 3.00%, due 09/01/49 | 350,799 | |
31,370 | Federal National Mortgage Association, Pool # CA4546, 3.00%, due 11/01/49 | 27,355 | |
524,670 | Federal National Mortgage Association, Pool # CA4831, 4.50%, due 12/01/49 | 505,885 | |
454,887 | Federal National Mortgage Association, Pool # CA5229, 3.00%, due 02/01/50 | 395,794 | |
543,364 | Federal National Mortgage Association, Pool # CA5556, 3.50%, due 04/01/50 | 493,848 | |
344,089 | Federal National Mortgage Association, Pool # CA5571, 4.00%, due 04/01/50 | 321,749 | |
4,645,430 | Federal National Mortgage Association, Pool # CA6097, 3.50%, due 06/01/50 | 4,211,788 | |
2,750,674 | Federal National Mortgage Association, Pool # CA6635, 2.50%, due 08/01/50 | 2,323,828 | |
1,110,242 | Federal National Mortgage Association, Pool # CA6738, 3.00%, due 08/01/50 | 964,561 | |
340,344 | Federal National Mortgage Association, Pool # CA6799, 2.00%, due 08/01/50 | 273,409 | |
553,436 | Federal National Mortgage Association, Pool # CA6871, 2.50%, due 08/01/35 | 507,522 | |
1,250,031 | Federal National Mortgage Association, Pool # CA6872, 2.50%, due 08/01/35 | 1,146,701 | |
748,255 | Federal National Mortgage Association, Pool # CA6909, 2.50%, due 09/01/50 | 630,106 | |
3,440,933 | Federal National Mortgage Association, Pool # CA8062, 2.50%, due 12/01/50 | 2,873,223 | |
124,454 | Federal National Mortgage Association, Pool # CA8895, 2.50%, due 02/01/51 | 103,253 | |
151,515 | Federal National Mortgage Association, Pool # CA9090, 2.50%, due 02/01/51 | 125,613 | |
893,764 | Federal National Mortgage Association, Pool # CA9171, 2.00%, due 02/01/51 | 711,800 | |
1,364,063 | Federal National Mortgage Association, Pool # CA9227, 2.50%, due 02/01/51 | 1,146,475 | |
5,569,605 | Federal National Mortgage Association, Pool # CB0671, 2.50%, due 06/01/51 | 4,700,196 | |
1,312,577 | Federal National Mortgage Association, Pool # CB1273, 2.00%, due 08/01/51 | 1,049,930 | |
2,862,481 | Federal National Mortgage Association, Pool # CB2095, 3.00%, due 11/01/51 | 2,466,482 | |
520,452 | Federal National Mortgage Association, Pool # CB2287, 2.50%, due 12/01/51 | 435,607 | |
441,496 | Federal National Mortgage Association, Pool # CB2858, 2.50%, due 02/01/52 | 369,946 | |
1,137,715 | Federal National Mortgage Association, Pool # CB2889, 3.00%, due 02/01/52 | 980,572 | |
440,112 | Federal National Mortgage Association, Pool # CB3126, 3.50%, due 03/01/52 | 399,369 | |
789,761 | Federal National Mortgage Association, Pool # CB3158, 2.50%, due 03/01/52 | 658,350 | |
2,102,044 | Federal National Mortgage Association, Pool # CB3512, 4.00%, due 05/01/52 | 1,957,976 | |
982,990 | Federal National Mortgage Association, Pool # CB3618, 4.00%, due 05/01/52 | 912,417 | |
1,049,117 | Federal National Mortgage Association, Pool # CB3865, 4.50%, due 06/01/52 | 1,009,286 | |
721,737 | Federal National Mortgage Association, Pool # CB3910, 4.00%, due 06/01/52 | 669,655 | |
3,638,092 | Federal National Mortgage Association, Pool # CB4025, 4.50%, due 07/01/52 | 3,499,137 | |
429,867 | Federal National Mortgage Association, Pool # CB4028, 4.50%, due 07/01/52 | 412,260 | |
4,036,789 | Federal National Mortgage Association, Pool # CB4088, 4.00%, due 07/01/52 | 3,779,061 | |
812,860 | Federal National Mortgage Association, Pool # CB4090, 4.00%, due 07/01/52 | 755,891 | |
1,575,297 | Federal National Mortgage Association, Pool # CB4101, 4.50%, due 07/01/52 | 1,503,276 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,080,293 | Federal National Mortgage Association, Pool # CB4300, 4.50%, due 08/01/52 | 1,029,611 | |
1,206,053 | Federal National Mortgage Association, Pool # CB4304, 4.50%, due 08/01/52 | 1,149,424 | |
2,118,486 | Federal National Mortgage Association, Pool # CB4337, 4.50%, due 08/01/52 | 2,051,743 | |
5,025,809 | Federal National Mortgage Association, Pool # CB4352, 5.00%, due 08/01/52 | 4,980,504 | |
1,552,704 | Federal National Mortgage Association, Pool # CB4387, 4.50%, due 08/01/52 | 1,479,136 | |
1,973,687 | Federal National Mortgage Association, Pool # CB4395, 4.50%, due 08/01/52 | 1,881,014 | |
2,295,270 | Federal National Mortgage Association, Pool # CB4620, 5.00%, due 09/01/52 | 2,240,396 | |
499,640 | Federal National Mortgage Association, Pool # CB4675, 4.50%, due 09/01/52 | 480,217 | |
370,918 | Federal National Mortgage Association, Pool # CB4838, 5.00%, due 10/01/52 | 362,417 | |
2,256,459 | Federal National Mortgage Association, Pool # CB4908, 5.50%, due 10/01/52 | 2,264,365 | |
1,800,436 | Federal National Mortgage Association, Pool # CB5434, 5.00%, due 01/01/53 | 1,776,577 | |
1,491,534 | Federal National Mortgage Association, Pool # CB6059, 5.00%, due 04/01/53 | 1,466,962 | |
1,296,226 | Federal National Mortgage Association, Pool # CB6247, 5.00%, due 05/01/53 | 1,277,315 | |
2,255,701 | Federal National Mortgage Association, Pool # CB6899, 5.00%, due 08/01/53 | 2,237,694 | |
3,241,792 | Federal National Mortgage Association, Pool # CB7336, 5.50%, due 10/01/53 | 3,230,846 | |
682,324 | Federal National Mortgage Association, Pool # FM0030, 3.00%, due 02/01/49 | 600,535 | |
180,774 | Federal National Mortgage Association, Pool # FM1001, 3.50%, due 11/01/48 | 164,904 | |
179,738 | Federal National Mortgage Association, Pool # FM1266, 5.00%, due 07/01/49 | 178,205 | |
133,264 | Federal National Mortgage Association, Pool # FM1347, 3.00%, due 12/01/48 | 117,341 | |
529,846 | Federal National Mortgage Association, Pool # FM1467, 3.00%, due 12/01/47 | 469,171 | |
546,283 | Federal National Mortgage Association, Pool # FM1588, 3.00%, due 10/01/49 | 479,893 | |
281,141 | Federal National Mortgage Association, Pool # FM1715, 3.00%, due 12/01/45 | 249,295 | |
384,496 | Federal National Mortgage Association, Pool # FM1790, 3.00%, due 11/01/49 | 335,520 | |
272,698 | Federal National Mortgage Association, Pool # FM1864, 3.00%, due 11/01/49 | 237,848 | |
2,786,701 | Federal National Mortgage Association, Pool # FM2217, 3.00%, due 03/01/47 | 2,489,236 | |
1,796,992 | Federal National Mortgage Association, Pool # FM2226, 3.00%, due 09/01/46 | 1,605,174 | |
744,485 | Federal National Mortgage Association, Pool # FM2274, 4.00%, due 08/01/49 | 699,883 | |
359,468 | Federal National Mortgage Association, Pool # FM2336, 4.00%, due 01/01/50 | 336,410 | |
380,614 | Federal National Mortgage Association, Pool # FM2461, 3.50%, due 03/01/50 | 344,547 | |
520,150 | Federal National Mortgage Association, Pool # FM2570, 4.50%, due 04/01/48 | 510,335 | |
347,877 | Federal National Mortgage Association, Pool # FM2674, 4.00%, due 03/01/50 | 325,337 | |
1,237,409 | Federal National Mortgage Association, Pool # FM3250, 3.50%, due 05/01/50 | 1,124,915 | |
690,875 | Federal National Mortgage Association, Pool # FM4330, 2.50%, due 10/01/50 | 583,659 | |
2,797,915 | Federal National Mortgage Association, Pool # FM4765, 2.00%, due 11/01/50 | 2,263,402 | |
1,152,782 | Federal National Mortgage Association, Pool # FM4947, 2.00%, due 12/01/50 | 924,450 | |
27,666 | Federal National Mortgage Association, Pool # FM5035, 4.00%, due 07/01/50 | 25,935 | |
2,320,359 | Federal National Mortgage Association, Pool # FM5721, 3.00%, due 12/01/40 | 2,087,389 | |
860,995 | Federal National Mortgage Association, Pool # FM5996, 4.50%, due 03/01/49 | 833,528 | |
705,663 | Federal National Mortgage Association, Pool # FM6273, 3.00%, due 12/01/34 | 667,656 | |
1,898,139 | Federal National Mortgage Association, Pool # FM6497, 2.00%, due 03/01/51 | 1,535,402 | |
780,609 | Federal National Mortgage Association, Pool # FM6585, 3.50%, due 11/01/40 | 725,881 | |
719,455 | Federal National Mortgage Association, Pool # FM7341, 4.00%, due 03/01/48 | 681,326 | |
260,017 | Federal National Mortgage Association, Pool # FM7441, 3.00%, due 05/01/51 | 224,531 | |
1,099,661 | Federal National Mortgage Association, Pool # FM7785, 4.00%, due 05/01/49 | 1,037,294 | |
1,766,416 | Federal National Mortgage Association, Pool # FM7794, 4.00%, due 01/01/50 | 1,660,530 | |
560,368 | Federal National Mortgage Association, Pool # FM8161, 2.50%, due 08/01/51 | 470,509 | |
1,794,579 | Federal National Mortgage Association, Pool # FM8216, 4.00%, due 11/01/48 | 1,693,986 | |
1,343,998 | Federal National Mortgage Association, Pool # FM8325, 2.50%, due 07/01/35 | 1,250,459 | |
894,939 | Federal National Mortgage Association, Pool # FM8422, 2.50%, due 08/01/51 | 743,034 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
872,707 | Federal National Mortgage Association, Pool # FM8451, 2.50%, due 08/01/51 | 732,279 | |
1,456,062 | Federal National Mortgage Association, Pool # FM8603, 4.00%, due 09/01/49 | 1,375,586 | |
1,504,252 | Federal National Mortgage Association, Pool # FM9412, 2.50%, due 11/01/51 | 1,266,528 | |
1,390,544 | Federal National Mortgage Association, Pool # FM9461, 3.50%, due 11/01/51 | 1,251,012 | |
383,087 | Federal National Mortgage Association, Pool # FM9468, 2.50%, due 11/01/51 | 322,429 | |
1,162,985 | Federal National Mortgage Association, Pool # FM9674, 3.50%, due 06/01/49 | 1,060,976 | |
944,750 | Federal National Mortgage Association, Pool # FM9726, 2.50%, due 11/01/51 | 794,209 | |
3,788,678 | Federal National Mortgage Association, Pool # FM9728, 2.50%, due 11/01/51 | 3,171,215 | |
539,004 | Federal National Mortgage Association, Pool # FM9977, 4.00%, due 02/01/50 | 507,408 | |
1,015,155 | Federal National Mortgage Association, Pool # FS0027, 2.50%, due 11/01/51 | 854,062 | |
1,106,187 | Federal National Mortgage Association, Pool # FS0065, 4.50%, due 12/01/50 | 1,072,265 | |
1,101,009 | Federal National Mortgage Association, Pool # FS0194, 2.50%, due 01/01/52 | 918,106 | |
2,240,832 | Federal National Mortgage Association, Pool # FS0644, 3.00%, due 02/01/52 | 1,943,169 | |
124,181 | Federal National Mortgage Association, Pool # FS0703, 4.00%, due 01/01/49 | 117,269 | |
2,077,446 | Federal National Mortgage Association, Pool # FS0715, 3.00%, due 01/01/52 | 1,802,892 | |
388,773 | Federal National Mortgage Association, Pool # FS0717, 3.00%, due 02/01/52 | 335,748 | |
448,495 | Federal National Mortgage Association, Pool # FS1201, 3.00%, due 01/01/50 | 390,699 | |
732,225 | Federal National Mortgage Association, Pool # FS1205, 3.50%, due 04/01/52 | 658,124 | |
1,317,304 | Federal National Mortgage Association, Pool # FS1228, 3.00%, due 03/01/52 | 1,142,310 | |
542,049 | Federal National Mortgage Association, Pool # FS1285, 3.50%, due 02/01/52 | 492,770 | |
405,434 | Federal National Mortgage Association, Pool # FS1427, 3.00%, due 02/01/50 | 353,537 | |
1,287,787 | Federal National Mortgage Association, Pool # FS1590, 2.50%, due 04/01/52 | 1,072,855 | |
327,576 | Federal National Mortgage Association, Pool # FS1602, 4.00%, due 07/01/49 | 309,509 | |
514,767 | Federal National Mortgage Association, Pool # FS1624, 2.50%, due 10/01/51 | 431,788 | |
222,501 | Federal National Mortgage Association, Pool # FS1637, 4.00%, due 04/01/52 | 207,458 | |
2,800,527 | Federal National Mortgage Association, Pool # FS1938, 2.50%, due 02/01/52 | 2,334,856 | |
1,314,952 | Federal National Mortgage Association, Pool # FS1976, 4.00%, due 08/01/51 | 1,239,051 | |
2,410,745 | Federal National Mortgage Association, Pool # FS2167, 4.50%, due 06/01/52 | 2,310,787 | |
1,098,590 | Federal National Mortgage Association, Pool # FS2187, 4.00%, due 06/01/52 | 1,034,629 | |
2,430,301 | Federal National Mortgage Association, Pool # FS2238, 4.00%, due 03/01/51 | 2,281,638 | |
74,378 | Federal National Mortgage Association, Pool # FS2354, 4.00%, due 06/01/52 | 69,828 | |
273,248 | Federal National Mortgage Association, Pool # FS2415, 4.50%, due 08/01/52 | 262,672 | |
4,163,077 | Federal National Mortgage Association, Pool # FS2616, 5.00%, due 08/01/52 | 4,110,117 | |
1,643,065 | Federal National Mortgage Association, Pool # FS2896, 4.50%, due 09/01/52 | 1,584,249 | |
1,112,693 | Federal National Mortgage Association, Pool # FS2920, 3.00%, due 07/01/36 | 1,038,800 | |
500,481 | Federal National Mortgage Association, Pool # FS2969, 4.50%, due 10/01/52 | 482,566 | |
163,440 | Federal National Mortgage Association, Pool # FS3045, 5.00%, due 10/01/52 | 160,848 | |
641,069 | Federal National Mortgage Association, Pool # FS3067, 4.00%, due 07/01/52 | 596,139 | |
642,175 | Federal National Mortgage Association, Pool # FS3139, 4.50%, due 10/01/52 | 615,473 | |
660,882 | Federal National Mortgage Association, Pool # FS3158, 4.50%, due 11/01/52 | 635,192 | |
2,038,289 | Federal National Mortgage Association, Pool # FS3175, 4.50%, due 11/01/52 | 1,959,019 | |
535,876 | Federal National Mortgage Association, Pool # FS3276, 4.50%, due 12/01/37 | 527,618 | |
354,411 | Federal National Mortgage Association, Pool # FS3310, 4.50%, due 11/01/37 | 349,354 | |
1,757,744 | Federal National Mortgage Association, Pool # FS3359, 5.50%, due 12/01/52 | 1,767,487 | |
667,406 | Federal National Mortgage Association, Pool # FS3405, 5.50%, due 12/01/52 | 674,507 | |
953,010 | Federal National Mortgage Association, Pool # FS3417, 5.00%, due 12/01/52 | 937,611 | |
222,138 | Federal National Mortgage Association, Pool # FS3433, 5.50%, due 12/01/52 | 222,957 | |
1,819,790 | Federal National Mortgage Association, Pool # FS3560, 4.50%, due 04/01/53 | 1,749,050 | |
3,903,322 | Federal National Mortgage Association, Pool # FS3669, 4.00%, due 03/01/46 | 3,700,020 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
1,268,537 | Federal National Mortgage Association, Pool # FS3811, 4.50%, due 12/01/52 | 1,215,795 | |
2,213,627 | Federal National Mortgage Association, Pool # FS4223, 4.50%, due 05/01/47 | 2,170,047 | |
1,204,985 | Federal National Mortgage Association, Pool # FS4312, 4.50%, due 03/01/53 | 1,154,881 | |
1,479,199 | Federal National Mortgage Association, Pool # FS4758, 2.50%, due 01/01/36 | 1,360,715 | |
910,387 | Federal National Mortgage Association, Pool # FS5171, 3.00%, due 12/01/51 | 789,157 | |
396,627 | Federal National Mortgage Association, Pool # FS5263, 4.50%, due 05/01/53 | 381,206 | |
1,925,299 | Federal National Mortgage Association, Pool # FS5284, 3.50%, due 09/01/50 | 1,747,968 | |
1,320,285 | Federal National Mortgage Association, Pool # FS5373, 2.00%, due 04/01/37 | 1,177,576 | |
2,500,843 | Federal National Mortgage Association, Pool # FS5397, 5.00%, due 07/01/53 | 2,462,722 | |
2,896,150 | Federal National Mortgage Association, Pool # FS5625, 5.00%, due 08/01/53 | 2,865,621 | |
3,154,805 | Federal National Mortgage Association, Pool # FS5829, 5.50%, due 09/01/53 | 3,192,573 | |
1,548,565 | Federal National Mortgage Association, Pool # FS5871, 2.00%, due 07/01/51 | 1,235,864 | |
2,277,827 | Federal National Mortgage Association, Pool # FS6146, 4.00%, due 05/01/53 | 2,117,689 | |
476,034 | Federal National Mortgage Association, Pool # FS6158, 4.00%, due 07/01/52 | 441,781 | |
1,532,514 | Federal National Mortgage Association, Pool # FS6255, 3.50%, due 08/01/52 | 1,372,945 | |
697,902 | Federal National Mortgage Association, Pool # FS7249, 4.50%, due 10/01/52 | 670,891 | |
70,090 | Federal National Mortgage Association, Pool # MA2516, 3.00%, due 01/01/46 | 61,889 | |
102,593 | Federal National Mortgage Association, Pool # MA2781, 2.50%, due 10/01/46 | 87,689 | |
17,341 | Federal National Mortgage Association, Pool # MA2835, 4.00%, due 12/01/46 | 16,415 | |
2,453,749 | Federal National Mortgage Association, Pool # MA2863, 3.00%, due 01/01/47 | 2,151,097 | |
1,634,012 | Federal National Mortgage Association, Pool # MA2868, 2.50%, due 01/01/32 | 1,525,018 | |
301,157 | Federal National Mortgage Association, Pool # MA3058, 4.00%, due 07/01/47 | 284,983 | |
345,854 | Federal National Mortgage Association, Pool # MA3076, 2.50%, due 07/01/32 | 321,954 | |
83,765 | Federal National Mortgage Association, Pool # MA3087, 3.50%, due 08/01/47 | 76,362 | |
377,881 | Federal National Mortgage Association, Pool # MA3114, 2.50%, due 08/01/32 | 351,554 | |
369,713 | Federal National Mortgage Association, Pool # MA3124, 2.50%, due 09/01/32 | 343,657 | |
74,786 | Federal National Mortgage Association, Pool # MA3155, 3.00%, due 10/01/32 | 70,677 | |
3,199,630 | Federal National Mortgage Association, Pool # MA3182, 3.50%, due 11/01/47 | 2,918,742 | |
134,782 | Federal National Mortgage Association, Pool # MA3211, 4.00%, due 12/01/47 | 127,654 | |
95,995 | Federal National Mortgage Association, Pool # MA3238, 3.50%, due 01/01/48 | 87,567 | |
244,339 | Federal National Mortgage Association, Pool # MA3332, 3.50%, due 04/01/48 | 222,888 | |
77,461 | Federal National Mortgage Association, Pool # MA3364, 3.50%, due 05/01/33 | 74,587 | |
52,774 | Federal National Mortgage Association, Pool # MA3385, 4.50%, due 06/01/48 | 51,094 | |
229,231 | Federal National Mortgage Association, Pool # MA3414, 3.50%, due 07/01/48 | 208,817 | |
73,236 | Federal National Mortgage Association, Pool # MA3442, 3.50%, due 08/01/48 | 66,768 | |
58,826 | Federal National Mortgage Association, Pool # MA3521, 4.00%, due 11/01/48 | 55,047 | |
595,335 | Federal National Mortgage Association, Pool # MA3871, 3.00%, due 12/01/49 | 519,007 | |
3,831,103 | Federal National Mortgage Association, Pool # MA3937, 3.00%, due 02/01/50 | 3,338,324 | |
122,386 | Federal National Mortgage Association, Pool # MA3960, 3.00%, due 03/01/50 | 106,435 | |
337,554 | Federal National Mortgage Association, Pool # MA4014, 3.00%, due 05/01/35 | 315,153 | |
697,166 | Federal National Mortgage Association, Pool # MA4018, 2.00%, due 05/01/50 | 556,931 | |
2,405,344 | Federal National Mortgage Association, Pool # MA4026, 4.00%, due 05/01/50 | 2,247,938 | |
443,441 | Federal National Mortgage Association, Pool # MA4048, 3.00%, due 06/01/50 | 385,466 | |
121,641 | Federal National Mortgage Association, Pool # MA4120, 2.50%, due 09/01/50 | 101,449 | |
1,608,048 | Federal National Mortgage Association, Pool # MA4158, 2.00%, due 10/01/50 | 1,281,847 | |
1,014,940 | Federal National Mortgage Association, Pool # MA4159, 2.50%, due 10/01/50 | 846,044 | |
402,673 | Federal National Mortgage Association, Pool # MA4181, 1.50%, due 11/01/50 | 304,338 | |
317,305 | Federal National Mortgage Association, Pool # MA4204, 2.00%, due 12/01/40 | 268,209 | |
2,610,165 | Federal National Mortgage Association, Pool # MA4208, 2.00%, due 12/01/50 | 2,081,659 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
3,423,353 | Federal National Mortgage Association, Pool # MA4209, 1.50%, due 12/01/50 | 2,581,486 | |
484,792 | Federal National Mortgage Association, Pool # MA4232, 2.00%, due 01/01/41 | 409,987 | |
482,742 | Federal National Mortgage Association, Pool # MA4236, 1.50%, due 01/01/51 | 365,090 | |
1,737,392 | Federal National Mortgage Association, Pool # MA4237, 2.00%, due 01/01/51 | 1,383,880 | |
958,165 | Federal National Mortgage Association, Pool # MA4254, 1.50%, due 02/01/51 | 724,299 | |
1,950,431 | Federal National Mortgage Association, Pool # MA4255, 2.00%, due 02/01/51 | 1,555,063 | |
494,586 | Federal National Mortgage Association, Pool # MA4268, 2.00%, due 02/01/41 | 417,778 | |
98,953 | Federal National Mortgage Association, Pool # MA4281, 2.00%, due 03/01/51 | 78,661 | |
217,803 | Federal National Mortgage Association, Pool # MA4305, 2.00%, due 04/01/51 | 173,128 | |
11,155,810 | Federal National Mortgage Association, Pool # MA4325, 2.00%, due 05/01/51 | 8,883,452 | |
1,474,070 | Federal National Mortgage Association, Pool # MA4326, 2.50%, due 05/01/51 | 1,225,403 | |
417,364 | Federal National Mortgage Association, Pool # MA4328, 1.50%, due 05/01/36 | 363,031 | |
883,273 | Federal National Mortgage Association, Pool # MA4329, 2.00%, due 05/01/36 | 785,642 | |
275,170 | Federal National Mortgage Association, Pool # MA4333, 2.00%, due 05/01/41 | 232,369 | |
2,487,793 | Federal National Mortgage Association, Pool # MA4355, 2.00%, due 06/01/51 | 1,979,288 | |
315,004 | Federal National Mortgage Association, Pool # MA4356, 2.50%, due 06/01/51 | 261,799 | |
437,318 | Federal National Mortgage Association, Pool # MA4359, 1.50%, due 06/01/36 | 380,213 | |
1,154,064 | Federal National Mortgage Association, Pool # MA4361, 2.50%, due 06/01/36 | 1,052,314 | |
2,871,930 | Federal National Mortgage Association, Pool # MA4378, 2.00%, due 07/01/51 | 2,285,724 | |
401,354 | Federal National Mortgage Association, Pool # MA4380, 3.00%, due 07/01/51 | 347,401 | |
1,598,540 | Federal National Mortgage Association, Pool # MA4382, 1.50%, due 07/01/36 | 1,388,835 | |
163,184 | Federal National Mortgage Association, Pool # MA4398, 2.00%, due 08/01/51 | 129,678 | |
440,322 | Federal National Mortgage Association, Pool # MA4399, 2.50%, due 08/01/51 | 365,766 | |
1,668,645 | Federal National Mortgage Association, Pool # MA4414, 2.50%, due 09/01/51 | 1,385,763 | |
784,453 | Federal National Mortgage Association, Pool # MA4418, 2.00%, due 09/01/36 | 696,744 | |
16,163 | Federal National Mortgage Association, Pool # MA4437, 2.00%, due 10/01/51 | 12,849 | |
1,791,921 | Federal National Mortgage Association, Pool # MA4493, 2.50%, due 12/01/51 | 1,486,701 | |
2,359,575 | Federal National Mortgage Association, Pool # MA4497, 2.00%, due 12/01/36 | 2,094,304 | |
447,010 | Federal National Mortgage Association, Pool # MA4512, 2.50%, due 01/01/52 | 369,842 | |
964,465 | Federal National Mortgage Association, Pool # MA4549, 3.00%, due 02/01/52 | 831,404 | |
576,129 | Federal National Mortgage Association, Pool # MA4579, 3.00%, due 04/01/52 | 496,551 | |
462,435 | Federal National Mortgage Association, Pool # MA4600, 3.50%, due 05/01/52 | 414,298 | |
1,483,365 | Federal National Mortgage Association, Pool # MA4618, 4.00%, due 04/01/52 | 1,376,481 | |
1,244,965 | Federal National Mortgage Association, Pool # MA4644, 4.00%, due 05/01/52 | 1,155,258 | |
957,545 | Federal National Mortgage Association, Pool # MA4656, 4.50%, due 07/01/52 | 912,177 | |
904,332 | Federal National Mortgage Association, Pool # MA4686, 5.00%, due 06/01/52 | 883,551 | |
1,066,500 | Federal National Mortgage Association, Pool # MA4761, 5.00%, due 09/01/52 | 1,041,827 | |
458,434 | Federal National Mortgage Association, Pool # MA4783, 4.00%, due 10/01/52 | 425,328 | |
383 | Federal National Mortgage Association, Pool # MA4866, 4.00%, due 01/01/53 | 355 | |
1,942,839 | Federal National Mortgage Association, Pool # MA4894, 6.00%, due 01/01/53 | 1,962,807 | |
1,492,990 | Federal National Mortgage Association, Pool # MA4918, 5.00%, due 02/01/53 | 1,458,026 | |
1,102,527 | Federal National Mortgage Association, Pool # MA4945, 5.00%, due 03/01/38 | 1,101,280 | |
1,987,433 | Federal National Mortgage Association, Pool # MA5311, 5.00%, due 03/01/39 | 1,984,873 | |
429,616 | Federal National Mortgage Association REMICS, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 438,241 | |
1,947 | Federal National Mortgage Association REMICS, Series 2012-28, Class B, 6.50%, due 06/25/39 | 1,980 | |
114,279 | Government National Mortgage Association, Pool # 004636, 4.50%, due 02/20/40 | 112,736 | |
21,637 | Government National Mortgage Association, Pool # 004678, 4.50%, due 04/20/40 | 21,339 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
128,781 | Government National Mortgage Association, Pool # 004833, 4.00%, due 10/20/40 | 123,880 | |
119,153 | Government National Mortgage Association, Pool # 004977, 4.00%, due 03/20/41 | 114,619 | |
303,547 | Government National Mortgage Association, Pool # 004978, 4.50%, due 03/20/41 | 299,230 | |
469,694 | Government National Mortgage Association, Pool # 005055, 4.50%, due 05/20/41 | 463,015 | |
241,810 | Government National Mortgage Association, Pool # 734152, 4.00%, due 01/15/41 | 230,219 | |
18,142 | Government National Mortgage Association, Pool # 783637, 3.00%, due 06/20/42 | 16,321 | |
1,561,943 | Government National Mortgage Association, Pool # 784369, 4.00%, due 08/15/45 | 1,485,159 | |
170,525 | Government National Mortgage Association, Pool # 784605, 4.50%, due 01/15/42 | 167,699 | |
2,893,409 | Government National Mortgage Association, Pool # 785283, 2.50%, due 01/20/51 | 2,470,569 | |
394,127 | Government National Mortgage Association, Pool # 796468, 4.00%, due 09/20/42 | 378,623 | |
93,707 | Government National Mortgage Association, Pool # AL8626, 3.00%, due 08/15/45 | 83,305 | |
658,376 | Government National Mortgage Association, Pool # AV9421, 3.50%, due 11/20/46 | 608,381 | |
368,553 | Government National Mortgage Association, Pool # AY7555, 3.50%, due 04/20/47 | 340,565 | |
177,207 | Government National Mortgage Association, Pool # MA0462, 3.50%, due 10/20/42 | 164,710 | |
26,504 | Government National Mortgage Association, Pool # MA0624, 3.00%, due 12/20/42 | 23,846 | |
119,073 | Government National Mortgage Association, Pool # MA0625, 3.50%, due 12/20/42 | 110,682 | |
67,412 | Government National Mortgage Association, Pool # MA0698, 3.00%, due 01/20/43 | 60,652 | |
228,660 | Government National Mortgage Association, Pool # MA0851, 3.00%, due 03/20/43 | 205,726 | |
183,589 | Government National Mortgage Association, Pool # MA0852, 3.50%, due 03/20/43 | 170,677 | |
38,402 | Government National Mortgage Association, Pool # MA1156, 3.00%, due 07/20/43 | 34,551 | |
124,881 | Government National Mortgage Association, Pool # MA1376, 4.00%, due 10/20/43 | 120,099 | |
55,172 | Government National Mortgage Association, Pool # MA1599, 3.00%, due 01/20/44 | 49,639 | |
114,852 | Government National Mortgage Association, Pool # MA2371, 3.50%, due 11/20/44 | 106,292 | |
93,170 | Government National Mortgage Association, Pool # MA2372, 4.00%, due 11/20/44 | 89,136 | |
83,978 | Government National Mortgage Association, Pool # MA2825, 3.00%, due 05/20/45 | 75,221 | |
195,014 | Government National Mortgage Association, Pool # MA3310, 3.50%, due 12/20/45 | 180,340 | |
78,544 | Government National Mortgage Association, Pool # MA3377, 4.00%, due 01/20/46 | 74,938 | |
116,256 | Government National Mortgage Association, Pool # MA3455, 4.00%, due 02/20/46 | 110,967 | |
218,720 | Government National Mortgage Association, Pool # MA3456, 4.50%, due 02/20/46 | 214,669 | |
191,420 | Government National Mortgage Association, Pool # MA3596, 3.00%, due 04/20/46 | 171,419 | |
365,319 | Government National Mortgage Association, Pool # MA3803, 3.50%, due 07/20/46 | 337,634 | |
269,866 | Government National Mortgage Association, Pool # MA3873, 3.00%, due 08/20/46 | 241,430 | |
437,476 | Government National Mortgage Association, Pool # MA3936, 3.00%, due 09/20/46 | 391,323 | |
125,955 | Government National Mortgage Association, Pool # MA4004, 3.50%, due 10/20/46 | 116,041 | |
73,197 | Government National Mortgage Association, Pool # MA4071, 4.50%, due 11/20/46 | 72,147 | |
66,110 | Government National Mortgage Association, Pool # MA4125, 2.50%, due 12/20/46 | 57,114 | |
103,984 | Government National Mortgage Association, Pool # MA4263, 4.00%, due 02/20/47 | 98,767 | |
163,220 | Government National Mortgage Association, Pool # MA4585, 3.00%, due 07/20/47 | 146,165 | |
153,259 | Government National Mortgage Association, Pool # MA4586, 3.50%, due 07/20/47 | 141,539 | |
389,912 | Government National Mortgage Association, Pool # MA4720, 4.00%, due 09/20/47 | 369,879 | |
111,549 | Government National Mortgage Association, Pool # MA4838, 4.00%, due 11/20/47 | 106,080 | |
448,670 | Government National Mortgage Association, Pool # MA5019, 3.50%, due 02/20/48 | 413,085 | |
53,430 | Government National Mortgage Association, Pool # MA5021, 4.50%, due 02/20/48 | 52,109 | |
18,439 | Government National Mortgage Association, Pool # MA5079, 4.50%, due 03/20/48 | 17,986 | |
219,900 | Government National Mortgage Association, Pool # MA5264, 4.00%, due 06/20/48 | 207,481 | |
125,907 | Government National Mortgage Association, Pool # MA5397, 3.50%, due 08/20/48 | 115,926 | |
127,205 | Government National Mortgage Association, Pool # MA5466, 4.00%, due 09/20/48 | 120,433 | |
103,714 | Government National Mortgage Association, Pool # MA5467, 4.50%, due 09/20/48 | 100,983 | |
44,705 | Government National Mortgage Association, Pool # MA5530, 5.00%, due 10/20/48 | 44,586 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | |||
75,166 | Government National Mortgage Association, Pool # MA5762, 3.50%, due 02/20/49 | 69,206 | |
70,785 | Government National Mortgage Association, Pool # MA5817, 4.00%, due 03/20/49 | 66,952 | |
254,131 | Government National Mortgage Association, Pool # MA5874, 3.00%, due 04/20/49 | 226,890 | |
490,204 | Government National Mortgage Association, Pool # MA6038, 3.00%, due 07/20/49 | 436,140 | |
2,905,054 | Government National Mortgage Association, Pool # MA6090, 3.50%, due 08/20/49 | 2,672,859 | |
176,663 | Government National Mortgage Association, Pool # MA6338, 3.00%, due 12/20/49 | 156,961 | |
409,693 | Government National Mortgage Association, Pool # MA6409, 3.00%, due 01/20/50 | 364,435 | |
52,070 | Government National Mortgage Association, Pool # MA6865, 2.50%, due 09/20/50 | 44,504 | |
239,142 | Government National Mortgage Association, Pool # MA6931, 2.50%, due 10/20/50 | 204,245 | |
181,963 | Government National Mortgage Association, Pool # MA6995, 2.50%, due 11/20/50 | 155,410 | |
1,986,639 | Government National Mortgage Association, Pool # MA7135, 2.00%, due 01/20/51 | 1,629,895 | |
351,110 | Government National Mortgage Association, Pool # MA7254, 2.00%, due 03/20/51 | 287,924 | |
1,916,030 | Government National Mortgage Association, Pool # MA7312, 2.50%, due 04/20/51 | 1,634,360 | |
357,306 | Government National Mortgage Association, Pool # MA7367, 2.50%, due 05/20/51 | 304,812 | |
3,524,425 | Government National Mortgage Association, Pool # MA7534, 2.50%, due 08/20/51 | 3,005,694 | |
1,798,178 | Government National Mortgage Association, Pool # MA7589, 2.50%, due 09/20/51 | 1,533,328 | |
1,777,873 | Government National Mortgage Association, Pool # MA7650, 3.00%, due 10/20/51 | 1,568,454 | |
409,163 | Government National Mortgage Association, Pool # MA7706, 3.00%, due 11/20/51 | 360,966 | |
1,697,704 | Government National Mortgage Association, Pool # MA7829, 3.50%, due 01/20/52 | 1,545,098 | |
2,642,887 | Government National Mortgage Association, Pool # MA7883, 3.50%, due 02/20/52 | 2,405,318 | |
1,855,274 | Government National Mortgage Association, Pool # MA7938, 3.50%, due 03/20/52 | 1,688,498 | |
985,418 | Government National Mortgage Association, Pool # MA7939, 4.00%, due 03/20/52 | 922,275 | |
1,828,821 | Government National Mortgage Association, Pool # MA8150, 4.00%, due 07/20/52 | 1,711,628 | |
3,179,300 | Government National Mortgage Association, Pool # MA8642, 2.50%, due 02/20/53 | 2,711,653 | |
3,500,000 | Government National Mortgage Association, TBA, 2.00%, due 04/20/54 | 2,867,989 | |
1,000,000 | Government National Mortgage Association, TBA, 6.50%, due 05/20/54 | 1,015,853 | |
2,000,000 | Uniform Mortgage-Backed Security, TBA, 2.00%, due 05/01/54 | 1,585,179 | |
3,500,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 04/01/54 | 2,893,431 | |
2,000,000 | Uniform Mortgage-Backed Security, TBA, 4.50%, due 05/01/54 | 1,905,460 | |
500,000 | Uniform Mortgage-Backed Security, TBA, 5.00%, due 04/01/39 | 499,310 | |
2,000,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 04/01/54 | 1,990,385 | |
503,173,805 | |||
Municipal Obligations — 0.8% | |||
60,000 | Alabama Economic Settlement Authority, 4.26%, due 09/15/32 | 57,859 | |
355,000 | Bay Area Toll Authority, 6.26%, due 04/01/49 | 401,639 | |
1,525,000 | California Health Facilities Financing Authority, 4.19%, due 06/01/37 | 1,419,380 | |
1,300,000 | Dallas Fort Worth International Airport, 1.93%, due 11/01/28 | 1,156,046 | |
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(f) | 83,570 | |
337,000 | Golden State Tobacco Securitization Corp., 4.21%, due 06/01/50 | 256,906 | |
1,097,613 | Louisiana Local Government Environmental Facilities & Community Development Authority, 3.62%, due 02/01/29 | 1,075,756 | |
456,000 | Michigan State University, 4.17%, due 08/15/22(f) | 359,643 | |
347,000 | Municipal Electric Authority of Georgia, 6.64%, due 04/01/57 | 400,655 | |
930,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.77%, due 08/01/36 | 960,017 | |
1,205,000 | New York State Urban Development Corp., 5.77%, due 03/15/39 | 1,233,668 | |
330,000 | State Board of Administration Finance Corp., 1.71%, due 07/01/27 | 299,368 | |
885,000 | State of California, 7.50%, due 04/01/34 | 1,041,787 |
Par Value(a) | Description | Value ($) | |
Municipal Obligations — continued | |||
655,000 | State of California, 7.55%, due 04/01/39 | 803,477 | |
935,000 | State of Connecticut, 3.98%, due 06/15/29 | 914,339 | |
1,785,000 | State of Connecticut, 4.51%, due 05/15/28 | 1,788,195 | |
1,690,000 | University of Michigan, 4.45%, due 04/01/22(f) | 1,460,638 | |
595,000 | University of Virginia, 2.58%, due 11/01/51 | 389,850 | |
185,000 | University of Virginia, 4.18%, due 09/01/17(f) | 149,000 | |
14,251,793 | |||
Sovereign Debt Obligations — 0.1% | |||
200,000 | Bermuda Government International Bonds, 2.38%, due 08/20/30 144A | 168,040 | |
215,000 | Export-Import Bank of India, 3.88%, due 02/01/28 144A | 205,109 | |
450,000 | Indonesia Government International Bonds, 3.50%, due 01/11/28 | 427,383 | |
200,000 | Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A | 196,826 | |
200,000 | Korea National Oil Corp., 4.75%, due 04/03/26 144A | 197,597 | |
205,000 | Korea National Oil Corp., 4.88%, due 04/03/28 144A | 204,013 | |
290,000 | Mexico Government International Bonds, 3.50%, due 02/12/34 | 241,923 | |
45,000 | Peru Government International Bonds, 2.78%, due 01/23/31 | 38,613 | |
340,000 | Province of Alberta, 1.30%, due 07/22/30 | 281,404 | |
210,000 | Province of Alberta, 3.30%, due 03/15/28 | 200,524 | |
100,000 | Province of Manitoba, 2.13%, due 06/22/26 | 94,478 | |
220,000 | Province of Quebec, 2.75%, due 04/12/27 | 208,497 | |
314,000 | EUR | Saudi Government International Bonds, 0.75%, due 07/09/27 144A | 312,198 |
2,776,605 | |||
U.S. Government and Agency Obligations — 19.9% | |||
75,000 | Federal National Mortgage Association, 0.88%, due 08/05/30 | 60,761 | |
310,000 | Federal National Mortgage Association, 4.37%, due 03/17/31(j) | 227,207 | |
545,000 | Federal National Mortgage Association, 6.63%, due 11/15/30 | 615,449 | |
210,000 | Tennessee Valley Authority, 1.50%, due 09/15/31 | 173,412 | |
60,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 68,688 | |
5,545,000 | U.S. Treasury Bonds, 1.75%, due 08/15/41 | 3,744,175 | |
1,825,000 | U.S. Treasury Bonds, 2.00%, due 11/15/41 | 1,280,922 | |
897,000 | U.S. Treasury Bonds, 2.00%, due 08/15/51 | 556,035 | |
9,325,000 | U.S. Treasury Bonds, 2.25%, due 05/15/41(k) | 6,893,215 | |
9,069,000 | U.S. Treasury Bonds, 2.25%, due 02/15/52 | 5,967,827 | |
17,900,000 | U.S. Treasury Bonds, 2.38%, due 02/15/42 | 13,319,418 | |
70,000 | U.S. Treasury Bonds, 2.50%, due 02/15/45 | 51,211 | |
26,840,000 | U.S. Treasury Bonds, 3.00%, due 02/15/49 | 20,934,676 | |
17,426,000 | U.S. Treasury Bonds, 3.00%, due 08/15/52 | 13,540,547 | |
27,527,000 | U.S. Treasury Bonds, 3.38%, due 08/15/42 | 23,785,586 | |
24,439,000 | U.S. Treasury Bonds, 3.38%, due 11/15/48 | 20,430,908 | |
9,530,000 | U.S. Treasury Bonds, 3.63%, due 05/15/53 | 8,375,790 | |
8,559,000 | U.S. Treasury Bonds, 3.88%, due 05/15/43 | 7,902,030 | |
23,121,000 | U.S. Treasury Bonds, 4.00%, due 11/15/42 | 21,786,123 | |
4,935,000 | U.S. Treasury Bonds, 4.00%, due 11/15/52 | 4,641,406 | |
9,003,000 | U.S. Treasury Bonds, 4.25%, due 02/15/54 | 8,855,998 | |
13,847,000 | U.S. Treasury Bonds, 4.38%, due 08/15/43 | 13,686,894 | |
13,560,000 | U.S. Treasury Bonds, 4.50%, due 02/15/44 | 13,638,394 | |
17,418,000 | U.S. Treasury Bonds, 4.75%, due 11/15/43 | 18,073,897 |
Par Value(a) | Description | Value ($) | |
U.S. Government and Agency Obligations — continued | |||
17,313,000 | U.S. Treasury Bonds, 4.75%, due 11/15/53 | 18,485,685 | |
3,428,994 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 01/15/30 | 3,105,244 | |
8,885,000 | U.S. Treasury Notes, 0.38%, due 01/31/26 | 8,216,195 | |
12,394,000 | U.S. Treasury Notes, 2.75%, due 08/15/32 | 11,118,289 | |
5,399,000 | U.S. Treasury Notes, 3.38%, due 05/15/33 | 5,058,715 | |
10,836,000 | U.S. Treasury Notes, 3.88%, due 08/15/33 | 10,550,709 | |
2,100,000 | U.S. Treasury Notes, 4.00%, due 12/15/25 | 2,074,488 | |
35,711,000 | U.S. Treasury Notes, 4.00%, due 01/31/29 | 35,348,310 | |
8,773,000 | U.S. Treasury Notes, 4.00%, due 01/31/31 | 8,659,911 | |
22,371,000 | U.S. Treasury Notes, 4.00%, due 02/15/34 | 22,003,976 | |
2,284,000 | U.S. Treasury Notes, 4.25%, due 02/28/29 | 2,287,390 | |
17,823,000 | U.S. Treasury Notes, 4.25%, due 02/28/31 | 17,857,810 | |
5,929,000 | U.S. Treasury STRIPS Coupon, 0.97%, due 08/15/30(j) | 4,522,591 | |
2,310,000 | U.S. Treasury STRIPS Coupon, 1.74%, due 02/15/40(j) | 1,126,967 | |
1,750,000 | U.S. Treasury STRIPS Coupon, 2.26%, due 11/15/42(j) | 739,036 | |
3,430,000 | U.S. Treasury STRIPS Coupon, 2.50%, due 11/15/40(j) | 1,602,336 | |
4,925,000 | U.S. Treasury STRIPS Coupon, 2.58%, due 02/15/43(j) | 2,056,326 | |
2,395,000 | U.S. Treasury STRIPS Coupon, 2.66%, due 08/15/44(j)(l) | 934,190 | |
7,405,000 | U.S. Treasury STRIPS Coupon, 2.78%, due 11/15/41(j) | 3,282,393 | |
166,000 | U.S. Treasury STRIPS Coupon, 3.15%, due 11/15/43(j) | 67,148 | |
2,185,000 | U.S. Treasury STRIPS Coupon, 3.17%, due 05/15/42(j) | 944,672 | |
75,000 | U.S. Treasury STRIPS Coupon, 3.93%, due 02/15/39(j) | 38,689 | |
1,830,000 | U.S. Treasury STRIPS Coupon, 4.06%, due 02/15/41(j) | 843,656 | |
350,000 | U.S. Treasury STRIPS Coupon, 4.48%, due 08/15/40(j) | 165,888 | |
95,000 | U.S. Treasury STRIPS Coupon, 4.67%, due 11/15/48(j) | 31,027 | |
435,000 | U.S. Treasury STRIPS Coupon, 4.88%, due 02/15/42(j) | 190,312 | |
280,000 | U.S. Treasury STRIPS Coupon, 4.99%, due 02/15/49(j) | 90,612 | |
190,000 | U.S. Treasury STRIPS Coupon, 5.44%, due 05/15/40(j) | 91,378 | |
370,104,512 | |||
TOTAL DEBT OBLIGATIONS (COST $1,917,948,219) | 1,827,281,223 |
Shares | Description | Value ($) | |
COMMON STOCK — 0.0% | |||
Industrial — 0.0% | |||
924 | Altera Infrastructure LP/Teekay Offshore Finance Corp.*(m)(n) | 26,796 | |
TOTAL COMMON STOCK (COST $234,312) | 26,796 |
Par Value | Description | Value ($) | |
SHORT-TERM INVESTMENTS — 1.9% | |||
Mutual Fund - Securities Lending Collateral — 0.9% | |||
17,039,610 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(o)(p) | 17,039,610 |
Par Value | Description | Value ($) | |
U.S. Government and Agency Obligation — 1.0% | |||
18,678,000 | U.S. Treasury Bills, 5.00%, due 04/11/24(j) | 18,650,844 | |
TOTAL SHORT-TERM INVESTMENTS (COST $35,690,252) | 35,690,454 | ||
TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS — 100.2% (Cost $1,953,872,783) | 1,862,998,473 | ||
TBA SALE COMMITMENTS — (0.1)% | |||
(2,000,000) | Uniform Mortgage-Backed Security, TBA, 2.00%, due 04/01/54 | (1,582,601) | |
(1,500,000) | Uniform Mortgage-Backed Security, TBA, 3.50%, due 04/01/54 | (1,342,550) | |
TOTAL TBA SALE COMMITMENTS (PROCEEDS $2,947,266) | (2,925,151) | ||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 100.1% (Cost $1,950,925,517) | 1,860,073,322 | ||
Other Assets and Liabilities (net) — (0.1)% | (1,949,387) | ||
NET ASSETS — 100.0% | $1,858,123,935 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate note. Rate shown is as of March 31, 2024. |
(c) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. The rate shown is the rate in effect at March 31, 2024. |
(d) | All or a portion of this security is out on loan. |
(e) | Security is perpetual and has no stated maturity date. |
(f) | Year of maturity is greater than 2100. |
(g) | 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. |
(h) | When-issued security. |
(i) | 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. |
(j) | Interest rate presented is yield to maturity. |
(k) | All or a portion of this security is pledged for open futures collateral. |
(l) | All or a portion of this security is pledged for open centrally cleared swaps collateral. |
(m) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(n) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $26,796 which represents 0.0% of net assets. The aggregate cost of these securities held at March 31, 2024 is $234,312. |
(o) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(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 $333,292,131 which represents 17.9% of net assets. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
EUR | 19,345,788 | USD | 20,935,538 | 04/02/24 | Barclays Bank PLC | $(42,089 ) |
USD | 20,960,901 | EUR | 19,345,788 | 05/02/24 | Barclays Bank PLC | 43,149 |
USD | 20,984,738 | EUR | 19,345,789 | 04/02/24 | JPMorgan Chase Bank N.A. | 91,289 |
$92,349 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
90 | U.S. Treasury Note 10-Year | Jun 2024 | $9,971,719 | $(7,096 ) |
243 | U.S. Treasury Note 2-Year | Jun 2024 | 49,689,703 | (63,390 ) |
279 | U.S. Treasury Note 5-Year | Jun 2024 | 29,857,359 | 11,825 |
36 | U.S. Ultra 10-Year | Jun 2024 | 4,125,938 | 35,876 |
$(22,785 ) | ||||
Sales | ||||
105 | U.S. Long Bond | Jun 2024 | $12,645,937 | $(237,617 ) |
13 | U.S. Ultra Bond | Jun 2024 | 1,677,000 | (23,583 ) |
$(261,200 ) |
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) | |
SOFR | Annual | 4.81% | Annual | 08/31/25 | $— | USD | 11,925,000 | $5,765 | $5,765 |
SOFR | Annual | 4.70% | Annual | 09/25/26 | 154 | USD | 830,000 | (5,864 ) | (6,018 ) |
4.95% | Annual | SOFR | Annual | 03/08/25 | — | USD | 3,816,000 | (4,838 ) | (4,838 ) |
5.09% | Annual | SOFR | Annual | 03/10/25 | — | USD | 10,650,000 | 544 | 544 |
5.11% | Annual | SOFR | Annual | 03/09/25 | — | USD | 4,664,000 | 1,179 | 1,179 |
5.38% | At Maturity | SOFR | At Maturity | 08/31/24 | — | USD | 23,125,000 | (4,760 ) | (4,760 ) |
$(8,128 ) |
Currency Abbreviations | ||
EUR | — | Euro |
USD | — | U.S. Dollar |
Abbreviations | ||
CLO | — | Collateralized Loan Obligation |
CMT | — | Constant Maturity Treasury Index |
EURIBOR | — | Euro Interbank Offered Rate |
LIBOR | — | London Interbank Offered Rate |
RFUCC | — | Refinitiv USD IBOR Consumer Cash Fallbacks |
SOFR | — | Secured Overnight Financing Rate |
STACR | — | Structured Agency Credit Risk |
STRIPS | — | Separate Trading of Registered Interest and Principal of Securities |
TBA | — | To Be Announced |
Asset Class Summary (Unaudited) | % of Net Assets |
Debt Obligations | 98.3 |
Equities | 0.0* |
Swaps | (0.0)* |
Futures Contracts | (0.0)* |
TBA Sale Commitments | (0.1) |
Forward Foreign Currency Contracts | (1.1) |
Short-Term Investments | 1.9 |
Other Assets and Liabilities (net) | 1.0 |
100.0 |
* | Amount rounds to zero. |
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 91.4% | |||
Asset Backed Securities — 4.6% | |||
500,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class C, 7.83% (3 mo. USD Term SOFR + 2.51%), due 10/15/34(b) 144A | 500,622 | |
220,000 | AB BSL CLO 4 Ltd., Series 2023-4A, Class A, 7.32% (3 mo. USD Term SOFR + 2.00%), due 04/20/36(b) 144A | 221,776 | |
603,740 | Aegis Asset-Backed Securities Trust, Series 2005-5, Class M1, 6.09% (1 mo. USD Term SOFR + 0.76%), due 12/25/35(b) | 550,513 | |
650,000 | AGL CLO 22 Ltd., Series 2022-22A, Class D, 10.32% (3 mo. USD Term SOFR + 5.00%), due 10/20/35(b) 144A | 654,873 | |
500,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class DR, 8.22% (3 mo. USD Term SOFR + 2.90%), due 01/17/32(b) 144A | 496,821 | |
830,000 | AIMCO CLO 22 Ltd., Series 2024-22A, Class D, 1.00% (3 mo. USD Term SOFR + 3.40%), due 04/19/37(b)(c) 144A | 833,258 | |
1,060,000 | ALM Ltd., Series 2020-1A, Class D, 11.58% (3 mo. USD Term SOFR + 6.26%), due 10/15/29(b) 144A | 1,050,244 | |
1,000,000 | AMMC CLO 27 Ltd., Series 2022-27A, Class D, 11.33% (3 mo. USD Term SOFR + 6.01%), due 01/20/36(b) 144A | 1,003,984 | |
520,000 | AMMC CLO 30 Ltd., Series 2024-30A, Class D, 9.79% (3 mo. USD Term SOFR + 4.50%), due 01/15/37(b) 144A | 521,041 | |
