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: 811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: June 30
Date of reporting period: December 31, 2022
Item 1. Reports to Shareholders.
(a) The Reports to Shareholders are attached herewith.
SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
SPDR Nuveen Municipal Bond ESG ETF |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-064060/g422341img9496f4411.jpg)
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
7 | |
8 | |
9 | |
10 | |
11 | |
12 | |
13 | |
Schedules of Investments (Unaudited) | |
15 | |
17 | |
19 | |
21 | |
27 | |
40 | |
44 | |
48 | |
50 | |
52 | |
57 | |
69 | |
108 | |
121 | |
133 | |
144 |
Description | % of Net Assets | ||
SPDR S&P Global Natural Resources ETF | 26.6% | ||
SPDR S&P Global Infrastructure ETF | 24.9 | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 21.7 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 10.2 | ||
The Energy Select Sector SPDR Fund | 5.7 | ||
TOTAL | 89.1% |
% of Net Assets | |||
Natural Resources | 29.6% | ||
International Equity | 25.2 | ||
Commodities | 21.7 | ||
Inflation Linked | 10.2 | ||
Domestic Equity | 5.7 | ||
Real Estate | 2.5 | ||
International Fixed Income | 2.4 | ||
Short Term Investments | 9.8 | ||
Liabilities in Excess of Other Assets | (7.1) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Long Term Treasury ETF | 15.7% | ||
SPDR S&P International Dividend ETF | 12.9 | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 12.1 | ||
SPDR Blackstone Senior Loan ETF | 10.1 | ||
SPDR Bloomberg High Yield Bond ETF | 9.0 | ||
TOTAL | 59.8% |
% of Net Assets | |||
Domestic Fixed Income | 42.3% | ||
International Equity | 20.9 | ||
International Fixed Income | 17.1 | ||
Domestic Equity | 14.5 | ||
Inflation Linked | 3.0 | ||
Real Estate | 2.0 | ||
Short Term Investments | 8.0 | ||
Liabilities in Excess of Other Assets | (7.8) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Developed World ex-US ETF | 18.9% | ||
SPDR S&P 500 ETF Trust | 13.0 | ||
SPDR Portfolio Aggregate Bond ETF | 12.0 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 6.0 | ||
Vanguard FTSE Pacific ETF | 5.0 | ||
TOTAL | 54.9% |
% of Net Assets | |||
International Equity | 35.9% | ||
Domestic Fixed Income | 23.5 | ||
Domestic Equity | 22.0 | ||
International Fixed Income | 6.0 | ||
Inflation Linked | 6.0 | ||
Commodities | 3.1 | ||
Real Estate | 1.0 | ||
Short Term Investments | 21.5 | ||
Liabilities in Excess of Other Assets | (19.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Bill Zero Coupon, 1/10/2023 | 15.6% | ||
U.S. Treasury Bill Zero Coupon, 1/5/2023 | 7.2 | ||
U.S. Treasury Notes 0.25% 9/30/2023 | 6.5 | ||
Ford Credit Floorplan Master Owner Trust ABS 4.82% 9/15/2025 | 2.1 | ||
Ford Credit Floorplan Master Owner Trust 2.44% 9/15/2026 | 1.9 | ||
TOTAL | 33.3% |
% of Net Assets | |||
Corporate Bonds & Notes | 51.0% | ||
U.S. Treasury Obligations | 29.3 | ||
Asset-Backed Securities | 6.8 | ||
Commercial Mortgage Backed Securities | 2.9 | ||
Mortgage-Backed Securities | 2.7 | ||
Short-Term Investment | 6.3 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
OneMain Direct Auto Receivables Trust ABS 0.87% 7/14/2028 | 1.7% | ||
Credit Suisse AG 4.75% 8/9/2024 | 1.5 | ||
UniCredit SpA 7.30% 4/2/2034 | 1.4 | ||
HSBC Holdings PLC 8.11% 11/3/2033 | 1.3 | ||
HSBC Holdings PLC 4.18% 12/9/2025 | 1.2 | ||
TOTAL | 7.1% |
�� | % of Net Assets | ||
Asset-Backed Securities | 4.6% | ||
Commercial Mortgage Backed Securities | 0.3 | ||
Banks | 20.1 | ||
Internet | 4.2 | ||
Insurance | 4.1 | ||
Media | 4.1 | ||
Commercial Services | 3.7 | ||
Retail | 3.6 | ||
Electric | 3.5 | ||
Auto Manufacturers | 3.3 | ||
Oil & Gas | 2.9 | ||
Telecommunications | 2.8 | ||
Diversified Financial Services | 2.7 | ||
Investment Company Security | 2.7 | ||
Pipelines | 2.4 | ||
Chemicals | 2.2 | ||
Semiconductors | 2.0 | ||
Commercial Mortgage-Backed Securities | 2.0 | ||
Airlines | 1.7 | ||
Real Estate Investment Trusts | 1.6 | ||
Software | 1.4 | ||
Aerospace & Defense | 1.4 | ||
Food | 1.3 | ||
Entertainment | 1.2 | ||
Beverages | 1.2 | ||
Lodging | 1.1 | ||
Home Builders | 1.0 | ||
Mining | 1.0 | ||
Oil & Gas Services | 1.0 | ||
Health Care Services | 0.9 | ||
Computers | 0.8 | ||
Pharmaceuticals | 0.8 | ||
Leisure Time | 0.8 | ||
Iron/Steel | 0.7 | ||
Building Materials | 0.7 | ||
Packaging & Containers | 0.6 | ||
Energy-Alternate Sources | 0.6 | ||
Advertising | 0.6 | ||
Health Care Products | 0.5 | ||
Engineering & Construction | 0.4 | ||
Biotechnology | 0.4 | ||
Electronics | 0.3 | ||
Machinery, Construction & Mining | 0.3 | ||
Forest Products & Paper | 0.3 | ||
Transportation | 0.3 | ||
Home Furnishings | 0.3 | ||
Coal | 0.3 | ||
Miscellaneous Manufacturer | 0.2 | ||
Construction Materials | 0.2 |
% of Net Assets | |||
Electrical Components & Equipment | 0.2% | ||
Cosmetics/Personal Care | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Food Service | 0.1 | ||
Machinery-Diversified | 0.1 | ||
Environmental Control | 0.1 | ||
Gas | 0.0 | ||
Other Assets in Excess of Liabilities | 4.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
New Jersey Economic Development Authority Revenue | 2.7% | ||
State of Florida Department of Transportation | 2.6 | ||
City of New York, NY, General Obligation | 2.5 | ||
Medford Hospital Facilities Authority Revenue | 2.5 | ||
New Mexico Hospital Equipment Loan Council | 2.5 | ||
TOTAL | 12.8% |
% of Net Assets | |||
Municipal Bonds & Notes | 92.5% | ||
Short-Term Investment | 3.6 | ||
Other Assets in Excess of Liabilities | 3.9 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Massachusetts Clean Water Trust | 2.4% | ||
Energy Northwest, WA, Revenue Class A | 2.4 | ||
City of Charlotte NC Water & Sewer System Revenue | 2.3 | ||
California, State General Obligation | 2.2 | ||
Medford Hospital Facilities Authority | 2.2 | ||
TOTAL | 11.5% |
% of Net Assets | |||
Municipal Bonds & Notes | 93.2% | ||
Short-Term Investment | 3.4 | ||
Other Assets in Excess of Liabilities | 3.4 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Mortgage Backed Bond ETF | 29.5% | ||
SPDR Portfolio Intermediate Term Treasury ETF | 28.9 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 15.0 | ||
SPDR Portfolio Long Term Treasury ETF | 14.1 | ||
SPDR Portfolio Long Term Corporate Bond ETF | 6.8 | ||
TOTAL | 94.3% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 18.2 | ||
Liabilities in Excess of Other Assets | (18.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
The Financial Select Sector SPDR Fund | 20.8% | ||
The Technology Select Sector SPDR Fund | 18.2 | ||
The Consumer Staples Select Sector SPDR Fund | 15.5 | ||
The Health Care Select Sector SPDR Fund | 15.1 | ||
The Industrial Select Sector SPDR Fund | 9.6 | ||
TOTAL | 79.2% |
% of Net Assets | |||
Domestic Equity | 99.6% | ||
Short Term Investments | 26.6 | ||
Liabilities in Excess of Other Assets | (26.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Minejesa Capital B.V. 5.63% 8/10/2037 | 3.0% | ||
Galaxy Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 | 2.7 | ||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 | 2.7 | ||
Temasek Financial I Ltd. 1.00% 10/6/2030 | 2.4 | ||
Dominican Republic International Bond 4.88% 9/23/2032 | 2.3 | ||
TOTAL | 13.1% |
% of Net Assets | |||
Corporate Bonds & Notes | 69.3% | ||
Foreign Government Obligations | 29.1 | ||
Short-Term Investment | 0.2 | ||
Other Assets in Excess of Liabilities | 1.4 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Bill 4.12% 2/9/2023 | 17.2% | ||
U.S. Treasury Notes 4.25% 10/15/2025 | 7.1 | ||
U.S. Treasury Notes 3.00% 7/15/2025 | 3.8 | ||
Citigroup Mortgage Loan Trust CMO 3.59% 7/25/2037 | 1.9 | ||
Luminent Mortgage Trust CMO 4.71% 11/25/2036 | 1.8 | ||
TOTAL | 31.8% |
% of Net Assets | |||
U.S. Treasury Obligations | 28.1% | ||
Asset-Backed Securities | 23.0 | ||
Corporate Bonds & Notes | 14.9 | ||
Mortgage-Backed Securities | 10.3 | ||
U.S. Government Agency Obligations | 7.1 | ||
Senior Floating Rate Loans | 6.3 | ||
Commercial Mortgage Backed Securities | 5.6 | ||
Foreign Government Obligations | 0.5 | ||
Short-Term Investment | 3.6 | ||
Other Assets in Excess of Liabilities | 0.6 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Notes 4.13% 11/15/2032 | 12.3% | ||
U.S. Treasury Bonds 3.00% 8/15/2052 | 7.0 | ||
U.S. Treasury Bonds 4.00% 11/15/2052 | 5.2 | ||
Federal Home Loan Mortgage Corp. CMO, REMIC 4.00% 7/15/2044 | 1.2 | ||
Securitized Asset-Backed Receivables LLC Trust 4.57% 5/25/2037 | 1.2 | ||
TOTAL | 26.9% |
% of Net Assets | |||
U.S. Treasury Obligations | 28.2% | ||
U.S. Government Agency Obligations | 26.8 | ||
Asset-Backed Securities | 10.7 | ||
Mortgage-Backed Securities | 9.9 | ||
Commercial Mortgage Backed Securities | 4.9 | ||
Foreign Government Obligations | 0.8 | ||
Banks | 1.9 | ||
Electric | 0.8 | ||
Oil & Gas | 0.8 | ||
Diversified Financial Services | 0.7 | ||
Retail | 0.7 | ||
Telecommunications | 0.6 | ||
Commercial Services | 0.6 | ||
Pipelines | 0.6 | ||
Software | 0.5 | ||
Media | 0.5 | ||
Health Care Services | 0.5 | ||
Insurance | 0.4 | ||
Real Estate Investment Trusts | 0.4 | ||
Chemicals | 0.4 | ||
Internet | 0.3 | ||
Pharmaceuticals | 0.3 | ||
Food | 0.3 | ||
Entertainment | 0.3 | ||
Mining | 0.2 | ||
Semiconductors | 0.2 | ||
Packaging & Containers | 0.2 | ||
Beverages | 0.2 | ||
Electronics | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Transportation | 0.2 | ||
Auto Manufacturers | 0.2 | ||
Miscellaneous Manufacturer | 0.1 | ||
Leisure Time | 0.1 | ||
Lodging | 0.1 | ||
Building Materials | 0.1 | ||
Agriculture | 0.1 | ||
Airlines | 0.1 | ||
Machinery-Diversified | 0.1 | ||
Biotechnology | 0.1 | ||
Forest Products & Paper | 0.1 | ||
Advertising | 0.1 | ||
Iron/Steel | 0.1 | ||
Water | 0.1 | ||
IT Services | 0.1 | ||
Investment Company Security | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Construction Materials | 0.1 | ||
Auto Parts & Equipment | 0.1 |
% of Net Assets | |||
Computers | 0.1% | ||
Home Builders | 0.1 | ||
Health Care Products | 0.1 | ||
Environmental Control | 0.0* | ||
Household Products & Wares | 0.0* | ||
Energy-Alternate Sources | 0.0* | ||
Cosmetics/Personal Care | 0.0* | ||
Engineering & Construction | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Housewares | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Coal | 0.0* | ||
Trucking & Leasing | 0.0* | ||
Real Estate | 0.0* | ||
Update Category Library | 0.0* | ||
Household Products | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
Home Furnishings | 0.0* | ||
Hand & Machine Tools | 0.0* | ||
Short-Term Investment | 3.9 | ||
Other Assets in Excess of Liabilities | 0.6 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.3% | ||||||
COMMODITIES — 21.7% | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 9,303,192 | $ 137,501,178 | ||||
DOMESTIC EQUITY — 5.7% | ||||||
The Energy Select Sector SPDR Fund (a)(b) | 412,441 | 36,076,214 | ||||
INFLATION LINKED — 10.2% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (a) | 3,484,996 | 64,298,176 | ||||
INTERNATIONAL EQUITY — 25.2% | ||||||
SPDR S&P Global Infrastructure ETF (a)(b) | 3,003,846 | 157,461,607 | ||||
VanEck Vectors Agribusiness ETF (b) | 18,497 | 1,587,783 | ||||
159,049,390 | ||||||
INTERNATIONAL FIXED INCOME — 2.4% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (a) | 372,365 | 15,341,438 | ||||
NATURAL RESOURCES — 29.6% | ||||||
SPDR S&P Global Natural Resources ETF (a)(b) | 2,953,956 | 168,434,571 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 374,553 | 18,656,485 | ||||
187,091,056 | ||||||
REAL ESTATE — 2.5% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 111,178 | 2,976,235 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 145,604 | 12,689,389 | ||||
15,665,624 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $638,663,056) | 615,023,076 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 9.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 16,786,567 | $ 16,786,567 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 45,511,787 | 45,511,787 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $62,298,354) | $ 62,298,354 | |||||
TOTAL INVESTMENTS — 107.1% (Cost $700,961,410) | 677,321,430 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.1)% | (45,177,130) | |||||
NET ASSETS — 100.0% | $ 632,144,300 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $615,023,076 | $— | $— | $615,023,076 | ||||
Short-Term Investments | 62,298,354 | — | — | 62,298,354 | ||||
TOTAL INVESTMENTS | $677,321,430 | $— | $— | $677,321,430 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 2,036,829 | $ 39,636,692 | $ 36,841,600 | $ 9,707,435 | $ (391,075) | $ (2,081,606) | 3,484,996 | $ 64,298,176 | $1,196,217 | ||||||||
SPDR Dow Jones International Real Estate ETF | 90,476 | 2,553,233 | 1,081,690 | 555,201 | (28,988) | (74,499) | 111,178 | 2,976,235 | 61,748 | ||||||||
SPDR Dow Jones REIT ETF | 369,583 | 35,139,952 | 8,166,857 | 28,924,158 | (4,672,066) | 2,978,804 | 145,604 | 12,689,389 | 354,888 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 55,737 | 2,521,542 | 14,162,368 | 611,855 | (14,293) | (716,324) | 372,365 | 15,341,438 | 228,842 | ||||||||
SPDR S&P Global Infrastructure ETF | 2,215,734 | 118,408,825 | 69,513,960 | 28,665,470 | (1,004,621) | (791,087) | 3,003,846 | 157,461,607 | 2,546,399 | ||||||||
SPDR S&P Global Natural Resources ETF | 2,278,511 | 118,687,638 | 65,537,108 | 27,085,429 | (1,145,852) | 12,441,106 | 2,953,956 | 168,434,571 | 3,757,015 | ||||||||
SPDR S&P Metals & Mining ETF | 293,310 | 12,729,654 | 8,370,879 | 4,540,795 | 152,938 | 1,943,809 | 374,553 | 18,656,485 | 189,593 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 8,773,651 | 8,773,651 | 48,685,151 | 40,672,235 | — | — | 16,786,567 | 16,786,567 | 453,357 | ||||||||
State Street Navigator Securities Lending Portfolio II | 48,571,637 | 48,571,637 | 610,131,893 | 613,191,743 | — | — | 45,511,787 | 45,511,787 | 112,604 | ||||||||
The Energy Select Sector SPDR Fund | 271,581 | 19,420,757 | 21,048,397 | 9,466,348 | 863,972 | 4,209,436 | 412,441 | 36,076,214 | 597,541 | ||||||||
Total | $406,443,581 | $883,539,903 | $763,420,669 | $(6,239,985) | $17,909,639 | $538,232,469 | $9,498,204 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC EQUITY — 14.5% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 88,800 | $ 1,730,712 | ||||
iShares Mortgage Real Estate ETF (a) | 151,920 | 3,447,065 | ||||
SPDR ICE Preferred Securities ETF (b) | 158,837 | 5,213,030 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (a)(b) | 54,747 | 2,166,886 | ||||
12,557,693 | ||||||
DOMESTIC FIXED INCOME — 42.3% | ||||||
Schwab US Dividend Equity ETF | 28,732 | 2,170,415 | ||||
SPDR Blackstone Senior Loan ETF (a)(b) | 213,095 | 8,715,586 | ||||
SPDR Bloomberg Convertible Securities ETF (a)(b) | 67,660 | 4,353,244 | ||||
SPDR Bloomberg High Yield Bond ETF (b) | 87,149 | 7,843,410 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 469,300 | 13,623,779 | ||||
36,706,434 | ||||||
INFLATION LINKED — 3.0% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 141,473 | 2,610,177 | ||||
INTERNATIONAL EQUITY — 20.9% | ||||||
SPDR S&P Global Infrastructure ETF (a)(b) | 131,653 | 6,901,250 | ||||
SPDR S&P International Dividend ETF (b) | 347,055 | 11,216,818 | ||||
18,118,068 | ||||||
INTERNATIONAL FIXED INCOME — 17.1% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (b) | 508,036 | 10,445,220 | ||||
SPDR Bloomberg International Corporate Bond ETF (b) | 156,901 | 4,349,296 | ||||
14,794,516 | ||||||
REAL ESTATE — 2.0% | ||||||
SPDR Dow Jones REIT ETF (b) | 19,875 | 1,732,106 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $95,591,198) | 86,518,994 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 8.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 143,821 | $ 143,821 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 6,784,842 | 6,784,842 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,928,663) | $ 6,928,663 | |||||
TOTAL INVESTMENTS — 107.8% (Cost $102,519,861) | 93,447,657 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.8)% | (6,745,213) | |||||
NET ASSETS — 100.0% | $ 86,702,444 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $86,518,994 | $— | $— | $86,518,994 | ||||
Short-Term Investments | 6,928,663 | — | — | 6,928,663 | ||||
TOTAL INVESTMENTS | $93,447,657 | $— | $— | $93,447,657 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 478,391 | $ 19,920,201 | $ 5,205,961 | $ 16,060,881 | $(1,730,926) | $1,381,231 | 213,095 | $ 8,715,586 | $ 666,126 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | — | — | 2,610,640 | — | — | (463) | 141,473 | 2,610,177 | — | ||||||||
SPDR Bloomberg Convertible Securities ETF | 44,018 | 2,841,802 | 2,381,848 | 867,718 | 59,602 | (62,290) | 67,660 | 4,353,244 | 38,561 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 471,277 | 9,637,615 | 3,743,679 | 2,921,008 | (374,096) | 359,030 | 508,036 | 10,445,220 | 286,295 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 20,953 | 1,900,647 | 10,430,187 | 4,045,881 | (524,844) | 83,301 | 87,149 | 7,843,410 | 167,882 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 4,348,511 | — | — | 785 | 156,901 | 4,349,296 | — | ||||||||
SPDR Dow Jones REIT ETF | — | — | 1,732,842 | — | — | (736) | 19,875 | 1,732,106 | — | ||||||||
SPDR ICE Preferred Securities ETF | 135,451 | 4,855,918 | 2,325,015 | 1,591,940 | (135,039) | (240,924) | 158,837 | 5,213,030 | 159,281 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 99,847 | 2,405,314 | 3,723,704 | 6,154,027 | (503,367) | 528,376 | — | — | 40,580 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 410,560 | 13,577,219 | 8,240,979 | 6,663,890 | (1,486,141) | (44,388) | 469,300 | 13,623,779 | 169,012 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 309,596 | 12,355,976 | 8,415,059 | 18,796,710 | (302,475) | 495,036 | 54,747 | 2,166,886 | 150,958 | ||||||||
SPDR S&P Global Infrastructure ETF | 144,598 | 7,727,317 | 1,820,398 | 2,507,131 | (13,387) | (125,947) | 131,653 | 6,901,250 | 114,527 | ||||||||
SPDR S&P International Dividend ETF | 250,835 | 8,606,149 | 11,741,420 | 8,398,315 | (1,043,058) | 310,622 | 347,055 | 11,216,818 | 306,863 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,843,857 | 3,843,857 | 11,554,700 | 15,254,736 | — | — | 143,821 | 143,821 | 66,681 | ||||||||
State Street Navigator Securities Lending Portfolio II | 30,179,720 | 30,179,720 | 109,915,691 | 133,310,569 | — | — | 6,784,842 | 6,784,842 | 190,904 | ||||||||
Total | $117,851,735 | $188,190,634 | $216,572,806 | $(6,053,731) | $2,683,633 | $86,099,465 | $2,357,670 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.5% | ||||||
COMMODITIES — 3.1% | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 479,240 | $ 7,083,167 | ||||
DOMESTIC EQUITY — 22.0% | ||||||
SPDR Portfolio S&P 600 Small Cap ETF (a) | 62,915 | 2,325,967 | ||||
SPDR S&P 500 ETF Trust (a) | 79,255 | 30,309,490 | ||||
SPDR S&P MidCap 400 ETF Trust (a)(b) | 10,511 | 4,654,166 | ||||
The Consumer Staples Select Sector SPDR Fund (a)(b) | 62,386 | 4,650,876 | ||||
The Energy Select Sector SPDR Fund (a)(b) | 26,854 | 2,348,919 | ||||
The Financial Select Sector SPDR Fund (a)(b) | 136,278 | 4,660,708 | ||||
The Materials Select Sector SPDR Fund (a)(b) | 29,850 | 2,318,748 | ||||
51,268,874 | ||||||
DOMESTIC FIXED INCOME — 23.5% | ||||||
SPDR Blackstone Senior Loan ETF (a)(b) | 85,908 | 3,513,637 | ||||
SPDR Bloomberg High Yield Bond ETF (a) | 13,009 | 1,170,810 | ||||
SPDR Bloomberg International Treasury Bond ETF (a) | 516,638 | 11,588,190 | ||||
SPDR Portfolio Aggregate Bond ETF (a)(b) | 1,111,720 | 27,937,524 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a) | 82,520 | 2,330,365 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 279,170 | 8,104,305 | ||||
54,644,831 | ||||||
INFLATION LINKED — 6.0% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (a)(b) | 759,113 | 14,005,635 | ||||
INTERNATIONAL EQUITY — 35.9% | ||||||
SPDR Portfolio Developed World ex-US ETF (a)(b) | 1,482,487 | 44,015,039 | ||||
SPDR Portfolio Emerging Markets ETF (a)(b) | 350,421 | 11,549,876 | ||||
SPDR Portfolio Europe ETF (a) | 266,436 | 9,242,665 | ||||
SPDR S&P International Small Cap ETF (a) | 236,909 | 6,967,494 | ||||
Vanguard FTSE Pacific ETF (b) | 180,239 | 11,598,380 | ||||
83,373,454 |
Security Description | Shares | Value | ||||
INTERNATIONAL FIXED INCOME — 6.0% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (a) | 340,898 | $ 7,008,863 | ||||
SPDR Bloomberg International Corporate Bond ETF (a) | 252,613 | 7,002,432 | ||||
14,011,295 | ||||||
REAL ESTATE — 1.0% | ||||||
SPDR Dow Jones International Real Estate ETF (a) | 43,575 | 1,166,503 | ||||
SPDR Dow Jones REIT ETF (a) | 13,349 | 1,163,365 | ||||
2,329,868 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $222,467,610) | 226,717,124 | |||||
SHORT-TERM INVESTMENTS — 21.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 4,808,444 | 4,808,444 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 45,214,621 | 45,214,621 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $50,023,065) | $ 50,023,065 | |||||
TOTAL INVESTMENTS — 119.0% (Cost $272,490,675) | 276,740,189 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (19.0)% | (44,183,555) | |||||
NET ASSETS — 100.0% | $ 232,556,634 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $226,717,124 | $— | $— | $226,717,124 | ||||
Short-Term Investments | 50,023,065 | — | — | 50,023,065 | ||||
TOTAL INVESTMENTS | $276,740,189 | $— | $— | $276,740,189 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 202,281 | $ 8,422,981 | $ 1,605,404 | $ 6,362,957 | $ (651,005) | $ 499,214 | 85,908 | $ 3,513,637 | $ 297,135 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 867,998 | 16,891,241 | 3,513,120 | 5,492,154 | (503,824) | (402,748) | 759,113 | 14,005,635 | 481,768 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 296,971 | 6,073,057 | 1,855,862 | 958,561 | (79,259) | 117,764 | 340,898 | 7,008,863 | 190,131 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 4,937,155 | 3,610,067 | (160,636) | 4,358 | 13,009 | 1,170,810 | 19,239 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 7,001,169 | — | — | 1,263 | 252,613 | 7,002,432 | — | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 418,602 | 9,694,823 | 12,478,484 | 10,247,159 | (1,330,481) | 992,523 | 516,638 | 11,588,190 | 126,539 | ||||||||
SPDR Dow Jones International Real Estate ETF | 43,111 | 1,216,593 | 1,185,879 | 1,222,192 | (227,955) | 214,178 | 43,575 | 1,166,503 | — | ||||||||
SPDR Dow Jones REIT ETF | 42 | 3,993 | 1,163,859 | 4,013 | (60) | (414) | 13,349 | 1,163,365 | — | ||||||||
SPDR Portfolio Aggregate Bond ETF | 231,832 | 6,108,773 | 43,397,529 | 20,954,291 | (728,800) | 114,313 | 1,111,720 | 27,937,524 | 149,218 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,740,818 | 50,205,191 | 6,458,640 | 13,887,909 | (468,747) | 1,707,864 | 1,482,487 | 44,015,039 | 515,608 | ||||||||
SPDR Portfolio Emerging Markets ETF | 422,956 | 14,706,180 | 2,634,352 | 5,120,272 | (921,022) | 250,638 | 350,421 | 11,549,876 | 276,255 | ||||||||
SPDR Portfolio Europe ETF | — | — | 13,560,742 | 4,962,694 | 74,404 | 570,213 | 266,436 | 9,242,665 | 53,467 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 373,341 | 11,002,359 | 5,814,064 | 14,035,827 | (338,537) | (111,694) | 82,520 | 2,330,365 | 54,449 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 443,258 | 14,658,542 | 9,489,401 | 14,339,727 | (3,415,281) | 1,711,370 | 279,170 | 8,104,305 | 161,821 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 374,403 | 13,471,020 | 3,196,957 | 14,517,071 | (816,367) | 991,428 | 62,915 | 2,325,967 | 36,421 | ||||||||
SPDR S&P 500 ETF Trust | 80,272 | 30,282,612 | 26,167,590 | 27,275,530 | 563,868 | 570,950 | 79,255 | 30,309,490 | 210,885 | ||||||||
SPDR S&P International Small Cap ETF | 254,837 | 7,372,435 | 1,168,150 | 1,736,769 | (221,080) | 384,758 | 236,909 | 6,967,494 | 92,706 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 11,823 | 4,888,692 | 728,729 | 1,329,352 | 140,841 | 225,256 | 10,511 | 4,654,166 | 36,646 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,863,750 | 11,863,750 | 42,240,584 | 49,295,890 | — | — | 4,808,444 | 4,808,444 | 308,475 | ||||||||
State Street Navigator Securities Lending Portfolio II | 36,578,077 | 36,578,077 | 601,570,842 | 592,934,298 | — | — | 45,214,621 | 45,214,621 | 264,192 | ||||||||
The Consumer Staples Select Sector SPDR Fund | — | — | 4,905,144 | 144,447 | (3,091) | (106,730) | 62,386 | 4,650,876 | 33,701 | ||||||||
The Energy Select Sector SPDR Fund | 68,732 | 4,915,025 | 684,055 | 4,149,018 | 286,959 | 611,898 | 26,854 | 2,348,919 | 74,133 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 5,520,229 | 934,394 | 12,860 | 62,013 | 136,278 | 4,660,708 | 53,096 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 2,512,657 | 2,449,148 | (63,509) | — | — | — | — | ||||||||
The Materials Select Sector SPDR Fund | 66,063 | 4,862,237 | 2,608,535 | 5,262,223 | (589,857) | 700,056 | 29,850 | 2,318,748 | 15,047 | ||||||||
The Utilities Select Sector SPDR Fund | 71,668 | 5,026,077 | 904,147 | 6,090,670 | 20,985 | 139,461 | — | — | 30,803 | ||||||||
Total | $258,243,658 | $807,303,279 | $807,316,633 | $(9,419,594) | $9,247,932 | $258,058,642 | $3,481,735 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 51.0% | ||||||
AEROSPACE & DEFENSE — 1.5% | ||||||
Boeing Co.: | ||||||
1.17%, 2/4/2023 | $ 2,665,000 | $ 2,655,326 | ||||
1.43%, 2/4/2024 | 1,000,000 | 956,590 | ||||
4.51%, 5/1/2023 | 1,500,000 | 1,495,080 | ||||
L3Harris Technologies, Inc. 3 Month USD LIBOR + 0.75%, 5.49%, 3/10/2023 (a) | 1,000,000 | 1,000,490 | ||||
6,107,486 | ||||||
AGRICULTURE — 1.2% | ||||||
Imperial Brands Finance PLC 3.50%, 2/11/2023 (b) | 2,500,000 | 2,491,875 | ||||
Philip Morris International, Inc. 5.13%, 11/15/2024 | 2,500,000 | 2,502,125 | ||||
4,994,000 | ||||||
AUTO MANUFACTURERS — 3.9% | ||||||
American Honda Finance Corp. Series MTN, 3 Month USD LIBOR + 0.37%, 4.96%, 5/10/2023 (a) | 1,900,000 | 1,899,449 | ||||
Daimler Trucks Finance North America LLC: | ||||||
SOFR + 0.60%, 4.92%, 12/14/2023 (a) (b) | 1,000,000 | 994,980 | ||||
SOFR + 0.75%, 5.06%, 12/13/2024 (a) (b) | 1,000,000 | 987,070 | ||||
Ford Motor Credit Co. LLC: | ||||||
2.30%, 2/10/2025 | 1,680,000 | 1,533,638 | ||||
4.38%, 8/6/2023 | 1,500,000 | 1,485,330 | ||||
General Motors Financial Co., Inc. 3.80%, 4/7/2025 | 2,500,000 | 2,414,900 | ||||
Hyundai Capital America 0.80%, 1/8/2024 (b) | 1,000,000 | 952,180 | ||||
Mercedes-Benz Finance North America LLC 5.50%, 11/27/2024 (b) | 5,000,000 | 5,029,050 | ||||
Nissan Motor Acceptance Co. LLC 3 Month USD LIBOR + 0.64%, 5.37%, 3/8/2024 (a) (b) | 1,000,000 | 982,080 | ||||
16,278,677 | ||||||
BANKS — 10.8% | ||||||
Banco Santander SA 3.85%, 4/12/2023 | 5,000,000 | 4,979,250 | ||||
Bank of America Corp.: | ||||||
Series L, 3.95%, 4/21/2025 | 1,566,000 | 1,525,566 | ||||
Series MTN, SOFR + 0.73%, 4.68%, 10/24/2024 (a) | 1,000,000 | 989,270 | ||||
Bank of Montreal SOFR + 0.35%, 4.62%, 12/8/2023 (a) | 1,755,000 | 1,747,243 |
Security Description | Principal Amount | Value | |||
Citigroup, Inc. SOFR + 1.37%, 4.14%, 5/24/2025 (a) | $ 1,500,000 | $ 1,477,080 | |||
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 4.39%, 1/10/2023 (a) | 250,000 | 250,020 | |||
Goldman Sachs Group, Inc.: | |||||
3 Month USD LIBOR + 0.75%, 5.44%, 2/23/2023 (a) | 1,500,000 | 1,500,615 | |||
SOFR + 0.49%, 4.37%, 10/21/2024 (a) | 1,500,000 | 1,474,125 | |||
SOFR + 0.58%, 4.85%, 3/8/2024 (a) | 1,000,000 | 992,850 | |||
HSBC Holdings PLC: | |||||
4.25%, 3/14/2024 | 1,000,000 | 982,650 | |||
SOFR + 1.43%, 5.70%, 3/10/2026 (a) | 1,000,000 | 981,190 | |||
SOFR + 0.58%, 4.75%, 11/22/2024 (a) | 1,250,000 | 1,220,138 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.73%, 5.05%, 4/23/2024 (a) | 1,000,000 | 999,570 | |||
KeyBank NA 4.15%, 8/8/2025 | 770,000 | 752,975 | |||
Macquarie Group, Ltd. SOFR + 0.71%, 4.50%, 10/14/2025 (a) (b) | 1,000,000 | 975,230 | |||
Morgan Stanley: | |||||
SOFR + 1.16%, 3.62%, 4/17/2025 (a) | 1,500,000 | 1,463,100 | |||
Series GMTN, 3 Month USD LIBOR + 1.22%, 5.77%, 5/8/2024 (a) | 1,682,000 | 1,684,994 | |||
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025 (a) | 1,500,000 | 1,420,545 | |||
National Australia Bank, Ltd. 1.39%, 1/12/2025 (b) | 1,500,000 | 1,398,885 | |||
NatWest Markets PLC SOFR + 0.53%, 4.66%, 8/12/2024 (a) (b) | 2,125,000 | 2,087,472 | |||
Royal Bank of Canada: | |||||
Series GMTN, 3 Month USD LIBOR + 0.36%, 4.44%, 1/17/2023 (a) | 2,000,000 | 1,999,620 | |||
Series GMTN, SOFR + 0.53%, 4.40%, 1/20/2026 (a) | 500,000 | 484,865 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
3 Month USD LIBOR + 0.80%, 4.88%, 10/16/2023 (a) | 1,000,000 | 1,000,810 | |||
3 Month USD LIBOR + 0.86%, 5.09%, 7/19/2023 (a) | 2,000,000 | 2,004,300 |
Security Description | Principal Amount | Value | ||||
Sumitomo Mitsui Trust Bank, Ltd.: | ||||||
0.80%, 9/16/2024 (b) | $ 2,500,000 | $ 2,308,425 | ||||
SOFR + 0.44%, 4.75%, 9/16/2024 (a) (b) | 1,500,000 | 1,488,840 | ||||
Toronto-Dominion Bank: | ||||||
SOFR + 0.91%, 5.18%, 3/8/2024 (a) | 2,000,000 | 1,996,220 | ||||
Series MTN, SOFR + 0.35%, 4.63%, 9/10/2024 (a) | 1,515,000 | 1,491,078 | ||||
Truist Bank SOFR + 0.20%, 4.00%, 1/17/2024 (a) | 1,000,000 | 992,700 | ||||
Wells Fargo & Co. Series MTN, SOFR + 1.09%, 2.41%, 10/30/2025 (a) | 1,500,000 | 1,420,485 | ||||
Westpac Banking Corp. 3 Month USD LIBOR + 0.39%, 4.33%, 1/13/2023 (a) | 1,000,000 | 999,910 | ||||
45,090,021 | ||||||
BIOTECHNOLOGY — 0.5% | ||||||
Royalty Pharma PLC 0.75%, 9/2/2023 | 2,000,000 | 1,938,140 | ||||
CHEMICALS — 1.4% | ||||||
DuPont de Nemours, Inc. 3 Month USD LIBOR + 1.11%, 5.72%, 11/15/2023 (a) | 1,000,000 | 998,970 | ||||
LyondellBasell Industries NV 5.75%, 4/15/2024 | 3,000,000 | 3,006,210 | ||||
Nutrien, Ltd. 5.90%, 11/7/2024 | 830,000 | 840,325 | ||||
Sherwin-Williams Co. 4.05%, 8/8/2024 | 875,000 | 863,783 | ||||
5,709,288 | ||||||
COMMERCIAL SERVICES — 0.1% | ||||||
Cintas Corp. No. 2 3.45%, 5/1/2025 | 585,000 | 565,859 | ||||
COMPUTERS — 0.3% | ||||||
Leidos, Inc. 2.95%, 5/15/2023 | 1,435,000 | 1,422,630 | ||||
DIVERSIFIED FINANCIAL SERVICES — 3.0% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
SOFR + 0.68%, 5.00%, 9/29/2023 (a) | 1,000,000 | 984,630 | ||||
Series 3NC1, 1.75%, 10/29/2024 | 1,000,000 | 922,170 | ||||
Air Lease Corp. 3.00%, 9/15/2023 | 1,500,000 | 1,472,655 | ||||
Aircastle, Ltd. 4.40%, 9/25/2023 | 6,281,000 | 6,214,170 |
Security Description | Principal Amount | Value | ||||
Blackstone Holdings Finance Co. LLC 4.75%, 2/15/2023 (b) | $ 1,500,000 | $ 1,498,980 | ||||
Synchrony Financial 4.25%, 8/15/2024 | 1,452,000 | 1,419,127 | ||||
12,511,732 | ||||||
ELECTRIC — 4.2% | ||||||
Alliant Energy Finance LLC 3.75%, 6/15/2023 (b) | 1,000,000 | 992,050 | ||||
CenterPoint Energy, Inc. SOFR + 0.65%, 4.78%, 5/13/2024 (a) | 1,500,000 | 1,481,670 | ||||
DTE Energy Co. 4.22%, 11/1/2024 (c) | 1,250,000 | 1,230,038 | ||||
Duke Energy Corp. SOFR + 0.25%, 4.53%, 6/10/2023 (a) | 1,000,000 | 996,310 | ||||
National Rural Utilities Cooperative Finance Corp. Series D, SOFR + 0.33%, 4.14%, 10/18/2024 (a) | 2,500,000 | 2,464,200 | ||||
NextEra Energy Capital Holdings, Inc.: | ||||||
4.26%, 9/1/2024 | 1,250,000 | 1,234,950 | ||||
SOFR + 0.40%, 4.47%, 11/3/2023 (a) | 1,500,000 | 1,494,015 | ||||
SOFR + 1.02%, 5.34%, 3/21/2024 (a) | 1,500,000 | 1,498,365 | ||||
Pacific Gas & Electric Co. 3.85%, 11/15/2023 | 2,459,000 | 2,426,787 | ||||
Southern California Edison Co. Series J, 0.70%, 8/1/2023 | 3,850,000 | 3,748,052 | ||||
17,566,437 | ||||||
ENTERTAINMENT — 0.8% | ||||||
WarnerMedia Holdings, Inc.: | ||||||
3.64%, 3/15/2025 (b) | 1,000,000 | 951,160 | ||||
SOFR + 1.78%, 6.09%, 3/15/2024 (a) (b) | 2,500,000 | 2,493,250 | ||||
3,444,410 | ||||||
GAS — 1.6% | ||||||
Atmos Energy Corp. 3 Month USD LIBOR + 0.38%, 5.10%, 3/9/2023 (a) | 3,125,000 | 3,122,875 | ||||
CenterPoint Energy Resources Corp. 3 Month USD LIBOR + 0.50%, 5.28%, 3/2/2023 (a) | 3,450,000 | 3,448,413 | ||||
6,571,288 | ||||||
HEALTH CARE PRODUCTS — 2.5% | ||||||
GE HealthCare Technologies, Inc. 5.55%, 11/15/2024 (b) | 2,945,000 | 2,954,454 | ||||
PerkinElmer, Inc. 0.85%, 9/15/2024 | 1,000,000 | 927,580 |
Security Description | Principal Amount | Value | ||||
Thermo Fisher Scientific, Inc.: | ||||||
SOFR + 0.35%, 4.16%, 4/18/2023 (a) | $ 3,000,000 | $ 2,996,760 | ||||
SOFR + 0.39%, 4.20%, 10/18/2023 (a) | 2,500,000 | 2,488,000 | ||||
SOFR + 0.53%, 4.34%, 10/18/2024 (a) | 1,135,000 | 1,124,342 | ||||
10,491,136 | ||||||
HEALTH CARE SERVICES — 0.5% | ||||||
Centene Corp. 4.25%, 12/15/2027 | 2,000,000 | 1,878,100 | ||||
INSURANCE — 2.2% | ||||||
Allstate Corp. 3 Month USD LIBOR + 0.63%, 5.36%, 3/29/2023 (a) | 1,500,000 | 1,499,430 | ||||
Athene Global Funding SOFR + 0.70%, 4.90%, 5/24/2024 (a) (b) | 1,000,000 | 981,120 | ||||
Jackson National Life Global Funding SOFR + 0.60%, 4.28%, 1/6/2023 (a) (b) | 2,398,000 | 2,397,976 | ||||
MET Tower Global Funding SOFR + 0.55%, 4.35%, 1/17/2023 (a) (b) | 1,500,000 | 1,499,520 | ||||
Metropolitan Life Global Funding I SOFR + 0.57%, 4.34%, 1/13/2023 (a) (b) | 1,500,000 | 1,500,075 | ||||
Pricoa Global Funding I 2.40%, 9/23/2024 (b) | 1,500,000 | 1,428,300 | ||||
9,306,421 | ||||||
INVESTMENT COMPANY SECURITY — 0.2% | ||||||
Blackstone Private Credit Fund 2.35%, 11/22/2024 | 1,000,000 | 915,330 | ||||
LEISURE TIME — 0.2% | ||||||
Brunswick Corp. 0.85%, 8/18/2024 | 1,000,000 | 924,050 | ||||
LODGING — 0.4% | ||||||
Hyatt Hotels Corp. 1.30%, 10/1/2023 | 1,530,000 | 1,483,519 | ||||
MACHINERY-DIVERSIFIED — 1.6% | ||||||
CNH Industrial Capital LLC 3.95%, 5/23/2025 | 960,000 | 930,595 | ||||
John Deere Capital Corp.: | ||||||
3.40%, 6/6/2025 | 1,390,000 | 1,350,079 | ||||
4.05%, 9/8/2025 | 2,000,000 | 1,970,060 | ||||
Series MTN, SOFR + 0.20%, 3.87%, 10/11/2024 (a) | 1,500,000 | 1,483,290 | ||||
Rockwell Automation, Inc. 0.35%, 8/15/2023 | 1,000,000 | 971,970 | ||||
6,705,994 |
Security Description | Principal Amount | Value | ||||
MEDIA — 0.6% | ||||||
WarnerMedia Holdings, Inc. 3.53%, 3/15/2024 (b) | $ 2,500,000 | $ 2,422,475 | ||||
MISCELLANEOUS MANUFACTURER — 0.6% | ||||||
Carlisle Cos., Inc. 0.55%, 9/1/2023 | 575,000 | 556,456 | ||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 1,000,000 | 978,370 | ||||
Siemens Financieringsmaatschappij NV SOFR + 0.43%, 4.71%, 3/11/2024 (a) (b) | 1,000,000 | 994,790 | ||||
2,529,616 | ||||||
OIL & GAS — 0.7% | ||||||
Chevron USA, Inc. 3.90%, 11/15/2024 | 1,000,000 | 983,140 | ||||
Continental Resources, Inc. 2.27%, 11/15/2026 (b) | 1,250,000 | 1,084,025 | ||||
Shell International Finance B.V. 3 Month USD LIBOR + 0.40%, 5.05%, 11/13/2023 (a) | 1,000,000 | 1,000,170 | ||||
3,067,335 | ||||||
PACKAGING & CONTAINERS — 1.4% | ||||||
Berry Global, Inc. 0.95%, 2/15/2024 | 3,500,000 | 3,326,575 | ||||
Graphic Packaging International LLC 0.82%, 4/15/2024 (b) | 1,000,000 | 936,230 | ||||
Sonoco Products Co. 1.80%, 2/1/2025 | 1,470,000 | 1,367,012 | ||||
5,629,817 | ||||||
PHARMACEUTICALS — 2.6% | ||||||
Astrazeneca Finance LLC 0.70%, 5/28/2024 | 2,000,000 | 1,886,560 | ||||
Bayer US Finance II LLC 3 Month USD LIBOR + 1.01%, 5.78%, 12/15/2023 (a) (b) | 1,500,000 | 1,500,075 | ||||
Bristol-Myers Squibb Co. 0.54%, 11/13/2023 | 1,640,000 | 1,580,829 | ||||
Cigna Corp. 3 Month USD LIBOR + 0.89%, 4.97%, 7/15/2023 (a) | 1,000,000 | 1,001,430 | ||||
Mylan, Inc. 4.20%, 11/29/2023 | 3,000,000 | 2,968,140 | ||||
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | 2,000,000 | 1,965,140 | ||||
10,902,174 | ||||||
PIPELINES — 2.5% | ||||||
Cheniere Corpus Christi Holdings LLC 7.00%, 6/30/2024 | 3,000,000 | 3,053,070 |
Security Description | Principal Amount | Value | ||||
Enbridge, Inc. 0.55%, 10/4/2023 | $ 1,000,000 | $ 966,640 | ||||
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 2,500,000 | 2,505,925 | ||||
TransCanada PipeLines, Ltd. 1.00%, 10/12/2024 | 2,035,000 | 1,885,020 | ||||
Williams Cos., Inc. 4.55%, 6/24/2024 | 2,000,000 | 1,977,840 | ||||
10,388,495 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 1.4% | ||||||
American Tower Corp. 5.00%, 2/15/2024 | 1,000,000 | 997,850 | ||||
Omega Healthcare Investors, Inc. 4.38%, 8/1/2023 | 5,000,000 | 4,959,950 | ||||
5,957,800 | ||||||
RETAIL — 0.9% | ||||||
7-Eleven, Inc. 0.80%, 2/10/2024 (b) | 2,000,000 | 1,902,500 | ||||
Dollar General Corp. 4.25%, 9/20/2024 | 1,090,000 | 1,075,830 | ||||
Genuine Parts Co. 1.75%, 2/1/2025 | 660,000 | 616,862 | ||||
3,595,192 | ||||||
SEMICONDUCTORS — 1.7% | ||||||
Microchip Technology, Inc. 4.33%, 6/1/2023 | 2,000,000 | 1,990,900 | ||||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 | 750,000 | 743,978 | ||||
Skyworks Solutions, Inc. 0.90%, 6/1/2023 | 4,638,000 | 4,543,060 | ||||
7,277,938 | ||||||
TELECOMMUNICATIONS — 1.3% | ||||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 1,500,000 | 1,425,390 | ||||
SOFR + 0.64%, 4.96%, 3/25/2024 (a) | 1,000,000 | 994,950 | ||||
Verizon Communications, Inc.: | ||||||
3 Month USD LIBOR + 1.10%, 5.71%, 5/15/2025 (a) | 1,500,000 | 1,511,985 | ||||
SOFR + 0.50%, 4.82%, 3/22/2024 (a) | 1,500,000 | 1,490,820 | ||||
5,423,145 | ||||||
TRANSPORTATION — 0.4% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 1,395,000 | 1,301,605 |
Security Description | Principal Amount | Value | |||
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 5.20%, 4/1/2023 (a) | $ 200,000 | $ 199,932 | |||
1,501,537 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $216,211,843) | 212,600,042 | ||||
ASSET-BACKED SECURITIES — 6.8% | |||||
ASSET-BACKED - OTHER — 4.0% | |||||
Ford Credit Floorplan Master Owner Trust: | |||||
Series 2019-4, Class A, 2.44%, 9/15/2026 | 8,000,000 | 7,650,913 | |||
Series 2020-1, Class A2, Class A2, 1 Month USD LIBOR + 0.50%, 4.82%, 9/15/2025 (a) | 8,780,000 | 8,742,775 | |||
16,393,688 | |||||
AUTOMOBILE — 0.0% (d) | |||||
Enterprise Fleet Financing LLC Series 2019-3, Class A2, 2.06%, 5/20/2025 (b) | 58,630 | 58,549 | |||
CREDIT CARD — 2.8% | |||||
Master Credit Card Trust Series 2021-1A, Class A, 0.53%, 11/21/2025 (b) | 5,000,000 | 4,695,692 | |||
Master Credit Card Trust II Series 2018-1A, Class A, 1 Month USD LIBOR + 0.49%, 4.84%, 7/21/2024 (a) (b) | 7,000,000 | 6,999,882 | |||
11,695,574 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $28,342,956) | 28,147,811 | ||||
U.S. TREASURY OBLIGATIONS — 29.3% | |||||
U.S. Treasury Bill: | |||||
Zero Coupon, 1/5/2023 | 30,000,000 | �� | 29,993,942 | ||
Zero Coupon, 1/10/2023 | 65,000,000 | 64,954,277 | |||
U.S. Treasury Notes 0.25%, 9/30/2023 (Cost $27,946,598) | 27,995,200 | 27,076,607 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $122,872,055) | 122,024,826 | ||||
MORTGAGE-BACKED SECURITIES — 2.7% | |||||
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 5.57%, 7/15/2035 (a) (b) | 2,870,000 | 2,771,916 |
Security Description | Principal Amount | Value | |||
BX Commercial Mortgage Trust Series 2019-XL, Class A, 1 Month USD Term LIBOR + 1.03%, 5.37%, 10/15/2036 (a) (b) | $ 1,430,053 | $ 1,412,401 | |||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 5.30%, 5/15/2036 (a) (b) | 7,350,000 | 7,265,574 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $11,616,701) | 11,449,891 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.9% | |||||
BPR Trust Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 6.23%, 4/15/2037 (a) (b) | 1,800,000 | 1,772,480 | |||
BX 2021-LBA3 Mortgage Trust Series 2021-PAC, Class B, 1 Month USD LIBOR + 0.90%, 5.22%, 10/15/2036 (a) (b) | 2,500,000 | 2,359,749 | |||
Cold Storage Trust: | |||||
Series 2020-ICE5, Class A, 1 Month USD LIBOR + 0.90%, 5.22%, 11/15/2037 (a) (b) | 3,178,991 | 3,095,776 | |||
Series 2020-ICE5, Class B, 1 Month USD LIBOR + 1.30%, 5.62%, 11/15/2037 (a) (b) | 4,914,953 | 4,758,393 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $12,335,087) | 11,986,398 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 6.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e) (f) (Cost $26,321,701) | 26,321,701 | $ 26,321,701 | ||||
TOTAL INVESTMENTS — 99.0% (Cost $417,700,343) | 412,530,669 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 4,100,140 | |||||
NET ASSETS — 100.0% | $ 416,630,809 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 19.3% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2022. |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Note Futures (short) | (297) | 03/31/2023 | $(60,844,814) | $(60,908,767) | $(63,953) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $212,600,042 | $— | $212,600,042 | ||||
Asset-Backed Securities | — | 28,147,811 | — | 28,147,811 | ||||
U.S. Treasury Obligations | — | 122,024,826 | — | 122,024,826 | ||||
Mortgage-Backed Securities | — | 11,449,891 | — | 11,449,891 | ||||
Commercial Mortgage Backed Securities | — | 11,986,398 | — | 11,986,398 | ||||
Short-Term Investment | 26,321,701 | — | — | 26,321,701 | ||||
TOTAL INVESTMENTS | $26,321,701 | $386,208,968 | $— | $412,530,669 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (63,953) | — | — | (63,953) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (63,953) | $ — | $— | $ (63,953) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 29,493,611 | $29,493,611 | $236,918,682 | $240,090,592 | $— | $— | 26,321,701 | $26,321,701 | $315,538 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 73.1% | |||||
AUSTRALIA — 0.8% | |||||
FMG Resources August 2006 Pty, Ltd.: | |||||
4.50%, 9/15/2027 (a) | $ 72,000 | $ 66,697 | |||
6.13%, 4/15/2032 (a) | 35,000 | 32,643 | |||
Glencore Funding LLC 2.85%, 4/27/2031 (a) | 85,000 | 69,688 | |||
Infrabuild Australia Pty, Ltd. 12.00%, 10/1/2024 (a) | 22,000 | 21,286 | |||
Mineral Resources, Ltd.: | |||||
8.00%, 11/1/2027 (a) | 10,000 | 10,213 | |||
8.13%, 5/1/2027 (a) | 48,000 | 48,817 | |||
8.50%, 5/1/2030 (a) | 25,000 | 25,567 | |||
274,911 | |||||
BELGIUM — 0.7% | |||||
Anheuser-Busch InBev Worldwide, Inc. 3.50%, 6/1/2030 | 255,000 | 231,925 | |||
BERMUDA — 0.0% (b) | |||||
NCL Corp., Ltd. 7.75%, 2/15/2029 (a) | 5,000 | 3,763 | |||
BRAZIL — 0.1% | |||||
MercadoLibre, Inc. 2.00%, 8/15/2028 | 14,000 | 28,443 | |||
CANADA — 2.0% | |||||
Baffinland Iron Mines Corp./Baffinland Iron Mines L.P. 8.75%, 7/15/2026 (a) | 24,000 | 22,773 | |||
Baytex Energy Corp. 8.75%, 4/1/2027 (a) | 14,000 | 14,240 | |||
Bombardier, Inc.: | |||||
6.00%, 2/15/2028 (a) | 43,000 | 39,911 | |||
7.50%, 12/1/2024 (a) | 35,000 | 35,065 | |||
Enerflex, Ltd. 9.00%, 10/15/2027 | 85,000 | 84,800 | |||
Garda World Security Corp.: | |||||
6.00%, 6/1/2029 (a) | 10,000 | 8,175 | |||
9.50%, 11/1/2027 (a) | 22,000 | 21,303 | |||
Methanex Corp. 5.65%, 12/1/2044 | 22,000 | 17,079 | |||
Nutrien, Ltd. 5.95%, 11/7/2025 | 320,000 | 327,072 | |||
Parkland Corp. 4.50%, 10/1/2029 (a) | 4,000 | 3,350 | |||
Strathcona Resources, Ltd. 6.88%, 8/1/2026 (a) | 55,000 | 40,364 | |||
Taseko Mines, Ltd. 7.00%, 2/15/2026 (a) | 44,000 | 38,711 | |||
652,843 |
Security Description | Principal Amount | Value | |||
CHINA — 1.0% | |||||
Alibaba Group Holding, Ltd. 3.15%, 2/9/2051 | $ 159,000 | $ 99,456 | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc. 5.00%, 1/15/2033 | 54,000 | 50,953 | |||
Pinduoduo, Inc. Zero Coupon, 12/1/2025 | 15,000 | 13,956 | |||
Prosus NV 4.19%, 1/19/2032 (a) | 200,000 | 166,258 | |||
330,623 | |||||
FINLAND — 0.1% | |||||
Nokia Oyj 6.63%, 5/15/2039 | 36,000 | 34,450 | |||
FRANCE — 1.9% | |||||
BNP Paribas SA: | |||||
5 year CMT + 3.75%, 4.63%, 1/12/2027 (a) (c) | 200,000 | 164,480 | |||
5 Year CMT + 4.90%, 7.75%, 8/16/2029 (a) (c) | 200,000 | 197,200 | |||
SOFR + 1.22%, 2.16%, 9/15/2029 (a) (c) | 200,000 | 163,170 | |||
Credit Agricole SA 5 Year CMT + 3.24%, 4.75%, 3/23/2029 (a) (c) | 144,000 | 115,628 | |||
640,478 | |||||
GERMANY — 1.2% | |||||
Deutsche Bank AG: | |||||
SOFR + 1.72%, 3.04%, 5/28/2032 (c) | 110,000 | 83,373 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (c) | 150,000 | 132,317 | |||
Volkswagen Group of America Finance LLC 3.95%, 6/6/2025 (a) | 200,000 | 193,626 | |||
409,316 | |||||
HONG KONG — 0.1% | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 55,000 | 41,656 | |||
IRELAND — 1.2% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.30%, 1/30/2032 | 110,000 | 85,944 | |||
Bank of Ireland Group PLC: | |||||
1 year CMT + 2.65%, 6.25%, 9/16/2026 (a) (c) | 200,000 | 199,132 | |||
VRN, 1 year CMT + 1.10%, 2.03%, 9/30/2027 (a) (c) | 144,000 | 121,576 | |||
406,652 | |||||
ITALY — 3.1% | |||||
Enel Finance International NV 5.50%, 6/15/2052 (a) | 144,000 | 120,774 |
Security Description | Principal Amount | Value | |||
Intesa Sanpaolo SpA: | |||||
5.02%, 6/26/2024 (a) | $ 200,000 | $ 193,116 | |||
1 year CMT + 2.75%, 4.95%, 6/1/2042 (a) (c) | 296,000 | 191,947 | |||
Telecom Italia Capital SA: | |||||
6.00%, 9/30/2034 | 10,000 | 7,658 | |||
7.20%, 7/18/2036 | 29,000 | 23,539 | |||
7.72%, 6/4/2038 | 15,000 | 12,530 | |||
UniCredit SpA 5 Year US ISDA + 4.91%, 7.30%, 4/2/2034 (a) (c) | 496,000 | 455,849 | |||
1,005,413 | |||||
JAPAN — 1.2% | |||||
Mitsubishi UFJ Financial Group, Inc. 1 year CMT + 1.70%, 4.79%, 7/18/2025 (c) | 200,000 | 197,840 | |||
NTT Finance Corp. 4.14%, 7/26/2024 (a) | 200,000 | 196,810 | |||
394,650 | |||||
LUXEMBOURG — 0.1% | |||||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | 17,000 | 15,255 | |||
MACAU — 0.6% | |||||
Sands China, Ltd. 5.63%, 8/8/2025 | 200,000 | 193,590 | |||
NORWAY — 0.6% | |||||
DNB Bank ASA 5.90%, 10/9/2026 (a) | 200,000 | 200,208 | |||
SPAIN — 1.2% | |||||
Banco Santander SA: | |||||
5.29%, 8/18/2027 | 200,000 | 195,114 | |||
VRN, 5 Year US ISDA + 4.99%, 7.50%, 2/8/2024 (c) | 200,000 | 195,220 | |||
390,334 | |||||
SWITZERLAND — 1.5% | |||||
Credit Suisse AG 4.75%, 8/9/2024 | 500,000 | 477,625 | |||
UNITED KINGDOM — 6.1% | |||||
Barclays PLC: | |||||
1 year CMT + 1.30%, 2.89%, 11/24/2032 (c) | 144,000 | 109,588 | |||
1 year CMT + 2.30%, 5.30%, 8/9/2026 (c) | 200,000 | 198,626 | |||
5 Year CMT + 3.41%, 4.38%, 3/15/2028 (c) | 344,000 | 263,521 | |||
British Telecommunications PLC 9.63%, 12/15/2030 | 115,000 | 137,273 | |||
HSBC Holdings PLC: | |||||
SOFR + 1.51%, 4.18%, 12/9/2025 (c) | 400,000 | 388,292 | |||
SOFR + 4.25%, 8.11%, 11/3/2033 (c) | 400,000 | 423,900 |
Security Description | Principal Amount | Value | |||
Lloyds Banking Group PLC 1 year CMT + 3.75%, 7.95%, 11/15/2033 (c) | $ 240,000 | $ 254,352 | |||
Standard Chartered PLC 1 year CMT + 0.95%, 1.82%, 11/23/2025 (a) (c) | 200,000 | 182,820 | |||
TechnipFMC PLC 6.50%, 2/1/2026 (a) | 60,000 | 58,621 | |||
2,016,993 | |||||
UNITED STATES — 49.6% | |||||
Academy, Ltd. 6.00%, 11/15/2027 (a) | 10,000 | 9,606 | |||
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 50,000 | 41,910 | |||
ADT Security Corp. 4.88%, 7/15/2032 (a) | 23,000 | 19,565 | |||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (a) | 45,000 | 41,246 | |||
Affinity Gaming 6.88%, 12/15/2027 (a) | 50,000 | 42,513 | |||
Airbnb, Inc. Zero Coupon, 3/15/2026 | 12,000 | 9,931 | |||
Akumin Escrow, Inc. 7.50%, 8/1/2028 (a) | 40,000 | 24,378 | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 3.50%, 2/15/2023 (a) | 9,000 | 8,947 | |||
Alliance Resource Operating Partners L.P./Alliance Resource Finance Corp. 7.50%, 5/1/2025 (a) | 44,000 | 43,664 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 9.75%, 7/15/2027 (a) | 44,000 | 38,622 | |||
Alta Equipment Group, Inc. 5.63%, 4/15/2026 (a) | 5,000 | 4,530 | |||
Amazon.com, Inc.: | |||||
3.10%, 5/12/2051 | 105,000 | 75,241 | |||
4.65%, 12/1/2029 | 190,000 | 188,565 | |||
American Express Co. 5.85%, 11/5/2027 | 45,000 | 46,752 | |||
American International Group, Inc. Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 22,000 | 21,024 | |||
American Tower Corp. 2.30%, 9/15/2031 | 110,000 | 85,645 | |||
Ameriprise Financial, Inc. 4.50%, 5/13/2032 | 54,000 | 52,179 | |||
Amgen, Inc. 4.20%, 3/1/2033 | 110,000 | 102,077 | |||
Aon Corp. / Aon Global Holdings PLC 5.00%, 9/12/2032 | 115,000 | 113,757 |
Security Description | Principal Amount | Value | |||
Aramark Services, Inc. 6.38%, 5/1/2025 (a) | $ 35,000 | $ 34,656 | |||
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 27,000 | 21,666 | |||
Arko Corp. 5.13%, 11/15/2029 (a) | 50,000 | 39,220 | |||
Armor Holdco, Inc. 8.50%, 11/15/2029 (a) | 25,000 | 18,668 | |||
Arrow Bidco LLC 9.50%, 3/15/2024 (a) | 22,000 | 21,986 | |||
Artera Services LLC 9.03%, 12/4/2025 (a) | 39,000 | 32,547 | |||
Ashland LLC 3.38%, 9/1/2031 (a) | 56,000 | 44,560 | |||
AT&T, Inc.: | |||||
3.55%, 9/15/2055 | 54,000 | 36,473 | |||
3.65%, 9/15/2059 | 71,000 | 48,065 | |||
3.80%, 12/1/2057 | 7,000 | 4,852 | |||
Athene Global Funding 2.65%, 10/4/2031 (a) | 110,000 | 84,010 | |||
Atkore, Inc. 4.25%, 6/1/2031 (a) | 48,000 | 41,514 | |||
AutoZone, Inc. 4.75%, 8/1/2032 | 100,000 | 97,143 | |||
Avnet, Inc. 5.50%, 6/1/2032 | 52,000 | 47,904 | |||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 188,000 | 154,611 | |||
Bank of America Corp.: | |||||
SOFR + 1.33%, 5.65%, 4/2/2026 (c) | 100,000 | 99,111 | |||
SOFR + 1.99%, 6.20%, 11/10/2028 (c) | 105,000 | 108,090 | |||
SOFR + 2.16%, 5.02%, 7/22/2033 (c) | 155,000 | 147,061 | |||
Bank of New York Mellon Corp. 5.80%, 10/25/2028 | 30,000 | 30,980 | |||
Bath & Body Works, Inc.: | |||||
6.75%, 7/1/2036 | 12,000 | 10,519 | |||
6.88%, 11/1/2035 | 50,000 | 44,448 | |||
7.50%, 6/15/2029 | 10,000 | 9,863 | |||
Beazer Homes USA, Inc. 7.25%, 10/15/2029 | 50,000 | 44,743 | |||
BGC Partners, Inc. 4.38%, 12/15/2025 | 157,000 | 146,968 | |||
Bill.com Holdings, Inc. Zero Coupon, 12/1/2025 | 15,000 | 15,430 | |||
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | 149,000 | 132,988 | |||
BlackRock, Inc. 2.10%, 2/25/2032 | 78,000 | 62,676 | |||
Blackstone Holdings Finance Co. LLC 5.90%, 11/3/2027 (a) | 85,000 | 85,705 | |||
Blackstone Private Credit Fund: | |||||
2.35%, 11/22/2024 | 245,000 | 224,256 |
Security Description | Principal Amount | Value | |||
2.63%, 12/15/2026 | $ 161,000 | $ 133,337 | |||
Blackstone Secured Lending Fund: | |||||
2.75%, 9/16/2026 | 110,000 | 96,334 | |||
2.85%, 9/30/2028 | 56,000 | 43,710 | |||
Block, Inc. 0.13%, 3/1/2025 | 25,000 | 23,790 | |||
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (a) | 39,000 | 32,473 | |||
Boeing Co. 5.71%, 5/1/2040 | 260,000 | 247,523 | |||
Booking Holdings, Inc. 0.75%, 5/1/2025 | 10,000 | 13,403 | |||
Bristow Group, Inc. 6.88%, 3/1/2028 (a) | 44,000 | 40,765 | |||
Broadcom, Inc.: | |||||
3.50%, 2/15/2041 (a) | 249,000 | 178,262 | |||
4.15%, 4/15/2032 (a) | 141,000 | 123,940 | |||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | 45,000 | 41,064 | |||
Builders FirstSource, Inc. 5.00%, 3/1/2030 (a) | 74,000 | 65,968 | |||
C&S Group Enterprises LLC 5.00%, 12/15/2028 (a) | 36,000 | 27,128 | |||
Caesars Entertainment, Inc.: | |||||
4.63%, 10/15/2029 (a) | 5,000 | 4,066 | |||
8.13%, 7/1/2027 (a) | 5,000 | 4,917 | |||
Calpine Corp. 5.13%, 3/15/2028 (a) | 63,000 | 56,393 | |||
Calumet Specialty Products Partners L.P./Calumet Finance Corp.: | |||||
8.13%, 1/15/2027 (a) | 15,000 | 14,099 | |||
11.00%, 4/15/2025 (a) | 10,000 | 10,446 | |||
Carpenter Technology Corp. 7.63%, 3/15/2030 | 51,000 | 51,238 | |||
Carriage Purchaser, Inc. 7.88%, 10/15/2029 (a) | 10,000 | 7,127 | |||
Cars.com, Inc. 6.38%, 11/1/2028 (a) | 45,000 | 40,096 | |||
Caterpillar Financial Services Corp. 3.65%, 8/12/2025 | 105,000 | 102,429 | |||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.50%, 8/15/2030 (a) | 105,000 | 86,942 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 3.90%, 6/1/2052 | 105,000 | 66,226 | |||
Citigroup, Inc. 4.65%, 7/23/2048 | 83,000 | 72,168 | |||
Civitas Resources, Inc. 5.00%, 10/15/2026 (a) | 72,000 | 66,167 |
Security Description | Principal Amount | Value | |||
Clarios Global L.P./Clarios US Finance Co. 8.50%, 5/15/2027 (a) | $ 39,000 | $ 38,154 | |||
CMG Media Corp. 8.88%, 12/15/2027 (a) | 27,000 | 20,315 | |||
Colgate Energy Partners III LLC 7.75%, 2/15/2026 (a) | 45,000 | 43,929 | |||
Comcast Corp. 2.99%, 11/1/2063 | 95,000 | 57,843 | |||
Commercial Metals Co. 4.38%, 3/15/2032 | 67,000 | 57,973 | |||
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 50,000 | 45,503 | |||
CommScope, Inc. 7.13%, 7/1/2028 (a) | 10,000 | 7,192 | |||
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029 (a) | 39,000 | 31,879 | |||
Constellation Brands, Inc. 4.75%, 5/9/2032 | 100,000 | 95,842 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 73,000 | 63,307 | |||
CoreCivic, Inc. 8.25%, 4/15/2026 | 58,000 | 59,417 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 31,000 | 21,852 | |||
Corporate Office Properties L.P. 2.75%, 4/15/2031 | 22,000 | 16,469 | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC 4.75%, 1/15/2029 (a) | 34,000 | 30,760 | |||
CPI CG, Inc. 8.63%, 3/15/2026 (a) | 30,000 | 29,542 | |||
Crescent Energy Finance LLC 7.25%, 5/1/2026 (a) | 20,000 | 18,996 | |||
CTR Partnership L.P./CareTrust Capital Corp. 3.88%, 6/30/2028 (a) | 75,000 | 63,334 | |||
CVR Energy, Inc. 5.25%, 2/15/2025 (a) | 40,000 | 36,779 | |||
CVS Health Corp. 5.05%, 3/25/2048 | 83,000 | 74,922 | |||
Datadog, Inc. 0.13%, 6/15/2025 | 5,000 | 5,462 | |||
DaVita, Inc. 4.63%, 6/1/2030 (a) | 34,000 | 27,401 | |||
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028 (a) | 82,000 | 73,915 | |||
Dell International LLC/EMC Corp.: | |||||
3.45%, 12/15/2051 (a) | 115,000 | 71,141 | |||
8.35%, 7/15/2046 | 18,000 | 20,649 | |||
Diamondback Energy, Inc. 6.25%, 3/15/2033 | 105,000 | 106,638 |
Security Description | Principal Amount | Value | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (a) | $ 97,000 | $ 86,987 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 20,000 | 12,902 | |||
5.88%, 11/15/2024 | 220,000 | 205,194 | |||
Domtar Corp. 6.75%, 10/1/2028 (a) | 70,000 | 60,731 | |||
DPL, Inc. 4.35%, 4/15/2029 | 95,000 | 85,340 | |||
DT Midstream, Inc. 4.38%, 6/15/2031 (a) | 62,000 | 51,854 | |||
Eco Material Technologies, Inc. 7.88%, 1/31/2027 (a) | 39,000 | 37,277 | |||
