UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
Date of reporting period: | August 31, 2022 |
Item 1.
Reports to Stockholders
Strategic Advisers® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
August 31, 2022
Contents
Board Approval of New Sub-Advisory and Sub-Subadvisory Agreements |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2022
(by issuer, excluding cash equivalents) | % of fund's net assets |
PIMCO Total Return Fund Institutional Class | 12.8 |
Fidelity SAI Total Bond Fund | 11.3 |
U.S. Treasury Obligations | 8.9 |
Western Asset Core Plus Bond Fund Class I | 6.2 |
Western Asset Core Bond Fund Class I | 5.1 |
DoubleLine Total Return Bond Fund Class N | 3.8 |
Fidelity U.S. Bond Index Fund | 3.3 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3.1 |
Voya Intermediate Bond Fund Class I | 3.0 |
Fannie Mae | 2.7 |
Asset Allocation (% of fund's net assets)
As of August 31, 2022 | ||
Corporate Bonds | 9.5% | |
U.S. Government and U.S. Government Agency Obligations | 17.4% | |
Asset-Backed Securities | 2.2% | |
CMOs and Other Mortgage Related Securities | 2.5% | |
Municipal Securities | 0.2% | |
Bank Loan Funds | 0.3% | |
High Yield Fixed-Income Funds | 1.0% | |
Intermediate Government Funds | 3.1% | |
Intermediate-Term Bond Funds | 60.3% | |
Long Government Bond Funds | 2.4% | |
Short-Term Bond Funds | 1.1% | |
Other Investments | 0.7% | |
Short-Term Investments and Net Other Assets (Liabilities)* | (0.7)% |
* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date indicated above.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments August 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.5% | |||
Principal Amount(a) | Value | ||
COMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.2% | |||
AT&T, Inc.: | |||
1.7% 3/25/26 | $700,000 | $638,982 | |
2.55% 12/1/33 | 8,833,000 | 7,037,840 | |
3.5% 6/1/41 | 4,990,000 | 3,933,255 | |
3.5% 9/15/53 | 1,298,000 | 956,905 | |
3.55% 9/15/55 | 1,440,000 | 1,054,356 | |
3.65% 9/15/59 | 8,915,000 | 6,462,231 | |
3.8% 12/1/57 | 31,378,000 | 23,752,181 | |
4.3% 2/15/30 | 3,709,000 | 3,557,630 | |
4.5% 5/15/35 | 1,980,000 | 1,859,549 | |
4.5% 3/9/48 | 6,650,000 | 5,831,242 | |
4.75% 5/15/46 | 14,210,000 | 13,177,956 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 305,000 | 269,163 | |
Cablevision Lightpath LLC 3.875% 9/15/27 (b) | 10,000 | 8,727 | |
Cellnex Telecom SA 1.75% 10/23/30 (Reg. S) | EUR | 5,500,000 | 4,200,293 |
Cogent Communications Group, Inc.: | |||
3.5% 5/1/26 (b) | 165,000 | 148,554 | |
7% 6/15/27 (b) | 255,000 | 243,701 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28 (b) | 215,000 | 188,439 | |
5.875% 10/15/27 (b) | 95,000 | 88,611 | |
Holdco SASU: | |||
6.5% 10/15/26 (b) | 475,000 | 434,046 | |
7% 10/15/28 (b) | 450,000 | 412,822 | |
Iliad SA 1.5% 10/14/24 (Reg. S) | EUR | 3,100,000 | 2,968,313 |
Level 3 Financing, Inc.: | |||
3.4% 3/1/27 (b) | 2,605,000 | 2,310,534 | |
3.625% 1/15/29 (b) | 4,900,000 | 3,932,789 | |
3.875% 11/15/29 (b) | 2,945,000 | 2,498,584 | |
4.25% 7/1/28 (b) | 1,520,000 | 1,263,500 | |
5.375% 5/1/25 | 400,000 | 400,059 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (b) | 235,000 | 175,308 | |
5.125% 12/15/26 (b) | 185,000 | 159,856 | |
5.625% 4/1/25 | 175,000 | 169,735 | |
6.875% 1/15/28 | 15,000 | 13,503 | |
7.6% 9/15/39 | 939,000 | 738,805 | |
7.65% 3/15/42 | 1,000,000 | 778,660 | |
Qwest Corp. 7.25% 9/15/25 | 203,000 | 210,159 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 526,000 | 479,975 | |
Sprint Capital Corp. 8.75% 3/15/32 | 555,000 | 670,007 | |
Sprint Spectrum Co. LLC: | |||
4.738% 9/20/29 (b) | 941,875 | 945,311 | |
5.152% 9/20/29 (b) | 14,655,000 | 14,746,192 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 370,000 | 356,169 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 364,000 | |
Verizon Communications, Inc.: | |||
2.355% 3/15/32 | 6,199,000 | 5,085,706 | |
2.65% 11/20/40 | 1,515,000 | 1,093,526 | |
3.4% 3/22/41 | 5,480,000 | 4,414,595 | |
4.016% 12/3/29 | 5,531,000 | 5,306,651 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 270,000 | 213,287 | |
Windstream Escrow LLC 7.75% 8/15/28 (b) | 500,000 | 429,790 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | 1,900,000 | 1,619,750 | |
125,601,247 | |||
Entertainment - 0.0% | |||
Netflix, Inc. 4.375% 11/15/26 | 165,000 | 160,050 | |
Roblox Corp. 3.875% 5/1/30 (b) | 280,000 | 233,568 | |
Take-Two Interactive Software, Inc. 4% 4/14/32 | 3,095,000 | 2,854,317 | |
Universal Music Group NV 3.75% 6/30/32 (Reg. S) | EUR | 300,000 | 300,392 |
3,548,327 | |||
Interactive Media & Services - 0.0% | |||
Tencent Holdings Ltd. 3.84% 4/22/51 (b) | 2,435,000 | 1,805,066 | |
Media - 0.4% | |||
Adria Bidco BV 5.25% 2/1/30 (b) | EUR | 5,200,000 | 4,073,851 |
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 555,000 | 477,300 | |
Altice France Holding SA: | |||
4% 2/15/28 (Reg. S) | EUR | 4,800,000 | 3,424,870 |
8% 5/15/27 (Reg. S) | EUR | 4,800,000 | 3,931,364 |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 2,450,000 | 2,438,532 | |
4.5% 8/15/30 (b) | 180,000 | 151,376 | |
4.5% 5/1/32 | 3,822,000 | 3,101,477 | |
4.5% 6/1/33 (b) | 2,110,000 | 1,656,350 | |
4.75% 2/1/32 (b) | 115,000 | 95,128 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 2,995,000 | 1,998,403 | |
3.9% 6/1/52 | 12,063,000 | 8,173,313 | |
4.8% 3/1/50 | 4,815,000 | 3,779,394 | |
4.908% 7/23/25 | 7,565,000 | 7,539,069 | |
5.25% 4/1/53 | 1,805,000 | 1,510,047 | |
5.375% 4/1/38 | 450,000 | 394,597 | |
5.375% 5/1/47 | 32,024,000 | 27,293,666 | |
6.384% 10/23/35 | 3,210,000 | 3,177,355 | |
6.484% 10/23/45 | 2,420,000 | 2,309,978 | |
Comcast Corp.: | |||
2.937% 11/1/56 | 1,940,000 | 1,314,380 | |
3.75% 4/1/40 | 670,000 | 581,462 | |
3.999% 11/1/49 | 10,000 | 8,542 | |
COX Communications, Inc.: | |||
1.8% 10/1/30 (b) | 975,000 | 773,433 | |
2.6% 6/15/31 (b) | 275,000 | 228,916 | |
3.15% 8/15/24 (b) | 1,550,000 | 1,504,956 | |
Cox Enterprises, Inc. 7.375% 7/15/27 (b) | 3,445,000 | 3,733,757 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (b) | 215,000 | 174,150 | |
4.5% 11/15/31 (b) | 220,000 | 176,491 | |
4.625% 12/1/30 (b) | 170,000 | 121,550 | |
5.75% 1/15/30 (b) | 1,000,000 | 774,440 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) | 7,375,000 | 1,401,250 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 3,800,574 | |
4% 9/15/55 | 1,620,000 | 1,073,255 | |
4.65% 5/15/50 | 11,727,000 | 8,908,930 | |
5.3% 5/15/49 | 7,695,000 | 6,378,699 | |
DISH DBS Corp.: | |||
5.125% 6/1/29 | 1,100,000 | 651,750 | |
5.875% 11/15/24 | 200,000 | 181,000 | |
7.75% 7/1/26 | 550,000 | 433,631 | |
Fox Corp.: | |||
5.476% 1/25/39 | 2,474,000 | 2,432,035 | |
5.576% 1/25/49 | 1,641,000 | 1,586,599 | |
Gray Television, Inc. 4.75% 10/15/30 (b) | 100,000 | 82,400 | |
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 800,000 | 763,346 |
LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b) | 200,000 | 172,000 | |
Magallanes, Inc.: | |||
3.428% 3/15/24 (b) | 3,519,000 | 3,439,997 | |
3.638% 3/15/25 (b) | 2,033,000 | 1,962,894 | |
3.755% 3/15/27 (b) | 3,520,000 | 3,287,966 | |
4.054% 3/15/29 (b) | 1,378,000 | 1,254,798 | |
4.279% 3/15/32 (b) | 3,731,000 | 3,250,947 | |
5.05% 3/15/42 (b) | 11,871,000 | 9,704,679 | |
5.141% 3/15/52 (b) | 16,654,000 | 13,329,808 | |
5.391% 3/15/62 (b) | 580,000 | 465,568 | |
Paramount Global: | |||
4.2% 5/19/32 | 650,000 | 571,937 | |
4.6% 1/15/45 | 5,565,000 | 4,318,537 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) | 345,000 | 297,390 | |
SES Global Americas Holdings GP 5.3% 3/25/44 (b) | 2,000,000 | 1,701,540 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31 (b) | 370,000 | 298,775 | |
5.5% 7/1/29 (b) | 1,000,000 | 935,080 | |
TEGNA, Inc. 4.75% 3/15/26 (b) | 225,000 | 220,943 | |
Time Warner Cable LLC: | |||
5.5% 9/1/41 | 3,791,000 | 3,254,935 | |
5.875% 11/15/40 | 6,893,000 | 6,175,136 | |
6.55% 5/1/37 | 8,522,000 | 8,370,755 | |
7.3% 7/1/38 | 6,393,000 | 6,567,505 | |
Virgin Media Secured Finance PLC: | |||
4.25% 1/15/30 (Reg. S) | GBP | 1,500,000 | 1,458,891 |
5.5% 5/15/29 (b) | 175,000 | 157,063 | |
VZ Secured Financing BV 5% 1/15/32 (b) | 565,000 | 460,673 | |
Ziggo BV: | |||
2.875% 1/15/30 (Reg. S) | EUR | 1,100,000 | 881,592 |
4.875% 1/15/30 (b) | 115,000 | 97,083 | |
185,248,108 | |||
Wireless Telecommunication Services - 0.2% | |||
Digicel International Finance Ltd. / Digicel International Holdings Ltd.: | |||
8% 12/31/26 (b) | 2,650,000 | 1,702,625 | |
8.75% 5/25/24 (b) | 300,000 | 283,088 | |
8.75% 5/25/24 (b) | 400,000 | 375,500 | |
13% 12/31/25 pay-in-kind (b)(c) | 2,217,435 | 1,826,612 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (d)(e) | 2,500,000 | 0 | |
9.75% 7/15/25 (b)(d)(e) | 5,500,000 | 1 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (b) | 200,000 | 164,163 | |
5.125% 1/15/28 (b) | 346,500 | 317,829 | |
Rogers Communications, Inc.: | |||
3% 3/15/23 | 150,000 | 149,341 | |
3.2% 3/15/27 (b) | 4,297,000 | 4,088,309 | |
3.8% 3/15/32 (b) | 3,750,000 | 3,422,648 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 2,950,000 | 3,045,757 | |
7.875% 9/15/23 | 5,977,000 | 6,158,103 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 1,450,000 | 1,258,423 | |
2.25% 2/15/26 | 3,450,000 | 3,171,482 | |
2.25% 11/15/31 | 3,015,000 | 2,418,781 | |
2.625% 4/15/26 | 220,000 | 203,419 | |
2.625% 2/15/29 | 275,000 | 237,117 | |
3% 2/15/41 | 3,775,000 | 2,762,898 | |
3.4% 10/15/52 | 2,935,000 | 2,119,575 | |
3.75% 4/15/27 | 11,565,000 | 11,089,686 | |
3.875% 4/15/30 | 36,257,000 | 33,509,694 | |
4.375% 4/15/40 | 200,000 | 176,412 | |
4.5% 4/15/50 | 3,381,000 | 2,950,294 | |
Vodafone Group PLC: | |||
4.25% 9/17/50 | 3,525,000 | 2,882,182 | |
4.875% 10/3/78 (Reg. S) (c) | GBP | 600,000 | 646,486 |
5.25% 5/30/48 | 3,350,000 | 3,092,220 | |
6.25% 10/3/78 (Reg. S) (c) | 805,000 | 778,596 | |
88,831,241 | |||
TOTAL COMMUNICATION SERVICES | 405,033,989 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Auto Components - 0.0% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (b) | 2,000,000 | 1,850,880 | |
Aptiv PLC / Aptiv Corp. 3.25% 3/1/32 | 1,015,000 | 853,071 | |
Dana, Inc.: | |||
4.5% 2/15/32 | 115,000 | 91,809 | |
5.625% 6/15/28 | 400,000 | 358,916 | |
Patrick Industries, Inc. 4.75% 5/1/29 (b) | 110,000 | 90,063 | |
Valeo SA 1% 8/3/28 (Reg. S) | EUR | 600,000 | 473,555 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 800,000 | 639,835 |
4,358,129 | |||
Automobiles - 0.1% | |||
Ford Motor Co.: | |||
3.25% 2/12/32 | 1,675,000 | 1,311,391 | |
4.75% 1/15/43 | 2,000,000 | 1,496,100 | |
5.291% 12/8/46 | 1,925,000 | 1,544,813 | |
6.1% 8/19/32 | 8,650,000 | 8,423,024 | |
General Motors Co.: | |||
6.25% 10/2/43 | 8,870,000 | 8,546,414 | |
6.6% 4/1/36 | 575,000 | 580,204 | |
6.75% 4/1/46 | 1,775,000 | 1,780,538 | |
General Motors Financial Co., Inc.: | |||
2.4% 4/10/28 | 1,895,000 | 1,603,511 | |
3.7% 5/9/23 | 11,800,000 | 11,770,372 | |
4% 1/15/25 | 5,695,000 | 5,623,601 | |
4.25% 5/15/23 | 1,875,000 | 1,875,819 | |
Thor Industries, Inc. 4% 10/15/29 (b) | 150,000 | 121,627 | |
44,677,414 | |||
Diversified Consumer Services - 0.1% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 639,000 | 607,050 | |
California Institute of Technology 3.65% 9/1/19 | 535,000 | 386,094 | |
ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b) | 8,865,000 | 8,385,233 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 426,157 | |
Massachusetts Institute of Technology: | |||
2.989% 7/1/50 | 1,340,000 | 1,075,076 | |
5.6% 7/1/11 | 400,000 | 463,480 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 315,000 | 265,266 | |
3.3% 7/15/56 | 190,000 | 155,467 | |
3.745% 11/15/52 | 720,000 | 666,612 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 255,801 | |
Thomas Jefferson University 3.847% 11/1/57 | 2,575,000 | 2,110,205 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 419,052 | |
University of Pennsylvania Trustees: | |||
2.396% 10/1/50 | 495,000 | 344,326 | |
3.61% 2/15/2119 | 285,000 | 207,769 | |
University of Southern California 3.841% 10/1/47 | 715,000 | 657,231 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | 325,000 | 313,290 | |
Washington University: | |||
3.524% 4/15/54 | 2,630,000 | 2,244,567 | |
4.349% 4/15/22 | 2,340,000 | 1,978,661 | |
Yale University 2.402% 4/15/50 | 2,140,000 | 1,536,365 | |
22,497,702 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4% 10/15/30 (b) | 4,925,000 | 3,996,958 | |
4.375% 1/15/28 (b) | 280,000 | 250,310 | |
5.75% 4/15/25 (b) | 90,000 | 90,450 | |
Accor SA 2.375% 11/29/28 (Reg. S) | EUR | 500,000 | 418,310 |
Aramark Services, Inc. 5% 2/1/28 (b) | 1,990,000 | 1,831,437 | |
Brinker International, Inc. 3.875% 5/15/23 | 1,066,000 | 1,047,345 | |
Caesars Entertainment, Inc.: | |||
4.625% 10/15/29 (b) | 1,600,000 | 1,286,952 | |
6.25% 7/1/25 (b) | 380,000 | 371,036 | |
Carnival Corp.: | |||
4% 8/1/28 (b) | 225,000 | 187,308 | |
7.625% 3/1/26 (b) | 1,050,000 | 892,500 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.: | |||
4.625% 1/15/29 (b) | 1,500,000 | 1,307,145 | |
6.75% 1/15/30 (b) | 325,000 | 265,018 | |
Garden SpinCo Corp. 8.625% 7/20/30 (b) | 45,000 | 47,925 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (b) | 325,000 | 262,377 | |
3.75% 5/1/29 (b) | 255,000 | 220,006 | |
4% 5/1/31 (b) | 970,000 | 819,794 | |
5.75% 5/1/28 (b) | 350,000 | 342,192 | |
Hyatt Hotels Corp. 1.8% 10/1/24 | 3,020,000 | 2,871,051 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 1,305,000 | 1,337,553 |
International Game Technology PLC 6.5% 2/15/25 (b) | 800,000 | 794,000 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,240,000 | 1,178,381 | |
3.6% 4/15/24 | 1,310,000 | 1,297,110 | |
McDonald's Corp. 4.7% 12/9/35 | 1,865,000 | 1,850,806 | |
MGM Resorts International: | |||
4.625% 9/1/26 | 500,000 | 454,885 | |
6.75% 5/1/25 | 100,000 | 99,887 | |
NCL Corp. Ltd. 5.875% 2/15/27 (b) | 155,000 | 140,480 | |
NCL Finance Ltd. 6.125% 3/15/28 (b) | 40,000 | 31,060 | |
Papa John's International, Inc. 3.875% 9/15/29 (b) | 1,650,000 | 1,410,750 | |
Premier Entertainment Sub LLC 5.875% 9/1/31 (b) | 1,325,000 | 925,950 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27 (b) | 100,000 | 77,363 | |
5.5% 8/31/26 (b) | 280,000 | 223,815 | |
9.125% 6/15/23 (b) | 55,000 | 55,548 | |
Starbucks Corp. 3% 2/14/32 | 3,135,000 | 2,739,477 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 1,320,000 | 1,328,748 |
3.375% 10/16/25 (Reg. S) | GBP | 1,870,000 | 2,038,417 |
Yum! Brands, Inc. 3.625% 3/15/31 | 145,000 | 122,119 | |
32,614,463 | |||
Household Durables - 0.1% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) | 500,000 | 384,942 | |
Century Communities, Inc.: | |||
3.875% 8/15/29 (b) | 135,000 | 108,507 | |
6.75% 6/1/27 | 275,000 | 269,666 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 9,099,218 | |
5% 6/15/27 | 12,100,000 | 12,012,350 | |
5.25% 6/1/26 | 2,920,000 | 2,941,206 | |
Newell Brands, Inc. 5.625% 4/1/36 (f) | 30,000 | 26,868 | |
SWF Escrow Issuer Corp. 6.5% 10/1/29 (b) | 850,000 | 613,870 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 298,000 | 296,784 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31 (b) | 120,000 | 92,337 | |
4% 4/15/29 (b) | 875,000 | 718,909 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,015,000 | 825,005 |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 27,163,428 | |
4.375% 4/15/23 | 5,000,000 | 4,978,232 | |
4.875% 11/15/25 | 35,000 | 34,459 | |
4.875% 3/15/27 | 7,917,000 | 7,631,114 | |
TopBuild Corp. 4.125% 2/15/32 (b) | 815,000 | 671,233 | |
67,868,128 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Match Group Holdings II LLC: | |||
3.625% 10/1/31 (b) | 170,000 | 132,981 | |
4.125% 8/1/30 (b) | 70,000 | 57,921 | |
190,902 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 5,655,000 | 5,512,992 | |
Multiline Retail - 0.0% | |||
John Lewis PLC 6.125% 1/21/25 | GBP | 1,286,000 | 1,500,340 |
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 1,500,000 | 1,500,771 |
3,001,111 | |||
Specialty Retail - 0.1% | |||
Asbury Automotive Group, Inc.: | |||
4.625% 11/15/29 (b) | 75,000 | 64,313 | |
5% 2/15/32 (b) | 80,000 | 66,812 | |
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 892,052 | |
AutoZone, Inc.: | |||
1.65% 1/15/31 | 505,000 | 397,810 | |
3.75% 4/18/29 | 1,400,000 | 1,316,461 | |
4% 4/15/30 | 6,924,000 | 6,572,576 | |
Bath & Body Works, Inc. 6.625% 10/1/30 (b) | 345,000 | 313,419 | |
Foot Locker, Inc. 4% 10/1/29 (b) | 60,000 | 48,900 | |
Gap, Inc. 3.875% 10/1/31 (b) | 1,490,000 | 1,033,337 | |
LCM Investments Holdings 4.875% 5/1/29 (b) | 50,000 | 41,740 | |
Lowe's Companies, Inc.: | |||
3.35% 4/1/27 | 619,000 | 596,658 | |
3.75% 4/1/32 | 1,904,000 | 1,753,434 | |
4.25% 4/1/52 | 6,910,000 | 5,885,161 | |
4.45% 4/1/62 | 6,910,000 | 5,835,548 | |
Michaels Companies, Inc.: | |||
5.25% 5/1/28 (b) | 110,000 | 84,337 | |
7.875% 5/1/29 (b) | 1,000,000 | 665,000 | |
O'Reilly Automotive, Inc.: | |||
1.75% 3/15/31 | 770,000 | 611,089 | |
3.9% 6/1/29 | 500,000 | 473,300 | |
4.7% 6/15/32 | 965,000 | 955,819 | |
Rent-A-Center, Inc. 6.375% 2/15/29 (b) | 325,000 | 274,521 | |
The Home Depot, Inc.: | |||
4.875% 2/15/44 | 1,150,000 | 1,154,096 | |
5.875% 12/16/36 | 300,000 | 336,856 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 700,000 | 569,046 |
29,942,285 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Crocs, Inc. 4.125% 8/15/31 (b) | 120,000 | 94,446 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 40,000 | 34,114 | |
Levi Strauss & Co. 3.5% 3/1/31 (b) | 170,000 | 142,788 | |
Tapestry, Inc. 3.05% 3/15/32 | 14,311,000 | 11,397,537 | |
The William Carter Co. 5.625% 3/15/27 (b) | 875,000 | 844,926 | |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | 170,000 | 138,380 | |
12,652,191 | |||
TOTAL CONSUMER DISCRETIONARY | 223,315,317 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.2% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
4.7% 2/1/36 | 3,465,000 | 3,352,345 | |
4.9% 2/1/46 | 15,510,000 | 14,724,543 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 9,871,000 | 9,550,072 | |
4.9% 2/1/46 | 12,306,000 | 11,682,800 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 7,684,548 | |
4.35% 6/1/40 | 4,618,000 | 4,200,633 | |
4.375% 4/15/38 | 1,140,000 | 1,052,762 | |
4.5% 6/1/50 | 8,175,000 | 7,412,205 | |
4.6% 6/1/60 | 5,007,000 | 4,441,531 | |
4.75% 1/23/29 | 1,690,000 | 1,724,667 | |
5.45% 1/23/39 | 5,390,000 | 5,556,156 | |
5.55% 1/23/49 | 14,852,000 | 15,441,817 | |
5.8% 1/23/59 (Reg. S) | 6,509,000 | 6,942,207 | |
Bacardi Ltd.: | |||
4.45% 5/15/25 (b) | 4,015,000 | 3,947,267 | |
4.7% 5/15/28 (b) | 343,000 | 333,996 | |
Constellation Brands, Inc.: | |||
2.25% 8/1/31 | 1,285,000 | 1,046,500 | |
3.7% 12/6/26 | 1,200,000 | 1,161,807 | |
4.4% 11/15/25 | 805,000 | 805,610 | |
4.75% 11/15/24 | 5,595,000 | 5,666,218 | |
PepsiCo, Inc. 2.625% 3/19/27 | 839,000 | 796,932 | |
Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | 220,000 | 188,055 | |
107,712,671 | |||
Food & Staples Retailing - 0.1% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (b) | 645,000 | 530,061 | |
4.875% 2/15/30 (b) | 615,000 | 538,586 | |
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1,800,000 | 1,557,601 | |
Bellis Acquisition Co. PLC 4.5% 2/16/26 (b) | GBP | 975,000 | 901,482 |
Bellis Finco PLC 4% 2/16/27 (b) | GBP | 9,000,000 | 6,860,705 |
C&S Group Enterprises LLC 5% 12/15/28 (b) | 2,000,000 | 1,478,582 | |
Co-Operative Group Ltd. 5.125% 5/17/24 (Reg. S) | GBP | 725,000 | 768,146 |
Kroger Co. 2.65% 10/15/26 | 430,000 | 405,941 | |
Market Bidco Finco PLC 5.5% 11/4/27 (b) | GBP | 5,300,000 | 5,048,748 |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (b) | 55,000 | 47,438 | |
6.25% 4/15/25 (b) | 185,000 | 185,901 | |
18,323,191 | |||
Food Products - 0.2% | |||
Chobani LLC/Finance Corp., Inc. 4.625% 11/15/28 (b) | 1,600,000 | 1,400,202 | |
Darling Ingredients, Inc.: | |||
5.25% 4/15/27 (b) | 300,000 | 294,243 | |
6% 6/15/30 (b) | 65,000 | 65,082 | |
Hormel Foods Corp. 0.65% 6/3/24 | 895,000 | 850,660 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
2.5% 1/15/27 (b) | 6,705,000 | 6,017,134 | |
3% 2/2/29 (b) | 390,000 | 338,951 | |
3% 5/15/32 (b) | 6,735,000 | 5,564,996 | |
3.625% 1/15/32 (b) | 1,194,000 | 1,032,117 | |
3.75% 12/1/31 (b) | 1,040,000 | 910,905 | |
4.375% 2/2/52 (b) | 1,620,000 | 1,280,252 | |
5.125% 2/1/28 (b) | 2,515,000 | 2,511,856 | |
5.5% 1/15/30 (b) | 16,270,000 | 16,270,000 | |
5.75% 4/1/33 (b) | 5,185,000 | 5,165,141 | |
6.5% 4/15/29 (b) | 3,136,000 | 3,253,318 | |
6.5% 12/1/52 (b) | 5,490,000 | 5,775,260 | |
JDE Peet's BV 2.25% 9/24/31 (b) | 1,400,000 | 1,076,533 | |
Kraft Heinz Foods Co.: | |||
3.75% 4/1/30 | 4,653,000 | 4,311,450 | |
4.375% 6/1/46 | 8,790,000 | 7,466,925 | |
4.875% 10/1/49 | 250,000 | 227,546 | |
5.2% 7/15/45 | 4,602,000 | 4,322,145 | |
7.125% 8/1/39 (b) | 9,093,000 | 10,122,785 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30 (b) | 900,000 | 811,125 | |
4.375% 1/31/32 (b) | 900,000 | 796,592 | |
4.875% 5/15/28 (b) | 345,000 | 328,725 | |
Pilgrim's Pride Corp.: | |||
3.5% 3/1/32 (b) | 3,000,000 | 2,433,240 | |
4.25% 4/15/31 (b) | 2,825,000 | 2,431,633 | |
5.875% 9/30/27 (b) | 500,000 | 492,550 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (b) | 530,000 | 460,286 | |
5.5% 12/15/29 (b) | 1,270,000 | 1,163,834 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 505,000 | 423,392 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,491,410 | |
90,090,288 | |||
Household Products - 0.0% | |||
Central Garden & Pet Co. 4.125% 4/30/31 (b) | 600,000 | 491,188 | |
Spectrum Brands Holdings, Inc.: | |||
3.875% 3/15/31 (b) | 2,500,000 | 1,939,288 | |
5.5% 7/15/30 (b) | 1,000,000 | 861,465 | |
The Clorox Co. 4.6% 5/1/32 | 3,115,000 | 3,077,334 | |
6,369,275 | |||
Personal Products - 0.0% | |||
BellRing Brands, Inc. 7% 3/15/30 (b) | 110,000 | 105,049 | |
GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S) | EUR | 700,000 | 597,720 |
702,769 | |||
Tobacco - 0.1% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 6,000,000 | 4,534,833 | |
3.4% 2/4/41 | 5,970,000 | 4,035,781 | |
4.25% 8/9/42 | 490,000 | 367,179 | |
BAT Capital Corp.: | |||
3.557% 8/15/27 | 3,160,000 | 2,902,945 | |
4.39% 8/15/37 | 1,000,000 | 790,958 | |
4.54% 8/15/47 | 11,635,000 | 8,492,909 | |
4.7% 4/2/27 | 325,000 | 316,238 | |
5.65% 3/16/52 | 3,000,000 | 2,544,645 | |
BAT International Finance PLC: | |||
2.25% 6/26/28 (Reg. S) | GBP | 3,970,000 | 3,725,532 |
3.95% 6/15/25 (b) | 6,600,000 | 6,450,391 | |
4.448% 3/16/28 | 8,700,000 | 8,241,418 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 4,250,000 | 4,089,304 | |
4.25% 7/21/25 (b) | 1,500,000 | 1,467,825 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 955,000 | 938,907 | |
3.875% 8/21/42 | 730,000 | 548,989 | |
Reynolds American, Inc. 5.7% 8/15/35 | 635,000 | 585,500 | |
50,033,354 | |||
TOTAL CONSUMER STAPLES | 273,231,548 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.0% | |||
Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b) | 1,000,000 | 910,000 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 394,852 | |
6.7% 9/15/38 | 170,000 | 184,697 | |
Precision Drilling Corp. 7.125% 1/15/26 (b) | 115,000 | 109,913 | |
Technip Energies NV 1.125% 5/28/28 | EUR | 1,055,000 | 852,030 |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b) | 1,400,850 | 1,372,833 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 105,000 | 98,700 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (b) | 1,800,000 | 1,746,000 | |
Transocean, Inc. 11.5% 1/30/27 (b) | 140,000 | 134,947 | |
U.S.A. Compression Partners LP 6.875% 4/1/26 | 551,000 | 516,755 | |
6,320,727 | |||
Oil, Gas & Consumable Fuels - 1.0% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | 125,000 | 124,948 | |
Aker BP ASA: | |||
2.875% 1/15/26 (b) | 7,120,000 | 6,641,658 | |
3.1% 7/15/31 (b) | 2,295,000 | 1,930,464 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.75% 3/1/27 (b) | 1,250,000 | 1,184,375 | |
7.875% 5/15/26 (b) | 1,225,000 | 1,246,438 | |
Apache Corp.: | |||
4.25% 1/15/30 | 575,000 | 519,294 | |
5.25% 2/1/42 | 210,000 | 175,954 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 3,445,000 | 2,660,732 | |
5.25% 6/15/37 | 3,195,000 | 3,066,084 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 | 115,000 | 92,058 | |
4% 3/1/31 | 220,000 | 192,775 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26 (b) | 330,000 | 317,884 | |
5.875% 2/1/29 (b) | 105,000 | 100,217 | |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | 45,000 | 37,989 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (b) | 60,000 | 55,950 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,412,238 | |
Comstock Resources, Inc. 6.75% 3/1/29 (b) | 130,000 | 124,082 | |
ConocoPhillips Co. 3.758% 3/15/42 (b) | 525,000 | 460,344 | |
Continental Resources, Inc.: | |||
2.875% 4/1/32 (b) | 5,280,000 | 4,117,790 | |
5.75% 1/15/31 (b) | 770,000 | 737,016 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 1,657,000 | 1,596,975 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b) | 40,000 | 36,738 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 330,000 | 311,309 | |
5.75% 2/15/28 (b) | 40,000 | 36,400 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 17,581,935 | |
5.125% 5/15/29 | 355,000 | 346,019 | |
5.375% 7/15/25 | 345,000 | 345,863 | |
5.6% 4/1/44 | 3,773,000 | 3,636,832 | |
5.625% 7/15/27 | 260,000 | 263,250 | |
5.85% 5/21/43 (b)(c) | 16,392,000 | 15,972,365 | |
Devon Energy Corp. 5.6% 7/15/41 | 900,000 | 889,453 | |
Diamondback Energy, Inc.: | |||
3.125% 3/24/31 | 2,805,000 | 2,418,552 | |
3.25% 12/1/26 | 4,500,000 | 4,316,432 | |
3.5% 12/1/29 | 1,705,000 | 1,546,737 | |
Ecopetrol SA: | |||
5.875% 9/18/23 | 2,218,000 | 2,219,331 | |
6.875% 4/29/30 | 1,534,000 | 1,421,834 | |
EG Global Finance PLC: | |||
4.375% 2/7/25 (Reg. S) | EUR | 4,000,000 | 3,724,465 |
6.25% 10/30/25 (Reg. S) | EUR | 5,600,000 | 5,252,205 |
6.75% 2/7/25 (b) | 220,000 | 207,858 | |
8.5% 10/30/25 (b) | 380,000 | 354,844 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 3,787,976 | |
4.25% 12/1/26 | 1,943,000 | 1,912,539 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | 1,455,000 | 1,435,212 | |
Energean Israel Finance Ltd.: | |||
4.5% 3/30/24 (Reg. S) (b) | 900,000 | 864,000 | |
4.875% 3/30/26 (Reg. S) (b) | 1,356,000 | 1,247,520 | |
5.375% 3/30/28 (Reg. S) (b) | 1,395,000 | 1,252,013 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 2,964,000 | 2,663,768 | |
3.9% 5/15/24 (c) | 1,210,000 | 1,193,251 | |
3.9% 7/15/26 | 955,000 | 913,420 | |
4.2% 9/15/23 | 1,452,000 | 1,448,957 | |
4.25% 3/15/23 | 1,373,000 | 1,373,540 | |
4.5% 4/15/24 | 1,723,000 | 1,716,788 | |
4.75% 1/15/26 | 850,000 | 842,648 | |
4.95% 6/15/28 | 4,954,000 | 4,869,084 | |
5% 5/15/50 | 11,610,000 | 9,963,593 | |
5.15% 3/15/45 | 2,260,000 | 1,948,673 | |
5.25% 4/15/29 | 2,803,000 | 2,732,807 | |
5.3% 4/15/47 | 225,000 | 197,164 | |
5.35% 5/15/45 | 2,595,000 | 2,286,880 | |
5.4% 10/1/47 | 10,546,000 | 9,395,340 | |
5.8% 6/15/38 | 2,762,000 | 2,586,426 | |
6% 6/15/48 | 2,369,000 | 2,251,536 | |
6.125% 12/15/45 | 2,010,000 | 1,936,029 | |
6.25% 4/15/49 | 1,925,000 | 1,886,242 | |
6.625% 10/15/36 | 900,000 | 909,919 | |
EnLink Midstream LLC 5.625% 1/15/28 (b) | 220,000 | 211,343 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 880,000 | 794,706 | |
4.85% 3/15/44 | 2,665,000 | 2,460,179 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 188,674 | |
EQM Midstream Partners LP: | |||
6.5% 7/1/27 (b) | 125,000 | 120,656 | |
6.5% 7/15/48 | 220,000 | 186,663 | |
7.5% 6/1/27 (b) | 290,000 | 286,764 | |
7.5% 6/1/30 (b) | 100,000 | 99,281 | |
EQT Corp.: | |||
3.9% 10/1/27 | 180,000 | 170,392 | |
5% 1/15/29 | 595,000 | 581,583 | |
Equinor ASA: | |||
3.7% 4/6/50 | 920,000 | 798,636 | |
3.95% 5/15/43 | 300,000 | 270,884 | |
Exxon Mobil Corp. 4.114% 3/1/46 | 805,000 | 740,930 | |
Galaxy Pipeline Assets BidCo Ltd.: | |||
2.16% 3/31/34 | 768,688 | 668,759 | |
2.16% 3/31/34 (b) | 542,886 | 472,311 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 505,000 | 477,125 | |
Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) | 3,640,000 | 3,750,383 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,090,550 | |
5.6% 2/15/41 | 3,986,000 | 3,845,686 | |
5.8% 4/1/47 | 4,517,000 | 4,482,667 | |
7.125% 3/15/33 | 1,335,000 | 1,479,261 | |
7.3% 8/15/31 | 1,849,000 | 2,065,778 | |
7.875% 10/1/29 | 5,583,000 | 6,369,060 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 110,000 | 102,163 | |
5.5% 10/15/30 (b) | 50,000 | 45,526 | |
5.625% 2/15/26 (b) | 669,000 | 652,322 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
6% 4/15/30 (b) | 965,000 | 888,408 | |
6.25% 4/15/32 (b) | 950,000 | 851,524 | |
Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
5% 2/1/28 (b) | 375,000 | 349,189 | |
6.375% 4/15/27 (b) | 90,000 | 87,585 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33 (b) | 1,220,000 | 955,870 | |
5.375% 4/24/30 (Reg. S) | 200,000 | 185,975 | |
Kinder Morgan Energy Partners LP 4.15% 2/1/24 | 425,000 | 424,772 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 1,150,000 | 903,577 | |
4.2% 10/3/47 | 795,000 | 648,651 | |
4.25% 9/15/46 | 190,000 | 156,596 | |
Marathon Petroleum Corp. 3.8% 4/1/28 | 5,590,000 | 5,274,803 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (b) | 300,000 | 279,000 | |
7.125% 2/1/27 (b) | 220,000 | 222,310 | |
MPLX LP: | |||
2.65% 8/15/30 | 1,925,000 | 1,604,670 | |
4.125% 3/1/27 | 505,000 | 489,574 | |
4.5% 7/15/23 | 160,000 | 160,584 | |
4.5% 4/15/38 | 1,125,000 | 994,432 | |
4.7% 4/15/48 | 2,160,000 | 1,842,981 | |
4.8% 2/15/29 | 2,965,000 | 2,894,401 | |
4.875% 12/1/24 | 2,489,000 | 2,511,484 | |
4.95% 3/14/52 | 545,000 | 480,674 | |
5.2% 3/1/47 | 3,275,000 | 2,983,724 | |
5.5% 2/15/49 | 4,516,000 | 4,299,632 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26 (b) | 535,000 | 506,832 | |
6.75% 9/15/25 (b) | 540,000 | 522,369 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 195,000 | 179,317 | |
4.1% 2/15/47 | 265,000 | 220,651 | |
4.2% 3/15/48 | 125,000 | 105,047 | |
4.3% 8/15/39 | 70,000 | 60,395 | |
4.4% 4/15/46 | 200,000 | 173,500 | |
4.4% 8/15/49 | 240,000 | 204,491 | |
5.55% 3/15/26 | 7,558,000 | 7,741,168 | |
6.2% 3/15/40 | 65,000 | 65,975 | |
6.45% 9/15/36 | 4,545,000 | 4,857,196 | |
6.6% 3/15/46 | 6,475,000 | 7,127,000 | |
7.5% 5/1/31 | 8,596,000 | 9,682,491 | |
7.875% 9/15/31 | 40,000 | 46,102 | |
8.875% 7/15/30 | 145,000 | 169,389 | |
ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 410,384 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 4,385,000 | 3,780,357 | |
4.45% 9/1/49 | 8,400,000 | 6,722,400 | |
4.95% 7/13/47 | 1,165,000 | 1,002,877 | |
5.2% 7/15/48 | 1,375,000 | 1,227,874 | |
Ovintiv Exploration, Inc. 5.375% 1/1/26 | 310,000 | 315,301 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 3,000,000 | 2,818,980 | |
8.125% 9/15/30 | 6,179,000 | 6,867,676 | |
Parsley Energy LLC/Parsley Finance Corp. 5.625% 10/15/27 (b) | 1,920,000 | 1,853,252 | |
PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28 | 190,000 | 170,651 | |
Petrobras Global Finance BV: | |||
5.75% 2/1/29 | 407,000 | 405,677 | |
6.25% 12/14/26 | GBP | 800,000 | 936,795 |
7.375% 1/17/27 | 557,000 | 590,420 | |
Petroleos Mexicanos: | |||
3.75% 2/21/24 (Reg. S) | EUR | 2,300,000 | 2,256,201 |
4.75% 2/26/29 (Reg. S) | EUR | 3,400,000 | 2,699,296 |
5.35% 2/12/28 | 253,000 | 205,588 | |
5.95% 1/28/31 | 2,830,000 | 2,117,548 | |
6.5% 3/13/27 | 37,757,000 | 33,256,366 | |
6.5% 1/23/29 | 1,190,000 | 985,201 | |
6.75% 9/21/47 | 11,150,000 | 7,001,085 | |
6.84% 1/23/30 | 9,212,000 | 7,461,720 | |
7.69% 1/23/50 | 84,565,000 | 57,715,613 | |
Petronas Capital Ltd.: | |||
2.48% 1/28/32 (b) | 200,000 | 174,482 | |
3.5% 4/21/30 (b) | 1,700,000 | 1,632,102 | |
Phillips 66 Co.: | |||
2.15% 12/15/30 | 800,000 | 655,890 | |
3.75% 3/1/28 (b) | 595,000 | 559,394 | |
4.9% 10/1/46 (b) | 750,000 | 708,192 | |
Pioneer Natural Resources Co.: | |||
1.9% 8/15/30 | 1,570,000 | 1,279,153 | |
2.15% 1/15/31 | 325,000 | 267,473 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 3,784,000 | 3,311,910 | |
3.6% 11/1/24 | 1,877,000 | 1,832,250 | |
5.15% 6/1/42 | 2,125,000 | 1,786,667 | |
PT Pertamina Persero 3.1% 8/27/30 (b) | 600,000 | 535,566 | |
Qatar Petroleum: | |||
1.375% 9/12/26 (b) | 1,000,000 | 904,500 | |
2.25% 7/12/31 (Reg. S) | 620,000 | 539,400 | |
3.125% 7/12/41 (b) | 1,145,000 | 926,233 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (b) | 1,331,000 | 1,116,376 | |
4.95% 7/15/29 (b) | 2,375,000 | 2,142,177 | |
SA Global Sukuk Ltd. 1.602% 6/17/26 (Reg. S) | 200,000 | 183,580 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 13,018,000 | 12,462,542 | |
Santos Finance Ltd. 3.649% 4/29/31 (b) | 4,800,000 | 4,031,253 | |
Saudi Arabian Oil Co. 1.625% 11/24/25 (Reg. S) | 800,000 | 740,000 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 209,845 | |
Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,440,621 | |
SM Energy Co. 6.625% 1/15/27 | 300,000 | 292,500 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,031,101 | |
Suncor Energy, Inc.: | |||
3.75% 3/4/51 | 695,000 | 555,587 | |
6.8% 5/15/38 | 350,000 | 385,772 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 255,000 | 216,645 | |
5.875% 3/15/28 | 55,000 | 51,140 | |
6% 4/15/27 | 420,000 | 406,195 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
6% 12/31/30 (b) | 2,450,000 | 2,144,396 | |
6% 9/1/31 (b) | 225,000 | 196,875 | |
Targa Resources Corp. 4.2% 2/1/33 | 1,075,000 | 965,211 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30 | 55,000 | 53,722 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 9,528,111 | |
3.7% 1/15/23 | 2,512,000 | 2,513,145 | |
3.75% 6/15/27 | 1,635,000 | 1,577,566 | |
4.65% 8/15/32 | 6,660,000 | 6,420,557 | |
4.85% 3/1/48 | 100,000 | 90,147 | |
4.9% 1/15/45 | 960,000 | 862,480 | |
5.3% 8/15/52 | 1,511,000 | 1,454,881 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,368,096 | |
2.829% 1/10/30 | 800,000 | 721,889 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 3,185,000 | 2,846,908 | |
4.6% 3/15/48 | 350,000 | 317,334 | |
TransMontaigne Partners LP 6.125% 2/15/26 | 1,158,000 | 995,880 | |
Valero Energy Corp. 4% 4/1/29 | 1,120,000 | 1,065,253 | |
Var Energi ASA 5% 5/18/27 (b) | 5,410,000 | 5,316,998 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (b) | 340,000 | 296,650 | |
3.875% 11/1/33 (b) | 115,000 | 95,546 | |
4.125% 8/15/31 (b) | 285,000 | 247,360 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,126,000 | 1,075,758 | |
4.3% 2/1/30 | 785,000 | 708,463 | |
4.65% 7/1/26 | 2,085,000 | 1,984,232 | |
4.75% 8/15/28 | 1,465,000 | 1,379,107 | |
473,264,006 | |||
TOTAL ENERGY | 479,584,733 | ||
FINANCIALS - 3.7% | |||
Banks - 1.7% | |||
ABN AMRO Bank NV 2.47% 12/13/29 (b)(c) | 3,000,000 | 2,507,676 | |
AIB Group PLC: | |||
1.875% 11/19/29 (Reg. S) (c) | EUR | 1,510,000 | 1,399,718 |
2.25% 4/4/28 (Reg. S) (c) | EUR | 1,900,000 | 1,744,488 |
2.875% 5/30/31 (Reg. S) (c) | EUR | 400,000 | 367,603 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) | EUR | 390,000 | 325,976 |
Banco Santander SA 3.49% 5/28/30 | 1,000,000 | 855,918 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(g) | 1,554,000 | 1,457,188 | |
1.658% 3/11/27 (c) | 8,135,000 | 7,290,248 | |
1.734% 7/22/27 (c) | 13,095,000 | 11,619,876 | |
1.922% 10/24/31 (c) | 3,580,000 | 2,832,153 | |
2.087% 6/14/29 (c) | 7,865,000 | 6,686,597 | |
2.496% 2/13/31 (c) | 12,655,000 | 10,617,434 | |
2.572% 10/20/32 (c) | 4,575,000 | 3,739,448 | |
2.592% 4/29/31 (c) | 2,295,000 | 1,936,288 | |
2.651% 3/11/32 (c) | 16,000,000 | 13,265,317 | |
2.676% 6/19/41 (c) | 3,550,000 | 2,541,923 | |
2.687% 4/22/32 (c) | 4,930,000 | 4,086,955 | |
2.972% 2/4/33 (c) | 1,915,000 | 1,608,967 | |
3.004% 12/20/23 (c) | 3,865,000 | 3,850,722 | |
3.093% 10/1/25 (c) | 746,000 | 722,360 | |
3.3% 1/11/23 | 3,572,000 | 3,569,191 | |
3.419% 12/20/28 (c) | 8,640,000 | 8,002,894 | |
3.5% 4/19/26 | 5,358,000 | 5,213,813 | |
3.95% 4/21/25 | 12,493,000 | 12,368,170 | |
3.97% 3/5/29 (c) | 10,565,000 | 10,000,126 | |
4% 1/22/25 | 43,905,000 | 43,544,280 | |
4.078% 4/23/40 (c) | 7,865,000 | 6,861,663 | |
4.1% 7/24/23 | 13,989,000 | 14,012,685 | |
4.2% 8/26/24 | 2,028,000 | 2,024,706 | |
4.25% 10/22/26 | 10,727,000 | 10,565,204 | |
4.271% 7/23/29 (c) | 3,660,000 | 3,500,572 | |
4.45% 3/3/26 | 2,065,000 | 2,056,603 | |
Bank of Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S) (c) | EUR | 2,365,000 | 2,026,798 |
2.029% 9/30/27 (b)(c) | 1,400,000 | 1,203,852 | |
Barclays PLC: | |||
2.645% 6/24/31 (c) | 2,615,000 | 2,074,726 | |
2.667% 3/10/32 (c) | 10,165,000 | 7,951,835 | |
2.852% 5/7/26 (c) | 10,143,000 | 9,496,107 | |
4.836% 5/9/28 | 6,667,000 | 6,289,093 | |
4.95% 1/10/47 | 1,435,000 | 1,319,278 | |
4.972% 5/16/29 (c) | 15,000,000 | 14,312,956 | |
5.088% 6/20/30 (c) | 13,438,000 | 12,544,663 | |
5.2% 5/12/26 | 1,701,000 | 1,687,993 | |
5.501% 8/9/28 (c) | 220,000 | 216,342 | |
5.746% 8/9/33 (c) | 326,000 | 319,426 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(g) | 9,875,000 | 8,662,270 | |
2.159% 9/15/29 (b)(c) | 1,870,000 | 1,538,907 | |
2.219% 6/9/26 (b)(c) | 9,163,000 | 8,446,279 | |
2.5% 3/31/32 (Reg. S) (c) | EUR | 1,400,000 | 1,269,901 |
3.132% 1/20/33 (b)(c) | 3,670,000 | 2,988,212 | |
BPCE SA 1.5% 1/13/42 (Reg. S) (c) | EUR | 1,200,000 | 1,043,536 |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.150% 3.52% 10/27/28 (c)(g) | 4,710,000 | 4,371,189 | |
1.462% 6/9/27 (c) | 6,780,000 | 5,981,177 | |
2.561% 5/1/32 (c) | 3,940,000 | 3,222,499 | |
2.572% 6/3/31 (c) | 6,305,000 | 5,267,960 | |
2.666% 1/29/31 (c) | 19,195,000 | 16,183,320 | |
2.904% 11/3/42 (c) | 470,000 | 343,531 | |
2.976% 11/5/30 (c) | 240,000 | 209,157 | |
3.057% 1/25/33 (c) | 600,000 | 507,704 | |
3.07% 2/24/28 (c) | 1,565,000 | 1,447,005 | |
3.352% 4/24/25 (c) | 600,000 | 588,027 | |
3.785% 3/17/33 (c) | 3,945,000 | 3,546,059 | |
4.075% 4/23/29 (c) | 26,430,000 | 25,139,283 | |
4.3% 11/20/26 | 2,129,000 | 2,099,010 | |
4.4% 6/10/25 | 17,376,000 | 17,300,120 | |
4.412% 3/31/31 (c) | 13,726,000 | 13,098,044 | |
4.45% 9/29/27 | 4,630,000 | 4,514,135 | |
4.6% 3/9/26 | 3,500,000 | 3,491,723 | |
4.65% 7/30/45 | 350,000 | 321,065 | |
4.75% 5/18/46 | 10,000,000 | 9,006,417 | |
5.5% 9/13/25 | 8,267,000 | 8,481,045 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 9,574,000 | 7,615,052 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 3,419,000 | 2,984,155 | |
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) | GBP | 980,000 | 991,429 |
DNB Bank ASA 1.605% 3/30/28 (b)(c) | 4,905,000 | 4,243,657 | |
First Citizens Bank & Trust Co.: | |||