300,000 | Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, 11.08% (3 mo. USD Term SOFR + 5.76%), due 01/28/31(b) 144A | 295,152 | |
500,000 | Apex Credit CLO Ltd., Series 2019-1A, Class BR, 7.96% (3 mo. USD Term SOFR + 2.66%), due 04/18/32(b) 144A | 494,527 | |
500,000 | Apex Credit CLO Ltd., Series 2019-2A, Class D, 9.64% (3 mo. USD Term SOFR + 4.31%), due 10/25/32(b) 144A | 500,619 | |
420,000 | Apidos CLO XXII Ltd., Series 2015-22A, Class DR, 12.33% (3 mo. USD Term SOFR + 7.01%), due 04/20/31(b) 144A | 418,296 | |
850,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.82%, due 03/05/53 144A | 881,108 | |
810,000 | Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class M1, 3.12% (1 mo. USD Term SOFR + 0.53%), due 07/25/36(b) | 647,328 | |
410,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due 02/20/27 144A | 396,837 | |
500,000 | Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, 8.68% (3 mo. USD Term SOFR + 3.36%), due 10/20/34(b) 144A | 498,465 | |
550,000 | Bain Capital Credit CLO Ltd., Series 2022-2A, Class D1, 8.97% (3 mo. USD Term SOFR + 3.65%), due 04/22/35(b) 144A | 550,675 | |
500,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 10.21% (3 mo. USD Term SOFR + 4.90%), due 04/16/36(b) 144A | 507,520 | |
550,000 | Balboa Bay Loan Funding Ltd., Series 2022-1A, Class D, 9.32% (3 mo. USD Term SOFR + 4.00%), due 04/20/34(b) 144A | 550,590 | |
1,000,000 | Ballyrock CLO 19 Ltd., Series 2022-19A, Class D, 12.43% (3 mo. USD Term SOFR + 7.11%), due 04/20/35(b) 144A | 997,241 | |
275,000 | Ballyrock CLO Ltd., Series 2018-1A, Class C, 8.73% (3 mo. USD Term SOFR + 3.41%), due 04/20/31(b) 144A | 275,526 | |
415,000 | Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 7.13% (3 mo. USD Term SOFR + 1.81%), due 07/15/32(b) 144A | 415,394 | |
700,000 | Barings CLO Ltd., Series 2015-2A, Class DR, 8.53% (3 mo. USD Term SOFR + 3.21%), due 10/20/30(b) 144A | 700,705 | |
250,000 | Barings CLO Ltd., Series 2016-2A, Class ER2, 12.08% (3 mo. USD Term SOFR + 6.76%), due 01/20/32(b) 144A | 251,031 | |
850,000 | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, 12.45% (3 mo. USD Term SOFR + 7.12%), due 07/25/34(b) 144A | 824,461 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
1,400,000 | Buckhorn Park CLO Ltd., Series 2019-1A, Class DR, 8.66% (3 mo. USD Term SOFR + 3.36%), due 07/18/34(b) 144A | 1,402,682 | |
280,000 | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 11.99% (3 mo. USD Term SOFR + 6.67%), due 04/15/34(b) 144A | 270,120 | |
500,000 | Canyon CLO Ltd., Series 2020-1A, Class BR, 7.28% (3 mo. USD Term SOFR + 1.96%), due 07/15/34(b) 144A | 500,482 | |
255,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 7.28% (3 mo. USD Term SOFR + 1.96%), due 10/15/34(b) 144A | 255,248 | |
460,000 | Carlyle Global Market Strategies CLO Ltd., Series 2015-1A, Class DR3, 8.53% (3 mo. USD Term SOFR + 3.21%), due 07/20/31(b) 144A | 460,894 | |
1,300,000 | Carlyle U.S. CLO Ltd., Series 2019-2A, Class DR, 12.08% (3 mo. USD Term SOFR + 6.76%), due 07/15/32(b) 144A | 1,296,669 | |
1,475,000 | Carlyle U.S. CLO Ltd., Series 2019-4A, Class A2R, 7.06% (3 mo. USD Term SOFR + 1.75%), due 04/15/35(b) 144A | 1,467,591 | |
510,000 | Carlyle U.S. CLO Ltd., Series 2021-8A, Class B, 7.23% (3 mo. USD Term SOFR + 1.91%), due 10/15/34(b) 144A | 510,317 | |
1,060,000 | CarVal CLO VII-C Ltd., Series 2023-1A, Class A1, 7.52% (3 mo. USD Term SOFR + 2.20%), due 01/20/35(b) 144A | 1,063,759 | |
500,000 | Catskill Park CLO Ltd., Series 2017-1A, Class D, 11.58% (3 mo. USD Term SOFR + 6.26%), due 04/20/29(b) 144A | 497,582 | |
1,020,000 | CBAM Ltd., Series 2018-6A, Class B2R, 7.68% (3 mo. USD Term SOFR + 2.36%), due 01/15/31(b) 144A | 1,019,681 | |
700,000 | CIFC Funding Ltd., Series 2017-3A, Class C, 9.23% (3 mo. USD Term SOFR + 3.91%), due 07/20/30(b) 144A | 701,385 | |
750,000 | CIFC Funding Ltd., Series 2018-1A, Class C, 7.31% (3 mo. USD Term SOFR + 2.01%), due 04/18/31(b) 144A | 750,571 | |
500,000 | Clover CLO LLC, Series 2018-1A, Class DR, 8.68% (3 mo. USD Term SOFR + 3.36%), due 04/20/32(b) 144A | 500,502 | |
255,000 | Clover CLO Ltd., Series 2019-1A, Class BR, 7.15% (3 mo. USD Term SOFR + 1.85%), due 04/18/35(b) 144A | 255,162 | |
912,000 | Driven Brands Funding LLC, Series 2019-1A, Class A2, 4.64%, due 04/20/49 144A | 884,864 | |
900,000 | Dryden 70 CLO Ltd., Series 2018-70A, Class E, 11.63% (3 mo. USD Term SOFR + 6.31%), due 01/16/32(b) 144A | 893,314 | |
1,000,000 | Dryden 87 CLO Ltd., Series 2021-87A, Class D, 8.53% (3 mo. USD Term SOFR + 3.21%), due 05/20/34(b) 144A | 992,610 | |
630,000 | Eaton Vance CLO Ltd., Series 2020-2A, Class ER, 12.08% (3 mo. USD Term SOFR + 6.76%), due 01/15/35(b) 144A | 612,981 | |
350,000 | Elmwood CLO XI Ltd., Series 2021-4A, Class B, 7.18% (3 mo. USD Term SOFR + 1.86%), due 10/20/34(b) 144A | 350,516 | |
500,000 | Empower CLO Ltd., Series 2023-2A, Class C, 8.71% (3 mo. USD Term SOFR + 3.40%), due 07/15/36(b) 144A | 508,229 | |
159,392 | Falcon Aerospace Ltd., Series 2017-1, 4.58%, due 02/15/42(b)(d) | 150,598 | |
250,000 | Fortress Credit BSL XII Ltd., Series 2021-4A, Class E, 12.71% (3 mo. USD Term SOFR + 7.39%), due 10/15/34(b) 144A | 247,189 | |
1,290,000 | FS Rialto Issuer LLC, Series 2022-FL7, Class A, 8.22% (1 mo. USD Term SOFR + 2.90%), due 10/19/39(b) 144A | 1,297,642 | |
500,000 | Gallatin Funding Ltd., Series 2023-1A, Class C1, 9.16% (3 mo. USD Term SOFR + 3.85%), due 10/14/35(b) 144A | 502,093 | |
1,060,000 | Generate CLO 7 Ltd., Series 7A, Class BR, 7.50% (3 mo. USD Term SOFR + 2.20%), due 04/22/37(b) 144A | 1,061,489 | |
250,000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 8.53% (3 mo. USD Term SOFR + 3.21%), due 10/15/30(b) 144A | 250,316 | |
750,000 | GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class D, 8.43% (3 mo. USD Term SOFR + 3.11%), due 04/20/30(b) 144A | 751,156 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
220,000 | Golub Capital Partners CLO 66B Ltd., Series 2023-66A, Class A, 7.27% (3 mo. USD Term SOFR + 1.95%), due 04/25/36(b) 144A | 221,654 | |
250,000 | Greenwood Park CLO Ltd., Series 2018-1A, Class E, 10.53% (3 mo. USD Term SOFR + 5.21%), due 04/15/31(b) 144A | 239,457 | |
630,000 | Greystone CRE Notes, Series 2024-HC3, Class D, 10.66% (1 mo. USD Term SOFR + 5.33%), due 03/15/41(b) 144A | 630,590 | |
250,000 | Greywolf CLO II Ltd., Series 2019-1RA, Class CR, 9.23% (3 mo. USD Term SOFR), due 04/17/34(b) 144A | 250,480 | |
255,000 | Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 7.21% (3 mo. USD Term SOFR + 1.89%), due 04/26/31(b) 144A | 253,884 | |
750,000 | Greywolf CLO VI Ltd., Series 2018-1A, Class D, 11.33% (3 mo. USD Term SOFR + 6.01%), due 04/26/31(b) 144A | 753,619 | |
53,799 | GSAA Home Equity Trust, Series 2007-7, Class A4, 5.98% (1 mo. USD Term SOFR + 0.65%), due 07/25/37(b) | 49,968 | |
290,000 | HalseyPoint CLO I Ltd., Series 2019-1A, Class F, 13.78% (3 mo. USD Term SOFR + 8.46%), due 01/20/33(b) 144A | 262,074 | |
200,000 | Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 7.38% (3 mo. USD Term SOFR + 2.06%), due 04/28/31(b) 144A | 200,140 | |
1,765,000 | HPS Loan Management Ltd., Series 2023-18A, Class B, 8.27% (3 mo. USD Term SOFR + 2.95%), due 07/20/36(b) 144A | 1,786,930 | |
730,000 | Katayma CLO II Ltd., Series 2024-2A, Class D, 9.79% (3 mo. USD Term SOFR + 4.50%), due 04/20/37(b) 144A | 732,864 | |
870,000 | KREF Ltd., Series 2022-FL3, Class A, 6.78% (1 mo. USD Term SOFR + 1.45%), due 02/17/39(b) 144A | 864,562 | |
149,457 | Long Beach Mortgage Loan Trust, Series 2005-1, Class M4, 6.72% (1 mo. USD Term SOFR + 1.39%), due 02/25/35(b) | 146,004 | |
250,000 | Madison Park Funding XLVIII Ltd., Series 2021-48A, Class B, 7.02% (3 mo. USD Term SOFR + 1.71%), due 04/19/33(b) 144A | 250,073 | |
425,000 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A2R, 7.24% (3 mo. USD Term SOFR + 1.91%), due 04/25/29(b) 144A | 425,240 | |
1,300,000 | Madison Park Funding XXVIII Ltd., Series 2018-28A, Class E, 10.83% (3 mo. USD Term SOFR + 5.51%), due 07/15/30(b) 144A | 1,284,544 | |
1,405,000 | Madison Park Funding XXXIX Ltd., Series 2021-39A, Class D, 8.63% (3 mo. USD Term SOFR + 3.31%), due 10/22/34(b) 144A | 1,406,422 | |
900,000 | Magnetite XII Ltd., Series 2015-12A, Class ER, 11.26% (3 mo. USD Term SOFR + 5.94%), due 10/15/31(b) 144A | 903,401 | |
500,000 | Magnetite XXII Ltd., Series 2019-22A, Class DR, 8.68% (3 mo. USD Term SOFR + 3.36%), due 04/15/31(b) 144A | 500,537 | |
1,435,000 | Magnetite XXIV Ltd., Series 2019-24A, Class BR, 7.06% (3 mo. USD Term SOFR + 1.75%), due 04/15/35(b) 144A | 1,436,604 | |
579,347 | Magnolia Finance X DAC, Series 2020-1, 8.21%, due 08/13/24(e) | 577,872 | |
397,842 | Mill City Solar Loan Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A | 369,360 | |
524,318 | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, due 12/20/46 144A | 446,852 | |
711,991 | National Collegiate Student Loan Trust, Series 2007-2, Class A4, 5.73% (1 mo. USD Term SOFR + 0.40%), due 01/25/33(b) | 672,653 | |
370,000 | Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.22%, due 06/16/42 144A | 351,439 | |
1,356,300 | Neighborly Issuer LLC, Series 2023-1A, Class A2, 7.31%, due 01/30/53 144A | 1,376,917 | |
250,000 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 11.50% (3 mo. USD Term SOFR + 6.18%), due 10/21/30(b) 144A | 248,769 | |
750,000 | Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class DR, 8.41% (3 mo. USD Term SOFR + 3.11%), due 10/18/29(b) 144A | 747,568 | |
540,000 | Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class DR, 8.83% (3 mo. USD Term SOFR + 3.51%), due 04/20/31(b) 144A | 540,556 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
750,000 | Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class DR, 8.48% (3 mo. USD Term SOFR + 3.16%), due 10/16/33(b) 144A | 751,171 | |
500,000 | Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class CR, 7.42% (3 mo. USD Term SOFR + 2.10%), due 01/20/35(b) 144A | 500,590 | |
480,000 | Neuberger Berman Loan Advisers CLO 44 Ltd., Series 2021-44A, Class E, 11.58% (3 mo. USD Term SOFR + 6.26%), due 10/16/34(b) 144A | 478,817 | |
700,000 | Ocean Trails CLO IX, Series 2020-9A, Class CR, 8.13% (3 mo. USD Term SOFR + 2.81%), due 10/15/34(b) 144A | 700,589 | |
750,000 | Ocean Trails CLO IX, Series 2020-9A, Class DR, 9.33% (3 mo. USD Term SOFR + 4.01%), due 10/15/34(b) 144A | 750,799 | |
930,000 | Ocean Trails CLO XIV Ltd., Series 2023-14A, Class A1, 7.32% (3 mo. USD Term SOFR + 2.00%), due 01/20/35(b) 144A | 934,803 | |
1,285,000 | OCP CLO Ltd., Series 2015-9A, Class BR2, 7.07% (3 mo. USD Term SOFR + 1.75%), due 01/15/33(b) 144A | 1,281,159 | |
630,000 | OCP CLO Ltd., Series 2016-11A, Class DR2, 9.02% (3 mo. USD Term SOFR + 3.70%), due 04/26/36(b) 144A | 631,215 | |
500,000 | Octagon Investment Partners 32 Ltd., Series 2017-1A, Class D, 8.98% (3 mo. USD Term SOFR + 3.66%), due 07/15/29(b) 144A | 500,506 | |
325,000 | Octagon Investment Partners 35 Ltd., Series 2018-1A, Class C, 8.18% (3 mo. USD Term SOFR + 2.86%), due 01/20/31(b) 144A | 318,923 | |
275,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class BR, 7.18% (3 mo. USD Term SOFR + 1.86%), due 04/21/34(b) 144A | 275,193 | |
1,000,000 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class BR, 7.23% (3 mo. USD Term SOFR + 1.91%), due 10/22/36(b) 144A | 1,001,416 | |
500,000 | OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, 6.61% (3 mo. USD Term SOFR + 1.30%), due 02/24/37(b) 144A | 500,510 | |
700,000 | OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 8.63% (3 mo. USD Term SOFR + 3.31%), due 07/23/31(b) 144A | 700,934 | |
850,000 | Option One Mortgage Loan Trust, Series 2005-3, Class M4, 6.37% (1 mo. USD Term SOFR + 1.04%), due 08/25/35(b) | 692,514 | |
250,000 | Owl Rock CLO III Ltd., Series 2020-3A, Class A1L, 7.38% (3 mo. USD Term SOFR + 2.06%), due 04/20/32(b) 144A | 250,172 | |
605,000 | OZLM XXIII Ltd., Series 2019-23A, Class B1R, 7.43% (3 mo. USD Term SOFR + 2.11%), due 04/15/34(b) 144A | 605,334 | |
300,000 | Palmer Square CLO Ltd., Series 2021-4A, Class B, 7.23% (3 mo. USD Term SOFR + 1.91%), due 10/15/34(b) 144A | 300,362 | |
250,000 | Palmer Square Loan Funding Ltd., Series 2021-2A, Class B, 6.98% (3 mo. USD Term SOFR + 1.66%), due 05/20/29(b) 144A | 250,306 | |
990,000 | Palmer Square Loan Funding Ltd., Series 2022-3A, Class CR, 8.32% (3 mo. USD Term SOFR + 3.00%), due 04/15/31(b) 144A | 991,966 | |
250,000 | Parallel Ltd., Series 2017-1A, Class CR, 7.58% (3 mo. USD Term SOFR + 2.26%), due 07/20/29(b) 144A | 248,024 | |
575,000 | Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A, Class B, 7.33% (3 mo. USD Term SOFR + 2.01%), due 07/15/34(b) 144A | 575,550 | |
390,000 | Peace Park CLO Ltd., Series 2021-1A, Class E, 11.58% (3 mo. USD Term SOFR + 6.26%), due 10/20/34(b) 144A | 391,505 | |
434,700 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 425,514 | |
1,005,000 | PPM CLO Ltd., Series 2018-1A, Class B2, 7.43% (3 mo. USD Term SOFR + 2.11%), due 07/15/31(b) 144A | 1,005,616 | |
520,000 | Rad CLO 21 Ltd., Series 2023-21A, Class D, 9.77% (3 mo. USD Term SOFR + 4.40%), due 01/25/33(b) 144A | 521,480 | |
270,585 | Renaissance Home Equity Loan Trust, Series 2003-2, Class A, 4.30% (1 mo. USD Term SOFR + 0.99%), due 08/25/33(b) | 246,992 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
1,160,000 | Residential Asset Securities Corporation Trust, Series 2006-KS2, Class M3, 6.06% (1 mo. USD Term SOFR + 0.73%), due 03/25/36(b) | 1,095,116 | |
1,213,291 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 6.68% (3 mo. USD Term SOFR + 1.36%), due 05/20/31(b) 144A | 1,213,772 | |
325,000 | Rockford Tower CLO Ltd., Series 2021-3A, Class B, 7.33% (3 mo. USD Term SOFR + 2.01%), due 10/20/34(b) 144A | 325,189 | |
720,000 | RR 18 Ltd., Series 2021-18A, Class D, 11.83% (3 mo. USD Term SOFR + 6.51%), due 10/15/34(b) 144A | 706,748 | |
430,000 | Sculptor CLO XXVI Ltd., Series 26A, Class E, 12.83% (3 mo. USD Term SOFR + 7.51%), due 07/20/34(b) 144A | 429,966 | |
515,000 | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 8.48% (3 mo. USD Term SOFR + 3.16%), due 04/20/34(b) 144A | 513,544 | |
50,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 8.30%, due 06/15/32(e) | 49,594 | |
50,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 7.96%, due 03/15/33(e) | 48,769 | |
308,018 | SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53 144A | 267,020 | |
1,500,000 | SMB Private Education Loan Trust, Series 2023-B, Class B, 5.77%, due 10/16/56 144A | 1,491,208 | |
940,000 | Southwick Park CLO LLC, Series 2019-4A, Class DR, 8.53% (3 mo. USD Term SOFR + 3.21%), due 07/20/32(b) 144A | 941,794 | |
478,516 | Stonepeak ABS, Series 2021-1A, Class A, 2.68%, due 02/28/33 144A | 435,822 | |
1,000,000 | Symphony CLO XXV Ltd., Series 2021-25A, Class D, 9.17% (3 mo. USD Term SOFR + 3.86%), due 04/19/34(b) 144A | 989,956 | |
790,000 | Trinitas CLO XXVI Ltd., Series 2023-26A, Class C, 8.27% (3 mo. USD Term SOFR + 2.95%), due 01/20/35(b) 144A | 793,997 | |
1,190,000 | Trinitas CLO XXVII Ltd., Series 2024-27A, Class D1, 9.55% (3 mo. USD Term SOFR + 4.30%), due 04/18/37(b) 144A | 1,192,282 | |
620,000 | Valley Stream Park CLO Ltd., Series 2022-1A, Class DR, 9.47% (3 mo. USD Term SOFR + 4.15%), due 10/20/34(b) 144A | 624,109 | |
500,000 | Venture 43 CLO Ltd., Series 2021-43A, Class D, 9.05% (3 mo. USD Term SOFR + 3.73%), due 04/15/34(b) 144A | 475,287 | |
500,000 | Verde CLO Ltd., Series 2019-1A, Class DR, 8.83% (3 mo. USD Term SOFR + 3.51%), due 04/15/32(b) 144A | 500,982 | |
660,000 | Voya CLO Ltd., Series 2017-2A, Class A2AR, 7.23% (3 mo. USD Term SOFR + 1.91%), due 06/07/30(b) 144A | 659,975 | |
260,000 | Voya CLO Ltd., Series 2017-3A, Class DR, 12.53% (3 mo. USD Term SOFR + 7.21%), due 04/20/34(b) 144A | 248,979 | |
690,000 | Warwick Capital CLO 3 Ltd., Series 2024-3A, Class D, 1.00% (3 mo. USD Term SOFR + 4.50%), due 04/20/37(b)(c) 144A | 692,710 | |
255,000 | Whitebox CLO I Ltd., Series 2019-1A, Class ANBR, 7.28% (3 mo. USD Term SOFR + 1.96%), due 07/24/32(b) 144A | 255,139 | |
260,000 | Whitebox CLO II Ltd., Series 2020-2A, Class A1R, 6.80% (3 mo. USD Term SOFR + 1.48%), due 10/24/34(b) 144A | 260,039 | |
250,000 | Wind River CLO Ltd., Series 2021-4A, Class B, 7.23% (3 mo. USD Term SOFR + 1.91%), due 01/20/35(b) 144A | 250,239 | |
82,719,478 | |||
Bank Loans — 11.5% | |||
718,200 | 1011778 BC Unlimited Liability Co., 2023 Term Loan B5, 7.58% (1 mo. USD Term SOFR + 2.25%), due 09/20/30(b) | 718,559 | |
1,936,495 | 19th Holdings Golf LLC, 2022 Term Loan B, 8.67% (1 mo. USD Term SOFR + 3.35%), due 02/07/29(b) | 1,894,134 | |
1,468,158 | Access CIG LLC, 2023 Term Loan TBD, due 08/18/28(f) | 1,471,420 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,151 | ACProducts, Inc., 2021 Term Loan B, 9.86% (3 mo. USD Term SOFR + 4.25%), due 05/17/28(b) | 1,053 | |
121,145 | Acrisure LLC, 2020 Term Loan B, 8.94% (1 mo. USD Term SOFR + 3.50%), due 02/15/27(b) | 121,211 | |
982,412 | Acrisure LLC, 2021 First Lien Term Loan B, 9.69% (1 mo. USD Term SOFR + 4.25%), due 02/15/27(b) | 986,249 | |
801,915 | Acrisure LLC, 2023 Term Loan, 9.83% (1 mo. USD Term SOFR + 4.50%), due 11/06/30(b) | 806,927 | |
479,122 | EUR | Adevinta ASA, EUR Term Loan B, 6.33% (1 mo. EURIBOR + 2.50%), due 06/26/28(b) | 518,260 |
2,319,000 | Adient US LLC, 2024 Term Loan B2, 8.08% (1 mo. USD Term SOFR + 2.75%), due 01/31/31(b) | 2,327,490 | |
142,821 | Adtalem Global Education Inc., 2024 Term Loan B, 8.83% (1 mo. USD Term SOFR + 3.50%), due 08/11/28(b) | 143,379 | |
708,225 | Advisor Group, Inc., 2023 Term Loan B, 9.83% (1 mo. USD Term SOFR + 4.50%), due 08/17/28(b) | 711,809 | |
480,000 | Advisor Group, Inc., 2024 Term Loan TBD, due 08/17/28(f) | 482,529 | |
3,513 | Agiliti Health, Inc., 2023 Term Loan, 8.32% (3 mo. USD Term SOFR + 3.00%), due 05/01/30(b) | 3,503 | |
2,144,225 | Agiliti Health, Inc., 2023 Term Loan, 8.33% (3 mo. USD Term SOFR + 3.00%), due 05/01/30(b) | 2,138,195 | |
99,826 | AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 9.57% (SOFR CME + 4.25%), due 07/31/28(b) | 100,255 | |
1,156,522 | AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 9.58% (SOFR CME + 4.25%), due 07/31/28(b) | 1,161,491 | |
1,753,644 | A-L Parent LLC, 2023 Take Back Term Loan, 10.83% (1 mo. USD Term SOFR + 5.50%), due 06/30/28(b) | 1,752,183 | |
768,123 | Allen Media LLC, 2021 Term Loan B, 10.96% (3 mo. USD Term SOFR + 5.50%), due 02/10/27(b) | 673,259 | |
1,543,902 | Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 9.18% (1 mo. USD Term SOFR + 3.75%), due 05/12/28(b) | 1,543,366 | |
557,200 | Allied Universal Holdco LLC, 2023 Term Loan B, 10.08% (1 mo. USD Term SOFR + 4.75%), due 05/12/28(b) | 559,539 | |
1,277,250 | Amentum Government Services Holdings LLC, 2022 Term Loan, 9.33% (1 mo. USD Term SOFR + 4.00%), due 02/15/29(b) | 1,282,438 | |
485,841 | Amentum Government Services Holdings LLC, Term Loan B, 9.44% (1 mo. USD Term SOFR + 4.00%), due 01/29/27(b) | 487,815 | |
1,453,978 | American Airlines, Inc., 2021 Term Loan, 10.33% (3 mo. USD Term SOFR + 4.75%), due 04/20/28(b) | 1,512,477 | |
1,272,292 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 8.94% (1 mo. USD Term SOFR + 3.50%), due 11/30/28(b) | 1,267,520 | |
1,245,684 | AmWINS Group, Inc., 2021 Term Loan B, 7.69% (1 mo. USD Term SOFR + 2.25%), due 02/19/28(b) | 1,246,321 | |
985,025 | AmWINS Group, Inc., 2023 Incremental Term Loan B, 8.19% (1 mo. USD Term SOFR + 2.75%), due 02/19/28(b) | 988,026 | |
341,148 | Anticimex International AB, 2021 USD Term Loan B1, 8.46% (3 mo. USD Term SOFR + 3.15%), due 11/16/28(b) | 341,930 | |
144,809 | Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 8.94% (1 mo. USD Term SOFR + 3.50%), due 03/11/28(b) | 143,723 | |
498,691 | Apollo Commercial Real Estate Finance, Inc., Term Loan B, 8.19% (1 mo. USD Term SOFR + 2.75%), due 05/15/26(b) | 497,444 | |
1,268,285 | Arctic Canadian Diamond Co. Ltd., 2nd Lien PIK Term Loan, 10.00% (10.00% Fixed or PIK), due 12/31/27(b)(d)(g) | 1,146,530 | |
1,295,920 | EUR | Aruba Investments Holdings LLC, 2020 EUR Term Loan, 7.83% (1 mo. EURIBOR + 4.00%), due 11/24/27(b) | 1,350,608 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
641,056 | Aruba Investments Holdings LLC, 2020 USD Term Loan, 9.43% (1 mo. USD Term SOFR + 0.00%), due 11/24/27(b) | 641,858 | |
633,371 | AssuredPartners, Inc., 2023 Term Loan B4, 9.08% (1 mo. USD Term SOFR + 3.75%), due 02/12/27(b) | 634,690 | |
900,000 | Asurion LLC, 2021 Second Lien Term Loan B4, 10.69% (1 mo. USD Term SOFR + 5.25%), due 01/20/29(b) | 807,937 | |
490,432 | Asurion LLC, 2021 Term Loan B9, 8.69% (1 mo. USD Term SOFR + 3.25%), due 07/31/27(b) | 472,756 | |
603,831 | Asurion LLC, 2022 Term Loan B10, 9.43% (1 mo. USD Term SOFR + 4.00%), due 08/19/28(b) | 582,194 | |
1,465,522 | Autokiniton U.S. Holdings, Inc., 2024 Term Loan B, 9.44% (3 mo. USD Term SOFR + 4.00%), due 04/06/28(b) | 1,472,196 | |
672,315 | Barnes Group, Inc., 2024 Term Loan TBD, due 09/03/30(f) | 673,576 | |
688,540 | Bausch & Lomb Corp., 2023 Incremental Term Loan, 9.33% (1 mo. USD Term SOFR + 4.00%), due 09/29/28(b) | 689,831 | |
1,118,000 | EUR | Belron Luxembourg SARL, 2021 EUR Term Loan B, 6.35% (3 mo. EURIBOR + 2.43%), due 04/13/28(b) | 1,212,534 |
780,000 | Blackhawk Network Holdings, Inc., 2024 Term Loan, 10.32% (3 mo. USD Term SOFR + 5.00%), due 03/12/29(b) | 782,156 | |
500,000 | Brookfield WEC Holdings, Inc., 2024 Term Loan, 8.08% (1 mo. USD Term SOFR + 2.75%), due 01/27/31(b) | 499,930 | |
256,125 | Brown Group Holding LLC, 2022 Incremental Term Loan B2, 8.34% (3 mo. USD Term SOFR + 3.00%), due 07/02/29(b) | 256,445 | |
880,244 | Brown Group Holding LLC, 2022 Incremental Term Loan B2, 8.31% (3 mo. USD Term SOFR + 3.00%), due 07/02/29(b) | 881,345 | |
493,220 | Brown Group Holding LLC, Term Loan B, 8.18% (1 mo. USD Term SOFR + 2.75%), due 06/07/28(b) | 493,364 | |
316,800 | Caesars Entertainment Inc., Term Loan B, 8.66% (3 mo. USD Term SOFR + 3.25%), due 02/06/30(b) | 317,963 | |
6,484,000 | Caesars Entertainment, Inc., 2024 Term Loan B1, 8.04% (3 mo. USD Term SOFR + 2.75%), due 02/06/31(b) | 6,497,778 | |
1,006,585 | Camelot U.S. Acquisition LLC, 2024 Term Loan B, 8.08% (1 mo. USD Term SOFR + 2.75%), due 01/31/31(b) | 1,007,319 | |
1,368,975 | Cardinal Parent, Inc., 2020 Term Loan B, 10.00% (3 mo. USD Term SOFR + 4.50%), due 11/12/27(b) | 1,283,414 | |
387,075 | Carnival Corp., 2023 Term Loan B, 8.32% (1 mo. USD Term SOFR + 3.00%), due 08/08/27(b) | 387,922 | |
788,167 | Carriage Purchaser, Inc., 2021 Term Loan B, 9.69% (1 mo. USD Term SOFR + 4.25%), due 10/02/28(b) | 790,630 | |
886,500 | CB Poly U.S. Holdings, Inc., Term Loan B, 10.85% (3 mo. USD Term SOFR + 5.50%), due 05/18/29(b) | 885,484 | |
1,788,803 | CCI Buyer, Inc., Term Loan, 9.32% (3 mo. USD Term SOFR + 4.00%), due 12/17/27(b) | 1,780,498 | |
918,786 | Cengage Learning, Inc., 2024 Term Loan B, 9.58% (3 mo. USD Term SOFR + 4.25%), due 03/15/31(b) | 918,819 | |
1,987,487 | Central Parent, Inc., 2023 Term Loan B, 9.31% (3 mo. USD Term SOFR + 4.00%), due 07/06/29(b) | 1,995,296 | |
490,000 | Chromalloy Corp., 2024 Term Loan B TBD, due 03/21/31(f) | 488,775 | |
1,543,099 | Cimpress Public Ltd. Co., USD Term Loan B, 8.94% (1 mo. USD Term SOFR + 3.50%), due 05/17/28(b) | 1,544,547 | |
1,027,813 | Cinemark USA, Inc., 2023 Term Loan B, 9.08% (1 mo. USD Term SOFR + 3.75%), due 05/24/30(b) | 1,032,739 | |
447,287 | Cinemark USA, Inc., 2023 Term Loan B, 9.10% (3 mo. USD Term SOFR + 3.75%), due 05/24/30(b) | 449,430 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
2,425,709 | Citadel Securities LP, 2024 Term Loan B, 7.58% (1 mo. USD Term SOFR + 2.25%), due 07/29/30(b) | 2,426,315 | |
897,750 | Clarios Global LP, 2024 Term Loan B, 8.33% (1 mo. USD Term SOFR + 3.00%), due 05/06/30(b) | 900,555 | |
178,206 | Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, 9.44% (1 mo. USD Term SOFR + 4.00%), due 08/23/28(b) | 178,290 | |
498,735 | Cloud Software Group, Inc., 2022 USD Term Loan B TBD, due 03/30/29(f) | 496,745 | |
160,000 | Cloudera, Inc., 2021 Second Lien Term Loan, 11.43% (1 mo. USD Term SOFR + 6.00%), due 10/08/29(b) | 159,000 | |
817,914 | Cloudera, Inc., 2021 Term Loan, 9.08% (1 mo. USD Term SOFR + 3.75%), due 10/08/28(b) | 815,485 | |
358,683 | Clydesdale Acquisition Holdings, Inc., Term Loan B, 9.11% (1 mo. USD Term SOFR + 3.68%), due 04/13/29(b) | 359,532 | |
1,180,943 | CommScope, Inc., 2019 Term Loan B, 8.58% (1 mo. USD Term SOFR + 3.25%), due 04/06/26(b) | 1,076,627 | |
498,721 | CoreLogic, Inc., Term Loan, 8.94% (1 mo. USD Term SOFR + 3.50%), due 06/02/28(b) | 489,007 | |
1,100,000 | Cotiviti Corp., 2024 Term Loan TBD, due 02/21/31(f) | 1,101,834 | |
1,155,885 | Cotiviti Corp., 2024 Term Loan TBD, due 02/21/31(f) | 1,155,885 | |
3,500,067 | Crown Subsea Communications Holding,Inc., 2024 Term Loan B, 10.07% (3 mo. USD Term SOFR + 4.75%), due 01/30/31(b) | 3,525,005 | |
587,409 | CTC Holdings LP, Term Loan B, 10.48% (3 mo. USD Term SOFR + 5.00%), due 02/20/29(b) | 585,941 | |
1,692,399 | DCert Buyer, Inc., 2019 Term Loan B, 9.33% (1 mo. USD Term SOFR + 4.00%), due 10/16/26(b) | 1,686,369 | |
915,200 | DCert Buyer, Inc., 2021 2nd Lien Term Loan, 12.33% (1 mo. USD Term SOFR + 7.00%), due 02/19/29(b) | 828,733 | |
833,775 | Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 9.06% (3 mo. USD Term SOFR + 3.75%), due 04/09/27(b) | 830,544 | |
288,100 | Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan, 12.32% (3 mo. USD Term SOFR + 6.75%), due 04/07/28(b) | 288,820 | |
2,610,315 | DirecTV Financing, LLC, 2024 Term Loan, 10.25% (2 mo. USD Term SOFR + 5.00%), due 08/02/29(b) | 2,610,783 | |
802,445 | DirecTV Financing, LLC, 2024 Term Loan TBD, due 08/02/29(f) | 802,589 | |
1,150,000 | DS Parent, Inc., Term Loan B, 10.81% (3 mo. USD Term SOFR + 5.50%), due 01/31/31(b) | 1,140,895 | |
1,646,590 | Dun & Bradstreet Corp., 2024 Term Loan B, 8.08% (1 mo. USD Term SOFR + 2.75%), due 01/18/29(b) | 1,648,135 | |
347,900 | Electron BidCo, Inc., 2021 Term Loan, 8.44% (1 mo. USD Term SOFR + 3.00%), due 11/01/28(b) | 349,018 | |
401,372 | Embecta Corp., Term Loan B, 8.33% (1 mo. USD Term SOFR + 3.00%), due 03/30/29(b) | 372,711 | |
1,507,363 | Emrld Borrower LP, Term Loan B, 7.79% (3 mo. USD Term SOFR + 2.50%), due 05/31/30(b) | 1,507,551 | |
930,702 | Endure Digital, Inc., Term Loan, 9.42% (6 mo. USD Term SOFR + 3.50%), due 02/10/28(b) | 910,634 | |
335,160 | EP Purchaser LLC, 2021 Term Loan B, 9.07% (3 mo. USD Term SOFR + 3.50%), due 11/06/28(b) | 333,191 | |
441,000 | EVERTEC Group LLC, 2023 Term Loan B, 8.83% (1 mo. USD Term SOFR + 3.50%), due 10/30/30(b) | 442,654 | |
440,000 | EyeCare Partners LLC, 2021 2nd Lien Term Loan, 12.32% (3 mo. USD Term SOFR + 6.75%), due 11/15/29(b) | 162,067 | |
470,400 | EyeCare Partners LLC, 2021 Incremental Term Loan, 9.32% (3 mo. USD Term SOFR + 3.75%), due 11/15/28(b) | 252,448 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
987,500 | EyeCare Partners LLC, 2022 Incremental Term Loan, 9.91% (3 mo. USD Term SOFR + 4.50%), due 11/15/28(b) | 518,437 | |
225,776 | Fanatics Commerce Intermediate Holdco LLC, Term Loan B, 8.69% (1 mo. USD Term SOFR + 3.25%), due 11/24/28(b) | 225,600 | |
1,095,529 | First Brands Group LLC, 2021 Term Loan, 10.57% (3 mo. USD Term SOFR + 5.00%), due 03/30/27(b)(f) | 1,098,542 | |
1,507,210 | First Brands Group LLC, 2022 Incremental Term Loan, 10.57% (3 mo. USD Term SOFR + 5.00%), due 03/30/27(b) | 1,510,665 | |
1,306,725 | Flutter Financing BV, Term Loan B, 7.66% (3 mo. USD Term SOFR + 2.25%), due 11/25/30(b) | 1,308,475 | |
476,749 | Focus Financial Partners LLC, 2021 Term Loan B4, 7.83% (1 mo. USD Term SOFR + 2.50%), due 06/30/28(b) | 475,557 | |
897,727 | Four Seasons Hotels, Ltd., 2024 Term Loan B, 7.32% (3 mo. USD Term SOFR + 2.00%), due 11/30/29(b) | 899,972 | |
113,573 | EUR | Froneri International Ltd., 2020 EUR Term Loan B1, 5.99% (6 mo. EURIBOR + 2.13%), due 01/29/27(b) | 121,711 |
647,083 | Gainwell Acquisition Corp., Term Loan B, 9.41% (3 mo. USD Term SOFR + 4.00%), due 10/01/27(b) | 620,998 | |
3,042,976 | Garda World Security Corp., 2022 Term Loan B, 9.58% (3 mo. USD Term SOFR + 4.25%), due 02/01/29(b) | 3,051,853 | |
982,097 | Genesee & Wyoming, Inc., Term Loan, 7.45% (3 mo. USD Term SOFR + 2.00%), due 12/30/26(b) | 983,456 | |
687,000 | Genesys Cloud Services Holdings II LLC, Term Loan B, 9.19% (1 mo. USD Term SOFR + 3.75%), due 12/01/27(b) | 690,364 | |
715,879 | Geo Group, Inc., 2022 Tranche 1 Term Loan, 12.21% (1 mo. USD Term SOFR + 6.88%), due 03/23/27(b) | 737,057 | |
1,988,941 | Gray Television, Inc., 2021 Term Loan D, 8.44% (1 mo. USD Term SOFR + 3.00%), due 12/01/28(b) | 1,868,672 | |
520,062 | Greystone Select Financial LLC, Term Loan B, 10.57% (3 mo. USD Term SOFR + 5.00%), due 06/16/28(b) | 520,062 | |
372,000 | EUR | GTCR W Merger Sub LLC, EUR Term Loan B, 7.15% (3 mo. EURIBOR + 3.25%), due 01/31/31(b) | 402,664 |
1,923,012 | GTCR W Merger Sub LLC, USD Term Loan B, 8.31% (1 mo. USD Term SOFR + 3.00%), due 01/31/31(b) | 1,930,975 | |
1,501,840 | Harbor Freight Tools USA, Inc., 2021 Term Loan B, 8.19% (1 mo. USD Term SOFR + 2.75%), due 10/19/27(b) | 1,502,740 | |
223,250 | Hayward Industries, Inc., 2022 Term Loan, 8.68% (1 mo. USD Term SOFR + 3.25%), due 05/30/28(b) | 223,773 | |
151,050 | Hayward Industries, Inc., 2022 Term Loan, 10.75% (U.S. (Fed) Prime Rate + 2.25%), due 05/30/28(b) | 151,404 | |
178,200 | Howden Group Holdings Ltd., 2023 USD Term Loan B, 9.33% (1 mo. USD Term SOFR + 4.00%), due 04/18/30(b) | 179,147 | |
978,272 | Hudson River Trading LLC, 2021 Term Loan, 8.44% (1 mo. USD Term SOFR + 3.00%), due 03/20/28(b) | 973,041 | |
1,645,669 | II-VI, Inc., 2022 Term Loan B, 8.08% (1 mo. USD Term SOFR + 2.75%), due 07/02/29(b) | 1,651,018 | |
620,277 | Ingram Micro, Inc., 2023 Term Loan, 8.61% (3 mo. USD Term SOFR + 3.00%), due 06/30/28(b) | 622,215 | |
90,818 | International Textile Group, Inc., 2023 Last Out Term Loan, 6.48% (3 mo. USD SOFR + 1.15%, 5.50% PIK), due 09/30/27(b) | 66,676 | |
59,550 | International Textile Group, Inc., 2023 Term Loan, 13.98% (3 mo. USD Term SOFR + 8.65%), due 09/30/27(b) | 59,327 | |
517,483 | IXS Holdings, Inc., 2020 Term Loan B, 9.69% (6 mo. USD Term SOFR + 4.25%), due 03/05/27(b) | 494,011 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
497,670 | IXS Holdings, Inc., 2020 Term Loan B TBD, due 03/05/27(f) | 475,097 | |
1,600,810 | Jazz Financing Lux S.a.r.l., 2024 Term Loan B, 8.44% (1 mo. USD Term SOFR + 3.00%), due 05/05/28(b) | 1,610,370 | |
1,310,660 | Jump Financial LLC, Term Loan B, 9.82% (3 mo. USD Term SOFR + 4.50%), due 08/07/28(b) | 1,295,915 | |
1,140,000 | Kaman Corp., 2024 Term Loan TBD, due 03/27/31(f) | 1,142,137 | |
144,431 | Knight Health Holdings LLC, Term Loan B, 10.70% (1 mo. USD Term SOFR + 5.25%), due 12/23/28(b) | 65,716 | |
2,207,000 | EUR | Kohler Energy Co. LLC, EUR Term Loan B TBD, due 01/30/31(f) | 2,349,792 |
828,425 | Lakeshore Intermediate LLC, Term Loan, 8.94% (1 mo. USD Term SOFR + 3.50%), due 09/29/28(b) | 829,029 | |
843,150 | LIDS Holdings, Inc., Term Loan, 10.98% (3 mo. USD Term SOFR + 5.50%), due 12/14/26(b) | 841,042 | |
4,430,940 | LifePoint Health, Inc., 2023 Term Loan B, 11.09% (3 mo. USD Term SOFR + 5.50%), due 11/16/28(b) | 4,445,619 | |
2,887,308 | LifePoint Health, Inc., 2024 Term Loan B TBD, due 11/16/28(f) | 2,898,395 | |
684,250 | LRS Holdings LLC, Term Loan B, 9.69% (1 mo. USD Term SOFR + 4.25%), due 08/31/28(b) | 684,250 | |
615,662 | Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 10.57% (3 mo. USD Term SOFR + 5.00%), due 07/27/28(b) | 367,345 | |
2,444,729 | MajorDrive Holdings IV LLC, Term Loan B, 9.57% (3 mo. USD Term SOFR + 4.00%), due 06/01/28(b) | 2,451,350 | |
934,095 | McGraw-Hill Global Education Holdings LLC, 2021 Term Loan, 10.19% (1 mo. USD Term SOFR + 4.75%), due 07/28/28(b) | 936,949 | |
570,000 | Medline Borrower LP, 2024 Term Loan B TBD, due 10/23/28(f) | 571,807 | |
1,080,833 | MH Sub I LLC, 2023 Term Loan, 9.58% (1 mo. USD Term SOFR + 4.25%), due 05/03/28(b) | 1,076,104 | |
872,041 | Michaels Cos., Inc., 2021 Term Loan B, 9.57% (3 mo. USD Term SOFR + 4.25%), due 04/15/28(b) | 782,984 | |
674,000 | MIWD Holdco II LLC, 2024 Term Loan B2 TBD, due 03/21/31(f) | 678,002 | |
2,705,070 | MKS Instruments, Inc., 2023 Term Loan B, 7.82% (1 mo. USD Term SOFR + 2.50%), due 08/17/29(b) | 2,708,451 | |
783,969 | MPH Acquisition Holdings LLC, 2021 Term Loan B, 9.85% (3 mo. USD Term SOFR + 4.25%), due 09/01/28(b) | 759,906 | |
180,258 | MRI Software LLC, 2020 Term Loan, 10.95% (3 mo. USD Term SOFR + 5.50%), due 02/10/27(b) | 179,808 | |
740,084 | MRI Software LLC, 2020 Term Loan B, 10.95% (3 mo. USD Term SOFR + 5.50%), due 02/10/27(b) | 732,239 | |
1,339,875 | Neptune Bidco U.S., Inc., 2022 USD Term Loan A, 10.17% (3 mo. USD Term SOFR + 4.75%), due 04/11/29(b) | 1,230,292 | |
2,533,074 | Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 10.42% (3 mo. USD Term SOFR + 5.00%), due 04/11/29(b) | 2,343,094 | |
1,660,000 | Nexus Buyer LLC, 2023 Term Loan B2, 9.83% (1 mo. USD Term SOFR + 4.50%), due 12/13/28(b) | 1,650,317 | |
498,744 | Nielsen Consumer, inc., 2023 USD Fifth Amendment Incremental Term Loan, 11.58% (1 mo. USD Term SOFR + 6.25%), due 03/06/28(b) | 496,250 | |
1,871,000 | EUR | Olympus Water U.S. Holding Corp., 2021 EUR Term Loan B, 7.90% (3 mo. EURIBOR + 4.00%), due 11/09/28(b) | 2,015,628 |
985,135 | Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 9.32% (3 mo. USD Term SOFR + 3.75%), due 11/09/28(b) | 986,674 | |
488,775 | Ontario Gaming GTA LP, Term Loan B, 9.60% (3 mo. USD Term SOFR + 4.25%), due 08/01/30(b) | 491,088 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
790,025 | EUR | Organon & Co., EUR Term Loan B, 6.84% (1 mo. USD Term SOFR + 3.00%), due 06/02/28(b) | 853,461 |
461,163 | Oscar AcquisitionCo LLC, Term Loan B, 9.95% (3 mo. USD Term SOFR + 4.50%), due 04/29/29(b) | 462,764 | |
1,011,563 | Parexel International Corp., 2021 1st Lien Term Loan, 8.69% (1 mo. USD Term SOFR + 3.25%), due 11/15/28(b) | 1,014,839 | |
843,331 | EUR | Paysafe Holdings (U.S) Corp., EUR Term Loan B2, 6.83% (1 mo. USD Term SOFR + 3.00%), due 06/28/28(b) | 894,010 |
654,925 | PECF USS Intermediate Holding III Corp., Term Loan B, 9.82% (3 mo. USD Term SOFR + 4.25%), due 12/15/28(b) | 501,563 | |
780,000 | Peer Holding III BV, 2023 USD Term Loan B4, 8.56% (3 mo. USD Term SOFR + 3.25%), due 10/28/30(b) | 782,682 | |
560,449 | Peraton Corp., 2nd Lien Term Loan B1, 13.18% (3 mo. USD Term SOFR + 7.75%), due 02/01/29(b) | 563,112 | |
2,464,925 | Peraton Corp., Term Loan B, 9.08% (1 mo. USD Term SOFR + 3.75%), due 02/01/28(b) | 2,466,685 | |
3,479,258 | PetSmart, Inc., 2021 Term Loan B, 9.18% (1 mo. USD Term SOFR + 3.75%), due 02/11/28(b) | 3,474,286 | |
870,400 | Phoenix Guarantor, Inc., 2024 Term Loan, 8.58% (1 mo. USD Term SOFR + 3.25%), due 02/21/31(b) | 859,996 | |
1,250,157 | Planview Parent, Inc., Term Loan, 9.61% (3 mo. USD Term SOFR + 4.00%), due 12/17/27(b) | 1,247,344 | |
508,725 | Prime Security Services Borrower LLC, 2023 Term Loan B, 7.83% (3 mo. USD Term SOFR + 2.50%), due 10/14/30(b) | 509,644 | |
2,274,061 | Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, 10.06% (3 mo. USD Term SOFR + 4.75%), due 10/28/30(b) | 2,288,590 | |
660,059 | Proofpoint, Inc., 1st Lien Term Loan, 8.58% (1 mo. USD Term SOFR + 3.25%), due 08/31/28(b) | 660,884 | |
597,800 | Quikrete Holdings, Inc., 2023 Term Loan B, 8.19% (1 mo. USD Term SOFR + 2.75%), due 03/19/29(b) | 599,057 | |
943,470 | Rand Parent LLC, 2023 Term Loan B, 9.57% (3 mo. USD Term SOFR + 4.25%), due 03/17/30(b) | 945,976 | |
483,111 | Redstone Holdco 2 LP, 2021 Term Loan, 10.19% (1 mo. USD Term SOFR + 4.75%), due 04/27/28(b) | 400,982 | |
931,614 | EUR | Roper Industrial Products Investment Co. LLC, 2023 EUR Term Loan, 8.40% (3 mo. EURIBOR + 4.50%), due 11/22/29(b) | 1,010,335 |
1,529,588 | Roper Industrial Products Investment Co. LLC, 2023 USD Term Loan, 9.35% (3 mo. USD Term SOFR + 4.00%), due 11/22/29(b) | 1,539,421 | |
191,762 | RSC Acquisition, Inc., 2019 Term Loan, 10.96% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 192,241 | |
7,378 | RSC Acquisition, Inc., 2019 Term Loan, 10.99% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 7,396 | |
14,053 | RSC Acquisition, Inc., 2019 Term Loan, 11.00% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 14,088 | |
54,253 | RSC Acquisition, Inc., 2020 Incremental Term Loan, 10.96% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 54,389 | |
5,199 | RSC Acquisition, Inc., 2020 Incremental Term Loan, 10.99% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 5,212 | |
24,004 | RSC Acquisition, Inc., 2020 Incremental Term Loan, 11.00% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 24,064 | |
34,854 | RSC Acquisition, Inc., 2021 Term Loan C, 10.96% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 34,941 | |
9,625 | RSC Acquisition, Inc., 2021 Term Loan C, 10.99% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 9,649 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
109,735 | RSC Acquisition, Inc., 2021 Term Loan C, 11.00% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 110,009 | |
25,619 | RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 10.96% (3 mo. USD Term SOFR + 5.49%), due 11/01/29(b) | 25,683 | |
45,700 | RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.00% (3 mo. USD Term SOFR + 5.49%), due 11/01/29(b) | 45,815 | |
55,334 | RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 10.99% (3 mo. USD Term SOFR + 5.50%), due 11/01/29(b) | 55,472 | |
48,524 | RSC Acquisition, Inc., 2022 Tranche 2 Delayed Draw Term Loan, 11.33% (3 mo. USD Term SOFR + 6.00%), due 11/01/29(b) | 48,403 | |
6,754 | RSC Acquisition, Inc., 2023 Tranche 2 Delayed Draw Term Loan, 11.31% (3 mo. USD Term SOFR + 6.00%), due 11/01/29(b) | 6,737 | |
148,796 | RSC Acquisition, Inc., 2023 Tranche 2 Delayed Draw Term Loan, 11.34% (3 mo. USD Term SOFR + 6.00%), due 11/01/29(b) | 148,424 | |
64,248 | RSC Acquisition, Inc., 2023 Tranche 2 Delayed Draw Term Loan, 11.34% (3 mo. USD Term SOFR + 6.00%), due 11/01/29(b) | 64,088 | |
1,110,000 | Ryan LLC, Term Loan, 9.83% (1 mo. USD Term SOFR + 4.50%), due 11/14/30(b) | 1,116,937 | |
3,771,652 | Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 9.08% (1 mo. USD Term SOFR + 3.75%), due 02/24/28(b) | 3,782,258 | |
515,812 | SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 9.07% (3 mo. USD Term SOFR + 3.75%), due 10/20/27(b) | 532,415 | |
1,079,711 | Solis IV BV, USD Term Loan B1, 8.82% (3 mo. USD Term SOFR + 3.50%), due 02/26/29(b) | 1,069,167 | |
754,300 | Sotera Health Holdings LLC, 2023 Incremental Term Loan B, 9.08% (1 mo. USD Term SOFR + 3.75%), due 12/11/26(b) | 755,243 | |
569,026 | Spencer Spirit IH LLC, Term Loan B, 11.42% (1 mo. USD Term SOFR + 6.00%), due 06/19/26(b) | 570,686 | |
1,019,553 | SPX FLOW, Inc., 2022 Term Loan, 9.93% (1 mo. USD Term SOFR + 4.50%), due 04/05/29(b) | 1,025,033 | |
1,323,000 | Star Parent, Inc., Term Loan B, 9.31% (3 mo. USD Term SOFR + 4.00%), due 09/27/30(b) | 1,316,138 | |
1,580,000 | Station Casinos LLC, 2024 Term Loan B TBD, due 03/07/31(f) | 1,579,859 | |
698,228 | Sycamore Buyer LLC, Term Loan B, 7.69% (1 mo. USD Term SOFR + 2.25%), due 07/23/29(b) | 683,682 | |
1,112,144 | Thermostat Purchaser III, Inc., Term Loan, 9.99% (3 mo. USD Term SOFR + 4.50%), due 08/31/28(b) | 1,099,633 | |
987,525 | Triton Water Holdings, Inc., 2024 Incremental Term Loan B, 9.33% (3 mo. USD Term SOFR + 4.00%), due 03/31/28(b) | 980,941 | |
739,102 | Triton Water Holdings, Inc., Term Loan, 8.86% (3 mo. USD Term SOFR + 3.25%), due 03/31/28(b) | 732,173 | |
2,296,000 | Truist Insurance Holdings LLC, 1st Lien Term Loan TBD, due 03/24/31(f) | 2,295,036 | |
1,112,000 | Truist Insurance Holdings LLC, 2nd Lien Term Loan TBD, due 03/08/32(f) | 1,120,340 | |
374,571 | Tutor Perini Corp., Term Loan B TBD, due 08/18/27(f) | 373,947 | |
1,265,697 | Uber Technologies, Inc., 2023 Term Loan B, 8.08% (3 mo. USD Term SOFR + 2.75%), due 03/03/30(b) | 1,272,729 | |
797,958 | UFC Holdings LLC, 2021 Term Loan B, 8.34% (3 mo. USD Term SOFR + 2.75%), due 04/29/26(b) | 799,853 | |
533,321 | UKG, Inc., 2024 Term Loan B, 8.81% (3 mo. USD Term SOFR + 3.50%), due 02/10/31(b) | 536,251 | |
1,380,000 | United Airlines, Inc., 2024 Term Loan B, 8.08% (3 mo. USD Term SOFR + 2.75%), due 02/15/31(b) | 1,383,558 | |
391,020 | USI, Inc., 2023 Acquisition Term Loan, 8.60% (3 mo. USD Term SOFR + 3.25%), due 09/27/30(b) | 391,967 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
1,407,600 | UST Holdings Ltd., Term Loan, 8.94% (1 mo. USD Term SOFR + 3.50%), due 11/20/28(b) | 1,405,401 | |
1,699,487 | Verscend Holding Corp., 2021 Term Loan B, 9.44% (1 mo. USD Term SOFR + 4.00%), due 08/27/25(b) | 1,701,004 | |
1,312,846 | Vertex Aerospace Services Corp., 2021 First Lien Term Loan, 8.58% (1 mo. USD Term SOFR + 3.25%), due 12/06/28(b) | 1,316,948 | |
1,326,204 | Vertiv Group Corp., 2023 Term Loan B, 7.94% (1 mo. USD Term SOFR + 2.50%), due 03/02/27(b) | 1,329,046 | |
402,967 | VFH Parent LLC, 2022 Term Loan B, 8.43% (1 mo. USD Term SOFR + 3.00%), due 01/13/29(b) | 402,967 | |
590,000 | Virgin Media Bristol LLC, 2023 USD Term Loan Y, 8.79% (6 mo. USD Term SOFR + 3.25%), due 03/31/31(b) | 581,093 | |
1,649,297 | Virgin Media Bristol LLC, USD Term Loan N, 7.94% (1 mo. USD Term SOFR + 2.50%), due 01/31/28(b) | 1,626,876 | |
1,863,780 | VM Consolidated, Inc., 2024 Term Loan B, 8.08% (1 mo. USD Term SOFR + 2.75%), due 03/24/28(b) | 1,873,681 | |
632,415 | VT Topco, Inc., 2023 Term Loan B, 9.58% (1 mo. USD Term SOFR + 4.25%), due 08/09/30(b) | 634,639 | |
632,404 | VT Topco, Inc., 2023 Term Loan B TBD, due 08/09/30(f) | 634,889 | |
107,651 | Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 4.50% (3 mo. USD Term SOFR + 4.50%), due 08/18/28(b) | 67,148 | |
1,055,700 | Western Dental Services, Inc., 2021 Term Loan B, 10.10% (3 mo. USD Term SOFR + 4.50%), due 08/18/28(b) | 658,493 | |
481,000 | Wheel Pros LLC, 2023 FILO Term Loan, 14.46% (3 mo. USD Term SOFR + 8.87%), due 02/10/28(b) | 521,885 | |
723,350 | Worldwide Express Operations LLC, 2021 1st Lien Term Loan, 9.57% (3 mo. USD Term SOFR + 4.00%), due 07/26/28(b) | 720,863 | |
480,000 | WW International, Inc., 2021 Term Loan B, 8.83% (1 mo. USD Term SOFR + 3.50%), due 04/13/28(b) | 210,600 | |
204,308,115 | |||
Convertible Debt — 0.7% | |||
200,000 | Axon Enterprise, Inc., 0.50%, due 12/15/27 | 291,610 | |
375,000 | Block, Inc., 0.13%, due 03/01/25 | 384,844 | |
110,000 | Booking Holdings, Inc., 0.75%, due 05/01/25 | 212,850 | |
205,000 | Carnival Corp., 5.75%, due 12/01/27 | 309,550 | |
645,000 | Cloudflare, Inc., 3.52%, due 08/15/26(h) | 606,139 | |
165,000 | CyberArk Software Ltd., due 11/15/24(h) | 281,915 | |
1,450,000 | DISH Network Corp., 25.17%, due 12/15/25(h) | 1,065,750 | |
990,000 | DraftKings Holdings, Inc., 4.49%, due 03/15/28(h) | 858,825 | |
665,000 | DraftKings Holdings, Inc., 4.49%, due 03/15/28(h) | 576,887 | |
270,000 | Fluor Corp., 1.13%, due 08/15/29 144A | 304,627 | |
170,000 | Freshpet, Inc., 3.00%, due 04/01/28 | 305,705 | |
146,000 | Gannett Co., Inc., 6.00%, due 12/01/27 144A | 131,400 | |
245,000 | Guidewire Software, Inc., 1.25%, due 03/15/25 | 283,833 | |
100,000 | HubSpot, Inc., 0.38%, due 06/01/25 | 224,450 | |
260,000 | Liberty Media Corp., 3.75%, due 03/15/28 | 319,670 | |
360,000 | Liberty Media Corp.-Liberty Formula One, 2.25%, due 08/15/27 | 369,960 | |
570,000 | Liberty TripAdvisor Holdings, Inc., 0.50%, due 06/30/51 144A | 540,417 | |
840,000 | Multiplan Corp., 6.00%, (6.00% Cash or 7.00% PIK), due 10/15/27 144A | 596,381 | |
195,000 | NRG Energy, Inc., 2.75%, due 06/01/48 | 323,115 | |
225,000 | Nutanix, Inc., 0.25%, due 10/01/27 | 276,750 |
Par Value(a) | Description | Value ($) | |
Convertible Debt — continued | |||
265,000 | Parsons Corp., 2.63%, due 03/01/29 144A | 288,187 | |