Edgewell Personal Care Co. 4.13%, 4/1/2029 (a) | 17,000 | 14,576 | |||
Embecta Corp. 5.00%, 2/15/2030 (a) | 20,000 | 16,765 | |||
Enact Holdings, Inc. 6.50%, 8/15/2025 (a) | 84,000 | 82,580 | |||
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 24,000 | 21,865 | |||
EnLink Midstream LLC: | |||||
5.38%, 6/1/2029 | 10,000 | 9,283 | |||
5.63%, 1/15/2028 (a) | 53,000 | 50,558 | |||
EnLink Midstream Partners L.P. 4.85%, 7/15/2026 | 73,000 | 69,005 | |||
Enphase Energy, Inc. Zero Coupon, 3/1/2028 | 7,000 | 8,221 | |||
Enstar Group, Ltd. 3.10%, 9/1/2031 | 27,000 | 19,715 | |||
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026 (a) | 39,000 | 36,787 | |||
EQT Corp. 1.75%, 5/1/2026 | 6,000 | 13,962 | |||
Equifax, Inc. 5.10%, 12/15/2027 | 90,000 | 88,904 | |||
Expedia Group, Inc. Zero Coupon, 2/15/2026 | 7,000 | 6,081 | |||
Fidelity National Financial, Inc. 2.45%, 3/15/2031 | 39,000 | 29,551 | |||
FirstEnergy Corp. Series C, 5.35%, 7/15/2047 | 24,000 | 21,450 | |||
Fluor Corp. 4.25%, 9/15/2028 | 70,000 | 63,472 | |||
Foot Locker, Inc. 4.00%, 10/1/2029 (a) | 80,000 | 63,016 | |||
Ford Motor Credit Co. LLC 5.58%, 3/18/2024 | 275,000 | 271,903 | |||
Forestar Group, Inc. 5.00%, 3/1/2028 (a) | 70,000 | 60,401 | |||
Freeport-McMoRan, Inc. 4.63%, 8/1/2030 | 135,000 | 126,190 |
Security Description | Principal Amount | Value | |||
Frontier Communications Holdings LLC: | |||||
5.88%, 11/1/2029 | $ 20,000 | $ 15,509 | |||
6.00%, 1/15/2030 (a) | 12,000 | 9,442 | |||
Frontier Florida LLC Series E, 6.86%, 2/1/2028 | 10,000 | 9,204 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | 17,000 | 15,018 | |||
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 39,000 | 31,816 | |||
Gap, Inc. 3.63%, 10/1/2029 (a) | 80,000 | 56,930 | |||
Gartner, Inc. 3.63%, 6/15/2029 (a) | 67,000 | 58,732 | |||
General Motors Financial Co., Inc.: | |||||
2.90%, 2/26/2025 | 22,000 | 20,880 | |||
3.80%, 4/7/2025 | 260,000 | 251,150 | |||
5.00%, 4/9/2027 | 83,000 | 80,466 | |||
Genworth Holdings, Inc. 6.50%, 6/15/2034 | 45,000 | 39,616 | |||
Georgia Power Co. 5.13%, 5/15/2052 | 100,000 | 94,234 | |||
Global Medical Response, Inc. 6.50%, 10/1/2025 (a) | 24,000 | 17,498 | |||
Global Partners L.P./GLP Finance Corp. 6.88%, 1/15/2029 | 45,000 | 40,757 | |||
Global Payments, Inc. 5.40%, 8/15/2032 | 45,000 | 42,902 | |||
Goldman Sachs Group, Inc. SOFR + 1.51%, 3.21%, 4/22/2042 (c) | 232,000 | 166,989 | |||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc. 7.00%, 8/15/2028 (a) | 34,000 | 21,485 | |||
Granite US Holdings Corp. 11.00%, 10/1/2027 (a) | 20,000 | 21,057 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 50,000 | 36,218 | |||
Guitar Center, Inc. 8.50%, 1/15/2026 (a) | 45,000 | 37,237 | |||
Haemonetics Corp. Zero Coupon, 3/1/2026 | 20,000 | 16,605 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 19,000 | 14,411 | |||
Hexcel Corp. 4.95%, 8/15/2025 | 30,000 | 29,250 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 41,000 | 37,197 | |||
HLF Financing SARL LLC/Herbalife International, Inc. 4.88%, 6/1/2029 (a) | 14,000 | 9,588 | |||
Howmet Aerospace, Inc.: | |||||
5.95%, 2/1/2037 | 34,000 | 33,019 |
Security Description | Principal Amount | Value | |||
6.75%, 1/15/2028 | $ 34,000 | $ 34,457 | |||
HP, Inc. 5.50%, 1/15/2033 | 20,000 | 18,813 | |||
Ingles Markets, Inc. 4.00%, 6/15/2031 (a) | 44,000 | 36,987 | |||
International Business Machines Corp. 4.40%, 7/27/2032 | 100,000 | 95,265 | |||
Ionis Pharmaceuticals, Inc. Zero Coupon, 4/1/2026 | 15,000 | 13,890 | |||
Iron Mountain, Inc. 5.63%, 7/15/2032 (a) | 43,000 | 37,502 | |||
ITT Holdings LLC 6.50%, 8/1/2029 (a) | 45,000 | 37,970 | |||
Jackson Financial, Inc. 3.13%, 11/23/2031 | 71,000 | 54,732 | |||
JPMorgan Chase & Co.: | |||||
SOFR + 1.46%, 3.16%, 4/22/2042 (c) | 95,000 | 69,067 | |||
SOFR + 1.56%, 4.32%, 4/26/2028 (c) | 164,000 | 156,343 | |||
SOFR + 2.08%, 4.91%, 7/25/2033 (c) | 135,000 | 128,425 | |||
SOFR + 2.58%, 5.72%, 9/14/2033 (c) | 75,000 | 73,699 | |||
Kinder Morgan, Inc. 4.80%, 2/1/2033 | 105,000 | 97,378 | |||
KKR Group Finance Co. XII LLC 4.85%, 5/17/2032 (a) | 34,000 | 31,806 | |||
Kohl's Corp. 3.63%, 5/1/2031 | 65,000 | 45,633 | |||
Koppers, Inc. 6.00%, 2/15/2025 (a) | 45,000 | 43,127 | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 5.25%, 10/1/2025 (a) | 49,000 | 46,155 | |||
Lamb Weston Holdings, Inc. 4.88%, 5/15/2028 (a) | 55,000 | 52,140 | |||
Liberty Mutual Group, Inc.: | |||||
4.30%, 2/1/2061 (a) | 120,000 | 73,530 | |||
4.57%, 2/1/2029 (a) | 45,000 | 42,178 | |||
Live Nation Entertainment, Inc. 2.00%, 2/15/2025 | 15,000 | 14,866 | |||
Lowe's Cos., Inc. 2.80%, 9/15/2041 | 115,000 | 78,283 | |||
LSF11 A5 Holdco LLC 6.63%, 10/15/2029 (a) | 15,000 | 12,164 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 44,000 | 39,004 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 90,000 | 79,947 | |||
Macy's Retail Holdings LLC: | |||||
4.50%, 12/15/2034 | 12,000 | 8,235 | |||
5.88%, 4/1/2029 (a) | 58,000 | 51,592 |
Security Description | Principal Amount | Value | |||
Marsh & McLennan Cos., Inc. 5.75%, 11/1/2032 | $ 105,000 | $ 110,169 | |||
Massachusetts Mutual Life Insurance Co. 5.67%, 12/1/2052 (a) | 125,000 | 123,977 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (a) | 5,000 | 4,243 | |||
Micron Technology, Inc.: | |||||
3.37%, 11/1/2041 | 73,000 | 48,807 | |||
6.75%, 11/1/2029 | 100,000 | 101,751 | |||
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 34,000 | 21,643 | |||
Moody's Corp. 2.00%, 8/19/2031 | 71,000 | 56,250 | |||
Morgan Stanley: | |||||
SOFR + 1.36%, 2.48%, 9/16/2036 (c) | 115,000 | 83,884 | |||
SOFR + 2.08%, 4.89%, 7/20/2033 (c) | 110,000 | 103,310 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 45,000 | 40,532 | |||
MPLX L.P. 4.95%, 9/1/2032 | 75,000 | 70,331 | |||
Murphy Oil Corp.: | |||||
6.13%, 12/1/2042 | 25,000 | 19,589 | |||
6.38%, 7/15/2028 | 61,000 | 59,023 | |||
Murphy Oil USA, Inc.: | |||||
3.75%, 2/15/2031 (a) | 34,000 | 28,310 | |||
4.75%, 9/15/2029 | 26,000 | 23,752 | |||
5.63%, 5/1/2027 | 51,000 | 49,473 | |||
Navient Corp. 5.63%, 8/1/2033 | 60,000 | 43,144 | |||
NCL Corp., Ltd. 3.63%, 12/15/2024 (a) | 27,000 | 23,123 | |||
NCL Finance, Ltd. 6.13%, 3/15/2028 (a) | 10,000 | 7,424 | |||
Nestle Holdings, Inc.: | |||||
2.50%, 9/14/2041 (a) | 115,000 | 80,942 | |||
4.13%, 10/1/2027 (a) | 150,000 | 146,536 | |||
Netflix, Inc. 5.38%, 11/15/2029 (a) | 81,000 | 79,303 | |||
New Fortress Energy, Inc. 6.75%, 9/15/2025 (a) | 86,000 | 81,532 | |||
NextEra Energy Capital Holdings, Inc. 4.26%, 9/1/2024 | 60,000 | 59,278 | |||
NextEra Energy Operating Partners L.P.: | |||||
3.88%, 10/15/2026 (a) | 38,000 | 34,908 | |||
4.50%, 9/15/2027 (a) | 82,000 | 75,483 | |||
NMI Holdings, Inc. 7.38%, 6/1/2025 (a) | 55,000 | 55,719 | |||
Nordstrom, Inc. 6.95%, 3/15/2028 | 80,000 | 73,022 | |||
Northern Oil & Gas, Inc. 8.13%, 3/1/2028 (a) | 45,000 | 43,180 |
Security Description | Principal Amount | Value | |||
NRG Energy, Inc.: | |||||
3.88%, 2/15/2032 (a) | $ 45,000 | $ 33,928 | |||
5.25%, 6/15/2029 (a) | 54,000 | 47,708 | |||
NuStar Logistics L.P. 5.63%, 4/28/2027 | 80,000 | 75,204 | |||
Occidental Petroleum Corp. 7.95%, 6/15/2039 | 42,000 | 45,830 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 45,000 | 42,089 | |||
OI European Group B.V. 4.75%, 2/15/2030 (a) | 56,000 | 49,477 | |||
Olin Corp. 5.00%, 2/1/2030 | 10,000 | 9,127 | |||
OWL Rock Core Income Corp. 5.50%, 3/21/2025 | 120,000 | 116,490 | |||
Patterson-UTI Energy, Inc. 5.15%, 11/15/2029 | 51,000 | 45,913 | |||
PayPal Holdings, Inc. 5.05%, 6/1/2052 | 53,000 | 48,371 | |||
PBF Holding Co. LLC/PBF Finance Corp.: | |||||
7.25%, 6/15/2025 | 51,000 | 50,260 | |||
6.00%, 2/15/2028 | 40,000 | 35,401 | |||
PennyMac Financial Services, Inc. 5.38%, 10/15/2025 (a) | 58,000 | 52,550 | |||
PepsiCo, Inc. 4.20%, 7/18/2052 | 20,000 | 18,321 | |||
PG&E Corp.: | |||||
5.00%, 7/1/2028 | 45,000 | 41,178 | |||
5.25%, 7/1/2030 | 44,000 | 40,039 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (a) | 41,000 | 36,609 | |||
Phillips 66 3.30%, 3/15/2052 | 54,000 | 37,462 | |||
Pike Corp. 5.50%, 9/1/2028 (a) | 30,000 | 26,223 | |||
Pioneer Natural Resources Co. 0.25%, 5/15/2025 | 5,000 | 11,670 | |||
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 34,000 | 25,852 | |||
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (a) | 45,000 | 38,085 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.75%, 4/15/2026 (a) | 12,000 | 11,563 | |||
Prudential Financial, Inc.: | |||||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 5,000 | 4,925 | |||
5 Year CMT + 3.23%, 6.00%, 9/1/2052 (c) | 170,000 | 165,264 | |||
Public Storage 2.25%, 11/9/2031 | 54,000 | 43,546 | |||
Pure Storage, Inc. 0.13%, 4/15/2023 | 10,000 | 10,794 |
Security Description | Principal Amount | Value | |||
QUALCOMM, Inc. 5.40%, 5/20/2033 | $ 160,000 | $ 166,725 | |||
Rain CII Carbon LLC/CII Carbon Corp. 7.25%, 4/1/2025 (a) | 45,000 | 41,392 | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026 (a) | 29,000 | 23,347 | |||
ROCC Holdings LLC 9.25%, 8/15/2026 (a) | 34,000 | 33,998 | |||
Rockies Express Pipeline LLC: | |||||
4.95%, 7/15/2029 (a) | 55,000 | 49,937 | |||
6.88%, 4/15/2040 (a) | 24,000 | 20,157 | |||
Royal Caribbean Cruises, Ltd.: | |||||
7.50%, 10/15/2027 | 10,000 | 8,623 | |||
11.63%, 8/15/2027 (a) | 165,000 | 165,874 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (c) | 135,000 | 116,142 | |||
Sarepta Therapeutics, Inc. 1.50%, 11/15/2024 | 10,000 | 18,656 | |||
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 16,000 | 13,017 | |||
Sealed Air Corp. 6.88%, 7/15/2033 (a) | 34,000 | 33,834 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (a) | 41,000 | 38,248 | |||
Sempra Energy 3.70%, 4/1/2029 | 27,000 | 24,635 | |||
Service Properties Trust: | |||||
4.75%, 10/1/2026 | 70,000 | 55,327 | |||
5.25%, 2/15/2026 | 10,000 | 8,361 | |||
Sinclair Television Group, Inc.: | |||||
5.13%, 2/15/2027 (a) | 17,000 | 13,889 | |||
5.50%, 3/1/2030 (a) | 12,000 | 8,400 | |||
Sirius XM Radio, Inc. 4.13%, 7/1/2030 (a) | 88,000 | 72,700 | |||
Smyrna Ready Mix Concrete LLC 6.00%, 11/1/2028 (a) | 39,000 | 34,875 | |||
Southern Co. 5.15%, 10/6/2025 | 215,000 | 216,572 | |||
Southwest Airlines Co. 1.25%, 5/1/2025 | 10,000 | 12,059 | |||
Spirit AeroSystems, Inc. 4.60%, 6/15/2028 | 39,000 | 31,587 | |||
Splunk, Inc. 1.13%, 6/15/2027 | 15,000 | 12,709 | |||
Standard Industries, Inc. 4.38%, 7/15/2030 (a) | 39,000 | 31,947 | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (a) | 29,000 | 25,375 | |||
4.38%, 1/15/2027 (a) | 175,000 | 154,003 | |||
Stellantis Finance US, Inc. 5.63%, 1/12/2028 (a) | 200,000 | 198,446 |
Security Description | Principal Amount | Value | |||
StoneX Group,Inc. 8.63%, 6/15/2025 (a) | $ 80,000 | $ 80,724 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 45,000 | 38,388 | |||
Sunnova Energy Corp. 5.88%, 9/1/2026 (a) | 44,000 | 39,325 | |||
Sunoco L.P./Sunoco Finance Corp. 4.50%, 5/15/2029 | 62,000 | 54,230 | |||
Sylvamo Corp. 7.00%, 9/1/2029 (a) | 39,000 | 37,233 | |||
Synchrony Financial 4.88%, 6/13/2025 | 71,000 | 69,265 | |||
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp. 5.50%, 1/15/2028 (a) | 75,000 | 66,652 | |||
Taylor Morrison Communities, Inc. 5.75%, 1/15/2028 (a) | 58,000 | 54,498 | |||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (a) | 41,000 | 32,096 | |||
4.00%, 4/15/2029 (a) | 64,000 | 53,737 | |||
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | 20,000 | 15,777 | |||
Toledo Hospital: | |||||
6.02%, 11/15/2048 | 35,000 | 24,604 | |||
Series B, 5.33%, 11/15/2028 | 10,000 | 7,768 | |||
TreeHouse Foods, Inc. 4.00%, 9/1/2028 | 27,000 | 23,020 | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 30,000 | 24,304 | |||
Uber Technologies, Inc. Zero Coupon, 12/15/2025 | 7,000 | 5,912 | |||
United Airlines 2020-1 Pass Through Trust Series 2020-1, Class B, 4.88%, 7/15/2027 | 133,350 | 125,533 | |||
UnitedHealth Group, Inc. 5.88%, 2/15/2053 | 105,000 | 114,003 | |||
Urban One, Inc. 7.38%, 2/1/2028 (a) | 41,000 | 34,665 | |||
US Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | 39,000 | 34,613 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 4/1/2026 | 50,000 | 48,035 | |||
Verizon Communications, Inc.: | |||||
2.85%, 9/3/2041 | 29,000 | 20,069 | |||
3.55%, 3/22/2051 | 76,000 | 54,405 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 27,000 | 26,448 | |||
ViaSat, Inc. 6.50%, 7/15/2028 (a) | 45,000 | 34,471 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 51,000 | 40,017 |
Security Description | Principal Amount | Value | |||
Virginia Electric & Power Co. Series C, 4.63%, 5/15/2052 | $ 76,000 | $ 66,880 | |||
Vishay Intertechnology, Inc. 2.25%, 6/15/2025 | 14,000 | 13,570 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 24,000 | 17,679 | |||
Vistra Operations Co. LLC: | |||||
4.38%, 5/1/2029 (a) | 46,000 | 39,689 | |||
5.63%, 2/15/2027 (a) | 44,000 | 42,021 | |||
Wabash National Corp. 4.50%, 10/15/2028 (a) | 45,000 | 38,158 | |||
WarnerMedia Holdings, Inc. 5.14%, 3/15/2052 (a) | 54,000 | 39,651 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 20,000 | 17,723 | |||
Watco Cos. LLC/Watco Finance Corp. 6.50%, 6/15/2027 (a) | 27,000 | 25,610 | |||
Weatherford International, Ltd. 8.63%, 4/30/2030 (a) | 55,000 | 53,111 | |||
Wells Fargo & Co. SOFR + 1.32%, 3.91%, 4/25/2026 (c) | 139,000 | 135,002 | |||
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 69,000 | 69,956 | |||
Western Global Airlines LLC 10.38%, 8/15/2025 (a) | 29,000 | 21,914 | |||
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | 22,000 | 19,170 | |||
Windstream Escrow LLC/Windstream Escrow Finance Corp. REGS, 7.75%, 8/15/2028 (a) | 30,000 | 24,543 | |||
Winnebago Industries,Inc. 6.25%, 7/15/2028 (a) | 85,000 | 79,473 | |||
Ziff Davis, Inc. 1.75%, 11/1/2026 (a) | 25,000 | 25,063 | |||
Zscaler, Inc. 0.13%, 7/1/2025 | 18,000 | 18,881 | |||
16,376,296 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $25,847,331) | 24,125,424 | ||||
ASSET-BACKED SECURITIES — 4.6% | |||||
AMMC CLO, Ltd. Series 2014-15A, Class BR3, 5.73%, 1/15/2032 (a) (c) | 250,000 | 239,325 | |||
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 Month SOFR + 2.36%, 6.23%, 1/15/2031 (a) (c) | 255,000 | 247,529 | |||
Generate CLO, Ltd. Series 2A, Class BR, 5.77%, 1/22/2031 (a) (c) | 250,000 | 238,300 |
Security Description | Principal Amount | Value | |||
Hayfin US XII, Ltd. Series 2018-8A, Class B, ABS, 3 Month USD LIBOR + 1.48%, 5.72%, 4/20/2031 (a) (c) | $ 250,000 | $ 238,150 | |||
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS, 0.87%, 7/14/2028 (a) | 600,000 | 557,220 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $1,572,715) | 1,520,524 |
Shares | |||
CONVERTIBLE BONDS — 0.3% | |||
PANAMA — 0.1% | |||
Carnival Corp. (a) | 25,000 | 22,445 | |
UNITED STATES — 0.2% | |||
Cloudflare, Inc. | 58,000 | 47,524 | |
Liberty Media Corp.-Liberty Formula One (a) | 25,000 | 24,016 | |
Post Holdings, Inc. (a) | 12,000 | 12,646 | |
84,186 | |||
TOTAL CONVERTIBLE BONDS (Cost $115,771) | 106,631 | ||
CONVERTIBLE PREFERRED STOCKS — 0.1% | |||
UNITED STATES — 0.1% | |||
NextEra Energy, Inc. | 313 | 15,803 | |
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $16,816) | 15,803 |
PREFERRED STOCKS — 0.1% | |||
UNITED STATES — 0.1% | |||
American Electric Power Co., Inc., 6.13% | 192 | 9,903 | |
Danaher Corp., 5.00% | 11 | 14,922 | |
NiSource, Inc., 7.75% | 115 | 11,875 | |
36,700 | |||
TOTAL PREFERRED STOCKS (Cost $39,910) | 36,700 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 15.3% | |||
ADVERTISING SERVICES — 0.5% | |||
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026 (c) | $ 147,739 | 138,743 |
Security Description | Principal Amount | Value | |||
Summer Holdco B SARL, Senior Secured 2021 USD Term Loan B2, 3 Month USD LIBOR + 4.50%, 9.23%, 12/4/2026 (c) | $ 35,061 | $ 32,636 | |||
171,379 | |||||
AIRLINES — 1.2% | |||||
American Airlines, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028 (c) | 110,000 | 109,708 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027 (c) | 108,000 | 110,289 | |||
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028 (c) | 188,711 | 186,863 | |||
406,860 | |||||
AUTO COMPONENTS — 0.3% | |||||
USI, Inc., Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029 (c) | 99,750 | 99,002 | |||
BEVERAGES — 0.1% | |||||
City Brewing Company LLC, Senior Secured Closing Date Term Loan, 1 Month USD LIBOR + 3.50%, 7.79%, 4/5/2028 (c) | 55,658 | 24,977 | |||
BROADCAST SERV/PROGRAM — 1.0% | |||||
E.W. Scripps Co. (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 6.95%, 5/1/2026 (c) | 326,407 | 320,804 | |||
BUILDING PRODUCTS — 0.2% | |||||
ACProducts, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 5/17/2028 (c) | 60,037 | 45,345 | |||
Oscar Acquisitionco LLC, Senior Secured Term Loan B, 3 Month USD SOFR + 4.50%, 9.18%, 4/29/2029 (c) | 30,923 | 29,357 | |||
74,702 | |||||
CHEMICALS — 0.8% | |||||
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 6/30/2027 (c) | 112,453 | 107,955 | |||
LSF11 A5 Holdco LLC, Senior Secured Term Loan, 1 Month USD SOFR + 3.50%, 8.05%, 10/15/2028 (c) | 110,651 | 107,166 |
Security Description | Principal Amount | Value | |||
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.50%, 11/9/2028 (c) | $ 55,056 | $ 52,999 | |||
268,120 | |||||
COMMERCIAL SERVICES — 0.3% | |||||
Albion Financing 3 SARL, Senior Secured USD Term Loan, 3 Month USD LIBOR + 5.25%, 9.57%, 8/17/2026 (c) | 104,894 | 99,649 | |||
COMMERCIAL SERVICES & SUPPLIES — 0.5% | |||||
McGraw-Hill Global Education Holdings LLC, Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028 (c) | 132,868 | 125,435 | |||
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026 (c) | 47,454 | 46,978 | |||
172,413 | |||||
COMMUNICATIONS EQUIPMENT — 0.5% | |||||
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026 (c) | 184,059 | 173,982 | |||
CONTAINERS & PACKAGING — 0.4% | |||||
Graham Packaging Company, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 8/4/2027 (c) | 118,196 | 116,357 | |||
DIVERSIFIED CONSUMER SERVICES — 0.3% | |||||
Ascend Learning LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2028 (c) | 94,221 | 89,320 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | |||||
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027 (c) | 125,438 | 122,394 |
Security Description | Principal Amount | Value | |||
ENERGY EQUIPMENT & SERVICES — 0.4% | |||||
Carnival Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 6/30/2025 (c) | $ 142,276 | $ 136,814 | |||
ENERGY-ALTERNATE SOURCES — 0.3% | |||||
Array Technologies, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.94%, 10/14/2027 (c) | 114,766 | 109,727 | |||
FINANCE-CREDIT CARD — 0.1% | |||||
Paysafe Holdings (US) Corp., Senior Secured USD Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 6/28/2028 (c) | 43,577 | 41,680 | |||
HEALTH CARE PROVIDERS & SERVICES — 1.2% | |||||
Agiliti Health, Inc, Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 2.75%, 6.88%, 1/4/2026 (c) | 58,523 | 57,133 | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 9/29/2028 (c) | 296,250 | 290,470 | |||
Medline Borrower LP, Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028 (c) | 55,668 | 53,002 | |||
400,605 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.9% | |||||
Caesars Resort Collection LLC, Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024 (c) | 301,962 | 301,672 | |||
INSURANCE — 0.9% | |||||
Amynta Agency Borrower, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 2/28/2025 (c) | 103,644 | 98,461 | |||
Sedgwick Claims Management Services, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/31/2025 (c) | 220,040 | 214,402 | |||
312,863 |
Security Description | Principal Amount | Value | |||
INTERNET & CATALOG RETAIL — 0.5% | |||||
Uber Technologies, Inc., Senior Secured 2021 1st Lien Term Loan B, 3 Month USD LIBOR + 3.50%, 7.17%, 4/4/2025 (c) | $ 160,060 | $ 159,727 | |||
INTERNET & TELECOM — 0.3% | |||||
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/6/2027 (c) | 103,417 | 96,017 | |||
IT SERVICES — 0.2% | |||||
CoreLogic, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028 (c) | 62,264 | 52,166 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Avantor Funding, Inc., Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027 (c) | 33,806 | 33,700 | |||
MACHINERY-CONSTRUCTION & MINING — 0.2% | |||||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.91%, 8/21/2026 (c) | 61,344 | 56,015 | |||
MEDIA — 0.3% | |||||
MH Sub I LLC, Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024 (c) | 109,747 | 106,850 | |||
MISCELLANEOUS MANUFACTUR — 0.2% | |||||
Gates Global LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.50%, 6.88%, 3/31/2027 (c) | 76,729 | 75,251 | |||
PHARMACEUTICALS — 0.3% | |||||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028 (c) | 93,264 | 92,586 | |||
PROFESSIONAL SERVICES — 0.8% | |||||
Dun & Bradstreet Corp., Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026 (c) | 126,342 | 125,406 |
Security Description | Principal Amount | Value | |||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028 (c) | $ 133,987 | $ 128,842 | |||
254,248 | |||||
RETAIL-BUILDING PRODUCTS — 0.2% | |||||
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 6.99%, 12/28/2027 (c) | 88,871 | 78,096 | |||
RETAIL-RESTAURANTS — 0.4% | |||||
IRB Holding Corp., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025 (c) | 120,304 | 119,420 | |||
SOFTWARE — 0.9% | |||||
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 10/30/2026 (c) | 127,060 | 125,234 | |||
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028 (c) | 59,002 | 56,228 | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027 (c) | 45,566 | 41,636 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027 (c) | 72,634 | 66,370 | |||
289,468 | |||||
SPECIALTY RETAIL — 0.3% | |||||
At Home Group, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.98%, 7/24/2028 (c) | 53,588 | 42,408 | |||
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 4/15/2028 (c) | 73,815 | 63,994 | |||
106,402 | |||||
TRANSPORT-SERVICES — 0.3% | |||||
Endure Digital, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028 (c) | 99,846 | 90,111 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $5,289,681) | 5,053,377 |
Security Description | Shares | Value | |||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 2.0% | |||||
UNITED STATES — 2.0% | |||||
SPDR Blackstone Senior Loan ETF (d) | 8,015 | $ 327,814 | |||
SPDR Bloomberg High Yield Bond ETF (d) | 3,700 | 333,000 | |||
660,814 | |||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $661,295) | 660,814 |
Principal Amount | |||
COMMERCIAL MORTGAGE BACKED SECURITIES — 0.3% | |||
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a) (Cost $99,000) | $ 100,000 | 88,827 | |
TOTAL INVESTMENTS — 95.8% (Cost $33,642,519) | 31,608,100 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 4.2% | 1,379,169 | ||
NET ASSETS — 100.0% | $ 32,987,269 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 36.3% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
ISDA | International Swaps and Derivatives Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Commonwealth Bank of Australia | EUR 37,000 | USD 39,404 | 01/19/2023 | $(123) | ||||
Commonwealth Bank of Australia | EUR 95,000 | USD 101,339 | 01/19/2023 | (151) | ||||
Total | $(274) | |||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 52 | 03/22/2023 | $ 6,241,153 | $ 6,150,625 | $ (90,823) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 63 | 03/31/2023 | 6,877,923 | 6,799,570 | (78,353) | |||||
2 Yr. U.S. Treasury Note Futures (long) | 28 | 03/31/2023 | 5,769,263 | 5,742,188 | (27,075) | |||||
$(196,251) | ||||||||||
Euro-Bund Futures (short) | (14) | 03/08/2023 | (2,031,593) | (1,986,173) | 54,033 | |||||
$(142,218) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $24,125,424 | $— | $24,125,424 | ||||
Asset-Backed Securities | — | 1,520,524 | — | 1,520,524 | ||||
Commercial Mortgage Backed Securities | — | 88,827 | — | 88,827 | ||||
Convertible Bonds | — | 106,631 | — | 106,631 | ||||
Convertible Preferred Stocks | 15,803 | — | — | 15,803 | ||||
Mutual Funds and Exchange Traded Products | 660,814 | — | — | 660,814 | ||||
Preferred Stocks | 36,700 | — | — | 36,700 | ||||
Senior Floating Rate Loans | — | 5,053,377 | — | 5,053,377 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS | $ 713,317 | $30,894,783 | $— | $31,608,100 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Short Futures(a) | 54,033 | — | — | 54,033 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 54,033 | $ — | $— | $ 54,033 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ 767,350 | $30,894,783 | $— | $31,662,133 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(b) | — | (274) | — | (274) | ||||
Futures Contracts(a) | (196,251) | — | — | (196,251) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(196,251) | $ (274) | $— | $ (196,525) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
(b) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $ — | $ 625,451 | $ 295,103 | $(871) | $(1,664) | 8,015 | $327,813 | $ 7,499 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 627,764 | 296,695 | 749 | 1,182 | 3,700 | 333,000 | 7,305 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,958,487 | 1,958,487 | 17,245,680 | 19,204,167 | — | — | — | — | 23,215 | ||||||||
Total | $1,958,487 | $18,498,895 | $19,795,965 | $(122) | $ (482) | $660,813 | $38,019 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 92.5% | ||||||
ALABAMA — 2.4% | ||||||
Black Belt Energy Gas District Series B, 4.00%, 10/1/2052 (a) | $ 500,000 | $ 494,034 | ||||
Southeast Energy Authority, A Cooperative District , General Obligation Series B, 4.00%, 12/1/2051 (a) | 500,000 | 482,247 | ||||
976,281 | ||||||
ARIZONA — 0.2% | ||||||
Maricopa County Industrial Development Authority Revenue AMT, 4.00%, 10/15/2047 (b) | 100,000 | 80,873 | ||||
ARKANSAS — 1.2% | ||||||
Arkansas Development Finance Authority AMT, 5.45%, 9/1/2052 (b) | 500,000 | 483,558 | ||||
CALIFORNIA — 13.0% | ||||||
Anaheim Public Financing Authority Revenue Series C, ETM, Zero Coupon, 9/1/2036 (c) | 320,000 | 197,149 | ||||
California Housing Finance Revenue 3.50%, 11/20/2035 | 175,393 | 158,639 | ||||
California, State General Obligation: | ||||||
5.00%, 8/1/2029 | 100,000 | 108,246 | ||||
5.00%, 8/1/2030 | 360,000 | 388,961 | ||||
5.00%, 9/1/2031 | 245,000 | 264,889 | ||||
5.00%, 8/1/2033 | 280,000 | 301,421 | ||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue 5.00%, 6/1/2026 | 745,000 | 806,675 | ||||
Los Angeles, CA, Department of Water & Power System Revenue: | ||||||
Series B, 5.00%, 7/1/2026 | 640,000 | 693,190 | ||||
Series E, 5.00%, 7/1/2039 | 380,000 | 389,684 | ||||
Municipal Improvement Corp. of Los Angeles, Revenue Series A, 1.45%, 11/1/2027 | 540,000 | 457,338 | ||||
Norman Y Mineta San Jose International Airport SJC Revenue Series A, 5.00%, 3/1/2037 | 210,000 | 216,246 | ||||
Orange County Community Facilities District Series A, 5.00%, 8/15/2037 | 250,000 | 260,820 | ||||
Palomar Health, General Obligation Series A, Zero Coupon, 8/1/2027 | 100,000 | 85,707 | ||||
Sacramento City Financing Authority Revenue 5.00%, 12/1/2026 | 190,000 | 202,714 |
Security Description | Principal Amount | Value | |||
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Series H, AMT, 5.00%, 5/1/2028 | $ 175,000 | $ 186,735 | |||
University of California, Revenue Series BI, 1.37%, 5/15/2028 | 595,000 | 494,796 | |||
5,213,210 | |||||
COLORADO — 2.1% | |||||
City & County of Denver Co. Airport System Revenue Series B2, 5.00%, 11/15/2031 (a) | 400,000 | 418,320 | |||
Denver Convention Center Hotel Authority Revenue 5.00%, 12/1/2030 | 400,000 | 409,831 | |||
828,151 | |||||
CONNECTICUT — 2.7% | |||||
Connecticut, State Health & Educational Facility Authority Revenue Series A, 5.00%, 7/1/2027 | 120,000 | 123,406 | |||
South Central Connecticut Regional Water Authority Revenue Series B, 5.00%, 8/1/2037 | 125,000 | 131,541 | |||
State of Connecticut Series F, 5.00%, 11/15/2041 | 610,000 | 666,483 | |||
State of Connecticut, General Obligation Series B, 5.00%, 2/15/2028 | 150,000 | 165,896 | |||
1,087,326 | |||||
DELAWARE — 0.8% | |||||
Delaware Transportation Authority 5.00%, 7/1/2035 | 275,000 | 311,991 | |||
FLORIDA — 6.3% | |||||
County of Miami-Dade FL Aviation Revenue Series A, 5.00%, 10/1/2029 | 210,000 | 214,474 | |||
County of Miami-Dade FL Water & Sewer System Revenue 3.00%, 10/1/2036 | 500,000 | 452,733 | |||
Florida Development Finance Corp. AMT, VRN, 7.25%, 7/1/2057 (a) (b) | 540,000 | 538,391 | |||
Miami-Dade County, FL, General Obligation Series A, 5.00%, 7/1/2029 | 245,000 | 259,434 | |||
State of Florida Department of Transportation Series A, 5.00%, 7/1/2025 | 1,000,000 | 1,053,418 | |||
2,518,450 | |||||
GUAM — 0.8% | |||||
Territory of Guam Revenue Series A, 5.00%, 11/1/2035 | 300,000 | 312,630 |
Security Description | Principal Amount | Value | |||
HAWAII — 2.4% | |||||
Hawaii, State General Obligation Series EY, 5.00%, 10/1/2027 | $ 905,000 | $ 961,879 | |||
ILLINOIS — 8.4% | |||||
Chicago Board of Education, General Obligation Series A, 5.00%, 12/1/2035 | 300,000 | 302,055 | |||
Chicago Transit Authority Capital Grant Receipts Revenue 5.00%, 6/1/2024 | 150,000 | 153,748 | |||
Chicago, IL, Board of Education, General Obligation Series A, 5.00%, 12/1/2036 | 300,000 | 300,569 | |||
Chicago, IL, O'Hare International Airport Revenue Series B, 5.00%, 1/1/2029 | 160,000 | 166,092 | |||
Illinois, State Finance Authority Revenue 5.00%, 7/1/2039 | 230,000 | 250,630 | |||
Illinois, State Toll Highway Authority Revenue Series A, 5.00%, 1/1/2035 | 400,000 | 429,386 | |||
Northern Illinois Municipal Power Agency Revenue Series A, 5.00%, 12/1/2029 | 360,000 | 388,626 | |||
State of Illinois Sales Tax Revenue 5.00%, 6/15/2026 | 565,000 | 588,231 | |||
State of Illinois, General Obligation: | |||||
Series A, 4.00%, 3/1/2038 | 730,000 | 651,590 | |||
Series A, 5.00%, 12/1/2031 | 150,000 | 152,340 | |||
3,383,267 | |||||
IOWA — 0.5% | |||||
Iowa Finance Authority Revenue 4.00%, 12/1/2050 (a) | 200,000 | 191,298 | |||
KENTUCKY — 0.2% | |||||
Kentucky, Economic Development Finance Authority Revenue Series A, 4.25%, 7/1/2035 | 100,000 | 93,391 | |||
LOUISIANA — 0.7% | |||||
Louisiana Local Gov't Environmental Facilities & Community Development Auth Series B, 5.00%, 8/15/2025 | 250,000 | 262,939 | |||
MARYLAND — 3.0% | |||||
State of Maryland Department of Transportation Revenue: | |||||
5.00%, 8/1/2027 | 250,000 | 265,613 | |||
5.00%, 8/1/2028 | 400,000 | 427,954 | |||
5.00%, 8/1/2030 | 200,000 | 216,662 | |||
5.00%, 8/1/2031 | 250,000 | 272,682 | |||
1,182,911 | |||||
MASSACHUSETTS — 3.9% | |||||
Massachusetts Clean Water Trust: | |||||
Series 2018, 5.00%, 2/1/2029 | 690,000 | 707,677 |
Security Description | Principal Amount | Value | |||
Series 24B, 5.00%, 2/1/2037 | $ 750,000 | $ 855,496 | |||
1,563,173 | |||||
MICHIGAN — 0.3% | |||||
Michigan, State Finance Authority Revenue 5.00%, 11/1/2034 | 110,000 | 121,189 | |||
MINNESOTA — 0.3% | |||||
State of Mississippi, General Obligation Series A, 5.00%, 8/1/2035 | 100,000 | 110,561 | |||
MISSOURI — 2.7% | |||||
City of State Louis, MO, Airport Revenue 5.00%, 7/1/2029 | 100,000 | 111,594 | |||
Park Hill School District of Platte County 3.00%, 3/1/2032 | 1,000,000 | 980,683 | |||
1,092,277 | |||||
NEW JERSEY — 3.4% | |||||
New Jersey Economic Development Authority Revenue 5.00%, 6/15/2031 | 1,000,000 | 1,090,011 | |||
New Jersey Transportation Trust Fund Authority Revenue Series A, 5.00%, 6/15/2025 | 245,000 | 255,241 | |||
1,345,252 | |||||
NEW MEXICO — 2.5% | |||||
New Mexico Hospital Equipment Loan Council 4.00%, 8/1/2039 | 1,000,000 | 987,312 | |||
NEW YORK — 4.9% | |||||
City of New York, NY, General Obligation Series A-1, 4.00%, 8/1/2037 | 1,000,000 | 995,266 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.00%, 11/1/2023 | 10,000 | 10,161 | |||
New York, NY, City Transitional Finance Authority, Future Tax Secured Revenue 5.00%, 8/1/2027 | 120,000 | 123,808 | |||
New York, State Dormitory Authority Revenue, State Supported Debt: | |||||
Series B-GRP B, 5.00%, 2/15/2034 | 300,000 | 312,231 | |||
Series E, 5.25%, 3/15/2033 | 400,000 | 424,508 | |||
Triborough Bridge & Tunnel Authority Revenue Series A, 5.00%, 11/1/2025 | 85,000 | 90,442 | |||
1,956,416 | |||||
NORTH CAROLINA — 1.3% | |||||
County of Wake NC Series A, 5.00%, 2/1/2025 | 500,000 | 524,006 |
Security Description | Principal Amount | Value | |||
OHIO — 2.4% | |||||
State of Ohio Revenue 5.00%, 1/1/2029 | $ 850,000 | $ 952,197 | |||
OREGON — 4.4% | |||||
Medford Hospital Facilities Authority Revenue Series A, 5.00%, 8/15/2032 | 900,000 | 993,773 | |||
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation Series A, 5.00%, 6/15/2038 | 695,000 | 757,662 | |||
1,751,435 | |||||
PENNSYLVANIA — 5.3% | |||||
City of Philadelphia PA Airport Revenue Series B, 5.00%, 7/1/2032 | 750,000 | 782,811 | |||
Commonwealth Financing Authority 4.00%, 6/1/2039 (c) | 500,000 | 491,938 | |||
Pennsylvania Economic Development Financing Authority Revenue Series A, 5.00%, 2/1/2025 | 100,000 | 102,948 | |||
Pennsylvania, State General Obligation 5.00%, 3/15/2027 | 100,000 | 104,614 | |||
Pennsylvania, State University, Revenue Series B, 5.00%, 9/1/2033 | 600,000 | 645,919 | |||
2,128,230 | |||||
TENNESSEE — 1.1% | |||||
New Memphis Arena Public Building Authority Revenue 4.00%, 4/1/2030 | 530,000 | 462,167 | |||
TEXAS — 3.1% | |||||
Harris County-Houston Sports Authority Series A, 5.00%, 11/15/2029 | 505,000 | 517,863 | |||
Houston of Harris County, TX, Port Authority General Obligation Series A, 5.00%, 10/1/2027 | 260,000 | 284,486 | |||
New Hope, Cultural Education Facilities Corp. Revenue Series A-1, 5.50%, 1/1/2057 | 320,000 | 230,620 | |||
Plano, TX, Independent School District, General Obligation Series A, 5.00%, 2/15/2027 (c) | 215,000 | 229,794 | |||
1,262,763 | |||||
UTAH — 3.9% | |||||
City of Salt Lake City UT Airport Revenue Series A, 5.00%, 7/1/2024 | 815,000 | 834,693 | |||
Vineyard Redevelopment Agency: | |||||
5.00%, 5/1/2024 (c) | 350,000 | 359,364 |
Security Description | Principal Amount | Value | ||||
5.00%, 5/1/2027 (c) | $ 325,000 | $ 352,704 | ||||
1,546,761 | ||||||
VIRGINIA — 1.2% | ||||||
Virginia Small Business Financing Authority Revenue: | ||||||
5.00%, 6/30/2039 | 125,000 | 129,211 | ||||
5.00%, 12/31/2039 | 355,000 | 366,959 | ||||
496,170 | ||||||
WASHINGTON — 3.0% | ||||||
Port of Seattle WA Series C, 5.00%, 4/1/2035 | 750,000 | 762,649 | ||||
Port of Seattle WA Revenue Series A, 5.00%, 8/1/2033 | 230,000 | 266,201 | ||||
Washington, State General Obligation Series A, 5.00%, 8/1/2029 | 150,000 | 161,342 | ||||
1,190,192 | ||||||
WISCONSIN — 4.1% | ||||||
Public Finance Authority 6.00%, 6/15/2052 | 250,000 | 228,514 | ||||
Wisconsin Health & Educational Facilities Authority Revenue: | ||||||
5.00%, 10/15/2027 | 350,000 | 375,438 | ||||
5.00%, 10/15/2028 | 850,000 | 923,333 | ||||
Wisconsin, State General Obligation Series 2, 5.00%, 11/1/2027 | 100,000 | 109,576 | ||||
1,636,861 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $39,788,552) | 37,015,117 |
Shares | |||
SHORT-TERM INVESTMENT — 3.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (d) (e) (Cost $1,442,669) | 1,442,669 | 1,442,669 | |
TOTAL INVESTMENTS — 96.1% (Cost $41,231,221) | 38,457,786 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.9% | 1,578,828 | ||
NET ASSETS — 100.0% | $ 40,036,614 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Bond is insured by the following: |
% of Net Assets | |
Assured Guaranty Municipal Corp. | 3.5% |
Permanent School Fund Guaranteed | 0.6% |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2022. |
AMT | Alternative Minimum Tax |
ETM | Escrowed to Maturity |
UT | Unlimited Tax |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $ — | $37,015,117 | $— | $ 37,015,117 | ||||
Short-Term Investment | 1,442,669 | — | — | 1,442,669 | ||||
TOTAL INVESTMENTS | $1,442,669 | $37,015,117 | $— | $38,457,786 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,595,897 | $1,595,897 | $9,012,977 | $9,166,205 | $— | $— | 1,442,669 | $1,442,669 | $35,463 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 93.2% | ||||||
ARIZONA — 0.7% | ||||||
City of Phoenix Civic Improvement Corp. Series D, Class D, 5.00%, 7/1/2030 | $ 215,000 | $ 234,866 | ||||
CALIFORNIA — 10.8% | ||||||
California Health Facilities Financing Authority Series A-1, Class A1, 5.00%, 11/1/2027 | 200,000 | 222,188 | ||||
California, State General Obligation: | ||||||
4.00%, 11/1/2026 | 750,000 | 787,567 | ||||
5.00%, 8/1/2024 | 100,000 | 103,534 | ||||
5.00%, 3/1/2027 | 120,000 | 126,114 | ||||
Compton Unified School District Series B, Class B, Build America Mutual Assurance Company, 4.00%, 6/1/2032 (a) | 175,000 | 183,035 | ||||
Folsom Ranch Financing Authority Revenue 5.00%, 9/1/2029 | 145,000 | 155,663 | ||||
Hartnell Community College District/CA Series B, 4.00%, 8/1/2034 | 215,000 | 223,731 | ||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Series A, 5.00%, 7/1/2025 | 125,000 | 132,608 | ||||
Los Angeles, CA, Department of Water & Power System Revenue: | ||||||
Series A, 5.00%, 7/1/2028 | 250,000 | 279,604 | ||||
Series E, 5.00%, 7/1/2039 | 600,000 | 615,291 | ||||
Orange County Community Facilities District Series A, 5.00%, 8/15/2052 | 200,000 | 200,986 | ||||
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Class D, 5.00%, 5/1/2025 | 375,000 | 394,655 | ||||
San Francisco Unified School District, General Obligations 4.00%, 6/15/2026 | 185,000 | 193,504 | ||||
San Mateo Foster City Public Financing Authority, Revenue 4.00%, 8/1/2035 | 175,000 | 184,031 | ||||
3,802,511 | ||||||
COLORADO — 2.1% | ||||||
Colorado Health Facilities Authority Revenue Series A, 5.00%, 1/1/2025 | 300,000 | 312,740 | ||||
Regional Transportation District Revenue Series A, Class A, 5.00%, 7/15/2027 | 400,000 | 416,427 | ||||
729,167 |
Security Description | Principal Amount | Value | |||
CONNECTICUT — 4.6% | |||||
State of Connecticut Series F, 5.00%, 11/15/2041 | $ 610,000 | $ 666,483 | |||
State of Connecticut, General Obligation Series E, 5.00%, 10/15/2029 | 500,000 | 540,259 | |||
University of Connecticut Revenue Series A, Class A, 5.00%, 4/15/2026 | 380,000 | 407,472 | |||
1,614,214 | |||||
DELAWARE — 1.5% | |||||
Delaware Municipal Electric Corp. Revenue 5.00%, 7/1/2030 | 300,000 | 342,873 | |||
Delaware Transportation Authority Revenue 3.25%, 7/1/2025 | 180,000 | 181,447 | |||
524,320 | |||||
DISTRICT OF COLUMBIA — 2.8% | |||||
District of Columbia Revenue Class A, 5.00%, 8/31/2026 | 700,000 | 728,547 | |||
Washington Metropolitan Area Transit Authority Revenue 5.00%, 7/1/2024 | 250,000 | 258,180 | |||
986,727 | |||||
FLORIDA — 9.5% | |||||
City of Gainesville FL Utilities System Revenue Series A, 5.00%, 10/1/2025 | 290,000 | 306,569 | |||
City of Pompano Beach, FL , Revenue 3.50%, 9/1/2030 | 250,000 | 224,300 | |||
County of Miami-Dade FL Aviation Revenue Series A, Class A, 5.00%, 10/1/2024 | 370,000 | 383,636 | |||
Florida Development Finance Corp. AMT, VRN, 7.25%, 7/1/2057 (b) (c) | 300,000 | 299,106 | |||
Florida Development Finance Corp. Revenue: | |||||
4.00%, 11/15/2034 | 385,000 | 385,464 | |||
Series A, Class A, 4.00%, 6/15/2042 | 500,000 | 426,527 | |||
Miami-Dade County Expressway Authority Revenue Series A, Class A, 5.00%, 7/1/2025 | 100,000 | 102,593 | |||
Orlando Utilities Commission Revenue Revenue Series A, 5.00%, 10/1/2027 | 150,000 | 165,597 | |||
Palm Beach County Health Facilities Authority Revenue 5.00%, 11/15/2032 | 100,000 | 100,657 |
Security Description | Principal Amount | Value | |||
Somerset Community Development District: | |||||
4.00%, 5/1/2032 | $ 200,000 | $ 185,023 | |||
4.20%, 5/1/2037 | 200,000 | 177,855 | |||
Tallahassee, FL, Energy System Revenue Series A, 5.00%, 10/1/2037 | 560,000 | 577,355 | |||
3,334,682 | |||||
ILLINOIS — 3.8% | |||||
Chicago, IL, O'Hare International Airport Revenue 5.00%, 1/1/2034 | 400,000 | 433,395 | |||
Illinois Finance Authority, Water Revenue 5.00%, 7/1/2036 | 270,000 | 303,111 | |||
Illinois State Toll Highway Authority Revenue Series B, 5.00%, 1/1/2027 | 140,000 | 151,908 | |||
Mount Prospect Park District, General Obligation Series A, Class A, 5.00%, 11/1/2031 | 280,000 | 319,113 | |||
State of Illinois, General Obligation 5.50%, 1/1/2028 | 130,000 | 137,299 | |||
1,344,826 | |||||
IOWA — 0.8% | |||||
Iowa Finance Authority Revenue 4.00%, 12/1/2050 (c) | 300,000 | 286,947 | |||
MAINE — 0.3% | |||||
City of Auburn ME 5.00%, 9/1/2024 | 100,000 | 103,655 | |||
MARYLAND — 4.3% | |||||
County of Montgomery MD, General Obligation Series B, Class B, 4.00%, 11/1/2028 | 125,000 | 134,362 | |||
Maryland Economic Development Corp.Revenue Series B, Class B, 5.00%, 12/31/2036 | 425,000 | 432,301 | |||
Maryland, State General Obligation Series B, Class B, 5.00%, 8/1/2027 | 400,000 | 441,879 | |||
State of Maryland Department of Transportation Revenue 5.00%, 10/1/2028 | 285,000 | 315,249 | |||
Washington Suburban Sanitary Commission Revenue 5.00%, 6/1/2027 | 150,000 | 165,170 | |||
1,488,961 | |||||
MASSACHUSETTS — 4.3% | |||||
Massachusetts Bay Transportation Authority Sales Tax Revenue Series A, 5.00%, 7/1/2025 | 350,000 | 370,083 |
Security Description | Principal Amount | Value | |||
Massachusetts Clean Water Trust Series 24B, 5.00%, 2/1/2037 | $ 750,000 | $ 855,496 | |||
Massachusetts Development Finance Agency Revenue Series A-2, 5.00%, 7/1/2027 | 250,000 | 273,069 | |||
1,498,648 | |||||
MINNESOTA — 1.9% | |||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority Revenue Class A, 5.00%, 11/15/2026 | 330,000 | 354,706 | |||
Minneapolis, St. Paul Metropolitan Airports Commission Revenue Series B, 5.00%, 1/1/2034 | 300,000 | 325,757 | |||
680,463 | |||||
NEW JERSEY — 4.4% | |||||
Hudson County Improvement Authority Revenue 3.00%, 10/1/2034 | 100,000 | 92,954 | |||
New Jersey Economic Development Authority Revenue: | |||||
Series MMM, 5.00%, 6/15/2033 | 180,000 | 194,312 | |||
Series QQQ, 5.00%, 6/15/2033 | 275,000 | 299,581 | |||
New Jersey Transportation Trust Fund Authority Series CC, 5.25%, 6/15/2036 | 300,000 | 329,167 | |||
New Jersey, Transportation Trust Fund Authority Revenue Series AA, Ambac Financial Group, 5.00%, 6/15/2036 | 250,000 | 250,885 | |||
State of New Jersey Series A, Class A, 5.00%, 6/1/2027 | 330,000 | 360,494 | |||
1,527,393 | |||||
NEW YORK — 10.5% | |||||
City of New York NY: | |||||
Series A, 5.00%, 8/1/2025 | 105,000 | 111,100 | |||
Series A-1, 5.00%, 9/1/2034 | 400,000 | 461,238 | |||
Hudson Yards Infrastructure Corp. Series A, 5.00%, 2/15/2030 | 300,000 | 327,120 | |||
Metropolitan Transportation Authority Series A, 5.00%, 11/15/2037 | 575,000 | 634,156 | |||
Metropolitan Transportation Authority Revenue Series E, Class E, 3.50%, 11/15/2032 | 230,000 | 230,018 | |||
New York City Transitional Finance Authority Building Aid Revenue Series S1A, Class A, 5.00%, 7/15/2038 | 475,000 | 515,720 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.00%, 11/1/2034 | 250,000 | 285,824 |
Security Description | Principal Amount | Value | |||
New York State Dormitory Authority Revenue 5.00%, 10/1/2025 | $ 500,000 | $ 533,203 | |||
New York Transportation Development Corp. Revenue 5.00%, 12/1/2037 | 300,000 | 308,696 | |||
New York Transportation Development Corp. Revenue 5.00%, 12/1/2036 | 250,000 | 258,549 | |||
3,665,624 | |||||
NORTH CAROLINA — 2.9% | |||||
City of Charlotte NC Water & Sewer System Revenue 4.00%, 7/1/2035 | 800,000 | 826,571 | |||
County of Wake NC, Revenue Series A, Class A, 5.00%, 8/1/2026 | 185,000 | 200,103 | |||
1,026,674 | |||||
OHIO — 2.0% | |||||
Ohio, State General Obligation Series A, Class A, 5.00%, 5/1/2025 | 670,000 | 705,582 | |||
OKLAHOMA — 2.2% | |||||
Carter County Public Facilities Authority Revenue 5.00%, 9/1/2028 | 200,000 | 212,370 | |||
Muskogee Industrial Trust Revenue 4.00%, 9/1/2032 | 100,000 | 102,415 | |||
Norman Regional Hospital Authority Revenue 4.00%, 9/1/2037 | 230,000 | 207,372 | |||
Oklahoma County Finance Authority Revenue 4.00%, 12/1/2027 | 250,000 | 256,120 | |||
778,277 | |||||
OREGON — 3.4% | |||||
Medford Hospital Facilities Authority Series A, 5.00%, 8/15/2037 | 720,000 | 770,664 | |||
Port of Portland OR Airport Revenue Series A, 5.00%, 7/1/2031 | 380,000 | 435,095 | |||
1,205,759 | |||||
PENNSYLVANIA — 3.8% | |||||
Central Bucks School District, General Obligation 5.00%, 5/15/2025 | 270,000 | 284,719 | |||
Commonwealth of Pennsylvania, General Obligation 2nd Series, 5.00%, 9/15/2023 | 500,000 | 507,314 | |||
Pennsylvania Turnpike Commission Revenue 5.00%, 6/1/2027 | 500,000 | 528,228 | |||
1,320,261 |
Security Description | Principal Amount | Value | ||||
TEXAS — 4.0% | ||||||
City of Garland TX Electric Utility System Revenue 5.00%, 3/1/2024 | $ 300,000 | $ 306,730 | ||||
County of Williamson, TX , General Obligation 5.00%, 2/15/2028 | 155,000 | 171,660 | ||||
Love Field Airport Modernization Corp. Revenue 5.00%, 11/1/2034 | 105,000 | 108,841 | ||||
Texas Woman's University Series A, 5.00%, 7/1/2037 | 300,000 | 334,501 | ||||
University of Texas, Revenue Series B, 5.00%, 8/15/2029 | 425,000 | 486,856 | ||||
1,408,588 | ||||||
VIRGINIA — 2.1% | ||||||
Chesapeake Bay Bridge & Tunnel District 5.00%, 11/1/2023 | 610,000 | 615,573 | ||||
Hampton Roads Transportation Accountability Commission Revenue Series A, Class A, 5.00%, 7/1/2026 | 125,000 | 134,635 | ||||
750,208 | ||||||
WASHINGTON — 8.1% | ||||||
Central Puget Sound, Regional Transit Authority Revenue Series S-1, 5.00%, 11/1/2045 | 105,000 | 111,811 | ||||
Energy Northwest, WA, Revenue Series A, Class A, 5.00%, 7/1/2028 | 750,000 | 836,917 | ||||
King County Public Hospital District No 1 5.00%, 12/1/2036 | 590,000 | 625,322 | ||||
Port of Seattle WA Series C, 5.00%, 4/1/2035 | 750,000 | 762,649 | ||||
Port of Seattle WA, Revenue Series B, 5.00%, 6/1/2034 | 200,000 | 226,201 | ||||
State of Washington, General Obligation Series A, 5.00%, 8/1/2033 | 250,000 | 271,668 | ||||
2,834,568 | ||||||
WISCONSIN — 2.4% | ||||||
Public Finance Authority Revenue Series A, Class A, 4.00%, 11/15/2037 | 600,000 | 533,505 | ||||
State of Wisconsin Revenue Series A, Class A, 5.00%, 5/1/2025 | 300,000 | 315,724 | ||||
849,229 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $33,239,363) | 32,702,150 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 3.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (d) (e) (Cost $1,207,057) | 1,207,057 | $ 1,207,057 | ||||
TOTAL INVESTMENTS — 96.6% (Cost $34,446,420) | 33,909,207 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.4% | 1,202,168 | |||||
NET ASSETS — 100.0% | $ 35,111,375 |
(a) | Bond is insured by the following: |
% of Net Assets | |
Build America Mutual Assurance Company | 0.5% |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.9% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2022. |
AMT | Alternative Minimum Tax |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $ — | $32,702,150 | $— | $32,702,150 | ||||
Short-Term Investment | 1,207,057 | — | — | 1,207,057 | ||||
TOTAL INVESTMENTS | $1,207,057 | $32,702,150 | $— | $33,909,207 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street ESG Liquid Reserves Fund, Premier Class | 1,543,320 | $1,543,320 | $2,576,364 | $4,120,138 | $485 | $(31) | — | $ — | $ 6,665 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 6,395,309 | 5,188,252 | — | — | 1,207,057 | 1,207,057 | 16,472 | ||||||||
Total | $1,543,320 | $8,971,673 | $9,308,390 | $485 | $(31) | $1,207,057 | $23,137 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC FIXED INCOME — 99.8% | ||||||
SPDR Bloomberg 1-3 Month T-Bill ETF (a)(b) | 34,470 | $ 3,152,971 | ||||
SPDR Bloomberg International Treasury Bond ETF (a) | 207,589 | 4,656,221 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b) | 672,893 | 21,418,184 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a) | 1,456,630 | 41,135,231 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a)(b) | 434,250 | 9,748,912 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 692,391 | 20,100,111 | ||||
SPDR Portfolio Mortgage Backed Bond ETF (a)(b) | 1,938,441 | 42,064,170 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $151,811,574) | 142,275,800 | |||||
SHORT-TERM INVESTMENTS — 18.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 354,569 | 354,569 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 25,608,951 | 25,608,951 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $25,963,519) | $ 25,963,520 | |||||
TOTAL INVESTMENTS — 118.0% (Cost $177,775,093) | 168,239,320 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (18.0)% | (25,624,205) | |||||
NET ASSETS — 100.0% | $ 142,615,115 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $142,275,800 | $— | $— | $142,275,800 | ||||
Short-Term Investments | 25,963,520 | — | — | 25,963,520 | ||||
TOTAL INVESTMENTS | $168,239,320 | $— | $— | $168,239,320 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 208,058 | $ 19,035,227 | $ 17,319,628 | $ 33,197,324 | $ 4,887 | $ (9,447) | 34,470 | $ 3,152,971 | $ 185,379 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 3,452,942 | 3,307,424 | (145,518) | — | — | — | 17,687 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 26,869 | 622,286 | 7,681,688 | 3,764,253 | (17,957) | 134,457 | 207,589 | 4,656,221 | 31,050 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 526,060 | 17,165,338 | 14,329,241 | 9,680,989 | (646,265) | 250,859 | 672,893 | 21,418,184 | 322,891 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 628,939 | 18,534,832 | 35,492,772 | 11,320,807 | (807,673) | (763,893) | 1,456,630 | 41,135,231 | 304,032 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 11,160 | 268,844 | 13,309,525 | 2,978,573 | (234,469) | (616,415) | 434,250 | 9,748,912 | 49,744 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 986,122 | 32,611,055 | 15,854,157 | 25,416,618 | (4,894,706) | 1,946,223 | 692,391 | 20,100,111 | 390,322 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 1,318,878 | 30,136,362 | 27,561,671 | 13,426,485 | (1,437,637) | (769,741) | 1,938,441 | 42,064,170 | 588,370 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 188,090 | 188,090 | 563,595 | 397,116 | — | — | 354,569 | 354,569 | 3,120 | ||||||||
State Street Navigator Securities Lending Portfolio II | 20,836,025 | 20,836,025 | 355,522,760 | 350,749,834 | — | — | 25,608,951 | 25,608,951 | 103,805 | ||||||||
Total | $139,398,059 | $491,087,979 | $454,239,423 | $(8,179,338) | $ 172,043 | $168,239,320 | $1,996,400 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% | ||||||
DOMESTIC EQUITY — 99.6% | ||||||
The Consumer Discretionary Select Sector SPDR Fund (a)(b) | 116,106 | $ 14,996,251 | ||||
The Consumer Staples Select Sector SPDR Fund (a)(b) | 467,918 | 34,883,287 | ||||
The Energy Select Sector SPDR Fund (a) | 178,899 | 15,648,296 | ||||
The Financial Select Sector SPDR Fund (a)(b) | 1,367,763 | 46,777,495 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 250,612 | 34,045,640 | ||||
The Industrial Select Sector SPDR Fund (a)(b) | 220,926 | 21,697,142 | ||||
The Materials Select Sector SPDR Fund (a)(b) | 194,442 | 15,104,255 | ||||
The Technology Select Sector SPDR Fund (a) | 328,542 | 40,883,766 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $225,194,386) | 224,036,132 | |||||
SHORT-TERM INVESTMENTS — 26.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 1,048,991 | 1,048,991 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 58,900,996 | 58,900,996 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $59,949,987) | $ 59,949,987 | |||||
TOTAL INVESTMENTS — 126.2% (Cost $285,144,373) | 283,986,119 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (26.2)% | (58,980,728) | |||||
NET ASSETS — 100.0% | $ 225,005,391 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $224,036,132 | $— | $— | $224,036,132 | ||||
Short-Term Investments | 59,949,987 | — | — | 59,949,987 | ||||
TOTAL INVESTMENTS | $ 283,986,119 | $— | $— | $ 283,986,119 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 747,558 | $ 747,558 | $ 3,825,872 | $ 3,524,439 | $ — | $ — | 1,048,991 | $ 1,048,991 | $ 6,057 | ||||||||
State Street Navigator Securities Lending Portfolio II | 34,939,526 | 34,939,526 | 530,992,125 | 507,030,655 | — | — | 58,900,996 | 58,900,996 | 55,173 | ||||||||
The Communication Services Select Sector SPDR Fund | 71,118 | 3,859,574 | 9,894,873 | 12,662,008 | (1,817,340) | 724,901 | — | — | 10,940 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 101,186 | 13,911,051 | 12,191,555 | 9,845,904 | (2,249,044) | 988,593 | 116,106 | 14,996,251 | 79,330 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 87,688 | 6,329,320 | 46,767,911 | 17,808,575 | (281,675) | (123,694) | 467,918 | 34,883,287 | 334,011 | ||||||||
The Energy Select Sector SPDR Fund | 177,229 | 12,673,646 | 5,444,748 | 5,817,362 | 629,973 | 2,717,291 | 178,899 | 15,648,296 | 336,634 | ||||||||
The Financial Select Sector SPDR Fund | 748,783 | 23,549,225 | 24,778,515 | 4,107,445 | 429,516 | 2,127,684 | 1,367,763 | 46,777,495 | 485,528 | ||||||||
The Health Care Select Sector SPDR Fund | 246,210 | 31,573,970 | 18,258,908 | 18,477,224 | 40,445 | 2,649,541 | 250,612 | 34,045,640 | 283,129 | ||||||||
The Industrial Select Sector SPDR Fund | 229,397 | 20,035,534 | 15,162,268 | 15,092,771 | (1,766,047) | 3,358,158 | 220,926 | 21,697,142 | 195,801 | ||||||||
The Materials Select Sector SPDR Fund | 278,774 | 20,517,766 | 19,216,280 | 24,275,972 | (3,769,096) | 3,415,277 | 194,442 | 15,104,255 | 147,419 | ||||||||
The Real Estate Sector SPDR Fund | 136,665 | 5,584,133 | 31,935 | 5,675,084 | (803,327) | 862,343 | — | — | — | ||||||||
The Technology Select Sector SPDR Fund | 394,971 | 50,208,714 | 22,142,088 | 30,640,808 | (1,607,107) | 780,879 | 328,542 | 40,883,766 | 258,900 | ||||||||
The Utilities Select Sector SPDR Fund | 204,622 | 14,350,141 | 10,533,603 | 24,227,957 | (1,331,293) | 675,506 | — | — | 155,207 | ||||||||