3.929% 6/19/24 (c) | 1,375,000 | 1,361,648 | |
6.125% 3/9/28 | 4,840,000 | 4,991,866 | |
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | 145,000 | 125,830 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (c) | 635,000 | 591,912 | |
1.589% 5/24/27 (c) | 675,000 | 587,953 | |
2.013% 9/22/28 (c) | 5,985,000 | 5,060,066 | |
2.099% 6/4/26 (c) | 2,295,000 | 2,114,911 | |
2.206% 8/17/29 (c) | 6,795,000 | 5,623,525 | |
2.804% 5/24/32 (c) | 1,665,000 | 1,320,936 | |
4.041% 3/13/28 (c) | 3,380,000 | 3,179,786 | |
4.25% 3/14/24 | 1,872,000 | 1,866,415 | |
4.292% 9/12/26 (c) | 3,000,000 | 2,914,190 | |
4.755% 6/9/28 (c) | 2,825,000 | 2,724,408 | |
4.95% 3/31/30 | 1,855,000 | 1,799,700 | |
5.402% 8/11/33 (c) | 3,075,000 | 2,925,783 | |
ING Groep NV 1.726% 4/1/27 (c) | 5,935,000 | 5,255,341 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 31,005,000 | 29,661,037 | |
5.71% 1/15/26 (b) | 10,048,000 | 9,425,049 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 398,173 | |
JPMorgan Chase & Co.: | |||
1.47% 9/22/27 (c) | 4,565,000 | 3,997,672 | |
1.578% 4/22/27 (c) | 3,395,000 | 3,029,181 | |
1.764% 11/19/31 (c) | 4,860,000 | 3,823,983 | |
1.953% 2/4/32 (c) | 3,160,000 | 2,505,096 | |
2.005% 3/13/26 (c) | 7,285,000 | 6,831,752 | |
2.522% 4/22/31 (c) | 4,025,000 | 3,404,643 | |
2.525% 11/19/41 (c) | 22,775,000 | 15,946,645 | |
2.545% 11/8/32 (c) | 5,570,000 | 4,579,814 | |
2.58% 4/22/32 (c) | 9,159,000 | 7,566,347 | |
2.739% 10/15/30 (c) | 8,845,000 | 7,659,876 | |
2.947% 2/24/28 (c) | 2,035,000 | 1,888,721 | |
2.956% 5/13/31 (c) | 5,386,000 | 4,616,327 | |
3.509% 1/23/29 (c) | 6,550,000 | 6,060,880 | |
3.875% 9/10/24 | 250,000 | 248,908 | |
3.882% 7/24/38 (c) | 4,490,000 | 3,944,715 | |
4.005% 4/23/29 (c) | 2,290,000 | 2,166,475 | |
4.125% 12/15/26 | 4,475,000 | 4,418,673 | |
Lloyds Banking Group PLC: | |||
1.627% 5/11/27 (c) | 2,000,000 | 1,766,544 | |
1.985% 12/15/31 (c) | GBP | 665,000 | 650,942 |
2.907% 11/7/23 (c) | 5,690,000 | 5,673,088 | |
3.574% 11/7/28 (c) | 875,000 | 808,638 | |
3.87% 7/9/25 (c) | 5,375,000 | 5,265,640 | |
4.375% 3/22/28 | 1,365,000 | 1,318,659 | |
4.976% 8/11/33 (c) | 2,530,000 | 2,403,240 | |
M&T Bank Corp. 4% 7/15/24 | 40,000 | 39,822 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 5,799,000 | 5,238,750 | |
3.619% 3/29/29 (Reg. S) (c) | GBP | 900,000 | 942,353 |
3.622% 8/14/30 (Reg. S) (c) | GBP | 1,900,000 | 2,044,553 |
4.269% 3/22/25 (c) | 7,301,000 | 7,217,225 | |
4.8% 4/5/26 | 15,438,000 | 15,351,907 | |
5.125% 5/28/24 | 25,198,000 | 25,202,317 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 10,828,000 | 10,683,834 | |
PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 374,654 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 7,583,972 | |
Santander UK Group Holdings PLC: | |||
1.089% 3/15/25 (c) | 6,685,000 | 6,254,201 | |
1.673% 6/14/27 (c) | 6,825,000 | 5,903,174 | |
4.796% 11/15/24 (c) | 4,025,000 | 4,009,933 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(c) | 9,875,000 | 8,605,719 | |
2.797% 1/19/28 (b)(c) | 1,835,000 | 1,616,814 | |
3.337% 1/21/33 (b)(c) | 1,315,000 | 1,057,655 | |
4.25% 4/14/25 (b) | 21,901,000 | 21,444,687 | |
4.75% 11/24/25 (b) | 830,000 | 810,895 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 250,095 | |
UniCredit SpA: | |||
2.731% 1/15/32 (Reg. S) (c) | EUR | 1,880,000 | 1,586,412 |
3.127% 6/3/32 (b)(c) | 2,515,000 | 1,891,854 | |
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) | GBP | 600,000 | 659,430 |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 7,535,000 | 7,089,522 | |
2.188% 4/30/26 (c) | 4,250,000 | 3,978,124 | |
2.406% 10/30/25 (c) | 5,834,000 | 5,574,509 | |
2.572% 2/11/31 (c) | 2,285,000 | 1,935,351 | |
2.879% 10/30/30 (c) | 23,750,000 | 20,832,030 | |
3.35% 3/2/33 (c) | 8,765,000 | 7,651,357 | |
3.526% 3/24/28 (c) | 8,796,000 | 8,309,364 | |
4.125% 8/15/23 | 280,000 | 280,065 | |
4.3% 7/22/27 | 21,880,000 | 21,527,403 | |
4.478% 4/4/31 (c) | 15,500,000 | 14,906,501 | |
4.65% 11/4/44 | 1,335,000 | 1,203,422 | |
4.897% 7/25/33 (c) | 2,645,000 | 2,602,580 | |
5.013% 4/4/51 (c) | 3,500,000 | 3,418,314 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 4,937,000 | 4,440,780 | |
840,546,265 | |||
Capital Markets - 1.0% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 1,848,539 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 13,816,000 | 12,993,459 | |
4.2% 6/10/24 | 12,032,000 | 11,924,162 | |
Bank of New York Mellon Corp. 1.6% 4/24/25 | 525,000 | 494,265 | |
Cboe Global Markets, Inc. 3% 3/16/32 | 3,560,000 | 3,154,048 | |
Charles Schwab Corp. 2.9% 3/3/32 | 3,115,000 | 2,745,907 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28 (b) | 285,000 | 184,183 | |
3.625% 10/1/31 (b) | 615,000 | 374,434 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (b)(c) | 6,900,000 | 5,806,056 | |
2.125% 10/13/26 (Reg. S) (c) | EUR | 1,400,000 | 1,288,395 |
2.125% 11/15/29 (Reg. S) (c) | GBP | 700,000 | 616,265 |
2.193% 6/5/26 (b)(c) | 1,665,000 | 1,487,611 | |
2.593% 9/11/25 (b)(c) | 13,060,000 | 12,083,477 | |
3.091% 5/14/32 (b)(c) | 19,770,000 | 14,942,227 | |
3.75% 3/26/25 | 15,667,000 | 14,970,389 | |
4.194% 4/1/31 (b)(c) | 13,355,000 | 11,221,173 | |
4.282% 1/9/28 (b) | 1,250,000 | 1,122,132 | |
4.55% 4/17/26 | 7,159,000 | 6,862,289 | |
6.537% 8/12/33 (b)(c) | 9,195,000 | 8,780,281 | |
Deutsche Bank AG: | |||
3.25% 5/24/28 (Reg. S) (c) | EUR | 600,000 | 561,962 |
4% 6/24/32 (Reg. S) (c) | EUR | 1,300,000 | 1,179,815 |
4.5% 4/1/25 | 13,996,000 | 13,542,382 | |
Deutsche Bank AG New York Branch 3.3% 11/16/22 | 10,180,000 | 10,162,723 | |
Goldman Sachs Group, Inc.: | |||
1.217% 12/6/23 | 7,855,000 | 7,583,876 | |
1.431% 3/9/27 (c) | 15,505,000 | 13,794,409 | |
1.948% 10/21/27 (c) | 6,735,000 | 5,981,936 | |
1.992% 1/27/32 (c) | 8,500,000 | 6,721,388 | |
2.383% 7/21/32 (c) | 14,925,000 | 12,081,480 | |
2.65% 10/21/32 (c) | 2,130,000 | 1,748,925 | |
3.2% 2/23/23 | 2,275,000 | 2,270,888 | |
3.814% 4/23/29 (c) | 7,695,000 | 7,200,653 | |
4.017% 10/31/38 (c) | 6,495,000 | 5,661,457 | |
4.223% 5/1/29 (c) | 3,395,000 | 3,246,183 | |
6.75% 10/1/37 | 50,954,000 | 56,478,590 | |
Hightower Holding LLC 6.75% 4/15/29 (b) | 350,000 | 294,160 | |
Intercontinental Exchange, Inc.: | |||
1.85% 9/15/32 | 3,475,000 | 2,737,598 | |
3.75% 12/1/25 | 3,162,000 | 3,128,425 | |
4.6% 3/15/33 | 1,120,000 | 1,108,848 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 65,000 | 58,896 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. 2.625% 10/15/31 | 5,530,000 | 4,295,969 | |
Jefferies Group, Inc. 2.75% 10/15/32 | 1,355,000 | 1,040,869 | |
LPL Holdings, Inc. 4% 3/15/29 (b) | 445,000 | 394,012 | |
Macquarie Group Ltd.: | |||
1.34% 1/12/27 (b)(c) | 5,861,000 | 5,128,391 | |
2.871% 1/14/33 (b)(c) | 1,690,000 | 1,354,709 | |
3.189% 11/28/23 (b)(c) | 1,885,000 | 1,879,484 | |
Moody's Corp. 4.25% 8/8/32 | 2,065,000 | 1,997,092 | |
Morgan Stanley: | |||
1.512% 7/20/27 (c) | 10,390,000 | 9,200,362 | |
1.794% 2/13/32 (c) | 6,555,000 | 5,144,436 | |
1.928% 4/28/32 (c) | 9,690,000 | 7,675,015 | |
2.239% 7/21/32 (c) | 5,560,000 | 4,478,618 | |
2.484% 9/16/36 (c) | 1,820,000 | 1,401,008 | |
2.511% 10/20/32 (c) | 5,850,000 | 4,790,504 | |
2.699% 1/22/31 (c) | 27,640,000 | 23,914,349 | |
2.943% 1/21/33 (c) | 2,860,000 | 2,433,349 | |
3.125% 7/27/26 | 37,616,000 | 35,837,389 | |
3.622% 4/1/31 (c) | 13,084,000 | 11,988,788 | |
3.7% 10/23/24 | 21,259,000 | 21,107,941 | |
3.772% 1/24/29 (c) | 5,345,000 | 5,044,939 | |
3.875% 1/27/26 | 540,000 | 533,921 | |
4% 7/23/25 | 1,000,000 | 993,816 | |
4.35% 9/8/26 | 2,070,000 | 2,045,673 | |
4.431% 1/23/30 (c) | 2,525,000 | 2,459,702 | |
5% 11/24/25 | 40,891,000 | 41,527,863 | |
MSCI, Inc. 3.25% 8/15/33 (b) | 90,000 | 71,433 | |
Nomura Holdings, Inc.: | |||
2.608% 7/14/31 | 1,155,000 | 923,517 | |
2.648% 1/16/25 | 1,075,000 | 1,023,545 | |
S&P Global, Inc. 2.9% 3/1/32 (b) | 1,000,000 | 886,904 | |
State Street Corp.: | |||
2.2% 3/3/31 | 12,290,000 | 10,204,487 | |
2.901% 3/30/26 (c) | 833,000 | 800,797 | |
UBS Group AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 3.8623% 5/12/26 (b)(c)(g) | 4,920,000 | 4,931,220 | |
4.488% 5/12/26 (b)(c) | 3,035,000 | 3,003,374 | |
4.988% 8/5/33 (Reg. S) (c) | 200,000 | 192,762 | |
487,150,124 | |||
Consumer Finance - 0.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 10,272,000 | 9,504,784 | |
2.45% 10/29/26 | 3,749,000 | 3,305,693 | |
2.875% 8/14/24 | 7,954,000 | 7,598,031 | |
3% 10/29/28 | 11,826,000 | 10,053,504 | |
3.15% 2/15/24 | 2,065,000 | 2,001,955 | |
3.3% 1/30/32 | 4,200,000 | 3,389,532 | |
4.125% 7/3/23 | 5,132,000 | 5,119,369 | |
4.45% 4/3/26 | 4,282,000 | 4,114,583 | |
4.875% 1/16/24 | 11,491,000 | 11,435,837 | |
6.5% 7/15/25 | 4,320,000 | 4,423,567 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 2,261,000 | 2,192,481 | |
3.05% 6/5/23 | 11,748,000 | 11,659,172 | |
3.875% 5/21/24 | 6,322,000 | 6,268,270 | |
5.125% 9/30/24 | 2,688,000 | 2,721,912 | |
5.8% 5/1/25 | 6,894,000 | 7,052,150 | |
American Express Co. 2.55% 3/4/27 | 3,110,000 | 2,888,003 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (c) | 4,720,000 | 4,526,736 | |
3.65% 5/11/27 | 15,820,000 | 15,122,454 | |
3.8% 1/31/28 | 7,795,000 | 7,365,476 | |
4.985% 7/24/26 (c) | 6,500,000 | 6,490,890 | |
5.247% 7/26/30 (c) | 6,880,000 | 6,768,167 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 8,102,000 | 8,020,198 | |
4.5% 1/30/26 | 6,463,000 | 6,329,682 | |
First Cash Financial Services, Inc. 5.625% 1/1/30 (b) | 1,500,000 | 1,342,500 | |
Ford Motor Credit Co. LLC: | |||
2.9% 2/16/28 | 275,000 | 229,969 | |
4% 11/13/30 | 345,000 | 288,206 | |
4.063% 11/1/24 | 22,139,000 | 21,490,991 | |
4.125% 8/17/27 | 185,000 | 166,635 | |
4.271% 1/9/27 | 85,000 | 77,639 | |
4.687% 6/9/25 | 180,000 | 172,800 | |
5.113% 5/3/29 | 400,000 | 369,670 | |
5.125% 6/16/25 | 135,000 | 131,873 | |
5.584% 3/18/24 | 8,575,000 | 8,533,851 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 6,791,000 | 6,421,127 | |
John Deere Capital Corp. 2.65% 6/24/24 | 615,000 | 605,107 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 500,000 | 372,549 | |
5.375% 11/15/29 | 1,679,000 | 1,390,565 | |
6.875% 3/15/25 | 1,165,000 | 1,132,409 | |
Synchrony Financial: | |||
3.95% 12/1/27 | 8,719,000 | 7,926,539 | |
4.25% 8/15/24 | 6,050,000 | 5,981,341 | |
4.375% 3/19/24 | 7,165,000 | 7,134,862 | |
5.15% 3/19/29 | 13,451,000 | 12,792,968 | |
224,914,047 | |||
Diversified Financial Services - 0.2% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 2,500,000 | 2,389,150 | |
Altus Midstream LP 5.875% 6/15/30 (b) | 105,000 | 99,888 | |
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 940,000 | 790,464 | |
Athene Global Funding: | |||
1.608% 6/29/26 (b) | 3,350,000 | 2,915,247 | |
2.717% 1/7/29 (b) | 4,805,000 | 4,077,331 | |
3.205% 3/8/27 (b) | 1,485,000 | 1,349,320 | |
Blackstone Private Credit Fund 4.875% 4/14/26 | GBP | 1,200,000 | 1,253,669 |
Brixmor Operating Partnership LP: | |||
2.5% 8/16/31 | 2,070,000 | 1,601,927 | |
4.05% 7/1/30 | 12,288,000 | 10,922,641 | |
4.125% 6/15/26 | 5,706,000 | 5,516,165 | |
4.125% 5/15/29 | 6,724,000 | 6,189,242 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 827,000 | 827,996 | |
Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 4.6497% 5/31/25 (b)(c)(e)(g) | 7,700,000 | 7,700,000 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.25% 5/15/27 | 140,000 | 127,225 | |
6.25% 5/15/26 | 2,209,000 | 2,117,625 | |
6.375% 12/15/25 | 205,000 | 200,048 | |
Indian Railway Finance Corp. Ltd. 3.57% 1/21/32 (b) | 1,010,000 | 872,261 | |
Jackson Financial, Inc.: | |||
5.17% 6/8/27 | 2,958,000 | 2,920,084 | |
5.67% 6/8/32 | 3,734,000 | 3,624,810 | |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 1,145,000 | 845,188 |
M&G PLC 5.625% 10/20/51 (Reg. S) (c) | GBP | 830,000 | 895,659 |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 8,593,000 | 8,485,250 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 7,438,363 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,800,000 | 7,546,892 | |
Power Finance Corp. Ltd.: | |||
1.841% 9/21/28 (Reg. S) | EUR | 2,400,000 | 1,974,425 |
6.15% 12/6/28 (b) | 3,050,000 | 3,139,213 | |
Sasol Financing International PLC 4.5% 11/14/22 | 1,790,000 | 1,781,050 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 495,000 | 399,188 | |
88,000,321 | |||
Insurance - 0.3% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 145,000 | 144,333 | |
3.15% 3/15/25 | 1,765,000 | 1,736,028 | |
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) | EUR | 395,000 | 321,989 |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27 (b) | 340,000 | 306,262 | |
6.75% 10/15/27 (b) | 325,000 | 295,198 | |
Aon Corp. 2.8% 5/15/30 | 3,670,000 | 3,203,684 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 4,420,000 | 4,322,058 | |
Arthur J. Gallagher & Co. 3.05% 3/9/52 | 3,030,000 | 2,085,201 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 120,000 | 85,932 | |
1.777% 11/15/30 | 870,000 | 707,611 | |
Berkshire Hathaway Finance Corp. 3.85% 3/15/52 | 4,665,000 | 4,024,622 | |
CNA Financial Corp.: | |||
3.9% 5/1/29 | 1,400,000 | 1,310,826 | |
3.95% 5/15/24 | 1,400,000 | 1,395,382 | |
Credit Agricole Assurances SA 4.75% 9/27/48 (c) | EUR | 1,200,000 | 1,202,984 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 3,225,000 | 3,071,813 | |
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | 1,725,000 | 1,300,881 | |
Fairfax Financial Holdings Ltd.: | |||
3.375% 3/3/31 | 4,595,000 | 3,926,467 | |
5.625% 8/16/32 (b) | 5,100,000 | 4,996,554 | |
Farmers Exchange Capital II 6.151% 11/1/53 (b)(c) | 1,500,000 | 1,525,892 | |
Farmers Exchange Capital III 5.454% 10/15/54 (b)(c) | 3,335,000 | 3,234,513 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) | EUR | 500,000 | 453,725 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 12,846,000 | 11,137,582 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 9,380,000 | 9,124,951 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 230,000 | 203,318 | |
4.35% 3/1/48 | 165,000 | 141,140 | |
6.3% 10/9/37 | 110,000 | 119,438 | |
Markel Corp.: | |||
3.45% 5/7/52 | 840,000 | 620,924 | |
4.15% 9/17/50 | 445,000 | 369,737 | |
4.3% 11/1/47 | 650,000 | 552,092 | |
Marsh & McLennan Companies, Inc.: | |||
2.25% 11/15/30 | 1,940,000 | 1,655,252 | |
3.5% 6/3/24 | 1,140,000 | 1,132,966 | |
Metropolitan Life Global Funding I 4.3% 8/25/29 (b) | 7,000,000 | 6,811,534 | |
Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 4.1189% 12/15/24 (b)(c)(g) | 5,490,000 | 5,491,184 | |
New York Life Insurance Co. 3.75% 5/15/50 (b) | 2,630,000 | 2,187,831 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 5,278,000 | 5,186,807 | |
Protective Life Global Funding 1.9% 7/6/28 (b) | 2,595,000 | 2,216,205 | |
Prudential PLC 2.95% 11/3/33 (Reg. S) (c) | 2,100,000 | 1,787,360 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S) (c) | GBP | 950,000 | 869,097 |
6.75% 12/2/44 (Reg. S) (c) | 2,025,000 | 2,032,594 | |
Ryan Specialty Group LLC 4.375% 2/1/30 (b) | 165,000 | 148,706 | |
SunAmerica, Inc.: | |||
3.85% 4/5/29 (b) | 2,590,000 | 2,383,838 | |
3.9% 4/5/32 (b) | 6,598,000 | 5,926,864 | |
4.35% 4/5/42 (b) | 701,000 | 594,300 | |
4.4% 4/5/52 (b) | 2,074,000 | 1,730,134 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 3,200,000 | 3,040,000 | |
Teachers Insurance & Annuity Association of America: | |||
3.3% 5/15/50 (b) | 3,310,000 | 2,517,899 | |
4.375% 9/15/54 (b)(c) | 2,100,000 | 2,042,287 | |
The Chubb Corp. 6% 5/11/37 | 130,000 | 147,280 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 5,533,015 | |
5.75% 8/15/42 | 2,238,000 | 2,070,704 | |
Willis Group North America, Inc. 2.95% 9/15/29 | 4,385,000 | 3,790,737 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) | 900,000 | 733,572 | |
121,951,303 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Home Point Capital, Inc. 5% 2/1/26 (b) | 275,000 | 195,250 | |
Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b) | 500,000 | 444,708 | |
Nationwide Building Society: | |||
3.766% 3/8/24 (b)(c) | 1,970,000 | 1,960,504 | |
4.363% 8/1/24 (b)(c) | 2,510,000 | 2,491,160 | |
PennyMac Financial Services, Inc. 4.25% 2/15/29 (b) | 1,200,000 | 938,400 | |
6,030,022 | |||
TOTAL FINANCIALS | 1,768,592,082 | ||
HEALTH CARE - 0.8% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
4.05% 11/21/39 | 18,245,000 | 16,082,697 | |
4.25% 11/21/49 | 1,215,000 | 1,068,441 | |
4.4% 11/6/42 | 3,405,000 | 3,080,379 | |
4.5% 5/14/35 | 2,200,000 | 2,092,410 | |
4.55% 3/15/35 | 400,000 | 383,845 | |
4.7% 5/14/45 | 5,225,000 | 4,866,358 | |
4.875% 11/14/48 | 335,000 | 324,811 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,835,000 | 3,628,992 | |
2.8% 8/15/41 | 2,030,000 | 1,521,512 | |
4.4% 5/1/45 | 1,450,000 | 1,304,502 | |
4.663% 6/15/51 | 120,000 | 112,424 | |
4.875% 3/1/53 | 3,390,000 | 3,288,292 | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 494,000 | 345,800 | |
Gilead Sciences, Inc. 4.5% 2/1/45 | 565,000 | 514,130 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (b) | 1,800,000 | 1,500,571 | |
40,115,164 | |||
Health Care Equipment & Supplies - 0.1% | |||
Alcon Finance Corp.: | |||
2.6% 5/27/30 (b) | 2,185,000 | 1,859,224 | |
3% 9/23/29 (b) | 4,500,000 | 3,991,888 | |
Avantor Funding, Inc.: | |||
3.875% 7/15/28 (Reg. S) | EUR | 2,500,000 | 2,292,847 |
4.625% 7/15/28 (b) | 380,000 | 345,754 | |
Becton, Dickinson & Co.: | |||
1.957% 2/11/31 | 3,000,000 | 2,442,935 | |
2.823% 5/20/30 | 1,695,000 | 1,494,844 | |
3.7% 6/6/27 | 118,000 | 114,603 | |
3.734% 12/15/24 | 1,734,000 | 1,718,522 | |
4.298% 8/22/32 | 750,000 | 728,351 | |
Dentsply Sirona, Inc. 3.25% 6/1/30 | 3,000,000 | 2,470,398 | |
Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b) | 4,787,000 | 4,776,641 | |
Hologic, Inc. 3.25% 2/15/29 (b) | 225,000 | 191,802 | |
Mozart Borrower LP: | |||
3.875% 4/1/29 (b) | 2,100,000 | 1,779,750 | |
5.25% 10/1/29 (b) | 425,000 | 357,179 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 535,000 | 530,765 | |
3.375% 11/1/25 | 430,000 | 419,124 | |
3.5% 3/15/26 | 675,000 | 663,030 | |
3.65% 3/7/28 | 4,060,000 | 3,966,853 | |
Teleflex, Inc. 4.25% 6/1/28 (b) | 60,000 | 54,513 | |
30,199,023 | |||
Health Care Providers & Services - 0.4% | |||
180 Medical, Inc. 3.875% 10/15/29 (b) | 200,000 | 174,119 | |
AHS Hospital Corp. 2.78% 7/1/51 | 315,000 | 221,279 | |
AmerisourceBergen Corp. 2.7% 3/15/31 | 5,980,000 | 5,090,817 | |
Ascension Health: | |||
2.532% 11/15/29 | 295,000 | 263,446 | |
3.106% 11/15/39 | 610,000 | 501,673 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 2,320,000 | 2,009,686 | |
Centene Corp.: | |||
2.45% 7/15/28 | 7,280,000 | 6,139,879 | |
2.625% 8/1/31 | 2,980,000 | 2,384,179 | |
3% 10/15/30 | 7,638,000 | 6,372,880 | |
3.375% 2/15/30 | 5,670,000 | 4,862,025 | |
4.25% 12/15/27 | 8,825,000 | 8,380,750 | |
4.625% 12/15/29 | 7,750,000 | 7,300,810 | |
Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 235,986 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 265,000 | 243,837 | |
Cigna Corp.: | |||
2.4% 3/15/30 | 4,245,000 | 3,630,705 | |
3.25% 4/15/25 | 355,000 | 346,871 | |
3.4% 3/15/51 | 4,490,000 | 3,417,547 | |
4.375% 10/15/28 | 14,599,000 | 14,376,857 | |
4.5% 2/25/26 | 4,665,000 | 4,674,742 | |
4.8% 7/15/46 | 2,375,000 | 2,219,241 | |
CommonSpirit Health: | |||
2.76% 10/1/24 | 575,000 | 557,025 | |
2.782% 10/1/30 | 695,000 | 581,852 | |
3.347% 10/1/29 | 1,500,000 | 1,340,684 | |
4.35% 11/1/42 | 2,500,000 | 2,228,832 | |
Community Health Systems, Inc. 4.75% 2/15/31 (b) | 560,000 | 413,504 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 9,385,000 | 6,782,254 | |
3.625% 4/1/27 | 2,341,000 | 2,276,720 | |
4.3% 3/25/28 | 653,000 | 645,544 | |
4.78% 3/25/38 | 1,320,000 | 1,254,735 | |
5.05% 3/25/48 | 8,960,000 | 8,626,801 | |
5.125% 7/20/45 | 1,815,000 | 1,740,781 | |
5.3% 12/5/43 | 1,405,000 | 1,394,694 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31 (b) | 1,900,000 | 1,397,973 | |
4.625% 6/1/30 (b) | 125,000 | 100,630 | |
Elevance Health, Inc.: | |||
3.3% 1/15/23 | 3,395,000 | 3,390,270 | |
3.65% 12/1/27 | 1,260,000 | 1,220,583 | |
4.101% 3/1/28 | 1,570,000 | 1,538,416 | |
4.625% 5/15/42 | 1,420,000 | 1,347,655 | |
Encompass Health Corp. 4.625% 4/1/31 | 1,808,000 | 1,493,256 | |
Fresenius Medical Care U.S. Finance III, Inc. 1.875% 12/1/26 (b) | 660,000 | 566,606 | |
HCA Holdings, Inc.: | |||
2.375% 7/15/31 | 1,040,000 | 825,077 | |
3.125% 3/15/27 (b) | 1,050,000 | 966,498 | |
3.5% 9/1/30 | 2,575,000 | 2,247,055 | |
3.5% 7/15/51 | 2,870,000 | 1,970,083 | |
3.625% 3/15/32 (b) | 2,095,000 | 1,810,056 | |
4.125% 6/15/29 | 5,911,000 | 5,441,289 | |
4.625% 3/15/52 (b) | 1,655,000 | 1,369,557 | |
5.25% 6/15/49 | 5,250,000 | 4,697,486 | |
5.375% 2/1/25 | 1,305,000 | 1,317,398 | |
5.375% 9/1/26 | 875,000 | 877,402 | |
5.5% 6/15/47 | 1,315,000 | 1,213,815 | |
5.625% 9/1/28 | 2,000,000 | 2,010,170 | |
5.875% 2/15/26 | 1,135,000 | 1,158,949 | |
7.75% 7/15/36 | 2,700,000 | 3,158,865 | |
HealthEquity, Inc. 4.5% 10/1/29 (b) | 45,000 | 39,579 | |
Humana, Inc.: | |||
2.15% 2/3/32 | 670,000 | 542,435 | |
3.125% 8/15/29 | 2,600,000 | 2,370,348 | |
3.7% 3/23/29 | 2,425,000 | 2,289,845 | |
Kaiser Foundation Hospitals: | |||
2.81% 6/1/41 | 6,820,000 | 5,224,852 | |
3.002% 6/1/51 | 975,000 | 723,843 | |
4.15% 5/1/47 | 200,000 | 184,707 | |
Laboratory Corp. of America Holdings 3.6% 2/1/25 | 1,210,000 | 1,192,934 | |
Memorial Sloan-Kettring Cancer Center: | |||
2.955% 1/1/50 | 290,000 | 213,714 | |
4.2% 7/1/55 | 140,000 | 128,544 | |
5% 7/1/42 | 350,000 | 356,745 | |
Methodist Hospital 2.705% 12/1/50 | 820,000 | 568,164 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30 (b) | 6,245,000 | 5,405,360 | |
3.875% 5/15/32 (b) | 155,000 | 133,385 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 369,052 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 600,000 | 545,552 | |
4.063% 8/1/56 | 390,000 | 346,202 | |
Nidda Healthcare Holding AG 3.5% 9/30/24 (Reg. S) | EUR | 3,000,000 | 2,773,903 |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 736,333 | |
OhioHealth Corp. 2.297% 11/15/31 | 8,505,000 | 7,125,467 | |
Owens & Minor, Inc. 4.5% 3/31/29 (b) | 65,000 | 55,398 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 165,000 | 150,172 | |
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | 170,000 | 144,920 | |
Piedmont Healthcare, Inc.: | |||
2.719% 1/1/42 | 1,780,000 | 1,310,560 | |
2.864% 1/1/52 | 1,055,000 | 720,216 | |
Prime Healthcare Services 7.25% 11/1/25 (b) | 1,325,000 | 1,172,625 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 2,405,000 | 2,115,818 | |
2.746% 10/1/26 | 180,000 | 169,972 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 150,000 | 133,813 | |
5.75% 1/30/40 | 68,000 | 68,740 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (b) | 325,000 | 290,114 | |
Sabra Health Care LP 3.2% 12/1/31 | 8,499,000 | 6,757,968 | |
Sentara Healthcare 2.927% 11/1/51 | 565,000 | 413,993 | |
Stanford Health Care 3.027% 8/15/51 | 680,000 | 510,292 | |
Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) | 215,000 | 207,432 | |
Sutter Health 4.091% 8/15/48 | 1,240,000 | 1,079,782 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 99,000 | 96,942 | |
4.875% 1/1/26 (b) | 1,160,000 | 1,102,000 | |
5.125% 11/1/27 (b) | 5,000,000 | 4,632,500 | |
6.125% 6/15/30 (b) | 175,000 | 168,018 | |
Toledo Hospital 5.325% 11/15/28 | 2,792,000 | 1,825,351 | |
UnitedHealth Group, Inc.: | |||
2.9% 5/15/50 | 1,897,000 | 1,391,358 | |
3.05% 5/15/41 | 1,530,000 | 1,222,830 | |
3.25% 5/15/51 | 3,405,000 | 2,673,780 | |
4.25% 4/15/47 | 770,000 | 713,894 | |
4.25% 6/15/48 | 575,000 | 529,733 | |
4.95% 5/15/62 | 275,000 | 275,287 | |
5.8% 3/15/36 | 820,000 | 904,847 | |
202,919,163 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc.: | |||
1.75% 3/15/26 (b) | EUR | 625,000 | 568,268 |
5% 10/15/26 (b) | 230,000 | 222,815 | |
791,083 | |||
Life Sciences Tools & Services - 0.0% | |||
Agilent Technologies, Inc. 2.3% 3/12/31 | 1,245,000 | 1,024,297 | |
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (b) | 75,000 | 64,640 | |
4.25% 5/1/28 (b) | 330,000 | 302,435 | |
Danaher Corp. 2.8% 12/10/51 | 965,000 | 684,855 | |
Thermo Fisher Scientific, Inc. 2.8% 10/15/41 | 620,000 | 480,671 | |
2,556,898 | |||
Pharmaceuticals - 0.2% | |||
AstraZeneca Finance LLC 2.25% 5/28/31 | 635,000 | 549,575 | |
Bausch Health Companies, Inc.: | |||
5% 2/15/29 (b) | 400,000 | 156,000 | |
5.25% 1/30/30 (b) | 825,000 | 305,250 | |
5.25% 2/15/31 (b) | 4,796,000 | 1,894,420 | |
6.25% 2/15/29 (b) | 1,500,000 | 566,250 | |
Bayer U.S. Finance II LLC: | |||
2.85% 4/15/25 (b) | 850,000 | 804,852 | |
4.25% 12/15/25 (b) | 54,704,000 | 53,809,081 | |
4.4% 7/15/44 (b) | 3,231,000 | 2,630,297 | |
4.625% 6/25/38 (b) | 570,000 | 506,976 | |
4.875% 6/25/48 (b) | 4,430,000 | 4,012,472 | |
Bristol-Myers Squibb Co. 4.25% 10/26/49 | 345,000 | 319,537 | |
Catalent Pharma Solutions: | |||
3.125% 2/15/29 (b) | 275,000 | 227,986 | |
3.5% 4/1/30 (b) | 220,000 | 181,193 | |
Elanco Animal Health, Inc.: | |||
5.772% 8/28/23 (f) | 4,020,000 | 4,013,166 | |
6.4% 8/28/28 (c) | 1,693,000 | 1,574,490 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 875,000 | 871,723 | |
GSK Consumer Healthcare Capital U.S. LLC 3.625% 3/24/32 (b) | 1,470,000 | 1,310,760 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 95,000 | 85,665 | |
Johnson & Johnson 3.625% 3/3/37 | 695,000 | 644,917 | |
Merck & Co., Inc. 3.4% 3/7/29 | 1,400,000 | 1,343,715 | |
Mylan NV: | |||
4.2% 11/29/23 | 1,100,000 | 1,099,162 | |
5.2% 4/15/48 | 1,780,000 | 1,376,151 | |
5.4% 11/29/43 | 1,480,000 | 1,213,387 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (b) | 65,000 | 58,316 | |
5.125% 4/30/31 (b) | 1,210,000 | 1,058,750 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,380,000 | 1,059,998 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 3,100,000 | 2,591,671 | |
3.025% 7/9/40 | 1,410,000 | 1,092,430 | |
Utah Acquisition Sub, Inc.: | |||
3.95% 6/15/26 | 2,804,000 | 2,635,041 | |
5.25% 6/15/46 | 190,000 | 150,893 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 1,160,000 | 1,057,349 | |
2.7% 6/22/30 | 5,898,000 | 4,645,596 | |
3.85% 6/22/40 | 13,139,000 | 9,127,841 | |
4% 6/22/50 | 6,222,000 | 4,020,254 | |
Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 1,944,562 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 5,968,807 | |
114,908,533 | |||
TOTAL HEALTH CARE | 391,489,864 | ||
INDUSTRIALS - 0.4% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc. 3.85% 12/15/25 (b) | 5,718,000 | 5,538,272 | |
BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 2,717,497 | |
Bombardier, Inc.: | |||
6% 2/15/28 (b) | 3,750,000 | 3,315,207 | |
7.125% 6/15/26 (b) | 2,780,000 | 2,649,006 | |
7.875% 4/15/27 (b) | 4,360,000 | 4,174,918 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (b) | 200,000 | 184,000 | |
4.125% 4/15/29 (b) | 325,000 | 290,063 | |
General Dynamics Corp. 3.25% 4/1/25 | 955,000 | 940,614 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 575,000 | 557,578 | |
6.75% 1/15/28 | 345,000 | 355,350 | |
Moog, Inc. 4.25% 12/15/27 (b) | 360,000 | 329,526 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 545,000 | 524,265 | |
Raytheon Technologies Corp. 4.125% 11/16/28 | 490,000 | 479,838 | |
Rolls-Royce PLC 3.375% 6/18/26 | GBP | 1,085,000 | 1,093,120 |
Textron, Inc. 2.45% 3/15/31 | 2,595,000 | 2,115,842 | |
The Boeing Co.: | |||
1.167% 2/4/23 | 4,000,000 | 3,957,988 | |
1.433% 2/4/24 | 1,000,000 | 958,658 | |
2.196% 2/4/26 | 4,665,000 | 4,268,836 | |
2.25% 6/15/26 | 810,000 | 737,163 | |
3.6% 5/1/34 | 2,100,000 | 1,708,583 | |
3.625% 2/1/31 | 12,650,000 | 11,195,196 | |
4.508% 5/1/23 | 1,500,000 | 1,502,740 | |
4.875% 5/1/25 | 2,035,000 | 2,040,685 | |
5.04% 5/1/27 | 4,430,000 | 4,416,676 | |
5.15% 5/1/30 | 4,430,000 | 4,360,052 | |
5.805% 5/1/50 | 6,560,000 | 6,291,883 | |
5.93% 5/1/60 | 4,430,000 | 4,230,558 | |
TransDigm, Inc.: | |||
4.875% 5/1/29 | 220,000 | 186,582 | |
6.25% 3/15/26 (b) | 915,000 | 898,988 | |
7.5% 3/15/27 | 40,000 | 39,000 | |
8% 12/15/25 (b) | 465,000 | 476,253 | |
72,534,937 | |||
Air Freight & Logistics - 0.0% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | 160,000 | 146,400 | |
Airlines - 0.0% | |||
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 400,680 | 346,724 | |
Mexico City Airport Trust: | |||
4.25% 10/31/26 (b) | 4,270,000 | 4,013,800 | |
5.5% 7/31/47 (b) | 2,250,000 | 1,693,125 | |
Southwest Airlines Co.: | |||
2.625% 2/10/30 | 735,000 | 617,803 | |
5.125% 6/15/27 | 5,340,000 | 5,446,080 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 123,637 | 116,191 | |
United Airlines, Inc.: | |||
equipment trust certificate 4.15% 10/11/25 | 476,262 | 463,494 | |
4.375% 4/15/26 (b) | 1,740,000 | 1,586,445 | |
4.625% 4/15/29 (b) | 370,000 | 324,675 | |
14,608,337 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 500,000 | 475,000 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (b) | 110,000 | 87,806 | |
Carlisle Companies, Inc. 2.2% 3/1/32 | 1,890,000 | 1,489,187 | |
Owens Corning: | |||
3.95% 8/15/29 | 600,000 | 562,833 | |
4.3% 7/15/47 | 5,310,000 | 4,317,575 | |
Standard Industries, Inc./New Jersey 4.75% 1/15/28 (b) | 3,618,000 | 3,162,633 | |
10,095,034 | |||
Commercial Services & Supplies - 0.0% | |||
ADT Corp.: | |||
4.125% 8/1/29 (b) | 115,000 | 98,754 | |
4.875% 7/15/32 (b) | 615,000 | 514,476 | |
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 405,553 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (b) | 1,175,000 | 872,079 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28 (b) | 830,000 | 699,379 | |
4.625% 6/1/28 (b) | 520,000 | 435,726 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,019,895 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | 60,000 | 54,750 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 605,000 | 518,788 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 115,000 | 115,465 | |
Nielsen Finance LLC/Nielsen Finance Co. 5.625% 10/1/28 (b) | 205,000 | 205,467 | |
Pitney Bowes, Inc.: | |||
6.875% 3/15/27 (b) | 55,000 | 41,607 | |
7.25% 3/15/29 (b) | 110,000 | 74,866 | |
PowerTeam Services LLC 9.033% 12/4/25 (b) | 1,108,000 | 910,466 | |
Rentokil Initial PLC 5% 6/27/32 (Reg. S) | GBP | 450,000 | 516,025 |
Stericycle, Inc. 3.875% 1/15/29 (b) | 530,000 | 459,113 | |
Waste Connections, Inc. 4.2% 1/15/33 | 3,195,000 | 3,073,019 | |
Waste Pro U.S.A., Inc. 5.5% 2/15/26 (b) | 2,086,000 | 1,869,578 | |
11,885,006 | |||
Construction & Engineering - 0.0% | |||
AECOM 5.125% 3/15/27 | 1,280,000 | 1,241,600 | |
Arcosa, Inc. 4.375% 4/15/29 (b) | 65,000 | 58,880 | |
Dycom Industries, Inc. 4.5% 4/15/29 (b) | 165,000 | 147,284 | |
1,447,764 | |||
Electrical Equipment - 0.0% | |||
Eaton Corp. 4.7% 8/23/52 | 495,000 | 482,034 | |
Sensata Technologies BV: | |||
4% 4/15/29 (b) | 170,000 | 146,955 | |
4.875% 10/15/23 (b) | 300,000 | 302,658 | |
Vertiv Group Corp. 4.125% 11/15/28 (b) | 280,000 | 242,200 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (b) | 1,500,000 | 1,500,270 | |
7.25% 6/15/28 (b) | 1,250,000 | 1,260,325 | |
3,934,442 | |||
Machinery - 0.0% | |||
Flowserve Corp. 2.8% 1/15/32 | 405,000 | 315,787 | |
Fortive Corp. 3.15% 6/15/26 | 275,000 | 263,692 | |
Pentair Finance SA 4.5% 7/1/29 | 8,020,000 | 7,508,786 | |
Westinghouse Air Brake Tech Co.: | |||
3.45% 11/15/26 | 1,390,000 | 1,293,163 | |
4.95% 9/15/28 | 9,085,000 | 8,808,813 | |
18,190,241 | |||
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 115,000 | 94,707 | |
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 97,215 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28 (b) | 320,000 | 284,640 | |
4% 7/1/29 (b) | 45,000 | 39,675 | |
Equifax, Inc.: | |||
2.35% 9/15/31 | 625,000 | 503,735 | |
2.6% 12/1/24 | 2,095,000 | 2,024,804 | |
TriNet Group, Inc. 3.5% 3/1/29 (b) | 165,000 | 141,498 | |
Verisk Analytics, Inc. 4.125% 9/12/22 | 690,000 | 690,087 | |
3,781,654 | |||
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 950,000 | 926,019 |
CSX Corp. 6.15% 5/1/37 | 1,375,000 | 1,536,841 | |
Union Pacific Corp.: | |||
2.973% 9/16/62 | 200,000 | 137,688 | |
3.6% 9/15/37 | 1,015,000 | 903,074 | |
3.799% 4/6/71 | 315,000 | 252,966 | |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 819,000 | 828,545 | |
4,585,133 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,698,380 | |
3% 9/15/23 | 800,000 | 788,792 | |
3.375% 7/1/25 | 7,608,000 | 7,224,629 | |
4.25% 2/1/24 | 7,846,000 | 7,825,483 | |
4.25% 9/15/24 | 9,907,000 | 9,792,738 | |
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 600,000 | 623,519 |
United Rentals North America, Inc.: | |||
3.75% 1/15/32 | 825,000 | 685,695 | |
3.875% 2/15/31 | 200,000 | 172,930 | |
4.875% 1/15/28 | 2,000,000 | 1,869,220 | |
30,681,386 | |||
Transportation Infrastructure - 0.1% | |||
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) | EUR | 745,000 | 562,065 |
Airport Authority Hong Kong 3.25% 1/12/52 (b) | 3,190,000 | 2,505,332 | |
Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S) | EUR | 1,000,000 | 779,079 |
Avolon Holdings Funding Ltd.: | |||
2.528% 11/18/27 (b) | 8,455,000 | 6,905,220 | |
2.75% 2/21/28 (b) | 2,730,000 | 2,223,971 | |
3.95% 7/1/24 (b) | 2,862,000 | 2,732,769 | |
4.375% 5/1/26 (b) | 3,477,000 | 3,214,211 | |
5.25% 5/15/24 (b) | 4,140,000 | 4,058,921 | |
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 1,985,000 | 1,954,544 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 300,000 | 242,756 |
25,178,868 | |||
TOTAL INDUSTRIALS | 197,163,909 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 1,600,000 | 1,334,445 |
Viavi Solutions, Inc. 3.75% 10/1/29 (b) | 230,000 | 197,358 | |
1,531,803 | |||
Electronic Equipment & Components - 0.0% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 1,627,000 | 1,643,651 | |
6.02% 6/15/26 | 2,112,000 | 2,193,631 | |
II-VI, Inc. 5% 12/15/29 (b) | 505,000 | 449,637 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 590,000 | 487,383 | |
TD SYNNEX Corp. 1.75% 8/9/26 | 6,930,000 | 6,067,972 | |
Teledyne Technologies, Inc.: | |||
2.25% 4/1/28 | 1,675,000 | 1,452,213 | |
2.75% 4/1/31 | 4,505,000 | 3,752,599 | |
TTM Technologies, Inc. 4% 3/1/29 (b) | 130,000 | 112,450 | |
16,159,536 | |||
IT Services - 0.1% | |||
Automatic Data Processing, Inc. 1.7% 5/15/28 | 695,000 | 622,448 | |
Block, Inc. 2.75% 6/1/26 | 110,000 | 97,754 | |
Fidelity National Information Services, Inc. 3.1% 3/1/41 | 3,540,000 | 2,565,075 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 105,000 | 102,424 | |
3.5% 7/1/29 | 7,395,000 | 6,771,475 | |
3.85% 6/1/25 | 1,490,000 | 1,465,507 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (b) | 65,000 | 55,900 | |
3.75% 10/1/30 (b) | 105,000 | 90,038 | |
4.5% 7/1/28 (b) | 165,000 | 152,287 | |
Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26 | 960,000 | 869,033 | |
Global Payments, Inc. 4.95% 8/15/27 | 3,500,000 | 3,466,733 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 330,000 | 279,241 | |
IBM Corp. 2.85% 5/15/40 | 480,000 | 364,824 | |
Nexi SpA 2.125% 4/30/29 (Reg. S) | EUR | 3,350,000 | 2,592,794 |
Tempo Acquisition LLC 5.75% 6/1/25 (b) | 5,000,000 | 4,956,487 | |
Twilio, Inc.: | |||
3.625% 3/15/29 | 80,000 | 66,800 | |
3.875% 3/15/31 | 85,000 | 68,589 | |
Virtusa Corp. 7.125% 12/15/28 (b) | 60,000 | 47,400 | |
24,634,809 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 1,620,000 | 1,389,507 | |
2.45% 2/15/31 (b) | 12,129,000 | 9,671,095 | |
2.6% 2/15/33 (b) | 12,129,000 | 9,326,507 | |
3.137% 11/15/35 (b) | 1,763,000 | 1,335,800 | |
3.419% 4/15/33 (b) | 5,782,000 | 4,769,123 | |
3.469% 4/15/34 (b) | 1,000,000 | 809,744 | |
3.5% 2/15/41 (b) | 19,586,000 | 14,692,561 | |
3.75% 2/15/51 (b) | 5,224,000 | 3,829,675 | |
4% 4/15/29 (b) | 1,410,000 | 1,306,058 | |
4.926% 5/15/37 (b) | 2,135,000 | 1,901,941 | |
Entegris Escrow Corp. 5.95% 6/15/30 (b) | 200,000 | 189,766 | |
Entegris, Inc.: | |||
3.625% 5/1/29 (b) | 275,000 | 231,605 | |
4.375% 4/15/28 (b) | 325,000 | 286,876 | |
onsemi 3.875% 9/1/28 (b) | 125,000 | 111,475 | |
Teledyne FLIR LLC 2.5% 8/1/30 | 345,000 | 283,721 | |
TSMC Arizona Corp. 4.5% 4/22/52 | 1,520,000 | 1,474,202 | |
TSMC Global Ltd. 4.625% 7/22/32 (b) | 750,000 | 751,208 | |
52,360,864 | |||
Software - 0.1% | |||
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | 135,000 | 129,277 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 125,000 | 110,625 | |
Fair Isaac Corp. 4% 6/15/28 (b) | 500,000 | 441,687 | |
Intuit, Inc. 1.35% 7/15/27 | 200,000 | 176,058 | |
Microsoft Corp. 2.921% 3/17/52 | 2,952,000 | 2,322,152 | |
MicroStrategy, Inc. 6.125% 6/15/28 (b) | 170,000 | 141,861 | |
NortonLifeLock, Inc. 5% 4/15/25 (b) | 370,000 | 365,190 | |
Open Text Corp.: | |||
3.875% 2/15/28 (b) | 490,000 | 417,725 | |
3.875% 12/1/29 (b) | 55,000 | 44,354 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 6,169,430 | |
2.8% 4/1/27 | 9,449,000 | 8,649,692 | |
2.95% 5/15/25 | 1,185,000 | 1,135,866 | |
3.6% 4/1/50 | 1,300,000 | 885,206 | |
3.8% 11/15/37 | 1,225,000 | 951,202 | |
3.85% 4/1/60 | 6,500,000 | 4,309,811 | |
3.95% 3/25/51 | 5,494,000 | 3,946,096 | |
4.125% 5/15/45 | 770,000 | 575,167 | |
ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 787,745 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 734,351 | |
Workday, Inc.: | |||
3.5% 4/1/27 | 405,000 | 386,350 | |
3.7% 4/1/29 | 1,010,000 | 946,668 | |
33,626,513 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc.: | |||
3.25% 2/23/26 | 7,285,000 | 7,158,072 | |
3.85% 8/4/46 | 1,420,000 | 1,290,878 | |
Lenovo Group Ltd. 6.536% 7/27/32 (b) | 1,490,000 | 1,476,168 | |
9,925,118 | |||
TOTAL INFORMATION TECHNOLOGY | 138,238,643 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 240,000 | 222,300 | |
Consolidated Energy Finance SA 6.5% 5/15/26 (b) | 375,000 | 342,488 | |
DuPont de Nemours, Inc. 4.493% 11/15/25 | 2,625,000 | 2,643,958 | |
FMC Corp. 4.5% 10/1/49 | 1,395,000 | 1,169,174 | |
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b) | 275,000 | 237,875 | |
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | 3,285,000 | 2,955,190 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 235,000 | 217,504 | |
LYB International Finance BV: | |||
4.875% 3/15/44 | 1,000,000 | 907,951 | |
5.25% 7/15/43 | 5,455,000 | 5,086,618 | |
LYB International Finance III LLC: | |||
3.375% 10/1/40 | 490,000 | 373,556 | |
4.2% 5/1/50 | 150,000 | 121,329 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 320,000 | 291,360 | |
5.25% 12/15/29 | 155,000 | 130,213 | |
5.65% 12/1/44 | 105,000 | 76,647 | |
NOVA Chemicals Corp. 5% 5/1/25 (b) | 1,080,000 | 1,015,735 | |
Nufarm Australia Ltd. 5% 1/27/30 (b) | 280,000 | 232,400 | |