90,000 | Royal Caribbean Cruises Ltd., 6.00%, due 08/15/25 | 256,230 | |
250,000 | Sarepta Therapeutics, Inc., 1.25%, due 09/15/27 | 292,650 | |
245,000 | Seagate HDD Cayman, 3.50%, due 06/01/28 144A | 312,742 | |
2,840,000 | Stem, Inc., 0.50%, due 12/01/28 144A | 1,398,554 | |
240,000 | TransMedics Group, Inc., 1.50%, due 06/01/28 144A | 264,230 | |
680,000 | Uber Technologies, Inc., Series 2028, 0.88%, due 12/01/28 144A | 842,860 | |
260,000 | Welltower OP LLC, 2.75%, due 05/15/28 144A | 290,706 | |
210,000 | Western Digital Corp., 3.00%, due 11/15/28 144A | 308,280 | |
210,000 | Zillow Group, Inc., 0.75%, due 09/01/24 | 248,186 | |
160,000 | Zscaler, Inc., 0.13%, due 07/01/25 | 218,792 | |
12,986,095 | |||
Corporate Debt — 36.1% | |||
290,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 285,710 | |
1,200,000 | ABN AMRO Bank NV, 6.34% (1 yr. CMT + 1.65%), due 09/18/27(b) 144A | 1,221,059 | |
315,000 | Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/02/47 144A | 283,342 | |
427,350 | Accelerate360 Holdings LLC, 8.00%, due 03/01/28 144A | 445,540 | |
1,205,000 | Adani Ports & Special Economic Zone Ltd., 4.38%, due 07/03/29(i) | 1,075,520 | |
700,000 | Adani Ports & Special Economic Zone Ltd., 5.00%, due 08/02/41 144A | 560,278 | |
245,000 | EUR | Adevinta ASA, 3.00%, due 11/15/27 144A | 266,712 |
355,000 | Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A | 340,146 | |
230,000 | Advanced Drainage Systems, Inc., 5.00%, due 09/30/27 144A | 223,325 | |
1,780,000 | Advanced Drainage Systems, Inc., 6.38%, due 06/15/30 144A | 1,790,867 | |
380,000 | AerCap Holdings NV, 5.88% (5 yr. CMT + 4.54%), due 10/10/79(b) | 377,571 | |
950,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32 | 815,122 | |
1,900,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 1,918,984 | |
1,590,000 | Air Canada, 3.88%, due 08/15/26 144A | 1,519,167 | |
1,495,000 | Akbank TAS, 6.80%, due 02/06/26 144A | 1,503,342 | |
880,000 | Akumin, Inc., 9.00%, due 08/01/27 144A | 764,500 | |
3,190,000 | Alibaba Group Holding Ltd., 3.15%, due 02/09/51 | 2,123,850 | |
410,000 | Allen Media LLC/Allen Media Co.-Issuer, Inc., 10.50%, due 02/15/28 144A | 190,400 | |
910,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 910,166 | |
240,000 | Allison Transmission, Inc., 4.75%, due 10/01/27 144A | 231,145 | |
1,500,000 | Ally Financial, Inc., 6.85% (SOFR + 2.82%), due 01/03/30(b) | 1,544,998 | |
1,660,000 | Altice Financing SA, 5.75%, due 08/15/29 144A | 1,331,688 | |
1,820,000 | Altice France Holding SA, 10.50%, due 05/15/27 144A | 682,666 | |
860,000 | Altice France SA, 5.13%, due 07/15/29(j) 144A | 582,305 | |
300,000 | Altice France SA, 5.50%, due 10/15/29 144A | 204,000 | |
310,000 | Altria Group, Inc., 5.95%, due 02/14/49 | 315,765 | |
1,435,000 | Ambipar Lux SARL, 9.88%, due 02/06/31 144A | 1,438,702 | |
470,000 | AMC Entertainment Holdings, Inc., 7.50%, due 02/15/29(j) 144A | 314,332 | |
6,650,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 388,416 |
554,435 | American Airlines Pass-Through Trust, 4.95%, due 08/15/26 | 546,738 | |
670,000 | American Airlines, Inc., 7.25%, due 02/15/28(j) 144A | 680,937 | |
1,510,000 | American Airlines, Inc., 8.50%, due 05/15/29 144A | 1,596,194 | |
615,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, due 04/20/26 144A | 611,196 | |
900,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, due 04/20/29 144A | 885,375 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
499,674 | American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26 144A | 557,761 | |
1,055,000 | Ameriprise Financial, Inc., 4.50%, due 05/13/32 | 1,023,345 | |
2,695,000 | AmWINS Group, Inc., 6.38%, due 02/15/29 144A | 2,711,232 | |
445,000 | Anglo American Capital PLC, 2.88%, due 03/17/31 144A | 379,029 | |
365,000 | Anglo American Capital PLC, 3.88%, due 03/16/29 144A | 341,793 | |
295,000 | Anglo American Capital PLC, 3.95%, due 09/10/50 144A | 222,127 | |
1,385,000 | AngloGold Ashanti Holdings PLC, 3.75%, due 10/01/30 | 1,211,309 | |
380,000 | Antares Holdings LP, 3.95%, due 07/15/26 144A | 357,479 | |
1,055,000 | Antero Resources Corp., 7.63%, due 02/01/29 144A | 1,084,411 | |
1,855,000 | AP Moller - Maersk AS, 5.88%, due 09/14/33 144A | 1,909,601 | |
750,000 | ARD Finance SA, 6.50% (6.50% Cash or 7.25% PIK), due 06/30/27 144A | 251,766 | |
900,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, due 09/01/29(j) 144A | 726,423 | |
760,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, due 06/15/27 144A | 738,624 | |
740,000 | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, due 08/15/27(j) 144A | 466,996 | |
2,200,000 | EUR | Ardonagh Finco Ltd., 6.88%, due 02/15/31 144A | 2,349,270 |
1,320,000 | Ardonagh Finco Ltd., 7.75%, due 02/15/31 144A | 1,315,388 | |
2,300,000 | Ardonagh Group Finance Ltd., 8.88%, due 02/15/32 144A | 2,273,337 | |
2,700,000 | ARES Capital Corp., 5.88%, due 03/01/29 | 2,693,304 | |
1,010,000 | Ashtead Capital, Inc., 5.80%, due 04/15/34 144A | 1,009,438 | |
340,000 | Ashtead Capital, Inc., 5.95%, due 10/15/33 144A | 343,998 | |
37,500,000 | MXN | Asian Infrastructure Investment Bank, 9.91%, due 02/08/38(h)(i) | 635,763 |
557,000 | AT&T, Inc., 3.50%, due 09/15/53 | 393,289 | |
450,000 | AT&T, Inc., 3.65%, due 09/15/59 | 313,556 | |
275,000 | AT&T, Inc., 3.80%, due 12/01/57 | 199,268 | |
980,000 | AthenaHealth Group, Inc., 6.50%, due 02/15/30(j) 144A | 897,341 | |
390,000 | Australia & New Zealand Banking Group Ltd., 2.95% (5 yr. CMT + 1.29%), due 07/22/30(b) 144A | 374,889 | |
60,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 57,659 | |
1,415,000 | Avient Corp., 7.13%, due 08/01/30 144A | 1,452,155 | |
780,000 | Avnet, Inc., 5.50%, due 06/01/32 | 755,238 | |
650,000 | Avolon Holdings Funding Ltd., 4.25%, due 04/15/26 144A | 627,585 | |
400,000 | B3 SA - Brasil Bolsa Balcao, 4.13%, due 09/20/31 144A | 351,103 | |
2,265,000 | Bain Capital Specialty Finance, Inc., 2.55%, due 10/13/26 | 2,081,212 | |
2,600,000 | Banco Bilbao Vizcaya Argentaria SA, 7.88% (1 yr. CMT + 3.30%), due 11/15/34(b) | 2,846,797 | |
960,000 | Banco de Credito e Inversiones SA, 3.50%, due 10/12/27(i) | 907,860 | |
510,000 | Banco de Credito e Inversiones SA, 8.75% (5 yr. CMT + 4.94%)(b)(k) 144A | 526,256 | |
1,555,000 | Banco do Brasil SA, 6.00%, due 03/18/31 144A | 1,564,719 | |
1,290,000 | Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(b)(k) 144A | 1,287,685 | |
800,000 | Banco Santander SA, 4.18% (1 yr. CMT + 2.00%), due 03/24/28(b) | 771,390 | |
1,200,000 | Banco Santander SA, 6.53% (1 yr. CMT + 1.65%), due 11/07/27(b) | 1,231,214 | |
1,400,000 | Banco Santander SA, 6.92%, due 08/08/33 | 1,466,203 | |
1,460,000 | Banijay Entertainment SASU, 8.13%, due 05/01/29 144A | 1,506,997 | |
2,430,000 | Bank of America Corp., 5.20% (SOFR + 1.63%), due 04/25/29(b) | 2,433,049 | |
1,645,000 | Bank of America Corp., 6.25% (3 mo. USD Term SOFR + 3.97%)(b)(k) | 1,650,985 | |
1,440,000 | Bank of Nova Scotia, 8.00% (5 yr. CMT + 4.02%), due 01/27/84(b) | 1,468,912 | |
1,515,000 | Barclays PLC, 6.13% (5 yr. CMT + 5.87%)(b)(k) | 1,464,067 | |
2,490,000 | Barclays PLC, 7.12% (SOFR + 3.57%), due 06/27/34(b) | 2,656,361 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
350,000 | Barclays PLC, 8.00% (5 yr. CMT + 5.67%)(b)(k) | 349,957 | |
260,000 | Bath & Body Works, Inc., 5.25%, due 02/01/28 | 254,825 | |
560,000 | Bath & Body Works, Inc., 6.63%, due 10/01/30(j) 144A | 572,571 | |
874,000 | Bath & Body Works, Inc., 7.60%, due 07/15/37 | 870,051 | |
575,000 | Bausch & Lomb Corp., 8.38%, due 10/01/28 144A | 595,648 | |
420,000 | Bausch Health Cos., Inc., 5.50%, due 11/01/25 144A | 396,900 | |
340,000 | Bausch Health Cos., Inc., 6.13%, due 02/01/27 144A | 212,175 | |
150,000 | Bausch Health Cos., Inc., 7.00%, due 01/15/28 144A | 67,743 | |
525,000 | Baytex Energy Corp., 8.50%, due 04/30/30 144A | 548,663 | |
1,375,000 | BBVA Bancomer SA, 8.13% (5 yr. CMT + 4.21%), due 01/08/39(b) 144A | 1,425,457 | |
2,062,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 2,036,879 | |
3,080,000 | BGC Group, Inc., 4.38%, due 12/15/25 | 2,996,676 | |
840,000 | BlackRock TCP Capital Corp., 2.85%, due 02/09/26 | 788,516 | |
2,105,000 | Blackstone Private Credit Fund, 2.63%, due 12/15/26 | 1,921,622 | |
2,680,000 | Blackstone Secured Lending Fund, 2.85%, due 09/30/28 | 2,364,514 | |
655,000 | Blue Owl Capital Corp. II, 8.45%, due 11/15/26 144A | 674,974 | |
740,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A | 744,665 | |
1,365,000 | BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(b)(j)(k) 144A | 1,111,704 | |
1,930,000 | BNP Paribas SA, 4.63% (5 yr. CMT + 3.20%)(b)(k) 144A | 1,754,882 | |
1,820,000 | BNP Paribas SA, 7.75% (5 yr. CMT + 4.90%)(b)(k) 144A | 1,867,653 | |
1,260,000 | BNP Paribas SA, 8.00% (5 yr. CMT + 3.73%)(b)(k) 144A | 1,289,144 | |
2,210,000 | Bombardier, Inc., 7.88%, due 04/15/27 144A | 2,212,926 | |
1,985,000 | Boost Newco Borrower LLC, 7.50%, due 01/15/31 144A | 2,079,442 | |
2,325,000 | Brighthouse Financial, Inc., 3.85%, due 12/22/51 | 1,529,176 | |
805,000 | British Telecommunications PLC, 9.63%, due 12/15/30 | 987,797 | |
2,165,000 | Broadcom, Inc., 4.15%, due 04/15/32 144A | 2,009,320 | |
900,000 | Builders FirstSource, Inc., 4.25%, due 02/01/32 144A | 807,768 | |
1,750,000 | Builders FirstSource, Inc., 6.38%, due 03/01/34 144A | 1,759,412 | |
800,000 | Burford Capital Global Finance LLC, 6.25%, due 04/15/28 144A | 779,925 | |
630,000 | Burford Capital Global Finance LLC, 9.25%, due 07/01/31 144A | 667,569 | |
890,000 | Caesars Entertainment, Inc., 4.63%, due 10/15/29 144A | 812,277 | |
2,200,000 | Caesars Entertainment, Inc., 6.50%, due 02/15/32 144A | 2,220,748 | |
610,000 | Caesars Entertainment, Inc., 7.00%, due 02/15/30 144A | 626,537 | |
1,175,000 | Caesars Entertainment, Inc., 8.13%, due 07/01/27 144A | 1,204,159 | |
1,470,000 | CaixaBank SA, 6.04% (SOFR + 2.26%), due 06/15/35(b) 144A | 1,483,723 | |
2,875,000 | Capital One Financial Corp., 6.05% (SOFR + 2.26%), due 02/01/35(b)(j) | 2,928,751 | |
500,000 | Carnival Corp., 4.00%, due 08/01/28 144A | 466,085 | |
1,460,000 | Carnival Corp., 5.75%, due 03/01/27 144A | 1,445,926 | |
1,100,000 | EUR | Carnival Corp., 7.63%, due 03/01/26(i) | 1,213,542 |
640,000 | Carnival Corp., 10.50%, due 06/01/30 144A | 700,481 | |
790,000 | Carnival Holdings Bermuda Ltd., 10.38%, due 05/01/28 144A | 862,272 | |
760,000 | Carriage Purchaser, Inc., 7.88%, due 10/15/29 144A | 677,939 | |
5,105,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 02/01/31 144A | 4,172,188 | |
245,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A | 210,520 | |
770,000 | Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A | 629,351 | |
1,185,000 | Cemex SAB de CV, 5.13% (5 yr. CMT + 4.53%)(b)(k) 144A | 1,145,993 | |
1,000,000 | Central Parent, Inc./CDK Global, Inc., 7.25%, due 06/15/29 144A | 1,021,952 | |
100,000 | Charles Schwab Corp., 2.90%, due 03/03/32 | 85,790 | |
540,000 | Charles Schwab Corp., 5.85% (SOFR + 2.50%), due 05/19/34(b) | 553,334 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
410,000 | Chart Industries, Inc., 7.50%, due 01/01/30 144A | 426,275 | |
320,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, due 04/01/33(j) | 283,776 | |
560,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, due 07/01/49 | 434,382 | |
330,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 286,871 | |
2,070,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, due 04/01/25 144A | 2,062,457 | |
1,090,000 | Chord Energy Corp., 6.38%, due 06/01/26 144A | 1,095,353 | |
550,000 | CHS/Community Health Systems, Inc., 5.25%, due 05/15/30 144A | 448,955 | |
1,400,000 | CHS/Community Health Systems, Inc., 5.63%, due 03/15/27 144A | 1,290,044 | |
1,840,000 | CHS/Community Health Systems, Inc., 6.00%, due 01/15/29 144A | 1,609,619 | |
1,280,000 | CHS/Community Health Systems, Inc., 6.13%, due 04/01/30(j) 144A | 924,139 | |
740,000 | CHS/Community Health Systems, Inc., 10.88%, due 01/15/32 144A | 763,141 | |
935,000 | EUR | Cirsa Finance International SARL, 6.50%, due 03/15/29 144A | 1,036,982 |
1,195,000 | EUR | Cirsa Finance International SARL, 7.88%, due 07/31/28 144A | 1,369,653 |
830,000 | Citigroup, Inc., 4.00% (5 yr. CMT + 3.60%)(b)(k) | 797,834 | |
170,000 | Citigroup, Inc., 6.30% (3 mo. USD Term SOFR + 3.68%)(b)(k) | 169,964 | |
1,075,000 | Citigroup, Inc., 7.38% (5 yr. CMT + 3.21%)(b)(j)(k) | 1,120,432 | |
495,000 | Clarivate Science Holdings Corp., 4.88%, due 07/01/29 144A | 458,467 | |
600,000 | Clean Harbors, Inc., 5.13%, due 07/15/29 144A | 577,277 | |
1,760,000 | Clear Channel Outdoor Holdings, Inc., 5.13%, due 08/15/27 144A | 1,660,349 | |
1,150,000 | Clearway Energy Operating LLC, 3.75%, due 02/15/31 144A | 988,178 | |
235,000 | Clearway Energy Operating LLC, 4.75%, due 03/15/28 144A | 223,552 | |
980,000 | Clydesdale Acquisition Holdings, Inc., 8.75%, due 04/15/30 144A | 963,913 | |
1,645,000 | Coca-Cola Icecek AS, 4.50%, due 01/20/29 144A | 1,540,476 | |
500,000 | Coherent Corp., 5.00%, due 12/15/29 144A | 471,445 | |
1,390,000 | Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A | 965,043 | |
2,505,000 | Comcast Corp., 4.25%, due 10/15/30 | 2,420,839 | |
1,355,000 | Comerica, Inc., 5.98% (SOFR + 2.16%), due 01/30/30(b) | 1,339,544 | |
530,000 | Commercial Metals Co., 3.88%, due 02/15/31 | 473,213 | |
1,600,000 | EUR | Commerzbank AG, 6.13% (5 yr. EUR swap annual + 6.36%)(b)(i)(k) | 1,708,798 |
920,000 | CommScope, Inc., 4.75%, due 09/01/29 144A | 664,700 | |
360,000 | CommScope, Inc., 6.00%, due 03/01/26(j) 144A | 329,850 | |
620,000 | Continental Resources, Inc., 5.75%, due 01/15/31 144A | 616,706 | |
1,600,000 | EUR | Cooperatieve Rabobank UA, 4.63% (5 yr. EUR swap annual + 4.10%)(b)(i)(k) | 1,697,869 |
1,130,000 | CoreCivic, Inc., 4.75%, due 10/15/27(j) | 1,070,100 | |
830,000 | CoreCivic, Inc., 8.25%, due 04/15/29 | 868,798 | |
260,000 | Corp. Nacional del Cobre de Chile, 5.13%, due 02/02/33 144A | 248,167 | |
690,000 | Corp. Nacional del Cobre de Chile, 6.30%, due 09/08/53 144A | 691,092 | |
1,620,000 | Cosan Luxembourg SA, 7.25%, due 06/27/31 144A | 1,655,536 | |
660,000 | Coterra Energy, Inc., 3.90%, due 05/15/27 | 635,503 | |
825,000 | EUR | Coty, Inc., 5.75%, due 09/15/28 144A | 925,793 |
450,000 | Country Garden Holdings Co. Ltd., 8.00%, due 01/27/24(i)(l) | 33,390 | |
3,212,000 | PEN | Credicorp Capital Sociedad Titulizadora SA, 10.10%, due 12/15/43(i) | 874,320 |
300,000 | EUR | Credit Agricole SA, 4.00% (5 yr. EUR swap annual + 4.37%)(b)(i)(k) | 304,088 |
2,238,000 | Credit Agricole SA, 4.75% (5 yr. CMT + 3.24%)(b)(k) 144A | 1,971,216 | |
1,000,000 | GBP | Credit Agricole SA, 7.50% (5 yr. GBP SONIA Linked ICE swap + 4.81%)(b)(i)(k) | 1,261,157 |
1,960,000 | Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(b)(j)(k) 144A | 2,003,002 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
450,000 | Credit Suisse AG, 3.63%, due 09/09/24 | 445,844 | |
260,000 | Credit Suisse AG, 4.75%, due 08/09/24 | 259,077 | |
1,585,000 | Credit Suisse AG, 7.95%, due 01/09/25 | 1,611,639 | |
750,000 | Crescent Energy Finance LLC, 7.63%, due 04/01/32 144A | 756,315 | |
590,000 | Crescent Energy Finance LLC, 9.25%, due 02/15/28 144A | 623,471 | |
500,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 443,984 | |
880,000 | Crown Castle, Inc., 5.80%, due 03/01/34 | 900,621 | |
1,270,000 | CSC Holdings LLC, 4.13%, due 12/01/30 144A | 909,117 | |
650,000 | CSC Holdings LLC, 5.38%, due 02/01/28 144A | 559,639 | |
300,000 | CSC Holdings LLC, 5.50%, due 04/15/27 144A | 268,708 | |
820,000 | CSC Holdings LLC, 7.50%, due 04/01/28(j) 144A | 553,415 | |
1,290,000 | CSC Holdings LLC, 11.25%, due 05/15/28 144A | 1,279,426 | |
2,330,000 | CSC Holdings LLC, 11.75%, due 01/31/29 144A | 2,335,090 | |
1,330,000 | Cushman & Wakefield U.S. Borrower LLC, 8.88%, due 09/01/31(j) 144A | 1,406,671 | |
1,640,000 | Darling Ingredients, Inc., 6.00%, due 06/15/30 144A | 1,626,524 | |
143,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 | 185,148 | |
660,000 | Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(b) | 556,342 | |
325,000 | Deutsche Bank AG, 6.72% (SOFR + 3.18%), due 01/18/29(b) | 336,304 | |
975,000 | Deutsche Bank AG, 7.08% (SOFR + 3.65%), due 02/10/34(b) | 1,003,500 | |
200,000 | Deutsche Bank AG, 7.50% (5 yr. USD ICE swap + 5.00%)(b)(k) | 197,115 | |
360,000 | Devon Energy Corp., 5.00%, due 06/15/45 | 319,750 | |
3,540,000 | Directv Financing LLC, 8.88%, due 02/01/30 144A | 3,534,902 | |
450,000 | Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.88%, due 08/15/27 144A | 425,998 | |
1,200,000 | Discover Financial Services, 7.96% (SOFR + 3.37%), due 11/02/34(b) | 1,360,364 | |
1,400,000 | DISH DBS Corp., 5.13%, due 06/01/29 | 585,093 | |
270,000 | DISH DBS Corp., 5.25%, due 12/01/26 144A | 213,107 | |
580,000 | DISH DBS Corp., 5.75%, due 12/01/28 144A | 399,695 | |
1,840,000 | DISH DBS Corp., 5.88%, due 11/15/24(j) | 1,764,504 | |
800,000 | DISH Network Corp., 11.75%, due 11/15/27 144A | 817,529 | |
740,000 | DP World Ltd., 5.63%, due 09/25/48 144A | 706,245 | |
255,000 | Dun & Bradstreet Corp., 5.00%, due 12/15/29(j) 144A | 235,591 | |
1,460,000 | Ecopetrol SA, 4.63%, due 11/02/31 | 1,215,566 | |
1,350,000 | Ecopetrol SA, 8.38%, due 01/19/36 | 1,363,559 | |
900,000 | Edison International, 5.38% (5 yr. CMT + 4.70%)(b)(k) | 873,169 | |
2,110,000 | Eli Lilly & Co., 5.00%, due 02/27/26 | 2,107,899 | |
2,420,000 | EUR | EMRLD Borrower LP/Emerald Co.-Issuer, Inc., 6.38%, due 12/15/30 144A | 2,752,667 |
2,250,000 | Enbridge, Inc., 6.20%, due 11/15/30 | 2,385,073 | |
1,250,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 1,260,914 | |
1,345,000 | Endeavour Mining PLC, 5.00%, due 10/14/26 144A | 1,272,521 | |
615,000 | Endeavour Mining PLC, 5.00%, due 10/14/26(i) | 581,859 | |
755,000 | Enel Finance America LLC, 2.88%, due 07/12/41 144A | 513,328 | |
980,000 | Energean Israel Finance Ltd., 5.88%, due 03/30/31(i) | 861,665 | |
1,065,000 | EUR | Energizer Gamma Acquisition BV, 3.50%, due 06/30/29 144A | 1,026,246 |
180,000 | Energy Transfer LP, 5.35%, due 05/15/45 | 166,394 | |
710,000 | Energy Transfer LP, 6.25%, due 04/15/49 | 729,406 | |
1,010,000 | Energy Transfer LP, 7.13% (5 yr. CMT + 5.31%)(b)(k) | 988,574 | |
230,000 | Energy Transfer LP, 9.60% (3 mo. USD Term SOFR + 4.29%)(b)(k) | 229,309 | |
2,530,000 | Entegris, Inc., 5.95%, due 06/15/30 144A | 2,502,479 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,015,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD Term SOFR + 3.29%), due 08/16/77(b) | 965,677 | |
500,000 | Enterprise Products Operating LLC, 5.38% (3 mo. USD Term SOFR + 2.83%), due 02/15/78(b) | 467,235 | |
265,000 | EPR Properties, 3.75%, due 08/15/29 | 234,292 | |
140,000 | EQM Midstream Partners LP, 6.50%, due 07/01/27 144A | 141,363 | |
800,000 | EQM Midstream Partners LP, 7.50%, due 06/01/30 144A | 855,892 | |
70,000 | EQT Corp., 7.00%, due 02/01/30 | 74,424 | |
1,250,000 | Equifax, Inc., 5.10%, due 12/15/27 | 1,249,398 | |
1,240,000 | EUR | Eroski S Coop, 10.63%, due 04/30/29 144A | 1,438,301 |
870,000 | Esab Corp., 6.25%, due 04/15/29(c) 144A | 875,162 | |
6,000,000 | ZAR | Eskom Holdings SOC Ltd., 7.50%, due 09/15/33 | 222,679 |
6,232,400,000 | IDR | European Bank for Reconstruction & Development, 4.60%, due 12/09/25 | 383,417 |
26,974,000,000 | IDR | European Bank for Reconstruction & Development, 5.20%, due 05/28/24 | 1,696,359 |
38,530,000 | MXN | European Investment Bank, 4.25%, due 06/19/24 | 2,293,708 |
18,590,000 | MXN | European Investment Bank, 7.75%, due 01/30/25 | 1,086,595 |
480,000 | First Abu Dhabi Bank PJSC, 4.50% (5 yr. CMT + 4.14%)(b)(i)(k) | 463,477 | |
1,830,000 | First Quantum Minerals Ltd., 6.88%, due 10/15/27(j) 144A | 1,756,654 | |
2,970,000 | First Quantum Minerals Ltd., 9.38%, due 03/01/29 144A | 3,080,380 | |
1,610,000 | FirstCash, Inc., 5.63%, due 01/01/30 144A | 1,531,410 | |
380,000 | FirstEnergy Corp., 2.65%, due 03/01/30 | 326,979 | |
1,409,418 | Five Point Operating Co. LP/Five Point Capital Corp., 10.50%, due 01/15/28 144A | 1,452,287 | |
1,430,000 | Foot Locker, Inc., 4.00%, due 10/01/29(j) 144A | 1,205,282 | |
3,490,000 | Ford Motor Co., 3.25%, due 02/12/32 | 2,904,966 | |
3,730,000 | Ford Motor Credit Co. LLC, 3.63%, due 06/17/31 | 3,227,090 | |
1,395,000 | Ford Motor Credit Co. LLC, 6.95%, due 03/06/26 | 1,422,177 | |
500,000 | Fox Corp., 6.50%, due 10/13/33 | 529,806 | |
2,190,000 | Freeport Indonesia PT, 5.32%, due 04/14/32 144A | 2,144,422 | |
585,000 | Freeport Indonesia PT, 6.20%, due 04/14/52 144A | 582,015 | |
300,000 | Freeport Minerals Corp., 7.13%, due 11/01/27 | 313,500 | |
455,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30 | 437,510 | |
4,350,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 4,168,319 | |
1,470,000 | Full House Resorts, Inc., 8.25%, due 02/15/28(j) 144A | 1,406,032 | |
42,310 | Galaxy Pipeline Assets Bidco Ltd., 2.94%, due 09/30/40 | 34,028 | |
250,000 | Gannett Holdings LLC, 6.00%, due 11/01/26 144A | 228,837 | |
1,150,000 | GBP | Gatwick Airport Finance PLC, 4.38%, due 04/07/26(i) | 1,402,704 |
880,000 | Gen Digital, Inc., 7.13%, due 09/30/30(j) 144A | 904,965 | |
1,170,000 | General Electric Co., 5.88%, due 01/14/38 | 1,246,163 | |
360,000 | General Motors Co., 6.60%, due 04/01/36 | 383,023 | |
2,140,000 | General Motors Financial Co., Inc., 5.40%, due 04/06/26 | 2,141,459 | |
719,000 | GEO Group, Inc., 10.50%, due 06/30/28 | 733,021 | |
2,650,000 | GFL Environmental, Inc., 4.75%, due 06/15/29(j) 144A | 2,494,935 | |
2,470,000 | GFL Environmental, Inc., 6.75%, due 01/15/31 144A | 2,534,376 | |
3,060,000 | GGAM Finance Ltd., 8.00%, due 06/15/28 144A | 3,197,682 | |
1,396,002 | Global Aircraft Leasing Co. Ltd., 6.50% (6.50% Cash or 7.25% PIK), due 09/15/24 144A | 1,329,222 | |
500,000 | Global Auto Holdings Ltd./AAG FH U.K. Ltd., 8.38%, due 01/15/29 144A | 489,058 | |
1,880,000 | Global Auto Holdings Ltd./AAG FH U.K. Ltd., 8.75%, due 01/15/32 144A | 1,820,883 | |
1,480,000 | Gold Fields Orogen Holdings BVI Ltd., 6.13%, due 05/15/29 144A | 1,505,426 | |
965,000 | Gray Television, Inc., 5.38%, due 11/15/31 144A | 633,691 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,460,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 1,338,394 | |
630,000 | HCA, Inc., 7.50%, due 11/06/33(j) | 705,287 | |
545,000 | GBP | Heathrow Funding Ltd., 6.75%, due 12/03/28(i) | 715,616 |
780,000 | Hertz Corp., 5.00%, due 12/01/29(j) 144A | 603,460 | |
1,515,000 | Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co.-Issuer, Inc., 7.63% (7.625% Cash or 8.375% PIK), due 10/15/25 144A | 1,502,597 | |
560,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A | 552,726 | |
810,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 8.38%, due 11/01/33 144A | 878,854 | |
570,000 | Howard Midstream Energy Partners LLC, 6.75%, due 01/15/27 144A | 569,163 | |
560,000 | Howard Midstream Energy Partners LLC, 8.88%, due 07/15/28 144A | 591,344 | |
1,075,000 | Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC, 7.25%, due 02/15/31 144A | 1,080,173 | |
200,000 | HSBC Holdings PLC, 4.60% (5 yr. CMT + 3.65%)(b)(k) | 169,696 | |
2,400,000 | HSBC Holdings PLC, 7.40% (SOFR + 3.02%), due 11/13/34(b) | 2,626,350 | |
2,130,000 | HSBC USA, Inc., 5.63%, due 03/17/25 | 2,134,481 | |
190,000 | EUR | HSE Finance SARL, 5.63%, due 10/15/26 144A | 128,885 |
1,770,000 | Hudbay Minerals, Inc., 6.13%, due 04/01/29 144A | 1,751,683 | |
320,000 | iHeartCommunications, Inc., 5.25%, due 08/15/27(j) 144A | 233,176 | |
395,000 | iHeartCommunications, Inc., 6.38%, due 05/01/26 | 337,313 | |
705,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 674,128 | |
740,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27(i) | 707,595 | |
1,590,000 | Iliad Holding SASU, 6.50%, due 10/15/26 144A | 1,576,284 | |
2,185,000 | Iliad Holding SASU, 7.00%, due 10/15/28 144A | 2,164,772 | |
1,835,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A | 1,812,453 | |
265,000 | EUR | IMA Industria Macchine Automatiche SpA, 3.75%, due 01/15/28 144A | 271,149 |
575,000 | Indofood CBP Sukses Makmur Tbk. PT, 3.40%, due 06/09/31(i) | 499,613 | |
260,000 | ING Groep NV, 5.75% (5 yr. CMT + 4.34%)(b)(k) | 247,749 | |
345,000 | ING Groep NV, 6.11% (SOFR + 2.09%), due 09/11/34(b) | 358,471 | |
835,000 | ING Groep NV, 6.50% (5 yr. USD swap + 4.45%)(b)(k) | 825,380 | |
1,255,000 | Intel Corp., 5.70%, due 02/10/53(j) | 1,298,247 | |
198,000,000 | INR | Inter-American Development Bank, 7.35%, due 10/06/30 | 2,414,269 |
48,250,000 | MXN | International Finance Corp., 7.75%, due 01/18/30 | 2,737,449 |
200,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 184,976 | |
1,450,000 | Intesa Sanpaolo SpA, 4.95% (1 yr. CMT + 2.75%), due 06/01/42(b) 144A | 1,082,543 | |
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 347,156 | |
710,000 | Intesa Sanpaolo SpA, 7.20%, due 11/28/33 144A | 765,284 | |
1,065,000 | Intesa Sanpaolo SpA, 7.78% (1 yr. CMT + 3.90%), due 06/20/54(b) 144A | 1,136,757 | |
3,500,000 | Intesa Sanpaolo SpA, 7.80%, due 11/28/53 144A | 3,973,477 | |
2,294,000 | Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(b)(k) 144A | 2,160,116 | |
1,195,000 | Jackson Financial, Inc., 3.13%, due 11/23/31 | 995,861 | |
1,590,000 | Jane Street Group/JSG Finance, Inc., 4.50%, due 11/15/29(j) 144A | 1,472,458 | |
225,000 | Jazz Securities DAC, 4.38%, due 01/15/29 144A | 209,771 | |
1,380,000 | JB Poindexter & Co., Inc., 8.75%, due 12/15/31 144A | 1,428,136 | |
1,535,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33 | 1,513,221 | |
2,520,000 | JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(b) | 2,468,275 | |
1,450,000 | JPMorgan Chase & Co., 5.72% (SOFR + 2.58%), due 09/14/33(b) | 1,479,471 | |
860,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 839,099 | |
590,000 | KazMunayGas National Co. JSC, 5.75%, due 04/19/47(i) | 513,970 | |
1,730,000 | Klabin Austria GmbH, 3.20%, due 01/12/31 144A | 1,470,004 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
2,210,000 | Kosmos Energy Ltd., 7.13%, due 04/04/26 144A | 2,176,390 | |
650,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 06/15/29 144A | 591,454 | |
1,510,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 1,494,359 | |
1,000,000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 947,209 | |
1,180,000 | Latam Airlines Group SA, 13.38%, due 10/15/27(j) 144A | 1,323,614 | |
425,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 407,833 | |
650,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, due 02/01/26 144A | 644,359 | |
460,000 | Leviathan Bond Ltd., 6.50%, due 06/30/27(i) | 445,415 | |
1,590,000 | Liberty Mutual Group, Inc., 4.30%, due 02/01/61 144A | 1,014,282 | |
815,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 794,564 | |
2,500,000 | LifePoint Health, Inc., 9.88%, due 08/15/30 144A | 2,618,230 | |
1,225,000 | Light & Wonder International, Inc., 7.00%, due 05/15/28 144A | 1,234,791 | |
960,000 | Liquid Telecommunications Financing PLC, 5.50%, due 09/04/26 144A | 567,552 | |
650,000 | Lloyds Banking Group PLC, 7.50% (5 yr. USD swap + 4.76%)(b)(k) | 646,632 | |
550,000 | Lloyds Banking Group PLC, 8.00% (5 yr. CMT + 3.91%)(b)(k) | 555,151 | |
920,000 | GBP | Lloyds Banking Group PLC, 8.50% (5 yr. UK Government Bond + 5.14%)(b)(k) | 1,187,511 |
1,235,000 | EUR | Lorca Telecom Bondco SA, 4.00%, due 09/18/27 144A | 1,296,743 |
1,015,000 | EUR | Lottomatica SpA, 7.94% (3 mo. EURIBOR + 4.00%), due 12/15/30(b) 144A | 1,112,643 |
900,000 | LPL Holdings, Inc., 4.00%, due 03/15/29 144A | 827,986 | |
170,000 | Matador Resources Co., 6.88%, due 04/15/28 144A | 174,050 | |
500,000 | Match Group Holdings II LLC, 5.00%, due 12/15/27 144A | 479,551 | |
535,172 | McClatchy Co. LLC, 11.00% (11.00% Cash or 12.50% PIK), due 07/15/27 144A | 584,675 | |
1,265,000 | McCormick & Co., Inc., 4.95%, due 04/15/33 | 1,251,766 | |
2,975,000 | Mclaren Finance PLC, 7.50%, due 08/01/26 144A | 2,651,046 | |
130,000 | MDC Holdings, Inc., 6.00%, due 01/15/43 | 132,229 | |
1,610,000 | Medline Borrower LP, 5.25%, due 10/01/29(j) 144A | 1,522,953 | |
780,000 | Medline Borrower LP/Medline Co.-Issuer, Inc., 6.25%, due 04/01/29 144A | 784,468 | |
790,000 | Medtronic Global Holdings SCA, 4.25%, due 03/30/28 | 776,427 | |
1,000,000 | MEG Energy Corp., 5.88%, due 02/01/29(j) 144A | 983,499 | |
333,000 | MEG Energy Corp., 7.13%, due 02/01/27 144A | 338,178 | |
1,520,000 | MEGlobal Canada ULC, 5.88%, due 05/18/30 144A | 1,536,556 | |
1,200,000 | Melco Resorts Finance Ltd., 4.88%, due 06/06/25(j) 144A | 1,171,874 | |
885,000 | Melco Resorts Finance Ltd., 5.25%, due 04/26/26 144A | 855,158 | |
320,000 | Melco Resorts Finance Ltd., 5.38%, due 12/04/29 144A | 293,328 | |
600,000 | MercadoLibre, Inc., 3.13%, due 01/14/31 | 502,718 | |
1,940,000 | Met Tower Global Funding, 4.85%, due 01/16/27 144A | 1,940,892 | |
1,515,000 | Meta Platforms, Inc., 4.45%, due 08/15/52 | 1,347,943 | |
1,685,000 | MGM China Holdings Ltd., 5.88%, due 05/15/26(i) | 1,665,219 | |
1,680,000 | Michaels Cos., Inc., 5.25%, due 05/01/28 144A | 1,433,022 | |
560,000 | Micron Technology, Inc., 3.37%, due 11/01/41 | 416,376 | |
1,105,000 | Micron Technology, Inc., 5.30%, due 01/15/31 | 1,111,796 | |
1,440,000 | Micron Technology, Inc., 6.75%, due 11/01/29 | 1,546,285 | |
700,000 | Midcap Financial Issuer Trust, 5.63%, due 01/15/30 144A | 604,125 | |
235,000 | Midcap Financial Issuer Trust, 6.50%, due 05/01/28 144A | 217,008 | |
747,000 | Millicom International Cellular SA, 4.50%, due 04/27/31 144A | 640,953 | |
1,570,500 | Millicom International Cellular SA, 6.25%, due 03/25/29(i) | 1,534,797 | |
504,000 | Millicom International Cellular SA, 6.25%, due 03/25/29(j) 144A | 492,542 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
890,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 02/01/30(j) 144A | 819,972 | |
1,739,000 | Mohegan Tribal Gaming Authority, 8.00%, due 02/01/26 144A | 1,703,116 | |
130,000 | Mohegan Tribal Gaming Authority, 13.25%, due 12/15/27 144A | 141,982 | |
1,330,000 | Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(b) | 1,290,453 | |
1,310,000 | Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b) | 1,309,335 | |
1,020,000 | Morgan Stanley, 5.42% (SOFR + 1.88%), due 07/21/34(b) | 1,023,595 | |
220,000 | MPH Acquisition Holdings LLC, 5.75%, due 11/01/28 144A | 173,727 | |
600,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.00%, due 10/15/27(j) | 503,115 | |
750,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, due 08/01/26 | 687,330 | |
710,000 | Nabors Industries Ltd., 7.25%, due 01/15/26(j) 144A | 706,080 | |
2,700,000 | Nationstar Mortgage Holdings, Inc., 7.13%, due 02/01/32 144A | 2,683,535 | |
1,120,000 | GBP | NatWest Group PLC, 4.50% (5 yr. UK Government Bond + 3.99%)(b)(k) | 1,217,321 |
2,415,000 | NatWest Group PLC, 5.81% (1 yr. CMT + 1.95%), due 09/13/29(b) | 2,453,427 | |
235,000 | NBM U.S. Holdings, Inc., 7.00%, due 05/14/26 144A | 236,085 | |
2,165,000 | NCL Corp. Ltd., 7.75%, due 02/15/29(j) 144A | 2,249,859 | |
430,000 | NCL Corp. Ltd., 8.13%, due 01/15/29 144A | 455,301 | |
1,160,000 | NCL Corp. Ltd., 5.88%, due 03/15/26 144A | 1,145,861 | |
2,170,000 | NCR Voyix Corp., 5.13%, due 04/15/29 144A | 2,015,079 | |
115,000 | NCR Voyix Corp., 5.25%, due 10/01/30 144A | 104,162 | |
640,000 | Neptune Bidco U.S., Inc., 9.29%, due 04/15/29 144A | 605,692 | |
990,000 | Neptune Energy Bondco PLC, 6.63%, due 05/15/25 144A | 990,608 | |
1,065,000 | Netflix, Inc., 5.88%, due 11/15/28 | 1,107,507 | |
1,890,000 | Newell Brands, Inc., 5.70%, due 04/01/26 | 1,857,593 | |
2,815,000 | Nexstar Media, Inc., 5.63%, due 07/15/27 144A | 2,702,414 | |
1,420,000 | NMI Holdings, Inc., 7.38%, due 06/01/25 144A | 1,435,482 | |
520,000 | Noble Finance II LLC, 8.00%, due 04/15/30 144A | 542,017 | |
700,000 | Northern Oil & Gas, Inc., 8.13%, due 03/01/28 144A | 711,010 | |
400,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(l) | 484 | |
160,000 | EUR | Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A | 163,147 |
395,000 | NTT Finance Corp., 4.37%, due 07/27/27 144A | 388,209 | |
1,065,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 01/15/33 | 1,042,347 | |
550,000 | Occidental Petroleum Corp., 2.90%, due 08/15/24 | 543,869 | |
1,790,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49 | 1,352,286 | |
1,840,000 | Occidental Petroleum Corp., 6.45%, due 09/15/36 | 1,963,078 | |
1,540,000 | Occidental Petroleum Corp., 7.15%, due 05/15/28 | 1,624,783 | |
1,380,000 | Occidental Petroleum Corp., 7.95%, due 06/15/39 | 1,624,154 | |
2,095,000 | OCP SA, 5.13%, due 06/23/51 144A | 1,584,480 | |
600,000 | Olympus Water U.S. Holding Corp., 6.25%, due 10/01/29(j) 144A | 549,796 | |
790,000 | EUR | Olympus Water U.S. Holding Corp., 9.63%, due 11/15/28 144A | 917,117 |
1,480,000 | EUR | Olympus Water U.S. Holding Corp., 9.63%, due 11/15/28(i) | 1,718,144 |
1,810,000 | Option Care Health, Inc., 4.38%, due 10/31/29 144A | 1,661,143 | |
2,835,000 | Oracle Corp., 2.88%, due 03/25/31 | 2,466,357 | |
565,000 | Oracle Corp., 3.95%, due 03/25/51 | 430,813 | |
1,660,000 | Organon & Co./Organon Foreign Debt Co.-Issuer BV, 4.13%, due 04/30/28 144A | 1,548,152 | |
2,155,000 | Organon & Co./Organon Foreign Debt Co.-Issuer BV, 5.13%, due 04/30/31 144A | 1,917,600 | |
390,000 | Oversea-Chinese Banking Corp. Ltd., 4.25%, due 06/19/24(i) | 388,654 | |
835,000 | Panther Escrow Issuer LLC, 7.13%, due 06/01/31(c) 144A | 849,621 | |
1,640,000 | Paramount Global, 7.88%, due 07/30/30 | 1,714,608 | |
1,340,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27 | 1,255,893 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,680,000 | PECF USS Intermediate Holding III Corp., 8.00%, due 11/15/29 144A | 886,968 | |
1,700,000 | Permian Resources Operating LLC, 5.88%, due 07/01/29 144A | 1,673,051 | |
2,190,000 | Permian Resources Operating LLC, 7.00%, due 01/15/32 144A | 2,273,415 | |
810,000 | Permian Resources Operating LLC, 9.88%, due 07/15/31 144A | 903,203 | |
1,535,000 | Petrobras Global Finance BV, 6.50%, due 07/03/33(j) | 1,560,845 | |
1,150,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15(m) | 1,067,847 | |
1,215,000 | Petroleos Mexicanos, 6.70%, due 02/16/32 | 1,011,205 | |
7,056,900 | MXN | Petroleos Mexicanos, 7.19%, due 09/12/24(i) | 412,980 |
1,550,000 | PetSmart, Inc./PetSmart Finance Corp., 4.75%, due 02/15/28 144A | 1,452,676 | |
1,500,000 | PetSmart, Inc./PetSmart Finance Corp., 7.75%, due 02/15/29 144A | 1,461,498 | |
935,000 | Phillips 66, 3.30%, due 03/15/52 | 654,741 | |
980,000 | Plains All American Pipeline LP, 9.68% (3 mo. USD Term SOFR + 4.37%)(b)(k) | 978,703 | |
105,000 | EUR | PLT VII Finance SARL, 4.63%, due 01/05/26 144A | 113,295 |
3,710,000 | PM General Purchaser LLC, 9.50%, due 10/01/28 144A | 3,789,976 | |
860,000 | PNC Financial Services Group, Inc., 5.07% (SOFR + 1.93%), due 01/24/34(b) | 833,419 | |
250,000 | PNC Financial Services Group, Inc., 6.04% (SOFR + 2.14%), due 10/28/33(b) | 258,620 | |
540,000 | Power Finance Corp. Ltd., 3.95%, due 04/23/30 144A | 493,482 | |
1,860,000 | Precision Drilling Corp., 6.88%, due 01/15/29 144A | 1,858,274 | |
14,000 | Precision Drilling Corp., 7.13%, due 01/15/26 144A | 14,024 | |
910,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 892,122 | |
1,350,000 | Prosus NV, 3.06%, due 07/13/31 144A | 1,099,451 | |
1,045,000 | Prosus NV, 4.03%, due 08/03/50 144A | 666,232 | |
1,685,000 | Prosus NV, 4.19%, due 01/19/32 144A | 1,466,961 | |
1,770,000 | Prosus NV, 4.19%, due 01/19/32(i)(j) | 1,540,962 | |
590,000 | QazaqGaz NC JSC, 4.38%, due 09/26/27 144A | 556,391 | |
2,240,000 | QVC, Inc., 4.45%, due 02/15/25(j) | 2,172,829 | |
156,000 | Rackspace Finance LLC, 3.50%, due 05/15/28 144A | 80,340 | |
465,000 | Raizen Fuels Finance SA, 6.45%, due 03/05/34 144A | 477,375 | |
1,240,000 | Range Resources Corp., 4.75%, due 02/15/30(j) 144A | 1,157,168 | |
1,790,000 | Range Resources Corp., 8.25%, due 01/15/29 | 1,863,172 | |
2,760,000 | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.63%, due 03/01/29 144A | 2,485,409 | |
450,000 | Rockies Express Pipeline LLC, 7.50%, due 07/15/38 144A | 463,707 | |
1,920,000 | EUR | Rolls-Royce PLC, 4.63%, due 02/16/26(i) | 2,099,033 |
1,330,000 | Royal Caribbean Cruises Ltd., 4.25%, due 07/01/26 144A | 1,284,392 | |
340,000 | Royal Caribbean Cruises Ltd., 5.50%, due 08/31/26 144A | 337,222 | |
430,000 | Royal Caribbean Cruises Ltd., 6.25%, due 03/15/32 144A | 433,696 | |
550,000 | Royal Caribbean Cruises Ltd., 7.25%, due 01/15/30 144A | 571,828 | |
1,240,000 | Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27 | 1,307,052 | |
310,000 | Royal Caribbean Cruises Ltd., 8.25%, due 01/15/29 144A | 328,372 | |
1,410,000 | Royal Caribbean Cruises Ltd., 9.25%, due 01/15/29 144A | 1,513,226 | |
400,000 | RR Donnelley & Sons Co., 9.75%, due 07/31/28 144A | 433,676 | |
1,150,000 | Rumo Luxembourg SARL, 4.20%, due 01/18/32 144A | 977,970 | |
190,000 | RXO, Inc., 7.50%, due 11/15/27 144A | 195,176 | |
1,610,000 | Sabre GLBL, Inc., 11.25%, due 12/15/27 144A | 1,512,005 | |
590,000 | GBP | Saga PLC, 5.50%, due 07/15/26(i) | 674,427 |
2,730,000 | Sally Holdings LLC/Sally Capital, Inc., 6.75%, due 03/01/32(j) | 2,710,950 | |
2,100,000 | Sammons Financial Group, Inc., 6.88%, due 04/15/34 144A | 2,116,290 | |
230,000 | Sands China Ltd., 2.30%, due 03/08/27(j) | 208,452 | |
200,000 | Sands China Ltd., 2.85%, due 03/08/29 | 173,958 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
200,000 | Sands China Ltd., 5.13%, due 08/08/25 | 197,424 | |
240,000 | Sands China Ltd., 5.40%, due 08/08/28 | 235,521 | |
420,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 354,192 | |
815,000 | Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A | 552,670 | |
310,000 | EUR | SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, due 11/01/26 144A | 332,066 |
460,000 | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/01/26 144A | 446,945 | |
2,860,000 | EUR | SCIL IV LLC/SCIL USA Holdings LLC, 9.50%, due 07/15/28(i) | 3,376,166 |
545,000 | Sempra, 3.70%, due 04/01/29 | 510,065 | |
2,260,000 | SEPLAT Energy PLC, 7.75%, due 04/01/26 144A | 2,201,764 | |
570,000 | Service Properties Trust, 5.50%, due 12/15/27 | 543,928 | |
440,000 | Service Properties Trust, 8.63%, due 11/15/31 144A | 469,707 | |
780,000 | Shelf Drilling Holdings Ltd., 9.63%, due 04/15/29 144A | 754,233 | |
2,570,000 | SilverBow Resources, Inc., 13.08% (3 mo. USD Term SOFR + 7.75%), due 12/15/28(b) 144A | 2,517,116 | |
1,140,000 | Sinclair Television Group, Inc., 4.13%, due 12/01/30 144A | 831,265 | |
2,210,000 | Smyrna Ready Mix Concrete LLC, 8.88%, due 11/15/31 144A | 2,364,050 | |
1,470,000 | Societe Generale SA, 7.13% (1 yr. CMT + 2.95%), due 01/19/55(b) 144A | 1,468,623 | |
1,325,000 | Southern Copper Corp., 7.50%, due 07/27/35 | 1,533,067 | |
3,080,000 | Southwestern Energy Co., 4.75%, due 02/01/32 | 2,837,798 | |
1,116,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, due 09/20/25 144A | 847,971 | |
1,710,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, due 09/20/25(j) 144A | 1,299,310 | |
2,135,000 | Standard Chartered PLC, 4.30% (5 yr. CMT + 3.14%)(b)(k) 144A | 1,762,289 | |
765,000 | Standard Chartered PLC, 4.75% (5 yr. CMT + 3.81%)(b)(i)(k) | 637,763 | |
880,000 | Star Parent, Inc., 9.00%, due 10/01/30(j) 144A | 932,409 | |
1,550,000 | Starwood Property Trust, Inc., 4.38%, due 01/15/27 144A | 1,459,310 | |
620,000 | Starwood Property Trust, Inc., 7.25%, due 04/01/29 144A | 625,710 | |
570,000 | State Street Corp., 6.70% (5 yr. CMT + 2.61%)(b)(k) | 579,817 | |
670,000 | Stena International SA, 7.25%, due 01/15/31 144A | 669,195 | |
860,000 | StoneMor, Inc., 8.50%, due 05/15/29 144A | 594,245 | |
200,000 | StoneX Group, Inc., 7.88%, due 03/01/31 144A | 203,088 | |
926,000 | Strathcona Resources Ltd., 6.88%, due 08/01/26 144A | 928,310 | |
635,000 | Studio City Finance Ltd., 6.00%, due 07/15/25 144A | 625,213 | |
470,000 | Studio City Finance Ltd., 6.50%, due 01/15/28 144A | 448,169 | |
240,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, due 06/01/31 144A | 218,984 | |
100,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A | 97,543 | |
400,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, due 10/15/26(n) 144A | 404,875 | |
2,213,000 | Sunnova Energy Corp., 5.88%, due 09/01/26 144A | 1,725,046 | |
1,250,000 | Suzano Austria GmbH, 3.13%, due 01/15/32 | 1,039,199 | |
990,000 | Suzano Austria GmbH, 7.00%, due 03/16/47(i) | 1,039,157 | |
330,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 313,746 | |
45,000 | Targa Resources Corp., 5.20%, due 07/01/27 | 44,950 | |
515,000 | Targa Resources Corp., 6.13%, due 03/15/33 | 537,535 | |
500,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, due 02/01/31 | 479,096 | |
60,000 | Teck Resources Ltd., 6.00%, due 08/15/40 | 60,276 | |
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 184,149 | |
1,000,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36(j) | 973,667 | |
735,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 1.88%, due 03/31/27(i) | 730,205 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,280,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 7.38%, due 09/15/29 | 1,533,545 |
280,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26 | 261,994 | |
2,510,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, due 10/01/46 | 1,731,969 | |
540,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.13%, due 05/09/29 | 519,448 | |
690,000 | GBP | Time Warner Cable LLC, 5.25%, due 07/15/42 | 740,844 |
300,000 | Time Warner Cable LLC, 6.75%, due 06/15/39 | 285,955 | |
2,420,000 | Titan International, Inc., 7.00%, due 04/30/28 | 2,390,279 | |
520,000 | TK Elevator U.S. Newco, Inc., 5.25%, due 07/15/27 144A | 502,957 | |
1,110,000 | TKC Holdings, Inc., 6.88%, due 05/15/28 144A | 1,054,534 | |
1,000,000 | T-Mobile USA, Inc., 3.50%, due 04/15/31 | 903,987 | |
2,455,000 | T-Mobile USA, Inc., 4.80%, due 07/15/28 | 2,435,698 | |
1,530,000 | T-Mobile USA, Inc., 5.15%, due 04/15/34 | 1,525,469 | |
870,000 | TMS Issuer SARL, 5.78%, due 08/23/32 144A | 898,004 | |
950,000 | TopBuild Corp., 3.63%, due 03/15/29 144A | 863,882 | |
660,000 | TopBuild Corp., 4.13%, due 02/15/32 144A | 584,748 | |
630,000 | Toronto-Dominion Bank, 8.13% (5 yr. CMT + 4.08%), due 10/31/82(b) | 662,352 | |
1,100,000 | TransAlta Corp., 6.50%, due 03/15/40 | 1,097,535 | |
830,000 | TransAlta Corp., 7.75%, due 11/15/29 | 863,564 | |
2,155,000 | TransCanada PipeLines Ltd., 6.20%, due 03/09/26 | 2,155,420 | |
4,955,000 | TransDigm, Inc., 6.63%, due 03/01/32 144A | 5,012,186 | |
710,000 | TransDigm, Inc., 7.13%, due 12/01/31 144A | 732,584 | |
915,000 | Transnet SOC Ltd., 8.25%, due 02/06/28 144A | 912,205 | |
1,400,000 | Transocean, Inc., 8.00%, due 02/01/27 144A | 1,390,557 | |
1,185,000 | Transocean, Inc., 11.50%, due 01/30/27 144A | 1,235,960 | |
1,314,000 | Triumph Group, Inc., 9.00%, due 03/15/28 144A | 1,386,903 | |
470,000 | Truist Financial Corp., 5.12% (SOFR + 1.85%), due 01/26/34(b) | 452,599 | |
890,000 | Truist Financial Corp., 5.87% (SOFR + 2.36%), due 06/08/34(b) | 901,242 | |
1,115,000 | TSMC Global Ltd., 2.25%, due 04/23/31(i) | 947,612 | |
1,390,000 | Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A | 1,390,542 | |
725,000 | Turkiye Garanti Bankasi AS, 8.38% (5 yr. CMT + 4.09%), due 02/28/34(b)(j) 144A | 725,500 | |
1,640,000 | Tutor Perini Corp., 6.88%, due 05/01/25(j) 144A | 1,624,509 | |
163,052 | U.S. Airways Pass-Through Trust, 3.95%, due 05/15/27 | 159,254 | |
370,000 | U.S. Bancorp, 4.84% (SOFR + 1.60%), due 02/01/34(b) | 351,520 | |
1,010,000 | U.S. Bancorp, 5.84% (SOFR + 2.26%), due 06/12/34(b) | 1,029,832 | |
171,500 | U.S. Renal Care, Inc., 10.63%, due 06/28/28 144A | 150,491 | |
640,000 | UBS Group AG, 4.75% (1 yr. CMT + 1.75%), due 05/12/28(b) 144A | 627,329 | |
1,600,000 | UBS Group AG, 4.99% (1 yr. CMT + 2.40%), due 08/05/33(b) 144A | 1,538,814 | |