Total | $238,280,158 | $719,240,681 | $679,186,204 | $(12,524,995) | $18,176,479 | $283,986,119 | $2,348,129 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 69.3% | ||||||
BRAZIL — 2.5% | ||||||
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (a) | $ 400,000 | $ 387,620 | ||||
MC Brazil Downstream Trading SARL 7.25%, 6/30/2031 | 900,000 | 741,735 | ||||
Movida Europe SA 5.25%, 2/8/2031 | 300,000 | 225,150 | ||||
MV24 Capital B.V. 6.75%, 6/1/2034 | 171,300 | 156,572 | ||||
Simpar Europe SA 5.20%, 1/26/2031 | 200,000 | 151,166 | ||||
1,662,243 | ||||||
CHILE — 9.8% | ||||||
CAP SA: | ||||||
3.90%, 4/27/2031 (b) | 600,000 | 470,076 | ||||
3.90%, 4/27/2031 | 1,000,000 | 783,460 | ||||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 (b) | 2,500,000 | 1,793,600 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 113,000 | 100,626 | ||||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 1,194,480 | 1,102,613 | ||||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 1,400,000 | 1,142,022 | ||||
Mercury Chile Holdco LLC 6.50%, 1/24/2027 (b) | 800,000 | 763,216 | ||||
Telefonica Moviles Chile SA 3.54%, 11/18/2031 (b) | 150,000 | 123,453 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 200,000 | 124,716 | ||||
VTR Finance NV Series REGS, 6.38%, 7/15/2028 | 500,000 | 195,155 | ||||
6,598,937 | ||||||
COLOMBIA — 7.5% | ||||||
AI Candelaria Spain SA: | ||||||
5.75%, 6/15/2033 (b) | 500,000 | 382,615 | ||||
5.75%, 6/15/2033 | 725,000 | 554,792 | ||||
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (a)(b) | 400,000 | 308,285 | ||||
Ecopetrol SA: | ||||||
4.63%, 11/2/2031 | 1,500,000 | 1,149,495 | ||||
5.88%, 5/28/2045 | 100,000 | 70,000 | ||||
5.88%, 11/2/2051 | 250,000 | 168,950 | ||||
Empresas Publicas de Medellin ESP: | ||||||
Series REGS, 4.25%, 7/18/2029 | 1,500,000 | 1,193,205 | ||||
Series REGS, 4.38%, 2/15/2031 | 500,000 | 385,015 |
Security Description | Principal Amount | Value | ||||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | $ 950,000 | $ 837,681 | ||||
5,050,038 | ||||||
INDIA — 5.6% | ||||||
Adani Electricity Mumbai, Ltd. Series REGS, 3.87%, 7/22/2031 | 200,000 | 144,010 | ||||
Adani International Container Terminal Pvt, Ltd.: | ||||||
3.00%, 2/16/2031 (b) | 375,000 | 295,834 | ||||
Series REGS, 3.00%, 2/16/2031 | 937,500 | 735,092 | ||||
Adani Ports & Special Economic Zone, Ltd.: | ||||||
3.10%, 2/2/2031 | 1,000,000 | 733,520 | ||||
Series REGS, 4.38%, 7/3/2029 | 700,000 | 588,077 | ||||
JSW Steel, Ltd. 5.05%, 4/5/2032 | 200,000 | 158,048 | ||||
Periama Holdings LLC 5.95%, 4/19/2026 | 200,000 | 186,738 | ||||
UPL Corp., Ltd. 4.63%, 6/16/2030 | 900,000 | 700,717 | ||||
Vedanta Resources, Ltd. Series REGS, 6.13%, 8/9/2024 | 400,000 | 252,324 | ||||
3,794,360 | ||||||
INDONESIA — 6.7% | ||||||
Freeport Indonesia PT: | ||||||
5.32%, 4/14/2032 (b) | 400,000 | 367,772 | ||||
6.20%, 4/14/2052 | 300,000 | 261,879 | ||||
Indofood CBP Sukses Makmur Tbk PT 3.40%, 6/9/2031 | 200,000 | 164,548 | ||||
Indonesia Asahan Aluminium Persero PT 5.80%, 5/15/2050 | 200,000 | 167,544 | ||||
LLPL Capital Pte., Ltd.: | ||||||
6.88%, 2/4/2039 (b) | 341,280 | 297,576 | ||||
6.88%, 2/4/2039 | 1,450,440 | 1,264,697 | ||||
Minejesa Capital B.V. Series REGS, 5.63%, 8/10/2037 | 2,600,000 | 2,012,374 | ||||
4,536,390 | ||||||
ISRAEL — 3.0% | ||||||
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032 (a)(b) | 1,100,000 | 946,528 | ||||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (a)(b) | 1,200,000 | 1,061,856 | ||||
2,008,384 | ||||||
JAMAICA — 0.0% (c) | ||||||
Digicel Group Holdings, Ltd.: | ||||||
7.00%, 12/31/2099 (b) | 65,748 | 5,917 |
Security Description | Principal Amount | Value | ||||
8.00%, 4/1/2025 (b) | $ 45,531 | $ 12,414 | ||||
18,331 | ||||||
KUWAIT — 1.2% | ||||||
Equate Petrochemical B.V. Series REGS, 2.63%, 4/28/2028 | 900,000 | 783,000 | ||||
LUXEMBOURG — 0.3% | ||||||
Guara Norte SARL 5.20%, 6/15/2034 | 273,171 | 230,881 | ||||
MALAYSIA — 0.5% | ||||||
Petronas Capital, Ltd. 2.48%, 1/28/2032 (b) | 400,000 | 329,852 | ||||
MAURITIUS — 0.9% | ||||||
Network i2i Ltd. Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099 (a) | 700,000 | 610,134 | ||||
MEXICO — 4.8% | ||||||
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029 (a) | 800,000 | 732,168 | ||||
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031 (a) | 200,000 | 166,154 | ||||
BBVA Bancomer SA 5 Year CMT + 4.31%, 5.88%, 9/13/2034 (a) | 700,000 | 647,906 | ||||
Braskem Idesa SAPI 6.99%, 2/20/2032 | 200,000 | 142,950 | ||||
Cemex SAB de CV 5 Year CMT + 4.53%, 5.13%, 6/8/2026 (a) | 500,000 | 463,125 | ||||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b) | 300,000 | 66,291 | ||||
Mexico Generadora de Energia S de rl Series REGS, 5.50%, 12/6/2032 | 683,500 | 656,331 | ||||
Petroleos Mexicanos 6.75%, 9/21/2047 | 550,000 | 352,016 | ||||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (a)(d) | 800,000 | 5,288 | ||||
3,232,229 | ||||||
PANAMA — 2.0% | ||||||
Banco Nacional de Panama 2.50%, 8/11/2030 (b) | 300,000 | 240,555 | ||||
C&W Senior Financing DAC Series REGS, 6.88%, 9/15/2027 | 400,000 | 371,300 | ||||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 246,000 | 200,350 | ||||
UEP Penonome II SA 6.50%, 10/1/2038 (b) | 729,390 | 532,447 | ||||
1,344,652 |
Security Description | Principal Amount | Value | ||||
PARAGUAY — 0.3% | ||||||
Bioceanico Sovereign Certificate, Ltd. Zero Coupon, 6/5/2034 | $ 319,650 | $ 217,228 | ||||
PERU — 6.2% | ||||||
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029 (a) | 200,000 | 194,210 | ||||
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (a) | 1,050,000 | 950,407 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 821,764 | 753,123 | ||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | 1,179,900 | 1,121,790 | ||||
Orazul Energy Peru SA 5.63%, 4/28/2027 | 252,000 | 226,873 | ||||
Petroleos del Peru SA: | ||||||
4.75%, 6/19/2032 | 500,000 | 382,395 | ||||
5.63%, 6/19/2047 | 200,000 | 130,130 | ||||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 8.63%, 12/13/2027 (a) | 400,000 | 395,144 | ||||
4,154,072 | ||||||
QATAR — 1.6% | ||||||
QatarEnergy Trading LLC 2.25%, 7/12/2031 | 1,300,000 | 1,075,701 | ||||
SAUDI ARABIA — 2.3% | ||||||
EIG Pearl Holdings SARL: | ||||||
3.55%, 8/31/2036 | 700,000 | 587,972 | ||||
Series REGS, 4.39%, 11/30/2046 | 800,000 | 614,043 | ||||
SA Global Sukuk, Ltd. 2.69%, 6/17/2031 (b) | 400,000 | 341,864 | ||||
1,543,879 | ||||||
SINGAPORE — 6.2% | ||||||
DBS Group Holdings, Ltd. Series GMTN, 5 Year CMT + 1.10%, 1.82%, 3/10/2031 (a) | 950,000 | 843,989 | ||||
Oversea-Chinese Banking Corp., Ltd.: | ||||||
5 Year CMT + 1.58%, 1.83%, 9/10/2030 (a)(b) | 500,000 | 449,970 | ||||
Series REGS, 5 Year CMT + 1.58%, 1.83%, 9/10/2030 (a) | 200,000 | 179,988 | ||||
SingTel Group Treasury Pte, Ltd. 1.88%, 6/10/2030 | 1,300,000 | 1,048,809 | ||||
Temasek Financial I Ltd. 1.00%, 10/6/2030 (b) | 2,100,000 | 1,624,539 | ||||
4,147,295 |
Security Description | Principal Amount | Value | ||||
SOUTH AFRICA — 1.1% | ||||||
AngloGold Ashanti Holdings PLC 3.75%, 10/1/2030 | $ 500,000 | $ 436,625 | ||||
Sasol Financing USA LLC 5.50%, 3/18/2031 | 400,000 | 324,712 | ||||
761,337 | ||||||
SOUTH KOREA — 2.0% | ||||||
KT Corp.: | ||||||
1.00%, 9/1/2025 | 400,000 | 356,996 | ||||
Series REGS, 2.50%, 7/18/2026 | 400,000 | 364,248 | ||||
LG Chem, Ltd. 2.38%, 7/7/2031 (b) | 200,000 | 157,142 | ||||
Shinhan Financial Group Co., Ltd. 5 Year CMT + 2.06%, 2.88%, 5/12/2026 (a)(b) | 550,000 | 470,833 | ||||
1,349,219 | ||||||
UNITED ARAB EMIRATES — 2.7% | ||||||
Galaxy Pipeline Assets Bidco, Ltd. 2.16%, 3/31/2034 (b) | 2,126,718 | 1,807,413 | ||||
UNITED STATES — 2.1% | ||||||
Freeport-McMoRan, Inc.: | ||||||
4.38%, 8/1/2028 | 200,000 | 187,536 | ||||
4.63%, 8/1/2030 | 1,300,000 | 1,215,162 | ||||
1,402,698 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $54,411,626) | 46,658,273 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 29.1% | ||||||
BRAZIL — 1.4% | ||||||
Brazilian Government International Bond: | ||||||
5.00%, 1/27/2045 | 300,000 | 222,432 | ||||
5.63%, 2/21/2047 | 900,000 | 714,519 | ||||
936,951 | ||||||
CHILE — 3.0% | ||||||
Chile Government International Bond: | ||||||
2.55%, 1/27/2032 | 600,000 | 491,802 | ||||
2.55%, 7/27/2033 | 600,000 | 470,610 | ||||
3.10%, 5/7/2041 | 600,000 | 431,700 | ||||
3.10%, 1/22/2061 | 200,000 | 124,804 | ||||
3.50%, 1/25/2050 | 700,000 | 508,172 | ||||
2,027,088 | ||||||
COLOMBIA — 3.9% | ||||||
Colombia Government International Bond: | ||||||
3.13%, 4/15/2031 | 700,000 | 520,205 | ||||
3.25%, 4/22/2032 | 1,400,000 | 1,017,786 | ||||
4.13%, 5/15/2051 | 950,000 | 570,352 |
Security Description | Principal Amount | Value | ||||
5.00%, 6/15/2045 | $ 700,000 | $ 480,081 | ||||
2,588,424 | ||||||
DOMINICAN REPUBLIC — 2.6% | ||||||
Dominican Republic International Bond: | ||||||
Series 144A, 4.88%, 9/23/2032 (b) | 1,900,000 | 1,580,914 | ||||
Series 144A, 6.00%, 2/22/2033 (b) | 200,000 | 180,758 | ||||
1,761,672 | ||||||
INDONESIA — 3.7% | ||||||
Indonesia Government International Bond: | ||||||
3.70%, 10/30/2049 | 1,600,000 | 1,237,952 | ||||
4.35%, 1/11/2048 | 500,000 | 430,940 | ||||
Perusahaan Penerbit SBSN Indonesia III 2.55%, 6/9/2031 (b) | 1,000,000 | 848,720 | ||||
2,517,612 | ||||||
MEXICO — 5.3% | ||||||
Mexico Government International Bond: | ||||||
2.66%, 5/24/2031 | 1,400,000 | 1,128,064 | ||||
4.28%, 8/14/2041 | 1,600,000 | 1,237,104 | ||||
4.35%, 1/15/2047 | 300,000 | 224,895 | ||||
4.40%, 2/12/2052 | 1,350,000 | 992,992 | ||||
3,583,055 | ||||||
PANAMA — 3.0% | ||||||
Panama Government International Bond: | ||||||
2.25%, 9/29/2032 | 300,000 | 222,528 | ||||
3.87%, 7/23/2060 | 2,100,000 | 1,358,805 | ||||
4.30%, 4/29/2053 | 600,000 | 436,560 | ||||
2,017,893 | ||||||
PHILIPPINES — 2.7% | ||||||
Philippine Government International Bond: | ||||||
2.65%, 12/10/2045 | 500,000 | 336,205 | ||||
3.70%, 3/1/2041 | 1,000,000 | 815,130 | ||||
3.70%, 2/2/2042 | 800,000 | 649,424 | ||||
1,800,759 | ||||||
SAUDI ARABIA — 0.9% | ||||||
Saudi Government International Bond: | ||||||
Series REGS, 2.25%, 2/2/2033 | 500,000 | 405,494 | ||||
Series REGS, 3.45%, 2/2/2061 | 300,000 | 214,500 | ||||
619,994 |
Security Description | Principal Amount | Value | ||||
SOUTH AFRICA — 1.1% | ||||||
Republic of South Africa Government International Bond: | ||||||
4.30%, 10/12/2028 | $ 600,000 | $ 534,792 | ||||
5.88%, 4/20/2032 | 200,000 | 180,376 | ||||
715,168 | ||||||
SOUTH KOREA — 1.5% | ||||||
Korea East-West Power Co., Ltd. Series REGS, 1.75%, 5/6/2025 | 900,000 | 827,739 | ||||
Korea Electric Power Corp. Series REGS, 1.13%, 6/15/2025 | 200,000 | 180,968 | ||||
1,008,707 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $25,721,709) | 19,577,323 |
Shares | |||
SHORT-TERM INVESTMENT — 0.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e)(f) (Cost $127,818) | 127,818 | 127,818 | |
TOTAL INVESTMENTS — 98.6% (Cost $80,261,153) | 66,363,414 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.4% | 949,930 | ||
NET ASSETS — 100.0% | $ 67,313,344 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.0% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2022. |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $46,658,273 | $— | $46,658,273 | ||||
Foreign Government Obligations | — | 19,577,323 | — | 19,577,323 | ||||
Short-Term Investment | 127,818 | — | — | 127,818 | ||||
TOTAL INVESTMENTS | $127,818 | $66,235,596 | $— | $66,363,414 |
% of Net Assets | ||
Foreign Government Obligations | 29.1% | |
Electric | 14.6 | |
Banks | 11.3 | |
Oil & Gas | 9.1 | |
Pipelines | 7.1 | |
Telecommunications | 4.5 | |
Mining | 4.3 | |
Commercial Services | 3.8 | |
Chemicals | 3.7 | |
Energy-Alternate Sources | 2.4 | |
Investment Company Security | 2.4 | |
Iron/Steel | 2.4 | |
Diversified Financial Services | 2.0 | |
Construction Materials | 0.7 | |
Engineering & Construction | 0.3 | |
Media | 0.3 | |
Food | 0.2 | |
Transportation | 0.2 | |
Short-Term Investment | 0.2 | |
Other Assets in Excess of Liabilities | 1.4 | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 681,102 | $681,102 | $13,443,370 | $13,996,654 | $— | $— | 127,818 | $127,818 | $33,106 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 14.9% | ||||||
AGRICULTURE — 0.2% | ||||||
BAT International Finance PLC 1.67%, 3/25/2026 | $ 310,000 | $ 274,471 | ||||
AUTO MANUFACTURERS — 0.5% | ||||||
General Motors Financial Co., Inc. 5.25%, 3/1/2026 | 280,000 | 275,738 | ||||
Hyundai Capital America 1.00%, 9/17/2024 (a) | 335,000 | 309,674 | ||||
Nissan Motor Acceptance Co. LLC 1.13%, 9/16/2024 (a) | 85,000 | 77,476 | ||||
662,888 | ||||||
BANKS — 3.7% | ||||||
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029 (b) | 100,000 | 97,105 | ||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 200,000 | 192,188 | ||||
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (b) | 150,000 | 135,773 | ||||
Banco Mercantil del Norte SA 5 Year CMT + 4.64%, 5.88%, 1/24/2027 (b) | 200,000 | 178,066 | ||||
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031 (b) | 200,000 | 166,154 | ||||
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032 (a) (b) | 200,000 | 172,096 | ||||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (a) (b) | 200,000 | 176,976 | ||||
Bank of America Corp.: | ||||||
SOFR + 0.69%, 4.64%, 4/22/2025 (b) | 90,000 | 88,630 | ||||
Series MTN, 3 Month USD LIBOR + 0.79%, 5.56%, 3/5/2024 (b) | 195,000 | 194,858 | ||||
Bank of Montreal SOFR + 0.71%, 4.98%, 3/8/2024 (b) | 280,000 | 278,522 | ||||
Bank of Nova Scotia 0.65%, 7/31/2024 | 155,000 | 144,488 | ||||
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (b) | 200,000 | 195,770 |
Security Description | Principal Amount | Value | ||||
Citigroup, Inc.: | ||||||
3 Month USD LIBOR + 1.02%, 5.78%, 6/1/2024 (b) | $ 210,000 | $ 210,122 | ||||
SOFR + 0.53%, 1.28%, 11/3/2025 (b) | 90,000 | 82,911 | ||||
Goldman Sachs Group, Inc. 3.50%, 4/1/2025 | 290,000 | 279,183 | ||||
JPMorgan Chase & Co.: | ||||||
3.90%, 7/15/2025 | 285,000 | 278,870 | ||||
SOFR + 1.32%, 5.27%, 4/26/2026 (b) | 145,000 | 143,731 | ||||
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024 (a) (b) | 290,000 | 288,770 | ||||
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024 (b) | 280,000 | 278,272 | ||||
Royal Bank of Canada 3.38%, 4/14/2025 | 300,000 | 290,478 | ||||
Toronto-Dominion Bank Series MTN, 0.70%, 9/10/2024 | 300,000 | 279,198 | ||||
Truist Financial Corp. SOFR + 1.46%, 4.26%, 7/28/2026 (b) | 295,000 | 290,203 | ||||
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (b) | 285,000 | 280,468 | ||||
4,722,832 | ||||||
BEVERAGES — 0.2% | ||||||
Keurig Dr Pepper, Inc. 0.75%, 3/15/2024 | 305,000 | 289,674 | ||||
BIOTECHNOLOGY — 0.2% | ||||||
Royalty Pharma PLC 0.75%, 9/2/2023 | 300,000 | 290,721 | ||||
CHEMICALS — 0.4% | ||||||
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (b) | 200,000 | 193,810 | ||||
Sasol Financing USA LLC 4.38%, 9/18/2026 | 200,000 | 177,210 | ||||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 200,000 | 168,097 | ||||
539,117 | ||||||
COMMERCIAL SERVICES — 0.5% | ||||||
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%, 2/16/2031 | 187,500 | 147,018 | ||||
Adani Ports & Special Economic Zone, Ltd. 4.00%, 7/30/2027 | 200,000 | 175,028 |
Security Description | Principal Amount | Value | ||||
Triton Container International, Ltd. 0.80%, 8/1/2023 (a) | $ 305,000 | $ 294,423 | ||||
616,469 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | ||||||
American Express Co.: | ||||||
3.38%, 5/3/2024 | 145,000 | 142,119 | ||||
SOFR + 0.93%, 5.18%, 3/4/2025 (b) | 140,000 | 139,507 | ||||
Avolon Holdings Funding, Ltd. 5.13%, 10/1/2023 (a) | 290,000 | 286,938 | ||||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (b) | 285,000 | 279,576 | ||||
Charles Schwab Corp. SOFR + 1.05%, 5.30%, 3/3/2027 (b) | 295,000 | 286,902 | ||||
1,135,042 | ||||||
ELECTRIC — 1.6% | ||||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 113,000 | 100,627 | ||||
Entergy Louisiana LLC 0.95%, 10/1/2024 | 310,000 | 288,824 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 298,823 | 273,863 | ||||
Mexico Generadora de Energia S de rl Series REGS, 5.50%, 12/6/2032 | 136,700 | 131,266 | ||||
Minejesa Capital B.V. Series REGS, 4.63%, 8/10/2030 | 400,000 | 352,228 | ||||
Pacific Gas & Electric Co.: | ||||||
3.25%, 2/16/2024 | 175,000 | 170,674 | ||||
4.95%, 6/8/2025 | 115,000 | 113,268 | ||||
Southern California Edison Co. SOFR + 0.83%, 5.15%, 4/1/2024 (b) | 285,000 | 282,982 | ||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | 300,000 | 277,152 | ||||
1,990,884 | ||||||
ENERGY-ALTERNATE SOURCES — 0.1% | ||||||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 132,720 | 122,513 | ||||
ENTERTAINMENT — 0.2% | ||||||
WarnerMedia Holdings, Inc. 3.79%, 3/15/2025 (a) | 305,000 | 291,617 |
Security Description | Principal Amount | Value | ||||
ENVIRONMENTAL CONTROL — 0.2% | ||||||
Republic Services, Inc. 2.50%, 8/15/2024 | $ 290,000 | $ 277,977 | ||||
FOOD — 0.1% | ||||||
Conagra Brands, Inc. 4.30%, 5/1/2024 | 47,000 | 46,334 | ||||
HEALTH CARE PRODUCTS — 0.2% | ||||||
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | 310,000 | 288,508 | ||||
HEALTH CARE SERVICES — 0.5% | ||||||
Elevance Health, Inc. 3.50%, 8/15/2024 | 220,000 | 214,515 | ||||
HCA, Inc. 5.00%, 3/15/2024 | 290,000 | 288,411 | ||||
UnitedHealth Group, Inc.: | ||||||
3.70%, 5/15/2027 | 70,000 | 67,680 | ||||
5.15%, 10/15/2025 | 75,000 | 75,906 | ||||
646,512 | ||||||
INSURANCE — 0.6% | ||||||
Athene Global Funding SOFR + 0.70%, 4.90%, 5/24/2024 (a) (b) | 295,000 | 289,430 | ||||
Brighthouse Financial Global Funding 0.60%, 6/28/2023 (a) | 135,000 | 131,936 | ||||
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 285,000 | 281,044 | ||||
702,410 | ||||||
INTERNET — 0.2% | ||||||
Expedia Group, Inc. 6.25%, 5/1/2025 (a) | 285,000 | 287,058 | ||||
IRON/STEEL — 0.2% | ||||||
Periama Holdings LLC 5.95%, 4/19/2026 | 200,000 | 186,738 | ||||
LODGING — 0.2% | ||||||
Marriott International, Inc. 3.60%, 4/15/2024 | 295,000 | 288,737 | ||||
MEDIA — 0.1% | ||||||
Comcast Corp. 5.25%, 11/7/2025 | 140,000 | 141,905 | ||||
MINING — 0.4% | ||||||
Freeport-McMoRan, Inc. 4.13%, 3/1/2028 | 150,000 | 139,258 | ||||
Glencore Funding LLC 4.13%, 5/30/2023 (a) | 290,000 | 288,475 | ||||
427,733 | ||||||
MISCELLANEOUS MANUFACTURER — 0.2% | ||||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 265,000 | 259,268 | ||||
OIL & GAS — 0.2% | ||||||
Ecopetrol SA 4.13%, 1/16/2025 | 100,000 | 95,330 |
Security Description | Principal Amount | Value | ||||
SA Global Sukuk, Ltd. 1.60%, 6/17/2026 (a) | $ 200,000 | $ 178,766 | ||||
274,096 | ||||||
PIPELINES — 0.8% | ||||||
AI Candelaria Spain SA Series REGS, 7.50%, 12/15/2028 | 235,417 | 223,505 | ||||
Energy Transfer L.P.: | ||||||
4.05%, 3/15/2025 | 30,000 | 29,069 | ||||
5.88%, 1/15/2024 | 260,000 | 260,660 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 329,440 | 318,796 | ||||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | 200,000 | 187,696 | ||||
1,019,726 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | ||||||
Welltower, Inc. REIT, 3.63%, 3/15/2024 | 295,000 | 288,657 | ||||
RETAIL — 0.4% | ||||||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 270,000 | 263,685 | ||||
Lowe's Cos., Inc. 4.40%, 9/8/2025 | 170,000 | 167,734 | ||||
431,419 | ||||||
SEMICONDUCTORS — 0.5% | ||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%, 1/15/2027 | 60,000 | 56,802 | ||||
Broadcom, Inc. 3.15%, 11/15/2025 | 230,000 | 218,081 | ||||
Microchip Technology, Inc. 0.97%, 2/15/2024 | 305,000 | 289,967 | ||||
564,850 | ||||||
SOFTWARE — 0.2% | ||||||
Oracle Corp. 5.80%, 11/10/2025 | 275,000 | 280,904 | ||||
TELECOMMUNICATIONS — 0.8% | ||||||
KT Corp. Series REGS, 2.50%, 7/18/2026 | 200,000 | 182,124 | ||||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 180,000 | 167,485 | ||||
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%, 6/30/2025 | 200,000 | 192,630 | ||||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 5.71%, 5/15/2025 (b) | 285,000 | 287,277 |
Security Description | Principal Amount | Value | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | $ 200,000 | $ 124,716 | ||||
954,232 | ||||||
TRANSPORTATION — 0.2% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 310,000 | 289,245 | ||||
TRUCKING & LEASING — 0.2% | ||||||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024 (a) | 305,000 | 287,865 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $19,857,527) | 18,880,402 | |||||
ASSET-BACKED SECURITIES — 23.0% | ||||||
AUTOMOBILE — 1.1% | ||||||
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026 (a) | 600,000 | 568,500 | ||||
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%, 1/15/2026 | 402,470 | 392,795 | ||||
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025 (a) | 350,000 | 320,678 | ||||
USASF Receivables 2020-1 LLC Series 2020-1A, Class B, 3.22%, 5/15/2024 (a) | 74,263 | 74,130 | ||||
1,356,103 | ||||||
OTHER ABS — 21.8% | ||||||
ACREC 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 5.48%, 10/16/2036 (a) (b) | 181,000 | 172,258 | ||||
Affirm Asset Securitization Trust Series 2022-A, Class A, 4.30%, 5/17/2027 (a) | 500,000 | 475,116 | ||||
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR + 1.21%, 5.29%, 10/15/2034 (a) (b) | 1,500,000 | 1,447,800 | ||||
Arbor Realty Collateralized Loan Obligation 2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD Term LIBOR + 1.51%, 5.85%, 2/15/2035 (a) (b) | 131,000 | 127,455 | ||||
Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. Series 2022-FL1, Class A, SOFR30A + 1.45%, 5.26%, 1/15/2037 (a) (b) | 250,000 | 239,406 |
Security Description | Principal Amount | Value | |||
Bain Capital Credit CLO, Ltd. Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 5.36%, 4/19/2034 (a) (b) | $ 500,000 | $ 486,127 | |||
BDS LLC Series 2022-FL11, Class ATS, 1 Month USD Term LIBOR + 1.80%, 6.12%, 3/19/2039 (a) (b) | 250,000 | 240,945 | |||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 5.43%, 8/15/2036 (a) (b) | 1,874 | 1,874 | |||
BRSP, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 5.49%, 8/19/2038 (a) (b) | 151,000 | 146,441 | |||
BSPRT Issuer, Ltd.: | |||||
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.32%, 5.64%, 12/15/2038 (a) (b) | 200,000 | 191,298 | |||
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 3/15/2036 (a) (b) | 138,000 | 134,274 | |||
Carlyle U.S. CLO Ltd. Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.14%, 5.22%, 4/15/2034 (a) (b) | 1,000,000 | 968,499 | |||
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, 5.42%, 7/20/2034 (a) (b) | 500,000 | 484,500 | |||
CHCP, Ltd. Series 2021-FL1, Class A, 1 Month USD Term LIBOR + 1.16%, 5.49%, 2/15/2038 (a) (b) | 281,511 | 276,879 | |||
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD Term LIBOR + 1.66%, 5.99%, 8/20/2035 (a) (b) | 131,000 | 126,721 | |||
CQS U.S. CLO, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.22%, 5.46%, 1/20/2035 (a) (b) | 1,000,000 | 964,500 | |||
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR + 1.01%, 3.32%, 10/25/2034 (b) | 557,965 | 502,168 | |||
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 520,991 | 474,221 |
Security Description | Principal Amount | Value | |||
FS Rialto Issuer LLC: | |||||
Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 5.53%, 12/16/2036 (a) (b) | $ 67,280 | $ 66,931 | |||
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 5.58%, 11/16/2036 (a) (b) | 181,000 | 172,590 | |||
Series 2022-FL5, Class A, Class A, 1 Month USD Term LIBOR + 2.30%, 6.63%, 6/19/2037 (a) (b) | 300,000 | 295,747 | |||
Series 2022-FL4, Class AS, SOFR30A + 2.40%, 6.21%, 1/19/2039 (a) (b) | 250,000 | 238,646 | |||
Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.22%, 5.55%, 5/16/2038 (a) (b) | 150,000 | 143,656 | |||
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 5.86%, 11/30/2032 (a) (b) | 1,150,000 | 1,130,450 | |||
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.34%, 5.42%, 4/15/2033 (a) (b) | 500,000 | 490,000 | |||
KREF 2021-FL2, Ltd. Series 2021-FL2, Class AS, 1 Month USD LIBOR + 1.30%, 5.63%, 2/15/2039 (a) (b) | 250,000 | 233,419 | |||
LCCM Trust: | |||||
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 5.77%, 11/15/2038 (a) (b) | 181,000 | 175,864 | |||
Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.20%, 5.52%, 12/13/2038 (a) (b) | 151,000 | 146,369 | |||
Lendingpoint Asset Securitization Trust Series 2021-A, Class B, 1.46%, 12/15/2028 (a) | 390,475 | 387,300 | |||
LoanCore Issuer, Ltd.: | |||||
Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 5.82%, 5/15/2036 (a) (b) | 87,377 | 85,211 | |||
Series 2022-CRE7, Class A, SOFR30A + 1.55%, 5.36%, 1/17/2037 (a) (b) | 500,000 | 483,633 | |||
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048 (a) | 343,852 | 259,093 |
Security Description | Principal Amount | Value | |||
Marble Point CLO XXI, Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR + 1.24%, 5.32%, 10/17/2034 (a) (b) | $ 2,000,000 | $ 1,921,264 | |||
Marlette Funding Trust Series 2021-1A, Class C, 1.41%, 6/16/2031 (a) | 650,000 | 617,507 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 5.43%, 7/16/2036 (a) (b) | 150,000 | 144,113 | |||
MF1, Ltd.: | |||||
Series 2022-FL8, Class A, SOFR30A + 1.35%, 5.18%, 2/19/2037 (a) (b) | 157,000 | 150,540 | |||
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.08%, 5.42%, 10/16/2036 (a) (b) | 192,000 | 183,573 | |||
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 5.92%, 2/15/2036 (a) (b) | 120,000 | 117,600 | |||
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 5.88%, 11/15/2030 (a) (b) | 1,000,626 | 983,115 | |||
Octagon Investment Partners 51, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.15%, 5.39%, 7/20/2034 (a) (b) | 1,000,000 | 966,600 | |||
Pagaya AI Debt Selection Trust: | |||||
Series 2021-3, Class B, 1.74%, 5/15/2029 (a) | 999,946 | 925,993 | |||
Series 2021-5, Class B, 2.63%, 8/15/2029 (a) | 999,882 | 914,388 | |||
Peace Park CLO, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.13%, 5.37%, 10/20/2034 (a) (b) | 1,000,000 | 972,300 | |||
Regatta VI Funding, Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 5.40%, 4/20/2034 (a) (b) | 1,000,000 | 968,700 | |||
Regatta XXIII Funding, Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 5.39%, 1/20/2035 (a) (b) | 2,265,000 | 2,185,951 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | 373,315 | 282,270 |
Security Description | Principal Amount | Value | |||
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.12%, 5.20%, 7/15/2030 (a) (b) | $ 497,278 | $ 489,421 | |||
Sound Point CLO XXVI, Ltd. Series 2020-1A, Class AR, 3 Month USD LIBOR + 1.17%, 5.41%, 7/20/2034 (a) (b) | 1,000,000 | 963,738 | |||
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD Term LIBOR + 1.51%, 5.84%, 7/15/2038 (a) (b) | 100,000 | 98,140 | |||
TRTX Issuer, Ltd. Series 2022-FL5, Class A, SOFR30A + 1.65%, 5.46%, 2/15/2039 (a) (b) | 200,000 | 192,710 | |||
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR + 1.14%, 5.38%, 1/20/2031 (a) (b) | 500,000 | 491,200 | |||
VMC Finance LLC Series 2022-FL5, Class A, SOFR30A + 1.90%, 5.71%, 2/18/2039 (a) (b) | 450,000 | 438,029 | |||
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c) | 430,170 | 384,093 | |||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (c) | 1,452,674 | 1,288,400 | |||
Washington Mutural Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 3.82%, 10/25/2036 (b) | 278,652 | 99,593 | |||
27,548,629 | |||||
STUDENT LOAN ABS — 0.1% | |||||
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045 (a) | 131,773 | 122,308 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (a) | 30,044 | 29,060 | |||
151,368 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $30,349,896) | 29,056,100 |
Security Description | Principal Amount | Value | |||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond 4.50%, 1/28/2026 | $ 200,000 | $ 188,040 | |||
PANAMA — 0.2% | |||||
Panama Government International Bond 3.75%, 3/16/2025 | 250,000 | 241,790 | |||
SOUTH AFRICA — 0.2% | |||||
Republic of South Africa Government International Bond 4.88%, 4/14/2026 | 200,000 | 193,148 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $678,058) | 622,978 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.00%, 3/1/2036 | 1,325,244 | 1,181,142 | |||
2.00%, 11/1/2036 | 1,066,298 | 951,393 | |||
Series 4211, Class AP, 1.60%, 3/15/2043 | 847,455 | 780,183 | |||
Series 4461, Class BA, CMO, 2.00%, 12/15/2043 | 520,486 | 480,876 | |||
Series 5179, Class GD, CMO, 2.00%, 12/25/2047 | 907,229 | 767,322 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 | 344,602 | 331,357 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 71,049 | 66,156 | |||
Series K722, Class X1, IO, 1.37%, 3/25/2023 (b) | 95,363 | 114 | |||
Federal National Mortgage Association: | |||||
1.50%, 5/1/2036 | 1,008,707 | 876,227 | |||
2.00%, 9/1/2036 | 845,056 | 753,182 | |||
3.00%, 11/1/2033 | 707,097 | 669,560 | |||
3.00%, 11/1/2036 | 162,352 | 149,546 | |||
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 4.86%, 12/25/2040 (b) | 146,558 | 144,375 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 296,323 | 289,302 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 4.84%, 3/25/2046 (b) | 230,293 | 224,660 |
Security Description | Principal Amount | Value | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 4.69%, 12/25/2047 (b) | $ 162,110 | $ 156,285 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 4.69%, 6/25/2048 (b) | 180,740 | 174,127 | |||
Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030 (b) | 1,068,850 | 921,310 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $10,042,137) | 8,917,117 | ||||
U.S. TREASURY OBLIGATIONS — 28.1% | |||||
U.S. Treasury Bill 4.12%, 2/9/2023 (Cost $21,730,614) | 21,800,000 | 21,713,029 | |||
U.S. Treasury Notes: | |||||
3.00%, 7/15/2025 | 5,000,000 | 4,842,969 | |||
4.25%, 10/15/2025 | 9,000,000 | 8,994,375 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,651,233) | 35,550,373 | ||||
MORTGAGE-BACKED SECURITIES — 10.3% | |||||
Alternative Loan Trust: | |||||
Series 2006-J7, Class 1A3, 6.25%, 11/25/2036 | 417,950 | 206,434 | |||
Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | 244,296 | 136,420 | |||
Citigroup Mortgage Loan Trust Series 2007-AR8, Class 2A1A, CMO, 3.59%, 7/25/2037 (b) | 3,228,770 | 2,454,961 | |||
CSMC Mortgage Backed Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060 (a) (b) | 867,224 | 826,704 | |||
Legacy Mortgage Asset Trust: | |||||
Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (a) (c) | 400,108 | 365,648 | |||
Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (a) (c) | 344,258 | 311,172 | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 4.71%, 11/25/2036 (b) | 2,608,802 | 2,309,529 | |||
PRPM LLC Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (c) | 1,719,305 | 1,607,556 |
Security Description | Principal Amount | Value | |||
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036 | $ 2,585,498 | $ 636,627 | |||
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060 (a) (b) | 1,125,197 | 1,071,552 | |||
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (a) (c) | 451,354 | 435,943 | |||
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (c) | 823,299 | 777,178 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 3.41%, 12/25/2036 (b) | 1,885,722 | 1,566,853 | |||
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 4.80%, 10/25/2035 (b) | 301,754 | 268,672 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $14,960,497) | 12,975,249 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 5.6% | |||||
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (a) | 139,000 | 122,305 | |||
BANK: | |||||
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (b) | 1,014,964 | 26,954 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.23%, 3/15/2063 (b) | 1,304,580 | 83,299 | |||
BBCMS Mortgage Trust Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.63%, 6.94%, 8/15/2036 (a) (b) | 38,000 | 36,862 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B1, Class XA, IO, 0.53%, 1/15/2051 (b) | 1,662,166 | 33,704 | |||
Series 2019-B15, Class XA, IO, VRN, 0.82%, 12/15/2072 (b) | 4,057,985 | 162,334 | |||
BPR Trust: | |||||
Series 2021-TY, Class A, 1 Month USD LIBOR + 1.05%, 5.37%, 9/15/2038 (a) (b) | 192,000 | 182,366 |
Security Description | Principal Amount | Value | |||
Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 6.23%, 4/15/2037 (a) (b) | $ 250,000 | $ 246,178 | |||
BX Commercial Mortgage Trust Series 2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 5.05%, 10/15/2036 (a) (b) | 134,847 | 129,581 | |||
BX Trust: | |||||
Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 5.60%, 6/15/2036 (a) (b) | 299,000 | 283,384 | |||
Series 2022-PSB, Class A, 1 Month USD Term LIBOR + 2.45%, 6.79%, 8/15/2039 (a) (b) | 148,285 | 147,971 | |||
BXHPP Trust Series 2021-FILM, Class B, 1 Month USD LIBOR + 0.90%, 5.22%, 8/15/2036 (a) (b) | 224,000 | 207,472 | |||
BXMT, Ltd. Series 2021-FL4, Class A, 1 Month USD LIBOR + 1.05%, 5.37%, 5/15/2038 (a) (b) | 138,000 | 134,714 | |||
Cantor Commercial Real Estate Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) (b) | 163,000 | 152,192 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2019-PRM, Class D, 4.35%, 5/10/2036 (a) | 261,000 | 258,246 | |||
Series 2016-GC37, Class XA, IO, 1.65%, 4/10/2049 (b) | 381,648 | 15,686 | |||
COMM Mortgage Trust: | |||||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 9/15/2033 (a) (b) | 70,000 | 65,656 | |||
Series 2015-CR25, Class XA, IO, 0.80%, 8/10/2048 (b) | 1,109,490 | 19,036 | |||
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 6.22%, 7/15/2032 (a) (b) | 29,000 | 25,923 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.10%, 6/15/2050 (b) | 244,394 | 9,195 | |||
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (b) | 845,506 | 22,775 | |||
Series 2017-CX9, Class XA, IO, 0.66%, 9/15/2050 (b) | 1,255,008 | 22,862 |
Security Description | Principal Amount | Value | |||
EQUS 2021-EQAZ Mortgage Trust Series 2021-EQAZ, Class A, 1 Month USD LIBOR + 0.75%, 5.07%, 10/15/2038 (a) (b) | $ 180,996 | $ 174,270 | |||
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 5.40%, 7/15/2038 (a) (b) | 146,429 | 142,172 | |||
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 5.59%, 7/16/2035 (a) (b) | 64,773 | 63,185 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 7.05%, 12/15/2036 (a) (b) | 125,000 | 118,356 | |||
GS Mortgage Securities Trust: | |||||
Series 2021-IP, Class A, 1 Month USD LIBOR + 0.95%, 5.27%, 10/15/2036 (a) (b) | 181,000 | 171,585 | |||
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (b) | 373,027 | 13,932 | |||
Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053 (b) | 2,112,033 | 127,908 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 5.28%, 7/15/2036 (a) (b) | 49,199 | 47,907 | |||
Series 2022-NLP, Class A, 1 Month USD Term LIBOR + 0.60%, 4.93%, 4/15/2037 (a) (b) | 187,129 | 173,214 | |||
Series 2016-JP4, Class XA, IO, 0.59%, 12/15/2049 (b) | 1,359,147 | 24,173 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2019-COR5, Class XA, IO, VRN, 1.47%, 6/13/2052 (b) | 1,086,734 | 68,184 | |||
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (b) | 150,000 | 140,722 | |||
LoanCore Issuer, Ltd. Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 5.69%, 4/15/2034 (a) (b) | 107,612 | 107,134 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 Month USD Term LIBOR + 1.31%, 5.65%, 7/15/2036 (a) (b) | 138,000 | 133,060 |
Security Description | Principal Amount | Value | |||
MHP Trust Series 2022-MHIL, Class A, 1 Month USD Term LIBOR + 0.81%, 5.15%, 1/15/2027 (a) (b) | $ 152,550 | $ 145,927 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 0.87%, 4/15/2047 (b) | 583,215 | 2,861 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) (b) | 1,142,261 | 10,241 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 5.62%, 5/15/2036 (a) (b) | 163,000 | 158,805 | |||
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 6.07%, 5/15/2036 (a) (b) | 127,000 | 115,764 | |||
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (b) | 1,342,516 | 27,244 | |||
Morgan Stanley Captial I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (b) | 151,000 | 133,370 | |||
MSC Trust Series 2021-ILP, Class A, 1 Month USD LIBOR + 0.78%, 5.10%, 11/15/2023 (a) (b) | 180,403 | 173,524 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 5.22%, 10/15/2037 (a) (b) | 72,196 | 70,786 | |||
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 5.27%, 6/15/2035 (a) (b) | 49,442 | 47,722 | |||
RIAL Issuer, Ltd. Series 2022-FL8, Class A, 1 Month USD Term LIBOR + 2.25%, 6.57%, 1/19/2037 (a) (b) | 250,000 | 243,750 | |||
SMR 2022-IND Mortgage Trust Series 2022-IND, Class A, 1 Month USD Term LIBOR + 1.65%, 5.99%, 2/15/2039 (a) (b) | 155,299 | 149,329 | |||
SREIT Trust Series 2021-MFP, Class A, 1 Month USD LIBOR + 0.73%, 5.05%, 11/15/2038 (a) (b) | 181,000 | 174,056 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050 (b) | 607,071 | 30,823 | |||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b) | 268,457 | 257,290 |
Security Description | Principal Amount | Value | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2021-C60, Class A2, 2.04%, 8/15/2054 | $ 151,000 | $ 132,821 | ||||
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.15%, 5.47%, 2/15/2040 (a) (b) | 90,902 | 84,931 | ||||
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.45%, 5.77%, 2/15/2040 (a) (b) | 90,902 | 82,560 | ||||
Series 2022-ONL, Class A, 3.86%, 12/15/2039 (a) | 500,000 | 454,737 | ||||
Series 2019-C51, Class XA, IO, VRN, 1.33%, 6/15/2052 (b) | 982,604 | 59,379 | ||||
Series 2019-C52, Class XA, IO, VRN, 1.60%, 8/15/2052 (b) | 2,890,379 | 206,394 | ||||
WFRBS Commercial Mortgage Trust: | ||||||
Series 2014-C21, Class AS, 3.89%, 8/15/2047 | 250,000 | 239,546 | ||||
Series 2013-C18, Class XA, IO, 0.73%, 12/15/2046 (b) | 713,985 | 3,455 | ||||
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (b) | 235,000 | 224,202 | ||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $8,338,672) | 7,124,014 | |||||
SENIOR FLOATING RATE LOANS — 6.3% | ||||||
CABLE/SATELLITE TV — 0.2% | ||||||
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.39%, 5/3/2028 (b) | 285,600 | 279,781 | ||||
CAPITAL MARKETS — 0.0% (d) | ||||||
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.82%, 6/30/2028 (b) | 34,648 | 34,064 | ||||
CASINO SERVICES — 0.3% | ||||||
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026 (b) | 360,289 | 355,884 | ||||
CHEMICALS — 0.2% | ||||||
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B, 12/20/2029 | 115,000 | 115,259 |
Security Description | Principal Amount | Value | |||
Element Solutions, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.00%, 6.07%, 1/31/2026 (b) | $ 181,873 | $ 181,872 | |||
297,131 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
Clean Harbors, Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 10/8/2028 (b) | 74,250 | 74,054 | |||
DISTRIBUTION/WHOLESALE — 0.2% | |||||
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028 (b) | 295,489 | 293,828 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028 (b) | 185,000 | 184,445 | |||
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026 (b) | 186,564 | 184,249 | |||
368,694 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027 (b) | 329,356 | 316,447 | |||
ENTERTAINMENT — 0.2% | |||||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028 (b) | 277,767 | 274,989 | |||
FOOD PRODUCTS — 0.2% | |||||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028 (b) | 268,990 | 265,964 | |||
FORESTRY — 0.3% | |||||
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 9/7/2027 (b) | 418,577 | 418,401 |
Security Description | Principal Amount | Value | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (d) | |||||
ICU Medical, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 6.92%, 1/8/2029 (b) | $ 29,775 | $ 28,882 | |||
HEALTH CARE PROVIDERS & SERVICES — 0.5% | |||||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028 (b) | 418,609 | 418,722 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | 203,887 | 203,531 | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | 50,798 | 50,710 | |||
672,963 | |||||
HOUSEHOLD PRODUCTS — 0.3% | |||||
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027 (b) | 407,757 | 405,113 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.3% | |||||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025 (b) | 368,459 | 365,800 | |||
INTERNET & TELECOM — 0.3% | |||||
Go Daddy Operating Company LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 11/9/2029 | 307,737 | 307,630 | |||
IT SERVICES — 0.3% | |||||
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028 (b) | 418,630 | 414,967 | |||
MACHINERY — 0.4% | |||||
Ali Group North America Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.44%, 7/30/2029 (b) | 75,178 | 74,708 |
Security Description | Principal Amount | Value | |||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027 (b) | $ 443,164 | $ 440,211 | |||
514,919 | |||||
MEDIA — 0.2% | |||||
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.00%, 7.12%, 12/1/2028 (b) | 79,200 | 77,080 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026 (b) | 135,800 | 134,934 | |||
212,014 | |||||
MRI/MEDICAL DIAG IMAGING — 0.2% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025 (b) | 271,862 | 271,098 | |||
PHARMACEUTICALS — 0.5% | |||||
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028 (b) | 34,474 | 34,005 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027 (b) | 277,123 | 266,687 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027 (b) | 319,481 | 309,631 | |||
610,323 | |||||
PROFESSIONAL SERVICES — 0.1% | |||||
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028 (b) | 75,663 | 75,048 | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.3% | |||||
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 6.38%, 1/2/2026(b) | 418,411 | 413,704 |
Security Description | Principal Amount | Value | |||
SOFTWARE — 0.6% | |||||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 9/12/2029 | $ 277,494 | $ 273,390 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025 (b) | 414,835 | 408,535 | |||
681,925 | |||||
THRIFTS & MORTGAGE FINANCE — 0.0% (d) | |||||
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028 (b) | 39,600 | 38,907 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $8,046,662) | 7,992,530 |
Shares | |||
SHORT-TERM INVESTMENT — 3.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e) (f) (Cost $4,559,807) | 4,559,807 | 4,559,807 | |
TOTAL INVESTMENTS — 99.4% (Cost $132,484,489) | 125,678,570 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6% | 818,856 | ||
NET ASSETS — 100.0% | $ 126,497,426 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 33.3% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2022. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 18,880,402 | $— | $ 18,880,402 | ||||
Asset-Backed Securities | — | 29,056,100 | — | 29,056,100 | ||||
Foreign Government Obligations | — | 622,978 | — | 622,978 | ||||
U.S. Government Agency Obligations | — | 8,917,117 | — | 8,917,117 | ||||
U.S. Treasury Obligations | — | 35,550,373 | — | 35,550,373 | ||||
Mortgage-Backed Securities | — | 12,975,249 | — | 12,975,249 | ||||
Commercial Mortgage Backed Securities | — | 7,124,014 | — | 7,124,014 | ||||
Senior Floating Rate Loans | — | 7,992,530 | — | 7,992,530 | ||||
Short-Term Investment | 4,559,807 | — | — | 4,559,807 | ||||
TOTAL INVESTMENTS | $4,559,807 | $121,118,763 | $— | $125,678,570 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,824,635 | $7,824,635 | $44,833,238 | $48,098,066 | $— | $— | 4,559,807 | $4,559,807 | $78,186 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 12.2% | |||||
ARGENTINA — 0.0% (a) | |||||
Pampa Energia SA Series REGS, 9.13%, 4/15/2029 | $ 150,000 | $ 138,117 | |||
AUSTRALIA — 0.2% | |||||
Glencore Funding LLC: | |||||
1.63%, 4/27/2026 (b) | 1,055,000 | 933,738 | |||
3.38%, 9/23/2051 (b) | 1,115,000 | 736,012 | |||
Macquarie Group, Ltd. SOFR + 1.53%, 2.87%, 1/14/2033 (b) (c) | 2,525,000 | 1,933,670 | |||
Westpac Banking Corp. 5 Year CMT + 1.53%, 3.02%, 11/18/2036 (c) | 2,370,000 | 1,753,373 | |||
5,356,793 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049 | 1,750,000 | 1,744,120 | |||
BERMUDA — 0.1% | |||||
Triton Container International, Ltd./TAL International Container Corp. 3.25%, 3/15/2032 | 2,140,000 | 1,652,401 | |||
BRAZIL — 0.2% | |||||
Banco do Brasil SA Series REGS, 10 Year CMT + 6.36%, 9.00%, 6/18/2024 (c) | 1,100,000 | 1,095,380 | |||
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (c) | 1,100,000 | 1,065,955 | |||
MC Brazil Downstream Trading SARL 7.25%, 6/30/2031 | 600,000 | 494,490 | |||
Movida Europe SA 5.25%, 2/8/2031 | 400,000 | 300,200 | |||
MV24 Capital B.V. 6.75%, 6/1/2034 | 256,950 | 234,857 | |||
Petrobras Global Finance B.V.: | |||||
5.50%, 6/10/2051 | 200,000 | 153,552 | |||
6.75%, 6/3/2050 | 1,000,000 | 873,850 | |||
Simpar Europe SA 5.20%, 1/26/2031 | 200,000 | 151,166 | |||
4,369,450 | |||||
CANADA — 0.5% | |||||
1375209 BC, Ltd. 9.00%, 1/30/2028 (b) | 79,000 | 76,961 | |||
Bank of Montreal 5 Year CMT + 1.40%, 3.09%, 1/10/2037 (c) | 2,385,000 | 1,810,358 |
Security Description | Principal Amount | Value | |||
Bank of Nova Scotia 3.45%, 4/11/2025 | $ 3,330,000 | $ 3,209,054 | |||
Bombardier, Inc. 7.88%, 4/15/2027 (b) | 365,000 | 355,353 | |||
Garda World Security Corp.: | |||||
4.63%, 2/15/2027 (b) | 615,000 | 543,888 | |||
6.00%, 6/1/2029 (b) | 480,000 | 392,386 | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | |||||
5.00%, 12/31/2026 (b) | 265,000 | 231,337 | |||
7.00%, 12/31/2027 (b) | 220,000 | 180,884 | |||
Mattamy Group Corp. 4.63%, 3/1/2030 (b) | 395,000 | 322,814 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (b) | 435,000 | 364,300 | |||
4.63%, 5/1/2030 (b) | 300,000 | 249,924 | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (b) | 325,000 | 280,683 | |||
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029 (b) | 395,000 | 339,214 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (b) | 175,000 | 79,667 | |||
6.50%, 10/15/2027 (b) | 170,000 | 49,949 | |||
Tervita Corp. 11.00%, 12/1/2025 (b) | 237,000 | 255,583 | |||
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026 (b) | 320,000 | 288,963 | |||
Toronto-Dominion Bank 4.69%, 9/15/2027 | 2,860,000 | 2,827,367 | |||
11,858,685 | |||||
CAYMAN ISLANDS — 0.0% (a) | |||||
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024 (b) | 584,188 | 497,944 | |||
CHILE — 0.1% | |||||
CAP SA 3.90%, 4/27/2031 (b) | 1,350,000 | 1,057,671 | |||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 (b) | 500,000 | 358,720 | |||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 530,880 | 490,050 | |||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 900,000 | 734,157 | |||
Telefonica Moviles Chile SA 3.54%, 11/18/2031 (b) | 150,000 | 123,453 | |||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 600,000 | 374,148 | |||
3,138,199 |
Security Description | Principal Amount | Value | |||
CHINA — 0.1% | |||||
NXP B.V./NXP Funding LLC/NXP USA, Inc. 3.88%, 6/18/2026 | $ 1,410,000 | $ 1,342,292 | |||
COLOMBIA — 0.2% | |||||
AI Candelaria Spain SA 5.75%, 6/15/2033 (b) | 900,000 | 688,707 | |||
Banco Davivienda SA VRN, 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (b) (c) | 600,000 | 462,426 | |||
Ecopetrol SA: | |||||
4.63%, 11/2/2031 | 400,000 | 306,532 | |||
5.88%, 5/28/2045 | 200,000 | 140,000 | |||
5.88%, 11/2/2051 | 2,050,000 | 1,385,390 | |||
Empresas Publicas de Medellin ESP: | |||||
Series REGS, 4.25%, 7/18/2029 | 1,400,000 | 1,113,658 | |||
Series REGS, 4.38%, 2/15/2031 | 1,000,000 | 770,030 | |||
Grupo Aval, Ltd. 4.38%, 2/4/2030 (b) | 300,000 | 243,762 | |||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 180,000 | 167,485 | |||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | 500,000 | 440,885 | |||
5,718,875 | |||||
FRANCE — 0.1% | |||||
Altice France SA 5.50%, 10/15/2029 (b) | 460,000 | 352,194 | |||
TotalEnergies Capital International SA 3.39%, 6/29/2060 | 1,120,000 | 786,890 | |||
1,139,084 | |||||
GERMANY — 0.0% (a) | |||||
TK Elevator US Newco, Inc. 5.25%, 7/15/2027 (b) | 700,000 | 622,678 | |||
HONG KONG — 0.0% (a) | |||||
Seaspan Corp. 5.50%, 8/1/2029 (b) | 325,000 | 246,152 | |||
INDIA — 0.2% | |||||
Adani Electricity Mumbai, Ltd.: | |||||
Series REGS, 3.87%, 7/22/2031 | 400,000 | 288,020 | |||
Series REGS, 3.95%, 2/12/2030 | 200,000 | 151,558 | |||
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%, 2/16/2031 | 750,000 | 588,074 |
Security Description | Principal Amount | Value | |||
Adani Ports & Special Economic Zone, Ltd.: | |||||
4.00%, 7/30/2027 | $ 200,000 | $ 175,028 | |||
Series REGS, 4.38%, 7/3/2029 | 400,000 | 336,044 | |||
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031 (b) | 354,000 | 295,848 | |||
JSW Steel, Ltd. 5.05%, 4/5/2032 | 1,000,000 | 790,240 | |||
Reliance Industries, Ltd. 2.88%, 1/12/2032 | 800,000 | 649,072 | |||
UPL Corp., Ltd.: | |||||
4.50%, 3/8/2028 | 1,300,000 | 1,092,633 | |||
4.63%, 6/16/2030 | 200,000 | 155,715 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (b) | 1,400,000 | 903,826 | |||
5,426,058 | |||||
INDONESIA — 0.2% | |||||
Freeport Indonesia PT: | |||||
5.32%, 4/14/2032 (b) | 400,000 | 367,772 | |||
6.20%, 4/14/2052 | 200,000 | 174,586 | |||
Indofood CBP Sukses Makmur Tbk PT: | |||||
3.40%, 6/9/2031 | 200,000 | 164,548 | |||
3.54%, 4/27/2032 | 200,000 | 163,063 | |||
Indonesia Asahan Aluminium Persero PT 5.80%, 5/15/2050 | 200,000 | 167,544 | |||
LLPL Capital Pte., Ltd. 6.88%, 2/4/2039 | 1,109,160 | 967,121 | |||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 200,000 | 176,114 | |||
Series REGS, 5.63%, 8/10/2037 | 2,400,000 | 1,857,576 | |||
4,038,324 | |||||
IRELAND — 0.1% | |||||
Avolon Holdings Funding, Ltd.: | |||||
2.13%, 2/21/2026 (b) | 1,345,000 | 1,159,524 | |||
3.25%, 2/15/2027 (b) | 685,000 | 588,100 | |||
1,747,624 | |||||
ISRAEL — 0.1% | |||||
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032 (b) (c) | 1,000,000 | 860,480 | |||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (b) (c) | 400,000 | 353,952 | |||
1,214,432 | |||||
JAMAICA — 0.0% (a) | |||||
Digicel Group Holdings, Ltd.: | |||||
PIK, 7.00%, 12/31/2099 (b) | 622,113 | 55,990 |
Security Description | Principal Amount | Value | |||
PIK, 8.00%, 4/1/2025 (b) | $ 873,471 | $ 238,152 | |||
294,142 | |||||
KUWAIT — 0.0% (a) | |||||
Equate Petrochemical B.V. Series REGS, 2.63%, 4/28/2028 | 700,000 | 609,000 | |||
LUXEMBOURG — 0.0% (a) | |||||
Altice Financing SA 5.00%, 1/15/2028 (b) | 240,000 | 193,963 | |||
Altice France Holding SA 6.00%, 2/15/2028 (b) | 430,000 | 253,889 | |||
Guara Norte SARL 5.20%, 6/15/2034 | 273,171 | 230,882 | |||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (b) | 240,000 | 215,369 | |||
894,103 | |||||
MAURITIUS — 0.0% (a) | |||||
Network i2i Ltd. Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099 (c) | 600,000 | 522,972 | |||
MEXICO — 0.2% | |||||
Banco Mercantil del Norte SA: | |||||
10 year CMT + 5.03%, 6.63%, 1/24/2032 (c) | 200,000 | 165,588 | |||
10 year CMT + 5.47%, 7.50%, 6/27/2029 (b) (c) | 1,400,000 | 1,281,294 | |||
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031 (c) | 800,000 | 664,616 | |||
BBVA Bancomer SA: | |||||
VRN, 5 Year CMT + 4.31%, 5.88%, 9/13/2034 (c) | 600,000 | 555,348 | |||
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (c) | 200,000 | 179,950 | |||
Braskem Idesa SAPI 6.99%, 2/20/2032 | 500,000 | 357,375 | |||
Cemex SAB de CV 5 Year CMT + 4.53%, 5.13%, 6/8/2026 (c) | 900,000 | 833,625 | |||
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2027 (c) (d) | 500,000 | 9,245 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b) | 282,000 | 62,314 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (c) (d) | 1,800,000 | 11,898 | |||
4,121,253 |
Security Description | Principal Amount | Value | |||
NETHERLANDS — 0.0% (a) | |||||
Mong Duong Finance Holdings BV Series REGS, 5.13%, 5/7/2029 | $ 250,000 | $ 208,308 | |||
PANAMA — 0.1% | |||||
Banco Nacional de Panama 2.50%, 8/11/2030 (b) | 300,000 | 240,555 | |||
C&W Senior Financing DAC Series REGS, 6.88%, 9/15/2027 | 450,000 | 417,713 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 200,000 | 162,886 | |||
UEP Penonome II SA: | |||||
6.50%, 10/1/2038 (b) | 323,148 | 235,894 | |||
Series REGS, 6.50%, 10/1/2038 | 369,311 | 269,594 | |||
1,326,642 | |||||
PARAGUAY — 0.0% (a) | |||||
Bioceanico Sovereign Certificate, Ltd. Zero Coupon, 6/5/2034 | 136,993 | 93,098 | |||
Rutas 2 and 7 Finance, Ltd. Zero Coupon, 9/30/2036 | 233,333 | 146,029 | |||
239,127 | |||||
PERU — 0.2% | |||||
Banco de Credito del Peru S.A. VRN, 5 Year CMT + 3.00%, 3.13%, 7/1/2030 (b) (c) | 400,000 | 363,364 | |||
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (c) | 1,200,000 | 1,086,180 | |||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 298,823 | 273,863 | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | 786,600 | 747,860 | |||
Petroleos del Peru SA: | |||||
4.75%, 6/19/2032 | 700,000 | 535,353 | |||
5.63%, 6/19/2047 | 200,000 | 130,130 | |||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 8.63%, 12/13/2027 (c) | 500,000 | 493,930 | |||
3,630,680 | |||||
QATAR — 0.0% (a) | |||||
QatarEnergy Trading LLC 2.25%, 7/12/2031 | 1,000,000 | 827,462 |
Security Description | Principal Amount | Value | |||
SAUDI ARABIA — 0.1% | |||||
EIG Pearl Holdings SARL: | |||||
3.55%, 8/31/2036 | $ 500,000 | $ 419,980 | |||
Series REGS, 4.39%, 11/30/2046 | 900,000 | 690,799 | |||
1,110,779 | |||||
SINGAPORE — 0.1% | |||||
Avation Capital SA PIK, 8.25%, 10/31/2026 (b) | 267,465 | 210,631 | |||
Oversea-Chinese Banking Corp., Ltd. Series REGS, VRN, 5 Year CMT + 1.58%, 1.83%, 9/10/2030 (c) | 700,000 | 629,958 | |||
Temasek Financial I Ltd. 1.00%, 10/6/2030 (b) | 1,900,000 | 1,469,821 | |||