Nutrien Ltd. 4.9% 6/1/43 | 1,225,000 | 1,169,050 | |
OCI NV 3.625% 10/15/25 (Reg. S) | EUR | 2,773,800 | 2,787,530 |
Olin Corp.: | |||
5% 2/1/30 | 195,000 | 176,966 | |
5.125% 9/15/27 | 700,000 | 664,409 | |
5.625% 8/1/29 | 195,000 | 185,790 | |
Sasol Financing U.S.A. LLC: | |||
4.375% 9/18/26 | 810,000 | 752,439 | |
5.875% 3/27/24 | 1,500,000 | 1,494,750 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 187,093 | |
SPCM SA 3.125% 3/15/27 (b) | 115,000 | 102,063 | |
The Chemours Co. LLC 4.625% 11/15/29 (b) | 530,000 | 437,250 | |
The Dow Chemical Co. 4.625% 10/1/44 | 295,000 | 263,517 | |
The Scotts Miracle-Gro Co.: | |||
4% 4/1/31 | 1,575,000 | 1,183,014 | |
4.5% 10/15/29 | 1,971,000 | 1,579,086 | |
Valvoline, Inc.: | |||
3.625% 6/15/31 (b) | 1,700,000 | 1,369,384 | |
4.25% 2/15/30 (b) | 2,270,000 | 2,213,023 | |
W.R. Grace Holding LLC: | |||
4.875% 6/15/27 (b) | 125,000 | 115,610 | |
5.625% 10/1/24 (b) | 400,000 | 395,000 | |
Westlake Corp. 3.125% 8/15/51 | 1,920,000 | 1,332,968 | |
32,433,240 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc.: | |||
2.4% 7/15/31 | 1,455,000 | 1,198,406 | |
2.5% 3/15/30 | 755,000 | 637,664 | |
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (b) | 1,000,000 | 899,485 | |
Vulcan Materials Co. 4.5% 6/15/47 | 325,000 | 286,643 | |
3,022,198 | |||
Containers & Packaging - 0.0% | |||
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b) | 200,000 | 196,026 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (b) | 10,000 | 8,627 | |
4.75% 7/15/27 (Reg. S) | GBP | 3,650,000 | 3,120,841 |
5.25% 8/15/27 (b) | 1,750,000 | 1,265,118 | |
5.25% 8/15/27 (b) | 1,960,000 | 1,416,932 | |
Ball Corp. 3.125% 9/15/31 | 395,000 | 319,921 | |
Berry Global, Inc.: | |||
0.95% 2/15/24 | 965,000 | 913,715 | |
1.57% 1/15/26 | 1,675,000 | 1,496,553 | |
4.875% 7/15/26 (b) | 7,055,000 | 6,868,262 | |
Graphic Packaging International, Inc.: | |||
3.75% 2/1/30 (b) | 55,000 | 47,271 | |
4.125% 8/15/24 | 3,137,000 | 3,050,733 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | 40,000 | 34,217 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 4% 10/15/27 (b) | 1,250,000 | 1,091,063 | |
Sealed Air Corp. 1.573% 10/15/26 (b) | 2,750,000 | 2,411,327 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (b) | 2,470,000 | 2,371,200 | |
Verallia SA 1.625% 5/14/28 (Reg. S) | EUR | 1,500,000 | 1,305,478 |
25,917,284 | |||
Metals & Mining - 0.1% | |||
Alcoa Nederland Holding BV 4.125% 3/31/29 (b) | 110,000 | 96,999 | |
Barrick North America Finance LLC: | |||
5.7% 5/30/41 | 2,330,000 | 2,387,268 | |
5.75% 5/1/43 | 475,000 | 489,196 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,240,000 | 1,299,403 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29 (b) | 110,000 | 97,650 | |
4.875% 3/1/31 (b) | 110,000 | 96,032 | |
Commercial Metals Co. 3.875% 2/15/31 | 235,000 | 195,055 | |
FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 4,568 | |
Freeport-McMoRan, Inc.: | |||
4.125% 3/1/28 | 860,000 | 805,381 | |
4.375% 8/1/28 | 2,590,000 | 2,437,928 | |
5.25% 9/1/29 | 3,190,000 | 3,073,358 | |
5.4% 11/14/34 | 570,000 | 540,514 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 55,000 | 49,913 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 415,000 | 357,454 | |
Kinross Gold Corp. 4.5% 7/15/27 | 9,190,000 | 8,914,254 | |
Mineral Resources Ltd. 8% 11/1/27 (b) | 150,000 | 149,642 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 2,345,000 | 1,925,615 | |
2.6% 7/15/32 | 945,000 | 773,372 | |
2.8% 10/1/29 | 2,095,000 | 1,828,959 | |
5.45% 6/9/44 | 185,000 | 182,732 | |
Novelis Corp. 3.875% 8/15/31 (b) | 115,000 | 92,823 | |
Nucor Corp. 4.3% 5/23/27 | 1,320,000 | 1,312,451 | |
PMHC II, Inc. 9% 2/15/30 (b) | 175,000 | 127,486 | |
PT Freeport Indonesia 4.763% 4/14/27 (b) | 200,000 | 194,250 | |
PT Indonesia Asahan Aluminium Tbk: | |||
4.75% 5/15/25 (Reg. S) | 800,000 | 802,920 | |
6.53% 11/15/28 (b) | 1,950,000 | 2,021,053 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 30,000 | 26,925 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 472,432 | |
Steel Dynamics, Inc.: | |||
2.4% 6/15/25 | 790,000 | 748,736 | |
3.45% 4/15/30 | 9,595,000 | 8,526,400 | |
Teck Resources Ltd. 6% 8/15/40 | 1,193,000 | 1,145,991 | |
Thyssenkrupp AG 1.875% 3/6/23 (Reg. S) | EUR | 2,650,000 | 2,613,264 |
Vale Overseas Ltd. 6.25% 8/10/26 | 700,000 | 733,075 | |
44,523,099 | |||
Paper & Forest Products - 0.0% | |||
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | 1,850,000 | 1,845,098 | |
Clearwater Paper Corp. 4.75% 8/15/28 (b) | 1,500,000 | 1,341,120 | |
Glatfelter Corp. 4.75% 11/15/29 (b) | 90,000 | 55,800 | |
Suzano Austria GmbH 6% 1/15/29 | 1,263,000 | 1,265,526 | |
4,507,544 | |||
TOTAL MATERIALS | 110,403,365 | ||
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 5,363,967 | |
American Assets Trust LP 3.375% 2/1/31 | 3,370,000 | 2,838,587 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 704,000 | 564,970 | |
3.375% 7/15/51 | 1,089,000 | 743,051 | |
3.625% 4/15/32 | 8,905,000 | 7,772,203 | |
Boston Properties, Inc. 4.5% 12/1/28 | 5,210,000 | 5,070,553 | |
Corporate Office Properties LP: | |||
2% 1/15/29 | 600,000 | 473,934 | |
2.25% 3/15/26 | 1,775,000 | 1,590,951 | |
2.75% 4/15/31 | 6,209,000 | 4,876,119 | |
2.9% 12/1/33 | 490,000 | 368,576 | |
CubeSmart LP 2.25% 12/15/28 | 4,185,000 | 3,536,572 | |
Duke Realty LP 3.25% 6/30/26 | 805,000 | 768,589 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
3.25% 1/15/32 | 2,890,000 | 2,339,644 | |
4% 1/15/30 | 125,000 | 109,549 | |
5.25% 6/1/25 | 1,085,000 | 1,071,709 | |
5.375% 11/1/23 | 2,000,000 | 1,974,520 | |
5.375% 4/15/26 | 13,325,000 | 13,094,244 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 3,015,000 | 2,598,053 | |
3.5% 8/1/26 | 2,311,000 | 2,204,284 | |
3.75% 7/1/27 | 1,375,000 | 1,315,664 | |
3.875% 5/1/25 | 2,750,000 | 2,669,632 | |
Healthpeak Properties, Inc. 3% 1/15/30 | 1,625,000 | 1,439,155 | |
Hudson Pacific Properties LP: | |||
3.25% 1/15/30 | 1,750,000 | 1,475,081 | |
4.65% 4/1/29 | 12,773,000 | 11,991,215 | |
Invitation Homes Operating Partnership LP 4.15% 4/15/32 | 7,290,000 | 6,553,397 | |
Iron Mountain, Inc. 5.25% 7/15/30 (b) | 1,277,000 | 1,130,145 | |
Kilroy Realty LP 2.65% 11/15/33 | 2,010,000 | 1,526,735 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 2,865,000 | 2,454,028 | |
3.2% 4/1/32 | 1,340,000 | 1,159,671 | |
3.375% 10/15/22 | 472,000 | 472,002 | |
4.6% 2/1/33 | 3,535,000 | 3,418,617 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 6,865,000 | 6,688,959 | |
4.75% 9/15/30 | 10,799,000 | 9,805,168 | |
Life Storage LP: | |||
2.2% 10/15/30 | 3,660,000 | 2,938,629 | |
2.4% 10/15/31 | 160,000 | 127,695 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 894,000 | 721,262 | |
4.4% 6/15/24 | 1,319,000 | 1,301,311 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
2.5% 3/24/26 | GBP | 4,400,000 | 4,377,339 |
5% 10/15/27 | 2,650,000 | 2,380,592 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 5,977,000 | 4,539,005 | |
3.375% 2/1/31 | 3,399,000 | 2,768,659 | |
3.625% 10/1/29 | 7,647,000 | 6,536,354 | |
4.375% 8/1/23 | 1,368,000 | 1,359,127 | |
4.5% 1/15/25 | 2,793,000 | 2,768,016 | |
4.5% 4/1/27 | 1,500,000 | 1,436,535 | |
4.75% 1/15/28 | 7,569,000 | 7,238,853 | |
4.95% 4/1/24 | 1,152,000 | 1,154,994 | |
5.25% 1/15/26 | 5,841,000 | 5,791,046 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 1,374,000 | 1,046,434 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 791,000 | 694,228 | |
2.85% 12/15/32 | 1,553,000 | 1,331,582 | |
3.1% 12/15/29 | 6,235,000 | 5,672,657 | |
3.25% 1/15/31 | 1,177,000 | 1,055,084 | |
3.4% 1/15/28 | 4,640,000 | 4,352,794 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 853,587 | |
5% 12/15/23 | 626,000 | 627,143 | |
SBA Communications Corp.: | |||
3.125% 2/1/29 | 220,000 | 181,264 | |
3.875% 2/15/27 | 400,000 | 364,111 | |
Senior Housing Properties Trust 4.75% 2/15/28 | 2,917,000 | 2,154,025 | |
Service Properties Trust: | |||
4.375% 2/15/30 | 200,000 | 146,610 | |
4.95% 10/1/29 | 100,000 | 75,577 | |
5.5% 12/15/27 | 100,000 | 86,514 | |
Simon Property Group LP: | |||
1.75% 2/1/28 | 1,805,000 | 1,563,588 | |
2.45% 9/13/29 | 1,120,000 | 966,696 | |
3.375% 10/1/24 | 2,945,000 | 2,911,569 | |
3.5% 9/1/25 | 55,000 | 54,225 | |
3.75% 2/1/24 | 375,000 | 373,755 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,305,962 | |
4.25% 2/1/26 | 5,582,000 | 5,435,673 | |
Spirit Realty LP 2.7% 2/15/32 | 7,105,000 | 5,526,336 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 1,957,000 | 1,588,491 | |
4.625% 3/15/29 | 2,475,000 | 2,392,338 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 1,550,000 | 1,308,708 | |
2.7% 7/15/31 | 4,027,000 | 3,241,841 | |
Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b) | 585,000 | 488,817 | |
Uniti Group, Inc. 7.875% 2/15/25 (b) | 2,800,000 | 2,766,106 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 8,710,911 | |
3.85% 4/1/27 | 1,650,000 | 1,583,139 | |
4% 3/1/28 | 2,712,000 | 2,581,487 | |
4.125% 1/15/26 | 1,628,000 | 1,596,863 | |
4.75% 11/15/30 | 13,000,000 | 12,605,145 | |
VICI Properties LP: | |||
4.375% 5/15/25 | 749,000 | 731,376 | |
4.75% 2/15/28 | 6,736,000 | 6,463,917 | |
4.95% 2/15/30 | 6,790,000 | 6,519,221 | |
5.125% 5/15/32 | 3,998,000 | 3,809,974 | |
5.625% 5/15/52 | 1,498,000 | 1,385,115 | |
VICI Properties LP / VICI Note Co.: | |||
3.5% 2/15/25 (b) | 125,000 | 117,733 | |
3.75% 2/15/27 (b) | 190,000 | 171,800 | |
3.875% 2/15/29 (b) | 1,690,000 | 1,502,997 | |
4.25% 12/1/26 (b) | 670,000 | 627,569 | |
4.5% 9/1/26 (b) | 1,325,000 | 1,248,528 | |
4.5% 1/15/28 (b) | 435,000 | 403,347 | |
4.625% 6/15/25 (b) | 315,000 | 304,907 | |
5.625% 5/1/24 (b) | 1,185,000 | 1,186,778 | |
5.75% 2/1/27 (b) | 1,115,000 | 1,097,751 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 1,762,000 | 1,550,806 | |
3.4% 6/1/31 | 6,373,000 | 5,187,899 | |
Welltower, Inc.: | |||
2.7% 2/15/27 | 990,000 | 919,120 | |
2.75% 1/15/31 | 6,560,000 | 5,510,887 | |
2.8% 6/1/31 | 2,305,000 | 1,942,810 | |
Weyerhaeuser Co. 4% 4/15/30 | 2,050,000 | 1,929,945 | |
WP Carey, Inc.: | |||
2.25% 4/1/33 | 3,815,000 | 2,900,966 | |
2.4% 2/1/31 | 1,970,000 | 1,601,352 | |
3.85% 7/15/29 | 1,725,000 | 1,599,722 | |
4% 2/1/25 | 5,544,000 | 5,489,647 | |
4.6% 4/1/24 | 7,436,000 | 7,456,985 | |
293,203,373 | |||
Real Estate Management & Development - 0.1% | |||
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 815,000 | 424,260 |
ADLER Group SA: | |||
1.875% 1/14/26 (Reg. S) | EUR | 300,000 | 162,048 |
2.25% 4/27/27 (Reg. S) | EUR | 3,100,000 | 1,651,444 |
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) | EUR | 361,000 | 351,903 |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 2,355,000 | 1,874,776 |
2.625% 10/20/28 (Reg. S) | GBP | 350,000 | 331,991 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,004,325 | |
3.95% 11/15/27 | 5,608,000 | 5,169,046 | |
4.1% 10/1/24 | 4,892,000 | 4,799,511 | |
4.55% 10/1/29 | 1,707,000 | 1,606,632 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 12,753,911 | |
Essex Portfolio LP: | |||
1.7% 3/1/28 | 465,000 | 395,507 | |
3.875% 5/1/24 | 2,685,000 | 2,665,921 | |
Extra Space Storage LP 2.35% 3/15/32 | 684,000 | 537,109 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 775,000 | 596,316 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 800,000 | 626,526 |
Host Hotels & Resorts LP 2.9% 12/15/31 | 690,000 | 538,963 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (b) | 300,000 | 247,617 | |
5.375% 8/1/28 (b) | 850,000 | 756,500 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 225,000 | 185,063 | |
Mattamy Group Corp. 4.625% 3/1/30 (b) | 1,500,000 | 1,215,442 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,269,516 | |
Post Apartment Homes LP 3.375% 12/1/22 | 900,000 | 900,000 | |
Samhallsbyggnadsbolaget I Norden AB: | |||
1% 8/12/27 (Reg. S) | EUR | 400,000 | 273,346 |
1.75% 1/14/25 (Reg. S) | EUR | 200,000 | 167,175 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 400,000 | 343,273 |
SL Green Realty Corp. 3.25% 10/15/22 | 7,000,000 | 6,986,142 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 4,140,000 | 3,148,465 | |
3.125% 9/1/26 | 3,497,000 | 3,247,311 | |
3.875% 7/15/27 | 13,369,000 | 12,487,560 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30 (b) | 2,500,000 | 2,145,225 | |
5.75% 1/15/28 (b) | 280,000 | 256,455 | |
5.875% 6/15/27 (b) | 1,500,000 | 1,449,173 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 780,000 | 685,995 |
74,254,447 | |||
TOTAL REAL ESTATE | 367,457,820 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.3% | |||
AEP Texas, Inc.: | |||
2.1% 7/1/30 | 2,050,000 | 1,692,949 | |
3.45% 5/15/51 | 560,000 | 434,138 | |
3.8% 10/1/47 | 845,000 | 690,092 | |
AEP Transmission Co. LLC: | |||
3.75% 12/1/47 | 850,000 | 706,283 | |
4% 12/1/46 | 375,000 | 327,823 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 650,000 | 540,160 | |
3.85% 12/1/42 | 700,000 | 603,837 | |
4.1% 1/15/42 | 225,000 | 194,277 | |
6.125% 5/15/38 | 835,000 | 921,020 | |
Alliant Energy Finance LLC 1.4% 3/15/26 (b) | 2,300,000 | 2,024,821 | |
Arizona Public Service Co. 2.6% 8/15/29 | 340,000 | 293,727 | |
Atlantic City Electric Co. 2.3% 3/15/31 | 425,000 | 366,798 | |
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) | EUR | 760,000 | 591,442 |
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,205,000 | 1,074,342 | |
CEZ A/S 2.375% 4/6/27 (Reg. S) | EUR | 250,000 | 231,867 |
Clearway Energy Operating LLC 4.75% 3/15/28 (b) | 60,000 | 56,175 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 3,938,103 | |
Comision Federal de Electricid 4.688% 5/15/29 (b) | 2,277,000 | 2,044,746 | |
Commonwealth Edison Co.: | |||
3.7% 8/15/28 | 250,000 | 242,022 | |
3.7% 3/1/45 | 1,065,000 | 890,766 | |
4.35% 11/15/45 | 315,000 | 290,778 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 275,000 | 280,661 | |
5.45% 2/1/41 | 285,000 | 296,090 | |
DPL, Inc. 4.35% 4/15/29 | 2,480,000 | 2,179,263 | |
DTE Electric Co.: | |||
2.25% 3/1/30 | 525,000 | 456,040 | |
3.75% 8/15/47 | 1,050,000 | 903,024 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 355,900 | |
4% 9/30/42 | 2,000,000 | 1,768,076 | |
4.25% 12/15/41 | 2,345,000 | 2,151,377 | |
6.1% 6/1/37 | 775,000 | 829,095 | |
Duke Energy Corp.: | |||
3.75% 4/15/24 | 3,190,000 | 3,174,812 | |
3.85% 6/15/34 | EUR | 800,000 | 763,537 |
Duke Energy Florida LLC: | |||
2.4% 12/15/31 | 1,610,000 | 1,370,823 | |
6.35% 9/15/37 | 675,000 | 757,914 | |
Duke Energy Progress LLC 4% 4/1/52 | 1,315,000 | 1,162,868 | |
Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b) | 4,273,000 | 3,484,291 | |
ENEL Finance International NV 2.25% 7/12/31 (b) | 5,660,000 | 4,274,468 | |
Enel SpA 3.375% (Reg. S) (c)(h) | EUR | 1,035,000 | 927,010 |
Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 991,253 | |
Entergy, Inc. 1.75% 3/15/31 | 1,475,000 | 1,183,039 | |
Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b) | 1,000,000 | 969,563 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 577,863 | |
Eversource Energy: | |||
1.65% 8/15/30 | 895,000 | 715,098 | |
4.2% 6/27/24 | 1,285,000 | 1,284,146 | |
4.6% 7/1/27 | 2,925,000 | 2,933,539 | |
Exelon Corp. 5.625% 6/15/35 | 150,000 | 157,216 | |
FirstEnergy Corp.: | |||
3.4% 3/1/50 | 3,431,000 | 2,458,689 | |
7.375% 11/15/31 | 9,948,000 | 11,674,824 | |
Florida Power & Light Co.: | |||
3.8% 12/15/42 | 1,280,000 | 1,142,704 | |
5.25% 2/1/41 | 400,000 | 418,948 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 281,676 | |
Georgia Power Co. 4.3% 3/15/42 | 400,000 | 355,494 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,561,753 | |
InterGen NV 7% 6/30/23 (b) | 230,000 | 218,500 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,608,066 | |
Jersey Central Power & Light Co.: | |||
2.75% 3/1/32 (b) | 3,560,000 | 3,007,855 | |
4.3% 1/15/26 (b) | 2,000,000 | 1,962,130 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 333,274 | |
Metropolitan Edison Co. 4.3% 1/15/29 (b) | 2,755,000 | 2,689,977 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S) | 250,000 | 206,219 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 3.254% 2/22/23 (c)(g) | 5,000,000 | 4,988,680 | |
2.25% 6/1/30 | 820,000 | 691,179 | |
2.75% 11/1/29 | 1,660,000 | 1,478,553 | |
4.625% 7/15/27 | 2,350,000 | 2,359,636 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 27,000 | 26,325 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) | EUR | 1,150,000 | 941,825 |
Northern States Power Co.: | |||
3.6% 9/15/47 | 20,000 | 16,764 | |
6.25% 6/1/36 | 370,000 | 425,051 | |
NRG Energy, Inc.: | |||
2% 12/2/25 (b) | 3,120,000 | 2,831,250 | |
3.375% 2/15/29 (b) | 45,000 | 36,967 | |
3.625% 2/15/31 (b) | 895,000 | 710,899 | |
3.875% 2/15/32 (b) | 750,000 | 594,375 | |
5.75% 1/15/28 | 245,000 | 230,939 | |
6.625% 1/15/27 | 122,000 | 121,033 | |
Pacific Gas & Electric Co.: | |||
3.95% 12/1/47 | 1,700,000 | 1,161,110 | |
4% 12/1/46 | 645,000 | 444,972 | |
4.5% 7/1/40 | 1,245,000 | 969,130 | |
4.55% 7/1/30 | 3,080,000 | 2,739,102 | |
4.95% 7/1/50 | 785,000 | 626,495 | |
PacifiCorp: | |||
2.9% 6/15/52 | 1,000,000 | 721,370 | |
5.25% 6/15/35 | 1,320,000 | 1,331,122 | |
5.75% 4/1/37 | 900,000 | 935,712 | |
Pattern Energy Operations LP 4.5% 8/15/28 (b) | 90,000 | 81,094 | |
PECO Energy Co.: | |||
2.8% 6/15/50 | 380,000 | 275,504 | |
4.375% 8/15/52 | 725,000 | 690,030 | |
Pennsylvania Electric Co. 4.15% 4/15/25 (b) | 330,000 | 320,865 | |
PG&E Corp.: | |||
5% 7/1/28 | 1,155,000 | 1,025,600 | |
5.25% 7/1/30 | 735,000 | 635,408 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 800,000 | 713,273 | |
4.15% 10/1/45 | 790,000 | 698,379 | |
6.25% 5/15/39 | 350,000 | 394,425 | |
PT Perusahaan Listrik Negara 1.875% 11/5/31 (b) | EUR | 1,500,000 | 1,188,793 |
Public Service Electric & Gas Co.: | |||
3.6% 12/1/47 | 410,000 | 342,855 | |
3.65% 9/1/28 | 960,000 | 928,193 | |
3.65% 9/1/42 | 625,000 | 531,183 | |
3.95% 5/1/42 | 505,000 | 453,885 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 297,268 | |
Southern California Edison Co.: | |||
3.5% 10/1/23 | 675,000 | 671,833 | |
3.6% 2/1/45 | 2,400,000 | 1,824,869 | |
3.9% 12/1/41 | 295,000 | 237,113 | |
5.55% 1/15/37 | 430,000 | 425,103 | |
Southern Co. 1.875% 9/15/81 (c) | EUR | 1,600,000 | 1,168,958 |
Southwestern Public Service Co. 5.15% 6/1/52 | 3,000,000 | 2,971,558 | |
Tampa Electric Co. 4.45% 6/15/49 | 800,000 | 736,684 | |
Tucson Electric Power Co. 3.25% 5/15/32 | 1,200,000 | 1,068,154 | |
Virginia Electric & Power Co.: | |||
6% 1/15/36 | 470,000 | 513,965 | |
6% 5/15/37 | 930,000 | 1,019,413 | |
Vistra Operations Co. LLC: | |||
3.7% 1/30/27 (b) | 2,900,000 | 2,632,121 | |
4.375% 5/1/29 (b) | 1,000,000 | 871,800 | |
5% 7/31/27 (b) | 195,000 | 181,483 | |
5.5% 9/1/26 (b) | 770,000 | 743,474 | |
5.625% 2/15/27 (b) | 5,625,000 | 5,414,063 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 201,453 | |
Xcel Energy, Inc.: | |||
0.5% 10/15/23 | 155,000 | 149,338 | |
1.75% 3/15/27 | 880,000 | 790,170 | |
4% 6/15/28 | 2,640,000 | 2,584,322 | |
138,188,359 | |||
Gas Utilities - 0.0% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.75% 5/20/27 | 654,000 | 616,388 | |
5.875% 8/20/26 | 5,200,000 | 4,949,568 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 612,773 | 649,080 | |
Piedmont Natural Gas Co., Inc. 5.05% 5/15/52 | 2,500,000 | 2,453,387 | |
Southern Co. Gas Capital Corp.: | |||
4.4% 6/1/43 | 870,000 | 753,701 | |
5.875% 3/15/41 | 2,770,000 | 2,884,056 | |
12,306,180 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Calpine Corp.: | |||
5% 2/1/31 (b) | 3,365,000 | 2,816,337 | |
5.125% 3/15/28 (b) | 2,700,000 | 2,397,887 | |
RWE AG 2.75% 5/24/30 (Reg. S) | EUR | 1,850,000 | 1,759,265 |
TerraForm Power Operating LLC 5% 1/31/28 (b) | 645,000 | 591,187 | |
The AES Corp.: | |||
3.3% 7/15/25 (b) | 10,697,000 | 10,146,105 | |
3.95% 7/15/30 (b) | 9,327,000 | 8,520,215 | |
26,230,996 | |||
Multi-Utilities - 0.1% | |||
Ameren Illinois Co.: | |||
4.15% 3/15/46 | 1,135,000 | 1,025,551 | |
4.5% 3/15/49 | 420,000 | 402,762 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 1,280,000 | 1,220,283 | |
4.05% 4/15/25 | 16,081,000 | 16,102,385 | |
6.125% 4/1/36 | 2,980,000 | 3,272,758 | |
CenterPoint Energy, Inc. 2.95% 3/1/30 | 525,000 | 467,134 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.7% 11/15/59 | 1,650,000 | 1,292,413 | |
3.95% 4/1/50 | 1,808,000 | 1,563,741 | |
4.3% 12/1/56 | 300,000 | 260,550 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 169,833 | |
Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S) | 400,000 | 318,200 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 11,346,000 | 10,096,586 | |
4.8% 2/15/44 | 550,000 | 506,433 | |
5.95% 6/15/41 | 640,000 | 660,209 | |
Puget Energy, Inc.: | |||
2.379% 6/15/28 | 815,000 | 709,058 | |
3.65% 5/15/25 | 824,000 | 796,358 | |
4.1% 6/15/30 | 6,189,000 | 5,701,202 | |
4.224% 3/15/32 | 5,488,000 | 5,056,002 | |
San Diego Gas & Electric Co.: | |||
1.7% 10/1/30 | 3,350,000 | 2,751,721 | |
3.32% 4/15/50 | 910,000 | 709,882 | |
3.6% 9/1/23 | 100,000 | 99,774 | |
3.75% 6/1/47 | 860,000 | 725,422 | |
Sempra Energy: | |||
3.3% 4/1/25 | 2,200,000 | 2,141,238 | |
4% 2/1/48 | 965,000 | 808,018 | |
4.125% 4/1/52 (c) | 3,845,000 | 3,230,521 | |
WEC Energy Group, Inc.: | |||
3 month U.S. LIBOR + 2.610% 5.0176% 5/15/67 (c)(g) | 1,012,000 | 840,264 | |
1.8% 10/15/30 | 825,000 | 667,026 | |
61,595,324 | |||
TOTAL UTILITIES | 238,320,859 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $5,187,530,429) | 4,592,832,129 | ||
U.S. Government and Government Agency Obligations - 9.2% | |||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae: | |||
0.5% 6/17/25 | $1,685,000 | $1,548,930 | |
0.875% 8/5/30 | 815,000 | 671,008 | |
1.625% 10/15/24 | 1,295,000 | 1,245,357 | |
1.625% 1/7/25 | 310,000 | 297,293 | |
2.5% 2/5/24 | 440,000 | 434,314 | |
2.875% 9/12/23 | 505,000 | 501,277 | |
6.625% 11/15/30 | 1,480,000 | 1,811,098 | |
Federal Home Loan Bank: | |||
1.04% 6/14/24 | 30,220,000 | 28,792,066 | |
1.2% 12/23/24 | 31,205,000 | 29,568,175 | |
1.61% 9/4/24 | 7,930,000 | 7,599,077 | |
1.61% 9/4/24 | 7,925,000 | 7,594,286 | |
3.25% 11/16/28 | 1,330,000 | 1,323,852 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 867,479 | |
0.375% 5/5/23 | 3,065,000 | 3,001,066 | |
6.25% 7/15/32 | 2,215,000 | 2,720,425 | |
6.75% 3/15/31 | 2,085,000 | 2,585,706 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 782,739 | |
1.5% 9/15/31 | 780,000 | 653,078 | |
2.875% 2/1/27 | 1,060,000 | 1,034,077 | |
5.25% 9/15/39 | 150,000 | 169,142 | |
7.125% 5/1/30 | 460,000 | 570,387 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 93,770,832 | ||
U.S. Treasury Inflation-Protected Obligations - 0.0% | |||
U.S. Treasury Inflation-Indexed Bonds 0.125% 2/15/52 | 5,703,215 | 4,471,666 | |
U.S. Treasury Obligations - 9.0% | |||
U.S. Treasury Bills, yield at date of purchase 2.15% to 2.41% 9/15/22 to 12/22/22 | 33,530,000 | 33,376,139 | |
U.S. Treasury Bonds: | |||
1.375% 11/15/40 | 46,514,600 | 32,723,748 | |
1.375% 8/15/50 | 25,050,000 | 16,018,301 | |
1.75% 8/15/41 | 49,465,200 | 36,751,098 | |
1.875% 2/15/41 | 62,580,000 | 47,944,591 | |
2% 11/15/41 (i)(j) | 251,898,000 | 195,673,580 | |
2% 2/15/50 | 22,390,000 | 16,935,936 | |
2.25% 5/15/41 | 93,030,000 | 75,863,058 | |
2.25% 2/15/52 | 71,600,000 | 57,190,500 | |
2.375% 2/15/42 | 105,361,000 | 87,136,845 | |
2.375% 5/15/51 | 423,397,000 | 348,574,811 | |
2.5% 2/15/46 | 93,948,000 | 77,444,713 | |
2.5% 5/15/46 | 33,680,000 | 27,753,109 | |
2.875% 5/15/52 | 253,765,000 | 233,860,308 | |
3% 8/15/52 | 42,445,000 | 40,236,534 | |
3.125% 8/15/25 | 44,631,000 | 44,181,203 | |
3.25% 5/15/42 (i)(j)(k) | 7,710,000 | 7,375,097 | |
3.375% 8/15/42 | 1,100,000 | 1,073,359 | |
3.625% 8/15/43 | 32,563,100 | 32,720,828 | |
6.25% 8/15/23 | 11,080,000 | 11,377,775 | |
stripped coupon: | |||
0% 2/15/29 | 120,000 | 96,739 | |
0% 2/15/36 | 1,100,000 | 697,290 | |
0% 11/15/36 | 1,975,000 | 1,218,213 | |
0% 5/15/39 | 2,410,000 | 1,346,057 | |
0% 8/15/39 | 8,745,000 | 4,864,374 | |
0% 8/15/40 | 31,315,000 | 16,483,754 | |
0% 2/15/41 | 1,890,000 | 974,581 | |
0% 5/15/41 | 41,450,000 | 21,050,477 | |
0% 8/15/41 | 1,840,000 | 918,565 | |
0% 11/15/41 | 850,000 | 414,996 | |
0% 5/15/42 | 2,635,000 | 1,266,616 | |
0% 8/15/42 | 490,000 | 232,642 | |
0% 11/15/42 | 1,280,000 | 596,813 | |
0% 5/15/44 | 7,670,000 | 3,400,353 | |
U.S. Treasury Notes: | |||
0.125% 9/15/23 | 51,800,000 | 50,043,656 | |
0.25% 9/30/25 | 49,715,000 | 45,050,335 | |
0.375% 4/30/25 | 9,375,000 | 8,636,353 | |
0.375% 1/31/26 | 8,470,000 | 7,624,654 | |
0.5% 2/28/26 | 22,520,000 | 20,319,022 | |
0.75% 3/31/26 | 79,770,000 | 72,481,639 | |
0.75% 4/30/26 | 71,811,200 | 65,137,807 | |
0.875% 6/30/26 | 41,590,000 | 37,762,420 | |
0.875% 9/30/26 (i)(j)(k) | 4,300,000 | 3,884,613 | |
1.25% 11/30/26 | 207,200,000 | 189,588,000 | |
1.25% 12/31/26 | 32,335,000 | 29,547,369 | |
1.25% 4/30/28 | 288,000,000 | 256,713,751 | |
1.5% 2/29/24 | 6,500,000 | 6,313,633 | |
1.5% 1/31/27 | 121,000,000 | 111,650,860 | |
1.5% 11/30/28 | 36,290,000 | 32,514,989 | |
1.75% 3/15/25 | 26,460,000 | 25,345,785 | |
2.125% 7/31/24 | 27,145,000 | 26,479,099 | |
2.125% 5/15/25 | 22,900,000 | 22,090,449 | |
2.5% 4/30/24 | 12,240,000 | 12,045,881 | |
2.5% 5/31/24 | 29,075,000 | 28,594,581 | |
2.625% 2/15/29 | 10,965,000 | 10,516,120 | |
2.625% 7/31/29 (k) | 32,296,000 | 30,958,744 | |
2.75% 5/15/25 | 50,000 | 49,037 | |
2.75% 7/31/27 | 150,750,000 | 146,710,370 | |
2.75% 5/31/29 | 32,245,000 | 31,113,906 | |
2.75% 8/15/32 | 80,260,000 | 77,425,819 | |
2.875% 5/15/28 | 18,690,000 | 18,208,148 | |
2.875% 4/30/29 | 40,122,000 | 39,015,511 | |
2.875% 5/15/32 | 462,814,000 | 451,099,021 | |
3% 6/30/24 | 42,775,000 | 42,404,060 | |
3% 7/31/24 | 276,624,000 | 274,203,540 | |
3% 7/15/25 | 24,025,000 | 23,704,041 | |
3.125% 8/31/27 | 93,090,000 | 92,260,917 | |
3.125% 11/15/28 | 14,283,500 | 14,102,167 | |
3.125% 8/31/29 | 3,075,000 | 3,044,730 | |
3.25% 8/31/24 | 253,575,000 | 252,485,419 | |
3.25% 6/30/27 | 272,100,000 | 270,803,275 | |
TOTAL U.S. TREASURY OBLIGATIONS | 4,307,702,724 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured: | |||
1.4% 7/15/28 | 2,605,000 | 2,298,474 | |
3.55% 1/15/24 | 755,000 | 755,033 | |
TOTAL OTHER GOVERNMENT RELATED | 3,053,507 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $4,678,523,967) | 4,408,998,729 | ||
U.S. Government Agency - Mortgage Securities - 8.7% | |||
Fannie Mae - 2.7% | |||
12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(g) | 2,590 | 2,655 | |
12 month U.S. LIBOR + 1.820% 2.293% 2/1/35 (c)(g) | 24,112 | 24,456 | |
12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(g) | 7,327 | 7,536 | |
1.5% 11/1/40 to 11/1/51 | 46,517,012 | 38,653,559 | |
2% 8/1/31 to 4/1/52 (l) | 336,587,511 | 292,977,288 | |
2.5% 6/1/28 to 5/1/52 | 361,080,426 | 327,299,997 | |
3% 2/1/27 to 5/1/52 (i)(k) | 291,463,511 | 272,188,959 | |
3.5% 5/1/29 to 4/1/52 (i)(j) | 103,679,003 | 100,265,420 | |
4% 9/1/38 to 5/1/52 | 104,282,708 | 103,086,058 | |
4.5% 6/1/24 to 7/1/52 | 63,547,964 | 64,211,521 | |
5% 6/1/24 to 8/1/52 | 80,943,165 | 82,972,987 | |
5.258% 8/1/41 (c) | 229,150 | 235,930 | |
5.5% 11/1/36 to 8/1/52 | 3,808,048 | 3,945,701 | |
6% to 6% 2/1/34 to 1/1/42 (j)(k) | 8,332,636 | 8,918,761 | |
6.5% 2/1/36 | 1,257 | 1,375 | |
6.645% 2/1/39 (c) | 128,839 | 134,308 | |
TOTAL FANNIE MAE | 1,294,926,511 | ||
Freddie Mac - 1.4% | |||
6 month U.S. LIBOR + 2.680% 3.655% 10/1/35 (c)(g) | 2,421 | 2,515 | |
1.5% 3/1/36 to 6/1/51 | 11,101,838 | 9,280,871 | |
2% 1/1/32 to 4/1/52 (i)(k) | 147,991,692 | 128,690,883 | |
2.5% 3/1/28 to 8/1/52 | 185,558,338 | 167,284,656 | |
3% 10/1/28 to 7/1/52 (l) | 178,595,781 | 167,117,901 | |
3.5% 2/1/29 to 5/1/52 (k) | 135,974,254 | 131,945,998 | |
3.5% 8/1/47 | 5,060,475 | 4,893,235 | |
4% 1/1/36 to 8/1/52 | 66,747,571 | 65,948,848 | |
4.5% 7/1/25 to 12/1/48 | 18,112,108 | 18,423,916 | |
5% 10/1/33 to 6/1/52 (l) | 6,885,291 | 7,061,771 | |
6% 7/1/37 to 9/1/38 | 110,426 | 119,032 | |
6.5% 9/1/39 | 287,242 | 316,845 | |
TOTAL FREDDIE MAC | 701,086,471 | ||
Ginnie Mae - 1.4% | |||
3.5% 9/20/40 to 11/20/50 | 50,259,246 | 49,006,441 | |
4.5% 5/15/39 to 3/20/49 | 14,242,763 | 14,536,172 | |
5.5% 6/15/36 to 3/20/41 | 130,157 | 136,967 | |
2% 3/20/51 to 12/20/51 | 16,862,560 | 14,966,008 | |
2% 9/1/52 (l) | 6,050,000 | 5,345,277 | |
2% 9/1/52 (l) | 4,200,000 | 3,710,771 | |
2% 9/1/52 (l) | 4,200,000 | 3,710,771 | |
2% 9/1/52 (l) | 6,050,000 | 5,345,277 | |
2% 9/1/52 (l) | 4,500,000 | 3,975,826 | |
2% 9/1/52 (l) | 6,500,000 | 5,742,859 | |
2% 9/1/52 (l) | 4,500,000 | 3,975,826 | |
2% 9/1/52 (l) | 6,500,000 | 5,742,859 | |
2% 9/1/52 (l) | 15,800,000 | 13,959,565 | |
2% 9/1/52 (l) | 8,700,000 | 7,686,596 | |
2% 9/1/52 (l) | 1,500,000 | 1,325,275 | |
2% 9/1/52 (l) | 8,750,000 | 7,730,772 | |
2% 9/1/52 (l) | 4,800,000 | 4,240,881 | |
2% 9/1/52 (l) | 3,850,000 | 3,401,540 | |
2% 9/1/52 (l) | 3,050,000 | 2,694,726 | |
2% 9/1/52 (l) | 7,000,000 | 6,184,618 | |
2% 9/1/52 (l) | 5,600,000 | 4,947,694 | |
2% 9/1/52 (l) | 900,000 | 795,165 | |
2% 9/1/52 (l) | 1,650,000 | 1,457,803 | |
2% 9/1/52 (l) | 4,750,000 | 4,196,705 | |
2% 9/1/52 (l) | 23,100,000 | 20,409,238 | |
2% 10/1/52 (l) | 6,000,000 | 5,299,929 | |
2% 10/1/52 (l) | 13,050,000 | 11,527,346 | |
2% 10/1/52 (l) | 4,200,000 | 3,709,950 | |
2% 10/1/52 (l) | 9,150,000 | 8,082,392 | |
2% 10/1/52 (l) | 12,000,000 | 10,599,858 | |
2% 10/1/52 (l) | 26,150,000 | 23,098,857 | |
2.5% 8/20/46 to 8/20/51 | 29,038,804 | 26,635,067 | |
2.5% 9/1/52 (l) | 14,650,000 | 13,357,814 | |
2.5% 9/1/52 (l) | 7,300,000 | 6,656,112 | |
2.5% 9/1/52 (l) | 8,350,000 | 7,613,498 | |
2.5% 9/1/52 (l) | 4,200,000 | 3,829,544 | |
2.5% 9/1/52 (l) | 1,500,000 | 1,367,694 | |
2.5% 9/1/52 (l) | 4,000,000 | 3,647,185 | |
2.5% 9/1/52 (l) | 10,100,000 | 9,209,142 | |
2.5% 9/1/52 (l) | 15,775,000 | 14,383,585 | |
2.5% 9/1/52 (l) | 17,775,000 | 16,207,177 | |
2.5% 9/1/52 (l) | 4,200,000 | 3,829,544 | |
2.5% 9/1/52 (l) | 7,350,000 | 6,701,702 | |
2.5% 9/1/52 (l) | 3,950,000 | 3,601,595 | |
2.5% 9/1/52 (l) | 6,950,000 | 6,336,984 | |
2.5% 9/1/52 (l) | 4,475,000 | 4,080,288 | |
2.5% 9/1/52 (l) | 7,900,000 | 7,203,190 | |
2.5% 9/1/52 (l) | 6,250,000 | 5,698,726 | |
2.5% 9/1/52 (l) | 13,150,000 | 11,990,120 | |
2.5% 9/1/52 (l) | 700,000 | 638,257 | |
2.5% 9/1/52 (l) | 1,250,000 | 1,139,745 | |
2.5% 10/1/52 (l) | 15,500,000 | 14,128,602 | |
2.5% 10/1/52 (l) | 28,200,000 | 25,704,940 | |
3% 8/20/42 to 9/20/51 | 63,237,202 | 59,914,152 | |
3% 9/1/52 (l) | 2,200,000 | 2,064,792 | |
3% 9/1/52 (l) | 6,050,000 | 5,678,177 | |
3% 9/1/52 (l) | 8,200,000 | 7,696,042 | |
3% 9/1/52 (l) | 4,100,000 | 3,848,021 | |
3% 9/1/52 (l) | 3,000,000 | 2,815,625 | |
3% 9/1/52 (l) | 1,500,000 | 1,407,813 | |
3% 9/1/52 (l) | 2,225,000 | 2,088,255 | |
3% 9/1/52 (l) | 6,125,000 | 5,748,568 | |
3% 9/1/52 (l) | 2,225,000 | 2,088,255 | |
3% 9/1/52 (l) | 6,125,000 | 5,748,568 | |
3% 9/1/52 (l) | 2,550,000 | 2,393,281 | |
3% 9/1/52 (l) | 7,050,000 | 6,616,719 | |
3% 10/1/52 (l) | 6,000,000 | 5,627,266 | |
3% 10/1/52 (l) | 2,200,000 | 2,063,331 | |
3% 10/1/52 (l) | 3,650,000 | 3,423,254 | |
3% 10/1/52 (l) | 10,000,000 | 9,378,777 | |
3.5% 9/1/52 (l) | 3,000,000 | 2,892,401 | |
3.5% 9/1/52 (l) | 1,000,000 | 964,134 | |
3.5% 9/1/52 (l) | 6,500,000 | 6,266,869 | |
3.5% 9/1/52 (l) | 8,650,000 | 8,339,757 | |
4% 5/20/40 to 5/20/49 | 53,621,113 | 53,447,712 | |
4% 10/1/52 (l) | 2,000,000 | 1,967,217 | |
4.5% 9/1/52 (l) | 2,000,000 | 2,000,037 | |
4.5% 9/1/52 (l) | 500,000 | 500,009 | |
5% 6/20/34 to 6/20/48 | 10,536,652 | 10,901,054 | |
5% 9/1/52 (l) | 6,600,000 | 6,686,956 | |
TOTAL GINNIE MAE | 674,071,517 | ||
Uniform Mortgage Backed Securities - 3.2% | |||
1.5% 9/1/37 (l) | 1,600,000 | 1,437,158 | |
1.5% 9/1/37 (l) | 3,200,000 | 2,874,316 | |
1.5% 9/1/37 (l) | 1,500,000 | 1,347,336 | |
1.5% 10/1/37 (l) | 350,000 | 314,419 | |
1.5% 10/1/37 (l) | 1,150,000 | 1,033,092 | |
1.5% 10/1/37 (l) | 500,000 | 449,170 | |
1.5% 10/1/37 (l) | 1,550,000 | 1,392,428 | |
1.5% 9/1/52 (l) | 11,050,000 | 9,053,278 | |
1.5% 9/1/52 (l) | 23,000,000 | 18,843,928 | |
1.5% 9/1/52 (l) | 3,550,000 | 2,908,519 | |
1.5% 9/1/52 (l) | 1,300,000 | 1,065,092 | |
1.5% 9/1/52 (l) | 6,400,000 | 5,243,528 | |
1.5% 9/1/52 (l) | 2,350,000 | 1,925,358 | |
1.5% 9/1/52 (l) | 3,050,000 | 2,498,869 | |
1.5% 9/1/52 (l) | 5,450,000 | 4,465,192 | |
2% 9/1/37 (l) | 3,600,000 | 3,317,232 | |
2% 9/1/37 (l) | 11,700,000 | 10,781,002 | |
2% 9/1/37 (l) | 1,000,000 | 921,453 | |
2% 9/1/37 (l) | 1,150,000 | 1,059,671 | |
2% 9/1/37 (l) | 2,500,000 | 2,303,633 | |
2% 9/1/37 (l) | 2,950,000 | 2,718,287 | |
2% 9/1/37 (l) | 1,250,000 | 1,151,817 | |
2% 9/1/37 (l) | 500,000 | 460,727 | |
2% 9/1/37 (l) | 1,450,000 | 1,336,107 | |
2% 9/1/37 (l) | 2,800,000 | 2,580,069 | |
2% 9/1/37 (l) | 1,400,000 | 1,290,034 | |
2% 9/1/37 (l) | 2,850,000 | 2,626,142 | |
2% 9/1/37 (l) | 1,550,000 | 1,428,252 | |
2% 9/1/37 (l) | 3,050,000 | 2,810,432 | |
2% 9/1/37 (l) | 2,900,000 | 2,672,214 | |
2% 10/1/37 (l) | 3,450,000 | 3,178,474 | |
2% 10/1/37 (l) | 2,400,000 | 2,211,113 | |
2% 10/1/37 (l) | 1,200,000 | 1,105,556 | |
2% 10/1/37 (l) | 1,200,000 | 1,105,556 | |
2% 10/1/37 (l) | 1,750,000 | 1,612,270 | |
2% 10/1/37 (l) | 1,750,000 | 1,612,270 | |
2% 9/1/52 (l) | 18,250,000 | 15,704,988 | |
2% 9/1/52 (l) | 11,700,000 | 10,068,403 | |
2% 9/1/52 (l) | 20,400,000 | 17,555,165 | |
2% 9/1/52 (l) | 6,875,000 | 5,916,263 | |
2% 9/1/52 (l) | 24,100,000 | 20,739,190 | |
2% 9/1/52 (l) | 18,325,000 | 15,769,529 | |
2% 9/1/52 (l) | 10,000,000 | 8,605,473 | |
2% 9/1/52 (l) | 24,450,000 | 21,040,381 | |
2% 9/1/52 (l) | 1,050,000 | 903,575 | |
2% 9/1/52 (l) | 1,000,000 | 860,547 | |
2% 9/1/52 (l) | 1,050,000 | 903,575 | |
2% 9/1/52 (l) | 1,700,000 | 1,462,930 | |
2% 9/1/52 (l) | 1,700,000 | 1,462,930 | |
2% 9/1/52 (l) | 1,700,000 | 1,462,930 | |
2% 9/1/52 (l) | 9,150,000 | 7,874,008 | |
2% 9/1/52 (l) | 5,400,000 | 4,646,955 | |
2% 9/1/52 (l) | 13,950,000 | 12,004,635 | |
2% 9/1/52 (l) | 8,200,000 | 7,056,488 | |
2% 9/1/52 (l) | 2,925,000 | 2,517,101 | |
2% 9/1/52 (l) | 4,450,000 | 3,829,435 | |
2% 9/1/52 (l) | 1,400,000 | 1,204,766 | |
2% 9/1/52 (l) | 2,600,000 | 2,237,423 | |
2% 9/1/52 (l) | 1,000,000 | 860,547 | |
2% 9/1/52 (l) | 8,300,000 | 7,142,543 | |
2% 9/1/52 (l) | 2,100,000 | 1,807,149 | |
2% 9/1/52 (l) | 1,000,000 | 860,547 | |
2% 9/1/52 (l) | 4,100,000 | 3,528,244 | |
2% 9/1/52 (l) | 30,650,000 | 26,375,775 | |
2% 9/1/52 (l) | 17,575,000 | 15,124,119 | |
2% 9/1/52 (l) | 17,900,000 | 15,403,797 | |
2% 9/1/52 (l) | 21,775,000 | 18,738,417 | |
2% 10/1/52 (l) | 26,100,000 | 22,454,167 | |
2% 10/1/52 (l) | 34,100,000 | 29,336,670 | |
2% 10/1/52 (l) | 12,600,000 | 10,839,943 | |
2% 10/1/52 (l) | 14,325,000 | 12,323,982 | |
2% 10/1/52 (l) | 16,700,000 | 14,367,225 | |
2% 10/1/52 (l) | 17,525,000 | 15,076,984 | |
2% 10/1/52 (l) | 15,275,000 | 13,141,280 | |
2% 10/1/52 (l) | 15,250,000 | 13,119,772 | |
2% 10/1/52 (l) | 29,350,000 | 25,250,184 | |
2% 10/1/52 (l) | 35,650,000 | 30,670,155 | |
2% 10/1/52 (l) | 23,450,000 | 20,174,338 | |
2% 10/1/52 (l) | 8,875,000 | 7,635,277 | |
2% 10/1/52 (l) | 6,875,000 | 5,914,651 | |
2% 10/1/52 (l) | 24,000,000 | 20,647,510 | |
2% 10/1/52 (l) | 12,425,000 | 10,689,388 | |
2% 10/1/52 (l) | 9,125,000 | 7,850,355 | |
2% 10/1/52 (l) | 22,700,000 | 19,529,103 | |
2% 10/1/52 (l) | 17,400,000 | 14,969,444 | |
2.5% 9/1/37 (l) | 3,050,000 | 2,884,155 | |
2.5% 9/1/37 (l) | 17,050,000 | 16,122,898 | |
2.5% 9/1/37(l) | 11,400,000 | 10,780,119 | |
2.5% 9/1/37 (l) | 2,050,000 | 1,938,530 | |
2.5% 9/1/37 (l) | 2,000,000 | 1,891,249 | |
2.5% 9/1/37 (l) | 11,350,000 | 10,732,838 | |
2.5% 9/1/52 (l) | 12,000,000 | 10,717,502 | |
2.5% 9/1/52 (l) | 15,950,000 | 14,245,347 | |
2.5% 9/1/52 (l) | 13,000,000 | 11,610,628 | |
2.5% 9/1/52 (l) | 2,100,000 | 1,875,563 | |
2.5% 9/1/52 (l) | 13,500,000 | 12,057,190 | |
2.5% 9/1/52 (l) | 16,550,000 | 14,781,222 | |
2.5% 9/1/52 (l) | 24,800,000 | 22,149,505 | |
2.5% 9/1/52 (l) | 8,800,000 | 7,859,502 | |
2.5% 9/1/52 (l) | 375,000 | 334,922 | |
2.5% 9/1/52 (l) | 2,000,000 | 1,786,250 | |
2.5% 9/1/52 (l) | 1,500,000 | 1,339,688 | |
2.5% 10/1/52 (l) | 11,175,000 | 9,975,873 | |
2.5% 10/1/52 (l) | 27,925,000 | 24,928,525 | |
2.5% 10/1/52 (l) | 21,825,000 | 19,483,081 | |
2.5% 10/1/52 (l) | 32,000,000 | 28,566,259 | |
2.5% 10/1/52 (l) | 10,650,000 | 9,507,208 | |
2.5% 10/1/52 (l) | 12,000,000 | 10,712,347 | |
2.5% 10/1/52 (l) | 8,250,000 | 7,364,739 | |
2.5% 10/1/52 (l) | 14,225,000 | 12,698,595 | |
2.5% 10/1/52 (l) | 6,950,000 | 6,204,234 | |
2.5% 10/1/52 (l) | 29,650,000 | 26,468,425 | |
2.5% 10/1/52 (l) | 16,400,000 | 14,640,208 | |
2.5% 10/1/52 (l) | 7,375,000 | 6,583,630 | |
2.5% 10/1/52 (l) | 8,075,000 | 7,208,517 | |
3% 9/1/37 (l) | 2,925,000 | 2,831,765 | |
3% 9/1/37 (l) | 800,000 | 774,500 | |
3% 9/1/52 (l) | 2,100,000 | 1,943,321 | |
3% 9/1/52 (l) | 4,750,000 | 4,395,607 | |
3% 9/1/52 (l) | 4,450,000 | 4,117,990 | |
3% 9/1/52 (l) | 600,000 | 555,235 | |
3% 9/1/52 (l) | 14,675,000 | 13,580,111 | |
3% 9/1/52 (l) | 6,500,000 | 6,015,041 | |
3% 9/1/52 (l) | 3,500,000 | 3,238,868 | |
3% 10/1/52 (l) | 11,475,000 | 10,611,689 | |
3% 10/1/52 (l) | 11,100,000 | 10,264,901 | |
3% 10/1/52 (l) | 24,850,000 | 22,980,433 | |
3% 10/1/52 (l) | 16,150,000 | 14,934,969 | |
3% 10/1/52 (l) | 24,000,000 | 22,194,382 | |
3.5% 9/1/37 (l) | 7,000,000 | 6,872,582 | |
3.5% 10/1/37 (l) | 3,000,000 | 2,942,111 | |
3.5% 9/1/52 (l) | 12,500,000 | 11,916,015 | |
3.5% 9/1/52 (l) | 12,000,000 | 11,439,374 | |
3.5% 9/1/52 (l) | 6,500,000 | 6,196,328 | |
3.5% 9/1/52 (l) | 6,000,000 | 5,719,687 | |
3.5% 9/1/52 (l) | 7,500,000 | 7,149,609 | |
3.5% 9/1/52 (l) | 7,500,000 | 7,149,609 | |
3.5% 9/1/52 (l) | 1,000,000 | 953,281 | |
3.5% 9/1/52 (l) | 13,950,000 | 13,298,273 | |
3.5% 9/1/52 (l) | 11,100,000 | 10,581,421 | |
3.5% 9/1/52 (l) | 2,500,000 | 2,383,203 | |
3.5% 9/1/52 (l) | 6,000,000 | 5,719,687 | |
3.5% 9/1/52 (l) | 7,000,000 | 6,672,968 | |
3.5% 9/1/52 (l) | 1,000,000 | 953,281 | |
3.5% 9/1/52 (l) | 1,100,000 | 1,048,609 | |
3.5% 9/1/52 (l) | 8,600,000 | 8,198,218 | |
3.5% 9/1/52 (l) | 12,500,000 | 11,916,015 | |
3.5% 10/1/52 (l) | 6,500,000 | 6,190,742 | |
3.5% 10/1/52 (l) | 6,000,000 | 5,714,531 | |
3.5% 10/1/52 (l) | 500,000 | 476,211 | |
3.5% 10/1/52 (l) | 15,000,000 | 14,286,329 | |
3.5% 10/1/52 (l) | 4,500,000 | 4,285,899 | |
4% 9/1/37 (l) | 7,500,000 | 7,470,995 | |
4% 9/1/52 (l) | 4,000,000 | 3,903,436 | |
4% 9/1/52 (l) | 8,000,000 | 7,806,871 | |
4% 9/1/52 (l) | 1,500,000 | 1,463,788 | |
4% 9/1/52 (l) | 4,000,000 | 3,903,436 | |
4% 9/1/52 (l) | 18,000,000 | 17,565,460 | |