1,260,000 | UBS Group AG, 5.70% (1 yr. CMT + 1.77%), due 02/08/35(b) 144A | 1,266,949 | |
1,955,000 | UBS Group AG, 6.54% (SOFR + 3.92%), due 08/12/33(b) 144A | 2,062,479 | |
1,640,000 | UBS Group AG, 7.75% (5 yr. USD Secured Overnight Financing Rate ICE swap Rate + 4.16%)(b)(k) 144A | 1,690,789 | |
680,000 | UBS Group AG, 9.25% (5 yr. CMT + 4.75%)(b)(k) 144A | 738,463 | |
1,195,000 | UBS Group AG, 9.25% (5 yr. CMT + 4.76%)(b)(k) 144A | 1,351,589 | |
1,270,000 | UKG, Inc., 6.88%, due 02/01/31 144A | 1,294,710 | |
990,000 | UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(b) 144A | 930,604 | |
555,000 | UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(b) 144A | 570,893 | |
44,480 | United Airlines Pass-Through Trust, 4.88%, due 07/15/27 | 43,794 | |
404,305 | United Airlines Pass-Through Trust, 5.88%, due 04/15/29 | 403,384 | |
100,000 | United Airlines, Inc., 4.38%, due 04/15/26 144A | 96,741 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,130,000 | United Airlines, Inc., 4.63%, due 04/15/29 144A | 1,052,160 | |
1,900,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 1,854,795 | |
3,540,000 | United Rentals North America, Inc., 6.00%, due 12/15/29 144A | 3,567,350 | |
290,000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 240,844 | |
540,000 | Vale Overseas Ltd., 6.88%, due 11/10/39 | 577,769 | |
290,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A | 261,307 | |
500,000 | Venture Global Calcasieu Pass LLC, 3.88%, due 11/01/33 144A | 425,181 | |
350,000 | Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A | 311,484 | |
1,920,000 | Venture Global Calcasieu Pass LLC, 6.25%, due 01/15/30 144A | 1,933,081 | |
700,000 | Venture Global LNG, Inc., 8.38%, due 06/01/31 144A | 722,326 | |
1,290,000 | Venture Global LNG, Inc., 9.88%, due 02/01/32 144A | 1,391,096 | |
420,000 | Vericast Corp., 11.00%, due 09/15/26 144A | 448,875 | |
490,000 | Verizon Communications, Inc., 2.85%, due 09/03/41 | 353,029 | |
1,935,000 | Verizon Communications, Inc., 3.55%, due 03/22/51 | 1,437,580 | |
1,390,000 | Vertiv Group Corp., 4.13%, due 11/15/28 144A | 1,294,885 | |
550,000 | Viking Cruises Ltd., 5.88%, due 09/15/27 144A | 539,998 | |
1,630,000 | Viking Cruises Ltd., 7.00%, due 02/15/29 144A | 1,638,381 | |
1,630,000 | Viking Cruises Ltd., 9.13%, due 07/15/31 144A | 1,783,850 | |
300,000 | Virgin Media Secured Finance PLC, 5.50%, due 05/15/29 144A | 277,598 | |
1,070,000 | VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, due 05/01/27(j) 144A | 905,733 | |
540,000 | VistaJet Malta Finance PLC/Vista Management Holding, Inc., 9.50%, due 06/01/28(j) 144A | 459,725 | |
830,000 | Vital Energy, Inc., 7.88%, due 04/15/32 144A | 843,822 | |
450,000 | Vmed O2 U.K. Financing I PLC, 4.75%, due 07/15/31 144A | 388,287 | |
660,000 | VOC Escrow Ltd., 5.00%, due 02/15/28 144A | 635,441 | |
315,000 | Waste Connections, Inc., 2.95%, due 01/15/52 | 211,283 | |
1,395,000 | Wells Fargo & Co., 5.39% (SOFR + 2.02%), due 04/24/34(b) | 1,386,804 | |
1,630,000 | Wells Fargo & Co., 6.30% (SOFR + 1.79%), due 10/23/29(b) | 1,698,246 | |
4,045,000 | WESCO Distribution, Inc., 6.63%, due 03/15/32 144A | 4,115,537 | |
3,400,000 | Western Midstream Operating LP, 5.30%, due 03/01/48 | 2,985,423 | |
1,635,000 | Western Midstream Operating LP, 5.45%, due 04/01/44 | 1,503,945 | |
60,000 | Williams Cos., Inc., 8.75%, due 03/15/32 | 72,245 | |
2,447,000 | Winnebago Industries, Inc., 6.25%, due 07/15/28 144A | 2,425,049 | |
800,000 | WW International, Inc., 4.50%, due 04/15/29 144A | 316,787 | |
2,270,000 | Wynn Macau Ltd., 4.88%, due 10/01/24 144A | 2,244,899 | |
820,000 | Wynn Macau Ltd., 5.63%, due 08/26/28 144A | 779,017 | |
1,730,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.13%, due 02/15/31 144A | 1,791,451 | |
730,000 | XPO, Inc., 6.25%, due 06/01/28 144A | 737,404 | |
1,280,000 | XPO, Inc., 7.13%, due 02/01/32 144A | 1,318,588 | |
180,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 172,373 | |
460,000 | YPF SA, 6.95%, due 07/21/27 144A | 415,812 | |
860,000 | YPF SA, 8.50%, due 07/28/25 144A | 843,030 | |
254,800 | YPF SA, 9.00%, due 02/12/26(n) 144A | 256,791 | |
85,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 80,677 | |
570,000 | ZF North America Capital, Inc., 4.75%, due 04/29/25 144A | 563,325 | |
670,000 | ZF North America Capital, Inc., 7.13%, due 04/14/30 144A | 706,607 | |
900,000 | Ziff Davis, Inc., 4.63%, due 10/15/30 144A | 812,194 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
1,220,000 | ZipRecruiter, Inc., 5.00%, due 01/15/30(j) 144A | 1,075,625 | |
642,603,956 | |||
Mortgage Backed Securities - Private Issuers — 5.8% | |||
1,550,000 | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D, 7.15% (1 mo. USD Term SOFR + 1.84%), due 09/15/34(b) 144A | 1,438,676 | |
1,569,169 | Angel Oak Mortgage Trust, Series 2022-3, Class A3, 4.13%, due 01/25/67(e) 144A | 1,429,925 | |
910,000 | Angel Oak Mortgage Trust I LLC, Series 2019-2, Class B1, 5.02%, due 03/25/49(e) 144A | 898,910 | |
355,000 | BANK, Series 2020-BN25, Class AS, 2.84%, due 01/15/63 | 304,867 | |
1,280,000 | BANK, Series 2022-BNK42, Class A5, 4.49%, due 06/15/55(e) | 1,228,172 | |
500,000 | BANK, Series 2022-BNK44, Class D, 4.00%, due 11/15/32(e) 144A | 349,137 | |
870,000 | BANK, Series 2023-BNK45, Class A5, 5.20%, due 02/15/56 | 879,130 | |
6,036,567 | BANK, Series 2023-BNK46, Class XA, 0.62%, due 08/15/56(e) | 244,863 | |
922,000 | BBCCRE Trust, Series 2015-GTP, Class F, 4.56%, due 08/10/33(e) 144A | 611,023 | |
280,000 | BBCMS Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52 | 252,928 | |
345,000 | BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53 | 300,017 | |
390,000 | BBCMS Trust, Series 2018-CBM, Class D, 8.01% (1 mo. USD Term SOFR + 2.69%), due 07/15/37(b) 144A | 370,265 | |
250,000 | Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(e) | 212,413 | |
630,000 | Benchmark Mortgage Trust, Series 2023-V3, Class D, 4.00%, due 07/15/56 144A | 511,492 | |
1,000,000 | BHMS Mortgage Trust, Series 2018-MZB, Class MZB, 12.26% (1 mo. USD Term SOFR + 6.93%), due 07/15/25(b) 144A | 966,843 | |
860,000 | BIG Commercial Mortgage Trust, Series 2022-BIG, Class F, 10.76% (1 mo. USD Term SOFR + 5.44%), due 02/15/39(b) 144A | 836,109 | |
758,824 | BRAVO Residential Funding Trust, Series 2022-NQM1, Class A3, 4.09%, due 09/25/61(e) 144A | 704,648 | |
279,573 | BRAVO Residential Funding Trust, Series 2022-NQM2, Class A3, 5.24%, due 11/25/61(e) 144A | 274,881 | |
220,717 | BRAVO Residential Funding Trust, Series 2022-NQM3, Class A3, 5.50%, due 07/25/62(e) 144A | 217,175 | |
1,537,885 | BRAVO Residential Funding Trust, Series 2024-NQM2, Class A3, 6.59%, due 02/25/64(n) 144A | 1,544,157 | |
590,000 | BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 7.52% (1 mo. USD Term SOFR + 2.20%), due 04/15/34(b) 144A | 587,804 | |
1,005,623 | BX Commercial Mortgage Trust, Series 2021-21M, Class A, 6.17% (1 mo. USD Term SOFR + 0.84%), due 10/15/36(b) 144A | 998,147 | |
876,597 | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 6.29% (1 mo. USD Term SOFR + 0.96%), due 11/15/38(b) 144A | 868,551 | |
967,460 | BX Commercial Mortgage Trust, Series 2021-VINO, Class A, 6.09% (1 mo. USD Term SOFR + 0.77%), due 05/15/38(b) 144A | 960,748 | |
690,000 | BX Commercial Mortgage Trust, Series 2021-VOLT, Class G, 8.29% (1 mo. USD Term SOFR + 2.96%), due 09/15/36(b) 144A | 683,086 | |
398,784 | BX Commercial Mortgage Trust, Series 2021-XL2, Class J, 9.33% (1 mo. USD Term SOFR + 4.00%), due 10/15/38(b) 144A | 395,806 | |
1,260,000 | BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 6.32% (1 mo. USD Term SOFR + 0.99%), due 01/17/39(b) 144A | 1,249,267 | |
772,879 | BX Commercial Mortgage Trust, Series 2022-LP2, Class G, 9.43% (1 mo. USD Term SOFR + 4.11%), due 02/15/39(b) 144A | 765,053 | |
970,000 | BX Commercial Mortgage Trust, Series 2023-VLT2, Class E, 11.20% (1 mo. USD Term SOFR + 5.87%), due 06/15/40(b) 144A | 975,290 | |
950,000 | BX Trust, Series 2018-BILT, Class B, 6.64% (1 mo. USD Term SOFR + 1.32%), due 05/15/30(b) 144A | 948,598 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
1,600,000 | BX Trust, Series 2021-ARIA, Class E, 7.68% (1 mo. USD Term SOFR + 2.36%), due 10/15/36(b) 144A | 1,569,834 | |
844,142 | BX Trust, Series 2021-SDMF, Class F, 7.38% (1 mo. USD Term SOFR + 2.05%), due 09/15/34(b) 144A | 816,181 | |
830,000 | BX Trust, Series 2022-LBA6, Class D, 7.33% (1 mo. USD Term SOFR + 2.00%), due 01/15/39(b) 144A | 822,161 | |
1,550,000 | BX Trust, Series 2024-CNYN, Class D, 7.99% (1 mo. USD Term SOFR + 2.69%), due 04/15/29(b)(c) 144A | 1,555,613 | |
496,802 | Cantor Commercial Real Estate Lending, Series 2019-CF1, Class A2, 3.62%, due 05/15/52 | 475,262 | |
227,717 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.25%, due 12/15/47(e) 144A | 212,626 | |
425,000 | CFK Trust, Series 2020-MF2, Class F, 3.46%, due 03/15/39(e) 144A | 268,019 | |
300,000 | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 6.39% (1 mo. USD Term SOFR + 1.06%), due 11/15/36(b) 144A | 296,385 | |
1,210,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class B, 3.76%, due 04/10/48(e) | 1,167,454 | |
1,640,000 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C, 4.37%, due 09/15/48(e) | 1,533,590 | |
270,000 | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.47%, due 10/12/50 | 254,560 | |
1,440,000 | COLT Mortgage Loan Trust, Series 2024-1, Class M1, 6.59%, due 02/25/69(e) 144A | 1,423,623 | |
295,923 | COMM Mortgage Trust, Series 2012-CR3, Class B, 3.92%, due 10/15/45 144A | 278,765 | |
1,780,000 | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C, 4.35%, due 08/15/48(e) | 1,512,878 | |
450,000 | CSMC Trust, Series 2014-USA, Class F, 4.37%, due 09/15/37 144A | 160,325 | |
300,000 | CSMC Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A | 264,977 | |
1,057,369 | CSMC Trust Capital Certificates, Series 2019-ICE4, Class F, 8.02% (1 mo. USD Term SOFR + 2.70%), due 05/15/36(b) 144A | 1,054,531 | |
932,038 | DBGS Mortgage Trust, Series 2018-BIOD, Class D, 6.92% (1 mo. USD Term SOFR + 1.60%), due 05/15/35(b) 144A | 923,897 | |
930,000 | Ellington Financial Mortgage Trust, Series 2020-1, Class B1, 5.10%, due 05/25/65(e) 144A | 945,552 | |
960,190 | Ellington Financial Mortgage Trust, Series 2023-1, Class A3, 6.54%, due 02/25/68(n) 144A | 958,143 | |
769,105 | ELP Commercial Mortgage Trust, Series 2021-ELP, Class D, 6.96% (1 mo. USD Term SOFR + 1.63%), due 11/15/38(b) 144A | 761,874 | |
447,985 | Extended Stay America Trust, Series 2021-ESH, Class F, 9.14% (1 mo. USD Term SOFR + 3.81%), due 07/15/38(b) 144A | 448,282 | |
1,580,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA1, Class B1, 7.73% (SOFR 30-day average + 2.41%), due 01/25/50(b) 144A | 1,634,962 | |
830,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA5, Class B1, 10.12% (SOFR 30-day average + 4.80%), due 10/25/50(b) 144A | 933,282 | |
1,060,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2020-DNA6, Class B1, 8.32% (SOFR 30-day average + 3.00%), due 12/25/50(b) 144A | 1,116,986 | |
970,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA1, Class B2, 10.07% (SOFR 30-day average + 4.75%), due 01/25/51(b) 144A | 1,027,830 | |
910,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA2, Class B1, 8.72% (SOFR 30-day average + 3.40%), due 08/25/33(b) 144A | 991,754 | |
380,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA3, Class B1, 8.82% (SOFR 30-day average + 3.50%), due 10/25/33(b) 144A | 418,737 | |
1,140,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA3, Class M2, 7.42% (SOFR 30-day average + 2.10%), due 10/25/33(b) 144A | 1,160,756 | |
1,270,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA5, Class B1, 8.37% (SOFR 30-day average + 3.05%), due 01/25/34(b) 144A | 1,344,621 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
741,607 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA5, Class M2, 6.97% (SOFR 30-day average + 1.65%), due 01/25/34(b) 144A | 744,504 | |
980,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA6, Class B1, 8.72% (SOFR 30-day average + 3.40%), due 10/25/41(b) 144A | 1,015,672 | |
400,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA6, Class M2, 6.82% (SOFR 30-day average + 1.50%), due 10/25/41(b) 144A | 400,902 | |
1,000,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2021-DNA7, Class M2, 7.12% (SOFR 30-day average + 1.80%), due 11/25/41(b) 144A | 1,006,836 | |
1,100,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2, Class B1, 10.07% (SOFR 30-day average + 4.75%), due 02/25/42(b) 144A | 1,173,469 | |
1,240,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA2, Class M2, 9.07% (SOFR 30-day average + 3.75%), due 02/25/42(b) 144A | 1,306,553 | |
1,090,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA3, Class M1B, 8.22% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A | 1,128,585 | |
880,000 | Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA6, Class M2, 11.07% (SOFR 30-day average + 5.75%), due 09/25/42(b) 144A | 991,335 | |
209,639 | Federal Home Loan Mortgage Corp. STACR Securitized Participation Interests Trust, Series 2017-SPI1, Class B, 4.12%, due 09/25/47(e) 144A | 146,785 | |
440,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C07, Class 1B1, 9.43% (SOFR 30-day average + 4.11%), due 05/25/30(b) | 478,468 | |
610,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-C01, Class 1B1, 8.98% (SOFR 30-day average + 3.66%), due 07/25/30(b) | 656,450 | |
492,500 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-C06, Class 1B1, 9.18% (SOFR 30-day average + 3.86%), due 03/25/31(b) | 529,417 | |
799,776 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2018-R07, Class 1B1, 9.78% (SOFR 30-day average + 4.46%), due 04/25/31(b) 144A | 860,677 | |
856,175 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R03, Class 1B1, 9.53% (SOFR 30-day average + 4.21%), due 09/25/31(b) 144A | 909,343 | |
667,765 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R07, Class 1B1, 8.83% (SOFR 30-day average + 3.51%), due 10/25/39(b) 144A | 687,792 | |
260,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2020-R01, Class 1B1, 8.68% (SOFR 30-day average + 3.36%), due 01/25/40(b) 144A | 269,571 | |
112,933 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2020-R01, Class 1M2, 7.48% (SOFR 30-day average + 2.16%), due 01/25/40(b) 144A | 114,473 | |
2,280,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2021-R01, Class 1B1, 8.42% (SOFR 30-day average + 3.10%), due 10/25/41(b) 144A | 2,349,143 | |
1,260,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2021-R03, Class 1B1, 8.07% (SOFR 30-day average + 2.75%), due 12/25/41(b) 144A | 1,284,240 | |
1,230,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R01, Class 1B1, 8.47% (SOFR 30-day average + 3.15%), due 12/25/41(b) 144A | 1,265,924 | |
1,000,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R04, Class 1M2, 8.42% (SOFR 30-day average + 3.10%), due 03/25/42(b) 144A | 1,040,858 | |
1,020,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R06, Class 1B1, 9.22% (SOFR 30-day average + 3.90%), due 07/25/43(b) 144A | 1,074,574 | |
1,590,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2024-R01, Class 1B1, 8.02% (SOFR 30-day average + 2.70%), due 01/25/44(b) 144A | 1,602,962 | |
1,600,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2024-R02, Class 1B1, 7.82% (SOFR 30-day average + 2.50%), due 02/25/44(b) 144A | 1,614,619 | |
900,000 | GS Mortgage Securities Corp. II, Series 2024-70P, Class E, 8.67%, due 03/10/41(e) 144A | 917,190 | |
510,000 | GS Mortgage Securities Corp. Trust, Series 2018-LUAU, Class G, 10.07% (1 mo. USD Term SOFR + 4.75%), due 11/15/32(b) 144A | 501,764 | |
570,000 | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 6.69% (1 mo. USD Term SOFR + 1.36%), due 12/15/36(b) 144A | 567,052 | |
265,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.15%, due 08/10/44(e) 144A | 101,572 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
280,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.70%, due 06/10/47(e) 144A | 127,298 | |
670,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class D, 4.31%, due 02/10/48(e) 144A | 611,779 | |
720,000 | GS Mortgage Securities Trust, Series 2015-GC32, Class D, 3.35%, due 07/10/48 | 635,372 | |
143,622 | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1C, 6.34% (1 mo. USD Term SOFR + 1.01%), due 06/20/35(b) | 131,315 | |
140,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class C, 4.72%, due 01/15/49(e) | 125,442 | |
1,390,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 13.95% (1 mo. USD Term SOFR + 8.62%), due 06/15/35(b) 144A | 139 | |
1,210,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL, 8.46% (1 mo. USD Term SOFR + 3.14%), due 07/05/33(b) 144A | 815,181 | |
530,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 8.54% (1 mo. USD Term SOFR + 3.21%), due 09/15/29(b) 144A | 299,552 | |
800,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F, 9.34% (1 mo. USD Term SOFR + 4.01%), due 09/15/29(b) 144A | 396,153 | |
610,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F, 8.79% (1 mo. USD Term SOFR + 3.46%), due 12/15/36(b) 144A | 63,106 | |
760,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX, 4.69%, due 01/16/37(e) 144A | 199,640 | |
810,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class F, 9.71% (1 mo. USD Term SOFR + 4.38%), due 11/15/38(b) 144A | 776,270 | |
1,030,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class D, 8.22% (SOFR 30-day average + 2.90%), due 03/15/39(b) 144A | 1,008,206 | |
527,191 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D, 7.49% (1 mo. USD Term SOFR + 2.17%), due 04/15/37(b) 144A | 471,250 | |
624,869 | KIND Trust, Series 2021-KIND, Class D, 7.74% (1 mo. USD Term SOFR + 2.41%), due 08/15/38(b) 144A | 601,649 | |
972,143 | Legacy Mortgage Asset Trust, Series 2020-GS4, Class A1, 6.25%, due 02/25/60(n) 144A | 976,797 | |
638,931 | Life Mortgage Trust, Series 2021-BMR, Class F, 7.79% (1 mo. USD Term SOFR + 2.46%), due 03/15/38(b) 144A | 619,296 | |
532,445 | Med Trust, Series 2021-MDLN, Class C, 7.24% (1 mo. USD Term SOFR + 1.91%), due 11/15/38(b) 144A | 531,419 | |
577,230 | Med Trust, Series 2021-MDLN, Class E, 8.59% (1 mo. USD Term SOFR + 3.26%), due 11/15/38(b) 144A | 575,828 | |
1,741,641 | Med Trust, Series 2021-MDLN, Class G, 10.69% (1 mo. USD Term SOFR + 5.36%), due 11/15/38(b) 144A | 1,743,535 | |
746,600 | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 6.24% (1 mo. USD Term SOFR + 0.92%), due 04/15/38(b) 144A | 743,660 | |
472,000 | MHC Trust, Series 2021-MHC2, Class E, 7.39% (1 mo. USD Term SOFR + 2.06%), due 05/15/38(b) 144A | 465,834 | |
320,000 | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.28%, due 07/11/40(e) 144A | 284,280 | |
326,057 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%, due 10/15/30 144A | 292,270 | |
490,000 | MSWF Commercial Mortgage Trust, Series 2023-1, Class A4, 5.47%, due 05/15/56 | 503,885 | |
540,000 | MSWF Commercial Mortgage Trust, Series 2023-2, Class C, 7.02%, due 12/15/56(e) | 564,529 | |
449,766 | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 8.68% (SOFR 30-day average + 3.36%), due 10/25/49(b) 144A | 444,074 | |
458,379 | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 9.18% (SOFR 30-day average + 3.86%), due 03/25/50(b) 144A | 454,616 | |
271,634 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 6.91% (1 mo. USD Term SOFR + 1.58%), due 07/15/36(b) 144A | 251,554 | |
338,054 | New Residential Mortgage Loan Trust, Series 2017-5A, Class B4, 5.99%, due 06/25/57(e) 144A | 327,508 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
403,022 | OBX Trust, Series 2022-NQM6, Class A1, 4.70%, due 07/25/62(n) 144A | 393,286 | |
658,353 | OPG Trust, Series 2021-PORT, Class D, 6.57% (1 mo. USD Term SOFR + 1.25%), due 10/15/36(b) 144A | 646,373 | |
63,882 | PMT Credit Risk Transfer Trust, Series 2019-3R, Class A, 9.14% (SOFR 30-day average + 3.81%), due 11/27/31(b) 144A | 64,006 | |
27,646 | Seasoned Credit Risk Transfer Trust, Series 2017-1, Class M1, 4.00%, due 01/25/56(e) 144A | 27,493 | |
221,669 | Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1, 4.00%, due 08/25/56(e) 144A | 218,294 | |
172,475 | Seasoned Credit Risk Transfer Trust, Series 2017-3, Class M1, 4.00%, due 07/25/56(e) | 171,117 | |
415,000 | Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M, 4.75%, due 08/25/57(e) 144A | 383,279 | |
280,000 | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M, 4.75%, due 07/25/58(e) 144A | 263,218 | |
790,000 | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.75%, due 10/25/58(e) | 745,499 | |
560,000 | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M, 4.50%, due 02/25/59(e) 144A | 508,586 | |
370,000 | Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M, 4.25%, due 08/25/59(e) 144A | 339,075 | |
640,000 | Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M, 4.25%, due 11/25/59(e) 144A | 594,254 | |
590,000 | Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M, 4.25%, due 05/25/60(e) 144A | 542,519 | |
500,000 | Seasoned Credit Risk Transfer Trust, Series 2021-1, Class M, 4.25%, due 09/25/60 144A | 464,641 | |
1,620,000 | Seasoned Credit Risk Transfer Trust, Series 2024-1, Class M, 5.00%, due 11/25/63(e) 144A | 1,318,173 | |
1,580,000 | SMRT Commercial Mortgage Trust, Series 2022-MINI, Class D, 7.28% (1 mo. USD Term SOFR + 1.95%), due 01/15/39(b) 144A | 1,554,766 | |
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 8.50% (U.S. (Fed) Prime Rate + 0.00%), due 11/15/27(b)(d) 144A | 75,693 | |
900,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 8.50% (U.S. (Fed) Prime Rate + 0.00%), due 11/15/27(b)(d) 144A | 72,360 | |
290,057 | Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A2, 6.00% (1 mo. USD Term SOFR + 0.67%), due 05/25/45(b) | 215,038 | |
940,000 | Towd Point Mortgage Trust, Series 2017-5, Class B1, 6.17% (1 mo. USD Term SOFR + 1.91%), due 02/25/57(b) 144A | 970,626 | |
590,000 | Towd Point Mortgage Trust, Series 2019-4, Class B1B, 3.50%, due 10/25/59(e) 144A | 463,557 | |
219,639 | UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, due 12/15/50 | 207,235 | |
1,550,000 | Verus Securitization Trust, Series 2023-4, Class B1, 8.19%, due 05/25/68(e) 144A | 1,543,839 | |
615,787 | Verus Securitization Trust, Series 2023-8, Class A3, 6.97%, due 12/25/68(n) 144A | 620,983 | |
312,974 | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR16, Class 2A2, 4.36%, due 12/25/36(e) | 269,645 | |
350,000 | WB Commercial Mortgage Trust, Series 2024-HQ, Class D, 8.28%, due 03/15/40(e) 144A | 353,837 | |
530,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class B, 3.96%, due 12/15/47 | 516,589 | |
1,190,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D, 2.80%, due 12/15/50(e) 144A | 825,021 | |
190,194 | Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR5, Class 2A1, 6.27%, due 04/25/36(e) | 177,614 | |
102,670,224 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.0% | |||
185,696 | Federal National Mortgage Association, Pool # FS5059, 3.50%, due 11/01/48 | 169,516 | |
Sovereign Debt Obligations — 31.9% | |||
1,275,000 | Abu Dhabi Government International Bonds, 3.13%, due 09/30/49(i) | 898,408 | |
1,700,000 | Abu Dhabi Government International Bonds, 3.13%, due 09/30/49 144A | 1,198,061 | |
1,735,000 | Angola Government International Bonds, 8.00%, due 11/26/29(i) | 1,620,490 | |
240,000 | Angola Government International Bonds, 8.75%, due 04/14/32 144A | 221,207 | |
390,000 | Angola Government International Bonds, 9.13%, due 11/26/49(i) | 331,239 | |
5,505 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 2,974 | |
2,330,000 | Argentina Republic Government International Bonds, 3.63%, due 07/09/35(n) | 971,812 | |
327,438 | Argentina Republic Government International Bonds, 3.63%, due 07/09/46(n) | 147,692 | |
380,000 | Bahamas Government International Bonds, 8.95%, due 10/15/32(i) | 369,144 | |
975,000 | Bahrain Government International Bonds, 5.63%, due 05/18/34(i) | 881,175 | |
2,325,000 | Bahrain Government International Bonds, 7.50%, due 02/12/36 144A | 2,387,170 | |
1,075,712,080 | CLP | Bonos de la Tesoreria de la Republica, 1.90%, due 09/01/30 | 1,061,018 |
55,640,280 | CLP | Bonos de la Tesoreria de la Republica, 2.00%, due 03/01/35 | 54,409 |
853,150,960 | CLP | Bonos de la Tesoreria de la Republica, 3.40%, due 10/01/39(i) | 983,753 |
870,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.30%, due 10/01/28(i) | 778,020 |
3,045,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 2.50%, due 03/01/25 | 3,015,973 |
1,985,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 1,981,278 |
1,115,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 09/01/30(i) | 1,073,501 |
2,140,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 10/01/28(i) | 2,146,104 |
205,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 194,553 |
830,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.80%, due 10/01/34(i) | 868,548 |
2,165,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 04/01/33(i) | 2,244,721 |
270,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 7.00%, due 05/01/34(i) | 300,258 |
1,000,000 | Brazil Government International Bonds, 4.63%, due 01/13/28(j) | 983,769 | |
2,360,000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 1,774,845 | |
4,354,000 | BRL | Brazil Letras do Tesouro Nacional, 13.11%, due 07/01/25(h) | 772,964 |
13,921,000 | BRL | Brazil Letras do Tesouro Nacional, Series LTN, 9.89%, due 01/01/25(h) | 2,590,113 |
5,550,000 | BRL | Brazil Letras do Tesouro Nacional, Series LTN, 10.06%, due 07/01/27(h) | 805,329 |
7,975,000 | BRL | Brazil Letras do Tesouro Nacional, Series LTN, 10.45%, due 07/01/26(h) | 1,283,959 |
35,362,000 | BRL | Brazil Letras do Tesouro Nacional, Series LTN, 11.49%, due 01/01/26(h) | 5,978,210 |
140,000 | BRL | Brazil Notas do Tesouro Nacional, 6.00%, due 05/15/35 | 120,766 |
366,000 | BRL | Brazil Notas do Tesouro Nacional, 6.00%, due 08/15/50 | 316,809 |
11,518,000 | BRL | Brazil Notas do Tesouro Nacional, Series NTNF, 10.00%, due 01/01/25 | 2,299,798 |
57,756,000 | BRL | Brazil Notas do Tesouro Nacional, Series NTNF, 10.00%, due 01/01/27 | 11,482,134 |
78,356,000 | BRL | Brazil Notas do Tesouro Nacional, Series NTNF, 10.00%, due 01/01/29 | 15,301,005 |
64,867,000 | BRL | Brazil Notas do Tesouro Nacional, Series NTNF, 10.00%, due 01/01/31 | 12,457,396 |
27,376,000 | BRL | Brazil Notas do Tesouro Nacional, Series NTNF, 10.00%, due 01/01/33 | 5,230,929 |
548,000 | Chile Government International Bonds, 2.55%, due 01/27/32(j) | 463,816 | |
403,000 | Chile Government International Bonds, 4.34%, due 03/07/42 | 352,514 | |
5,870,000 | CNY | China Government Bonds, 2.52%, due 08/25/33 | 819,789 |
5,790,000 | CNY | China Government Bonds, 2.68%, due 05/21/30 | 815,531 |
5,320,000 | CNY | China Government Bonds, 2.85%, due 06/04/27 | 752,049 |
27,640,000 | CNY | China Government Bonds, 2.88%, due 02/25/33 | 3,967,107 |
2,310,000 | CNY | China Government Bonds, 3.02%, due 10/22/25 | 325,132 |
1,990,000 | CNY | China Government Bonds, 3.02%, due 05/27/31 | 287,094 |
6,770,000 | CNY | China Government Bonds, 3.27%, due 11/19/30 | 992,115 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
2,250,000 | CNY | China Government Bonds, 3.28%, due 12/03/27 | 324,319 |
15,960,000 | CNY | China Government Bonds, 3.53%, due 10/18/51 | 2,588,978 |
2,340,000 | CNY | China Government Bonds, 3.72%, due 04/12/51 | 390,158 |
5,790,000 | CNY | China Government Bonds, 3.81%, due 09/14/50 | 976,505 |
3,630,000 | CNY | China Government Bonds, Series 1906, 3.29%, due 05/23/29 | 528,417 |
8,120,000 | CNY | China Government Bonds, Series 1915, 3.13%, due 11/21/29 | 1,173,727 |
1,690,000 | Colombia Government International Bonds, 4.50%, due 03/15/29 | 1,559,787 | |
15,907,000,000 | COP | Colombia TES, Series B, 5.75%, due 11/03/27 | 3,681,478 |
26,423,300,000 | COP | Colombia TES, Series B, 6.00%, due 04/28/28 | 6,083,796 |
15,033,300,000 | COP | Colombia TES, Series B, 6.25%, due 11/26/25 | 3,783,763 |
14,012,900,000 | COP | Colombia TES, Series B, 6.25%, due 07/09/36 | 2,597,169 |
14,702,700,000 | COP | Colombia TES, Series B, 7.00%, due 03/26/31 | 3,278,431 |
31,869,600,000 | COP | Colombia TES, Series B, 7.00%, due 06/30/32 | 6,898,487 |
24,065,600,000 | COP | Colombia TES, Series B, 7.25%, due 10/18/34 | 5,075,191 |
5,090,000,000 | COP | Colombia TES, Series B, 7.25%, due 10/26/50 | 928,693 |
16,380,600,000 | COP | Colombia TES, Series B, 7.50%, due 08/26/26 | 4,093,796 |
18,509,300,000 | COP | Colombia TES, Series B, 7.75%, due 09/18/30 | 4,372,018 |
8,627,400,000 | COP | Colombia TES, Series B, 9.25%, due 05/28/42 | 1,973,201 |
7,595,900,000 | COP | Colombia TES, Series B, 13.25%, due 02/09/33 | 2,313,569 |
1,517,200,000 | COP | Colombia TES, Series G, 7.00%, due 03/26/31 | 338,308 |
865,000 | Costa Rica Government International Bonds, 7.16%, due 03/12/45(i) | 907,798 | |
34,210,000 | CZK | Czech Republic Government Bonds, Series 103, 2.00%, due 10/13/33 | 1,243,661 |
24,930,000 | CZK | Czech Republic Government Bonds, Series 105, 2.75%, due 07/23/29 | 1,015,615 |
14,000,000 | CZK | Czech Republic Government Bonds, Series 11Y, 4.90%, due 04/14/34 | 644,330 |
16,910,000 | CZK | Czech Republic Government Bonds, Series 120, 1.25%, due 02/14/25 | 703,224 |
29,670,000 | CZK | Czech Republic Government Bonds, Series 121, 1.20%, due 03/13/31 | 1,068,655 |
15,630,000 | CZK | Czech Republic Government Bonds, Series 130, 0.05%, due 11/29/29 | 544,186 |
24,440,000 | CZK | Czech Republic Government Bonds, Series 138, 1.75%, due 06/23/32 | 888,243 |
10,450,000 | CZK | Czech Republic Government Bonds, Series 145, 3.50%, due 05/30/35 | 426,994 |
4,340,000 | CZK | Czech Republic Government Bonds, Series 148, 6.00%, due 02/26/26 | 192,975 |
93,690,000 | CZK | Czech Republic Government Bonds, Series 149, 5.50%, due 12/12/28 | 4,307,723 |
83,460,000 | CZK | Czech Republic Government Bonds, Series 150, 5.00%, due 09/30/30 | 3,810,650 |
31,500,000 | CZK | Czech Republic Government Bonds, Series 153, 5.75%, due 03/29/29 | 1,466,633 |
9,080,000 | CZK | Czech Republic Government Bonds, Series 49, 4.20%, due 12/04/36(i) | 397,010 |
4,900,000 | CZK | Czech Republic Government Bonds, Series 78, 2.50%, due 08/25/28(i) | 199,344 |
22,210,000 | CZK | Czech Republic Government Bonds, Series 94, 0.95%, due 05/15/30(i) | 804,239 |
15,220,000 | CZK | Czech Republic Government Bonds, Series 95, 1.00%, due 06/26/26(i) | 610,826 |
270,000 | Dominican Republic International Bonds, 4.50%, due 01/30/30(i) | 246,693 | |
580,000 | Dominican Republic International Bonds, 4.88%, due 09/23/32(i) | 521,000 | |
350,000 | Dominican Republic International Bonds, 5.50%, due 02/22/29 144A | 340,640 | |
1,865,000 | Dominican Republic International Bonds, 5.88%, due 01/30/60(i) | 1,590,476 | |
1,005,000 | Dominican Republic International Bonds, 6.00%, due 07/19/28 144A | 1,000,394 | |
23,800,000 | DOP | Dominican Republic International Bonds, 13.63%, due 02/03/33(i) | 489,583 |
300,000 | Ecuador Government International Bonds, 3.50%, due 07/31/35(i)(n) | 158,663 | |
1,575,000 | Ecuador Government International Bonds, 6.00%, due 07/31/30(i)(n) | 1,072,871 | |
6,937,000 | EGP | Egypt Government Bonds, Series 10Y, 14.82%, due 07/06/31 | 83,554 |
7,061,000 | EGP | Egypt Government Bonds, Series 10YR, 14.66%, due 10/06/30 | 86,232 |
1,720,000 | Egypt Government International Bonds, 5.80%, due 09/30/27(i) | 1,556,514 | |
440,000 | Egypt Government International Bonds, 7.05%, due 01/15/32(i) | 365,384 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
860,000 | Egypt Government International Bonds, 7.50%, due 01/31/27(i) | 830,231 | |
2,105,000 | Egypt Government International Bonds, 7.60%, due 03/01/29(i) | 1,946,725 | |
1,520,000 | Egypt Government International Bonds, 8.88%, due 05/29/50(i) | 1,252,328 | |
110,000 | El Salvador Government International Bonds, 6.38%, due 01/18/27(i) | 96,069 | |
11,240,000 | ZAR | European Investment Bank, 8.50%, due 09/17/24(i) | 592,312 |
5,100,000,000 | IDR | Export-Import Bank of Korea, 8.00%, due 05/15/24(i) | 321,794 |
1,480,000 | Gabon Government International Bonds, 7.00%, due 11/24/31(i) | 1,266,241 | |
2,745,000 | Ghana Government International Bonds, 7.75%, due 04/07/29(i) | 1,428,292 | |
390,000 | Ghana Government International Bonds, 7.75%, due 04/07/29 144A | 203,026 | |
370,000 | Ghana Government International Bonds, 10.75%, due 10/14/30(i) | 252,899 | |
300,000 | Guatemala Government Bonds, 4.38%, due 06/05/27(i) | 288,401 | |
1,340,000 | Guatemala Government Bonds, 4.88%, due 02/13/28(i) | 1,295,445 | |
1,155,000 | Hazine Mustesarligi Varlik Kiralama AS, 8.51%, due 01/14/29 144A | 1,224,487 | |
1,055,000 | Honduras Government International Bonds, 5.63%, due 06/24/30(i) | 940,052 | |
143,770,000 | HUF | Hungary Government Bonds, Series 26/D, 2.75%, due 12/22/26 | 356,067 |
225,260,000 | HUF | Hungary Government Bonds, Series 26/E, 1.50%, due 04/22/26 | 558,135 |
165,120,000 | HUF | Hungary Government Bonds, Series 26/H, 9.50%, due 10/21/26 | 480,174 |
544,640,000 | HUF | Hungary Government Bonds, Series 26/H, 9.50%, due 10/21/26 | 1,583,830 |
182,140,000 | HUF | Hungary Government Bonds, Series 27/A, 3.00%, due 10/27/27 | 442,438 |
906,480,000 | HUF | Hungary Government Bonds, Series 28/A, 6.75%, due 10/22/28 | 2,486,444 |
1,217,920,000 | HUF | Hungary Government Bonds, Series 28/B, 4.50%, due 03/23/28 | 3,080,069 |
191,110,000 | HUF | Hungary Government Bonds, Series 29/A, 2.00%, due 05/23/29 | 420,013 |
425,690,000 | HUF | Hungary Government Bonds, Series 30/A, 3.00%, due 08/21/30 | 948,411 |
224,860,000 | HUF | Hungary Government Bonds, Series 31/A, 3.25%, due 10/22/31 | 493,396 |
1,617,930,000 | HUF | Hungary Government Bonds, Series 32/A, 4.75%, due 11/24/32 | 3,883,278 |
456,210,000 | HUF | Hungary Government Bonds, Series 32/A, 4.75%, due 11/24/32 | 1,094,973 |
368,130,000 | HUF | Hungary Government Bonds, Series 33/A, 2.25%, due 04/20/33 | 713,223 |
90,000,000 | HUF | Hungary Government Bonds, Series 35/A, 7.00%, due 10/24/35 | 252,305 |
466,370,000 | HUF | Hungary Government Bonds, Series 38/A, 3.00%, due 10/27/38 | 850,921 |
361,590,000 | HUF | Hungary Government Bonds, Series 41/A, 3.00%, due 04/25/41 | 626,671 |
259,610,000 | HUF | Hungary Government Bonds, Series 51/G, 4.00%, due 04/28/51 | 469,651 |
21,094,000,000 | IDR | Indonesia Treasury Bonds, Series 100, 6.63%, due 02/15/34 | 1,320,075 |
16,442,000,000 | IDR | Indonesia Treasury Bonds, Series 101, 6.88%, due 04/15/29 | 1,048,840 |
4,567,000,000 | IDR | Indonesia Treasury Bonds, Series FR40, 11.00%, due 09/15/25 | 307,235 |
6,017,000,000 | IDR | Indonesia Treasury Bonds, Series FR54, 9.50%, due 07/15/31 | 441,425 |
11,780,000,000 | IDR | Indonesia Treasury Bonds, Series FR56, 8.38%, due 09/15/26 | 775,935 |
2,658,000,000 | IDR | Indonesia Treasury Bonds, Series FR58, 8.25%, due 06/15/32 | 184,259 |
6,751,000,000 | IDR | Indonesia Treasury Bonds, Series FR59, 7.00%, due 05/15/27 | 432,439 |
7,852,000,000 | IDR | Indonesia Treasury Bonds, Series FR64, 6.13%, due 05/15/28 | 488,072 |
72,197,000,000 | IDR | Indonesia Treasury Bonds, Series FR68, 8.38%, due 03/15/34 | 5,101,147 |
8,328,000,000 | IDR | Indonesia Treasury Bonds, Series FR71, 9.00%, due 03/15/29 | 579,562 |
17,896,000,000 | IDR | Indonesia Treasury Bonds, Series FR72, 8.25%, due 05/15/36 | 1,261,964 |
23,174,000,000 | IDR | Indonesia Treasury Bonds, Series FR73, 8.75%, due 05/15/31 | 1,632,324 |
24,284,000,000 | IDR | Indonesia Treasury Bonds, Series FR74, 7.50%, due 08/15/32 | 1,612,776 |
19,298,000,000 | IDR | Indonesia Treasury Bonds, Series FR75, 7.50%, due 05/15/38 | 1,288,785 |
4,546,000,000 | IDR | Indonesia Treasury Bonds, Series FR76, 7.38%, due 05/15/48 | 301,647 |
14,309,000,000 | IDR | Indonesia Treasury Bonds, Series FR78, 8.25%, due 05/15/29 | 968,057 |
40,556,000,000 | IDR | Indonesia Treasury Bonds, Series FR79, 8.38%, due 04/15/39 | 2,906,142 |
34,336,000,000 | IDR | Indonesia Treasury Bonds, Series FR81, 6.50%, due 06/15/25 | 2,170,174 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
59,927,000,000 | IDR | Indonesia Treasury Bonds, Series FR83, 7.50%, due 04/15/40 | 3,994,415 |
14,660,000,000 | IDR | Indonesia Treasury Bonds, Series FR86, 5.50%, due 04/15/26 | 910,640 |
13,243,000,000 | IDR | Indonesia Treasury Bonds, Series FR87, 6.50%, due 02/15/31 | 828,926 |
23,108,000,000 | IDR | Indonesia Treasury Bonds, Series FR88, 6.25%, due 06/15/36 | 1,403,930 |
10,430,000,000 | IDR | Indonesia Treasury Bonds, Series FR89, 6.88%, due 08/15/51 | 653,626 |
27,182,000,000 | IDR | Indonesia Treasury Bonds, Series FR90, 5.13%, due 04/15/27 | 1,654,236 |
81,252,000,000 | IDR | Indonesia Treasury Bonds, Series FR91, 6.38%, due 04/15/32 | 5,033,729 |
6,949,000,000 | IDR | Indonesia Treasury Bonds, Series FR92, 7.13%, due 06/15/42 | 447,681 |
13,146,000,000 | IDR | Indonesia Treasury Bonds, Series FR95, 6.38%, due 08/15/28 | 824,902 |
33,010,000,000 | IDR | Indonesia Treasury Bonds, Series FR96, 7.00%, due 02/15/33 | 2,127,943 |
15,591,000,000 | IDR | Indonesia Treasury Bonds, Series FR97, 7.13%, due 06/15/43 | 999,161 |
42,179,000,000 | IDR | Indonesia Treasury Bonds, Series FR98, 7.13%, due 06/15/38 | 2,705,202 |
1,110,000 | Ivory Coast Government International Bonds, 6.38%, due 03/03/28(i) | 1,098,797 | |
1,890,000 | Ivory Coast Government International Bonds, 7.63%, due 01/30/33 144A | 1,878,726 | |
440,000 | Ivory Coast Government International Bonds, 8.25%, due 01/30/37 144A | 442,350 | |
194,500,000 | JMD | Jamaica Government International Bonds, 9.63%, due 11/03/30 | 1,344,326 |
820,000 | Jordan Government International Bonds, 7.75%, due 01/15/28 144A | 833,075 | |
13,218,000 | MYR | Malaysia Government Bonds, Series 0118, 3.88%, due 03/14/25 | 2,807,536 |
5,705,000 | MYR | Malaysia Government Bonds, Series 0119, 3.91%, due 07/15/26 | 1,218,113 |
3,721,000 | MYR | Malaysia Government Bonds, Series 0120, 4.07%, due 06/15/50 | 771,839 |
27,976,000 | MYR | Malaysia Government Bonds, Series 0122, 3.58%, due 07/15/32 | 5,803,087 |
2,380,000 | MYR | Malaysia Government Bonds, Series 0123, 4.46%, due 03/31/53 | 524,836 |
2,586,000 | MYR | Malaysia Government Bonds, Series 0212, 3.89%, due 03/15/27 | 553,274 |
1,597,000 | MYR | Malaysia Government Bonds, Series 0216, 4.74%, due 03/15/46 | 371,823 |
32,016,000 | MYR | Malaysia Government Bonds, Series 0219, 3.89%, due 08/15/29 | 6,840,959 |
14,789,000 | MYR | Malaysia Government Bonds, Series 0220, 2.63%, due 04/15/31 | 2,905,456 |
10,114,000 | MYR | Malaysia Government Bonds, Series 0222, 4.70%, due 10/15/42 | 2,308,413 |
2,748,000 | MYR | Malaysia Government Bonds, Series 0223, 3.52%, due 04/20/28 | 578,940 |
1,921,000 | MYR | Malaysia Government Bonds, Series 0307, 3.50%, due 05/31/27 | 405,946 |
4,721,000 | MYR | Malaysia Government Bonds, Series 0310, 4.50%, due 04/15/30 | 1,037,938 |
13,319,000 | MYR | Malaysia Government Bonds, Series 0311, 4.39%, due 04/15/26 | 2,869,834 |
15,564,000 | MYR | Malaysia Government Bonds, Series 0316, 3.90%, due 11/30/26 | 3,331,511 |
5,176,000 | MYR | Malaysia Government Bonds, Series 0317, 4.76%, due 04/07/37 | 1,181,012 |
8,228,000 | MYR | Malaysia Government Bonds, Series 0318, 4.64%, due 11/07/33 | 1,846,623 |
15,741,000 | MYR | Malaysia Government Bonds, Series 0319, 3.48%, due 06/14/24 | 3,326,867 |
1,205,000 | MYR | Malaysia Government Bonds, Series 0411, 4.23%, due 06/30/31 | 261,966 |
624,000 | MYR | Malaysia Government Bonds, Series 0412, 4.13%, due 04/15/32 | 134,375 |
2,226,000 | MYR | Malaysia Government Bonds, Series 0413, 3.84%, due 04/15/33 | 470,459 |
2,283,000 | MYR | Malaysia Government Bonds, Series 0415, 4.25%, due 05/31/35 | 497,254 |
6,866,000 | MYR | Malaysia Government Bonds, Series 0417, 3.90%, due 11/16/27 | 1,469,672 |
6,164,000 | MYR | Malaysia Government Bonds, Series 0418, 4.89%, due 06/08/38 | 1,429,518 |
15,253,000 | MYR | Malaysia Government Bonds, Series 0419, 3.83%, due 07/05/34 | 3,214,026 |
23,479,000 | MYR | Malaysia Government Bonds, Series 0513, 3.73%, due 06/15/28 | 4,989,868 |
3,943,000 | MYR | Malaysia Government Bonds, Series 0519, 3.76%, due 05/22/40 | 810,150 |
82,208,500 | MXN | Mexico Bonos, Series M, 5.00%, due 03/06/25 | 4,705,570 |
27,108,100 | MXN | Mexico Bonos, Series M, 5.50%, due 03/04/27 | 1,466,815 |
113,091,800 | MXN | Mexico Bonos, Series M, 5.75%, due 03/05/26 | 6,297,858 |
3,902,000 | MXN | Mexico Bonos, Series M, 7.00%, due 09/03/26 | 220,560 |
34,425,400 | MXN | Mexico Bonos, Series M, 7.50%, due 05/26/33 | 1,845,438 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
122,298,400 | MXN | Mexico Bonos, Series M, 7.75%, due 05/29/31 | 6,767,937 |
24,663,400 | MXN | Mexico Bonos, Series M, 7.75%, due 11/23/34 | 1,327,870 |
98,837,300 | MXN | Mexico Bonos, Series M, 7.75%, due 11/13/42 | 5,052,540 |
99,190,600 | MXN | Mexico Bonos, Series M, 8.00%, due 11/07/47 | 5,147,880 |
70,146,700 | MXN | Mexico Bonos, Series M, 8.00%, due 07/31/53 | 3,610,149 |
19,251,900 | MXN | Mexico Bonos, Series M, 8.00%, due 07/31/53 | 990,812 |
24,434,100 | MXN | Mexico Bonos, Series M, 8.50%, due 03/01/29 | 1,422,644 |
100,641,500 | MXN | Mexico Bonos, Series M 20, 7.50%, due 06/03/27 | 5,727,921 |
16,023,300 | MXN | Mexico Bonos, Series M 20, 8.50%, due 05/31/29 | 933,466 |
81,091,000 | MXN | Mexico Bonos, Series M 20, 8.50%, due 05/31/29 | 4,724,102 |
42,428,800 | MXN | Mexico Bonos, Series M 20, 10.00%, due 12/05/24 | 2,534,385 |
1,618,600 | MXN | Mexico Bonos, Series M 20, 10.00%, due 12/05/24 | 96,683 |
29,107,700 | MXN | Mexico Bonos, Series M 30, 8.50%, due 11/18/38 | 1,628,546 |
58,717,300 | MXN | Mexico Bonos, Series M 30, 8.50%, due 11/18/38 | 3,285,173 |
7,390,300 | MXN | Mexico Bonos, Series M 30, 10.00%, due 11/20/36 | 468,310 |
2,020,000 | Mexico Government International Bonds, 2.66%, due 05/24/31 | 1,690,154 | |
624,000 | Mexico Government International Bonds, 4.75%, due 03/08/44 | 521,551 | |
595,000 | Mexico Government International Bonds, 4.88%, due 05/19/33 | 564,729 | |
1,130,000 | Mexico Government International Bonds, 6.00%, due 05/07/36 | 1,134,866 | |
470,000 | Mexico Government International Bonds, 6.34%, due 05/04/53 | 464,876 | |
13,817,797 | MXN | Mexico Udibonos, Series S, 4.50%, due 12/04/25 | 803,007 |
19,915,030 | MXN | Mexico Udibonos, Series S, 4.50%, due 11/22/35 | 1,158,349 |
320,000 | Mongolia Government International Bonds, 8.65%, due 01/19/28 144A | 337,997 | |
740,000 | Montenegro Government International Bonds, 7.25%, due 03/12/31 144A | 753,953 | |
1,060,000 | Mozambique International Bonds, 9.00%, due 09/15/31(i)(n) | 910,741 | |
590,000 | Nigeria Government International Bonds, 7.14%, due 02/23/30(i) | 537,292 | |
805,000 | Nigeria Government International Bonds, 8.38%, due 03/24/29(i) | 787,222 | |
711,574,000 | NGN | Nigeria Treasury Bills, Series 364D, 25.01%, due 03/27/25 | 437,461 |
1,520,000 | Oman Government International Bonds, 5.63%, due 01/17/28 144A | 1,528,770 | |
1,190,000 | Pakistan Government International Bonds, 6.88%, due 12/05/27(i) | 1,017,628 | |
645,000 | Panama Government International Bonds, 6.40%, due 02/14/35 | 610,705 | |
640,000 | Panama Government International Bonds, 8.00%, due 03/01/38 | 672,070 | |
1,520,000 | Paraguay Government International Bonds, 5.40%, due 03/30/50(i) | 1,340,314 | |
225,000 | Paraguay Government International Bonds, 6.00%, due 02/09/36 144A | 228,184 | |
5,919,000,000 | PYG | Paraguay Government International Bonds, 7.90%, due 02/09/31 | 830,768 |
1,772,000 | PEN | Peru Government Bonds, 5.35%, due 08/12/40 | 382,740 |
10,882,000 | PEN | Peru Government Bonds, 5.40%, due 08/12/34 | 2,519,818 |
8,770,000 | PEN | Peru Government Bonds, 5.94%, due 02/12/29 | 2,345,246 |
10,600,000 | PEN | Peru Government Bonds, 6.15%, due 08/12/32 | 2,678,618 |
2,710,000 | PEN | Peru Government Bonds, 6.90%, due 08/12/37 | 692,706 |