2,310,410 | |||||
SOUTH AFRICA — 0.0% (a) | |||||
AngloGold Ashanti Holdings PLC 3.75%, 10/1/2030 | 500,000 | 436,625 | |||
Sasol Financing USA LLC 5.50%, 3/18/2031 | 800,000 | 649,424 | |||
1,086,049 | |||||
SOUTH KOREA — 0.1% | |||||
KT Corp. 1.38%, 1/21/2027 | 700,000 | 600,936 | |||
LG Chem, Ltd. 2.38%, 7/7/2031 (b) | 250,000 | 196,428 | |||
Shinhan Financial Group Co., Ltd. VRN, 5 Year CMT + 2.06%, 2.88%, 5/12/2026 (b) (c) | 900,000 | 770,454 | |||
1,567,818 | |||||
SPAIN — 0.0% (a) | |||||
Grifols Escrow Issuer SA 4.75%, 10/15/2028 (b) | 640,000 | 553,728 | |||
THAILAND — 0.0% (a) | |||||
Bangkok Bank PCL VRN, 5 Year CMT + 4.73%, 5.00%, 12/31/2099 (c) | 400,000 | 380,060 | |||
Kasikornbank PCL Series EMTN, VRN, 5 Year CMT + 4.94%, 5.28%, 10/14/2025 (c) | 700,000 | 656,250 | |||
1,036,310 | |||||
UNITED ARAB EMIRATES — 0.0% (a) | |||||
Galaxy Pipeline Assets Bidco, Ltd.: | |||||
2.16%, 3/31/2034 (b) | 184,932 | 157,166 | |||
2.94%, 9/30/2040 | 193,306 | 155,205 | |||
312,371 |
Security Description | Principal Amount | Value | |||
UNITED KINGDOM — 0.1% | |||||
BAT Capital Corp. 2.73%, 3/25/2031 | $ 2,295,000 | $ 1,789,848 | |||
eG Global Finance PLC 8.50%, 10/30/2025 (b) | 415,000 | 388,701 | |||
2,178,549 | |||||
UNITED STATES — 9.1% | |||||
AbbVie, Inc. 3.85%, 6/15/2024 | 1,820,000 | 1,791,317 | |||
Academy, Ltd. 6.00%, 11/15/2027 (b) | 385,000 | 369,812 | |||
Acrisure LLC/Acrisure Finance, Inc. 6.00%, 8/1/2029 (b) | 215,000 | 173,030 | |||
Acuris Finance US, Inc./Acuris Finance SARL 5.00%, 5/1/2028 (b) | 475,000 | 379,055 | |||
AdaptHealth LLC 5.13%, 3/1/2030 (b) | 900,000 | 766,008 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050 | 1,730,000 | 1,225,030 | |||
Aethon United BR L.P./Aethon United Finance Corp. 8.25%, 2/15/2026 (b) | 305,000 | 302,874 | |||
Air Lease Corp. 3.25%, 3/1/2025 | 1,505,000 | 1,429,163 | |||
Air Methods Corp. 8.00%, 5/15/2025 (b) | 78,000 | 4,458 | |||
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033 | 3,015,000 | 2,246,356 | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (b) | 345,000 | 310,859 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 (b) | 355,000 | 325,546 | |||
9.75%, 7/15/2027 (b) | 455,000 | 399,390 | |||
AMC Entertainment Holdings, Inc. 7.50%, 2/15/2029 (b) | 110,000 | 59,837 | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029 (b) | 640,000 | 585,510 | |||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029 | 155,000 | 124,322 | |||
American Express Co. 3.95%, 8/1/2025 | 1,735,000 | 1,700,300 | |||
AmWINS Group, Inc. 4.88%, 6/30/2029 (b) | 330,000 | 283,328 | |||
Antero Resources Corp. 5.38%, 3/1/2030 (b) | 330,000 | 305,877 |
Security Description | Principal Amount | Value | |||
APi Group DE, Inc. 4.75%, 10/15/2029 (b) | $ 475,000 | $ 416,057 | |||
Arconic Corp. 6.13%, 2/15/2028 (b) | 860,000 | 808,357 | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027 (b) | 300,000 | 220,566 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 1,587,000 | 1,444,678 | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (b) | 225,000 | 182,133 | |||
ASP Unifrax Holdings, Inc. 5.25%, 9/30/2028 (b) | 590,000 | 475,121 | |||
AssuredPartners, Inc. 5.63%, 1/15/2029 (b) | 420,000 | 348,923 | |||
AT&T, Inc.: | |||||
2.25%, 2/1/2032 | 2,215,000 | 1,736,759 | |||
2.75%, 6/1/2031 | 500,000 | 415,175 | |||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (b) | 555,000 | 411,161 | |||
Athene Holding, Ltd. 3.95%, 5/25/2051 | 2,620,000 | 1,786,002 | |||
Bank of America Corp.: | |||||
5 Year CMT + 1.20%, 2.48%, 9/21/2036 (c) | 3,620,000 | 2,668,700 | |||
SOFR + 1.11%, 3.84%, 4/25/2025 (c) | 385,000 | 375,814 | |||
SOFR + 1.75%, 4.83%, 7/22/2026 (c) | 540,000 | 533,947 | |||
Bausch Health Cos., Inc.: | |||||
4.88%, 6/1/2028 (b) | 420,000 | 268,703 | |||
6.13%, 2/1/2027 (b) | 185,000 | 127,267 | |||
11.00%, 9/30/2028 (b) | 141,000 | 110,572 | |||
14.00%, 10/15/2030 | 28,000 | 16,633 | |||
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (b) | 435,000 | 390,247 | |||
Berry Global, Inc. 0.95%, 2/15/2024 | 1,769,000 | 1,681,346 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (b) | 2,825,000 | 2,075,443 | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025 (b) | 235,000 | 233,757 | |||
Boeing Co. 2.95%, 2/1/2030 | 1,945,000 | 1,646,384 | |||
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (b) | 35,000 | 34,326 | |||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) | 665,000 | 625,432 | |||
Broadcom, Inc. 3.42%, 4/15/2033 (b) | 2,229,000 | 1,789,174 |
Security Description | Principal Amount | Value | |||
Brown & Brown, Inc. 2.38%, 3/15/2031 | $ 1,600,000 | $ 1,219,840 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (b) | 400,000 | 325,652 | |||
5.00%, 3/1/2030 (b) | 400,000 | 356,584 | |||
Bunge, Ltd. Finance Corp. 2.75%, 5/14/2031 | 1,175,000 | 964,534 | |||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (b) | 465,000 | 378,138 | |||
Callon Petroleum Co. 7.50%, 6/15/2030 (b) | 455,000 | 417,699 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (b) | 265,000 | 236,841 | |||
4.63%, 2/1/2029 (b) | 205,000 | 176,651 | |||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (c) | 1,850,000 | 1,814,794 | |||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (b) | 605,000 | 431,661 | |||
9.88%, 8/1/2027 (b) | 420,000 | 397,845 | |||
Carrier Global Corp. 3.58%, 4/5/2050 | 1,185,000 | 848,768 | |||
Castle US Holding Corp. 9.50%, 2/15/2028 (b) | 235,000 | 92,423 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 1/15/2034 (b) | 380,000 | 281,002 | |||
4.50%, 8/15/2030 (b) | 370,000 | 306,367 | |||
4.75%, 3/1/2030 (b) | 755,000 | 652,086 | |||
4.75%, 2/1/2032 (b) | 375,000 | 304,016 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 | 430,000 | 387,701 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%, 2/1/2032 | 2,900,000 | 2,140,084 | |||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (b) | 415,000 | 395,350 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (b) | 255,000 | 247,044 | |||
CHS/Community Health Systems, Inc.: | |||||
4.75%, 2/15/2031 (b) | 310,000 | 225,621 | |||
6.00%, 1/15/2029 (b) | 220,000 | 184,142 | |||
6.88%, 4/15/2029 (b) | 220,000 | 114,068 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 3,935,000 | 3,614,022 | |||
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (b) | 205,000 | 174,307 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (b) | 145,000 | 134,421 | |||
Clear Channel Outdoor Holdings, Inc.: | |||||
7.50%, 6/1/2029 (b) | 220,000 | 160,021 |
Security Description | Principal Amount | Value | |||
7.75%, 4/15/2028 (b) | $ 80,000 | $ 58,714 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (b) | 375,000 | 347,704 | |||
CNX Midstream Partners L.P. 4.75%, 4/15/2030 (b) | 550,000 | 454,008 | |||
CNX Resources Corp.: | |||||
6.00%, 1/15/2029 (b) | 375,000 | 346,121 | |||
7.38%, 1/15/2031 | 115,000 | 110,343 | |||
Coherent Corp. 5.00%, 12/15/2029 (b) | 405,000 | 350,418 | |||
Comcast Corp. 2.94%, 11/1/2056 | 2,896,000 | 1,816,458 | |||
CommScope Technologies LLC 5.00%, 3/15/2027 (b) | 230,000 | 157,746 | |||
CommScope, Inc. 4.75%, 9/1/2029 (b) | 470,000 | 379,553 | |||
Consolidated Communications, Inc. 5.00%, 10/1/2028 (b) | 290,000 | 213,858 | |||
Constellation Brands, Inc.: | |||||
2.88%, 5/1/2030 | 1,625,000 | 1,381,169 | |||
3.15%, 8/1/2029 | 560,000 | 490,722 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (b) | 635,000 | 550,685 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (b) | 340,000 | 239,663 | |||
Coty, Inc.: | |||||
5.00%, 4/15/2026 (b) | 410,000 | 390,800 | |||
6.50%, 4/15/2026 (b) | 245,000 | 235,384 | |||
CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.50%, 6/15/2031 (b) | 1,015,000 | 889,363 | |||
Crown Castle, Inc. 4.30%, 2/15/2029 | 1,635,000 | 1,544,110 | |||
CSC Holdings LLC 5.75%, 1/15/2030 (b) | 810,000 | 457,990 | |||
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (b) | 285,000 | 266,042 | |||
CSX Corp. 3.35%, 9/15/2049 | 2,505,000 | 1,804,827 | |||
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (b) | 380,000 | 341,495 | |||
Dana, Inc.: | |||||
4.25%, 9/1/2030 | 95,000 | 76,554 | |||
5.38%, 11/15/2027 | 125,000 | 115,920 | |||
5.63%, 6/15/2028 | 300,000 | 272,916 | |||
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028 (b) | 455,000 | 387,706 |
Security Description | Principal Amount | Value | |||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026 (b) | $ 385,000 | $ 45,838 | |||
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | 530,000 | 345,152 | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (b) | 485,000 | 434,933 | |||
Discover Financial Services 4.10%, 2/9/2027 | 1,900,000 | 1,788,242 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 195,000 | 125,796 | |||
5.75%, 12/1/2028 (b) | 405,000 | 323,502 | |||
5.88%, 11/15/2024 | 110,000 | 102,597 | |||
Dollar General Corp.: | |||||
3.50%, 4/3/2030 | 1,965,000 | 1,761,092 | |||
4.25%, 9/20/2024 | 860,000 | 848,820 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 1,763,000 | 1,721,763 | |||
DTE Energy Co. 4.22%, 11/1/2024 (e) | 920,000 | 905,308 | |||
Duke Energy Carolinas LLC 3.55%, 3/15/2052 | 670,000 | 506,145 | |||
Duke Energy Corp. 2.65%, 9/1/2026 | 2,960,000 | 2,734,596 | |||
Dun & Bradstreet Corp. 5.00%, 12/15/2029 (b) | 505,000 | 435,164 | |||
Elevance Health, Inc.: | |||||
3.30%, 1/15/2023 | 1,507,000 | 1,506,201 | |||
4.10%, 5/15/2032 | 1,880,000 | 1,746,558 | |||
Embarq Corp. 8.00%, 6/1/2036 | 285,000 | 132,545 | |||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (b) | 240,000 | 118,536 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 185,000 | 167,954 | |||
4.63%, 4/1/2031 | 455,000 | 390,718 | |||
4.75%, 2/1/2030 | 60,000 | 52,840 | |||
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 6.13%, 4/1/2029 (b) (d) | 215,000 | 163,424 | |||
Energizer Holdings, Inc. 6.50%, 12/31/2027 (b) | 235,000 | 224,152 | |||
Energy Transfer L.P.: | |||||
4.75%, 1/15/2026 | 895,000 | 873,386 | |||
5.00%, 5/15/2044 | 950,000 | 777,090 | |||
Entergy Louisiana LLC 4.75%, 9/15/2052 | 580,000 | 523,038 | |||
Enterprise Products Operating LLC 3.75%, 2/15/2025 | 1,590,000 | 1,546,180 | |||
EQM Midstream Partners L.P. 4.75%, 1/15/2031 (b) | 395,000 | 325,492 | |||
Essential Utilities, Inc. 3.35%, 4/15/2050 | 2,680,000 | 1,841,214 |
Security Description | Principal Amount | Value | |||
Everi Holdings, Inc. 5.00%, 7/15/2029 (b) | $ 580,000 | $ 499,844 | |||
Exelon Corp. 4.10%, 3/15/2052 | 255,000 | 202,709 | |||
Expedia Group, Inc.: | |||||
3.80%, 2/15/2028 | 2,325,000 | 2,134,489 | |||
5.00%, 2/15/2026 | 1,405,000 | 1,387,016 | |||
Exxon Mobil Corp. 2.99%, 3/19/2025 | 1,150,000 | 1,108,565 | |||
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026 (b) | 275,000 | 250,561 | |||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. 6.75%, 1/15/2030 (b) | 510,000 | 411,692 | |||
Ford Motor Co. 3.25%, 2/12/2032 | 1,275,000 | 959,374 | |||
Ford Motor Credit Co. LLC: | |||||
3.63%, 6/17/2031 | 545,000 | 429,079 | |||
4.95%, 5/28/2027 | 400,000 | 373,608 | |||
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028 (b) | 500,000 | 426,170 | |||
Freeport-McMoRan, Inc.: | |||||
4.38%, 8/1/2028 | 100,000 | 93,768 | |||
4.63%, 8/1/2030 | 300,000 | 280,422 | |||
5.25%, 9/1/2029 | 700,000 | 675,087 | |||
Frontier Communications Holdings LLC: | |||||
5.00%, 5/1/2028 (b) | 250,000 | 218,005 | |||
5.88%, 10/15/2027 (b) | 125,000 | 116,339 | |||
6.00%, 1/15/2030 (b) | 435,000 | 342,271 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (b) | 505,000 | 446,122 | |||
Gap, Inc. 3.88%, 10/1/2031 (b) | 405,000 | 285,719 | |||
General Motors Financial Co., Inc.: | |||||
2.40%, 10/15/2028 | 1,135,000 | 944,241 | |||
3.10%, 1/12/2032 | 1,110,000 | 871,883 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (b) | 1,868,000 | 1,810,092 | |||
Glatfelter Corp. 4.75%, 11/15/2029 (b) | 325,000 | 197,353 | |||
Goldman Sachs Group, Inc. 3 Month USD LIBOR + 1.17%, 5.78%, 5/15/2026 (c) | 3,090,000 | 3,060,552 | |||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 | 535,000 | 437,839 | |||
GrafTech Finance, Inc. 4.63%, 12/15/2028 (b) | 195,000 | 160,994 | |||
Griffon Corp. 5.75%, 3/1/2028 | 960,000 | 877,901 |
Security Description | Principal Amount | Value | |||
Guardian Life Global Funding 1.25%, 5/13/2026 (b) | $ 1,740,000 | $ 1,538,421 | |||
Gulfport Energy Corp. 8.00%, 5/17/2026 (b) | 175,000 | 173,343 | |||
Halliburton Co. 2.92%, 3/1/2030 | 922,000 | 791,832 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 880,000 | 803,352 | |||
5.13%, 6/15/2039 | 1,050,000 | 935,980 | |||
Hertz Corp. 5.00%, 12/1/2029 (b) | 215,000 | 163,067 | |||
Hess Midstream Operations L.P.: | |||||
4.25%, 2/15/2030 (b) | 750,000 | 643,155 | |||
5.13%, 6/15/2028 (b) | 365,000 | 339,680 | |||
5.50%, 10/15/2030 (b) | 310,000 | 285,098 | |||
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026 (b) | 375,000 | 215,179 | |||
Hightower Holding LLC 6.75%, 4/15/2029 (b) | 315,000 | 263,683 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (b) | 540,000 | 489,910 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 5.25%, 5/15/2027 | 385,000 | 353,045 | |||
iHeartCommunications, Inc. 8.38%, 5/1/2027 | 75,000 | 63,878 | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (b) | 510,000 | 429,216 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (b) | 435,000 | 392,231 | |||
Invitation Homes Operating Partnership L.P. 2.70%, 1/15/2034 | 2,435,000 | 1,781,884 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (b) | 185,000 | 161,176 | |||
REIT, 4.50%, 2/15/2031 (b) | 260,000 | 214,159 | |||
Jeld-Wen, Inc. 4.63%, 12/15/2025 (b) | 220,000 | 183,788 | |||
JPMorgan Chase & Co.: | |||||
SOFR + 1.25%, 2.58%, 4/22/2032 (c) | 2,165,000 | 1,732,087 | |||
SOFR + 1.26%, 2.96%, 1/25/2033 (c) | 2,125,000 | 1,727,497 | |||
SOFR + 1.99%, 4.85%, 7/25/2028 (c) | 900,000 | 878,652 | |||
LD Holdings Group LLC: | |||||
6.13%, 4/1/2028 (b) | 60,000 | 35,819 | |||
6.50%, 11/1/2025 (b) | 105,000 | 71,571 |
Security Description | Principal Amount | Value | |||
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (b) | $ 425,000 | $ 368,071 | |||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026 (b) | 340,000 | 302,794 | |||
LFS Topco LLC 5.88%, 10/15/2026 (b) | 395,000 | 318,153 | |||
Lifepoint Health, Inc. 5.38%, 1/15/2029 (b) | 285,000 | 161,347 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (b) | 275,000 | 159,184 | |||
Lowe's Cos., Inc. 4.40%, 9/8/2025 | 2,075,000 | 2,047,340 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (b) | 545,000 | 483,115 | |||
Lumen Technologies, Inc.: | |||||
4.00%, 2/15/2027 (b) | 155,000 | 132,045 | |||
5.13%, 12/15/2026 (b) | 240,000 | 208,486 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 365,000 | 324,230 | |||
Madison IAQ LLC: | |||||
4.13%, 6/30/2028 (b) | 340,000 | 283,138 | |||
5.88%, 6/30/2029 (b) | 220,000 | 151,325 | |||
Marriott International, Inc. Series HH, 2.85%, 4/15/2031 | 2,205,000 | 1,786,248 | |||
Marvell Technology, Inc. 1.65%, 4/15/2026 | 1,470,000 | 1,300,524 | |||
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050 (b) | 1,980,000 | 1,375,526 | |||
Match Group Holdings II LLC 5.00%, 12/15/2027 (b) | 775,000 | 719,657 | |||
Mativ Holdings, Inc. 6.88%, 10/1/2026 (b) | 250,000 | 218,695 | |||
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (b) | 305,000 | 256,722 | |||
Medline Borrower L.P. 5.25%, 10/1/2029 (b) | 555,000 | 441,103 | |||
Metis Merger Sub LLC 6.50%, 5/15/2029 (b) | 210,000 | 177,576 | |||
Michaels Cos., Inc.: | |||||
5.25%, 5/1/2028 (b) | 240,000 | 193,831 | |||
7.88%, 5/1/2029 (b) | 200,000 | 134,978 | |||
Microsoft Corp. 2.92%, 3/17/2052 | 1,090,001 | 776,604 | |||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029 (b) | 370,000 | 316,154 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (b) | 190,000 | 160,088 |
Security Description | Principal Amount | Value | |||
ModivCare, Inc. 5.88%, 11/15/2025 (b) | $ 260,000 | $ 246,207 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (b) | 900,000 | 867,285 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (c) | 4,870,000 | 3,552,324 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (b) | 90,000 | 81,065 | |||
MPLX L.P. 1.75%, 3/1/2026 | 780,000 | 696,290 | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | 285,000 | 260,362 | |||
Nabors Industries, Ltd. 7.25%, 1/15/2026 (b) | 305,000 | 288,725 | |||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (b) | 620,000 | 481,740 | |||
Navient Corp. 5.00%, 3/15/2027 | 285,000 | 249,275 | |||
NCL Corp., Ltd. 5.88%, 3/15/2026 (b) | 395,000 | 310,889 | |||
NetApp, Inc. 1.88%, 6/22/2025 | 1,525,000 | 1,405,394 | |||
News Corp. 5.13%, 2/15/2032 (b) | 155,000 | 140,921 | |||
NextEra Energy Capital Holdings, Inc. 4.26%, 9/1/2024 | 815,000 | 805,187 | |||
NFP Corp. 4.88%, 8/15/2028 (b) | 280,000 | 238,392 | |||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (b) | 275,000 | 244,945 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026 | 110,000 | 84,876 | |||
NRG Energy, Inc. 3.63%, 2/15/2031 (b) | 545,000 | 416,996 | |||
NuStar Logistics L.P. 6.00%, 6/1/2026 | 510,000 | 492,573 | |||
Occidental Petroleum Corp.: | |||||
6.13%, 1/1/2031 | 435,000 | 440,216 | |||
6.45%, 9/15/2036 | 220,000 | 224,444 | |||
6.60%, 3/15/2046 | 215,000 | 221,267 | |||
6.63%, 9/1/2030 | 305,000 | 315,153 | |||
Olympus Water US Holding Corp.: | |||||
4.25%, 10/1/2028 (b) | 600,000 | 491,616 | |||
6.25%, 10/1/2029 (b) | 400,000 | 303,956 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 | 2,200,000 | 1,816,364 | |||
OneMain Finance Corp.: | |||||
5.38%, 11/15/2029 | 250,000 | 204,810 |
Security Description | Principal Amount | Value | |||
7.13%, 3/15/2026 | $ 324,000 | $ 308,066 | |||
Oracle Corp.: | |||||
3.60%, 4/1/2050 | 1,935,000 | 1,320,076 | |||
3.80%, 11/15/2037 | 155,000 | 122,276 | |||
6.25%, 11/9/2032 | 165,000 | 173,258 | |||
Organon & Co./Organon Foreign Debt Co-Issuer BV 5.13%, 4/30/2031 (b) | 570,000 | 493,745 | |||
Owens & Minor, Inc. 6.63%, 4/1/2030 (b) | 530,000 | 455,742 | |||
Pacific Gas & Electric Co. 2.50%, 2/1/2031 | 1,135,000 | 882,451 | |||
Par Petroleum LLC/Par Petroleum Finance Corp. 7.75%, 12/15/2025 (b) | 250,000 | 240,983 | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029 (b) | 290,000 | 245,476 | |||
Parker-Hannifin Corp. 4.25%, 9/15/2027 | 455,000 | 442,133 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 100,000 | 88,502 | |||
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (b) | 160,000 | 103,867 | |||
Penn Entertainment, Inc.: | |||||
4.13%, 7/1/2029 (b) | 310,000 | 245,241 | |||
5.63%, 1/15/2027 (b) | 620,000 | 561,664 | |||
PennyMac Financial Services, Inc. 4.25%, 2/15/2029 (b) | 495,000 | 386,927 | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027 (b) | 920,000 | 863,898 | |||
PepsiCo, Inc. 3.60%, 2/18/2028 | 550,000 | 528,302 | |||
Performance Food Group, Inc.: | |||||
4.25%, 8/1/2029 (b) | 380,000 | 329,190 | |||
5.50%, 10/15/2027 (b) | 460,000 | 436,982 | |||
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029 (b) | 500,000 | 466,450 | |||
Pike Corp. 5.50%, 9/1/2028 (b) | 560,000 | 489,496 | |||
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 1,235,000 | 1,100,558 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (b) | 90,000 | 77,647 | |||
5.50%, 12/15/2029 (b) | 140,000 | 126,837 |
Security Description | Principal Amount | Value | |||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. 5.63%, 9/1/2029 (b) | $ 305,000 | $ 224,416 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (b) | 350,000 | 319,589 | |||
Qorvo, Inc. 1.75%, 12/15/2024 (b) | 700,000 | 645,848 | |||
Quanta Services, Inc. 2.35%, 1/15/2032 | 2,355,000 | 1,789,988 | |||
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 9/15/2026 (b) | 300,000 | 220,482 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028 (b) | 230,000 | 129,343 | |||
Raytheon Technologies Corp. 3.03%, 3/15/2052 | 1,140,000 | 779,110 | |||
Realogy Group LLC/Realogy Co-Issuer Corp. 5.25%, 4/15/2030 (b) | 450,000 | 328,131 | |||
Rent-A-Center, Inc. 6.38%, 2/15/2029 (b) | 205,000 | 166,073 | |||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (b) | 205,000 | 177,225 | |||
Royal Caribbean Cruises, Ltd. 5.50%, 8/31/2026 (b) | 420,000 | 353,363 | |||
Royalty Pharma PLC 3.30%, 9/2/2040 | 2,515,000 | 1,759,167 | |||
RP Escrow Issuer LLC 5.25%, 12/15/2025 (b) | 210,000 | 160,604 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,230,000 | 1,206,618 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (c) | 2,040,000 | 1,755,032 | |||
Scientific Games Holdings L.P./Scientific Games US FinCo, Inc. 6.63%, 3/1/2030 (b) | 470,000 | 396,873 | |||
Scotts Miracle-Gro Co. 4.50%, 10/15/2029 | 440,000 | 356,426 | |||
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (b) | 170,000 | 138,310 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (b) | 105,000 | 94,038 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (b) | 605,000 | 564,392 | |||
Select Medical Corp. 6.25%, 8/15/2026 (b) | 490,000 | 466,990 | |||
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (b) | 340,000 | 310,624 |
Security Description | Principal Amount | Value | |||
SK Invictus Intermediate II SARL 5.00%, 10/30/2029 (b) | $ 415,000 | $ 341,412 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (b) | 1,865,000 | 1,715,352 | |||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (b) | 515,000 | 415,265 | |||
Southern Co. Series A, 3.70%, 4/30/2030 | 1,950,000 | 1,761,610 | |||
Southwestern Energy Co.: | |||||
4.75%, 2/1/2032 | 430,000 | 367,147 | |||
5.38%, 2/1/2029 | 410,000 | 379,754 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (b) | 370,000 | 323,650 | |||
SRS Distribution, Inc.: | |||||
4.63%, 7/1/2028 (b) | 315,000 | 281,374 | |||
6.13%, 7/1/2029 (b) | 355,000 | 288,136 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (b) | 340,000 | 292,682 | |||
10.75%, 4/15/2027 (b) | 150,000 | 108,038 | |||
Station Casinos LLC 4.63%, 12/1/2031 (b) | 295,000 | 237,738 | |||
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031 (b) | 395,000 | 338,128 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (b) | 510,000 | 435,066 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 150,000 | 131,201 | |||
6.00%, 4/15/2027 | 170,000 | 167,850 | |||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (b) | 165,000 | 95,684 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027 | 855,000 | 791,234 | |||
3.30%, 2/15/2050 | 920,000 | 632,776 | |||
Tenet Healthcare Corp.: | |||||
6.13%, 10/1/2028 (b) | 230,000 | 206,395 | |||
6.13%, 6/15/2030 (b) | 450,000 | 428,585 | |||
6.25%, 2/1/2027 (b) | 245,000 | 235,325 | |||
Textron, Inc. 2.45%, 3/15/2031 | 3,310,000 | 2,651,244 | |||
T-Mobile USA, Inc. 2.25%, 2/15/2026 | 2,920,000 | 2,659,302 | |||
TMS International Corp. 6.25%, 4/15/2029 (b) | 180,000 | 129,559 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (b) | 150,000 | 132,183 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 | 520,000 | 488,306 | |||
6.25%, 3/15/2026 (b) | 450,000 | 444,744 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (b) | 328,125 | 319,715 | |||
Trident TPI Holdings, Inc. 6.63%, 11/1/2025 (b) | 410,000 | 360,878 |
Security Description | Principal Amount | Value | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (b) | $ 220,000 | $ 178,226 | |||
Triumph Group, Inc. 7.75%, 8/15/2025 | 147,000 | 125,193 | |||
Uber Technologies, Inc. 4.50%, 8/15/2029 (b) | 380,000 | 331,292 | |||
United Airlines, Inc. 4.63%, 4/15/2029 (b) | 400,000 | 349,084 | |||
United Natural Foods, Inc. 6.75%, 10/15/2028 (b) | 455,000 | 437,642 | |||
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029 (b) | 325,000 | 215,196 | |||
Univision Communications, Inc. 4.50%, 5/1/2029 (b) | 325,000 | 271,629 | |||
US Foods, Inc. 4.75%, 2/15/2029 (b) | 340,000 | 301,923 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 | 260,000 | 243,838 | |||
Verizon Communications, Inc. 1.75%, 1/20/2031 | 3,674,000 | 2,845,807 | |||
Viatris, Inc. 1.65%, 6/22/2025 | 600,000 | 543,564 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (b) | 385,000 | 302,090 | |||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (b) | 955,000 | 779,509 | |||
Virtusa Corp. 7.13%, 12/15/2028 (b) | 155,000 | 118,918 | |||
VMware, Inc. 2.20%, 8/15/2031 | 1,670,000 | 1,266,144 | |||
Vontier Corp. 1.80%, 4/1/2026 | 2,440,000 | 2,064,142 | |||
Vornado Realty L.P. 2.15%, 6/1/2026 | 685,000 | 580,277 | |||
WarnerMedia Holdings, Inc. 3.76%, 3/15/2027 (b) | 2,010,000 | 1,814,105 | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (b) | 555,000 | 523,082 | |||
Weatherford International, Ltd.: | |||||
6.50%, 9/15/2028 (b) | 240,000 | 235,349 | |||
8.63%, 4/30/2030 (b) | 295,000 | 284,867 | |||
Wells Fargo & Co.: | |||||
SOFR + 1.98%, 4.81%, 7/25/2028 (c) | 740,000 | 721,374 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 1,910,000 | 1,769,233 | |||
Welltower, Inc. 2.05%, 1/15/2029 | 2,240,000 | 1,819,821 |
Security Description | Principal Amount | Value | |||
Western Midstream Operating L.P. 4.30%, 2/1/2030 | $ 395,000 | $ 345,988 | |||
Wheel Pros, Inc. 6.50%, 5/15/2029 (b) | 100,000 | 37,503 | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | 681,000 | 641,883 | |||
Workday, Inc. 3.70%, 4/1/2029 | 865,000 | 793,464 | |||
WR Grace Holdings LLC 5.63%, 8/15/2029 (b) | 270,000 | 218,435 | |||
WRKCo, Inc. 3.75%, 3/15/2025 | 1,810,000 | 1,751,193 | |||
XHR L.P.: | |||||
4.88%, 6/1/2029 (b) | 425,000 | 348,997 | |||
6.38%, 8/15/2025 (b) | 265,000 | 258,672 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (b) | 375,000 | 344,704 | |||
Zayo Group Holdings, Inc.: | |||||
4.00%, 3/1/2027 (b) | 230,000 | 170,455 | |||
6.13%, 3/1/2028 (b) | 110,000 | 62,729 | |||
211,171,650 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $333,031,053) | 284,252,581 | ||||
ASSET-BACKED SECURITIES — 10.7% | |||||
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 4.55%, 10/25/2024 (c) | 104,734 | 104,579 | |||
ACE Securities Corp. Home Equity Loan Trust: | |||||
Series 2006-FM1, Class A2C, Class A2C, ABS, 1 Month USD LIBOR + 0.30%, 4.69%, 7/25/2036 (c) | 8,532,065 | 2,218,336 | |||
Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 4.67%, 2/25/2037 (c) | 2,868,879 | 1,198,885 | |||
Affirm Asset Securitization Trust Series 2022-A, Class A, 4.30%, 5/17/2027 (b) | 3,000,000 | 2,850,696 | |||
Aimco CLO 11, Ltd. Series 2020-11A, Class AR, 3 Month USD LIBOR + 1.13%, 5.21%, 10/17/2034 (b) (c) | 2,000,000 | 1,933,000 | |||
Ameriquest Mortgage Securities Asset-Backed Pass-Through Series 2004-FR1, Class M5, 3.97%, 5/25/2034 (e) | 4,804,032 | 3,360,303 |
Security Description | Principal Amount | Value | |||
AMSR Trust: | |||||
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038 (b) | $ 3,000,000 | $ 2,497,276 | |||
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038 (b) | 3,000,000 | 2,454,572 | |||
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038 (b) | 2,000,000 | 1,647,008 | |||
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, ABS, 3 Month USD LIBOR + 1.21%, 5.29%, 10/15/2034 (b) (c) | 2,000,000 | 1,930,400 | |||
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.18%, 4.57%, 7/25/2036 (c) | 17,971,001 | 4,800,156 | |||
Bain Capital Credit CLO, Ltd.: | |||||
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR + 3.10%, 7.38%, 10/21/2034 (b) (c) | 1,000,000 | 917,638 | |||
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 7.79%, 1/20/2032 (b) (c) | 2,500,000 | 2,335,395 | |||
Series 2021-6A, Class A1, 3 Month USD LIBOR + 1.15%, 5.43%, 10/21/2034 (b) (c) | 3,000,000 | 2,886,300 | |||
Series 2022-3A, Class D, 3 Month SOFR + 3.70%, 7.56%, 7/17/2035 (b) (c) | 1,000,000 | 888,600 | |||
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046 (b) | 4,692,910 | 3,534,285 | |||
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 3.80%, 10/25/2036 (c) | 16,946,131 | 11,306,902 | |||
Canyon Capital CLO, Ltd.: | |||||
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 7.08%, 7/15/2030 (b) (c) | 1,000,000 | 890,500 | |||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 7.18%, 4/15/2034 (b) (c) | 2,000,000 | 1,793,150 |
Security Description | Principal Amount | Value | |||
Carlyle U.S. CLO Ltd.: | |||||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 6.00%, 10.08%, 4/15/2034 (b) (c) | $ 1,000,000 | $ 874,827 | |||
Series 2022-2A, Class A2, Class A2, 3 Month SOFR + 2.00%, 5.96%, 4/20/2035 (b) (c) | 2,000,000 | 1,916,000 | |||
Catamaran CLO, Ltd. Series 2018-1A, Class C, 3 Month USD LIBOR + 2.50%, 6.86%, 10/25/2031 (b) (c) | 1,000,000 | 918,600 | |||
CIFC Funding, Ltd.: | |||||
Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 7.63%, 7/16/2030 (b) (c) | 1,000,000 | 916,200 | |||
Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 7.78%, 4/23/2029 (b) (c) | 1,000,000 | 959,000 | |||
Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 10.36%, 4/25/2033 (b) (c) | 500,000 | 447,872 | |||
Series 2022-3A, Class B, Class B, 3 Month SOFR + 2.00%, 5.99%, 4/21/2035 (b) (c) | 2,000,000 | 1,918,200 | |||
Dryden 68 CLO, Ltd. Series 2019-68A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 7.43%, 7/15/2035 (b) (c) | 1,500,000 | 1,389,318 | |||
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 7.24%, 1/20/2034 (b) (c) | 1,500,000 | 1,413,818 | |||
Exeter Automobile Receivables Trust: | |||||
Series 2021-1A, Class D, ABS, 1.08%, 11/16/2026 | 1,000,000 | 931,873 | |||
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028 (b) | 1,500,000 | 1,357,740 | |||
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 4.53%, 3/25/2037 (c) | 9,173,789 | 4,782,956 | |||
FirstKey Homes Trust: | |||||
Series 2020-SFR2, Class D, ABS, 1.97%, 10/19/2037 (b) | 2,000,000 | 1,755,206 |
Security Description | Principal Amount | Value | |||
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | $ 2,000,000 | $ 1,765,792 | |||
FMC GMSR Issuer Trust: | |||||
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (b) (c) | 3,000,000 | 2,620,637 | |||
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (c) | 2,650,000 | 2,125,183 | |||
FREED ABS Trust Series 2021-2, Class C, ABS, 1.94%, 6/19/2028 (b) | 4,750,000 | 4,614,880 | |||
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.22%, 5.55%, 5/16/2038 (b) (c) | 2,000,000 | 1,915,408 | |||
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044 (b) (e) | 1,166,806 | 965,237 | |||
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 7.08%, 7/15/2031 (b) (c) | 2,100,000 | 1,921,534 | |||
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048 (b) | 3,166,985 | 2,384,139 | |||
Greystone CRE Notes, Ltd. Series 2021-FL3, Class B, ABS, 1 Month USD LIBOR + 1.65%, 5.97%, 7/15/2039 (b) (c) | 2,925,000 | 2,690,336 | |||
GSAA Home Equity Trust: | |||||
Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,131,645 | 915,495 | |||
Series 2007-4, Class A3A, Class A3A, ABS, 1 Month USD LIBOR + 0.60%, 4.99%, 3/25/2037 (c) | 5,867,563 | 2,402,556 | |||
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048 (b) | 1,627,750 | 1,497,937 | |||
Hayfin Kingsland X, Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.85%, 6.22%, 4/28/2031 (b) (c) | 2,000,000 | 1,957,564 | |||
Helios Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048 (b) | 1,273,326 | 928,312 | |||
Jamestown CLO XII, Ltd. Series 2019-1A, Class A2, ABS, 3 Month USD LIBOR + 2.15%, 6.39%, 4/20/2032 (b) (c) | 1,000,000 | 971,600 |
Security Description | Principal Amount | Value | |||
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (b) | $ 2,228,440 | $ 1,820,439 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 5.77%, 11/15/2038 (b) (c) | 2,864,000 | 2,782,728 | |||
Lendbuzz Securitization Trust Series 2022-1A, Class A, Class A, 4.22%, 5/17/2027 (b) | 3,726,669 | 3,580,048 | |||
Lendingpoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028 (b) | 4,000,000 | 3,794,167 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 5.82%, 5/15/2036 (b) (c) | 2,955,092 | 2,881,832 | |||
Madison Park Funding XI, Ltd. Series 2013-11A, Class DR, ABS, 3 Month USD LIBOR + 3.25%, 7.57%, 7/23/2029 (b) (c) | 1,000,000 | 937,600 | |||
Madison Park Funding XLVIII, Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 7.23%, 4/19/2033 (b) (c) | 1,000,000 | 928,425 | |||
Madison Park Funding XVII, Ltd. Series 2015-17A, Class DR, 3 Month USD LIBOR + 3.60%, 7.88%, 7/21/2030 (b) (c) | 1,000,000 | 945,300 | |||
Magnetite CLO, Ltd. Series 2021-31A, Class E, 3 Month USD LIBOR + 6.00%, 10.08%, 7/15/2034 (b) (c) | 500,000 | 438,134 | |||
Magnetite XXIX, Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 9.83%, 1/15/2034 (b) (c) | 500,000 | 446,040 | |||
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.01%, 6/22/2043 (b) | 266,812 | 245,448 | |||
MVW LLC: | |||||
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041 (b) | 851,943 | 761,568 | |||
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041 (b) | 1,419,905 | 1,259,824 |
Security Description | Principal Amount | Value | |||
Neuberger Berman Loan Advisers CLO, Ltd.: | |||||
Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 6.83%, 4/16/2033 (b) (c) | $ 1,500,000 | $ 1,382,954 | |||
Series 2022-47A, Class D, ABS, 3 Month SOFR + 3.10%, 6.93%, 4/14/2035 (b) (c) | 500,000 | 447,250 | |||
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 Month USD LIBOR + 3.45%, 7.39%, 10/13/2031 (b) (c) | 1,000,000 | 847,800 | |||
Octagon Investment Partners 27, Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 7.03%, 7/15/2030 (b) (c) | 500,000 | 433,700 | |||
Octagon Investment Partners 30, Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 7.54%, 3/17/2030 (b) (c) | 1,000,000 | 952,506 | |||
Octagon Investment Partners 31 Ltd. Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 7.64%, 7/20/2030 (b) (c) | 1,000,000 | 955,683 | |||
Octagon Investment Partners 40, Ltd. Series 2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 7.59%, 1/20/2035 (b) (c) | 500,000 | 431,000 | |||
Octagon Investment Partners 49, Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 7.48%, 1/15/2033 (b) (c) | 2,500,000 | 2,258,000 | |||
Octagon Investment Partners 51, Ltd. Series 2021-1A, Class A, ABS, 3 Month USD LIBOR + 1.15%, 5.39%, 7/20/2034 (b) (c) | 1,385,000 | 1,338,741 | |||
Pagaya AI Debt Trust: | |||||
Series 2022-1, Class A, 2.03%, 10/15/2029 (b) | 1,410,823 | 1,345,307 | |||
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029 (b) | 4,499,405 | 4,049,654 | |||
Series 2022-2, Class A, Class A, 4.97%, 1/15/2030 (b) | 2,709,273 | 2,643,379 | |||
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%, 7.39%, 3/25/2026 (b) (c) | 1,300,000 | 1,260,976 |
Security Description | Principal Amount | Value | |||
PRET LLC: | |||||
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (b) (e) | $ 4,286,950 | $ 3,870,546 | |||
Series 2022-RN1, Class A1, 3.72%, 7/25/2051 (b) (e) | 13,299,002 | 12,412,893 | |||
Regatta VI Funding, Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 5.40%, 4/20/2034 (b) (c) | 850,000 | 823,395 | |||
Regatta XXIII Funding, Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 5.39%, 1/20/2035 (b) (c) | 4,500,000 | 4,342,950 | |||
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036 (e) | 8,664,451 | 3,654,048 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (b) | 1,119,946 | 846,811 | |||
Securitized Asset Backed Receivables LLC Trust: | |||||
Series 2007-BR4, Class A2A, Class A2A, ABS, 1 Month USD LIBOR + 0.09%, 4.48%, 5/25/2037 (c) | 3,663,529 | 2,214,493 | |||
Series 2007-BR4, Class A2B, Class A2B, ABS, 1 Month USD LIBOR + 0.20%, 4.59%, 5/25/2037 (c) | 25,457,289 | 15,400,367 | |||
Securitized Asset-Backed Receivables LLC Trust Series 2007-BR5, Class A2B, Class A2B, 1 Month USD LIBOR + 0.18%, 4.57%, 5/25/2037 (c) | 36,103,677 | 26,769,353 | |||
Shenton Aircraft Investment I, Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042 (b) | 1,972,865 | 1,509,262 | |||
SOFI Alternative Trust Series 2021-A, Class PT1, ABS, VRN, 1.48%, 3/15/2047 (b) (c) | 1,980 | 1,722 | |||
Sound Point Clo XII, Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 8.09%, 10/20/2028 (b) (c) | 1,000,000 | 977,600 |
Security Description | Principal Amount | Value | |||
Sound Point Clo XIV, Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 7.97%, 1/23/2029 (b) (c) | $ 1,000,000 | $ 962,987 | |||
Sound Point CLO XXIII, Ltd. Series 2019-2A, Class ER, 3 Month USD LIBOR + 6.47%, 10.55%, 7/15/2034 (b) (c) | 1,000,000 | 797,410 | |||
Sound Point CLO XXVI, Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 3.35%, 7.59%, 7/20/2034 (b) (c) | 500,000 | 443,807 | |||
Sound Point CLO XXVIII, Ltd. Series 2020-3A, Class D, ABS, 3 Month USD LIBOR + 3.65%, 8.01%, 1/25/2032 (b) (c) | 4,000,000 | 3,641,820 | |||
Sound Point CLO XXXIII, Ltd. Series 2022-1A, Class D, ABS, 3 Month SOFR + 3.30%, 7.36%, 4/25/2035 (b) (c) | 700,000 | 584,430 | |||
Start II Ltd. Series 2019-1, Class A, 4.09%, 3/15/2044 (b) | 490,687 | 418,404 | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 4.73%, 12/25/2036 (c) | 734,765 | 703,895 | |||
Sunrun Demeter Issuer Series 2021-2A, Class A, 2.27%, 1/30/2057 (b) | 2,616,582 | 1,838,485 | |||
THL Credit Wind River CLO, Ltd. Series 2017-3A, Class AR, ABS, 3 Month USD LIBOR + 1.15%, 5.23%, 4/15/2035 (b) (c) | 2,150,000 | 2,065,720 | |||
TIF Funding II LLC: | |||||
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046 (b) | 4,257,292 | 3,523,122 | |||
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046 (b) | 1,702,917 | 1,368,391 | |||
Trimaran Cavu, Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.78%, 7.97%, 1/18/2035 (b) (c) | 1,500,000 | 1,386,221 | |||
TRTX Issuer, Ltd.: | |||||
Series 2019-FL3, Class AS, 1 Month USD Term LIBOR + 1.56%, 5.89%, 10/15/2034 (b) (c) | 3,527,000 | 3,508,208 |
Security Description | Principal Amount | Value | |||
Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 5.53%, 3/15/2038 (b) (c) | $ 200,000 | $ 193,274 | |||
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027 (b) | 2,082,908 | 1,952,511 | |||
Upstart Securitization Trust: | |||||
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (b) | 1,938,001 | 1,882,563 | |||
Series 2022-1, Class B, 4.48%, 3/20/2032 (b) | 6,500,000 | 5,985,098 | |||
USASF Receivables 2020-1 LLC Series 2020-1A, Class B, 3.22%, 5/15/2024 (b) | 464,140 | 463,312 | |||
Venture CLO, Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 8.33%, 4/15/2033 (b) (c) | 1,750,000 | 1,601,425 | |||
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051 (b) (e) | 1,606,564 | 1,456,437 | |||
Voya CLO, Ltd. Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 7.39%, 4/20/2034 (b) (c) | 1,000,000 | 919,625 | |||
Wellfleet CLO X, Ltd. Series 2019-XA, Class A2R, 3 Month USD LIBOR + 1.75%, 5.99%, 7/20/2032 (b) (c) | 3,500,000 | 3,311,350 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $283,598,705) | 249,806,639 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.8% | |||||
BRAZIL — 0.1% | |||||
Brazilian Government International Bond 5.63%, 2/21/2047 | 1,200,000 | 952,692 | |||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.55%, 1/27/2032 | 200,000 | 163,934 | |||
3.10%, 5/7/2041 | 1,800,000 | 1,295,100 | |||
3.10%, 1/22/2061 | 500,000 | 312,010 | |||
3.50%, 1/25/2050 | 1,300,000 | 943,748 | |||
2,714,792 |
Security Description | Principal Amount | Value | |||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond: | |||||
3.13%, 4/15/2031 | $ 700,000 | $ 520,205 | |||
3.25%, 4/22/2032 | 1,100,000 | 799,689 | |||
4.13%, 5/15/2051 | 1,700,000 | 1,020,629 | |||
5.00%, 6/15/2045 | 900,000 | 617,247 | |||
2,957,770 | |||||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond 3.70%, 10/30/2049 | 1,900,000 | 1,470,068 | |||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
2.66%, 5/24/2031 | 1,200,000 | 966,912 | |||
4.28%, 8/14/2041 | 3,000,000 | 2,319,570 | |||
4.35%, 1/15/2047 | 300,000 | 224,895 | |||
3,511,377 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
2.25%, 9/29/2032 | 1,200,000 | 890,112 | |||
3.87%, 7/23/2060 | 1,000,000 | 647,050 | |||
4.30%, 4/29/2053 | 1,300,000 | 945,880 | |||
4.50%, 4/1/2056 | 400,000 | 293,896 | |||
2,776,938 | |||||
PERU — 0.0% (a) | |||||
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.61%, 5.25%, 7/15/2029 (c) | 200,000 | 191,652 | |||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
1.65%, 6/10/2031 | 650,000 | 519,759 | |||
2.65%, 12/10/2045 | 600,000 | 403,446 | |||
2.95%, 5/5/2045 | 600,000 | 432,786 | |||
3.70%, 2/2/2042 | 800,000 | 649,424 | |||
2,005,415 | |||||
SAUDI ARABIA — 0.0% (a) | |||||
Saudi Government International Bond Series REGS, 2.25%, 2/2/2033 | 1,000,000 | 810,988 | |||
SOUTH AFRICA — 0.0% (a) | |||||
Republic of South Africa Government International Bond 4.30%, 10/12/2028 | 650,000 | 579,358 |
Security Description | Principal Amount | Value | |||
SOUTH KOREA — 0.0% (a) | |||||
Korea Development Bank: | |||||
1.63%, 1/19/2031 | $ 800,000 | $ 628,696 | |||
2.00%, 10/25/2031 | 400,000 | 318,320 | |||
947,016 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $25,473,233) | 18,918,066 |
Shares | |||
COMMON STOCKS — 0.0% (a) | |||
UNITED KINGDOM — 0.0% (a) | |||
Avation Capital SA | 4,550 | 1,642 | |
UNITED STATES — 0.0% (a) | |||
Bright Bidco B.V. (f) | 710 | 13,934 | |
Carlson Travel, Inc. (f) | 5,125 | 33,313 | |
Foresight Energy (f) | 572 | 6,861 | |
54,108 | |||
TOTAL COMMON STOCKS (Cost $160,402) | 55,750 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 2.0% | |||
ADVERTISING SERVICES — 0.0% (a) | |||
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026 (c) | $ 151,531 | 142,305 | |
AEROSPACE & DEFENSE — 0.0% (a) | |||
Dynasty Acquisition Co., Inc.: | |||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026 (c) | 76,100 | 72,735 | |
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026 (c) | 141,547 | 135,287 | |
Spirit Aerosystems, Inc., Senior Secured 2022 Term Loan, 1 Month USD SOFR + 4.50%, 8.82%, 1/15/2027 (c) | 79,800 | 79,277 | |
287,299 |
Security Description | Principal Amount | Value | |||
AIR FREIGHT & LOGISTICS — 0.0% (a) | |||||
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/24/2026 (c) | $ 378,528 | $ 369,943 | |||
Worldwide Express Operations LLC, Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028 (c) | 188,100 | 172,752 | |||
542,695 | |||||
AIRLINES — 0.1% | |||||
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.13%, 8/11/2028 (c) | 194,025 | 192,357 | |||
American Airlines, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 6.14%, 1/29/2027 (c) | 215,600 | 205,205 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028 (c) | 310,000 | 309,177 | |||
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.00%, 6/21/2027 (c) | 454,500 | 468,305 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027 (c) | 215,000 | 219,556 | |||
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028 (c) | 352,430 | 348,980 | |||
1,743,580 | |||||
AUTO COMPONENTS — 0.0% (a) | |||||
DexKo Global, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.59%, 10/4/2028 (c) | 150,697 | 135,606 | |||
Wheel Pros LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.5%, 8.82%, 5/11/2028 (c) | 73,051 | 49,940 | |||
185,546 |
Security Description | Principal Amount | Value | |||
BEVERAGES — 0.0% (a) | |||||
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028 (c) | $ 296,405 | $ 276,657 | |||
BROADCAST SERV/PROGRAM — 0.0% (a) | |||||
E.W. Scripps Co. (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 6.95%, 5/1/2026 (c) | 448,400 | 441,842 | |||
BUILDING PRODUCTS — 0.0% (a) | |||||
Quikrete Holdings, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.00%, 7.38%, 6/11/2028 (c) | 124,063 | 123,258 | |||
Tamko Building Products LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.73%, 6/1/2026 (c) | 176,354 | 171,284 | |||
294,542 | |||||
CASINO SERVICES — 0.0% (a) | |||||
Stars Group Holdings B.V., Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026 (c) | 313,880 | 310,043 | |||
CHEMICALS — 0.1% | |||||
Axalta Coating Systems Dutch Holding B B.V, Senior Secured 2022 USD Term Loan B, 12/20/2029 | 145,000 | 145,326 | |||
Diamond (BC) B.V., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 9/29/2028 (c) | 450,450 | 436,092 | |||
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 6/30/2027 (c) | 371,884 | 357,008 | |||
Messer Industries GmbH, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026 (c) | 106,864 | 106,113 |
Security Description | Principal Amount | Value | |||
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.50%, 11/9/2028 (c) | $ 198,000 | $ 190,603 | |||
PMHC II, Inc., Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.49%, 4/23/2029 (c) | 124,687 | 106,017 | |||
Polar U.S. Borrower LLC, Senior Secured 2018 1st Lien Term Loan, 2 Month USD LIBOR + 4.75%, 9.02%, 10/15/2025 (c) | 154,390 | 125,519 | |||
PQ Corp., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 6.91%, 6/9/2028 (c) | 98,500 | 97,207 | |||
Vantage Specialty Chemicals, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 10/28/2024 (c) | 280,996 | 275,060 | |||
1,838,945 | |||||
COMMERCIAL SERVICES — 0.1% | |||||
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028 (c) | 292,622 | 278,577 | |||
APX Group, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 9.75%, 7/10/2028 (c) | 138,250 | 137,019 | |||
EAB Global, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/16/2028 (c) | 156,492 | 150,931 | |||
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 8.50%, 5/4/2028 (c) | 322,387 | 308,397 | |||
PECF USS Intermediate Holding III Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/15/2028 (c) | 301,079 | 252,175 |
Security Description | Principal Amount | Value | |||
Spin Holdco, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 7.14%, 3/4/2028 (c) | $ 247,212 | $ 209,760 | |||
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 8/27/2025 (c) | 415,504 | 413,686 | |||
Viad Corp., Senior Secured Initial Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 7/30/2028 (c) | 167,875 | 159,220 | |||
VT Topco, Inc., Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 8/1/2025 (c) | 64,745 | 62,937 | |||
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 2/5/2026 (c) | 171,259 | 162,848 | |||
2,135,550 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
Asurion LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028 (c) | 70,000 | 55,008 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029 (c) | 290,000 | 227,132 | |||
Garda World Security Corp.: | |||||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026 (c) | 289,126 | 282,043 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.53%, 2/1/2029 (c) | 154,612 | 149,201 | |||
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 8.23%, 11/30/2027 (c) | 152,288 | 144,810 | |||
Packers Holdings LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.54%, 3/9/2028 (c) | 275,168 | 242,149 |
Security Description | Principal Amount | Value | |||
Prometric Holdings, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.39%, 1/29/2025 (c) | $ 294,364 | $ 260,145 | |||
1,360,488 | |||||
COMPUTER SERVICES — 0.0% (a) | |||||
Redstone Holdco 2 LP, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 9.11%, 4/27/2028 (c) | 94,861 | 66,131 | |||
Tempo Acquisition LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 8/31/2028 (c) | 143,550 | 143,335 | |||
209,466 | |||||
CONSTRUCTION & ENGINEERING — 0.0% (a) | |||||
Brown Group Holding LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 6/7/2028 (c) | 50,703 | 49,866 | |||
DG Investment Intermediate Holdings 2, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.07%, 3/30/2029 (c) | 60,000 | 53,300 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.07%, 3/31/2028 (c) | 287,537 | 275,676 | |||
KKR Apple Bidco LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 9/23/2028 (c) | 188,100 | 185,822 | |||
Tecta America Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 8.69%, 4/10/2028 (c) | 192,075 | 184,872 | |||
749,536 | |||||
CONSTRUCTION MATERIALS — 0.0% (a) | |||||
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 3 Month USD SOFR + 4.25%, 8.80%, 9/27/2024 (c) | 254,526 | 254,366 |
Security Description | Principal Amount | Value | |||
CONSUMER FINANCE — 0.0% (a) | |||||
Amentum Government Services Holdings LLC: | |||||
Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.00%, 8.76%, 2/15/2029 (c) | $ 89,550 | $ 87,479 | |||
Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 1/29/2027 (c) | 293,284 | 287,540 | |||
375,019 | |||||
CONTAINERS & PACKAGING — 0.1% | |||||
Charter NEX U.S., Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/1/2027 (c) | 299,662 | 291,633 | |||
Pretium PKG Holdings, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 7.74%, 10/2/2028 (c) | 217,800 | 174,707 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 11.48%, 10/1/2029 (c) | 45,000 | 28,069 | |||
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/3/2028 (c) | 324,213 | 310,113 | |||
Trident TPI Holdings, Inc., Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 9/15/2028 (c) | 69,163 | 66,582 | |||
871,104 | |||||
COSMETICS & TOILETRIES — 0.0% (a) | |||||
Solis IV BV, Senior Secured USD Term Loan B1, 3 Month USD SOFR + 3.50%, 7.86%, 2/26/2029 (c) | 318,400 | 281,755 | |||
DISTRIBUTION/WHOLESALE — 0.0% (a) | |||||
BCPE Empire Holdings, Inc., Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 4.63%, 9.05%, 6/11/2026 (c) | 34,738 | 33,869 |
Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.0% (a) | |||||
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028 (c) | $ 163,762 | $ 150,662 | |||
DIVERSIFIED CONSUMER SERVICES — 0.0% (a) | |||||
Ascend Learning LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75%, 10.13%, 12/10/2029 (c) | 64,708 | 55,999 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2028 (c) | 358,817 | 340,153 | |||
Mister Car Wash Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.42%, 5/14/2026 (c) | 340,098 | 335,967 | |||
732,119 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
AllSpring Buyer LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.75%, 11/1/2028 (c) | 242,122 | 239,277 | |||
Astra Acquisition Corp.: | |||||
Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.63%, 10/25/2028 (c) | 139,181 | 123,523 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 8.88%, 13.26%, 10/25/2029 (c) | 159,962 | 143,966 | |||
Castlelake Aviation Ltd., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 7.52%, 10/22/2026 (c) | 342,400 | 339,984 | |||
Clydesdale Acquisition Holdings, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029 (c) | 298,500 | 285,030 | |||
Deerfield Dakota Holding LLC, Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027 (c) | 419,987 | 393,280 |
Security Description | Principal Amount | Value | |||
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027 (c) | $ 241,453 | $ 235,593 | |||
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.28%, 4/21/2028 (c) | 330,812 | 304,622 | |||
2,065,275 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (a) | |||||
CenturyLink, Inc., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027 (c) | 166,995 | 158,899 | |||
Cincinnati Bell, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 3.25%, 7.67%, 11/22/2028 (c) | 68,965 | 67,862 | |||
Intelsat Jackson Holdings SA, Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029 (c) | 298,848 | 289,135 | |||
Telesat Canada, Senior Secured Term Loan B5, 3 Month USD LIBOR + 2.75%, 7.17%, 12/7/2026 (c) | 102,573 | 48,392 | |||
564,288 | |||||
ELECTRICAL EQUIPMENT — 0.0% (a) | |||||
Gates Global LLC, Senior Secured 2022 Term Loan B4, 1 Month USD SOFR + 3.50%, 7.82%, 11/16/2029 (c) | 59,850 | 59,532 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) | |||||
Compass Power Generation LLC, Senior Secured 2022 Term Loan B2, 1 Month USD SOFR + 4.25%, 8.69%, 4/14/2029 (c) | 225,533 | 224,172 |
Security Description | Principal Amount | Value | |||
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 2.75%, 7.90%, 10/20/2028 (c) | $ 242,550 | $ 238,652 | |||
462,824 | |||||
ENERGY EQUIPMENT & SERVICES — 0.0% (a) | |||||
Carnival Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 6/30/2025 (c) | 141,375 | 135,947 | |||
Granite Holdings U.S. Acquisition Co., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.75%, 9/30/2026 (c) | 351,491 | 351,710 | |||
487,657 | |||||
ENTERTAINMENT — 0.1% | |||||
AMC Entertainment Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026 (c) | 49,187 | 26,894 | |||
Fertitta Entertainment LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029 (c) | 233,237 | 222,218 | |||
Formula One Holdings Ltd., Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030 (c) | 260,000 | 260,195 | |||
NASCAR Holdings, Inc, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026 (c) | 205,972 | 205,763 | |||
Sweetwater Borrower LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 8.69%, 8/7/2028 (c) | 84,164 | 78,273 | |||
793,343 | |||||
FINANCIAL SERVICES — 0.0% (a) | |||||
Greystone Select Financial LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.00%, 9.23%, 6/16/2028 (c) | 88,062 | 84,979 |
Security Description | Principal Amount | Value | |||
FOOD & STAPLES RETAILING — 0.0% (a) | |||||
Monogram Food Solutions LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.44%, 8/28/2028 (c) | $ 257,400 | $ 249,035 | |||
United Natural Foods, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.69%, 10/22/2025 (c) | 94,646 | 94,546 | |||
343,581 | |||||
FOOD-MISC/DIVERSIFIED — 0.0% (a) | |||||
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.69%, 8.07%, 5/23/2025 (c) | 319,882 | 285,775 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
Bausch & Lomb, Inc., Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027 (c) | 323,525 | 308,613 | |||
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027 (c) | 420,147 | 395,464 | |||
Zelis Healthcare Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 9/30/2026 (c) | 321,257 | 318,346 | |||