4% 9/1/52 (l) | 10,000,000 | 9,758,589 | |
4% 9/1/52 (l) | 15,400,000 | 15,028,227 | |
4% 9/1/52 (l) | 15,375,000 | 15,003,831 | |
4% 9/1/52 (l) | 50,000 | 48,793 | |
4% 9/1/52 (l) | 11,500,000 | 11,222,377 | |
4% 9/1/52 (l) | 4,000,000 | 3,903,436 | |
4% 9/1/52 (l) | 2,400,000 | 2,342,061 | |
4% 9/1/52 (l) | 2,500,000 | 2,439,647 | |
4.5% 9/1/52 (l) | 9,500,000 | 9,441,370 | |
4.5% 9/1/52 (l) | 1,500,000 | 1,490,743 | |
4.5% 9/1/52 (l) | 15,700,000 | 15,603,106 | |
4.5% 9/1/52 (l) | 5,400,000 | 5,366,673 | |
4.5% 9/1/52 (l) | 38,700,000 | 38,461,159 | |
4.5% 9/1/52 (l) | 2,500,000 | 2,484,571 | |
4.5% 9/1/52 (l) | 7,000,000 | 6,956,799 | |
4.5% 9/1/52 (l) | 2,000,000 | 1,987,657 | |
4.5% 9/1/52 (l) | 2,000,000 | 1,987,657 | |
4.5% 9/1/52 (l) | 4,200,000 | 4,174,079 | |
4.5% 10/1/52 (l) | 3,900,000 | 3,870,599 | |
4.5% 10/1/52 (l) | 26,700,000 | 26,498,714 | |
4.5% 10/1/52 (l) | 6,000,000 | 5,954,767 | |
4.5% 10/1/52 (l) | 13,000,000 | 12,901,996 | |
4.5% 10/1/52 (l) | 9,000,000 | 8,932,151 | |
4.5% 10/1/52 (l) | 5,500,000 | 5,458,537 | |
4.5% 10/1/52 (l) | 2,500,000 | 2,481,153 | |
4.5% 10/1/52 (l) | 10,500,000 | 10,420,843 | |
5% 9/1/52 (l) | 3,100,000 | 3,128,095 | |
5% 9/1/52 (l) | 3,800,000 | 3,834,439 | |
5% 9/1/52 (l) | 200,000 | 201,813 | |
5.5% 9/1/52 (l) | 2,250,000 | 2,300,851 | |
5.5% 9/1/52 (l) | 1,150,000 | 1,175,991 | |
5.5% 9/1/52 (l) | 1,550,000 | 1,585,031 | |
5.5% 9/1/52 (l) | 800,000 | 818,080 | |
5.5% 9/1/52 (l) | 2,900,000 | 2,965,541 | |
5.5% 9/1/52 (l) | 1,100,000 | 1,124,861 | |
5.5% 9/1/52 (l) | 600,000 | 613,560 | |
5.5% 9/1/52 (l) | 550,000 | 562,430 | |
5.5% 9/1/52 (l) | 1,100,000 | 1,124,861 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,534,512,868 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $4,406,644,049) | 4,204,597,367 | ||
Asset-Backed Securities - 2.2% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | $2,548,166 | $1,716,002 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 3,394,268 | 2,350,530 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 6,818,315 | 4,987,911 | |
Class B, 4.458% 10/16/39 (b)(e) | 1,333,003 | 639,868 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 5,385,422 | 4,492,426 | |
Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 1.1383% 4/25/36 (c)(g) | 2,414,000 | 2,178,291 | |
Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 3.0887% 12/25/35 (g) | 11,165,000 | 10,311,926 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 2,167,485 | 2,152,192 | |
AIG CLO LLC Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.120% 3.8299% 4/20/32 (b)(c)(g) | 7,500,000 | 7,361,595 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 3.612% 1/15/32 (b)(c)(g) | 1,584,000 | 1,556,101 | |
AIMCO CLO Series 2021-AA Class AR2, 3 month U.S. LIBOR + 1.140% 3.8803% 10/17/34 (b)(c)(g) | 4,150,000 | 4,038,469 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 3.8703% 10/17/34 (b)(c)(g) | 3,880,000 | 3,786,007 | |
Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 3.8599% 7/20/32 (b)(c)(g) | 16,000,000 | 15,663,600 | |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(g) | 5,071,000 | 4,971,771 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 3.8499% 7/20/34 (b)(c)(g) | 4,673,000 | 4,533,628 | |
American Express Credit Account Master Trust Series 2022-3 Class A, 3.75% 8/16/27 | 5,300,000 | 5,279,873 | |
Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 3.6437% 11/25/34 (c)(g) | 3,108,480 | 2,953,098 | |
Anchorage Capital CLO 17, Ltd. Series 2021-17A Class A1, 3 month U.S. LIBOR + 1.170% 3.682% 7/15/34 (b)(c)(g) | 10,500,000 | 10,200,078 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 2,105,992 | 1,739,676 | |
Class B, 4.335% 1/16/40 (b) | 398,355 | 174,269 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.832% 10/15/32 (b)(c)(g) | 7,102,000 | 6,983,411 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 3.642% 7/15/34 (b)(c)(g) | 5,889,000 | 5,757,764 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 3.6579% 1/15/35 (b)(c)(g) | 7,506,000 | 7,245,227 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 3.9903% 4/17/33 (b)(c)(g) | 15,169,000 | 14,852,165 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 3.0837% 1/25/36 (c)(g) | 2,620,208 | 2,432,407 | |
ArrowMark Colorado Holdings LLC Series 2021-3A Class A1R, 3 month U.S. LIBOR + 1.210% 3.993% 1/25/35 (b)(c)(g) | 9,500,000 | 9,155,150 | |
Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 3.9799% 1/20/34 (b)(c)(g) | 2,000,000 | 1,944,642 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 3.662% 10/15/36 (b)(c)(g) | 3,908,000 | 3,817,131 | |
Bain Capital Credit CLO, Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.100% 3.8403% 10/17/32 (b)(c)(g) | 7,500,000 | 7,344,248 | |
Balboa Bay Loan Funding Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.120% 3.8299% 1/20/32 (b)(c)(g) | 10,000,000 | 9,824,100 | |
Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 3.953% 1/25/35 (b)(c)(g) | 12,000,000 | 11,674,704 | |
Battalion CLO XI Ltd. / Battalion CLO XI LLC Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.150% 3.933% 4/24/34 (b)(c)(g) | 22,750,000 | 22,110,384 | |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 3.7808% 1/17/35 (b)(c)(g) | 7,708,000 | 7,473,654 | |
Bellemeade Re Ltd. Series 2021-1A: | |||
Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.750% 3.9332% 3/25/31 (b)(c)(g) | 3,126,928 | 3,128,938 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 5.1332% 3/25/31 (b)(c)(g) | 2,140,000 | 2,097,721 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 3.642% 1/15/35 (b)(c)(g) | 5,907,000 | 5,759,768 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 7,356,322 | 6,501,253 | |
Class AA, 2.487% 12/16/41 (b)(c) | 793,841 | 741,309 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 7,631,910 | 6,463,221 | |
BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 4.4099% 4/20/33 (b)(c)(g) | 8,500,000 | 8,244,006 | |
BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 3.772% 4/15/34 (b)(c)(g) | 3,000,000 | 2,928,720 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 3.502% 4/15/29 (b)(c)(g) | 8,094,093 | 8,007,543 | |
CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27 | 200,000 | 182,726 | |
Carrington Mortgage Loan Trust Series 2005-FRE1: | |||
Class M1, 1 month U.S. LIBOR + 0.700% 3.1487% 12/25/35 (c)(g) | 1,080,801 | 1,082,171 | |
Class M2, 1 month U.S. LIBOR + 0.730% 3.1787% 12/25/35 (g) | 10,000,000 | 9,558,531 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 5,553,917 | 4,958,371 | |
Class B, 5.095% 4/15/39 (b) | 2,927,377 | 2,319,125 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 3,566,088 | 3,205,408 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 3.8099% 10/20/32 (b)(c)(g) | 4,327,000 | 4,249,439 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 3.7973% 4/20/35 (b)(c)(g) | 7,060,000 | 6,871,639 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 3.913% 10/25/34 (b)(c)(g) | 3,624,000 | 3,518,574 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 3.8799% 10/20/34 (b)(c)(g) | 5,895,000 | 5,720,095 | |
Chase Auto Credit Linked Notes Series 2021-3 Class E, 2.102% 2/26/29 (b) | 483,228 | 463,180 | |
CIFC Funding Ltd. Series 2021-7A Class B, 3 month U.S. LIBOR + 1.600% 4.383% 1/23/35 (b)(c)(g) | 7,600,000 | 7,279,774 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.7937% 10/25/37 (b)(c)(g) | 688,890 | 686,642 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 697,538 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,500,000 | 2,507,592 | |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(g) | 7,340,000 | 7,203,704 | |
CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b) | 3,200,000 | 3,046,209 | |
Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, 3 month U.S. LIBOR + 1.060% 3.572% 10/15/31 (b)(c)(g) | 25,000,000 | 24,500,325 | |
Crown Point CLO, Ltd. / Crown Point CLO LLC Series 2021-11A Class A, 3 month U.S. LIBOR + 1.120% 3.8603% 1/17/34 (b)(c)(g) | 1,000,000 | 977,435 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 6,982,960 | 6,555,659 | |
Discover Card Execution Note Trust Series 2022-A3 Class A3, 3.56% 7/15/27 | 6,200,000 | 6,150,211 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 2.204% 4/20/35 (b)(c)(g) | 4,007,000 | 3,872,044 | |
Dryden CLO, Ltd. Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 3.8599% 10/20/34 (b)(c)(g) | 3,910,000 | 3,818,221 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 3.9203% 4/17/33 (b)(c)(g) | 5,400,000 | 5,289,467 | |
Series 2021-72A Class BR, 3 month U.S. LIBOR + 1.650% 4.5551% 5/15/32 (b)(c)(g) | 6,000,000 | 5,787,360 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 3.662% 10/15/35 (b)(c)(g) | 5,160,000 | 5,036,010 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 4.114% 2/20/35 (b)(c)(g) | 3,054,000 | 2,971,081 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 3.612% 4/15/31 (b)(c)(g) | 2,460,000 | 2,413,235 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 3.662% 1/15/35 (b)(c)(g) | 6,200,000 | 6,063,247 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 3.762% 1/15/34 (b)(c)(g) | 7,240,000 | 7,089,994 | |
ECMC Group Student Loan Trust Series 2021-1A Class A1B, 1 month U.S. LIBOR + 0.570% 3.0137% 11/25/70 (b)(c)(g) | 922,114 | 894,507 | |
EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 3.7937% 3/25/36 (b)(c)(g) | 1,021,183 | 1,011,378 | |
Elevation CLO, Ltd. Series 2021-13A Class A1, 3 month U.S. LIBOR + 1.190% 3.702% 7/15/34 (b)(c)(g) | 8,500,000 | 8,208,705 | |
Elmwood CLO II Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 3.8599% 4/20/34 (b)(c)(g) | 35,000,000 | 34,198,640 | |
Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 3.3437% 1/25/36 (c)(g) | 4,800,000 | 4,602,784 | |
Enterprise Fleet Financing LLC: | |||
Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 4,023,587 | 3,894,446 | |
Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 2,969,000 | 2,968,021 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 3.8476% 7/19/34 (b)(c)(g) | 4,210,000 | 4,089,106 | |
Class AR, 3 month U.S. LIBOR + 1.080% 4.0016% 11/16/34 (b)(c)(g) | 5,750,000 | 5,615,410 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 4.284% 11/20/33 (b)(c)(g) | 7,413,000 | 7,260,411 | |
Ford Credit Auto Owner Trust: | |||
Series 2019-1 Class A, 3.52% 7/15/30 (b) | 10,300,000 | 10,213,081 | |
Series 2020-2 Class A, 1.06% 4/15/33 (b) | 3,200,000 | 2,902,429 | |
Series 2021-1 Class C, 1.91% 10/17/33 (b) | 1,190,000 | 1,062,346 | |
Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, 3 month U.S. LIBOR + 1.140% 3.652% 4/15/34 (b)(c)(g) | 35,000,000 | 34,055,665 | |
Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 1.045% 4/25/34 (b)(c)(g) | EUR | 2,000,000 | 1,942,994 |
Home Re, Ltd.: | |||
Series 2021-1: | |||
Class M1A, 1 month U.S. LIBOR + 1.050% 3.4937% 7/25/33 (b)(c)(g) | 18,781 | 18,770 | |
Class M1B, 1 month U.S. LIBOR + 1.550% 3.9937% 7/25/33 (b)(c)(g) | 165,000 | 164,088 | |
Class M1C, 1 month U.S. LIBOR + 2.300% 4.7437% 7/25/33 (b)(c)(g) | 745,000 | 721,132 | |
Series 2021-2: | |||
Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.600% 3.7832% 1/25/34 (b)(c)(g) | 665,000 | 654,127 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.800% 4.9832% 1/25/34 (b)(c)(g) | 990,000 | 942,948 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,263,189 | 2,839,485 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 3,881,332 | 3,380,624 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 2.5837% 1/25/37 (c)(g) | 2,618,429 | 2,042,583 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 3.889% 10/22/34 (b)(c)(g) | 4,148,000 | 4,022,739 | |
Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 0.65% 7/15/31 (b)(c)(g) | EUR | 10,000,000 | 9,711,857 |
Jamestown CLO XIV Ltd. Series 2021-14A: | |||
Class A1AR, 3 month U.S. LIBOR + 1.200% 3.9099% 10/20/34 (b)(c)(g) | 13,000,000 | 12,675,572 | |
Class A2R, 3 month U.S. LIBOR + 1.750% 4.4599% 10/20/34 (b)(c)(g) | 10,600,000 | 10,144,211 | |
JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 4.0203% 7/17/29 (b)(c)(g) | 1,493,337 | 1,479,224 | |
JPMorgan Chase Bank NA - CACLN Series 2021-2 Class E, 2.28% 12/26/28 (b) | 608,263 | 587,860 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 2.0223% 4/15/35 (b)(c)(g) | 9,327,000 | 9,011,645 | |
KKR Financial CLO Ltd. Series 2021-33A Class A, 3 month U.S. LIBOR + 1.170% 3.8799% 7/20/34 (b)(c)(g) | 13,000,000 | 12,644,879 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 6,383,000 | 6,358,400 | |
LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 3.6899% 3/20/30 (b)(c)(g) | 7,500,000 | 7,405,208 | |
Lendmark Funding Trust Series 2021-1A: | |||
Class A, 1.9% 11/20/31 (b) | 4,200,000 | 3,642,189 | |
Class B, 2.47% 11/20/31 (b) | 150,000 | 123,265 | |
Logan CLO I, Ltd. / Logan CLO I LLC Series 2021-1A Class A, 3 month U.S. LIBOR + 1.160% 3.8699% 7/20/34 (b)(c)(g) | 12,500,000 | 12,237,263 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 3.859% 1/22/35 (b)(c)(g) | 6,180,000 | 6,008,190 | |
Madison Park Funding Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.140% 3.8803% 1/18/34 (b)(c)(g) | 4,500,000 | 4,420,121 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 3.632% 7/15/34 (b)(c)(g) | 4,233,000 | 4,120,301 | |
Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 3.7317% 7/21/30 (b)(c)(g) | 7,000,000 | 6,914,355 | |
Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, 3 month U.S. LIBOR + 1.120% 3.903% 4/25/32 (b)(c)(g) | 20,000,000 | 19,705,020 | |
Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, 3 month U.S. LIBOR + 1.120% 3.8603% 7/17/34 (b)(c)(g) | 12,500,000 | 12,207,100 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 3.8499% 10/20/34 (b)(c)(g) | 1,417,000 | 1,384,545 | |
Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 3.312% 1/15/28 (b)(c)(g) | 6,391,642 | 6,329,426 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 3.913% 1/25/35 (b)(c)(g) | 4,904,000 | 4,784,264 | |
Marlette Funding Trust: | |||
Series 2021-3A Class A, 0.65% 12/15/31 (b) | 2,489,205 | 2,452,770 | |
Series 2022-1A Class A, 1.36% 4/15/32 (b) | 2,647,563 | 2,593,871 | |
MASTR Asset Backed Securities Trust: | |||
Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 3.1437% 11/25/35 (c)(g) | 9,977,607 | 5,940,156 | |
Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 4.1687% 6/25/35 (c)(g) | 1,816,559 | 1,814,182 | |
MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 3.8876% 4/19/33 (b)(c)(g) | 5,000,000 | 4,916,160 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 1,250,918 | 1,231,189 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 3.7799% 10/20/30 (b)(c)(g) | 8,353,000 | 8,220,764 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 2.9237% 6/25/36 (g) | 3,699,101 | 2,111,024 | |
Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 2.7037% 5/25/37 (c)(g) | 2,204,932 | 1,704,493 | |
Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 2.8037% 9/25/36 (c)(g) | 8,141,000 | 7,648,953 | |
Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b) | 100,000 | 82,296 | |
Navient Student Loan Trust: | |||
Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 3.0437% 4/25/40 (c)(g) | 2,616,376 | 2,533,018 | |
Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 3.9437% 6/25/65 (b)(c)(g) | 1,403,679 | 1,398,798 | |
Series 2017-3A Class A3, 1 month U.S. LIBOR + 1.050% 3.4937% 7/26/66 (b)(c)(g) | 9,093,000 | 9,019,504 | |
Nelnet Student Loan Trust Series 2013-1 Class A6, 3 month U.S. LIBOR + 0.450% 3.4077% 8/23/36 (b)(c)(g) | 7,138,918 | 6,917,573 | |
Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 2.6737% 4/25/37 (g) | 2,676,815 | 2,629,479 | |
Northwoods Capital XV, Ltd. Series 2021-15A Class A1R, 3 month U.S. LIBOR + 1.210% 3.2734% 6/20/34 (b)(c)(g) | 23,750,000 | 22,954,803 | |
Oak Hill Credit Partners X-R, Ltd. Series 2021-10RA, Class BR, 3 month U.S. LIBOR + 1.550% 4.2599% 4/20/34 (b)(c)(g) | 2,000,000 | 1,915,938 | |
OCP CLO Ltd. / OCP CLO LLC Series 2021-18A Class AR, 3 month U.S. LIBOR + 1.090% 3.7999% 7/20/32 (b)(c)(g) | 18,000,000 | 17,607,852 | |
Octagon Investment Partners 20-R, Ltd. Series 2021-4A Class BR, 3 month U.S. LIBOR + 1.700% 4.6227% 5/12/31 (b)(c)(g) | 2,500,000 | 2,407,848 | |
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 3.7599% 7/20/30 (b)(c)(g) | 3,000,000 | 2,963,559 | |
Oportun Funding XIV, LLC Series 2021-A: | |||
Class A, 1.21% 3/8/28 (b) | 800,000 | 746,196 | |
Class B, 1.76% 3/8/28 (b) | 400,000 | 368,737 | |
Oportun Funding, LLC Series 2020-1 Class B, 3.45% 5/15/24 (b) | 362,555 | 362,186 | |
Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 3.8999% 4/20/34 (b)(c)(g) | 6,000,000 | 5,882,148 | |
Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, 3 month U.S. LIBOR + 1.000% 3.7099% 10/20/31 (b)(c)(g) | 12,750,000 | 12,516,063 | |
Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 4.1451% 2/14/34 (b)(c)(g) | 2,000,000 | 1,947,680 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 3.8399% 10/20/34 (b)(c)(g) | 5,651,000 | 5,528,571 | |
PennyMac Mortgage Investment Trust Series 2018-FT1 Class A, 1 month U.S. LIBOR + 2.350% 4.7937% 4/25/23 (b)(c)(g) | 300,000 | 293,040 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,059,625 | 5,168,066 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 4,674,285 | 4,206,225 | |
Class A2II, 4.008% 12/5/51 (b) | 4,177,530 | 3,467,275 | |
PMT Credit Risk Transfer Trust Series 2021-1R Class A, 1 month U.S. LIBOR + 2.900% 5.3437% 2/27/24 (b)(c)(g) | 3,232,243 | 3,158,906 | |
Progress Residential Trust: | |||
Series 2021-SFR11 Class E1, 3.378% 1/17/39 (b) | 4,000,000 | 3,326,831 | |
Series 2021-SFR3 Class F, 3.436% 5/17/26 (b) | 1,500,000 | 1,319,319 | |
Series 2021-SFR8 Class F, 3.181% 10/17/38 (b) | 4,000,000 | 3,457,787 | |
Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 3.7899% 4/20/34 (b)(c)(g) | 4,700,000 | 4,546,691 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 3.8299% 4/20/34 (b)(c)(g) | 7,250,000 | 7,092,552 | |
Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, 3 month U.S. LIBOR + 1.170% 3.5976% 7/10/34 (b)(c)(g) | 13,250,000 | 12,901,803 | |
RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 3.6679% 1/15/37 (b)(c)(g) | 7,731,000 | 7,486,971 | |
Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26 | 2,800,000 | 2,685,365 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 6,006,156 | 5,207,332 | |
Class B, 4.335% 3/15/40 (b) | 665,815 | 432,216 | |
Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 4.0299% 4/20/33 (b)(c)(g) | 12,000,000 | 11,824,752 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 7,651,689 | |
1.884% 7/15/50 (b) | 2,753,000 | 2,480,792 | |
2.328% 7/15/52 (b) | 2,105,000 | 1,835,939 | |
Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 2.7237% 6/25/36 (c)(g) | 2,403,831 | 1,663,763 | |
Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 3.9499% 1/20/34 (b)(c)(g) | 5,000,000 | 4,909,240 | |
SLM Student Loan Trust Series 2014-14 Class A7, 3 month U.S. LIBOR + 0.600% 3.383% 10/25/65 (b)(c)(g) | 4,000,000 | 3,878,469 | |
Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, 3 month U.S. LIBOR + 1.070% 3.853% 10/23/31 (b)(c)(g) | 10,250,000 | 10,030,906 | |
Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 2.7437% 1/25/37 (c)(g) | 7,309,000 | 6,987,555 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 1,491,250 | 1,285,026 | |
Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 4.032% 7/20/30 (b)(c)(g) | 1,217,000 | 1,205,974 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.6326% 4/23/35 (b)(c)(g) | 7,640,000 | 7,347,319 | |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 3.7003% 4/16/31 (b)(c)(g) | 2,730,000 | 2,687,491 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 3.572% 7/15/32 (b)(c)(g) | 768,000 | 752,170 | |
TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, 3 month U.S. LIBOR + 1.160% 3.8699% 4/20/34 (b)(c)(g) | 5,500,000 | 5,406,709 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 3.3037% 9/25/34 (c)(g) | 3,408 | 3,418 | |
TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 5.059% 6/25/24 (b)(c)(g) | 1,250,000 | 1,206,994 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 8,302,908 | 7,289,501 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 9,132,634 | 7,832,932 | |
Towd Point Mortgage Trust: | |||
Series 2019-1 Class A1, 3.6794% 3/25/58 (b)(c) | 1,369,581 | 1,320,231 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (b) | 3,114,711 | 3,065,378 | |
Series 2020-4 Class A1, 1.75% 10/25/60 (b) | 2,125,834 | 1,940,655 | |
Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 4.103% 4/25/34 (b)(c)(g) | 12,000,000 | 11,763,876 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (b) | 147,096 | 145,867 | |
Series 2021-2 Class A, 0.91% 6/20/31 (b) | 3,304,235 | 3,231,004 | |
Series 2021-3 Class A, 0.83% 7/20/31 (b) | 5,835,316 | 5,661,633 | |
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 6,140,483 | 5,904,480 | |
3.12% 3/20/32 (b) | 4,270,782 | 4,140,451 | |
Venture 43 CLO, Ltd. Series 2021-43A Class A1, 3 month U.S. LIBOR + 1.240% 3.752% 4/15/34 (b)(c)(g) | 15,200,000 | 14,716,610 | |
VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b) | 17,151,589 | 16,325,582 | |
Volt Xcv LLC Series 2021-NPL4 Class A1, 2.2396% 3/27/51 (b) | 2,165,820 | 2,063,415 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.9799% 7/20/32 (b)(c)(g) | 8,868,000 | 8,711,648 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 3.8976% 7/19/34 (b)(c)(g) | 15,930,000 | 15,518,098 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 3.8599% 10/20/34 (b)(c)(g) | 7,430,000 | 7,224,806 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 3.8903% 7/16/34 (b)(c)(g) | 3,924,000 | 3,815,125 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $1,118,873,286) | 1,072,246,786 | ||
Collateralized Mortgage Obligations - 0.7% | |||
Private Sponsor - 0.6% | |||
Ajax Mortgage Loan Trust: | |||
sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) | 1,706,152 | 1,504,838 | |
Series 2022-B Class A1, 3.5% 3/27/62 (b) | 13,611,150 | 12,961,949 | |
Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.440% 2.8837% 9/25/47 (g) | 1,922,944 | 1,763,725 | |
BCAP LLC Trust sequential payer Series 2010-RR4 Class 31A6, 6.1973% 1/26/37 (b)(c) | 3,406,634 | 2,779,963 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 5,107,832 | 4,815,092 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 2,780,130 | 2,666,650 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 7,986,568 | 7,442,707 | |
BVEBO sequential payer Series 2022-3 Class A, 3.242% 5/29/52 (b) | 12,343,781 | 12,241,912 | |
Cascade Funding Mortgage Trust: | |||
sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 4,636,601 | 4,538,821 | |
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 3,928,912 | 3,764,931 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 3,019,463 | 2,953,787 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 3,567,242 | 3,405,298 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 4,550,590 | 4,440,372 | |
Central Park Funding Trust floater Series 2021-2 Class PT, 1 month U.S. LIBOR + 3.000% 5.346% 10/27/22 (b)(c)(g) | 14,695,844 | 14,525,356 | |
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 8,217,789 | 7,987,863 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 1,965,349 | 1,936,575 | |
CIM Trust: | |||
sequential payer: | |||
Series 2021-R1 Class A2, 2.4% 8/25/56 (b) | 6,415,252 | 5,804,413 | |
Series 2021-R3 Class A1A, 1.951% 6/25/57 (b) | 8,244,904 | 7,502,153 | |
Series 2021-R4 Class A1A, 2% 5/1/61 (b) | 8,389,323 | 7,571,077 | |
Series 2022-R2 Class A1, 3.75% 12/25/61 (b)(c) | 2,562,422 | 2,446,095 | |
Series 2021-R5 Class A1A, 2% 8/25/61 (b)(c) | 7,274,479 | 6,387,180 | |
Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35 | 1,268,018 | 1,164,254 | |
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 3,927,474 | 3,627,493 | |
Connecticut Avenue Securities floater Series 2022-R03 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.250% 8.4332% 3/25/42 (b)(c)(g) | 130,000 | 133,756 | |
Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 4.4937% 1/25/40 (b)(c)(g) | 371,763 | 371,436 | |
Credit Suisse Mortgage Trust Series 2021-RP11 Class PT, 3.759% 10/25/61 (b)(c) | 8,478,629 | 7,121,321 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.819% 5/27/37 (b)(c)(g) | 206,260 | 202,190 | |
CSMC Trust: | |||
sequential payer: | |||
Series 2020-RPL2 Class A12, 3.4356% 2/25/60 (b)(c) | 635,804 | 609,632 | |
Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c) | 5,470,849 | 5,296,978 | |
Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 2,006,648 | 1,809,631 | |
Series 2022-RPL1 Class A1, 4.15% 4/25/61 (b)(c) | 7,988,862 | 7,535,399 | |
Series 2022-RPL3 Class A1, 3.6131% 3/25/61 (b) | 12,919,727 | 12,552,260 | |
Series 2022-RPL1 Class PT, 4.2723% 4/25/61 (b)(c) | 9,701,524 | 9,236,280 | |
CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35 | 2,005,235 | 1,732,014 | |
Eagle Re Ltd. floater Series 2021-1: | |||
Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.150% 4.3332% 10/25/33 (b)(c)(g) | 1,125,000 | 1,125,961 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.700% 4.8832% 10/25/33 (b)(c)(g) | 1,735,000 | 1,729,314 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 8,624,030 | 8,428,658 | |
GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.0789% 11/19/35 (c) | 1,701,848 | 1,411,626 | |
GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 2.8837% 8/25/46 (c)(g) | 18,153,965 | 4,894,979 | |
J.P. Morgan Mortgage Trust Series 2021-13 Class A3, 2.5% 4/25/52 (b) | 13,194,483 | 11,311,692 | |
Legacy Mortgage Asset Trust sequential payer: | |||
Series 2020-GS2 Class A1, 2.75% 3/25/60 (b)(c) | 13,303,459 | 12,685,910 | |
Series 2021-SL1 Class A, 1.991% 9/25/60 (b) | 970,099 | 951,997 | |
Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 2.6237% 2/25/36 (g) | 6,096,004 | 3,999,357 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,159,427 | 1,127,272 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 2,134,632 | 2,051,692 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 4,680,522 | 4,363,365 | |
NMLT Trust Series 2021-INV3 2.2769% 11/25/56 (b) | 6,280,207 | 5,997,651 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 4,594,874 | 4,263,739 | |
Preston Ridge Partners Mortgage Trust: | |||
Series 2021-1 Class A1, 2.115% 1/25/26 (b) | 7,910,038 | 7,527,290 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 2,031,925 | 1,870,207 | |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 2,638,192 | 2,379,629 | |
PRET LLC sequential payer Series 2022-RN2 Class A1, 5% 6/25/52 (b) | 9,735,287 | 9,230,566 | |
RALI Trust: | |||
Series 2006-QS4 Class A4, 6% 4/25/36 | 1,550,145 | 1,272,395 | |
Series 2007-QS3 Class A5, 6.25% 2/25/37 | 2,480,912 | 2,065,818 | |
Series 2007-QS8 Class A5, 6% 6/25/37 | 927,488 | 773,811 | |
Retiro Mortgage Securities floater Series 2021-1A Class A1, 2.000% x 3 month EURIBOR 2.238% 7/30/75 (b)(c)(g) | EUR | 1,147,744 | 1,140,276 |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 3,138,336 | 3,084,221 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 1,599,636 | 1,522,980 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(g) | 793 | 727 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 3.0837% 9/25/43 (c)(g) | 1,386,340 | 1,323,369 | |
WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 3.1837% 1/25/45 (g) | 1,260,641 | 1,230,516 | |
TOTAL PRIVATE SPONSOR | 268,598,419 | ||
U.S. Government Agency - 0.1% | |||
Fannie Mae: | |||
floater Series 2022-R04 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.250% 7.4332% 3/25/42 (b)(c)(g) | 240,000 | 238,700 | |
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 651,008 | 604,701 | |
Class GA, 1.75% 6/25/42 | 700,297 | 649,136 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 187,434 | 195,524 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 4.1013% 8/25/37 (c)(m)(n) | 614,059 | 79,193 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 339,323 | 356,976 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 558,525 | 577,449 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,293,582 | 1,350,296 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 181,704 | 183,581 | |
Series 2012-100 Class WI, 3% 9/25/27 (m) | 263,944 | 14,382 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.2063% 12/25/30 (c)(m)(n) | 41,071 | 633 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.1063% 6/25/41 (c)(m)(n) | 29,524 | 554 | |
Series 2013-133 Class IB, 3% 4/25/32 (m) | 101,416 | 3,600 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.6063% 1/25/44 (c)(m)(n) | 86,787 | 10,393 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 6,312,838 | 5,849,033 | |
Series 2013-51 Class GI, 3% 10/25/32 (m) | 454,775 | 30,063 | |
Series 2015-42 Class IL, 6% 6/25/45 (m) | 597,952 | 109,308 | |
Series 2015-70 Class JC, 3% 10/25/45 | 490,222 | 473,990 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (m) | 346,220 | 64,866 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2020-4960 Class PB, 1.5% 10/25/49 | 2,496,166 | 2,160,040 | |
Series 4135 Class AB, 1.75% 6/15/42 | 525,902 | 490,573 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 435,220 | 459,867 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 739,858 | 714,303 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 391,921 | 415,704 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 255,477 | 267,100 | |
Series 3237 Class C, 5.5% 11/15/36 | 338,317 | 348,322 | |
Series 3980 Class EP, 5% 1/15/42 | 1,778,251 | 1,836,675 | |
Series 4055 Class BI, 3.5% 5/15/31 (m) | 107,593 | 3,766 | |
Series 4149 Class IO, 3% 1/15/33 (m) | 242,242 | 20,908 | |
Series 4314 Class AI, 5% 3/15/34 (m) | 37,385 | 1,477 | |
Series 4427 Class LI, 3.5% 2/15/34 (m) | 288,452 | 21,893 | |
Series 4471 Class PA 4% 12/15/40 | 249,574 | 247,667 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 501,818 | 503,711 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 1,938,625 | 1,905,153 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2019-DNA4 Class B1, 1 month U.S. LIBOR + 2.700% 5.1437% 10/25/49 (b)(c)(g) | 9,700,000 | 9,415,149 | |
Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 5.1832% 12/25/50 (b)(c)(g) | 3,910,000 | 3,686,218 | |
Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.400% 5.5832% 8/25/33 (b)(c)(g) | 4,380,000 | 4,119,894 | |
Series 2021-HQA1: | |||
Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 5.1832% 8/25/33 (b)(c)(g) | 2,700,000 | 2,430,607 | |
Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.250% 4.4332% 8/25/33 (b)(c)(g) | 3,900,000 | 3,752,465 | |
Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, 1 month U.S. LIBOR + 2.300% 4.7437% 1/25/50 (b)(c)(g) | 6,600,000 | 6,180,123 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 2.1776% 12/20/60 (c)(g)(o) | 739,721 | 733,466 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.3476% 9/20/61 (c)(g)(o) | 2,882,496 | 2,867,483 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 2.3176% 8/20/62 (c)(g)(o) | 431,957 | 430,063 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.4476% 5/20/61 (c)(g)(o) | 4,832 | 4,813 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 2.3976% 8/20/63 (c)(g)(o) | 979,551 | 976,329 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 2.8681% 10/20/49 (c)(g) | 264,387 | 264,475 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 2.8181% 2/20/49 (c)(g) | 1,261,913 | 1,270,180 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.2637% 12/20/40 (c)(n) | 514,074 | 468,163 | |
Series 2016-69 Class WA, 3% 2/20/46 | 319,580 | 305,866 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 766,950 | 730,058 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 1,056,768 | 1,032,446 | |
Series 2010-170 Class B, 4% 12/20/40 | 235,996 | 230,666 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,178,330 | 3,039,470 | |
Series 2010-116 Class QB, 4% 9/16/40 | 1,770,665 | 1,758,359 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 3.5631% 2/16/40 (c)(m)(n) | 322,973 | 25,740 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 3.7319% 7/20/41 (c)(m)(n) | 78,052 | 8,362 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 899,340 | 871,885 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (o) | 6,650 | 6,357 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 3.2% 8/20/66 (c)(g)(o) | 1,888,198 | 1,876,058 | |
TOTAL U.S. GOVERNMENT AGENCY | 66,674,232 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $343,469,323) | 335,272,651 | ||
Commercial Mortgage Securities - 2.2% | |||
20 Times Square Trust 2018-20Ts Series 2018-20TS Class F, 3.2032% 5/15/35 (b)(c) | 2,310,559 | 2,201,142 | |
3650R Commercial Mortgage Trust sequential payer Series 2021-PF1 Class A4, 2.253% 11/15/54 | 4,200,000 | 3,589,633 | |
Arbor Multifamily Mortgage Securities Trust sequential payer Series 2021-MF2 Class A4, 2.2515% 6/15/54 (b) | 9,500,000 | 7,930,040 | |
Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 3.291% 4/15/35 (b)(c)(g) | 3,546,916 | 3,452,960 | |
BAMLL Commercial Mortgage Securities Trust: | |||
floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 3.458% 1/15/39 (b)(c)(g) | 4,172,000 | 4,070,920 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 3.858% 1/15/39 (b)(c)(g) | 789,000 | 765,699 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 4.458% 1/15/39 (b)(c)(g) | 562,000 | 541,928 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,065,600 | |
Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 4,623,267 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 998,252 | |
Class CNM, 3.8425% 11/5/32 (b)(c) | 461,000 | 392,953 | |
BANK: | |||
sequential payer: | |||
Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 3,956,004 | |
Class A5, 2.851% 10/17/52 | 838,000 | 758,254 | |
Series 2020-BN28 Class A3, 1.584% 3/15/63 | 9,000,000 | 7,370,599 | |
Series 2021-BN31 Class A3, 1.771% 2/15/54 | 2,000,000 | 1,645,754 | |
Series 2021-BN32 Class A4, 2.349% 4/15/54 | 20,000,000 | 17,269,202 | |
Series 2021-BN33 Class A4, 2.27% 5/15/64 | 9,000,000 | 7,707,368 | |
Series 2021-BN35 Class A5, 2.285% 6/15/64 | 2,200,000 | 1,860,385 | |
Series 2022-BNK42, Class A5, 4.493% 6/15/55 (c) | 3,300,000 | 3,330,058 | |
Series 2022-BNK43 Class A5, 4.399% 8/15/55 | 4,500,000 | 4,509,923 | |
Series 2020-BN25 Class XB, 0.5325% 1/15/63 (c)(m) | 5,200,000 | 136,622 | |
Series 2021-BN31 Class XB, 0.9773% 2/15/54 (c)(m) | 7,000,000 | 397,452 | |
Series 2021-BN33 Class XA, 1.1727% 5/15/64 (c)(m) | 8,976,967 | 564,967 | |
Series 2021-BN34 Class XB, 0.6266% 6/15/63 (c)(m) | 171,794,000 | 6,257,339 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 3.0437% 11/25/35 (b)(c)(g) | 16,633 | 15,223 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 3.0287% 1/25/36 (b)(c)(g) | 41,486 | 37,883 | |
Class M1, 1 month U.S. LIBOR + 0.670% 3.1187% 1/25/36 (b)(c)(g) | 13,391 | 12,147 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.400% 2.8487% 12/25/36 (b)(c)(g) | 87,167 | 80,106 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 2.7137% 3/25/37 (b)(c)(g) | 22,833 | 20,934 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 2.7137% 7/25/37 (b)(c)(g) | 67,927 | 60,167 | |
Class A2, 1 month U.S. LIBOR + 0.320% 2.7637% 7/25/37 (b)(c)(g) | 63,598 | 58,323 | |
Class M1, 1 month U.S. LIBOR + 0.370% 2.8137% 7/25/37 (b)(c)(g) | 21,647 | 20,252 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 2.7337% 7/25/37 (b)(c)(g) | 23,320 | 21,043 | |
Class M1, 1 month U.S. LIBOR + 0.310% 2.7537% 7/25/37 (b)(c)(g) | 12,358 | 11,783 | |
Class M2, 1 month U.S. LIBOR + 0.340% 2.7837% 7/25/37 (b)(c)(g) | 13,218 | 12,525 | |
Class M3, 1 month U.S. LIBOR + 0.370% 2.8137% 7/25/37 (b)(c)(g) | 21,171 | 18,741 | |
Class M4, 1 month U.S. LIBOR + 0.500% 2.9437% 7/25/37 (b)(c)(g) | 33,422 | 29,507 | |
Class M5, 1 month U.S. LIBOR + 0.600% 3.0437% 7/25/37 (b)(c)(g) | 15,025 | 18,203 | |
BBCMS Mortgage Trust: | |||
sequential payer: | |||
Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 3,605,104 | |
Series 2021-C9 Class A4, 2.021% 2/15/54 | 10,000,000 | 8,387,173 | |
Series 2022-C16 Class A5, 4.6% 6/15/55 | 4,400,000 | 4,455,704 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,665,865 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 933,155 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,601,205 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 7,629,000 | 6,930,863 | |
Series 2020-B18 Class A4, 1.672% 7/15/53 | 10,000,000 | 8,278,158 | |
Series 2020-B19: | |||
Class A3, 1.787% 9/15/53 | 5,800,000 | 5,185,575 | |
Class A4, 1.546% 9/15/53 | 12,500,000 | 10,447,704 | |
Series 2020-B22 Class A4, 1.685% 1/15/54 | 3,175,000 | 2,617,557 | |
Series 2021-B23 Class A4A1, 1.823% 2/15/54 | 2,000,000 | 1,653,882 | |
Series 2021-B24: | |||
Class A4, 2.2638% 3/15/54 | 17,600,000 | 15,037,475 | |
Class A5, 2.5843% 3/15/54 | 1,200,000 | 1,043,181 | |
Series 2021-B26 Class A4, 2.295% 6/15/54 | 8,800,000 | 7,582,049 | |
Series 2021-B28 Class A5, 2.2237% 8/15/54 | 640,000 | 536,615 | |
Series 2022-B36 Class A5, 4.4699% 7/15/55 | 6,000,000 | 6,005,107 | |
Series 2019-B12 Class XA, 1.1787% 8/15/52 (c)(m) | 38,882,982 | 1,755,718 | |
Series 2019-B14 Class XA, 0.9053% 12/15/62 (c)(m) | 22,746,458 | 788,620 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 4.441% 11/15/28 (b)(c)(g) | 7,501,000 | 7,420,847 | |
BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 3.641% 7/15/35 (b)(c)(g) | 10,931,821 | 10,604,753 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 3.141% 9/15/26 (b)(c)(g) | 8,921,000 | 8,481,056 | |
BMO Mortgage Trust sequential payer Series 2022-C1 Class A4, 3.119% 2/15/55 | 6,200,000 | 5,545,937 | |
BPR Trust floater Series 2022-OANA: | |||
Class A, CME Term SOFR 1 Month Index + 1.890% 4.2054% 4/15/37 (b)(c)(g) | 15,784,000 | 15,547,213 | |
Class B, CME Term SOFR 1 Month Index + 2.440% 4.7544% 4/15/37 (b)(c)(g) | 4,626,000 | 4,539,182 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2021-CIP Class E, 1 month U.S. LIBOR + 2.820% 5.211% 12/15/38 (b)(c)(g) | 10,350,000 | 9,703,123 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 3.0811% 10/15/36 (b)(c)(g) | 8,026,000 | 7,732,772 | |
Class B, 1 month U.S. LIBOR + 0.890% 3.2908% 10/15/36 (b)(c)(g) | 1,201,000 | 1,135,305 | |
Class C, 1 month U.S. LIBOR + 1.090% 3.4906% 10/15/36 (b)(c)(g) | 1,607,000 | 1,512,199 | |
Class D, 1 month U.S. LIBOR + 1.290% 3.6903% 10/15/36 (b)(c)(g) | 1,560,000 | 1,452,673 | |