2,086,000 | PEN | Peru Government Bonds, 6.95%, due 08/12/31 | 563,810 |
15,770,000 | PEN | Peru Government Bonds, 7.30%, due 08/12/33(i) | 4,260,905 |
505,000 | Peru Government International Bonds, 5.63%, due 11/18/50 | 504,167 | |
8,851,000 | PEN | Peru Government International Bonds, 5.94%, due 02/12/29(i) | 2,366,907 |
8,355,000 | PEN | Peru Government International Bonds, 6.35%, due 08/12/28(i) | 2,300,665 |
4,830,000 | PEN | Peru Government International Bonds, 6.90%, due 08/12/37(i) | 1,234,601 |
9,442,000 | PEN | Peru Government International Bonds, 6.95%, due 08/12/31(i) | 2,528,210 |
10,809,000 | PEN | Peru Government International Bonds, 6.95%, due 08/12/31(i) | 2,921,485 |
5,690,000 | PEN | Peru Government International Bonds, 7.30%, due 08/12/33 | 1,537,384 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
4,000,000 | PEN | Peru Government International Bonds, 7.30%, due 08/12/33(i) | 1,080,762 |
1,747,456 | Provincia de Buenos Aires/Government Bonds, 6.38%, due 09/01/37(n) 144A | 718,558 | |
1,600,171 | Provincia de Buenos Aires/Government Bonds, 6.38%, due 09/01/37(i)(n) | 657,994 | |
281,092 | Provincia de Cordoba, 6.88%, due 12/10/25(n) 144A | 244,258 | |
400,000 | Qatar Government International Bonds, 5.10%, due 04/23/48 144A | 389,844 | |
2,064,430 | GHS | Republic of Ghana Government Bonds, Series G10Y, 9.25%, due 02/08/33 | 66,170 |
773,289 | GHS | Republic of Ghana Government Bonds, Series G11Y, 9.40%, due 02/07/34 | 24,092 |
774,051 | GHS | Republic of Ghana Government Bonds, Series G12Y, 9.55%, due 02/06/35 | 23,644 |
774,815 | GHS | Republic of Ghana Government Bonds, Series G13Y, 9.70%, due 02/05/36 | 23,368 |
775,578 | GHS | Republic of Ghana Government Bonds, Series G14Y, 9.85%, due 02/03/37 | 23,228 |
781,193 | GHS | Republic of Ghana Government Bonds, Series G15Y, 10.00%, due 02/02/38 | 23,340 |
10,107,984 | GHS | Republic of Ghana Government Bonds, Series G4Y, 8.35%, due 02/16/27 | 503,999 |
4,390,788 | GHS | Republic of Ghana Government Bonds, Series G5Y, 8.50%, due 02/15/28 | 195,430 |
10,204,238 | GHS | Republic of Ghana Government Bonds, Series G6Y, 8.65%, due 02/13/29 | 412,470 |
7,506,879 | GHS | Republic of Ghana Government Bonds, Series G7Y, 8.80%, due 02/12/30 | 280,675 |
5,701,092 | GHS | Republic of Ghana Government Bonds, Series G8Y, 8.95%, due 02/11/31 | 199,481 |
2,063,128 | GHS | Republic of Ghana Government Bonds, Series G9Y, 9.10%, due 02/10/32 | 68,742 |
350,000 | Republic of Kenya Government International Bonds, 6.30%, due 01/23/34(i) | 287,062 | |
565,000 | Republic of Kenya Government International Bonds, 7.00%, due 05/22/27(i) | 552,005 | |
265,000 | Republic of Kenya Government International Bonds, 8.00%, due 05/22/32(i) | 249,014 | |
4,960,000 | Republic of Kenya Government International Bonds, 9.75%, due 02/16/31 144A | 5,093,300 | |
4,343,000 | PLN | Republic of Poland Government Bonds, Series 0428, 2.75%, due 04/25/28 | 993,580 |
13,099,000 | PLN | Republic of Poland Government Bonds, Series 0432, 1.75%, due 04/25/32 | 2,519,259 |
7,192,000 | PLN | Republic of Poland Government Bonds, Series 0527, 3.75%, due 05/25/27 | 1,730,839 |
1,400,000 | PLN | Republic of Poland Government Bonds, Series 0725, 3.25%, due 07/25/25 | 342,698 |
1,834,000 | PLN | Republic of Poland Government Bonds, Series 0726, 2.50%, due 07/25/26 | 434,255 |
3,743,000 | PLN | Republic of Poland Government Bonds, Series 0727, 2.50%, due 07/25/27 | 864,285 |
42,727,000 | PLN | Republic of Poland Government Bonds, Series 0728, 7.50%, due 07/25/28 | 11,609,733 |
5,958,000 | PLN | Republic of Poland Government Bonds, Series 1026, 0.25%, due 10/25/26 | 1,322,526 |
14,492,000 | PLN | Republic of Poland Government Bonds, Series 1029, 2.75%, due 10/25/29 | 3,205,364 |
7,409,000 | PLN | Republic of Poland Government Bonds, Series 1030, 1.25%, due 10/25/30 | 1,449,046 |
31,649,000 | PLN | Republic of Poland Government Bonds, Series 1033, 6.00%, due 10/25/33 | 8,262,175 |
188,297,618 | ZAR | Republic of South Africa Government Bonds, Series 2030, 8.00%, due 01/31/30 | 8,847,962 |
102,949,192 | ZAR | Republic of South Africa Government Bonds, Series 2032, 8.25%, due 03/31/32 | 4,540,121 |
100,666,579 | ZAR | Republic of South Africa Government Bonds, Series 2035, 8.88%, due 02/28/35 | 4,244,888 |
166,803,021 | ZAR | Republic of South Africa Government Bonds, Series 2037, 8.50%, due 01/31/37 | 6,508,720 |
125,728,517 | ZAR | Republic of South Africa Government Bonds, Series 2040, 9.00%, due 01/31/40 | 4,907,305 |
148,574,017 | ZAR | Republic of South Africa Government Bonds, Series 2044, 8.75%, due 01/31/44 | 5,494,169 |
210,207,332 | ZAR | Republic of South Africa Government Bonds, Series 2048, 8.75%, due 02/28/48 | 7,702,838 |
76,755,000 | ZAR | Republic of South Africa Government Bonds, Series 2048, 8.75%, due 02/28/48 | 2,812,610 |
130,816,118 | ZAR | Republic of South Africa Government Bonds, Series R186, 10.50%, due 12/21/26 | 7,099,251 |
14,732,506 | ZAR | Republic of South Africa Government Bonds, Series R209, 6.25%, due 03/31/36 | 484,931 |
103,856,177 | ZAR | Republic of South Africa Government Bonds, Series R213, 7.00%, due 02/28/31 | 4,422,988 |
78,479,026 | ZAR | Republic of South Africa Government Bonds, Series R214, 6.50%, due 02/28/41 | 2,368,928 |
4,415,000 | Republic of South Africa Government International Bonds, 5.88%, due 04/20/32 | 3,984,802 | |
7,103,700,000 | UGX | Republic of Uganda Government Bonds, 15.00%, due 05/20/32 | 1,777,113 |
3,640,000,000 | UGX | Republic of Uganda Government Bonds, Series 15YR, 16.00%, due 05/14/37 | 932,917 |
1,300,000,000 | UGX | Republic of Uganda Government Bonds, Series 15YR, 16.38%, due 03/04/32 | 350,514 |
1,100,000,000 | UGX | Republic of Uganda Government Bonds, Series 3YR, 14.00%, due 05/29/25 | 285,832 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
380,000 | Republic of Uzbekistan International Bonds, 3.90%, due 10/19/31(i) | 314,312 | |
1,405,000 | RON | Romania Government Bonds, 8.75%, due 10/30/28 | 335,167 |
1,570,000 | RON | Romania Government Bonds, Series 10Y, 5.00%, due 02/12/29 | 323,444 |
3,330,000 | RON | Romania Government Bonds, Series 10Y, 6.70%, due 02/25/32 | 731,855 |
860,000 | RON | Romania Government Bonds, Series 10Y, 7.20%, due 10/30/33 | 195,685 |
2,435,000 | RON | Romania Government Bonds, Series 10Y, 8.25%, due 09/29/32 | 586,137 |
2,275,000 | RON | Romania Government Bonds, Series 10YR, 4.15%, due 10/24/30 | 436,948 |
1,500,000 | RON | Romania Government Bonds, Series 15Y, 3.65%, due 09/24/31 | 273,985 |
4,100,000 | RON | Romania Government Bonds, Series 15Y, 4.75%, due 10/11/34 | 772,175 |
1,560,000 | RON | Romania Government Bonds, Series 15YR, 5.80%, due 07/26/27 | 335,686 |
2,420,000 | RON | Romania Government Bonds, Series 5Y, 3.25%, due 06/24/26 | 496,994 |
1,840,000 | RON | Romania Government Bonds, Series 5Y, 4.25%, due 04/28/36 | 325,256 |
2,595,000 | RON | Romania Government Bonds, Series 8Y, 4.85%, due 07/25/29 | 528,902 |
348,000 | EUR | Romania Government International Bonds, 2.75%, due 02/26/26 144A | 368,622 |
346,000 | EUR | Romania Government International Bonds, 3.62%, due 05/26/30 144A | 345,372 |
1,030,000 | EUR | Romania Government International Bonds, 5.63%, due 02/22/36 144A | 1,110,865 |
790,000 | EUR | Romania Government International Bonds, 6.63%, due 09/27/29 144A | 924,677 |
606,000 | Romania Government International Bonds, 7.13%, due 01/17/33 144A | 649,246 | |
86,446,000 | RUB | Russia Federal Bonds - OFZ, Series 6212, 7.05%, due 01/19/28(o) | 424,876 |
29,262,000 | RUB | Russia Federal Bonds - OFZ, Series 6218, 8.50%, due 09/17/31(o) | 128,016 |
60,698,000 | RUB | Russia Federal Bonds - OFZ, Series 6221, 7.70%, due 03/23/33(o) | 265,543 |
59,072,000 | RUB | Russia Federal Bonds - OFZ, Series 6224, 6.90%, due 05/23/29(o) | 277,573 |
32,547,000 | RUB | Russia Federal Bonds - OFZ, Series 6225, 7.25%, due 05/10/34(o) | 128,325 |
40,966,000 | RUB | Russia Federal Bonds - OFZ, Series 6228, 7.65%, due 04/10/30(o) | 183,644 |
24,639,000 | RUB | Russia Federal Bonds - OFZ, Series 6230, 7.70%, due 03/16/39(o) | 97,145 |
52,609,000 | RUB | Russia Federal Bonds - OFZ, Series 6233, 6.10%, due 07/18/35(o) | 207,424 |
590,000 | Saudi Government International Bonds, 4.50%, due 10/26/46(i) | 505,413 | |
350,000 | Senegal Government International Bonds, 6.25%, due 05/23/33(i) | 299,178 | |
867,000 | EUR | Serbia International Bonds, 1.00%, due 09/23/28 144A | 796,842 |
160,700,000 | RSD | Serbia Treasury Bonds, Series 8Y, 7.00%, due 10/26/31 | 1,580,949 |
2,095,000 | Sri Lanka Government International Bonds, 6.20%, due 05/11/27(i) | 1,241,202 | |
59,362,000 | THB | Thailand Government Bonds, 2.00%, due 12/17/31 | 1,581,492 |
108,710,000 | THB | Thailand Government Bonds, 2.13%, due 12/17/26 | 2,977,297 |
82,521,000 | THB | Thailand Government Bonds, 2.65%, due 06/17/28 | 2,302,121 |
208,809,000 | THB | Thailand Government Bonds, 3.35%, due 06/17/33 | 6,106,399 |
21,117,000 | THB | Thailand Government Bonds, 3.39%, due 06/17/37 | 622,748 |
57,886,000 | THB | Thailand Government Bonds, 3.45%, due 06/17/43 | 1,688,561 |
47,333,099 | THB | Thailand Government Bonds, Series ILB, 1.25%, due 03/12/28(i) | 1,232,808 |
5,281,000 | THB | Thailand Government Bonds, Series THAI, 2.75%, due 06/17/52 | 131,439 |
14,006,744 | TRY | Turkiye Government Bonds, 17.30%, due 07/19/28 | 333,911 |
7,366,946 | TRY | Turkiye Government Bonds, 26.20%, due 10/05/33 | 236,764 |
7,373,409 | TRY | Turkiye Government Bonds, 31.08%, due 11/08/28 | 238,852 |
1,505,000 | Turkiye Government International Bonds, 7.63%, due 05/15/34(j) | 1,512,901 | |
2,230,000 | Turkiye Government International Bonds, 9.38%, due 01/19/33 | 2,484,198 | |
1,175,000 | Turkiye Ihracat Kredi Bankasi AS, 9.38%, due 01/31/26 144A | 1,231,970 | |
530,000 | UAE International Government Bonds, 4.95%, due 07/07/52 144A | 506,952 | |
1,450,000 | Ukraine Government International Bonds, 7.38%, due 09/25/34(i) | 425,328 | |
1,695,000 | Ukraine Government International Bonds, 9.75%, due 11/01/30(i) | 597,747 | |
61,969,885 | UYU | Uruguay Government International Bonds, 3.88%, due 07/02/40(j) | 1,781,197 |
Par Value(a) | Description | Value ($) | |
Sovereign Debt Obligations — continued | |||
36,383,974 | UYU | Uruguay Government International Bonds, 4.38%, due 12/15/28 | 1,029,434 |
7,884,000 | UYU | Uruguay Government International Bonds, 8.50%, due 03/15/28(i) | 206,958 |
197,173,804 | UYU | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 5,524,226 |
1,425,000 | Zambia Government International Bonds, 8.97%, due 07/30/27(i) | 1,051,607 | |
567,286,712 | |||
U.S. Government and Agency Obligations — 0.8% | |||
3,135,400 | U.S. Treasury Notes, 2.00%, due 02/15/25(p) | 3,052,185 | |
4,420,000 | U.S. Treasury Notes, 3.75%, due 12/31/30 | 4,298,450 | |
3,000,000 | U.S. Treasury Notes, 4.00%, due 01/31/29 | 2,969,531 | |
1,320,000 | U.S. Treasury Notes, 4.25%, due 01/31/26 | 1,309,739 | |
3,142,700 | U.S. Treasury Notes, 4.63%, due 06/30/25(p) | 3,131,774 | |
14,761,679 | |||
TOTAL DEBT OBLIGATIONS (COST $1,640,044,044) | 1,627,505,775 |
Shares | Description | Value ($) | |
COMMON STOCKS — 0.0% | |||
Basic Materials — 0.0% | |||
1,282 | Arctic Canadian Diamond Co. Ltd.*(d)(g) | 210,767 | |
Energy — 0.0% | |||
10 | Amplify Energy Corp.* | 66 | |
TOTAL COMMON STOCKS (COST $0) | 210,833 | ||
PREFERRED STOCK — 0.0% | |||
Energy — 0.0% | |||
40,584 | Equitrans Midstream Corp., 9.75%(b)(k) | 887,775 | |
TOTAL PREFERRED STOCK (COST $900,961) | 887,775 |
Notional Value | Description | Value ($) | |
PURCHASED OPTIONS — 0.0% | |||
PURCHASED CURRENCY OPTION — 0.0% | |||
Put Option — 0.0% | |||
3,930,000 | AUD/USD Option with BNP Paribas S.A., Strike Price USD 0.67, Expires 04/17/24 | 2,625 | |
TOTAL PURCHASED CURRENCY OPTION (PREMIUMS PAID $43,859) | 2,625 |
Number of Contracts | Notional Value ($) | Description | Value ($) |
PURCHASED FUTURES OPTIONS — 0.0% | |||
Put Options — 0.0% | |||
2,350 | 12,474,975 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $4,850.00, Expires 04/19/24 | 7,403 |
1,000 | 5,308,500 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $4,800.00, Expires 05/17/24 | 9,700 |
550 | 2,919,675 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $4,900.00, Expires 06/21/24 | 16,362 |
33,465 | |||
TOTAL PURCHASED FUTURES OPTIONS (PREMIUMS PAID $154,901) | 33,465 | ||
TOTAL PURCHASED OPTIONS (PREMIUMS PAID $198,760) | 36,090 |
Par Value(a) | Description | Value ($) | |
SHORT-TERM INVESTMENTS — 3.0% | |||
Mutual Fund - Securities Lending Collateral — 2.1% | |||
38,046,847 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(q)(r) | 38,046,847 | |
U.S. Government and Agency Obligations — 0.2% | |||
1,573,200 | U.S. Treasury Bills, 5.34%, due 05/02/24(h) | 1,566,055 | |
1,642,300 | U.S. Treasury Bills, 5.35%, due 08/15/24(h) | 1,610,641 | |
3,176,696 | |||
Sovereign Debt Obligations — 0.7% | |||
13,081,000 | UYU | Uruguay Monetary Regulation Bills, 10.11%, due 05/17/24(h) | 344,134 |
57,300,000 | UYU | Uruguay Monetary Regulation Bills, 9.30%, due 08/09/24(h) | 1,476,692 |
51,475,000 | EGP | Egypt Treasury Bills, 30.48%, due 06/18/24 | 1,032,737 |
119,525,000 | EGP | Egypt Treasury Bills, 29.46%, due 01/14/25 | 2,083,425 |
73,500,000 | EGP | Egypt Treasury Bills, 29.74%, due 03/04/25 | 1,237,530 |
119,525,000 | EGP | Egypt Treasury Bills, 30.36%, due 03/11/25 | 2,002,481 |
106,600,000 | EGP | Egypt Treasury Bills, 29.43%, due 03/18/25 | 1,777,063 |
100,700,000 | EGP | Egypt Treasury Bills, 29.65%, due 12/17/24 | 1,787,979 |
14,475,000 | EGP | Egypt Treasury Bills, 27.78%, due 12/24/24 | 255,992 |
11,998,033 | |||
TOTAL SHORT-TERM INVESTMENTS (COST $52,888,529) | 53,221,576 | ||
TOTAL INVESTMENTS — 94.4% (Cost $1,694,032,294) | 1,681,862,049 | ||
Other Assets and Liabilities (net)(s) — 5.6% | 99,344,058 | ||
NET ASSETS — 100.0% | $1,781,206,107 |
Notes to Schedule of Investments: | |
* | Non-income producing security. |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate note. Rate shown is as of March 31, 2024. |
(c) | When-issued security. |
(d) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,655,948 which represents 0.1% of net assets. The aggregate cost of these securities held at March 31, 2024 is $2,388,548. |
(e) | 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. |
(f) | 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. |
(g) | Level 3 - significant unobservable inputs were used in determining the value of this security in the Fund. |
(h) | Interest rate presented is yield to maturity. |
(i) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(j) | All or a portion of this security is out on loan. |
(k) | Security is perpetual and has no stated maturity date. |
(l) | Security is currently in default. |
(m) | Year of maturity is greater than 2100. |
(n) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. The rate shown is the rate in effect at March 31, 2024. |
(o) | Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total market value of the securities at year end is $1,712,546 which represents 0.1% of net assets. The aggregate cost of these securities held at March 31, 2024 is $5,424,523. |
(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, 2024. |
(r) | Represents an investment of securities lending cash collateral. |
(s) | As of March 31, 2024, the value of unfunded loan commitments was $604,896 for the Fund. See Notes to the Schedule of Investments. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $585,528,052 which represents 32.9% of net assets. |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
AUD | 15,742,727 | USD | 10,555,247 | 04/19/24 | Citibank N.A. | $(280,042 ) |
BRL | 4,348,103 | USD | 871,555 | 04/02/24 | Bank of America, N.A. | (2,899 ) |
BRL | 5,950,000 | USD | 1,190,905 | 04/02/24 | Citibank N.A. | (2,225 ) |
BRL | 5,550,000 | USD | 1,099,916 | 04/19/24 | Citibank N.A. | 6,923 |
BRL | 36,780,356 | USD | 7,294,636 | 06/04/24 | Citibank N.A. | 11,297 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
BRL | 15,560,000 | USD | 3,112,467 | 06/04/24 | Citibank N.A. | $(21,679 ) |
BRL | 11,310,000 | USD | 2,262,251 | 04/19/24 | Goldman Sachs & Co. | (6,691 ) |
BRL | 7,913,703 | USD | 1,583,944 | 04/02/24 | Goldman Sachs International | (2,959 ) |
BRL | 7,913,703 | USD | 1,584,484 | 05/03/24 | Goldman Sachs International | (8,351 ) |
BRL | 10,543,000 | USD | 2,129,548 | 04/02/24 | HSBC Bank PLC | (23,287 ) |
BRL | 1,451,400 | USD | 290,501 | 04/02/24 | JPMorgan Chase Bank N.A. | (543 ) |
BRL | 10,887,400 | USD | 2,180,542 | 04/22/24 | JPMorgan Chase Bank N.A. | (9,888 ) |
BRL | 6,900,000 | USD | 1,375,447 | 04/22/24 | JPMorgan Chase Bank N.A. | 227 |
BRL | 1,304,000 | USD | 262,113 | 04/02/24 | Morgan Stanley and Co. International PLC | (1,603 ) |
BRL | 15,865,758 | USD | 3,201,240 | 04/19/24 | Morgan Stanley Capital Services, Inc. | (37,123 ) |
BRL | 15,400,000 | USD | 3,051,408 | 06/04/24 | Standard Chartered Bank | 7,598 |
CAD | 181,200 | USD | 133,997 | 05/16/24 | Toronto Dominion Bank | (11 ) |
CAD | 620,400 | USD | 456,313 | 05/16/24 | Toronto Dominion Bank | 2,434 |
CHF | 1,750,000 | USD | 1,983,695 | 04/19/24 | Goldman Sachs & Co. | (37,323 ) |
CHF | 210,000 | USD | 233,012 | 04/19/24 | Goldman Sachs & Co. | 554 |
CHF | 527,600 | USD | 597,008 | 05/16/24 | JPMorgan Chase Bank N.A. | (8,447 ) |
CHF | 2,101,200 | USD | 2,381,801 | 05/16/24 | Morgan Stanley and Co. International PLC | (37,818 ) |
CLP | 3,653,141,748 | USD | 3,705,050 | 05/16/24 | Barclays Bank PLC | 14,590 |
CLP | 395,214,600 | USD | 412,632 | 05/16/24 | Barclays Bank PLC | (10,223 ) |
CLP | 318,746,000 | USD | 323,603 | 05/16/24 | Citibank N.A. | 945 |
CLP | 169,727,000 | USD | 173,657 | 05/16/24 | Goldman Sachs International | (840 ) |
CLP | 390,982,100 | USD | 400,806 | 04/12/24 | JPMorgan Chase Bank N.A. | (2,300 ) |
CNH | 3,760,000 | USD | 518,436 | 05/16/24 | HSBC Bank PLC | 297 |
CNH | 55,730,200 | USD | 7,764,120 | 04/03/24 | JPMorgan Chase Bank N.A. | (88,161 ) |
CNH | 55,730,200 | USD | 7,697,589 | 04/10/24 | JPMorgan Chase Bank N.A. | (21,050 ) |
CNH | 48,943,786 | USD | 6,823,684 | 05/16/24 | JPMorgan Chase Bank N.A. | (71,356 ) |
CNH | 5,495,200 | USD | 767,141 | 06/11/24 | JPMorgan Chase Bank N.A. | (7,935 ) |
COP | 1,853,200,000 | USD | 478,349 | 05/16/24 | Goldman Sachs International | (2,418 ) |
COP | 1,041,740,000 | USD | 261,219 | 06/20/24 | Goldman Sachs International | 4,827 |
COP | 6,957,030,000 | USD | 1,782,350 | 04/26/24 | JPMorgan Chase Bank N.A. | 10,011 |
COP | 785,591,100 | USD | 198,339 | 05/16/24 | JPMorgan Chase Bank N.A. | 3,414 |
COP | 687,929,000 | USD | 173,175 | 05/16/24 | Morgan Stanley and Co. International PLC | 3,496 |
CZK | 2,560,000 | USD | 110,682 | 06/20/24 | Citibank N.A. | (1,331 ) |
CZK | 84,504,651 | USD | 3,632,030 | 05/16/24 | Goldman Sachs International | (23,257 ) |
CZK | 8,350,000 | USD | 356,285 | 06/20/24 | HSBC Bank PLC | 387 |
CZK | 6,590,000 | USD | 281,477 | 05/16/24 | Morgan Stanley and Co. International PLC | (51 ) |
CZK | 23,879,000 | USD | 1,026,034 | 05/16/24 | UBS AG | (6,280 ) |
EGP | 2,500,000 | USD | 50,505 | 06/11/24 | Bank of America, N.A. | 1,353 |
EGP | 27,913,650 | USD | 566,775 | 01/22/25 | Citibank N.A. | (30,644 ) |
EGP | 19,628,000 | USD | 422,108 | 04/15/24 | Goldman Sachs International | (9,204 ) |
EUR | 2,165,000 | USD | 2,341,967 | 04/02/24 | Citibank N.A. | (3,767 ) |
EUR | 940,000 | USD | 1,016,536 | 04/19/24 | Citibank N.A. | (690 ) |
EUR | 1,140,000 | USD | 1,233,024 | 04/02/24 | Deutsche Bank AG | (1,824 ) |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
EUR | 1,200,000 | USD | 1,298,280 | 04/02/24 | HSBC Bank USA, N.A. | $(2,280 ) |
EUR | 1,058,600 | USD | 1,151,126 | 05/16/24 | JPMorgan Chase Bank N.A. | (5,863 ) |
EUR | 2,239,000 | USD | 2,421,926 | 04/02/24 | Morgan Stanley Capital Services, Inc. | (3,806 ) |
EUR | 77,000 | USD | 83,315 | 04/02/24 | Standard Chartered Bank | (155 ) |
EUR | 454,900 | USD | 497,640 | 05/16/24 | The BNY Mellon | (5,499 ) |
EUR | 372,000 | USD | 402,374 | 04/02/24 | UBS AG | (614 ) |
EUR | 837,500 | USD | 913,804 | 05/16/24 | UBS AG | (7,742 ) |
GBP | 1,714,000 | USD | 2,179,797 | 04/19/24 | Citibank N.A. | (14,395 ) |
GBP | 452,400 | USD | 576,648 | 05/16/24 | JPMorgan Chase Bank N.A. | (5,018 ) |
GHS | 4,390,000 | USD | 333,840 | 06/20/24 | Goldman Sachs International | (19,625 ) |
GHS | 4,730,000 | USD | 349,078 | 06/20/24 | Standard Chartered Bank | (10,527 ) |
HUF | 661,702,199 | USD | 1,815,710 | 05/16/24 | Deutsche Bank AG | (7,092 ) |
HUF | 73,000,000 | USD | 198,473 | 06/20/24 | HSBC Bank PLC | 724 |
HUF | 1,082,276,100 | USD | 2,959,383 | 04/12/24 | JPMorgan Chase Bank N.A. | 4,975 |
HUF | 1,061,473,700 | USD | 2,974,926 | 04/15/24 | JPMorgan Chase Bank N.A. | (68,134 ) |
HUF | 424,834,500 | USD | 1,168,298 | 04/22/24 | JPMorgan Chase Bank N.A. | (5,460 ) |
HUF | 185,543,900 | USD | 507,354 | 04/22/24 | JPMorgan Chase Bank N.A. | 508 |
HUF | 160,989,300 | USD | 438,159 | 05/16/24 | Morgan Stanley and Co. International PLC | 1,870 |
HUF | 56,370,000 | USD | 154,286 | 05/16/24 | Morgan Stanley and Co. International PLC | (211 ) |
HUF | 183,270,000 | USD | 502,887 | 05/16/24 | State Street Bank London | (1,958 ) |
IDR | 29,545,313,509 | USD | 1,884,508 | 04/19/24 | Citibank N.A. | (21,977 ) |
IDR | 33,226,316,263 | USD | 2,117,000 | 06/20/24 | Citibank N.A. | (25,814 ) |
IDR | 33,152,759,200 | USD | 2,117,519 | 05/16/24 | Deutsche Bank AG | (31,866 ) |
IDR | 19,558,540,000 | USD | 1,250,546 | 06/20/24 | Goldman Sachs International | (19,578 ) |
IDR | 1,275,519,000 | USD | 80,455 | 05/16/24 | HSBC Bank PLC | (212 ) |
IDR | 17,854,986,000 | USD | 1,139,874 | 04/24/24 | JPMorgan Chase Bank N.A. | (14,470 ) |
IDR | 26,627,388,200 | USD | 1,674,348 | 05/06/24 | JPMorgan Chase Bank N.A. | 3,408 |
IDR | 24,539,717,649 | USD | 1,566,331 | 05/16/24 | JPMorgan Chase Bank N.A. | (22,529 ) |
IDR | 82,746,864,409 | USD | 5,291,404 | 06/20/24 | Standard Chartered Bank | (83,510 ) |
INR | 461,210,000 | USD | 5,553,736 | 06/20/24 | Barclays Bank PLC | (36,771 ) |
INR | 72,810,100 | USD | 875,520 | 05/16/24 | Citibank N.A. | (3,392 ) |
INR | 6,181,800 | USD | 74,371 | 05/16/24 | Deutsche Bank AG | (324 ) |
INR | 784,290,000 | USD | 9,422,782 | 06/20/24 | Goldman Sachs International | (41,154 ) |
INR | 59,133,200 | USD | 712,409 | 04/12/24 | JPMorgan Chase Bank N.A. | (3,567 ) |
INR | 66,628,200 | USD | 804,086 | 05/16/24 | JPMorgan Chase Bank N.A. | (6,006 ) |
JPY | 87,847,000 | USD | 595,990 | 05/16/24 | Goldman Sachs International | (11,608 ) |
JPY | 131,031,500 | USD | 875,644 | 05/16/24 | HSBC Bank PLC | (3,987 ) |
JPY | 428,574,200 | USD | 2,881,291 | 05/16/24 | JPMorgan Chase Bank N.A. | (30,300 ) |
JPY | 24,357,021 | USD | 170,741 | 04/19/24 | Morgan Stanley Capital Services, Inc. | (9,387 ) |
KES | 118,630,000 | USD | 758,019 | 08/02/24 | Merrill Lynch International | 120,918 |
KES | 258,930,000 | USD | 1,564,021 | 08/02/24 | Standard Chartered Bank | 354,408 |
KRW | 6,670,026,298 | USD | 5,035,768 | 06/20/24 | Citibank N.A. | (60,064 ) |
KRW | 1,516,160,000 | USD | 1,150,524 | 06/20/24 | Goldman Sachs International | (19,499 ) |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
KRW | 14,921,958,700 | USD | 11,417,303 | 04/22/24 | JPMorgan Chase Bank N.A. | $(320,901 ) |
KRW | 11,760,113,702 | USD | 8,987,687 | 06/20/24 | Standard Chartered Bank | (214,880 ) |
MXN | 4,017,000 | USD | 237,077 | 05/16/24 | Deutsche Bank AG | 2,944 |
MXN | 24,990,000 | USD | 1,457,368 | 06/20/24 | Goldman Sachs International | 27,589 |
MXN | 1,540,000 | USD | 90,427 | 05/16/24 | HSBC Bank PLC | 1,591 |
MXN | 7,300,000 | USD | 427,773 | 06/20/24 | HSBC Bank PLC | 6,008 |
MXN | 34,417,100 | USD | 2,035,340 | 04/10/24 | JPMorgan Chase Bank N.A. | 32,669 |
MXN | 26,845,000 | USD | 1,570,474 | 05/16/24 | Morgan Stanley and Co. International PLC | 33,553 |
MXN | 197,840,000 | USD | 11,585,580 | 06/20/24 | Standard Chartered Bank | 170,479 |
MXN | 4,082,100 | USD | 239,187 | 05/16/24 | The BNY Mellon | 4,725 |
MXN | 1,050,000 | USD | 61,875 | 05/16/24 | UBS AG | 864 |
MYR | 1,430,200 | USD | 303,697 | 06/20/24 | Barclays Bank PLC | (3,027 ) |
MYR | 10,879,706 | USD | 2,334,450 | 06/20/24 | Goldman Sachs International | (47,219 ) |
MYR | 7,500,000 | USD | 1,592,019 | 06/20/24 | Standard Chartered Bank | 567 |
NGN | 644,970,911 | USD | 386,004 | 11/20/24 | Citibank N.A. | 83,627 |
NGN | 396,850,775 | USD | 229,120 | 02/13/25 | Citibank N.A. | 54,589 |
NGN | 1,292,800,000 | USD | 805,483 | 02/13/25 | Standard Chartered Bank | 118,737 |
NOK | 2,624 | USD | 255 | 04/19/24 | BNP Paribas S.A. | (13 ) |
NOK | 16,930,000 | USD | 1,561,107 | 04/19/24 | Goldman Sachs & Co. | 100 |
NOK | 15,953,800 | USD | 1,527,917 | 05/16/24 | HSBC Bank PLC | (55,757 ) |
NOK | 2,547,000 | USD | 244,169 | 05/16/24 | The BNY Mellon | (9,141 ) |
NZD | 17,941 | USD | 11,174 | 04/19/24 | Citibank N.A. | (442 ) |
PEN | 3,002,500 | USD | 809,932 | 04/17/24 | JPMorgan Chase Bank N.A. | (3,205 ) |
PEN | 676,000 | USD | 182,004 | 04/24/24 | JPMorgan Chase Bank N.A. | (400 ) |
PEN | 2,594,560 | USD | 693,825 | 05/16/24 | Morgan Stanley and Co. International PLC | 2,907 |
PHP | 15,984,700 | USD | 286,023 | 05/16/24 | Citibank N.A. | (1,805 ) |
PHP | 49,620,000 | USD | 889,407 | 06/20/24 | Goldman Sachs International | (7,895 ) |
PHP | 1,748,300 | USD | 31,401 | 04/03/24 | JPMorgan Chase Bank N.A. | (302 ) |
PHP | 99,175,200 | USD | 1,771,713 | 04/05/24 | JPMorgan Chase Bank N.A. | (7,611 ) |
PHP | 240,891,300 | USD | 4,320,116 | 04/15/24 | JPMorgan Chase Bank N.A. | (35,992 ) |
PHP | 79,606,700 | USD | 1,438,944 | 04/22/24 | JPMorgan Chase Bank N.A. | (23,328 ) |
PHP | 1,748,300 | USD | 31,040 | 05/03/24 | JPMorgan Chase Bank N.A. | 45 |
PHP | 99,175,200 | USD | 1,760,579 | 05/06/24 | JPMorgan Chase Bank N.A. | 2,629 |
PHP | 24,201,500 | USD | 430,900 | 05/16/24 | JPMorgan Chase Bank N.A. | (582 ) |
PHP | 590,500,000 | USD | 10,595,206 | 06/20/24 | Standard Chartered Bank | (104,823 ) |
PLN | 1,031,000 | USD | 259,433 | 05/16/24 | Goldman Sachs International | (989 ) |
PLN | 5,912,899 | USD | 1,495,978 | 05/16/24 | HSBC Bank PLC | (13,775 ) |
PLN | 894,000 | USD | 227,216 | 04/12/24 | JPMorgan Chase Bank N.A. | (3,044 ) |
PLN | 1,194,000 | USD | 299,245 | 04/12/24 | JPMorgan Chase Bank N.A. | 153 |
PLN | 2,522,100 | USD | 636,016 | 05/16/24 | JPMorgan Chase Bank N.A. | (3,793 ) |
PLN | 422,000 | USD | 107,323 | 05/16/24 | State Street Bank London | (1,539 ) |
PLN | 5,400,000 | USD | 1,366,023 | 05/16/24 | Toronto Dominion Bank | (12,389 ) |
PLN | 3,030,000 | USD | 757,155 | 05/16/24 | Toronto Dominion Bank | 2,384 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
RON | 3,564,800 | USD | 776,695 | 05/16/24 | Barclays Bank PLC | $(2,528 ) |
RON | 10,867,200 | USD | 2,370,345 | 04/03/24 | JPMorgan Chase Bank N.A. | (8,940 ) |
RON | 10,867,200 | USD | 2,364,748 | 05/07/24 | JPMorgan Chase Bank N.A. | (4,485 ) |
RON | 770,000 | USD | 167,009 | 05/16/24 | JPMorgan Chase Bank N.A. | 211 |
SGD | 14,980,000 | USD | 11,305,831 | 06/20/24 | Citibank N.A. | (166,579 ) |
SGD | 8,400,000 | USD | 6,297,340 | 06/20/24 | Goldman Sachs International | (51,031 ) |
THB | 6,880,000 | USD | 190,899 | 05/16/24 | HSBC Bank PLC | (1,670 ) |
THB | 137,141,000 | USD | 3,843,016 | 04/17/24 | JPMorgan Chase Bank N.A. | (79,789 ) |
THB | 608,841,513 | USD | 17,205,669 | 05/16/24 | JPMorgan Chase Bank N.A. | (459,980 ) |
THB | 60,600,000 | USD | 1,711,671 | 05/16/24 | Morgan Stanley and Co. International PLC | (44,918 ) |
THB | 17,768,100 | USD | 499,150 | 05/16/24 | State Street Bank London | (10,453 ) |
TRY | 37,303,900 | USD | 1,073,954 | 05/16/24 | Bank of America, N.A. | 19,485 |
TRY | 56,240,000 | USD | 1,545,054 | 06/20/24 | Barclays Bank PLC | 40,239 |
TRY | 58,970,000 | USD | 1,471,593 | 09/18/24 | Barclays Bank PLC | 26,235 |
TRY | 61,349,994 | USD | 1,254,170 | 03/19/25 | Barclays Bank PLC | 48,415 |
TRY | 29,803,200 | USD | 859,053 | 05/16/24 | HSBC Bank PLC | 14,528 |
TRY | 45,582,300 | USD | 1,307,207 | 05/16/24 | Morgan Stanley and Co. International PLC | 28,886 |
TWD | 5,572,000 | USD | 175,215 | 05/16/24 | JPMorgan Chase Bank N.A. | (698 ) |
USD | 397,421 | AUD | 599,513 | 05/16/24 | State Street Bank London | 5,818 |
USD | 870,282 | BRL | 4,348,103 | 04/02/24 | Bank of America, N.A. | 1,626 |
USD | 1,203,284 | BRL | 5,950,000 | 04/02/24 | Citibank N.A. | 14,604 |
USD | 970,646 | BRL | 4,841,146 | 06/04/24 | Citibank N.A. | 9,016 |
USD | 3,352,981 | BRL | 16,781,000 | 04/22/24 | Deutsche Bank AG | 7,303 |
USD | 1,589,416 | BRL | 7,913,703 | 04/02/24 | Goldman Sachs International | 8,430 |
USD | 2,110,204 | BRL | 10,543,000 | 04/02/24 | HSBC Bank PLC | 3,942 |
USD | 291,496 | BRL | 1,451,400 | 04/02/24 | JPMorgan Chase Bank N.A. | 1,539 |
USD | 437,265 | BRL | 2,187,000 | 04/22/24 | JPMorgan Chase Bank N.A. | 1,236 |
USD | 1,498,839 | BRL | 7,519,000 | 04/22/24 | JPMorgan Chase Bank N.A. | (247 ) |
USD | 260,940 | BRL | 1,304,000 | 04/02/24 | Morgan Stanley and Co. International PLC | 429 |
USD | 3,099,401 | BRL | 15,605,762 | 06/04/24 | Standard Chartered Bank | (478 ) |
USD | 64,198 | CAD | 85,954 | 04/19/24 | Morgan Stanley Capital Services, Inc. | 665 |
USD | 594,949 | CAD | 801,626 | 05/16/24 | State Street Bank London | 2,197 |
USD | 3,263,080 | CHF | 2,848,911 | 05/16/24 | Barclays Bank PLC | 84,992 |
USD | 6,112,637 | CHF | 5,320,000 | 04/19/24 | Goldman Sachs & Co. | 195,665 |
USD | 1,240,661 | CHF | 1,080,000 | 05/16/24 | HSBC Bank PLC | 35,872 |
USD | 294,139 | CHF | 257,000 | 05/16/24 | UBS AG | 7,444 |
USD | 901,638 | CLP | 872,488,000 | 05/16/24 | Barclays Bank PLC | 13,268 |
USD | 2,623,683 | CLP | 2,543,398,037 | 06/21/24 | Citibank N.A. | 35,899 |
USD | 128,062 | CLP | 125,868,000 | 04/12/24 | JPMorgan Chase Bank N.A. | (228 ) |
USD | 1,592,762 | CLP | 1,538,388,400 | 04/22/24 | JPMorgan Chase Bank N.A. | 25,306 |
USD | 3,175,676 | CLP | 2,992,535,000 | 04/22/24 | Morgan Stanley Capital Services, Inc. | 126,597 |
USD | 499,477 | CLP | 491,660,000 | 06/21/24 | Standard Chartered Bank | (763 ) |
USD | 1,116,089 | CNH | 8,010,000 | 04/19/24 | BNP Paribas S.A. | 12,354 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 809,899 | CNH | 5,810,000 | 05/16/24 | Deutsche Bank AG | $8,347 |
USD | 57,603 | CNH | 412,100 | 05/16/24 | HSBC Bank PLC | 750 |
USD | 5,448,951 | CNH | 38,963,539 | 06/20/24 | HSBC Bank PLC | 62,826 |
USD | 7,694,328 | CNH | 55,730,200 | 04/03/24 | JPMorgan Chase Bank N.A. | 18,369 |
USD | 6,588,794 | CNH | 47,420,100 | 04/10/24 | JPMorgan Chase Bank N.A. | 56,927 |
USD | 2,019,875 | CNH | 14,370,000 | 04/19/24 | JPMorgan Chase Bank N.A. | 39,766 |
USD | 104,302 | CNH | 755,000 | 06/11/24 | JPMorgan Chase Bank N.A. | (7 ) |
USD | 742,067 | CNH | 5,314,313 | 06/20/24 | Standard Chartered Bank | 7,443 |
USD | 514,259 | CNH | 3,685,000 | 05/16/24 | The BNY Mellon | 5,873 |
USD | 175,229 | CNY | 1,259,000 | 05/16/24 | State Street Bank London | 270 |
USD | 10,051,210 | COP | 39,923,406,854 | 05/16/24 | Bank of America, N.A. | (201,753 ) |
USD | 1,295,059 | COP | 5,011,877,000 | 04/26/24 | JPMorgan Chase Bank N.A. | 3,833 |
USD | 619,140 | COP | 2,430,390,000 | 05/16/24 | JPMorgan Chase Bank N.A. | (5,023 ) |
USD | 2,267,465 | COP | 8,958,153,000 | 05/16/24 | Morgan Stanley and Co. International PLC | (33,131 ) |
USD | 3,388,977 | COP | 13,245,985,000 | 04/22/24 | Morgan Stanley Capital Services, Inc. | (25,834 ) |
USD | 5,348,864 | COP | 21,263,353,107 | 06/20/24 | Standard Chartered Bank | (81,493 ) |
USD | 1,417,653 | CZK | 32,970,000 | 05/16/24 | Barclays Bank PLC | 9,668 |
USD | 544,108 | CZK | 12,620,000 | 06/20/24 | Citibank N.A. | 5,042 |
USD | 543,963 | CZK | 12,565,900 | 05/16/24 | State Street Bank London | 7,336 |
USD | 75,867 | EGP | 4,332,746 | 01/22/25 | Citibank N.A. | (7,351 ) |
USD | 501,354 | EGP | 19,628,000 | 04/15/24 | Goldman Sachs International | 88,450 |
USD | 2,630,170 | EUR | 2,429,000 | 04/05/24 | Bank of America, N.A. | 6,647 |
USD | 937,271 | EUR | 860,000 | 04/08/24 | Bank of America, N.A. | 8,291 |
USD | 291,821 | EUR | 266,000 | 04/12/24 | Bank of America, N.A. | 4,439 |
USD | 2,735,047 | EUR | 2,505,000 | 04/22/24 | Bank of America, N.A. | 27,597 |
USD | 1,353,609 | EUR | 1,240,000 | 04/25/24 | Bank of America, N.A. | 13,231 |
USD | 1,302,953 | EUR | 1,199,000 | 04/30/24 | Bank of America, N.A. | 6,632 |
USD | 3,735,194 | EUR | 3,437,000 | 04/04/24 | Barclays Bank PLC | 23,091 |
USD | 288,125 | EUR | 266,000 | 04/05/24 | Barclays Bank PLC | 822 |
USD | 1,198,327 | EUR | 1,096,000 | 04/18/24 | Barclays Bank PLC | 13,942 |
USD | 293,497 | EUR | 270,000 | 04/30/24 | Barclays Bank PLC | 1,581 |
USD | 869,316 | EUR | 800,000 | 04/30/24 | BNP Paribas S.A. | 4,381 |
USD | 2,347,651 | EUR | 2,165,000 | 04/02/24 | Citibank N.A. | 9,451 |
USD | 7,489,408 | EUR | 6,820,942 | 04/19/24 | Citibank N.A. | 118,107 |
USD | 2,838,322 | EUR | 2,630,000 | 04/19/24 | Citibank N.A. | (3,884 ) |
USD | 2,552,240 | EUR | 2,349,000 | 04/30/24 | Citibank N.A. | 12,575 |
USD | 2,344,716 | EUR | 2,165,000 | 05/02/24 | Citibank N.A. | 3,796 |
USD | 1,635,443 | EUR | 1,490,000 | 06/20/24 | Citibank N.A. | 21,124 |
USD | 565,104 | EUR | 520,000 | 04/30/24 | Commonwealth Bank of Australia | 2,896 |
USD | 1,236,021 | EUR | 1,140,000 | 04/02/24 | Deutsche Bank AG | 4,821 |
USD | 1,234,506 | EUR | 1,140,000 | 05/02/24 | Deutsche Bank AG | 1,874 |
USD | 14,251,935 | EUR | 13,058,927 | 05/16/24 | Deutsche Bank AG | 123,936 |
USD | 86,686 | EUR | 80,000 | 04/04/24 | Goldman Sachs & Co. | 283 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 1,511,406 | EUR | 1,390,000 | 04/19/24 | Goldman Sachs & Co. | $9,251 |
USD | 16,504,862 | EUR | 15,129,000 | 04/22/24 | Goldman Sachs & Co. | 153,165 |
USD | 1,301,054 | EUR | 1,200,000 | 04/02/24 | HSBC Bank USA, N.A. | 5,055 |
USD | 1,100,930 | EUR | 1,015,000 | 04/04/24 | HSBC Bank USA, N.A. | 4,688 |
USD | 982,413 | EUR | 904,000 | 04/30/24 | HSBC Bank USA, N.A. | 5,037 |
USD | 1,299,828 | EUR | 1,200,000 | 05/02/24 | HSBC Bank USA, N.A. | 2,321 |
USD | 2,428,019 | EUR | 2,239,000 | 04/02/24 | Morgan Stanley Capital Services, Inc. | 9,899 |
USD | 930,487 | EUR | 860,000 | 04/04/24 | Morgan Stanley Capital Services, Inc. | 1,651 |
USD | 124,999 | EUR | 114,000 | 04/12/24 | Morgan Stanley Capital Services, Inc. | 1,835 |
USD | 2,405,093 | EUR | 2,200,000 | 04/15/24 | Morgan Stanley Capital Services, Inc. | 27,967 |
USD | 900,857 | EUR | 825,000 | 04/22/24 | Morgan Stanley Capital Services, Inc. | 9,182 |
USD | 2,424,808 | EUR | 2,239,000 | 05/02/24 | Morgan Stanley Capital Services, Inc. | 3,876 |
USD | 887,491 | EUR | 814,100 | 05/16/24 | Natwest Markets PLC | 6,744 |
USD | 83,394 | EUR | 77,000 | 04/02/24 | Standard Chartered Bank | 234 |
USD | 923,647 | EUR | 850,000 | 04/30/24 | Standard Chartered Bank | 4,654 |
USD | 2,179,316 | EUR | 2,000,000 | 04/08/24 | State Street Bank London | 18,898 |
USD | 403,178 | EUR | 372,000 | 04/02/24 | UBS AG | 1,418 |
USD | 1,791,847 | EUR | 1,650,000 | 04/04/24 | UBS AG | 9,778 |
USD | 2,015,623 | EUR | 1,855,000 | 04/30/24 | UBS AG | 10,055 |
USD | 402,857 | EUR | 372,000 | 05/02/24 | UBS AG | 630 |
USD | 758,668 | GBP | 600,000 | 04/30/24 | Bank of America, N.A. | 604 |
USD | 1,141,265 | GBP | 894,113 | 05/16/24 | Barclays Bank PLC | 11,507 |
USD | 707,848 | GBP | 560,000 | 04/30/24 | BNP Paribas S.A. | 323 |
USD | 11,073,973 | GBP | 8,697,262 | 04/19/24 | Citibank N.A. | 86,189 |
USD | 380,249 | GBP | 295,000 | 05/16/24 | Toronto Dominion Bank | 7,501 |
USD | 709,677 | HUF | 258,850,000 | 05/16/24 | Barclays Bank PLC | 2,168 |
USD | 2,356,397 | HUF | 861,590,000 | 06/20/24 | Citibank N.A. | 5,353 |
USD | 508,072 | HUF | 185,543,900 | 04/02/24 | JPMorgan Chase Bank N.A. | (474 ) |
USD | 1,022,688 | HUF | 369,655,600 | 04/15/24 | JPMorgan Chase Bank N.A. | 10,404 |
USD | 784,367 | HUF | 286,513,000 | 04/22/24 | JPMorgan Chase Bank N.A. | 136 |
USD | 3,072,377 | IDR | 48,027,390,000 | 04/22/24 | Deutsche Bank AG | 45,015 |
USD | 516,935 | IDR | 8,035,749,000 | 05/16/24 | Goldman Sachs International | 11,403 |
USD | 391,482 | IDR | 6,076,935,200 | 05/16/24 | HSBC Bank PLC | 9,180 |
USD | 219,268 | IDR | 3,435,789,840 | 06/20/24 | HSBC Bank PLC | 3,028 |
USD | 2,205,586 | IDR | 34,142,477,521 | 04/19/24 | JPMorgan Chase Bank N.A. | 53,251 |
USD | 3,403,621 | IDR | 53,152,998,600 | 04/24/24 | JPMorgan Chase Bank N.A. | 53,373 |
USD | 3,195,723 | IDR | 49,853,277,541 | 04/29/24 | JPMorgan Chase Bank N.A. | 53,935 |
USD | 4,762,424 | IDR | 74,370,007,000 | 05/06/24 | JPMorgan Chase Bank N.A. | 76,472 |
USD | 693,552 | IDR | 11,024,704,000 | 05/06/24 | JPMorgan Chase Bank N.A. | (1,099 ) |
USD | 1,154,803 | IDR | 18,010,301,156 | 05/16/24 | JPMorgan Chase Bank N.A. | 21,767 |
USD | 4,193 | INR | 348,285 | 04/19/24 | JPMorgan Chase Bank N.A. | 19 |
USD | 2,110,266 | JPY | 307,682,000 | 05/16/24 | JPMorgan Chase Bank N.A. | 63,482 |
USD | 4,111,527 | JPY | 601,689,707 | 05/16/24 | Morgan Stanley and Co. International PLC | 108,925 |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 2,080,597 | KES | 296,677,002 | 08/02/24 | Standard Chartered Bank | $(117,502 ) |
USD | 607,865 | KRW | 818,776,000 | 04/22/24 | JPMorgan Chase Bank N.A. | (1,001 ) |
USD | 1,769,311 | MXN | 30,180,000 | 05/16/24 | Deutsche Bank AG | (33,987 ) |
USD | 3,748,738 | MXN | 62,976,000 | 04/22/24 | Goldman Sachs & Co. | (28,271 ) |
USD | 220,501 | MXN | 3,730,000 | 06/20/24 | Goldman Sachs International | (1,143 ) |
USD | 15,501,114 | MXN | 265,427,400 | 04/10/24 | JPMorgan Chase Bank N.A. | (447,537 ) |
USD | 1,012,227 | MXN | 16,844,000 | 04/10/24 | JPMorgan Chase Bank N.A. | 127 |
USD | 946,079 | MXN | 16,174,834 | 04/19/24 | JPMorgan Chase Bank N.A. | (24,462 ) |
USD | 1,016,574 | MXN | 17,156,000 | 05/16/24 | JPMorgan Chase Bank N.A. | (8,521 ) |
USD | 4,865,179 | MXN | 82,848,492 | 05/16/24 | State Street Bank London | (85,137 ) |
USD | 18,266,107 | MYR | 85,278,083 | 06/20/24 | Standard Chartered Bank | 157,749 |
USD | 791,576 | PEN | 2,913,000 | 05/16/24 | Bank of America, N.A. | 9,331 |
USD | 1,454,225 | PEN | 5,400,000 | 06/20/24 | HSBC Bank PLC | 4,934 |
USD | 3,022,089 | PEN | 11,123,100 | 04/24/24 | JPMorgan Chase Bank N.A. | 33,915 |
USD | 17,095,901 | PEN | 62,992,000 | 06/20/24 | Standard Chartered Bank | 189,647 |
USD | 31,043 | PHP | 1,748,300 | 04/03/24 | JPMorgan Chase Bank N.A. | (56 ) |
USD | 1,760,955 | PHP | 99,175,200 | 04/05/24 | JPMorgan Chase Bank N.A. | (3,148 ) |
USD | 409,612 | PHP | 23,080,000 | 05/06/24 | JPMorgan Chase Bank N.A. | (721 ) |
USD | 1,597,449 | PHP | 89,193,560 | 05/16/24 | JPMorgan Chase Bank N.A. | 11,530 |
USD | 1,509,906 | PLN | 5,970,000 | 05/16/24 | Barclays Bank PLC | 13,390 |
USD | 1,098,761 | PLN | 4,330,000 | 06/20/24 | Barclays Bank PLC | 13,829 |
USD | 373,302 | PLN | 1,465,000 | 05/16/24 | Goldman Sachs International | 6,066 |
USD | 3,399,933 | PLN | 13,533,050 | 04/12/24 | JPMorgan Chase Bank N.A. | 6,494 |
USD | 2,331,804 | PLN | 9,150,000 | 06/20/24 | Standard Chartered Bank | 39,166 |
USD | 6,489,035 | RON | 29,660,079 | 05/16/24 | Bank of America, N.A. | 47,767 |
USD | 579,467 | RON | 2,650,000 | 05/16/24 | Barclays Bank PLC | 3,967 |
USD | 2,365,417 | RON | 10,867,200 | 04/03/24 | JPMorgan Chase Bank N.A. | 4,011 |
USD | 129,259 | RON | 595,000 | 05/07/24 | JPMorgan Chase Bank N.A. | 30 |
USD | 289,354 | THB | 10,197,100 | 05/16/24 | Barclays Bank PLC | 8,891 |
USD | 9,733,599 | THB | 344,076,357 | 06/20/24 | Citibank N.A. | 242,353 |
USD | 3,179,078 | THB | 113,350,000 | 06/20/24 | Goldman Sachs International | 52,351 |
USD | 271,484 | THB | 9,607,000 | 05/16/24 | HSBC Bank PLC | 7,251 |
USD | 1,141,988 | THB | 40,359,000 | 06/20/24 | HSBC Bank PLC | 28,697 |
USD | 3,104,651 | THB | 111,108,100 | 04/10/24 | JPMorgan Chase Bank N.A. | 57,435 |
USD | 940,810 | UGX | 3,742,795,872 | 06/20/24 | Citibank N.A. | (6,657 ) |
USD | 2,527,000 | UGX | 10,023,834,129 | 06/20/24 | Standard Chartered Bank | (10,475 ) |
USD | 1,734,716 | ZAR | 33,011,700 | 05/16/24 | Barclays Bank PLC | (2,571 ) |
USD | 1,170,966 | ZAR | 22,310,000 | 06/20/24 | Citibank N.A. | 344 |
USD | 983,230 | ZAR | 18,498,100 | 05/16/24 | Deutsche Bank AG | 9,742 |
USD | 3,086,931 | ZAR | 58,510,000 | 04/22/24 | Goldman Sachs & Co. | 1,739 |
USD | 12,834,758 | ZAR | 241,860,000 | 06/20/24 | Goldman Sachs International | 144,188 |
USD | 1,211,539 | ZAR | 22,984,000 | 04/02/24 | JPMorgan Chase Bank N.A. | (2,218 ) |
USD | 588,041 | ZAR | 11,336,400 | 04/10/24 | JPMorgan Chase Bank N.A. | (10,299 ) |
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation (Depreciation) | ||
USD | 2,046,479 | ZAR | 38,274,400 | 04/10/24 | JPMorgan Chase Bank N.A. | $26,339 |
USD | 1,750,559 | ZAR | 33,054,367 | 04/22/24 | JPMorgan Chase Bank N.A. | 7,625 |
USD | 8,279,804 | ZAR | 155,941,132 | 05/16/24 | Morgan Stanley and Co. International PLC | 73,183 |
USD | 1,054,849 | ZAR | 19,664,700 | 05/16/24 | State Street Bank London | 19,967 |
ZAR | 24,547,000 | USD | 1,298,363 | 05/16/24 | Bank of America, N.A. | (6,543 ) |
ZAR | 8,435,300 | USD | 441,714 | 05/16/24 | Bank of America, N.A. | 2,206 |
ZAR | 17,169,000 | USD | 909,919 | 05/16/24 | Citibank N.A. | (6,376 ) |
ZAR | 8,210,000 | USD | 435,271 | 06/20/24 | Goldman Sachs International | (4,486 ) |
ZAR | 8,315,000 | USD | 436,661 | 05/16/24 | HSBC Bank PLC | 928 |
ZAR | 16,857,100 | USD | 894,188 | 05/16/24 | HSBC Bank PLC | (7,059 ) |
ZAR | 35,995,000 | USD | 1,920,394 | 04/10/24 | JPMorgan Chase Bank N.A. | (20,561 ) |
ZAR | 22,984,000 | USD | 1,209,669 | 04/22/24 | JPMorgan Chase Bank N.A. | 2,261 |
ZAR | 20,274,800 | USD | 1,071,119 | 05/16/24 | Morgan Stanley and Co. International PLC | (4,129 ) |
$470,606 |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
31 | 10-Year Australian Bond Futures | Jun 2024 | $2,357,676 | $(788 ) |
61 | 3-Month SONIA | Sep 2024 | 18,309,039 | 127,798 |
2 | 3-Month SONIA | Mar 2025 | 603,865 | 5,334 |
210 | Euro BOBL | Jun 2024 | 26,819,098 | 38,245 |
115 | Euro BUND | Jun 2024 | 16,565,795 | 139,085 |
109 | Long Gilt Futures | Jun 2024 | 13,761,162 | 132,489 |
75 | SOFR 90-Day | Mar 2025 | 17,893,125 | (223,783 ) |
74 | U.S. Long Bond | Jun 2024 | 8,912,375 | 30,999 |
591 | U.S. Treasury Note 10-Year | Jun 2024 | 65,480,953 | 329,671 |
931 | U.S. Treasury Note 2-Year | Jun 2024 | 190,374,954 | (244,970 ) |
186 | U.S. Treasury Note 5-Year | Jun 2024 | 19,904,906 | 62,319 |
127 | U.S. Ultra 10-Year | Jun 2024 | 14,555,391 | (77,723 ) |
358 | U.S. Ultra Bond | Jun 2024 | 46,182,000 | 572,564 |
$891,240 | ||||
Sales | ||||
39 | SOFR 90-Day | Jun 2024 | $9,230,569 | $(9,657 ) |
160 | U.S. Treasury Note 10-Year | Jun 2024 | 17,727,500 | (139,068 ) |
38 | U.S. Ultra 10-Year | Jun 2024 | 4,355,156 | (3,284 ) |
$(152,009 ) |
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at March 31, 2024 |
PUT— S&P 500 E-mini Futures Option Strike @ $4,500.00 Expires 04/19/2024 | JPMorgan Chase Bank N.A. | 2,350 | $12,474,975 | $(30,451 ) | $(3,878 ) |
Total Written Option | $(30,451 ) | $(3,878 ) |
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) | |
3.03% | Quarterly | 3-Month KSDA | Quarterly | 01/03/34 | Merrill Lynch International | $ — | KRW | (289,460,000) | $(3,781) | $(3,781) |
3.10% | Quarterly | 3-Month KSDA | Quarterly | 12/22/33 | Standard Chartered Bank | — | KRW | (3,950,000,000) | (34,399) | (34,399) |
3.16% | Quarterly | 3-Month KSDA | Quarterly | 01/10/34 | Merrill Lynch International | — | KRW | (1,242,105,263) | (6,093) | (6,093) |
3.21% | Quarterly | 3-Month KSDA | Quarterly | 01/11/34 | Merrill Lynch International | — | KRW | (527,894,737) | (1,045) | (1,045) |
3.21% | Quarterly | 3-Month KSDA | Quarterly | 01/18/34 | Citibank N.A. | — | KRW | (326,000,000) | (684) | (684) |