1,022,423 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.1% | |||||
Air Methods Corporation, Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 4/22/2024 (c) | 121,665 | 68,908 | |||
Aveanna Healthcare LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 11.39%, 12/10/2029 (c) | 110,000 | 66,000 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 7/17/2028 (c) | 87,373 | 66,160 |
Security Description | Principal Amount | Value | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 9/29/2028 (c) | $ 256,750 | $ 251,741 | |||
Envision Healthcare Corp.: | |||||
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 8.83%, 3/31/2027 (c) | 108,374 | 37,931 | |||
Senior Secured 2022 Third Out Term Loan, 3 Month USD SOFR + 3.75%, 8.33%, 3/31/2027 (c) | 265,349 | 70,759 | |||
Global Medical Response, Inc.: | |||||
Senior Secured 2017 Incremental Term Loan, 1 Month USD LIBOR + 2.25%, 8.63%, 3/14/2025 (c) | 108,585 | 77,593 | |||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.42%, 10/2/2025 (c) | 121,298 | 85,743 | |||
Heartland Dental LLC, Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 4.00%, 8.39%, 4/30/2025 (c) | 288,077 | 268,416 | |||
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028 (c) | 255,450 | 255,519 | |||
ICON Luxembourg SARL, Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (c) | 149,410 | 149,149 | |||
MED ParentCo LP, Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 8.63%, 8/31/2026 (c) | 186,624 | 160,103 | |||
Pediatric Associates Holding Company LLC: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028 (c) | 211,168 | 201,049 | |||
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028 (c) | 15,998 | 15,231 |
Security Description | Principal Amount | Value | |||
PRA Health Sciences, Inc., Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (c) | $ 37,226 | $ 37,161 | |||
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.16%, 11/16/2025 (c) | 212,714 | 201,042 | |||
2,012,505 | |||||
HOME FURNISHINGS — 0.0% (a) | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028 (c) | 139,300 | 131,551 | |||
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028 (c) | 1,296 | 1,231 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028 (c) | 20 | 19 | |||
132,801 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
Alterra Mountain Co., Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028 (c) | 168,784 | 167,149 | |||
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.48%, 9/18/2024 (c) | 153,778 | 139,209 | |||
Penn National Gaming, Inc., Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029 (c) | 74,625 | 74,008 | |||
Peraton Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028 (c) | 421,633 | 412,498 | |||
Playa Resorts Holding B.V., Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.58%, 1/5/2029 (c) | 160,000 | 156,267 |
Security Description | Principal Amount | Value | |||
Scientific Games International, Inc., Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029 (c) | $ 139,300 | $ 137,758 | |||
Travel Leaders Group LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 1/25/2024 (c) | 119,056 | 109,457 | |||
Travelport Finance (Luxembourg) SARL: | |||||
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 6.23%, 2/28/2025 (c) | 302,246 | 303,312 | |||
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 6.75%, 11.48%, 5/29/2026 (c) | 255 | 175 | |||
1,499,833 | |||||
HOUSEHOLD DURABLES — 0.0% (a) | |||||
Springs Windows Fashions LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.75%, 10/6/2028 (c) | 117,975 | 96,946 | |||
HOUSEHOLD PRODUCTS — 0.0% (a) | |||||
Conair Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 5/17/2028 (c) | 182,688 | 154,599 | |||
TGP Holdings III LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 6/29/2028 (c) | 90,195 | 72,582 | |||
227,181 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (a) | |||||
Calpine Corp., Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 6.38%, 8/12/2026 (c) | 77,400 | 76,544 | |||
INSURANCE — 0.1% | |||||
Acrisure LLC: |
Security Description | Principal Amount | Value | |||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/15/2027 (c) | $ 303,572 | $ 285,602 | |||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027 (c) | 138,600 | 134,499 | |||
Alliant Holdings Intermediate LLC, Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027 (c) | 153,062 | 149,810 | |||
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028 (c) | 310,106 | 304,994 | |||
AssuredPartners, Inc.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027 (c) | 321,131 | 312,636 | |||
Senior Secured 2022 Term Loan, 1 Month USD SOFR + 3.50%, 7.82%, 2/12/2027 (c) | 104,213 | 101,451 | |||
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.25%, 8.49%, 11/16/2027 (c) | 362,133 | 343,121 | |||
1,632,113 | |||||
INTERACTIVE MEDIA & SERVICES — 0.0% (a) | |||||
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028 (g) | 24,474 | 367 | |||
INTERNET & CATALOG RETAIL — 0.0% (a) | |||||
PUG LLC, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027 (c) | 311,976 | 259,720 | |||
INTERNET & TELECOM — 0.0% (a) | |||||
Cablevision Lightpath LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 11/30/2027 (c) | 387,100 | 371,376 |
Security Description | Principal Amount | Value | |||
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 Month USD SOFR + 3.50%, 7.24%, 11/8/2027 (c) | $ 216,150 | $ 209,762 | |||
Go Daddy Operating Company LLC, Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 11/9/2029 (c) | 50,000 | 49,982 | |||
631,120 | |||||
IT SERVICES — 0.1% | |||||
Access CIG LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 7.82%, 2/27/2025 (c) | 78,939 | 77,499 | |||
Blackhawk Network Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 3 Month USD SOFR + 3.00%, 7.08%, 6/15/2025 (c) | 304,171 | 297,192 | |||
VS Buyer LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 2/28/2027 (c) | 505,901 | 492,938 | |||
867,629 | |||||
LEISURE INDUSTRY — 0.0% (a) | |||||
Carnival Corp., Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028 (c) | 293,895 | 275,968 | |||
LEISURE&REC/GAMES — 0.0% (a) | |||||
Scientific Games Holdings LP, Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029 (c) | 154,613 | 147,824 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (a) | |||||
eResearchTechnology, Inc., Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 2/4/2027 (c) | 29,471 | 26,091 |
Security Description | Principal Amount | Value | |||
Parexel International Corp., Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028 (c) | $ 382,113 | $ 368,846 | |||
394,937 | |||||
MACHINERY — 0.1% | |||||
Alliance Laundry Systems LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.41%, 10/8/2027 (c) | 116,314 | 114,191 | |||
American Trailer World Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 3/3/2028 (c) | 74,018 | 64,334 | |||
Columbus McKinnon Corp., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.50%, 5/14/2028 (c) | 31,442 | 31,088 | |||
Filtration Group Corporation, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 3/29/2025 (c) | 388,250 | 385,016 | |||
Grinding Media Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 7.70%, 10/12/2028 (c) | 237,000 | 221,595 | |||
Hillman Group, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 2.75%, 7.14%, 7/14/2028 (c) | 2,267 | 2,205 | |||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 7/14/2028 (c) | 118,292 | 115,060 | |||
Madison IAQ LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028 (c) | 359,525 | 335,394 | |||
Titan Acquisition Ltd., Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 3/28/2025 (c) | 283,233 | 265,332 | |||
1,534,215 |
Security Description | Principal Amount | Value | |||
MACHINERY-CONSTRUCTION & MINING — 0.0% (a) | |||||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.91%, 8/21/2026 (c) | $ 238,946 | $ 218,188 | |||
MEDIA — 0.1% | |||||
Charter Communications Operating LLC, Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027 (c) | 183,107 | 179,079 | |||
Diamond Sports Group LLC, Senior Secured 2022 2nd Lien Term Loan, 1 Month USD SOFR + 3.25%, 7.57%, 8/24/2026 (c) | 171,496 | 22,009 | |||
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 10/20/2025 (c) | 143,136 | 124,111 | |||
Radiate Holdco LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026 (c) | 227,080 | 185,508 | |||
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 6.89%, 9/30/2026 (c) | 127,749 | 122,128 | |||
Univision Communications, Inc., Senior Secured 2022 First Lien Term Loan B, 3 Month USD SOFR + 4.25%, 8.83%, 6/24/2029 (c) | 44,775 | 44,350 | |||
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028 (c) | 190,000 | 185,711 | |||
862,896 | |||||
METALS & MINING — 0.0% (a) | |||||
Tiger Acquisition LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 6/1/2028 (c) | 116,501 | 110,902 |
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (a) | |||||
Radiology Partners, Inc, Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.64%, 7/9/2025 (c) | $ 306,250 | $ 258,495 | |||
OIL, GAS & CONSUMABLE FUELS — 0.0% (a) | |||||
Gulf Finance LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 6.75%, 11.14%, 8/25/2026 (c) | 174,068 | 164,784 | |||
Oryx Midstream Services Permian Basin LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.92%, 10/5/2028 (c) | 186,299 | 184,392 | |||
Pacific Gas & Electric Co., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025 (c) | 210,128 | 208,815 | |||
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.75%, 9.13%, 6/22/2026 (c) | 166,557 | 160,545 | |||
718,536 | |||||
PERSONAL PRODUCTS — 0.0% (a) | |||||
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 12/22/2026 (c) | 276,506 | 263,780 | |||
PHARMACEUTICALS — 0.1% | |||||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028 (c) | 510,730 | 507,019 | |||
Organon & Co., Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028 (c) | 534,386 | 530,523 | |||
Pathway Vet Alliance LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.13%, 3/31/2027 (c) | 191,363 | 160,425 |
Security Description | Principal Amount | Value | |||
Perrigo Investments LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 6.82%, 4/20/2029 (c) | $ 104,475 | $ 104,083 | |||
PetVet Care Centers LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 7.88%, 2/14/2025 (c) | 221,804 | 209,139 | |||
Southern Veterinary Partners LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 4.00%, 8.38%, 10/5/2027 (c) | 54,220 | 52,074 | |||
1,563,263 | |||||
PIPELINES — 0.0% (a) | |||||
BCP Renaissance Parent LLC, Senior Secured 2022 Term Loan B3, 3 Month USD SOFR + 3.50%, 8.04%, 10/31/2026 (c) | 138,553 | 137,489 | |||
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028 (c) | 273,634 | 272,779 | |||
Freeport LNG Investments, LLLP, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.74%, 12/21/2028 (c) | 211,603 | 201,699 | |||
GIP II Blue Holding LP, Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 9.23%, 9/29/2028 (c) | 114,422 | 113,623 | |||
725,590 | |||||
PROFESSIONAL SERVICES — 0.0% (a) | |||||
Dun & Bradstreet Corp. (The), Senior Secured 2022 Incremental Term Loan B2, 1 Month USD SOFR + 3.25%, 7.57%, 1/18/2029 (c) | 69,475 | 68,531 | |||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028 (c) | 336,600 | 324,490 |
Security Description | Principal Amount | Value | |||
Trans Union LLC, Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028 (c) | $ 137,562 | $ 136,444 | |||
529,465 | |||||
PUBLISHING-BOOKS — 0.0% (a) | |||||
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 4.50%, 8.89%, 2/19/2026 (c) | 163,571 | 163,469 | |||
RETAIL-BUILDING PRODUCTS — 0.0% (a) | |||||
LBM Acquisition LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027 (c) | 125,975 | 109,776 | |||
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 6.99%, 12/28/2027 (c) | 120,573 | 105,953 | |||
215,729 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (a) | |||||
Bright Bidco B.V., Senior Secured 2022 Exit Term Loan, 3 Month USD SOFR + 8.00%, 12.09%, 10/31/2027 (c) | 23,324 | 20,487 | |||
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 8/27/2025 (c) | 135,356 | 135,017 | |||
155,504 | |||||
SOFTWARE — 0.3% | |||||
Applied Systems, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 5.50%, 10.23%, 9/19/2025 (c) | 210,000 | 208,819 | |||
Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.08%, 9/18/2026 (c) | 277,890 | 276,987 | |||
Artera Services LLC, Senior Secured Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/6/2025 (c) | 187,076 | 153,871 |
Security Description | Principal Amount | Value | |||
Atlas Purchaser, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.25%, 9.81%, 5/8/2028 (c) | $ 95,555 | $ 67,665 | |||
Banff Merger Sub, Inc., Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/2/2025 (c) | 176,289 | 169,198 | |||
Castle U.S. Holding Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 1/29/2027 (c) | 313,529 | 195,368 | |||
CDK Global, Inc., Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029 (c) | 145,000 | 143,937 | |||
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026 (c) | 339,856 | 306,455 | |||
Constant Contact, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 7.91%, 2/10/2028 (c) | 114,612 | 101,575 | |||
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/16/2028 (c) | 337,450 | 302,861 | |||
DCert Buyer, Inc.: | |||||
Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026 (c) | 93,086 | 90,127 | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.00%, 11.70%, 2/19/2029 (c) | 55,000 | 50,435 | |||
Finastra USA, Inc.: | |||||
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.87%, 6/13/2024 (c) | 255,987 | 227,081 | |||
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 10.62%, 6/13/2025 (c) | 105,000 | 78,825 | |||
First Advantage Holdings LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 1/31/2027 (c) | 275,666 | 271,187 |
Security Description | Principal Amount | Value | |||
GoTo Group, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 9.14%, 8/31/2027 (c) | $ 128,147 | $ 83,039 | |||
Grab Holdings, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 8.89%, 1/29/2026 (c) | 299,086 | 296,095 | |||
Greeneden U.S. Holdings II LLC, Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027 (c) | 320,142 | 308,071 | |||
Helios Software Holdings, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 3.75%, 8.48%, 3/11/2028 (c) | 268,821 | 264,398 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/1/2024 (c) | 348,161 | 344,200 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 10.63%, 7/7/2025 (c) | 45,000 | 42,795 | |||
I-Logic Technologies Bidco Ltd., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028 (c) | 162,500 | 160,062 | |||
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028 (c) | 327,525 | 322,121 | |||
ION Trading Finance Ltd., Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 9.48%, 4/3/2028 (c) | 273,306 | 259,933 | |||
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.01%, 12/1/2027 (c) | 72,500 | 57,736 | |||
McAfee LLC, Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029 (c) | 278,600 | 260,093 |
Security Description | Principal Amount | Value | |||
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00%, 8.38%, 12/18/2028 (c) | $ 213,387 | $ 181,558 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029 (c) | 40,000 | 33,425 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.41%, 10/15/2028 (c) | 243,266 | 224,896 | |||
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 7.75%, 12/29/2027 (c) | 142,100 | 138,547 | |||
Polaris Newco LLC, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028 (c) | 273,557 | 250,305 | |||
Renaissance Holding Corp., Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 11.38%, 5/29/2026 (c) | 150,000 | 140,374 | |||
Sophia LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.23%, 10/7/2027 (c) | 421,689 | 407,987 | |||
Surf Holdings LLC, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/5/2027 (c) | 156,478 | 152,119 | |||
Ultimate Software Group, Inc., Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027 (c) | 70,000 | 64,592 | |||
6,636,737 | |||||
SPECIALTY RETAIL — 0.1% | |||||
Great Outdoors Group LLC, Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/6/2028 (c) | 271,211 | 261,210 | |||
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.75%, 9.08%, 7/7/2028 (c) | 237,000 | 162,543 |
Security Description | Principal Amount | Value | |||
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/21/2028 (c) | $ 191,831 | $ 182,959 | |||
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 4/15/2028 (c) | 89,412 | 77,515 | |||
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028 (c) | 296,250 | 290,787 | |||
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 3.25%, 7.69%, 2/17/2028 (c) | 167,025 | 161,388 | |||
Restoration Hardware, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/20/2028 (c) | 237,000 | 218,692 | |||
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 6/2/2028 (c) | 266,625 | 255,556 | |||
Staples, Inc., Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 9.44%, 4/16/2026 (c) | 206,786 | 191,765 | |||
Victoria's Secret & Co., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 8/2/2028 (c) | 207,375 | 202,191 | |||
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/3/2028 (c) | 292,050 | 282,923 | |||
2,287,529 | |||||
STEEL-PRODUCERS — 0.0% (a) | |||||
Phoenix Services International LLC: | |||||
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023 (c) | 40,074 | 38,671 |
Security Description | Principal Amount | Value | |||
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023 (c) | $ 59,780 | $ 57,688 | |||
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025 (c) | 335,743 | 36,302 | |||
132,661 | |||||
TELECOM SERVICES — 0.0% (a) | |||||
Connect Finco SARL, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2026 (c) | 141,013 | 139,676 | |||
TELECOMMUNICATION EQUIP — 0.0% (a) | |||||
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.36%, 5/1/2024 (c) | 296,094 | 253,809 | |||
Delta TopCo, Inc., Senior Secured 2020 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 11.65%, 12/1/2028 (c) | 65,001 | 51,757 | |||
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 8.16%, 4/30/2028 (c) | 168,494 | 167,266 | |||
472,832 | |||||
THRIFTS & MORTGAGE FINANCE — 0.0% (a) | |||||
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028 (c) | 113,850 | 111,858 | |||
TRANSPORT-AIR FREIGHT — 0.0% (a) | |||||
Kestrel Bidco, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.35%, 12/11/2026 (c) | 120,117 | 110,189 |
Security Description | Principal Amount | Value | |||
TRANSPORT-SERVICES — 0.1% | |||||
Echo Global Logistics, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.500%, 7.88%, 11/23/2028 (c) | $ 203,462 | $ 191,763 | |||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 7/20/2026 (c) | 91,670 | 82,887 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 4/7/2028 (c) | 188,063 | 175,980 | |||
Edgewater Generation LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/13/2025 (c) | 148,603 | 141,470 | |||
EG America LLC, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025 (c) | 175,280 | 165,969 | |||
EG Group Ltd., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 7.92%, 3/31/2026 (c) | 153,205 | 143,917 | |||
Eisner Advisory Group LLC, Senior Secured Term Loan, 1 Month USD SOFR + 4.48%, 9.69%, 7/28/2028 (c) | 158,001 | 150,101 | |||
Element Materials Technology Group U.S. Holdings, Inc.: | |||||
Senior Secured 2022 USD Delayed Draw Term Loan B, 3 Month USD SOFR + 4.25%, 8.93%, 7/6/2029 (c) | 41,053 | 40,215 | |||
Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.25%, 8.93%, 7/6/2029 (c) | 88,947 | 87,131 | |||
Endure Digital, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028 (c) | 122,269 | 110,348 | |||
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 8/3/2028 (c) | 113,562 | 112,806 |
Security Description | Principal Amount | Value | |||
ExGen Renewables IV LLC, Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 7.24%, 12/15/2027 (c) | $ 198,332 | $ 196,741 | |||
LaserShip, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.50%, 12.23%, 5/7/2029 (c) | 40,000 | 24,400 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50%, 9.23%, 5/7/2028 (c) | 138,250 | 100,173 | |||
1,723,901 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $49,749,189) | 46,577,968 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.8% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.50%, 9/1/2050 | 13,533,797 | 11,556,711 | |||
3.00%, 11/1/2042 | 6,199,523 | 5,621,153 | |||
3.00%, 12/1/2042 | 5,361,535 | 4,812,078 | |||
3.00%, 1/1/2045 | 722,200 | 653,329 | |||
3.00%, 2/1/2045 | 506,206 | 455,039 | |||
3.00%, 3/1/2045 | 493,813 | 443,899 | |||
3.00%, 4/1/2045 | 14,082,482 | 12,717,977 | |||
3.00%, 5/1/2045 | 1,939,900 | 1,743,817 | |||
3.00%, 8/1/2045 | 5,618,441 | 5,050,535 | |||
3.00%, 7/1/2047 | 1,968,879 | 1,767,106 | |||
3.00%, 6/1/2051 | 18,028,080 | 15,902,042 | |||
3.50%, 2/1/2045 | 804,468 | 750,859 | |||
3.50%, 4/1/2045 | 12,082,615 | 11,211,901 | |||
3.50%, 6/1/2045 | 6,052,959 | 5,611,453 | |||
3.50%, 10/1/2045 | 6,321,464 | 5,860,373 | |||
3.50%, 2/1/2046 | 3,101,745 | 2,871,274 | |||
4.00%, 4/1/2047 | 8,842,480 | 8,444,293 | |||
4.00%, 7/1/2047 | 2,164,731 | 2,067,250 | |||
4.00%, 10/1/2047 | 4,810,376 | 4,593,759 | |||
4.50%, 6/1/2044 | 927,653 | 917,391 | |||
4.50%, 10/1/2052 | 18,156,545 | 17,476,725 | |||
Series 2021-HQA4, Class M2, CMO, SOFR30A + 2.35%, 6.28%, 12/25/2041 (b) (c) | 5,000,000 | 4,303,444 | |||
Series 2022-DNA2, Class M2, SOFR30A + 3.75%, 7.68%, 2/25/2042 (b) (c) | 9,500,000 | 8,990,495 |
Security Description | Principal Amount | Value | |||
Series 2022-DNA3, Class M1B, SOFR30A + 2.90%, 6.83%, 4/25/2042 (b) (c) | $ 20,000,000 | $ 19,765,101 | |||
Series 326, Class 300, CMO, 3.00%, 3/15/2044 | 10,179,085 | 9,182,247 | |||
Series 3852, Class NS, CMO, IO, REMIC, 1 Month USD LIBOR + 6.00%, 1.68%, 5/15/2041 (c) | 3,392,618 | 297,461 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 2,253,093 | 2,124,943 | |||
Series 3935, Class SJ, CMO, IO, REMIC, 1 Month USD LIBOR + 6.65%, 2.33%, 5/15/2041 (c) | 592,063 | 19,774 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 5,766,920 | 5,351,212 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 4,348,691 | 3,538,665 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 29,855,522 | 28,544,958 | |||
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045 | 3,793,614 | 3,196,610 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 13,909,917 | 11,872,397 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 736,840 | 713,452 | |||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | 3,606,559 | 3,375,291 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 14,009,785 | 13,276,507 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 3,542,826 | 3,326,709 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 3,102,803 | 2,889,121 | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | 7,788,939 | 7,176,269 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 3,167,725 | 3,001,122 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 2,968,000 | 2,777,556 |
Security Description | Principal Amount | Value | |||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | $ 5,361,897 | $ 5,024,934 | |||
Series 4702, Class ZL, CMO, 3.00%, 7/15/2047 | 14,585,001 | 12,892,969 | |||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 3,058,555 | 2,698,854 | |||
Series 5130, Class SD, CMO, IO, SOFR30A + 2.60%, 0.32%, 8/25/2051 (c) | 81,960,747 | 1,114,861 | |||
Series 5243, Class IB, 3.00%, 1/25/2051 | 17,979,262 | 3,021,531 | |||
Federal National Mortgage Association: | |||||
1.41%, 12/1/2030 | 10,000,000 | 7,940,434 | |||
1.91%, 12/1/2031 | 10,000,000 | 8,145,314 | |||
1.98%, 10/1/2033 | 19,500,000 | 15,549,504 | |||
2.22%, 12/1/2029 | 5,400,000 | 4,675,956 | |||
2.50%, 10/1/2040 | 19,268,063 | 16,912,561 | |||
2.50%, 9/1/2046 | 1,862,564 | 1,581,612 | |||
2.50%, 2/1/2047 | 4,717,108 | 4,083,628 | |||
2.50%, 11/1/2050 | 7,960,187 | 6,835,983 | |||
2.50%, 5/1/2051 | 8,411,821 | 7,161,062 | |||
2.80%, 11/1/2039 | 10,034,000 | 7,824,609 | |||
3.00%, 5/1/2035 | 3,050,419 | 2,817,489 | |||
3.00%, 10/1/2041 | 9,410,352 | 8,446,037 | |||
3.00%, 3/1/2043 | 2,255,132 | 2,042,620 | |||
3.00%, 7/1/2043 | 2,216,655 | 1,980,720 | |||
3.00%, 1/1/2045 | 69,583 | 62,127 | |||
3.00%, 3/1/2045 | 655,872 | 589,003 | |||
3.00%, 4/1/2045 | 1,339,428 | 1,188,212 | |||
3.00%, 7/1/2045 | 12,327,742 | 11,166,036 | |||
3.00%, 10/1/2046 | 2,360,997 | 2,119,057 | |||
3.00%, 2/1/2047 | 8,567,604 | 7,689,648 | |||
3.00%, 11/1/2048 | 5,247,569 | 4,709,831 | |||
3.00%, 10/1/2049 | 3,580,803 | 3,145,365 | |||
3.00%, 4/1/2053 | 11,077,822 | 10,038,959 | |||
3.50%, 9/1/2034 | 867,461 | 825,742 | |||
3.50%, 12/1/2034 | 741,361 | 705,706 | |||
3.50%, 2/1/2035 | 498,508 | 474,533 | |||
3.50%, 1/1/2045 | 5,202,958 | 4,851,471 | |||
3.50%, 2/1/2045 | 1,555,280 | 1,450,213 | |||
3.50%, 6/1/2045 | 6,335,605 | 5,867,752 | |||
3.88%, 10/1/2030 | 11,532,779 | 11,053,405 | |||
4.50%, 3/1/2044 | 707,211 | 698,701 | |||
4.50%, 6/1/2044 | 270,809 | 267,551 | |||
4.50%, 7/1/2044 | 295,544 | 291,988 | |||
4.50%, 2/1/2045 | 490,063 | 484,166 | |||
3.00%, 6/1/2051 | 16,203,966 | 14,252,215 | |||
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040 | 1,117,734 | 1,051,065 |
Security Description | Principal Amount | Value | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 1 Month USD LIBOR + 6.00%, 1.61%, 6/25/2041 (c) | $ 2,026,977 | $ 176,641 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 1,481,569 | 1,350,759 | |||
Series 2012-151, Class SB, CMO, REMIC, 1 Month USD LIBOR + 6.00%, 0.35%, 1/25/2043 (c) | 20,907 | 11,364 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 18,783,079 | 16,890,807 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 1,026,747 | 987,766 | |||
Series 2013-30, Class PS, CMO, REMIC, 1 Month USD LIBOR + 6.00%, 0.35%, 4/25/2043 (c) | 611,451 | 376,108 | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | 3,763,688 | 3,331,532 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 4,519,869 | 4,034,162 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 2,284,232 | 2,141,741 | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 3,644,429 | 3,398,187 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 3,747,255 | 3,354,322 | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 1,935,808 | 1,870,365 | |||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 118,056 | 116,845 | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | 4,307,452 | 4,141,099 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 1,863,071 | 1,818,134 | |||
Series 2018-M10, Class A1, 3.36%, 7/25/2028 (c) | 1,806,839 | 1,782,657 | |||
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046 | 9,080,460 | 7,839,966 | |||
Series 2020-M12, Class IO, 1.28%, 7/25/2029 (c) | 99,009,712 | 5,941,659 | |||
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041 | 9,925,961 | 8,584,867 |
Security Description | Principal Amount | Value | |||
Series 2021-35, Class EH, CMO, 2.00%, 2/25/2037 | $ 16,598,044 | $ 14,749,186 | |||
Government National Mortgage Association: | |||||
2.50%, 3/20/2051 | 9,366,821 | 8,145,771 | |||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 1,361,730 | 1,314,463 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 1 Month USD LIBOR + 6.18%, 1.83%, 7/20/2042 (c) | 1,559,539 | 39,251 | |||
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR + 6.20%, 1.85%, 8/20/2050 (c) | 7,561,301 | 817,017 | |||
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR + 6.30%, 1.95%, 11/20/2050 (c) | 27,689,794 | 3,351,233 | |||
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050 | 34,302,453 | 3,781,220 | |||
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR + 5.00%, 0.65%, 11/20/2050 (c) | 9,212,316 | 469,542 | |||
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR + 6.30%, 1.95%, 12/20/2050 (c) | 33,148,709 | 3,907,061 | |||
Series 2021-1, Class IH, 2.50%, 1/20/2051 | 40,982,139 | 5,293,342 | |||
Series 2021-125, Class SN, CMO, IO, 1 Month USD LIBOR + 4.20%, 0.26%, 1/20/2051 (c) | 8,562,313 | 400,033 | |||
Series 2021-143, Class IO, IO, VRN, 0.97%, 10/16/2063 (c) | 84,506,102 | 5,778,596 | |||
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051 | 47,263,313 | 5,337,186 | |||
Series 2021-30, Class KI, 3.00%, 2/20/2051 | 9,133,631 | 1,334,713 | |||
Series 2021-40, Class IO, IO, VRN, 0.82%, 2/16/2063 (c) | 73,675,467 | 4,599,806 | |||
Series 2021-44, Class IQ, 3.00%, 3/20/2051 | 9,401,873 | 1,380,891 | |||
Series 2021-57, Class AI, 2.00%, 2/20/2051 | 9,413,014 | 1,047,152 | |||
Series 2021-60, Class IO, IO, VRN, 0.83%, 5/16/2063 (c) | 56,944,266 | 3,592,703 | |||
Series 2021-79, Class IO, IO, 0.91%, 8/16/2063 (c) | 84,568,919 | 5,739,428 |
Security Description | Principal Amount | Value | |||
Series 2021-8, Class KX, 3.00%, 1/20/2051 | $ 11,873,297 | $ 1,713,279 | |||
Series 2021-80, Class IO, IO, VRN, 0.90%, 12/16/2062 (c) | 89,243,842 | 6,020,073 | |||
Series 2021-85, Class IO, IO, VRN, 0.68%, 3/16/2063 (c) | 101,546,792 | 5,984,225 | |||
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061 (c) | 42,093,521 | 2,261,970 | |||
Series 2022-180, Class IO, 2.50%, 6/20/2051 | 46,395,608 | 6,385,330 | |||
Series 2022-61, Class EI, 3.00%, 7/20/2051 | 3,948,642 | 568,985 | |||
Series 2022-91, Class IO, 0.43%, 7/16/2064 (c) | 82,442,335 | 4,136,301 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $724,758,559) | 624,283,460 | ||||
U.S. TREASURY OBLIGATIONS — 28.2% | |||||
U.S. Treasury Bill Zero Coupon, 4/20/2023 | 8,200,000 | 8,093,091 | |||
U.S. Treasury Bonds: | |||||
3.00%, 8/15/2052 | 197,500,000 | 163,739,844 | |||
4.00%, 11/15/2052 | 119,500,000 | 120,153,516 | |||
U.S. Treasury Notes: | |||||
2.75%, 8/15/2032 | 7,000,000 | 6,372,188 | |||
3.13%, 8/31/2027 | 6,200,000 | 5,964,109 | |||
3.13%, 8/31/2029 | 8,100,000 | 7,689,937 | |||
3.50%, 9/15/2025 | 5,300,000 | 5,194,828 | |||
3.88%, 11/30/2027 | 6,800,000 | 6,763,344 | |||
3.88%, 11/30/2029 | 6,500,000 | 6,456,328 | |||
4.00%, 12/15/2025 | 7,000,000 | 6,956,250 | |||
4.13%, 9/30/2027 | 4,300,000 | 4,316,125 | |||
4.13%, 10/31/2027 | 4,700,000 | 4,717,625 | |||
4.13%, 11/15/2032 | 282,000,000 | 287,640,000 | |||
4.25%, 9/30/2024 | 4,300,000 | 4,277,660 | |||
4.50%, 11/30/2024 | 8,700,000 | 8,700,680 | |||
4.50%, 11/15/2025 | 8,600,000 | 8,654,422 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $666,936,461) | 655,689,947 | ||||
MORTGAGE-BACKED SECURITIES — 9.9% | |||||
Alternative Loan Trust: | |||||
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035 | 1,692,819 | 1,296,821 | |||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 3,230,671 | 1,971,068 |
Security Description | Principal Amount | Value | |||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036 | $ 2,565,392 | $ 1,492,418 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 2,355,921 | 1,297,636 | |||
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR + 0.42%, 4.77%, 5/20/2046 (c) | 1,768,564 | 1,453,200 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036 (e) | 1,836,480 | 1,464,016 | |||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 3,496,256 | 2,684,071 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.98%, 1/26/2037 (b) (c) | 6,003,103 | 5,163,347 | |||
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 Month USD LIBOR + 0.46%, 4.85%, 7/25/2037 (c) | 7,808,670 | 2,154,254 | |||
CHL Mortgage Pass-Through Trust: | |||||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 701,483 | 520,445 | |||
Series 2007-10, Class A4, 5.50%, 7/25/2037 | 3,463,333 | 1,617,986 | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | 2,144,849 | 1,297,063 | |||
Series 2007-HYB1, Class 2A1, CMO, 3.42%, 3/25/2037 (c) | 1,075,893 | 877,908 | |||
Citigroup Mortgage Loan Trust: | |||||
Series 2007-10, Class 2A2A, CMO, 3.87%, 9/25/2037 (c) | 2,107,192 | 1,586,650 | |||
Series 2007-AR4, Class 1A1A, CMO, 3.46%, 3/25/2037 (c) | 1,257,901 | 987,326 | |||
Series 2007-AR5, Class 1A2A, CMO, 3.56%, 4/25/2037 (c) | 621,661 | 510,621 | |||
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (b) (c) | 975,953 | 879,156 | |||
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 3,737,744 | 3,090,042 | |||
COLT Mortgage Loan Trust: | |||||
Series 2022-2, Class A1, 2.99%, 2/25/2067 (b) (e) | 17,229,908 | 15,475,434 |
Security Description | Principal Amount | Value | |||
Series 2022-3, Class M1, 4.21%, 2/25/2067 (b) (c) | $ 10,023,000 | $ 7,521,672 | |||
Connecticut Avenue Securities Trust Series 2022-R02, Class 2M2, CMO, SOFR30A + 3.00%, 6.93%, 1/25/2042 (b) (c) | 12,000,000 | 11,308,934 | |||
Credit Suisse Mortgage Capital Certificates Series 2021-RPL9, Class A1, 2.44%, 2/25/2061 (b) (c) | 5,287,403 | 4,847,713 | |||
Credit Suisse Mortgage Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (b) (e) | 11,057,932 | 10,521,228 | |||
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 1,209,576 | 1,056,146 | |||
CSMC Trust Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (b) (c) | 8,288,430 | 7,828,692 | |||
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (b) (c) | 5,009,307 | 4,704,389 | |||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 Month USD LIBOR + 0.64%, 5.03%, 6/25/2037 (c) | 3,615,338 | 2,997,893 | |||
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049 (b) (c) | 587,652 | 530,027 | |||
GSR Mortgage Loan Trust: | |||||
Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.44%, 4.83%, 8/25/2046 (c) | 13,876,872 | 3,299,850 | |||
Series 2007-AR1, Class 2A1, 3.47%, 3/25/2047 (c) | 4,317,331 | 2,674,376 | |||
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038 | 21,352,069 | 7,553,440 | |||
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.11%, 4/25/2036 (c) | 1,179,730 | 1,019,988 | |||
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (b) (c) | 8,492,000 | 7,775,934 | |||
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 Month USD LIBOR + 0.66%, 5.05%, 6/25/2046 (c) | 5,590,791 | 3,922,387 |
Security Description | Principal Amount | Value | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 4.71%, 11/25/2036 (c) | $ 7,117,376 | $ 6,300,894 | |||
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 3.93%, 1/26/2051 (b) (c) | 14,219,390 | 12,994,478 | |||
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060 (b) (c) | 749,850 | 688,860 | |||
NRPL Trust Series 2019-3A, Class A1, CMO, 6.00%, 7/25/2059 (b) (e) | 3,307,992 | 3,318,939 | |||
PMT Credit Risk Transfer Trust: | |||||
Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 7.14%, 5/27/2023 (b) (c) | 1,276,172 | 1,221,300 | |||
Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 7.29%, 2/27/2024 (b) (c) | 906,173 | 865,451 | |||
PRPM LLC: | |||||
Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025 (b) (e) | 3,267,449 | 3,015,028 | |||
Series 2022-1, Class A1, 3.72%, 2/25/2027 (b) (e) | 15,473,743 | 14,467,999 | |||
RALI Trust Series 2005-QA7, Class A22, CMO, 3.84%, 7/25/2035 (c) | 1,922,567 | 1,742,599 | |||
Residential Asset Securitization Trust Series 2005-A16, Class A3, Class A3, 6.00%, 2/25/2036 | 3,007,314 | 1,236,308 | |||
Seasoned Credit Risk Transfer Trust: | |||||
Series 2019-4, Class MV, 3.00%, 2/25/2059 | 15,938,346 | 13,891,427 | |||
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059 | 6,526,932 | 5,372,654 | |||
Seasoned Credit Risk Transfer Trust Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060 | 10,622,638 | 8,781,927 | |||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.94%, 9/25/2036 (c) | 200,614 | 192,355 |
Security Description | Principal Amount | Value | |||
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 5.01%, 7/19/2034 (c) | $ 1,142,495 | $ 1,079,435 | |||
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067 (b) (e) | 18,295,525 | 17,270,632 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 3.33%, 11/25/2036 (c) | 3,539,911 | 2,798,459 | |||
Washington Mutual Mortgage Pass-Through Certificates Trust: | |||||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 714,856 | 665,169 | |||
Series 2006-1, Class 4CB, 6.50%, 2/25/2036 | 4,996,198 | 3,665,322 | |||
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (e) | 2,554,374 | 580,516 | |||
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | 3,878,029 | 3,007,948 | |||
Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.46%, 4.85%, 2/25/2037 (c) | 4,198,107 | 2,957,625 | |||
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.10%, 8/25/2037 (c) | 826,714 | 703,243 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $264,222,033) | 230,200,699 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.9% | |||||
ACRE Commercial Mortgage, Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.40%, 5.74%, 12/18/2037 (b) (c) | 3,000,000 | 2,888,910 | |||
BANK: | |||||
Series 2017-BNK4, Class XA, IO, 1.34%, 5/15/2050 (c) | 24,802,552 | 1,073,070 | |||
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (c) | 49,433,989 | 1,312,797 | |||
Series 2021-BN35, Class XA, IO, VRN, 1.05%, 6/15/2064 (c) | 9,192,872 | 540,942 |
Security Description | Principal Amount | Value | |||
BBCMS Mortgage Trust Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.16%, 5.47%, 8/15/2036 (b) (c) | $ 925,000 | $ 904,485 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class C, VRN, 4.23%, 2/15/2051 (c) | 2,545,000 | 2,173,241 | |||
Series 2020-B19, Class XA, IO, VRN, 1.77%, 9/15/2053 (c) | 19,958,610 | 1,526,842 | |||
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054 (c) | 3,384,485 | 207,627 | |||
BX Commercial Mortgage Trust: | |||||
Series 2021-21M, Class H, 1 Month USD LIBOR + 4.01%, 8.33%, 10/15/2036 (b) (c) | 2,140,418 | 1,934,765 | |||
Series 2021-VOLT, Class E, 1 Month USD LIBOR + 2.00%, 6.32%, 9/15/2036 (b) (c) | 1,923,000 | 1,789,231 | |||
Series 2021-VOLT, Class F, 1 Month USD LIBOR + 2.40%, 6.72%, 9/15/2036 (b) (c) | 1,923,000 | 1,772,449 | |||
Series 2021-XL2, Class E, 1 Month USD LIBOR + 1.85%, 6.16%, 10/15/2038 (b) (c) | 2,670,793 | 2,502,990 | |||
BX Trust: | |||||
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.28%, 7.59%, 7/15/2034 (b) (c) | 1,131,323 | 1,115,936 | |||
Series 2019-OC11, Class E, 3.94%, 12/9/2041 (b) (c) | 3,830,000 | 2,934,678 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.23%, 5/10/2050 (c) | 13,447,611 | 530,900 | |||
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.61%, 5/10/2058 (c) | 10,009,421 | 408,016 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048 (c) | 2,541,000 | 2,349,772 | |||
Series 2015-GC27, Class D, 4.42%, 2/10/2048 (b) (c) | 423,700 | 372,247 |
Security Description | Principal Amount | Value | |||
Series 2015-GC31, Class C, 4.04%, 6/10/2048 (c) | $ 1,500,000 | $ 1,330,580 | |||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (c) | 1,500,000 | 1,337,560 | |||
Series 2016-GC36, Class XA, IO, 1.21%, 2/10/2049 (c) | 19,526,691 | 547,340 | |||
Series 2020-555, Class E, 3.50%, 12/10/2041 (b) (c) | 2,047,000 | 1,510,117 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 1.06%, 10/10/2046 (c) | 24,543,164 | 152,930 | |||
Series 2015-CR22, Class XA, IO, 0.82%, 3/10/2048 (c) | 7,277,935 | 100,114 | |||
Series 2015-CR26, Class XA, IO, 0.90%, 10/10/2048 (c) | 18,726,351 | 362,044 | |||
Series 2015-DC1, Class C, VRN, 4.30%, 2/10/2048 (c) | 644,000 | 558,544 | |||
Series 2015-DC1, Class XA, IO, 0.98%, 2/10/2048 (c) | 6,113,289 | 91,119 | |||
Series 2016-DC2, Class XA, IO, 0.94%, 2/10/2049 (c) | 14,723,761 | 329,660 | |||
Series 2017-PANW, Class D, 3.93%, 10/10/2029 (b) (c) | 1,388,000 | 1,271,437 | |||
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (b) (c) | 2,316,000 | 2,119,839 | |||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 9/15/2033 (b) (c) | 347,000 | 325,465 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (c) | 900,000 | 812,906 | |||
Series 2015-C4, Class XA, IO, 0.81%, 11/15/2048 (c) | 31,619,896 | 571,796 | |||
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (c) | 55,127,001 | 1,484,925 | |||
Series 2019-C17, Class XA, IO, VRN, 1.35%, 9/15/2052 (c) | 29,909,408 | 1,807,312 | |||
CSMC Trust: | |||||
Series 2017-TIME, Class A, 3.65%, 11/13/2039 (b) | 2,977,000 | 2,427,811 |
Security Description | Principal Amount | Value | |||
Series 2020-NET, Class A, 2.26%, 8/15/2037 (b) | $ 2,384,659 | $ 2,145,496 | |||
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (b) | 632,000 | 532,138 | |||
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (b) | 2,250,000 | 1,719,814 | |||
DBUBS Mortgage Trust Series 2017-BRBK, Class E, VRN, 3.53%, 10/10/2034 (b) (c) | 463,000 | 408,088 | |||
DOLP Trust: | |||||
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041 (b) (c) | 1,000,000 | 688,542 | |||
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (b) (c) | 1,000,000 | 636,476 | |||
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040 (b) (c) | 1,147,000 | 783,114 | |||
Great Wolf Trust: | |||||
Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 7.05%, 12/15/2036 (b) (c) | 100,000 | 94,685 | |||
Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 7.45%, 12/15/2036 (b) (c) | 100,000 | 94,196 | |||
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.22%, 2/10/2046 (c) | 2,635,418 | 103 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC24, Class XA, IO, 0.71%, 9/10/2047 (c) | 24,925,544 | 218,710 | |||
Series 2015-GC32, Class XA, IO, 0.71%, 7/10/2048 (c) | 21,309,180 | 313,379 | |||
Series 2015-GC34, Class XA, IO, 1.20%, 10/10/2048 (c) | 14,812,388 | 396,846 | |||
Series 2015-GS1, Class XA, IO, 0.76%, 11/10/2048 (c) | 25,232,018 | 457,420 | |||
Series 2016-GS3, Class XA, IO, 1.20%, 10/10/2049 (c) | 23,753,498 | 815,235 | |||
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (c) | 38,729,520 | 1,446,487 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 1.15%, 5.47%, 7/15/2031 (b) (c) | 283,000 | 270,534 |
Security Description | Principal Amount | Value | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.85%, 6.17%, 7/15/2031 (b) (c) | $ 650,000 | $ 572,894 | |||
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.35%, 6.67%, 7/15/2031 (b) (c) | 650,000 | 559,894 | |||
Series 2018-TWR, Class F, 1 Month USD LIBOR + 3.05%, 7.37%, 7/15/2031 (b) (c) | 650,000 | 540,394 | |||
Series 2018-TWR, Class G, 1 Month USD LIBOR + 4.17%, 8.49%, 7/15/2031 (b) (c) | 650,000 | 514,745 | |||
Series 2019-GC38, Class XA, IO, 0.95%, 2/10/2052 (c) | 40,266,745 | 1,780,871 | |||
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 7.47%, 11/15/2036 (b) (c) | 2,603,321 | 2,415,670 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2014-C20, Class B, 4.40%, 7/15/2047 (c) | 3,000,000 | 2,829,731 | |||
Series 2015-JP1, Class XA, IO, 0.89%, 1/15/2049 (c) | 14,895,202 | 324,927 | |||
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (c) | 2,899,000 | 2,483,995 | |||
Series 2022-NLP, Class A, 1 Month USD Term LIBOR + 0.60%, 4.93%, 4/15/2037 (b) (c) | 2,359,019 | 2,183,608 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (c) | 1,055,000 | 985,541 | |||
Series 2014-C25, Class XA, IO, 0.81%, 11/15/2047 (c) | 4,516,201 | 51,541 | |||
Series 2015-C28, Class XA, IO, 0.95%, 10/15/2048 (c) | 8,175,118 | 121,768 | |||
Series 2015-C30, Class XA, IO, 0.43%, 7/15/2048 (c) | 22,194,655 | 204,055 | |||
Series 2015-C32, Class C, 4.65%, 11/15/2048 (c) | 1,132,000 | 820,662 | |||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.49%, 6/15/2049 (c) | 15,874,677 | 589,921 |
Security Description | Principal Amount | Value | |||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.79%, 3/10/2050 (b) (c) | $ 34,884,848 | $ 714,805 | |||
Manhattan West Mortgage Trust: | |||||
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039 (b) (c) | 2,462,000 | 2,019,862 | |||
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039 (b) (c) | 2,462,000 | 1,955,359 | |||
Med Trust Series 2021-MDLN, Class G, 1 Month USD LIBOR + 5.25%, 9.57%, 11/15/2038 (b) (c) | 2,864,000 | 2,617,187 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2013-C12, Class XA, IO, 0.55%, 10/15/2046 (c) | 11,141,485 | 18,737 | |||
Series 2013-C7, Class XA, IO, 0.87%, 2/15/2046 (c) | 935,428 | 37 | |||
Series 2015-C20, Class C, 4.45%, 2/15/2048 (c) | 500,000 | 462,471 | |||
Series 2016-C28, Class XA, IO, 1.15%, 1/15/2049 (c) | 18,133,107 | 488,368 | |||
Series 2016-C30, Class XA, IO, 1.35%, 9/15/2049 (c) | 16,951,319 | 627,249 | |||
Series 2016-C31, Class C, 4.27%, 11/15/2049 (c) | 3,358,000 | 2,750,241 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-UBS8, Class XA, IO, 0.86%, 12/15/2048 (c) | 23,195,467 | 459,454 | |||
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (c) | 47,505,666 | 964,061 | |||
Series 2019-L3, Class XA, IO, 0.64%, 11/15/2052 (c) | 55,715,677 | 1,838,595 | |||
Series 2020-HR8, Class XA, IO, VRN, 1.84%, 7/15/2053 (c) | 13,598,763 | 1,377,382 | |||
Series 2020-L4, Class XA, IO, VRN, 1.08%, 2/15/2053 (c) | 32,980,989 | 1,956,903 | |||
One New York Plaza Trust Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 6.52%, 1/15/2036 (b) (c) | 1,599,000 | 1,483,644 |
Security Description | Principal Amount | Value | |||
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | $ 450,000 | $ 386,034 | |||
SLG Office Trust: | |||||
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (b) | 1,989,000 | 1,381,734 | |||
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (b) | 1,989,000 | 1,288,942 | |||
SREIT Trust Series 2021-MFP, Class D, 1 Month USD LIBOR + 1.58%, 5.90%, 11/15/2038 (b) (c) | 2,864,000 | 2,702,313 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050 (c) | 17,341,203 | 880,464 | |||
Series 2017-C4, Class XA, IO, 1.09%, 10/15/2050 (c) | 20,374,832 | 788,251 | |||
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (b) (c) | 2,445,972 | 2,013,514 | |||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2049 (c) | 1,263,106 | 1,238,663 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2015-C26, Class XA, IO, 1.20%, 2/15/2048 (c) | 7,128,306 | 140,783 | |||
Series 2015-LC20, Class XA, IO, 1.29%, 4/15/2050 (c) | 6,354,734 | 112,711 | |||
Series 2015-NXS1, Class XA, IO, 1.07%, 5/15/2048 (c) | 6,748,801 | 118,731 | |||
Series 2015-NXS2, Class XA, IO, 0.61%, 7/15/2058 (c) | 21,222,571 | 248,192 | |||
Series 2015-P2, Class XA, IO, 0.93%, 12/15/2048 (c) | 14,220,623 | 309,520 | |||
Series 2016-BNK1, Class XB, IO, VRN, 1.32%, 8/15/2049 (c) | 19,849,000 | 800,377 | |||
Series 2016-C33, Class XA, IO, 1.58%, 3/15/2059 (c) | 10,699,722 | 418,391 | |||
Series 2016-C35, Class B, 3.44%, 7/15/2048 | 3,000,000 | 2,543,731 | |||
Series 2016-LC24, Class C, VRN, 4.43%, 10/15/2049 (c) | 1,900,000 | 1,636,876 |
Security Description | Principal Amount | Value | |||
Series 2017-C38, Class XA, IO, 0.97%, 7/15/2050 (c) | $ 34,315,568 | $ 1,123,552 | |||
Series 2017-RC1, Class XA, IO, 1.38%, 1/15/2060 (c) | 16,298,840 | 740,221 | |||
Series 2019-C50, Class XA, IO, 1.41%, 5/15/2052 (c) | 26,965,642 | 1,700,571 | |||
Series 2020-C58, Class XA, IO, VRN, 1.87%, 7/15/2053 (c) | 19,892,709 | 1,973,483 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 0.96%, 3/15/2047 (c) | 6,131,090 | 46,783 | |||
Series 2014-C21, Class XA, IO, 1.00%, 8/15/2047 (c) | 12,676,660 | 145,427 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $176,953,081) | 113,955,496 |
Shares | |||
SHORT-TERM INVESTMENT — 3.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (h) (i) (Cost $90,237,657) | 90,237,657 | 90,237,657 | |
TOTAL INVESTMENTS — 99.4% (Cost $2,615,120,369) | 2,313,978,263 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6% | 14,244,423 | ||
NET ASSETS — 100.0% | $ 2,328,222,686 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 20.7% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2022, total aggregate fair value of the securities is $54,108, representing less than 0.05% of the Fund's net assets. |
(g) | Position is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at December 31, 2022. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Hillman Group Inc. | 26,397 | 25,675 | (721) | |||
Pediatric Associates Holding Company, LLC | 16,119 | 15,346 | (772) | |||
TGP Holdings III, LLC | 5,580 | 4,491 | (1,090) | |||
VT Topco, Inc. | 4,323 | 4,202 | (121) | |||
AI Aqua Merger Sub, Inc. | 5,185 | 4,923 | (262) | |||
$57,604 | $54,637 | $(2,966) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 284,252,581 | $ — | $ 284,252,581 | ||||
Asset-Backed Securities | — | 249,806,639 | — | 249,806,639 | ||||
Foreign Government Obligations | — | 18,918,066 | — | 18,918,066 | ||||
U.S. Government Agency Obligations | — | 624,283,460 | — | 624,283,460 | ||||
U.S. Treasury Obligations | — | 655,689,947 | — | 655,689,947 | ||||
Mortgage-Backed Securities | — | 230,200,699 | — | 230,200,699 | ||||
Commercial Mortgage Backed Securities | — | 113,955,496 | — | 113,955,496 | ||||
Common Stocks | — | 1,642 | 54,108 | 55,750 | ||||
Senior Floating Rate Loans | — | 46,577,968 | — | 46,577,968 | ||||
Short-Term Investment | 90,237,657 | — | — | 90,237,657 | ||||
TOTAL INVESTMENTS | $90,237,657 | $2,223,686,498 | $54,108 | $2,313,978,263 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (2,966) | — | (2,966) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (2,966) | $ — | $ (2,966) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 78,929,216 | $78,929,216 | $532,782,583 | $521,474,142 | $— | $— | 90,237,657 | $90,237,657 | $1,351,711 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $139,088,961 | $ 7,348,192 | $ 18,681,547 | ||
Investments in affiliated issuers, at value | 538,232,469 | 86,099,465 | 258,058,642 | ||
Total Investments | 677,321,430 | 93,447,657 | 276,740,189 | ||
Foreign currency, at value | — | — | — | ||
Net cash at broker | — | — | — | ||
Cash | 4 | 17 | 10 | ||
Receivable for investments sold | — | 23,257,600 | 21,524,354 | ||
Receivable for fund shares sold | 12,113,284 | — | — | ||
Dividends receivable — unaffiliated issuers | — | — | — | ||
Dividends receivable — affiliated issuers | 98,800 | 5,690 | 205,614 | ||
Securities lending income receivable — unaffiliated issuers | 2,386 | 7,177 | — | ||
Securities lending income receivable — affiliated issuers | 25,265 | 22,851 | 49,960 | ||
Receivable from Adviser | — | 10,959 | — | ||
Receivable for foreign taxes recoverable | — | — | — | ||
Other Receivable | — | — | — | ||
TOTAL ASSETS | 689,561,169 | 116,751,951 | 298,520,127 | ||
LIABILITIES | |||||
Due to custodian | — | — | — | ||
Payable upon return of securities loaned | 45,511,787 | 6,784,842 | 45,214,621 | ||
Payable for investments purchased | 11,870,675 | 23,264,665 | 20,741,945 | ||
Payable to broker – accumulated variation margin on open futures contracts | — | — | — | ||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | ||
Advisory fee payable | 34,403 | — | 6,925 | ||
Accrued expenses and other liabilities | 4 | — | 2 | ||
TOTAL LIABILITIES | 57,416,869 | 30,049,507 | 65,963,493 | ||
NET ASSETS | $632,144,300 | $ 86,702,444 | $232,556,634 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $712,750,168 | $ 114,948,333 | $245,467,129 | ||
Total distributable earnings (loss) | (80,605,868) | (28,245,889) | (12,910,495) | ||
NET ASSETS | $632,144,300 | $ 86,702,444 | $232,556,634 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 27.52 | $ 29.49 | $ 37.51 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 22,970,000 | 2,940,000 | 6,200,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $160,097,251 | $ 8,655,649 | $ 18,346,153 | ||
Investments in affiliated issuers | 540,864,159 | 93,864,212 | 254,144,522 | ||
Total cost of investments | $700,961,410 | $102,519,861 | $272,490,675 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 44,497,363 | $ 10,843,490 | $ 45,846,754 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | |||
$386,208,968 | $30,947,287 | $ 37,015,117 | $32,702,150 | |||
26,321,701 | 660,813 | 1,442,669 | 1,207,057 | |||
412,530,669 | 31,608,100 | 38,457,786 | 33,909,207 | |||
— | 54,355 | — | — | |||
502,883 | 948,747 | — | — | |||
1,373 | — | — | — | |||
— | 192,317 | 1,108,167 | 1,045,465 | |||
1,997,930 | — | — | — | |||
1,648,578 | 379,512 | 476,791 | 414,274 | |||
78,651 | 1,506 | 7,543 | 6,838 | |||
— | — | — | — | |||
— | — | — | — | |||
— | 707 | — | — | |||
— | 3,984 | — | — | |||
599 | — | — | — | |||
416,760,683 | 33,189,228 | 40,050,287 | 35,375,784 | |||
— | 22,276 | — | — | |||
— | — | — | — | |||
— | 21,806 | — | 251,550 | |||
63,389 | 141,923 | — | — | |||
— | 274 | — | — | |||
66,481 | 15,680 | 13,673 | 12,859 | |||
4 | — | — | — | |||
129,874 | 201,959 | 13,673 | 264,409 | |||
$416,630,809 | $32,987,269 | $40,036,614 | $ 35,111,375 | |||
$421,736,979 | $38,536,071 | $44,219,888 | $35,863,658 | |||
(5,106,170) | (5,548,802) | (4,183,274) | (752,283) | |||
$416,630,809 | $32,987,269 | $40,036,614 | $ 35,111,375 | |||
$ 39.96 | $ 25.37 | $ 26.69 | $ 29.26 | |||
10,425,000 | 1,300,000 | 1,500,000 | 1,200,000 | |||
$391,378,642 | $32,981,224 | $39,788,552 | $33,239,363 | |||
26,321,701 | 661,295 | 1,442,669 | 1,207,057 | |||
$417,700,343 | $33,642,519 | $41,231,221 | $34,446,420 | |||
$ — | $ 54,269 | $ — | $ — | |||
$ — | $ — | $ — | $ — |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | SPDR DoubleLine Emerging Markets Fixed Income ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $ — | $ — | $ 66,235,596 | ||
Investments in affiliated issuers, at value | 168,239,320 | 283,986,119 | 127,818 | ||
Total Investments | 168,239,320 | 283,986,119 | 66,363,414 | ||
Foreign currency, at value | — | — | — | ||
Cash | — | — | 213 | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable — unaffiliated issuers | — | — | 985,642 | ||
Dividends receivable — affiliated issuers | 979 | 1,830 | 1,686 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 2,577 | 5,987 | — | ||
Securities lending income receivable — affiliated issuers | 21,417 | 23,474 | — | ||