Class E, 1 month U.S. LIBOR + 1.940% 4.3395% 10/15/36 (b)(c)(g) | 5,425,000 | 5,101,167 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 3.0433% 5/15/38 (b)(c)(g) | 5,200,000 | 5,021,121 | |
Series 2022-CSMO: | |||
Class A, CME Term SOFR 1 Month Index + 2.110% 4.4222% 6/15/27 (b)(c)(g) | 6,438,000 | 6,389,716 | |
Class B, CME Term SOFR 1 Month Index + 3.140% 5.4481% 6/15/27 (b)(c)(g) | 3,795,000 | 3,761,598 | |
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 3.3099% 2/15/39 (b)(c)(g) | 9,711,780 | 9,388,916 | |
floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 3.267% 11/15/32 (b)(c)(g) | 2,389,891 | 2,348,070 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 3.4796% 9/15/37 (b)(c)(g) | 531,769 | 529,166 | |
Class B, 1 month U.S. LIBOR + 1.320% 3.717% 9/15/37 (b)(c)(g) | 3,430,000 | 3,396,302 | |
Class D, 1 month U.S. LIBOR + 2.620% 5.017% 9/15/37 (b)(c)(g) | 1,952,300 | 1,709,879 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 3.691% 4/15/34 (b)(c)(g) | 4,464,000 | 4,285,442 | |
Class C, 1 month U.S. LIBOR + 1.600% 3.991% 4/15/34 (b)(c)(g) | 2,952,000 | 2,833,920 | |
Class D, 1 month U.S. LIBOR + 1.900% 4.291% 4/15/34 (b)(c)(g) | 3,099,000 | 2,951,799 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 3.471% 10/15/36 (b)(c)(g) | 3,409,350 | 3,349,689 | |
Class C, 1 month U.S. LIBOR + 1.250% 3.641% 10/15/36 (b)(c)(g) | 4,286,550 | 4,200,819 | |
Class D, 1 month U.S. LIBOR + 1.450% 3.841% 10/15/36 (b)(c)(g) | 6,070,700 | 5,934,104 | |
Class E, 1 month U.S. LIBOR + 1.800% 4.191% 10/15/36 (b)(c)(g) | 8,530,600 | 8,296,014 | |
Class G, 1 month U.S. LIBOR + 2.300% 4.691% 10/15/36 (b)(c)(g) | 15,725,000 | 15,148,457 | |
Class J, 1 month U.S. LIBOR + 2.650% 5.041% 10/15/36 (b)(c)(g) | 6,162,500 | 5,893,926 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 3.242% 11/15/38 (b)(c)(g) | 7,885,000 | 7,628,723 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 3.0269% 10/15/26 (b)(c)(g) | 7,377,000 | 7,063,488 | |
Series 2021-SOAR Class F, 4.742% 6/15/38 (b)(c) | 3,969,927 | 3,672,184 | |
Series 2022-IND: | |||
Class A, CME Term SOFR 1 Month Index + 1.490% 3.7877% 4/15/37 (b)(c)(g) | 7,812,000 | 7,677,102 | |
Class B, CME Term SOFR 1 Month Index + 1.940% 4.2367% 4/15/37 (b)(c)(g) | 3,983,000 | 3,860,543 | |
Class C, CME Term SOFR 1 Month Index + 2.290% 4.5867% 4/15/37 (b)(c)(g) | 899,000 | 871,900 | |
Class D, CME Term SOFR 1 Month Index + 2.830% 5.1357% 4/15/37 (b)(c)(g) | 752,000 | 724,223 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 3.091% 1/15/34 (b)(c)(g) | 3,562,000 | 3,455,138 | |
Series 2021-SOAR Class A, 3.062% 6/15/38 (b)(c) | 8,356,696 | 8,071,532 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 3.391% 4/15/34 (b)(c)(g) | 7,500,000 | 7,321,504 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 3.311% 10/15/36 (b)(c)(g) | 14,741,382 | 14,565,950 | |
BXMT, Ltd. floater Series 2020-FL3 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.400% 3.497% 11/15/37 (b)(g) | 20,100,000 | 19,820,564 | |
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class D, CME Term SOFR 1 Month Index + 3.180% 5.496% 3/15/35 (b)(c)(g) | 8,167,000 | 7,840,315 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 3.461% 12/15/37 (b)(c)(g) | 3,800,000 | 3,752,493 | |
Camb Commercial Mortgage Trust sequential payer Series 2021-CX2 Class A, 2.7% 11/10/46 (b) | 7,800,000 | 6,649,120 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,423,131 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 16,966,720 | 15,418,341 | |
Class A2, 1.99% 7/15/60 (b) | 6,706,008 | 5,748,993 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 8,632,323 | 7,627,920 | |
CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49 | 939,742 | 881,562 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 3.341% 11/15/36 (b)(c)(g) | 3,687,000 | 3,613,263 | |
Class B, 1 month U.S. LIBOR + 1.250% 3.641% 11/15/36 (b)(c)(g) | 1,400,000 | 1,368,500 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 3.511% 6/15/34 (b)(c)(g) | 13,951,649 | 13,709,753 | |
Class B, 1 month U.S. LIBOR + 1.500% 3.891% 6/15/34 (b)(c)(g) | 2,103,119 | 2,040,446 | |
Class C, 1 month U.S. LIBOR + 1.750% 4.141% 6/15/34 (b)(c)(g) | 2,376,058 | 2,282,898 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class C, 1 month U.S. LIBOR + 2.300% 4.692% 8/15/36 (b)(c)(g) | 321,333 | 305,245 | |
Class D, 1 month U.S. LIBOR + 3.050% 5.442% 8/15/36 (b)(c)(g) | 1,070,250 | 1,007,669 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 2,802,356 | 2,666,711 | |
Series 2013-GC17 Class A/S, 4.544% 11/10/46 | 2,300,000 | 2,274,692 | |
Series 2014-GC25 Class A/S, 4.017% 10/10/47 | 1,183,000 | 1,152,306 | |
Series 2015-GC29 Class XA, 1.157% 4/10/48 (c)(m) | 29,058,750 | 615,691 | |
Series 2015-GC33: | |||
Class AAB, 3.522% 9/10/58 | 620,659 | 611,887 | |
Class XA, 1.0285% 9/10/58 (c)(m) | 17,635,517 | 378,576 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,612,501 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,401,050 | |
Series 2016-P6 Class XA, 0.703% 12/10/49 (c)(m) | 12,659,783 | 245,450 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,679,409 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,585,846 | |
Series 2016-COR1 Class A3, 2.826% 10/10/49 | 7,520,414 | 7,031,007 | |
Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 1,000,000 | 991,719 | |
Series 2014-CR17 Class XA, 1.1127% 5/10/47 (c)(m) | 17,517,366 | 204,972 | |
Series 2014-CR20 Class XA, 1.1301% 11/10/47 (c)(m) | 15,859,986 | 243,647 | |
Series 2014-LC17 Class XA, 0.8174% 10/10/47 (c)(m) | 31,196,448 | 342,537 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 3,817,967 | |
Class XA, 0.9997% 12/10/47 (c)(m) | 9,689,148 | 144,521 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,428,408 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 954,103 | 925,800 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 807,315 | 792,387 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 3.371% 5/15/36 (b)(c)(g) | 6,693,000 | 6,616,802 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,205,313 | 2,050,846 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,053,395 | |
Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,476,201 | |
Class C, 4.9414% 4/15/36 (b)(c) | 1,033,000 | 983,400 | |
Class D, 4.9414% 4/15/36 (b)(c) | 2,066,000 | 1,927,609 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2021-C20 Class A2, 2.4862% 3/15/54 | 16,000,000 | 14,074,154 | |
Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,186,022 | 3,044,996 | |
CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49 | 2,000,000 | 1,932,357 | |
CSMC Trust sequential payer Series 2014-U.S.A. Class A2, 3.953% 9/15/37 (b) | 2,001,000 | 1,874,413 | |
DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b) | 13,500,000 | 11,437,563 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 3.093% 11/15/38 (b)(c)(g) | 10,980,000 | 10,589,828 | |
Class B, 1 month U.S. LIBOR + 1.120% 3.5122% 11/15/38 (b)(c)(g) | 975,000 | 937,169 | |
Class F, 1 month U.S. LIBOR + 2.660% 5.059% 11/15/38 (b)(c)(g) | 1,000,000 | 944,300 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 3.472% 7/15/38 (b)(c)(g) | 4,837,229 | 4,739,320 | |
Class B, 1 month U.S. LIBOR + 1.380% 3.772% 7/15/38 (b)(c)(g) | 2,092,124 | 2,034,593 | |
Class C, 1 month U.S. LIBOR + 1.700% 4.092% 7/15/38 (b)(c)(g) | 1,542,507 | 1,496,231 | |
Class D, 1 month U.S. LIBOR + 2.250% 4.642% 7/15/38 (b)(c)(g) | 3,116,818 | 3,017,387 | |
Freddie Mac: | |||
floater: | |||
Series 2021-F114 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.220% 1.7749% 5/25/31 (c)(g) | 21,659,615 | 21,295,538 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.180% 1.7349% 8/25/28 (c)(g) | 5,605,431 | 5,507,293 | |
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.220% 1.7749% 10/25/31 (c)(g) | 21,951,000 | 21,534,603 | |
sequential payer: | |||
Series 2021-K136 Class A2, 2.127% 11/25/31 | 500,000 | 435,584 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 4,800,000 | 4,219,469 | |
Series 2022-K142 Class A2, 2.4% 3/25/32 | 3,280,000 | 2,919,186 | |
Series 2022-K144 Class A2, 2.45% 4/25/32 | 14,100,000 | 12,594,313 | |
Series 2022-K145 Class A2, 2.58% 6/25/55 | 10,300,000 | 9,301,772 | |
Series 2022-K146 Class A2, 2.92% 6/25/32 | 3,400,000 | 3,162,679 | |
Series 2022-K147 Class A2, 3% 6/25/32 | 6,570,000 | 6,153,202 | |
Series 2019-K095 Class X1, 1.0839% 6/25/29 (c)(m) | 13,929,438 | 728,164 | |
Series 2020-K106 Class X1, 1.4771% 1/25/30 (c)(m) | 60,706,423 | 4,819,319 | |
Series 2021-K124 Class X1, 0.8113% 12/25/30 (c)(m) | 6,487,390 | 305,199 | |
Series 2021-K741 Class X1, 0.6565% 12/25/27 (c)(m) | 140,759,121 | 3,565,963 | |
Series 2022-K150 Class A2, 3.71% 11/25/32 | 2,600,000 | 2,573,178 | |
FREMF Mortgage Trust floater Series 2018-KSW4 Class B, 1 month U.S. LIBOR + 2.450% 4.8123% 10/25/28 (c) | 5,804,759 | 5,548,526 | |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities: | |||
Series 2020-193 Class AC, 1.25% 9/16/62 | 1,495,379 | 1,233,296 | |
Series 2021-14 Class AB, 1.34% 6/16/63 | 1,794,638 | 1,446,834 | |
Series 2021-2 Class AH, 1.5% 6/16/63 | 4,217,662 | 3,518,072 | |
Series 2021-21 Class AH, 1.4% 6/16/63 | 2,960,451 | 2,412,690 | |
Series 2021-31 Class B, 1.25% 1/16/61 | 3,095,691 | 2,471,861 | |
Greystone Commercial Capital Trust floater Series 2021-3 Class A, 1 month U.S. LIBOR + 2.230% 4.6097% 8/1/23 (b)(c)(g) | 7,000,000 | 6,881,222 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 4.091% 9/15/31 (b)(c)(g) | 9,773,249 | 9,815,298 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.49% 10/15/31 (b)(c)(g) | 4,013,000 | 3,974,549 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 3.341% 10/15/36 (b)(c)(g) | 4,720,000 | 4,492,108 | |
Class B, 1 month U.S. LIBOR + 1.150% 3.541% 10/15/36 (b)(c)(g) | 730,000 | 687,775 | |
Class C, 1 month U.S. LIBOR + 1.550% 3.941% 10/15/36 (b)(c)(g) | 601,000 | 565,407 | |
Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 3.9181% 11/21/35 (b)(c)(g) | 3,488,852 | 3,366,839 | |
sequential payer: | |||
Series 2014-GC18 Class A3, 3.801% 1/10/47 | 646,567 | 638,434 | |
Series 2015-GS1 Class A3, 3.734% 11/10/48 | 13,884,000 | 13,510,044 | |
Series 2020-GSA2 Class A4, 1.721% 12/12/53 | 4,940,000 | 4,053,133 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 11,476,873 | 11,435,983 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,883,924 | 1,827,501 | |
Series 2015-GC34 Class XA, 1.3729% 10/10/48 (c)(m) | 5,484,372 | 163,193 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 1,825,975 | |
Series 2021-RENT Class D, 1 month U.S. LIBOR + 1.850% 4.2181% 11/21/35 (b)(c)(g) | 2,152,696 | 2,060,759 | |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 4.7386% 8/15/37 (b)(c)(g) | 7,042,000 | 7,002,564 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 2.9039% 4/15/37 (b)(c)(g) | 4,800,000 | 4,559,981 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2014-C21 Class A4, 3.4927% 8/15/47 | 1,578,825 | 1,550,051 | |
Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) | 1,611,241 | 1,548,176 | |
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,073,256 | |
Series 2014-C19 Class XA, 0.7866% 4/15/47 (c)(m) | 2,664,709 | 22,767 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,319,082 | 1,282,446 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 750,000 | 746,705 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 3.391% 9/15/29 (b)(c)(g) | 5,421,952 | 5,346,212 | |
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 1,800,000 | 1,779,503 | |
Series 2013-C10 Class A/S, 3.3715% 12/15/47 | 1,600,000 | 1,585,404 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 560,000 | 554,569 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,665,764 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 902,780 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,387,262 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,873,678 | |
Class XAFX, 1.2948% 7/5/33 (b)(c)(m) | 10,000,000 | 66,464 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 5,146,749 | |
Series 2021-MHC Class XCP, 1.4212% 4/15/38 (b)(c)(m) | 164,060,500 | 1,433,315 | |
Life Financial Services Trust floater Series 2022-BMR2: | |||
Class A1, CME Term SOFR 1 Month Index + 1.290% 3.6027% 5/15/39 (b)(c)(g) | 11,620,000 | 11,401,529 | |
Class B, CME Term SOFR 1 Month Index + 1.790% 4.1013% 5/15/39 (b)(c)(g) | 6,596,000 | 6,453,790 | |
Class C, CME Term SOFR 1 Month Index + 2.090% 4.4005% 5/15/39 (b)(c)(g) | 3,893,000 | 3,776,198 | |
Class D, CME Term SOFR 1 Month Index + 2.540% 4.8493% 5/15/39 (b)(c)(g) | 3,460,000 | 3,330,247 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 3.091% 3/15/38 (b)(c)(g) | 9,466,986 | 9,164,521 | |
Class B, 1 month U.S. LIBOR + 0.880% 3.271% 3/15/38 (b)(c)(g) | 1,643,526 | 1,582,879 | |
Class C, 1 month U.S. LIBOR + 1.100% 3.491% 3/15/38 (b)(c)(g) | 1,034,085 | 995,307 | |
MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 1.100% 3.491% 11/15/36 (b)(c)(g) | 6,000,000 | 5,906,393 | |
MHC Commercial Mortgage Trust: | |||
floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.100% 4.492% 4/15/38 (b)(c)(g) | 5,425,000 | 5,154,282 | |
floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 3.192% 4/15/38 (b)(c)(g) | 10,550,692 | 10,246,815 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,546,097 | 3,372,703 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 3,302,603 | 3,151,468 | |
Series 2016-C29 Class ASB, 3.14% 5/15/49 | 387,518 | 378,648 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 2,711,298 | |
Class XA, 1.1955% 10/15/48 (c)(m) | 9,569,423 | 218,215 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,095,844 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 4,836,809 | 4,660,787 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 3.241% 8/15/33 (b)(c)(g) | 5,783,749 | 5,723,294 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 3.341% 12/15/36 (b)(c)(g) | 5,200,000 | 5,054,152 | |
sequential payer: | |||
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 12,628,259 | |
Series 2021-L6 Class A3, 2.196% 6/15/54 | 7,000,000 | 5,828,311 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 2,869,119 | 2,755,129 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 1,966,999 | 1,872,690 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,176,108 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(c) | 1,558,000 | 1,435,538 | |
Class C, 3.283% 11/10/36 (b)(c) | 1,495,000 | 1,349,108 | |
Class D, 3.283% 11/10/36 (b)(c) | 2,340,000 | 2,068,371 | |
Series 2021-L6 Class XA, 1.3474% 6/15/54 (c)(m) | 12,565,212 | 856,999 | |
MRCD Mortgage Trust Series 2019-PARK Class J, 4.25% 12/15/36 (b) | 7,104,000 | 6,195,452 | |
MTN Commercial Mortgage Trust floater Series 2022-LPFL Class F, CME Term SOFR 1 Month Index + 4.280% 6.5965% 3/15/39 (b)(c)(g) | 7,000,000 | 6,713,925 | |
ONE Mortgage Trust floater Series 2021-PARK Class E, 1 month U.S. LIBOR + 1.750% 4.141% 3/15/36 (b)(c)(g) | 5,759,000 | 5,326,024 | |
Prima Capital Ltd. floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 4.1681% 12/15/37 (b)(c)(g) | 2,053,000 | 2,019,578 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 3.192% 4/15/36 (b)(c)(g) | 1,900,000 | 1,846,896 | |
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: | |||
Class A1, 3.872% 1/5/43 (b)(c) | 740,000 | 581,409 | |
Class A2A, 3.659% 1/5/43 (b)(c) | 9,930,000 | 7,865,844 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME Term SOFR 1 Month Index + 2.000% 4.3074% 2/15/39 (b)(c)(g) | 1,890,000 | 1,809,294 | |
Class C, CME Term SOFR 1 Month Index + 2.650% 4.9574% 2/15/39 (b)(c)(g) | 983,000 | 940,108 | |
SREIT Trust floater: | |||
Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 2.9676% 7/15/36 (b)(c)(g) | 3,180,000 | 3,057,688 | |
Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 3.091% 10/15/38 (b)(c)(g) | 5,800,000 | 5,567,998 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 3.1218% 11/15/38 (b)(c)(g) | 9,194,000 | 8,859,940 | |
Class B, 1 month U.S. LIBOR + 1.070% 3.4708% 11/15/38 (b)(c)(g) | 4,235,000 | 4,044,420 | |
Class C, 1 month U.S. LIBOR + 1.320% 3.72% 11/15/38 (b)(c)(g) | 2,630,000 | 2,505,073 | |
Class D, 1 month U.S. LIBOR + 1.570% 3.9692% 11/15/38 (b)(c)(g) | 1,728,000 | 1,637,280 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2018-C12: | |||
Class A2, 4.1519% 8/15/51 | 7,649,811 | 7,568,377 | |
Class A5, 4.2962% 8/15/51 | 3,000,000 | 2,965,590 | |
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,179,199 | |
Series 2017-C7 Class XA, 1.1575% 12/15/50 (c)(m) | 16,846,757 | 626,674 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,069,476 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 5,860,733 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,258,654 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 3.1904% 4/10/46 (b)(c)(g) | 4,379,586 | 4,371,233 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3,760,000 | 3,072,442 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 300,000 | 241,984 | |
Class X, 0.5162% 10/10/42 (b)(c)(m) | 8,700,000 | 247,850 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 3.591% 5/15/31 (b)(c)(g) | 4,470,000 | 4,260,473 | |
sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 792,321 | 779,908 | |
Series 2016-C34 Class A4, 3.096% 6/15/49 | 6,124,000 | 5,800,664 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 2,962,969 | 2,779,101 | |
Series 2021-C59 Class A4, 2.343% 4/15/54 | 5,000,000 | 4,250,549 | |
Series 2021-C61 Class A3, 2.406% 11/15/54 | 7,300,000 | 6,189,445 | |
Series 2015-C31 Class XA, 1.1096% 11/15/48(c)(m) | 6,399,032 | 154,698 | |
Series 2017-C42 Class XA, 1.0144% 12/15/50 (c)(m) | 35,107,731 | 1,289,079 | |
Series 2018-C46 Class XA, 1.1007% 8/15/51 (c)(m) | 15,003,940 | 477,590 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,138,438 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 188,361 | 188,059 | |
Series 2014-C24 Class XA, 0.9882% 11/15/47 (c)(m) | 5,996,964 | 85,388 | |
Series 2014-LC14 Class XA, 1.4192% 3/15/47 (c)(m) | 7,479,120 | 92,648 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,147,370,710) | 1,078,159,852 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,265,000 | 3,994,677�� | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 205,000 | 261,684 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 53,543 | |
Dallas Fort Worth Int'l. Arpt. Rev. Series 2022 A, 4.087% 11/1/51 | 1,010,000 | 932,165 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 83,310 | |
Illinois Gen. Oblig.: | |||
Series 2003: | $ | $ | |
4.95% 6/1/23 | 2,089,091 | 2,098,925 | |
5.1% 6/1/33 | 22,850,000 | 22,740,699 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,072,932 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,671,524 | |
7.35% 7/1/35 | 4,322,500 | 4,743,572 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 270,272 | |
Los Angeles Dept. Arpt. Rev. Series C: | |||
2.063% 5/15/34 | 500,000 | 384,095 | |
2.163% 5/15/35 | 500,000 | 380,197 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 217,938 | |
Los Angeles Unified School District: | |||
Series 2010 RY, 6.758% 7/1/34 | 570,000 | 665,240 | |
Series KRY, 5.75% 7/1/34 | 1,535,000 | 1,673,354 | |
Louisiana Gas & Fuel Tax Rev. Series 2022 A, 2.952% 5/1/41 | 5,270,000 | 4,267,969 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 168,266 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 457,680 | |
Michigan State Univ. Revs. Series 2022 A, 4.165% 8/15/22 | 2,810,000 | 2,297,824 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 9,315,000 | 10,321,303 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,845,000 | 2,408,190 | |
Series 2010 A, 7.102% 1/1/41 | 855,000 | 1,080,353 | |
Series 2021 B: | |||
1.963% 1/1/32 | 1,000,000 | 805,763 | |
2.113% 1/1/33 | 1,050,000 | 841,152 | |
New York City Gen. Oblig. Series A3, 2.8% 8/1/30 | 3,250,000 | 2,912,741 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2010 C2, 5.767% 8/1/36 | 860,000 | 931,675 | |
Series 2021 E3, 1.97% 2/1/33 | 2,015,000 | 1,585,337 | |
Series A3, 3.88% 8/1/31 | 1,170,000 | 1,113,983 | |
Series A5, 2.69% 5/1/33 | 2,015,000 | 1,699,193 | |
Series B2, 3.14% 8/1/28 | 2,735,000 | 2,586,254 | |
New York State Dorm. Auth.: | |||
Series 2019 F, 3.11% 2/15/39 | 3,250,000 | 2,803,183 | |
Series 2021 C, 2.202% 3/15/34 | 945,000 | 776,420 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 140,000 | 151,467 | |
Series 2011 A, 4.8% 6/1/11 | 1,503,000 | 1,401,679 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 515,000 | 497,802 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 787,798 | |
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49 | 555,000 | 467,552 | |
Univ. of California Revs. Series 2015 J, 4.131% 5/15/45 | 1,750,000 | 1,624,468 | |
Univ. of Michigan Rev.: | |||
Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 818,323 | |
Series 2022 A: | |||
3.504% 4/1/52 | 3,080,000 | 2,659,159 | |
4.454% 4/1/22 | 4,790,000 | 4,287,088 | |
Series 2022 B, 3.504% 4/1/52 | 1,080,000 | 932,432 | |
Univ. of Minnesota Gen. Oblig. Series 2022, 4.048% 4/1/52 | 3,060,000 | 2,898,591 | |
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51 | 1,520,000 | 1,078,881 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $109,981,168) | 99,906,653 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Arab Republic of Egypt: | |||
5.25% 10/6/25 (Reg. S) | $200,000 | $169,500 | |
7.6003% 3/1/29 (b) | 632,000 | 496,120 | |
Brazil Minas SPE 5.333% 2/15/28 (Reg. S) | 2,388,000 | 2,330,987 | |
Brazilian Federative Republic: | |||
2.875% 6/6/25 | 1,200,000 | 1,147,200 | |
3.875% 6/12/30 | 990,000 | 862,104 | |
4.625% 1/13/28 | 200,000 | 191,475 | |
CBB International Sukuk Co. 7 SPC 6.875% 10/5/25 (Reg. S) | 700,000 | 734,038 | |
Chilean Republic: | |||
2.45% 1/31/31 | 500,000 | 421,344 | |
3.24% 2/6/28 | 1,450,000 | 1,348,772 | |
Colombian Republic: | |||
3% 1/30/30 | 800,000 | 619,650 | |
4.5% 1/28/26 | 1,600,000 | 1,510,300 | |
10.375% 1/28/33 | 1,350,000 | 1,589,034 | |
Dominican Republic: | |||
4.5% 1/30/30 (b) | 2,000,000 | 1,676,000 | |
5.5% 2/22/29 | 161,000 | 146,490 | |
5.5% 2/22/29 (b) | 2,505,000 | 2,279,237 | |
5.95% 1/25/27 (b) | 1,100,000 | 1,073,394 | |
6% 7/19/28 (b) | 1,250,000 | 1,192,813 | |
Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S) | 1,200,000 | 1,115,475 | |
German Federal Republic: | |||
0% 8/15/31 | EUR | 6,525,000 | 5,760,583 |
1.25% 8/15/48 (i) | EUR | 3,035,000 | 2,818,258 |
Guatemalan Republic 3.7% 10/7/33 (Reg. S) | 1,167,000 | 941,113 | |
Hungarian Republic: | |||
1.75% 6/5/35 (Reg. S) | EUR | 1,370,000 | 978,634 |
2.125% 9/22/31 (b) | 1,400,000 | 1,019,638 | |
Indonesian Republic: | |||
1.1% 3/12/33 | EUR | 3,500,000 | 2,592,488 |
2.3% 6/23/25 (b) | 200,000 | 191,772 | |
2.8% 6/23/30 (b) | 1,500,000 | 1,347,938 | |
2.8% 6/23/30 (Reg. S) | 400,000 | 359,450 | |
2.85% 2/14/30 | 400,000 | 365,700 | |
3.4% 9/18/29 | 420,000 | 399,210 | |
3.5% 1/11/28 | 4,450,000 | 4,324,288 | |
3.75% 6/14/28 (Reg. S) | EUR | 2,000,000 | 1,998,343 |
Israeli State: | |||
3.875% 7/3/50 | 1,750,000 | 1,581,563 | |
4.5% 1/30/43 | 200,000 | 200,916 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,608,252 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/26/26 (Reg. S) | 1,050,000 | 1,032,938 | |
3.25% 11/17/51 (b) | 7,910,000 | 6,031,375 | |
3.625% 3/4/28 (Reg. S) | 1,000,000 | 992,500 | |
Panamanian Republic: | |||
2.252% 9/29/32 | 480,000 | 371,940 | |
3.16% 1/23/30 | 3,020,000 | 2,651,560 | |
3.298% 1/19/33 | 8,600,000 | 7,288,500 | |
4.3% 4/29/53 | 615,000 | 469,245 | |
4.5% 4/16/50 | 400,000 | 314,950 | |
4.5% 1/19/63 | 5,665,000 | 4,277,075 | |
Peruvian Republic: | |||
2.783% 1/23/31 | 772,000 | 659,481 | |
2.844% 6/20/30 | 1,630,000 | 1,412,803 | |
4.125% 8/25/27 | 400,000 | 391,700 | |
Philippine Republic: | |||
1.648% 6/10/31 | 400,000 | 331,044 | |
2.457% 5/5/30 | 800,000 | 716,088 | |
Quebec Province yankee 7.125% 2/9/24 | 645,000 | 674,109 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (b) | 1,100,000 | 865,769 | |
4.95% 4/28/31 (b) | 500,000 | 480,719 | |
Republic of Serbia: | |||
1.5% 6/26/29 (Reg. S) | EUR | 2,722,000 | 1,961,506 |
1.65% 3/3/33 (b) | EUR | 1,200,000 | 734,116 |
3.125% 5/15/27 (Reg. S) | EUR | 4,030,000 | 3,498,143 |
Romanian Republic: | |||
3% 2/14/31 (Reg. S) | 1,164,000 | 921,597 | |
3.875% 10/29/35 (b) | EUR | 438,000 | 337,912 |
South African Republic: | |||
4.85% 9/30/29 | 1,240,000 | 1,096,083 | |
5.875% 4/20/32 | 700,000 | 619,500 | |
State of Qatar: | |||
3.75% 4/16/30 (Reg. S) | 400,000 | 400,000 | |
4.5% 4/23/28 (Reg. S) | 1,400,000 | 1,456,000 | |
5.103% 4/23/48 (b) | 2,200,000 | 2,351,250 | |
Sultanate of Oman 5.625% 1/17/28 (Reg. S) | 1,025,000 | 1,005,781 | |
Ukraine Government: | |||
4.375% 1/27/32 (b) | EUR | 1,365,000 | 236,628 |
6.75% 6/20/28 (Reg. S) | EUR | 1,450,000 | 269,578 |
7.75% 9/1/24 (b) | 2,800,000 | 800,275 | |
8.994% 2/1/26 (Reg. S) | 1,800,000 | 378,000 | |
United Mexican States: | |||
2.659% 5/24/31 | 4,688,000 | 3,879,320 | |
3.5% 2/12/34 | 1,420,000 | 1,182,860 | |
3.75% 1/11/28 | 2,170,000 | 2,086,455 | |
4.15% 3/28/27 | 275,000 | 271,975 | |
4.28% 8/14/41 | 400,000 | 322,075 | |
4.5% 4/22/29 | 200,000 | 195,400 | |
4.75% 3/8/44 | 2,366,000 | 2,013,022 | |
6.05% 1/11/40 | 400,000 | 400,450 | |
Uruguay Republic: | |||
4.375% 1/23/31 | 910,000 | 927,802 | |
5.1% 6/18/50 | 1,385,000 | 1,406,035 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $135,052,023) | 105,105,638 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
COMMUNICATION SERVICES - 0.0% | |||
Wireless Telecommunication Services - 0.0% | |||
Intelsat Emergence SA (e) | 75,636 | 3,417,234 | |
Intelsat Jackson Holdings SA: | |||
Series A rights (e)(p) | 7,920 | 68,112 | |
Series B rights (e)(p) | 7,920 | 251,222 | |
TOTAL COMMON STOCKS | |||
(Cost $2,950,560) | 3,736,568 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 0.2% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Level 3 Financing, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 4.2739% 3/1/27 (c)(g)(q) | 1,549,912 | 1,477,670 | |
Lumen Technologies, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.7739% 3/15/27 (c)(g)(q) | 3,200,758 | 3,008,712 | |
Zayo Group Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 6.7053% 3/9/27 (c)(g)(q) | 1,041,356 | 976,459 | |
5,462,841 | |||
Media - 0.0% | |||
CSC Holdings LLC Tranche B 5LN, term loan 1 month U.S. LIBOR + 2.500% 4.891% 4/15/27 (c)(g)(q) | 789,873 | 760,419 | |
Diamond Sports Group LLC 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 5.6374% 8/24/26 (c)(g)(q) | 493,712 | 89,574 | |
DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 7.5239% 8/2/27 (c)(g)(q) | 466,250 | 445,152 | |
iHeartCommunications, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.000% 5.3723% 5/1/26 (c)(g)(q) | 538,996 | 520,228 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.641% 7/17/25 (c)(g)(q) | 589,119 | 569,608 | |
Virgin Media Bristol LLC Tranche N, term loan 1 month U.S. LIBOR + 2.500% 4.891% 1/31/28 (c)(g)(q) | 2,000,000 | 1,952,500 | |
4,337,481 | |||
Wireless Telecommunication Services - 0.0% | |||
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.96% 5/25/24 (c)(g)(q) | 890,277 | 817,390 | |
TOTAL COMMUNICATION SERVICES | 10,617,712 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.3681% 8/12/28 (c)(g)(q) | 840,100 | 830,648 | |
AI Aqua Merger Sub, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 4.964% 7/30/28 (c)(g)(q) | 314,901 | 302,437 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 4.964% 7/30/28 (c)(g)(q) | 71,568 | 68,736 | |
Pre-Paid Legal Services, Inc. 1LN, term loan 1 month U.S. LIBOR + 3.750% 12/15/28 (g)(q)(r) | 416,056 | 404,356 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 5.6107% 3/4/28 (c)(g)(q) | 977,997 | 916,872 | |
2,523,049 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2739% 12/22/24 (c)(g)(q) | 912,442 | 899,586 | |
Fertitta Entertainment LLC NV Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 6.4553% 1/27/29 (c)(g)(q) | 615,654 | 590,720 | |
J&J Ventures Gaming LLC 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.2504% 4/26/28 (c)(g)(q) | 136,549 | 130,063 | |
Penn Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 5.3053% 5/3/29 (c)(g)(q) | 213,360 | 208,907 | |
Scientific Games Corp. 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 5.4074% 4/7/29 (c)(g)(q) | 429,146 | 421,636 | |
2,250,912 | |||
Specialty Retail - 0.0% | |||
Michaels Companies, Inc. 1LN, term loan 1 month U.S. LIBOR + 4.250% 6.5004% 4/15/28 (c)(g)(q) | 1,732,500 | 1,430,941 | |
TOTAL CONSUMER DISCRETIONARY | 6,204,902 | ||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Bengal Debt Merger Sub LLC 1LN, term loan CME TERM SOFR 3 MONTH INDEX + 3.250% 5.4051% 1/24/29 (c)(g)(q) | 3,091,539 | 2,959,035 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Buckeye Partners LP 1LN, term loan 1 month U.S. LIBOR + 2.250% 11/1/26 (g)(q)(r) | 246,250 | 242,108 | |
FINANCIALS - 0.0% | |||
Capital Markets - 0.0% | |||
Deerfield Dakota Holding LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 6.2053% 4/9/27 (c)(g)(q) | 416,952 | 405,748 | |
Diversified Financial Services - 0.0% | |||
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.1181% 1/15/25 (c)(g)(q) | 725,000 | 712,914 | |
Setanta Aircraft Leasing DAC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/5/28 (g)(q)(r) | 485,000 | 475,906 | |
TransUnion LLC Tranche B6 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.7739% 12/1/28 (c)(g)(q) | 2,007,910 | 1,968,113 | |
3,156,933 | |||
Insurance - 0.0% | |||
Acrisure LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.0239% 2/13/27 (c)(g)(q) | 1,243,639 | 1,188,968 | |
AmWINS Group, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.7739% 2/19/28 (c)(g)(q) | 2,462,514 | 2,401,518 | |
Asurion LLC Tranche B8 1LN, term loan 1 month U.S. LIBOR + 3.250% 5.7739% 12/23/26 (c)(g)(q) | 597,498 | 546,286 | |
HUB International Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5.98% 4/25/25 (c)(g)(q) | 453,686 | 446,268 | |
4,583,040 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Blackstone Mortgage Trust, Inc. Tranche B, term loan 1 month U.S. LIBOR + 2.250% 2.6536% 4/23/26 (c)(g)(q) | 493,655 | 476,994 | |
TOTAL FINANCIALS | 8,622,715 | ||
HEALTH CARE - 0.1% | |||
Health Care Equipment & Supplies - 0.0% | |||
Bausch + Lomb Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 5/10/27 (g)(q)(r) | 156,601 | 146,814 | |
Mozart Borrower LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5.7739% 10/23/28 (c)(g)(q) | 3,047,363 | 2,902,064 | |
3,048,878 | |||
Health Care Providers & Services - 0.0% | |||
Gainwell Acquisition Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.2504% 10/1/27 (c)(g)(q) | 746,212 | 728,027 | |
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 4.3125% 3/15/28 (c)(g)(q) | 2,022,380 | 1,968,200 | |
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.5625% 7/3/28 (c)(g)(q) | 315,957 | 310,665 | |
Petvet Care Centers LLC Tranche B3-DD 1LN, term loan 1 month U.S. LIBOR + 4.000% 2/15/25 (g)(q)(r) | 139,940 | 135,276 | |
Phoenix Newco, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5.7739% 11/15/28 (c)(g)(q) | 997,500 | 970,069 | |
4,112,237 | |||
Health Care Technology - 0.0% | |||
Athenahealth Group, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 5.7998% 2/15/29 (c)(g)(q) | 1,345,905 | 1,285,340 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (g)(q)(s) | 228,120 | 217,854 | |
1,503,194 | |||
Life Sciences Tools & Services - 0.0% | |||
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.5625% 7/3/28 (c)(g)(q) | 78,721 | 77,402 | |
Pharmaceuticals - 0.1% | |||
Elanco Animal Health, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 1.750% 4.1231% 8/1/27 (c)(g)(q) | 2,901,192 | 2,797,387 | |
Grifols, S.A. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.5239% 11/15/27 (c)(g)(q) | 1,636,083 | 1,579,737 | |
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.0239% 5/5/28 (c)(g)(q) | 1,232,550 | 1,207,455 | |
Organon & Co. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 4.625% 6/2/28 (c)(g)(q) | 944,510 | 932,704 | |
Sunshine Luxembourg VII SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 10/2/26 (g)(q)(r) | 453,644 | 436,351 | |
6,953,634 | |||
TOTAL HEALTH CARE | 15,695,345 | ||
INDUSTRIALS - 0.0% | |||
Aerospace & Defense - 0.0% | |||
TransDigm, Inc. Tranche F 1LN, term loan 1 month U.S. LIBOR + 2.250% 4.6223% 12/9/25 (c)(g)(q) | 189,100 | 183,924 | |
Airlines - 0.0% | |||
United Airlines, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.533% 4/21/28 (c)(g)(q) | 1,597,234 | 1,550,211 | |
Commercial Services & Supplies - 0.0% | |||
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (c)(g)(q) | 1,157,018 | 942,044 | |
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.3723% 1/23/27 (c)(g)(q) | 277,018 | 268,707 | |
Prime Security Services Borrower LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.750% 5.1073% 9/23/26 (c)(g)(q) | 441,723 | 430,888 | |
Trugreen LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 10/30/27 (g)(q)(r) | 227,596 | 217,923 | |
1,859,562 | |||
Professional Services - 0.0% | |||
Element Materials Technology Group: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 6/24/29 (g)(q)(r) | 193,957 | 190,321 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 6/24/29 (g)(q)(r) | 89,519 | 87,840 | |
278,161 | |||
Road & Rail - 0.0% | |||
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.2504% 12/30/26 (c)(g)(q) | 976,545 | 954,348 | |
TOTAL INDUSTRIALS | 4,826,206 | ||
INFORMATION TECHNOLOGY - 0.1% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7739% 4/4/26 (c)(g)(q) | 1,578,196 | 1,510,633 | |
Electronic Equipment & Components - 0.0% | |||
II-VI, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1231% 7/1/29 (c)(g)(q) | 160,509 | 156,830 | |
Ingram Micro, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 7/2/28 (g)(q)(r) | 322,112 | 309,228 | |
466,058 | |||
IT Services - 0.0% | |||
Dti Holdco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% % 4/26/29 (c)(q) | 95,603 | 90,977 | |
Peraton Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.2739% 2/1/28 (c)(g)(q) | 1,495,043 | 1,450,192 | |
1,541,169 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 5.57% 7/6/29 (c)(g)(q) | 500,000 | 498,395 | |
Software - 0.1% | |||
Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 6.6095% 7/6/29 (c)(g)(q) | 525,591 | 511,647 | |
Change Healthcare Holdings LLC Tranche B, term loan 1 month U.S. LIBOR + 2.500% 4.2859% 3/1/24 (c)(g)(q) | 2,826,985 | 2,806,970 | |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 6.1574% 3/1/29 (c)(g)(q) | 2,850,000 | 2,696,813 | |
NortonLifeLock, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 1/28/29 (g)(q)(r) | 2,000,000 | 1,937,500 | |
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4/26/24 (g)(q)(r) | 925,000 | 900,145 | |
Proofpoint, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 6.3196% 8/31/28 (c)(g)(q) | 107,472 | 103,254 | |
Safe Fleet Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 2/23/29 (g)(q)(r) | 124,303 | 121,157 | |
Sophia LP Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 5.1934% 10/7/27 (c)(g)(q) | 265,632 | 256,170 | |
9,333,656 | |||
TOTAL INFORMATION TECHNOLOGY | 13,349,911 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Starfruit U.S. Holdco LLC Tranche B, term loan 1 month U.S. LIBOR + 3.000% 5.2504% 10/1/25 (c)(g)(q) | 2,016,263 | 1,962,328 | |
Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (g)(q)(r) | 540,248 | 470,016 | |
2,432,344 | |||
Containers & Packaging - 0.0% | |||
Berry Global, Inc. Tranche Z 1LN, term loan 1 month U.S. LIBOR + 1.750% 4.1776% 7/1/26 (c)(g)(q) | 536,162 | 523,514 | |
TOTAL MATERIALS | 2,955,858 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 6.1905% 8/1/25 (c)(g)(q) | 100,000 | 98,300 | |
Vistra Operations Co. LLC Tranche B 3LN, term loan 1 month U.S. LIBOR + 1.750% 4.12% 12/31/25 (c)(g)(q) | 491,692 | 481,322 | |
579,622 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Calpine Corp. Tranche B9 1LN, term loan 1 month U.S. LIBOR + 2.000% 4/5/26 (g)(q)(r) | 3,200,508 | 3,123,343 | |
TOTAL UTILITIES | 3,702,965 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $71,371,673) | 69,176,757 | ||
Bank Notes - 0.0% | |||
Discover Bank: | |||
3.45% 7/27/26 | $435,000 | $411,935 | |
4.65% 9/13/28 | 500,000 | 479,999 | |
4.682% 8/9/28 (c) | 3,503,000 | 3,389,042 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 2,818,640 | |
Truist Bank 2.75% 5/1/23 | 645,000 | 641,555 | |
TOTAL BANK NOTES | |||
(Cost $7,431,448) | 7,741,171 | ||
Shares | Value | ||
Fixed-Income Funds - 68.2% | |||
Bank Loan Funds - 0.3% | |||
T. Rowe Price Institutional Floating Rate Fund - F Class | 18,080,806 | $168,693,919 | |
High Yield Fixed-Income Funds - 1.0% | |||
T. Rowe Price Fund | 15,895,115 | 134,313,721 | |
TCW Emerging Markets Income Fund Class N | 32,601,727 | 259,835,766 | |
Virtus Newfleet Low Duration I | 9,178,058 | 64,980,652 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 459,130,139 | ||
Intermediate Government Funds - 3.1% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (t) | 166,603,924 | 1,494,437,195 | |
Intermediate-Term Bond Funds - 60.3% | |||
American Funds The Bond Fund of America Class F2 | 90,599,194 | 1,067,258,502 | |
Baird Aggregate Bond Fund Class Institutional | 94,439,205 | 937,781,302 | |
Baird Core Plus Bond Fund - Institutional Class | 89,794,301 | 914,105,979 | |
Columbia Mortgage Opportunities Fund Class A | 20,916,234 | 191,383,543 | |
DoubleLine Total Return Bond Fund Class N | 199,925,417 | 1,847,310,850 | |
Fidelity SAI Total Bond Fund (t) | 593,752,605 | 5,450,648,918 | |
Fidelity U.S. Bond Index Fund (t) | 148,471,646 | 1,566,375,867 | |
John Hancock Bond Fund Class R6 | 41,620,283 | 577,689,534 | |
JPMorgan Core Plus Bond Fund Class A | 69,675,286 | 516,293,870 | |
PIMCO Income Fund Institutional Class | 71,372,584 | 765,827,828 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 66,569,812 | 592,471,326 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 130,209,125 | 1,298,184,979 | |
PIMCO Total Return Fund Institutional Class | 695,588,957 | 6,197,697,570 | |
Voya Intermediate Bond Fund Class I | 162,029,324 | 1,440,440,687 | |
Western Asset Core Bond Fund Class I | 220,205,717 | 2,437,677,283 | |
Western Asset Core Plus Bond Fund Class I | 304,647,284 | 2,991,636,331 | |
Western Asset Corporate Bond Fund - Class I | 25,961,281 | 283,497,194 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 29,076,281,563 | ||
Long Government Bond Funds - 2.4% | |||