3.23% | Quarterly | 3-Month KSDA | Quarterly | 01/09/34 | Citibank N.A. | — | KRW | (1,180,000,000) | (532) | (532) |
3.27% | Quarterly | 3-Month KSDA | Quarterly | 03/08/34 | Citibank N.A. | — | KRW | (760,195,700) | 1,538 | 1,538 |
3.31% | Quarterly | 3-Month KSDA | Quarterly | 02/05/26 | Standard Chartered Bank | — | KRW | (2,000,000,000) | (2,123) | (2,123) |
3.32% | Quarterly | 3-Month KSDA | Quarterly | 01/18/26 | Merrill Lynch International | — | KRW | (1,434,000,000) | (1,409) | (1,409) |
3.34% | Quarterly | 3-Month KSDA | Quarterly | 01/10/26 | Merrill Lynch International | — | KRW | (4,844,000,000) | (3,582) | (3,582) |
3.37% | Quarterly | 3-Month KSDA | Quarterly | 01/11/26 | Citibank N.A. | — | KRW | (3,256,000,000) | (1,388) | (1,388) |
3.38% | Quarterly | 3-Month KSDA | Quarterly | 01/09/26 | Merrill Lynch International | — | KRW | (5,400,000,000) | (1,175) | (1,175) |
6-Month CLICP | Semi-Annual | 4.99% | Semi-Annual | 06/20/33 | Goldman Sachs & Co. | — | CLP | (2,170,000,000) | 39,566 | 39,566 |
2.12% | Quarterly | 7-Day CNRR | Quarterly | 02/05/29 | Citibank N.A. | — | CNY | (7,300,000) | 732 | 732 |
2.27% | Quarterly | 7-Day CNRR | Quarterly | 12/29/28 | Citibank N.A. | — | CNY | (10,280,000) | 10,763 | 10,763 |
2.40% | Quarterly | 7-Day CNRR | Quarterly | 07/21/28 | Standard Chartered Bank | — | CNY | (6,210,000) | 11,590 | 11,590 |
7-Day CPIBR | Quarterly | 7.68% | Quarterly | 02/07/34 | Goldman Sachs & Co. | — | COP | (3,067,519,910) | 7,802 | 7,802 |
7-Day CPIBR | Quarterly | 7.50% | Quarterly | 03/11/34 | Citibank N.A. | — | COP | (1,650,000,000) | 7,959 | 7,959 |
7-Day CPIBR | Quarterly | 7.46% | Quarterly | 02/06/34 | Goldman Sachs & Co. | — | COP | (4,162,480,090) | 26,497 | 26,497 |
9.55% | At Maturity | BRL-CDI | At Maturity | 01/02/26 | Goldman Sachs & Co. | — | BRL | (5,019,204) | (9,578) | (9,578) |
9.80% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (7,138,618) | (11,946) | (11,946) |
9.84% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Goldman Sachs International | — | BRL | (6,142,890) | (9,180) | (9,180) |
9.88% | At Maturity | BRL-CDI | At Maturity | 01/02/26 | Bank of America, N.A. | — | BRL | (4,538,174) | (1,010) | (1,010) |
9.92% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (3,271,132) | (3,395) | (3,395) |
9.95% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Barclays Capital | — | BRL | (11,010,721) | (2,654) | (2,654) |
9.97% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Goldman Sachs & Co. | — | BRL | (16,050,169) | (3,612) | (3,612) |
10.00% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Citibank N.A. | — | BRL | (38,498,324) | (2,147) | (2,147) |
10.05% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | HSBC Sec. New York | — | BRL | (3,454,148) | (1,080) | (1,080) |
10.05% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citibank N.A. | — | BRL | (6,727,177) | (1,991) | (1,991) |
10.07% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Citibank N.A. | — | BRL | (9,130,309) | (1,432) | (1,432) |
10.08% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | — | BRL | (2,669,725) | (11,260) | (11,260) |
10.11% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Goldman Sachs & Co. | — | BRL | (15,967,870) | (1,416) | (1,416) |
10.12% | At Maturity | BRL-CDI | At Maturity | 01/02/26 | Goldman Sachs & Co. | — | BRL | (4,073,127) | 200 | 200 |
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) | |
10.12% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | $ — | BRL | (3,314,365) | $(12,689) | $(12,689) |
10.12% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | — | BRL | (4,045,627) | (15,330) | (15,330) |
10.18% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | Citibank N.A. | — | BRL | (3,890,000) | (11,908) | (11,908) |
10.23% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | JPMorgan Chase Bank N.A. | — | BRL | (40,970,000) | (121,016) | (121,016) |
10.29% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Bank of America, N.A. | — | BRL | (1,078,605) | (280) | (280) |
10.41% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Barclays Capital | — | BRL | (23,763,514) | 3,691 | 3,691 |
10.41% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | HSBC Sec. New York | — | BRL | (4,903,343) | 2,719 | 2,719 |
10.70% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Goldman Sachs & Co. | — | BRL | (74,373,490) | (61,370) | (61,370) |
10.76% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Goldman Sachs & Co. | — | BRL | (8,260,392) | (5,769) | (5,769) |
11.04% | At Maturity | BRL-CDI | At Maturity | 01/02/25 | Citigroup Global Market | — | BRL | (11,400,102) | 12,738 | 12,738 |
11.37% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | — | BRL | (782,173) | 5,438 | 5,438 |
12.34% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | HSBC Sec. New York | — | BRL | (3,677,727) | 47,406 | 47,406 |
12.41% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (2,485,227) | 33,341 | 33,341 |
12.74% | At Maturity | BRL-CDI | At Maturity | 01/02/29 | HSBC Sec. New York | — | BRL | (2,290,799) | 54,997 | 54,997 |
12.78% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | (1,476,351) | 24,442 | 24,442 |
$ 0 | $(53,855) | $(53,855) |
Payments Received by Fund | Payment Frequency | Payments Made by Fund | Payment Frequency | Maturity Date | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |
1-Month TIIE | Monthly | 9.49% | Monthly | 09/16/33 | $— | MXN | 65,623,453 | $(191,332 ) | $(191,332 ) |
1-Month TIIE | Monthly | 8.59% | Monthly | 02/24/34 | — | MXN | 9,000,000 | 6,040 | 6,040 |
1-Month TIIE | Monthly | 8.29% | Monthly | 06/03/33 | — | MXN | 18,500,000 | 32,703 | 32,703 |
7.20% | Monthly | 1-Month TIIE | Monthly | 07/17/24 | — | MXN | 116,734,200 | (84,305 ) | (84,305 ) |
8.80% | Monthly | 1-Month TIIE | Monthly | 03/16/29 | 12 | MXN | 22,841,286 | (2,985 ) | (2,997 ) |
8.83% | Monthly | 1-Month TIIE | Monthly | 03/20/29 | 8 | MXN | 15,159,320 | (712 ) | (720 ) |
8.97% | Monthly | 1-Month TIIE | Monthly | 03/01/30 | — | MXN | 93,573,000 | 47,753 | 47,753 |
9.69% | Monthly | 1-Month TIIE | Monthly | 07/18/25 | — | MXN | 54,100,000 | (26,849 ) | (26,849 ) |
9.70% | Monthly | 1-Month TIIE | Monthly | 03/06/26 | — | MXN | 41,000,000 | (5,385 ) | (5,385 ) |
9.72% | Monthly | 1-Month TIIE | Monthly | 12/26/25 | — | MXN | 14,500,000 | (3,478 ) | (3,478 ) |
9.74% | Monthly | 1-Month TIIE | Monthly | 02/27/26 | — | MXN | 265,268,251 | (26,804 ) | (26,804 ) |
3-Month JIBAR | Quarterly | 8.19% | Quarterly | 11/23/28 | — | ZAR | 40,430,000 | 25,105 | 25,105 |
8.33% | Quarterly | 3-Month JIBAR | Quarterly | 03/06/29 | 1 | ZAR | 37,000,000 | (18,787 ) | (18,788 ) |
6-Month BUBOR | Semi-Annual | 7.03% | Annual | 09/26/28 | (17,314 ) | HUF | 240,000,000 | (13,669 ) | 3,645 |
6-Month BUBOR | Semi-Annual | 7.03% | Annual | 09/26/28 | (11,549 ) | HUF | 160,000,000 | (9,113 ) | 2,436 |
5.60% | Annual | 6-Month BUBOR | Semi-Annual | 02/27/29 | — | HUF | 618,260,000 | (64,310 ) | (64,310 ) |
5.61% | Annual | 6-Month BUBOR | Semi-Annual | 02/26/29 | — | HUF | 1,008,740,000 | (103,558 ) | (103,558 ) |
7.03% | Annual | 6-Month BUBOR | Semi-Annual | 09/26/28 | — | HUF | 580,000,000 | 33,033 | 33,033 |
6-Month PRIBOR | Semi-Annual | 4.77% | Annual | 10/06/28 | (20,627 ) | CZK | 10,620,000 | (20,627 ) | — |
6-Month PRIBOR | Semi-Annual | 4.00% | Annual | 11/22/33 | (9,624 ) | CZK | 9,089,500 | (8,792 ) | 832 |
6-Month PRIBOR | Semi-Annual | 4.00% | Annual | 11/22/33 | (9,078 ) | CZK | 9,089,500 | (8,792 ) | 286 |
6-Month PRIBOR | Semi-Annual | 3.72% | Annual | 01/25/34 | — | CZK | 15,280,000 | 981 | 981 |
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 PRIBOR | Semi-Annual | 3.70% | Annual | 01/26/34 | $— | CZK | 15,280,000 | $1,893 | $1,893 |
6-Month PRIBOR | Semi-Annual | 3.49% | Annual | 01/02/34 | 4,122 | CZK | 5,415,000 | 4,707 | 585 |
6-Month PRIBOR | Semi-Annual | 3.49% | Annual | 01/02/34 | 4,433 | CZK | 5,415,000 | 4,706 | 273 |
6-Month PRIBOR | Semi-Annual | 3.44% | Annual | 03/11/34 | — | CZK | 21,000,000 | 21,423 | 21,423 |
3.07% | Annual | 6-Month PRIBOR | Semi-Annual | 09/18/29 | 46 | CZK | 94,892,454 | (75,074 ) | (75,120 ) |
3.30% | Annual | 6-Month PRIBOR | Semi-Annual | 09/18/29 | 13 | CZK | 27,096,114 | (9,245 ) | (9,258 ) |
3.31% | Annual | 6-Month PRIBOR | Semi-Annual | 03/11/29 | — | CZK | 37,000,000 | (26,651 ) | (26,651 ) |
3.49% | Annual | 6-Month PRIBOR | Semi-Annual | 01/02/34 | — | CZK | 10,830,000 | (9,413 ) | (9,413 ) |
4.00% | Annual | 6-Month PRIBOR | Semi-Annual | 11/22/33 | — | CZK | 18,179,000 | 17,585 | 17,585 |
4.07% | Annual | 6-Month PRIBOR | Semi-Annual | 11/22/28 | — | CZK | 31,250,000 | 20,908 | 20,908 |
4.17% | Annual | 6-Month PRIBOR | Semi-Annual | 11/21/28 | — | CZK | 31,250,000 | 26,681 | 26,681 |
4.66% | Annual | 6-Month PRIBOR | Semi-Annual | 06/19/27 | — | CZK | 106,000,000 | 114,723 | 114,723 |
4.71% | Annual | 6-Month PRIBOR | Semi-Annual | 10/09/28 | — | CZK | 18,316,125 | 34,427 | 34,427 |
4.77% | Annual | 6-Month PRIBOR | Semi-Annual | 10/06/28 | — | CZK | 18,316,125 | 36,198 | 36,198 |
4.78% | Annual | 6-Month PRIBOR | Semi-Annual | 10/06/28 | — | CZK | 36,632,250 | 73,055 | 73,055 |
4.79% | Annual | 6-Month PRIBOR | Semi-Annual | 10/06/28 | — | CZK | 36,085,500 | 72,632 | 72,632 |
6-Month WIBOR | Semi-Annual | 4.83% | Annual | 03/11/29 | — | PLN | 8,000,000 | 8,580 | 8,580 |
6-Month WIBOR | Semi-Annual | 4.78% | Annual | 10/09/28 | — | PLN | 4,994,850 | 8,781 | 8,781 |
6-Month WIBOR | Semi-Annual | 4.71% | Annual | 08/01/33 | 1,673 | PLN | 470,000 | 2,151 | 478 |
6-Month WIBOR | Semi-Annual | 4.68% | Annual | 10/06/28 | — | PLN | 9,840,600 | 26,491 | 26,491 |
6-Month WIBOR | Semi-Annual | 4.67% | Annual | 10/06/28 | — | PLN | 4,994,850 | 13,946 | 13,946 |
6-Month WIBOR | Semi-Annual | 4.65% | Annual | 10/06/28 | — | PLN | 9,989,700 | 29,806 | 29,806 |
6-Month WIBOR | Semi-Annual | 4.38% | Annual | 01/02/29 | — | PLN | 1,830,000 | 10,523 | 10,523 |
4.67% | Annual | 6-Month WIBOR | Semi-Annual | 10/06/28 | 501 | PLN | 1,100,000 | (3,071 ) | (3,572 ) |
4.71% | Annual | 6-Month WIBOR | Semi-Annual | 08/01/33 | 538 | PLN | 4,840,000 | (22,149 ) | (22,687 ) |
4.93% | Annual | 6-Month WIBOR | Semi-Annual | 01/02/26 | — | PLN | 1,610,000 | (3,799 ) | (3,799 ) |
5.26% | Annual | 6-Month WIBOR | Semi-Annual | 08/01/25 | 757 | PLN | 28,620,000 | (41,905 ) | (42,662 ) |
5.38% | Annual | 6-Month WIBOR | Semi-Annual | 03/11/26 | — | PLN | 10,000,000 | (2,382 ) | (2,382 ) |
2.12% | Quarterly | CNRR | Quarterly | 09/18/29 | 12 | CNY | 7,880,749 | (668 ) | (680 ) |
2.13% | Quarterly | CNRR | Quarterly | 09/18/29 | 12 | CNY | 7,944,240 | (265 ) | (277 ) |
2.21% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 09/18/29 | 64 | THB | 204,850,689 | 4,698 | 4,634 |
2.53% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 09/18/34 | 74 | THB | 146,867,695 | 12,323 | 12,249 |
2.54% | Quarterly | Thai Baht Interest Rate Fixing | Quarterly | 09/18/34 | 74 | THB | 146,867,694 | 16,552 | 16,478 |
$(19,864 ) |
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value |
16,490,000 | USD | 12/20/28 | Morgan Stanley & Co. | (1.00%) | Quarterly | CDX.EM.S40** | $(149,227 ) | $543,397 | $394,170 |
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | (1.00%) | Quarterly | Daimler AG, 1.40%, 01/12/24 | 14,183 | (19,195 ) | (5,012 ) |
Total Buy Protection | $(135,044 ) | $524,202 | $389,158 |
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+) | $(5,449 ) | $9,254 | $3,805 |
Total OTC Credit Default Swaps | $(140,493 ) | $533,456 | $392,963 |
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 | General Motors Co. | $128,474 | $(264,656 ) | $(136,182 ) |
1,285,000 | USD | 12/20/28 | (1.00%) | Quarterly | Macy's Retail Holdings LLC | (33,696 ) | 167,050 | 133,354 |
Total Buy Protection | $94,778 | $(97,606 ) | $(2,828 ) |
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value |
8,202,744 | USD | 12/20/28 | 5.00% | Quarterly | CDX.NA.HY.41*** | $123,941 | $478,539 | $602,480 |
4,249,000 | USD | 06/20/29 | 1.00% | Quarterly | CDX.NA.IG.S42**** | 1,874 | 94,009 | 95,883 |
1,380,000 | USD | 06/20/26 | 5.00% | Quarterly | Ford Motor Co. | (66,929 ) | 196,911 | 129,982 |
1,285,000 | USD | 12/20/28 | 1.00% | Quarterly | Nordstrom, Inc. | 40,991 | (179,900 ) | (138,909 ) |
Total Sell Protection | $99,877 | $589,559 | $689,436 | |||||
Total Centrally Cleared Credit Default Swaps | $194,655 | $491,953 | $686,608 |
* | The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts entered into by the Fund for the same referenced debt obligation. |
** | CDX.EM — Markit CDX Emerging Markets Index. Represents an index composed of fifteen (15) sovereign reference entities that trade in the credit default swaps (CDS) market. |
*** | CDX.NA.HY — Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated BB and B. |
**** | CDX.NA.IG — Markit North America Investment Grade CDS Index. Represents an index of one hundred twenty five (125) of the most liquid North American entities with investment grade credit ratings that trade in the CDS market. |
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 |
DOP | — | Dominican Pesos |
EGP | — | Egyptian Pound |
EUR | — | Euro |
GBP | — | United Kingdom Pound |
GHS | — | New Ghanaian Cedi |
HUF | — | Hungarian Forint |
IDR | — | Indonesian Rupiah |
INR | — | Indian Rupee |
JMD | — | Jamaica Dollar |
JPY | — | Japanese Yen |
KRW | — | South Korean Won |
MXN | — | Mexican Peso |
MYR | — | Malaysian Ringgit |
NGN | — | Nigeria Naira |
NOK | — | Norwegian Krona |
NZD | — | New Zealand Dollar |
PEN | — | Peruvian Nuevo Sol |
PHP | — | Philippines Peso |
PLN | — | Polish Zloty |
PYG | — | Paraguay Guarani |
RON | — | Romanian New Leu |
RSD | — | Serbia Dinar |
RUB | — | Russian Ruble |
SGD | — | Singapore Dollar |
THB | — | Thai Baht |
TRY | — | Turkish New Lira |
TWD | — | Taiwan Dollar |
UGX | — | Ugandan Shilling |
USD | — | U.S. Dollar |
UYU | — | Uruguayan Peso |
ZAR | — | South African Rand |
Abbreviations | ||
BUBOR | — | Budapest Interbank Offered Rate |
CDI | — | CREST Depository Interest |
CLICP | — | Chilean Average Chamber Index |
CLO | — | Collateralized Loan Obligation |
CMT | — | Constant Maturity Treasury Index |
CNRR | — | China Fixing Repo Rates |
CPIBR | — | Colombia Overnight Interbank Rate |
EURIBOR | — | Euro Interbank Offered Rate |
ICE | — | Intercontinental Exchange |
JIBAR | — | Johannesburg Interbank Average Rate |
KSDA | — | South Korea Three Month Interbank Rate |
PIK | — | Payment In Kind |
PRIBOR | — | Prague Interbank Offered Rate |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average |
STACR | — | Structured Agency Credit Risk |
TBD | — | To Be Determined |
TIIE | — | Mexican Interbank Equilibrium Interest Rate |
WIBOR | — | Warsaw Interbank Offer Rate |
Asset Class Summary (Unaudited) | % of Net Assets |
Corporate Debt | 36.1 |
Sovereign Debt Obligations | 31.9 |
Bank Loans | 11.5 |
Mortgage Backed Securities - Private Issuers | 5.8 |
Asset Backed Securities | 4.6 |
U.S. Government and Agency Obligations | 0.8 |
Convertible Debt | 0.7 |
Preferred Stock | 0.0* |
Futures Contracts | 0.0* |
Forward Foreign Currency Contracts | 0.0* |
OTC Credit Default Swaps | 0.0* |
Common Stocks | 0.0* |
Centrally Cleared Credit Default Swaps | 0.0* |
Mortgage Backed Securities - U.S. Government Agency Obligations | 0.0* |
Purchased Futures Options | 0.0* |
Purchased Currency Option | 0.0* |
Written Futures Option | 0.0* |
Centrally Cleared Interest Rate Swaps | 0.0* |
OTC Interest Rate Swaps | 0.0* |
Short-Term Investments | 3.0 |
Other Assets and Liabilities (net) | 5.6 |
100.0% |
* | Amount rounds to zero. |
Par Value(a) | Description | Value ($) | |
DEBT OBLIGATIONS — 96.2% | |||
Asset Backed Securities — 19.9% | |||
500,000 | AIMCO CLO, Series 2017-AA, Class AR, 6.63% (3 mo. USD Term SOFR + 1.31%), due 04/20/34(b) 144A | 500,392 | |
250,000 | AIMCO CLO 10 Ltd., Series 2019-10A, Class AR, 6.64% (3 mo. USD Term SOFR + 1.32%), due 07/22/32(b) 144A | 250,079 | |
250,000 | American Express Credit Account Master Trust, Series 2023-4, Class A, 5.15%, due 09/15/30 | 254,367 | |
79,667 | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A2A, 4.20%, due 12/18/25 | 79,562 | |
170,060 | AMMC CLO 22, Ltd., Series 2018-22A, Class A, 6.62% (3 mo. USD Term SOFR + 1.29%), due 04/25/31(b) 144A | 170,183 | |
200,000 | BA Credit Card Trust, Series 2023-A2, Class A2, 4.98%, due 11/15/28 | 200,644 | |
250,000 | Bain Capital CLO Ltd., Series 2024-1A, Class A1, 6.87% (3 mo. USD Term SOFR + 1.55%), due 04/16/37(b) 144A | 250,028 | |
250,000 | Barclays Dryrock Issuance Trust, Series 2023-2, Class A, 6.22% (SOFR 30-day average + 0.90%), due 08/15/28(b) | 251,767 | |
250,000 | Barings CLO Ltd., Series 2024-1A, Class A, 6.90% (3 mo. USD Term SOFR + 1.63%), due 01/20/37(b) 144A | 251,437 | |
100,000 | CarMax Auto Owner Trust, Series 2024-1, Class A3, 4.92%, due 10/16/28 | 99,833 | |
100,000 | Chase Issuance Trust, Series 2024-A2, Class A, 4.63%, due 01/15/31 | 99,748 | |
250,000 | Citibank Credit Card Issuance Trust, Series 2023-A1, Class A1, 5.23%, due 12/08/27 | 250,200 | |
100,000 | Citizens Auto Receivables Trust, Series 2024-1, Class A3, 5.11%, due 04/17/28 144A | 99,942 | |
100,000 | CNH Equipment Trust, Series 2022-B, Class A4, 3.91%, due 03/15/28 | 97,285 | |
250,000 | Discover Card Execution Note Trust, Series 2022-A3, Class A3, 3.56%, due 07/15/27 | 244,674 | |
250,000 | Elmwood CLO IV Ltd., Series 2020-1A, Class A, 6.82% (3 mo. USD Term SOFR + 1.50%), due 04/15/33(b) 144A | 250,240 | |
257,759 | Enterprise Fleet Financing LLC, Series 2022-4, Class A2, 5.76%, due 10/22/29 144A | 258,254 | |
238,153 | FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A | 222,946 | |
460,121 | Flatiron CLO 18 Ltd., Series 2018-1A, Class A, 6.53% (3 mo. USD Term SOFR + 1.21%), due 04/17/31(b) 144A | 460,330 | |
200,000 | Ford Credit Auto Lease Trust, Series 2023-A, Class C, 5.54%, due 12/15/26 | 198,955 | |
100,000 | Ford Credit Auto Lease Trust, Series 2024-A, Class A4, 5.05%, due 06/15/27 | 99,692 | |
250,000 | Ford Credit Auto Owner Trust, Series 2023-A, Class B, 5.07%, due 01/15/29 | 248,259 | |
250,000 | GM Financial Automobile Leasing Trust, Series 2022-1, Class C, 2.64%, due 02/20/26 | 247,343 | |
250,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A4, 0.73%, due 08/16/27 | 235,869 | |
275,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-2, Class C, 5.21%, due 12/18/28 | 273,111 | |
172,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.78%, due 08/16/28 | 174,633 | |
100,000 | GM Financial Consumer Automobile Receivables Trust, Series 2024-1, Class B, 5.16%, due 08/16/29 | 99,926 | |
100,000 | HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, due 05/21/29 144A | 98,728 | |
300,000 | HPEFS Equipment Trust, Series 2022-2A, Class A3, 3.76%, due 09/20/29 144A | 297,855 | |
300,000 | Invesco U.S. CLO Ltd., Series 2023-1A, Class AR, 6.86% (3 mo. USD Term SOFR + 1.57%), due 04/22/37(b) 144A | 300,090 | |
350,000 | John Deere Owner Trust, Series 2023-C, Class A4, 5.39%, due 08/15/30 | 353,958 | |
45,000 | John Deere Owner Trust, Series 2024-A, Class A3, 4.96%, due 11/15/28 | 45,045 | |
170,000 | Kubota Credit Owner Trust, Series 2022-2A, Class A3, 4.09%, due 12/15/26 144A | 167,678 | |
300,000 | Magnetite XII Ltd., Series 2015-12A, Class AR4, 6.47% (3 mo. USD Term SOFR + 1.83%), due 10/15/31(b) 144A | 300,278 | |
150,000 | MVW LLC, Series 2024-1A, Class A, 5.32%, due 02/20/43 144A | 150,851 |
Par Value(a) | Description | Value ($) | |
Asset Backed Securities — continued | |||
90,963 | Navient Private Education Refi Loan Trust, Series 2020-EA, Class A, 1.69%, due 05/15/69 144A | 82,509 | |
486,872 | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.17%, due 09/16/69 144A | 439,246 | |
234,987 | Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR, 6.48% (3 mo. USD Term SOFR + 1.18%), due 10/18/30(b) 144A | 235,037 | |
250,000 | Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class AR, 6.56% (3 mo. USD Term SOFR + 1.25%), due 01/20/32(b) 144A | 250,328 | |
100,000 | Nissan Auto Lease Trust, Series 2024-A, Class A4, 4.97%, due 09/15/28 | 99,593 | |
300,000 | Oaktree CLO Ltd., Series 2022-2A, Class A1R, 6.86% (3 mo. USD Term SOFR + 1.55%), due 07/15/33(b) 144A | 300,072 | |
250,000 | Octagon Loan Funding Ltd., Series 2014-1A, Class ARR, 6.76% (3 mo. USD Term SOFR + 1.44%), due 11/18/31(b) 144A | 250,296 | |
189,100 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 6.38% (3 mo. USD Term SOFR + 1.06%), due 07/20/29(b) 144A | 189,179 | |
250,000 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 6.98% (3 mo. USD Term SOFR + 1.66%), due 07/20/29(b) 144A | 250,180 | |
220,000 | PFS Financing Corp., Series 2023-C, Class A, 5.52%, due 10/15/28 144A | 222,201 | |
250,000 | Porsche Financial Auto Securitization Trust, Series 2023-2A, Class A3, 5.79%, due 01/22/29 144A | 252,885 | |
125,506 | Santander Drive Auto Receivables Trust, Series 2022-6, Class A3, 4.49%, due 11/16/26 | 125,091 | |
178,307 | Santander Drive Auto Receivables Trust, Series 2023-6, Class A2, 6.08%, due 05/17/27 | 178,799 | |
100,000 | Santander Drive Auto Receivables Trust, Series 2024-1, Class A3, 5.25%, due 04/17/28 | 99,977 | |
100,000 | SBNA Auto Receivables Trust, Series 2024-A, Class A2, 5.70%, due 03/15/27 144A | 99,984 | |
250,000 | Synchrony Card Funding LLC, Series 2023-A2, Class A, 5.74%, due 10/15/29 | 253,921 | |
250,000 | Tesla Electric Vehicle Trust, Series 2023-1, Class A2A, 5.54%, due 12/21/26 144A | 250,178 | |
250,000 | Tesla Electric Vehicle Trust, Series 2023-1, Class A3, 5.38%, due 06/20/28 144A | 251,115 | |
100,000 | Toyota Auto Receivables Owner Trust, Series 2024-A, Class A3, 4.83%, due 10/16/28 | 99,676 | |
300,000 | Toyota Lease Owner Trust, Series 2023-A, Class A4, 5.05%, due 08/20/27 144A | 299,081 | |
150,000 | Verizon Master Trust, Series 2021-1, Class C, 0.89%, due 05/20/27 | 148,894 | |
11,962,424 | |||
Bank Loans — 5.3% | |||
198,980 | Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 9.18% (1 mo. USD Term SOFR + 3.75%), due 05/12/28(b) | 198,911 | |
99,749 | Applied Systems, Inc., 2024 1st Lien Term Loan, 8.81% (3 mo. USD Term SOFR + 3.50%), due 02/24/31(b) | 100,466 | |
199,480 | AssuredPartners, Inc., 2020 Term Loan B, 8.94% (1 mo. USD Term SOFR + 3.50%), due 02/12/27(b) | 199,926 | |
99,491 | Carnival Corp., 2021 Incremental Term Loan B, 8.69% (1 mo. USD Term SOFR + 3.25%), due 10/18/28(b) | 99,698 | |
99,483 | Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 9.06% (3 mo. USD Term SOFR + 3.75%), due 04/09/27(b) | 99,098 | |
99,722 | Elanco Animal Health, Inc., Term Loan B, 7.18% (1 mo. USD Term SOFR + 1.75%), due 08/01/27(b) | 99,446 | |
99,742 | Epicor Software Corp., 2020 Term Loan, 8.69% (1 mo. USD Term SOFR + 3.25%), due 07/30/27(b) | 100,194 | |
150,000 | GTCR W Merger Sub LLC, USD Term Loan B, 8.31% (1 mo. USD Term SOFR + 3.00%), due 01/31/31(b) | 150,621 | |
100,000 | Hilton Domestic Operating Co., Inc., 2023 Term Loan B3, 7.18% (1 mo. USD Term SOFR + 1.75%), due 06/21/28(b) | 100,278 | |
135,939 | Medline Borrower LP, USD Term Loan B, 8.44% (1 mo. USD Term SOFR + 3.00%), due 10/23/28(b) | 136,155 |
Par Value(a) | Description | Value ($) | |
Bank Loans — continued | |||
86,667 | Mileage Plus Holdings LLC, 2020 Term Loan B, 10.73% (3 mo. USD Term SOFR + 5.25%), due 06/21/27(b) | 89,360 | |
149,223 | NFP Corp., 2020 Term Loan, 8.69% (1 mo. USD Term SOFR + 3.25%), due 02/16/27(b) | 149,577 | |
99,486 | Pathway Vet Alliance LLC, 2021 Term Loan, 9.19% (1 mo. USD Term SOFR + 3.75%), due 03/31/27(b) | 87,610 | |
99,745 | Polaris Newco LLC, USD Term Loan B, 9.57% (3 mo. USD Term SOFR + 4.00%), due 06/02/28(b) | 98,854 | |
66,964 | Proampac PG Borrower LLC, 2023 Term Loan, 9.80% (3 mo. USD Term SOFR + 4.50%), due 09/15/28(b) | 67,165 | |
33,036 | Proampac PG Borrower LLC, 2023 Term Loan, 9.82% (3 mo. USD Term SOFR + 4.50%), due 09/15/28(b) | 33,135 | |
99,750 | Roper Industrial Products Investment Co. LLC, USD Term Loan, 9.35% (3 mo. USD Term SOFR + 4.00%), due 11/22/29(b) | 100,457 | |
199,472 | SBA Senior Finance II LLC, 2024 Term Loan B, 7.34% (1 mo. USD Term SOFR + 2.00%), due 01/25/31(b) | 199,928 | |
99,745 | Sophia LP, 2024 Term Loan B, 8.93% (1 mo. USD Term SOFR + 3.50%), due 10/09/29(b) | 100,285 | |
99,666 | Southwire Co., 2018 Term Loan B, 7.18% (1 mo. USD Term SOFR + 1.75%), due 05/19/25(b) | 99,844 | |
49,872 | SRS Distribution, Inc., 2021 Term Loan B, TBD, due 06/02/28(c) | 50,225 | |
149,603 | Titan Acquisition Ltd., 2018 Term Loan B, 8.44% (1 mo. USD Term SOFR + 3.00%), due 03/28/25(b) | 149,603 | |
199,497 | TransDigm, Inc., 2023 Term Loan I, 8.57% (3 mo. USD Term SOFR + 3.25%), due 08/24/28(b) | 200,129 | |
199,491 | UKG, Inc., 2024 Term Loan B, 8.81% (3 mo. USD Term SOFR + 3.50%), due 02/10/31(b) | 200,587 | |
150,000 | United Airlines, Inc., 2024 Term Loan B, 8.08% (3 mo. USD Term SOFR + 2.75%), due 02/15/31(b) | 150,387 | |
99,488 | Verscend Holding Corp., 2021 Term Loan B, 9.44% (1 mo. USD Term SOFR + 4.00%), due 08/27/25(b) | 99,577 | |
3,161,516 | |||
Corporate Debt — 38.2% | |||
26,000 | 7-Eleven, Inc., 0.95%, due 02/10/26 144A | 24,036 | |
16,000 | AbbVie, Inc., 4.80%, due 03/15/27 | 16,022 | |
23,000 | AbbVie, Inc., 4.80%, due 03/15/29 | 23,046 | |
49,000 | AEP Texas, Inc., 3.85%, due 10/01/25 144A | 47,468 | |
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26 | 140,134 | |
100,000 | AES Corp., 3.30%, due 07/15/25 144A | 96,936 | |
28,000 | AES Corp., 5.45%, due 06/01/28 | 27,958 | |
28,000 | Aflac, Inc., 1.13%, due 03/15/26 | 25,953 | |
5,000 | AGCO Corp., 5.45%, due 03/21/27 | 5,025 | |
48,000 | Alabama Power Co., 3.75%, due 09/01/27 | 46,247 | |
19,000 | Albemarle Corp., 4.65%, due 06/01/27 | 18,655 | |
23,000 | Ameren Corp., 5.70%, due 12/01/26 | 23,312 | |
12,000 | Ameren Illinois Co., 3.80%, due 05/15/28 | 11,631 | |
67,450 | American Airlines Pass-Through Trust, 3.20%, due 12/15/29 | 62,055 | |
229,000 | American Electric Power Co., Inc., 5.20%, due 01/15/29 | 229,671 | |
14,000 | American Express Co., 4.99% (SOFR + 1.00%), due 05/01/26(b) | 13,921 | |
7,000 | American Express Co., 5.10% (SOFR + 1.00%), due 02/16/28(b) | 6,992 | |
23,000 | American Express Co., 5.39% (SOFR + 0.97%), due 07/28/27(b) | 23,085 | |
13,000 | American Honda Finance Corp., 1.30%, due 09/09/26 | 11,914 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
15,000 | American Honda Finance Corp., 4.95%, due 01/09/26 | 14,971 | |
18,000 | American Honda Finance Corp., 5.80%, due 10/03/25 | 18,154 | |
200,000 | American Tower Corp., 2.75%, due 01/15/27 | 187,370 | |
25,000 | American Tower Corp., 3.65%, due 03/15/27 | 23,973 | |
7,000 | American Tower Corp., 5.25%, due 07/15/28 | 7,004 | |
17,000 | Ameriprise Financial, Inc., 3.00%, due 04/02/25 | 16,612 | |
37,000 | Amgen, Inc., 3.20%, due 11/02/27 | 34,948 | |
44,000 | Amgen, Inc., 5.25%, due 03/02/25 | 43,879 | |
17,000 | Analog Devices, Inc., 2.95%, due 04/01/25 | 16,617 | |
7,000 | Aon North America, Inc., 5.13%, due 03/01/27 | 7,044 | |
14,000 | Aon North America, Inc., 5.15%, due 03/01/29 | 14,087 | |
12,000 | Apple, Inc., 1.13%, due 05/11/25 | 11,494 | |
31,000 | Apple, Inc., 3.25%, due 02/23/26 | 30,147 | |
19,000 | Aquarion Co., 4.00%, due 08/15/24 144A | 18,830 | |
153,000 | Astrazeneca Finance LLC, 4.80%, due 02/26/27 | 152,985 | |
38,000 | AT&T, Inc., 1.70%, due 03/25/26 | 35,545 | |
24,000 | Athene Global Funding, 5.68%, due 02/23/26 144A | 24,101 | |
29,000 | Avangrid, Inc., 3.20%, due 04/15/25 | 28,263 | |
51,000 | Aviation Capital Group LLC, 5.50%, due 12/15/24 144A | 50,817 | |
20,000 | Aviation Capital Group LLC, 6.38%, due 07/15/30 144A | 20,609 | |
34,000 | Avnet, Inc., 6.25%, due 03/15/28 | 34,852 | |
200,000 | Avolon Holdings Funding Ltd., 2.13%, due 02/21/26 144A | 186,421 | |
27,000 | Avolon Holdings Funding Ltd., 2.53%, due 11/18/27 144A | 24,028 | |
25,000 | Baker Hughes Holdings LLC/Baker Hughes Co.-Obligor, Inc., 2.06%, due 12/15/26 | 23,110 | |
100,000 | Ball Corp., 6.88%, due 03/15/28 | 102,732 | |
48,000 | Bank of America Corp., 0.98% (SOFR + 0.69%), due 04/22/25(b) | 47,858 | |
250,000 | Bank of America Corp., 1.32% (SOFR + 1.15%), due 06/19/26(b) | 237,714 | |
13,000 | Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(b) | 12,114 | |
46,000 | Bank of America Corp., 1.73% (SOFR + 0.96%), due 07/22/27(b) | 42,419 | |
34,000 | Bank of America Corp., 2.02% (3 mo. USD Term SOFR + 0.90%), due 02/13/26(b) | 32,945 | |
8,000 | Bank of America Corp., 3.42% (3 mo. USD Term SOFR + 1.30%), due 12/20/28(b) | 7,507 | |
7,000 | Bank of America Corp., 3.71% (3 mo. USD Term SOFR + 1.77%), due 04/24/28(b) | 6,700 | |
22,000 | Bank of America Corp., 4.38% (SOFR + 1.58%), due 04/27/28(b) | 21,485 | |
150,000 | Bank of America Corp., 4.83% (SOFR + 1.75%), due 07/22/26(b) | 148,702 | |
24,000 | Bank of America Corp., 5.20% (SOFR + 1.63%), due 04/25/29(b) | 24,030 | |
300,000 | Bank of America Corp., 5.93% (SOFR + 1.34%), due 09/15/27(b) | 304,091 | |
44,000 | Bank of Montreal, 5.30%, due 06/05/26 | 44,131 | |
47,000 | Bank of New York Mellon Corp., 3.43% (SOFR + 0.57%), due 06/13/25(b) | 46,729 | |
14,000 | Bank of New York Mellon Corp., 4.41% (SOFR + 1.35%), due 07/24/26(b) | 13,835 | |
19,000 | Bank of New York Mellon Corp., 4.95% (SOFR + 1.03%), due 04/26/27(b) | 18,918 | |
11,000 | Bank of New York Mellon Corp., 4.98% (SOFR + 1.09%), due 03/14/30(b) | 11,014 | |
48,000 | Bank of Nova Scotia, 0.70%, due 04/15/24 | 47,916 | |
32,000 | Bank of Nova Scotia, 1.45%, due 01/10/25 | 31,033 | |
19,000 | Bank of Nova Scotia, 3.45%, due 04/11/25 | 18,629 | |
31,000 | Becton Dickinson & Co., 4.69%, due 02/13/28 | 30,697 | |
30,000 | BHP Billiton Finance USA Ltd., 5.25%, due 09/08/26 | 30,187 | |
24,000 | Black Hills Corp., 1.04%, due 08/23/24 | 23,575 | |
14,000 | Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A | 12,190 | |
8,000 | Blackstone Holdings Finance Co. LLC, 2.50%, due 01/10/30 144A | 6,954 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
23,000 | Blackstone Holdings Finance Co. LLC, 5.90%, due 11/03/27 144A | 23,609 | |
12,000 | Blue Owl Credit Income Corp., 7.75%, due 09/16/27 | 12,301 | |
36,000 | BMW U.S. Capital LLC, 0.80%, due 04/01/24 144A | 36,000 | |
28,000 | BMW U.S. Capital LLC, 1.25%, due 08/12/26 144A | 25,680 | |
34,000 | BMW U.S. Capital LLC, 3.25%, due 04/01/25 144A | 33,336 | |
202,000 | Booz Allen Hamilton, Inc., 3.88%, due 09/01/28 144A | 189,438 | |
5,000 | Booz Allen Hamilton, Inc., 4.00%, due 07/01/29 144A | 4,653 | |
200,000 | Boston Properties LP, 2.75%, due 10/01/26 | 186,384 | |
27,000 | Boston Scientific Corp., 1.90%, due 06/01/25 | 25,949 | |
36,000 | Bristol-Myers Squibb Co., 0.75%, due 11/13/25 | 33,653 | |
9,000 | Bristol-Myers Squibb Co., 4.90%, due 02/22/27 | 9,023 | |
11,000 | Bristol-Myers Squibb Co., 4.90%, due 02/22/29 | 11,054 | |
58,777 | British Airways Pass-Through Trust, 3.35%, due 12/15/30 144A | 54,172 | |
101,546 | British Airways Pass-Through Trust, 4.63%, due 12/20/25 144A | 101,314 | |
32,000 | Broadcom, Inc., 3.46%, due 09/15/26 | 30,799 | |
35,000 | Brookfield Finance, Inc., 4.00%, due 04/01/24 | 35,000 | |
200,000 | Brooklyn Union Gas Co., 4.63%, due 08/05/27 144A | 194,290 | |
40,000 | Bunge Ltd. Finance Corp., 1.63%, due 08/17/25 | 37,903 | |
100,000 | Campbell Soup Co., 5.30%, due 03/20/26 | 100,117 | |
40,000 | Canadian Natural Resources Ltd., 2.05%, due 07/15/25 | 38,281 | |
21,000 | Capital One Financial Corp., 1.88% (SOFR + 0.86%), due 11/02/27(b) | 19,217 | |
31,000 | Capital One Financial Corp., 4.17% (SOFR + 1.37%), due 05/09/25(b) | 30,937 | |
24,000 | Capital One Financial Corp., 5.47% (SOFR + 2.08%), due 02/01/29(b) | 23,930 | |
23,000 | Capital One Financial Corp., 5.70% (SOFR + 1.91%), due 02/01/30(b) | 23,201 | |
10,000 | Cardinal Health, Inc., 5.13%, due 02/15/29 | 10,024 | |
12,000 | Cargill, Inc., 3.50%, due 04/22/25 144A | 11,787 | |
15,000 | Cargill, Inc., 3.63%, due 04/22/27 144A | 14,453 | |
23,000 | Charles Schwab Corp., 5.88%, due 08/24/26 | 23,389 | |
17,000 | Charles Schwab Corp., 6.20% (SOFR + 1.88%), due 11/17/29(b) | 17,678 | |
185,000 | Charles Schwab Corp., 6.41% (SOFR + 1.05%), due 03/03/27(b) | 185,623 | |
100,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.75%, due 02/15/28 | 92,795 | |
8,000 | Cigna Group, 1.25%, due 03/15/26 | 7,414 | |
19,000 | Cigna Group, 5.00%, due 05/15/29 | 19,036 | |
103,000 | Cisco Systems, Inc., 4.80%, due 02/26/27 | 103,199 | |
7,000 | Cisco Systems, Inc., 4.85%, due 02/26/29 | 7,055 | |
34,000 | Citigroup, Inc., 0.98% (SOFR + 0.67%), due 05/01/25(b) | 33,852 | |
210,000 | Citigroup, Inc., 1.46% (SOFR + 0.77%), due 06/09/27(b) | 192,936 | |
250,000 | Citigroup, Inc., 5.61% (SOFR + 1.55%), due 09/29/26(b) | 250,460 | |
10,000 | CNH Industrial Capital LLC, 5.10%, due 04/20/29 | 9,976 | |
21,000 | Comcast Corp., 4.55%, due 01/15/29 | 20,841 | |
23,000 | Comcast Corp., 5.25%, due 11/07/25 | 23,099 | |
7,000 | Concentrix Corp., 6.60%, due 08/02/28 | 7,084 | |
15,000 | Connecticut Light & Power Co., 4.65%, due 01/01/29 | 14,841 | |
23,000 | Consumers Energy Co., 4.90%, due 02/15/29 | 23,092 | |
250,000 | Consumers Securitization Funding LLC, 5.55%, due 03/01/28 | 250,810 | |
25,000 | Corebridge Financial, Inc., 3.65%, due 04/05/27 | 23,881 | |
36,000 | Corebridge Global Funding, 0.90%, due 09/22/25 144A | 33,686 | |
150,000 | Crown Castle, Inc., 5.60%, due 06/01/29 | 152,057 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
19,000 | CSL Finance PLC, 3.85%, due 04/27/27 144A | 18,357 | |
5,000 | Cummins, Inc., 4.90%, due 02/20/29 | 5,032 | |
175,000 | CVS Health Corp., 1.30%, due 08/21/27 | 155,163 | |
12,307 | Delta Air Lines Pass-Through Trust, 2.50%, due 12/10/29 | 11,084 | |
24,000 | Delta Air Lines Pass-Through Trust, 3.40%, due 10/25/25 | 23,930 | |
175,000 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/25 144A | 173,255 | |
17,000 | Discover Financial Services, 3.95%, due 11/06/24 | 16,809 | |
31,000 | DTE Energy Co., 4.22%, due 11/01/24(d) | 30,719 | |
18,000 | DTE Energy Co., 5.10%, due 03/01/29 | 17,936 | |
126,073 | Duke Energy Florida Project Finance LLC, 2.54%, due 09/01/31 | 116,799 | |
33,000 | Ecolab, Inc., 1.65%, due 02/01/27 | 30,245 | |
27,000 | Ecolab, Inc., 2.70%, due 11/01/26 | 25,652 | |
24,000 | EIDP, Inc., 4.50%, due 05/15/26 | 23,731 | |
41,000 | Element Fleet Management Corp., 3.85%, due 06/15/25 144A | 40,045 | |
113,000 | Element Fleet Management Corp., 5.64%, due 03/13/27 144A | 113,386 | |
31,000 | Elevance Health, Inc., 3.50%, due 08/15/24 | 30,754 | |
24,000 | Eli Lilly & Co., 4.50%, due 02/09/27 | 23,939 | |
150,000 | Energy Transfer LP, 5.55%, due 02/15/28 | 152,254 | |
23,000 | Entergy Corp., 0.90%, due 09/15/25 | 21,568 | |
39,000 | Entergy Louisiana LLC, 0.95%, due 10/01/24 | 38,122 | |
33,000 | Equinix, Inc., 1.25%, due 07/15/25 | 31,228 | |
20,000 | ERAC USA Finance LLC, 5.00%, due 02/15/29 144A | 20,045 | |
190,000 | Essex Portfolio LP, 3.63%, due 05/01/27 | 181,097 | |
20,000 | Eversource Energy, 2.90%, due 03/01/27 | 18,809 | |
31,000 | Eversource Energy, 4.75%, due 05/15/26 | 30,689 | |
9,000 | Exelon Corp., 5.15%, due 03/15/29 | 9,024 | |
200,000 | Extra Space Storage LP, 3.88%, due 12/15/27 | 190,094 | |
24,000 | Fiserv, Inc., 2.75%, due 07/01/24 | 23,823 | |
175,000 | Fiserv, Inc., 3.20%, due 07/01/26 | 167,856 | |
8,000 | Fiserv, Inc., 5.15%, due 03/15/27 | 8,032 | |
30,000 | Fiserv, Inc., 5.45%, due 03/02/28 | 30,366 | |
100,000 | Flex Ltd., 6.00%, due 01/15/28 | 101,853 | |
14,000 | Florida Power & Light Co., 4.40%, due 05/15/28 | 13,863 | |
200,000 | Ford Motor Credit Co. LLC, 3.38%, due 11/13/25 | 192,507 | |
20,000 | GATX Corp., 5.40%, due 03/15/27 | 20,148 | |
100,000 | GE HealthCare Technologies, Inc., 5.60%, due 11/15/25 | 100,371 | |
14,000 | General Dynamics Corp., 3.25%, due 04/01/25 | 13,733 | |
22,000 | General Motors Financial Co., Inc., 3.80%, due 04/07/25 | 21,606 | |
28,000 | General Motors Financial Co., Inc., 5.25%, due 03/01/26 | 27,926 | |
19,000 | General Motors Financial Co., Inc., 5.40%, due 04/06/26 | 19,013 | |
17,000 | General Motors Financial Co., Inc., 5.40%, due 05/08/27 | 17,050 | |
24,000 | Georgia Power Co., 5.00%, due 02/23/27 | 24,041 | |
35,000 | Georgia-Pacific LLC, 1.75%, due 09/30/25 144A | 33,233 | |
18,000 | Global Payments, Inc., 1.20%, due 03/01/26 | 16,657 | |
10,000 | Goldman Sachs Bank USA, 5.28% (SOFR + 0.78%), due 03/18/27(b) | 9,998 | |
10,000 | Goldman Sachs BDC, Inc., 6.38%, due 03/11/27 | 10,079 | |
218,000 | Goldman Sachs Group, Inc., 2.64% (SOFR + 1.11%), due 02/24/28(b) | 203,099 | |
350,000 | Goldman Sachs Group, Inc., 5.80% (SOFR + 1.08%), due 08/10/26(b) | 351,226 | |
16,000 | Goldman Sachs Group, Inc., 5.84% (SOFR + 0.49%), due 10/21/24(b) | 16,011 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
36,000 | Graphic Packaging International LLC, 0.82%, due 04/15/24 144A | 35,933 | |
17,000 | Hanover Insurance Group, Inc., 4.50%, due 04/15/26 | 16,699 | |
116,000 | HEICO Corp., 5.25%, due 08/01/28 | 116,758 | |
14,000 | Home Depot, Inc., 2.70%, due 04/15/25 | 13,654 | |
30,000 | Home Depot, Inc., 4.95%, due 09/30/26 | 30,057 | |
35,000 | Honda Motor Co. Ltd., 2.53%, due 03/10/27 | 32,817 | |
24,000 | Honeywell International, Inc., 4.88%, due 09/01/29 | 24,174 | |
15,000 | HP, Inc., 2.20%, due 06/17/25 | 14,443 | |
30,000 | Humana, Inc., 5.75%, due 03/01/28 | 30,666 | |
250,000 | Huntington National Bank, 6.54% (SOFR + 1.19%), due 05/16/25(b) | 250,016 | |
31,000 | Hyundai Capital America, 1.30%, due 01/08/26 144A | 28,830 | |
11,000 | Hyundai Capital America, 5.65%, due 06/26/26 144A | 11,039 | |
12,000 | Hyundai Capital America, 5.95%, due 09/21/26 144A | 12,143 | |
21,000 | Hyundai Capital America, 6.25%, due 11/03/25 144A | 21,223 | |
100,000 | Infor, Inc., 1.75%, due 07/15/25 144A | 94,730 | |
29,000 | Intel Corp., 3.75%, due 08/05/27 | 28,050 | |
46,000 | Intel Corp., 4.88%, due 02/10/26 | 45,871 | |
17,000 | International Business Machines Corp., 6.50%, due 01/15/28 | 18,098 | |
24,000 | Interstate Power & Light Co., 3.25%, due 12/01/24 | 23,637 | |
46,000 | Intuit, Inc., 5.25%, due 09/15/26 | 46,441 | |
7,000 | IPALCO Enterprises, Inc., 3.70%, due 09/01/24 | 6,999 | |
200,000 | IQVIA, Inc., 5.70%, due 05/15/28(e) | 203,024 | |
100,000 | J M Smucker Co., 5.90%, due 11/15/28 | 103,751 | |
24,000 | John Deere Capital Corp., 2.05%, due 01/09/25 | 23,424 | |
12,000 | John Deere Capital Corp., 2.13%, due 03/07/25 | 11,669 | |
13,000 | John Deere Capital Corp., 2.35%, due 03/08/27 | 12,141 | |
35,000 | John Deere Capital Corp., 4.85%, due 03/05/27 | 35,028 | |
11,000 | John Deere Capital Corp., 4.95%, due 07/14/28 | 11,090 | |
24,000 | JPMorgan Chase & Co., 0.82% (3 mo. USD Term SOFR + 0.54%), due 06/01/25(b) | 23,793 | |
39,000 | JPMorgan Chase & Co., 0.97% (3 mo. USD Term SOFR + 0.58%), due 06/23/25(b) | 38,549 | |
234,000 | JPMorgan Chase & Co., 1.47% (SOFR + 0.77%), due 09/22/27(b) | 213,565 | |
26,000 | JPMorgan Chase & Co., 1.58% (SOFR + 0.89%), due 04/22/27(b) | 24,110 | |
38,000 | JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(b) | 33,719 | |
57,000 | JPMorgan Chase & Co., 2.08% (SOFR + 1.85%), due 04/22/26(b) | 54,937 | |
7,000 | JPMorgan Chase & Co., 2.30% (SOFR + 1.16%), due 10/15/25(b) | 6,878 | |
10,000 | JPMorgan Chase & Co., 2.60% (SOFR + 0.92%), due 02/24/26(b) | 9,744 | |
30,000 | JPMorgan Chase & Co., 2.95% (SOFR + 1.17%), due 02/24/28(b) | 28,197 | |
37,000 | JPMorgan Chase & Co., 3.51% (3 mo. USD Term SOFR + 1.21%), due 01/23/29(b) | 35,009 | |
5,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD Term SOFR + 1.51%), due 01/29/27(b) | 4,883 | |
23,000 | JPMorgan Chase & Co., 5.01% (SOFR + 1.31%), due 01/23/30(b) | 22,915 | |
30,000 | JPMorgan Chase & Co., 5.04% (SOFR + 1.19%), due 01/23/28(b) | 29,906 | |
12,000 | JPMorgan Chase & Co., 5.30% (SOFR + 1.45%), due 07/24/29(b) | 12,094 | |
228,000 | JPMorgan Chase & Co., 5.55% (SOFR + 1.07%), due 12/15/25(b) | 227,897 | |
330,000 | JPMorgan Chase & Co., 6.07% (SOFR + 1.33%), due 10/22/27(b) | 336,803 | |
16,000 | Kenvue, Inc., 5.50%, due 03/22/25 | 16,034 | |
4,000 | Keurig Dr Pepper, Inc., 5.05%, due 03/15/29 | 4,013 | |
28,000 | Kinder Morgan, Inc., 1.75%, due 11/15/26 | 25,700 | |
100,000 | Kyndryl Holdings, Inc., 2.05%, due 10/15/26 | 91,642 | |
11,000 | L3Harris Technologies, Inc., 5.40%, due 01/15/27 | 11,083 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
150,000 | Lennox International, Inc., 5.50%, due 09/15/28 | 152,141 | |
14,000 | Liberty Utilities Co., 5.58%, due 01/31/29 144A | 14,086 | |
240,000 | Lloyds Banking Group PLC, 4.72% (1 yr. CMT + 1.75%), due 08/11/26(b) | 237,214 | |
200,000 | Lloyds Banking Group PLC, 5.46% (1 yr. CMT + 1.38%), due 01/05/28(b) | 200,109 | |
200,000 | Lloyds Banking Group PLC, 5.99% (1 yr. CMT + 1.48%), due 08/07/27(b) | 201,946 | |
18,000 | Lockheed Martin Corp., 5.10%, due 11/15/27 | 18,212 | |
15,000 | Lowe's Cos., Inc., 3.35%, due 04/01/27 | 14,336 | |
24,000 | Main Street Capital Corp., 6.95%, due 03/01/29 | 24,399 | |
3,000 | Marriott International, Inc., 4.88%, due 05/15/29 | 2,972 | |
150,000 | Marriott International, Inc., 5.55%, due 10/15/28 | 153,253 | |
31,000 | Meta Platforms, Inc., 3.50%, due 08/15/27 | 29,836 | |
150,000 | Metropolitan Life Global Funding I, 4.40%, due 06/30/27 144A | 146,877 | |
20,150 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, due 06/20/27 144A | 20,277 | |
6,000 | Mondelez International, Inc., 4.75%, due 02/20/29 | 5,963 | |
48,000 | Morgan Stanley, 0.79% (SOFR + 0.53%), due 05/30/25(b) | 47,557 | |
49,000 | Morgan Stanley, 1.16% (SOFR + 0.56%), due 10/21/25(b) | 47,717 | |
249,000 | Morgan Stanley, 1.51% (SOFR + 0.86%), due 07/20/27(b) | 228,584 | |
31,000 | Morgan Stanley, 1.59% (SOFR + 0.88%), due 05/04/27(b) | 28,680 | |
26,000 | Morgan Stanley, 2.48% (SOFR + 1.00%), due 01/21/28(b) | 24,192 | |
12,000 | Morgan Stanley, 2.72% (SOFR + 1.15%), due 07/22/25(b) | 11,880 | |
25,000 | Morgan Stanley, 3.13%, due 07/27/26 | 23,918 | |
219,000 | Morgan Stanley, 5.12% (SOFR + 1.73%), due 02/01/29(b) | 218,552 | |
24,000 | Morgan Stanley, 5.16% (SOFR + 1.59%), due 04/20/29(b) | 23,988 | |
31,000 | Morgan Stanley, 5.86% (SOFR + 0.51%), due 01/22/25(b) | 31,022 | |
150,000 | Morgan Stanley, 6.14% (SOFR + 1.77%), due 10/16/26(b) | 151,766 | |
28,000 | Morgan Stanley, 6.41% (SOFR + 1.83%), due 11/01/29(b) | 29,372 | |
7,000 | Motorola Solutions, Inc., 4.00%, due 09/01/24 | 6,943 | |
29,000 | National Rural Utilities Cooperative Finance Corp., 1.00%, due 10/18/24 | 28,286 | |
24,000 | National Rural Utilities Cooperative Finance Corp., 1.88%, due 02/07/25 | 23,309 | |
13,000 | National Rural Utilities Cooperative Finance Corp., 4.85%, due 02/07/29 | 13,000 | |
23,000 | National Rural Utilities Cooperative Finance Corp., 5.60%, due 11/13/26 | 23,327 | |
150,000 | Nestle Holdings, Inc., 4.13%, due 10/01/27 144A | 146,953 | |
100,000 | New York Life Global Funding, 4.85%, due 01/09/28 144A | 99,718 | |
18,000 | New York State Electric & Gas Corp., 5.65%, due 08/15/28 144A | 18,422 | |
21,000 | NextEra Energy Capital Holdings, Inc., 1.88%, due 01/15/27 | 19,235 | |
22,000 | NextEra Energy Capital Holdings, Inc., 1.90%, due 06/15/28 | 19,496 | |
19,000 | NextEra Energy Capital Holdings, Inc., 4.63%, due 07/15/27 | 18,743 | |
12,000 | NextEra Energy Capital Holdings, Inc., 4.90%, due 02/28/28 | 11,968 | |
125,000 | NextEra Energy Operating Partners LP, 7.25%, due 01/15/29 144A | 128,042 | |
23,000 | Niagara Mohawk Power Corp., 1.96%, due 06/27/30 144A | 19,003 | |
33,000 | NiSource, Inc., 0.95%, due 08/15/25 | 31,069 | |
23,000 | Northwestern Mutual Global Funding, 0.80%, due 01/14/26 144A | 21,350 | |
35,000 | NRG Energy, Inc., 3.75%, due 06/15/24 144A | 34,817 | |
20,000 | Nucor Corp., 2.00%, due 06/01/25 | 19,229 | |