Receivable from Adviser | 20,272 | 31,481 | — | ||
Other Receivable | — | — | — | ||
TOTAL ASSETS | 168,284,565 | 284,048,891 | 67,350,955 | ||
LIABILITIES | |||||
Due to custodian | — | — | 91 | ||
Payable upon return of securities loaned | 25,608,951 | 58,900,996 | — | ||
Payable for investments purchased | — | — | — | ||
Unrealized depreciation on unfunded loan commitments | — | — | — | ||
Advisory fee payable | 60,499 | 142,502 | 37,520 | ||
Trustees’ fees and expenses payable | — | — | — | ||
Accrued expenses and other liabilities | — | 2 | — | ||
TOTAL LIABILITIES | 25,669,450 | 59,043,500 | 37,611 | ||
NET ASSETS | $ 142,615,115 | $225,005,391 | $ 67,313,344 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $165,894,449 | $244,572,003 | $ 83,906,904 | ||
Total distributable earnings (loss) | (23,279,334) | (19,566,612) | (16,593,560) | ||
NET ASSETS | $ 142,615,115 | $225,005,391 | $ 67,313,344 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 25.60 | $ 38.93 | $ 40.19 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 5,570,000 | 5,780,000 | 1,675,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ — | $ — | $ 80,133,335 | ||
Investments in affiliated issuers | 177,775,093 | 285,144,373 | 127,818 | ||
Total cost of investments | $177,775,093 | $285,144,373 | $ 80,261,153 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 27,447,700 | $ 72,479,637 | $ — |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |
$ 121,118,763 | $2,223,740,606 | |
4,559,807 | 90,237,657 | |
125,678,570 | 2,313,978,263 | |
— | 138 | |
8,204 | — | |
178,859 | 1,278,386 | |
— | 22,019,886 | |
783,233 | — | |
10,554 | 364,863 | |
— | 16,136,001 | |
— | — | |
— | — | |
— | — | |
— | 17,814 | |
126,659,420 | 2,353,795,351 | |
31 | 114,769 | |
— | — | |
113,850 | 24,389,020 | |
— | 2,966 | |
48,112 | 1,065,888 | |
1 | — | |
— | 22 | |
161,994 | 25,572,665 | |
$126,497,426 | $2,328,222,686 | |
$137,641,896 | $2,897,597,183 | |
(11,144,470) | (569,374,497) | |
$126,497,426 | $2,328,222,686 | |
$ 46.00 | $ 39.97 | |
2,750,000 | 58,250,000 | |
$127,924,682 | $2,524,882,712 | |
4,559,807 | 90,237,657 | |
$132,484,489 | $2,615,120,369 | |
$ — | $ 138 | |
$ — | $ — |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $ — | $ — | $ — | ||
Dividend income — unaffiliated issuers | 16,260,716 | 365,257 | 1,069,955 | ||
Dividend income — affiliated issuers | 9,385,600 | 2,166,766 | 3,217,543 | ||
Unaffiliated securities lending income | 66,912 | 41,762 | 11,636 | ||
Affiliated securities lending income | 112,604 | 190,904 | 264,192 | ||
Foreign taxes withheld | — | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 25,825,832 | 2,764,689 | 4,563,326 | ||
EXPENSES | |||||
Advisory fee | 225,270 | 20,875 | 119,346 | ||
Trustees’ fees and expenses | 2,879 | 562 | 1,458 | ||
Proxy voting expenses | 34,069 | 3,986 | 10,164 | ||
Miscellaneous expenses | 4 | — | 3 | ||
TOTAL EXPENSES | 262,222 | 25,423 | 130,971 | ||
Expenses waived/reimbursed by the Adviser | — | — | — | ||
NET EXPENSES | 262,222 | 25,423 | 130,971 | ||
NET INVESTMENT INCOME (LOSS) | $ 25,563,610 | $ 2,739,266 | $ 4,432,355 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (1,716,290) | (1,134,624) | (799,682) | ||
Investments — affiliated issuers | (9,236,645) | (5,726,045) | (11,279,490) | ||
In-kind redemptions — unaffiliated issuers | 904,498 | (85,229) | 227,261 | ||
In-kind redemptions — affiliated issuers | 2,996,660 | (327,686) | 1,859,896 | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency transactions | — | — | — | ||
Futures contracts | — | — | — | ||
Swaps contracts | — | — | — | ||
Net realized gain (loss) | (7,051,777) | (7,273,584) | (9,992,015) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | (23,989,113) | 374,153 | (1,234,224) | ||
Investments — affiliated issuers | 17,909,639 | 2,683,633 | 9,247,932 | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency translations | — | — | — | ||
Futures contracts | — | — | — | ||
Swap contracts | — | — | — | ||
Net change in unrealized appreciation/depreciation | (6,079,474) | 3,057,786 | 8,013,708 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (13,131,251) | (4,215,798) | (1,978,307) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 12,432,359 | $(1,476,532) | $ 2,454,048 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | SPDR DoubleLine Emerging Markets Fixed Income ETF | ||||||
$4,913,965 | $ 789,591 | 324,309 | 452,672 | — | — | $ 1,755,551 | ||||||
— | 1,472 | — | — | — | — | — | ||||||
315,538 | 38,019 | 35,463 | 23,137 | 1,892,595 | 2,292,956 | 33,106 | ||||||
— | — | — | — | 6,482 | 63,998 | — | ||||||
— | — | — | — | 103,805 | 55,173 | — | ||||||
— | — | — | — | — | — | (1,642) | ||||||
5,229,503 | 829,082 | 359,772 | 475,809 | 2,002,882 | 2,412,127 | 1,787,015 | ||||||
354,698 | 83,402 | 75,774 | 72,762 | 234,113 | 648,966 | 225,634 | ||||||
2,086 | 195 | 215 | 199 | 725 | 1,315 | 431 | ||||||
13,824 | 1,226 | 1,527 | 1,380 | 5,271 | 9,232 | 2,993 | ||||||
4 | — | — | — | — | 2 | — | ||||||
370,612 | 84,823 | 77,516 | 74,341 | 240,109 | 659,515 | 229,058 | ||||||
— | (4,549) | — | — | — | — | — | ||||||
370,612 | 80,274 | 77,516 | 74,341 | 240,109 | 659,515 | 229,058 | ||||||
$4,858,891 | $ 748,808 | $ 282,256 | $ 401,468 | $ 1,762,773 | $ 1,752,612 | $ 1,557,957 | ||||||
(279,530) | (1,447,762) | (805,188) | (63,695) | — | — | (1,951,222) | ||||||
— | (122) | — | 485 | (7,510,796) | (14,549,592) | — | ||||||
— | — | — | — | — | — | — | ||||||
— | — | — | — | (668,542) | 2,024,597 | — | ||||||
— | 3,325 | — | — | — | — | — | ||||||
— | (257) | — | — | — | — | — | ||||||
1,856,251 | (356,926) | — | — | — | — | — | ||||||
— | (75,570) | — | — | — | — | — | ||||||
1,576,721 | (1,877,312) | (805,188) | (63,210) | (8,179,338) | (12,524,995) | (1,951,222) | ||||||
166,957 | 1,427,197 | 632,779 | (60,475) | — | — | 919,590 | ||||||
— | (482) | — | (31) | 172,043 | 18,176,479 | — | ||||||
— | (2,840) | — | — | — | — | — | ||||||
— | 5,450 | — | — | — | — | — | ||||||
(188,350) | (127,134) | — | — | — | — | — | ||||||
— | 10,911 | — | — | — | — | — | ||||||
(21,393) | 1,313,102 | 632,779 | (60,506) | 172,043 | 18,176,479 | 919,590 | ||||||
1,555,328 | (564,210) | (172,409) | (123,716) | (8,007,295) | 5,651,484 | (1,031,632) | ||||||
$6,414,219 | $ 184,598 | $ 109,847 | $ 277,752 | $(6,244,522) | $ 7,404,096 | $ 526,325 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 2,255,206 | $ 47,030,243 | |
Dividend income — affiliated issuers | 78,186 | 1,351,711 | |
Other income | 9,384 | — | |
Foreign taxes withheld | — | (3,154) | |
TOTAL INVESTMENT INCOME (LOSS) | 2,342,776 | 48,378,800 | |
EXPENSES | |||
Advisory fee | 293,076 | 6,070,168 | |
Trustees’ fees and expenses | 785 | 13,259 | |
Proxy voting expenses | 5,538 | 94,154 | |
Miscellaneous expenses | — | 22 | |
TOTAL EXPENSES | 299,399 | 6,177,603 | |
NET INVESTMENT INCOME (LOSS) | $ 2,043,377 | $ 42,201,197 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (762,247) | (58,887,547) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | (597,383) | (41,865,759) | |
Unfunded loan commitments | — | 5,643 | |
Net change in unrealized appreciation/depreciation | (597,383) | (41,860,116) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,359,630) | (100,747,663) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 683,747 | $ (58,546,466) |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 25,563,610 | $ 23,531,552 | $ 2,739,266 | $ 4,230,037 | |||
Net realized gain (loss) | (7,051,777) | 4,007,362 | (7,273,584) | (2,550) | |||
Net change in unrealized appreciation/depreciation | (6,079,474) | (26,093,305) | 3,057,786 | (15,709,270) | |||
Net increase (decrease) in net assets resulting from operations | 12,432,359 | 1,445,609 | (1,476,532) | (11,481,783) | |||
Net equalization credits and charges | (153,052) | 2,661,692 | 17,585 | (16,609) | |||
Distributions to shareholders | (23,810,351) | (26,209,495) | (2,567,121) | (4,045,876) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 230,862,230 | 419,842,759 | 17,870,869 | 38,728,531 | |||
Cost of shares redeemed | (55,370,793) | (57,424,560) | (22,683,940) | (52,680,244) | |||
Net income equalization | 153,052 | (2,661,692) | (17,585) | 16,609 | |||
Other Capital | — | 18,255 | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 175,644,489 | 359,774,762 | (4,830,656) | (13,935,104) | |||
Net increase (decrease) in net assets during the period | 164,113,445 | 337,672,568 | (8,856,724) | (29,479,372) | |||
Net assets at beginning of period | 468,030,855 | 130,358,287 | 95,559,168 | 125,038,540 | |||
NET ASSETS AT END OF PERIOD | $632,144,300 | $468,030,855 | $ 86,702,444 | $ 95,559,168 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 8,220,000 | 14,140,000 | 590,000 | 1,120,000 | |||
Shares redeemed | (2,010,000) | (1,950,000) | (760,000) | (1,520,000) | |||
Net increase (decrease) from share transactions | 6,210,000 | 12,190,000 | (170,000) | (400,000) |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | For the Period 9/28/21*- 6/30/22 | |||||
$ 4,432,355 | $ 9,954,711 | $ 4,858,891 | $ 2,171,248 | $ 748,808 | $ 966,581 | |||||
(9,992,015) | 12,256,385 | 1,576,721 | (685,236) | (1,877,312) | (2,421,925) | |||||
8,013,708 | (53,905,411) | (21,393) | (6,068,494) | 1,313,102 | (3,484,542) | |||||
2,454,048 | (31,694,315) | 6,414,219 | (4,582,482) | 184,598 | (4,939,886) | |||||
(39,835) | 192 | 101,281 | (79,660) | 11,203 | (29,064) | |||||
(11,188,770) | (12,089,236) | (5,303,291) | (2,137,247) | (885,204) | (831,308) | |||||
23,306,997 | 36,021,408 | 172,628,992 | 239,500,100 | 4,971,463 | 44,823,447 | |||||
(22,849,995) | (34,093,710) | (59,900,582) | (332,794,845) | — | (10,438,804) | |||||
39,835 | (192) | (101,281) | 79,660 | (11,203) | 29,064 | |||||
529 | — | 63,769 | 138,713 | 13,316 | 89,647 | |||||
497,366 | 1,927,506 | 112,690,898 | (93,076,372) | 4,973,576 | 34,503,354 | |||||
(8,277,191) | (41,855,853) | 113,903,107 | (99,875,761) | 4,284,173 | 28,703,096 | |||||
240,833,825 | 282,689,678 | 302,727,702 | 402,603,463 | 28,703,096 | — | |||||
$232,556,634 | $240,833,825 | $416,630,809 | $ 302,727,702 | $32,987,269 | $ 28,703,096 | |||||
610,000 | 810,000 | 4,325,000 | 5,950,000 | 200,000 | 1,500,000 | |||||
(590,000) | (770,000) | (1,500,000) | (8,300,000) | — | (400,000) | |||||
20,000 | 40,000 | 2,825,000 | (2,350,000) | 200,000 | 1,100,000 |
* | Commencement of operations. |
SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | ||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | For the Period 4/5/22*- 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 282,256 | $ 231,606 | $ 401,468 | $ 152,659 | |||
Net realized gain (loss) | (805,188) | (189,996) | (63,210) | (105,291) | |||
Net change in unrealized appreciation/depreciation | 632,779 | (3,416,424) | (60,506) | (476,707) | |||
Net increase (decrease) in net assets resulting from operations | 109,847 | (3,374,814) | 277,752 | (429,339) | |||
Net equalization credits and charges | 6,512 | (1,113) | 830 | 1,649 | |||
Distributions to shareholders | (425,884) | (700,875) | (497,910) | (102,786) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 5,291,272 | 10,685,680 | 2,863,918 | 32,963,912 | |||
Cost of shares redeemed | — | (16,723,473) | — | — | |||
Net income equalization | (6,512) | 1,113 | (830) | (1,649) | |||
Other Capital | 12 | 10,686 | 2,864 | 32,964 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 5,284,772 | (6,025,994) | 2,865,952 | 32,995,227 | |||
Net increase (decrease) in net assets during the period | 4,975,247 | (10,102,796) | 2,646,624 | 32,464,751 | |||
Net assets at beginning of period | 35,061,367 | 45,164,163 | 32,464,751 | — | |||
NET ASSETS AT END OF PERIOD | $40,036,614 | $ 35,061,367 | $ 35,111,375 | $32,464,751 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 200,000 | 400,000 | 100,000 | 1,100,000 | |||
Shares redeemed | — | (600,000) | — | — | |||
Net increase (decrease) from share transactions | 200,000 | (200,000) | 100,000 | 1,100,000 |
* | Commencement of operations. |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | SPDR DoubleLine Emerging Markets Fixed Income ETF | ||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | |||||
$ 1,762,773 | $ 1,864,166 | $ 1,752,612 | $ 2,044,310 | $ 1,557,957 | $ 2,925,925 | |||||
(8,179,338) | (5,800,454) | (12,524,995) | 2,571,374 | (1,951,222) | 769,507 | |||||
172,043 | (9,885,098) | 18,176,479 | (30,518,656) | 919,590 | (17,006,267) | |||||
(6,244,522) | (13,821,386) | 7,404,096 | (25,902,972) | 526,325 | (13,310,835) | |||||
(360,483) | (509,259) | (104,214) | (142,580) | (11,492) | (15,165) | |||||
(1,704,355) | (1,883,135) | (2,616,810) | (7,269,494) | (1,804,193) | (5,404,954) | |||||
59,955,295 | 112,910,613 | 37,812,948 | 107,170,499 | 7,947,071 | 9,309,790 | |||||
(27,936,748) | (61,634,491) | (20,839,830) | (45,148,661) | (13,574,299) | (40,124,127) | |||||
360,483 | 509,259 | 104,214 | 142,580 | 11,492 | 15,165 | |||||
— | — | — | — | 37,414 | 68,054 | |||||
32,379,030 | 51,785,381 | 17,077,332 | 62,164,418 | (5,578,322) | (30,731,118) | |||||
24,069,670 | 35,571,601 | 21,760,404 | 28,849,372 | (6,867,682) | (49,462,072) | |||||
118,545,445 | 82,973,844 | 203,244,987 | 174,395,615 | 74,181,026 | 123,643,098 | |||||
$142,615,115 | $118,545,445 | $225,005,391 | $203,244,987 | $ 67,313,344 | $ 74,181,026 | |||||
2,270,000 | 3,780,000 | 970,000 | 2,450,000 | 200,000 | 200,000 | |||||
(1,070,000) | (2,060,000) | (530,000) | (1,040,000) | (325,000) | (825,000) | |||||
1,200,000 | 1,720,000 | 440,000 | 1,410,000 | (125,000) | (625,000) |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 2,043,377 | $ 2,322,666 | $ 42,201,197 | $ 77,993,893 | |||
Net realized gain (loss) | (762,247) | (3,083,762) | (58,887,547) | (71,677,135) | |||
Net change in unrealized appreciation/depreciation | (597,383) | (6,559,270) | (41,860,116) | (268,963,903) | |||
Net increase (decrease) in net assets resulting from operations | 683,747 | (7,320,366) | (58,546,466) | (262,647,145) | |||
Net equalization credits and charges | (16,236) | (22,189) | — | (3,201) | |||
Distributions to shareholders | (2,329,017) | (2,972,526) | (65,247,706) | (96,266,392) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 3,479,690 | 89,243,755 | 464,427,759 | 12,031,920 | |||
Cost of shares redeemed | (6,954,553) | (107,825,844) | (258,273,252) | (597,715,967) | |||
Net income equalization | 16,236 | 22,189 | — | 3,201 | |||
Other Capital | 12,174 | 241,692 | 1,167,144 | 621,780 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (3,446,453) | (18,318,208) | 207,321,651 | (585,059,066) | |||
Net increase (decrease) in net assets during the period | (5,107,959) | (28,633,289) | 83,527,479 | (943,975,804) | |||
Net assets at beginning of period | 131,605,385 | 160,238,674 | 2,244,695,207 | 3,188,671,011 | |||
NET ASSETS AT END OF PERIOD | $126,497,426 | $ 131,605,385 | $2,328,222,686 | $2,244,695,207 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 75,000 | 1,800,000 | 11,500,000 | 250,000 | |||
Shares redeemed | (150,000) | (2,200,000) | (6,350,000) | (12,950,000) | |||
Net increase (decrease) from share transactions | (75,000) | (400,000) | 5,150,000 | (12,700,000) |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.36 | 2.99 | 0.65 | 0.78 | 0.69 | 0.53 | |||||
Net realized and unrealized gain (loss) (c) | (0.65) | (0.44) | 7.15 | (3.89) | (1.43) | 2.64 | |||||
Total from investment operations | 0.71 | 2.55 | 7.80 | (3.11) | (0.74) | 3.17 | |||||
Net equalization credits and charges (b) | (0.01) | 0.34 | 0.02 | (0.02) | 0.00(d) | (0.00)(d) | |||||
Other capital (b) | — | 0.00(d) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.11) | (3.48) | (0.55) | (0.80) | (0.70) | (0.52) | |||||
Net asset value, end of period | $ 27.52 | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | |||||
Total return (e) | 2.55% | 10.57% | 37.12% | (12.71)% | (2.71)% | 13.26% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $632,144 | $468,031 | $130,358 | $53,750 | $112,792 | $143,742 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.10%(g) | 0.05% | 0.08% | 0.08% | 0.12% | 0.22% | |||||
Net investment income (loss) | 9.65%(g) | 10.09% | 2.56% | 3.30% | 2.76% | 2.04% | |||||
Portfolio turnover rate | 17%(h) | 38% | 49% | 30% | 28% | 44% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
SPDR SSGA Income Allocation ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.94 | 1.33 | 1.35 | 1.43 | 1.53 | 1.02 | |||||
Net realized and unrealized gain (loss) (c) | (1.32) | (4.92) | 5.18 | (2.95) | 0.91 | 0.09 | |||||
Total from investment operations | (0.38) | (3.59) | 6.53 | (1.52) | 2.44 | 1.11 | |||||
Net equalization credits and charges (b) | 0.01 | (0.01) | 0.04 | 0.03 | 0.03 | (0.01) | |||||
Other capital (b) | — | — | — | — | 0.00(d) | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.87) | (1.29) | (1.32) | (1.46) | (1.57) | (1.01) | |||||
Net asset value, end of period | $ 29.49 | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | |||||
Total return (e) | (1.16)% | (10.41)% | 21.90% | (4.56)% | 7.93% | 3.34% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $86,702 | $95,559 | $125,039 | $126,039 | $104,613 | $92,389 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.06%(g) | 0.12% | 0.16% | 0.18% | 0.18% | 0.39% | |||||
Net investment income (loss) | 6.16%(g) | 3.85% | 4.02% | 4.41% | 4.71% | 3.07% | |||||
Portfolio turnover rate | 61%(h) | 58% | 60% | 38% | 71% | 29% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
SPDR SSGA Global Allocation ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.72 | 1.61 | 0.91 | 1.07 | 1.03 | 0.81 | |||||
Net realized and unrealized gain (loss) (c) | (0.34) | (6.71) | 9.16 | (1.44) | 0.57 | 2.18 | |||||
Total from investment operations | 0.38 | (5.10) | 10.07 | (0.37) | 1.60 | 2.99 | |||||
Net equalization credits and charges (b) | (0.01) | 0.00(d) | (0.00)(d) | 0.00(d) | 0.01 | 0.01 | |||||
Other capital (b) | 0.00(d) | — | — | 0.00(d) | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.99) | (1.62) | (0.91) | (1.08) | (1.00) | (0.80) | |||||
Net realized gains | (0.84) | (0.35) | — | — | — | — | |||||
Total distributions | (1.83) | (1.97) | (0.91) | (1.08) | (1.00) | (0.80) | |||||
Net asset value, end of period | $ 37.51 | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | |||||
Total return (e) | 1.03% | (11.58)% | 27.51% | (1.00)% | 4.37% | 8.46% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $232,557 | $240,834 | $282,690 | $237,850 | $255,687 | $248,929 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.11%(g) | 0.11% | 0.17% | 0.09% | 0.15% | 0.20% | |||||
Net investment income (loss) | 3.72%(g) | 3.59% | 2.16% | 2.84% | 2.76% | 2.14% | |||||
Portfolio turnover rate (h) | 75%(i) | 153% | 110% | 94% | 71% | 43% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.55 | 0.21 | 0.27 | 0.81 | 1.02 | 0.68 | |||||
Net realized and unrealized gain (loss) (c) | 0.15 | (0.63) | 0.25 | (0.11) | 0.04 | (0.14) | |||||
Total from investment operations | 0.70 | (0.42) | 0.52 | 0.70 | 1.06 | 0.54 | |||||
Net equalization credits and charges (b) | 0.01 | (0.01) | 0.00(d) | 0.02 | 0.03 | 0.04 | |||||
Other capital (b) | 0.01 | 0.01 | 0.01 | 0.03 | 0.02 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.59) | (0.21) | (0.33) | (0.90) | (0.97) | (0.63) | |||||
Net asset value, end of period | $ 39.96 | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | |||||
Total return (e) | 1.81% | (1.05)% | 1.34% | 1.86% | 2.79% | 1.60% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $416,631 | $302,728 | $402,603 | $298,907 | $167,719 | $50,344 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.21%(f) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 2.74%(f) | 0.51% | 0.67% | 2.02% | 2.54% | 1.70% | |||||
Portfolio turnover rate | 22%(g) | 68% | 76% | 71% | 100% | 76% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Not annualized. |
SPDR Loomis Sayles Opportunistic Bond ETF | |||
Six Months Ended 12/31/22 (Unaudited) | For the Period 9/28/2021*- 6/30/22 | ||
Net asset value, beginning of period | $ 26.09 | $ 30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.64 | 0.67 | |
Net realized and unrealized gain (loss) (b) | (0.63) | (4.05) | |
Total from investment operations | 0.01 | (3.38) | |
Net equalization credits and charges (a) | 0.01 | (0.02) | |
Other capital (a) | 0.01 | 0.06 | |
Distributions to shareholders from: | |||
Net investment income | (0.75) | (0.57) | |
Net asset value, end of period | $ 25.37 | $ 26.09 | |
Total return (c) | 0.11% | (11.25)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $32,987 | $28,703 | |
Ratios to average net assets: | |||
Total expenses | 0.56%(d) | 0.55%(d) | |
Net expenses | 0.53%(d) | 0.51%(d) | |
Net investment income (loss) | 4.94%(d) | 3.11%(d) | |
Portfolio turnover rate (e) | 67%(f) | 101%(f) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d) | Annualized. |
(e) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f) | Not annualized. |
SPDR Nuveen Municipal Bond ETF | |||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | For the Period 2/3/21*- 6/30/21 | |||
Net asset value, beginning of period | $ 26.97 | $ 30.11 | $ 30.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.20 | 0.17 | 0.07 | ||
Net realized and unrealized gain (loss) (b) | (0.18) | (2.80) | 0.11 | ||
Total from investment operations | 0.02 | (2.63) | 0.18 | ||
Net equalization credits and charges (a) | 0.00(c) | (0.00)(c) | 0.00(c) | ||
Other capital (a) | 0.00(c) | 0.01 | 0.03 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.30) | (0.30) | (0.10) | ||
Net realized gains | — | (0.22) | — | ||
Total distributions | (0.30) | (0.52) | (0.10) | ||
Net asset value, end of period | $ 26.69 | $ 26.97 | $ 30.11 | ||
Total return (d) | 0.07% | (8.83)% | 0.69% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $40,037 | $35,061 | $45,164 | ||
Ratios to average net assets: | |||||
Total expenses | 0.41%(e) | 0.40% | 0.40%(e) | ||
Net investment income (loss) | 1.49%(e) | 0.57% | 0.57%(e) | ||
Portfolio turnover rate (f) | 30%(g) | 49% | 51%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Nuveen Municipal Bond ESG ETF | |||
Six Months Ended 12/31/22 (Unaudited) | For the Period 4/5/2022*- 6/30/22 | ||
Net asset value, beginning of period | $ 29.51 | $ 30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.35 | 0.14 | |
Net realized and unrealized gain (loss) (b) | (0.17) | (0.57) | |
Total from investment operations | 0.18 | (0.43) | |
Net equalization credits and charges (a) | 0.00(c) | 0.00(c) | |
Other capital (a) | 0.00(c) | 0.03 | |
Distributions to shareholders from: | |||
Net investment income | (0.43) | (0.09) | |
Net asset value, end of period | $ 29.26 | $ 29.51 | |
Total return (d) | 0.62% | (1.31)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $35,111 | $32,465 | |
Ratios to average net assets: | |||
Total expenses | 0.44%(e) | 0.43%(e) | |
Net investment income (loss) | 2.37%(e) | 2.00%(e) | |
Portfolio turnover rate (f) | 23%(g) | 5%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR SSGA Fixed Income Sector Rotation ETF | |||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | For the Period 4/3/2019*- 6/30/19 | |||||
Net asset value, beginning of period | $ 27.13 | $ 31.31 | $ 31.98 | $ 31.08 | $ 30.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.36 | 0.52 | 0.63 | 0.81 | 0.15 | ||||
Net realized and unrealized gain (loss) (b) | (1.48) | (4.02) | (0.37) | 1.31 | 0.99 | ||||
Total from investment operations | (1.12) | (3.50) | 0.26 | 2.12 | 1.14 | ||||
Net equalization credits and charges (a) | (0.07) | (0.14) | (0.16) | (0.17) | 0.00(c) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.34) | (0.54) | (0.77) | (1.05) | (0.16) | ||||
Net asset value, end of period | $ 25.60 | $ 27.13 | $ 31.31 | $ 31.98 | $ 31.08 | ||||
Total return (d) | (4.36)% | (11.78)% | 0.29% | 6.42% | 3.81% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $142,615 | $118,545 | $82,974 | $47,014 | $10,877 | ||||
Ratios to average net assets: | |||||||||
Total expenses (e) | 0.37%(f) | 0.39% | 0.39% | 0.31% | 0.31%(f) | ||||
Net investment income (loss) | 2.73%(f) | 1.76% | 1.99% | 2.57% | 1.98%(f) | ||||
Portfolio turnover rate (g) | 58%(h) | 75% | 79% | 150% | 32%(h) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR SSGA US Sector Rotation ETF | |||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | For the Period 4/3/2019*- 6/30/19 | |||||
Net asset value, beginning of period | $ 38.06 | $ 44.38 | $ 32.83 | $ 30.73 | $ 30.09 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.31 | 0.47 | 0.36 | 0.57 | 0.23 | ||||
Net realized and unrealized gain (loss) (b) | 1.04 | (5.07) | 11.62 | 1.98 | 0.55 | ||||
Total from investment operations | 1.35 | (4.60) | 11.98 | 2.55 | 0.78 | ||||
Net equalization credits and charges (a) | (0.02) | (0.03) | (0.04) | 0.03 | (0.03) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.46) | (0.46) | (0.39) | (0.48) | (0.11) | ||||
Net realized gains | — | (1.23) | — | — | — | ||||
Total distributions | (0.46) | (1.69) | (0.39) | (0.48) | (0.11) | ||||
Net asset value, end of period | $ 38.93 | $ 38.06 | $ 44.38 | $ 32.83 | $ 30.73 | ||||
Total return (c) | 3.49% | (11.02)% | 36.48% | 8.52% | 2.50% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $225,005 | $203,245 | $174,396 | $68,617 | $14,136 | ||||
Ratios to average net assets: | |||||||||
Total expenses (d) | 0.58%(e) | 0.54% | 0.52% | 0.49% | 0.49%(e) | ||||
Net investment income (loss) | 1.55%(e) | 1.06% | 0.89% | 1.79% | 3.12%(e) | ||||
Portfolio turnover rate (f) | 66%(g) | 202% | 263% | 154% | 39%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Broker commission charges are not included in this calculation. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.91 | 1.49 | 1.48 | 1.87 | 1.98 | 1.31 | |||||
Net realized and unrealized gain (loss) | (0.89) | (8.60) | 1.83 | (2.06) | 2.60 | (1.74) | |||||
Total from investment operations | 0.02 | (7.11) | 3.31 | (0.19) | 4.58 | (0.43) | |||||
Net equalization credits and charges (a) | (0.01) | (0.01) | 0.03 | 0.04 | 0.03 | 0.04 | |||||
Other capital (a) | 0.02 | 0.03 | 0.09 | 0.13 | 0.08 | 0.10 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.05) | (1.47) | (1.53) | (1.91) | (1.92) | (1.36) | |||||
Net realized gains | — | (1.22) | — | — | — | (0.55) | |||||
Total distributions | (1.05) | (2.69) | (1.53) | (1.91) | (1.92) | (1.91) | |||||
Net asset value, end of period | $ 40.19 | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | |||||
Total return (b) | 0.10% | (14.57)% | 7.09% | (0.04)% | 9.99% | (0.65)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $67,313 | $74,181 | $123,643 | $94,494 | $65,050 | $48,253 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.66%(c) | 0.65% | 0.72% | 0.75% | 0.75% | 0.76% | |||||
Net expenses | 0.66%(c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
Net investment income (loss) | 4.49%(c) | 3.12% | 2.95% | 3.77% | 4.06% | 2.64% | |||||
Portfolio turnover rate (d) | 16%(e) | 38% | 77% | 54% | 37% | 55% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(e) | Not annualized. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.73 | 0.69 | 0.68 | 1.08 | 1.30 | 1.02 | |||||
Net realized and unrealized gain (loss) (b) | (0.47) | (2.96) | 0.14 | 0.07 | 0.62 | (0.99) | |||||
Total from investment operations | 0.26 | (2.27) | 0.82 | 1.15 | 1.92 | 0.03 | |||||
Net equalization credits and charges (a) | (0.01) | (0.01) | 0.01 | 0.00(c) | 0.03 | 0.05 | |||||
Other capital (a) | 0.00(c) | 0.07 | 0.01 | 0.03 | 0.06 | 0.12 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.84) | (0.73) | (0.72) | (1.14) | (1.29) | (1.00) | |||||
Net realized gains | — | (0.16) | — | — | — | — | |||||
Total distributions | (0.84) | (0.89) | (0.72) | (1.14) | (1.29) | (1.00) | |||||
Net asset value, end of period | $ 46.00 | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | |||||
Total return (d) | 0.55% | (4.52)% | 1.70% | 2.43% | 4.18% | 0.43% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $126,497 | $131,605 | $160,239 | $142,519 | $121,344 | $82,984 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.46%(e) | 0.45% | 0.49% | 0.50% | 0.50% | 0.50% | |||||
Net expenses | 0.46%(e) | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | |||||
Net investment income (loss) | 3.14%(e) | 1.41% | 1.36% | 2.18% | 2.65% | 2.07% | |||||
Portfolio turnover rate (f) | 16%(g) | 104% | 58% | 43% | 62% | 50% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.79 | 1.30 | 1.09 | 1.37 | 1.56 | 1.34 | |||||
Net realized and unrealized gain (loss) (c) | (1.89) | (5.91) | (0.70) | 0.59 | 1.44 | (1.34) | |||||
Total from investment operations | (1.10) | (4.61) | 0.39 | 1.96 | 3.00 | 0.00(d) | |||||
Net equalization credits and charges (b) | — | (0.00)(d) | 0.00(d) | (0.00)(d) | 0.00(d) | 0.00(d) | |||||
Contribution from affiliate | — | — | 0.00(d) | — | — | — | |||||
Other capital (b) | 0.02 | 0.01 | 0.00(d) | 0.03 | 0.04 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.22) | (1.59) | (1.33) | (1.55) | (1.68) | (1.45) | |||||
Net asset value, end of period | $ 39.97 | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | |||||
Total return (e) | (2.58)% | (9.75)% | 0.81%(f) | 4.13% | 6.53% | 0.04% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,328,223 | $2,244,695 | $3,188,671 | $3,191,242 | $3,336,881 | $3,182,239 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.56%(g) | 0.55% | 0.62% | 0.65% | 0.65% | 0.65% | |||||
Net expenses | 0.56%(g) | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% | |||||
Net investment income (loss) | 3.82%(g) | 2.79% | 2.22% | 2.80% | 3.27% | 2.78% | |||||
Portfolio turnover rate | 51%(h)(i) | 119%(i) | 82%(i) | 25%(i) | 47%(i) | 34%(j) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the year ended ended June 30, 2021, the total return would have remained 0.81%. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
SPDR Nuveen Municipal Bond ESG ETF |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $ 63,389 | $ — | $— | $— | $— | $ 63,389 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | 274 | — | — | — | 274 | |||||
Futures Contracts | 141,923 | — | — | — | — | 141,923 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $1,856,251 | $ — | $ — | $— | $— | $1,856,251 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | 3,325 | — | — | — | 3,325 | |||||
Futures Contracts | (356,926) | — | — | — | — | (356,926) | |||||
Swap Contracts | — | — | (75,570) | — | — | (75,570) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $(188,350) | $ — | $ — | $— | $— | $(188,350) | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | (2,840) | — | — | — | (2,840) | |||||
Futures Contracts | (127,134) | — | — | — | — | (127,134) | |||||
Swap Contracts | — | — | 10,911 | — | — | 10,911 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Commonwealth Bank of Australia | $(274) | $— | $— | $(274) | ||||
$(274) | $— | $— | $(274) |
Annual Rate | |
SPDR SSGA Multi-Asset Real Return ETF | 0.50 *% |
SPDR SSGA Income Allocation ETF | 0.50 * |
SPDR SSGA Global Allocation ETF | 0.35 * |
SPDR SSGA Ultra Short Term Bond ETF | 0.20 |
SPDR Loomis Sayles Opportunistic Bond ETF | 0.55 |
Annual Rate | |
SPDR Nuveen Municipal Bond ETF | 0.40% |
SPDR Nuveen Municipal Bond ESG ETF | 0.43 |
SPDR SSGA Fixed Income Sector Rotation ETF | 0.50 * |
SPDR SSGA US Sector Rotation ETF | 0.70 * |
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.65 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.45 |
SPDR DoubleLine Total Return Tactical ETF | 0.55 |
* | The Advisory fees are reduced for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF by the acquired fund fees and expenses and for the period ended December 31, 2022, the net annualized advisory fees were 0.09%, 0.05%, 0.10%, 0.36% and 0.58% respectively. |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ — | $ — | $ 87,319,752 | $ 90,646,363 | |||
SPDR SSGA Income Allocation ETF | — | — | 55,616,033 | 51,898,904 | |||
SPDR SSGA Global Allocation ETF | — | — | 161,136,471 | 161,674,853 | |||
SPDR SSGA Ultra Short Term Bond ETF | — | — | 74,045,477 | 54,823,256 | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 830,909 | 1,656,915 | 20,511,684 | 16,919,391 | |||
SPDR Nuveen Municipal Bond ETF | — | — | 14,899,126 | 10,312,876 | |||
SPDR Nuveen Municipal Bond ESG ETF | — | — | 9,900,482 | 7,390,559 | |||
SPDR SSGA Fixed Income Sector Rotation ETF | — | — | 75,040,806 | 75,158,672 | |||
SPDR SSGA US Sector Rotation ETF | — | — | 146,608,289 | 147,794,822 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | — | — | 10,379,455 | 15,769,281 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 13,915,820 | 2,098,361 | 5,549,776 | 13,484,999 | |||
SPDR DoubleLine Total Return Tactical ETF | 1,213,695,200 | 896,431,130 | 50,610,738 | 175,901,399 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $220,099,587 | $47,823,906 | $3,901,158 | ||
SPDR SSGA Income Allocation ETF | 16,180,347 | 20,861,161 | (412,915) | ||
SPDR SSGA Global Allocation ETF | 21,904,973 | 21,478,839 | 2,087,157 | ||
SPDR SSGA Fixed Income Sector Rotation ETF | 59,960,818 | 27,933,800 | (668,542) | ||
SPDR SSGA US Sector Rotation ETF | 37,814,398 | 20,836,288 | 2,024,597 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 702,408,454 | $7,083,888 | $ 32,170,912 | $ (25,087,024) | |||
SPDR SSGA Income Allocation ETF | 103,150,802 | 226,948 | 9,930,093 | (9,703,145) | |||
SPDR SSGA Global Allocation ETF | 275,988,474 | 6,670,831 | 5,919,116 | 751,715 | |||
SPDR SSGA Ultra Short Term Bond ETF | 417,779,620 | 193,664 | 5,442,615 | (5,248,951) | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 33,645,792 | 273,723 | 2,453,633 | (2,179,910) | |||
SPDR Nuveen Municipal Bond ETF | 41,452,274 | 10,015 | 3,004,503 | (2,994,488) | |||
SPDR Nuveen Municipal Bond ESG ETF | 34,458,512 | 100,618 | 649,923 | (549,305) | |||
SPDR SSGA Fixed Income Sector Rotation ETF | 177,792,489 | 118,224 | 9,671,393 | (9,553,169) | |||
SPDR SSGA US Sector Rotation ETF | 287,454,440 | 3,520,950 | 6,989,271 | (3,468,321) | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 80,261,569 | 172,410 | 14,070,565 | (13,898,155) | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 132,489,619 | 115,646 | 6,926,695 | (6,811,049) | |||
SPDR DoubleLine Total Return Tactical ETF | 2,615,396,218 | 2,150,022 | 303,567,977 | (301,417,955) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 44,497,363 | $ 45,511,787 | $ 134,250 | $ 45,646,037 | ||||
SPDR SSGA Income Allocation ETF | 10,843,490 | 6,784,842 | 4,368,875 | 11,153,717 | ||||
SPDR SSGA Global Allocation ETF | 45,846,754 | 45,214,621 | 2,011,450 | 47,226,071 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 27,447,700 | 25,608,951 | 2,787,750 | 28,396,701 | ||||
SPDR SSGA US Sector Rotation ETF | 72,479,637 | 58,900,996 | 15,402,475 | 74,303,471 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR SSGA Multi-Asset Real Return ETF | Mutual Funds and Exchange Traded Products | $ 45,511,787 | $— | $— | $— | $ 45,511,787 | $ 45,511,787 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 6,784,842 | — | — | — | 6,784,842 | 6,784,842 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 45,214,621 | — | — | — | 45,214,621 | 45,214,621 | |||||||
SPDR SSGA Fixed Income Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 25,608,951 | — | — | — | 25,608,951 | 25,608,951 | |||||||
SPDR SSGA US Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 58,900,996 | — | — | — | 58,900,996 | 58,900,996 |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR SSGA Multi-Asset Real Return ETF | 0.10% | $1,025.50 | $0.51 | $1,024.70 | $0.51 | ||||
SPDR SSGA Income Allocation ETF | 0.06 | 988.40 | 0.30 | 1,024.90 | 0.31 | ||||
SPDR SSGA Global Allocation ETF | 0.11 | 1,010.30 | 0.56 | 1,024.70 | 0.56 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.21 | 1,018.10 | 1.07 | 1,024.10 | 1.07 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 0.53 | 1,001.10 | 2.67 | 1,022.50 | 2.70 | ||||
SPDR Nuveen Municipal Bond ETF | 0.41 | 1,000.70 | 2.07 | 1,023.10 | 2.09 | ||||
SPDR Nuveen Municipal Bond ESG ETF | 0.44 | 1,006.20 | 2.22 | 1,023.00 | 2.24 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 0.37 | 956.40 | 1.82 | 1,023.30 | 1.89 | ||||
SPDR SSGA US Sector Rotation ETF | 0.58 | 1,034.90 | 2.97 | 1,022.30 | 2.96 | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.66 | 1,001.00 | 3.33 | 1,021.90 | 3.36 | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.46 | 1,005.50 | 2.33 | 1,022.90 | 2.35 | ||||
SPDR DoubleLine Total Return Tactical ETF | 0.56 | 974.20 | 2.79 | 1,022.40 | 2.85 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Trustee Nominee Name | Shares For | Shares Withheld |
Clare S. Richer | 458,963,922.211 | 3,805,311.071 |
Sandra G. Sponem | 458,912,867.553 | 3,856,365.729 |
Kristi L. Rowsell | 459,030,936.405 | 3,738,296.877 |
Gunjan Chauhan | 458,827,846.171 | 3,941,387.111 |
Carolyn M. Clancy | 459,042,164.143 | 3,727,069.139 |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
One Iron Street
Boston, MA 02210
SPDR Blackstone High Income ETF |
SPDR Blackstone Senior Loan ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-064060/g422341img7d7931d71.jpg)
Description | % of Net Assets | ||
Point Au Roche Park CLO Ltd. 10.34% 7/20/2034 | 1.0% | ||
Mineral Resources, Ltd. 8.50% 5/1/2030 | 0.7 | ||
Intesa Sanpaolo SpA 5.71% 1/15/2026 | 0.7 | ||
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan 11.13% 9/6/2026 | 0.7 | ||
Sunoco L.P./Sunoco Finance Corp. 4.50% 5/15/2029 | 0.6 | ||
TOTAL | 3.7% |
% of Net Assets | |||
Software | 7.0% | ||
Oil, Gas & Consumable Fuels | 6.9 | ||
Diversified Financial Services | 4.8 | ||
Media | 4.7 | ||
Hotels, Restaurants & Leisure | 3.8 | ||
Insurance | 3.3 | ||
Entertainment | 3.1 | ||
Retail-Restaurants | 3.1 | ||
Other ABS | 3.0 | ||
Commercial Services | 2.8 | ||
Commercial Services & Supplies | 2.7 | ||
Health Care Providers & Services | 2.6 | ||
Specialty Retail | 2.6 | ||
Real Estate Investment Trusts (REITs) | 2.3 | ||
Aerospace & Defense | 2.2 | ||
Chemicals | 1.9 | ||
Pipelines | 1.9 | ||
Diversified Telecommunication Services | 1.8 | ||
Leisure Industry | 1.8 | ||
Construction & Engineering | 1.6 | ||
Food & Staples Retailing | 1.5 | ||
Home Furnishings | 1.5 | ||
Pharmaceuticals | 1.3 | ||
Metals & Mining | 1.3 | ||
IT Services | 1.2 | ||
Containers & Packaging | 1.2 | ||
Transport-Services | 1.0 | ||
Metal-Iron | 1.0 | ||
Electronic Equipment, Instruments & Components | 0.8 | ||
Construction Materials | 0.8 | ||
Airlines | 0.8 | ||
Miscellaneous Manufactur | 0.8 | ||
Capital Markets | 0.8 | ||
Electric Utilities | 0.8 | ||
Steel-Producers | 0.7 | ||
Advertising Services | 0.7 | ||
Household Products | 0.7 | ||
Commercial Banks | 0.7 | ||
Paper & Forest Products | 0.7 | ||
Independent Power Producers & Energy Traders | 0.6 | ||
Auto Components | 0.6 | ||
Computer Services | 0.6 | ||
Automobiles | 0.6 | ||
Telecom Services | 0.5 | ||
Professional Services | 0.5 | ||
Communications Equipment | 0.5 | ||
Air Freight & Logistics | 0.5 | ||
Machinery | 0.5 | ||
Building Products | 0.5 | ||
Food Products | 0.5 | ||
Life Sciences Tools & Services | 0.5 | ||
Health Care Equipment & Supplies | 0.4 | ||
Cosmetics & Toiletries | 0.4 | ||
Computers | 0.4 | ||
Distribution/Wholesale | 0.4 |
% of Net Assets | |||
Financial Services | 0.4% | ||
Energy-Alternate Sources | 0.4 | ||
Office Automation&Equip | 0.4 | ||
Electronic Compo-Misc | 0.4 | ||
Electrical Equipment | 0.3 | ||
Road & Rail | 0.3 | ||
Consumer Finance | 0.3 | ||
Telecommunication Equip | 0.3 | ||
Retail-Building Products | 0.3 | ||
Machinery-Construction & Mining | 0.3 | ||
Beverages | 0.3 | ||
Textiles, Apparel & Luxury Goods | 0.3 | ||
Investment Companies | 0.3 | ||
Semiconductors & Semiconductor Equipment | 0.3 | ||
Casino Services | 0.3 | ||
Television | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Food-Misc/Diversified | 0.2 | ||
Internet Security | 0.2 | ||
Distributors | 0.2 | ||
Leisure&Rec/Games | 0.2 | ||
Environ Monitoring&Det | 0.2 | ||
Real Estate | 0.2 | ||
MRI/Medical Diag Imaging | 0.1 | ||
Transport-Air Freight | 0.1 | ||
Food & Beverage | 0.1 | ||
Internet & Telecom | 0.1 | ||
Forestry | 0.1 | ||
Energy Equipment & Services | 0.1 | ||
Cable/Satellite TV | 0.1 | ||
Finance-Credit Card | 0.1 | ||
Personal Products | 0.1 | ||
Thrifts & Mortgage Finance | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gaming & Entertainment | 0.1 | ||
Office Furnishings-Orig | 0.1 | ||
Medical Labs&Testing Srv | 0.0 * | ||
Coal | 0.0 * | ||
Short-Term Investment | 8.2 | ||
Liabilities in Excess of Other Assets | (6.2) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4 5.82% 11/19/2026 | 2.2% | ||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B 7.13% 12/23/2024 | 1.7 | ||
Peraton Corp. Senior Secured Term Loan B 8.13% 2/1/2028 | 1.7 | ||
Medline Borrower LP Senior Secured USD Term Loan B 7.63% 10/23/2028 | 1.5 | ||
Berry Global, Inc. Senior Secured 2021 Term Loan Z 6.02% 7/1/2026 | 1.5 | ||
TOTAL | 8.6% |
% of Net Assets | |||
Software | 12.3% | ||
Hotels, Restaurants & Leisure | 7.3 | ||
Media | 6.6 | ||
Health Care Providers & Services | 5.9 | ||
Diversified Financial Services | 5.9 | ||
Insurance | 4.3 | ||
Retail-Restaurants | 3.7 | ||
Specialty Retail | 2.8 | ||
Entertainment | 2.4 | ||
Oil, Gas & Consumable Fuels | 2.4 | ||
Commercial Services & Supplies | 2.2 | ||
Health Care Equipment & Supplies | 1.9 | ||
Pharmaceuticals | 1.8 | ||
Commercial Services | 1.8 | ||
Airlines | 1.7 | ||
Diversified Telecommunication Services | 1.6 | ||
Aerospace & Defense | 1.6 | ||
Containers & Packaging | 1.6 | ||
Casino Services | 1.5 | ||
Independent Power Producers & Energy Traders | 1.4 | ||
Telecom Services | 1.2 | ||
Professional Services | 1.2 | ||
Road & Rail | 1.2 | ||
IT Services | 1.2 | ||
Machinery-Construction & Mining | 1.1 | ||
Chemicals | 1.0 | ||
Capital Markets | 0.9 | ||
MRI/Medical Diag Imaging | 0.8 | ||
Building Products | 0.8 | ||
Cosmetics & Toiletries | 0.8 | ||
Communications Equipment | 0.7 | ||
Retail-Building Products | 0.7 | ||
Food Products | 0.7 | ||
Computers | 0.7 | ||
Transport-Services | 0.6 | ||
Beverages | 0.6 | ||
Life Sciences Tools & Services | 0.6 | ||
Distributors | 0.6 | ||
Auto Components | 0.5 | ||
Pipelines | 0.5 | ||
Household Products | 0.4 | ||
Semiconductors & Semiconductor Equipment | 0.4 | ||
Electronic Equipment, Instruments & Components | 0.4 | ||
Real Estate Investment Trusts (REITs) | 0.4 | ||
Construction Materials | 0.2 | ||
Food-Misc/Diversified | 0.2 | ||
Air Freight & Logistics | 0.2 | ||
Industrial Conglomerates | 0.2 | ||
Leisure Industry | 0.2 | ||
Investment Companies | 0.2 | ||
Internet & Telecom | 0.2 | ||
Automobiles | 0.2 | ||
Metals & Mining | 0.2 | ||
Metal-Iron | 0.2 | ||
Food & Staples Retailing | 0.1 |
% of Net Assets | |||
Construction & Engineering | 0.1% | ||
Textiles, Apparel & Luxury Goods | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Distribution/Wholesale | 0.1 | ||
Advertising Services | 0.1 | ||
Home Furnishings | 0.1 | ||
Leisure&Rec/Games | 0.1 | ||
Internet Security | 0.1 | ||
Commercial Banks | 0.1 | ||
Auto/Trk Prts&Equip-Orig | 0.1 | ||
Energy-Alternate Sources | 0.1 | ||
Electric Utilities | 0.1 | ||
Computer Services | 0.1 | ||
Paper & Forest Products | 0.1 | ||
Office Automation&Equip | 0.1 | ||
Steel-Producers | 0.0 * | ||
Telecommunication Equip | 0.0 * | ||
Machinery | 0.0 * | ||
Miscellaneous Manufactur | 0.0 * | ||
Leisure Equipment & Products | 0.0 * | ||
Interactive Media & Services | 0.0 * | ||
Medical Labs&Testing Srv | 0.0 * | ||
Gaming & Entertainment | 0.0 * | ||
Real Estate | 0.0 * | ||
Environ Monitoring&Det | 0.0 * | ||
Short-Term Investment | 5.9 | ||
U.S. Treasury Obligations | 2.5 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 50.1% (a) | |||||
ADVERTISING SERVICES — 0.5% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/15/2025 (b) | $ 353,137 | $ 340,961 | |||
CMG Media Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026 (b) | 112,658 | 105,797 | |||
Lamar Media Corp. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.50%, 5.86%, 2/5/2027 (b) | 119,339 | 116,356 | |||
563,114 | |||||
AEROSPACE & DEFENSE — 0.6% | |||||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026 (b) | 28,547 | 27,285 | |||
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026 (b) | 53,098 | 50,750 | |||
TransDigm, Inc.: | |||||
Senior Secured 2020 Term Loan E, 3 Month USD LIBOR + 2.25%, 6.98%, 5/30/2025 (b) | 308,932 | 306,159 | |||
Senior Secured 2020 Term Loan F, 3 Month USD LIBOR + 2.25%, 6.98%, 12/9/2025 (b) | 296,939 | 293,895 | |||
678,089 | |||||
AIR FREIGHT & LOGISTICS — 0.4% | |||||
Kenan Advantage Group, Inc. Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 11.63%, 9/1/2027 (b) | 87,127 | 80,883 | |||
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028 (b) | 61,710 | 56,675 |
Security Description | Principal Amount | Value | |||
XPO Logistics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 5.93%, 2/24/2025 (b) | $ 340,594 | $ 339,502 | |||
477,060 | |||||
AIRLINES — 0.7% | |||||
American Airlines, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 6/27/2025 (b) | 286,174 | 275,846 | |||
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028 (b) | 512,460 | 507,443 | |||
783,289 | |||||
AUTO COMPONENTS — 0.5% | |||||
Belron Finance U.S. LLC Senior Secured 2019 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 6.69%, 10/30/2026 (b) | 123,193 | 122,988 | |||
Clarios Global LP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/30/2026 (b) | 288,720 | 283,909 | |||
USI, Inc. Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029 (b) | 149,625 | 148,503 | |||
555,400 | |||||
BEVERAGES — 0.2% | |||||
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028 (b) | 191,163 | 178,427 | |||
BUILDING PRODUCTS — 0.4% | |||||
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 4/12/2028 (b) | 112,641 | 101,598 | |||
Standard Industries, Inc. Senior Secured 2021 Term Loan B, 6.68%, 9/22/2028 (b) | 146,407 | 144,813 | |||
Summit Materials LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.61%, 12/14/2027 (b) | 200,000 | 200,125 | |||
446,536 |
Security Description | Principal Amount | Value | |||
CABLE/SATELLITE TV — 0.1% | |||||
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.39%, 5/3/2028 (b) | $ 123,056 | $ 120,548 | |||
CAPITAL MARKETS — 0.8% | |||||
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.82%, 6/30/2028 (b) | 314,574 | 309,266 | |||
LPL Holdings, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 5.87%, 11/12/2026 (b) | 340,380 | 339,103 | |||
Victory Capital Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.25%, 6.60%, 7/1/2026 (b) | 305,454 | 303,783 | |||
952,152 | |||||
CASINO SERVICES — 0.3% | |||||
Stars Group Holdings B.V. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.09%, 7/22/2028 (b) | 399,000 | 397,837 | |||
CHEMICALS — 0.7% | |||||
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B, 12/20/2029 (b) | 250,000 | 250,562 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026 (b) | 140,290 | 139,304 | |||
PQ Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 6.91%, 6/9/2028 (b) | 126,402 | 124,743 | |||
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 10/1/2025 (b) | 345,384 | 341,326 | |||
855,935 | |||||
COMMERCIAL SERVICES — 1.2% | |||||
AEA International Holdings (Lux) S.a.r.l. Senior Secured Term Loan B, COR, 8.14%, 9/7/2028 (b) | 290,800 | 288,619 |
Security Description | Principal Amount | Value | |||
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028 (b) | $ 121,705 | $ 115,863 | |||
Corporation Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.67%, 11/2/2029 (b) | 500,000 | 495,625 | |||
Galaxy U.S. Opco, Inc. Senior Secured Term Loan, 1 Month USD SOFR + 4.75%, 9.07%, 4/29/2029 (b) | 58,708 | 53,278 | |||
Sabre GLBL Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 8.67%, 6/30/2028 (b) | 47,622 | 43,723 | |||
Vaco Holdings LLC Senior Secured 2022 Term Loan, 3 Month USD SOFR + 5.00%, 9.73%, 1/21/2029 (b) | 413,104 | 399,850 | |||
1,396,958 | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.5% | |||||
Aramark Services, Inc.: | |||||
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 3/11/2025 (b) | 149,836 | 149,344 | |||
Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 1/15/2027 (b) | 125,532 | 123,790 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.88%, 4/6/2028 (b) | 355,896 | 352,203 | |||
Asurion LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028 (b) | 108,911 | 85,585 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029 (b) | 445,120 | 348,625 | |||
Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 7.63%, 7/31/2027 (b) | 229,315 | 201,368 | |||
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 1.00%, 2/9/2026 (b) | 199,449 | 197,117 |
Security Description | Principal Amount | Value | |||
Clean Harbors, Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 10/8/2028 (b) | $ 323,182 | $ 322,329 | |||
Covanta Holding Corp.: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 6.82%, 11/30/2028 (b) | 132,465 | 131,685 | |||
Senior Secured 2021 Term Loan C, 1 Month USD LIBOR + 2.50%, 6.57%, 11/30/2028 (b) | 9,997 | 9,939 | |||
Garda World Security Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026 (b) | 305,848 | 298,355 | |||
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028 (b) | 247,044 | 233,225 | |||
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 8.23%, 11/30/2027 (b) | 189,105 | 179,819 | |||
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026 (b) | 331,125 | 328,641 | |||
2,962,025 | |||||
COMMUNICATIONS EQUIPMENT — 0.5% | |||||
Ciena Corp. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 9/26/2025 (b) | 287,336 | 286,618 | |||
Cogeco Financing 2 LP Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 9/1/2028 (b) | 127,599 | 124,329 | |||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026 (b) | 221,326 | 209,209 | |||
620,156 |
Security Description | Principal Amount | Value | |||
COMPUTER SERVICES — 0.4% | |||||
Maximus, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.00%, 6.42%, 5/28/2028 (b) | $ 110,970 | $ 110,323 | |||
Tempo Acquisition LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 8/31/2028 (b) | 359,169 | 358,630 | |||
468,953 | |||||
COMPUTERS — 0.4% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 9.17%, 7/27/2028 (b) | 540,026 | 464,930 | |||
CONSTRUCTION & ENGINEERING — 1.0% | |||||
AECOM Senior Secured 2021 Term Loan B, 6.07%, 4/13/2028 (b) | 313,354 | 313,433 | |||
Brown Group Holding LLC: | |||||
Senior Secured 2022 Incremental Term Loan B2, 1.00%, 7/2/2029 (b) | 154,681 | 154,427 | |||
Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 6/7/2028 (b) | 338,373 | 332,781 | |||
KKR Apple Bidco LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 9/23/2028 (b) | 199,187 | 196,775 | |||
Pike Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.39%, 1/21/2028 (b) | 184,204 | 181,973 | |||
1,179,389 | |||||
CONSTRUCTION MATERIALS — 0.4% | |||||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.01%, 2/1/2027 (b) | 424,951 | 421,001 | |||
CONSUMER FINANCE — 0.3% | |||||
Amentum Government Services Holdings LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 1/29/2027 (b) | 353,179 | 346,262 |
Security Description | Principal Amount | Value | |||
CONTAINERS & PACKAGING — 0.6% | |||||
Berlin Packaging LLC Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 3.75%, 7.88%, 3/11/2028 (b) | $ 61,241 | $ 59,064 | |||
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.02%, 7/1/2026 (b) | 393,114 | 390,702 | |||
Charter NEX U.S., Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/1/2027 (b) | 189,700 | 184,617 | |||
Graham Packaging Company, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 8/4/2027 (b) | 51,032 | 50,238 | |||
684,621 | |||||
COSMETICS & TOILETRIES — 0.1% | |||||
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75%, 8.48%, 10/1/2026 (b) | 108,034 | 103,728 | |||
DISTRIBUTION/WHOLESALE — 0.4% | |||||
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028 (b) | 304,872 | 303,159 | |||
Univar Solutions USA, Inc. Senior Secured Term Loan B6, 1 Month USD LIBOR + 1.75%, 6.13%, 6/3/2028 (b) | 128,181 | 127,900 | |||
431,059 | |||||
DISTRIBUTORS — 0.2% | |||||
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028 (b) | 213,649 | 196,557 | |||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Ascend Learning LLC Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75%, 10.13%, 12/10/2029 (b) | 157,414 | 136,228 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 2.0% | |||||
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/4/2028 (b) | $ 178,217 | $ 177,023 | |||
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 6.94%, 2/2/2028 (b) | 402,326 | 395,688 | |||
Clipper Acquisitions Corp. Senior Secured 2017 Term Loan B, Finance, 6.48%, 3/3/2028 (b) | 286,381 | 283,396 | |||
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029 (b) | 221,357 | 211,369 | |||
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027 (b) | 103,389 | 96,814 | |||
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027 (b) | 477,937 | 466,338 | |||
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028 (b) | 159,762 | 159,283 | |||
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026 (b) | 296,515 | 292,835 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.14%, 5/18/2025 (b) | 276,901 | 271,640 | |||
2,354,386 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.8% | |||||
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027 (b) | 247,302 | 235,312 | |||
Intelsat Jackson Holdings SA Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029 (b) | 381,436 | 369,039 |