Fidelity SAI Long-Term Treasury Bond Index Fund (t) | 58,634,934 | 500,155,985 | |
iShares 20+ Year Treasury Bond ETF | 2,571,830 | 287,736,340 | |
SPDR Portfolio Long Term Treasury ETF (u) | 11,604,139 | 374,581,607 | |
TOTAL LONG GOVERNMENT BOND FUNDS | 1,162,473,932 | ||
Short-Term Bond - 1.1% | |||
iShares 1-5 Year Investment Grade Corporate Bond ETF | 10,912,337 | 550,090,908 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $36,932,339,746) | 32,911,107,656 | ||
Principal Amount(a) | Value | ||
Preferred Securities - 0.3% | |||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telefonica Europe BV 3.875% (Reg. S) (c)(h) | 600,000 | 564,875 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV: | |||
3.5% (Reg. S) (c)(h) | 5,100,000 | 4,862,974 | |
3.748% (Reg. S) (c)(h) | 300,000 | 266,399 | |
5,129,373 | |||
CONSUMER STAPLES - 0.0% | |||
Tobacco - 0.0% | |||
British American Tobacco PLC 3% (Reg. S) (c)(h) | 2,900,000 | 2,303,458 | |
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
BP Capital Markets PLC 4.375% (c)(h) | 6,695,000 | 6,538,527 | |
Energy Transfer LP: | |||
6.5% (c)(h) | 3,770,000 | 3,552,611 | |
6.625% (c)(h) | 730,000 | 591,452 | |
7.125% (c)(h) | 2,520,000 | 2,345,765 | |
13,028,355 | |||
FINANCIALS - 0.2% | |||
Banks - 0.2% | |||
AIB Group PLC 6.25% (Reg. S) (c)(h) | 690,000 | 668,790 | |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(h) | 800,000 | 783,303 | |
Bank of America Corp. 4.3% (c)(h) | 7,090,000 | 5,971,302 | |
Bank of Nova Scotia 4.65% (c)(h) | 12,927,000 | 11,625,135 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 28,136,473 | |
Barclays PLC: | |||
5.875% (Reg. S) (c)(h) | 650,000 | 696,973 | |
8.875% (c)(h) | 300,000 | 356,928 | |
BNP Paribas SA 6.625% (Reg. S) (c)(h) | 830,000 | 826,933 | |
Citigroup, Inc. 3.875% (c)(h) | 4,320,000 | 3,743,168 | |
HSBC Holdings PLC 6.375% (c)(h) | 620,000 | 614,875 | |
JPMorgan Chase & Co. 4.6% (c)(h) | 7,120,000 | 6,286,070 | |
Societe Generale 7.875% (Reg. S) (c)(h) | 415,000 | 417,449 | |
U.S. Bancorp 3.7% (c)(h) | 4,850,000 | 4,081,843 | |
64,209,242 | |||
Capital Markets - 0.0% | |||
Credit Suisse Group AG 7.5% (Reg. S) (c)(h) | 2,750,000 | 2,651,979 | |
Goldman Sachs Group, Inc.: | |||
3.65% (c)(h) | 1,750,000 | 1,422,194 | |
4.125% (c)(h) | 2,505,000 | 2,177,668 | |
6,251,841 | |||
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (c)(h) | 350,000 | 289,494 | |
American Express Co. 3.55% (c)(h) | 770,000 | 667,160 | |
956,654 | |||
Insurance - 0.0% | |||
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(h) | 2,650,000 | 2,506,729 | |
TOTAL FINANCIALS | 73,924,466 | ||
HEALTH CARE - 0.0% | |||
Pharmaceuticals - 0.0% | |||
Bayer AG 2.375% 11/12/79 (Reg. S) (c) | 4,700,000 | 4,276,764 | |
INDUSTRIALS - 0.0% | |||
Road & Rail - 0.0% | |||
National Express Group PLC 4.25% (Reg. S) (c)(h) | 320,000 | 340,285 | |
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Aroundtown SA 3.375% (Reg. S) (c)(h) | 2,200,000 | 1,785,407 | |
AT Securities BV 5.25% (Reg. S) (c)(h) | 2,750,000 | 2,464,113 | |
Citycon Oyj 4.496% (Reg. S) (c)(h) | 450,000 | 345,706 | |
CPI Property Group SA 3.75% (Reg. S) (c)(h) | 1,325,000 | 822,169 | |
Grand City Properties SA 1.5% (Reg. S) (c)(h) | 2,400,000 | 1,855,199 | |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (c)(h) | 2,085,000 | 1,667,843 | |
3.625% (Reg. S) (c)(h) | 185,000 | 140,876 | |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(h) | 770,000 | 350,130 | |
9,431,443 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
EDF SA 5.625% (Reg. S) (c)(h) | 3,500,000 | 3,294,434 | |
SSE PLC: | |||
3.74% (Reg. S) (c)(h) | 635,000 | 692,117 | |
4% (Reg. S) (c)(h) | 900,000 | 843,093 | |
4,829,644 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Vistra Corp. 7% (b)(c)(h) | 2,575,000 | 2,413,903 | |
Multi-Utilities - 0.0% | |||
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(h) | 290,000 | 285,814 | |
Veolia Environnement SA 2% (Reg. S) (c)(h) | 1,300,000 | 1,094,848 | |
1,380,662 | |||
TOTAL UTILITIES | 8,624,209 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $141,006,122) | 117,623,228 | ||
Shares | Value | ||
Money Market Funds - 2.6% | |||
Fidelity Cash Central Fund 2.33% (v) | 586,325,033 | 586,442,298 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 2.07% (t)(w) | 361,668,059 | 361,668,059 | |
Fidelity Securities Lending Cash Central Fund 2.34% (v)(x) | 26,869,963 | 26,872,650 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.25% (w) | 289,397,727 | 289,397,727 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,264,377,088) | 1,264,380,734 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount(a) | Value | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 5.75% on a credit default swap with Barclays Bank PLC to buy protection on the 5-Year iTraxx Europe Crossover Series 37 Index expiring June 2027, paying 5% quarterly. | 9/21/22 | EUR 9,050,000 | $163,436 | |
Option with an exercise rate of 6.00% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 37 Index expiring June 2027, paying 5% quarterly. | 10/19/22 | EUR 7,700,000 | 173,280 | |
TOTAL PUT OPTIONS | 336,716 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $445,507) | 336,716 | |||
TOTAL INVESTMENT IN SECURITIES - 104.2% | ||||
(Cost $55,547,367,099) | 50,271,222,635 | |||
NET OTHER ASSETS (LIABILITIES) - (4.2)% | (2,016,234,968) | |||
NET ASSETS - 100% | $48,254,987,667 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2% 9/1/52 | $(6,000,000) | $(5,301,101) |
2% 9/1/52 | (13,050,000) | (11,529,894) |
2% 9/1/52 | (4,200,000) | (3,710,771) |
2% 9/1/52 | (9,150,000) | (8,084,179) |
2% 9/1/52 | (5,500,000) | (4,859,342) |
2% 9/1/52 | (2,700,000) | (2,385,495) |
2% 9/1/52 | (1,400,000) | (1,236,924) |
2% 9/1/52 | (2,600,000) | (2,297,144) |
2% 9/1/52 | (1,300,000) | (1,148,572) |
2% 9/1/52 | (10,900,000) | (9,630,333) |
2% 9/1/52 | (2,700,000) | (2,385,495) |
2% 9/1/52 | (12,000,000) | (10,602,202) |
2% 9/1/52 | (26,150,000) | (23,103,964) |
2.5% 9/1/52 | (15,500,000) | (14,132,841) |
2.5% 9/1/52 | (28,200,000) | (25,712,653) |
3% 9/1/52 | (6,000,000) | (5,631,250) |
3% 9/1/52 | (2,200,000) | (2,064,792) |
3% 9/1/52 | (3,650,000) | (3,425,677) |
3% 9/1/52 | (10,000,000) | (9,385,417) |
TOTAL GINNIE MAE | (146,628,046) | |
Uniform Mortgage Backed Securities | ||
1.5% 9/1/37 | (350,000) | (314,378) |
1.5% 9/1/37 | (1,150,000) | (1,032,957) |
1.5% 9/1/37 | (500,000) | (449,112) |
1.5% 9/1/37 | (1,550,000) | (1,392,247) |
2% 9/1/37 | (3,450,000) | (3,179,014) |
2% 9/1/37 | (2,400,000) | (2,211,488) |
2% 9/1/37 | (1,200,000) | (1,105,744) |
2% 9/1/37 | (1,200,000) | (1,105,744) |
2% 9/1/37 | (1,750,000) | (1,612,543) |
2% 9/1/37 | (1,750,000) | (1,612,543) |
2% 9/1/37 | (7,700,000) | (7,095,190) |
2% 9/1/52 | (26,100,000) | (22,460,285) |
2% 9/1/52 | (34,100,000) | (29,344,663) |
2% 9/1/52 | (2,100,000) | (1,807,149) |
2% 9/1/52 | (4,100,000) | (3,528,244) |
2% 9/1/52 | (950,000) | (817,520) |
2% 9/1/52 | (1,900,000) | (1,635,040) |
2% 9/1/52 | (950,000) | (817,520) |
2% 9/1/52 | (1,850,000) | (1,592,013) |
2% 9/1/52 | (1,100,000) | (946,602) |
2% 9/1/52 | (2,150,000) | (1,850,177) |
2% 9/1/52 | (5,500,000) | (4,733,010) |
2% 9/1/52 | (2,700,000) | (2,323,478) |
2% 9/1/52 | (1,400,000) | (1,204,766) |
2% 9/1/52 | (2,600,000) | (2,237,423) |
2% 9/1/52 | (1,500,000) | (1,290,821) |
2% 9/1/52 | (1,500,000) | (1,290,821) |
2% 9/1/52 | (2,100,000) | (1,807,149) |
2% 9/1/52 | (1,000,000) | (860,547) |
2% 9/1/52 | (1,000,000) | (860,547) |
2% 9/1/52 | (1,000,000) | (860,547) |
2% 9/1/52 | (29,350,000) | (25,257,063) |
2% 9/1/52 | (35,650,000) | (30,678,511) |
2% 9/1/52 | (22,700,000) | (19,534,424) |
2% 9/1/52 | (17,400,000) | (14,973,523) |
2.5% 9/1/37 | (8,800,000) | (8,321,496) |
2.5% 9/1/37 | (3,850,000) | (3,640,654) |
2.5% 9/1/37 | (2,050,000) | (1,938,530) |
2.5% 9/1/37 | (1,950,000) | (1,843,968) |
2.5% 9/1/37 | (1,050,000) | (992,906) |
2.5% 9/1/37 | (5,900,000) | (5,579,185) |
3% 9/1/37 | (2,925,000) | (2,831,765) |
3% 9/1/37 | (800,000) | (774,500) |
3% 9/1/52 | (12,000,000) | (11,104,691) |
3% 9/1/52 | (13,500,000) | (12,492,777) |
3% 9/1/52 | (800,000) | (740,313) |
3% 9/1/52 | (3,200,000) | (2,961,251) |
3% 9/1/52 | (1,900,000) | (1,758,243) |
3% 9/1/52 | (2,000,000) | (1,850,782) |
3.5% 9/1/52 | (975,000) | (929,449) |
3.5% 9/1/52 | (2,725,000) | (2,597,691) |
3.5% 9/1/52 | (5,500,000) | (5,243,047) |
4% 9/1/52 | (4,000,000) | (3,903,431) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (263,327,482) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $416,691,481) | $(409,955,528) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Bond Index Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 12 | Sept. 2022 | $984,985 | $(2,323) | $(2,323) |
Eurex Euro-Bund Contracts (Germany) | 17 | Sept. 2022 | 2,527,942 | (82,209) | (82,209) |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 1 | Sept. 2022 | 165,415 | (20,795) | (20,795) |
TME 10 Year Canadian Note Contracts (Canada) | 55 | Dec. 2022 | 5,217,535 | (5,877) | (5,877) |
TOTAL BOND INDEX CONTRACTS | (111,204) | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,191 | Dec. 2022 | 139,235,344 | (1,240,873) | (1,240,873) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 2,066 | Dec. 2022 | 430,405,906 | (723,398) | (723,398) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 152 | Dec. 2022 | 16,844,688 | (188,367) | (188,367) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 131 | Dec. 2022 | 17,795,531 | (517,915) | (517,915) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 166 | Dec. 2022 | 24,817,000 | 22,145 | 22,145 |
TOTAL TREASURY CONTRACTS | (2,648,408) | ||||
TOTAL PURCHASED | (2,759,612) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 63 | Sept. 2022 | 7,792,423 | 133,573 | 133,573 |
ICE Long Gilt Contracts (United Kingdom) | 43 | Dec. 2022 | 5,391,438 | 137,518 | 137,518 |
TOTAL BOND INDEX CONTRACTS | 271,091 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 384 | Dec. 2022 | 44,892,000 | 483,446 | 483,446 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 165 | Dec. 2022 | 34,374,141 | 115,257 | 115,257 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 332 | Dec. 2022 | 36,792,344 | 166,427 | 166,427 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 400 | Dec. 2022 | 54,337,500 | 1,443,879 | 1,443,879 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 594 | Dec. 2022 | 74,361,375 | 571,304 | 571,304 |
TOTAL TREASURY CONTRACTS | 2,780,313 | ||||
TOTAL SOLD | 3,051,404 | ||||
TOTAL FUTURES CONTRACTS | $291,792 |
The notional amount of futures purchased as a percentage of Net Assets is 1.3%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
EUR | 75,259,461 | USD | 74,981,001 | Barclays Bank PLC | 9/2/22 | $650,994 |
GBP | 20,476,795 | USD | 24,203,469 | JPMorgan Chase Bank, N.A. | 9/2/22 | (415,577) |
USD | 77,183,319 | EUR | 75,259,461 | Barclays Bank PLC | 9/2/22 | 1,551,323 |
USD | 24,738,220 | GBP | 20,476,795 | Bank of America, N.A. | 9/2/22 | 950,328 |
CAD | 269,000 | USD | 205,364 | Brown Brothers Harriman & Co | 9/15/22 | (566) |
EUR | 2,151,000 | USD | 2,163,173 | BNP Paribas S.A. | 9/15/22 | 381 |
EUR | 198,000 | USD | 205,320 | BNP Paribas S.A. | 9/15/22 | (6,165) |
EUR | 230,000 | USD | 230,407 | BNP Paribas S.A. | 9/15/22 | 935 |
EUR | 135,000 | USD | 135,744 | Goldman Sachs Bank USA | 9/15/22 | 44 |
EUR | 199,000 | USD | 198,640 | JPMorgan Chase Bank, N.A. | 9/15/22 | 1,522 |
EUR | 189,000 | USD | 188,271 | JPMorgan Chase Bank, N.A. | 9/15/22 | 1,832 |
GBP | 65,000 | USD | 76,651 | Brown Brothers Harriman & Co | 9/15/22 | (1,122) |
GBP | 73,000 | USD | 86,185 | Brown Brothers Harriman & Co | 9/15/22 | (1,359) |
GBP | 160,000 | USD | 188,915 | Brown Brothers Harriman & Co | 9/15/22 | (2,996) |
GBP | 519,000 | USD | 603,989 | Goldman Sachs Bank USA | 9/15/22 | (914) |
GBP | 65,000 | USD | 79,776 | HSBC Bank | 9/15/22 | (4,247) |
GBP | 144,000 | USD | 170,057 | Royal Bank of Canada | 9/15/22 | (2,729) |
USD | 112,344 | AUD | 162,000 | BNP Paribas S.A. | 9/15/22 | 1,472 |
USD | 141,556 | CAD | 182,000 | BNP Paribas S.A. | 9/15/22 | 2,994 |
USD | 106,585 | CAD | 138,000 | Brown Brothers Harriman & Co | 9/15/22 | 1,521 |
USD | 73,488 | CAD | 95,000 | Goldman Sachs Bank USA | 9/15/22 | 1,162 |
USD | 77,168,376 | EUR | 75,418,000 | BNP Paribas S.A. | 9/15/22 | 1,310,224 |
USD | 171,983 | EUR | 168,000 | BNP Paribas S.A. | 9/15/22 | 3,003 |
USD | 161,471 | EUR | 157,000 | BNP Paribas S.A. | 9/15/22 | 3,555 |
USD | 84,521 | EUR | 83,000 | BNP Paribas S.A. | 9/15/22 | 1,037 |
USD | 80,951 | EUR | 78,000 | Goldman Sachs Bank USA | 9/15/22 | 2,496 |
USD | 231,319 | EUR | 226,000 | JPMorgan Chase Bank, N.A. | 9/15/22 | 4,000 |
USD | 182,541 | EUR | 183,000 | JPMorgan Chase Bank, N.A. | 9/15/22 | (1,527) |
USD | 31,961,840 | GBP | 26,132,000 | Goldman Sachs Bank USA | 9/15/22 | 1,596,596 |
USD | 116,351 | GBP | 96,000 | State Street Bank and Trust Co | 9/15/22 | 4,799 |
USD | 75,144,314 | EUR | 75,259,461 | Barclays Bank PLC | 10/4/22 | (652,113) |
USD | 24,218,376 | GBP | 20,476,795 | JPMorgan Chase Bank, N.A. | 10/4/22 | 415,564 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $5,416,467 | |||||
Unrealized Appreciation | 6,505,782 | |||||
Unrealized Depreciation | (1,089,315) |
For the period, the average contract value for forward foreign currency contracts was $467,558,976. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3)(4) | Value(1) | Upfront Premium Received/(Paid)(5) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Buy Protection | |||||||||
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $3,020,000 | $36,083 | $(7,366) | $28,717 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,110,000 | 13,262 | (3,792) | 9,470 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,000,000 | 23,896 | (6,153) | 17,743 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 740,000 | 8,841 | 693 | 9,534 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,670,000 | 43,849 | (54,300) | (10,451) | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,700,000 | 32,259 | (30,747) | 1,512 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,180,000 | 26,046 | (20,247) | 5,799 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,720,000 | 32,498 | (23,717) | 8,781 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,220,000 | 38,472 | (35,825) | 2,647 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 2,440,000 | 29,153 | (3,659) | 25,494 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 1,920,000 | 22,940 | (17,300) | 5,640 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 2,510,000 | 29,989 | (10,083) | 19,906 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,870,000 | 22,343 | (16,776) | 5,567 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 11,000,000 | 131,427 | (182,272) | (50,845) | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 970,000 | 11,589 | (16,595) | (5,006) | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5,110,000 | 61,054 | (71,634) | (10,580) | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 3,650,000 | 43,610 | (19,778) | 23,832 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,640,000 | 19,594 | (12,886) | 6,708 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 6,600,000 | 78,856 | (45,587) | 33,269 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,180,000 | 26,046 | (15,672) | 10,374 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,680,000 | 32,020 | (25,546) | 6,474 | |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 6,590,000 | 78,737 | (46,441) | 32,296 | |
Intesa Sanpaolo SpA | Dec. 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR 1,500,000 | 11,261 | 33,622 | 44,883 | |
TOTAL BUY PROTECTION | 853,825 | (632,061) | 221,764 | ||||||
Sell Protection | |||||||||
5-Year CDX N.A. HY Series 37 | NR | Dec. 2026 | ICE | 5% | Quarterly | $30,709,800 | (93,301) | 0 | (93,301) |
5-Year CDX N.A. HY Series 38 | NR | Jun. 2027 | ICE | 5% | Quarterly | 21,888,900 | 512,832 | 0 | 512,832 |
TOTAL SELL PROTECTION | 419,531 | 0 | 419,531 | ||||||
TOTAL CREDIT DEFAULT SWAPS | $1,273,356 | $(632,061) | $641,295 | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Portfolio could be required to make if a credit event were to occur.
(4) Notional amount is stated in U.S. Dollars unless otherwise noted.
(5) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(5) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (3) | Annual | LCH | Sep. 2024 | $62,612,000 | $(354,627) | $0 | $(354,627) |
1.03% | Semi - annual | 3-month LIBOR (3) | Quarterly | CME | Jul. 2025 | 59,390,000 | (2,734,884) | 0 | (2,734,884) |
1.03% | Semi - annual | 3-month LIBOR (3) | Quarterly | CME | Jul. 2025 | 43,930,000 | (2,018,176) | 0 | (2,018,176) |
1.07% | Semi - annual | 3-month LIBOR (3) | Quarterly | CME | Jul. 2025 | 29,695,000 | (1,371,325) | 0 | (1,371,325) |
1.39% | Semi - annual | 3-month LIBOR (3) | Quarterly | CME | Sep. 2025 | 99,195,000 | (3,692,405) | 0 | (3,692,405) |
2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (3) | Annual | LCH | Sep. 2027 | 38,304,000 | (345,552) | 0 | (345,552) |
2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (3) | Annual | LCH | Sep. 2029 | 2,900,000 | (57,883) | 0 | (57,883) |
2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (3) | Annual | LCH | Sep. 2032 | 2,676,000 | (19,121) | 0 | (19,121) |
2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (3) | Annual | LCH | Sep. 2052 | 623,000 | (4,263) | 0 | (4,263) |
3-month LIBOR (3) | Quarterly | 1.77% | Semi - annual | CME | Jul. 2053 | 4,960,000 | 1,107,085 | 0 | 1,107,085 |
3-month LIBOR (3) | Quarterly | 1.79% | Semi - annual | CME | Jul. 2053 | 3,675,000 | 822,435 | 0 | 822,435 |
3-month LIBOR (3) | Quarterly | 1.81% | Semi - annual | CME | Jul. 2053 | 2,480,000 | 569,451 | 0 | 569,451 |
3-month LIBOR(3) | Quarterly | 1.87% | Semi - annual | CME | Sep. 2053 | 8,465,000 | 1,666,686 | 0 | 1,666,686 |
TOTAL INTEREST RATE SWAPS | $(6,432,579) | $0 | $(6,432,579) | ||||||
(1) Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Currency Abbreviations
AUD – Australian dollar
CAD – Canadian dollar
EUR – European Monetary Unit
GBP – British pound sterling
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Security 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. At the end of the period, the value of these securities amounted to $2,891,007,577 or 6.0% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Non-income producing - Security is in default.
(e) Level 3 security
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(g) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(h) Security is perpetual in nature with no stated maturity date.
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,873,016.
(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,375,003.
(k) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $14,720,997.
(l) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(m) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(n) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(o) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(p) Non-income producing
(q) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(r) The coupon rate will be determined upon settlement of the loan after period end.
(s) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $228,120 and $217,854, respectively.
(t) Affiliated Fund
(u) Security or a portion of the security is on loan at period end.
(v) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(w) The rate quoted is the annualized seven-day yield of the fund at period end.
(x) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 2.33% | $203,954,736 | $1,319,250,490 | $936,762,928 | $3,292,537 | $-- | $-- | $586,442,298 | 1.1% |
Fidelity Securities Lending Cash Central Fund 2.34% | 479,605,850 | 1,492,916,570 | 1,945,649,770 | 181,937 | -- | -- | 26,872,650 | 0.1% |
Total | $683,560,586 | $2,812,167,060 | $2,882,412,698 | $3,474,474 | $-- | $-- | $613,314,948 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Investments Money Market Government Portfolio Institutional Class 2.07% | $272,629,434 | $1,907,686,669 | $1,818,648,044 | $1,388,831 | $-- | $-- | $361,668,059 |
Fidelity SAI Long-Term Treasury Bond Index Fund | 688,966,402 | 81,476,351 | 150,000,000 | 6,476,248 | (5,159,303) | (115,127,465) | 500,155,985 |
Fidelity SAI Total Bond Fund | 6,047,905,816 | 154,809,081 | 200,000,000 | 79,809,080 | (22,310,095) | (529,755,884) | 5,450,648,918 |
Fidelity SAI U.S. Treasury Bond Index Fund | 758,641,599 | 1,056,952,221 | 250,000,000 | 6,952,219 | (5,188,426) | (65,968,199) | 1,494,437,195 |
Fidelity U.S. Bond Index Fund | 2,985,839 | 1,707,977,028 | 111,349,647 | 7,977,189 | (2,816,383) | (30,420,970) | 1,566,375,867 |
Total | $7,771,129,090 | $4,908,901,350 | $2,529,997,691 | $102,603,567 | $(35,474,207) | $(741,272,518) | $9,373,286,024 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $3,736,568 | $-- | $-- | $3,736,568 |
Corporate Bonds | 4,592,832,129 | -- | 4,585,132,128 | 7,700,001 |
U.S. Government and Government Agency Obligations | 4,375,622,590 | -- | 4,375,622,590 | -- |
U.S. Government Agency - Mortgage Securities | 4,204,597,367 | -- | 4,204,597,367 | -- |
Asset-Backed Securities | 1,072,246,786 | -- | 1,071,606,918 | 639,868 |
Collateralized Mortgage Obligations | 335,272,651 | -- | 335,272,651 | -- |
Commercial Mortgage Securities | 1,078,159,852 | -- | 1,078,159,852 | -- |
Municipal Securities | 99,906,653 | -- | 99,906,653 | -- |
Foreign Government and Government Agency Obligations | 105,105,638 | -- | 105,105,638 | -- |
Bank Loan Obligations | 69,176,757 | -- | 69,176,757 | -- |
Bank Notes | 7,741,171 | -- | 7,741,171 | -- |
Fixed-Income Funds | 32,911,107,656 | 32,911,107,656 | -- | -- |
Preferred Securities | 117,623,228 | -- | 117,623,228 | -- |
Money Market Funds | 1,264,380,734 | 1,264,380,734 | -- | -- |
Purchased Swaptions | 336,716 | -- | 336,716 | -- |
Other Short-Term Investments | 33,376,139 | -- | 33,376,139 | -- |
Total Investments in Securities: | $50,271,222,635 | $34,175,488,390 | $16,083,657,808 | $12,076,437 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $3,073,549 | $3,073,549 | $-- | $-- |
Forward Foreign Currency Contracts | 6,505,782 | -- | 6,505,782 | -- |
Swaps | 5,532,314 | -- | 5,532,314 | -- |
Total Assets | $15,111,645 | $3,073,549 | $12,038,096 | $-- |
Liabilities | ||||
Futures Contracts | $(2,781,757) | $(2,781,757) | $-- | $-- |
Forward Foreign Currency Contracts | (1,089,315) | -- | (1,089,315) | |
Swaps | (10,691,537) | -- | (10,691,537) | -- |
Total Liabilities | $(14,562,609) | $(2,781,757) | $(11,780,852) | -- |
Total Derivative Instruments: | $549,036 | $291,792 | $257,244 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(409,955,528) | $-- | $(409,955,528) | $-- |
Total Other Financial Instruments: | $(409,955,528) | $-- | $(409,955,528) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Purchased Swaptions(a) | $336,716 | $0 |
Swaps(b) | 1,366,657 | (93,301) |
Total Credit Risk | 1,703,373 | (93,301) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 6,505,782 | (1,089,315) |
Total Foreign Exchange Risk | 6,505,782 | (1,089,315) |
Interest Rate Risk | ||
Futures Contracts(d) | 3,073,549 | (2,781,757) |
Swaps(e) | 4,165,657 | (10,598,236) |
Total Interest Rate Risk | 7,239,206 | (13,379,993) |
Total Value of Derivatives | $15,448,361 | $(14,562,609) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.
(b) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(e) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $26,088,696) — See accompanying schedule: Unaffiliated issuers (cost $44,836,644,768) | $40,284,621,663 | |
Fidelity Central Funds (cost $613,311,302) | 613,314,948 | |
Other affiliated issuers (cost $10,097,411,029) | 9,373,286,024 | |
Total Investment in Securities (cost $55,547,367,099) | $50,271,222,635 | |
Segregated cash with brokers for derivative instruments | 7,100,202 | |
Cash | 2,940,759 | |
Foreign currency held at value (cost $3,823,243) | 3,775,627 | |
Receivable for investments sold | ||
Regular delivery | 44,658,308 | |
Delayed delivery | 787,098,994 | |
Receivable for TBA sale commitments | 416,691,481 | |
Unrealized appreciation on forward foreign currency contracts | 6,505,782 | |
Receivable for fund shares sold | 17,994,459 | |
Dividends receivable | 4,661,861 | |
Interest receivable | 93,026,652 | |
Distributions receivable from Fidelity Central Funds | 1,308,590 | |
Receivable for daily variation margin on futures contracts | 182,291 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 1,199,458 | |
Bi-lateral OTC swaps, at value | 853,825 | |
Prepaid expenses | 76,684 | |
Other receivables | 382,424 | |
Total assets | 51,659,680,032 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $119,817,245 | |
Delayed delivery | 2,817,124,615 | |
TBA sale commitments, at value | 409,955,528 | |
Unrealized depreciation on forward foreign currency contracts | 1,089,315 | |
Payable for swaps | 61,371 | |
Payable for fund shares redeemed | 20,233,160 | |
Distributions payable | 7,915,400 | |
Accrued management fee | 1,150,798 | |
Other payables and accrued expenses | 472,283 | |
Collateral on securities loaned | 26,872,650 | |
Total liabilities | 3,404,692,365 | |
Net Assets | $48,254,987,667 | |
Net Assets consist of: | ||
Paid in capital | $54,191,519,823 | |
Total accumulated earnings (loss) | (5,936,532,156) | |
Net Assets | $48,254,987,667 | |
Net Asset Value, offering price and redemption price per share ($48,254,987,667 ÷ 5,135,525,276 shares) | $9.40 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $351,377,937 | |
Affiliated issuers | 102,603,567 | |
Interest | 189,886,982 | |
Income from Fidelity Central Funds (including $181,937 from security lending) | 3,474,474 | |
Total income | 647,342,960 | |
Expenses | ||
Management fee | $64,289,874 | |
Custodian fees and expenses | 130,627 | |
Independent trustees' fees and expenses | 141,714 | |
Registration fees | 72,469 | |
Audit | 38,578 | |
Legal | 34,143 | |
Miscellaneous | 211,577 | |
Total expenses before reductions | 64,918,982 | |
Expense reductions | (57,557,637) | |
Total expenses after reductions | 7,361,345 | |
Net investment income (loss) | 639,981,615 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (481,292,398) | |
Affiliated issuers | (35,474,207) | |
Forward foreign currency contracts | 24,988,377 | |
Foreign currency transactions | (258,488) | |
Futures contracts | (7,149,881) | |
Swaps | (6,084,506) | |
Capital gain distributions from underlying funds: | ||
Unaffiliated issuers | 1,405,384 | |
Total net realized gain (loss) | (503,865,719) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,500,900,308) | |
Affiliated issuers | (741,272,518) | |
Forward foreign currency contracts | 3,401,345 | |
Assets and liabilities in foreign currencies | (145,001) | |
Futures contracts | 403,788 | |
Swaps | (1,608,165) | |
TBA sale commitments | 7,480,149 | |
Total change in net unrealized appreciation (depreciation) | (4,232,640,710) | |
Net gain (loss) | (4,736,506,429) | |
Net increase (decrease) in net assets resulting from operations | $(4,096,524,814) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2022 (Unaudited) | Year ended February 28, 2022 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $639,981,615 | $1,047,633,596 |
Net realized gain (loss) | (503,865,719) | (75,964,920) |
Change in net unrealized appreciation (depreciation) | (4,232,640,710) | (2,042,290,895) |
Net increase (decrease) in net assets resulting from operations | (4,096,524,814) | (1,070,622,219) |
Distributions to shareholders | (661,065,638) | (1,410,204,963) |
Share transactions | ||
Proceeds from sales of shares | 10,507,010,294 | 13,994,284,626 |
Reinvestment of distributions | 619,082,909 | 1,354,235,367 |
Cost of shares redeemed | (4,196,071,583) | (8,291,396,644) |
Net increase (decrease) in net assets resulting from share transactions | 6,930,021,620 | 7,057,123,349 |
Total increase (decrease) in net assets | 2,172,431,168 | 4,576,296,167 |
Net Assets | ||
Beginning of period | 46,082,556,499 | 41,506,260,332 |
End of period | $48,254,987,667 | $46,082,556,499 |
Other Information | ||
Shares | ||
Sold | 1,078,439,645 | 1,293,253,783 |
Issued in reinvestment of distributions | 64,221,496 | 125,192,398 |
Redeemed | (431,710,157) | (773,173,471) |
Net increase (decrease) | 710,950,984 | 645,272,710 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Income Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2022 | 2022 | 2021 | 2020 A | 2019 | 2018 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.42 | $10.98 | $11.13 | $10.38 | $10.38 | $10.50 |
Income from Investment Operations | ||||||
Net investment income (loss)B,C | .135 | .250 | .286 | .354 | .324 | .270 |
Net realized and unrealized gain (loss) | (1.016) | (.468) | .116 | .796 | (.009) | (.106) |
Total from investment operations | (.881) | (.218) | .402 | 1.150 | .315 | .164 |
Distributions from net investment income | (.139) | (.252) | (.292) | (.350) | (.309) | (.270) |
Distributions from net realized gain | – | (.090) | (.260) | (.050) | (.006) | (.014) |
Total distributions | (.139) | (.342) | (.552) | (.400) | (.315) | (.284) |
Net asset value, end of period | $9.40 | $10.42 | $10.98 | $11.13 | $10.38 | $10.38 |
Total ReturnD,E | (8.48)% | (2.06)% | 3.59% | 11.25% | 3.10% | 1.54% |
Ratios to Average Net AssetsC,F,G | ||||||
Expenses before reductions | .28%H | .28% | .28% | .28% | .30% | .31% |
Expenses net of fee waivers, if any | .03%H | .03% | .03% | .03% | .05% | .06% |
Expenses net of all reductions | .03%H | .03% | .03% | .03% | .05% | .06% |
Net investment income (loss) | 2.76%H | 2.31% | 2.54% | 3.28% | 3.15% | 2.55% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $48,254,988 | $46,082,556 | $41,506,260 | $46,341,080 | $38,032,654 | $35,706,144 |
Portfolio turnover rateI | 115%H | 110% | 109% | 65% | 78% | 45% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended August 31, 2022
1. Organization.
Strategic Advisers Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2022 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Core Income Fund | $373,061 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, swaps, foreign currency transactions, market discount, partnerships, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and futures contracts.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $57,119,305 |
Gross unrealized depreciation | (5,407,899,760) |
Net unrealized appreciation (depreciation) | $(5,350,780,455) |
Tax cost | $55,628,656,018 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(70,349,508) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Investment objectives allow a fund to enter into various types of derivative contracts, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Strategic Advisers Core Income Fund | ||
Credit Risk | ||
Purchased Options | $32,094 | $(86,235) |
Swaps | (3,895,343) | 1,135,476 |
Total Credit Risk | (3,863,249) | 1,049,241 |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 24,988,377 | 3,401,345 |
Total Foreign Exchange Risk | 24,988,377 | 3,401,345 |
Interest Rate Risk | ||
Futures Contracts | (7,149,881) | 403,788 |
Swaps | (2,189,163) | (2,743,641) |
Total Interest Rate Risk | (9,339,044) | (2,339,853) |
Totals | $11,786,084 | $2,110,733 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Core Income Fund | 22,420,685,812 | 16,340,456,273 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .28% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), PGIM, Inc. and TCW Investment Management LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
BlackRock Investment Management, LLC has been retained to serve as a sub-adviser for the Fund. As of the date of this report, this sub-adviser has not been allocated any portion of the Fund's assets. This sub-adviser in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
Amount | |
Strategic Advisers Core Income Fund | $2,816 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Core Income Fund | $40,181 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Strategic Advisers Core Income Fund | $18,950 | $– | $– |
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2025. During the period, this waiver reduced the Fund's management fee by $57,557,637.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Core Income Fund |
Fidelity SAI Total Bond Fund | 28% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2022 to August 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2022 | Ending Account Value August 31, 2022 | Expenses Paid During Period-B March 1, 2022 to August 31, 2022 | |
Strategic Advisers Core Income Fund | .03% | |||
Actual | $1,000.00 | $915.20 | $.14 | |
Hypothetical-C | $1,000.00 | $1,025.05 | $.15 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Board Approval of New Sub-Advisory and Sub-Subadvisory Agreements
Strategic Advisers Core Income Fund
In March 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve: (i) a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), BlackRock Investment Management, LLC (BlackRock), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (BlackRock Sub-Advisory Agreement); (ii) a new sub-subadvisory agreement among BlackRock, BlackRock International Limited (BIL), and the Trust on behalf of the fund (BIL Sub-Subadvisory Agreement); and (iii) a new sub-subadvisory agreement among BlackRock, BlackRock (Singapore) Limited (BSL), and the Trust on behalf of the fund (BSL Sub-Subadvisory Agreement and together with the BIL Sub-Subadvisory Agreement, the Sub-Subadvisory Agreements; and the Sub-Subadvisory Agreements together with the BlackRock Sub-Advisory Agreement, the New Agreements). BlackRock, BIL, and BSL are collectively referred to herein as the Sub-Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.In considering whether to approve each New Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of each New Agreement is in the best interests of the fund and its shareholders and does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the fees to be charged under each New Agreements bear a reasonable relationship to the services to be rendered. The Board's decision to approve each New Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also considered the fund's investment objective, strategies and related investment philosophy and current sub-adviser line-up. The Board also considered the structures of the investment personnel compensation programs and whether such structures provide appropriate incentives to act in the best interests of the fund.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Sub-Advisers' investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that the Sub-Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Sub-Advisers' trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process. The Board also considered the Sub-Advisers' investments in business continuity planning, including in connection with the COVID-19 pandemic.Shareholder and Administrative Services. The Board considered: (i) the nature, extent, quality, and cost of advisory services to be performed by the Sub-Advisers under the New Agreements; and (ii) the resources to be devoted to the fund's compliance policies and procedures.Investment Performance. The Board considered the historical investment performance of the Sub-Advisers and their portfolio managers in managing accounts under a similar investment mandate.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the New Agreements should benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. With respect to the BlackRock Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to BlackRock. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring BlackRock.With respect to the Sub-Subadvisory Agreements, the Board considered that BlackRock, and not the fund, will compensate each of BIL and BSL under the terms of the applicable Sub-Subadvisory Agreement, and that the fund and Strategic Advisers are not responsible for any such fees or expenses.The Board noted that the New Agreements will not result in changes to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its portion of the fund's management fee. The Board further considered that after allocating assets to BlackRock, the fund's management fee and total net expenses are expected to increase but are each expected to continue to rank below the competitive peer group medians reported in the June 2021 management contract renewal materials.Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each New Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the New Agreements.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New Agreements will have a significant impact on the profitability of, or potential fall-out benefits to, Strategic Advisers or its affiliates.Possible Economies of Scale. The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to BlackRock as assets allocated to BlackRock grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Sub-Subadvisory Agreements because the fund will not bear any additional management fees or expenses under those agreements.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each New Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each New Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.SSC-SANN-1022
1.912889.112
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Semi-Annual Report
August 31, 2022
Contents
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of August 31, 2022
(excluding cash equivalents) | % of fund's net assets |
Artisan High Income Fund Investor Shares | 13.4 |
BlackRock High Yield Bond Portfolio Class K | 10.0 |
Fidelity Capital & Income Fund | 9.1 |
MainStay High Yield Corporate Bond Fund Class A | 8.2 |
Vanguard High-Yield Corporate Fund Admiral Shares | 6.8 |
Eaton Vance Income Fund of Boston Class A | 6.3 |
U.S. Treasury Obligations | 2.4 |
CCO Holdings LLC/CCO Holdings Capital Corp. | 0.9 |
Tenet Healthcare Corp. | 0.6 |
CSC Holdings LLC | 0.6 |
Asset Allocation (% of fund's net assets)
As of August 31, 2022 | ||
Corporate Bonds | 37.0% | |
U.S. Government and U.S. Government Agency Obligations | 2.4% | |
Municipal Securities | 0.1% | |
High Yield Fixed-Income Funds | 53.8% | |
Stocks | 1.3% | |
Other Investments | 3.5% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.9% |
Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.