200,000 | Nutrien Ltd., 3.00%, due 04/01/25 | 195,085 | |
7,000 | Nutrien Ltd., 4.90%, due 03/27/28 | 6,967 | |
40,000 | Old Republic International Corp., 4.88%, due 10/01/24 | 39,776 | |
28,000 | ONE Gas, Inc., 5.10%, due 04/01/29 | 28,204 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
33,000 | Oracle Corp., 1.65%, due 03/25/26 | 30,818 | |
19,000 | Oracle Corp., 2.50%, due 04/01/25 | 18,434 | |
32,000 | Oracle Corp., 2.65%, due 07/15/26 | 30,291 | |
21,000 | Ovintiv, Inc., 5.38%, due 01/01/26 | 20,928 | |
150,000 | Pacific Gas & Electric Co., 5.55%, due 05/15/29 | 151,358 | |
25,000 | Pacific Life Global Funding II, 1.20%, due 06/24/25 144A | 23,800 | |
18,000 | Pacific Life Global Funding II, 1.38%, due 04/14/26 144A | 16,664 | |
150,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.40%, due 07/01/27 144A | 146,106 | |
27,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.35%, due 01/12/27 144A | 27,033 | |
30,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.05%, due 08/01/28 144A | 30,886 | |
135,000 | Pepsico Singapore Financing I Pte. Ltd., 5.91% (SOFR + 0.56%), due 02/16/27(b) | 135,074 | |
31,000 | PepsiCo, Inc., 3.60%, due 02/18/28 | 29,960 | |
14,000 | PepsiCo, Inc., 5.25%, due 11/10/25 | 14,085 | |
247,000 | Pfizer Investment Enterprises Pte. Ltd., 4.45%, due 05/19/26 | 244,511 | |
9,000 | Philip Morris International, Inc., 4.88%, due 02/13/29 | 8,949 | |
21,000 | Phillips 66, 3.85%, due 04/09/25 | 20,686 | |
33,000 | Pioneer Natural Resources Co., 1.13%, due 01/15/26 | 30,727 | |
130,000 | PNC Financial Services Group, Inc., 5.30% (SOFR + 1.34%), due 01/21/28(b) | 130,181 | |
180,000 | PNC Financial Services Group, Inc., 6.62% (SOFR + 1.73%), due 10/20/27(b) | 185,369 | |
21,000 | Principal Life Global Funding II, 5.10%, due 01/25/29 144A | 20,968 | |
16,000 | Prologis LP, 4.88%, due 06/15/28 | 16,026 | |
5,000 | Prologis Targeted U.S. Logistics Fund LP, 5.25%, due 04/01/29 144A | 4,989 | |
235,000 | Prudential Insurance Co. of America, 8.30%, due 07/01/25 144A | 241,189 | |
23,000 | Public Service Enterprise Group, Inc., 0.80%, due 08/15/25 | 21,623 | |
11,000 | Public Service Enterprise Group, Inc., 5.85%, due 11/15/27 | 11,271 | |
100,000 | Public Service Enterprise Group, Inc., 5.88%, due 10/15/28 | 103,015 | |
16,000 | Public Storage Operating Co., 5.13%, due 01/15/29(e) | 16,273 | |
150,000 | Regal Rexnord Corp., 6.05%, due 02/15/26 144A | 150,854 | |
36,000 | Republic Services, Inc., 2.50%, due 08/15/24 | 35,578 | |
20,000 | Rogers Communications, Inc., 5.00%, due 02/15/29 | 19,869 | |
28,000 | Ross Stores, Inc., 4.60%, due 04/15/25 | 27,745 | |
21,000 | Royal Bank of Canada, 1.15%, due 07/14/26 | 19,239 | |
32,000 | Royal Bank of Canada, 1.60%, due 01/21/25 | 31,046 | |
14,000 | Royal Bank of Canada, 4.95%, due 02/01/29 | 14,042 | |
30,000 | Royal Bank of Canada, 5.20%, due 07/20/26 | 30,107 | |
16,000 | RTX Corp., 5.00%, due 02/27/26 | 15,966 | |
125,000 | RTX Corp., 5.75%, due 11/08/26 | 126,956 | |
30,000 | Ryder System, Inc., 5.25%, due 06/01/28 | 30,153 | |
16,000 | Ryder System, Inc., 5.38%, due 03/15/29 | 16,145 | |
33,000 | S&P Global, Inc., 2.45%, due 03/01/27 | 30,897 | |
26,000 | S&P Global, Inc., 2.70%, due 03/01/29 | 23,634 | |
200,000 | Santander Holdings USA, Inc., 4.26% (SOFR + 1.38%), due 06/09/25(b) | 198,866 | |
14,000 | Schlumberger Investment SA, 4.50%, due 05/15/28 | 13,943 | |
7,000 | Sempra, 5.40%, due 08/01/26 | 7,023 | |
31,000 | Sixth Street Specialty Lending, Inc., 3.88%, due 11/01/24 | 30,616 | |
25,000 | Smith & Nephew Plc, 5.15%, due 03/20/27 | 25,003 | |
25,000 | Solventum Corp., 5.45%, due 02/25/27 144A | 25,093 | |
250,000 | Southern California Gas Co., 2.95%, due 04/15/27 | 235,965 | |
8,000 | Southern Co., 5.50%, due 03/15/29 | 8,156 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
27,000 | Southern Co. Gas Capital Corp., 3.25%, due 06/15/26 | 25,873 | |
200,000 | Spectra Energy Partners LP, 3.38%, due 10/15/26 | 191,529 | |
24,000 | Sprint Capital Corp., 6.88%, due 11/15/28 | 25,594 | |
160,000 | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 5.15%, due 09/20/29 144A | 159,667 | |
22,000 | State Street Corp., 5.68% (SOFR + 1.48%), due 11/21/29(b) | 22,602 | |
12,000 | Stryker Corp., 3.65%, due 03/07/28 | 11,490 | |
200,000 | Sumitomo Mitsui Financial Group, Inc., 2.70%, due 07/16/24 | 198,374 | |
32,000 | Sumitomo Mitsui Trust Bank Ltd., 0.80%, due 09/16/24 144A | 31,320 | |
200,000 | Suntory Holdings Ltd., 2.25%, due 10/16/24 144A | 196,179 | |
31,000 | Take-Two Interactive Software, Inc., 3.55%, due 04/14/25 | 30,419 | |
18,000 | Tampa Electric Co., 4.90%, due 03/01/29 | 18,029 | |
100,000 | Targa Resources Corp., 6.15%, due 03/01/29 | 104,252 | |
64,000 | Teledyne Technologies, Inc., 0.95%, due 04/01/24 | 64,000 | |
30,000 | Thermo Fisher Scientific, Inc., 5.00%, due 12/05/26 | 30,131 | |
12,000 | T-Mobile USA, Inc., 2.25%, due 02/15/26 | 11,363 | |
175,000 | T-Mobile USA, Inc., 2.63%, due 04/15/26 | 166,342 | |
29,000 | T-Mobile USA, Inc., 3.75%, due 04/15/27 | 27,937 | |
16,000 | T-Mobile USA, Inc., 4.95%, due 03/15/28 | 15,968 | |
29,000 | Toll Brothers Finance Corp., 4.35%, due 02/15/28 | 28,046 | |
32,000 | Toronto-Dominion Bank, 0.70%, due 09/10/24 | 31,342 | |
42,000 | Toronto-Dominion Bank, 1.15%, due 06/12/25 | 40,017 | |
32,000 | Toronto-Dominion Bank, 1.45%, due 01/10/25 | 31,041 | |
31,000 | Toronto-Dominion Bank, 3.77%, due 06/06/25 | 30,460 | |
20,000 | Toronto-Dominion Bank, 4.98%, due 04/05/27 | 19,977 | |
34,000 | Toronto-Dominion Bank, 5.53%, due 07/17/26 | 34,310 | |
16,000 | Toyota Motor Credit Corp., 4.63%, due 01/12/28 | 15,942 | |
25,000 | Toyota Motor Credit Corp., Series B, 5.00%, due 03/19/27 | 25,085 | |
30,000 | Toyota Motor Credit Corp., 5.40%, due 11/20/26 | 30,357 | |
32,000 | Toyota Motor Credit Corp., 5.60%, due 09/11/25 | 32,224 | |
24,000 | Trans-Allegheny Interstate Line Co., 3.85%, due 06/01/25 144A | 23,515 | |
20,000 | TransCanada PipeLines Ltd., 1.00%, due 10/12/24 | 19,502 | |
48,000 | Triton Container International Ltd., 1.15%, due 06/07/24 144A | 47,573 | |
18,000 | Truist Financial Corp., 1.27% (SOFR + 0.61%), due 03/02/27(b) | 16,645 | |
22,000 | Truist Financial Corp., 1.89% (SOFR + 0.86%), due 06/07/29(b) | 19,106 | |
17,000 | Truist Financial Corp., 4.26% (SOFR + 1.46%), due 07/28/26(b)(e) | 16,729 | |
28,000 | Truist Financial Corp., 5.44% (SOFR + 1.62%), due 01/24/30(b) | 27,975 | |
200,000 | Truist Financial Corp., 5.76% (SOFR + 0.40%), due 06/09/25(b) | 199,541 | |
7,000 | Tyson Foods, Inc., 5.40%, due 03/15/29 | 7,065 | |
4,758 | U.S. Airways Pass-Through Trust, 5.90%, due 04/01/26 | 4,750 | |
220,000 | U.S. Bancorp, 2.22% (SOFR + 0.73%), due 01/27/28(b) | 202,987 | |
119,000 | U.S. Bancorp, 5.38% (SOFR + 1.56%), due 01/23/30(b) | 119,556 | |
16,000 | U.S. Bancorp, 5.78% (SOFR + 2.02%), due 06/12/29(b) | 16,284 | |
400,000 | UBS Group AG, 4.49% (1 yr. CMT + 1.55%), due 05/12/26(b) 144A | 394,424 | |
245,000 | UBS Group AG, 4.70% (1 yr. CMT + 2.05%), due 08/05/27(b) 144A | 240,472 | |
5,391 | United Airlines Pass-Through Trust, 5.88%, due 04/15/29 | 5,378 | |
17,000 | UnitedHealth Group, Inc., 2.38%, due 08/15/24 | 16,808 | |
23,000 | UnitedHealth Group, Inc., 2.95%, due 10/15/27 | 21,650 | |
24,000 | UnitedHealth Group, Inc., 3.38%, due 04/15/27 | 23,102 |
Par Value(a) | Description | Value ($) | |
Corporate Debt — continued | |||
250,000 | Ventas Realty LP, 3.85%, due 04/01/27 | 239,841 | |
232,000 | Veralto Corp., 5.50%, due 09/18/26 144A | 232,990 | |
31,000 | Verizon Communications, Inc., 0.85%, due 11/20/25 | 28,904 | |
100,000 | Verizon Communications, Inc., 2.10%, due 03/22/28 | 90,061 | |
19,000 | Verizon Communications, Inc., 3.50%, due 11/01/24 | 18,765 | |
37,000 | Viatris, Inc., 1.65%, due 06/22/25 | 35,196 | |
150,000 | VICI Properties LP, 4.75%, due 02/15/28 | 146,415 | |
24,000 | VMware LLC, 1.00%, due 08/15/24 | 23,581 | |
28,000 | VMware LLC, 1.40%, due 08/15/26 | 25,578 | |
19,000 | Walmart, Inc., 3.95%, due 09/09/27 | 18,675 | |
33,000 | Walmart, Inc., 4.00%, due 04/15/26 | 32,579 | |
127,000 | Warnermedia Holdings, Inc., 3.76%, due 03/15/27 | 121,234 | |
28,000 | Waste Management, Inc., 4.88%, due 02/15/29 | 28,279 | |
250,000 | WEA Finance LLC/Westfield U.K. & Europe Finance PLC, 3.75%, due 09/17/24 144A | 246,761 | |
40,000 | WEC Energy Group, Inc., 4.75%, due 01/09/26 | 39,648 | |
5,000 | WEC Energy Group, Inc., 5.00%, due 09/27/25 | 4,973 | |
7,000 | WEC Energy Group, Inc., 5.15%, due 10/01/27 | 7,015 | |
250,000 | WEC Energy Group, Inc., 5.60%, due 09/12/26 | 252,949 | |
10,000 | Wells Fargo & Co., 2.16% (3 mo. USD Term SOFR + 1.01%), due 02/11/26(b) | 9,703 | |
25,000 | Wells Fargo & Co., 2.88% (3 mo. USD Term SOFR + 1.43%), due 10/30/30(b) | 22,108 | |
222,000 | Wells Fargo & Co., 3.53% (SOFR + 1.51%), due 03/24/28(b) | 211,364 | |
112,000 | Wells Fargo & Co., 4.54% (SOFR + 1.56%), due 08/15/26(b) | 110,600 | |
12,000 | Wells Fargo & Co., 5.57% (SOFR + 1.74%), due 07/25/29(b) | 12,146 | |
200,000 | Westpac Banking Corp., 5.54%, due 11/17/28 | 205,698 | |
46,000 | Williams Cos., Inc., 4.55%, due 06/24/24 | 45,881 | |
15,000 | Workday, Inc., 3.50%, due 04/01/27 | 14,367 | |
196,000 | WRKCo, Inc., 3.75%, due 03/15/25 | 192,701 | |
44,000 | WW Grainger, Inc., 1.85%, due 02/15/25 | 42,709 | |
21,000 | Zoetis, Inc., 5.40%, due 11/14/25 | 21,035 | |
22,984,058 | |||
Mortgage Backed Securities - Private Issuers — 9.3% | |||
196,988 | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 6.29% (1 mo. USD Term SOFR + 0.96%), due 11/15/38(b) 144A | 195,180 | |
156,386 | BX Commercial Mortgage Trust, Series 2021-XL2, Class A, 6.13% (1 mo. USD Term SOFR + 0.80%), due 10/15/38(b) 144A | 155,315 | |
187,693 | BX Trust, Series 2021-BXMF, Class A, 6.08% (1 mo. USD Term SOFR + 0.75%), due 10/15/26(b) 144A | 185,944 | |
183,407 | BX Trust, Series 2021-RISE, Class A, 6.19% (1 mo. USD Term SOFR + 0.86%), due 11/15/36(b) 144A | 182,160 | |
200,000 | BX Trust, Series 2022-LBA6, Class A, 6.33% (1 mo. USD Term SOFR + 1.00%), due 01/15/39(b) 144A | 199,091 | |
200,000 | BX Trust, Series 2022-VAMF, Class A, 6.18% (1 mo. USD Term SOFR + 0.85%), due 01/15/39(b) 144A | 198,401 | |
150,000 | BX Trust, Series 2024-BIO, Class A, 6.97% (1 mo. USD Term SOFR + 1.64%), due 02/15/41(b) 144A | 150,626 | |
250,000 | Citigroup Commercial Mortgage Trust, Series 2016-GC36, Class A4, 3.35%, due 02/10/49 | 239,104 | |
142,544 | Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3, 3.44%, due 04/14/50 | 135,423 | |
50,000 | COMM Mortgage Trust, Series 2015-CR26, Class A4, 3.63%, due 10/10/48 | 48,444 |
Par Value(a) | Description | Value ($) | |
Mortgage Backed Securities - Private Issuers — continued | |||
182,851 | Extended Stay America Trust, Series 2021-ESH, Class A, 6.52% (1 mo. USD Term SOFR + 1.19%), due 07/15/38(b) 144A | 182,911 | |
331,582 | Federal National Mortgage Association REMICS, Series 2006-83, Class FG, 5.93% (SOFR 30-day average + 0.61%), due 09/25/36(b) | 328,764 | |
351,323 | Government National Mortgage Association REMICS, Series 2016-H07, Class FK, 6.44% (1 mo. USD Term SOFR + 1.11%), due 03/20/66(b) | 351,494 | |
425,357 | Government National Mortgage Association REMICS, Series 2016-H16, Class FE, 6.11% (1 yr. USD Term SOFR + 1.10%), due 06/20/66(b) | 424,979 | |
18,468 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class A5, 4.08%, due 02/15/47 | 18,420 | |
112,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A5, 3.67%, due 11/15/47 | 109,959 | |
200,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4, 3.49%, due 01/15/48 | 196,361 | |
250,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4, 3.23%, due 10/15/48 | 243,476 | |
196,594 | Life Mortgage Trust, Series 2021-BMR, Class A, 6.14% (1 mo. USD Term SOFR + 0.81%), due 03/15/38(b) 144A | 194,528 | |
182,323 | MHP Trust, Series 2022-MHIL, Class A, 6.14% (1 mo. USD Term SOFR + 0.81%), due 01/15/27(b) 144A | 180,861 | |
240,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A4, 3.25%, due 10/15/48 | 233,800 | |
400,000 | SMRT Commercial Mortgage Trust, Series 2022-MINI, Class A, 6.33% (1 mo. USD Term SOFR + 1.00%), due 01/15/39(b) 144A | 397,816 | |
140,000 | THPT Mortgage Trust, Series 2023-THL, Class A, 6.99%, due 12/10/34(f) 144A | 143,415 | |
167,913 | TTAN, Series 2021-MHC, Class A, 6.29% (1 mo. USD Term SOFR + 0.96%), due 03/15/38(b) 144A | 167,754 | |
227,483 | UBS Commercial Mortgage Trust, Series 2017-C7, Class A3, 3.42%, due 12/15/50 | 214,636 | |
245,000 | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class A5, 3.68%, due 08/15/47 | 242,832 | |
250,000 | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class A5, 3.63%, due 11/15/47 | 246,060 | |
5,567,754 | |||
Mortgage Backed Securities - U.S. Government Agency Obligations — 3.4% | |||
412,261 | Federal Home Loan Mortgage Corp., Pool # G18575, 3.00%, due 11/01/30 | 392,771 | |
155,006 | Federal Home Loan Mortgage Corp., Pool # G18622, 2.50%, due 12/01/31 | 144,723 | |
135,934 | Federal Home Loan Mortgage Corp., Pool # SB0935, 3.00%, due 07/01/33 | 128,492 | |
492,241 | Federal Home Loan Mortgage Corp., Pool # SB1024, 3.50%, due 02/01/34 | 473,233 | |
437,199 | Federal National Mortgage Association, Pool # BM3919, 3.00%, due 02/01/33 | 413,152 | |
266,389 | Federal National Mortgage Association, Pool # MA3097, 3.50%, due 08/01/27 | 260,262 | |
215,433 | Federal National Mortgage Association, Pool # MA4637, 3.00%, due 06/01/32 | 203,551 | |
2,016,184 | |||
U.S. Government and Agency Obligations — 20.1% | |||
755,000 | U.S. Treasury Notes, 2.88%, due 04/30/25 | 738,307 | |
800,000 | U.S. Treasury Notes, 3.88%, due 11/30/27 | 787,203 | |
700,000 | U.S. Treasury Notes, 4.00%, due 01/15/27 | 691,715 | |
450,000 | U.S. Treasury Notes, 4.13%, due 07/31/28 | 447,267 | |
980,000 | U.S. Treasury Notes, 4.25%, due 12/31/25 | 972,038 | |
3,710,000 | U.S. Treasury Notes, 4.25%, due 03/15/27 | 3,693,189 | |
66,900 | U.S. Treasury Notes, 4.25%, due 02/28/29 | 66,999 | |
1,000,000 | U.S. Treasury Notes, 4.38%, due 11/30/28 | 1,005,449 |
Par Value(a) | Description | Value ($) | |
U.S. Government and Agency Obligations — continued | |||
991,000 | U.S. Treasury Notes, 4.50%, due 03/31/26(g) | 988,561 | |
59,000 | U.S. Treasury Notes, 4.63%, due 02/28/26 | 58,956 | |
2,650,000 | U.S. Treasury Notes, 4.63%, due 10/15/26 | 2,657,971 | |
12,107,655 | |||
TOTAL DEBT OBLIGATIONS (COST $57,568,423) | 57,799,591 | ||
SHORT-TERM INVESTMENT — 0.2% | |||
Mutual Fund - Securities Lending Collateral — 0.2% | |||
140,013 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(h)(i) | 140,013 | |
TOTAL SHORT-TERM INVESTMENT (COST $140,013) | 140,013 | ||
TOTAL INVESTMENTS — 96.4% (Cost $57,708,436) | 57,939,604 | ||
Other Assets and Liabilities (net) — 3.6% | 2,164,774 | ||
NET ASSETS — 100.0% | $60,104,378 |
Notes to Schedule of Investments: | |
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
(b) | Variable or floating rate note. Rate shown is as of March 31, 2024. |
(c) | 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. |
(d) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. The rate shown is the rate in effect at March 31, 2024. |
(e) | All or a portion of this security is out on loan. |
(f) | 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. |
(g) | When-issued security. |
(h) | The rate disclosed is the 7-day net yield as of March 31, 2024. |
(i) | Represents an investment of securities lending cash collateral. |
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $14,682,659 which represents 24.4% of net assets. |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
Buys | ||||
30 | U.S. Treasury Note 2-Year | Jun 2024 | $6,134,531 | $(2,005 ) |
Number of Contracts | Description | Expiration Date | Notional Value | Market Value/ Unrealized Appreciation (Depreciation) |
1 | U.S. Ultra 10-Year | Jun 2024 | $114,610 | $418 |
$(1,587 ) | ||||
Sales | ||||
19 | U.S. Treasury Note 5-Year | Jun 2024 | $2,033,297 | $(5,709 ) |
Currency Abbreviations | ||
USD | — | U.S. Dollar |
Abbreviations | ||
CLO | — | Collateralized Loan Obligation |
CMT | — | Constant Maturity Treasury Index |
SOFR | — | Secured Overnight Financing Rate |
TBD | — | To Be Determined |
Asset Class Summary (Unaudited) | % of Net Assets |
Corporate Debt | 38.2 |
U.S. Government and Agency Obligations | 20.1 |
Asset Backed Securities | 19.9 |
Mortgage Backed Securities - Private Issuers | 9.3 |
Bank Loans | 5.3 |
Mortgage Backed Securities - U.S. Government Agency Obligations | 3.4 |
Futures Contracts | 0.0* |
Short-Term Investment | 0.2 |
Other Assets and Liabilities (net) | 3.6 |
100.0% |
* | Amount rounds to zero. |
Mercer US Small/Mid Cap Equity Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | Mercer Non-US Core Equity Fund | |
Assets | ||||
Investments, at value(a)(b) | 1,728,671,761 | 1,035,780,323 | 790,717,885 | 3,862,051,964 |
Foreign currency, at value(c) | — | 14,460,585 | 2,934,842 | 9,670,534 |
Cash and cash equivalents | 74,772,203 | 120,016,006 | 32,479,929 | 124,489,800 |
Receivable for investments sold | 6,239,026 | 121,092,511 | 19,772,366 | 15,830,647 |
Receivable for Fund shares sold | 222 | 4,600,429 | 48,266 | 850,435 |
Dividend and interest receivable | 1,077,165 | 4,070,761 | 1,304,433 | 18,579,076 |
Cash collateral held at broker on open futures contracts | 2,638,000 | 3,075,000 | 624,000 | 3,586,000 |
Receivable for variation margin on open futures contracts | 146,844 | 378,186 | — | — |
Foreign tax reclaims receivable | — | 41,077 | 1,193,315 | 9,609,429 |
Securities lending income receivable | 5,209 | 11,802 | 4,803 | 249,302 |
Prepaid expenses | 8,551 | 8,161 | 5,883 | 19,206 |
Receivable from affiliate for advisory fee waived | 1,905,181 | 1,454,271 | 1,198,221 | 3,414,991 |
Total assets | 1,815,464,162 | 1,304,989,112 | 850,283,943 | 4,048,351,384 |
Liabilities | ||||
Foreign currency overdraft, at value(c) | 4,037 | — | — | — |
Payable for investments purchased | 5,821,615 | 914,703 | 235,665 | 19,012,569 |
Obligation to return securities lending collateral | 7,104,368 | 7,756,324 | 14,584,436 | 183,426,775 |
Payable for Fund shares repurchased | 4,718,439 | — | 147,381 | 2,501,300 |
Payable for foreign capital gains tax | — | 3,485,236 | — | 114,253 |
Payable to affiliates for: | ||||
Accrued advisory fees | 3,578,885 | 2,683,595 | 1,776,198 | 6,393,504 |
Trustees fees | 35,298 | 25,943 | 16,823 | 75,202 |
Administrative service fees - Class I | 3,197* | 428* | 2,352* | 70,456 |
Payable for variation margin on open futures contracts | — | — | 6,706 | 247,441 |
Accrued expenses | 293,827 | 527,631 | 262,376 | 696,560 |
Total liabilities | 21,559,666 | 15,393,860 | 17,031,937 | 212,538,060 |
Net assets | $1,793,904,496 | $1,289,595,252 | $833,252,006 | $3,835,813,324 |
Mercer US Small/Mid Cap Equity Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | Mercer Non-US Core Equity Fund | |
Net assets consist of: | ||||
Paid-in capital | 1,399,234,860 | $1,637,308,752 | $583,140,287 | $3,256,470,878 |
Distributable earnings (Accumulated loss) | 394,669,636 | (347,713,500 ) | 250,111,719 | 579,342,446 |
Net assets | $1,793,904,496 | $1,289,595,252 | $833,252,006 | $3,835,813,324 |
Net assets attributable to: | ||||
Class Y-3 | $1,781,436,172 | $1,288,384,175 | $826,477,931 | $3,627,146,191 |
Class I | $12,468,324* | $1,211,077* | $6,774,075* | $208,667,133 |
Shares outstanding: | ||||
Class Y-3 | 149,733,808 | 171,721,504 | 57,563,984 | 324,879,854 |
Class I | 1,048,816* | 161,497* | 472,646* | 18,735,402 |
Net asset value per unit: | ||||
Class Y-3 | $11.90 | $7.50 | $14.36 | $11.16 |
Class I | $11.89* | $7.50* | $14.33* | $11.14 |
(a) Investments, at cost | $1,365,478,304 | $1,085,472,192 | $655,683,029 | $3,307,967,389 |
(b) Securities loaned, at value | $37,697,831 | $21,039,068 | $18,516,264 | $243,829,327 |
(c) Foreign currency, at cost | $(4,061 ) | $14,460,479 | $2,943,506 | $9,712,063 |
* | The Class commenced operations on June 27, 2023. |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Short Duration Fixed Income Fund# | |
Assets | |||
Investments, at value(a)(b) | 1,862,998,473 | 1,681,862,049 | 57,939,604 |
Foreign currency, at value(c) | 154,565 | 15,141,226 | — |
Cash and cash equivalents | 22,117,536 | 28,176,151 | 1,593,716 |
Receivable for investments sold | 3,837,276 | 76,043,534 | 3,310,514 |
Receivable for TBA sold | 14,205,525 | — | — |
Receivable for Fund shares sold | 2,931,957 | 1,138,103 | 149,307 |
Dividend and interest receivable | 13,429,251 | 25,828,036 | 450,740 |
Cash collateral held at broker on open centrally cleared swap contracts | — | 11,158,343 | — |
Cash collateral held at broker on open futures contracts | 152,000 | 6,604,430 | 34,573 |
Cash collateral held at broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | — | 2,078,491 | — |
Unrealized appreciation on open forward foreign currency contracts | 134,438 | 4,735,768 | — |
Receivable for variation margin on open futures contracts | — | 1,279,008 | — |
Receivable for expenses reimbursed | — | — | 122,779 |
OTC — Swap contracts, at value (up-front net premiums paid of $—, $552,651 and $—, respectively) | — | 689,394 | — |
Receivable for variation margin on open centrally cleared swap contracts | 6,709 | 11,058 | — |
Foreign tax reclaims receivable | 3,310 | 243,258 | — |
Receivable for swap contract premiums | — | 10,047 | — |
Securities lending income receivable | 9,637 | 43,838 | 507 |
Prepaid expenses | 8,715 | 7,487 | 55,665 |
Receivable from affiliate for advisory fee waived | 978,355 | 1,749,889 | 30,069 |
Unrealized gain on unfunded loan commitments | — | 5,253 | — |
Total assets | 1,920,967,747 | 1,856,805,363 | 63,687,474 |
Liabilities | |||
Payable for investments purchased | 15,970,608 | 21,391,219 | 2,340,299 |
Payable for TBA and/or when-issued securities purchased | 24,918,969 | 4,772,875 | 989,281 |
Obligation to return securities lending collateral | 17,039,610 | 38,046,847 | 140,013 |
Payable for Fund shares repurchased | 69,846 | 1,673,726 | — |
Unrealized depreciation on open forward foreign currency contracts | 42,089 | 4,265,162 | — |
OTC — Swap contracts, at value (up-front net premiums received of $—, $19,195 and $—, respectively) | — | 350,286 | — |
Payable for variation margin on open centrally cleared swap | — | 72,234 | — |
Cash collateral due to broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | — | 1,148,416 | — |
Payable for foreign capital gains tax | — | 158,108 | — |
Written options, at value(d) | — | 3,878 | — |
TBA Sale Commitments, at value(e) | 2,925,151 | — | — |
Payable to affiliates for: | |||
Accrued advisory fees | 1,368,072 | 3,216,576 | 47,478 |
Trustees fees | 37,043 | 35,994 | 1,197 |
Administrative service fees - Class I | 17,246 | 1,982* | — |
Payable for variation margin on open futures contracts | 120,911 | — | — |
Interest payable on TBA securities | 2,569 | — | — |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Short Duration Fixed Income Fund# | |
Accrued expenses | 331,698 | 461,953 | 64,828 |
Total liabilities | 62,843,812 | 75,599,256 | 3,583,096 |
Net assets | $1,858,123,935 | $1,781,206,107 | $60,104,378 |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Short Duration Fixed Income Fund# | |
Net assets consist of: | |||
Paid-in capital | $2,073,793,239 | $1,909,319,979 | $59,725,218 |
Distributable earnings (Accumulated loss) | (215,669,304 ) | (128,113,872 ) | 379,160 |
Net assets | $1,858,123,935 | $1,781,206,107 | $60,104,378 |
Net assets attributable to: | |||
Class Y-3 | $1,807,859,634 | $1,776,017,743 | $60,104,378 |
Class I | $50,264,301 | $5,188,364* | $— |
Shares outstanding: | |||
Class Y-3 | 202,683,602 | 210,600,949 | 5,984,748 |
Class I | 5,637,258 | 615,945* | — |
Net asset value per unit: | |||
Class Y-3 | $8.92 | $8.43 | $10.04 |
Class I | $8.92 | $8.42* | $— |
(a) Investments, at cost | $1,953,872,783 | $1,694,032,294 | $57,708,436 |
(b) Securities loaned, at value | $38,221,778 | $44,599,072 | $136,771 |
(c) Foreign currency, at cost | $155,726 | $15,343,192 | $— |
(d) Premiums on written options | $— | $30,451 | $— |
(e) Proceeds for TBA Sale Commitments | $2,947,266 | $— | $— |
# | The Fund commenced operations on December 1, 2023. |
* | The Class commenced operations on June 27, 2023. |
Mercer US Small/Mid Cap Equity Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | Mercer Non-US Core Equity Fund | |
Investment Income: | ||||
Dividends | $19,587,052 | $43,450,682 | $19,725,031 | $129,743,139 |
Interest | 2,509,344 | 2,738,648 | 1,094,184 | 6,194,886 |
Withholding taxes | (12,204 ) | (5,205,073 ) | (949,225 ) | (13,278,724 ) |
Securities lending income | 61,239 | 278,181 | 49,168 | 810,114 |
Other income | 92,534 | — | — | 1,974 |
Total investment income | 22,237,965 | 41,262,438 | 19,919,158 | 123,471,389 |
Expenses: | ||||
Advisory fees | 14,003,538 | 11,521,319 | 7,772,832 | 25,195,608 |
Custodian and fund accounting fees | 331,713 | 776,565 | 268,152 | 888,536 |
Audit and tax fees | 52,360 | 73,645 | 57,213 | 48,661 |
Transfer agent fees | 40,465 | 51,938 | 46,667 | 60,151 |
Legal fees | 235,404 | 202,234 | 145,923 | 471,647 |
Trustees fees | 140,301 | 131,127 | 91,699 | 319,698 |
Registration fees | 34,787 | 41,646 | 29,384 | 55,058 |
Administration service fees: | ||||
Class I | 7,551* | 1,049* | 5,796* | 249,390 |
Shareholder service fees: | ||||
Class I | 5,034* | 699* | 3,864* | 166,260 |
Miscellaneous | 121,868 | 119,424 | 91,656 | 301,251 |
Total expenses | 14,973,021 | 12,919,646 | 8,513,186 | 27,756,260 |
Advisory fee waiver | (7,467,264 ) | (5,854,997 ) | (5,113,736 ) | (13,521,701 ) |
Net expenses | 7,505,757 | 7,064,649 | 3,399,450 | 14,234,559 |
Net investment income | 14,732,208 | 34,197,789 | 16,519,708 | 109,236,830 |
Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 76,699,688 | (77,635,048 ) | 99,958,557 | 46,783,314 |
Closed futures contracts | 10,367,766 | 5,263,249 | 4,824,171 | 17,970,002 |
Foreign currency related transactions | (94 ) | (1,956,023 ) | (92,112 ) | (2,567,775 ) |
Net realized gain (loss) | 87,067,360 | (74,327,822 ) | 104,690,616 | 62,185,541 |
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | 225,764,049 | 64,479,067 | 48,535,629 | 448,405,253 |
Open futures contracts | (127,352 ) | (1,462,028 ) | (829,136 ) | (4,453,156 ) |
Foreign currency related transactions | 14 | (2,943,733 ) | (27,950 ) | 46,791 |
Change in net unrealized appreciation (depreciation) | 225,636,711 | 60,073,306 | 47,678,543 | 443,998,888 |
Net realized and unrealized gain (loss) | 312,704,071 | (14,254,516 ) | 152,369,159 | 506,184,429 |
Net increase in net assets resulting from operations | $327,436,279 | $19,943,273 | $168,888,867 | $615,421,259 |
* | The Class commenced operations on June 27, 2023. |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Short Duration Fixed Income Fund# | |
Investment Income: | |||
Dividends | $— | $768,269 | $— |
Interest | 70,634,533 | 110,249,127 | 1,136,781 |
Withholding taxes | (230 ) | (369,945 ) | (149 ) |
Securities lending income | 157,326 | 363,668 | 989 |
Other income | 7,903 | 770 | — |
Total investment income | 70,799,532 | 111,011,889 | 1,137,621 |
Expenses: | |||
Advisory fees | 5,279,382 | 11,382,894 | 66,724 |
Initial offering fee | — | — | 19,238 |
Custodian and fund accounting fees | 378,159 | 639,176 | 15,947 |
Audit and tax fees | 82,912 | 91,592 | 45,620 |
Transfer agent fees | 54,459 | 47,829 | 8,476 |
Legal fees | 228,620 | 195,100 | 10,569 |
Trustees fees | 147,712 | 130,959 | 2,624 |
Registration fees | 31,614 | 49,390 | 50,703 |
Administration service fees: | |||
Class I | 73,567 | 5,967* | — |
Shareholder service fees: | |||
Class I | 49,045 | 3,978* | — |
Tax expense | — | 355 | — |
Miscellaneous | 98,712 | 85,396 | 21,448 |
Total expenses | 6,424,182 | 12,632,636 | 241,349 |
Advisory fee waiver | (3,792,681 ) | (6,244,178 ) | (41,948 ) |
Expense reimbursement | — | — | (154,918 ) |
Net expenses | 2,631,501 | 6,388,458 | 44,483 |
Net investment income | 68,168,031 | 104,623,431 | 1,093,138 |
Realized and Unrealized Gain (Loss): | |||
Net realized gain (loss) on: | |||
Investments | (51,925,010 ) | (24,858,330 ) | 258,984 |
Purchased option contracts | (425 ) | (2,450,786 ) | — |
Swap contracts | (52,824 ) | 237,622 | — |
Closed futures contracts | 1,329,393 | (15,905,762 ) | (36,631 ) |
Written option contracts | — | 609,094 | — |
Forward foreign currency contracts | 65,864 | (6,348,729 ) | — |
Foreign currency related transactions | 1,268 | 648,004 | — |
Net realized gain (loss) | (50,581,734 ) | (48,068,887 ) | 222,353 |
Change in net unrealized appreciation (depreciation) on: | |||
Investments | 27,724,308 | 54,502,936 | 231,168 |
Purchased option contracts | — | 174,173 | — |
Unfunded loan commitments | — | 8,212 | — |
TBA sale commitments | 38,776 | — | — |
Swap contracts | (339,241 ) | (490,670 ) | — |
Open futures contracts | 446,784 | (4,481,622 ) | (7,296 ) |
Written option contracts | — | (108,280 ) | — |
Forward foreign currency contracts | 313,366 | 1,317,827 | — |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Short Duration Fixed Income Fund# | |
Foreign currency related transactions | (14,140 ) | (377,524 ) | — |
Change in net unrealized appreciation (depreciation) | 28,169,853 | 50,545,052 | 223,872 |
Net realized and unrealized gain (loss) | (22,411,881 ) | 2,476,165 | 446,225 |
Net increase in net assets resulting from operations | $45,756,150 | $107,099,596 | $1,539,363 |
# | The Fund commenced operations on December 1, 2023. |
* | The Class commenced operations on June 27, 2023. |
Mercer US Small/Mid Cap Equity Fund | Mercer Emerging Markets Equity Fund | |||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2024 | Year Ended March 31, 2023 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $14,732,208 | $17,301,286 | $34,197,789 | $44,895,803 |
Net realized gain (loss) | 87,067,360 | 27,304,736 | (74,327,822 ) | (174,765,659 ) |
Change in net unrealized appreciation (depreciation) | 225,636,711 | (159,382,832 ) | 60,073,306 | (37,502,514 ) |
Net increase (decrease) in net assets resulting from operations | 327,436,279 | (114,776,810 ) | 19,943,273 | (167,372,370 ) |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (59,320,377 ) | (122,025,720 ) | (34,591,171 ) | (36,473,175 ) |
Class I | (263,781 )* | — | (24,210 )* | — |
Total distributions | (59,584,158 ) | (122,025,720 ) | (34,615,381 ) | (36,473,175 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | (144,189,994 ) | 121,333,893 | (278,697,417 ) | 149,003,245 |
Class I | 11,411,696* | — | 1,212,826* | — |
Increase (decrease) in net assets resulting from net shares transactions | (132,778,298 ) | 121,333,893 | (277,484,591 ) | 149,003,245 |
Net increase (decrease) in net assets | 135,073,823 | (115,468,637 ) | (292,156,699 ) | (54,842,300 ) |
Net assets: | ||||
Beginning of year | 1,658,830,673 | 1,774,299,310 | 1,581,751,951 | 1,636,594,251 |
End of year | $1,793,904,496 | $1,658,830,673 | $1,289,595,252 | $1,581,751,951 |
* | The Class commenced operations on June 27, 2023. |
Mercer Global Low Volatility Equity Fund | Mercer Non-US Core Equity Fund | |||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2024 | Year Ended March 31, 2023 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $16,519,708 | $19,162,636 | $109,236,830 | $118,542,940 |
Net realized gain (loss) | 104,690,616 | 9,039,428 | 62,185,541 | (84,774,587 ) |
Change in net unrealized appreciation (depreciation) | 47,678,543 | (106,626,047 ) | 443,998,888 | (126,895,114 ) |
Net increase (decrease) in net assets resulting from operations | 168,888,867 | (78,423,983 ) | 615,421,259 | (93,126,761 ) |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (32,779,576 ) | (78,536,821 ) | (120,220,349 ) | (98,022,880 ) |
Class I | (192,069 )* | — | (6,002,327 ) | (3,469,767 ) |
Total distributions | (32,971,645 ) | (78,536,821 ) | (126,222,676 ) | (101,492,647 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | (446,060,347 ) | (104,197,421 ) | (388,611,554 ) | 65,130,852 |
Class I | 6,210,078* | — | 43,195,082 | 128,699,318 |
Increase (decrease) in net assets resulting from net shares transactions | (439,850,269 ) | (104,197,421 ) | (345,416,472 ) | 193,830,170 |
Net increase (decrease) in net assets | (303,933,047 ) | (261,158,225 ) | 143,782,111 | (789,238 ) |
Net assets: | ||||
Beginning of year | 1,137,185,053 | 1,398,343,278 | 3,692,031,213 | 3,692,820,451 |
End of year | $833,252,006 | $1,137,185,053 | $3,835,813,324 | $3,692,031,213 |
* | The Class commenced operations on June 27, 2023. |
Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | |||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2024 | Year Ended March 31, 2023 | |
Increase (decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $68,168,031 | $43,453,844 | $104,623,431 | $67,962,438 |
Net realized loss | (50,581,734 ) | (75,553,762 ) | (48,068,887 ) | (97,120,601 ) |
Change in net unrealized appreciation (depreciation) | 28,169,853 | (44,480,814 ) | 50,545,052 | 3,468,297 |
Net increase (decrease) in net assets resulting from operations | 45,756,150 | (76,580,732 ) | 107,099,596 | (25,689,866 ) |
Distributions to shareholders (See Note 2): | ||||
Class Y-3 | (59,141,553 ) | (39,902,531 ) | (90,725,929 ) | (42,956,028 ) |
Class I | (1,572,859 ) | (1,570,728 ) | (342,477 )* | — |
Total distributions | (60,714,412 ) | (41,473,259 ) | (91,068,406 ) | (42,956,028 ) |
Net share transactions (See Note 7): | ||||
Class Y-3 | 579,337,031 | (17,821,193 ) | 427,147,036 | 295,089,569 |
Class I | 1,353,280 | (38,390,375 ) | 5,248,961* | — |
Increase (decrease) in net assets resulting from net shares transactions | 580,690,311 | (56,211,568 ) | 432,395,997 | 295,089,569 |
Net increase (decrease) in net assets | 565,732,049 | (174,265,559 ) | 448,427,187 | 226,443,675 |
Net assets: | ||||
Beginning of year | 1,292,391,886 | 1,466,657,445 | 1,332,778,920 | 1,106,335,245 |
End of year | $1,858,123,935 | $1,292,391,886 | $1,781,206,107 | $1,332,778,920 |
* | The Class commenced operations on June 27, 2023. |
Mercer Short Duration Fixed Income Fund | |
Period Ended March 31, 2024# | |
Increase (decrease) in Net Assets: | |
Operations: | |
Net investment income | $1,093,138 |
Net realized gain | 222,353 |
Change in net unrealized appreciation | 223,872 |
Net increase in net assets resulting from operations | 1,539,363 |
Distributions to shareholders (See Note 2): | |
Class Y-3 | (1,160,203 ) |
Total distributions | (1,160,203 ) |
Net share transactions (See Note 7): | |
Class Y-3 | 59,725,218 |
Increase in net assets resulting from net shares transactions | 59,725,218 |
Net increase in net assets | 60,104,378 |
Net assets: | |
Beginning of period | — |
End of period | $60,104,378 |
# | The Fund commenced operations on December 1, 2023. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $10.16 | $11.80 | $13.83 | $7.71 | $10.13 |
Net investment income† | 0.10 | 0.11 | 0.09 | 0.07 | 0.10 |
Net realized and unrealized gain (loss) on investments | 2.05 | (0.93 ) | 0.49 | 6.38 | (2.20 ) |
Total from investment operations | 2.15 | (0.82 ) | 0.58 | 6.45 | (2.10 ) |
Less dividends and distributions: | |||||
From net investment income | (0.11 ) | (0.10 ) | (0.09 ) | (0.07 ) | (0.06 ) |
From net realized capital gains on investments | (0.30 ) | (0.72 ) | (2.52 ) | (0.26 ) | (0.26 ) |
Total dividends and distributions | (0.41 ) | (0.82 ) | (2.61 ) | (0.33 ) | (0.32 ) |
Net asset value, end of year | $11.90 | $10.16 | $11.80 | $13.83 | $7.71 |
Total investment return(a) | 21.61 % | (6.69 )% | 3.45 % | 84.20 % | (21.65 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 0.92 % | 1.05 % | 0.66 % | 0.68 % | 0.95 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.93 % | 0.92 % | 0.92 % | 0.93 % | 0.97 % |
Net expenses to average daily net assets(b) | 0.47 % | 0.45 % | 0.46 % | 0.46 % | 0.49 % |
Portfolio turnover rate | 44 % | 42 % | 36 % | 59 % | 73 %(c) |
Net assets at end of year (in 000’s) | $1,781,436 | $1,658,831 | $1,774,299 | $1,867,168 | $1,048,545 |
(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. |
Period Ended March 31, 2024 | |
For a Class I Share Outstanding Throughout The Period: | |
Net asset value, beginning of period | $10.32 (a) |
Net investment income† | 0.05 |
Net realized and unrealized gain (loss) on investments | 1.92 |
Total from investment operations | 1.97 |
Less dividends and distributions: | |
From net investment income | (0.10 ) |
From net realized capital gains on investments | (0.30 ) |
Total dividends and distributions | (0.40 ) |
Net asset value, end of period | $11.89 |
Total investment return(b) | 19.50 %* |
Ratios/Supplemental Data: | |
Net investment income to average net assets | 0.63 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.19 %** |
Net expenses to average daily net assets(c) | 0.72 %** |
Portfolio turnover rate | 44 % |
Net assets at end of period (in 000’s) | $12,468 |
(a) | The Class commenced operations on June 27, 2023. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the period shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $7.56 | $8.57 | $11.47 | $7.19 | $9.05 |
Net investment income† | 0.17 | 0.23 | 0.19 | 0.14 | 0.19 |
Net realized and unrealized gain (loss) on investments | (0.05 ) | (1.06 ) | (1.82 ) | 4.29 | (1.93 ) |
Total from investment operations | 0.12 | (0.83 ) | (1.63 ) | 4.43 | (1.74 ) |
Less dividends and distributions: | |||||
From net investment income | (0.18 ) | (0.18 ) | (0.32 ) | (0.15 ) | (0.12 ) |
From net realized capital gains on investments | — | — | (0.95 ) | — | — |
Total dividends and distributions | (0.18 ) | (0.18 ) | (1.27 ) | (0.15 ) | (0.12 ) |
Net asset value, end of year | $7.50 | $7.56 | $8.57 | $11.47 | $7.19 |
Total investment return(a) | 1.60 % | (9.51 )% | (15.35 )% | 61.78 % | (19.55 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 2.30 % | 3.04 % | 1.75 % | 1.47 % | 2.05 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.87 % | 0.87 % | 0.87 % | 0.87 % | 0.91 % |
Net expenses to average daily net assets(b) | 0.47 % | 0.49 % | 0.47 % | 0.48 % | 0.53 % |
Portfolio turnover rate | 57 % | 95 % | 51 % | 106 % | 81 %(c) |
Net assets at end of year (in 000’s) | $1,288,384 | $1,581,752 | $1,636,594 | $1,518,654 | $943,024 |
(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 $10,686,440 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
Period Ended March 31, 2024 | |
For a Class I Share Outstanding Throughout The Period: | |
Net asset value, beginning of period | $7.59 (a) |
Net investment income† | 0.08 |
Net realized and unrealized gain (loss) on investments | — (b) |
Total from investment operations | 0.08 |
Less dividends and distributions: | |
From net investment income | (0.17 ) |
Total dividends and distributions | (0.17 ) |
Net asset value, end of period | $7.50 |
Total investment return(c) | 1.10 %* |
Ratios/Supplemental Data: | |
Net investment income to average net assets | 1.38 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.13 %** |
Net expenses to average daily net assets(d) | 0.73 %** |
Portfolio turnover rate | 57 % |
Net assets at end of period (in 000’s) | $1,211 |
(a) | The Class commenced operations on June 27, 2023. |
(b) | Amount rounds to less than ($0.01) per share. |
(c) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the period shown. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $12.56 | $14.18 | $14.55 | $11.23 | $13.13 |
Net investment income† | 0.21 | 0.21 | 0.18 | 0.19 | 0.24 |
Net realized and unrealized gain (loss) on investments | 2.03 | (0.90 ) | 1.32 | 3.75 | (1.14 ) |
Total from investment operations | 2.24 | (0.69 ) | 1.50 | 3.94 | (0.90 ) |
Less dividends and distributions: | |||||
From net investment income | (0.26 ) | (0.18 ) | (0.21 ) | (0.21 ) | (0.17 ) |
From net realized capital gains on investments | (0.18 ) | (0.75 ) | (1.66 ) | (0.41 ) | (0.83 ) |
Total dividends and distributions | (0.44 ) | (0.93 ) | (1.87 ) | (0.62 ) | (1.00 ) |
Net asset value, end of year | $14.36 | $12.56 | $14.18 | $14.55 | $11.23 |
Total investment return(a) | 18.14 % | (4.53 )% | 9.95 % | 35.29 % | (8.16 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 1.58 % | 1.62 % | 1.18 % | 1.42 % | 1.75 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.81 % | 0.80 % | 0.80 % | 0.80 % | 0.82 % |
Net expenses to average daily net assets(b) | 0.32 % | 0.31 % | 0.31 % | 0.30 % | 0.31 % |
Portfolio turnover rate | 27 % | 29 % | 59 % | 54 % | 38 % |
Net assets at end of year (in 000’s) | $826,478 | $1,137,185 | $1,398,343 | $1,199,457 | $1,038,720 |
(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. |
Period Ended March 31, 2024 | |
For a Class I Share Outstanding Throughout The Period: | |
Net asset value, beginning of period | $12.87 (a) |
Net investment income† | 0.12 |
Net realized and unrealized gain (loss) on investments | 1.78 |
Total from investment operations | 1.90 |
Less dividends and distributions: | |
From net investment income | (0.26 ) |
From net realized capital gains on investments | (0.18 ) |
Total dividends and distributions | (0.44 ) |
Net asset value, end of period | $14.33 |
Total investment return(b) | 15.06 %* |
Ratios/Supplemental Data: | |
Net investment income to average net assets | 1.20 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.07 %** |
Net expenses to average daily net assets(c) | 0.58 %** |
Portfolio turnover rate | 27 % |
Net assets at end of period (in 000’s) | $6,774 |
(a) | The Class commenced operations on June 27, 2023. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the period shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $9.78 | $10.31 | $12.36 | $8.46 | $9.87 |
Net investment income† | 0.31 | 0.32 | 0.30 | 0.19 | 0.25 |
Net realized and unrealized gain (loss) on investments | 1.44 | (0.57 ) | (0.30 ) | 4.14 | (1.44 ) |
Total from investment operations | 1.75 | (0.25 ) | — | 4.33 | (1.19 ) |
Less dividends and distributions: | |||||
From net investment income | (0.37 ) | (0.05 ) | (0.35 ) | (0.18 ) | (0.22 ) |
From net realized capital gains on investments | — | (0.23 ) | (1.70 ) | (0.25 ) | — |
Total dividends and distributions | (0.37 ) | (0.28 ) | (2.05 ) | (0.43 ) | (0.22 ) |
Net asset value, end of year | $11.16 | $9.78 | $10.31 | $12.36 | $8.46 |
Total investment return(a) | 18.29 % | (2.17 )% | (1.07 )% | 51.42 % | (12.55 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 3.04 % | 3.51 % | 2.42 % | 1.78 % | 2.45 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.76 % | 0.76 % | 0.76 % | 0.76 % | 0.79 % |
Net expenses to average daily net assets(b) | 0.38 % | 0.38 % | 0.39 % | 0.39 % | 0.42 % |
Portfolio turnover rate | 43 % | 48 % | 57 % | 81 % | 74 %(c) |
Net assets at end of year (in 000’s) | $3,627,146 | $3,550,299 | $3,689,849 | $3,828,810 | $2,673,838 |
(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. |
Year Ended March 31, 2024 | 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 | $9.76 | $10.31 | $12.99 (a) |
Net investment income† | 0.28 | 0.23 | 0.17 |
Net realized and unrealized gain (loss) on investments | 1.45 | (0.51 ) | (0.82 ) |
Total from investment operations | 1.73 | (0.28 ) | (0.65 ) |
Less dividends and distributions: | |||
From net investment income | (0.35 ) | (0.04 ) | (0.33 ) |
From net realized capital gains on investments | — | (0.23 ) | (1.70 ) |
Total dividends and distributions | (0.35 ) | (0.27 ) | (2.03 ) |
Net asset value, end of year | $11.14 | $9.76 | $10.31 |
Total investment return(b) | 18.08 % | (2.47 )% | (5.97 )%* |
Ratios/Supplemental Data: | |||
Net investment income to average net assets | 2.73 % | 2.54 % | 2.00 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.01 % | 1.02 % | 1.01 %** |
Net expenses to average daily net assets(c) | 0.63 % | 0.63 % | 0.63 %** |