Security Description | Principal Amount | Value | |||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027 (b) | $ 175,501 | $ 168,622 | |||
Numericable Group SA Senior Secured USD Term Loan B11, 3 Month USD LIBOR + 2.75%, 7.16%, 7/31/2025 (b) | 202,750 | 192,993 | |||
965,966 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
Generac Power Systems, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 5.97%, 12/13/2026 (b) | 114,546 | 112,165 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.8% | |||||
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.13%, 7/2/2029 (b) | 407,152 | 403,895 | |||
Ingram Micro, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.22%, 6/30/2028 (b) | 339,251 | 335,010 | |||
MX Holdings U.S., Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 2.75%, 7/31/2025 (b) | 116,109 | 116,158 | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 6.62%, 9/28/2024 (b) | 111,486 | 111,718 | |||
966,781 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
WIN Waste Innovations Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR, 1.00%, 3/24/2028 (b) | 151,342 | 145,194 | |||
ENERGY-ALTERNATE SOURCES — 0.1% | |||||
TerraForm Power Operating LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.41%, 5/21/2029 (b) | 113,589 | 112,933 |
Security Description | Principal Amount | Value | |||
ENTERTAINMENT — 1.9% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026 (b) | $ 97,845 | $ 53,499 | |||
AP Gaming I LLC Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/15/2029 (b) | 167,326 | 158,960 | |||
Crown Finance U.S., Inc. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.00%, 2/28/2025 (b) (c) | 95,314 | 18,013 | |||
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029 (b) | 353,227 | 336,539 | |||
Formula One Holdings Ltd. Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030 (b) | 250,000 | 250,187 | |||
GVC Holdings (Gibraltar) Ltd.: | |||||
Senior Secured 2021 USD Term Loan B4, 3 Month USD LIBOR + 2.50%, 7.23%, 3/29/2027 (b) | 81,341 | 80,871 | |||
Senior Secured 2022 Term Loan B, 10/31/2029 (b) | 279,536 | 278,663 | |||
Live Nation Entertainment, Inc. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 10/17/2026 (b) | 124,167 | 121,683 | |||
Motion Finco SARL Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026 (b) | 25,086 | 23,991 | |||
NASCAR Holdings, Inc Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026 (b) | 287,393 | 287,101 | |||
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.50%, 6.91%, 1/23/2025 (b) | 140,261 | 136,989 | |||
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.11%, 4/29/2026 (b) | 325,025 | 321,369 | |||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028 (b) | 134,203 | 132,861 | |||
2,200,726 |
Security Description | Principal Amount | Value | |||
FINANCE-CREDIT CARD — 0.1% | |||||
Paysafe Holdings (US) Corp. Senior Secured USD Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 6/28/2028 (b) | $ 76,820 | $ 73,475 | |||
FINANCIAL SERVICES — 0.4% | |||||
Belron Finance U.S. LLC Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 7.06%, 4/13/2028 (b) | 303,531 | 301,397 | |||
CE Intermediate I LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.59%, 11/10/2028 (b) | 190,291 | 181,728 | |||
483,125 | |||||
FOOD & BEVERAGE — 0.1% | |||||
Caesars Resort Collection LLC Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 7/21/2025 (b) | 151,406 | 151,225 | |||
FOOD & STAPLES RETAILING — 0.4% | |||||
Hostess Brands LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.25%, 6.66%, 8/3/2025 (b) | 119,383 | 119,202 | |||
U.S. Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 9/13/2026 (b) | 361,010 | 358,146 | |||
477,348 | |||||
FOOD PRODUCTS — 0.3% | |||||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028 (b) | 322,494 | 318,866 | |||
FOOD-MISC/DIVERSIFIED — 0.2% | |||||
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 5/12/2028 (b) | 189,927 | 180,159 | |||
FORESTRY — 0.1% | |||||
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 9/7/2027 (b) | 158,416 | 158,349 |
Security Description | Principal Amount | Value | |||
GAMING & ENTERTAINMENT — 0.1% | |||||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 6.88%, 5/29/2026 (b) | $ 130,998 | $ 130,453 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.4% | |||||
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027 (b) | 127,976 | 122,078 | |||
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027 (b) | 378,103 | 355,889 | |||
477,967 | |||||
HEALTH CARE PROVIDERS & SERVICES — 1.1% | |||||
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6/28/2024 (b) | 171,084 | 167,805 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028 (b) | 146,433 | 146,473 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | 201,747 | 201,394 | |||
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028 (b) | 212,534 | 202,354 | |||
National Mentor Holdings, Inc.: | |||||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.33%, 3/2/2028 (b) | 92,199 | 64,949 | |||
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75%, 8.48%, 3/2/2028 (b) | 2,631 | 1,854 | |||
Pediatric Associates Holding Company LLC: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028 (b) | 148,728 | 141,601 | |||
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028 (b) | 22,620 | 9,841 |
Security Description | Principal Amount | Value | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | $ 50,265 | $ 50,178 | |||
Vizient, Inc. Senior Secured 2022 Term Loan B, 1 Month SOFR CME + 2.25%, 6.67%, 4/28/2029 (b) | 116,342 | 116,371 | |||
WP CityMD Bidco LLC Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/22/2028 (b) | 214,810 | 214,634 | |||
1,317,454 | |||||
HOME FURNISHINGS — 0.2% | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028 (b) | 73,454 | 69,368 | |||
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028 (b) | 9,794 | 9,247 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028 (b) | 166,090 | 156,817 | |||
235,432 | |||||
HOTELS, RESTAURANTS & LEISURE — 2.4% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 5.82%, 11/19/2026 (b) | 296,939 | 292,404 | |||
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028 (b) | 314,580 | 311,534 | |||
Aristocrat Technologies, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 6.93%, 5/24/2029 (b) | 124,904 | 124,904 | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024 (b) | 319,386 | 319,080 | |||
Marriott Ownership Resorts, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/29/2025 (b) | 123,151 | 122,166 |
Security Description | Principal Amount | Value | |||
Motion Finco SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026 (b) | $ 175,965 | $ 168,285 | |||
Penn National Gaming, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029 (b) | 386,839 | 383,641 | |||
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028 (b) | 539,834 | 528,139 | |||
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029 (b) | 309,852 | 306,422 | |||
Twin River Worldwide Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.54%, 10/2/2028 (b) | 160,116 | 148,587 | |||
Wyndham Hotels & Resorts, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025 (b) | 133,229 | 133,262 | |||
2,838,424 | |||||
HOUSEHOLD PRODUCTS — 0.4% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 5.50%, 10.23%, 12/19/2025 (b) | 140,876 | 139,820 | |||
Energizer Holdings, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.00%, 6.63%, 12/22/2027 (b) | 135,226 | 133,028 | |||
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027 (b) | 162,288 | 161,236 | |||
434,084 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.6% | |||||
Calpine Corp.: | |||||
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.89%, 12/16/2027 (b) | 26,042 | 25,826 | |||
Senior Secured Term Loan B9, 1 Month USD LIBOR + 2.25%, 6.39%, 4/5/2026 (b) | 339,540 | 335,827 |
Security Description | Principal Amount | Value | |||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025 (b) | $ 319,813 | $ 317,506 | |||
679,159 | |||||
INSURANCE — 3.1% | |||||
Acrisure LLC Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027 (b) | 571,462 | 554,556 | |||
Alliant Holdings Intermediate LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027 (b) | 494,987 | 484,469 | |||
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028 (b) | 320,083 | 314,806 | |||
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027 (b) | 369,720 | 359,939 | |||
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 1/27/2027 (b) | 206,927 | 201,065 | |||
Hub International Ltd. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.53%, 4/25/2025 (b) | 494,950 | 491,180 | |||
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.69%, 11/12/2027 (b) | 560,543 | 546,829 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 2/15/2027 (b) | 135,817 | 130,239 | |||
Ryan Specialty Group LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 7.32%, 9/1/2027 (b) | 146,624 | 145,953 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 9/3/2026 (b) | 358,669 | 352,714 | |||
3,581,750 |
Security Description | Principal Amount | Value | |||
INTERNET & TELECOM — 0.1% | |||||
Adevinta ASA Senior Secured USD Term Loan B, 6/26/2028 (b) | $ 115,358 | $ 114,377 | |||
INTERNET SECURITY — 0.2% | |||||
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25%, 10.98%, 8/31/2029 (b) | 240,040 | 231,739 | |||
INVESTMENT COMPANIES — 0.1% | |||||
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.75%, 7.42%, 5/17/2029 (b) | 138,692 | 137,687 | |||
IT SERVICES — 1.0% | |||||
Access CIG LLC Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 11.82%, 2/27/2026 (b) | 194,616 | 173,208 | |||
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 10/18/2027 (b) | 189,772 | 183,723 | |||
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028 (b) | 138,716 | 116,218 | |||
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028 (b) | 155,807 | 154,444 | |||
Presidio Holdings, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 1/22/2027 (b) | 167,271 | 164,920 | |||
Science Applications International Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.875%, 6.30%, 10/31/2025 (b) | 113,279 | 113,467 | |||
WEX, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 3/31/2028 (b) | 248,106 | 247,021 | |||
1,153,001 |
Security Description | Principal Amount | Value | |||
LEISURE INDUSTRY — 0.2% | |||||
Carnival Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028 (b) | $ 198,000 | $ 185,922 | |||
LEISURE&REC/GAMES — 0.2% | |||||
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029 (b) | 278,485 | 266,259 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.5% | |||||
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027 (b) | 238,467 | 237,722 | |||
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028 (b) | 325,631 | 314,325 | |||
552,047 | |||||
MACHINERY — 0.5% | |||||
Clark Equipment Co. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 7.18%, 4/20/2029 (b) | 125,316 | 123,749 | |||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027 (b) | 335,172 | 332,938 | |||
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028 (b) | 198,990 | 185,634 | |||
642,321 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.3% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 8/1/2025 (b) | 336,637 | 332,412 | |||
MEDIA — 3.9% | |||||
Charter Communications Operating LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027 (b) | 552,523 | 540,368 | |||
Cogeco Communications Finance (USA) LP Senior Secured Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 1/3/2025 (b) | 148,366 | 146,718 |
Security Description | Principal Amount | Value | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 2.25%, 6.57%, 7/17/2025 (b) | $ 297,638 | $ 282,310 | |||
Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.82%, 4/15/2027 (b) | 370,528 | 332,086 | |||
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.38%, 8/10/2027 (b) | 320,069 | 317,519 | |||
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.00%, 7.12%, 12/1/2028 (b) | 60,058 | 58,450 | |||
MH Sub I LLC: | |||||
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024 (b) | 378,233 | 368,372 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 6.25%, 10.65%, 2/23/2029 (b) | 194,343 | 174,059 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026 (b) | 136,843 | 135,971 | |||
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026 (b) | �� | 353,220 | 288,556 | ||
Telenet Financing USD LLC Senior Secured 2020 USD Term Loan AR, 1 Month USD LIBOR + 2.00%, 6.32%, 4/30/2028 (b) | 311,409 | 303,857 | |||
Univision Communications, Inc.: | |||||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 3/15/2026 (b) | 296,985 | 292,901 | |||
Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 1/31/2029 (b) | 154,579 | 150,474 | |||
UPC Broadband Holding BV Senior Secured 2020 USD Term Loan AT, 1 Month USD LIBOR + 2.25%, 6.57%, 4/30/2028 (b) | 322,531 | 315,475 |
Security Description | Principal Amount | Value | |||
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 6.87%, 7/30/2027 (b) | $ 339,742 | $ 327,773 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 6.82%, 1/31/2028 (b) | 164,749 | 162,292 | |||
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028 (b) | 322,531 | 315,250 | |||
4,512,431 | |||||
MEDICAL LABS&TESTING SRV (d) — 0.0% | |||||
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 11/1/2028 (b) | 61,242 | 59,719 | |||
MISCELLANEOUS MANUFACTUR — 0.7% | |||||
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 9/6/2026 (b) | 961,858 | 769,486 | |||
MRI/MEDICAL DIAG IMAGING — 0.1% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025 (b) | 124,671 | 124,321 | |||
OIL, GAS & CONSUMABLE FUELS — 0.9% | |||||
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 11/1/2026 (b) | 309,044 | 307,709 | |||
ITT Holdings LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 7/10/2028 (b) | 119,316 | 118,123 | |||
Oryx Midstream Services Permian Basin LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.92%, 10/5/2028 (b) | 350,923 | 347,331 | |||
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025 (b) | 325,587 | 323,552 | |||
1,096,715 |
Security Description | Principal Amount | Value | |||
PERSONAL PRODUCTS — 0.1% | |||||
Prestige Brands, Inc. Senior Secured 2021 Term Loan B5, 6.39%, 7/3/2028 (b) | $ 112,009 | $ 111,851 | |||
PHARMACEUTICALS — 1.2% | |||||
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028 (b) | 349,060 | 344,317 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027 (b) | 191,713 | 184,493 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027 (b) | 171,055 | 165,781 | |||
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028 (b) | 308,551 | 306,310 | |||
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028 (b) | 31,693 | 31,464 | |||
Padagis LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75%, 8.49%, 7/6/2028 (b) | 391,339 | 348,945 | |||
1,381,310 | |||||
PIPELINES — 0.5% | |||||
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028 (b) | 392,386 | 391,160 | |||
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 7.87%, 11/17/2028 (b) | 152,535 | 149,914 | |||
541,074 | |||||
PROFESSIONAL SERVICES — 0.5% | |||||
Anticimex International AB Senior Secured 2021 USD Term Loan B1, 3 Month USD LIBOR + 3.50%, 8.23%, 11/16/2028 (b) | 176,542 | 170,804 |
Security Description | Principal Amount | Value | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026 (b) | $ 385,135 | $ 382,281 | |||
553,085 | |||||
RETAIL-BUILDING PRODUCTS — 0.1% | |||||
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027 (b) | 107,658 | 93,814 | |||
Specialty Building Products Holdings LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 7.64%, 10/15/2028 (b) | 24,353 | 22,009 | |||
115,823 | |||||
RETAIL-RESTAURANTS — 0.9% | |||||
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/16/2025 (b) | 205,933 | 189,490 | |||
Hilton Domestic Operating Company, Inc Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.17%, 6/22/2026 (b) | �� | 328,092 | 327,457 | ||
IRB Holding Corp.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025 (b) | 203,314 | 201,821 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 12/15/2027 (b) | 297,727 | 289,391 | |||
1,008,159 | |||||
ROAD & RAIL — 0.3% | |||||
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 2.00%, 6.73%, 12/30/2026 (b) | 320,062 | 318,803 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.3% | |||||
Entegris, Inc. Senior Secured 2022 Term Loan B, 7/6/2029 (b) | 260,777 | 260,404 |
Security Description | Principal Amount | Value | |||
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 8/17/2029 (b) | $ 141,431 | $ 140,092 | |||
400,496 | |||||
SOFTWARE — 5.4% | |||||
Applied Systems, Inc. Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.08%, 9/18/2026 (b) | 125,000 | 124,594 | |||
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 8.66%, 5/8/2028 (b) | 171,250 | 160,975 | |||
Athenahealth, Inc.: | |||||
Senior Secured 2022 Delayed Draw Term Loan, 1 Month CME Term SOFR + 3.50%, 3.50%, 2/15/2029 (b) | 43,478 | 9,841 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 7.82%, 2/15/2029 (b) | 255,239 | 231,083 | |||
Banff Merger Sub, Inc. Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD LIBOR + 5.50%, 9.88%, 2/27/2026 (b) | 73,647 | 68,101 | |||
CCC Intelligent Solutions, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 9/21/2028 (b) | 144,802 | 143,933 | |||
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029 (b) | 400,000 | 397,068 | |||
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026 (b) | 123,577 | 111,432 | |||
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026 (b) | 250,235 | 242,281 | |||
EP Purchaser LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 11/6/2028 (b) | 146,122 | 144,844 | |||
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 7/30/2027 (b) | 93,311 | 89,807 |
Security Description | Principal Amount | Value | |||
EverCommerce, Inc. Senior Secured Term Loan B, 7.64%, 7/6/2028 (b) | $ 137,764 | $ 135,559 | |||
First Advantage Holdings LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 1/31/2027 (b) | 116,548 | 114,654 | |||
Flexera Software LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 3/3/2028 (b) | 188,466 | 181,340 | |||
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 8.19%, 11/19/2026 (b) | 97,714 | 88,358 | |||
Greeneden U.S. Holdings II LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027 (b) | 189,531 | 182,385 | |||
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/1/2024 (b) | 122,871 | 121,474 | |||
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 7.50%, 3/2/2028 (b) | 189,639 | 179,327 | |||
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028 (b) | 177,920 | 175,251 | |||
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028 (b) | 154,343 | 151,796 | |||
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029 (b) | 507,793 | 474,061 | |||
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 11/10/2028 (b) | 115,285 | 111,215 | |||
Mitchell International, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029 (b) | 77,379 | 64,660 | |||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 9/12/2029 (b) | 448,132 | 441,504 |
Security Description | Principal Amount | Value | |||
Open Text Corp. Senior Secured 2022 Term Loan B, 11/16/2029 (e) | $ 253,721 | $ 248,424 | |||
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028 (b) | 182,126 | 166,645 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.39%, 4/26/2024 (b) | 51,032 | 49,909 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/10/2028 (b) | 192,577 | 182,518 | |||
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028 (b) | 347,694 | 331,353 | |||
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 2/5/2027 (b) | 251,413 | 249,318 | |||
Sovos Compliance LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 8/11/2028 (b) | 219,563 | 202,821 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025 (b) | 427,910 | 421,412 | |||
Surf Holdings LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/5/2027 (b) | 94,896 | 92,252 | |||
Ultimate Software Group, Inc. Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027 (b) | 100,669 | 92,892 | |||
Vision Solutions, Inc. Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.36%, 4/24/2028 (b) | 128,023 | 106,355 | |||
6,289,442 | |||||
SPECIALTY RETAIL — 1.3% | |||||
Petco Health & Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 3/3/2028 (b) | 447,071 | 434,639 |
Security Description | Principal Amount | Value | |||
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028 (b) | $ 468,042 | $ 459,411 | |||
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 8/4/2028 (b) | 358,732 | 355,279 | |||
Whatabrands LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/3/2028 (b) | 309,068 | 299,409 | |||
1,548,738 | |||||
STEEL-PRODUCERS — 0.2% | |||||
Phoenix Services International LLC: | |||||
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023 (b) | 92,901 | 89,650 | |||
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023 (b) | 129,680 | 125,141 | |||
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025 (b) (c) | 643,368 | 69,564 | |||
284,355 | |||||
TELECOM SERVICES — 0.3% | |||||
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 4/11/2025 (b) | 314,500 | 313,846 | |||
TELECOMMUNICATION EQUIP — 0.3% | |||||
Coral-US Co-Borrower LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 7.32%, 10/15/2029 (b) | 305,848 | 297,285 | |||
Delta Topco, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.15%, 12/1/2027 (b) | 119,726 | 110,986 | |||
408,271 | |||||
TELEVISION — 0.2% | |||||
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1 Month USD LIBOR + 2.50%, 6.62%, 1/2/2026 (b) | 225,804 | 220,382 |
Security Description | Principal Amount | Value | |||
TEXTILES, APPAREL & LUXURY GOODS — 0.1% | |||||
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/15/2024 (b) | $ 172,643 | $ 166,881 | |||
THRIFTS & MORTGAGE FINANCE — 0.1% | |||||
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028 (b) | 117,955 | 115,891 | |||
TRADING COMPANIES & DISTRIBUTORS — 0.2% | |||||
Foundation Building Materials Holding Co. LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.66%, 1/31/2028 (b) | 201,939 | 191,690 | |||
TRANSPORT-AIR FREIGHT — 0.1% | |||||
Kestrel Bidco, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.35%, 12/11/2026 (b) | 78,436 | 71,952 | |||
TRANSPORT-SERVICES — 0.3% | |||||
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025 (b) | 236,398 | 223,840 | |||
Endure Digital, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028 (b) | 191,562 | 172,885 | |||
396,725 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $59,919,426) | 58,432,886 | ||||
ASSET-BACKED SECURITIES — 3.0% | |||||
OTHER ABS — 3.0% | |||||
Balboa Bay Loan Funding Ltd. Series 2022-1A, Class E, 3 Month SOFR + 7.93%, 11.89%, 4/20/2034 (b) (f) | 500,000 | 445,200 | |||
Carlyle U.S. CLO Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 6.25%, 10.49%, 7/20/2034 (b) (f) | 500,000 | 408,250 |
Security Description | Principal Amount | Value | |||
Goldentree Loan Management US CLO Ltd. Series 2022-12A, Class E, 3 Month SOFR + 7.25%, 11.21%, 4/20/2034 (b) (f) | $ 500,000 | $ 438,550 | |||
Point Au Roche Park CLO Ltd. Series 2021-1A, Class E, 3 Month USD LIBOR + 6.10%, 10.34%, 7/20/2034 (b) (f) | 1,480,000 | 1,203,832 | |||
Rad CLO, Ltd. Series 2021-15A, Class E, 3 Month USD LIBOR + 6.20%, 10.44%, 1/20/2034 (b) (f) | 652,349 | 543,537 | |||
RR, Ltd. Series 2022-20A, Class D, 3 Month SOFR + 7.25%, 11.11%, 7/15/2037 (b) (f) | 500,000 | 457,450 | |||
3,496,819 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,945,547) | 3,496,819 | ||||
CORPORATE BONDS & NOTES — 44.9% | |||||
ADVERTISING — 0.2% | |||||
Lamar Media Corp. 4.88%, 1/15/2029 | 200,000 | 184,836 | |||
AEROSPACE & DEFENSE — 1.6% | |||||
Bombardier, Inc.: | |||||
6.00%, 2/15/2028 (f) | 520,000 | 482,648 | |||
7.88%, 4/15/2027 (f) | 345,000 | 335,882 | |||
Howmet Aerospace, Inc.: | |||||
3.00%, 1/15/2029 | 282,000 | 238,341 | |||
5.95%, 2/1/2037 | 50,000 | 48,558 | |||
TransDigm, Inc.: | |||||
4.63%, 1/15/2029 | 340,000 | 298,751 | |||
4.88%, 5/1/2029 | 260,000 | 226,686 | |||
Triumph Group, Inc. 7.75%, 8/15/2025 | 300,000 | 255,495 | |||
1,886,361 | |||||
AIRLINES — 0.1% | |||||
American Airlines Group, Inc. 3.75%, 3/1/2025 (f) | 170,000 | 144,879 | |||
APPAREL — 0.2% | |||||
Crocs, Inc. 4.25%, 3/15/2029 (f) | 100,000 | 85,322 | |||
Kontoor Brands, Inc. 4.13%, 11/15/2029 (f) | 140,000 | 112,673 | |||
197,995 | |||||
AUTO MANUFACTURERS — 0.6% | |||||
Allison Transmission, Inc.: | |||||
3.75%, 1/30/2031 (f) | 220,000 | 181,007 | |||
4.75%, 10/1/2027 (f) | 120,000 | 111,431 |
Security Description | Principal Amount | Value | |||
5.88%, 6/1/2029 (f) | $ 79,000 | $ 74,177 | |||
Ford Motor Credit Co. LLC 2.90%, 2/10/2029 | 250,000 | 199,577 | |||
Wabash National Corp. 4.50%, 10/15/2028 (f) | 130,000 | 110,234 | |||
676,426 | |||||
AUTO PARTS & EQUIPMENT — 0.1% | |||||
Titan International, Inc. 7.00%, 4/30/2028 | 160,000 | 152,176 | |||
BANKS — 0.7% | |||||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (f) | 800,000 | 770,872 | |||
BEVERAGES — 0.1% | |||||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (f) | 200,000 | 172,728 | |||
BUILDING MATERIALS — 0.5% | |||||
Griffon Corp. 5.75%, 3/1/2028 | 200,000 | 182,896 | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (f) | 120,000 | 103,525 | |||
Masonite International Corp. 5.38%, 2/1/2028 (f) | 230,000 | 213,035 | |||
PGT Innovations, Inc. 4.38%, 10/1/2029 (f) | 150,000 | 125,646 | |||
625,102 | |||||
CHEMICALS — 1.6% | |||||
Ashland LLC 3.38%, 9/1/2031 (f) | 440,000 | 350,117 | |||
Chemours Co.: | |||||
4.63%, 11/15/2029 (f) | 494,000 | 405,085 | |||
5.75%, 11/15/2028 (f) | 100,000 | 89,792 | |||
HB Fuller Co. 4.25%, 10/15/2028 | 230,000 | 202,476 | |||
Ingevity Corp. 3.88%, 11/1/2028 (f) | 200,000 | 172,530 | |||
Nufarm Australia, Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030 (f) | 130,000 | 113,663 | |||
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (f) | 380,000 | 365,324 | |||
Valvoline, Inc. 3.63%, 6/15/2031 (f) | 200,000 | 164,048 | |||
1,863,035 | |||||
COAL — 0.2% | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (f) | 220,000 | 187,675 | |||
COMMERCIAL SERVICES — 1.8% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (f) | 135,000 | 123,737 | |||
ASGN, Inc. 4.63%, 5/15/2028 (f) | 100,000 | 91,530 |
Security Description | Principal Amount | Value | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027 (f) | $ 250,000 | $ 227,047 | |||
Gartner, Inc.: | |||||
3.63%, 6/15/2029 (f) | 460,000 | 403,231 | |||
3.75%, 10/1/2030 (f) | 100,000 | 86,706 | |||
Korn Ferry 4.63%, 12/15/2027 (f) | 100,000 | 91,776 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (f) | 315,000 | 287,630 | |||
Service Corp. International: | |||||
3.38%, 8/15/2030 | 310,000 | 254,811 | |||
4.00%, 5/15/2031 | 410,000 | 348,008 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (f) | 180,000 | 149,098 | |||
2,063,574 | |||||
COMPUTERS — 0.4% | |||||
Booz Allen Hamilton, Inc. 3.88%, 9/1/2028 (f) | 350,000 | 312,046 | |||
KBR, Inc. 4.75%, 9/30/2028 (f) | 90,000 | 78,780 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (f) | 150,000 | 139,416 | |||
530,242 | |||||
COSMETICS/PERSONAL CARE — 0.3% | |||||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (f) | 350,000 | 327,666 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.5% | |||||
Enova International, Inc. 8.50%, 9/15/2025 (f) | 150,000 | 138,611 | |||
LPL Holdings, Inc. 4.38%, 5/15/2031 (f) | 180,000 | 154,341 | |||
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (f) | 650,000 | 531,797 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 350,000 | 287,305 | |||
6.75%, 6/25/2025 | 150,000 | 144,192 | |||
6.75%, 6/15/2026 | 200,000 | 191,020 | |||
5.63%, 8/1/2033 | 190,000 | 136,623 | |||
OneMain Finance Corp.: | |||||
6.63%, 1/15/2028 | 180,000 | 165,967 | |||
6.88%, 3/15/2025 | 300,000 | 288,405 | |||
PennyMac Financial Services, Inc.: | |||||
5.38%, 10/15/2025 (f) | 200,000 | 181,208 | |||
5.75%, 9/15/2031 (f) | 270,000 | 218,716 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (f) | 180,000 | 160,724 |
Security Description | Principal Amount | Value | |||
PRA Group, Inc. 5.00%, 10/1/2029 (f) | $ 330,000 | $ 273,194 | |||
2,872,103 | |||||
ELECTRIC — 0.8% | |||||
DPL, Inc. 4.13%, 7/1/2025 | 511,000 | 482,123 | |||
PG&E Corp. 5.00%, 7/1/2028 | 200,000 | 183,014 | |||
Vistra Operations Co. LLC 4.38%, 5/1/2029 (f) | 250,000 | 215,703 | |||
880,840 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.4% | |||||
Energizer Holdings, Inc.: | |||||
4.38%, 3/31/2029 (f) | 260,000 | 221,008 | |||
6.50%, 12/31/2027 (f) | 250,000 | 238,460 | |||
459,468 | |||||
ELECTRONICS — 0.4% | |||||
Sensata Technologies B.V. 4.00%, 4/15/2029 (f) | 420,000 | 362,267 | |||
TTM Technologies, Inc. 4.00%, 3/1/2029 (f) | 170,000 | 145,952 | |||
508,219 | |||||
ENERGY-ALTERNATE SOURCES — 0.3% | |||||
Atlantica Sustainable Infrastructure PLC 4.13%, 6/15/2028 (f) | 140,000 | 124,386 | |||
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026 (f) | 200,000 | 188,652 | |||
313,038 | |||||
ENGINEERING & CONSTRUCTION — 0.3% | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (f) | 114,000 | 104,028 | |||
Fluor Corp. 4.25%, 9/15/2028 | 100,000 | 90,674 | |||
Tutor Perini Corp. 6.88%, 5/1/2025 (f) | 190,000 | 166,552 | |||
361,254 | |||||
ENTERTAINMENT — 1.0% | |||||
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (f) | 700,000 | 631,099 | |||
Cinemark USA, Inc. 5.88%, 3/15/2026 (f) | 300,000 | 249,579 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029 (f) | 320,000 | 274,429 | |||
1,155,107 |
Security Description | Principal Amount | Value | |||
ENVIRONMENTAL CONTROL — 0.2% | |||||
Stericycle, Inc. 3.88%, 1/15/2029 (f) | $ 264,000 | $ 230,461 | |||
FOOD — 1.3% | |||||
Lamb Weston Holdings, Inc.: | |||||
4.13%, 1/31/2030 (f) | 400,000 | 353,924 | |||
4.88%, 5/15/2028 (f) | 400,000 | 379,200 | |||
Post Holdings, Inc.: | |||||
4.50%, 9/15/2031 (f) | 100,000 | 84,466 | |||
5.50%, 12/15/2029 (f) | 290,000 | 262,734 | |||
5.63%, 1/15/2028 (f) | 470,000 | 444,221 | |||
1,524,545 | |||||
FOREST PRODUCTS & PAPER — 0.3% | |||||
Clearwater Paper Corp. 4.75%, 8/15/2028 (f) | 230,000 | 202,904 | |||
Mativ Holdings, Inc. 6.88%, 10/1/2026 (f) | 140,000 | 122,469 | |||
325,373 | |||||
GAS — 0.6% | |||||
AmeriGas Partners L.P./AmeriGas Finance Corp.: | |||||
5.50%, 5/20/2025 | 330,000 | 317,067 | |||
5.63%, 5/20/2024 | 150,000 | 146,346 | |||
5.75%, 5/20/2027 | 200,000 | 186,970 | |||
650,383 | |||||
HEALTH CARE PRODUCTS — 0.6% | |||||
Hologic, Inc. 3.25%, 2/15/2029 (f) | 818,000 | 706,425 | |||
HEALTH CARE SERVICES — 1.4% | |||||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (f) | 320,000 | 303,786 | |||
Charles River Laboratories International, Inc. 4.25%, 5/1/2028 (f) | 60,000 | 55,210 | |||
CHS/Community Health Systems, Inc.: | |||||
5.25%, 5/15/2030 (f) | 70,000 | 52,870 | |||
8.00%, 3/15/2026 (f) | 600,000 | 547,002 | |||
8.00%, 12/15/2027 (f) | 150,000 | 135,699 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 570,000 | 517,480 | |||
4.63%, 4/1/2031 | 85,000 | 72,991 | |||
1,685,038 | |||||
HOME BUILDERS — 1.3% | |||||
Beazer Homes USA, Inc. 5.88%, 10/15/2027 | 260,000 | 229,291 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (f) | 292,000 | 259,629 |
Security Description | Principal Amount | Value | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (f) | $ 90,000 | $ 81,151 | |||
KB Home 7.25%, 7/15/2030 | 100,000 | 97,114 | |||
LGI Homes, Inc. 4.00%, 7/15/2029 (f) | 100,000 | 77,173 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 200,000 | 177,660 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (f) | 300,000 | 254,595 | |||
Taylor Morrison Communities, Inc. 5.13%, 8/1/2030 (f) | 180,000 | 156,622 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 200,000 | 182,140 | |||
1,515,375 | |||||
HOME FURNISHINGS — 0.3% | |||||
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (f) | 480,000 | 403,027 | |||
HOUSEHOLD PRODUCTS & WARES — 0.3% | |||||
Central Garden & Pet Co.: | |||||
4.13%, 10/15/2030 | 200,000 | 164,584 | |||
4.13%, 4/30/2031 (f) | 190,000 | 157,432 | |||
322,016 | |||||
INSURANCE — 0.2% | |||||
MGIC Investment Corp. 5.25%, 8/15/2028 | 300,000 | 277,071 | |||
INTERNET — 0.2% | |||||
Gen Digital, Inc. 6.75%, 9/30/2027 (f) | 189,000 | 185,568 | |||
INVESTMENT COMPANY SECURITY — 0.5% | |||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
4.38%, 2/1/2029 | 280,000 | 238,067 | |||
5.25%, 5/15/2027 | 440,000 | 403,480 | |||
641,547 | |||||
IRON/STEEL — 1.5% | |||||
ATI, Inc.: | |||||
5.13%, 10/1/2031 | 100,000 | 87,741 | |||
5.88%, 12/1/2027 | 300,000 | 286,725 | |||
Carpenter Technology Corp.: | |||||
6.38%, 7/15/2028 | 120,000 | 114,330 | |||
7.63%, 3/15/2030 | 150,000 | 150,699 | |||
Commercial Metals Co. 3.88%, 2/15/2031 | 350,000 | 295,127 | |||
Mineral Resources, Ltd.: | |||||
8.13%, 5/1/2027 (f) | 40,000 | 40,681 | |||
8.50%, 5/1/2030 (f) | 790,000 | 807,902 | |||
1,783,205 |
Security Description | Principal Amount | Value | |||
LEISURE TIME — 1.8% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (f) | $ 100,000 | $ 71,349 | |||
7.63%, 3/1/2026 (f) | 560,000 | 447,261 | |||
Life Time, Inc. 8.00%, 4/15/2026 (f) | 200,000 | 179,688 | |||
NCL Corp., Ltd.: | |||||
5.88%, 3/15/2026 (f) | 340,000 | 267,600 | |||
7.75%, 2/15/2029 (f) | 270,000 | 203,189 | |||
Royal Caribbean Cruises, Ltd.: | |||||
4.25%, 7/1/2026 (f) | 100,000 | 80,969 | |||
5.50%, 8/31/2026 (f) | 270,000 | 227,162 | |||
11.63%, 8/15/2027 (f) | 470,000 | 472,491 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (f) | 210,000 | 154,690 | |||
2,104,399 | |||||
LODGING — 1.2% | |||||
Full House Resorts, Inc. 8.25%, 2/15/2028 (f) | 100,000 | 88,341 | |||
Hilton Domestic Operating Co., Inc.: | |||||
3.63%, 2/15/2032 (f) | 200,000 | 160,082 | |||
3.75%, 5/1/2029 (f) | 250,000 | 216,973 | |||
4.00%, 5/1/2031 (f) | 80,000 | 67,379 | |||
4.88%, 1/15/2030 | 50,000 | 45,366 | |||
Las Vegas Sands Corp. 3.90%, 8/8/2029 | 311,000 | 263,358 | |||
Marriott Ownership Resorts, Inc. 4.75%, 1/15/2028 | 300,000 | 260,712 | |||
Travel & Leisure Co. 4.50%, 12/1/2029 (f) | 170,000 | 138,565 | |||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. REGS, 5.25%, 5/15/2027 (f) | 200,000 | 181,010 | |||
1,421,786 | |||||
MACHINERY-DIVERSIFIED — 0.0% (d) | |||||
ATS Corp. 4.13%, 12/15/2028 (f) | 40,000 | 34,504 | |||
MEDIA — 1.2% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 1/15/2034 (f) | 110,000 | 81,343 | |||
DISH DBS Corp.: | |||||
7.38%, 7/1/2028 | 200,000 | 141,360 | |||
7.75%, 7/1/2026 | 500,000 | 403,505 | |||
Sirius XM Radio, Inc.: | |||||
3.88%, 9/1/2031 (f) | 60,000 | 47,408 | |||
4.00%, 7/15/2028 (f) | 750,000 | 651,098 | |||
4.13%, 7/1/2030 (f) | 60,000 | 49,568 | |||
1,374,282 |
Security Description | Principal Amount | Value | |||
MINING — 1.3% | |||||
Compass Minerals International, Inc. 6.75%, 12/1/2027 (f) | $ 150,000 | $ 144,789 | |||
Eldorado Gold Corp. 6.25%, 9/1/2029 (f) | 220,000 | 194,148 | |||
FMG Resources August 2006 Pty, Ltd.: | |||||
4.50%, 9/15/2027 (f) | 100,000 | 92,635 | |||
6.13%, 4/15/2032 (f) | 235,000 | 219,177 | |||
FMG Resources August Pty. Ltd. 5.88%, 4/15/2030 (f) | 316,000 | 296,699 | |||
Hecla Mining Co. 7.25%, 2/15/2028 | 100,000 | 98,676 | |||
Hudbay Minerals, Inc. 6.13%, 4/1/2029 (f) | 60,000 | 54,684 | |||
IAMGOLD Corp. 5.75%, 10/15/2028 (f) | 80,000 | 62,173 | |||
Kaiser Aluminum Corp.: | |||||
4.50%, 6/1/2031 (f) | 100,000 | 80,342 | |||
4.63%, 3/1/2028 (f) | 100,000 | 87,668 | |||
New Gold, Inc. 7.50%, 7/15/2027 (f) | 100,000 | 87,828 | |||
Taseko Mines, Ltd. 7.00%, 2/15/2026 (f) | 160,000 | 140,768 | |||
1,559,587 | |||||
MISCELLANEOUS MANUFACTURER — 0.1% | |||||
LSB Industries, Inc. 6.25%, 10/15/2028 (f) | 100,000 | 91,119 | |||
OFFICE & BUSINESS EQUIPMENT — 0.4% | |||||
Pitney Bowes, Inc. 6.88%, 3/15/2027 (f) | 150,000 | 128,371 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (f) | 450,000 | 363,186 | |||
491,557 | |||||
OFFICE FURNISHINGS — 0.1% | |||||
Interface, Inc. 5.50%, 12/1/2028 (f) | 100,000 | 82,359 | |||
OIL & GAS — 4.1% | |||||
Apache Corp. 5.35%, 7/1/2049 | 280,000 | 227,657 | |||
Calumet Specialty Products Partners L.P./Calumet Finance Corp. 8.13%, 1/15/2027 (f) | 230,000 | 216,179 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (f) | 400,000 | 347,312 | |||
Energean PLC 6.50%, 4/30/2027 (f) | 240,000 | 220,944 | |||
Nabors Industries, Ltd. 7.50%, 1/15/2028 (f) | 395,000 | 359,991 | |||
Northern Oil & Gas, Inc. 8.13%, 3/1/2028 (f) | 310,000 | 297,464 |
Security Description | Principal Amount | Value | |||
Occidental Petroleum Corp.: | |||||
6.60%, 3/15/2046 | $ 90,000 | $ 92,624 | |||
7.88%, 9/15/2031 | 370,000 | 408,391 | |||
8.88%, 7/15/2030 | 220,000 | 248,433 | |||
Patterson-UTI Energy, Inc. 5.15%, 11/15/2029 | 190,000 | 171,049 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 250,000 | 221,255 | |||
Petrofac, Ltd. 9.75%, 11/15/2026 (f) | 200,000 | 112,994 | |||
Precision Drilling Corp. 6.88%, 1/15/2029 (f) | 320,000 | 299,856 | |||
ROCC Holdings LLC 9.25%, 8/15/2026 (f) | 74,000 | 73,995 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 830,000 | 725,976 | |||
4.50%, 4/30/2030 | 40,000 | 34,736 | |||
Transocean, Inc.: | |||||
7.25%, 11/1/2025 (f) | 130,000 | 115,318 | |||
7.50%, 1/15/2026 (f) | 335,000 | 282,261 | |||
7.50%, 4/15/2031 | 150,000 | 100,134 | |||
8.00%, 2/1/2027 (f) | 320,000 | 260,749 | |||
4,817,318 | |||||
OIL & GAS SERVICES — 0.2% | |||||
Enerflex, Ltd. 9.00%, 10/15/2027 | 210,000 | 209,506 | |||
PACKAGING & CONTAINERS — 0.6% | |||||
Ball Corp. 3.13%, 9/15/2031 | 130,000 | 104,358 | |||
OI European Group B.V. 4.75%, 2/15/2030 (f) | 360,000 | 318,067 | |||
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (f) | 150,000 | 145,995 | |||
TriMas Corp. 4.13%, 4/15/2029 (f) | 150,000 | 131,587 | |||
700,007 | |||||
PHARMACEUTICALS — 0.1% | |||||
AdaptHealth LLC 5.13%, 3/1/2030 (f) | 100,000 | 85,112 | |||
PIPELINES — 2.3% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp.: | |||||
5.38%, 6/15/2029 (f) | 200,000 | 182,946 | |||
5.75%, 1/15/2028 (f) | 240,000 | 223,654 | |||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.: | |||||
5.63%, 5/1/2027 (f) | 280,000 | 261,055 | |||
8.00%, 4/1/2029 (f) | 50,000 | 49,917 |
Security Description | Principal Amount | Value | |||
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028 (f) | $ 170,000 | $ 153,238 | |||
EnLink Midstream Partners L.P.: | |||||
5.05%, 4/1/2045 | 230,000 | 173,314 | |||
5.45%, 6/1/2047 | 220,000 | 176,618 | |||
EQM Midstream Partners L.P. 6.50%, 7/15/2048 | 170,000 | 127,502 | |||
Global Partners L.P./GLP Finance Corp. 6.88%, 1/15/2029 | 255,000 | 230,959 | |||
Holly Energy Partners L.P./Holly Energy Finance Corp. 5.00%, 2/1/2028 (f) | 370,000 | 339,068 | |||
NuStar Logistics L.P. 6.38%, 10/1/2030 | 380,000 | 352,522 | |||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 8.50%, 10/15/2026 (f) | 200,000 | 189,894 | |||
Western Midstream Operating L.P. 5.50%, 8/15/2048 | 310,000 | 257,464 | |||
2,718,151 | |||||
REAL ESTATE — 0.2% | |||||
Howard Hughes Corp. 4.13%, 2/1/2029 (f) | 305,000 | 255,139 | |||
REAL ESTATE INVESTMENT TRUSTS — 2.3% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (f) | 200,000 | 160,042 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (f) | 40,000 | 34,849 | |||
5.63%, 7/15/2032 (f) | 160,000 | 139,544 | |||
REIT, 4.50%, 2/15/2031 (f) | 460,000 | 378,897 | |||
MPT Operating Partnership L.P./MPT Finance Corp.: | |||||
4.63%, 8/1/2029 | 140,000 | 108,454 | |||
5.00%, 10/15/2027 | 300,000 | 252,450 | |||
Office Properties Income Trust 2.65%, 6/15/2026 | 320,000 | 248,928 | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (f) | 200,000 | 179,534 | |||
SBA Communications Corp. 3.13%, 2/1/2029 | 140,000 | 116,586 | |||
Service Properties Trust: | |||||
3.95%, 1/15/2028 | 390,000 | 277,621 | |||
4.75%, 10/1/2026 | 230,000 | 181,790 | |||
4.95%, 2/15/2027 | 150,000 | 118,229 | |||
5.25%, 2/15/2026 | 150,000 | 125,420 | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (f) | 150,000 | 131,250 | |||
4.38%, 1/15/2027 (f) | 310,000 | 272,806 | |||
2,726,400 |
Security Description | Principal Amount | Value | |||
RETAIL — 3.5% | |||||
1011778 BC ULC/New Red Finance, Inc.: | |||||
3.50%, 2/15/2029 (f) | $ 50,000 | $ 43,131 | |||
3.88%, 1/15/2028 (f) | 630,000 | 567,435 | |||
4.00%, 10/15/2030 (f) | 130,000 | 105,566 | |||
4.38%, 1/15/2028 (f) | 100,000 | 89,929 | |||
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (f) | 70,000 | 69,266 | |||
Asbury Automotive Group, Inc.: | |||||
4.63%, 11/15/2029 (f) | 150,000 | 126,558 | |||
4.75%, 3/1/2030 | 170,000 | 142,706 | |||
Bath & Body Works, Inc. 6.75%, 7/1/2036 | 230,000 | 201,616 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (f) | 80,000 | 67,254 | |||
FirstCash, Inc. 4.63%, 9/1/2028 (f) | 410,000 | 359,517 | |||
Gap, Inc. 3.63%, 10/1/2029 (f) | 470,000 | 334,461 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (f) | 190,000 | 161,538 | |||
Macy's Retail Holdings LLC: | |||||
5.88%, 3/15/2030 (f) | 100,000 | 86,922 | |||
6.13%, 3/15/2032 (f) | 100,000 | 84,053 | |||
Murphy Oil USA, Inc. 3.75%, 2/15/2031 (f) | 160,000 | 133,222 | |||
Papa John's International, Inc. 3.88%, 9/15/2029 (f) | 140,000 | 116,851 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (f) | 250,000 | 209,660 | |||
Sonic Automotive, Inc.: | |||||
4.63%, 11/15/2029 (f) | 100,000 | 80,634 | |||
4.88%, 11/15/2031 (f) | 176,000 | 138,563 | |||
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029 (f) | 230,000 | 197,517 | |||
Yum! Brands, Inc.: | |||||
3.63%, 3/15/2031 | 280,000 | 234,643 | |||
4.63%, 1/31/2032 | 402,000 | 356,425 | |||
4.75%, 1/15/2030 (f) | 180,000 | 165,458 | |||
4,072,925 | |||||
SOFTWARE — 1.4% | |||||
Consensus Cloud Solutions, Inc.: | |||||
6.00%, 10/15/2026 (f) | 80,000 | 75,474 | |||
6.50%, 10/15/2028 (f) | 130,000 | 118,799 | |||
Fair Isaac Corp. 4.00%, 6/15/2028 (f) | 610,000 | 553,368 | |||
MSCI, Inc.: | |||||
3.63%, 9/1/2030 (f) | 100,000 | 83,314 | |||
3.88%, 2/15/2031 (f) | 390,000 | 324,683 | |||
Open Text Corp. 3.88%, 2/15/2028 (f) | 310,000 | 266,051 |
Security Description | Principal Amount | Value | |||
Open Text Holdings, Inc. 4.13%, 2/15/2030 (f) | $ 60,000 | $ 48,812 | |||
Ziff Davis, Inc. 4.63%, 10/15/2030 (f) | 150,000 | 127,010 | |||
1,597,511 | |||||
TELECOMMUNICATIONS — 1.2% | |||||
CommScope, Inc. 8.25%, 3/1/2027 (f) | 365,000 | 285,565 | |||
Frontier Communications Holdings LLC 6.75%, 5/1/2029 (f) | 640,000 | 529,120 | |||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 200,000 | 186,682 | |||
ViaSat, Inc. 6.50%, 7/15/2028 (f) | 525,000 | 402,166 | |||
1,403,533 | |||||
TRANSPORTATION — 0.1% | |||||
Cargo Aircraft Management, Inc. 4.75%, 2/1/2028 (f) | 110,000 | 99,755 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $53,993,355) | 52,428,580 |
Shares | |||
SHORT-TERM INVESTMENT — 8.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (g) (h) (Cost $9,542,516) | 9,542,516 | 9,542,516 | |
TOTAL INVESTMENTS — 106.2% (Cost $127,392,957) | 123,900,801 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.2)% | (7,236,493) | ||
NET ASSETS — 100.0% | $ 116,664,308 |
(a) | The rate shown represents the rate at December 31, 2022. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Security is currently in default and/or issuer is in bankruptcy. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Position is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 34.1% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2022. |
ABS | Asset-Backed Security |
CDI | CREST Depository Interest |
CLO | Collateralized Loan Obligation |
CME | Chicago Mercantile Exchange |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
PIK | Payment in Kind |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 11,352 | 10,808 | (544) | |||
Athenahealth, Inc. | 32,609 | 29,523 | (3,086) | |||
$43,961 | $40,331 | $(3,630) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 52,428,580 | $— | $ 52,428,580 | ||||
Asset-Backed Securities | — | 3,496,819 | — | 3,496,819 | ||||
Senior Floating Rate Loans | — | 58,432,886 | — | 58,432,886 | ||||
Short-Term Investment | 9,542,516 | — | — | 9,542,516 | ||||
TOTAL INVESTMENTS | $9,542,516 | $114,358,285 | $— | $123,900,801 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (3,630) | — | (3,630) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (3,630) | $— | $ (3,630) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $ — | $ 2,327,133 | $ 2,323,843 | $(3,290) | $— | — | $ — | $ 14,072 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,996,829 | 2,996,829 | 56,734,518 | 50,188,831 | — | — | 9,542,516 | 9,542,516 | 106,191 | ||||||||
Total | $2,996,829 | $59,061,651 | $52,512,674 | $(3,290) | $— | $9,542,516 | $120,263 |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 87.0% (a) | |||||
ADVERTISING SERVICES — 0.1% | |||||
AppLovin Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 9.50%, 10/25/2028 (b) | $ 6,126,748 | $ 5,835,728 | |||
AEROSPACE & DEFENSE — 1.4% | |||||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026 (b) | 182,989 | 174,897 | |||
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026 (b) | 341,338 | 326,244 | |||
TransDigm, Inc.: | |||||
, 2/22/2027 | 5,137,215 | 5,125,990 | |||
Senior Secured 2020 Term Loan E, 3 Month USD LIBOR + 2.25%, 6.98%, 5/30/2025 (b) | 4,732,448 | 4,689,974 | |||
Senior Secured 2020 Term Loan F, 3 Month USD LIBOR + 2.25%, 6.98%, 12/9/2025 (b) | 73,555,056 | 72,801,117 | |||
83,118,222 | |||||
AIR FREIGHT & LOGISTICS — 0.2% | |||||
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/24/2026 (b) | 3,251,980 | 3,178,225 | |||
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028 (b) | 9,245,414 | 8,491,034 | |||
11,669,259 | |||||
AIRLINES — 1.7% | |||||
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.13%, 8/11/2028 (b) | 235,166 | 233,144 | |||
American Airlines, Inc.: | |||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 6/27/2025 (b) | 3,289,905 | 3,171,172 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028 (b) | $ 1,000,000 | $ 997,345 | |||
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.00%, 6/21/2027 (b) | 18,752,670 | 19,322,283 | |||
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027 (b) | 10,703,939 | 10,930,756 | |||
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028 (b) | 67,769,071 | 67,105,612 | |||
101,760,312 | |||||
AUTO COMPONENTS — 0.5% | |||||
Clarios Global LP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/30/2026 (b) | 18,611,132 | 18,300,977 | |||
USI, Inc. Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029 (b) | 9,522,335 | 9,450,918 | |||
27,751,895 | |||||
BEVERAGES — 0.6% | |||||
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028 (b) | 36,454,461 | 34,025,682 | |||
BUILDING PRODUCTS — 0.7% | |||||
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 4/12/2028 (b) | 39,585,403 | 35,704,647 | |||
Summit Materials LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.61%, 12/14/2027 (b) | 3,455,707 | 3,457,867 | |||
39,162,514 |
Security Description | Principal Amount | Value | |||
CAPITAL MARKETS — 0.9% | |||||
AqGen Ascensus, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 10.25%, 8/2/2029 (b) | $ 7,194,340 | $ 6,319,004 | |||
Ascensus Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.25%, 8/2/2028 (b) | 498,758 | 477,770 | |||
Focus Financial Partners LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 6/30/2028 (b) | 15,960,000 | 15,803,752 | |||
LPL Holdings, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 5.87%, 11/12/2026 (b) | 31,444,195 | 31,326,280 | |||
53,926,806 | |||||
CASINO SERVICES — 1.5% | |||||
Stars Group Holdings B.V.: | |||||
Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026 (b) | 81,908,640 | 80,907,306 | |||
Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.09%, 7/22/2028 (b) | 11,571,000 | 11,537,271 | |||
92,444,577 | |||||
CHEMICALS — 1.0% | |||||
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B, 12/20/2029 (b) | 17,574,803 | 17,614,347 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026 (b) | 878,783 | 872,605 | |||
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 8.41%, 3/16/2027 (b) | 5,398,725 | 5,261,813 | |||
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 10/1/2025 (b) | 36,153,075 | 35,728,277 | |||
59,477,042 |
Security Description | Principal Amount | Value | |||
COMMERCIAL SERVICES — 1.7% | |||||
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028 (b) | $ 67,634,054 | $ 64,387,957 | |||
Corporation Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.67%, 11/2/2029 (b) | 1,000,000 | 991,250 | |||
Galaxy U.S. Opco, Inc. Senior Secured Term Loan, 1 Month USD SOFR + 4.75%, 9.07%, 4/29/2029 (b) | 675,123 | 612,675 | |||
Sabre GLBL Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 8.67%, 6/30/2028 (b) | 793,307 | 728,355 | |||
Senior Secured 2022 Term Loan, 9.73%, 1/21/2029 | 6,364,286 | 6,160,088 | |||
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 8/27/2025 (b) | 17,217,447 | 17,142,121 | |||
VT Topco, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.88%, 8/1/2025 (b) | 1,078,878 | 1,046,625 | |||
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 8/1/2025 (b) | 299,423 | 291,065 | |||
Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 8/1/2025 (b) | 8,146,430 | 7,919,022 | |||
99,279,158 | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.2% | |||||
Aramark Services, Inc. Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 3/11/2025 (b) | 15,900,000 | 15,847,848 | |||
Asurion LLC: | |||||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 7.38%, 11/3/2024 (b) | 1,871,844 | 1,822,708 |
Security Description | Principal Amount | Value | |||
Senior Secured 2020 Term Loan B8, 1 Month USD LIBOR + 3.25%, 7.63%, 12/23/2026 (b) | $ 994,924 | $ 889,422 | |||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028 (b) | 38,035,258 | 29,889,247 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029 (b) | 32,985,009 | 25,834,354 | |||
Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 7.63%, 7/31/2027 (b) | 1,125,559 | 988,387 | |||
Covanta Holding Corporation: | |||||
, 6.57%, 11/30/2028 | 923,677 | 918,236 | |||
, 6.82%, 11/30/2028 | 69,849 | 69,437 | |||
Garda World Security Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026 (b) | 1,000,000 | 975,500 | |||
GFL Environmental, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 7.41%, 5/30/2025 (b) | 994,924 | 996,511 | |||
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028 (b) | 1,381,104 | 1,303,846 | |||
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026 (b) | 50,360,625 | 49,982,920 | |||
129,518,416 | |||||
COMMUNICATIONS EQUIPMENT — 0.7% | |||||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026 (b) | 43,047,744 | 40,690,880 | |||
COMPUTERS — 0.7% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 9.17%, 7/27/2028 (b) | 45,483,885 | 39,158,896 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION & ENGINEERING — 0.0% (c) | |||||
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.07%, 3/31/2028 (b) | $ 496,215 | $ 475,746 | |||
Pike Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.39%, 1/21/2028 (b) | 1,000,000 | 987,890 | |||
1,463,636 | |||||
CONSTRUCTION MATERIALS — 0.2% | |||||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.01%, 2/1/2027 (b) | 11,437,208 | 11,330,900 | |||
CONTAINERS & PACKAGING — 1.5% | |||||
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.02%, 7/1/2026 (b) | 90,113,204 | 89,560,360 | |||
COSMETICS & TOILETRIES — 0.8% | |||||
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75%, 8.48%, 10/1/2026 (b) | 52,462,916 | 50,371,744 | |||
DISTRIBUTION/WHOLESALE — 0.1% | |||||
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028 (b) | 4,894,510 | 4,867,002 | |||
DISTRIBUTORS — 0.6% | |||||
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028 (b) | 36,051,203 | 33,167,107 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Bright Horizons Family Solutions LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.69%, 11/24/2028 (b) | $ 4,194,421 | $ 4,128,884 | |||
St. George's University Scholastic Services Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 2/10/2029 (b) | 44,902 | 43,779 | |||
4,172,663 | |||||
DIVERSIFIED FINANCIAL SERVICES — 5.4% | |||||
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/4/2028 (b) | 20,981,744 | 20,841,271 | |||
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75%, 8.26%, 7/27/2028 (b) | 498,737 | 477,541 | |||
Avolon TLB Borrower 1 (U.S.) LLC Senior Secured Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.10%, 1/15/2025 (b) | 9,612,896 | 9,596,890 | |||
Camelot U.S. Acquisition LLC Senior Secured 2020 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 10/30/2026 (b) | 890,482 | 878,238 | |||
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 6.94%, 2/2/2028 (b) | 83,376,804 | 82,001,087 | |||
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029 (b) | 44,077,484 | 42,088,488 | |||
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027 (b) | 994,898 | 931,633 |
Security Description | Principal Amount | Value | |||
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027 (b) | $ 56,098,874 | $ 54,737,354 | |||
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.75%, 9.17%, 3/27/2026 (b) | 861,066 | 825,547 | |||
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028 (b) | 5,545,610 | 5,528,973 | |||
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026 (b) | 48,482,852 | 47,881,179 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.14%, 5/18/2025 (b) | 55,490,170 | 54,435,857 | |||
320,224,058 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.6% | |||||