Schedule of Investments August 31, 2022 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 37.0% | |||
Principal Amount(a) | Value | ||
Convertible Bonds - 0.5% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.2% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | 1,512,000 | 1,364,580 | |
3.375% 8/15/26 | 2,415,000 | 1,737,741 | |
3,102,321 | |||
ENERGY - 0.3% | |||
Oil, Gas & Consumable Fuels - 0.3% | |||
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 368,047 | 2,497,677 | |
Mesquite Energy, Inc. 15% 7/15/23 (b)(c) | 635,565 | 4,313,135 | |
6,810,812 | |||
TOTAL CONVERTIBLE BONDS | 9,913,133 | ||
Nonconvertible Bonds - 36.5% | |||
COMMUNICATION SERVICES - 6.1% | |||
Diversified Telecommunication Services - 1.3% | |||
Altice France SA: | |||
5.125% 1/15/29 (d) | 992,000 | 770,365 | |
5.125% 7/15/29 (d) | 975,000 | 740,669 | |
5.5% 1/15/28 (d) | 740,000 | 602,238 | |
5.5% 10/15/29 (d) | 1,580,000 | 1,247,726 | |
8.125% 2/1/27 (d) | 1,200,000 | 1,135,536 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (d) | 1,890,000 | 1,667,925 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27 (d) | 1,527,000 | 1,332,659 | |
5.625% 9/15/28 (d) | 300,000 | 244,445 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (d) | 1,100,000 | 1,007,311 | |
Consolidated Communications, Inc. 5% 10/1/28 (d) | 570,000 | 439,079 | |
Embarq Corp. 7.995% 6/1/36 | 825,000 | 641,454 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28 (d) | 515,000 | 451,377 | |
5.875% 10/15/27 (d) | 364,000 | 339,521 | |
5.875% 11/1/29 | 515,000 | 420,369 | |
6% 1/15/30 (d) | 845,000 | 696,297 | |
8.75% 5/15/30 (d) | 420,000 | 432,340 | |
Holdco SASU: | |||
6.5% 10/15/26 (d) | 2,340,000 | 2,138,245 | |
7% 10/15/28 (d) | 375,000 | 344,018 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (d) | 807,000 | 647,706 | |
3.75% 7/15/29 (d) | 795,000 | 638,290 | |
4.25% 7/1/28 (d) | 805,000 | 669,156 | |
5.375% 5/1/25 | 1,000,000 | 1,000,148 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (d) | 1,520,000 | 1,133,905 | |
5.125% 12/15/26 (d) | 710,000 | 613,500 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 970,000 | 1,024,267 | |
8.75% 3/15/32 | 1,100,000 | 1,327,942 | |
Switch Ltd. 4.125% 6/15/29 (d) | 100,000 | 99,750 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 342,000 | 276,165 | |
7.2% 7/18/36 | 353,000 | 301,233 | |
7.721% 6/4/38 | 200,000 | 171,020 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 200,000 | 182,000 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 335,000 | 264,633 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 1,285,000 | 1,104,562 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27 (d) | 780,000 | 664,950 | |
6.125% 3/1/28 (d) | 933,000 | 714,473 | |
25,485,274 | |||
Entertainment - 0.3% | |||
AMC Entertainment Holdings, Inc. 10% 6/15/26 pay-in-kind (d)(e) | 562,120 | 451,804 | |
Cinemark U.S.A., Inc. 5.25% 7/15/28 (d) | 1,010,000 | 818,171 | |
Live Nation Entertainment, Inc. 4.75% 10/15/27 (d) | 665,000 | 605,150 | |
Netflix, Inc. 6.375% 5/15/29 | 960,000 | 992,523 | |
Playtika Holding Corp. 4.25% 3/15/29 (d) | 770,000 | 656,733 | |
Roblox Corp. 3.875% 5/1/30 (d) | 1,440,000 | 1,201,206 | |
4,725,587 | |||
Interactive Media & Services - 0.0% | |||
ZipRecruiter, Inc. 5% 1/15/30 (d) | 425,000 | 352,750 | |
Media - 4.0% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | 1,459,000 | 1,254,740 | |
Altice Financing SA: | |||
5% 1/15/28 (d) | 1,715,000 | 1,383,817 | |
5.75% 8/15/29 (d) | 2,590,000 | 2,089,120 | |
Altice France Holding SA: | |||
6% 2/15/28 (d) | 3,580,000 | 2,434,400 | |
10.5% 5/15/27 (d) | 965,000 | 833,154 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (d) | 4,975,000 | 4,059,326 | |
4.5% 8/15/30 (d) | 2,943,000 | 2,474,989 | |
4.5% 5/1/32 | 5,320,000 | 4,317,074 | |
4.5% 6/1/33 (d) | 1,970,000 | 1,546,450 | |
4.75% 3/1/30 (d) | 732,000 | 629,180 | |
5.375% 6/1/29 (d) | 1,585,000 | 1,448,064 | |
6.375% 9/1/29 (d) | 3,090,000 | 3,001,163 | |
Clear Channel Outdoor Holdings, Inc.: | |||
5.125% 8/15/27 (d) | 705,000 | 631,419 | |
7.5% 6/1/29 (d) | 510,000 | 410,027 | |
7.75% 4/15/28 (d) | 995,000 | 809,238 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (d) | 1,152,000 | 933,120 | |
4.5% 11/15/31 (d) | 100,000 | 80,223 | |
4.625% 12/1/30 (d) | 4,632,000 | 3,311,880 | |
5.375% 2/1/28 (d) | 931,000 | 845,683 | |
5.75% 1/15/30 (d) | 4,090,000 | 3,167,460 | |
6.5% 2/1/29 (d) | 1,830,000 | 1,697,325 | |
7.5% 4/1/28 (d) | 1,395,000 | 1,240,002 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (d) | 6,605,000 | 1,254,950 | |
6.625% 8/15/27 (d) | 15,605,000 | 1,424,112 | |
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (d) | 675,000 | 617,625 | |
DISH DBS Corp.: | |||
5.125% 6/1/29 | 2,920,000 | 1,730,100 | |
5.25% 12/1/26 (d) | 1,170,000 | 965,981 | |
5.75% 12/1/28 (d) | 1,735,000 | 1,332,249 | |
7.375% 7/1/28 | 1,865,000 | 1,221,575 | |
7.75% 7/1/26 | 3,499,000 | 2,758,682 | |
Dolya Holdco 18 DAC 5% 7/15/28 (d) | 747,000 | 637,971 | |
Gray Escrow II, Inc. 5.375% 11/15/31 (d) | 1,690,000 | 1,428,354 | |
Gray Television, Inc. 7% 5/15/27 (d) | 700,000 | 690,113 | |
iHeartCommunications, Inc.: | |||
5.25% 8/15/27 (d) | 465,000 | 417,172 | |
8.375% 5/1/27 | 3,675,000 | 3,236,867 | |
Lamar Media Corp. 4.875% 1/15/29 | 897,000 | 832,838 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) | 310,000 | 292,590 | |
Midas Opco Holdings LLC 5.625% 8/15/29 (d) | 1,970,000 | 1,670,659 | |
News Corp.: | |||
3.875% 5/15/29 (d) | 375,000 | 326,250 | |
5.125% 2/15/32 (d) | 505,000 | 464,600 | |
Nexstar Broadcasting, Inc. 4.75% 11/1/28 (d) | 625,000 | 565,625 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26 (d) | 1,197,000 | 1,031,814 | |
6.5% 9/15/28 (d) | 2,890,000 | 2,152,299 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (d) | 1,325,000 | 1,199,092 | |
Sirius XM Radio, Inc.: | |||
4% 7/15/28 (d) | 2,385,000 | 2,077,991 | |
4.125% 7/1/30 (d) | 1,725,000 | 1,461,541 | |
5.5% 7/1/29 (d) | 495,000 | 462,865 | |
TEGNA, Inc. 5% 9/15/29 | 380,000 | 363,740 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 870,000 | 813,955 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29 (d) | 695,000 | 607,951 | |
5.125% 2/15/25 (d) | 400,000 | 386,370 | |
6.625% 6/1/27 (d) | 2,095,000 | 2,021,718 | |
7.375% 6/30/30 (d) | 675,000 | 669,958 | |
Virgin Media Secured Finance PLC 4.5% 8/15/30 (d) | 150,000 | 124,905 | |
VZ Secured Financing BV 5% 1/15/32 (d) | 1,450,000 | 1,182,258 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (d) | 110,000 | 88,055 | |
Ziggo BV 4.875% 1/15/30 (d) | 170,000 | 143,514 | |
75,254,193 | |||
Wireless Telecommunication Services - 0.5% | |||
Digicel Group Ltd. 6.75% 3/1/23 (d) | 7,925,000 | 5,001,864 | |
Digicel International Finance Ltd. / Digicel International Holdings Ltd. 8% 12/31/26 (d) | 1,250,000 | 803,125 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (c)(f) | 3,685,000 | 0 | |
6.5% 3/15/30 (d) | 3,175,000 | 2,878,074 | |
8.5% 10/15/24 (c)(d)(f) | 7,200,000 | 1 | |
9.75% 7/15/25 (c)(d)(f) | 50,000 | 0 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (d) | 235,000 | 192,891 | |
5.125% 1/15/28 (d) | 36,000 | 33,021 | |
Sprint Communications, Inc. 6% 11/15/22 | 1,000,000 | 1,002,080 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (d) | 865,000 | 357,662 | |
10,268,718 | |||
TOTAL COMMUNICATION SERVICES | 116,086,522 | ||
CONSUMER DISCRETIONARY - 6.8% | |||
Auto Components - 0.8% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (d) | 1,225,000 | 1,133,664 | |
Albion Financing 1 SARL 6.125% 10/15/26 (d) | 805,000 | 716,926 | |
Albion Financing 2 SARL 8.75% 4/15/27 (d) | 370,000 | 334,011 | |
Allison Transmission, Inc. 3.75% 1/30/31 (d) | 138,000 | 111,826 | |
American Axle & Manufacturing, Inc. 6.25% 3/15/26 | 450,000 | 433,816 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (d) | 450,000 | 219,688 | |
Dana, Inc.: | |||
4.25% 9/1/30 | 1,275,000 | 1,029,108 | |
5.625% 6/15/28 | 1,725,000 | 1,547,824 | |
Dornoch Debt Merger Sub, Inc. 6.625% 10/15/29 (d) | 580,000 | 452,400 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 346,000 | 304,480 | |
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. 8.5% 5/15/27 (d) | 1,270,000 | 1,247,902 | |
Patrick Industries, Inc.: | |||
4.75% 5/1/29 (d) | 650,000 | 532,188 | |
7.5% 10/15/27 (d) | 175,000 | 164,028 | |
Tenneco, Inc.: | |||
5% 7/15/26 | 1,500,000 | 1,432,441 | |
7.875% 1/15/29 (d) | 2,047,000 | 2,034,729 | |
The Goodyear Tire & Rubber Co.: | |||
5% 7/15/29 | 990,000 | 887,486 | |
5.25% 4/30/31 | 1,150,000 | 1,003,114 | |
5.25% 7/15/31 | 1,620,000 | 1,396,181 | |
5.625% 4/30/33 | 270,000 | 233,550 | |
15,215,362 | |||
Automobiles - 0.6% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 3,613,000 | 2,702,705 | |
5.291% 12/8/46 | 1,400,000 | 1,123,500 | |
6.1% 8/19/32 | 2,200,000 | 2,142,272 | |
9.625% 4/22/30 | 1,175,000 | 1,374,758 | |
PM General Purchaser LLC 9.5% 10/1/28 (d) | 880,000 | 762,275 | |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 7.1766% 10/15/26 (d)(g)(h) | 4,585,000 | 4,252,588 | |
12,358,098 | |||
Diversified Consumer Services - 0.2% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 1,165,000 | 1,106,750 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 675,000 | 638,423 | |
Service Corp. International: | |||
4% 5/15/31 | 605,000 | 517,133 | |
5.125% 6/1/29 | 460,000 | 435,809 | |
Sotheby's 7.375% 10/15/27 (d) | 605,000 | 570,346 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 640,000 | 616,941 | |
3,885,402 | |||
Hotels, Restaurants & Leisure - 2.8% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4% 10/15/30 (d) | 809,000 | 656,556 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 645,000 | 560,108 | |
Caesars Entertainment, Inc. 8.125% 7/1/27 (d) | 3,460,000 | 3,399,346 | |
Carnival Corp.: | |||
5.75% 3/1/27 (d) | 700,000 | 545,573 | |
6% 5/1/29 (d) | 790,000 | 596,727 | |
6.65% 1/15/28 | 110,000 | 78,881 | |
7.625% 3/1/26 (d) | 2,810,000 | 2,388,500 | |
10.5% 6/1/30 (d) | 785,000 | 718,275 | |
Carrols Restaurant Group, Inc. 5.875% 7/1/29 (d) | 875,000 | 656,327 | |
CCM Merger, Inc. 6.375% 5/1/26 (d) | 1,450,000 | 1,362,663 | |
CDI Escrow Issuer, Inc. 5.75% 4/1/30 (d) | 1,260,000 | 1,167,377 | |
Cedar Fair LP 5.25% 7/15/29 | 420,000 | 382,334 | |
Cedar Fair LP/Canada's Wonderland Co. 5.375% 4/15/27 | 715,000 | 674,603 | |
Cirsa Finance International SARL 4.5% 3/15/27 (d) | EUR | 515,000 | 435,259 |
Dave & Buster's, Inc. 7.625% 11/1/25 (d) | 700,000 | 704,344 | |
Everi Holdings, Inc. 5% 7/15/29 (d) | 250,000 | 224,543 | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (d) | 2,055,000 | 1,675,729 | |
Garden SpinCo Corp. 8.625% 7/20/30 (d) | 115,000 | 122,475 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 486,000 | 496,935 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (d) | 1,750,000 | 1,412,801 | |
3.75% 5/1/29 (d) | 300,000 | 258,831 | |
4% 5/1/31 (d) | 930,000 | 785,988 | |
International Game Technology PLC: | |||
5.25% 1/15/29 (d) | 660,000 | 617,093 | |
6.25% 1/15/27 (d) | 1,610,000 | 1,576,689 | |
Jacobs Entertainment, Inc. 6.75% 2/15/29 (d) | 940,000 | 834,250 | |
Marriott International, Inc. 5.75% 5/1/25 | 8,000 | 8,226 | |
MGM China Holdings Ltd.: | |||
4.75% 2/1/27 (d) | 705,000 | 550,693 | |
5.375% 5/15/24 (d) | 400,000 | 352,000 | |
5.875% 5/15/26 (d) | 515,000 | 427,450 | |
MGM Resorts International: | |||
4.75% 10/15/28 | 1,973,000 | 1,734,262 | |
5.5% 4/15/27 | 384,000 | 355,577 | |
Midwest Gaming Borrower LLC / Midwest Gaming Financial Corp. 4.875% 5/1/29 (d) | 1,815,000 | 1,592,663 | |
Motion Bondco DAC 6.625% 11/15/27 (d) | 1,475,000 | 1,266,914 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (d) | 242,000 | 209,710 | |
5.875% 3/15/26 (d) | 790,000 | 638,830 | |
5.875% 2/15/27 (d) | 730,000 | 661,617 | |
7.75% 2/15/29 (d) | 1,020,000 | 828,826 | |
NCL Finance Ltd. 6.125% 3/15/28 (d) | 395,000 | 306,714 | |
Penn Entertainment, Inc. 5.625% 1/15/27 (d) | 1,650,000 | 1,509,255 | |
Premier Entertainment Sub LLC: | |||
5.625% 9/1/29 (d) | 485,000 | 358,231 | |
5.875% 9/1/31 (d) | 2,085,000 | 1,457,061 | |
Royal Caribbean Cruises Ltd.: | |||
4.25% 7/1/26 (d) | 640,000 | 491,692 | |
5.375% 7/15/27 (d) | 720,000 | 557,017 | |
5.5% 8/31/26 (d) | 1,800,000 | 1,438,812 | |
5.5% 4/1/28 (d) | 1,820,000 | 1,399,726 | |
9.125% 6/15/23 (d) | 5,000 | 5,050 | |
11.625% 8/15/27 (d) | 625,000 | 614,163 | |
Sands China Ltd.: | |||
4.875% 6/18/30 | 200,000 | 159,500 | |
5.9% 8/8/28 | 1,085,000 | 919,538 | |
Scientific Games Corp. 7.25% 11/15/29 (d) | 2,200,000 | 2,163,546 | |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (d) | 1,175,000 | 1,023,519 | |
Six Flags Entertainment Corp. 5.5% 4/15/27 (d) | 275,000 | 252,174 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (d) | 505,000 | 467,836 | |
Viking Cruises Ltd. 5.875% 9/15/27 (d) | 330,000 | 266,152 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | 845,000 | 690,585 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 630,000 | 532,350 | |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | 215,000 | 192,288 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | 540,000 | 487,042 | |
Wynn Macau Ltd.: | |||
5.125% 12/15/29 (d) | 875,000 | 595,000 | |
5.5% 1/15/26 (d) | 945,000 | 732,375 | |
5.5% 10/1/27 (d) | 2,265,000 | 1,630,800 | |
5.625% 8/26/28 (d) | 200,000 | 140,000 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | |||
5.125% 10/1/29 (d) | 475,000 | 398,516 | |
7.75% 4/15/25 (d) | 479,000 | 477,403 | |
Yum! Brands, Inc.: | |||
4.625% 1/31/32 | 430,000 | 379,892 | |
5.35% 11/1/43 | 845,000 | 730,925 | |
6.875% 11/15/37 | 1,170,000 | 1,230,063 | |
52,566,200 | |||
Household Durables - 0.7% | |||
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
4.625% 8/1/29 (d) | 400,000 | 313,929 | |
4.625% 4/1/30 (d) | 1,000,000 | 788,871 | |
6.625% 1/15/28 (d) | 25,000 | 22,443 | |
Beazer Homes U.S.A., Inc.: | |||
5.875% 10/15/27 | 125,000 | 102,813 | |
7.25% 10/15/29 | 2,900,000 | 2,485,045 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30 (d) | 1,079,000 | 830,706 | |
5% 6/15/29 (d) | 830,000 | 660,265 | |
6.25% 9/15/27 (d) | 1,578,000 | 1,402,282 | |
Castle UK Finco PLC: | |||
3 month EURIBOR + 5.250% 5.571% 5/15/28 (d)(g)(h) | EUR | 350,000 | 301,969 |
7% 5/15/29 (d) | GBP | 295,000 | 273,819 |
Century Communities, Inc.: | |||
3.875% 8/15/29 (d) | 25,000 | 20,094 | |
6.75% 6/1/27 | 300,000 | 294,181 | |
KB Home: | |||
4% 6/15/31 | 975,000 | 769,095 | |
4.8% 11/15/29 | 875,000 | 754,254 | |
M/I Homes, Inc. 4.95% 2/1/28 | 1,335,000 | 1,178,316 | |
STL Holding Co. LLC 7.5% 2/15/26 (d) | 1,250,000 | 1,100,000 | |
SWF Escrow Issuer Corp. 6.5% 10/1/29 (d) | 1,925,000 | 1,390,235 | |
TopBuild Corp. 4.125% 2/15/32 (d) | 625,000 | 514,749 | |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | 1,080,000 | 978,473 | |
14,181,539 | |||
Internet & Direct Marketing Retail - 0.4% | |||
Match Group Holdings II LLC: | |||
4.125% 8/1/30 (d) | 1,769,000 | 1,463,746 | |
4.625% 6/1/28 (d) | 500,000 | 445,000 | |
5% 12/15/27 (d) | 35,000 | 32,288 | |
5.625% 2/15/29 (d) | 160,000 | 149,425 | |
Millennium Escrow Corp. 6.625% 8/1/26 (d) | 545,000 | 442,276 | |
Photo Holdings Merger Sub, Inc. 8.5% 10/1/26 (d) | 1,340,000 | 1,000,666 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 3,484,000 | 2,996,328 | |
Uber Technologies, Inc. 8% 11/1/26 (d) | 765,000 | 772,859 | |
7,302,588 | |||
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
3.375% 4/1/26 (d) | 60,000 | 54,515 | |
3.75% 4/1/29 (d) | 570,000 | 507,870 | |
Vista Outdoor, Inc. 4.5% 3/15/29 (d) | 570,000 | 424,319 | |
986,704 | |||
Multiline Retail - 0.1% | |||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. 7.75% 2/15/26 (d) | 765,000 | 707,628 | |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 740,000 | 542,050 | |
4.375% 4/1/30 | 495,000 | 377,096 | |
1,626,774 | |||
Specialty Retail - 0.8% | |||
At Home Group, Inc.: | |||
4.875% 7/15/28 (d) | 250,000 | 183,083 | |
7.125% 7/15/29 (d) | 1,405,000 | 899,200 | |
Bath & Body Works, Inc.: | |||
6.625% 10/1/30 (d) | 780,000 | 708,599 | |
6.694% 1/15/27 | 400,000 | 389,160 | |
6.95% 3/1/33 | 365,000 | 299,868 | |
7.5% 6/15/29 | 230,000 | 221,214 | |
Carvana Co.: | |||
4.875% 9/1/29 (d) | 545,000 | 309,838 | |
5.5% 4/15/27 (d) | 440,000 | 285,186 | |
5.875% 10/1/28 (d) | 240,000 | 144,000 | |
Constellation Automotive Financing PLC 4.875% 7/15/27 (d) | GBP | 360,000 | 326,624 |
Foot Locker, Inc. 4% 10/1/29 (d) | 1,020,000 | 831,300 | |
Gap, Inc.: | |||
3.625% 10/1/29 (d) | 246,000 | 171,337 | |
3.875% 10/1/31 (d) | 1,325,000 | 918,907 | |
Jaguar Land Rover Automotive PLC: | |||
5.875% 1/15/28 (d) | 845,000 | 642,707 | |
7.75% 10/15/25 (d) | 550,000 | 503,792 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 1,515,000 | 1,132,100 | |
LCM Investments Holdings 4.875% 5/1/29 (d) | 1,310,000 | 1,093,594 | |
Metis Merger Sub LLC 6.5% 5/15/29 (d) | 2,310,000 | 1,986,653 | |
Michaels Companies, Inc. 7.875% 5/1/29 (d) | 220,000 | 146,300 | |
Park River Holdings, Inc. 5.625% 2/1/29 (d) | 3,800,000 | 2,755,743 | |
PetSmart, Inc. / PetSmart Finance Corp. 7.75% 2/15/29 (d) | 1,000,000 | 942,490 | |
Specialty Building Products Holdings LLC 6.375% 9/30/26 (d) | 665,000 | 599,051 | |
15,490,746 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
ASP Unifrax Holdings, Inc. 5.25% 9/30/28 (d) | 625,000 | 501,390 | |
Hanesbrands, Inc. 4.875% 5/15/26 (d) | 650,000 | 598,026 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (d) | 745,000 | 635,371 | |
Levi Strauss & Co. 3.5% 3/1/31 (d) | 615,000 | 516,557 | |
The William Carter Co. 5.625% 3/15/27 (d) | 200,000 | 193,126 | |
Wolverine World Wide, Inc. 4% 8/15/29 (d) | 3,270,000 | 2,661,778 | |
5,106,248 | |||
TOTAL CONSUMER DISCRETIONARY | 128,719,661 | ||
CONSUMER STAPLES - 0.8% | |||
Beverages - 0.1% | |||
Primo Water Holdings, Inc. 4.375% 4/30/29 (d) | 575,000 | 491,508 | |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 1,440,000 | 1,181,088 | |
1,672,596 | |||
Food & Staples Retailing - 0.3% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (d) | 1,100,000 | 903,980 | |
4.875% 2/15/30 (d) | 1,600,000 | 1,401,200 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 1,885,000 | 1,393,563 | |
Iceland Bondco PLC 4.625% 3/15/25 (Reg. S) | GBP | 670,000 | 563,907 |
New Albertsons LP 7.45% 8/1/29 | 615,000 | 603,361 | |
Performance Food Group, Inc. 5.5% 10/15/27 (d) | 124,000 | 116,886 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (d) | 370,000 | 319,125 | |
4.75% 2/15/29 (d) | 685,000 | 610,482 | |
5,912,504 | |||
Food Products - 0.3% | |||
B&G Foods, Inc. 5.25% 9/15/27 | 1,165,000 | 970,847 | |
Chobani LLC/Finance Corp., Inc.: | |||
4.625% 11/15/28 (d) | 100,000 | 87,513 | |
7.5% 4/15/25 (d) | 310,000 | 294,406 | |
Darling Ingredients, Inc. 6% 6/15/30 (d) | 820,000 | 821,033 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (d) | 200,000 | 200,000 | |
6.5% 4/15/29 (d) | 772,000 | 800,881 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30 (d) | 1,055,000 | 950,819 | |
4.375% 1/31/32 (d) | 350,000 | 309,786 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31 (d) | 1,175,000 | 999,067 | |
4.625% 4/15/30 (d) | 474,000 | 411,652 | |
5.5% 12/15/29 (d) | 239,000 | 219,021 | |
6,065,025 | |||
Household Products - 0.1% | |||
Diamond BC BV 4.625% 10/1/29 (d) | 640,000 | 545,638 | |
Energizer Holdings, Inc.: | |||
4.375% 3/31/29 (d) | 25,000 | 20,336 | |
4.75% 6/15/28 (d) | 559,000 | 465,055 | |
Spectrum Brands Holdings, Inc. 5.5% 7/15/30 (d) | 10,000 | 8,615 | |
1,039,644 | |||
Personal Products - 0.0% | |||
BellRing Brands, Inc. 7% 3/15/30 (d) | 780,000 | 744,892 | |
Tobacco - 0.0% | |||
Vector Group Ltd. 5.75% 2/1/29 (d) | 281,000 | 243,571 | |
TOTAL CONSUMER STAPLES | 15,678,232 | ||
ENERGY - 4.6% | |||
Energy Equipment & Services - 0.3% | |||
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (d) | 505,000 | 473,438 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 575,000 | 559,593 | |
Nabors Industries Ltd. 7.5% 1/15/28 (d) | 605,000 | 533,428 | |
Nabors Industries, Inc.: | |||
5.75% 2/1/25 | 2,000,000 | 1,843,660 | |
7.375% 5/15/27 (d) | 75,000 | 72,375 | |
Precision Drilling Corp.: | |||
6.875% 1/15/29 (d) | 25,000 | 22,970 | |
7.125% 1/15/26 (d) | 1,000,000 | 955,767 | |
Transocean Guardian Ltd. 5.875% 1/15/24 (d) | 507,513 | 480,868 | |
Transocean Pontus Ltd. 6.125% 8/1/25 (d) | 232,400 | 222,523 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (d) | 422,250 | 406,598 | |
Transocean, Inc.: | |||
7.5% 1/15/26 (d) | 36,000 | 27,742 | |
8% 2/1/27 (d) | 75,000 | 55,688 | |
11.5% 1/30/27 (d) | 500,000 | 481,953 | |
6,136,603 | |||
Oil, Gas & Consumable Fuels - 4.3% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (d) | 1,565,000 | 1,564,343 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 6/15/29 (d) | 21,000 | 19,255 | |
5.75% 1/15/28 (d) | 800,000 | 758,384 | |
Antero Resources Corp. 7.625% 2/1/29 (d) | 40,000 | 40,687 | |
Apache Corp. 4.25% 1/15/30 | 290,000 | 261,905 | |
Ascent Resources - Utica LLC/ARU Finance Corp. 7% 11/1/26 (d) | 411,000 | 399,698 | |
Athabasca Oil Corp. 9.75% 11/1/26 (d) | 791,000 | 838,460 | |
Cheniere Energy Partners LP 4% 3/1/31 | 1,010,000 | 885,013 | |
Chesapeake Energy Corp.: | |||
5.875% 2/1/29 (d) | 500,000 | 477,225 | |
6.75% 4/15/29 (d) | 2,685,000 | 2,621,364 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 995,000 | 991,617 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26 (d) | 676,000 | 643,347 | |
7% 6/15/25 (d) | 1,160,000 | 1,128,065 | |
CNX Resources Corp. 7.25% 3/14/27 (d) | 1,021,000 | 1,013,598 | |
Colgate Energy Partners III LLC: | |||
5.875% 7/1/29 (d) | 670,000 | 624,775 | |
7.75% 2/15/26 (d) | 25,000 | 24,978 | |
Comstock Resources, Inc.: | |||
5.875% 1/15/30 (d) | 1,435,000 | 1,312,901 | |
6.75% 3/1/29 (d) | 1,365,000 | 1,302,858 | |
Coronado Finance Pty Ltd. 10.75% 5/15/26 (d) | 923,000 | 959,920 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (d) | 979,000 | 912,918 | |
5.75% 4/1/25 | 648,000 | 624,526 | |
6% 2/1/29 (d) | 815,000 | 752,856 | |
CrownRock LP/CrownRock Finance, Inc.: | |||
5% 5/1/29 (d) | 1,000,000 | 918,447 | |
5.625% 10/15/25 (d) | 60,000 | 59,082 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (d) | 394,000 | 371,684 | |
5.75% 2/15/28 (d) | 677,000 | 616,070 | |
DCP Midstream Operating LP: | |||
5.625% 7/15/27 | 10,000 | 10,125 | |
6.75% 9/15/37 (d) | 865,000 | 917,955 | |
8.125% 8/16/30 | 570,000 | 642,105 | |
Delek Logistics Partners LP 7.125% 6/1/28 (d) | 665,000 | 621,310 | |
DT Midstream, Inc. 4.125% 6/15/29 (d) | 485,000 | 425,820 | |
Ecopetrol SA: | |||
5.875% 5/28/45 | 595,000 | 409,244 | |
6.875% 4/29/30 | 740,000 | 685,891 | |
EG Global Finance PLC: | |||
6.25% 10/30/25 (Reg. S) | EUR | 100,000 | 93,789 |
6.75% 2/7/25 (d) | 1,575,000 | 1,488,075 | |
8.5% 10/30/25 (d) | 1,364,000 | 1,273,703 | |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (d) | 1,990,000 | 1,962,936 | |
EnLink Midstream LLC 5.625% 1/15/28 (d) | 390,000 | 374,654 | |
EQM Midstream Partners LP: | |||
6% 7/1/25 (d) | 25,000 | 24,110 | |
6.5% 7/1/27 (d) | 760,000 | 733,589 | |
7.5% 6/1/27 (d) | 410,000 | 405,424 | |
7.5% 6/1/30 (d) | 410,000 | 407,052 | |
EQT Corp. 7% 2/1/30 | 1,260,000 | 1,348,307 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 323,000 | 295,616 | |
7% 8/1/27 | 387,000 | 365,639 | |
Golar LNG Ltd. 7% 10/20/25 (d) | 635,000 | 622,300 | |
Gulfport Energy Corp. 8% 5/17/26 (d) | 405,000 | 407,697 | |
Harvest Midstream I LP 7.5% 9/1/28 (d) | 240,000 | 227,073 | |
Hess Midstream Partners LP 5.125% 6/15/28 (d) | 620,000 | 575,825 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 2/1/29 (d) | 415,000 | 377,768 | |
6% 4/15/30 (d) | 425,000 | 391,268 | |
6% 2/1/31 (d) | 1,405,000 | 1,270,296 | |
6.25% 11/1/28 (d) | 2,290,000 | 2,163,913 | |
6.25% 4/15/32 (d) | 625,000 | 560,213 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 335,000 | 311,942 | |
Independence Energy Finance LLC 7.25% 5/1/26 (d) | 1,640,000 | 1,568,922 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (d) | 2,260,000 | 2,181,375 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (d) | 531,000 | 493,830 | |
7.125% 2/1/27 (d) | 702,000 | 709,371 | |
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(f) | 3,242,000 | 0 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | 275,000 | 232,298 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26 (d) | 3,035,000 | 2,875,207 | |
6.75% 9/15/25 (d) | 2,759,000 | 2,668,919 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | 3,015,000 | 2,758,725 | |
Occidental Petroleum Corp.: | |||
6.125% 1/1/31 | 655,000 | 680,715 | |
6.2% 3/15/40 | 940,000 | 954,100 | |
6.375% 9/1/28 | 680,000 | 710,235 | |
6.45% 9/15/36 | 145,000 | 154,960 | |
6.625% 9/1/30 | 120,000 | 128,196 | |
7.5% 5/1/31 | 1,315,000 | 1,481,209 | |
7.875% 9/15/31 | 700,000 | 806,785 | |
7.95% 6/15/39 | 1,225,000 | 1,451,502 | |
8.875% 7/15/30 | 1,155,000 | 1,349,271 | |
Parkland Corp.: | |||
4.5% 10/1/29 (d) | 250,000 | 211,533 | |
4.625% 5/1/30 (d) | 225,000 | 193,138 | |
Petroleos Mexicanos: | |||
6.625% 6/15/35 | 1,005,000 | 718,625 | |
7.69% 1/23/50 | 665,000 | 453,863 | |
Range Resources Corp.: | |||
4.75% 2/15/30 (d) | 1,260,000 | 1,167,403 | |
8.25% 1/15/29 | 520,000 | 545,844 | |
Rockcliff Energy II LLC 5.5% 10/15/29 (d) | 640,000 | 591,430 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (d) | 100,000 | 83,875 | |
4.95% 7/15/29 (d) | 520,000 | 469,024 | |
6.875% 4/15/40 (d) | 135,000 | 112,362 | |
7.5% 7/15/38 (d) | 1,550,000 | 1,354,641 | |
SM Energy Co. 5.625% 6/1/25 | 395,000 | 384,138 | |
Southwestern Energy Co.: | |||
4.75% 2/1/32 | 1,515,000 | 1,350,413 | |
5.375% 3/15/30 | 925,000 | 866,984 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 1,285,000 | 1,091,722 | |
4.5% 4/30/30 | 850,000 | 725,050 | |
5.875% 3/15/28 | 140,000 | 130,176 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28 (d) | 603,000 | 521,382 | |
6% 3/1/27 (d) | 2,365,000 | 2,158,063 | |
6% 12/31/30 (d) | 2,840,000 | 2,485,749 | |
6% 9/1/31 (d) | 2,345,000 | 2,051,875 | |
7.5% 10/1/25 (d) | 620,000 | 620,775 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29 | 540,000 | 551,832 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (d) | 430,000 | 375,175 | |
4.125% 8/15/31 (d) | 1,690,000 | 1,466,804 | |
Vermilion Energy, Inc. 6.875% 5/1/30 (d) | 785,000 | 762,439 | |
82,167,550 | |||
TOTAL ENERGY | 88,304,153 | ||
FINANCIALS - 2.8% | |||
Capital Markets - 0.4% | |||
AssuredPartners, Inc. 5.625% 1/15/29 (d) | 290,000 | 241,051 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 300,000 | 247,376 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28 (d) | 1,200,000 | 775,507 | |
3.625% 10/1/31 (d) | 900,000 | 547,952 | |
Hightower Holding LLC 6.75% 4/15/29 (d) | 805,000 | 676,568 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (d) | 1,100,000 | 996,699 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (d) | 1,100,000 | 940,049 | |
Lions Gate Capital Holdings LLC 5.5% 4/15/29 (d) | 460,000 | 364,338 | |
LPL Holdings, Inc.: | |||
4% 3/15/29 (d) | 530,000 | 469,273 | |
4.375% 5/15/31 (d) | 240,000 | 211,212 | |
MSCI, Inc.: | |||
3.25% 8/15/33 (d) | 970,000 | 769,884 | |
4% 11/15/29 (d) | 555,000 | 494,011 | |
VistaJet Malta Finance PLC / XO Management Holding, Inc.: | |||
6.375% 2/1/30 (d) | 695,000 | 597,700 | |
7.875% 5/1/27 (d) | 995,000 | 911,629 | |
8,243,249 | |||
Consumer Finance - 0.9% | |||
Bread Financial Holdings, Inc. 4.75% 12/15/24 (d) | 450,000 | 398,693 | |
Cobra AcquisitionCo LLC 6.375% 11/1/29 (d) | 630,000 | 459,900 | |
Ford Motor Credit Co. LLC: | |||
2.9% 2/10/29 | 670,000 | 542,198 | |
3.815% 11/2/27 | 330,000 | 290,466 | |
4.95% 5/28/27 | 815,000 | 765,142 | |
goeasy Ltd. 4.375% 5/1/26 (d) | 725,000 | 650,499 | |
LFS Topco LLC 5.875% 10/15/26 (d) | 775,000 | 630,956 | |
Navient Corp.: | |||
4.875% 3/15/28 | 630,000 | 514,612 | |
5% 3/15/27 | 950,000 | 813,313 | |
5.5% 3/15/29 | 1,845,000 | 1,494,519 | |
6.75% 6/15/26 | 700,000 | 663,838 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 1,130,000 | 932,691 | |
3.875% 9/15/28 | 1,115,000 | 869,700 | |
4% 9/15/30 | 300,000 | 223,529 | |
5.375% 11/15/29 | 3,170,000 | 2,625,426 | |
6.625% 1/15/28 | 1,751,000 | 1,600,878 | |
6.875% 3/15/25 | 490,000 | 476,292 | |
7.125% 3/15/26 | 1,184,000 | 1,113,807 | |
PROG Holdings, Inc. 6% 11/15/29 (d) | 1,000,000 | 837,200 | |
SLM Corp. 4.2% 10/29/25 | 495,000 | 453,885 | |
16,357,544 | |||
Diversified Financial Services - 0.7% | |||
Altus Midstream LP 5.875% 6/15/30 (d) | 1,885,000 | 1,793,219 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 | 800,000 | 680,424 | |
5.25% 5/15/27 | 1,246,000 | 1,132,303 | |
6.25% 5/15/26 | 1,695,000 | 1,624,886 | |
MidCap Financial Issuer Trust: | |||
5.625% 1/15/30 (d) | 465,000 | 354,786 | |
6.5% 5/1/28 (d) | 1,220,000 | 1,046,150 | |
MPH Acquisition Holdings LLC 5.5% 9/1/28 (d) | 350,000 | 298,375 | |
P&L Development LLC/PLD Finance Corp. 7.75% 11/15/25 (d) | 890,000 | 633,733 | |
Scientific Games Holdings LP/Scientific Games U.S. Finco, Inc. 6.625% 3/1/30 (d) | 775,000 | 689,212 | |
United Shore Financial Services LLC: | |||
5.5% 4/15/29 (d) | 525,000 | 408,408 | |
5.75% 6/15/27 (d) | 740,000 | 609,497 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25 (d) | 625,000 | 459,375 | |
9.5% 7/1/25 (d) | 825,000 | 812,625 | |
Verscend Escrow Corp. 9.75% 8/15/26 (d) | 1,490,000 | 1,504,289 | |
VMED O2 UK Financing I PLC: | |||
4.25% 1/31/31 (d) | 542,000 | 437,090 | |
4.75% 7/15/31 (d) | 1,850,000 | 1,522,781 | |
14,007,153 | |||
Insurance - 0.4% | |||
Acrisure LLC / Acrisure Finance, Inc. 10.125% 8/1/26 (d) | 1,440,000 | 1,440,654 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27 (d) | 879,000 | 791,777 | |
5.875% 11/1/29 (d) | 780,000 | 670,924 | |
6.75% 10/15/27 (d) | 1,351,000 | 1,227,113 | |
AmWINS Group, Inc. 4.875% 6/30/29 (d) | 680,000 | 591,618 | |
GTCR AP Finance, Inc. 8% 5/15/27 (d) | 795,000 | 770,201 | |
HUB International Ltd.: | |||
5.625% 12/1/29 (d) | 695,000 | 607,883 | |
7% 5/1/26 (d) | 1,180,000 | 1,156,111 | |
Ryan Specialty Group LLC 4.375% 2/1/30 (d) | 390,000 | 351,488 | |
7,607,769 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
Starwood Property Trust, Inc.: | |||
3.75% 12/31/24 (d) | 10,000 | 9,318 | |
4.375% 1/15/27 (d) | 765,000 | 680,850 | |
690,168 | |||
Thrifts & Mortgage Finance - 0.3% | |||
Enact Holdings, Inc. 6.5% 8/15/25 (d) | 1,100,000 | 1,050,500 | |
Freedom Mortgage Corp. 7.625% 5/1/26 (d) | 250,000 | 204,529 | |
Home Point Capital, Inc. 5% 2/1/26 (d) | 690,000 | 489,900 | |
LD Holdings Group LLC 6.125% 4/1/28 (d) | 1,400,000 | 743,563 | |
Nationstar Mortgage Holdings, Inc.: | |||
5.125% 12/15/30 (d) | 1,415,000 | 1,114,245 | |
5.5% 8/15/28 (d) | 1,068,000 | 892,818 | |
PennyMac Financial Services, Inc.: | |||
4.25% 2/15/29 (d) | 1,315,000 | 1,028,330 | |
5.375% 10/15/25 (d) | 585,000 | 535,275 | |
6,059,160 | |||
TOTAL FINANCIALS | 52,965,043 | ||
HEALTH CARE - 3.1% | |||
Biotechnology - 0.1% | |||
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | 997,000 | 697,900 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (d) | 720,000 | 600,228 | |
1,298,128 | |||
Health Care Equipment & Supplies - 0.5% | |||
AdaptHealth LLC: | |||
4.625% 8/1/29 (d) | 1,713,000 | 1,426,449 | |
5.125% 3/1/30 (d) | 440,000 | 375,650 | |
6.125% 8/1/28 (d) | 285,000 | 262,224 | |
Avantor Funding, Inc.: | |||
3.875% 11/1/29 (d) | 310,000 | 268,206 | |
4.625% 7/15/28 (d) | 1,025,000 | 932,627 | |
Embecta Corp.: | |||
5% 2/15/30 (d) | 1,200,000 | 1,052,112 | |
6.75% 2/15/30 (d) | 25,000 | 23,783 | |
Hologic, Inc.: | |||
3.25% 2/15/29 (d) | 785,000 | 669,177 | |
4.625% 2/1/28 (d) | 110,000 | 102,438 | |
Mozart Borrower LP: | |||
3.875% 4/1/29 (d) | 353,000 | 299,168 | |
5.25% 10/1/29 (d) | 5,495,000 | 4,618,108 | |
Teleflex, Inc. 4.25% 6/1/28 (d) | 270,000 | 245,306 | |
10,275,248 | |||
Health Care Providers & Services - 1.8% | |||
180 Medical, Inc. 3.875% 10/15/29 (d) | 480,000 | 417,885 | |
AMN Healthcare 4% 4/15/29 (d) | 1,572,000 | 1,351,920 | |
Cano Health, Inc. 6.25% 10/1/28 (d) | 550,000 | 493,956 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31 (d) | 615,000 | 454,116 | |
5.25% 5/15/30 (d) | 1,570,000 | 1,189,322 | |
5.625% 3/15/27 (d) | 515,000 | 436,717 | |
6% 1/15/29 (d) | 990,000 | 812,552 | |
6.125% 4/1/30 (d) | 2,260,000 | 1,400,522 | |
6.875% 4/15/29 (d) | 865,000 | 540,625 | |
8% 3/15/26 (d) | 245,000 | 229,075 | |
8% 12/15/27 (d) | 1,195,000 | 1,037,475 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31 (d) | 2,325,000 | 1,710,677 | |
4.625% 6/1/30 (d) | 3,362,000 | 2,706,544 | |
HCA Holdings, Inc. 7.69% 6/15/25 | 525,000 | 557,416 | |
HealthEquity, Inc. 4.5% 10/1/29 (d) | 240,000 | 211,090 | |
LifePoint Health, Inc. 6.75% 4/15/25 (d) | 79,000 | 77,546 | |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (d) | 435,000 | 383,600 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (d) | 605,000 | 523,658 | |
Option Care Health, Inc. 4.375% 10/31/29 (d) | 1,190,000 | 1,046,569 | |
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (d) | 600,000 | 511,482 | |
Prime Healthcare Services 7.25% 11/1/25 (d) | 1,400,000 | 1,239,000 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 1,525,000 | 1,136,417 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (d) | 1,373,000 | 1,308,270 | |
RegionalCare Hospital Partners Holdings, Inc. 5.375% 1/15/29 (d) | 1,000,000 | 758,010 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 575,000 | 513,279 | |
Select Medical Corp. 6.25% 8/15/26 (d) | 855,000 | 817,944 | |
Tenet Healthcare Corp.: | |||
4.25% 6/1/29 (d) | 3,425,000 | 2,953,532 | |
4.375% 1/15/30 (d) | 1,775,000 | 1,553,125 | |
4.625% 6/15/28 (d) | 714,000 | 649,022 | |
6.125% 10/1/28 (d) | 2,530,000 | 2,321,275 | |
6.125% 6/15/30 (d) | 2,205,000 | 2,117,021 | |
6.25% 2/1/27 (d) | 845,000 | 814,829 | |
6.875% 11/15/31 | 990,000 | 926,888 | |
33,201,359 | |||
Health Care Technology - 0.1% | |||
Minerva Merger Sub, Inc. 6.5% 2/15/30 (d) | 1,640,000 | 1,392,417 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (d) | 625,000 | 538,669 | |
4.25% 5/1/28 (d) | 70,000 | 64,153 | |
602,822 | |||
Pharmaceuticals - 0.6% | |||
Bausch Health Companies, Inc.: | |||
5% 1/30/28 (d) | 3,845,000 | 1,441,875 | |
5.25% 1/30/30 (d) | 3,247,000 | 1,201,390 | |
6.25% 2/15/29 (d) | 2,185,000 | 824,838 | |
7% 1/15/28 (d) | 550,000 | 211,750 | |
9% 12/15/25 (d) | 100,000 | 62,063 | |
Catalent Pharma Solutions 3.5% 4/1/30 (d) | 475,000 | 391,212 | |
Jazz Securities DAC 4.375% 1/15/29 (d) | 425,000 | 383,240 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (d) | 590,000 | 529,330 | |
5.125% 4/30/31 (d) | 1,660,000 | 1,452,500 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
4.75% 5/9/27 | 570,000 | 498,596 | |
5.125% 5/9/29 | 1,905,000 | 1,664,958 | |
6.75% 3/1/28 | 1,145,000 | 1,094,368 | |
7.125% 1/31/25 | 965,000 | 955,350 | |
Valeant Pharmaceuticals International, Inc.: | |||
8.5% 1/31/27 (d) | 594,000 | 285,120 | |
9.25% 4/1/26 (d) | 1,300,000 | 780,000 | |
11,776,590 | |||
TOTAL HEALTH CARE | 58,546,564 | ||
INDUSTRIALS - 4.2% | |||
Aerospace & Defense - 0.9% | |||
Bombardier, Inc.: | |||
6% 2/15/28 (d) | 250,000 | 221,014 | |
7.5% 12/1/24 (d) | 2,740,000 | 2,714,618 | |
7.5% 3/15/25 (d) | 3,365,000 | 3,291,441 | |
7.875% 4/15/27 (d) | 1,104,000 | 1,057,135 | |
BWX Technologies, Inc. 4.125% 6/30/28 (d) | 695,000 | 639,400 | |
Maxar Technologies, Inc. 7.75% 6/15/27 (d) | 1,055,000 | 1,047,088 | |
Moog, Inc. 4.25% 12/15/27 (d) | 692,000 | 633,422 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 475,000 | 464,507 | |
The Boeing Co. 5.93% 5/1/60 | 625,000 | 596,862 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 | 950,000 | 803,339 | |
5.5% 11/15/27 | 2,414,000 | 2,172,600 | |
6.25% 3/15/26 (d) | 2,625,000 | 2,579,063 | |
6.375% 6/15/26 | 175,000 | 168,000 | |
7.5% 3/15/27 | 700,000 | 682,500 | |
17,070,989 | |||
Airlines - 0.4% | |||
American Airlines, Inc. 11.75% 7/15/25 (d) | 1,910,000 | 2,110,560 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.: | |||
5.5% 4/20/26 (d) | 660,000 | 627,845 | |
5.75% 4/20/29 (d) | 3,175,000 | 2,866,200 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d) | 250,000 | 228,196 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 230,000 | 230,575 | |
United Airlines, Inc.: | |||
4.375% 4/15/26 (d) | 725,000 | 661,019 | |
4.625% 4/15/29 (d) | 1,490,000 | 1,307,475 | |
8,031,870 | |||
Building Products - 0.5% | |||
Advanced Drain Systems, Inc.: | |||
5% 9/30/27 (d) | 800,000 | 760,000 | |
6.375% 6/15/30 (d) | 300,000 | 290,257 | |
APi Group DE, Inc. 4.75% 10/15/29 (d) | 25,000 | 20,683 | |
BCPE Ulysses Intermediate, Inc. 7.75% 4/1/27 pay-in-kind (d)(g) | 175,000 | 129,839 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (d) | 575,000 | 458,985 | |
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (d) | 900,000 | 613,508 | |
Griffon Corp. 5.75% 3/1/28 | 800,000 | 740,000 | |
Jeld-Wen, Inc. 4.625% 12/15/25 (d) | 450,000 | 387,000 | |
Masonite International Corp. 3.5% 2/15/30 (d) | 400,000 | 322,961 | |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (d) | 475,000 | 390,107 | |
New Enterprise Stone & Lime Co., Inc. 5.25% 7/15/28 (d) | 840,000 | 746,495 | |
PGT Innovations, Inc. 4.375% 10/1/29 (d) | 885,000 | 748,565 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 2/15/28 (d) | 1,775,000 | 1,474,799 | |
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (d) | 2,670,000 | 2,120,047 | |
9,203,246 | |||
Commercial Services & Supplies - 1.1% | |||
ACCO Brands Corp. 4.25% 3/15/29 (d) | 910,000 | 758,585 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6% 6/1/29 (d) | 1,125,000 | 834,969 | |
6.625% 7/15/26 (d) | 1,764,000 | 1,651,616 | |
9.75% 7/15/27 (d) | 1,060,000 | 954,485 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28 (d) | 1,185,000 | 998,511 | |
4.625% 6/1/28 (d) | 1,015,000 | 850,504 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 1,314,000 | 1,064,340 | |
CoreCivic, Inc.: | |||
4.75% 10/15/27 | 90,000 | 75,697 | |
8.25% 4/15/26 | 1,660,000 | 1,641,061 | |
Covanta Holding Corp. 4.875% 12/1/29 (d) | 435,000 | 367,031 | |
GFL Environmental, Inc.: | |||
4.375% 8/15/29 (d) | 750,000 | 635,625 | |
4.75% 6/15/29 (d) | 1,530,000 | 1,327,275 | |
5.125% 12/15/26 (d) | 90,000 | 86,978 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | 515,000 | 469,938 | |
Madison IAQ LLC: | |||
4.125% 6/30/28 (d) | 2,165,000 | 1,856,488 | |
5.875% 6/30/29 (d) | 1,710,000 | 1,406,714 | |
Nielsen Finance LLC/Nielsen Finance Co. 5.625% 10/1/28 (d) | 409,000 | 409,933 | |
PowerTeam Services LLC 9.033% 12/4/25 (d) | 275,000 | 225,973 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc.: | |||
5.75% 4/15/26 (d) | 780,000 | 750,492 | |
6.25% 1/15/28 (d) | 900,000 | 792,389 | |
Staples, Inc.: | |||
7.5% 4/15/26 (d) | 1,290,000 | 1,090,127 | |
10.75% 4/15/27 (d) | 425,000 | 312,375 | |
Stericycle, Inc.: | |||
3.875% 1/15/29 (d) | 690,000 | 597,713 | |
5.375% 7/15/24 (d) | 155,000 | 151,676 | |
The GEO Group, Inc. 9.5% 12/31/28 (d) | 650,000 | 581,750 | |
Verde Bidco SpA 4.625% 10/1/26 (d) | EUR | 215,000 | 181,494 |
20,073,739 | |||
Construction & Engineering - 0.3% | |||
Amsted Industries, Inc. 4.625% 5/15/30 (d) | 965,000 | 856,438 | |
Cloud Crane LLC 10.125% 8/1/24 (d) | 1,812,000 | 1,707,810 | |
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) | 525,000 | 447,788 | |
Pike Corp. 5.5% 9/1/28 (d) | 1,349,000 | 1,115,234 | |
Railworks Holdings LP 8.25% 11/15/28 (d) | 640,000 | 590,400 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28 (d) | 395,000 | 349,637 | |
6% 12/1/29 (d) | 1,805,000 | 1,469,590 | |
6,536,897 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV: | |||
4% 4/15/29 (d) | 1,260,000 | 1,089,194 | |
5.875% 9/1/30 (d) | 785,000 | 767,322 | |
Wesco Distribution, Inc. 7.25% 6/15/28 (d) | 15,000 | 15,124 | |
1,871,640 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (d) | 360,000 | 305,046 | |
Machinery - 0.3% | |||
Hillenbrand, Inc.: | |||
3.75% 3/1/31 | 590,000 | 498,570 | |
5% 9/15/26 (g) | 25,000 | 24,259 | |
Mueller Water Products, Inc. 4% 6/15/29 (d) | 1,615,000 | 1,453,016 | |
Stevens Holding Co., Inc. 6.125% 10/1/26 (d) | 75,000 | 74,438 | |
Terex Corp. 5% 5/15/29 (d) | 435,000 | 389,195 | |
Titan International, Inc. 7% 4/30/28 | 25,000 | 23,750 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 2,091,000 | 1,871,445 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 1,435,000 | 1,305,850 | |
5,640,523 | |||
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (d) | 645,000 | 531,180 | |
Professional Services - 0.1% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 620,000 | 547,941 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) | 570,000 | 507,015 | |
Science Applications International Corp. 4.875% 4/1/28 (d) | 395,000 | 365,370 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 800,000 | 686,052 | |
2,106,378 | |||
Road & Rail - 0.1% | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 4.75% 4/1/28 (d) | 525,000 | 458,283 | |
Hertz Corp.: | |||
4.625% 12/1/26 (d) | 125,000 | 107,064 | |
5% 12/1/29 (d) | 800,000 | 643,512 | |
Watco Companies LLC / Watco Finance Corp. 6.5% 6/15/27 (d) | 855,000 | 819,612 | |
2,028,471 | |||
Trading Companies & Distributors - 0.4% | |||
Alta Equipment Group, Inc. 5.625% 4/15/26 (d) | 500,000 | 433,750 | |
Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (d) | 1,050,000 | 893,414 | |
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 900,000 | 726,118 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 2,805,000 | 2,369,888 | |
United Rentals North America, Inc.: | |||
3.75% 1/15/32 | 500,000 | 415,573 | |
3.875% 2/15/31 | 945,000 | 817,094 | |
4% 7/15/30 | 877,000 | 761,807 | |
4.875% 1/15/28 | 575,000 | 537,401 | |
6,955,045 | |||
Transportation Infrastructure - 0.0% | |||
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (d) | 490,000 | 422,948 | |
TOTAL INDUSTRIALS | 80,777,972 | ||
INFORMATION TECHNOLOGY - 1.8% | |||
Communications Equipment - 0.3% | |||
CommScope, Inc.: | |||
4.75% 9/1/29 (d) | 645,000 | 548,863 | |
6% 3/1/26 (d) | 170,000 | 160,667 | |
7.125% 7/1/28 (d) | 430,000 | 353,675 | |
8.25% 3/1/27 (d) | 340,000 | 291,385 | |
Hughes Satellite Systems Corp. 6.625% 8/1/26 | 1,925,000 | 1,821,531 | |
ViaSat, Inc.: | |||
5.625% 9/15/25 (d) | 550,000 | 483,041 | |
5.625% 4/15/27 (d) | 1,090,000 | 1,002,800 | |
Viavi Solutions, Inc. 3.75% 10/1/29 (d) | 455,000 | 390,425 | |
5,052,387 | |||
Electronic Equipment & Components - 0.1% | |||
II-VI, Inc. 5% 12/15/29 (d) | 845,000 | 752,363 | |
Likewize Corp. 9.75% 10/15/25 (d) | 1,310,000 | 1,250,622 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 935,000 | 808,777 | |
2,811,762 | |||
IT Services - 0.6% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 785,000 | 657,438 | |
Arches Buyer, Inc. 4.25% 6/1/28 (d) | 1,265,000 | 1,018,325 | |
Condor Merger Sub, Inc. 7.375% 2/15/30 (d) | 1,565,000 | 1,306,619 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (d) | 1,434,000 | 1,233,240 | |
3.75% 10/1/30 (d) | 585,000 | 501,638 | |
4.5% 7/1/28 (d) | 910,000 | 839,885 | |
GCI LLC 4.75% 10/15/28 (d) | 720,000 | 648,878 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29 (d) | 400,000 | 338,474 | |
5.25% 12/1/27 (d) | 245,000 | 230,300 | |
Presidio Holdings, Inc. 8.25% 2/1/28 (d) | 845,000 | 762,866 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28 (d) | 475,000 | 343,055 | |
5.375% 12/1/28 (d) | 2,495,000 | 1,375,991 | |
Sabre GLBL, Inc.: | |||
7.375% 9/1/25 (d) | 545,000 | 516,333 | |
9.25% 4/15/25 (d) | 780,000 | 768,526 | |
Twilio, Inc. 3.875% 3/15/31 | 1,110,000 | 895,692 | |
11,437,260 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Entegris Escrow Corp.: | |||
4.75% 4/15/29 (d) | 625,000 | 574,775 | |
5.95% 6/15/30 (d) | 3,420,000 | 3,244,999 | |
3,819,774 | |||
Software - 0.6% | |||
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 1,685,000 | 1,474,375 | |
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (d) | 2,045,000 | 1,958,312 | |
Clarivate Science Holdings Corp.: | |||
3.875% 7/1/28 (d) | 930,000 | 796,084 | |
4.875% 7/1/29 (d) | 685,000 | 566,221 | |
Elastic NV 4.125% 7/15/29 (d) | 725,000 | 613,517 | |
Fair Isaac Corp. 4% 6/15/28 (d) | 1,545,000 | 1,364,812 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 405,000 | 345,730 | |
MicroStrategy, Inc. 6.125% 6/15/28 (d) | 865,000 | 721,824 | |
NCR Corp.: | |||
5.125% 4/15/29 (d) | 1,425,000 | 1,330,622 | |
5.25% 10/1/30 (d) | 155,000 | 143,138 | |
Open Text Corp. 3.875% 2/15/28 (d) | 550,000 | 468,875 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp. 3.875% 2/1/29 (d) | 804,000 | 696,452 | |
10,479,962 | |||
TOTAL INFORMATION TECHNOLOGY | 33,601,145 | ||
MATERIALS - 3.2% | |||
Chemicals - 1.3% | |||
Avient Corp. 7.125% 8/1/30 (d) | 455,000 | 449,276 | |
CVR Partners LP 6.125% 6/15/28 (d) | 790,000 | 721,289 | |
Element Solutions, Inc. 3.875% 9/1/28 (d) | 427,000 | 370,956 | |
EverArc Escrow SARL 5% 10/30/29 (d) | 950,000 | 812,250 | |
Gpd Companies, Inc. 10.125% 4/1/26 (d) | 545,000 | 506,851 | |
GrafTech Finance, Inc. 4.625% 12/15/28 (d) | 1,080,000 | 921,482 | |
Iris Holding, Inc. 10% 12/15/28 (d) | 675,000 | 591,307 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26 (d) | 430,000 | 389,516 | |
7% 12/31/27 (d) | 2,160,000 | 1,782,000 | |
LSB Industries, Inc. 6.25% 10/15/28 (d) | 935,000 | 865,389 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 1,041,000 | 947,831 | |
5.25% 12/15/29 | 565,000 | 474,648 | |
5.65% 12/1/44 | 322,000 | 235,052 | |
NOVA Chemicals Corp.: | |||
4.25% 5/15/29 (d) | 615,000 | 505,838 | |
4.875% 6/1/24 (d) | 230,000 | 219,782 | |
5% 5/1/25 (d) | 200,000 | 188,099 | |
5.25% 6/1/27 (d) | 685,000 | 604,783 | |
Nufarm Australia Ltd. 5% 1/27/30 (d) | 510,000 | 423,300 | |
Olympus Water U.S. Holding Corp.: | |||
4.25% 10/1/28 (d) | 980,000 | 796,740 | |
6.25% 10/1/29 (d) | 805,000 | 607,775 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (d) | 755,000 | 706,018 | |
SCIL IV LLC / SCIL U.S.A. Holdings LLC 5.375% 11/1/26 (d) | 405,000 | 336,150 | |
SPCM SA 3.375% 3/15/30 (d) | 600,000 | 487,398 | |
The Chemours Co. LLC: | |||
4.625% 11/15/29 (d) | 1,635,000 | 1,348,875 | |
5.375% 5/15/27 | 350,000 | 322,826 | |
5.75% 11/15/28 (d) | 995,000 | 890,525 | |
The Scotts Miracle-Gro Co. 4% 4/1/31 | 1,425,000 | 1,070,346 | |
TPC Group, Inc.: | |||
10.5% 8/1/24 (d)(f) | 4,960,000 | 2,715,600 | |
10.875% 8/1/24 (c)(d)(f) | 911,763 | 916,322 | |
Tronox, Inc. 4.625% 3/15/29 (d) | 1,790,000 | 1,488,922 | |
Univar Solutions U.S.A., Inc. 5.125% 12/1/27 (d) | 720,000 | 669,600 | |
Valvoline, Inc. 4.25% 2/15/30 (d) | 129,000 | 125,762 | |
W.R. Grace Holding LLC 5.625% 8/15/29 (d) | 1,180,000 | 932,200 | |
24,424,708 | |||
Construction Materials - 0.2% | |||
Eco Material Technologies, Inc. 7.875% 1/31/27 (d) | 550,000 | 512,929 | |
SRM Escrow Issuer LLC 6% 11/1/28 (d) | 1,613,000 | 1,463,152 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29 (d) | 200,000 | 179,897 | |
6.5% 3/15/27 (d) | 1,000,000 | 993,213 | |
White Cap Buyer LLC 6.875% 10/15/28 (d) | 475,000 | 416,165 | |
3,565,356 | |||
Containers & Packaging - 0.5% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(g) | 1,463,279 | 1,132,653 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | |||
4% 9/1/29 (d) | 410,000 | 332,100 | |
6% 6/15/27 (d) | 1,230,000 | 1,205,563 | |
Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (d) | 220,000 | 211,181 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 870,000 | 747,078 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (d) | 550,000 | 472,714 | |
Intelligent Packaging Holdco I 9% 1/15/26 pay-in-kind (d)(g) | 1,066,000 | 880,516 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 937,000 | 801,522 | |
Owens-Brockway Glass Container, Inc. 6.375% 8/15/25 (d) | 650,000 | 627,250 | |
Pactiv Evergreen Group Issuer, Inc. 4.375% 10/15/28 (d) | 375,000 | 329,951 | |
Sealed Air Corp.: | |||
5% 4/15/29 (d) | 1,020,000 | 969,000 | |
6.875% 7/15/33 (d) | 425,000 | 433,785 | |
Trident Holdings, Inc. 9.25% 8/1/24 (d) | 400,000 | 371,833 | |
TriMas Corp. 4.125% 4/15/29 (d) | 75,000 | 65,813 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (d) | 344,000 | 330,240 | |
8.5% 8/15/27 (d) | 957,000 | 909,217 | |
9,820,416 | |||
Metals & Mining - 1.1% | |||
Arconic Corp. 6.125% 2/15/28 (d) | 980,000 | 919,905 | |
ATI, Inc.: | |||
4.875% 10/1/29 | 330,000 | 295,220 | |
5.125% 10/1/31 | 495,000 | 435,544 | |
5.875% 12/1/27 | 585,000 | 555,954 | |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (d) | 1,456,000 | 1,449,224 | |
Commercial Metals Co. 4.125% 1/15/30 | 360,000 | 314,854 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 210,000 | 199,968 | |
Eldorado Gold Corp. 6.25% 9/1/29 (d) | 1,205,000 | 963,623 | |
ERO Copper Corp. 6.5% 2/15/30 (d) | 1,600,000 | 1,185,000 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (d) | 1,685,000 | 1,668,150 | |
6.875% 10/15/27 (d) | 335,000 | 320,635 | |
7.5% 4/1/25 (d) | 206,000 | 203,296 | |
FMG Resources Pty Ltd.: | |||
4.5% 9/15/27 (d) | 370,000 | 338,012 | |
5.875% 4/15/30 (d) | 725,000 | 668,813 | |
Freeport-McMoRan, Inc.: | |||
5.4% 11/14/34 | 1,470,000 | 1,393,957 | |
5.45% 3/15/43 | 330,000 | 297,074 | |
Hecla Mining Co. 7.25% 2/15/28 | 2,275,000 | 2,163,634 | |
HudBay Minerals, Inc.: | |||
4.5% 4/1/26 (d) | 675,000 | 612,563 | |
6.125% 4/1/29 (d) | 1,949,000 | 1,715,591 | |
Kaiser Aluminum Corp.: | |||
4.5% 6/1/31 (d) | 310,000 | 244,072 | |
4.625% 3/1/28 (d) | 479,000 | 412,580 | |
Mineral Resources Ltd. 8.5% 5/1/30 (d) | 345,000 | 347,525 | |
New Gold, Inc. 7.5% 7/15/27 (d) | 1,420,000 | 1,072,100 | |
Novelis Corp. 4.75% 1/30/30 (d) | 755,000 | 656,850 | |
PMHC II, Inc. 9% 2/15/30 (d) | 765,000 | 557,296 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (d) | 740,000 | 664,150 | |
TMS International Corp. 6.25% 4/15/29 (d) | 325,000 | 226,688 | |
19,882,278 | |||
Paper & Forest Products - 0.1% | |||
Glatfelter Corp. 4.75% 11/15/29 (d) | 625,000 | 387,500 | |
LABL, Inc.: | |||
5.875% 11/1/28 (d) | 400,000 | 348,000 | |
8.25% 11/1/29 (d) | 1,475,000 | 1,192,906 | |
SPA Holdings 3 OY 4.875% 2/4/28 (d) | 775,000 | 629,603 | |
2,558,009 | |||
TOTAL MATERIALS | 60,250,767 | ||
REAL ESTATE - 1.6% | |||
Equity Real Estate Investment Trusts (REITs) - 0.9% | |||
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (d) | 675,000 | 571,885 | |
MGM Growth Properties Operating Partnership LP: | |||
3.875% 2/15/29 (d) | 950,000 | 878,750 | |
5.75% 2/1/27 | 660,000 | 660,000 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 500,000 | 374,830 | |
4.625% 8/1/29 | 195,000 | 166,130 | |
5% 10/15/27 | 1,520,000 | 1,365,471 | |
Park Intermediate Holdings LLC 4.875% 5/15/29 (d) | 565,000 | 496,925 | |
RHP Hotel Properties LP/RHP Finance Corp. 4.5% 2/15/29 (d) | 560,000 | 483,606 | |
SBA Communications Corp. 3.125% 2/1/29 | 640,000 | 527,312 | |
Senior Housing Properties Trust: | |||
4.375% 3/1/31 | 1,125,000 | 772,031 | |
4.75% 5/1/24 | 825,000 | 741,104 | |
9.75% 6/15/25 | 1,028,000 | 1,010,575 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28 (d) | 1,680,000 | 1,403,781 | |
6.5% 2/15/29 (d) | 3,980,000 | 3,032,282 | |
Uniti Group, Inc.: | |||
6% 1/15/30 (d) | 1,425,000 | 1,004,774 | |
7.875% 2/15/25 (d) | 1,875,000 | 1,852,303 | |
VICI Properties LP / VICI Note Co. 4.5% 1/15/28 (d) | 1,475,000 | 1,367,670 | |
16,709,429 | |||
Real Estate Management & Development - 0.7% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 1,095,000 | 1,085,419 | |
Five Point Operation Co. LP 7.875% 11/15/25 (d) | 1,369,000 | 1,195,415 | |
Forestar Group, Inc. 3.85% 5/15/26 (d) | 2,175,000 | 1,848,098 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (d) | 920,000 | 759,360 | |
4.375% 2/1/31 (d) | 2,420,000 | 1,935,201 | |
5.375% 8/1/28 (d) | 1,730,000 | 1,539,700 | |
Hunt Companies, Inc. 5.25% 4/15/29 (d) | 1,175,000 | 992,875 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 440,000 | 361,900 | |
Mattamy Group Corp. 4.625% 3/1/30 (d) | 2,150,000 | 1,742,133 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (d) | 3,388,000 | 2,907,209 | |
14,367,310 | |||
TOTAL REAL ESTATE | 31,076,739 | ||
UTILITIES - 1.5% | |||
Electric Utilities - 0.8% | |||
Clearway Energy Operating LLC: | |||
3.75% 2/15/31 (d) | 725,000 | 605,392 | |
4.75% 3/15/28 (d) | 265,000 | 248,106 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29 (d) | 195,000 | 160,189 | |
3.625% 2/15/31 (d) | 1,475,000 | 1,171,593 | |
3.875% 2/15/32 (d) | 500,000 | 396,250 | |
5.25% 6/15/29 (d) | 1,597,000 | 1,427,399 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 512,260 | 495,611 | |
Pattern Energy Operations LP 4.5% 8/15/28 (d) | 220,000 | 198,230 | |
PG&E Corp.: | |||
5% 7/1/28 | 1,615,000 | 1,434,063 | |
5.25% 7/1/30 | 5,080,000 | 4,391,660 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29 (d) | 1,725,000 | 1,503,855 | |
5% 7/31/27 (d) | 1,377,000 | 1,281,546 | |
5.625% 2/15/27 (d) | 2,072,000 | 1,994,300 | |
15,308,194 | |||
Gas Utilities - 0.2% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.75% 5/20/27 | 298,000 | 280,862 | |
5.875% 8/20/26 | 375,000 | 356,940 | |
Ferrellgas LP/Ferrellgas Finance Corp.: | |||
5.375% 4/1/26 (d) | 755,000 | 656,850 | |
5.875% 4/1/29 (d) | 1,735,000 | 1,414,025 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5% 6/1/31 (d) | 800,000 | 706,452 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) | 1,380,000 | 1,216,898 | |
4,632,027 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 715,000 | 639,926 | |
Calpine Corp.: | |||
4.5% 2/15/28 (d) | 765,000 | 699,768 | |
5% 2/1/31 (d) | 685,000 | 573,311 | |
5.125% 3/15/28 (d) | 7,429,000 | 6,597,742 | |
8,510,747 | |||
Water Utilities - 0.0% | |||
Solaris Midstream Holdings LLC 7.625% 4/1/26 (d) | 515,000 | 502,769 | |
TOTAL UTILITIES | 28,953,737 | ||
TOTAL NONCONVERTIBLE BONDS | 694,960,535 | ||
TOTAL CORPORATE BONDS | |||
(Cost $815,409,265) | 704,873,668 | ||
U.S. Treasury Obligations - 2.4% | |||
U.S. Treasury Bills, yield at date of purchase 2.22% 10/6/22 | $585,000 | 583,746 | |
U.S. Treasury Notes: | |||
2.5% 3/31/27 (i)(j) | $29,850,000 | $28,742,285 | |
2.625% 5/31/27 | 10,130,000 | 9,811,063 | |
2.75% 4/30/27 | 7,445,000 | 7,246,370 | |
TOTAL U.S. TREASURY OBLIGATIONS | |||
(Cost $47,210,509) | 46,383,464 | ||
Municipal Securities - 0.1% | |||
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2022, 0% 11/1/43 (g) | |||
(Cost $1,044,542) | 1,911,444 | 984,394 | |
Shares | Value | ||
Common Stocks - 1.2% | |||
COMMUNICATION SERVICES - 0.3% | |||
Wireless Telecommunication Services - 0.3% | |||
Intelsat Emergence SA (c) | 104,500 | $4,721,310 | |
Intelsat Jackson Holdings SA: | |||
Series A rights (c)(k) | 10,942 | 94,101 | |
Series B rights (c)(k) | 10,942 | 347,080 | |
5,162,491 | |||
ENERGY - 0.6% | |||
Energy Equipment & Services - 0.1% | |||
Jonah Energy Parent LLC (c)(k) | 29,131 | 2,048,492 | |
Oil, Gas & Consumable Fuels - 0.5% | |||
Chesapeake Energy Corp. | 53,962 | 5,422,641 | |
Chesapeake Energy Corp. (b)(k) | 644 | 64,716 | |
Civitas Resources, Inc. | 16,113 | 1,082,632 | |
Mesquite Energy, Inc. (c)(k) | 46,770 | 2,967,579 | |
9,537,568 | |||
TOTAL ENERGY | 11,586,060 | ||
HEALTH CARE - 0.1% | |||
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. (k) | 32,812 | 817,347 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Electronic Equipment & Components - 0.0% | |||
TE Connectivity Ltd. | 1,200 | 151,452 | |
IT Services - 0.0% | |||
GTT Communications, Inc. rights (c)(k) | 106,083 | 106,083 | |
TOTAL INFORMATION TECHNOLOGY | 257,535 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
TPC Group, Inc. rights (c)(k) | 2,592,104 | 26 | |
Metals & Mining - 0.0% | |||
Constellium NV (k) | 41,600 | 554,112 | |
TOTAL MATERIALS | 554,138 | ||
UTILITIES - 0.2% | |||
Gas Utilities - 0.2% | |||
Ferrellgas Partners LP Class B | 23,547 | 3,556,774 | |
TOTAL COMMON STOCKS | |||
(Cost $11,586,159) | 21,934,345 | ||
Convertible Preferred Stocks - 0.1% | |||
HEALTH CARE - 0.1% | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 6.50% | 12,400 | 622,480 | |
Life Sciences Tools & Services - 0.1% | |||
Danaher Corp. Series B, 5.00% | 650 | 913,358 | |
TOTAL HEALTH CARE | 1,535,838 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
NextEra Energy, Inc. 5.279% | 25,550 | 1,326,301 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $2,662,448) | 2,862,139 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 3.2% | |||
COMMUNICATION SERVICES - 0.2% | |||
Media - 0.1% | |||
Diamond Sports Group LLC: | |||
1LN, term loan CME Term SOFR 1 Month Index + 8.000% 10.3874% 5/25/26 (g)(h)(l) | 1,648,004 | 1,548,613 | |
2LN, term loan CME Term SOFR 1 Month Index + 3.250% 5.6374% 8/24/26 (g)(h)(l) | 1,715,490 | 311,241 | |
1,859,854 | |||
Wireless Telecommunication Services - 0.1% | |||
Xplornet Communications, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 4.000% 10/1/28 (h)(l)(m) | 1,585,015 | 1,461,194 | |
2LN, term loan 1 month U.S. LIBOR + 7.000% 9/30/29 (c)(h)(l)(m) | 325,000 | 299,000 | |
1,760,194 | |||
TOTAL COMMUNICATION SERVICES | 3,620,048 | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Hotels, Restaurants & Leisure - 0.2% | |||
City Football Group Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.484% 7/21/28 (g)(h)(l) | 3,124,300 | 2,994,110 | |
Household Durables - 0.1% | |||
Sunset Debt Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 9/17/28 (h)(l)(m) | 1,715,700 | 1,494,083 | |
Internet & Direct Marketing Retail - 0.1% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.1223% 3/5/28 (g)(h)(l) | 1,995,346 | 1,927,504 | |
Specialty Retail - 0.0% | |||
LBM Acquisition LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 7.1207% 12/18/27 (g)(h)(l) | 1,097,194 | 998,721 | |
TOTAL CONSUMER DISCRETIONARY | 7,414,418 | ||
ENERGY - 0.4% | |||
Oil, Gas & Consumable Fuels - 0.4% | |||
Ascent Resources - Utica LLC/ARU Finance Corp. 2LN, term loan 3 month U.S. LIBOR + 9.000% 11/1/25 (h)(l)(m) | 3,503,000 | 3,693,493 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 6.250% 8.7739% 3/28/24 (g)(h)(l) | 666,490 | 665,244 | |
EG America LLC Tranche B 1LN, term loan: | |||
1 month U.S. LIBOR + 4.250% 6.5004% 3/10/26 (g)(h)(l) | 859,827 | 839,672 | |
3 month U.S. LIBOR + 4.000% 6.2504% 2/6/25 (g)(h)(l) | 1,648,492 | 1,607,280 | |
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.2504% 2/6/25 (g)(h)(l) | 1,100,631 | 1,073,116 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(f)(h)(l) | 864,602 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% (c)(f)(h)(l) | 373,000 | 0 | |
Prairie ECI Acquiror LP 1LN, term loan 3 month U.S. LIBOR + 4.750% 3/11/26 (h)(l)(m) | 765,000 | 727,584 | |
8,606,389 | |||
FINANCIALS - 0.5% | |||
Insurance - 0.5% | |||
Asurion LLC Tranche B4 2LN, term loan 1 month U.S. LIBOR + 5.250% 7.7739% 1/20/29 (g)(h)(l) | 9,355,000 | 7,940,056 | |
HUB International Ltd. Tranche B, term loan 1 month U.S. LIBOR + 3.000% 5.77% 4/25/25 (g)(h)(l) | 693,212 | 677,905 | |
8,617,961 | |||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.0% | |||
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.35% 12/13/26 (g)(h)(l) | 54,582 | 53,218 | |
Health Care Technology - 0.1% | |||
Athenahealth Group, Inc.: | |||
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 5.7998% 2/15/29 (g)(h)(l) | 1,244,130 | 1,188,145 | |
Tranche DD 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 2/15/29 (h)(l)(n) | 210,870 | 201,380 | |
1,389,525 | |||
TOTAL HEALTH CARE | 1,442,743 | ||
INDUSTRIALS - 0.5% | |||
Airlines - 0.1% | |||
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 7.4599% 4/20/28 (g)(h)(l) | 915,000 | 899,372 | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.250% 7.3134% 7/2/27 (g)(h)(l) | 1,010,000 | 1,024,362 | |
1,923,734 | |||
Building Products - 0.1% | |||
Acproducts Holdings, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.250% 6.97% 5/17/28 (g)(h)(l) | 972,632 | 794,154 | |
Commercial Services & Supplies - 0.3% | |||
ABG Intermediate Holdings 2 LLC: | |||
Tranche B1 LN, term loan CME Term SOFR 1 Month Index + 3.500% 6.0553% 12/21/28 (g)(h)(l) | 1 | 1 | |
Tranche B2 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 4% 1/31/29 (g)(h)(l) | 1 | 1 | |
Tranche B3 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 4% 12/21/28 (g)(h)(l) | 1 | 1 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.9444% 6/21/24 (g)(h)(l) | 1,510,003 | 1,375,839 | |
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (g)(h)(l) | 5,165,348 | 4,205,626 | |
5,581,468 | |||
Professional Services - 0.0% | |||
CoreLogic, Inc. 2LN, term loan 0% 4/13/29 (g)(l) | 755,000 | 597,077 | |
TOTAL INDUSTRIALS | 8,896,433 | ||
INFORMATION TECHNOLOGY - 0.9% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7739% 4/4/26 (g)(h)(l) | 734,337 | 702,900 | |
IT Services - 0.2% | |||
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 9.25% 5/31/25 (g)(h)(l) | 3,708,841 | 2,866,118 | |
Verscend Holding Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.000% 6.3723% 8/27/25 (g)(h)(l) | 174,908 | 173,414 | |
3,039,532 | |||
Software - 0.7% | |||
Ascend Learning LLC: | |||
2LN, term loan 1 month U.S. LIBOR + 5.750% 8.2739% 12/10/29 (g)(h)(l) | 1,960,000 | 1,756,160 | |
Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.0239% 12/10/28 (g)(h)(l) | 1,858,219 | 1,768,634 | |
BMC Software, Inc. Tranche B 2LN, term loan 1 month U.S. LIBOR + 5.500% 3/23/26 (h)(l)(m) | 380,000 | 362,900 | |
Boxer Parent Co., Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 6.2739% 10/2/25 (g)(h)(l) | 245,599 | 236,553 | |
Central Parent, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 6.6095% 7/6/29 (g)(h)(l) | 130,000 | 126,551 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 10.6207% 6/13/25 (g)(h)(l) | 1,175,000 | 1,045,421 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.8707% 6/13/24 (g)(h)(l) | 908,192 | 847,916 | |
Proofpoint, Inc. 2LN, term loan 0% 5/27/29 (g)(l) | 520,000 | 507,000 | |
RealPage, Inc. 2LN, term loan 3 month U.S. LIBOR + 0.000% 2/17/29 (h)(l)(m) | 750,000 | 728,438 | |
Skillsoft Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 7/16/28 (h)(l)(m) | 1,910,550 | 1,835,084 | |
Ultimate Software Group, Inc.: | |||
1LN, term loan 1 month U.S. LIBOR + 3.250% 5.5351% 5/3/26 (g)(h)(l) | 1,530,050 | 1,480,048 | |
2LN, term loan 1 month U.S. LIBOR + 5.250% 7.5351% 5/3/27 (g)(h)(l) | 2,784,807 | 2,706,053 | |
13,400,758 | |||
TOTAL INFORMATION TECHNOLOGY | 17,143,190 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Consolidated Energy Finance SA Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 6.3633% 5/7/25 (c)(g)(h)(l) | 1,036,238 | 999,970 | |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.370% 8/3/29 (h)(l)(m) | 340,000 | 318,325 | |
TPC Group, Inc. 1LN, term loan NULL 0% 5/31/23 (c)(g)(l) | 620,795 | 606,646 | |
1,924,941 | |||
Containers & Packaging - 0.0% | |||
Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 6.7303% 4/13/29 (g)(h)(l) | 465,000 | 448,065 | |
TOTAL MATERIALS | 2,373,006 | ||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Retail Holdings VII Sub 3 LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 8/24/25 (h)(l)(m) | 771,367 | 758,508 | |
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 6.1905% 8/1/25 (g)(h)(l) | 300,000 | 294,900 | |
Heritage Power LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 4.750% 6/28/26 (h)(l)(m) | 1,651,509 | 654,873 | |
PG&E Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.000% 5.5625% 6/23/25 (g)(h)(l) | 890,507 | 872,145 | |
1,821,918 | |||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $67,309,593) | 60,694,614 | ||
Shares | Value | ||
Fixed-Income Funds - 53.8% | |||
High Yield Fixed-Income Funds - 53.8% | |||
Artisan High Income Fund Investor Shares | 28,902,664 | 255,499,521 | |
BlackRock High Yield Bond Portfolio Class K | 27,977,713 | 189,688,893 | |
Eaton Vance Income Fund of Boston Class A | 24,203,066 | 119,563,147 | |
Fidelity Capital & Income Fund (o) | 18,535,443 | 172,379,620 | |
MainStay High Yield Corporate Bond Fund Class A | 31,443,764 | 156,589,947 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 25,066,788 | 130,347,296 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | |||
(Cost $1,033,741,741) | 1,024,068,424 | ||
Principal Amount(a) | Value | ||
Preferred Securities - 0.3% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
DCP Midstream Partners LP 7.375% (g)(p) | 700,000 | 707,502 | |
FINANCIALS - 0.0% | |||
Banks - 0.0% | |||
Citigroup, Inc. 3.875% (g)(p) | 25,000 | 21,662 | |
UTILITIES - 0.3% | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Vistra Corp.: | |||
7% (d)(g)(p) | 1,775,000 | 1,663,953 | |
8% (d)(g)(p) | 3,520,000 | 3,477,346 | |
5,141,299 | |||
Multi-Utilities - 0.0% | |||
NiSource, Inc. 5.65% (g)(p) | 470,000 | 442,759 | |
TOTAL UTILITIES | 5,584,058 | ||
TOTAL PREFERRED SECURITIES | |||
(Cost $6,271,249) | 6,313,222 | ||
Shares | Value | ||
Money Market Funds - 1.3% | |||
Fidelity Cash Central Fund 2.33% (q) | 12,131,840 | 12,134,266 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 2.25% (r) | 13,064,473 | 13,064,473 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $25,198,594) | 25,198,739 | ||
TOTAL INVESTMENT IN SECURITIES - 99.4% | |||
(Cost $2,010,434,100) | 1,893,313,009 | ||
NET OTHER ASSETS (LIABILITIES) - 0.6% | 11,519,079 | ||
NET ASSETS - 100% | $1,904,832,088 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 173 | Dec. 2022 | $20,224,781 | $(144,546) | $(144,546) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 174 | Dec. 2022 | 36,249,094 | (82,429) | (82,429) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 19 | Dec. 2022 | 2,105,586 | (7,445) | (7,445) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 10 | Dec. 2022 | 1,358,438 | (11,459) | (11,459) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 1 | Dec. 2022 | 149,500 | (220) | (220) |
TOTAL FUTURES CONTRACTS | $(246,099) |
The notional amount of futures purchased as a percentage of Net Assets is 3.2%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 1,295,914 | GBP | 1,079,762 | HSBC Bank | 10/21/22 | $40,322 |
USD | 265,600 | EUR | 257,019 | HSBC Bank | 11/25/22 | 5,827 |
USD | 264,717 | EUR | 255,740 | JPMorgan Chase Bank, N.A. | 11/25/22 | 6,236 |
USD | 265,419 | EUR | 257,019 | JPMorgan Chase Bank, N.A. | 11/25/22 | 5,645 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $58,030 | |||||
Unrealized Appreciation | 58,030 |
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Sell Protection | |||||||||
5-Year CDX N.A. HY Series 38 | NR | Jun. 2027 | ICE | (5%) | Quarterly | $22,077,000 | $1,127,246 | $0 | $1,127,246 |
5-Year CDX N.A. HY Series 38 | NR | Jun. 2027 | ICE | 5% | Quarterly | 1,516,680 | 13,619 | 0 | 13,619 |
American Airlines Group, Inc. | NR | Jun. 2023 | ICE | 5% | Quarterly | 349,000 | 13,180 | 0 | 13,180 |
Community Health Systems, Inc. | Caa2 | Dec. 2026 | ICE | 5% | Quarterly | 784,000 | (306,704) | 0 | (306,704) |
Royal Caribbean Cruises Ltd. | B2 | Dec. 2023 | Citibank, N.A. | 5% | Quarterly | 860,000 | (30,882) | 10,484 | (20,398) |
TOTAL CREDIT DEFAULT SWAPS | $816,459 | $10,484 | $826,943 | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound sterling
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $6,875,528 or 0.4% of net assets.
(c) Level 3 security
(d) Security 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. At the end of the period, the value of these securities amounted to $566,338,507 or 29.7% of net assets.
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(f) Non-income producing - Security is in default.
(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $928,982.
(j) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,076,657.
(k) Non-income producing
(l) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(m) The coupon rate will be determined upon settlement of the loan after period end.
(n) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $210,870 and $201,380, respectively.
(o) Affiliated Fund
(p) Security is perpetual in nature with no stated maturity date.
(q) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(r) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Chesapeake Energy Corp. | 2/10/21 | $6,099 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 1/18/22 | $368,047 |
Mesquite Energy, Inc. 15% 7/15/23 | 11/5/20 - 1/18/22 | $635,565 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 2.33% | $1,012,831 | $249,826,033 | $238,704,598 | $75,800 | $-- | $-- | $12,134,266 | 0.0% |
Total | $1,012,831 | $249,826,033 | $238,704,598 | $75,800 | $-- | $-- | $12,134,266 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Capital & Income Fund | $504,966,112 | $19,721,239 | $305,656,208 | $19,720,347 | $(4,971,170) | $(41,680,353) | $172,379,620 |
Total | $504,966,112 | $19,721,239 | $305,656,208 | $19,720,347 | $(4,971,170) | $(41,680,353) | $172,379,620 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | $5,162,491 | $-- | $-- | $5,162,491 |
Energy | 11,586,060 | 6,569,989 | -- | 5,016,071 |
Health Care | 2,353,185 | 817,347 | 1,535,838 | -- |
Information Technology | 257,535 | 151,452 | -- | 106,083 |
Materials | 554,138 | 554,112 | -- | 26 |
Utilities | 4,883,075 | 3,556,774 | 1,326,301 | -- |
Corporate Bonds | 704,873,668 | -- | 697,146,533 | 7,727,135 |
U.S. Government and Government Agency Obligations | 45,799,718 | -- | 45,799,718 | -- |
Municipal Securities | 984,394 | -- | 984,394 | -- |
Bank Loan Obligations | 60,694,614 | -- | 58,788,998 | 1,905,616 |
Fixed-Income Funds | 1,024,068,424 | 1,024,068,424 | -- | -- |
Preferred Securities | 6,313,222 | -- | 6,313,222 | -- |
Money Market Funds | 25,198,739 | 25,198,739 | -- | -- |
Other Short-Term Investments | 583,746 | -- | 583,746 | -- |
Total Investments in Securities: | $1,893,313,009 | $1,060,916,837 | $812,478,750 | $19,917,422 |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $1,154,045 | $-- | $1,154,045 | $-- |
Forward Foreign Currency Contracts | 58,030 | -- | 58,030 | -- |
Total Assets | $1,212,075 | $-- | $1,212,075 | $-- |
Liabilities | ||||
Futures Contracts | $(246,099) | $(246,099) | $-- | $-- |
Swaps | (337,586) | -- | (337,586) | -- |
Total Liabilities | $(583,685) | $(246,099) | $(337,586) | $-- |
Total Derivative Instruments: | $628,390 | $(246,099) | $874,489 | $-- |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
Investments in Securities: | |
Beginning Balance | $14,647,753 |
Net Realized Gain (Loss) on Investment Securities | (1,005) |
Net Unrealized Gain (Loss) on Investment Securities | 3,422,079 |
Cost of Purchases | 606,646 |
Proceeds of Sales | (68,287) |
Amortization/Accretion | 8,837 |
Transfers into Level 3 | 1,301,399 |
Transfers out of Level 3 | -- |
Ending Balance | $19,917,422 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2022 | $3,422,079 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation{s} are included in Net Gain (Loss) on the Fund's Statement of Operations.
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Swaps(a),(b) | $1,154,045 | $(337,586) |
Total Credit Risk | 1,154,045 | (337,586) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts(c) | 58,030 | 0 |
Total Foreign Exchange Risk | 58,030 | 0 |
Interest Rate Risk | ||
Futures Contracts(d) | 0 | (246,099) |
Total Interest Rate Risk | 0 | (246,099) |
Total Value of Derivatives | $1,212,075 | $(583,685) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2022 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,848,250,808) | $1,708,799,123 | |
Fidelity Central Funds (cost $12,134,121) | 12,134,266 | |
Other affiliated issuers (cost $150,049,171) | 172,379,620 | |
Total Investment in Securities (cost $2,010,434,100) | $1,893,313,009 | |
Foreign currency held at value (cost $5,500) | 5,529 | |
Receivable for investments sold | ||
Regular delivery | 2,262,476 | |
Delayed delivery | 4,019,979 | |
Unrealized appreciation on forward foreign currency contracts | 58,030 | |
Receivable for fund shares sold | 417,935 | |
Dividends receivable | 153,517 | |
Interest receivable | 13,333,498 | |
Distributions receivable from Fidelity Central Funds | 20,857 | |
Receivable for daily variation margin on centrally cleared OTC swaps | 62,813 | |
Prepaid expenses | 7,448 | |
Other receivables | 50,785 | |
Total assets | 1,913,705,876 | |
Liabilities | ||
Payable to custodian bank | $3,363,392 | |
Payable for investments purchased | 4,148,684 | |
Payable for fund shares redeemed | 925,962 | |
Distributions payable | 50,805 | |
Bi-lateral OTC swaps, at value | 30,882 | |
Accrued management fee | 243,000 | |
Payable for daily variation margin on futures contracts | 27,867 | |
Other payables and accrued expenses | 83,196 | |
Total liabilities | 8,873,788 | |
Net Assets | $1,904,832,088 | |
Net Assets consist of: | ||
Paid in capital | $2,164,245,526 | |
Total accumulated earnings (loss) | (259,413,438) | |
Net Assets | $1,904,832,088 | |
Net Asset Value, offering price and redemption price per share ($1,904,832,088 ÷ 227,962,950 shares) | $8.36 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended August 31, 2022 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $33,887,087 | |
Affiliated issuers | 6,098,565 | |
Interest | 38,469,429 | |
Income from Fidelity Central Funds | 75,800 | |
Total income | 78,530,881 | |
Expenses | ||
Management fee | $5,241,179 | |
Custodian fees and expenses | 24,443 | |
Independent trustees' fees and expenses | 9,701 | |
Registration fees | 33,019 | |
Audit | 23,695 | |
Legal | 133,066 | |
Miscellaneous | 14,304 | |
Total expenses before reductions | 5,479,407 | |
Expense reductions | (3,332,326) | |
Total expenses after reductions | 2,147,081 | |
Net investment income (loss) | 76,383,800 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (112,740,481) | |
Affiliated issuers | (4,971,170) | |
Forward foreign currency contracts | 426,808 | |
Foreign currency transactions | (44,931) | |
Futures contracts | (3,317,444) | |
Swaps | 2,131,578 | |
Capital gain distributions from underlying funds: | ||
Affiliated issuers | 13,621,782 | |
Total net realized gain (loss) | (104,893,858) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (167,348,820) | |
Affiliated issuers | (41,680,353) | |
Forward foreign currency contracts | 22,151 | |
Assets and liabilities in foreign currencies | (54,019) | |
Futures contracts | (849,154) | |
Swaps | 789,175 | |
Total change in net unrealized appreciation (depreciation) | (209,121,020) | |
Net gain (loss) | (314,014,878) | |
Net increase (decrease) in net assets resulting from operations | $(237,631,078) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended August 31, 2022 (Unaudited) | Year ended February 28, 2022 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $76,383,800 | $285,882,081 |
Net realized gain (loss) | (104,893,858) | 107,535,532 |
Change in net unrealized appreciation (depreciation) | (209,121,020) | (224,312,910) |
Net increase (decrease) in net assets resulting from operations | (237,631,078) | 169,104,703 |
Distributions to shareholders | (72,284,714) | (310,897,061) |
Share transactions | ||
Proceeds from sales of shares | 107,376,845 | 765,129,942 |
Reinvestment of distributions | 71,867,742 | 308,906,328 |
Cost of shares redeemed | (2,122,908,680) | (3,977,874,695) |
Net increase (decrease) in net assets resulting from share transactions | (1,943,664,093) | (2,903,838,425) |
Total increase (decrease) in net assets | (2,253,579,885) | (3,045,630,783) |
Net Assets | ||
Beginning of period | 4,158,411,973 | 7,204,042,756 |
End of period | $1,904,832,088 | $4,158,411,973 |
Other Information | ||
Shares | ||
Sold | 12,295,360 | 79,497,393 |
Issued in reinvestment of distributions | 8,298,083 | 32,119,064 |
Redeemed | (242,309,996) | (414,020,862) |
Net increase (decrease) | (221,716,553) | (302,404,405) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Income Opportunities Fund
Six months ended (Unaudited) August 31, | Years endedFebruary 28, | |||||
2022 | 2022 | 2021 | 2020 A | 2019 | 2018 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $9.25 | $9.58 | $9.32 | $9.34 | $9.53 | $9.57 |
Income from Investment Operations | ||||||
Net investment income (loss)B,C | .251 | .440 | .473 | .515 | .513 | .489 |
Net realized and unrealized gain (loss) | (.904) | (.279) | .241 | (.001) | (.222) | (.050) |
Total from investment operations | (.653) | .161 | .714 | .514 | .291 | .439 |
Distributions from net investment income | (.237) | (.461) | (.454) | (.530) | (.469) | (.479) |
Distributions from net realized gain | – | (.030) | – | (.004) | (.012) | – |
Total distributions | (.237) | (.491) | (.454) | (.534) | (.481) | (.479) |
Net asset value, end of period | $8.36 | $9.25 | $9.58 | $9.32 | $9.34 | $9.53 |
Total ReturnD,E | (7.10)% | 1.61% | 8.05% | 5.57% | 3.21% | 4.66% |
Ratios to Average Net AssetsC,F,G | ||||||
Expenses before reductions | .41%H | .38% | .39% | .34% | .36% | .38% |
Expenses net of fee waivers, if any | .16%H | .13% | .14% | .09% | .11% | .13% |
Expenses net of all reductions | .16%H | .13% | .14% | .09% | .11% | .13% |
Net investment income (loss) | 5.68%H | 4.57% | 5.10% | 5.44% | 5.49% | 5.09% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $1,904,832 | $4,158,412 | $7,204,043 | $2,042,054 | $2,642,485 | $3,047,435 |
Portfolio turnover rateI | 21%H | 33% | 43% | 40% | 22% | 33% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended August 31, 2022
1. Organization.
Strategic Advisers Income Opportunities Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to certain managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – unadjusted quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.
Asset Type | Fair Value | Valuation Technique(s) | Unobservable Input | Amount or Range/Weighted Average | Impact to Valuation from an Increase in Input(a) |
Equities | $ 10,284,671 | Recovery value | Recovery value | $0.00 -$1.00/$1.00 | Increase |
Market comparable | Enterprise value/EBITDA multiple (EV/EBITDA) | 3.0 – 6.0/4.5 | Increase | ||
Daily production multiple ($/Million cubic feet per day | $2,750.00 | Increase | |||
Daily production multiple ($/Barrels of oil equivalent per day) | $26,000.00 | Increase | |||
Enterprise value/PV-10 multiple (EV/PV10) | 0.4 -0.9/0.7 | Increase | |||
Enterprise value/Proved reserves multiple (EV/PR) | 0.6 – 6.5/4.1 | Increase | |||
Discounted cash flow | Discount rate | 8.0% - 10.0%/9.0% | Decrease | ||
Term | 1.3 | Increase | |||
Corporate Bonds | $7,727,135 | Recovery value | Recovery value | $0.00 | Increase |
Indicative market price | Evaluated bid | $100.50 | Increase | ||
Market comparable | Enterprise value/EBITDA multiple (EV/EBITDA) | 3.0 | Increase | ||
Daily production multiple ($/Barrels of oil equivalent per day) | $26,000.00 | Increase | |||
Enterprise value/PV-10 multiple (EV/PV10) | 0.9 | Increase | |||
Enterprise value/Proved reserves multiple (EV/PR) | 6.5 | Increase | |||
Discounted cash flow | Discount rate | 10.0% | Decrease | ||
Bank Loan Obligations | $1,905,616 | Market approach | Transaction price | $97.72 | Increase |
Recovery value | Recovery value | $0.00 | Increase | ||
Indicative market price | Evaluated bid | $92.00 - $96.50/$95.46 | Increase |
(a) Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2022, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from any underlying mutual funds or exchange-traded funds (ETFs) are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
Strategic Advisers Income Opportunities Fund | $50,785 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, swaps, foreign currency transactions, market discount, partnerships, equity-debt classifications and contingent interest, certain conversion ratio adjustments, deferred Trustees compensation, capital loss carryforwards and losses deferred due to wash sales and futures contracts.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $54,324,821 |
Gross unrealized depreciation | (168,390,479) |
Net unrealized appreciation (depreciation) | $(114,065,658) |
Tax cost | $2,008,007,057 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Long-term | $(37,163,038) |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Investment objectives allow a fund to enter into various types of derivative contracts, including futures contracts, forward foreign currency contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Strategic Advisers Income Opportunities Fund | ||
Credit Risk | ||
Swaps | $2,131,578 | $789,175 |
Total Credit Risk | 2,131,578 | 789,175 |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | 426,808 | 22,151 |
Total Foreign Exchange Risk | 426,808 | 22,151 |
Interest Rate Risk | ||
Futures Contracts | (3,317,444) | (849,154) |
Total Interest Rate Risk | (3,317,444) | (849,154) |
Totals | $(759,058) | $(37,828) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Strategic Advisers Income Opportunities Fund | 238,619,031 | 2,199,511,486 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .75% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .39% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Adviser. FIAM LLC (an affiliate of the investment adviser), PGIM, Inc. and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
Amount | |
Strategic Advisers Income Opportunities Fund | $3,230 |
8. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2025. During the period, this waiver reduced the Fund's management fee by $ 3,332,326.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2022 to August 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2022 | Ending Account Value August 31, 2022 | Expenses Paid During Period-B March 1, 2022 to August 31, 2022 | |
Strategic Advisers Income Opportunities Fund | .16% | |||
Actual | $1,000.00 | $929.00 | $.78 | |
Hypothetical-C | $1,000.00 | $1,024.40 | $.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
SRQ-SANN-1022
1.912883.112
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase 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 were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Rutland Square Trust II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’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) | (1) | Not applicable. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
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.
Fidelity Rutland Square Trust II
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | October 20, 2022 |
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 persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | October 20, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | October 20, 2022 |