Portfolio turnover rate | 43 % | 48 % | 57 % |
Net assets at end of year (in 000’s) | $208,667 | $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. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $9.00 | $9.80 | $10.46 | $10.48 | $10.00 |
Net investment income† | 0.37 | 0.28 | 0.22 | 0.25 | 0.27 |
Net realized and unrealized gain (loss) on investments | (0.12 ) | (0.79 ) | (0.62 ) | 0.20 | 0.51 |
Total from investment operations | 0.25 | (0.51 ) | (0.40 ) | 0.45 | 0.78 |
Less dividends and distributions: | |||||
From net investment income | (0.33 ) | (0.29 ) | (0.22 ) | (0.25 ) | (0.30 ) |
From net realized capital gains on investments | — | — | (0.04 ) | (0.22 ) | — |
Total dividends and distributions | (0.33 ) | (0.29 ) | (0.26 ) | (0.47 ) | (0.30 ) |
Net asset value, end of year | $8.92 | $9.00 | $9.80 | $10.46 | $10.48 |
Total investment return(a) | 2.77 % | (5.20 )% | (4.01 )% | 4.23 % | 7.81 % |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 4.13 % | 3.08 % | 2.09 % | 2.33 % | 2.64 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.38 % | 0.39 % | 0.39 % | 0.40 % | 0.45 % |
Net expenses to average daily net assets(b) | 0.15 % | 0.15 % | 0.16 % | 0.15 % | 0.19 % |
Portfolio turnover rate(c) | 128 %(d) | 203 % | 131 % | 127 % | 158 % |
Net assets at end of year (in 000’s) | $1,807,860 | $1,242,702 | $1,371,901 | $1,255,952 | $950,017 |
(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 95%, 125%, 96%, 100% and 139% for the years ended March 31, 2024, March 31, 2023, March 31, 2022, March 31, 2021 and March 31, 2020, respectively. |
(d) | Portfolio turnover calculation does not include $192,237,977 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
Year Ended March 31, 2024 | 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 | $9.00 | $9.79 | $10.43 (a) |
Net investment income† | 0.34 | 0.25 | 0.03 |
Net realized and unrealized gain (loss) on investments | (0.12 ) | (0.78 ) | (0.67 ) |
Total from investment operations | 0.22 | (0.53 ) | (0.64 ) |
Less dividends and distributions: | |||
From net investment income | (0.30 ) | (0.26 ) | — |
Total dividends and distributions | (0.30 ) | (0.26 ) | — |
Net asset value, end of year | $8.92 | $9.00 | $9.79 |
Total investment return(b) | 2.50 % | (5.42 )% | (6.14 )%* |
Ratios/Supplemental Data: | |||
Net investment income to average net assets | 3.86 % | 2.77 % | 0.98 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.63 % | 0.64 % | 0.66 %** |
Net expenses to average daily net assets(c) | 0.40 % | 0.40 % | 0.42 %** |
Portfolio turnover rate(d) | 128 %(e) | 203 % | 131 % |
Net assets at end of year (in 000’s) | $50,264 | $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 95%, 125% and 96% for the years ended March 31, 2024, March 31, 2023 and period ended March 31, 2022, respectively. |
(e) | Portfolio turnover calculation does not include $192,237,977 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
* | Not annualized. |
** | Annualized. |
Year Ended March 31, 2024 | Year Ended March 31, 2023 | Year Ended March 31, 2022 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||
Net asset value, beginning of year | $8.35 | $8.93 | $9.58 | $8.45 | $9.08 |
Net investment income† | 0.60 | 0.50 | 0.42 | 0.46 | 0.44 |
Net realized and unrealized gain (loss) on investments | 0.02 | (0.78 ) | (0.74 ) | 1.00 | (0.85 ) |
Total from investment operations | 0.62 | (0.28 ) | (0.32 ) | 1.46 | (0.41 ) |
Less dividends and distributions: | |||||
From net investment income | (0.54 ) | (0.30 ) | (0.30 ) | (0.33 ) | (0.22 ) |
From net realized capital gains on investments | — | — | (0.03 ) | — | — |
Total dividends and distributions | (0.54 ) | (0.30 ) | (0.33 ) | (0.33 ) | (0.22 ) |
Net asset value, end of year | $8.43 | $8.35 | $8.93 | $9.58 | $8.45 |
Total investment return(a) | 7.54 % | (2.96 )% | (3.44 )% | 17.12 % | (4.72 )% |
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 7.12 % | 6.05 % | 4.35 % | 4.83 % | 4.74 % |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.86 % | 0.88 % | 0.90 % | 0.87 % | 0.92 % |
Net expenses to average daily net assets(b) | 0.43 % | 0.44 % | 0.45 % | 0.45 % | 0.43 % |
Portfolio turnover rate | 63 % | 66 % | 77 % | 117 %(c) | 148 %(d) |
Net assets at end of year (in 000’s) | $1,776,018 | $1,332,779 | $1,106,335 | $854,159 | $966,298 |
(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 $400,305,493 of securities transferred out of the Fund as part of in-kind redemptions. |
(d) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have remained the same for the year ended March 31, 2020. |
† | Computed using average shares outstanding throughout the year. |
Period Ended March 31, 2024 | |
For a Class I Share Outstanding Throughout The Period: | |
Net asset value, beginning of period | $8.49 (a) |
Net investment income† | 0.44 |
Net realized and unrealized gain (loss) on investments | 0.02 |
Total from investment operations | 0.46 |
Less dividends and distributions: | |
From net investment income | (0.53 ) |
Total dividends and distributions | (0.53 ) |
Net asset value, end of period | $8.42 |
Total investment return(b) | 5.53 %* |
Ratios/Supplemental Data: | |
Net investment income to average net assets | 6.97 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.11 %** |
Net expenses to average daily net assets(c) | 0.69 %** |
Portfolio turnover rate | 63 % |
Net assets at end of period (in 000’s) | $5,188 |
(a) | The Class commenced operations on June 27, 2023. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the period shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
Period Ended March 31, 2024 | |
For a Class Y-3 Share Outstanding Throughout the Period: | |
Net asset value, beginning of period | $10.00 (a) |
Net investment income† | 0.17 |
Net realized and unrealized gain (loss) on investments | 0.04 |
Total from investment operations | 0.21 |
Less dividends and distributions: | |
From net investment income | (0.17 ) |
Total dividends and distributions | (0.17 ) |
Net asset value, end of period | $10.04 |
Total investment return(b) | 2.15 %* |
Ratios/Supplemental Data: | |
Net investment income to average net assets | 4.91 %** |
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 1.09 %** |
Net expenses to average daily net assets(c) | 0.20 %** |
Portfolio turnover rate | 118 %* |
Net assets at end of period (in 000’s) | $60,104 |
(a) | The Fund commenced operations on December 1, 2023. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed/waived during the period shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the period. |
* | Not annualized. |
** | Annualized. |
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 | ||||
Basic Materials | $36,058,803 | $— | $— | $36,058,803 |
Communications | 46,552,736 | — | — | 46,552,736 |
Consumer, Cyclical | 277,519,319 | — | 0* | 277,519,319 |
Consumer, Non-cyclical | 388,876,671 | — | — | 388,876,671 |
Energy | 97,711,561 | — | — | 97,711,561 |
Financial | 273,030,682 | — | — | 273,030,682 |
Government | 1,742,130 | — | — | 1,742,130 |
Industrial | 381,078,434 | — | — | 381,078,434 |
Technology | 174,753,235 | — | — | 174,753,235 |
Utilities | 44,243,822 | — | — | 44,243,822 |
Total Common Stocks | 1,721,567,393 | — | — | 1,721,567,393 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 7,104,368 | — | — | 7,104,368 |
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 | $963,285 | $— | $— | $963,285 |
Total | $1,729,635,046 | $— | $— | $1,729,635,046 |
* | Represents one or more Level 3 securities at $0 value as of March 31, 2024. |
† | 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 | ||||
Brazil | $72,059,376 | $— | $— | $72,059,376 |
Canada | 7,540,445 | — | — | 7,540,445 |
Chile | 2,408,779 | — | — | 2,408,779 |
China | 240,309,654 | — | — | 240,309,654 |
Colombia | 2,752,691 | — | — | 2,752,691 |
Greece | 7,388,688 | — | — | 7,388,688 |
Hong Kong | 15,906,273 | — | — | 15,906,273 |
Hungary | 3,397,787 | — | — | 3,397,787 |
India | 155,995,016 | — | — | 155,995,016 |
Indonesia | 24,616,343 | — | — | 24,616,343 |
Italy | 10,283,531 | — | — | 10,283,531 |
Japan | 6,056,705 | — | — | 6,056,705 |
Kazakhstan | — | 0* | — | — |
Malaysia | 5,178,139 | — | — | 5,178,139 |
Mexico | 50,057,313 | — | 18,282 | 50,075,595 |
Mongolia | 4,265,612 | — | — | 4,265,612 |
Netherlands | 7,032,650 | — | — | 7,032,650 |
Peru | 1,451,507 | — | — | 1,451,507 |
Philippines | 9,671,971 | — | — | 9,671,971 |
Poland | 5,623,117 | — | — | 5,623,117 |
Portugal | 4,963,989 | — | — | 4,963,989 |
Russia | — | — | 446,123 | 446,123 |
Saudi Arabia | 5,610,697 | — | — | 5,610,697 |
South Africa | 20,071,218 | — | — | 20,071,218 |
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 | $80,101,260 | $— | $— | $80,101,260 |
Taiwan | 143,580,847 | — | — | 143,580,847 |
Thailand | 15,182,578 | 5,970,759 | — | 21,153,337 |
Turkey | 6,082,532 | — | — | 6,082,532 |
United Arab Emirates | 4,055,238 | — | — | 4,055,238 |
United Kingdom | 5,382,282 | — | — | 5,382,282 |
United States | 2,662,051 | — | — | 2,662,051 |
Vietnam | 1,764,650 | — | — | 1,764,650 |
Total Common Stocks | 921,452,939 | 5,970,759 | 464,405 | 927,888,103 |
Investment Companies | 92,968,990 | — | — | 92,968,990 |
Preferred Stocks | 7,166,906 | — | — | 7,166,906 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 7,756,324 | — | — | 7,756,324 |
Futures Contracts† | ||||
Buys | 946 | — | — | 946 |
Total | $1,029,346,105 | $5,970,759 | $464,405 | $1,035,781,269 |
* | Represents one or more Level 2 securities at $0 value as of March 31, 2024 |
† | 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 | $773,923,273 | $— | $— | $773,923,273 |
Preferred Stocks | 2,210,176 | — | — | 2,210,176 |
Warrant | — | — | 0* | — |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 14,584,436 | — | — | 14,584,436 |
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 | $130,081 | $— | $— | $130,081 |
Total | $790,847,966 | $— | $— | $790,847,966 |
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 | $(808 ) | $— | $— | $(808 ) |
Total | $(808 ) | $— | $— | $(808 ) |
* | Represents one or more Level 3 securities at $0 value as of March 31, 2024. |
† | 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 | $124,850,888 | $— | $— | $124,850,888 |
Austria | 19,964,168 | — | — | 19,964,168 |
Belgium | 7,552,728 | — | — | 7,552,728 |
Brazil | 46,103,232 | — | — | 46,103,232 |
Canada | 49,216,460 | — | — | 49,216,460 |
Chile | 618,828 | — | — | 618,828 |
China | 50,628,315 | — | — | 50,628,315 |
Denmark | 99,249,896 | — | — | 99,249,896 |
Egypt | 411,518 | — | — | 411,518 |
Finland | 36,413,931 | — | — | 36,413,931 |
France | 308,511,193 | — | — | 308,511,193 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Georgia | $2,961,265 | $— | $— | $2,961,265 |
Germany | 346,479,620 | — | — | 346,479,620 |
Greece | 2,518,076 | — | — | 2,518,076 |
Guatemala | 177,211 | — | — | 177,211 |
Hong Kong | 14,551,303 | — | — | 14,551,303 |
Hungary | 4,984,544 | — | — | 4,984,544 |
India | 2,916,811 | — | — | 2,916,811 |
Indonesia | 1,578,128 | — | — | 1,578,128 |
Ireland | 37,613,638 | — | — | 37,613,638 |
Israel | 21,271,713 | — | — | 21,271,713 |
Italy | 163,512,354 | — | — | 163,512,354 |
Japan | 830,729,710 | — | — | 830,729,710 |
Luxembourg | 9,181,702 | — | — | 9,181,702 |
Netherlands | 205,837,872 | — | — | 205,837,872 |
New Zealand | 764,449 | — | — | 764,449 |
Norway | 27,137,613 | — | — | 27,137,613 |
Portugal | 7,491,578 | — | — | 7,491,578 |
Russia | — | — | 209,483 | 209,483 |
Singapore | 16,931,968 | — | — | 16,931,968 |
South Africa | 7,100,754 | — | — | 7,100,754 |
South Korea | 42,256,245 | — | — | 42,256,245 |
Spain | 89,421,786 | — | — | 89,421,786 |
Sweden | 62,409,088 | — | — | 62,409,088 |
Switzerland | 221,386,621 | — | — | 221,386,621 |
Taiwan | 60,428,206 | — | — | 60,428,206 |
Thailand | 603,356 | — | — | 603,356 |
Turkey | 8,706,568 | — | — | 8,706,568 |
United Kingdom | 316,771,840 | — | — | 316,771,840 |
United States | 373,156,353 | — | — | 373,156,353 |
Total Common Stocks | 3,622,401,529 | — | 209,483 | 3,622,611,012 |
Investment Companies | 12,399,523 | — | — | 12,399,523 |
Preferred Stocks | 43,614,654 | — | — | 43,614,654 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 183,426,775 | — | — | 183,426,775 |
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 | $291,533 | $— | $— | $291,533 |
Total | $3,862,134,014 | $— | $209,483 | $3,862,343,497 |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Debt Obligations | $— | $1,827,281,223 | $— | $1,827,281,223 |
Common Stock | — | — | 26,796 | 26,796 |
Short-Term Investments | ||||
Mutual Fund - Securities Lending Collateral | 17,039,610 | — | — | 17,039,610 |
U.S. Government and Agency Obligation | — | 18,650,844 | — | 18,650,844 |
Total Short-Term Investments | 17,039,610 | 18,650,844 | — | 35,690,454 |
Forward Foreign Currency Contracts† | — | 134,438 | — | 134,438 |
Futures Contracts† | ||||
Buys | 47,701 | — | — | 47,701 |
Swaps | ||||
Centrally Cleared Interest Rate Swaps† | — | 7,488 | — | 7,488 |
Total | $17,087,311 | $1,846,073,993 | $26,796 | $1,863,188,100 |
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 | $— | $(2,925,151 ) | $— | $(2,925,151 ) |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Forward Foreign Currency Contracts† | $— | $(42,089 ) | $— | $(42,089 ) |
Futures Contracts† | ||||
Buys | (70,486 ) | — | — | (70,486 ) |
Sales | (261,200 ) | — | — | (261,200 ) |
Total Futures Contracts | (331,686 ) | — | — | (331,686 ) |
Swaps | ||||
Centrally Cleared Interest Rate Swaps† | — | (15,616 ) | — | (15,616 ) |
Total | $(331,686 ) | $(2,982,856 ) | $— | $(3,314,542 ) |
† | 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. |
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 | $— | $82,719,478 | $— | $82,719,478 |
Bank Loans | — | 203,161,585 | 1,146,530 | 204,308,115 |
Convertible Debt | — | 12,986,095 | — | 12,986,095 |
Corporate Debt | — | 642,603,956 | — | 642,603,956 |
Mortgage Backed Securities - Private Issuers | — | 102,670,224 | — | 102,670,224 |
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 169,516 | — | 169,516 |
Sovereign Debt Obligations | — | 567,286,712 | — | 567,286,712 |
U.S. Government and Agency Obligations | — | 14,761,679 | — | 14,761,679 |
Total Debt Obligations | — | 1,626,359,245 | 1,146,530 | 1,627,505,775 |
Common Stocks | ||||
Basic Materials | — | — | 210,767 | 210,767 |
Energy | 66 | — | — | 66 |
Total Common Stocks | 66 | — | 210,767 | 210,833 |
Preferred Stock | 887,775 | — | — | 887,775 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Short-Term Investments | ||||
Mutual Fund - Securities Lending Collateral | $38,046,847 | $— | $— | $38,046,847 |
Sovereign Debt Obligations | — | 11,998,033 | — | 11,998,033 |
U.S. Government and Agency Obligations | — | 3,176,696 | — | 3,176,696 |
Total Short-Term Investments | 38,046,847 | 15,174,729 | — | 53,221,576 |
Purchased Options | ||||
Purchased Currency Option | — | 2,625 | — | 2,625 |
Purchased Futures Options | 33,465 | — | — | 33,465 |
Total Purchased Options | 33,465 | 2,625 | — | 36,090 |
Forward Foreign Currency Contracts† | — | 4,735,768 | — | 4,735,768 |
Futures Contracts† | ||||
Buys | 1,438,504 | — | — | 1,438,504 |
Swaps | ||||
OTC Interest Rate Swaps | — | 291,419 | — | 291,419 |
Centrally Cleared Interest Rate Swaps† | — | 705,163 | — | 705,163 |
OTC Credit Default Swaps | — | 397,975 | — | 397,975 |
Centrally Cleared Credit Default Swaps† | — | 295,280 | — | 295,280 |
Total Swaps | — | 1,689,837 | — | 1,689,837 |
Total | $40,406,657 | $1,647,962,204 | $1,357,297 | $1,689,726,158 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Forward Foreign Currency Contracts† | $— | $(4,265,162 ) | $— | $(4,265,162 ) |
Futures Contracts† | ||||
Buys | (547,264 ) | — | — | (547,264 ) |
Sales | (152,009 ) | — | — | (152,009 ) |
Total Futures Contracts | (699,273 ) | — | — | (699,273 ) |
Written Option | ||||
Written Futures Option | (3,878 ) | — | — | (3,878 ) |
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 | $— | $(345,274 ) | $— | $(345,274 ) |
Centrally Cleared Interest Rate Swaps† | — | (725,027 ) | — | (725,027 ) |
OTC Credit Default Swap | — | (5,012 ) | — | (5,012 ) |
Centrally Cleared Credit Default Swaps† | — | (100,625 ) | — | (100,625 ) |
Total Swaps | — | (1,175,938 ) | — | (1,175,938 ) |
Total | $(703,151 ) | $(5,441,100 ) | $— | $(6,144,251 ) |
† | 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. |
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 | $— | $57,799,591 | $— | $57,799,591 |
Short-Term Investment | ||||
Mutual Fund - Securities Lending Collateral | 140,013 | — | — | 140,013 |
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Futures Contract† | ||||
Buys | $418 | $— | $— | $418 |
Total | $140,431 | $57,799,591 | $— | $57,940,022 |
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 | $(2,005 ) | $— | $— | $(2,005 ) |
Sales | (5,709 ) | — | — | (5,709 ) |
Total Futures Contracts | (7,714 ) | — | — | (7,714 ) |
Total | $(7,714 ) | $— | $— | $(7,714 ) |
† | 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 | |
Small/Mid Cap | |||||
Asset Derivatives | |||||
Futures Contracts(1) | $— | $— | $— | $963,285 | $963,285 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | 10,367,766 | 10,367,766 |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | (127,352 ) | (127,352 ) |
Emerging Markets | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 946 | 946 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | 5,263,249 | 5,263,249 |
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | $— | $— | $— | $(1,462,028 ) | $(1,462,028 ) |
Global Low Volatility | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 130,081 | 130,081 |
Liability Derivatives | |||||
Futures Contracts(1) | — | (808 ) | — | — | (808 ) |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | 32,240 | — | 4,791,931 | 4,824,171 |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | (12,783 ) | — | (816,353 ) | (829,136 ) |
Non-US Core Equity | |||||
Asset Derivatives | |||||
Futures Contracts(1) | — | — | — | 291,533 | 291,533 |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | — | — | — | 17,970,002 | 17,970,002 |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | — | — | — | (4,453,156 ) | (4,453,156 ) |
Core Fixed | |||||
Asset Derivatives | |||||
Futures Contracts(1) | 47,701 | — | — | — | 47,701 |
Forward Foreign Currency Contracts(4) | — | 134,438 | — | — | 134,438 |
Centrally Cleared Swap Contracts(5) | 7,488 | — | — | — | 7,488 |
Total Value | $55,189 | $134,438 | $— | $— | $189,627 |
Liability Derivatives | |||||
Futures Contracts(1) | (331,686 ) | — | — | — | (331,686 ) |
Forward Foreign Currency Contracts(6) | — | (42,089 ) | — | — | (42,089 ) |
Centrally Cleared Swap Contracts(5) | (15,616 ) | — | — | — | (15,616 ) |
Total Value | $(347,302 ) | $(42,089 ) | $— | $— | $(389,391 ) |
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Net Realized Gain (Loss)(2) | |||||
Options Purchased | $— | $— | $— | $(425 ) | $(425 ) |
Swaps Contracts | (7,001 ) | — | (45,823 ) | — | (52,824 ) |
Futures Contracts | 1,329,393 | — | — | — | 1,329,393 |
Forward Foreign Currency Contracts | — | 65,864 | — | — | 65,864 |
Total Realized Gain (Loss) | $1,322,392 | $65,864 | $(45,823 ) | $(425 ) | $1,342,008 |
Change in Appreciation (Depreciation)(3) | |||||
Swaps Contracts | (339,241 ) | — | — | — | (339,241 ) |
Futures Contracts | 446,784 | — | — | — | 446,784 |
Forward Foreign Currency Contracts | — | 313,366 | — | — | 313,366 |
Total Change in Appreciation (Depreciation) | $107,543 | $313,366 | $— | $— | $420,909 |
Opportunistic Fixed | |||||
Asset Derivatives | |||||
Options Purchased(7) | — | 2,625 | — | 33,465 | 36,090 |
Futures Contracts(1) | 1,438,504 | — | — | — | 1,438,504 |
Forward Foreign Currency Contracts(4) | — | 4,735,768 | — | — | 4,735,768 |
OTC Swaps Contracts | 291,419 | — | 397,975 | — | 689,394 |
Centrally Cleared Swap Contracts(5) | 705,163 | — | 295,280 | — | 1,000,443 |
Total Value | $2,435,086 | $4,738,393 | $693,255 | $33,465 | $7,900,199 |
Liability Derivatives | |||||
Options Written(8) | — | — | — | (3,878 ) | (3,878 ) |
Futures Contracts(1) | (699,273 ) | — | — | — | (699,273 ) |
Forward Foreign Currency Contracts(6) | — | (4,265,162 ) | — | — | (4,265,162 ) |
OTC Swaps Contracts | (345,274 ) | — | (5,012 ) | — | (350,286 ) |
Centrally Cleared Swap Contracts(5) | (725,027 ) | — | (100,625 ) | — | (825,652 ) |
Total Value | $(1,769,574 ) | $(4,265,162 ) | $(105,637 ) | $(3,878 ) | $(6,144,251 ) |
Net Realized Gain (Loss)(2) | |||||
Options Purchased | (158,288 ) | (713,057 ) | — | (1,579,441 ) | (2,450,786 ) |
Options Written | 126,371 | 78,247 | — | 404,476 | 609,094 |
Swaps Contracts | 1,939,382 | — | (1,701,760 ) | — | 237,622 |
Futures Contracts | (15,905,762 ) | — | — | — | (15,905,762 ) |
Forward Foreign Currency Contracts | — | (6,348,729 ) | — | — | (6,348,729 ) |
Total Realized Gain (Loss) | $(13,998,297 ) | $(6,983,539 ) | $(1,701,760 ) | $(1,174,965 ) | $(23,858,561 ) |
Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |
Change in Appreciation (Depreciation)(3) | |||||
Options Purchased | $1,117 | $(65,811 ) | $— | $238,867 | $174,173 |
Options Written | (51,433 ) | (13,099 ) | — | (43,748 ) | (108,280 ) |
Swaps Contracts | (563,644 ) | — | 72,974 | — | (490,670 ) |
Futures Contracts | (4,481,622 ) | — | — | — | (4,481,622 ) |
Forward Foreign Currency Contracts | — | 1,317,827 | — | — | 1,317,827 |
Total Change in Appreciation (Depreciation) | $(5,095,582 ) | $1,238,917 | $72,974 | $195,119 | $(3,588,572 ) |
Short Duration Fixed | |||||
Asset Derivatives | |||||
Futures Contracts(1) | 418 | — | — | — | 418 |
Liability Derivatives | |||||
Futures Contracts(1) | (7,714 ) | — | — | — | (7,714 ) |
Net Realized Gain (Loss)(2) | |||||
Futures Contracts | (36,631 ) | — | — | — | (36,631 ) |
Change in Appreciation (Depreciation)(3) | |||||
Futures Contracts | (7,296 ) | — | — | — | (7,296 ) |
(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 Statement(s) 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, 2024, 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 | |
Small/Mid Cap | $— | $— | $40,015,481 | $— | $— | $— |
Emerging Markets | — | — | 52,358,861 | — | — | — |
Global Low Volatility | — | — | 14,369,188 | — | — | — |
Non-US Core Equity | — | — | 69,976,199 | — | — | — |
Core Fixed | 2 | 47,865,833 | 96,263,150 | (33,120,238 ) | — | 44,138,656 |
Opportunistic Fixed | 39,809,312 | 230,352,356 | 483,897,653 | (60,911,106 ) | (9,516,106 ) | 741,188,167 |
Short Duration Fixed | — | — | 6,909,836 | (1,942,957 ) | — | — |
(1) | Amounts disclosed represent average notional value for the months that the Funds held such derivatives during the year ended March 31, 2024. |
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 | $43,149 | $(42,089 ) | $— | $— | $1,060 |
JPMorgan Chase Bank N.A. | 91,289 | — | — | — | 91,289 |
Total | $134,438 | $(42,089 ) | $— | $— | $92,349 |
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 | $(42,089 ) | $42,089 | $— | $— | $— |
(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. | $149,209 | $(149,209 ) | $— | $— | $— |
Barclays Bank PLC | 334,286 | (57,774 ) | — | (20,000 ) | 256,512 |
BNP Paribas S.A. | 19,683 | (13 ) | — | — | 19,670 |
Citibank N.A. | 754,964 | (679,196 ) | (9,965 ) | — | 65,803 |
Deutsche Bank AG | 203,982 | (75,093 ) | — | (50,000 ) | 78,889 |
Goldman Sachs & Co. | 360,757 | (72,285 ) | — | — | 288,472 |
Goldman Sachs International | 417,369 | (362,181 ) | — | (55,188 ) | — |
HSBC Bank PLC | 180,943 | (106,827 ) | — | — | 74,116 |
HSBC Bank USA, N.A. | 17,101 | (2,280 ) | — | — | 14,821 |
HSBC Sec. New York | 110,560 | (39,279 ) | — | — | 71,281 |
JPMorgan Chase Bank N.A. | 745,615 | (745,615 ) | — | — | — |
Merrill Lynch International | 120,918 | (17,085 ) | — | — | 103,833 |
Morgan Stanley & Co. | 397,975 | (5,012 ) | (392,963 ) | — | — |
Morgan Stanley and Co. International PLC | 253,249 | (121,861 ) | — | — | 131,388 |
Morgan Stanley Capital Services, Inc. | 181,672 | (76,150 ) | — | — | 105,522 |
Natwest Markets PLC | 6,744 | — | — | — | 6,744 |
Standard Chartered Bank | 1,062,272 | (661,128 ) | — | (340,040 ) | 61,104 |
State Street Bank London | 54,486 | (54,486 ) | — | — | — |
The BNY Mellon | 10,598 | (10,598 ) | — | — | — |
Toronto Dominion Bank | 12,319 | (12,319 ) | — | — | — |
UBS AG | 30,189 | (14,636 ) | — | (100 ) | 15,453 |
Total | $5,424,891 | $(3,263,027 ) | $(402,928 ) | $(465,328 ) | $1,293,608 |
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. | $(212,485 ) | $149,209 | $— | $— | $(63,276 ) |
Barclays Bank PLC | (57,774 ) | 57,774 | — | — | — |
BNP Paribas S.A. | (13 ) | 13 | — | — | — |
Citibank N.A. | (679,196 ) | 679,196 | — | — | — |
Deutsche Bank AG | (75,093 ) | 75,093 | — | — | — |
Goldman Sachs & Co. | (72,285 ) | 72,285 | — | — | — |
Goldman Sachs International | (362,181 ) | 362,181 | — | — | — |
HSBC Bank PLC | (106,827 ) | 106,827 | — | — | — |
HSBC Bank USA, N.A. | (2,280 ) | 2,280 | — | — | — |
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) |
HSBC Sec. New York | $(39,279 ) | $39,279 | $— | $— | $— |
JPMorgan Chase Bank N.A. | (1,986,036 ) | 745,615 | — | 828,491 | (411,930 ) |
Merrill Lynch International | (17,085 ) | 17,085 | — | — | — |
Morgan Stanley & Co. | (5,012 ) | 5,012 | — | — | — |
Morgan Stanley and Co. International PLC | (121,861 ) | 121,861 | — | — | — |
Morgan Stanley Capital Services, Inc. | (76,150 ) | 76,150 | — | — | — |
Standard Chartered Bank | (661,128 ) | 661,128 | — | — | — |
State Street Bank London | (99,087 ) | 54,486 | — | — | (44,601 ) |
The BNY Mellon | (14,640 ) | 10,598 | — | — | (4,042 ) |
Toronto Dominion Bank | (12,400 ) | 12,319 | — | — | (81 ) |
UBS AG | (14,636 ) | 14,636 | — | — | — |
Total | $(4,615,448 ) | $3,263,027 | $— | $828,491 | $(523,930 ) |
(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. |
Borrower | Par | Cost | Value | Unrealized Gain (Loss) |
AI Aqua Merger Sub, Inc. | $143,652 | $143,652 | $144,269 | $617 |
RSC Acquisition, Inc. | 340,729 | 335,991 | 339,877 | 3,886 |
Ryan LLC | 120,000 | 120,000 | 120,750 | 750 |
$604,381 | $599,643 | $604,896 | $5,253 |
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | |
Small/Mid Cap | $37,697,831 | $7,104,368 | $31,575,734 |
Emerging Markets | 21,039,068 | 7,756,324 | 14,484,108 |
Global Low Volatility | 18,516,264 | 14,584,436 | 4,660,106 |
Non-US Core Equity | 243,829,327 | 183,426,775 | 77,005,300 |
Core Fixed | 38,221,778 | 17,039,610 | 21,949,262 |
Opportunistic Fixed | 44,599,072 | 38,046,847 | 7,094,468 |
Short Duration Fixed | 136,771 | 140,013 | — |
Remaining Contractual Maturity of the Agreements As of March 31, 2024 | |||||
Overnight and Continuous | ˂ 30 days | Between 30 & 90 days | ˃ 90 days | Total | |
Securities Lending Transactions | |||||
Corporate Debt | $35,989,748 | $— | $— | $— | $35,989,748 |
Sovereign Debt Obligations | 2,057,099 | — | — | — | 2,057,099 |
Total Borrowings | $38,046,847 | $— | $— | $— | $38,046,847 |
Gross amount of recognized liabilities for securities lending transaction | 38,046,847 |
Unlimited | |
Emerging Markets | $260,232,688 |
Non-US Core Equity | $24,900,388 |
Core Fixed | $138,095,510 |
Opportunistic Fixed | $133,471,428 |
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Small/Mid Cap | $1,375,793,571 | $440,370,252 | $(87,492,062 ) | $352,878,190 |
Emerging Markets | 1,123,481,035 | 122,380,937 | (210,085,573 ) | (87,704,636 ) |
Global Low Volatility | 657,996,843 | 158,310,871 | (25,588,321 ) | 132,722,550 |
Non-US Core Equity | 3,366,323,541 | 722,001,561 | (226,253,504 ) | 495,748,057 |
Core Fixed | 1,955,875,095 | 9,068,041 | (104,877,942 ) | (95,809,901 ) |
Opportunistic Fixed | 1,701,189,136 | 38,676,436 | (57,895,199 ) | (19,218,763 ) |
Short Duration Fixed | 57,714,039 | 270,886 | (45,321 ) | 225,565 |
2024 | 2023 | |||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | Return of Capital | |
Small/Mid Cap | $15,787,232 | $43,796,926 | $— | $15,024,409 | $107,001,311 | $— |
Emerging Markets | 34,615,381 | — | — | 36,473,175 | — | — |
Global Low Volatility | 19,219,163 | 13,752,482 | — | 31,766,487 | 46,770,334 | — |
Non-US Core Equity | 126,222,676 | — | — | 18,028,047 | 83,464,600 | — |
2024 | 2023 | |||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | Return of Capital | |
Core Fixed | $60,714,412 | $— | $— | $41,473,259 | $— | $— |
Opportunistic Fixed | 91,068,406 | — | — | 42,956,028 | — | — |
Short Duration Fixed | 1,160,203 | — | — | — | — | — |
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Losses and Other Temporary Differences | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | |
Small/Mid Cap | $2,265,565 | $39,525,857 | $— | $352,878,214 | $394,669,636 |
Emerging Markets | 3,807,951 | — | (260,232,688 ) | (91,288,763 ) | (347,713,500 ) |
Global Low Volatility | 24,600,745 | 92,796,968 | — | 132,714,006 | 250,111,719 |
Non-US Core Equity | 108,879,811 | — | (24,900,388 ) | 495,363,023 | 579,342,446 |
Core Fixed | 18,238,277 | — | (138,095,510 ) | (95,812,071 ) | (215,669,304 ) |
Opportunistic Fixed | 24,793,005 | — | (133,471,428 ) | (19,431,575 ) | (128,109,998 ) |
Short Duration Fixed | 154,161 | — | — | 224,999 | 379,160 |
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 | |
Small/Mid Cap | 0.90 % | 0.88 % | 0.83 % |
Emerging Markets | 0.80 % | 0.78 % | 0.73 % |
Global Low Volatility | 0.75 % | 0.73 % | 0.68 % |
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 % |
Short Duration Fixed | 0.30 % | 0.28 % | 0.23 % |
* Consists of the total advisory fee payable by the Funds to the Adviser. The Adviser is responsible for paying the subadvisory fees. |
Long-Term U.S. Government Securities | Other Long-Term Securities | |
Purchases | ||
Small/Mid Cap | $— | $687,113,412 |
Emerging Markets | — | 795,469,208 |
Global Low Volatility | — | 274,076,523 |
Non-US Core Equity | — | 1,494,771,597 |
Core Fixed | 2,126,787,954 * | 346,551,553 |
Opportunistic Fixed | 107,434,255 | 1,159,794,975 |
Short Duration Fixed | 69,693,459 | 57,131,657 |
Long-Term U.S. Government Securities | Other Long-Term Securities | |
Sales | ||
Small/Mid Cap | $— | $822,859,179 |
Emerging Markets | — | 1,263,856,756 |
Global Low Volatility | — | 732,973,982 |
Non-US Core Equity | — | 1,840,143,860 |
Core Fixed | 1,862,058,393 * | 238,073,474 |
Opportunistic Fixed | 81,076,484 | 786,733,008 |
Short Duration Fixed | 54,589,646 | 16,504,080 |
* | Includes purchases of $533,123,338 and sales of $539,494,039 for TBA securities. |
Small/Mid Cap | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 25,306,266 | $269,251,416 | 23,572,091 | $243,402,511 |
Shares issued to shareholders in reinvestment of distributions | 5,503,350 | 59,216,045 | 12,355,061 | 121,820,903 |
Shares repurchased | (44,390,682 ) | (472,657,455 ) | (23,024,747 ) | (243,889,521 ) |
Net increase (decrease) | (13,581,066 ) | $(144,189,994 ) | 12,902,405 | $121,333,893 |
Class I:* | ||||
Shares sold | 1,117,337 | 12,115,833 | — | — |
Shares issued to shareholders in reinvestment of distributions | 819 | 8,818 | — | — |
Shares repurchased | (69,340 ) | (712,955 ) | — | — |
Net increase | 1,048,816 | $11,411,696 | — | $— |
Emerging Markets | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 26,346,696 | $195,401,537 | 54,693,138 | $413,230,593 |
Shares issued to shareholders in reinvestment of distributions | 4,718,177 | 34,501,855 | 5,102,088 | 36,377,884 |
Shares repurchased | (68,564,959 ) | (508,600,809 ) | (41,503,685 ) | (300,605,232 ) |
Net increase (decrease) | (37,500,086 ) | $(278,697,417 ) | 18,291,541 | $149,003,245 |
Class I:* | ||||
Shares sold | 171,042 | 1,281,643 | — | — |
Shares repurchased | (9,545 ) | (68,817 ) | — | — |
Net increase | 161,497 | $1,212,826 | — | $— |
Global Low Volatility | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 6,655,013 | $86,079,631 | 14,165,096 | $180,218,543 |
Shares issued to shareholders in reinvestment of distributions | 2,462,778 | 32,779,576 | 6,561,138 | 78,536,821 |
Shares repurchased | (42,121,416 ) | (564,919,554 ) | (28,791,956 ) | (362,952,785 ) |
Net decrease | (33,003,625 ) | $(446,060,347 ) | (8,065,722 ) | $(104,197,421 ) |
Class I:* | ||||
Shares sold | 517,115 | 6,795,041 | — | — |
Shares repurchased | (44,469 ) | (584,963 ) | — | — |
Net increase | 472,646 | $6,210,078 | — | $— |
Non-US Core Equity | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 46,441,349 | $475,372,521 | 58,499,693 | $546,682,413 |
Shares issued to shareholders in reinvestment of distributions | 11,753,290 | 119,883,560 | 10,802,945 | 97,766,654 |
Shares repurchased | (96,263,583 ) | (983,867,635 ) | (64,076,147 ) | (579,318,215 ) |
Net increase (decrease) | (38,068,944 ) | $(388,611,554 ) | 5,226,491 | $65,130,852 |
Class I: | ||||
Shares sold | 4,990,454 | 50,931,310 | 15,313,425 | 138,015,825 |
Shares issued to shareholders in reinvestment of distributions | 545,732 | 5,555,553 | 384,249 | 3,469,767 |
Shares repurchased | (1,318,721 ) | (13,291,781 ) | (1,467,939 ) | (12,786,274 ) |
Net increase | 4,217,465 | $43,195,082 | 14,229,735 | $128,699,318 |
Core Fixed | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 70,877,145 | $631,797,171 | 40,524,008 | $370,789,113 |
Shares issued through in-kind contributions** | 21,336,068 | 192,237,977 | — | — |
Shares issued to shareholders in reinvestment of distributions | 6,604,150 | 58,776,932 | 4,433,061 | 39,631,562 |
Shares repurchased | (34,137,543 ) | (303,475,049 ) | (46,949,983 ) | (428,241,868 ) |
Net increase (decrease) | 64,679,820 | $579,337,031 | (1,992,914 ) | $(17,821,193 ) |
Class I: | ||||
Shares sold | 2,361,163 | 21,003,454 | 105,724 | 945,640 |
Shares issued to shareholders in reinvestment of distributions | 128,087 | 1,139,977 | 175,697 | 1,570,728 |
Shares repurchased | (2,372,422 ) | (20,790,151 ) | (4,442,428 ) | (40,906,743 ) |
Net increase (decrease) | 116,828 | $1,353,280 | (4,161,007 ) | $(38,390,375 ) |
Opportunistic Fixed | ||||
Year Ended March 31, 2024 | Year Ended March 31, 2023 | |||
Shares | Amount | Shares | Amount | |
Class Y-3: | ||||
Shares sold | 83,226,820 | $699,340,647 | 52,090,362 | $428,562,412 |
Shares issued to shareholders in reinvestment of distributions | 10,880,577 | 90,635,204 | 5,322,132 | 42,896,383 |
Shares repurchased | (43,181,956 ) | (362,828,815 ) | (21,623,694 ) | (176,369,226 ) |
Net increase | 50,925,441 | $427,147,036 | 35,788,800 | $295,089,569 |
Class I:* | ||||
Shares sold | 706,065 | 6,003,743 | — | — |
Shares repurchased | (90,120 ) | (754,782 ) | — | — |
Net increase | 615,945 | $5,248,961 | — | $— |
Short Duration Fixed | ||
Period Ended March 31, 2024 | ||
Shares | Amount | |
Class Y-3:*** | ||
Shares sold | 7,815,073 | $78,165,580 |
Shares issued to shareholders in reinvestment of distributions | 115,256 | 1,160,203 |
Shares repurchased | (1,945,581 ) | (19,600,565 ) |
Net increase | 5,984,748 | $59,725,218 |
* | The Class commenced operations on June 27, 2023. |
** | On April 27, 2023, Core Fixed received securities in-kind valued at $192,237,977 from Mercer Diversified Bond Fund. This resulted in the issuance of 21,336,068 shares valued at $192,237,977. |
*** | The Fund commenced operations on December 1, 2023. |
Boston, Massachusetts
May 23, 2024
Fund | |
Small/Mid Cap | $43,796,926 |
Global Low Volatility | 13,752,482 |
Fund | |
Small/Mid Cap | $15,787,232 |
Emerging Markets | 23,778,484 |
Global Low Volatility | 16,880,122 |
Non-US Core Equity | 101,604,425 |
Opportunistic Fixed | 520,483 |
Fund | |
Small/Mid Cap | 100.00% |
Global Low Volatility | 50.25% |
Non-US Core Equity | 0.23% |
Opportunistic Fixed | 0.57% |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.47 % | $1,000.00 | $1,213.70 | $1,106.85 | $2.60 |
Hypothetical | 0.47 | 1,000.00 | 1,022.65 | 1,011.33 | 2.38 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.47%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.73 % | $1,000.00 | $1,212.60 | $1,106.30 | $4.04 |
Hypothetical | 0.73 | 1,000.00 | 1,021.35 | 1,010.68 | 3.69 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.73%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.48 % | $1,000.00 | $1,060.90 | $1,030.45 | $2.47 |
Hypothetical | 0.48 | 1,000.00 | 1,022.60 | 1,011.30 | 2.43 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.48%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.73 % | $1,000.00 | $1,059.90 | $1,029.95 | $3.76 |
Hypothetical | 0.73 | 1,000.00 | 1,021.35 | 1,010.68 | 3.69 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.73%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.33 % | $1,000.00 | $1,167.50 | $1,083.75 | $1.79 |
Hypothetical | 0.33 | 1,000.00 | 1,023.35 | 1,011.68 | 1.67 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.33%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.58 % | $1,000.00 | $1,166.00 | $1,083.00 | $3.14 |
Hypothetical | 0.58 | 1,000.00 | 1,022.10 | 1,011.05 | 2.93 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.58%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.39 % | $1,000.00 | $1,178.10 | $1,089.05 | $2.12 |
Hypothetical | 0.39 | 1,000.00 | 1,023.05 | 1,011.53 | 1.97 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.39%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.64 % | $1,000.00 | $1,177.10 | $1,088.55 | $3.48 |
Hypothetical | 0.64 | 1,000.00 | 1,021.80 | 1,010.90 | 3.23 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.64%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.15 % | $1,000.00 | $1,066.80 | $1,033.40 | $0.78 |
Hypothetical | 0.15 | 1,000.00 | 1,024.25 | 1,012.13 | 0.76 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.40 % | $1,000.00 | $1,066.50 | $1,033.25 | $2.07 |
Hypothetical | 0.40 | 1,000.00 | 1,023.00 | 1,011.50 | 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 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.44 % | $1,000.00 | $1,078.00 | $1,039.00 | $2.29 |
Hypothetical | 0.44 | 1,000.00 | 1,022.80 | 1,011.40 | 2.23 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.44%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.69 % | $1,000.00 | $1,076.90 | $1,038.45 | $3.58 |
Hypothetical | 0.69 | 1,000.00 | 1,021.55 | 1,010.78 | 3.49 |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.69%, multiplied by the average account value over the period, multiplied by 183/366. |
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred# | |
Actual | 0.20 % | $1,000.00 | $1,021.50 | $1,010.75 | $0.67 |
Hypothetical | 0.20 | 1,000.00 | 1,016.00 | 1,008.00 | 0.67 |
* | The Fund commenced operations on December 1, 2023. |
# | Actual expenses are equal to the Class’ annualized expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 122/366. |
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 |
Adela M. Cepeda 99 High Street Boston, MA 02110 (66) | 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); 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) and UBS Relationship Funds (2004 to 2023). |
Gail A. Schneider 99 High Street Boston, MA 02110 (75) | Chairperson and Trustee | Chairperson since 2022; Trustee since 2009 | Ms. Schneider is a self-employed consultant since 2007. Ms. Schneider was previously an Executive Vice President at JPMorgan Chase & Co. | 7 | None |
Luis A. Ubiñas 99 High Street Boston, MA 02110 (61) | 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. |
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 |
Joan E. Steel 99 High Street Boston, MA 02110 (70) | 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 and Age | Position(s) Held with the Trust | Term of Office+ and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Jennifer Kruse (42) | President and Chief Executive Officer | Since 2023 | Ms. Kruse is a Partner and the U.S. Outsourced Chief Investment Office (OCIO) Leader for Mercer. Prior to joining Mercer in 2021, Ms. Kruse was investment director for Willis Towers Watson from 2007 to 2021. |
Stephen Gouthro (56) | 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 (55) | Vice President and Assistant Treasurer | Since 2021 | Mr. Vallan is a Vice President and Head of Fund Administration of 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 (54) | 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. |
Name and Age | Position(s) Held with the Trust | Term of Office+ and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Olaolu Aganga (41) | Vice President, Chief Investment Officer | Since 2023 | Ms. Aganga is a Vice President and Chief Investment Officer, Investments at Mercer Investments LLC since 2023. Prior to joining Mercer, Ms. Aganga was a Managing Director within BlackRock's US Outsourced CIO business from 2018 to 2023. Prior to BlackRock, Ms. Aganga spent several years at Goldman Sachs. |
Colin Dean (47) | Vice President and Assistant Secretary | Since 2021+++ | Mr. Dean is Mercer Chief Counsel since May 2024 and 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 (38) | Vice President, Chief Legal Officer and Secretary | Since 2021+++ | Ms. Hulme is Chief Investment Funds and Solutions Counsel, US & Canada for Mercer Investments LLC since 2023. She served as Senior Legal Counsel, Investments from 2018 to 2023. |
Kenneth Earley (50) | Vice President and Assistant Secretary | Since 2023 | Mr. Earley is Senior Legal Counsel, Investments at Mercer Investments LLC since 2022. Prior to joining Mercer, he was in private practice as Counsel in the corporate practice group of Morse, Barnes- Brown & Pendleton, P.C. from 2021 to 2022, and as a Senior Associate in the investment management practice group at Morgan, Lewis & Bockius LLP from 2015 to 2020. |
Larry Vasquez (57) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investments LLC since 2012. |
Erin Lefkowitz (43) | 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. |
Nicole Wong (57) | 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. |
(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 President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the 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 the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Joan E. Steel and Adela Cepeda and Luis A. Ubiñas, all of which are “independent” as defined in Item 3(a)(2) of this Form.
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 $418,245 and $388,850 for the fiscal years ended March 31, 2023, and March 31, 2024, respectively.
(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2023, and March 31, 2024, 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 $73,540 and $85,110 for the fiscal years ended March 31, 2023, and March 31, 2024, respectively. Fees in the amount of $72,566 the year ended March 31, 2023, respectively for review of non-US capital gains and the preparation and filing of return of income for the Mercer Non-US Core Equity Fund and the Mercer Emerging Markets Equity Fund.
(d) All Other Fees – Fees in the amount of $140,676.16 were billed in the fiscal year ended March 31, 2023, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund and the 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, 2024, 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, 2024, 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.
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 Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(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/ Jennifer Kruse | |
Jennifer Kruse President and Chief Executive Officer (Principal Executive Officer) | ||
Date 5/23/24 |
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/ Jennifer Kruse | |
Jennifer Kruse President and Chief Executive Officer (Principal Executive Officer) | ||
Date 5/23/24 | ||
By (Signature and Title) | /s/ Jeffrey Coleman | |
Jeffrey Coleman Vice President, Treasurer and Chief Financial Officer (Principal Financial Officer) | ||
Date 5/23/24 |