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027 (b) | 58,507,304 | 55,670,577 | |||
Intelsat Jackson Holdings SA Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029 (b) | 924,817 | 894,760 | |||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027 (b) | 40,656,113 | 39,062,597 | |||
95,627,934 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.4% | |||||
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.13%, 7/2/2029 (b) | 21,973,220 | 21,797,434 |
Security Description | Principal Amount | Value | |||
ENTERTAINMENT — 2.4% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026 (b) | $ 32,093,713 | $ 17,547,880 | |||
AP Gaming I LLC Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/15/2029 (b) | 14,162,476 | 13,454,353 | |||
Crown Finance U.S., Inc.: | |||||
Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.00%, 2/28/2025 (b) | 49,204,796 | 9,299,214 | |||
Senior Secured 2019 Incremental Term Loan, 3 Month USD LIBOR + 2.75%, 4.25%, 9/30/2026 (b) | 6,043,316 | 1,118,890 | |||
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029 (b) | 27,203,578 | 25,918,345 | |||
Formula One Holdings Ltd. Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030 (b) | 10,507,576 | 10,515,456 | |||
GVC Holdings (Gibraltar) Ltd.: | |||||
Senior Secured 2021 USD Term Loan B4, 3 Month USD LIBOR + 2.50%, 7.23%, 3/29/2027 (b) | 5,599,369 | 5,567,005 | |||
Senior Secured 2022 Term Loan B, 10/31/2029 (d) | 4,573,846 | 4,559,553 | |||
Motion Finco SARL Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026 (b) | 284,686 | 272,260 | |||
NASCAR Holdings, Inc Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026 (b) | 17,631,697 | 17,613,801 | |||
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.11%, 4/29/2026 (b) | 33,061,732 | 32,689,787 |
Security Description | Principal Amount | Value | |||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028 (b) | $ 4,000,000 | $ 3,960,000 | |||
142,516,544 | |||||
FOOD & STAPLES RETAILING — 0.1% | |||||
Hostess Brands LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.25%, 6.66%, 8/3/2025 (b) | 7,242,832 | 7,231,896 | |||
U.S. Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 9/13/2026 (b) | 857,755 | 850,948 | |||
8,082,844 | |||||
FOOD PRODUCTS — 0.6% | |||||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028 (b) | 35,197,086 | 34,801,119 | |||
FOOD-MISC/DIVERSIFIED — 0.2% | |||||
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 1/29/2027 (b) | 11,145,574 | 10,868,496 | |||
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 5/12/2028 (b) | 578,664 | 548,903 | |||
11,417,399 | |||||
GAMING & ENTERTAINMENT — 0.0% (c) | |||||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 6.88%, 5/29/2026 (b) | 1,000,000 | 995,835 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.9% | |||||
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027 (b) | 50,275,313 | 47,958,124 |
Security Description | Principal Amount | Value | |||
Carestream Health, Inc. Senior Secured 2022 Term Loan, 3 Month USD SOFR + 7.50%, 12.18%, 9/30/2027 (b) | $ 4,786,437 | $ 3,661,625 | |||
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027 (b) | 65,659,715 | 61,802,206 | |||
113,421,955 | |||||
HEALTH CARE PROVIDERS & SERVICES — 5.7% | |||||
AmSurg LLC Senior Secured 2022 Revolver, 7/20/2026 (b) | 11,164,500 | 9,796,878 | |||
Covenant Surgical Partners, Inc.: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00%, 8.41%, 7/1/2026 (b) | 332,954 | 282,178 | |||
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 4.00%, 8.41%, 7/1/2026 (b) | 1,611,469 | 1,365,720 | |||
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/12/2026 (b) | 70,645,888 | 68,986,062 | |||
Envision Healthcare Corp.: | |||||
Senior Secured 2022 First Out Term Loan, 3 Month USD SOFR + 7.875%, 12.61%, 3/31/2027 (b) | 21,171,494 | 18,961,719 | |||
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 8.83%, 3/31/2027 (b) | 7,656,271 | 2,679,695 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028 (b) | 26,956,214 | 26,963,492 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | 66,072,225 | 65,956,929 | |||
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028 (b) | 96,423,287 | 91,805,094 |
Security Description | Principal Amount | Value | |||
National Mentor Holdings, Inc.: | |||||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.33%, 3/2/2028 (b) | $ 37,363,353 | $ 26,320,428 | |||
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75%, 8.48%, 3/2/2028 (b) | 1,193,493 | 840,750 | |||
Pediatric Associates Holding Company LLC: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028 (b) | 893,250 | 850,450 | |||
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028 (b) | 67,671 | 64,428 | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028 (b) | 16,531,034 | 16,502,187 | |||
Radnet Management, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.74%, 4/21/2028 (b) | 997,877 | 973,634 | |||
Surgery Center Holdings, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.05%, 8/31/2026 (b) | 358,376 | 354,753 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 2/6/2024 (b) | 8,398,288 | 7,222,528 | |||
Vizient, Inc. Senior Secured 2022 Term Loan B, 1 Month SOFR CME + 2.25%, 6.67%, 4/28/2029 (b) | 995,000 | 995,249 | |||
WP CityMD Bidco LLC Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/22/2028 (b) | 1,001,303 | 1,000,482 | |||
341,922,656 |
Security Description | Principal Amount | Value | |||
HOME FURNISHINGS — 0.0% (c) | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028 (b) | $ 1,278,160 | $ 1,207,063 | |||
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028 (d) | 515,093 | 486,332 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028 (b) | 1,276,065 | 1,204,816 | |||
2,898,211 | |||||
HOTELS, RESTAURANTS & LEISURE — 7.0% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 5.82%, 11/19/2026 (b) | 131,880,400 | 129,866,587 | |||
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028 (b) | 991,752 | 982,146 | |||
Aristocrat Technologies, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 6.93%, 5/24/2029 (b) | 500,000 | 500,000 | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024 (b) | 98,664,793 | 98,570,075 | |||
Marriott Ownership Resorts, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/29/2025 (b) | 8,000,000 | 7,936,000 | |||
Motion Finco SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026 (b) | 6,557,489 | 6,271,287 | |||
Penn National Gaming, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029 (b) | 12,380,909 | 12,278,581 |
Security Description | Principal Amount | Value | |||
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028 (b) | $ 100,145,366 | $ 97,975,717 | |||
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029 (b) | 36,410,309 | 36,007,247 | |||
Twin River Worldwide Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.54%, 10/2/2028 (b) | 994,975 | 923,337 | |||
Wyndham Hotels & Resorts, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025 (b) | 25,269,854 | 25,276,171 | |||
416,587,148 | |||||
HOUSEHOLD PRODUCTS — 0.4% | |||||
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027 (b) | 22,530,913 | 22,384,800 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.4% | |||||
Calpine Corp.: | |||||
Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 6.38%, 8/12/2026 (b) | 33,236,426 | 32,868,831 | |||
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.89%, 12/16/2027 (b) | 1,994,911 | 1,978,363 | |||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025 (b) | 48,391,579 | 48,042,434 | |||
82,889,628 |
Security Description | Principal Amount | Value | |||
INDUSTRIAL CONGLOMERATES — 0.2% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 12.67%, 7/27/2029 (b) | $ 13,082,319 | $ 10,400,444 | |||
INSURANCE — 4.3% | |||||
Acrisure LLC: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/15/2027 (b) | 56,694,042 | 53,338,039 | |||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027 (b) | 4,388,708 | 4,258,868 | |||
Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/15/2027 (b) | 994,962 | 947,701 | |||
Alliant Holdings Intermediate LLC: | |||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 5/9/2025 (b) | 601,140 | 594,077 | |||
Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027 (b) | 21,274,561 | 20,822,477 | |||
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028 (b) | 26,535,612 | 26,098,172 | |||
AssuredPartners, Inc.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027 (b) | 496,157 | 483,031 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027 (b) | 496,215 | 481,825 | |||
Senior Secured 2022 Term Loan, 1 Month USD SOFR + 3.50%, 7.82%, 2/12/2027 (b) | 496,244 | 483,093 | |||
Baldwin Risk Partners LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 7.79%, 10/14/2027 (b) | 1,065,656 | 1,041,679 |
Security Description | Principal Amount | Value | |||
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 1/27/2027 (b) | $ 994,885 | $ 966,700 | |||
Hub International Ltd.: | |||||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 7.33%, 4/25/2025 (b) | 81,215,081 | 80,458,157 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.53%, 4/25/2025 (b) | 53,339,479 | 52,933,299 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.22%, 11/10/2029 (b) | 7,291,667 | 7,224,838 | |||
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.69%, 11/12/2027 (b) | 1,738,229 | 1,695,703 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 2/15/2027 (b) | 2,876,107 | 2,757,985 | |||
254,585,644 | |||||
INTERACTIVE MEDIA & SERVICES — 0.0% (c) | |||||
Ivanti Software, Inc. Senior Secured 2021 Add On Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 12/1/2027 (b) | 994,937 | 787,870 | |||
INTERNET & TELECOM — 0.2% | |||||
Go Daddy Operating Company LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 11/9/2029 (b) | 11,175,633 | 11,171,721 | |||
INTERNET SECURITY — 0.1% (c) | |||||
Senior Secured 2nd Lien Term Loan, 10.98%, 8/31/2029 | 3,678,427 | 3,551,227 | |||
INVESTMENT COMPANIES — 0.2% | |||||
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.75%, 7.42%, 5/17/2029 (b) | 981,667 | 974,550 |
Security Description | Principal Amount | Value | |||
Energize HoldCo LLC Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/8/2028 (b) | $ 11,465,589 | $ 10,995,500 | |||
11,970,050 | |||||
IT SERVICES — 1.2% | |||||
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 10/18/2027 (b) | 994,949 | 963,235 | |||
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028 (b) | 66,788,433 | 55,956,351 | |||
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028 (b) | 995,949 | 987,235 | |||
WEX, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 3/31/2028 (b) | 15,142,980 | 15,076,729 | |||
72,983,550 | |||||
LEISURE EQUIPMENT & PRODUCTS — 0.0% (c) | |||||
Cinemark USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.15%, 3/31/2025 (b) | 18,539 | 17,893 | |||
LEISURE INDUSTRY — 0.1% | |||||
Carnival Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028 (b) | 8,485,245 | 7,967,645 | |||
LEISURE&REC/GAMES — 0.1% | |||||
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029 (b) | 3,990,000 | 3,814,819 |
Security Description | Principal Amount | Value | |||
LIFE SCIENCES TOOLS & SERVICES — 0.6% | |||||
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027 (b) | $ 781,811 | $ 779,368 | |||
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028 (b) | 36,481,263 | 35,214,633 | |||
35,994,001 | |||||
MACHINERY — 0.0% (c) | |||||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027 (b) | 994,885 | 988,254 | |||
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028 (b) | 2,241,071 | 2,090,651 | |||
3,078,905 | |||||
MACHINERY-CONSTRUCTION & MINING — 1.1% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 8/1/2025 (b) | 68,548,563 | 67,688,279 | |||
MEDIA — 6.5% | |||||
Charter Communications Operating LLC: | |||||
Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 6.14%, 4/30/2025 (b) | 1,727,642 | 1,722,511 | |||
Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027 (b) | 56,716,376 | 55,468,616 | |||
Colibri Group LLC Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.00%, 8.77%, 3/12/2029 (b) | 994,987 | 931,248 | |||
Coral-US Co-Borrower LLC Senior Secured 2020 Term Loan B2, 1 Month USD LIBOR + 2.25%, 6.57%, 1/31/2028 (b) | 5,000,000 | 4,851,250 |
Security Description | Principal Amount | Value | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 2.25%, 6.57%, 7/17/2025 (b) | $ 31,623,681 | $ 29,995,061 | |||
Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 2.25%, 6.57%, 1/15/2026 (b) | 5,841,196 | 5,471,565 | |||
Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.82%, 4/15/2027 (b) | 58,378,964 | 52,322,147 | |||
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.38%, 8/10/2027 (b) | 1,001,717 | 993,739 | |||
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 5/1/2026 (b) | 4,113,947 | 3,783,556 | |||
MH Sub I LLC: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024 (b) | 11,898,424 | 11,584,424 | |||
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024 (b) | 18,351,450 | 17,873,028 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 6.25%, 10.65%, 2/23/2029 (b) | 13,868,141 | 12,420,653 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026 (b) | 37,084,289 | 36,847,877 | |||
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026 (b) | 50,137,704 | 40,958,995 | |||
Telenet Financing USD LLC Senior Secured 2020 USD Term Loan AR, 1 Month USD LIBOR + 2.00%, 6.32%, 4/30/2028 (b) | 1,000,000 | 975,750 |
Security Description | Principal Amount | Value | |||
Univision Communications, Inc.: | |||||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 3/15/2026 (b) | $ 27,472,557 | $ 27,094,809 | |||
Senior Secured 2022 First Lien Term Loan B, 3 Month USD SOFR + 4.25%, 8.83%, 6/24/2029 (b) | 995,000 | 985,547 | |||
Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 1/31/2029 (b) | 994,987 | 968,561 | |||
Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 7.13%, 3/15/2024 (b) | 4,473,570 | 4,474,510 | |||
UPC Financing Partnership Senior Secured 2021 USD Term Loan AX, 1 Month USD LIBOR + 2.93%, 7.24%, 1/31/2029 (b) | 1,000,000 | 979,165 | |||
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 6.87%, 7/30/2027 (b) | 41,516,072 | 40,053,460 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 6.82%, 1/31/2028 (b) | 30,551,875 | 30,096,347 | |||
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028 (b) | 8,977,712 | 8,775,040 | |||
389,627,859 | |||||
MEDICAL LABS&TESTING SRV — 0.0% (c) | |||||
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 11/1/2028 (b) | 1,028,150 | 1,002,575 | |||
MISCELLANEOUS MANUFACTUR — 0.0% (c) | |||||
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 9/6/2026 (b) | 1,928,424 | 1,542,739 |
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.8% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025 (b) | $ 30,648,836 | $ 30,562,713 | |||
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.64%, 7/9/2025 (b) | 20,453,306 | 17,263,919 | |||
47,826,632 | |||||
OIL, GAS & CONSUMABLE FUELS — 1.9% | |||||
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 11/1/2026 (b) | 36,683,716 | 36,525,243 | |||
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025 (b) | 75,226,766 | 74,756,599 | |||
111,281,842 | |||||
PHARMACEUTICALS — 1.7% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.09%, 5/4/2025 (b) | 1,010,794 | 908,901 | |||
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028 (b) | 11,462,802 | 11,307,022 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027 (b) | 11,011,697 | 10,596,996 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027 (b) | 5,095,144 | 4,938,061 | |||
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028 (b) | 68,160,211 | 67,665,028 |
Security Description | Principal Amount | Value | |||
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028 (b) | $ 6,334,398 | $ 6,288,600 | |||
101,704,608 | |||||
PIPELINES — 0.4% | |||||
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028 (b) | 9,544,080 | 9,514,255 | |||
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 7.87%, 11/17/2028 (b) | 15,951,935 | 15,677,801 | |||
25,192,056 | |||||
PROFESSIONAL SERVICES — 1.2% | |||||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026 (b) | 42,195,818 | 41,883,147 | |||
Proofpoint, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028 (b) | 3,911,738 | 3,771,013 | |||
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028 (b) | 23,481,450 | 23,290,664 | |||
68,944,824 | |||||
RETAIL-BUILDING PRODUCTS — 0.7% | |||||
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027 (b) | 50,554,199 | 44,053,434 | |||
RETAIL-RESTAURANTS — 3.3% | |||||
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/16/2025 (b) | 13,546,844 | 12,465,197 |
Security Description | Principal Amount | Value | |||
Hilton Domestic Operating Company, Inc Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.17%, 6/22/2026 (b) | $ 86,263,332 | $ 86,096,412 | |||
IRB Holding Corp.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025 (b) | 26,155,441 | 25,963,329 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 12/15/2027 (b) | 73,208,250 | 71,158,419 | |||
195,683,357 | |||||
ROAD & RAIL — 1.2% | |||||
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 2.00%, 6.73%, 12/30/2026 (b) | 70,549,981 | 70,272,366 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4% | |||||
Entegris, Inc. Senior Secured 2022 Term Loan B, 7/6/2029 (b) | 4,070,380 | 4,064,559 | |||
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 8/17/2029 (b) | 17,955,000 | 17,785,056 | |||
21,849,615 | |||||
SOFTWARE — 12.2% | |||||
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 8.66%, 5/8/2028 (b) | 496,225 | 466,451 | |||
Athenahealth, Inc.: | |||||
Senior Secured 2022 Delayed Draw Term Loan, 1 Month CME Term SOFR + 3.50%, 3.50%, 2/15/2029 (b) | 3,455,076 | 3,128,088 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 7.82%, 2/15/2029 (b) | 74,841,700 | 67,758,681 | |||
Banff Merger Sub, Inc.: | |||||
Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD LIBOR + 5.50%, 9.88%, 2/27/2026 (b) | 20,197,744 | 18,676,652 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/2/2025 (b) | $ 20,567,862 | $ 19,740,520 | |||
CCC Intelligent Solutions, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 9/21/2028 (b) | 995,948 | 989,973 | |||
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029 (b) | 40,751,319 | 40,452,612 | |||
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026 (b) | 6,644,250 | 5,991,253 | |||
Cloudera, Inc. Senior Secured 2021 Second Lien Term Loan, 1 Month USD LIBOR + 6.00%, 10.38%, 10/8/2029 (b) | 5,883,443 | 4,934,738 | |||
ConnectWise LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 7.88%, 9/29/2028 (b) | 4,023,421 | 3,832,308 | |||
DCert Buyer, Inc.: | |||||
Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026 (b) | 496,167 | 480,396 | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.00%, 11.70%, 2/19/2029 (b) | 7,467,875 | 6,848,042 | |||
ECI Macola Max Holdings LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 8.48%, 11/9/2027 (b) | 409,200 | 393,855 | |||
EP Purchaser LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 11/6/2028 (b) | 999,341 | 990,602 | |||
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 7/30/2027 (b) | 512,788 | 493,528 |
Security Description | Principal Amount | Value | |||
Flexera Software LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 3/3/2028 (b) | $ 994,906 | $ 957,289 | |||
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 8.19%, 11/19/2026 (b) | 19,599,522 | 17,722,867 | |||
Greeneden U.S. Holdings II LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027 (b) | 11,045,645 | 10,629,169 | |||
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 7.50%, 3/2/2028 (b) | 516,900 | 488,793 | |||
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028 (b) | 763,435 | 751,984 | |||
Imperva, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 12.42%, 1/11/2027 (b) | 5,398,559 | 4,177,135 | |||
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028 (b) | 994,988 | 978,570 | |||
Ivanti Software, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 12.01%, 12/1/2028 (b) | 14,432,836 | 8,443,209 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.01%, 12/1/2027 (b) | 3,708,154 | 2,953,007 | |||
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029 (b) | 80,025,320 | 74,709,238 | |||
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 11/10/2028 (b) | 8,085,221 | 7,799,732 |
Security Description | Principal Amount | Value | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029 (b) | $ 7,600,023 | $ 6,350,769 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.41%, 10/15/2028 (b) | 20,661,501 | 19,101,248 | |||
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 10/22/2026 (b) | 326,963 | 322,059 | |||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 9/12/2029 (b) | 42,297,879 | 41,672,293 | |||
Open Text Corp.: | |||||
Senior Secured 2022 Term Loan B, 11/16/2029 (d) | 34,336,840 | 33,620,058 | |||
Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025 (b) | 5,754,786 | 5,644,495 | |||
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028 (b) | 63,858,156 | 58,430,213 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/10/2028 (b) | 7,517,247 | 7,124,584 | |||
Quest Software U.S. Holdings, Inc. Senior Secured 2022 Term Loan, 1 Month USD SOFR + 4.25%, 8.49%, 2/1/2029 (b) | 57,662,466 | 44,742,614 | |||
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028 (b) | 69,931,847 | 66,645,050 | |||
Rocket Software, Inc.: | |||||
Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.25%, 8.64%, 11/28/2025 (b) | 666,011 | 641,952 | |||
Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 11/28/2025 (b) | 664,018 | 641,192 |
Security Description | Principal Amount | Value | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027 (b) | $ 268,568 | $ 245,404 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027 (b) | 428,078 | 391,156 | |||
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 2/5/2027 (b) | 6,899,798 | 6,842,288 | |||
Sophia LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.23%, 10/7/2027 (b) | 496,225 | 480,100 | |||
SS&C European Holdings SARL Senior Secured 2018 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025 (b) | 7,879,685 | 7,761,490 | |||
SS&C Technologies Inc.: | |||||
Senior Secured 2022 Term Loan B6, 1 Month USD SOFR + 2.25%, 6.57%, 3/22/2029 (b) | 9,959,858 | 9,801,148 | |||
Senior Secured 2022 Term Loan B7, 1 Month USD SOFR + 2.25%, 6.67%, 3/22/2029 (b) | 15,075,040 | 14,834,819 | |||
SS&C Technologies, Inc.: | |||||
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025 (b) | 8,902,055 | 8,768,524 | |||
Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025 (b) | 5,803,060 | 5,714,940 | |||
Ultimate Software Group, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027 (b) | 850,746 | 785,026 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.00%, 5/4/2026 (b) | 57,184,666 | 54,539,876 | |||
Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 5/4/2026 (b) | 664,306 | 641,766 |
Security Description | Principal Amount | Value | |||
Vision Solutions, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 11.61%, 4/23/2029 (b) | $ 1,233,333 | $ 919,993 | |||
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.36%, 4/24/2028 (b) | 30,384,072 | 25,241,568 | |||
Weld North Education LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 12/21/2027 (b) | 579,579 | 569,291 | |||
727,262,608 | |||||
SPECIALTY RETAIL — 2.6% | |||||
Petco Health & Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 3/3/2028 (b) | 24,696,074 | 24,009,276 | |||
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028 (b) | 43,616,670 | 42,812,379 | |||
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 8/4/2028 (b) | 88,327,280 | 87,477,130 | |||
154,298,785 | |||||
STEEL-PRODUCERS — 0.0% (c) | |||||
Phoenix Services International LLC: | |||||
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023 (b) | 1,076,429 | 1,038,754 | |||
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023 (b) | 1,502,578 | 1,449,987 | |||
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025 (b) | 7,432,140 | 803,600 | |||
3,292,341 |
Security Description | Principal Amount | Value | |||
TELECOM SERVICES — 1.1% | |||||
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 4/11/2025 (b) | $ 65,965,589 | $ 65,828,380 | |||
TELECOMMUNICATION EQUIP — 0.0% (c) | |||||
Altice France SA Senior Secured 2018 Term Loan B13, 3 Month USD LIBOR + 4.00%, 8.65%, 8/14/2026 (b) | 1,728,667 | 1,612,708 | |||
CCI Buyer, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 4.00%, 8.58%, 12/17/2027 (b) | 575,130 | 550,975 | |||
2,163,683 | |||||
TEXTILES, APPAREL & LUXURY GOODS — 0.1% | |||||
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/15/2024 (b) | 6,080,567 | 5,877,628 | |||
TRANSPORT-SERVICES — 0.5% | |||||
Edelman Financial Center LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 4/7/2028 (b) | 22,338,929 | 20,903,653 | |||
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025 (b) | 492,940 | 466,755 | |||
Endure Digital, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028 (b) | 12,250,630 | 11,056,194 | |||
32,426,602 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $5,355,357,183) | 5,182,464,346 |
Shares | |||
COMMON STOCKS — 0.1% | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||
Carestream Health, Inc. (e) | 396,286 | 5,944,290 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 5.2% | |||||
AEROSPACE & DEFENSE — 0.2% | |||||
Bombardier, Inc. 6.00%, 2/15/2028 (f) | $ 6,760,000 | $ 6,274,429 | |||
Howmet Aerospace, Inc. 6.88%, 5/1/2025 | 1,459,000 | 1,498,466 | |||
TransDigm UK Holdings PLC 6.88%, 5/15/2026 | 900,000 | 882,009 | |||
TransDigm, Inc.: | |||||
4.63%, 1/15/2029 | 2,020,000 | 1,774,934 | |||
4.88%, 5/1/2029 | 1,600,000 | 1,394,992 | |||
11,824,830 | |||||
APPAREL — 0.0% (c) | |||||
Crocs, Inc. 4.25%, 3/15/2029 (f) | 1,020,000 | 870,284 | |||
AUTO MANUFACTURERS — 0.2% | |||||
Allison Transmission, Inc.: | |||||
4.75%, 10/1/2027 (f) | 2,800,000 | 2,600,052 | |||
5.88%, 6/1/2029 (f) | 3,500,000 | 3,286,325 | |||
Ford Motor Credit Co. LLC: | |||||
2.30%, 2/10/2025 | 4,500,000 | 4,107,960 | |||
2.90%, 2/10/2029 | 400,000 | 319,324 | |||
Wabash National Corp. 4.50%, 10/15/2028 (f) | 1,620,000 | 1,373,679 | |||
11,687,340 | |||||
AUTO PARTS & EQUIPMENT — 0.1% | |||||
American Axle & Manufacturing, Inc.: | |||||
6.50%, 4/1/2027 | 763,000 | 691,759 | |||
6.88%, 7/1/2028 | 2,140,000 | 1,909,479 | |||
Dana, Inc. 4.50%, 2/15/2032 | 1,000,000 | 807,350 | |||
Titan International, Inc. 7.00%, 4/30/2028 | 1,523,000 | 1,448,525 | |||
4,857,113 | |||||
BANKS — 0.1% | |||||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (f) | 6,340,000 | 6,109,161 | |||
BEVERAGES — 0.0% (c) | |||||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (f) | 1,800,000 | 1,554,552 | |||
BUILDING MATERIALS — 0.1% (c) | |||||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (f) | 300,000 | 244,239 | |||
Griffon Corp. 5.75%, 3/1/2028 | 2,640,000 | 2,414,227 |
Security Description | Principal Amount | Value | |||
PGT Innovations, Inc. 4.38%, 10/1/2029 (f) | $ 1,710,000 | $ 1,432,365 | |||
4,090,831 | |||||
CHEMICALS — 0.1% | |||||
Ashland LLC 3.38%, 9/1/2031 (f) | 600,000 | 477,432 | |||
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (f) | 770,000 | 691,976 | |||
Ingevity Corp. 3.88%, 11/1/2028 (f) | 1,750,000 | 1,509,637 | |||
Nufarm Australia, Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030 (f) | 1,430,000 | 1,250,292 | |||
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (f) | 1,920,000 | 1,845,849 | |||
Valvoline, Inc. 3.63%, 6/15/2031 (f) | 190,000 | 155,846 | |||
5,931,032 | |||||
COAL — 0.0% (c) | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (f) | 1,790,000 | 1,526,995 | |||
COMMERCIAL SERVICES — 0.1% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (f) | 865,000 | 792,833 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (f) | 3,000,000 | 2,739,330 | |||
Service Corp. International 4.00%, 5/15/2031 | 1,300,000 | 1,103,440 | |||
ZipRecruiter, Inc. 5.00%, 1/15/2030 (f) | 810,000 | 667,213 | |||
5,302,816 | |||||
COMPUTERS — 0.1% | |||||
Booz Allen Hamilton, Inc.: | |||||
3.88%, 9/1/2028 (f) | 2,200,000 | 1,961,432 | |||
4.00%, 7/1/2029 (f) | 250,000 | 221,563 | |||
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029 (f) | 460,000 | 376,013 | |||
KBR, Inc. 4.75%, 9/30/2028 (f) | 300,000 | 262,599 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (f) | 1,450,000 | 1,347,688 | |||
4,169,295 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | |||||
Burford Capital Global Finance LLC: | |||||
6.25%, 4/15/2028 (f) | $ 80,000 | $ 71,664 | |||
6.88%, 4/15/2030 (f) | 3,100,000 | 2,777,972 | |||
Enova International, Inc. 8.50%, 9/15/2025 (f) | 1,020,000 | 942,551 | |||
goeasy, Ltd. 4.38%, 5/1/2026 (f) | 1,920,000 | 1,706,746 | |||
Nationstar Mortgage Holdings, Inc.: | |||||
5.50%, 8/15/2028 (f) | 2,080,000 | 1,701,752 | |||
5.75%, 11/15/2031 (f) | 3,560,000 | 2,766,120 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 3,660,000 | 3,004,384 | |||
5.63%, 8/1/2033 | 2,730,000 | 1,963,061 | |||
OneMain Finance Corp. 7.13%, 3/15/2026 | 2,490,000 | 2,367,542 | |||
PennyMac Financial Services, Inc.: | |||||
5.38%, 10/15/2025 (f) | 1,380,000 | 1,250,335 | |||
5.75%, 9/15/2031 (f) | 4,530,000 | 3,669,572 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (f) | 382,000 | 341,092 | |||
PRA Group, Inc. 5.00%, 10/1/2029 (f) | 2,643,000 | 2,188,034 | |||
24,750,825 | |||||
ELECTRIC — 0.1% (c) | |||||
DPL, Inc.: | |||||
4.13%, 7/1/2025 | 2,525,000 | 2,382,312 | |||
4.35%, 4/15/2029 | 700,000 | 628,824 | |||
PG&E Corp. 5.25%, 7/1/2030 | 250,000 | 227,493 | |||
3,238,629 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | |||||
Energizer Holdings, Inc. 6.50%, 12/31/2027 (f) | 5,910,000 | 5,637,194 | |||
ENERGY-ALTERNATE SOURCES — 0.1% (c) | |||||
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026 (f) | 3,050,000 | 2,876,943 | |||
ENGINEERING & CONSTRUCTION — 0.1% (c) | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (f) | 1,530,000 | 1,396,171 | |||
Tutor Perini Corp. 6.88%, 5/1/2025 (f) | 2,010,000 | 1,761,946 | |||
3,158,117 |
Security Description | Principal Amount | Value | |||
ENTERTAINMENT — 0.1% | |||||
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (f) | $ 500,000 | $ 450,785 | |||
Churchill Downs, Inc. 4.75%, 1/15/2028 (f) | 2,000,000 | 1,789,740 | |||
Cinemark USA, Inc. 5.88%, 3/15/2026 (f) | 1,800,000 | 1,497,474 | |||
Scientific Games International, Inc. 7.25%, 11/15/2029 (f) | 900,000 | 863,577 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029 (f) | 2,800,000 | 2,401,252 | |||
7,002,828 | |||||
ENVIRONMENTAL CONTROL — 0.0% (c) | |||||
Stericycle, Inc. 3.88%, 1/15/2029 (f) | 500,000 | 436,480 | |||
FOOD — 0.1% | |||||
Lamb Weston Holdings, Inc.: | |||||
4.13%, 1/31/2030 (f) | 747,000 | 660,953 | |||
4.38%, 1/31/2032 (f) | 110,000 | 96,075 | |||
Post Holdings, Inc.: | |||||
4.50%, 9/15/2031 (f) | 600,000 | 506,796 | |||
4.63%, 4/15/2030 (f) | 2,890,000 | 2,493,319 | |||
5.50%, 12/15/2029 (f) | 1,400,000 | 1,268,372 | |||
5,025,515 | |||||
FOREST PRODUCTS & PAPER — 0.0% (c) | |||||
Clearwater Paper Corp. 4.75%, 8/15/2028 (f) | 600,000 | 529,314 | |||
Mercer International, Inc. 5.13%, 2/1/2029 | 1,150,000 | 961,124 | |||
1,490,438 | |||||
GAS — 0.0% (c) | |||||
AmeriGas Partners L.P./AmeriGas Finance Corp.: | |||||
5.50%, 5/20/2025 | 470,000 | 451,580 | |||
5.63%, 5/20/2024 | 1,620,000 | 1,580,537 | |||
2,032,117 | |||||
HEALTH CARE PRODUCTS — 0.0% (c) | |||||
Varex Imaging Corp. 7.88%, 10/15/2027 (f) | 910,000 | 905,332 | |||
HEALTH CARE SERVICES — 0.1% | |||||
CHS/Community Health Systems, Inc.: | |||||
8.00%, 3/15/2026 (f) | 1,500,000 | 1,367,505 | |||
8.00%, 12/15/2027 (f) | 150,000 | 135,699 |
Security Description | Principal Amount | Value | |||
Encompass Health Corp. 4.75%, 2/1/2030 | $ 1,800,000 | $ 1,585,206 | |||
ModivCare, Inc. 5.88%, 11/15/2025 (f) | 3,530,000 | 3,342,733 | |||
6,431,143 | |||||
HOME BUILDERS — 0.1% | |||||
Beazer Homes USA, Inc. 7.25%, 10/15/2029 | 950,000 | 850,117 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (f) | 1,930,000 | 1,716,040 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (f) | 550,000 | 495,924 | |||
KB Home 7.25%, 7/15/2030 | 370,000 | 359,322 | |||
LGI Homes, Inc. 4.00%, 7/15/2029 (f) | 1,210,000 | 933,793 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 600,000 | 532,980 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (f) | 650,000 | 551,623 | |||
Taylor Morrison Communities, Inc. 5.13%, 8/1/2030 (f) | 1,700,000 | 1,479,204 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 1,940,000 | 1,766,758 | |||
8,685,761 | |||||
HOME FURNISHINGS — 0.0% (c) | |||||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (f) | 2,630,000 | 2,058,869 | |||
4.00%, 4/15/2029 (f) | 700,000 | 587,748 | |||
2,646,617 | |||||
INSURANCE — 0.0% (c) | |||||
NMI Holdings, Inc. 7.38%, 6/1/2025 (f) | 1,320,000 | 1,337,266 | |||
INVESTMENT COMPANY SECURITY — 0.1% | |||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
4.38%, 2/1/2029 | 1,820,000 | 1,547,437 | |||
5.25%, 5/15/2027 | 4,840,000 | 4,438,280 | |||
6.25%, 5/15/2026 | 340,000 | 328,943 | |||
6,314,660 | |||||
IRON/STEEL — 0.2% | |||||
ATI, Inc. 5.13%, 10/1/2031 | 3,290,000 | 2,886,679 | |||
Carpenter Technology Corp. 7.63%, 3/15/2030 | 2,038,000 | 2,047,497 | |||
Commercial Metals Co. 4.38%, 3/15/2032 | 200,000 | 173,054 |
Security Description | Principal Amount | Value | |||
Mineral Resources, Ltd. 8.50%, 5/1/2030 (f) | $ 6,180,002 | $ 6,320,040 | |||
11,427,270 | |||||
LEISURE TIME — 0.2% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (f) | 1,050,000 | 749,164 | |||
7.63%, 3/1/2026 (f) | 1,800,000 | 1,437,624 | |||
NCL Corp., Ltd. 5.88%, 2/15/2027 (f) | 3,187,000 | 2,758,540 | |||
Royal Caribbean Cruises, Ltd.: | |||||
3.70%, 3/15/2028 | 720,000 | 534,305 | |||
5.38%, 7/15/2027 (f) | 1,540,000 | 1,252,774 | |||
5.50%, 8/31/2026 (f) | 1,300,000 | 1,093,742 | |||
5.50%, 4/1/2028 (f) | 2,170,000 | 1,733,418 | |||
7.50%, 10/15/2027 | 1,510,000 | 1,302,103 | |||
11.63%, 8/15/2027 (f) | 300,000 | 301,590 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (f) | 1,290,000 | 950,240 | |||
12,113,500 | |||||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc.: | |||||
3.75%, 5/1/2029 (f) | 1,300,000 | 1,128,257 | |||
4.00%, 5/1/2031 (f) | 500,000 | 421,120 | |||
Las Vegas Sands Corp.: | |||||
2.90%, 6/25/2025 | 3,000,000 | 2,771,280 | |||
3.90%, 8/8/2029 | 1,000,000 | 846,810 | |||
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (f) | 1,450,000 | 1,206,603 | |||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||||
5.50%, 3/1/2025 (f) | 2,000,000 | 1,905,700 | |||
REGS, 5.25%, 5/15/2027 (f) | 500,000 | 452,525 | |||
8,732,295 | |||||
MEDIA — 0.1% | |||||
DISH DBS Corp. 7.75%, 7/1/2026 | 200,000 | 161,402 | |||
Sirius XM Radio, Inc.: | |||||
4.00%, 7/15/2028 (f) | 2,640,000 | 2,291,863 | |||
5.00%, 8/1/2027 (f) | 4,110,000 | 3,803,147 | |||
Urban One, Inc. 7.38%, 2/1/2028 (f) | 40,000 | 33,820 | |||
6,290,232 | |||||
MINING — 0.2% | |||||
Compass Minerals International, Inc. 6.75%, 12/1/2027 (f) | 1,360,000 | 1,312,754 | |||
FMG Resources August 2006 Pty, Ltd.: | |||||
4.38%, 4/1/2031 (f) | 1,960,000 | 1,657,043 | |||
6.13%, 4/15/2032 (f) | 1,360,000 | 1,268,431 |
Security Description | Principal Amount | Value | |||
Hecla Mining Co. 7.25%, 2/15/2028 | $ 1,930,000 | $ 1,904,447 | |||
Kaiser Aluminum Corp. 4.50%, 6/1/2031 (f) | 300,000 | 241,026 | |||
New Gold, Inc. 7.50%, 7/15/2027 (f) | 1,630,000 | 1,431,596 | |||
Taseko Mines, Ltd. 7.00%, 2/15/2026 (f) | 1,620,000 | 1,425,276 | |||
9,240,573 | |||||
MISCELLANEOUS MANUFACTURER — 0.0% (c) | |||||
LSB Industries, Inc. 6.25%, 10/15/2028 (f) | 140,000 | 127,567 | |||
OFFICE & BUSINESS EQUIPMENT — 0.1% | |||||
Pitney Bowes, Inc. 7.25%, 3/15/2029 (f) | 1,020,000 | 796,661 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (f) | 6,960,000 | 5,617,277 | |||
6,413,938 | |||||
OIL & GAS — 0.3% | |||||
Apache Corp. 5.35%, 7/1/2049 | 500,000 | 406,530 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (f) | 3,651,000 | 3,170,090 | |||
Nabors Industries, Inc. 7.38%, 5/15/2027 (f) | 1,550,000 | 1,518,752 | |||
Northern Oil & Gas, Inc. 8.13%, 3/1/2028 (f) | 2,940,000 | 2,821,106 | |||
Occidental Petroleum Corp. 7.88%, 9/15/2031 | 1,700,000 | 1,876,392 | |||
Patterson-UTI Energy, Inc. 5.15%, 11/15/2029 | 970,000 | 873,252 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 1,770,000 | 1,566,485 | |||
Petrofac, Ltd. 9.75%, 11/15/2026 (f) | 1,327,000 | 749,715 | |||
Precision Drilling Corp. 6.88%, 1/15/2029 (f) | 3,110,000 | 2,914,226 | |||
Sunoco L.P./Sunoco Finance Corp. 4.50%, 5/15/2029 | 4,620,000 | 4,040,976 | |||
Vermilion Energy, Inc. 6.88%, 5/1/2030 (f) | 250,000 | 229,388 | |||
20,166,912 | |||||
OIL & GAS SERVICES — 0.0% (c) | |||||
Enerflex, Ltd. 9.00%, 10/15/2027 | 2,000,000 | 1,995,300 | |||
PACKAGING & CONTAINERS — 0.1% | |||||
OI European Group B.V. 4.75%, 2/15/2030 (f) | 3,070,000 | 2,712,406 |
Security Description | Principal Amount | Value | |||
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (f) | $ 1,540,000 | $ 1,498,882 | |||
4,211,288 | |||||
PHARMACEUTICALS — 0.1% (c) | |||||
AdaptHealth LLC: | |||||
4.63%, 8/1/2029 (f) | 540,000 | 452,628 | |||
6.13%, 8/1/2028 (f) | 3,870,000 | 3,578,202 | |||
4,030,830 | |||||
PIPELINES — 0.3% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.38%, 6/15/2029 (f) | 1,100,000 | 1,006,203 | |||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.: | |||||
6.00%, 2/1/2029 (f) | 780,000 | 719,456 | |||
8.00%, 4/1/2029 (f) | 1,620,000 | 1,617,311 | |||
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028 (f) | 2,710,000 | 2,442,794 | |||
EnLink Midstream Partners L.P. 5.45%, 6/1/2047 | 570,000 | 457,602 | |||
EQM Midstream Partners L.P. 6.50%, 7/15/2048 | 680,000 | 510,007 | |||
Global Partners L.P./GLP Finance Corp.: | |||||
6.88%, 1/15/2029 | 1,640,000 | 1,485,381 | |||
7.00%, 8/1/2027 | 100,000 | 95,434 | |||
Hess Midstream Operations L.P. 5.13%, 6/15/2028 (f) | 1,720,000 | 1,600,683 | |||
NuStar Logistics L.P. 6.38%, 10/1/2030 | 3,030,000 | 2,810,901 | |||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 8.50%, 10/15/2026 (f) | 2,840,000 | 2,696,495 | |||
15,442,267 | |||||
REAL ESTATE — 0.0% (c) | |||||
Howard Hughes Corp.: | |||||
4.13%, 2/1/2029 (f) | 700,000 | 585,564 | |||
4.38%, 2/1/2031 (f) | 314,000 | 252,792 | |||
5.38%, 8/1/2028 (f) | 1,000,000 | 900,370 | |||
1,738,726 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.4% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (f) | 2,030,000 | 1,624,426 |
Security Description | Principal Amount | Value | |||
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (f) | $ 6,160,000 | $ 5,139,904 | |||
Iron Mountain, Inc. 5.63%, 7/15/2032 (f) | 1,000,000 | 872,150 | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (f) | 2,230,000 | 2,001,804 | |||
Service Properties Trust: | |||||
4.75%, 10/1/2026 | 2,220,000 | 1,754,666 | |||
4.95%, 2/15/2027 | 3,120,000 | 2,459,153 | |||
4.95%, 10/1/2029 | 2,720,000 | 1,903,809 | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (f) | 1,500,000 | 1,312,500 | |||
4.38%, 1/15/2027 (f) | 4,650,000 | 4,092,093 | |||
21,160,505 | |||||
RETAIL — 0.6% | |||||
1011778 BC ULC/New Red Finance, Inc.: | |||||
4.00%, 10/15/2030 (f) | 5,600,000 | 4,547,480 | |||
4.38%, 1/15/2028 (f) | 1,500,000 | 1,348,935 | |||
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (f) | 1,430,000 | 1,414,999 | |||
Asbury Automotive Group, Inc.: | |||||
4.75%, 3/1/2030 | 1,700,000 | 1,427,065 | |||
5.00%, 2/15/2032 (f) | 1,400,000 | 1,154,944 | |||
Bath & Body Works, Inc.: | |||||
6.75%, 7/1/2036 | 1,280,000 | 1,122,035 | |||
6.88%, 11/1/2035 | 450,000 | 400,036 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (f) | 1,240,000 | 1,042,431 | |||
FirstCash, Inc. 5.63%, 1/1/2030 (f) | 3,880,000 | 3,465,383 | |||
Foot Locker, Inc. 4.00%, 10/1/2029 (f) | 1,170,000 | 921,609 | |||
Gap, Inc. 3.63%, 10/1/2029 (f) | 5,000,000 | 3,558,100 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (f) | 1,200,000 | 1,020,240 | |||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 4.75%, 6/1/2027 (f) | 4,122,000 | 3,986,634 | |||
Macy's Retail Holdings LLC: | |||||
5.88%, 4/1/2029 (f) | 1,050,000 | 933,996 | |||
5.88%, 3/15/2030 (f) | 1,400,000 | 1,216,908 | |||
6.13%, 3/15/2032 (f) | 2,130,000 | 1,790,329 | |||
Papa John's International, Inc. 3.88%, 9/15/2029 (f) | 200,000 | 166,930 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (f) | 850,000 | 712,844 | |||
Sonic Automotive, Inc.: | |||||
4.63%, 11/15/2029 (f) | 2,410,000 | 1,943,279 | |||
4.88%, 11/15/2031 (f) | 800,000 | 629,832 |
Security Description | Principal Amount | Value | |||
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031 (f) | $ 780,000 | $ 667,696 | |||
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029 (f) | 1,210,000 | 1,039,112 | |||
34,510,817 | |||||
SOFTWARE — 0.1% | |||||
Consensus Cloud Solutions, Inc.: | |||||
6.00%, 10/15/2026 (f) | 1,300,000 | 1,226,459 | |||
6.50%, 10/15/2028 (f) | 1,950,000 | 1,781,988 | |||
Fair Isaac Corp.: | |||||
4.00%, 6/15/2028 (f) | 3,000,000 | 2,721,480 | |||
5.25%, 5/15/2026 (f) | 1,500,000 | 1,468,905 | |||
MSCI, Inc. 3.88%, 2/15/2031 (f) | 500,000 | 416,260 | |||
7,615,092 | |||||
TELECOMMUNICATIONS — 0.1% | |||||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 3,540,000 | 3,304,271 | |||
ViaSat, Inc. 6.50%, 7/15/2028 (f) | 1,914,000 | 1,466,182 | |||
4,770,453 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $309,601,200) | 309,881,679 |
Shares | ||||
U.S. TREASURY OBLIGATIONS — 2.5% | ||||
U.S. Treasury Bill: | ||||
2.68%, 1/12/2023 | 25,000,000 | 24,978,297 | ||
4.00%, 1/26/2023 | 85,000,000 | 84,789,267 | ||
4.29%, 3/23/2023 | 40,000,000 | 39,627,702 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $149,674,562) | 149,395,266 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 5.9% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (g) (h) (Cost $350,922,450) | 350,922,450 | $ 350,922,450 | |||
TOTAL INVESTMENTS — 100.7% (Cost $6,173,143,928) | 5,998,608,031 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)% | (44,536,826) | ||||
NET ASSETS — 100.0% | $ 5,954,071,205 |
(a) | The rate shown represents the rate at December 31, 2022. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Position is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(e) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2022, total aggregate fair value of the security is $5,944,290, representing 0.10% of the Fund's net assets. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.8% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2022. |
CDI | CREST Depository Interest |
CME | Chicago Mercantile Exchange |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
PIK | Payment in Kind |
SOFR | Secured Overnight Financing Rate |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 68,182 | 64,915 | (3,267) | |||
Athenahealth, Inc. | 9,278,272 | 8,400,176 | (878,096) | |||
VT Topco, Inc. | 244,514 | 237,689 | (6,825) | |||
AI Aqua Merger Sub, Inc. | 1,222,222 | 1,153,979 | (68,243) | |||
$10,813,190 | $9,856,759 | $(956,431) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 309,881,679 | $ — | $ 309,881,679 | ||||
U.S. Treasury Obligations | — | 149,395,266 | — | 149,395,266 | ||||
Common Stocks | — | — | 5,944,290 | 5,944,290 | ||||
Senior Floating Rate Loans | — | 5,182,464,346 | — | 5,182,464,346 | ||||
Short-Term Investment | 350,922,450 | — | — | 350,922,450 | ||||
TOTAL INVESTMENTS | $350,922,450 | $5,641,741,291 | $5,944,290 | $5,998,608,031 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (956,431) | — | (956,431) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (956,431) | $ — | $ (956,431) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
SPDR Bloomberg High Yield Bond ETF | — | $ — | $ 25,027,937 | $ 24,446,819 | $(581,118) | $— | — | $ — | $ 129,475 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 910,350,809 | 910,350,809 | 2,489,173,927 | 3,048,602,286 | — | — | 350,922,450 | 350,922,450 | 5,439,203 | ||||||||
Total | $910,350,809 | $2,514,201,864 | $3,073,049,105 | $(581,118) | $— | $350,922,450 | $5,568,678 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $ 114,358,285 | $ 5,647,685,581 | |
Investments in affiliated issuers, at value | 9,542,516 | 350,922,450 | |
Total Investments | 123,900,801 | 5,998,608,031 | |
Cash | 380,395 | 28,464,092 | |
Receivable for investments sold | 2,846,804 | 441,971,375 | |
Dividends receivable — affiliated issuers | 35,216 | 1,234,910 | |
Interest receivable — unaffiliated issuers | 1,491,872 | 48,051,767 | |
Receivable for foreign taxes recoverable | 5,477 | 43,401 | |
Other Receivable | — | 75,902 | |
TOTAL ASSETS | 128,660,565 | 6,518,449,478 | |
LIABILITIES | |||
Payable for investments purchased | 11,929,711 | 508,485,657 | |
Payable for fund shares repurchased | — | 51,465,142 | |
Unrealized depreciation on unfunded loan commitments | 3,630 | 956,431 | |
Advisory fee payable | 62,916 | 3,470,948 | |
Accrued expenses and other liabilities | — | 95 | |
TOTAL LIABILITIES | 11,996,257 | 564,378,273 | |
NET ASSETS | $ 116,664,308 | $ 5,954,071,205 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $129,020,750 | $ 7,140,775,445 | |
Total distributable earnings (loss) | (12,356,442) | (1,186,704,240) | |
NET ASSETS | $ 116,664,308 | $ 5,954,071,205 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 27.13 | $ 41.19 | |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 4,300,000 | 144,550,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $ 117,850,441 | $ 5,822,221,478 | |
Investments in affiliated issuers | 9,542,516 | 350,922,450 | |
Total cost of investments | $127,392,957 | $ 6,173,143,928 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 4,275,483 | $ 254,440,483 | |
Dividend income — affiliated issuers | 120,263 | 5,568,678 | |
TOTAL INVESTMENT INCOME (LOSS) | 4,395,746 | 260,009,161 | |
EXPENSES | |||
Advisory fee | 415,147 | 25,459,615 | |
Trustees’ fees and expenses | 733 | 45,727 | |
Miscellaneous expenses | 3,806 | 265,192 | |
TOTAL EXPENSES | 419,686 | 25,770,534 | |
Expenses waived/reimbursed by the Adviser | (5,575) | (192,766) | |
NET EXPENSES | 414,111 | 25,577,768 | |
NET INVESTMENT INCOME (LOSS) | $ 3,981,635 | $ 234,431,393 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (6,095,190) | (510,126,381) | |
Investments — affiliated issuers | (3,290) | (581,118) | |
Net realized gain (loss) | (6,098,480) | (510,707,499) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 5,846,766 | 425,649,131 | |
Unfunded loan commitments | (1,110) | 381,566 | |
Net change in unrealized appreciation/depreciation | 5,845,656 | 426,030,697 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (252,824) | (84,676,802) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 3,728,811 | $ 149,754,591 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||||||
Six Months Ended 12/31/22 (Unaudited) | For the Period 2/17/22*- 6/30/22 | Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 3,981,635 | $ 2,126,689 | $ 234,431,393 | $ 375,689,558 | |||
Net realized gain (loss) | (6,098,480) | (2,925,500) | (510,707,499) | (250,379,712) | |||
Net change in unrealized appreciation/depreciation | 5,845,656 | (9,341,442) | 426,030,697 | (698,437,560) | |||
Net increase (decrease) in net assets resulting from operations | 3,728,811 | (10,140,253) | 149,754,591 | (573,127,714) | |||
Net equalization credits and charges | (10,009) | 294 | 1,160,238 | 1,321,939 | |||
Distributions to shareholders | (4,397,000) | (1,548,000) | (251,791,500) | (384,792,728) | |||
Return of capital | — | — | — | (2,807,272) | |||
Total Distributions to shareholders | (4,397,000) | (1,548,000) | (251,791,500) | (387,600,000) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 4,116,887 | 128,999,422 | 941,162,104 | 6,597,224,116 | |||
Cost of shares redeemed | (4,102,865) | — | (3,357,350,934) | (3,482,041,836) | |||
Net income equalization | 10,009 | (294) | (1,160,238) | (1,321,939) | |||
Other Capital | 6,898 | 408 | 12,053,464 | 11,592,704 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 30,929 | 128,999,536 | (2,405,295,604) | 3,125,453,045 | |||
Net increase (decrease) in net assets during the period | (647,269) | 117,311,577 | (2,506,172,275) | 2,166,047,270 | |||
Net assets at beginning of period | 117,311,577 | — | 8,460,243,480 | 6,294,196,210 | |||
NET ASSETS AT END OF PERIOD | $116,664,308 | $ 117,311,577 | $ 5,954,071,205 | $ 8,460,243,480 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 150,000 | 4,300,000 | 22,350,000 | 145,850,000 | |||
Shares redeemed | (150,000) | — | (80,050,000) | (79,550,000) | |||
Net increase (decrease) from share transactions | — | 4,300,000 | (57,700,000) | 66,300,000 |
* | Commencement of operations. |
SPDR Blackstone High Income ETF | |||
Six Months Ended 12/31/22 (Unaudited) | For the Period 02/17/22*- 6/30/22 | ||
Net asset value, beginning of period | $ 27.28 | $ 30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.93 | 0.50 | |
Net realized and unrealized gain (loss) (b) | (0.05) | (2.86) | |
Total from investment operations | 0.88 | (2.36) | |
Net equalization credits and charges (a) | (0.00)(c) | 0.00(c) | |
Other capital (a) | 0.00(c) | 0.00(c) | |
Distributions to shareholders from: | |||
Net investment income | (1.03) | (0.36) | |
Net asset value, end of period | $ 27.13 | $ 27.28 | |
Total return (d) | 3.25% | (7.93)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $116,664 | $117,312 | |
Ratios to average net assets: | |||
Total expenses | 0.71%(e) | 0.70%(e) | |
Net expenses | 0.70%(e) | 0.70%(e) | |
Net investment income (loss) | 6.71%(e) | 4.63%(e) | |
Portfolio turnover rate | 66%(f) | 55%(f) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Not annualized. |
SPDR Blackstone Senior Loan ETF | |||||||||||
Six Months Ended 12/31/22 (Unaudited) | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20(a) | Year Ended 6/30/19(a) | Year Ended 6/30/18(a) | ||||||
Net asset value, beginning of period | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.36 | 1.95 | 1.98 | 2.34 | 2.48 | 2.04 | |||||
Net realized and unrealized gain (loss) (c) | (0.59) | (4.44) | 3.02 | (3.06) | (0.86) | (0.50) | |||||
Total from investment operations | 0.77 | (2.49) | 5.00 | (0.72) | 1.62 | 1.54 | |||||
Net equalization credits and charges (b) | 0.01 | 0.01 | 0.06 | (0.04) | (0.03) | 0.04 | |||||
Contribution from affiliate | — | — | 0.00(d) | 0.01 | — | — | |||||
Other capital (b) | 0.07 | 0.06 | 0.02 | 0.21 | 0.09 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.49) | (2.04) | (2.14) | (2.35) | (2.47) | (1.97) | |||||
Return of Capital | — | (0.01) | — | — | — | — | |||||
Total distributions | (1.49) | (2.05) | — | — | — | — | |||||
Net asset value, end of period | $ 41.19 | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | |||||
Total return (e) | 2.00% | (5.46)% | 11.97%(f) | (1.23)%(f) | 3.68% | 3.43% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $5,954,071 | $8,460,243 | $6,294,196 | $1,433,094 | $2,222,400 | $3,189,624 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.71%(g) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | |||||
Net expenses | 0.70%(g) | 0.70% | 0.70% | —% | —% | —% | |||||
Net investment income (loss) | 6.45%(g) | 4.33% | 4.31% | 5.17% | 5.33% | 4.30% | |||||
Portfolio turnover rate | 54%(h) | 140% | 176% | 195%(i) | 124%(i) | 90%(i) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the years ended ended June 30, 2021 and June 30, 2020, the total return would have remained 11.97% and (1.23)%, respectively. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate is from the the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
SPDR Blackstone High Income ETF |
SPDR Blackstone Senior Loan ETF |
Annual Rate | |
SPDR Blackstone High Income ETF | 0.70% |
SPDR Blackstone Senior Loan ETF | 0.70 |
Purchases | Sales | ||
SPDR Blackstone High Income ETF | $ 77,477,811 | $ 74,924,121 | |
SPDR Blackstone Senior Loan ETF | 3,587,006,200 | 5,742,157,806 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone High Income ETF | $ 127,369,049 | $684,086 | $ 4,239,527 | $ (3,555,441) | |||
SPDR Blackstone Senior Loan ETF | 6,209,771,349 | — | 211,148,991 | (211,148,991) |
SPDR Blackstone High Income ETF | |
Annualized Expense Ratio | 0.70% |
Actual: | |
Ending Account Value | $1,032.50 |
Expenses Paid During Period(a) | 3.59 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,021.70 |
Expenses Paid During Period(a) | 3.57 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
SPDR Blackstone Senior Loan ETF | |
Annualized Expense Ratio | 0.70% |
Actual: | |
Ending Account Value | $1,020.00 |
Expenses Paid During Period(a) | 3.56 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,021.70 |
Expenses Paid During Period(a) | 3.57 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Trustee Nominee Name | Shares For | Shares Withheld |
Clare S. Richer | 458,963,922.211 | 3,805,311.071 |
Sandra G. Sponem | 458,912,867.553 | 3,856,365.729 |
Kristi L. Rowsell | 459,030,936.405 | 3,738,296.877 |
Gunjan Chauhan | 458,827,846.171 | 3,941,387.111 |
Carolyn M. Clancy | 459,042,164.143 | 3,727,069.139 |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
One Iron Street
Boston, MA 02210
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Not applicable to the registrant.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Active Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
Date: March 8, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
Date: March 8, 2023
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer |
Date: March 8, 2023